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: 811-02968-99
Name of Registrant: | Vanguard Trustees’ Equity Fund |
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: October 31
Date of reporting period: November 1, 2020—October 31, 2021
Item 1: Reports to Shareholders
1 | |
2 | |
6 | |
8 | |
10 |
• | For the 12 months ended October 31, 2021, Vanguard International Value Fund returned 36.91%, ahead of the 29.66% return of its benchmark. |
• | During the period, the global economy continued to recover from the sharp pandemic-induced contraction of spring 2020. Countries that were more successful in containing the coronavirus, whether through vaccinations, lockdowns, or both, generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Even amid concerns late in the fiscal year about inflation and the prospect of less accommodative monetary policy, stock returns for the period were excellent. |
• | The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 43.90%. Value stocks outperformed growth, and mid- and -small-capitalization stocks outperformed large-caps. |
• | Of the fund’s 11 sectors, the advisors’ selections in consumer discretionary, industrial, and communication services stocks helped relative performance the most. Holdings in information technology detracted. |
• | Emerging markets, led by China, added most to relative performance. Holdings in European stocks, especially companies based in the U.K. (the fund’s largest market), generally turned in strong results, although France and Germany detracted from performance. Pacific stocks were broadly positive; Hong Kong and Australia detracted slightly. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Lazard Asset Management LLC | 39 | 5,926 | The advisor uses a research-driven, bottom-up, relative-value approach in selecting stocks. The goal is to identify individual stocks that offer an appropriate trade-off between low relative valuation and high financial productivity. |
Sprucegrove Investment Management Ltd. | 34 | 5,129 | The advisor employs a concentrated, low-turnover, value-oriented investment approach that results in a portfolio of companies with good long-term prospects and below-market price/earnings ratios. In-depth fundamental research on industries and companies is central to this investment process. |
ARGA Investment Management, LP | 25 | 3,777 | The advisor invests in deeply undervalued securities with long-term upside. Its valuation discipline is based on fundamental research and present value, with full integration of ESG risks and opportunities. |
Cash Investments | 2 | 387 | These short-term reserves are invested by Vanguard in equity index products to simulate investments in stocks. Each advisor may also maintain a modest cash position. |
• | 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 October 31, 2021 | |||
International Value Fund | Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,004.40 | $1.82 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,023.39 | 1.84 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
International Value Fund | 36.91% | 9.42% | 7.07% | $19,799 | |
MSCI All Country World Index ex USA | 29.66 | 9.77 | 6.66 | 19,057 |
United Kingdom | 17.0% |
Japan | 10.9 |
France | 8.9 |
Switzerland | 6.3 |
China | 6.2 |
Germany | 6.1 |
India | 5.1 |
Netherlands | 4.8 |
South Korea | 4.7 |
United States | 4.5 |
Hong Kong | 3.5 |
Canada | 3.1 |
Brazil | 2.5 |
Indonesia | 2.1 |
Singapore | 1.9 |
Italy | 1.7 |
Norway | 1.6 |
Finland | 1.4 |
Denmark | 1.3 |
Australia | 1.2 |
Ireland | 1.2 |
Other | 4.0 |
Shares | Market Value• ($000) | |||||
Common Stocks (93.8%) | ||||||
Australia (1.2%) | ||||||
BHP Group Ltd. | 2,304,657 | 63,302 | ||||
National Australia Bank Ltd. | 2,401,660 | 52,217 | ||||
QBE Insurance Group Ltd. | 4,298,322 | 38,485 | ||||
Adbri Ltd. | 9,391,834 | 21,140 | ||||
175,144 | ||||||
Brazil (2.4%) | ||||||
* | Banco Bradesco SA ADR | 39,987,874 | 139,958 | |||
Ambev SA ADR | 37,817,100 | 111,939 | ||||
Lojas Renner SA | 8,598,502 | 49,103 | ||||
Banco do Brasil SA | 5,775,000 | 29,162 | ||||
* | Cia de Saneamento Basico do Estado de Sao Paulo | 4,513,900 | 28,153 | |||
358,315 | ||||||
Canada (2.9%) | ||||||
Suncor Energy Inc. | 4,630,214 | 121,779 | ||||
Canadian Natural Resources Ltd. | 2,689,606 | 114,313 | ||||
Bank of Nova Scotia | 819,693 | 53,741 | ||||
Nutrien Ltd. | 696,155 | 48,656 | ||||
Saputo Inc. | 1,845,849 | 44,088 | ||||
Stella-Jones Inc. | 895,700 | 32,156 | ||||
Alimentation Couche-Tard Inc. Class B | 851,900 | 31,953 | ||||
446,686 | ||||||
China (5.8%) | ||||||
* | Alibaba Group Holding Ltd. | 12,650,900 | 260,136 | |||
Tencent Holdings Ltd. | 2,093,500 | 127,347 | ||||
* | Baidu Inc. ADR | 713,636 | 115,780 | |||
China Longyuan Power Group Corp. Ltd. Class H | 39,790,000 | 93,070 | ||||
ENN Energy Holdings Ltd. | 4,949,900 | 85,279 |
Shares | Market Value• ($000) | |||||
Ping An Insurance Group Co. of China Ltd. Class H | 9,490,000 | 67,975 | ||||
*,1 | ESR Cayman Ltd. | 19,276,200 | 62,375 | |||
Autohome Inc. ADR | 1,113,449 | 43,814 | ||||
Hengan International Group Co. Ltd. | 4,912,000 | 25,670 | ||||
* | Weibo Corp. ADR | 7,012 | 316 | |||
881,762 | ||||||
Denmark (1.2%) | ||||||
Vestas Wind Systems A/S | 2,437,919 | 105,390 | ||||
Carlsberg A/S Class B | 499,347 | 82,450 | ||||
187,840 | ||||||
Egypt (0.3%) | ||||||
* | Commercial International Bank Egypt SAE (Registered) GDR | 14,185,150 | 43,979 | |||
Finland (1.3%) | ||||||
Sampo OYJ Class A | 1,573,281 | 83,638 | ||||
Nokian Renkaat OYJ | 2,097,700 | 78,773 | ||||
* | Nokia OYJ | 6,980,867 | 40,067 | |||
202,478 | ||||||
France (8.4%) | ||||||
Air Liquide SA | 829,877 | 138,554 | ||||
* | Airbus SE | 1,067,483 | 136,939 | |||
Sanofi | 1,329,467 | 133,537 | ||||
Engie SA | 8,420,891 | 119,788 | ||||
Vinci SA | 1,026,137 | 109,705 | ||||
TotalEnergies SE | 2,029,452 | 101,625 | ||||
Safran SA | 735,893 | 99,044 | ||||
Societe Generale SA | 2,459,895 | 82,170 | ||||
Atos SE | 1,542,318 | 80,467 | ||||
Pernod Ricard SA | 307,226 | 70,681 | ||||
Legrand SA | 547,919 | 59,773 | ||||
* | Accor SA | 1,309,358 | 46,857 | |||
Publicis Groupe SA | 472,470 | 31,719 | ||||
Alstom SA | 721,998 | 25,730 |
Shares | Market Value• ($000) | |||||
Thales SA | 233,464 | 21,544 | ||||
* | Technip Energies NV | 1,188,167 | 18,286 | |||
1,276,419 | ||||||
Germany (5.7%) | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,538,086 | 102,174 | ||||
Volkswagen AG Preference Shares | 438,773 | 98,474 | ||||
Bayerische Motoren Werke AG | 960,200 | 97,015 | ||||
BASF SE | 1,280,860 | 92,188 | ||||
Henkel AG & Co. KGaA | 1,047,180 | 87,452 | ||||
Merck KGaA | 365,525 | 86,383 | ||||
* | Continental AG | 633,519 | 74,484 | |||
adidas AG | 170,396 | 55,771 | ||||
Infineon Technologies AG | 1,022,955 | 47,906 | ||||
Jungheinrich AG Preference Shares | 773,252 | 39,214 | ||||
MTU Aero Engines AG | 145,066 | 32,312 | ||||
SAP SE | 173,020 | 25,055 | ||||
FUCHS PETROLUB SE Preference Shares | 436,208 | 20,921 | ||||
Fresenius SE & Co. KGaA | 182,788 | 8,308 | ||||
867,657 | ||||||
Hong Kong (3.2%) | ||||||
* | Sands China Ltd. | 45,162,000 | 102,932 | |||
* | Melco Resorts & Entertainment Ltd. ADR | 8,881,364 | 96,185 | |||
AIA Group Ltd. | 7,167,400 | 80,325 | ||||
Jardine Matheson Holdings Ltd. | 1,102,100 | 64,013 | ||||
* | Galaxy Entertainment Group Ltd. | 6,785,000 | 36,508 | |||
* | Yue Yuen Industrial Holdings Ltd. | 16,359,500 | 34,727 | |||
Hongkong Land Holdings Ltd. | 5,995,400 | 33,108 | ||||
CK Asset Holdings Ltd. | 3,466,500 | 21,413 | ||||
1 | WH Group Ltd. | 16,951,243 | 11,883 | |||
Xinyi Glass Holdings Ltd. | 4,106,000 | 11,571 | ||||
492,665 | ||||||
India (4.8%) | ||||||
Zee Entertainment Enterprises Ltd. | 34,857,393 | 140,467 | ||||
ICICI Bank Ltd. ADR | 6,102,511 | 129,068 | ||||
Housing Development Finance Corp. Ltd. | 2,771,240 | 105,658 | ||||
Reliance Industries Ltd. | 2,794,101 | 94,818 | ||||
Adani Ports & Special Economic Zone Ltd. | 9,949,697 | 92,293 | ||||
Ambuja Cements Ltd. | 11,248,619 | 60,959 | ||||
UPL Ltd. | 5,487,454 | 54,402 |
Shares | Market Value• ($000) | |||||
GAIL India Ltd. | 18,495,776 | 36,803 | ||||
Maruti Suzuki India Ltd. | 181,100 | 18,133 | ||||
732,601 | ||||||
Indonesia (2.0%) | ||||||
Bank Mandiri Persero Tbk. PT | 228,226,600 | 115,385 | ||||
Astra International Tbk. PT | 237,360,700 | 101,095 | ||||
Telkom Indonesia Persero Tbk. PT ADR | 1,569,111 | 41,252 | ||||
Telkom Indonesia Persero Tbk. PT | 79,051,800 | 21,129 | ||||
Selamat Sempurna Tbk. PT | 164,317,700 | 18,443 | ||||
297,304 | ||||||
Ireland (1.1%) | ||||||
* | Ryanair Holdings plc ADR | 820,077 | 93,087 | |||
CRH plc | 1,695,125 | 81,118 | ||||
174,205 | ||||||
Israel (0.1%) | ||||||
* | Check Point Software Technologies Ltd. | 92,500 | 11,063 | |||
Italy (1.6%) | ||||||
UniCredit SpA | 7,615,187 | 100,668 | ||||
Enel SpA | 10,658,385 | 89,230 | ||||
Brembo SpA | 4,513,767 | 59,287 | ||||
249,185 | ||||||
Japan (10.2%) | ||||||
Hitachi Ltd. | 2,208,800 | 127,281 | ||||
Denso Corp. | 1,543,400 | 111,889 | ||||
Toyota Motor Corp. | 6,161,500 | 108,715 | ||||
Shimano Inc. | 346,900 | 96,790 | ||||
Nitto Denko Corp. | 1,061,900 | 82,977 | ||||
Mitsubishi Electric Corp. | 5,823,700 | 78,209 | ||||
Makita Corp. | 1,678,300 | 77,893 | ||||
Subaru Corp. | 3,941,300 | 77,308 | ||||
ITOCHU Corp. | 2,644,600 | 75,426 | ||||
Kubota Corp. | 3,364,800 | 71,680 | ||||
Fujitsu Ltd. | 367,300 | 63,480 | ||||
Daiwa House Industry Co. Ltd. | 1,831,600 | 60,425 | ||||
Ryohin Keikaku Co. Ltd. | 2,975,400 | 58,634 | ||||
Daito Trust Construction Co. Ltd. | 400,000 | 49,594 | ||||
Suzuki Motor Corp. | 1,065,200 | 47,505 | ||||
Komatsu Ltd. | 1,620,200 | 42,435 | ||||
Ain Holdings Inc. | 695,900 | 41,075 | ||||
Nihon Kohden Corp. | 1,270,300 | 40,420 | ||||
Koito Manufacturing Co. Ltd. | 679,400 | 38,548 | ||||
Seven & i Holdings Co. Ltd. | 913,600 | 38,357 |
Shares | Market Value• ($000) | |||||
Daiwa Securities Group Inc. | 6,729,700 | 37,809 | ||||
Nomura Holdings Inc. | 7,414,800 | 35,313 | ||||
Taiheiyo Cement Corp. | 1,542,500 | 32,772 | ||||
Omron Corp. | 295,500 | 28,260 | ||||
FANUC Corp. | 84,200 | 16,640 | ||||
* | Japan Airlines Co. Ltd. | 570,600 | 12,280 | |||
1,551,715 | ||||||
Mexico (0.6%) | ||||||
Grupo Financiero Banorte SAB de CV | 13,722,800 | 86,884 | ||||
Netherlands (4.5%) | ||||||
Koninklijke DSM NV | 475,908 | 103,976 | ||||
* | AerCap Holdings NV | 1,599,553 | 94,438 | |||
Akzo Nobel NV | 800,185 | 91,955 | ||||
Universal Music Group NV | 2,943,881 | 85,469 | ||||
Wolters Kluwer NV | 730,425 | 76,489 | ||||
1 | ABN AMRO Bank NV | 4,225,815 | 62,152 | |||
2 | Aegon NV | 11,416,922 | 57,910 | |||
SBM Offshore NV | 3,345,160 | 52,814 | ||||
Boskalis Westminster | 1,215,456 | 36,250 | ||||
Koninklijke Vopak NV | 672,450 | 26,762 | ||||
688,215 | ||||||
Norway (1.5%) | ||||||
Telenor ASA | 3,748,383 | 59,226 | ||||
Yara International ASA | 1,098,600 | 57,416 | ||||
Equinor ASA | 2,136,989 | 54,148 | ||||
Bakkafrost P/F | 347,230 | 32,120 | ||||
TGS ASA | 2,341,400 | 21,594 | ||||
224,504 | ||||||
Philippines (0.1%) | ||||||
Puregold Price Club Inc. | 24,445,700 | 20,482 | ||||
Singapore (1.8%) | ||||||
United Overseas Bank Ltd. | 4,494,100 | 89,335 | ||||
DBS Group Holdings Ltd. | 2,864,300 | 66,933 | ||||
Singapore Telecommunications Ltd. | 32,195,000 | 59,729 | ||||
Sembcorp Industries Ltd. | 21,565,100 | 32,185 | ||||
* | SATS Ltd. | 7,461,600 | 23,207 | |||
271,389 | ||||||
South Africa (0.6%) | ||||||
Tiger Brands Ltd. | 4,147,134 | 52,499 | ||||
Mr Price Group Ltd. | 3,454,864 | 45,088 | ||||
97,587 | ||||||
South Korea (4.4%) | ||||||
POSCO | 654,918 | 166,108 | ||||
1 | Samsung Electronics Co. Ltd. GDR | 88,460 | 132,454 |
Shares | Market Value• ($000) | |||||
Samsung Electronics Co. Ltd. | 1,783,926 | 106,809 | ||||
SK Hynix Inc. | 901,002 | 79,424 | ||||
KB Financial Group Inc. | 926,366 | 44,840 | ||||
LG Household & Health Care Ltd. | 42,621 | 42,659 | ||||
3 | SK Telecom Co. Ltd. | 157,480 | 41,699 | |||
Hana Financial Group Inc. | 984,207 | 37,951 | ||||
Samsung SDS Co. Ltd. | 98,576 | 12,957 | ||||
664,901 | ||||||
Spain (0.5%) | ||||||
2 | Industria de Diseno Textil SA | 2,114,877 | 76,610 | |||
Sweden (0.8%) | ||||||
Sandvik AB | 3,097,556 | 78,550 | ||||
Boliden AB | 1,078,938 | 38,037 | ||||
116,587 | ||||||
Switzerland (5.9%) | ||||||
Novartis AG (Registered) | 2,089,393 | 172,819 | ||||
* | Holcim Ltd. | 3,050,795 | 152,182 | |||
Cie Financiere Richemont SA (Registered) | 1,213,774 | 150,205 | ||||
ABB Ltd. (Registered) | 4,359,923 | 144,240 | ||||
UBS Group AG (Registered) | 4,743,711 | 86,348 | ||||
* | ams AG | 3,610,895 | 71,490 | |||
Swatch Group AG | 172,170 | 47,389 | ||||
Credit Suisse Group AG (Registered) | 3,708,173 | 38,571 | ||||
Adecco Group AG (Registered) | 563,472 | 28,388 | ||||
891,632 | ||||||
Taiwan (0.8%) | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 5,702,000 | 120,998 | ||||
United Kingdom (15.9%) | ||||||
RELX plc | 5,288,916 | 163,996 | ||||
BP plc | 32,198,290 | 154,259 | ||||
Anglo American plc | 3,590,551 | 136,595 | ||||
* | Compass Group plc | 5,174,728 | 109,811 | |||
Lloyds Banking Group plc | 131,900,474 | 90,270 | ||||
IMI plc | 3,952,110 | 88,258 | ||||
Ferguson plc | 580,278 | 87,311 | ||||
HSBC Holdings plc | 14,415,035 | 86,853 | ||||
Smiths Group plc | 4,491,600 | 83,400 | ||||
Berkeley Group Holdings plc | 1,391,306 | 82,989 | ||||
Tesco plc | 22,333,913 | 82,463 | ||||
Royal Dutch Shell plc Class B | 3,513,100 | 80,621 |
Shares | Market Value• ($000) | |||||
Unilever plc | 1,490,191 | 79,788 | ||||
Prudential plc | 3,799,635 | 77,543 | ||||
NatWest Group plc | 25,598,209 | 77,183 | ||||
Travis Perkins plc | 3,605,173 | 76,216 | ||||
HSBC Holdings plc (XHKG) | 12,610,800 | 75,917 | ||||
Weir Group plc | 2,919,970 | 69,264 | ||||
Spectris plc | 1,311,030 | 67,455 | ||||
Taylor Wimpey plc | 31,590,164 | 66,839 | ||||
Barclays plc | 22,983,048 | 63,421 | ||||
Johnson Matthey plc | 1,649,930 | 61,667 | ||||
Victrex plc | 1,919,086 | 60,011 | ||||
BHP Group plc | 2,099,850 | 55,460 | ||||
* | easyJet plc | 6,237,379 | 53,168 | |||
abrdn plc | 14,767,485 | 51,333 | ||||
* | Carnival plc | 1,920,530 | 38,767 | |||
Imperial Brands plc | 1,818,229 | 38,367 | ||||
British American Tobacco plc | 1,002,868 | 34,884 | ||||
Electrocomponents plc | 1,917,650 | 29,504 | ||||
* | Whitbread plc | 653,543 | 29,238 | |||
Diageo plc | 509,580 | 25,353 | ||||
Direct Line Insurance Group plc | 5,893,481 | 23,556 | ||||
Pearson plc | 1,547,379 | 12,733 | ||||
Wickes Group plc | 3,666,180 | 10,789 | ||||
2,425,282 | ||||||
United States (4.2%) | ||||||
Aon plc Class A | 416,728 | 133,319 | ||||
Accenture plc Class A | 333,713 | 119,733 | ||||
Medtronic plc | 937,926 | 112,420 | ||||
* | Copa Holdings SA Class A | 1,107,600 | 81,918 | |||
* | Capri Holdings Ltd. | 1,282,834 | 68,298 | |||
* | TechnipFMC plc | 5,940,838 | 43,784 | |||
JBS SA | 6,226,700 | 43,083 | ||||
RenaissanceRe Holdings Ltd. | 260,654 | 36,961 | ||||
639,516 | ||||||
Total Common Stocks (Cost $11,983,670) | 14,273,605 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (6.3%) | ||||||
Money Market Fund (6.3%) | ||||||
4,5 | Vanguard Market Liquidity Fund, 0.070%(Cost $961,591) | 9,616,444 | 961,644 | |||
Total Investments (100.1%) (Cost $12,945,261) | 15,235,249 | |||||
Other Assets and Liabilities—Net (-0.1%) | (16,078) | |||||
Net Assets (100%) | 15,219,171 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2021, the aggregate value was $268,864,000, representing 1.8% of net assets. |
2 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $32,226,000. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $78,038,000 was received for securities on loan. |
ADR—American Depositary Receipt. | |
GDR—Global Depositary Receipt. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
MSCI EAFE Index | December 2021 | 2,488 | 291,046 | (561) |
MSCI Emerging Market Index | December 2021 | 1,969 | 124,244 | (2,093) |
(2,654) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $11,983,670) | 14,273,605 |
Affiliated Issuers (Cost $961,591) | 961,644 |
Total Investments in Securities | 15,235,249 |
Investment in Vanguard | 500 |
Cash | 4,687 |
Foreign Currency, at Value (Cost $3,657) | 3,559 |
Cash Collateral Pledged—Futures Contracts | 21,752 |
Receivables for Investment Securities Sold | 26,776 |
Receivables for Accrued Income | 51,513 |
Receivables for Capital Shares Issued | 23,866 |
Total Assets | 15,367,902 |
Liabilities | |
Payables for Investment Securities Purchased | 31,297 |
Collateral for Securities on Loan | 78,038 |
Payables for Capital Shares Redeemed | 7,388 |
Payables to Investment Advisor | 5,685 |
Payables to Vanguard | 1,404 |
Variation Margin Payable—Futures Contracts | 3,429 |
Deferred Foreign Capital Gains Taxes | 21,490 |
Total Liabilities | 148,731 |
Net Assets | 15,219,171 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 12,389,948 |
Total Distributable Earnings (Loss) | 2,829,223 |
Net Assets | 15,219,171 |
Net Assets | |
Applicable to 347,818,409 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,219,171 |
Net Asset Value Per Share | $43.76 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 390,731 |
Interest2 | 609 |
Securities Lending—Net | 8,529 |
Total Income | 399,869 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 22,029 |
Performance Adjustment | (2,057) |
The Vanguard Group—Note C | |
Management and Administrative | 27,170 |
Marketing and Distribution | 781 |
Custodian Fees | 592 |
Auditing Fees | 48 |
Shareholders’ Reports | 171 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 48,742 |
Net Investment Income | 351,127 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 853,889 |
Futures Contracts | 46,859 |
Forward Currency Contracts | (42) |
Foreign Currencies | (3,275) |
Realized Net Gain (Loss) | 897,431 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2,4 | 2,271,975 |
Futures Contracts | 4,152 |
Foreign Currencies | (691) |
Change in Unrealized Appreciation (Depreciation) | 2,275,436 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,523,994 |
1 | Dividends are net of foreign withholding taxes of $41,973,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $599,000, $9,000, and ($8,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Realized Gain (Loss) is net of foreign capital gains taxes of $5,361,000. |
4 | The change in unrealized appreciation (depreciation) is net of the change in deferred foreign capital gains taxes of $21,490,000. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 351,127 | 197,302 |
Realized Net Gain (Loss) | 897,431 | (495,757) |
Change in Unrealized Appreciation (Depreciation) | 2,275,436 | (550,940) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,523,994 | (849,395) |
Distributions | ||
Total Distributions | (189,189) | (308,988) |
Capital Share Transactions | ||
Issued | 4,442,988 | 2,047,882 |
Issued in Lieu of Cash Distributions | 173,403 | 283,820 |
Redeemed | (2,140,447) | (2,125,218) |
Net Increase (Decrease) from Capital Share Transactions | 2,475,944 | 206,484 |
Total Increase (Decrease) | 5,810,749 | (951,899) |
Net Assets | ||
Beginning of Period | 9,408,422 | 10,360,321 |
End of Period | 15,219,171 | 9,408,422 |
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $32.48 | $36.63 | $35.86 | $39.26 | $32.30 |
Investment Operations | |||||
Net Investment Income1 | 1.091 | .684 | 1.104 | .950 | .781 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.824 | (3.723) | 1.669 | (3.607) | 6.905 |
Total from Investment Operations | 11.915 | (3.039) | 2.773 | (2.657) | 7.686 |
Distributions | |||||
Dividends from Net Investment Income | (.635) | (1.111) | (.943) | (.743) | (.726) |
Distributions from Realized Capital Gains | — | — | (1.060) | — | — |
Total Distributions | (.635) | (1.111) | (2.003) | (.743) | (.726) |
Net Asset Value, End of Period | $43.76 | $32.48 | $36.63 | $35.86 | $39.26 |
Total Return2 | 36.91% | -8.69% | 8.48% | -6.95% | 24.33% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $15,219 | $9,408 | $10,360 | $9,524 | $9,964 |
Ratio of Total Expenses to Average Net Assets3 | 0.36% | 0.35% | 0.37% | 0.38% | 0.40% |
Ratio of Net Investment Income to Average Net Assets | 2.56% | 2.05% | 3.15% | 2.41% | 2.21% |
Portfolio Turnover Rate | 33% | 72% | 38% | 28% | 34% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of (0.01%), (0.02%), (0.01%), (0.01%), and 0.00%. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 1,531,401 | — | — | 1,531,401 |
Common Stocks—Other | 625,003 | 12,075,502 | 41,699 | 12,742,204 |
Temporary Cash Investments | 961,644 | — | — | 961,644 |
Total | 3,118,048 | 12,075,502 | 41,699 | 15,235,249 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 2,654 | — | — | 2,654 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 46,859 | — | 46,859 |
Forward Currency Contracts | — | (42) | (42) |
Realized Net Gain (Loss) on Derivatives | 46,859 | (42) | 46,817 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 4,152 | — | 4,152 |
Forward Currency Contracts | — | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 4,152 | — | 4,152 |
Amount ($000) | |
Paid-in Capital | 14,191 |
Total Distributable Earnings (Loss) | (14,191) |
Amount ($000) | |
Undistributed Ordinary Income | 579,569 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 2,249,654 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 189,189 | 308,988 |
Long-Term Capital Gains | — | — |
Total | 189,189 | 308,988 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 12,964,540 |
Gross Unrealized Appreciation | 2,904,499 |
Gross Unrealized Depreciation | (633,790) |
Net Unrealized Appreciation (Depreciation) | 2,270,709 |
Year Ended October 31, | ||||
2021 Shares (000) | 2020 Shares (000) | |||
Issued | 104,505 | 64,897 | ||
Issued in Lieu of Cash Distributions | 4,428 | 7,593 | ||
Redeemed | (50,767) | (65,710) | ||
Net Increase (Decrease) in Shares Outstanding | 58,166 | 6,780 |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. McIsaac |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
1 | |
2 | |
4 | |
6 |
• | For the 12 months ended October 31, 2021, Vanguard Diversified Equity Fund returned 45.67%, ahead of the 44.32% return of its benchmark, the MSCI US Broad Market Index. |
• | The global economy continued to recover from the sharp pandemic-induced contraction in the spring of 2020. Swift and extensive fiscal and monetary support from policymakers has been a key to the rebound. Despite concerns toward the end of the fiscal year about inflation and the prospect of less accommodative monetary policy, stock returns for the period were excellent. |
• | The Diversified Equity Fund invests in six actively managed Vanguard funds selected to provide broad exposure to all segments of the U.S. equity market. Together, these funds cover the style and capitalization spectrum. |
• | Results from the underlying funds ranged from about 38% for the Mid-Cap Growth Fund to about 54% for Vanguard Windsor Fund. |
• | For the 10 years ended October 31, 2021, the fund’s average annual return of 16.46% was slightly ahead of the 16.17% result of its benchmark. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
• | 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 October 31, 2021 | |||
Diversified Equity Fund | Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,089.90 | $1.84 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,023.44 | 1.79 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Diversified Equity Fund | 45.67% | 20.33% | 16.46% | $45,897 | |
MSCI US Broad Market Index | 44.32 | 19.00 | 16.17 | 44,758 |
Vanguard U.S. Growth Fund Investor Shares | 30.2% |
Vanguard Growth and Income Fund Investor Shares | 20.1 |
Vanguard WindsorTM Fund Investor Shares | 19.8 |
Vanguard Windsor II Fund Investor Shares | 14.9 |
Vanguard ExplorerTM Fund Investor Shares | 10.0 |
Vanguard Mid-Cap Growth Fund | 5.0 |
Shares | Market Value• ($000) | |||||
Investment Companies (100.0%) | ||||||
U.S. Stock Funds (100.0%) | ||||||
Vanguard U.S. Growth Fund Investor Shares | 11,567,664 | 893,949 | ||||
Vanguard Growth and Income Fund Investor Shares | 8,431,925 | 596,559 | ||||
Vanguard Windsor Fund Investor Shares | 22,401,001 | 587,802 | ||||
Vanguard Windsor II Fund Investor Shares | 9,133,554 | 442,795 | ||||
Vanguard Explorer Fund Investor Shares | 1,950,419 | 295,430 | ||||
Vanguard Mid-Cap Growth Fund | 3,813,407 | 147,655 | ||||
Total Investment Companies (Cost $1,485,783) | 2,964,190 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.070% (Cost $145) | 1,450 | 145 | |||
Total Investments (100.0%) (Cost $1,485,928) | 2,964,335 | |||||
Other Assets and Liabilities—Net (0.0%) | 1,034 | |||||
Net Assets (100%) | 2,965,369 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $1,485,928) | 2,964,335 |
Receivables for Capital Shares Issued | 3,129 |
Total Assets | 2,967,464 |
Liabilities | |
Payables for Investment Securities Purchased | 1,465 |
Payables for Capital Shares Redeemed | 630 |
Total Liabilities | 2,095 |
Net Assets | 2,965,369 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 1,379,315 |
Total Distributable Earnings (Loss) | 1,586,054 |
Net Assets | 2,965,369 |
Net Assets | |
Applicable to 52,574,272 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,965,369 |
Net Asset Value Per Share | $56.40 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 19,851 |
Net Investment Income—Note B | 19,851 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 118,184 |
Affiliated Funds Sold | 8,600 |
Realized Net Gain (Loss) | 126,784 |
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds | 757,953 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 904,588 |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 19,851 | 21,628 |
Realized Net Gain (Loss) | 126,784 | 114,940 |
Change in Unrealized Appreciation (Depreciation) | 757,953 | 122,165 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 904,588 | 258,733 |
Distributions | ||
Total Distributions | (129,748) | (128,412) |
Capital Share Transactions | ||
Issued | 591,473 | 285,583 |
Issued in Lieu of Cash Distributions | 121,380 | 121,112 |
Redeemed | (441,166) | (406,693) |
Net Increase (Decrease) from Capital Share Transactions | 271,687 | 2 |
Total Increase (Decrease) | 1,046,527 | 130,323 |
Net Assets | ||
Beginning of Period | 1,918,842 | 1,788,519 |
End of Period | 2,965,369 | 1,918,842 |
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $40.98 | $37.95 | $35.88 | $35.57 | $30.76 |
Investment Operations | |||||
Net Investment Income1 | .385 | .452 | .455 | .395 | .428 |
Capital Gain Distributions Received1 | 2.294 | 1.866 | 3.087 | 1.686 | 1.064 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.438 | 3.447 | .575 | .206 | 5.627 |
Total from Investment Operations | 18.117 | 5.765 | 4.117 | 2.287 | 7.119 |
Distributions | |||||
Dividends from Net Investment Income | (.346) | (.369) | (.383) | (.358) | (.414) |
Distributions from Realized Capital Gains | (2.351) | (2.366) | (1.664) | (1.619) | (1.895) |
Total Distributions | (2.697) | (2.735) | (2.047) | (1.977) | (2.309) |
Net Asset Value, End of Period | $56.40 | $40.98 | $37.95 | $35.88 | $35.57 |
Total Return2 | 45.67% | 15.73% | 12.82% | 6.55% | 24.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,965 | $1,919 | $1,789 | $1,709 | $1,439 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.35% | 0.35% | 0.35% | 0.36% | 0.36% |
Ratio of Net Investment Income to Average Net Assets | 0.76% | 1.19% | 1.27% | 1.07% | 1.31% |
Portfolio Turnover Rate | 6% | 14% | 9% | 8% | 5% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
Amount ($000) | |
Paid-in Capital | 12,905 |
Total Distributable Earnings (Loss) | (12,905) |
Amount ($000) | |
Undistributed Ordinary Income | 11,693 |
Undistributed Long-Term Gains | 95,983 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 1,478,378 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 31,671 | 19,336 |
Long-Term Capital Gains | 98,077 | 109,076 |
Total | 129,748 | 128,412 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,485,957 |
Gross Unrealized Appreciation | 1,478,407 |
Gross Unrealized Depreciation | (29) |
Net Unrealized Appreciation (Depreciation) | 1,478,378 |
Year Ended October 31, | ||||
2021 Shares (000) | 2020 Shares (000) | |||
Issued | 11,844 | 7,639 | ||
Issued in Lieu of Cash Distributions | 2,628 | 3,175 | ||
Redeemed | (8,723) | (11,117) | ||
Net Increase (Decrease) in Shares Outstanding | 5,749 | (303) |
Current Period Transactions | ||||||||
Oct. 31, 2020 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Oct. 31, 2021 Market Value ($000) | |
Vanguard Explorer Fund | 194,568 | 33,024 | 6,882 | 261 | 74,459 | 277 | 14,718 | 295,430 |
Vanguard Growth and Income Fund | 383,146 | 77,501 | 10,610 | 694 | 145,828 | 6,136 | 22,749 | 596,559 |
Vanguard Market Liquidity Fund | — | NA1 | NA1 | — | — | — | — | 145 |
Vanguard Mid-Cap Growth Fund | 97,287 | 19,451 | — | — | 30,917 | 166 | 6,731 | 147,655 |
Vanguard U.S. Growth Fund | 565,646 | 157,314 | 52,205 | 3,731 | 219,463 | 200 | 26,318 | 893,949 |
Vanguard Windsor Fund | 388,336 | 94,065 | 63,946 | 2,880 | 166,467 | 8,577 | 28,059 | 587,802 |
Vanguard Windsor II Fund | 289,801 | 40,606 | 9,465 | 1,034 | 120,819 | 4,495 | 19,609 | 442,795 |
Total | 1,918,784 | 421,961 | 143,108 | 8,600 | 757,953 | 19,851 | 118,184 | 2,964,335 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
Philadelphia, Pennsylvania
December 16, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. McIsaac |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisors’ Report | 2 |
About Your Fund’s Expenses | 7 |
Performance Summary | 9 |
Financial Statements | 11 |
• | For the 12 months ended October 31, 2021, Vanguard Emerging Markets Select Stock Fund returned 23.44%, outpacing the 17.11% return of its benchmark, the FTSE Emerging Index. |
• | The global economy continued to recover from the sharp pandemic-induced contraction in the spring of 2020. Countries that were more successful in containing COVID-19—whether through vaccinations, lockdowns, or both—generally fared better economically. Swift and extensive fiscal and monetary support from policymakers was also key to the rebound. Even amid concerns toward the end of the fiscal year about inflation and the prospect of less accommodative monetary policy, stock returns for the period were excellent. |
• | At the sector level, the fund’s holdings in financial companies (primarily banks) and information technology (particularly semiconductors) contributed to the excess returns. Stock selection in consumer discretionary bolstered the fund’s relative return despite underwhelming absolute returns. |
• | At the country level, the fund’s underweight stake in China helped relative performance, as Chinese stocks returned –3% compared with –8% for the benchmark. Shares from Russia and Brazil also contributed to relative returns, but underweight allocations to strong performers Taiwan and India detracted. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Wellington Management Company LLP | 24 | 237 | Allocates the assets in its portion of the fund to a team of global analysts who seek to add value through in-depth fundamental research and understanding of their industries. By covering the same companies over a period of many years, these investment professionals gain comprehensive insight to guide decisions for their subportfolios. |
Baillie Gifford Overseas Ltd. | 24 | 234 | Believes that companies that can sustainably grow their business and increase earnings faster than market average will perform best. Stock selection is driven by bottom-up, fundamental analysis, focusing on a company’s potential over a meaningful time period, typically three to five years and beyond. |
Oaktree Capital Management, L.P. | 24 | 232 | Seeks securities that have been undervalued by investors. Oaktree’s investment process is driven by bottom-up research, which includes extensive travel to meet company management and maintaining in-house models focused on deriving reliable cash-flow projections. |
Pzena Investment Management, LLC | 24 | 231 | Uses a deep-value approach that focuses on the most undervalued companies based on price-to-normalized earnings. The firm believes that this value philosophy works well globally and is especially effective in emerging markets because of generally wider valuation spreads. |
Cash Investments | 4 | 40 | These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position. |
• | 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 October 31, 2021 | |||
Emerging Markets Select Stock Fund | Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $950.90 | $3.98 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.12 | 4.13 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Emerging Markets Select Stock Fund | 23.44% | 10.08% | 5.88% | $17,711 | |
FTSE Emerging Index | 17.11 | 9.15 | 5.05 | 16,370 | |
MSCI All Country World Index ex USA | 29.66 | 9.77 | 6.66 | 19,057 |
China | 29.1% |
Taiwan | 12.6 |
India | 11.0 |
Brazil | 7.8 |
South Korea | 7.1 |
Russia | 6.4 |
Hong Kong | 5.0 |
United States | 3.5 |
South Africa | 2.6 |
Indonesia | 2.2 |
Thailand | 2.0 |
United Kingdom | 1.7 |
Mexico | 1.6 |
Hungary | 1.0 |
Canada | 1.0 |
Turkey | 1.0 |
Other | 4.4 |
Shares | Market Value• ($000) | ||
Common Stocks (93.8%) | |||
Brazil (7.3%) | |||
Petroleo Brasileiro SA ADR (XNYS) | 1,283,142 | 12,600 | |
Vale SA Class B ADR | 785,411 | 9,998 | |
Ambev SA | 3,019,766 | 9,091 | |
Cia Energetica de Minas Gerais Preference Shares | 3,241,081 | 7,397 | |
* | Banco Bradesco SA ADR | 1,698,332 | 5,944 |
Raizen SA Preference Shares | 3,551,606 | 4,267 | |
Itau Unibanco Holding SA Preference Shares | 921,200 | 3,805 | |
Itau Unibanco Holding SA ADR | 877,589 | 3,572 | |
* | Petroleo Brasileiro SA | 443,017 | 2,172 |
* | Azul SA ADR | 159,631 | 2,112 |
Petroleo Brasileiro SA ADR | 215,354 | 2,070 | |
B3 SA - Brasil Bolsa Balcao | 848,900 | 1,791 | |
Light SA | 887,000 | 1,521 | |
Banco Bradesco SA Preference Shares | 389,600 | 1,374 | |
* | Caixa Seguridade Participacoes SA | 508,939 | 789 |
Cia de Saneamento Basico do Estado de Sao Paulo | 113,700 | 709 | |
Raia Drogasil SA | 116,244 | 479 | |
Gerdau SA Preference Shares | 98,700 | 470 | |
Magazine Luiza SA | 171,132 | 328 | |
Hypera SA | 58,800 | 292 | |
Localiza Rent a Car SA | 36,200 | 291 | |
Notre Dame Intermedica Participacoes SA | 25,100 | 285 | |
Lojas Renner SA | 42,507 | 243 | |
71,600 | |||
Canada (0.9%) | |||
First Quantum Minerals Ltd. | 207,494 | 4,912 | |
Lundin Mining Corp. | 300,667 | 2,617 | |
Parex Resources Inc. | 56,982 | 1,107 | |
* | Valeura Energy Inc. | 264,800 | 111 |
8,747 | |||
China (27.3%) | |||
Tencent Holdings Ltd. | 489,034 | 29,748 | |
* | Alibaba Group Holding Ltd. | 1,114,407 | 22,915 |
Shares | Market Value• ($000) | ||
China Merchants Bank Co. Ltd. Class H | 1,261,286 | 10,570 | |
China Construction Bank Corp. Class H | 14,919,466 | 10,154 | |
Ping An Insurance Group Co. of China Ltd. Class H | 1,323,442 | 9,479 | |
*,1 | Meituan Class B | 240,703 | 8,191 |
* | Trip.com Group Ltd. ADR | 282,612 | 8,071 |
* | Alibaba Group Holding Ltd. ADR | 47,129 | 7,773 |
Contemporary Amperex Technology Co. Ltd. Class A (XSHE) | 65,400 | 6,551 | |
Geely Automobile Holdings Ltd. | 1,743,002 | 6,049 | |
Contemporary Amperex Technology Co. Ltd. Class A | 53,400 | 5,349 | |
China Overseas Land & Investment Ltd. | 2,262,000 | 4,989 | |
Li Ning Co. Ltd. | 438,130 | 4,835 | |
* | Baidu Inc. ADR | 27,944 | 4,534 |
*,1 | JD Logistics Inc. | 1,146,131 | 4,504 |
Ping An Bank Co. Ltd. Class A | 1,438,474 | 4,382 | |
1 | WuXi AppTec Co. Ltd. Class H | 203,910 | 4,354 |
* | XPeng Inc. Class A ADR | 93,187 | 4,345 |
* | Aluminum Corp. of China Ltd. Class H | 6,361,121 | 3,828 |
Zijin Mining Group Co. Ltd. Class H | 2,719,305 | 3,782 | |
* | Shanghai International Airport Co. Ltd. Class A | 443,807 | 3,670 |
China Longyuan Power Group Corp. Ltd. Class H | 1,480,384 | 3,463 | |
Baoshan Iron & Steel Co. Ltd. Class A | 2,929,994 | 3,261 | |
Anhui Conch Cement Co. Ltd. Class H | 623,224 | 3,082 | |
Country Garden Services Holdings Co. Ltd. | 390,701 | 3,008 | |
* | JD.com Inc. Class A | 74,156 | 2,903 |
Nine Dragons Paper Holdings Ltd. | 2,240,832 | 2,818 | |
Shimao Group Holdings Ltd. | 1,760,990 | 2,762 | |
Riyue Heavy Industry Co. Ltd. Class A (XSHG) | 436,754 | 2,668 |
Shares | Market Value• ($000) | ||
Dongfeng Motor Group Co. Ltd. Class H | 2,838,000 | 2,643 | |
Yihai International Holding Ltd. | 448,690 | 2,628 | |
* | Zai Lab Ltd. ADR | 21,149 | 2,208 |
1 | Pharmaron Beijing Co. Ltd. Class H | 101,546 | 2,197 |
Weichai Power Co. Ltd. Class H | 1,225,408 | 2,193 | |
Industrial & Commercial Bank of China Ltd. Class H | 3,914,843 | 2,146 | |
Haier Smart Home Co. Ltd. Class H | 527,400 | 1,964 | |
Sun Art Retail Group Ltd. | 3,313,371 | 1,943 | |
1 | Shimao Services Holdings Ltd. | 1,026,044 | 1,934 |
Shenzhou International Group Holdings Ltd. | 89,500 | 1,928 | |
* | Brilliance China Automotive Holdings Ltd. | 3,486,000 | 1,906 |
BYD Co. Ltd. Class H | 48,150 | 1,842 | |
* | Baidu Inc. Class A | 87,650 | 1,791 |
Yunnan Energy New Material Co. Ltd. Class A | 34,900 | 1,592 | |
1 | CSC Financial Co. Ltd. Class H | 1,425,052 | 1,506 |
Zhongsheng Group Holdings Ltd. | 164,000 | 1,479 | |
1 | Ganfeng Lithium Co. Ltd. Class H | 78,429 | 1,469 |
* | Lufax Holding Ltd. ADR | 227,315 | 1,434 |
1 | Longfor Group Holdings Ltd. | 285,000 | 1,379 |
China Tourism Group Duty Free Corp. Ltd. Class A | 32,696 | 1,369 | |
China Gas Holdings Ltd. | 544,517 | 1,359 | |
* | ENN Energy Holdings Ltd. | 69,942 | 1,205 |
ANTA Sports Products Ltd. | 75,069 | 1,163 | |
China Pacific Insurance Group Co. Ltd. Class H | 375,818 | 1,149 | |
*,1 | Kuaishou Technology | 87,700 | 1,147 |
Midea Group Co. Ltd. Class A | 105,386 | 1,130 | |
*,1 | 3SBio Inc. | 1,204,842 | 1,102 |
Guangzhou Tinci Materials Technology Co. Ltd. Class A | 41,300 | 1,063 | |
Shanghai Putailai New Energy Technology Co. Ltd. Class A | 37,360 | 1,039 | |
* | Yatsen Holding Ltd. ADR | 364,800 | 1,021 |
* | KE Holdings Inc. ADR | 54,867 | 1,000 |
China National Building Material Co. Ltd. Class H | 770,000 | 965 | |
* | Kingsoft Cloud Holdings Ltd. ADR | 41,732 | 959 |
* | Tencent Music Entertainment Group ADR | 120,430 | 947 |
Suofeiya Home Collection Co. Ltd. Class A | 354,790 | 936 | |
Centre Testing International Group Co. Ltd. Class A | 210,400 | 907 |
Shares | Market Value• ($000) | ||
* | Grand Baoxin Auto Group Ltd. | 7,813,500 | 877 |
1 | China Yangtze Power Co. Ltd. GDR | 25,768 | 856 |
CIFI Holdings Group Co. Ltd. | 1,526,696 | 847 | |
*,1 | China Youran Dairy Group Ltd. | 1,457,041 | 843 |
* | Dada Nexus Ltd. ADR | 39,391 | 800 |
Shandong Sinocera Functional Material Co. Ltd. Class A | 112,958 | 753 | |
Sinoma Science & Technology Co. Ltd. Class A | 124,000 | 733 | |
Glodon Co. Ltd. Class A (XSHE) | 62,300 | 723 | |
Venustech Group Inc. Class A | 179,900 | 717 | |
* | Trip.com Group Ltd. | 24,750 | 711 |
China Oilfield Services Ltd. Class H | 712,857 | 682 | |
* | Kingdee International Software Group Co. Ltd. | 204,354 | 672 |
Proya Cosmetics Co. Ltd. Class A | 20,820 | 653 | |
* | Burning Rock Biotech Ltd. ADR | 44,762 | 631 |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 367,495 | 626 | |
Zhejiang Huayou Cobalt Co. Ltd. Class A | 34,600 | 600 | |
Midea Group Co. Ltd. Class A (XSEC) | 54,600 | 586 | |
* | XPeng Inc. Class A | 24,100 | 559 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A | 9,500 | 557 | |
* | HUYA Inc. ADR | 66,568 | 547 |
Suofeiya Home Collection Co. Ltd. Class A (XSHE) | 189,730 | 500 | |
Ping An Bank Co. Ltd. Class A (XSHE) | 157,400 | 479 | |
CSPC Pharmaceutical Group Ltd. | 448,156 | 468 | |
Kweichow Moutai Co. Ltd. Class A | 1,609 | 459 | |
Yifeng Pharmacy Chain Co. Ltd. Class A | 56,100 | 419 | |
Hualan Biological Engineering Inc. Class A | 87,300 | 406 | |
1 | Hangzhou Tigermed Consulting Co. Ltd. Class H | 20,100 | 392 |
Amoy Diagnostics Co. Ltd. Class A | 28,908 | 365 | |
* | Zai Lab Ltd. | 2,815 | 292 |
*,1 | Venus MedTech Hangzhou Inc. Class H | 46,740 | 216 |
Yifeng Pharmacy Chain Co. Ltd. Class A (XSHG) | 27,170 | 203 | |
Jinyu Bio-Technology Co. Ltd. Class A | 79,100 | 197 | |
China Yangtze Power Co. Ltd. Class A | 52,500 | 175 | |
*,1 | Wuxi Biologics Cayman Inc. | 10,963 | 166 |
Sunac China Holdings Ltd. | 77,000 | 165 |
Shares | Market Value• ($000) | ||
* | New Oriental Education & Technology Group Inc. ADR | 62,160 | 127 |
Shanghai Jinjiang International Hotels Co. Ltd. | 13,600 | 114 | |
* | TAL Education Group ADR | 16,334 | 67 |
Amoy Diagnostics Co. Ltd. Class A (XSHE) | 5,200 | 66 | |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A (XSHE) | 300 | 18 | |
*,1 | New Horizon Health Ltd. | 4,000 | 15 |
*,2 | Tianhe Chemicals Group Ltd. | 4,142,000 | �� |
265,963 | |||
Czech Republic (0.8%) | |||
CEZ A/S | 167,088 | 5,518 | |
* | Komercni banka A/S | 56,379 | 2,187 |
7,705 | |||
Egypt (0.0%) | |||
* | Commercial International Bank Egypt SAE GDR (Registered) | 1 | — |
Greece (0.6%) | |||
* | Alpha Services and Holdings SA | 3,018,010 | 3,848 |
Hellenic Telecommunications Organization SA | 65,012 | 1,154 | |
* | Bank of Cyprus Holdings plc | 491,391 | 578 |
5,580 | |||
Hong Kong (4.7%) | |||
* | Galaxy Entertainment Group Ltd. | 1,571,528 | 8,456 |
* | Yue Yuen Industrial Holdings Ltd. | 2,572,000 | 5,460 |
Pacific Basin Shipping Ltd. | 11,078,963 | 5,113 | |
Orient Overseas International Ltd. | 261,925 | 4,816 | |
Lenovo Group Ltd. | 4,226,000 | 4,589 | |
AIA Group Ltd. | 276,229 | 3,096 | |
* | Cathay Pacific Airways Ltd. | 2,856,192 | 2,635 |
* | Sands China Ltd. | 1,126,000 | 2,566 |
VTech Holdings Ltd. | 289,500 | 2,229 | |
* | MMG Ltd. | 4,503,021 | 2,080 |
* | BeiGene Ltd. ADR | 5,661 | 2,025 |
Minth Group Ltd. | 366,000 | 1,455 | |
*,1 | JW Cayman Therapeutics Co. Ltd. (XHKG) | 379,574 | 694 |
*,1 | Everest Medicines Ltd. | 52,200 | 300 |
*,1 | ESR Cayman Ltd. | 70,806 | 229 |
45,743 | |||
Hungary (1.0%) | |||
* | OTP Bank Nyrt | 155,204 | 9,326 |
India (10.3%) | |||
Reliance Industries Ltd. | 637,676 | 21,640 | |
Housing Development Finance Corp. Ltd. | 201,549 | 7,684 | |
Larsen & Toubro Ltd. | 273,313 | 6,474 | |
* | Shriram Transport Finance Co. Ltd. | 327,200 | 6,303 |
ICICI Bank Ltd. ADR | 276,285 | 5,843 |
Shares | Market Value• ($000) | ||
UltraTech Cement Ltd. | 50,772 | 5,185 | |
* | Axis Bank Ltd. | 512,171 | 5,097 |
ICICI Bank Ltd. | 417,014 | 4,490 | |
* | Bharti Airtel Ltd (XNSE) | 442,134 | 4,056 |
Aurobindo Pharma Ltd. | 431,526 | 3,979 | |
Mahindra & Mahindra Ltd. | 317,793 | 3,765 | |
Tech Mahindra Ltd. | 165,680 | 3,279 | |
Tata Consultancy Services Ltd. | 70,318 | 3,196 | |
1 | HDFC Life Insurance Co. Ltd. | 301,838 | 2,745 |
State Bank of India | 403,611 | 2,716 | |
Piramal Enterprises Ltd. | 58,911 | 2,053 | |
Kotak Mahindra Bank Ltd. | 68,947 | 1,875 | |
* | IDFC First Bank Ltd. | 2,389,128 | 1,586 |
Hindustan Unilever Ltd. | 43,913 | 1,406 | |
Maruti Suzuki India Ltd. | 13,742 | 1,376 | |
1 | ICICI Lombard General Insurance Co. Ltd. | 52,443 | 1,039 |
Infosys Ltd. ADR | 44,455 | 990 | |
Power Grid Corp. of India Ltd. | 393,032 | 974 | |
Dabur India Ltd. | 111,878 | 876 | |
* | Glenmark Life Sciences Ltd. | 69,460 | 587 |
Apollo Hospitals Enterprise Ltd. | 9,723 | 555 | |
Tata Steel Ltd. | 29,722 | 524 | |
* | Bharti Airtel Ltd. | 32,267 | 122 |
100,415 | |||
Indonesia (2.0%) | |||
Bank Rakyat Indonesia Persero Tbk PT | 34,095,325 | 10,235 | |
Bank Mandiri Persero Tbk PT | 6,701,000 | 3,388 | |
Semen Indonesia Persero Tbk PT | 4,406,000 | 2,831 | |
Bank Central Asia Tbk PT | 3,860,945 | 2,042 | |
* | Mitra Adiperkasa Tbk PT | 11,215,496 | 697 |
Astra International Tbk PT | 1,450,097 | 618 | |
Unilever Indonesia Tbk PT | 404,702 | 126 | |
19,937 | |||
Japan (0.3%) | |||
Murata Manufacturing Co. Ltd. | 31,739 | 2,354 | |
* | Universal Entertainment Corp. | 28,400 | 675 |
3,029 | |||
Kazakhstan (0.0%) | |||
NAC Kazatomprom JSC GDR | 7,059 | 307 | |
Kenya (0.1%) | |||
* | Equity Group Holdings plc | 2,544,143 | 1,138 |
Mexico (1.5%) | |||
* | Cemex SAB de CV ADR | 891,509 | 5,732 |
Grupo Financiero Banorte SAB de CV Class O | 825,108 | 5,224 | |
America Movil SAB de CV Series L | 1,971,559 | 1,757 | |
Wal-Mart de Mexico SAB de CV | 363,867 | 1,269 | |
Grupo Mexico SAB de CV Series B | 128,445 | 564 | |
14,546 |
Shares | Market Value• ($000) | ||
Netherlands (0.2%) | |||
ASML Holding NV | 2,502 | 2,034 | |
Other (0.2%) | |||
3 | Vanguard FTSE Emerging Markets ETF | 34,827 | 1,764 |
Philippines (0.3%) | |||
Bdo Unibank Inc. | 789,385 | 1,943 | |
Ayala Land Inc. | 1,631,632 | 1,136 | |
3,079 | |||
Poland (0.3%) | |||
*,1 | Allegro.eu SA | 133,365 | 1,510 |
KGHM Polska Miedz SA | 30,774 | 1,183 | |
2,693 | |||
Romania (0.3%) | |||
Banca Transilvania SA | 4,352,156 | 2,554 | |
Russia (6.0%) | |||
LUKOIL PJSC ADR | 200,906 | 20,479 | |
Sberbank of Russia PJSC ADR | 793,971 | 15,923 | |
MMC Norilsk Nickel PJSC ADR | 194,907 | 6,091 | |
Gazprom PJSC ADR | 529,853 | 5,199 | |
Sberbank of Russia PJSC | 743,493 | 3,740 | |
Moscow Exchange MICEX-RTS PJSC | 536,630 | 1,317 | |
Novatek PJSC GDR (Registered) | 4,741 | 1,204 | |
* | Ozon Holdings plc ADR | 26,735 | 1,203 |
Magnit PJSC GDR (Registered) | 64,761 | 1,200 | |
Mobile TeleSystems PJSC ADR | 114,321 | 1,051 | |
Magnit PJSC | 6,203 | 566 | |
MMC Norilsk Nickel PJSC | 1,273 | 397 | |
58,370 | |||
Singapore (0.5%) | |||
Wilmar International Ltd. | 1,612,000 | 5,154 | |
* | Ezion Holdings Ltd. Warrants Exp. 4/16/23 | 2,242,476 | — |
5,154 | |||
South Africa (2.4%) | |||
* | Sasol Ltd. | 366,233 | 6,151 |
AngloGold Ashanti Ltd. ADR | 265,713 | 4,910 | |
FirstRand Ltd. | 664,964 | 2,526 | |
Impala Platinum Holdings Ltd. | 145,991 | 1,889 | |
Reunert Ltd. | 567,917 | 1,876 | |
Gold Fields Ltd. | 148,673 | 1,382 | |
Rand Merchant Investment Holdings Ltd. | 440,192 | 1,178 | |
Old Mutual Ltd. (XZIM) | 987,529 | 1,009 | |
Naspers Ltd. Class N | 4,519 | 765 | |
Sibanye Stillwater Ltd. | 213,997 | 749 | |
Ninety One plc | 164,817 | 585 | |
Harmony Gold Mining Co. Ltd. | 112,180 | 403 | |
23,423 | |||
South Korea (6.6%) | |||
Samsung Electronics Co. Ltd. | 244,217 | 14,622 | |
SK Hynix Inc. | 74,887 | 6,601 | |
LG Chem Ltd. | 8,979 | 6,443 |
Shares | Market Value• ($000) | ||
Hyundai Motor Co. | 30,513 | 5,457 | |
POSCO | 16,576 | 4,204 | |
Samsung SDI Co. Ltd. | 6,267 | 3,954 | |
Samsung Electronics Co. Ltd. Preference Shares | 65,033 | 3,573 | |
DB Insurance Co. Ltd. | 67,580 | 3,434 | |
Hankook Tire & Technology Co. Ltd. | 86,762 | 3,074 | |
Hana Financial Group Inc. | 57,145 | 2,203 | |
Shinhan Financial Group Co. Ltd. | 66,550 | 2,173 | |
* | Korea Shipbuilding & Offshore Engineering Co. Ltd. | 21,091 | 1,865 |
* | Krafton Inc. | 4,295 | 1,726 |
KB Financial Group Inc. | 32,680 | 1,582 | |
NAVER Corp. | 4,167 | 1,449 | |
* | Coupang Inc. | 37,524 | 1,117 |
Doosan Bobcat Inc. | 31,315 | 1,023 | |
64,500 | |||
Taiwan (11.8%) | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | 2,963,659 | 62,890 | |
MediaTek Inc. | 396,742 | 13,058 | |
Hon Hai Precision Industry Co. Ltd. | 3,295,552 | 12,722 | |
Lite-On Technology Corp. | 2,578,000 | 5,689 | |
Compal Electronics Inc. | 5,081,000 | 4,471 | |
ASE Technology Holding Co. Ltd. | 1,164,270 | 4,165 | |
United Integrated Services Co. Ltd. | 388,000 | 2,565 | |
Realtek Semiconductor Corp. | 111,585 | 2,007 | |
Parade Technologies Ltd. | 27,703 | 1,785 | |
E.Sun Financial Holding Co. Ltd. | 1,351,005 | 1,291 | |
Globalwafers Co. Ltd. | 32,000 | 878 | |
ASPEED Technology Inc. | 8,343 | 837 | |
Airtac International Group | 23,369 | 699 | |
China Steel Corp. | 501,000 | 604 | |
Yageo Corp. | 38,000 | 595 | |
ASMedia Technology Inc. | 8,649 | 507 | |
Elite Material Co. Ltd. | 33,000 | 286 | |
115,049 | |||
Thailand (1.9%) | |||
Siam Commercial Bank PCL NVDR | 1,466,800 | 5,577 | |
Charoen Pokphand Foods PCL | 5,788,000 | 4,407 | |
Kasikornbank PCL NVDR | 758,535 | 3,234 | |
Bangkok Bank PCL NVDR | 469,100 | 1,736 | |
CP ALL PCL | 725,800 | 1,402 | |
Kasikornbank PCL | 195,000 | 831 | |
Bangkok Bank PCL (Registered) | 215,800 | 799 | |
Central Pattana PCL | 313,544 | 561 | |
18,547 | |||
Turkey (0.9%) | |||
Akbank TAS | 4,650,486 | 2,815 | |
Ford Otomotiv Sanayi A/S | 106,391 | 2,049 | |
Tofas Turk Otomobil Fabrikasi A/S | 326,482 | 1,996 | |
Eregli Demir ve Celik Fabrikalari TAS | 895,133 | 1,869 | |
8,729 |
Shares | Market Value• ($000) | ||
United Arab Emirates (0.6%) | |||
Abu Dhabi Commercial Bank PJSC | 2,389,934 | 5,405 | |
* | Fertiglobe plc | 249,035 | 201 |
5,606 | |||
United Kingdom (1.6%) | |||
Standard Chartered plc | 914,940 | 6,188 | |
Fresnillo plc | 239,962 | 2,824 | |
Antofagasta plc | 122,965 | 2,399 | |
Polymetal International plc | 122,113 | 2,257 | |
Anglo American plc | 21,791 | 829 | |
Ferrexpo plc | 74,388 | 317 | |
Hikma Pharmaceuticals plc | 9,318 | 307 | |
15,121 | |||
United States (3.3%) | |||
* | Sea Ltd. ADR | 15,968 | 5,486 |
Cognizant Technology Solutions Corp. Class A | 63,989 | 4,997 | |
* | MercadoLibre Inc. | 3,245 | 4,806 |
* | Flex Ltd. | 241,216 | 4,076 |
Freeport-McMoRan Inc. | 105,168 | 3,967 | |
Credicorp Ltd. | 16,334 | 2,118 | |
* | Yandex NV Class A | 23,102 | 1,914 |
* | Copa Holdings SA Class A | 22,139 | 1,637 |
* | Afya Ltd. Class A | 90,236 | 1,575 |
* | StoneCo. Ltd. Class A | 18,159 | 615 |
* | XP Inc. Class A | 17,639 | 579 |
*,4 | New Frontier Health Corp. | 29,293 | 329 |
* | D-MARKET Elektronik Hizmetler ve Ticaret AS ADR | 48,821 | 222 |
32,321 | |||
Vietnam (0.1%) | |||
1 | Vinhomes JSC | 185,202 | 696 |
Total Common Stocks (Cost $766,609) | 913,676 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (6.1%) | |||
Money Market Fund (6.1%) | |||
5,6 | Vanguard Market Liquidity Fund, 0.070% (Cost $59,590) | 595,944 | 59,595 |
Total Investments (99.9%) (Cost $826,199) | 973,271 | ||
Other Assets and Liabilities—Net (0.1%) | 1,138 | ||
Net Assets (100%) | 974,409 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2021, the aggregate value was $37,484,000, representing 3.8% of net assets. |
2 | Security value determined using significant unobservable inputs. |
3 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
4 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $313,000. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
6 | Collateral of $334,000 was received for securities on loan. |
ADR—American Depositary Receipt. | |
GDR—Global Depositary Receipt. | |
NVDR—Non-Voting Depository Receipt. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
MSCI Emerging Markets Index | December 2021 | 677 | 42,719 | (239) |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
State Street Bank & Trust Co. | 11/4/21 | ZAR | 2,361 | USD | 155 | — | — |
USD—U.S. dollar. |
ZAR—South African rand. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $764,859) | 911,912 |
Affiliated Issuers (Cost $61,340) | 61,359 |
Total Investments in Securities | 973,271 |
Investment in Vanguard | 33 |
Cash | 3,090 |
Cash Collateral Pledged—Futures Contracts | 2,547 |
Foreign Currency, at Value (Cost $811) | 815 |
Receivables for Investment Securities Sold | 1,747 |
Receivables for Accrued Income | 1,228 |
Receivables for Capital Shares Issued | 359 |
Total Assets | 983,090 |
Liabilities | |
Payables for Investment Securities Purchased | 2,149 |
Collateral for Securities on Loan | 334 |
Payables to Investment Advisor | 1,333 |
Payables for Capital Shares Redeemed | 997 |
Payables to Vanguard | 81 |
Variation Margin Payable—Futures Contracts | 629 |
Deferred Foreign Capital Gains Taxes | 3,158 |
Total Liabilities | 8,681 |
Net Assets | 974,409 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 779,879 |
Total Distributable Earnings (Loss) | 194,530 |
Net Assets | 974,409 |
Net Assets | |
Applicable to 35,964,736 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 974,409 |
Net Asset Value Per Share | $27.09 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers1 | 23,850 |
Dividends—Affiliated Issuers | 56 |
Interest—Unaffiliated Issuers | 2 |
Interest—Affiliated Issuers | 45 |
Securities Lending—Net | 68 |
Total Income | 24,021 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 4,946 |
Performance Adjustment | 235 |
The Vanguard Group—Note C | |
Management and Administrative | 2,580 |
Marketing and Distribution | 58 |
Custodian Fees | 218 |
Auditing Fees | 38 |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 8,089 |
Net Investment Income | 15,932 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers2 | 51,484 |
Investment Securities Sold—Affiliated Issuers | 57 |
Futures Contracts | 6,292 |
Forward Currency Contracts | 12 |
Foreign Currencies | (385) |
Realized Net Gain (Loss) | 57,460 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers3 | 78,532 |
Investment Securities—Affiliated Issuers | 11 |
Futures Contracts | (546) |
Forward Currency Contracts | — |
Change in Unrealized Appreciation (Depreciation) | 77,997 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 151,389 |
1 | Dividends are net of foreign withholding taxes of $2,399,000. |
2 | Realized gain (loss) is net of foreign capital gain taxes of $463,000. |
3 | The change in unrealized appreciation (depreciation) is net of the change in deferred foreign capital gains taxes of $2,901,000. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,932 | 9,363 |
Realized Net Gain (Loss) | 57,460 | (15,205) |
Change in Unrealized Appreciation (Depreciation) | 77,997 | 16,970 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 151,389 | 11,128 |
Distributions | ||
Total Distributions | (8,567) | (15,169) |
Capital Share Transactions | ||
Issued | 384,600 | 197,586 |
Issued in Lieu of Cash Distributions | 7,584 | 13,238 |
Redeemed | (230,893) | (238,050) |
Net Increase (Decrease) from Capital Share Transactions | 161,291 | (27,226) |
Total Increase (Decrease) | 304,113 | (31,267) |
Net Assets | ||
Beginning of Period | 670,296 | 701,563 |
End of Period | 974,409 | 670,296 |
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $22.18 | $21.87 | $19.68 | $22.56 | $18.27 |
Investment Operations | |||||
Net Investment Income1 | .457 | .298 | .4742 | .414 | .413 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.729 | .483 | 2.208 | (2.943) | 4.129 |
Total from Investment Operations | 5.186 | .781 | 2.682 | (2.529) | 4.542 |
Distributions | |||||
Dividends from Net Investment Income | (.276) | (.471) | (.492) | (.351) | (.252) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.276) | (.471) | (.492) | (.351) | (.252) |
Net Asset Value, End of Period | $27.09 | $22.18 | $21.87 | $19.68 | $22.56 |
Total Return3 | 23.44% | 3.51% | 13.96% | -11.39% | 25.28% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $974 | $670 | $702 | $564 | $646 |
Ratio of Total Expenses to Average Net Assets4 | 0.84% | 0.85% | 0.93% | 0.94% | 0.92% |
Ratio of Net Investment Income to Average Net Assets | 1.65% | 1.43% | 2.25%2 | 1.85% | 2.04% |
Portfolio Turnover Rate | 48% | 52% | 46% | 76% | 44% |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $0.071 and 0.34%, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Includes performance-based investment advisory fee increases (decreases) of 0.02%, (0.01%), 0.07%, 0.05%, and (0.01%). |
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. | The investment advisory firms Wellington Management Company llp, Baillie Gifford Overseas Ltd., Oaktree Capital Management, L.P., and Pzena Investment Management, LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Wellington Management Company llp, Baillie Gifford Overseas Ltd., Oaktree Capital Management, L.P., and Pzena Investment Management, LLC are subject to quarterly adjustments based on performance relative to the FTSE Emerging Index for the preceding three years. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution and cash management 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. |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks—North and South America | 127,214 | — | — | 127,214 |
Common Stocks—Other | 54,185 | 732,277 | — | 786,462 |
Temporary Cash Investments | 59,595 | — | — | 59,595 |
Total | 240,994 | 732,277 | — | 973,271 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 239 | — | — | 239 |
Forward Currency Contracts | — | — | — | — |
Total | 239 | — | — | 239 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | At October 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
Statement of Assets and Liabilities | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Depreciation—Futures Contracts1 | 239 | — | 239 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | 6,292 | — | 6,292 |
Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) | |
Forward Currency Contracts | — | 12 | 12 |
Realized Net Gain (Loss) on Derivatives | 6,292 | 12 | 6,304 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (546) | — | (546) |
Forward Currency Contracts | — | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (546) | — | (546) |
F. | 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, passive foreign investment companies, distributions in connection with fund share redemptions, and tax expense on capital gains were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 4,749 |
Total Distributable Earnings (Loss) | (4,749) |
Amount ($000) | |
Undistributed Ordinary Income | 29,043 |
Undistributed Long-Term Gains | 26,325 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 139,162 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 8,567 | 15,169 |
Long-Term Capital Gains | — | — |
Total | 8,567 | 15,169 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 830,930 |
Gross Unrealized Appreciation | 228,715 |
Gross Unrealized Depreciation | (86,374) |
Net Unrealized Appreciation (Depreciation) | 142,341 |
G. | During the year ended October 31, 2021, the fund purchased $570,937,000 of investment securities and sold $421,461,000 of investment securities, other than temporary cash investments. |
H. | Capital shares issued and redeemed were: |
Year Ended October 31, | ||
2021 Shares (000) | 2020 Shares (000) | |
Issued | 13,807 | 9,613 |
Issued in Lieu of Cash Distributions | 294 | 579 |
Redeemed | (8,359) | (12,051) |
Net Increase (Decrease) in Shares Outstanding | 5,742 | (1,859) |
I. | Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows: |
Current Period Transactions | ||||||||
Oct. 31, 2020 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Oct. 31, 2021 Market Value ($000) | |
Vanguard FTSE Emerging Markets ETF | 1,306 | 27,814 | 27,424 | 57 | 11 | 56 | — | 1,764 |
Vanguard Market Liquidity Fund | 37,445 | NA1 | NA1 | — | — | 45 | — | 59,595 |
Total | 38,751 | 57 | 11 | 101 | — | 61,359 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
J. | Management has determined that no events or transactions occurred subsequent to October 31, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisor’s Report | 2 |
About Your Fund’s Expenses | 5 |
Performance Summary | 7 |
Consolidated Financial Statements | 9 |
• | Vanguard Alternative Strategies Fund returned –0.12% for the 12 months ended October 31, 2021. Its benchmark, the FTSE 3-Month Treasury Bill Index, returned 0.05%. |
• | The fund seeks to generate returns using a combination of alternative strategies that collectively are expected to have low correlation with traditional capital markets. These strategies are long/short equity, event-driven, fixed income relative value, currencies, equity futures, and commodity-linked investments. |
• | Long/short equity and fixed income relative value produced the lowest returns during the period. Long/short equity was hurt by our focus on low-volatility names, which underperformed. Fixed income relative value was held back amid concerns about inflation and the prospect that some central banks might scale back their bond-buying programs or raise interest rates. |
• | Currencies, event-driven strategies, and commodities were all in positive territory and were our strongest performers. |
• | The diversification resulting from the fund’s variety of exposures helped reduce overall volatility compared with the broad U.S. stock market. |
• | The fund regularly uses derivatives to hedge portfolio risks. Its holdings in forward foreign currencies and futures contributed to total returns. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
• | Long/short equity. This approach focuses on building a long/short portfolio of equity securities based on their volatility characteristics by executing long positions in low-volatility stocks and short positions in high-volatility stocks. It seeks to capture a risk-adjusted spread by constructing positions to reduce the net market exposure of the overall portfolio to general market movements (beta). |
• | Event-driven. This strategy seeks to profit from the expectation that a specific event or catalyst (such as a merger/acquisition deal closure) will affect the stock price of a U.S. or foreign company. |
• | Fixed income relative value. This approach seeks to exploit the steepness of the U.S. Treasury yield curve that is created by investors’ desire to hold shorter-maturity bonds because they tend to be more liquid (easily traded) and less sensitive to growth and inflation risk. We try to capture this premium by investing in Treasury futures with longer times to maturity and borrowing those with short maturities. |
• | Currencies. The fund seeks to benefit from expected currency movements across countries by using long and short foreign currency exchange forward contracts. It does this by selling currencies of countries with poor fundamental characteristics and buying those of countries with strong ones. |
• | Commodity-linked investments. This strategy seeks to capture the risk premium associated with inventory levels of commodities, which are reflected in the prices of their futures contracts. We take long positions in commodities whose prices are expected to rise because of limited inventory and short positions in those whose prices are expected to fall. |
• | Equity futures. The fund uses long and short positions in global equity index futures to capture excess return opportunities. The strategy seeks to benefit from global differences in market and fundamental characteristics by buying equity index futures with strong characteristics and selling equity index futures with poor characteristics. |
• | 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 October 31, 2021 | |||
Alternative Strategies Fund | Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $995.30 | $7.69 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,017.49 | 7.78 |
Average Annual Total Returns Periods Ended October 31, 2021 | |||||
One Year | Five Years | Since Inception (8/11/2015) | Final Value of a $50,000 Investment | ||
Alternative Strategies Fund | -0.12% | -1.98% | -0.53% | $48,371 | |
Spliced Alternative Strategies Index | 0.05 | 3.59 | 3.73 | 62,797 | |
FTSE Three-Month Treasury Bill Index | 0.05 | 1.12 | 0.94 | 53,083 |
Long Portfolio1 | Short Portfolio2 | |
Communication Services | 2.2% | 5.3% |
Consumer Discretionary | 12.5 | 15.1 |
Consumer Staples | 5.6 | 0.8 |
Energy | 0.8 | 7.7 |
Financials | 8.6 | 11.0 |
Health Care | 29.1 | 13.0 |
Industrials | 11.7 | 10.3 |
Information Technology | 11.6 | 28.7 |
Materials | 7.2 | 4.7 |
Real Estate | 3.6 | 2.4 |
Utilities | 7.1 | 1.0 |
1 | Percentage of investments in long portfolio. |
2 | Percentage of investments in short portfolio. |
Shares | Market Value• ($000) | ||
Common Stocks—Long Positions (45.1%) | |||
Communication Services (1.0%) | |||
*,1 | Alphabet Inc. Class A | 51 | 151 |
1 | Electronic Arts Inc. | 978 | 137 |
*,1 | Walt Disney Co. | 786 | 133 |
1 | Verizon Communications Inc. | 2,517 | 133 |
*,1 | Liberty Broadband Corp. Class C | 777 | 126 |
*,1 | Charter Communications Inc. Class A | 183 | 124 |
1 | Sirius XM Holdings Inc. | 19,632 | 120 |
1 | Comcast Corp. Class A | 2,319 | 119 |
1 | AT&T Inc. | 4,660 | 118 |
1 | Activision Blizzard Inc. | 1,475 | 115 |
*,1 | T-Mobile US Inc. | 507 | 58 |
*,1 | Madison Square Garden Sports Corp. | 209 | 40 |
1,374 | |||
Consumer Discretionary (5.6%) | |||
*,2 | GrandVision NV | 61,606 | 2,022 |
* | Sportsman's Warehouse Holdings Inc. | 113,176 | 1,953 |
* | Veoneer Inc. | 15,000 | 528 |
1 | Pool Corp. | 299 | 154 |
1 | Service Corp. International | 2,246 | 154 |
1 | Home Depot Inc. | 412 | 153 |
1 | Tractor Supply Co. | 694 | 151 |
1 | NIKE Inc. Class B | 891 | 149 |
1 | Columbia Sportswear Co. | 1,400 | 145 |
1 | Genuine Parts Co. | 1,095 | 144 |
1 | McDonald's Corp. | 584 | 143 |
*,1 | Amazon.com Inc. | 42 | 142 |
*,1 | O'Reilly Automotive Inc. | 225 | 140 |
*,1 | AutoZone Inc. | 78 | 139 |
1 | Domino's Pizza Inc. | 284 | 139 |
1 | Dollar General Corp. | 623 | 138 |
1 | Gentex Corp. | 3,825 | 135 |
1 | Yum! Brands Inc. | 1,081 | 135 |
1 | Starbucks Corp. | 1,208 | 128 |
1 | VF Corp. | 1,750 | 128 |
1 | TJX Cos. Inc. | 1,928 | 126 |
1 | Wendy's Co. | 5,516 | 123 |
1 | Yum China Holdings Inc. | 2,154 | 123 |
1 | Garmin Ltd. | 855 | 123 |
1 | Newell Brands Inc. | 5,319 | 122 |
*,1 | Chipotle Mexican Grill Inc. Class A | 62 | 110 |
Shares | Market Value• ($000) | ||
*,1 | frontdoor Inc. | 1,564 | 58 |
7,705 | |||
Consumer Staples (2.5%) | |||
Sanderson Farms Inc. | 7,630 | 1,445 | |
1 | Costco Wholesale Corp. | 303 | 149 |
1 | Archer-Daniels-Midland Co. | 2,274 | 146 |
1 | PepsiCo Inc. | 884 | 143 |
1 | Coca-Cola Co. | 2,527 | 142 |
1 | Flowers Foods Inc. | 5,518 | 136 |
1 | Kimberly-Clark Corp. | 1,043 | 135 |
1 | J M Smucker Co. | 1,099 | 135 |
1 | Mondelez International Inc. Class A | 2,205 | 134 |
1 | Procter & Gamble Co. | 914 | 131 |
1 | McCormick & Co. Inc. | 1,604 | 129 |
1 | Brown-Forman Corp. Class B | 1,880 | 128 |
1 | Colgate-Palmolive Co. | 1,635 | 124 |
*,1 | Post Holdings Inc. | 1,200 | 122 |
1 | Altria Group Inc. | 2,743 | 121 |
Hershey Co. | 226 | 40 | |
1 | Church & Dwight Co. Inc. | 447 | 39 |
1 | Philip Morris International Inc. | 366 | 35 |
3,434 | |||
Energy (0.4%) | |||
1 | Chevron Corp. | 1,283 | 147 |
1 | Williams Cos. Inc. | 4,949 | 139 |
1 | Kinder Morgan Inc. | 7,764 | 130 |
1 | Cheniere Energy Inc. | 641 | 66 |
482 | |||
Financials (3.9%) | |||
Marlin Business Services Corp. | 90,951 | 2,085 | |
* | Franklin BSP Realty Trust Inc. REIT | 64,072 | 1,051 |
1 | Intercontinental Exchange Inc. | 1,153 | 160 |
1 | Aon plc Class A (XNYS) | 497 | 159 |
1 | Ares Management Corp. Class A | 1,851 | 157 |
*,1 | Markel Corp. | 115 | 151 |
1 | Arthur J Gallagher & Co. | 897 | 150 |
1 | W R Berkley Corp. | 1,876 | 149 |
*,1 | Berkshire Hathaway Inc. Class B | 512 | 147 |
1 | Marsh & McLennan Cos. Inc. | 875 | 146 |
1 | Brown & Brown Inc. | 2,227 | 141 |
1 | CNA Financial Corp. | 3,018 | 135 |
*,1 | Alleghany Corp. | 202 | 132 |
Shares | Market Value• ($000) | ||
1 | TFS Financial Corp. | 6,660 | 130 |
1 | Annaly Capital Management Inc. | 15,312 | 129 |
1 | Allstate Corp. | 1,037 | 128 |
1 | AGNC Investment Corp. | 7,713 | 123 |
1 | T Rowe Price Group Inc. | 149 | 32 |
1 | White Mountains Insurance Group Ltd. | 19 | 20 |
1 | Hanover Insurance Group Inc. | 100 | 13 |
5,338 | |||
Health Care (13.1%) | |||
* | PPD Inc. | 50,000 | 2,358 |
* | Kadmon Holdings Inc. | 230,000 | 2,173 |
* | Trillium Therapeutics Inc. | 120,000 | 2,173 |
* | Intersect ENT Inc. | 72,500 | 1,955 |
* | Acceleron Pharma Inc. | 11,100 | 1,933 |
* | Soliton Inc. | 93,130 | 1,918 |
* | Itamar Medical Ltd. ADR | 52,634 | 1,605 |
* | Change Healthcare Inc. | 14,000 | 301 |
1 | Merck & Co. Inc. | 1,779 | 157 |
1 | STERIS plc | 658 | 154 |
1 | UnitedHealth Group Inc. | 325 | 150 |
1 | Abbott Laboratories | 1,158 | 149 |
1 | Thermo Fisher Scientific Inc. | 233 | 148 |
*,1 | QIAGEN NV | 2,655 | 148 |
1 | CVS Health Corp. | 1,598 | 143 |
1 | Danaher Corp. | 460 | 143 |
1 | West Pharmaceutical Services Inc. | 330 | 142 |
*,1 | Mettler-Toledo International Inc. | 95 | 141 |
1 | Chemed Corp. | 288 | 139 |
1 | Cooper Cos. Inc. | 331 | 138 |
1 | Baxter International Inc. | 1,732 | 137 |
1 | Quest Diagnostics Inc. | 930 | 137 |
1 | AmerisourceBergen Corp. Class A | 1,104 | 135 |
1 | Cerner Corp. | 1,818 | 135 |
1 | Pfizer Inc. | 3,087 | 135 |
1 | Agilent Technologies Inc. | 850 | 134 |
*,1 | Henry Schein Inc. | 1,728 | 132 |
1 | Becton Dickinson and Co. | 542 | 130 |
1 | Johnson & Johnson | 801 | 130 |
1 | Medtronic plc | 1,010 | 121 |
*,1 | IDEXX Laboratories Inc. | 180 | 120 |
1 | Amgen Inc. | 564 | 117 |
1 | Zoetis Inc. | 525 | 113 |
1 | Bristol-Myers Squibb Co. | 1,749 | 102 |
*,1 | DaVita Inc. | 326 | 34 |
17,980 | |||
Industrials (5.3%) | |||
Aerojet Rocketdyne Holdings Inc. | 43,500 | 1,915 | |
IHS Markit Ltd. | 10,000 | 1,307 | |
* | Echo Global Logistics Inc. | 10,000 | 482 |
* | PAE Inc. | 20,000 | 198 |
1 | Norfolk Southern Corp. | 533 | 156 |
1 | AMERCO | 209 | 154 |
1 | Republic Services Inc. Class A | 1,144 | 154 |
1 | Fastenal Co. | 2,670 | 153 |
1 | Carlisle Cos. Inc. | 670 | 149 |
1 | General Dynamics Corp. | 724 | 147 |
1 | Roper Technologies Inc. | 300 | 146 |
1 | Illinois Tool Works Inc. | 635 | 145 |
1 | Waste Management Inc. | 904 | 145 |
Shares | Market Value• ($000) | ||
1 | IDEX Corp. | 644 | 143 |
1 | Verisk Analytics Inc. Class A | 677 | 142 |
1 | AMETEK Inc. | 1,066 | 141 |
1 | Hubbell Inc. Class B | 700 | 140 |
1 | Northrop Grumman Corp. | 386 | 138 |
1 | Honeywell International Inc. | 625 | 137 |
1 | Expeditors International of Washington Inc. | 1,104 | 136 |
1 | Lockheed Martin Corp. | 391 | 130 |
1 | Allegion plc | 992 | 127 |
1 | PACCAR Inc. | 1,391 | 125 |
1 | Ingersoll Rand Inc. | 2,250 | 121 |
1 | Lennox International Inc. | 394 | 118 |
*,1 | Dun & Bradstreet Holdings Inc. | 6,205 | 117 |
1 | Cummins Inc. | 481 | 115 |
1 | BWX Technologies Inc. | 1,854 | 105 |
1 | Schneider National Inc. Class B | 1,475 | 37 |
7,223 | |||
Information Technology (5.2%) | |||
* | Nuance Communications Inc. | 51,000 | 2,808 |
1 | Intuit Inc. | 261 | 163 |
1 | Automatic Data Processing Inc. | 697 | 156 |
1 | Microsoft Corp. | 469 | 156 |
1 | Paychex Inc. | 1,241 | 153 |
1 | Juniper Networks Inc. | 5,135 | 152 |
1 | Motorola Solutions Inc. | 611 | 152 |
1 | SS&C Technologies Holdings Inc. | 1,905 | 151 |
1 | Accenture plc Class A | 417 | 150 |
1 | Broadcom Inc. | 277 | 147 |
1 | Oracle Corp. | 1,533 | 147 |
1 | Broadridge Financial Solutions Inc. | 813 | 145 |
*,1 | Keysight Technologies Inc. | ��� 807 | 145 |
*,1 | Synopsys Inc. | 436 | 145 |
1 | Amdocs Ltd. | 1,864 | 145 |
*,1 | Adobe Inc. | 218 | 142 |
1 | Amphenol Corp. Class A | 1,851 | 142 |
1 | Analog Devices Inc. | 806 | 140 |
1 | Apple Inc. | 928 | 139 |
1 | CDW Corp. | 744 | 139 |
*,1 | VeriSign Inc. | 618 | 138 |
1 | Texas Instruments Inc. | 722 | 135 |
1 | Jack Henry & Associates Inc. | 802 | 134 |
1 | Visa Inc. Class A | 619 | 131 |
*,1 | Akamai Technologies Inc. | 1,207 | 127 |
1 | International Business Machines Corp. | 999 | 125 |
1 | Dolby Laboratories Inc. Class A | 1,398 | 124 |
*,1 | Black Knight Inc. | 1,725 | 121 |
*,1 | Fiserv Inc. | 1,233 | 121 |
1 | CDK Global Inc. | 2,652 | 115 |
1 | Fidelity National Information Services Inc. | 981 | 109 |
1 | Western Union Co. | 5,678 | 103 |
1 | Mastercard Inc. Class A | 183 | 61 |
7,161 | |||
Materials (3.3%) | |||
* | Domtar Corp. | 35,005 | 1,911 |
* | Ferro Corp. | 39,357 | 827 |
* | Forterra Inc. | 26,284 | 626 |
1 | Air Products and Chemicals Inc. | 503 | 151 |
Shares | Market Value• ($000) | ||
1 | Sherwin-Williams Co. | 467 | 148 |
1 | RPM International Inc. | 1,580 | 138 |
1 | Ecolab Inc. | 618 | 137 |
1 | Packaging Corp. of America | 979 | 135 |
1 | Avery Dennison Corp. | 611 | 133 |
1 | Ball Corp. | 1,458 | 133 |
1 | Sonoco Products Co. | 1,465 | 85 |
1 | Reliance Steel & Aluminum Co. | 301 | 44 |
4,468 | |||
Real Estate (1.6%) | |||
1 | Life Storage Inc. | 1,192 | 160 |
1 | Camden Property Trust | 951 | 155 |
1 | Extra Space Storage Inc. | 778 | 154 |
1 | Duke Realty Corp. | 2,680 | 151 |
1 | Invitation Homes Inc. | 3,600 | 148 |
1 | Mid-America Apartment Communities Inc. | 717 | 146 |
1 | Equity Residential | 1,662 | 144 |
1 | CoreSite Realty Corp. | 1,005 | 143 |
1 | Public Storage | 429 | 143 |
1 | AvalonBay Communities Inc. | 600 | 142 |
1 | Sun Communities Inc. | 726 | 142 |
1 | Alexandria Real Estate Equities Inc. | 690 | 141 |
1 | American Homes 4 Rent Class A | 3,431 | 139 |
1 | UDR Inc. | 2,503 | 139 |
1 | CubeSmart | 2,352 | 129 |
1 | Equinix Inc. | 75 | 63 |
2,239 | |||
Utilities (3.2%) | |||
PNM Resources Inc. | 46,000 | 2,288 | |
1 | Exelon Corp. | 2,767 | 147 |
1 | NextEra Energy Inc. | 1,726 | 147 |
1 | American Electric Power Co. Inc. | 1,661 | 141 |
1 | Duke Energy Corp. | 1,385 | 141 |
1 | Atmos Energy Corp. | 1,478 | 136 |
1 | OGE Energy Corp. | 3,982 | 136 |
1 | IDACORP Inc. | 1,281 | 134 |
1 | CMS Energy Corp. | 2,204 | 133 |
1 | Dominion Energy Inc. | 1,736 | 132 |
1 | Alliant Energy Corp. | 2,291 | 130 |
1 | Ameren Corp. | 1,549 | 130 |
1 | DTE Energy Co. | 1,108 | 126 |
1 | Southern Co. | 2,019 | 126 |
1 | Consolidated Edison Inc. | 1,657 | 125 |
PPL Corp. | 4,316 | 124 | |
1 | Avangrid Inc. | 2,317 | 122 |
4,418 | |||
Total Common Stocks—Long Positions (Cost $53,046) | 61,822 | ||
Temporary Cash Investments (44.2%) | |||
Money Market Fund (44.2%) | |||
3 | Vanguard Market Liquidity Fund, 0.070% (Cost $60,604) | 606,098 | 60,610 |
Common Stocks Sold Short (-10.7%) | |||
Communication Services (-0.6%) | |||
Lumen Technologies Inc. | (10,425) | (124) | |
* | Roku Inc. | (384) | (117) |
ViacomCBS Inc. Class B | (3,176) | (115) | |
* | TripAdvisor Inc. | (3,320) | (109) |
Shares | Market Value• ($000) | ||
* | Discovery Inc. Class C | (4,795) | (108) |
* | Zillow Group Inc. Class A | (971) | (103) |
* | Pinterest Inc. Class A | (2,207) | (99) |
(775) | |||
Consumer Discretionary (-1.6%) | |||
* | Tesla Inc. | (148) | (165) |
* | Etsy Inc. | (644) | (161) |
* | Capri Holdings Ltd. | (2,522) | (134) |
* | Carvana Co. Class A | (443) | (134) |
* | PVH Corp. | (1,223) | (134) |
* | Royal Caribbean Cruises Ltd. | (1,548) | (131) |
* | Norwegian Cruise Line Holdings Ltd. | (5,057) | (130) |
* | DoorDash Inc. Class A | (665) | (129) |
* | Nordstrom Inc. | (4,413) | (127) |
* | Wayfair Inc. Class A | (504) | (126) |
* | Peloton Interactive Inc. Class A | (1,382) | (126) |
* | Penn National Gaming Inc. | (1,760) | (126) |
* | Carnival Corp. | (5,626) | (125) |
Qurate Retail Inc. Series A | (11,309) | (118) | |
* | DraftKings Inc. Class A | (2,487) | (116) |
* | Vroom Inc. | (5,452) | (104) |
* | Wynn Resorts Ltd. | (1,109) | (100) |
MGM Resorts International | (472) | (22) | |
(2,208) | |||
Consumer Staples (-0.1%) | |||
* | Coty Inc. Class A | (14,567) | (124) |
Energy (-0.8%) | |||
Occidental Petroleum Corp. | (4,611) | (155) | |
Targa Resources Corp. | (2,732) | (149) | |
Marathon Oil Corp. | (8,757) | (143) | |
Diamondback Energy Inc. | (1,330) | (142) | |
APA Corp. | (5,296) | (139) | |
Devon Energy Corp. | (3,388) | (136) | |
* | NOV Inc. | (9,413) | (132) |
New Fortress Energy Inc. Class A | (4,289) | (129) | |
(1,125) | |||
Financials (-1.2%) | |||
S&P Global Inc. | (2,838) | (1,346) | |
* | GoHealth Inc. Class A | (23,920) | (129) |
* | Upstart Holdings Inc. | (391) | (126) |
(1,601) | |||
Health Care (-1.4%) | |||
* | Certara Inc. | (3,664) | (151) |
* | 10X Genomics Inc. Class A | (827) | (134) |
* | Iovance Biotherapeutics Inc. | (5,393) | (131) |
* | Natera Inc. | (1,135) | (130) |
* | Quidel Corp. | (965) | (128) |
* | Ultragenyx Pharmaceutical Inc. | (1,510) | (127) |
* | Exact Sciences Corp. | (1,261) | (120) |
* | Sage Therapeutics Inc. | (2,973) | (120) |
* | Sarepta Therapeutics Inc. | (1,505) | (119) |
* | Adaptive Biotechnologies Corp. | (3,546) | (119) |
* | Moderna Inc. | (328) | (113) |
* | Guardant Health Inc. | (962) | (112) |
* | Novocure Ltd. | (1,036) | (106) |
* | Biogen Inc. | (391) | (104) |
* | Maravai LifeSciences Holdings Inc. Class A | (2,451) | (104) |
Shares | Market Value• ($000) | ||
* | Novavax Inc. | (592) | (88) |
(1,906) | |||
Industrials (-1.1%) | |||
* | Sunrun Inc. | (2,853) | (165) |
* | Plug Power Inc. | (4,167) | (159) |
* | Shoals Technologies Group Inc. Class A | (4,469) | (139) |
* | Uber Technologies Inc. | (2,991) | (131) |
Spirit AeroSystems Holdings Inc. Class A | (3,149) | (130) | |
* | Copa Holdings SA Class A | (1,672) | (124) |
Ingersoll Rand Inc. | (2,250) | (121) | |
* | American Airlines Group Inc. | (6,088) | (117) |
* | United Airlines Holdings Inc. | (2,472) | (114) |
ADT Inc. | (13,313) | (111) | |
* | Lyft Inc. Class A | (2,333) | (107) |
* | Hexcel Corp. | (1,373) | (78) |
* | JetBlue Airways Corp. | (890) | (12) |
(1,508) | |||
Information Technology (-3.1%) | |||
* | Wolfspeed Inc. | (1,490) | (179) |
* | Enphase Energy Inc. | (710) | (164) |
Brooks Automation Inc. | (1,369) | (159) | |
* | Zscaler Inc. | (485) | (155) |
* | Datadog Inc. Class A | (929) | (155) |
* | Elastic NV | (874) | (152) |
* | Cloudflare Inc. Class A | (767) | (149) |
* | Bill.com Holdings Inc. | (503) | (148) |
* | Crowdstrike Holdings Inc. Class A | (520) | (147) |
* | Everbridge Inc. | (921) | (147) |
* | Anaplan Inc. | (2,243) | (146) |
* | Pure Storage Inc. Class A | (5,407) | (145) |
* | MongoDB Inc. Class A | (279) | (145) |
* | Dynatrace Inc. | (1,905) | (143) |
* | Snowflake Inc. Class A | (398) | (141) |
* | Teradata Corp. | (2,479) | (140) |
* | Unity Software Inc. | (919) | (139) |
* | Palantir Technologies Inc. Class A | (5,204) | (135) |
Ubiquiti Inc. | (438) | (134) | |
* | Trade Desk Inc. Class A | (1,758) | (132) |
* | DXC Technology Co. | (3,807) | (124) |
* | DocuSign Inc. Class A | (436) | (121) |
* | Alteryx Inc. Class A | (1,617) | (118) |
* | StoneCo Ltd. Class A | (3,465) | (117) |
* | Sabre Corp. | (11,155) | (116) |
* | Mandiant Inc. | (6,653) | (116) |
* | Twilio Inc. Class A | (372) | (108) |
Shares | Market Value• ($000) | ||
* | Zoom Video Communications Inc. Class A | (381) | (105) |
Alliance Data Systems Corp. | (1,206) | (103) | |
* | Shift4 Payments Inc. Class A | (1,552) | (98) |
* | CommScope Holding Co. Inc. | (6,891) | (74) |
* | Wix.com Ltd. | (94) | (17) |
* | Square Inc. Class A | (61) | (16) |
(4,188) | |||
Materials (-0.5%) | |||
Olin Corp. | (2,733) | (156) | |
* | Cleveland-Cliffs Inc. | (6,074) | (146) |
United States Steel Corp. | (5,241) | (138) | |
Freeport-McMoRan Inc. | (3,444) | (130) | |
Alcoa Corp. | (2,571) | (118) | |
(688) | |||
Real Estate (-0.2%) | |||
EPR Properties | (2,649) | (133) | |
* | Park Hotels & Resorts Inc. | (6,566) | (122) |
Kimco Realty Corp. | (4,112) | (93) | |
(348) | |||
Utilities (-0.1%) | |||
Vistra Corp. | (7,312) | (143) | |
Total Common Stocks Sold Short (Proceeds $12,495) | (14,614) | ||
Other Assets and Other Liabilities—Net (21.4%) | 29,319 | ||
Net Assets (100%) | 137,137 | ||
Cost is in $000. |
• | See Note A in Notes to Consolidated Financial Statements. |
* | Non-income-producing security. |
1 | Long security positions with a value of $25,743,000 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 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2021, the aggregate value was $2,022,000, representing 1.5% of net assets. |
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. |
ADR—American Depositary Receipt. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | December 2021 | 131 | 17,122 | (356) |
2-Year U.S. Treasury Note | December 2021 | 521 | 114,229 | (485) |
5-Year U.S. Treasury Note | December 2021 | 219 | 26,663 | (392) |
AEX Index | November 2021 | 39 | 7,292 | 346 |
Copper1 | December 2021 | 11 | 1,201 | (101) |
Cotton1 | December 2021 | 57 | 3,273 | 348 |
FTSE MIB Index | December 2021 | 47 | 7,266 | 326 |
Gasoline1 | November 2021 | 19 | 1,891 | (29) |
Lean Hogs1 | December 2021 | 20 | 609 | 28 |
LME Aluminum1 | November 2021 | 8 | 543 | (95) |
LME Copper1 | November 2021 | 5 | 1,216 | (71) |
LME Lead1 | November 2021 | 23 | 1,393 | 108 |
LME Lead1 | December 2021 | 21 | 1,263 | 23 |
LME Tin1 | November 2021 | 18 | 3,468 | 390 |
LME Tin1 | December 2021 | 17 | 3,208 | (8) |
LME Zinc1 | November 2021 | 23 | 1,979 | (228) |
LME Zinc1 | December 2021 | 13 | 1,109 | (133) |
LOW SU Gasoil1 | December 2021 | 17 | 1,211 | (42) |
MSCI Singapore Index | November 2021 | 264 | 7,204 | (9) |
Natural Gas1 | November 2021 | 55 | 2,984 | (176) |
OMX Stockholm 30 Index | November 2021 | 272 | 7,245 | 174 |
S&P ASX 200 Index | December 2021 | 53 | 7,256 | (126) |
S&P TSX 60 Index | December 2021 | 36 | 7,333 | 393 |
Soybean1 | January 2022 | 10 | 625 | 17 |
Sugar1 | February 2022 | 28 | 604 | (28) |
WTI Crude Oil1 | December 2021 | 52 | 1,912 | 54 |
(72) |
Futures Contracts (continued) | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Short Futures Contracts | ||||
CAC 40 Index | November 2021 | (92) | (7,260) | (315) |
Cattle Feeder1 | January 2022 | (39) | (3,044) | 108 |
Cocoa1 | March 2022 | (119) | (3,070) | 63 |
Coffee1 | March 2022 | (8) | (620) | 15 |
DAX 30 Index | December 2021 | (16) | (7,243) | (243) |
FTSE 100 Index | December 2021 | (72) | (7,118) | (224) |
IBEX 35 Index | November 2021 | (68) | (7,111) | (127) |
KOSPI 200 Index | December 2021 | (83) | (6,892) | 504 |
Live Cattle1 | December 2021 | (60) | (3,103) | 10 |
LME Aluminum1 | December 2021 | (24) | (1,631) | 284 |
LME Aluminum1 | November 2021 | (8) | (542) | 37 |
LME Copper1 | November 2021 | (5) | (1,216) | (25) |
LME Lead1 | November 2021 | (23) | (1,393) | (27) |
LME Tin1 | November 2021 | (18) | (3,468) | (63) |
LME Zinc1 | November 2021 | (23) | (1,979) | (216) |
Soybean1 | December 2021 | (99) | (3,293) | (157) |
TOPIX Index | December 2021 | (38) | (6,643) | 68 |
Wheat1 | December 2021 | (86) | (3,323) | (32) |
Wheat1 | December 2021 | (51) | (2,004) | (86) |
(426) | ||||
(498) |
1 | Security is owned by the Vanguard ASF Portfolio, which is a wholly owned subsidiary of the Alternative Strategies Fund. |
Forward Currency Contracts | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Royal Bank of Canada | 11/10/21 | BRL | 19,050 | USD | 3,519 | — | (151) |
BNP Paribas | 11/10/21 | BRL | 840 | USD | 155 | — | (7) |
Standard Chartered Bank | 11/10/21 | CAD | 11,561 | USD | 9,141 | 200 | — |
Morgan Stanley Capital Services Inc. | 11/10/21 | GBP | 6,759 | USD | 9,168 | 83 | — |
Royal Bank of Canada | 11/10/21 | GBP | 9 | USD | 12 | — | — |
Bank of America, N.A. | 11/10/21 | MXN | 74,567 | USD | 3,620 | — | (4) |
State Street Bank & Trust Co. | 11/10/21 | MXN | 424 | USD | 21 | — | — |
Morgan Stanley Capital Services Inc. | 11/10/21 | NOK | 79,658 | USD | 9,226 | 203 | — |
Morgan Stanley Capital Services Inc. | 11/10/21 | RUB | 265,677 | USD | 3,626 | 114 | — |
Standard Chartered Bank | 11/10/21 | TRY | 32,429 | USD | 3,597 | — | (240) |
Morgan Stanley Capital Services Inc. | 11/10/21 | ZAR | 54,917 | USD | 3,670 | — | (78) |
Morgan Stanley Capital Services Inc. | 11/10/21 | USD | 9,164 | CHF | 8,513 | — | (136) |
State Street Bank & Trust Co. | 11/10/21 | USD | 11,170 | EUR | 9,624 | 43 | — |
Morgan Stanley Capital Services Inc. | 11/10/21 | USD | 3,658 | ILS | 11,776 | — | (63) |
BNP Paribas | 11/10/21 | USD | 3,603 | PLN | 14,247 | 32 | — |
Morgan Stanley Capital Services Inc. | 11/10/21 | USD | 63 | PLN | 249 | 1 | — |
Forward Currency Contracts (continued) | |||||||
Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
Counterparty | Receive | Deliver | |||||
Morgan Stanley Capital Services Inc. | 11/10/21 | USD | 9,116 | SEK | 79,835 | — | (181) |
State Street Bank & Trust Co. | 11/10/21 | USD | 3,656 | SGD | 4,955 | — | (18) |
Standard Chartered Bank | 11/10/21 | USD | 3,665 | THB | 123,503 | — | (57) |
Morgan Stanley Capital Services Inc. | 11/10/21 | USD | 3,662 | TWD | 101,695 | 5 | — |
681 | (935) |
BRL—Brazilian real. |
CAD—Canadian dollar. |
CHF—Swiss franc. |
EUR—euro. |
GBP—British pound. |
ILS—Israeli shekel. |
MXN—Mexican peso. |
NOK—Norwegian krone. |
PLN—Polish zloty. |
RUB—Russian ruble. |
SEK—Swedish krona. |
SGD—Singapore dollar. |
THB—Thai baht. |
TRY—Turkish lira. |
TWD—Taiwanese dollar. |
USD—U.S. dollar. |
ZAR—South African rand. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $53,046) | 61,822 |
Affiliated Issuers (Cost $60,604) | 60,610 |
Total Investments in Securities | 122,432 |
Investment in Vanguard | 6 |
Cash | 12,755 |
Cash Segregated for Short Positions | 8,794 |
Cash Collateral Pledged—Futures Contracts | 8,820 |
Receivables for Accrued Income | 59 |
Receivables for Capital Shares Issued | 57 |
Unrealized Appreciation—Forward Currency Contracts | 681 |
Other Assets | 1,975 |
Total Assets | 155,579 |
Liabilities | |
Securities Sold Short, at Value (Proceeds $12,495) | 14,614 |
Payables for Investment Securities Purchased | 555 |
Payables to Vanguard | 57 |
Variation Margin Payable—Futures Contracts | 2,227 |
Unrealized Depreciation—Forward Currency Contracts | 935 |
Accrued Dividend Expense on Securities Sold Short | 2 |
Payables to Broker-Dealer | 52 |
Total Liabilities | 18,442 |
Net Assets | 137,137 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 171,453 |
Total Distributable Earnings (Loss) | (34,316) |
Net Assets | 137,137 |
Net Assets | |
Applicable to 8,066,408 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 137,137 |
Net Asset Value Per Share | $17.00 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,764 |
Interest2 | 61 |
Total Income | 1,825 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 162 |
Management and Administrative | 306 |
Marketing and Distribution | 28 |
Custodian Fees | 53 |
Auditing Fees | 59 |
Shareholders’ Reports | 5 |
Trustees’ Fees and Expenses—Note B | 15 |
Dividend Expense on Securities Sold Short | 649 |
Borrowing Expense on Securities Sold Short | 987 |
Total Expenses | 2,264 |
Net Investment Income (Loss) | (439) |
Realized Net Gain (Loss) | |
Investment Securities Sold—Long Positions2 | 19,456 |
Investment Securities Sold—Short Positions | (18,273) |
Futures Contracts | 677 |
Forward Currency Contracts | 5,051 |
Foreign Currencies | 173 |
Realized Net Gain (Loss) | 7,084 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Long Positions2 | (4,880) |
Investment Securities—Short Positions | (1,792) |
Futures Contracts | (2,442) |
Forward Currency Contracts | 697 |
Foreign Currencies | (418) |
Change in Unrealized Appreciation (Depreciation) | (8,835) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,190) |
1 | Dividends are net of foreign withholding taxes of $24,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $66,000, $12,000, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | (439) | 433 |
Realized Net Gain (Loss) | 7,084 | (72,780) |
Change in Unrealized Appreciation (Depreciation) | (8,835) | (2,150) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,190) | (74,497) |
Distributions | ||
Total Distributions | (2,074) | (17,409) |
Capital Share Transactions | ||
Issued | 31,827 | 318,091 |
Issued in Lieu of Cash Distributions | 2,047 | 17,310 |
Redeemed | (198,840) | (234,534) |
Net Increase (Decrease) from Capital Share Transactions | (164,966) | 100,867 |
Total Increase (Decrease) | (169,230) | 8,961 |
Net Assets | ||
Beginning of Period | 306,367 | 297,406 |
End of Period | 137,137 | 306,367 |
For a Share Outstanding Throughout Each Period | Year Ended October 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $17.15 | $22.23 | $20.41 | $20.46 | $21.28 |
Investment Operations | |||||
Net Investment Income (Loss)1 | (.042) | .023 | .252 | .197 | .153 |
Net Realized and Unrealized Gain (Loss) on Investments | .020 | (3.835) | 1.828 | (.143) | (.139) |
Total from Investment Operations | (.022) | (3.812) | 2.080 | .054 | .014 |
Distributions | |||||
Dividends from Net Investment Income | (.128) | (.385) | (.260) | (.104) | (.093) |
Distributions from Realized Capital Gains | — | (.883) | — | — | (.741) |
Total Distributions | (.128) | (1.268) | (.260) | (.104) | (.834) |
Net Asset Value, End of Period | $17.00 | $17.15 | $22.23 | $20.41 | $20.46 |
Total Return2 | -0.12% | -18.17% | 10.30% | 0.27% | 0.11% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $137 | $306 | $297 | $320 | $292 |
Ratio of Total Expenses to Average Net Assets | |||||
Based on Total Expenses3,4 | 1.28% | 0.78% | 0.79%5 | 0.66%5 | 0.79% |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.35% | 0.34% | 0.38%5 | 0.33%5 | 0.35% |
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.25)% | 0.12% | 1.18% | 0.93% | 0.75% |
Portfolio Turnover Rate | 166% | 173% | 157% | 131% | 125% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes dividend expense on securities sold short of 0.37%, 0.44%, 0.41%, 0.33% and 0.44%, respectively. |
4 | Includes borrowing expense on securities sold short of 0.56%, 0.00%, 0.00%, 0.00%, and 0.00%, respectively. |
5 | The ratio of total expenses to average net assets for the periods ended 2019 and 2018, net of reduction from custody fee offset arrangement for total expenses and net of dividend and borrowing expense on securities sold short, was 0.74% and 0.33%, and 0.65% and 0.32%, 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. |
Assets Reflected in Consolidated Statement of Assets and Liabilities1 ($000) | Liabilities Reflected in Consolidated Statement of Assets and Liabilities1 ($000) | Net Amount Receivable (Payable) ($000) | Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | Net Exposure3 (Not Less Than $0) ($000) | ||
Collateral Pledged2 ($000) | Collateral Received2 ($000) | |||||
Derivatives Subject to Offsetting Arrangements, by Counterparty | ||||||
Bank of America, N.A. | — | (4) | (4) | — | — | — |
BNP Paribas | 32 | (7) | 25 | — | — | 25 |
Morgan Stanley Capital Services Inc. | 406 | (458) | (52) | — | 60 | — |
Royal Bank of Canada | — | (151) | (151) | — | — | — |
Standard Chartered Bank | 200 | (297) | (97) | — | — | — |
State Street Bank & Trust Co. | 43 | (18) | 25 | — | — | 25 |
Exchange-Traded Futures Contracts | — | (2,227) | (2,227) | 8,820 | — | — |
Total | 681 | (3,162) | (2,481) | 8,820 | 60 | 50 |
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 and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 59,800 | 2,022 | — | 61,822 |
Temporary Cash Investments | 60,610 | — | — | 60,610 |
Total | 120,410 | 2,022 | — | 122,432 |
Liabilities | ||||
Common Stocks | 14,614 | — | — | 14,614 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,296 | — | — | 3,296 |
Forward Currency Contracts | — | 681 | — | 681 |
Total | 3,296 | 681 | — | 3,977 |
Liabilities | ||||
Futures Contracts1 | 3,794 | — | — | 3,794 |
Forward Currency Contracts | — | 935 | — | 935 |
Total | 3,794 | 935 | — | 4,729 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
D. | At October 31, 2021, the fair values of derivatives were reflected in the Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities as follows: |
Consolidated Statement of Assets and Liabilities Caption | Equity Contracts ($000) | Commodity Contracts ($000) | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Unrealized Appreciation—Futures Contracts1 | 1,811 | 1,485 | — | — | 3,296 |
Unrealized Appreciation—Forward Currency Contracts | — | — | — | 681 | 681 |
Total Assets | 1,811 | 1,485 | — | 681 | 3,977 |
Unrealized Depreciation—Futures Contracts1 | 1,044 | 1,517 | 1,233 | — | 3,794 |
Unrealized Depreciation—Forward Currency Contracts | — | — | — | 935 | 935 |
Total Liabilities | 1,044 | 1,517 | 1,233 | 935 | 4,729 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Equity Contracts ($000) | Commodity Contracts ($000) | Interest Rate Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
Futures Contracts | (1,905) | 3,970 | (1,388) | — | 677 |
Forward Currency Contracts | — | — | — | 5,051 | 5,051 |
Realized Net Gain (Loss) on Derivatives | (1,905) | 3,970 | (1,388) | 5,051 | 5,728 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||||
Futures Contracts | (820) | (922) | (700) | — | (2,442) |
Forward Currency Contracts | — | — | — | 697 | 697 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (820) | (922) | (700) | 697 | (1,745) |
E. | 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, passive foreign investment companies, and operations of the subsidiary were reclassified between the individual components of total distributable earnings (loss). |
Amount ($000) | |
Undistributed Ordinary Income | 2,291 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (44,036) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 7,429 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 2,074 | 13,349 |
Long-Term Capital Gains | — | 4,060 |
Total | 2,074 | 17,409 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 113,961 |
Gross Unrealized Appreciation | 24,597 |
Gross Unrealized Depreciation | (17,105) |
Net Unrealized Appreciation (Depreciation) | 7,492 |
F. | During the year ended October 31, 2021, the fund purchased $129,068,000 of investment securities and sold $215,186,000 of investment securities, other than temporary cash investments. The proceeds of short sales and the cost of purchases to cover short sales were $36,733,000 and $75,570,000, respectively. |
G. | Capital shares issued and redeemed were: |
Year Ended October 31, | ||
2021 Shares (000) | 2020 Shares (000) | |
Issued | 1,865 | 16,660 |
Issued in Lieu of Cash Distributions | 122 | 829 |
Redeemed | (11,786) | (13,003) |
Net Increase (Decrease) in Shares Outstanding | (9,799) | 4,486 |
H. | Management has determined that no material events or transactions occurred subsequent to October 31, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisors’ Report | 2 |
About Your Fund’s Expenses | 4 |
Performance Summary | 6 |
Consolidated Financial Statements | 8 |
• | For the 12 months ended October 31, 2021, Vanguard Commodity Strategy Fund returned 52.30%, besting its benchmark, the Bloomberg Commodity Total Return Index, which returned 43.94%. |
• | The global economy continued to recover from the sharp pandemic-induced contraction in the spring of 2020. Swift and extensive fiscal and monetary support from policymakers was key to the rebound. |
• | The environment for commodities was one of the most attractive in years because of limited supply and increased demand worldwide. West Texas Intermediate Crude and natural gas, both of which were hit hard by a sharp drop in demand in 2020, recovered strongly over the past 12 months. Safe-haven commodities, such as gold, lagged. |
• | The fund outpaced its benchmark largely because of its collateral positions. It has a significant portion of short-term U.S. Treasury Inflation-Protected Securities, which outperformed Treasury bills. Positions in natural gas, soybeans, and live cattle also added value. |
• | The fund uses derivatives to obtain its exposure to commodities. Its holdings of commodity index swaps contributed to total returns. |
Average Annual Total Returns Periods Ended October 31, 2021 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 43.51% | 22.01% | 19.16% |
Russell 2000 Index (Small-caps) | 50.80 | 16.47 | 15.52 |
Russell 3000 Index (Broad U.S. market) | 43.90 | 21.62 | 18.91 |
FTSE All-World ex US Index (International) | 30.23 | 12.42 | 10.05 |
Bonds | |||
Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -0.48% | 5.63% | 3.10% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 2.64 | 5.17 | 3.41 |
FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 1.08 | 1.12 |
CPI | |||
Consumer Price Index | 6.22% | 3.03% | 2.73% |
• | 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 October 31, 2021 | |||
Commodity Strategy Fund | Beginning Account Value 4/30/2021 | Ending Account Value 10/31/2021 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,178.40 | $1.10 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.20 | 1.02 |
Average Annual Total Returns Periods Ended October 31, 2021 | ||||
One Year | Since Inception (6/25/2019) | Final Value of a $50,000 Investment | ||
Commodity Strategy Fund | 52.30% | 18.51% | $74,531 | |
Bloomberg Commodity Index Total Return | 43.94 | 12.27 | 65,628 |
U.S. Government Securities | 100.0% |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
U.S. Government and Agency Obligations (67.9%) | ||||||
U.S. Government Securities (67.9%) | ||||||
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/22 | 62,845 | 63,404 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/22 | 61,380 | 62,541 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/22 | 59,112 | 60,774 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 72,590 | 75,358 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 4/15/23 | 61,775 | 64,931 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/23 | 70,197 | 74,277 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/24 | 66,969 | 71,678 | ||
United States Treasury Inflation Indexed Bonds | 0.500% | 4/15/24 | 37,379 | 40,077 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/24 | 61,476 | 65,914 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/24 | 53,576 | 57,569 | ||
United States Treasury Inflation Indexed Bonds | 0.250% | 1/15/25 | 58,004 | 62,581 | ||
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/25 | 39,209 | 45,108 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/25 | 44,184 | 47,609 | ||
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/25 | 61,398 | 67,260 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/25 | 53,428 | 58,061 | ||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 52,220 | 57,850 | ||
United States Treasury Inflation Indexed Bonds | 2.000% | 1/15/26 | 27,534 | 32,189 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/26 | 45,029 | 49,040 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 51,120 | 56,033 | ||
United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/26 | 30,129 | 33,024 | ||
Total U.S. Government and Agency Obligations (Cost $1,130,304) | 1,145,278 | |||||
Shares | ||||||
Temporary Cash Investments (33.2%) | ||||||
Money Market Fund (12.4%) | ||||||
1 | Vanguard Market Liquidity Fund | 0.070% | 2,090,636 | 209,064 | ||
Maturity Date | Face Amount ($000) | |||||
U.S. Government and Agency Obligations (20.8%) | ||||||
2 | United States Cash Management Bill | 0.045% | 1/25/22 | 21,000 | 20,997 | |
2,3 | United States Treasury Bill | 0.044% | 11/12/21 | 25,000 | 25,000 | |
2 | United States Treasury Bill | 0.005% | 11/16/21 | 50,000 | 49,999 | |
2 | United States Treasury Bill | 0.010% | 11/18/21 | 30,000 | 29,999 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | United States Treasury Bill | 0.020% | 11/23/21 | 30,000 | 29,999 | |
2,3 | United States Treasury Bill | 0.020% | 11/26/21 | 50,000 | 49,998 | |
2 | United States Treasury Bill | 0.054% | 11/30/21 | 25,000 | 24,999 | |
2,3 | United States Treasury Bill | 0.019%–0.044% | 12/2/21 | 46,000 | 45,998 | |
2 | United States Treasury Bill | 0.043% | 1/20/22 | 30,000 | 29,996 | |
2 | United States Treasury Bill | 0.041% | 1/27/22 | 30,000 | 29,996 | |
2 | United States Treasury Bill | 0.047% | 2/3/22 | 12,900 | 12,898 | |
349,879 | ||||||
Total Temporary Cash Investments (Cost $558,940) | 558,943 | |||||
Total Investments (101.1%) (Cost $1,689,244) | 1,704,221 | |||||
Other Assets and Liabilities—Net (-1.1%) | (18,695) | |||||
Net Assets (100%) | 1,685,526 | |||||
Cost is in $000. |
• | See Note A in Notes to Consolidated Financial Statements. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
2 | Security is owned by the Vanguard CSF Portfolio, which is a wholly owned subsidiary of the Commodity Strategy Fund. |
3 | Securities with a value of $11,765,000 have been segregated as collateral for open over-the-counter swap contracts. |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Bloomberg Commodity Index2 | 11/12/21 | MLI | 230,000 | (0.060) | 1,374 | (164) |
Bloomberg Commodity Index2 | 11/22/21 | BARC | 55,000 | (0.100) | — | (1,291) |
Bloomberg Commodity Index 2 Month Forward2 | 11/22/21 | BARC | 160,000 | (0.110) | — | (3,707) |
Bloomberg Commodity Index 3 Month Forward2 | 11/22/21 | GSI | 15,000 | (0.120) | — | (350) |
BofA Merrill Lynch Commodity MLBXSTGV Excess Return Strategy2,3 | 11/12/21 | MLI | 295,000 | (0.110) | 934 | (745) |
BofA Merrill Lynch Commodity MLCILP3E Excess Return Strategy2,3 | 11/12/21 | MLI | 15,000 | (0.140) | 59 | — |
BofA Merrill Lynch MLBXAKSV Excess Return Index2,3 | 11/12/21 | MLI | 120,000 | (0.170) | 1,300 | — |
Credit Suisse Custom 34 - 01E Forward Excess Return2,3 | 11/22/21 | CSFBI | 395,000 | (0.160) | — | (8,390) |
Over-the-Counter Total Return Swaps (continued) | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Goldman Sachs Commodity i-Select Strategy 11292,3 | 11/22/21 | GSI | 395,000 | (0.120) | — | (8,082) |
Modified Strategy DBS18 on the Bloomberg Commodity Index2,3 | 11/22/21 | GSI | 45,000 | (0.120) | — | (755) |
3,667 | (23,484) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
2 | Security is owned by the subsidiary. |
3 | Information on the components of the reference entity is available on www.vanguard.com |
1M—1-month. | |
BARC—Barclays Bank plc. | |
CSFBI—Credit Suisse. | |
GSI—Goldman Sachs International. | |
MLI—Merrill Lynch International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,480,190) | 1,495,157 |
Affiliated Issuers (Cost $209,054) | 209,064 |
Total Investments in Securities | 1,704,221 |
Investment in Vanguard | 53 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 3,110 |
Receivables for Investment Securities Sold | 32,806 |
Receivables for Accrued Income | 1,018 |
Receivables for Capital Shares Issued | 3,100 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 3,667 |
Total Assets | 1,747,975 |
Liabilities | |
Due to Custodian | 2,929 |
Payables for Investment Securities Purchased | 33,066 |
Payables for Capital Shares Redeemed | 2,803 |
Payables to Vanguard | 167 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 23,484 |
Total Liabilities | 62,449 |
Net Assets | 1,685,526 |
At October 31, 2021, net assets consisted of: | |
Paid-in Capital | 1,289,116 |
Total Distributable Earnings (Loss) | 396,410 |
Net Assets | 1,685,526 |
Net Assets | |
Applicable to 45,744,402 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,685,526 |
Net Asset Value Per Share | $36.85 |
Year Ended October 31, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 31,046 |
Total Income | 31,046 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 188 |
Management and Administrative | 1,822 |
Marketing and Distribution | 35 |
Custodian Fees | 10 |
Auditing Fees | 47 |
Shareholders’ Reports | 9 |
Trustees’ Fees and Expenses—Note B | 9 |
Total Expenses | 2,120 |
Net Investment Income | 28,926 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (191) |
Swap Contracts | 364,416 |
Realized Net Gain (Loss) | 364,225 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 10,197 |
Swap Contracts | (10,869) |
Change in Unrealized Appreciation (Depreciation) | (672) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 392,479 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $87,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended October 31, | ||
2021 ($000) | 2020 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 28,926 | 3,256 |
Realized Net Gain (Loss) | 364,225 | 2,360 |
Change in Unrealized Appreciation (Depreciation) | (672) | (3,292) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 392,479 | 2,324 |
Distributions | ||
Total Distributions | (2,526) | (1,458) |
Capital Share Transactions | ||
Issued | 1,233,852 | 310,858 |
Issued in Lieu of Cash Distributions | 2,099 | 1,346 |
Redeemed | (313,092) | (147,645) |
Net Increase (Decrease) from Capital Share Transactions | 922,859 | 164,559 |
Total Increase (Decrease) | 1,312,812 | 165,425 |
Net Assets | ||
Beginning of Period | 372,714 | 207,289 |
End of Period | 1,685,526 | 372,714 |
For a Share Outstanding Throughout Each Period | Year Ended October 31, | June 25, 20191 to October 31, 2019 | |
2021 | 2020 | ||
Net Asset Value, Beginning of Period | $24.32 | $24.83 | $25.00 |
Investment Operations | |||
Net Investment Income2 | .890 | .265 | .143 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.774 | (.620) | (.313) |
Total from Investment Operations | 12.664 | (.355) | (.170) |
Distributions | |||
Dividends from Net Investment Income | (.134) | (.155) | — |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (.134) | (.155) | — |
Net Asset Value, End of Period | $36.85 | $24.32 | $24.83 |
Total Return3 | 52.30% | -1.45% | -0.68% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $1,686 | $373 | $207 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20%4 |
Ratio of Net Investment Income to Average Net Assets | 2.79% | 1.15% | 1.65%4 |
Portfolio Turnover Rate | 15% | 38% | 7% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 | Annualized. |
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. |
Assets Reflected in Consolidated Statement of Assets and Liabilities1 ($000) | Liabilities Reflected in Consolidated Statement of Assets and Liabilities1 ($000) | Net Amount Receivable (Payable) ($000) | Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | Net Exposure3 (Not Less Than $0) ($000) | ||
Collateral Pledged2 ($000) | Collateral Received2 ($000) | |||||
Derivatives Subject to Offsetting Arrangements, by Counterparty | ||||||
Barclays Bank plc | — | (4,998) | (4,998) | 3,110 | — | — |
Credit Suisse | — | (8,390) | (8,390) | 5,775 | — | — |
Goldman Sachs International | — | (9,187) | (9,187) | 5,990 | — | — |
Merrill Lynch International | 3,667 | (909) | 2,758 | — | 7,670 | — |
Total | 3,667 | (23,484) | (19,817) | 14,875 | 7,670 | — |
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 and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
U.S. Government and Agency Obligations | — | 1,145,278 | — | 1,145,278 |
Temporary Cash Investments | 209,064 | 349,879 | — | 558,943 |
Total | 209,064 | 1,495,157 | — | 1,704,221 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 3,667 | — | 3,667 |
Liabilities | ||||
Swap Contracts | — | 23,484 | — | 23,484 |
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 operations of the subsidiary were reclassified between the individual components of total distributable earnings (loss). |
Amount ($000) | |
Undistributed Ordinary Income | 382,251 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (560) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 14,719 |
Year Ended October 31, | ||
2021 Amount ($000) | 2020 Amount ($000) | |
Ordinary Income* | 2,526 | 1,458 |
Long-Term Capital Gains | — | — |
Total | 2,526 | 1,458 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,689,502 |
Gross Unrealized Appreciation | 15,681 |
Gross Unrealized Depreciation | (962) |
Net Unrealized Appreciation (Depreciation) | 14,719 |
E. | During the year ended October 31, 2021, the fund purchased $887,871,000 of investment securities and sold $102,093,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Year Ended October 31, | ||
2021 Shares (000) | 2020 Shares (000) | |
Issued | 40,091 | 13,549 |
Issued in Lieu of Cash Distributions | 81 | 53 |
Redeemed | (9,752) | (6,625) |
Net Increase (Decrease) in Shares Outstanding | 30,420 | 6,977 |
G. | Management has determined that no events or transactions occurred subsequent to October 31, 2021, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
December 17, 2021
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
John T. Marcante | Lauren Valente |
Chris D. Mclsaac |
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 October 31, 2021: $192,000
Fiscal Year Ended October 31, 2020: $191,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended October 31, 2021: $11,244,694
Fiscal Year Ended October 31, 2020: $10,761,407
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 October 31, 2021: $2,955,181
Fiscal Year Ended October 31, 2020: $2,915,863
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 October 31, 2021: $2,047,574
Fiscal Year Ended October 31, 2020: $247,168
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 October 31, 2021: $280,000
Fiscal Year Ended October 31, 2020: $115,000
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 October 31, 2021: $2,327,574
Fiscal Year Ended October 31, 2020: $362,168
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 field 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 TRUSTEES’ EQUITY FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: December 20, 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 TRUSTEES’ EQUITY FUND | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: December 20, 2021
VANGUARD TRUSTEES’ EQUITY FUND | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: December 20, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.