Vanguard® Small-Cap Value Index Fund
Schedule of Investments (unaudited)
As of March 31, 2022
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 (99.8%) | ||||||
Basic Materials (6.5%) | ||||||
Alcoa Corp. | 3,066,650 | 276,091 | ||||
Steel Dynamics Inc. | 3,090,053 | 257,803 | ||||
* | Cleveland-Cliffs Inc. | 7,753,177 | 249,730 | |||
Mosaic Co. | 2,995,097 | 199,174 | ||||
Reliance Steel & Aluminum Co. | 1,011,293 | 185,421 | ||||
CF Industries Holdings Inc. | 1,698,431 | 175,040 | ||||
United States Steel Corp. | 3,847,965 | 145,222 | ||||
Olin Corp. | 2,302,042 | 120,351 | ||||
Huntsman Corp. | 2,809,781 | 105,395 | ||||
Valvoline Inc. | 2,939,450 | 92,769 | ||||
* | Univar Solutions Inc. | 2,801,999 | 90,056 | |||
Commercial Metals Co. | 1,991,243 | 82,876 | ||||
Ashland Global Holdings Inc. | 839,665 | 82,631 | ||||
Chemours Co. | 2,622,400 | 82,553 | ||||
Element Solutions Inc. | 3,662,345 | 80,205 | ||||
Scotts Miracle-Gro Co. | 637,383 | 78,373 | ||||
UFP Industries Inc. | 966,723 | 74,592 | ||||
Avient Corp. | 1,501,446 | 72,069 | ||||
Timken Co. | 1,105,296 | 67,092 | ||||
Cabot Corp. | 927,448 | 63,447 | ||||
Hecla Mining Co. | 8,823,848 | 57,973 | ||||
Sensient Technologies Corp. | 688,090 | 57,765 | ||||
Mueller Industries Inc. | 892,221 | 48,332 | ||||
Boise Cascade Co. | 644,640 | 44,783 | ||||
* | Arconic Corp. | 1,722,650 | 44,134 | |||
Innospec Inc. | 406,098 | 37,584 | ||||
Tronox Holdings plc Class A | 1,892,258 | 37,448 | ||||
Minerals Technologies Inc. | 543,250 | 35,936 | ||||
Compass Minerals International Inc. | 558,944 | 35,096 | ||||
Stepan Co. | 349,085 | 34,493 | ||||
Carpenter Technology Corp. | 791,261 | 33,217 | ||||
Westlake Corp. | 262,056 | 32,338 | ||||
GrafTech International Ltd. | 3,236,250 | 31,133 | ||||
Materion Corp. | 335,182 | 28,739 | ||||
* | GCP Applied Technologies Inc. | 909,353 | 28,572 | |||
Worthington Industries Inc. | 500,610 | 25,736 | ||||
Kaiser Aluminum Corp. | 260,093 | 24,490 | ||||
Schnitzer Steel Industries Inc. Class A | 407,067 | 21,143 | ||||
* | Coeur Mining Inc. | 3,788,731 | 16,860 | |||
Schweitzer-Mauduit International Inc. | 515,578 | 14,178 | ||||
Ecovyst Inc. | 1,009,222 | 11,667 |
Shares | Market Value ($000) | |||||
* | Koppers Holdings Inc. | 328,974 | 9,053 | |||
Glatfelter Corp. | 692,991 | 8,579 | ||||
3,300,139 | ||||||
Consumer Discretionary (14.3%) | ||||||
Williams-Sonoma Inc. | 1,195,677 | 173,373 | ||||
Service Corp. International | 2,514,324 | 165,493 | ||||
* | Tapestry Inc. | 4,325,380 | 160,688 | |||
Nielsen Holdings plc | 5,882,703 | 160,245 | ||||
Aramark | 4,209,086 | 158,262 | ||||
* | Avis Budget Group Inc. | 572,606 | 150,767 | |||
* | BJ's Wholesale Club Holdings Inc. | 2,227,245 | 150,584 | |||
* | Norwegian Cruise Line Holdings Ltd. | 6,838,853 | 149,634 | |||
Lithia Motors Inc. Class A | 483,220 | 145,024 | ||||
Kohl's Corp. | 2,279,339 | 137,809 | ||||
Newell Brands Inc. | 6,276,613 | 134,382 | ||||
* | Mattel Inc. | 5,742,016 | 127,530 | |||
* | Capri Holdings Ltd. | 2,419,097 | 124,317 | |||
* | Alaska Air Group Inc. | 2,063,890 | 119,726 | |||
New York Times Co. Class A | 2,596,363 | 119,017 | ||||
* | Macy's Inc. | 4,791,514 | 116,721 | |||
Interpublic Group of Cos. Inc. | 3,228,479 | 114,450 | ||||
* | Marriott Vacations Worldwide Corp. | 658,384 | 103,827 | |||
*,1 | Hertz Global Holdings Inc. | 4,589,120 | 101,649 | |||
Polaris Inc. | 934,924 | 98,466 | ||||
*,1 | American Airlines Group Inc. | 5,320,231 | 97,094 | |||
Bath & Body Works Inc. | 2,006,006 | 95,887 | ||||
Dick's Sporting Goods Inc. | 927,972 | 92,816 | ||||
* | Terminix Global Holdings Inc. | 1,985,760 | 90,610 | |||
Harley-Davidson Inc. | 2,267,900 | 89,355 | ||||
*,1 | GameStop Corp. Class A | 531,844 | 88,595 | |||
* | PVH Corp. | 1,146,824 | 87,858 | |||
Toll Brothers Inc. | 1,861,018 | 87,505 | ||||
AMERCO | 144,606 | 86,321 | ||||
Hanesbrands Inc. | 5,739,504 | 85,461 | ||||
Travel + Leisure Co. | 1,404,786 | 81,393 | ||||
TEGNA Inc. | 3,631,487 | 81,345 | ||||
* | AutoNation Inc. | 808,664 | 80,527 | |||
* | JetBlue Airways Corp. | 5,248,355 | 78,463 | |||
* | Helen of Troy Ltd. | 395,642 | 77,482 | |||
* | Victoria's Secret & Co. | 1,452,076 | 74,579 | |||
Murphy USA Inc. | 366,099 | 73,205 | ||||
H&R Block Inc. | 2,695,243 | 70,184 | ||||
Lear Corp. | 489,266 | 69,764 | ||||
Leggett & Platt Inc. | 1,972,119 | 68,630 | ||||
Thor Industries Inc. | 866,031 | 68,157 | ||||
* | Goodyear Tire & Rubber Co. | 4,618,988 | 66,005 | |||
Gap Inc. | 4,589,728 | 64,623 | ||||
Wendy's Co. | 2,892,883 | 63,557 | ||||
* | Asbury Automotive Group Inc. | 379,258 | 60,757 | |||
* | Sabre Corp. | 5,302,573 | 60,608 | |||
Carter's Inc. | 658,107 | 60,539 | ||||
Signet Jewelers Ltd. | 819,339 | 59,566 | ||||
* | Academy Sports & Outdoors Inc. | 1,450,380 | 57,145 | |||
* | Coty Inc. Class A | 6,192,765 | 55,673 | |||
* | Under Armour Inc. Class C | 3,519,054 | 54,756 | |||
* | Taylor Morrison Home Corp. Class A | 1,888,332 | 51,400 | |||
* | Under Armour Inc. Class A | 2,945,105 | 50,126 | |||
*,1 | Nordstrom Inc. | 1,827,740 | 49,550 |
Shares | Market Value ($000) | |||||
Foot Locker Inc. | 1,644,553 | 48,777 | ||||
* | Meritage Homes Corp. | 605,369 | 47,963 | |||
Cracker Barrel Old Country Store Inc. | 382,101 | 45,367 | ||||
Group 1 Automotive Inc. | 265,216 | 44,511 | ||||
KB Home | 1,373,777 | 44,483 | ||||
MillerKnoll Inc. | 1,241,399 | 42,903 | ||||
1 | American Eagle Outfitters Inc. | 2,487,299 | 41,787 | |||
Penske Automotive Group Inc. | 443,498 | 41,565 | ||||
* | Spirit Airlines Inc. | 1,780,017 | 38,929 | |||
Ralph Lauren Corp. | 341,285 | 38,715 | ||||
Graham Holdings Co. Class B | 62,155 | 38,006 | ||||
Dana Inc. | 2,126,231 | 37,358 | ||||
John Wiley & Sons Inc. Class A | 688,176 | 36,494 | ||||
Rush Enterprises Inc. Class A | 706,669 | 35,976 | ||||
* | KAR Auction Services Inc. | 1,986,064 | 35,848 | |||
* | Tri Pointe Homes Inc. | 1,755,675 | 35,254 | |||
MDC Holdings Inc. | 926,655 | 35,065 | ||||
Kontoor Brands Inc. | 845,514 | 34,962 | ||||
* | iHeartMedia Inc. Class A | 1,775,702 | 33,614 | |||
* | Cheesecake Factory Inc. | 822,235 | 32,717 | |||
* | Knowles Corp. | 1,504,453 | 32,391 | |||
* | Bloomin' Brands Inc. | 1,465,710 | 32,158 | |||
*,1 | Bed Bath & Beyond Inc. | 1,419,951 | 31,991 | |||
PriceSmart Inc. | 404,675 | 31,917 | ||||
* | ODP Corp. | 674,863 | 30,929 | |||
Wolverine World Wide Inc. | 1,338,963 | 30,207 | ||||
* | Abercrombie & Fitch Co. Class A | 925,607 | 29,610 | |||
* | Cinemark Holdings Inc. | 1,666,685 | 28,800 | |||
* | Sally Beauty Holdings Inc. | 1,803,726 | 28,192 | |||
* | Brinker International Inc. | 730,901 | 27,891 | |||
* | Lions Gate Entertainment Corp. Class B | 1,852,618 | 27,845 | |||
Qurate Retail Inc. Class A | 5,730,968 | 27,279 | ||||
* | Central Garden & Pet Co. Class A | 665,323 | 27,132 | |||
PROG Holdings Inc. | 903,788 | 26,002 | ||||
HNI Corp. | 678,235 | 25,129 | ||||
Steven Madden Ltd. | 633,744 | 24,488 | ||||
Strategic Education Inc. | 364,261 | 24,180 | ||||
* | Urban Outfitters Inc. | 962,517 | 24,169 | |||
* | SkyWest Inc. | 828,065 | 23,890 | |||
Oxford Industries Inc. | 263,001 | 23,802 | ||||
* | Tenneco Inc. Class A | 1,278,065 | 23,414 | |||
Rent-A-Center Inc. | 921,002 | 23,200 | ||||
* | Adtalem Global Education Inc. | 775,548 | 23,042 | |||
Acushnet Holdings Corp. | 543,071 | 21,864 | ||||
Sinclair Broadcast Group Inc. Class A | 767,470 | 21,504 | ||||
* | Laureate Education Inc. Class A | 1,762,415 | 20,885 | |||
1 | Dillard's Inc. Class A | 75,796 | 20,343 | |||
Sturm Ruger & Co. Inc. | 288,393 | 20,078 | ||||
* | Clear Channel Outdoor Holdings Inc. | 5,794,782 | 20,050 | |||
* | G-III Apparel Group Ltd. | 716,808 | 19,390 | |||
La-Z-Boy Inc. | 708,313 | 18,678 | ||||
* | AMC Networks Inc. Class A | 430,027 | 17,472 | |||
Big Lots Inc. | 500,247 | 17,309 | ||||
* | GoPro Inc. Class A | 2,023,771 | 17,263 | |||
* | Vista Outdoor Inc. | 460,996 | 16,453 | |||
*,1 | Krispy Kreme Inc. | 1,100,783 | 16,347 | |||
Buckle Inc. | 489,566 | 16,175 | ||||
Matthews International Corp. Class A | 491,265 | 15,897 |
Shares | Market Value ($000) | |||||
* | Hawaiian Holdings Inc. | 797,995 | 15,720 | |||
* | Lions Gate Entertainment Corp. Class A | 963,142 | 15,651 | |||
* | Cars.com Inc. | 1,077,112 | 15,543 | |||
Sonic Automotive Inc. Class A | 335,279 | 14,253 | ||||
Guess? Inc. | 641,138 | 14,009 | ||||
* | American Axle & Manufacturing Holdings Inc. | 1,776,246 | 13,784 | |||
* | Cardlytics Inc. | 245,440 | 13,494 | |||
Interface Inc. Class A | 971,674 | 13,186 | ||||
* | Designer Brands Inc. Class A | 968,084 | 13,079 | |||
Steelcase Inc. Class A | 1,067,723 | 12,759 | ||||
Inter Parfums Inc. | 143,118 | 12,602 | ||||
* | Duolingo Inc. Class A | 129,847 | 12,350 | |||
* | Zumiez Inc. | 319,911 | 12,224 | |||
* | Stride Inc. | 332,217 | 12,069 | |||
Scholastic Corp. | 297,085 | 11,967 | ||||
* | PowerSchool Holdings Inc. Class A | 645,641 | 10,660 | |||
* | elf Beauty Inc. | 403,883 | 10,432 | |||
* | Dine Brands Global Inc. | 133,620 | 10,416 | |||
* | BJ's Restaurants Inc. | 362,963 | 10,272 | |||
Aaron's Co. Inc. | 507,709 | 10,195 | ||||
* | Life Time Group Holdings Inc. | 635,439 | 9,239 | |||
* | WW International Inc. | 865,996 | 8,859 | |||
* | Genesco Inc. | 113,690 | 7,232 | |||
Rush Enterprises Inc. Class B | 140,448 | 6,791 | ||||
* | Central Garden & Pet Co. | 150,175 | 6,602 | |||
Smith & Wesson Brands Inc. | 393,126 | 5,948 | ||||
*,1 | Canoo Inc. | 1,075,535 | 5,937 | |||
Caleres Inc. | 296,500 | 5,731 | ||||
* | Children's Place Inc. | 111,755 | 5,509 | |||
* | Janus International Group Inc. | 542,488 | 4,882 | |||
Global Industrial Co. | 123,913 | 3,994 | ||||
*,1 | Cricut Inc. Class A | 297,140 | 3,890 | |||
*,1 | Lordstown Motors Corp. | 1,095,833 | 3,737 | |||
*,1 | Frontier Group Holdings Inc. | 265,652 | 3,010 | |||
* | Rush Street Interactive Inc. | 409,641 | 2,978 | |||
* | Udemy Inc. | 226,194 | 2,818 | |||
* | Vizio Holding Corp. Class A | 315,252 | 2,803 | |||
* | Bowlero Corp. | 233,372 | 2,485 | |||
* | Lands' End Inc. | 121,789 | 2,061 | |||
* | El Pollo Loco Holdings Inc. | 148,737 | 1,728 | |||
*,1 | Weber Inc. Class A | 173,815 | 1,709 | |||
*,1 | XL Fleet Corp. | 453,942 | 903 | |||
7,242,671 | ||||||
Consumer Staples (3.2%) | ||||||
Bunge Ltd. | 2,303,962 | 255,302 | ||||
* | Performance Food Group Co. | 2,537,170 | 129,167 | |||
* | US Foods Holding Corp. | 3,289,788 | 123,795 | |||
Ingredion Inc. | 1,038,708 | 90,523 | ||||
Molson Coors Beverage Co. Class B | 1,479,374 | 78,969 | ||||
Flowers Foods Inc. | 2,945,245 | 75,722 | ||||
Lamb Weston Holdings Inc. | 1,189,831 | 71,283 | ||||
Spectrum Brands Holdings Inc. | 667,966 | 59,262 | ||||
* | Sprouts Farmers Market Inc. | 1,817,572 | 58,126 | |||
* | Hostess Brands Inc. Class A | 2,267,518 | 49,749 | |||
* | Hain Celestial Group Inc. | 1,421,425 | 48,897 | |||
* | Grocery Outlet Holding Corp. | 1,416,383 | 46,429 | |||
* | Herbalife Nutrition Ltd. | 1,529,070 | 46,423 | |||
* | United Natural Foods Inc. | 952,002 | 39,365 |
Shares | Market Value ($000) | |||||
Nu Skin Enterprises Inc. Class A | 816,630 | 39,100 | ||||
Energizer Holdings Inc. | 1,167,081 | 35,900 | ||||
Edgewell Personal Care Co. | 893,517 | 32,765 | ||||
Sanderson Farms Inc. | 173,716 | 32,570 | ||||
* | TreeHouse Foods Inc. | 914,356 | 29,497 | |||
1 | B&G Foods Inc. | 1,063,472 | 28,693 | |||
Vector Group Ltd. | 2,144,719 | 25,823 | ||||
Reynolds Consumer Products Inc. | 857,681 | 25,164 | ||||
Andersons Inc. | 497,249 | 24,992 | ||||
Lancaster Colony Corp. | 157,870 | 23,546 | ||||
Universal Corp. | 383,063 | 22,245 | ||||
* | Pilgrim's Pride Corp. | 799,243 | 20,061 | |||
Weis Markets Inc. | 264,533 | 18,893 | ||||
Seaboard Corp. | 3,852 | 16,200 | ||||
Fresh Del Monte Produce Inc. | 585,040 | 15,158 | ||||
* | Beauty Health Co. | 796,733 | 13,449 | |||
ACCO Brands Corp. | 1,492,368 | 11,939 | ||||
* | Duckhorn Portfolio Inc. | 563,508 | 10,250 | |||
Tootsie Roll Industries Inc. | 232,243 | 8,119 | ||||
Utz Brands Inc. | 544,333 | 8,045 | ||||
*,1 | Rite Aid Corp. | 868,388 | 7,598 | |||
* | Honest Co. Inc. | 407,246 | 2,122 | |||
1,625,141 | ||||||
Energy (7.0%) | ||||||
Marathon Oil Corp. | 11,971,325 | 300,600 | ||||
Targa Resources Corp. | 3,749,816 | 282,999 | ||||
APA Corp. | 5,681,668 | 234,823 | ||||
Ovintiv Inc. | 4,279,281 | 231,381 | ||||
Diamondback Energy Inc. | 1,443,503 | 197,875 | ||||
* | EQT Corp. | 5,548,912 | 190,938 | |||
Chesapeake Energy Corp. | 1,921,150 | 167,140 | ||||
* | Antero Resources Corp. | 4,384,490 | 133,858 | |||
* | First Solar Inc. | 1,568,434 | 131,341 | |||
* | Southwestern Energy Co. | 18,276,418 | 131,042 | |||
* | NOV Inc. | 6,435,943 | 126,209 | |||
* | Range Resources Corp. | 4,081,548 | 123,997 | |||
Murphy Oil Corp. | 2,405,114 | 97,143 | ||||
HF Sinclair Corp. | 2,404,508 | 95,820 | ||||
* | DT Midstream Inc. | 1,585,475 | 86,028 | |||
Helmerich & Payne Inc. | 1,555,983 | 66,565 | ||||
* | California Resources Corp. | 1,317,687 | 58,940 | |||
* | CNX Resources Corp. | 2,820,183 | 58,434 | |||
Equitrans Midstream Corp. | 6,737,180 | 56,862 | ||||
Antero Midstream Corp. | 5,089,154 | 55,319 | ||||
* | Whiting Petroleum Corp. | 643,188 | 52,426 | |||
Patterson-UTI Energy Inc. | 3,354,484 | 51,927 | ||||
* | Renewable Energy Group Inc. | 823,937 | 49,972 | |||
Arcosa Inc. | 791,911 | 45,337 | ||||
Oasis Petroleum Inc. | 300,148 | 43,912 | ||||
* | Transocean Ltd. | 9,144,028 | 41,788 | |||
SM Energy Co. | 987,956 | 38,481 | ||||
* | PBF Energy Inc. Class A | 1,573,327 | 38,342 | |||
* | Arch Resources Inc. | 252,275 | 34,658 | |||
Warrior Met Coal Inc. | 844,194 | 31,328 | ||||
World Fuel Services Corp. | 1,011,346 | 27,347 | ||||
* | Delek US Holdings Inc. | 1,216,146 | 25,807 | |||
Core Laboratories NV | 758,490 | 23,991 | ||||
Archrock Inc. | 2,415,982 | 22,299 |
Shares | Market Value ($000) | |||||
*,1 | SunPower Corp. | 1,024,603 | 22,008 | |||
* | Peabody Energy Corp. | 882,404 | 21,645 | |||
* | ProPetro Holding Corp. | 1,440,113 | 20,061 | |||
* | NOW Inc. | 1,812,105 | 19,988 | |||
Continental Resources Inc. | 294,075 | 18,036 | ||||
* | NexTier Oilfield Solutions Inc. | 1,701,994 | 15,726 | |||
* | MRC Global Inc. | 1,297,502 | 15,453 | |||
* | Stem Inc. | 1,192,640 | 13,131 | |||
CVR Energy Inc. | 493,963 | 12,616 | ||||
*,1 | EVgo Inc. | 566,123 | 7,280 | |||
* | RPC Inc. | 614,210 | 6,554 | |||
* | Fluence Energy Inc. Class A | 242,394 | 3,178 | |||
* | Whiting Petroleum Corp. Warrants Exp. 9/1/25 | 699 | 10 | |||
* | Whiting Petroleum Corp. Class A Warrants Exp. 9/1/24 | 196 | 4 | |||
3,530,619 | ||||||
Financials (21.8%) | ||||||
Signature Bank | 1,025,764 | 301,052 | ||||
Brown & Brown Inc. | 3,698,632 | 267,300 | ||||
LPL Financial Holdings Inc. | 1,245,173 | 227,468 | ||||
First Horizon Corp. | 8,751,278 | 205,568 | ||||
Comerica Inc. | 2,148,363 | 194,276 | ||||
East West Bancorp Inc. | 2,325,898 | 183,792 | ||||
American Financial Group Inc. | 1,252,894 | 182,446 | ||||
Invesco Ltd. | 7,557,344 | 174,272 | ||||
Carlyle Group Inc. | 3,504,009 | 171,381 | ||||
Webster Financial Corp. | 2,945,010 | 165,274 | ||||
Assurant Inc. | 903,850 | 164,347 | ||||
Zions Bancorp NA | 2,484,498 | 162,884 | ||||
People's United Financial Inc. | 7,013,570 | 140,201 | ||||
Cullen/Frost Bankers Inc. | 944,469 | 130,724 | ||||
First Citizens BancShares Inc. Class A | 196,148 | 130,556 | ||||
Commerce Bancshares Inc. | 1,786,408 | 127,889 | ||||
SEI Investments Co. | 2,040,737 | 122,873 | ||||
Reinsurance Group of America Inc. | 1,100,858 | 120,500 | ||||
Old Republic International Corp. | 4,526,813 | 117,109 | ||||
Voya Financial Inc. | 1,738,865 | 115,374 | ||||
Starwood Property Trust Inc. | 4,743,129 | 114,641 | ||||
RenaissanceRe Holdings Ltd. | 720,615 | 114,225 | ||||
Stifel Financial Corp. | 1,657,354 | 112,534 | ||||
AGNC Investment Corp. | 8,557,807 | 112,107 | ||||
Synovus Financial Corp. | 2,265,704 | 111,020 | ||||
First American Financial Corp. | 1,702,346 | 110,346 | ||||
Popular Inc. | 1,308,727 | 106,975 | ||||
SouthState Corp. | 1,248,357 | 101,853 | ||||
Prosperity Bancshares Inc. | 1,435,108 | 99,568 | ||||
First Financial Bankshares Inc. | 2,220,555 | 97,971 | ||||
Janus Henderson Group plc | 2,770,455 | 97,021 | ||||
Unum Group | 3,012,682 | 94,930 | ||||
Cadence Bank | 3,155,736 | 92,337 | ||||
Glacier Bancorp Inc. | 1,814,266 | 91,221 | ||||
Jefferies Financial Group Inc. | 2,768,978 | 90,961 | ||||
Valley National Bancorp | 6,909,095 | 89,956 | ||||
OneMain Holdings Inc. | 1,879,794 | 89,121 | ||||
Primerica Inc. | 647,261 | 88,558 | ||||
Selective Insurance Group Inc. | 986,488 | 88,153 | ||||
Affiliated Managers Group Inc. | 619,315 | 87,292 | ||||
Wintrust Financial Corp. | 935,139 | 86,902 | ||||
Bank OZK | 2,019,795 | 86,245 |
Shares | Market Value ($000) | |||||
PacWest Bancorp | 1,960,255 | 84,546 | ||||
SLM Corp. | 4,585,650 | 84,193 | ||||
New Residential Investment Corp. | 7,649,926 | 83,996 | ||||
Blackstone Mortgage Trust Inc. Class A | 2,625,060 | 83,451 | ||||
Lincoln National Corp. | 1,270,911 | 83,067 | ||||
Old National Bancorp | 4,838,384 | 79,253 | ||||
Hanover Insurance Group Inc. | 523,685 | 78,301 | ||||
RLI Corp. | 705,214 | 78,018 | ||||
United Bankshares Inc. | 2,236,378 | 78,005 | ||||
Axis Capital Holdings Ltd. | 1,250,488 | 75,617 | ||||
New York Community Bancorp Inc. | 6,989,703 | 74,930 | ||||
Globe Life Inc. | 732,580 | 73,698 | ||||
FNB Corp. | 5,784,035 | 72,011 | ||||
Hancock Whitney Corp. | 1,351,916 | 70,502 | ||||
MGIC Investment Corp. | 5,170,856 | 70,065 | ||||
Essent Group Ltd. | 1,693,415 | 69,786 | ||||
Assured Guaranty Ltd. | 1,087,570 | 69,235 | ||||
Western Alliance Bancorp | 830,039 | 68,744 | ||||
Umpqua Holdings Corp. | 3,550,601 | 66,964 | ||||
* | Brighthouse Financial Inc. | 1,275,982 | 65,917 | |||
UMB Financial Corp. | 675,060 | 65,589 | ||||
Radian Group Inc. | 2,874,426 | 63,841 | ||||
Walker & Dunlop Inc. | 485,275 | 62,804 | ||||
Community Bank System Inc. | 883,097 | 61,949 | ||||
BankUnited Inc. | 1,387,194 | 60,981 | ||||
* | Jackson Financial Inc. Class A | 1,372,180 | 60,692 | |||
Lazard Ltd. Class A | 1,755,879 | 60,578 | ||||
Evercore Inc. Class A | 543,572 | 60,510 | ||||
United Community Banks Inc. | 1,730,607 | 60,225 | ||||
Independent Bank Corp. (Massachusetts) | 736,525 | 60,167 | ||||
Eastern Bankshares Inc. | 2,748,163 | 59,195 | ||||
First Hawaiian Inc. | 2,089,677 | 58,281 | ||||
Kemper Corp. | 991,713 | 56,071 | ||||
Bank of Hawaii Corp. | 659,654 | 55,358 | ||||
Pacific Premier Bancorp Inc. | 1,552,937 | 54,896 | ||||
Home BancShares Inc. | 2,417,734 | 54,641 | ||||
Investors Bancorp Inc. | 3,654,381 | 54,560 | ||||
White Mountains Insurance Group Ltd. | 46,994 | 53,396 | ||||
FirstCash Holdings Inc. | 755,820 | 53,164 | ||||
Associated Banc-Corp | 2,329,253 | 53,014 | ||||
Cathay General Bancorp | 1,179,412 | 52,779 | ||||
* | Ryan Specialty Group Holdings Inc. Class A | 1,354,534 | 52,542 | |||
CVB Financial Corp. | 2,245,034 | 52,107 | ||||
Federated Hermes Inc. Class B | 1,507,955 | 51,361 | ||||
First Interstate BancSystem Inc. Class A | 1,372,651 | 50,472 | ||||
WSFS Financial Corp. | 1,073,204 | 50,033 | ||||
* | Mr Cooper Group Inc. | 1,092,270 | 49,884 | |||
CNO Financial Group Inc. | 1,940,872 | 48,697 | ||||
American Equity Investment Life Holding Co. | 1,211,881 | 48,366 | ||||
Moelis & Co. Class A | 1,023,752 | 48,065 | ||||
* | Texas Capital Bancshares Inc. | 829,759 | 47,554 | |||
Chimera Investment Corp. | 3,883,612 | 46,759 | ||||
* | Enstar Group Ltd. | 176,053 | 45,976 | |||
Simmons First National Corp. Class A | 1,749,104 | 45,862 | ||||
Fulton Financial Corp. | 2,643,695 | 43,938 | ||||
*,1 | SoFi Technologies Inc. | 4,626,360 | 43,719 | |||
First Bancorp | 3,307,429 | 43,394 | ||||
Atlantic Union Bankshares Corp. | 1,178,203 | 43,228 |
Shares | Market Value ($000) | |||||
Independent Bank Group Inc. | 595,644 | 42,386 | ||||
BOK Financial Corp. | 447,932 | 42,083 | ||||
Columbia Banking System Inc. | 1,286,750 | 41,523 | ||||
Navient Corp. | 2,396,799 | 40,841 | ||||
Artisan Partners Asset Management Inc. Class A | 1,035,819 | 40,760 | ||||
* | Axos Financial Inc. | 877,724 | 40,718 | |||
International Bancshares Corp. | 934,945 | 39,464 | ||||
First Merchants Corp. | 924,792 | 38,471 | ||||
Piper Sandler Cos. | 278,718 | 36,582 | ||||
Houlihan Lokey Inc. Class A | 415,013 | 36,438 | ||||
Washington Federal Inc. | 1,070,152 | 35,122 | ||||
Flagstar Bancorp Inc. | 827,911 | 35,103 | ||||
Towne Bank | 1,131,768 | 33,885 | ||||
WesBanco Inc. | 983,757 | 33,802 | ||||
First Financial Bancorp | 1,466,158 | 33,795 | ||||
Apollo Commercial Real Estate Finance Inc. | 2,303,589 | 32,089 | ||||
* | Genworth Financial Inc. Class A | 8,316,073 | 31,435 | |||
Park National Corp. | 239,260 | 31,434 | ||||
Banner Corp. | 533,383 | 31,219 | ||||
Two Harbors Investment Corp. | 5,636,740 | 31,171 | ||||
* | PRA Group Inc. | 678,978 | 30,608 | |||
Hope Bancorp Inc. | 1,868,470 | 30,045 | ||||
* | Cannae Holdings Inc. | 1,238,682 | 29,629 | |||
Renasant Corp. | 868,160 | 29,040 | ||||
Hilltop Holdings Inc. | 970,681 | 28,538 | ||||
Horace Mann Educators Corp. | 680,007 | 28,445 | ||||
Virtus Investment Partners Inc. | 118,180 | 28,362 | ||||
Eagle Bancorp Inc. | 497,306 | 28,351 | ||||
* | MFA Financial Inc. | 6,964,410 | 28,067 | |||
Trustmark Corp. | 907,060 | 27,566 | ||||
Northwest Bancshares Inc. | 1,971,205 | 26,631 | ||||
Provident Financial Services Inc. | 1,135,158 | 26,563 | ||||
PennyMac Mortgage Investment Trust | 1,555,289 | 26,269 | ||||
* | LendingClub Corp. | 1,658,556 | 26,172 | |||
1 | iStar Inc. | 1,081,838 | 25,326 | |||
Westamerica Bancorp | 418,385 | 25,312 | ||||
Mercury General Corp. | 453,846 | 24,962 | ||||
NBT Bancorp Inc. | 675,083 | 24,391 | ||||
PennyMac Financial Services Inc. | 453,529 | 24,128 | ||||
* | Encore Capital Group Inc. | 381,907 | 23,957 | |||
ProAssurance Corp. | 884,950 | 23,787 | ||||
Capitol Federal Financial Inc. | 2,161,730 | 23,520 | ||||
BGC Partners Inc. Class A | 5,195,540 | 22,860 | ||||
Ladder Capital Corp. | 1,888,730 | 22,419 | ||||
Argo Group International Holdings Ltd. | 543,068 | 22,418 | ||||
First Commonwealth Financial Corp. | 1,477,473 | 22,399 | ||||
BancFirst Corp. | 267,221 | 22,235 | ||||
Compass Diversified Holdings | 918,885 | 21,842 | ||||
OFG Bancorp | 813,566 | 21,673 | ||||
Safety Insurance Group Inc. | 231,151 | 21,000 | ||||
Berkshire Hills Bancorp Inc. | 717,951 | 20,799 | ||||
Redwood Trust Inc. | 1,890,166 | 19,903 | ||||
Brookline Bancorp Inc. | 1,208,503 | 19,119 | ||||
National Bank Holdings Corp. Class A | 466,422 | 18,788 | ||||
City Holding Co. | 234,665 | 18,468 | ||||
S&T Bancorp Inc. | 612,809 | 18,127 | ||||
Broadmark Realty Capital Inc. | 2,065,141 | 17,864 | ||||
Employers Holdings Inc. | 431,795 | 17,712 |
Shares | Market Value ($000) | |||||
Nelnet Inc. Class A | 202,716 | 17,229 | ||||
Tompkins Financial Corp. | 204,301 | 15,991 | ||||
Heartland Financial USA Inc. | 311,864 | 14,916 | ||||
* | Blucora Inc. | 762,384 | 14,905 | |||
Kearny Financial Corp. | 1,072,584 | 13,815 | ||||
BrightSpire Capital Inc. Class A | 1,488,991 | 13,773 | ||||
KKR Real Estate Finance Trust Inc. | 662,359 | 13,651 | ||||
* | World Acceptance Corp. | 69,748 | 13,380 | |||
1 | ARMOUR Residential REIT Inc. | 1,574,498 | 13,226 | |||
* | Columbia Financial Inc. | 612,825 | 13,182 | |||
Invesco Mortgage Capital Inc. | 5,408,759 | 12,332 | ||||
Arbor Realty Trust Inc. | 713,688 | 12,176 | ||||
United Fire Group Inc. | 390,502 | 12,133 | ||||
Central Pacific Financial Corp. | 430,951 | 12,024 | ||||
TPG RE Finance Trust Inc. | 1,015,008 | 11,987 | ||||
WisdomTree Investments Inc. | 2,021,606 | 11,867 | ||||
* | SiriusPoint Ltd. | 1,453,947 | 10,876 | |||
Northfield Bancorp Inc. | 726,922 | 10,439 | ||||
* | Franklin BSP Realty Trust Inc. | 722,592 | 10,102 | |||
* | Ambac Financial Group Inc. | 762,999 | 7,935 | |||
National Western Life Group Inc. Class A | 30,932 | 6,508 | ||||
GCM Grosvenor Inc. Class A | 613,443 | 5,957 | ||||
Victory Capital Holdings Inc. Class A | 196,848 | 5,683 | ||||
Granite Point Mortgage Trust Inc. | 440,763 | 4,901 | ||||
UWM Holdings Corp. Class A | 746,085 | 3,380 | ||||
* | AssetMark Financial Holdings Inc. | 149,757 | 3,332 | |||
loanDepot Inc. Class A | 449,254 | 1,864 | ||||
Associated Capital Group Inc. Class A | 27,515 | 1,153 | ||||
*,1 | Hagerty Inc. Class A | 104,041 | 1,123 | |||
*,1 | Bakkt Holdings Inc. | 164,349 | 1,012 | |||
*,1 | Romeo Power Inc. | 384,139 | 572 | |||
11,051,210 | ||||||
Health Care (4.8%) | ||||||
* | Molina Healthcare Inc. | 957,211 | 319,316 | |||
* | Tenet Healthcare Corp. | 1,760,641 | 151,345 | |||
* | Jazz Pharmaceuticals plc | 957,140 | 148,998 | |||
Organon & Co. | 4,155,713 | 145,159 | ||||
* | United Therapeutics Corp. | 739,713 | 132,712 | |||
* | Envista Holdings Corp. | 2,652,481 | 129,202 | |||
Encompass Health Corp. | 1,630,800 | 115,966 | ||||
* | Acadia Healthcare Co. Inc. | 1,474,162 | 96,602 | |||
Perrigo Co. plc | 2,192,526 | 84,259 | ||||
* | Novavax Inc. | 1,089,212 | 80,220 | |||
* | Mirati Therapeutics Inc. | 814,557 | 66,973 | |||
Premier Inc. Class A | 1,854,007 | 65,984 | ||||
Owens & Minor Inc. | 1,176,741 | 51,800 | ||||
Patterson Cos. Inc. | 1,438,350 | 46,559 | ||||
* | Karuna Therapeutics Inc. | 366,463 | 46,464 | |||
* | Integer Holdings Corp. | 542,562 | 43,714 | |||
* | Prestige Consumer Healthcare Inc. | 822,798 | 43,559 | |||
Select Medical Holdings Corp. | 1,755,697 | 42,119 | ||||
* | Iovance Biotherapeutics Inc. | 2,186,094 | 36,399 | |||
* | MEDNAX Inc. | 1,346,667 | 31,620 | |||
* | Myriad Genetics Inc. | 1,243,438 | 31,335 | |||
* | Pacific Biosciences of California Inc. | 3,435,155 | 31,260 | |||
*,1 | Multiplan Corp. | 5,754,799 | 26,932 | |||
* | Avanos Medical Inc. | 775,564 | 25,981 | |||
Healthcare Services Group Inc. | 1,212,737 | 22,521 |
Shares | Market Value ($000) | |||||
* | Tivity Health Inc. | 693,236 | 22,301 | |||
* | Madrigal Pharmaceuticals Inc. | 210,409 | 20,645 | |||
* | Brookdale Senior Living Inc. | 2,888,777 | 20,366 | |||
* | Kymera Therapeutics Inc. | 465,875 | 19,716 | |||
* | Axsome Therapeutics Inc. | 463,422 | 19,181 | |||
* | Meridian Bioscience Inc. | 713,769 | 18,529 | |||
* | NextGen Healthcare Inc. | 876,864 | 18,335 | |||
* | Turning Point Therapeutics Inc. | 648,920 | 17,424 | |||
* | Reata Pharmaceuticals Inc. Class A | 437,883 | 14,345 | |||
National HealthCare Corp. | 202,386 | 14,214 | ||||
* | Bridgebio Pharma Inc. | 1,388,944 | 14,098 | |||
* | Varex Imaging Corp. | 649,246 | 13,822 | |||
* | Supernus Pharmaceuticals Inc. | 413,024 | 13,349 | |||
* | Agios Pharmaceuticals Inc. | 446,811 | 13,007 | |||
* | OPKO Health Inc. | 3,083,783 | 10,608 | |||
* | Orthofix Medical Inc. | 307,161 | 10,044 | |||
* | Amneal Pharmaceuticals Inc. | 2,205,758 | 9,198 | |||
* | Clover Health Investments Corp. Class A | 2,437,778 | 8,654 | |||
* | Endo International plc | 3,657,751 | 8,449 | |||
* | Atea Pharmaceuticals Inc. | 1,158,917 | 8,367 | |||
* | NGM Biopharmaceuticals Inc. | 508,282 | 7,751 | |||
* | Cano Health Inc. | 1,109,740 | 7,047 | |||
* | Stoke Therapeutics Inc. | 331,234 | 6,973 | |||
Phibro Animal Health Corp. Class A | 333,215 | 6,648 | ||||
*,1 | 23andMe Holding Co. | 1,654,150 | 6,335 | |||
* | Nuvation Bio Inc. | 1,161,747 | 6,111 | |||
*,1 | Day One Biopharmaceuticals Inc. | 608,826 | 6,040 | |||
* | Praxis Precision Medicines Inc. | 586,503 | 5,988 | |||
*,1 | Butterfly Network Inc. | 1,184,788 | 5,640 | |||
* | ALX Oncology Holdings Inc. | 297,703 | 5,031 | |||
* | Kiniksa Pharmaceuticals Ltd. Class A | 500,325 | 4,973 | |||
*,1 | Nuvalent Inc. Class A | 317,530 | 4,411 | |||
* | Hims & Hers Health Inc. | 804,783 | 4,290 | |||
* | Immunovant Inc. | 674,391 | 3,716 | |||
* | Natus Medical Inc. | 138,954 | 3,652 | |||
*,1 | Allovir Inc. | 477,089 | 3,220 | |||
*,1 | Adagio Therapeutics Inc. | 550,225 | 2,509 | |||
* | Forma Therapeutics Holdings Inc. | 250,951 | 2,334 | |||
* | Kodiak Sciences Inc. | 252,514 | 1,949 | |||
*,1 | P3 Health Partners Inc. | 248,809 | 1,946 | |||
* | Amylyx Pharmaceuticals Inc. | 93,307 | 1,199 | |||
*,1,2 | Zogenix Inc. CVR | 265,295 | 180 | |||
*,1 | Cue Health Inc. | 10,364 | 67 | |||
*,1,2 | Synergy Pharmaceuticals LLC | 1,169,882 | — | |||
2,409,661 | ||||||
Industrials (19.7%) | ||||||
Quanta Services Inc. | 2,335,567 | 307,384 | ||||
IDEX Corp. | 1,247,595 | 239,201 | ||||
Howmet Aerospace Inc. | 6,178,473 | 222,054 | ||||
Carlisle Cos. Inc. | 853,546 | 209,904 | ||||
* | Builders FirstSource Inc. | 3,138,686 | 202,571 | |||
Robert Half International Inc. | 1,723,313 | 196,768 | ||||
Booz Allen Hamilton Holding Corp. | 2,184,021 | 191,844 | ||||
* | AECOM | 2,316,495 | 177,930 | |||
RPM International Inc. | 2,125,396 | 173,092 | ||||
Regal Rexnord Corp. | 1,110,559 | 165,229 | ||||
Sealed Air Corp. | 2,428,254 | 162,596 | ||||
Allegion plc | 1,445,861 | 158,727 |
Shares | Market Value ($000) | |||||
Owens Corning | 1,624,020 | 148,598 | ||||
Pentair plc | 2,705,955 | 146,690 | ||||
Tetra Tech Inc. | 885,070 | 145,983 | ||||
AGCO Corp. | 981,266 | 143,294 | ||||
Lincoln Electric Holdings Inc. | 962,570 | 132,652 | ||||
* | Sensata Technologies Holding plc | 2,583,602 | 131,376 | |||
Huntington Ingalls Industries Inc. | 655,384 | 130,710 | ||||
AptarGroup Inc. | 1,074,500 | 126,254 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 2,451,549 | 123,705 | ||||
* | XPO Logistics Inc. | 1,694,014 | 123,324 | |||
Western Union Co. | 6,473,755 | 121,318 | ||||
Oshkosh Corp. | 1,095,022 | 110,214 | ||||
Acuity Brands Inc. | 573,958 | 108,650 | ||||
* | WESCO International Inc. | 826,238 | 107,527 | |||
Donaldson Co. Inc. | 2,024,769 | 105,146 | ||||
ITT Inc. | 1,398,032 | 105,146 | ||||
Brunswick Corp. | 1,254,798 | 101,501 | ||||
Graphic Packaging Holding Co. | 5,033,340 | 100,868 | ||||
Sonoco Products Co. | 1,611,503 | 100,816 | ||||
EMCOR Group Inc. | 863,153 | 97,217 | ||||
nVent Electric plc | 2,757,634 | 95,911 | ||||
* | Axalta Coating Systems Ltd. | 3,679,569 | 90,444 | |||
* | Colfax Corp. | 2,247,255 | 89,418 | |||
MDU Resources Group Inc. | 3,332,884 | 88,821 | ||||
Crane Co. | 818,217 | 88,597 | ||||
* | FTI Consulting Inc. | 562,934 | 88,504 | |||
Louisiana-Pacific Corp. | 1,406,858 | 87,394 | ||||
* | MasTec Inc. | 1,002,796 | 87,344 | |||
Spirit AeroSystems Holdings Inc. Class A | 1,721,615 | 84,170 | ||||
Matson Inc. | 688,910 | 83,096 | ||||
ManpowerGroup Inc. | 879,170 | 82,572 | ||||
Hubbell Inc. Class B | 445,892 | 81,942 | ||||
MSA Safety Inc. | 611,534 | 81,151 | ||||
Air Lease Corp. Class A | 1,775,723 | 79,286 | ||||
Valmont Industries Inc. | 331,203 | 79,025 | ||||
Flowserve Corp. | 2,137,296 | 76,729 | ||||
Triton International Ltd. | 1,069,414 | 75,051 | ||||
* | Middleby Corp. | 455,870 | 74,735 | |||
* | Atkore Inc. | 735,050 | 72,358 | |||
GATX Corp. | 580,185 | 71,554 | ||||
* | Kirby Corp. | 986,730 | 71,232 | |||
Zurn Water Solutions Corp. | 1,959,019 | 69,349 | ||||
Vontier Corp. | 2,641,033 | 67,056 | ||||
* | Fluor Corp. | 2,318,153 | 66,508 | |||
Ryder System Inc. | 837,727 | 66,457 | ||||
Applied Industrial Technologies Inc. | 630,296 | 64,706 | ||||
Watts Water Technologies Inc. Class A | 452,065 | 63,104 | ||||
Allison Transmission Holdings Inc. | 1,602,534 | 62,916 | ||||
Silgan Holdings Inc. | 1,357,215 | 62,744 | ||||
MSC Industrial Direct Co. Inc. Class A | 733,911 | 62,537 | ||||
Woodward Inc. | 491,334 | 61,373 | ||||
* | Summit Materials Inc. Class A | 1,945,605 | 60,431 | |||
* | API Group Corp. | 2,851,912 | 59,976 | |||
SPX FLOW Inc. | 689,271 | 59,429 | ||||
Korn Ferry | 891,810 | 57,914 | ||||
HB Fuller Co. | 868,656 | 57,392 | ||||
* | Resideo Technologies Inc. | 2,376,904 | 56,642 | |||
* | Allegheny Technologies Inc. | 2,085,777 | 55,982 |
Shares | Market Value ($000) | |||||
Brink's Co. | 805,566 | 54,779 | ||||
* | Beacon Roofing Supply Inc. | 923,466 | 54,743 | |||
* | Mohawk Industries Inc. | 426,488 | 52,970 | |||
ABM Industries Inc. | 1,105,356 | 50,891 | ||||
EnerSys | 676,051 | 50,413 | ||||
EVERTEC Inc. | 1,179,480 | 48,276 | ||||
Hillenbrand Inc. | 1,074,920 | 47,479 | ||||
Curtiss-Wright Corp. | 312,574 | 46,936 | ||||
Trinity Industries Inc. | 1,364,974 | 46,901 | ||||
UniFirst Corp. | 249,224 | 45,927 | ||||
* | Alight Inc. Class A | 4,568,076 | 45,452 | |||
Albany International Corp. Class A | 526,001 | 44,352 | ||||
Bread Financial Holdings Inc. | 775,136 | 43,524 | ||||
Otter Tail Corp. | 681,959 | 42,622 | ||||
Moog Inc. Class A | 476,247 | 41,815 | ||||
Altra Industrial Motion Corp. | 1,063,984 | 41,421 | ||||
* | Atlas Air Worldwide Holdings Inc. | 478,485 | 41,327 | |||
* | Meritor Inc. | 1,161,497 | 41,314 | |||
Belden Inc. | 737,461 | 40,855 | ||||
* | Hub Group Inc. Class A | 527,953 | 40,763 | |||
ManTech International Corp. Class A | 452,714 | 39,019 | ||||
Kennametal Inc. | 1,361,828 | 38,962 | ||||
Werner Enterprises Inc. | 946,606 | 38,811 | ||||
Terex Corp. | 1,085,301 | 38,702 | ||||
Encore Wire Corp. | 315,016 | 35,934 | ||||
* | SPX Corp. | 707,184 | 34,942 | |||
Brady Corp. Class A | 748,256 | 34,622 | ||||
McGrath RentCorp | 397,641 | 33,792 | ||||
* | O-I Glass Inc. | 2,550,602 | 33,617 | |||
* | GMS Inc. | 670,404 | 33,366 | |||
EnPro Industries Inc. | 337,771 | 33,010 | ||||
ArcBest Corp. | 398,155 | 32,051 | ||||
Barnes Group Inc. | 789,388 | 31,726 | ||||
ESCO Technologies Inc. | 426,171 | 29,798 | ||||
* | JELD-WEN Holding Inc. | 1,400,014 | 28,392 | |||
* | Ferro Corp. | 1,287,622 | 27,993 | |||
Greif Inc. Class A | 415,558 | 27,036 | ||||
* | AAR Corp. | 552,292 | 26,748 | |||
ADT Inc. | 3,468,873 | 26,329 | ||||
Greenbrier Cos. Inc. | 506,762 | 26,103 | ||||
TTEC Holdings Inc. | 308,014 | 25,417 | ||||
* | Gates Industrial Corp. plc | 1,671,546 | 25,173 | |||
Comfort Systems USA Inc. | 279,981 | 24,921 | ||||
Granite Construction Inc. | 751,125 | 24,637 | ||||
* | OSI Systems Inc. | 275,231 | 23,428 | |||
* | Green Dot Corp. Class A | 851,403 | 23,397 | |||
Kforce Inc. | 316,079 | 23,380 | ||||
* | TriMas Corp. | 702,553 | 22,545 | |||
* | Dycom Industries Inc. | 235,023 | 22,388 | |||
Maxar Technologies Inc. | 566,868 | 22,369 | ||||
* | CoreCivic Inc. | 1,971,221 | 22,019 | |||
H&E Equipment Services Inc. | 503,704 | 21,921 | ||||
Schneider National Inc. Class B | 853,141 | 21,755 | ||||
Deluxe Corp. | 699,893 | 21,165 | ||||
Standex International Corp. | 200,612 | 20,045 | ||||
Primoris Services Corp. | 838,062 | 19,963 | ||||
Kaman Corp. | 457,022 | 19,871 | ||||
AZZ Inc. | 384,602 | 18,553 |
Shares | Market Value ($000) | |||||
Apogee Enterprises Inc. | 387,103 | 18,372 | ||||
*,1 | Rocket Lab USA Inc. | 2,234,243 | 17,986 | |||
* | ZipRecruiter Inc. Class A | 777,780 | 17,873 | |||
* | First Advantage Corp. | 878,030 | 17,727 | |||
Griffon Corp. | 830,478 | 16,634 | ||||
* | Huron Consulting Group Inc. | 353,513 | 16,194 | |||
* | TrueBlue Inc. | 536,313 | 15,494 | |||
Astec Industries Inc. | 354,444 | 15,241 | ||||
* | Marqeta Inc. Class A | 1,343,874 | 14,836 | |||
Pitney Bowes Inc. | 2,722,414 | 14,157 | ||||
* | Conduent Inc. | 2,650,318 | 13,676 | |||
* | Triumph Group Inc. | 502,400 | 12,701 | |||
* | Proterra Inc. | 1,620,576 | 12,187 | |||
Kelly Services Inc. Class A | 531,373 | 11,525 | ||||
Quanex Building Products Corp. | 547,216 | 11,486 | ||||
Wabash National Corp. | 759,254 | 11,267 | ||||
* | Payoneer Global Inc. | 2,514,597 | 11,215 | |||
Heartland Express Inc. | 773,011 | 10,876 | ||||
Enerpac Tool Group Corp. Class A | 494,467 | 10,824 | ||||
* | Hillman Solutions Corp. | 849,112 | 10,087 | |||
* | BrightView Holdings Inc. | 731,238 | 9,952 | |||
* | CIRCOR International Inc. | 331,157 | 8,815 | |||
* | Advantage Solutions Inc. | 1,301,519 | 8,304 | |||
REV Group Inc. | 572,565 | 7,672 | ||||
* | Tutor Perini Corp. | 669,811 | 7,234 | |||
Greif Inc. Class B | 106,016 | 6,760 | ||||
International Seaways Inc. | 372,174 | 6,714 | ||||
* | American Woodmark Corp. | 135,740 | 6,644 | |||
National Presto Industries Inc. | 86,282 | 6,639 | ||||
Gorman-Rupp Co. | 171,202 | 6,143 | ||||
* | BTRS Holdings Inc. | 814,923 | 6,096 | |||
Kronos Worldwide Inc. | 379,250 | 5,886 | ||||
Pactiv Evergreen Inc. | 583,488 | 5,870 | ||||
*,1 | Joby Aviation Inc. | 871,108 | 5,767 | |||
* | Loyalty Ventures Inc. | 321,835 | 5,320 | |||
*,1 | Mirion Technologies Inc. | 653,314 | 5,272 | |||
* | Vivint Smart Home Inc. | 683,785 | 4,622 | |||
Hyster-Yale Materials Handling Inc. | 138,203 | 4,590 | ||||
* | Thermon Group Holdings Inc. | 272,964 | 4,422 | |||
* | Hyliion Holdings Corp. | 990,793 | 4,389 | |||
*,1 | Velodyne Lidar Inc. | 1,641,293 | 4,202 | |||
* | AvidXchange Holdings Inc. | 478,761 | 3,854 | |||
*,1 | Latch Inc. | 810,166 | 3,459 | |||
*,1 | Velo3D Inc. | 297,862 | 2,773 | |||
* | Enovix Corp. | 176,987 | 2,526 | |||
* | Aurora Innovation Inc. | 398,349 | 2,227 | |||
*,1 | View Inc. | 171,336 | 315 | |||
* | Remitly Global Inc. | 839 | 8 | |||
10,005,632 | ||||||
Real Estate (10.1%) | ||||||
Kimco Realty Corp. | 10,107,072 | 249,645 | ||||
Medical Properties Trust Inc. | 9,781,787 | 206,787 | ||||
* | Jones Lang LaSalle Inc. | 827,153 | 198,070 | |||
Life Storage Inc. | 1,344,338 | 188,785 | ||||
Gaming & Leisure Properties Inc. | 3,855,503 | 180,939 | ||||
VICI Properties Inc. | 6,101,034 | 173,635 | ||||
Federal Realty Investment Trust | 1,288,607 | 157,300 | ||||
EastGroup Properties Inc. | 676,165 | 137,451 |
Shares | Market Value ($000) | |||||
First Industrial Realty Trust Inc. | 2,159,917 | 133,720 | ||||
National Retail Properties Inc. | 2,878,678 | 129,368 | ||||
Vornado Realty Trust | 2,826,975 | 128,119 | ||||
Brixmor Property Group Inc. | 4,881,838 | 126,000 | ||||
Omega Healthcare Investors Inc. | 3,919,102 | 122,119 | ||||
Regency Centers Corp. | 1,409,755 | 100,572 | ||||
Cousins Properties Inc. | 2,436,906 | 98,183 | ||||
Rayonier Inc. | 2,346,329 | 96,481 | ||||
Douglas Emmett Inc. | 2,736,195 | 91,444 | ||||
SL Green Realty Corp. | 1,061,394 | 86,164 | ||||
Lamar Advertising Co. Class A | 711,490 | 82,661 | ||||
Highwoods Properties Inc. | 1,719,257 | 78,639 | ||||
Agree Realty Corp. | 1,168,489 | 77,541 | ||||
LXP Industrial Trust | 4,683,047 | 73,524 | ||||
Kilroy Realty Corp. | 956,512 | 73,097 | ||||
* | Park Hotels & Resorts Inc. | 3,682,131 | 71,912 | |||
Hudson Pacific Properties Inc. | 2,477,926 | 68,762 | ||||
* | Outfront Media Inc. | 2,397,096 | 68,149 | |||
Apartment Income REIT Corp. | 1,274,267 | 68,122 | ||||
Healthcare Realty Trust Inc. | 2,470,686 | 67,894 | ||||
EPR Properties | 1,228,758 | 67,225 | ||||
Physicians Realty Trust | 3,687,043 | 64,671 | ||||
Apple Hospitality REIT Inc. | 3,554,111 | 63,867 | ||||
* | DigitalBridge Group Inc. | 8,416,275 | 60,597 | |||
JBG SMITH Properties | 1,985,820 | 58,026 | ||||
PotlatchDeltic Corp. | 1,075,909 | 56,733 | ||||
Sabra Health Care REIT Inc. | 3,787,572 | 56,397 | ||||
* | Cushman & Wakefield plc | 2,565,292 | 52,614 | |||
Corporate Office Properties Trust | 1,841,032 | 52,543 | ||||
Macerich Co. | 3,317,192 | 51,881 | ||||
Equity Commonwealth | 1,759,909 | 49,647 | ||||
SITE Centers Corp. | 2,942,925 | 49,176 | ||||
Kennedy-Wilson Holdings Inc. | 1,921,721 | 46,871 | ||||
Newmark Group Inc. Class A | 2,821,166 | 44,913 | ||||
* | Sunstone Hotel Investors Inc. | 3,594,818 | 42,347 | |||
National Health Investors Inc. | 714,004 | 42,133 | ||||
Brandywine Realty Trust | 2,804,949 | 39,662 | ||||
Retail Opportunity Investments Corp. | 1,912,016 | 37,074 | ||||
Washington REIT | 1,433,180 | 36,546 | ||||
* | Xenia Hotels & Resorts Inc. | 1,872,124 | 36,113 | |||
Urban Edge Properties | 1,828,124 | 34,917 | ||||
* | DiamondRock Hospitality Co. | 3,454,405 | 34,890 | |||
Piedmont Office Realty Trust Inc. Class A | 2,020,356 | 34,791 | ||||
* | InvenTrust Properties Corp. | 1,048,612 | 32,276 | |||
Phillips Edison & Co. Inc. | 934,356 | 32,133 | ||||
Acadia Realty Trust | 1,463,182 | 31,707 | ||||
* | Compass Inc. Class A | 4,000,417 | 31,443 | |||
American Assets Trust Inc. | 793,628 | 30,071 | ||||
* | Realogy Holdings Corp. | 1,910,859 | 29,962 | |||
Tanger Factory Outlet Centers Inc. | 1,620,799 | 27,862 | ||||
Empire State Realty Trust Inc. Class A | 2,826,893 | 27,760 | ||||
Global Net Lease Inc. | 1,702,648 | 26,783 | ||||
Pebblebrook Hotel Trust | 1,077,585 | 26,379 | ||||
Alexander & Baldwin Inc. | 1,129,463 | 26,192 | ||||
LTC Properties Inc. | 647,475 | 24,908 | ||||
Industrial Logistics Properties Trust | 1,072,098 | 24,304 | ||||
Service Properties Trust | 2,706,021 | 23,894 | ||||
Centerspace | 234,107 | 22,971 |
Shares | Market Value ($000) | |||||
* | Veris Residential Inc. | 1,267,098 | 22,035 | |||
Office Properties Income Trust | 793,817 | 20,425 | ||||
RPT Realty | 1,386,892 | 19,098 | ||||
RLJ Lodging Trust | 1,354,054 | 19,065 | ||||
Getty Realty Corp. | 651,006 | 18,632 | ||||
Apartment Investment & Management Co. Class A | 2,496,513 | 18,274 | ||||
Necessity Retail REIT Inc. Class A | 2,128,205 | 16,834 | ||||
CareTrust REIT Inc. | 795,452 | 15,352 | ||||
GEO Group Inc. | 1,915,275 | 12,660 | ||||
Diversified Healthcare Trust | 3,904,849 | 12,496 | ||||
Saul Centers Inc. | 213,881 | 11,272 | ||||
Franklin Street Properties Corp. | 1,534,255 | 9,052 | ||||
* | Summit Hotel Properties Inc. | 872,113 | 8,686 | |||
* | Bridge Investment Group Holdings Inc. Class A | 404,845 | 8,239 | |||
RMR Group Inc. Class A | 253,870 | 7,895 | ||||
* | Douglas Elliman Inc. | 1,018,659 | 7,436 | |||
* | Seritage Growth Properties Class A | 572,651 | 7,250 | |||
* | Forestar Group Inc. | 287,408 | 5,104 | |||
Urstadt Biddle Properties Inc. Class A | 245,898 | 4,625 | ||||
Alexander's Inc. | 16,696 | 4,278 | ||||
*,1 | Offerpad Solutions Inc. | 363,557 | 1,829 | |||
Urstadt Biddle Properties Inc. | 22,237 | 386 | ||||
*,2 | Spirit MTA REIT | 334,911 | 90 | |||
5,118,375 | ||||||
Technology (6.0%) | ||||||
* | Arrow Electronics Inc. | 1,109,220 | 131,587 | |||
* | DXC Technology Co. | 4,005,987 | 130,715 | |||
Jabil Inc. | 2,116,565 | 130,656 | ||||
* | Synaptics Inc. | 647,852 | 129,246 | |||
KBR Inc. | 2,286,320 | 125,130 | ||||
Leidos Holdings Inc. | 1,151,430 | 124,377 | ||||
* | CACI International Inc. Class A | 383,636 | 115,574 | |||
* | Concentrix Corp. | 685,985 | 114,258 | |||
* | F5 Inc. | 497,746 | 104,004 | |||
CDK Global Inc. | 1,913,889 | 93,168 | ||||
* | NCR Corp. | 2,166,805 | 87,084 | |||
Science Applications International Corp. | 933,195 | 86,013 | ||||
* | Change Healthcare Inc. | 3,834,226 | 83,586 | |||
* | Teradata Corp. | 1,689,426 | 83,272 | |||
* | SentinelOne Inc. Class A | 2,105,954 | 81,585 | |||
* | Cirrus Logic Inc. | 938,857 | 79,606 | |||
TD SYNNEX Corp. | 710,990 | 73,381 | ||||
* | Dun & Bradstreet Holdings Inc. | 3,889,508 | 68,144 | |||
Avnet Inc. | 1,621,893 | 65,833 | ||||
* | Insight Enterprises Inc. | 571,967 | 61,383 | |||
* | Rambus Inc. | 1,792,503 | 57,163 | |||
* | Verint Systems Inc. | 969,106 | 50,103 | |||
Xerox Holdings Corp. | 2,194,245 | 44,258 | ||||
* | Allscripts Healthcare Solutions Inc. | 1,908,778 | 42,986 | |||
Vishay Intertechnology Inc. | 2,176,835 | 42,666 | ||||
* | Sanmina Corp. | 989,556 | 39,998 | |||
* | Kyndryl Holdings Inc. | 2,938,854 | 38,558 | |||
* | NetScout Systems Inc. | 1,149,466 | 36,875 | |||
* | Plexus Corp. | 437,385 | 35,782 | |||
Amkor Technology Inc. | 1,603,748 | 34,833 | ||||
Progress Software Corp. | 724,024 | 34,094 | ||||
*,1 | C3.ai Inc. Class A | 1,500,451 | 34,060 | |||
CSG Systems International Inc. | 503,529 | 32,009 |
Shares | Market Value ($000) | |||||
* | Allegro MicroSystems Inc. | 1,089,502 | 30,942 | |||
Xperi Holding Corp. | 1,713,213 | 29,673 | ||||
* | Covetrus Inc. | 1,693,934 | 28,441 | |||
* | Super Micro Computer Inc. | 718,793 | 27,364 | |||
* | Blackbaud Inc. | 426,534 | 25,537 | |||
Methode Electronics Inc. | 580,243 | 25,095 | ||||
* | TTM Technologies Inc. | 1,624,593 | 24,076 | |||
* | Cerence Inc. | 643,699 | 23,238 | |||
* | Unisys Corp. | 1,046,913 | 22,624 | |||
* | E2open Parent Holdings Inc. | 2,347,299 | 20,680 | |||
* | Confluent Inc. Class A | 485,091 | 19,889 | |||
* | Squarespace Inc. Class A | 743,883 | 19,058 | |||
* | Momentive Global Inc. | 1,049,867 | 17,071 | |||
* | Avaya Holdings Corp. | 1,322,564 | 16,757 | |||
* | Olo Inc. Class A | 1,225,716 | 16,241 | |||
* | ScanSource Inc. | 420,237 | 14,620 | |||
Benchmark Electronics Inc. | 577,640 | 14,464 | ||||
* | Amplitude Inc. Class A | 774,720 | 14,278 | |||
* | Parsons Corp. | 299,701 | 11,598 | |||
* | Informatica Inc. Class A | 566,751 | 11,188 | |||
* | CCC Intelligent Solutions Holdings Inc. | 995,467 | 10,990 | |||
* | Rackspace Technology Inc. | 862,617 | 9,627 | |||
* | Samsara Inc. Class A | 576,309 | 9,232 | |||
SolarWinds Corp. | 656,425 | 8,737 | ||||
* | Groupon Inc. | 414,612 | 7,973 | |||
* | Couchbase Inc. | 394,990 | 6,881 | |||
Ebix Inc. | 202,866 | 6,725 | ||||
*,1 | Matterport Inc. | 749,928 | 6,089 | |||
* | AvePoint Inc. | 1,047,435 | 5,509 | |||
*,1 | Vivid Seats Inc. Class A | 440,563 | 4,873 | |||
* | N-able Inc. | 510,905 | 4,649 | |||
*,1 | Ouster Inc. | 977,690 | 4,400 | |||
* | Aeva Technologies Inc. | 957,985 | 4,148 | |||
* | Diebold Nixdorf Inc. | 606,259 | 4,080 | |||
* | SmartRent Inc. Class A | 718,818 | 3,637 | |||
* | Vertex Inc. Class A | 217,230 | 3,332 | |||
* | WM Technology Inc. | 405,087 | 3,168 | |||
*,1 | IonQ Inc. | 234,603 | 2,994 | |||
*,1 | Expensify Inc. Class A | 166,294 | 2,920 | |||
* | Credo Technology Group Holding Ltd. | 178,699 | 2,722 | |||
* | Nextdoor Holdings Inc. | 325,803 | 1,952 | |||
* | BuzzFeed Inc. | 212,207 | 1,116 | |||
* | EngageSmart Inc. | 6,667 | 142 | |||
*,1 | UserTesting Inc. | 8,291 | 89 | |||
3,020,806 | ||||||
Telecommunications (1.3%) | ||||||
* | Frontier Communications Parent Inc. | 4,005,784 | 110,840 | |||
Juniper Networks Inc. | 2,644,762 | 98,279 | ||||
* | Vonage Holdings Corp. | 4,165,604 | 84,520 | |||
* | Iridium Communications Inc. | 1,893,149 | 76,332 | |||
* | Viavi Solutions Inc. | 3,768,728 | 60,601 | |||
* | Altice USA Inc. Class A | 3,558,158 | 44,406 | |||
InterDigital Inc. | 503,051 | 32,095 | ||||
Telephone & Data Systems Inc. | 1,669,923 | 31,528 | ||||
* | CommScope Holding Co. Inc. | 3,353,864 | 26,429 | |||
* | Plantronics Inc. | 666,143 | 26,246 | |||
* | EchoStar Corp. Class A | 594,155 | 14,462 | |||
ADTRAN Inc. | 764,251 | 14,100 |
Shares | Market Value ($000) | |||||
*,1 | fuboTV Inc. | 2,145,911 | 14,099 | |||
* | 8x8 Inc. | 914,880 | 11,518 | |||
* | NETGEAR Inc. | 457,887 | 11,301 | |||
Shenandoah Telecommunications Co. | 388,142 | 9,152 | ||||
* | United States Cellular Corp. | 216,309 | 6,539 | |||
* | IHS Holding Ltd. | 14,906 | 165 | |||
672,612 | ||||||
Utilities (5.1%) | ||||||
* | Constellation Energy Corp. | 5,343,086 | 300,549 | |||
Atmos Energy Corp. | 2,220,066 | 265,276 | ||||
Essential Utilities Inc. | 3,728,233 | 190,625 | ||||
NRG Energy Inc. | 3,994,975 | 153,247 | ||||
Pinnacle West Capital Corp. | 1,849,077 | 144,413 | ||||
OGE Energy Corp. | 3,281,115 | 133,804 | ||||
UGI Corp. | 3,438,697 | 124,550 | ||||
National Fuel Gas Co. | 1,498,781 | 102,966 | ||||
IDACORP Inc. | 828,099 | 95,530 | ||||
* | Stericycle Inc. | 1,506,401 | 88,757 | |||
Black Hills Corp. | 1,061,200 | 81,734 | ||||
Portland General Electric Co. | 1,465,588 | 80,827 | ||||
Southwest Gas Holdings Inc. | 1,027,632 | 80,453 | ||||
ONE Gas Inc. | 879,086 | 77,571 | ||||
New Jersey Resources Corp. | 1,574,491 | 72,206 | ||||
Hawaiian Electric Industries Inc. | 1,702,148 | 72,018 | ||||
PNM Resources Inc. | 1,406,701 | 67,057 | ||||
South Jersey Industries Inc. | 1,924,342 | 66,486 | ||||
ALLETE Inc. | 872,725 | 58,455 | ||||
Spire Inc. | 805,774 | 57,822 | ||||
American States Water Co. | 605,621 | 53,912 | ||||
NorthWestern Corp. | 886,371 | 53,617 | ||||
Avista Corp. | 1,173,167 | 52,968 | ||||
MGE Energy Inc. | 592,780 | 47,298 | ||||
Northwest Natural Holding Co. | 551,360 | 28,516 | ||||
California Water Service Group | 431,205 | 25,562 | ||||
* | Harsco Corp. | 1,298,141 | 15,889 | |||
* | Archaea Energy Inc. Class A | 640,507 | 14,046 | |||
2,606,154 | ||||||
Total Common Stocks (Cost $37,622,553) | 50,583,020 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $243,649) | 0.312% | 2,437,126 | 243,688 | ||
Total Investments (100.3%) (Cost $37,866,202) | 50,826,708 | |||||
Other Assets and Liabilities—Net (-0.3%) | (176,506) | |||||
Net Assets (100%) | 50,650,202 |
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 $227,904,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $242,582,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | June 2022 | 435 | 44,944 | (239) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Bridgebio Pharma Inc. | 8/31/22 | BANA | 2,340 | (0.218) | 705 | — |
New York Community Bancorp Inc. | 8/31/22 | BANA | 2,885 | (0.749) | — | (207) |
Novavax Inc. | 1/31/23 | GSI | 11,070 | (0.317) | — | (24) |
SunPower Corp. | 1/31/23 | GSI | 7,526 | (0.323) | 915 | — |
1,620 | (231) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
At March 31, 2022, the counterparties had deposited in segregated accounts securities with a value of $883,000 in connection with open over-the-counter swap contracts.
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.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily
to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of March 31, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 50,582,750 | — | 270 | 50,583,020 |
Temporary Cash Investments | 243,688 | — | — | 243,688 |
Total | 50,826,438 | — | 270 | 50,826,708 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,620 | — | 1,620 |
Liabilities | ||||
Futures Contracts1 | 239 | — | — | 239 |
Swap Contracts | — | 231 | — | 231 |
Total | 239 | 231 | — | 470 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |