Vanguard® U.S. Momentum Factor ETF
Schedule of Investments (unaudited)
As of August 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (4.4%) | |||
Nucor Corp. | 7,952 | 935 | |
Steel Dynamics Inc. | 9,709 | 655 | |
Freeport-McMoRan Inc. | 17,063 | 621 | |
Olin Corp. | 11,686 | 582 | |
Avery Dennison Corp. | 1,479 | 333 | |
* | Cleveland-Cliffs Inc. | 13,520 | 317 |
U.S. Steel Corp. | 11,498 | 308 | |
Element Solutions Inc. | 13,043 | 296 | |
Mosaic Co. | 8,164 | 263 | |
International Paper Co. | 4,035 | 242 | |
Olympic Steel Inc. | 7,137 | 195 | |
Chemours Co. | 5,650 | 189 | |
* | TimkenSteel Corp. | 12,040 | 165 |
Southern Copper Corp. | 2,301 | 144 | |
* | Amyris Inc. | 9,356 | 141 |
* | Intrepid Potash Inc. | 4,525 | 140 |
Schnitzer Steel Industries Inc. Class A | 2,807 | 133 | |
Tronox Holdings plc Class A | 5,639 | 119 | |
* | AdvanSix Inc. | 3,102 | 113 |
Eastman Chemical Co. | 978 | 111 | |
* | Energy Fuels Inc. | 18,518 | 100 |
Albemarle Corp. | 408 | 97 | |
*,1 | Meta Materials Inc. | 19,284 | 90 |
Hecla Mining Co. | 12,473 | 77 | |
* | Kraton Corp. | 1,681 | 71 |
Verso Corp. Class A | 3,742 | 71 | |
* | U.S. Silica Holdings Inc. | 7,600 | 67 |
Worthington Industries Inc. | 1,100 | 64 | |
Celanese Corp. Class A | 355 | 56 | |
Scotts Miracle-Gro Co. | 349 | 55 | |
* | Ur-Energy Inc. | 40,409 | 53 |
Dow Inc. | 572 | 36 | |
Valvoline Inc. | 1,173 | 35 | |
6,874 | |||
Consumer Discretionary (19.6%) | |||
Target Corp. | 6,224 | 1,537 | |
* | Ford Motor Co. | 91,633 | 1,194 |
* | Tesla Inc. | 1,411 | 1,038 |
* | General Motors Co. | 18,402 | 902 |
Estee Lauder Cos. Inc. Class A | 2,532 | 862 | |
* | Tapestry Inc. | 16,453 | 663 |
* | Capri Holdings Ltd. | 9,129 | 516 |
Shares | Market Value ($000) | ||
* | Crocs Inc. | 3,594 | 513 |
Dick's Sporting Goods Inc. | 3,619 | 510 | |
* | Macy's Inc. | 22,775 | 510 |
Tempur Sealy International Inc. | 11,169 | 499 | |
eBay Inc. | 5,696 | 437 | |
Lowe's Cos. Inc. | 2,079 | 424 | |
H&R Block Inc. | 16,108 | 413 | |
MGM Resorts International | 9,231 | 393 | |
* | RH | 550 | 385 |
Interpublic Group of Cos. Inc. | 9,839 | 366 | |
* | Scientific Games Corp. Class A | 4,972 | 360 |
AMERCO | 527 | 348 | |
* | Caesars Entertainment Inc. | 3,385 | 344 |
Bath & Body Works Inc. | 5,023 | 339 | |
* | iHeartMedia Inc. Class A | 12,586 | 313 |
* | Lions Gate Entertainment Corp. Class A | 23,997 | 310 |
* | Boot Barn Holdings Inc. | 3,456 | 309 |
* | AutoNation Inc. | 2,807 | 306 |
Kohl's Corp. | 5,301 | 304 | |
* | Hovnanian Enterprises Inc. Class A | 2,778 | 302 |
Williams-Sonoma Inc. | 1,546 | 289 | |
American Eagle Outfitters Inc. | 9,198 | 281 | |
* | Boyd Gaming Corp. | 4,442 | 273 |
* | Genesco Inc. | 4,404 | 273 |
* | Skechers USA Inc. Class A | 5,231 | 264 |
* | Golden Entertainment Inc. | 5,141 | 245 |
* | Carvana Co. Class A | 732 | 240 |
* | Etsy Inc. | 1,108 | 240 |
Shoe Carnival Inc. | 6,186 | 237 | |
* | Liquidity Services Inc. | 9,692 | 236 |
Foot Locker Inc. | 4,117 | 233 | |
Starbucks Corp. | 1,967 | 231 | |
* | Houghton Mifflin Harcourt Co. | 16,757 | 226 |
* | Chico's FAS Inc. | 43,536 | 225 |
RCI Hospitality Holdings Inc. | 3,458 | 223 | |
Signet Jewelers Ltd. | 2,793 | 221 | |
* | Conn's Inc. | 8,624 | 212 |
* | Avis Budget Group Inc. | 2,317 | 210 |
1 | Big 5 Sporting Goods Corp. | 6,982 | 194 |
Dillard's Inc. Class A | 983 | 187 | |
* | Tenneco Inc. Class A | 11,636 | 182 |
Clarus Corp. | 6,614 | 179 | |
* | Lions Gate Entertainment Corp. Class B | 15,183 | 179 |
* | Dave & Buster's Entertainment Inc. | 4,683 | 175 |
Cato Corp. Class A | 10,004 | 173 | |
* | AMMO Inc. | 23,031 | 169 |
* | Chipotle Mexican Grill Inc. Class A | 88 | 167 |
* | Revolve Group Inc. | 2,899 | 167 |
NIKE Inc. Class B | 1,003 | 165 | |
Dollar General Corp. | 734 | 164 | |
* | Funko Inc. Class A | 8,207 | 164 |
* | Citi Trends Inc. | 1,888 | 163 |
* | Trade Desk Inc. Class A | 2,018 | 162 |
* | AMC Networks Inc. Class A | 3,375 | 160 |
* | Duluth Holdings Inc. Class B | 10,137 | 158 |
* | Gannett Co. Inc. | 24,731 | 157 |
* | Full House Resorts Inc. | 18,110 | 155 |
* | Everi Holdings Inc. | 6,728 | 153 |
Shares | Market Value ($000) | ||
* | HyreCar Inc. | 13,643 | 153 |
* | Children's Place Inc. | 1,747 | 152 |
* | Clear Channel Outdoor Holdings Inc. | 57,416 | 151 |
Movado Group Inc. | 4,174 | 151 | |
* | SiteOne Landscape Supply Inc. | 755 | 151 |
* | Lands' End Inc. | 4,400 | 149 |
* | Thryv Holdings Inc. | 4,739 | 147 |
* | Clean Energy Fuels Corp. | 18,158 | 144 |
* | Entercom Communications Corp. Class A | 40,662 | 144 |
News Corp. Class A | 6,286 | 141 | |
* | Vuzix Corp. | 10,648 | 141 |
* | Aptiv plc | 920 | 140 |
* | Deckers Outdoor Corp. | 327 | 137 |
* | Fossil Group Inc. | 10,008 | 134 |
* | YETI Holdings Inc. | 1,348 | 134 |
* | Bed Bath & Beyond Inc. | 4,820 | 133 |
* | O'Reilly Automotive Inc. | 222 | 132 |
* | Lovesac Co. | 2,229 | 126 |
* | Red Rock Resorts Inc. Class A | 2,691 | 126 |
Hibbett Inc. | 1,304 | 125 | |
* | Penn National Gaming Inc. | 1,545 | 125 |
A-Mark Precious Metals Inc. | 2,585 | 125 | |
Qurate Retail Inc. Series A | 11,267 | 124 | |
Caleres Inc. | 4,921 | 121 | |
* | Floor & Decor Holdings Inc. Class A | 909 | 112 |
* | Mesa Air Group Inc. | 13,528 | 108 |
* | Viad Corp. | 2,470 | 107 |
* | XPEL Inc. | 1,414 | 107 |
Lithia Motors Inc. Class A | 311 | 103 | |
Toll Brothers Inc. | 1,607 | 103 | |
* | Mattel Inc. | 4,756 | 102 |
Nexstar Media Group Inc. Class A | 653 | 98 | |
* | BJ's Restaurants Inc. | 2,263 | 97 |
Travel + Leisure Co. | 1,746 | 96 | |
Activision Blizzard Inc. | 1,149 | 95 | |
Century Communities Inc. | 1,355 | 95 | |
Thor Industries Inc. | 838 | 95 | |
Kontoor Brands Inc. | 1,735 | 94 | |
* | Lululemon Athletica Inc. | 236 | 94 |
Camping World Holdings Inc. Class A | 2,258 | 90 | |
Tilly's Inc. Class A | 5,753 | 90 | |
* | MarineMax Inc. | 1,830 | 89 |
* | Purple Innovation Inc. Class A | 3,666 | 89 |
Rocky Brands Inc. | 1,767 | 88 | |
* | Barnes & Noble Education Inc. | 10,676 | 87 |
John Wiley & Sons Inc. Class A | 1,503 | 87 | |
* | Turtle Beach Corp. | 3,040 | 86 |
Haverty Furniture Cos. Inc. | 2,365 | 84 | |
Global Industrial Co. | 2,173 | 84 | |
* | Bally's Corp. | 1,615 | 81 |
Hanesbrands Inc. | 4,271 | 80 | |
* | Red Robin Gourmet Burgers Inc. | 3,289 | 80 |
Buckle Inc. | 2,050 | 79 | |
Pool Corp. | 158 | 78 | |
* | National Vision Holdings Inc. | 1,229 | 74 |
Lennar Corp. Class A | 666 | 71 | |
* | Monarch Casino & Resort Inc. | 1,117 | 71 |
* | Vera Bradley Inc. | 6,223 | 71 |
Shares | Market Value ($000) | ||
Gap Inc. | 2,609 | 70 | |
* | ODP Corp. | 1,483 | 70 |
* | Green Brick Partners Inc. | 2,664 | 67 |
* | Wayfair Inc. Class A | 234 | 66 |
* | Master Craft Boat Holdings Inc. | 2,592 | 65 |
* | Fox Factory Holding Corp. | 417 | 64 |
Winnebago Industries Inc. | 902 | 63 | |
* | Five Below Inc. | 292 | 62 |
* | LGI Homes Inc. | 370 | 59 |
Big Lots Inc. | 1,194 | 58 | |
* | Container Store Group Inc. | 5,009 | 58 |
* | M/I Homes Inc. | 901 | 58 |
Papa John's International Inc. | 439 | 56 | |
KB Home | 1,280 | 55 | |
* | Malibu Boats Inc. Class A | 768 | 55 |
Franchise Group Inc. | 1,545 | 54 | |
Churchill Downs Inc. | 250 | 53 | |
* | Stitch Fix Inc. Class A | 1,238 | 52 |
* | Abercrombie & Fitch Co. Class A | 1,423 | 51 |
Best Buy Co. Inc. | 440 | 51 | |
* | Coty Inc. Class A | 5,172 | 51 |
* | Nautilus Inc. | 4,487 | 51 |
Tractor Supply Co. | 263 | 51 | |
* | SeaWorld Entertainment Inc. | 975 | 48 |
* | GoPro Inc. Class A | 4,693 | 47 |
Group 1 Automotive Inc. | 260 | 43 | |
* | CarParts.com Inc. | 2,470 | 43 |
* | Tri Pointe Homes Inc. | 1,726 | 41 |
* | Genius Brands International Inc. | 23,712 | 40 |
* | Meritage Homes Corp. | 360 | 40 |
* | Gentherm Inc. | 456 | 39 |
Rent-A-Center Inc. | 622 | 39 | |
* | Designer Brands Inc. Class A | 2,565 | 37 |
* | G-III Apparel Group Ltd. | 1,203 | 37 |
* | Sally Beauty Holdings Inc. | 1,969 | 37 |
* | Adient plc | 939 | 37 |
Nielsen Holdings plc | 1,655 | 36 | |
Acushnet Holdings Corp. | 698 | 35 | |
* | Cardlytics Inc. | 390 | 35 |
DR Horton Inc. | 363 | 35 | |
Johnson Outdoors Inc. Class A | 304 | 35 | |
* | Sonos Inc. | 872 | 35 |
* | Drive Shack Inc. | 12,191 | 33 |
Interface Inc. Class A | 2,234 | 32 | |
* | American Airlines Group Inc. | 1,534 | 31 |
* | Century Casinos Inc. | 2,316 | 31 |
* | Party City Holdco Inc. | 4,497 | 31 |
* | Brinker International Inc. | 569 | 30 |
Newell Brands Inc. | 1,177 | 30 | |
* | Kirkland's Inc. | 1,508 | 29 |
30,826 | |||
Consumer Staples (1.4%) | |||
Philip Morris International Inc. | 5,007 | 516 | |
* | Celsius Holdings Inc. | 3,308 | 270 |
Ingles Markets Inc. Class A | 2,672 | 181 | |
* | 22nd Century Group Inc. | 49,788 | 178 |
Corteva Inc. | 3,109 | 137 | |
* | PLBY Group Inc. | 4,436 | 110 |
Shares | Market Value ($000) | ||
* | Freshpet Inc. | 852 | 109 |
* | United Natural Foods Inc. | 2,872 | 106 |
* | GrowGeneration Corp. | 3,175 | 102 |
Medifast Inc. | 375 | 86 | |
* | Whole Earth Brands Inc. | 6,169 | 77 |
MGP Ingredients Inc. | 1,043 | 68 | |
* | BellRing Brands Inc. Class A | 2,013 | 68 |
Albertsons Cos. Inc. Class A | 1,701 | 52 | |
* | Hain Celestial Group Inc. | 1,135 | 42 |
Bunge Ltd. | 531 | 40 | |
* | Boston Beer Co. Inc. Class A | 69 | 39 |
* | Darling Ingredients Inc. | 475 | 35 |
* | Simply Good Foods Co. | 923 | 33 |
2,249 | |||
Energy (7.1%) | |||
Exxon Mobil Corp. | 20,575 | 1,122 | |
ONEOK Inc. | 12,316 | 647 | |
ConocoPhillips | 11,519 | 640 | |
Targa Resources Corp. | 11,041 | 485 | |
Devon Energy Corp. | 16,313 | 482 | |
Texas Pacific Land Corp. | 298 | 405 | |
Marathon Oil Corp. | 33,771 | 397 | |
Diamondback Energy Inc. | 4,303 | 332 | |
* | Cheniere Energy Inc. | 3,632 | 318 |
* | Peabody Energy Corp. | 17,573 | 281 |
* | Enphase Energy Inc. | 1,494 | 260 |
Patterson-UTI Energy Inc. | 32,773 | 254 | |
* | CONSOL Energy Inc. | 9,952 | 227 |
* | Aemetis Inc. | 19,013 | 211 |
* | Gevo Inc. | 31,713 | 198 |
* | Callon Petroleum Co. | 5,749 | 196 |
* | Arch Resources Inc. | 2,574 | 195 |
* | Centennial Resource Development Inc. Class A | 37,967 | 194 |
Ovintiv Inc. | 6,963 | 190 | |
1 | Altus Midstream Co. Class A | 2,864 | 187 |
SM Energy Co. | 9,648 | 184 | |
Occidental Petroleum Corp. | 6,973 | 179 | |
* | Laredo Petroleum Inc. | 3,233 | 175 |
EOG Resources Inc. | 2,568 | 173 | |
Marathon Petroleum Corp. | 2,785 | 165 | |
Matador Resources Co. | 5,713 | 164 | |
* | Antero Resources Corp. | 11,882 | 163 |
Helmerich & Payne Inc. | 5,961 | 160 | |
* | Oceaneering International Inc. | 12,501 | 154 |
* | Range Resources Corp. | 10,339 | 151 |
Hess Corp. | 2,074 | 143 | |
* | Southwestern Energy Co. | 29,308 | 133 |
Continental Resources Inc. | 3,357 | 132 | |
* | Tellurian Inc. | 40,032 | 128 |
Northern Oil and Gas Inc. | 7,507 | 125 | |
Magnolia Oil & Gas Corp. Class A | 7,490 | 117 | |
* | Contango Oil & Gas Co. | 30,529 | 111 |
* | W&T Offshore Inc. | 33,720 | 110 |
* | Plug Power Inc. | 4,197 | 109 |
SunCoke Energy Inc. | 15,434 | 107 | |
* | Green Plains Inc. | 2,989 | 105 |
* | Ameresco Inc. Class A | 1,334 | 92 |
* | Centrus Energy Corp. Class A | 3,092 | 89 |
Shares | Market Value ($000) | ||
Cactus Inc. Class A | 2,128 | 80 | |
Brigham Minerals Inc. Class A | 4,046 | 77 | |
* | FuelCell Energy Inc. | 10,168 | 63 |
* | RPC Inc. | 16,059 | 62 |
* | National Energy Services Reunited Corp. | 5,349 | 61 |
* | Newpark Resources Inc. | 21,363 | 56 |
* | FTS International Inc. Class A | 2,522 | 56 |
Antero Midstream Corp. | 4,804 | 46 | |
* | TETRA Technologies Inc. | 12,644 | 41 |
* | SunPower Corp. | 1,805 | 39 |
* | Renewable Energy Group Inc. | 785 | 38 |
* | Whiting Petroleum Corp. | 703 | 33 |
* | EQT Corp. | 1,746 | 32 |
PDC Energy Inc. | 778 | 32 | |
* | ChampionX Corp. | 1,352 | 32 |
11,138 | |||
Financials (17.7%) | |||
Blackstone Inc. | 13,707 | 1,723 | |
Charles Schwab Corp. | 23,445 | 1,708 | |
PNC Financial Services Group Inc. | 7,336 | 1,402 | |
Morgan Stanley | 11,716 | 1,224 | |
American Financial Group Inc. | 8,544 | 1,179 | |
Wells Fargo & Co. | 25,345 | 1,158 | |
Goldman Sachs Group Inc. | 2,371 | 980 | |
MSCI Inc. Class A | 1,330 | 844 | |
T Rowe Price Group Inc. | 3,155 | 706 | |
Pinnacle Financial Partners Inc. | 6,935 | 672 | |
Ally Financial Inc. | 12,477 | 660 | |
Invesco Ltd. | 25,223 | 639 | |
SLM Corp. | 32,690 | 613 | |
Signature Bank | 2,063 | 535 | |
Marsh & McLennan Cos. Inc. | 3,378 | 531 | |
Western Alliance Bancorp | 5,018 | 490 | |
* | SVB Financial Group | 844 | 472 |
Affiliated Managers Group Inc. | 2,716 | 462 | |
Bank OZK | 9,989 | 424 | |
American International Group Inc. | 7,692 | 420 | |
* | Customers Bancorp Inc. | 10,148 | 420 |
Comerica Inc. | 5,036 | 372 | |
Citizens Financial Group Inc. | 8,386 | 367 | |
Evercore Inc. Class A | 2,478 | 346 | |
East West Bancorp Inc. | 4,627 | 339 | |
PacWest Bancorp | 7,959 | 339 | |
Flushing Financial Corp. | 14,516 | 333 | |
Old Republic International Corp. | 12,652 | 329 | |
Navient Corp. | 13,720 | 318 | |
Berkshire Hills Bancorp Inc. | 12,386 | 317 | |
* | Bancorp Inc. | 12,746 | 314 |
Jefferies Financial Group Inc. | 7,762 | 287 | |
BlackRock Inc. | 296 | 279 | |
Discover Financial Services | 2,175 | 279 | |
Valley National Bancorp | 20,896 | 272 | |
* | LendingClub Corp. | 8,144 | 253 |
Assured Guaranty Ltd. | 4,989 | 249 | |
First Republic Bank | 1,241 | 247 | |
ServisFirst Bancshares Inc. | 3,308 | 243 | |
* | Marathon Digital Holdings Inc. | 5,853 | 238 |
Hanmi Financial Corp. | 10,908 | 210 |
Shares | Market Value ($000) | ||
* | Silvergate Capital Corp. Class A | 1,820 | 206 |
Prudential Financial Inc. | 1,863 | 197 | |
* | Riot Blockchain Inc. | 4,954 | 185 |
BankUnited Inc. | 3,943 | 166 | |
First Citizens BancShares Inc. Class A | 184 | 165 | |
Northfield Bancorp Inc. | 9,770 | 165 | |
HCI Group Inc. | 1,309 | 146 | |
Live Oak Bancshares Inc. | 2,393 | 146 | |
* | Triumph Bancorp Inc. | 1,763 | 145 |
Eagle Bancorp Inc. | 2,476 | 143 | |
B Riley Financial Inc. | 2,157 | 141 | |
* | Enova International Inc. | 4,263 | 141 |
Meta Financial Group Inc. | 2,810 | 138 | |
Great Western Bancorp Inc. | 4,341 | 134 | |
Janus Henderson Group plc | 3,077 | 133 | |
Fifth Third Bancorp | 3,309 | 129 | |
Cohen & Steers Inc. | 1,438 | 126 | |
* | MoneyGram International Inc. | 13,867 | 125 |
Ares Management Corp. Class A | 1,577 | 122 | |
Cowen Inc. Class A | 2,965 | 107 | |
Towne Bank | 3,368 | 103 | |
Brightsphere Investment Group Inc. | 3,762 | 102 | |
* | World Acceptance Corp. | 532 | 101 |
S&P Global Inc. | 217 | 96 | |
* | Mr Cooper Group Inc. | 2,340 | 91 |
Sculptor Capital Management Inc. Class A | 3,053 | 86 | |
Goosehead Insurance Inc. Class A | 556 | 82 | |
* | MBIA Inc. | 6,822 | 76 |
Cincinnati Financial Corp. | 569 | 70 | |
Morningstar Inc. | 254 | 68 | |
Arthur J Gallagher & Co. | 452 | 65 | |
ConnectOne Bancorp Inc. | 2,224 | 64 | |
Carlyle Group Inc. | 1,270 | 63 | |
OneMain Holdings Inc. | 1,070 | 62 | |
PennyMac Financial Services Inc. | 923 | 61 | |
Kinsale Capital Group Inc. | 320 | 58 | |
Harborone Bancorp Inc. | 3,948 | 56 | |
Curo Group Holdings Corp. | 3,213 | 53 | |
Hamilton Lane Inc. Class A | 529 | 46 | |
Intercontinental Exchange Inc. | 378 | 45 | |
Virtus Investment Partners Inc. | 134 | 42 | |
Brown & Brown Inc. | 600 | 35 | |
Hartford Financial Services Group Inc. | 512 | 34 | |
MetLife Inc. | 536 | 33 | |
Oppenheimer Holdings Inc. Class A | 679 | 32 | |
Bank of America Corp. | 735 | 31 | |
JPMorgan Chase & Co. | 191 | 31 | |
U.S. Bancorp | 527 | 30 | |
27,869 | |||
Health Care (17.3%) | |||
HCA Healthcare Inc. | 6,184 | 1,564 | |
Eli Lilly & Co. | 5,766 | 1,489 | |
* | Moderna Inc. | 3,700 | 1,394 |
* | IDEXX Laboratories Inc. | 1,514 | 1,020 |
* | Align Technology Inc. | 1,359 | 964 |
* | STAAR Surgical Co. | 3,767 | 582 |
* | Intellia Therapeutics Inc. | 3,114 | 500 |
Danaher Corp. | 1,475 | 478 |
Shares | Market Value ($000) | ||
Agilent Technologies Inc. | 2,481 | 435 | |
* | Shockwave Medical Inc. | 1,841 | 394 |
* | Omnicell Inc. | 2,332 | 362 |
* | Pacific Biosciences of California Inc. | 11,040 | 346 |
* | Tenet Healthcare Corp. | 4,228 | 319 |
* | Joint Corp. | 3,111 | 318 |
Bruker Corp. | 3,531 | 312 | |
* | Novavax Inc. | 1,308 | 312 |
Bio-Techne Corp. | 610 | 304 | |
* | AngioDynamics Inc. | 10,572 | 299 |
* | Biohaven Pharmaceutical Holding Co. Ltd. | 2,254 | 296 |
* | Charles River Laboratories International Inc. | 637 | 283 |
* | Horizon Therapeutics plc | 2,595 | 281 |
* | Laboratory Corp. of America Holdings | 923 | 280 |
* | Morphic Holding Inc. | 4,133 | 260 |
* | IQVIA Holdings Inc. | 947 | 246 |
* | Aclaris Therapeutics Inc. | 15,127 | 245 |
* | Prothena Corp. plc | 3,557 | 239 |
*,1 | Senseonics Holdings Inc. | 59,112 | 237 |
* | Anavex Life Sciences Corp. | 11,870 | 231 |
* | Surgery Partners Inc. | 4,702 | 231 |
* | OptimizeRx Corp. | 3,200 | 212 |
* | Celldex Therapeutics Inc. | 3,980 | 210 |
Anthem Inc. | 556 | 209 | |
* | Acadia Healthcare Co. Inc. | 3,141 | 208 |
* | VistaGen Therapeutics Inc. | 66,950 | 204 |
* | PAVmed Inc. | 27,605 | 202 |
* | Cutera Inc. | 3,944 | 196 |
* | Avid Bioservices Inc. | 7,912 | 192 |
* | Illumina Inc. | 409 | 187 |
* | Protagonist Therapeutics Inc. | 3,759 | 182 |
* | Bionano Genomics Inc. | 31,002 | 181 |
* | Beam Therapeutics Inc. | 1,599 | 177 |
* | Asensus Surgical Inc. | 80,596 | 177 |
* | Brookdale Senior Living Inc. | 23,751 | 173 |
* | Heska Corp. | 651 | 173 |
* | Vericel Corp. | 3,200 | 173 |
* | ClearPoint Neuro Inc. | 9,085 | 171 |
* | Biogen Inc. | 502 | 170 |
* | Varex Imaging Corp. | 5,721 | 167 |
* | Repligen Corp. | 581 | 164 |
Select Medical Holdings Corp. | 4,675 | 162 | |
* | DaVita Inc. | 1,221 | 160 |
* | Outlook Therapeutics Inc. | 57,504 | 159 |
* | Apollo Medical Holdings Inc. | 2,078 | 158 |
* | Prestige Consumer Healthcare Inc. | 2,717 | 156 |
* | Ocugen Inc. | 20,577 | 156 |
* | Cassava Sciences Inc. | 2,715 | 154 |
Owens & Minor Inc. | 4,115 | 153 | |
* | Evelo Biosciences Inc. | 13,209 | 150 |
* | Chimerix Inc. | 20,964 | 149 |
* | Veeva Systems Inc. Class A | 440 | 146 |
* | Alector Inc. | 5,403 | 146 |
* | Lexicon Pharmaceuticals Inc. | 29,980 | 142 |
* | Seelos Therapeutics Inc. | 63,731 | 140 |
* | Natera Inc. | 1,165 | 138 |
* | Rubius Therapeutics Inc. | 6,371 | 138 |
* | Novocure Ltd. | 1,026 | 138 |
Shares | Market Value ($000) | ||
* | Oncocyte Corp. | 33,472 | 137 |
* | ViewRay Inc. | 22,597 | 136 |
* | Fulgent Genetics Inc. | 1,491 | 136 |
* | Atossa Therapeutics Inc. | 35,387 | 134 |
* | Lantheus Holdings Inc. | 4,987 | 132 |
* | Lineage Cell Therapeutics Inc. | 52,474 | 132 |
* | BioCryst Pharmaceuticals Inc. | 8,197 | 131 |
* | Evolus Inc. | 12,337 | 131 |
* | IVERIC bio Inc. | 11,868 | 125 |
* | United Therapeutics Corp. | 576 | 124 |
* | Inogen Inc. | 2,054 | 122 |
* | Fate Therapeutics Inc. | 1,658 | 121 |
* | Marinus Pharmaceuticals Inc. | 9,719 | 120 |
* | Community Health Systems Inc. | 9,306 | 115 |
* | Inspire Medical Systems Inc. | 506 | 113 |
* | 10X Genomics Inc. Class A | 640 | 113 |
* | Myriad Genetics Inc. | 3,116 | 112 |
* | CorVel Corp. | 653 | 108 |
* | Catalent Inc. | 810 | 106 |
LeMaitre Vascular Inc. | 1,861 | 105 | |
* | MannKind Corp. | 21,693 | 104 |
* | Verastem Inc. | 38,933 | 103 |
* | Organogenesis Holdings Inc. Class A | 5,945 | 101 |
* | Castle Biosciences Inc. | 1,298 | 100 |
* | Insulet Corp. | 323 | 96 |
* | Rigel Pharmaceuticals Inc. | 24,604 | 94 |
* | Intra-Cellular Therapies Inc. | 2,780 | 92 |
* | Dynavax Technologies Corp. | 4,506 | 88 |
* | Twist Bioscience Corp. | 772 | 87 |
* | Cerevel Therapeutics Holdings Inc. | 2,671 | 85 |
* | ChromaDex Corp. | 9,795 | 84 |
* | Tandem Diabetes Care Inc. | 734 | 82 |
* | MiMedx Group Inc. | 5,575 | 82 |
* | Arvinas Inc. | 908 | 78 |
* | AtriCure Inc. | 998 | 73 |
West Pharmaceutical Services Inc. | 161 | 73 | |
* | Masimo Corp. | 266 | 72 |
* | TG Therapeutics Inc. | 2,650 | 72 |
* | RadNet Inc. | 2,275 | 71 |
* | Bridgebio Pharma Inc. | 1,393 | 70 |
* | Neuronetics Inc. | 10,476 | 70 |
* | Cortexyme Inc. | 725 | 70 |
* | Ocular Therapeutix Inc. | 6,567 | 69 |
* | Revance Therapeutics Inc. | 2,554 | 68 |
* | Sientra Inc. | 11,127 | 68 |
* | Avantor Inc. | 1,702 | 67 |
*,1 | Retractable Technologies Inc. | 5,156 | 66 |
* | Kodiak Sciences Inc. | 695 | 65 |
* | Evolent Health Inc. Class A | 2,560 | 63 |
* | Affimed NV | 8,913 | 63 |
* | Dicerna Pharmaceuticals Inc. | 3,023 | 62 |
* | Sesen Bio Inc. | 65,594 | 62 |
* | Denali Therapeutics Inc. | 1,142 | 61 |
* | LHC Group Inc. | 327 | 61 |
*,1 | Brooklyn ImmunoTherapeutics Inc. | 4,975 | 60 |
* | Citius Pharmaceuticals Inc. | 25,907 | 58 |
* | Penumbra Inc. | 204 | 56 |
* | TransMedics Group Inc. | 1,685 | 55 |
Shares | Market Value ($000) | ||
* | SpringWorks Therapeutics Inc. | 727 | 55 |
* | Veracyte Inc. | 1,112 | 54 |
* | Ampio Pharmaceuticals Inc. | 31,519 | 52 |
* | Gritstone bio Inc. | 5,649 | 52 |
* | Meridian Bioscience Inc. | 2,545 | 52 |
* | NanoString Technologies Inc. | 898 | 52 |
* | KemPharm Inc. | 5,573 | 52 |
* | R1 RCM Inc. | 2,602 | 51 |
* | Medpace Holdings Inc. | 270 | 49 |
* | Quanterix Corp. | 962 | 49 |
* | ImmunoGen Inc. | 7,737 | 47 |
* | KalVista Pharmaceuticals Inc. | 2,316 | 47 |
* | Apellis Pharmaceuticals Inc. | 695 | 46 |
Zoetis Inc. | 225 | 46 | |
* | Acceleron Pharma Inc. | 332 | 44 |
* | Cytokinetics Inc. | 1,301 | 43 |
STERIS plc | 199 | 43 | |
* | Option Care Health Inc. | 1,565 | 42 |
Abbott Laboratories | 299 | 38 | |
* | Dermtech Inc. | 1,023 | 38 |
* | Alphatec Holdings Inc. | 2,570 | 37 |
* | NeoGenomics Inc. | 769 | 37 |
* | Curis Inc. | 4,118 | 36 |
* | Halozyme Therapeutics Inc. | 863 | 36 |
Thermo Fisher Scientific Inc. | 63 | 35 | |
* | Infinity Pharmaceuticals Inc. | 9,904 | 35 |
* | Krystal Biotech Inc. | 572 | 33 |
* | OPKO Health Inc. | 8,424 | 33 |
* | Envista Holdings Corp. | 745 | 32 |
* | IGM Biosciences Inc. | 444 | 32 |
* | GT Biopharma Inc. | 3,566 | 32 |
* | Ideaya Biosciences Inc. | 1,318 | 31 |
27,159 | |||
Industrials (17.4%) | |||
Johnson Controls International plc | 27,023 | 2,021 | |
Capital One Financial Corp. | 11,918 | 1,978 | |
Deere & Co. | 3,822 | 1,445 | |
Trane Technologies plc | 5,198 | 1,032 | |
* | PayPal Holdings Inc. | 3,077 | 888 |
* | Square Inc. Class A | 3,161 | 847 |
Eaton Corp. plc | 4,462 | 751 | |
General Electric Co. | 6,885 | 726 | |
Automatic Data Processing Inc. | 3,113 | 651 | |
American Express Co. | 3,243 | 538 | |
* | MasTec Inc. | 5,850 | 535 |
* | Waters Corp. | 1,179 | 488 |
Eagle Materials Inc. | 3,024 | 474 | |
* | Generac Holdings Inc. | 1,057 | 462 |
Caterpillar Inc. | 1,739 | 367 | |
* | Bill.Com Holdings Inc. | 1,339 | 367 |
* | Zebra Technologies Corp. Class A | 582 | 342 |
United Parcel Service Inc. Class B | 1,722 | 337 | |
Valmont Industries Inc. | 1,344 | 335 | |
Pentair plc | 4,242 | 327 | |
Genco Shipping & Trading Ltd. | 16,541 | 322 | |
* | Middleby Corp. | 1,689 | 309 |
* | WESCO International Inc. | 2,557 | 299 |
* | Axon Enterprise Inc. | 1,641 | 298 |
Shares | Market Value ($000) | ||
Synchrony Financial | 5,602 | 279 | |
* | Veritiv Corp. | 2,997 | 269 |
* | Safe Bulkers Inc. | 65,656 | 265 |
Advanced Drainage Systems Inc. | 2,289 | 261 | |
* | Chart Industries Inc. | 1,347 | 254 |
Alliance Data Systems Corp. | 2,537 | 249 | |
* | Aspen Aerogels Inc. | 5,700 | 249 |
Snap-on Inc. | 1,055 | 237 | |
* | Trex Co. Inc. | 2,131 | 234 |
Quanta Services Inc. | 2,227 | 227 | |
Otis Worldwide Corp. | 2,369 | 219 | |
Sealed Air Corp. | 3,516 | 215 | |
* | Donnelley Financial Solutions Inc. | 6,315 | 211 |
Norfolk Southern Corp. | 828 | 210 | |
* | Mohawk Industries Inc. | 972 | 192 |
* | Titan International Inc. | 22,845 | 190 |
Shyft Group Inc. | 4,309 | 190 | |
* | Cross Country Healthcare Inc. | 8,684 | 189 |
* | GreenBox POS | 19,263 | 188 |
Costamare Inc. | 12,930 | 186 | |
* | Herc Holdings Inc. | 1,404 | 185 |
FedEx Corp. | 664 | 176 | |
Robert Half International Inc. | 1,706 | 176 | |
* | Ranpak Holdings Corp. Class A | 5,613 | 172 |
EnPro Industries Inc. | 1,978 | 169 | |
Korn Ferry | 2,392 | 169 | |
* | Titan Machinery Inc. | 5,886 | 169 |
* | RR Donnelley & Sons Co. | 31,300 | 154 |
General Dynamics Corp. | 769 | 154 | |
* | Babcock & Wilcox Enterprises Inc. | 20,305 | 148 |
* | BlueLinx Holdings Inc. | 2,534 | 146 |
AGCO Corp. | 1,055 | 145 | |
* | MYR Group Inc. | 1,336 | 139 |
* | TopBuild Corp. | 622 | 136 |
Textron Inc. | 1,831 | 133 | |
Fortune Brands Home & Security Inc. | 1,354 | 132 | |
Maxar Technologies Inc. | 3,610 | 115 | |
Rexnord Corp. | 1,890 | 115 | |
Kforce Inc. | 1,944 | 114 | |
Greenbrier Cos. Inc. | 2,493 | 110 | |
* | Commercial Vehicle Group Inc. | 10,388 | 109 |
Heidrick & Struggles International Inc. | 2,516 | 109 | |
Macquarie Infrastructure Corp. | 2,701 | 108 | |
Old Dominion Freight Line Inc. | 375 | 108 | |
* | Textainer Group Holdings Ltd. | 3,137 | 104 |
* | Atkore Inc. | 1,108 | 103 |
Equifax Inc. | 374 | 102 | |
Regal Beloit Corp. | 663 | 99 | |
* | Saia Inc. | 410 | 98 |
* | CryoPort Inc. | 1,475 | 94 |
* | NV5 Global Inc. | 822 | 87 |
* | Resideo Technologies Inc. | 2,656 | 86 |
* | XPO Logistics Inc. | 992 | 86 |
* | Paylocity Holding Corp. | 317 | 85 |
nVent Electric plc | 2,442 | 84 | |
CRA International Inc. | 892 | 83 | |
* | Cornerstone Building Brands Inc. | 4,859 | 81 |
* | Masonite International Corp. | 655 | 78 |
Shares | Market Value ($000) | ||
* | Builders FirstSource Inc. | 1,450 | 77 |
Mastercard Inc. Class A | 214 | 74 | |
* | Modine Manufacturing Co. | 5,968 | 74 |
ArcBest Corp. | 1,074 | 72 | |
* | Energy Recovery Inc. | 3,545 | 72 |
Pitney Bowes Inc. | 9,481 | 71 | |
*,2 | API Group Corp. | 3,078 | 71 |
Ryder System Inc. | 877 | 70 | |
* | Virgin Galactic Holdings Inc. | 2,425 | 66 |
ManpowerGroup Inc. | 531 | 65 | |
Cintas Corp. | 162 | 64 | |
Granite Construction Inc. | 1,541 | 63 | |
* | Triumph Group Inc. | 3,400 | 63 |
Installed Building Products Inc. | 488 | 61 | |
Brunswick Corp. | 597 | 58 | |
* | Blue Bird Corp. | 2,492 | 54 |
MKS Instruments Inc. | 359 | 53 | |
REV Group Inc. | 3,211 | 52 | |
* | Astronics Corp. | 3,823 | 51 |
* | PureCycle Technologies Inc. | 3,488 | 51 |
* | Construction Partners Inc. Class A | 1,466 | 49 |
Acuity Brands Inc. | 256 | 47 | |
Franklin Electric Co. Inc. | 535 | 46 | |
Patrick Industries Inc. | 558 | 46 | |
Carrier Global Corp. | 805 | 46 | |
DuPont de Nemours Inc. | 582 | 43 | |
Exponent Inc. | 353 | 41 | |
* | Eagle Bulk Shipping Inc. | 824 | 41 |
Cognex Corp. | 429 | 38 | |
Helios Technologies Inc. | 446 | 36 | |
* | Fair Isaac Corp. | 77 | 35 |
* | Bloom Energy Corp. Class A | 1,576 | 34 |
Tetra Tech Inc. | 231 | 33 | |
* | AMN Healthcare Services Inc. | 288 | 33 |
* | Teledyne Technologies Inc. | 70 | 32 |
* | TrueBlue Inc. | 1,163 | 32 |
* | Montrose Environmental Group Inc. | 642 | 32 |
Astec Industries Inc. | 498 | 30 | |
* | Conduent Inc. | 4,158 | 30 |
27,320 | |||
Real Estate (0.5%) | |||
* | Jones Lang LaSalle Inc. | 876 | 212 |
* | Zillow Group Inc. Class C | 1,287 | 123 |
eXp World Holdings Inc. | 2,495 | 114 | |
* | Redfin Corp. | 2,073 | 101 |
* | CoStar Group Inc. | 736 | 62 |
Newmark Group Inc. Class A | 4,225 | 58 | |
* | Realogy Holdings Corp. | 3,022 | 53 |
* | CBRE Group Inc. Class A | 400 | 39 |
762 | |||
Technology (11.7%) | |||
Applied Materials Inc. | 10,334 | 1,396 | |
* | Alphabet Inc. Class C | 468 | 1,362 |
NVIDIA Corp. | 4,728 | 1,058 | |
* | Twitter Inc. | 16,207 | 1,045 |
Oracle Corp. | 10,658 | 950 | |
Apple Inc. | 6,181 | 939 |
Shares | Market Value ($000) | ||
* | J2 Global Inc. | 3,691 | 508 |
* | Synaptics Inc. | 2,255 | 428 |
Lam Research Corp. | 637 | 385 | |
* | Gartner Inc. | 1,193 | 368 |
* | HubSpot Inc. | 535 | 366 |
* | Crowdstrike Holdings Inc. Class A | 1,253 | 352 |
* | Western Digital Corp. | 5,108 | 323 |
* | Teradata Corp. | 5,751 | 315 |
Microsoft Corp. | 1,015 | 306 | |
* | Upwork Inc. | 6,423 | 287 |
* | Alphabet Inc. Class A | 95 | 275 |
* | Cloudflare Inc. Class A | 2,197 | 265 |
* | Fortinet Inc. | 820 | 258 |
* | DXC Technology Co. | 6,977 | 256 |
* | Arrow Electronics Inc. | 2,081 | 252 |
Entegris Inc. | 2,074 | 249 | |
SYNNEX Corp. | 1,934 | 246 | |
* | DocuSign Inc. Class A | 751 | 223 |
* | NCR Corp. | 4,952 | 210 |
Intuit Inc. | 369 | 209 | |
* | Digital Turbine Inc. | 3,548 | 207 |
* | MicroVision Inc. | 13,923 | 205 |
* | Zscaler Inc. | 705 | 196 |
Vertiv Holdings Co. Class A | 6,902 | 194 | |
* | 3D Systems Corp. | 6,114 | 186 |
* | Globant SA | 496 | 160 |
* | Avid Technology Inc. | 5,823 | 150 |
* | MicroStrategy Inc. Class A | 210 | 146 |
* | Cadence Design Systems Inc. | 870 | 142 |
* | Kopin Corp. | 22,701 | 134 |
* | EMCORE Corp. | 17,277 | 129 |
* | Ultra Clean Holdings Inc. | 2,733 | 126 |
* | EPAM Systems Inc. | 198 | 125 |
Teradyne Inc. | 1,014 | 123 | |
* | Coupa Software Inc. | 482 | 118 |
* | Grid Dynamics Holdings Inc. | 4,420 | 118 |
* | MACOM Technology Solutions Holdings Inc. Class H | 1,915 | 116 |
* | Veritone Inc. | 5,538 | 116 |
KLA Corp. | 334 | 114 | |
* | Paycom Software Inc. | 226 | 111 |
* | MongoDB Inc. Class A | 265 | 104 |
* | Okta Inc. | 393 | 104 |
* | Lattice Semiconductor Corp. | 1,629 | 101 |
* | Sprout Social Inc. Class A | 829 | 101 |
* | Atomera Inc. | 4,064 | 100 |
* | IAC/Inter Active Corp. | 754 | 100 |
* | RingCentral Inc. Class A | 393 | 99 |
Monolithic Power Systems Inc. | 197 | 98 | |
* | Twilio Inc. Class A | 273 | 97 |
* | Magnite Inc. | 3,345 | 97 |
* | FormFactor Inc. | 2,473 | 96 |
Shutterstock Inc. | 827 | 95 | |
* | Domo Inc. Class B | 1,034 | 93 |
* | Qorvo Inc. | 446 | 84 |
* | Manhattan Associates Inc. | 476 | 78 |
Broadcom Inc. | 154 | 77 | |
* | Cerence Inc. | 669 | 73 |
* | Zoom Video Communications Inc. Class A | 225 | 65 |
Shares | Market Value ($000) | ||
* | Advanced Micro Devices Inc. | 581 | 64 |
Skyworks Solutions Inc. | 349 | 64 | |
* | Avaya Holdings Corp. | 3,013 | 61 |
* | Unisys Corp. | 2,526 | 61 |
* | TechTarget Inc. | 674 | 57 |
* | II-VI Inc. | 911 | 57 |
* | Agilysys Inc. | 984 | 56 |
* | Rapid7 Inc. | 451 | 55 |
* | Synopsys Inc. | 158 | 53 |
* | LivePerson Inc. | 790 | 51 |
* | SPS Commerce Inc. | 361 | 49 |
* | Novanta Inc. | 298 | 46 |
* | CEVA Inc. | 935 | 45 |
* | Everbridge Inc. | 259 | 41 |
KBR Inc. | 1,052 | 41 | |
* | Ambarella Inc. | 386 | 40 |
* | Varonis Systems Inc. Class B | 562 | 39 |
* | Allscripts Healthcare Solutions Inc. | 2,434 | 37 |
* | Rimini Street Inc. | 3,822 | 37 |
* | Diodes Inc. | 376 | 36 |
* | PAR Technology Corp. | 487 | 33 |
18,432 | |||
Telecommunications (2.0%) | |||
* | Roku Inc. | 2,558 | 901 |
* | Charter Communications Inc. Class A | 351 | 287 |
* | WideOpenWest Inc. | 12,411 | 263 |
* | Globalstar Inc. | 123,848 | 246 |
* | T-Mobile U.S. Inc. | 1,781 | 244 |
Motorola Solutions Inc. | 758 | 185 | |
* | IDT Corp. Class B | 4,242 | 184 |
* | Calix Inc. | 3,583 | 167 |
* | Cambium Networks Corp. | 2,962 | 111 |
* | Aviat Networks Inc. | 2,443 | 87 |
Ubiquiti Inc. | 249 | 81 | |
* | Anterix Inc. | 1,167 | 69 |
Cable One Inc. | 27 | 57 | |
* | Infinera Corp. | 5,709 | 48 |
* | Extreme Networks Inc. | 3,293 | 36 |
* | Clearfield Inc. | 746 | 34 |
* | CommScope Holding Co. Inc. | 2,061 | 33 |
* | fuboTV Inc. | 1,101 | 32 |
* | Plantronics Inc. | 1,044 | 31 |
Lumen Technologies Inc. | 2,514 | 31 | |
3,127 | |||
Utilities (0.5%) | |||
Waste Management Inc. | 5,264 | 816 | |
* | Evoqua Water Technologies Corp. | 1,097 | 43 |
859 | |||
Total Common Stocks (Cost $126,306) | 156,615 |
Shares | Market Value ($000) | ||
Temporary Cash Investments (0.7%) | |||
Money Market Fund (0.7%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.068% (Cost $1,126) | 11,260 | 1,126 |
Total Investments (100.3%) (Cost $127,432) | 157,741 | ||
Other Assets and Liabilities—Net (-0.3%) | (507) | ||
Net Assets (100%) | 157,234 | ||
Cost is in $000. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $607,000. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2021, the aggregate value was $71,000, representing 0.0% of net assets. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $621,000 was received for securities on loan. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 2 | 452 | 11 |
Micro E-mini S&P 500 Index | September 2021 | 1 | 23 | — |
11 |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At August 31, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.