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, 2022—December 31, 2022
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 |
• | Vanguard Market Neutral Fund returned 13.48% for Investor Shares and 13.47% for Institutional Shares for the 12-month period ended December 31, 2022. It outperformed its mandate of beating the returns of 3-month U.S. Treasury bills, which gained 1.50%. |
• | The financial markets were challenged as inflation soared to its highest levels in decades because of increased government spending during the pandemic and higher energy and food prices resulting from Russia’s invasion of Ukraine. To combat higher prices, central banks around the world tightened monetary policy, which caused fears of recession. |
• | U.S. stocks returned –19.21% for the period, as measured by the Russell 3000 Index, while stocks outside the U.S. returned –15.49%, as measured by the FTSE All-World ex US Index. |
• | Eight of the funds’ 11 industry sectors added to performance, with health care, consumer discretionary, and information technology contributing the most on a relative basis. Holdings in consumer staples, utilities, and communication services detracted. |
• | For the decade ended December 31, the fund produced an average annual return of 2.74% for Investor Shares and 2.81% for Institutional Shares, outpacing its benchmark. |
Average Annual Total Returns Periods Ended December 31, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -19.13% | 7.35% | 9.13% |
Russell 2000 Index (Small-caps) | -20.44 | 3.10 | 4.13 |
Russell 3000 Index (Broad U.S. market) | -19.21 | 7.07 | 8.79 |
FTSE All-World ex US Index (International) | -15.49 | 0.61 | 1.28 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -13.07% | -2.67% | 0.06% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.53 | -0.77 | 1.25 |
FTSE Three-Month U.S. Treasury Bill Index | 1.50 | 0.70 | 1.24 |
CPI | |||
Consumer Price Index | 6.45% | 4.92% | 3.78% |
• | 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, 2022 | |||
Beginning Account Value 6/30/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Market Neutral Fund | |||
Investor Shares | $1,000.00 | $1,056.90 | $10.16 |
Institutional Shares | 1,000.00 | 1,056.60 | 10.21 |
Based on Hypothetical 5% Yearly Return | |||
Market Neutral Fund | |||
Investor Shares | $1,000.00 | $1,015.33 | $9.96 |
Institutional Shares | 1,000.00 | 1,015.28 | 10.01 |
Average Annual Total Returns Periods Ended December 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Market Neutral Fund Investor Shares | 13.48% | 2.38% | 2.74% | $65,515 | |
Spliced Market Neutral Index | 1.50 | 1.25 | 0.74 | 53,810 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -19.53 | 8.65 | 12.03 | 155,755 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
Market Neutral Fund Institutional Shares | 13.47% | 2.44% | 2.81% | $6,596,950 | |
Spliced Market Neutral Index | 1.50 | 1.25 | 0.74 | 5,380,958 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -19.53 | 8.65 | 12.03 | 15,575,514 |
Long Portfolio | Short Portfolio | |
Communication Services | 3.4% | 3.3% |
Consumer Discretionary | 9.3 | 9.1 |
Consumer Staples | 4.7 | 4.4 |
Energy | 6.8 | 6.9 |
Financials | 19.2 | 18.9 |
Health Care | 9.8 | 9.7 |
Industrials | 15.7 | 15.8 |
Information Technology | 13.9 | 14.5 |
Materials | 6.1 | 6.1 |
Real Estate | 7.8 | 7.9 |
Utilities | 3.3 | 3.4 |
Shares | Market Value• ($000) | ||
Common Stocks—Long Positions (98.1%) | |||
Communication Services (3.3%) | |||
* | Live Nation Entertainment Inc. | 69,878 | 4,873 |
*,1 | Yelp Inc. Class A | 171,397 | 4,686 |
* | Charter Communications Inc. Class A | 10,602 | 3,595 |
*,1 | ZipRecruiter Inc. Class A | 96,272 | 1,581 |
*,1 | TripAdvisor Inc. | 80,256 | 1,443 |
*,1 | Clear Channel Outdoor Holdings Inc. | 1,221,427 | 1,283 |
* | ZoomInfo Technologies Inc. Class A | 38,191 | 1,150 |
*,1 | Altice USA Inc. Class A | 230,815 | 1,062 |
Cable One Inc. | 1,293 | 920 | |
*,1 | WideOpenWest Inc. | 98,658 | 899 |
* | Iridium Communications Inc. | 12,750 | 655 |
* | Alphabet Inc. Class A | 7,304 | 644 |
* | Spotify Technology SA | 7,294 | 576 |
23,367 | |||
Consumer Discretionary (9.1%) | |||
1 | Buckle Inc. | 116,607 | 5,288 |
*,1 | Capri Holdings Ltd. | 86,174 | 4,939 |
* | Chegg Inc. | 181,763 | 4,593 |
* | Ulta Beauty Inc. | 9,225 | 4,327 |
1 | Travel & Leisure Co. | 115,615 | 4,208 |
1 | Boyd Gaming Corp. | 76,647 | 4,180 |
*,1 | Tri Pointe Homes Inc. | 214,069 | 3,980 |
*,1 | Skyline Champion Corp. | 72,667 | 3,743 |
*,1 | Everi Holdings Inc. | 233,793 | 3,355 |
1 | Macy's Inc. | 141,009 | 2,912 |
Toll Brothers Inc. | 51,355 | 2,564 | |
* | NVR Inc. | 517 | 2,385 |
* | Visteon Corp. | 13,575 | 1,776 |
* | Expedia Group Inc. | 18,984 | 1,663 |
Texas Roadhouse Inc. Class A | 17,887 | 1,627 | |
* | Taylor Morrison Home Corp. Class A | 52,559 | 1,595 |
Murphy USA Inc. | 5,614 | 1,569 | |
Oxford Industries Inc. | 16,751 | 1,561 | |
*,1 | Perdoceo Education Corp. | 103,613 | 1,440 |
1 | Signet Jewelers Ltd. | 19,400 | 1,319 |
Dine Brands Global Inc. | 12,134 | 784 | |
Patrick Industries Inc. | 12,322 | 747 | |
* | Hyatt Hotels Corp. Class A | 7,153 | 647 |
ADT Inc. | 71,350 | 647 | |
* | Golden Entertainment Inc. | 14,796 | 553 |
Shares | Market Value• ($000) | ||
* | MarineMax Inc. | 14,905 | 465 |
* | Chico's FAS Inc. | 85,314 | 420 |
* | Tesla Inc. | 3,253 | 401 |
63,688 | |||
Consumer Staples (4.6%) | |||
1 | Primo Water Corp. | 317,758 | 4,938 |
1 | Cal-Maine Foods Inc. | 81,700 | 4,449 |
1 | Kroger Co. | 95,888 | 4,275 |
1 | Archer-Daniels-Midland Co. | 39,929 | 3,707 |
*,1 | Herbalife Nutrition Ltd. | 229,685 | 3,418 |
1 | Coca-Cola Consolidated Inc. | 5,253 | 2,691 |
*,1 | Pilgrim's Pride Corp. | 107,551 | 2,552 |
* | US Foods Holding Corp | 42,654 | 1,451 |
Altria Group Inc. | 31,630 | 1,446 | |
1 | Ingles Markets Inc. Class A | 14,578 | 1,406 |
* | elf Beauty Inc. | 21,047 | 1,164 |
John B Sanfilippo & Son Inc. | 7,893 | 642 | |
32,139 | |||
Energy (6.7%) | |||
*,1 | Weatherford International plc | 108,983 | 5,549 |
*,1 | Par Pacific Holdings Inc. | 219,408 | 5,101 |
1 | Marathon Petroleum Corp. | 43,669 | 5,083 |
1 | Liberty Energy Inc. Class A | 309,833 | 4,961 |
*,1 | US Silica Holdings Inc. | 393,209 | 4,915 |
*,1 | W&T Offshore Inc. | 854,117 | 4,766 |
1 | Phillips 66 | 45,638 | 4,750 |
* | Nabors Industries Ltd. (XNYS) | 17,285 | 2,677 |
*,1 | Southwestern Energy Co. | 370,429 | 2,167 |
APA Corp. | 37,861 | 1,767 | |
*,1 | ProPetro Holding Corp. | 144,985 | 1,504 |
* | Kosmos Energy Ltd. | 198,744 | 1,264 |
Valero Energy Corp. | 6,827 | 866 | |
*,1 | Talos Energy Inc. | 33,966 | 641 |
PBF Energy Inc. Class A | 14,864 | 606 | |
46,617 | |||
Financials (18.9%) | |||
1 | American International Group Inc. | 88,794 | 5,615 |
1 | CNO Financial Group Inc. | 234,566 | 5,360 |
1 | W R Berkley Corp. | 73,413 | 5,328 |
1 | Charles Schwab Corp. | 62,829 | 5,231 |
Shares | Market Value• ($000) | ||
American Equity Investment Life Holding Co. | 110,786 | 5,054 | |
1 | Essent Group Ltd. | 127,744 | 4,967 |
1 | American Financial Group Inc. | 36,110 | 4,957 |
1 | Equitable Holdings Inc. | 171,226 | 4,914 |
1 | Discover Financial Services | 50,097 | 4,901 |
LPL Financial Holdings Inc. | 22,665 | 4,900 | |
1 | OFG Bancorp | 177,331 | 4,887 |
1 | Citigroup Inc. | 107,503 | 4,862 |
1 | MGIC Investment Corp. | 372,653 | 4,845 |
Comerica Inc. | 72,273 | 4,831 | |
1 | Radian Group Inc. | 250,686 | 4,781 |
Corebridge Financial Inc. | 237,627 | 4,767 | |
Jackson Financial Inc. Class A | 135,837 | 4,726 | |
1 | Unum Group | 108,512 | 4,452 |
*,1 | LendingClub Corp. | 498,163 | 4,384 |
Westamerica BanCorp. | 63,549 | 3,750 | |
1 | Carlyle Group Inc. | 115,451 | 3,445 |
1 | SLM Corp. | 198,080 | 3,288 |
1 | Stewart Information Services Corp. | 75,384 | 3,221 |
Ameriprise Financial Inc. | 9,793 | 3,049 | |
1 | Eagle Bancorp Inc. | 59,182 | 2,608 |
Popular Inc. | 38,882 | 2,579 | |
1 | UMB Financial Corp. | 29,150 | 2,435 |
1 | Loews Corp. | 34,168 | 1,993 |
Columbia Banking System Inc. | 57,135 | 1,721 | |
Synovus Financial Corp. | 40,032 | 1,503 | |
1 | International Bancshares Corp. | 28,831 | 1,319 |
1 | Central Pacific Financial Corp. | 64,969 | 1,318 |
1 | First Bancorp (XNGS) | 22,386 | 959 |
Synchrony Financial | 24,442 | 803 | |
1 | Brightsphere Investment Group Inc. | 35,715 | 735 |
1 | Navient Corp. | 41,492 | 683 |
Affiliated Managers Group Inc. | 4,295 | 680 | |
Nelnet Inc. Class A | 7,231 | 656 | |
Banner Corp. | 10,135 | 641 | |
1 | Southside Bancshares Inc. | 13,118 | 472 |
* | Ambac Financial Group Inc. | 18,084 | 315 |
131,935 | |||
Health Care (9.6%) | |||
Agilent Technologies Inc. | 36,294 | 5,431 | |
*,1 | Evolent Health Inc. Class A | 185,875 | 5,219 |
*,1 | Nevro Corp. | 121,685 | 4,819 |
*,1 | Medpace Holdings Inc. | 21,975 | 4,668 |
*,1 | AMN Healthcare Services Inc. | 45,076 | 4,635 |
*,1 | Deciphera Pharmaceuticals Inc. | 228,782 | 3,750 |
*,1 | FibroGen Inc. | 217,879 | 3,490 |
*,1 | Lantheus Holdings Inc. | 61,857 | 3,152 |
*,1 | Alkermes plc | 96,955 | 2,533 |
*,1 | STAAR Surgical Co. | 50,178 | 2,436 |
* | TG Therapeutics Inc. | 200,811 | 2,376 |
* | NuVasive Inc. | 47,468 | 1,957 |
*,1 | Allscripts Healthcare Solutions Inc. | 107,041 | 1,888 |
Shares | Market Value• ($000) | ||
*,2 | Novavax Inc. | 172,175 | 1,770 |
Elevance Health Inc. | 3,386 | 1,737 | |
* | Tenet Healthcare Corp. | 34,241 | 1,671 |
*,1 | Agenus Inc. | 671,505 | 1,612 |
UnitedHealth Group Inc. | 3,000 | 1,590 | |
*,1 | Health Catalyst Inc. | 147,502 | 1,568 |
Pfizer Inc. | 23,814 | 1,220 | |
* | PTC Therapeutics Inc. | 31,304 | 1,195 |
*,1 | Sangamo Therapeutics Inc. | 376,349 | 1,182 |
* | Shockwave Medical Inc. | 5,107 | 1,050 |
* | Biogen Inc. | 3,688 | 1,021 |
* | Exact Sciences Corp. | 19,840 | 982 |
* | Nektar Therapeutics Class A | 261,128 | 590 |
*,1 | Veeva Systems Inc. Class A | 3,580 | 578 |
* | REGENXBIO Inc. | 25,441 | 577 |
* | Cerus Corp. | 145,470 | 531 |
* | Seres Therapeutics Inc. | 88,955 | 498 |
*,1 | Cross Country Healthcare Inc. | 18,698 | 497 |
* | Pediatrix Medical Group Inc. | 29,993 | 446 |
*,1 | Codexis Inc. | 54,904 | 256 |
* | Amneal Pharmaceuticals Inc. | 93,850 | 187 |
67,112 | |||
Industrials (15.5%) | |||
*,1 | Atkore Inc. | 49,892 | 5,659 |
*,1 | United Rentals Inc. | 15,147 | 5,384 |
*,1 | GMS Inc. | 107,550 | 5,356 |
Applied Industrial Technologies Inc. | 41,338 | 5,210 | |
1 | Allison Transmission Holdings Inc. | 122,132 | 5,081 |
*,1 | NOW Inc. | 391,672 | 4,974 |
1 | Ryder System Inc. | 58,771 | 4,911 |
IDEX Corp. | 21,032 | 4,802 | |
* | United Airlines Holdings Inc. | 127,299 | 4,799 |
1 | Acuity Brands Inc. | 28,405 | 4,704 |
1 | Kforce Inc. | 80,723 | 4,426 |
Cintas Corp. | 9,511 | 4,295 | |
1 | UFP Industries Inc. | 51,595 | 4,089 |
* | Avis Budget Group Inc. | 22,797 | 3,737 |
Watts Water Technologies Inc. Class A | 24,565 | 3,592 | |
*,1 | MRC Global Inc. | 309,510 | 3,584 |
1 | Korn Ferry | 67,686 | 3,426 |
Tetra Tech Inc. | 23,108 | 3,355 | |
EMCOR Group Inc. | 22,184 | 3,286 | |
1 | GrafTech International Ltd. | 597,396 | 2,844 |
AMETEK Inc. | 19,774 | 2,763 | |
1 | Boise Cascade Co. | 35,457 | 2,435 |
*,1 | Titan International Inc. | 139,420 | 2,136 |
* | WillScot Mobile Mini Holdings Corp. | 38,254 | 1,728 |
nVent Electric plc | 39,987 | 1,538 | |
*,1 | SkyWest Inc. | 90,965 | 1,502 |
1 | Esab Corp. | 30,956 | 1,452 |
1 | Veritiv Corp. | 10,519 | 1,280 |
* | Hub Group Inc. Class A | 14,214 | 1,130 |
1 | ManpowerGroup Inc. | 12,971 | 1,079 |
1 | Terex Corp. | 23,789 | 1,016 |
* | ASGN Inc. | 12,022 | 980 |
Caterpillar Inc. | 2,905 | 696 | |
* | Clean Harbors Inc. | 5,411 | 618 |
Shares | Market Value• ($000) | ||
Heidrick & Struggles International Inc. | 10,156 | 284 | |
108,151 | |||
Information Technology (13.6%) | |||
*,1 | Splunk Inc. | 63,242 | 5,445 |
*,1 | Axcelis Technologies Inc. | 68,372 | 5,426 |
*,1 | Extreme Networks Inc. | 283,917 | 5,199 |
*,1 | RingCentral Inc. Class A | 145,811 | 5,162 |
*,1 | Super Micro Computer Inc. | 61,867 | 5,079 |
*,1 | CommScope Holding Co. Inc. | 686,837 | 5,048 |
1 | Jabil Inc. | 74,002 | 5,047 |
*,1 | Manhattan Associates Inc. | 40,796 | 4,953 |
*,1 | Nutanix Inc. Class A | 184,983 | 4,819 |
*,1 | Everbridge Inc. | 152,043 | 4,497 |
*,1 | Fortinet Inc. | 91,450 | 4,471 |
Lam Research Corp. | 10,203 | 4,288 | |
*,1 | Wix.com Ltd. | 55,567 | 4,269 |
*,1 | TTM Technologies Inc. | 167,633 | 2,528 |
* | Yext Inc. | 360,672 | 2,355 |
*,1 | Arrow Electronics Inc. | 20,399 | 2,133 |
* | Impinj Inc. | 18,790 | 2,052 |
*,1 | Domo Inc. Class B | 143,557 | 2,044 |
* | Rapid7 Inc. | 58,394 | 1,984 |
* | Enphase Energy Inc. | 6,625 | 1,755 |
*,1 | 8x8 Inc. | 405,048 | 1,750 |
Accenture plc Class A | 5,677 | 1,515 | |
* | Infinera Corp. | 221,747 | 1,495 |
* | New Relic Inc. | 24,742 | 1,397 |
*,1 | Lattice Semiconductor Corp. | 21,475 | 1,393 |
*,1 | Kyndryl Holdings Inc. | 106,010 | 1,179 |
*,1 | Cirrus Logic Inc. | 15,764 | 1,174 |
Xerox Holdings Corp. | 78,461 | 1,146 | |
1 | Vishay Intertechnology Inc. | 49,732 | 1,073 |
* | DocuSign Inc. Class A | 17,276 | 957 |
* | CommVault Systems Inc. | 13,456 | 846 |
*,1 | Squarespace Inc. Class A | 29,776 | 660 |
*,1 | Conduent Inc. | 154,895 | 627 |
*,1 | EngageSmart Inc. | 35,419 | 623 |
Automatic Data Processing Inc. | 2,497 | 596 | |
1 | TTEC Holdings Inc. | 11,596 | 512 |
95,497 | |||
Materials (6.0%) | |||
1 | Reliance Steel & Aluminum Co. | 25,905 | 5,244 |
1 | Chemours Co. | 160,754 | 4,922 |
Eagle Materials Inc. | 35,949 | 4,776 | |
1 | AdvanSix Inc. | 125,512 | 4,772 |
1 | Warrior Met Coal Inc. | 136,658 | 4,734 |
Albemarle Corp. | 21,419 | 4,645 | |
Ashland Inc. | 22,048 | 2,371 | |
CF Industries Holdings Inc. | 24,724 | 2,107 | |
Mosaic Co. | 47,239 | 2,072 | |
* | Constellium SE Class A | 117,404 | 1,389 |
Sensient Technologies Corp. | 15,544 | 1,134 | |
* | Ecovyst Inc. | 127,641 | 1,131 |
Orion Engineered Carbons SA | 43,588 | 776 | |
1 | Tronox Holdings plc Class A | 53,178 | 729 |
*,1 | Arconic Corp. | 30,620 | 648 |
Shares | Market Value• ($000) | ||
Westrock Co. | 17,270 | 607 | |
42,057 | |||
Real Estate (7.6%) | |||
1 | American Assets Trust Inc. | 182,690 | 4,841 |
1 | DiamondRock Hospitality Co. | 590,579 | 4,837 |
1 | Highwoods Properties Inc. | 172,106 | 4,816 |
1 | Essential Properties Realty Trust Inc. | 186,835 | 4,385 |
1 | Apple Hospitality REIT Inc. | 237,820 | 3,753 |
1 | Brandywine Realty Trust | 610,093 | 3,752 |
Public Storage | 13,168 | 3,690 | |
1 | Getty Realty Corp. | 93,153 | 3,153 |
Prologis Inc. | 20,872 | 2,353 | |
1 | Xenia Hotels & Resorts Inc. | 172,870 | 2,278 |
1 | Rayonier Inc. | 66,443 | 2,190 |
1 | RLJ Lodging Trust | 195,327 | 2,069 |
Essex Property Trust Inc. | 9,631 | 2,041 | |
1 | UDR Inc. | 46,161 | 1,788 |
DigitalBridge Group Inc. | 155,223 | 1,698 | |
1 | Retail Opportunity Investments Corp. | 89,583 | 1,346 |
1 | Host Hotels & Resorts Inc. | 72,843 | 1,169 |
1 | Park Hotels & Resorts Inc. | 92,516 | 1,091 |
Mid-America Apartment Communities Inc. | 6,303 | 989 | |
EPR Properties | 18,569 | 700 | |
1 | Piedmont Office Realty Trust Inc. Class A | 54,489 | 500 |
53,439 | |||
Utilities (3.2%) | |||
1 | Otter Tail Corp. | 82,813 | 4,862 |
1 | National Fuel Gas Co. | 74,687 | 4,728 |
Evergy Inc. | 72,981 | 4,593 | |
1 | Vistra Corp. | 196,438 | 4,557 |
AES Corp. | 108,836 | 3,130 | |
Chesapeake Utilities Corp. | 5,712 | 675 | |
22,545 | |||
Total Common Stocks—Long Positions (Cost $674,850) | 686,547 | ||
Temporary Cash Investments (1.3%) | |||
Money Market Fund (1.3%) | |||
3,4 | Vanguard Market Liquidity Fund, 4.334% (Cost $9,336) | 93,370 | 9,336 |
Common Stocks Sold Short (-97.2%) | |||
Communication Services (-3.3%) | |||
* | Take-Two Interactive Software Inc. | (46,252) | (4,816) |
* | Ziff Davis Inc. | (59,922) | (4,740) |
* | Madison Square Garden Entertainment Corp. | (101,704) | (4,574) |
* | Warner Bros Discovery Inc. | (303,538) | (2,877) |
* | Roblox Corp. Class A | (90,852) | (2,586) |
* | Liberty Broadband Corp. Class C | (18,231) | (1,390) |
* | Lions Gate Entertainment Corp. Class A | (223,980) | (1,279) |
* | Globalstar Inc. | (348,773) | (464) |
(22,726) |
Shares | Market Value• ($000) | ||
Consumer Discretionary (-8.8%) | |||
Strategic Education Inc. | (67,488) | (5,286) | |
* | CarMax Inc. | (80,276) | (4,888) |
* | Leslie's Inc. | (398,918) | (4,871) |
* | LGI Homes Inc. | (52,087) | (4,823) |
Newell Brands Inc. | (347,401) | (4,544) | |
* | Mister Car Wash Inc. | (435,990) | (4,024) |
Krispy Kreme Inc. | (344,366) | (3,554) | |
Whirlpool Corp. | (24,823) | (3,511) | |
* | Las Vegas Sands Corp. | (63,571) | (3,056) |
Leggett & Platt Inc. | (86,837) | (2,799) | |
* | DraftKings Inc. Class A | (235,126) | (2,678) |
* | Bally's Corp. | (134,874) | (2,614) |
* | Sonos Inc. | (143,518) | (2,425) |
* | Ollie's Bargain Outlet Holdings Inc. | (41,687) | (1,953) |
* | Adient plc | (54,548) | (1,892) |
* | Xometry Inc. Class A | (46,820) | (1,509) |
* | Xponential Fitness Inc. Class A | (62,949) | (1,443) |
* | Helen of Troy Ltd. | (12,174) | (1,350) |
Monro Inc. | (21,687) | (980) | |
Hanesbrands Inc. | (129,486) | (824) | |
* | Crocs Inc. | (7,189) | (779) |
VF Corp. | (28,090) | (776) | |
Cheesecake Factory Inc. | (22,102) | (701) | |
Yum China Holdings Inc. | (7,462) | (408) | |
(61,688) | |||
Consumer Staples (-4.3%) | |||
McCormick & Co. Inc. | (62,666) | (5,195) | |
Walgreens Boots Alliance Inc. | (132,241) | (4,941) | |
Reynolds Consumer Products Inc. | (122,494) | (3,672) | |
J & J Snack Foods Corp. | (19,712) | (2,951) | |
* | Celsius Holdings Inc. | (24,877) | (2,588) |
Utz Brands Inc. | (151,430) | (2,402) | |
* | Grocery Outlet Holding Corp. | (60,838) | (1,776) |
MGP Ingredients Inc. | (15,705) | (1,671) | |
* | Boston Beer Co. Inc. Class A | (3,803) | (1,253) |
* | National Beverage Corp. | (22,939) | (1,067) |
Universal Corp. | (12,692) | (670) | |
Molson Coors Beverage Co. Class B | (12,825) | (661) | |
* | TreeHouse Foods Inc. | (13,324) | (658) |
* | Beauty Health Co. | (60,462) | (550) |
(30,055) | |||
Energy (-6.7%) | |||
* | Expro Group Holdings NV | (312,134) | (5,659) |
* | Noble Corp. plc | (136,176) | (5,135) |
Kinetik Holdings Inc. Class A | (150,641) | (4,983) | |
* | Green Plains Inc. | (163,182) | (4,977) |
Enviva Inc. | (92,484) | (4,899) | |
Kinder Morgan Inc. | (265,141) | (4,794) | |
* | CNX Resources Corp. | (276,793) | (4,661) |
Baker Hughes Co. Class A | (100,362) | (2,964) | |
Antero Midstream Corp. | (174,113) | (1,879) | |
* | Peabody Energy Corp. | (61,712) | (1,630) |
* | Uranium Energy Corp. | (311,279) | (1,208) |
New Fortress Energy Inc. | (27,430) | (1,163) | |
* | Valaris Ltd. | (13,319) | (901) |
Equitrans Midstream Corp. | (103,001) | (690) | |
NOV Inc. | (32,688) | (683) |
Shares | Market Value• ($000) | ||
* | Dril-Quip Inc. | (24,615) | (669) |
(46,895) | |||
Financials (-18.4%) | |||
* | Ryan Specialty Holdings Inc. | (134,153) | (5,569) |
Apollo Global Management Inc. | (83,811) | (5,346) | |
Allstate Corp. | (38,201) | (5,180) | |
Morningstar Inc. | (22,769) | (4,932) | |
Kemper Corp. | (99,974) | (4,919) | |
S&P Global Inc. | (14,677) | (4,916) | |
First Republic Bank | (39,867) | (4,859) | |
* | Mr Cooper Group Inc. | (121,030) | (4,857) |
Cincinnati Financial Corp. | (46,795) | (4,791) | |
Moelis & Co. Class A | (124,592) | (4,781) | |
United Bankshares Inc. | (117,907) | (4,774) | |
Artisan Partners Asset Management Inc. Class A | (160,179) | (4,757) | |
New York Community Bancorp Inc. | (546,791) | (4,702) | |
T Rowe Price Group Inc. | (42,545) | (4,640) | |
Franklin Resources Inc. | (169,607) | (4,474) | |
Hilltop Holdings Inc. | (141,251) | (4,239) | |
Northwest Bancshares Inc. | (280,973) | (3,928) | |
Moody's Corp. | (13,461) | (3,750) | |
Commerce Bancshares Inc. | (50,793) | (3,457) | |
* | BRP Group Inc. Class A | (136,820) | (3,440) |
* | SoFi Technologies Inc. | (741,148) | (3,417) |
B Riley Financial Inc. | (98,534) | (3,370) | |
Lakeland Financial Corp. | (44,665) | (3,259) | |
CVB Financial Corp. | (124,803) | (3,214) | |
* | SVB Financial Group | (11,770) | (2,709) |
Erie Indemnity Co. Class A | (9,391) | (2,336) | |
First Financial Bankshares Inc. | (55,523) | (1,910) | |
Mercury General Corp. | (44,257) | (1,514) | |
SEI Investments Co. | (21,253) | (1,239) | |
PennyMac Financial Services Inc. | (20,685) | (1,172) | |
* | Trupanion Inc. | (23,995) | (1,140) |
Prudential Financial Inc. | (11,248) | (1,119) | |
Selective Insurance Group Inc. | (12,199) | (1,081) | |
Progressive Corp. | (7,257) | (941) | |
Cadence Bank | (38,142) | (941) | |
First Interstate BancSystem Inc. Class A | (21,311) | (824) | |
White Mountains Insurance Group Ltd. | (554) | (784) | |
Prosperity Bancshares Inc. | (9,734) | (707) | |
Independent Bank Group Inc. | (11,670) | (701) | |
Trustmark Corp. | (19,190) | (670) | |
BancFirst Corp. | (7,596) | (670) | |
Horace Mann Educators Corp. | (17,054) | (637) | |
ServisFirst Bancshares Inc. | (8,489) | (585) | |
United Community Banks Inc. | (16,661) | (563) | |
James River Group Holdings Ltd. | (26,252) | (549) |
Shares | Market Value• ($000) | ||
FB Financial Corp. | (13,350) | (482) | |
(128,845) | |||
Health Care (-9.4%) | |||
* | Halozyme Therapeutics Inc. | (99,512) | (5,662) |
* | Cerevel Therapeutics Holdings Inc. | (172,330) | (5,435) |
* | ICU Medical Inc. | (32,121) | (5,058) |
* | agilon health Inc. | (289,654) | (4,675) |
* | AdaptHealth Corp. | (221,076) | (4,249) |
* | Illumina Inc. | (20,610) | (4,167) |
* | Arvinas Inc. | (93,914) | (3,213) |
* | Oak Street Health Inc. | (148,993) | (3,205) |
* | Inari Medical Inc. | (47,624) | (3,027) |
* | Pacira BioSciences Inc. | (67,202) | (2,595) |
* | Krystal Biotech Inc. | (30,994) | (2,455) |
* | OPKO Health Inc. | (1,942,699) | (2,428) |
* | Cutera Inc. | (50,066) | (2,214) |
* | Penumbra Inc. | (9,023) | (2,007) |
* | Innoviva Inc. | (145,217) | (1,924) |
Select Medical Holdings Corp. | (77,250) | (1,918) | |
Mesa Laboratories Inc. | (11,422) | (1,899) | |
* | Azenta Inc. | (32,363) | (1,884) |
* | R1 RCM Inc. | (145,615) | (1,595) |
* | Axsome Therapeutics Inc. | (16,261) | (1,254) |
* | Alnylam Pharmaceuticals Inc. | (3,913) | (930) |
* | Avid Bioservices Inc. | (64,977) | (895) |
* | AbCellera Biologics Inc. | (84,642) | (857) |
* | Moderna Inc. | (4,479) | (805) |
* | Repligen Corp. | (3,944) | (668) |
* | Guardant Health Inc. | (17,204) | (468) |
* | PMV Pharmaceuticals Inc. | (47,777) | (416) |
(65,903) | |||
Industrials (-15.3%) | |||
Equifax Inc. | (25,957) | (5,045) | |
Quanta Services Inc. | (35,384) | (5,042) | |
Flowserve Corp. | (162,356) | (4,981) | |
* | MasTec Inc. | (58,373) | (4,981) |
AAON Inc. | (65,472) | (4,931) | |
* | Hayward Holdings Inc. | (523,445) | (4,920) |
* | RBC Bearings Inc. | (23,425) | (4,904) |
* | Mercury Systems Inc. | (109,573) | (4,902) |
Stanley Black & Decker Inc. | (65,047) | (4,886) | |
A O Smith Corp. | (84,242) | (4,822) | |
* | 3D Systems Corp. | (650,490) | (4,814) |
* | XPO Logistics Inc. | (139,977) | (4,660) |
Greenbrier Cos. Inc. | (138,797) | (4,654) | |
* | FTI Consulting Inc. | (28,450) | (4,518) |
* | Construction Partners Inc. Class A | (166,765) | (4,451) |
CH Robinson Worldwide Inc. | (45,321) | (4,150) | |
* | Fluor Corp. | (114,409) | (3,965) |
* | Sun Country Airlines Holdings Inc. | (233,722) | (3,707) |
* | KAR Auction Services Inc. | (272,933) | (3,562) |
L3Harris Technologies Inc. | (13,391) | (2,788) | |
* | Driven Brands Holdings Inc. | (85,154) | (2,326) |
FedEx Corp. | (12,914) | (2,237) | |
Vertiv Holdings Co. Class A | (129,407) | (1,768) | |
* | AeroVironment Inc. | (15,268) | (1,308) |
Shares | Market Value• ($000) | ||
Zurn Elkay Water Solutions Corp. | (47,719) | (1,009) | |
Cummins Inc. | (4,100) | (993) | |
Mueller Water Products Inc. Class A | (84,255) | (907) | |
KBR Inc. | (17,146) | (905) | |
Northrop Grumman Corp. | (1,555) | (849) | |
Granite Construction Inc. | (19,265) | (676) | |
* | Parsons Corp. | (14,603) | (675) |
* | SiteOne Landscape Supply Inc. | (5,602) | (657) |
Healthcare Services Group Inc. | (53,921) | (647) | |
Steelcase Inc. Class A | (80,508) | (569) | |
* | Bloom Energy Corp. Class A | (29,217) | (559) |
* | Saia Inc. | (2,539) | (532) |
(107,300) | |||
Information Technology (-14.1%) | |||
* | Aspen Technology Inc. | (24,122) | (4,955) |
* | Coherent Corp. | (140,428) | (4,929) |
* | Envestnet Inc. | (79,296) | (4,893) |
Gen Digital Inc. | (226,916) | (4,863) | |
* | Affirm Holdings Inc. | (498,163) | (4,817) |
* | Jamf Holding Corp. | (212,296) | (4,522) |
* | Lumentum Holdings Inc. | (80,719) | (4,211) |
* | nCino Inc. | (159,079) | (4,206) |
* | Guidewire Software Inc. | (65,366) | (4,089) |
* | Mirion Technologies Inc. | (603,187) | (3,987) |
* | Paycor HCM Inc. | (159,131) | (3,894) |
* | Advanced Micro Devices Inc. | (58,230) | (3,772) |
* | Palantir Technologies Inc. Class A | ���(575,819) | (3,697) |
* | ViaSat Inc. | (104,081) | (3,294) |
* | Unity Software Inc. | (110,525) | (3,160) |
Cognex Corp. | (65,230) | (3,073) | |
Teradyne Inc. | (33,939) | (2,965) | |
* | Rambus Inc. | (79,018) | (2,830) |
Corning Inc. | (85,700) | (2,737) | |
Power Integrations Inc. | (36,549) | (2,621) | |
ADTRAN Holdings Inc. | (121,630) | (2,285) | |
Methode Electronics Inc. | (49,141) | (2,180) | |
Entegris Inc. | (32,934) | (2,160) | |
MKS Instruments Inc. | (18,404) | (1,559) | |
* | Olo Inc. Class A | (248,109) | (1,551) |
TD SYNNEX Corp. | (15,475) | (1,466) | |
* | StoneCo. Ltd. Class A | (140,620) | (1,327) |
* | I3 Verticals Inc. Class A | (53,561) | (1,304) |
International Business Machines Corp. | (8,847) | (1,246) | |
* | Sabre Corp. | (154,906) | (957) |
* | PAR Technology Corp. | (35,737) | (932) |
* | MeridianLink Inc. | (67,073) | (921) |
* | Blackbaud Inc. | (13,454) | (792) |
Clear Secure Inc. Class A | (26,234) | (720) | |
* | Teledyne Technologies Inc. | (1,549) | (619) |
* | indie Semiconductor Inc. Class A | (93,430) | (545) |
* | AppLovin Corp. Class A | (40,056) | (422) |
(98,501) | |||
Materials (-5.9%) | |||
Southern Copper Corp. | (88,648) | (5,353) | |
Hecla Mining Co. | (913,460) | (5,079) | |
Westlake Corp. | (45,383) | (4,654) | |
Quaker Chemical Corp. | (25,775) | (4,302) |
Shares | Market Value• ($000) | ||
Worthington Industries Inc. | (86,087) | (4,279) | |
Scotts Miracle-Gro Co. | (80,595) | (3,916) | |
Royal Gold Inc. | (32,713) | (3,687) | |
* | Novagold Resources Inc. | (445,461) | (2,664) |
Mativ Holdings Inc. | (127,355) | (2,662) | |
International Flavors & Fragrances Inc. | (24,808) | (2,601) | |
Kaiser Aluminum Corp. | (31,514) | (2,394) | |
(41,591) | |||
Real Estate (-7.6%) | |||
WP Carey Inc. | (66,203) | (5,174) | |
Healthcare Realty Trust Inc. Class A | (255,551) | (4,925) | |
Welltower Inc. | (73,047) | (4,788) | |
Elme Communities | (268,657) | (4,782) | |
NETSTREIT Corp. | (248,865) | (4,562) | |
LXP Industrial Trust | (422,786) | (4,236) | |
Vornado Realty Trust | (202,518) | (4,214) | |
SL Green Realty Corp. | (124,438) | (4,196) | |
Weyerhaeuser Co. | (110,130) | (3,414) | |
National Health Investors Inc. | (62,623) | (3,270) | |
eXp World Holdings Inc. | (245,344) | (2,718) | |
Broadstone Net Lease Inc. | (150,308) | (2,437) | |
Macerich Co. | (151,350) | (1,704) | |
VICI Properties Inc. | (40,707) | (1,319) | |
Equity Commonwealth | (39,412) | (984) | |
Easterly Government Properties Inc. Class A | (52,490) | (749) | |
(53,472) | |||
Utilities (-3.4%) | |||
Atmos Energy Corp. | (45,265) | (5,073) | |
* | Southwest Gas Holdings Inc. | (78,193) | (4,838) |
Shares | Market Value• ($000) | ||
American Water Works Co. Inc. | (31,519) | (4,804) | |
Spire Inc. | (56,866) | (3,916) | |
NRG Energy Inc. | (76,772) | (2,443) | |
* | Sunnova Energy International Inc. | (134,327) | (2,419) |
(23,493) | |||
Total Common Stocks Sold Short (Proceeds $710,501) | (680,469) | ||
Other Assets and Other Liabilities—Net (97.8%) | 684,461 | ||
Net Assets (100%) | 699,875 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Long security positions with a value of $370,114,000 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 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $20,000. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $20,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $674,850) | 686,547 |
Affiliated Issuers (Cost $9,336) | 9,336 |
Total Investments in Securities | 695,883 |
Investment in Vanguard | 24 |
Cash Segregated for Short Positions | 682,905 |
Receivables for Accrued Income | 831 |
Receivables for Capital Shares Issued | 2,103 |
Total Assets | 1,381,746 |
Liabilities | |
Securities Sold Short, at Value (Proceeds $710,501) | 680,469 |
Payables for Investment Securities Purchased | 51 |
Collateral for Securities on Loan | 20 |
Payables for Capital Shares Redeemed | 531 |
Payables to Vanguard | 60 |
Accrued Dividend Expense on Securities Sold Short | 740 |
Total Liabilities | 681,871 |
Net Assets | 699,875 |
1 Includes $20,000 of securities on loan. | |
At December 31, 2022, net assets consisted of: | |
Paid-in Capital | 844,953 |
Total Distributable Earnings (Loss) | (145,078) |
Net Assets | 699,875 |
Investor Shares—Net Assets | |
Applicable to 52,287,982 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 647,888 |
Net Asset Value Per Share—Investor Shares | $12.39 |
Institutional Shares—Net Assets | |
Applicable to 4,211,337 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 51,987 |
Net Asset Value Per Share—Institutional Shares | $12.34 |
Year Ended December 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 8,559 |
Interest2 | 6,377 |
Securities Lending—Net | 2 |
Total Income | 14,938 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 295 |
Management and Administrative—Investor Shares | 566 |
Management and Administrative—Institutional Shares | 30 |
Marketing and Distribution—Investor Shares | 40 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 34 |
Auditing Fees | 47 |
Shareholders’ Reports—Investor Shares | 33 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | — |
Dividend Expense on Securities Sold Short | 8,951 |
Other Expenses | 18 |
Total Expenses | 10,017 |
Net Investment Income | 4,921 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Long Positions2 | (5,162) |
Investment Securities Sold—Short Positions | 55,947 |
Realized Net Gain (Loss) | 50,785 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Long Positions2 | (37,643) |
Investment Securities—Short Positions | 32,005 |
Change in Unrealized Appreciation (Depreciation) | (5,638) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 50,068 |
1 | Dividends are net of foreign withholding taxes of $27,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $233,000, ($3,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended December 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,921 | 517 |
Realized Net Gain (Loss) | 50,785 | 14,667 |
Change in Unrealized Appreciation (Depreciation) | (5,638) | 46,599 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 50,068 | 61,783 |
Distributions | ||
Investor Shares | (4,637) | (438) |
Institutional Shares | (405) | (88) |
Total Distributions | (5,042) | (526) |
Capital Share Transactions | ||
Investor Shares | 325,379 | (11,669) |
Institutional Shares | 1,691 | (28,931) |
Net Increase (Decrease) from Capital Share Transactions | 327,070 | (40,600) |
Total Increase (Decrease) | 372,096 | 20,657 |
Net Assets | ||
Beginning of Period | 327,779 | 307,122 |
End of Period | 699,875 | 327,779 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $11.00 | $8.94 | $10.19 | $11.62 | $11.66 |
Investment Operations | |||||
Net Investment Income1 | .107 | .017 | .051 | .206 | .108 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.376 | 2.060 | (1.229) | (1.314) | (.038) |
Total from Investment Operations | 1.483 | 2.077 | (1.178) | (1.108) | .070 |
Distributions | |||||
Dividends from Net Investment Income | (.093) | (.017) | (.072) | (.322) | (.110) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.093) | (.017) | (.072) | (.322) | (.110) |
Net Asset Value, End of Period | $12.39 | $11.00 | $8.94 | $10.19 | $11.62 |
Total Return | 13.48% | 23.24% | -11.57% | -9.57% | 0.59% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $648 | $283 | $243 | $408 | $1,209 |
Ratio of Total Expenses to Average Net Assets | |||||
Based on Total Expenses2,3 | 1.83% | 1.31% | 1.18% | 1.46% | 1.80% |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.90% | 0.18% | 0.52% | 1.90% | 0.93% |
Portfolio Turnover Rate | 209% | 133% | 172% | 141% | 110% |
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 1.63%, 0.84%, 0.98%, 1.26%, and 1.60%, respectively. |
3 | Includes borrowing expense on securities sold short of 0.00%, 0.27%, 0.00%, 0.00%, and 0.00%, respectively. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $10.96 | $8.90 | $10.15 | $11.57 | $11.61 |
Investment Operations | |||||
Net Investment Income1 | .108 | .017 | .057 | .213 | .119 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.368 | 2.065 | (1.230) | (1.305) | (.043) |
Total from Investment Operations | 1.476 | 2.082 | (1.173) | (1.092) | .076 |
Distributions | |||||
Dividends from Net Investment Income | (.096) | (.022) | (.077) | (.328) | (.116) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.096) | (.022) | (.077) | (.328) | (.116) |
Net Asset Value, End of Period | $12.34 | $10.96 | $8.90 | $10.15 | $11.57 |
Total Return | 13.47% | 23.39% | -11.58% | -9.48% | 0.65% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $52 | $45 | $65 | $142 | $346 |
Ratio of Total Expenses to Average Net Assets | |||||
Based on Total Expenses2,3 | 1.77% | 1.25% | 1.12% | 1.40% | 1.74% |
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 | 0.91% | 0.17% | 0.59% | 1.96% | 0.99% |
Portfolio Turnover Rate | 209% | 133% | 172% | 141% | 110% |
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 1.63%, 0.84%, 0.98%, 1.26%, and 1.60%, respectively. |
3 | Includes borrowing expense on securities sold short of 0.00%, 0.27%, 0.00%, 0.00%, and 0.00%, 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, if any, 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. |
Amount ($000) | |
Undistributed Ordinary Income | 50 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (183,401) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 38,273 |
Year Ended December 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 5,042 | 526 |
Long-Term Capital Gains | — | — |
Total | 5,042 | 526 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 687,643 |
Gross Unrealized Appreciation | 160,468 |
Gross Unrealized Depreciation | (122,195) |
Net Unrealized Appreciation (Depreciation) | 38,273 |
E. | During the year ended December 31, 2022, the fund purchased $1,243,451,000 of investment securities and sold $827,922,000 of investment securities, other than temporary cash investments. The proceeds of short sales and the cost of purchases to cover short sales were $1,402,808,000 and $945,738,000, respectively. |
F. | Capital share transactions for each class of shares were: |
Year Ended December 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 677,868 | 56,425 | 72,755 | 7,263 | |
Issued in Lieu of Cash Distributions | 3,386 | 274 | 357 | 33 | |
Redeemed | (355,875) | (30,160) | (84,781) | (8,684) | |
Net Increase (Decrease)—Investor Shares | 325,379 | 26,539 | (11,669) | (1,388) | |
Institutional Shares | |||||
Issued | 23,905 | 2,023 | 7,810 | 806 | |
Issued in Lieu of Cash Distributions | 113 | 9 | 28 | 3 | |
Redeemed | (22,327) | (1,887) | (36,769) | (3,989) | |
Net Increase (Decrease)—Institutional Shares | 1,691 | 145 | (28,931) | (3,180) |
G. | Management has determined that no events or transactions occurred subsequent to December 31, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
February 15, 2023
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | 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, 2022: $47,000
Fiscal Year Ended December 31, 2021: $25,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2022: $10,494,508
Fiscal Year Ended December 31, 2021: $11,244,694
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, 2022: $2,757,764
Fiscal Year Ended December 31, 2021: $2,955,181
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, 2022: $5,202,689
Fiscal Year Ended December 31, 2021: $2,047,574
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, 2022: $298,000
Fiscal Year Ended December 31, 2021: $280,000
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, 2022: $5,500,689
Fiscal Year Ended December 31, 2021: $2,327,574
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. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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. There were no 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)(1) | Code of Ethics filed herewith. | |
(a)(2) | Certifications filed herewith. | |
(b) | Certifications filed herewith. | |
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 17, 2023
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 17, 2023
VANGUARD MONTGOMERY FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: February 17, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on October 11, 2022 (see File Number 333-11763), Incorporated by Reference.