Vanguard® Mid-Cap 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 (99.6%) | ||||||
Basic Materials (3.2%) | ||||||
International Flavors & Fragrances Inc. | 5,622,144 | 751,793 | ||||
Fastenal Co. | 12,973,559 | 669,565 | ||||
Nucor Corp. | 6,629,572 | 652,947 | ||||
Albemarle Corp. | 2,639,886 | 578,056 | ||||
International Paper Co. | 8,822,174 | 493,336 | ||||
Avery Dennison Corp. | 1,870,903 | 387,670 | ||||
Celanese Corp. | 2,508,168 | 377,830 | ||||
Eastman Chemical Co. | 3,065,039 | 308,772 | ||||
LyondellBasell Industries NV Class A | 3,020,261 | 283,451 | ||||
FMC Corp. | 2,905,106 | 265,992 | ||||
CF Industries Holdings Inc. | 2,427,659 | 135,512 | ||||
Westlake Chemical Corp. | 361,642 | 32,960 | ||||
4,937,884 | ||||||
Consumer Discretionary (14.9%) | ||||||
* | Aptiv plc | 6,106,098 | 909,625 | |||
* | Trade Desk Inc. Class A | 9,799,276 | 688,889 | |||
* | Copart Inc. | 4,806,249 | 666,723 | |||
* | Delta Air Lines Inc. | 14,444,426 | 615,477 | |||
DR Horton Inc. | 7,277,097 | 611,058 | ||||
* | Etsy Inc. | 2,857,227 | 594,189 | |||
Lennar Corp. Class A | 6,303,830 | 590,543 | ||||
* | Chipotle Mexican Grill Inc. | 301,444 | 547,881 | |||
* | Lululemon Athletica Inc. | 1,339,764 | 542,202 | |||
Garmin Ltd. | 3,473,054 | 539,921 | ||||
Best Buy Co. Inc. | 5,088,495 | 537,905 | ||||
* | Expedia Group Inc. | 3,279,684 | 537,540 | |||
Tractor Supply Co. | 2,580,962 | 522,929 | ||||
ViacomCBS Inc. Class B | 13,046,012 | 515,448 | ||||
* | Caesars Entertainment Inc. | 4,576,855 | 513,889 | |||
* | Peloton Interactive Inc. Class A | 5,762,999 | 501,669 | |||
* | Dollar Tree Inc. | 5,076,996 | 485,970 | |||
* | CarMax Inc. | 3,677,911 | 470,625 | |||
* | Carnival Corp. | 18,684,797 | 467,307 | |||
Darden Restaurants Inc. | 2,941,742 | 445,586 | ||||
* | Ulta Beauty Inc. | 1,227,032 | 442,860 | |||
*,1 | AMC Entertainment Holdings Inc. Class A | 11,587,010 | 441,002 | |||
* | Royal Caribbean Cruises Ltd. | 4,886,805 | 434,681 | |||
* | Burlington Stores Inc. | 1,506,152 | 427,100 | |||
* | Wayfair Inc. Class A | 1,658,400 | 423,738 | |||
* | Hilton Worldwide Holdings Inc. | 3,145,419 | 415,541 | |||
* | AutoZone Inc. | 243,170 | 412,900 |
Shares | Market Value ($000) | |||||
* | Take-Two Interactive Software Inc. | 2,630,115 | 405,222 | |||
MGM Resorts International | 9,246,096 | 398,969 | ||||
Domino's Pizza Inc. | 831,936 | 396,800 | ||||
Genuine Parts Co. | 3,232,772 | 391,909 | ||||
* | NVR Inc. | 76,424 | 366,383 | |||
Omnicom Group Inc. | 4,840,900 | 350,772 | ||||
* | United Airlines Holdings Inc. | 7,304,910 | 347,495 | |||
* | Southwest Airlines Co. | 6,677,571 | 343,427 | |||
* | Lyft Inc. Class A | 6,263,694 | 335,671 | |||
* | DraftKings Inc. Class A | 6,245,463 | 300,781 | |||
Advance Auto Parts Inc. | 1,422,169 | 297,077 | ||||
* | Live Nation Entertainment Inc. | 3,213,561 | 292,852 | |||
Whirlpool Corp. | 1,415,428 | 288,549 | ||||
Fox Corp. Class A | 7,095,936 | 284,618 | ||||
* | LKQ Corp. | 5,638,848 | 283,747 | |||
Hasbro Inc. | 2,952,547 | 263,426 | ||||
News Corp. Class A | 11,072,244 | 260,530 | ||||
PulteGroup Inc. | 5,565,635 | 255,574 | ||||
BorgWarner Inc. | 5,412,788 | 233,887 | ||||
* | Wynn Resorts Ltd. | 2,349,953 | 199,159 | |||
Rollins Inc. | 5,553,544 | 196,207 | ||||
Bath & Body Works Inc. | 2,838,649 | 178,920 | ||||
* | Discovery Inc. Class C | 7,081,062 | 171,857 | |||
* | Liberty Media Corp.-Liberty SiriusXM Class C | 3,601,837 | 170,979 | |||
Interpublic Group of Cos. Inc. | 4,444,197 | 162,969 | ||||
* | Vail Resorts Inc. | 454,519 | 151,832 | |||
* | American Airlines Group Inc. | 7,307,202 | 149,944 | |||
Fox Corp. Class B | 3,635,956 | 134,967 | ||||
*,1 | GameStop Corp. Class A | 736,883 | 129,301 | |||
* | Penn National Gaming Inc. | 1,769,644 | 128,228 | |||
*,1 | Chewy Inc. Class A | 1,882,060 | 128,187 | |||
Lear Corp. | 674,280 | 105,511 | ||||
1 | Sirius XM Holdings Inc. | 15,818,163 | 96,491 | |||
Aramark | 2,881,029 | 94,671 | ||||
*,1 | QuantumScape Corp. Class A | 3,786,524 | 92,921 | |||
*,1 | Discovery Inc. Class A | 3,625,468 | 92,014 | |||
Warner Music Group Corp. Class A | 2,112,048 | 90,269 | ||||
* | Liberty Media Corp.-Liberty SiriusXM Class A | 1,768,602 | 83,425 | |||
Lennar Corp. Class B | 212,879 | 16,517 | ||||
News Corp. Class B | 355,310 | 8,254 | ||||
ViacomCBS Inc. Class A | 179,634 | 7,557 | ||||
*,1 | Endeavor Group Holdings Inc. Class A | 25,261 | 724 | |||
22,991,791 | ||||||
Consumer Staples (3.7%) | ||||||
Corteva Inc. | 16,578,148 | 697,608 | ||||
Tyson Foods Inc. Class A | 6,654,859 | 525,335 | ||||
Clorox Co. | 2,772,209 | 459,105 | ||||
Church & Dwight Co. Inc. | 5,542,674 | 457,659 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,625,059 | 455,798 | ||||
AmerisourceBergen Corp. | 3,283,236 | 392,182 | ||||
Archer-Daniels-Midland Co. | 6,313,370 | 378,865 | ||||
Kellogg Co. | 5,770,710 | 368,864 | ||||
Conagra Brands Inc. | 10,842,684 | 367,242 | ||||
McKesson Corp. | 1,745,765 | 348,071 | ||||
Kroger Co. | 7,590,175 | 306,871 | ||||
J M Smucker Co. | 2,323,741 | 278,919 | ||||
Hormel Foods Corp. | 5,668,012 | 232,388 | ||||
Lamb Weston Holdings Inc. | 3,275,819 | 201,037 |
Shares | Market Value ($000) | |||||
Campbell Soup Co. | 3,446,373 | 144,093 | ||||
Molson Coors Beverage Co. Class B | 2,037,571 | 94,503 | ||||
* | Olaplex Holdings Inc. | 189,946 | 4,654 | |||
5,713,194 | ||||||
Energy (4.3%) | ||||||
Pioneer Natural Resources Co. | 4,956,171 | 825,252 | ||||
Valero Energy Corp. | 9,228,323 | 651,243 | ||||
Occidental Petroleum Corp. | 20,023,264 | 592,288 | ||||
ONEOK Inc. | 10,059,872 | 583,372 | ||||
* | Cheniere Energy Inc. | 5,438,238 | 531,153 | |||
Hess Corp. | 6,291,188 | 491,405 | ||||
Marathon Petroleum Corp. | 7,203,226 | 445,231 | ||||
Baker Hughes Co. | 17,765,433 | 439,339 | ||||
Halliburton Co. | 19,095,843 | 412,852 | ||||
* | Enphase Energy Inc. | 2,733,982 | 410,015 | |||
Phillips 66 | 4,943,343 | 346,182 | ||||
* | Plug Power Inc. | 12,964,797 | 331,121 | |||
Williams Cos. Inc. | 11,712,371 | 303,819 | ||||
Devon Energy Corp. | 7,641,071 | 271,335 | ||||
DT Midstream Inc. | 707 | 33 | ||||
6,634,640 | ||||||
Financials (11.5%) | ||||||
MSCI Inc. | 1,767,895 | 1,075,481 | ||||
Discover Financial Services | 6,759,793 | 830,441 | ||||
* | SVB Financial Group | 1,281,172 | 828,765 | |||
First Republic Bank | 4,035,042 | 778,279 | ||||
Arthur J Gallagher & Co. | 4,666,713 | 693,707 | ||||
Ameriprise Financial Inc. | 2,567,622 | 678,160 | ||||
Willis Towers Watson plc | 2,912,788 | 677,107 | ||||
Fifth Third Bancorp | 15,591,646 | 661,709 | ||||
Hartford Financial Services Group Inc. | 7,837,018 | 550,550 | ||||
American International Group Inc. | 9,652,358 | 529,818 | ||||
Huntington Bancshares Inc. | 33,330,196 | 515,285 | ||||
Nasdaq Inc. | 2,641,938 | 509,947 | ||||
State Street Corp. | 5,932,068 | 502,565 | ||||
Northern Trust Corp. | 4,468,912 | 481,793 | ||||
KeyCorp | 21,588,474 | 466,743 | ||||
Regions Financial Corp. | 21,547,117 | 459,169 | ||||
Citizens Financial Group Inc. | 9,618,243 | 451,865 | ||||
Broadridge Financial Solutions Inc. | 2,622,279 | 436,977 | ||||
M&T Bank Corp. | 2,904,671 | 433,784 | ||||
Ally Financial Inc. | 8,138,470 | 415,469 | ||||
Cincinnati Financial Corp. | 3,456,437 | 394,794 | ||||
Principal Financial Group Inc. | 6,058,642 | 390,177 | ||||
Raymond James Financial Inc. | 4,180,895 | 385,813 | ||||
* | Markel Corp. | 309,813 | 370,267 | |||
MarketAxess Holdings Inc. | 814,876 | 342,810 | ||||
FactSet Research Systems Inc. | 852,778 | 336,660 | ||||
* | Arch Capital Group Ltd. | 8,492,976 | 324,262 | |||
Cboe Global Markets Inc. | 2,406,770 | 298,102 | ||||
Fidelity National Financial Inc. | 6,118,377 | 277,407 | ||||
Equitable Holdings Inc. | 9,307,954 | 275,888 | ||||
Annaly Capital Management Inc. | 32,599,129 | 274,485 | ||||
Loews Corp. | 4,936,720 | 266,237 | ||||
*,1 | Lucid Group Inc. | 9,128,049 | 231,670 | |||
Everest Re Group Ltd. | 900,100 | 225,727 | ||||
W R Berkley Corp. | 3,005,521 | 219,944 |
Shares | Market Value ($000) | |||||
Franklin Resources Inc. | 6,810,691 | 202,414 | ||||
Tradeweb Markets Inc. Class A | 2,377,197 | 192,030 | ||||
Globe Life Inc. | 2,066,598 | 183,989 | ||||
Apollo Global Management Inc. | 2,390,813 | 147,250 | ||||
Lincoln National Corp. | 2,015,195 | 138,545 | ||||
Interactive Brokers Group Inc. Class A | 1,993,839 | 124,296 | ||||
* | Alleghany Corp. | 148,730 | 92,868 | |||
SEI Investments Co. | 1,433,146 | 84,986 | ||||
1 | UWM Holdings Corp. | 1,821,803 | 12,661 | |||
KKR & Co. Inc. | 4,032 | 245 | ||||
AGNC Investment Corp. | 3,829 | 60 | ||||
17,771,201 | ||||||
Health Care (11.4%) | ||||||
* | Dexcom Inc. | 2,183,882 | 1,194,278 | |||
* | IQVIA Holdings Inc. | 4,325,212 | 1,036,061 | |||
* | Veeva Systems Inc. Class A | 3,118,521 | 898,664 | |||
ResMed Inc. | 3,288,413 | 866,661 | ||||
* | Centene Corp. | 13,160,991 | 820,061 | |||
West Pharmaceutical Services Inc. | 1,669,901 | 708,940 | ||||
* | Laboratory Corp. of America Holdings | 2,176,035 | 612,423 | |||
* | IDEXX Laboratories Inc. | 960,834 | 597,543 | |||
* | Horizon Therapeutics plc | 5,099,092 | 558,554 | |||
* | Seagen Inc. | 3,080,083 | 522,998 | |||
* | Catalent Inc. | 3,843,831 | 511,499 | |||
* | Alnylam Pharmaceuticals Inc. | 2,682,734 | 506,527 | |||
Cerner Corp. | 6,672,259 | 470,528 | ||||
STERIS plc | 2,251,768 | 459,991 | ||||
Cooper Cos. Inc. | 1,111,659 | 459,460 | ||||
* | Insulet Corp. | 1,554,639 | 441,875 | |||
* | Hologic Inc. | 5,721,953 | 422,337 | |||
* | Teladoc Health Inc. | 3,235,161 | 410,251 | |||
Quest Diagnostics Inc. | 2,758,059 | 400,773 | ||||
Teleflex Inc. | 1,056,466 | 397,812 | ||||
* | Exact Sciences Corp. | 3,881,362 | 370,476 | |||
Viatris Inc. | 27,297,668 | 369,883 | ||||
* | Bio-Rad Laboratories Inc. Class A | 473,841 | 353,462 | |||
Cardinal Health Inc. | 6,556,153 | 324,267 | ||||
* | Elanco Animal Health Inc. | 10,143,888 | 323,489 | |||
* | BioMarin Pharmaceutical Inc. | 4,138,857 | 319,892 | |||
* | ABIOMED Inc. | 973,178 | 316,789 | |||
* | Incyte Corp. | 4,237,263 | 291,439 | |||
DENTSPLY SIRONA Inc. | 4,933,370 | 286,382 | ||||
Royalty Pharma plc Class A | 7,710,601 | 278,661 | ||||
* | 10X Genomics Inc. Class A | 1,840,646 | 267,961 | |||
* | Henry Schein Inc. | 3,153,319 | 240,157 | |||
* | Charles River Laboratories International Inc. | 568,415 | 234,568 | |||
* | Avantor Inc. | 5,600,406 | 229,057 | |||
Universal Health Services Inc. Class B | 1,627,126 | 225,145 | ||||
PerkinElmer Inc. | 1,264,522 | 219,129 | ||||
* | DaVita Inc. | 1,419,502 | 165,031 | |||
* | PPD Inc. | 3,171,889 | 148,413 | |||
* | Novocure Ltd. | 994,341 | 115,513 | |||
* | Oak Street Health Inc. | 2,446,765 | 104,061 | |||
*,1 | GoodRx Holdings Inc. Class A | 1,447,215 | 59,365 | |||
* | agilon health Inc. | 1,764,692 | 46,253 | |||
* | Align Technology Inc. | 553 | 368 | |||
17,586,997 |
Shares | Market Value ($000) | |||||
Industrials (15.3%) | ||||||
Carrier Global Corp. | 19,586,530 | 1,013,799 | ||||
IHS Markit Ltd. | 8,097,957 | 944,384 | ||||
Cintas Corp. | 1,975,649 | 752,050 | ||||
* | TransDigm Group Inc. | 1,181,819 | 738,129 | |||
Verisk Analytics Inc. | 3,642,108 | 729,405 | ||||
* | Mettler-Toledo International Inc. | 521,811 | 718,721 | |||
Equifax Inc. | 2,750,206 | 696,957 | ||||
* | Keysight Technologies Inc. | 4,153,412 | 682,364 | |||
Old Dominion Freight Line Inc. | 2,352,758 | 672,842 | ||||
Ball Corp. | 7,372,445 | 663,299 | ||||
AMETEK Inc. | 5,218,900 | 647,196 | ||||
Synchrony Financial | 12,859,626 | 628,578 | ||||
* | Zebra Technologies Corp. Class A | 1,205,465 | 621,321 | |||
* | Generac Holdings Inc. | 1,424,800 | 582,273 | |||
* | United Rentals Inc. | 1,634,051 | 573,437 | |||
Kansas City Southern | 2,053,289 | 555,702 | ||||
Fortive Corp. | 7,685,059 | 542,334 | ||||
Dover Corp. | 3,249,569 | 505,308 | ||||
Xylem Inc. | 4,066,729 | 502,973 | ||||
* | Waters Corp. | 1,385,146 | 494,913 | |||
* | FleetCor Technologies Inc. | 1,864,638 | 487,174 | |||
TransUnion | 4,322,640 | 485,476 | ||||
Vulcan Materials Co. | 2,845,173 | 481,289 | ||||
Martin Marietta Materials Inc. | 1,407,994 | 481,083 | ||||
* | Trimble Inc. | 5,679,859 | 467,168 | |||
Expeditors International of Washington Inc. | 3,834,793 | 456,839 | ||||
* | Ingersoll Rand Inc. | 9,009,674 | 454,178 | |||
* | Teledyne Technologies Inc. | 1,052,048 | 451,939 | |||
Otis Worldwide Corp. | 4,816,704 | 396,318 | ||||
WW Grainger Inc. | 999,147 | 392,725 | ||||
Jacobs Engineering Group Inc. | 2,941,585 | 389,848 | ||||
Rockwell Automation Inc. | 1,309,465 | 385,035 | ||||
Textron Inc. | 5,059,499 | 353,204 | ||||
Westinghouse Air Brake Technologies Corp. | 4,053,833 | 349,481 | ||||
JB Hunt Transport Services Inc. | 1,899,678 | 317,664 | ||||
Masco Corp. | 5,579,380 | 309,934 | ||||
PACCAR Inc. | 3,915,664 | 309,024 | ||||
Westrock Co. | 6,027,328 | 300,342 | ||||
Crown Holdings Inc. | 2,965,338 | 298,847 | ||||
* | Affirm Holdings Inc. Class A | 2,497,555 | 297,534 | |||
Packaging Corp. of America | 2,144,275 | 294,709 | ||||
* | Bill.com Holdings Inc. | 1,084,771 | 289,579 | |||
Fortune Brands Home & Security Inc. | 3,112,454 | 278,316 | ||||
CH Robinson Worldwide Inc. | 2,973,113 | 258,661 | ||||
Snap-on Inc. | 1,218,245 | 254,552 | ||||
HEICO Corp. Class A | 1,654,166 | 195,903 | ||||
Western Union Co. | 9,172,349 | 185,465 | ||||
Cognex Corp. | 1,894,711 | 151,994 | ||||
Jack Henry & Associates Inc. | 835,345 | 137,047 | ||||
HEICO Corp. | 974,224 | 128,471 | ||||
Hubbell Inc. Class B | 613,736 | 110,884 | ||||
* | Mohawk Industries Inc. | 623,324 | 110,578 | |||
* | XPO Logistics Inc. | 1,099,710 | 87,515 | |||
*,1 | Marqeta Inc. Class A | 1,429,465 | 31,620 | |||
23,646,381 | ||||||
Real Estate (9.1%) | ||||||
Digital Realty Trust Inc. | 6,378,889 | 921,431 |
Shares | Market Value ($000) | |||||
SBA Communications Corp. | 2,472,900 | 817,467 | ||||
Welltower Inc. | 9,538,349 | 785,960 | ||||
* | CoStar Group Inc. | 8,915,195 | 767,242 | |||
* | CBRE Group Inc. Class A | 7,199,621 | 700,955 | |||
AvalonBay Communities Inc. | 3,151,516 | 698,502 | ||||
Alexandria Real Estate Equities Inc. | 3,439,185 | 657,125 | ||||
Equity Residential | 8,029,990 | 649,787 | ||||
Weyerhaeuser Co. | 16,924,829 | 602,016 | ||||
Realty Income Corp. | 8,789,176 | 570,066 | ||||
Extra Space Storage Inc. | 3,020,333 | 507,386 | ||||
Invitation Homes Inc. | 13,012,908 | 498,785 | ||||
Ventas Inc. | 8,924,091 | 492,699 | ||||
Mid-America Apartment Communities Inc. | 2,618,861 | 489,072 | ||||
Sun Communities Inc. | 2,616,207 | 484,260 | ||||
Simon Property Group Inc. | 3,708,814 | 482,035 | ||||
Essex Property Trust Inc. | 1,468,037 | 469,390 | ||||
Duke Realty Corp. | 8,540,326 | 408,825 | ||||
Healthpeak Properties Inc. | 12,166,047 | 407,319 | ||||
UDR Inc. | 6,700,748 | 355,006 | ||||
Boston Properties Inc. | 3,172,697 | 343,762 | ||||
Camden Property Trust | 2,270,194 | 334,785 | ||||
* | Zillow Group Inc. Class C | 3,731,451 | 328,890 | |||
WP Carey Inc. | 4,276,274 | 312,339 | ||||
Iron Mountain Inc. | 6,533,904 | 283,898 | ||||
* | Opendoor Technologies Inc. | 11,183,204 | 229,591 | |||
* | Host Hotels & Resorts Inc. | 8,058,355 | 131,593 | |||
Regency Centers Corp. | 1,917,443 | 129,101 | ||||
VEREIT Inc. | 2,586,480 | 116,986 | ||||
* | Zillow Group Inc. Class A | 1,016,234 | 90,018 | |||
14,066,291 | ||||||
Technology (18.6%) | ||||||
Marvell Technology Inc. | 18,498,137 | 1,115,623 | ||||
* | Synopsys Inc. | 3,442,425 | 1,030,696 | |||
Amphenol Corp. Class A | 13,502,629 | 988,798 | ||||
* | Palo Alto Networks Inc. | 2,054,466 | 984,089 | |||
Microchip Technology Inc. | 6,185,868 | 949,469 | ||||
* | Cadence Design Systems Inc. | 6,247,755 | 946,160 | |||
* | Match Group Inc. | 5,935,914 | 931,879 | |||
* | Fortinet Inc. | 3,133,630 | 915,145 | |||
Xilinx Inc. | 5,586,002 | 843,430 | ||||
* | Okta Inc. | 3,238,150 | 768,543 | |||
* | Datadog Inc. Class A | 5,140,838 | 726,657 | |||
* | EPAM Systems Inc. | 1,214,423 | 692,804 | |||
* | HubSpot Inc. | 1,007,986 | 681,489 | |||
* | ANSYS Inc. | 1,969,576 | 670,542 | |||
* | MongoDB Inc. | 1,384,736 | 652,917 | |||
Corning Inc. | 17,350,019 | 633,102 | ||||
Skyworks Solutions Inc. | 3,727,754 | 614,259 | ||||
* | Cloudflare Inc. Class A | 5,351,764 | 602,876 | |||
KLA Corp. | 1,723,852 | 576,646 | ||||
* | Paycom Software Inc. | 1,153,034 | 571,617 | |||
CDW Corp. | 3,103,700 | 564,935 | ||||
* | Gartner Inc. | 1,793,810 | 545,103 | |||
* | Splunk Inc. | 3,700,050 | 535,434 | |||
* | DocuSign Inc. | 2,036,440 | 524,241 | |||
* | Twitter Inc. | 8,555,902 | 516,691 | |||
Monolithic Power Systems Inc. | 984,371 | 477,105 | ||||
NetApp Inc. | 5,056,660 | 453,886 |
Shares | Market Value ($000) | |||||
* | Zscaler Inc. | 1,700,694 | 445,956 | |||
* | Unity Software Inc. | 3,507,264 | 442,792 | |||
* | VeriSign Inc. | 2,146,513 | 440,057 | |||
* | Palantir Technologies Inc. Class A | 17,633,679 | 423,914 | |||
* | Tyler Technologies Inc. | 921,952 | 422,853 | |||
Hewlett Packard Enterprise Co. | 29,479,235 | 420,079 | ||||
* | Qorvo Inc. | 2,508,796 | 419,446 | |||
Teradyne Inc. | 3,723,949 | 406,544 | ||||
* | RingCentral Inc. Class A | 1,802,592 | 392,064 | |||
* | Akamai Technologies Inc. | 3,675,534 | 384,424 | |||
Seagate Technology Holdings plc | 4,623,865 | 381,561 | ||||
* | Western Digital Corp. | 6,571,625 | 370,903 | |||
* | Coupa Software Inc. | 1,659,670 | 363,766 | |||
SS&C Technologies Holdings Inc. | 4,897,720 | 339,902 | ||||
NortonLifeLock Inc. | 12,473,518 | 315,580 | ||||
* | Pinterest Inc. Class A | 6,058,968 | 308,704 | |||
Citrix Systems Inc. | 2,804,271 | 301,095 | ||||
*,1 | UiPath Inc. Class A | 5,289,929 | 278,303 | |||
Bentley Systems Inc. Class B | 4,571,516 | 277,217 | ||||
* | GoDaddy Inc. Class A | 3,810,977 | 265,625 | |||
* | ZoomInfo Technologies Inc. Class A | 4,103,936 | 251,120 | |||
* | Black Knight Inc. | 3,358,811 | 241,834 | |||
* | IAC/InterActiveCorp | 1,789,470 | 233,150 | |||
* | ON Semiconductor Corp. | 4,859,166 | 222,404 | |||
* | Dropbox Inc. Class A | 6,761,996 | 197,586 | |||
* | Zendesk Inc. | 1,354,620 | 157,664 | |||
Leidos Holdings Inc. | 1,597,771 | 153,594 | ||||
* | F5 Networks Inc. | 680,694 | 135,308 | |||
* | IPG Photonics Corp. | 784,926 | 124,332 | |||
* | Bumble Inc. Class A | 1,893,043 | 94,614 | |||
*,1 | AppLovin Corp. Class A | 760,275 | 55,021 | |||
* | Qualtrics International Inc. Class A | 928,722 | 39,694 | |||
* | Toast Inc. Class A | 490,449 | 24,498 | |||
* | Vimeo Inc. | 959 | 28 | |||
28,845,768 | ||||||
Telecommunications (2.1%) | ||||||
Motorola Solutions Inc. | 3,822,113 | 887,953 | ||||
* | Liberty Broadband Corp. Class C | 3,257,927 | 562,644 | |||
* | Arista Networks Inc. | 1,298,776 | 446,311 | |||
* | Roku Inc. | 1,313,830 | 411,689 | |||
Lumen Technologies Inc. | 24,948,784 | 309,116 | ||||
* | DISH Network Corp. Class A | 5,554,431 | 241,396 | |||
* | Altice USA Inc. Class A | 4,900,295 | 101,534 | |||
Juniper Networks Inc. | 3,669,758 | 100,992 | ||||
* | Liberty Broadband Corp. Class A | 557,780 | 93,902 | |||
Ubiquiti Inc. | 141,793 | 42,349 | ||||
3,197,886 | ||||||
Utilities (5.5%) | ||||||
Waste Connections Inc. | 5,880,676 | 740,554 | ||||
American Water Works Co. Inc. | 4,096,719 | 692,509 | ||||
Eversource Energy | 7,756,918 | 634,206 | ||||
WEC Energy Group Inc. | 7,119,946 | 627,979 | ||||
PPL Corp. | 17,371,354 | 484,313 | ||||
Edison International | 8,571,061 | 475,437 | ||||
Ameren Corp. | 5,750,143 | 465,762 | ||||
Entergy Corp. | 4,536,091 | 450,479 | ||||
DTE Energy Co. | 3,936,462 | 439,742 |
Shares | Market Value ($000) | |||||
FirstEnergy Corp. | 12,284,009 | 437,556 | ||||
* | PG&E Corp. | 44,470,833 | 426,920 | |||
Consolidated Edison Inc. | 5,676,626 | 412,066 | ||||
CMS Energy Corp. | 6,538,253 | 390,530 | ||||
CenterPoint Energy Inc. | 13,914,397 | 342,294 | ||||
AES Corp. | 14,290,031 | 326,241 | ||||
Evergy Inc. | 5,123,951 | 318,710 | ||||
Alliant Energy Corp. | 5,648,991 | 316,231 | ||||
NiSource Inc. | 8,857,991 | 214,629 | ||||
Vistra Corp. | 10,091,758 | 172,569 | ||||
NRG Energy Inc. | 2,762,721 | 112,802 | ||||
Avangrid Inc. | 1,748,316 | 84,968 | ||||
Pinnacle West Capital Corp. | 826 | 60 | ||||
8,566,557 | ||||||
Total Common Stocks (Cost $92,643,392) | 153,958,590 | |||||
Coupon | ||||||
Temporary Cash Investments (0.8%) | ||||||
Money Market Fund (0.8%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $1,260,213) | 0.068% | 12,604,258 | 1,260,426 | ||
Total Investments (100.4%) (Cost $93,903,605) | 155,219,016 | |||||
Other Assets and Liabilities—Net (-0.4%) | (611,153) | |||||
Net Assets (100%) | 154,607,863 |
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 $795,449,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $811,367,000 was received for securities on loan, of which $810,729,000 is held in Vanguard Market Liquidity Fund and $638,000 is held in cash. |
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 | 94 | 10,344 | (74) |
E-mini S&P 500 Index | December 2021 | 410 | 88,104 | (341) |
E-mini S&P Mid-Cap 400 Index | December 2021 | 79 | 20,802 | (323) |
(738) |
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) |
Ameren Corp. | 1/31/22 | GSI | 1,280 | (0.084)1 | — | (57) |
Campbell Soup Co. | 1/31/22 | GSI | 44,000 | (0.084)1 | — | (2,191) |
Consolidated Edison Inc. | 8/31/22 | BOANA | 173,535 | (0.566)2 | — | (6,655) |
DocuSign Inc. | 8/31/22 | BOANA | 15,997 | (0.068)2 | — | (2,097) |
DraftKings Inc. Class A | 8/31/22 | BOANA | 7,648 | (0.068)2 | — | (1,436) |
Hormel Foods Corp. | 1/31/22 | GSI | 18,716 | (0.084)1 | — | (266) |
Palantir Technologies Inc. Class A | 8/31/22 | BOANA | 7,059 | (0.068)2 | — | (617) |
Palo Alto Networks Inc. | 8/31/22 | BOANA | 15,675 | (0.069)2 | 610 | — |
Pinterest Inc. Class A | 8/31/22 | BOANA | 11,503 | (0.068)2 | — | (957) |
RingCentral Inc. Class A | 8/31/22 | BOANA | 8,829 | (0.559)2 | — | (1,221) |
Sirius XM Holdings Inc. | 1/31/22 | GSI | 14,949 | (0.084)1 | 148 | — |
State Street Corp. | 8/31/23 | BOANA | 176,529 | (0.662)2 | — | (14,570) |
Vistra Corp. | 8/31/22 | BOANA | 15,272 | (0.364)2 | — | (1,476) |
Williams Cos. Inc. | 8/31/22 | BOANA | 49,380 | (0.472)2 | 3,302 | — |
4,060 | (31,543) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
2 | Based on USD Overnight Bank Funding Rate 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 | 153,958,590 | — | — | 153,958,590 |
Temporary Cash Investments | 1,260,426 | — | — | 1,260,426 |
Total | 155,219,016 | — | — | 155,219,016 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 4,060 | — | 4,060 |
Liabilities | ||||
Futures Contracts1 | 738 | — | — | 738 |
Swap Contracts | — | 31,543 | — | 31,543 |
Total | 738 | 31,543 | — | 32,281 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |