Vanguard® Mid-Cap Index Fund
Schedule of Investments (unaudited)
As of September 30, 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 (99.2%) | ||||||
Basic Materials (4.1%) | ||||||
Albemarle Corp. | 2,702,123 | 714,549 | ||||
Nucor Corp. | 6,039,037 | 646,116 | ||||
Fastenal Co. | 13,256,770 | 610,342 | ||||
International Flavors & Fragrances Inc. | 5,880,677 | 534,142 | ||||
LyondellBasell Industries NV Class A | 6,016,878 | 452,951 | ||||
CF Industries Holdings Inc. | 4,597,141 | 442,475 | ||||
Mosaic Co. | 7,965,324 | 384,964 | ||||
FMC Corp. | 2,905,936 | 307,157 | ||||
Avery Dennison Corp. | 1,874,295 | 304,948 | ||||
International Paper Co. | 8,350,839 | 264,722 | ||||
Celanese Corp. Class A | 2,249,704 | 203,238 | ||||
Eastman Chemical Co. | 2,834,672 | 201,403 | ||||
Westlake Corp. | 368,632 | 32,027 | ||||
5,099,034 | ||||||
Consumer Discretionary (12.6%) | ||||||
* | Dollar Tree Inc. | 4,907,779 | 667,949 | |||
* | Trade Desk Inc. Class A | 10,243,268 | 612,035 | |||
* | Copart Inc. | 4,938,307 | 525,436 | |||
* | Aptiv plc | 6,246,904 | 488,570 | |||
Genuine Parts Co. | 3,263,251 | 487,269 | ||||
DR Horton Inc. | 7,214,571 | 485,901 | ||||
* | AutoZone Inc. | 224,802 | 481,510 | |||
* | Chipotle Mexican Grill Inc. Class A | 320,253 | 481,263 | |||
Tractor Supply Co. | 2,560,576 | 475,960 | ||||
* | Ulta Beauty Inc. | 1,181,640 | 474,062 | |||
eBay Inc. | 12,673,130 | 466,498 | ||||
Lennar Corp. Class A | 5,980,118 | 445,818 | ||||
* | Southwest Airlines Co. | 13,697,647 | 422,435 | |||
* | Take-Two Interactive Software Inc. | 3,845,682 | 419,179 | |||
* | Delta Air Lines Inc. | 14,784,695 | 414,859 | |||
Hilton Worldwide Holdings Inc. | 3,163,879 | 381,627 | ||||
Darden Restaurants Inc. | 2,827,410 | 357,158 | ||||
* | Expedia Group Inc. | 3,507,085 | 328,579 | |||
Omnicom Group Inc. | 4,726,117 | 298,171 | ||||
Best Buy Co. Inc. | 4,678,251 | 296,320 | ||||
* | Etsy Inc. | 2,920,540 | 292,434 | |||
* | NVR Inc. | 71,998 | 287,062 | |||
Garmin Ltd. | 3,557,601 | 285,711 | ||||
LKQ Corp. | 6,014,244 | 283,572 | ||||
* | Live Nation Entertainment Inc. | 3,448,556 | 262,228 | |||
Domino's Pizza Inc. | 827,835 | 256,794 |
Shares | Market Value ($000) | |||||
* | ROBLOX Corp. Class A | 6,920,572 | 248,033 | |||
* | United Airlines Holdings Inc. | 7,535,016 | 245,114 | |||
* | CarMax Inc. | 3,671,623 | 242,401 | |||
VF Corp. | 8,068,334 | 241,324 | ||||
Advance Auto Parts Inc. | 1,385,907 | 216,673 | ||||
MGM Resorts International | 7,252,671 | 215,549 | ||||
Fox Corp. Class A | 7,004,073 | 214,885 | ||||
1 | Paramount Global Class B | 11,280,031 | 214,772 | |||
Hasbro Inc. | 3,026,035 | 204,015 | ||||
PulteGroup Inc. | 5,335,992 | 200,100 | ||||
Rollins Inc. | 5,686,059 | 197,193 | ||||
* | Royal Caribbean Cruises Ltd. | 5,001,208 | 189,546 | |||
*,1 | Lucid Group Inc. | 13,514,187 | 188,793 | |||
BorgWarner Inc. | 5,462,845 | 171,533 | ||||
News Corp. Class A | 11,260,750 | 170,150 | ||||
Whirlpool Corp. | 1,257,500 | 169,524 | ||||
* | Burlington Stores Inc. | 1,512,916 | 169,280 | |||
* | Carnival Corp. | 22,769,600 | 160,070 | |||
* | Caesars Entertainment Inc. | 4,700,435 | 151,636 | |||
* | Las Vegas Sands Corp. | 3,966,308 | 148,816 | |||
Pool Corp. | 433,685 | 138,003 | ||||
* | Liberty Media Corp.-Liberty SiriusXM Class C | 3,549,352 | 133,846 | |||
Interpublic Group of Cos. Inc. | 4,518,067 | 115,662 | ||||
Vail Resorts Inc. | 465,066 | 100,287 | ||||
* | American Airlines Group Inc. | 7,494,000 | 90,228 | |||
Fox Corp. Class B | 3,148,750 | 89,739 | ||||
Lear Corp. | 685,928 | 82,099 | ||||
Bath & Body Works Inc. | 2,500,947 | 81,531 | ||||
*,1 | GameStop Corp. Class A | 2,982,099 | 74,940 | |||
* | Liberty Media Corp.-Liberty SiriusXM Class A | 1,681,872 | 64,029 | |||
1 | Sirius XM Holdings Inc. | 11,010,315 | 62,869 | |||
Warner Music Group Corp. Class A | 2,690,466 | 62,446 | ||||
*,1 | Chewy Inc. Class A | 2,021,059 | 62,087 | |||
* | Endeavor Group Holdings Inc. Class A | 2,962,988 | 60,030 | |||
Lennar Corp. Class B | 212,879 | 12,668 | ||||
News Corp. Class B | 355,310 | 5,479 | ||||
1 | Paramount Global Class A | 188,051 | 4,051 | |||
15,877,801 | ||||||
Consumer Staples (5.3%) | ||||||
Corteva Inc. | 16,733,453 | 956,317 | ||||
Kroger Co. | 14,855,815 | 649,942 | ||||
McKesson Corp. | 1,658,045 | 563,520 | ||||
Archer-Daniels-Midland Co. | 6,465,982 | 520,188 | ||||
AmerisourceBergen Corp. Class A | 3,585,193 | 485,184 | ||||
Tyson Foods Inc. Class A | 6,679,168 | 440,358 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,777,863 | 411,788 | ||||
Kellogg Co. | 5,885,234 | 409,965 | ||||
Church & Dwight Co. Inc. | 5,602,678 | 400,255 | ||||
Clorox Co. | 2,840,672 | 364,714 | ||||
Conagra Brands Inc. | 11,086,157 | 361,741 | ||||
J M Smucker Co. | 2,335,127 | 320,870 | ||||
Hormel Foods Corp. | 5,849,444 | 265,799 | ||||
Campbell Soup Co. | 4,507,625 | 212,399 | ||||
Lamb Weston Holdings Inc. | 1,658,223 | 128,313 | ||||
Molson Coors Beverage Co. Class B | 2,083,194 | 99,973 |
Shares | Market Value ($000) | |||||
Albertsons Cos. Inc. Class A | 3,683,392 | 91,569 | ||||
* | Olaplex Holdings Inc. | 2,251,790 | 21,505 | |||
6,704,400 | ||||||
Energy (6.3%) | ||||||
Cheniere Energy Inc. | 5,762,714 | 956,092 | ||||
Devon Energy Corp. | 15,105,351 | 908,285 | ||||
* | Enphase Energy Inc. | 3,124,983 | 867,089 | |||
Hess Corp. | 6,428,356 | 700,627 | ||||
ONEOK Inc. | 10,313,692 | 528,474 | ||||
Diamondback Energy Inc. | 4,100,965 | 494,002 | ||||
Baker Hughes Co. Class A | 23,337,871 | 489,162 | ||||
Valero Energy Corp. | 4,543,923 | 485,518 | ||||
Halliburton Co. | 18,827,302 | 463,528 | ||||
Coterra Energy Inc. | 17,435,810 | 455,423 | ||||
Phillips 66 | 5,548,781 | 447,898 | ||||
Williams Cos. Inc. | 14,048,756 | 402,216 | ||||
* | Plug Power Inc. | 13,350,034 | 280,484 | |||
Marathon Oil Corp. | 7,816,245 | 176,491 | ||||
EQT Corp. | 3,841,749 | 156,551 | ||||
Continental Resources Inc. | 1,258,187 | 84,059 | ||||
7,895,899 | ||||||
Financials (12.7%) | ||||||
Arthur J Gallagher & Co. | 4,851,943 | 830,750 | ||||
MSCI Inc. Class A | 1,764,059 | 744,062 | ||||
M&T Bank Corp. | 4,050,809 | 714,239 | ||||
Ameriprise Financial Inc. | 2,494,724 | 628,546 | ||||
Discover Financial Services | 6,300,788 | 572,868 | ||||
First Republic Bank | 4,213,321 | 550,049 | ||||
Willis Towers Watson plc | 2,535,998 | 509,583 | ||||
Fifth Third Bancorp | 15,839,972 | 506,245 | ||||
Hartford Financial Services Group Inc. | 7,451,630 | 461,554 | ||||
* | SVB Financial Group | 1,362,742 | 457,582 | |||
Nasdaq Inc. | 7,930,966 | 449,527 | ||||
Raymond James Financial Inc. | 4,480,016 | 442,715 | ||||
Huntington Bancshares Inc. | 33,268,258 | 438,476 | ||||
Regions Financial Corp. | 21,540,494 | 432,318 | ||||
American International Group Inc. | 8,766,209 | 416,220 | ||||
Principal Financial Group Inc. | 5,747,513 | 414,683 | ||||
Citizens Financial Group Inc. | 11,438,459 | 393,025 | ||||
Northern Trust Corp. | 4,566,046 | 390,671 | ||||
Broadridge Financial Solutions Inc. | 2,706,266 | 390,568 | ||||
Apollo Global Management Inc. | 7,923,935 | 368,463 | ||||
* | Arch Capital Group Ltd. | 8,087,965 | 368,326 | |||
State Street Corp. | 5,803,783 | 352,928 | ||||
FactSet Research Systems Inc. | 876,139 | 350,552 | ||||
KeyCorp | 21,502,807 | 344,475 | ||||
* | Markel Corp. | 296,310 | 321,265 | |||
Cincinnati Financial Corp. | 3,487,771 | 312,400 | ||||
W R Berkley Corp. | 4,590,008 | 296,423 | ||||
Cboe Global Markets Inc. | 2,446,377 | 287,131 | ||||
T. Rowe Price Group Inc. | 2,609,684 | 274,043 | ||||
Everest Re Group Ltd. | 908,836 | 238,515 | ||||
Loews Corp. | 4,742,659 | 236,374 | ||||
Equitable Holdings Inc. | 8,666,386 | 228,359 | ||||
Fidelity National Financial Inc. | 6,069,643 | 219,721 | ||||
*,1 | Coinbase Global Inc. Class A | 3,264,332 | 210,517 | |||
Ares Management Corp. Class A | 3,372,307 | 208,914 |
Shares | Market Value ($000) | |||||
LPL Financial Holdings Inc. | 874,258 | 191,008 | ||||
MarketAxess Holdings Inc. | 824,717 | 183,491 | ||||
Ally Financial Inc. | 6,403,430 | 178,207 | ||||
1 | Annaly Capital Management Inc. | 10,029,831 | 172,112 | |||
Brown & Brown Inc. | 2,605,196 | 157,562 | ||||
Interactive Brokers Group Inc. Class A | 2,252,130 | 143,934 | ||||
Tradeweb Markets Inc. Class A | 2,476,619 | 139,731 | ||||
Franklin Resources Inc. | 6,316,122 | 135,923 | ||||
* | Alleghany Corp. | 147,468 | 123,780 | |||
Globe Life Inc. | 1,010,384 | 100,735 | ||||
Lincoln National Corp. | 1,772,230 | 77,819 | ||||
*,1 | Corebridge Financial Inc. | 1,485,470 | 29,249 | |||
1 | Rocket Cos. Inc. Class A | 2,530,681 | 15,994 | |||
16,011,632 | ||||||
Health Care (10.4%) | ||||||
* | Centene Corp. | 13,186,067 | 1,026,008 | |||
* | IQVIA Holdings Inc. | 4,302,622 | 779,377 | |||
ResMed Inc. | 3,377,891 | 737,394 | ||||
* | Dexcom Inc. | 9,056,325 | 729,396 | |||
* | Alnylam Pharmaceuticals Inc. | 2,769,120 | 554,267 | |||
* | Veeva Systems Inc. Class A | 3,231,245 | 532,768 | |||
Zimmer Biomet Holdings Inc. | 4,839,266 | 505,945 | ||||
* | Seagen Inc. | 3,191,109 | 436,639 | |||
Laboratory Corp. of America Holdings | 2,085,096 | 427,048 | ||||
West Pharmaceutical Services Inc. | 1,708,089 | 420,326 | ||||
Cardinal Health Inc. | 6,287,747 | 419,267 | ||||
STERIS plc | 2,307,354 | 383,667 | ||||
* | Hologic Inc. | 5,759,777 | 371,621 | |||
* | Insulet Corp. | 1,601,116 | 367,296 | |||
* | BioMarin Pharmaceutical Inc. | 4,279,105 | 362,740 | |||
* | Align Technology Inc. | 1,711,504 | 354,470 | |||
PerkinElmer Inc. | 2,911,964 | 350,397 | ||||
Royalty Pharma plc Class A | 8,574,218 | 344,512 | ||||
Quest Diagnostics Inc. | 2,689,050 | 329,919 | ||||
* | Horizon Therapeutics plc | 5,314,472 | 328,913 | |||
* | IDEXX Laboratories Inc. | 960,064 | 312,789 | |||
Cooper Cos. Inc. | 1,138,003 | 300,319 | ||||
* | Incyte Corp. | 4,362,554 | 290,721 | |||
* | Catalent Inc. | 3,927,519 | 284,195 | |||
* | Avantor Inc. | 13,995,233 | 274,307 | |||
* | ABIOMED Inc. | 1,049,120 | 257,727 | |||
Viatris Inc. | 27,949,176 | 238,127 | ||||
* | Molina Healthcare Inc. | 670,184 | 221,053 | |||
Teleflex Inc. | 1,081,971 | 217,974 | ||||
* | Henry Schein Inc. | 3,143,156 | 206,725 | |||
* | Bio-Rad Laboratories Inc. Class A | 483,100 | 201,520 | |||
* | Charles River Laboratories International Inc. | 587,098 | 115,541 | |||
* | DaVita Inc. | 1,158,047 | 95,851 | |||
DENTSPLY SIRONA Inc. | 2,481,797 | 70,359 | ||||
* | Exact Sciences Corp. | 2,040,861 | 66,308 | |||
* | Elanco Animal Health Inc. | 5,189,424 | 64,401 | |||
Universal Health Services Inc. Class B | 721,763 | 63,645 | ||||
* | agilon health Inc. | 2,373,498 | 55,587 | |||
13,099,119 | ||||||
Industrials (14.3%) | ||||||
Cintas Corp. | 1,983,556 | 769,997 | ||||
Carrier Global Corp. | 19,407,855 | 690,143 |
Shares | Market Value ($000) | |||||
* | Keysight Technologies Inc. | 4,136,163 | 650,867 | |||
TransDigm Group Inc. | 1,188,727 | 623,868 | ||||
Verisk Analytics Inc. Class A | 3,620,584 | 617,418 | ||||
PACCAR Inc. | 7,218,077 | 604,081 | ||||
AMETEK Inc. | 5,294,917 | 600,497 | ||||
Old Dominion Freight Line Inc. | 2,320,199 | 577,196 | ||||
Rockwell Automation Inc. | 2,662,850 | 572,806 | ||||
* | Mettler-Toledo International Inc. | 519,169 | 562,841 | |||
WW Grainger Inc. | 1,056,232 | 516,698 | ||||
Equifax Inc. | 2,823,201 | 483,981 | ||||
Fortive Corp. | 8,206,888 | 478,462 | ||||
Martin Marietta Materials Inc. | 1,438,941 | 463,468 | ||||
Vulcan Materials Co. | 2,911,206 | 459,126 | ||||
* | United Rentals Inc. | 1,613,800 | 435,920 | |||
Ingersoll Rand Inc. | 9,299,296 | 402,288 | ||||
Dover Corp. | 3,312,989 | 386,228 | ||||
* | Waters Corp. | 1,381,228 | 372,282 | |||
* | Teledyne Technologies Inc. | 1,081,047 | 364,821 | |||
Xylem Inc. | 4,159,364 | 363,362 | ||||
Ball Corp. | 7,249,488 | 350,295 | ||||
Expeditors International of Washington Inc. | 3,778,436 | 333,674 | ||||
Westinghouse Air Brake Technologies Corp. | 3,982,973 | 324,015 | ||||
Jacobs Solutions Inc. | 2,943,063 | 319,293 | ||||
Synchrony Financial | 11,113,954 | 313,302 | ||||
* | Zebra Technologies Corp. Class A | 1,194,170 | 312,884 | |||
* | Trimble Inc. | 5,718,143 | 310,324 | |||
Otis Worldwide Corp. | 4,847,157 | 309,249 | ||||
* | Bill.com Holdings Inc. | 2,297,546 | 304,126 | |||
JB Hunt Transport Services Inc. | 1,915,847 | 299,677 | ||||
* | FleetCor Technologies Inc. | 1,643,948 | 289,614 | |||
Textron Inc. | 4,877,417 | 284,158 | ||||
CH Robinson Worldwide Inc. | 2,856,530 | 275,112 | ||||
TransUnion | 4,440,166 | 264,145 | ||||
* | Generac Holdings Inc. | 1,472,799 | 262,364 | |||
Stanley Black & Decker Inc. | 3,407,554 | 256,282 | ||||
Snap-on Inc. | 1,230,031 | 247,667 | ||||
Masco Corp. | 5,201,189 | 242,844 | ||||
Packaging Corp. of America | 2,160,106 | 242,558 | ||||
Crown Holdings Inc. | 2,794,232 | 226,417 | ||||
Quanta Services Inc. | 1,649,903 | 210,181 | ||||
HEICO Corp. Class A | 1,684,792 | 193,111 | ||||
Westrock Co. | 5,879,347 | 181,613 | ||||
Fortune Brands Home & Security Inc. | 2,988,484 | 160,452 | ||||
Jack Henry & Associates Inc. | 841,190 | 153,324 | ||||
Hubbell Inc. Class B | 619,234 | 138,089 | ||||
HEICO Corp. | 957,951 | 137,926 | ||||
17,939,046 | ||||||
Real Estate (9.3%) | ||||||
Realty Income Corp. | 14,245,650 | 829,097 | ||||
SBA Communications Corp. Class A | 2,488,670 | 708,400 | ||||
Welltower Inc. | 10,687,928 | 687,448 | ||||
Digital Realty Trust Inc. | 6,629,326 | 657,497 | ||||
* | CoStar Group Inc. | 9,133,818 | 636,170 | |||
AvalonBay Communities Inc. | 3,224,871 | 593,989 | ||||
VICI Properties Inc. | 19,567,483 | 584,089 | ||||
Equity Residential | 8,240,297 | 553,913 | ||||
Extra Space Storage Inc. | 3,089,183 | 533,533 | ||||
Alexandria Real Estate Equities Inc. | 3,762,209 | 527,424 |
Shares | Market Value ($000) | |||||
Weyerhaeuser Co. | 17,078,117 | 487,751 | ||||
Invitation Homes Inc. | 14,080,294 | 475,492 | ||||
* | CBRE Group Inc. Class A | 7,037,556 | 475,105 | |||
Mid-America Apartment Communities Inc. | 2,661,672 | 412,745 | ||||
Sun Communities Inc. | 2,844,354 | 384,926 | ||||
Ventas Inc. | 9,223,699 | 370,516 | ||||
Essex Property Trust Inc. | 1,502,450 | 363,938 | ||||
Simon Property Group Inc. | 3,774,399 | 338,752 | ||||
UDR Inc. | 7,500,081 | 312,828 | ||||
WP Carey Inc. | 4,449,320 | 310,563 | ||||
Iron Mountain Inc. | 6,706,207 | 294,872 | ||||
Camden Property Trust | 2,456,275 | 293,402 | ||||
Healthpeak Properties Inc. | 12,466,295 | 285,728 | ||||
Boston Properties Inc. | 3,254,385 | 243,981 | ||||
Host Hotels & Resorts Inc. | 8,246,075 | 130,948 | ||||
Regency Centers Corp. | 1,989,975 | 107,160 | ||||
* | Zillow Group Inc. Class C | 3,744,729 | 107,137 | |||
* | Zillow Group Inc. Class A | 863,539 | 24,723 | |||
Duke Realty Corp. | 809 | 39 | ||||
11,732,166 | ||||||
Technology (14.7%) | ||||||
* | Cadence Design Systems Inc. | 6,318,267 | 1,032,594 | |||
Amphenol Corp. Class A | 13,720,739 | 918,741 | ||||
Microchip Technology Inc. | 12,743,981 | 777,765 | ||||
* | Twitter Inc. | 15,006,053 | 657,865 | |||
* | ON Semiconductor Corp. | 9,994,780 | 622,975 | |||
* | Synopsys Inc. | 1,764,022 | 538,926 | |||
* | Datadog Inc. Class A | 6,038,135 | 536,066 | |||
Corning Inc. | 17,549,099 | 509,275 | ||||
CDW Corp. | 3,119,756 | 486,932 | ||||
* | Gartner Inc. | 1,733,419 | 479,620 | |||
* | EPAM Systems Inc. | 1,257,220 | 455,353 | |||
* | ANSYS Inc. | 2,008,503 | 445,285 | |||
Marvell Technology Inc. | 9,801,147 | 420,567 | ||||
* | Paycom Software Inc. | 1,176,982 | 388,392 | |||
* | Fortinet Inc. | 7,730,982 | 379,823 | |||
Monolithic Power Systems Inc. | 1,025,304 | 372,595 | ||||
* | VeriSign Inc. | 2,103,649 | 365,404 | |||
Hewlett Packard Enterprise Co. | 29,967,995 | 359,017 | ||||
* | Cloudflare Inc. Class A | 6,202,268 | 343,047 | |||
* | Tyler Technologies Inc. | 959,236 | 333,334 | |||
* | DoorDash Inc. Class A | 6,605,766 | 326,655 | |||
* | Zscaler Inc. | 1,963,641 | 322,764 | |||
Skyworks Solutions Inc. | 3,703,804 | 315,823 | ||||
NetApp Inc. | 5,068,595 | 313,493 | ||||
* | Pinterest Inc. Class A | 13,446,326 | 313,299 | |||
* | Match Group Inc. | 6,528,190 | 311,721 | |||
* | Palantir Technologies Inc. Class A | 38,238,386 | 310,878 | |||
* | ZoomInfo Technologies Inc. Class A | 7,445,800 | 310,192 | |||
2 | Citrix Systems Inc. | 2,908,165 | 302,449 | |||
* | MongoDB Inc. Class A | 1,492,750 | 296,400 | |||
* | Akamai Technologies Inc. | 3,667,161 | 294,546 | |||
* | HubSpot Inc. | 1,052,339 | 284,258 | |||
* | Splunk Inc. | 3,711,949 | 279,139 | |||
* | Twilio Inc. Class A | 3,997,451 | 276,384 | |||
Teradyne Inc. | 3,617,863 | 271,882 | ||||
* | GoDaddy Inc. Class A | 3,607,862 | 255,725 | |||
NortonLifeLock Inc. | 12,531,278 | 252,380 |
Shares | Market Value ($000) | |||||
* | DocuSign Inc. Class A | 4,558,046 | 243,719 | |||
Seagate Technology Holdings plc | 4,574,174 | 243,483 | ||||
SS&C Technologies Holdings Inc. | 5,000,355 | 238,767 | ||||
* | Snap Inc. Class A | 24,130,200 | 236,959 | |||
* | Western Digital Corp. | 7,254,324 | 236,128 | |||
* | Black Knight Inc. | 3,420,243 | 221,392 | |||
* | Okta Inc. Class A | 3,478,471 | 197,821 | |||
* | Qorvo Inc. | 2,380,489 | 189,035 | |||
* | Zoom Video Communications Inc. Class A | 2,460,532 | 181,071 | |||
Bentley Systems Inc. Class B | 5,106,969 | 156,222 | ||||
*,1 | Unity Software Inc. | 4,814,611 | 153,393 | |||
Leidos Holdings Inc. | 1,574,626 | 137,733 | ||||
* | Zendesk Inc. | 1,424,421 | 108,398 | |||
* | F5 Inc. | ��� 686,503 | 99,358 | |||
* | UiPath Inc. Class A | 6,931,294 | 87,404 | |||
*,1 | AppLovin Corp. Class A | 4,039,497 | 78,730 | |||
* | Dropbox Inc. Class A | 3,135,536 | 64,968 | |||
* | Toast Inc. Class A | 3,357,414 | 56,136 | |||
* | IAC Inc. | 913,725 | 50,602 | |||
* | Qualtrics International Inc. Class A | 1,121,827 | 11,420 | |||
* | Palo Alto Networks Inc. | 523 | 86 | |||
18,454,389 | ||||||
Telecommunications (1.8%) | ||||||
Motorola Solutions Inc. | 3,850,003 | 862,285 | ||||
* | Arista Networks Inc. | 5,264,906 | 594,355 | |||
* | Liberty Broadband Corp. Class C | 2,889,541 | 213,248 | |||
Lumen Technologies Inc. | 23,880,473 | 173,850 | ||||
* | Roku Inc. Class A | 2,786,547 | 157,162 | |||
Juniper Networks Inc. | 3,720,485 | 97,179 | ||||
* | DISH Network Corp. Class A | 5,730,999 | 79,260 | |||
* | Liberty Broadband Corp. Class A | 388,661 | 28,994 | |||
2,206,333 | ||||||
Utilities (7.7%) | ||||||
Waste Connections Inc. | 5,932,390 | 801,644 | ||||
Consolidated Edison Inc. | 8,178,632 | 701,400 | ||||
WEC Energy Group Inc. | 7,272,891 | 650,415 | ||||
Constellation Energy Corp. | 7,536,378 | 626,951 | ||||
Eversource Energy | 7,988,299 | 622,768 | ||||
* | PG&E Corp. | 48,338,993 | 604,237 | |||
American Water Works Co. Inc. | 4,199,316 | 546,583 | ||||
Edison International | 8,797,656 | 497,771 | ||||
Ameren Corp. | 5,936,942 | 478,221 | ||||
Entergy Corp. | 4,691,303 | 472,086 | ||||
FirstEnergy Corp. | 12,520,823 | 463,270 | ||||
DTE Energy Co. | 4,019,566 | 462,451 | ||||
PPL Corp. | 16,983,924 | 430,543 | ||||
CenterPoint Energy Inc. | 14,549,460 | 410,004 | ||||
CMS Energy Corp. | 6,691,206 | 389,696 | ||||
AES Corp. | 15,407,491 | 348,209 | ||||
Evergy Inc. | 5,295,979 | 314,581 | ||||
Alliant Energy Corp. | 5,784,967 | 306,545 | ||||
NiSource Inc. | 9,360,147 | 235,782 | ||||
Vistra Corp. | 9,605,593 | 201,717 | ||||
Avangrid Inc. | 1,804,929 | 75,266 | ||||
9,640,140 | ||||||
Total Common Stocks (Cost $101,531,014) | 124,659,959 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $1,249,162) | 2.828% | 12,497,291 | 1,249,354 | ||
Total Investments (100.2%) (Cost $102,780,176) | 125,909,313 | |||||
Other Assets and Liabilities—Net (-0.2%) | (269,871) | |||||
Net Assets (100%) | 125,639,442 |
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 $603,197,000. |
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 $628,090,000 was received for securities on loan. |
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 2022 | 2,769 | 231,184 | (13,436) |
E-mini S&P 500 Index | December 2022 | 2,259 | 406,789 | (28,122) |
E-mini S&P Mid-Cap 400 Index | December 2022 | 1,383 | 305,394 | (16,989) |
(58,547) |
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) |
Ameren Corp. | 1/31/23 | GSI | 1,368 | (2.998) | — | (152) |
CRSP US Mid Cap TR Index | 8/31/23 | BANA | 84,233 | (2.981) | — | (9,442) |
DocuSign Inc. Class A | 8/31/23 | BANA | 3,144 | (2.581) | — | (263) |
Hormel Foods Corp. | 1/31/23 | GSI | 20,678 | (2.998) | — | (248) |
Palantir Technologies Inc. Class A | 8/31/23 | BANA | 2,069 | (2.581) | 106 | — |
Sirius XM Holdings Inc. | 1/31/23 | GSI | 14,702 | (2.998) | — | (582) |
State Street Corp. | 8/30/24 | BANA | 5,410 | (3.356) | — | (810) |
State Street Corp. | 8/30/24 | BANA | 8,760 | (3.315) | — | (1,401) |
State Street Corp. | 8/30/24 | BANA | 140,118 | (3.181) | — | (14,519) |
VICI Properties Inc. | 8/31/23 | BANA | 87,424 | (3.131) | — | (7,504) |
106 | (34,921) |
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. |
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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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 September 30, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 124,357,510 | — | 302,449 | 124,659,959 |
Temporary Cash Investments | 1,249,354 | — | — | 1,249,354 |
Total | 125,606,864 | — | 302,449 | 125,909,313 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 106 | — | 106 |
Liabilities | ||||
Futures Contracts1 | 58,547 | — | — | 58,547 |
Swap Contracts | — | 34,921 | — | 34,921 |
Total | 58,547 | 34,921 | — | 93,468 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |