Vanguard® Small-Cap Growth Index Fund
Schedule of Investments (unaudited)
As of March 31, 2024
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (99.7%) | ||||||
Basic Materials (1.8%) | ||||||
Royal Gold Inc. | 948,609 | 115,550 | ||||
* | RBC Bearings Inc. | 421,377 | 113,919 | |||
Hexcel Corp. | 1,218,593 | 88,775 | ||||
Balchem Corp. | 465,921 | 72,195 | ||||
*,1 | Arcadium Lithium plc | 15,501,340 | 66,811 | |||
NewMarket Corp. | 103,862 | 65,913 | ||||
Quaker Chemical Corp. | 194,779 | 39,978 | ||||
*,1 | MP Materials Corp. | 2,054,222 | 29,375 | |||
Carpenter Technology Corp. | 338,927 | 24,206 | ||||
* | Century Aluminum Co. | 736,180 | 11,330 | |||
* | Ingevity Corp. | 236,313 | 11,272 | |||
Compass Minerals International Inc. | 298,292 | 4,695 | ||||
644,019 | ||||||
Consumer Discretionary (16.6%) | ||||||
* | Deckers Outdoor Corp. | 370,670 | 348,897 | |||
* | DraftKings Inc. Class A | 6,156,716 | 279,576 | |||
RB Global Inc. | 2,635,876 | 200,775 | ||||
* | Floor & Decor Holdings Inc. Class A | 1,465,194 | 189,918 | |||
* | Liberty Media Corp.-Liberty Formula One Class C | 2,855,676 | 187,332 | |||
Wingstop Inc. | 423,655 | 155,227 | ||||
* | elf Beauty Inc. | 761,466 | 149,270 | |||
Texas Roadhouse Inc. Class A | 964,389 | 148,969 | ||||
Wynn Resorts Ltd. | 1,386,331 | 141,725 | ||||
* | Five Below Inc. | 757,123 | 137,327 | |||
Tempur Sealy International Inc. | 2,381,609 | 135,323 | ||||
*,1 | Carvana Co. Class A | 1,511,300 | 132,858 | |||
* | Light & Wonder Inc. | 1,299,868 | 132,704 | |||
* | Caesars Entertainment Inc. | 2,968,036 | 129,822 | |||
Vail Resorts Inc. | 548,244 | 122,165 | ||||
Gentex Corp. | 3,342,889 | 120,745 | ||||
* | Crocs Inc. | 830,051 | 119,361 | |||
Churchill Downs Inc. | 957,572 | 118,500 | ||||
* | Skechers USA Inc. Class A | 1,929,103 | 118,177 | |||
* | Etsy Inc. | 1,711,115 | 117,588 | |||
* | SiteOne Landscape Supply Inc. | 652,030 | 113,812 | |||
* | Duolingo Inc. Class A | 491,101 | 108,327 | |||
Pool Corp. | 265,311 | 107,053 | ||||
Hyatt Hotels Corp. Class A | 606,771 | 96,853 | ||||
* | Bright Horizons Family Solutions Inc. | 836,134 | 94,784 | |||
Wyndham Hotels & Resorts Inc. | 1,169,684 | 89,773 | ||||
* | Wayfair Inc. Class A | 1,298,596 | 88,149 |
Shares | Market Value ($000) | |||||
* | Planet Fitness Inc. Class A | 1,252,630 | 78,452 | |||
TKO Group Holdings Inc. Class A | 902,966 | 78,025 | ||||
* | RH | 210,483 | 73,303 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 889,438 | 70,773 | |||
Boyd Gaming Corp. | 989,247 | 66,596 | ||||
* | Skyline Champion Corp. | 750,596 | 63,808 | |||
*,1 | Cava Group Inc. | 903,534 | 63,293 | |||
* | Grand Canyon Education Inc. | 433,478 | 59,044 | |||
* | Shake Shack Inc. Class A | 541,540 | 56,336 | |||
1 | Choice Hotels International Inc. | 429,210 | 54,231 | |||
* | Hilton Grand Vacations Inc. | 1,091,561 | 51,533 | |||
* | Madison Square Garden Sports Corp. | 266,365 | 49,150 | |||
* | YETI Holdings Inc. | 1,254,204 | 48,350 | |||
* | Visteon Corp. | 397,006 | 46,692 | |||
LCI Industries | 347,417 | 42,753 | ||||
* | TripAdvisor Inc. | 1,445,280 | 40,164 | |||
Columbia Sportswear Co. | 480,487 | 39,006 | ||||
*,1 | Lucid Group Inc. | 13,267,848 | 37,813 | |||
* | Frontdoor Inc. | 1,149,777 | 37,460 | |||
* | Dorman Products Inc. | 386,531 | 37,258 | |||
Inter Parfums Inc. | 253,987 | 35,688 | ||||
* | ACV Auctions Inc. Class A | 1,832,877 | 34,403 | |||
* | Sonos Inc. | 1,788,434 | 34,088 | |||
* | Dutch Bros Inc. Class A | 1,021,736 | 33,717 | |||
* | LGI Homes Inc. | 289,447 | 33,683 | |||
* | Topgolf Callaway Brands Corp. | 1,998,393 | 32,314 | |||
* | Fox Factory Holding Corp. | 612,013 | 31,867 | |||
Papa John's International Inc. | 473,002 | 31,502 | ||||
* | Sweetgreen Inc. Class A | 1,220,121 | 30,820 | |||
*,1 | QuantumScape Corp. Class A | 4,653,726 | 29,272 | |||
* | Dave & Buster's Entertainment Inc. | 464,397 | 29,071 | |||
* | United Parks & Resorts Inc. | 507,869 | 28,547 | |||
* | Six Flags Entertainment Corp. | 1,032,575 | 27,177 | |||
* | Gentherm Inc. | 455,592 | 26,233 | |||
* | Chewy Inc. Class A | 1,628,259 | 25,906 | |||
* | Beyond Inc. | 655,812 | 23,550 | |||
* | Cavco Industries Inc. | 57,264 | 22,852 | |||
* | Coursera Inc. | 1,586,358 | 22,241 | |||
Steven Madden Ltd. | 511,754 | 21,637 | ||||
* | Boot Barn Holdings Inc. | 218,770 | 20,816 | |||
* | Peloton Interactive Inc. Class A | 4,785,483 | 20,506 | |||
* | Liberty Media Corp.-Liberty Formula One Class A | 346,301 | 20,342 | |||
Jack in the Box Inc. | 282,116 | 19,319 | ||||
* | Stride Inc. | 297,508 | 18,758 | |||
* | Madison Square Garden Entertainment Corp. Class A | 475,167 | 18,631 | |||
Allegiant Travel Co. | 225,885 | 16,989 | ||||
* | Leslie's Inc. | 2,398,032 | 15,587 | |||
* | Life Time Group Holdings Inc. | 992,747 | 15,407 | |||
* | Integral Ad Science Holding Corp. | 1,367,293 | 13,632 | |||
* | Dream Finders Homes Inc. Class A | 308,651 | 13,497 | |||
Levi Strauss & Co. Class A | 666,221 | 13,318 | ||||
* | Driven Brands Holdings Inc. | 828,751 | 13,086 | |||
* | Revolve Group Inc. Class A | 571,222 | 12,093 | |||
* | Portillo's Inc. Class A | 827,243 | 11,730 | |||
* | Vizio Holding Corp. Class A | 1,048,220 | 11,468 | |||
*,1 | Mister Car Wash Inc. | 1,365,522 | 10,583 | |||
* | Sun Country Airlines Holdings Inc. | 615,717 | 9,291 | |||
* | Figs Inc. Class A | 1,861,330 | 9,269 |
Shares | Market Value ($000) | |||||
Camping World Holdings Inc. Class A | 292,531 | 8,147 | ||||
* | Udemy Inc. | 719,646 | 7,902 | |||
*,1 | Luminar Technologies Inc. Class A | 3,962,288 | 7,806 | |||
* | Corsair Gaming Inc. | 594,946 | 7,342 | |||
* | Instructure Holdings Inc. | 314,057 | 6,715 | |||
* | Savers Value Village Inc. | 347,652 | 6,703 | |||
* | Sabre Corp. | 2,749,774 | 6,654 | |||
* | BJ's Restaurants Inc. | 159,382 | 5,766 | |||
* | Rush Street Interactive Inc. | 879,128 | 5,723 | |||
Arhaus Inc. Class A | 365,441 | 5,624 | ||||
*,1 | Frontier Group Holdings Inc. | 645,167 | 5,232 | |||
1 | Bowlero Corp. Class A | 329,297 | 4,511 | |||
1 | Spirit Airlines Inc. | 790,452 | 3,826 | |||
* | SES AI Corp. | 1,777,641 | 2,986 | |||
* | Angi Inc. Class A | 1,028,446 | 2,695 | |||
*,1 | iRobot Corp. | 191,808 | 1,680 | |||
* | Liberty Media Corp.-Liberty Live Class C | 1 | — | |||
5,907,252 | ||||||
Consumer Staples (3.3%) | ||||||
* | Celsius Holdings Inc. | 2,509,308 | 208,072 | |||
Casey's General Stores Inc. | 535,858 | 170,644 | ||||
* | BellRing Brands Inc. | 1,891,362 | 111,647 | |||
Lamb Weston Holdings Inc. | 1,042,419 | 111,049 | ||||
* | Darling Ingredients Inc. | 2,304,397 | 107,177 | |||
* | Freshpet Inc. | 696,641 | 80,713 | |||
Coca-Cola Consolidated Inc. | 72,481 | 61,349 | ||||
Lancaster Colony Corp. | 278,188 | 57,760 | ||||
WD-40 Co. | 195,842 | 49,609 | ||||
* | Simply Good Foods Co. | 1,297,224 | 44,145 | |||
* | Post Holdings Inc. | 350,483 | 37,249 | |||
Cal-Maine Foods Inc. | 574,214 | 33,792 | ||||
* | Boston Beer Co. Inc. Class A | 102,427 | 31,181 | |||
J & J Snack Foods Corp. | 167,920 | 24,275 | ||||
Utz Brands Inc. | 879,027 | 16,209 | ||||
* | National Beverage Corp. | 337,186 | 16,003 | |||
Tootsie Roll Industries Inc. | 212,751 | 6,814 | ||||
*,1 | Beyond Meat Inc. | 442,705 | 3,666 | |||
1,171,354 | ||||||
Energy (6.6%) | ||||||
Targa Resources Corp. | 3,222,478 | 360,886 | ||||
TechnipFMC plc | 5,973,887 | 150,004 | ||||
* | Weatherford International plc | 1,044,285 | 120,531 | |||
EQT Corp. | 3,179,354 | 117,859 | ||||
NOV Inc. | 5,689,766 | 111,064 | ||||
Civitas Resources Inc. | 1,457,480 | 110,637 | ||||
* | NEXTracker Inc. Class A | 1,875,006 | 105,507 | |||
Matador Resources Co. | 1,552,542 | 103,663 | ||||
ChampionX Corp. | 2,759,902 | 99,053 | ||||
Noble Corp. plc | 1,626,354 | 78,862 | ||||
Texas Pacific Land Corp. | 132,879 | 76,872 | ||||
Permian Resources Corp. | 3,768,332 | 66,549 | ||||
* | Transocean Ltd. | 10,514,621 | 66,032 | |||
1 | Magnolia Oil & Gas Corp. Class A | 2,503,068 | 64,955 | |||
* | Tidewater Inc. | 687,514 | 63,251 | |||
Northern Oil & Gas Inc. | 1,306,235 | 51,831 | ||||
Alpha Metallurgical Resources Inc. | 153,451 | 50,818 | ||||
Viper Energy Inc. Class A | 1,295,317 | 49,818 |
Shares | Market Value ($000) | |||||
Cactus Inc. Class A | 943,315 | 47,251 | ||||
Liberty Energy Inc. Class A | 2,166,361 | 44,887 | ||||
SM Energy Co. | 835,751 | 41,662 | ||||
1 | New Fortress Energy Inc. | 1,332,358 | 40,757 | |||
* | Oceaneering International Inc. | 1,454,576 | 34,037 | |||
* | Array Technologies Inc. | 2,074,454 | 30,930 | |||
*,1 | Plug Power Inc. | 8,743,841 | 30,079 | |||
Sitio Royalties Corp. Class A | 1,121,951 | 27,735 | ||||
* | Shoals Technologies Group Inc. Class A | 2,455,736 | 27,455 | |||
Helmerich & Payne Inc. | 642,205 | 27,011 | ||||
Kinetik Holdings Inc. Class A | 473,995 | 18,898 | ||||
Atlas Energy Solutions Inc. Class A | 722,204 | 16,336 | ||||
* | Fluence Energy Inc. | 917,613 | 15,911 | |||
CONSOL Energy Inc. | 160,338 | 13,430 | ||||
* | Ameresco Inc. Class A | 469,672 | 11,333 | |||
* | Helix Energy Solutions Group Inc. | 1,033,829 | 11,207 | |||
1 | Comstock Resources Inc. | 1,206,893 | 11,200 | |||
* | Dril-Quip Inc. | 493,923 | 11,128 | |||
RPC Inc. | 1,405,127 | 10,876 | ||||
*,1 | ChargePoint Holdings Inc. | 5,429,947 | 10,317 | |||
*,1 | FuelCell Energy Inc. | 6,524,449 | 7,764 | |||
Core Laboratories Inc. | 338,339 | 5,779 | ||||
1 | HighPeak Energy Inc. | 278,528 | 4,392 | |||
*,1 | SunPower Corp. | 1,266,164 | 3,799 | |||
*,1 | EVgo Inc. Class A | 1,420,730 | 3,566 | |||
2,355,932 | ||||||
Financials (4.9%) | ||||||
* | Robinhood Markets Inc. Class A | 8,611,914 | 173,358 | |||
Kinsale Capital Group Inc. | 317,915 | 166,823 | ||||
Erie Indemnity Co. Class A | 366,860 | 147,320 | ||||
Blue Owl Capital Inc. Class A | 6,581,274 | 124,123 | ||||
MarketAxess Holdings Inc. | 546,824 | 119,891 | ||||
Morningstar Inc. | 369,947 | 114,081 | ||||
Houlihan Lokey Inc. Class A | 752,609 | 96,477 | ||||
*,1 | SoFi Technologies Inc. | 12,682,029 | 92,579 | |||
Ryan Specialty Holdings Inc. Class A | 1,366,964 | 75,866 | ||||
*,1 | Marathon Digital Holdings Inc. | 3,054,098 | 68,961 | |||
Hamilton Lane Inc. Class A | 555,096 | 62,593 | ||||
Pinnacle Financial Partners Inc. | 526,779 | 45,240 | ||||
* | Credit Acceptance Corp. | 71,063 | 39,195 | |||
* | Clearwater Analytics Holdings Inc. Class A | 2,096,756 | 37,092 | |||
* | Oscar Health Inc. Class A | 2,243,518 | 33,361 | |||
* | Riot Platforms Inc. | 2,684,522 | 32,859 | |||
PJT Partners Inc. Class A | 315,036 | 29,695 | ||||
*,1 | Upstart Holdings Inc. | 1,060,833 | 28,526 | |||
Moelis & Co. Class A | 481,419 | 27,330 | ||||
Cohen & Steers Inc. | 354,795 | 27,280 | ||||
* | BRP Group Inc. Class A | 928,811 | 26,880 | |||
ServisFirst Bancshares Inc. | 353,908 | 23,485 | ||||
* | Goosehead Insurance Inc. Class A | 307,942 | 20,515 | |||
* | Palomar Holdings Inc. | 169,924 | 14,245 | |||
StepStone Group Inc. Class A | 393,265 | 14,055 | ||||
* | Triumph Financial Inc. | 160,017 | 12,692 | |||
*,1 | Trupanion Inc. | 453,342 | 12,517 | |||
*,1 | Lemonade Inc. | 757,316 | 12,428 | |||
TFS Financial Corp. | 811,360 | 10,191 | ||||
Live Oak Bancshares Inc. | 241,614 | 10,029 | ||||
UWM Holdings Corp. Class A | 1,282,547 | 9,311 |
Shares | Market Value ($000) | |||||
* | Open Lending Corp. | 1,383,534 | 8,661 | |||
Safehold Inc. | 386,315 | 7,958 | ||||
* | AssetMark Financial Holdings Inc. | 161,000 | 5,701 | |||
P10 Inc. Class A | 652,071 | 5,490 | ||||
* | Hagerty Inc. Class A | 323,428 | 2,959 | |||
1,739,767 | ||||||
Health Care (16.5%) | ||||||
* | Charles River Laboratories International Inc. | 741,683 | 200,959 | |||
* | Neurocrine Biosciences Inc. | 1,436,888 | 198,176 | |||
* | Exact Sciences Corp. | 2,621,914 | 181,069 | |||
* | Shockwave Medical Inc. | 532,890 | 173,525 | |||
* | Sarepta Therapeutics Inc. | 1,283,454 | 166,156 | |||
Bio-Techne Corp. | 2,270,322 | 159,808 | ||||
* | Natera Inc. | 1,648,513 | 150,773 | |||
* | Medpace Holdings Inc. | 355,333 | 143,608 | |||
* | Repligen Corp. | 765,279 | 140,750 | |||
Chemed Corp. | 217,458 | 139,593 | ||||
Bruker Corp. | 1,299,359 | 122,062 | ||||
* | Penumbra Inc. | 531,077 | 118,526 | |||
Ensign Group Inc. | 818,194 | 101,800 | ||||
* | HealthEquity Inc. | 1,239,016 | 101,141 | |||
* | Masimo Corp. | 686,889 | 100,870 | |||
* | Cytokinetics Inc. | 1,415,960 | 99,273 | |||
* | Exelixis Inc. | 4,160,654 | 98,732 | |||
* | Vaxcyte Inc. | 1,400,898 | 95,695 | |||
* | Intra-Cellular Therapies Inc. | 1,328,055 | 91,901 | |||
* | Inspire Medical Systems Inc. | 427,233 | 91,765 | |||
* | Globus Medical Inc. Class A | 1,645,310 | 88,254 | |||
* | Insulet Corp. | 504,210 | 86,422 | |||
* | Apellis Pharmaceuticals Inc. | 1,454,532 | 85,497 | |||
* | Option Care Health Inc. | 2,505,771 | 84,044 | |||
* | Blueprint Medicines Corp. | 884,217 | 83,877 | |||
* | Ionis Pharmaceuticals Inc. | 1,789,696 | 77,583 | |||
* | Halozyme Therapeutics Inc. | 1,831,712 | 74,514 | |||
* | REVOLUTION Medicines Inc. | 2,247,093 | 72,424 | |||
* | Catalent Inc. | 1,239,724 | 69,982 | |||
* | Alkermes plc | 2,412,695 | 65,312 | |||
* | Glaukos Corp. | 673,856 | 63,538 | |||
* | Haemonetics Corp. | 733,443 | 62,599 | |||
* | Lantheus Holdings Inc. | 989,542 | 61,589 | |||
* | Merit Medical Systems Inc. | 792,464 | 60,029 | |||
* | Insmed Inc. | 2,144,086 | 58,169 | |||
* | Viking Therapeutics Inc. | 696,249 | 57,092 | |||
* | Ultragenyx Pharmaceutical Inc. | 1,129,554 | 52,739 | |||
* | Evolent Health Inc. Class A | 1,577,093 | 51,713 | |||
* | 10X Genomics Inc. Class A | 1,366,033 | 51,267 | |||
* | Axonics Inc. | 736,513 | 50,797 | |||
* | Amicus Therapeutics Inc. | 4,234,778 | 49,886 | |||
* | iRhythm Technologies Inc. | 424,979 | 49,298 | |||
* | Arrowhead Pharmaceuticals Inc. | 1,698,898 | 48,588 | |||
* | SpringWorks Therapeutics Inc. | 954,809 | 46,996 | |||
* | Progyny Inc. | 1,176,358 | 44,878 | |||
* | Neogen Corp. | 2,814,042 | 44,406 | |||
* | Cerevel Therapeutics Holdings Inc. | 1,047,961 | 44,297 | |||
* | Axsome Therapeutics Inc. | 547,040 | 43,654 | |||
* | Doximity Inc. Class A | 1,499,616 | 40,355 | |||
* | Arvinas Inc. | 883,025 | 36,451 | |||
* | Teladoc Health Inc. | 2,406,579 | 36,339 |
Shares | Market Value ($000) | |||||
*,1 | Intellia Therapeutics Inc. | 1,318,170 | 36,263 | |||
* | CorVel Corp. | 135,776 | 35,704 | |||
CONMED Corp. | 444,084 | 35,562 | ||||
* | Beam Therapeutics Inc. | 1,059,284 | 34,999 | |||
* | QuidelOrtho Corp. | 723,675 | 34,693 | |||
* | Guardant Health Inc. | 1,669,568 | 34,443 | |||
* | Inari Medical Inc. | 706,892 | 33,917 | |||
* | Tandem Diabetes Care Inc. | 947,743 | 33,560 | |||
* | ACADIA Pharmaceuticals Inc. | 1,778,188 | 32,879 | |||
* | Surgery Partners Inc. | 1,096,001 | 32,694 | |||
* | Hims & Hers Health Inc. | 2,058,246 | 31,841 | |||
* | PTC Therapeutics Inc. | 1,089,755 | 31,701 | |||
* | Certara Inc. | 1,731,244 | 30,955 | |||
* | Bridgebio Pharma Inc. | 998,874 | 30,885 | |||
* | Denali Therapeutics Inc. | 1,496,785 | 30,714 | |||
* | PROCEPT BioRobotics Corp. | 619,848 | 30,633 | |||
* | Corcept Therapeutics Inc. | 1,195,894 | 30,125 | |||
* | TG Therapeutics Inc. | 1,967,825 | 29,931 | |||
* | NeoGenomics Inc. | 1,842,793 | 28,969 | |||
* | Privia Health Group Inc. | 1,449,196 | 28,390 | |||
* | Kymera Therapeutics Inc. | 705,716 | 28,370 | |||
* | Astrana Health Inc. | 673,339 | 28,273 | |||
* | R1 RCM Inc. | 2,119,300 | 27,297 | |||
* | Twist Bioscience Corp. | 793,196 | 27,214 | |||
* | STAAR Surgical Co. | 704,961 | 26,986 | |||
* | agilon health Inc. | 4,397,664 | 26,826 | |||
* | Veracyte Inc. | 1,092,965 | 24,220 | |||
*,1 | Recursion Pharmaceuticals Inc. Class A | 2,406,234 | 23,990 | |||
*,1 | Ginkgo Bioworks Holdings Inc. Class A | 19,882,306 | 23,063 | |||
* | Sotera Health Co. | 1,837,964 | 22,074 | |||
* | Novocure Ltd. | 1,366,510 | 21,358 | |||
* | AtriCure Inc. | 652,843 | 19,859 | |||
* | Xencor Inc. | 879,141 | 19,455 | |||
*,1 | Sana Biotechnology Inc. | 1,895,981 | 18,960 | |||
* | Pacira BioSciences Inc. | 637,071 | 18,615 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 1,921,356 | 16,735 | |||
* | Warby Parker Inc. Class A | 1,202,024 | 16,359 | |||
* | Vir Biotechnology Inc. | 1,554,176 | 15,744 | |||
* | Harmony Biosciences Holdings Inc. | 450,945 | 15,143 | |||
* | Relay Therapeutics Inc. | 1,799,336 | 14,934 | |||
* | Sage Therapeutics Inc. | 737,823 | 13,827 | |||
* | AdaptHealth Corp. Class A | 1,181,764 | 13,602 | |||
* | REGENXBIO Inc. | 636,752 | 13,416 | |||
* | Maravai LifeSciences Holdings Inc. Class A | 1,527,113 | 13,240 | |||
* | Rocket Pharmaceuticals Inc. | 488,292 | 13,155 | |||
* | Verve Therapeutics Inc. | 928,681 | 12,333 | |||
* | Agios Pharmaceuticals Inc. | 405,772 | 11,865 | |||
* | Cytek Biosciences Inc. | 1,565,983 | 10,508 | |||
*,1 | ImmunityBio Inc. | 1,928,454 | 10,356 | |||
HealthStream Inc. | 349,909 | 9,329 | ||||
* | Phreesia Inc. | 381,626 | 9,132 | |||
* | Zentalis Pharmaceuticals Inc. | 562,813 | 8,870 | |||
* | Editas Medicine Inc. | 1,179,484 | 8,752 | |||
* | Treace Medical Concepts Inc. | 623,480 | 8,136 | |||
*,1 | Novavax Inc. | 1,629,669 | 7,790 | |||
* | GoodRx Holdings Inc. Class A | 1,067,509 | 7,579 | |||
* | BioCryst Pharmaceuticals Inc. | 1,478,900 | 7,513 | |||
*,1 | ACELYRIN Inc. | 1,054,279 | 7,116 |
Shares | Market Value ($000) | |||||
*,1 | Prime Medicine Inc. | 977,499 | 6,842 | |||
* | Arcus Biosciences Inc. | 358,804 | 6,774 | |||
* | Alignment Healthcare Inc. | 1,365,467 | 6,773 | |||
* | LifeStance Health Group Inc. | 1,093,610 | 6,748 | |||
* | Adaptive Biotechnologies Corp. | 1,885,657 | 6,053 | |||
* | Accolade Inc. | 502,742 | 5,269 | |||
* | Agiliti Inc. | 486,832 | 4,927 | |||
* | Silk Road Medical Inc. | 267,144 | 4,894 | |||
* | CareDx Inc. | 371,106 | 3,930 | |||
* | Nevro Corp. | 250,300 | 3,614 | |||
* | Allogene Therapeutics Inc. | 729,361 | 3,260 | |||
* | Lyell Immunopharma Inc. | 1,273,209 | 2,839 | |||
* | AnaptysBio Inc. | 124,784 | 2,810 | |||
*,1 | OPKO Health Inc. | 2,016,125 | 2,419 | |||
* | Amylyx Pharmaceuticals Inc. | 832,010 | 2,363 | |||
*,1 | Theravance Biopharma Inc. | 234,708 | 2,105 | |||
* | Innovage Holding Corp. | 292,078 | 1,297 | |||
*,2 | OmniAb Inc. 12.5 Earnout | 45,320 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 45,320 | — | |||
5,862,540 | ||||||
Industrials (19.7%) | ||||||
* | Axon Enterprise Inc. | 1,028,146 | 321,686 | |||
Graco Inc. | 2,428,603 | 226,977 | ||||
Lennox International Inc. | 462,500 | 226,051 | ||||
* | Saia Inc. | 383,381 | 224,278 | |||
Lincoln Electric Holdings Inc. | 825,998 | 210,993 | ||||
Nordson Corp. | 743,300 | 204,066 | ||||
* | TopBuild Corp. | 458,841 | 202,225 | |||
Watsco Inc. | 449,060 | 193,980 | ||||
Advanced Drainage Systems Inc. | 1,120,674 | 193,025 | ||||
Comfort Systems USA Inc. | 515,598 | 163,811 | ||||
A O Smith Corp. | 1,751,797 | 156,716 | ||||
* | Trex Co. Inc. | 1,568,255 | 156,433 | |||
* | Core & Main Inc. Class A | 2,705,998 | 154,918 | |||
* | WEX Inc. | 617,149 | 146,591 | |||
Curtiss-Wright Corp. | 551,721 | 141,207 | ||||
Toro Co. | 1,507,530 | 138,135 | ||||
BWX Technologies Inc. | 1,321,504 | 135,613 | ||||
Eagle Materials Inc. | 497,507 | 135,198 | ||||
Simpson Manufacturing Co. Inc. | 616,234 | 126,439 | ||||
* | WillScot Mobile Mini Holdings Corp. | 2,606,083 | 121,183 | |||
* | Affirm Holdings Inc. Class A | 3,185,262 | 118,683 | |||
* | Generac Holdings Inc. | 870,384 | 109,790 | |||
* | AZEK Co. Inc. Class A | 2,105,618 | 105,744 | |||
Cognex Corp. | 2,478,523 | 105,139 | ||||
* | Paylocity Holding Corp. | 610,084 | 104,849 | |||
* | Chart Industries Inc. | 617,347 | 101,689 | |||
Landstar System Inc. | 519,068 | 100,056 | ||||
* | BILL Holdings Inc. | 1,441,904 | 99,088 | |||
* | ATI Inc. | 1,842,296 | 94,270 | |||
* | GXO Logistics Inc. | 1,722,544 | 92,604 | |||
Jack Henry & Associates Inc. | 526,124 | 91,403 | ||||
Installed Building Products Inc. | 348,176 | 90,084 | ||||
Littelfuse Inc. | 359,822 | 87,203 | ||||
FTAI Aviation Ltd. | 1,230,350 | 82,803 | ||||
AAON Inc. | 938,622 | 82,693 | ||||
Armstrong World Industries Inc. | 632,630 | 78,585 | ||||
Federal Signal Corp. | 879,850 | 74,673 |
Shares | Market Value ($000) | |||||
Maximus Inc. | 881,306 | 73,942 | ||||
* | ExlService Holdings Inc. | 2,262,579 | 71,950 | |||
* | Euronet Worldwide Inc. | 628,073 | 69,044 | |||
Badger Meter Inc. | 423,859 | 68,585 | ||||
Woodward Inc. | 435,369 | 67,099 | ||||
Herc Holdings Inc. | 388,519 | 65,388 | ||||
* | AeroVironment Inc. | 406,251 | 62,270 | |||
* | Itron Inc. | 656,946 | 60,781 | |||
Franklin Electric Co. Inc. | 566,207 | 60,477 | ||||
Exponent Inc. | 731,032 | 60,449 | ||||
* | Middleby Corp. | 359,013 | 57,726 | |||
* | Verra Mobility Corp. Class A | 2,281,603 | 56,972 | |||
*,1 | Shift4 Payments Inc. Class A | 821,526 | 54,278 | |||
TriNet Group Inc. | 401,629 | 53,212 | ||||
* | ACI Worldwide Inc. | 1,569,991 | 52,139 | |||
John Bean Technologies Corp. | 459,698 | 48,218 | ||||
* | MasTec Inc. | 455,307 | 42,457 | |||
* | Flywire Corp. | 1,639,927 | 40,687 | |||
* | Marqeta Inc. Class A | 6,750,424 | 40,233 | |||
* | Kratos Defense & Security Solutions Inc. | 2,117,936 | 38,928 | |||
* | Remitly Global Inc. | 1,871,681 | 38,819 | |||
Mueller Water Products Inc. Class A | 2,255,327 | 36,288 | ||||
* | Modine Manufacturing Co. | 356,839 | 33,967 | |||
*,1 | Bloom Energy Corp. Class A | 2,923,831 | 32,864 | |||
Tennant Co. | 268,897 | 32,701 | ||||
* | Janus International Group Inc. | 2,012,782 | 30,453 | |||
* | Dycom Industries Inc. | 201,236 | 28,883 | |||
Insperity Inc. | 256,677 | 28,134 | ||||
Kadant Inc. | 84,771 | 27,813 | ||||
* | Legalzoom.com Inc. | 2,035,438 | 27,153 | |||
* | CBIZ Inc. | 342,771 | 26,907 | |||
CSW Industrials Inc. | 112,499 | 26,392 | ||||
* | Leonardo DRS Inc. | 1,136,687 | 25,109 | |||
* | Mercury Systems Inc. | 728,835 | 21,501 | |||
* | Masonite International Corp. | 157,741 | 20,735 | |||
* | Cimpress plc | 230,787 | 20,427 | |||
Lindsay Corp. | 159,287 | 18,742 | ||||
* | Payoneer Global Inc. | 3,656,701 | 17,772 | |||
* | Gibraltar Industries Inc. | 219,825 | 17,702 | |||
* | AMN Healthcare Services Inc. | 274,538 | 17,161 | |||
*,1 | Enovix Corp. | 1,933,831 | 15,490 | |||
Enerpac Tool Group Corp. Class A | 390,851 | 13,938 | ||||
* | Vicor Corp. | 330,625 | 12,643 | |||
*,1 | PureCycle Technologies Inc. | 1,895,322 | 11,789 | |||
Helios Technologies Inc. | 238,665 | 10,666 | ||||
* | Nikola Corp. | 7,940,616 | 8,258 | |||
*,1 | Virgin Galactic Holdings Inc. | 5,195,042 | 7,689 | |||
Gorman-Rupp Co. | 151,384 | 5,987 | ||||
* | CryoPort Inc. | 335,879 | 5,945 | |||
Forward Air Corp. | 181,477 | 5,646 | ||||
* | Paymentus Holdings Inc. Class A | 235,566 | 5,359 | |||
* | ZipRecruiter Inc. Class A | 440,304 | 5,059 | |||
* | Sterling Check Corp. | 204,866 | 3,294 | |||
* | TaskUS Inc. Class A | 250,755 | 2,921 | |||
*,2 | GCI Liberty Inc. | 14,603 | — | |||
6,987,923 | ||||||
Real Estate (4.9%) | ||||||
American Homes 4 Rent Class A | 4,436,092 | 163,160 |
Shares | Market Value ($000) | |||||
Equity LifeStyle Properties Inc. | 2,423,329 | 156,063 | ||||
Rexford Industrial Realty Inc. | 2,989,585 | 150,376 | ||||
CubeSmart | 3,247,042 | 146,831 | ||||
Host Hotels & Resorts Inc. | 5,080,221 | 105,059 | ||||
Americold Realty Trust Inc. | 4,095,516 | 102,060 | ||||
Ryman Hospitality Properties Inc. | 819,110 | 94,697 | ||||
Terreno Realty Corp. | 1,350,936 | 89,702 | ||||
UDR Inc. | 2,378,741 | 88,989 | ||||
Healthcare Realty Trust Inc. Class A | 5,504,477 | 77,888 | ||||
Lamar Advertising Co. Class A | 632,327 | 75,506 | ||||
Kite Realty Group Trust | 3,168,900 | 68,702 | ||||
Essential Properties Realty Trust Inc. | 2,398,116 | 63,934 | ||||
Independence Realty Trust Inc. | 3,244,891 | 52,340 | ||||
National Storage Affiliates Trust | 1,079,741 | 42,283 | ||||
Innovative Industrial Properties Inc. | 404,918 | 41,925 | ||||
St. Joe Co. | 547,928 | 31,763 | ||||
Phillips Edison & Co. Inc. | 882,266 | 31,647 | ||||
* | Howard Hughes Holdings Inc. | 435,014 | 31,591 | |||
* | Opendoor Technologies Inc. | 8,832,547 | 26,763 | |||
RLJ Lodging Trust | 2,137,958 | 25,271 | ||||
DigitalBridge Group Inc. | 1,178,418 | 22,708 | ||||
Kennedy-Wilson Holdings Inc. | 1,502,537 | 12,892 | ||||
Paramount Group Inc. | 2,668,302 | 12,514 | ||||
1 | eXp World Holdings Inc. | 1,116,764 | 11,536 | |||
* | Redfin Corp. | 1,580,943 | 10,513 | |||
Universal Health Realty Income Trust | 179,780 | 6,600 | ||||
Alexander's Inc. | 16,599 | 3,604 | ||||
1,746,917 | ||||||
Technology (22.4%) | ||||||
*,1 | MicroStrategy Inc. Class A | 195,183 | 332,701 | |||
* | PTC Inc. | 1,640,114 | 309,883 | |||
Entegris Inc. | 2,171,826 | 305,228 | ||||
* | Pure Storage Inc. Class A | 4,334,503 | 225,351 | |||
* | Manhattan Associates Inc. | 889,045 | 222,466 | |||
* | Nutanix Inc. Class A | 3,504,397 | 216,291 | |||
Vertiv Holdings Co. Class A | 2,619,226 | 213,912 | ||||
* | Dynatrace Inc. | 4,060,532 | 188,571 | |||
* | DocuSign Inc. Class A | 2,945,056 | 175,378 | |||
* | Qorvo Inc. | 1,394,376 | 160,116 | |||
* | Lattice Semiconductor Corp. | 1,986,373 | 155,394 | |||
* | Match Group Inc. | 3,924,738 | 142,389 | |||
* | Dayforce Inc. | 2,145,101 | 142,027 | |||
* | Toast Inc. Class A | 5,576,440 | 138,965 | |||
* | Guidewire Software Inc. | 1,183,152 | 138,086 | |||
* | AppLovin Corp. Class A | 1,941,884 | 134,417 | |||
* | Onto Innovation Inc. | 708,765 | 128,343 | |||
* | UiPath Inc. Class A | 5,587,985 | 126,680 | |||
* | Elastic NV | 1,110,933 | 111,360 | |||
* | Procore Technologies Inc. | 1,346,882 | 110,673 | |||
Universal Display Corp. | 649,813 | 109,461 | ||||
* | Fabrinet | 524,322 | 99,107 | |||
* | SPS Commerce Inc. | 533,922 | 98,722 | |||
* | Rambus Inc. | 1,552,486 | 95,959 | |||
* | Samsara Inc. Class A | 2,454,160 | 92,743 | |||
* | Novanta Inc. | 517,119 | 90,377 | |||
* | Dropbox Inc. Class A | 3,612,547 | 87,785 | |||
* | Qualys Inc. | 507,260 | 84,646 | |||
* | Confluent Inc. Class A | 2,772,000 | 84,601 |
Shares | Market Value ($000) | |||||
* | SentinelOne Inc. Class A | 3,591,140 | 83,709 | |||
* | Tenable Holdings Inc. | 1,691,680 | 83,620 | |||
* | MACOM Technology Solutions Holdings Inc. | 832,332 | 79,604 | |||
* | ZoomInfo Technologies Inc. Class A | 4,935,354 | 79,114 | |||
* | Aspen Technology Inc. | 367,246 | 78,326 | |||
* | Gitlab Inc. Class A | 1,324,521 | 77,246 | |||
* | Twilio Inc. Class A | 1,241,496 | 75,917 | |||
* | Smartsheet Inc. Class A | 1,869,569 | 71,978 | |||
Dolby Laboratories Inc. Class A | 859,059 | 71,963 | ||||
* | Varonis Systems Inc. Class B | 1,496,755 | 70,602 | |||
Paycom Software Inc. | 353,048 | 70,260 | ||||
* | Appfolio Inc. Class A | 282,689 | 69,751 | |||
* | Altair Engineering Inc. Class A | 805,518 | 69,395 | |||
* | DoubleVerify Holdings Inc. | 1,963,755 | 69,046 | |||
* | Coherent Corp. | 1,096,135 | 66,448 | |||
* | Silicon Laboratories Inc. | 460,727 | 66,216 | |||
* | Five9 Inc. | 1,058,852 | 65,765 | |||
* | CommVault Systems Inc. | 630,506 | 63,952 | |||
* | Workiva Inc. Class A | 698,161 | 59,204 | |||
Power Integrations Inc. | 821,463 | 58,776 | ||||
* | Box Inc. Class A | 1,969,868 | 55,787 | |||
Advanced Energy Industries Inc. | 538,988 | 54,966 | ||||
* | Freshworks Inc. Class A | 2,991,806 | 54,481 | |||
* | JFrog Ltd. | 1,227,791 | 54,293 | |||
* | Axcelis Technologies Inc. | 471,986 | 52,636 | |||
* | BlackLine Inc. | 796,298 | 51,425 | |||
* | FormFactor Inc. | 1,124,097 | 51,293 | |||
* | Unity Software Inc. | 1,920,938 | 51,289 | |||
* | Wolfspeed Inc. | 1,716,616 | 50,640 | |||
* | Alarm.com Holdings Inc. | 685,190 | 49,656 | |||
* | Diodes Inc. | 630,232 | 44,431 | |||
* | HashiCorp Inc. Class A | 1,609,090 | 43,365 | |||
* | Q2 Holdings Inc. | 810,395 | 42,594 | |||
* | Credo Technology Group Holding Ltd. | 1,975,560 | 41,862 | |||
* | Rapid7 Inc. | 842,962 | 41,339 | |||
* | Envestnet Inc. | 710,358 | 41,137 | |||
* | Impinj Inc. | 314,203 | 40,347 | |||
* | Sprout Social Inc. Class A | 675,512 | 40,335 | |||
Pegasystems Inc. | 605,811 | 39,160 | ||||
* | Yelp Inc. Class A | 939,411 | 37,013 | |||
* | nCino Inc. | 980,232 | 36,641 | |||
* | Braze Inc. Class A | 792,257 | 35,097 | |||
* | Rogers Corp. | 268,605 | 31,881 | |||
* | LiveRamp Holdings Inc. | 907,935 | 31,324 | |||
* | Cargurus Inc. Class A | 1,320,790 | 30,484 | |||
* | Squarespace Inc. Class A | 827,180 | 30,142 | |||
* | Allegro MicroSystems Inc. | 1,115,040 | 30,061 | |||
* | DigitalOcean Holdings Inc. | 786,551 | 30,031 | |||
*,1 | C3.ai Inc. Class A | 1,102,270 | 29,838 | |||
* | Blackbaud Inc. | 386,133 | 28,628 | |||
* | Veeco Instruments Inc. | 813,841 | 28,623 | |||
* | Perficient Inc. | 502,144 | 28,266 | |||
* | Ambarella Inc. | 552,129 | 28,032 | |||
Clear Secure Inc. Class A | 1,299,027 | 27,630 | ||||
* | PagerDuty Inc. | 1,194,358 | 27,088 | |||
* | Vertex Inc. Class A | 791,528 | 25,139 | |||
* | Schrodinger Inc. | 907,865 | 24,512 | |||
*,1 | IonQ Inc. | 2,364,849 | 23,625 |
Shares | Market Value ($000) | |||||
* | Appian Corp. Class A | 579,068 | 23,134 | |||
* | SiTime Corp. | 245,763 | 22,912 | |||
* | Fastly Inc. Class A | 1,743,992 | 22,620 | |||
* | Paycor HCM Inc. | 1,156,932 | 22,491 | |||
* | PROS Holdings Inc. | 607,421 | 22,068 | |||
* | Upwork Inc. | 1,785,578 | 21,891 | |||
* | Intapp Inc. | 626,096 | 21,475 | |||
* | Everbridge Inc. | 596,676 | 20,782 | |||
* | Magnite Inc. | 1,891,176 | 20,330 | |||
* | Sprinklr Inc. Class A | 1,641,055 | 20,136 | |||
* | Jamf Holding Corp. | 999,180 | 18,335 | |||
* | IPG Photonics Corp. | 200,436 | 18,178 | |||
* | Zuora Inc. Class A | 1,949,384 | 17,778 | |||
* | Asana Inc. Class A | 1,088,404 | 16,859 | |||
Shutterstock Inc. | 359,598 | 16,473 | ||||
* | AvePoint Inc. | 1,989,253 | 15,755 | |||
* | PubMatic Inc. Class A | 600,805 | 14,251 | |||
* | Alkami Technology Inc. | 550,900 | 13,536 | |||
* | Semtech Corp. | 464,149 | 12,759 | |||
*,1 | Astera Labs Inc. | 165,110 | 12,249 | |||
* | Zeta Global Holdings Corp. Class A | 1,002,256 | 10,955 | |||
* | Amplitude Inc. Class A | 992,605 | 10,800 | |||
* | Xometry Inc. Class A | 589,983 | 9,965 | |||
* | MaxLinear Inc. Class A | 532,382 | 9,940 | |||
* | Vimeo Inc. | 2,176,610 | 8,902 | |||
* | NerdWallet Inc. Class A | 588,889 | 8,657 | |||
* | Yext Inc. | 1,433,433 | 8,644 | |||
* | nLight Inc. | 640,527 | 8,327 | |||
* | 3D Systems Corp. | 1,830,606 | 8,128 | |||
* | Olo Inc. Class A | 1,468,171 | 8,060 | |||
* | Reddit Inc. Class A | 159,821 | 7,882 | |||
* | Planet Labs PBC | 2,886,330 | 7,360 | |||
* | CEVA Inc. | 323,257 | 7,341 | |||
*,1 | Rumble Inc. | 895,328 | 7,234 | |||
* | SmartRent Inc. Class A | 2,493,758 | 6,683 | |||
* | BigCommerce Holdings Inc. | 937,989 | 6,463 | |||
* | Eventbrite Inc. Class A | 1,165,612 | 6,388 | |||
* | MeridianLink Inc. | 339,653 | 6,352 | |||
* | N-able Inc. | 462,672 | 6,047 | |||
* | MediaAlpha Inc. Class A | 290,964 | 5,927 | |||
* | SEMrush Holdings Inc. Class A | 432,656 | 5,737 | |||
* | Definitive Healthcare Corp. Class A | 672,016 | 5,423 | |||
* | Nextdoor Holdings Inc. | 2,235,481 | 5,030 | |||
* | Matterport Inc. | 1,876,308 | 4,240 | |||
* | Enfusion Inc. Class A | 382,762 | 3,541 | |||
*,1 | Getty Images Holdings Inc. | 727,355 | 3,019 | |||
* | EverCommerce Inc. | 271,467 | 2,557 | |||
* | SecureWorks Corp. Class A | 106,722 | 717 | |||
7,981,946 | ||||||
Telecommunications (1.5%) | ||||||
* | Roku Inc. Class A | 1,821,451 | 118,704 | |||
* | Ciena Corp. | 2,094,149 | 103,556 | |||
* | Liberty Broadband Corp. Class C | 842,915 | 48,240 | |||
Iridium Communications Inc. | 1,591,438 | 41,632 | ||||
Cogent Communications Holdings Inc. | 631,937 | 41,284 | ||||
Cable One Inc. | 64,889 | 27,456 | ||||
* | Calix Inc. | 808,480 | 26,809 | |||
* | Lumentum Holdings Inc. | 486,621 | 23,041 |
Shares | Market Value ($000) | |||||
InterDigital Inc. | 184,023 | 19,591 | ||||
*,1 | Infinera Corp. | 2,785,393 | 16,796 | |||
* | Globalstar Inc. | 10,975,225 | 16,134 | |||
Shenandoah Telecommunications Co. | 689,739 | 11,981 | ||||
* | Extreme Networks Inc. | 882,995 | 10,190 | |||
* | Liberty Broadband Corp. Class A | 118,081 | 6,745 | |||
* | Gogo Inc. | 465,146 | 4,084 | |||
* | fuboTV Inc. | 2,008,672 | 3,174 | |||
519,417 | ||||||
Utilities (1.5%) | ||||||
Vistra Corp. | 2,581,638 | 179,811 | ||||
* | Clean Harbors Inc. | 701,079 | 141,134 | |||
* | Casella Waste Systems Inc. Class A | 823,187 | 81,388 | |||
Ormat Technologies Inc. | 741,140 | 49,056 | ||||
* | Sunrun Inc. | 3,012,379 | 39,703 | |||
California Water Service Group | 833,017 | 38,719 | ||||
*,1 | Sunnova Energy International Inc. | 1,502,618 | 9,211 | |||
* | Net Power Inc. | 179,260 | 2,042 | |||
541,064 | ||||||
Total Common Stocks (Cost $27,140,713) | 35,458,131 | |||||
Coupon | ||||||
Temporary Cash Investments (2.4%) | ||||||
Money Market Fund (2.4%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $873,516) | 5.407% | 8,737,882 | 873,613 | ||
Total Investments (102.1%) (Cost $28,014,229) | 36,331,744 | |||||
Other Assets and Liabilities—Net (-2.1%) | (754,265) | |||||
Net Assets (100%) | 35,577,479 |
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 $693,024,000. |
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 $787,516,000 was received for securities on loan, of which $785,454,000 is held in Vanguard Market Liquidity Fund and $2,062,000 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 | June 2024 | 414 | 44,420 | 1,102 |
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) |
C3.ai Inc. Class A | 1/31/25 | CITNA | 15,158 | (5.329) | — | (4,120) |
Elastic NV | 8/30/24 | BANA | 5,352 | (5.328) | — | (1,364) |
MicroStrategy Inc. Class A | 1/31/25 | CITNA | 21,991 | (5.329) | 14,569 | — |
Middleby Corp. | 8/30/24 | BANA | 4,260 | (5.328) | 225 | — |
Novocure Ltd. | 8/30/24 | BANA | 2,756 | (5.328) | 47 | — |
Watsco Inc. | 8/30/24 | BANA | 7,882 | (5.328) | 725 | — |
Watsco Inc. | 8/30/24 | BANA | 7,882 | (5.328) | 725 | — |
Wolfspeed Inc. | 8/30/24 | BANA | 2,602 | (5.328) | 338 | — |
16,629 | (5,484) |
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. | |
CITNA—Citibank, N.A. |
At March 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $15,462,000 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 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 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 March 31, 2024, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 35,458,131 | — | — | 35,458,131 |
Temporary Cash Investments | 873,613 | — | — | 873,613 |
Total | 36,331,744 | — | — | 36,331,744 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,102 | — | — | 1,102 |
Swap Contracts | — | 16,629 | — | 16,629 |
Total | 1,102 | 16,629 | — | 17,731 |
Liabilities | ||||
Swap Contracts | — | 5,484 | — | 5,484 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |