Vanguard Windsor II Fund | |||
Schedule of Investments (unaudited) | |||
As of January 31, 2020 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (96.7%)1 | |||
Communication Services (7.6%) | |||
* | Alphabet Inc. Class A | 726,937 | 1,041,541 |
* | Alphabet Inc. Class C | 348,665 | 500,066 |
* | Facebook Inc. | 1,538,962 | 310,732 |
Verizon Communications Inc. | 4,610,310 | 274,037 | |
Walt Disney Co. | 1,834,135 | 253,679 | |
* | Electronic Arts Inc. | 1,763,775 | 190,347 |
Vodafone Group plc ADR | 9,458,932 | 185,490 | |
Comcast Corp. | 4,172,213 | 180,198 | |
* | Discovery Communications Inc. | 6,435,198 | 178,705 |
Twitter Inc. | 4,540,000 | 147,459 | |
News Corp. | 9,724,810 | 132,452 | |
ViacomCBS Inc. Class B | 2,019,379 | 68,921 | |
Interpublic Group of Cos. Inc. | 2,230,783 | 50,639 | |
Omnicom Group Inc. | 621,379 | 46,796 | |
3,561,062 | |||
Consumer Discretionary (8.1%) | |||
McDonald's Corp. | 2,722,130 | 582,454 | |
Lowe's Cos. Inc. | 3,959,300 | 460,229 | |
Lennar Corp. Class A | 6,624,659 | 439,612 | |
Home Depot Inc. | 1,488,870 | 339,611 | |
General Motors Co. | 8,222,424 | 274,547 | |
DR Horton Inc. | 4,602,210 | 272,451 | |
Ross Stores Inc. | 2,128,473 | 238,793 | |
Sony Corp. | 3,375,000 | 236,857 | |
Dollar General Corp. | 1,417,076 | 217,394 | |
Aptiv plc | 2,251,629 | 190,916 | |
Magna International Inc. | 2,855,732 | 144,757 | |
Alibaba Group Holding Ltd. ADR | 588,145 | 121,505 | |
Goodyear Tire & Rubber Co. | 5,528,396 | 72,588 | |
* | Adient plc | 2,584,243 | 66,441 |
Genuine Parts Co. | 658,142 | 61,582 | |
Harley-Davidson Inc. | 1,618,673 | 54,064 | |
Lennar Corp. | 47,457 | 2,492 | |
3,776,293 | |||
Consumer Staples (6.2%) | |||
Coca-Cola Co. | 16,897,357 | 986,806 | |
Procter & Gamble Co. | 3,961,033 | 493,624 | |
Mondelez International Inc. | 5,579,953 | 320,178 | |
Kimberly-Clark Corp. | 1,554,614 | 222,683 | |
PepsiCo Inc. | 1,490,145 | 211,630 | |
Tyson Foods Inc. | 2,404,064 | 198,648 | |
Unilever NV | 3,017,301 | 175,848 | |
Unilever plc ADR | 2,445,698 | 146,179 | |
Nestle SA | 1,206,400 | 133,057 | |
2,888,653 | |||
Energy (6.6%) | |||
Halliburton Co. | 17,107,222 | 373,109 | |
ConocoPhillips | 5,393,144 | 320,515 |
Chevron Corp. | 2,768,372 | 296,603 |
Suncor Energy Inc. | 8,952,332 | 273,852 |
BP plc ADR | 6,861,018 | 247,889 |
Phillips 66 | 1,990,000 | 181,826 |
Apache Corp. | 6,190,277 | 169,861 |
National Oilwell Varco Inc. | 7,865,788 | 162,114 |
Hess Corp. | 2,771,167 | 156,765 |
Marathon Oil Corp. | 13,640,287 | 155,090 |
Cabot Oil & Gas Corp. | 10,471,000 | 147,536 |
Royal Dutch Shell plc | 2,823,812 | 147,262 |
EOG Resources Inc. | 1,542,997 | 112,500 |
Murphy Oil Corp. | 5,331,273 | 111,743 |
Pioneer Natural Resources Co. | 820,000 | 110,700 |
Marathon Petroleum Corp. | 1,443,289 | 78,659 |
Kosmos Energy Ltd. | 6,793,795 | 34,716 |
3,080,740 | ||
Financials (17.2%) | ||
Bank of America Corp. | 38,395,735 | 1,260,532 |
Wells Fargo & Co. | 16,461,093 | 772,684 |
Intercontinental Exchange Inc. | 6,538,714 | 652,171 |
Citigroup Inc. | 7,006,173 | 521,329 |
American International Group Inc. | 8,756,756 | 440,115 |
JPMorgan Chase & Co. | 2,989,701 | 395,717 |
Capital One Financial Corp. | 3,487,243 | 348,027 |
Goldman Sachs Group Inc. | 1,296,349 | 308,207 |
Aon plc | 1,395,313 | 307,318 |
Commerce Bancshares Inc. | 3,664,736 | 247,956 |
Fifth Third Bancorp | 8,445,439 | 240,273 |
Ameriprise Financial Inc. | 1,330,000 | 219,995 |
PNC Financial Services Group Inc. | 1,357,039 | 201,588 |
Chubb Ltd. | 1,121,000 | 170,381 |
Citizens Financial Group Inc. | 4,068,251 | 151,664 |
BNP Paribas SA | 2,844,400 | 150,946 |
Travelers Cos. Inc. | 1,120,192 | 147,440 |
Truist Financial Corp. | 2,717,868 | 140,160 |
Discover Financial Services | 1,675,678 | 125,894 |
Equitable Holdings Inc. | 5,114,540 | 122,851 |
Morgan Stanley | 2,129,316 | 111,278 |
Mitsubishi UFJ Financial Group Inc. ADR | 19,937,000 | 102,476 |
Cullen/Frost Bankers Inc. | 1,132,000 | 100,929 |
E*TRADE Financial Corp. | 2,217,089 | 94,492 |
Bank of New York Mellon Corp. | 2,041,034 | 91,398 |
Barclays plc | 36,008,864 | 79,520 |
China Construction Bank Corp. | 100,358,000 | 76,025 |
State Street Corp. | 974,788 | 73,723 |
BOK Financial Corp. | 907,572 | 71,607 |
Industrial & Commercial Bank of China Ltd. | 85,990,000 | 57,078 |
Royal Bank of Scotland Group plc | 19,118,400 | 54,760 |
Synchrony Financial | 1,590,121 | 51,536 |
CIT Group Inc. | 1,001,610 | 45,784 |
Sumitomo Mitsui Financial Group Inc. | 1,227,100 | 43,144 |
Banco de Sabadell SA | 37,150,674 | 33,475 |
East West Bancorp Inc. | 678,914 | 31,121 |
Navient Corp. | 1,813,176 | 26,073 |
8,069,667 | ||
Health Care (14.9%) | ||
Medtronic plc | 11,963,857 | 1,381,108 |
Johnson & Johnson | 4,402,325 | 655,374 |
Danaher Corp. | 3,869,871 | 622,546 |
* Pfizer Inc. | 16,266,431 | 605,762 |
Anthem Inc. | 1,967,941 | 522,055 |
UnitedHealth Group Inc. | 1,372,450 | 373,924 |
Cigna Corp. | 1,680,373 | 323,270 |
Amgen Inc. | 1,116,000 | 241,112 |
Gilead Sciences Inc. | 3,413,982 | 215,764 |
Roche Holding AG | 607,800 | 203,898 |
Thermo Fisher Scientific Inc. | 631,379 | 197,742 |
Humana Inc. | 570,653 | 191,876 |
Novartis AG | 1,947,000 | 184,011 |
* Laboratory Corp. of America Holdings | 1,031,137 | 180,861 |
Zoetis Inc. | 1,297,969 | 174,200 |
Alcon Inc. | 2,731,000 | 160,965 |
GlaxoSmithKline plc ADR | 3,345,694 | 156,579 |
CVS Health Corp. | 1,893,896 | 128,444 |
Sanofi ADR | 1,546,991 | 74,673 |
IQVIA Holdings Inc. | 429,775 | 66,723 |
Centene Corp. | 1,031,588 | 64,794 |
Zimmer Biomet Holdings Inc. | 389,408 | 57,594 |
* Biogen Inc. | 205,811 | 55,332 |
AbbVie Inc. | 671,167 | 54,378 |
HCA Healthcare Inc. | 368,036 | 51,083 |
Merck & Co. Inc. | 555,229 | 47,439 |
6,991,507 | ||
Industrials (9.9%) | ||
Raytheon Co. | 2,720,222 | 601,006 |
Honeywell International Inc. | 3,001,450 | 519,911 |
General Electric Co. | 39,734,584 | 494,696 |
Caterpillar Inc. | 3,616,156 | 474,982 |
Norfolk Southern Corp. | 1,422,920 | 296,266 |
Allegion plc | 1,836,000 | 237,431 |
Parker-Hannifin Corp. | 1,059,000 | 207,236 |
Cummins Inc. | 1,276,872 | 204,261 |
Johnson Controls International plc | 4,913,251 | 193,828 |
Boeing Co. | 580,723 | 184,827 |
CNH Industrial NV | 19,251,499 | 181,349 |
General Dynamics Corp. | 1,018,000 | 178,598 |
Oshkosh Corp. | 2,049,728 | 176,359 |
Deere & Co. | 1,000,089 | 158,594 |
3M Co. | 931,837 | 147,845 |
FedEx Corp. | 709,590 | 102,635 |
Stanley Black & Decker Inc. | 569,690 | 90,769 |
Eaton Corp. plc | 897,613 | 84,797 |
PACCAR Inc. | 738,120 | 54,776 |
Fluor Corp. | 2,263,685 | 40,497 |
* Embraer SA ADR | 1,662,054 | 27,989 |
4,658,652 | ||
Information Technology (20.9%) | ||
Microsoft Corp. | 14,919,706 | 2,539,782 |
Apple Inc. | 4,212,280 | 1,303,743 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 9,101,285 | 490,923 |
Visa Inc. | 2,310,025 | 459,626 |
Samsung Electronics Co. Ltd. | 9,860,900 | 456,885 |
Cisco Systems Inc. | 9,795,915 | 450,318 |
Adobe Inc. | 1,240,000 | 435,414 |
Analog Devices Inc. | 2,999,358 | 329,180 | |||
Oracle Corp. | 6,269,125 | 328,816 | |||
Texas Instruments Inc. | 2,679,097 | 323,233 | |||
ANSYS Inc. | 1,110,000 | 304,506 | |||
PayPal Holdings Inc. | 2,270,000 | 258,530 | |||
* | Micron Technology Inc. | 4,797,244 | 254,686 | ||
^ | Microchip Technology Inc. | 2,377,000 | 231,710 | ||
Corning Inc. | 7,810,761 | 208,469 | |||
Accenture plc Class A | 944,210 | 193,761 | |||
Hewlett Packard Enterprise Co. | 13,174,241 | 183,517 | |||
Fidelity National Information Services Inc. | 1,263,405 | 181,501 | |||
* | Palo Alto Networks Inc. | 722,669 | 169,668 | ||
International Business Machines Corp. | 963,965 | 138,551 | |||
Motorola Solutions Inc. | 692,595 | 122,589 | |||
Skyworks Solutions Inc. | 1,006,521 | 113,888 | |||
Telefonaktiebolaget LM Ericsson | 13,555,580 | 106,547 | |||
PTC Inc. | 1,207,836 | 100,395 | |||
TE Connectivity Ltd. | 776,366 | 71,565 | |||
* | Teradata Corp. | 1,042,423 | 25,373 | ||
9,783,176 | |||||
Materials (1.8%) | |||||
Martin Marietta Materials Inc. | 823,000 | 217,107 | |||
PPG Industries Inc. | 1,777,741 | 213,045 | |||
Corteva Inc. | 7,087,000 | 204,956 | |||
International Paper Co. | 3,030,929 | 123,419 | |||
Vulcan Materials Co. | 708,612 | 100,361 | |||
858,888 | |||||
Other (1.5%) | |||||
SPDR S&P 500 ETF Trust | 2,236,142 | 719,434 | |||
Real Estate (1.3%) | |||||
Prologis Inc. | 3,389,474 | 314,814 | |||
Sun Communities Inc. | 894,000 | 144,980 | |||
Equity LifeStyle Properties Inc. | 1,932,000 | 140,553 | |||
600,347 | |||||
Utilities (0.7%) | |||||
PPL Corp. | 6,486,903 | 234,761 | |||
Southern Co. | 1,602,410 | 112,810 | |||
347,571 | |||||
Total Common Stocks (Cost $35,618,483) | 45,335,990 | ||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (3.4%)1 | |||||
Money Market Fund (3.3%) | |||||
2,3 Vanguard Market Liquidity Fund | 1.730% | 15,909,132 | 1,591,231 | ||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (0.1%) | |||||
4 | United States Treasury Bill | 1.566% | 2/20/20 | 30,000 | 29,979 |
Total Temporary Cash Investments (Cost $1,621,072) | 1,621,210 |
Total Investments (100.1%) (Cost $37,239,555) | 46,957,200 |
Other Assets and Liabilities-Net (-0.1%)3 | (62,471) |
Net Assets (100%) | 46,894,729 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $38,992,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 97.9% and 2.2%, respectively, of net assets.
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.
3 Collateral of $41,600,000 was received for securities on loan.
4 Securities with a value of $24,183,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2020 | 3,527 | 568,552 | (9,949) |
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 at their fair values calculated according to procedures adopted by the board of
trustees. These procedures include obtaining quotations from an independent pricing service, monitoring
news to identify significant market- or security-specific events, and evaluating changes in the values of
foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the
time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices
of securities used by a fund to calculate its net asset value may differ from quoted or published prices for
the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset
value. Temporary cash investments are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as
furnished by independent pricing services.
B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are
translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's
pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on
investment securities include the effects of changes in exchange rates since the securities were
purchased, combined with the effects of changes in security prices. Fluctuations in the value of other
assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as
realized foreign currency gains (losses).
C. 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 assets
pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts
are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as
an asset (liability).
D. Various inputs may be used to determine the value of the fund's investments. 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 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 January
31, 2020, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 44,047,202 | 1,288,788 | — |
Temporary Cash Investments | 1,591,231 | 29,979 | — |
Futures Contracts—Liabilities1 | (11,877) | — | — |
Total | 45,626,556 | 1,318,767 | — |
1 Represents variation margin on the last day of the reporting period. |
E. Certain of the fund’s investments are in companies that are considered to be affiliated companies of the
fund because the fund owns more than 5% of the outstanding voting securities of the company or the
issuer is another member of The Vanguard Group. Transactions during the period in securities of these
companies were as follows:
Current Period Transactions | ||||||||
October | Proceeds | January | ||||||
31, 2019 | from | Realized | Change in | Capital Gain | 31, 2020 | |||
Market | Purchases | Securities | Net Gain | Unrealized | Distributions | Market | ||
Value | at Cost | Sold | (Loss) | App.(Dep.) | Income | Received | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | |
Vanguard Market | ||||||||
Liquidity Fund | 1,799,860 | NA1 | NA1 | 116 | 30 | 6,791 | — | 1,591,231 |
Vanguard Value ETF | 29,097 | — | 30,588 | 18,279 | (16,788) | 233 | — | — |
Total | 1,828,957 | — | 30,588 | 18,395 | (16,758) | 7,024 | — | 1,591,231 |
1 Not applicable—purchases and sales are for temporary cash investment purposes.