Vanguard® Mid-Cap Index Fund
Schedule of Investments (unaudited)
As of September 30, 2023
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 (99.5%) | ||||||
Basic Materials (3.9%) | ||||||
Nucor Corp. | 5,633,861 | 880,854 | ||||
Fastenal Co. | 12,941,357 | 707,116 | ||||
LyondellBasell Industries NV Class A | 5,874,729 | 556,337 | ||||
1 | Albemarle Corp. | 2,658,087 | 451,981 | |||
International Flavors & Fragrances Inc. | 5,781,949 | 394,156 | ||||
CF Industries Holdings Inc. | 4,370,594 | 374,735 | ||||
Avery Dennison Corp. | 1,825,326 | 333,432 | ||||
Newmont Corp. | 9,000,842 | 332,581 | ||||
Celanese Corp. Class A | 2,342,415 | 294,020 | ||||
International Paper Co. | 7,837,364 | 277,991 | ||||
Mosaic Co. | 7,526,754 | 267,952 | ||||
Eastman Chemical Co. | 2,685,503 | 206,032 | ||||
Steel Dynamics Inc. | 1,782,196 | 191,087 | ||||
FMC Corp. | 2,825,470 | 189,222 | ||||
Westlake Corp. | 362,083 | 45,141 | ||||
5,502,637 | ||||||
Consumer Discretionary (13.0%) | ||||||
* | Copart Inc. | 19,466,366 | 838,806 | |||
* | Trade Desk Inc. Class A | 9,749,083 | 761,891 | |||
DR Horton Inc. | 6,896,832 | 741,203 | ||||
Lennar Corp. Class A | 5,740,624 | 644,270 | ||||
* | Aptiv plc | 6,406,607 | 631,627 | |||
* | Chipotle Mexican Grill Inc. Class A | 312,454 | 572,363 | |||
* | Take-Two Interactive Software Inc. | 3,846,930 | 540,071 | |||
* | Warner Bros Discovery Inc. | 49,690,267 | 539,636 | |||
Delta Air Lines Inc. | 14,574,363 | 539,251 | ||||
eBay Inc. | 12,054,468 | 531,481 | ||||
* | AutoZone Inc. | 205,632 | 522,303 | |||
* | Dollar Tree Inc. | 4,734,360 | 503,973 | |||
Tractor Supply Co. | 2,464,684 | 500,454 | ||||
Genuine Parts Co. | 3,181,249 | 459,309 | ||||
* | Royal Caribbean Cruises Ltd. | 4,932,343 | 454,466 | |||
* | Ulta Beauty Inc. | 1,115,114 | 445,432 | |||
Hilton Worldwide Holdings Inc. | 2,961,925 | 444,822 | ||||
* | NVR Inc. | 70,251 | 418,928 | |||
Darden Restaurants Inc. | 2,738,002 | 392,137 | ||||
* | Rivian Automotive Inc. Class A | 15,975,323 | 387,881 | |||
Electronic Arts Inc. | 3,068,234 | 369,415 | ||||
PulteGroup Inc. | 4,970,961 | 368,100 | ||||
Southwest Airlines Co. | 13,492,204 | 365,234 | ||||
Garmin Ltd. | 3,469,425 | 364,984 |
Shares | Market Value ($000) | |||||
Omnicom Group Inc. | 4,475,557 | 333,339 | ||||
* | Expedia Group Inc. | 3,122,379 | 321,824 | |||
* | ROBLOX Corp. Class A | 10,910,958 | 315,981 | |||
* | United Airlines Holdings Inc. | 7,400,952 | 313,060 | |||
* | Carnival Corp. | 22,751,878 | 312,156 | |||
Best Buy Co. Inc. | 4,448,574 | 309,042 | ||||
* | Live Nation Entertainment Inc. | 3,649,459 | 303,051 | |||
Domino's Pizza Inc. | 794,952 | 301,120 | ||||
LKQ Corp. | 6,060,908 | 300,076 | ||||
Dollar General Corp. | 2,484,236 | 262,832 | ||||
* | CarMax Inc. | 3,583,772 | 253,480 | |||
Rollins Inc. | 6,590,807 | 246,035 | ||||
MGM Resorts International | 5,961,459 | 219,143 | ||||
News Corp. Class A | 10,919,226 | 219,040 | ||||
* | Burlington Stores Inc. | 1,468,993 | 198,755 | |||
Las Vegas Sands Corp. | 3,896,142 | 178,599 | ||||
Fox Corp. Class A | 5,691,515 | 177,575 | ||||
Pool Corp. | 420,063 | 149,584 | ||||
1 | Paramount Global Class B | 11,056,543 | 142,629 | |||
Interpublic Group of Cos. Inc. | 4,358,255 | 124,908 | ||||
BorgWarner Inc. | 2,661,462 | 107,443 | ||||
* | Caesars Entertainment Inc. | 2,314,742 | 107,288 | |||
*,1 | Lucid Group Inc. | 18,077,225 | 101,052 | |||
* | Etsy Inc. | 1,392,156 | 89,905 | |||
Fox Corp. Class B | 2,996,215 | 86,531 | ||||
Warner Music Group Corp. Class A | 2,667,696 | 83,766 | ||||
Endeavor Group Holdings Inc. Class A | 3,445,680 | 68,569 | ||||
1 | Sirius XM Holdings Inc. | 10,600,091 | 47,912 | |||
*,1 | Chewy Inc. Class A | 2,109,416 | 38,518 | |||
Lennar Corp. Class B | 212,879 | 21,763 | ||||
News Corp. Class B | 355,310 | 7,415 | ||||
1 | Paramount Global Class A | 186,725 | 2,948 | |||
18,083,376 | ||||||
Consumer Staples (4.9%) | ||||||
Corteva Inc. | 16,071,578 | 822,222 | ||||
Cencora Inc. | 3,867,158 | 695,972 | ||||
Kroger Co. | 14,632,179 | 654,790 | ||||
Church & Dwight Co. Inc. | 5,573,344 | 510,686 | ||||
Archer-Daniels-Midland Co. | 6,071,733 | 457,930 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,687,771 | 430,223 | ||||
Brown-Forman Corp. Class B | 7,025,741 | 405,315 | ||||
Walgreens Boots Alliance Inc. | 16,621,569 | 369,664 | ||||
Clorox Co. | 2,804,901 | 367,610 | ||||
Kellogg Co. | 5,816,003 | 346,110 | ||||
Tyson Foods Inc. Class A | 6,468,226 | 326,581 | ||||
Conagra Brands Inc. | 10,824,799 | 296,816 | ||||
J M Smucker Co. | 2,196,013 | 269,912 | ||||
Hormel Foods Corp. | 5,739,254 | 218,264 | ||||
Campbell Soup Co. | 4,389,142 | 180,306 | ||||
Albertsons Cos. Inc. Class A | 7,171,579 | 163,153 | ||||
Lamb Weston Holdings Inc. | 1,649,585 | 152,521 | ||||
Molson Coors Beverage Co. Class B | 2,047,461 | 130,198 | ||||
Brown-Forman Corp. Class A | 1,149,127 | 66,764 | ||||
6,865,037 | ||||||
Energy (5.5%) | ||||||
Hess Corp. | 6,259,867 | 957,760 | ||||
Cheniere Energy Inc. | 5,177,933 | 859,330 |
Shares | Market Value ($000) | |||||
Baker Hughes Co. Class A | 22,869,789 | 807,761 | ||||
Halliburton Co. | 18,317,887 | 741,874 | ||||
Devon Energy Corp. | 14,513,013 | 692,271 | ||||
ONEOK Inc. | 10,140,486 | 643,211 | ||||
Diamondback Energy Inc. | 4,050,534 | 627,347 | ||||
Williams Cos. Inc. | 13,776,813 | 464,141 | ||||
Coterra Energy Inc. | 16,247,947 | 439,507 | ||||
* | First Solar Inc. | 2,298,896 | 371,478 | |||
Marathon Oil Corp. | 13,720,322 | 367,018 | ||||
* | Enphase Energy Inc. | 2,934,235 | 352,548 | |||
EQT Corp. | 4,657,907 | 189,018 | ||||
Texas Pacific Land Corp. | 69,537 | 126,805 | ||||
7,640,069 | ||||||
Financials (12.4%) | ||||||
Arthur J Gallagher & Co. | 4,881,511 | 1,112,643 | ||||
MSCI Inc. Class A | 1,701,901 | 873,211 | ||||
Apollo Global Management Inc. | 8,988,643 | 806,821 | ||||
Ameriprise Financial Inc. | 2,324,614 | 766,379 | ||||
Allstate Corp. | 5,925,139 | 660,120 | ||||
* | Arch Capital Group Ltd. | 8,025,501 | 639,713 | |||
T. Rowe Price Group Inc. | 5,080,627 | 532,805 | ||||
Willis Towers Watson plc | 2,374,409 | 496,157 | ||||
Hartford Financial Services Group Inc. | 6,927,177 | 491,206 | ||||
Discover Financial Services | 5,661,779 | 490,480 | ||||
American International Group Inc. | 8,062,811 | 488,606 | ||||
Broadridge Financial Solutions Inc. | 2,675,512 | 479,050 | ||||
M&T Bank Corp. | 3,758,964 | 475,321 | ||||
State Street Corp. | 6,856,849 | 459,135 | ||||
Nasdaq Inc. | 8,903,270 | 432,610 | ||||
Raymond James Financial Inc. | 4,257,510 | 427,582 | ||||
* | Markel Group Inc. | 285,427 | 420,288 | |||
LPL Financial Holdings Inc. | 1,728,263 | 410,722 | ||||
Principal Financial Group Inc. | 5,475,294 | 394,604 | ||||
Fifth Third Bancorp | 15,423,049 | 390,666 | ||||
Prudential Financial Inc. | 4,111,339 | 390,125 | ||||
Ares Management Corp. Class A | 3,697,227 | 380,334 | ||||
FactSet Research Systems Inc. | 864,079 | 377,827 | ||||
Cboe Global Markets Inc. | 2,390,095 | 373,357 | ||||
Regions Financial Corp. | 21,255,320 | 365,591 | ||||
Everest Group Ltd. | 983,165 | 365,413 | ||||
Cincinnati Financial Corp. | 3,553,099 | 363,446 | ||||
Huntington Bancshares Inc. | 32,796,928 | 341,088 | ||||
Northern Trust Corp. | 4,454,632 | 309,508 | ||||
W R Berkley Corp. | 4,375,104 | 277,775 | ||||
Citizens Financial Group Inc. | 10,163,540 | 272,383 | ||||
Loews Corp. | 4,086,443 | 258,713 | ||||
Fidelity National Financial Inc. | 5,857,092 | 241,898 | ||||
KeyCorp | 21,200,853 | 228,121 | ||||
*,1 | Coinbase Global Inc. Class A | 3,024,341 | 227,068 | |||
Tradeweb Markets Inc. Class A | 2,596,870 | 208,269 | ||||
Interactive Brokers Group Inc. Class A | 2,301,922 | 199,254 | ||||
Brown & Brown Inc. | 2,569,710 | 179,469 | ||||
Franklin Resources Inc. | 6,781,819 | 166,697 | ||||
Equitable Holdings Inc. | 3,931,065 | 111,603 | ||||
Globe Life Inc. | 1,019,397 | 110,839 | ||||
Annaly Capital Management Inc. | 5,589,739 | 105,143 | ||||
MarketAxess Holdings Inc. | 426,447 | 91,106 |
Shares | Market Value ($000) | |||||
Corebridge Financial Inc. | 3,606,591 | 71,230 | ||||
*,1 | Rocket Cos. Inc. Class A | 2,620,800 | 21,438 | |||
17,285,814 | ||||||
Health Care (10.4%) | ||||||
* | Centene Corp. | 12,265,329 | 844,836 | |||
* | Dexcom Inc. | 8,785,900 | 819,724 | |||
* | IQVIA Holdings Inc. | 3,940,613 | 775,316 | |||
* | Seagen Inc. | 3,188,701 | 676,483 | |||
* | Veeva Systems Inc. Class A | 3,300,942 | 671,577 | |||
West Pharmaceutical Services Inc. | 1,673,062 | 627,750 | ||||
* | Horizon Therapeutics plc | 5,187,017 | 600,086 | |||
GE HealthCare Technologies Inc. | 8,757,337 | 595,849 | ||||
Zimmer Biomet Holdings Inc. | 4,733,331 | 531,174 | ||||
* | Align Technology Inc. | 1,646,929 | 502,840 | |||
Cardinal Health Inc. | 5,678,282 | 492,988 | ||||
ResMed Inc. | 3,331,421 | 492,617 | ||||
* | Illumina Inc. | 3,585,780 | 492,256 | |||
STERIS plc | 2,237,528 | 490,958 | ||||
* | Alnylam Pharmaceuticals Inc. | 2,702,472 | 478,608 | |||
Baxter International Inc. | 11,471,026 | 432,917 | ||||
* | Molina Healthcare Inc. | 1,255,592 | 411,696 | |||
* | IDEXX Laboratories Inc. | 940,172 | 411,109 | |||
Laboratory Corp. of America Holdings | 2,006,915 | 403,490 | ||||
* | Hologic Inc. | 5,548,271 | 385,050 | |||
* | BioMarin Pharmaceutical Inc. | 4,262,467 | 377,143 | |||
Cooper Cos. Inc. | 1,121,412 | 356,620 | ||||
* | Avantor Inc. | 15,310,953 | 322,755 | |||
Revvity Inc. | 2,811,942 | 311,282 | ||||
Quest Diagnostics Inc. | 2,542,313 | 309,806 | ||||
Viatris Inc. | 27,171,014 | 267,906 | ||||
* | Insulet Corp. | 1,581,590 | 252,248 | |||
* | Incyte Corp. | 4,314,586 | 249,254 | |||
Royalty Pharma plc Class A | 8,643,651 | 234,589 | ||||
* | Henry Schein Inc. | 2,957,970 | 219,629 | |||
Teleflex Inc. | 1,064,461 | 209,071 | ||||
* | Bio-Rad Laboratories Inc. Class A | 462,138 | 165,653 | |||
* | Charles River Laboratories International Inc. | 580,312 | 113,730 | |||
14,527,010 | ||||||
Industrials (17.9%) | ||||||
Carrier Global Corp. | 18,973,507 | 1,047,338 | ||||
PACCAR Inc. | 11,842,203 | 1,006,824 | ||||
* | TransDigm Group Inc. | 1,187,473 | 1,001,194 | |||
Cintas Corp. | 1,958,888 | 942,245 | ||||
Old Dominion Freight Line Inc. | 2,227,570 | 911,388 | ||||
Verisk Analytics Inc. Class A | 3,285,070 | 776,065 | ||||
AMETEK Inc. | 5,225,950 | 772,186 | ||||
Ferguson plc | 4,623,237 | 760,384 | ||||
Rockwell Automation Inc. | 2,601,771 | 743,768 | ||||
Cummins Inc. | 3,208,518 | 733,018 | ||||
WW Grainger Inc. | 1,019,319 | 705,206 | ||||
United Rentals Inc. | 1,546,713 | 687,622 | ||||
Quanta Services Inc. | 3,288,933 | 615,261 | ||||
Vulcan Materials Co. | 3,009,537 | 607,987 | ||||
Fortive Corp. | 7,973,812 | 591,338 | ||||
Ingersoll Rand Inc. | 9,160,203 | 583,688 | ||||
Martin Marietta Materials Inc. | 1,399,931 | 574,644 | ||||
* | Mettler-Toledo International Inc. | 495,279 | 548,804 |
Shares | Market Value ($000) | |||||
* | Keysight Technologies Inc. | 4,027,478 | 532,876 | |||
Global Payments Inc. | 4,585,453 | 529,115 | ||||
Equifax Inc. | 2,779,822 | 509,208 | ||||
Xylem Inc. | 5,455,116 | 496,579 | ||||
Dover Corp. | 3,168,349 | 442,016 | ||||
* | Teledyne Technologies Inc. | 1,066,311 | 435,673 | |||
Westinghouse Air Brake Technologies Corp. | 4,057,487 | 431,189 | ||||
* | FleetCor Technologies Inc. | 1,591,476 | 406,367 | |||
Jacobs Solutions Inc. | 2,852,246 | 389,332 | ||||
Expeditors International of Washington Inc. | 3,350,017 | 384,012 | ||||
Otis Worldwide Corp. | 4,663,169 | 374,499 | ||||
* | Waters Corp. | 1,338,806 | 367,114 | |||
Ball Corp. | 7,136,566 | 355,258 | ||||
JB Hunt Transport Services Inc. | 1,872,727 | 353,047 | ||||
Textron Inc. | 4,486,675 | 350,589 | ||||
DuPont de Nemours Inc. | 4,679,135 | 349,017 | ||||
Fidelity National Information Services Inc. | 6,310,363 | 348,774 | ||||
TransUnion | 4,378,645 | 314,343 | ||||
Packaging Corp. of America | 2,036,679 | 312,732 | ||||
Snap-on Inc. | 1,198,632 | 305,723 | ||||
* | Trimble Inc. | 5,625,019 | 302,964 | |||
Stanley Black & Decker Inc. | 3,471,030 | 290,109 | ||||
Synchrony Financial | 9,472,766 | 289,582 | ||||
* | Zebra Technologies Corp. Class A | 1,162,923 | 275,066 | |||
Masco Corp. | 5,095,115 | 272,334 | ||||
* | BILL Holdings Inc. | 2,286,903 | 248,289 | |||
Crown Holdings Inc. | 2,732,891 | 241,806 | ||||
* | Fair Isaac Corp. | 267,416 | 232,259 | |||
HEICO Corp. Class A | 1,701,558 | 219,875 | ||||
CH Robinson Worldwide Inc. | 2,505,724 | 215,818 | ||||
Howmet Aerospace Inc. | 4,435,145 | 205,125 | ||||
Hubbell Inc. Class B | 607,439 | 190,377 | ||||
HEICO Corp. | 929,204 | 150,466 | ||||
Jack Henry & Associates Inc. | 825,586 | 124,779 | ||||
*,1 | Symbotic Inc. Class A | 274,983 | 9,193 | |||
24,864,465 | ||||||
Real Estate (8.3%) | ||||||
Welltower Inc. | 11,749,978 | 962,558 | ||||
Digital Realty Trust Inc. | 6,856,863 | 829,818 | ||||
Realty Income Corp. | 16,055,398 | 801,807 | ||||
* | CoStar Group Inc. | 9,249,510 | 711,195 | |||
VICI Properties Inc. Class A | 20,269,915 | 589,855 | ||||
Extra Space Storage Inc. | 4,785,811 | 581,859 | ||||
AvalonBay Communities Inc. | 3,216,904 | 552,471 | ||||
Weyerhaeuser Co. | 16,552,634 | 507,504 | ||||
* | CBRE Group Inc. Class A | 6,667,480 | 492,460 | |||
SBA Communications Corp. Class A | 2,455,089 | 491,435 | ||||
Equity Residential | 8,156,503 | 478,868 | ||||
Invitation Homes Inc. | 13,861,925 | 439,284 | ||||
Iron Mountain Inc. | 6,611,033 | 393,026 | ||||
Alexandria Real Estate Equities Inc. | 3,919,454 | 392,337 | ||||
Ventas Inc. | 9,114,497 | 383,994 | ||||
Simon Property Group Inc. | 3,520,436 | 380,313 | ||||
Mid-America Apartment Communities Inc. | 2,643,015 | 340,024 | ||||
Sun Communities Inc. | 2,818,379 | 333,527 | ||||
Essex Property Trust Inc. | 1,453,912 | 308,360 | ||||
UDR Inc. | 7,463,755 | 266,232 | ||||
WP Carey Inc. | 4,845,984 | 262,071 |
Shares | Market Value ($000) | |||||
Camden Property Trust | 2,418,759 | 228,766 | ||||
Healthpeak Properties Inc. | 12,392,823 | 227,532 | ||||
* | Zillow Group Inc. Class C | 3,456,261 | 159,541 | |||
Host Hotels & Resorts Inc. | 8,055,686 | 129,455 | ||||
Regency Centers Corp. | 2,090,325 | 124,249 | ||||
Boston Properties Inc. | 1,597,414 | 95,014 | ||||
* | Zillow Group Inc. Class A | 907,168 | 40,632 | |||
11,504,187 | ||||||
Technology (14.1%) | ||||||
Amphenol Corp. Class A | 13,510,412 | 1,134,740 | ||||
Microchip Technology Inc. | 12,329,942 | 962,352 | ||||
* | ON Semiconductor Corp. | 9,774,773 | 908,565 | |||
* | Palantir Technologies Inc. Class A | 43,781,250 | 700,500 | |||
* | Atlassian Corp. Class A | 3,472,374 | 699,718 | |||
CDW Corp. | 3,036,366 | 612,617 | ||||
* | ANSYS Inc. | 1,965,942 | 584,966 | |||
* | Gartner Inc. | 1,696,203 | 582,832 | |||
* | Splunk Inc. | 3,798,692 | 555,559 | |||
* | Datadog Inc. Class A | 6,096,932 | 555,370 | |||
* | HubSpot Inc. | 1,076,277 | 530,066 | |||
Corning Inc. | 17,389,220 | 529,850 | ||||
Marvell Technology Inc. | 9,740,209 | 527,238 | ||||
* | DoorDash Inc. Class A | 6,629,317 | 526,832 | |||
* | MongoDB Inc. Class A | 1,518,842 | 525,307 | |||
HP Inc. | 20,099,905 | 516,568 | ||||
Hewlett Packard Enterprise Co. | 29,254,818 | 508,156 | ||||
Monolithic Power Systems Inc. | 1,028,133 | 474,997 | ||||
* | Fortinet Inc. | 7,560,384 | 443,643 | |||
* | VeriSign Inc. | 1,985,640 | 402,152 | |||
* | Cloudflare Inc. Class A | 6,296,097 | 396,906 | |||
* | Tyler Technologies Inc. | 953,150 | 368,049 | |||
* | Akamai Technologies Inc. | 3,436,535 | 366,128 | |||
* | Zoom Video Communications Inc. Class A | 5,184,193 | 362,583 | |||
NetApp Inc. | 4,775,309 | 362,351 | ||||
* | Pinterest Inc. Class A | 13,181,059 | 356,284 | |||
Skyworks Solutions Inc. | 3,610,455 | 355,955 | ||||
Teradyne Inc. | 3,488,654 | 350,470 | ||||
* | EPAM Systems Inc. | 1,312,911 | 335,698 | |||
* | Western Digital Corp. | 7,291,598 | 332,716 | |||
* | Zscaler Inc. | 1,982,832 | 308,509 | |||
Paycom Software Inc. | 1,164,261 | 301,858 | ||||
Seagate Technology Holdings plc | 4,462,976 | 294,333 | ||||
* | Okta Inc. Class A | 3,512,381 | 286,294 | |||
Bentley Systems Inc. Class B | 5,134,945 | 257,569 | ||||
SS&C Technologies Holdings Inc. | 4,776,769 | 250,971 | ||||
* | GoDaddy Inc. Class A | 3,325,592 | 247,690 | |||
* | Match Group Inc. | 6,299,512 | 246,783 | |||
* | Twilio Inc. Class A | 3,897,529 | 228,122 | |||
Gen Digital Inc. | 12,311,784 | 217,672 | ||||
* | Qorvo Inc. | 2,217,842 | 211,737 | |||
* | Snap Inc. Class A | 23,251,828 | 207,174 | |||
* | DocuSign Inc. Class A | 4,584,157 | 192,535 | |||
* | Unity Software Inc. | 6,080,270 | 190,860 | |||
Leidos Holdings Inc. | 1,555,165 | 143,324 | ||||
* | Toast Inc. Class A | 4,426,495 | 82,908 | |||
* | ZoomInfo Technologies Inc. Class A | 4,085,002 | 66,994 | |||
19,604,501 |
Shares | Market Value ($000) | |||||
Telecommunications (1.7%) | ||||||
Motorola Solutions Inc. | 3,783,169 | 1,029,930 | ||||
* | Arista Networks Inc. | 5,259,340 | 967,351 | |||
* | Liberty Broadband Corp. Class C | 2,702,961 | 246,834 | |||
* | Roku Inc. Class A | 1,404,075 | 99,114 | |||
* | Liberty Broadband Corp. Class A | 379,412 | 34,492 | |||
2,377,721 | ||||||
Utilities (7.4%) | ||||||
* | PG&E Corp. | 55,281,502 | 891,691 | |||
Constellation Energy Corp. | 7,284,510 | 794,594 | ||||
Waste Connections Inc. | 5,808,621 | 780,098 | ||||
Consolidated Edison Inc. | 7,812,780 | 668,227 | ||||
Public Service Enterprise Group Inc. | 11,305,039 | 643,370 | ||||
WEC Energy Group Inc. | 7,144,900 | 575,522 | ||||
Edison International | 8,681,923 | 549,479 | ||||
American Water Works Co. Inc. | 4,409,396 | 546,015 | ||||
Eversource Energy | 7,907,398 | 459,815 | ||||
Ameren Corp. | 5,930,343 | 443,767 | ||||
Entergy Corp. | 4,789,792 | 443,056 | ||||
FirstEnergy Corp. | 12,337,979 | 421,712 | ||||
DTE Energy Co. | 3,968,304 | 393,973 | ||||
PPL Corp. | 16,695,279 | 393,341 | ||||
CenterPoint Energy Inc. | 14,257,604 | 382,817 | ||||
Xcel Energy Inc. | 6,246,495 | 357,424 | ||||
CMS Energy Corp. | 6,608,239 | 350,964 | ||||
Alliant Energy Corp. | 5,724,628 | 277,358 | ||||
Evergy Inc. | 5,200,544 | 263,668 | ||||
NiSource Inc. | 9,361,455 | 231,041 | ||||
AES Corp. | 15,169,371 | 230,574 | ||||
Vistra Corp. | 4,161,402 | 138,075 | ||||
Avangrid Inc. | 1,754,947 | 52,947 | ||||
10,289,528 | ||||||
Total Common Stocks (Cost $102,376,791) | 138,544,345 | |||||
Coupon | ||||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $689,785) | 5.391% | 6,900,744 | 690,005 | ||
Total Investments (100.0%) (Cost $103,066,576) | 139,234,350 | |||||
Other Assets and Liabilities—Net (0.0%) | (47,006) | |||||
Net Assets (100%) | 139,187,344 |
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 $186,341,000. |
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 $201,035,000 was received for securities on loan, of which $200,874,000 is held in Vanguard Market Liquidity Fund and $161,000 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 2023 | 221 | 19,874 | (678) |
E-mini S&P 500 Index | December 2023 | 362 | 78,292 | (2,824) |
E-mini S&P Mid-Cap 400 Index | December 2023 | 344 | 86,702 | (2,199) |
(5,701) |
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) |
Alnylam Pharmaceuticals Inc. | 8/30/24 | BANA | 25,519 | (5.331) | — | (2,779) |
Ameren Corp. | 1/31/24 | GSI | 1,212 | (5.331) | — | (82) |
Coinbase Global Inc. Class A | 1/31/24 | GSI | 32,860 | (5.331) | — | (2,881) |
CRSP US Mid Cap TR Index | 8/30/24 | BANA | 94,868 | (5.881) | — | (5,330) |
Fidelity National Information Services Inc. | 8/30/24 | BANA | 23,292 | (5.874) | — | (1,218) |
Global Payments Inc. | 8/30/24 | BANA | 164,697 | (5.931) | — | (15,125) |
Hormel Foods Corp. | 1/31/24 | GSI | 17,208 | (5.331) | — | (123) |
Molina Healthcare Inc. | 8/30/24 | BANA | 20,158 | (5.331) | 1,071 | — |
Palantir Technologies Inc. Class A | 8/30/24 | BANA | 4,015 | (5.331) | 257 | — |
Sirius XM Holdings Inc. | 1/31/24 | GSI | 9,875 | (5.331) | 1,296 | — |
Trade Desk Inc. Class A | 8/30/24 | BANA | 28,011 | (5.331) | — | (774) |
VICI Properties Inc. Class A | 8/30/24 | BANA | 81,726 | (5.981) | — | (3,891) |
2,624 | (32,203) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset 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 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. Other 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 or indexes 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, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 138,544,345 | — | — | 138,544,345 |
Temporary Cash Investments | 690,005 | — | — | 690,005 |
Total | 139,234,350 | — | — | 139,234,350 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 2,624 | — | 2,624 |
Liabilities | ||||
Futures Contracts1 | 5,701 | — | — | 5,701 |
Swap Contracts | — | 32,203 | — | 32,203 |
Total | 5,701 | 32,203 | — | 37,904 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |