UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07043
Name of Registrant: | Vanguard Admiral Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2021—February 28, 2022
Item 1: Reports to Shareholders
Vanguard Cash Reserves Federal Money Market Fund |
Vanguard Federal Money Market Fund |
Vanguard Treasury Money Market Fund |
About Your Fund’s Expenses | 1 |
Cash Reserves Federal Money Market Fund | 3 |
Federal Money Market Fund | 19 |
Treasury Money Market Fund | 33 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2022 | |||
Beginning Account Value 8/31/2021 | Ending Account Value 2/28/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,000.10 | $0.30 |
Federal Money Market Fund | $1,000.00 | $1,000.00 | $0.35 |
Treasury Money Market Fund | $1,000.00 | $1,000.10 | $0.30 |
Based on Hypothetical 5% Yearly Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,024.50 | $0.30 |
Federal Money Market Fund | $1,000.00 | $1,024.45 | $0.35 |
Treasury Money Market Fund | $1,000.00 | $1,024.50 | $0.30 |
1 - 7 Days | 50.5% |
8 - 30 Days | 4.3 |
31 - 60 Days | 17.1 |
61 - 90 Days | 13.6 |
91 - 180 Days | 13.4 |
Over 180 Days | 1.1 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (68.5%) | |||||
2 | Fannie Mae Discount Notes | 0.051%–0.056% | 3/2/22 | 33,562 | 33,562 |
3 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 0.060% | 3/1/22 | 64,000 | 63,983 |
3 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 0.080% | 3/1/22 | 17,000 | 17,000 |
3 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 0.110% | 3/1/22 | 71,000 | 70,987 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.000% | 0.050% | 3/1/22 | 78,000 | 78,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 125,000 | 124,998 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 117,000 | 116,990 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 115,000 | 115,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 74,500 | 74,493 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 0.058% | 3/1/22 | 66,000 | 65,987 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 0.058% | 3/1/22 | 53,000 | 52,995 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.010% | 0.060% | 3/1/22 | 88,000 | 87,994 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 0.063% | 3/1/22 | 63,000 | 62,984 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 136,000 | 135,994 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 100,000 | 99,998 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 35,000 | 35,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 24,000 | 24,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 0.080% | 3/1/22 | 127,000 | 126,998 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 0.085% | 3/1/22 | 247,000 | 247,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 80,000 | 79,990 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 38,000 | 38,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 31,000 | 31,004 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 0.095% | 3/1/22 | 57,000 | 57,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 111,000 | 111,005 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 91,000 | 91,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 69,125 | 69,131 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 15,000 | 15,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.105% | 3/1/22 | 351,000 | 350,995 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.105% | 3/1/22 | 175,000 | 175,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.105% | 3/1/22 | 65,000 | 65,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 225,000 | 224,994 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 158,000 | 157,999 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 80,000 | 80,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 60,000 | 60,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 45,000 | 45,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.120% | 3/1/22 | 246,000 | 245,999 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.120% | 3/1/22 | 11,000 | 11,002 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.130% | 3/1/22 | 122,000 | 122,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.130% | 3/1/22 | 98,000 | 98,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 0.140% | 3/1/22 | 117,000 | 117,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.310% | 0.360% | 3/1/22 | 37,000 | 37,073 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.040% | 0.400% | 3/1/22 | 61,000 | 60,998 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.050% | 0.410% | 3/1/22 | 8,000 | 8,001 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.065% | 0.425% | 3/1/22 | 148,000 | 147,999 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.065% | 0.425% | 3/1/22 | 91,000 | 90,998 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 0.430% | 3/1/22 | 123,000 | 122,997 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 0.450% | 3/1/22 | 41,000 | 40,999 |
Federal Home Loan Banks | 0.050% | 3/1/22 | 1,000,000 | 1,000,000 | |
Federal Home Loan Banks | 0.050% | 3/2/22 | 86,000 | 86,000 | |
Federal Home Loan Banks | 0.050% | 3/7/22 | 86,000 | 86,000 | |
Federal Home Loan Banks | 0.055% | 3/11/22 | 79,000 | 79,000 | |
Federal Home Loan Banks | 2.500% | 3/11/22 | 36,570 | 36,595 | |
Federal Home Loan Banks | 2.250% | 3/11/22 | 27,935 | 27,952 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks | 0.045% | 3/17/22 | 124,000 | 123,999 | |
Federal Home Loan Banks | 0.050% | 3/18/22 | 1,250,000 | 1,249,997 | |
Federal Home Loan Banks | 0.045% | 3/21/22 | 160,000 | 159,999 | |
Federal Home Loan Banks | 0.055% | 3/22/22 | 79,000 | 79,000 | |
Federal Home Loan Banks | 0.050% | 3/23/22 | 500,000 | 499,999 | |
Federal Home Loan Banks | 0.050% | 3/23/22 | 250,000 | 250,000 | |
Federal Home Loan Banks | 0.050% | 3/25/22 | 212,500 | 212,499 | |
Federal Home Loan Banks | 0.050% | 3/29/22 | 50,000 | 50,000 | |
Federal Home Loan Banks | 0.050% | 4/1/22 | 1,300,000 | 1,299,994 | |
Federal Home Loan Banks | 0.061% | 4/4/22 | 500,000 | 499,995 | |
Federal Home Loan Banks | 0.040% | 4/4/22 | 153,000 | 152,997 | |
Federal Home Loan Banks | 0.050% | 4/6/22 | 176,000 | 175,999 | |
Federal Home Loan Banks | 0.050% | 4/7/22 | 81,000 | 81,000 | |
Federal Home Loan Banks | 0.050% | 4/8/22 | 160,000 | 159,999 | |
Federal Home Loan Banks | 0.050% | 4/13/22 | 500,000 | 499,996 | |
Federal Home Loan Banks | 0.065% | 4/14/22 | 230,000 | 230,000 | |
Federal Home Loan Banks | 0.050% | 4/21/22 | 166,000 | 165,998 | |
Federal Home Loan Banks | 0.050% | 4/21/22 | 161,000 | 160,999 | |
Federal Home Loan Banks | 0.095% | 4/22/22 | 700,000 | 699,995 | |
Federal Home Loan Banks | 0.080% | 4/22/22 | 500,000 | 499,986 | |
Federal Home Loan Banks | 0.060% | 4/28/22 | 500,000 | 499,996 | |
Federal Home Loan Banks | 0.095% | 4/29/22 | 500,000 | 499,995 | |
Federal Home Loan Banks | 0.080% | 4/29/22 | 500,000 | 499,984 | |
Federal Home Loan Banks | 0.050% | 5/6/22 | 500,000 | 499,995 | |
Federal Home Loan Banks | 0.120% | 5/20/22 | 865,240 | 865,196 | |
Federal Home Loan Banks | 0.120% | 6/1/22 | 300,000 | 299,984 | |
Federal Home Loan Banks | 0.120% | 6/6/22 | 300,000 | 299,979 | |
Federal Home Loan Banks Discount Notes | 0.051% | 3/2/22 | 107,572 | 107,572 | |
Federal Home Loan Banks Discount Notes | 0.051% | 3/7/22 | 76,000 | 75,999 | |
Federal Home Loan Banks Discount Notes | 0.051%–0.056% | 3/8/22 | 19,838 | 19,838 | |
Federal Home Loan Banks Discount Notes | 0.051%–0.056% | 3/10/22 | 154,975 | 154,973 | |
Federal Home Loan Banks Discount Notes | 0.052%–0.056% | 3/11/22 | 52,864 | 52,863 | |
Federal Home Loan Banks Discount Notes | 0.056% | 3/16/22 | 5,486 | 5,486 | |
Federal Home Loan Banks Discount Notes | 0.061% | 3/18/22 | 294,730 | 294,722 | |
Federal Home Loan Banks Discount Notes | 0.063% | 3/25/22 | 100,000 | 99,996 | |
Federal Home Loan Banks Discount Notes | 0.091% | 4/4/22 | 250,000 | 249,979 | |
Federal Home Loan Banks Discount Notes | 0.056%–0.142% | 4/6/22 | 453,552 | 453,499 | |
Federal Home Loan Banks Discount Notes | 0.056%–0.239% | 4/8/22 | 155,000 | 154,967 | |
Federal Home Loan Banks Discount Notes | 0.150% | 4/14/22 | 500,000 | 499,908 | |
Federal Home Loan Banks Discount Notes | 0.183% | 4/19/22 | 231,000 | 230,937 | |
Federal Home Loan Banks Discount Notes | 0.236% | 4/26/22 | 310,000 | 309,884 | |
Federal Home Loan Banks Discount Notes | 0.076% | 5/6/22 | 940,000 | 939,862 | |
Federal Home Loan Banks Discount Notes | 0.133% | 5/13/22 | 500,000 | 499,858 | |
Federal Home Loan Banks Discount Notes | 0.177% | 5/17/22 | 50,000 | 49,981 | |
Federal Home Loan Banks Discount Notes | 0.184% | 5/20/22 | 600,000 | 599,733 | |
Federal Home Loan Banks Discount Notes | 0.211% | 5/27/22 | 800,000 | 799,594 | |
Federal Home Loan Banks Discount Notes | 0.129% | 6/15/22 | 120,000 | 119,955 | |
Federal Home Loan Banks Discount Notes | 0.158% | 6/22/22 | 850,000 | 849,581 | |
3 | Federal Home Loan Banks, SOFR + 0.000% | 0.050% | 3/1/22 | 198,000 | 198,000 |
3 | Federal Home Loan Banks, SOFR + 0.000% | 0.050% | 5/24/22 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 464,000 | 464,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 330,000 | 330,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 155,000 | 155,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 155,000 | 155,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 155,000 | 155,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 132,000 | 132,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 79,000 | 79,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 7/25/22 | 84,000 | 84,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 7/28/22 | 155,000 | 155,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 8/1/22 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 8/4/22 | 93,000 | 93,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 8/30/22 | 500,000 | 500,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.550% | 8/30/22 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 3/1/22 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 3/1/22 | 210,000 | 210,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 3/1/22 | 112,000 | 112,001 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 7/21/22 | 223,000 | 223,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 7/26/22 | 150,000 | 150,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 160,000 | 160,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 88,000 | 88,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 44,000 | 44,000 |
3 | Federal Home Loan Banks, SOFR + 0.035% | 0.085% | 3/1/22 | 68,000 | 67,992 |
3 | Federal Home Loan Banks, SOFR + 0.080% | 0.130% | 3/1/22 | 569,000 | 569,000 |
3 | Federal Home Loan Banks, SOFR + 0.085% | 0.135% | 3/1/22 | 10,000 | 10,000 |
3 | Federal Home Loan Banks, SOFR + 0.090% | 0.140% | 3/1/22 | 8,000 | 8,003 |
3 | Federal Home Loan Banks, SOFR + 0.140% | 0.190% | 3/1/22 | 143,000 | 143,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.145% | 3/1/22 | 350,000 | 350,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.145% | 3/1/22 | 178,000 | 178,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.100% | 0.150% | 3/1/22 | 350,000 | 350,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.150% | 0.200% | 3/1/22 | 71,500 | 71,500 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.180% | 0.230% | 3/1/22 | 429,000 | 429,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.240% | 3/1/22 | 870,000 | 870,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.240% | 3/1/22 | 19,251 | 19,260 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.200% | 0.250% | 3/1/22 | 53,000 | 53,000 |
2,3 | Federal National Mortgage Assn., SOFR + 0.110% | 0.160% | 3/1/22 | 23,000 | 23,000 |
2,3 | Federal National Mortgage Assn., SOFR + 0.120% | 0.170% | 3/1/22 | 73,000 | 73,000 |
2,3 | Federal National Mortgage Assn., SOFR + 0.170% | 0.220% | 3/1/22 | 105,250 | 105,254 |
2,3 | Federal National Mortgage Assn., SOFR + 0.180% | 0.230% | 3/1/22 | 382,000 | 382,019 |
2,3 | Federal National Mortgage Assn., SOFR + 0.190% | 0.240% | 3/1/22 | 204,000 | 204,009 |
2,3 | Federal National Mortgage Assn., SOFR + 0.220% | 0.270% | 3/1/22 | 194,000 | 194,078 |
2,3 | Federal National Mortgage Assn., SOFR + 0.220% | 0.270% | 3/1/22 | 114,000 | 114,010 |
2,3 | Federal National Mortgage Assn., SOFR + 0.270% | 0.320% | 3/1/22 | 71,000 | 71,033 |
2,3 | Federal National Mortgage Assn., SOFR + 0.320% | 0.370% | 3/1/22 | 106,000 | 106,052 |
2,3 | Federal National Mortgage Assn., SOFR + 0.350% | 0.400% | 3/1/22 | 8,000 | 8,003 |
2,3 | Federal National Mortgage Assn., SOFR + 0.390% | 0.440% | 3/1/22 | 137,000 | 137,065 |
2 | Freddie Mac Discount Notes | 0.161%–0.176% | 5/10/22 | 700,000 | 699,773 |
United States Cash Management Bill | 0.193% | 5/17/22 | 750,000 | 749,679 | |
United States Cash Management Bill | 0.266% | 5/24/22 | 1,000,000 | 999,358 | |
United States Treasury Bill | 0.013%–0.058% | 3/1/22 | 25,540 | 25,540 | |
United States Treasury Bill | 0.079% | 3/22/22 | 315,000 | 314,984 | |
United States Treasury Bill | 0.130% | 3/29/22 | 96,000 | 95,994 | |
United States Treasury Bill | 0.072% | 4/5/22 | 469,000 | 468,966 | |
United States Treasury Bill | 0.055% | 4/7/22 | 257,400 | 257,384 | |
United States Treasury Bill | 0.087% | 4/12/22 | 899,430 | 899,336 | |
United States Treasury Bill | 0.055% | 4/14/22 | 931,300 | 931,237 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
United States Treasury Bill | 0.233% | 4/19/22 | 630,000 | 629,923 | |
United States Treasury Bill | 0.06%–0.169% | 4/21/22 | 2,023,900 | 2,023,572 | |
United States Treasury Bill | 0.186% | 4/26/22 | 755,350 | 755,221 | |
United States Treasury Bill | 0.187% | 4/28/22 | 1,800,000 | 1,799,449 | |
United States Treasury Bill | 0.065% | 5/5/22 | 1,034,075 | 1,033,954 | |
United States Treasury Bill | 0.064% | 5/12/22 | 272,300 | 272,265 | |
United States Treasury Bill | 0.065% | 5/19/22 | 2,000,000 | 1,999,715 | |
United States Treasury Bill | 0.069% | 5/26/22 | 2,000,000 | 1,999,666 | |
United States Treasury Bill | 0.09%–0.354% | 6/2/22 | 2,000,000 | 1,999,027 | |
United States Treasury Bill | 0.126%–0.143% | 6/9/22 | 1,913,000 | 1,912,278 | |
United States Treasury Bill | 0.130% | 6/16/22 | 1,000,000 | 999,614 | |
United States Treasury Bill | 0.160% | 6/23/22 | 500,000 | 499,747 | |
United States Treasury Bill | 0.210% | 6/30/22 | 1,000,000 | 999,294 | |
United States Treasury Bill | 0.220% | 7/7/22 | 1,500,000 | 1,498,827 | |
United States Treasury Bill | 0.367% | 7/21/22 | 500,000 | 499,280 | |
United States Treasury Bill | 0.380% | 7/28/22 | 450,000 | 449,292 | |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 0.394% | 3/1/22 | 537,000 | 537,009 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 0.409% | 3/1/22 | 1,306,000 | 1,306,098 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 1,430,000 | 1,430,046 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 234,000 | 234,054 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.114% | 0.474% | 3/1/22 | 37,000 | 37,007 |
United States Treasury Note/Bond | 0.125% | 4/30/22 | 27,000 | 27,001 | |
United States Treasury Note/Bond | 1.875% | 4/30/22 | 21,000 | 21,062 | |
United States Treasury Note/Bond | 0.125% | 6/30/22 | 81,000 | 80,990 | |
United States Treasury Note/Bond | 1.750% | 7/15/22 | 64,000 | 64,381 | |
United States Treasury Note/Bond | 0.125% | 7/31/22 | 236,000 | 235,955 | |
United States Treasury Note/Bond | 1.875% | 7/31/22 | 99,000 | 99,705 | |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 78,000 | 78,596 | |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 129,000 | 129,851 | |
United States Treasury Note/Bond | 1.500% | 8/15/22 | 40,000 | 40,241 | |
Total U.S. Government and Agency Obligations (Cost $62,149,111) | 62,149,111 | ||||
Repurchase Agreements (33.3%) | |||||
BNP Paribas (Dated 2/28/22, Repurchase Value $173,000,000, collateralized by U.S. Treasury Bill 0.000%, 6/21/22, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.000%, 1/15/26–2/15/46, and U.S. Treasury Note/Bond 1.250%–7.125%, 10/15/22–11/15/51, with a value of $176,460,000) | 0.050% | 3/1/22 | 173,000 | 173,000 | |
Canadian Imperial Bank of Commerce (Dated 2/11/22, Repurchase Value $153,007,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.375%, 7/15/22–2/15/50, and U.S. Treasury Note/Bond 0.875%–3.125%, 8/15/28–5/15/48, with a value of $156,060,000) | 0.055% | 3/11/22 | 153,000 | 153,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Canadian Imperial Bank of Commerce (Dated 2/14/22, Repurchase Value $64,003,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 1/15/25–2/15/45, and U.S. Treasury Note/Bond 1.125%–3.125%, 2/15/23–11/15/50, with a value of $65,280,000) | 0.055% | 3/14/22 | 64,000 | 64,000 | |
Credit Agricole Securities (USA) Inc. (Dated 2/28/22, Repurchase Value $150,000,000, collateralized by U.S. Treasury Note/Bond 2.000%–2.250%, 11/15/41–8/15/49, with a value of $153,000,000) | 0.050% | 3/1/22 | 150,000 | 150,000 | |
Federal Reserve Bank of New York (Dated 2/28/22, Repurchase Value $27,620,038,000, collateralized by U.S. Treasury Note/Bond 0.250%–2.875%, 5/15/24–11/15/49, with a value of $27,620,038,000) | 0.050% | 3/1/22 | 27,620,000 | 27,620,000 | |
Fixed Income Clearing Corp. (Dated 2/28/22, Repurchase Value $62,000,000, collateralized by U.S. Treasury Note/Bond 2.750%, 11/15/47, with a value of $63,240,000) | 0.055% | 3/1/22 | 62,000 | 62,000 | |
Goldman Sachs & Co. (Dated 2/28/22, Repurchase Value $231,000,000, collateralized by U.S. Treasury Note/Bond 2.875%, 5/31/25, with a value of $235,620,000) | 0.050% | 3/1/22 | 231,000 | 231,000 | |
JP Morgan Securities LLC (Dated 2/28/22, Repurchase Value $115,000,000, collateralized by U.S. Treasury Bill 0.000%, 3/3/22–1/26/23, with a value of $117,300,000) | 0.050% | 3/1/22 | 115,000 | 115,000 | |
Societe Generale (Dated 2/28/22, Repurchase Value $115,000,000, collateralized by U.S. Treasury Bill 0.000%, 5/19/22, U.S. Treasury Inflation Indexed Note/Bond 3.625%, 4/15/28, and U.S. Treasury Note/Bond 0.500%–7.625%, 8/15/22–11/15/50, with a value of $117,300,000) | 0.050% | 3/1/22 | 115,000 | 115,000 | |
Standard Chartered Bank (Dated 2/28/22, Repurchase Value $248,000,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 1/15/27–2/15/51, and U.S. Treasury Note/Bond 0.125%–4.375%, 8/15/23–5/15/51, with a value of $252,960,000) | 0.055% | 3/1/22 | 248,000 | 248,000 | |
Sumitomo Mitsui Banking Corp. (Dated 2/28/22, Repurchase Value $1,165,002,000, collateralized by U.S. Treasury Bill 0.000%, 6/2/22–8/11/22, and U.S. Treasury Note/Bond 0.500%–3.625%, 7/31/22–5/15/50, with a value of $1,188,300,000) | 0.055% | 3/1/22 | 1,165,000 | 1,165,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
TD Securities (USA) LLC (Dated 2/28/22, Repurchase Value $58,000,000, collateralized by U.S. Treasury Note/Bond 2.750%, 11/15/23, with a value of $59,160,000) | 0.050% | 3/1/22 | 58,000 | 58,000 | |
Total Repurchase Agreements (Cost $30,154,000) | 30,154,000 | ||||
Total Investments (101.8%) (Cost $92,303,111) | 92,303,111 | ||||
Other Assets and Liabilities—Net (-1.8%) | (1,623,204) | ||||
Net Assets (100%) | 90,679,907 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3M—3-month. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $62,149,111) | 62,149,111 |
Repurchase Agreements (Cost $30,154,000) | 30,154,000 |
Total Investments in Securities | 92,303,111 |
Investment in Vanguard | 3,055 |
Cash | 30,157 |
Receivables for Investment Securities Sold | 119,997 |
Receivables for Accrued Income | 6,587 |
Receivables for Capital Shares Issued | 142,237 |
Total Assets | 92,605,144 |
Liabilities | |
Payables for Investment Securities Purchased | 1,749,318 |
Payables for Capital Shares Redeemed | 172,837 |
Payables for Distributions | 49 |
Payables to Vanguard | 3,033 |
Total Liabilities | 1,925,237 |
Net Assets | 90,679,907 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 90,679,780 |
Total Distributable Earnings (Loss) | 127 |
Net Assets | 90,679,907 |
Admiral Shares—Net Assets | |
Applicable to 90,666,496,939 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 90,679,907 |
Net Asset Value Per Share—Admiral Shares | $1.00 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 33,838 |
Total Income | 33,838 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 876 |
Management and Administrative—Admiral Shares | 41,517 |
Marketing and Distribution—Admiral Shares | 2,790 |
Custodian Fees | 160 |
Shareholders’ Reports—Admiral Shares | 385 |
Trustees’ Fees and Expenses | 23 |
Other Expenses | 7 |
Total Expenses | 45,758 |
Expense Reduction—Note B | (16,563) |
Net Expenses | 29,195 |
Net Investment Income | 4,643 |
Realized Net Gain (Loss) on Investment Securities Sold | 116 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,759 |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 4,643 | 14,551 | |
Realized Net Gain (Loss) | 116 | 106 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,759 | 14,657 | |
Distributions | |||
Investor Shares | — | (5,977) | |
Admiral Shares | (13,121) | (8,575) | |
Total Distributions | (13,121) | (14,552) | |
Capital Share Transactions (at $1.00 per share) | |||
Investor Shares | — | (97,672,378) | |
Admiral Shares | (4,195,162) | 69,160,933 | |
Net Increase (Decrease) from Capital Share Transactions | (4,195,162) | (28,511,445) | |
Total Increase (Decrease) | (4,203,524) | (28,511,340) | |
Net Assets | |||
Beginning of Period | 94,883,431 | 123,394,771 | |
End of Period | 90,679,907 | 94,883,431 |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0001 | .0002 | .012 | .024 | .016 | .009 |
Net Realized and Unrealized Gain (Loss) on Investments | .0001 | — | — | — | — | — |
Total from Investment Operations | .0002 | .0002 | .012 | .024 | .016 | .009 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.012) | (.024) | (.016) | (.009) |
Distributions from Realized Capital Gains | (.0001) | — | — | — | — | — |
Total Distributions | (.0002) | (.0002) | (.012) | (.024) | (.016) | (.009) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 0.02% | 1.21% | 2.42% | 1.66% | 0.89% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $90,680 | $94,883 | $25,704 | $18,923 | $16,118 | $11,997 |
Ratio of Total Expenses to Average Net Assets3 | 0.06% | 0.07% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.01% | 0.02% | 1.20% | 2.39% | 1.65% | 0.88% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.10% for the six months ended February 28, 2022 and 0.10% for the year ended August 31, 2021. For the years ended August 31, 2020, 2019, 2018, and 2017, there were no expense reductions. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. 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. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 92,303,111 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | — | — | 14,263,647 | 14,263,646 | |
Issued in Lieu of Cash Distributions | — | — | 5,196 | 5,196 | |
Redeemed1 | — | — | (111,941,221) | (111,941,221) | |
Net Increase (Decrease)—Investor Shares | — | — | (97,672,378) | (97,672,379) | |
Admiral Shares | |||||
Issued1 | 15,355,798 | 15,355,798 | 102,633,298 | 102,633,299 | |
Issued in Lieu of Cash Distributions | 12,299 | 12,299 | 7,874 | 7,873 | |
Redeemed | (19,563,259) | (19,563,259) | (33,480,239) | (33,480,239) | |
Net Increase (Decrease)—Admiral Shares | (4,195,162) | (4,195,162) | 69,160,933 | 69,160,933 |
1 | In August 2020, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, the outstanding Investor Shares have been converted to Admiral Shares. Investor Shares—Redeemed and Admiral Shares—Issued include $71,911,258,000 and 71,911,258,000 shares from the conversion during the year ended August 31, 2021. |
F. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
1 - 7 Days | 59.5% |
8 - 30 Days | 2.6 |
31 - 60 Days | 15.0 |
61 - 90 Days | 9.1 |
91 - 180 Days | 13.4 |
Over 180 Days | 0.4 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (56.7%) | |||||
2 | Fannie Mae Discount Notes | 0.051%–0.056% | 3/2/22 | 83,000 | 83,000 |
3 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 0.060% | 3/1/22 | 135,000 | 134,964 |
3 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 0.080% | 3/1/22 | 33,000 | 33,000 |
3 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 0.110% | 3/1/22 | 154,000 | 153,973 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.000% | 0.050% | 3/1/22 | 172,000 | 171,999 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 250,000 | 249,997 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 248,000 | 247,978 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 235,000 | 235,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 0.055% | 3/1/22 | 158,000 | 157,986 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 0.058% | 3/1/22 | 140,800 | 140,772 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 0.058% | 3/1/22 | 112,000 | 111,990 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.010% | 0.060% | 3/1/22 | 187,000 | 186,987 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 0.063% | 3/1/22 | 140,600 | 140,565 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 289,000 | 288,987 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 212,000 | 211,996 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 64,000 | 64,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.075% | 3/1/22 | 52,050 | 52,049 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 0.080% | 3/1/22 | 239,000 | 238,996 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 0.085% | 3/1/22 | 550,000 | 550,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 170,000 | 169,978 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 84,000 | 84,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.090% | 3/1/22 | 69,000 | 69,008 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 0.095% | 3/1/22 | 127,000 | 127,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 224,000 | 224,011 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 199,000 | 199,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 129,000 | 129,012 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.100% | 3/1/22 | 35,000 | 35,001 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.105% | 3/1/22 | 350,000 | 350,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.105% | 3/1/22 | 146,000 | 146,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 268,000 | 267,998 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 109,000 | 109,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 80,000 | 80,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.110% | 3/1/22 | 45,000 | 45,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.120% | 3/1/22 | 404,000 | 403,999 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.120% | 3/1/22 | 24,000 | 24,005 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.130% | 3/1/22 | 166,000 | 166,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.130% | 3/1/22 | 127,000 | 127,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.085% | 0.135% | 3/1/22 | 85,000 | 85,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 0.140% | 3/1/22 | 193,000 | 193,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.310% | 0.360% | 3/1/22 | 78,000 | 78,154 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.035% | 0.395% | 3/1/22 | 40,000 | 39,999 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.040% | 0.400% | 3/1/22 | 114,000 | 113,997 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.050% | 0.410% | 3/1/22 | 17,000 | 17,003 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.065% | 0.425% | 3/1/22 | 159,000 | 158,996 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 0.430% | 3/1/22 | 194,000 | 193,996 |
3 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 0.450% | 3/1/22 | 58,000 | 57,999 |
Federal Home Loan Banks | 0.050% | 3/2/22 | 214,000 | 214,000 | |
Federal Home Loan Banks | 0.050% | 3/7/22 | 214,000 | 214,000 | |
Federal Home Loan Banks | 0.055% | 3/11/22 | 171,000 | 171,000 | |
Federal Home Loan Banks | 2.250% | 3/11/22 | 59,000 | 59,036 | |
Federal Home Loan Banks | 2.500% | 3/11/22 | 20,000 | 20,014 | |
Federal Home Loan Banks | 0.045% | 3/17/22 | 265,000 | 264,999 | |
Federal Home Loan Banks | 0.045% | 3/21/22 | 340,000 | 339,998 | |
Federal Home Loan Banks | 0.055% | 3/22/22 | 171,000 | 171,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks | 0.050% | 3/24/22 | 250,000 | 249,998 | |
Federal Home Loan Banks | 0.050% | 3/25/22 | 250,000 | 249,998 | |
Federal Home Loan Banks | 0.050% | 3/29/22 | 100,000 | 100,000 | |
Federal Home Loan Banks | 0.040% | 4/4/22 | 326,000 | 325,995 | |
Federal Home Loan Banks | 0.050% | 4/6/22 | 374,000 | 373,998 | |
Federal Home Loan Banks | 0.050% | 4/7/22 | 169,000 | 168,999 | |
Federal Home Loan Banks | 0.050% | 4/8/22 | 340,000 | 339,998 | |
Federal Home Loan Banks | 0.050% | 4/21/22 | 339,000 | 338,997 | |
Federal Home Loan Banks | 0.050% | 4/21/22 | 334,000 | 333,996 | |
Federal Home Loan Banks | 0.060% | 10/25/22 | 900,000 | 900,000 | |
Federal Home Loan Banks Discount Notes | 0.061% | 3/4/22 | 348 | 348 | |
Federal Home Loan Banks Discount Notes | 0.056%–0.061% | 3/7/22 | 1,631 | 1,631 | |
Federal Home Loan Banks Discount Notes | 0.056% | 3/9/22 | 968 | 968 | |
Federal Home Loan Banks Discount Notes | 0.052%–0.056% | 3/11/22 | 119,691 | 119,689 | |
Federal Home Loan Banks Discount Notes | 0.061% | 3/16/22 | 1,098 | 1,098 | |
Federal Home Loan Banks Discount Notes | 0.056% | 4/6/22 | 275,423 | 275,408 | |
Federal Home Loan Banks Discount Notes | 0.056%–0.239% | 4/8/22 | 345,000 | 344,926 | |
Federal Home Loan Banks Discount Notes | 0.183% | 4/19/22 | 519,000 | 518,859 | |
Federal Home Loan Banks Discount Notes | 0.180% | 4/20/22 | 100,000 | 99,975 | |
Federal Home Loan Banks Discount Notes | 0.236%–0.240% | 4/26/22 | 690,000 | 689,742 | |
Federal Home Loan Banks Discount Notes | 0.129% | 6/15/22 | 256,000 | 255,903 | |
3 | Federal Home Loan Banks, SOFR + 0.000% | 0.050% | 3/1/22 | 402,000 | 402,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 1,036,000 | 1,036,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 670,000 | 670,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 345,000 | 345,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 345,000 | 345,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 345,000 | 345,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 268,000 | 268,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 3/1/22 | 161,000 | 161,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 7/25/22 | 186,000 | 186,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 7/28/22 | 345,000 | 345,000 |
3 | Federal Home Loan Banks, SOFR + 0.005% | 0.055% | 8/4/22 | 207,000 | 207,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 3/1/22 | 540,000 | 540,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 3/1/22 | 237,000 | 237,002 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 7/21/22 | 669,000 | 669,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.060% | 7/26/22 | 453,000 | 453,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 340,000 | 340,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 162,000 | 162,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.065% | 3/1/22 | 81,000 | 81,000 |
3 | Federal Home Loan Banks, SOFR + 0.035% | 0.085% | 3/1/22 | 148,000 | 147,982 |
3 | Federal Home Loan Banks, SOFR + 0.080% | 0.130% | 3/1/22 | 970,000 | 970,000 |
3 | Federal Home Loan Banks, SOFR + 0.085% | 0.135% | 3/1/22 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.090% | 0.140% | 3/1/22 | 17,000 | 17,005 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.145% | 3/1/22 | 287,000 | 287,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.145% | 3/1/22 | 200,000 | 200,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.100% | 0.150% | 3/1/22 | 150,000 | 150,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.140% | 0.190% | 3/1/22 | 100,000 | 100,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.160% | 0.210% | 3/1/22 | 290,000 | 290,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.180% | 0.230% | 3/1/22 | 568,000 | 568,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.240% | 3/1/22 | 500,000 | 500,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.240% | 3/1/22 | 43,144 | 43,164 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.260% | 0.310% | 3/1/22 | 1,500,000 | 1,500,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2,3 | Federal National Mortgage Assn., SOFR + 0.120% | 0.170% | 3/1/22 | 157,000 | 157,000 |
2,3 | Federal National Mortgage Assn., SOFR + 0.170% | 0.220% | 3/1/22 | 197,000 | 197,007 |
2,3 | Federal National Mortgage Assn., SOFR + 0.180% | 0.230% | 3/1/22 | 68,000 | 68,040 |
2,3 | Federal National Mortgage Assn., SOFR + 0.190% | 0.240% | 3/1/22 | 326,723 | 326,862 |
2,3 | Federal National Mortgage Assn., SOFR + 0.220% | 0.270% | 3/1/22 | 376,000 | 376,152 |
2,3 | Federal National Mortgage Assn., SOFR + 0.220% | 0.270% | 3/1/22 | 195,000 | 195,017 |
2,3 | Federal National Mortgage Assn., SOFR + 0.270% | 0.320% | 3/1/22 | 136,300 | 136,363 |
2,3 | Federal National Mortgage Assn., SOFR + 0.300% | 0.350% | 3/1/22 | 425,000 | 425,000 |
2,3 | Federal National Mortgage Assn., SOFR + 0.320% | 0.370% | 3/1/22 | 196,700 | 196,796 |
2,3 | Federal National Mortgage Assn., SOFR + 0.350% | 0.400% | 3/1/22 | 17,000 | 17,006 |
2,3 | Federal National Mortgage Assn., SOFR + 0.390% | 0.440% | 3/1/22 | 261,000 | 261,124 |
2 | Freddie Mac Discount Notes | 0.056% | 3/17/22 | 841 | 841 |
United States Cash Management Bill | 0.121% | 5/3/22 | 1,500,000 | 1,499,672 | |
United States Cash Management Bill | 0.145% | 5/10/22 | 3,000,000 | 2,999,125 | |
United States Cash Management Bill | 0.193% | 5/17/22 | 3,000,000 | 2,998,717 | |
United States Cash Management Bill | 0.266% | 5/24/22 | 4,000,000 | 3,997,433 | |
United States Cash Management Bill | 0.551% | 6/28/22 | 661,500 | 660,254 | |
United States Treasury Bill | 0.051%–0.058% | 3/1/22 | 3,048,638 | 3,048,638 | |
United States Treasury Bill | 0.049% | 3/3/22 | 1,203,362 | 1,203,358 | |
United States Treasury Bill | 0.051%–0.053% | 3/8/22 | 1,078,400 | 1,078,388 | |
United States Treasury Bill | 0.069% | 3/10/22 | 1,211,000 | 1,210,979 | |
United States Treasury Bill | 0.079% | 3/22/22 | 630,000 | 629,969 | |
United States Treasury Bill | 0.130% | 3/29/22 | 318,000 | 317,982 | |
United States Treasury Bill | 0.083% | 3/31/22 | 1,200,000 | 1,199,915 | |
United States Treasury Bill | 0.072% | 4/5/22 | 1,882,000 | 1,881,863 | |
United States Treasury Bill | 0.055% | 4/7/22 | 193,800 | 193,788 | |
United States Treasury Bill | 0.087% | 4/12/22 | 2,999,050 | 2,998,735 | |
United States Treasury Bill | 0.055%–0.118% | 4/14/22 | 5,181,200 | 5,180,613 | |
United States Treasury Bill | 0.233% | 4/19/22 | 3,000,000 | 2,999,632 | |
United States Treasury Bill | 0.060%–0.169% | 4/21/22 | 5,000,000 | 4,999,107 | |
United States Treasury Bill | 0.186% | 4/26/22 | 1,347,600 | 1,347,369 | |
United States Treasury Bill | 0.060%–0.187% | 4/28/22 | 6,625,000 | 6,623,522 | |
United States Treasury Bill | 0.065% | 5/5/22 | 1,500,000 | 1,499,824 | |
United States Treasury Bill | 0.064% | 5/12/22 | 2,000,000 | 1,999,740 | |
United States Treasury Bill | 0.065% | 5/19/22 | 939,200 | 939,066 | |
United States Treasury Bill | 0.069% | 5/26/22 | 3,000,000 | 2,999,498 | |
United States Treasury Bill | 0.087%–0.354% | 6/2/22 | 3,500,516 | 3,499,025 | |
United States Treasury Bill | 0.105%–0.143% | 6/9/22 | 5,976,000 | 5,973,978 | |
United States Treasury Bill | 0.130% | 6/16/22 | 3,000,000 | 2,998,841 | |
United States Treasury Bill | 0.160% | 6/23/22 | 2,000,000 | 1,998,987 | |
United States Treasury Bill | 0.210% | 6/30/22 | 3,500,000 | 3,497,530 | |
United States Treasury Bill | 0.220% | 7/7/22 | 3,000,000 | 2,997,653 | |
United States Treasury Bill | 0.275% | 7/14/22 | 1,000,000 | 998,969 | |
United States Treasury Bill | 0.367% | 7/21/22 | 1,000,000 | 998,560 | |
United States Treasury Bill | 0.380% | 7/28/22 | 750,000 | 748,820 | |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 0.394% | 3/1/22 | 2,441,000 | 2,441,044 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 0.409% | 3/1/22 | 2,369,000 | 2,369,202 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 2,400,878 | 2,400,984 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 1,835,306 | 1,835,414 |
3 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.114% | 0.474% | 3/1/22 | 282,000 | 282,047 |
United States Treasury Note/Bond | 0.125% | 4/30/22 | 58,000 | 58,002 | |
United States Treasury Note/Bond | 1.875% | 4/30/22 | 46,000 | 46,135 | |
United States Treasury Note/Bond | 0.125% | 6/30/22 | 173,000 | 172,979 | |
United States Treasury Note/Bond | 1.750% | 7/15/22 | 136,000 | 136,809 | |
United States Treasury Note/Bond | 0.125% | 7/31/22 | 493,181 | 493,087 | |
United States Treasury Note/Bond | 1.875% | 7/31/22 | 208,499 | 209,984 | |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 161,895 | 163,132 | |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 269,000 | 270,774 | |
United States Treasury Note/Bond | 1.500% | 8/15/22 | 87,500 | 88,027 | |
Total U.S. Government and Agency Obligations (Cost $117,652,499) | 117,652,499 | ||||
Repurchase Agreements (43.8%) | |||||
BNP Paribas (Dated 2/28/22, Repurchase Value $528,001,000, collateralized by U.S. Treasury Bill 0.000%, 8/11/22, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/24–4/15/29, and U.S. Treasury Note/Bond 0.250%–3.000%, 5/15/24–2/15/52, with a value of $538,560,000) | 0.050% | 3/1/22 | 528,000 | 528,000 | |
Canadian Imperial Bank of Commerce (Dated 2/11/22, Repurchase Value $345,015,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.625%, 10/15/24–2/15/50, and U.S. Treasury Note/Bond 0.375%–3.375%, 2/29/24–2/15/51, with a value of $351,900,000) | 0.055% | 3/11/22 | 345,000 | 345,000 | |
Canadian Imperial Bank of Commerce (Dated 2/14/22, Repurchase Value $185,008,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.250%–0.875%, 1/15/26–2/15/50, and U.S. Treasury Note/Bond 0.875%–4.625%, 8/31/23–11/15/50, with a value of $188,700,000) | 0.055% | 3/14/22 | 185,000 | 185,000 | |
Credit Agricole Securities (USA) Inc. (Dated 2/28/22, Repurchase Value $455,001,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 1/15/23–7/15/29, with a value of $464,100,000) | 0.050% | 3/1/22 | 455,000 | 455,000 | |
Federal Reserve Bank of New York (Dated 2/28/22, Repurchase Value $83,279,116,000, collateralized by U.S. Treasury Note/Bond 0.250%–2.375%, 12/15/22–11/15/49, with a value of $83,279,116,000) | 0.050% | 3/1/22 | 83,279,000 | 83,279,000 | |
Fixed Income Clearing Corp. (Dated 2/28/22, Repurchase Value $187,000,000, collateralized by U.S. Treasury Note/Bond 0.750%, 3/31/26, with a value of $190,740,000) | 0.055% | 3/1/22 | 187,000 | 187,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Goldman Sachs & Co. (Dated 2/28/22, Repurchase Value $700,001,000, collateralized by U.S. Treasury Bill 0.000%, 6/7/22–8/11/22, and U.S. Treasury Note/Bond 0.375%–2.750%, 10/31/22–8/15/50, with a value of $714,000,000) | 0.050% | 3/1/22 | 700,000 | 700,000 | |
JP Morgan Securities LLC (Dated 2/28/22, Repurchase Value $350,000,000, collateralized by U.S. Treasury Bill 0.000%, 6/7/22, and U.S. Treasury Note/Bond 1.500%, 1/15/23, with a value of $357,000,000) | 0.050% | 3/1/22 | 350,000 | 350,000 | |
Societe Generale (Dated 2/28/22, Repurchase Value $350,000,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.250%–3.875%, 1/15/25–2/15/50, and U.S. Treasury Note/Bond 1.875%–4.500%, 5/31/24–2/15/41, with a value of $357,000,000) | 0.050% | 3/1/22 | 350,000 | 350,000 | |
Standard Chartered Bank (Dated 2/28/22, Repurchase Value $749,001,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 1/15/25–2/15/50, and U.S. Treasury Note/Bond 0.125%–4.750%, 5/15/22–5/15/51, with a value of $763,981,000) | 0.055% | 3/1/22 | 749,000 | 749,000 | |
Sumitomo Mitsui Banking Corp. (Dated 2/28/22, Repurchase Value $3,524,005,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.375%, 6/30/22–5/15/50, with a value of $3,594,480,000) | 0.055% | 3/1/22 | 3,524,000 | 3,524,000 | |
TD Securities (USA) LLC (Dated 2/28/22, Repurchase Value $175,000,000, collateralized by U.S. Treasury Note/Bond 0.250%–1.500%, 4/15/23–11/30/24, with a value of $178,500,000) | 0.050% | 3/1/22 | 175,000 | 175,000 | |
Total Repurchase Agreements (Cost $90,827,000) | 90,827,000 | ||||
Total Investments (100.5%) (Cost $208,479,499) | 208,479,499 | ||||
Other Assets and Liabilities—Net (-0.5%) | (1,035,060) | ||||
Net Assets (100%) | 207,444,439 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3M—3-month. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $117,652,499) | 117,652,499 |
Repurchase Agreements (Cost $90,827,000) | 90,827,000 |
Total Investments in Securities | 208,479,499 |
Investment in Vanguard | 6,873 |
Receivables for Investment Securities Sold | 499,483 |
Receivables for Accrued Income | 9,216 |
Receivables for Capital Shares Issued | 291,525 |
Other Assets | 10,500 |
Total Assets | 209,297,096 |
Liabilities | |
Due to Custodian | 50 |
Payables for Investment Securities Purchased | 1,659,344 |
Payables for Capital Shares Redeemed | 187,059 |
Payables for Distributions | 81 |
Payables to Vanguard | 6,123 |
Total Liabilities | 1,852,657 |
Net Assets | 207,444,439 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 207,445,429 |
Total Distributable Earnings (Loss) | (990) |
Net Assets | 207,444,439 |
Net Assets | |
Applicable to 207,444,919,356 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 207,444,439 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 75,527 |
Total Income | 75,527 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,900 |
Management and Administrative | 91,352 |
Marketing and Distribution | 13,261 |
Custodian Fees | 268 |
Shareholders’ Reports | 1,914 |
Trustees’ Fees and Expenses | 51 |
Other Expenses | 7 |
Total Expenses | 108,753 |
Expense Reduction—Note B | (43,276) |
Net Expenses | 65,477 |
Net Investment Income | 10,050 |
Realized Net Gain (Loss) on Investment Securities Sold | 390 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,440 |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 10,050 | 39,205 | |
Realized Net Gain (Loss) | 390 | 188 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,440 | 39,393 | |
Distributions | |||
Total Distributions | (9,887) | (39,216) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 55,331,743 | 102,455,515 | |
Issued in Lieu of Cash Distributions | 9,351 | 36,748 | |
Redeemed | (42,282,667) | (105,631,589) | |
Net Increase (Decrease) from Capital Share Transactions | 13,058,427 | (3,139,326) | |
Total Increase (Decrease) | 13,058,980 | (3,139,149) | |
Net Assets | |||
Beginning of Period | 194,385,459 | 197,524,608 | |
End of Period | 207,444,439 | 194,385,459 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0001 | .0002 | .010 | .022 | .014 | .006 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0001 | .0002 | .010 | .022 | .014 | .006 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.010) | (.022) | (.014) | (.006) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0001) | (.0002) | (.010) | (.022) | (.014) | (.006) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.00% | 0.02% | 1.03% | 2.26% | 1.42% | 0.57% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $207,444 | $194,385 | $197,525 | $132,966 | $100,287 | $79,452 |
Ratio of Total Expenses to Average Net Assets3 | 0.07% | 0.09% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 0.01% | 0.02% | 0.93% | 2.24% | 1.43% | 0.60% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for the six months ended February 28, 2022 and 0.11% for the year ended August 31, 2021. For the years ended August 31, 2020, 2019, 2018, and 2017, there were no expense reductions. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. 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. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 208,479,512 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | (13) |
Net Unrealized Appreciation (Depreciation) | (13) |
E. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
1 - 7 Days | 26.0% |
8 - 30 Days | 29.8 |
31 - 60 Days | 26.9 |
61 - 90 Days | 8.3 |
91 - 180 Days | 9.0 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (107.7%) | |||||
United States Cash Management Bill | 0.121% | 5/3/22 | 1,000,000 | 999,781 | |
United States Cash Management Bill | 0.145% | 5/10/22 | 300,000 | 299,912 | |
United States Cash Management Bill | 0.193% | 5/17/22 | 350,000 | 349,850 | |
United States Cash Management Bill | 0.266% | 5/24/22 | 1,040,000 | 1,039,333 | |
United States Treasury Bill | 0.000%–0.035% | 3/1/22 | 1,152,328 | 1,152,328 | |
United States Treasury Bill | 0.049% | 3/3/22 | 1,725,959 | 1,725,954 | |
United States Treasury Bill | 0.001%–0.053% | 3/8/22 | 762,218 | 762,214 | |
United States Treasury Bill | 0.054% | 3/10/22 | 1,843,000 | 1,842,975 | |
United States Treasury Bill | 0.047%–0.053% | 3/15/22 | 2,350,000 | 2,349,950 | |
United States Treasury Bill | 0.054% | 3/17/22 | 638,000 | 637,984 | |
United States Treasury Bill | 0.069%–0.079% | 3/22/22 | 3,050,000 | 3,049,855 | |
United States Treasury Bill | 0.130% | 3/29/22 | 2,198,000 | 2,197,761 | |
United States Treasury Bill | 0.072%–0.130% | 4/5/22 | 907,000 | 906,899 | |
United States Treasury Bill | 0.088% | 4/7/22 | 750,000 | 749,936 | |
United States Treasury Bill | 0.087%–0.233% | 4/12/22 | 4,100,000 | 4,099,364 | |
United States Treasury Bill | 0.233% | 4/19/22 | 977,000 | 976,668 | |
United States Treasury Bill | 0.169% | 4/21/22 | 784,000 | 783,811 | |
United States Treasury Bill | 0.186% | 4/26/22 | 1,152,000 | 1,151,642 | |
United States Treasury Bill | 0.187%–0.190% | 4/28/22 | 1,250,232 | 1,249,849 | |
United States Treasury Bill | 0.064% | 5/12/22 | 350,000 | 349,956 | |
United States Treasury Bill | 0.354% | 6/2/22 | 1,200,000 | 1,198,908 | |
United States Treasury Bill | 0.126%–0.142% | 6/9/22 | 250,000 | 249,908 | |
United States Treasury Bill | 0.130% | 6/16/22 | 200,000 | 199,923 | |
United States Treasury Bill | 0.210% | 6/30/22 | 500,000 | 499,647 | |
United States Treasury Bill | 0.220% | 7/7/22 | 500,000 | 499,609 | |
United States Treasury Bill | 0.367% | 7/21/22 | 200,000 | 199,712 | |
United States Treasury Bill | 0.380% | 7/28/22 | 175,000 | 174,725 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 0.394% | 3/1/22 | 550,000 | 550,007 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 0.409% | 3/1/22 | 700,000 | 700,047 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 2,110,202 | 2,110,711 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 0.415% | 3/1/22 | 1,924,138 | 1,924,376 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.114% | 0.474% | 3/1/22 | 1,427,000 | 1,427,213 |
United States Treasury Note/Bond | 2.375% | 3/15/22 | 100,000 | 100,090 | |
United States Treasury Note/Bond | 0.125% | 4/30/22 | 10,000 | 10,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
United States Treasury Note/Bond | 1.875% | 4/30/22 | 8,000 | 8,023 | |
United States Treasury Note/Bond | 0.125% | 6/30/22 | 150,000 | 149,982 | |
United States Treasury Note/Bond | 1.750% | 7/15/22 | 24,000 | 24,143 | |
United States Treasury Note/Bond | 0.125% | 7/31/22 | 59,000 | 58,989 | |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 28,000 | 28,214 | |
United States Treasury Note/Bond | 1.875% | 7/31/22 | 26,000 | 26,185 | |
United States Treasury Note/Bond | 1.500% | 8/15/22 | 11,000 | 11,066 | |
Total U.S. Government and Agency Obligations (Cost $36,827,500) | 36,827,500 | ||||
Total Investments (107.7%) (Cost $36,827,500) | 36,827,500 | ||||
Other Assets and Liabilities—Net (-7.7%) | (2,628,538) | ||||
Net Assets (100%) | 34,198,962 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3M—3-month. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $36,827,500) | 36,827,500 |
Investment in Vanguard | 1,132 |
Receivables for Investment Securities Sold | 100,500 |
Receivables for Accrued Income | 3,492 |
Receivables for Capital Shares Issued | 72,520 |
Other Assets | 3,298 |
Total Assets | 37,008,442 |
Liabilities | |
Due to Custodian | 12 |
Payables for Investment Securities Purchased | 2,751,735 |
Payables for Capital Shares Redeemed | 56,522 |
Payables for Distributions | 122 |
Payables to Vanguard | 1,089 |
Total Liabilities | 2,809,480 |
Net Assets | 34,198,962 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 34,199,570 |
Total Distributable Earnings (Loss) | (608) |
Net Assets | 34,198,962 |
Net Assets | |
Applicable to 34,196,530,379 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 34,198,962 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 14,130 |
Total Income | 14,130 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 328 |
Management and Administrative | 12,563 |
Marketing and Distribution | 2,269 |
Custodian Fees | 78 |
Shareholders’ Reports | 108 |
Trustees’ Fees and Expenses | 9 |
Other Expenses | 7 |
Total Expenses | 15,362 |
Expense Reduction—Note B | (4,811) |
Net Expenses | 10,551 |
Net Investment Income | 3,579 |
Realized Net Gain (Loss) on Investment Securities Sold | (525) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,054 |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 3,579 | 10,437 | |
Realized Net Gain (Loss) | (525) | 25 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,054 | 10,462 | |
Distributions | |||
Total Distributions | (3,578) | (10,438) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 8,430,305 | 20,291,516 | |
Issued in Lieu of Cash Distributions | 3,329 | 9,604 | |
Redeemed | (9,978,061) | (23,104,196) | |
Net Increase (Decrease) from Capital Share Transactions | (1,544,427) | (2,803,076) | |
Total Increase (Decrease) | (1,544,951) | (2,803,052) | |
Net Assets | |||
Beginning of Period | 35,743,913 | 38,546,965 | |
End of Period | 34,198,962 | 35,743,913 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0001 | .0003 | .010 | .022 | .014 | .005 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0001 | .0003 | .010 | .022 | .014 | .005 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.0003) | (.010) | (.022) | (.014) | (.005) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0001) | (.0003) | (.010) | (.022) | (.014) | (.005) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 0.03% | 1.05% | 2.25% | 1.43% | 0.54% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $34,199 | $35,744 | $38,547 | $28,428 | $18,911 | $15,639 |
Ratio of Total Expenses to Average Net Assets3 | 0.06% | 0.08% | 0.09% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 0.02% | 0.03% | 0.95% | 2.23% | 1.43% | 0.55% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for the six months ended February 28, 2022 and 0.09% for the year ended August 31, 2021. For the years ended August 31, 2020, 2019, 2018, and 2017, there were no expense reductions. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments. 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. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 36,827,500 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Mid-Cap 400 Index Fund |
Vanguard S&P Mid-Cap 400 Value Index Fund |
Vanguard S&P Mid-Cap 400 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2022 | |||
Beginning Account Value 8/31/2021 | Ending Account Value 2/28/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $972.40 | $0.49 |
Institutional Shares | 1,000.00 | 972.60 | 0.39 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,009.80 | $0.75 |
Institutional Shares | 1,000.00 | 1,010.60 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $934.80 | $0.72 |
Institutional Shares | 1,000.00 | 935.30 | 0.38 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 1.7% |
Consumer Discretionary | 15.0 |
Consumer Staples | 3.5 |
Energy | 2.7 |
Financials | 14.7 |
Health Care | 9.3 |
Industrials | 18.5 |
Information Technology | 14.4 |
Materials | 7.0 |
Real Estate | 10.1 |
Utilities | 3.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (100.0%) | ||||||
Communication Services (1.7%) | ||||||
New York Times Co. Class A | 214,619 | 9,441 | ||||
Cable One Inc. | 6,370 | 9,127 | ||||
* | Iridium Communications Inc. | 169,799 | 6,722 | |||
TEGNA Inc. | 284,203 | 6,514 | ||||
* | Ziff Davis Inc. | 61,929 | 6,230 | |||
World Wrestling Entertainment Inc. Class A | 57,432 | 3,404 | ||||
* | TripAdvisor Inc. | 127,239 | 3,237 | |||
* | Yelp Inc. Class A | 88,292 | 2,992 | |||
John Wiley & Sons Inc. Class A | 56,023 | 2,819 | ||||
50,486 | ||||||
Consumer Discretionary (15.0%) | ||||||
Williams-Sonoma Inc. | 95,524 | 13,838 | ||||
Lithia Motors Inc. Class A | 38,898 | 13,257 | ||||
* | Capri Holdings Ltd. | 193,268 | 13,092 | |||
Service Corp. International | 211,850 | 12,891 | ||||
Lear Corp. | 76,578 | 12,049 | ||||
* | Five Below Inc. | 71,966 | 11,774 | |||
* | Mattel Inc. | 450,019 | 11,241 | |||
Kohl's Corp. | 193,355 | 10,754 | ||||
Churchill Downs Inc. | 44,221 | 10,652 | ||||
Wyndham Hotels & Resorts Inc. | 119,691 | 10,343 | ||||
Macy's Inc. | 397,806 | 10,311 | ||||
* | Deckers Outdoor Corp. | 35,256 | 10,176 | |||
*,1 | GameStop Corp. Class A | 79,584 | 9,816 | |||
Brunswick Corp. | 99,028 | 9,459 | ||||
Gentex Corp. | 303,794 | 9,196 | ||||
* | TopBuild Corp. | 42,293 | 9,079 | |||
* | RH | 22,284 | 8,955 | |||
Polaris Inc. | 73,274 | 8,904 | ||||
Marriott Vacations Worldwide Corp. | 54,717 | 8,791 | ||||
Dick's Sporting Goods Inc. | 83,358 | 8,753 | ||||
Texas Roadhouse Inc. Class A | 89,459 | 8,491 | ||||
Harley-Davidson Inc. | 197,649 | 8,163 | ||||
Tempur Sealy International Inc. | 247,276 | 8,163 |
Shares | Market Value• ($000) | |||||
Toll Brothers Inc. | 146,963 | 7,974 | ||||
* | Skechers U.S.A. Inc. Class A | 173,289 | 7,968 | |||
* | Scientific Games Corp. | 123,969 | 7,800 | |||
* | Boyd Gaming Corp. | 105,345 | 7,473 | |||
Hanesbrands Inc. | 448,559 | 6,930 | ||||
* | YETI Holdings Inc. | 112,579 | 6,930 | |||
Thor Industries Inc. | 71,330 | 6,455 | ||||
* | Fox Factory Holding Corp. | 54,085 | 6,383 | |||
* | Helen of Troy Ltd. | 30,993 | 6,374 | |||
Leggett & Platt Inc. | 171,312 | 6,352 | ||||
* | Crocs Inc. | 75,589 | 6,329 | |||
Travel + Leisure Co. | 110,838 | 6,212 | ||||
Choice Hotels International Inc. | 42,163 | 6,086 | ||||
* | AutoNation Inc. | 51,356 | 5,889 | |||
H&R Block Inc. | 225,601 | 5,597 | ||||
* | Goodyear Tire & Rubber Co. | 360,912 | 5,591 | |||
Wingstop Inc. | 38,312 | 5,569 | ||||
Murphy USA Inc. | 30,295 | 5,476 | ||||
* | Adient plc | 121,019 | 5,416 | |||
Carter's Inc. | 54,288 | 5,249 | ||||
Wendy's Co. | 226,721 | 5,156 | ||||
* | Victoria's Secret & Co. | 93,062 | 4,991 | |||
* | Taylor Morrison Home Corp. Class A | 157,834 | 4,656 | |||
* | Grand Canyon Education Inc. | 51,479 | 4,470 | |||
Papa John's International Inc. | 41,572 | 4,441 | ||||
* | Six Flags Entertainment Corp. | 99,394 | 4,340 | |||
* | Visteon Corp. | 35,991 | 4,325 | |||
KB Home | 110,078 | 4,250 | ||||
American Eagle Outfitters Inc. | 197,071 | 4,154 | ||||
Columbia Sportswear Co. | 44,400 | 4,117 | ||||
Cracker Barrel Old Country Store Inc. | 30,202 | 4,055 | ||||
Gap Inc. | 275,098 | 4,003 | ||||
* | Callaway Golf Co. | 150,526 | 3,724 | |||
Foot Locker Inc. | 116,010 | 3,668 | ||||
Dana Inc. | 185,231 | 3,449 |
Shares | Market Value• ($000) | |||||
* | Ollie's Bargain Outlet Holdings Inc. | 77,744 | 3,357 | |||
* | Tri Pointe Homes Inc. | 142,845 | 3,195 | |||
Graham Holdings Co. Class B | 5,117 | 3,076 | ||||
* | Nordstrom Inc. | 143,075 | 2,967 | |||
* | Urban Outfitters Inc. | 84,477 | 2,324 | |||
444,919 | ||||||
Consumer Staples (3.5%) | ||||||
* | Darling Ingredients Inc. | 207,842 | 15,064 | |||
* | Performance Food Group Co. | 198,205 | 11,107 | |||
* | BJ's Wholesale Club Holdings Inc. | 175,384 | 11,026 | |||
Casey's General Stores Inc. | 47,649 | 8,962 | ||||
* | Post Holdings Inc. | 75,181 | 7,905 | |||
Ingredion Inc. | 85,454 | 7,583 | ||||
Flowers Foods Inc. | 255,198 | 6,995 | ||||
Sanderson Farms Inc. | 27,244 | 4,866 | ||||
* | Boston Beer Co. Inc. Class A | 12,056 | 4,623 | |||
* | Hain Celestial Group Inc. | 119,283 | 4,337 | |||
Lancaster Colony Corp. | 25,480 | 4,286 | ||||
* | Sprouts Farmers Market Inc. | 144,163 | 4,106 | |||
* | Coty Inc. Class A | 431,008 | 3,952 | |||
* | Grocery Outlet Holding Corp. | 112,444 | 3,127 | |||
Nu Skin Enterprises Inc. Class A | 64,044 | 2,971 | ||||
Energizer Holdings Inc. | 80,935 | 2,703 | ||||
* | Pilgrim's Pride Corp. | 62,608 | 1,476 | |||
�� | 105,089 | |||||
Energy (2.7%) | ||||||
Targa Resources Corp. | 294,123 | 19,227 | ||||
EQT Corp. | 388,382 | 8,987 | ||||
NOV Inc. | 501,836 | 8,606 | ||||
PDC Energy Inc. | 125,090 | 8,071 | ||||
DT Midstream Inc. | 124,254 | 6,598 | ||||
Murphy Oil Corp. | 186,492 | 6,466 | ||||
* | HollyFrontier Corp. | 192,023 | 5,847 | |||
* | ChampionX Corp. | 259,545 | 5,557 | |||
* | CNX Resources Corp. | 271,269 | 4,433 | |||
Antero Midstream Corp. | 417,168 | 4,188 | ||||
Equitrans Midstream Corp. | 522,235 | 3,347 | ||||
81,327 | ||||||
Financials (14.7%) | ||||||
First Horizon Corp. | 694,598 | 16,309 | ||||
East West Bancorp Inc. | 182,280 | 15,960 | ||||
Webster Financial Corp. | 230,963 | 13,906 | ||||
* | Alleghany Corp. | 17,600 | 11,650 | |||
American Financial Group Inc. | 84,967 | 11,504 | ||||
Cullen/Frost Bankers Inc. | 72,840 | 10,251 | ||||
Commerce Bancshares Inc. | 142,577 | 10,234 | ||||
Pinnacle Financial Partners Inc. | 97,800 | 9,886 | ||||
Synovus Financial Corp. | 186,902 | 9,840 | ||||
Stifel Financial Corp. | 133,732 | 9,829 |
Shares | Market Value• ($000) | |||||
Old Republic International Corp. | 366,753 | 9,664 | ||||
Reinsurance Group of America Inc. | 86,829 | 9,626 | ||||
Voya Financial Inc. | 142,573 | 9,602 | ||||
First American Financial Corp. | 140,999 | 9,453 | ||||
Jefferies Financial Group Inc. | 252,343 | 8,968 | ||||
RenaissanceRe Holdings Ltd. | 59,111 | 8,913 | ||||
Prosperity Bancshares Inc. | 118,385 | 8,815 | ||||
SEI Investments Co. | 136,129 | 7,974 | ||||
Cadence Bank | 251,694 | 7,959 | ||||
First Financial Bankshares Inc. | 164,703 | 7,893 | ||||
Glacier Bancorp Inc. | 139,327 | 7,719 | ||||
PacWest Bancorp | 150,612 | 7,443 | ||||
Interactive Brokers Group Inc. Class A | 112,226 | 7,427 | ||||
SLM Corp. | 376,564 | 7,418 | ||||
Janus Henderson Group plc | 219,117 | 7,356 | ||||
Unum Group | 262,596 | 7,332 | ||||
Valley National Bancorp | 522,718 | 7,302 | ||||
Bank OZK | 155,269 | 7,301 | ||||
Wintrust Financial Corp. | 73,227 | 7,276 | ||||
Affiliated Managers Group Inc. | 52,217 | 7,225 | ||||
Old National Bancorp | 378,348 | 6,916 | ||||
New York Community Bancorp Inc. | 597,317 | 6,893 | ||||
Primerica Inc. | 50,726 | 6,589 | ||||
Selective Insurance Group Inc. | 77,222 | 6,424 | ||||
United Bankshares Inc. | 175,086 | 6,412 | ||||
Hanover Insurance Group Inc. | 45,695 | 6,375 | ||||
Evercore Inc. Class A | 50,121 | 6,366 | ||||
MGIC Investment Corp. | 418,187 | 6,348 | ||||
Essent Group Ltd. | 141,841 | 6,267 | ||||
Hancock Whitney Corp. | 111,512 | 6,209 | ||||
Umpqua Holdings Corp. | 278,202 | 5,940 | ||||
FNB Corp. | 434,899 | 5,841 | ||||
Kinsale Capital Group Inc. | 27,555 | 5,780 | ||||
UMB Financial Corp. | 55,278 | 5,631 | ||||
* | Brighthouse Financial Inc. | 102,524 | 5,358 | |||
RLI Corp. | 51,135 | 5,190 | ||||
Associated Banc-Corp | 192,723 | 4,700 | ||||
Cathay General Bancorp | 99,166 | 4,664 | ||||
Home BancShares Inc. | 193,569 | 4,531 | ||||
Bank of Hawaii Corp. | 51,971 | 4,479 | ||||
* | Texas Capital Bancshares Inc. | 64,993 | 4,328 | |||
Kemper Corp. | 76,892 | 4,109 | ||||
Federated Hermes Inc. Class B | 124,383 | 4,064 | ||||
CNO Financial Group Inc. | 158,585 | 3,833 | ||||
FirstCash Holdings Inc. | 51,932 | 3,741 |
Shares | Market Value• ($000) | |||||
Fulton Financial Corp. | 207,556 | 3,740 | ||||
Navient Corp. | 207,000 | 3,645 | ||||
Washington Federal Inc. | 83,649 | 2,976 | ||||
International Bancshares Corp. | 68,464 | 2,945 | ||||
* | PROG Holdings Inc. | 73,025 | 2,237 | |||
Mercury General Corp. | 34,166 | 1,879 | ||||
FactSet Research Systems Inc. | 3 | 1 | ||||
Signature Bank | 4 | 1 | ||||
436,447 | ||||||
Health Care (9.3%) | ||||||
* | Molina Healthcare Inc. | 75,012 | 23,019 | |||
* | Repligen Corp. | 66,050 | 12,992 | |||
* | Tenet Healthcare Corp. | 137,604 | 11,833 | |||
* | Neurocrine Biosciences Inc. | 121,858 | 10,951 | |||
* | Jazz Pharmaceuticals plc | 78,956 | 10,850 | |||
* | Syneos Health Inc. | 133,195 | 10,549 | |||
* | Masimo Corp. | 65,255 | 10,274 | |||
* | Penumbra Inc. | 45,107 | 10,002 | |||
* | Envista Holdings Corp. | 207,276 | 9,949 | |||
* | United Therapeutics Corp. | 57,848 | 9,614 | |||
Chemed Corp. | 19,775 | 9,458 | ||||
* | Tandem Diabetes Care Inc. | 81,607 | 9,191 | |||
Bruker Corp. | 130,519 | 9,185 | ||||
Encompass Health Corp. | 127,789 | 8,437 | ||||
* | Exelixis Inc. | 406,402 | 8,343 | |||
* | Globus Medical Inc. Class A | 101,525 | 7,139 | |||
* | Amedisys Inc. | 41,873 | 6,710 | |||
* | Acadia Healthcare Co. Inc. | 115,511 | 6,551 | |||
* | Halozyme Therapeutics Inc. | 180,838 | 6,414 | |||
* | Integra LifeSciences Holdings Corp. | 93,562 | 6,274 | |||
Perrigo Co. plc | 171,827 | 6,103 | ||||
* | ICU Medical Inc. | 25,645 | 6,071 | |||
* | Arrowhead Pharmaceuticals Inc. | 133,919 | 5,892 | |||
* | HealthEquity Inc. | 107,262 | 5,761 | |||
* | Medpace Holdings Inc. | 36,933 | 5,650 | |||
* | LHC Group Inc. | 40,674 | 5,539 | |||
* | LivaNova plc | 68,362 | 5,388 | |||
* | Quidel Corp. | 48,716 | 5,154 | |||
* | Neogen Corp. | 138,061 | 4,929 | |||
* | STAAR Surgical Co. | 61,137 | 4,849 | |||
* | R1 RCM Inc. | 171,151 | 4,654 | |||
* | Option Care Health Inc. | 177,900 | 4,572 | |||
* | Haemonetics Corp. | 65,650 | 3,789 | |||
* | NuVasive Inc. | 66,482 | 3,598 | |||
* | Progyny Inc. | 89,505 | 3,523 | |||
Patterson Cos. Inc. | 111,393 | 3,331 | ||||
276,538 | ||||||
Industrials (18.4%) | ||||||
* | Builders FirstSource Inc. | 245,988 | 18,306 | |||
Carlisle Cos. Inc. | 67,159 | 15,944 | ||||
Graco Inc. | 218,317 | 15,739 |
Shares | Market Value• ($000) | |||||
Regal Rexnord Corp. | 87,036 | 13,956 | ||||
* | Trex Co. Inc. | 147,867 | 13,580 | |||
AECOM | 185,045 | 13,445 | ||||
Toro Co. | 136,722 | 12,826 | ||||
* | Middleby Corp. | 71,453 | 12,692 | |||
Hubbell Inc. Class B | 69,890 | 12,458 | ||||
Owens Corning | 129,074 | 12,028 | ||||
* | Axon Enterprise Inc. | 84,359 | 11,831 | |||
Knight-Swift Transportation Holdings Inc. Class A | 213,168 | 11,613 | ||||
Watsco Inc. | 42,422 | 11,584 | ||||
Lennox International Inc. | 43,236 | 11,541 | ||||
Tetra Tech Inc. | 69,456 | 11,028 | ||||
* | GXO Logistics Inc. | 126,639 | 10,629 | |||
Woodward Inc. | 80,976 | 10,092 | ||||
Oshkosh Corp. | 88,158 | 9,789 | ||||
* | Saia Inc. | 33,829 | 9,717 | |||
Lincoln Electric Holdings Inc. | 75,839 | 9,666 | ||||
ITT Inc. | 109,950 | 9,661 | ||||
AGCO Corp. | 78,820 | 9,471 | ||||
* | Avis Budget Group Inc. | 51,483 | 9,444 | |||
* | XPO Logistics Inc. | 126,708 | 9,209 | |||
KBR Inc. | 180,197 | 8,945 | ||||
Donaldson Co. Inc. | 158,746 | 8,615 | ||||
* | CACI International Inc. Class A | 29,962 | 8,383 | |||
Acuity Brands Inc. | 44,865 | 8,182 | ||||
EMCOR Group Inc. | 68,553 | 7,921 | ||||
Landstar System Inc. | 48,945 | 7,558 | ||||
Curtiss-Wright Corp. | 50,402 | 7,435 | ||||
* | ASGN Inc. | 66,923 | 7,414 | |||
ManpowerGroup Inc. | 69,667 | 7,404 | ||||
nVent Electric plc | 216,105 | 7,332 | ||||
* | Sunrun Inc. | 265,895 | 7,254 | |||
MDU Resources Group Inc. | 261,209 | 6,993 | ||||
* | Colfax Corp. | 172,969 | 6,955 | |||
* | Stericycle Inc. | 117,992 | 6,886 | |||
* | Univar Solutions Inc. | 219,585 | 6,744 | |||
Simpson Manufacturing Co. Inc. | 55,795 | 6,612 | ||||
MSA Safety Inc. | 46,836 | 6,515 | ||||
Science Applications International Corp. | 73,940 | 6,484 | ||||
Crane Co. | 64,117 | 6,481 | ||||
* | FTI Consulting Inc. | 44,041 | 6,430 | |||
* | IAA Inc. | 173,204 | 6,364 | |||
Hexcel Corp. | 107,751 | 6,239 | ||||
* | JetBlue Airways Corp. | 408,464 | 6,237 | |||
* | Clean Harbors Inc. | 64,299 | 6,136 | |||
Valmont Industries Inc. | 27,259 | 5,900 | ||||
Timken Co. | 88,665 | 5,813 | ||||
* | MasTec Inc. | 73,490 | 5,788 | |||
Ryder System Inc. | 68,955 | 5,436 | ||||
Watts Water Technologies Inc. Class A | 35,394 | 5,095 | ||||
Flowserve Corp. | 167,308 | 5,081 |
Shares | Market Value• ($000) | |||||
* | Kirby Corp. | 77,214 | 5,031 | |||
GATX Corp. | 45,596 | 4,862 | ||||
MSC Industrial Direct Co. Inc. Class A | 60,134 | 4,659 | ||||
Brink's Co. | 63,130 | 4,423 | ||||
* | Mercury Systems Inc. | 72,761 | 4,382 | |||
Insperity Inc. | 45,985 | 4,136 | ||||
* | Fluor Corp. | 181,631 | 3,934 | |||
EnerSys | 53,802 | 3,913 | ||||
MillerKnoll Inc. | 97,335 | 3,784 | ||||
Terex Corp. | 89,755 | 3,705 | ||||
Kennametal Inc. | 107,533 | 3,410 | ||||
Werner Enterprises Inc. | 78,338 | 3,405 | ||||
* | Dycom Industries Inc. | 38,771 | 3,375 | |||
Trinity Industries Inc. | 105,198 | 3,036 | ||||
* | Vicor Corp. | 27,507 | 2,057 | |||
548,993 | ||||||
Information Technology (14.4%) | ||||||
* | Fair Isaac Corp. | 35,141 | 16,558 | |||
Cognex Corp. | 227,094 | 15,342 | ||||
* | Wolfspeed Inc. | 148,862 | 15,291 | |||
* | Ciena Corp. | 198,995 | 13,615 | |||
* | Aspen Technology Inc. | 85,960 | 13,101 | |||
* | Synaptics Inc. | 50,441 | 11,522 | |||
Concentrix Corp. | 55,108 | 11,016 | ||||
* | Lattice Semiconductor Corp. | 175,889 | 11,014 | |||
* | Arrow Electronics Inc. | 89,435 | 10,900 | |||
* | Manhattan Associates Inc. | 81,289 | 10,867 | |||
* | Paylocity Holding Corp. | 50,893 | 10,812 | |||
MKS Instruments Inc. | 71,233 | 10,728 | ||||
Jabil Inc. | 184,112 | 10,644 | ||||
* | WEX Inc. | 57,570 | 9,701 | |||
* | First Solar Inc. | 127,016 | 9,563 | |||
* | II-VI Inc. | 136,336 | 9,470 | |||
Western Union Co. | 516,355 | 9,387 | ||||
Genpact Ltd. | 222,237 | 9,298 | ||||
* | Lumentum Holdings Inc. | 92,865 | 9,181 | |||
* | Euronet Worldwide Inc. | 67,890 | 8,706 | |||
Universal Display Corp. | 55,686 | 8,626 | ||||
Azenta Inc. | 95,492 | 8,357 | ||||
* | Coherent Inc. | 31,517 | 8,331 | |||
Littelfuse Inc. | 31,640 | 8,170 | ||||
* | Silicon Laboratories Inc. | 51,617 | 7,934 | |||
Power Integrations Inc. | 77,489 | 6,974 | ||||
* | Teradata Corp. | 139,366 | 6,967 | |||
CDK Global Inc. | 151,993 | 6,891 | ||||
* | NCR Corp. | 169,554 | 6,870 | |||
National Instruments Corp. | 169,389 | 6,801 | ||||
CMC Materials Inc. | 36,509 | 6,770 | ||||
* | Cirrus Logic Inc. | 73,385 | 6,375 | |||
* | Mimecast Ltd. | 79,320 | 6,308 | |||
Maximus Inc. | 78,954 | 6,226 | ||||
* | Semtech Corp. | 82,707 | 5,738 | |||
* | Digital Turbine Inc. | 112,944 | 5,476 | |||
TD SYNNEX Corp. | 53,026 | 5,400 |
Shares | Market Value• ($000) | |||||
* | Qualys Inc. | 42,891 | 5,375 | |||
Avnet Inc. | 127,418 | 5,360 | ||||
Vontier Corp. | 217,143 | 5,277 | ||||
* | Envestnet Inc. | 70,193 | 5,252 | |||
* | ACI Worldwide Inc. | 151,008 | 5,062 | |||
* | Sailpoint Technologies Holdings Inc. | 119,794 | 4,956 | |||
* | Sabre Corp. | 415,424 | 4,541 | |||
Alliance Data Systems Corp. | 63,947 | 4,313 | ||||
* | Viasat Inc. | 94,328 | 4,305 | |||
* | SiTime Corp. | 19,251 | 3,891 | |||
* | Calix Inc. | 70,449 | 3,828 | |||
* | LiveRamp Holdings Inc. | 87,476 | 3,775 | |||
* | CommVault Systems Inc. | 58,453 | 3,677 | |||
* | Kyndryl Holdings Inc. | 230,143 | 3,650 | |||
Xerox Holdings Corp. | 176,565 | 3,480 | ||||
* | Blackbaud Inc. | 53,223 | 3,326 | |||
Vishay Intertechnology Inc. | 170,593 | 3,274 | ||||
Belden Inc. | 57,731 | 3,253 | ||||
Amkor Technology Inc. | 129,066 | 2,926 | ||||
* | SunPower Corp. | 106,676 | 1,913 | |||
* | Cerence Inc. | 48,734 | 1,760 | |||
* | SolarEdge Technologies Inc. | 2 | 1 | |||
428,125 | ||||||
Materials (7.0%) | ||||||
Alcoa Corp. | 240,335 | 18,107 | ||||
Steel Dynamics Inc. | 242,159 | 17,092 | ||||
Reliance Steel & Aluminum Co. | 80,473 | 15,360 | ||||
RPM International Inc. | 166,615 | 14,091 | ||||
* | Cleveland-Cliffs Inc. | 584,550 | 13,070 | |||
AptarGroup Inc. | 84,558 | 10,306 | ||||
Royal Gold Inc. | 84,304 | 10,223 | ||||
Olin Corp. | 184,247 | 9,491 | ||||
United States Steel Corp. | 347,108 | 9,445 | ||||
Louisiana-Pacific Corp. | 113,025 | 8,132 | ||||
Valvoline Inc. | 232,177 | 7,506 | ||||
Sonoco Products Co. | 126,299 | 7,416 | ||||
Scotts Miracle-Gro Co. | 52,323 | 7,328 | ||||
Eagle Materials Inc. | 52,249 | 7,149 | ||||
Ashland Global Holdings Inc. | 72,552 | 6,695 | ||||
Avient Corp. | 117,513 | 6,156 | ||||
Commercial Metals Co. | 154,879 | 5,971 | ||||
Chemours Co. | 209,317 | 5,777 | ||||
Cabot Corp. | 72,865 | 5,331 | ||||
Silgan Holdings Inc. | 107,776 | 4,514 | ||||
Sensient Technologies Corp. | 53,970 | 4,432 | ||||
* | Ingevity Corp. | 50,494 | 3,445 | |||
Minerals Technologies Inc. | 42,753 | 2,992 | ||||
NewMarket Corp. | 8,868 | 2,818 | ||||
Worthington Industries Inc. | 41,630 | 2,374 | ||||
Greif Inc. Class A | 34,076 | 1,959 | ||||
207,180 | ||||||
Real Estate (10.1%) | ||||||
Camden Property Trust | 131,279 | 21,676 |
Shares | Market Value• ($000) | |||||
* | Jones Lang LaSalle Inc. | 64,829 | 15,962 | |||
Medical Properties Trust Inc. | 765,967 | 15,580 | ||||
CyrusOne Inc. | 163,024 | 14,729 | ||||
Rexford Industrial Realty Inc. | 194,613 | 13,648 | ||||
Life Storage Inc. | 105,363 | 13,338 | ||||
Lamar Advertising Co. Class A | 111,519 | 12,162 | ||||
Apartment Income REIT Corp. | 201,653 | 10,407 | ||||
EastGroup Properties Inc. | 52,265 | 9,970 | ||||
STORE Capital Corp. | 315,237 | 9,684 | ||||
Kilroy Realty Corp. | 134,638 | 9,643 | ||||
First Industrial Realty Trust Inc. | 167,382 | 9,638 | ||||
American Campus Communities Inc. | 178,749 | 9,619 | ||||
National Retail Properties Inc. | 225,580 | 9,612 | ||||
Brixmor Property Group Inc. | 381,487 | 9,583 | ||||
Omega Healthcare Investors Inc. | 306,959 | 8,647 | ||||
Cousins Properties Inc. | 191,000 | 7,378 | ||||
Spirit Realty Capital Inc. | 158,406 | 7,345 | ||||
Rayonier Inc. | 183,881 | 7,300 | ||||
Douglas Emmett Inc. | 225,404 | 7,145 | ||||
SL Green Realty Corp. | 85,703 | 6,815 | ||||
Kite Realty Group Trust | 281,325 | 6,169 | ||||
National Storage Affiliates Trust | 105,270 | 6,134 | ||||
Highwoods Properties Inc. | 134,063 | 5,845 | ||||
* | Park Hotels & Resorts Inc. | 303,727 | 5,722 | |||
Hudson Pacific Properties Inc. | 195,819 | 5,170 | ||||
Healthcare Realty Trust Inc. | 189,490 | 4,942 | ||||
EPR Properties | 96,065 | 4,784 | ||||
PotlatchDeltic Corp. | 86,187 | 4,732 | ||||
Physicians Realty Trust | 282,927 | 4,600 | ||||
Macerich Co. | 273,634 | 4,187 | ||||
PS Business Parks Inc. | 25,830 | 4,114 | ||||
Sabra Health Care REIT Inc. | 293,706 | 3,945 | ||||
JBG SMITH Properties | 146,591 | 3,911 | ||||
Pebblebrook Hotel Trust | 168,758 | 3,799 | ||||
Corporate Office Properties Trust | 144,490 | 3,787 | ||||
Urban Edge Properties | 214 | 4 | ||||
301,726 |
Shares | Market Value• ($000) | |||||
Utilities (3.2%) | ||||||
Essential Utilities Inc. | 295,452 | 13,919 | ||||
UGI Corp. | 268,593 | 10,325 | ||||
OGE Energy Corp. | 257,146 | 9,656 | ||||
National Fuel Gas Co. | 117,127 | 7,290 | ||||
IDACORP Inc. | 64,890 | 6,745 | ||||
Hawaiian Electric Industries Inc. | 140,400 | 5,754 | ||||
Black Hills Corp. | 81,968 | 5,737 | ||||
ONE Gas Inc. | 68,824 | 5,719 | ||||
Southwest Gas Holdings Inc. | 77,557 | 5,502 | ||||
New Jersey Resources Corp. | 123,844 | 5,402 | ||||
PNM Resources Inc. | 110,252 | 4,980 | ||||
Spire Inc. | 66,370 | 4,454 | ||||
ALLETE Inc. | 67,517 | 4,249 | ||||
NorthWestern Corp. | 67,629 | 4,090 | ||||
93,822 | ||||||
Total Common Stocks (Cost $2,391,647) | 2,974,652 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.138% (Cost $7,326) | 73,269 | 7,326 | |||
Total Investments (100.2%) (Cost $2,398,973) | 2,981,978 | |||||
Other Assets and Liabilities—Net (-0.2%) | (6,501) | |||||
Net Assets (100%) | 2,975,477 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,462,000. |
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 $7,321,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2022 | 1 | 266 | 4 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,391,647) | 2,974,652 |
Affiliated Issuers (Cost $7,326) | 7,326 |
Total Investments in Securities | 2,981,978 |
Investment in Vanguard | 97 |
Cash Collateral Pledged—Futures Contracts | 20 |
Receivables for Investment Securities Sold | 423 |
Receivables for Accrued Income | 2,135 |
Receivables for Capital Shares Issued | 505 |
Total Assets | 2,985,158 |
Liabilities | |
Due to Custodian | 1,869 |
Payables for Investment Securities Purchased | 1 |
Collateral for Securities on Loan | 7,321 |
Payables for Capital Shares Redeemed | 396 |
Payables to Vanguard | 94 |
Variation Margin Payable—Futures Contracts | — |
Total Liabilities | 9,681 |
Net Assets | 2,975,477 |
Statement of Assets and Liabilities (continued) | |
At February 28, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 2,540,680 |
Total Distributable Earnings (Loss) | 434,797 |
Net Assets | 2,975,477 |
ETF Shares—Net Assets | |
Applicable to 8,526,157 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,531,764 |
Net Asset Value Per Share—ETF Shares | $179.65 |
Institutional Shares—Net Assets | |
Applicable to 4,028,977 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,443,713 |
Net Asset Value Per Share—Institutional Shares | $358.33 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 17,413 |
Interest1 | 3 |
Securities Lending—Net | 8 |
Total Income | 17,424 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 129 |
Management and Administrative—ETF Shares | 622 |
Management and Administrative—Institutional Shares | 453 |
Marketing and Distribution—ETF Shares | 28 |
Marketing and Distribution—Institutional Shares | 28 |
Custodian Fees | 25 |
Shareholders’ Reports—ETF Shares | 22 |
Shareholders’ Reports—Institutional Shares | 8 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 8 |
Total Expenses | 1,324 |
Net Investment Income | 16,100 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 85,389 |
Futures Contracts | (597) |
Realized Net Gain (Loss) | 84,792 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (183,046) |
Futures Contracts | (15) |
Change in Unrealized Appreciation (Depreciation) | (183,061) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (82,169) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, ($4,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $99,763,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 16,100 | 31,769 | |
Realized Net Gain (Loss) | 84,792 | 185,294 | |
Change in Unrealized Appreciation (Depreciation) | (183,061) | 699,605 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (82,169) | 916,668 | |
Distributions | |||
ETF Shares | (11,417) | (14,119) | |
Institutional Shares | (10,831) | (16,856) | |
Total Distributions | (22,248) | (30,975) | |
Capital Share Transactions | |||
ETF Shares | 111,225 | 182,048 | |
Institutional Shares | 96,889 | (248,994) | |
Net Increase (Decrease) from Capital Share Transactions | 208,114 | (66,946) | |
Total Increase (Decrease) | 103,697 | 818,747 | |
Net Assets | |||
Beginning of Period | 2,871,780 | 2,053,033 | |
End of Period | 2,975,477 | 2,871,780 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $186.16 | $130.31 | $127.18 | $138.01 | $116.74 | $105.51 |
Investment Operations | ||||||
Net Investment Income1 | 1.002 | 1.996 | 1.959 | 1.880 | 1.778 | 1.510 |
Net Realized and Unrealized Gain (Loss) on Investments | (6.120) | 55.805 | 3.205 | (10.864) | 21.199 | 11.294 |
Total from Investment Operations | (5.118) | 57.801 | 5.164 | (8.984) | 22.977 | 12.804 |
Distributions | ||||||
Dividends from Net Investment Income | (1.392) | (1.951) | (2.034) | (1.846) | (1.707) | (1.574) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.392) | (1.951) | (2.034) | (1.846) | (1.707) | (1.574) |
Net Asset Value, End of Period | $179.65 | $186.16 | $130.31 | $127.18 | $138.01 | $116.74 |
Total Return | -2.76% | 44.65% | 4.11% | -6.50% | 19.82% | 12.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,532 | $1,476 | $890 | $919 | $973 | $727 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.14% | 1.21% | 1.57% | 1.47% | 1.38% | 1.34% |
Portfolio Turnover Rate2 | 6% | 16% | 17% | 10% | 12% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $371.30 | $259.90 | $253.60 | $275.26 | $232.82 | $210.40 |
Investment Operations | ||||||
Net Investment Income1 | 2.022 | 4.038 | 3.959 | 3.786 | 3.711 | 3.176 |
Net Realized and Unrealized Gain (Loss) on Investments | (12.180) | 111.307 | 6.384 | (21.653) | 42.301 | 22.516 |
Total from Investment Operations | (10.158) | 115.345 | 10.343 | (17.867) | 46.012 | 25.692 |
Distributions | ||||||
Dividends from Net Investment Income | (2.812) | (3.945) | (4.043) | (3.793) | (3.572) | (3.272) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.812) | (3.945) | (4.043) | (3.793) | (3.572) | (3.272) |
Net Asset Value, End of Period | $358.33 | $371.30 | $259.90 | $253.60 | $275.26 | $232.82 |
Total Return | -2.74% | 44.69% | 4.14% | -6.49% | 19.92% | 12.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,444 | $1,396 | $1,164 | $1,202 | $1,420 | $1,119 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.16% | 1.24% | 1.59% | 1.49% | 1.45% | 1.41% |
Portfolio Turnover Rate2 | 6% | 16% | 17% | 10% | 12% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,406,949 |
Gross Unrealized Appreciation | 714,996 |
Gross Unrealized Depreciation | (139,963) |
Net Unrealized Appreciation (Depreciation) | 575,033 |
E. | During the six months ended February 28, 2022, the fund purchased $601,749,000 of investment securities and sold $395,309,000 of investment securities, other than temporary cash investments. Purchases and sales include $299,434,000 and $213,766,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 335,969 | 1,825 | 666,229 | 4,125 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (224,744) | (1,225) | (484,181) | (3,025) | |
Net Increase (Decrease)—ETF Shares | 111,225 | 600 | 182,048 | 1,100 | |
Institutional Shares | |||||
Issued | 157,060 | 432 | 157,041 | 500 | |
Issued in Lieu of Cash Distributions | 10,352 | 29 | 16,165 | 52 | |
Redeemed | (70,523) | (192) | (422,200) | (1,269) | |
Net Increase (Decrease)—Institutional Shares | 96,889 | 269 | (248,994) | (717) |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Communication Services | 1.4% |
Consumer Discretionary | 13.7 |
Consumer Staples | 5.5 |
Energy | 2.4 |
Financials | 17.3 |
Health Care | 7.1 |
Industrials | 19.3 |
Information Technology | 10.5 |
Materials | 6.5 |
Real Estate | 11.2 |
Utilities | 5.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.6%) | ||||||
Communication Services (1.4%) | ||||||
New York Times Co. Class A | 54,784 | 2,410 | ||||
Cable One Inc. | 1,625 | 2,328 | ||||
TEGNA Inc. | 97,065 | 2,225 | ||||
* | Iridium Communications Inc. | 48,566 | 1,923 | |||
* | TripAdvisor Inc. | 45,073 | 1,147 | |||
* | Yelp Inc. Class A | 27,252 | 924 | |||
John Wiley & Sons Inc. Class A | 17,018 | 856 | ||||
World Wrestling Entertainment Inc. Class A | 13,236 | 784 | ||||
12,597 | ||||||
Consumer Discretionary (13.6%) | ||||||
Lithia Motors Inc. Class A | 23,671 | 8,068 | ||||
Lear Corp. | 46,603 | 7,332 | ||||
Kohl's Corp. | 117,675 | 6,545 | ||||
Macy's Inc. | 242,137 | 6,276 | ||||
Toll Brothers Inc. | 89,510 | 4,857 | ||||
Hanesbrands Inc. | 273,173 | 4,221 | ||||
Thor Industries Inc. | 43,448 | 3,932 | ||||
Leggett & Platt Inc. | 104,352 | 3,869 | ||||
Travel + Leisure Co. | 67,631 | 3,791 | ||||
* | Goodyear Tire & Rubber Co. | 219,898 | 3,406 | |||
Murphy USA Inc. | 18,460 | 3,336 | ||||
* | Adient plc | 73,741 | 3,300 | |||
Carter's Inc. | 32,997 | 3,190 | ||||
* | Capri Holdings Ltd. | 45,940 | 3,112 | |||
Polaris Inc. | 25,455 | 3,093 | ||||
Marriott Vacations Worldwide Corp. | 18,289 | 2,938 | ||||
* | Taylor Morrison Home Corp. Class A | 95,927 | 2,830 | |||
* | Grand Canyon Education Inc. | 31,377 | 2,724 | |||
* | Visteon Corp. | 21,924 | 2,635 | |||
Gentex Corp. | 86,784 | 2,627 | ||||
KB Home | 66,898 | 2,583 | ||||
* | Skechers U.S.A. Inc. Class A | 55,815 | 2,566 | |||
Cracker Barrel Old Country Store Inc. | 18,355 | 2,465 | ||||
Gap Inc. | 167,333 | 2,435 |
Shares | Market Value• ($000) | |||||
* | Callaway Golf Co. | 91,452 | 2,263 | |||
Foot Locker Inc. | 70,711 | 2,236 | ||||
Wyndham Hotels & Resorts Inc. | 25,446 | 2,199 | ||||
Dana Inc. | 112,570 | 2,096 | ||||
Harley-Davidson Inc. | 50,106 | 2,069 | ||||
Texas Roadhouse Inc. Class A | 21,749 | 2,064 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 47,418 | 2,047 | |||
* | Tri Pointe Homes Inc. | 86,758 | 1,941 | |||
* | AutoNation Inc. | 16,562 | 1,899 | |||
Graham Holdings Co. Class B | 3,125 | 1,879 | ||||
H&R Block Inc. | 74,049 | 1,837 | ||||
* | Nordstrom Inc. | 86,971 | 1,804 | |||
Wendy's Co. | 68,922 | 1,567 | ||||
* | Victoria's Secret & Co. | 28,957 | 1,553 | |||
American Eagle Outfitters Inc. | 69,445 | 1,464 | ||||
* | Urban Outfitters Inc. | 51,651 | 1,421 | |||
* | Six Flags Entertainment Corp. | 30,769 | 1,343 | |||
Choice Hotels International Inc. | 8,189 | 1,182 | ||||
Columbia Sportswear Co. | 12,659 | 1,174 | ||||
126,169 | ||||||
Consumer Staples (5.4%) | ||||||
* | Performance Food Group Co. | 120,653 | 6,761 | |||
* | BJ's Wholesale Club Holdings Inc. | 106,722 | 6,710 | |||
Casey's General Stores Inc. | 29,008 | 5,456 | ||||
* | Post Holdings Inc. | 45,781 | 4,813 | |||
Ingredion Inc. | 52,041 | 4,618 | ||||
Flowers Foods Inc. | 155,463 | 4,261 | ||||
* | Hain Celestial Group Inc. | 72,509 | 2,636 | |||
* | Sprouts Farmers Market Inc. | 87,625 | 2,496 | |||
* | Coty Inc. Class A | 261,916 | 2,402 | |||
* | Grocery Outlet Holding Corp. | 68,202 | 1,897 | |||
Nu Skin Enterprises Inc. Class A | 38,886 | 1,804 | ||||
Energizer Holdings Inc. | 49,105 | 1,640 | ||||
Sanderson Farms Inc. | 8,785 | 1,569 | ||||
Lancaster Colony Corp. | 8,076 | 1,358 |
Shares | Market Value• ($000) | |||||
* | Boston Beer Co. Inc. Class A | 2,934 | 1,125 | |||
* | Pilgrim's Pride Corp. | 37,932 | 894 | |||
50,440 | ||||||
Energy (2.4%) | ||||||
EQT Corp. | 236,468 | 5,472 | ||||
NOV Inc. | 305,502 | 5,239 | ||||
* | HollyFrontier Corp. | 116,983 | 3,562 | |||
DT Midstream Inc. | 43,786 | 2,325 | ||||
Equitrans Midstream Corp. | 317,325 | 2,034 | ||||
* | ChampionX Corp. | 83,915 | 1,797 | |||
* | CNX Resources Corp. | 87,461 | 1,429 | |||
21,858 | ||||||
Financials (17.3%) | ||||||
First Horizon Corp. | 422,583 | 9,923 | ||||
* | Alleghany Corp. | 10,706 | 7,087 | |||
Old Republic International Corp. | 223,234 | 5,882 | ||||
Reinsurance Group of America Inc. | 52,845 | 5,858 | ||||
Voya Financial Inc. | 86,771 | 5,844 | ||||
RenaissanceRe Holdings Ltd. | 35,981 | 5,425 | ||||
Prosperity Bancshares Inc. | 72,068 | 5,366 | ||||
Webster Financial Corp. | 82,968 | 4,995 | ||||
Cadence Bank | 153,245 | 4,846 | ||||
Unum Group | 159,899 | 4,464 | ||||
Valley National Bancorp | 318,325 | 4,447 | ||||
Old National Bancorp | 230,778 | 4,219 | ||||
New York Community Bancorp Inc. | 363,744 | 4,198 | ||||
Selective Insurance Group Inc. | 47,058 | 3,915 | ||||
United Bankshares Inc. | 106,677 | 3,907 | ||||
Hanover Insurance Group Inc. | 27,847 | 3,885 | ||||
MGIC Investment Corp. | 254,757 | 3,867 | ||||
Essent Group Ltd. | 86,421 | 3,818 | ||||
American Financial Group Inc. | 27,440 | 3,715 | ||||
Synovus Financial Corp. | 68,332 | 3,598 | ||||
FNB Corp. | 265,087 | 3,560 | ||||
* | Brighthouse Financial Inc. | 62,476 | 3,265 | |||
Commerce Bancshares Inc. | 43,335 | 3,111 | ||||
First American Financial Corp. | 46,407 | 3,111 | ||||
Associated Banc-Corp | 117,157 | 2,857 | ||||
Cullen/Frost Bankers Inc. | 19,477 | 2,741 | ||||
* | Texas Capital Bancshares Inc. | 39,505 | 2,631 | |||
Kemper Corp. | 46,860 | 2,504 | ||||
Janus Henderson Group plc | 71,896 | 2,414 | ||||
Bank OZK | 49,997 | 2,351 | ||||
CNO Financial Group Inc. | 96,594 | 2,335 | ||||
Umpqua Holdings Corp. | 106,555 | 2,275 | ||||
FirstCash Holdings Inc. | 31,564 | 2,274 | ||||
Fulton Financial Corp. | 125,965 | 2,270 | ||||
Wintrust Financial Corp. | 22,251 | 2,211 | ||||
Hancock Whitney Corp. | 37,284 | 2,076 | ||||
SEI Investments Co. | 34,042 | 1,994 | ||||
Washington Federal Inc. | 51,021 | 1,815 | ||||
International Bancshares Corp. | 41,692 | 1,793 |
Shares | Market Value• ($000) | |||||
Home BancShares Inc. | 74,079 | 1,734 | ||||
Cathay General Bancorp | 36,772 | 1,729 | ||||
Interactive Brokers Group Inc. Class A | 25,926 | 1,716 | ||||
Bank of Hawaii Corp. | 18,334 | 1,580 | ||||
Primerica Inc. | 11,713 | 1,521 | ||||
* | PROG Holdings Inc. | 44,277 | 1,357 | |||
Federated Hermes Inc. Class B | 40,230 | 1,314 | ||||
RLI Corp. | 12,489 | 1,268 | ||||
Mercury General Corp. | 20,847 | 1,147 | ||||
160,213 | ||||||
Health Care (7.1%) | ||||||
* | Molina Healthcare Inc. | 23,274 | 7,142 | |||
* | Jazz Pharmaceuticals plc | 48,046 | 6,602 | |||
* | Envista Holdings Corp. | 126,143 | 6,055 | |||
Encompass Health Corp. | 77,782 | 5,135 | ||||
* | Amedisys Inc. | 25,506 | 4,087 | |||
* | Acadia Healthcare Co. Inc. | 70,357 | 3,990 | |||
Perrigo Co. plc | 104,672 | 3,718 | ||||
* | LHC Group Inc. | 24,790 | 3,376 | |||
* | United Therapeutics Corp. | 18,333 | 3,047 | |||
Chemed Corp. | 5,166 | 2,471 | ||||
* | Exelixis Inc. | 116,084 | 2,383 | |||
* | Haemonetics Corp. | 39,892 | 2,302 | |||
* | NuVasive Inc. | 40,388 | 2,186 | |||
Patterson Cos. Inc. | 67,711 | 2,025 | ||||
* | ICU Medical Inc. | 8,272 | 1,958 | |||
* | Integra LifeSciences Holdings Corp. | 27,906 | 1,871 | |||
* | Globus Medical Inc. Class A | 24,780 | 1,743 | |||
* | LivaNova plc | 16,674 | 1,314 | |||
* | Neogen Corp. | 35,379 | 1,263 | |||
* | R1 RCM Inc. | 43,755 | 1,190 | |||
* | HealthEquity Inc. | 21,576 | 1,159 | |||
* | Progyny Inc. | 20,618 | 811 | |||
65,828 | ||||||
Industrials (19.2%) | ||||||
AECOM | 112,614 | 8,182 | ||||
Owens Corning | 78,532 | 7,318 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 129,701 | 7,066 | ||||
Woodward Inc. | 49,283 | 6,142 | ||||
Oshkosh Corp. | 53,656 | 5,958 | ||||
AGCO Corp. | 47,971 | 5,764 | ||||
* | XPO Logistics Inc. | 77,130 | 5,606 | |||
* | CACI International Inc. Class A | 18,244 | 5,104 | |||
Regal Rexnord Corp. | 30,733 | 4,928 | ||||
EMCOR Group Inc. | 41,736 | 4,822 | ||||
Curtiss-Wright Corp. | 30,695 | 4,528 | ||||
ManpowerGroup Inc. | 42,424 | 4,509 | ||||
* | Sunrun Inc. | 161,937 | 4,418 | |||
MDU Resources Group Inc. | 159,062 | 4,258 | ||||
* | Stericycle Inc. | 71,869 | 4,194 | |||
* | Univar Solutions Inc. | 133,751 | 4,107 |
Shares | Market Value• ($000) | |||||
Science Applications International Corp. | 45,046 | 3,950 | ||||
Graco Inc. | 53,197 | 3,835 | ||||
* | JetBlue Airways Corp. | 249,121 | 3,804 | |||
Hexcel Corp. | 65,649 | 3,801 | ||||
Timken Co. | 54,021 | 3,542 | ||||
Hubbell Inc. Class B | 19,589 | 3,492 | ||||
Ryder System Inc. | 42,026 | 3,313 | ||||
Flowserve Corp. | 101,984 | 3,097 | ||||
* | Kirby Corp. | 47,058 | 3,066 | |||
GATX Corp. | 27,793 | 2,964 | ||||
Lennox International Inc. | 11,070 | 2,955 | ||||
MSC Industrial Direct Co. Inc. Class A | 36,663 | 2,841 | ||||
* | Middleby Corp. | 15,630 | 2,776 | |||
Brink's Co. | 38,368 | 2,688 | ||||
* | Mercury Systems Inc. | 44,208 | 2,662 | |||
ITT Inc. | 29,401 | 2,583 | ||||
Donaldson Co. Inc. | 47,271 | 2,565 | ||||
* | Colfax Corp. | 62,223 | 2,502 | |||
Lincoln Electric Holdings Inc. | 19,426 | 2,476 | ||||
Watsco Inc. | 8,796 | 2,402 | ||||
* | Fluor Corp. | 110,367 | 2,391 | |||
EnerSys | 32,689 | 2,377 | ||||
MillerKnoll Inc. | 59,153 | 2,300 | ||||
Terex Corp. | 54,471 | 2,249 | ||||
Kennametal Inc. | 65,296 | 2,071 | ||||
Werner Enterprises Inc. | 47,480 | 2,063 | ||||
Crane Co. | 19,873 | 2,009 | ||||
MSA Safety Inc. | 13,938 | 1,939 | ||||
KBR Inc. | 38,389 | 1,906 | ||||
nVent Electric plc | 53,847 | 1,827 | ||||
* | IAA Inc. | 48,385 | 1,778 | |||
* | MasTec Inc. | 21,925 | 1,727 | |||
Landstar System Inc. | 10,425 | 1,610 | ||||
* | Clean Harbors Inc. | 16,010 | 1,528 | |||
* | Dycom Industries Inc. | 14,368 | 1,251 | |||
Trinity Industries Inc. | 31,972 | 923 | ||||
178,167 | ||||||
Information Technology (10.4%) | ||||||
* | Arrow Electronics Inc. | 54,424 | 6,633 | |||
Western Union Co. | 314,255 | 5,713 | ||||
* | Fair Isaac Corp. | 8,988 | 4,235 | |||
* | Wolfspeed Inc. | 40,797 | 4,191 | |||
* | NCR Corp. | 103,247 | 4,184 | |||
Jabil Inc. | 62,815 | 3,631 | ||||
* | Euronet Worldwide Inc. | 27,298 | 3,500 | |||
Cognex Corp. | 51,204 | 3,459 | ||||
* | WEX Inc. | 19,995 | 3,369 | |||
TD SYNNEX Corp. | 32,315 | 3,291 | ||||
Avnet Inc. | 77,675 | 3,268 | ||||
Vontier Corp. | 132,328 | 3,216 | ||||
* | Lumentum Holdings Inc. | 31,129 | 3,077 | |||
* | Ciena Corp. | 44,874 | 3,070 | |||
* | II-VI Inc. | 43,208 | 3,001 |
Shares | Market Value• ($000) | |||||
MKS Instruments Inc. | 19,538 | 2,942 | ||||
Alliance Data Systems Corp. | 38,857 | 2,621 | ||||
* | Viasat Inc. | 57,328 | 2,617 | |||
* | First Solar Inc. | 31,759 | 2,391 | |||
* | Kyndryl Holdings Inc. | 140,332 | 2,226 | |||
CDK Global Inc. | 48,957 | 2,220 | ||||
Xerox Holdings Corp. | 107,288 | 2,115 | ||||
* | Cirrus Logic Inc. | 23,197 | 2,015 | |||
Vishay Intertechnology Inc. | 103,615 | 1,988 | ||||
Belden Inc. | 35,051 | 1,975 | ||||
National Instruments Corp. | 48,539 | 1,949 | ||||
Genpact Ltd. | 45,904 | 1,921 | ||||
Littelfuse Inc. | 7,303 | 1,886 | ||||
* | ACI Worldwide Inc. | 48,726 | 1,633 | |||
* | Envestnet Inc. | 20,091 | 1,503 | |||
* | Sabre Corp. | 131,283 | 1,435 | |||
CMC Materials Inc. | 7,320 | 1,357 | ||||
* | Semtech Corp. | 17,089 | 1,186 | |||
Amkor Technology Inc. | 46,147 | 1,046 | ||||
* | CommVault Systems Inc. | 12,424 | 782 | |||
* | Blackbaud Inc. | 11,317 | 707 | |||
* | Cerence Inc. | 14,274 | 515 | |||
96,868 | ||||||
Materials (6.5%) | ||||||
Reliance Steel & Aluminum Co. | 48,974 | 9,348 | ||||
Alcoa Corp. | 87,763 | 6,612 | ||||
United States Steel Corp. | 211,320 | 5,750 | ||||
Sonoco Products Co. | 76,916 | 4,516 | ||||
RPM International Inc. | 49,722 | 4,205 | ||||
Commercial Metals Co. | 94,363 | 3,638 | ||||
Chemours Co. | 127,527 | 3,520 | ||||
AptarGroup Inc. | 27,827 | 3,391 | ||||
Cabot Corp. | 44,405 | 3,249 | ||||
Silgan Holdings Inc. | 65,513 | 2,744 | ||||
Royal Gold Inc. | 20,489 | 2,484 | ||||
Ashland Global Holdings Inc. | 25,122 | 2,318 | ||||
Minerals Technologies Inc. | 26,027 | 1,822 | ||||
NewMarket Corp. | 5,393 | 1,714 | ||||
Worthington Industries Inc. | 25,300 | 1,442 | ||||
Greif Inc. Class A | 20,681 | 1,189 | ||||
Sensient Technologies Corp. | 14,072 | 1,156 | ||||
* | Ingevity Corp. | 14,075 | 960 | |||
60,058 | ||||||
Real Estate (11.2%) | ||||||
Medical Properties Trust Inc. | 465,890 | 9,476 | ||||
STORE Capital Corp. | 191,850 | 5,894 | ||||
Kilroy Realty Corp. | 81,943 | 5,869 | ||||
Omega Healthcare Investors Inc. | 186,845 | 5,263 | ||||
* | Jones Lang LaSalle Inc. | 20,128 | 4,956 | |||
Cousins Properties Inc. | 116,298 | 4,493 | ||||
Spirit Realty Capital Inc. | 96,453 | 4,472 | ||||
SL Green Realty Corp. | 52,198 | 4,151 | ||||
Kite Realty Group Trust | 171,370 | 3,758 |
Shares | Market Value• ($000) | |||||
Highwoods Properties Inc. | 81,698 | 3,562 | ||||
* | Park Hotels & Resorts Inc. | 185,070 | 3,487 | |||
Apartment Income REIT Corp. | 65,126 | 3,361 | ||||
National Retail Properties Inc. | 75,614 | 3,222 | ||||
Hudson Pacific Properties Inc. | 119,391 | 3,152 | ||||
CyrusOne Inc. | 34,769 | 3,141 | ||||
EPR Properties | 58,395 | 2,908 | ||||
Physicians Realty Trust | 171,999 | 2,797 | ||||
American Campus Communities Inc. | 48,876 | 2,630 | ||||
Brixmor Property Group Inc. | 104,323 | 2,621 | ||||
Macerich Co. | 166,289 | 2,544 | ||||
Lamar Advertising Co. Class A | 23,044 | 2,513 | ||||
Sabra Health Care REIT Inc. | 178,506 | 2,397 | ||||
JBG SMITH Properties | 89,114 | 2,378 | ||||
Douglas Emmett Inc. | 73,955 | 2,344 | ||||
Pebblebrook Hotel Trust | 102,559 | 2,309 | ||||
Corporate Office Properties Trust | 87,641 | 2,297 | ||||
First Industrial Realty Trust Inc. | 31,536 | 1,816 | ||||
Rayonier Inc. | 44,657 | 1,773 | ||||
PotlatchDeltic Corp. | 29,438 | 1,616 | ||||
Healthcare Realty Trust Inc. | 61,256 | 1,597 | ||||
PS Business Parks Inc. | 5,805 | 925 | ||||
103,722 | ||||||
Utilities (5.1%) | ||||||
UGI Corp. | 163,435 | 6,283 | ||||
IDACORP Inc. | 39,521 | 4,108 | ||||
OGE Energy Corp. | 98,670 | 3,705 | ||||
Hawaiian Electric Industries Inc. | 85,566 | 3,507 | ||||
Black Hills Corp. | 49,953 | 3,496 |
Shares | Market Value• ($000) | |||||
ONE Gas Inc. | 41,947 | 3,485 | ||||
Southwest Gas Holdings Inc. | 47,269 | 3,353 | ||||
New Jersey Resources Corp. | 75,495 | 3,293 | ||||
Essential Utilities Inc. | 66,617 | 3,138 | ||||
PNM Resources Inc. | 67,194 | 3,035 | ||||
Spire Inc. | 40,345 | 2,708 | ||||
ALLETE Inc. | 41,173 | 2,592 | ||||
NorthWestern Corp. | 41,101 | 2,486 | ||||
National Fuel Gas Co. | 34,161 | 2,126 | ||||
47,315 | ||||||
Total Common Stocks (Cost $848,818) | 923,235 | |||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.138% (Cost $3,673) | 36,738 | 3,673 | |||
Total Investments (100.0%) (Cost $852,491) | 926,908 | |||||
Other Assets and Liabilities—Net (0.0%) | (169) | |||||
Net Assets (100%) | 926,739 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2022 | 2 | 532 | 9 |
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) |
Harley-Davidson Inc. | 8/31/22 | BANA | 2,420 | (0.071) | 482 | — |
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. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $848,818) | 923,235 |
Affiliated Issuers (Cost $3,673) | 3,673 |
Total Investments in Securities | 926,908 |
Investment in Vanguard | 30 |
Cash Collateral Pledged—Futures Contracts | 30 |
Receivables for Accrued Income | 903 |
Receivables for Capital Shares Issued | 1 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 482 |
Total Assets | 928,354 |
Liabilities | |
Payables for Investment Securities Purchased | 1,541 |
Payables for Capital Shares Redeemed | 28 |
Payables to Vanguard | 46 |
Variation Margin Payable—Futures Contracts | — |
Total Liabilities | 1,615 |
Net Assets | 926,739 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 916,755 |
Total Distributable Earnings (Loss) | 9,984 |
Net Assets | 926,739 |
ETF Shares—Net Assets | |
Applicable to 5,100,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 835,807 |
Net Asset Value Per Share—ETF Shares | $163.88 |
Institutional Shares—Net Assets | |
Applicable to 276,651 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 90,932 |
Net Asset Value Per Share—Institutional Shares | $328.69 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,508 |
Interest1 | 2 |
Securities Lending—Net | 2 |
Total Income | 7,512 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 5 |
Management and Administrative—ETF Shares | 562 |
Management and Administrative—Institutional Shares | 36 |
Marketing and Distribution—ETF Shares | 15 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 14 |
Shareholders’ Reports—ETF Shares | 17 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 8 |
Total Expenses | 660 |
Net Investment Income | 6,852 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 101,985 |
Futures Contracts | (38) |
Swap Contracts | (327) |
Realized Net Gain (Loss) | 101,620 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (103,347) |
Futures Contracts | (54) |
Swap Contracts | 482 |
Change in Unrealized Appreciation (Depreciation) | (102,919) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,553 |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $114,073,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 6,852 | 14,037 | |
Realized Net Gain (Loss) | 101,620 | 23,607 | |
Change in Unrealized Appreciation (Depreciation) | (102,919) | 272,949 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,553 | 310,593 | |
Distributions | |||
ETF Shares | (15,176) | (12,813) | |
Institutional Shares | (1,625) | (3,807) | |
Total Distributions | (16,801) | (16,620) | |
Capital Share Transactions | |||
ETF Shares | 24,291 | 92,161 | |
Institutional Shares | (70,361) | (63,166) | |
Net Increase (Decrease) from Capital Share Transactions | (46,070) | 28,995 | |
Total Increase (Decrease) | (57,318) | 322,968 | |
Net Assets | |||
Beginning of Period | 984,057 | 661,089 | |
End of Period | 926,739 | 984,057 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $165.29 | $109.60 | $117.53 | $130.06 | $112.31 | $101.70 |
Investment Operations | ||||||
Net Investment Income1 | 1.191 | 2.488 | 2.423 | 2.061 | 2.090 | 1.767 |
Net Realized and Unrealized Gain (Loss) on Investments | .404 | 56.385 | (8.078) | (12.629) | 17.548 | 10.344 |
Total from Investment Operations | 1.595 | 58.873 | (5.655) | (10.568) | 19.638 | 12.111 |
Distributions | ||||||
Dividends from Net Investment Income | (3.005) | (3.183) | (2.275) | (1.962) | (1.888) | (1.501) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.005) | (3.183) | (2.275) | (1.962) | (1.888) | (1.501) |
Net Asset Value, End of Period | $163.88 | $165.29 | $109.60 | $117.53 | $130.06 | $112.31 |
Total Return | 0.98% | 54.51% | -5.10% | -8.04% | 17.60% | 11.91% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $836 | $822 | $501 | $685 | $735 | $632 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.50% | 1.72% | 2.13% | 1.72% | 1.72% | 1.61% |
Portfolio Turnover Rate2 | 28% | 36% | 51% | 38% | 36% | 39% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $331.49 | $219.78 | $235.62 | $260.90 | $225.05 | $203.65 |
Investment Operations | ||||||
Net Investment Income1 | 2.719 | 5.090 | 5.011 | 4.332 | 4.454 | 3.866 |
Net Realized and Unrealized Gain (Loss) on Investments | .596 | 113.153 | (16.157) | (25.380) | 35.198 | 20.656 |
Total from Investment Operations | 3.315 | 118.243 | (11.146) | (21.048) | 39.652 | 24.522 |
Distributions | ||||||
Dividends from Net Investment Income | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) | (3.122) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) | (3.122) |
Net Asset Value, End of Period | $328.69 | $331.49 | $219.78 | $235.62 | $260.90 | $225.05 |
Total Return | 1.06% | 54.62% | -5.01% | -7.99% | 17.75% | 12.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $91 | $162 | $160 | $186 | $235 | $159 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.71% | 1.79% | 2.21% | 1.79% | 1.84% | 1.73% |
Portfolio Turnover Rate2 | 28% | 36% | 51% | 38% | 36% | 39% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 923,235 | — | — | 923,235 |
Temporary Cash Investments | 3,673 | — | — | 3,673 |
Total | 926,908 | — | — | 926,908 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 9 | — | — | 9 |
Swap Contracts | — | 482 | — | 482 |
Total | 9 | 482 | — | 491 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 853,955 |
Gross Unrealized Appreciation | 115,678 |
Gross Unrealized Depreciation | (42,234) |
Net Unrealized Appreciation (Depreciation) | 73,444 |
E. | During the six months ended February 28, 2022, the fund purchased $527,740,000 of investment securities and sold $579,747,000 of investment securities, other than temporary cash investments. Purchases and sales include $265,288,000 and $324,722,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 353,948 | 2,125 | 301,250 | 2,050 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (329,657) | (2,000) | (209,089) | (1,650) | |
Net Increase (Decrease)—ETF Shares | 24,291 | 125 | 92,161 | 400 | |
Institutional Shares | |||||
Issued | 7,940 | 24 | 26,775 | 92 | |
Issued in Lieu of Cash Distributions | 1,318 | 4 | 3,181 | 12 | |
Redeemed | (79,619) | (239) | (93,122) | (342) | |
Net Increase (Decrease)—Institutional Shares | (70,361) | (211) | (63,166) | (238) |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Communication Services | 2.1% |
Consumer Discretionary | 16.0 |
Consumer Staples | 1.5 |
Energy | 3.1 |
Financials | 11.9 |
Health Care | 11.6 |
Industrials | 17.7 |
Information Technology | 18.5 |
Materials | 7.5 |
Real Estate | 9.0 |
Utilities | 1.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.1%) | ||||||
* | Ziff Davis Inc. | 39,811 | 4,005 | |||
New York Times Co. Class A | 80,008 | 3,520 | ||||
Cable One Inc. | 2,373 | 3,400 | ||||
* | Iridium Communications Inc. | 57,807 | 2,289 | |||
TEGNA Inc. | 80,361 | 1,842 | ||||
World Wrestling Entertainment Inc. Class A | 22,921 | 1,358 | ||||
* | Yelp Inc. Class A | 27,734 | 940 | |||
John Wiley & Sons Inc. Class A | 17,970 | 904 | ||||
* | TripAdvisor Inc. | 34,366 | 874 | |||
19,132 | ||||||
Consumer Discretionary (16.0%) | ||||||
Williams-Sonoma Inc. | 61,395 | 8,894 | ||||
Service Corp. International | 136,156 | 8,285 | ||||
* | Five Below Inc. | 46,250 | 7,567 | |||
* | Mattel Inc. | 289,239 | 7,225 | |||
Churchill Downs Inc. | 28,422 | 6,846 | ||||
* | Deckers Outdoor Corp. | 22,660 | 6,541 | |||
* | GameStop Corp. Class A | 51,152 | 6,309 | |||
Brunswick Corp. | 63,645 | 6,079 | ||||
* | TopBuild Corp. | 27,183 | 5,836 | |||
* | RH | 14,320 | 5,755 | |||
1 | Dick's Sporting Goods Inc. | 53,573 | 5,625 | |||
Tempur Sealy International Inc. | 158,935 | 5,246 | ||||
* | Capri Holdings Ltd. | 75,773 | 5,133 | |||
* | Scientific Games Corp. | 79,683 | 5,014 | |||
* | Boyd Gaming Corp. | 67,714 | 4,804 | |||
* | YETI Holdings Inc. | 72,352 | 4,454 | |||
Wyndham Hotels & Resorts Inc. | 50,010 | 4,321 | ||||
* | Fox Factory Holding Corp. | 34,761 | 4,103 | |||
* | Helen of Troy Ltd. | 19,921 | 4,097 | |||
* | Crocs Inc. | 48,582 | 4,068 | |||
Wingstop Inc. | 24,625 | 3,579 | ||||
Texas Roadhouse Inc. Class A | 34,499 | 3,274 | ||||
Gentex Corp. | 103,491 | 3,133 |
Shares | Market Value• ($000) | |||||
Papa John's International Inc. | 26,721 | 2,854 | ||||
Choice Hotels International Inc. | 18,414 | 2,658 | ||||
Marriott Vacations Worldwide Corp. | 15,833 | 2,544 | ||||
Polaris Inc. | 20,267 | 2,463 | ||||
* | Skechers U.S.A. Inc. Class A | 52,399 | 2,409 | |||
* | AutoNation Inc. | 15,503 | 1,778 | |||
Wendy's Co. | 72,829 | 1,656 | ||||
H&R Block Inc. | 66,682 | 1,654 | ||||
* | Victoria's Secret & Co. | 29,286 | 1,571 | |||
Columbia Sportswear Co. | 15,123 | 1,402 | ||||
* | Six Flags Entertainment Corp. | 31,321 | 1,367 | |||
American Eagle Outfitters Inc. | 53,277 | 1,123 | ||||
149,667 | ||||||
Consumer Staples (1.5%) | ||||||
* | Darling Ingredients Inc. | 133,586 | 9,682 | |||
* | Boston Beer Co. Inc. Class A | 4,655 | 1,785 | |||
Sanderson Farms Inc. | 8,231 | 1,470 | ||||
Lancaster Colony Corp. | 7,866 | 1,323 | ||||
14,260 | ||||||
Energy (3.1%) | ||||||
Targa Resources Corp. | 189,052 | 12,358 | ||||
PDC Energy Inc. | 80,398 | 5,187 | ||||
Murphy Oil Corp. | 119,837 | 4,155 | ||||
Antero Midstream Corp. | 268,272 | 2,694 | ||||
DT Midstream Inc. | 33,526 | 1,780 | ||||
* | ChampionX Corp. | 78,346 | 1,678 | |||
* | CNX Resources Corp. | 82,014 | 1,340 | |||
29,192 | ||||||
Financials (11.9%) | ||||||
East West Bancorp Inc. | 117,166 | 10,259 | ||||
Pinnacle Financial Partners Inc. | 62,865 | 6,354 | ||||
Stifel Financial Corp. | 85,955 | 6,318 | ||||
Jefferies Financial Group Inc. | 162,187 | 5,764 | ||||
First Financial Bankshares Inc. | 105,859 | 5,073 |
Shares | Market Value• ($000) | |||||
Glacier Bancorp Inc. | 89,565 | 4,962 | ||||
PacWest Bancorp | 96,796 | 4,784 | ||||
SLM Corp. | 242,041 | 4,768 | ||||
Affiliated Managers Group Inc. | 33,562 | 4,644 | ||||
Evercore Inc. Class A | 32,212 | 4,091 | ||||
Kinsale Capital Group Inc. | 17,710 | 3,715 | ||||
Cullen/Frost Bankers Inc. | 26,203 | 3,688 | ||||
Webster Financial Corp. | 60,871 | 3,665 | ||||
UMB Financial Corp. | 35,521 | 3,618 | ||||
American Financial Group Inc. | 25,665 | 3,475 | ||||
Commerce Bancshares Inc. | 45,821 | 3,289 | ||||
SEI Investments Co. | 51,626 | 3,024 | ||||
Interactive Brokers Group Inc. Class A | 44,710 | 2,959 | ||||
First American Financial Corp. | 41,692 | 2,795 | ||||
Primerica Inc. | 20,217 | 2,626 | ||||
Synovus Financial Corp. | 48,060 | 2,530 | ||||
Navient Corp. | 133,177 | 2,345 | ||||
Wintrust Financial Corp. | 23,543 | 2,339 | ||||
Bank OZK | 46,965 | 2,208 | ||||
Janus Henderson Group plc | 64,835 | 2,176 | ||||
RLI Corp. | 19,706 | 2,000 | ||||
Hancock Whitney Corp. | 32,231 | 1,795 | ||||
Umpqua Holdings Corp. | 66,177 | 1,413 | ||||
Federated Hermes Inc. Class B | 37,609 | 1,229 | ||||
Bank of Hawaii Corp. | 14,054 | 1,211 | ||||
Cathay General Bancorp | 24,815 | 1,167 | ||||
Home BancShares Inc. | 45,960 | 1,076 | ||||
111,360 | ||||||
Health Care (11.6%) | ||||||
* | Repligen Corp. | 42,451 | 8,350 | |||
* | Tenet Healthcare Corp. | 88,443 | 7,605 | |||
* | Molina Healthcare Inc. | 23,659 | 7,260 | |||
* | Neurocrine Biosciences Inc. | 78,320 | 7,039 | |||
* | Syneos Health Inc. | 85,611 | 6,780 | |||
* | Masimo Corp. | 41,945 | 6,604 | |||
* | Penumbra Inc. | 28,994 | 6,429 | |||
* | Tandem Diabetes Care Inc. | 52,454 | 5,908 | |||
Bruker Corp. | 83,891 | 5,904 | ||||
* | Halozyme Therapeutics Inc. | 116,225 | 4,123 | |||
* | Arrowhead Pharmaceuticals Inc. | 86,070 | 3,787 | |||
* | Medpace Holdings Inc. | 23,736 | 3,631 | |||
Chemed Corp. | 7,245 | 3,465 | ||||
* | Quidel Corp. | 31,309 | 3,312 | |||
* | STAAR Surgical Co. | 39,299 | 3,117 | |||
* | United Therapeutics Corp. | 17,847 | 2,966 | |||
* | Option Care Health Inc. | 114,348 | 2,939 | |||
* | Exelixis Inc. | 138,555 | 2,845 | |||
* | Globus Medical Inc. Class A | 39,166 | 2,754 | |||
* | HealthEquity Inc. | 46,218 | 2,482 |
Shares | Market Value• ($000) | |||||
* | LivaNova plc | 26,352 | 2,077 | |||
* | Integra LifeSciences Holdings Corp. | 30,646 | 2,055 | |||
* | Neogen Corp. | 51,437 | 1,836 | |||
* | ICU Medical Inc. | 7,749 | 1,835 | |||
* | R1 RCM Inc. | 63,806 | 1,735 | |||
* | Progyny Inc. | 35,642 | 1,403 | |||
108,241 | ||||||
Industrials (17.6%) | ||||||
* | Builders FirstSource Inc. | 158,105 | 11,766 | |||
Carlisle Cos. Inc. | 43,169 | 10,248 | ||||
* | Trex Co. Inc. | 95,040 | 8,728 | |||
Toro Co. | 87,883 | 8,244 | ||||
* | Axon Enterprise Inc. | 54,222 | 7,605 | |||
Tetra Tech Inc. | 44,641 | 7,088 | ||||
* | GXO Logistics Inc. | 81,399 | 6,832 | |||
* | Saia Inc. | 21,744 | 6,245 | |||
Graco Inc. | 84,235 | 6,072 | ||||
* | Avis Budget Group Inc. | 33,089 | 6,070 | |||
Acuity Brands Inc. | 28,835 | 5,259 | ||||
* | Middleby Corp. | 29,386 | 5,220 | |||
Watsco Inc. | 17,996 | 4,914 | ||||
* | ASGN Inc. | 43,018 | 4,766 | |||
Hubbell Inc. Class B | 24,259 | 4,324 | ||||
Lennox International Inc. | 16,119 | 4,303 | ||||
Simpson Manufacturing Co. Inc. | 35,865 | 4,250 | ||||
* | FTI Consulting Inc. | 28,310 | 4,133 | |||
Valmont Industries Inc. | 17,522 | 3,793 | ||||
Regal Rexnord Corp. | 23,496 | 3,768 | ||||
KBR Inc. | 75,287 | 3,737 | ||||
Lincoln Electric Holdings Inc. | 28,289 | 3,606 | ||||
ITT Inc. | 39,555 | 3,476 | ||||
Watts Water Technologies Inc. Class A | 22,751 | 3,275 | ||||
Landstar System Inc. | 20,452 | 3,158 | ||||
Donaldson Co. Inc. | 52,071 | 2,826 | ||||
nVent Electric plc | 81,964 | 2,781 | ||||
Insperity Inc. | 29,575 | 2,660 | ||||
* | Clean Harbors Inc. | 24,358 | 2,324 | |||
* | IAA Inc. | 60,183 | 2,211 | |||
MSA Safety Inc. | 15,346 | 2,135 | ||||
Crane Co. | 20,172 | 2,039 | ||||
* | MasTec Inc. | 24,115 | 1,899 | |||
* | Colfax Corp. | 45,551 | 1,832 | |||
* | Vicor Corp. | 17,680 | 1,322 | |||
Trinity Industries Inc. | 33,740 | 974 | ||||
* | Dycom Industries Inc. | 9,721 | 846 | |||
164,729 | ||||||
Information Technology (18.5%) | ||||||
* | Aspen Technology Inc. | 55,250 | 8,421 | |||
* | Synaptics Inc. | 32,423 | 7,406 | |||
* | Lattice Semiconductor Corp. | 113,062 | 7,080 | |||
Concentrix Corp. | 35,422 | 7,080 | ||||
* | Manhattan Associates Inc. | 52,251 | 6,985 |
Shares | Market Value• ($000) | |||||
* | Paylocity Holding Corp. | 32,711 | 6,949 | |||
Cognex Corp. | 91,956 | 6,213 | ||||
* | Fair Isaac Corp. | 13,101 | 6,173 | |||
Universal Display Corp. | 35,795 | 5,545 | ||||
* | Ciena Corp. | 80,571 | 5,513 | |||
* | Wolfspeed Inc. | 52,623 | 5,405 | |||
Azenta Inc. | 61,383 | 5,372 | ||||
* | Coherent Inc. | 20,258 | 5,355 | |||
* | Silicon Laboratories Inc. | 33,180 | 5,100 | |||
Power Integrations Inc. | 49,810 | 4,483 | ||||
* | Teradata Corp. | 89,581 | 4,478 | |||
* | Mimecast Ltd. | 50,975 | 4,054 | |||
Maximus Inc. | 50,784 | 4,005 | ||||
Genpact Ltd. | 94,223 | 3,942 | ||||
MKS Instruments Inc. | 25,184 | 3,793 | ||||
* | First Solar Inc. | 48,166 | 3,626 | |||
* | Digital Turbine Inc. | 72,592 | 3,519 | |||
* | Qualys Inc. | 27,567 | 3,454 | |||
Littelfuse Inc. | 12,608 | 3,255 | ||||
* | Sailpoint Technologies Holdings Inc. | 77,002 | 3,186 | |||
Jabil Inc. | 52,060 | 3,010 | ||||
* | II-VI Inc. | 42,059 | 2,921 | |||
CMC Materials Inc. | 15,724 | 2,916 | ||||
* | WEX Inc. | 15,913 | 2,681 | |||
* | Lumentum Holdings Inc. | 26,875 | 2,657 | |||
* | SiTime Corp. | 12,383 | 2,503 | |||
* | Calix Inc. | 45,305 | 2,462 | |||
* | Semtech Corp. | 35,061 | 2,433 | |||
* | LiveRamp Holdings Inc. | 56,253 | 2,428 | |||
National Instruments Corp. | 57,761 | 2,319 | ||||
CDK Global Inc. | 45,882 | 2,080 | ||||
* | Cirrus Logic Inc. | 22,629 | 1,966 | |||
* | Euronet Worldwide Inc. | 14,838 | 1,903 | |||
* | Envestnet Inc. | 23,894 | 1,788 | |||
* | CommVault Systems Inc. | 24,416 | 1,536 | |||
* | ACI Worldwide Inc. | 45,610 | 1,529 | |||
* | Sabre Corp. | 127,957 | 1,399 | |||
* | Blackbaud Inc. | 22,236 | 1,389 | |||
* | SunPower Corp. | 68,678 | 1,231 | |||
Amkor Technology Inc. | 33,870 | 768 | ||||
* | Cerence Inc. | 16,279 | 588 | |||
172,899 | ||||||
Materials (7.5%) | ||||||
Steel Dynamics Inc. | 155,648 | 10,986 | ||||
* | Cleveland-Cliffs Inc. | 375,715 | 8,401 | |||
Olin Corp. | 118,421 | 6,100 | ||||
Louisiana-Pacific Corp. | 72,643 | 5,227 | ||||
Valvoline Inc. | 149,240 | 4,825 | ||||
Scotts Miracle-Gro Co. | 33,629 | 4,710 | ||||
Alcoa Corp. | 61,789 | 4,655 | ||||
RPM International Inc. | 54,619 | 4,619 | ||||
Eagle Materials Inc. | 33,578 | 4,594 | ||||
Avient Corp. | 75,532 | 3,957 | ||||
Royal Gold Inc. | 32,515 | 3,943 |
Shares | Market Value• ($000) | |||||
AptarGroup Inc. | 25,014 | 3,049 | ||||
Ashland Global Holdings Inc. | 20,036 | 1,849 | ||||
Sensient Technologies Corp. | 19,766 | 1,623 | ||||
* | Ingevity Corp. | 17,541 | 1,197 | |||
69,735 | ||||||
Real Estate (9.0%) | ||||||
Camden Property Trust | 84,378 | 13,932 | ||||
Rexford Industrial Realty Inc. | 125,082 | 8,772 | ||||
Life Storage Inc. | 67,719 | 8,573 | ||||
EastGroup Properties Inc. | 33,592 | 6,408 | ||||
CyrusOne Inc. | 68,107 | 6,154 | ||||
Lamar Advertising Co. Class A | 47,310 | 5,160 | ||||
* | Jones Lang LaSalle Inc. | 20,418 | 5,027 | |||
First Industrial Realty Trust Inc. | 74,235 | 4,274 | ||||
National Storage Affiliates Trust | 67,658 | 3,942 | ||||
American Campus Communities Inc. | 63,190 | 3,400 | ||||
Brixmor Property Group Inc. | 134,844 | 3,387 | ||||
Apartment Income REIT Corp. | 60,918 | 3,144 | ||||
Rayonier Inc. | 70,867 | 2,813 | ||||
National Retail Properties Inc. | 65,232 | 2,780 | ||||
Douglas Emmett Inc. | 66,583 | 2,111 | ||||
PS Business Parks Inc. | 10,459 | 1,666 | ||||
Healthcare Realty Trust Inc. | 57,217 | 1,492 | ||||
PotlatchDeltic Corp. | 24,395 | 1,339 | ||||
84,374 | ||||||
Utilities (1.1%) | ||||||
Essential Utilities Inc. | 119,625 | 5,636 | ||||
National Fuel Gas Co. | 39,177 | 2,438 | ||||
OGE Energy Corp. | 61,099 | 2,294 | ||||
10,368 | ||||||
Total Common Stocks (Cost $831,451) | 933,957 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.138% (Cost $6,035) | 60,354 | 6,035 | |||
Total Investments (100.5%) (Cost $837,486) | 939,992 | |||||
Other Assets and Liabilities—Net (-0.5%) | (4,851) | |||||
Net Assets (100%) | 935,141 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,292,000. |
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 $5,342,000 was received for securities on loan, of which $5,294,000 is held in Vanguard Market Liquidity Fund and $48,000 is held in cash. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2022 | 4 | 1,063 | 10 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $831,451) | 933,957 |
Affiliated Issuers (Cost $6,035) | 6,035 |
Total Investments in Securities | 939,992 |
Investment in Vanguard | 32 |
Cash | 151 |
Cash Collateral Pledged—Futures Contracts | 50 |
Receivables for Investment Securities Sold | 1,440 |
Receivables for Accrued Income | 409 |
Receivables for Capital Shares Issued | 65 |
Total Assets | 942,139 |
Liabilities | |
Payables for Investment Securities Purchased | 101 |
Collateral for Securities on Loan | 5,342 |
Payables for Capital Shares Redeemed | 1,509 |
Payables to Vanguard | 45 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 6,998 |
Net Assets | 935,141 |
Statement of Assets and Liabilities (continued) | |
At February 28, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 965,867 |
Total Distributable Earnings (Loss) | (30,726) |
Net Assets | 935,141 |
ETF Shares—Net Assets | |
Applicable to 4,250,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 812,311 |
Net Asset Value Per Share—ETF Shares | $191.13 |
Institutional Shares—Net Assets | |
Applicable to 322,467 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 122,830 |
Net Asset Value Per Share—Institutional Shares | $380.91 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,619 |
Interest1 | 1 |
Securities Lending—Net | 2 |
Total Income | 3,622 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 12 |
Management and Administrative—ETF Shares | 614 |
Management and Administrative—Institutional Shares | 50 |
Marketing and Distribution—ETF Shares | 17 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 10 |
Shareholders’ Reports—ETF Shares | 17 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 8 |
Total Expenses | 731 |
Net Investment Income | 2,891 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 68,729 |
Futures Contracts | 14 |
Realized Net Gain (Loss) | 68,743 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (146,053) |
Futures Contracts | 4 |
Change in Unrealized Appreciation (Depreciation) | (146,049) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (74,415) |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $98,730,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 2,891 | 6,092 | |
Realized Net Gain (Loss) | 68,743 | 164,740 | |
Change in Unrealized Appreciation (Depreciation) | (146,049) | 133,712 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (74,415) | 304,544 | |
Distributions | |||
ETF Shares | (4,524) | (6,040) | |
Institutional Shares | (821) | (1,545) | |
Total Distributions | (5,345) | (7,585) | |
Capital Share Transactions | |||
ETF Shares | (43,539) | (91,008) | |
Institutional Shares | (17,300) | (117,515) | |
Net Increase (Decrease) from Capital Share Transactions | (60,839) | (208,523) | |
Total Increase (Decrease) | (140,599) | 88,436 | |
Net Assets | |||
Beginning of Period | 1,075,740 | 987,304 | |
End of Period | 935,141 | 1,075,740 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $205.45 | $152.52 | $137.70 | $146.46 | $121.33 | $109.76 |
Investment Operations | ||||||
Net Investment Income1 | .546 | 1.052 | 1.359 | 1.519 | 1.268 | 1.152 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.866) | 53.198 | 15.183 | (9.084) | 25.098 | 11.576 |
Total from Investment Operations | (13.320) | 54.250 | 16.542 | (7.565) | 26.366 | 12.728 |
Distributions | ||||||
Dividends from Net Investment Income | (1.000) | (1.320) | (1.722) | (1.195) | (1.236) | (1.158) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.000) | (1.320) | (1.722) | (1.195) | (1.236) | (1.158) |
Net Asset Value, End of Period | $191.13 | $205.45 | $152.52 | $137.70 | $146.46 | $121.33 |
Total Return | -6.52% | 35.70% | 12.08% | -5.08% | 21.83% | 11.67% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $812 | $925 | $774 | $737 | $831 | $686 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.58% | 0.57% | 0.98% | 1.13% | 0.94% | 0.99% |
Portfolio Turnover Rate2 | 32% | 40% | 49% | 40% | 43% | 40% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $409.55 | $303.97 | $274.38 | $292.07 | $241.68 | $218.61 |
Investment Operations | ||||||
Net Investment Income1 | 1.238 | 2.347 | 2.925 | 3.242 | 2.894 | 2.604 |
Net Realized and Unrealized Gain (Loss) on Investments | (27.636) | 106.033 | 30.247 | (18.167) | 49.971 | 23.011 |
Total from Investment Operations | (26.398) | 108.380 | 33.172 | (14.925) | 52.865 | 25.615 |
Distributions | ||||||
Dividends from Net Investment Income | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) | (2.545) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) | (2.545) |
Net Asset Value, End of Period | $380.91 | $409.55 | $303.97 | $274.38 | $292.07 | $241.68 |
Total Return | -6.47% | 35.80% | 12.17% | -5.02% | 21.97% | 11.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $123 | $151 | $213 | $205 | $271 | $320 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.66% | 0.65% | 1.06% | 1.20% | 1.06% | 1.11% |
Portfolio Turnover Rate2 | 32% | 40% | 49% | 40% | 43% | 40% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 838,526 |
Gross Unrealized Appreciation | 147,443 |
Gross Unrealized Depreciation | (45,967) |
Net Unrealized Appreciation (Depreciation) | 101,476 |
E. | During the six months ended February 28, 2022, the fund purchased $593,595,000 of investment securities and sold $654,342,000 of investment securities, other than temporary cash investments. Purchases and sales include $246,139,000 and $322,474,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 279,841 | 1,375 | 418,838 | 2,325 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (323,380) | (1,625) | (509,846) | (2,900) | |
Net Increase (Decrease)—ETF Shares | (43,539) | (250) | (91,008) | (575) | |
Institutional Shares | |||||
Issued | 3,807 | 9 | 12,736 | 34 | |
Issued in Lieu of Cash Distributions | 821 | 2 | 1,545 | 4 | |
Redeemed | (21,928) | (58) | (131,796) | (371) | |
Net Increase (Decrease)—Institutional Shares | (17,300) | (47) | (117,515) | (333) |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Index Funds
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2022 | |||
Beginning Account Value 8/31/2021 | Ending Account Value 2/28/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,015.00 | $0.50 |
Institutional Shares | 1,000.00 | 1,015.20 | 0.40 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $934.20 | $0.48 |
Institutional Shares | 1,000.00 | 934.30 | 0.38 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 7.0% |
Consumer Discretionary | 7.0 |
Consumer Staples | 11.0 |
Energy | 6.4 |
Financials | 16.2 |
Health Care | 16.1 |
Industrials | 12.6 |
Information Technology | 11.5 |
Materials | 3.9 |
Real Estate | 3.2 |
Utilities | 5.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (7.0%) | ||||||
* | Walt Disney Co. | 295,438 | 43,861 | |||
Verizon Communications Inc. | 673,044 | 36,122 | ||||
Comcast Corp. Class A | 741,341 | 34,665 | ||||
AT&T Inc. | 1,160,998 | 27,504 | ||||
* | Charter Communications Inc. Class A | 20,122 | 12,109 | |||
* | T-Mobile US Inc. | 95,463 | 11,762 | |||
Activision Blizzard Inc. | 126,556 | 10,314 | ||||
Electronic Arts Inc. | 45,960 | 5,979 | ||||
* | Match Group Inc. | 46,053 | 5,134 | |||
Paramount Global Class B | 98,441 | 3,013 | ||||
Omnicom Group Inc. | 34,533 | 2,897 | ||||
* | Twitter Inc. | 67,446 | 2,398 | |||
Interpublic Group of Cos. Inc. | 63,991 | 2,355 | ||||
Fox Corp. Class A | 52,281 | 2,187 | ||||
Lumen Technologies Inc. | 149,950 | 1,554 | ||||
* | Live Nation Entertainment Inc. | 12,477 | 1,508 | |||
News Corp. Class A | 65,390 | 1,460 | ||||
* | Discovery Inc. Class C | 49,670 | 1,389 | |||
* | DISH Network Corp. Class A | 40,418 | 1,292 | |||
* | Take-Two Interactive Software Inc. | 7,087 | 1,148 | |||
Fox Corp. Class B | 23,549 | 901 | ||||
* | Discovery Inc. Class A | 27,253 | 764 | |||
News Corp. Class B | 18,456 | 414 | ||||
210,730 | ||||||
Consumer Discretionary (7.0%) | ||||||
McDonald's Corp. | 66,830 | 16,358 | ||||
* | Booking Holdings Inc. | 6,676 | 14,502 | |||
NIKE Inc. Class B | 95,562 | 13,049 | ||||
Home Depot Inc. | 41,171 | 13,003 | ||||
TJX Cos. Inc. | 195,585 | 12,928 | ||||
Ford Motor Co. | 638,383 | 11,210 | ||||
* | General Motors Co. | 236,106 | 11,031 | |||
Starbucks Corp. | 94,036 | 8,632 | ||||
* | Marriott International Inc. Class A | 44,466 | 7,566 |
Shares | Market Value• ($000) | |||||
Dollar General Corp. | 37,931 | 7,523 | ||||
Target Corp. | 35,700 | 7,132 | ||||
Ross Stores Inc. | 57,787 | 5,281 | ||||
* | Dollar Tree Inc. | 36,581 | 5,197 | |||
* | Expedia Group Inc. | 23,733 | 4,654 | |||
* | Hilton Worldwide Holdings Inc. | 26,786 | 3,987 | |||
Lennar Corp. Class A | 43,957 | 3,951 | ||||
Best Buy Co. Inc. | 36,033 | 3,482 | ||||
* | Aptiv plc | 25,913 | 3,354 | |||
Yum! Brands Inc. | 25,238 | 3,094 | ||||
VF Corp. | 52,934 | 3,071 | ||||
Darden Restaurants Inc. | 21,091 | 3,063 | ||||
* | Royal Caribbean Cruises Ltd. | 36,379 | 2,937 | |||
Genuine Parts Co. | 23,084 | 2,820 | ||||
MGM Resorts International | 63,187 | 2,799 | ||||
* | Carnival Corp. | 130,658 | 2,656 | |||
* | Las Vegas Sands Corp. | 55,862 | 2,394 | |||
* | Chipotle Mexican Grill Inc. | 1,512 | 2,303 | |||
DR Horton Inc. | 24,823 | 2,120 | ||||
Hasbro Inc. | 21,120 | 2,050 | ||||
PulteGroup Inc. | 41,167 | 2,044 | ||||
Whirlpool Corp. | 9,884 | 1,989 | ||||
Tapestry Inc. | 44,830 | 1,834 | ||||
BorgWarner Inc. | 39,097 | 1,603 | ||||
* | Wynn Resorts Ltd. | 17,036 | 1,474 | |||
* | Ulta Beauty Inc. | 3,893 | 1,458 | |||
* | Penn National Gaming Inc. | 27,133 | 1,393 | |||
* | NVR Inc. | 278 | 1,379 | |||
* | CarMax Inc. | 12,406 | 1,356 | |||
Garmin Ltd. | 12,054 | 1,331 | ||||
eBay Inc. | 23,487 | 1,282 | ||||
* | Mohawk Industries Inc. | 8,878 | 1,250 | |||
* | Norwegian Cruise Line Holdings Ltd. | 59,940 | 1,168 | |||
LKQ Corp. | 24,829 | 1,166 | ||||
PVH Corp. | 11,513 | 1,127 | ||||
Advance Auto Parts Inc. | 5,329 | 1,090 | ||||
Ralph Lauren Corp. | 7,951 | 1,050 | ||||
* | Caesars Entertainment Inc. | 12,472 | 1,050 | |||
Domino's Pizza Inc. | 1,936 | 837 | ||||
Bath & Body Works Inc. | 15,021 | 802 |
Shares | Market Value• ($000) | |||||
Newell Brands Inc. | 29,216 | 694 | ||||
* | Under Armour Inc. Class A | 19,250 | 344 | |||
* | Under Armour Inc. Class C | 17,484 | 273 | |||
Lennar Corp. Class B | 361 | 27 | ||||
Gap Inc. | 172 | 3 | ||||
Lowe's Cos. Inc. | 15 | 3 | ||||
210,174 | ||||||
Consumer Staples (10.9%) | ||||||
Procter & Gamble Co. | 393,407 | 61,328 | ||||
Coca-Cola Co. | 631,962 | 39,333 | ||||
Walmart Inc. | 231,206 | 31,250 | ||||
Philip Morris International Inc. | 253,107 | 25,581 | ||||
PepsiCo Inc. | 130,332 | 21,341 | ||||
Costco Wholesale Corp. | 35,200 | 18,278 | ||||
Altria Group Inc. | 298,587 | 15,314 | ||||
Mondelez International Inc. Class A | 226,758 | 14,848 | ||||
Colgate-Palmolive Co. | 137,087 | 10,549 | ||||
Sysco Corp. | 83,297 | 7,255 | ||||
Archer-Daniels-Midland Co. | 90,874 | 7,129 | ||||
Kimberly-Clark Corp. | 54,699 | 7,119 | ||||
General Mills Inc. | 98,462 | 6,639 | ||||
Constellation Brands Inc. Class A | 26,727 | 5,763 | ||||
Walgreens Boots Alliance Inc. | 116,777 | 5,382 | ||||
Kroger Co. | 109,872 | 5,142 | ||||
Estee Lauder Cos. Inc. Class A | 15,459 | 4,581 | ||||
Kraft Heinz Co. | 115,579 | 4,533 | ||||
Tyson Foods Inc. Class A | 47,898 | 4,438 | ||||
Church & Dwight Co. Inc. | 39,683 | 3,883 | ||||
McCormick & Co. Inc. (Non-Voting) | 40,540 | 3,858 | ||||
Clorox Co. | 19,971 | 2,912 | ||||
Conagra Brands Inc. | 77,915 | 2,725 | ||||
Kellogg Co. | 41,581 | 2,659 | ||||
Hershey Co. | 12,986 | 2,627 | ||||
* | Monster Beverage Corp. | 29,300 | 2,473 | |||
J M Smucker Co. | 17,573 | 2,368 | ||||
Hormel Foods Corp. | 45,902 | 2,187 | ||||
Brown-Forman Corp. Class B | 29,741 | 1,940 | ||||
Molson Coors Beverage Co. Class B | 30,747 | 1,604 | ||||
Lamb Weston Holdings Inc. | 23,813 | 1,582 | ||||
Campbell Soup Co. | 33,047 | 1,486 | ||||
328,107 | ||||||
Energy (6.4%) | ||||||
Exxon Mobil Corp. | 688,261 | 53,973 | ||||
Chevron Corp. | 313,382 | 45,127 | ||||
ConocoPhillips | 214,422 | 20,340 | ||||
Schlumberger NV | 227,957 | 8,945 | ||||
Marathon Petroleum Corp. | 100,081 | 7,793 | ||||
Williams Cos. Inc. | 197,799 | 6,187 |
Shares | Market Value• ($000) | |||||
Phillips 66 | 71,151 | 5,994 | ||||
EOG Resources Inc. | 51,345 | 5,901 | ||||
Valero Energy Corp. | 66,418 | 5,547 | ||||
Kinder Morgan Inc. | 316,782 | 5,512 | ||||
Halliburton Co. | 145,626 | 4,883 | ||||
Baker Hughes Co. | 142,236 | 4,179 | ||||
Pioneer Natural Resources Co. | 16,243 | 3,892 | ||||
Occidental Petroleum Corp. | 85,006 | 3,717 | ||||
Coterra Energy Inc. | 132,606 | 3,094 | ||||
Marathon Oil Corp. | 126,313 | 2,850 | ||||
ONEOK Inc. | 41,303 | 2,697 | ||||
Hess Corp. | 13,033 | 1,317 | ||||
APA Corp. | 26,784 | 954 | ||||
192,902 | ||||||
Financials (16.1%) | ||||||
* | Berkshire Hathaway Inc. Class B | 297,716 | 95,701 | |||
JPMorgan Chase & Co. | 259,419 | 36,786 | ||||
Wells Fargo & Co. | 648,208 | 34,595 | ||||
Bank of America Corp. | 655,611 | 28,978 | ||||
Citigroup Inc. | 322,553 | 19,105 | ||||
Chubb Ltd. | 70,023 | 14,259 | ||||
CME Group Inc. | 58,418 | 13,818 | ||||
PNC Financial Services Group Inc. | 68,703 | 13,689 | ||||
Truist Financial Corp. | 217,015 | 13,503 | ||||
US Bancorp | 219,389 | 12,404 | ||||
American Express Co. | 57,121 | 11,112 | ||||
Morgan Stanley | 119,058 | 10,803 | ||||
Progressive Corp. | 95,185 | 10,083 | ||||
S&P Global Inc. | 24,849 | 9,336 | ||||
BlackRock Inc. | 11,155 | 8,298 | ||||
American International Group Inc. | 134,961 | 8,265 | ||||
MetLife Inc. | 116,322 | 7,857 | ||||
Travelers Cos. Inc. | 39,980 | 6,870 | ||||
Prudential Financial Inc. | 61,496 | 6,867 | ||||
Charles Schwab Corp. | 78,272 | 6,611 | ||||
Bank of New York Mellon Corp. | 123,398 | 6,559 | ||||
Aflac Inc. | 98,912 | 6,042 | ||||
Allstate Corp. | 46,606 | 5,703 | ||||
Capital One Financial Corp. | 35,983 | 5,515 | ||||
Fifth Third Bancorp | 111,118 | 5,316 | ||||
State Street Corp. | 59,402 | 5,069 | ||||
Intercontinental Exchange Inc. | 39,412 | 5,049 | ||||
Marsh & McLennan Cos. Inc. | 31,987 | 4,971 | ||||
Willis Towers Watson plc | 20,282 | 4,509 | ||||
Aon plc Class A | 14,360 | 4,195 | ||||
Northern Trust Corp. | 33,797 | 3,849 | ||||
Hartford Financial Services Group Inc. | 55,331 | 3,844 | ||||
M&T Bank Corp. | 20,896 | 3,808 |
Shares | Market Value• ($000) | |||||
KeyCorp | 151,586 | 3,800 | ||||
Huntington Bancshares Inc. | 234,719 | 3,643 | ||||
Citizens Financial Group Inc. | 69,395 | 3,638 | ||||
Arthur J Gallagher & Co. | 18,829 | 2,978 | ||||
Moody's Corp. | 8,927 | 2,875 | ||||
Principal Financial Group Inc. | 40,044 | 2,829 | ||||
Ameriprise Financial Inc. | 7,080 | 2,122 | ||||
Regions Financial Corp. | 85,117 | 2,059 | ||||
W R Berkley Corp. | 22,740 | 2,053 | ||||
Loews Corp. | 32,701 | 2,006 | ||||
Everest Re Group Ltd. | 6,427 | 1,917 | ||||
Lincoln National Corp. | 27,669 | 1,865 | ||||
Synchrony Financial | 38,344 | 1,640 | ||||
Cincinnati Financial Corp. | 12,924 | 1,587 | ||||
T. Rowe Price Group Inc. | 10,955 | 1,584 | ||||
Assurant Inc. | 9,280 | 1,575 | ||||
Globe Life Inc. | 15,035 | 1,518 | ||||
People's United Financial Inc. | 69,335 | 1,462 | ||||
Raymond James Financial Inc. | 12,386 | 1,358 | ||||
MarketAxess Holdings Inc. | 3,200 | 1,221 | ||||
Invesco Ltd. | 55,285 | 1,174 | ||||
Comerica Inc. | 11,731 | 1,120 | ||||
FactSet Research Systems Inc. | 2,571 | 1,044 | ||||
Zions Bancorp NA | 13,294 | 942 | ||||
Cboe Global Markets Inc. | 7,305 | 857 | ||||
Brown & Brown Inc. | 11,743 | 794 | ||||
Franklin Resources Inc. | 24,893 | 740 | ||||
Nasdaq Inc. | 4,216 | 722 | ||||
484,492 | ||||||
Health Care (16.0%) | ||||||
Johnson & Johnson | 427,958 | 70,429 | ||||
UnitedHealth Group Inc. | 88,817 | 42,265 | ||||
Merck & Co. Inc. | 410,657 | 31,448 | ||||
Bristol-Myers Squibb Co. | 360,844 | 24,779 | ||||
Medtronic plc | 218,773 | 22,969 | ||||
CVS Health Corp. | 214,611 | 22,244 | ||||
Pfizer Inc. | 419,783 | 19,705 | ||||
AbbVie Inc. | 132,197 | 19,535 | ||||
Anthem Inc. | 39,461 | 17,830 | ||||
Abbott Laboratories | 135,098 | 16,295 | ||||
Cigna Corp. | 53,900 | 12,816 | ||||
Becton Dickinson & Co. | 46,692 | 12,667 | ||||
Gilead Sciences Inc. | 203,953 | 12,319 | ||||
Amgen Inc. | 54,040 | 12,239 | ||||
* | Boston Scientific Corp. | 231,652 | 10,232 | |||
Danaher Corp. | 33,055 | 9,071 | ||||
Humana Inc. | 20,883 | 9,070 | ||||
Stryker Corp. | 32,198 | 8,479 | ||||
* | Centene Corp. | 94,777 | 7,830 | |||
Baxter International Inc. | 81,457 | 6,921 | ||||
McKesson Corp. | 24,832 | 6,828 | ||||
* | Intuitive Surgical Inc. | 17,983 | 5,221 |
Shares | Market Value• ($000) | |||||
Zoetis Inc. | 26,181 | 5,070 | ||||
* | Biogen Inc. | 23,892 | 5,041 | |||
Cerner Corp. | 47,773 | 4,455 | ||||
Zimmer Biomet Holdings Inc. | 33,977 | 4,322 | ||||
* | Illumina Inc. | 12,983 | 4,240 | |||
* | Edwards Lifesciences Corp. | 37,605 | 4,226 | |||
HCA Healthcare Inc. | 16,358 | 4,095 | ||||
* | Vertex Pharmaceuticals Inc. | 16,506 | 3,797 | |||
AmerisourceBergen Corp. | 24,303 | 3,464 | ||||
Cooper Cos. Inc. | 8,020 | 3,280 | ||||
Teleflex Inc. | 7,632 | 2,567 | ||||
Agilent Technologies Inc. | 19,655 | 2,562 | ||||
Cardinal Health Inc. | 45,829 | 2,475 | ||||
ResMed Inc. | 9,921 | 2,448 | ||||
* | IDEXX Laboratories Inc. | 4,273 | 2,275 | |||
STERIS plc | 9,439 | 2,265 | ||||
Viatris Inc. | 196,269 | 2,161 | ||||
* | Laboratory Corp. of America Holdings | 7,302 | 1,981 | |||
* | Mettler-Toledo International Inc. | 1,399 | 1,971 | |||
* | Henry Schein Inc. | 22,585 | 1,951 | |||
DENTSPLY SIRONA Inc. | 35,572 | 1,926 | ||||
* | IQVIA Holdings Inc. | 8,365 | 1,925 | |||
Universal Health Services Inc. Class B | 11,922 | 1,716 | ||||
Organon & Co. | 41,359 | 1,544 | ||||
Quest Diagnostics Inc. | 10,734 | 1,409 | ||||
* | Incyte Corp. | 17,498 | 1,195 | |||
* | DaVita Inc. | 10,528 | 1,187 | |||
* | Catalent Inc. | 11,063 | 1,129 | |||
* | ABIOMED Inc. | 3,349 | 1,041 | |||
* | Bio-Rad Laboratories Inc. Class A | 1,575 | 986 | |||
* | Waters Corp. | 2,585 | 819 | |||
* | Hologic Inc. | 10,747 | 765 | |||
481,480 | ||||||
Industrials (12.6%) | ||||||
Raytheon Technologies Corp. | 243,284 | 24,985 | ||||
Honeywell International Inc. | 111,896 | 21,232 | ||||
* | Boeing Co. | 89,836 | 18,447 | |||
Lockheed Martin Corp. | 39,909 | 17,312 | ||||
General Electric Co. | 178,536 | 17,052 | ||||
Caterpillar Inc. | 87,922 | 16,492 | ||||
Union Pacific Corp. | 61,633 | 15,159 | ||||
United Parcel Service Inc. Class B | 67,558 | 14,216 | ||||
3M Co. | 93,660 | 13,923 | ||||
CSX Corp. | 360,665 | 12,230 | ||||
Northrop Grumman Corp. | 24,237 | 10,716 | ||||
Norfolk Southern Corp. | 39,573 | 10,151 | ||||
Eaton Corp. plc | 64,842 | 10,004 | ||||
Emerson Electric Co. | 97,165 | 9,029 | ||||
Deere & Co. | 24,751 | 8,911 |
Shares | Market Value• ($000) | |||||
General Dynamics Corp. | 37,674 | 8,833 | ||||
FedEx Corp. | 39,724 | 8,829 | ||||
Roper Technologies Inc. | 17,138 | 7,682 | ||||
Carrier Global Corp. | 140,806 | 6,319 | ||||
Parker-Hannifin Corp. | 20,977 | 6,217 | ||||
Trane Technologies plc | 38,601 | 5,942 | ||||
Illinois Tool Works Inc. | 27,396 | 5,927 | ||||
PACCAR Inc. | 56,460 | 5,184 | ||||
AMETEK Inc. | 37,598 | 4,880 | ||||
Cummins Inc. | 23,241 | 4,744 | ||||
L3Harris Technologies Inc. | 18,474 | 4,661 | ||||
Waste Management Inc. | 30,700 | 4,433 | ||||
Stanley Black & Decker Inc. | 26,494 | 4,311 | ||||
* | Southwest Airlines Co. | 96,276 | 4,217 | |||
* | Delta Air Lines Inc. | 104,068 | 4,154 | |||
Fortive Corp. | 58,413 | 3,782 | ||||
WW Grainger Inc. | 7,054 | 3,365 | ||||
Ingersoll Rand Inc. | 66,361 | 3,353 | ||||
Otis Worldwide Corp. | 41,533 | 3,253 | ||||
* | TransDigm Group Inc. | 4,773 | 3,182 | |||
Johnson Controls International plc | 44,852 | 2,914 | ||||
Cintas Corp. | 7,711 | 2,894 | ||||
Westinghouse Air Brake Technologies Corp. | 30,356 | 2,818 | ||||
Textron Inc. | 35,841 | 2,621 | ||||
Fastenal Co. | 48,534 | 2,498 | ||||
Rockwell Automation Inc. | 9,037 | 2,409 | ||||
* | United Airlines Holdings Inc. | 52,606 | 2,336 | |||
Leidos Holdings Inc. | 22,855 | 2,327 | ||||
Republic Services Inc. | 19,039 | 2,290 | ||||
Verisk Analytics Inc. | 12,846 | 2,278 | ||||
Howmet Aerospace Inc. | 62,549 | 2,247 | ||||
CH Robinson Worldwide Inc. | 21,190 | 2,049 | ||||
Dover Corp. | 12,643 | 1,983 | ||||
Snap-on Inc. | 8,777 | 1,845 | ||||
* | American Airlines Group Inc. | 105,513 | 1,820 | |||
Allegion plc | 14,626 | 1,675 | ||||
Xylem Inc. | 17,357 | 1,544 | ||||
* | United Rentals Inc. | 4,735 | 1,523 | |||
Jacobs Engineering Group Inc. | 11,844 | 1,457 | ||||
IDEX Corp. | 7,265 | 1,394 | ||||
* | Copart Inc. | 11,058 | 1,359 | |||
Huntington Ingalls Industries Inc. | 6,491 | 1,327 | ||||
Quanta Services Inc. | 10,613 | 1,156 | ||||
Masco Corp. | 20,520 | 1,150 | ||||
* | Alaska Air Group Inc. | 20,470 | 1,149 | |||
JB Hunt Transport Services Inc. | 5,600 | 1,136 | ||||
Fortune Brands Home & Security Inc. | 12,089 | 1,050 | ||||
Nielsen Holdings plc | 58,118 | 1,012 | ||||
Nordson Corp. | 3,495 | 792 | ||||
A O Smith Corp. | 10,904 | 748 |
Shares | Market Value• ($000) | |||||
Robert Half International Inc. | 5,762 | 693 | ||||
Rollins Inc. | 20,592 | 672 | ||||
Pentair plc | 11,233 | 650 | ||||
378,943 | ||||||
Information Technology (11.5%) | ||||||
Visa Inc. Class A | 155,408 | 33,587 | ||||
Intel Corp. | 661,113 | 31,535 | ||||
Mastercard Inc. Class A | 74,745 | 26,969 | ||||
Cisco Systems Inc. | 377,061 | 21,029 | ||||
Broadcom Inc. | 28,767 | 16,899 | ||||
Micron Technology Inc. | 181,843 | 16,159 | ||||
Analog Devices Inc. | 87,373 | 14,005 | ||||
International Business Machines Corp. | 114,300 | 14,003 | ||||
Accenture plc Class A | 43,136 | 13,632 | ||||
* | salesforce.com Inc. | 62,094 | 13,073 | |||
Texas Instruments Inc. | 76,566 | 13,015 | ||||
* | PayPal Holdings Inc. | 87,805 | 9,828 | |||
Fidelity National Information Services Inc. | 99,062 | 9,434 | ||||
* | Fiserv Inc. | 96,551 | 9,430 | |||
TE Connectivity Ltd. | 53,017 | 7,551 | ||||
Cognizant Technology Solutions Corp. Class A | 85,468 | 7,361 | ||||
Automatic Data Processing Inc. | 32,167 | 6,576 | ||||
Global Payments Inc. | 47,211 | 6,297 | ||||
Corning Inc. | 124,719 | 5,039 | ||||
Amphenol Corp. Class A | 45,657 | 3,470 | ||||
Hewlett Packard Enterprise Co. | 212,983 | 3,391 | ||||
Microchip Technology Inc. | 46,852 | 3,295 | ||||
* | Teledyne Technologies Inc. | 7,580 | 3,255 | |||
HP Inc. | 93,563 | 3,215 | ||||
* | FleetCor Technologies Inc. | 13,225 | 3,097 | |||
NXP Semiconductors NV | 16,026 | 3,047 | ||||
Paychex Inc. | 24,486 | 2,915 | ||||
* | Autodesk Inc. | 12,840 | 2,828 | |||
NortonLifeLock Inc. | 94,408 | 2,736 | ||||
* | Western Digital Corp. | 50,635 | 2,579 | |||
* | Synopsys Inc. | 8,207 | 2,564 | |||
Motorola Solutions Inc. | 11,268 | 2,484 | ||||
Jack Henry & Associates Inc. | 12,067 | 2,133 | ||||
Citrix Systems Inc. | 20,274 | 2,078 | ||||
Skyworks Solutions Inc. | 14,211 | 1,964 | ||||
Juniper Networks Inc. | 52,894 | 1,787 | ||||
* | VeriSign Inc. | 8,319 | 1,778 | |||
* | ANSYS Inc. | 5,382 | 1,745 | |||
* | Akamai Technologies Inc. | 15,380 | 1,665 | |||
CDW Corp. | 9,081 | 1,566 | ||||
Broadridge Financial Solutions Inc. | 10,645 | 1,556 | ||||
* | DXC Technology Co. | 40,829 | 1,389 | |||
* | Trimble Inc. | 18,047 | 1,259 | |||
* | Qorvo Inc. | 9,170 | 1,254 |
Shares | Market Value• ($000) | |||||
* | Keysight Technologies Inc. | 7,467 | 1,175 | |||
* | Tyler Technologies Inc. | 2,531 | 1,084 | |||
* | Zebra Technologies Corp. Class A | 2,346 | 970 | |||
* | PTC Inc. | 8,622 | 959 | |||
* | Ceridian HCM Holding Inc. | 12,992 | 947 | |||
* | F5 Inc. | 4,641 | 932 | |||
Seagate Technology Holdings plc | 8,991 | 927 | ||||
NetApp Inc. | 10,533 | 826 | ||||
* | IPG Photonics Corp. | 5,781 | 754 | |||
* | SolarEdge Technologies Inc. | 2,174 | 694 | |||
* | Paycom Software Inc. | 1,962 | 666 | |||
Oracle Corp. | 22 | 2 | ||||
344,408 | ||||||
Materials (3.9%) | ||||||
Linde plc | 40,833 | 11,974 | ||||
Newmont Corp. | 129,651 | 8,583 | ||||
Air Products and Chemicals Inc. | 35,975 | 8,501 | ||||
Ecolab Inc. | 40,538 | 7,145 | ||||
Dow Inc. | 120,199 | 7,087 | ||||
DuPont de Nemours Inc. | 84,200 | 6,515 | ||||
Freeport-McMoRan Inc. | 133,528 | 6,269 | ||||
Corteva Inc. | 118,638 | 6,173 | ||||
International Flavors & Fragrances Inc. | 41,421 | 5,509 | ||||
PPG Industries Inc. | 38,574 | 5,148 | ||||
Sherwin-Williams Co. | 18,424 | 4,848 | ||||
Ball Corp. | 52,736 | 4,732 | ||||
LyondellBasell Industries NV Class A | 42,769 | 4,158 | ||||
Mosaic Co. | 60,148 | 3,154 | ||||
Amcor plc | 249,190 | 2,898 | ||||
Nucor Corp. | 21,419 | 2,819 | ||||
International Paper Co. | 62,953 | 2,740 | ||||
Eastman Chemical Co. | 21,877 | 2,592 | ||||
FMC Corp. | 20,578 | 2,413 | ||||
Packaging Corp. of America | 15,479 | 2,278 | ||||
Vulcan Materials Co. | 11,249 | 2,041 | ||||
Westrock Co. | 43,477 | 1,968 | ||||
Martin Marietta Materials Inc. | 4,245 | 1,610 | ||||
Celanese Corp. | 10,137 | 1,412 | ||||
Albemarle Corp. | 6,070 | 1,189 | ||||
Avery Dennison Corp. | 6,564 | 1,157 | ||||
CF Industries Holdings Inc. | 14,043 | 1,140 | ||||
Sealed Air Corp. | 10,859 | 729 | ||||
116,782 | ||||||
Real Estate (3.2%) | ||||||
American Tower Corp. | 36,289 | 8,233 | ||||
Prologis Inc. | 46,861 | 6,835 | ||||
Crown Castle International Corp. | 38,618 | 6,433 | ||||
Digital Realty Trust Inc. | 46,085 | 6,218 |
Shares | Market Value• ($000) | |||||
Realty Income Corp. | 92,116 | 6,088 | ||||
Welltower Inc. | 70,827 | 5,899 | ||||
Equinix Inc. | 7,905 | 5,610 | ||||
Equity Residential | 55,542 | 4,738 | ||||
Alexandria Real Estate Equities Inc. | 22,896 | 4,336 | ||||
Public Storage | 10,149 | 3,603 | ||||
Ventas Inc. | 64,858 | 3,502 | ||||
AvalonBay Communities Inc. | 13,158 | 3,139 | ||||
Simon Property Group Inc. | 21,318 | 2,933 | ||||
Boston Properties Inc. | 23,086 | 2,824 | ||||
Weyerhaeuser Co. | 70,645 | 2,747 | ||||
Healthpeak Properties Inc. | 87,705 | 2,724 | ||||
* | CBRE Group Inc. Class A | 27,197 | 2,634 | |||
SBA Communications Corp. | 7,776 | 2,359 | ||||
Kimco Realty Corp. | 100,061 | 2,354 | ||||
* | Host Hotels & Resorts Inc. | 116,280 | 2,124 | |||
Essex Property Trust Inc. | 5,942 | 1,885 | ||||
Regency Centers Corp. | 25,130 | 1,656 | ||||
Mid-America Apartment Communities Inc. | 7,096 | 1,452 | ||||
UDR Inc. | 21,363 | 1,172 | ||||
Duke Realty Corp. | 21,620 | 1,146 | ||||
Vornado Realty Trust | 25,824 | 1,118 | ||||
Iron Mountain Inc. | 18,201 | 895 | ||||
Federal Realty Investment Trust | 6,639 | 781 | ||||
95,438 | ||||||
Utilities (5.1%) | ||||||
NextEra Energy Inc. | 318,990 | 24,967 | ||||
Duke Energy Corp. | 125,036 | 12,555 | ||||
Southern Co. | 172,340 | 11,162 | ||||
Dominion Energy Inc. | 131,608 | 10,467 | ||||
Sempra Energy | 51,960 | 7,494 | ||||
American Electric Power Co. Inc. | 81,972 | 7,431 | ||||
Exelon Corp. | 159,158 | 6,774 | ||||
Xcel Energy Inc. | 87,511 | 5,892 | ||||
Public Service Enterprise Group Inc. | 82,184 | 5,328 | ||||
Consolidated Edison Inc. | 57,454 | 4,928 | ||||
WEC Energy Group Inc. | 51,299 | 4,662 | ||||
Eversource Energy | 55,872 | 4,570 | ||||
American Water Works Co. Inc. | ��� 29,481 | 4,454 | ||||
Edison International | 61,799 | 3,919 | ||||
DTE Energy Co. | 31,559 | 3,837 | ||||
FirstEnergy Corp. | 88,576 | 3,707 | ||||
Ameren Corp. | 41,963 | 3,607 | ||||
Entergy Corp. | 32,732 | 3,444 | ||||
PPL Corp. | 121,968 | 3,192 | ||||
CMS Energy Corp. | 47,028 | 3,010 | ||||
CenterPoint Energy Inc. | 102,066 | 2,792 | ||||
Constellation Energy Corp. | 53,023 | 2,438 | ||||
Alliant Energy Corp. | 40,696 | 2,377 |
Shares | Market Value• ($000) | |||||
Atmos Energy Corp. | 21,537 | 2,365 | ||||
Evergy Inc. | 37,192 | 2,321 | ||||
AES Corp. | 108,284 | 2,299 | ||||
NiSource Inc. | 63,924 | 1,849 | ||||
Pinnacle West Capital Corp. | 18,235 | 1,292 | ||||
153,133 | ||||||
Total Common Stocks (Cost $2,685,258) | 2,996,589 | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.138% (Cost $2,623) | 26,238 | 2,623 | |||
Total Investments (99.8%) (Cost $2,687,881) | 2,999,212 | |||||
Other Assets and Liabilities—Net (0.2%) | 5,818 | |||||
Net Assets (100%) | 3,005,030 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | March 2022 | 17 | 3,713 | (9) |
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) |
International Business Machines Corp. | 8/31/22 | BANA | 4,207 | (0.070) | — | (297) |
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. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,685,258) | 2,996,589 |
Affiliated Issuers (Cost $2,623) | 2,623 |
Total Investments in Securities | 2,999,212 |
Investment in Vanguard | 97 |
Cash Collateral Pledged—Futures Contracts | 190 |
Receivables for Accrued Income | 5,959 |
Receivables for Capital Shares Issued | 6 |
Total Assets | 3,005,464 |
Liabilities | |
Due to Custodian | 19 |
Payables for Investment Securities Purchased | 1 |
Payables for Capital Shares Redeemed | 2 |
Payables to Vanguard | 105 |
Variation Margin Payable—Futures Contracts | 10 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 297 |
Total Liabilities | 434 |
Net Assets | 3,005,030 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 2,675,008 |
Total Distributable Earnings (Loss) | 330,022 |
Net Assets | 3,005,030 |
ETF Shares—Net Assets | |
Applicable to 19,225,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,821,253 |
Net Asset Value Per Share—ETF Shares | $146.75 |
Institutional Shares—Net Assets | |
Applicable to 570,996 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 183,777 |
Net Asset Value Per Share—Institutional Shares | $321.85 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 28,154 |
Interest2 | 3 |
Securities Lending—Net | — |
Total Income | 28,157 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 110 |
Management and Administrative—ETF Shares | 1,031 |
Management and Administrative—Institutional Shares | 56 |
Marketing and Distribution—ETF Shares | 45 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 25 |
Shareholders’ Reports—ETF Shares | 36 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 8 |
Total Expenses | 1,316 |
Net Investment Income | 26,841 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 113,250 |
Futures Contracts | 117 |
Swap Contracts | 47 |
Realized Net Gain (Loss) | 113,414 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (110,929) |
Futures Contracts | (146) |
Swap Contracts | (324) |
Change in Unrealized Appreciation (Depreciation) | (111,399) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 28,856 |
1 | Dividends are net of foreign withholding taxes of $6,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $142,643,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 26,841 | 44,010 | |
Realized Net Gain (Loss) | 113,414 | 51,566 | |
Change in Unrealized Appreciation (Depreciation) | (111,399) | 446,815 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 28,856 | 542,391 | |
Distributions | |||
ETF Shares | (27,405) | (37,692) | |
Institutional Shares | (1,929) | (3,053) | |
Total Distributions | (29,334) | (40,745) | |
Capital Share Transactions | |||
ETF Shares | 471,452 | 643,375 | |
Institutional Shares | 8,125 | 35,191 | |
Net Increase (Decrease) from Capital Share Transactions | 479,577 | 678,566 | |
Total Increase (Decrease) | 479,099 | 1,180,212 | |
Net Assets | |||
Beginning of Period | 2,525,931 | 1,345,719 | |
End of Period | 3,005,030 | 2,525,931 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $146.23 | $112.29 | $111.46 | $111.93 | $101.33 | $92.41 |
Investment Operations | ||||||
Net Investment Income1 | 1.469 | 2.897 | 2.984 | 2.694 | 2.558 | 2.422 |
Net Realized and Unrealized Gain (Loss) on Investments | .702 | 33.786 | .683 | (.511) | 10.535 | 8.726 |
Total from Investment Operations | 2.171 | 36.683 | 3.667 | 2.183 | 13.093 | 11.148 |
Distributions | ||||||
Dividends from Net Investment Income | (1.651) | (2.743) | (2.837) | (2.653) | (2.493) | (2.228) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.651) | (2.743) | (2.837) | (2.653) | (2.493) | (2.228) |
Net Asset Value, End of Period | $146.75 | $146.23 | $112.29 | $111.46 | $111.93 | $101.33 |
Total Return | 1.50% | 33.10% | 3.33% | 2.05% | 13.08% | 12.19% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,821 | $2,351 | $1,244 | $984 | $873 | $768 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.01% | 2.19% | 2.66% | 2.48% | 2.38% | 2.46% |
Portfolio Turnover Rate2 | 15% | 18% | 31% | 28% | 20% | 16% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $320.71 | $246.27 | $244.40 | $245.49 | $222.23 | $202.64 |
Investment Operations | ||||||
Net Investment Income1 | 3.272 | 6.402 | 6.596 | 5.950 | 6.077 | 5.202 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.517 | 74.102 | 1.491 | (1.115) | 22.813 | 19.393 |
Total from Investment Operations | 4.789 | 80.504 | 8.087 | 4.835 | 28.890 | 24.595 |
Distributions | ||||||
Dividends from Net Investment Income | (3.649) | (6.064) | (6.217) | (5.925) | (5.630) | (5.005) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.649) | (6.064) | (6.217) | (5.925) | (5.630) | (5.005) |
Net Asset Value, End of Period | $321.85 | $320.71 | $246.27 | $244.40 | $245.49 | $222.23 |
Total Return | 1.52% | 33.14% | 3.39% | 2.07% | 13.18% | 12.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $184 | $175 | $102 | $94 | $89 | $4 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.04% | 2.22% | 2.68% | 2.50% | 2.45% | 2.53% |
Portfolio Turnover Rate2 | 15% | 18% | 31% | 28% | 20% | 16% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,996,589 | — | — | 2,996,589 |
Temporary Cash Investments | 2,623 | — | — | 2,623 |
Total | 2,999,212 | — | — | 2,999,212 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 9 | — | — | 9 |
Swap Contracts | — | 297 | — | 297 |
Total | 9 | 297 | — | 306 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,691,826 |
Gross Unrealized Appreciation | 418,931 |
Gross Unrealized Depreciation | (111,851) |
Net Unrealized Appreciation (Depreciation) | 307,080 |
E. | During the six months ended February 28, 2022, the fund purchased $1,248,593,000 of investment securities and sold $767,364,000 of investment securities, other than temporary cash investments. Purchases and sales include $801,492,000 and $372,882,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 843,505 | 5,675 | 885,386 | 6,850 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (372,053) | (2,525) | (242,011) | (1,850) | |
Net Increase (Decrease)—ETF Shares | 471,452 | 3,150 | 643,375 | 5,000 | |
Institutional Shares | |||||
Issued | 29,555 | 90 | 44,346 | 164 | |
Issued in Lieu of Cash Distributions | 1,787 | 6 | 2,575 | 9 | |
Redeemed | (23,217) | (72) | (11,730) | (40) | |
Net Increase (Decrease)—Institutional Shares | 8,125 | 24 | 35,191 | 133 |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Communication Services | 12.2% |
Consumer Discretionary | 16.6 |
Consumer Staples | 1.5 |
Energy | 1.0 |
Financials | 7.0 |
Health Care | 10.6 |
Industrials | 3.2 |
Information Technology | 44.4 |
Materials | 1.3 |
Real Estate | 2.1 |
Utilities | 0.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (12.2%) | ||||||
* | Alphabet Inc. Class A | 117,642 | 317,767 | |||
* | Alphabet Inc. Class C | 109,683 | 295,905 | |||
* | Meta Platforms Inc. Class A | 926,745 | 195,571 | |||
* | Netflix Inc. | 173,331 | 68,383 | |||
* | Twitter Inc. | 150,292 | 5,343 | |||
* | Take-Two Interactive Software Inc. | 28,002 | 4,536 | |||
* | Live Nation Entertainment Inc. | 22,529 | 2,722 | |||
* | T-Mobile US Inc. | 341 | 42 | |||
* | Charter Communications Inc. Class A | 50 | 30 | |||
Electronic Arts Inc. | 28 | 4 | ||||
Activision Blizzard Inc. | 13 | 1 | ||||
* | Match Group Inc. | 8 | 1 | |||
890,305 | ||||||
Consumer Discretionary (16.6%) | ||||||
* | Amazon.com Inc. | 170,816 | 524,620 | |||
* | Tesla Inc. | 318,586 | 277,307 | |||
Home Depot Inc. | 314,298 | 99,265 | ||||
Lowe's Cos. Inc. | 271,437 | 60,004 | ||||
NIKE Inc. Class B | 270,162 | 36,891 | ||||
McDonald's Corp. | 131,702 | 32,237 | ||||
Starbucks Corp. | 235,399 | 21,607 | ||||
Target Corp. | 104,890 | 20,954 | ||||
* | O'Reilly Automotive Inc. | 26,390 | 17,133 | |||
* | AutoZone Inc. | 8,208 | 15,295 | |||
* | Chipotle Mexican Grill Inc. | 7,401 | 11,274 | |||
eBay Inc. | 188,544 | 10,293 | ||||
Tractor Supply Co. | 44,614 | 9,092 | ||||
* | Etsy Inc. | 49,567 | 7,677 | |||
Pool Corp. | 15,709 | 7,204 | ||||
* | Hilton Worldwide Holdings Inc. | 44,713 | 6,656 | |||
Yum! Brands Inc. | 53,917 | 6,609 | ||||
DR Horton Inc. | 67,823 | 5,792 | ||||
* | Aptiv plc | 43,448 | 5,624 | |||
* | Caesars Entertainment Inc. | 53,623 | 4,514 | |||
* | Ulta Beauty Inc. | 11,878 | 4,448 |
Shares | Market Value• ($000) | |||||
Domino's Pizza Inc. | 9,561 | 4,132 | ||||
* | CarMax Inc. | 33,577 | 3,671 | |||
Bath & Body Works Inc. | 67,774 | 3,617 | ||||
Garmin Ltd. | 30,285 | 3,345 | ||||
* | NVR Inc. | 584 | 2,896 | |||
Advance Auto Parts Inc. | 11,732 | 2,399 | ||||
LKQ Corp. | 45,480 | 2,135 | ||||
Newell Brands Inc. | 77,747 | 1,846 | ||||
* | Under Armour Inc. Class C | 39,271 | 614 | |||
* | Under Armour Inc. Class A | 29,858 | 534 | |||
Dollar General Corp. | 212 | 42 | ||||
Best Buy Co. Inc. | 266 | 26 | ||||
* | Expedia Group Inc. | 126 | 25 | |||
* | Booking Holdings Inc. | 11 | 24 | |||
PulteGroup Inc. | 315 | 16 | ||||
* | Penn National Gaming Inc. | 238 | 12 | |||
1,209,830 | ||||||
Consumer Staples (1.5%) | ||||||
Costco Wholesale Corp. | 87,951 | 45,669 | ||||
PepsiCo Inc. | 226,617 | 37,106 | ||||
Estee Lauder Cos. Inc. Class A | 53,352 | 15,810 | ||||
* | Monster Beverage Corp. | 76,701 | 6,474 | |||
Hershey Co. | 25,501 | 5,158 | ||||
Coca-Cola Co. | 2,442 | 152 | ||||
Colgate-Palmolive Co. | 1,043 | 80 | ||||
Kimberly-Clark Corp. | 301 | 39 | ||||
Church & Dwight Co. Inc. | 392 | 38 | ||||
McCormick & Co. Inc. (Non-Voting) | 259 | 25 | ||||
Brown-Forman Corp. Class B | 217 | 14 | ||||
Clorox Co. | 68 | 10 | ||||
Lamb Weston Holdings Inc. | 126 | 8 | ||||
110,583 | ||||||
Energy (1.0%) | ||||||
Devon Energy Corp. | 247,739 | 14,753 | ||||
EOG Resources Inc. | 105,314 | 12,103 | ||||
Pioneer Natural Resources Co. | 49,728 | 11,915 | ||||
Diamondback Energy Inc. | 67,092 | 9,265 | ||||
Hess Corp. | 76,270 | 7,708 |
Shares | Market Value• ($000) | |||||
Occidental Petroleum Corp. | 141,640 | 6,194 | ||||
ONEOK Inc. | 74,303 | 4,852 | ||||
APA Corp. | 78,852 | 2,809 | ||||
69,599 | ||||||
Financials (7.0%) | ||||||
JPMorgan Chase & Co. | 531,438 | 75,358 | ||||
Bank of America Corp. | 1,240,030 | 54,809 | ||||
Goldman Sachs Group Inc. | 132,867 | 45,346 | ||||
Charles Schwab Corp. | 400,748 | 33,847 | ||||
S&P Global Inc. | 78,951 | 29,662 | ||||
Morgan Stanley | 275,503 | 24,999 | ||||
BlackRock Inc. | 29,051 | 21,611 | ||||
American Express Co. | 108,212 | 21,052 | ||||
Marsh & McLennan Cos. Inc. | 120,632 | 18,747 | ||||
MSCI Inc. | 32,381 | 16,245 | ||||
Intercontinental Exchange Inc. | 125,270 | 16,050 | ||||
Aon plc Class A | 51,618 | 15,080 | ||||
Discover Financial Services | 114,917 | 14,185 | ||||
* | SVB Financial Group | 23,073 | 13,982 | |||
Moody's Corp. | 42,006 | 13,527 | ||||
Capital One Financial Corp. | 79,896 | 12,246 | ||||
First Republic Bank | 70,190 | 12,161 | ||||
T. Rowe Price Group Inc. | 61,341 | 8,868 | ||||
Signature Bank | 23,988 | 8,273 | ||||
Ameriprise Financial Inc. | 26,749 | 8,019 | ||||
Nasdaq Inc. | 35,865 | 6,138 | ||||
Arthur J Gallagher & Co. | 35,562 | 5,626 | ||||
Synchrony Financial | 121,278 | 5,188 | ||||
Raymond James Financial Inc. | 42,789 | 4,692 | ||||
Brown & Brown Inc. | 63,325 | 4,281 | ||||
Regions Financial Corp. | 166,256 | 4,022 | ||||
FactSet Research Systems Inc. | 8,521 | 3,460 | ||||
Cincinnati Financial Corp. | 27,294 | 3,352 | ||||
Cboe Global Markets Inc. | 24,115 | 2,829 | ||||
MarketAxess Holdings Inc. | 7,152 | 2,728 | ||||
Comerica Inc. | 22,872 | 2,184 | ||||
Zions Bancorp NA | 29,121 | 2,064 | ||||
Franklin Resources Inc. | 49,008 | 1,457 | ||||
Progressive Corp. | 889 | 94 | ||||
512,182 | ||||||
Health Care (10.6%) | ||||||
Thermo Fisher Scientific Inc. | 154,363 | 83,973 | ||||
Eli Lilly & Co. | 310,744 | 77,670 | ||||
UnitedHealth Group Inc. | 154,810 | 73,669 | ||||
Pfizer Inc. | 1,185,344 | 55,640 | ||||
AbbVie Inc. | 373,496 | 55,192 | ||||
Danaher Corp. | 169,435 | 46,495 | ||||
Abbott Laboratories | 366,540 | 44,212 | ||||
* | Intuitive Surgical Inc. | 96,563 | 28,035 | |||
* | Regeneron Pharmaceuticals Inc. | 41,341 | 25,564 |
Shares | Market Value• ($000) | |||||
Zoetis Inc. | 121,950 | 23,616 | ||||
* | Moderna Inc. | 138,112 | 21,214 | |||
Amgen Inc. | 90,261 | 20,442 | ||||
* | Edwards Lifesciences Corp. | 154,257 | 17,334 | |||
* | Dexcom Inc. | 37,991 | 15,725 | |||
* | Align Technology Inc. | 28,712 | 14,685 | |||
Stryker Corp. | 53,798 | 14,168 | ||||
* | Vertex Pharmaceuticals Inc. | 59,811 | 13,758 | |||
HCA Healthcare Inc. | 54,293 | 13,590 | ||||
* | IQVIA Holdings Inc. | 54,773 | 12,604 | |||
* | IDEXX Laboratories Inc. | 22,916 | 12,199 | |||
West Pharmaceutical Services Inc. | 29,030 | 11,237 | ||||
* | Illumina Inc. | 29,869 | 9,755 | |||
Agilent Technologies Inc. | 71,004 | 9,256 | ||||
PerkinElmer Inc. | 49,324 | 8,859 | ||||
ResMed Inc. | 33,144 | 8,178 | ||||
* | Mettler-Toledo International Inc. | 5,681 | 8,003 | |||
Bio-Techne Corp. | 15,443 | 6,477 | ||||
* | Charles River Laboratories International Inc. | 19,771 | 5,757 | |||
* | Waters Corp. | 17,645 | 5,589 | |||
* | Laboratory Corp. of America Holdings | 19,655 | 5,332 | |||
* | Hologic Inc. | 73,207 | 5,210 | |||
* | Catalent Inc. | 40,286 | 4,111 | |||
STERIS plc | 16,436 | 3,945 | ||||
* | ABIOMED Inc. | 9,823 | 3,052 | |||
* | Bio-Rad Laboratories Inc. Class A | 4,650 | 2,911 | |||
Quest Diagnostics Inc. | 21,866 | 2,870 | ||||
* | Incyte Corp. | 31,624 | 2,160 | |||
Bristol-Myers Squibb Co. | 1,335 | 92 | ||||
Merck & Co. Inc. | 626 | 48 | ||||
Humana Inc. | 107 | 46 | ||||
* | Biogen Inc. | 189 | 40 | |||
Cerner Corp. | 301 | 28 | ||||
Cooper Cos. Inc. | 49 | 20 | ||||
* | DaVita Inc. | 161 | 18 | |||
Teleflex Inc. | 49 | 16 | ||||
Organon & Co. | 287 | 11 | ||||
772,806 | ||||||
Industrials (3.2%) | ||||||
United Parcel Service Inc. Class B | 122,882 | 25,857 | ||||
Union Pacific Corp. | 103,011 | 25,336 | ||||
Deere & Co. | 50,868 | 18,313 | ||||
Old Dominion Freight Line Inc. | 36,480 | 11,456 | ||||
Waste Management Inc. | 76,483 | 11,044 | ||||
Johnson Controls International plc | 168,942 | 10,974 | ||||
Equifax Inc. | 47,658 | 10,406 | ||||
Illinois Tool Works Inc. | 45,747 | 9,897 | ||||
L3Harris Technologies Inc. | 32,235 | 8,133 |
Shares | Market Value• ($000) | |||||
* | Generac Holdings Inc. | 24,673 | 7,784 | |||
* | Copart Inc. | 56,832 | 6,983 | |||
Expeditors International of Washington Inc. | 65,935 | 6,815 | ||||
Rockwell Automation Inc. | 23,526 | 6,272 | ||||
* | TransDigm Group Inc. | 9,006 | 6,003 | |||
Cintas Corp. | 15,810 | 5,934 | ||||
Verisk Analytics Inc. | 32,281 | 5,725 | ||||
Fastenal Co. | 108,151 | 5,565 | ||||
* | United Rentals Inc. | 17,010 | 5,471 | |||
Otis Worldwide Corp. | 66,425 | 5,203 | ||||
Republic Services Inc. | 35,700 | 4,294 | ||||
Dover Corp. | 25,691 | 4,030 | ||||
JB Hunt Transport Services Inc. | 19,365 | 3,930 | ||||
Robert Half International Inc. | 29,343 | 3,530 | ||||
Quanta Services Inc. | 30,018 | 3,270 | ||||
Nordson Corp. | 12,673 | 2,870 | ||||
Jacobs Engineering Group Inc. | 22,417 | 2,757 | ||||
Xylem Inc. | 28,861 | 2,567 | ||||
Masco Corp. | 45,719 | 2,562 | ||||
IDEX Corp. | 12,172 | 2,336 | ||||
Pentair plc | 37,189 | 2,154 | ||||
Fortune Brands Home & Security Inc. | 23,902 | 2,077 | ||||
A O Smith Corp. | 25,825 | 1,771 | ||||
Rollins Inc. | 39,190 | 1,279 | ||||
Lockheed Martin Corp. | 266 | 115 | ||||
CSX Corp. | 2,028 | 69 | ||||
Roper Technologies Inc. | 133 | 60 | ||||
Carrier Global Corp. | 1,316 | 59 | ||||
FedEx Corp. | 252 | 56 | ||||
Norfolk Southern Corp. | 197 | 51 | ||||
Parker-Hannifin Corp. | 161 | 48 | ||||
Caterpillar Inc. | 237 | 44 | ||||
Trane Technologies plc | 259 | 40 | ||||
Emerson Electric Co. | 369 | 34 | ||||
AMETEK Inc. | 266 | 34 | ||||
Cummins Inc. | 147 | 30 | ||||
WW Grainger Inc. | 63 | 30 | ||||
Allegion plc | 91 | 10 | ||||
233,278 | ||||||
Information Technology (44.3%) | ||||||
Apple Inc. | 6,104,615 | 1,007,994 | ||||
Microsoft Corp. | 2,940,522 | 878,598 | ||||
NVIDIA Corp. | 979,124 | 238,759 | ||||
* | Adobe Inc. | 186,347 | 87,151 | |||
QUALCOMM Inc. | 438,721 | 75,456 | ||||
* | Advanced Micro Devices Inc. | 595,610 | 73,462 | |||
Visa Inc. Class A | 282,184 | 60,986 | ||||
Mastercard Inc. Class A | 159,618 | 57,593 | ||||
Broadcom Inc. | 91,943 | 54,011 | ||||
Intuit Inc. | 110,911 | 52,613 | ||||
* | salesforce.com Inc. | 233,895 | 49,242 |
Shares | Market Value• ($000) | |||||
Oracle Corp. | 631,747 | 47,994 | ||||
Applied Materials Inc. | 353,726 | 47,470 | ||||
Accenture plc Class A | 143,600 | 45,380 | ||||
* | ServiceNow Inc. | 77,926 | 45,191 | |||
Cisco Systems Inc. | 741,323 | 41,344 | ||||
Lam Research Corp. | 55,163 | 30,966 | ||||
Texas Instruments Inc. | 176,707 | 30,038 | ||||
* | PayPal Holdings Inc. | 248,509 | 27,816 | |||
KLA Corp. | 59,437 | 20,714 | ||||
* | Fortinet Inc. | 53,159 | 18,314 | |||
Automatic Data Processing Inc. | 87,082 | 17,803 | ||||
* | Cadence Design Systems Inc. | 108,570 | 16,441 | |||
* | Synopsys Inc. | 40,055 | 12,513 | |||
NXP Semiconductors NV | 65,610 | 12,474 | ||||
* | Autodesk Inc. | 55,127 | 12,141 | |||
* | Arista Networks Inc. | 88,181 | 10,822 | |||
Amphenol Corp. Class A | 123,857 | 9,414 | ||||
* | Gartner Inc. | 32,302 | 9,058 | |||
* | Enphase Energy Inc. | 52,818 | 8,805 | |||
Motorola Solutions Inc. | 38,804 | 8,553 | ||||
* | Keysight Technologies Inc. | 54,099 | 8,513 | |||
Paychex Inc. | 66,356 | 7,900 | ||||
Monolithic Power Systems Inc. | 17,006 | 7,801 | ||||
HP Inc. | 224,760 | 7,723 | ||||
Teradyne Inc. | 63,855 | 7,530 | ||||
Microchip Technology Inc. | 104,305 | 7,336 | ||||
* | ANSYS Inc. | 21,193 | 6,870 | |||
* | Zebra Technologies Corp. Class A | 15,292 | 6,321 | |||
Seagate Technology Holdings plc | 58,423 | 6,027 | ||||
CDW Corp. | 31,176 | 5,377 | ||||
* | SolarEdge Technologies Inc. | 15,369 | 4,909 | |||
NetApp Inc. | 61,839 | 4,847 | ||||
* | Paycom Software Inc. | 14,128 | 4,792 | |||
* | EPAM Systems Inc. | 22,232 | 4,619 | |||
* | Tyler Technologies Inc. | 9,956 | 4,264 | |||
Skyworks Solutions Inc. | 30,333 | 4,191 | ||||
* | Trimble Inc. | 55,156 | 3,847 | |||
* | VeriSign Inc. | 17,706 | 3,784 | |||
Broadridge Financial Solutions Inc. | 20,026 | 2,928 | ||||
* | Qorvo Inc. | 21,224 | 2,903 | |||
* | Akamai Technologies Inc. | 26,713 | 2,892 | |||
* | F5 Inc. | 12,441 | 2,499 | |||
* | PTC Inc. | 20,770 | 2,311 | |||
* | Ceridian HCM Holding Inc. | 21,864 | 1,594 | |||
Cognizant Technology Solutions Corp. Class A | 637 | 55 | ||||
Analog Devices Inc. | 266 | 43 | ||||
TE Connectivity Ltd. | 294 | 42 | ||||
Corning Inc. | 861 | 35 | ||||
* | Teledyne Technologies Inc. | 56 | 24 |
Shares | Market Value• ($000) | |||||
* | FleetCor Technologies Inc. | 84 | 20 | |||
* | Fiserv Inc. | 188 | 18 | |||
Jack Henry & Associates Inc. | 84 | 15 | ||||
* | IPG Photonics Corp. | 35 | 4 | |||
Citrix Systems Inc. | 8 | 1 | ||||
3,231,151 | ||||||
Materials (1.2%) | ||||||
Linde plc | 102,195 | 29,968 | ||||
Sherwin-Williams Co. | 49,978 | 13,151 | ||||
Freeport-McMoRan Inc. | 252,886 | 11,873 | ||||
Nucor Corp. | 60,459 | 7,958 | ||||
Albemarle Corp. | 31,134 | 6,099 | ||||
Martin Marietta Materials Inc. | 14,029 | 5,322 | ||||
Vulcan Materials Co. | 24,856 | 4,510 | ||||
CF Industries Holdings Inc. | 50,175 | 4,074 | ||||
Avery Dennison Corp. | 16,460 | 2,900 | ||||
Celanese Corp. | 18,161 | 2,529 | ||||
Sealed Air Corp. | 31,853 | 2,138 | ||||
Air Products and Chemicals Inc. | 245 | 58 | ||||
Dow Inc. | 868 | 51 | ||||
Ecolab Inc. | 273 | 48 | ||||
FMC Corp. | 308 | 36 | ||||
Newmont Corp. | 470 | 31 | ||||
Ball Corp. | 298 | 27 | ||||
90,773 | ||||||
Real Estate (2.1%) | ||||||
Prologis Inc. | 176,885 | 25,799 | ||||
American Tower Corp. | 90,754 | 20,589 | ||||
Crown Castle International Corp. | 76,070 | 12,673 | ||||
Public Storage | 35,058 | 12,446 | ||||
Equinix Inc. | 16,210 | 11,505 | ||||
Simon Property Group Inc. | 77,452 | 10,654 | ||||
Extra Space Storage Inc. | 52,844 | 9,943 | ||||
SBA Communications Corp. | 23,818 | 7,226 | ||||
* | CBRE Group Inc. Class A | 65,924 | 6,385 |
Shares | Market Value• ($000) | |||||
Mid-America Apartment Communities Inc. | 27,868 | 5,702 | ||||
AvalonBay Communities Inc. | 22,752 | 5,428 | ||||
Duke Realty Corp. | 96,876 | 5,135 | ||||
Weyerhaeuser Co. | 122,386 | 4,758 | ||||
Essex Property Trust Inc. | 11,089 | 3,517 | ||||
UDR Inc. | 61,957 | 3,400 | ||||
Iron Mountain Inc. | 68,649 | 3,376 | ||||
Federal Realty Investment Trust | 11,372 | 1,337 | ||||
149,873 | ||||||
Utilities (0.0%) | ||||||
NRG Energy Inc. | 95,274 | 3,605 | ||||
NextEra Energy Inc. | 1,007 | 79 | ||||
American Water Works Co. Inc. | 217 | 33 | ||||
AES Corp. | 602 | 13 | ||||
3,730 | ||||||
Total Common Stocks (Cost $5,341,539) | 7,274,110 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.138% (Cost $12,781) | 127,825 | 12,781 | |||
Total Investments (99.9%) (Cost $5,354,320) | 7,286,891 | |||||
Other Assets and Liabilities—Net (0.1%) | 5,508 | |||||
Net Assets (100%) | 7,292,399 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | March 2022 | 30 | 8,537 | (702) |
E-mini S&P 500 Index | March 2022 | 14 | 3,057 | (160) |
(862) |
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) |
Advanced Micro Devices Inc. | 8/31/22 | BANA | 5,141 | (0.070) | 409 | — |
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. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,341,539) | 7,274,110 |
Affiliated Issuers (Cost $12,781) | 12,781 |
Total Investments in Securities | 7,286,891 |
Investment in Vanguard | 248 |
Cash Collateral Pledged—Futures Contracts | 610 |
Receivables for Accrued Income | 4,474 |
Receivables for Capital Shares Issued | 14 |
Variation Margin Receivable—Futures Contracts | 20 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 409 |
Total Assets | 7,292,666 |
Liabilities | |
Due to Custodian | 7 |
Payables for Investment Securities Purchased | 1 |
Payables to Vanguard | 259 |
Total Liabilities | 267 |
Net Assets | 7,292,399 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 5,144,286 |
Total Distributable Earnings (Loss) | 2,148,113 |
Net Assets | 7,292,399 |
ETF Shares—Net Assets | |
Applicable to 27,550,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,273,439 |
Net Asset Value Per Share—ETF Shares | $264.01 |
Institutional Shares—Net Assets | |
Applicable to 31,571 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 18,960 |
Net Asset Value Per Share—Institutional Shares | $600.55 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 25,599 |
Interest2 | 5 |
Total Income | 25,604 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 379 |
Management and Administrative—ETF Shares | 3,032 |
Management and Administrative—Institutional Shares | 6 |
Marketing and Distribution—ETF Shares | 109 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | — |
Shareholders’ Reports—ETF Shares | 83 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 8 |
Total Expenses | 3,620 |
Net Investment Income | 21,984 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 323,418 |
Futures Contracts | 248 |
Swap Contracts | 303 |
Realized Net Gain (Loss) | 323,969 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (895,216) |
Futures Contracts | (1,251) |
Swap Contracts | 263 |
Change in Unrealized Appreciation (Depreciation) | (896,204) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (550,251) |
1 | Dividends are net of foreign withholding taxes of $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $370,274,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 21,984 | 38,378 | |
Realized Net Gain (Loss) | 323,969 | 240,899 | |
Change in Unrealized Appreciation (Depreciation) | (896,204) | 1,201,164 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (550,251) | 1,480,441 | |
Distributions | |||
ETF Shares | (22,921) | (37,279) | |
Institutional Shares | (64) | (106) | |
Total Distributions | (22,985) | (37,385) | |
Capital Share Transactions | |||
ETF Shares | 1,069,017 | 853,598 | |
Institutional Shares | (8,186) | 14,513 | |
Net Increase (Decrease) from Capital Share Transactions | 1,060,831 | 868,111 | |
Total Increase (Decrease) | 487,595 | 2,311,167 | |
Net Assets | |||
Beginning of Period | 6,804,804 | 4,493,637 | |
End of Period | 7,292,399 | 6,804,804 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $283.53 | $219.32 | $161.81 | $158.27 | $127.78 | $109.12 |
Investment Operations | ||||||
Net Investment Income1 | .853 | 1.751 | 2.111 | 2.156 | 1.833 | 1.841 |
Net Realized and Unrealized Gain (Loss) on Investments | (19.466) | 64.190 | 57.589 | 3.437 | 30.442 | 18.527 |
Total from Investment Operations | (18.613) | 65.941 | 59.700 | 5.593 | 32.275 | 20.368 |
Distributions | ||||||
Dividends from Net Investment Income | (.907) | (1.731) | (2.190) | (2.053) | (1.785) | (1.708) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.907) | (1.731) | (2.190) | (2.053) | (1.785) | (1.708) |
Net Asset Value, End of Period | $264.01 | $283.53 | $219.32 | $161.81 | $158.27 | $127.78 |
Total Return | -6.58% | 30.26% | 37.29% | 3.60% | 25.48% | 18.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,273 | $6,776 | $4,485 | $2,755 | $2,327 | $1,664 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 0.61% | 0.73% | 1.20% | 1.41% | 1.29% | 1.57% |
Portfolio Turnover Rate2 | 12% | 12% | 24% | 23% | 18% | 19% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | April 5, 20191 to August 31, 2019 | October 17, 20181 to December 13, 2018 | |
2021 | 2020 | ||||
Net Asset Value, Beginning of Period | $644.91 | $498.89 | $368.04 | $356.55 | $343.28 |
Investment Operations | |||||
Net Investment Income2 | 2.010 | 3.959 | 4.861 | 3.777 | .856 |
Net Realized and Unrealized Gain (Loss) on Investments | (44.280) | 146.133 | 131.012 | 7.713 | (19.628) |
Total from Investment Operations | (42.270) | 150.092 | 135.873 | 11.490 | (18.772) |
Distributions | |||||
Dividends from Net Investment Income | (2.090) | (4.072) | (5.023) | — | (.938) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.090) | (4.072) | (5.023) | — | (.938) |
Net Asset Value, End of Period | $600.55 | $644.91 | $498.89 | $368.04 | $323.57 |
Total Return | -6.57% | 30.29% | 37.35% | 3.22% | -5.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $19 | $28 | $9 | $7 | — |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 0.63% | 0.71% | 1.22% | 2.52%3 | 1.64%3 |
Portfolio Turnover Rate4 | 12% | 12% | 24% | 23%5 | 23%5 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per-share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
5 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 7,274,110 | — | — | 7,274,110 |
Temporary Cash Investments | 12,781 | — | — | 12,781 |
Total | 7,286,891 | — | — | 7,286,891 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 409 | — | 409 |
Liabilities | ||||
Futures Contracts1 | 862 | — | — | 862 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 5,357,240 |
Gross Unrealized Appreciation | 2,207,094 |
Gross Unrealized Depreciation | (277,896) |
Net Unrealized Appreciation (Depreciation) | 1,929,198 |
E. | During the six months ended February 28, 2022, the fund purchased $2,858,729,000 of investment securities and sold $1,798,685,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,950,256,000 and $956,428,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 2,031,671 | 6,975 | 1,457,681 | 6,075 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (962,654) | (3,325) | (604,083) | (2,625) | |
Net Increase (Decrease)—ETF Shares | 1,069,017 | 3,650 | 853,598 | 3,450 | |
Institutional Shares | |||||
Issued | 449 | 1 | 15,809 | 30 | |
Issued in Lieu of Cash Distributions | 53 | — | 48 | — | |
Redeemed | (8,688) | (13) | (1,344) | (3) | |
Net Increase (Decrease)—Institutional Shares | (8,186) | (12) | 14,513 | 27 |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
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U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Small-Cap 600 Index Fund |
Vanguard S&P Small-Cap 600 Value Index Fund |
Vanguard S&P Small-Cap 600 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2022 | |||
Beginning Account Value 8/31/2021 | Ending Account Value 2/28/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $968.10 | $0.49 |
Institutional Shares | 1,000.00 | 968.50 | 0.39 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,005.90 | $0.75 |
Institutional Shares | 1,000.00 | 1,006.50 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $930.20 | $0.72 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Communication Services | 1.8% |
Consumer Discretionary | 11.9 |
Consumer Staples | 4.8 |
Energy | 5.7 |
Financials | 18.9 |
Health Care | 11.7 |
Industrials | 16.6 |
Information Technology | 13.0 |
Materials | 5.5 |
Real Estate | 8.1 |
Utilities | 2.0 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (1.8%) | ||||||
Cogent Communications Holdings Inc. | 176,420 | 11,185 | ||||
* | TechTarget Inc. | 107,850 | 8,453 | |||
* | Cinemark Holdings Inc. | 442,678 | 7,765 | |||
Telephone & Data Systems Inc. | 410,753 | 7,127 | ||||
Scholastic Corp. | 126,659 | 5,330 | ||||
* | EW Scripps Co. Class A | 237,751 | 5,292 | |||
* | AMC Networks Inc. Class A | 121,534 | 5,038 | |||
Shenandoah Telecommunications Co. | 207,755 | 4,643 | ||||
* | Cars.com Inc. | 270,083 | 4,370 | |||
* | Gannett Co. Inc. | 591,782 | 2,935 | |||
* | QuinStreet Inc. | 207,491 | 2,334 | |||
* | Thryv Holdings Inc. | 70,617 | 2,147 | |||
* | Consolidated Communications Holdings Inc. | 299,750 | 2,134 | |||
* | Loyalty Ventures Inc. | 82,850 | 1,988 | |||
* | Marcus Corp. | 90,897 | 1,653 | |||
ATN International Inc. | 45,401 | 1,513 | ||||
73,907 | ||||||
Consumer Discretionary (11.9%) | ||||||
* | Asbury Automotive Group Inc. | 96,198 | 18,673 | |||
Signet Jewelers Ltd. | 220,607 | 15,553 | ||||
* | Meritage Homes Corp. | 155,138 | 15,294 | |||
Group 1 Automotive Inc. | 75,262 | 13,692 | ||||
Steven Madden Ltd. | 318,121 | 13,571 | ||||
LCI Industries | 105,082 | 13,085 | ||||
* | Shake Shack Inc. Class A | 162,743 | 12,160 | |||
* | Gentherm Inc. | 138,162 | 11,722 | |||
* | LGI Homes Inc. | 88,814 | 11,202 | |||
* | Dorman Products Inc. | 118,342 | 11,056 | |||
* | Boot Barn Holdings Inc. | 123,112 | 10,713 | |||
MDC Holdings Inc. | 235,101 | 10,424 | ||||
Kontoor Brands Inc. | 197,806 | 9,799 | ||||
* | Cavco Industries Inc. | 35,487 | 9,675 |
Shares | Market Value• ($000) | |||||
Installed Building Products Inc. | 97,580 | 9,436 | ||||
* | Abercrombie & Fitch Co. Class A | 245,657 | 9,355 | |||
Winnebago Industries Inc. | 139,124 | 8,914 | ||||
Shutterstock Inc. | 97,259 | 8,805 | ||||
* | Vista Outdoor Inc. | 238,230 | 8,683 | |||
* | Cheesecake Factory Inc. | 201,731 | 8,632 | |||
* | ODP Corp. | 190,850 | 8,397 | |||
* | Bloomin' Brands Inc. | 337,689 | 8,311 | |||
* | Sally Beauty Holdings Inc. | 469,982 | 8,121 | |||
* | Brinker International Inc. | 188,841 | 8,033 | |||
Wolverine World Wide Inc. | 342,485 | 7,887 | ||||
Century Communities Inc. | 123,530 | 7,871 | ||||
Jack in the Box Inc. | 90,111 | 7,774 | ||||
Rent-A-Center Inc. | 251,473 | 7,144 | ||||
*,1 | Bed Bath & Beyond Inc. | 420,195 | 7,097 | |||
* | iRobot Corp. | 112,090 | 6,968 | |||
* | Dave & Buster's Entertainment Inc. | 160,515 | 6,957 | |||
Patrick Industries Inc. | 93,442 | 6,666 | ||||
Monro Inc. | 139,460 | 6,510 | ||||
* | Sleep Number Corp. | 94,162 | 6,186 | |||
Dine Brands Global Inc. | 71,588 | 6,002 | ||||
* | M/I Homes Inc. | 120,994 | 5,964 | |||
Oxford Industries Inc. | 66,033 | 5,837 | ||||
Strategic Education Inc. | 94,098 | 5,554 | ||||
La-Z-Boy Inc. | 184,292 | 5,378 | ||||
Sturm Ruger & Co. Inc. | 73,166 | 5,298 | ||||
* | G-III Apparel Group Ltd. | 181,739 | 5,041 | |||
* | XPEL Inc. | 68,891 | 5,001 | |||
Big Lots Inc. | 135,354 | 4,705 | ||||
Sonic Automotive Inc. Class A | 86,275 | 4,634 | ||||
Buckle Inc. | 122,122 | 4,396 | ||||
* | American Axle & Manufacturing Holdings Inc. | 474,251 | 4,392 | |||
* | Adtalem Global Education Inc. | 206,919 | 4,300 | |||
* | Monarch Casino & Resort Inc. | 54,537 | 4,248 |
Shares | Market Value• ($000) | |||||
* | MarineMax Inc. | 90,413 | 4,137 | |||
* | Zumiez Inc. | 88,933 | 3,957 | |||
* | Genesco Inc. | 59,053 | 3,788 | |||
* | Tupperware Brands Corp. | 203,238 | 3,705 | |||
* | Children's Place Inc. | 58,148 | 3,661 | |||
Guess? Inc. | 162,049 | 3,549 | ||||
Standard Motor Products Inc. | 79,581 | 3,478 | ||||
* | Designer Brands Inc. Class A | 255,090 | 3,329 | |||
Caleres Inc. | 159,114 | 3,303 | ||||
Ruth's Hospitality Group Inc. | 131,949 | 3,274 | ||||
* | BJ's Restaurants Inc. | 96,897 | 3,107 | |||
* | Perdoceo Education Corp. | 291,491 | 3,052 | |||
Hibbett Inc. | 62,580 | 2,821 | ||||
Aaron's Co. Inc. | 130,903 | 2,748 | ||||
Movado Group Inc. | 68,631 | 2,705 | ||||
* | Chuy's Holdings Inc. | 82,335 | 2,684 | |||
* | Fossil Group Inc. | 197,303 | 2,668 | |||
* | America's Car-Mart Inc. | 25,278 | 2,431 | |||
* | Chico's FAS Inc. | 509,203 | 2,393 | |||
Ethan Allen Interiors Inc. | 91,374 | 2,381 | ||||
PetMed Express Inc. | 87,073 | 2,347 | ||||
* | WW International Inc. | 221,265 | 2,255 | |||
Shoe Carnival Inc. | 72,794 | 2,123 | ||||
* | LL Flooring Holdings Inc. | 120,941 | 1,942 | |||
* | Liquidity Services Inc. | 110,518 | 1,904 | |||
* | Universal Electronics Inc. | 54,478 | 1,810 | |||
Haverty Furniture Cos. Inc. | 61,861 | 1,757 | ||||
* | American Public Education Inc. | 77,331 | 1,544 | |||
* | Conn's Inc. | 79,680 | 1,461 | |||
Cato Corp. Class A | 81,207 | 1,429 | ||||
* | Golden Entertainment Inc. | 24,064 | 1,370 | |||
* | Motorcar Parts of America Inc. | 79,852 | 1,290 | |||
* | Red Robin Gourmet Burgers Inc. | 65,342 | 1,147 | |||
* | Unifi Inc. | 57,783 | 1,085 | |||
* | El Pollo Loco Holdings Inc. | 80,576 | 1,069 | |||
* | Cooper-Standard Holdings Inc. | 70,648 | 899 | |||
* | Barnes & Noble Education Inc. | 150,145 | 823 | |||
* | Vera Bradley Inc. | 106,093 | 802 | |||
* | Fiesta Restaurant Group Inc. | 71,253 | 718 | |||
Macy's Inc. | 100 | 3 | ||||
496,065 | ||||||
Consumer Staples (4.8%) | ||||||
* | Simply Good Foods Co. | 350,660 | 13,897 | |||
* | Hostess Brands Inc. Class A | 575,348 | 12,393 | |||
WD-40 Co. | 56,999 | 12,078 | ||||
* | Celsius Holdings Inc. | 158,649 | 10,136 |
Shares | Market Value• ($000) | |||||
J & J Snack Foods Corp. | 61,828 | 10,122 | ||||
Coca-Cola Consolidated Inc. | 19,300 | 9,591 | ||||
* | United Natural Foods Inc. | 234,297 | 9,426 | |||
* | TreeHouse Foods Inc. | 231,942 | 9,104 | |||
Medifast Inc. | 48,298 | 8,983 | ||||
Edgewell Personal Care Co. | 226,034 | 8,065 | ||||
1 | B&G Foods Inc. | 269,828 | 7,987 | |||
* | Central Garden & Pet Co. Class A | 167,007 | 7,355 | |||
PriceSmart Inc. | 100,032 | 7,274 | ||||
Cal-Maine Foods Inc. | 155,704 | 6,893 | ||||
Inter Parfums Inc. | 73,891 | 6,863 | ||||
Vector Group Ltd. | 544,125 | 6,100 | ||||
Andersons Inc. | 128,710 | 5,869 | ||||
Universal Corp. | 102,312 | 5,536 | ||||
* | elf Beauty Inc. | 199,050 | 5,261 | |||
* | Chefs' Warehouse Inc. | 135,466 | 4,450 | |||
* | USANA Health Sciences Inc. | 48,553 | 4,273 | |||
National Beverage Corp. | 97,007 | 4,269 | ||||
SpartanNash Co. | 149,446 | 4,205 | ||||
MGP Ingredients Inc. | 52,057 | 4,144 | ||||
Fresh Del Monte Produce Inc. | 138,387 | 3,581 | ||||
Calavo Growers Inc. | 73,524 | 3,139 | ||||
John B Sanfilippo & Son Inc. | 36,894 | 2,934 | ||||
Tootsie Roll Industries Inc. | 71,958 | 2,429 | ||||
* | Central Garden & Pet Co. | 40,524 | 1,918 | |||
* | Seneca Foods Corp. Class A | 26,083 | 1,298 | |||
199,573 | ||||||
Energy (5.7%) | ||||||
Matador Resources Co. | 458,604 | 22,747 | ||||
* | Range Resources Corp. | 985,608 | 22,620 | |||
* | Southwestern Energy Co. | 4,220,198 | 21,059 | |||
SM Energy Co. | 505,082 | 17,935 | ||||
Helmerich & Payne Inc. | 448,636 | 16,254 | ||||
Civitas Resources Inc. | 299,684 | 15,125 | ||||
Patterson-UTI Energy Inc. | 894,420 | 12,906 | ||||
* | Renewable Energy Group Inc. | 209,020 | 12,855 | |||
* | Callon Petroleum Co. | 197,389 | 11,125 | |||
World Fuel Services Corp. | 262,656 | 7,444 | ||||
* | Green Plains Inc. | 222,849 | 7,296 | |||
* | PBF Energy Inc. Class A | 394,975 | 6,564 | |||
* | Oceaneering International Inc. | 414,964 | 6,075 | |||
Core Laboratories NV | 192,474 | 5,305 | ||||
Archrock Inc. | 557,256 | 4,653 | ||||
* | Laredo Petroleum Inc. | 59,625 | 4,565 | |||
* | ProPetro Holding Corp. | 352,448 | 4,501 | |||
* | US Silica Holdings Inc. | 310,063 | 4,483 | |||
* | Dril-Quip Inc. | 147,129 | 4,243 |
Shares | Market Value• ($000) | |||||
* | CONSOL Energy Inc. | 131,896 | 4,054 | |||
* | Nabors Industries Ltd. | 32,209 | 4,044 | |||
* | Bristow Group Inc. Class A | 96,374 | 3,194 | |||
* | Ranger Oil Corp. | 87,683 | 2,960 | |||
* | Talos Energy Inc. | 170,222 | 2,674 | |||
* | RPC Inc. | 296,012 | 2,596 | |||
* | Par Pacific Holdings Inc. | 190,207 | 2,587 | |||
* | Helix Energy Solutions Group Inc. | 589,728 | 2,388 | |||
* | DMC Global Inc. | 77,858 | 2,289 | |||
* | REX American Resources Corp. | 21,849 | 2,064 | |||
Dorian LPG Ltd. | 115,153 | 1,587 | ||||
* | Oil States International Inc. | 255,180 | 1,335 | |||
* | Nabors Industries Ltd. Warrants Exp. 6/11/26 | 8,451 | 118 | |||
239,645 | ||||||
Financials (18.9%) | ||||||
Assured Guaranty Ltd. | 290,245 | 17,987 | ||||
ServisFirst Bancshares Inc. | 202,864 | 17,726 | ||||
Independent Bank Corp. (Massachusetts) | 197,551 | 16,991 | ||||
Walker & Dunlop Inc. | 122,555 | 16,956 | ||||
United Community Banks Inc. | 435,130 | 16,822 | ||||
BankUnited Inc. | 370,415 | 16,372 | ||||
Community Bank System Inc. | 224,232 | 16,356 | ||||
* | Mr Cooper Group Inc. | 312,354 | 15,877 | |||
Investors Bancorp Inc. | 937,336 | 15,691 | ||||
First Hawaiian Inc. | 535,601 | 15,570 | ||||
Pacific Premier Bancorp Inc. | 392,306 | 15,186 | ||||
WSFS Financial Corp. | 272,254 | 13,839 | ||||
Simmons First National Corp. Class A | 477,424 | 13,616 | ||||
Ameris Bancorp | 275,047 | 13,615 | ||||
American Equity Investment Life Holding Co. | 342,353 | 12,903 | ||||
* | Trupanion Inc. | 142,671 | 12,788 | |||
CVB Financial Corp. | 529,653 | 12,489 | ||||
* | Axos Financial Inc. | 222,638 | 12,187 | |||
First Bancorp | 855,022 | 12,073 | ||||
Independent Bank Group Inc. | 153,527 | 11,845 | ||||
Columbia Banking System Inc. | 323,205 | 11,839 | ||||
Flagstar Bancorp Inc. | 219,801 | 10,019 | ||||
* | Triumph Bancorp Inc. | 98,194 | 9,851 | |||
First Financial Bancorp | 389,786 | 9,581 | ||||
Seacoast Banking Corp. of Florida | 242,601 | 8,891 | ||||
Banner Corp. | 142,408 | 8,774 | ||||
Piper Sandler Cos. | 58,688 | 8,686 |
Shares | Market Value• ($000) | |||||
* | Genworth Financial Inc. Class A | 2,109,668 | 8,565 | |||
Hope Bancorp Inc. | 499,733 | 8,476 | ||||
Renasant Corp. | 231,772 | 8,462 | ||||
Lakeland Financial Corp. | 105,185 | 8,437 | ||||
Veritex Holdings Inc. | 204,956 | 8,327 | ||||
* | NMI Holdings Inc. Class A | 356,524 | 8,250 | |||
Trustmark Corp. | 259,644 | 8,176 | ||||
* | PRA Group Inc. | 181,341 | 8,093 | |||
Park National Corp. | 60,022 | 8,047 | ||||
Eagle Bancorp Inc. | 132,825 | 7,959 | ||||
Hilltop Holdings Inc. | 252,788 | 7,816 | ||||
* | Customers Bancorp Inc. | 123,984 | 7,631 | |||
Provident Financial Services Inc. | 321,100 | 7,620 | ||||
Stewart Information Services Corp. | 111,810 | 7,590 | ||||
Northwest Bancshares Inc. | 526,159 | 7,408 | ||||
Meta Financial Group Inc. | 131,678 | 7,294 | ||||
Two Harbors Investment Corp. | 1,429,898 | 7,235 | ||||
Horace Mann Educators Corp. | 172,500 | 7,174 | ||||
Virtus Investment Partners Inc. | 29,657 | 7,136 | ||||
Apollo Commercial Real Estate Finance Inc. | 546,775 | 7,135 | ||||
* | Bancorp Inc. | 236,916 | 6,942 | |||
NBT Bancorp Inc. | 180,234 | 6,916 | ||||
* | Encore Capital Group Inc. | 103,103 | 6,804 | |||
Westamerica Bancorp | 111,700 | 6,626 | ||||
FB Financial Corp. | 148,784 | 6,612 | ||||
* | Green Dot Corp. Class A | 227,367 | 6,514 | |||
* | Palomar Holdings Inc. | 100,390 | 6,468 | |||
First Bancorp (XNGS) | 143,555 | 6,443 | ||||
First Commonwealth Financial Corp. | 394,681 | 6,374 | ||||
Berkshire Hills Bancorp Inc. | 202,312 | 6,292 | ||||
PennyMac Mortgage Investment Trust | 403,342 | 6,292 | ||||
* | Enova International Inc. | 151,435 | 6,174 | |||
BancFirst Corp. | 78,548 | 6,137 | ||||
Capitol Federal Financial Inc. | 536,834 | 5,862 | ||||
OFG Bancorp | 207,251 | 5,840 | ||||
* | LendingTree Inc. | 47,682 | 5,770 | |||
Southside Bancshares Inc. | 134,197 | 5,595 | ||||
National Bank Holdings Corp. Class A | 125,969 | 5,591 | ||||
New York Mortgage Trust Inc. | 1,577,083 | 5,536 | ||||
Brookline Bancorp Inc. | 322,797 | 5,533 | ||||
ProAssurance Corp. | 224,467 | 5,410 | ||||
* | StoneX Group Inc. | 70,038 | 5,284 | |||
S&T Bancorp Inc. | 163,603 | 5,086 | ||||
City Holding Co. | 62,852 | 5,007 |
Shares | Market Value• ($000) | |||||
Redwood Trust Inc. | 476,818 | 4,954 | ||||
Safety Insurance Group Inc. | 59,178 | 4,938 | ||||
Dime Community Bancshares Inc. | 137,917 | 4,688 | ||||
Employers Holdings Inc. | 116,275 | 4,518 | ||||
Preferred Bank | 56,998 | 4,473 | ||||
Banc of California Inc. | 224,921 | 4,420 | ||||
HomeStreet Inc. | 85,024 | 4,375 | ||||
James River Group Holdings Ltd. | 155,048 | 4,124 | ||||
* | Blucora Inc. | 202,569 | 4,031 | |||
Ellington Financial Inc. | 226,832 | 4,008 | ||||
KKR Real Estate Finance Trust Inc. | 184,625 | 3,964 | ||||
B. Riley Financial Inc. | 66,489 | 3,959 | ||||
Tompkins Financial Corp. | 49,368 | 3,905 | ||||
* | Donnelley Financial Solutions Inc. | 121,271 | 3,893 | |||
Heritage Financial Corp. | 146,201 | 3,833 | ||||
AMERISAFE Inc. | 80,514 | 3,792 | ||||
Ready Capital Corp. | 244,793 | 3,635 | ||||
Brightsphere Investment Group Inc. | 149,045 | 3,558 | ||||
* | World Acceptance Corp. | 17,549 | 3,448 | |||
Central Pacific Financial Corp. | 116,267 | 3,394 | ||||
Allegiance Bancshares Inc. | 78,306 | 3,355 | ||||
Hanmi Financial Corp. | 126,427 | 3,302 | ||||
1 | ARMOUR Residential REIT Inc. | 372,863 | 3,031 | |||
Northfield Bancorp Inc. | 181,329 | 2,847 | ||||
Invesco Mortgage Capital Inc. | 1,296,130 | 2,826 | ||||
TrustCo Bank Corp. | 79,915 | 2,731 | ||||
* | SiriusPoint Ltd. | 363,608 | 2,687 | |||
WisdomTree Investments Inc. | 452,583 | 2,548 | ||||
Granite Point Mortgage Trust Inc. | 223,663 | 2,510 | ||||
United Fire Group Inc. | 89,685 | 2,476 | ||||
* | Ambac Financial Group Inc. | 192,518 | 2,470 | |||
Franklin BSP Realty Trust Inc. | 182,774 | 2,413 | ||||
HCI Group Inc. | 33,243 | 2,070 | ||||
* | Selectquote Inc. | 518,098 | 1,611 | |||
* | eHealth Inc. | 98,743 | 1,534 | |||
Universal Insurance Holdings Inc. | 116,630 | 1,348 | ||||
* | EZCORP Inc. Class A | 220,722 | 1,322 | |||
Greenhill & Co. Inc. | 57,672 | 1,020 | ||||
Old National Bancorp | 1,448 | 26 | ||||
790,506 | ||||||
Health Care (11.6%) | ||||||
* | Omnicell Inc. | 182,711 | 23,621 |
Shares | Market Value• ($000) | |||||
* | AMN Healthcare Services Inc. | 196,567 | 20,864 | |||
Ensign Group Inc. | 218,259 | 18,342 | ||||
CONMED Corp. | 121,607 | 17,774 | ||||
Owens & Minor Inc. | 313,740 | 13,852 | ||||
* | Merit Medical Systems Inc. | 211,273 | 13,739 | |||
* | Lantheus Holdings Inc. | 281,455 | 13,459 | |||
* | Prestige Consumer Healthcare Inc. | 208,329 | 12,402 | |||
* | Pacira BioSciences Inc. | 185,209 | 12,352 | |||
* | Cytokinetics Inc. | 348,782 | 12,319 | |||
* | Integer Holdings Corp. | 137,288 | 11,514 | |||
* | NeoGenomics Inc. | 511,931 | 10,960 | |||
* | Glaukos Corp. | 194,966 | 10,784 | |||
Select Medical Holdings Corp. | 440,633 | 10,201 | ||||
* | Allscripts Healthcare Solutions Inc. | 509,640 | 9,918 | |||
* | Corcept Therapeutics Inc. | 394,614 | 8,796 | |||
* | MEDNAX Inc. | 359,464 | 8,437 | |||
* | Emergent BioSolutions Inc. | 199,087 | 8,238 | |||
* | Myriad Genetics Inc. | 332,035 | 8,095 | |||
* | Vericel Corp. | 194,653 | 8,022 | |||
* | Nektar Therapeutics | 767,371 | 7,858 | |||
* | Covetrus Inc. | 429,668 | 7,614 | |||
* | Xencor Inc. | 243,168 | 7,614 | |||
*,1 | Apollo Medical Holdings Inc. | 157,060 | 7,558 | |||
* | Avanos Medical Inc. | 200,353 | 7,090 | |||
* | Supernus Pharmaceuticals Inc. | 221,125 | 7,065 | |||
* | Ligand Pharmaceuticals Inc. | 69,487 | 7,033 | |||
* | Heska Corp. | 44,537 | 6,324 | |||
* | CorVel Corp. | 39,050 | 6,211 | |||
* | ModivCare Inc. | 51,227 | 6,045 | |||
* | Addus HomeCare Corp. | 66,222 | 5,631 | |||
Mesa Laboratories Inc. | 21,726 | 5,547 | ||||
* | Community Health Systems Inc. | 516,340 | 5,427 | |||
* | Enanta Pharmaceuticals Inc. | 74,810 | 5,268 | |||
* | Avid Bioservices Inc. | 255,053 | 5,223 | |||
*,1 | Fulgent Genetics Inc. | 80,620 | 5,023 | |||
* | Tivity Health Inc. | 184,109 | 5,022 | |||
* | Innoviva Inc. | 260,049 | 4,996 | |||
US Physical Therapy Inc. | 53,689 | 4,938 | ||||
* | NextGen Healthcare Inc. | 238,855 | 4,665 | |||
* | Meridian Bioscience Inc. | 180,259 | 4,561 | |||
* | RadNet Inc. | 184,416 | 4,550 | |||
* | Amphastar Pharmaceuticals Inc. | 153,195 | 4,245 | |||
* | REGENXBIO Inc. | 156,490 | 4,102 | |||
* | Natus Medical Inc. | 142,002 | 3,950 | |||
* | Varex Imaging Corp. | 163,820 | 3,873 |
Shares | Market Value• ($000) | |||||
LeMaitre Vascular Inc. | 79,908 | 3,793 | ||||
* | Harmony Biosciences Holdings Inc. | 94,817 | 3,789 | |||
* | AngioDynamics Inc. | 160,702 | 3,781 | |||
* | Cardiovascular Systems Inc. | 168,603 | 3,551 | |||
* | OptimizeRx Corp. | 73,884 | 3,346 | |||
* | Cross Country Healthcare Inc. | 146,957 | 3,282 | |||
* | Artivion Inc. | 163,529 | 3,197 | |||
* | Coherus Biosciences Inc. | 264,992 | 3,124 | |||
* | Endo International plc | 971,584 | 3,022 | |||
* | iTeos Therapeutics Inc. | 83,449 | 3,015 | |||
* | Inogen Inc. | 85,036 | 2,967 | |||
* | BioLife Solutions Inc. | 121,841 | 2,863 | |||
* | Collegium Pharmaceutical Inc. | 143,734 | 2,798 | |||
* | Orthofix Medical Inc. | 82,097 | 2,790 | |||
* | Hanger Inc. | 152,906 | 2,771 | |||
* | Vanda Pharmaceuticals Inc. | 231,647 | 2,631 | |||
* | Cutera Inc. | 67,943 | 2,606 | |||
* | Surmodics Inc. | 57,680 | 2,589 | |||
Simulations Plus Inc. | 65,343 | 2,574 | ||||
* | uniQure NV | 149,838 | 2,546 | |||
* | Joint Corp. | 59,928 | 2,457 | |||
* | OraSure Technologies Inc. | 299,521 | 2,336 | |||
* | Eagle Pharmaceuticals Inc. | 47,253 | 2,239 | |||
* | HealthStream Inc. | 104,993 | 2,151 | |||
* | Anika Therapeutics Inc. | 60,030 | 1,951 | |||
* | Organogenesis Holdings Inc. Class A | 262,096 | 1,950 | |||
* | Computer Programs & Systems Inc. | 60,905 | 1,875 | |||
* | Pennant Group Inc. | 112,484 | 1,828 | |||
* | Cara Therapeutics Inc. | 175,599 | 1,821 | |||
Phibro Animal Health Corp. Class A | 84,570 | 1,801 | ||||
* | ANI Pharmaceuticals Inc. | 45,002 | 1,685 | |||
* | Tactile Systems Technology Inc. | 82,418 | 1,678 | |||
1 | Zynex Inc. | 90,970 | 572 | |||
* | Tabula Rasa HealthCare Inc. | 44,989 | 256 | |||
*,2 | Lantheus Holdings Inc. CVR | 276,566 | — | |||
486,757 | ||||||
Industrials (16.5%) | ||||||
UFP Industries Inc. | 257,325 | 22,066 | ||||
* | Chart Industries Inc. | 148,112 | 21,387 | |||
Exponent Inc. | 216,677 | 20,532 | ||||
Matson Inc. | 174,767 | 19,359 | ||||
Applied Industrial Technologies Inc. | 159,904 | 16,166 | ||||
* | Resideo Technologies Inc. | 600,348 | 15,453 | |||
Korn Ferry | 226,631 | 15,017 | ||||
SPX FLOW Inc. | 174,507 | 14,988 |
Shares | Market Value• ($000) | |||||
John Bean Technologies Corp. | 132,088 | 14,975 | ||||
Hillenbrand Inc. | 303,685 | 14,489 | ||||
Franklin Electric Co. Inc. | 162,172 | 13,713 | ||||
Mueller Industries Inc. | 238,528 | 13,608 | ||||
Boise Cascade Co. | 163,534 | 13,073 | ||||
Comfort Systems USA Inc. | 149,855 | 12,885 | ||||
ABM Industries Inc. | 279,582 | 12,534 | ||||
Aerojet Rocketdyne Holdings Inc. | 311,282 | 12,062 | ||||
* | Hub Group Inc. Class A | 141,238 | 11,920 | |||
Albany International Corp. Class A | 134,633 | 11,823 | ||||
Forward Air Corp. | 112,092 | 11,566 | ||||
UniFirst Corp. | 63,310 | 11,475 | ||||
* | Allegiant Travel Co. | 63,177 | 10,998 | |||
Arcosa Inc. | 200,953 | 10,584 | ||||
* | Meritor Inc. | 291,649 | 10,386 | |||
Moog Inc. Class A | 121,730 | 10,117 | ||||
AAON Inc. | 172,215 | 10,085 | ||||
ArcBest Corp. | 106,310 | 9,853 | ||||
Encore Wire Corp. | 84,224 | 9,805 | ||||
* | GMS Inc. | 179,407 | 9,733 | |||
* | SPX Corp. | 188,825 | 9,573 | |||
ManTech International Corp. Class A | 114,602 | 9,554 | ||||
EnPro Industries Inc. | 85,673 | 9,462 | ||||
* | KAR Auction Services Inc. | 503,743 | 9,299 | |||
Brady Corp. Class A | 201,779 | 9,298 | ||||
Federal Signal Corp. | 253,933 | 9,170 | ||||
Barnes Group Inc. | 193,664 | 8,996 | ||||
* | Atlas Air Worldwide Holdings Inc. | 112,245 | 8,796 | |||
ESCO Technologies Inc. | 108,358 | 7,538 | ||||
HNI Corp. | 181,118 | 7,370 | ||||
* | AeroVironment Inc. | 95,941 | 6,817 | |||
* | Triumph Group Inc. | 268,650 | 6,727 | |||
* | Gibraltar Industries Inc. | 135,882 | 6,566 | |||
* | Proto Labs Inc. | 114,717 | 6,451 | |||
* | MYR Group Inc. | 70,144 | 6,295 | |||
* | AAR Corp. | 138,635 | 6,230 | |||
* | US Ecology Inc. | 131,020 | 6,216 | |||
* | Veritiv Corp. | 57,642 | 6,177 | |||
Tennant Co. | 77,075 | 6,072 | ||||
Greenbrier Cos. Inc. | 135,320 | 6,012 | ||||
Lindsay Corp. | 45,356 | 5,951 | ||||
* | SkyWest Inc. | 209,479 | 5,888 | |||
Granite Construction Inc. | 190,537 | 5,768 | ||||
Alamo Group Inc. | 41,153 | 5,725 | ||||
Deluxe Corp. | 177,155 | 5,511 | ||||
Standex International Corp. | 50,768 | 5,378 | ||||
* | PGT Innovations Inc. | 247,932 | 5,333 | |||
* | NV5 Global Inc. | 49,244 | 5,281 | |||
AZZ Inc. | 103,282 | 5,085 | ||||
Kaman Corp. | 115,799 | 5,027 |
Shares | Market Value• ($000) | |||||
Healthcare Services Group Inc. | 309,919 | 4,903 | ||||
Apogee Enterprises Inc. | 105,344 | 4,748 | ||||
Astec Industries Inc. | 94,655 | 4,714 | ||||
Griffon Corp. | 197,955 | 4,563 | ||||
* | CoreCivic Inc. | 500,137 | 4,556 | |||
Matthews International Corp. Class A | 131,450 | 4,362 | ||||
Enerpac Tool Group Corp. Class A | 250,691 | 4,324 | ||||
* | NOW Inc. | 459,696 | 4,294 | |||
Marten Transport Ltd. | 248,313 | 4,283 | ||||
* | Hawaiian Holdings Inc. | 212,939 | 4,084 | |||
* | TrueBlue Inc. | 147,532 | 4,013 | |||
* | Harsco Corp. | 329,329 | 3,922 | |||
* | American Woodmark Corp. | 68,890 | 3,691 | |||
Wabash National Corp. | 205,718 | 3,505 | ||||
Heidrick & Struggles International Inc. | 81,461 | 3,482 | ||||
Pitney Bowes Inc. | 688,127 | 3,427 | ||||
Interface Inc. Class A | 245,560 | 3,205 | ||||
Quanex Building Products Corp. | 139,386 | 3,186 | ||||
Kelly Services Inc. Class A | 149,813 | 3,179 | ||||
* | GEO Group Inc. | 509,478 | 3,036 | |||
Insteel Industries Inc. | 80,696 | 2,995 | ||||
* | Viad Corp. | 85,365 | 2,983 | |||
Heartland Express Inc. | 193,575 | 2,780 | ||||
* | Forrester Research Inc. | 46,238 | 2,401 | |||
* | Titan International Inc. | 212,689 | 2,382 | |||
* | CIRCOR International Inc. | 84,234 | 2,269 | |||
Resources Connection Inc. | 129,710 | 2,153 | ||||
* | DXP Enterprises Inc. | 71,039 | 2,040 | |||
National Presto Industries Inc. | 21,077 | 1,676 | ||||
Park Aerospace Corp. | 80,822 | 1,121 | ||||
Powell Industries Inc. | 37,431 | 791 | ||||
* | Matrix Service Co. | 262 | 2 | |||
691,288 | ||||||
Information Technology (13.0%) | ||||||
* | Vonage Holdings Corp. | 1,049,760 | 21,331 | |||
* | Rogers Corp. | 77,877 | 21,260 | |||
* | SPS Commerce Inc. | 149,537 | 19,417 | |||
* | MaxLinear Inc. Class A | 293,534 | 18,008 | |||
* | Onto Innovation Inc. | 204,894 | 17,664 | |||
* | Diodes Inc. | 187,181 | 16,770 | |||
* | ExlService Holdings Inc. | 138,474 | 16,726 | |||
* | Viavi Solutions Inc. | 988,274 | 16,208 | |||
* | Fabrinet | 153,918 | 15,412 | |||
* | Insight Enterprises Inc. | 145,055 | 15,086 | |||
* | Perficient Inc. | 136,953 | 13,956 | |||
Kulicke & Soffa Industries Inc. | 257,663 | 13,460 | ||||
Advanced Energy Industries Inc. | 156,628 | 13,447 | ||||
* | FormFactor Inc. | 325,184 | 13,167 |
Shares | Market Value• ($000) | |||||
* | Alarm.com Holdings Inc. | 191,497 | 12,606 | |||
* | Rambus Inc. | 454,730 | 12,278 | |||
Badger Meter Inc. | 121,621 | 12,090 | ||||
* | Sanmina Corp. | 267,675 | 10,648 | |||
EVERTEC Inc. | 248,377 | 10,025 | ||||
* | Axcelis Technologies Inc. | 138,510 | 9,588 | |||
* | Plexus Corp. | 117,462 | 9,570 | |||
* | NetScout Systems Inc. | 307,165 | 9,562 | |||
* | 3D Systems Corp. | 531,087 | 9,464 | |||
* | Bottomline Technologies DE Inc. | 160,813 | 9,108 | |||
* | Itron Inc. | 188,238 | 8,973 | |||
* | Ultra Clean Holdings Inc. | 186,692 | 8,552 | |||
CSG Systems International Inc. | 135,740 | 8,378 | ||||
* | Knowles Corp. | 383,948 | 8,362 | |||
InterDigital Inc. | 127,559 | 8,217 | ||||
Progress Software Corp. | 182,296 | 8,036 | ||||
Xperi Holding Corp. | 434,626 | 7,528 | ||||
Methode Electronics Inc. | 158,714 | 7,244 | ||||
* | Cohu Inc. | 202,444 | 6,312 | |||
* | Extreme Networks Inc. | 540,028 | 6,205 | |||
* | 8x8 Inc. | 473,790 | 6,140 | |||
TTEC Holdings Inc. | 76,198 | 6,058 | ||||
* | Veeco Instruments Inc. | 209,991 | 5,999 | |||
* | Unisys Corp. | 279,216 | 5,967 | |||
* | OSI Systems Inc. | 69,378 | 5,597 | |||
* | LivePerson Inc. | 273,629 | 5,549 | |||
* | TTM Technologies Inc. | 433,897 | 5,454 | |||
* | SMART Global Holdings Inc. | 192,578 | 5,286 | |||
* | ePlus Inc. | 112,333 | 5,268 | |||
CTS Corp. | 133,994 | 5,084 | ||||
* | Plantronics Inc. | 177,676 | 5,005 | |||
* | Photronics Inc. | 254,260 | 4,683 | |||
ADTRAN Inc. | 202,405 | 4,168 | ||||
* | Ichor Holdings Ltd. | 118,133 | 4,162 | |||
* | FARO Technologies Inc. | 75,694 | 4,144 | |||
* | Harmonic Inc. | 426,470 | 3,970 | |||
* | CEVA Inc. | 95,526 | 3,895 | |||
Benchmark Electronics Inc. | 146,454 | 3,828 | ||||
* | Consensus Cloud Solutions Inc. | 66,731 | 3,714 | |||
* | PDF Solutions Inc. | 124,228 | 3,399 | |||
* | Agilysys Inc. | 80,845 | 3,398 | |||
* | ScanSource Inc. | 106,159 | 3,353 | |||
* | Arlo Technologies Inc. | 350,509 | 3,253 | |||
* | NETGEAR Inc. | 121,677 | 3,238 | |||
*,1 | Corsair Gaming Inc. | 137,292 | 3,169 | |||
Ebix Inc. | 99,067 | 2,923 | ||||
* | Digi International Inc. | 141,837 | 2,848 | |||
* | Diebold Nixdorf Inc. | 302,991 | 2,636 | |||
Comtech Telecommunications Corp. | 109,551 | 2,255 | ||||
PC Connection Inc. | 45,774 | 2,233 |
Shares | Market Value• ($000) | |||||
* | OneSpan Inc. | 142,915 | 1,969 | |||
* | CalAmp Corp. | 149,194 | 1,053 | |||
544,356 | ||||||
Materials (5.5%) | ||||||
Balchem Corp. | 134,641 | 18,626 | ||||
* | Livent Corp. | 671,818 | 15,821 | |||
HB Fuller Co. | 218,502 | 14,939 | ||||
* | Allegheny Technologies Inc. | 529,087 | 13,619 | |||
* | Arconic Corp. | 442,767 | 13,593 | |||
Quaker Chemical Corp. | 55,802 | 10,357 | ||||
Innospec Inc. | 102,480 | 9,787 | ||||
Stepan Co. | 88,546 | 9,175 | ||||
Trinseo plc | 161,480 | 8,391 | ||||
* | O-I Glass Inc. | 652,074 | 8,334 | |||
Compass Minerals International Inc. | 141,528 | 8,296 | ||||
Carpenter Technology Corp. | 200,357 | 7,692 | ||||
* | Ferro Corp. | 344,034 | 7,476 | |||
Materion Corp. | 84,987 | 7,101 | ||||
* | GCP Applied Technologies Inc. | 223,111 | 7,046 | |||
Warrior Met Coal Inc. | 213,764 | 6,734 | ||||
Kaiser Aluminum Corp. | 65,957 | 6,365 | ||||
* | Kraton Corp. | 133,667 | 6,169 | |||
* | Sylvamo Corp. | 146,710 | 5,120 | |||
* | Century Aluminum Co. | 209,858 | 4,957 | |||
AdvanSix Inc. | 116,970 | 4,686 | ||||
Schweitzer-Mauduit International Inc. | 130,797 | 4,083 | ||||
Hawkins Inc. | 78,132 | 3,536 | ||||
* | TimkenSteel Corp. | 170,992 | 3,083 | |||
SunCoke Energy Inc. | 345,442 | 2,739 | ||||
Neenah Inc. | 69,682 | 2,714 | ||||
Glatfelter Corp. | 185,135 | 2,544 | ||||
* | Koppers Holdings Inc. | 88,592 | 2,536 | |||
Myers Industries Inc. | 150,687 | 2,504 | ||||
Mercer International Inc. | 167,497 | 2,239 | ||||
* | Clearwater Paper Corp. | 69,390 | 2,001 | |||
Haynes International Inc. | 52,759 | 1,929 | ||||
American Vanguard Corp. | 111,897 | 1,686 | ||||
* | Rayonier Advanced Materials Inc. | 265,011 | 1,556 | |||
Tredegar Corp. | 106,625 | 1,227 | ||||
Olympic Steel Inc. | 38,688 | 1,036 | ||||
FutureFuel Corp. | 107,357 | 790 | ||||
230,487 | ||||||
Real Estate (8.1%) | ||||||
Innovative Industrial Properties Inc. | 99,492 | 18,750 | ||||
Agree Realty Corp. | 290,131 | 18,612 | ||||
LXP Industrial Trust | 1,175,931 | 18,180 | ||||
Essential Properties Realty Trust Inc. | 505,494 | 12,779 |
Shares | Market Value• ($000) | |||||
Uniti Group Inc. | 981,576 | 12,731 | ||||
SITE Centers Corp. | 746,490 | 11,608 | ||||
Independence Realty Trust Inc. | 434,738 | 10,986 | ||||
Brandywine Realty Trust | 711,513 | 9,484 | ||||
Retail Opportunity Investments Corp. | 504,868 | 9,168 | ||||
* | Realogy Holdings Corp. | 484,765 | 8,813 | |||
* | Xenia Hotels & Resorts Inc. | 474,882 | 8,804 | |||
Four Corners Property Trust Inc. | 321,633 | 8,485 | ||||
* | DiamondRock Hospitality Co. | 875,744 | 8,363 | |||
Urban Edge Properties | 457,827 | 8,342 | ||||
Washington REIT | 351,907 | 8,221 | ||||
NexPoint Residential Trust Inc. | 94,501 | 8,030 | ||||
American Assets Trust Inc. | 218,758 | 7,998 | ||||
Acadia Realty Trust | 367,787 | 7,885 | ||||
Easterly Government Properties Inc. Class A | 358,136 | 7,456 | ||||
St. Joe Co. | 137,110 | 7,408 | ||||
iStar Inc. | 288,878 | 7,257 | ||||
Tanger Factory Outlet Centers Inc. | 432,366 | 7,212 | ||||
CareTrust REIT Inc. | 403,447 | 7,060 | ||||
Alexander & Baldwin Inc. | 301,590 | 6,765 | ||||
Global Net Lease Inc. | 430,749 | 6,121 | ||||
Industrial Logistics Properties Trust | 271,948 | 6,083 | ||||
Service Properties Trust | 686,435 | 5,924 | ||||
* | Veris Residential Inc. | 332,773 | 5,624 | |||
Centerspace | 59,380 | 5,581 | ||||
LTC Properties Inc. | 163,710 | 5,538 | ||||
* | Marcus & Millichap Inc. | 103,918 | 5,168 | |||
Office Properties Income Trust | 201,343 | 5,044 | ||||
RPT Realty | 350,484 | 4,539 | ||||
Getty Realty Corp. | 164,024 | 4,519 | ||||
* | Summit Hotel Properties Inc. | 442,630 | 4,378 | |||
Community Healthcare Trust Inc. | 97,651 | 4,072 | ||||
* | Orion Office REIT Inc. | 225,240 | 3,836 | |||
Armada Hoffler Properties Inc. | 255,738 | 3,754 | ||||
Safehold Inc. | 58,797 | 3,608 | ||||
Universal Health Realty Income Trust | 53,305 | 3,044 | ||||
Diversified Healthcare Trust | 993,707 | 2,862 | ||||
* | Chatham Lodging Trust | 202,779 | 2,788 | |||
Saul Centers Inc. | 54,213 | 2,495 | ||||
Urstadt Biddle Properties Inc. Class A | 125,093 | 2,355 | ||||
RE/MAX Holdings Inc. Class A | 78,544 | 2,328 |
Shares | Market Value• ($000) | |||||
Franklin Street Properties Corp. | 395,292 | 2,285 | ||||
Whitestone REIT | 191,948 | 2,261 | ||||
* | Douglas Elliman Inc. | 272,061 | 2,051 | |||
* | Hersha Hospitality Trust Class A | 137,325 | 1,268 | |||
337,923 | ||||||
Utilities (2.0%) | ||||||
South Jersey Industries Inc. | 467,539 | 15,864 | ||||
Avista Corp. | 294,246 | 13,132 | ||||
American States Water Co. | 153,581 | 12,926 | ||||
California Water Service Group | 218,744 | 12,453 | ||||
Chesapeake Utilities Corp. | 73,201 | 9,732 | ||||
Middlesex Water Co. | 72,751 | 7,274 | ||||
Northwest Natural Holding Co. | 127,770 | 6,645 | ||||
Unitil Corp. | 66,419 | 3,354 | ||||
81,380 | ||||||
Total Common Stocks (Cost $3,694,798) | 4,171,887 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 0.138% (Cost $8,529) | 85,324 | 8,531 | |||
Total Investments (100.0%) (Cost $3,703,327) | 4,180,418 | |||||
Other Assets and Liabilities—Net (0.0%) | 167 | |||||
Net Assets (100%) | 4,180,585 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,531,000. |
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 $6,815,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2022 | 67 | 6,849 | 14 |
E-mini Russell 2000 Index | June 2022 | 17 | 1,736 | 47 |
61 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,694,798) | 4,171,887 |
Affiliated Issuers (Cost $8,529) | 8,531 |
Total Investments in Securities | 4,180,418 |
Investment in Vanguard | 130 |
Cash Collateral Pledged—Futures Contracts | 250 |
Receivables for Investment Securities Sold | 3,169 |
Receivables for Accrued Income | 1,934 |
Receivables for Capital Shares Issued | 4,106 |
Variation Margin Receivable—Futures Contracts | 6 |
Total Assets | 4,190,013 |
Liabilities | |
Due to Custodian | 20 |
Payables for Investment Securities Purchased | 1,498 |
Collateral for Securities on Loan | 6,815 |
Payables for Capital Shares Redeemed | 965 |
Payables to Vanguard | 130 |
Total Liabilities | 9,428 |
Net Assets | 4,180,585 |
Statement of Assets and Liabilities (continued) | |
At February 28, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 3,736,679 |
Total Distributable Earnings (Loss) | 443,906 |
Net Assets | 4,180,585 |
ETF Shares—Net Assets | |
Applicable to 10,375,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,048,766 |
Net Asset Value Per Share—ETF Shares | $197.47 |
Institutional Shares—Net Assets | |
Applicable to 5,367,701 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,131,819 |
Net Asset Value Per Share—Institutional Shares | $397.16 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 22,305 |
Interest2 | 4 |
Securities Lending—Net | 137 |
Total Income | 22,446 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 181 |
Management and Administrative—ETF Shares | 749 |
Management and Administrative—Institutional Shares | 577 |
Marketing and Distribution—ETF Shares | 35 |
Marketing and Distribution—Institutional Shares | 46 |
Custodian Fees | 56 |
Shareholders’ Reports—ETF Shares | 34 |
Shareholders’ Reports—Institutional Shares | 25 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 8 |
Total Expenses | 1,712 |
Net Investment Income | 20,734 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 113,219 |
Futures Contracts | (885) |
Realized Net Gain (Loss) | 112,334 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (252,973) |
Futures Contracts | (14) |
Change in Unrealized Appreciation (Depreciation) | (252,987) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (119,919) |
1 | Dividends are net of foreign withholding taxes of $28,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, less than $1,000, less than $1,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $125,276,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 20,734 | 38,929 | |
Realized Net Gain (Loss) | 112,334 | 281,415 | |
Change in Unrealized Appreciation (Depreciation) | (252,987) | 916,795 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (119,919) | 1,237,139 | |
Distributions | |||
ETF Shares | (22,040) | (13,235) | |
Institutional Shares | (23,304) | (18,167) | |
Total Distributions | (45,344) | (31,402) | |
Capital Share Transactions | |||
ETF Shares | 327,539 | 297,208 | |
Institutional Shares | 360,707 | (208,508) | |
Net Increase (Decrease) from Capital Share Transactions | 688,246 | 88,700 | |
Total Increase (Decrease) | 522,983 | 1,294,437 | |
Net Assets | |||
Beginning of Period | 3,657,602 | 2,363,165 | |
End of Period | 4,180,585 | 3,657,602 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $206.41 | $135.61 | $138.09 | $164.67 | $125.83 | $112.23 |
Investment Operations | ||||||
Net Investment Income1 | 1.094 | 2.286 | 1.946 | 1.941 | 1.784 | 1.573 |
Net Realized and Unrealized Gain (Loss) on Investments | (7.599) | 70.340 | (2.340) | (26.858) | 38.598 | 13.212 |
Total from Investment Operations | (6.505) | 72.626 | (.394) | (24.917) | 40.382 | 14.785 |
Distributions | ||||||
Dividends from Net Investment Income | (2.435) | (1.826) | (2.086) | (1.663) | (1.542) | (1.185) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.435) | (1.826) | (2.086) | (1.663) | (1.542) | (1.185) |
Net Asset Value, End of Period | $197.47 | $206.41 | $135.61 | $138.09 | $164.67 | $125.83 |
Total Return | -3.19% | 53.88% | -0.43% | -15.09% | 32.32% | 13.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,049 | $1,806 | $987 | $991 | $1,107 | $683 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.10% | 1.25% | 1.46% | 1.36% | 1.23% | 1.27% |
Portfolio Turnover Rate2 | 6% | 18% | 15% | 9% | 13% | 22% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $415.16 | $272.71 | $277.68 | $331.26 | $252.98 | $225.56 |
Investment Operations | ||||||
Net Investment Income1 | 2.249 | 4.566 | 3.951 | 3.941 | 3.769 | 3.303 |
Net Realized and Unrealized Gain (Loss) on Investments | (15.289) | 141.589 | (4.694) | (54.011) | 77.632 | 26.605 |
Total from Investment Operations | (13.040) | 146.155 | (.743) | (50.070) | 81.401 | 29.908 |
Distributions | ||||||
Dividends from Net Investment Income | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) | (2.488) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) | (2.488) |
Net Asset Value, End of Period | $397.16 | $415.16 | $272.71 | $277.68 | $331.26 | $252.98 |
Total Return | -3.15% | 53.93% | -0.41% | -15.09% | 32.39% | 13.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,132 | $1,852 | $1,377 | $1,186 | $1,019 | $672 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.12% | 1.26% | 1.47% | 1.38% | 1.30% | 1.34% |
Portfolio Turnover Rate2 | 6% | 18% | 15% | 9% | 13% | 22% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 4,171,887 | — | — | 4,171,887 |
Temporary Cash Investments | 8,531 | — | — | 8,531 |
Total | 4,180,418 | — | — | 4,180,418 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 61 | — | — | 61 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 3,722,609 |
Gross Unrealized Appreciation | 823,776 |
Gross Unrealized Depreciation | (365,906) |
Net Unrealized Appreciation (Depreciation) | 457,870 |
E. | During the six months ended February 28, 2022, the fund purchased $1,182,527,000 of investment securities and sold $521,110,000 of investment securities, other than temporary cash investments. Purchases and sales include $597,594,000 and $292,701,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 639,213 | 3,150 | 1,041,411 | 5,900 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (311,674) | (1,525) | (744,203) | (4,425) | |
Net Increase (Decrease)—ETF Shares | 327,539 | 1,625 | 297,208 | 1,475 | |
Institutional Shares | |||||
Issued | 426,651 | 1,067 | 435,486 | 1,155 | |
Issued in Lieu of Cash Distributions | 20,984 | 53 | 15,606 | 47 | |
Redeemed | (86,928) | (212) | (659,600) | (1,790) | |
Net Increase (Decrease)—Institutional Shares | 360,707 | 908 | (208,508) | (588) |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Communication Services | 2.1% |
Consumer Discretionary | 12.0 |
Consumer Staples | 5.0 |
Energy | 6.2 |
Financials | 20.9 |
Health Care | 9.0 |
Industrials | 18.3 |
Information Technology | 7.7 |
Materials | 7.4 |
Real Estate | 8.8 |
Utilities | 2.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.1%) | ||||||
Telephone & Data Systems Inc. | 264,146 | 4,583 | ||||
Scholastic Corp. | 81,494 | 3,429 | ||||
* | AMC Networks Inc. Class A | 78,243 | 3,243 | |||
Shenandoah Telecommunications Co. | 133,812 | 2,991 | ||||
* | Cinemark Holdings Inc. | 136,993 | 2,403 | |||
Cogent Communications Holdings Inc. | 37,336 | 2,367 | ||||
* | EW Scripps Co. Class A | 82,251 | 1,831 | |||
* | QuinStreet Inc. | 132,960 | 1,496 | |||
* | Cars.com Inc. | 88,714 | 1,435 | |||
* | Consolidated Communications Holdings Inc. | 193,111 | 1,375 | |||
* | Loyalty Ventures Inc. | 53,271 | 1,278 | |||
* | Gannett Co. Inc. | 236,243 | 1,172 | |||
* | Marcus Corp. | 58,404 | 1,062 | |||
ATN International Inc. | 29,151 | 972 | ||||
29,637 | ||||||
Consumer Discretionary (12.0%) | ||||||
Group 1 Automotive Inc. | 48,371 | 8,800 | ||||
MDC Holdings Inc. | 151,156 | 6,702 | ||||
* | Asbury Automotive Group Inc. | 34,002 | 6,600 | |||
* | Cheesecake Factory Inc. | 129,655 | 5,548 | |||
* | ODP Corp. | 122,668 | 5,397 | |||
* | Bloomin' Brands Inc. | 217,042 | 5,341 | |||
* | Meritage Homes Corp. | 52,874 | 5,212 | |||
* | Brinker International Inc. | 121,400 | 5,164 | |||
*,1 | Bed Bath & Beyond Inc. | 270,415 | 4,567 | |||
* | M/I Homes Inc. | 77,881 | 3,839 | |||
Strategic Education Inc. | 60,608 | 3,577 | ||||
* | Shake Shack Inc. Class A | 47,151 | 3,523 | |||
La-Z-Boy Inc. | 118,615 | 3,461 | ||||
* | G-III Apparel Group Ltd. | 117,019 | 3,246 | |||
* | Abercrombie & Fitch Co. Class A | 83,831 | 3,192 | |||
Kontoor Brands Inc. | 62,146 | 3,079 |
Shares | Market Value• ($000) | |||||
Big Lots Inc. | 87,174 | 3,030 | ||||
Sonic Automotive Inc. Class A | 55,573 | 2,985 | ||||
* | Sally Beauty Holdings Inc. | 169,516 | 2,929 | |||
Steven Madden Ltd. | 67,649 | 2,886 | ||||
* | American Axle & Manufacturing Holdings Inc. | 305,473 | 2,829 | |||
Winnebago Industries Inc. | 43,922 | 2,814 | ||||
LCI Industries | 22,335 | 2,781 | ||||
* | Adtalem Global Education Inc. | 133,352 | 2,771 | |||
Wolverine World Wide Inc. | 119,129 | 2,744 | ||||
* | Zumiez Inc. | 57,327 | 2,550 | |||
* | Dave & Buster's Entertainment Inc. | 56,918 | 2,467 | |||
Rent-A-Center Inc. | 84,217 | 2,393 | ||||
Monro Inc. | 50,957 | 2,379 | ||||
* | Tupperware Brands Corp. | 130,301 | 2,375 | |||
* | Dorman Products Inc. | 25,023 | 2,338 | |||
Guess? Inc. | 103,871 | 2,275 | ||||
Patrick Industries Inc. | 31,735 | 2,264 | ||||
Standard Motor Products Inc. | 51,282 | 2,242 | ||||
* | Designer Brands Inc. Class A | 163,520 | 2,134 | |||
Caleres Inc. | 101,990 | 2,117 | ||||
Ruth's Hospitality Group Inc. | 85,143 | 2,112 | ||||
* | iRobot Corp. | 32,334 | 2,010 | |||
* | BJ's Restaurants Inc. | 62,106 | 1,992 | |||
* | Perdoceo Education Corp. | 186,946 | 1,957 | |||
Dine Brands Global Inc. | 21,110 | 1,770 | ||||
Aaron's Co. Inc. | 83,907 | 1,761 | ||||
* | Chuy's Holdings Inc. | 52,960 | 1,726 | |||
* | Fossil Group Inc. | 126,492 | 1,710 | |||
* | America's Car-Mart Inc. | 16,203 | 1,558 | |||
Jack in the Box Inc. | 17,904 | 1,545 | ||||
* | Chico's FAS Inc. | 327,016 | 1,537 | |||
Ethan Allen Interiors Inc. | 58,807 | 1,533 | ||||
PetMed Express Inc. | 55,920 | 1,507 | ||||
* | WW International Inc. | 141,993 | 1,447 |
Shares | Market Value• ($000) | |||||
Oxford Industries Inc. | 15,244 | 1,347 | ||||
* | Genesco Inc. | 19,743 | 1,267 | |||
* | LL Flooring Holdings Inc. | 78,115 | 1,255 | |||
* | Universal Electronics Inc. | 34,936 | 1,161 | |||
Haverty Furniture Cos. Inc. | 39,768 | 1,130 | ||||
* | American Public Education Inc. | 50,056 | 999 | |||
* | Conn's Inc. | 51,070 | 937 | |||
Cato Corp. Class A | 52,440 | 923 | ||||
* | Motorcar Parts of America Inc. | 51,590 | 833 | |||
* | Red Robin Gourmet Burgers Inc. | 41,853 | 735 | |||
* | Unifi Inc. | 37,441 | 703 | |||
* | El Pollo Loco Holdings Inc. | 51,578 | 684 | |||
* | Cooper-Standard Holdings Inc. | 45,675 | 581 | |||
* | Vera Bradley Inc. | 68,034 | 514 | |||
* | Fiesta Restaurant Group Inc. | 45,934 | 463 | |||
* | Golden Entertainment Inc. | 8,024 | 457 | |||
166,705 | ||||||
Consumer Staples (5.0%) | ||||||
* | Hostess Brands Inc. Class A | 369,581 | 7,961 | |||
* | TreeHouse Foods Inc. | 149,047 | 5,850 | |||
Edgewell Personal Care Co. | 145,298 | 5,184 | ||||
1 | B&G Foods Inc. | 173,444 | 5,134 | |||
* | Central Garden & Pet Co. Class A | 107,339 | 4,727 | |||
PriceSmart Inc. | 64,327 | 4,678 | ||||
Cal-Maine Foods Inc. | 100,143 | 4,433 | ||||
Andersons Inc. | 82,840 | 3,778 | ||||
J & J Snack Foods Corp. | 22,287 | 3,649 | ||||
Universal Corp. | 65,828 | 3,562 | ||||
WD-40 Co. | 15,414 | 3,266 | ||||
* | Chefs' Warehouse Inc. | 87,272 | 2,867 | |||
SpartanNash Co. | 95,815 | 2,696 | ||||
Fresh Del Monte Produce Inc. | 88,713 | 2,296 | ||||
Calavo Growers Inc. | 47,137 | 2,012 | ||||
John B Sanfilippo & Son Inc. | 23,659 | 1,881 | ||||
* | Central Garden & Pet Co. | 26,027 | 1,232 | |||
National Beverage Corp. | 26,895 | 1,184 | ||||
* | USANA Health Sciences Inc. | 10,309 | 907 | |||
* | Seneca Foods Corp. Class A | 16,878 | 840 | |||
Tootsie Roll Industries Inc. | 23,069 | 779 | ||||
68,916 | ||||||
Energy (6.2%) | ||||||
Helmerich & Payne Inc. | 288,404 | 10,449 | ||||
Patterson-UTI Energy Inc. | 574,730 | 8,293 |
Shares | Market Value• ($000) | |||||
* | Renewable Energy Group Inc. | 134,356 | 8,263 | |||
* | Southwestern Energy Co. | 977,077 | 4,876 | |||
World Fuel Services Corp. | 168,937 | 4,788 | ||||
* | Green Plains Inc. | 143,376 | 4,694 | |||
* | Range Resources Corp. | 189,385 | 4,346 | |||
* | PBF Energy Inc. Class A | 254,027 | 4,222 | |||
* | Oceaneering International Inc. | 266,949 | 3,908 | |||
Archrock Inc. | 358,976 | 2,997 | ||||
* | ProPetro Holding Corp. | 227,186 | 2,901 | |||
* | US Silica Holdings Inc. | 199,908 | 2,891 | |||
* | Dril-Quip Inc. | 94,325 | 2,720 | |||
* | Nabors Industries Ltd. | 20,759 | 2,606 | |||
* | CONSOL Energy Inc. | 84,574 | 2,600 | |||
* | Bristow Group Inc. Class A | 61,781 | 2,047 | |||
Core Laboratories NV | 71,573 | 1,973 | ||||
* | Talos Energy Inc. | 109,159 | 1,715 | |||
* | RPC Inc. | 189,778 | 1,664 | |||
* | Par Pacific Holdings Inc. | 121,975 | 1,659 | |||
* | Helix Energy Solutions Group Inc. | 377,975 | 1,531 | |||
* | DMC Global Inc. | 49,914 | 1,468 | |||
* | REX American Resources Corp. | 14,101 | 1,332 | |||
* | Laredo Petroleum Inc. | 12,581 | 963 | |||
* | Oil States International Inc. | 164,591 | 861 | |||
* | Nabors Industries Ltd. Warrants Exp. 6/11/26 | 6,805 | 95 | |||
85,862 | ||||||
Financials (20.9%) | ||||||
BankUnited Inc. | 238,125 | 10,525 | ||||
* | Mr Cooper Group Inc. | 200,868 | 10,210 | |||
First Hawaiian Inc. | 344,275 | 10,008 | ||||
Simmons First National Corp. Class A | 306,915 | 8,753 | ||||
American Equity Investment Life Holding Co. | 220,078 | 8,295 | ||||
CVB Financial Corp. | 340,465 | 8,028 | ||||
Independent Bank Group Inc. | 98,676 | 7,613 | ||||
Columbia Banking System Inc. | 207,641 | 7,606 | ||||
Assured Guaranty Ltd. | 108,246 | 6,708 | ||||
Independent Bank Corp. (Massachusetts) | 73,626 | 6,333 | ||||
First Financial Bancorp | 250,684 | 6,162 | ||||
Community Bank System Inc. | 77,833 | 5,677 | ||||
* | Genworth Financial Inc. Class A | 1,356,699 | 5,508 | |||
Pacific Premier Bancorp Inc. | 141,212 | 5,466 | ||||
Hope Bancorp Inc. | 321,355 | 5,450 | ||||
Renasant Corp. | 148,980 | 5,439 |
Shares | Market Value• ($000) | |||||
* | NMI Holdings Inc. Class A | 229,160 | 5,303 | |||
Trustmark Corp. | 166,948 | 5,257 | ||||
* | PRA Group Inc. | 116,562 | 5,202 | |||
WSFS Financial Corp. | 98,018 | 4,982 | ||||
Northwest Bancshares Inc. | 338,669 | 4,768 | ||||
Two Harbors Investment Corp. | 919,523 | 4,653 | ||||
Horace Mann Educators Corp. | 110,925 | 4,613 | ||||
Apollo Commercial Real Estate Finance Inc. | 351,693 | 4,590 | ||||
NBT Bancorp Inc. | 115,916 | 4,448 | ||||
Westamerica Bancorp | 71,853 | 4,262 | ||||
* | Green Dot Corp. Class A | 146,201 | 4,189 | |||
Berkshire Hills Bancorp Inc. | 130,159 | 4,048 | ||||
PennyMac Mortgage Investment Trust | 259,515 | 4,048 | ||||
United Community Banks Inc. | 100,809 | 3,897 | ||||
Capitol Federal Financial Inc. | 345,406 | 3,772 | ||||
Ameris Bancorp | 76,112 | 3,768 | ||||
* | LendingTree Inc. | 30,707 | 3,716 | |||
New York Mortgage Trust Inc. | 1,014,999 | 3,563 | ||||
ProAssurance Corp. | 144,457 | 3,481 | ||||
* | StoneX Group Inc. | 45,084 | 3,402 | |||
S&T Bancorp Inc. | 105,314 | 3,274 | ||||
Banner Corp. | 52,261 | 3,220 | ||||
Safety Insurance Group Inc. | 38,102 | 3,179 | ||||
Employers Holdings Inc. | 74,886 | 2,910 | ||||
Seacoast Banking Corp. of Florida | 75,031 | 2,750 | ||||
James River Group Holdings Ltd. | 99,907 | 2,658 | ||||
Provident Financial Services Inc. | 111,716 | 2,651 | ||||
Stewart Information Services Corp. | 36,559 | 2,482 | ||||
Heritage Financial Corp. | 94,241 | 2,471 | ||||
Hilltop Holdings Inc. | 79,854 | 2,469 | ||||
AMERISAFE Inc. | 51,626 | 2,432 | ||||
Ready Capital Corp. | 156,955 | 2,331 | ||||
* | Encore Capital Group Inc. | 34,372 | 2,268 | |||
FB Financial Corp. | 49,913 | 2,218 | ||||
Allegiance Bancshares Inc. | 50,512 | 2,164 | ||||
Eagle Bancorp Inc. | 34,921 | 2,092 | ||||
First Bancorp | 46,020 | 2,065 | ||||
Brookline Bancorp Inc. | 115,897 | 1,987 | ||||
ARMOUR Residential REIT Inc. | 239,106 | 1,944 | ||||
Park National Corp. | 14,240 | 1,909 | ||||
OFG Bancorp | 66,434 | 1,872 | ||||
BancFirst Corp. | 23,680 | 1,850 |
Shares | Market Value• ($000) | |||||
First Commonwealth Financial Corp. | 113,874 | 1,839 | ||||
Invesco Mortgage Capital Inc. | 830,977 | 1,812 | ||||
TrustCo Bank Corp. | 51,212 | 1,750 | ||||
* | SiriusPoint Ltd. | 233,083 | 1,723 | |||
City Holding Co. | 20,958 | 1,670 | ||||
Granite Point Mortgage Trust Inc. | 143,377 | 1,609 | ||||
United Fire Group Inc. | 57,494 | 1,587 | ||||
* | Ambac Financial Group Inc. | 123,457 | 1,584 | |||
KKR Real Estate Finance Trust Inc. | 72,829 | 1,564 | ||||
Dime Community Bancshares Inc. | 45,980 | 1,563 | ||||
Banc of California Inc. | 79,301 | 1,558 | ||||
Franklin BSP Realty Trust Inc. | 117,421 | 1,550 | ||||
National Bank Holdings Corp. Class A | 34,030 | 1,510 | ||||
* | Blucora Inc. | 72,736 | 1,447 | |||
Ellington Financial Inc. | 81,563 | 1,441 | ||||
Tompkins Financial Corp. | 17,722 | 1,402 | ||||
Southside Bancshares Inc. | 31,837 | 1,327 | ||||
* | eHealth Inc. | 63,748 | 991 | |||
Hanmi Financial Corp. | 35,654 | 931 | ||||
Universal Insurance Holdings Inc. | 74,910 | 866 | ||||
* | EZCORP Inc. Class A | 142,567 | 854 | |||
Central Pacific Financial Corp. | 28,330 | 827 | ||||
Northfield Bancorp Inc. | 48,953 | 769 | ||||
WisdomTree Investments Inc. | 109,584 | 617 | ||||
* | Selectquote Inc. | 172,089 | 535 | |||
Old National Bancorp | 1 | — | ||||
290,265 | ||||||
Health Care (9.0%) | ||||||
Owens & Minor Inc. | 201,664 | 8,903 | ||||
* | Integer Holdings Corp. | 88,200 | 7,397 | |||
Select Medical Holdings Corp. | 283,228 | 6,557 | ||||
* | MEDNAX Inc. | 231,116 | 5,424 | |||
Ensign Group Inc. | 64,545 | 5,424 | ||||
* | Emergent BioSolutions Inc. | 127,973 | 5,296 | |||
* | Covetrus Inc. | 276,260 | 4,895 | |||
* | Avanos Medical Inc. | 128,887 | 4,561 | |||
CONMED Corp. | 28,166 | 4,117 | ||||
* | Allscripts Healthcare Solutions Inc. | 200,033 | 3,893 | |||
* | Merit Medical Systems Inc. | 58,480 | 3,803 | |||
* | Prestige Consumer Healthcare Inc. | 63,023 | 3,752 | |||
* | Lantheus Holdings Inc. | 74,452 | 3,560 | |||
* | Glaukos Corp. | 60,264 | 3,333 |
Shares | Market Value• ($000) | |||||
* | NeoGenomics Inc. | 148,429 | 3,178 | |||
* | Pacira BioSciences Inc. | 46,532 | 3,103 | |||
* | NextGen Healthcare Inc. | 153,879 | 3,005 | |||
* | Nektar Therapeutics | 271,969 | 2,785 | |||
* | Natus Medical Inc. | 91,052 | 2,533 | |||
* | Myriad Genetics Inc. | 102,199 | 2,492 | |||
* | Corcept Therapeutics Inc. | 98,683 | 2,200 | |||
* | Addus HomeCare Corp. | 24,226 | 2,060 | |||
* | Artivion Inc. | 104,851 | 2,050 | |||
* | Inogen Inc. | 54,519 | 1,902 | |||
* | Orthofix Medical Inc. | 52,638 | 1,789 | |||
* | Hanger Inc. | 98,019 | 1,776 | |||
US Physical Therapy Inc. | 18,929 | 1,741 | ||||
* | Tivity Health Inc. | 62,552 | 1,706 | |||
* | ModivCare Inc. | 14,121 | 1,666 | |||
* | OraSure Technologies Inc. | 192,048 | 1,498 | |||
Mesa Laboratories Inc. | 5,713 | 1,459 | ||||
* | REGENXBIO Inc. | 55,279 | 1,449 | |||
* | Enanta Pharmaceuticals Inc. | 19,295 | 1,359 | |||
* | Cardiovascular Systems Inc. | 62,696 | 1,320 | |||
* | Computer Programs & Systems Inc. | 39,165 | 1,206 | |||
Phibro Animal Health Corp. Class A | 54,226 | 1,155 | ||||
* | Tactile Systems Technology Inc. | 52,833 | 1,076 | |||
* | Harmony Biosciences Holdings Inc. | 26,885 | 1,074 | |||
* | Meridian Bioscience Inc. | 42,031 | 1,063 | |||
* | Varex Imaging Corp. | 37,958 | 897 | |||
* | Amphastar Pharmaceuticals Inc. | 31,674 | 878 | |||
* | Eagle Pharmaceuticals Inc. | 15,601 | 739 | |||
Simulations Plus Inc. | 16,812 | 662 | ||||
* | HealthStream Inc. | 31,386 | 643 | |||
* | Cutera Inc. | 16,075 | 617 | |||
* | Vanda Pharmaceuticals Inc. | 53,916 | 613 | |||
* | Anika Therapeutics Inc. | 18,032 | 586 | |||
* | Surmodics Inc. | 12,935 | 581 | |||
* | Pennant Group Inc. | 35,498 | 577 | |||
* | ANI Pharmaceuticals Inc. | 11,835 | 443 | |||
* | Tabula Rasa HealthCare Inc. | 14,138 | 81 | |||
*,2 | Lantheus Holdings Inc. CVR | 75,410 | — | |||
124,877 | ||||||
Industrials (18.3%) | ||||||
* | Resideo Technologies Inc. | 385,876 | 9,932 | |||
ABM Industries Inc. | 179,595 | 8,051 | ||||
* | Hub Group Inc. Class A | 90,741 | 7,659 | |||
UniFirst Corp. | 40,682 | 7,374 | ||||
* | Allegiant Travel Co. | 40,612 | 7,070 | |||
Arcosa Inc. | 129,131 | 6,801 | ||||
* | Meritor Inc. | 187,425 | 6,674 |
Shares | Market Value• ($000) | |||||
Moog Inc. Class A | 78,242 | 6,503 | ||||
ManTech International Corp. Class A | 73,652 | 6,140 | ||||
EnPro Industries Inc. | 55,077 | 6,083 | ||||
* | KAR Auction Services Inc. | 323,941 | 5,980 | |||
Applied Industrial Technologies Inc. | 58,572 | 5,922 | ||||
Barnes Group Inc. | 124,504 | 5,783 | ||||
* | Atlas Air Worldwide Holdings Inc. | 72,145 | 5,653 | |||
ESCO Technologies Inc. | 69,672 | 4,847 | ||||
HNI Corp. | 116,429 | 4,738 | ||||
Boise Cascade Co. | 54,726 | 4,375 | ||||
Hillenbrand Inc. | 89,863 | 4,287 | ||||
* | Proto Labs Inc. | 73,795 | 4,149 | |||
* | AAR Corp. | 89,182 | 4,008 | |||
* | US Ecology Inc. | 84,278 | 3,998 | |||
* | Veritiv Corp. | 37,095 | 3,975 | |||
Greenbrier Cos. Inc. | 87,068 | 3,868 | ||||
Albany International Corp. Class A | 43,318 | 3,804 | ||||
* | SkyWest Inc. | 134,761 | 3,788 | |||
SPX FLOW Inc. | 43,800 | 3,762 | ||||
Aerojet Rocketdyne Holdings Inc. | 96,166 | 3,726 | ||||
Granite Construction Inc. | 122,559 | 3,710 | ||||
* | SPX Corp. | 70,475 | 3,573 | |||
Deluxe Corp. | 113,986 | 3,546 | ||||
John Bean Technologies Corp. | 30,617 | 3,471 | ||||
AZZ Inc. | 66,510 | 3,274 | ||||
Kaman Corp. | 74,543 | 3,236 | ||||
Brady Corp. Class A | 70,143 | 3,232 | ||||
Healthcare Services Group Inc. | 199,541 | 3,157 | ||||
Apogee Enterprises Inc. | 67,834 | 3,057 | ||||
Astec Industries Inc. | 60,955 | 3,036 | ||||
Griffon Corp. | 127,507 | 2,939 | ||||
* | CoreCivic Inc. | 322,113 | 2,934 | |||
Franklin Electric Co. Inc. | 34,477 | 2,915 | ||||
Matthews International Corp. Class A | 84,654 | 2,809 | ||||
* | NOW Inc. | 296,160 | 2,766 | |||
Marten Transport Ltd. | 159,979 | 2,760 | ||||
* | GMS Inc. | 50,865 | 2,759 | |||
* | Hawaiian Holdings Inc. | 136,491 | 2,618 | |||
* | TrueBlue Inc. | 95,086 | 2,586 | |||
* | Harsco Corp. | 211,988 | 2,525 | |||
* | American Woodmark Corp. | 44,159 | 2,366 | |||
Federal Signal Corp. | 63,494 | 2,293 | ||||
Wabash National Corp. | 131,883 | 2,247 | ||||
* | Gibraltar Industries Inc. | 46,167 | 2,231 | |||
Tennant Co. | 28,165 | 2,219 | ||||
Pitney Bowes Inc. | 441,092 | 2,197 | ||||
AAON Inc. | 36,440 | 2,134 | ||||
Alamo Group Inc. | 15,301 | 2,129 |
Shares | Market Value• ($000) | |||||
Quanex Building Products Corp. | 89,333 | 2,042 | ||||
Kelly Services Inc. Class A | 96,023 | 2,038 | ||||
* | AeroVironment Inc. | 28,310 | 2,011 | |||
* | GEO Group Inc. | 326,650 | 1,947 | |||
* | PGT Innovations Inc. | 87,386 | 1,880 | |||
Standex International Corp. | 16,944 | 1,795 | ||||
Heartland Express Inc. | 124,165 | 1,783 | ||||
Lindsay Corp. | 11,939 | 1,567 | ||||
* | Titan International Inc. | 136,340 | 1,527 | |||
* | CIRCOR International Inc. | 53,995 | 1,455 | |||
Enerpac Tool Group Corp. Class A | 83,717 | 1,444 | ||||
Resources Connection Inc. | 83,532 | 1,387 | ||||
* | DXP Enterprises Inc. | 45,532 | 1,307 | |||
Interface Inc. Class A | 86,959 | 1,135 | ||||
National Presto Industries Inc. | 13,526 | 1,075 | ||||
* | Viad Corp. | 25,754 | 900 | |||
Powell Industries Inc. | 23,868 | 505 | ||||
Park Aerospace Corp. | 29,351 | 407 | ||||
253,874 | ||||||
Information Technology (7.6%) | ||||||
* | Insight Enterprises Inc. | 93,246 | 9,698 | |||
* | Sanmina Corp. | 172,052 | 6,844 | |||
* | Plexus Corp. | 75,478 | 6,149 | |||
* | NetScout Systems Inc. | 197,448 | 6,147 | |||
* | Itron Inc. | 120,942 | 5,765 | |||
* | Viavi Solutions Inc. | 241,523 | 3,961 | |||
* | TTM Technologies Inc. | 279,285 | 3,511 | |||
* | ePlus Inc. | 72,313 | 3,391 | |||
* | Knowles Corp. | 148,329 | 3,231 | |||
* | FormFactor Inc. | 77,478 | 3,137 | |||
* | Photronics Inc. | 163,013 | 3,003 | |||
Badger Meter Inc. | 27,290 | 2,713 | ||||
* | Bottomline Technologies DE Inc. | 47,666 | 2,700 | |||
Methode Electronics Inc. | 56,979 | 2,600 | ||||
InterDigital Inc. | 39,459 | 2,542 | ||||
Benchmark Electronics Inc. | 93,870 | 2,454 | ||||
* | Consensus Cloud Solutions Inc. | 43,031 | 2,395 | |||
Xperi Holding Corp. | 133,741 | 2,316 | ||||
CSG Systems International Inc. | 35,678 | 2,202 | ||||
* | ScanSource Inc. | 68,047 | 2,149 | |||
EVERTEC Inc. | 52,545 | 2,121 | ||||
* | NETGEAR Inc. | 77,965 | 2,075 | |||
* | OSI Systems Inc. | 25,358 | 2,046 | |||
* | Unisys Corp. | 93,687 | 2,002 | |||
Ebix Inc. | 63,509 | 1,874 | ||||
* | Cohu Inc. | 54,504 | 1,699 | |||
* | Plantronics Inc. | 59,385 | 1,673 | |||
CTS Corp. | 42,265 | 1,603 |
Shares | Market Value• ($000) | |||||
Comtech Telecommunications Corp. | 70,464 | 1,450 | ||||
PC Connection Inc. | 29,341 | 1,432 | ||||
* | FARO Technologies Inc. | 25,367 | 1,389 | |||
* | LivePerson Inc. | 66,665 | 1,352 | |||
* | SMART Global Holdings Inc. | 48,150 | 1,322 | |||
*,1 | Corsair Gaming Inc. | 53,602 | 1,237 | |||
* | Ichor Holdings Ltd. | 32,742 | 1,153 | |||
* | Digi International Inc. | 48,328 | 970 | |||
* | Arlo Technologies Inc. | 98,854 | 917 | |||
* | PDF Solutions Inc. | 29,783 | 815 | |||
* | Agilysys Inc. | 19,169 | 806 | |||
* | CalAmp Corp. | 95,689 | 676 | |||
* | OneSpan Inc. | 46,712 | 644 | |||
* | BM Technologies Inc. | 1,309 | 12 | |||
106,176 | ||||||
Materials (7.4%) | ||||||
* | Arconic Corp. | 284,591 | 8,737 | |||
Innospec Inc. | 65,853 | 6,289 | ||||
Stepan Co. | 56,920 | 5,898 | ||||
Trinseo plc | 103,779 | 5,392 | ||||
* | O-I Glass Inc. | 419,111 | 5,356 | |||
Compass Minerals International Inc. | 90,994 | 5,334 | ||||
HB Fuller Co. | 75,834 | 5,185 | ||||
Carpenter Technology Corp. | 128,825 | 4,946 | ||||
* | Allegheny Technologies Inc. | 187,145 | 4,817 | |||
* | GCP Applied Technologies Inc. | 143,470 | 4,531 | |||
Warrior Met Coal Inc. | 137,484 | 4,331 | ||||
Kaiser Aluminum Corp. | 42,417 | 4,093 | ||||
* | Kraton Corp. | 86,020 | 3,970 | |||
* | Sylvamo Corp. | 94,438 | 3,296 | |||
Quaker Chemical Corp. | 15,092 | 2,801 | ||||
Schweitzer-Mauduit International Inc. | 84,285 | 2,631 | ||||
* | Ferro Corp. | 116,922 | 2,541 | |||
* | TimkenSteel Corp. | 109,625 | 1,977 | |||
Materion Corp. | 22,887 | 1,912 | ||||
SunCoke Energy Inc. | 221,927 | 1,760 | ||||
Neenah Inc. | 44,983 | 1,752 | ||||
* | Century Aluminum Co. | 74,004 | 1,748 | |||
Glatfelter Corp. | 118,627 | 1,630 | ||||
* | Koppers Holdings Inc. | 56,766 | 1,625 | |||
Mercer International Inc. | 107,318 | 1,435 | ||||
AdvanSix Inc. | 34,481 | 1,381 | ||||
* | Clearwater Paper Corp. | 44,714 | 1,289 | |||
American Vanguard Corp. | 72,011 | 1,085 | ||||
Hawkins Inc. | 23,179 | 1,049 | ||||
* | Rayonier Advanced Materials Inc. | 170,606 | 1,001 | |||
Myers Industries Inc. | 55,253 | 918 |
Shares | Market Value• ($000) | |||||
Tredegar Corp. | 69,028 | 795 | ||||
Olympic Steel Inc. | 24,832 | 665 | ||||
Haynes International Inc. | 14,787 | 541 | ||||
FutureFuel Corp. | 69,205 | 509 | ||||
103,220 | ||||||
Real Estate (8.8%) | ||||||
Agree Realty Corp. | 102,542 | 6,578 | ||||
Brandywine Realty Trust | 457,193 | 6,094 | ||||
LXP Industrial Trust | 377,923 | 5,843 | ||||
* | Realogy Holdings Corp. | 311,602 | 5,665 | |||
* | Xenia Hotels & Resorts Inc. | 305,195 | 5,658 | |||
* | DiamondRock Hospitality Co. | 562,866 | 5,375 | |||
Easterly Government Properties Inc. Class A | 230,290 | 4,795 | ||||
Alexander & Baldwin Inc. | 193,941 | 4,350 | ||||
Essential Properties Realty Trust Inc. | 156,096 | 3,946 | ||||
Global Net Lease Inc. | 277,049 | 3,937 | ||||
Service Properties Trust | 441,559 | 3,811 | ||||
* | Veris Residential Inc. | 214,116 | 3,619 | |||
LTC Properties Inc. | 105,360 | 3,564 | ||||
Uniti Group Inc. | 265,554 | 3,444 | ||||
SITE Centers Corp. | 216,250 | 3,363 | ||||
Office Properties Income Trust | 129,580 | 3,246 | ||||
Retail Opportunity Investments Corp. | 165,844 | 3,012 | ||||
Washington REIT | 126,932 | 2,965 | ||||
Urban Edge Properties | 162,048 | 2,953 | ||||
American Assets Trust Inc. | 80,311 | 2,936 | ||||
Acadia Realty Trust | 132,655 | 2,844 | ||||
* | Summit Hotel Properties Inc. | 285,079 | 2,819 | |||
Four Corners Property Trust Inc. | 105,166 | 2,774 | ||||
* | Orion Office REIT Inc. | 145,223 | 2,473 | |||
CareTrust REIT Inc. | 137,092 | 2,399 | ||||
Industrial Logistics Properties Trust | 102,859 | 2,301 | ||||
iStar Inc. | 81,489 | 2,047 | ||||
Diversified Healthcare Trust | 636,905 | 1,834 | ||||
* | Chatham Lodging Trust | 129,964 | 1,787 | |||
Getty Realty Corp. | 56,822 | 1,565 | ||||
RE/MAX Holdings Inc. Class A | 50,312 | 1,491 | ||||
Franklin Street Properties Corp. | 254,513 | 1,471 | ||||
* | Marcus & Millichap Inc. | 29,432 | 1,464 | |||
Whitestone REIT | 123,039 | 1,449 | ||||
RPT Realty | 110,024 | 1,425 | ||||
Centerspace | 13,706 | 1,288 |
Shares | Market Value• ($000) | |||||
Community Healthcare Trust Inc. | 25,815 | 1,077 | ||||
Armada Hoffler Properties Inc. | 63,689 | 935 | ||||
Universal Health Realty Income Trust | 15,802 | 903 | ||||
* | Hersha Hospitality Trust Class A | 88,874 | 820 | |||
Urstadt Biddle Properties Inc. Class A | 37,124 | 699 | ||||
Saul Centers Inc. | 10,722 | 494 | ||||
121,513 | ||||||
Utilities (2.6%) | ||||||
South Jersey Industries Inc. | 300,368 | 10,191 | ||||
Avista Corp. | 189,146 | 8,442 | ||||
Northwest Natural Holding Co. | 82,205 | 4,275 | ||||
California Water Service Group | 57,740 | 3,287 | ||||
Chesapeake Utilities Corp. | 22,633 | 3,009 | ||||
American States Water Co. | 33,494 | 2,819 | ||||
Unitil Corp. | 42,581 | 2,150 | ||||
Middlesex Water Co. | 14,460 | 1,446 | ||||
35,619 | ||||||
Total Common Stocks (Cost $1,344,988) | 1,386,664 | |||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 0.138% (Cost $7,526) | 75,266 | 7,526 | |||
Total Investments (100.4%) (Cost $1,352,514) | 1,394,190 | |||||
Other Assets and Liabilities—Net (-0.4%) | (5,901) | |||||
Net Assets (100%) | 1,388,289 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,171,000. |
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 $7,434,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2022 | 17 | 1,738 | 72 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,344,988) | 1,386,664 |
Affiliated Issuers (Cost $7,526) | 7,526 |
Total Investments in Securities | 1,394,190 |
Investment in Vanguard | 45 |
Cash | 215 |
Cash Collateral Pledged—Futures Contracts | 80 |
Receivables for Investment Securities Sold | 1,034 |
Receivables for Accrued Income | 857 |
Receivables for Capital Shares Issued | 90 |
Variation Margin Receivable—Futures Contracts | 4 |
Total Assets | 1,396,515 |
Liabilities | |
Payables for Investment Securities Purchased | 677 |
Collateral for Securities on Loan | 7,434 |
Payables for Capital Shares Redeemed | 43 |
Payables to Vanguard | 72 |
Total Liabilities | 8,226 |
Net Assets | 1,388,289 |
Statement of Assets and Liabilities (continued) | |
At February 28, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 1,322,554 |
Total Distributable Earnings (Loss) | 65,735 |
Net Assets | 1,388,289 |
ETF Shares—Net Assets | |
Applicable to 7,375,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,303,298 |
Net Asset Value Per Share—ETF Shares | $176.72 |
Institutional Shares—Net Assets | |
Applicable to 229,763 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 84,991 |
Net Asset Value Per Share—Institutional Shares | $369.91 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 10,425 |
Interest2 | 1 |
Securities Lending—Net | 9 |
Total Income | 10,435 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 34 |
Management and Administrative—ETF Shares | 843 |
Management and Administrative—Institutional Shares | 22 |
Marketing and Distribution—ETF Shares | 24 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 33 |
Shareholders’ Reports—ETF Shares | 35 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 8 |
Total Expenses | 1,001 |
Net Investment Income | 9,434 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 124,299 |
Futures Contracts | (7) |
Realized Net Gain (Loss) | 124,292 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (131,767) |
Futures Contracts | 48 |
Change in Unrealized Appreciation (Depreciation) | (131,719) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,007 |
1 | Dividends are net of foreign withholding taxes of $12,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $155,287,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,434 | 17,195 | |
Realized Net Gain (Loss) | 124,292 | 114,550 | |
Change in Unrealized Appreciation (Depreciation) | (131,719) | 245,297 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,007 | 377,042 | |
Distributions | |||
ETF Shares | (14,307) | (12,466) | |
Institutional Shares | (772) | (894) | |
Total Distributions | (15,079) | (13,360) | |
Capital Share Transactions | |||
ETF Shares | (11,359) | 491,658 | |
Institutional Shares | 16,654 | (1,682) | |
Net Increase (Decrease) from Capital Share Transactions | 5,295 | 489,976 | |
Total Increase (Decrease) | (7,777) | 853,658 | |
Net Assets | |||
Beginning of Period | 1,396,066 | 542,408 | |
End of Period | 1,388,289 | 1,396,066 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $177.64 | $112.51 | $123.23 | $149.05 | $118.23 | $106.98 |
Investment Operations | ||||||
Net Investment Income1 | 1.217 | 2.592 | 2.182 | 2.141 | 2.087 | 1.749 |
Net Realized and Unrealized Gain (Loss) on Investments | (.165) | 64.624 | (10.786) | (25.811) | 30.593 | 11.165 |
Total from Investment Operations | 1.052 | 67.216 | (8.604) | (23.670) | 32.680 | 12.914 |
Distributions | ||||||
Dividends from Net Investment Income | (1.972) | (2.086) | (2.116) | (2.150) | (1.860) | (1.664) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.972) | (2.086) | (2.116) | (2.150) | (1.860) | (1.664) |
Net Asset Value, End of Period | $176.72 | $177.64 | $112.51 | $123.23 | $149.05 | $118.23 |
Total Return | 0.59% | 60.19% | -7.08% | -15.93% | 27.84% | 12.11% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,303 | $1,328 | $501 | $373 | $410 | $210 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.61% | 1.90% | 1.66% | 1.54% | 1.49% |
Portfolio Turnover Rate2 | 28% | 30% | 46% | 39% | 34% | 46% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $371.84 | $235.47 | $257.69 | $311.75 | $247.26 | $223.74 |
Investment Operations | ||||||
Net Investment Income1 | 2.551 | 5.457 | 4.805 | 4.609 | 4.630 | 3.829 |
Net Realized and Unrealized Gain (Loss) on Investments | (.218) | 135.457 | (22.489) | (53.914) | 64.065 | 23.461 |
Total from Investment Operations | 2.333 | 140.914 | (17.684) | (49.305) | 68.695 | 27.290 |
Distributions | ||||||
Dividends from Net Investment Income | (4.263) | (4.544) | (4.536) | (4.755) | (4.205) | (3.770) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (4.263) | (4.544) | (4.536) | (4.755) | (4.205) | (3.770) |
Net Asset Value, End of Period | $369.91 | $371.84 | $235.47 | $257.69 | $311.75 | $247.26 |
Total Return | 0.65% | 60.32% | -6.94% | -15.87% | 28.01% | 12.25% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $85 | $68 | $42 | $35 | $32 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.67% | 2.00% | 1.73% | 1.66% | 1.61% |
Portfolio Turnover Rate2 | 28% | 30% | 46% | 39% | 34% | 46% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,386,664 | — | — | 1,386,664 |
Temporary Cash Investments | 7,526 | — | — | 7,526 |
Total | 1,394,190 | — | — | 1,394,190 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 72 | — | — | 72 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 1,356,780 |
Gross Unrealized Appreciation | 146,599 |
Gross Unrealized Depreciation | (109,117) |
Net Unrealized Appreciation (Depreciation) | 37,482 |
E. | During the six months ended February 28, 2022, the fund purchased $884,672,000 of investment securities and sold $884,165,000 of investment securities, other than temporary cash investments. Purchases and sales include $432,120,000 and $496,630,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 493,547 | 2,775 | 867,064 | 5,475 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (504,906) | (2,875) | (375,406) | (2,450) | |
Net Increase (Decrease)—ETF Shares | (11,359) | (100) | 491,658 | 3,025 | |
Institutional Shares | |||||
Issued | 24,562 | 68 | 23,407 | 80 | |
Issued in Lieu of Cash Distributions | 669 | 2 | 782 | 3 | |
Redeemed | (8,577) | (24) | (25,871) | (76) | |
Net Increase (Decrease)—Institutional Shares | 16,654 | 46 | (1,682) | 7 |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
Communication Services | 1.4% |
Consumer Discretionary | 11.7 |
Consumer Staples | 4.6 |
Energy | 5.3 |
Financials | 16.8 |
Health Care | 14.5 |
Industrials | 14.7 |
Information Technology | 18.8 |
Materials | 3.5 |
Real Estate | 7.4 |
Utilities | 1.3 |
Shares | Market Value• ($000) | |||||
Common Stocks (100.0%) | ||||||
Communication Services (1.4%) | ||||||
* | TechTarget Inc. | 29,131 | 2,283 | |||
Cogent Communications Holdings Inc. | 31,892 | 2,022 | ||||
* | Cinemark Holdings Inc. | 62,272 | 1,092 | |||
* | EW Scripps Co. Class A | 29,586 | 659 | |||
* | Thryv Holdings Inc. | 19,102 | 581 | |||
* | Cars.com Inc. | 35,818 | 579 | |||
* | Gannett Co. Inc. | 60,832 | 302 | |||
7,518 | ||||||
Consumer Discretionary (11.7%) | ||||||
Signet Jewelers Ltd. | 59,616 | 4,203 | ||||
* | Gentherm Inc. | 37,336 | 3,168 | |||
* | LGI Homes Inc. | 23,998 | 3,027 | |||
* | Boot Barn Holdings Inc. | 33,261 | 2,894 | |||
* | Cavco Industries Inc. | 9,590 | 2,614 | |||
Installed Building Products Inc. | 26,366 | 2,550 | ||||
Steven Madden Ltd. | 57,570 | 2,456 | ||||
Shutterstock Inc. | 26,277 | 2,379 | ||||
LCI Industries | 19,020 | 2,368 | ||||
* | Vista Outdoor Inc. | 64,377 | 2,347 | |||
* | Asbury Automotive Group Inc. | 11,695 | 2,270 | |||
Century Communities Inc. | 33,376 | 2,127 | ||||
* | Dorman Products Inc. | 21,418 | 2,001 | |||
* | Meritage Homes Corp. | 19,702 | 1,942 | |||
* | Shake Shack Inc. Class A | 24,213 | 1,809 | |||
* | Sleep Number Corp. | 25,428 | 1,671 | |||
Jack in the Box Inc. | 16,779 | 1,447 | ||||
Sturm Ruger & Co. Inc. | 19,764 | 1,431 | ||||
Kontoor Brands Inc. | 27,289 | 1,352 | ||||
* | XPEL Inc. | 18,587 | 1,349 | |||
Winnebago Industries Inc. | 19,195 | 1,230 | ||||
* | Abercrombie & Fitch Co. Class A | 31,233 | 1,189 | |||
Buckle Inc. | 32,963 | 1,187 | ||||
* | Monarch Casino & Resort Inc. | 14,718 | 1,147 | |||
* | MarineMax Inc. | 24,458 | 1,119 |
Shares | Market Value• ($000) | |||||
* | iRobot Corp. | 16,676 | 1,037 | |||
Oxford Industries Inc. | 11,405 | 1,008 | ||||
* | Children's Place Inc. | 15,731 | 990 | |||
Wolverine World Wide Inc. | 42,618 | 981 | ||||
* | Sally Beauty Holdings Inc. | 55,940 | 967 | |||
Rent-A-Center Inc. | 32,653 | 928 | ||||
Dine Brands Global Inc. | 10,457 | 877 | ||||
* | Dave & Buster's Entertainment Inc. | 19,539 | 847 | |||
Patrick Industries Inc. | 11,880 | 847 | ||||
Hibbett Inc. | 16,929 | 763 | ||||
Monro Inc. | 16,222 | 757 | ||||
Movado Group Inc. | 18,566 | 732 | ||||
Shoe Carnival Inc. | 19,692 | 574 | ||||
* | Liquidity Services Inc. | 29,896 | 515 | |||
* | Genesco Inc. | 7,669 | 492 | |||
* | Barnes & Noble Education Inc. | 40,616 | 223 | |||
* | Golden Entertainment Inc. | 3,127 | 178 | |||
63,993 | ||||||
Consumer Staples (4.6%) | ||||||
* | Simply Good Foods Co. | 94,751 | 3,755 | |||
* | Celsius Holdings Inc. | 42,865 | 2,739 | |||
Coca-Cola Consolidated Inc. | 5,216 | 2,592 | ||||
* | United Natural Foods Inc. | 63,306 | 2,547 | |||
Medifast Inc. | 13,051 | 2,428 | ||||
WD-40 Co. | 8,927 | 1,892 | ||||
Inter Parfums Inc. | 19,965 | 1,854 | ||||
Vector Group Ltd. | 147,192 | 1,650 | ||||
* | elf Beauty Inc. | 53,845 | 1,423 | |||
J & J Snack Foods Corp. | 7,360 | 1,205 | ||||
MGP Ingredients Inc. | 14,082 | 1,121 | ||||
* | USANA Health Sciences Inc. | 8,787 | 773 | |||
National Beverage Corp. | 14,957 | 658 | ||||
Tootsie Roll Industries Inc. | 9,732 | 328 | ||||
24,965 | ||||||
Energy (5.3%) | ||||||
Matador Resources Co. | 123,932 | 6,147 | ||||
SM Energy Co. | 136,474 | 4,846 | ||||
* | Range Resources Corp. | 186,711 | 4,285 | |||
Civitas Resources Inc. | 80,952 | 4,086 |
Shares | Market Value• ($000) | |||||
* | Southwestern Energy Co. | 729,916 | 3,642 | |||
* | Callon Petroleum Co. | 53,291 | 3,004 | |||
* | Laredo Petroleum Inc. | 10,806 | 827 | |||
* | Ranger Oil Corp. | 23,720 | 801 | |||
Core Laboratories NV | 21,867 | 603 | ||||
Dorian LPG Ltd. | 31,152 | 429 | ||||
28,670 | ||||||
Financials (16.8%) | ||||||
ServisFirst Bancshares Inc. | 54,843 | 4,792 | ||||
Walker & Dunlop Inc. | 33,119 | 4,582 | ||||
Investors Bancorp Inc. | 253,241 | 4,239 | ||||
* | Trupanion Inc. | 38,552 | 3,455 | |||
* | Axos Financial Inc. | 60,160 | 3,293 | |||
First Bancorp | 231,054 | 3,263 | ||||
United Community Banks Inc. | 75,216 | 2,908 | ||||
Flagstar Bancorp Inc. | 59,377 | 2,706 | ||||
* | Triumph Bancorp Inc. | 26,534 | 2,662 | |||
Piper Sandler Cos. | 15,866 | 2,348 | ||||
Lakeland Financial Corp. | 28,457 | 2,283 | ||||
Veritex Holdings Inc. | 55,387 | 2,250 | ||||
Ameris Bancorp | 42,349 | 2,096 | ||||
* | Customers Bancorp Inc. | 33,506 | 2,062 | |||
Assured Guaranty Ltd. | 32,976 | 2,044 | ||||
Community Bank System Inc. | 27,857 | 2,032 | ||||
Meta Financial Group Inc. | 35,583 | 1,971 | ||||
Virtus Investment Partners Inc. | 8,022 | 1,930 | ||||
Independent Bank Corp. (Massachusetts) | 22,381 | 1,925 | ||||
* | Bancorp Inc. | 64,012 | 1,876 | |||
Pacific Premier Bancorp Inc. | 46,609 | 1,804 | ||||
* | Palomar Holdings Inc. | 27,157 | 1,750 | |||
* | Enova International Inc. | 40,904 | 1,668 | |||
WSFS Financial Corp. | 32,335 | 1,644 | ||||
Park National Corp. | 10,229 | 1,371 | ||||
Redwood Trust Inc. | 128,984 | 1,340 | ||||
Eagle Bancorp Inc. | 21,201 | 1,270 | ||||
Seacoast Banking Corp. of Florida | 34,128 | 1,251 | ||||
Preferred Bank | 15,421 | 1,210 | ||||
HomeStreet Inc. | 23,002 | 1,184 | ||||
Hilltop Holdings Inc. | 34,797 | 1,076 | ||||
B. Riley Financial Inc. | 17,969 | 1,070 | ||||
* | Donnelley Financial Solutions Inc. | 32,806 | 1,053 | |||
Banner Corp. | 16,566 | 1,021 | ||||
Stewart Information Services Corp. | 14,808 | 1,005 | ||||
Brightsphere Investment Group Inc. | 40,162 | 959 | ||||
Southside Bancshares Inc. | 22,870 | 954 | ||||
First Commonwealth Financial Corp. | 58,727 | 948 |
Shares | Market Value• ($000) | |||||
Provident Financial Services Inc. | 39,859 | 946 | ||||
* | World Acceptance Corp. | 4,746 | 933 | |||
* | Encore Capital Group Inc. | 13,387 | 883 | |||
BancFirst Corp. | 11,261 | 880 | ||||
National Bank Holdings Corp. Class A | 19,766 | 877 | ||||
First Bancorp (XNGS) | 19,417 | 871 | ||||
FB Financial Corp. | 19,278 | 857 | ||||
OFG Bancorp | 28,033 | 790 | ||||
Brookline Bancorp Inc. | 38,424 | 659 | ||||
City Holding Co. | 8,162 | 650 | ||||
Dime Community Bancshares Inc. | 17,909 | 609 | ||||
Central Pacific Financial Corp. | 19,505 | 569 | ||||
HCI Group Inc. | 8,993 | 560 | ||||
Banc of California Inc. | 27,380 | 538 | ||||
Hanmi Financial Corp. | 19,152 | 500 | ||||
* | Blucora Inc. | 24,111 | 480 | |||
Ellington Financial Inc. | 26,999 | 477 | ||||
Tompkins Financial Corp. | 5,876 | 465 | ||||
Northfield Bancorp Inc. | 28,304 | 444 | ||||
WisdomTree Investments Inc. | 75,907 | 427 | ||||
KKR Real Estate Finance Trust Inc. | 19,477 | 418 | ||||
Greenhill & Co. Inc. | 15,601 | 276 | ||||
* | Selectquote Inc. | 68,676 | 214 | |||
91,618 | ||||||
Health Care (14.5%) | ||||||
* | Omnicell Inc. | 49,375 | 6,383 | |||
* | AMN Healthcare Services Inc. | 53,117 | 5,638 | |||
* | Cytokinetics Inc. | 94,237 | 3,328 | |||
CONMED Corp. | 21,024 | 3,073 | ||||
Ensign Group Inc. | 31,829 | 2,675 | ||||
* | Vericel Corp. | 52,584 | 2,167 | |||
* | Lantheus Holdings Inc. | 44,920 | 2,148 | |||
* | Merit Medical Systems Inc. | 32,517 | 2,115 | |||
* | Xencor Inc. | 65,652 | 2,056 | |||
* | Apollo Medical Holdings Inc. | 42,442 | 2,042 | |||
* | Pacira BioSciences Inc. | 30,562 | 2,038 | |||
* | Supernus Pharmaceuticals Inc. | 59,816 | 1,911 | |||
* | Ligand Pharmaceuticals Inc. | 18,768 | 1,900 | |||
* | Prestige Consumer Healthcare Inc. | 29,808 | 1,774 | |||
* | Heska Corp. | 12,026 | 1,708 | |||
* | CorVel Corp. | 10,550 | 1,678 | |||
* | NeoGenomics Inc. | 76,030 | 1,628 | |||
* | Glaukos Corp. | 27,425 | 1,517 | |||
* | Community Health Systems Inc. | 139,512 | 1,466 | |||
* | Corcept Therapeutics Inc. | 65,136 | 1,452 | |||
* | Avid Bioservices Inc. | 68,900 | 1,411 |
Shares | Market Value• ($000) | |||||
* | Fulgent Genetics Inc. | 21,781 | 1,357 | |||
* | Innoviva Inc. | 70,236 | 1,349 | |||
* | RadNet Inc. | 49,887 | 1,231 | |||
* | Myriad Genetics Inc. | 46,705 | 1,139 | |||
* | Allscripts Healthcare Solutions Inc. | 53,767 | 1,046 | |||
* | AngioDynamics Inc. | 43,472 | 1,023 | |||
LeMaitre Vascular Inc. | 21,548 | 1,023 | ||||
* | Nektar Therapeutics | 93,412 | 957 | |||
* | ModivCare Inc. | 7,898 | 932 | |||
* | OptimizeRx Corp. | 19,987 | 905 | |||
* | Cross Country Healthcare Inc. | 39,753 | 888 | |||
Mesa Laboratories Inc. | 3,467 | 885 | ||||
* | Enanta Pharmaceuticals Inc. | 12,142 | 855 | |||
* | Coherus Biosciences Inc. | 71,683 | 845 | |||
* | Endo International plc | 262,826 | 817 | |||
* | iTeos Therapeutics Inc. | 22,571 | 815 | |||
* | Meridian Bioscience Inc. | 31,209 | 790 | |||
* | Amphastar Pharmaceuticals Inc. | 28,180 | 781 | |||
* | BioLife Solutions Inc. | 32,960 | 775 | |||
* | Collegium Pharmaceutical Inc. | 38,882 | 757 | |||
* | uniQure NV | 40,534 | 689 | |||
* | Varex Imaging Corp. | 28,364 | 670 | |||
* | Joint Corp. | 16,211 | 665 | |||
* | Addus HomeCare Corp. | 7,703 | 655 | |||
* | Tivity Health Inc. | 23,324 | 636 | |||
US Physical Therapy Inc. | 6,536 | 601 | ||||
* | Harmony Biosciences Holdings Inc. | 14,364 | 574 | |||
* | Organogenesis Holdings Inc. Class A | 70,898 | 527 | |||
* | REGENXBIO Inc. | 19,049 | 499 | |||
* | Cara Therapeutics Inc. | 47,502 | 493 | |||
* | Vanda Pharmaceuticals Inc. | 40,104 | 456 | |||
* | Surmodics Inc. | 10,141 | 455 | |||
* | Cutera Inc. | 11,580 | 444 | |||
Simulations Plus Inc. | 10,606 | 418 | ||||
* | Cardiovascular Systems Inc. | 19,157 | 403 | |||
* | HealthStream Inc. | 15,336 | 314 | |||
* | Eagle Pharmaceuticals Inc. | 6,265 | 297 | |||
* | Anika Therapeutics Inc. | 8,608 | 280 | |||
* | ANI Pharmaceuticals Inc. | 7,182 | 269 | |||
* | Pennant Group Inc. | 15,519 | 252 | |||
Zynex Inc. | 24,530 | 154 | ||||
* | Tabula Rasa HealthCare Inc. | 6,123 | 35 | |||
*,1 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
79,064 | ||||||
Industrials (14.7%) | ||||||
UFP Industries Inc. | 69,552 | 5,964 | ||||
* | Chart Industries Inc. | 40,023 | 5,779 | |||
Exponent Inc. | 58,556 | 5,549 | ||||
Matson Inc. | 47,234 | 5,232 |
Shares | Market Value• ($000) | |||||
Korn Ferry | 61,236 | 4,058 | ||||
Mueller Industries Inc. | 64,463 | 3,678 | ||||
Comfort Systems USA Inc. | 40,493 | 3,482 | ||||
Forward Air Corp. | 30,283 | 3,125 | ||||
ArcBest Corp. | 28,726 | 2,662 | ||||
Encore Wire Corp. | 22,759 | 2,650 | ||||
John Bean Technologies Corp. | 22,839 | 2,589 | ||||
Franklin Electric Co. Inc. | 29,351 | 2,482 | ||||
SPX FLOW Inc. | 28,775 | 2,471 | ||||
Hillenbrand Inc. | 44,293 | 2,113 | ||||
Applied Industrial Technologies Inc. | 18,599 | 1,880 | ||||
AAON Inc. | 31,168 | 1,825 | ||||
* | Triumph Group Inc. | 72,673 | 1,820 | |||
* | MYR Group Inc. | 18,953 | 1,701 | |||
Aerojet Rocketdyne Holdings Inc. | 43,788 | 1,697 | ||||
Boise Cascade Co. | 21,212 | 1,696 | ||||
Albany International Corp. Class A | 18,179 | 1,596 | ||||
Federal Signal Corp. | 41,902 | 1,513 | ||||
* | GMS Inc. | 27,177 | 1,474 | |||
* | NV5 Global Inc. | 13,321 | 1,429 | |||
Brady Corp. Class A | 25,066 | 1,155 | ||||
* | SPX Corp. | 21,453 | 1,088 | |||
* | AeroVironment Inc. | 14,014 | 996 | |||
Lindsay Corp. | 7,239 | 950 | ||||
Heidrick & Struggles International Inc. | 22,036 | 942 | ||||
* | Gibraltar Industries Inc. | 17,276 | 835 | |||
Insteel Industries Inc. | 21,795 | 809 | ||||
Tennant Co. | 8,965 | 706 | ||||
Standex International Corp. | 6,591 | 698 | ||||
Alamo Group Inc. | 4,675 | 650 | ||||
* | Forrester Research Inc. | 12,507 | 649 | |||
* | PGT Innovations Inc. | 30,180 | 649 | |||
Enerpac Tool Group Corp. Class A | 32,549 | 561 | ||||
* | Viad Corp. | 12,238 | 428 | |||
Interface Inc. Class A | 29,892 | 390 | ||||
Park Aerospace Corp. | 9,618 | 133 | ||||
80,104 | ||||||
Information Technology (18.8%) | ||||||
* | Vonage Holdings Corp. | 283,740 | 5,766 | |||
* | Rogers Corp. | 21,050 | 5,747 | |||
* | SPS Commerce Inc. | 40,410 | 5,247 | |||
* | MaxLinear Inc. Class A | 79,333 | 4,867 | |||
* | Onto Innovation Inc. | 55,373 | 4,774 | |||
* | Diodes Inc. | 50,579 | 4,531 | |||
* | ExlService Holdings Inc. | 37,428 | 4,521 | |||
* | Fabrinet | 41,592 | 4,165 | |||
* | Perficient Inc. | 37,011 | 3,771 | |||
Kulicke & Soffa Industries Inc. | 69,631 | 3,637 |
Shares | Market Value• ($000) | |||||
Advanced Energy Industries Inc. | 42,319 | 3,633 | ||||
* | Alarm.com Holdings Inc. | 51,738 | 3,406 | |||
* | Rambus Inc. | 122,890 | 3,318 | |||
* | Viavi Solutions Inc. | 165,525 | 2,715 | |||
* | Axcelis Technologies Inc. | 37,426 | 2,591 | |||
* | 3D Systems Corp. | 143,495 | 2,557 | |||
* | Ultra Clean Holdings Inc. | 50,440 | 2,311 | |||
* | FormFactor Inc. | 55,338 | 2,241 | |||
Progress Software Corp. | 49,246 | 2,171 | ||||
Badger Meter Inc. | 21,356 | 2,123 | ||||
EVERTEC Inc. | 44,968 | 1,815 | ||||
* | Extreme Networks Inc. | 145,877 | 1,676 | |||
* | 8x8 Inc. | 128,168 | 1,661 | |||
TTEC Holdings Inc. | 20,583 | 1,636 | ||||
* | Veeco Instruments Inc. | 56,805 | 1,623 | |||
CSG Systems International Inc. | 21,664 | 1,337 | ||||
* | Bottomline Technologies DE Inc. | 23,490 | 1,330 | |||
InterDigital Inc. | 17,909 | 1,154 | ||||
ADTRAN Inc. | 54,643 | 1,125 | ||||
* | Harmonic Inc. | 115,364 | 1,074 | |||
Xperi Holding Corp. | 61,138 | 1,059 | ||||
* | CEVA Inc. | 25,840 | 1,053 | |||
* | Cohu Inc. | 31,762 | 990 | |||
* | LivePerson Inc. | 45,892 | 931 | |||
* | Knowles Corp. | 41,488 | 904 | |||
* | SMART Global Holdings Inc. | 31,778 | 872 | |||
Methode Electronics Inc. | 18,893 | 862 | ||||
* | Unisys Corp. | 36,254 | 775 | |||
* | Diebold Nixdorf Inc. | 81,962 | 713 | |||
CTS Corp. | 18,487 | 701 | ||||
* | OSI Systems Inc. | 8,070 | 651 | |||
* | Plantronics Inc. | 23,071 | 650 | |||
* | Ichor Holdings Ltd. | 18,214 | 642 | |||
* | Agilysys Inc. | 13,777 | 579 | |||
* | PDF Solutions Inc. | 21,170 | 579 | |||
* | FARO Technologies Inc. | 9,830 | 538 | |||
* | Arlo Technologies Inc. | 53,097 | 493 | |||
* | Digi International Inc. | 18,032 | 362 | |||
* | Corsair Gaming Inc. | 14,473 | 334 | |||
* | OneSpan Inc. | 18,942 | 261 | |||
102,472 | ||||||
Materials (3.5%) | ||||||
Balchem Corp. | 36,386 | 5,034 | ||||
* | Livent Corp. | 181,531 | 4,275 | |||
HB Fuller Co. | 27,189 | 1,859 | ||||
* | Allegheny Technologies Inc. | 64,405 | 1,658 | |||
Quaker Chemical Corp. | 8,755 | 1,625 | ||||
Materion Corp. | 13,334 | 1,114 | ||||
* | Ferro Corp. | 43,742 | 950 | |||
AdvanSix Inc. | 17,086 | 684 | ||||
* | Century Aluminum Co. | 25,546 | 603 | |||
Hawkins Inc. | 11,413 | 517 |
Shares | Market Value• ($000) | |||||
Haynes International Inc. | 8,134 | 297 | ||||
Myers Industries Inc. | 17,424 | 290 | ||||
18,906 | ||||||
Real Estate (7.4%) | ||||||
Innovative Industrial Properties Inc. | 26,886 | 5,067 | ||||
Independence Realty Trust Inc. | 117,604 | 2,972 | ||||
LXP Industrial Trust | 158,866 | 2,456 | ||||
Agree Realty Corp. | 35,259 | 2,262 | ||||
NexPoint Residential Trust Inc. | 25,562 | 2,172 | ||||
St. Joe Co. | 37,089 | 2,004 | ||||
Uniti Group Inc. | 154,005 | 1,997 | ||||
Tanger Factory Outlet Centers Inc. | 116,784 | 1,948 | ||||
Essential Properties Realty Trust Inc. | 71,012 | 1,795 | ||||
SITE Centers Corp. | 111,066 | 1,727 | ||||
Retail Opportunity Investments Corp. | 66,747 | 1,212 | ||||
Four Corners Property Trust Inc. | 42,494 | 1,121 | ||||
iStar Inc. | 43,760 | 1,099 | ||||
Urban Edge Properties | 55,720 | 1,015 | ||||
Washington REIT | 41,886 | 979 | ||||
Safehold Inc. | 15,904 | 976 | ||||
Centerspace | 10,280 | 966 | ||||
Acadia Realty Trust | 43,776 | 939 | ||||
American Assets Trust Inc. | 25,445 | 930 | ||||
CareTrust REIT Inc. | 51,295 | 898 | ||||
* | Marcus & Millichap Inc. | 15,741 | 783 | |||
Industrial Logistics Properties Trust | 30,161 | 675 | ||||
Community Healthcare Trust Inc. | 15,526 | 647 | ||||
RPT Realty | 48,350 | 626 | ||||
Armada Hoffler Properties Inc. | 42,199 | 620 | ||||
Getty Realty Corp. | 20,292 | 559 | ||||
* | Douglas Elliman Inc. | 73,364 | 553 | |||
Saul Centers Inc. | 10,066 | 463 | ||||
Universal Health Realty Income Trust | 7,787 | 445 | ||||
Urstadt Biddle Properties Inc. Class A | 18,113 | 341 | ||||
40,247 | ||||||
Utilities (1.3%) | ||||||
American States Water Co. | 27,396 | 2,305 | ||||
California Water Service Group | 34,865 | 1,985 |
Shares | Market Value• ($000) | |||||
Chesapeake Utilities Corp. | 10,296 | 1,369 | ||||
Middlesex Water Co. | 13,559 | 1,356 | ||||
7,015 | ||||||
Total Common Stocks (Cost $498,384) | 544,572 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
2 | Vanguard Market Liquidity Fund, 0.138% (Cost $1) | 5 | 1 | |||
Total Investments (100.0%) (Cost $498,385) | 544,573 | |||||
Other Assets and Liabilities—Net (0.0%) | 83 | |||||
Net Assets (100%) | 544,656 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Security value determined using significant unobservable inputs. |
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. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2022 | 2 | 204 | — |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $498,384) | 544,572 |
Affiliated Issuers (Cost $1) | 1 |
Total Investments in Securities | 544,573 |
Investment in Vanguard | 18 |
Receivables for Investment Securities Sold | 485 |
Receivables for Accrued Income | 171 |
Receivables for Capital Shares Issued | 53 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 545,300 |
Liabilities | |
Due to Custodian | 385 |
Payables for Investment Securities Purchased | 230 |
Payables to Vanguard | 29 |
Total Liabilities | 644 |
Net Assets | 544,656 |
At February 28, 2022, net assets consisted of: | |
Paid-in Capital | 568,859 |
Total Distributable Earnings (Loss) | (24,203) |
Net Assets | 544,656 |
ETF Shares—Net Assets | |
Applicable to 2,525,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 544,656 |
Net Asset Value Per Share—ETF Shares | $215.71 |
Six Months Ended February 28, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 2,197 |
Interest2 | — |
Securities Lending—Net | 33 |
Total Income | 2,230 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 31 |
Management and Administrative | 348 |
Marketing and Distribution | 11 |
Custodian Fees | 13 |
Shareholders’ Reports | 20 |
Trustees’ Fees and Expenses | — |
Other Expenses | 8 |
Total Expenses | 431 |
Net Investment Income | 1,799 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 3,514 |
Futures Contracts | 11 |
Realized Net Gain (Loss) | 3,525 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (46,880) |
Futures Contracts | 1 |
Change in Unrealized Appreciation (Depreciation) | (46,879) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (41,555) |
1 | Dividends are net of foreign withholding taxes of $3,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $37,537,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,799 | 3,741 | |
Realized Net Gain (Loss) | 3,525 | 60,799 | |
Change in Unrealized Appreciation (Depreciation) | (46,879) | 92,986 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (41,555) | 157,526 | |
Distributions | |||
Total Distributions | (3,186) | (2,856) | |
Capital Share Transactions | |||
Issued | 161,006 | 342,033 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (137,063) | (257,126) | |
Net Increase (Decrease) from Capital Share Transactions | 23,943 | 84,907 | |
Total Increase (Decrease) | (20,798) | 239,577 | |
Net Assets | |||
Beginning of Period | 565,454 | 325,877 | |
End of Period | 544,656 | 565,454 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2022 | Year Ended August 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $233.18 | $158.96 | $152.33 | $179.42 | $132.10 | $117.25 |
Investment Operations | ||||||
Net Investment Income1 | .710 | 1.625 | 1.464 | 1.475 | 1.222 | 1.222 |
Net Realized and Unrealized Gain (Loss) on Investments | (16.909) | 73.892 | 6.656 | (27.154) | 47.288 | 14.762 |
Total from Investment Operations | (16.199) | 75.517 | 8.120 | (25.679) | 48.510 | 15.984 |
Distributions | ||||||
Dividends from Net Investment Income | (1.271) | (1.297) | (1.490) | (1.411) | (1.190) | (1.134) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.271) | (1.297) | (1.490) | (1.411) | (1.190) | (1.134) |
Net Asset Value, End of Period | $215.71 | $233.18 | $158.96 | $152.33 | $179.42 | $132.10 |
Total Return | -6.98% | 47.68% | 5.37% | -14.32% | 36.92% | 13.67% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $545 | $565 | $326 | $392 | $547 | $264 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.16% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.62% | 0.79% | 0.97% | 0.94% | 0.80% | 0.95% |
Portfolio Turnover Rate2 | 32% | 35% | 57% | 47% | 37% | 48% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 544,572 | — | — | 544,572 |
Temporary Cash Investments | 1 | — | — | 1 |
Total | 544,573 | — | — | 544,573 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | — | — | — | — |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of February 28, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 499,036 |
Gross Unrealized Appreciation | 81,106 |
Gross Unrealized Depreciation | (35,569) |
Net Unrealized Appreciation (Depreciation) | 45,537 |
E. | During the six months ended February 28, 2022, the fund purchased $345,302,000 of investment securities and sold $319,997,000 of investment securities, other than temporary cash investments. Purchases and sales include $143,423,000 and $137,876,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital shares issued and redeemed were: |
Six Months Ended February 28, 2022 | Year Ended August 31, 2021 | ||
Shares (000) | Shares (000) | ||
ETF Shares | |||
Issued | 700 | 1,750 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (600) | (1,375) | |
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 100 | 375 |
G. | Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund. |
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U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2022
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: April 20, 2022
* By: | /s/ Anne E. Robinson | |
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.