Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
(unaudited)
As of March 31, 2021
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (100.0%) | ||||||
Basic Materials (1.5%) | ||||||
Royal Gold Inc. | 1,046,476 | 112,622 | ||||
* | RBC Bearings Inc. | 400,737 | 78,853 | |||
Balchem Corp. | 516,141 | 64,729 | ||||
NewMarket Corp. | 139,140 | 52,895 | ||||
Quaker Chemical Corp. | 212,942 | 51,909 | ||||
* | Ingevity Corp. | 644,968 | 48,714 | |||
* | Livent Corp. | 2,337,528 | 40,486 | |||
GrafTech International Ltd. | 2,759,628 | 33,750 | ||||
* | Amyris Inc. | 1,051,059 | 20,075 | |||
*,1 | MP Materials Corp. | 476,623 | 17,135 | |||
* | Century Aluminum Co. | 791,429 | 13,977 | |||
American Vanguard Corp. | 410,456 | 8,378 | ||||
543,523 | ||||||
Consumer Discretionary (14.6%) | ||||||
Pool Corp. | 609,662 | 210,480 | ||||
* | Chegg Inc. | 2,126,184 | 182,129 | |||
* | Five Below Inc. | 891,299 | 170,051 | |||
* | Zynga Inc. Class A | 16,354,435 | 166,979 | |||
* | Bright Horizons Family Solutions Inc. | 966,406 | 165,690 | |||
* | RH | 260,407 | 155,359 | |||
* | Floor & Decor Holdings Inc. Class A | 1,582,018 | 151,051 | |||
Gentex Corp. | 3,887,887 | 138,681 | ||||
* | Caesars Entertainment Inc. | 1,578,582 | 138,047 | |||
* | Liberty Media Corp.-Liberty Formula One Class C | 3,085,101 | 133,554 | |||
* | Penn National Gaming Inc. | 1,238,968 | 129,893 | |||
Churchill Downs Inc. | 552,501 | 125,650 | ||||
* | SiteOne Landscape Supply Inc. | 706,414 | 120,613 | |||
* | IAA Inc. | 2,146,466 | 118,356 | |||
Tempur Sealy International Inc. | 2,948,063 | 107,781 | ||||
* | Planet Fitness Inc. Class A | 1,325,036 | 102,425 | |||
* | Texas Roadhouse Inc. Class A | 1,054,605 | 101,179 | |||
* | Vail Resorts Inc. | 321,548 | 93,783 | |||
Nexstar Media Group Inc. Class A | 667,257 | 93,703 | ||||
* | Skechers USA Inc. Class A | 2,180,156 | 90,934 | |||
* | YETI Holdings Inc. | 1,250,409 | 90,292 | |||
* | Fox Factory Holding Corp. | 666,528 | 84,689 | |||
* | Grand Canyon Education Inc. | 747,306 | 80,036 | |||
* | Crocs Inc. | 990,876 | 79,716 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 886,227 | 77,102 | |||
* | Deckers Outdoor Corp. | 224,494 | 74,177 | |||
* | Boyd Gaming Corp. | 1,247,426 | 73,548 |
Shares | Market Value ($000) | |||||
* | frontdoor Inc. | 1,366,333 | 73,440 | |||
* | Sonos Inc. | 1,908,738 | 71,520 | |||
* | Shake Shack Inc. Class A | 592,290 | 66,793 | |||
Choice Hotels International Inc. | 575,922 | 61,791 | ||||
* | Selectquote Inc. | 2,075,916 | 61,260 | |||
Wingstop Inc. | 474,334 | 60,321 | ||||
* | Six Flags Entertainment Corp. | 1,289,808 | 59,937 | |||
* | National Vision Holdings Inc. | 1,294,490 | 56,738 | |||
Columbia Sportswear Co. | 527,248 | 55,693 | ||||
* | Sleep Number Corp. | 385,379 | 55,298 | |||
* | Stamps.com Inc. | 276,798 | 55,224 | |||
* | iRobot Corp. | 449,025 | 54,862 | |||
* | Visteon Corp. | 444,643 | 54,224 | |||
* | Madison Square Garden Sports Corp. | 297,309 | 53,355 | |||
* | Hilton Grand Vacations Inc. | 1,359,742 | 50,977 | |||
LCI Industries | 380,501 | 50,333 | ||||
* | Scientific Games Corp. | 1,292,444 | 49,785 | |||
* | Stitch Fix Inc. Class A | 954,755 | 47,299 | |||
* | Dorman Products Inc. | 436,998 | 44,854 | |||
Papa John's International Inc. | 499,816 | 44,304 | ||||
* | 2U Inc. | 1,119,380 | 42,794 | |||
World Wrestling Entertainment Inc. Class A | 746,756 | 40,519 | ||||
* | SeaWorld Entertainment Inc. | 814,003 | 40,432 | |||
* | Gentherm Inc. | 522,335 | 38,710 | |||
Jack in the Box Inc. | 346,489 | 38,038 | ||||
Strategic Education Inc. | 389,930 | 35,838 | ||||
*,1 | Luminar Technologies Inc. | 1,392,589 | 33,854 | |||
Monro Inc. | 507,449 | 33,390 | ||||
* | Red Rock Resorts Inc. Class A | 1,024,221 | 33,379 | |||
* | Dave & Buster's Entertainment Inc. | 685,062 | 32,814 | |||
* | Allegiant Travel Co. Class A | 111,287 | 27,161 | |||
* | LGI Homes Inc. | 179,639 | 26,822 | |||
Levi Strauss & Co. Class A | 1,111,980 | 26,587 | ||||
* | Madison Square Garden Entertainment Corp. | 313,464 | 25,641 | |||
* | Revolve Group Inc. Class A | 529,261 | 23,780 | |||
Camping World Holdings Inc. Class A | 627,944 | 22,845 | ||||
* | RealReal Inc. | 998,772 | 22,602 | |||
Steven Madden Ltd. | 598,172 | 22,288 | ||||
* | Overstock.com Inc. | 324,576 | 21,506 | |||
Callaway Golf Co. | 752,499 | 20,129 | ||||
*,1 | Petco Health & Wellness Co. Inc. Class A | 904,421 | 20,042 | |||
* | Quotient Technology Inc. | 1,183,419 | 19,337 | |||
* | Fisker Inc. | 1,041,872 | 17,941 | |||
EW Scripps Co. Class A | 892,412 | 17,197 | ||||
* | Liberty Media Corp.-Liberty Formula One Class A | 391,786 | 14,974 | |||
* | Cavco Industries Inc. | 66,101 | 14,913 | |||
* | Leslie's Inc. | 597,201 | 14,625 | |||
* | Angi Inc. Class A | 1,124,441 | 14,618 | |||
* | Academy Sports & Outdoors Inc. | 508,606 | 13,727 | |||
* | Driven Brands Holdings Inc. | 534,984 | 13,599 | |||
* | WW International Inc. | 408,041 | 12,764 | |||
*,1 | Corsair Gaming Inc. | 367,221 | 12,225 | |||
* | elf Beauty Inc. | 367,406 | 9,858 | |||
Inter Parfums Inc. | 138,574 | 9,829 | ||||
* | Stride Inc. | 314,552 | 9,471 | |||
*,1 | Lordstown Motors Corp. | 790,757 | 9,307 | |||
*,1 | Canoo Inc. | 847,329 | 7,651 | |||
*,1 | XL Fleet Corp. | 734,856 | 6,599 |
Shares | Market Value ($000) | |||||
*,1 | Poshmark Inc. Class A | 122,094 | 4,957 | |||
* | ACV Auctions Inc. Class A | 132,092 | 4,572 | |||
*,1 | Dream Finders Homes Inc. Class A | 141,923 | 3,416 | |||
* | Vizio Holding Corp. Class A | 104,727 | 2,540 | |||
* | Cricut Inc. Class A | 122,187 | 2,418 | |||
* | Sun Country Airlines Holdings Inc. | 66,767 | 2,289 | |||
*,1 | Revlon Inc. Class A | 130,053 | 1,604 | |||
*,1 | ContextLogic Inc. Class A | 22,341 | 353 | |||
* | Coursera Inc. | 1,715 | 77 | |||
5,253,938 | ||||||
Consumer Staples (2.7%) | ||||||
* | Boston Beer Co. Inc. Class A | 144,812 | 174,684 | |||
Casey's General Stores Inc. | 588,991 | 127,334 | ||||
* | Freshpet Inc. | 648,782 | 103,033 | |||
* | Post Holdings Inc. | 923,849 | 97,669 | |||
*,1 | Beyond Meat Inc. | 699,369 | 91,002 | |||
WD-40 Co. | 218,092 | 66,775 | ||||
* | Simply Good Foods Co. | 1,376,452 | 41,872 | |||
Medifast Inc. | 178,641 | 37,840 | ||||
J & J Snack Foods Corp. | 227,443 | 35,715 | ||||
Utz Brands Inc. | 1,094,391 | 27,130 | ||||
Lancaster Colony Corp. | 154,055 | 27,015 | ||||
Sanderson Farms Inc. | 160,568 | 25,013 | ||||
Coca-Cola Consolidated Inc. | 74,182 | 21,422 | ||||
* | USANA Health Sciences Inc. | 201,685 | 19,685 | |||
National Beverage Corp. | 372,648 | 18,226 | ||||
* | BellRing Brands Inc. Class A | 631,350 | 14,906 | |||
*,1 | AppHarvest Inc. | 469,495 | 8,592 | |||
* | Celsius Holdings Inc. | 173,808 | 8,352 | |||
*,1 | Vital Farms Inc. | 283,579 | 6,193 | |||
* | Hydrofarm Holdings Group Inc. | 66,057 | 3,985 | |||
* | Duckhorn Portfolio Inc. | 137,629 | 2,309 | |||
958,752 | ||||||
Energy (2.5%) | ||||||
* | Enphase Energy Inc. | 926,100 | 150,176 | |||
Texas Pacific Land Corp. | 92,802 | 147,502 | ||||
Cabot Oil & Gas Corp. | 6,356,160 | 119,369 | ||||
* | First Solar Inc. | 759,661 | 66,318 | |||
* | PDC Energy Inc. | 1,589,068 | 54,664 | |||
* | Array Technologies Inc. | 1,821,307 | 54,311 | |||
New Fortress Energy Inc. Class A | 1,109,923 | 50,957 | ||||
* | Shoals Technologies Group Inc. Class A | 1,419,569 | 49,373 | |||
Matador Resources Co. | 1,773,482 | 41,588 | ||||
* | FuelCell Energy Inc. | 2,446,880 | 35,260 | |||
* | ChampionX Corp. | 1,588,215 | 34,512 | |||
Cactus Inc. Class A | 847,192 | 25,941 | ||||
* | Liberty Oilfield Services Inc. Class A | 1,318,654 | 14,888 | |||
* | Ameresco Inc. Class A | 222,451 | 10,818 | |||
* | NexTier Oilfield Solutions Inc. | 2,578,289 | 9,591 | |||
* | Dril-Quip Inc. | 280,419 | 9,318 | |||
* | Oceaneering International Inc. | 793,298 | 9,059 | |||
883,645 | ||||||
Financials (4.0%) | ||||||
Pinnacle Financial Partners Inc. | 1,149,996 | 101,959 | ||||
Erie Indemnity Co. Class A | 405,078 | 89,486 | ||||
Morningstar Inc. | 375,607 | 84,527 | ||||
Western Alliance Bancorp | 722,878 | 68,269 |
Shares | Market Value ($000) | |||||
* | Alleghany Corp. | 106,185 | 66,503 | |||
Pacific Premier Bancorp Inc. | 1,509,566 | 65,576 | ||||
Kinsale Capital Group Inc. | 344,198 | 56,724 | ||||
Ameris Bancorp | 1,054,775 | 55,386 | ||||
*,1 | Credit Acceptance Corp. | 147,794 | 53,240 | |||
Tradeweb Markets Inc. Class A | 687,885 | 50,903 | ||||
Virtu Financial Inc. Class A | 1,561,739 | 48,492 | ||||
ServisFirst Bancshares Inc. | 775,776 | 47,578 | ||||
Hamilton Lane Inc. Class A | 492,650 | 43,629 | ||||
* | Trupanion Inc. | 567,613 | 43,258 | |||
Independent Bank Group Inc. | 585,826 | 42,320 | ||||
Essent Group Ltd. | 849,009 | 40,319 | ||||
* | LendingTree Inc. | 178,246 | 37,966 | |||
Sterling Bancorp | 1,541,108 | 35,476 | ||||
* | Open Lending Corp. Class A | 819,294 | 29,019 | |||
Goosehead Insurance Inc. Class A | 264,222 | 28,319 | ||||
Houlihan Lokey Inc. Class A | 411,531 | 27,371 | ||||
* | Riot Blockchain Inc. | 512,497 | 27,301 | |||
Cohen & Steers Inc. | 381,725 | 24,938 | ||||
*,1 | Lemonade Inc. | 242,088 | 22,546 | |||
*,1 | Upstart Holdings Inc. | 173,660 | 22,378 | |||
* | Focus Financial Partners Inc. Class A | 512,110 | 21,314 | |||
* | Silvergate Capital Corp. Class A | 148,208 | 21,071 | |||
Redwood Trust Inc. | 1,790,826 | 18,643 | ||||
National Bank Holdings Corp. Class A | 465,261 | 18,462 | ||||
TFS Financial Corp. | 896,804 | 18,268 | ||||
1 | GCM Grosvenor Inc. Class A | 1,397,771 | 16,633 | |||
* | GoHealth Inc. Class A | 1,345,125 | 15,725 | |||
Kearny Financial Corp. | 1,211,266 | 14,632 | ||||
* | eHealth Inc. | 196,813 | 14,314 | |||
* | Palomar Holdings Inc. | 173,345 | 11,621 | |||
PJT Partners Inc. Class A | 171,299 | 11,588 | ||||
* | Oscar Health Inc. Class A | 323,399 | 8,693 | |||
*,1 | Romeo Power Inc. | 709,258 | 5,908 | |||
*,1 | Root Inc. Class A | 379,951 | 4,837 | |||
* | AssetMark Financial Holdings Inc. | 147,571 | 3,444 | |||
* | MetroMile Inc. | 253,183 | 2,605 | |||
*,1 | loanDepot Inc. Class A | 23,888 | 476 | |||
1,421,717 | ||||||
Health Care (24.3%) | ||||||
Bio-Techne Corp. | 619,060 | 236,438 | ||||
* | Charles River Laboratories International Inc. | 794,480 | 230,264 | |||
* | Avantor Inc. | 7,876,996 | 227,882 | |||
* | Guardant Health Inc. | 1,438,418 | 219,575 | |||
* | Novocure Ltd. | 1,388,397 | 183,518 | |||
* | Masimo Corp. | 793,663 | 182,273 | |||
* | Horizon Therapeutics plc | 1,786,987 | 164,474 | |||
* | Repligen Corp. | 829,823 | 161,326 | |||
* | PRA Health Sciences Inc. | 1,029,745 | 157,891 | |||
* | Penumbra Inc. | 552,156 | 149,402 | |||
* | Neurocrine Biosciences Inc. | 1,498,078 | 145,688 | |||
* | Catalent Inc. | 1,358,128 | 143,024 | |||
* | Amedisys Inc. | 523,900 | 138,723 | |||
STERIS plc | 680,886 | 129,695 | ||||
* | Natera Inc. | 1,225,511 | 124,438 | |||
* | Acceleron Pharma Inc. | 869,272 | 117,882 | |||
Chemed Corp. | 254,462 | 117,007 | ||||
PerkinElmer Inc. | 893,019 | 114,565 |
Shares | Market Value ($000) | |||||
* | Exelixis Inc. | 4,976,499 | 112,419 | |||
Bruker Corp. | 1,709,349 | 109,877 | ||||
* | Ultragenyx Pharmaceutical Inc. | 960,809 | 109,398 | |||
* | Fate Therapeutics Inc. | 1,271,314 | 104,820 | |||
* | Arrowhead Pharmaceuticals Inc. | 1,572,510 | 104,273 | |||
* | Syneos Health Inc. | 1,330,818 | 100,943 | |||
*,1 | Invitae Corp. | 2,619,269 | 100,082 | |||
* | Ionis Pharmaceuticals Inc. | 2,134,255 | 95,956 | |||
* | Bio-Rad Laboratories Inc. Class A | 167,861 | 95,877 | |||
* | LHC Group Inc. | 478,590 | 91,511 | |||
* | Haemonetics Corp. | 810,407 | 89,963 | |||
* | Halozyme Therapeutics Inc. | 2,157,176 | 89,933 | |||
* | Blueprint Medicines Corp. | 924,258 | 89,866 | |||
* | HealthEquity Inc. | 1,309,954 | 89,077 | |||
* | Sarepta Therapeutics Inc. | 1,195,035 | 89,066 | |||
* | NeoGenomics Inc. | 1,771,165 | 85,423 | |||
* | Inspire Medical Systems Inc. | 410,883 | 85,049 | |||
* | Omnicell Inc. | 652,014 | 84,677 | |||
* | Tandem Diabetes Care Inc. | 946,711 | 83,547 | |||
* | Twist Bioscience Corp. | 659,251 | 81,655 | |||
* | Integra LifeSciences Holdings Corp. | 1,143,123 | 78,978 | |||
* | STAAR Surgical Co. | 742,111 | 78,226 | |||
Ensign Group Inc. | 828,172 | 77,716 | ||||
* | Globus Medical Inc. Class A | 1,231,813 | 75,966 | |||
* | Adaptive Biotechnologies Corp. | 1,886,378 | 75,946 | |||
* | Neogen Corp. | 850,745 | 75,623 | |||
* | Medpace Holdings Inc. | 455,649 | 74,749 | |||
* | Intellia Therapeutics Inc. | 921,924 | 73,989 | |||
* | Quidel Corp. | 573,402 | 73,355 | |||
* | Nevro Corp. | 524,274 | 73,136 | |||
* | Emergent BioSolutions Inc. | 764,427 | 71,023 | |||
* | Allakos Inc. | 585,646 | 67,220 | |||
* | Arena Pharmaceuticals Inc. | 961,565 | 66,723 | |||
* | ICU Medical Inc. | 318,475 | 65,428 | |||
* | Shockwave Medical Inc. | 492,649 | 64,172 | |||
* | iRhythm Technologies Inc. | 436,954 | 60,675 | |||
Hill-Rom Holdings Inc. | 530,172 | 58,573 | ||||
* | Veracyte Inc. | 1,066,994 | 57,351 | |||
* | Glaukos Corp. | 682,457 | 57,279 | |||
* | Nektar Therapeutics Class A | 2,858,005 | 57,160 | |||
* | Insmed Inc. | 1,641,501 | 55,910 | |||
* | 1Life Healthcare Inc. | 1,376,817 | 53,806 | |||
* | CareDx Inc. | 786,569 | 53,557 | |||
* | NuVasive Inc. | 816,698 | 53,543 | |||
* | 10X Genomics Inc. Class A | 292,229 | 52,893 | |||
* | HMS Holdings Corp. | 1,416,264 | 52,366 | |||
* | Vir Biotechnology Inc. | 1,017,656 | 52,175 | |||
* | Agios Pharmaceuticals Inc. | 1,000,841 | 51,683 | |||
* | PTC Therapeutics Inc. | 1,086,975 | 51,468 | |||
* | Merit Medical Systems Inc. | 843,178 | 50,490 | |||
* | ACADIA Pharmaceuticals Inc. | 1,911,249 | 49,310 | |||
* | AdaptHealth Corp. Class A | 1,315,624 | 48,362 | |||
* | Alkermes plc | 2,544,177 | 47,525 | |||
*,1 | Beam Therapeutics Inc. | 582,483 | 46,622 | |||
* | Pacira BioSciences Inc. | 659,421 | 46,219 | |||
* | FibroGen Inc. | 1,308,682 | 45,424 | |||
* | Editas Medicine Inc. Class A | 1,057,516 | 44,416 | |||
* | Apellis Pharmaceuticals Inc. | 1,027,350 | 44,084 |
Shares | Market Value ($000) | |||||
* | ChemoCentryx Inc. | 829,320 | 42,494 | |||
* | Inari Medical Inc. | 389,139 | 41,638 | |||
* | Amicus Therapeutics Inc. | 4,163,442 | 41,135 | |||
* | Global Blood Therapeutics Inc. | 987,346 | 40,234 | |||
* | Corcept Therapeutics Inc. | 1,686,952 | 40,133 | |||
* | REVOLUTION Medicines Inc. | 874,661 | 40,129 | |||
* | Xencor Inc. | 925,839 | 39,867 | |||
* | Intra-Cellular Therapies Inc. | 1,163,570 | 39,480 | |||
* | Ligand Pharmaceuticals Inc. | 252,151 | 38,440 | |||
* | Cantel Medical Corp. | 472,700 | 37,740 | |||
* | Progyny Inc. | 834,548 | 37,146 | |||
* | Allogene Therapeutics Inc. | 1,008,596 | 35,603 | |||
* | Inovalon Holdings Inc. Class A | 1,168,849 | 33,639 | |||
* | Accolade Inc. | 737,447 | 33,458 | |||
* | Bluebird Bio Inc. | 1,072,714 | 32,342 | |||
* | Sage Therapeutics Inc. | 419,748 | 31,418 | |||
* | Berkeley Lights Inc. | 617,082 | 30,996 | |||
CONMED Corp. | 231,225 | 30,196 | ||||
* | Deciphera Pharmaceuticals Inc. | 644,495 | 28,899 | |||
* | Sotera Health Co. | 1,128,553 | 28,169 | |||
* | Relay Therapeutics Inc. | 790,755 | 27,336 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 2,443,282 | 27,316 | |||
* | Option Care Health Inc. | 1,432,662 | 25,415 | |||
* | Ortho Clinical Diagnostics Holdings plc | 1,308,504 | 25,248 | |||
* | Evolent Health Inc. Class A | 1,238,044 | 25,009 | |||
* | Silk Road Medical Inc. | 488,369 | 24,736 | |||
* | Health Catalyst Inc. | 509,361 | 23,823 | |||
* | Heron Therapeutics Inc. | 1,460,280 | 23,671 | |||
* | R1 RCM Inc. | 938,498 | 23,162 | |||
* | NanoString Technologies Inc. | 352,036 | 23,132 | |||
Luminex Corp. | 706,248 | 22,529 | ||||
* | AtriCure Inc. | 341,741 | 22,391 | |||
*,1 | Clover Health Investments Corp. | 2,816,648 | 21,294 | |||
* | Supernus Pharmaceuticals Inc. | 799,741 | 20,937 | |||
* | Zentalis Pharmaceuticals Inc. | 454,243 | 19,710 | |||
* | REGENXBIO Inc. | 574,538 | 19,598 | |||
* | Inogen Inc. | 355,538 | 18,673 | |||
* | Pennant Group Inc. | 406,416 | 18,614 | |||
* | Alector Inc. | 890,180 | 17,928 | |||
* | Arvinas Inc. | 270,762 | 17,897 | |||
* | Maravai LifeSciences Holdings Inc. Class A | 497,527 | 17,732 | |||
* | SmileDirectClub Inc. Class A | 1,542,111 | 15,899 | |||
* | SpringWorks Therapeutics Inc. | 215,196 | 15,832 | |||
* | Theravance Biopharma Inc. | 766,843 | 15,651 | |||
* | Radius Health Inc. | 749,267 | 15,630 | |||
* | Generation Bio Co. | 533,800 | 15,192 | |||
* | Multiplan Corp. | 2,666,595 | 14,800 | |||
* | CorVel Corp. | 142,831 | 14,653 | |||
*,1 | Butterfly Network Inc. | 856,177 | 14,409 | |||
* | Rocket Pharmaceuticals Inc. | 314,378 | 13,949 | |||
* | Orthofix Medical Inc. | 293,569 | 12,726 | |||
*,1 | OPKO Health Inc. | 2,943,998 | 12,630 | |||
* | Innoviva Inc. | 972,322 | 11,619 | |||
* | Sangamo Therapeutics Inc. | 908,562 | 11,384 | |||
* | Epizyme Inc. | 1,301,132 | 11,333 | |||
* | Intercept Pharmaceuticals Inc. | 448,402 | 10,349 | |||
* | Phathom Pharmaceuticals Inc. | 274,331 | 10,304 | |||
* | Precigen Inc. | 1,441,336 | 9,931 |
Shares | Market Value ($000) | |||||
*,1 | Rubius Therapeutics Inc. | 350,360 | 9,285 | |||
* | BioAtla Inc. | 179,902 | 9,146 | |||
* | HealthStream Inc. | 404,717 | 9,041 | |||
* | Gossamer Bio Inc. | 970,657 | 8,979 | |||
* | Atara Biotherapeutics Inc. | 624,787 | 8,972 | |||
*,1 | Hims & Hers Health Inc. | 652,591 | 8,634 | |||
* | Cullinan Oncology Inc. | 206,978 | 8,625 | |||
* | American Well Corp. Class A | 485,938 | 8,441 | |||
* | Certara Inc. | 305,121 | 8,330 | |||
* | Kronos Bio Inc. | 266,508 | 7,801 | |||
*,1 | Eargo Inc. | 152,564 | 7,621 | |||
*,1 | Kinnate Biopharma Inc. | 242,296 | 7,550 | |||
* | Sana Biotechnology Inc. | 224,782 | 7,523 | |||
* | Nuvation Bio Inc. | 692,371 | 7,235 | |||
* | PMV Pharmaceuticals Inc. | 213,599 | 7,025 | |||
* | Natus Medical Inc. | 268,832 | 6,885 | |||
*,1 | Prelude Therapeutics Inc. | 147,564 | 6,394 | |||
*,1 | ImmunityBio Inc. | 261,237 | 6,202 | |||
*,1 | Esperion Therapeutics Inc. | 220,843 | 6,195 | |||
*,1 | ZIOPHARM Oncology Inc. | 1,700,741 | 6,123 | |||
* | Nkarta Inc. | 182,294 | 5,997 | |||
* | Signify Health Inc. Class A | 203,282 | 5,948 | |||
*,1 | Clovis Oncology Inc. | 793,406 | 5,570 | |||
* | Vaxcyte Inc. | 264,609 | 5,226 | |||
*,1 | Seer Inc. Class A | 90,105 | 4,507 | |||
* | Pulmonx Corp. | 98,160 | 4,490 | |||
*,1 | Silverback Therapeutics Inc. | 97,285 | 4,245 | |||
* | Cerevel Therapeutics Holdings Inc. | 299,451 | 4,111 | |||
* | Innovage Holding Corp. | 156,476 | 4,036 | |||
* | Spectrum Pharmaceuticals Inc. | 1,137,918 | 3,710 | |||
* | Praxis Precision Medicines Inc. | 93,255 | 3,055 | |||
* | Vor BioPharma Inc. | 68,828 | 2,966 | |||
* | Instil Bio Inc. | 109,157 | 2,738 | |||
* | Alignment Healthcare Inc. | 33,728 | 740 | |||
8,749,562 | ||||||
Industrials (18.2%) | ||||||
* | Teledyne Technologies Inc. | 589,825 | 243,981 | |||
* | Fair Isaac Corp. | 443,349 | 215,490 | |||
Graco Inc. | 2,693,759 | 192,927 | ||||
Toro Co. | 1,724,118 | 177,825 | ||||
* | Bill.com Holdings Inc. | 1,181,436 | 171,899 | |||
* | Trex Co. Inc. | 1,847,930 | 169,159 | |||
Lennox International Inc. | 541,973 | 168,873 | ||||
Nordson Corp. | 834,677 | 165,834 | ||||
* | Generac Holdings Inc. | 501,303 | 164,152 | |||
MKS Instruments Inc. | 881,009 | 163,357 | ||||
* | WEX Inc. | 703,999 | 147,291 | |||
A O Smith Corp. | 2,166,164 | 146,454 | ||||
* | Axon Enterprise Inc. | 1,013,810 | 144,387 | |||
Watsco Inc. | 524,068 | 136,651 | ||||
* | Berry Global Group Inc. | 2,137,814 | 131,262 | |||
Genpact Ltd. | 3,016,127 | 129,151 | ||||
FLIR Systems Inc. | 2,093,460 | 118,218 | ||||
Cognex Corp. | 1,333,590 | 110,675 | ||||
* | Euronet Worldwide Inc. | 799,466 | 110,566 | |||
* | TopBuild Corp. | 526,647 | 110,296 | |||
* | Paylocity Holding Corp. | 607,067 | 109,169 | |||
Littelfuse Inc. | 391,348 | 103,488 |
Shares | Market Value ($000) | |||||
Landstar System Inc. | 613,280 | 101,228 | ||||
BWX Technologies Inc. | 1,517,770 | 100,082 | ||||
* | Coherent Inc. | 389,920 | 98,607 | |||
* | Saia Inc. | 419,831 | 96,805 | |||
Jack Henry & Associates Inc. | 606,531 | 92,023 | ||||
Eagle Materials Inc. | 669,630 | 90,005 | ||||
MAXIMUS Inc. | 981,858 | 87,425 | ||||
* | Chart Industries Inc. | 575,338 | 81,899 | |||
Advanced Drainage Systems Inc. | 790,936 | 81,775 | ||||
Exponent Inc. | 823,029 | 80,204 | ||||
* | WillScot Mobile Mini Holdings Corp. | 2,873,226 | 79,732 | |||
* | ASGN Inc. | 801,143 | 76,461 | |||
* | Middleby Corp. | 443,140 | 73,450 | |||
Simpson Manufacturing Co. Inc. | 692,029 | 71,784 | ||||
*,1 | Marathon Digital Holdings Inc. | 1,421,153 | 68,244 | |||
* | ACI Worldwide Inc. | 1,777,995 | 67,653 | |||
John Bean Technologies Corp. | 505,625 | 67,420 | ||||
* | Mercury Systems Inc. | 896,999 | 63,373 | |||
*,1 | Virgin Galactic Holdings Inc. | 2,053,796 | 62,908 | |||
* | Itron Inc. | 706,462 | 62,628 | |||
* | AZEK Co. Inc. Class A | 1,479,265 | 62,203 | |||
Woodward Inc. | 476,947 | 57,534 | ||||
* | Bloom Energy Corp. Class A | 2,064,419 | 55,842 | |||
* | AMN Healthcare Services Inc. | 749,077 | 55,207 | |||
* | Proto Labs Inc. | 439,587 | 53,520 | |||
* | Kratos Defense & Security Solutions Inc. | 1,961,310 | 53,504 | |||
Aerojet Rocketdyne Holdings Inc. | 1,114,839 | 52,353 | ||||
Franklin Electric Co. Inc. | 627,965 | 49,572 | ||||
* | TriNet Group Inc. | 632,623 | 49,319 | |||
Insperity Inc. | 580,023 | 48,571 | ||||
* | Shift4 Payments Inc. Class A | 582,917 | 47,805 | |||
AAON Inc. | 668,344 | 46,791 | ||||
* | ExlService Holdings Inc. | 509,380 | 45,926 | |||
* | Dycom Industries Inc. | 484,396 | 44,976 | |||
* | Masonite International Corp. | 390,219 | 44,969 | |||
Badger Meter Inc. | 465,682 | 43,341 | ||||
Installed Building Products Inc. | 377,014 | 41,803 | ||||
* | AeroVironment Inc. | 354,869 | 41,186 | |||
* | Pluralsight Inc. Class A | 1,771,234 | 39,569 | |||
Forward Air Corp. | 439,537 | 39,035 | ||||
Cubic Corp. | 507,248 | 37,825 | ||||
Mueller Water Products Inc. Class A | 2,531,774 | 35,166 | ||||
Armstrong World Industries Inc. | 381,781 | 34,395 | ||||
Helios Technologies Inc. | 461,822 | 33,653 | ||||
Lindsay Corp. | 173,747 | 28,950 | ||||
* | Verra Mobility Corp. Class A | 2,074,233 | 28,075 | |||
* | Vicor Corp. | 327,329 | 27,833 | |||
* | Air Transport Services Group Inc. | 904,617 | 26,469 | |||
* | Cimpress plc | 249,293 | 24,962 | |||
* | FARO Technologies Inc. | 287,910 | 24,924 | |||
* | Gibraltar Industries Inc. | 259,820 | 23,776 | |||
Tennant Co. | 295,929 | 23,642 | ||||
Raven Industries Inc. | 572,946 | 21,961 | ||||
Comfort Systems USA Inc. | 276,238 | 20,654 | ||||
Maxar Technologies Inc. | 543,122 | 20,541 | ||||
Albany International Corp. Class A | 245,293 | 20,475 | ||||
* | Evo Payments Inc. Class A | 741,542 | 20,407 | |||
*,1 | Danimer Scientific Inc. | 509,126 | 19,219 |
Shares | Market Value ($000) | |||||
*,1 | Nikola Corp. | 1,380,771 | 19,179 | |||
Heartland Express Inc. | 766,836 | 15,015 | ||||
*,1 | Desktop Metal Inc. Class A | 927,736 | 13,823 | |||
* | American Woodmark Corp. | 135,837 | 13,391 | |||
* | SEACOR Holdings Inc. | 317,956 | 12,957 | |||
Enerpac Tool Group Corp. Class A | 478,514 | 12,499 | ||||
* | Thermon Group Holdings Inc. | 530,535 | 10,340 | |||
*,1 | Hyliion Holdings Corp. | 879,282 | 9,382 | |||
Pactiv Evergreen Inc. | 565,003 | 7,763 | ||||
* | Forrester Research Inc. | 180,972 | 7,688 | |||
* | Advantage Solutions Inc. | 636,197 | 7,513 | |||
* | BTRS Holdings Inc. | 498,848 | 7,218 | |||
* | GreenSky Inc. Class A | 1,087,907 | 6,734 | |||
*,1 | Velodyne Lidar Inc. | 539,302 | 6,148 | |||
* | Hayward Holdings Inc. | 362,521 | 6,119 | |||
Gorman-Rupp Co. | 164,349 | 5,442 | ||||
* | Vivint Smart Home Inc. | 323,199 | 4,628 | |||
* | Diversey Holdings Ltd. | 23,339 | 343 | |||
6,546,946 | ||||||
Other (0.0%)2 | ||||||
*,3 | Alder Biopharmaceuticals Inc. CVR Exp. 12/31/2024 | 1,054,451 | 928 | |||
*,3 | Media General Inc. CVR | 1,362,047 | 53 | |||
*,3 | First Eagle Private Credit LLC CVR | 323,987 | 30 | |||
1,011 | ||||||
Real Estate (8.0%) | ||||||
Equity LifeStyle Properties Inc. | 2,618,454 | 166,638 | ||||
Americold Realty Trust | 4,016,604 | 154,519 | ||||
American Homes 4 Rent Class A | 4,280,588 | 142,715 | ||||
CyrusOne Inc. | 1,921,888 | 130,150 | ||||
* | RealPage Inc. | 1,467,426 | 127,959 | |||
STORE Capital Corp. | 3,770,317 | 126,306 | ||||
Kilroy Realty Corp. | 1,856,159 | 121,820 | ||||
CubeSmart | 3,114,793 | 117,833 | ||||
Rexford Industrial Realty Inc. | 2,096,179 | 105,647 | ||||
* | Redfin Corp. | 1,563,632 | 104,122 | |||
Healthcare Trust of America Inc. Class A | 3,488,497 | 96,213 | ||||
* | Host Hotels & Resorts Inc. | 5,624,547 | 94,774 | |||
American Campus Communities Inc. | 2,194,612 | 94,741 | ||||
STAG Industrial Inc. | 2,525,340 | 84,877 | ||||
CoreSite Realty Corp. | 681,743 | 81,707 | ||||
Spirit Realty Capital Inc. | 1,830,868 | 77,812 | ||||
Regency Centers Corp. | 1,353,454 | 76,754 | ||||
Innovative Industrial Properties Inc. | 381,470 | 68,726 | ||||
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 1,182,764 | 66,353 | ||||
Lamar Advertising Co. Class A | 688,989 | 64,710 | ||||
QTS Realty Trust Inc. Class A | 1,030,875 | 63,955 | ||||
Terreno Realty Corp. | 1,096,842 | 63,364 | ||||
* | Howard Hughes Corp. | 658,086 | 62,604 | |||
* | Ryman Hospitality Properties Inc. | 788,348 | 61,105 | |||
Physicians Realty Trust | 3,327,055 | 58,789 | ||||
PS Business Parks Inc. | 329,423 | 50,922 | ||||
* | eXp World Holdings Inc. | 1,005,877 | 45,818 | |||
National Storage Affiliates Trust | 911,522 | 36,397 | ||||
CareTrust REIT Inc. | 1,532,199 | 35,677 | ||||
Hudson Pacific Properties Inc. | 1,206,047 | 32,720 | ||||
JBG SMITH Properties | 998,876 | 31,754 | ||||
Paramount Group Inc. | 2,974,362 | 30,130 |
Shares | Market Value ($000) | |||||
Kite Realty Group Trust | 1,346,858 | 25,981 | ||||
Pebblebrook Hotel Trust | 1,049,072 | 25,482 | ||||
* | Colony Capital Inc. | 3,861,596 | 25,023 | |||
Uniti Group Inc. | 1,859,461 | 20,510 | ||||
St. Joe Co. | 470,435 | 20,182 | ||||
Safehold Inc. | 255,258 | 17,894 | ||||
Universal Health Realty Income Trust | 198,095 | 13,427 | ||||
* | Marcus & Millichap Inc. | 377,765 | 12,731 | |||
Broadstone Net Lease Inc. Class A | 561,609 | 10,277 | ||||
Alexander's Inc. | 32,612 | 9,043 | ||||
RMR Group Inc. Class A | 110,804 | 4,522 | ||||
2,862,683 | ||||||
Technology (21.0%) | ||||||
Entegris Inc. | 2,153,477 | 240,759 | ||||
* | PTC Inc. | 1,678,221 | 231,007 | |||
* | Cree Inc. | 1,838,161 | 198,760 | |||
* | Ceridian HCM Holding Inc. | 2,133,565 | 179,796 | |||
* | Avalara Inc. | 1,281,800 | 171,031 | |||
* | Five9 Inc. | 1,052,870 | 164,595 | |||
Universal Display Corp. | 676,573 | 160,192 | ||||
* | Aspen Technology Inc. | 1,082,590 | 156,250 | |||
* | Dynatrace Inc. | 3,155,694 | 152,231 | |||
* | Inphi Corp. | 831,475 | 148,343 | |||
* | Guidewire Software Inc. | 1,336,374 | 135,816 | |||
* | Zendesk Inc. | 939,297 | 124,570 | |||
Monolithic Power Systems Inc. | 342,976 | 121,143 | ||||
* | Manhattan Associates Inc. | 1,017,836 | 119,474 | |||
* | Smartsheet Inc. Class A | 1,852,429 | 118,407 | |||
* | MongoDB Inc. Class A | 432,510 | 115,666 | |||
* | Proofpoint Inc. | 916,262 | 115,257 | |||
* | II-VI Inc. | 1,671,114 | 114,254 | |||
* | Elastic NV | 1,000,957 | 111,306 | |||
* | Anaplan Inc. | 2,036,896 | 109,687 | |||
*,1 | Fastly Inc. Class A | 1,580,241 | 106,319 | |||
CDK Global Inc. | 1,945,297 | 105,163 | ||||
* | Digital Turbine Inc. | 1,283,468 | 103,139 | |||
Dolby Laboratories Inc. Class A | 1,044,415 | 103,105 | ||||
* | Silicon Laboratories Inc. | 700,516 | 98,822 | |||
* | Lattice Semiconductor Corp. | 2,171,258 | 97,750 | |||
Brooks Automation Inc. | 1,183,578 | 96,639 | ||||
* | Blackline Inc. | 829,300 | 89,896 | |||
* | Pure Storage Inc. Class A | 4,132,632 | 89,017 | |||
* | Grubhub Inc. | 1,479,041 | 88,742 | |||
* | Q2 Holdings Inc. | 843,885 | 84,557 | |||
* | J2 Global Inc. | 691,994 | 82,942 | |||
* | Appian Corp. Class A | 621,859 | 82,676 | |||
CMC Materials Inc. | 464,945 | 82,198 | ||||
Vertiv Holdings Co. Class A | 4,089,466 | 81,789 | ||||
National Instruments Corp. | 1,888,149 | 81,540 | ||||
* | Nutanix Inc. Class A | 3,037,005 | 80,663 | |||
* | Varonis Systems Inc. Class B | 1,553,934 | 79,779 | |||
* | Alteryx Inc. Class A | 938,236 | 77,836 | |||
Power Integrations Inc. | 909,309 | 74,090 | ||||
Pegasystems Inc. | 646,266 | 73,894 | ||||
* | Semtech Corp. | 1,036,067 | 71,489 | |||
* | Novanta Inc. | 533,687 | 70,388 | |||
* | Sailpoint Technologies Holdings Inc. | 1,387,742 | 70,275 | |||
* | Everbridge Inc. | 564,904 | 68,455 |
Shares | Market Value ($000) | |||||
* | FireEye Inc. | 3,456,688 | 67,647 | |||
* | Upwork Inc. | 1,493,420 | 66,860 | |||
Advanced Energy Industries Inc. | 610,165 | 66,612 | ||||
* | MicroStrategy Inc. Class A | 91,111 | 61,846 | |||
* | Alarm.com Holdings Inc. | 713,031 | 61,592 | |||
* | Vroom Inc. | 1,555,745 | 60,658 | |||
* | Envestnet Inc. | 818,850 | 59,146 | |||
* | Rapid7 Inc. | 786,826 | 58,705 | |||
* | SPS Commerce Inc. | 568,534 | 56,461 | |||
* | Rogers Corp. | 298,781 | 56,234 | |||
* | FormFactor Inc. | 1,242,232 | 56,037 | |||
* | Qualys Inc. | 532,476 | 55,793 | |||
* | New Relic Inc. | 906,862 | 55,754 | |||
* | Box Inc. Class A | 2,407,982 | 55,287 | |||
* | nCino Inc. | 811,044 | 54,113 | |||
* | Diodes Inc. | 672,144 | 53,664 | |||
* | Ambarella Inc. | 532,156 | 53,423 | |||
* | Fabrinet | 589,114 | 53,250 | |||
* | Duck Creek Technologies Inc. | 1,151,392 | 51,974 | |||
* | 3D Systems Corp. | 1,884,283 | 51,705 | |||
* | LivePerson Inc. | 961,786 | 50,725 | |||
* | CommVault Systems Inc. | 713,349 | 46,011 | |||
* | Altair Engineering Inc. Class A | 715,119 | 44,745 | |||
* | MACOM Technology Solutions Holdings Inc. | 764,373 | 44,349 | |||
* | Yelp Inc. Class A | 1,123,153 | 43,803 | |||
* | Cornerstone OnDemand Inc. | 988,109 | 43,062 | |||
* | Cloudera Inc. | 3,497,879 | 42,569 | |||
* | Tenable Holdings Inc. | 1,163,561 | 42,103 | |||
* | Medallia Inc. | 1,442,268 | 40,225 | |||
* | PagerDuty Inc. | 981,808 | 39,498 | |||
* | Bandwidth Inc. Class A | 293,666 | 37,219 | |||
* | MaxLinear Inc. Class A | 1,071,904 | 36,530 | |||
* | Magnite Inc. | 877,083 | 36,495 | |||
* | Appfolio Inc. Class A | 254,606 | 36,004 | |||
* | Cargurus Inc. Class A | 1,483,336 | 35,348 | |||
*,1 | Skillz Inc. Class A | 1,845,140 | 35,131 | |||
NIC Inc. | 1,017,504 | 34,524 | ||||
* | Bottomline Technologies DE Inc. | 719,295 | 32,548 | |||
* | BigCommerce Holdings Inc. | 547,461 | 31,643 | |||
* | Asana Inc. Class A | 1,090,545 | 31,168 | |||
Shutterstock Inc. | 347,581 | 30,949 | ||||
* | Blackbaud Inc. | 386,511 | 27,473 | |||
* | Schrodinger Inc. | 359,980 | 27,463 | |||
* | PROS Holdings Inc. | 636,094 | 27,034 | |||
Switch Inc. Class A | 1,627,748 | 26,467 | ||||
* | LiveRamp Holdings Inc. | 507,885 | 26,349 | |||
* | Workiva Inc. Class A | 282,732 | 24,954 | |||
* | Eventbrite Inc. Class A | 1,115,006 | 24,709 | |||
* | Onto Innovation Inc. | 370,988 | 24,378 | |||
* | Zuora Inc. Class A | 1,643,536 | 24,324 | |||
* | Yext Inc. | 1,654,439 | 23,956 | |||
* | SolarWinds Corp. | 1,250,388 | 21,807 | |||
* | nLight Inc. | 608,861 | 19,727 | |||
* | CEVA Inc. | 337,759 | 18,965 | |||
* | Parsons Corp. | 408,912 | 16,536 | |||
* | Veeco Instruments Inc. | 754,743 | 15,653 | |||
*,1 | Rackspace Technology Inc. | 644,890 | 15,335 | |||
* | Ping Identity Holding Corp. | 650,119 | 14,257 |
Shares | Market Value ($000) | |||||
* | MediaAlpha Inc. Class A | 270,469 | 9,583 | |||
* | Datto Holding Corp. | 385,344 | 8,828 | |||
* | Vertex Inc. Class A | 389,943 | 8,571 | |||
* | Telos Corp. | 206,769 | 7,841 | |||
*,1 | E2open Parent Holdings Inc. | 747,153 | 7,442 | |||
Ebix Inc. | 210,273 | 6,735 | ||||
* | Sciplay Corp. Class A | 361,227 | 5,845 | |||
* | DigitalOcean Holdings Inc. | 126,085 | 5,312 | |||
*,1 | Viant Technology Inc. Class A | 87,279 | 4,616 | |||
* | Olo Inc. Class A | 146,909 | 3,877 | |||
* | ON24 Inc. | 72,780 | 3,531 | |||
* | Benefitfocus Inc. | 236,172 | 3,262 | |||
*,1 | PubMatic Inc. Class A | 42,428 | 2,093 | |||
* | SecureWorks Corp. Class A | 96,949 | 1,297 | |||
Bentley Systems Inc. Class B | 5,039 | 236 | ||||
* | SEMrush Holdings Inc. Class A | 8,514 | 101 | |||
7,559,674 | ||||||
Telecommunications (1.8%) | ||||||
Cable One Inc. | 86,496 | 158,146 | ||||
* | Ciena Corp. | 2,475,260 | 135,446 | |||
* | Lumentum Holdings Inc. | 1,207,007 | 110,260 | |||
* | Viasat Inc. | 1,036,354 | 49,818 | |||
Cogent Communications Holdings Inc. | 679,040 | 46,691 | ||||
Shenandoah Telecommunications Co. | 758,004 | 36,998 | ||||
* | Infinera Corp. | 2,735,234 | 26,340 | |||
*,1 | fuboTV Inc. | 782,608 | 17,311 | |||
Ubiquiti Inc. | 50,183 | 14,970 | ||||
*,1 | Globalstar Inc. | 9,341,337 | 12,611 | |||
* | WideOpenWest Inc. | 832,778 | 11,317 | |||
ATN International Inc. | 164,635 | 8,087 | ||||
Loral Space & Communications Inc. | 204,966 | 7,721 | ||||
*,1 | Gogo Inc. | 408,702 | 3,948 | |||
639,664 | ||||||
Utilities (1.4%) | ||||||
* | Sunrun Inc. | 2,993,125 | 181,024 | |||
* | Clean Harbors Inc. | 785,870 | 66,060 | |||
Ormat Technologies Inc. | 711,372 | 55,864 | ||||
* | Casella Waste Systems Inc. Class A | 800,560 | 50,892 | |||
* | Evoqua Water Technologies Corp. | 1,911,730 | 50,278 | |||
* | Sunnova Energy International Inc. | 1,208,599 | 49,335 | |||
Covanta Holding Corp. | 1,898,102 | 26,308 | ||||
California Water Service Group | 394,916 | 22,250 | ||||
502,011 | ||||||
Total Common Stocks (Cost $24,157,370) | 35,923,126 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
4,5 | Vanguard Market Liquidity Fund (Cost $545,176) | 0.081% | 5,452,718 | 545,272 | ||
Total Investments (101.5%) (Cost $24,702,546) | 36,468,398 | |||||
Other Assets and Liabilities—Net (-1.5%) | (522,658) | |||||
Net Assets (100%) | 35,945,740 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $512,829,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
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 $523,770,000 was received for securities on loan, of which $517,704,000 is held in Vanguard Market Liquidity Fund and $6,066,000 is held in cash. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Derivative Financial
Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | June 2021 | 79 | 8,779 | 123 |
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) |
Bandwidth Inc. Class A | 9/2/21 | BOANA | 7,918 | (0.119) | — | (1,585) |
Invitae Corp. | 9/2/21 | BOANA | 14,447 | (0.119) | — | (692) |
— | (2,277) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
A. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by
methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid
prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
B. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued at
their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced
stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of
time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is
based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of
swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap
contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with
its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold,
or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance
with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty
may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would
be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are
noted in the Schedule of Investments. The value of
collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled
within two business days.
Swaps are valued daily based on
market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are
made or the termination of the swap, at which time realized gain (loss) is recorded.
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—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the
market value of the fund's investments and derivatives as of March 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 35,922,115 | — | 1,011 | 35,923,126 |
Temporary Cash Investments | 545,272 | — | — | 545,272 |
Total | 36,467,387 | — | 1,011 | 36,468,398 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 123 | — | — | 123 |
Liabilities | ||||
Swap Contracts | — | 2,277 | — | 2,277 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |