Vanguard® U.S. Liquidity Factor ETF
Schedule of Investments (unaudited)
As of February 28, 2022
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 (4.9%) | |||
Ecolab Inc. | 1,908 | 336 | |
Dow Inc. | 3,945 | 233 | |
Air Products and Chemicals Inc. | 892 | 211 | |
Balchem Corp. | 1,100 | 152 | |
Southern Copper Corp. | 2,145 | 149 | |
UFP Industries Inc. | 1,187 | 102 | |
Reliance Steel & Aluminum Co. | 526 | 100 | |
* | RBC Bearings Inc. | 504 | 98 |
Timken Co. | 1,335 | 87 | |
Valvoline Inc. | 2,403 | 78 | |
AdvanSix Inc. | 1,776 | 71 | |
FutureFuel Corp. | 9,610 | 71 | |
Avient Corp. | 1,334 | 70 | |
Huntsman Corp. | 1,308 | 53 | |
Glatfelter Corp. | 3,885 | 53 | |
Royal Gold Inc. | 373 | 45 | |
American Vanguard Corp. | 2,694 | 41 | |
Chemours Co. | 1,336 | 37 | |
Mueller Industries Inc. | 654 | 37 | |
Scotts Miracle-Gro Co. | 242 | 34 | |
Stepan Co. | 314 | 33 | |
Ryerson Holding Corp. | 1,057 | 28 | |
Tredegar Corp. | 2,431 | 28 | |
Orion Engineered Carbons SA | 1,744 | 27 | |
Ashland Global Holdings Inc. | 287 | 26 | |
* | Energy Fuels Inc. | 3,170 | 26 |
Minerals Technologies Inc. | 371 | 26 | |
* | Koppers Holdings Inc. | 883 | 25 |
* | Rayonier Advanced Materials Inc. | 4,307 | 25 |
Linde plc | 80 | 23 | |
* | Clearwater Paper Corp. | 690 | 20 |
* | Novagold Resources Inc. | 2,580 | 18 |
Avery Dennison Corp. | 80 | 14 | |
Neenah Inc. | 316 | 12 | |
2,389 | |||
Consumer Discretionary (8.4%) | |||
Ross Stores Inc. | 2,103 | 192 | |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 3,155 | 159 |
* | Aptiv plc | 1,194 | 155 |
* | Golden Entertainment Inc. | 2,495 | 142 |
AMERCO | 212 | 122 | |
* | Liberty Media Corp.-Liberty Formula One Class C | 1,788 | 109 |
Shares | Market Value ($000) | ||
Pool Corp. | 212 | 97 | |
Churchill Downs Inc. | 391 | 94 | |
Choice Hotels International Inc. | 583 | 84 | |
Carriage Services Inc. Class A | 1,605 | 79 | |
Fox Corp. Class B | 2,074 | 79 | |
Movado Group Inc. | 1,958 | 77 | |
Haverty Furniture Cos. Inc. | 2,214 | 63 | |
* | Fox Factory Holding Corp. | 523 | 62 |
Paramount Global Class A | 1,808 | 62 | |
* | Vera Bradley Inc. | 8,103 | 61 |
Franchise Group Inc. | 1,456 | 61 | |
* | EW Scripps Co. Class A | 2,597 | 58 |
Global Industrial Co. | 1,832 | 58 | |
Genuine Parts Co. | 465 | 57 | |
Penske Automotive Group Inc. | 577 | 57 | |
Travel + Leisure Co. | 1,024 | 57 | |
National CineMedia Inc. | 19,012 | 56 | |
* | PlayAGS Inc. | 6,745 | 56 |
News Corp. Class A | 2,466 | 55 | |
* | Audacy Inc. Class A | 17,843 | 55 |
Rollins Inc. | 1,641 | 54 | |
Johnson Outdoors Inc. Class A | 612 | 50 | |
* | Century Casinos Inc. | 4,016 | 49 |
Acushnet Holdings Corp. | 1,095 | 48 | |
* | Liberty Media Corp.- Liberty Braves Class C | 1,949 | 48 |
* | Revlon Inc. Class A | 4,902 | 48 |
* | Stoneridge Inc. | 2,864 | 47 |
* | Monarch Casino & Resort Inc. | 582 | 45 |
Service Corp. International | 740 | 45 | |
* | Arlo Technologies Inc. | 4,582 | 43 |
* | Accel Entertainment Inc. Class A | 3,265 | 43 |
Cato Corp. Class A | 2,280 | 40 | |
* | Bright Horizons Family Solutions Inc. | 298 | 39 |
Kimball International Inc. Class B | 4,183 | 39 | |
* | Lindblad Expeditions Holdings Inc. | 2,135 | 38 |
* | Chuy's Holdings Inc. | 1,141 | 37 |
Gentex Corp. | 1,221 | 37 | |
Leggett & Platt Inc. | 953 | 35 | |
* | MarineMax Inc. | 756 | 35 |
* | OneSpaWorld Holdings Ltd. | 3,367 | 35 |
* | American Public Education Inc. | 1,708 | 34 |
Ethan Allen Interiors Inc. | 1,287 | 34 | |
Wyndham Hotels & Resorts Inc. | 388 | 34 | |
Autoliv Inc. | 372 | 33 | |
* | Duluth Holdings Inc. Class B | 2,365 | 33 |
Tilly's Inc. Class A | 2,593 | 33 | |
* | Boston Omaha Corp. Class A | 1,145 | 32 |
Scholastic Corp. | 768 | 32 | |
Qurate Retail Inc. Series A | 5,606 | 31 | |
* | Lands' End Inc. | 1,759 | 30 |
* | Grand Canyon Education Inc. | 319 | 28 |
Inter Parfums Inc. | 303 | 28 | |
* | Universal Electronics Inc. | 843 | 28 |
* | Noodles & Co. Class A | 3,998 | 27 |
* | IAA Inc. | 709 | 26 |
* | Liberty TripAdvisor Holdings Inc. Class A | 11,315 | 24 |
* | National Vision Holdings Inc. | 668 | 24 |
* | LiveOne Inc. | 28,376 | 24 |
Shares | Market Value ($000) | ||
* | Bally's Corp. | 598 | 22 |
Marriott Vacations Worldwide Corp. | 131 | 21 | |
* | Motorcar Parts of America Inc. | 1,275 | 21 |
* | VOXX International Corp. Class A | 1,958 | 21 |
* | Floor & Decor Holdings Inc. Class A | 208 | 20 |
* | Chicken Soup For The Soul Entertainment Inc. | 2,057 | 20 |
* | Cooper-Standard Holdings Inc. | 1,492 | 19 |
* | Helen of Troy Ltd. | 93 | 19 |
* | Thryv Holdings Inc. | 629 | 19 |
* | Mesa Air Group Inc. | 4,027 | 18 |
* | Clear Channel Outdoor Holdings Inc. | 4,352 | 16 |
* | Lazydays Holdings Inc. | 855 | 16 |
Lennar Corp. Class B | 196 | 15 | |
Rocky Brands Inc. | 391 | 15 | |
Carrols Restaurant Group Inc. | 5,330 | 14 | |
HNI Corp. | 356 | 14 | |
* | PROG Holdings Inc. | 457 | 14 |
* | El Pollo Loco Holdings Inc. | 1,004 | 13 |
* | Lovesac Co. | 315 | 13 |
* | O'Reilly Automotive Inc. | 18 | 12 |
Estee Lauder Cos. Inc. Class A | 36 | 11 | |
* | Scientific Games Corp. Class A | 168 | 11 |
* | SiteOne Landscape Supply Inc. | 62 | 11 |
* | Viad Corp. | 316 | 11 |
* | TravelCenters of America Inc. | 252 | 11 |
Winmark Corp. | 44 | 10 | |
* | Stagwell Inc. | 1,364 | 10 |
* | NEOGAMES SA | 395 | 9 |
* | Barnes & Noble Education Inc. | 1,546 | 8 |
* | frontdoor Inc. | 279 | 8 |
* | Kura Sushi USA Inc. Class A | 151 | 8 |
* | QuinStreet Inc. | 599 | 7 |
4,054 | |||
Consumer Staples (3.6%) | |||
Flowers Foods Inc. | 9,610 | 263 | |
Brown-Forman Corp. Class A | 2,698 | 165 | |
Philip Morris International Inc. | 1,549 | 157 | |
* | Darling Ingredients Inc. | 2,062 | 149 |
Colgate-Palmolive Co. | 1,839 | 141 | |
Keurig Dr Pepper Inc. | 2,193 | 85 | |
Kimberly-Clark Corp. | 643 | 84 | |
Weis Markets Inc. | 1,325 | 82 | |
* | Pilgrim's Pride Corp. | 3,426 | 81 |
Seaboard Corp. | 20 | 77 | |
Casey's General Stores Inc. | 284 | 53 | |
Sysco Corp. | 583 | 51 | |
Andersons Inc. | 1,031 | 47 | |
Brown-Forman Corp. Class B | 596 | 39 | |
ACCO Brands Corp. | 3,700 | 32 | |
Ingredion Inc. | 338 | 30 | |
* | Performance Food Group Co. | 542 | 30 |
Altria Group Inc. | 545 | 28 | |
* | Freshpet Inc. | 280 | 27 |
SpartanNash Co. | 885 | 25 | |
* | Post Holdings Inc. | 201 | 21 |
* | NewAge Inc. | 28,723 | 19 |
* | Mission Produce Inc. | 1,202 | 16 |
Lancaster Colony Corp. | 88 | 15 |
Shares | Market Value ($000) | ||
Fresh Del Monte Produce Inc. | 512 | 13 | |
* | Greenlane Holdings Inc. Class A | 14,939 | 8 |
* | Laird Superfood Inc. | 1,207 | 7 |
1,745 | |||
Energy (2.7%) | |||
* | RPC Inc. | 12,545 | 110 |
* | Select Energy Services Inc. Class A | 12,094 | 100 |
* | Dril-Quip Inc. | 3,205 | 92 |
Solaris Oilfield Infrastructure Inc. Class A | 8,445 | 88 | |
* | CONSOL Energy Inc. | 2,604 | 80 |
Berry Corp. | 7,669 | 77 | |
* | Liberty Oilfield Services Inc. Class A | 6,171 | 77 |
* | Expro Group Holdings NV | 3,967 | 64 |
ChampionX Corp. | 2,618 | 56 | |
* | Newpark Resources Inc. | 13,490 | 51 |
* | Bristow Group Inc. | 1,510 | 50 |
Archrock Inc. | 5,642 | 47 | |
EOG Resources Inc. | 407 | 47 | |
SunCoke Energy Inc. | 5,664 | 45 | |
* | Talos Energy Inc. | 2,881 | 45 |
* | Centrus Energy Corp. Class A | 921 | 42 |
* | MRC Global Inc. | 4,001 | 40 |
* | Oil States International Inc. | 7,322 | 38 |
Texas Pacific Land Corp. | 30 | 36 | |
* | National Energy Services Reunited Corp. | 2,824 | 25 |
* | Comstock Resources Inc. | 1,791 | 15 |
* | Par Pacific Holdings Inc. | 1,044 | 14 |
New Fortress Energy Inc. Class A | 433 | 12 | |
Kinetik Holdings Inc. | 164 | 11 | |
* | Earthstone Energy Inc. Class A | 778 | 10 |
Civitas Resources Inc. | 189 | 10 | |
* | DMC Global Inc. | 266 | 8 |
1,290 | |||
Financials (24.3%) | |||
Marsh & McLennan Cos. Inc. | 3,741 | 581 | |
Moody's Corp. | 1,409 | 454 | |
Truist Financial Corp. | 5,435 | 338 | |
Chubb Ltd. | 1,652 | 336 | |
T Rowe Price Group Inc. | 2,154 | 311 | |
MSCI Inc. Class A | 594 | 298 | |
Progressive Corp. | 2,759 | 292 | |
Intercontinental Exchange Inc. | 2,188 | 280 | |
Bank of New York Mellon Corp. | 4,312 | 229 | |
US Bancorp | 3,368 | 190 | |
CME Group Inc. | 744 | 176 | |
PNC Financial Services Group Inc. | 860 | 171 | |
Erie Indemnity Co. Class A | 882 | 155 | |
SouthState Corp. | 1,681 | 151 | |
BlackRock Inc. | 196 | 146 | |
MetLife Inc. | 2,153 | 146 | |
Brown & Brown Inc. | 2,150 | 145 | |
East West Bancorp Inc. | 1,647 | 144 | |
Aon plc Class A (XNYS) | 493 | 144 | |
First Citizens BancShares Inc. Class A | 179 | 141 | |
American International Group Inc. | 2,223 | 136 | |
Primerica Inc. | 989 | 129 | |
Prosperity Bancshares Inc. | 1,707 | 127 |
Shares | Market Value ($000) | ||
Stifel Financial Corp. | 1,702 | 125 | |
Hanmi Financial Corp. | 4,715 | 123 | |
Pinnacle Financial Partners Inc. | 1,184 | 120 | |
RLI Corp. | 1,182 | 120 | |
Popular Inc. | 1,265 | 116 | |
Morningstar Inc. | 400 | 112 | |
Berkshire Hills Bancorp Inc. | 3,500 | 109 | |
Glacier Bancorp Inc. | 1,958 | 109 | |
Selective Insurance Group Inc. | 1,297 | 108 | |
S&P Global Inc. | 282 | 106 | |
United Fire Group Inc. | 3,797 | 105 | |
ConnectOne Bancorp Inc. | 3,153 | 104 | |
United Bankshares Inc. | 2,731 | 100 | |
Commerce Bancshares Inc. | 1,357 | 97 | |
First Financial Bankshares Inc. | 1,991 | 95 | |
* | Enstar Group Ltd. | 323 | 92 |
Kemper Corp. | 1,648 | 88 | |
Premier Financial Corp. | 2,847 | 87 | |
Valley National Bancorp | 6,143 | 86 | |
Hanover Insurance Group Inc. | 595 | 83 | |
* | Customers Bancorp Inc. | 1,311 | 81 |
Heritage Financial Corp. | 3,071 | 81 | |
* | Nicolet Bankshares Inc. | 824 | 79 |
Old Republic International Corp. | 2,931 | 77 | |
Universal Insurance Holdings Inc. | 6,664 | 77 | |
Synovus Financial Corp. | 1,373 | 72 | |
Hope Bancorp Inc. | 3,976 | 68 | |
Univest Financial Corp. | 2,347 | 68 | |
* | Triumph Bancorp Inc. | 671 | 67 |
Globe Life Inc. | 643 | 65 | |
Live Oak Bancshares Inc. | 1,014 | 65 | |
Provident Financial Services Inc. | 2,757 | 65 | |
BOK Financial Corp. | 616 | 63 | |
First Financial Bancorp | 2,517 | 62 | |
Washington Trust Bancorp Inc. | 1,133 | 62 | |
TrustCo Bank Corp. NY | 1,818 | 62 | |
* | Markel Corp. | 49 | 61 |
* | StoneX Group Inc. | 800 | 60 |
First Foundation Inc. | 2,194 | 59 | |
QCR Holdings Inc. | 1,047 | 59 | |
SLM Corp. | 2,955 | 58 | |
Lazard Ltd. Class A | 1,680 | 58 | |
Central Pacific Financial Corp. | 1,965 | 57 | |
TFS Financial Corp. | 3,337 | 57 | |
* | Columbia Financial Inc. | 2,615 | 56 |
Lakeland Financial Corp. | 693 | 56 | |
Blackstone Inc. | 438 | 56 | |
* | Bancorp Inc. | 1,876 | 55 |
Cullen/Frost Bankers Inc. | 392 | 55 | |
First Commonwealth Financial Corp. | 3,396 | 55 | |
Essent Group Ltd. | 1,250 | 55 | |
Northfield Bancorp Inc. | 3,466 | 54 | |
Western Alliance Bancorp | 576 | 54 | |
Federal Agricultural Mortgage Corp. Class C | 425 | 53 | |
First American Financial Corp. | 782 | 52 | |
Janus Henderson Group plc | 1,538 | 52 | |
1st Source Corp. | 1,009 | 49 | |
Jefferies Financial Group Inc. | 1,387 | 49 |
Shares | Market Value ($000) | ||
Merchants Bancorp | 1,689 | 49 | |
Heritage Commerce Corp. | 3,998 | 48 | |
Loews Corp. | 785 | 48 | |
Tompkins Financial Corp. | 605 | 48 | |
* | Assetmark Financial Holdings Inc. | 1,983 | 47 |
HomeStreet Inc. | 921 | 47 | |
LPL Financial Holdings Inc. | 260 | 47 | |
SEI Investments Co. | 771 | 45 | |
Park National Corp. | 327 | 44 | |
Stock Yards Bancorp Inc. | 821 | 44 | |
Equitable Holdings Inc. | 1,317 | 43 | |
Cohen & Steers Inc. | 510 | 42 | |
Preferred Bank | 537 | 42 | |
Nelnet Inc. Class A | 505 | 41 | |
TriCo Bancshares | 922 | 40 | |
FB Financial Corp. | 873 | 39 | |
First Bancorp (XNGS) | 869 | 39 | |
First Bancorp Inc. (XNMS) | 1,112 | 39 | |
Reinsurance Group of America Inc. | 351 | 39 | |
Banner Corp. | 621 | 38 | |
MGIC Investment Corp. | 2,522 | 38 | |
Towne Bank | 1,210 | 38 | |
Atlantic Union Bankshares Corp. | 887 | 36 | |
B Riley Financial Inc. | 597 | 36 | |
First Merchants Corp. | 824 | 36 | |
Interactive Brokers Group Inc. Class A | 538 | 36 | |
Peoples Bancorp Inc. | 1,157 | 36 | |
Southside Bancshares Inc. | 863 | 36 | |
American Financial Group Inc. | 253 | 34 | |
Dime Community Bancshares Inc. | 1,012 | 34 | |
ProAssurance Corp. | 1,340 | 32 | |
First Busey Corp. | 1,136 | 31 | |
Safety Insurance Group Inc. | 359 | 30 | |
Unum Group | 1,074 | 30 | |
Northwest Bancshares Inc. | 2,089 | 29 | |
Bank of NT Butterfield & Son Ltd. | 766 | 29 | |
Sandy Spring Bancorp Inc. | 589 | 28 | |
* | Alleghany Corp. | 40 | 27 |
Curo Group Holdings Corp. | 2,029 | 27 | |
OceanFirst Financial Corp. | 1,201 | 27 | |
* | Enova International Inc. | 639 | 26 |
National Bank Holdings Corp. Class A | 587 | 26 | |
PJT Partners Inc. Class A | 405 | 26 | |
S&T Bancorp Inc. | 839 | 26 | |
ServisFirst Bancshares Inc. | 294 | 26 | |
* | EZCorp. Inc. Class A | 4,150 | 25 |
* | Focus Financial Partners Inc. Class A | 491 | 25 |
Carlyle Group Inc. | 542 | 25 | |
* | SiriusPoint Ltd. | 3,340 | 25 |
Banc of California Inc. | 1,226 | 24 | |
* | Finance of America Cos. Inc. Class A | 7,173 | 23 |
BancFirst Corp. | 279 | 22 | |
City Holding Co. | 271 | 22 | |
* | Arch Capital Group Ltd. | 472 | 22 |
Kearny Financial Corp. | 1,568 | 21 | |
Greenhill & Co. Inc. | 1,125 | 20 | |
HCI Group Inc. | 325 | 20 | |
Bank OZK | 409 | 19 |
Shares | Market Value ($000) | ||
Enterprise Financial Services Corp. | 392 | 19 | |
Hamilton Lane Inc. Class A | 225 | 18 | |
Radian Group Inc. | 766 | 18 | |
Brightsphere Investment Group Inc. | 735 | 18 | |
Assured Guaranty Ltd. | 275 | 17 | |
Heartland Financial USA Inc. | 329 | 16 | |
OFG Bancorp | 583 | 16 | |
International Bancshares Corp. | 327 | 14 | |
Byline Bancorp Inc. | 492 | 13 | |
FNB Corp. | 945 | 13 | |
* | Credit Acceptance Corp. | 22 | 12 |
WisdomTree Investments Inc. | 2,100 | 12 | |
Lakeland Bancorp Inc. | 631 | 11 | |
Origin Bancorp Inc. | 232 | 11 | |
Trustmark Corp. | 301 | 10 | |
11,799 | |||
Health Care (19.6%) | |||
* | Edwards Lifesciences Corp. | 4,994 | 561 |
HCA Healthcare Inc. | 1,650 | 413 | |
Stryker Corp. | 1,476 | 389 | |
Zoetis Inc. | 1,854 | 359 | |
* | IQVIA Holdings Inc. | 1,486 | 342 |
* | IDEXX Laboratories Inc. | 639 | 340 |
Agilent Technologies Inc. | 2,429 | 317 | |
* | Veeva Systems Inc. Class A | 763 | 175 |
Baxter International Inc. | 2,045 | 174 | |
Ensign Group Inc. | 1,697 | 143 | |
Premier Inc. Class A | 3,127 | 112 | |
* | Neogen Corp. | 2,980 | 106 |
Bio-Techne Corp. | 243 | 102 | |
* | Integra LifeSciences Holdings Corp. | 1,483 | 99 |
National HealthCare Corp. | 1,474 | 96 | |
Bruker Corp. | 1,265 | 89 | |
* | Acadia Healthcare Co. Inc. | 1,537 | 87 |
* | AngioDynamics Inc. | 3,698 | 87 |
Becton Dickinson and Co. | 313 | 85 | |
* | Mirum Pharmaceuticals Inc. | 3,547 | 84 |
Chemed Corp. | 168 | 80 | |
* | Hanger Inc. | 4,415 | 80 |
* | ICU Medical Inc. | 326 | 77 |
* | Catalent Inc. | 738 | 75 |
* | Syneos Health Inc. | 941 | 75 |
* | Phathom Pharmaceuticals Inc. | 4,128 | 75 |
* | CytoSorbents Corp. | 19,040 | 74 |
* | SeaSpine Holdings Corp. | 5,549 | 70 |
* | Boston Scientific Corp. | 1,560 | 69 |
* | CorVel Corp. | 431 | 69 |
* | Crinetics Pharmaceuticals Inc. | 3,467 | 69 |
* | Denali Therapeutics Inc. | 2,071 | 67 |
* | Globus Medical Inc. Class A | 952 | 67 |
* | Option Care Health Inc. | 2,559 | 66 |
* | Charles River Laboratories International Inc. | 221 | 64 |
* | Ultragenyx Pharmaceutical Inc. | 930 | 63 |
* | HealthEquity Inc. | 1,163 | 62 |
* | Computer Programs and Systems Inc. | 1,965 | 60 |
* | LHC Group Inc. | 442 | 60 |
* | Agiliti Inc. | 3,339 | 60 |
* | NeoGenomics Inc. | 2,613 | 56 |
Shares | Market Value ($000) | ||
* | Pennant Group Inc. | 3,430 | 56 |
* | RadNet Inc. | 2,177 | 54 |
* | Immunic Inc. | 4,542 | 53 |
Atrion Corp. | 73 | 52 | |
* | Exelixis Inc. | 2,513 | 52 |
* | Oyster Point Pharma Inc. | 4,990 | 50 |
* | Quotient Ltd. | 35,717 | 50 |
* | CureVac NV | 2,982 | 50 |
* | Axogen Inc. | 5,211 | 49 |
* | Ionis Pharmaceuticals Inc. | 1,455 | 49 |
* | Stoke Therapeutics Inc. | 2,462 | 48 |
* | Arcutis Biotherapeutics Inc. | 2,645 | 47 |
* | Pliant Therapeutics Inc. | 5,241 | 47 |
* | Alnylam Pharmaceuticals Inc. | 287 | 45 |
* | Surgery Partners Inc. | 867 | 45 |
* | Aspira Women's Health Inc. | 41,050 | 45 |
Anthem Inc. | 98 | 44 | |
* | iCAD Inc. | 9,131 | 44 |
* | ModivCare Inc. | 369 | 44 |
* | Shattuck Labs Inc. | 8,563 | 43 |
* | NGM Biopharmaceuticals Inc. | 2,801 | 42 |
* | Accelerate Diagnostics Inc. | 14,529 | 41 |
LeMaitre Vascular Inc. | 870 | 41 | |
* | Relmada Therapeutics Inc. | 1,990 | 41 |
* | Vaxcyte Inc. | 1,752 | 41 |
* | MeiraGTx Holdings plc | 2,715 | 39 |
* | Taysha Gene Therapies Inc. | 6,177 | 39 |
* | Align Technology Inc. | 75 | 38 |
* | Surmodics Inc. | 844 | 38 |
* | UroGen Pharma Ltd. | 6,348 | 38 |
* | Stereotaxis Inc. | 8,197 | 38 |
* | Allovir Inc. | 4,230 | 38 |
* | Molecular Templates Inc. | 15,654 | 37 |
* | Orthofix Medical Inc. | 1,081 | 37 |
* | Chinook Therapeutics Inc. | 2,896 | 37 |
* | Homology Medicines Inc. | 10,225 | 36 |
* | Spero Therapeutics Inc. | 3,747 | 36 |
* | Oak Street Health Inc. | 2,073 | 36 |
* | Kinnate Biopharma Inc. | 4,598 | 36 |
* | Cogent Biosciences Inc. | 5,839 | 35 |
* | Athersys Inc. | 37,516 | 34 |
* | MEI Pharma Inc. | 15,281 | 33 |
* | Alphatec Holdings Inc. | 2,905 | 32 |
* | OrthoPediatrics Corp. | 564 | 32 |
* | Avid Bioservices Inc. | 1,523 | 31 |
* | Jounce Therapeutics Inc. | 4,152 | 31 |
* | Novocure Ltd. | 381 | 31 |
* | Evelo Biosciences Inc. | 9,937 | 31 |
* | Aligos Therapeutics Inc. | 13,011 | 31 |
* | Halozyme Therapeutics Inc. | 832 | 30 |
* | HealthStream Inc. | 1,477 | 30 |
* | Omnicell Inc. | 233 | 30 |
* | Puma Biotechnology Inc. | 12,831 | 30 |
* | Inhibrx Inc. | 1,395 | 30 |
* | Arrowhead Pharmaceuticals Inc. | 659 | 29 |
* | Heska Corp. | 201 | 29 |
* | SI-BONE Inc. | 1,315 | 29 |
* | Affimed NV | 6,510 | 29 |
Shares | Market Value ($000) | ||
* | Annexon Inc. | 5,934 | 29 |
* | Dyne Therapeutics Inc. | 3,328 | 29 |
* | Praxis Precision Medicines Inc. | 2,234 | 29 |
* | Oncocyte Corp. | 19,280 | 28 |
* | iTeos Therapeutics Inc. | 783 | 28 |
* | Blueprint Medicines Corp. | 445 | 27 |
* | Geron Corp. (XNGS) | 25,120 | 27 |
* | Rocket Pharmaceuticals Inc. | 1,526 | 27 |
* | Cullinan Oncology Inc. | 1,852 | 27 |
* | Arcus Biosciences Inc. | 697 | 26 |
* | BioLife Solutions Inc. | 1,121 | 26 |
* | Harmony Biosciences Holdings Inc. | 654 | 26 |
* | Kronos Bio Inc. | 3,512 | 26 |
* | Antares Pharma Inc. | 7,030 | 25 |
* | DexCom Inc. | 61 | 25 |
* | Inspire Medical Systems Inc. | 103 | 25 |
* | Passage Bio Inc. | 7,430 | 25 |
* | Acutus Medical Inc. | 15,564 | 25 |
* | 4D Molecular Therapeutics Inc. | 1,794 | 25 |
* | Artivion Inc. | 1,207 | 24 |
* | TransMedics Group Inc. | 1,274 | 24 |
* | Marinus Pharmaceuticals Inc. | 3,101 | 24 |
* | Paratek Pharmaceuticals Inc. | 6,538 | 23 |
* | Theravance Biopharma Inc. | 2,269 | 23 |
* | Cutera Inc. | 567 | 22 |
* | 89bio Inc. | 4,744 | 22 |
* | Silverback Therapeutics Inc. | 5,208 | 22 |
* | Amedisys Inc. | 133 | 21 |
* | Bridgebio Pharma Inc. | 2,633 | 21 |
* | Fortress Biotech Inc. | 13,107 | 21 |
* | Gossamer Bio Inc. | 2,314 | 21 |
* | Lineage Cell Therapeutics Inc. | 15,221 | 21 |
* | Quanterix Corp. | 633 | 21 |
* | Rapt Therapeutics Inc. | 1,071 | 21 |
* | SpringWorks Therapeutics Inc. | 370 | 21 |
* | Keros Therapeutics Inc. | 387 | 21 |
* | Cymabay Therapeutics Inc. | 6,332 | 20 |
* | WaVe Life Sciences Ltd. | 8,294 | 20 |
* | Amphastar Pharmaceuticals Inc. | 686 | 19 |
* | Natera Inc. | 287 | 19 |
* | Rhythm Pharmaceuticals Inc. | 2,549 | 19 |
* | Biohaven Pharmaceutical Holding Co. Ltd. | 164 | 19 |
* | Harpoon Therapeutics Inc. | 4,575 | 19 |
* | Accuray Inc. | 5,168 | 18 |
* | Avrobio Inc. | 12,466 | 18 |
* | Joint Corp. | 442 | 18 |
* | MannKind Corp. | 6,682 | 18 |
* | Natus Medical Inc. | 653 | 18 |
* | Atreca Inc. Class A | 9,717 | 18 |
* | MiMedx Group Inc. | 3,648 | 18 |
* | Cue Biopharma Inc. | 3,004 | 17 |
* | Avidity Biosciences Inc. | 1,008 | 17 |
* | Applied Molecular Transport Inc. | 2,558 | 17 |
* | Morphic Holding Inc. | 431 | 17 |
* | ORIC Pharmaceuticals Inc. | 2,188 | 17 |
* | Gemini Therapeutics Inc. | 12,117 | 16 |
* | Meridian Bioscience Inc. | 604 | 15 |
* | Precigen Inc. | 6,876 | 15 |
Shares | Market Value ($000) | ||
PerkinElmer Inc. | 80 | 14 | |
* | Olema Pharmaceuticals Inc. | 2,902 | 14 |
* | MaxCyte Inc. | 1,988 | 14 |
* | Outlook Therapeutics Inc. | 8,024 | 13 |
* | DarioHealth Corp. | 1,811 | 13 |
* | Rigel Pharmaceuticals Inc. | 4,831 | 12 |
* | Tactile Systems Technology Inc. | 583 | 12 |
* | Beam Therapeutics Inc. | 149 | 12 |
* | Ideaya Biosciences Inc. | 921 | 12 |
* | Shockwave Medical Inc. | 60 | 11 |
* | Sientra Inc. | 3,975 | 11 |
* | Prothena Corp. plc | 310 | 11 |
* | Chimerix Inc. | 1,704 | 10 |
* | STAAR Surgical Co. | 125 | 10 |
* | Alaunos Therapeutics Inc. | 10,305 | 10 |
* | Illumina Inc. | 28 | 9 |
* | Oncternal Therapeutics Inc. | 4,778 | 9 |
* | ViewRay Inc. | 2,229 | 9 |
* | Akero Therapeutics Inc. | 516 | 9 |
* | PMV Pharmaceuticals Inc. | 553 | 9 |
* | Prelude Therapeutics Inc. | 1,003 | 9 |
* | Nuvation Bio Inc. | 1,743 | 9 |
* | Scholar Rock Holding Corp. | 451 | 8 |
* | Syros Pharmaceuticals Inc. | 5,945 | 8 |
* | Twist Bioscience Corp. | 145 | 8 |
* | Forma Therapeutics Holdings Inc. | 822 | 8 |
* | Nkarta Inc. | 921 | 8 |
* | Retractable Technologies Inc. | 1,623 | 8 |
* | VistaGen Therapeutics Inc. | 5,776 | 8 |
* | EyePoint Pharmaceuticals Inc. | 777 | 8 |
* | Fate Therapeutics Inc. | 213 | 7 |
* | Selecta Biosciences Inc. | 3,612 | 7 |
Zynex Inc. | 1,184 | 7 | |
* | Black Diamond Therapeutics Inc. | 2,107 | 7 |
* | Frequency Therapeutics Inc. | 1,943 | 6 |
* | Rubius Therapeutics Inc. | 1,097 | 5 |
* | BioAtla Inc. | 653 | 4 |
*,1 | PDL BioPharma Inc. | 6,046 | — |
9,500 | |||
Industrials (22.3%) | |||
Illinois Tool Works Inc. | 2,654 | 574 | |
General Dynamics Corp. | 2,015 | 472 | |
Eaton Corp. plc | 2,587 | 399 | |
Capital One Financial Corp. | 2,124 | 326 | |
Emerson Electric Co. | 3,200 | 297 | |
HEICO Corp. Class A | 1,966 | 242 | |
Accenture plc Class A | 613 | 194 | |
Deere & Co. | 504 | 181 | |
Trane Technologies plc | 1,158 | 178 | |
Automatic Data Processing Inc. | 806 | 165 | |
Curtiss-Wright Corp. | 978 | 144 | |
Exponent Inc. | 1,492 | 141 | |
* | Cornerstone Building Brands Inc. | 6,196 | 137 |
Kronos Worldwide Inc. | 9,300 | 137 | |
Johnson Controls International plc | 2,065 | 134 | |
* | ASGN Inc. | 1,110 | 123 |
nVent Electric plc | 3,566 | 121 | |
Regal Rexnord Corp. | 751 | 120 |
Shares | Market Value ($000) | ||
Sonoco Products Co. | 2,047 | 120 | |
* | ACI Worldwide Inc. | 3,379 | 113 |
Donaldson Co. Inc. | 2,080 | 113 | |
Tetra Tech Inc. | 702 | 112 | |
Helios Technologies Inc. | 1,406 | 110 | |
MSA Safety Inc. | 791 | 110 | |
Norfolk Southern Corp. | 419 | 108 | |
L3Harris Technologies Inc. | 412 | 104 | |
* | Paylocity Holding Corp. | 465 | 99 |
Lincoln Electric Holdings Inc. | 734 | 94 | |
Nordson Corp. | 413 | 94 | |
Northrop Grumman Corp. | 213 | 94 | |
Air Lease Corp. Class A | 2,214 | 93 | |
BWX Technologies Inc. | 1,675 | 90 | |
Resources Connection Inc. | 5,418 | 90 | |
AECOM | 1,224 | 89 | |
Apogee Enterprises Inc. | 1,969 | 89 | |
Crane Co. | 859 | 87 | |
Littelfuse Inc. | 335 | 87 | |
Douglas Dynamics Inc. | 2,192 | 81 | |
Graco Inc. | 1,127 | 81 | |
* | Daseke Inc. | 6,362 | 80 |
Maximus Inc. | 973 | 77 | |
AGCO Corp. | 642 | 77 | |
* | Ducommun Inc. | 1,500 | 76 |
* | Covenant Logistics Group Inc. Class A | 3,304 | 74 |
* | MYR Group Inc. | 829 | 74 |
* | Donnelley Financial Solutions Inc. | 2,287 | 73 |
Textainer Group Holdings Ltd. | 2,015 | 72 | |
* | Cross Country Healthcare Inc. | 3,119 | 70 |
* | BlueLinx Holdings Inc. | 777 | 69 |
* | Trimble Inc. | 989 | 69 |
TTEC Holdings Inc. | 869 | 69 | |
John Bean Technologies Corp. | 599 | 68 | |
* | Sterling Construction Co. Inc. | 2,270 | 67 |
EMCOR Group Inc. | 573 | 66 | |
* | Gates Industrial Corp. plc | 3,945 | 63 |
Simpson Manufacturing Co. Inc. | 521 | 62 | |
CSW Industrials Inc. | 484 | 58 | |
MKS Instruments Inc. | 384 | 58 | |
Genco Shipping & Trading Ltd. | 2,972 | 57 | |
International Seaways Inc. | 3,091 | 57 | |
Kelly Services Inc. Class A | 2,626 | 56 | |
* | DXP Enterprises Inc. | 1,922 | 55 |
ITT Inc. | 616 | 54 | |
AptarGroup Inc. | 435 | 53 | |
Chase Corp. | 579 | 53 | |
Kaman Corp. | 1,215 | 53 | |
Cass Information Systems Inc. | 1,325 | 52 | |
* | Napco Security Technologies Inc. | 2,526 | 52 |
* | Willdan Group Inc. | 1,619 | 52 |
* | CBIZ Inc. | 1,309 | 51 |
Valmont Industries Inc. | 232 | 50 | |
* | AerCap Holdings NV | 923 | 50 |
Woodward Inc. | 396 | 49 | |
Cognex Corp. | 708 | 48 | |
* | Euronet Worldwide Inc. | 369 | 47 |
* | Teekay Corp. | 13,958 | 47 |
Shares | Market Value ($000) | ||
Griffon Corp. | 1,977 | 46 | |
RPM International Inc. | 531 | 45 | |
* | Vivint Smart Home Inc. | 6,307 | 45 |
ArcBest Corp. | 478 | 44 | |
EnPro Industries Inc. | 399 | 44 | |
Textron Inc. | 593 | 43 | |
* | International Money Express Inc. | 2,698 | 43 |
Pactiv Evergreen Inc. | 4,475 | 43 | |
* | Great Lakes Dredge & Dock Corp. | 2,978 | 42 |
* | BrightView Holdings Inc. | 3,045 | 41 |
Columbus McKinnon Corp. | 888 | 41 | |
Herc Holdings Inc. | 259 | 41 | |
* | US Xpress Enterprises Inc. Class A | 9,067 | 41 |
* | Advantage Solutions Inc. | 5,162 | 41 |
* | Construction Partners Inc. Class A | 1,506 | 40 |
Franklin Electric Co. Inc. | 477 | 40 | |
* | Vectrus Inc. | 873 | 40 |
Genpact Ltd. | 947 | 40 | |
Global Payments Inc. | 290 | 39 | |
Kforce Inc. | 515 | 39 | |
* | Thermon Group Holdings Inc. | 2,248 | 39 |
Wabash National Corp. | 2,315 | 39 | |
* | Custom Truck One Source Inc. | 5,003 | 39 |
Myers Industries Inc. | 2,305 | 38 | |
* | Sensata Technologies Holding plc | 634 | 37 |
Zurn Water Solutions Corp. | 1,142 | 37 | |
* | Blue Bird Corp. | 1,708 | 36 |
Carrier Global Corp. | 785 | 35 | |
* | Axon Enterprise Inc. | 245 | 34 |
* | CIRCOR International Inc. | 1,247 | 34 |
Marten Transport Ltd. | 1,974 | 34 | |
* | Astronics Corp. | 2,253 | 33 |
Carlisle Cos. Inc. | 139 | 33 | |
* | Modine Manufacturing Co. | 3,300 | 33 |
Hyster-Yale Materials Handling Inc. | 843 | 32 | |
Quanex Building Products Corp. | 1,398 | 32 | |
Hubbell Inc. Class B | 175 | 31 | |
Kadant Inc. | 155 | 31 | |
TriMas Corp. | 958 | 31 | |
Barrett Business Services Inc. | 493 | 30 | |
Xylem Inc. | 341 | 30 | |
ManpowerGroup Inc. | 273 | 29 | |
Tennant Co. | 365 | 29 | |
Pentair plc | 503 | 29 | |
* | FARO Technologies Inc. | 510 | 28 |
* | Franklin Covey Co. | 600 | 28 |
Landstar System Inc. | 179 | 28 | |
* | Titan International Inc. | 2,504 | 28 |
REV Group Inc. | 1,986 | 27 | |
AAON Inc. | 455 | 27 | |
McGrath RentCorp. | 315 | 26 | |
Watsco Inc. | 96 | 26 | |
Astec Industries Inc. | 507 | 25 | |
* | ExlService Holdings Inc. | 208 | 25 |
Sealed Air Corp. | 373 | 25 | |
* | Tutor Perini Corp. | 2,593 | 25 |
* | SP Plus Corp. | 788 | 24 |
Eagle Materials Inc. | 168 | 23 |
Shares | Market Value ($000) | ||
* | Forrester Research Inc. | 438 | 23 |
* | AMN Healthcare Services Inc. | 214 | 23 |
* | Byrna Technologies Inc. | 2,231 | 22 |
* | Air Transport Services Group Inc. | 677 | 21 |
DuPont de Nemours Inc. | 275 | 21 | |
* | Manitowoc Co. Inc. | 1,277 | 21 |
* | Teledyne Technologies Inc. | 49 | 21 |
* | Energy Recovery Inc. | 1,054 | 20 |
* | Gibraltar Industries Inc. | 411 | 20 |
Acuity Brands Inc. | 96 | 18 | |
Heidrick & Struggles International Inc. | 409 | 18 | |
Toro Co. | 196 | 18 | |
Primoris Services Corp. | 622 | 16 | |
Standex International Corp. | 143 | 15 | |
Advanced Drainage Systems Inc. | 122 | 14 | |
* | Commercial Vehicle Group Inc. | 1,789 | 14 |
* | Ranpak Holdings Corp. Class A | 534 | 13 |
* | I3 Verticals Inc. Class A | 449 | 12 |
Park Aerospace Corp. | 897 | 12 | |
Sherwin-Williams Co. | 45 | 12 | |
* | TopBuild Corp. | 57 | 12 |
* | Huron Consulting Group Inc. | 220 | 11 |
Mueller Water Products Inc. Class A | 873 | 11 | |
Armstrong World Industries Inc. | 117 | 10 | |
* | Atlanticus Holdings Corp. | 160 | 9 |
* | Acacia Research Corp. | 2,080 | 8 |
* | View Inc. | 2,857 | 7 |
10,831 | |||
Real Estate (0.9%) | |||
St. Joe Co. | 1,732 | 94 | |
Newmark Group Inc. Class A | 4,954 | 88 | |
* | Cushman & Wakefield plc | 2,528 | 55 |
* | CBRE Group Inc. Class A | 472 | 46 |
* | Fathom Holdings Inc. | 3,385 | 43 |
RE/MAX Holdings Inc. Class A | 1,182 | 35 | |
* | Marcus & Millichap Inc. | 624 | 31 |
RMR Group Inc. Class A | 429 | 13 | |
* | Rafael Holdings Inc. Class B | 4,242 | 13 |
* | Forestar Group Inc. | 495 | 9 |
427 | |||
Technology (10.0%) | |||
Amphenol Corp. Class A | 7,407 | 563 | |
* | Synopsys Inc. | 1,294 | 404 |
Roper Technologies Inc. | 804 | 360 | |
* | Cadence Design Systems Inc. | 1,936 | 293 |
Cognizant Technology Solutions Corp. Class A | 2,202 | 190 | |
TE Connectivity Ltd. | 942 | 134 | |
National Instruments Corp. | 2,814 | 113 | |
* | Novanta Inc. | 750 | 103 |
* | SPS Commerce Inc. | 717 | 93 |
* | Manhattan Associates Inc. | 663 | 89 |
Science Applications International Corp. | 971 | 85 | |
CDK Global Inc. | 1,794 | 81 | |
Monolithic Power Systems Inc. | 173 | 79 | |
Dolby Laboratories Inc. Class A | 971 | 73 | |
Pegasystems Inc. | 792 | 69 | |
* | Globant SA | 243 | 67 |
Shares | Market Value ($000) | ||
* | Agilysys Inc. | 1,577 | 66 |
American Software Inc. Class A | 2,779 | 61 | |
* | Axcelis Technologies Inc. | 887 | 61 |
Bentley Systems Inc. Class B | 1,594 | 61 | |
A10 Networks Inc. | 4,155 | 59 | |
TD SYNNEX Corp. | 544 | 55 | |
* | Avid Technology Inc. | 1,685 | 53 |
* | Tucows Inc. Class A | 795 | 53 |
* | CACI International Inc. Class A | 187 | 52 |
* | Arrow Electronics Inc. | 417 | 51 |
* | Cohu Inc. | 1,633 | 51 |
PC Connection Inc. | 1,047 | 51 | |
Concentrix Corp. | 241 | 48 | |
* | Clarivate plc | 3,105 | 47 |
CTS Corp. | 1,216 | 46 | |
* | Digimarc Corp. | 1,542 | 46 |
Amkor Technology Inc. | 1,973 | 45 | |
* | PDF Solutions Inc. | 1,567 | 43 |
Power Integrations Inc. | 474 | 43 | |
* | MaxLinear Inc. | 692 | 42 |
* | NCR Corp. | 1,041 | 42 |
* | CEVA Inc. | 1,006 | 41 |
* | Veeco Instruments Inc. | 1,430 | 41 |
Sapiens International Corp. NV | 1,472 | 40 | |
* | Black Knight Inc. | 699 | 39 |
* | Ceridian HCM Holding Inc. | 524 | 38 |
Jabil Inc. | 623 | 36 | |
Hackett Group Inc. | 1,615 | 34 | |
KLA Corp. | 96 | 33 | |
* | Photronics Inc. | 1,798 | 33 |
* | Mediaalpha Inc. Class A | 2,270 | 33 |
* | Envestnet Inc. | 433 | 32 |
* | Q2 Holdings Inc. | 488 | 32 |
* | Rimini Street Inc. | 6,517 | 30 |
* | VirnetX Holding Corp. | 16,250 | 30 |
Azenta Inc. | 333 | 29 | |
* | EPAM Systems Inc. | 139 | 29 |
* | ScanSource Inc. | 910 | 29 |
Entegris Inc. | 215 | 28 | |
Intuit Inc. | 50 | 24 | |
* | Autodesk Inc. | 103 | 23 |
* | comScore Inc. | 8,938 | 23 |
* | OneSpan Inc. | 1,662 | 23 |
Simulations Plus Inc. | 585 | 23 | |
* | SecureWorks Corp. Class A | 1,462 | 23 |
Methode Electronics Inc. | 482 | 22 | |
* | Mitek Systems Inc. | 1,431 | 21 |
* | Quantum Corp. | 7,909 | 21 |
* | Alarm.com Holdings Inc. | 299 | 20 |
* | Smith Micro Software Inc. | 4,714 | 20 |
* | FormFactor Inc. | 445 | 18 |
* | ePlus Inc. | 338 | 16 |
* | Kimball Electronics Inc. | 913 | 16 |
* | Grid Dynamics Holdings Inc. | 1,253 | 15 |
* | IPG Photonics Corp. | 108 | 14 |
* | eGain Corp. | 1,037 | 12 |
* | nLight Inc. | 698 | 11 |
* | Varonis Systems Inc. Class B | 236 | 10 |
Shares | Market Value ($000) | ||
* | Workiva Inc. Class A | 93 | 10 |
* | Brightcove Inc. | 1,051 | 8 |
4,852 | |||
Telecommunications (1.5%) | |||
* | Liberty Latin America Ltd. Class A | 7,641 | 77 |
* | Iridium Communications Inc. | 1,719 | 68 |
* | WideOpenWest Inc. | 3,888 | 66 |
* | United States Cellular Corp. | 2,290 | 63 |
* | Liberty Broadband Corp. Class C | 395 | 58 |
* | Harmonic Inc. | 6,088 | 57 |
ADTRAN Inc. | 2,093 | 43 | |
* | Clearfield Inc. | 681 | 43 |
* | Ooma Inc. | 2,583 | 43 |
* | Consolidated Communications Holdings Inc. | 5,876 | 42 |
* | Digi International Inc. | 1,993 | 40 |
Cable One Inc. | 26 | 37 | |
* | Casa Systems Inc. | 7,866 | 33 |
Ubiquiti Inc. | 109 | 28 | |
* | Ribbon Communications Inc. | 2,986 | 9 |
707 | |||
Utilities (1.4%) | |||
Waste Management Inc. | 3,653 | 527 | |
* | Stericycle Inc. | 1,775 | 104 |
* | Clean Harbors Inc. | 573 | 55 |
686 | |||
Total Common Stocks (Cost $38,852) | 48,280 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2 | Vanguard Market Liquidity Fund 0.138% (Cost $152) | 1,518 | 152 |
Total Investments (99.9%) (Cost $39,004) | 48,432 | ||
Other Assets and Liabilities—Net (0.1%) | 41 | ||
Net Assets (100%) | 48,473 | ||
Cost is in $000. |
* | Non-income-producing security. |
1 | Security value determined using significant unobservable inputs. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
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 | ||||
Micro E-mini S&P 500 Index | March 2022 | 8 | 175 | (8) |
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.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 48,280 | — | — | 48,280 |
Temporary Cash Investments | 152 | — | — | 152 |
Total | 48,432 | — | — | 48,432 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 8 | — | — | 8 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |