Vanguard® U.S. Quality Factor ETF
Schedule of Investments (unaudited)
As of February 29, 2024
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 (99.5%) | |||
Basic Materials (3.6%) | |||
Fastenal Co. | 30,732 | 2,244 | |
Ecolab Inc. | 5,266 | 1,184 | |
UFP Industries Inc. | 9,956 | 1,141 | |
Nucor Corp. | 5,430 | 1,044 | |
Mueller Industries Inc. | 19,101 | 981 | |
Boise Cascade Co. | 6,675 | 907 | |
Olin Corp. | 12,079 | 650 | |
Steel Dynamics Inc. | 3,540 | 474 | |
Reliance Steel & Aluminum Co. | 1,454 | 467 | |
CF Industries Holdings Inc. | 5,406 | 436 | |
Olympic Steel Inc. | 5,647 | 384 | |
Sylvamo Corp. | 5,475 | 331 | |
Innospec Inc. | 2,484 | 309 | |
Hawkins Inc. | 4,382 | 308 | |
Ryerson Holding Corp. | 4,184 | 132 | |
* | Clearwater Paper Corp. | 3,059 | 120 |
11,112 | |||
Consumer Discretionary (20.6%) | |||
* | Lululemon Athletica Inc. | 10,947 | 5,113 |
Walmart Inc. | 85,896 | 5,034 | |
Target Corp. | 26,854 | 4,107 | |
NIKE Inc. Class B | 37,541 | 3,902 | |
TJX Cos. Inc. | 38,175 | 3,785 | |
Costco Wholesale Corp. | 4,670 | 3,474 | |
Ross Stores Inc. | 20,611 | 3,070 | |
Best Buy Co. Inc. | 19,480 | 1,576 | |
* | Airbnb Inc. Class A | 9,466 | 1,491 |
* | Mattel Inc. | 75,495 | 1,487 |
Pool Corp. | 3,703 | 1,474 | |
Tapestry Inc. | 27,184 | 1,292 | |
* | Deckers Outdoor Corp. | 1,421 | 1,273 |
eBay Inc. | 26,508 | 1,253 | |
* | Expedia Group Inc. | 7,712 | 1,055 |
* | Amazon.com Inc. | 5,880 | 1,039 |
* | BJ's Wholesale Club Holdings Inc. | 12,905 | 943 |
* | Abercrombie & Fitch Co. Class A | 7,346 | 939 |
* | Ulta Beauty Inc. | 1,664 | 913 |
Genuine Parts Co. | 6,067 | 906 | |
Ralph Lauren Corp. | 4,781 | 889 | |
* | Coupang Inc. | 46,479 | 861 |
* | e.l.f. Beauty Inc. | 3,834 | 800 |
* | Grand Canyon Education Inc. | 5,406 | 729 |
Shares | Market Value ($000) | ||
Steven Madden Ltd. | 16,970 | 727 | |
Hasbro Inc. | 13,965 | 702 | |
Build-A-Bear Workshop Inc. | 28,331 | 678 | |
Academy Sports & Outdoors Inc. | 8,571 | 640 | |
Caleres Inc. | 15,582 | 602 | |
Oxford Industries Inc. | 5,424 | 550 | |
* | ODP Corp. | 9,615 | 543 |
John Wiley & Sons Inc. Class A | 15,240 | 508 | |
Rollins Inc. | 10,884 | 480 | |
Macy's Inc. | 26,963 | 470 | |
Advance Auto Parts Inc. | 6,827 | 461 | |
Electronic Arts Inc. | 3,136 | 437 | |
* | MasterCraft Boat Holdings Inc. | 19,866 | 436 |
Steelcase Inc. Class A | 31,685 | 435 | |
HNI Corp. | 9,607 | 430 | |
* | Cavco Industries Inc. | 1,023 | 381 |
* | Duolingo Inc. | 1,572 | 376 |
* | NVR Inc. | 45 | 343 |
Monarch Casino & Resort Inc. | 4,814 | 339 | |
La-Z-Boy Inc. | 8,751 | 332 | |
Ethan Allen Interiors Inc. | 9,850 | 329 | |
Movado Group Inc. | 11,416 | 328 | |
PriceSmart Inc. | 3,780 | 318 | |
Perdoceo Education Corp. | 17,233 | 307 | |
Aaron's Co. Inc. | 38,919 | 302 | |
New York Times Co. Class A | 6,758 | 299 | |
* | Arlo Technologies Inc. | 26,385 | 275 |
Lennar Corp. Class B | 1,858 | 274 | |
* | Skechers USA Inc. Class A | 4,383 | 271 |
* | Knowles Corp. | 14,943 | 244 |
Buckle Inc. | 5,296 | 217 | |
* | G-III Apparel Group Ltd. | 6,435 | 214 |
American Eagle Outfitters Inc. | 8,434 | 200 | |
Murphy USA Inc. | 466 | 194 | |
* | CarParts.com Inc. | 68,640 | 175 |
Scholastic Corp. | 4,380 | 173 | |
Dick's Sporting Goods Inc. | 956 | 170 | |
* | DraftKings Inc. Class A | 3,678 | 159 |
Acushnet Holdings Corp. | 2,436 | 157 | |
* | TripAdvisor Inc. | 5,226 | 140 |
* | Stitch Fix Inc. Class A | 41,104 | 133 |
Upbound Group Inc. | 3,744 | 126 | |
* | Destination XL Group Inc. | 30,174 | 120 |
* | Under Armour Inc. Class A | 13,252 | 119 |
* | Booking Holdings Inc. | 32 | 111 |
* | Malibu Boats Inc. Class A | 2,250 | 98 |
* | YETI Holdings Inc. | 2,296 | 94 |
Matthews International Corp. Class A | 2,695 | 78 | |
* | Coursera Inc. | 4,670 | 75 |
Columbia Sportswear Co. | 837 | 69 | |
* | Liquidity Services Inc. | 3,191 | 57 |
* | Solo Brands Inc. Class A | 17,294 | 47 |
* | Hovnanian Enterprises Inc. Class A | 206 | 32 |
Signet Jewelers Ltd. | 176 | 18 | |
63,198 | |||
Consumer Staples (5.0%) | |||
PepsiCo Inc. | 17,379 | 2,873 | |
Kroger Co. | 30,164 | 1,496 |
Shares | Market Value ($000) | ||
Procter & Gamble Co. | 5,271 | 838 | |
WD-40 Co. | 3,099 | 832 | |
* | National Beverage Corp. | 13,136 | 691 |
Medifast Inc. | 15,902 | 638 | |
Casey's General Stores Inc. | 2,001 | 609 | |
* | Vita Coco Co. Inc. | 22,649 | 591 |
Nu Skin Enterprises Inc. Class A | 46,874 | 586 | |
Cencora Inc. | 2,438 | 574 | |
Kellanova | 10,302 | 568 | |
John B Sanfilippo & Son Inc. | 5,419 | 555 | |
Flowers Foods Inc. | 24,662 | 553 | |
Lancaster Colony Corp. | 2,219 | 459 | |
Cal-Maine Foods Inc. | 7,792 | 448 | |
Coca-Cola Consolidated Inc. | 515 | 433 | |
Kimberly-Clark Corp. | 3,530 | 428 | |
Coca-Cola Co. | 6,828 | 410 | |
Hershey Co. | 2,031 | 382 | |
* | Boston Beer Co. Inc. Class A | 1,082 | 333 |
* | United Natural Foods Inc. | 16,686 | 260 |
* | USANA Health Sciences Inc. | 5,089 | 246 |
Weis Markets Inc. | 3,339 | 217 | |
SpartanNash Co. | 9,475 | 200 | |
Ingles Markets Inc. Class A | 1,519 | 117 | |
15,337 | |||
Energy (4.3%) | |||
Marathon Petroleum Corp. | 12,204 | 2,065 | |
Occidental Petroleum Corp. | 29,269 | 1,774 | |
ConocoPhillips | 15,288 | 1,721 | |
EOG Resources Inc. | 13,077 | 1,497 | |
ChampionX Corp. | 29,983 | 931 | |
* | Enphase Energy Inc. | 7,063 | 897 |
Texas Pacific Land Corp. | 464 | 731 | |
* | Weatherford International plc | 6,898 | 708 |
Coterra Energy Inc. | 20,117 | 519 | |
SM Energy Co. | 8,574 | 375 | |
* | ProPetro Holding Corp. | 38,262 | 283 |
* | Gulfport Energy Corp. | 1,894 | 269 |
RPC Inc. | 35,917 | 266 | |
Valero Energy Corp. | 1,541 | 218 | |
Range Resources Corp. | 6,771 | 214 | |
Arch Resources Inc. | 1,127 | 186 | |
Alpha Metallurgical Resources Inc. | 354 | 134 | |
SunCoke Energy Inc. | 12,059 | 129 | |
CONSOL Energy Inc. | 1,481 | 127 | |
PBF Energy Inc. Class A | 2,041 | 95 | |
* | Oceaneering International Inc. | 4,661 | 92 |
* | DNOW Inc. | 5,675 | 80 |
* | DMC Global Inc. | 4,496 | 75 |
13,386 | |||
Financials (12.5%) | |||
American International Group Inc. | 30,295 | 2,208 | |
Ameriprise Financial Inc. | 4,846 | 1,974 | |
Equitable Holdings Inc. | 57,584 | 1,972 | |
SLM Corp. | 82,620 | 1,721 | |
Primerica Inc. | 6,283 | 1,541 | |
First BanCorp (XNYS) | 90,668 | 1,540 | |
Aflac Inc. | 17,700 | 1,429 |
Shares | Market Value ($000) | ||
Popular Inc. | 15,884 | 1,329 | |
Charles Schwab Corp. | 17,598 | 1,175 | |
Principal Financial Group Inc. | 14,307 | 1,157 | |
Zions Bancorp NA | 27,048 | 1,066 | |
* | Bancorp Inc. | 23,240 | 1,037 |
State Street Corp. | 13,160 | 970 | |
OFG Bancorp | 25,719 | 932 | |
Pathward Financial Inc. | 17,637 | 897 | |
WSFS Financial Corp. | 20,759 | 880 | |
* | Axos Financial Inc. | 16,857 | 879 |
Bank OZK | 19,510 | 854 | |
* | Customers Bancorp Inc. | 13,186 | 716 |
CNO Financial Group Inc. | 25,201 | 673 | |
Citizens Financial Group Inc. | 21,348 | 670 | |
Jackson Financial Inc. Class A | 11,878 | 654 | |
Fidelity National Financial Inc. | 12,394 | 627 | |
PJT Partners Inc. Class A | 5,775 | 609 | |
Cathay General Bancorp | 15,527 | 606 | |
BankUnited Inc. | 21,553 | 578 | |
Apollo Global Management Inc. | 4,739 | 530 | |
Berkshire Hills Bancorp Inc. | 24,318 | 523 | |
* | Triumph Financial Inc. | 6,780 | 508 |
* | Palomar Holdings Inc. | 6,571 | 500 |
Aon plc Class A (XNYS) | 1,542 | 487 | |
City Holding Co. | 4,714 | 474 | |
Bank of NT Butterfield & Son Ltd. | 15,643 | 468 | |
BOK Financial Corp. | 5,496 | 467 | |
Central Pacific Financial Corp. | 24,782 | 462 | |
Fulton Financial Corp. | 28,971 | 446 | |
* | Brighthouse Financial Inc. | 9,361 | 436 |
Eagle Bancorp Inc. | 15,004 | 357 | |
1st Source Corp. | 6,613 | 329 | |
CVB Financial Corp. | 18,594 | 316 | |
Virtus Investment Partners Inc. | 1,334 | 310 | |
SEI Investments Co. | 4,387 | 295 | |
Westamerica BanCorp | 6,419 | 293 | |
Independent Bank Corp. (XNGS) | 5,079 | 265 | |
WaFd Inc. | 9,466 | 258 | |
MGIC Investment Corp. | 11,196 | 223 | |
Radian Group Inc. | 7,536 | 220 | |
Moody's Corp. | 558 | 212 | |
* | NMI Holdings Inc. Class A | 6,642 | 200 |
Southside Bancshares Inc. | 5,679 | 163 | |
Trustmark Corp. | 5,848 | 157 | |
Universal Insurance Holdings Inc. | 6,169 | 125 | |
Lakeland Financial Corp. | 1,494 | 95 | |
* | Mr Cooper Group Inc. | 1,271 | 91 |
Hanmi Financial Corp. | 5,896 | 89 | |
Amalgamated Financial Corp. | 3,425 | 79 | |
Kearny Financial Corp. | 12,017 | 76 | |
Preferred Bank | 905 | 65 | |
Artisan Partners Asset Management Inc. Class A | 1,424 | 61 | |
Tompkins Financial Corp. | 1,154 | 56 | |
Washington Trust Bancorp Inc. | 1,928 | 50 | |
PennyMac Financial Services Inc. | 306 | 26 | |
38,406 | |||
Health Care (11.3%) | |||
AbbVie Inc. | 24,047 | 4,233 |
Shares | Market Value ($000) | ||
Bristol-Myers Squibb Co. | 76,814 | 3,898 | |
* | IDEXX Laboratories Inc. | 6,418 | 3,692 |
Gilead Sciences Inc. | 44,644 | 3,219 | |
Merck & Co. Inc. | 21,091 | 2,682 | |
Eli Lilly & Co. | 3,462 | 2,609 | |
* | Medpace Holdings Inc. | 3,352 | 1,332 |
Johnson & Johnson | 7,939 | 1,281 | |
Chemed Corp. | 1,977 | 1,238 | |
Humana Inc. | 3,356 | 1,176 | |
* | Edwards Lifesciences Corp. | 13,395 | 1,137 |
* | Alkermes plc | 35,297 | 1,048 |
* | Intuitive Surgical Inc. | 2,715 | 1,047 |
* | Molina Healthcare Inc. | 1,632 | 643 |
* | Lantheus Holdings Inc. | 9,304 | 608 |
* | CorVel Corp. | 2,409 | 588 |
Stryker Corp. | 1,523 | 532 | |
* | Haemonetics Corp. | 5,167 | 377 |
Bruker Corp. | 4,346 | 376 | |
* | Henry Schein Inc. | 4,099 | 313 |
* | ANI Pharmaceuticals Inc. | 4,404 | 298 |
* | Supernus Pharmaceuticals Inc. | 8,057 | 239 |
* | Incyte Corp. | 4,007 | 234 |
Patterson Cos. Inc. | 8,446 | 229 | |
* | Hologic Inc. | 3,052 | 225 |
* | Align Technology Inc. | 732 | 221 |
* | Myriad Genetics Inc. | 8,815 | 184 |
* | Shockwave Medical Inc. | 689 | 180 |
* | Corcept Therapeutics Inc. | 7,299 | 171 |
* | OraSure Technologies Inc. | 22,316 | 161 |
* | ACADIA Pharmaceuticals Inc. | 4,825 | 112 |
* | Tactile Systems Technology Inc. | 6,485 | 99 |
* | Catalyst Pharmaceuticals Inc. | 5,717 | 92 |
* | AtriCure Inc. | 2,506 | 88 |
* | Zimvie Inc. | 2,396 | 41 |
34,603 | |||
Industrials (20.5%) | |||
Cintas Corp. | 5,285 | 3,322 | |
3M Co. | 26,486 | 2,440 | |
Visa Inc. Class A | 8,434 | 2,384 | |
Paychex Inc. | 18,669 | 2,289 | |
MSC Industrial Direct Co. Inc. Class A | 22,588 | 2,280 | |
Landstar System Inc. | 10,512 | 1,999 | |
American Express Co. | 9,016 | 1,978 | |
* | Builders FirstSource Inc. | 10,061 | 1,964 |
Acuity Brands Inc. | 7,676 | 1,929 | |
Donaldson Co. Inc. | 24,023 | 1,721 | |
Automatic Data Processing Inc. | 6,839 | 1,718 | |
RPM International Inc. | 14,181 | 1,636 | |
Simpson Manufacturing Co. Inc. | 6,941 | 1,448 | |
Robert Half Inc. | 17,991 | 1,447 | |
* | PayPal Holdings Inc. | 23,316 | 1,407 |
CH Robinson Worldwide Inc. | 17,664 | 1,309 | |
Rockwell Automation Inc. | 4,482 | 1,278 | |
Caterpillar Inc. | 3,641 | 1,216 | |
Insperity Inc. | 11,280 | 1,148 | |
Accenture plc Class A | 2,734 | 1,025 | |
Synchrony Financial | 22,784 | 941 | |
* | AMN Healthcare Services Inc. | 14,548 | 819 |
Shares | Market Value ($000) | ||
Applied Industrial Technologies Inc. | 4,227 | 803 | |
Expeditors International of Washington Inc. | 6,356 | 760 | |
Apogee Enterprises Inc. | 12,793 | 732 | |
* | Limbach Holdings Inc. | 14,860 | 732 |
* | Blue Bird Corp. | 21,371 | 723 |
* | BlueLinx Holdings Inc. | 5,656 | 717 |
* | Legalzoom.com Inc. | 55,247 | 685 |
Kforce Inc. | 9,692 | 675 | |
PACCAR Inc. | 6,015 | 667 | |
Comfort Systems USA Inc. | 2,161 | 661 | |
* | Masterbrand Inc. | 37,601 | 651 |
Jack Henry & Associates Inc. | 3,719 | 646 | |
Mastercard Inc. Class A | 1,279 | 607 | |
Watts Water Technologies Inc. Class A | 2,915 | 595 | |
A O Smith Corp. | 7,091 | 588 | |
Barrett Business Services Inc. | 4,701 | 574 | |
EMCOR Group Inc. | 1,780 | 558 | |
Enerpac Tool Group Corp. | 16,551 | 558 | |
* | GMS Inc. | 6,138 | 548 |
WW Grainger Inc. | 544 | 530 | |
Ferguson plc | 2,507 | 530 | |
Advanced Drainage Systems Inc. | 3,125 | 510 | |
Old Dominion Freight Line Inc. | 984 | 435 | |
Bread Financial Holdings Inc. | 11,029 | 422 | |
Kadant Inc. | 1,236 | 417 | |
ManpowerGroup Inc. | 5,576 | 402 | |
* | Teekay Corp. | 51,069 | 387 |
Powell Industries Inc. | 2,001 | 371 | |
Toro Co. | 3,994 | 369 | |
* | Sterling Infrastructure Inc. | 3,438 | 367 |
* | MYR Group Inc. | 2,181 | 354 |
Badger Meter Inc. | 2,201 | 349 | |
* | Proto Labs Inc. | 9,564 | 348 |
* | Trex Co. Inc. | 3,743 | 343 |
* | Franklin Covey Co. | 8,969 | 342 |
Graco Inc. | 3,667 | 335 | |
Atkore Inc. | 1,932 | 327 | |
Cadre Holdings Inc. | 8,825 | 317 | |
Lincoln Electric Holdings Inc. | 1,198 | 307 | |
* | TriNet Group Inc. | 2,048 | 262 |
Ardmore Shipping Corp. | 16,081 | 261 | |
* | Cross Country Healthcare Inc. | 14,186 | 259 |
Resources Connection Inc. | 18,426 | 255 | |
Valmont Industries Inc. | 1,139 | 241 | |
CRA International Inc. | 1,596 | 212 | |
Owens Corning | 1,405 | 210 | |
* | TrueBlue Inc. | 17,115 | 201 |
LSI Industries Inc. | 11,291 | 163 | |
* | AeroVironment Inc. | 1,271 | 161 |
Myers Industries Inc. | 8,052 | 155 | |
Standex International Corp. | 887 | 153 | |
* | Beacon Roofing Supply Inc. | 1,758 | 151 |
Snap-on Inc. | 546 | 151 | |
* | Manitowoc Co. Inc. | 10,538 | 147 |
Insteel Industries Inc. | 4,007 | 146 | |
Allison Transmission Holdings Inc. | 1,884 | 142 | |
Tennant Co. | 1,082 | 122 | |
* | ExlService Holdings Inc. | 3,885 | 121 |
Shares | Market Value ($000) | ||
REV Group Inc. | 5,820 | 120 | |
Kelly Services Inc. Class A | 4,845 | 119 | |
Napco Security Technologies Inc. | 2,622 | 118 | |
Wabash National Corp. | 4,291 | 117 | |
Crane NXT Co. | 1,742 | 102 | |
Fortune Brands Innovations Inc. | 1,209 | 98 | |
Shyft Group Inc. | 9,418 | 97 | |
* | Donnelley Financial Solutions Inc. | 1,274 | 82 |
* | Keysight Technologies Inc. | 526 | 81 |
Encore Wire Corp. | 308 | 74 | |
Crane Co. | 612 | 74 | |
* | XPO Inc. | 581 | 70 |
Watsco Inc. | 158 | 62 | |
* | Hudson Technologies Inc. | 3,530 | 52 |
* | Titan International Inc. | 4,108 | 52 |
Nordson Corp. | 159 | 42 | |
Forward Air Corp. | 1,096 | 41 | |
62,854 | |||
Technology (20.5%) | |||
QUALCOMM Inc. | 31,614 | 4,988 | |
* | Autodesk Inc. | 18,766 | 4,845 |
KLA Corp. | 6,855 | 4,677 | |
Apple Inc. | 25,535 | 4,615 | |
Lam Research Corp. | 4,326 | 4,059 | |
Applied Materials Inc. | 17,903 | 3,610 | |
* | Adobe Inc. | 6,380 | 3,575 |
* | Palo Alto Networks Inc. | 10,759 | 3,341 |
Microchip Technology Inc. | 34,086 | 2,868 | |
NVIDIA Corp. | 3,325 | 2,630 | |
Meta Platforms Inc. Class A | 3,609 | 1,769 | |
* | Qualys Inc. | 9,899 | 1,701 |
NetApp Inc. | 15,948 | 1,421 | |
* | CommVault Systems Inc. | 14,040 | 1,344 |
* | Cadence Design Systems Inc. | 4,048 | 1,232 |
* | Pure Storage Inc. Class A | 16,161 | 851 |
Vertiv Holdings Co. Class A | 11,616 | 785 | |
* | Teradata Corp. | 20,769 | 781 |
* | Photronics Inc. | 24,750 | 713 |
* | Manhattan Associates Inc. | 2,727 | 691 |
Teradyne Inc. | 6,269 | 649 | |
* | Smartsheet Inc. Class A | 14,891 | 629 |
* | Synopsys Inc. | 1,091 | 626 |
* | Cirrus Logic Inc. | 6,684 | 614 |
A10 Networks Inc. | 45,631 | 607 | |
* | Gartner Inc. | 1,201 | 559 |
* | Atlassian Corp. Ltd. Class A | 2,650 | 550 |
* | DocuSign Inc. | 10,242 | 546 |
* | Alphabet Inc. Class A | 3,811 | 528 |
Hackett Group Inc. | 21,087 | 521 | |
* | Appfolio Inc. Class A | 2,150 | 520 |
* | F5 Inc. | 2,617 | 490 |
* | Lattice Semiconductor Corp. | 6,252 | 479 |
* | ON Semiconductor Corp. | 5,905 | 466 |
* | Pinterest Inc. Class A | 12,693 | 466 |
* | MaxLinear Inc. | 21,345 | 415 |
* | Axcelis Technologies Inc. | 3,107 | 350 |
Concentrix Corp. | 4,773 | 346 | |
* | Elastic NV | 2,250 | 301 |
Shares | Market Value ($000) | ||
Monolithic Power Systems Inc. | 388 | 279 | |
* | Yelp Inc. | 7,023 | 270 |
PC Connection Inc. | 3,853 | 256 | |
CDW Corp. | 972 | 239 | |
Amdocs Ltd. | 2,375 | 217 | |
* | Cargurus Inc. | 9,707 | 215 |
* | EverQuote Inc. Class A | 11,547 | 185 |
* | Kyndryl Holdings Inc. | 7,793 | 171 |
* | Daktronics Inc. | 19,366 | 168 |
CTS Corp. | 3,682 | 164 | |
CSG Systems International Inc. | 2,962 | 162 | |
Paycom Software Inc. | 774 | 141 | |
* | Yext Inc. | 22,759 | 135 |
* | Super Micro Computer Inc. | 123 | 106 |
* | Fortinet Inc. | 1,069 | 74 |
Dolby Laboratories Inc. Class A | 582 | 47 | |
* | OneSpan Inc. | 2,993 | 29 |
Microsoft Corp. | 45 | 19 | |
*,1 | Yandex NV Class A | 1,459 | — |
63,035 | |||
Telecommunications (1.2%) | |||
Cisco Systems Inc. | 40,045 | 1,937 | |
* | Extreme Networks Inc. | 65,919 | 834 |
* | IDT Corp. Class B | 14,274 | 531 |
* | Xperi Inc. | 18,440 | 202 |
* | Roku Inc. | 1,584 | 100 |
3,604 | |||
Total Common Stocks (Cost $260,224) | 305,535 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
2 | Vanguard Market Liquidity Fund, 5.400% (Cost $1,191) | 11,908 | 1,191 |
Total Investments (99.9%) (Cost $261,415) | 306,726 | ||
Other Assets and Liabilities—Net (0.1%) | 200 | ||
Net Assets (100%) | 306,926 | ||
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 | ||||
E-mini S&P 500 Index | March 2024 | 3 | 766 | 64 |
Micro E-mini S&P 500 Index | March 2024 | 16 | 408 | 34 |
98 |
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. 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 29, 2024, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 305,535 | — | — | 305,535 |
Temporary Cash Investments | 1,191 | — | — | 1,191 |
Total | 306,726 | — | — | 306,726 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 98 | — | — | 98 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |