UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22114
Name of Registrant: | Vanguard Montgomery Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2020-December 31, 2020
Item 1: Reports to Shareholders
Your Fund’s Performance at a Glance | 1 |
Advisor’s Report | 2 |
About Your Fund’s Expenses | 4 |
Performance Summary | 6 |
Financial Statements | 8 |
• | For the 12 months ended December 31, 2020, Vanguard Market Neutral Fund returned –11.57% for Investor Shares and –11.58% for Institutional Shares. It fell short of its mandate of beating the returns of 3-month U.S. Treasury bills, which gained 0.58%. |
• | Stocks initially plummeted after the emergence of COVID-19 in early 2020, but they finished the year significantly higher, thanks in part to rapid and robust monetary and fiscal action by policymakers and the rollout of COVID-19 vaccines at the end of the year. |
• | Consumer discretionary and communication services were the only sectors where selection produced positive results. Holdings in consumer staples, industrials, and health care were the biggest detractors. |
• | For the decade ended December 31, the fund produced an average annual return of –0.05% for Investor Shares and 0.03% for Institutional Shares, lagging its spliced benchmark by more than half a percentage point. |
Average Annual Total Returns Periods Ended December 31, 2020 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 20.96% | 14.82% | 15.60% |
Russell 2000 Index (Small-caps) | 19.96 | 10.25 | 13.26 |
Russell 3000 Index (Broad U.S. market) | 20.89 | 14.49 | 15.43 |
FTSE All-World ex US Index (International) | 11.22 | 5.18 | 9.16 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 7.51% | 5.34% | 4.44% |
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 5.21 | 4.64 | 3.91 |
FTSE Three-Month U.S. Treasury Bill Index | 0.58 | 1.56 | 1.16 |
CPI | |||
Consumer Price Index | 1.36% | 1.85% | 1.95% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2020 | |||
Market Neutral Fund | Beginning Account Value 6/30/2020 | Ending Account Value 12/31/2020 | Expenses Paid During Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $930.91 | $5.92 |
Institutional Shares | 1,000.00 | 930.87 | 5.63 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,019.00 | $6.19 |
Institutional Shares | 1,000.00 | 1,019.31 | 5.89 |
Average Annual Total Returns Periods Ended December 31, 2020 | |||||
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Market Neutral Fund Investor Shares | -11.57% | -4.72% | -0.05% | $49,748 | |
Spliced Market Neutral Index | 0.58 | 1.16 | 0.60 | 53,069 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 20.79 | 15.36 | 13.74 | 181,201 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Market Neutral Fund Institutional Shares | -11.58% | -4.67% | 0.03% | $5,014,968 | |
Spliced Market Neutral Index | 0.58 | 1.16 | 0.60 | 5,306,863 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 20.79 | 15.36 | 13.74 | 18,120,128 |
Long Portfolio1 | Short Portfolio2 | |
Communication Services | 3.6% | 3.6% |
Consumer Discretionary | 13.9 | 14.2 |
Consumer Staples | 6.6 | 6.6 |
Energy | 1.5 | 1.4 |
Financials | 13.0 | 12.8 |
Health Care | 10.5 | 10.2 |
Industrials | 12.7 | 12.0 |
Information Technology | 21.9 | 22.0 |
Materials | 4.7 | 5.3 |
Real Estate | 8.6 | 8.8 |
Utilities | 3.0 | 3.1 |
1 | Percentage of investments in long portfolio. |
2 | Percentage of investments in short portfolio. |
Shares | Market Value• ($000) | ||
Common Stocks—Long Positions (98.1%) | |||
Communication Services (3.6%) | |||
*,1 | Discovery Inc. Class A | 72,192 | 2,172 |
* | Alphabet Inc. Class C | 887 | 1,554 |
1 | CenturyLink Inc. | 141,262 | 1,377 |
*,1 | Cars.com Inc. | 91,247 | 1,031 |
1 | Interpublic Group of Cos. Inc. | 33,199 | 781 |
* | Pinterest Inc. Class A | 10,390 | 685 |
* | Yelp Inc. Class A | 20,134 | 658 |
Verizon Communications Inc. | 10,620 | 624 | |
* | Cargurus Inc. | 18,459 | 586 |
*,1 | MSG Networks Inc. Class A | 37,859 | 558 |
*,1 | Lions Gate Entertainment Corp. Class A | 41,448 | 471 |
* | Match Group Inc. | 2,752 | 416 |
10,913 | |||
Consumer Discretionary (13.7%) | |||
*,1 | Gentherm Inc. | 39,380 | 2,568 |
1 | Brunswick Corp. | 32,601 | 2,485 |
Lowe's Cos. Inc. | 14,474 | 2,323 | |
1 | ODP Corp. | 76,586 | 2,244 |
Yum! Brands Inc. | 19,309 | 2,096 | |
1 | Best Buy Co. Inc. | 20,567 | 2,052 |
1 | eBay Inc. | 40,313 | 2,026 |
Polaris Inc. | 16,689 | 1,590 | |
1 | Kontoor Brands Inc. | 34,070 | 1,382 |
1 | Newell Brands Inc. | 63,552 | 1,349 |
Home Depot Inc. | 4,645 | 1,234 | |
*,1 | frontdoor Inc. | 23,816 | 1,196 |
1 | International Game Technology plc | 66,132 | 1,120 |
* | American Axle & Manufacturing Holdings Inc. | 109,239 | 911 |
1 | Big Lots Inc. | 20,889 | 897 |
*,1 | Laureate Education Inc. Class A | 61,224 | 891 |
* | Etsy Inc. | 4,888 | 870 |
1 | Camping World Holdings Inc. Class A | 31,689 | 825 |
Shutterstock Inc. | 11,465 | 822 | |
*,1 | Asbury Automotive Group Inc. | 5,481 | 799 |
* | Malibu Boats Inc. Class A | 12,528 | 782 |
Group 1 Automotive Inc. | 5,587 | 733 | |
Papa John's International Inc. | 8,623 | 732 | |
* | Tupperware Brands Corp. | 22,424 | 726 |
Shares | Market Value• ($000) | ||
*,1 | At Home Group Inc. | 44,026 | 681 |
Dick's Sporting Goods Inc. | 11,751 | 661 | |
Tapestry Inc. | 20,868 | 649 | |
Winnebago Industries Inc. | 9,742 | 584 | |
Red Rock Resorts Inc. Class A | 23,111 | 579 | |
* | Tesla Inc. | 804 | 567 |
1 | Wingstop Inc. | 3,819 | 506 |
Signet Jewelers Ltd. | 17,837 | 486 | |
* | Michaels Cos. Inc. | 37,035 | 482 |
Lennar Corp. Class A | 6,177 | 471 | |
* | Groupon Inc. Class A | 11,606 | 441 |
1 | Bed Bath & Beyond Inc. | 20,807 | 370 |
* | Penn National Gaming Inc. | 4,262 | 368 |
Darden Restaurants Inc. | 3,017 | 359 | |
1 | H&R Block Inc. | 21,287 | 338 |
Wyndham Destinations Inc. | 7,328 | 329 | |
Carnival Corp. | 14,875 | 322 | |
1 | Bloomin' Brands Inc. | 16,155 | 314 |
*,1 | Aaron's Co. Inc. | 15,819 | 300 |
* | iRobot Corp. | 3,603 | 289 |
*,1 | Meritage Homes Corp. | 3,315 | 275 |
42,024 | |||
Consumer Staples (6.5%) | |||
1 | Campbell Soup Co. | 50,769 | 2,455 |
Coca-Cola Consolidated Inc. | 9,153 | 2,437 | |
*,1 | TreeHouse Foods Inc. | 54,232 | 2,304 |
1 | Altria Group Inc. | 56,011 | 2,296 |
1 | Conagra Brands Inc. | 53,270 | 1,932 |
*,1 | Herbalife Nutrition Ltd. | 37,320 | 1,793 |
*,1 | Hain Celestial Group Inc. | 38,875 | 1,561 |
Spectrum Brands Holdings Inc. | 9,243 | 730 | |
1 | Fresh Del Monte Produce Inc. | 27,234 | 656 |
1 | Ingles Markets Inc. Class A | 14,971 | 639 |
*,1 | BJ's Wholesale Club Holdings Inc. | 16,687 | 622 |
John B Sanfilippo & Son Inc. | 5,685 | 448 | |
* | Central Garden & Pet Co. Class A | 11,828 | 430 |
General Mills Inc. | 6,906 | 406 | |
Nu Skin Enterprises Inc. Class A | 6,131 | 335 | |
Walmart Inc. | 2,256 | 325 | |
Weis Markets Inc. | 6,433 | 308 | |
Vector Group Ltd. | 25,432 | 296 | |
19,973 | |||
Energy (1.4%) | |||
1 | Targa Resources Corp. | 47,151 | 1,244 |
* | Magnolia Oil & Gas Corp. Class A | 108,685 | 767 |
1 | Schlumberger NV | 34,331 | 750 |
1 | Apache Corp. | 33,198 | 471 |
1 | World Fuel Services Corp. | 12,849 | 400 |
1 | DHT Holdings Inc. | 71,342 | 373 |
NOV Inc. | 27,022 | 371 | |
4,376 | |||
Financials (12.7%) | |||
1 | Allstate Corp. | 23,945 | 2,632 |
1 | Primerica Inc. | 18,867 | 2,527 |
Shares | Market Value• ($000) | ||
1 | Flagstar Bancorp Inc. | 60,324 | 2,459 |
1 | CNO Financial Group Inc. | 103,460 | 2,300 |
1 | Hilltop Holdings Inc. | 73,057 | 2,010 |
1 | Aflac Inc. | 43,511 | 1,935 |
1 | First Horizon Corp. | 149,149 | 1,903 |
1 | PROG Holdings Inc. | 31,638 | 1,704 |
*,1 | Cannae Holdings Inc. | 37,919 | 1,679 |
1 | First Financial Bancorp | 84,935 | 1,489 |
1 | Virtu Financial Inc. Class A | 57,706 | 1,452 |
*,1 | Enova International Inc. | 57,291 | 1,419 |
1 | Brightsphere Investment Group Inc. | 69,427 | 1,339 |
FNB Corp. | 139,015 | 1,321 | |
1 | First Interstate BancSystem Inc. Class A | 31,560 | 1,287 |
Progressive Corp. | 12,710 | 1,257 | |
1 | Associated Banc-Corp. | 61,990 | 1,057 |
1 | Navient Corp. | 100,365 | 986 |
1 | Universal Insurance Holdings Inc. | 61,434 | 928 |
1 | Jefferies Financial Group Inc. | 36,845 | 906 |
Mercury General Corp. | 17,339 | 905 | |
*,1 | NMI Holdings Inc. Class A | 39,956 | 905 |
* | Berkshire Hathaway Inc. Class B | 3,316 | 769 |
1 | First Midwest Bancorp Inc. | 43,558 | 693 |
Hanover Insurance Group Inc. | 5,861 | 685 | |
1 | Unum Group | 28,202 | 647 |
1 | First Hawaiian Inc. | 25,423 | 599 |
James River Group Holdings Ltd. | 11,722 | 576 | |
Bank of NT Butterfield & Son Ltd. | 12,586 | 392 | |
1 | Citigroup Inc. | 5,949 | 367 |
39,128 | |||
Health Care (10.3%) | |||
1 | HCA Healthcare Inc. | 16,098 | 2,647 |
*,1 | Alkermes plc | 124,237 | 2,479 |
1 | Cardinal Health Inc. | 45,611 | 2,443 |
*,1 | Medpace Holdings Inc. | 15,690 | 2,184 |
*,1 | Tenet Healthcare Corp. | 52,626 | 2,101 |
McKesson Corp. | 10,867 | 1,890 | |
*,1 | Travere Thrapeutics Inc. | 64,617 | 1,761 |
Thermo Fisher Scientific Inc. | 3,772 | 1,757 | |
*,1 | PRA Health Sciences Inc. | 13,934 | 1,748 |
*,1 | Quidel Corp. | 6,931 | 1,245 |
* | LHC Group Inc. | 5,530 | 1,180 |
1 | Luminex Corp. | 45,430 | 1,050 |
*,1 | Syneos Health Inc. | 14,893 | 1,015 |
*,1 | Bluebird Bio Inc. | 19,925 | 862 |
*,1 | DaVita Inc. | 6,572 | 772 |
*,1 | Enanta Pharmaceuticals Inc. | 17,635 | 742 |
Ensign Group Inc. | 9,816 | 716 | |
* | Hologic Inc. | 7,154 | 521 |
1 | Owens & Minor Inc. | 19,101 | 517 |
*,1 | Inovalon Holdings Inc. Class A | 27,402 | 498 |
* | Amneal Pharmaceuticals Inc. | 103,800 | 474 |
*,1 | Schrodinger Inc. | 5,855 | 464 |
*,1 | GenMark Diagnostics Inc. | 31,516 | 460 |
* | Intercept Pharmaceuticals Inc. | 16,196 | 400 |
* | IQVIA Holdings Inc. | 1,908 | 342 |
Shares | Market Value• ($000) | ||
*,1 | MEDNAX Inc. | 13,867 | 340 |
* | NextGen Healthcare Inc. | 18,071 | 330 |
* | Covetrus Inc. | 10,197 | 293 |
Cigna Corp. | 1,287 | 268 | |
31,499 | |||
Industrials (12.4%) | |||
AGCO Corp. | 24,757 | 2,552 | |
*,1 | GMS Inc. | 79,425 | 2,421 |
1 | Masco Corp. | 43,585 | 2,394 |
1 | UFP Industries Inc. | 42,100 | 2,339 |
*,1 | Atkore International Group Inc. | 53,193 | 2,187 |
Lockheed Martin Corp. | 6,117 | 2,171 | |
1 | Deluxe Corp. | 65,625 | 1,916 |
1 | Boise Cascade Co. | 34,004 | 1,625 |
* | United Rentals Inc. | 6,772 | 1,571 |
*,1 | Builders FirstSource Inc. | 37,071 | 1,513 |
1 | Kforce Inc. | 35,443 | 1,492 |
1 | Rush Enterprises Inc. Class A | 34,215 | 1,417 |
1 | Steelcase Inc. Class A | 103,484 | 1,402 |
Owens Corning | 17,666 | 1,338 | |
*,1 | Gibraltar Industries Inc. | 18,177 | 1,308 |
* | Beacon Roofing Supply Inc. | 28,160 | 1,132 |
* | CoStar Group Inc. | 1,039 | 960 |
Costamare Inc. | 108,567 | 899 | |
1 | TransUnion | 8,582 | 852 |
* | Cornerstone Building Brands Inc. | 64,825 | 602 |
* | Atlas Air Worldwide Holdings Inc. | 10,319 | 563 |
Maxar Technologies Inc. | 14,151 | 546 | |
1 | Triton International Ltd. | 11,202 | 543 |
1 | Schneider National Inc. Class B | 24,368 | 504 |
Applied Industrial Technologies Inc. | 5,749 | 448 | |
Allison Transmission Holdings Inc. | 8,950 | 386 | |
* | JELD-WEN Holding Inc. | 15,197 | 385 |
GrafTech International Ltd. | 34,902 | 372 | |
* | American Woodmark Corp. | 3,930 | 369 |
* | Upwork Inc. | 9,697 | 335 |
Mueller Industries Inc. | 9,470 | 333 | |
Cintas Corp. | 909 | 321 | |
Werner Enterprises Inc. | 8,159 | 320 | |
Ryder System Inc. | 5,059 | 313 | |
United Parcel Service Inc. Class B | 1,829 | 308 | |
38,137 | |||
Information Technology (21.5%) | |||
*,1 | Workiva Inc. Class A | 28,938 | 2,651 |
1 | Jabil Inc. | 61,640 | 2,622 |
*,1 | Domo Inc. Class B | 38,635 | 2,464 |
*,1 | Cadence Design Systems Inc. | 17,786 | 2,427 |
1 | Amkor Technology Inc. | 159,812 | 2,410 |
Intuit Inc. | 6,342 | 2,409 | |
1 | ManTech International Corp. Class A | 26,985 | 2,400 |
1 | Booz Allen Hamilton Holding Corp. Class A | 25,731 | 2,243 |
*,1 | Sykes Enterprises Inc. | 58,645 | 2,209 |
*,1 | Dropbox Inc. Class A | 98,062 | 2,176 |
*,1 | GoDaddy Inc. Class A | 24,840 | 2,060 |
*,1 | Atlassian Corp. plc Class A | 8,793 | 2,056 |
Shares | Market Value• ($000) | ||
*,1 | NETGEAR Inc. | 49,407 | 2,007 |
*,1 | Square Inc. Class A | 8,820 | 1,920 |
* | Fortinet Inc. | 12,331 | 1,832 |
*,1 | Box Inc. Class A | 101,048 | 1,824 |
*,1 | Synaptics Inc. | 18,900 | 1,822 |
1 | Avnet Inc. | 47,524 | 1,669 |
Microsoft Corp. | 7,505 | 1,669 | |
* | Manhattan Associates Inc. | 15,636 | 1,645 |
*,1 | Advanced Micro Devices Inc. | 17,345 | 1,591 |
1 | Western Digital Corp. | 26,397 | 1,462 |
1 | Plantronics Inc. | 52,685 | 1,424 |
*,1 | Teradata Corp. | 61,208 | 1,375 |
1 | SYNNEX Corp. | 15,255 | 1,242 |
*,1 | Ultra Clean Holdings Inc. | 39,080 | 1,217 |
1 | Perspecta Inc. | 50,251 | 1,210 |
* | Zoom Video Communications Inc. Class A | 3,507 | 1,183 |
Oracle Corp. | 17,801 | 1,152 | |
*,1 | Infinera Corp. | 107,546 | 1,127 |
*,1 | Avaya Holdings Corp. | 57,976 | 1,110 |
Apple Inc. | 7,297 | 968 | |
Accenture plc Class A | 3,485 | 910 | |
*,1 | Comm Scope Holding Co. Inc. | 64,092 | 859 |
Applied Materials Inc. | 9,378 | 809 | |
1 | DXC Technology Co. | 31,282 | 806 |
* | PayPal Holdings Inc. | 3,203 | 750 |
* | Calix Inc. | 23,625 | 703 |
* | MACOM Technology Solutions Holdings Inc. Class H | 11,859 | 653 |
* | Extreme Networks Inc. | 86,989 | 599 |
1 | HP Inc. | 20,619 | 507 |
Ubiquiti Inc. | 1,582 | 441 | |
CDW Corp. | 3,226 | 425 | |
*,1 | SunPower Corp. | 15,011 | 385 |
* | Axcelis Technologies Inc. | 12,106 | 353 |
*,1 | CACI International Inc. Class A | 1,201 | 299 |
66,075 | |||
Materials (4.6%) | |||
1 | Louisiana-Pacific Corp. | 66,456 | 2,470 |
1 | Sensient Technologies Corp. | 23,323 | 1,721 |
*,1 | Coeur Mining Inc. | 153,460 | 1,588 |
1 | Commercial Metals Co. | 65,776 | 1,351 |
1 | Chemours Co. | 46,769 | 1,159 |
1 | O-I Glass Inc. | 78,389 | 933 |
*,1 | Forterra Inc. | 47,495 | 817 |
Dow Inc. | 14,047 | 780 | |
1 | Element Solutions Inc. | 42,460 | 753 |
Worthington Industries Inc. | 13,723 | 705 | |
Avery Dennison Corp. | 3,991 | 619 | |
*,1 | Koppers Holdings Inc. | 19,295 | 601 |
Newmont Corp. | 6,120 | 366 | |
* | Axalta Coating Systems Ltd. | 11,625 | 332 |
14,195 | |||
Real Estate (8.4%) | |||
1 | Uniti Group Inc. | 226,808 | 2,660 |
1 | Sabra Health Care REIT Inc. | 148,457 | 2,579 |
1 | Gaming and Leisure Properties Inc. | 59,287 | 2,514 |
Shares | Market Value• ($000) | ||
*,1 | Redfin Corp. | 35,939 | 2,466 |
1 | Iron Mountain Inc. | 77,972 | 2,299 |
Equinix Inc. | 2,917 | 2,083 | |
1 | VICI Properties Inc. | 67,381 | 1,718 |
1 | Office Properties Income Trust | 70,452 | 1,601 |
1 | SL Green Realty Corp. | 24,549 | 1,463 |
1 | PotlatchDeltic Corp. | 28,589 | 1,430 |
GEO Group Inc. | 141,602 | 1,255 | |
1 | CoreCivic Inc. | 158,713 | 1,039 |
1 | Global Net Lease Inc. | 51,010 | 874 |
Simon Property Group Inc. | 7,590 | 647 | |
Duke Realty Corp. | 8,272 | 331 | |
Equity Commonwealth | 12,022 | 328 | |
*,1 | Realogy Holdings Corp. | 24,688 | 324 |
1 | Diversified Healthcare Trust | 78,709 | 324 |
25,935 | |||
Utilities (3.0%) | |||
1 | Vistra Corp. | 122,815 | 2,414 |
1 | AES Corp. | 94,724 | 2,226 |
1 | Hawaiian Electric Industries Inc. | 54,571 | 1,931 |
1 | Evergy Inc. | 27,116 | 1,505 |
Unitil Corp. | 8,403 | 372 | |
NRG Energy Inc. | 9,789 | 368 | |
California Water Service Group | 6,067 | 328 | |
9,144 | |||
Total Common Stocks—Long Positions (Cost $244,070) | 301,399 | ||
Temporary Cash Investments (2.0%) | |||
Money Market Fund (2.0%) | |||
2 | Vanguard Market Liquidity Fund, 0.111% (Cost $6,171) | 61,709 | 6,171 |
Common Stocks Sold Short (-98.3%) | |||
Communication Services (-3.6%) | |||
ViacomCBS Inc. Class B | (55,121) | (2,054) | |
* | TripAdvisor Inc. | (70,308) | (2,023) |
* | Netflix Inc. | (3,636) | (1,966) |
* | T-Mobile US Inc. | (13,086) | (1,765) |
Cinemark Holdings Inc. | (52,912) | (921) | |
Nexstar Media Group Inc. Class A | (5,990) | (654) | |
* | Iridium Communications Inc. | (15,274) | (601) |
* | Madison Square Garden Sports Corp. | (2,149) | (396) |
Marcus Corp. | (22,719) | (306) | |
TEGNA Inc. | (21,149) | (295) | |
(10,981) | |||
Consumer Discretionary (-13.9%) | |||
* | Five Below Inc. | (15,581) | (2,726) |
* | Burlington Stores Inc. | (10,222) | (2,674) |
Hasbro Inc. | (27,100) | (2,535) | |
* | Fox Factory Holding Corp. | (21,802) | (2,305) |
Hyatt Hotels Corp. | (28,761) | (2,136) | |
* | Skechers USA Inc. Class A | (56,282) | (2,023) |
Expedia Group Inc. | (15,002) | (1,986) | |
* | Helen of Troy Ltd. | (8,864) | (1,969) |
Shares | Market Value• ($000) | ||
* | Ulta Beauty Inc. | (6,751) | (1,939) |
Wynn Resorts Ltd. | (16,923) | (1,909) | |
Vail Resorts Inc. | (6,233) | (1,739) | |
Monro Inc. | (32,221) | (1,717) | |
American Eagle Outfitters Inc. | (84,730) | (1,701) | |
Ross Stores Inc. | (13,721) | (1,685) | |
* | Lululemon Athletica Inc. | (4,445) | (1,547) |
Choice Hotels International Inc. | (14,226) | (1,518) | |
* | CarMax Inc. | (15,587) | (1,472) |
* | Boot Barn Holdings Inc. | (30,747) | (1,333) |
* | SeaWorld Entertainment Inc. | (35,980) | (1,137) |
Callaway Golf Co. | (45,813) | (1,100) | |
* | RealReal Inc. | (48,500) | (948) |
Oxford Industries Inc. | (11,497) | (753) | |
Ralph Lauren Corp. Class A | (5,433) | (564) | |
Harley-Davidson Inc. | (14,288) | (524) | |
LCI Industries | (3,048) | (395) | |
Goodyear Tire & Rubber Co. | (35,552) | (388) | |
* | Vroom Inc. | (9,134) | (374) |
Aptiv plc | (2,826) | (368) | |
Franchise Group Inc. | (11,990) | (365) | |
General Motors Co. | (8,456) | (352) | |
* | Chegg Inc. | (3,870) | (350) |
* | Carvana Co. Class A | (1,228) | (294) |
(42,826) | |||
Consumer Staples (-6.5%) | |||
Archer-Daniels-Midland Co. | (49,998) | (2,520) | |
* | Cal-Maine Foods Inc. | (51,133) | (1,920) |
J & J Snack Foods Corp. | (10,666) | (1,657) | |
Coca-Cola Co. | (30,148) | (1,653) | |
* | Hostess Brands Inc. Class A | (111,237) | (1,629) |
Universal Corp. | (31,456) | (1,529) | |
* | Darling Ingredients Inc. | (25,990) | (1,499) |
* | Freshpet Inc. | (10,539) | (1,496) |
WD-40 Co. | (5,126) | (1,362) | |
Inter Parfums Inc. | (21,103) | (1,277) | |
Calavo Growers Inc. | (11,580) | (804) | |
PriceSmart Inc. | (8,453) | (770) | |
Estee Lauder Cos. Inc. Class A | (2,312) | (615) | |
* | Performance Food Group Co. | (11,124) | (530) |
Energizer Holdings Inc. | (7,882) | (332) | |
* | Grocery Outlet Holding Corp. | (8,229) | (323) |
(19,916) | |||
Energy (-1.3%) | |||
Valero Energy Corp. | (14,016) | (793) | |
* | Dril-Quip Inc. | (24,939) | (739) |
PBF Energy Inc. Class A | (96,863) | (688) | |
Cabot Oil & Gas Corp. | (35,776) | (582) | |
Kosmos Energy Ltd. | (134,950) | (317) | |
Delek U.S. Holdings Inc. | (19,197) | (308) | |
Helmerich & Payne Inc. | (12,530) | (290) | |
Murphy Oil Corp. | (23,579) | (285) | |
* | Occidental Petroleum Corp. Warrants Exp. 8/3/27 | (11,842) | (81) |
(4,083) |
Shares | Market Value• ($000) | ||
Financials (-12.6%) | |||
Independent Bank Group Inc. | (42,074) | (2,630) | |
Loews Corp. | (55,132) | (2,482) | |
Hamilton Lane Inc. Class A | (31,067) | (2,425) | |
First Republic Bank | (16,497) | (2,424) | |
* | Markel Corp. | (2,298) | (2,375) |
American International Group Inc. | (61,285) | (2,320) | |
Voya Financial Inc. | (38,473) | (2,263) | |
RenaissanceRe Holdings Ltd. | (13,354) | (2,214) | |
Cadence BanCorp. Class A | (116,235) | (1,909) | |
Apollo Global Management Inc. Class A | (36,072) | (1,767) | |
Argo Group International Holdings Ltd. | (38,821) | (1,696) | |
Live Oak Bancshares Inc. | (30,609) | (1,453) | |
Moelis & Co. Class A | (30,315) | (1,418) | |
* | Ambac Financial Group Inc. | (75,454) | (1,160) |
* | Palomar Holdings Inc. | (12,768) | (1,134) |
Kearny Financial Corp. | (107,157) | (1,132) | |
Eagle Bancorp Inc. | (25,695) | (1,061) | |
Capitol Federal Financial Inc. | (77,910) | (974) | |
* | LendingTree Inc. | (3,548) | (971) |
* | Triumph Bancorp Inc. | (13,133) | (638) |
Piper Sandler Cos. | (6,044) | (610) | |
* | Axos Financial Inc. | (13,660) | (513) |
WisdomTree Investments Inc. | (84,946) | (454) | |
Banc of California Inc. | (30,296) | (446) | |
* | Mr Cooper Group Inc. | (14,063) | (436) |
* | Seacoast Banking Corp. of Florida | (14,783) | (435) |
* | BRP Group Inc. Class A | (12,865) | (386) |
PNC Financial Services Group Inc. | (2,379) | (354) | |
Axis Capital Holdings Ltd. | (6,791) | (342) | |
BankUnited Inc. | (9,834) | (342) | |
(38,764) | |||
Health Care (-10.0%) | |||
* | Align Technology Inc. | (4,792) | (2,561) |
* | Boston Scientific Corp. | (66,561) | (2,393) |
* | HealthEquity Inc. | (30,966) | (2,159) |
* | Mirati Therapeutics Inc. | (8,556) | (1,879) |
* | Globus Medical Inc. Class A | (27,861) | (1,817) |
* | Glaukos Corp. | (23,357) | (1,758) |
* | Revance Therapeutics Inc. | (52,962) | (1,501) |
Stryker Corp. | (5,913) | (1,449) | |
* | Bridgebio Pharma Inc. | (20,035) | (1,425) |
* | Arrowhead Pharmaceuticals Inc. | (18,328) | (1,406) |
* | Cardiovascular Systems Inc. | (31,693) | (1,387) |
* | Adaptive Biotechnologies Corp. | (23,230) | (1,373) |
* | Penumbra Inc. | (7,798) | (1,365) |
* | Intra-Cellular Therapies Inc. | (42,751) | (1,359) |
* | Zentalis Pharmaceuticals Inc. | (19,343) | (1,005) |
* | Insmed Inc. | (29,530) | (983) |
* | Amicus Therapeutics Inc. | (42,442) | (980) |
* | Exact Sciences Corp. | (4,860) | (644) |
* | Arcus Biosciences Inc. | (18,285) | (475) |
* | Inogen Inc. | (10,311) | (461) |
* | ViewRay Inc. | (98,850) | (377) |
* | ChemoCentryx Inc. | (5,958) | (369) |
Shares | Market Value• ($000) | ||
* | Tactile Systems Technology Inc. | (8,095) | (364) |
* | Twist Bioscience Corp. | (2,556) | (361) |
* | Molina Healthcare Inc. | (1,577) | (335) |
* | Allogene Therapeutics Inc. | (11,566) | (292) |
* | Rocket Pharmaceuticals Inc. | (5,324) | (292) |
(30,770) | |||
Industrials (-11.8%) | |||
Spirit AeroSystems Holdings Inc. Class A | (63,518) | (2,483) | |
US Ecology Inc. | (66,649) | (2,421) | |
Alamo Group Inc. | (17,283) | (2,384) | |
Hillenbrand Inc. | (58,623) | (2,333) | |
Cubic Corp. | (36,904) | (2,290) | |
* | Ingersoll Rand Inc. | (48,448) | (2,207) |
Armstrong World Industries Inc. | (28,599) | (2,127) | |
* | Dun & Bradstreet Holdings Inc. | (81,834) | (2,038) |
* | Chart Industries Inc. | (16,105) | (1,897) |
L3Harris Technologies Inc. | (8,653) | (1,636) | |
* | Air Transport Services Group Inc. | (50,873) | (1,594) |
* | Trex Co. Inc. | (15,742) | (1,318) |
Federal Signal Corp. | (38,741) | (1,285) | |
* | Harsco Corp. | (66,147) | (1,189) |
* | Axon Enterprise Inc. | (9,515) | (1,166) |
Hexcel Corp. | (23,542) | (1,142) | |
Boeing Co. | (4,749) | (1,017) | |
Hawaiian Holdings Inc. | (49,788) | (881) | |
* | Welbilt Inc. | (55,267) | (730) |
Waste Management Inc. | (5,372) | (634) | |
ICF International Inc. | (7,995) | (594) | |
Vertiv Holdings Co. Class A | (29,773) | (556) | |
Raytheon Technologies Corp. | (6,942) | (496) | |
* | NV5 Global Inc. | (5,652) | (445) |
EnerSys | (5,076) | (422) | |
Greenbrier Cos. Inc. | (9,317) | (339) | |
Flowserve Corp. | (8,551) | (315) | |
Enerpac Tool Group Corp. Class A | (12,876) | (291) | |
(36,230) | |||
Information Technology (-21.7%) | |||
Global Payments Inc. | (12,602) | (2,715) | |
* | Q2 Holdings Inc. | (20,799) | (2,632) |
* | Repay Holdings Corp. | (95,682) | (2,607) |
* | Trimble Inc. | (38,241) | (2,553) |
Paychex Inc. | (27,114) | (2,527) | |
Cognex Corp. | (31,133) | (2,500) | |
* | Fiserv Inc. | (21,827) | (2,485) |
* | Aspen Technology Inc. | (18,642) | (2,428) |
* | Onto Innovation Inc. | (49,850) | (2,370) |
* | RingCentral Inc. Class A | (6,243) | (2,366) |
* | Cree Inc. | (21,402) | (2,266) |
Fidelity National Information Services Inc. | (15,726) | (2,225) | |
* | FleetCor Technologies Inc. | (7,758) | (2,117) |
* | ViaSat Inc. | (64,021) | (2,090) |
* | Splunk Inc. | (12,181) | (2,069) |
* | Envestnet Inc. | (24,210) | (1,992) |
* | WEX Inc. | (9,323) | (1,898) |
* | Rapid7 Inc. | (20,978) | (1,891) |
Shares | Market Value• ($000) | ||
MKS Instruments Inc. | (12,018) | (1,808) | |
* | F5 Networks Inc. | (9,824) | (1,728) |
* | Black Knight Inc. | (19,226) | (1,699) |
* | ANSYS Inc. | (4,329) | (1,575) |
Switch Inc. Class A | (91,855) | (1,504) | |
FLIR Systems Inc. | (30,221) | (1,325) | |
* | Trade Desk Inc. Class A | (1,621) | (1,298) |
Hewlett Packard Enterprise Co. | (109,095) | (1,293) | |
* | Guidewire Software Inc. | (9,294) | (1,196) |
Marvell Technology Group Ltd. | (22,897) | (1,089) | |
Dolby Laboratories Inc. Class A | (10,991) | (1,068) | |
Universal Display Corp. | (4,347) | (999) | |
* | Zscaler Inc. | (4,743) | (947) |
* | II-VI Inc. | (12,336) | (937) |
* | Alteryx Inc. Class A | (6,774) | (825) |
Xerox Holdings Corp. | (31,799) | (737) | |
NetApp Inc. | (10,868) | (720) | |
* | EchoStar Corp. Class A | (30,708) | (651) |
* | Yext Inc. | (38,444) | (604) |
Analog Devices Inc. | (2,788) | (412) | |
* | Altair Engineering Inc. Class A | (6,944) | (404) |
Belden Inc. | (9,523) | (399) | |
* | I3 Verticals Inc. Class A | (11,217) | (372) |
* | Lattice Semiconductor Corp. | (7,480) | (343) |
* | LiveRamp Holdings Inc. | (4,346) | (318) |
NVIDIA Corp. | (559) | (292) | |
InterDigital Inc. | (4,355) | (264) | |
(66,538) | |||
Materials (-5.2%) | |||
* | Livent Corp. | (137,841) | (2,597) |
Cleveland-Cliffs Inc. | (175,819) | (2,560) | |
Quaker Chemical Corp. | (10,065) | (2,550) | |
Innospec Inc. | (27,579) | (2,502) | |
Albemarle Corp. | (10,807) | (1,594) | |
Westlake Chemical Corp. | (18,394) | (1,501) | |
* | Novagold Resources Inc. | (112,787) | (1,091) |
United States Steel Corp. | (28,074) | (471) | |
Martin Marietta Materials Inc. | (1,527) | (434) | |
Carpenter Technology Corp. | (13,268) | (386) | |
* | Allegheny Technologies Inc. | (19,174) | (322) |
(16,008) | |||
Real Estate (-8.6%) | |||
Camden Property Trust | (25,849) | (2,583) | |
UDR Inc. | (64,315) | (2,472) | |
American Campus Communities Inc. | (51,626) | (2,208) | |
Pebblebrook Hotel Trust | (106,112) | (1,995) | |
Americold Realty Trust | (39,809) | (1,486) | |
Agree Realty Corp. | (22,144) | (1,474) | |
National Storage Affiliates Trust | (40,446) | (1,457) | |
Safehold Inc. | (18,739) | (1,358) | |
Service Properties Trust | (97,928) | (1,125) | |
Essential Properties Realty Trust Inc. | (52,585) | (1,115) | |
CubeSmart | (33,019) | (1,110) | |
STORE Capital Corp. | (25,093) | (853) | |
EastGroup Properties Inc. | (6,122) | (845) |
Shares | Market Value• ($000) | ||
ProLogis Inc. | (8,392) | (836) | |
Apple Hospitality REIT Inc. | (63,702) | (823) | |
* | Jones Lang LaSalle Inc. | (5,474) | (812) |
Rexford Industrial Realty Inc. | (15,981) | (785) | |
Park Hotels & Resorts Inc. | (44,195) | (758) | |
* | DiamondRock Hospitality Co. | (80,811) | (667) |
Host Hotels & Resorts Inc. | (43,059) | (630) | |
Innovative Industrial Properties Inc. | (1,969) | (361) | |
Newmark Group Inc. Class A | (49,405) | (360) | |
Sun Communities Inc. | (2,299) | (349) | |
(26,462) | |||
Utilities (-3.1%) | |||
Essential Utilities Inc. | (53,928) | (2,550) | |
New Jersey Resources Corp. | (68,330) | (2,429) | |
Ameren Corp. | (20,835) | (1,627) | |
SJW Group | (17,749) | (1,231) | |
Edison International | (14,058) | (883) | |
* | Sunnova Energy International Inc. | (8,068) | (364) |
* | PG&E Corp. | (26,561) | (331) |
(9,415) | |||
Total Common Stocks Sold Short (Proceeds $245,432) | (301,993) | ||
Other Assets and Other Liabilities—Net (98.2%) | 301,545 | ||
Net Assets (100%) | 307,122 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Long security positions with a value of $200,220,000 are held in a segregated account at the fund's custodian bank and pledged to a broker-dealer as collateral for the fund's obligation to return borrowed securities. For so long as such obligations continue, the fund’s access to these assets is subject to authorization from the broker-dealer. |
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. |
REIT—Real Estate Investment Trust. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, | |
Long Positions, at Value | |
Unaffiliated Issuers (Cost $244,070) | 301,399 |
Affiliated Issuers (Cost $6,171) | 6,171 |
Total Long Positions | 307,570 |
Investment in Vanguard | 11 |
Cash | 50 |
Cash Segregated for Short Positions | 303,678 |
Receivables for Investment Securities Sold | 2,551 |
Receivables for Accrued Income | 441 |
Receivables for Capital Shares Issued | 70 |
Total Assets | 614,371 |
Liabilities | |
Securities Sold Short, at Value (Proceeds $245,432) | 301,993 |
Payables for Investment Securities Purchased | 4,180 |
Payables for Capital Shares Redeemed | 751 |
Payables to Vanguard | 32 |
Accrued Dividend Expense on Securities Sold Short | 293 |
Total Liabilities | 307,249 |
Net Assets | 307,122 |
At December 31, 2020, net assets consisted of: | |
Paid-in Capital | 558,492 |
Total Distributable Earnings (Loss) | (251,370) |
Net Assets | 307,122 |
Investor Shares—Net Assets | |
Applicable to 27,137,177 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 242,609 |
Net Asset Value Per Share—Investor Shares | $8.94 |
Institutional Shares—Net Assets | |
Applicable to 7,246,314 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 64,513 |
Net Asset Value Per Share—Institutional Shares | $8.90 |
Year Ended December 31, 2020 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,872 |
Interest1 | 1,087 |
Securities Lending—Net | 221 |
Total Income | 6,180 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 326 |
Management and Administrative—Investor Shares | 208 |
Management and Administrative—Institutional Shares | 22 |
Marketing and Distribution—Investor Shares | 35 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 47 |
Auditing Fees | 27 |
Shareholders' Reports—Investor Shares | 4 |
Shareholders' Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | — |
Dividend Expense on Securities Sold Short | 3,557 |
Total Expenses | 4,230 |
Net Investment Income | 1,950 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Long Positions1 | 6,209 |
Investment Securities Sold—Short Positions | (33,542) |
Futures Contracts | 1 |
Realized Net Gain (Loss) | (27,332) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Long Positions1 | 5,204 |
Investment Securities—Short Positions | (24,521) |
Change in Unrealized Appreciation (Depreciation) | (19,317) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,699) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $19,000, $4,000, and $—, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended December 31, | ||
2020 ($000) | 2019 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,950 | 20,508 |
Realized Net Gain (Loss) | (27,332) | 34,391 |
Change in Unrealized Appreciation (Depreciation) | (19,317) | (184,393) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,699) | (129,494) |
Distributions1 | ||
Investor Shares | (2,025) | (15,919) |
Institutional Shares | (565) | (4,991) |
Total Distributions | (2,590) | (20,910) |
Capital Share Transactions | ||
Investor Shares | (128,906) | (685,147) |
Institutional Shares | (66,836) | (168,947) |
Net Increase (Decrease) from Capital Share Transactions | (195,742) | (854,094) |
Total Increase (Decrease) | (243,031) | (1,004,498) |
Net Assets | ||
Beginning of Period | 550,153 | 1,554,651 |
End of Period | 307,122 | 550,153 |
1 | Certain prior-period numbers have been reclassified to conform with the current-period presentation. |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $10.19 | $11.62 | $11.66 | $12.39 | $12.12 |
Investment Operations | |||||
Net Investment Income | .0511 | .2061 | .1081 | .1111 | .050 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.229) | (1.314) | (.038) | (.717) | .267 |
Total from Investment Operations | (1.178) | (1.108) | .070 | (.606) | .317 |
Distributions | |||||
Dividends from Net Investment Income | (.072) | (.322) | (.110) | (.124) | (.047) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.072) | (.322) | (.110) | (.124) | (.047) |
Net Asset Value, End of Period | $8.94 | $10.19 | $11.62 | $11.66 | $12.39 |
Total Return | -11.57% | -9.57% | 0.59% | -4.89% | 2.62% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $243 | $408 | $1,209 | $1,368 | $1,760 |
Ratio of Total Expenses to Average Net Assets | |||||
Based on Total Expenses2 | 1.18% | 1.46% | 1.80% | 1.54% | 1.60% |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% |
Ratio of Net Investment Income to Average Net Assets | 0.52% | 1.90% | 0.93% | 0.94% | 0.48% |
Portfolio Turnover Rate | 172% | 141% | 110% | 79% | 64% |
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 0.98%, 1.26%, 1.60%, 1.32%, and 1.38%, respectively. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $10.15 | $11.57 | $11.61 | $12.34 | $12.07 |
Investment Operations | |||||
Net Investment Income | .0571 | .2131 | .1191 | .1231 | .061 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.230) | (1.305) | (.043) | (.719) | .265 |
Total from Investment Operations | (1.173) | (1.092) | .076 | (.596) | .326 |
Distributions | |||||
Dividends from Net Investment Income | (.077) | (.328) | (.116) | (.134) | (.056) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.077) | (.328) | (.116) | (.134) | (.056) |
Net Asset Value, End of Period | $8.90 | $10.15 | $11.57 | $11.61 | $12.34 |
Total Return | -11.58% | -9.48% | 0.65% | -4.83% | 2.70% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $65 | $142 | $346 | $332 | $338 |
Ratio of Total Expenses to Average Net Assets | |||||
Based on Total Expenses2 | 1.12% | 1.40% | 1.74% | 1.46% | 1.52% |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.14% | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 0.59% | 1.96% | 0.99% | 1.02% | 0.56% |
Portfolio Turnover Rate | 172% | 141% | 110% | 79% | 64% |
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 0.98%, 1.26%, 1.60%, 1.32%, and 1.38%, respectively. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | (40) |
Total Distributable Earnings (Loss) | 40 |
Amount ($000) | |
Undistributed Ordinary Income | — |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (250,637) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (733) |
Year Ended December 31, | ||
2020 Amount ($000) | 2019 Amount ($000) | |
Ordinary Income* | 2,590 | 20,910 |
Long-Term Capital Gains | — | — |
Total | 2,590 | 20,910 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 251,742 |
Gross Unrealized Appreciation | 76,004 |
Gross Unrealized Depreciation | (76,737) |
Net Unrealized Appreciation (Depreciation) | (733) |
E. | During the year ended December 31, 2020, the fund purchased $481,554,000 of investment securities and sold $722,290,000 of investment securities, other than temporary cash investments. The proceeds of short sales and the cost of purchases to cover short sales were $501,015,000 and $789,775,000, respectively. |
F. | Capital share transactions for each class of shares were: |
Year Ended December 31, | |||||
2020 | 2019 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 122,592 | 12,924 | 143,089 | 13,108 | |
Issued in Lieu of Cash Distributions | 1,906 | 208 | 14,208 | 1,375 | |
Redeemed | (253,404) | (26,060) | (842,444) | (78,478) | |
Net Increase (Decrease)—Investor Shares | (128,906) | (12,928) | (685,147) | (63,995) | |
Institutional Shares | |||||
Issued | 9,771 | 1,046 | 46,192 | 4,228 | |
Issued in Lieu of Cash Distributions | 240 | 26 | 3,397 | 329 | |
Redeemed | (76,847) | (7,794) | (218,536) | (20,483) | |
Net Increase (Decrease)—Institutional Shares | (66,836) | (6,722) | (168,947) | (15,926) |
G. | Management has determined that no events or transactions occurred subsequent to December 31, 2020, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
February 18, 2021
Joseph Brennan | James M. Norris |
Mortimer J. Buckley | Thomas M. Rampulla |
Gregory Davis | Karin A. Risi |
John James | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chris D. McIsaac | Lauren Valente |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended December 31, 2020: $27,000
Fiscal Year Ended December 31, 2019: $26,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2020: $10,761,407
Fiscal Year Ended December 31, 2019: $9,568,215
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2020: $2,915,863
Fiscal Year Ended December 31, 2019: $3,012,031
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended December 31, 2020: $247,168
Fiscal Year Ended December 31, 2019: $357,238
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended December 31, 2020: $115,000
Fiscal Year Ended December 31, 2019: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2020: $362,168
Fiscal Year Ended December 31, 2019: $357,238
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not Applicable
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. In 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard Market Neutral Fund. There were no other significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a) | Code of Ethics. |
(b) | Certifications. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD MONTGOMERY FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: February 19, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD MONTGOMERY FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: February 19, 2021
VANGUARD MONTGOMERY FUNDS
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: February 19, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on December 18, 2020 (see File Number 33-64845), Incorporated by Reference.