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—August 31, 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 | 17 |
Treasury Money Market Fund | 31 |
Trustees Approve Advisory Arrangements | 42 |
• | 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 August 31, 2022 | |||
Beginning Account Value 2/28/2022 | Ending Account Value 8/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,004.70 | $0.51 |
Federal Money Market Fund | $1,000.00 | $1,004.80 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,004.40 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,024.70 | $0.51 |
Federal Money Market Fund | $1,000.00 | $1,024.65 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,024.75 | $0.46 |
1 - 7 Days | 75.2% |
8 - 30 Days | 5.3 |
31 - 60 Days | 5.2 |
61 - 90 Days | 7.2 |
91 - 180 Days | 6.3 |
Over 180 Days | 0.8 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (44.2%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 2.320% | 9/1/22 | 106,000 | 105,994 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 2.320% | 9/1/22 | 46,000 | 45,997 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 2.310% | 9/1/22 | 64,000 | 63,993 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 2.310% | 9/1/22 | 30,000 | 29,996 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 2.330% | 9/1/22 | 43,000 | 43,000 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 2.330% | 9/1/22 | 17,000 | 17,000 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 2.350% | 9/1/22 | 52,000 | 51,996 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 2.360% | 9/1/22 | 71,000 | 70,991 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 2.295% | 9/1/22 | 117,000 | 116,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 2.295% | 9/1/22 | 74,500 | 74,499 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 2.298% | 9/1/22 | 66,000 | 65,995 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 2.298% | 9/1/22 | 53,000 | 52,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.010% | 2.300% | 9/1/22 | 88,000 | 87,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 2.303% | 9/1/22 | 63,000 | 62,992 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 136,000 | 135,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 100,000 | 99,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 88,000 | 87,997 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 24,000 | 24,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 2.320% | 9/1/22 | 127,000 | 127,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 2.325% | 9/1/22 | 247,000 | 247,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 2.330% | 9/1/22 | 80,000 | 79,994 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 2.330% | 9/1/22 | 38,000 | 38,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 2.335% | 9/1/22 | 57,000 | 57,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 111,000 | 111,002 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 91,000 | 91,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 69,125 | 69,127 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 2.345% | 9/1/22 | 175,000 | 175,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 2.345% | 9/1/22 | 65,000 | 65,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 80,000 | 80,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 60,000 | 60,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 45,000 | 45,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 2.370% | 9/1/22 | 98,000 | 98,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 2.380% | 9/1/22 | 117,000 | 117,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.310% | 2.600% | 9/1/22 | 37,000 | 37,019 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.320% | 2.610% | 9/1/22 | 17,000 | 17,014 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.040% | 2.941% | 9/1/22 | 61,000 | 60,999 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.065% | 2.966% | 9/1/22 | 91,000 | 90,999 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 2.971% | 9/1/22 | 41,000 | 41,000 |
Federal Farm Credit Discount Notes | 1.060% | 9/28/22 | 50,000 | 49,961 | |
Federal Home Loan Banks | 1.580% | 12/12/22 | 214,000 | 213,976 | |
Federal Home Loan Banks | 1.840% | 1/6/23 | 250,000 | 250,000 | |
Federal Home Loan Banks | 1.873% | 1/9/23 | 294,000 | 294,000 | |
Federal Home Loan Banks Discount Notes | 1.107% | 9/1/22 | 346,490 | 346,490 | |
Federal Home Loan Banks Discount Notes | 2.343% | 9/2/22 | 242 | 242 | |
Federal Home Loan Banks Discount Notes | 2.004% | 9/7/22 | 6,984 | 6,982 | |
Federal Home Loan Banks Discount Notes | 1.359% | 9/9/22 | 250,000 | 249,925 | |
Federal Home Loan Banks Discount Notes | 1.914% | 9/16/22 | 600,000 | 599,525 | |
Federal Home Loan Banks Discount Notes | 1.904% | 9/19/22 | 218,000 | 217,794 | |
Federal Home Loan Banks Discount Notes | 1.882% | 9/21/22 | 835,000 | 834,133 | |
Federal Home Loan Banks Discount Notes | 1.910%–2.009% | 9/26/22 | 807,000 | 805,941 | |
Federal Home Loan Banks Discount Notes | 1.905% | 9/28/22 | 526,600 | 525,861 | |
Federal Home Loan Banks Discount Notes | 1.094%–2.04% | 10/3/22 | 315,000 | 314,642 | |
Federal Home Loan Banks Discount Notes | 2.010% | 10/5/22 | 500,000 | 499,060 | |
Federal Home Loan Banks Discount Notes | 1.300% | 10/11/22 | 651,376 | 650,453 | |
Federal Home Loan Banks Discount Notes | 2.259% | 10/12/22 | 600,000 | 598,469 | |
Federal Home Loan Banks Discount Notes | 1.400% | 10/20/22 | 250,000 | 249,524 | |
Federal Home Loan Banks Discount Notes | 2.069% | 10/24/22 | 500,000 | 498,454 | |
Federal Home Loan Banks Discount Notes | 2.751% | 10/26/22 | 39,000 | 38,836 | |
Federal Home Loan Banks Discount Notes | 2.550%–2.673% | 10/28/22 | 41,483 | 41,319 | |
Federal Home Loan Banks Discount Notes | 2.124% | 10/31/22 | 300,000 | 298,960 | |
Federal Home Loan Banks Discount Notes | 1.521% | 11/1/22 | 150,000 | 149,621 | |
Federal Home Loan Banks Discount Notes | 2.571% | 11/2/22 | 273,752 | 272,564 | |
Federal Home Loan Banks Discount Notes | 1.522% | 11/3/22 | 444,000 | 442,842 | |
Federal Home Loan Banks Discount Notes | 2.182%–2.198% | 11/7/22 | 1,001,000 | 996,995 | |
Federal Home Loan Banks Discount Notes | 1.453% | 11/10/22 | 100,000 | 99,722 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 1.573% | 11/14/22 | 167,000 | 166,471 | |
Federal Home Loan Banks Discount Notes | 2.640% | 11/16/22 | 570,000 | 566,853 | |
Federal Home Loan Banks Discount Notes | 1.584% | 11/17/22 | 250,000 | 249,166 | |
Federal Home Loan Banks Discount Notes | 2.569% | 11/18/22 | 500,000 | 497,118 | |
Federal Home Loan Banks Discount Notes | 1.520%–1.528% | 11/21/22 | 999,000 | 995,640 | |
Federal Home Loan Banks Discount Notes | 1.503%–1.555% | 11/22/22 | 310,000 | 308,928 | |
Federal Home Loan Banks Discount Notes | 2.705% | 11/28/22 | 850,000 | 844,390 | |
Federal Home Loan Banks Discount Notes | 2.683% | 12/5/22 | 1,000,000 | 992,743 | |
Federal Home Loan Banks Discount Notes | 2.996% | 12/12/22 | 300,000 | 297,510 | |
Federal Home Loan Banks Discount Notes | 2.958% | 12/19/22 | 500,000 | 495,625 | |
Federal Home Loan Banks Discount Notes | 1.628% | 12/20/22 | 200,000 | 199,028 | |
Federal Home Loan Banks Discount Notes | 2.522%–2.545% | 12/21/22 | 94,687 | 93,966 | |
Federal Home Loan Banks Discount Notes | 2.671% | 1/4/23 | 500,000 | 495,486 | |
Federal Home Loan Banks Discount Notes | 1.795% | 1/6/23 | 74,000 | 73,541 | |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 700,000 | 700,005 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 558,000 | 558,002 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 500,000 | 500,000 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 150,000 | 150,000 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 2.305% | 9/1/22 | 160,000 | 160,000 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 2.305% | 9/1/22 | 17,280 | 17,276 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 2.315% | 9/1/22 | 900,000 | 900,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 2.315% | 9/1/22 | 447,700 | 447,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 750,000 | 750,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 461,000 | 461,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 447,700 | 447,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 249,940 | 249,940 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 217,000 | 217,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 198,700 | 198,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 122,000 | 122,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 72,000 | 72,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 68,000 | 68,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 68,000 | 68,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 43,000 | 43,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 144,000 | 144,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 144,000 | 144,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 136,900 | 136,900 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 68,000 | 67,995 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 448,400 | 448,400 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 290,000 | 290,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 288,000 | 288,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 161,000 | 161,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 144,000 | 144,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 434,000 | 434,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 216,000 | 216,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 72,000 | 72,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 2.340% | 9/1/22 | 144,100 | 144,100 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 2.345% | 9/1/22 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 2.345% | 9/1/22 | 159,900 | 159,900 |
2 | Federal Home Loan Banks, SOFR + 0.080% | 2.370% | 9/1/22 | 569,000 | 569,000 |
2 | Federal Home Loan Banks, SOFR + 0.085% | 2.375% | 9/1/22 | 10,000 | 10,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 2.385% | 9/1/22 | 178,000 | 178,000 |
United States Treasury Bill | 1.602%–1.607% | 9/15/22 | 435,000 | 434,724 | |
United States Treasury Bill | 1.053% | 9/29/22 | 500,000 | 499,592 | |
United States Treasury Bill | 1.113% | 10/6/22 | 279,200 | 278,899 | |
United States Treasury Bill | 1.224% | 10/13/22 | 352,200 | 351,699 | |
United States Treasury Bill | 1.255% | 10/20/22 | 570,600 | 569,629 | |
United States Treasury Bill | 1.376% | 10/27/22 | 500,000 | 498,934 | |
United States Treasury Bill | 1.427% | 11/3/22 | 500,000 | 498,758 | |
United States Treasury Bill | 1.721% | 12/8/22 | 900,000 | 895,811 | |
United States Treasury Bill | 2.178% | 12/15/22 | 1,300,000 | 1,291,810 | |
United States Treasury Bill | 1.922% | 4/20/23 | 250,000 | 247,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
United States Treasury Bill | 3.141% | 6/15/23 | 450,000 | 439,166 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 2.826% | 9/1/22 | 144,960 | 144,779 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 2.935% | 9/1/22 | 537,000 | 537,005 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 2.938% | 9/1/22 | 900,000 | 900,000 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 2.950% | 9/1/22 | 1,306,000 | 1,306,044 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 2.956% | 9/1/22 | 1,430,000 | 1,430,011 |
Total U.S. Government and Agency Obligations (Cost $39,118,831) | 39,118,831 | ||||
Repurchase Agreements (56.3%) | |||||
Canadian Imperial Bank of Commerce (Dated 8/12/22, Repurchase Value $153,313,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.250%, 4/15/26–2/15/50, and United States Treasury Note/Bond 0.625%–2.875%, 1/31/28–8/15/41, with a value of $156,060,000) | 2.300% | 9/13/22 | 153,000 | 153,000 | |
Canadian Imperial Bank of Commerce (Dated 7/28/22, Repurchase Value $163,583,000, collateralized by United States Treasury Bill 0.000%, 9/6/22, United States Treasury Inflation Indexed Note/Bond 0.125%–2.500%, 4/15/26–2/15/50, and United States Treasury Note/Bond 0.500%–3.000%, 8/15/26–8/15/52, with a value of $166,260,000) | 2.300% | 9/22/22 | 163,000 | 163,000 | |
Canadian Imperial Bank of Commerce (Dated 8/29/22, Repurchase Value $216,402,000, collateralized by United States Treasury Bill 0.000%, 9/6/22, United States Treasury Inflation Indexed Note/Bond 0.125%–0.500%, 1/15/28–1/15/31, and United States Treasury Note/Bond 0.125%–3.000%, 8/15/23–8/15/52, with a value of $220,320,000) | 2.390% | 9/26/22 | 216,000 | 216,000 | |
Federal Reserve Bank of New York (Dated 8/31/22, Repurchase Value $47,324,023,000, collateralized by United States Treasury Note/Bond 0.125%–1.750%, 5/31/23–11/15/29, with a value of $47,324,023,000) | 2.300% | 9/1/22 | 47,321,000 | 47,321,000 | |
Fixed Income Clearing Corp. (Dated 8/31/22, Repurchase Value $117,007,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.625%, 1/15/24–7/15/32, with a value of $119,340,000) | 2.300% | 9/1/22 | 117,000 | 117,000 | |
Nomura International plc (Dated 8/31/22, Repurchase Value $117,007,000, collateralized by United States Treasury Note/Bond 0.250%–1.250%, 3/15/24–11/30/26, with a value of $119,340,000) | 2.300% | 9/1/22 | 117,000 | 117,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
RBC Capital Markets LLC (Dated 8/31/22, Repurchase Value $248,016,000, collateralized by United States Treasury Floating Rate Note 2.886%, 1/31/24, United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 1/15/27–2/15/51, and United States Treasury Note/Bond 0.250%–3.250%, 9/30/22–8/15/52, with a value of $252,960,000) | 2.300% | 9/1/22 | 248,000 | 248,000 | |
Standard Chartered Bank (Dated 8/31/22, Repurchase Value $248,016,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.875%, 7/15/30–2/15/47, and United States Treasury Note/Bond 0.125%–4.375%, 9/30/22–5/15/47, with a value of $252,976,000) | 2.300% | 9/1/22 | 248,000 | 248,000 | |
Sumitomo Mitsui Banking Corp. (Dated 8/31/22, Repurchase Value $1,247,080,000, collateralized by United States Treasury Note/Bond 0.375%–3.625%, 1/31/24–11/15/51, with a value of $1,271,940,000) | 2.300% | 9/1/22 | 1,247,000 | 1,247,000 | |
TD Securities (USA) LLC (Dated 8/31/22, Repurchase Value $24,002,000, collateralized by United States Treasury Note/Bond 3.000%–5.250%, 2/15/29–8/15/52, with a value of $24,480,000) | 2.300% | 9/1/22 | 24,000 | 24,000 | |
Total Repurchase Agreements (Cost $49,854,000) | 49,854,000 | ||||
Total Investments (100.5%) (Cost $88,972,831) | 88,972,831 | ||||
Other Assets and Liabilities—Net (-0.5%) | (423,101) | ||||
Net Assets (100%) | 88,549,730 | ||||
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. |
3 | 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. |
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 $39,118,831) | 39,118,831 |
Repurchase Agreements (Cost $49,854,000) | 49,854,000 |
Total Investments in Securities | 88,972,831 |
Investment in Vanguard | 3,187 |
Cash | 1 |
Receivables for Accrued Income | 49,131 |
Receivables for Capital Shares Issued | 91,946 |
Total Assets | 89,117,096 |
Liabilities | |
Payables for Investment Securities Purchased | 448,640 |
Payables for Capital Shares Redeemed | 105,183 |
Payables for Distributions | 9,666 |
Payables to Vanguard | 3,877 |
Total Liabilities | 567,366 |
Net Assets | 88,549,730 |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 88,549,584 |
Total Distributable Earnings (Loss) | 146 |
Net Assets | 88,549,730 |
Admiral Shares—Net Assets | |
Applicable to 88,536,301,165 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 88,549,730 |
Net Asset Value Per Share—Admiral Shares | $1.00 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 496,104 |
Total Income | 496,104 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,705 |
Management and Administrative—Admiral Shares | 82,803 |
Marketing and Distribution—Admiral Shares | 4,669 |
Custodian Fees | 301 |
Auditing Fees | 29 |
Shareholders’ Reports—Admiral Shares | 832 |
Trustees’ Fees and Expenses | 35 |
Other Expenses | 13 |
Total Expenses | 90,387 |
Expense Reduction—Note B | (16,564) |
Net Expenses | 73,823 |
Net Investment Income | 422,281 |
Realized Net Gain (Loss) on Investment Securities Sold | 62 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 422,343 |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 422,281 | 14,551 |
Realized Net Gain (Loss) | 62 | 106 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 422,343 | 14,657 |
Distributions | ||
Investor Shares | — | (5,977) |
Admiral Shares | (430,686) | (8,575) |
Total Distributions | (430,686) | (14,552) |
Capital Share Transactions (at $1.00 per share) | ||
Investor Shares | — | (97,672,378) |
Admiral Shares | (6,325,358) | 69,160,933 |
Net Increase (Decrease) from Capital Share Transactions | (6,325,358) | (28,511,445) |
Total Increase (Decrease) | (6,333,701) | (28,511,340) |
Net Assets | ||
Beginning of Period | 94,883,431 | 123,394,771 |
End of Period | 88,549,730 | 94,883,431 |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0047 | .0002 | .012 | .024 | .016 |
Net Realized and Unrealized Gain (Loss) on Investments | .0002 | — | — | — | — |
Total from Investment Operations | .0049 | .0002 | .012 | .024 | .016 |
Distributions | |||||
Dividends from Net Investment Income | (.0048) | (.0002) | (.012) | (.024) | (.016) |
Distributions from Realized Capital Gains | (.0001) | — | — | — | — |
Total Distributions | (.0049) | (.0002) | (.012) | (.024) | (.016) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.49% | 0.02% | 1.21% | 2.42% | 1.66% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $88,550 | $94,883 | $25,704 | $18,923 | $16,118 |
Ratio of Total Expenses to Average Net Assets3 | 0.08% | 0.07% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.47% | 0.02% | 1.20% | 2.39% | 1.65% |
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 2022 and 0.10% for 2021. For the years ended August 31, 2020, 2019, and 2018, 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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 9,811 |
Undistributed Long-Term Gains | 1 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | — |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 430,686 | 14,552 |
Long-Term Capital Gains | — | — |
Total | 430,686 | 14,552 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 88,972,831 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2022 | 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 | 32,229,346 | 32,229,346 | 102,633,298 | 102,633,299 | |
Issued in Lieu of Cash Distributions | 400,798 | 400,798 | 7,874 | 7,873 | |
Redeemed | (38,955,502) | (38,955,502) | (33,480,239) | (33,480,239) | |
Net Increase (Decrease)—Admiral Shares | (6,325,358) | (6,325,358) | 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. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 78.6% |
8 - 30 Days | 3.6 |
31 - 60 Days | 3.0 |
61 - 90 Days | 8.0 |
91 - 180 Days | 6.1 |
Over 180 Days | 0.7 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (36.1%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 2.320% | 9/1/22 | 249,000 | 248,985 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 2.320% | 9/1/22 | 104,000 | 103,994 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 2.310% | 9/1/22 | 135,000 | 134,985 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 2.310% | 9/1/22 | 70,000 | 69,992 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 2.330% | 9/1/22 | 101,500 | 101,500 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.000% | 2.330% | 9/1/22 | 33,000 | 33,000 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 2.350% | 9/1/22 | 123,000 | 122,990 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 2.360% | 9/1/22 | 154,000 | 153,981 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 2.295% | 9/1/22 | 248,000 | 247,997 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.005% | 2.295% | 9/1/22 | 158,000 | 157,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 2.298% | 9/1/22 | 140,800 | 140,788 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.008% | 2.298% | 9/1/22 | 112,000 | 111,997 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.010% | 2.300% | 9/1/22 | 187,000 | 186,997 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 2.303% | 9/1/22 | 140,600 | 140,582 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 289,000 | 288,995 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 212,000 | 211,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 204,000 | 203,994 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 2.315% | 9/1/22 | 52,050 | 52,050 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 2.320% | 9/1/22 | 239,000 | 238,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 2.325% | 9/1/22 | 550,000 | 550,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 2.330% | 9/1/22 | 170,000 | 169,987 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 2.330% | 9/1/22 | 84,000 | 84,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 2.335% | 9/1/22 | 127,000 | 127,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 224,000 | 224,005 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 199,000 | 199,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 2.340% | 9/1/22 | 129,000 | 129,004 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 2.345% | 9/1/22 | 350,000 | 350,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 2.345% | 9/1/22 | 146,000 | 146,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 109,000 | 109,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 80,000 | 80,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 2.350% | 9/1/22 | 45,000 | 45,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 2.370% | 9/1/22 | 166,000 | 166,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.085% | 2.375% | 9/1/22 | 85,000 | 85,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 2.380% | 9/1/22 | 193,000 | 193,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.310% | 2.600% | 9/1/22 | 78,000 | 78,041 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.320% | 2.610% | 9/1/22 | 40,000 | 40,032 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.035% | 2.936% | 9/1/22 | 40,000 | 39,999 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.040% | 2.941% | 9/1/22 | 114,000 | 113,999 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.065% | 2.966% | 9/1/22 | 159,000 | 158,999 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.070% | 2.971% | 9/1/22 | 58,000 | 58,000 |
Federal Home Loan Banks | 1.460% | 11/10/22 | 500,000 | 499,979 | |
Federal Home Loan Banks | 1.580% | 12/12/22 | 536,000 | 535,941 | |
Federal Home Loan Banks | 1.840% | 1/6/23 | 500,000 | 500,000 | |
Federal Home Loan Banks | 1.873% | 1/9/23 | 706,000 | 706,000 | |
Federal Home Loan Banks Discount Notes | 2.343% | 9/2/22 | 168 | 168 | |
Federal Home Loan Banks Discount Notes | 1.359%–2.343% | 9/9/22 | 500,616 | 500,466 | |
Federal Home Loan Banks Discount Notes | 1.915% | 9/16/22 | 655,000 | 654,481 | |
Federal Home Loan Banks Discount Notes | 1.904% | 9/19/22 | 532,000 | 531,497 | |
Federal Home Loan Banks Discount Notes | 1.882% | 9/21/22 | 1,305,000 | 1,303,646 | |
Federal Home Loan Banks Discount Notes | 2.009% | 9/26/22 | 368,000 | 367,497 | |
Federal Home Loan Banks Discount Notes | 1.094%–2.040% | 10/3/22 | 635,000 | 634,276 | |
Federal Home Loan Banks Discount Notes | 1.400% | 10/20/22 | 746,000 | 744,578 | |
Federal Home Loan Banks Discount Notes | 1.408%–2.751% | 10/26/22 | 347,000 | 346,065 | |
Federal Home Loan Banks Discount Notes | 2.55%–2.673% | 10/28/22 | 101,104 | 100,704 | |
Federal Home Loan Banks Discount Notes | 1.521% | 11/1/22 | 300,000 | 299,243 | |
Federal Home Loan Banks Discount Notes | 2.571% | 11/2/22 | 659,082 | 656,222 | |
Federal Home Loan Banks Discount Notes | 1.522% | 11/3/22 | 1,050,000 | 1,047,262 | |
Federal Home Loan Banks Discount Notes | 2.182%–2.198% | 11/7/22 | 1,749,000 | 1,742,002 | |
Federal Home Loan Banks Discount Notes | 1.461% | 11/8/22 | 1,110,000 | 1,107,002 | |
Federal Home Loan Banks Discount Notes | 1.453% | 11/10/22 | 400,000 | 398,888 | |
Federal Home Loan Banks Discount Notes | 1.573% | 11/14/22 | 333,000 | 331,946 | |
Federal Home Loan Banks Discount Notes | 1.584% | 11/17/22 | 500,000 | 498,332 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 1.520%–1.528% | 11/21/22 | 1,251,000 | 1,246,792 | |
Federal Home Loan Banks Discount Notes | 1.503% | 11/22/22 | 240,000 | 239,196 | |
Federal Home Loan Banks Discount Notes | 2.833%–2.890% | 11/23/22 | 904,000 | 898,125 | |
Federal Home Loan Banks Discount Notes | 2.879% | 11/25/22 | 500,000 | 496,635 | |
Federal Home Loan Banks Discount Notes | 1.586% | 12/6/22 | 1,000,000 | 995,867 | |
Federal Home Loan Banks Discount Notes | 1.628% | 12/20/22 | 300,000 | 298,542 | |
Federal Home Loan Banks Discount Notes | 2.522%–2.545% | 12/21/22 | 228,000 | 226,263 | |
Federal Home Loan Banks Discount Notes | 2.671% | 1/4/23 | 1,000,000 | 990,972 | |
Federal Home Loan Banks Discount Notes | 1.795% | 1/6/23 | 176,000 | 174,907 | |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 900,000 | 900,000 |
2 | Federal Home Loan Banks, SOFR + 0.010% | 2.300% | 9/1/22 | 350,000 | 350,000 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 2.305% | 9/1/22 | 340,000 | 340,000 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 2.305% | 9/1/22 | 42,485 | 42,476 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 2.315% | 9/1/22 | 1,101,200 | 1,101,200 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 1,132,700 | 1,132,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 1,101,200 | 1,101,200 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 611,670 | 611,670 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 531,000 | 531,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 486,300 | 486,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 301,000 | 301,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 248,600 | 248,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 180,600 | 180,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 180,600 | 180,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 177,000 | 177,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 2.320% | 9/1/22 | 106,000 | 106,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 354,000 | 354,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 354,000 | 354,000 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 336,200 | 336,200 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 2.325% | 9/1/22 | 148,000 | 147,989 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 1,100,500 | 1,100,500 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 706,000 | 706,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 705,000 | 705,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 392,000 | 392,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 2.330% | 9/1/22 | 353,000 | 353,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 1,061,000 | 1,061,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 531,100 | 531,100 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 2.335% | 9/1/22 | 177,000 | 177,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 2.340% | 9/1/22 | 353,900 | 353,900 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 2.345% | 9/1/22 | 708,000 | 708,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 2.345% | 9/1/22 | 392,900 | 392,900 |
2 | Federal Home Loan Banks, SOFR + 0.080% | 2.370% | 9/1/22 | 970,000 | 970,000 |
2 | Federal Home Loan Banks, SOFR + 0.085% | 2.375% | 9/1/22 | 250,000 | 250,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 2.385% | 9/1/22 | 287,000 | 287,000 |
3 | Freddie Mac Discount Notes | 1.271% | 9/1/22 | 528 | 528 |
3 | Freddie Mac Discount Notes | 2.345% | 9/6/22 | 865 | 865 |
United States Cash Management Bill | 1.597% | 12/1/22 | 1,500,000 | 1,494,009 | |
United States Treasury Bill | 1.602%–1.607% | 9/15/22 | 1,065,000 | 1,064,325 | |
United States Treasury Bill | 0.872% | 9/22/22 | 1,000,000 | 999,492 | |
United States Treasury Bill | 1.053% | 9/29/22 | 1,000,000 | 999,183 | |
United States Treasury Bill | 1.113% | 10/6/22 | 1,116,800 | 1,115,595 | |
United States Treasury Bill | 1.224% | 10/13/22 | 704,400 | 703,397 | |
United States Treasury Bill | 1.255% | 10/20/22 | 1,715,800 | 1,712,881 | |
United States Treasury Bill | 1.376% | 10/27/22 | 1,253,250 | 1,250,579 | |
United States Treasury Bill | 2.124% | 11/1/22 | 2,000,000 | 1,992,595 | |
United States Treasury Bill | 1.427% | 11/3/22 | 2,000,000 | 1,995,030 | |
United States Treasury Bill | 1.391% | 11/10/22 | 2,000,000 | 1,994,614 | |
United States Treasury Bill | 1.538% | 11/25/22 | 2,000,000 | 1,992,775 | |
United States Treasury Bill | 1.721% | 12/8/22 | 2,500,000 | 2,488,362 | |
United States Treasury Bill | 2.178% | 12/15/22 | 3,000,000 | 2,981,100 | |
United States Treasury Bill | 2.715% | 1/12/23 | 2,000,000 | 1,980,161 | |
United States Treasury Bill | 1.922% | 4/20/23 | 600,000 | 592,800 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
United States Treasury Bill | 3.141% | 6/15/23 | 1,050,000 | 1,024,720 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 2.826% | 9/1/22 | 344,553 | 344,122 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 2.935% | 9/1/22 | 2,441,000 | 2,441,025 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 2.938% | 9/1/22 | 2,200,000 | 2,199,999 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 2.950% | 9/1/22 | 2,369,000 | 2,369,091 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 2.956% | 9/1/22 | 2,400,878 | 2,400,904 |
Total U.S. Government and Agency Obligations (Cost $78,279,469) | 78,279,469 | ||||
Repurchase Agreements (64.3%) | |||||
Canadian Imperial Bank of Commerce (Dated 8/12/22, Repurchase Value $379,775,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.500%, 1/15/28–2/15/51, and United States Treasury Note/Bond 0.500%–3.000%, 2/28/23–8/15/52, with a value of $386,580,000) | 2.300% | 9/13/22 | 379,000 | 379,000 | |
Canadian Imperial Bank of Commerce (Dated 7/28/22, Repurchase Value $400,428,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 7/15/24–2/15/51, and United States Treasury Note/Bond 0.125%–2.875%, 2/28/23–8/15/41, with a value of $406,980,000) | 2.300% | 9/22/22 | 399,000 | 399,000 | |
Canadian Imperial Bank of Commerce (Dated 8/29/22, Repurchase Value $531,987,000, collateralized by United States Treasury Bill 0.000%, 9/6/22, United States Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 4/15/24–2/15/50, and United States Treasury Note/Bond 0.125%–2.875%, 8/15/23–11/15/50, with a value of $541,620,000) | 2.390% | 9/26/22 | 531,000 | 531,000 | |
Federal Reserve Bank of New York (Dated 8/31/22, Repurchase Value $132,267,450,000, collateralized by United States Treasury Note/Bond 1.125%–7.625%, 2/15/23–2/15/51, with a value of $132,267,450,000) | 2.300% | 9/1/22 | 132,259,000 | 132,259,000 | |
Fixed Income Clearing Corp. (Dated 8/31/22, Repurchase Value $329,021,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.625%, 7/15/32, and United States Treasury Note/Bond 2.250%, 8/15/49, with a value of $335,580,000) | 2.300% | 9/1/22 | 329,000 | 329,000 | |
Nomura International plc (Dated 8/31/22, Repurchase Value $326,021,000, collateralized by United States Treasury Floating Rate Note 2.938%, 7/31/24, and United States Treasury Note/Bond 0.250%–6.875%, 11/15/23–11/30/26, with a value of $332,520,000) | 2.300% | 9/1/22 | 326,000 | 326,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
RBC Capital Markets LLC (Dated 8/31/22, Repurchase Value $697,045,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875, 10/15/25–2/15/51, and United States Treasury Note/Bond 0.125%–6.500%, 9/30/22–2/15/52, with a value of $710,940,000) | 2.300% | 9/1/22 | 697,000 | 697,000 | |
Standard Chartered Bank (Dated 8/31/22, Repurchase Value $697,045,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/23–2/15/50, and United States Treasury Note/Bond 0.125%–4.375%, 3/31/23–8/15/52, with a value of $710,985,000) | 2.300% | 9/1/22 | 697,000 | 697,000 | |
Sumitomo Mitsui Banking Corp. (Dated 8/31/22, Repurchase Value $3,494,223,000, collateralized by United States Treasury Note/Bond 0.250%–5.250%, 2/15/24–11/15/51, with a value of $3,563,880,000) | 2.300% | 9/1/22 | 3,494,000 | 3,494,000 | |
TD Securities (USA) LLC (Dated 8/31/22, Repurchase Value $72,005,000, collateralized by United States Treasury Note/Bond 6.250%, 5/15/30, with a value of $73,440,000) | 2.300% | 9/1/22 | 72,000 | 72,000 | |
Total Repurchase Agreements (Cost $139,183,000) | 139,183,000 | ||||
Total Investments (100.4%) (Cost $217,462,469) | 217,462,469 | ||||
Other Assets and Liabilities—Net (-0.4%) | (921,174) | ||||
Net Assets (100%) | 216,541,295 | ||||
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. |
3 | 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. |
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 $78,279,469) | 78,279,469 |
Repurchase Agreements (Cost $139,183,000) | 139,183,000 |
Total Investments in Securities | 217,462,469 |
Investment in Vanguard | 7,830 |
Cash | 15 |
Receivables for Accrued Income | 94,764 |
Receivables for Capital Shares Issued | 242,894 |
Other Assets | 10,500 |
Total Assets | 217,818,472 |
Liabilities | |
Payables for Investment Securities Purchased | 1,097,970 |
Payables for Capital Shares Redeemed | 149,625 |
Payables for Distributions | 19,132 |
Payables to Vanguard | 10,450 |
Total Liabilities | 1,277,177 |
Net Assets | 216,541,295 |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 216,542,505 |
Total Distributable Earnings (Loss) | (1,210) |
Net Assets | 216,541,295 |
Net Assets | |
Applicable to 216,541,994,738 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 216,541,295 |
Net Asset Value Per Share | $1.00 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 1,215,665 |
Total Income | 1,215,665 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,891 |
Management and Administrative | 194,268 |
Marketing and Distribution | 22,901 |
Custodian Fees | 578 |
Auditing Fees | 29 |
Shareholders’ Reports | 4,717 |
Trustees’ Fees and Expenses | 78 |
Other Expenses | 13 |
Total Expenses | 226,475 |
Expense Reduction—Note B | (43,547) |
Net Expenses | 182,928 |
Net Investment Income | 1,032,737 |
Realized Net Gain (Loss) on Investment Securities Sold | 350 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,033,087 |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,032,737 | 39,205 |
Realized Net Gain (Loss) | 350 | 188 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,033,087 | 39,393 |
Distributions | ||
Total Distributions | (1,032,754) | (39,216) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 103,314,268 | 102,455,515 |
Issued in Lieu of Cash Distributions | 979,612 | 36,748 |
Redeemed | (82,138,377) | (105,631,589) |
Net Increase (Decrease) from Capital Share Transactions | 22,155,503 | (3,139,326) |
Total Increase (Decrease) | 22,155,836 | (3,139,149) |
Net Assets | ||
Beginning of Period | 194,385,459 | 197,524,608 |
End of Period | 216,541,295 | 194,385,459 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0050 | .0002 | .010 | .022 | .014 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0002) | — | — | — | — |
Total from Investment Operations | .0048 | .0002 | .010 | .022 | .014 |
Distributions | |||||
Dividends from Net Investment Income | (.0048) | (.0002) | (.010) | (.022) | (.014) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0048) | (.0002) | (.010) | (.022) | (.014) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.48% | 0.02% | 1.03% | 2.26% | 1.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $216,541 | $194,385 | $197,525 | $132,966 | $100,287 |
Ratio of Total Expenses to Average Net Assets3 | 0.09% | 0.09% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 0.50% | 0.02% | 0.93% | 2.24% | 1.43% |
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 2022 and 0.11% for 2021. For the years ended August 31, 2020, 2019, and 2018, 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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 19,132 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (1,210) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | — |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 1,032,754 | 39,216 |
Long-Term Capital Gains | — | — |
Total | 1,032,754 | 39,216 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 217,462,469 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 19.0% |
8 - 30 Days | 42.3 |
31 - 60 Days | 26.3 |
61 - 90 Days | 10.5 |
91 - 180 Days | 1.4 |
Over 180 Days | 0.5 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (103.4%) | |||||
United States Cash Management Bill | 2.168% | 11/8/22 | 2,379,000 | 2,368,979 | |
United States Treasury Bill | 1.114% | 9/1/22 | 1,258,000 | 1,258,000 | |
United States Treasury Bill | 1.967%–1.981% | 9/6/22 | 1,000,000 | 999,710 | |
United States Treasury Bill | 1.211%–2.025% | 9/8/22 | 3,076,000 | 3,075,029 | |
United States Treasury Bill | 1.822%–2.141% | 9/13/22 | 3,669,025 | 3,666,472 | |
United States Treasury Bill | 1.616% | 9/15/22 | 329,000 | 328,790 | |
United States Treasury Bill | 1.212%–1.976% | 9/20/22 | 3,800,000 | 3,796,067 | |
United States Treasury Bill | 1.664% | 9/22/22 | 206,000 | 205,799 | |
United States Treasury Bill | 1.241%–2.222% | 9/27/22 | 3,970,274 | 3,964,553 | |
United States Treasury Bill | 1.348%–2.340% | 10/4/22 | 3,666,476 | 3,659,461 | |
United States Treasury Bill | 1.465%–2.402% | 10/11/22 | 2,219,672 | 2,214,237 | |
United States Treasury Bill | 2.327% | 10/18/22 | 1,500,000 | 1,495,124 | |
United States Treasury Bill | 2.439% | 10/25/22 | 2,000,000 | 1,992,170 | |
United States Treasury Bill | 2.113%–2.118% | 11/1/22 | 1,000,000 | 996,430 | |
United States Treasury Bill | 2.549% | 11/10/22 | 350,000 | 348,244 | |
United States Treasury Bill | 2.178% | 12/15/22 | 300,000 | 298,110 | |
United States Treasury Bill | 2.715% | 1/12/23 | 200,000 | 198,016 | |
United States Treasury Bill | 1.922% | 4/20/23 | 75,000 | 74,100 | |
United States Treasury Bill | 3.141% | 6/15/23 | 100,000 | 97,592 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 2.826% | 9/1/22 | 1,138,700 | 1,137,314 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 2.935% | 9/1/22 | 550,000 | 550,004 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.049% | 2.950% | 9/1/22 | 700,000 | 700,021 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.055% | 2.956% | 9/1/22 | 2,110,202 | 2,110,327 |
Total U.S. Government and Agency Obligations (Cost $35,534,549) | 35,534,549 | ||||
Total Investments (103.4%) (Cost $35,534,549) | 35,534,549 | ||||
Other Assets and Liabilities—Net (-3.4%) | (1,179,738) | ||||
Net Assets (100%) | 34,354,811 | ||||
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 $35,534,549) | 35,534,549 |
Investment in Vanguard | 1,261 |
Receivables for Accrued Income | 10,609 |
Receivables for Capital Shares Issued | 99,713 |
Other Assets | 3,298 |
Total Assets | 35,649,430 |
Liabilities | |
Payables for Investment Securities Purchased | 1,197,101 |
Payables for Capital Shares Redeemed | 92,593 |
Payables for Distributions | 3,570 |
Payables to Vanguard | 1,355 |
Total Liabilities | 1,294,619 |
Net Assets | 34,354,811 |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 34,355,576 |
Total Distributable Earnings (Loss) | (765) |
Net Assets | 34,354,811 |
Net Assets | |
Applicable to 34,352,536,129 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 34,354,811 |
Net Asset Value Per Share | $1.00 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Interest | 181,904 |
Total Income | 181,904 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 653 |
Management and Administrative | 26,238 |
Marketing and Distribution | 3,829 |
Custodian Fees | 149 |
Auditing Fees | 24 |
Shareholders’ Reports | 178 |
Trustees’ Fees and Expenses | 13 |
Other Expenses | 13 |
Total Expenses | 31,097 |
Expense Reduction—Note B | (4,811) |
Net Expenses | 26,286 |
Net Investment Income | 155,618 |
Realized Net Gain (Loss) on Investment Securities Sold | (657) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 154,961 |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 155,618 | 10,437 |
Realized Net Gain (Loss) | (657) | 25 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 154,961 | 10,462 |
Distributions | ||
Total Distributions | (155,642) | (10,438) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 21,601,161 | 20,291,516 |
Issued in Lieu of Cash Distributions | 144,000 | 9,604 |
Redeemed | (23,133,582) | (23,104,196) |
Net Increase (Decrease) from Capital Share Transactions | (1,388,421) | (2,803,076) |
Total Increase (Decrease) | (1,389,102) | (2,803,052) |
Net Assets | ||
Beginning of Period | 35,743,913 | 38,546,965 |
End of Period | 34,354,811 | 35,743,913 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0045 | .0003 | .010 | .022 | .014 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — |
Total from Investment Operations | .0045 | .0003 | .010 | .022 | .014 |
Distributions | |||||
Dividends from Net Investment Income | (.0045) | (.0003) | (.010) | (.022) | (.014) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0045) | (.0003) | (.010) | (.022) | (.014) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.45% | 0.03% | 1.05% | 2.25% | 1.43% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $34,355 | $35,744 | $38,547 | $28,428 | $18,911 |
Ratio of Total Expenses to Average Net Assets3 | 0.08% | 0.08% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 0.45% | 0.03% | 0.95% | 2.23% | 1.43% |
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 2022 and 0.09% for 2021. For the years ended August 31, 2020, 2019, and 2018, 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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 3,570 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (765) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | — |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 155,642 | 10,438 |
Long-Term Capital Gains | — | — |
Total | 155,642 | 10,438 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 35,534,549 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
October 18, 2022
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
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 |
1 | |
2 | |
4 | |
26 | |
46 | |
66 | |
68 |
• | Reflective of the dismal broad market trends for the 12 months ended August 31, 2022, returns for the three Vanguard S&P Mid-Cap 400 Index Funds ranged from –15.57% for ETF Shares of Vanguard S&P Mid-Cap 400 Growth Index Fund to –5.23% for Institutional Shares of Vanguard S&P Mid-Cap 400 Value Index Fund. (Returns for ETF Shares are based on net asset value.) |
• | The investment outlook grew more challenging during the period. Sentiment deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. The Federal Reserve reacted by raising interest rates, which pushed borrowing costs higher and sparked fears of recession. |
• | The decline in equities was almost universal across regions, market capitalizations, and investment styles, but value stocks saw less of a decline than their growth counterparts. |
• | One or two sectors in each of the three funds had positive returns, most notably high double-digit returns in energy. But this was not enough to offset declines in many other sectors. The double-digit declines in consumer discretionary and information technology held back returns across all three funds. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -12.96% | 12.14% | 11.61% |
Russell 2000 Index (Small-caps) | -17.88 | 8.59 | 6.95 |
Russell 3000 Index (Broad U.S. market) | -13.28 | 11.90 | 11.29 |
FTSE All-World ex US Index (International) | -19.00 | 3.48 | 2.12 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -11.65% | -2.01% | 0.54% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.63 | -0.83 | 1.28 |
FTSE Three-Month U.S. Treasury Bill Index | 0.44 | 0.56 | 1.10 |
CPI | |||
Consumer Price Index | 8.26% | 4.90% | 3.82% |
• | 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 August 31, 2022 | |||
Beginning Account Value 2/28/2022 | Ending Account Value 8/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $920.80 | $0.48 |
Institutional Shares | 1,000.00 | 920.90 | 0.39 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $937.50 | $0.73 |
Institutional Shares | 1,000.00 | 937.80 | 0.39 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $903.10 | $0.72 |
Institutional Shares | 1,000.00 | 903.40 | 0.38 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value | -10.47% | 8.60% | 11.19% | $28,886 | |
S&P Mid-Cap 400 Index Fund ETF Shares Market Price | -10.48 | 8.60 | 11.19 | 28,886 | |
S&P MidCap 400 Index | -10.37 | 8.71 | 11.32 | 29,222 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Index Fund Institutional Shares | -10.43% | 8.64% | 11.25% | $14,523,563 | |
S&P MidCap 400 Index | -10.37 | 8.71 | 11.32 | 14,610,970 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 16,470,991 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Index Fund ETF Shares Market Price | -10.48% | 51.09% | 188.86% |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value | -10.47 | 51.05 | 188.86 |
S&P MidCap 400 Index | -10.37 | 51.83 | 192.22 |
Communication Services | 1.6% |
Consumer Discretionary | 13.7 |
Consumer Staples | 4.2 |
Energy | 4.9 |
Financials | 14.7 |
Health Care | 10.1 |
Industrials | 18.7 |
Information Technology | 12.3 |
Materials | 7.2 |
Real Estate | 8.5 |
Utilities | 4.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.4%) | ||||||
Communication Services (1.5%) | ||||||
* | Iridium Communications Inc. | 168,505 | 7,480 | |||
Cable One Inc. | 6,468 | 7,341 | ||||
New York Times Co. Class A | 219,483 | 6,692 | ||||
TEGNA Inc. | 291,554 | 6,239 | ||||
* | Ziff Davis Inc. | 62,342 | 4,818 | |||
World Wrestling Entertainment Inc. Class A | 56,838 | 3,866 | ||||
* | TripAdvisor Inc. | 131,743 | 3,136 | |||
John Wiley & Sons Inc. Class A | 57,190 | 2,632 | ||||
42,204 | ||||||
Consumer Discretionary (13.7%) | ||||||
Williams-Sonoma Inc. | 92,183 | 13,712 | ||||
Service Corp. International | 208,946 | 12,894 | ||||
* | Deckers Outdoor Corp. | 35,854 | 11,530 | |||
Lear Corp. | 78,663 | 10,906 | ||||
* | Mattel Inc. | 463,968 | 10,263 | |||
Lithia Motors Inc. Class A | 38,082 | 10,109 | ||||
H&R Block Inc. | 210,090 | 9,454 | ||||
* | Five Below Inc. | 73,068 | 9,344 | |||
*,1 | GameStop Corp. Class A | 325,597 | 9,325 | |||
* | Capri Holdings Ltd. | 194,275 | 9,166 | |||
Churchill Downs Inc. | 45,043 | 8,878 | ||||
Murphy USA Inc. | 29,313 | 8,506 | ||||
Gentex Corp. | 308,647 | 8,423 | ||||
Polaris Inc. | 73,615 | 8,338 | ||||
1 | Dick's Sporting Goods Inc. | 76,406 | 8,127 | |||
Texas Roadhouse Inc. Class A | 89,720 | 7,964 | ||||
* | TopBuild Corp. | 43,152 | 7,930 | |||
Wyndham Hotels & Resorts Inc. | 121,238 | 7,922 | ||||
Marriott Vacations Worldwide Corp. | 54,533 | 7,767 | ||||
Harley-Davidson Inc. | 194,015 | 7,483 | ||||
Brunswick Corp. | 99,665 | 7,446 | ||||
Leggett & Platt Inc. | 175,832 | 6,720 |
Shares | Market Value• ($000) | |||||
* | Skechers USA Inc. Class A | 177,555 | 6,712 | |||
Macy's Inc. | 374,911 | 6,493 | ||||
Toll Brothers Inc. | 145,145 | 6,356 | ||||
* | Light & Wonder Inc. | 125,959 | 6,201 | |||
* | Crocs Inc. | 81,090 | 5,976 | |||
* | RH | 23,146 | 5,923 | |||
Thor Industries Inc. | 72,456 | 5,870 | ||||
* | AutoNation Inc. | 46,871 | 5,840 | |||
Tempur Sealy International Inc. | 231,121 | 5,780 | ||||
Boyd Gaming Corp. | 105,294 | 5,731 | ||||
* | Goodyear Tire & Rubber Co. | 372,117 | 5,221 | |||
* | Fox Factory Holding Corp. | 55,520 | 5,175 | |||
Choice Hotels International Inc. | 43,315 | 4,969 | ||||
Kohl's Corp. | 169,472 | 4,816 | ||||
Travel + Leisure Co. | 112,585 | 4,774 | ||||
Wingstop Inc. | 39,384 | 4,484 | ||||
* | Visteon Corp. | 36,972 | 4,430 | |||
Wendy's Co. | 225,679 | 4,329 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 76,920 | 4,254 | |||
* | YETI Holdings Inc. | 113,557 | 4,189 | |||
* | Adient plc | 124,972 | 4,149 | |||
Foot Locker Inc. | 109,961 | 4,051 | ||||
Hanesbrands Inc. | 459,889 | 4,006 | ||||
* | Taylor Morrison Home Corp. Class A | 157,233 | 3,948 | |||
Carter's Inc. | 53,124 | 3,923 | ||||
* | Helen of Troy Ltd. | 31,350 | 3,876 | |||
* | Grand Canyon Education Inc. | 42,605 | 3,467 | |||
* | Callaway Golf Co. | 153,012 | 3,386 | |||
Papa John's International Inc. | 41,879 | 3,385 | ||||
Cracker Barrel Old Country Store Inc. | 30,565 | 3,299 | ||||
KB Home | 114,183 | 3,271 | ||||
Columbia Sportswear Co. | 43,830 | 3,122 | ||||
* | Victoria's Secret & Co. | 89,307 | 2,986 | |||
Dana Inc. | 188,706 | 2,919 |
Shares | Market Value• ($000) | |||||
Graham Holdings Co. Class B | 5,158 | 2,917 | ||||
Gap Inc. | 277,419 | 2,536 | ||||
Nordstrom Inc. | 146,718 | 2,510 | ||||
American Eagle Outfitters Inc. | 202,840 | 2,284 | ||||
* | Under Armour Inc. Class A | 245,088 | 2,064 | |||
* | Under Armour Inc. Class C | 269,959 | 2,049 | |||
373,878 | ||||||
Consumer Staples (4.1%) | ||||||
* | Darling Ingredients Inc. | 212,613 | 16,171 | |||
* | BJ's Wholesale Club Holdings Inc. | 177,606 | 13,230 | |||
Casey's General Stores Inc. | 48,859 | 10,445 | ||||
* | Performance Food Group Co. | 204,056 | 10,199 | |||
Ingredion Inc. | 87,159 | 7,589 | ||||
Flowers Foods Inc. | 262,371 | 7,163 | ||||
* | Post Holdings Inc. | 73,584 | 6,531 | |||
* | Celsius Holdings Inc. | 50,639 | 5,241 | |||
* | Grocery Outlet Holding Corp. | 115,277 | 4,625 | |||
Lancaster Colony Corp. | 26,070 | 4,394 | ||||
* | Sprouts Farmers Market Inc. | 144,221 | 4,168 | |||
* | Boston Beer Co. Inc. Class A | 12,361 | 4,167 | |||
* | BellRing Brands Inc. | 162,713 | 3,855 | |||
* | Coty Inc. Class A | 452,502 | 3,398 | |||
Coca-Cola Consolidated Inc. | 6,056 | 2,872 | ||||
Nu Skin Enterprises Inc. Class A | 66,078 | 2,705 | ||||
Energizer Holdings Inc. | 86,302 | 2,425 | ||||
* | Hain Celestial Group Inc. | 118,230 | 2,395 | |||
* | Pilgrim's Pride Corp. | 63,371 | 1,804 | |||
113,377 | ||||||
Energy (4.8%) | ||||||
Targa Resources Corp. | 300,048 | 20,472 | ||||
EQT Corp. | 389,164 | 18,602 | ||||
* | Range Resources Corp. | 341,188 | 11,211 | |||
* | Southwestern Energy Co. | 1,469,261 | 11,005 | |||
HF Sinclair Corp. | 196,852 | 10,360 | ||||
NOV Inc. | 516,948 | 9,135 | ||||
Matador Resources Co. | 146,164 | 8,711 | ||||
PDC Energy Inc. | 125,637 | 8,532 | ||||
Murphy Oil Corp. | 192,330 | 7,495 | ||||
DT Midstream Inc. | 127,375 | 7,032 | ||||
ChampionX Corp. | 267,974 | 5,845 | ||||
Equitrans Midstream Corp. | 535,945 | 4,968 | ||||
* | CNX Resources Corp. | 256,646 | 4,535 | |||
Antero Midstream Corp. | 428,855 | 4,319 | ||||
132,222 |
Shares | Market Value• ($000) | |||||
Financials (14.7%) | ||||||
First Horizon Corp. | 704,142 | 15,928 | ||||
* | Alleghany Corp. | 17,711 | 14,898 | |||
East West Bancorp Inc. | 186,787 | 13,480 | ||||
American Financial Group Inc. | 87,367 | 11,155 | ||||
Reinsurance Group of America Inc. | 88,175 | 11,054 | ||||
Webster Financial Corp. | 234,422 | 11,030 | ||||
Unum Group | 264,685 | 10,018 | ||||
Commerce Bancshares Inc. | 144,634 | 9,946 | ||||
Cullen/Frost Bankers Inc. | 75,100 | 9,760 | ||||
Prosperity Bancshares Inc. | 121,340 | 8,601 | ||||
Stifel Financial Corp. | 140,272 | 8,320 | ||||
Voya Financial Inc. | 134,477 | 8,274 | ||||
Old Republic International Corp. | 377,444 | 8,243 | ||||
Pinnacle Financial Partners Inc. | 100,544 | 8,115 | ||||
Jefferies Financial Group Inc. | 252,194 | 8,093 | ||||
RenaissanceRe Holdings Ltd. | 58,168 | 7,868 | ||||
Synovus Financial Corp. | 191,311 | 7,683 | ||||
First American Financial Corp. | 141,392 | 7,564 | ||||
SEI Investments Co. | 137,368 | 7,514 | ||||
Glacier Bancorp Inc. | 142,903 | 7,242 | ||||
First Financial Bankshares Inc. | 169,136 | 7,190 | ||||
Kinsale Capital Group Inc. | 28,349 | 7,189 | ||||
Interactive Brokers Group Inc. Class A | 115,129 | 7,091 | ||||
Wintrust Financial Corp. | 79,366 | 6,694 | ||||
United Bankshares Inc. | 178,720 | 6,630 | ||||
Affiliated Managers Group Inc. | 50,927 | 6,486 | ||||
Old National Bancorp | 385,747 | 6,438 | ||||
Valley National Bancorp | 553,340 | 6,430 | ||||
Primerica Inc. | 50,674 | 6,423 | ||||
Selective Insurance Group Inc. | 79,484 | 6,313 | ||||
Cadence Bank | 241,609 | 6,156 | ||||
Hanover Insurance Group Inc. | 46,876 | 6,065 | ||||
New York Community Bancorp Inc. | 614,985 | 6,021 | ||||
Bank OZK | 148,483 | 6,018 | ||||
Home BancShares Inc. | 249,144 | 5,862 | ||||
MGIC Investment Corp. | 407,776 | 5,827 | ||||
RLI Corp. | 52,526 | 5,765 | ||||
Essent Group Ltd. | 141,755 | 5,669 | ||||
Hancock Whitney Corp. | 113,770 | 5,487 | ||||
SLM Corp. | 354,733 | 5,420 | ||||
FNB Corp. | 444,266 | 5,296 |
Shares | Market Value• ($000) | |||||
Janus Henderson Group plc | 221,052 | 5,173 | ||||
UMB Financial Corp. | 56,627 | 5,066 | ||||
Umpqua Holdings Corp. | 285,326 | 5,062 | ||||
Evercore Inc. Class A | 53,491 | 5,012 | ||||
* | Brighthouse Financial Inc. | 98,637 | 4,690 | |||
Cathay General Bancorp | 98,836 | 4,145 | ||||
Bank of Hawaii Corp. | 53,065 | 4,140 | ||||
Federated Hermes Inc. Class B | 120,758 | 4,113 | ||||
PacWest Bancorp | 154,369 | 4,065 | ||||
FirstCash Holdings Inc. | 51,783 | 4,037 | ||||
Associated Banc-Corp | 197,232 | 3,952 | ||||
* | Texas Capital Bancshares Inc. | 66,785 | 3,942 | |||
Kemper Corp. | 78,866 | 3,628 | ||||
Fulton Financial Corp. | 219,698 | 3,566 | ||||
Navient Corp. | 194,708 | 2,997 | ||||
International Bancshares Corp. | 69,913 | 2,917 | ||||
CNO Financial Group Inc. | 152,574 | 2,809 | ||||
Washington Federal Inc. | 85,954 | 2,751 | ||||
Bread Financial Holdings Inc. | 65,567 | 2,520 | ||||
Mercury General Corp. | 34,851 | 1,112 | ||||
400,953 | ||||||
Health Care (10.1%) | ||||||
* | Repligen Corp. | 67,859 | 14,886 | |||
* | Shockwave Medical Inc. | 47,117 | 13,987 | |||
* | United Therapeutics Corp. | 59,632 | 13,514 | |||
* | Neurocrine Biosciences Inc. | 125,816 | 13,164 | |||
* | Jazz Pharmaceuticals plc | 82,032 | 12,733 | |||
* | Masimo Corp. | 67,217 | 9,874 | |||
* | Acadia Healthcare Co. Inc. | 119,163 | 9,763 | |||
Chemed Corp. | 19,701 | 9,381 | ||||
* | Syneos Health Inc. | 135,017 | 8,116 | |||
* | Tenet Healthcare Corp. | 141,784 | 8,011 | |||
* | Envista Holdings Corp. | 214,067 | 7,940 | |||
* | Penumbra Inc. | 46,621 | 7,654 | |||
* | Exelixis Inc. | 422,229 | 7,490 | |||
* | Halozyme Therapeutics Inc. | 181,627 | 7,398 | |||
Bruker Corp. | 131,685 | 7,374 | ||||
* | HealthEquity Inc. | 111,083 | 7,340 | |||
Perrigo Co. plc | 177,148 | 6,629 | ||||
* | LHC Group Inc. | 40,867 | 6,599 | |||
Encompass Health Corp. | 131,408 | 6,382 | ||||
* | Globus Medical Inc. Class A | 104,426 | 6,181 | |||
* | Option Care Health Inc. | 196,720 | 6,090 | |||
* | STAAR Surgical Co. | 62,977 | 5,957 | |||
* | Omnicell Inc. | 58,210 | 5,954 | |||
* | Arrowhead Pharmaceuticals Inc. | 139,211 | 5,528 | |||
* | Medpace Holdings Inc. | 35,453 | 5,233 | |||
* | QuidelOrtho Corp. | 65,897 | 5,223 |
Shares | Market Value• ($000) | |||||
Azenta Inc. | 98,764 | 5,206 | ||||
* | Amedisys Inc. | 42,934 | 5,086 | |||
* | Haemonetics Corp. | 67,215 | 5,043 | |||
* | Integra LifeSciences Holdings Corp. | 93,975 | 4,484 | |||
* | ICU Medical Inc. | 26,464 | 4,208 | |||
* | LivaNova plc | 70,397 | 3,960 | |||
* | R1 RCM Inc. | 176,557 | 3,858 | |||
* | Tandem Diabetes Care Inc. | 84,079 | 3,846 | |||
* | Progyny Inc. | 93,095 | 3,743 | |||
Patterson Cos. Inc. | 114,604 | 3,196 | ||||
* | Enovis Corp. | 61,766 | 3,128 | |||
* | Inari Medical Inc. | 44,694 | 3,100 | |||
*,1 | Neogen Corp. | 142,024 | 2,968 | |||
* | NuVasive Inc. | 68,423 | 2,909 | |||
* | Sotera Health Co. | 130,430 | 2,206 | |||
275,342 | ||||||
Industrials (18.6%) | ||||||
Carlisle Cos. Inc. | 68,059 | 20,122 | ||||
Hubbell Inc. Class B | 70,641 | 14,573 | ||||
Graco Inc. | 222,728 | 14,219 | ||||
AECOM | 186,087 | 13,612 | ||||
* | Builders FirstSource Inc. | 227,419 | 13,329 | |||
Regal Rexnord Corp. | 88,198 | 12,135 | ||||
Watsco Inc. | 43,658 | 11,876 | ||||
Toro Co. | 137,600 | 11,411 | ||||
* | Axon Enterprise Inc. | 93,478 | 10,907 | |||
Knight-Swift Transportation Holdings Inc. Class A | 215,312 | 10,875 | ||||
Lincoln Electric Holdings Inc. | 76,467 | 10,452 | ||||
Owens Corning | 127,780 | 10,443 | ||||
Lennox International Inc. | 43,485 | 10,442 | ||||
* | Middleby Corp. | 71,590 | 10,296 | |||
Tetra Tech Inc. | 70,667 | 9,597 | ||||
* | Chart Industries Inc. | 47,199 | 9,150 | |||
* | Sunrun Inc. | 276,591 | 9,136 | |||
KBR Inc. | 183,738 | 8,875 | ||||
AGCO Corp. | 80,456 | 8,746 | ||||
* | CACI International Inc. Class A | 30,824 | 8,658 | |||
Donaldson Co. Inc. | 162,651 | 8,352 | ||||
MDU Resources Group Inc. | 267,698 | 8,071 | ||||
EMCOR Group Inc. | 67,329 | 8,007 | ||||
ITT Inc. | 109,900 | 7,971 | ||||
Valmont Industries Inc. | 28,057 | 7,767 | ||||
* | Clean Harbors Inc. | 65,927 | 7,741 | |||
* | Avis Budget Group Inc. | 45,131 | 7,554 | |||
Acuity Brands Inc. | 45,524 | 7,463 | ||||
Curtiss-Wright Corp. | 50,618 | 7,450 | ||||
Woodward Inc. | 79,833 | 7,430 | ||||
* | FTI Consulting Inc. | 45,385 | 7,289 | |||
nVent Electric plc | 219,029 | 7,219 | ||||
* | Saia Inc. | 34,762 | 7,190 |
Shares | Market Value• ($000) | |||||
Landstar System Inc. | 48,880 | 7,167 | ||||
* | Trex Co. Inc. | 149,009 | 6,972 | |||
Oshkosh Corp. | 86,618 | 6,909 | ||||
* | XPO Logistics Inc. | 130,211 | 6,826 | |||
Science Applications International Corp. | 73,504 | 6,694 | ||||
* | IAA Inc. | 176,466 | 6,575 | |||
* | ASGN Inc. | 67,278 | 6,506 | |||
Hexcel Corp. | 110,664 | 6,493 | ||||
* | Stericycle Inc. | 121,268 | 6,074 | |||
* | MasTec Inc. | 75,259 | 6,058 | |||
* | GXO Logistics Inc. | 133,986 | 5,946 | |||
Crane Holdings Co. | 62,755 | 5,922 | ||||
MSA Safety Inc. | 48,179 | 5,727 | ||||
* | Univar Solutions Inc. | 222,973 | 5,623 | |||
Timken Co. | 88,781 | 5,592 | ||||
* | Kirby Corp. | 79,279 | 5,316 | |||
Simpson Manufacturing Co. Inc. | 56,857 | 5,267 | ||||
Flowserve Corp. | 172,098 | 5,244 | ||||
Ryder System Inc. | 67,368 | 5,150 | ||||
Insperity Inc. | 46,835 | 5,106 | ||||
ManpowerGroup Inc. | 69,416 | 5,090 | ||||
Watts Water Technologies Inc. Class A | 36,134 | 5,005 | ||||
* | Fluor Corp. | 186,758 | 4,938 | |||
MSC Industrial Direct Co. Inc. Class A | 62,024 | 4,913 | ||||
GATX Corp. | 46,879 | 4,529 | ||||
* | Dycom Industries Inc. | 38,941 | 4,366 | |||
* | Mercury Systems Inc. | 75,808 | 3,649 | |||
Brink's Co. | 61,833 | 3,418 | ||||
EnerSys | 54,206 | 3,381 | ||||
* | JetBlue Airways Corp. | 422,145 | 3,289 | |||
Werner Enterprises Inc. | 77,931 | 3,101 | ||||
Terex Corp. | 91,231 | 3,031 | ||||
MillerKnoll Inc. | 99,715 | 2,760 | ||||
Kennametal Inc. | 108,793 | 2,550 | ||||
Esab Corp. | 60,078 | 2,469 | ||||
* | Vicor Corp. | 28,441 | 2,023 | |||
508,037 | ||||||
Information Technology (12.3%) | ||||||
* | First Solar Inc. | 130,488 | 16,644 | |||
* | Fair Isaac Corp. | 34,138 | 15,342 | |||
* | Wolfspeed Inc. | 120,759 | 13,703 | |||
* | Paylocity Holding Corp. | 52,250 | 12,592 | |||
* | Manhattan Associates Inc. | 83,088 | 11,737 | |||
Jabil Inc. | 185,873 | 11,208 | ||||
Genpact Ltd. | 224,230 | 10,534 | ||||
* | Ciena Corp. | 200,282 | 10,162 | |||
* | Lattice Semiconductor Corp. | 181,156 | 9,764 | |||
Cognex Corp. | 228,696 | 9,630 | ||||
* | WEX Inc. | 59,226 | 9,136 | |||
* | Arrow Electronics Inc. | 86,917 | 9,110 |
Shares | Market Value• ($000) | |||||
* | II-VI Inc. | 169,853 | 8,022 | |||
* | Aspen Technology Inc. | 36,996 | 7,791 | |||
Littelfuse Inc. | 32,571 | 7,727 | ||||
* | Lumentum Holdings Inc. | 90,845 | 7,590 | |||
Western Union Co. | 508,116 | 7,530 | ||||
MKS Instruments Inc. | 75,175 | 7,488 | ||||
Concentrix Corp. | 56,642 | 7,124 | ||||
National Instruments Corp. | 172,684 | 6,866 | ||||
* | Qualys Inc. | 43,979 | 6,680 | |||
Universal Display Corp. | 57,178 | 6,389 | ||||
* | Novanta Inc. | 47,008 | 6,285 | |||
* | Silicon Laboratories Inc. | 48,161 | 6,036 | |||
* | Synaptics Inc. | 52,138 | 6,028 | |||
���* | Euronet Worldwide Inc. | 66,564 | 5,902 | |||
* | Cirrus Logic Inc. | 75,417 | 5,784 | |||
Avnet Inc. | 128,667 | 5,647 | ||||
* | NCR Corp. | 179,911 | 5,586 | |||
Power Integrations Inc. | 76,774 | 5,492 | ||||
TD SYNNEX Corp. | 54,440 | 5,242 | ||||
Maximus Inc. | 80,727 | 4,891 | ||||
Vontier Corp. | 212,242 | 4,652 | ||||
* | Teradata Corp. | 137,645 | 4,529 | |||
* | Calix Inc. | 73,082 | 4,301 | |||
* | IPG Photonics Corp. | 45,699 | 4,140 | |||
* | Semtech Corp. | 83,458 | 3,855 | |||
Belden Inc. | 58,207 | 3,811 | ||||
* | Envestnet Inc. | 72,550 | 3,799 | |||
* | Viasat Inc. | 97,889 | 3,718 | |||
* | ACI Worldwide Inc. | 151,037 | 3,580 | |||
* | MACOM Technology Solutions Holdings Inc. | 64,424 | 3,553 | |||
Vishay Intertechnology Inc. | 173,478 | 3,412 | ||||
* | CommVault Systems Inc. | 58,665 | 3,185 | |||
* | Blackbaud Inc. | 59,871 | 3,131 | |||
* | Sabre Corp. | 429,982 | 3,092 | |||
Amkor Technology Inc. | 132,075 | 2,659 | ||||
* | SunPower Corp. | 109,879 | 2,637 | |||
Xerox Holdings Corp. | 157,168 | 2,612 | ||||
* | Kyndryl Holdings Inc. | 236,501 | 2,464 | |||
* | SiTime Corp. | 20,491 | 2,180 | |||
* | Digital Turbine Inc. | 175 | 3 | |||
334,975 | ||||||
Materials (7.1%) | ||||||
Steel Dynamics Inc. | 235,949 | 19,046 | ||||
RPM International Inc. | 170,455 | 15,879 | ||||
Reliance Steel & Aluminum Co. | 81,545 | 15,329 | ||||
Alcoa Corp. | 242,802 | 12,014 | ||||
* | Cleveland-Cliffs Inc. | 628,505 | 10,854 | |||
Olin Corp. | 182,673 | 9,985 | ||||
AptarGroup Inc. | 86,322 | 8,875 | ||||
Sonoco Products Co. | 128,357 | 8,089 | ||||
Royal Gold Inc. | 86,406 | 7,941 | ||||
United States Steel Corp. | 343,123 | 7,847 | ||||
Chemours Co. | 204,713 | 6,905 |
Shares | Market Value• ($000) | |||||
Valvoline Inc. | 234,709 | 6,823 | ||||
Ashland Inc. | 66,793 | 6,797 | ||||
Commercial Metals Co. | 159,999 | 6,481 | ||||
Eagle Materials Inc. | 52,024 | 6,223 | ||||
Louisiana-Pacific Corp. | 108,170 | 5,866 | ||||
Cabot Corp. | 74,171 | 5,338 | ||||
Avient Corp. | 120,337 | 5,274 | ||||
Silgan Holdings Inc. | 110,688 | 5,042 | ||||
Sensient Technologies Corp. | 55,338 | 4,409 | ||||
* | Ingevity Corp. | 50,964 | 3,575 | |||
Scotts Miracle-Gro Co. | 53,160 | 3,559 | ||||
* | MP Materials Corp. | 98,060 | 3,431 | |||
NewMarket Corp. | 8,912 | 2,560 | ||||
Minerals Technologies Inc. | 43,444 | 2,531 | ||||
Greif Inc. Class A | 35,067 | 2,351 | ||||
Worthington Industries Inc. | 42,356 | 2,160 | ||||
195,184 | ||||||
Real Estate (8.4%) | ||||||
Life Storage Inc. | 111,069 | 14,134 | ||||
Rexford Industrial Realty Inc. | 217,268 | 13,516 | ||||
Healthcare Realty Trust Inc. Class A | 501,188 | 12,189 | ||||
Medical Properties Trust Inc. | 789,899 | 11,540 | ||||
* | Jones Lang LaSalle Inc. | 64,317 | 11,127 | |||
Lamar Advertising Co. Class A | 114,608 | 10,761 | ||||
National Retail Properties Inc. | 231,607 | 10,399 | ||||
Omega Healthcare Investors Inc. | 309,648 | 10,113 | ||||
EastGroup Properties Inc. | 54,875 | 9,056 | ||||
STORE Capital Corp. | 332,373 | 8,967 | ||||
First Industrial Realty Trust Inc. | 173,789 | 8,808 | ||||
Brixmor Property Group Inc. | 394,343 | 8,471 | ||||
Apartment Income REIT Corp. Class A | 206,783 | 8,447 | ||||
Spirit Realty Capital Inc. | 176,805 | 7,222 | ||||
Rayonier Inc. | 192,618 | 6,842 | ||||
Kilroy Realty Corp. | 138,285 | 6,744 | ||||
Independence Realty Trust Inc. | 290,869 | 5,657 | ||||
National Storage Affiliates Trust | 110,796 | 5,597 | ||||
Kite Realty Group Trust | 288,490 | 5,585 | ||||
Cousins Properties Inc. | 195,978 | 5,262 | ||||
Physicians Realty Trust | 296,955 | 4,947 | ||||
Sabra Health Care REIT Inc. | 303,708 | 4,547 | ||||
Douglas Emmett Inc. | 231,090 | 4,511 | ||||
EPR Properties | 98,816 | 4,298 | ||||
Park Hotels & Resorts Inc. | 306,900 | 4,297 |
Shares | Market Value• ($000) | |||||
PotlatchDeltic Corp. | 91,252 | 4,236 | ||||
Highwoods Properties Inc. | 138,286 | 4,205 | ||||
Corporate Office Properties Trust | 147,753 | 3,818 | ||||
SL Green Realty Corp. | 84,287 | 3,723 | ||||
JBG SMITH Properties | 142,997 | 3,142 | ||||
Pebblebrook Hotel Trust | 172,774 | 3,044 | ||||
Macerich Co. | 282,432 | 2,703 | ||||
Hudson Pacific Properties Inc. | 190,408 | 2,515 | ||||
230,423 | ||||||
Utilities (4.1%) | ||||||
Essential Utilities Inc. | 303,077 | 14,896 | ||||
UGI Corp. | 276,327 | 10,915 | ||||
OGE Energy Corp. | 263,527 | 10,683 | ||||
National Fuel Gas Co. | 120,397 | 8,581 | ||||
IDACORP Inc. | 66,571 | 7,272 | ||||
Southwest Gas Holdings Inc. | 88,027 | 6,853 | ||||
Black Hills Corp. | 85,366 | 6,444 | ||||
Portland General Electric Co. | 117,482 | 6,070 | ||||
Hawaiian Electric Industries Inc. | 144,131 | 5,638 | ||||
New Jersey Resources Corp. | 126,671 | 5,591 | ||||
ONE Gas Inc. | 71,252 | 5,577 | ||||
Ormat Technologies Inc. | 59,111 | 5,526 | ||||
PNM Resources Inc. | 112,816 | 5,351 | ||||
Spire Inc. | 68,678 | 4,800 | ||||
ALLETE Inc. | 75,039 | 4,441 | ||||
NorthWestern Corp. | 71,165 | 3,770 | ||||
112,408 | ||||||
Total Common Stocks (Cost $2,456,057) | 2,719,003 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 2.284% (Cost $27,726) | 277,369 | 27,728 | |||
Total Investments (100.4%) (Cost $2,483,783) | 2,746,731 | |||||
Other Assets and Liabilities—Net (-0.4%) | (11,282) | |||||
Net Assets (100%) | 2,735,449 |
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 $14,854,000. |
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 $15,884,000 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 | September 2022 | 44 | 10,693 | 134 |
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) |
Wolfspeed Inc. | 8/31/23 | BANA | 4,766 | (2.581) | — | — |
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 Value1 | |
Unaffiliated Issuers (Cost $2,456,057) | 2,719,003 |
Affiliated Issuers (Cost $27,726) | 27,728 |
Total Investments in Securities | 2,746,731 |
Investment in Vanguard | 101 |
Cash Collateral Pledged—Futures Contracts | 600 |
Receivables for Investment Securities Sold | 2,623 |
Receivables for Accrued Income | 2,944 |
Receivables for Capital Shares Issued | 229 |
Total Assets | 2,753,228 |
Liabilities | |
Due to Custodian | 1,326 |
Payables for Investment Securities Purchased | 25 |
Collateral for Securities on Loan | 15,884 |
Payables for Capital Shares Redeemed | 354 |
Payables to Vanguard | 114 |
Variation Margin Payable—Futures Contracts | 76 |
Total Liabilities | 17,779 |
Net Assets | 2,735,449 |
1 Includes $14,854 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 2,714,718 |
Total Distributable Earnings (Loss) | 20,731 |
Net Assets | 2,735,449 |
ETF Shares—Net Assets | |
Applicable to 8,576,157 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,410,817 |
Net Asset Value Per Share—ETF Shares | $164.50 |
Institutional Shares—Net Assets | |
Applicable to 4,037,142 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,324,632 |
Net Asset Value Per Share—Institutional Shares | $328.11 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 42,707 |
Interest1 | 59 |
Securities Lending—Net | 613 |
Total Income | 43,379 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 326 |
Management and Administrative—ETF Shares | 1,136 |
Management and Administrative—Institutional Shares | 861 |
Marketing and Distribution—ETF Shares | 80 |
Marketing and Distribution—Institutional Shares | 43 |
Custodian Fees | 42 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 50 |
Shareholders’ Reports—Institutional Shares | 13 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 14 |
Total Expenses | 2,594 |
Expenses Paid Indirectly | (2) |
Net Expenses | 2,592 |
Net Investment Income | 40,787 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 144,106 |
Futures Contracts | (2,137) |
Swap Contracts | 886 |
Realized Net Gain (Loss) | 142,855 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (503,103) |
Futures Contracts | 115 |
Swap Contracts | — |
Change in Unrealized Appreciation (Depreciation) | (502,988) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (319,346) |
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 $59,000, ($11,000), less than $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $162,155,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 40,787 | 31,769 |
Realized Net Gain (Loss) | 142,855 | 185,294 |
Change in Unrealized Appreciation (Depreciation) | (502,988) | 699,605 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (319,346) | 916,668 |
Distributions | ||
ETF Shares | (19,007) | (14,119) |
Institutional Shares | (18,307) | (16,856) |
Total Distributions | (37,314) | (30,975) |
Capital Share Transactions | ||
ETF Shares | 119,621 | 182,048 |
Institutional Shares | 100,708 | (248,994) |
Net Increase (Decrease) from Capital Share Transactions | 220,329 | (66,946) |
Total Increase (Decrease) | (136,331) | 818,747 |
Net Assets | ||
Beginning of Period | 2,871,780 | 2,053,033 |
End of Period | 2,735,449 | 2,871,780 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $186.16 | $130.31 | $127.18 | $138.01 | $116.74 |
Investment Operations | |||||
Net Investment Income1 | 2.494 | 1.996 | 1.959 | 1.880 | 1.778 |
Net Realized and Unrealized Gain (Loss) on Investments | (21.857) | 55.805 | 3.205 | (10.864) | 21.199 |
Total from Investment Operations | (19.363) | 57.801 | 5.164 | (8.984) | 22.977 |
Distributions | |||||
Dividends from Net Investment Income | (2.297) | (1.951) | (2.034) | (1.846) | (1.707) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.297) | (1.951) | (2.034) | (1.846) | (1.707) |
Net Asset Value, End of Period | $164.50 | $186.16 | $130.31 | $127.18 | $138.01 |
Total Return | -10.47% | 44.65% | 4.11% | -6.50% | 19.82% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,411 | $1,476 | $890 | $919 | $973 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.41% | 1.21% | 1.57% | 1.47% | 1.38% |
Portfolio Turnover Rate3 | 11% | 16% | 17% | 10% | 12% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
3 | 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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $371.30 | $259.90 | $253.60 | $275.26 | $232.82 |
Investment Operations | |||||
Net Investment Income1 | 5.037 | 4.038 | 3.959 | 3.786 | 3.711 |
Net Realized and Unrealized Gain (Loss) on Investments | (43.574) | 111.307 | 6.384 | (21.653) | 42.301 |
Total from Investment Operations | (38.537) | 115.345 | 10.343 | (17.867) | 46.012 |
Distributions | |||||
Dividends from Net Investment Income | (4.653) | (3.945) | (4.043) | (3.793) | (3.572) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.653) | (3.945) | (4.043) | (3.793) | (3.572) |
Net Asset Value, End of Period | $328.11 | $371.30 | $259.90 | $253.60 | $275.26 |
Total Return | -10.43% | 44.69% | 4.14% | -6.49% | 19.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,325 | $1,396 | $1,164 | $1,202 | $1,420 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.24% | 1.59% | 1.49% | 1.45% |
Portfolio Turnover Rate3 | 11% | 16% | 17% | 10% | 12% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
3 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,719,003 | — | — | 2,719,003 |
Temporary Cash Investments | 27,728 | — | — | 27,728 |
Total | 2,746,731 | — | — | 2,746,731 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 134 | — | — | 134 |
Swap Contracts | — | — | — | — |
Total | 134 | — | — | 134 |
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. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 161,823 |
Total Distributable Earnings (Loss) | (161,823) |
Amount ($000) | |
Undistributed Ordinary Income | 10,997 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (243,921) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 253,655 |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 37,314 | 30,975 |
Long-Term Capital Gains | — | — |
Total | 37,314 | 30,975 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 2,493,076 |
Gross Unrealized Appreciation | 517,361 |
Gross Unrealized Depreciation | (263,706) |
Net Unrealized Appreciation (Depreciation) | 253,655 |
F. | During the year ended August 31, 2022, the fund purchased $922,410,000 of investment securities and sold $710,283,000 of investment securities, other than temporary cash investments. Purchases and sales include $414,079,000 and $385,948,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
G. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 520,086 | 2,925 | 666,229 | 4,125 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (400,465) | (2,275) | (484,181) | (3,025) | |
Net Increase (Decrease)—ETF Shares | 119,621 | 650 | 182,048 | 1,100 |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 239,857 | 682 | 157,041 | 500 | |
Issued in Lieu of Cash Distributions | 17,388 | 51 | 16,165 | 52 | |
Redeemed | (156,537) | (456) | (422,200) | (1,269) | |
Net Increase (Decrease)—Institutional Shares | 100,708 | 277 | (248,994) | (717) |
H. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value | -5.34% | 8.46% | 11.16% | $28,816 | |
S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price | -5.34 | 8.47 | 11.16 | 28,810 | |
S&P MidCap 400 Value Index | -5.18 | 8.61 | 11.34 | 29,286 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Value Index Fund Institutional Shares | -5.23% | 8.56% | 11.28% | $14,560,445 | |
S&P MidCap 400 Value Index | -5.18 | 8.61 | 11.34 | 14,643,172 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 16,470,991 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price | -5.34% | 50.18% | 188.10% |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value | -5.34 | 50.11 | 188.16 |
S&P MidCap 400 Value Index | -5.18 | 51.16 | 192.86 |
Communication Services | 1.2% |
Consumer Discretionary | 12.1 |
Consumer Staples | 6.0 |
Energy | 4.2 |
Financials | 17.6 |
Health Care | 7.0 |
Industrials | 19.0 |
Information Technology | 9.9 |
Materials | 6.7 |
Real Estate | 9.7 |
Utilities | 6.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.5%) | ||||||
Communication Services (1.3%) | ||||||
* | Iridium Communications Inc. | 49,394 | 2,192 | |||
TEGNA Inc. | 101,622 | 2,175 | ||||
Cable One Inc. | 1,695 | 1,924 | ||||
New York Times Co. Class A | 57,375 | 1,749 | ||||
* | TripAdvisor Inc. | 47,857 | 1,139 | |||
World Wrestling Entertainment Inc. Class A | 13,533 | 920 | ||||
John Wiley & Sons Inc. Class A | 17,871 | 823 | ||||
10,922 | ||||||
Consumer Discretionary (12.0%) | ||||||
Lear Corp. | 49,089 | 6,806 | ||||
Lithia Motors Inc. Class A | 23,755 | 6,305 | ||||
Murphy USA Inc. | 18,278 | 5,304 | ||||
Leggett & Platt Inc. | 109,670 | 4,192 | ||||
Macy's Inc. | 233,876 | 4,051 | ||||
Toll Brothers Inc. | 90,546 | 3,965 | ||||
Thor Industries Inc. | 45,181 | 3,660 | ||||
* | Goodyear Tire & Rubber Co. | 231,979 | 3,255 | |||
H&R Block Inc. | 70,755 | 3,184 | ||||
Kohl's Corp. | 105,579 | 3,001 | ||||
Travel + Leisure Co. | 70,134 | 2,974 | ||||
Polaris Inc. | 26,171 | 2,964 | ||||
* | Visteon Corp. | 23,083 | 2,766 | |||
Marriott Vacations Worldwide Corp. | 18,709 | 2,665 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 47,895 | 2,649 | |||
* | Adient plc | 77,870 | 2,585 | |||
Foot Locker Inc. | 68,591 | 2,527 | ||||
Hanesbrands Inc. | 286,360 | 2,494 | ||||
Gentex Corp. | 90,416 | 2,467 | ||||
* | Taylor Morrison Home Corp. Class A | 98,251 | 2,467 | |||
Carter's Inc. | 33,081 | 2,443 | ||||
* | Capri Holdings Ltd. | 47,226 | 2,228 | |||
* | Skechers USA Inc. Class A | 58,697 | 2,219 | |||
* | Grand Canyon Education Inc. | 26,541 | 2,160 | |||
* | Callaway Golf Co. | 95,448 | 2,112 |
Shares | Market Value• ($000) | |||||
Cracker Barrel Old Country Store Inc. | 19,071 | 2,058 | ||||
KB Home | 71,144 | 2,038 | ||||
Texas Roadhouse Inc. Class A | 22,353 | 1,984 | ||||
Harley-Davidson Inc. | 51,006 | 1,967 | ||||
* | AutoNation Inc. | 15,465 | 1,927 | |||
Dana Inc. | 117,499 | 1,818 | ||||
Graham Holdings Co. Class B | 3,211 | 1,816 | ||||
Wyndham Hotels & Resorts Inc. | 26,418 | 1,726 | ||||
Gap Inc. | 172,830 | 1,580 | ||||
Nordstrom Inc. | 91,545 | 1,566 | ||||
Wendy's Co. | 70,576 | 1,354 | ||||
Choice Hotels International Inc. | 8,671 | 995 | ||||
* | Victoria's Secret & Co. | 28,529 | 954 | |||
Columbia Sportswear Co. | 12,900 | 919 | ||||
American Eagle Outfitters Inc. | 73,579 | 828 | ||||
* | Under Armour Inc. Class A | 87,687 | 738 | |||
* | Under Armour Inc. Class C | 95,510 | 725 | |||
106,436 | ||||||
Consumer Staples (6.0%) | ||||||
* | BJ's Wholesale Club Holdings Inc. | 110,756 | 8,250 | |||
Casey's General Stores Inc. | 30,468 | 6,513 | ||||
* | Performance Food Group Co. | 127,255 | 6,360 | |||
Ingredion Inc. | 54,366 | 4,734 | ||||
Flowers Foods Inc. | 163,618 | 4,467 | ||||
* | Post Holdings Inc. | 45,884 | 4,073 | |||
* | Grocery Outlet Holding Corp. | 71,995 | 2,888 | |||
* | Sprouts Farmers Market Inc. | 90,004 | 2,601 | |||
* | BellRing Brands Inc. | 101,309 | 2,400 | |||
* | Coty Inc. Class A | 282,189 | 2,119 | |||
Nu Skin Enterprises Inc. Class A | 41,158 | 1,685 | ||||
Energizer Holdings Inc. | 53,690 | 1,509 | ||||
* | Hain Celestial Group Inc. | 73,560 | 1,490 | |||
Lancaster Colony Corp. | 8,489 | 1,431 |
Shares | Market Value• ($000) | |||||
* | Pilgrim's Pride Corp. | 39,583 | 1,127 | |||
* | Boston Beer Co. Inc. Class A | 3,093 | 1,043 | |||
52,690 | ||||||
Energy (4.2%) | ||||||
EQT Corp. | 242,704 | 11,602 | ||||
HF Sinclair Corp. | 122,793 | 6,463 | ||||
NOV Inc. | 322,567 | 5,700 | ||||
Equitrans Midstream Corp. | 334,000 | 3,096 | ||||
DT Midstream Inc. | 46,069 | 2,543 | ||||
* | Southwestern Energy Co. | 329,884 | 2,471 | |||
* | Range Resources Corp. | 65,887 | 2,165 | |||
ChampionX Corp. | 88,341 | 1,927 | ||||
* | CNX Resources Corp. | 85,134 | 1,504 | |||
37,471 | ||||||
Financials (17.5%) | ||||||
First Horizon Corp. | 439,114 | 9,933 | ||||
* | Alleghany Corp. | 11,046 | 9,292 | |||
Reinsurance Group of America Inc. | 55,000 | 6,895 | ||||
Unum Group | 165,107 | 6,249 | ||||
Prosperity Bancshares Inc. | 75,698 | 5,365 | ||||
Voya Financial Inc. | 83,898 | 5,162 | ||||
Old Republic International Corp. | 235,412 | 5,141 | ||||
RenaissanceRe Holdings Ltd. | 36,279 | 4,907 | ||||
United Bankshares Inc. | 111,444 | 4,135 | ||||
Webster Financial Corp. | 86,280 | 4,059 | ||||
Old National Bancorp | 240,555 | 4,015 | ||||
Valley National Bancorp | 345,085 | 4,010 | ||||
Selective Insurance Group Inc. | 49,548 | 3,935 | ||||
Cadence Bank | 150,669 | 3,839 | ||||
Hanover Insurance Group Inc. | 29,220 | 3,781 | ||||
New York Community Bancorp Inc. | 383,505 | 3,754 | ||||
American Financial Group Inc. | 28,879 | 3,687 | ||||
MGIC Investment Corp. | 254,237 | 3,633 | ||||
Essent Group Ltd. | 88,351 | 3,533 | ||||
FNB Corp. | 277,281 | 3,305 | ||||
Commerce Bancshares Inc. | 45,104 | 3,102 | ||||
* | Brighthouse Financial Inc. | 61,508 | 2,925 | |||
Synovus Financial Corp. | 71,612 | 2,876 | ||||
Cullen/Frost Bankers Inc. | 20,607 | 2,678 | ||||
First American Financial Corp. | 47,620 | 2,548 | ||||
FirstCash Holdings Inc. | 32,333 | 2,521 | ||||
Associated Banc-Corp | 123,281 | 2,470 | ||||
* | Texas Capital Bancshares Inc. | 41,658 | 2,459 | |||
Home BancShares Inc. | 97,784 | 2,301 | ||||
Kemper Corp. | 49,244 | 2,265 | ||||
Fulton Financial Corp. | 137,165 | 2,226 |
Shares | Market Value• ($000) | |||||
Wintrust Financial Corp. | 24,745 | 2,087 | ||||
Bank OZK | 49,065 | 1,989 | ||||
Umpqua Holdings Corp. | 112,139 | 1,989 | ||||
SEI Investments Co. | 35,075 | 1,919 | ||||
Hancock Whitney Corp. | 38,932 | 1,878 | ||||
International Bancshares Corp. | 43,594 | 1,819 | ||||
CNO Financial Group Inc. | 95,201 | 1,753 | ||||
Janus Henderson Group plc | 74,278 | 1,738 | ||||
Washington Federal Inc. | 53,516 | 1,713 | ||||
Interactive Brokers Group Inc. Class A | 27,238 | 1,678 | ||||
Cathay General Bancorp | 37,571 | 1,576 | ||||
Bread Financial Holdings Inc. | 40,798 | 1,568 | ||||
Primerica Inc. | 12,005 | 1,522 | ||||
Bank of Hawaii Corp. | 19,243 | 1,501 | ||||
RLI Corp. | 13,067 | 1,434 | ||||
Federated Hermes Inc. Class B | 40,008 | 1,363 | ||||
Mercury General Corp. | 21,891 | 698 | ||||
155,226 | ||||||
Health Care (6.9%) | ||||||
* | Jazz Pharmaceuticals plc | 51,164 | 7,942 | |||
* | Acadia Healthcare Co. Inc. | 74,320 | 6,089 | |||
* | Envista Holdings Corp. | 133,510 | 4,952 | |||
* | United Therapeutics Corp. | 19,338 | 4,382 | |||
Perrigo Co. plc | 110,474 | 4,134 | ||||
* | LHC Group Inc. | 25,475 | 4,113 | |||
Encompass Health Corp. | 81,943 | 3,980 | ||||
* | Amedisys Inc. | 26,742 | 3,168 | |||
* | Haemonetics Corp. | 41,961 | 3,148 | |||
Chemed Corp. | 5,284 | 2,516 | ||||
* | Exelixis Inc. | 123,755 | 2,195 | |||
Patterson Cos. Inc. | 71,339 | 1,990 | ||||
* | NuVasive Inc. | 42,727 | 1,816 | |||
* | Globus Medical Inc. Class A | 25,986 | 1,538 | |||
* | HealthEquity Inc. | 22,784 | 1,506 | |||
* | ICU Medical Inc. | 8,710 | 1,385 | |||
* | Integra LifeSciences Holdings Corp. | 28,688 | 1,369 | |||
* | Enovis Corp. | 22,848 | 1,157 | |||
* | R1 RCM Inc. | 46,441 | 1,015 | |||
* | LivaNova plc | 17,605 | 990 | |||
* | Progyny Inc. | 22,157 | 891 | |||
*,1 | Neogen Corp. | 37,297 | 780 | |||
* | Sotera Health Co. | 19,567 | 331 | |||
61,387 | ||||||
Industrials (18.9%) | ||||||
AECOM | 116,063 | 8,490 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 134,307 | 6,784 | ||||
Owens Corning | 79,705 | 6,514 | ||||
* | Sunrun Inc. | 172,504 | 5,698 | |||
AGCO Corp. | 50,187 | 5,456 |
Shares | Market Value• ($000) | |||||
* | CACI International Inc. Class A | 19,225 | 5,400 | |||
MDU Resources Group Inc. | 166,982 | 5,034 | ||||
EMCOR Group Inc. | 41,998 | 4,994 | ||||
Curtiss-Wright Corp. | 31,564 | 4,646 | ||||
Woodward Inc. | 49,794 | 4,634 | ||||
Regal Rexnord Corp. | 31,914 | 4,391 | ||||
Oshkosh Corp. | 54,033 | 4,310 | ||||
* | XPO Logistics Inc. | 81,221 | 4,258 | |||
Hubbell Inc. Class B | 20,269 | 4,181 | ||||
Science Applications International Corp. | 45,834 | 4,174 | ||||
Hexcel Corp. | 69,011 | 4,049 | ||||
* | Stericycle Inc. | 75,631 | 3,788 | |||
Graco Inc. | 55,589 | 3,549 | ||||
* | Univar Solutions Inc. | 138,967 | 3,505 | |||
Timken Co. | 55,400 | 3,490 | ||||
* | Kirby Corp. | 49,513 | 3,320 | |||
Flowserve Corp. | 107,279 | 3,269 | ||||
Ryder System Inc. | 41,998 | 3,210 | ||||
ManpowerGroup Inc. | 43,309 | 3,175 | ||||
* | Fluor Corp. | 116,595 | 3,083 | |||
MSC Industrial Direct Co. Inc. Class A | 38,754 | 3,070 | ||||
GATX Corp. | 29,238 | 2,825 | ||||
Lincoln Electric Holdings Inc. | 20,039 | 2,739 | ||||
Lennox International Inc. | 11,393 | 2,736 | ||||
Donaldson Co. Inc. | 49,730 | 2,554 | ||||
Watsco Inc. | 9,254 | 2,517 | ||||
* | Middleby Corp. | 16,068 | 2,311 | |||
* | Mercury Systems Inc. | 47,350 | 2,279 | |||
ITT Inc. | 30,149 | 2,187 | ||||
Brink's Co. | 38,576 | 2,132 | ||||
EnerSys | 33,843 | 2,111 | ||||
* | JetBlue Airways Corp. | 263,474 | 2,052 | |||
* | Clean Harbors Inc. | 16,826 | 1,976 | |||
KBR Inc. | 40,046 | 1,934 | ||||
Werner Enterprises Inc. | 48,545 | 1,932 | ||||
Terex Corp. | 56,828 | 1,888 | ||||
* | IAA Inc. | 50,543 | 1,883 | |||
Crane Holdings Co. | 19,957 | 1,883 | ||||
* | MasTec Inc. | 22,964 | 1,849 | |||
nVent Electric plc | 55,958 | 1,844 | ||||
MSA Safety Inc. | 14,693 | 1,746 | ||||
MillerKnoll Inc. | 62,150 | 1,720 | ||||
* | Dycom Industries Inc. | 14,809 | 1,660 | |||
Kennametal Inc. | 67,735 | 1,588 | ||||
Landstar System Inc. | 10,644 | 1,561 | ||||
Esab Corp. | 22,170 | 911 | ||||
167,290 | ||||||
Information Technology (9.9%) | ||||||
* | Arrow Electronics Inc. | 54,227 | 5,683 | |||
* | Wolfspeed Inc. | 45,678 | 5,183 | |||
Western Union Co. | 316,954 | 4,697 | ||||
* | First Solar Inc. | 33,367 | 4,256 |
Shares | Market Value• ($000) | |||||
* | Fair Isaac Corp. | 8,941 | 4,018 | |||
Jabil Inc. | 64,938 | 3,916 | ||||
Avnet Inc. | 80,218 | 3,521 | ||||
* | NCR Corp. | 112,142 | 3,482 | |||
TD SYNNEX Corp. | 33,942 | 3,268 | ||||
* | WEX Inc. | 21,053 | 3,247 | |||
Vontier Corp. | 132,235 | 2,899 | ||||
* | Lumentum Holdings Inc. | 31,160 | 2,603 | |||
* | II-VI Inc. | 55,095 | 2,602 | |||
* | IPG Photonics Corp. | 28,541 | 2,585 | |||
* | Euronet Worldwide Inc. | 27,393 | 2,429 | |||
Belden Inc. | 36,349 | 2,380 | ||||
* | Ciena Corp. | 46,226 | 2,345 | |||
* | Viasat Inc. | 61,078 | 2,320 | |||
Genpact Ltd. | 47,550 | 2,234 | ||||
Cognex Corp. | 52,784 | 2,223 | ||||
Vishay Intertechnology Inc. | 108,201 | 2,128 | ||||
MKS Instruments Inc. | 21,108 | 2,103 | ||||
National Instruments Corp. | 50,551 | 2,010 | ||||
* | Cirrus Logic Inc. | 24,421 | 1,873 | |||
Littelfuse Inc. | 7,705 | 1,828 | ||||
Xerox Holdings Corp. | 97,750 | 1,625 | ||||
* | Kyndryl Holdings Inc. | 147,104 | 1,533 | |||
* | Novanta Inc. | 10,256 | 1,371 | |||
* | ACI Worldwide Inc. | 49,759 | 1,179 | |||
* | Envestnet Inc. | 21,364 | 1,119 | |||
* | Sabre Corp. | 139,781 | 1,005 | |||
Amkor Technology Inc. | 48,767 | 982 | ||||
* | Semtech Corp. | 17,772 | 821 | |||
* | CommVault Systems Inc. | 12,858 | 698 | |||
* | Blackbaud Inc. | 13,125 | 686 | |||
* | MACOM Technology Solutions Holdings Inc. | 8,758 | 483 | |||
87,335 | ||||||
Materials (6.7%) | ||||||
Reliance Steel & Aluminum Co. | 50,866 | 9,562 | ||||
Sonoco Products Co. | 80,063 | 5,046 | ||||
United States Steel Corp. | 214,029 | 4,895 | ||||
RPM International Inc. | 52,101 | 4,854 | ||||
Alcoa Corp. | 90,869 | 4,496 | ||||
Chemours Co. | 127,648 | 4,305 | ||||
Commercial Metals Co. | 99,780 | 4,042 | ||||
Cabot Corp. | 46,341 | 3,335 | ||||
Silgan Holdings Inc. | 69,159 | 3,150 | ||||
AptarGroup Inc. | 29,081 | 2,990 | ||||
Ashland Inc. | 23,739 | 2,416 | ||||
Royal Gold Inc. | 21,536 | 1,979 | ||||
NewMarket Corp. | 5,543 | 1,592 | ||||
Minerals Technologies Inc. | 27,009 | 1,573 | ||||
Greif Inc. Class A | 21,779 | 1,460 | ||||
Worthington Industries Inc. | 26,255 | 1,339 | ||||
Sensient Technologies Corp. | 14,883 | 1,186 | ||||
* | Ingevity Corp. | 14,680 | 1,030 | |||
59,250 |
Shares | Market Value• ($000) | |||||
Real Estate (9.6%) | ||||||
Medical Properties Trust Inc. | 492,729 | 7,199 | ||||
Omega Healthcare Investors Inc. | 193,121 | 6,307 | ||||
STORE Capital Corp. | 207,365 | 5,595 | ||||
Spirit Realty Capital Inc. | 110,302 | 4,506 | ||||
Kilroy Realty Corp. | 86,260 | 4,207 | ||||
Healthcare Realty Trust Inc. Class A | 159,405 | 3,877 | ||||
National Retail Properties Inc. | 79,469 | 3,568 | ||||
* | Jones Lang LaSalle Inc. | 20,463 | 3,540 | |||
Kite Realty Group Trust | 179,876 | 3,482 | ||||
Cousins Properties Inc. | 122,204 | 3,281 | ||||
Physicians Realty Trust | 185,052 | 3,083 | ||||
Sabra Health Care REIT Inc. | 189,669 | 2,839 | ||||
Apartment Income REIT Corp. Class A | 68,393 | 2,794 | ||||
Park Hotels & Resorts Inc. | 191,638 | 2,683 | ||||
EPR Properties | 61,574 | 2,678 | ||||
Highwoods Properties Inc. | 86,389 | 2,627 | ||||
Corporate Office Properties Trust | 92,347 | 2,386 | ||||
Brixmor Property Group Inc. | 110,616 | 2,376 | ||||
SL Green Realty Corp. | 52,617 | 2,324 | ||||
Lamar Advertising Co. Class A | 24,289 | 2,280 | ||||
JBG SMITH Properties | 89,336 | 1,963 | ||||
Pebblebrook Hotel Trust | 107,700 | 1,898 | ||||
Rayonier Inc. | 47,949 | 1,703 | ||||
First Industrial Realty Trust Inc. | 33,530 | 1,699 | ||||
Macerich Co. | 175,982 | 1,684 | ||||
Hudson Pacific Properties Inc. | 118,555 | 1,566 | ||||
Douglas Emmett Inc. | 78,002 | 1,523 | ||||
PotlatchDeltic Corp. | 31,808 | 1,477 | ||||
85,145 | ||||||
Utilities (6.5%) | ||||||
UGI Corp. | 172,409 | 6,810 | ||||
IDACORP Inc. | 41,512 | 4,535 |
Shares | Market Value• ($000) | |||||
Southwest Gas Holdings Inc. | 54,883 | 4,273 | ||||
OGE Energy Corp. | 103,546 | 4,198 | ||||
Black Hills Corp. | 53,231 | 4,018 | ||||
Portland General Electric Co. | 73,259 | 3,785 | ||||
Hawaiian Electric Industries Inc. | 89,848 | 3,515 | ||||
New Jersey Resources Corp. | 78,949 | 3,485 | ||||
ONE Gas Inc. | 44,411 | 3,476 | ||||
Essential Utilities Inc. | 69,937 | 3,437 | ||||
PNM Resources Inc. | 70,477 | 3,343 | ||||
Spire Inc. | 42,803 | 2,991 | ||||
ALLETE Inc. | 46,802 | 2,770 | ||||
National Fuel Gas Co. | 36,036 | 2,568 | ||||
NorthWestern Corp. | 44,394 | 2,352 | ||||
Ormat Technologies Inc. | 23,937 | 2,238 | ||||
57,794 | ||||||
Total Common Stocks (Cost $875,755) | 880,946 | |||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 2.284% (Cost $3,930) | 39,311 | 3,930 | |||
Total Investments (99.9%) (Cost $879,685) | 884,876 | |||||
Other Assets and Liabilities—Net (0.1%) | 711 | |||||
Net Assets (100%) | 885,587 |
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 $752,000. |
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 $792,000 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 | September 2022 | 7 | 1,701 | (46) |
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. | 8/31/23 | BANA | 2,700 | (2.581) | — | — |
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 Value1 | |
Unaffiliated Issuers (Cost $875,755) | 880,946 |
Affiliated Issuers (Cost $3,930) | 3,930 |
Total Investments in Securities | 884,876 |
Investment in Vanguard | 33 |
Cash Collateral Pledged—Futures Contracts | 90 |
Receivables for Investment Securities Sold | 48 |
Receivables for Accrued Income | 1,348 |
Receivables for Capital Shares Issued | 59 |
Total Assets | 886,454 |
Liabilities | |
Payables for Investment Securities Purchased | 7 |
Collateral for Securities on Loan | 792 |
Payables to Vanguard | 58 |
Variation Margin Payable—Futures Contracts | 10 |
Total Liabilities | 867 |
Net Assets | 885,587 |
1 Includes $752 of securities on loan. | |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 1,051,609 |
Total Distributable Earnings (Loss) | (166,022) |
Net Assets | 885,587 |
ETF Shares—Net Assets | |
Applicable to 5,250,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 806,548 |
Net Asset Value Per Share—ETF Shares | $153.63 |
Institutional Shares—Net Assets | |
Applicable to 256,430 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 79,039 |
Net Asset Value Per Share—Institutional Shares | $308.23 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 17,712 |
Interest1 | 16 |
Securities Lending—Net | 3 |
Total Income | 17,731 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 73 |
Management and Administrative—ETF Shares | 1,016 |
Management and Administrative—Institutional Shares | 58 |
Marketing and Distribution—ETF Shares | 43 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 27 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 37 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 14 |
Total Expenses | 1,300 |
Net Investment Income | 16,431 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 104,534 |
Futures Contracts | (58) |
Swap Contracts | (38) |
Realized Net Gain (Loss) | 104,438 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (172,573) |
Futures Contracts | (109) |
Swap Contracts | — |
Change in Unrealized Appreciation (Depreciation) | (172,682) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (51,813) |
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 $16,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $118,650,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 16,431 | 14,037 |
Realized Net Gain (Loss) | 104,438 | 23,607 |
Change in Unrealized Appreciation (Depreciation) | (172,682) | 272,949 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (51,813) | 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 | 46,955 | 92,161 |
Institutional Shares | (76,811) | (63,166) |
Net Increase (Decrease) from Capital Share Transactions | (29,856) | 28,995 |
Total Increase (Decrease) | (98,470) | 322,968 |
Net Assets | ||
Beginning of Period | 984,057 | 661,089 |
End of Period | 885,587 | 984,057 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $165.29 | $109.60 | $117.53 | $130.06 | $112.31 |
Investment Operations | |||||
Net Investment Income1 | 2.883 | 2.488 | 2.423 | 2.061 | 2.090 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.538) | 56.385 | (8.078) | (12.629) | 17.548 |
Total from Investment Operations | (8.655) | 58.873 | (5.655) | (10.568) | 19.638 |
Distributions | |||||
Dividends from Net Investment Income | (3.005) | (3.183) | (2.275) | (1.962) | (1.888) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.005) | (3.183) | (2.275) | (1.962) | (1.888) |
Net Asset Value, End of Period | $153.63 | $165.29 | $109.60 | $117.53 | $130.06 |
Total Return | -5.34% | 54.51% | -5.10% | -8.04% | 17.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $807 | $822 | $501 | $685 | $735 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.79% | 1.72% | 2.13% | 1.72% | 1.72% |
Portfolio Turnover Rate2 | 33% | 36% | 51% | 38% | 36% |
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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $331.49 | $219.78 | $235.62 | $260.90 | $225.05 |
Investment Operations | |||||
Net Investment Income1 | 6.147 | 5.090 | 5.011 | 4.332 | 4.454 |
Net Realized and Unrealized Gain (Loss) on Investments | (23.292) | 113.153 | (16.157) | (25.380) | 35.198 |
Total from Investment Operations | (17.145) | 118.243 | (11.146) | (21.048) | 39.652 |
Distributions | |||||
Dividends from Net Investment Income | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) |
Net Asset Value, End of Period | $308.23 | $331.49 | $219.78 | $235.62 | $260.90 |
Total Return | -5.23% | 54.62% | -5.01% | -7.99% | 17.75% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $79 | $162 | $160 | $186 | $235 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.90% | 1.79% | 2.21% | 1.79% | 1.84% |
Portfolio Turnover Rate2 | 33% | 36% | 51% | 38% | 36% |
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 | 880,946 | — | — | 880,946 |
Temporary Cash Investments | 3,930 | — | — | 3,930 |
Total | 884,876 | — | — | 884,876 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | — | — | — |
Liabilities | ||||
Futures Contracts1 | 46 | — | — | 46 |
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. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 118,640 |
Total Distributable Earnings (Loss) | (118,640) |
Amount ($000) | |
Undistributed Ordinary Income | 8,846 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (177,949) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 3,081 |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 16,801 | 16,620 |
Long-Term Capital Gains | — | — |
Total | 16,801 | 16,620 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 881,795 |
Gross Unrealized Appreciation | 99,108 |
Gross Unrealized Depreciation | (96,027) |
Net Unrealized Appreciation (Depreciation) | 3,081 |
E. | During the year ended August 31, 2022, the fund purchased $612,600,000 of investment securities and sold $640,219,000 of investment securities, other than temporary cash investments. Purchases and sales include $303,872,000 and $339,920,000, 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: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 392,670 | 2,375 | 301,250 | 2,050 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (345,715) | (2,100) | (209,089) | (1,650) | |
Net Increase (Decrease)—ETF Shares | 46,955 | 275 | 92,161 | 400 |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 12,349 | 37 | 26,775 | 92 | |
Issued in Lieu of Cash Distributions | 1,318 | 4 | 3,181 | 12 | |
Redeemed | (90,478) | (273) | (93,122) | (342) | |
Net Increase (Decrease)—Institutional Shares | (76,811) | (232) | (63,166) | (238) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value | -15.57% | 8.23% | 10.79% | $27,853 | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price | -15.57 | 8.23 | 10.78 | 27,843 | |
S&P MidCap 400 Growth Index | -15.47 | 8.40 | 10.97 | 28,320 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Growth Index Fund Institutional Shares | -15.50% | 8.32% | 10.90% | $14,068,225 | |
S&P MidCap 400 Growth Index | -15.47 | 8.40 | 10.97 | 14,159,982 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 16,470,991 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price | -15.57% | 48.52% | 178.43% |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value | -15.57 | 48.49 | 178.53 |
S&P MidCap 400 Growth Index | -15.47 | 49.64 | 183.20 |
Communication Services | 1.9% |
Consumer Discretionary | 15.2 |
Consumer Staples | 2.2 |
Energy | 5.5 |
Financials | 11.6 |
Health Care | 13.5 |
Industrials | 18.4 |
Information Technology | 15.3 |
Materials | 7.7 |
Real Estate | 7.2 |
Utilities | 1.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (1.9%) | ||||||
* | Ziff Davis Inc. | 40,480 | 3,128 | |||
Cable One Inc. | 2,440 | 2,769 | ||||
* | Iridium Communications Inc. | 58,081 | 2,578 | |||
New York Times Co. Class A | 82,779 | 2,524 | ||||
TEGNA Inc. | 83,206 | 1,781 | ||||
World Wrestling Entertainment Inc. Class A | 22,923 | 1,559 | ||||
* | TripAdvisor Inc. | 35,959 | 856 | |||
John Wiley & Sons Inc. Class A | 18,542 | 854 | ||||
16,049 | ||||||
Consumer Discretionary (15.2%) | ||||||
Williams-Sonoma Inc. | 59,929 | 8,914 | ||||
Service Corp. International | 135,832 | 8,382 | ||||
* | Deckers Outdoor Corp. | 23,311 | 7,496 | |||
* | Mattel Inc. | 301,635 | 6,672 | |||
* | Five Below Inc. | 47,503 | 6,075 | |||
*,1 | GameStop Corp. Class A | 211,664 | 6,062 | |||
Churchill Downs Inc. | 29,282 | 5,771 | ||||
1 | Dick's Sporting Goods Inc. | 49,676 | 5,284 | |||
* | TopBuild Corp. | 28,048 | 5,154 | |||
Brunswick Corp. | 64,802 | 4,841 | ||||
* | Light & Wonder Inc. | 81,857 | 4,030 | |||
* | Crocs Inc. | 52,693 | 3,884 | |||
* | RH | 15,048 | 3,851 | |||
Tempur Sealy International Inc. | 150,212 | 3,757 | ||||
Boyd Gaming Corp. | 68,452 | 3,726 | ||||
* | Capri Holdings Ltd. | 77,050 | 3,635 | |||
* | Fox Factory Holding Corp. | 36,068 | 3,362 | |||
Wyndham Hotels & Resorts Inc. | 51,231 | 3,347 | ||||
Texas Roadhouse Inc. Class A | 35,007 | 3,107 | ||||
Wingstop Inc. | 25,574 | 2,912 | ||||
Gentex Corp. | 106,374 | 2,903 | ||||
H&R Block Inc. | 62,845 | 2,828 | ||||
* | YETI Holdings Inc. | 73,748 | 2,721 | |||
* | Helen of Troy Ltd. | 20,412 | 2,524 |
Shares | Market Value• ($000) | |||||
Polaris Inc. | 20,593 | 2,333 | ||||
Marriott Vacations Worldwide Corp. | 15,967 | 2,274 | ||||
Papa John's International Inc. | 27,281 | 2,205 | ||||
Choice Hotels International Inc. | 19,163 | 2,198 | ||||
* | Skechers USA Inc. Class A | 54,297 | 2,052 | |||
* | AutoNation Inc. | 14,329 | 1,785 | |||
Wendy's Co. | 73,292 | 1,406 | ||||
Columbia Sportswear Co. | 15,087 | 1,075 | ||||
* | Victoria's Secret & Co. | 28,436 | 951 | |||
American Eagle Outfitters Inc. | 55,386 | 624 | ||||
* | Under Armour Inc. Class A | 69,462 | 585 | |||
* | Under Armour Inc. Class C | 74,591 | 566 | |||
129,292 | ||||||
Consumer Staples (2.2%) | ||||||
* | Darling Ingredients Inc. | 138,220 | 10,513 | |||
* | Celsius Holdings Inc. | 32,893 | 3,404 | |||
Coca-Cola Consolidated Inc. | 3,944 | 1,871 | ||||
* | Boston Beer Co. Inc. Class A | 4,819 | 1,624 | |||
Lancaster Colony Corp. | 8,128 | 1,370 | ||||
18,782 | ||||||
Energy (5.5%) | ||||||
Targa Resources Corp. | 195,121 | 13,314 | ||||
Matador Resources Co. | 95,027 | 5,664 | ||||
PDC Energy Inc. | 81,670 | 5,546 | ||||
* | Range Resources Corp. | 153,054 | 5,029 | |||
Murphy Oil Corp. | 124,996 | 4,871 | ||||
* | Southwestern Energy Co. | 611,339 | 4,579 | |||
Antero Midstream Corp. | 278,526 | 2,805 | ||||
DT Midstream Inc. | 34,724 | 1,917 | ||||
ChampionX Corp. | 81,699 | 1,782 | ||||
* | CNX Resources Corp. | 78,498 | 1,387 | |||
46,894 | ||||||
Financials (11.6%) | ||||||
East West Bancorp Inc. | 121,435 | 8,764 | ||||
Stifel Financial Corp. | 91,204 | 5,409 | ||||
Pinnacle Financial Partners Inc. | 65,367 | 5,276 |
Shares | Market Value• ($000) | |||||
Jefferies Financial Group Inc. | 163,964 | 5,262 | ||||
Glacier Bancorp Inc. | 92,889 | 4,708 | ||||
First Financial Bankshares Inc. | 109,919 | 4,673 | ||||
Kinsale Capital Group Inc. | 18,426 | 4,672 | ||||
Affiliated Managers Group Inc. | 33,097 | 4,215 | ||||
Cullen/Frost Bankers Inc. | 27,338 | 3,553 | ||||
SLM Corp. | 230,396 | 3,520 | ||||
American Financial Group Inc. | 26,701 | 3,409 | ||||
UMB Financial Corp. | 36,869 | 3,299 | ||||
Evercore Inc. Class A | 34,744 | 3,255 | ||||
Commerce Bancshares Inc. | 47,021 | 3,234 | ||||
Webster Financial Corp. | 62,505 | 2,941 | ||||
SEI Investments Co. | 52,692 | 2,882 | ||||
Interactive Brokers Group Inc. Class A | 46,416 | 2,859 | ||||
PacWest Bancorp | 100,535 | 2,647 | ||||
Primerica Inc. | 20,426 | 2,589 | ||||
First American Financial Corp. | 42,308 | 2,263 | ||||
RLI Corp. | 20,492 | 2,249 | ||||
Wintrust Financial Corp. | 25,811 | 2,177 | ||||
Synovus Financial Corp. | 49,796 | 2,000 | ||||
Navient Corp. | 126,683 | 1,950 | ||||
Bank OZK | 45,348 | 1,838 | ||||
Hancock Whitney Corp. | 33,213 | 1,602 | ||||
Janus Henderson Group plc | 65,952 | 1,543 | ||||
Home BancShares Inc. | 59,915 | 1,410 | ||||
Federated Hermes Inc. Class B | 36,817 | 1,254 | ||||
Umpqua Holdings Corp. | 68,776 | 1,220 | ||||
Bank of Hawaii Corp. | 14,458 | 1,128 | ||||
Cathay General Bancorp | 25,044 | 1,050 | ||||
98,851 | ||||||
Health Care (13.5%) | ||||||
* | Repligen Corp. | 44,117 | 9,678 | |||
* | Shockwave Medical Inc. | 30,630 | 9,093 | |||
* | Neurocrine Biosciences Inc. | 81,792 | 8,558 | |||
* | Masimo Corp. | 43,698 | 6,419 | |||
* | Syneos Health Inc. | 87,776 | 5,276 | |||
* | Tenet Healthcare Corp. | 92,186 | 5,208 | |||
* | Penumbra Inc. | 30,309 | 4,976 | |||
* | Halozyme Therapeutics Inc. | 118,050 | 4,808 | |||
Bruker Corp. | 85,571 | 4,792 | ||||
* | United Therapeutics Corp. | 18,607 | 4,217 | |||
* | Option Care Health Inc. | 127,888 | 3,959 | |||
* | STAAR Surgical Co. | 40,916 | 3,870 | |||
* | Omnicell Inc. | 37,822 | 3,869 | |||
* | Arrowhead Pharmaceuticals Inc. | 90,487 | 3,593 | |||
Chemed Corp. | 7,302 | 3,477 | ||||
* | Medpace Holdings Inc. | 23,034 | 3,400 | |||
* | QuidelOrtho Corp. | 42,808 | 3,393 | |||
Azenta Inc. | 64,172 | 3,382 |
Shares | Market Value• ($000) | |||||
* | HealthEquity Inc. | 48,384 | 3,197 | |||
* | Exelixis Inc. | 145,535 | 2,582 | |||
* | Tandem Diabetes Care Inc. | 54,765 | 2,505 | |||
* | Globus Medical Inc. Class A | 40,738 | 2,411 | |||
* | Inari Medical Inc. | 29,123 | 2,020 | |||
* | LivaNova plc | 27,478 | 1,546 | |||
* | Progyny Inc. | 37,543 | 1,510 | |||
* | Integra LifeSciences Holdings Corp. | 31,159 | 1,486 | |||
* | R1 RCM Inc. | 66,544 | 1,454 | |||
* | ICU Medical Inc. | 8,073 | 1,284 | |||
*,1 | Neogen Corp. | 53,432 | 1,117 | |||
* | Sotera Health Co. | 64,442 | 1,090 | |||
* | Enovis Corp. | 16,467 | 834 | |||
115,004 | ||||||
Industrials (18.3%) | ||||||
Carlisle Cos. Inc. | 44,239 | 13,080 | ||||
* | Builders FirstSource Inc. | 147,839 | 8,665 | |||
Toro Co. | 89,458 | 7,419 | ||||
* | Axon Enterprise Inc. | 60,770 | 7,091 | |||
Tetra Tech Inc. | 45,938 | 6,239 | ||||
* | Chart Industries Inc. | 30,682 | 5,948 | |||
Graco Inc. | 86,885 | 5,547 | ||||
Hubbell Inc. Class B | 24,796 | 5,115 | ||||
Watsco Inc. | 18,731 | 5,095 | ||||
Valmont Industries Inc. | 18,238 | 5,049 | ||||
* | Avis Budget Group Inc. | 29,338 | 4,910 | |||
Acuity Brands Inc. | 29,592 | 4,851 | ||||
* | FTI Consulting Inc. | 29,496 | 4,737 | |||
* | Saia Inc. | 22,599 | 4,674 | |||
* | Trex Co. Inc. | 96,872 | 4,533 | |||
* | Middleby Corp. | 29,787 | 4,284 | |||
* | ASGN Inc. | 43,728 | 4,228 | |||
Lincoln Electric Holdings Inc. | 28,831 | 3,941 | ||||
Lennox International Inc. | 16,396 | 3,937 | ||||
* | GXO Logistics Inc. | 87,080 | 3,865 | |||
KBR Inc. | 77,622 | 3,749 | ||||
Simpson Manufacturing Co. Inc. | 36,933 | 3,421 | ||||
Insperity Inc. | 30,490 | 3,324 | ||||
Regal Rexnord Corp. | 24,083 | 3,313 | ||||
Watts Water Technologies Inc. Class A | 23,472 | 3,251 | ||||
Landstar System Inc. | 20,656 | 3,029 | ||||
* | Clean Harbors Inc. | 25,291 | 2,970 | |||
ITT Inc. | 40,021 | 2,903 | ||||
Donaldson Co. Inc. | 53,941 | 2,770 | ||||
nVent Electric plc | 84,008 | 2,769 | ||||
* | IAA Inc. | 61,977 | 2,309 | |||
* | MasTec Inc. | 24,966 | 2,010 | |||
MSA Safety Inc. | 15,982 | 1,900 | ||||
Crane Holdings Co. | 20,000 | 1,887 | ||||
* | Vicor Corp. | 18,463 | 1,313 |
Shares | Market Value• ($000) | |||||
* | Dycom Industries Inc. | 9,875 | 1,107 | |||
Esab Corp. | 16,014 | 658 | ||||
155,891 | ||||||
Information Technology (15.3%) | ||||||
* | Paylocity Holding Corp. | 33,967 | 8,186 | |||
* | Manhattan Associates Inc. | 54,015 | 7,630 | |||
* | Wolfspeed Inc. | 58,190 | 6,603 | |||
* | First Solar Inc. | 50,047 | 6,383 | |||
* | Lattice Semiconductor Corp. | 117,756 | 6,347 | |||
* | Fair Isaac Corp. | 12,872 | 5,785 | |||
* | Aspen Technology Inc. | 23,961 | 5,046 | |||
Concentrix Corp. | 36,820 | 4,631 | ||||
Genpact Ltd. | 96,209 | 4,520 | ||||
* | Qualys Inc. | 28,582 | 4,342 | |||
* | Ciena Corp. | 82,004 | 4,161 | |||
Universal Display Corp. | 37,171 | 4,153 | ||||
Cognex Corp. | 93,663 | 3,944 | ||||
* | Silicon Laboratories Inc. | 31,302 | 3,923 | |||
* | Synaptics Inc. | 33,893 | 3,918 | |||
Power Integrations Inc. | 49,895 | 3,569 | ||||
Jabil Inc. | 53,180 | 3,207 | ||||
Maximus Inc. | 52,566 | 3,185 | ||||
Littelfuse Inc. | 13,129 | 3,114 | ||||
* | Teradata Corp. | 89,617 | 2,948 | |||
* | Calix Inc. | 47,573 | 2,800 | |||
MKS Instruments Inc. | 26,889 | 2,678 | ||||
* | Novanta Inc. | 19,867 | 2,656 | |||
* | WEX Inc. | 16,563 | 2,555 | |||
* | II-VI Inc. | 53,020 | 2,504 | |||
National Instruments Corp. | 59,532 | 2,367 | ||||
* | Lumentum Holdings Inc. | 26,589 | 2,222 | |||
* | Cirrus Logic Inc. | 23,556 | 1,806 | |||
* | MACOM Technology Solutions Holdings Inc. | 32,656 | 1,801 | |||
* | SunPower Corp. | 71,358 | 1,713 | |||
* | Semtech Corp. | 35,890 | 1,658 | |||
* | SiTime Corp. | 13,306 | 1,416 | |||
* | CommVault Systems Inc. | 24,779 | 1,345 | |||
* | Blackbaud Inc. | 25,293 | 1,323 | |||
* | Envestnet Inc. | 25,028 | 1,311 | |||
* | Euronet Worldwide Inc. | 14,690 | 1,302 | |||
* | ACI Worldwide Inc. | 46,099 | 1,093 | |||
* | Sabre Corp. | 133,874 | 963 | |||
Amkor Technology Inc. | 35,194 | 708 | ||||
129,816 | ||||||
Materials (7.7%) | ||||||
Steel Dynamics Inc. | 153,396 | 12,382 | ||||
* | Cleveland-Cliffs Inc. | 408,629 | 7,057 | |||
Olin Corp. | 118,770 | 6,492 | ||||
RPM International Inc. | 56,516 | 5,265 | ||||
Valvoline Inc. | 152,495 | 4,433 | ||||
Eagle Materials Inc. | 33,805 | 4,044 | ||||
Louisiana-Pacific Corp. | 70,273 | 3,811 | ||||
Avient Corp. | 78,246 | 3,429 | ||||
Alcoa Corp. | 63,149 | 3,125 |
Shares | Market Value• ($000) | |||||
Royal Gold Inc. | 33,708 | 3,098 | ||||
AptarGroup Inc. | 25,823 | 2,655 | ||||
Scotts Miracle-Gro Co. | 34,622 | 2,318 | ||||
* | MP Materials Corp. | 63,863 | 2,234 | |||
Ashland Inc. | 18,638 | 1,897 | ||||
Sensient Technologies Corp. | 20,475 | 1,631 | ||||
* | Ingevity Corp. | 17,882 | 1,254 | |||
65,125 | ||||||
Real Estate (7.2%) | ||||||
Life Storage Inc. | 72,195 | 9,187 | ||||
Rexford Industrial Realty Inc. | 141,215 | 8,785 | ||||
EastGroup Properties Inc. | 35,667 | 5,886 | ||||
Lamar Advertising Co. Class A | 49,171 | 4,617 | ||||
First Industrial Realty Trust Inc. | 77,938 | 3,950 | ||||
Healthcare Realty Trust Inc. Class A | 159,615 | 3,882 | ||||
Independence Realty Trust Inc. | 189,031 | 3,676 | ||||
National Storage Affiliates Trust | 72,006 | 3,638 | ||||
* | Jones Lang LaSalle Inc. | 20,490 | 3,545 | |||
National Retail Properties Inc. | 67,756 | 3,042 | ||||
Brixmor Property Group Inc. | 141,005 | 3,029 | ||||
Rayonier Inc. | 75,149 | 2,669 | ||||
Apartment Income REIT Corp. Class A | 63,212 | 2,582 | ||||
Douglas Emmett Inc. | 69,125 | 1,349 | ||||
PotlatchDeltic Corp. | 26,083 | 1,211 | ||||
61,048 | ||||||
Utilities (1.5%) | ||||||
Essential Utilities Inc. | 124,133 | 6,101 | ||||
National Fuel Gas Co. | 40,712 | 2,902 | ||||
OGE Energy Corp. | 63,425 | 2,571 | ||||
Ormat Technologies Inc. | 13,416 | 1,254 | ||||
12,828 | ||||||
Total Common Stocks (Cost $847,930) | 849,580 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (1.1%) | ||||||
Money Market Fund (1.1%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 2.284% (Cost $9,563) | 95,673 | 9,564 | |||
Total Investments (101.0%) (Cost $857,493) | 859,144 | |||||
Other Assets and Liabilities—Net (-1.0%) | (8,904) | |||||
Net Assets (100%) | 850,240 |
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 $8,805,000. |
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 $9,431,000 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 | September 2022 | 3 | 729 | (57) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $847,930) | 849,580 |
Affiliated Issuers (Cost $9,563) | 9,564 |
Total Investments in Securities | 859,144 |
Investment in Vanguard | 32 |
Cash Collateral Pledged—Futures Contracts | 50 |
Receivables for Investment Securities Sold | 72 |
Receivables for Accrued Income | 501 |
Receivables for Capital Shares Issued | 7 |
Total Assets | 859,806 |
Liabilities | |
Due to Custodian | 72 |
Payables for Investment Securities Purchased | 3 |
Collateral for Securities on Loan | 9,431 |
Payables to Vanguard | 55 |
Variation Margin Payable—Futures Contracts | 5 |
Total Liabilities | 9,566 |
Net Assets | 850,240 |
1 Includes $8,805 of securities on loan. | |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 1,081,373 |
Total Distributable Earnings (Loss) | (231,133) |
Net Assets | 850,240 |
ETF Shares—Net Assets | |
Applicable to 4,200,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 724,952 |
Net Asset Value Per Share—ETF Shares | $172.61 |
Institutional Shares—Net Assets | |
Applicable to 364,093 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 125,288 |
Net Asset Value Per Share—Institutional Shares | $344.11 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 9,195 |
Interest1 | 6 |
Securities Lending—Net | 382 |
Total Income | 9,583 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 77 |
Management and Administrative—ETF Shares | 1,027 |
Management and Administrative—Institutional Shares | 82 |
Marketing and Distribution—ETF Shares | 45 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 24 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 36 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 14 |
Total Expenses | 1,337 |
Net Investment Income | 8,246 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 73,910 |
Futures Contracts | 162 |
Realized Net Gain (Loss) | 74,072 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (246,908) |
Futures Contracts | (63) |
Change in Unrealized Appreciation (Depreciation) | (246,971) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (164,653) |
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 $6,000, ($3,000), less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $110,085,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 8,246 | 6,092 |
Realized Net Gain (Loss) | 74,072 | 164,740 |
Change in Unrealized Appreciation (Depreciation) | (246,971) | 133,712 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (164,653) | 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 | (53,845) | (91,008) |
Institutional Shares | (1,657) | (117,515) |
Net Increase (Decrease) from Capital Share Transactions | (55,502) | (208,523) |
Total Increase (Decrease) | (225,500) | 88,436 |
Net Assets | ||
Beginning of Period | 1,075,740 | 987,304 |
End of Period | 850,240 | 1,075,740 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $205.45 | $152.52 | $137.70 | $146.46 | $121.33 |
Investment Operations | |||||
Net Investment Income1 | 1.617 | 1.052 | 1.359 | 1.519 | 1.268 |
Net Realized and Unrealized Gain (Loss) on Investments | (33.457) | 53.198 | 15.183 | (9.084) | 25.098 |
Total from Investment Operations | (31.840) | 54.250 | 16.542 | (7.565) | 26.366 |
Distributions | |||||
Dividends from Net Investment Income | (1.000) | (1.320) | (1.722) | (1.195) | (1.236) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.000) | (1.320) | (1.722) | (1.195) | (1.236) |
Net Asset Value, End of Period | $172.61 | $205.45 | $152.52 | $137.70 | $146.46 |
Total Return | -15.57% | 35.70% | 12.08% | -5.08% | 21.83% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $725 | $925 | $774 | $737 | $831 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.85% | 0.57% | 0.98% | 1.13% | 0.94% |
Portfolio Turnover Rate2 | 44% | 40% | 49% | 40% | 43% |
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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $409.55 | $303.97 | $274.38 | $292.07 | $241.68 |
Investment Operations | |||||
Net Investment Income1 | 3.533 | 2.347 | 2.925 | 3.242 | 2.894 |
Net Realized and Unrealized Gain (Loss) on Investments | (66.731) | 106.033 | 30.247 | (18.167) | 49.971 |
Total from Investment Operations | (63.198) | 108.380 | 33.172 | (14.925) | 52.865 |
Distributions | |||||
Dividends from Net Investment Income | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) |
Net Asset Value, End of Period | $344.11 | $409.55 | $303.97 | $274.38 | $292.07 |
Total Return | -15.50% | 35.80% | 12.17% | -5.02% | 21.97% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $125 | $151 | $213 | $205 | $271 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.94% | 0.65% | 1.06% | 1.20% | 1.06% |
Portfolio Turnover Rate2 | 44% | 40% | 49% | 40% | 43% |
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. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 110,169 |
Total Distributable Earnings (Loss) | (110,169) |
Amount ($000) | |
Undistributed Ordinary Income | 5,366 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (233,995) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (2,504) |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 5,345 | 7,585 |
Long-Term Capital Gains | — | — |
Total | 5,345 | 7,585 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 861,648 |
Gross Unrealized Appreciation | 105,900 |
Gross Unrealized Depreciation | (108,404) |
Net Unrealized Appreciation (Depreciation) | (2,504) |
E. | During the year ended August 31, 2022, the fund purchased $737,928,000 of investment securities and sold $787,381,000 of investment securities, other than temporary cash investments. Purchases and sales include $272,922,000 and $371,736,000, 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: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 321,229 | 1,600 | 418,838 | 2,325 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (375,074) | (1,900) | (509,846) | (2,900) | |
Net Increase (Decrease)—ETF Shares | (53,845) | (300) | (91,008) | (575) | |
Institutional Shares | |||||
Issued | 42,038 | 115 | 12,736 | 34 | |
Issued in Lieu of Cash Distributions | 821 | 2 | 1,545 | 4 | |
Redeemed | (44,516) | (122) | (131,796) | (371) | |
Net Increase (Decrease)—Institutional Shares | (1,657) | (5) | (117,515) | (333) |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
October 18, 2022
Fund | Percentage |
S&P Mid-Cap 400 Index Fund | 79.4% |
S&P Mid-Cap 400 Value Index Fund | 84.2 |
S&P Mid-Cap 400 Growth Index Fund | 86.1 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 31,905 |
S&P Mid-Cap 400 Value Index Fund | 13,324 |
S&P Mid-Cap 400 Growth Index Fund | 5,345 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 21 |
S&P Mid-Cap 400 Value Index Fund | 6 |
S&P Mid-Cap 400 Growth Index Fund | 2 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 5,068 |
S&P Mid-Cap 400 Value Index Fund | 1,944 |
S&P Mid-Cap 400 Growth Index Fund | — |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
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 |
1 | |
2 | |
4 | |
26 | |
46 | |
48 |
• | For the 12 months ended August 31, 2022, Vanguard S&P 500 Value Index Fund returned –4.60% for Institutional Shares and –4.63% for ETF Shares. Vanguard S&P 500 Growth Index Fund returned –17.50% for Institutional Shares and –17.52% for ETF Shares. Both funds tracked their target indexes. (Returns for ETF Shares are based on net asset value.) |
• | The investment outlook grew more challenging during the 12 months. Sentiment deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. The Federal Reserve reacted by raising interest rates, which pushed borrowing costs higher and sparked fears of recession. |
• | Small- and large-capitalization stocks trailed mid-caps for the period. Value and growth stocks both underperformed, but growth stocks underperformed significantly more. |
• | The majority of sectors across both funds posted negative results for the 12 months. Information technology, communication services, and consumer discretionary stocks most hurt performance of the Growth Index Fund, as did IT and communication services for the Value Index Fund. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -12.96% | 12.14% | 11.61% |
Russell 2000 Index (Small-caps) | -17.88 | 8.59 | 6.95 |
Russell 3000 Index (Broad U.S. market) | -13.28 | 11.90 | 11.29 |
FTSE All-World ex US Index (International) | -19.00 | 3.48 | 2.12 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -11.65% | -2.01% | 0.54% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.63 | -0.83 | 1.28 |
FTSE Three-Month U.S. Treasury Bill Index | 0.44 | 0.56 | 1.10 |
CPI | |||
Consumer Price Index | 8.26% | 4.90% | 3.82% |
• | 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 August 31, 2022 | |||
Beginning Account Value 2/28/2022 | Ending Account Value 8/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $939.60 | $0.49 |
Institutional Shares | 1,000.00 | 939.80 | 0.39 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $882.90 | $0.47 |
Institutional Shares | 1,000.00 | 883.10 | 0.38 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P 500 Value Index Fund ETF Shares Net Asset Value | -4.63% | 8.64% | 10.81% | $27,918 | |
S&P 500 Value Index Fund ETF Shares Market Price | -4.63 | 8.65 | 10.81 | 27,900 | |
S&P 500 Value Index | -4.51 | 8.77 | 10.95 | 28,269 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Since Inception (3/3/2015) | Final Value of a $5,000,000 Investment | ||
S&P 500 Value Index Fund Institutional Shares | -4.60% | 8.69% | 8.11% | $8,973,153 | |
S&P 500 Value Index | -4.51 | 8.77 | 8.19 | 9,017,920 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 10.21 | 10,358,994 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P 500 Value Index Fund ETF Shares Market Price | -4.63% | 51.38% | 179.00% |
S&P 500 Value Index Fund ETF Shares Net Asset Value | -4.63 | 51.36 | 179.18 |
S&P 500 Value Index | -4.51 | 52.23 | 182.69 |
Communication Services | 6.0% |
Consumer Discretionary | 6.5 |
Consumer Staples | 11.5 |
Energy | 8.0 |
Financials | 14.7 |
Health Care | 16.7 |
Industrials | 12.3 |
Information Technology | 11.1 |
Materials | 3.7 |
Real Estate | 3.4 |
Utilities | 6.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (6.0%) | ||||||
* | Walt Disney Co. | 316,816 | 35,509 | |||
Verizon Communications Inc. | 730,501 | 30,542 | ||||
Comcast Corp. Class A | 777,500 | 28,138 | ||||
AT&T Inc. | 1,050,157 | 18,420 | ||||
* | T-Mobile US Inc. | 102,502 | 14,756 | |||
Activision Blizzard Inc. | 135,942 | 10,670 | ||||
* | Charter Communications Inc. Class A | 20,145 | 8,312 | |||
Electronic Arts Inc. | 48,948 | 6,210 | ||||
* | Warner Bros Discovery Inc. | 384,565 | 5,092 | |||
* | Match Group Inc. | 49,595 | 2,804 | |||
* | Twitter Inc. | 68,916 | 2,670 | |||
Paramount Global Class B | 105,673 | 2,472 | ||||
Omnicom Group Inc. | 35,730 | 2,390 | ||||
Interpublic Group of Cos. Inc. | 68,831 | 1,902 | ||||
Fox Corp. Class A | 54,206 | 1,853 | ||||
Lumen Technologies Inc. | 161,443 | 1,608 | ||||
* | Take-Two Interactive Software Inc. | 10,406 | 1,275 | |||
* | Live Nation Entertainment Inc. | 13,543 | 1,224 | |||
News Corp. Class A | 70,783 | 1,198 | ||||
Fox Corp. Class B | 25,057 | 792 | ||||
* | DISH Network Corp. Class A | 43,687 | 758 | |||
News Corp. Class B | 18,094 | 312 | ||||
178,907 | ||||||
Consumer Discretionary (6.5%) | ||||||
McDonald's Corp. | 70,745 | 17,847 | ||||
* | Booking Holdings Inc. | 7,064 | 13,251 | |||
TJX Cos. Inc. | 204,215 | 12,733 | ||||
Home Depot Inc. | 43,159 | 12,448 | ||||
NIKE Inc. Class B | 101,493 | 10,804 | ||||
Ford Motor Co. | 686,551 | 10,463 | ||||
General Motors Co. | 253,526 | 9,687 | ||||
Dollar General Corp. | 39,807 | 9,451 | ||||
Starbucks Corp. | 97,752 | 8,218 |
Shares | Market Value• ($000) | |||||
Marriott International Inc. Class A | 47,846 | 7,356 | ||||
Target Corp. | 36,204 | 5,805 | ||||
* | Dollar Tree Inc. | 39,171 | 5,315 | |||
Ross Stores Inc. | 61,168 | 5,277 | ||||
Genuine Parts Co. | 24,678 | 3,850 | ||||
Hilton Worldwide Holdings Inc. | 28,616 | 3,644 | ||||
Lennar Corp. Class A | 44,576 | 3,452 | ||||
Yum! Brands Inc. | 26,247 | 2,920 | ||||
* | Expedia Group Inc. | 26,325 | 2,702 | |||
Darden Restaurants Inc. | 21,662 | 2,680 | ||||
* | Aptiv plc | 27,890 | 2,606 | |||
* | Chipotle Mexican Grill Inc. Class A | ��� 1,607 | 2,566 | |||
Best Buy Co. Inc. | 35,159 | 2,485 | ||||
VF Corp. | 56,059 | 2,324 | ||||
* | Las Vegas Sands Corp. | 59,658 | 2,245 | |||
MGM Resorts International | 61,373 | 2,003 | ||||
DR Horton Inc. | 26,142 | 1,860 | ||||
Hasbro Inc. | 22,783 | 1,796 | ||||
PulteGroup Inc. | 41,258 | 1,678 | ||||
* | Ulta Beauty Inc. | 3,990 | 1,675 | |||
* | Carnival Corp. | 170,617 | 1,614 | |||
* | Royal Caribbean Cruises Ltd. | 38,952 | 1,591 | |||
BorgWarner Inc. | 41,593 | 1,568 | ||||
Whirlpool Corp. | 9,762 | 1,529 | ||||
Tapestry Inc. | 43,756 | 1,520 | ||||
LKQ Corp. | 25,758 | 1,371 | ||||
* | NVR Inc. | 293 | 1,213 | |||
* | CarMax Inc. | 13,102 | 1,159 | |||
Garmin Ltd. | 12,996 | 1,150 | ||||
* | Wynn Resorts Ltd. | 18,322 | 1,110 | |||
eBay Inc. | 22,379 | 988 | ||||
* | Mohawk Industries Inc. | 8,946 | 987 | |||
* | Norwegian Cruise Line Holdings Ltd. | 72,797 | 952 | |||
Advance Auto Parts Inc. | 5,519 | 931 | ||||
* | Penn Entertainment Inc. | 28,377 | 886 | |||
Domino's Pizza Inc. | 2,078 | 773 | ||||
Ralph Lauren Corp. Class A | 8,027 | 733 |
Shares | Market Value• ($000) | |||||
PVH Corp. | 11,715 | 659 | ||||
* | Caesars Entertainment Inc. | 13,357 | 576 | |||
Bath & Body Works Inc. | 14,498 | 541 | ||||
Newell Brands Inc. | 30,035 | 536 | ||||
Lennar Corp. Class B | 361 | 22 | ||||
191,550 | ||||||
Consumer Staples (11.5%) | ||||||
Procter & Gamble Co. | 417,279 | 57,559 | ||||
Coca-Cola Co. | 678,516 | 41,871 | ||||
Walmart Inc. | 244,138 | 32,361 | ||||
Philip Morris International Inc. | 269,625 | 25,746 | ||||
PepsiCo Inc. | 139,450 | 24,023 | ||||
Costco Wholesale Corp. | 37,763 | 19,716 | ||||
Mondelez International Inc. Class A | 240,779 | 14,895 | ||||
Altria Group Inc. | 314,800 | 14,204 | ||||
Colgate-Palmolive Co. | 145,660 | 11,392 | ||||
Archer-Daniels-Midland Co. | 97,858 | 8,601 | ||||
General Mills Inc. | 104,722 | 8,043 | ||||
Kimberly-Clark Corp. | 58,611 | 7,474 | ||||
Sysco Corp. | 88,652 | 7,289 | ||||
Constellation Brands Inc. Class A | 28,309 | 6,965 | ||||
Kroger Co. | 114,206 | 5,475 | ||||
Kraft Heinz Co. | 123,280 | 4,611 | ||||
Walgreens Boots Alliance Inc. | 124,825 | 4,376 | ||||
Estee Lauder Cos. Inc. Class A | 16,555 | 4,211 | ||||
Tyson Foods Inc. Class A | 50,795 | 3,829 | ||||
Keurig Dr Pepper Inc. | 97,614 | 3,721 | ||||
McCormick & Co. Inc. (Non-Voting) | 43,453 | 3,653 | ||||
Church & Dwight Co. Inc. | 42,313 | 3,542 | ||||
Kellogg Co. | 43,996 | 3,200 | ||||
Hershey Co. | 13,943 | 3,133 | ||||
Clorox Co. | 21,474 | 3,100 | ||||
Conagra Brands Inc. | 83,386 | 2,867 | ||||
* | Monster Beverage Corp. | 31,345 | 2,784 | |||
J M Smucker Co. | 18,829 | 2,636 | ||||
Hormel Foods Corp. | 49,198 | 2,474 | ||||
Brown-Forman Corp. Class B | 31,721 | 2,306 | ||||
Lamb Weston Holdings Inc. | 25,074 | 1,994 | ||||
Campbell Soup Co. | 35,373 | 1,782 | ||||
Molson Coors Beverage Co. Class B | 32,676 | 1,688 | ||||
341,521 | ||||||
Energy (7.9%) | ||||||
Exxon Mobil Corp. | 732,507 | 70,020 | ||||
Chevron Corp. | 341,665 | 54,003 | ||||
ConocoPhillips | 224,949 | 24,621 | ||||
Marathon Petroleum Corp. | 94,081 | 9,479 |
Shares | Market Value• ($000) | |||||
Schlumberger NV | 245,792 | 9,377 | ||||
Valero Energy Corp. | 70,985 | 8,314 | ||||
Phillips 66 | 83,742 | 7,491 | ||||
Williams Cos. Inc. | 211,901 | 7,211 | ||||
EOG Resources Inc. | 55,043 | 6,677 | ||||
Occidental Petroleum Corp. | 91,432 | 6,492 | ||||
Kinder Morgan Inc. | 339,361 | 6,217 | ||||
Halliburton Co. | 157,081 | 4,733 | ||||
Pioneer Natural Resources Co. | 17,257 | 4,370 | ||||
Coterra Energy Inc. | 140,437 | 4,341 | ||||
Baker Hughes Co. Class A | 162,421 | 4,103 | ||||
Marathon Oil Corp. | 122,996 | 3,147 | ||||
ONEOK Inc. | 44,197 | 2,706 | ||||
Hess Corp. | 13,949 | 1,685 | ||||
APA Corp. | 26,459 | 1,035 | ||||
236,022 | ||||||
Financials (14.7%) | ||||||
* | Berkshire Hathaway Inc. Class B | 314,617 | 88,344 | |||
JPMorgan Chase & Co. | 275,823 | 31,369 | ||||
Wells Fargo & Co. | 659,178 | 28,813 | ||||
Bank of America Corp. | 690,486 | 23,207 | ||||
Citigroup Inc. | 337,765 | 16,486 | ||||
Chubb Ltd. | 73,711 | 13,935 | ||||
Progressive Corp. | 101,665 | 12,469 | ||||
CME Group Inc. | 62,472 | 12,220 | ||||
PNC Financial Services Group Inc. | 71,977 | 11,372 | ||||
Truist Financial Corp. | 231,447 | 10,841 | ||||
US Bancorp | 235,042 | 10,720 | ||||
Morgan Stanley | 124,075 | 10,574 | ||||
American Express Co. | 59,409 | 9,030 | ||||
S&P Global Inc. | 23,545 | 8,292 | ||||
BlackRock Inc. | 11,890 | 7,923 | ||||
MetLife Inc. | 120,204 | 7,733 | ||||
American International Group Inc. | 137,901 | 7,136 | ||||
Travelers Cos. Inc. | 41,715 | 6,743 | ||||
Prudential Financial Inc. | 65,233 | 6,246 | ||||
Aflac Inc. | 103,096 | 6,126 | ||||
Charles Schwab Corp. | 83,986 | 5,959 | ||||
Allstate Corp. | 47,858 | 5,767 | ||||
M&T Bank Corp. | 31,224 | 5,676 | ||||
Marsh & McLennan Cos. Inc. | 34,076 | 5,499 | ||||
Bank of New York Mellon Corp. | 129,341 | 5,372 | ||||
State Street Corp. | 63,941 | 4,370 | ||||
Intercontinental Exchange Inc. | 41,817 | 4,217 | ||||
Aon plc Class A | 14,799 | 4,133 | ||||
Fifth Third Bancorp | 119,533 | 4,082 | ||||
Willis Towers Watson plc | 19,365 | 4,005 | ||||
Capital One Financial Corp. | 35,610 | 3,768 |
Shares | Market Value• ($000) | |||||
Arthur J Gallagher & Co. | 20,493 | 3,721 | ||||
Hartford Financial Services Group Inc. | 57,130 | 3,674 | ||||
Northern Trust Corp. | 36,181 | 3,440 | ||||
Huntington Bancshares Inc. | 249,860 | 3,348 | ||||
Citizens Financial Group Inc. | 85,192 | 3,125 | ||||
Principal Financial Group Inc. | 40,832 | 3,053 | ||||
KeyCorp | 161,931 | 2,865 | ||||
Moody's Corp. | 9,481 | 2,698 | ||||
W R Berkley Corp. | 36,444 | 2,362 | ||||
Ameriprise Financial Inc. | 7,484 | 2,006 | ||||
Regions Financial Corp. | 89,256 | 1,934 | ||||
Loews Corp. | 33,825 | 1,871 | ||||
Everest Re Group Ltd. | 6,849 | 1,843 | ||||
Globe Life Inc. | 15,760 | 1,532 | ||||
Assurant Inc. | 9,389 | 1,488 | ||||
Raymond James Financial Inc. | 13,821 | 1,443 | ||||
T. Rowe Price Group Inc. | 11,835 | 1,420 | ||||
Cincinnati Financial Corp. | 13,693 | 1,328 | ||||
Lincoln National Corp. | 28,104 | 1,295 | ||||
Synchrony Financial | 37,459 | 1,227 | ||||
FactSet Research Systems Inc. | 2,770 | 1,200 | ||||
Comerica Inc. | 12,459 | 1,000 | ||||
Invesco Ltd. | 58,476 | 963 | ||||
Cboe Global Markets Inc. | 7,764 | 916 | ||||
MarketAxess Holdings Inc. | 3,403 | 846 | ||||
Brown & Brown Inc. | 12,598 | 794 | ||||
Nasdaq Inc. | 13,206 | 786 | ||||
Zions Bancorp NA | 13,682 | 753 | ||||
Franklin Resources Inc. | 26,745 | 697 | ||||
436,055 | ||||||
Health Care (16.6%) | ||||||
Johnson & Johnson | 457,680 | 73,842 | ||||
UnitedHealth Group Inc. | 94,641 | 49,150 | ||||
Merck & Co. Inc. | 439,849 | 37,546 | ||||
Bristol-Myers Squibb Co. | 370,346 | 24,965 | ||||
CVS Health Corp. | 228,063 | 22,384 | ||||
Medtronic plc | 233,368 | 20,518 | ||||
Elevance Health Inc. | 41,937 | 20,344 | ||||
Pfizer Inc. | 449,003 | 20,308 | ||||
AbbVie Inc. | 141,447 | 19,019 | ||||
Cigna Corp. | 55,201 | 15,647 | ||||
Abbott Laboratories | 143,058 | 14,685 | ||||
Gilead Sciences Inc. | 218,037 | 13,839 | ||||
Amgen Inc. | 54,784 | 13,165 | ||||
Becton Dickinson & Co. | 49,554 | 12,508 | ||||
Humana Inc. | 21,999 | 10,599 | ||||
* | Boston Scientific Corp. | 248,621 | 10,022 | |||
Danaher Corp. | 36,028 | 9,724 | ||||
McKesson Corp. | 25,278 | 9,277 |
Shares | Market Value• ($000) | |||||
* | Centene Corp. | 101,695 | 9,126 | |||
Stryker Corp. | 34,545 | 7,089 | ||||
Baxter International Inc. | 87,664 | 5,037 | ||||
* | Vertex Pharmaceuticals Inc. | 17,772 | 5,007 | |||
* | Biogen Inc. | 25,435 | 4,969 | |||
Zoetis Inc. Class A | 27,872 | 4,363 | ||||
* | Intuitive Surgical Inc. | 19,324 | 3,976 | |||
Zimmer Biomet Holdings Inc. | 36,523 | 3,883 | ||||
AmerisourceBergen Corp. Class A | 26,192 | 3,839 | ||||
* | Edwards Lifesciences Corp. | 40,091 | 3,612 | |||
Cardinal Health Inc. | 47,495 | 3,359 | ||||
HCA Healthcare Inc. | 16,591 | 3,283 | ||||
* | Illumina Inc. | 13,907 | 2,804 | |||
Agilent Technologies Inc. | 20,836 | 2,672 | ||||
Cooper Cos. Inc. | 8,606 | 2,474 | ||||
ResMed Inc. | 10,677 | 2,348 | ||||
STERIS plc | 10,075 | 2,029 | ||||
Viatris Inc. | 210,740 | 2,013 | ||||
* | IQVIA Holdings Inc. | 8,877 | 1,888 | |||
Teleflex Inc. | 8,165 | 1,847 | ||||
* | Mettler-Toledo International Inc. | 1,466 | 1,777 | |||
* | Henry Schein Inc. | 23,948 | 1,758 | |||
* | Molina Healthcare Inc. | 5,205 | 1,756 | |||
Laboratory Corp. of America Holdings | 7,560 | 1,703 | ||||
* | IDEXX Laboratories Inc. | 4,523 | 1,572 | |||
Quest Diagnostics Inc. | 11,001 | 1,379 | ||||
* | Incyte Corp. | 18,591 | 1,309 | |||
Organon & Co. | 43,965 | 1,254 | ||||
DENTSPLY SIRONA Inc. | 37,415 | 1,226 | ||||
Universal Health Services Inc. Class B | 11,675 | 1,142 | ||||
* | Catalent Inc. | 12,486 | 1,099 | |||
* | ABIOMED Inc. | 3,557 | 922 | |||
* | DaVita Inc. | 10,512 | 897 | |||
* | Bio-Rad Laboratories Inc. Class A | 1,691 | 820 | |||
* | Waters Corp. | 2,718 | 812 | |||
* | Hologic Inc. | 11,265 | 761 | |||
493,347 | ||||||
Industrials (12.2%) | ||||||
Raytheon Technologies Corp. | 258,603 | 23,210 | ||||
Honeywell International Inc. | 118,408 | 22,420 | ||||
Lockheed Martin Corp. | 41,199 | 17,308 | ||||
Caterpillar Inc. | 92,779 | 17,137 | ||||
* | Boeing Co. | 96,761 | 15,506 | |||
Union Pacific Corp. | 64,465 | 14,473 | ||||
United Parcel Service Inc. Class B | 72,827 | 14,166 |
Shares | Market Value• ($000) | |||||
General Electric Co. | 191,544 | 14,067 | ||||
1 | 3M Co. | 98,935 | 12,302 | |||
Northrop Grumman Corp. | 25,405 | 12,143 | ||||
CSX Corp. | 378,394 | 11,976 | ||||
Norfolk Southern Corp. | 41,431 | 10,073 | ||||
Deere & Co. | 26,221 | 9,577 | ||||
Eaton Corp. plc | 69,377 | 9,480 | ||||
General Dynamics Corp. | 40,086 | 9,177 | ||||
FedEx Corp. | 41,453 | 8,739 | ||||
Emerson Electric Co. | 103,303 | 8,444 | ||||
Trane Technologies plc | 40,708 | 6,272 | ||||
Parker-Hannifin Corp. | 22,338 | 5,920 | ||||
Carrier Global Corp. | 147,589 | 5,774 | ||||
Illinois Tool Works Inc. | 29,112 | 5,672 | ||||
Waste Management Inc. | 32,587 | 5,508 | ||||
PACCAR Inc. | 60,504 | 5,295 | ||||
Cummins Inc. | 24,566 | 5,291 | ||||
AMETEK Inc. | 40,222 | 4,833 | ||||
L3Harris Technologies Inc. | 19,431 | 4,434 | ||||
WW Grainger Inc. | 7,474 | 4,148 | ||||
Fortive Corp. | 62,444 | 3,955 | ||||
* | Southwest Airlines Co. | 103,334 | 3,792 | |||
* | Delta Air Lines Inc. | 111,752 | 3,472 | |||
Ingersoll Rand Inc. | 70,741 | 3,351 | ||||
Cintas Corp. | 8,162 | 3,321 | ||||
Otis Worldwide Corp. | 44,234 | 3,195 | ||||
TransDigm Group Inc. | 5,062 | 3,039 | ||||
Republic Services Inc. Class A | 20,286 | 2,895 | ||||
Westinghouse Air Brake Technologies Corp. | 31,862 | 2,793 | ||||
Fastenal Co. | 51,986 | 2,616 | ||||
Johnson Controls International plc | 47,121 | 2,551 | ||||
CH Robinson Worldwide Inc. | 22,110 | 2,524 | ||||
Verisk Analytics Inc. Class A | 13,444 | 2,516 | ||||
Textron Inc. | 37,355 | 2,330 | ||||
Howmet Aerospace Inc. | 65,682 | 2,327 | ||||
Stanley Black & Decker Inc. | 26,259 | 2,313 | ||||
Rockwell Automation Inc. | 9,684 | 2,294 | ||||
Leidos Holdings Inc. | 23,739 | 2,256 | ||||
Snap-on Inc. | 9,262 | 2,018 | ||||
* | United Airlines Holdings Inc. | 56,721 | 1,986 | |||
Nielsen Holdings plc | 62,550 | 1,741 | ||||
Dover Corp. | 13,601 | 1,700 | ||||
Xylem Inc. | 18,449 | 1,681 | ||||
Quanta Services Inc. | 11,482 | 1,622 | ||||
Huntington Ingalls Industries Inc. | 6,946 | 1,599 | ||||
Jacobs Solutions Inc. | 12,598 | 1,569 | ||||
IDEX Corp. | 7,781 | 1,566 |
Shares | Market Value• ($000) | |||||
* | American Airlines Group Inc. | 112,749 | 1,465 | |||
* | United Rentals Inc. | 4,972 | 1,452 | |||
Allegion plc | 15,237 | 1,449 | ||||
* | Copart Inc. | 11,869 | 1,420 | |||
Masco Corp. | 21,288 | 1,083 | ||||
JB Hunt Transport Services Inc. | 5,964 | 1,038 | ||||
* | Alaska Air Group Inc. | 21,942 | 956 | |||
Nordson Corp. | 3,745 | 851 | ||||
Fortune Brands Home & Security Inc. | 12,507 | 768 | ||||
Rollins Inc. | 22,115 | 747 | ||||
A O Smith Corp. | 11,263 | 636 | ||||
Pentair plc | 12,100 | 538 | ||||
Robert Half International Inc. | 6,148 | 473 | ||||
363,243 | ||||||
Information Technology (11.1%) | ||||||
Visa Inc. Class A | 163,153 | 32,420 | ||||
Mastercard Inc. Class A | 79,157 | 25,676 | ||||
Intel Corp. | 711,068 | 22,697 | ||||
International Business Machines Corp. | 156,428 | 20,093 | ||||
Cisco Systems Inc. | 397,494 | 17,776 | ||||
Broadcom Inc. | 30,544 | 15,245 | ||||
Analog Devices Inc. | 91,070 | 13,800 | ||||
Texas Instruments Inc. | 81,822 | 13,518 | ||||
Accenture plc Class A | 46,244 | 13,340 | ||||
Micron Technology Inc. | 194,115 | 10,973 | ||||
* | Salesforce Inc. | 67,375 | 10,519 | |||
* | Fiserv Inc. | 101,148 | 10,235 | |||
Fidelity National Information Services Inc. | 106,196 | 9,703 | ||||
* | PayPal Holdings Inc. | 92,632 | 8,656 | |||
Automatic Data Processing Inc. | 34,157 | 8,348 | ||||
Roper Technologies Inc. | 18,437 | 7,422 | ||||
TE Connectivity Ltd. | 56,085 | 7,078 | ||||
Global Payments Inc. | 49,003 | 6,088 | ||||
Cognizant Technology Solutions Corp. Class A | 90,713 | 5,730 | ||||
Corning Inc. | 132,392 | 4,544 | ||||
Amphenol Corp. Class A | 48,716 | 3,582 | ||||
Microchip Technology Inc. | 50,399 | 3,289 | ||||
Paychex Inc. | 26,222 | 3,234 | ||||
Hewlett Packard Enterprise Co. | 226,811 | 3,085 | ||||
* | Synopsys Inc. | 8,773 | 3,036 | |||
* | Teledyne Technologies Inc. | 8,136 | 2,997 | |||
Motorola Solutions Inc. | 11,963 | 2,912 | ||||
* | FleetCor Technologies Inc. | 13,447 | 2,858 | |||
NXP Semiconductors NV | 16,873 | 2,777 | ||||
* | Autodesk Inc. | 13,587 | 2,741 | |||
HP Inc. | 91,513 | 2,627 |
Shares | Market Value• ($000) | |||||
Jack Henry & Associates Inc. | 12,719 | 2,445 | ||||
* | Western Digital Corp. | 54,375 | 2,298 | |||
NortonLifeLock Inc. | 100,916 | 2,280 | ||||
Citrix Systems Inc. | 21,643 | 2,224 | ||||
Broadridge Financial Solutions Inc. | 11,401 | 1,951 | ||||
CDW Corp. | 9,608 | 1,640 | ||||
* | VeriSign Inc. | 8,772 | 1,598 | |||
Juniper Networks Inc. | 56,055 | 1,593 | ||||
Skyworks Solutions Inc. | 14,809 | 1,459 | ||||
* | Akamai Technologies Inc. | 16,140 | 1,457 | |||
* | ANSYS Inc. | 5,793 | 1,438 | |||
* | Keysight Technologies Inc. | 7,881 | 1,292 | |||
* | ON Semiconductor Corp. | 18,184 | 1,251 | |||
* | Trimble Inc. | 19,118 | 1,209 | |||
* | PTC Inc. | 9,159 | 1,052 | |||
* | DXC Technology Co. | 42,410 | 1,051 | |||
* | Tyler Technologies Inc. | 2,739 | 1,018 | |||
* | Qorvo Inc. | 9,586 | 861 | |||
* | Ceridian HCM Holding Inc. | 14,136 | 843 | |||
NetApp Inc. | 11,236 | 810 | ||||
* | F5 Inc. | 4,952 | 778 | |||
* | Zebra Technologies Corp. Class A | 2,457 | 741 | |||
* | Paycom Software Inc. | 2,095 | 736 | |||
* | SolarEdge Technologies Inc. | 2,402 | 663 | |||
Seagate Technology Holdings plc | 9,261 | 620 | ||||
330,307 | ||||||
Materials (3.7%) | ||||||
Linde plc | 42,878 | 12,128 | ||||
Air Products and Chemicals Inc. | 38,566 | 9,736 | ||||
Corteva Inc. | 125,870 | 7,732 | ||||
Ecolab Inc. | 43,255 | 7,086 | ||||
Dow Inc. | 126,626 | 6,458 | ||||
Newmont Corp. | 137,926 | 5,705 | ||||
PPG Industries Inc. | 41,121 | 5,222 | ||||
DuPont de Nemours Inc. | 88,507 | 4,924 | ||||
International Flavors & Fragrances Inc. | 44,364 | 4,901 | ||||
Sherwin-Williams Co. | 19,577 | 4,544 | ||||
Freeport-McMoRan Inc. | 141,419 | 4,186 | ||||
LyondellBasell Industries NV Class A | 45,132 | 3,746 | ||||
Mosaic Co. | 62,892 | 3,388 | ||||
Amcor plc | 261,855 | 3,145 | ||||
Ball Corp. | 55,529 | 3,099 | ||||
Nucor Corp. | 21,258 | 2,826 | ||||
International Paper Co. | 64,410 | 2,681 | ||||
FMC Corp. | 21,880 | 2,365 | ||||
Packaging Corp. of America | 16,280 | 2,229 | ||||
Eastman Chemical Co. | 22,383 | 2,037 |
Shares | Market Value• ($000) | |||||
Vulcan Materials Co. | 11,977 | 1,994 | ||||
Westrock Co. | 44,280 | 1,797 | ||||
Albemarle Corp. | 6,508 | 1,744 | ||||
Martin Marietta Materials Inc. | 4,558 | 1,585 | ||||
CF Industries Holdings Inc. | 14,486 | 1,499 | ||||
Avery Dennison Corp. | 6,955 | 1,277 | ||||
Celanese Corp. Class A | 10,733 | 1,190 | ||||
Sealed Air Corp. | 11,408 | 614 | ||||
109,838 | ||||||
Real Estate (3.4%) | ||||||
American Tower Corp. | 39,577 | 10,055 | ||||
Realty Income Corp. | 104,724 | 7,151 | ||||
Crown Castle Inc. | 41,447 | 7,080 | ||||
Prologis Inc. | 50,224 | 6,253 | ||||
Digital Realty Trust Inc. | 49,533 | 6,124 | ||||
Welltower Inc. | 78,883 | 6,046 | ||||
Equinix Inc. | 8,550 | 5,621 | ||||
VICI Properties Inc. | 167,633 | 5,530 | ||||
Equity Residential | 59,591 | 4,361 | ||||
Alexandria Real Estate Equities Inc. | 25,867 | 3,968 | ||||
Public Storage | 10,905 | 3,608 | ||||
Ventas Inc. | 69,396 | 3,321 | ||||
AvalonBay Communities Inc. | 14,099 | 2,833 | ||||
SBA Communications Corp. Class A | 8,245 | 2,682 | ||||
Weyerhaeuser Co. | 75,335 | 2,573 | ||||
Healthpeak Properties Inc. | 94,147 | 2,471 | ||||
Simon Property Group Inc. | 22,928 | 2,338 | ||||
Kimco Realty Corp. | 107,258 | 2,261 | ||||
* | CBRE Group Inc. Class A | 28,358 | 2,239 | |||
Host Hotels & Resorts Inc. | 124,105 | 2,205 | ||||
Boston Properties Inc. | 24,747 | 1,966 | ||||
Essex Property Trust Inc. | 6,358 | 1,685 | ||||
Regency Centers Corp. | 26,965 | 1,641 | ||||
Duke Realty Corp. | 23,370 | 1,375 | ||||
Mid-America Apartment Communities Inc. | 7,609 | 1,261 | ||||
UDR Inc. | 23,334 | 1,047 | ||||
Iron Mountain Inc. | 19,640 | 1,033 | ||||
Federal Realty Investment Trust | 7,207 | 730 | ||||
Vornado Realty Trust | 27,641 | 725 | ||||
100,183 | ||||||
Utilities (6.1%) | ||||||
NextEra Energy Inc. | 341,705 | 29,065 | ||||
Duke Energy Corp. | 133,947 | 14,320 | ||||
Southern Co. | 184,838 | 14,245 | ||||
Dominion Energy Inc. | 141,045 | 11,537 | ||||
Sempra Energy | 54,654 | 9,016 | ||||
American Electric Power Co. Inc. | 89,290 | 8,947 | ||||
Exelon Corp. | 170,314 | 7,478 |
Shares | Market Value• ($000) | |||||
Xcel Energy Inc. | 94,750 | 7,035 | ||||
Consolidated Edison Inc. | 61,640 | 6,025 | ||||
WEC Energy Group Inc. | 54,901 | 5,662 | ||||
Public Service Enterprise Group Inc. | 86,903 | 5,593 | ||||
Eversource Energy | 60,035 | 5,385 | ||||
American Water Works Co. Inc. | 31,573 | 4,687 | ||||
Constellation Energy Corp. | 56,729 | 4,628 | ||||
Edison International | 66,397 | 4,500 | ||||
DTE Energy Co. | 33,749 | 4,399 | ||||
Ameren Corp. | 44,982 | 4,166 | ||||
Entergy Corp. | 35,428 | 4,085 | ||||
FirstEnergy Corp. | 99,502 | 3,935 | ||||
PPL Corp. | 127,780 | 3,716 | ||||
CenterPoint Energy Inc. | 109,280 | 3,446 | ||||
CMS Energy Corp. | 50,367 | 3,402 | ||||
AES Corp. | 115,911 | 2,950 | ||||
Atmos Energy Corp. | 24,127 | 2,736 | ||||
Evergy Inc. | 39,860 | 2,732 | ||||
Alliant Energy Corp. | 43,545 | 2,658 | ||||
NiSource Inc. | 70,440 | 2,079 | ||||
Pinnacle West Capital Corp. | 19,599 | 1,477 | ||||
179,904 | ||||||
Total Common Stocks (Cost $2,929,032) | 2,960,877 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 2.284% (Cost $13,487) | 134,910 | 13,487 | |||
Total Investments (100.2%) (Cost $2,942,519) | 2,974,364 | |||||
Other Assets and Liabilities—Net (-0.2%) | (5,495) | |||||
Net Assets (100%) | 2,968,869 |
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 $12,062,000. |
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 $12,416,000 was received for securities on loan. |
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 | September 2022 | 22 | 4,352 | (160) |
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) |
AT&T Inc. | 8/31/23 | BANA | 3,662 | (2.315) | — | (249) |
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 Value1 | |
Unaffiliated Issuers (Cost $2,929,032) | 2,960,877 |
Affiliated Issuers (Cost $13,487) | 13,487 |
Total Investments in Securities | 2,974,364 |
Investment in Vanguard | 113 |
Cash Collateral Pledged—Futures Contracts | 150 |
Receivables for Investment Securities Sold | 97 |
Receivables for Accrued Income | 7,053 |
Receivables for Capital Shares Issued | 57 |
Total Assets | 2,981,834 |
Liabilities | |
Due to Custodian | 98 |
Payables for Investment Securities Purchased | 7 |
Collateral for Securities on Loan | 12,416 |
Payables for Capital Shares Redeemed | 38 |
Payables to Vanguard | 134 |
Variation Margin Payable—Futures Contracts | 23 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 249 |
Total Liabilities | 12,965 |
Net Assets | 2,968,869 |
1 Includes $12,062 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 3,065,653 |
Total Distributable Earnings (Loss) | (96,784) |
Net Assets | 2,968,869 |
ETF Shares—Net Assets | |
Applicable to 20,500,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,800,576 |
Net Asset Value Per Share—ETF Shares | $136.61 |
Institutional Shares—Net Assets | |
Applicable to 561,671 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 168,293 |
Net Asset Value Per Share—Institutional Shares | $299.63 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 63,668 |
Interest2 | 27 |
Securities Lending—Net | — |
Total Income | 63,695 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 333 |
Management and Administrative—ETF Shares | 2,074 |
Management and Administrative—Institutional Shares | 108 |
Marketing and Distribution—ETF Shares | 140 |
Marketing and Distribution—Institutional Shares | 6 |
Custodian Fees | 81 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 78 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 14 |
Total Expenses | 2,863 |
Net Investment Income | 60,832 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 167,538 |
Futures Contracts | 223 |
Swap Contracts | (333) |
Realized Net Gain (Loss) | 167,428 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (390,415) |
Futures Contracts | (297) |
Swap Contracts | (276) |
Change in Unrealized Appreciation (Depreciation) | (390,988) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (162,728) |
1 | Dividends are net of foreign withholding taxes of $11,000. |
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 $27,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $207,111,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 60,832 | 44,010 |
Realized Net Gain (Loss) | 167,428 | 51,566 |
Change in Unrealized Appreciation (Depreciation) | (390,988) | 446,815 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (162,728) | 542,391 |
Distributions | ||
ETF Shares | (54,037) | (37,692) |
Institutional Shares | (3,520) | (3,053) |
Total Distributions | (57,557) | (40,745) |
Capital Share Transactions | ||
ETF Shares | 658,546 | 643,375 |
Institutional Shares | 4,677 | 35,191 |
Net Increase (Decrease) from Capital Share Transactions | 663,223 | 678,566 |
Total Increase (Decrease) | 442,938 | 1,180,212 |
Net Assets | ||
Beginning of Period | 2,525,931 | 1,345,719 |
End of Period | 2,968,869 | 2,525,931 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $146.23 | $112.29 | $111.46 | $111.93 | $101.33 |
Investment Operations | |||||
Net Investment Income1 | 3.029 | 2.897 | 2.984 | 2.694 | 2.558 |
Net Realized and Unrealized Gain (Loss) on Investments | (9.703) | 33.786 | .683 | (.511) | 10.535 |
Total from Investment Operations | (6.674) | 36.683 | 3.667 | 2.183 | 13.093 |
Distributions | |||||
Dividends from Net Investment Income | (2.946) | (2.743) | (2.837) | (2.653) | (2.493) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.946) | (2.743) | (2.837) | (2.653) | (2.493) |
Net Asset Value, End of Period | $136.61 | $146.23 | $112.29 | $111.46 | $111.93 |
Total Return | -4.63% | 33.10% | 3.33% | 2.05% | 13.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,801 | $2,351 | $1,244 | $984 | $873 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.10% | 2.19% | 2.66% | 2.48% | 2.38% |
Portfolio Turnover Rate2 | 16% | 18% | 31% | 28% | 20% |
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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $320.71 | $246.27 | $244.40 | $245.49 | $222.23 |
Investment Operations | |||||
Net Investment Income1 | 6.731 | 6.402 | 6.596 | 5.950 | 6.077 |
Net Realized and Unrealized Gain (Loss) on Investments | (21.295) | 74.102 | 1.491 | (1.115) | 22.813 |
Total from Investment Operations | (14.564) | 80.504 | 8.087 | 4.835 | 28.890 |
Distributions | |||||
Dividends from Net Investment Income | (6.516) | (6.064) | (6.217) | (5.925) | (5.630) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.516) | (6.064) | (6.217) | (5.925) | (5.630) |
Net Asset Value, End of Period | $299.63 | $320.71 | $246.27 | $244.40 | $245.49 |
Total Return | -4.60% | 33.14% | 3.39% | 2.07% | 13.18% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $168 | $175 | $102 | $94 | $89 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.12% | 2.22% | 2.68% | 2.50% | 2.45% |
Portfolio Turnover Rate2 | 16% | 18% | 31% | 28% | 20% |
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 | 2,960,877 | — | — | 2,960,877 |
Temporary Cash Investments | 13,487 | — | — | 13,487 |
Total | 2,974,364 | — | — | 2,974,364 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 160 | — | — | 160 |
Swap Contracts | — | 249 | — | 249 |
Total | 160 | 249 | — | 409 |
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. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 206,999 |
Total Distributable Earnings (Loss) | (206,999) |
Amount ($000) | |
Undistributed Ordinary Income | 13,763 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (137,050) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 26,503 |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 57,557 | 40,745 |
Long-Term Capital Gains | — | — |
Total | 57,557 | 40,745 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 2,947,861 |
Gross Unrealized Appreciation | 319,993 |
Gross Unrealized Depreciation | (293,490) |
Net Unrealized Appreciation (Depreciation) | 26,503 |
E. | During the year ended August 31, 2022, the fund purchased $1,739,062,000 of investment securities and sold $1,068,293,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,220,790,000 and $606,039,000, 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: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,264,192 | 8,600 | 885,386 | 6,850 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (605,646) | (4,175) | (242,011) | (1,850) | |
Net Increase (Decrease)—ETF Shares | 658,546 | 4,425 | 643,375 | 5,000 |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 50,529 | 158 | 44,346 | 164 | |
Issued in Lieu of Cash Distributions | 3,266 | 11 | 2,575 | 9 | |
Redeemed | (49,118) | (154) | (11,730) | (40) | |
Net Increase (Decrease)—Institutional Shares | 4,677 | 15 | 35,191 | 133 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P 500 Growth Index Fund ETF Shares Net Asset Value | -17.52% | 13.91% | 14.48% | $38,662 | |
S&P 500 Growth Index Fund ETF Shares Market Price | -17.54 | 13.90 | 14.48 | 38,664 | |
S&P 500 Growth Index | -17.43 | 14.04 | 14.63 | 39,176 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Since Inception (4/5/2019) 1 | Final Value of a $5,000,000 Investment | ||
S&P 500 Growth Index Fund Institutional Shares | -17.50% | 13.17% | $7,619,616 | |
S&P 500 Growth Index | -17.43 | 13.26 | 7,639,829 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 10.66 | 7,060,667 |
1 | Institutional Shares commenced operations on October 17, 2018, and on December 13, 2018, all outstanding shares were redeemed; the return for this period was -5.47%. On April 5, 2019, the class recommenced operations. The total returns shown for both the fund and its comparative standards are based on the period beginning April 5, 2019. |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P 500 Growth Index Fund ETF Shares Market Price | -17.54% | 91.70% | 286.64% |
S&P 500 Growth Index Fund ETF Shares Net Asset Value | -17.52 | 91.75 | 286.62 |
S&P 500 Growth Index | -17.43 | 92.86 | 291.76 |
Communication Services | 10.8% |
Consumer Discretionary | 16.7 |
Consumer Staples | 1.8 |
Energy | 1.2 |
Financials | 6.8 |
Health Care | 11.4 |
Industrials | 3.4 |
Information Technology | 44.2 |
Materials | 1.3 |
Real Estate | 2.3 |
Utilities | 0.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (10.8%) | ||||||
* | Alphabet Inc. Class A | 2,512,770 | 271,932 | |||
* | Alphabet Inc. Class C | 2,324,686 | 253,739 | |||
* | Meta Platforms Inc. Class A | 962,150 | 156,763 | |||
* | Netflix Inc. | 186,365 | 41,664 | |||
* | Twitter Inc. | 153,356 | 5,943 | |||
* | Take-Two Interactive Software Inc. | 41,116 | 5,039 | |||
* | Live Nation Entertainment Inc. | 24,700 | 2,232 | |||
737,312 | ||||||
Consumer Discretionary (16.6%) | ||||||
* | Amazon.com Inc. | 3,670,565 | 465,318 | |||
* | Tesla Inc. | 1,056,055 | 291,059 | |||
Home Depot Inc. | 329,487 | 95,031 | ||||
Lowe's Cos. Inc. | 277,407 | 53,856 | ||||
McDonald's Corp. | 139,632 | 35,226 | ||||
NIKE Inc. Class B | 287,426 | 30,596 | ||||
Starbucks Corp. | 245,305 | 20,623 | ||||
* | O'Reilly Automotive Inc. | 27,571 | 19,220 | |||
* | AutoZone Inc. | 8,325 | 17,642 | |||
Target Corp. | 106,740 | 17,115 | ||||
* | Chipotle Mexican Grill Inc. Class A | 7,869 | 12,565 | |||
Tractor Supply Co. | 46,940 | 8,691 | ||||
eBay Inc. | 181,027 | 7,989 | ||||
Yum! Brands Inc. | 56,236 | 6,256 | ||||
Hilton Worldwide Holdings Inc. | 47,886 | 6,099 | ||||
Pool Corp. | 16,802 | 5,699 | ||||
* | Etsy Inc. | 53,316 | 5,631 | |||
* | Ulta Beauty Inc. | 12,269 | 5,151 | |||
DR Horton Inc. | 71,236 | 5,068 | ||||
* | Aptiv plc | 46,609 | 4,355 | |||
Domino's Pizza Inc. | 10,143 | 3,772 | ||||
* | CarMax Inc. | 35,648 | 3,153 | |||
Garmin Ltd. | 32,650 | 2,889 | ||||
LKQ Corp. | 46,956 | 2,499 | ||||
* | Caesars Entertainment Inc. | 57,600 | 2,484 | |||
* | NVR Inc. | 595 | 2,463 |
Shares | Market Value• ($000) | |||||
Bath & Body Works Inc. | 65,093 | 2,430 | ||||
Advance Auto Parts Inc. | 12,301 | 2,074 | ||||
Newell Brands Inc. | 81,845 | 1,461 | ||||
1,136,415 | ||||||
Consumer Staples (1.8%) | ||||||
Costco Wholesale Corp. | 94,831 | 49,511 | ||||
PepsiCo Inc. | 243,620 | 41,968 | ||||
Estee Lauder Cos. Inc. Class A | 57,353 | 14,590 | ||||
* | Monster Beverage Corp. | 82,035 | 7,287 | |||
Hershey Co. | 27,550 | 6,190 | ||||
Keurig Dr Pepper Inc. | 73,576 | 2,805 | ||||
122,351 | ||||||
Energy (1.2%) | ||||||
Devon Energy Corp. | 257,550 | 18,188 | ||||
EOG Resources Inc. | 113,023 | 13,710 | ||||
Pioneer Natural Resources Co. | 52,864 | 13,386 | ||||
Occidental Petroleum Corp. | 153,117 | 10,871 | ||||
Hess Corp. | 82,506 | 9,965 | ||||
Diamondback Energy Inc. | 71,692 | 9,555 | ||||
ONEOK Inc. | 80,563 | 4,933 | ||||
APA Corp. | 78,085 | 3,054 | ||||
83,662 | ||||||
Financials (6.8%) | ||||||
JPMorgan Chase & Co. | 566,784 | 64,460 | ||||
Goldman Sachs Group Inc. | 144,177 | 47,963 | ||||
Bank of America Corp. | 1,308,715 | 43,986 | ||||
S&P Global Inc. | 88,828 | 31,283 | ||||
Charles Schwab Corp. | 430,178 | 30,521 | ||||
Morgan Stanley | 287,680 | 24,516 | ||||
Marsh & McLennan Cos. Inc. | 128,433 | 20,725 | ||||
BlackRock Inc. | 31,053 | 20,693 | ||||
American Express Co. | 112,598 | 17,115 | ||||
MSCI Inc. Class A | 34,033 | 15,289 | ||||
Aon plc Class A | 53,455 | 14,928 | ||||
Intercontinental Exchange Inc. | 133,482 | 13,462 | ||||
Moody's Corp. | 44,445 | 12,646 | ||||
Discover Financial Services | 117,886 | 11,846 |
Shares | Market Value• ($000) | |||||
First Republic Bank | 75,290 | 11,431 | ||||
* | SVB Financial Group | 24,689 | 10,037 | |||
Capital One Financial Corp. | 79,188 | 8,380 | ||||
T. Rowe Price Group Inc. | 66,752 | 8,010 | ||||
Ameriprise Financial Inc. | 28,124 | 7,538 | ||||
Arthur J Gallagher & Co. | 38,774 | 7,040 | ||||
Nasdaq Inc. | 113,127 | 6,735 | ||||
Raymond James Financial Inc. | 48,139 | 5,024 | ||||
Signature Bank | 26,387 | 4,601 | ||||
Brown & Brown Inc. | 67,867 | 4,278 | ||||
FactSet Research Systems Inc. | 9,237 | 4,003 | ||||
Synchrony Financial | 119,975 | 3,929 | ||||
Regions Financial Corp. | 176,465 | 3,824 | ||||
Cboe Global Markets Inc. | 25,901 | 3,056 | ||||
Cincinnati Financial Corp. | 29,342 | 2,845 | ||||
Comerica Inc. | 24,646 | 1,979 | ||||
MarketAxess Holdings Inc. | 7,596 | 1,888 | ||||
Zions Bancorp NA | 30,506 | 1,679 | ||||
Franklin Resources Inc. | 53,004 | 1,382 | ||||
467,092 | ||||||
Health Care (11.4%) | ||||||
Eli Lilly & Co. | 330,841 | 99,659 | ||||
Thermo Fisher Scientific Inc. | 164,223 | 89,554 | ||||
UnitedHealth Group Inc. | 165,299 | 85,845 | ||||
Pfizer Inc. | 1,271,018 | 57,488 | ||||
AbbVie Inc. | 400,288 | 53,823 | ||||
Danaher Corp. | 184,558 | 49,814 | ||||
Abbott Laboratories | 389,341 | 39,966 | ||||
* | Regeneron Pharmaceuticals Inc. | 45,309 | 26,327 | |||
Amgen Inc. | 91,921 | 22,089 | ||||
* | Intuitive Surgical Inc. | 103,900 | 21,376 | |||
Zoetis Inc. Class A | 130,311 | 20,398 | ||||
* | Moderna Inc. | 145,181 | 19,203 | |||
* | Vertex Pharmaceuticals Inc. | 64,369 | 18,137 | |||
* | Edwards Lifesciences Corp. | 164,314 | 14,805 | |||
* | Dexcom Inc. | 164,643 | 13,535 | |||
* | IQVIA Holdings Inc. | 57,964 | 12,327 | |||
Stryker Corp. | 57,889 | 11,879 | ||||
HCA Healthcare Inc. | 55,383 | 10,959 | ||||
Agilent Technologies Inc. | 75,526 | 9,686 | ||||
West Pharmaceutical Services Inc. | 31,060 | 9,215 | ||||
* | IDEXX Laboratories Inc. | 24,329 | 8,457 | |||
ResMed Inc. | 35,590 | 7,827 | ||||
* | Align Technology Inc. | 30,744 | 7,492 | |||
* | Mettler-Toledo International Inc. | 5,991 | 7,264 | |||
PerkinElmer Inc. | 52,916 | 7,147 | ||||
* | Illumina Inc. | 32,280 | 6,509 | |||
* | Waters Corp. | 18,701 | 5,584 | |||
Bio-Techne Corp. | 16,483 | 5,469 | ||||
* | Hologic Inc. | 77,445 | 5,232 |
Shares | Market Value• ($000) | |||||
Laboratory Corp. of America Holdings | 20,622 | 4,646 | ||||
* | Charles River Laboratories International Inc. | 21,308 | 4,374 | |||
* | Molina Healthcare Inc. | 12,060 | 4,069 | |||
* | Catalent Inc. | 45,130 | 3,971 | |||
STERIS plc | 17,619 | 3,548 | ||||
Quest Diagnostics Inc. | 22,643 | 2,837 | ||||
* | ABIOMED Inc. | 10,489 | 2,720 | |||
* | Bio-Rad Laboratories Inc. Class A | 4,986 | 2,418 | |||
* | Incyte Corp. | 33,997 | 2,394 | |||
778,043 | ||||||
Industrials (3.4%) | ||||||
United Parcel Service Inc. Class B | 132,481 | 25,769 | ||||
Union Pacific Corp. | 108,032 | 24,254 | ||||
Deere & Co. | 53,880 | 19,680 | ||||
Waste Management Inc. | 81,728 | 13,814 | ||||
Old Dominion Freight Line Inc. | 38,523 | 10,456 | ||||
Equifax Inc. | 51,319 | 9,686 | ||||
Johnson Controls International plc | 178,037 | 9,639 | ||||
Illinois Tool Works Inc. | 48,756 | 9,499 | ||||
L3Harris Technologies Inc. | 33,984 | 7,755 | ||||
* | Copart Inc. | 60,985 | 7,297 | |||
Expeditors International of Washington Inc. | 70,375 | 7,241 | ||||
Cintas Corp. | 16,778 | 6,826 | ||||
Verisk Analytics Inc. Class A | 33,787 | 6,324 | ||||
Rockwell Automation Inc. | 25,371 | 6,011 | ||||
* | Generac Holdings Inc. | 26,773 | 5,901 | |||
Fastenal Co. | 115,893 | 5,833 | ||||
TransDigm Group Inc. | 9,569 | 5,745 | ||||
Republic Services Inc. Class A | 38,460 | 5,489 | ||||
* | United Rentals Inc. | 18,018 | 5,262 | |||
Otis Worldwide Corp. | 70,883 | 5,119 | ||||
Quanta Services Inc. | 32,556 | 4,600 | ||||
JB Hunt Transport Services Inc. | 20,782 | 3,616 | ||||
Dover Corp. | 27,870 | 3,483 | ||||
Nordson Corp. | 13,558 | 3,080 | ||||
Jacobs Solutions Inc. | 23,762 | 2,960 | ||||
Xylem Inc. | 30,957 | 2,820 | ||||
IDEX Corp. | 13,075 | 2,631 | ||||
Robert Half International Inc. | 31,517 | 2,426 | ||||
Masco Corp. | 47,513 | 2,417 | ||||
Pentair plc | 40,169 | 1,788 | ||||
A O Smith Corp. | 27,269 | 1,539 | ||||
Fortune Brands Home & Security Inc. | 24,712 | 1,518 | ||||
Rollins Inc. | 41,800 | 1,411 | ||||
231,889 |
Shares | Market Value• ($000) | |||||
Information Technology (44.1%) | ||||||
Apple Inc. | 6,450,583 | 1,014,161 | ||||
Microsoft Corp. | 3,137,457 | 820,351 | ||||
NVIDIA Corp. | 1,050,392 | 158,546 | ||||
* | Adobe Inc. | 198,203 | 74,017 | |||
QUALCOMM Inc. | 469,862 | 62,149 | ||||
Visa Inc. Class A | 296,881 | 58,993 | ||||
* | Advanced Micro Devices Inc. | 679,841 | 57,698 | |||
Mastercard Inc. Class A | 169,326 | 54,924 | ||||
Intuit Inc. | 118,644 | 51,228 | ||||
Oracle Corp. | 660,364 | 48,966 | ||||
Broadcom Inc. | 97,639 | 48,733 | ||||
Accenture plc Class A | 154,103 | 44,453 | ||||
* | Salesforce Inc. | 254,213 | 39,688 | |||
* | ServiceNow Inc. | 84,080 | 36,543 | |||
Cisco Systems Inc. | 784,291 | 35,073 | ||||
Applied Materials Inc. | 370,604 | 34,863 | ||||
Texas Instruments Inc. | 189,549 | 31,315 | ||||
Lam Research Corp. | 58,190 | 25,482 | ||||
* | PayPal Holdings Inc. | 262,346 | 24,514 | |||
Automatic Data Processing Inc. | 92,879 | 22,701 | ||||
KLA Corp. | 62,610 | 21,546 | ||||
* | Cadence Design Systems Inc. | 115,676 | 20,101 | |||
* | Enphase Energy Inc. | 56,641 | 16,224 | |||
* | Synopsys Inc. | 43,066 | 14,902 | |||
* | Autodesk Inc. | 58,408 | 11,783 | |||
NXP Semiconductors NV | 69,406 | 11,423 | ||||
* | Arista Networks Inc. | 94,391 | 11,316 | |||
* | EPAM Systems Inc. | 23,964 | 10,221 | |||
* | Fortinet Inc. | 209,478 | 10,199 | |||
Motorola Solutions Inc. | 41,400 | 10,077 | ||||
Amphenol Corp. Class A | 132,664 | 9,755 | ||||
* | Gartner Inc. | 33,794 | 9,642 | |||
* | ON Semiconductor Corp. | 137,241 | 9,438 | |||
* | Keysight Technologies Inc. | 57,261 | 9,384 | |||
Paychex Inc. | 71,438 | 8,811 | ||||
Monolithic Power Systems Inc. | 18,393 | 8,335 | ||||
Microchip Technology Inc. | 111,952 | 7,305 | ||||
HP Inc. | 221,005 | 6,345 | ||||
CDW Corp. | 33,396 | 5,701 | ||||
Teradyne Inc. | 67,214 | 5,689 | ||||
* | ANSYS Inc. | 22,597 | 5,611 | |||
* | Paycom Software Inc. | 15,151 | 5,321 | |||
* | Zebra Technologies Corp. Class A | 16,092 | 4,854 | |||
* | SolarEdge Technologies Inc. | 17,421 | 4,808 | |||
NetApp Inc. | 66,281 | 4,781 | ||||
Seagate Technology Holdings plc | 60,536 | 4,053 | ||||
* | Tyler Technologies Inc. | 10,778 | 4,004 | |||
* | Trimble Inc. | 58,856 | 3,723 | |||
Broadridge Financial Solutions Inc. | 21,624 | 3,701 |
Shares | Market Value• ($000) | |||||
* | VeriSign Inc. | 18,792 | 3,424 | |||
Skyworks Solutions Inc. | 31,734 | 3,127 | ||||
* | Akamai Technologies Inc. | 28,237 | 2,549 | |||
* | PTC Inc. | 22,153 | 2,545 | |||
* | F5 Inc. | 13,452 | 2,113 | |||
* | Qorvo Inc. | 22,258 | 1,998 | |||
* | Ceridian HCM Holding Inc. | 23,660 | 1,411 | |||
3,020,618 | ||||||
Materials (1.3%) | ||||||
Linde plc | 107,681 | 30,459 | ||||
Sherwin-Williams Co. | 53,204 | 12,349 | ||||
Albemarle Corp. | 33,397 | 8,949 | ||||
Nucor Corp. | 60,279 | 8,013 | ||||
Freeport-McMoRan Inc. | 267,545 | 7,919 | ||||
CF Industries Holdings Inc. | 52,526 | 5,434 | ||||
Martin Marietta Materials Inc. | 15,158 | 5,271 | ||||
Vulcan Materials Co. | 26,792 | 4,461 | ||||
Avery Dennison Corp. | 17,488 | 3,211 | ||||
Celanese Corp. Class A | 19,551 | 2,167 | ||||
Sealed Air Corp. | 33,724 | 1,815 | ||||
90,048 | ||||||
Real Estate (2.3%) | ||||||
American Tower Corp. | 99,409 | 25,255 | ||||
Prologis Inc. | 189,420 | 23,585 | ||||
Crown Castle Inc. | 81,733 | 13,962 | ||||
Public Storage | 37,792 | 12,503 | ||||
Equinix Inc. | 17,567 | 11,548 | ||||
Extra Space Storage Inc. | 56,335 | 11,195 | ||||
Simon Property Group Inc. | 82,648 | 8,428 | ||||
SBA Communications Corp. Class A | 25,344 | 8,243 | ||||
Duke Realty Corp. | 104,814 | 6,168 | ||||
Camden Property Trust | 44,657 | 5,739 | ||||
* | CBRE Group Inc. Class A | 68,549 | 5,413 | |||
Mid-America Apartment Communities Inc. | 30,019 | 4,973 | ||||
AvalonBay Communities Inc. | 24,638 | 4,950 | ||||
Weyerhaeuser Co. | 131,349 | 4,487 | ||||
Iron Mountain Inc. | 74,354 | 3,912 | ||||
Essex Property Trust Inc. | 12,068 | 3,199 | ||||
UDR Inc. | 68,877 | 3,091 | ||||
Federal Realty Investment Trust | 12,631 | 1,279 | ||||
157,930 | ||||||
Utilities (0.1%) | ||||||
NRG Energy Inc. | 99,570 | 4,110 | ||||
Total Common Stocks (Cost $6,018,252) | 6,829,470 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund, 2.284% (Cost $9,529) | 95,331 | 9,530 | |||
Total Investments (99.9%) (Cost $6,027,781) | 6,839,000 | |||||
Other Assets and Liabilities—Net (0.1%) | 6,263 | |||||
Net Assets (100%) | 6,845,263 |
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 | September 2022 | 30 | 7,371 | (384) |
E-mini S&P 500 Index | September 2022 | 15 | 2,968 | (41) |
(425) |
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) |
Fortinet Inc. | 8/31/23 | BANA | 4,176 | (2.306) | — | (775) |
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 $6,018,252) | 6,829,470 |
Affiliated Issuers (Cost $9,529) | 9,530 |
Total Investments in Securities | 6,839,000 |
Investment in Vanguard | 257 |
Cash | 26 |
Cash Collateral Pledged—Futures Contracts | 600 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 530 |
Receivables for Accrued Income | 6,071 |
Receivables for Capital Shares Issued | 2 |
Total Assets | 6,846,486 |
Liabilities | |
Payables for Investment Securities Purchased | 60 |
Payables for Capital Shares Redeemed | 1 |
Payables to Vanguard | 320 |
Variation Margin Payable—Futures Contracts | 67 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 775 |
Total Liabilities | 1,223 |
Net Assets | 6,845,263 |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 6,205,013 |
Total Distributable Earnings (Loss) | 640,250 |
Net Assets | 6,845,263 |
ETF Shares—Net Assets | |
Applicable to 29,445,972 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,839,142 |
Net Asset Value Per Share—ETF Shares | $232.26 |
Institutional Shares—Net Assets | |
Applicable to 11,585 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,121 |
Net Asset Value Per Share—Institutional Shares | $528.34 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 59,526 |
Interest2 | 52 |
Total Income | 59,578 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 858 |
Management and Administrative—ETF Shares | 5,718 |
Management and Administrative—Institutional Shares | 10 |
Marketing and Distribution—ETF Shares | 322 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 10 |
Auditing Fees | 31 |
Shareholders’ Reports—ETF Shares | 183 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 3 |
Other Expenses | 14 |
Total Expenses | 7,150 |
Expenses Paid Indirectly | (10) |
Net Expenses | 7,140 |
Net Investment Income | 52,438 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 534,559 |
Futures Contracts | (2,814) |
Swap Contracts | (957) |
Realized Net Gain (Loss) | 530,788 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (2,016,568) |
Futures Contracts | (814) |
Swap Contracts | (921) |
Change in Unrealized Appreciation (Depreciation) | (2,018,303) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,435,077) |
1 | Dividends are net of foreign withholding taxes of $18,000. |
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 $52,000, ($3,000), less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $597,940,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 52,438 | 38,378 |
Realized Net Gain (Loss) | 530,788 | 240,899 |
Change in Unrealized Appreciation (Depreciation) | (2,018,303) | 1,201,164 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,435,077) | 1,480,441 |
Distributions | ||
ETF Shares | (48,040) | (37,279) |
Institutional Shares | (108) | (106) |
Total Distributions | (48,148) | (37,385) |
Capital Share Transactions | ||
ETF Shares | 1,542,386 | 853,598 |
Institutional Shares | (18,702) | 14,513 |
Net Increase (Decrease) from Capital Share Transactions | 1,523,684 | 868,111 |
Total Increase (Decrease) | 40,459 | 2,311,167 |
Net Assets | ||
Beginning of Period | 6,804,804 | 4,493,637 |
End of Period | 6,845,263 | 6,804,804 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $283.53 | $219.32 | $161.81 | $158.27 | $127.78 |
Investment Operations | |||||
Net Investment Income1 | 1.923 | 1.751 | 2.111 | 2.156 | 1.833 |
Net Realized and Unrealized Gain (Loss) on Investments | (51.406) | 64.190 | 57.589 | 3.437 | 30.442 |
Total from Investment Operations | (49.483) | 65.941 | 59.700 | 5.593 | 32.275 |
Distributions | |||||
Dividends from Net Investment Income | (1.787) | (1.731) | (2.190) | (2.053) | (1.785) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.787) | (1.731) | (2.190) | (2.053) | (1.785) |
Net Asset Value, End of Period | $232.26 | $283.53 | $219.32 | $161.81 | $158.27 |
Total Return | -17.52% | 30.26% | 37.29% | 3.60% | 25.48% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,839 | $6,776 | $4,485 | $2,755 | $2,327 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 0.73% | 0.73% | 1.20% | 1.41% | 1.29% |
Portfolio Turnover Rate3 | 13% | 12% | 24% | 23% | 18% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
3 | 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 | Year Ended August 31, | April 5, 20191 to August 31, 2019 | October 17, 20181 to December 13, 2018 | ||
2022 | 2021 | 2020 | |||
Net Asset Value, Beginning of Period | $644.91 | $498.89 | $368.04 | $356.55 | $343.28 |
Investment Operations | |||||
Net Investment Income2 | 4.203 | 3.959 | 4.861 | 3.777 | .856 |
Net Realized and Unrealized Gain (Loss) on Investments | (116.631) | 146.133 | 131.012 | 7.713 | (19.628) |
Total from Investment Operations | (112.428) | 150.092 | 135.873 | 11.490 | (18.772) |
Distributions | |||||
Dividends from Net Investment Income | (4.142) | (4.072) | (5.023) | — | (.938) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.142) | (4.072) | (5.023) | — | (.938) |
Net Asset Value, End of Period | $528.34 | $644.91 | $498.89 | $368.04 | $323.57 |
Total Return | -17.50% | 30.29% | 37.35% | 3.22% | -5.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6 | $28 | $9 | $7 | — |
Ratio of Total Expenses to Average Net Assets | 0.08%3 | 0.08% | 0.08% | 0.08%4 | 0.08%4 |
Ratio of Net Investment Income to Average Net Assets | 0.68% | 0.71% | 1.22% | 2.52%4 | 1.64%4 |
Portfolio Turnover Rate5 | 13% | 12% | 24% | 23%6 | 23%6 |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
4 | Annualized. |
5 | 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. |
6 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $10,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 6,829,470 | — | — | 6,829,470 |
Temporary Cash Investments | 9,530 | — | — | 9,530 |
Total | 6,839,000 | — | — | 6,839,000 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 425 | — | — | 425 |
Swap Contracts | — | 775 | — | 775 |
Total | 425 | 775 | — | 1,200 |
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. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 597,874 |
Total Distributable Earnings (Loss) | (597,874) |
Amount ($000) | |
Undistributed Ordinary Income | 10,887 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (179,151) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 808,514 |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 48,148 | 37,385 |
Long-Term Capital Gains | — | — |
Total | 48,148 | 37,385 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 6,030,486 |
Gross Unrealized Appreciation | 1,470,250 |
Gross Unrealized Depreciation | (661,736) |
Net Unrealized Appreciation (Depreciation) | 808,514 |
F. | During the year ended August 31, 2022, the fund purchased $3,826,806,000 of investment securities and sold $2,301,188,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,847,027,000 and $1,391,101,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
G. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 2,939,972 | 10,746 | 1,457,681 | 6,075 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,397,586) | (5,200) | (604,083) | (2,625) | |
Net Increase (Decrease)—ETF Shares | 1,542,386 | 5,546 | 853,598 | 3,450 | |
Institutional Shares | |||||
Issued | 554 | 1 | 15,809 | 30 | |
Issued in Lieu of Cash Distributions | 87 | — | 48 | — | |
Redeemed | (19,343) | (33) | (1,344) | (3) | |
Net Increase (Decrease)—Institutional Shares | (18,702) | (32) | 14,513 | 27 |
H. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
October 18, 2022
Fund | Percentage |
S&P 500 Value Index Fund | 97.5% |
S&P 500 Growth Index Fund | 100.0 |
Fund | ($000) |
S&P 500 Value Index Fund | 57,557 |
S&P 500 Growth Index Fund | 48,148 |
Fund | ($000) |
S&P 500 Value Index Fund | 9 |
S&P 500 Growth Index Fund | 18 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
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 |
1 | |
2 | |
4 | |
27 | |
49 | |
69 | |
71 |
• | Reflecting the dismal market trends for the 12 months ended August 31, 2022, returns for the three Vanguard S&P Small-Cap 600 Index Funds ranged from –16.27% for ETF Shares (based on net asset value) of the Growth Index Fund to –8.20% for Institutional Shares of the Value Index Fund. |
• | The investment outlook grew more challenging during the fiscal year. Sentiment deteriorated as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. The Federal Reserve reacted by raising interest rates, which pushed borrowing costs higher and sparked fears of recession. |
• | The decline in equities was almost universal across regions, market caps, and investment styles, but value stocks saw less of a decline than their growth counterparts. |
• | Two to three sectors in each of the three funds had positive returns, most notably high double-digit returns in energy. But they were not enough to offset double-digit declines in consumer discretionary, health care, information technology, and real estate. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -12.96% | 12.14% | 11.61% |
Russell 2000 Index (Small-caps) | -17.88 | 8.59 | 6.95 |
Russell 3000 Index (Broad U.S. market) | -13.28 | 11.90 | 11.29 |
FTSE All-World ex US Index (International) | -19.00 | 3.48 | 2.12 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -11.65% | -2.01% | 0.54% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.63 | -0.83 | 1.28 |
FTSE Three-Month U.S. Treasury Bill Index | 0.44 | 0.56 | 1.10 |
CPI | |||
Consumer Price Index | 8.26% | 4.90% | 3.82% |
• | 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 August 31, 2022 | |||
Beginning Account Value 2/28/2022 | Ending Account Value 8/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $906.40 | $0.48 |
Institutional Shares | 1,000.00 | 906.40 | 0.38 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $911.70 | $0.72 |
Institutional Shares | 1,000.00 | 912.10 | 0.39 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $900.10 | $0.72 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | -12.26% | 8.60% | 11.42% | $29,499 | |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | -12.20 | 8.61 | 11.42 | 29,495 | |
S&P SmallCap 600 Index | -12.12 | 8.65 | 11.50 | 29,693 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Small-Cap 600 Index Fund Institutional Shares | -12.21% | 8.63% | 11.48% | $14,825,479 | |
S&P SmallCap 600 Index | -12.12 | 8.65 | 11.50 | 14,846,524 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 16,470,991 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | -12.20% | 51.10% | 194.95% |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | -12.26 | 51.04 | 194.99 |
S&P SmallCap 600 Index | -12.12 | 51.40 | 196.93 |
Communication Services | 2.2% |
Consumer Discretionary | 12.6 |
Consumer Staples | 4.8 |
Energy | 4.8 |
Financials | 18.5 |
Health Care | 12.0 |
Industrials | 16.4 |
Information Technology | 13.3 |
Materials | 5.6 |
Real Estate | 7.6 |
Utilities | 2.2 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (2.2%) | ||||||
* | Yelp Inc. Class A | 301,790 | 10,312 | |||
Cogent Communications Holdings Inc. | 193,304 | 10,294 | ||||
* | TechTarget Inc. | 120,518 | 7,822 | |||
Telephone & Data Systems Inc. | 447,106 | 7,274 | ||||
* | Cinemark Holdings Inc. | 485,752 | 6,839 | |||
Scholastic Corp. | 138,126 | 6,341 | ||||
Shutterstock Inc. | 104,687 | 5,801 | ||||
Shenandoah Telecommunications Co. | 226,864 | 5,057 | ||||
* | Gogo Inc. | 308,849 | 4,590 | |||
* | EW Scripps Co. Class A | 261,295 | 3,906 | |||
* | Cars.com Inc. | 296,013 | 3,774 | |||
* | AMC Networks Inc. Class A | 135,341 | 3,626 | |||
* | QuinStreet Inc. | 228,506 | 2,744 | |||
ATN International Inc. | 49,163 | 2,303 | ||||
* | Thryv Holdings Inc. | 77,082 | 1,972 | |||
* | Consolidated Communications Holdings Inc. | 328,832 | 1,888 | |||
Marcus Corp. | 99,530 | 1,601 | ||||
* | Gannett Co. Inc. | 663,307 | 1,539 | |||
87,683 | ||||||
Consumer Discretionary (12.5%) | ||||||
* | Asbury Automotive Group Inc. | 100,162 | 17,476 | |||
Academy Sports & Outdoors Inc. | 386,411 | 16,647 | ||||
Signet Jewelers Ltd. | 213,887 | 13,982 | ||||
Group 1 Automotive Inc. | 75,196 | 13,429 | ||||
LCI Industries | 114,975 | 13,322 | ||||
* | Meritage Homes Corp. | 165,828 | 12,993 | |||
* | National Vision Holdings Inc. | 368,961 | 12,261 | |||
* | Dorman Products Inc. | 128,048 | 11,608 | |||
Steven Madden Ltd. | 339,326 | 9,878 | ||||
Installed Building Products Inc. | 104,852 | 9,495 |
Shares | Market Value• ($000) | |||||
* | Cavco Industries Inc. | 38,531 | 9,017 | |||
* | Gentherm Inc. | 150,156 | 8,994 | |||
* | Boot Barn Holdings Inc. | 134,757 | 8,978 | |||
* | LGI Homes Inc. | 94,354 | 8,955 | |||
* | Frontdoor Inc. | 372,760 | 8,752 | |||
* | Sonos Inc. | 579,421 | 8,714 | |||
Winnebago Industries Inc. | 148,547 | 8,553 | ||||
* | Shake Shack Inc. Class A | 177,737 | 8,471 | |||
* | Tri Pointe Homes Inc. | 468,674 | 8,122 | |||
MDC Holdings Inc. | 257,916 | 8,016 | ||||
Kontoor Brands Inc. | 210,158 | 7,824 | ||||
* | Six Flags Entertainment Corp. | 351,452 | 7,785 | |||
* | Adtalem Global Education Inc. | 204,585 | 7,711 | |||
Jack in the Box Inc. | 95,125 | 7,597 | ||||
Oxford Industries Inc. | 69,641 | 7,433 | ||||
Bloomin' Brands Inc. | 365,835 | 7,397 | ||||
* | Stride Inc. | 193,746 | 7,389 | |||
* | Dave & Buster's Entertainment Inc. | 176,427 | 7,293 | |||
*,1 | iRobot Corp. | 122,616 | 7,220 | |||
* | Sally Beauty Holdings Inc. | 485,017 | 7,217 | |||
Wolverine World Wide Inc. | 365,911 | 7,150 | ||||
* | Vista Outdoor Inc. | 254,192 | 7,148 | |||
* | ODP Corp. | 198,491 | 7,096 | |||
Monro Inc. | 152,055 | 7,042 | ||||
Cheesecake Factory Inc. | 222,503 | 6,813 | ||||
Strategic Education Inc. | 104,052 | 6,732 | ||||
Rent-A-Center Inc. | 243,284 | 6,286 | ||||
Century Communities Inc. | 131,341 | 6,132 | ||||
* | Urban Outfitters Inc. | 290,547 | 5,849 | |||
* | M/I Homes Inc. | 128,215 | 5,544 | |||
* | American Axle & Manufacturing Holdings Inc. | 517,986 | 5,361 | |||
Patrick Industries Inc. | 99,051 | 5,247 | ||||
La-Z-Boy Inc. | 195,771 | 5,166 | ||||
* | XPEL Inc. | 74,922 | 5,134 | |||
* | Green Brick Partners Inc. | 208,012 | 5,067 | |||
Dine Brands Global Inc. | 75,989 | 5,061 | ||||
* | Brinker International Inc. | 198,674 | 4,870 |
Shares | Market Value• ($000) | |||||
Sonic Automotive Inc. Class A | 88,280 | 4,696 | ||||
Designer Brands Inc. Class A | 274,227 | 4,678 | ||||
Caleres Inc. | 172,269 | 4,396 | ||||
Buckle Inc. | 134,169 | 4,331 | ||||
Sturm Ruger & Co. Inc. | 79,911 | 4,175 | ||||
* | Sleep Number Corp. | 100,437 | 4,161 | |||
* | G-III Apparel Group Ltd. | 195,026 | 4,109 | |||
* | Monarch Casino & Resort Inc. | 59,713 | 3,606 | |||
* | Perdoceo Education Corp. | 310,962 | 3,601 | |||
* | MarineMax Inc. | 97,758 | 3,553 | |||
* | Golden Entertainment Inc. | 91,730 | 3,510 | |||
*,1 | Bed Bath & Beyond Inc. | 361,526 | 3,445 | |||
* | Genesco Inc. | 58,657 | 3,319 | |||
* | Abercrombie & Fitch Co. Class A | 227,870 | 3,279 | |||
Hibbett Inc. | 55,127 | 3,230 | ||||
* | Chico's FAS Inc. | 565,636 | 3,213 | |||
Standard Motor Products Inc. | 85,905 | 3,153 | ||||
1 | Guess? Inc. | 163,055 | 2,849 | |||
* | BJ's Restaurants Inc. | 106,002 | 2,659 | |||
Big Lots Inc. | 129,143 | 2,656 | ||||
Ruth's Hospitality Group Inc. | 141,676 | 2,581 | ||||
* | Children's Place Inc. | 58,193 | 2,455 | |||
Ethan Allen Interiors Inc. | 99,752 | 2,371 | ||||
* | Tupperware Brands Corp. | 208,019 | 2,338 | |||
Movado Group Inc. | 72,874 | 2,324 | ||||
* | America's Car-Mart Inc. | 27,081 | 2,183 | |||
* | Liquidity Services Inc. | 120,764 | 2,112 | |||
PetMed Express Inc. | 94,994 | 1,954 | ||||
* | Zumiez Inc. | 74,971 | 1,946 | |||
* | Chuy's Holdings Inc. | 85,976 | 1,920 | |||
Shoe Carnival Inc. | 77,516 | 1,844 | ||||
Haverty Furniture Cos. Inc. | 63,033 | 1,691 | ||||
Aaron's Co. Inc. | 139,058 | 1,655 | ||||
* | Motorcar Parts of America Inc. | 87,157 | 1,295 | |||
* | Universal Electronics Inc. | 57,362 | 1,275 | |||
* | WW International Inc. | 242,350 | 1,265 | |||
* | LL Flooring Holdings Inc. | 134,516 | 1,095 | |||
* | Fossil Group Inc. | 214,963 | 909 | |||
* | American Public Education Inc. | 85,434 | 883 | |||
Cato Corp. Class A | 80,159 | 867 | ||||
* | El Pollo Loco Holdings Inc. | 88,514 | 801 | |||
* | Unifi Inc. | 62,259 | 707 | |||
* | Conn's Inc. | 69,517 | 668 | |||
503,985 | ||||||
Consumer Staples (4.7%) | ||||||
* | Hostess Brands Inc. Class A | 624,923 | 14,486 | |||
* | Simply Good Foods Co. | 400,216 | 12,227 |
Shares | Market Value• ($000) | |||||
* | TreeHouse Foods Inc. | 253,826 | 11,828 | |||
WD-40 Co. | ���61,885 | 11,706 | ||||
* | United Natural Foods Inc. | 264,049 | 11,639 | |||
J & J Snack Foods Corp. | 67,779 | 10,101 | ||||
Edgewell Personal Care Co. | 239,238 | 9,321 | ||||
Cal-Maine Foods Inc. | 170,035 | 9,116 | ||||
* | elf Beauty Inc. | 217,285 | 8,285 | |||
PriceSmart Inc. | 109,148 | 6,906 | ||||
* | Central Garden & Pet Co. Class A | 179,817 | 6,790 | |||
1 | B&G Foods Inc. | 312,150 | 6,761 | |||
Medifast Inc. | 52,196 | 6,549 | ||||
Inter Parfums Inc. | 80,804 | 6,345 | ||||
MGP Ingredients Inc. | 56,661 | 6,202 | ||||
National Beverage Corp. | 105,738 | 5,864 | ||||
Vector Group Ltd. | 597,278 | 5,853 | ||||
Universal Corp. | 111,510 | 5,691 | ||||
Andersons Inc. | 142,147 | 5,264 | ||||
SpartanNash Co. | 163,514 | 4,976 | ||||
* | Chefs' Warehouse Inc. | 149,137 | 4,972 | |||
Fresh Del Monte Produce Inc. | 151,416 | 4,140 | ||||
Calavo Growers Inc. | 80,393 | 3,380 | ||||
* | USANA Health Sciences Inc. | 52,092 | 3,361 | |||
John B Sanfilippo & Son Inc. | 40,406 | 3,262 | ||||
Tootsie Roll Industries Inc. | 80,593 | 2,888 | ||||
* | Central Garden & Pet Co. | 43,814 | 1,749 | |||
* | Seneca Foods Corp. Class A | 27,470 | 1,451 | |||
191,113 | ||||||
Energy (4.8%) | ||||||
SM Energy Co. | 551,667 | 24,312 | ||||
Civitas Resources Inc. | 326,888 | 21,964 | ||||
Helmerich & Payne Inc. | 476,608 | 20,375 | ||||
* | PBF Energy Inc. Class A | 432,008 | 14,757 | |||
Patterson-UTI Energy Inc. | 979,064 | 14,588 | ||||
CONSOL Energy Inc. | 145,137 | 10,418 | ||||
* | Callon Petroleum Co. | 215,295 | 9,163 | |||
* | Green Plains Inc. | 243,899 | 8,934 | |||
World Fuel Services Corp. | 285,671 | 7,370 | ||||
* | Nabors Industries Ltd. | 40,143 | 5,319 | |||
* | Laredo Petroleum Inc. | 65,740 | 5,102 | |||
* | US Silica Holdings Inc. | 341,398 | 4,790 | |||
Archrock Inc. | 612,807 | 4,529 | ||||
* | Oceaneering International Inc. | 454,785 | 4,025 | |||
* | Par Pacific Holdings Inc. | 206,599 | 3,884 | |||
* | Talos Energy Inc. | 187,111 | 3,879 | |||
Ranger Oil Corp. | 95,945 | 3,741 | ||||
* | ProPetro Holding Corp. | 386,736 | 3,543 | |||
* | Dril-Quip Inc. | 156,169 | 3,456 | |||
Core Laboratories NV | 209,478 | 3,383 | ||||
* | Bristow Group Inc. Class A | 105,001 | 3,046 |
Shares | Market Value• ($000) | |||||
* | Helix Energy Solutions Group Inc. | 643,595 | 2,780 | |||
RPC Inc. | 318,598 | 2,533 | ||||
* | REX American Resources Corp. | 70,710 | 2,143 | |||
* | DMC Global Inc. | 87,967 | 1,963 | |||
Dorian LPG Ltd. | 125,522 | 1,826 | ||||
* | Oil States International Inc. | 279,029 | 1,367 | |||
* | Nabors Industries Ltd. Warrants Exp. 6/11/26 | 8,451 | 289 | |||
193,479 | ||||||
Financials (18.5%) | ||||||
ServisFirst Bancshares Inc. | 221,159 | 18,657 | ||||
Independent Bank Corp. (Massachusetts) | 211,676 | 16,559 | ||||
Community Bank System Inc. | 243,954 | 15,950 | ||||
United Community Banks Inc. | 474,996 | 15,927 | ||||
CVB Financial Corp. | 599,892 | 15,741 | ||||
First Hawaiian Inc. | 579,261 | 14,893 | ||||
Assured Guaranty Ltd. | 290,409 | 14,831 | ||||
WSFS Financial Corp. | 293,300 | 14,181 | ||||
* | Mr Cooper Group Inc. | 334,912 | 14,167 | |||
Pacific Premier Bancorp Inc. | 430,165 | 14,092 | ||||
Ameris Bancorp | 298,916 | 13,953 | ||||
Walker & Dunlop Inc. | 138,115 | 13,875 | ||||
BankUnited Inc. | 369,833 | 13,702 | ||||
Simmons First National Corp. Class A | 573,065 | 13,519 | ||||
American Equity Investment Life Holding Co. | 349,999 | 13,300 | ||||
First Bancorp | 895,010 | 12,799 | ||||
Independent Bank Group Inc. | 164,737 | 11,097 | ||||
* | Trupanion Inc. | 156,814 | 11,068 | |||
Columbia Banking System Inc. | 352,776 | 10,566 | ||||
* | Axos Financial Inc. | 243,339 | 10,167 | |||
* | Genworth Financial Inc. Class A | 2,313,620 | 9,763 | |||
Banner Corp. | 155,787 | 9,466 | ||||
Flagstar Bancorp Inc. | 241,319 | 9,298 | ||||
BancFirst Corp. | 85,993 | 9,275 | ||||
First Financial Bancorp | 426,821 | 9,211 | ||||
Seacoast Banking Corp. of Florida | 277,514 | 8,969 | ||||
Trustmark Corp. | 277,890 | 8,765 | ||||
Lakeland Financial Corp. | 114,844 | 8,652 | ||||
Park National Corp. | 65,368 | 8,617 | ||||
* | Palomar Holdings Inc. | 108,396 | 8,595 | |||
Renasant Corp. | 253,375 | 8,447 | ||||
Northwest Bancshares Inc. | 572,659 | 8,057 | ||||
* | NMI Holdings Inc. Class A | 390,118 | 8,009 |
Shares | Market Value• ($000) | |||||
Provident Financial Services Inc. | 340,186 | 7,902 | ||||
Hope Bancorp Inc. | 545,676 | 7,896 | ||||
Two Harbors Investment Corp. | 1,558,714 | 7,560 | ||||
NBT Bancorp Inc. | 193,540 | 7,505 | ||||
Veritex Holdings Inc. | 244,335 | 7,357 | ||||
Piper Sandler Cos. | 64,103 | 7,344 | ||||
* | StoneX Group Inc. | 77,764 | 7,220 | |||
Eagle Bancorp Inc. | 145,409 | 7,057 | ||||
Apollo Commercial Real Estate Finance Inc. | 598,512 | 6,973 | ||||
Westamerica Bancorp | 121,477 | 6,797 | ||||
Horace Mann Educators Corp. | 187,681 | 6,713 | ||||
* | PRA Group Inc. | 180,228 | 6,658 | |||
* | Triumph Bancorp Inc. | 107,152 | 6,634 | |||
FB Financial Corp. | 160,534 | 6,360 | ||||
Stewart Information Services Corp. | 122,422 | 6,199 | ||||
PennyMac Mortgage Investment Trust | 416,963 | 6,192 | ||||
Virtus Investment Partners Inc. | 31,847 | 6,091 | ||||
* | Bancorp Inc. | 256,651 | 6,088 | |||
Berkshire Hills Bancorp Inc. | 214,004 | 6,037 | ||||
* | Encore Capital Group Inc. | 109,892 | 6,009 | |||
OFG Bancorp | 220,261 | 5,991 | ||||
Hilltop Holdings Inc. | 225,301 | 5,948 | ||||
First Commonwealth Financial Corp. | 427,489 | 5,763 | ||||
City Holding Co. | 67,568 | 5,744 | ||||
Safety Insurance Group Inc. | 63,424 | 5,711 | ||||
First Bancorp (XNGS) | 156,191 | 5,687 | ||||
Southside Bancshares Inc. | 145,046 | 5,465 | ||||
National Bank Holdings Corp. Class A | 135,833 | 5,451 | ||||
* | Donnelley Financial Solutions Inc. | 126,526 | 5,371 | |||
Capitol Federal Financial Inc. | 585,034 | 5,300 | ||||
S&T Bancorp Inc. | 177,853 | 5,272 | ||||
ProAssurance Corp. | 245,173 | 5,244 | ||||
* | Enova International Inc. | 147,186 | 5,143 | |||
* | Green Dot Corp. Class A | 245,791 | 4,987 | |||
Franklin BSP Realty Trust Inc. | 379,825 | 4,900 | ||||
Employers Holdings Inc. | 125,072 | 4,898 | ||||
New York Mortgage Trust Inc. | 1,720,627 | 4,818 | ||||
* | Customers Bancorp Inc. | 137,529 | 4,771 | |||
Dime Community Bancshares Inc. | 145,482 | 4,548 | ||||
* | PROG Holdings Inc. | 244,572 | 4,534 | |||
Pathward Financial Inc. | 133,225 | 4,391 |
Shares | Market Value• ($000) | |||||
Brookline Bancorp Inc. | 350,401 | 4,369 | ||||
KKR Real Estate Finance Trust Inc. | 224,582 | 4,325 | ||||
* | Blucora Inc. | 213,664 | 4,290 | |||
Redwood Trust Inc. | 544,969 | 4,223 | ||||
Preferred Bank | 61,574 | 4,177 | ||||
AMERISAFE Inc. | 87,075 | 4,164 | ||||
Heritage Financial Corp. | 158,781 | 4,127 | ||||
Banc of California Inc. | 239,401 | 4,041 | ||||
James River Group Holdings Ltd. | 169,321 | 4,023 | ||||
Ready Capital Corp. | 304,314 | 3,986 | ||||
Tompkins Financial Corp. | 53,220 | 3,813 | ||||
Ellington Financial Inc. | 256,328 | 3,763 | ||||
B. Riley Financial Inc. | 73,224 | 3,644 | ||||
Allegiance Bancshares Inc. | 85,714 | 3,631 | ||||
Hanmi Financial Corp. | 137,821 | 3,407 | ||||
1 | ARMOUR Residential REIT Inc. | 464,887 | 3,301 | |||
* | Ambac Financial Group Inc. | 203,955 | 3,078 | |||
HomeStreet Inc. | 84,594 | 2,945 | ||||
TrustCo Bank Corp. | 86,852 | 2,896 | ||||
United Fire Group Inc. | 97,728 | 2,876 | ||||
Northfield Bancorp Inc. | 194,673 | 2,869 | ||||
Central Pacific Financial Corp. | 124,597 | 2,715 | ||||
Brightsphere Investment Group Inc. | 146,104 | 2,497 | ||||
WisdomTree Investments Inc. | 497,024 | 2,490 | ||||
Invesco Mortgage Capital Inc. | 149,401 | 2,374 | ||||
Granite Point Mortgage Trust Inc. | 243,715 | 2,296 | ||||
* | EZCORP Inc. Class A | 244,233 | 2,137 | |||
* | World Acceptance Corp. | 16,543 | 1,923 | |||
* | SiriusPoint Ltd. | 392,388 | 1,754 | |||
HCI Group Inc. | 35,758 | 1,709 | ||||
* | LendingTree Inc. | 49,658 | 1,514 | |||
Universal Insurance Holdings Inc. | 126,545 | 1,511 | ||||
* | eHealth Inc. | 109,533 | 701 | |||
* | Selectquote Inc. | 565,653 | 628 | |||
742,894 | ||||||
Health Care (12.0%) | ||||||
* | Lantheus Holdings Inc. | 310,740 | 24,486 | |||
* | AMN Healthcare Services Inc. | 202,431 | 20,778 | |||
* | Cytokinetics Inc. | 387,631 | 20,529 | |||
Ensign Group Inc. | 238,816 | 20,371 | ||||
* | Merit Medical Systems Inc. | 231,135 | 13,690 | |||
Select Medical Holdings Corp. | 467,638 | 11,990 | ||||
CONMED Corp. | 133,793 | 11,850 |
Shares | Market Value• ($000) | |||||
* | Prestige Consumer Healthcare Inc. | 227,868 | 11,526 | |||
* | Corcept Therapeutics Inc. | 433,331 | 11,189 | |||
* | Pacira BioSciences Inc. | 205,856 | 10,803 | |||
* | Glaukos Corp. | 214,494 | 10,414 | |||
Owens & Minor Inc. | 344,882 | 10,178 | ||||
* | Covetrus Inc. | 473,723 | 9,887 | |||
* | Integer Holdings Corp. | 150,024 | 9,462 | |||
* | Allscripts Healthcare Solutions Inc. | 525,746 | 8,938 | |||
Embecta Corp. | 261,867 | 8,359 | ||||
* | Supernus Pharmaceuticals Inc. | 242,034 | 8,285 | |||
* | Myriad Genetics Inc. | 364,109 | 8,134 | |||
* | Vir Biotechnology Inc. | 335,923 | 7,978 | |||
* | AdaptHealth Corp. Class A | 434,334 | 7,805 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 697,242 | 7,502 | |||
*,1 | Apollo Medical Holdings Inc. | 172,727 | 7,450 | |||
* | Xencor Inc. | 269,860 | 7,122 | |||
* | Ligand Pharmaceuticals Inc. | 76,404 | 7,059 | |||
* | Pediatrix Medical Group Inc. | 390,257 | 6,954 | |||
* | CorVel Corp. | 42,337 | 6,578 | |||
* | Addus HomeCare Corp. | 72,811 | 6,496 | |||
* | Meridian Bioscience Inc. | 197,461 | 6,435 | |||
* | Dynavax Technologies Corp. | 532,289 | 6,105 | |||
* | ModivCare Inc. | 56,095 | 6,076 | |||
* | NeoGenomics Inc. | 564,069 | 5,669 | |||
* | Vericel Corp. | 212,871 | 5,311 | |||
* | Avanos Medical Inc. | 214,498 | 5,283 | |||
* | Arcus Biosciences Inc. | 211,222 | 5,086 | |||
* | Enanta Pharmaceuticals Inc. | 83,539 | 5,086 | |||
* | REGENXBIO Inc. | 172,033 | 5,075 | |||
* | Amphastar Pharmaceuticals Inc. | 170,378 | 5,043 | |||
* | Emergent BioSolutions Inc. | 202,672 | 4,868 | |||
US Physical Therapy Inc. | 58,860 | 4,862 | ||||
* | Avid Bioservices Inc. | 279,829 | 4,819 | |||
* | Harmony Biosciences Holdings Inc. | 104,462 | 4,587 | |||
* | Heska Corp. | 48,898 | 4,453 | |||
* | NextGen Healthcare Inc. | 254,542 | 4,363 | |||
LeMaitre Vascular Inc. | 87,734 | 4,332 | ||||
Simulations Plus Inc. | 71,270 | 4,280 | ||||
* | RadNet Inc. | 210,995 | 4,239 | |||
* | Cross Country Healthcare Inc. | 161,087 | 4,088 | |||
Mesa Laboratories Inc. | 23,872 | 4,079 | ||||
* | Artivion Inc. | 181,764 | 4,028 | |||
*,1 | Fulgent Genetics Inc. | 89,349 | 3,884 | |||
* | AngioDynamics Inc. | 175,354 | 3,882 |
Shares | Market Value• ($000) | |||||
* | Varex Imaging Corp. | 179,988 | 3,796 | |||
* | Enhabit Inc. | 226,133 | 3,754 | |||
* | Innoviva Inc. | 283,820 | 3,735 | |||
* | Cutera Inc. | 74,785 | 3,571 | |||
* | Nektar Therapeutics Class A | 842,037 | 3,318 | |||
* | BioLife Solutions Inc. | 138,373 | 3,267 | |||
* | Coherus Biosciences Inc. | 290,888 | 3,252 | |||
* | uniQure NV | 164,731 | 3,219 | |||
* | Hanger Inc. | 167,630 | 3,123 | |||
* | Vanda Pharmaceuticals Inc. | 255,458 | 2,703 | |||
* | Collegium Pharmaceutical Inc. | 153,666 | 2,701 | |||
* | Inogen Inc. | 92,700 | 2,654 | |||
* | Cardiovascular Systems Inc. | 185,006 | 2,444 | |||
* | HealthStream Inc. | 110,040 | 2,435 | |||
* | ANI Pharmaceuticals Inc. | 59,535 | 2,196 | |||
* | Surmodics Inc. | 63,274 | 2,132 | |||
* | Computer Programs & Systems Inc. | 67,075 | 2,047 | |||
* | iTeos Therapeutics Inc. | 91,451 | 2,028 | |||
* | Cara Therapeutics Inc. | 192,033 | 1,982 | |||
* | Pennant Group Inc. | 122,870 | 1,925 | |||
* | Orthofix Medical Inc. | 90,202 | 1,795 | |||
* | Eagle Pharmaceuticals Inc. | 50,587 | 1,658 | |||
* | Community Health Systems Inc. | 572,819 | 1,524 | |||
* | Anika Therapeutics Inc. | 65,635 | 1,483 | |||
* | Zimvie Inc. | 94,600 | 1,440 | |||
Phibro Animal Health Corp. Class A | 92,269 | 1,367 | ||||
* | OraSure Technologies Inc. | 327,483 | 1,339 | |||
* | OptimizeRx Corp. | 82,130 | 1,303 | |||
* | Joint Corp. | 65,860 | 1,201 | |||
* | Organogenesis Holdings Inc. Class A | 286,446 | 1,028 | |||
1 | Zynex Inc. | 99,941 | 894 | |||
*,2 | Lantheus Holdings Inc. CVR | 276,566 | — | |||
483,060 | ||||||
Industrials (16.4%) | ||||||
UFP Industries Inc. | 283,921 | 22,540 | ||||
Exponent Inc. | 234,474 | 22,008 | ||||
Applied Industrial Technologies Inc. | 173,933 | 18,440 | ||||
Comfort Systems USA Inc. | 163,042 | 16,360 | ||||
Mueller Industries Inc. | 257,554 | 16,270 | ||||
Franklin Electric Co. Inc. | 175,910 | 15,278 | ||||
Korn Ferry | 243,806 | 14,853 | ||||
John Bean Technologies Corp. | 143,788 | 14,848 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 339,149 | 14,607 | |||
ABM Industries Inc. | 303,034 | 14,061 | ||||
* | Resideo Technologies Inc. | 658,870 | 13,718 |
Shares | Market Value• ($000) | |||||
Hillenbrand Inc. | 324,944 | 13,540 | ||||
Matson Inc. | 183,450 | 13,513 | ||||
Arcosa Inc. | 218,971 | 12,799 | ||||
Albany International Corp. Class A | 142,457 | 12,563 | ||||
UniFirst Corp. | 68,618 | 12,369 | ||||
* | Hub Group Inc. Class A | 154,047 | 12,294 | |||
ManTech International Corp. Class A | 124,815 | 11,971 | ||||
* | Atlas Air Worldwide Holdings Inc. | 118,805 | 11,871 | |||
* | SPX Technologies Inc. | 207,463 | 11,838 | |||
Forward Air Corp. | 121,689 | 11,809 | ||||
Encore Wire Corp. | 89,264 | 11,613 | ||||
Boise Cascade Co. | 178,732 | 11,140 | ||||
Federal Signal Corp. | 274,660 | 10,951 | ||||
AAON Inc. | 189,990 | 10,921 | ||||
Brady Corp. Class A | 217,874 | 10,140 | ||||
Moog Inc. Class A | 131,101 | 9,830 | ||||
ESCO Technologies Inc. | 117,135 | 9,538 | ||||
* | GMS Inc. | 195,022 | 9,400 | |||
* | AeroVironment Inc. | 104,988 | 9,307 | |||
ArcBest Corp. | 110,966 | 8,936 | ||||
EnPro Industries Inc. | 94,277 | 8,538 | ||||
* | KAR Auction Services Inc. | 550,738 | 8,041 | |||
Lindsay Corp. | 49,745 | 7,977 | ||||
Trinity Industries Inc. | 317,207 | 7,733 | ||||
* | NV5 Global Inc. | 54,078 | 7,612 | |||
* | Veritiv Corp. | 63,230 | 7,536 | |||
* | MYR Group Inc. | 77,037 | 7,160 | |||
Griffon Corp. | 217,095 | 6,806 | ||||
* | Allegiant Travel Co. | 68,961 | 6,655 | |||
Barnes Group Inc. | 211,361 | 6,563 | ||||
* | AAR Corp. | 149,997 | 6,432 | |||
* | Gibraltar Industries Inc. | 148,607 | 6,219 | |||
Granite Construction Inc. | 205,770 | 6,169 | ||||
HNI Corp. | 192,113 | 6,148 | ||||
* | NOW Inc. | 500,741 | 6,069 | |||
Alamo Group Inc. | 44,818 | 5,860 | ||||
* | PGT Innovations Inc. | 270,756 | 5,664 | |||
Enerpac Tool Group Corp. Class A | 274,398 | 5,323 | ||||
Marten Transport Ltd. | 266,849 | 5,286 | ||||
* | CoreCivic Inc. | 551,065 | 5,252 | |||
Tennant Co. | 83,842 | 5,060 | ||||
Standex International Corp. | 54,594 | 4,936 | ||||
* | SkyWest Inc. | 229,090 | 4,877 | |||
* | Proto Labs Inc. | 124,628 | 4,786 | |||
AZZ Inc. | 111,692 | 4,759 | ||||
Healthcare Services Group Inc. | 335,572 | 4,721 | ||||
* | GEO Group Inc. | 561,253 | 4,591 | |||
Greenbrier Cos. Inc. | 147,688 | 4,211 | ||||
Apogee Enterprises Inc. | 100,386 | 4,100 | ||||
Kaman Corp. | 126,533 | 4,014 | ||||
Astec Industries Inc. | 103,294 | 3,944 |
Shares | Market Value• ($000) | |||||
* | American Woodmark Corp. | 74,931 | 3,884 | |||
* | Triumph Group Inc. | 292,263 | 3,796 | |||
Deluxe Corp. | 194,416 | 3,741 | ||||
Wabash National Corp. | 221,738 | 3,648 | ||||
* | Viad Corp. | 93,375 | 3,565 | |||
Matthews International Corp. Class A | 141,584 | 3,541 | ||||
* | Hawaiian Holdings Inc. | 231,974 | 3,477 | |||
Quanex Building Products Corp. | 151,001 | 3,367 | ||||
* | Titan International Inc. | 232,365 | 3,260 | |||
Heartland Express Inc. | 210,551 | 3,190 | ||||
* | TrueBlue Inc. | 150,502 | 3,091 | |||
Interface Inc. Class A | 268,942 | 3,004 | ||||
* | Sun Country Airlines Holdings Inc. | 141,654 | 2,822 | |||
Resources Connection Inc. | 140,778 | 2,751 | ||||
Insteel Industries Inc. | 88,246 | 2,550 | ||||
Heidrick & Struggles International Inc. | 89,180 | 2,538 | ||||
Kelly Services Inc. Class A | 156,325 | 2,518 | ||||
Pitney Bowes Inc. | 737,105 | 2,130 | ||||
* | DXP Enterprises Inc. | 77,624 | 2,063 | |||
* | Forrester Research Inc. | 49,549 | 2,061 | |||
* | Harsco Corp. | 361,234 | 2,048 | |||
National Presto Industries Inc. | 23,034 | 1,571 | ||||
* | CIRCOR International Inc. | 92,064 | 1,501 | |||
Powell Industries Inc. | 41,416 | 1,021 | ||||
Park Aerospace Corp. | 87,724 | 1,010 | ||||
660,516 | ||||||
Information Technology (13.3%) | ||||||
* | ExlService Holdings Inc. | 150,673 | 25,269 | |||
* | Rogers Corp. | 84,783 | 21,240 | |||
* | SPS Commerce Inc. | 163,334 | 19,946 | |||
* | Fabrinet | 166,459 | 17,119 | |||
* | Onto Innovation Inc. | 224,298 | 15,923 | |||
Advanced Energy Industries Inc. | 169,898 | 15,255 | ||||
* | Diodes Inc. | 204,721 | 14,570 | |||
* | Viavi Solutions Inc. | 1,030,549 | 14,510 | |||
* | Insight Enterprises Inc. | 158,678 | 14,459 | |||
* | Alarm.com Holdings Inc. | 208,449 | 13,883 | |||
* | Sanmina Corp. | 275,312 | 13,358 | |||
* | Rambus Inc. | 498,816 | 12,864 | |||
Badger Meter Inc. | 132,408 | 12,538 | ||||
* | Perficient Inc. | 156,975 | 12,260 | |||
* | Plexus Corp. | 125,631 | 11,775 | |||
* | MaxLinear Inc. Class A | 322,492 | 11,587 | |||
Kulicke & Soffa Industries Inc. | 267,486 | 11,245 | ||||
* | NetScout Systems Inc. | 334,562 | 10,619 | |||
* | FormFactor Inc. | 353,137 | 10,340 | |||
* | Axcelis Technologies Inc. | 149,636 | 10,017 | |||
EVERTEC Inc. | 294,933 | 9,910 | ||||
* | Itron Inc. | 204,191 | 9,715 |
Shares | Market Value• ($000) | |||||
Progress Software Corp. | 198,291 | 9,544 | ||||
* | Extreme Networks Inc. | 591,969 | 8,483 | |||
CSG Systems International Inc. | 140,969 | 8,155 | ||||
ADTRAN Holdings Inc. | 349,434 | 8,121 | ||||
Xperi Holding Corp. | 470,965 | 7,493 | ||||
* | Digital Turbine Inc. | 399,803 | 7,384 | |||
* | TTM Technologies Inc. | 457,847 | 7,202 | |||
InterDigital Inc. | 139,876 | 7,016 | ||||
Methode Electronics Inc. | 167,379 | 6,772 | ||||
* | Knowles Corp. | 415,790 | 6,299 | |||
CTS Corp. | 145,428 | 6,155 | ||||
* | LiveRamp Holdings Inc. | 308,909 | 6,132 | |||
* | Clearfield Inc. | 51,725 | 6,006 | |||
* | OSI Systems Inc. | 71,827 | 5,985 | |||
* | Ultra Clean Holdings Inc. | 204,447 | 5,984 | |||
* | 3D Systems Corp. | 588,972 | 5,966 | |||
* | Cohu Inc. | 220,424 | 5,914 | |||
* | ePlus Inc. | 121,863 | 5,742 | |||
* | Harmonic Inc. | 473,581 | 5,333 | |||
* | Digi International Inc. | 159,121 | 5,268 | |||
* | Veeco Instruments Inc. | 232,323 | 4,911 | |||
* | Photronics Inc. | 279,768 | 4,700 | |||
* | Agilysys Inc. | 88,278 | 4,570 | |||
* | Avid Technology Inc. | 160,720 | 4,396 | |||
Benchmark Electronics Inc. | 158,931 | 4,363 | ||||
TTEC Holdings Inc. | 83,133 | 4,352 | ||||
* | Ichor Holdings Ltd. | 129,447 | 3,977 | |||
* | SMART Global Holdings Inc. | 213,920 | 3,925 | |||
* | Alpha & Omega Semiconductor Ltd. | 97,934 | 3,786 | |||
A10 Networks Inc. | 264,008 | 3,670 | ||||
* | LivePerson Inc. | 314,202 | 3,645 | |||
* | Consensus Cloud Solutions Inc. | 72,397 | 3,645 | |||
* | Cerence Inc. | 177,390 | 3,550 | |||
* | PDF Solutions Inc. | 133,740 | 3,528 | |||
* | ScanSource Inc. | 114,128 | 3,306 | |||
* | CEVA Inc. | 105,011 | 3,074 | |||
* | NETGEAR Inc. | 130,203 | 3,071 | |||
* | Unisys Corp. | 305,820 | 2,847 | |||
Ebix Inc. | 107,975 | 2,809 | ||||
* | 8x8 Inc. | 534,750 | 2,786 | |||
* | FARO Technologies Inc. | 82,887 | 2,781 | |||
PC Connection Inc. | 49,897 | 2,479 | ||||
* | Arlo Technologies Inc. | 392,875 | 2,393 | |||
* | Corsair Gaming Inc. | 151,105 | 2,325 | |||
* | OneSpan Inc. | 156,002 | 1,796 | |||
Comtech Telecommunications Corp. | 119,926 | 1,354 | ||||
* | Diebold Nixdorf Inc. | 329,903 | 1,148 | |||
* | CalAmp Corp. | 163,711 | 1,012 | |||
533,555 |
Shares | Market Value• ($000) | |||||
Materials (5.6%) | ||||||
* | Livent Corp. | 732,132 | 23,560 | |||
Balchem Corp. | 145,267 | 19,149 | ||||
* | ATI Inc. | 561,803 | 16,815 | |||
HB Fuller Co. | 239,818 | 15,555 | ||||
* | Arconic Corp. | 478,526 | 12,064 | |||
Quaker Chemical Corp. | 60,877 | 10,612 | ||||
Innospec Inc. | 112,448 | 10,509 | ||||
Stepan Co. | 96,272 | 10,034 | ||||
* | O-I Glass Inc. | 707,886 | 9,210 | |||
Materion Corp. | 92,985 | 8,026 | ||||
* | GCP Applied Technologies Inc. | 244,499 | 7,682 | |||
Warrior Met Coal Inc. | 234,138 | 7,621 | ||||
Carpenter Technology Corp. | 218,865 | 7,435 | ||||
Sylvamo Corp. | 159,942 | 7,108 | ||||
Compass Minerals International Inc. | 154,477 | 6,255 | ||||
Mativ Holdings Inc. | 247,820 | 5,854 | ||||
Kaiser Aluminum Corp. | 72,113 | 5,175 | ||||
AdvanSix Inc. | 127,177 | 4,611 | ||||
Trinseo plc | 163,854 | 4,347 | ||||
Hawkins Inc. | 84,968 | 3,256 | ||||
* | Clearwater Paper Corp. | 76,379 | 3,249 | |||
Myers Industries Inc. | 164,738 | 3,183 | ||||
Mercer International Inc. | 182,410 | 2,959 | ||||
* | TimkenSteel Corp. | 187,749 | 2,880 | |||
SunCoke Energy Inc. | 379,033 | 2,498 | ||||
American Vanguard Corp. | 121,229 | 2,416 | ||||
Haynes International Inc. | 56,498 | 2,242 | ||||
Koppers Holdings Inc. | 95,728 | 2,185 | ||||
* | Century Aluminum Co. | 230,286 | 1,778 | |||
* | Rayonier Advanced Materials Inc. | 291,107 | 1,316 | |||
Tredegar Corp. | 116,962 | 1,194 | ||||
Olympic Steel Inc. | 42,344 | 1,114 | ||||
Glatfelter Corp. | 202,838 | 988 | ||||
FutureFuel Corp. | 116,522 | 849 | ||||
223,729 | ||||||
Real Estate (7.6%) | ||||||
Agree Realty Corp. | 340,273 | 25,629 | ||||
Essential Properties Realty Trust Inc. | 628,598 | 14,231 | ||||
LXP Industrial Trust | 1,296,488 | 13,043 | ||||
Innovative Industrial Properties Inc. | 126,745 | 11,625 | ||||
SITE Centers Corp. | 823,513 | 10,673 | ||||
* | Sunstone Hotel Investors Inc. | 970,663 | 10,570 | |||
Uniti Group Inc. | 1,074,306 | 10,088 | ||||
Four Corners Property Trust Inc. | 364,092 | 9,790 | ||||
CareTrust REIT Inc. | 439,676 | 9,471 | ||||
Retail Opportunity Investments Corp. | 562,738 | 9,426 |
Shares | Market Value• ($000) | |||||
* | DiamondRock Hospitality Co. | 955,526 | 8,342 | |||
* | Xenia Hotels & Resorts Inc. | 518,181 | 8,218 | |||
LTC Properties Inc. | 178,350 | 8,006 | ||||
Urban Edge Properties | 500,177 | 7,868 | ||||
Washington REIT | 396,136 | 7,768 | ||||
Easterly Government Properties Inc. Class A | 411,243 | 7,382 | ||||
Tanger Factory Outlet Centers Inc. | 473,059 | 7,295 | ||||
Acadia Realty Trust | 429,984 | 6,850 | ||||
American Assets Trust Inc. | 238,614 | 6,624 | ||||
Global Net Lease Inc. | 469,510 | 6,465 | ||||
Brandywine Realty Trust | 776,530 | 6,236 | ||||
Alexander & Baldwin Inc. | 329,393 | 6,170 | ||||
St. Joe Co. | 149,588 | 5,714 | ||||
Getty Realty Corp. | 184,273 | 5,543 | ||||
NexPoint Residential Trust Inc. | 104,819 | 5,537 | ||||
Centerspace | 69,384 | 5,230 | ||||
* | Anywhere Real Estate Inc. | 533,883 | 5,216 | |||
iStar Inc. | 375,930 | 5,177 | ||||
Service Properties Trust | 746,056 | 5,103 | ||||
* | Veris Residential Inc. | 361,696 | 4,861 | |||
Marcus & Millichap Inc. | 111,021 | 4,150 | ||||
Armada Hoffler Properties Inc. | 306,136 | 4,020 | ||||
Community Healthcare Trust Inc. | 106,805 | 3,940 | ||||
Office Properties Income Trust | 217,910 | 3,829 | ||||
Summit Hotel Properties Inc. | 484,036 | 3,804 | ||||
RPT Realty | 383,202 | 3,690 | ||||
Universal Health Realty Income Trust | 57,976 | 2,950 | ||||
* | Chatham Lodging Trust | 220,349 | 2,679 | |||
Safehold Inc. | 70,060 | 2,664 | ||||
Saul Centers Inc. | 59,475 | 2,634 | ||||
Orion Office REIT Inc. | 256,029 | 2,527 | ||||
Urstadt Biddle Properties Inc. Class A | 136,512 | 2,282 | ||||
Industrial Logistics Properties Trust | 296,397 | 2,220 | ||||
Whitestone REIT | 209,022 | 2,057 | ||||
RE/MAX Holdings Inc. Class A | 87,454 | 1,990 | ||||
Diversified Healthcare Trust | 1,079,401 | 1,576 | ||||
* | Hersha Hospitality Trust Class A | 150,283 | 1,458 | |||
Douglas Elliman Inc. | 313,431 | 1,445 | ||||
Franklin Street Properties Corp. | 421,084 | 1,183 | ||||
305,249 |
Shares | Market Value• ($000) | |||||
Utilities (2.2%) | ||||||
South Jersey Industries Inc. | 553,987 | 18,752 | ||||
California Water Service Group | 243,253 | 14,238 | ||||
American States Water Co. | 167,135 | 13,867 | ||||
Avista Corp. | 327,686 | 13,314 | ||||
Chesapeake Utilities Corp. | 80,182 | 10,127 | ||||
Northwest Natural Holding Co. | 155,242 | 7,391 | ||||
Middlesex Water Co. | 79,564 | 7,063 | ||||
Unitil Corp. | 72,654 | 3,785 | ||||
88,537 | ||||||
Total Common Stocks (Cost $4,095,812) | 4,013,800 | |||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 2.284% (Cost $25,036) | 250,447 | 25,038 | |||
Total Investments (100.4%) (Cost $4,120,848) | 4,038,838 | |||||
Other Assets and Liabilities—Net (-0.4%) | (15,543) | |||||
Net Assets (100%) | 4,023,295 |
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 $15,443,000. |
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 $17,667,000 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 | September 2022 | 98 | 9,039 | (241) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $4,095,812) | 4,013,800 |
Affiliated Issuers (Cost $25,036) | 25,038 |
Total Investments in Securities | 4,038,838 |
Investment in Vanguard | 148 |
Cash | 617 |
Cash Collateral Pledged—Futures Contracts | 260 |
Receivables for Investment Securities Sold | 1,786 |
Receivables for Accrued Income | 3,197 |
Receivables for Capital Shares Issued | 1,987 |
Total Assets | 4,046,833 |
Liabilities | |
Payables for Investment Securities Purchased | 5,177 |
Collateral for Securities on Loan | 17,667 |
Payables for Capital Shares Redeemed | 495 |
Payables to Vanguard | 168 |
Variation Margin Payable—Futures Contracts | 31 |
Total Liabilities | 23,538 |
Net Assets | 4,023,295 |
1 Includes $15,443 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2022, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 4,259,005 |
Total Distributable Earnings (Loss) | (235,710) |
Net Assets | 4,023,295 |
ETF Shares—Net Assets | |
Applicable to 11,325,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,026,944 |
Net Asset Value Per Share—ETF Shares | $178.98 |
Institutional Shares—Net Assets | |
Applicable to 5,545,380 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,996,351 |
Net Asset Value Per Share—Institutional Shares | $360.00 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 54,899 |
Interest2 | 28 |
Securities Lending—Net | 233 |
Total Income | 55,160 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 457 |
Management and Administrative—ETF Shares | 1,437 |
Management and Administrative—Institutional Shares | 1,165 |
Marketing and Distribution—ETF Shares | 103 |
Marketing and Distribution—Institutional Shares | 77 |
Custodian Fees | 112 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 71 |
Shareholders’ Reports—Institutional Shares | 42 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 14 |
Total Expenses | 3,507 |
Expenses Paid Indirectly | (2) |
Net Expenses | 3,505 |
Net Investment Income | 51,655 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 270,690 |
Futures Contracts | (1,592) |
Realized Net Gain (Loss) | 269,098 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (812,074) |
Futures Contracts | (316) |
Change in Unrealized Appreciation (Depreciation) | (812,390) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (491,637) |
1 | Dividends are net of foreign withholding taxes of $56,000. |
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 $28,000, ($7,000), less than $1,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $308,762,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 51,655 | 38,929 |
Realized Net Gain (Loss) | 269,098 | 281,415 |
Change in Unrealized Appreciation (Depreciation) | (812,390) | 916,795 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (491,637) | 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 | 476,073 | 297,208 |
Institutional Shares | 426,601 | (208,508) |
Net Increase (Decrease) from Capital Share Transactions | 902,674 | 88,700 |
Total Increase (Decrease) | 365,693 | 1,294,437 |
Net Assets | ||
Beginning of Period | 3,657,602 | 2,363,165 |
End of Period | 4,023,295 | 3,657,602 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $206.41 | $135.61 | $138.09 | $164.67 | $125.83 |
Investment Operations | |||||
Net Investment Income1 | 2.545 | 2.286 | 1.946 | 1.941 | 1.784 |
Net Realized and Unrealized Gain (Loss) on Investments | (27.540) | 70.340 | (2.340) | (26.858) | 38.598 |
Total from Investment Operations | (24.995) | 72.626 | (.394) | (24.917) | 40.382 |
Distributions | |||||
Dividends from Net Investment Income | (2.435) | (1.826) | (2.086) | (1.663) | (1.542) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.435) | (1.826) | (2.086) | (1.663) | (1.542) |
Net Asset Value, End of Period | $178.98 | $206.41 | $135.61 | $138.09 | $164.67 |
Total Return | -12.26% | 53.88% | -0.43% | -15.09% | 32.32% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,027 | $1,806 | $987 | $991 | $1,107 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.25% | 1.46% | 1.36% | 1.23% |
Portfolio Turnover Rate3 | 12% | 18% | 15% | 9% | 13% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
3 | 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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $415.16 | $272.71 | $277.68 | $331.26 | $252.98 |
Investment Operations | |||||
Net Investment Income1 | 5.226 | 4.566 | 3.951 | 3.941 | 3.769 |
Net Realized and Unrealized Gain (Loss) on Investments | (55.426) | 141.589 | (4.694) | (54.011) | 77.632 |
Total from Investment Operations | (50.200) | 146.155 | (.743) | (50.070) | 81.401 |
Distributions | |||||
Dividends from Net Investment Income | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Net Asset Value, End of Period | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 |
Total Return | -12.21% | 53.93% | -0.41% | -15.09% | 32.39% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,996 | $1,852 | $1,377 | $1,186 | $1,019 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.34% | 1.26% | 1.47% | 1.38% | 1.30% |
Portfolio Turnover Rate3 | 12% | 18% | 15% | 9% | 13% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
3 | 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. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 4,013,800 | — | — | 4,013,800 |
Temporary Cash Investments | 25,038 | — | — | 25,038 |
Total | 4,038,838 | — | — | 4,038,838 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 241 | — | — | 241 |
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. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 307,898 |
Total Distributable Earnings (Loss) | (307,898) |
Amount ($000) | |
Undistributed Ordinary Income | 31,493 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (156,818) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (110,385) |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 45,344 | 31,402 |
Long-Term Capital Gains | — | — |
Total | 45,344 | 31,402 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 4,149,223 |
Gross Unrealized Appreciation | 548,900 |
Gross Unrealized Depreciation | (659,285) |
Net Unrealized Appreciation (Depreciation) | (110,385) |
F. | During the year ended August 31, 2022, the fund purchased $2,188,519,000 of investment securities and sold $1,283,566,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,223,794,000 and $807,831,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
G. | Capital share transactions for each class of shares were: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,313,147 | 6,900 | 1,041,411 | 5,900 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (837,074) | (4,325) | (744,203) | (4,425) | |
Net Increase (Decrease)—ETF Shares | 476,073 | 2,575 | 297,208 | 1,475 |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 614,744 | 1,573 | 435,486 | 1,155 | |
Issued in Lieu of Cash Distributions | 20,984 | 53 | 15,606 | 47 | |
Redeemed | (209,127) | (541) | (659,600) | (1,790) | |
Net Increase (Decrease)—Institutional Shares | 426,601 | 1,085 | (208,508) | (588) |
H. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | -8.28% | 7.97% | 10.93% | $28,225 | |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | -8.23 | 7.97 | 10.97 | 28,315 | |
S&P SmallCap 600 Value Index | -8.11 | 8.06 | 11.07 | 28,579 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
One Year | Five Years | Since Inception (11/19/2014) | Final Value of a $5,000,000 Investment | ||
S&P Small-Cap 600 Value Index Fund Institutional Shares | -8.20% | 8.08% | 8.27% | $9,277,396 | |
S&P SmallCap 600 Value Index | -8.11 | 8.06 | 8.25 | 9,267,156 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 10.39 | 10,786,184 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | -8.23% | 46.75% | 183.15% |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | -8.28 | 46.73 | 182.25 |
S&P SmallCap 600 Value Index | -8.11 | 47.32 | 185.79 |
Communication Services | 2.3% |
Consumer Discretionary | 12.6 |
Consumer Staples | 5.4 |
Energy | 6.0 |
Financials | 20.9 |
Health Care | 9.3 |
Industrials | 17.7 |
Information Technology | 7.6 |
Materials | 6.9 |
Real Estate | 8.5 |
Utilities | 2.8 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.3%) | ||||||
Telephone & Data Systems Inc. | 270,903 | 4,408 | ||||
Scholastic Corp. | 83,673 | 3,841 | ||||
* | Yelp Inc. Class A | 93,770 | 3,204 | |||
Shenandoah Telecommunications Co. | 137,598 | 3,067 | ||||
* | AMC Networks Inc. Class A | 81,941 | 2,195 | |||
Cogent Communications Holdings Inc. | 38,630 | 2,057 | ||||
* | Cinemark Holdings Inc. | 142,071 | 2,000 | |||
* | QuinStreet Inc. | 139,261 | 1,673 | |||
* | Gogo Inc. | 95,676 | 1,422 | |||
ATN International Inc. | 30,073 | 1,409 | ||||
* | EW Scripps Co. Class A | 85,513 | 1,278 | |||
* | Cars.com Inc. | 91,492 | 1,167 | |||
* | Consolidated Communications Holdings Inc. | 199,170 | 1,143 | |||
Marcus Corp. | 60,412 | 972 | ||||
* | Gannett Co. Inc. | 249,017 | 578 | |||
30,414 | ||||||
Consumer Discretionary (12.6%) | ||||||
Group 1 Automotive Inc. | 45,599 | 8,144 | ||||
* | Asbury Automotive Group Inc. | 33,467 | 5,839 | |||
* | Tri Pointe Homes Inc. | 284,459 | 4,930 | |||
MDC Holdings Inc. | 156,633 | 4,868 | ||||
* | Adtalem Global Education Inc. | 124,253 | 4,683 | |||
Bloomin' Brands Inc. | 221,656 | 4,482 | ||||
* | ODP Corp. | 120,499 | 4,308 | |||
* | Meritage Homes Corp. | 53,389 | 4,183 | |||
Academy Sports & Outdoors Inc. | 96,384 | 4,152 | ||||
Cheesecake Factory Inc. | 135,150 | 4,138 | ||||
* | National Vision Holdings Inc. | 123,281 | 4,097 | |||
Strategic Education Inc. | 63,028 | 4,078 | ||||
* | Urban Outfitters Inc. | 176,097 | 3,545 |
Shares | Market Value• ($000) | |||||
* | M/I Homes Inc. | 77,891 | 3,368 | |||
* | American Axle & Manufacturing Holdings Inc. | 315,368 | 3,264 | |||
La-Z-Boy Inc. | 119,046 | 3,142 | ||||
* | Frontdoor Inc. | 133,222 | 3,128 | |||
* | Brinker International Inc. | 120,779 | 2,960 | |||
Sonic Automotive Inc. Class A | 53,855 | 2,865 | ||||
Designer Brands Inc. Class A | 166,428 | 2,839 | ||||
* | Sonos Inc. | 179,131 | 2,694 | |||
LCI Industries | 23,056 | 2,671 | ||||
Caleres Inc. | 104,669 | 2,671 | ||||
Winnebago Industries Inc. | 44,056 | 2,537 | ||||
* | G-III Apparel Group Ltd. | 118,263 | 2,492 | |||
* | Sally Beauty Holdings Inc. | 164,363 | 2,446 | |||
Monro Inc. | 52,451 | 2,429 | ||||
* | Dave & Buster's Entertainment Inc. | 58,736 | 2,428 | |||
* | Six Flags Entertainment Corp. | 109,345 | 2,422 | |||
Wolverine World Wide Inc. | 119,912 | 2,343 | ||||
* | Stride Inc. | 61,300 | 2,338 | |||
Kontoor Brands Inc. | 62,706 | 2,335 | ||||
* | Shake Shack Inc. Class A | 48,756 | 2,324 | |||
* | Dorman Products Inc. | 25,618 | 2,322 | |||
* | Perdoceo Education Corp. | 188,662 | 2,185 | |||
*,1 | Bed Bath & Beyond Inc. | 219,322 | 2,090 | |||
Steven Madden Ltd. | 68,376 | 1,990 | ||||
Rent-A-Center Inc. | 76,784 | 1,984 | ||||
* | iRobot Corp. | 33,510 | 1,973 | |||
* | Chico's FAS Inc. | 343,283 | 1,950 | |||
Standard Motor Products Inc. | 52,121 | 1,913 | ||||
1 | Guess? Inc. | 98,709 | 1,724 | |||
Patrick Industries Inc. | 31,776 | 1,683 | ||||
* | Green Brick Partners Inc. | 66,952 | 1,631 | |||
Oxford Industries Inc. | 15,155 | 1,617 | ||||
* | BJ's Restaurants Inc. | 64,315 | 1,613 | |||
Big Lots Inc. | 78,379 | 1,612 |
Shares | Market Value• ($000) | |||||
Ruth's Hospitality Group Inc. | 85,823 | 1,564 | ||||
Jack in the Box Inc. | 18,034 | 1,440 | ||||
Ethan Allen Interiors Inc. | 60,400 | 1,436 | ||||
* | Tupperware Brands Corp. | 125,602 | 1,412 | |||
Dine Brands Global Inc. | 21,131 | 1,407 | ||||
* | America's Car-Mart Inc. | 16,560 | 1,335 | |||
PetMed Express Inc. | 57,479 | 1,182 | ||||
* | Zumiez Inc. | 45,260 | 1,175 | |||
* | Chuy's Holdings Inc. | 51,885 | 1,159 | |||
* | Abercrombie & Fitch Co. Class A | 73,204 | 1,053 | |||
* | Genesco Inc. | 18,388 | 1,040 | |||
Haverty Furniture Cos. Inc. | 38,024 | 1,020 | ||||
Aaron's Co. Inc. | 84,133 | 1,001 | ||||
* | Motorcar Parts of America Inc. | 52,336 | 778 | |||
* | Universal Electronics Inc. | 34,607 | 769 | |||
* | WW International Inc. | 146,407 | 764 | |||
* | Golden Entertainment Inc. | 18,346 | 702 | |||
* | LL Flooring Holdings Inc. | 81,583 | 664 | |||
* | Fossil Group Inc. | 129,062 | 546 | |||
* | American Public Education Inc. | 51,663 | 534 | |||
Cato Corp. Class A | 47,974 | 519 | ||||
* | El Pollo Loco Holdings Inc. | 53,371 | 483 | |||
* | Unifi Inc. | 38,026 | 432 | |||
* | Conn's Inc. | 42,361 | 407 | |||
164,252 | ||||||
Consumer Staples (5.4%) | ||||||
* | Hostess Brands Inc. Class A | 379,927 | 8,807 | |||
* | TreeHouse Foods Inc. | 153,974 | 7,175 | |||
Edgewell Personal Care Co. | 145,190 | 5,657 | ||||
Cal-Maine Foods Inc. | 103,205 | 5,533 | ||||
PriceSmart Inc. | 66,116 | 4,183 | ||||
* | Central Garden & Pet Co. Class A | 108,708 | 4,105 | |||
1 | B&G Foods Inc. | 189,095 | 4,096 | |||
Universal Corp. | 67,589 | 3,450 | ||||
J & J Snack Foods Corp. | 23,070 | 3,438 | ||||
Andersons Inc. | 86,675 | 3,210 | ||||
SpartanNash Co. | 99,583 | 3,030 | ||||
* | Chefs' Warehouse Inc. | 90,593 | 3,020 | |||
WD-40 Co. | 15,745 | 2,978 | ||||
Fresh Del Monte Produce Inc. | 91,847 | 2,511 | ||||
Calavo Growers Inc. | 48,612 | 2,044 | ||||
John B Sanfilippo & Son Inc. | 24,633 | 1,989 | ||||
National Beverage Corp. | 27,489 | 1,524 | ||||
* | Central Garden & Pet Co. | 27,153 | 1,084 | |||
* | Seneca Foods Corp. Class A | 16,606 | 877 |
Shares | Market Value• ($000) | |||||
Tootsie Roll Industries Inc. | 24,400 | 874 | ||||
* | USANA Health Sciences Inc. | 10,407 | 671 | |||
70,256 | ||||||
Energy (6.0%) | ||||||
Helmerich & Payne Inc. | 289,296 | 12,368 | ||||
* | PBF Energy Inc. Class A | 262,268 | 8,959 | |||
Patterson-UTI Energy Inc. | 594,378 | 8,856 | ||||
CONSOL Energy Inc. | 88,077 | 6,322 | ||||
* | Green Plains Inc. | 148,091 | 5,425 | |||
World Fuel Services Corp. | 173,404 | 4,474 | ||||
* | Nabors Industries Ltd. | 24,317 | 3,222 | |||
* | US Silica Holdings Inc. | 207,952 | 2,918 | |||
Archrock Inc. | 370,552 | 2,738 | ||||
* | Oceaneering International Inc. | 276,545 | 2,448 | |||
* | Par Pacific Holdings Inc. | 125,359 | 2,357 | |||
* | Talos Energy Inc. | 113,229 | 2,347 | |||
* | ProPetro Holding Corp. | 234,541 | 2,148 | |||
* | Dril-Quip Inc. | 94,736 | 2,097 | |||
* | Bristow Group Inc. Class A | 63,708 | 1,848 | |||
* | Helix Energy Solutions Group Inc. | 391,274 | 1,690 | |||
RPC Inc. | 194,502 | 1,546 | ||||
* | REX American Resources Corp. | 42,813 | 1,297 | |||
Core Laboratories NV | 74,324 | 1,200 | ||||
* | DMC Global Inc. | 53,450 | 1,193 | |||
* | Laredo Petroleum Inc. | 13,143 | 1,020 | |||
* | Oil States International Inc. | 169,492 | 831 | |||
*,1 | Nabors Industries Ltd. Warrants Exp. 6/11/26 | 6,805 | 233 | |||
77,537 | ||||||
Financials (20.9%) | ||||||
CVB Financial Corp. | 364,252 | 9,558 | ||||
First Hawaiian Inc. | 351,884 | 9,047 | ||||
* | Mr Cooper Group Inc. | 203,069 | 8,590 | |||
BankUnited Inc. | 224,736 | 8,326 | ||||
Simmons First National Corp. Class A | 348,125 | 8,212 | ||||
American Equity Investment Life Holding Co. | 212,256 | 8,066 | ||||
Independent Bank Group Inc. | 99,927 | 6,731 | ||||
Columbia Banking System Inc. | 214,192 | 6,415 | ||||
* | Genworth Financial Inc. Class A | 1,403,911 | 5,924 | |||
Independent Bank Corp. (Massachusetts) | 74,601 | 5,836 | ||||
First Financial Bancorp | 259,822 | 5,607 | ||||
Trustmark Corp. | 169,078 | 5,333 | ||||
Community Bank System Inc. | 80,097 | 5,237 | ||||
Assured Guaranty Ltd. | 102,268 | 5,223 |
Shares | Market Value• ($000) | |||||
Renasant Corp. | 153,797 | 5,128 | ||||
Northwest Bancshares Inc. | 348,567 | 4,904 | ||||
* | NMI Holdings Inc. Class A | 236,797 | 4,861 | |||
WSFS Financial Corp. | 99,733 | 4,822 | ||||
Hope Bancorp Inc. | 331,241 | 4,793 | ||||
Pacific Premier Bancorp Inc. | 145,936 | 4,781 | ||||
Two Harbors Investment Corp. | 947,302 | 4,594 | ||||
NBT Bancorp Inc. | 117,850 | 4,570 | ||||
* | StoneX Group Inc. | 47,216 | 4,384 | |||
Apollo Commercial Real Estate Finance Inc. | 363,666 | 4,237 | ||||
Westamerica Bancorp | 74,005 | 4,141 | ||||
Horace Mann Educators Corp. | 113,802 | 4,071 | ||||
* | PRA Group Inc. | 109,271 | 4,036 | |||
PennyMac Mortgage Investment Trust | 253,381 | 3,763 | ||||
Berkshire Hills Bancorp Inc. | 130,301 | 3,676 | ||||
Ameris Bancorp | 78,119 | 3,647 | ||||
United Community Banks Inc. | 104,068 | 3,489 | ||||
Safety Insurance Group Inc. | 38,564 | 3,473 | ||||
Banner Corp. | 53,767 | 3,267 | ||||
Capitol Federal Financial Inc. | 355,764 | 3,223 | ||||
S&T Bancorp Inc. | 107,888 | 3,198 | ||||
ProAssurance Corp. | 148,296 | 3,172 | ||||
* | Green Dot Corp. Class A | 148,854 | 3,020 | |||
Employers Holdings Inc. | 76,105 | 2,980 | ||||
Franklin BSP Realty Trust Inc. | 229,929 | 2,966 | ||||
New York Mortgage Trust Inc. | 1,046,189 | 2,929 | ||||
* | PROG Holdings Inc. | 148,961 | 2,762 | |||
BancFirst Corp. | 24,480 | 2,640 | ||||
Seacoast Banking Corp. of Florida | 80,667 | 2,607 | ||||
Provident Financial Services Inc. | 111,579 | 2,592 | ||||
AMERISAFE Inc. | 53,009 | 2,535 | ||||
Heritage Financial Corp. | 96,354 | 2,504 | ||||
James River Group Holdings Ltd. | 102,764 | 2,442 | ||||
Ready Capital Corp. | 184,624 | 2,419 | ||||
Allegiance Bancshares Inc. | 52,011 | 2,203 | ||||
ARMOUR Residential REIT Inc. | 283,071 | 2,010 | ||||
FB Financial Corp. | 50,553 | 2,003 | ||||
Park National Corp. | 14,689 | 1,936 | ||||
Stewart Information Services Corp. | 37,812 | 1,915 | ||||
* | Encore Capital Group Inc. | 34,627 | 1,893 | |||
* | Ambac Financial Group Inc. | 124,257 | 1,875 |
Shares | Market Value• ($000) | |||||
OFG Bancorp | 67,070 | 1,824 | ||||
City Holding Co. | 21,326 | 1,813 | ||||
Hilltop Holdings Inc. | 66,759 | 1,762 | ||||
Eagle Bancorp Inc. | 36,317 | 1,762 | ||||
TrustCo Bank Corp. | 52,701 | 1,757 | ||||
United Fire Group Inc. | 59,318 | 1,746 | ||||
First Bancorp | 47,459 | 1,728 | ||||
KKR Real Estate Finance Trust Inc. | 83,562 | 1,609 | ||||
First Commonwealth Financial Corp. | 116,280 | 1,567 | ||||
Brookline Bancorp Inc. | 118,869 | 1,482 | ||||
* | Blucora Inc. | 72,486 | 1,456 | |||
Dime Community Bancshares Inc. | 46,000 | 1,438 | ||||
Invesco Mortgage Capital Inc. | 90,385 | 1,436 | ||||
Granite Point Mortgage Trust Inc. | 148,904 | 1,403 | ||||
National Bank Holdings Corp. Class A | 34,578 | 1,388 | ||||
Banc of California Inc. | 79,856 | 1,348 | ||||
Tompkins Financial Corp. | 18,052 | 1,293 | ||||
* | EZCORP Inc. Class A | 147,087 | 1,287 | |||
Ellington Financial Inc. | 86,961 | 1,277 | ||||
Southside Bancshares Inc. | 32,564 | 1,227 | ||||
* | SiriusPoint Ltd. | 237,042 | 1,060 | |||
* | LendingTree Inc. | 30,079 | 917 | |||
Universal Insurance Holdings Inc. | 76,307 | 911 | ||||
Hanmi Financial Corp. | 36,793 | 910 | ||||
Northfield Bancorp Inc. | 49,503 | 730 | ||||
Central Pacific Financial Corp. | 28,687 | 625 | ||||
WisdomTree Investments Inc. | 114,436 | 573 | ||||
* | eHealth Inc. | 66,173 | 424 | |||
* | Selectquote Inc. | 174,581 | 194 | |||
271,513 | ||||||
Health Care (9.2%) | ||||||
Select Medical Holdings Corp. | 283,934 | 7,280 | ||||
Owens & Minor Inc. | 209,333 | 6,177 | ||||
* | Lantheus Holdings Inc. | 77,379 | 6,097 | |||
* | Covetrus Inc. | 287,480 | 6,000 | |||
* | Integer Holdings Corp. | 91,208 | 5,752 | |||
Ensign Group Inc. | 66,680 | 5,688 | ||||
Embecta Corp. | 158,668 | 5,065 | ||||
* | AdaptHealth Corp. Class A | 269,785 | 4,848 | |||
* | Pediatrix Medical Group Inc. | 237,043 | 4,224 | |||
* | Merit Medical Systems Inc. | 60,205 | 3,566 | |||
* | Allscripts Healthcare Solutions Inc. | 195,030 | 3,316 |
Shares | Market Value• ($000) | |||||
* | Prestige Consumer Healthcare Inc. | 64,886 | 3,282 | |||
* | Avanos Medical Inc. | 129,984 | 3,201 | |||
* | Glaukos Corp. | 62,344 | 3,027 | |||
* | Emergent BioSolutions Inc. | 122,754 | 2,949 | |||
* | Corcept Therapeutics Inc. | 102,345 | 2,643 | |||
* | NextGen Healthcare Inc. | 154,143 | 2,642 | |||
CONMED Corp. | 29,172 | 2,584 | ||||
* | Pacira BioSciences Inc. | 48,644 | 2,553 | |||
* | Artivion Inc. | 110,344 | 2,445 | |||
* | Myriad Genetics Inc. | 105,852 | 2,365 | |||
* | Enhabit Inc. | 136,916 | 2,273 | |||
* | Addus HomeCare Corp. | 25,134 | 2,242 | |||
* | Hanger Inc. | 101,837 | 1,897 | |||
* | REGENXBIO Inc. | 57,242 | 1,689 | |||
* | Inogen Inc. | 56,816 | 1,627 | |||
US Physical Therapy Inc. | 19,616 | 1,620 | ||||
* | ModivCare Inc. | 14,570 | 1,578 | |||
* | NeoGenomics Inc. | 153,809 | 1,546 | |||
* | Meridian Bioscience Inc. | 42,976 | 1,401 | |||
* | Computer Programs & Systems Inc. | 40,550 | 1,237 | |||
* | Enanta Pharmaceuticals Inc. | 20,212 | 1,230 | |||
* | Harmony Biosciences Holdings Inc. | 27,763 | 1,219 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 105,361 | 1,134 | |||
* | Nektar Therapeutics Class A | 280,683 | 1,106 | |||
* | Orthofix Medical Inc. | 54,555 | 1,086 | |||
Simulations Plus Inc. | 17,318 | 1,040 | ||||
Mesa Laboratories Inc. | 6,003 | 1,026 | ||||
* | Amphastar Pharmaceuticals Inc. | 32,964 | 976 | |||
* | Zimvie Inc. | 57,162 | 870 | |||
* | Cardiovascular Systems Inc. | 64,803 | 856 | |||
* | Varex Imaging Corp. | 39,226 | 827 | |||
Phibro Animal Health Corp. Class A | 55,723 | 825 | ||||
* | OraSure Technologies Inc. | 198,834 | 813 | |||
* | Cutera Inc. | 16,757 | 800 | |||
* | HealthStream Inc. | 30,641 | 678 | |||
* | Vanda Pharmaceuticals Inc. | 55,713 | 589 | |||
* | Pennant Group Inc. | 36,409 | 571 | |||
* | ANI Pharmaceuticals Inc. | 14,711 | 543 | |||
* | Eagle Pharmaceuticals Inc. | 15,609 | 511 | |||
* | Surmodics Inc. | 13,411 | 452 | |||
* | Anika Therapeutics Inc. | 18,727 | 423 | |||
*,2 | Lantheus Holdings Inc. CVR | 75,410 | — | |||
120,389 | ||||||
Industrials (17.7%) | ||||||
ABM Industries Inc. | 183,848 | 8,531 |
Shares | Market Value• ($000) | |||||
* | Resideo Technologies Inc. | 399,946 | 8,327 | |||
Arcosa Inc. | 132,776 | 7,761 | ||||
UniFirst Corp. | 41,745 | 7,525 | ||||
* | Hub Group Inc. Class A | 93,422 | 7,456 | |||
ManTech International Corp. Class A | 75,683 | 7,259 | ||||
* | Atlas Air Worldwide Holdings Inc. | 72,086 | 7,203 | |||
Applied Industrial Technologies Inc. | 60,227 | 6,385 | ||||
Moog Inc. Class A | 79,732 | 5,978 | ||||
ESCO Technologies Inc. | 71,087 | 5,789 | ||||
EnPro Industries Inc. | 57,211 | 5,181 | ||||
* | KAR Auction Services Inc. | 334,358 | 4,882 | |||
* | Veritiv Corp. | 38,304 | 4,565 | |||
* | Aerojet Rocketdyne Holdings Inc. | 98,621 | 4,248 | |||
* | SPX Technologies Inc. | 72,920 | 4,161 | |||
Griffon Corp. | 131,837 | 4,133 | ||||
* | Allegiant Travel Co. | 41,905 | 4,044 | |||
Barnes Group Inc. | 128,066 | 3,976 | ||||
* | AAR Corp. | 90,863 | 3,896 | |||
Albany International Corp. Class A | 43,338 | 3,822 | ||||
Hillenbrand Inc. | 90,786 | 3,783 | ||||
Granite Construction Inc. | 124,612 | 3,736 | ||||
HNI Corp. | 116,389 | 3,724 | ||||
* | NOW Inc. | 304,791 | 3,694 | |||
Boise Cascade Co. | 56,474 | 3,520 | ||||
Brady Corp. Class A | 71,473 | 3,326 | ||||
John Bean Technologies Corp. | 31,524 | 3,255 | ||||
Marten Transport Ltd. | 162,476 | 3,219 | ||||
* | CoreCivic Inc. | 333,591 | 3,179 | |||
Franklin Electric Co. Inc. | 35,222 | 3,059 | ||||
* | SkyWest Inc. | 139,189 | 2,963 | |||
* | Proto Labs Inc. | 75,530 | 2,900 | |||
AZZ Inc. | 68,017 | 2,898 | ||||
Healthcare Services Group Inc. | 203,140 | 2,858 | ||||
* | GEO Group Inc. | 340,467 | 2,785 | |||
Federal Signal Corp. | 65,158 | 2,598 | ||||
* | AeroVironment Inc. | 29,241 | 2,592 | |||
Greenbrier Cos. Inc. | 89,400 | 2,549 | ||||
* | GMS Inc. | 51,939 | 2,503 | |||
Apogee Enterprises Inc. | 60,886 | 2,487 | ||||
Kaman Corp. | 76,754 | 2,435 | ||||
Astec Industries Inc. | 62,800 | 2,398 | ||||
* | American Woodmark Corp. | 45,474 | 2,357 | |||
Trinity Industries Inc. | 96,019 | 2,341 | ||||
Deluxe Corp. | 118,200 | 2,274 | ||||
Wabash National Corp. | 134,512 | 2,213 | ||||
AAON Inc. | 37,969 | 2,182 | ||||
Matthews International Corp. Class A | 85,877 | 2,148 | ||||
* | Hawaiian Holdings Inc. | 140,785 | 2,110 |
Shares | Market Value• ($000) | |||||
Alamo Group Inc. | 15,800 | 2,066 | ||||
Quanex Building Products Corp. | 91,610 | 2,043 | ||||
* | Gibraltar Industries Inc. | 47,692 | 1,996 | |||
Lindsay Corp. | 12,411 | 1,990 | ||||
* | Titan International Inc. | 140,945 | 1,977 | |||
Heartland Express Inc. | 127,802 | 1,936 | ||||
* | PGT Innovations Inc. | 90,420 | 1,892 | |||
* | TrueBlue Inc. | 91,294 | 1,875 | |||
Tennant Co. | 29,065 | 1,754 | ||||
Enerpac Tool Group Corp. Class A | 86,332 | 1,675 | ||||
Resources Connection Inc. | 85,286 | 1,667 | ||||
Standex International Corp. | 17,338 | 1,568 | ||||
Kelly Services Inc. Class A | 94,890 | 1,529 | ||||
Pitney Bowes Inc. | 447,733 | 1,294 | ||||
* | DXP Enterprises Inc. | 46,990 | 1,249 | |||
* | Harsco Corp. | 217,555 | 1,234 | |||
* | Viad Corp. | 26,526 | 1,013 | |||
Interface Inc. Class A | 89,557 | 1,000 | ||||
National Presto Industries Inc. | 13,915 | 949 | ||||
* | CIRCOR International Inc. | 55,503 | 905 | |||
* | Sun Country Airlines Holdings Inc. | 34,453 | 686 | |||
Powell Industries Inc. | 24,914 | 614 | ||||
Park Aerospace Corp. | 29,819 | 343 | ||||
230,463 | ||||||
Information Technology (7.6%) | ||||||
* | Insight Enterprises Inc. | 96,349 | 8,779 | |||
* | Sanmina Corp. | 167,267 | 8,116 | |||
* | Plexus Corp. | 76,234 | 7,145 | |||
* | NetScout Systems Inc. | 202,973 | 6,442 | |||
* | Itron Inc. | 124,123 | 5,906 | |||
* | TTM Technologies Inc. | 277,486 | 4,365 | |||
* | ePlus Inc. | 73,845 | 3,480 | |||
* | Viavi Solutions Inc. | 238,623 | 3,360 | |||
* | Photronics Inc. | 169,543 | 2,848 | |||
Badger Meter Inc. | 28,235 | 2,674 | ||||
Benchmark Electronics Inc. | 96,851 | 2,659 | ||||
* | FormFactor Inc. | 79,430 | 2,326 | |||
Methode Electronics Inc. | 56,728 | 2,295 | ||||
* | Knowles Corp. | 151,020 | 2,288 | |||
* | Consensus Cloud Solutions Inc. | 43,890 | 2,210 | |||
Xperi Holding Corp. | 136,953 | 2,179 | ||||
* | OSI Systems Inc. | 24,785 | 2,065 | |||
InterDigital Inc. | 40,660 | 2,039 | ||||
CSG Systems International Inc. | 35,010 | 2,025 | ||||
* | ScanSource Inc. | 69,222 | 2,005 | |||
EVERTEC Inc. | 59,278 | 1,992 | ||||
* | NETGEAR Inc. | 78,935 | 1,862 | |||
CTS Corp. | 43,367 | 1,835 | ||||
Ebix Inc. | 65,296 | 1,699 |
Shares | Market Value• ($000) | |||||
* | Digi International Inc. | 50,979 | 1,688 | |||
PC Connection Inc. | 30,286 | 1,505 | ||||
* | Cohu Inc. | 56,060 | 1,504 | |||
* | Ichor Holdings Ltd. | 33,742 | 1,037 | |||
* | Cerence Inc. | 51,690 | 1,034 | |||
* | Agilysys Inc. | 19,819 | 1,026 | |||
* | SMART Global Holdings Inc. | 50,550 | 928 | |||
* | Unisys Corp. | 96,325 | 897 | |||
* | FARO Technologies Inc. | 26,024 | 873 | |||
* | Corsair Gaming Inc. | 55,803 | 859 | |||
* | LivePerson Inc. | 72,086 | 836 | |||
Comtech Telecommunications Corp. | 72,551 | 819 | ||||
* | PDF Solutions Inc. | 29,967 | 790 | |||
* | Arlo Technologies Inc. | 104,710 | 638 | |||
* | CalAmp Corp. | 98,786 | 610 | |||
* | Avid Technology Inc. | 20,465 | 560 | |||
* | OneSpan Inc. | 48,109 | 554 | |||
* | Alpha & Omega Semiconductor Ltd. | 13,643 | 527 | |||
* | BM Technologies Inc. | 1,309 | 8 | |||
99,287 | ||||||
Materials (6.9%) | ||||||
* | Arconic Corp. | 290,864 | 7,333 | |||
Innospec Inc. | 68,228 | 6,377 | ||||
Stepan Co. | 58,426 | 6,090 | ||||
* | ATI Inc. | 187,429 | 5,610 | |||
* | O-I Glass Inc. | 429,552 | 5,588 | |||
HB Fuller Co. | 78,800 | 5,111 | ||||
* | GCP Applied Technologies Inc. | 148,470 | 4,665 | |||
Warrior Met Coal Inc. | 142,095 | 4,625 | ||||
Carpenter Technology Corp. | 132,575 | 4,504 | ||||
Sylvamo Corp. | 97,119 | 4,316 | ||||
Compass Minerals International Inc. | 93,827 | 3,799 | ||||
Mativ Holdings Inc. | 150,482 | 3,554 | ||||
Kaiser Aluminum Corp. | 43,805 | 3,143 | ||||
Quaker Chemical Corp. | 15,484 | 2,699 | ||||
Trinseo plc | 99,186 | 2,631 | ||||
Materion Corp. | 23,616 | 2,038 | ||||
* | Clearwater Paper Corp. | 46,356 | 1,972 | |||
Mercer International Inc. | 110,528 | 1,793 | ||||
* | TimkenSteel Corp. | 113,902 | 1,747 | |||
SunCoke Energy Inc. | 230,187 | 1,517 | ||||
American Vanguard Corp. | 73,448 | 1,464 | ||||
Koppers Holdings Inc. | 57,928 | 1,323 | ||||
AdvanSix Inc. | 35,417 | 1,284 | ||||
Myers Industries Inc. | 56,755 | 1,097 | ||||
Hawkins Inc. | 23,683 | 908 | ||||
* | Rayonier Advanced Materials Inc. | 174,664 | 789 | |||
Tredegar Corp. | 70,442 | 719 |
Shares | Market Value• ($000) | |||||
Olympic Steel Inc. | 25,567 | 673 | ||||
Glatfelter Corp. | 122,404 | 596 | ||||
* | Century Aluminum Co. | 76,985 | 594 | |||
Haynes International Inc. | 14,676 | 583 | ||||
FutureFuel Corp. | 70,748 | 516 | ||||
89,658 | ||||||
Real Estate (8.5%) | ||||||
Agree Realty Corp. | 113,559 | 8,553 | ||||
* | Sunstone Hotel Investors Inc. | 467,765 | 5,094 | |||
* | DiamondRock Hospitality Co. | 580,335 | 5,066 | |||
* | Xenia Hotels & Resorts Inc. | 314,706 | 4,991 | |||
LTC Properties Inc. | 108,531 | 4,872 | ||||
Easterly Government Properties Inc. Class A | 249,824 | 4,484 | ||||
Essential Properties Realty Trust Inc. | 183,292 | 4,150 | ||||
LXP Industrial Trust | 394,449 | 3,968 | ||||
Global Net Lease Inc. | 285,225 | 3,928 | ||||
Brandywine Realty Trust | 472,500 | 3,794 | ||||
Alexander & Baldwin Inc. | 200,076 | 3,747 | ||||
* | Anywhere Real Estate Inc. | 325,516 | 3,180 | |||
Service Properties Trust | 453,826 | 3,104 | ||||
CareTrust REIT Inc. | 141,081 | 3,039 | ||||
Four Corners Property Trust Inc. | 112,886 | 3,036 | ||||
* | Veris Residential Inc. | 220,742 | 2,967 | |||
Retail Opportunity Investments Corp. | 174,453 | 2,922 | ||||
SITE Centers Corp. | 224,350 | 2,908 | ||||
Washington REIT | 134,287 | 2,633 | ||||
Urban Edge Properties | 166,524 | 2,619 | ||||
Uniti Group Inc. | 273,131 | 2,565 | ||||
Office Properties Income Trust | 132,873 | 2,335 | ||||
Acadia Realty Trust | 145,746 | 2,322 | ||||
Summit Hotel Properties Inc. | 293,733 | 2,309 | ||||
American Assets Trust Inc. | 82,340 | 2,286 | ||||
Getty Realty Corp. | 60,150 | 1,809 | ||||
* | Chatham Lodging Trust | 133,933 | 1,629 | |||
Orion Office REIT Inc. | 155,478 | 1,535 | ||||
iStar Inc. | 99,877 | 1,375 | ||||
Whitestone REIT | 126,573 | 1,245 | ||||
RE/MAX Holdings Inc. Class A | 52,788 | 1,201 | ||||
Centerspace | 15,156 | 1,142 | ||||
RPT Realty | 114,808 | 1,106 | ||||
Marcus & Millichap Inc. | 29,533 | 1,104 | ||||
Community Healthcare Trust Inc. | 26,579 | 981 | ||||
Diversified Healthcare Trust | 654,780 | 956 | ||||
Armada Hoffler Properties Inc. | 72,383 | 950 |
Shares | Market Value• ($000) | |||||
* | Hersha Hospitality Trust Class A | 90,571 | 879 | |||
Universal Health Realty Income Trust | 16,139 | 821 | ||||
Industrial Logistics Properties Trust | 105,606 | 791 | ||||
Franklin Street Properties Corp. | 254,360 | 715 | ||||
Urstadt Biddle Properties Inc. Class A | 38,776 | 648 | ||||
Saul Centers Inc. | 11,166 | 495 | ||||
110,254 | ||||||
Utilities (2.8%) | ||||||
South Jersey Industries Inc. | 335,759 | 11,365 | ||||
Avista Corp. | 199,072 | 8,088 | ||||
Northwest Natural Holding Co. | 94,285 | 4,489 | ||||
California Water Service Group | 60,526 | 3,543 | ||||
Chesapeake Utilities Corp. | 23,353 | 2,949 | ||||
American States Water Co. | 34,701 | 2,879 | ||||
Unitil Corp. | 43,999 | 2,292 | ||||
Middlesex Water Co. | 14,911 | 1,324 | ||||
36,929 | ||||||
Total Common Stocks (Cost $1,404,337) | 1,300,952 | |||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 2.284% (Cost $6,640) | 66,426 | 6,640 | |||
Total Investments (100.4%) (Cost $1,410,977) | 1,307,592 | |||||
Other Assets and Liabilities—Net (-0.4%) | (5,167) | |||||
Net Assets (100%) | 1,302,425 |
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 $3,401,000. |
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 $4,231,000 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 | September 2022 | 17 | 1,568 | (95) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $1,404,337) | 1,300,952 |
Affiliated Issuers (Cost $6,640) | 6,640 |
Total Investments in Securities | 1,307,592 |
Investment in Vanguard | 48 |
Cash Collateral Pledged—Futures Contracts | 100 |
Receivables for Investment Securities Sold | 754 |
Receivables for Accrued Income | 1,242 |
Receivables for Capital Shares Issued | 5 |
Total Assets | 1,309,741 |
Liabilities | |
Due to Custodian | 246 |
Payables for Investment Securities Purchased | 2,740 |
Collateral for Securities on Loan | 4,231 |
Payables to Vanguard | 89 |
Variation Margin Payable—Futures Contracts | 10 |
Total Liabilities | 7,316 |
Net Assets | 1,302,425 |
1 Includes $3,401 of securities on loan. | |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 1,540,049 |
Total Distributable Earnings (Loss) | (237,624) |
Net Assets | 1,302,425 |
ETF Shares—Net Assets | |
Applicable to 7,800,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,249,787 |
Net Asset Value Per Share—ETF Shares | $160.23 |
Institutional Shares—Net Assets | |
Applicable to 156,941 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 52,638 |
Net Asset Value Per Share—Institutional Shares | $335.40 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 23,374 |
Interest2 | 5 |
Securities Lending—Net | 75 |
Total Income | 23,454 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 131 |
Management and Administrative—ETF Shares | 1,567 |
Management and Administrative—Institutional Shares | 39 |
Marketing and Distribution—ETF Shares | 69 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 57 |
Auditing Fees | 28 |
Shareholders’ Reports—ETF Shares | 66 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 14 |
Total Expenses | 1,975 |
Net Investment Income | 21,479 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 135,638 |
Futures Contracts | (99) |
Realized Net Gain (Loss) | 135,539 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (276,828) |
Futures Contracts | (119) |
Change in Unrealized Appreciation (Depreciation) | (276,947) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (119,929) |
1 | Dividends are net of foreign withholding taxes of $14,000. |
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, ($2,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $174,506,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 21,479 | 17,195 |
Realized Net Gain (Loss) | 135,539 | 114,550 |
Change in Unrealized Appreciation (Depreciation) | (276,947) | 245,297 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (119,929) | 377,042 |
Distributions | ||
ETF Shares | (20,966) | (12,466) |
Institutional Shares | (1,129) | (894) |
Total Distributions | (22,095) | (13,360) |
Capital Share Transactions | ||
ETF Shares | 56,993 | 491,658 |
Institutional Shares | (8,610) | (1,682) |
Net Increase (Decrease) from Capital Share Transactions | 48,383 | 489,976 |
Total Increase (Decrease) | (93,641) | 853,658 |
Net Assets | ||
Beginning of Period | 1,396,066 | 542,408 |
End of Period | 1,302,425 | 1,396,066 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $177.64 | $112.51 | $123.23 | $149.05 | $118.23 |
Investment Operations | |||||
Net Investment Income1 | 2.745 | 2.592 | 2.182 | 2.141 | 2.087 |
Net Realized and Unrealized Gain (Loss) on Investments | (17.288) | 64.624 | (10.786) | (25.811) | 30.593 |
Total from Investment Operations | (14.543) | 67.216 | (8.604) | (23.670) | 32.680 |
Distributions | |||||
Dividends from Net Investment Income | (2.867) | (2.086) | (2.116) | (2.150) | (1.860) |
Distributions from Realized Capital Gains | — | ��� | — | — | — |
Total Distributions | (2.867) | (2.086) | (2.116) | (2.150) | (1.860) |
Net Asset Value, End of Period | $160.23 | $177.64 | $112.51 | $123.23 | $149.05 |
Total Return | -8.28% | 60.19% | -7.08% | -15.93% | 27.84% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,250 | $1,328 | $501 | $373 | $410 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.61% | 1.90% | 1.66% | 1.54% |
Portfolio Turnover Rate2 | 36% | 30% | 46% | 39% | 34% |
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 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $371.84 | $235.47 | $257.69 | $311.75 | $247.26 |
Investment Operations | |||||
Net Investment Income1 | 5.824 | 5.457 | 4.805 | 4.609 | 4.630 |
Net Realized and Unrealized Gain (Loss) on Investments | (36.009) | 135.457 | (22.489) | (53.914) | 64.065 |
Total from Investment Operations | (30.185) | 140.914 | (17.684) | (49.305) | 68.695 |
Distributions | |||||
Dividends from Net Investment Income | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Net Asset Value, End of Period | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 |
Total Return | -8.20% | 60.32% | -6.94% | -15.87% | 28.01% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $53 | $68 | $42 | $35 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.67% | 2.00% | 1.73% | 1.66% |
Portfolio Turnover Rate2 | 36% | 30% | 46% | 39% | 34% |
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 | 1,300,952 | — | — | 1,300,952 |
Temporary Cash Investments | 6,640 | — | — | 6,640 |
Total | 1,307,592 | — | — | 1,307,592 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 95 | — | — | 95 |
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. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 174,407 |
Total Distributable Earnings (Loss) | (174,407) |
Amount ($000) | |
Undistributed Ordinary Income | 5,308 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (135,975) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (106,957) |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 22,095 | 13,360 |
Long-Term Capital Gains | — | — |
Total | 22,095 | 13,360 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,414,549 |
Gross Unrealized Appreciation | 112,433 |
Gross Unrealized Depreciation | (219,390) |
Net Unrealized Appreciation (Depreciation) | (106,957) |
E. | During the year ended August 31, 2022, the fund purchased $1,115,911,000 of investment securities and sold $1,067,392,000 of investment securities, other than temporary cash investments. Purchases and sales include $557,808,000 and $582,626,000, 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: |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 649,403 | 3,725 | 867,064 | 5,475 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (592,410) | (3,400) | (375,406) | (2,450) | |
Net Increase (Decrease)—ETF Shares | 56,993 | 325 | 491,658 | 3,025 |
Year Ended August 31, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 30,070 | 83 | 23,407 | 80 | |
Issued in Lieu of Cash Distributions | 979 | 3 | 782 | 3 | |
Redeemed | (39,659) | (113) | (25,871) | (76) | |
Net Increase (Decrease)—Institutional Shares | (8,610) | (27) | (1,682) | 7 |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended August 31, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | -16.27% | 8.85% | 11.59% | $29,953 | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | -16.22 | 8.87 | 11.60 | 29,978 | |
S&P SmallCap 600 Growth Index | -16.12 | 9.01 | 11.77 | 30,436 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -13.73 | 11.16 | 12.66 | 32,942 |
Cumulative Returns of ETF Shares: August 31, 2012, Through August 31, 2022 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | -16.22% | 52.92% | 199.78% |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | -16.27 | 52.84 | 199.53 |
S&P SmallCap 600 Growth Index | -16.12 | 53.90 | 204.36 |
Communication Services | 2.0% |
Consumer Discretionary | 12.5 |
Consumer Staples | 4.0 |
Energy | 3.5 |
Financials | 15.8 |
Health Care | 15.2 |
Industrials | 15.0 |
Information Technology | 19.8 |
Materials | 4.1 |
Real Estate | 6.6 |
Utilities | 1.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.0%) | ||||||
* | TechTarget Inc. | 31,720 | 2,059 | |||
Cogent Communications Holdings Inc. | 34,097 | 1,816 | ||||
Shutterstock Inc. | 27,660 | 1,533 | ||||
* | Yelp Inc. Class A | 38,929 | 1,330 | |||
* | Cinemark Holdings Inc. | 66,419 | 935 | |||
* | Gogo Inc. | 40,072 | 595 | |||
* | Thryv Holdings Inc. | 20,398 | 522 | |||
* | Cars.com Inc. | 38,121 | 486 | |||
* | EW Scripps Co. Class A | 31,646 | 473 | |||
* | Gannett Co. Inc. | 66,340 | 154 | |||
9,903 | ||||||
Consumer Discretionary (12.5%) | ||||||
Signet Jewelers Ltd. | 56,518 | 3,695 | ||||
Academy Sports & Outdoors Inc. | 60,094 | 2,589 | ||||
Installed Building Products Inc. | 27,603 | 2,500 | ||||
* | Cavco Industries Inc. | 10,165 | 2,379 | |||
* | Gentherm Inc. | 39,507 | 2,366 | |||
* | Boot Barn Holdings Inc. | 35,466 | 2,363 | |||
* | LGI Homes Inc. | 24,837 | 2,357 | |||
LCI Industries | 20,305 | 2,353 | ||||
* | Asbury Automotive Group Inc. | 11,877 | 2,072 | |||
* | Dorman Products Inc. | 22,615 | 2,050 | |||
* | Vista Outdoor Inc. | 66,883 | 1,881 | |||
Steven Madden Ltd. | 59,989 | 1,746 | ||||
Century Communities Inc. | 34,541 | 1,613 | ||||
* | Meritage Homes Corp. | 20,563 | 1,611 | |||
* | National Vision Holdings Inc. | 43,698 | 1,452 | |||
Jack in the Box Inc. | 17,305 | 1,382 | ||||
* | XPEL Inc. | 19,753 | 1,354 | |||
Oxford Industries Inc. | 11,714 | 1,250 | ||||
* | Shake Shack Inc. Class A | 25,717 | 1,226 | |||
Winnebago Industries Inc. | 19,932 | 1,148 | ||||
Buckle Inc. | 35,214 | 1,137 | ||||
* | Sonos Inc. | 74,733 | 1,124 | |||
* | Sleep Number Corp. | 26,491 | 1,097 |
Shares | Market Value• ($000) | |||||
Sturm Ruger & Co. Inc. | 20,992 | 1,097 | ||||
Kontoor Brands Inc. | 28,250 | 1,052 | ||||
* | iRobot Corp. | 17,764 | 1,046 | |||
* | Six Flags Entertainment Corp. | 45,547 | 1,009 | |||
* | Monarch Casino & Resort Inc. | 15,740 | 950 | |||
* | Frontdoor Inc. | 40,133 | 942 | |||
* | Stride Inc. | 24,453 | 933 | |||
* | MarineMax Inc. | 25,644 | 932 | |||
Wolverine World Wide Inc. | 44,233 | 864 | ||||
* | Dave & Buster's Entertainment Inc. | 20,844 | 862 | |||
Hibbett Inc. | 14,597 | 855 | ||||
* | Sally Beauty Holdings Inc. | 56,338 | 838 | |||
Monro Inc. | 17,166 | 795 | ||||
Rent-A-Center Inc. | 30,744 | 794 | ||||
Dine Brands Global Inc. | 10,826 | 721 | ||||
Patrick Industries Inc. | 12,290 | 651 | ||||
* | Children's Place Inc. | 15,406 | 650 | |||
* | Green Brick Partners Inc. | 25,825 | 629 | |||
* | Golden Entertainment Inc. | 16,272 | 622 | |||
Movado Group Inc. | 19,280 | 615 | ||||
* | Liquidity Services Inc. | 31,781 | 556 | |||
Shoe Carnival Inc. | 20,375 | 485 | ||||
* | Genesco Inc. | 7,376 | 417 | |||
* | Abercrombie & Fitch Co. Class A | 28,233 | 406 | |||
61,466 | ||||||
Consumer Staples (4.0%) | ||||||
* | Simply Good Foods Co. | 105,346 | 3,218 | |||
* | United Natural Foods Inc. | 69,489 | 3,063 | |||
* | elf Beauty Inc. | 57,184 | 2,180 | |||
WD-40 Co. | 9,451 | 1,788 | ||||
Medifast Inc. | 13,729 | 1,723 | ||||
Inter Parfums Inc. | 21,264 | 1,670 | ||||
MGP Ingredients Inc. | 14,945 | 1,636 | ||||
Vector Group Ltd. | 157,065 | 1,539 | ||||
J & J Snack Foods Corp. | 7,836 | 1,168 | ||||
National Beverage Corp. | 15,910 | 882 |
Shares | Market Value• ($000) | |||||
* | USANA Health Sciences Inc. | 9,231 | 596 | |||
Tootsie Roll Industries Inc. | 10,574 | 379 | ||||
19,842 | ||||||
Energy (3.5%) | ||||||
SM Energy Co. | 145,359 | 6,406 | ||||
Civitas Resources Inc. | 86,152 | 5,789 | ||||
* | Callon Petroleum Co. | 56,660 | 2,412 | |||
Ranger Oil Corp. | 25,169 | 981 | ||||
* | Laredo Petroleum Inc. | 11,651 | 904 | |||
Dorian LPG Ltd. | 32,932 | 479 | ||||
Core Laboratories NV | 23,110 | 373 | ||||
17,344 | ||||||
Financials (15.8%) | ||||||
ServisFirst Bancshares Inc. | 58,266 | 4,915 | ||||
Walker & Dunlop Inc. | 36,350 | 3,652 | ||||
First Bancorp | 235,526 | 3,368 | ||||
* | Trupanion Inc. | 41,277 | 2,913 | |||
United Community Banks Inc. | 80,102 | 2,686 | ||||
* | Axos Financial Inc. | 64,033 | 2,675 | |||
Flagstar Bancorp Inc. | 63,493 | 2,446 | ||||
Lakeland Financial Corp. | 30,223 | 2,277 | ||||
* | Palomar Holdings Inc. | 28,526 | 2,262 | |||
Ameris Bancorp | 44,828 | 2,093 | ||||
Veritex Holdings Inc. | 64,285 | 1,936 | ||||
Community Bank System Inc. | 29,564 | 1,933 | ||||
Piper Sandler Cos. | 16,870 | 1,933 | ||||
Independent Bank Corp. (Massachusetts) | 23,429 | 1,833 | ||||
* | Triumph Bancorp Inc. | 28,203 | 1,746 | |||
��� | WSFS Financial Corp. | 33,966 | 1,642 | |||
Assured Guaranty Ltd. | 32,098 | 1,639 | ||||
Pacific Premier Bancorp Inc. | 49,780 | 1,631 | ||||
Virtus Investment Partners Inc. | 8,377 | 1,602 | ||||
* | Bancorp Inc. | 67,457 | 1,600 | |||
Park National Corp. | 10,864 | 1,432 | ||||
* | Donnelley Financial Solutions Inc. | 33,362 | 1,416 | |||
* | Enova International Inc. | 38,822 | 1,356 | |||
BancFirst Corp. | 11,996 | 1,294 | ||||
* | Customers Bancorp Inc. | 36,174 | 1,255 | |||
Seacoast Banking Corp. of Florida | 37,954 | 1,227 | ||||
Pathward Financial Inc. | 35,006 | 1,154 | ||||
Redwood Trust Inc. | 143,305 | 1,111 | ||||
Preferred Bank | 16,220 | 1,100 | ||||
Eagle Bancorp Inc. | 22,632 | 1,098 | ||||
Banner Corp. | 17,603 | 1,070 | ||||
Provident Financial Services Inc. | 41,434 | 963 | ||||
B. Riley Financial Inc. | 19,296 | 960 | ||||
Southside Bancshares Inc. | 24,081 | 907 |
Shares | Market Value• ($000) | |||||
National Bank Holdings Corp. Class A | 20,856 | 837 | ||||
First Commonwealth Financial Corp. | 61,710 | 832 | ||||
FB Financial Corp. | 20,236 | 802 | ||||
Stewart Information Services Corp. | 15,838 | 802 | ||||
Hilltop Holdings Inc. | 30,318 | 800 | ||||
OFG Bancorp | 29,088 | 791 | ||||
HomeStreet Inc. | 22,380 | 779 | ||||
* | Encore Capital Group Inc. | 13,916 | 761 | |||
First Bancorp (XNGS) | 20,683 | 753 | ||||
City Holding Co. | 8,589 | 730 | ||||
Brightsphere Investment Group Inc. | 38,662 | 661 | ||||
Dime Community Bancshares Inc. | 18,481 | 578 | ||||
* | World Acceptance Corp. | 4,357 | 507 | |||
Brookline Bancorp Inc. | 40,567 | 506 | ||||
Hanmi Financial Corp. | 20,314 | 502 | ||||
* | Blucora Inc. | 24,772 | 497 | |||
Banc of California Inc. | 28,368 | 479 | ||||
HCI Group Inc. | 9,447 | 452 | ||||
Central Pacific Financial Corp. | 20,333 | 443 | ||||
KKR Real Estate Finance Trust Inc. | 23,023 | 443 | ||||
Tompkins Financial Corp. | 6,159 | 441 | ||||
Northfield Bancorp Inc. | 29,724 | 438 | ||||
Ellington Financial Inc. | 29,688 | 436 | ||||
WisdomTree Investments Inc. | 81,101 | 406 | ||||
* | Selectquote Inc. | 72,919 | 81 | |||
77,882 | ||||||
Health Care (15.2%) | ||||||
* | AMN Healthcare Services Inc. | 53,331 | 5,474 | |||
* | Cytokinetics Inc. | 102,160 | 5,410 | |||
* | Lantheus Holdings Inc. | 48,296 | 3,806 | |||
Ensign Group Inc. | 33,939 | 2,895 | ||||
* | Supernus Pharmaceuticals Inc. | 63,717 | 2,181 | |||
* | Vir Biotechnology Inc. | 88,412 | 2,100 | |||
* | Merit Medical Systems Inc. | 34,667 | 2,053 | |||
CONMED Corp. | 22,534 | 1,996 | ||||
* | Apollo Medical Holdings Inc. | 45,455 | 1,960 | |||
* | Xencor Inc. | 71,041 | 1,875 | |||
* | Ligand Pharmaceuticals Inc. | 20,117 | 1,859 | |||
* | Corcept Therapeutics Inc. | 69,577 | 1,796 | |||
* | Pacira BioSciences Inc. | 33,063 | 1,735 | |||
* | CorVel Corp. | 11,138 | 1,731 | |||
* | Prestige Consumer Healthcare Inc. | 31,792 | 1,608 | |||
* | Dynavax Technologies Corp. | 140,105 | 1,607 |
Shares | Market Value• ($000) | |||||
* | Ironwood Pharmaceuticals Inc. Class A | 137,661 | 1,481 | |||
* | Glaukos Corp. | 29,329 | 1,424 | |||
* | Vericel Corp. | 56,207 | 1,402 | |||
* | Arcus Biosciences Inc. | 55,608 | 1,339 | |||
* | Avid Bioservices Inc. | 73,653 | 1,268 | |||
* | Heska Corp. | 12,899 | 1,175 | |||
LeMaitre Vascular Inc. | 23,030 | 1,137 | ||||
* | RadNet Inc. | 55,596 | 1,117 | |||
* | Myriad Genetics Inc. | 49,816 | 1,113 | |||
* | Meridian Bioscience Inc. | 33,318 | 1,086 | |||
* | Cross Country Healthcare Inc. | 42,304 | 1,074 | |||
* | AngioDynamics Inc. | 46,243 | 1,024 | |||
* | Fulgent Genetics Inc. | 23,507 | 1,022 | |||
* | Innoviva Inc. | 74,710 | 983 | |||
* | Allscripts Healthcare Solutions Inc. | 54,089 | 919 | |||
* | ModivCare Inc. | 8,383 | 908 | |||
* | Amphastar Pharmaceuticals Inc. | 30,458 | 902 | |||
* | BioLife Solutions Inc. | 36,489 | 861 | |||
* | Coherus Biosciences Inc. | 76,488 | 855 | |||
* | uniQure NV | 43,268 | 845 | |||
* | NeoGenomics Inc. | 82,077 | 825 | |||
* | Enanta Pharmaceuticals Inc. | 13,169 | 802 | |||
* | Addus HomeCare Corp. | 8,267 | 738 | |||
* | Collegium Pharmaceutical Inc. | 40,648 | 715 | |||
Simulations Plus Inc. | 11,315 | 679 | ||||
* | Harmony Biosciences Holdings Inc. | 15,340 | 674 | |||
* | Varex Imaging Corp. | 30,331 | 640 | |||
Mesa Laboratories Inc. | 3,698 | 632 | ||||
* | REGENXBIO Inc. | 20,448 | 603 | |||
* | Cutera Inc. | 12,410 | 593 | |||
US Physical Therapy Inc. | 6,991 | 577 | ||||
* | iTeos Therapeutics Inc. | 24,130 | 535 | |||
* | Cara Therapeutics Inc. | 50,455 | 521 | |||
* | Vanda Pharmaceuticals Inc. | 42,992 | 455 | |||
* | Community Health Systems Inc. | 151,485 | 403 | |||
* | Nektar Therapeutics Class A | 99,834 | 393 | |||
* | Surmodics Inc. | 10,831 | 365 | |||
* | HealthStream Inc. | 15,635 | 346 | |||
* | OptimizeRx Corp. | 21,723 | 345 | |||
* | ANI Pharmaceuticals Inc. | 9,204 | 339 | |||
* | Joint Corp. | 17,221 | 314 | |||
* | Cardiovascular Systems Inc. | 20,419 | 270 | |||
* | Organogenesis Holdings Inc. Class A | 75,363 | 270 | |||
* | Pennant Group Inc. | 16,467 | 258 | |||
Zynex Inc. | 26,506 | 237 | ||||
* | Eagle Pharmaceuticals Inc. | 6,521 | 214 |
Shares | Market Value• ($000) | |||||
* | Anika Therapeutics Inc. | 9,198 | 208 | |||
*,1 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
74,972 | ||||||
Industrials (15.0%) | ||||||
UFP Industries Inc. | 74,814 | 5,940 | ||||
Exponent Inc. | 61,798 | 5,800 | ||||
Comfort Systems USA Inc. | 42,918 | 4,306 | ||||
Mueller Industries Inc. | 67,859 | 4,287 | ||||
Korn Ferry | 64,276 | 3,916 | ||||
Matson Inc. | 48,352 | 3,562 | ||||
Forward Air Corp. | 32,032 | 3,108 | ||||
Encore Wire Corp. | 23,528 | 3,061 | ||||
Franklin Electric Co. Inc. | 31,085 | 2,700 | ||||
John Bean Technologies Corp. | 24,260 | 2,505 | ||||
ArcBest Corp. | 29,198 | 2,351 | ||||
Applied Industrial Technologies Inc. | 19,718 | 2,090 | ||||
* | NV5 Global Inc. | 14,233 | 2,003 | |||
* | Aerojet Rocketdyne Holdings Inc. | 46,414 | 1,999 | |||
AAON Inc. | 33,502 | 1,926 | ||||
Hillenbrand Inc. | 46,184 | 1,924 | ||||
* | MYR Group Inc. | 20,282 | 1,885 | |||
Federal Signal Corp. | 44,095 | 1,758 | ||||
Albany International Corp. Class A | 18,785 | 1,657 | ||||
Boise Cascade Co. | 22,579 | 1,407 | ||||
* | GMS Inc. | 28,745 | 1,386 | |||
* | AeroVironment Inc. | 14,923 | 1,323 | |||
* | SPX Technologies Inc. | 22,924 | 1,308 | |||
Lindsay Corp. | 7,718 | 1,238 | ||||
Brady Corp. Class A | 26,364 | 1,227 | ||||
Trinity Industries Inc. | 41,690 | 1,016 | ||||
* | Triumph Group Inc. | 77,043 | 1,001 | |||
* | Gibraltar Industries Inc. | 18,330 | 767 | |||
Enerpac Tool Group Corp. Class A | 34,775 | 675 | ||||
* | PGT Innovations Inc. | 32,159 | 673 | |||
Heidrick & Struggles International Inc. | 23,599 | 672 | ||||
Insteel Industries Inc. | 23,263 | 672 | ||||
Alamo Group Inc. | 4,985 | 652 | ||||
Standex International Corp. | 6,899 | 624 | ||||
Tennant Co. | 9,513 | 574 | ||||
* | Forrester Research Inc. | 13,104 | 545 | |||
* | Viad Corp. | 12,999 | 496 | |||
* | Sun Country Airlines Holdings Inc. | 22,538 | 449 | |||
Interface Inc. Class A | 31,874 | 356 | ||||
Park Aerospace Corp. | 10,173 | 117 | ||||
73,956 | ||||||
Information Technology (19.8%) | ||||||
* | ExlService Holdings Inc. | 39,697 | 6,658 | |||
* | Rogers Corp. | 22,337 | 5,596 |
Shares | Market Value• ($000) | |||||
* | SPS Commerce Inc. | 43,048 | 5,257 | |||
* | Fabrinet | 43,870 | 4,512 | |||
* | Onto Innovation Inc. | 59,108 | 4,196 | |||
Advanced Energy Industries Inc. | 44,794 | 4,022 | ||||
* | Diodes Inc. | 53,970 | 3,841 | |||
* | Alarm.com Holdings Inc. | 54,956 | 3,660 | |||
* | Rambus Inc. | 131,500 | 3,391 | |||
* | Perficient Inc. | 41,324 | 3,227 | |||
* | MaxLinear Inc. Class A | 84,876 | 3,050 | |||
Kulicke & Soffa Industries Inc. | 70,519 | 2,965 | ||||
* | Axcelis Technologies Inc. | 39,386 | 2,636 | |||
Progress Software Corp. | 52,197 | 2,512 | ||||
* | Viavi Solutions Inc. | 168,478 | 2,372 | |||
* | Extreme Networks Inc. | 156,043 | 2,236 | |||
Badger Meter Inc. | 22,688 | 2,148 | ||||
ADTRAN Holdings Inc. | 91,976 | 2,138 | ||||
* | Digital Turbine Inc. | 105,225 | 1,943 | |||
EVERTEC Inc. | 52,006 | 1,747 | ||||
* | FormFactor Inc. | 58,667 | 1,718 | |||
* | LiveRamp Holdings Inc. | 81,310 | 1,614 | |||
* | Clearfield Inc. | 13,647 | 1,585 | |||
* | 3D Systems Corp. | 155,444 | 1,575 | |||
* | Ultra Clean Holdings Inc. | 53,793 | 1,574 | |||
* | Harmonic Inc. | 124,615 | 1,403 | |||
* | Veeco Instruments Inc. | 61,112 | 1,292 | |||
CSG Systems International Inc. | 21,864 | 1,265 | ||||
TTEC Holdings Inc. | 21,876 | 1,145 | ||||
Xperi Holding Corp. | 64,373 | 1,024 | ||||
A10 Networks Inc. | 69,546 | 967 | ||||
InterDigital Inc. | 19,118 | 959 | ||||
* | Avid Technology Inc. | 33,419 | 914 | |||
* | Cohu Inc. | 33,581 | 901 | |||
CTS Corp. | 19,462 | 824 | ||||
* | CEVA Inc. | 27,642 | 809 | |||
Methode Electronics Inc. | 19,441 | 787 | ||||
* | Alpha & Omega Semiconductor Ltd. | 19,827 | 766 | |||
* | Agilysys Inc. | 14,732 | 763 | |||
* | 8x8 Inc. | 141,666 | 738 | |||
* | OSI Systems Inc. | 8,146 | 679 | |||
* | Knowles Corp. | 43,879 | 665 | |||
* | Digi International Inc. | 19,667 | 651 | |||
* | SMART Global Holdings Inc. | 34,503 | 633 | |||
* | Ichor Holdings Ltd. | 19,417 | 596 | |||
* | LivePerson Inc. | 51,073 | 592 | |||
* | PDF Solutions Inc. | 22,189 | 585 | |||
* | Cerence Inc. | 24,466 | 490 | |||
* | Unisys Corp. | 38,600 | 359 | |||
* | Arlo Technologies Inc. | 57,927 | 353 | |||
* | FARO Technologies Inc. | 10,450 | 351 | |||
* | Diebold Nixdorf Inc. | 87,457 | 304 |
Shares | Market Value• ($000) | |||||
* | Corsair Gaming Inc. | 15,504 | 239 | |||
* | OneSpan Inc. | 20,085 | 231 | |||
97,458 | ||||||
Materials (4.0%) | ||||||
* | Livent Corp. | 192,896 | 6,207 | |||
Balchem Corp. | 38,303 | 5,049 | ||||
* | ATI Inc. | 66,640 | 1,994 | |||
HB Fuller Co. | 29,105 | 1,888 | ||||
Quaker Chemical Corp. | 9,292 | 1,620 | ||||
Materion Corp. | 14,188 | 1,225 | ||||
AdvanSix Inc. | 18,167 | 659 | ||||
Hawkins Inc. | 12,088 | 463 | ||||
Myers Industries Inc. | 18,577 | 359 | ||||
Haynes International Inc. | 8,458 | 336 | ||||
* | Century Aluminum Co. | 27,348 | 211 | |||
20,011 | ||||||
Real Estate (6.6%) | ||||||
Innovative Industrial Properties Inc. | 33,358 | 3,060 | ||||
Agree Realty Corp. | 40,348 | 3,039 | ||||
Essential Properties Realty Trust Inc. | 86,051 | 1,948 | ||||
Tanger Factory Outlet Centers Inc. | 124,509 | 1,920 | ||||
LXP Industrial Trust | 170,935 | 1,720 | ||||
SITE Centers Corp. | 119,237 | 1,545 | ||||
Uniti Group Inc. | 163,992 | 1,540 | ||||
St. Joe Co. | 39,352 | 1,503 | ||||
NexPoint Residential Trust Inc. | 27,592 | 1,458 | ||||
Four Corners Property Trust Inc. | 46,918 | 1,262 | ||||
Retail Opportunity Investments Corp. | 72,524 | 1,215 | ||||
CareTrust REIT Inc. | 54,341 | 1,171 | ||||
Urban Edge Properties | 59,130 | 930 | ||||
Washington REIT | 45,790 | 898 | ||||
Centerspace | 11,705 | 882 | ||||
Acadia Realty Trust | 49,662 | 791 | ||||
iStar Inc. | 55,272 | 761 | ||||
American Assets Trust Inc. | 27,096 | 752 | ||||
Safehold Inc. | 18,416 | 700 | ||||
Getty Realty Corp. | 22,387 | 673 | ||||
Armada Hoffler Properties Inc. | 49,452 | 649 | ||||
Community Healthcare Trust Inc. | 16,642 | 614 | ||||
Marcus & Millichap Inc. | 16,335 | 611 | ||||
* | Sunstone Hotel Investors Inc. | 53,913 | 587 | |||
RPT Realty | 52,009 | 501 | ||||
Saul Centers Inc. | 10,796 | 478 | ||||
Universal Health Realty Income Trust | 8,237 | 419 | ||||
Douglas Elliman Inc. | 82,233 | 379 |
Shares | Market Value• ($000) | |||||
Urstadt Biddle Properties Inc. Class A | 19,587 | 328 | ||||
Industrial Logistics Properties Trust | 31,940 | 239 | ||||
32,573 | ||||||
Utilities (1.5%) | ||||||
American States Water Co. | 29,092 | 2,414 | ||||
California Water Service Group | 37,839 | 2,215 | ||||
Chesapeake Utilities Corp. | 10,985 | 1,387 | ||||
Middlesex Water Co. | 14,440 | 1,282 | ||||
7,298 | ||||||
Total Common Stocks (Cost $521,231) | 492,705 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
2 | Vanguard Market Liquidity Fund, 2.284% (Cost $734) | 7,346 | 734 | |||
Total Investments (100.1%) (Cost $521,965) | 493,439 | |||||
Other Assets and Liabilities—Net (-0.1%) | (311) | |||||
Net Assets (100%) | 493,128 |
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 | September 2022 | 4 | 369 | (9) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $521,231) | 492,705 |
Affiliated Issuers (Cost $734) | 734 |
Total Investments in Securities | 493,439 |
Investment in Vanguard | 18 |
Cash Collateral Pledged—Futures Contracts | 20 |
Receivables for Investment Securities Sold | 309 |
Receivables for Accrued Income | 316 |
Receivables for Capital Shares Issued | 3 |
Total Assets | 494,105 |
Liabilities | |
Due to Custodian | 26 |
Payables for Investment Securities Purchased | 914 |
Payables to Vanguard | 35 |
Variation Margin Payable—Futures Contracts | 2 |
Total Liabilities | 977 |
Net Assets | 493,128 |
At August 31, 2022, net assets consisted of: | |
Paid-in Capital | 632,236 |
Total Distributable Earnings (Loss) | (139,108) |
Net Assets | 493,128 |
ETF Shares—Net Assets | |
Applicable to 2,550,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 493,128 |
Net Asset Value Per Share—ETF Shares | $193.38 |
Year Ended August 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 5,445 |
Interest2 | 2 |
Securities Lending—Net | 34 |
Total Income | 5,481 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 24 |
Management and Administrative | 649 |
Marketing and Distribution | 29 |
Custodian Fees | 25 |
Auditing Fees | 28 |
Shareholders’ Reports | 39 |
Trustees’ Fees and Expenses | — |
Other Expenses | 14 |
Total Expenses | 808 |
Net Investment Income | 4,673 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 19,875 |
Futures Contracts | (28) |
Realized Net Gain (Loss) | 19,847 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (121,594) |
Futures Contracts | (8) |
Change in Unrealized Appreciation (Depreciation) | (121,602) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (97,082) |
1 | Dividends are net of foreign withholding taxes of $9,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $57,546,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,673 | 3,741 |
Realized Net Gain (Loss) | 19,847 | 60,799 |
Change in Unrealized Appreciation (Depreciation) | (121,602) | 92,986 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (97,082) | 157,526 |
Distributions | ||
Total Distributions | (5,133) | (2,856) |
Capital Share Transactions | ||
Issued | 232,231 | 342,033 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (202,342) | (257,126) |
Net Increase (Decrease) from Capital Share Transactions | 29,889 | 84,907 |
Total Increase (Decrease) | (72,326) | 239,577 |
Net Assets | ||
Beginning of Period | 565,454 | 325,877 |
End of Period | 493,128 | 565,454 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $233.18 | $158.96 | $152.33 | $179.42 | $132.10 |
Investment Operations | |||||
Net Investment Income1 | 1.855 | 1.625 | 1.464 | 1.475 | 1.222 |
Net Realized and Unrealized Gain (Loss) on Investments | (39.608) | 73.892 | 6.656 | (27.154) | 47.288 |
Total from Investment Operations | (37.753) | 75.517 | 8.120 | (25.679) | 48.510 |
Distributions | |||||
Dividends from Net Investment Income | (2.047) | (1.297) | (1.490) | (1.411) | (1.190) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.047) | (1.297) | (1.490) | (1.411) | (1.190) |
Net Asset Value, End of Period | $193.38 | $233.18 | $158.96 | $152.33 | $179.42 |
Total Return | -16.27% | 47.68% | 5.37% | -14.32% | 36.92% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $493 | $565 | $326 | $392 | $547 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.16% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.87% | 0.79% | 0.97% | 0.94% | 0.80% |
Portfolio Turnover Rate2 | 42% | 35% | 57% | 47% | 37% |
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 | 492,705 | — | — | 492,705 |
Temporary Cash Investments | 734 | — | — | 734 |
Total | 493,439 | — | — | 493,439 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 9 | — | — | 9 |
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. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 57,431 |
Total Distributable Earnings (Loss) | (57,431) |
Amount ($000) | |
Undistributed Ordinary Income | 991 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (109,083) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | (31,016) |
Year Ended August 31, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 5,133 | 2,856 |
Long-Term Capital Gains | — | — |
Total | 5,133 | 2,856 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 524,455 |
Gross Unrealized Appreciation | 49,612 |
Gross Unrealized Depreciation | (80,628) |
Net Unrealized Appreciation (Depreciation) | (31,016) |
E. | During the year ended August 31, 2022, the fund purchased $460,697,000 of investment securities and sold $428,907,000 of investment securities, other than temporary cash investments. Purchases and sales include $198,496,000 and $205,335,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital shares issued and redeemed were: |
Year Ended August 31, | ||||
2022 Shares (000) | 2021 Shares (000) | |||
ETF Shares | ||||
Issued | 1,050 | 1,750 | ||
Issued in Lieu of Cash Distributions | — | — | ||
Redeemed | (925) | (1,375) | ||
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 125 | 375 |
Philadelphia, Pennsylvania
October 18, 2022
Fund | Percentage |
S&P Small-Cap 600 Index Fund | 77.7% |
S&P Small-Cap 600 Value Index Fund | 80.0 |
S&P Small-Cap 600 Growth Index Fund | 87.5 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 36,869 |
S&P Small-Cap 600 Value Index Fund | 18,011 |
S&P Small-Cap 600 Growth Index Fund | 4,870 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 10 |
S&P Small-Cap 600 Value Index Fund | 2 |
S&P Small-Cap 600 Growth Index Fund | 1 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 5,428 |
S&P Small-Cap 600 Value Index Fund | 2,190 |
S&P Small-Cap 600 Growth Index Fund | 263 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) | Audit Fees. |
Audit Fees of the Registrant.
Fiscal Year Ended August 31, 2022: $254,000
Fiscal Year Ended August 31, 2021: $241,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2022: $10,494,508
Fiscal Year Ended August 31, 2021: $11,244,694
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) | Audit-Related Fees. |
Fiscal Year Ended August 31, 2022: $2,757,764
Fiscal Year Ended August 31, 2021: $2,955,181
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) | Tax Fees. |
Fiscal Year Ended August 31, 2022: $5,202,689
Fiscal Year Ended August 31, 2021: $2,047,574
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) | All Other Fees. |
Fiscal Year Ended August 31, 2022: $298,000
Fiscal Year Ended August 31, 2021: $280,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2022: $5,500,689
Fiscal Year Ended August 31, 2021: $2,327,574
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
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) | Code of Ethics filed herewith. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications field 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: October 18, 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: October 18, 2022
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: October 18, 2022
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on October 11, 2022 (see File Number 333-11763), Incorporated by Reference.