Vanguard® Small-Cap Value Index Fund
Schedule of Investments (unaudited)
As of September 30, 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 (99.7%) | ||||||
Basic Materials (5.6%) | ||||||
Mosaic Co. | 5,332,479 | 190,476 | ||||
Steel Dynamics Inc. | 3,024,394 | 176,867 | ||||
Reliance Steel & Aluminum Co. | 990,166 | 141,019 | ||||
* | Cleveland-Cliffs Inc. | 7,014,709 | 138,961 | |||
* | Alcoa Corp. | 2,769,498 | 135,539 | |||
Olin Corp. | 2,252,409 | 108,679 | ||||
CF Industries Holdings Inc. | 1,677,363 | 93,630 | ||||
Huntsman Corp. | 3,111,663 | 92,074 | ||||
Scotts Miracle-Gro Co. | 609,185 | 89,160 | ||||
Valvoline Inc. | 2,819,301 | 87,906 | ||||
United States Steel Corp. | 3,791,785 | 83,306 | ||||
Ashland Global Holdings Inc. | 899,814 | 80,191 | ||||
Chemours Co. | 2,576,002 | 74,859 | ||||
Element Solutions Inc. | 3,281,858 | 71,151 | ||||
Timken Co. | 1,070,555 | 70,036 | ||||
Avient Corp. | 1,423,839 | 65,995 | ||||
* | Univar Solutions Inc. | 2,667,273 | 63,534 | |||
UFP Industries Inc. | 916,311 | 62,291 | ||||
Sensient Technologies Corp. | 657,466 | 59,882 | ||||
Commercial Metals Co. | 1,880,782 | 57,289 | ||||
* | Arconic Corp. | 1,535,312 | 48,424 | |||
Hecla Mining Co. | 8,374,883 | 46,062 | ||||
Cabot Corp. | 884,602 | 44,336 | ||||
Tronox Holdings plc Class A | 1,797,191 | 44,301 | ||||
* | Domtar Corp. | 785,438 | 42,838 | |||
Stepan Co. | 332,842 | 37,591 | ||||
Minerals Technologies Inc. | 523,872 | 36,587 | ||||
Mueller Industries Inc. | 847,013 | 34,812 | ||||
Compass Minerals International Inc. | 530,931 | 34,192 | ||||
Boise Cascade Co. | 613,404 | 33,112 | ||||
Innospec Inc. | 384,256 | 32,362 | ||||
Worthington Industries Inc. | 523,082 | 27,566 | ||||
Kaiser Aluminum Corp. | 247,374 | 26,954 | ||||
Carpenter Technology Corp. | 749,678 | 24,544 | ||||
Westlake Chemical Corp. | 249,767 | 22,764 | ||||
* | Coeur Mining Inc. | 3,607,805 | 22,260 | |||
Materion Corp. | 318,758 | 21,880 | ||||
* | Kraton Corp. | 476,322 | 21,739 | |||
* | GCP Applied Technologies Inc. | 800,786 | 17,553 | |||
Schweitzer-Mauduit International Inc. | 489,729 | 16,974 | ||||
Schnitzer Steel Industries Inc. Class A | 382,610 | 16,762 |
Shares | Market Value ($000) | |||||
GrafTech International Ltd. | 1,565,696 | 16,158 | ||||
Ecovyst Inc. | 858,372 | 10,009 | ||||
* | Koppers Holdings Inc. | 317,070 | 9,912 | |||
Glatfelter Corp. | 694,783 | 9,796 | ||||
Tredegar Corp. | 223,799 | 2,726 | ||||
* | Hexcel Corp. | 306 | 18 | |||
FutureFuel Corp. | 94 | 1 | ||||
*,1 | Zymergen Inc. | 72 | 1 | |||
2,645,079 | ||||||
Consumer Discretionary (15.5%) | ||||||
Williams-Sonoma Inc. | 1,160,815 | 205,847 | ||||
Tapestry Inc. | 4,360,556 | 161,428 | ||||
* | Norwegian Cruise Line Holdings Ltd. | 5,771,046 | 154,145 | |||
Service Corp. International | 2,482,886 | 149,619 | ||||
Lithia Motors Inc. Class A | 471,795 | 149,578 | ||||
Newell Brands Inc. | 5,971,402 | 132,207 | ||||
Bath & Body Works Inc. | 1,961,398 | 123,627 | ||||
New York Times Co. Class A | 2,475,611 | 121,973 | ||||
* | BJ's Wholesale Club Holdings Inc. | 2,129,568 | 116,956 | |||
Kohl's Corp. | 2,436,681 | 114,743 | ||||
* | Alaska Air Group Inc. | 1,953,086 | 114,451 | |||
* | PVH Corp. | 1,112,990 | 114,404 | |||
Interpublic Group of Cos. Inc. | 3,069,631 | 112,563 | ||||
Macy's Inc. | 4,873,900 | 110,150 | ||||
1 | Dick's Sporting Goods Inc. | 910,889 | 109,097 | |||
* | Capri Holdings Ltd. | 2,252,448 | 109,041 | |||
Polaris Inc. | 897,751 | 107,425 | ||||
Nielsen Holdings plc | 5,596,225 | 107,392 | ||||
* | American Airlines Group Inc. | 5,048,904 | 103,604 | |||
* | AutoNation Inc. | 837,635 | 101,990 | |||
Toll Brothers Inc. | 1,827,992 | 101,070 | ||||
* | Mattel Inc. | 5,442,864 | 101,020 | |||
Thor Industries Inc. | 820,352 | 100,706 | ||||
Gap Inc. | 4,416,254 | 100,249 | ||||
Marriott Vacations Worldwide Corp. | 632,764 | 99,553 | ||||
Hanesbrands Inc. | 5,445,924 | 93,452 | ||||
*,1 | GameStop Corp. Class A | 509,168 | 89,344 | |||
AMERCO | 137,602 | 88,895 | ||||
Leggett & Platt Inc. | 1,975,143 | 88,565 | ||||
Harley-Davidson Inc. | 2,399,560 | 87,848 | ||||
* | Avis Budget Group Inc. | 726,515 | 84,646 | |||
* | Helen of Troy Ltd. | 375,878 | 84,452 | |||
* | Terminix Global Holdings Inc. | 1,944,614 | 81,032 | |||
* | Victoria's Secret & Co. | 1,428,335 | 78,930 | |||
* | Goodyear Tire & Rubber Co. | 4,383,983 | 77,596 | |||
* | JetBlue Airways Corp. | 4,959,304 | 75,828 | |||
Foot Locker Inc. | 1,614,979 | 73,740 | ||||
Lear Corp. | 465,966 | 72,914 | ||||
H&R Block Inc. | 2,836,099 | 70,902 | ||||
TEGNA Inc. | 3,448,280 | 68,000 | ||||
Aramark | 1,990,414 | 65,405 | ||||
Murphy USA Inc. | 382,971 | 64,056 | ||||
Carter's Inc. | 652,123 | 63,412 | ||||
Signet Jewelers Ltd. | 780,379 | 61,619 | ||||
American Eagle Outfitters Inc. | 2,354,277 | 60,740 | ||||
Wendy's Co. | 2,779,816 | 60,266 | ||||
* | Under Armour Inc. Class A | 2,966,477 | 59,863 | |||
* | Sabre Corp. | 5,035,325 | 59,618 |
Shares | Market Value ($000) | |||||
* | Asbury Automotive Group Inc. | 301,667 | 59,350 | |||
Qurate Retail Inc. Class A | 5,602,027 | 57,085 | ||||
* | Meritage Homes Corp. | 587,104 | 56,949 | |||
* | Under Armour Inc. Class C | 3,222,062 | 56,451 | |||
Wyndham Hotels & Resorts Inc. | 729,287 | 56,294 | ||||
* | Hyatt Hotels Corp. Class A | 713,720 | 55,028 | |||
KB Home | 1,365,189 | 53,133 | ||||
Penske Automotive Group Inc. | 501,216 | 50,422 | ||||
Dana Inc. | 2,265,332 | 50,381 | ||||
Group 1 Automotive Inc. | 267,807 | 50,316 | ||||
Rent-A-Center Inc. | 881,174 | 49,531 | ||||
* | Taylor Morrison Home Corp. Class A | 1,856,207 | 47,853 | |||
* | Nordstrom Inc. | 1,734,789 | 45,885 | |||
Herman Miller Inc. | 1,181,399 | 44,491 | ||||
* | Spirit Airlines Inc. | 1,690,408 | 43,849 | |||
PROG Holdings Inc. | 1,037,196 | 43,573 | ||||
* | iHeartMedia Inc. Class A | 1,670,935 | 41,807 | |||
MDC Holdings Inc. | 881,107 | 41,165 | ||||
Kontoor Brands Inc. | 809,502 | 40,435 | ||||
* | Coty Inc. Class A | 5,090,671 | 40,013 | |||
* | SkyWest Inc. | 785,647 | 38,764 | |||
Wolverine World Wide Inc. | 1,282,363 | 38,266 | ||||
Ralph Lauren Corp. | 341,348 | 37,903 | ||||
* | Tri Pointe Homes Inc. | 1,774,679 | 37,304 | |||
Travel + Leisure Co. | 672,999 | 36,699 | ||||
* | Cheesecake Factory Inc. | 773,075 | 36,335 | |||
* | Abercrombie & Fitch Co. Class A | 959,808 | 36,118 | |||
Graham Holdings Co. Class B | 59,790 | 35,226 | ||||
* | Brinker International Inc. | 713,557 | 35,000 | |||
* | Bloomin' Brands Inc. | 1,391,572 | 34,789 | |||
John Wiley & Sons Inc. Class A | 657,256 | 34,315 | ||||
* | Meredith Corp. | 601,530 | 33,505 | |||
* | KAR Auction Services Inc. | 1,858,801 | 30,466 | |||
* | Cinemark Holdings Inc. | 1,585,891 | 30,465 | |||
Rush Enterprises Inc. Class A | 668,002 | 30,167 | ||||
* | ODP Corp. | 748,585 | 30,063 | |||
PriceSmart Inc. | 383,990 | 29,778 | ||||
* | Sally Beauty Holdings Inc. | 1,763,081 | 29,708 | |||
* | Academy Sports & Outdoors Inc. | 697,358 | 27,908 | |||
* | Adtalem Global Education Inc. | 735,096 | 27,794 | |||
* | Central Garden & Pet Co. Class A | 644,313 | 27,705 | |||
* | Urban Outfitters Inc. | 920,440 | 27,328 | |||
* | Knowles Corp. | 1,434,330 | 26,879 | |||
* | Bed Bath & Beyond Inc. | 1,548,570 | 26,752 | |||
* | TripAdvisor Inc. | 777,747 | 26,327 | |||
Cracker Barrel Old Country Store Inc. | 185,032 | 25,875 | ||||
Steven Madden Ltd. | 607,156 | 24,383 | ||||
* | Laureate Education Inc. Class A | 1,431,872 | 24,327 | |||
Acushnet Holdings Corp. | 518,696 | 24,223 | ||||
HNI Corp. | 649,783 | 23,860 | ||||
Big Lots Inc. | 540,232 | 23,424 | ||||
Oxford Industries Inc. | 250,307 | 22,570 | ||||
* | Lions Gate Entertainment Corp. Class B | 1,734,779 | 22,552 | |||
La-Z-Boy Inc. | 691,309 | 22,281 | ||||
Sturm Ruger & Co. Inc. | 274,401 | 20,245 | ||||
* | AMC Networks Inc. Class A | 431,407 | 20,099 | |||
* | Cardlytics Inc. | 232,187 | 19,490 | |||
* | GoPro Inc. Class A | 1,971,444 | 18,453 |
Shares | Market Value ($000) | |||||
Buckle Inc. | 465,947 | 18,447 | ||||
* | Tenneco Inc. Class A | 1,278,582 | 18,245 | |||
* | G-III Apparel Group Ltd. | 641,384 | 18,151 | |||
* | Vista Outdoor Inc. | 447,449 | 18,037 | |||
Sonic Automotive Inc. Class A | 324,144 | 17,031 | ||||
* | Hawaiian Holdings Inc. | 761,254 | 16,489 | |||
Matthews International Corp. Class A | 468,181 | 16,241 | ||||
Dillard's Inc. Class A | 93,574 | 16,143 | ||||
Steelcase Inc. Class A | 1,271,472 | 16,122 | ||||
* | WW International Inc. | 817,107 | 14,912 | |||
* | Clear Channel Outdoor Holdings Inc. | 5,493,051 | 14,886 | |||
* | American Axle & Manufacturing Holdings Inc. | 1,687,120 | 14,864 | |||
* | BJ's Restaurants Inc. | 346,226 | 14,458 | |||
Aaron's Co. Inc. | 509,645 | 14,036 | ||||
Interface Inc. Class A | 918,513 | 13,915 | ||||
* | Zumiez Inc. | 340,555 | 13,540 | |||
* | Designer Brands Inc. Class A | 966,822 | 13,468 | |||
* | Lions Gate Entertainment Corp. Class A | 935,929 | 13,281 | |||
* | Cars.com Inc. | 1,021,953 | 12,928 | |||
Guess? Inc. | 606,607 | 12,745 | ||||
Sinclair Broadcast Group Inc. Class A | 382,770 | 12,126 | ||||
* | Stride Inc. | 309,294 | 11,116 | |||
* | elf Beauty Inc. | 364,674 | 10,594 | |||
* | Dine Brands Global Inc. | 126,669 | 10,287 | |||
Inter Parfums Inc. | 135,507 | 10,132 | ||||
Scholastic Corp. | 256,829 | 9,156 | ||||
* | PowerSchool Holdings Inc. Class A | 371,766 | 9,149 | |||
* | Duolingo Inc. Class A | 49,954 | 8,310 | |||
* | Children's Place Inc. | 108,059 | 8,133 | |||
*,1 | Canoo Inc. | 1,018,619 | 7,833 | |||
Smith & Wesson Brands Inc. | 374,690 | 7,779 | ||||
*,1 | Krispy Kreme Inc. | 521,111 | 7,296 | |||
* | Dutch Bros Inc. Class A | 166,552 | 7,215 | |||
* | Central Garden & Pet Co. | 139,349 | 6,689 | |||
*,1 | Lordstown Motors Corp. | 828,044 | 6,608 | |||
Rush Enterprises Inc. Class B | 142,266 | 6,512 | ||||
* | Genesco Inc. | 110,692 | 6,390 | |||
Caleres Inc. | 285,405 | 6,342 | ||||
*,1 | XL Fleet Corp. | 872,946 | 5,377 | |||
*,1 | Cricut Inc. Class A | 190,800 | 5,262 | |||
Global Industrial Co. | 132,908 | 5,036 | ||||
* | El Pollo Loco Holdings Inc. | 284,654 | 4,811 | |||
* | Frontier Group Holdings Inc. | 250,518 | 3,956 | |||
* | Rush Street Interactive Inc. | 195,955 | 3,764 | |||
* | Integral Ad Science Holding Corp. | 180,003 | 3,713 | |||
* | Janus International Group Inc. | 263,900 | 3,230 | |||
* | Lands' End Inc. | 115,303 | 2,714 | |||
*,1 | Weber Inc. Class A | 144,860 | 2,548 | |||
*,1 | Vizio Holding Corp. Class A | 67,582 | 1,435 | |||
* | Instructure Holdings Inc. | 5,822 | 132 | |||
* | Torrid Holdings Inc. | 4,140 | 64 | |||
* | Deckers Outdoor Corp. | 104 | 37 | |||
* | Luminar Technologies Inc. Class A | 758 | 12 | |||
* | Fisker Inc. | 536 | 8 | |||
* | Mister Car Wash Inc. | 218 | 4 | |||
* | American Public Education Inc. | 62 | 2 | |||
* | ThredUp Inc. Class A | 74 | 2 |
Shares | Market Value ($000) | |||||
* | Traeger Inc. | 84 | 2 | |||
* | Latham Group Inc. | 88 | 1 | |||
7,317,034 | ||||||
Consumer Staples (2.9%) | ||||||
Bunge Ltd. | 2,099,763 | 170,753 | ||||
* | Performance Food Group Co. | 2,400,548 | 111,529 | |||
* | US Foods Holding Corp. | 3,123,103 | 108,247 | |||
Ingredion Inc. | 992,772 | 88,367 | ||||
Flowers Foods Inc. | 2,972,427 | 70,238 | ||||
* | Herbalife Nutrition Ltd. | 1,622,476 | 68,761 | |||
Molson Coors Beverage Co. Class B | 1,407,563 | 65,283 | ||||
Spectrum Brands Holdings Inc. | 663,023 | 63,431 | ||||
* | Hain Celestial Group Inc. | 1,292,195 | 55,280 | |||
* | United Natural Foods Inc. | 878,842 | 42,553 | |||
Energizer Holdings Inc. | 1,065,732 | 41,617 | ||||
* | Sprouts Farmers Market Inc. | 1,780,846 | 41,262 | |||
* | Hostess Brands Inc. Class A | 2,028,593 | 35,237 | |||
* | TreeHouse Foods Inc. | 869,280 | 34,667 | |||
Nu Skin Enterprises Inc. Class A | 781,747 | 31,637 | ||||
Edgewell Personal Care Co. | 847,627 | 30,769 | ||||
1 | B&G Foods Inc. | 1,011,065 | 30,221 | |||
Sanderson Farms Inc. | 156,697 | 29,490 | ||||
* | Grocery Outlet Holding Corp. | 1,346,265 | 29,039 | |||
Vector Group Ltd. | 2,040,893 | 26,021 | ||||
Lancaster Colony Corp. | 150,245 | 25,363 | ||||
Reynolds Consumer Products Inc. | 816,547 | 22,324 | ||||
* | Pilgrim's Pride Corp. | 760,054 | 22,102 | |||
Fresh Del Monte Produce Inc. | 554,673 | 17,872 | ||||
Universal Corp. | 364,940 | 17,638 | ||||
*,1 | Beauty Health Co. | 676,078 | 17,558 | |||
Seaboard Corp. | 3,605 | 14,780 | ||||
Andersons Inc. | 468,832 | 14,454 | ||||
Weis Markets Inc. | 251,636 | 13,223 | ||||
ACCO Brands Corp. | 1,421,609 | 12,212 | ||||
* | Rite Aid Corp. | 815,857 | 11,585 | |||
Cal-Maine Foods Inc. | 309,254 | 11,183 | ||||
Tootsie Roll Industries Inc. | 216,691 | 6,594 | ||||
* | Duckhorn Portfolio Inc. | 267,482 | 6,123 | |||
*,1 | AppHarvest Inc. | 508,172 | 3,313 | |||
* | Honest Co. Inc. | 175,852 | 1,825 | |||
* | Darling Ingredients Inc. | 594 | 43 | |||
1,392,594 | ||||||
Energy (5.7%) | ||||||
Diamondback Energy Inc. | 2,823,761 | 267,325 | ||||
Devon Energy Corp. | 5,279,420 | 187,472 | ||||
Targa Resources Corp. | 3,566,264 | 175,496 | ||||
Marathon Oil Corp. | 12,296,027 | 168,087 | ||||
* | First Solar Inc. | 1,492,352 | 142,460 | |||
Ovintiv Inc. | 4,071,973 | 133,886 | ||||
APA Corp. | 5,895,882 | 126,349 | ||||
* | EQT Corp. | 4,715,127 | 96,471 | |||
Chesapeake Energy Corp. | 1,532,874 | 94,410 | ||||
* | Range Resources Corp. | 3,848,935 | 87,101 | |||
* | NOV Inc. | 6,094,185 | 79,895 | |||
* | Antero Resources Corp. | 4,160,805 | 78,265 | |||
HollyFrontier Corp. | 2,280,827 | 75,564 | ||||
DT Midstream Inc. | 1,508,296 | 69,744 |
Shares | Market Value ($000) | |||||
Equitrans Midstream Corp. | 6,408,590 | 64,983 | ||||
* | Southwestern Energy Co. | 10,559,120 | 58,498 | |||
Murphy Oil Corp. | 2,288,143 | 57,135 | ||||
Continental Resources Inc. | 1,146,510 | 52,911 | ||||
* | California Resources Corp. | 1,276,994 | 52,357 | |||
Antero Midstream Corp. | 4,840,481 | 50,438 | ||||
Helmerich & Payne Inc. | 1,514,861 | 41,522 | ||||
* | Renewable Energy Group Inc. | 783,431 | 39,328 | |||
Arcosa Inc. | 754,733 | 37,865 | ||||
* | CNX Resources Corp. | 2,888,796 | 36,457 | |||
* | Whiting Petroleum Corp. | 609,806 | 35,619 | |||
*,1 | Transocean Ltd. | 8,632,621 | 32,718 | |||
World Fuel Services Corp. | 940,822 | 31,630 | ||||
* | SunPower Corp. | 1,347,954 | 30,572 | |||
Oasis Petroleum Inc. | 294,793 | 29,308 | ||||
Patterson-UTI Energy Inc. | 2,797,732 | 25,180 | ||||
SM Energy Co. | 945,284 | 24,937 | ||||
* | Arch Resources Inc. | 238,516 | 22,122 | |||
*,1 | Stem Inc. | 919,301 | 21,962 | |||
Magnolia Oil & Gas Corp. Class A | 1,183,913 | 21,062 | ||||
* | Delek US Holdings Inc. | 1,154,876 | 20,753 | |||
Core Laboratories NV | 722,860 | 20,059 | ||||
Archrock Inc. | 2,404,112 | 19,834 | ||||
* | PBF Energy Inc. Class A | 1,496,593 | 19,411 | |||
Warrior Met Coal Inc. | 801,859 | 18,659 | ||||
* | NOW Inc. | 1,729,685 | 13,232 | |||
* | ProPetro Holding Corp. | 1,363,409 | 11,793 | |||
* | MRC Global Inc. | 1,229,755 | 9,026 | |||
CVR Energy Inc. | 470,334 | 7,836 | ||||
* | RPC Inc. | 1,178,600 | 5,728 | |||
* | Helix Energy Solutions Group Inc. | 1,122,454 | 4,355 | |||
Cimarex Energy Co. | 136 | 12 | ||||
* | ChargePoint Holdings Inc. | 280 | 6 | |||
* | Whiting Petroleum Corp. Warrants Exp. 9/1/25 | 699 | 5 | |||
* | Whiting Petroleum Corp. Class A Warrants Exp. 9/1/24 | 196 | 1 | |||
2,699,839 | ||||||
Financials (22.3%) | ||||||
Signature Bank | 937,252 | 255,195 | ||||
Brown & Brown Inc. | 3,733,308 | 207,012 | ||||
LPL Financial Holdings Inc. | 1,188,966 | 186,382 | ||||
Ares Management Corp. Class A | 2,421,945 | 178,812 | ||||
East West Bancorp Inc. | 2,212,834 | 171,583 | ||||
Comerica Inc. | 2,088,849 | 168,152 | ||||
Carlyle Group Inc. | 3,316,928 | 156,824 | ||||
Zions Bancorp NA | 2,527,760 | 156,443 | ||||
Invesco Ltd. | 6,476,466 | 156,148 | ||||
Assurant Inc. | 917,320 | 144,707 | ||||
* | Athene Holding Ltd. Class A | 2,095,731 | 144,333 | |||
American Financial Group Inc. | 1,123,564 | 141,378 | ||||
First Horizon Corp. | 8,567,510 | 139,565 | ||||
AGNC Investment Corp. | 8,184,950 | 129,077 | ||||
Reinsurance Group of America Inc. | 1,060,503 | 117,992 | ||||
People's United Financial Inc. | 6,674,662 | 116,606 | ||||
Commerce Bancshares Inc. | 1,639,665 | 114,252 | ||||
Janus Henderson Group plc | 2,688,043 | 111,097 | ||||
First American Financial Corp. | 1,628,679 | 109,203 | ||||
Voya Financial Inc. | 1,769,110 | 108,606 | ||||
Jefferies Financial Group Inc. | 2,889,703 | 107,295 |
Shares | Market Value ($000) | |||||
Cullen/Frost Bankers Inc. | 893,510 | 105,988 | ||||
Stifel Financial Corp. | 1,552,595 | 105,514 | ||||
Old Republic International Corp. | 4,530,310 | 104,786 | ||||
Starwood Property Trust Inc. | 4,271,173 | 104,259 | ||||
RenaissanceRe Holdings Ltd. | 734,690 | 102,416 | ||||
Apollo Global Management Inc. | 1,653,894 | 101,863 | ||||
Prosperity Bancshares Inc. | 1,376,911 | 97,940 | ||||
Popular Inc. | 1,258,209 | 97,725 | ||||
First Financial Bankshares Inc. | 2,109,374 | 96,926 | ||||
Lincoln National Corp. | 1,392,141 | 95,710 | ||||
Synovus Financial Corp. | 2,169,913 | 95,237 | ||||
Primerica Inc. | 615,609 | 94,576 | ||||
Affiliated Managers Group Inc. | 610,558 | 92,249 | ||||
Glacier Bancorp Inc. | 1,638,042 | 90,666 | ||||
New York Community Bancorp Inc. | 6,890,348 | 88,679 | ||||
OneMain Holdings Inc. | 1,545,475 | 85,511 | ||||
Valley National Bancorp | 6,341,937 | 84,411 | ||||
Western Alliance Bancorp | 772,099 | 84,020 | ||||
SLM Corp. | 4,769,926 | 83,951 | ||||
PacWest Bancorp | 1,828,119 | 82,850 | ||||
Bank OZK | 1,922,152 | 82,614 | ||||
SouthState Corp. | 1,092,483 | 81,576 | ||||
CIT Group Inc. | 1,546,313 | 80,331 | ||||
New Residential Investment Corp. | 7,276,691 | 80,044 | ||||
MGIC Investment Corp. | 5,291,949 | 79,168 | ||||
Webster Financial Corp. | 1,412,908 | 76,947 | ||||
Lazard Ltd. Class A | 1,670,903 | 76,527 | ||||
First Citizens BancShares Inc. Class A | 89,327 | 75,318 | ||||
Sterling Bancorp | 3,005,175 | 75,009 | ||||
United Bankshares Inc. | 2,015,131 | 73,310 | ||||
Unum Group | 2,868,975 | 71,897 | ||||
Wintrust Financial Corp. | 889,638 | 71,500 | ||||
Selective Insurance Group Inc. | 937,492 | 70,809 | ||||
Blackstone Mortgage Trust Inc. Class A | 2,326,318 | 70,534 | ||||
Evercore Inc. Class A | 525,757 | 70,278 | ||||
Umpqua Holdings Corp. | 3,433,511 | 69,529 | ||||
* | SoFi Technologies Inc. | 4,335,850 | 68,853 | |||
RLI Corp. | 670,109 | 67,192 | ||||
Radian Group Inc. | 2,893,920 | 65,750 | ||||
Hanover Insurance Group Inc. | 501,206 | 64,966 | ||||
Hancock Whitney Corp. | 1,354,563 | 63,827 | ||||
Kemper Corp. | 942,700 | 62,963 | ||||
UMB Financial Corp. | 640,983 | 61,989 | ||||
BankUnited Inc. | 1,447,690 | 60,542 | ||||
First Hawaiian Inc. | 2,021,167 | 59,321 | ||||
Moelis & Co. Class A | 951,530 | 58,871 | ||||
SEI Investments Co. | 990,177 | 58,718 | ||||
* | Brighthouse Financial Inc. | 1,296,028 | 58,619 | |||
FNB Corp. | 4,982,966 | 57,902 | ||||
Community Bank System Inc. | 840,941 | 57,537 | ||||
Axis Capital Holdings Ltd. | 1,189,854 | 54,781 | ||||
Chimera Investment Corp. | 3,680,152 | 54,650 | ||||
Home BancShares Inc. | 2,303,272 | 54,196 | ||||
Eastern Bankshares Inc. | 2,621,489 | 53,216 | ||||
Investors Bancorp Inc. | 3,475,928 | 52,521 | ||||
FirstCash Inc. | 599,421 | 52,449 | ||||
Bank of Hawaii Corp. | 631,359 | 51,879 | ||||
Walker & Dunlop Inc. | 446,683 | 50,699 |
Shares | Market Value ($000) | |||||
Assured Guaranty Ltd. | 1,081,726 | 50,636 | ||||
White Mountains Insurance Group Ltd. | 46,014 | 49,217 | ||||
Navient Corp. | 2,487,195 | 49,072 | ||||
Associated Banc-Corp | 2,266,386 | 48,546 | ||||
Cathay General Bancorp | 1,158,170 | 47,937 | ||||
BancorpSouth Bank | 1,608,986 | 47,916 | ||||
Simmons First National Corp. Class A | 1,604,365 | 47,425 | ||||
* | Texas Capital Bancshares Inc. | 789,165 | 47,366 | |||
Artisan Partners Asset Management Inc. Class A | 960,711 | 46,998 | ||||
Federated Hermes Inc. Class B | 1,445,460 | 46,977 | ||||
CNO Financial Group Inc. | 1,992,831 | 46,911 | ||||
Columbia Banking System Inc. | 1,223,648 | 46,486 | ||||
United Community Banks Inc. | 1,351,072 | 44,342 | ||||
Old National Bancorp | 2,584,633 | 43,810 | ||||
First Bancorp | 3,251,895 | 42,762 | ||||
Atlantic Union Bankshares Corp. | 1,139,463 | 41,989 | ||||
Flagstar Bancorp Inc. | 824,421 | 41,864 | ||||
* | LendingClub Corp. | 1,460,604 | 41,247 | |||
CVB Financial Corp. | 2,013,545 | 41,016 | ||||
Cadence Bancorp Class A | 1,848,782 | 40,599 | ||||
* | Axos Financial Inc. | 786,814 | 40,552 | |||
* | Enstar Group Ltd. | 170,142 | 39,937 | |||
Santander Consumer USA Holdings Inc. | 954,937 | 39,821 | ||||
American National Group Inc. | 209,648 | 39,630 | ||||
Fulton Financial Corp. | 2,543,516 | 38,865 | ||||
BOK Financial Corp. | 431,035 | 38,599 | ||||
American Equity Investment Life Holding Co. | 1,298,556 | 38,398 | ||||
WSFS Financial Corp. | 741,329 | 38,038 | ||||
Independent Bank Corp. | 489,611 | 37,284 | ||||
International Bancshares Corp. | 889,581 | 37,042 | ||||
Piper Sandler Cos. | 267,329 | 37,014 | ||||
* | Cannae Holdings Inc. | 1,178,426 | 36,661 | |||
Essent Group Ltd. | 828,687 | 36,471 | ||||
Houlihan Lokey Inc. Class A | 395,133 | 36,392 | ||||
Washington Federal Inc. | 1,059,709 | 36,359 | ||||
First Merchants Corp. | 844,743 | 35,344 | ||||
Virtus Investment Partners Inc. | 113,363 | 35,179 | ||||
First Midwest Bancorp Inc. | 1,782,639 | 33,888 | ||||
First Financial Bancorp | 1,418,057 | 33,197 | ||||
WesBanco Inc. | 969,091 | 33,027 | ||||
Apollo Commercial Real Estate Finance Inc. | 2,181,789 | 32,356 | ||||
Towne Bank | 1,019,868 | 31,728 | ||||
MFA Financial Inc. | 6,874,785 | 31,418 | ||||
Two Harbors Investment Corp. | 4,895,988 | 31,041 | ||||
Hilltop Holdings Inc. | 949,340 | 31,015 | ||||
Renasant Corp. | 834,919 | 30,099 | ||||
PennyMac Mortgage Investment Trust | 1,526,271 | 30,052 | ||||
* | Genworth Financial Inc. Class A | 7,913,226 | 29,675 | |||
PennyMac Financial Services Inc. | 483,913 | 29,582 | ||||
Eagle Bancorp Inc. | 498,568 | 28,668 | ||||
* | PRA Group Inc. | 679,207 | 28,622 | |||
Banner Corp. | 511,958 | 28,265 | ||||
Trustmark Corp. | 876,667 | 28,246 | ||||
Great Western Bancorp Inc. | 859,659 | 28,145 | ||||
Park National Corp. | 229,368 | 27,971 | ||||
BGC Partners Inc. Class A | 5,298,175 | 27,603 | ||||
Argo Group International Holdings Ltd. | 516,412 | 26,967 | ||||
1 | iStar Inc. | 1,062,332 | 26,643 |
Shares | Market Value ($000) | |||||
Hope Bancorp Inc. | 1,821,032 | 26,296 | ||||
Horace Mann Educators Corp. | 647,093 | 25,748 | ||||
Provident Financial Services Inc. | 1,094,851 | 25,696 | ||||
Northwest Bancshares Inc. | 1,880,180 | 24,969 | ||||
* | Mr Cooper Group Inc. | 604,294 | 24,879 | |||
First Interstate BancSystem Inc. Class A | 616,989 | 24,840 | ||||
Mercury General Corp. | 431,880 | 24,043 | ||||
Capitol Federal Financial Inc. | 2,057,217 | 23,637 | ||||
NBT Bancorp Inc. | 642,190 | 23,196 | ||||
Redwood Trust Inc. | 1,756,107 | 22,636 | ||||
Westamerica Bancorp | 398,122 | 22,398 | ||||
* | Encore Capital Group Inc. | 448,556 | 22,100 | |||
Independent Bank Group Inc. | 285,949 | 20,314 | ||||
OFG Bancorp | 805,405 | 20,312 | ||||
ProAssurance Corp. | 841,934 | 20,021 | ||||
Ladder Capital Corp. | 1,771,875 | 19,579 | ||||
Blue Owl Capital Inc. | 1,247,125 | 19,405 | ||||
First Commonwealth Financial Corp. | 1,421,824 | 19,379 | ||||
Broadmark Realty Capital Inc. | 1,964,784 | 19,373 | ||||
Nelnet Inc. Class A | 236,825 | 18,766 | ||||
Berkshire Hills Bancorp Inc. | 686,900 | 18,533 | ||||
City Holding Co. | 228,003 | 17,764 | ||||
Brookline Bancorp Inc. | 1,156,491 | 17,648 | ||||
Safety Insurance Group Inc. | 221,904 | 17,586 | ||||
* | Ryan Specialty Group Holdings Inc. Class A | 514,191 | 17,416 | |||
S&T Bancorp Inc. | 583,089 | 17,184 | ||||
Employers Holdings Inc. | 419,265 | 16,557 | ||||
Tompkins Financial Corp. | 195,407 | 15,810 | ||||
BancFirst Corp. | 255,755 | 15,376 | ||||
Heartland Financial USA Inc. | 297,226 | 14,291 | ||||
*,1 | Invesco Mortgage Capital Inc. | 4,518,372 | 14,233 | |||
State Auto Financial Corp. | 276,274 | 14,076 | ||||
ARMOUR Residential REIT Inc. | 1,296,013 | 13,971 | ||||
BrightSpire Capital Inc. Class A | 1,416,366 | 13,300 | ||||
* | World Acceptance Corp. | 68,609 | 13,007 | |||
* | SiriusPoint Ltd. | 1,390,801 | 12,879 | |||
KKR Real Estate Finance Trust Inc. | 607,338 | 12,815 | ||||
TPG RE Finance Trust Inc. | 960,874 | 11,896 | ||||
Northfield Bancorp Inc. | 673,530 | 11,558 | ||||
* | Blucora Inc. | 721,116 | 11,242 | |||
WisdomTree Investments Inc. | 1,923,783 | 10,908 | ||||
* | Columbia Financial Inc. | 582,909 | 10,784 | |||
Central Pacific Financial Corp. | 417,150 | 10,712 | ||||
* | Ambac Financial Group Inc. | 723,773 | 10,364 | |||
Capstead Mortgage Corp. | 1,439,150 | 9,628 | ||||
National Bank Holdings Corp. Class A | 228,074 | 9,232 | ||||
United Fire Group Inc. | 391,749 | 9,049 | ||||
Kearny Financial Corp. | 566,654 | 7,044 | ||||
1 | GCM Grosvenor Inc. Class A | 565,161 | 6,511 | |||
National Western Life Group Inc. Class A | 29,495 | 6,211 | ||||
* | Clearwater Analytics Holdings Inc. Class A | 233,950 | 5,991 | |||
Granite Point Mortgage Trust Inc. | 427,091 | 5,625 | ||||
*,1 | Romeo Power Inc. | 731,258 | 3,620 | |||
* | AssetMark Financial Holdings Inc. | 143,820 | 3,577 | |||
*,1 | MetroMile Inc. | 691,644 | 2,455 | |||
loanDepot Inc. Class A | 255,983 | 1,733 | ||||
Associated Capital Group Inc. Class A | 26,199 | 980 |
Shares | Market Value ($000) | |||||
StepStone Group Inc. Class A | 140 | 6 | ||||
*,2 | Frontier Financial Corp. | 2 | — | |||
10,554,840 | ||||||
Health Care (6.3%) | ||||||
* | Molina Healthcare Inc. | 910,837 | 247,119 | |||
* | Novavax Inc. | 1,011,695 | 209,735 | |||
Organon & Co. | 3,954,488 | 129,668 | ||||
* | United Therapeutics Corp. | 700,208 | 129,244 | |||
* | Mirati Therapeutics Inc. | 724,653 | 128,198 | |||
* | Jazz Pharmaceuticals plc | 905,772 | 117,941 | |||
Encompass Health Corp. | 1,552,049 | 116,466 | ||||
* | Tenet Healthcare Corp. | 1,669,728 | 110,937 | |||
* | Envista Holdings Corp. | 2,515,292 | 105,164 | |||
Perrigo Co. plc | 2,085,443 | 98,704 | ||||
* | Acadia Healthcare Co. Inc. | 1,401,634 | 89,396 | |||
Hill-Rom Holdings Inc. | 513,320 | 76,998 | ||||
* | Pacific Biosciences of California Inc. | 2,948,544 | 75,335 | |||
Premier Inc. Class A | 1,819,345 | 70,518 | ||||
* | Bridgebio Pharma Inc. | 1,335,376 | 62,589 | |||
Select Medical Holdings Corp. | 1,679,288 | 60,740 | ||||
* | Iovance Biotherapeutics Inc. | 2,055,319 | 50,684 | |||
* | Kodiak Sciences Inc. | 481,493 | 46,214 | |||
* | Integer Holdings Corp. | 514,744 | 45,987 | |||
* | Prestige Consumer Healthcare Inc. | 780,814 | 43,812 | |||
* | Karuna Therapeutics Inc. | 345,702 | 42,290 | |||
* | Reata Pharmaceuticals Inc. Class A | 417,109 | 41,965 | |||
Patterson Cos. Inc. | 1,364,896 | 41,138 | ||||
* | Turning Point Therapeutics Inc. | 616,483 | 40,953 | |||
* | Myriad Genetics Inc. | 1,156,587 | 37,346 | |||
* | MEDNAX Inc. | 1,278,858 | 36,358 | |||
Owens & Minor Inc. | 1,118,133 | 34,986 | ||||
* | Magellan Health Inc. | 369,030 | 34,892 | |||
* | Outset Medical Inc. | 686,200 | 33,926 | |||
* | TG Therapeutics Inc. | 1,003,010 | 33,380 | |||
* | Atea Pharmaceuticals Inc. | 903,714 | 31,684 | |||
CONMED Corp. | 227,410 | 29,752 | ||||
Healthcare Services Group Inc. | 1,164,386 | 29,098 | ||||
* | Kymera Therapeutics Inc. | 477,636 | 28,056 | |||
* | Avanos Medical Inc. | 750,618 | 23,419 | |||
* | Surgery Partners Inc. | 514,602 | 21,788 | |||
* | Agios Pharmaceuticals Inc. | 459,517 | 21,207 | |||
* | ALX Oncology Holdings Inc. | 282,650 | 20,877 | |||
* | Brookdale Senior Living Inc. | 2,890,231 | 18,208 | |||
* | Varex Imaging Corp. | 612,903 | 17,284 | |||
* | Tivity Health Inc. | 657,213 | 15,155 | |||
*,1 | Multiplan Corp. | 2,604,580 | 14,664 | |||
* | Axsome Therapeutics Inc. | 442,160 | 14,574 | |||
* | Madrigal Pharmaceuticals Inc. | 180,634 | 14,413 | |||
* | Cano Health Inc. | 1,079,657 | 13,690 | |||
National HealthCare Corp. | 191,806 | 13,423 | ||||
* | Meridian Bioscience Inc. | 674,804 | 12,983 | |||
* | American Well Corp. Class A | 1,314,966 | 11,979 | |||
* | NextGen Healthcare Inc. | 838,422 | 11,822 | |||
*,1 | Cerevel Therapeutics Holdings Inc. | 395,418 | 11,665 | |||
*,1 | Butterfly Network Inc. | 1,110,473 | 11,593 | |||
*,1 | Clover Health Investments Corp. | 1,563,132 | 11,552 | |||
* | Allovir Inc. | 457,063 | 11,454 | |||
* | Endo International plc | 3,442,074 | 11,152 |
Shares | Market Value ($000) | |||||
* | Forma Therapeutics Holdings Inc. | 480,474 | 11,142 | |||
* | Nuvation Bio Inc. | 1,108,641 | 11,020 | |||
*,1 | OPKO Health Inc. | 2,933,076 | 10,706 | |||
* | Supernus Pharmaceuticals Inc. | 393,494 | 10,495 | |||
* | Praxis Precision Medicines Inc. | 557,891 | 10,315 | |||
* | Amneal Pharmaceuticals Inc. | 1,864,644 | 9,957 | |||
* | Stoke Therapeutics Inc. | 315,334 | 8,022 | |||
* | Hims & Hers Health Inc. | 987,623 | 7,447 | |||
* | Adagio Therapeutics Inc. | 173,517 | 7,329 | |||
Phibro Animal Health Corp. Class A | 317,292 | 6,835 | ||||
* | Zogenix Inc. | 437,084 | 6,639 | |||
* | Definitive Healthcare Corp. Class A | 136,415 | 5,843 | |||
* | Orthofix Medical Inc. | 145,965 | 5,564 | |||
* | Immunovant Inc. | 630,560 | 5,480 | |||
* | Verve Therapeutics Inc. | 112,227 | 5,275 | |||
* | Kiniksa Pharmaceuticals Ltd. Class A | 433,458 | 4,937 | |||
* | Aerie Pharmaceuticals Inc. | 368,538 | 4,201 | |||
* | Erasca Inc. | 189,105 | 4,013 | |||
* | NGM Biopharmaceuticals Inc. | 181,078 | 3,806 | |||
*,1 | G1 Therapeutics Inc. | 261,820 | 3,514 | |||
* | Lyell Immunopharma Inc. | 189,486 | 2,804 | |||
*,1 | Silverback Therapeutics Inc. | 273,221 | 2,727 | |||
* | Cytek Biosciences Inc. | 102,816 | 2,201 | |||
* | Monte Rosa Therapeutics Inc. | 90,404 | 2,014 | |||
* | PROCEPT BioRobotics Corp. | 49,421 | 1,885 | |||
* | Day One Biopharmaceuticals Inc. | 70,589 | 1,675 | |||
* | Nuvalent Inc. Class A | 64,551 | 1,456 | |||
* | Absci Corp. | 71,969 | 837 | |||
* | Bright Health Group Inc. | 49,145 | 401 | |||
* | Warby Parker Inc. Class A | 4,061 | 215 | |||
*,1 | Cue Health Inc. | 10,364 | 122 | |||
* | Denali Therapeutics Inc. | 286 | 14 | |||
* | Privia Health Group Inc. | 322 | 8 | |||
* | Doximity Inc. Class A | 84 | 7 | |||
* | Olema Pharmaceuticals Inc. | 120 | 3 | |||
* | Recursion Pharmaceuticals Inc. Class A | 114 | 3 | |||
* | AnaptysBio Inc. | 68 | 2 | |||
* | Harmony Biosciences Holdings Inc. | 52 | 2 | |||
* | Agiliti Inc. | 120 | 2 | |||
* | LifeStance Health Group Inc. | 136 | 2 | |||
* | Black Diamond Therapeutics Inc. | 84 | 1 | |||
* | Design Therapeutics Inc. | 52 | 1 | |||
* | Treace Medical Concepts Inc. | 36 | 1 | |||
* | Aveanna Healthcare Holdings Inc. | 166 | 1 | |||
*,1,2 | Synergy Pharmaceuticals LLC | 1,169,882 | — | |||
* | Singular Genomics Systems Inc. | 36 | — | |||
2,973,099 | ||||||
Industrials (19.7%) | ||||||
Quanta Services Inc. | 2,170,255 | 247,018 | ||||
IDEX Corp. | 1,185,368 | 245,312 | ||||
Pentair plc | 2,587,006 | 187,894 | ||||
Howmet Aerospace Inc. | 6,020,690 | 187,846 | ||||
Allegion plc | 1,398,926 | 184,910 | ||||
Booz Allen Hamilton Holding Corp. Class A | 2,108,466 | 167,307 | ||||
* | Builders FirstSource Inc. | 3,231,622 | 167,204 | |||
Robert Half International Inc. | 1,659,054 | 166,453 | ||||
Carlisle Cos. Inc. | 812,968 | 161,610 | ||||
RPM International Inc. | 2,023,972 | 157,161 |
Shares | Market Value ($000) | |||||
* | AECOM | 2,246,827 | 141,887 | |||
Owens Corning | 1,608,430 | 137,521 | ||||
* | Sensata Technologies Holding plc | 2,469,802 | 135,148 | |||
Sealed Air Corp. | 2,337,919 | 128,095 | ||||
Tetra Tech Inc. | 843,296 | 125,938 | ||||
AptarGroup Inc. | 1,028,735 | 122,780 | ||||
Huntington Ingalls Industries Inc. | 626,089 | 120,873 | ||||
Lincoln Electric Holdings Inc. | 926,405 | 119,312 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 2,329,713 | 119,165 | ||||
* | Rexnord Corp. | 1,794,717 | 115,382 | |||
ITT Inc. | 1,343,023 | 115,285 | ||||
AGCO Corp. | 940,629 | 115,255 | ||||
Brunswick Corp. | 1,208,735 | 115,156 | ||||
Donaldson Co. Inc. | 1,958,870 | 112,459 | ||||
Oshkosh Corp. | 1,070,557 | 109,593 | ||||
* | Axalta Coating Systems Ltd. | 3,589,485 | 104,777 | |||
* | Colfax Corp. | 2,280,100 | 104,657 | |||
EMCOR Group Inc. | 838,340 | 96,728 | ||||
Acuity Brands Inc. | 556,891 | 96,548 | ||||
Regal Beloit Corp. | 634,657 | 95,414 | ||||
MDU Resources Group Inc. | 3,156,845 | 93,664 | ||||
ManpowerGroup Inc. | 845,897 | 91,594 | ||||
Sonoco Products Co. | 1,533,587 | 91,371 | ||||
Graphic Packaging Holding Co. | 4,788,712 | 91,177 | ||||
Louisiana-Pacific Corp. | 1,485,333 | 91,155 | ||||
* | WESCO International Inc. | 785,629 | 90,599 | |||
Vontier Corp. | 2,634,726 | 88,527 | ||||
nVent Electric plc | 2,621,500 | 84,753 | ||||
MSA Safety Inc. | 580,635 | 84,598 | ||||
Curtiss-Wright Corp. | 637,637 | 80,457 | ||||
Hubbell Inc. Class B | 423,972 | 76,599 | ||||
* | Mohawk Industries Inc. | 430,660 | 76,399 | |||
* | MasTec Inc. | 869,275 | 75,001 | |||
* | Middleby Corp. | 433,822 | 73,971 | |||
Valmont Industries Inc. | 314,304 | 73,899 | ||||
Crane Co. | 777,395 | 73,705 | ||||
Spirit AeroSystems Holdings Inc. Class A | 1,644,321 | 72,663 | ||||
Watts Water Technologies Inc. Class A | 429,979 | 72,275 | ||||
* | FTI Consulting Inc. | 534,654 | 72,018 | |||
Flowserve Corp. | 2,031,839 | 70,444 | ||||
* | GXO Logistics Inc. | 894,237 | 70,144 | |||
Air Lease Corp. Class A | 1,691,122 | 66,529 | ||||
Ryder System Inc. | 796,745 | 65,899 | ||||
* | Herc Holdings Inc. | 393,013 | 64,242 | |||
Korn Ferry | 867,921 | 62,803 | ||||
* | Atkore Inc. | 718,998 | 62,495 | |||
* | XPO Logistics Inc. | 759,787 | 60,464 | |||
*,3 | API Group Corp. | 2,894,854 | 58,910 | |||
* | Summit Materials Inc. Class A | 1,839,277 | 58,802 | |||
Allison Transmission Holdings Inc. | 1,649,593 | 58,264 | ||||
Altra Industrial Motion Corp. | 1,011,706 | 55,998 | ||||
MSC Industrial Direct Co. Inc. Class A | 696,310 | 55,837 | ||||
* | Resideo Technologies Inc. | 2,248,687 | 55,745 | |||
Matson Inc. | 677,848 | 54,709 | ||||
Triton International Ltd. | 1,051,129 | 54,701 | ||||
Alliance Data Systems Corp. | 537,245 | 54,203 | ||||
Applied Industrial Technologies Inc. | 600,718 | 54,143 | ||||
Woodward Inc. | 471,232 | 53,343 |
Shares | Market Value ($000) | |||||
HB Fuller Co. | 819,712 | 52,921 | ||||
EVERTEC Inc. | 1,122,517 | 51,321 | ||||
UniFirst Corp. | 237,711 | 50,542 | ||||
GATX Corp. | 553,675 | 49,587 | ||||
Silgan Holdings Inc. | 1,291,490 | 49,542 | ||||
EnerSys | 662,986 | 49,353 | ||||
Brink's Co. | 776,568 | 49,157 | ||||
SPX FLOW Inc. | 649,333 | 47,466 | ||||
Macquarie Infrastructure Holdings LLC | 1,165,618 | 47,277 | ||||
ABM Industries Inc. | 1,046,959 | 47,124 | ||||
* | Kirby Corp. | 937,486 | 44,962 | |||
Kennametal Inc. | 1,304,239 | 44,644 | ||||
* | Alight Inc. Class A | 3,830,600 | 43,975 | |||
Hillenbrand Inc. | 1,025,398 | 43,733 | ||||
Terex Corp. | 1,034,255 | 43,542 | ||||
* | Beacon Roofing Supply Inc. | 873,755 | 41,731 | |||
Belden Inc. | 699,573 | 40,757 | ||||
* | Green Dot Corp. Class A | 809,622 | 40,748 | |||
Werner Enterprises Inc. | 900,548 | 39,867 | ||||
* | JELD-WEN Holding Inc. | 1,545,965 | 38,695 | |||
* | Atlas Air Worldwide Holdings Inc. | 452,755 | 36,981 | |||
Albany International Corp. Class A | 479,732 | 36,877 | ||||
Brady Corp. Class A | 718,895 | 36,448 | ||||
Otter Tail Corp. | 647,609 | 36,247 | ||||
* | SPX Corp. | 671,534 | 35,893 | |||
Trinity Industries Inc. | 1,316,767 | 35,777 | ||||
Armstrong World Industries Inc. | 371,209 | 35,439 | ||||
* | Fluor Corp. | 2,205,502 | 35,222 | |||
* | O-I Glass Inc. | 2,453,155 | 35,007 | |||
Moog Inc. Class A | 456,609 | 34,807 | ||||
* | Hub Group Inc. Class A | 499,624 | 34,349 | |||
* | Allegheny Technologies Inc. | 1,984,503 | 33,002 | |||
ManTech International Corp. Class A | 429,051 | 32,574 | ||||
Barnes Group Inc. | 749,463 | 31,275 | ||||
ArcBest Corp. | 378,432 | 30,944 | ||||
ESCO Technologies Inc. | 386,222 | 29,739 | ||||
Encore Wire Corp. | 305,825 | 29,001 | ||||
Granite Construction Inc. | 714,573 | 28,261 | ||||
EnPro Industries Inc. | 321,417 | 28,002 | ||||
* | GMS Inc. | 638,617 | 27,971 | |||
TTEC Holdings Inc. | 292,775 | 27,383 | ||||
McGrath RentCorp | 377,854 | 27,187 | ||||
* | Ferro Corp. | 1,289,821 | 26,235 | |||
* | Gates Industrial Corp. plc | 1,593,086 | 25,919 | |||
Greif Inc. Class A | 393,357 | 25,411 | ||||
* | OSI Systems Inc. | 251,120 | 23,806 | |||
Deluxe Corp. | 662,899 | 23,791 | ||||
* | Meritor Inc. | 1,094,155 | 23,316 | |||
* | TriMas Corp. | 669,504 | 21,665 | |||
Greenbrier Cos. Inc. | 479,766 | 20,625 | ||||
AZZ Inc. | 371,241 | 19,750 | ||||
Griffon Corp. | 795,445 | 19,568 | ||||
Primoris Services Corp. | 795,991 | 19,494 | ||||
ADT Inc. | 2,390,750 | 19,341 | ||||
Comfort Systems USA Inc. | 268,893 | 19,177 | ||||
Pitney Bowes Inc. | 2,602,871 | 18,767 | ||||
Schneider National Inc. Class B | 810,549 | 18,432 | ||||
* | Huron Consulting Group Inc. | 350,056 | 18,203 |
Shares | Market Value ($000) | |||||
Astec Industries Inc. | 336,905 | 18,129 | ||||
Kforce Inc. | 303,674 | 18,111 | ||||
Standex International Corp. | 181,028 | 17,905 | ||||
* | AAR Corp. | 526,158 | 17,063 | |||
* | CoreCivic Inc. | 1,875,984 | 16,696 | |||
H&E Equipment Services Inc. | 478,543 | 16,610 | ||||
* | Conduent Inc. | 2,483,985 | 16,369 | |||
* | Dycom Industries Inc. | 227,678 | 16,220 | |||
Kaman Corp. | 434,156 | 15,486 | ||||
Maxar Technologies Inc. | 535,749 | 15,172 | ||||
* | TrueBlue Inc. | 552,391 | 14,959 | |||
Apogee Enterprises Inc. | 378,196 | 14,281 | ||||
* | BrightView Holdings Inc. | 820,023 | 12,104 | |||
Heartland Express Inc. | 743,592 | 11,912 | ||||
Wabash National Corp. | 741,268 | 11,215 | ||||
Quanex Building Products Corp. | 522,273 | 11,182 | ||||
* | Advantage Solutions Inc. | 1,242,355 | 10,746 | |||
* | Danimer Scientific Inc. | 647,706 | 10,583 | |||
* | CIRCOR International Inc. | 314,418 | 10,379 | |||
Kelly Services Inc. Class A | 535,151 | 10,104 | ||||
* | ZipRecruiter Inc. Class A | 356,280 | 9,833 | |||
Enerpac Tool Group Corp. Class A | 467,599 | 9,693 | ||||
* | First Advantage Corp. | 476,684 | 9,081 | |||
* | Triumph Group Inc. | 478,783 | 8,920 | |||
*,1 | Desktop Metal Inc. Class A | 1,219,546 | 8,744 | |||
REV Group Inc. | 504,913 | 8,664 | ||||
* | Tutor Perini Corp. | 636,952 | 8,268 | |||
* | BTRS Holdings Inc. | 775,389 | 8,250 | |||
Hyster-Yale Materials Handling Inc. | 161,257 | 8,105 | ||||
*,1 | Latch Inc. | 715,725 | 8,066 | |||
*,1 | Hyliion Holdings Corp. | 944,513 | 7,934 | |||
National Presto Industries Inc. | 82,331 | 6,758 | ||||
Greif Inc. Class B | 102,991 | 6,674 | ||||
International Seaways Inc. | 355,484 | 6,477 | ||||
* | Vivint Smart Home Inc. | 654,345 | 6,184 | |||
Gorman-Rupp Co. | 162,919 | 5,834 | ||||
* | CS Disco Inc. | 112,703 | 5,403 | |||
* | Payoneer Global Inc. | 579,588 | 4,955 | |||
*,1 | Velodyne Lidar Inc. | 762,321 | 4,513 | |||
* | Thermon Group Holdings Inc. | 259,493 | 4,492 | |||
Kronos Worldwide Inc. | 360,173 | 4,470 | ||||
* | Hillman Solutions Corp. | 365,527 | 4,361 | |||
* | American Woodmark Corp. | 64,687 | 4,229 | |||
*,1 | View Inc. | 764,678 | 4,145 | |||
* | Flywire Corp. | 74,527 | 3,267 | |||
* | Sterling Check Corp. | 107,921 | 2,802 | |||
* | Legalzoom.com Inc. | 8,271 | 218 | |||
* | Remitly Global Inc. | 839 | 31 | |||
* | Welbilt Inc. | 468 | 11 | |||
* | PureCycle Technologies Inc. | 302 | 4 | |||
* | Core & Main Inc. Class A | 140 | 4 | |||
* | TaskUS Inc. Class A | 48 | 3 | |||
* | Paymentus Holdings Inc. Class A | 36 | 1 | |||
9,331,238 | ||||||
Real Estate (9.9%) | ||||||
VICI Properties Inc. | 9,575,384 | 272,037 | ||||
Kimco Realty Corp. | 9,558,805 | 198,345 | ||||
* | Jones Lang LaSalle Inc. | 790,743 | 196,175 |
Shares | Market Value ($000) | |||||
Medical Properties Trust Inc. | 9,290,832 | 186,467 | ||||
Gaming & Leisure Properties Inc. | 3,471,674 | 160,808 | ||||
Federal Realty Investment Trust | 1,212,933 | 143,114 | ||||
Life Storage Inc. | 1,221,487 | 140,153 | ||||
Apartment Income REIT Corp. | 2,448,151 | 119,494 | ||||
Vornado Realty Trust | 2,838,387 | 119,241 | ||||
National Retail Properties Inc. | 2,738,863 | 118,291 | ||||
Omega Healthcare Investors Inc. | 3,725,791 | 111,625 | ||||
EastGroup Properties Inc. | 630,192 | 105,009 | ||||
First Industrial Realty Trust Inc. | 2,014,094 | 104,894 | ||||
Brixmor Property Group Inc. | 4,632,108 | 102,416 | ||||
Cousins Properties Inc. | 2,319,004 | 86,476 | ||||
Douglas Emmett Inc. | 2,600,016 | 82,186 | ||||
VEREIT Inc. | 1,786,997 | 80,826 | ||||
Rayonier Inc. | 2,204,235 | 78,647 | ||||
Lamar Advertising Co. Class A | 676,624 | 76,763 | ||||
SL Green Realty Corp. | 1,047,503 | 74,205 | ||||
Highwoods Properties Inc. | 1,625,339 | 71,287 | ||||
Agree Realty Corp. | 1,074,898 | 71,190 | ||||
Healthcare Realty Trust Inc. | 2,269,744 | 67,593 | ||||
* | Park Hotels & Resorts Inc. | 3,503,875 | 67,064 | |||
Hudson Pacific Properties Inc. | 2,378,112 | 62,473 | ||||
Kilroy Realty Corp. | 907,682 | 60,098 | ||||
Physicians Realty Trust | 3,389,787 | 59,728 | ||||
JBG SMITH Properties | 1,954,406 | 57,870 | ||||
EPR Properties | 1,166,673 | 57,610 | ||||
Outfront Media Inc. | 2,270,825 | 57,225 | ||||
Lexington Realty Trust | 4,330,929 | 55,219 | ||||
Apple Hospitality REIT Inc. | 3,383,003 | 53,215 | ||||
Macerich Co. | 3,156,057 | 52,738 | ||||
PotlatchDeltic Corp. | 993,378 | 51,238 | ||||
Sabra Health Care REIT Inc. | 3,444,064 | 50,697 | ||||
Corporate Office Properties Trust | 1,752,104 | 47,272 | ||||
* | Equity Commonwealth | 1,806,704 | 46,938 | |||
SITE Centers Corp. | 2,797,768 | 43,197 | ||||
Retail Properties of America Inc. Class A | 3,350,301 | 43,152 | ||||
* | Cushman & Wakefield plc | 2,262,654 | 42,108 | |||
* | Sunstone Hotel Investors Inc. | 3,416,130 | 40,789 | |||
Kennedy-Wilson Holdings Inc. | 1,865,598 | 39,028 | ||||
RLJ Lodging Trust | 2,597,087 | 38,593 | ||||
National Health Investors Inc. | 679,427 | 36,349 | ||||
Brandywine Realty Trust | 2,665,612 | 35,772 | ||||
Newmark Group Inc. Class A | 2,450,159 | 35,062 | ||||
Columbia Property Trust Inc. | 1,792,115 | 34,086 | ||||
Piedmont Office Realty Trust Inc. Class A | 1,936,144 | 33,747 | ||||
Washington REIT | 1,319,729 | 32,663 | ||||
* | Realogy Holdings Corp. | 1,821,657 | 31,952 | |||
Urban Edge Properties | 1,735,667 | 31,780 | ||||
* | Xenia Hotels & Resorts Inc. | 1,781,247 | 31,599 | |||
Retail Opportunity Investments Corp. | 1,799,132 | 31,341 | ||||
* | DiamondRock Hospitality Co. | 3,284,729 | 31,041 | |||
Service Properties Trust | 2,571,011 | 28,821 | ||||
American Assets Trust Inc. | 754,479 | 28,233 | ||||
Acadia Realty Trust | 1,379,243 | 28,150 | ||||
Empire State Realty Trust Inc. Class A | 2,689,087 | 26,972 | ||||
Industrial Logistics Properties Trust | 1,018,848 | 25,889 | ||||
Alexander & Baldwin Inc. | 1,074,520 | 25,187 | ||||
Tanger Factory Outlet Centers Inc. | 1,540,395 | 25,108 |
Shares | Market Value ($000) | |||||
Global Net Lease Inc. | 1,485,307 | 23,795 | ||||
* | DigitalBridge Group Inc. | 3,840,164 | 23,156 | |||
Pebblebrook Hotel Trust | 1,024,428 | 22,957 | ||||
Centerspace | 219,091 | 20,704 | ||||
* | Mack-Cali Realty Corp. | 1,205,686 | 20,641 | |||
LTC Properties Inc. | 614,268 | 19,466 | ||||
Office Properties Income Trust | 753,960 | 19,098 | ||||
Getty Realty Corp. | 591,833 | 17,347 | ||||
RPT Realty | 1,266,190 | 16,157 | ||||
Apartment Investment & Management Co. Class A | 2,334,254 | 15,990 | ||||
CareTrust REIT Inc. | 756,421 | 15,370 | ||||
American Finance Trust Inc. Class A | 1,837,160 | 14,771 | ||||
1 | GEO Group Inc. | 1,810,984 | 13,528 | |||
Diversified Healthcare Trust | 3,716,705 | 12,600 | ||||
Saul Centers Inc. | 183,795 | 8,098 | ||||
RMR Group Inc. Class A | 241,299 | 8,071 | ||||
* | Summit Hotel Properties Inc. | 789,559 | 7,603 | |||
* | Seritage Growth Properties Class A | 476,309 | 7,064 | |||
Franklin Street Properties Corp. | 1,515,002 | 7,030 | ||||
* | Forestar Group Inc. | 272,659 | 5,080 | |||
Phillips Edison & Co. Inc. | 156,065 | 4,793 | ||||
Urstadt Biddle Properties Inc. Class A | 232,162 | 4,395 | ||||
* | Bridge Investment Group Holdings Inc. Class A | 186,470 | 3,295 | |||
Urstadt Biddle Properties Inc. | 20,921 | 358 | ||||
* | Compass Inc. Class A | 7,290 | 97 | |||
*,2 | Spirit MTA REIT | 334,911 | 90 | |||
Uniti Group Inc. | 852 | 10 | ||||
4,658,810 | ||||||
Technology (6.5%) | ||||||
* | Nuance Communications Inc. | 4,905,105 | 269,977 | |||
* | DXC Technology Co. | 3,928,853 | 132,049 | |||
* | Arrow Electronics Inc. | 1,120,107 | 125,777 | |||
Jabil Inc. | 2,046,979 | 119,482 | ||||
* | Concentrix Corp. | 651,506 | 115,317 | |||
* | Synaptics Inc. | 605,937 | 108,905 | |||
Leidos Holdings Inc. | 1,103,998 | 106,127 | ||||
* | CACI International Inc. Class A | 367,873 | 96,420 | |||
* | F5 Networks Inc. | 470,316 | 93,489 | |||
* | Teradata Corp. | 1,616,497 | 92,706 | |||
KBR Inc. | 2,195,780 | 86,514 | ||||
* | Change Healthcare Inc. | 3,878,551 | 81,217 | |||
* | NCR Corp. | 2,049,315 | 79,431 | |||
Science Applications International Corp. | 904,015 | 77,348 | ||||
* | ON Semiconductor Corp. | 1,679,430 | 76,868 | |||
* | Cirrus Logic Inc. | 898,280 | 73,973 | |||
SYNNEX Corp. | 648,000 | 67,457 | ||||
Avnet Inc. | 1,551,758 | 57,368 | ||||
* | Cerence Inc. | 592,743 | 56,969 | |||
*,1 | C3.ai Inc. Class A | 1,096,545 | 50,814 | |||
* | Insight Enterprises Inc. | 543,610 | 48,968 | |||
* | Dun & Bradstreet Holdings Inc. | 2,689,364 | 45,208 | |||
Xerox Holdings Corp. | 2,088,165 | 42,118 | ||||
Vishay Intertechnology Inc. | 2,069,606 | 41,578 | ||||
* | Verint Systems Inc. | 912,214 | 40,858 | |||
CDK Global Inc. | 941,760 | 40,072 | ||||
* | Plexus Corp. | 440,571 | 39,391 | |||
* | Momentive Global Inc. | 1,955,339 | 38,325 | |||
Amkor Technology Inc. | 1,523,991 | 38,024 |
Shares | Market Value ($000) | |||||
* | Rambus Inc. | 1,698,267 | 37,702 | |||
* | Sanmina Corp. | 964,397 | 37,168 | |||
Progress Software Corp. | 682,302 | 33,562 | ||||
*,1 | SentinelOne Inc. Class A | 584,833 | 31,330 | |||
Xperi Holding Corp. | 1,633,823 | 30,781 | ||||
* | NetScout Systems Inc. | 1,097,395 | 29,575 | |||
* | Covetrus Inc. | 1,608,362 | 29,176 | |||
* | Allegro MicroSystems Inc. | 887,299 | 28,358 | |||
McAfee Corp. Class A | 1,234,175 | 27,288 | ||||
* | Blackbaud Inc. | 381,136 | 26,813 | |||
* | Unisys Corp. | 994,478 | 25,001 | |||
* | Allscripts Healthcare Solutions Inc. | 1,852,352 | 24,766 | |||
* | Avaya Holdings Corp. | 1,247,720 | 24,692 | |||
* | Super Micro Computer Inc. | 662,026 | 24,210 | |||
Methode Electronics Inc. | 565,900 | 23,796 | ||||
* | LiveRamp Holdings Inc. | 503,173 | 23,765 | |||
CSG Systems International Inc. | 485,204 | 23,387 | ||||
* | TTM Technologies Inc. | 1,596,690 | 20,070 | |||
* | Squarespace Inc. Class A | 421,690 | 16,294 | |||
Benchmark Electronics Inc. | 527,121 | 14,079 | ||||
* | ScanSource Inc. | 397,153 | 13,817 | |||
* | Olo Inc. Class A | 430,984 | 12,942 | |||
*,1 | E2open Parent Holdings Inc. | 1,140,862 | 12,892 | |||
*,1 | Confluent Inc. Class A | 215,007 | 12,825 | |||
* | JFrog Ltd. | 373,963 | 12,528 | |||
* | Sumo Logic Inc. | 666,556 | 10,745 | |||
SolarWinds Corp. | 615,931 | 10,305 | ||||
* | Paycor HCM Inc. | 271,346 | 9,541 | |||
* | Freshworks Inc. Class A | 220,056 | 9,394 | |||
* | Groupon Inc. | 391,418 | 8,928 | |||
* | KnowBe4 Inc. Class A | 331,792 | 7,286 | |||
* | Thoughtworks Holding Inc. | 237,839 | 6,828 | |||
* | Aeva Technologies Inc. | 826,038 | 6,559 | |||
*,1 | Ouster Inc. | 885,354 | 6,481 | |||
*,1 | N-Able Inc. | 487,676 | 6,052 | |||
* | Diebold Nixdorf Inc. | 577,502 | 5,839 | |||
Ebix Inc. | 193,926 | 5,222 | ||||
* | Vertex Inc. Class A | 202,469 | 3,891 | |||
* | Clear Secure Inc. Class A | 87,049 | 3,573 | |||
* | Rackspace Technology Inc. | 243,557 | 3,463 | |||
* | WM Technology Inc. | 233,283 | 3,383 | |||
* | ForgeRock Inc. Class A | 85,779 | 3,339 | |||
* | SmartRent Inc. Class A | 226,528 | 2,949 | |||
* | Sprinklr Inc. Class A | 121,179 | 2,121 | |||
* | MeridianLink Inc. | 93,024 | 2,080 | |||
* | Couchbase Inc. | 64,536 | 2,008 | |||
* | AvePoint Inc. | 235,663 | 2,001 | |||
* | Intapp Inc. | 70,552 | 1,817 | |||
* | Zeta Global Holdings Corp. Class A | 181,010 | 1,061 | |||
* | EngageSmart Inc. | 6,667 | 227 | |||
* | DoubleVerify Holdings Inc. | 3,222 | 110 | |||
* | Amplitude Inc. Class A | 813 | 44 | |||
* | EverCommerce Inc. | 2,491 | 41 | |||
* | Procore Technologies Inc. | 312 | 28 | |||
* | Alkami Technology Inc. | 813 | 20 | |||
* | Sprout Social Inc. Class A | 120 | 15 | |||
* | Schrodinger Inc. | 192 | 10 | |||
* | Skillz Inc. Class A | 358 | 4 |
Shares | Market Value ($000) | |||||
* | Jamf Holding Corp. | 44 | 2 | |||
* | SEMrush Holdings Inc. Class A | 42 | 1 | |||
* | Xometry Inc. Class A | 22 | 1 | |||
3,064,936 | ||||||
Telecommunications (1.3%) | ||||||
* | Frontier Communications Parent Inc. | 3,809,842 | 106,180 | |||
* | Iridium Communications Inc. | 1,851,929 | 73,800 | |||
Juniper Networks Inc. | 2,535,553 | 69,779 | ||||
* | Vonage Holdings Corp. | 3,731,413 | 60,151 | |||
* | Viavi Solutions Inc. | 3,563,091 | 56,083 | |||
* | CommScope Holding Co. Inc. | 3,184,778 | 43,281 | |||
* | 8x8 Inc. | 1,659,816 | 38,823 | |||
InterDigital Inc. | 478,901 | 32,479 | ||||
Telephone & Data Systems Inc. | 1,591,759 | 31,039 | ||||
*,1 | fuboTV Inc. | 940,403 | 22,532 | |||
* | EchoStar Corp. Class A | 610,911 | 15,584 | |||
* | Plantronics Inc. | 594,480 | 15,284 | |||
* | NETGEAR Inc. | 453,562 | 14,473 | |||
ADTRAN Inc. | 759,079 | 14,240 | ||||
Shenandoah Telecommunications Co. | 369,974 | 11,684 | ||||
* | United States Cellular Corp. | 250,241 | 7,980 | |||
613,392 | ||||||
Utilities (4.0%) | ||||||
Atmos Energy Corp. | 2,039,721 | 179,903 | ||||
Essential Utilities Inc. | 3,449,014 | 158,931 | ||||
UGI Corp. | 3,261,057 | 138,986 | ||||
Pinnacle West Capital Corp. | 1,758,347 | 127,234 | ||||
OGE Energy Corp. | 3,121,456 | 102,883 | ||||
* | Stericycle Inc. | 1,432,559 | 97,371 | |||
IDACORP Inc. | 787,674 | 81,430 | ||||
NRG Energy Inc. | 1,908,688 | 77,932 | ||||
National Fuel Gas Co. | 1,317,011 | 69,169 | ||||
PNM Resources Inc. | 1,338,492 | 66,229 | ||||
Hawaiian Electric Industries Inc. | 1,619,232 | 66,113 | ||||
Portland General Electric Co. | 1,393,968 | 65,503 | ||||
Black Hills Corp. | 990,581 | 62,169 | ||||
Southwest Gas Holdings Inc. | 875,437 | 58,549 | ||||
ONE Gas Inc. | 834,311 | 52,870 | ||||
New Jersey Resources Corp. | 1,503,900 | 52,351 | ||||
American States Water Co. | 575,664 | 49,231 | ||||
ALLETE Inc. | 814,962 | 48,506 | ||||
Spire Inc. | 765,655 | 46,843 | ||||
NorthWestern Corp. | 803,998 | 46,069 | ||||
Avista Corp. | 1,086,374 | 42,499 | ||||
MGE Energy Inc. | 563,739 | 41,435 | ||||
Clearway Energy Inc. Class C | 1,273,737 | 38,556 | ||||
South Jersey Industries Inc. | 1,753,572 | 37,281 | ||||
California Water Service Group | 401,473 | 23,659 | ||||
Northwest Natural Holding Co. | 478,064 | 21,986 | ||||
* | Harsco Corp. | 1,234,974 | 20,933 | |||
Clearway Energy Inc. Class A | 555,711 | 15,671 | ||||
1,890,292 | ||||||
Total Common Stocks (Cost $34,225,616) | 47,141,153 | |||||
Preferred Stock (0.0%) | ||||||
Brookfield Property Preferred LP Pfd., 6.250%, 7/26/26 (Cost $1) | 40 | 1 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.7%) | ||||||
4,5 | Vanguard Market Liquidity Fund (Cost $315,209) | 0.068% | 3,152,592 | 315,259 | ||
Total Investments (100.4%) (Cost $34,540,826) | 47,456,413 | |||||
Other Assets and Liabilities—Net (-0.4%) | (197,766) | |||||
Net Assets (100%) | 47,258,647 |
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 $249,847,000. |
2 | Security value determined using significant unobservable inputs. |
3 | 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 September 30, 2021, the aggregate value was $58,910,000, representing 0.1% of net assets. |
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 $264,762,000 was received for securities on loan, of which $253,848,000 is held in Vanguard Market Liquidity Fund and $10,914,000 is held in cash. |
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 | December 2021 | 368 | 40,495 | (54) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid) (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Alcoa Corp. | 8/31/22 | BOANA | 6,434 | (0.576)1 | 660 | — |
Alliance Data Systems Corp. | 8/31/22 | BOANA | 19,622 | (0.069)1 | 555 | — |
Bridgebio Pharma Inc. | 8/31/22 | BOANA | 15,033 | (0.069)1 | — | (973) |
National Fuel Gas Co. | 8/31/22 | BOANA | 5,440 | (0.470)1 | 120 | — |
Novavax Inc. | 1/31/22 | GSI | 34,845 | (0.084)2 | — | (3,749) |
1,335 | (4,722) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
2 | 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. | |
GSI—Goldman Sachs International. |
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 September 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 47,141,063 | — | 90 | 47,141,153 |
Preferred Stock | 1 | — | — | 1 |
Temporary Cash Investments | 315,259 | — | — | 315,259 |
Total | 47,456,323 | — | 90 | 47,456,413 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,335 | — | 1,335 |
Liabilities | ||||
Futures Contracts1 | 54 | — | — | 54 |
Swap Contracts | — | 4,722 | — | 4,722 |
Total | 54 | 4,722 | — | 4,776 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |