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, 2022—February 28, 2023
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 | 15 |
Treasury Money Market Fund | 28 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,018.00 | $0.50 |
Federal Money Market Fund | $1,000.00 | $1,017.80 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,017.60 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,024.30 | $0.50 |
Federal Money Market Fund | $1,000.00 | $1,024.25 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,024.35 | $0.45 |
1 - 7 Days | 68.0% |
8 - 30 Days | 7.2 |
31 - 60 Days | 6.8 |
61 - 90 Days | 5.8 |
91 - 180 Days | 8.8 |
Over 180 Days | 3.4 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (43.3%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 4.560% | 3/1/23 | 106,000 | 105,999 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 4.560% | 3/1/23 | 46,000 | 46,000 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 4.550% | 3/1/23 | 30,000 | 29,999 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 4.590% | 3/1/23 | 52,000 | 51,997 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 4.600% | 3/1/23 | 71,000 | 70,995 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 4.563% | 3/1/23 | 63,000 | 62,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 4.575% | 3/1/23 | 88,000 | 87,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 4.585% | 3/1/23 | 247,000 | 247,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 4.590% | 3/1/23 | 80,000 | 79,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 4.590% | 3/1/23 | 38,000 | 38,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 4.595% | 3/1/23 | 57,000 | 57,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 4.600% | 3/1/23 | 91,000 | 91,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 4.605% | 3/1/23 | 175,000 | 175,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 4.605% | 3/1/23 | 65,000 | 65,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.120% | 4.670% | 3/1/23 | 57,207 | 57,207 |
Federal Home Loan Banks | 4.250% | 4/14/23 | 506,190 | 506,186 | |
Federal Home Loan Banks | 4.600% | 7/24/23 | 59,190 | 59,187 | |
Federal Home Loan Banks | 4.625% | 11/6/23 | 297,800 | 297,800 | |
Federal Home Loan Banks | 5.020% | 12/14/23 | 447,000 | 446,987 | |
Federal Home Loan Banks Discount Notes | 4.625% | 3/3/23 | 1,070 | 1,070 | |
Federal Home Loan Banks Discount Notes | 4.631% | 3/7/23 | 4,997 | 4,993 | |
Federal Home Loan Banks Discount Notes | 4.474%–4.491% | 3/8/23 | 1,142,041 | 1,141,055 | |
Federal Home Loan Banks Discount Notes | 4.482% | 3/10/23 | 196,000 | 195,781 | |
Federal Home Loan Banks Discount Notes | 4.473% | 3/13/23 | 74,780 | 74,672 | |
Federal Home Loan Banks Discount Notes | 4.498%–4.514% | 3/15/23 | 472,000 | 471,177 | |
Federal Home Loan Banks Discount Notes | 4.473%–4.485% | 3/17/23 | 1,239,989 | 1,237,560 | |
Federal Home Loan Banks Discount Notes | 4.534% | 3/22/23 | 341,000 | 340,101 | |
Federal Home Loan Banks Discount Notes | 4.550% | 3/24/23 | 59,798 | 59,629 | |
Federal Home Loan Banks Discount Notes | 4.549% | 3/29/23 | 148,700 | 148,181 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 4.686%–4.741% | 4/10/23 | 78,000 | 77,600 | |
Federal Home Loan Banks Discount Notes | 4.243%–4.678% | 4/12/23 | 599,000 | 595,813 | |
Federal Home Loan Banks Discount Notes | 4.647%–4.708% | 4/14/23 | 576,000 | 572,775 | |
Federal Home Loan Banks Discount Notes | 4.626% | 4/18/23 | 149,577 | 148,678 | |
Federal Home Loan Banks Discount Notes | 4.667%–4.740% | 4/19/23 | 773,762 | 768,914 | |
Federal Home Loan Banks Discount Notes | 4.683% | 4/21/23 | 487,000 | 483,816 | |
Federal Home Loan Banks Discount Notes | 4.702% | 4/26/23 | 832,000 | 826,003 | |
Federal Home Loan Banks Discount Notes | 4.707%–4.713% | 4/28/23 | 514,310 | 510,484 | |
Federal Home Loan Banks Discount Notes | 4.768%–4.769% | 5/2/23 | 536,478 | 532,186 | |
Federal Home Loan Banks Discount Notes | 4.734%–4.786% | 5/3/23 | 402,333 | 399,048 | |
Federal Home Loan Banks Discount Notes | 4.739% | 5/15/23 | 149,640 | 148,215 | |
Federal Home Loan Banks Discount Notes | 4.712%–4.739% | 5/16/23 | 778,153 | 770,646 | |
Federal Home Loan Banks Discount Notes | 4.806% | 5/19/23 | 340,292 | 336,756 | |
Federal Home Loan Banks Discount Notes | 4.774% | 5/22/23 | 149,495 | 147,929 | |
Federal Home Loan Banks Discount Notes | 4.877% | 5/31/23 | 62,500 | 61,741 | |
Federal Home Loan Banks Discount Notes | 4.806% | 6/5/23 | 224,500 | 221,704 | |
Federal Home Loan Banks Discount Notes | 4.942%–4.986% | 6/20/23 | 448,008 | 441,322 | |
Federal Home Loan Banks Discount Notes | 4.844% | 6/28/23 | 127,300 | 125,326 | |
Federal Home Loan Banks Discount Notes | 4.851% | 7/5/23 | 117,000 | 115,077 | |
Federal Home Loan Banks Discount Notes | 4.971% | 8/9/23 | 106,000 | 103,720 | |
Federal Home Loan Banks Discount Notes | 5.078% | 2/8/24 | ��� 297,982 | 284,371 | |
Federal Home Loan Banks Discount Notes | 5.065% | 2/9/24 | 893,658 | 852,721 | |
2 | Federal Home Loan Banks, SOFR + 0.010% | 4.560% | 3/23/23 | 592,900 | 592,900 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 4.565% | 3/1/23 | 889,000 | 889,000 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 4.565% | 3/1/23 | 17,280 | 17,280 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 3/1/23 | 43,500 | 43,498 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 3/24/23 | 267,300 | 267,300 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 296,400 | 296,400 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 287,600 | 287,600 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 34,100 | 34,100 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/25/23 | 297,700 | 297,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 3/1/23 | 249,940 | 249,940 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 3/1/23 | 231,900 | 231,900 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 4/14/23 | 148,700 | 148,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 4/24/23 | 490,300 | 490,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/1/23 | 252,500 | 252,500 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/4/23 | 893,300 | 893,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/22/23 | 296,400 | 296,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/26/23 | 446,000 | 446,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/26/23 | 185,800 | 185,800 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 6/2/23 | 446,600 | 446,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 6/5/23 | 446,200 | 446,200 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 4.585% | 3/1/23 | 68,000 | 67,998 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 3/1/23 | 463,100 | 463,100 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 5/22/23 | 445,600 | 445,600 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/1/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/2/23 | 389,000 | 389,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/5/23 | 504,300 | 504,300 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/28/23 | 446,600 | 446,600 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 289,815 | 289,815 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 289,515 | 289,515 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 289,515 | 289,515 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 274,900 | 274,900 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 217,135 | 217,135 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 289,400 | 289,400 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 289,300 | 289,300 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 145,000 | 145,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 144,100 | 144,100 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 6/27/23 | 222,700 | 222,700 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 6/30/23 | 600,000 | 600,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/3/23 | 445,400 | 445,400 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/5/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/6/23 | 295,600 | 295,600 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/10/23 | 296,500 | 296,500 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/10/23 | 148,000 | 148,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/13/23 | 111,100 | 111,100 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/17/23 | 1,530,100 | 1,530,100 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/24/23 | 309,700 | 309,696 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 296,300 | 296,300 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 295,500 | 295,500 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,400 | 289,400 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,300 | 289,300 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 250,400 | 250,400 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 217,000 | 217,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 159,900 | 159,900 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 144,600 | 144,600 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 3/1/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 8/25/23 | 296,400 | 296,400 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 8/28/23 | 296,400 | 296,400 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 9/5/23 | 446,200 | 446,200 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 289,330 | 289,330 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 289,000 | 289,000 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 144,800 | 144,800 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 4.620% | 3/1/23 | 144,800 | 144,800 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 4.620% | 10/3/23 | 447,400 | 447,400 |
2 | Federal Home Loan Banks, SOFR + 0.075% | 4.625% | 3/1/23 | 297,000 | 297,000 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 4.640% | 12/27/23 | 297,100 | 297,100 |
United States Treasury Bill | 4.185% | 3/14/23 | 2,021,990 | 2,018,730 | |
United States Treasury Bill | 4.126% | 4/13/23 | 182,603 | 181,724 | |
United States Treasury Bill | 4.360% | 4/18/23 | 249,834 | 248,285 | |
United States Treasury Bill | 1.922% | 4/20/23 | 250,000 | 249,351 | |
United States Treasury Bill | 3.141% | 6/15/23 | 450,000 | 445,998 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 4.733% | 3/1/23 | 144,960 | 144,833 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 4.842% | 3/1/23 | 537,000 | 537,001 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 4.845% | 3/1/23 | 900,000 | 900,000 |
Total U.S. Government and Agency Obligations (Cost $42,639,961) | 42,639,961 | ||||
Repurchase Agreements (56.5%) | |||||
Bank of Montreal (Dated 2/1/23, Repurchase Value $74,468,000, collateralized by U.S. Treasury Note/Bond 1.125%–2.750%, 5/31/24–8/31/28, with a value of $75,480,000) | 4.555% | 3/23/23 | 74,000 | 74,000 | |
Canadian Imperial Bank of Commerce (Dated 2/2/23, Repurchase Value $396,443,000, collateralized by U.S. Treasury Bill 0.000%, 5/16/23, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 4/15/26–2/15/48, and U.S. Treasury Note/Bond 0.375%–4.500%, 2/29/24–11/15/50, with a value of $401,880,000) | 4.555% | 3/23/23 | 394,000 | 394,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Reserve Bank of New York (Dated 2/28/23, Repurchase Value $54,346,868,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.500%, 5/15/23–8/15/39, with a value of $54,346,868,000) | 4.550% | 3/1/23 | 54,340,000 | 54,340,000 | |
Royal Bank of Canada (Dated 2/27/23, Repurchase Value $603,459,000, collateralized by U.S. Treasury Note/Bond 0.125%–4.125%, 8/15/23–10/31/29, with a value of $610,236,000) | 4.730% | 5/4/23 | 598,271 | 598,271 | |
Royal Bank of Canada (Dated 2/28/23, Repurchase Value $226,588,000, collateralized by U.S. Treasury Note/Bond 0.250%, 9/30/25–10/31/25, with a value of $229,160,000) | 4.735% | 5/4/23 | 224,667 | 224,667 | |
Total Repurchase Agreements (Cost $55,630,938) | 55,630,938 | ||||
Total Investments (99.8%) (Cost $98,270,899) | 98,270,899 | ||||
Other Assets and Liabilities—Net (0.2%) | 166,251 | ||||
Net Assets (100%) | 98,437,150 | ||||
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. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $42,639,961) | 42,639,961 |
Repurchase Agreements (Cost $55,630,938) | 55,630,938 |
Total Investments in Securities | 98,270,899 |
Investment in Vanguard | 3,441 |
Cash | 2,192 |
Receivables for Accrued Income | 171,619 |
Receivables for Capital Shares Issued | 209,081 |
Total Assets | 98,657,232 |
Liabilities | |
Payables for Investment Securities Purchased | 61,741 |
Payables for Capital Shares Redeemed | 132,411 |
Payables for Distributions | 22,446 |
Payables to Vanguard | 3,484 |
Total Liabilities | 220,082 |
Net Assets | 98,437,150 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 98,436,100 |
Total Distributable Earnings (Loss) | 1,050 |
Net Assets | 98,437,150 |
Admiral Shares—Net Assets | |
Applicable to 98,422,817,292 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 98,437,150 |
Net Asset Value Per Share—Admiral Shares | $1.00 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 1,711,616 |
Total Income | 1,711,616 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 158 |
Management and Administrative—Admiral Shares | 42,933 |
Marketing and Distribution—Admiral Shares | 2,489 |
Custodian Fees | 90 |
Shareholders’ Reports—Admiral Shares | 313 |
Trustees’ Fees and Expenses | 20 |
Other Expenses | 6 |
Total Expenses | 46,009 |
Expenses Paid Indirectly | (21) |
Net Expenses | 45,988 |
Net Investment Income | 1,665,628 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,072 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,666,700 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,665,628 | 422,281 | |
Realized Net Gain (Loss) | 1,072 | 62 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,666,700 | 422,343 | |
Distributions | |||
Total Distributions | (1,665,796) | (430,686) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 29,731,632 | 32,229,346 | |
Issued in Lieu of Cash Distributions | 1,545,365 | 400,798 | |
Redeemed | (21,390,481) | (38,955,502) | |
Net Increase (Decrease) from Capital Share Transactions | 9,886,516 | (6,325,358) | |
Total Increase (Decrease) | 9,887,420 | (6,333,701) | |
Net Assets | |||
Beginning of Period | 88,549,730 | 94,883,431 | |
End of Period | 98,437,150 | 88,549,730 |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | 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 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0180 | .0047 | .0002 | .012 | .024 | .016 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0001) | .0002 | — | — | — | — |
Total from Investment Operations | .0179 | .0049 | .0002 | .012 | .024 | .016 |
Distributions | ||||||
Dividends from Net Investment Income | (.0179) | (.0048) | (.0002) | (.012) | (.024) | (.016) |
Distributions from Realized Capital Gains | (.0000)2 | (.0001) | — | — | — | — |
Total Distributions | (.0179) | (.0049) | (.0002) | (.012) | (.024) | (.016) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 | 1.80% | 0.49% | 0.02% | 1.21% | 2.42% | 1.66% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $98,437 | $88,550 | $94,883 | $25,704 | $18,923 | $16,118 |
Ratio of Total Expenses to Average Net Assets4 | 0.10% | 0.08% | 0.07% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 3.62% | 0.47% | 0.02% | 1.20% | 2.39% | 1.65% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $0.0001 per share. |
3 | 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. |
4 | 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 six months ended February 28, 2023, and 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. | 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 six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $21,000 (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. 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. |
E. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 98,270,899 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
F. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 68.0% |
8 - 30 Days | 6.9 |
31 - 60 Days | 6.9 |
61 - 90 Days | 5.8 |
91 - 180 Days | 8.9 |
Over 180 Days | 3.5 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (43.2%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 4.560% | 3/1/23 | 249,000 | 248,997 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.010% | 4.560% | 3/1/23 | 104,000 | 103,999 |
2 | Federal Farm Credit Banks Funding Corp., EFFR - 0.020% | 4.550% | 3/1/23 | 70,000 | 69,999 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 4.590% | 3/1/23 | 123,000 | 122,993 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 4.600% | 3/1/23 | 154,000 | 153,989 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.013% | 4.563% | 3/1/23 | 140,600 | 140,598 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 4.575% | 3/1/23 | 204,000 | 203,999 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.035% | 4.585% | 3/1/23 | 550,000 | 550,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 4.590% | 3/1/23 | 170,000 | 169,995 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 4.590% | 3/1/23 | 84,000 | 84,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 4.595% | 3/1/23 | 127,000 | 127,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 4.600% | 3/1/23 | 199,000 | 199,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 4.605% | 3/1/23 | 350,000 | 350,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 4.605% | 3/1/23 | 146,000 | 146,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.120% | 4.670% | 3/1/23 | 134,032 | 134,032 |
2 | Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.035% | 4.843% | 3/1/23 | 40,000 | 40,000 |
Federal Home Loan Banks | 4.250% | 4/14/23 | 1,236,875 | 1,236,865 | |
Federal Home Loan Banks | 4.600% | 7/24/23 | 138,880 | 138,872 | |
Federal Home Loan Banks | 4.625% | 11/6/23 | 698,500 | 698,500 | |
Federal Home Loan Banks | 5.020% | 12/14/23 | 1,047,500 | 1,047,469 | |
Federal Home Loan Banks Discount Notes | 4.473%–4.491% | 3/8/23 | 2,706,652 | 2,704,316 | |
Federal Home Loan Banks Discount Notes | 4.481%–4.481% | 3/10/23 | 464,000 | 463,482 | |
Federal Home Loan Banks Discount Notes | 4.472%–4.472% | 3/13/23 | 174,230 | 173,977 | |
Federal Home Loan Banks Discount Notes | 4.498%–4.514% | 3/15/23 | 1,118,000 | 1,116,050 | |
Federal Home Loan Banks Discount Notes | 4.472%–4.484% | 3/17/23 | 2,910,059 | 2,904,358 | |
Federal Home Loan Banks Discount Notes | 4.534%–4.534% | 3/22/23 | 798,000 | 795,896 | |
Federal Home Loan Banks Discount Notes | 4.549%–4.549% | 3/24/23 | 310,412 | 309,522 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 4.549%–4.549% | 3/29/23 | 351,300 | 350,075 | |
Federal Home Loan Banks Discount Notes | 4.685%–4.741% | 4/10/23 | 173,000 | 172,112 | |
Federal Home Loan Banks Discount Notes | 4.242%–4.677% | 4/12/23 | 1,422,955 | 1,415,385 | |
Federal Home Loan Banks Discount Notes | 4.647%–4.708% | 4/14/23 | 1,443,000 | 1,434,921 | |
Federal Home Loan Banks Discount Notes | 4.626%–4.626% | 4/18/23 | 348,446 | 346,351 | |
Federal Home Loan Banks Discount Notes | 4.667%–4.739% | 4/19/23 | 1,646,188 | 1,635,872 | |
Federal Home Loan Banks Discount Notes | 4.682%–4.682% | 4/21/23 | 1,148,000 | 1,140,495 | |
Federal Home Loan Banks Discount Notes | 4.702%–4.702% | 4/26/23 | 1,952,000 | 1,937,929 | |
Federal Home Loan Banks Discount Notes | 4.706%–4.712% | 4/28/23 | 1,201,769 | 1,192,829 | |
Federal Home Loan Banks Discount Notes | 4.768%–4.768% | 5/2/23 | 1,256,782 | 1,246,728 | |
Federal Home Loan Banks Discount Notes | 4.734%–4.786% | 5/3/23 | 941,848 | 934,159 | |
Federal Home Loan Banks Discount Notes | 4.738%–4.738% | 5/15/23 | 348,382 | 345,065 | |
Federal Home Loan Banks Discount Notes | 4.711%–4.739% | 5/16/23 | 1,811,517 | 1,794,040 | |
Federal Home Loan Banks Discount Notes | 4.806%–4.806% | 5/19/23 | 796,557 | 788,280 | |
Federal Home Loan Banks Discount Notes | 4.774%–4.774% | 5/22/23 | 348,529 | 344,877 | |
Federal Home Loan Banks Discount Notes | 4.877%–4.877% | 5/31/23 | 125,000 | 123,482 | |
Federal Home Loan Banks Discount Notes | 4.805%–4.805% | 6/5/23 | 522,500 | 515,993 | |
Federal Home Loan Banks Discount Notes | 4.942%–4.985% | 6/20/23 | 1,046,572 | 1,030,954 | |
Federal Home Loan Banks Discount Notes | 4.844%–4.844% | 6/28/23 | 299,700 | 295,054 | |
Federal Home Loan Banks Discount Notes | 4.851%–4.851% | 7/5/23 | 278,000 | 273,430 | |
Federal Home Loan Banks Discount Notes | 4.971%–4.971% | 8/9/23 | 248,000 | 242,665 | |
Federal Home Loan Banks Discount Notes | 5.077%–5.077% | 2/8/24 | 698,347 | 666,450 | |
Federal Home Loan Banks Discount Notes | 5.064%–5.064% | 2/9/24 | 2,095,308 | 1,999,325 | |
2 | Federal Home Loan Banks, SOFR + 0.010% | 4.560% | 3/23/23 | 1,399,400 | 1,399,400 |
2 | Federal Home Loan Banks, SOFR + 0.015% | 4.565% | 3/1/23 | 42,485 | 42,484 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 3/1/23 | 106,000 | 105,996 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 3/24/23 | 629,200 | 629,200 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 699,700 | 699,700 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 678,700 | 678,700 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/21/23 | 80,500 | 80,500 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 4.570% | 4/25/23 | 702,300 | 702,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 3/1/23 | 611,670 | 611,670 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 3/1/23 | 565,000 | 565,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 4/14/23 | 349,300 | 349,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 4/24/23 | 1,153,300 | 1,153,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/1/23 | 594,200 | 594,200 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/4/23 | 2,106,700 | 2,106,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/22/23 | 699,700 | 699,700 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/26/23 | 1,054,000 | 1,054,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 5/26/23 | 314,200 | 314,200 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 6/2/23 | 1,053,400 | 1,053,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 4.580% | 6/5/23 | 1,053,800 | 1,053,800 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 4.585% | 3/1/23 | 148,000 | 147,997 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 3/1/23 | 1,130,600 | 1,130,600 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 3/1/23 | 707,000 | 707,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 5/22/23 | 1,048,600 | 1,048,600 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/1/23 | 699,100 | 699,100 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/2/23 | 911,000 | 911,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/5/23 | 1,195,700 | 1,195,700 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 4.590% | 6/28/23 | 1,053,400 | 1,053,400 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 706,545 | 706,545 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 706,545 | 706,545 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 706,250 | 706,250 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 671,300 | 671,300 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 4.595% | 3/1/23 | 529,915 | 529,915 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 706,700 | 706,700 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 706,600 | 706,600 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 353,900 | 353,900 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 3/1/23 | 353,000 | 353,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 6/27/23 | 524,400 | 524,400 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 6/30/23 | 1,400,000 | 1,400,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/3/23 | 1,048,700 | 1,048,700 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/5/23 | 703,000 | 703,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/6/23 | 704,400 | 704,400 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/10/23 | 703,500 | 703,500 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/10/23 | 352,000 | 352,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/13/23 | 263,900 | 263,900 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/17/23 | 3,625,700 | 3,625,700 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 4.600% | 7/24/23 | 731,390 | 731,380 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 708,000 | 708,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 707,000 | 707,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 707,000 | 707,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 707,000 | 707,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 706,700 | 706,700 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 706,600 | 706,600 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 700,500 | 700,500 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 699,700 | 699,700 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 699,000 | 699,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 530,000 | 530,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 496,100 | 496,100 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 392,900 | 392,900 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 4.605% | 3/1/23 | 353,400 | 353,400 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 3/1/23 | 699,000 | 699,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 8/25/23 | 699,700 | 699,700 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 8/28/23 | 699,700 | 699,700 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 4.610% | 9/5/23 | 1,053,800 | 1,053,800 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 707,000 | 707,000 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 706,670 | 706,670 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 699,000 | 699,000 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 4.615% | 3/1/23 | 353,200 | 353,200 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 4.620% | 3/1/23 | 353,200 | 353,200 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 4.620% | 10/3/23 | 1,047,000 | 1,047,000 |
2 | Federal Home Loan Banks, SOFR + 0.075% | 4.625% | 3/1/23 | 699,000 | 699,000 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 4.640% | 12/27/23 | 702,900 | 702,900 |
United States Treasury Bill | 4.407%–4.407% | 3/2/23 | 927 | 927 | |
United States Treasury Bill | 3.902%–4.218% | 3/14/23 | 4,052,000 | 4,045,467 | |
United States Treasury Bill | 4.125%–4.528% | 4/13/23 | 448,063 | 445,906 | |
United States Treasury Bill | 4.359%–4.359% | 4/18/23 | 586,064 | 582,431 | |
United States Treasury Bill | 1.922%–4.576% | 4/20/23 | 600,000 | 598,442 | |
United States Treasury Bill | 3.141%–4.728% | 6/15/23 | 1,050,000 | 1,040,663 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 4.733% | 3/1/23 | 344,553 | 344,251 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 4.842% | 3/1/23 | 2,441,000 | 2,441,006 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 4.845% | 3/1/23 | 2,200,000 | 2,199,999 |
Total U.S. Government and Agency Obligations (Cost $99,178,223) | 99,178,223 | ||||
Repurchase Agreements (56.6%) | |||||
Bank of Montreal (Dated 2/1/23, Repurchase Value $176,107,000, collateralized by U.S. Treasury Note/Bond 0.125%–2.875%, 7/31/23–2/15/32, with a value of $178,500,000) | 4.555% | 3/23/23 | 175,000 | 175,000 | |
Bank of Nova Scotia (Dated 2/28/23, Repurchase Value $964,121,000, collateralized by U.S. Treasury Note/Bond 1.875%–4.625%, 2/28/25–5/31/27, with a value of $983,280,000) | 4.530% | 3/1/23 | 964,000 | 964,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Canadian Imperial Bank of Commerce (Dated 2/2/23, Repurchase Value $931,741,000, collateralized by U.S. Treasury Bill 0.000%, 5/16/23, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/23–2/15/43, and U.S. Treasury Note/Bond 0.375%-4.500%, 10/31/23–8/15/51, with a value of $944,520,000) | 4.555% | 3/23/23 | 926,000 | 926,000 | |
Federal Reserve Bank of New York (Dated 2/28/23, Repurchase Value $118,303,950,000, collateralized by U.S. Treasury Note/Bond 1.125%–4.625%, 2/15/39–5/15/52, with a value of $118,303,950,000) | 4.550% | 3/1/23 | 118,289,000 | 118,289,000 | |
Fixed Income Clearing Corp. (Dated 2/28/23, Repurchase Value $2,959,374,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.625%, 7/15/23–7/15/31, and U.S. Treasury Note/Bond 0.250%–3.000%, 8/15/23–11/15/40, with a value of $3,018,180,000) | 4.550% | 3/1/23 | 2,959,000 | 2,959,000 | |
MUFG Securities America Inc. (Dated 2/28/23, Repurchase Value $466,059,000, collateralized by U.S. Treasury Bill 0.000%, 3/2/23–6/6/23, with a value of $475,320,000) | 4.540% | 3/1/23 | 466,000 | 466,000 | |
Nomura International plc (Dated 2/28/23, Repurchase Value $466,059,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 7/15/24–1/15/29, with a value of $475,320,000) | 4.550% | 3/1/23 | 466,000 | 466,000 | |
RBC Capital Markets LLC (Dated 2/28/23, Repurchase Value $68,009,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 7/15/24–2/15/46, and U.S. Treasury Note/Bond 1.250%–6.125%, 9/30/24–11/15/52, with a value of $69,360,000) | 4.550% | 3/1/23 | 68,000 | 68,000 | |
Royal Bank of Canada (Dated 2/27/23, Repurchase Value $1,403,431,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 10/15/24–2/15/49, and U.S. Treasury Note/Bond 0.125%–5.250%, 5/31/23–2/15/53, with a value of $1,419,193,000) | 4.730% | 5/4/23 | 1,391,366 | 1,391,366 | |
Royal Bank of Canada (Dated 2/28/23, Repurchase Value $527,073,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.000%, 6/30/25–2/28/30, with a value of $533,057,000) | 4.735% | 5/4/23 | 522,605 | 522,605 | |
Standard Chartered Bank (Dated 2/28/23, Repurchase Value $1,462,185,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.375%, 7/15/23–2/15/44, and U.S. Treasury Note/Bond 0.125%–4.500%, 8/15/23–5/15/52, with a value of $1,491,428,000) | 4.550% | 3/1/23 | 1,462,000 | 1,462,000 | |
Sumitomo Mitsui Banking Corp. (Dated 2/28/23, Repurchase Value $1,960,248,000, collateralized by U.S. Treasury Note/Bond 0.500%–4.375%, 3/15/23–5/15/41, with a value of $1,999,200,000) | 4.550% | 3/1/23 | 1,960,000 | 1,960,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
TD Securities (USA) LLC (Dated 2/28/23, Repurchase Value $118,015,000, collateralized by U.S. Treasury Note/Bond 1.125%–4.125%, 6/30/23–11/15/31, with a value of $120,360,000) | 4.560% | 3/1/23 | 118,000 | 118,000 | |
Total Repurchase Agreements (Cost $129,766,971) | 129,766,971 | ||||
Total Investments (99.8%) (Cost $228,945,194) | 228,945,194 | ||||
Other Assets and Liabilities—Net (0.2%) | 359,126 | ||||
Net Assets (100%) | 229,304,320 | ||||
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. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $99,178,223) | 99,178,223 |
Repurchase Agreements (Cost $129,766,971) | 129,766,971 |
Total Investments in Securities | 228,945,194 |
Investment in Vanguard | 8,065 |
Cash | 873 |
Receivables for Accrued Income | 393,767 |
Receivables for Capital Shares Issued | 353,847 |
Other Assets | 10,500 |
Total Assets | 229,712,246 |
Liabilities | |
Payables for Investment Securities Purchased | 123,482 |
Payables for Capital Shares Redeemed | 234,688 |
Payables for Distributions | 40,807 |
Payables to Vanguard | 8,949 |
Total Liabilities | 407,926 |
Net Assets | 229,304,320 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 229,303,949 |
Total Distributable Earnings (Loss) | 371 |
Net Assets | 229,304,320 |
Net Assets | |
Applicable to 229,303,438,586 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 229,304,320 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 4,037,115 |
Total Income | 4,037,115 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 373 |
Management and Administrative | 110,090 |
Marketing and Distribution | 8,037 |
Custodian Fees | 192 |
Shareholders’ Reports | 1,499 |
Trustees’ Fees and Expenses | 49 |
Other Expenses | 6 |
Total Expenses | 120,246 |
Expenses Paid Indirectly | (38) |
Net Expenses | 120,208 |
Net Investment Income | 3,916,907 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,657 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,918,564 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 3,916,907 | 1,032,737 | |
Realized Net Gain (Loss) | 1,657 | 350 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,918,564 | 1,033,087 | |
Distributions | |||
Total Distributions | (3,916,983) | (1,032,754) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 54,940,802 | 103,314,268 | |
Issued in Lieu of Cash Distributions | 3,704,777 | 979,612 | |
Redeemed | (45,884,135) | (82,138,377) | |
Net Increase (Decrease) from Capital Share Transactions | 12,761,444 | 22,155,503 | |
Total Increase (Decrease) | 12,763,025 | 22,155,836 | |
Net Assets | |||
Beginning of Period | 216,541,295 | 194,385,459 | |
End of Period | 229,304,320 | 216,541,295 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | 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 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0178 | .0050 | .0002 | .010 | .022 | .014 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0001) | (.0002) | — | — | — | — |
Total from Investment Operations | .0177 | .0048 | .0002 | .010 | .022 | .014 |
Distributions | ||||||
Dividends from Net Investment Income | (.0177) | (.0048) | (.0002) | (.010) | (.022) | (.014) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0177) | (.0048) | (.0002) | (.010) | (.022) | (.014) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 1.78% | 0.48% | 0.02% | 1.03% | 2.26% | 1.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $229,304 | $216,541 | $194,385 | $197,525 | $132,966 | $100,287 |
Ratio of Total Expenses to Average Net Assets3 | 0.11% | 0.09% | 0.09% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 3.58% | 0.50% | 0.02% | 0.93% | 2.24% | 1.43% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2022 and 0.11% for 2021. For the six months ended February 28, 2023, and 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. | 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 six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $38,000 (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. 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. |
E. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 228,945,194 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
F. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 31.3% |
8 - 30 Days | 22.7 |
31 - 60 Days | 31.5 |
61 - 90 Days | 11.1 |
91 - 180 Days | 3.4 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (75.4%) | |||||
United States Treasury Bill | 4.408% | 3/2/23 | 939 | 939 | |
United States Treasury Bill | 3.876% | 3/7/23 | 1,200,000 | 1,199,102 | |
United States Treasury Bill | 4.143% | 3/9/23 | 2,800,000 | 2,797,184 | |
United States Treasury Bill | 3.902%–4.218% | 3/14/23 | 5,009,000 | 5,000,864 | |
United States Treasury Bill | 4.237% | 3/21/23 | 1,500,000 | 1,496,233 | |
United States Treasury Bill | 4.223% | 4/4/23 | 2,800,000 | 2,788,087 | |
United States Treasury Bill | 4.312% | 4/11/23 | 2,700,000 | 2,685,855 | |
United States Treasury Bill | 4.126%–4.528% | 4/13/23 | 2,117,612 | 2,106,153 | |
United States Treasury Bill | 4.360% | 4/18/23 | 2,500,000 | 2,484,500 | |
United States Treasury Bill | 1.922%–4.577% | 4/20/23 | 575,000 | 571,639 | |
United States Treasury Bill | 4.335%–4.369% | 4/25/23 | 2,300,000 | 2,283,733 | |
United States Treasury Bill | 4.459% | 5/2/23 | 600,000 | 595,298 | |
United States Treasury Bill | 4.479% | 5/9/23 | 500,000 | 495,620 | |
United States Treasury Bill | 4.558% | 5/11/23 | 1,500,000 | 1,486,421 | |
United States Treasury Bill | 4.649% | 5/18/23 | 2,000,000 | 1,979,720 | |
United States Treasury Bill | 3.141%–4.729% | 6/15/23 | 550,000 | 542,976 | |
United States Treasury Bill | 4.723% | 6/29/23 | 850,000 | 836,967 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 4.733% | 3/1/23 | 1,138,700 | 1,137,728 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034% | 4.842% | 3/1/23 | 550,000 | 550,001 |
Total U.S. Government and Agency Obligations (Cost $31,039,020) | 31,039,020 | ||||
Repurchase Agreement (24.2%) | |||||
Federal Reserve Bank of New York (Dated 2/28/23, Repurchase Value $9,956,258,000, collateralized by U.S. Treasury Note/Bond 0.125%–1.125%, 7/31/23–2/15/31, with a value of $9,956,258,000) (Cost $9,955,000) | 4.550% | 3/1/23 | 9,955,000 | 9,955,000 | |
Total Investments (99.6%) (Cost $40,994,020) | 40,994,020 | ||||
Other Assets and Liabilities—Net (0.4%) | 184,462 | ||||
Net Assets (100%) | 41,178,482 | ||||
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $31,039,020) | 31,039,020 |
Repurchase Agreements (Cost $9,955,000) | 9,955,000 |
Total Investments in Securities | 40,994,020 |
Investment in Vanguard | 1,391 |
Cash | 14 |
Receivables for Accrued Income | 7,602 |
Receivables for Capital Shares Issued | 260,278 |
Other Assets | 3,298 |
Total Assets | 41,266,603 |
Liabilities | |
Payables for Capital Shares Redeemed | 74,823 |
Payables for Distributions | 11,999 |
Payables to Vanguard | 1,299 |
Total Liabilities | 88,121 |
Net Assets | 41,178,482 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 41,178,610 |
Total Distributable Earnings (Loss) | (128) |
Net Assets | 41,178,482 |
Net Assets | |
Applicable to 41,175,570,096 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 41,178,482 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 662,242 |
Total Income | 662,242 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 63 |
Management and Administrative | 14,732 |
Marketing and Distribution | 1,345 |
Custodian Fees | 79 |
Shareholders’ Reports | 94 |
Trustees’ Fees and Expenses | 8 |
Other Expenses | 6 |
Total Expenses | 16,327 |
Net Investment Income | 645,915 |
Realized Net Gain (Loss) on Investment Securities Sold | 645 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 646,560 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 645,915 | 155,618 | |
Realized Net Gain (Loss) | 645 | (657) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 646,560 | 154,961 | |
Distributions | |||
Total Distributions | (645,923) | (155,642) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 22,236,361 | 21,601,161 | |
Issued in Lieu of Cash Distributions | 590,177 | 144,000 | |
Redeemed | (16,003,504) | (23,133,582) | |
Net Increase (Decrease) from Capital Share Transactions | 6,823,034 | (1,388,421) | |
Total Increase (Decrease) | 6,823,671 | (1,389,102) | |
Net Assets | |||
Beginning of Period | 34,354,811 | 35,743,913 | |
End of Period | 41,178,482 | 34,354,811 |
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | 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 | $1.00 |
Investment Operations | ||||||
Net Investment Income1 | .0177 | .0045 | .0003 | .010 | .022 | .014 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0002) | — | — | — | — | — |
Total from Investment Operations | .0175 | .0045 | .0003 | .010 | .022 | .014 |
Distributions | ||||||
Dividends from Net Investment Income | (.0175) | (.0045) | (.0003) | (.010) | (.022) | (.014) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0175) | (.0045) | (.0003) | (.010) | (.022) | (.014) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 1.76% | 0.45% | 0.03% | 1.05% | 2.25% | 1.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $41,178 | $34,355 | $35,744 | $38,547 | $28,428 | $18,911 |
Ratio of Total Expenses to Average Net Assets3 | 0.09% | 0.08% | 0.08% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 3.56% | 0.45% | 0.03% | 0.95% | 2.23% | 1.43% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2022 and 0.09% for 2021. For the six months ended February 28, 2023, and 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. | As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 40,994,020 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Mid-Cap 400 Index Fund |
Vanguard S&P Mid-Cap 400 Value Index Fund |
Vanguard S&P Mid-Cap 400 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,078.30 | $0.52 |
Institutional Shares | 1,000.00 | 1,078.60 | 0.41 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,103.90 | $0.78 |
Institutional Shares | 1,000.00 | 1,104.30 | 0.42 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,052.60 | $0.76 |
Institutional Shares | 1,000.00 | 1,053.00 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 2.1% |
Consumer Discretionary | 14.4 |
Consumer Staples | 3.8 |
Energy | 3.5 |
Financials | 15.3 |
Health Care | 9.2 |
Industrials | 20.6 |
Information Technology | 12.6 |
Materials | 6.8 |
Real Estate | 8.0 |
Utilities | 3.7 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.3%) | ||||||
Communication Services (2.1%) | ||||||
* | Iridium Communications Inc. | 169,364 | 10,394 | |||
Nexstar Media Group Inc. Class A | 50,829 | 9,449 | ||||
New York Times Co. Class A | 221,929 | 8,544 | ||||
Frontier Communications Parent Inc. | 300,546 | 8,223 | ||||
TEGNA Inc. | 300,741 | 5,233 | ||||
* | Ziff Davis Inc. | 63,613 | 5,024 | |||
World Wrestling Entertainment Inc. Class A | 58,365 | 4,903 | ||||
Cable One Inc. | 6,501 | 4,490 | ||||
* | TripAdvisor Inc. | 141,251 | 3,047 | |||
John Wiley & Sons Inc. Class A | 57,791 | 2,571 | ||||
61,878 | ||||||
Consumer Discretionary (14.3%) | ||||||
* | Five Below Inc. | 74,821 | 15,286 | |||
* | Deckers Outdoor Corp. | 35,677 | 14,854 | |||
Service Corp. International | 207,315 | 14,000 | ||||
Williams-Sonoma Inc. | 89,923 | 11,233 | ||||
Lear Corp. | 79,672 | 11,126 | ||||
Churchill Downs Inc. | 44,367 | 10,904 | ||||
* | Crocs Inc. | 83,230 | 10,130 | |||
Tempur Sealy International Inc. | 230,474 | 9,850 | ||||
Dick's Sporting Goods Inc. | 74,950 | 9,641 | ||||
Lithia Motors Inc. Class A | 36,852 | 9,404 | ||||
Wyndham Hotels & Resorts Inc. | 119,051 | 9,169 | ||||
Texas Roadhouse Inc. Class A | 90,195 | 9,158 | ||||
Gentex Corp. | 316,188 | 9,027 | ||||
* | TopBuild Corp. | 43,097 | 8,946 | |||
* | Capri Holdings Ltd. | 173,616 | 8,606 | |||
* | Mattel Inc. | 477,709 | 8,594 | |||
Brunswick Corp. | 97,736 | 8,544 | ||||
Harley-Davidson Inc. | 179,317 | 8,527 |
Shares | Market Value• ($000) | |||||
Toll Brothers Inc. | 142,059 | 8,515 | ||||
Polaris Inc. | 73,438 | 8,354 | ||||
* | Skechers USA Inc. Class A | 180,921 | 8,053 | |||
* | Light & Wonder Inc. | 126,271 | 7,906 | |||
Marriott Vacations Worldwide Corp. | 51,654 | 7,903 | ||||
* | RH | 25,904 | 7,746 | |||
H&R Block Inc. | 209,553 | 7,712 | ||||
Macy's Inc. | 365,286 | 7,474 | ||||
Murphy USA Inc. | 28,013 | 7,146 | ||||
PVH Corp. | 87,923 | 7,055 | ||||
Boyd Gaming Corp. | 106,922 | 6,964 | ||||
Wingstop Inc. | 40,326 | 6,870 | ||||
* | Fox Factory Holding Corp. | 56,974 | 6,694 | |||
Thor Industries Inc. | 72,362 | 6,584 | ||||
*,1 | GameStop Corp. Class A | 340,712 | 6,552 | |||
* | Penn Entertainment Inc. | 209,099 | 6,384 | |||
* | Visteon Corp. | 37,936 | 6,337 | |||
* | AutoNation Inc. | 46,104 | 6,294 | |||
Leggett & Platt Inc. | 178,701 | 6,163 | ||||
* | Adient plc | 127,813 | 5,460 | |||
* | Taylor Morrison Home Corp. Class A | 146,047 | 5,233 | |||
Wendy's Co. | 229,702 | 5,044 | ||||
* | Grand Canyon Education Inc. | 41,342 | 4,684 | |||
Foot Locker Inc. | 106,905 | 4,674 | ||||
Travel + Leisure Co. | 109,568 | 4,596 | ||||
* | YETI Holdings Inc. | 116,265 | 4,532 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 78,465 | 4,515 | |||
Choice Hotels International Inc. | 37,356 | 4,421 | ||||
Kohl's Corp. | 157,231 | 4,409 | ||||
* | Victoria's Secret & Co. | 109,519 | 4,341 | |||
* | Goodyear Tire & Rubber Co. | 381,319 | 4,332 | |||
* | Topgolf Callaway Brands Corp. | 186,884 | 4,332 | |||
Columbia Sportswear Co. | 47,736 | 4,163 | ||||
KB Home | 111,966 | 3,949 | ||||
Carter's Inc. | 51,449 | 3,879 |
Shares | Market Value• ($000) | |||||
Gap Inc. | 284,357 | 3,699 | ||||
* | Helen of Troy Ltd. | 32,339 | 3,644 | |||
Papa John's International Inc. | 43,335 | 3,638 | ||||
Cracker Barrel Old Country Store Inc. | 29,882 | 3,256 | ||||
Graham Holdings Co. Class B | 5,175 | 3,243 | ||||
Nordstrom Inc. | 150,161 | 2,925 | ||||
Dana Inc. | 172,013 | 2,725 | ||||
Hanesbrands Inc. | 469,974 | 2,669 | ||||
* | Under Armour Inc. Class A | 254,599 | 2,528 | |||
* | Under Armour Inc. Class C | 264,770 | 2,330 | |||
426,926 | ||||||
Consumer Staples (3.8%) | ||||||
* | Darling Ingredients Inc. | 216,042 | 13,669 | |||
* | BJ's Wholesale Club Holdings Inc. | 182,065 | 13,072 | |||
* | Performance Food Group Co. | 209,840 | 11,875 | |||
Casey's General Stores Inc. | 50,216 | 10,443 | ||||
Ingredion Inc. | 88,374 | 8,784 | ||||
Flowers Foods Inc. | 259,014 | 7,221 | ||||
* | Post Holdings Inc. | 73,308 | 6,595 | |||
* | BellRing Brands Inc. | 182,574 | 5,638 | |||
* | Coty Inc. Class A | 492,775 | 5,568 | |||
Lancaster Colony Corp. | 26,744 | 5,134 | ||||
* | Celsius Holdings Inc. | 54,459 | 4,945 | |||
* | Sprouts Farmers Market Inc. | 142,690 | 4,322 | |||
* | Boston Beer Co. Inc. Class A | 12,707 | 4,115 | |||
Coca-Cola Consolidated Inc. | 6,204 | 3,455 | ||||
Energizer Holdings Inc. | 89,339 | 3,237 | ||||
* | Grocery Outlet Holding Corp. | 119,335 | 3,228 | |||
* | Pilgrim's Pride Corp. | 60,084 | 1,405 | |||
112,706 | ||||||
Energy (3.5%) | ||||||
NOV Inc. | 529,485 | 11,585 | ||||
* | Antero Resources Corp. | 372,200 | 9,752 | |||
HF Sinclair Corp. | 181,277 | 9,013 | ||||
Range Resources Corp. | 325,712 | 8,775 | ||||
PDC Energy Inc. | 124,205 | 8,335 | ||||
ChampionX Corp. | 268,727 | 8,215 | ||||
Matador Resources Co. | 151,312 | 8,139 | ||||
* | Southwestern Energy Co. | 1,487,560 | 7,884 | |||
Murphy Oil Corp. | 196,973 | 7,686 | ||||
PBF Energy Inc. Class A | 154,059 | 6,734 | ||||
DT Midstream Inc. | 130,408 | 6,547 | ||||
Antero Midstream Corp. | 451,459 | 4,758 |
Shares | Market Value• ($000) | |||||
* | CNX Resources Corp. | 243,283 | 3,734 | |||
Equitrans Midstream Corp. | 583,435 | 3,518 | ||||
104,675 | ||||||
Financials (15.2%) | ||||||
First Horizon Corp. | 723,255 | 17,915 | ||||
East West Bancorp Inc. | 189,990 | 14,479 | ||||
Annaly Capital Management Inc. | 630,656 | 13,042 | ||||
Reinsurance Group of America Inc. | 90,087 | 13,015 | ||||
RenaissanceRe Holdings Ltd. | 58,907 | 12,659 | ||||
American Financial Group Inc. | 94,106 | 12,621 | ||||
Webster Financial Corp. | 234,553 | 12,459 | ||||
Interactive Brokers Group Inc. Class A | 138,662 | 11,940 | ||||
Cullen/Frost Bankers Inc. | 86,667 | 11,424 | ||||
Unum Group | 252,059 | 11,229 | ||||
Commerce Bancshares Inc. | 153,707 | 10,168 | ||||
Old Republic International Corp. | 381,458 | 10,059 | ||||
Voya Financial Inc. | 130,987 | 9,757 | ||||
Stifel Financial Corp. | 143,265 | 9,574 | ||||
Primerica Inc. | 49,737 | 9,547 | ||||
Jefferies Financial Group Inc. | 246,937 | 9,332 | ||||
Kinsale Capital Group Inc. | 29,047 | 9,257 | ||||
Prosperity Bancshares Inc. | 123,067 | 9,044 | ||||
SEI Investments Co. | 138,120 | 8,322 | ||||
Selective Insurance Group Inc. | 81,244 | 8,249 | ||||
Synovus Financial Corp. | 196,075 | 8,198 | ||||
New York Community Bancorp Inc. | 917,009 | 8,143 | ||||
Affiliated Managers Group Inc. | 50,775 | 8,094 | ||||
First American Financial Corp. | 139,575 | 7,925 | ||||
Pinnacle Financial Partners Inc. | 103,061 | 7,636 | ||||
Wintrust Financial Corp. | 81,903 | 7,546 | ||||
RLI Corp. | 54,437 | 7,507 | ||||
United Bankshares Inc. | 181,502 | 7,400 | ||||
Glacier Bancorp Inc. | 149,308 | 7,074 | ||||
Old National Bancorp | 394,772 | 6,976 | ||||
Bank OZK | 149,214 | 6,868 | ||||
FNB Corp. | 472,798 | 6,747 | ||||
Hanover Insurance Group Inc. | 47,935 | 6,686 | ||||
Valley National Bancorp | 566,522 | 6,560 | ||||
Cadence Bank | 245,923 | 6,532 | ||||
First Financial Bankshares Inc. | 174,970 | 6,418 | ||||
Evercore Inc. Class A | 48,164 | 6,318 | ||||
Essent Group Ltd. | 145,182 | 6,236 |
Shares | Market Value• ($000) | |||||
Home BancShares Inc. | 255,687 | 6,162 | ||||
Hancock Whitney Corp. | 115,507 | 5,674 | ||||
MGIC Investment Corp. | 400,386 | 5,509 | ||||
* | Brighthouse Financial Inc. | 93,195 | 5,389 | |||
UMB Financial Corp. | 58,614 | 5,314 | ||||
Kemper Corp. | 86,119 | 5,305 | ||||
Umpqua Holdings Corp. | 292,584 | 5,167 | ||||
Janus Henderson Group plc | 178,658 | 4,906 | ||||
SLM Corp. | 337,279 | 4,850 | ||||
Associated Banc-Corp | 202,687 | 4,692 | ||||
Federated Hermes Inc. Class B | 113,956 | 4,484 | ||||
FirstCash Holdings Inc. | 50,572 | 4,463 | ||||
* | Texas Capital Bancshares Inc. | 67,267 | 4,455 | |||
PacWest Bancorp | 158,835 | 4,408 | ||||
Cathay General Bancorp | 100,322 | 4,306 | ||||
Bank of Hawaii Corp. | 53,939 | 4,038 | ||||
CNO Financial Group Inc. | 154,226 | 3,951 | ||||
Fulton Financial Corp. | 225,788 | 3,884 | ||||
International Bancshares Corp. | 71,171 | 3,454 | ||||
Columbia Banking System Inc. | 105,702 | 3,143 | ||||
Washington Federal Inc. | 88,065 | 3,088 | ||||
Navient Corp. | 142,408 | 2,570 | ||||
452,168 | ||||||
Health Care (9.2%) | ||||||
* | United Therapeutics Corp. | 61,434 | 15,115 | |||
* | Neurocrine Biosciences Inc. | 129,582 | 13,360 | |||
* | Penumbra Inc. | 51,194 | 13,310 | |||
* | Repligen Corp. | 69,604 | 12,137 | |||
* | Jazz Pharmaceuticals plc | 84,874 | 11,916 | |||
* | Masimo Corp. | 65,187 | 10,907 | |||
Chemed Corp. | 20,043 | 10,454 | ||||
Bruker Corp. | 134,814 | 9,291 | ||||
* | Shockwave Medical Inc. | 48,717 | 9,268 | |||
* | Acadia Healthcare Co. Inc. | 122,630 | 8,892 | |||
* | Halozyme Therapeutics Inc. | 182,257 | 8,747 | |||
* | Tenet Healthcare Corp. | 145,747 | 8,531 | |||
* | Envista Holdings Corp. | 219,774 | 8,497 | |||
Encompass Health Corp. | 134,505 | 7,602 | ||||
* | Exelixis Inc. | 434,796 | 7,426 | |||
* | HealthEquity Inc. | 113,943 | 7,426 | |||
* | Lantheus Holdings Inc. | 92,781 | 6,862 | |||
Perrigo Co. plc | 181,486 | 6,840 | ||||
* | Medpace Holdings Inc. | 33,954 | 6,583 | |||
* | Option Care Health Inc. | 208,415 | 6,392 | |||
* | QuidelOrtho Corp. | 72,110 | 6,269 | |||
* | Globus Medical Inc. Class A | 104,347 | 6,088 | |||
* | Syneos Health Inc. | 138,711 | 5,579 |
Shares | Market Value• ($000) | |||||
* | Integra LifeSciences Holdings Corp. | 97,941 | 5,448 | |||
* | Haemonetics Corp. | 68,214 | 5,305 | |||
* | Neogen Corp. | 291,313 | 5,153 | |||
* | ICU Medical Inc. | 27,154 | 4,634 | |||
* | Arrowhead Pharmaceuticals Inc. | 142,688 | 4,609 | |||
* | Azenta Inc. | 101,126 | 4,438 | |||
* | Amedisys Inc. | 43,800 | 4,027 | |||
* | Progyny Inc. | 101,420 | 3,809 | |||
* | Enovis Corp. | 64,234 | 3,701 | |||
* | Inari Medical Inc. | 65,092 | 3,662 | |||
* | STAAR Surgical Co. | 64,981 | 3,599 | |||
* | LivaNova plc | 72,151 | 3,414 | |||
* | Omnicell Inc. | 60,191 | 3,277 | |||
* | Tandem Diabetes Care Inc. | 86,675 | 3,108 | |||
Patterson Cos. Inc. | 116,781 | 3,097 | ||||
* | R1 RCM Inc. | 185,236 | 2,630 | |||
* | Sotera Health Co. | 133,102 | 2,222 | |||
273,625 | ||||||
Industrials (20.4%) | ||||||
* | Axon Enterprise Inc. | 91,131 | 18,255 | |||
Hubbell Inc. Class B | 72,398 | 18,211 | ||||
Carlisle Cos. Inc. | 69,708 | 18,000 | ||||
* | Builders FirstSource Inc. | 198,383 | 16,819 | |||
AECOM | 188,240 | 16,256 | ||||
Graco Inc. | 227,170 | 15,797 | ||||
Toro Co. | 140,458 | 15,512 | ||||
Regal Rexnord Corp. | 89,174 | 14,057 | ||||
Watsco Inc. | 44,836 | 13,662 | ||||
Lincoln Electric Holdings Inc. | 77,825 | 13,069 | ||||
Owens Corning | 125,973 | 12,319 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 216,607 | 12,312 | ||||
AGCO Corp. | 83,461 | 11,752 | ||||
* | Middleby Corp. | 72,637 | 11,294 | |||
Lennox International Inc. | 43,469 | 11,077 | ||||
EMCOR Group Inc. | 64,235 | 10,741 | ||||
Fortune Brands Innovations Inc. | 172,866 | 10,709 | ||||
Donaldson Co. Inc. | 165,067 | 10,441 | ||||
nVent Electric plc | 224,582 | 10,295 | ||||
KBR Inc. | 184,932 | 10,192 | ||||
ITT Inc. | 111,484 | 10,133 | ||||
Tetra Tech Inc. | 71,417 | 9,776 | ||||
* | Saia Inc. | 35,671 | 9,662 | |||
* | CACI International Inc. Class A | 31,672 | 9,280 | |||
Valmont Industries Inc. | 28,757 | 9,126 | ||||
Curtiss-Wright Corp. | 51,636 | 9,026 | ||||
* | Clean Harbors Inc. | 67,785 | 8,952 | |||
Landstar System Inc. | 48,423 | 8,754 | ||||
MDU Resources Group Inc. | 274,106 | 8,730 | ||||
* | FTI Consulting Inc. | 46,400 | 8,524 |
Shares | Market Value• ($000) | |||||
Acuity Brands Inc. | 43,353 | 8,409 | ||||
Hexcel Corp. | 113,463 | 8,277 | ||||
Woodward Inc. | 81,101 | 8,029 | ||||
* | GXO Logistics Inc. | 159,926 | 7,928 | |||
Science Applications International Corp. | 74,306 | 7,924 | ||||
Oshkosh Corp. | 88,153 | 7,862 | ||||
* | MasTec Inc. | 79,481 | 7,767 | |||
Crane Holdings Co. | 64,329 | 7,705 | ||||
* | Univar Solutions Inc. | 219,940 | 7,643 | |||
Timken Co. | 89,234 | 7,625 | ||||
* | Trex Co. Inc. | 147,925 | 7,563 | |||
* | Chart Industries Inc. | 56,341 | 7,522 | |||
* | IAA Inc. | 180,305 | 7,376 | |||
* | Avis Budget Group Inc. | 33,537 | 7,367 | |||
UFP Industries Inc. | 83,010 | 7,100 | ||||
* | Fluor Corp. | 191,531 | 7,023 | |||
* | Sunrun Inc. | 287,266 | 6,906 | |||
MSA Safety Inc. | 49,669 | 6,673 | ||||
Ryder System Inc. | 67,734 | 6,632 | ||||
Watts Water Technologies Inc. Class A | 36,780 | 6,445 | ||||
Simpson Manufacturing Co. Inc. | 57,422 | 6,194 | ||||
Flowserve Corp. | 176,183 | 6,112 | ||||
* | ASGN Inc. | 67,268 | 5,973 | |||
Insperity Inc. | 48,064 | 5,964 | ||||
* | Stericycle Inc. | 124,263 | 5,925 | |||
* | Kirby Corp. | 80,738 | 5,856 | |||
ManpowerGroup Inc. | 68,150 | 5,785 | ||||
Terex Corp. | 90,997 | 5,388 | ||||
MSC Industrial Direct Co. Inc. Class A | 63,647 | 5,379 | ||||
* | XPO Inc. | 155,240 | 5,179 | |||
GATX Corp. | 47,451 | 5,176 | ||||
EnerSys | 55,057 | 4,993 | ||||
* | Mercury Systems Inc. | 78,164 | 4,091 | |||
Brink's Co. | 62,615 | 4,086 | ||||
Esab Corp. | 69,649 | 4,085 | ||||
Werner Enterprises Inc. | 79,233 | 3,680 | ||||
* | JetBlue Airways Corp. | 436,630 | 3,624 | |||
* | Dycom Industries Inc. | 39,709 | 3,344 | |||
Kennametal Inc. | 108,613 | 3,077 | ||||
* | SunPower Corp. | 114,357 | 1,718 | |||
* | Vicor Corp. | 29,932 | 1,407 | |||
609,545 | ||||||
Information Technology (12.5%) | ||||||
* | Fair Isaac Corp. | 33,666 | 22,805 | |||
* | Lattice Semiconductor Corp. | 184,752 | 15,696 | |||
Jabil Inc. | 181,485 | 15,069 | ||||
* | Dynatrace Inc. | 291,007 | 12,376 | |||
* | Manhattan Associates Inc. | 84,108 | 12,090 | |||
* | WEX Inc. | 58,761 | 11,330 | |||
Cognex Corp. | 233,105 | 11,054 | ||||
Genpact Ltd. | 227,244 | 10,846 |
Shares | Market Value• ($000) | |||||
* | Paylocity Holding Corp. | 55,533 | 10,696 | |||
* | Arrow Electronics Inc. | 82,908 | 9,782 | |||
* | Ciena Corp. | 199,694 | 9,629 | |||
* | Wolfspeed Inc. | 125,435 | 9,280 | |||
National Instruments Corp. | 176,002 | 8,890 | ||||
Littelfuse Inc. | 33,370 | 8,634 | ||||
* | Aspen Technology Inc. | 39,204 | 8,312 | |||
* | Coherent Corp. | 186,955 | 8,063 | |||
* | Silicon Laboratories Inc. | 44,864 | 8,010 | |||
Universal Display Corp. | 58,582 | 7,958 | ||||
Concentrix Corp. | 57,111 | 7,815 | ||||
* | Cirrus Logic Inc. | 74,221 | 7,626 | |||
* | Novanta Inc. | 48,109 | 7,549 | |||
MKS Instruments Inc. | 77,099 | 7,473 | ||||
* | ExlService Holdings Inc. | 44,569 | 7,332 | |||
* | Euronet Worldwide Inc. | 63,508 | 6,913 | |||
Western Union Co. | 520,507 | 6,746 | ||||
Maximus Inc. | 81,617 | 6,699 | ||||
Power Integrations Inc. | 77,102 | 6,342 | ||||
* | Synaptics Inc. | 53,751 | 6,322 | |||
* | Super Micro Computer Inc. | 62,066 | 6,081 | |||
* | Teradata Corp. | 137,220 | 5,593 | |||
Vontier Corp. | 212,984 | 5,574 | ||||
Avnet Inc. | 123,364 | 5,516 | ||||
* | Qualys Inc. | 46,597 | 5,505 | |||
TD SYNNEX Corp. | 56,673 | 5,470 | ||||
* | IPG Photonics Corp. | 43,339 | 5,341 | |||
* | Lumentum Holdings Inc. | 91,936 | 4,947 | |||
Belden Inc. | 57,702 | 4,869 | ||||
* | NCR Corp. | 185,212 | 4,728 | |||
* | MACOM Technology Solutions Holdings Inc. | 68,880 | 4,721 | |||
* | Envestnet Inc. | 74,574 | 4,662 | |||
* | Kyndryl Holdings Inc. | 275,137 | 4,317 | |||
* | Calix Inc. | 76,748 | 3,926 | |||
* | ACI Worldwide Inc. | 151,474 | 3,916 | |||
* | Allegro MicroSystems Inc. | 87,682 | 3,830 | |||
Vishay Intertechnology Inc. | 174,670 | 3,708 | ||||
* | CommVault Systems Inc. | 60,024 | 3,534 | |||
Amkor Technology Inc. | 135,393 | 3,488 | ||||
* | Blackbaud Inc. | 60,120 | 3,348 | |||
* | Viasat Inc. | 101,896 | 3,236 | |||
* | SiTime Corp. | 21,651 | 2,688 | |||
Xerox Holdings Corp. | 150,760 | 2,486 | ||||
372,821 | ||||||
Materials (6.7%) | ||||||
Reliance Steel & Aluminum Co. | 79,116 | 19,608 | ||||
RPM International Inc. | 174,018 | 15,423 | ||||
* | Cleveland-Cliffs Inc. | 694,630 | 14,817 | |||
Alcoa Corp. | 238,520 | 11,673 | ||||
Royal Gold Inc. | 88,495 | 10,512 | ||||
AptarGroup Inc. | 88,004 | 10,272 | ||||
Olin Corp. | 171,692 | 9,915 | ||||
United States Steel Corp. | 315,811 | 9,673 |
Shares | Market Value• ($000) | |||||
Valvoline Inc. | 238,609 | 8,399 | ||||
Commercial Metals Co. | 158,192 | 8,187 | ||||
Sonoco Products Co. | 131,450 | 7,764 | ||||
Eagle Materials Inc. | 49,670 | 6,970 | ||||
Chemours Co. | 203,435 | 6,953 | ||||
Ashland Inc. | 67,136 | 6,833 | ||||
Cabot Corp. | 75,826 | 6,031 | ||||
Silgan Holdings Inc. | 112,777 | 6,022 | ||||
Louisiana-Pacific Corp. | 96,642 | 5,655 | ||||
Westlake Corp. | 46,419 | 5,530 | ||||
Avient Corp. | 115,248 | 5,028 | ||||
Scotts Miracle-Gro Co. | 54,525 | 4,498 | ||||
* | MP Materials Corp. | 124,468 | 4,356 | |||
Sensient Technologies Corp. | 56,671 | 4,273 | ||||
* | Ingevity Corp. | 47,356 | 3,910 | |||
NewMarket Corp. | 9,182 | 3,154 | ||||
Worthington Industries Inc. | 40,719 | 2,461 | ||||
Greif Inc. Class A | 34,458 | 2,448 | ||||
200,365 | ||||||
Real Estate (8.0%) | ||||||
Rexford Industrial Realty Inc. | 247,338 | 14,954 | ||||
CubeSmart | 302,713 | 14,224 | ||||
Life Storage Inc. | 114,573 | 13,808 | ||||
Lamar Advertising Co. Class A | 117,625 | 12,299 | ||||
* | Jones Lang LaSalle Inc. | 63,979 | 11,162 | |||
National Retail Properties Inc. | 240,896 | 10,917 | ||||
Healthcare Realty Trust Inc. Class A | 512,988 | 10,003 | ||||
EastGroup Properties Inc. | 58,736 | 9,590 | ||||
First Industrial Realty Trust Inc. | 178,106 | 9,395 | ||||
Brixmor Property Group Inc. | 404,268 | 9,153 | ||||
Omega Healthcare Investors Inc. | 315,662 | 8,457 | ||||
Agree Realty Corp. | 119,378 | 8,450 | ||||
1 | Medical Properties Trust Inc. | 806,082 | 8,303 | |||
Spirit Realty Capital Inc. | 188,252 | 7,752 | ||||
Apartment Income REIT Corp. Class A | 202,091 | 7,639 | ||||
Rayonier Inc. | 197,375 | 6,628 | ||||
Kite Realty Group Trust | 295,346 | 6,415 | ||||
Independence Realty Trust Inc. | 301,764 | 5,459 | ||||
Kilroy Realty Corp. | 141,800 | 5,108 | ||||
PotlatchDeltic Corp. | 108,892 | 5,026 | ||||
Cousins Properties Inc. | 204,163 | 5,000 | ||||
National Storage Affiliates Trust | 113,925 | 4,819 | ||||
Physicians Realty Trust | 307,698 | 4,563 | ||||
Vornado Realty Trust | 217,166 | 4,296 |
Shares | Market Value• ($000) | |||||
Park Hotels & Resorts Inc. | 303,111 | 4,168 | ||||
EPR Properties | 101,138 | 4,130 | ||||
Corporate Office Properties Trust | 151,553 | 3,854 | ||||
Highwoods Properties Inc. | 141,839 | 3,759 | ||||
Sabra Health Care REIT Inc. | 311,371 | 3,708 | ||||
Macerich Co. | 289,566 | 3,460 | ||||
Douglas Emmett Inc. | 237,004 | 3,349 | ||||
SL Green Realty Corp. | 86,717 | 2,953 | ||||
Pebblebrook Hotel Trust | 177,115 | 2,527 | ||||
JBG SMITH Properties | 133,164 | 2,297 | ||||
237,625 | ||||||
Utilities (3.6%) | ||||||
Essential Utilities Inc. | 321,724 | 13,763 | ||||
UGI Corp. | 282,237 | 10,508 | ||||
OGE Energy Corp. | 269,857 | 9,639 | ||||
National Fuel Gas Co. | 123,306 | 7,063 | ||||
IDACORP Inc. | 68,157 | 7,048 | ||||
New Jersey Resources Corp. | 129,706 | 6,619 | ||||
Hawaiian Electric Industries Inc. | 147,566 | 5,969 | ||||
ONE Gas Inc. | 72,980 | 5,850 | ||||
Portland General Electric Co. | 120,337 | 5,752 | ||||
PNM Resources Inc. | 115,676 | 5,668 | ||||
Ormat Technologies Inc. | 65,733 | 5,556 | ||||
Black Hills Corp. | 87,718 | 5,387 | ||||
Southwest Gas Holdings Inc. | 83,170 | 5,241 | ||||
Spire Inc. | 70,766 | 4,982 | ||||
ALLETE Inc. | 77,060 | 4,715 | ||||
NorthWestern Corp. | 77,885 | 4,500 | ||||
108,260 | ||||||
Total Common Stocks (Cost $2,563,207) | 2,960,594 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 4.640% (Cost $30,155) | 301,603 | 30,157 | |||
Total Investments (100.3%) (Cost $2,593,362) | 2,990,751 | |||||
Other Assets and Liabilities—Net (-0.3%) | (7,612) | |||||
Net Assets (100%) | 2,983,139 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,920,000. |
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 $8,304,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2023 | 74 | 19,264 | 464 |
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 | 3,234 | (4.569) | — | (138) |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $2,563,207) | 2,960,594 |
Affiliated Issuers (Cost $30,155) | 30,157 |
Total Investments in Securities | 2,990,751 |
Investment in Vanguard | 107 |
Cash | 18 |
Cash Collateral Pledged—Futures Contracts | 1,110 |
Receivables for Accrued Income | 2,378 |
Receivables for Capital Shares Issued | 927 |
Total Assets | 2,995,291 |
Liabilities | |
Payables for Investment Securities Purchased | 3,213 |
Collateral for Securities on Loan | 8,304 |
Payables for Capital Shares Redeemed | 357 |
Payables to Vanguard | 98 |
Variation Margin Payable—Futures Contracts | 42 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 138 |
Total Liabilities | 12,152 |
Net Assets | 2,983,139 |
1 Includes $7,920,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 2,777,977 |
Total Distributable Earnings (Loss) | 205,162 |
Net Assets | 2,983,139 |
ETF Shares—Net Assets2 | |
Applicable to 17,902,316 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,571,044 |
Net Asset Value Per Share—ETF Shares | $87.76 |
Institutional Shares—Net Assets | |
Applicable to 4,033,773 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,412,095 |
Net Asset Value Per Share—Institutional Shares | $350.07 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 18,522 |
Interest1 | 250 |
Securities Lending—Net | 515 |
Total Income | 19,287 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 33 |
Management and Administrative—ETF Shares | 617 |
Management and Administrative—Institutional Shares | 478 |
Marketing and Distribution—ETF Shares | 42 |
Marketing and Distribution—Institutional Shares | 19 |
Custodian Fees | 21 |
Shareholders’ Reports—ETF Shares | 29 |
Shareholders’ Reports—Institutional Shares | 8 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 1,254 |
Expenses Paid Indirectly | (1) |
Net Expenses | 1,253 |
Net Investment Income | 18,034 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 60,431 |
Futures Contracts | (125) |
Swap Contracts | (326) |
Realized Net Gain (Loss) | 59,980 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 134,441 |
Futures Contracts | 330 |
Swap Contracts | (138) |
Change in Unrealized Appreciation (Depreciation) | 134,633 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 212,647 |
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 $234,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $91,194,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 18,034 | 40,787 | |
Realized Net Gain (Loss) | 59,980 | 142,855 | |
Change in Unrealized Appreciation (Depreciation) | 134,633 | (502,988) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 212,647 | (319,346) | |
Distributions | |||
ETF Shares | (14,691) | (19,007) | |
Institutional Shares | (13,525) | (18,307) | |
Total Distributions | (28,216) | (37,314) | |
Capital Share Transactions | |||
ETF Shares | 65,869 | 119,621 | |
Institutional Shares | (2,610) | 100,708 | |
Net Increase (Decrease) from Capital Share Transactions | 63,259 | 220,329 | |
Total Increase (Decrease) | 247,690 | (136,331) | |
Net Assets | |||
Beginning of Period | 2,735,449 | 2,871,780 | |
End of Period | 2,983,139 | 2,735,449 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $82.25 | $93.08 | $65.16 | $63.59 | $69.01 | $58.37 |
Investment Operations | ||||||
Net Investment Income2 | .535 | 1.247 | .998 | .980 | .940 | .889 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.811 | (10.928) | 27.898 | 1.607 | (5.437) | 10.605 |
Total from Investment Operations | 6.346 | (9.681) | 28.896 | 2.587 | (4.497) | 11.494 |
Distributions | ||||||
Dividends from Net Investment Income | (.836) | (1.149) | (.976) | (1.017) | (.923) | (.854) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.836) | (1.149) | (.976) | (1.017) | (.923) | (.854) |
Net Asset Value, End of Period | $87.76 | $82.25 | $93.08 | $65.16 | $63.59 | $69.01 |
Total Return | 7.83% | -10.47% | 44.65% | 4.11% | -6.50% | 19.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,571 | $1,411 | $1,476 | $890 | $919 | $973 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.41% | 1.21% | 1.57% | 1.47% | 1.38% |
Portfolio Turnover Rate4 | 5% | 11% | 16% | 17% | 10% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
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 0.10%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $328.11 | $371.30 | $259.90 | $253.60 | $275.26 | $232.82 |
Investment Operations | ||||||
Net Investment Income1 | 2.160 | 5.037 | 4.038 | 3.959 | 3.786 | 3.711 |
Net Realized and Unrealized Gain (Loss) on Investments | 23.165 | (43.574) | 111.307 | 6.384 | (21.653) | 42.301 |
Total from Investment Operations | 25.325 | (38.537) | 115.345 | 10.343 | (17.867) | 46.012 |
Distributions | ||||||
Dividends from Net Investment Income | (3.365) | (4.653) | (3.945) | (4.043) | (3.793) | (3.572) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.365) | (4.653) | (3.945) | (4.043) | (3.793) | (3.572) |
Net Asset Value, End of Period | $350.07 | $328.11 | $371.30 | $259.90 | $253.60 | $275.26 |
Total Return | 7.86% | -10.43% | 44.69% | 4.14% | -6.49% | 19.92% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,412 | $1,325 | $1,396 | $1,164 | $1,202 | $1,420 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 1.43% | 1.24% | 1.59% | 1.49% | 1.45% |
Portfolio Turnover Rate3 | 5% | 11% | 16% | 17% | 10% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,960,594 | — | — | 2,960,594 |
Temporary Cash Investments | 30,157 | — | — | 30,157 |
Total | 2,990,751 | — | — | 2,990,751 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 464 | — | — | 464 |
Liabilities | ||||
Swap Contracts | — | 138 | — | 138 |
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. |
Amount ($000) | |
Tax Cost | 2,599,579 |
Gross Unrealized Appreciation | 629,044 |
Gross Unrealized Depreciation | (237,546) |
Net Unrealized Appreciation (Depreciation) | 391,498 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 319,140 | 3,900 | 520,086 | 5,850 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (253,271) | (3,150) | (400,465) | (4,550) | |
Net Increase (Decrease)—ETF Shares | 65,869 | 750 | 119,621 | 1,300 | |
Institutional Shares | |||||
Issued | 90,087 | 271 | 239,857 | 682 | |
Issued in Lieu of Cash Distributions | 12,709 | 41 | 17,388 | 51 | |
Redeemed | (105,406) | (315) | (156,537) | (456) | |
Net Increase (Decrease)—Institutional Shares | (2,610) | (3) | 100,708 | 277 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 2.2% |
Consumer Discretionary | 16.7 |
Consumer Staples | 3.6 |
Energy | 0.5 |
Financials | 19.3 |
Health Care | 7.2 |
Industrials | 18.1 |
Information Technology | 12.2 |
Materials | 5.3 |
Real Estate | 11.2 |
Utilities | 3.7 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (2.2%) | ||||||
Frontier Communications Parent Inc. | 193,091 | 5,283 | ||||
TEGNA Inc. | 193,234 | 3,362 | ||||
* | Ziff Davis Inc. | 40,871 | 3,228 | |||
Cable One Inc. | 4,176 | 2,884 | ||||
New York Times Co. Class A | 71,293 | 2,745 | ||||
* | TripAdvisor Inc. | 90,749 | 1,958 | |||
John Wiley & Sons Inc. Class A | 37,185 | 1,654 | ||||
21,114 | ||||||
Consumer Discretionary (16.6%) | ||||||
Lear Corp. | 51,190 | 7,149 | ||||
Lithia Motors Inc. Class A | 23,676 | 6,042 | ||||
* | Capri Holdings Ltd. | 111,544 | 5,529 | |||
* | Mattel Inc. | 306,943 | 5,522 | |||
Toll Brothers Inc. | 91,278 | 5,471 | ||||
* | Skechers USA Inc. Class A | 116,238 | 5,174 | |||
Marriott Vacations Worldwide Corp. | 33,185 | 5,077 | ||||
* | RH | 16,644 | 4,977 | |||
Macy's Inc. | 234,687 | 4,802 | ||||
PVH Corp. | 56,486 | 4,532 | ||||
Thor Industries Inc. | 46,493 | 4,230 | ||||
*,1 | GameStop Corp. Class A | 218,909 | 4,210 | |||
* | Penn Entertainment Inc. | 134,336 | 4,101 | |||
Leggett & Platt Inc. | 114,819 | 3,960 | ||||
Williams-Sonoma Inc. | 30,042 | 3,753 | ||||
* | Adient plc | 82,113 | 3,508 | |||
* | Taylor Morrison Home Corp. Class A | 93,871 | 3,363 | |||
Gentex Corp. | 109,710 | 3,132 | ||||
Dick's Sporting Goods Inc. | 24,077 | 3,097 | ||||
* | Five Below Inc. | 14,912 | 3,047 | |||
Foot Locker Inc. | 68,683 | 3,003 | ||||
Travel + Leisure Co. | 70,447 | 2,955 | ||||
Kohl's Corp. | 101,064 | 2,834 | ||||
Wyndham Hotels & Resorts Inc. | 36,711 | 2,827 | ||||
* | Victoria's Secret & Co. | 70,363 | 2,789 |
Shares | Market Value• ($000) | |||||
* | Goodyear Tire & Rubber Co. | 244,973 | 2,783 | |||
* | Topgolf Callaway Brands Corp. | 120,057 | 2,783 | |||
* | Light & Wonder Inc. | 43,849 | 2,745 | |||
* | TopBuild Corp. | 13,014 | 2,702 | |||
Columbia Sportswear Co. | 30,663 | 2,674 | ||||
Polaris Inc. | 22,649 | 2,576 | ||||
KB Home | 71,929 | 2,537 | ||||
Carter's Inc. | 33,051 | 2,492 | ||||
Gap Inc. | 182,686 | 2,377 | ||||
* | Helen of Troy Ltd. | 20,777 | 2,341 | |||
Brunswick Corp. | 25,746 | 2,251 | ||||
* | AutoNation Inc. | 15,996 | 2,184 | |||
Cracker Barrel Old Country Store Inc. | 19,197 | 2,092 | ||||
Graham Holdings Co. Class B | 3,324 | 2,083 | ||||
Harley-Davidson Inc. | 42,628 | 2,027 | ||||
Nordstrom Inc. | 96,467 | 1,879 | ||||
Boyd Gaming Corp. | 28,159 | 1,834 | ||||
Dana Inc. | 110,488 | 1,750 | ||||
Hanesbrands Inc. | 302,217 | 1,717 | ||||
* | Under Armour Inc. Class A | 164,487 | 1,633 | |||
* | Under Armour Inc. Class C | 169,353 | 1,490 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 25,707 | 1,479 | |||
* | YETI Holdings Inc. | 33,611 | 1,310 | |||
Papa John's International Inc. | 15,311 | 1,285 | ||||
Choice Hotels International Inc. | 9,839 | 1,165 | ||||
157,273 | ||||||
Consumer Staples (3.6%) | ||||||
Ingredion Inc. | 56,773 | 5,643 | ||||
* | Post Holdings Inc. | 47,095 | 4,237 | |||
* | Performance Food Group Co. | 74,149 | 4,196 | |||
* | BJ's Wholesale Club Holdings Inc. | 50,310 | 3,612 | |||
* | Coty Inc. Class A | 316,584 | 3,578 | |||
Coca-Cola Consolidated Inc. | 3,994 | 2,224 | ||||
* | BellRing Brands Inc. | 69,209 | 2,137 | |||
Energizer Holdings Inc. | 57,385 | 2,079 |
Shares | Market Value• ($000) | |||||
* | Grocery Outlet Holding Corp. | 76,664 | 2,074 | |||
Flowers Foods Inc. | 61,560 | 1,716 | ||||
* | Sprouts Farmers Market Inc. | 42,165 | 1,277 | |||
* | Pilgrim's Pride Corp. | 38,906 | 910 | |||
* | Boston Beer Co. Inc. Class A | 2,530 | 819 | |||
34,502 | ||||||
Energy (0.5%) | ||||||
HF Sinclair Corp. | 65,227 | 3,243 | ||||
Equitrans Midstream Corp. | 202,390 | 1,220 | ||||
4,463 | ||||||
Financials (19.3%) | ||||||
Reinsurance Group of America Inc. | 57,885 | 8,363 | ||||
Webster Financial Corp. | 150,705 | 8,005 | ||||
Unum Group | 161,960 | 7,215 | ||||
Old Republic International Corp. | 245,099 | 6,463 | ||||
Voya Financial Inc. | 84,158 | 6,269 | ||||
Stifel Financial Corp. | 92,045 | 6,151 | ||||
Prosperity Bancshares Inc. | 79,082 | 5,812 | ||||
Synovus Financial Corp. | 125,975 | 5,267 | ||||
New York Community Bancorp Inc. | 589,192 | 5,232 | ||||
First American Financial Corp. | 89,673 | 5,092 | ||||
Pinnacle Financial Partners Inc. | 66,215 | 4,906 | ||||
Wintrust Financial Corp. | 52,627 | 4,849 | ||||
East West Bancorp Inc. | 59,813 | 4,558 | ||||
Old National Bancorp | 253,669 | 4,482 | ||||
American Financial Group Inc. | 33,256 | 4,460 | ||||
Bank OZK | 95,869 | 4,413 | ||||
FNB Corp. | 303,808 | 4,335 | ||||
Valley National Bancorp | 363,984 | 4,215 | ||||
Cadence Bank | 158,010 | 4,197 | ||||
Essent Group Ltd. | 93,282 | 4,007 | ||||
Home BancShares Inc. | 164,284 | 3,959 | ||||
First Horizon Corp. | 158,024 | 3,914 | ||||
RenaissanceRe Holdings Ltd. | 16,662 | 3,581 | ||||
MGIC Investment Corp. | 257,246 | 3,540 | ||||
* | Brighthouse Financial Inc. | 59,868 | 3,462 | |||
UMB Financial Corp. | 37,656 | 3,414 | ||||
Kemper Corp. | 55,328 | 3,408 | ||||
Interactive Brokers Group Inc. Class A | 39,201 | 3,376 | ||||
Janus Henderson Group plc | 114,828 | 3,153 | ||||
Associated Banc-Corp | 130,220 | 3,015 | ||||
* | Texas Capital Bancshares Inc. | 43,254 | 2,865 | |||
PacWest Bancorp | 102,023 | 2,831 | ||||
Columbia Banking System Inc. | 86,527 | 2,572 | ||||
CNO Financial Group Inc. | 99,073 | 2,538 | ||||
United Bankshares Inc. | 60,644 | 2,472 | ||||
Cullen/Frost Bankers Inc. | 18,377 | 2,422 |
Shares | Market Value• ($000) | |||||
Commerce Bancshares Inc. | 31,605 | 2,091 | ||||
Glacier Bancorp Inc. | 44,127 | 2,091 | ||||
Evercore Inc. Class A | 15,471 | 2,030 | ||||
First Financial Bankshares Inc. | 52,835 | 1,938 | ||||
Primerica Inc. | 9,905 | 1,901 | ||||
Hancock Whitney Corp. | 37,848 | 1,859 | ||||
Affiliated Managers Group Inc. | 11,091 | 1,768 | ||||
Hanover Insurance Group Inc. | 12,627 | 1,761 | ||||
Navient Corp. | 91,608 | 1,654 | ||||
Cathay General Bancorp | 31,574 | 1,355 | ||||
Fulton Financial Corp. | 73,977 | 1,272 | ||||
Bank of Hawaii Corp. | 16,979 | 1,271 | ||||
Washington Federal Inc. | 26,591 | 933 | ||||
Federated Hermes Inc. Class B | 22,693 | 893 | ||||
International Bancshares Corp. | 17,830 | 865 | ||||
182,495 | ||||||
Health Care (7.2%) | ||||||
* | Tenet Healthcare Corp. | 93,642 | 5,481 | |||
* | Envista Holdings Corp. | 141,209 | 5,459 | |||
Perrigo Co. plc | 116,610 | 4,395 | ||||
* | Syneos Health Inc. | 89,122 | 3,584 | |||
* | Integra LifeSciences Holdings Corp. | 62,940 | 3,501 | |||
* | Neogen Corp. | 187,163 | 3,311 | |||
* | Penumbra Inc. | 12,174 | 3,165 | |||
* | ICU Medical Inc. | 17,446 | 2,977 | |||
* | Azenta Inc. | 64,973 | 2,852 | |||
Encompass Health Corp. | 46,667 | 2,638 | ||||
* | Masimo Corp. | 15,496 | 2,593 | |||
* | Amedisys Inc. | 28,140 | 2,587 | |||
Bruker Corp. | 35,514 | 2,448 | ||||
* | Acadia Healthcare Co. Inc. | 33,092 | 2,399 | |||
* | Enovis Corp. | 41,267 | 2,378 | |||
* | LivaNova plc | 46,354 | 2,193 | |||
Chemed Corp. | 4,121 | 2,149 | ||||
* | Omnicell Inc. | 38,669 | 2,105 | |||
Patterson Cos. Inc. | 75,023 | 1,990 | ||||
* | QuidelOrtho Corp. | 20,849 | 1,813 | |||
* | R1 RCM Inc. | 119,038 | 1,690 | |||
* | Progyny Inc. | 41,048 | 1,542 | |||
* | Arrowhead Pharmaceuticals Inc. | 47,668 | 1,540 | |||
* | Sotera Health Co. | 85,514 | 1,427 | |||
* | Tandem Diabetes Care Inc. | 22,274 | 799 | |||
* | STAAR Surgical Co. | 13,359 | 740 | |||
67,756 | ||||||
Industrials (18.0%) | ||||||
Regal Rexnord Corp. | 57,292 | 9,031 | ||||
Fortune Brands Innovations Inc. | 111,067 | 6,881 | ||||
MDU Resources Group Inc. | 176,120 | 5,609 |
Shares | Market Value• ($000) | |||||
Hexcel Corp. | 72,896 | 5,318 | ||||
Woodward Inc. | 52,106 | 5,158 | ||||
* | GXO Logistics Inc. | 102,749 | 5,093 | |||
Oshkosh Corp. | 56,635 | 5,051 | ||||
* | MasTec Inc. | 51,065 | 4,990 | |||
* | Univar Solutions Inc. | 141,313 | 4,911 | |||
AECOM | 55,635 | 4,805 | ||||
* | Fluor Corp. | 123,058 | 4,513 | |||
* | Sunrun Inc. | 184,564 | 4,437 | |||
Ryder System Inc. | 43,517 | 4,261 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 69,587 | 3,955 | ||||
Flowserve Corp. | 113,189 | 3,927 | ||||
* | ASGN Inc. | 43,216 | 3,838 | |||
* | Stericycle Inc. | 79,836 | 3,807 | |||
* | Middleby Corp. | 24,269 | 3,774 | |||
* | Kirby Corp. | 51,882 | 3,763 | |||
ManpowerGroup Inc. | 43,788 | 3,717 | ||||
Owens Corning | 37,231 | 3,641 | ||||
AGCO Corp. | 25,739 | 3,624 | ||||
Graco Inc. | 51,077 | 3,552 | ||||
ITT Inc. | 38,676 | 3,515 | ||||
Terex Corp. | 58,506 | 3,464 | ||||
* | XPO Inc. | 99,747 | 3,328 | |||
EnerSys | 35,361 | 3,207 | ||||
Lennox International Inc. | 10,613 | 2,704 | ||||
Tetra Tech Inc. | 19,745 | 2,703 | ||||
Acuity Brands Inc. | 13,926 | 2,701 | ||||
* | Saia Inc. | 9,854 | 2,669 | |||
* | Chart Industries Inc. | 19,910 | 2,658 | |||
Esab Corp. | 44,745 | 2,624 | ||||
Timken Co. | 29,236 | 2,498 | ||||
Crane Holdings Co. | 20,664 | 2,475 | ||||
Donaldson Co. Inc. | 38,176 | 2,415 | ||||
Werner Enterprises Inc. | 50,904 | 2,364 | ||||
* | JetBlue Airways Corp. | 280,473 | 2,328 | |||
* | Trex Co. Inc. | 44,668 | 2,284 | |||
* | CACI International Inc. Class A | 7,326 | 2,147 | |||
Watts Water Technologies Inc. Class A | 11,341 | 1,987 | ||||
Kennametal Inc. | 69,776 | 1,977 | ||||
MSA Safety Inc. | 14,359 | 1,929 | ||||
MSC Industrial Direct Co. Inc. Class A | 20,447 | 1,728 | ||||
* | IAA Inc. | 41,704 | 1,706 | |||
Science Applications International Corp. | 15,755 | 1,680 | ||||
GATX Corp. | 14,632 | 1,596 | ||||
Brink's Co. | 21,319 | 1,391 | ||||
* | Mercury Systems Inc. | 21,090 | 1,104 | |||
* | Dycom Industries Inc. | 8,163 | 687 | |||
* | Vicor Corp. | 11,003 | 517 | |||
* | SunPower Corp. | 32,522 | 488 | |||
170,530 |
Shares | Market Value• ($000) | |||||
Information Technology (12.2%) | ||||||
Jabil Inc. | 116,606 | 9,681 | ||||
* | Arrow Electronics Inc. | 53,270 | 6,285 | |||
* | Ciena Corp. | 128,302 | 6,187 | |||
* | Aspen Technology Inc. | 25,154 | 5,333 | |||
* | Coherent Corp. | 120,115 | 5,181 | |||
MKS Instruments Inc. | 49,536 | 4,801 | ||||
* | Wolfspeed Inc. | 59,168 | 4,377 | |||
Western Union Co. | 334,452 | 4,334 | ||||
Maximus Inc. | 52,441 | 4,304 | ||||
* | Synaptics Inc. | 34,531 | 4,061 | |||
Vontier Corp. | 136,912 | 3,583 | ||||
Avnet Inc. | 79,259 | 3,544 | ||||
TD SYNNEX Corp. | 36,410 | 3,514 | ||||
* | IPG Photonics Corp. | 27,845 | 3,432 | |||
Cognex Corp. | 71,888 | 3,409 | ||||
* | Manhattan Associates Inc. | 22,696 | 3,263 | |||
* | Lumentum Holdings Inc. | 59,066 | 3,178 | |||
* | NCR Corp. | 118,997 | 3,038 | |||
Genpact Ltd. | 62,781 | 2,996 | ||||
* | Kyndryl Holdings Inc. | 176,774 | 2,774 | |||
* | ACI Worldwide Inc. | 97,324 | 2,516 | |||
* | Silicon Laboratories Inc. | 13,548 | 2,419 | |||
National Instruments Corp. | 47,493 | 2,399 | ||||
Vishay Intertechnology Inc. | 112,208 | 2,382 | ||||
* | Euronet Worldwide Inc. | 20,809 | 2,265 | |||
Littelfuse Inc. | 8,147 | 2,108 | ||||
* | Viasat Inc. | 65,463 | 2,079 | |||
* | Teradata Corp. | 47,609 | 1,941 | |||
Universal Display Corp. | 13,926 | 1,892 | ||||
Xerox Holdings Corp. | 97,027 | 1,600 | ||||
* | Envestnet Inc. | 24,437 | 1,528 | |||
* | Allegro MicroSystems Inc. | 34,362 | 1,501 | |||
* | Blackbaud Inc. | 20,858 | 1,162 | |||
* | SiTime Corp. | 6,405 | 795 | |||
* | Super Micro Computer Inc. | 7,975 | 781 | |||
* | CommVault Systems Inc. | 12,727 | 749 | |||
115,392 | ||||||
Materials (5.3%) | ||||||
* | Cleveland-Cliffs Inc. | 446,291 | 9,519 | |||
Alcoa Corp. | 153,240 | 7,500 | ||||
United States Steel Corp. | 202,894 | 6,215 | ||||
AptarGroup Inc. | 29,965 | 3,497 | ||||
Avient Corp. | 74,088 | 3,232 | ||||
Valvoline Inc. | 82,780 | 2,914 | ||||
Scotts Miracle-Gro Co. | 35,028 | 2,890 | ||||
Sensient Technologies Corp. | 36,448 | 2,748 | ||||
Sonoco Products Co. | 41,379 | 2,444 | ||||
Commercial Metals Co. | 44,714 | 2,314 | ||||
Chemours Co. | 56,196 | 1,921 | ||||
Greif Inc. Class A | 22,174 | 1,575 | ||||
Ashland Inc. | 14,232 | 1,449 | ||||
NewMarket Corp. | 2,713 | 932 | ||||
Worthington Industries Inc. | 13,392 | 809 | ||||
49,959 |
Shares | Market Value• ($000) | |||||
Real Estate (11.2%) | ||||||
* | Jones Lang LaSalle Inc. | 41,106 | 7,171 | |||
Healthcare Realty Trust Inc. Class A | 329,604 | 6,427 | ||||
1 | Medical Properties Trust Inc. | 517,916 | 5,335 | |||
Spirit Realty Capital Inc. | 120,954 | 4,981 | ||||
Apartment Income REIT Corp. Class A | 129,846 | 4,908 | ||||
CubeSmart | 89,467 | 4,204 | ||||
Rexford Industrial Realty Inc. | 68,332 | 4,131 | ||||
Kite Realty Group Trust | 189,750 | 4,121 | ||||
Independence Realty Trust Inc. | 193,838 | 3,507 | ||||
Lamar Advertising Co. Class A | 33,263 | 3,478 | ||||
Life Storage Inc. | 28,709 | 3,460 | ||||
National Retail Properties Inc. | 72,753 | 3,297 | ||||
Kilroy Realty Corp. | 91,101 | 3,282 | ||||
Cousins Properties Inc. | 131,165 | 3,212 | ||||
Brixmor Property Group Inc. | 132,461 | 2,999 | ||||
First Industrial Realty Trust Inc. | 56,070 | 2,958 | ||||
Physicians Realty Trust | 197,707 | 2,932 | ||||
EastGroup Properties Inc. | 16,996 | 2,775 | ||||
Omega Healthcare Investors Inc. | 103,438 | 2,771 | ||||
Vornado Realty Trust | 139,515 | 2,760 | ||||
Park Hotels & Resorts Inc. | 194,723 | 2,677 | ||||
EPR Properties | 64,971 | 2,653 | ||||
Highwoods Properties Inc. | 91,102 | 2,414 | ||||
Sabra Health Care REIT Inc. | 200,039 | 2,383 | ||||
Macerich Co. | 186,009 | 2,223 | ||||
Douglas Emmett Inc. | 152,240 | 2,151 | ||||
Rayonier Inc. | 57,062 | 1,916 | ||||
SL Green Realty Corp. | 55,701 | 1,897 | ||||
Agree Realty Corp. | 23,781 | 1,683 | ||||
National Storage Affiliates Trust | 38,785 | 1,641 | ||||
Pebblebrook Hotel Trust | 113,858 | 1,625 | ||||
JBG SMITH Properties | 85,731 | 1,479 | ||||
PotlatchDeltic Corp. | 30,078 | 1,388 | ||||
Corporate Office Properties Trust | 46,729 | 1,188 | ||||
106,027 |
Shares | Market Value• ($000) | |||||
Utilities (3.7%) | ||||||
UGI Corp. | 181,336 | 6,751 | ||||
Hawaiian Electric Industries Inc. | 94,808 | 3,835 | ||||
Portland General Electric Co. | 77,319 | 3,696 | ||||
Southwest Gas Holdings Inc. | 53,457 | 3,369 | ||||
ALLETE Inc. | 49,506 | 3,029 | ||||
NorthWestern Corp. | 50,040 | 2,891 | ||||
IDACORP Inc. | 20,581 | 2,128 | ||||
Black Hills Corp. | 27,053 | 1,661 | ||||
Spire Inc. | 23,182 | 1,632 | ||||
New Jersey Resources Corp. | 29,164 | 1,488 | ||||
Ormat Technologies Inc. | 17,314 | 1,464 | ||||
PNM Resources Inc. | 28,254 | 1,385 | ||||
National Fuel Gas Co. | 23,765 | 1,361 | ||||
34,690 | ||||||
Total Common Stocks (Cost $900,769) | 944,201 | |||||
Temporary Cash Investments (0.8%) | ||||||
Money Market Fund (0.8%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 4.640% (Cost $7,601) | 76,018 | 7,601 | |||
Total Investments (100.6%) (Cost $908,370) | 951,802 | |||||
Other Assets and Liabilities—Net (-0.6%) | (5,662) | |||||
Net Assets (100%) | 946,140 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,864,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $7,215,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2023 | 7 | 1,822 | (25) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $900,769) | 944,201 |
Affiliated Issuers (Cost $7,601) | 7,601 |
Total Investments in Securities | 951,802 |
Investment in Vanguard | 34 |
Cash Collateral Pledged—Futures Contracts | 60 |
Receivables for Investment Securities Sold | 3,319 |
Receivables for Accrued Income | 804 |
Receivables for Capital Shares Issued | 1 |
Total Assets | 956,020 |
Liabilities | |
Payables for Investment Securities Purchased | 2,576 |
Collateral for Securities on Loan | 7,215 |
Payables for Capital Shares Redeemed | 37 |
Payables to Vanguard | 50 |
Variation Margin Payable—Futures Contracts | 2 |
Total Liabilities | 9,880 |
Net Assets | 946,140 |
1 Includes $6,864,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At February 28, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 1,053,121 |
Total Distributable Earnings (Loss) | (106,981) |
Net Assets | 946,140 |
ETF Shares—Net Assets2 | |
Applicable to 10,350,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 860,373 |
Net Asset Value Per Share—ETF Shares | $83.13 |
Institutional Shares—Net Assets | |
Applicable to 257,221 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 85,767 |
Net Asset Value Per Share—Institutional Shares | $333.44 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,114 |
Interest1 | 39 |
Securities Lending—Net | 112 |
Total Income | 7,265 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 11 |
Management and Administrative—ETF Shares | 516 |
Management and Administrative—Institutional Shares | 27 |
Marketing and Distribution—ETF Shares | 23 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 19 |
Shareholders’ Reports—ETF Shares | 22 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 625 |
Net Investment Income | 6,640 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 30,172 |
Futures Contracts | (124) |
Swap Contracts | 612 |
Realized Net Gain (Loss) | 30,660 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 38,241 |
Futures Contracts | 21 |
Swap Contracts | — |
Change in Unrealized Appreciation (Depreciation) | 38,262 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 75,562 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $33,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $74,017,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 6,640 | 16,431 | |
Realized Net Gain (Loss) | 30,660 | 104,438 | |
Change in Unrealized Appreciation (Depreciation) | 38,262 | (172,682) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 75,562 | (51,813) | |
Distributions | |||
ETF Shares | (14,943) | (15,176) | |
Institutional Shares | (1,578) | (1,625) | |
Total Distributions | (16,521) | (16,801) | |
Capital Share Transactions | |||
ETF Shares | 1,210 | 46,955 | |
Institutional Shares | 302 | (76,811) | |
Net Increase (Decrease) from Capital Share Transactions | 1,512 | (29,856) | |
Total Increase (Decrease) | 60,553 | (98,470) | |
Net Assets | |||
Beginning of Period | 885,587 | 984,057 | |
End of Period | 946,140 | 885,587 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $76.82 | $82.65 | $54.80 | $58.77 | $65.03 | $56.16 |
Investment Operations | ||||||
Net Investment Income2 | .591 | 1.442 | 1.244 | 1.212 | 1.031 | 1.045 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.229 | (5.769) | 28.198 | (4.044) | (6.310) | 8.769 |
Total from Investment Operations | 7.820 | (4.327) | 29.442 | (2.832) | (5.279) | 9.814 |
Distributions | ||||||
Dividends from Net Investment Income | (1.510) | (1.503) | (1.592) | (1.138) | (.981) | (.944) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.510) | (1.503) | (1.592) | (1.138) | (.981) | (.944) |
Net Asset Value, End of Period | $83.13 | $76.82 | $82.65 | $54.80 | $58.77 | $65.03 |
Total Return | 10.39% | -5.34% | 54.51% | -5.10% | -8.04% | 17.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $860 | $807 | $822 | $501 | $685 | $735 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.71% | 1.79% | 1.72% | 2.13% | 1.72% | 1.72% |
Portfolio Turnover Rate3 | 34% | 33% | 36% | 51% | 38% | 36% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
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 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $308.23 | $331.49 | $219.78 | $235.62 | $260.90 | $225.05 |
Investment Operations | ||||||
Net Investment Income1 | 2.468 | 6.147 | 5.090 | 5.011 | 4.332 | 4.454 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.017 | (23.292) | 113.153 | (16.157) | (25.380) | 35.198 |
Total from Investment Operations | 31.485 | (17.145) | 118.243 | (11.146) | (21.048) | 39.652 |
Distributions | ||||||
Dividends from Net Investment Income | (6.275) | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (6.275) | (6.115) | (6.533) | (4.694) | (4.232) | (3.802) |
Net Asset Value, End of Period | $333.44 | $308.23 | $331.49 | $219.78 | $235.62 | $260.90 |
Total Return | 10.43% | -5.23% | 54.62% | -5.01% | -7.99% | 17.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $86 | $79 | $162 | $160 | $186 | $235 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.78% | 1.90% | 1.79% | 2.21% | 1.79% | 1.84% |
Portfolio Turnover Rate2 | 34% | 33% | 36% | 51% | 38% | 36% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Amount ($000) | |
Tax Cost | 911,056 |
Gross Unrealized Appreciation | 105,683 |
Gross Unrealized Depreciation | (64,962) |
Net Unrealized Appreciation (Depreciation) | 40,721 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 313,773 | 3,950 | 392,670 | 4,750 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (312,563) | (4,100) | (345,715) | (4,200) | |
Net Increase (Decrease)—ETF Shares | 1,210 | (150) | 46,955 | 550 | |
Institutional Shares | |||||
Issued | 8,099 | 26 | 12,349 | 37 | |
Issued in Lieu of Cash Distributions | 1,399 | 5 | 1,318 | 4 | |
Redeemed | (9,196) | (30) | (90,478) | (273) | |
Net Increase (Decrease)—Institutional Shares | 302 | 1 | (76,811) | (232) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 1.9% |
Consumer Discretionary | 12.2 |
Consumer Staples | 4.0 |
Energy | 6.5 |
Financials | 11.3 |
Health Care | 11.3 |
Industrials | 23.0 |
Information Technology | 13.1 |
Materials | 8.2 |
Real Estate | 4.9 |
Utilities | 3.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (100.0%) | ||||||
Communication Services (1.9%) | ||||||
* | Iridium Communications Inc. | 101,132 | 6,206 | |||
Nexstar Media Group Inc. Class A | 30,359 | 5,644 | ||||
World Wrestling Entertainment Inc. Class A | 34,800 | 2,923 | ||||
New York Times Co. Class A | 66,329 | 2,554 | ||||
17,327 | ||||||
Consumer Discretionary (12.2%) | ||||||
* | Deckers Outdoor Corp. | 21,299 | 8,868 | |||
Service Corp. International | 123,777 | 8,359 | ||||
Churchill Downs Inc. | 26,489 | 6,510 | ||||
* | Five Below Inc. | 30,835 | 6,300 | |||
* | Crocs Inc. | 49,705 | 6,050 | |||
Tempur Sealy International Inc. | 137,642 | 5,883 | ||||
Texas Roadhouse Inc. Class A | 53,838 | 5,467 | ||||
H&R Block Inc. | 125,068 | 4,602 | ||||
Murphy USA Inc. | 16,720 | 4,265 | ||||
Wingstop Inc. | 24,083 | 4,102 | ||||
* | Fox Factory Holding Corp. | 34,038 | 3,999 | |||
* | Visteon Corp. | 22,652 | 3,784 | |||
Williams-Sonoma Inc. | 25,807 | 3,224 | ||||
Harley-Davidson Inc. | 67,479 | 3,209 | ||||
Wendy's Co. | 137,060 | 3,010 | ||||
Brunswick Corp. | 34,198 | 2,990 | ||||
Dick's Sporting Goods Inc. | 22,388 | 2,880 | ||||
Wyndham Hotels & Resorts Inc. | 36,983 | 2,848 | ||||
* | TopBuild Corp. | 13,661 | 2,836 | |||
* | Grand Canyon Education Inc. | 24,674 | 2,795 | |||
Polaris Inc. | 22,890 | 2,604 | ||||
Gentex Corp. | 86,857 | 2,480 | ||||
Boyd Gaming Corp. | 37,670 | 2,453 | ||||
* | Light & Wonder Inc. | 34,710 | 2,173 | |||
* | AutoNation Inc. | 12,643 | 1,726 | |||
Choice Hotels International Inc. | 13,154 | 1,557 | ||||
* | YETI Holdings Inc. | 37,923 | 1,478 |
Shares | Market Value• ($000) | |||||
* | Ollie's Bargain Outlet Holdings Inc. | 22,927 | 1,319 | |||
Papa John's International Inc. | 11,639 | 977 | ||||
108,748 | ||||||
Consumer Staples (4.0%) | ||||||
* | Darling Ingredients Inc. | 129,022 | 8,163 | |||
Casey's General Stores Inc. | 29,975 | 6,233 | ||||
* | BJ's Wholesale Club Holdings Inc. | 61,956 | 4,449 | |||
* | Performance Food Group Co. | 56,402 | 3,192 | |||
Lancaster Colony Corp. | 15,957 | 3,063 | ||||
* | Celsius Holdings Inc. | 32,527 | 2,954 | |||
Flowers Foods Inc. | 97,318 | 2,713 | ||||
* | Boston Beer Co. Inc. Class A | 5,242 | 1,697 | |||
* | Sprouts Farmers Market Inc. | 45,951 | 1,392 | |||
* | BellRing Brands Inc. | 44,649 | 1,379 | |||
35,235 | ||||||
Energy (6.5%) | ||||||
NOV Inc. | 316,097 | 6,916 | ||||
* | Antero Resources Corp. | 222,260 | 5,823 | |||
Range Resources Corp. | 194,528 | 5,240 | ||||
PDC Energy Inc. | 74,164 | 4,977 | ||||
ChampionX Corp. | 160,406 | 4,904 | ||||
Matador Resources Co. | 90,366 | 4,861 | ||||
* | Southwestern Energy Co. | 888,296 | 4,708 | |||
Murphy Oil Corp. | 117,622 | 4,590 | ||||
PBF Energy Inc. Class A | 91,933 | 4,018 | ||||
DT Midstream Inc. | 77,827 | 3,907 | ||||
Antero Midstream Corp. | 269,450 | 2,840 | ||||
HF Sinclair Corp. | 47,544 | 2,364 | ||||
* | CNX Resources Corp. | 145,306 | 2,230 | |||
Equitrans Midstream Corp. | 160,473 | 968 | ||||
58,346 | ||||||
Financials (11.3%) | ||||||
Annaly Capital Management Inc. | 376,750 | 7,791 | ||||
First Horizon Corp. | 284,813 | 7,055 | ||||
Jefferies Financial Group Inc. | 147,433 | 5,572 | ||||
Kinsale Capital Group Inc. | 17,347 | 5,528 | ||||
SEI Investments Co. | 82,536 | 4,973 | ||||
Selective Insurance Group Inc. | 48,502 | 4,924 |
Shares | Market Value• ($000) | |||||
Cullen/Frost Bankers Inc. | 34,698 | 4,574 | ||||
RLI Corp. | 32,482 | 4,480 | ||||
East West Bancorp Inc. | 57,469 | 4,380 | ||||
RenaissanceRe Holdings Ltd. | 19,693 | 4,232 | ||||
Commerce Bancshares Inc. | 62,480 | 4,133 | ||||
Interactive Brokers Group Inc. Class A | 46,366 | 3,993 | ||||
Primerica Inc. | 20,490 | 3,933 | ||||
American Financial Group Inc. | 25,288 | 3,391 | ||||
Affiliated Managers Group Inc. | 20,018 | 3,191 | ||||
SLM Corp. | 201,628 | 2,899 | ||||
FirstCash Holdings Inc. | 30,182 | 2,664 | ||||
Columbia Banking System Inc. | 86,971 | 2,586 | ||||
Hanover Insurance Group Inc. | 16,886 | 2,355 | ||||
Glacier Bancorp Inc. | 48,290 | 2,288 | ||||
United Bankshares Inc. | 52,002 | 2,120 | ||||
First Financial Bankshares Inc. | 55,003 | 2,018 | ||||
Evercore Inc. Class A | 14,418 | 1,891 | ||||
Federated Hermes Inc. Class B | 46,946 | 1,847 | ||||
Hancock Whitney Corp. | 33,888 | 1,665 | ||||
Cathay General Bancorp | 30,764 | 1,320 | ||||
International Bancshares Corp. | 25,936 | 1,259 | ||||
Bank of Hawaii Corp. | 16,473 | 1,233 | ||||
Fulton Financial Corp. | 66,132 | 1,137 | ||||
Washington Federal Inc. | 27,863 | 977 | ||||
100,409 | ||||||
Health Care (11.3%) | ||||||
* | United Therapeutics Corp. | 36,676 | 9,024 | |||
* | Neurocrine Biosciences Inc. | 77,394 | 7,979 | |||
* | Repligen Corp. | 41,595 | 7,253 | |||
* | Jazz Pharmaceuticals plc | 50,699 | 7,118 | |||
* | Shockwave Medical Inc. | 29,103 | 5,537 | |||
* | Halozyme Therapeutics Inc. | 108,841 | 5,223 | |||
* | Penumbra Inc. | 19,272 | 5,010 | |||
* | Exelixis Inc. | 259,882 | 4,439 | |||
* | HealthEquity Inc. | 68,048 | 4,435 | |||
Chemed Corp. | 8,139 | 4,245 | ||||
* | Lantheus Holdings Inc. | 55,438 | 4,100 | |||
* | Masimo Corp. | 24,356 | 4,075 | |||
* | Medpace Holdings Inc. | 20,302 | 3,936 | |||
* | Option Care Health Inc. | 124,537 | 3,820 | |||
* | Globus Medical Inc. Class A | 62,410 | 3,641 | |||
Bruker Corp. | 47,173 | 3,251 | ||||
* | Haemonetics Corp. | 40,753 | 3,169 | |||
* | Acadia Healthcare Co. Inc. | 42,481 | 3,080 | |||
* | Inari Medical Inc. | 38,973 | 2,193 | |||
Encompass Health Corp. | 36,976 | 2,090 | ||||
* | QuidelOrtho Corp. | 23,523 | 2,045 | |||
* | STAAR Surgical Co. | 26,206 | 1,452 | |||
* | Arrowhead Pharmaceuticals Inc. | 40,622 | 1,312 | |||
* | Tandem Diabetes Care Inc. | 30,845 | 1,106 | |||
* | Progyny Inc. | 22,256 | 836 | |||
100,369 |
Shares | Market Value• ($000) | |||||
Industrials (23.0%) | ||||||
* | Axon Enterprise Inc. | 54,412 | 10,899 | |||
Hubbell Inc. Class B | 43,224 | 10,873 | ||||
Carlisle Cos. Inc. | 41,628 | 10,749 | ||||
* | Builders FirstSource Inc. | 118,477 | 10,045 | |||
Toro Co. | 83,837 | 9,259 | ||||
Watsco Inc. | 26,781 | 8,160 | ||||
Lincoln Electric Holdings Inc. | 46,445 | 7,800 | ||||
EMCOR Group Inc. | 38,335 | 6,410 | ||||
nVent Electric plc | 134,095 | 6,147 | ||||
Graco Inc. | 88,234 | 6,136 | ||||
KBR Inc. | 110,452 | 6,087 | ||||
Valmont Industries Inc. | 17,159 | 5,445 | ||||
Curtiss-Wright Corp. | 30,812 | 5,386 | ||||
* | Clean Harbors Inc. | 40,474 | 5,345 | |||
AECOM | 60,682 | 5,241 | ||||
Landstar System Inc. | 28,908 | 5,226 | ||||
* | FTI Consulting Inc. | 27,703 | 5,089 | |||
* | Avis Budget Group Inc. | 20,031 | 4,400 | |||
UFP Industries Inc. | 49,482 | 4,232 | ||||
Lennox International Inc. | 16,113 | 4,106 | ||||
Donaldson Co. Inc. | 63,003 | 3,985 | ||||
Owens Corning | 40,653 | 3,975 | ||||
Simpson Manufacturing Co. Inc. | 34,339 | 3,704 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 64,672 | 3,676 | ||||
AGCO Corp. | 25,922 | 3,650 | ||||
Insperity Inc. | 28,701 | 3,562 | ||||
* | CACI International Inc. Class A | 12,104 | 3,546 | |||
Tetra Tech Inc. | 24,333 | 3,331 | ||||
* | Saia Inc. | 12,155 | 3,292 | |||
* | Middleby Corp. | 20,854 | 3,243 | |||
Science Applications International Corp. | 29,699 | 3,167 | ||||
* | IAA Inc. | 68,913 | 2,819 | |||
ITT Inc. | 30,676 | 2,788 | ||||
Acuity Brands Inc. | 12,959 | 2,514 | ||||
* | Trex Co. Inc. | 46,500 | 2,378 | |||
Crane Holdings Co. | 19,216 | 2,302 | ||||
Timken Co. | 26,100 | 2,230 | ||||
MSA Safety Inc. | 16,321 | 2,193 | ||||
* | Chart Industries Inc. | 15,140 | 2,021 | |||
Watts Water Technologies Inc. Class A | 11,429 | 2,003 | ||||
GATX Corp. | 14,732 | 1,607 | ||||
MSC Industrial Direct Co. Inc. Class A | 18,961 | 1,603 | ||||
* | Mercury Systems Inc. | 27,065 | 1,417 | |||
* | Dycom Industries Inc. | 16,129 | 1,358 | |||
Brink's Co. | 17,553 | 1,145 | ||||
* | SunPower Corp. | 38,645 | 580 | |||
* | Vicor Corp. | 7,660 | 360 | |||
205,484 | ||||||
Information Technology (13.1%) | ||||||
* | Fair Isaac Corp. | 20,099 | 13,615 |
Shares | Market Value• ($000) | |||||
* | Lattice Semiconductor Corp. | 110,367 | 9,377 | |||
* | Dynatrace Inc. | 173,843 | 7,394 | |||
* | WEX Inc. | 35,099 | 6,767 | |||
* | Paylocity Holding Corp. | 33,185 | 6,392 | |||
Concentrix Corp. | 34,129 | 4,670 | ||||
* | Cirrus Logic Inc. | 44,333 | 4,555 | |||
* | Novanta Inc. | 28,753 | 4,512 | |||
* | ExlService Holdings Inc. | 26,615 | 4,378 | |||
* | Manhattan Associates Inc. | 29,165 | 4,192 | |||
Power Integrations Inc. | 46,093 | 3,791 | ||||
Genpact Ltd. | 77,308 | 3,690 | ||||
Cognex Corp. | 71,892 | 3,409 | ||||
* | Wolfspeed Inc. | 45,044 | 3,332 | |||
* | Qualys Inc. | 27,859 | 3,292 | |||
Littelfuse Inc. | 12,374 | 3,202 | ||||
National Instruments Corp. | 60,976 | 3,080 | ||||
Universal Display Corp. | 21,891 | 2,974 | ||||
Belden Inc. | 34,452 | 2,907 | ||||
* | Super Micro Computer Inc. | 29,641 | 2,904 | |||
* | MACOM Technology Solutions Holdings Inc. | 41,175 | 2,822 | |||
* | Silicon Laboratories Inc. | 14,214 | 2,538 | |||
* | Calix Inc. | 45,848 | 2,345 | |||
Amkor Technology Inc. | 80,807 | 2,082 | ||||
* | Euronet Worldwide Inc. | 18,611 | 2,026 | |||
* | Teradata Corp. | 37,770 | 1,539 | |||
* | CommVault Systems Inc. | 23,994 | 1,413 | |||
* | Envestnet Inc. | 21,835 | 1,365 | |||
* | Blackbaud Inc. | 16,489 | 918 | |||
* | Allegro MicroSystems Inc. | 20,455 | 893 | |||
* | SiTime Corp. | 6,944 | 862 | |||
117,236 | ||||||
Materials (8.2%) | ||||||
Reliance Steel & Aluminum Co. | 47,222 | 11,704 | ||||
RPM International Inc. | 103,896 | 9,208 | ||||
Royal Gold Inc. | 52,834 | 6,276 | ||||
Olin Corp. | 102,514 | 5,920 | ||||
Eagle Materials Inc. | 29,668 | 4,163 | ||||
Cabot Corp. | 45,308 | 3,603 | ||||
Silgan Holdings Inc. | 67,269 | 3,592 | ||||
Louisiana-Pacific Corp. | 57,760 | 3,380 | ||||
Westlake Corp. | 27,726 | 3,303 | ||||
AptarGroup Inc. | 24,720 | 2,885 | ||||
Commercial Metals Co. | 52,829 | 2,734 | ||||
Ashland Inc. | 26,849 | 2,733 | ||||
* | MP Materials Corp. | 74,385 | 2,604 | |||
Chemours Co. | 69,258 | 2,367 | ||||
Sonoco Products Co. | 40,010 | 2,363 | ||||
* | Ingevity Corp. | 28,261 | 2,333 | |||
Valvoline Inc. | 65,503 | 2,306 | ||||
NewMarket Corp. | 2,955 | 1,015 | ||||
Worthington Industries Inc. | 11,996 | 725 | ||||
73,214 |
Shares | Market Value• ($000) | |||||
Real Estate (4.9%) | ||||||
Rexford Industrial Realty Inc. | 83,618 | 5,056 | ||||
Life Storage Inc. | 41,453 | 4,996 | ||||
CubeSmart | 97,778 | 4,595 | ||||
Lamar Advertising Co. Class A | 39,415 | 4,121 | ||||
Agree Realty Corp. | 49,224 | 3,484 | ||||
National Retail Properties Inc. | 76,322 | 3,459 | ||||
EastGroup Properties Inc. | 19,161 | 3,128 | ||||
First Industrial Realty Trust Inc. | 54,549 | 2,877 | ||||
Brixmor Property Group Inc. | 118,855 | 2,691 | ||||
Omega Healthcare Investors Inc. | 92,501 | 2,478 | ||||
Rayonier Inc. | 64,998 | 2,183 | ||||
PotlatchDeltic Corp. | 37,220 | 1,718 | ||||
National Storage Affiliates Trust | 31,754 | 1,343 | ||||
Corporate Office Properties Trust | 47,392 | 1,205 | ||||
43,334 | ||||||
Utilities (3.6%) | ||||||
Essential Utilities Inc. | 192,313 | 8,227 | ||||
OGE Energy Corp. | 161,175 | 5,757 | ||||
ONE Gas Inc. | 43,618 | 3,497 | ||||
National Fuel Gas Co. | 51,587 | 2,955 | ||||
New Jersey Resources Corp. | 50,272 | 2,565 | ||||
IDACORP Inc. | 21,606 | 2,234 | ||||
PNM Resources Inc. | 42,682 | 2,091 | ||||
Ormat Technologies Inc. | 23,161 | 1,958 | ||||
Black Hills Corp. | 27,267 | 1,675 | ||||
Spire Inc. | 20,684 | 1,456 | ||||
32,415 | ||||||
Total Common Stocks (Cost $776,732) | 892,117 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 4.640% (Cost $192) | 1,919 | 192 | |||
Total Investments (100.0%) (Cost $776,924) | 892,309 | |||||
Other Assets and Liabilities—Net (0.0%) | 86 | |||||
Net Assets (100%) | 892,395 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2023 | 1 | 260 | (1) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $776,732) | 892,117 |
Affiliated Issuers (Cost $192) | 192 |
Total Investments in Securities | 892,309 |
Investment in Vanguard | 32 |
Cash Collateral Pledged—Futures Contracts | 20 |
Receivables for Investment Securities Sold | 1,995 |
Receivables for Accrued Income | 633 |
Receivables for Capital Shares Issued | 44 |
Total Assets | 895,033 |
Liabilities | |
Payables for Investment Securities Purchased | 2,587 |
Payables for Capital Shares Redeemed | 5 |
Payables to Vanguard | 45 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 2,638 |
Net Assets | 892,395 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 1,086,974 |
Total Distributable Earnings (Loss) | (194,579) |
Net Assets | 892,395 |
ETF Shares—Net Assets1 | |
Applicable to 8,350,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 750,601 |
Net Asset Value Per Share—ETF Shares | $89.89 |
Institutional Shares—Net Assets | |
Applicable to 395,770 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 141,794 |
Net Asset Value Per Share—Institutional Shares | $358.27 |
1 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,386 |
Interest1 | 9 |
Securities Lending—Net | 258 |
Total Income | 4,653 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 10 |
Management and Administrative—ETF Shares | 481 |
Management and Administrative—Institutional Shares | 45 |
Marketing and Distribution—ETF Shares | 21 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 11 |
Shareholders’ Reports—ETF Shares | 18 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 594 |
Net Investment Income | 4,059 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (72,393) |
Futures Contracts | (39) |
Realized Net Gain (Loss) | (72,432) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 113,734 |
Futures Contracts | 56 |
Change in Unrealized Appreciation (Depreciation) | 113,790 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 45,417 |
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 $8,000, $2,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $14,777,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 4,059 | 8,246 | |
Realized Net Gain (Loss) | (72,432) | 74,072 | |
Change in Unrealized Appreciation (Depreciation) | 113,790 | (246,971) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 45,417 | (164,653) | |
Distributions | |||
ETF Shares | (7,505) | (4,524) | |
Institutional Shares | (1,358) | (821) | |
Total Distributions | (8,863) | (5,345) | |
Capital Share Transactions | |||
ETF Shares | (4,957) | (53,845) | |
Institutional Shares | 10,558 | (1,657) | |
Net Increase (Decrease) from Capital Share Transactions | 5,601 | (55,502) | |
Total Increase (Decrease) | 42,155 | (225,500) | |
Net Assets | |||
Beginning of Period | 850,240 | 1,075,740 | |
End of Period | 892,395 | 850,240 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $86.30 | $102.72 | $76.26 | $68.85 | $73.23 | $60.67 |
Investment Operations | ||||||
Net Investment Income2 | .405 | .809 | .526 | .680 | .760 | .634 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.073 | (16.729) | 26.594 | 7.591 | (4.542) | 12.544 |
Total from Investment Operations | 4.478 | (15.920) | 27.120 | 8.271 | (3.782) | 13.178 |
Distributions | ||||||
Dividends from Net Investment Income | (.888) | (.500) | (.660) | (.861) | (.598) | (.618) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.888) | (.500) | (.660) | (.861) | (.598) | (.618) |
Net Asset Value, End of Period | $89.89 | $86.30 | $102.72 | $76.26 | $68.85 | $73.23 |
Total Return | 5.26% | -15.57% | 35.70% | 12.08% | -5.08% | 21.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $751 | $725 | $925 | $774 | $737 | $831 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.01% | 0.85% | 0.57% | 0.98% | 1.13% | 0.94% |
Portfolio Turnover Rate3 | 39% | 44% | 40% | 49% | 40% | 43% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
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 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $344.11 | $409.55 | $303.97 | $274.38 | $292.07 | $241.68 |
Investment Operations | ||||||
Net Investment Income1 | 1.707 | 3.533 | 2.347 | 2.925 | 3.242 | 2.894 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.246 | (66.731) | 106.033 | 30.247 | (18.167) | 49.971 |
Total from Investment Operations | 17.953 | (63.198) | 108.380 | 33.172 | (14.925) | 52.865 |
Distributions | ||||||
Dividends from Net Investment Income | (3.793) | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.793) | (2.242) | (2.800) | (3.582) | (2.765) | (2.475) |
Net Asset Value, End of Period | $358.27 | $344.11 | $409.55 | $303.97 | $274.38 | $292.07 |
Total Return | 5.30% | -15.50% | 35.80% | 12.17% | -5.02% | 21.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $142 | $125 | $151 | $213 | $205 | $271 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 0.94% | 0.65% | 1.06% | 1.20% | 1.06% |
Portfolio Turnover Rate2 | 39% | 44% | 40% | 49% | 40% | 43% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Amount ($000) | |
Tax Cost | 778,530 |
Gross Unrealized Appreciation | 144,661 |
Gross Unrealized Depreciation | (30,883) |
Net Unrealized Appreciation (Depreciation) | 113,778 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 50,350 | 600 | 321,229 | 3,200 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (55,307) | (650) | (375,074) | (3,800) | |
Net Increase (Decrease)—ETF Shares | (4,957) | (50) | (53,845) | (600) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 17,032 | 51 | 42,038 | 115 | |
Issued in Lieu of Cash Distributions | 1,358 | 4 | 821 | 2 | |
Redeemed | (7,832) | (23) | (44,516) | (122) | |
Net Increase (Decrease)—Institutional Shares | 10,558 | 32 | (1,657) | (5) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Index Funds
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,078.60 | $0.52 |
Institutional Shares | 1,000.00 | 1,078.90 | 0.41 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $945.40 | $0.48 |
Institutional Shares | 1,000.00 | 945.50 | 0.39 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 8.8% |
Consumer Discretionary | 10.8 |
Consumer Staples | 6.7 |
Energy | 1.7 |
Financials | 20.5 |
Health Care | 9.1 |
Industrials | 12.3 |
Information Technology | 16.9 |
Materials | 3.2 |
Real Estate | 4.7 |
Utilities | 5.3 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (8.8%) | ||||||
* | Meta Platforms Inc. Class A | 472,330 | 82,629 | |||
* | Walt Disney Co. | 382,897 | 38,140 | |||
Verizon Communications Inc. | 882,134 | 34,236 | ||||
Comcast Corp. Class A | 906,080 | 33,679 | ||||
* | Netflix Inc. | 93,472 | 30,110 | |||
AT&T Inc. | 1,301,991 | 24,621 | ||||
* | Charter Communications Inc. Class A | 22,582 | 8,301 | |||
* | Warner Bros Discovery Inc. | 464,577 | 7,257 | |||
* | T-Mobile US Inc. | 40,161 | 5,710 | |||
Activision Blizzard Inc. | 61,387 | 4,681 | ||||
Omnicom Group Inc. | 42,811 | 3,877 | ||||
* | Take-Two Interactive Software Inc. | 33,166 | 3,633 | |||
Interpublic Group of Cos. Inc. | 81,581 | 2,899 | ||||
* | Match Group Inc. | 58,654 | 2,430 | |||
1 | Paramount Global Class B | 106,039 | 2,271 | |||
Fox Corp. Class A | 63,491 | 2,224 | ||||
* | Live Nation Entertainment Inc. | 30,090 | 2,168 | |||
Electronic Arts Inc. | 17,641 | 1,957 | ||||
News Corp. Class A | 87,592 | 1,502 | ||||
Fox Corp. Class B | 29,286 | 945 | ||||
Lumen Technologies Inc. | 199,846 | 680 | ||||
* | DISH Network Corp. Class A | 52,777 | 602 | |||
News Corp. Class B | 17,496 | 302 | ||||
294,854 | ||||||
Consumer Discretionary (10.8%) | ||||||
* | Amazon.com Inc. | 1,006,710 | 94,862 | |||
NIKE Inc. Class B | 264,590 | 31,431 | ||||
Home Depot Inc. | 101,073 | 29,972 | ||||
* | Booking Holdings Inc. | 8,147 | 20,563 | |||
Target Corp. | 96,673 | 16,289 | ||||
McDonald's Corp. | 58,472 | 15,431 | ||||
Starbucks Corp. | 118,173 | 12,064 | ||||
General Motors Co. | 298,544 | 11,566 |
Shares | Market Value• ($000) | |||||
Ford Motor Co. | 828,879 | 10,005 | ||||
Lowe's Cos. Inc. | 40,394 | 8,311 | ||||
Ross Stores Inc. | 72,863 | 8,054 | ||||
TJX Cos. Inc. | 87,800 | 6,726 | ||||
* | Aptiv plc | 56,898 | 6,616 | |||
eBay Inc. | 114,023 | 5,234 | ||||
Lennar Corp. Class A | 53,243 | 5,151 | ||||
Marriott International Inc. Class A | 27,704 | 4,689 | ||||
Hilton Worldwide Holdings Inc. | 29,555 | 4,271 | ||||
* | Las Vegas Sands Corp. | 68,989 | 3,965 | |||
Darden Restaurants Inc. | 25,707 | 3,676 | ||||
Best Buy Co. Inc. | 42,068 | 3,496 | ||||
* | Expedia Group Inc. | 31,617 | 3,445 | |||
* | Royal Caribbean Cruises Ltd. | 46,074 | 3,255 | |||
* | NVR Inc. | 629 | 3,254 | |||
Garmin Ltd. | 32,241 | 3,164 | ||||
LKQ Corp. | 53,351 | 3,057 | ||||
DR Horton Inc. | 32,844 | 3,037 | ||||
MGM Resorts International | 66,944 | 2,879 | ||||
Yum! Brands Inc. | 21,364 | 2,717 | ||||
PulteGroup Inc. | 47,846 | 2,616 | ||||
BorgWarner Inc. | 49,169 | 2,472 | ||||
* | Wynn Resorts Ltd. | 21,649 | 2,346 | |||
* | CarMax Inc. | 33,203 | 2,292 | |||
* | Caesars Entertainment Inc. | 45,158 | 2,292 | |||
* | Carnival Corp. | 210,224 | 2,233 | |||
Tapestry Inc. | 50,619 | 2,202 | ||||
Bath & Body Works Inc. | 48,025 | 1,963 | ||||
Advance Auto Parts Inc. | 12,678 | 1,838 | ||||
VF Corp. | 69,349 | 1,721 | ||||
Whirlpool Corp. | 11,435 | 1,578 | ||||
Hasbro Inc. | 27,260 | 1,500 | ||||
Genuine Parts Co. | 8,283 | 1,465 | ||||
* | Etsy Inc. | 11,105 | 1,348 | |||
* | Norwegian Cruise Line Holdings Ltd. | 88,476 | 1,311 | |||
Domino's Pizza Inc. | 3,991 | 1,173 | ||||
Newell Brands Inc. | 78,587 | 1,155 | ||||
* | Mohawk Industries Inc. | 11,076 | 1,139 |
Shares | Market Value• ($000) | |||||
Pool Corp. | 3,049 | 1,088 | ||||
Ralph Lauren Corp. Class A | 8,632 | 1,020 | ||||
Lennar Corp. Class B | 360 | 29 | ||||
361,961 | ||||||
Consumer Staples (6.7%) | ||||||
Walmart Inc. | 296,478 | 42,138 | ||||
Procter & Gamble Co. | 223,968 | 30,809 | ||||
Coca-Cola Co. | 286,134 | 17,028 | ||||
Costco Wholesale Corp. | 31,603 | 15,302 | ||||
Philip Morris International Inc. | 149,785 | 14,574 | ||||
Estee Lauder Cos. Inc. Class A | 48,594 | 11,811 | ||||
Mondelez International Inc. Class A | 131,940 | 8,600 | ||||
Altria Group Inc. | 180,602 | 8,385 | ||||
Sysco Corp. | 106,404 | 7,935 | ||||
Kraft Heinz Co. | 167,282 | 6,514 | ||||
Kroger Co. | 136,860 | 5,904 | ||||
Colgate-Palmolive Co. | 78,994 | 5,790 | ||||
Walgreens Boots Alliance Inc. | 150,832 | 5,359 | ||||
Archer-Daniels-Midland Co. | 58,910 | 4,689 | ||||
Kimberly-Clark Corp. | 36,908 | 4,615 | ||||
Church & Dwight Co. Inc. | 51,210 | 4,290 | ||||
Conagra Brands Inc. | 100,689 | 3,666 | ||||
Tyson Foods Inc. Class A | 60,820 | 3,603 | ||||
Constellation Brands Inc. Class A | 15,029 | 3,362 | ||||
J M Smucker Co. | 22,365 | 3,308 | ||||
General Mills Inc. | 39,761 | 3,161 | ||||
Keurig Dr Pepper Inc. | 89,256 | 3,084 | ||||
Clorox Co. | 14,260 | 2,217 | ||||
Molson Coors Beverage Co. Class B | 39,475 | 2,100 | ||||
McCormick & Co. Inc. (Non-Voting) | 25,876 | 1,923 | ||||
Kellogg Co. | 24,233 | 1,598 | ||||
Brown-Forman Corp. Class B | 17,262 | 1,120 | ||||
Campbell Soup Co. | 17,276 | 907 | ||||
Hormel Foods Corp. | 17,055 | 757 | ||||
224,549 | ||||||
Energy (1.6%) | ||||||
Valero Energy Corp. | 80,918 | 10,659 | ||||
Phillips 66 | 99,211 | 10,175 | ||||
Schlumberger Ltd. | 140,025 | 7,451 | ||||
Kinder Morgan Inc. | 415,752 | 7,093 | ||||
Halliburton Co. | 190,761 | 6,911 | ||||
Baker Hughes Co. Class A | 210,306 | 6,435 | ||||
Marathon Petroleum Corp. | 51,220 | 6,331 | ||||
55,055 | ||||||
Financials (20.5%) | ||||||
* | Berkshire Hathaway Inc. Class B | 378,457 | 115,498 |
Shares | Market Value• ($000) | |||||
JPMorgan Chase & Co. | 616,140 | 88,324 | ||||
Bank of America Corp. | 1,466,052 | 50,286 | ||||
Wells Fargo & Co. | 800,394 | 37,434 | ||||
Morgan Stanley | 276,903 | 26,721 | ||||
Goldman Sachs Group Inc. | 71,130 | 25,013 | ||||
S&P Global Inc. | 69,935 | 23,862 | ||||
BlackRock Inc. | 31,544 | 21,747 | ||||
Citigroup Inc. | 406,870 | 20,624 | ||||
CME Group Inc. | 75,575 | 14,009 | ||||
US Bancorp | 284,079 | 13,559 | ||||
PNC Financial Services Group Inc. | 84,693 | 13,375 | ||||
Truist Financial Corp. | 278,774 | 13,088 | ||||
Intercontinental Exchange Inc. | 117,381 | 11,949 | ||||
American Express Co. | 63,989 | 11,133 | ||||
Charles Schwab Corp. | 131,263 | 10,228 | ||||
MetLife Inc. | 138,538 | 9,937 | ||||
American International Group Inc. | 155,931 | 9,529 | ||||
Capital One Financial Corp. | 80,182 | 8,746 | ||||
Aflac Inc. | 118,801 | 8,095 | ||||
Chubb Ltd. | 37,481 | 7,909 | ||||
Bank of New York Mellon Corp. | 154,459 | 7,859 | ||||
Prudential Financial Inc. | 77,259 | 7,726 | ||||
Allstate Corp. | 55,691 | 7,172 | ||||
State Street Corp. | 77,068 | 6,834 | ||||
Marsh & McLennan Cos. Inc. | 37,531 | 6,085 | ||||
M&T Bank Corp. | 36,239 | 5,628 | ||||
Willis Towers Watson plc | 22,754 | 5,333 | ||||
T. Rowe Price Group Inc. | 46,974 | 5,274 | ||||
Fifth Third Bancorp | 144,071 | 5,230 | ||||
Hartford Financial Services Group Inc. | 66,817 | 5,230 | ||||
Moody's Corp. | 17,552 | 5,093 | ||||
First Republic Bank | 38,480 | 4,733 | ||||
Huntington Bancshares Inc. | 303,101 | 4,644 | ||||
Regions Financial Corp. | 196,513 | 4,583 | ||||
Aon plc Class A | 14,789 | 4,497 | ||||
Citizens Financial Group Inc. | 103,390 | 4,318 | ||||
Travelers Cos. Inc. | 22,666 | 4,196 | ||||
Northern Trust Corp. | 43,755 | 4,169 | ||||
Cincinnati Financial Corp. | 33,046 | 3,989 | ||||
MSCI Inc. Class A | 7,225 | 3,773 | ||||
KeyCorp | 195,882 | 3,583 | ||||
* | SVB Financial Group | 12,408 | 3,575 | |||
Synchrony Financial | 94,766 | 3,384 | ||||
Arthur J Gallagher & Co. | 15,943 | 2,987 | ||||
Discover Financial Services | 24,119 | 2,701 | ||||
Loews Corp. | 41,380 | 2,528 | ||||
Comerica Inc. | 27,602 | 1,935 | ||||
Franklin Resources Inc. | 59,926 | 1,766 |
Shares | Market Value• ($000) | |||||
Invesco Ltd. | 95,489 | 1,686 | ||||
Principal Financial Group Inc. | 18,650 | 1,670 | ||||
Zions Bancorp NA | 31,255 | 1,582 | ||||
Signature Bank | 13,238 | 1,523 | ||||
Nasdaq Inc. | 25,517 | 1,430 | ||||
Assurant Inc. | 11,096 | 1,414 | ||||
MarketAxess Holdings Inc. | 4,028 | 1,375 | ||||
Everest Re Group Ltd. | 3,457 | 1,327 | ||||
FactSet Research Systems Inc. | 3,195 | 1,325 | ||||
Brown & Brown Inc. | 20,188 | 1,132 | ||||
Lincoln National Corp. | 32,329 | 1,025 | ||||
Cboe Global Markets Inc. | 7,372 | 930 | ||||
Globe Life Inc. | 5,695 | 693 | ||||
687,003 | ||||||
Health Care (9.1%) | ||||||
Johnson & Johnson | 208,682 | 31,983 | ||||
Medtronic plc | 279,176 | 23,116 | ||||
CVS Health Corp. | 276,003 | 23,057 | ||||
Stryker Corp. | 70,738 | 18,596 | ||||
Abbott Laboratories | 175,784 | 17,881 | ||||
Zoetis Inc. Class A | 97,878 | 16,346 | ||||
Becton Dickinson & Co. | 59,898 | 14,049 | ||||
* | Edwards Lifesciences Corp. | 129,760 | 10,438 | |||
Cigna Group | 32,730 | 9,560 | ||||
* | Intuitive Surgical Inc. | 37,830 | 8,678 | |||
* | Centene Corp. | 118,904 | 8,133 | |||
* | Boston Scientific Corp. | 141,407 | 6,606 | |||
* | Illumina Inc. | 33,045 | 6,583 | |||
* | GE HealthCare Technologies Inc. | 76,541 | 5,817 | |||
McKesson Corp. | 16,091 | 5,629 | ||||
Zimmer Biomet Holdings Inc. | 44,105 | 5,463 | ||||
AmerisourceBergen Corp. | 34,025 | 5,293 | ||||
HCA Healthcare Inc. | 20,502 | 4,991 | ||||
West Pharmaceutical Services Inc. | 15,560 | 4,933 | ||||
Humana Inc. | 9,580 | 4,742 | ||||
* | Align Technology Inc. | 15,251 | 4,720 | |||
Laboratory Corp. of America Holdings | 18,628 | 4,459 | ||||
* | Biogen Inc. | 16,048 | 4,331 | |||
Baxter International Inc. | 106,037 | 4,236 | ||||
* | IQVIA Holdings Inc. | 20,303 | 4,233 | |||
* | IDEXX Laboratories Inc. | 8,880 | 4,202 | |||
Cardinal Health Inc. | 55,086 | 4,170 | ||||
STERIS plc | 20,995 | 3,948 | ||||
Agilent Technologies Inc. | 24,864 | 3,530 | ||||
Cooper Cos. Inc. | 10,359 | 3,387 | ||||
PerkinElmer Inc. | 26,558 | 3,308 | ||||
ResMed Inc. | 14,117 | 3,007 | ||||
Viatris Inc. | 254,608 | 2,902 | ||||
* | Catalent Inc. | 37,848 | 2,582 |
Shares | Market Value• ($000) | |||||
* | Charles River Laboratories International Inc. | 10,702 | 2,347 | |||
Teleflex Inc. | 9,846 | 2,346 | ||||
* | Mettler-Toledo International Inc. | 1,634 | 2,343 | |||
* | Henry Schein Inc. | 28,457 | 2,228 | |||
* | Bio-Rad Laboratories Inc. Class A | 4,532 | 2,166 | |||
Universal Health Services Inc. Class B | 13,475 | 1,800 | ||||
DENTSPLY SIRONA Inc. | 45,120 | 1,718 | ||||
Organon & Co. | 53,403 | 1,308 | ||||
Bio-Techne Corp. | 17,167 | 1,247 | ||||
Quest Diagnostics Inc. | 8,083 | 1,118 | ||||
* | DaVita Inc. | 11,543 | 949 | |||
304,479 | ||||||
Industrials (12.2%) | ||||||
Raytheon Technologies Corp. | 308,767 | 30,287 | ||||
United Parcel Service Inc. Class B | 153,262 | 27,969 | ||||
Honeywell International Inc. | 141,184 | 27,034 | ||||
* | Boeing Co. | 117,670 | 23,716 | |||
General Electric Co. | 229,467 | 19,438 | ||||
Eaton Corp. plc | 83,542 | 14,614 | ||||
Union Pacific Corp. | 64,584 | 13,387 | ||||
3M Co. | 116,130 | 12,512 | ||||
Norfolk Southern Corp. | 48,657 | 10,939 | ||||
Caterpillar Inc. | 43,753 | 10,481 | ||||
Emerson Electric Co. | 124,097 | 10,264 | ||||
FedEx Corp. | 50,311 | 10,224 | ||||
Parker-Hannifin Corp. | 26,955 | 9,484 | ||||
Johnson Controls International plc | 144,572 | 9,068 | ||||
Trane Technologies plc | 48,352 | 8,944 | ||||
PACCAR Inc. | 109,551 | 7,910 | ||||
Carrier Global Corp. | 175,592 | 7,907 | ||||
Otis Worldwide Corp. | 87,522 | 7,406 | ||||
Rockwell Automation Inc. | 24,121 | 7,114 | ||||
CSX Corp. | 229,625 | 7,001 | ||||
United Rentals Inc. | 14,556 | 6,820 | ||||
Lockheed Martin Corp. | 14,210 | 6,739 | ||||
Illinois Tool Works Inc. | 28,798 | 6,715 | ||||
* | Delta Air Lines Inc. | 134,568 | 5,159 | |||
General Dynamics Corp. | 22,256 | 5,072 | ||||
Fortive Corp. | 74,293 | 4,952 | ||||
Ingersoll Rand Inc. | 85,010 | 4,937 | ||||
Waste Management Inc. | 32,107 | 4,808 | ||||
Dover Corp. | 29,500 | 4,422 | ||||
TransDigm Group Inc. | 5,750 | 4,277 | ||||
L3Harris Technologies Inc. | 20,028 | 4,230 | ||||
Southwest Airlines Co. | 124,777 | 4,190 | ||||
Westinghouse Air Brake Technologies Corp. | 38,182 | 3,984 | ||||
Northrop Grumman Corp. | 8,522 | 3,955 |
Shares | Market Value• ($000) | |||||
Xylem Inc. | 37,912 | 3,892 | ||||
* | United Airlines Holdings Inc. | 68,639 | 3,566 | |||
Cummins Inc. | 14,530 | 3,532 | ||||
AMETEK Inc. | 24,127 | 3,415 | ||||
Howmet Aerospace Inc. | 77,306 | 3,261 | ||||
Cintas Corp. | 7,414 | 3,251 | ||||
Jacobs Solutions Inc. | 26,840 | 3,207 | ||||
Textron Inc. | 43,848 | 3,180 | ||||
Fastenal Co. | 61,340 | 3,163 | ||||
Verisk Analytics Inc. Class A | 17,706 | 3,030 | ||||
Stanley Black & Decker Inc. | 31,066 | 2,660 | ||||
Equifax Inc. | 13,123 | 2,658 | ||||
Republic Services Inc. Class A | 19,462 | 2,509 | ||||
Nordson Corp. | 11,314 | 2,485 | ||||
* | American Airlines Group Inc. | 136,453 | 2,180 | |||
Allegion plc | 18,447 | 2,079 | ||||
Pentair plc | 34,615 | 1,936 | ||||
Robert Half International Inc. | 22,839 | 1,841 | ||||
Huntington Ingalls Industries Inc. | 8,377 | 1,803 | ||||
A O Smith Corp. | 26,758 | 1,756 | ||||
* | Generac Holdings Inc. | 13,332 | 1,600 | |||
IDEX Corp. | 6,839 | 1,539 | ||||
* | Alaska Air Group Inc. | 26,637 | 1,274 | |||
Snap-on Inc. | 4,797 | 1,193 | ||||
CH Robinson Worldwide Inc. | 11,350 | 1,135 | ||||
Leidos Holdings Inc. | 10,063 | 977 | ||||
Masco Corp. | 13,852 | 726 | ||||
409,807 | ||||||
Information Technology (16.8%) | ||||||
Microsoft Corp. | 657,641 | 164,029 | ||||
Cisco Systems Inc. | 862,327 | 41,754 | ||||
* | Salesforce Inc. | 210,023 | 34,362 | |||
International Business Machines Corp. | 189,915 | 24,556 | ||||
Intel Corp. | 866,771 | 21,609 | ||||
Broadcom Inc. | 34,022 | 20,219 | ||||
Accenture plc Class A | 67,484 | 17,920 | ||||
* | PayPal Holdings Inc. | 239,429 | 17,622 | |||
* | Adobe Inc. | 51,740 | 16,761 | |||
Micron Technology Inc. | 228,373 | 13,205 | ||||
* | Advanced Micro Devices Inc. | 155,819 | 12,244 | |||
Texas Instruments Inc. | 70,573 | 12,100 | ||||
Oracle Corp. | 132,414 | 11,573 | ||||
Intuit Inc. | 27,838 | 11,335 | ||||
Analog Devices Inc. | 57,229 | 10,500 | ||||
Roper Technologies Inc. | 22,264 | 9,578 | ||||
TE Connectivity Ltd. | 66,817 | 8,507 |
Shares | Market Value• ($000) | |||||
Fidelity National Information Services Inc. | 124,563 | 7,894 | ||||
Cognizant Technology Solutions Corp. Class A | 107,956 | 6,761 | ||||
Global Payments Inc. | 56,780 | 6,371 | ||||
* | ANSYS Inc. | 18,310 | 5,559 | |||
HP Inc. | 186,157 | 5,495 | ||||
Corning Inc. | 159,816 | 5,426 | ||||
Microchip Technology Inc. | 58,898 | 4,773 | ||||
* | Fiserv Inc. | 41,377 | 4,762 | |||
* | Teledyne Technologies Inc. | 9,839 | 4,231 | |||
Hewlett Packard Enterprise Co. | 270,235 | 4,218 | ||||
Motorola Solutions Inc. | 15,835 | 4,162 | ||||
* | Autodesk Inc. | 20,438 | 4,061 | |||
NXP Semiconductors NV | 22,290 | 3,978 | ||||
Skyworks Solutions Inc. | 33,732 | 3,763 | ||||
* | Zebra Technologies Corp. Class A | 10,851 | 3,258 | |||
Paychex Inc. | 28,990 | 3,201 | ||||
NetApp Inc. | 45,724 | 2,951 | ||||
* | Keysight Technologies Inc. | 17,311 | 2,769 | |||
* | Trimble Inc. | 51,848 | 2,699 | |||
Seagate Technology Holdings plc | 40,341 | 2,604 | ||||
* | Western Digital Corp. | 66,680 | 2,566 | |||
* | Akamai Technologies Inc. | 33,116 | 2,404 | |||
* | Ceridian HCM Holding Inc. | 32,332 | 2,358 | |||
* | Qorvo Inc. | 21,347 | 2,154 | |||
CDW Corp. | 10,524 | 2,130 | ||||
Juniper Networks Inc. | 68,139 | 2,097 | ||||
* | VeriSign Inc. | 9,885 | 1,946 | |||
Broadridge Financial Solutions Inc. | 12,853 | 1,809 | ||||
* | F5 Inc. | 12,624 | 1,805 | |||
Teradyne Inc. | 16,715 | 1,691 | ||||
* | FleetCor Technologies Inc. | 7,279 | 1,563 | |||
* | Tyler Technologies Inc. | 4,617 | 1,483 | |||
* | DXC Technology Co. | 48,293 | 1,340 | |||
* | EPAM Systems Inc. | 3,870 | 1,191 | |||
Gen Digital Inc. | 57,176 | 1,116 | ||||
564,463 | ||||||
Materials (3.2%) | ||||||
Linde plc | 40,511 | 14,113 | ||||
Sherwin-Williams Co. | 49,566 | 10,971 | ||||
Dow Inc. | 147,764 | 8,452 | ||||
Ecolab Inc. | 52,034 | 8,293 | ||||
DuPont de Nemours Inc. | 104,331 | 7,619 | ||||
Newmont Corp. | 166,720 | 7,271 | ||||
PPG Industries Inc. | 49,380 | 6,521 | ||||
LyondellBasell Industries NV Class A | 53,307 | 5,117 | ||||
International Flavors & Fragrances Inc. | 53,526 | 4,989 | ||||
Martin Marietta Materials Inc. | 13,046 | 4,695 |
Shares | Market Value• ($000) | |||||
Ball Corp. | 65,904 | 3,704 | ||||
Amcor plc | 312,804 | 3,485 | ||||
Avery Dennison Corp. | 17,037 | 3,104 | ||||
Corteva Inc. | 46,572 | 2,901 | ||||
International Paper Co. | 74,690 | 2,718 | ||||
Packaging Corp. of America | 19,431 | 2,657 | ||||
Celanese Corp. Class A | 20,989 | 2,439 | ||||
Eastman Chemical Co. | 25,199 | 2,147 | ||||
Vulcan Materials Co. | 11,475 | 2,076 | ||||
Westrock Co. | 53,390 | 1,676 | ||||
Sealed Air Corp. | 30,535 | 1,485 | ||||
106,433 | ||||||
Real Estate (4.7%) | ||||||
Prologis Inc. | 193,896 | 23,927 | ||||
Equinix Inc. | 19,438 | 13,379 | ||||
Crown Castle Inc. | 90,991 | 11,897 | ||||
American Tower Corp. | 45,932 | 9,095 | ||||
Realty Income Corp. | 131,684 | 8,421 | ||||
Simon Property Group Inc. | 68,627 | 8,379 | ||||
Welltower Inc. | 99,259 | 7,357 | ||||
Digital Realty Trust Inc. | 60,394 | 6,295 | ||||
* | CBRE Group Inc. Class A | 66,371 | 5,651 | |||
AvalonBay Communities Inc. | 29,415 | 5,075 | ||||
Alexandria Real Estate Equities Inc. | 31,344 | 4,695 | ||||
Equity Residential | 71,402 | 4,464 | ||||
Ventas Inc. | 83,904 | 4,082 | ||||
Mid-America Apartment Communities Inc. | 24,284 | 3,888 | ||||
Invitation Homes Inc. | 122,158 | 3,819 | ||||
Public Storage | 12,626 | 3,774 | ||||
Essex Property Trust Inc. | 13,625 | 3,107 | ||||
VICI Properties Inc. Class A | 87,120 | 2,921 | ||||
UDR Inc. | 64,378 | 2,758 | ||||
Healthpeak Properties Inc. | 112,865 | 2,715 | ||||
Kimco Realty Corp. | 129,857 | 2,676 | ||||
SBA Communications Corp. Class A | 9,980 | 2,588 | ||||
Camden Property Trust | 22,418 | 2,573 | ||||
Host Hotels & Resorts Inc. | 150,127 | 2,522 | ||||
Extra Space Storage Inc. | 14,079 | 2,318 | ||||
Weyerhaeuser Co. | 66,181 | 2,068 | ||||
Regency Centers Corp. | 32,335 | 2,034 | ||||
Boston Properties Inc. | 29,948 | 1,961 | ||||
Federal Realty Investment Trust | 15,280 | 1,632 | ||||
Iron Mountain Inc. | 22,596 | 1,192 | ||||
157,263 | ||||||
Utilities (5.3%) | ||||||
NextEra Energy Inc. | 417,377 | 29,646 | ||||
Duke Energy Corp. | 161,812 | 15,252 | ||||
Southern Co. | 228,721 | 14,423 |
Shares | Market Value• ($000) | |||||
Dominion Energy Inc. | 174,883 | 9,727 | ||||
American Electric Power Co. Inc. | 107,848 | 9,487 | ||||
Exelon Corp. | 208,611 | 8,426 | ||||
Xcel Energy Inc. | 114,933 | 7,421 | ||||
Consolidated Edison Inc. | 74,528 | 6,659 | ||||
Public Service Enterprise Group Inc. | 104,806 | 6,333 | ||||
Eversource Energy | 73,229 | 5,519 | ||||
American Water Works Co. Inc. | 38,185 | 5,360 | ||||
Edison International | 80,253 | 5,314 | ||||
Constellation Energy Corp. | 68,713 | 5,146 | ||||
FirstEnergy Corp. | 114,098 | 4,512 | ||||
Ameren Corp. | 54,296 | 4,491 | ||||
DTE Energy Co. | 40,687 | 4,464 | ||||
Entergy Corp. | 42,744 | 4,397 | ||||
PPL Corp. | 154,658 | 4,187 | ||||
Sempra Energy | 26,447 | 3,966 | ||||
CenterPoint Energy Inc. | 132,175 | 3,677 | ||||
CMS Energy Corp. | 60,934 | 3,593 | ||||
Evergy Inc. | 48,188 | 2,834 | ||||
WEC Energy Group Inc. | 31,887 | 2,827 | ||||
Alliant Energy Corp. | 52,707 | 2,702 | ||||
NiSource Inc. | 85,270 | 2,339 | ||||
Pinnacle West Capital Corp. | 23,759 | 1,751 | ||||
AES Corp. | 57,571 | 1,421 | ||||
Atmos Energy Corp. | 11,483 | 1,295 | ||||
NRG Energy Inc. | 25,861 | 848 | ||||
178,017 | ||||||
Total Common Stocks (Cost $3,279,773) | 3,343,884 | |||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 4.640% (Cost $8,695) | 86,958 | 8,695 | |||
Total Investments (100.0%) (Cost $3,288,468) | 3,352,579 | |||||
Other Assets and Liabilities—Net (0.0%) | (493) | |||||
Net Assets (100%) | 3,352,086 |
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 $1,377,000. |
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 $1,479,000 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 | March 2023 | 24 | 4,771 | (162) |
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 | 3,972 | (4.569) | — | (244) |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $3,279,773) | 3,343,884 |
Affiliated Issuers (Cost $8,695) | 8,695 |
Total Investments in Securities | 3,352,579 |
Investment in Vanguard | 123 |
Cash Collateral Pledged—Futures Contracts | 260 |
Receivables for Investment Securities Sold | 44 |
Receivables for Accrued Income | 6,650 |
Receivables for Capital Shares Issued | 14 |
Total Assets | 3,359,670 |
Liabilities | |
Due to Custodian | 45 |
Payables for Investment Securities Purchased | 5,033 |
Collateral for Securities on Loan | 1,479 |
Payables for Capital Shares Redeemed | 647 |
Payables to Vanguard | 121 |
Variation Margin Payable—Futures Contracts | 15 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 244 |
Total Liabilities | 7,584 |
Net Assets | 3,352,086 |
1 Includes $1,377,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At February 28, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 3,276,263 |
Total Distributable Earnings (Loss) | 75,823 |
Net Assets | 3,352,086 |
ETF Shares—Net Assets | |
Applicable to 21,825,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,173,673 |
Net Asset Value Per Share—ETF Shares | $145.41 |
Institutional Shares—Net Assets | |
Applicable to 559,409 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 178,413 |
Net Asset Value Per Share—Institutional Shares | $318.93 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 35,278 |
Interest2 | 90 |
Securities Lending—Net | 23 |
Total Income | 35,391 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 38 |
Management and Administrative—ETF Shares | 1,280 |
Management and Administrative—Institutional Shares | 62 |
Marketing and Distribution—ETF Shares | 84 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 27 |
Shareholders’ Reports—ETF Shares | 55 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 1,556 |
Expenses Paid Indirectly | (3) |
Net Expenses | 1,553 |
Net Investment Income | 33,838 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 146,533 |
Futures Contracts | (779) |
Swap Contracts | 305 |
Realized Net Gain (Loss) | 146,059 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 32,266 |
Futures Contracts | (2) |
Swap Contracts | 5 |
Change in Unrealized Appreciation (Depreciation) | 32,269 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 212,166 |
1 | Dividends are net of foreign withholding taxes of $4,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $86,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $235,263,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 33,838 | 60,832 | |
Realized Net Gain (Loss) | 146,059 | 167,428 | |
Change in Unrealized Appreciation (Depreciation) | 32,269 | (390,988) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 212,166 | (162,728) | |
Distributions | |||
ETF Shares | (37,362) | (54,037) | |
Institutional Shares | (2,197) | (3,520) | |
Total Distributions | (39,559) | (57,557) | |
Capital Share Transactions | |||
ETF Shares | 211,228 | 658,546 | |
Institutional Shares | (618) | 4,677 | |
Net Increase (Decrease) from Capital Share Transactions | 210,610 | 663,223 | |
Total Increase (Decrease) | 383,217 | 442,938 | |
Net Assets | |||
Beginning of Period | 2,968,869 | 2,525,931 | |
End of Period | 3,352,086 | 2,968,869 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $136.61 | $146.23 | $112.29 | $111.46 | $111.93 | $101.33 |
Investment Operations | ||||||
Net Investment Income1 | 1.496 | 3.029 | 2.897 | 2.984 | 2.694 | 2.558 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.073 | (9.703) | 33.786 | .683 | (.511) | 10.535 |
Total from Investment Operations | 10.569 | (6.674) | 36.683 | 3.667 | 2.183 | 13.093 |
Distributions | ||||||
Dividends from Net Investment Income | (1.769) | (2.946) | (2.743) | (2.837) | (2.653) | (2.493) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.769) | (2.946) | (2.743) | (2.837) | (2.653) | (2.493) |
Net Asset Value, End of Period | $145.41 | $136.61 | $146.23 | $112.29 | $111.46 | $111.93 |
Total Return | 7.86% | -4.63% | 33.10% | 3.33% | 2.05% | 13.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,174 | $2,801 | $2,351 | $1,244 | $984 | $873 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.13% | 2.10% | 2.19% | 2.66% | 2.48% | 2.38% |
Portfolio Turnover Rate3 | 26% | 16% | 18% | 31% | 28% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
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 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $299.63 | $320.71 | $246.27 | $244.40 | $245.49 | $222.23 |
Investment Operations | ||||||
Net Investment Income1 | 3.321 | 6.731 | 6.402 | 6.596 | 5.950 | 6.077 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.888 | (21.295) | 74.102 | 1.491 | (1.115) | 22.813 |
Total from Investment Operations | 23.209 | (14.564) | 80.504 | 8.087 | 4.835 | 28.890 |
Distributions | ||||||
Dividends from Net Investment Income | (3.909) | (6.516) | (6.064) | (6.217) | (5.925) | (5.630) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.909) | (6.516) | (6.064) | (6.217) | (5.925) | (5.630) |
Net Asset Value, End of Period | $318.93 | $299.63 | $320.71 | $246.27 | $244.40 | $245.49 |
Total Return | 7.89% | -4.60% | 33.14% | 3.39% | 2.07% | 13.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $178 | $168 | $175 | $102 | $94 | $89 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.15% | 2.12% | 2.22% | 2.68% | 2.50% | 2.45% |
Portfolio Turnover Rate3 | 26% | 16% | 18% | 31% | 28% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,343,884 | — | — | 3,343,884 |
Temporary Cash Investments | 8,695 | — | — | 8,695 |
Total | 3,352,579 | — | — | 3,352,579 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 162 | — | — | 162 |
Swap Contracts | — | 244 | — | 244 |
Total | 162 | 244 | — | 406 |
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. |
Amount ($000) | |
Tax Cost | 3,292,879 |
Gross Unrealized Appreciation | 287,611 |
Gross Unrealized Depreciation | (228,317) |
Net Unrealized Appreciation (Depreciation) | 59,294 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,170,800 | 8,175 | 1,264,192 | 8,600 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (959,572) | (6,850) | (605,646) | (4,175) | |
Net Increase (Decrease)—ETF Shares | 211,228 | 1,325 | 658,546 | 4,425 | |
Institutional Shares | |||||
Issued | 8,216 | 26 | 50,529 | 158 | |
Issued in Lieu of Cash Distributions | 2,045 | 7 | 3,266 | 11 | |
Redeemed | (10,879) | (36) | (49,118) | (154) | |
Net Increase (Decrease)—Institutional Shares | (618) | (3) | 4,677 | 15 |
Communication Services | 6.5% |
Consumer Discretionary | 10.5 |
Consumer Staples | 6.7 |
Energy | 7.7 |
Financials | 3.7 |
Health Care | 19.2 |
Industrials | 5.1 |
Information Technology | 36.8 |
Materials | 2.4 |
Real Estate | 0.9 |
Utilities | 0.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (6.5%) | ||||||
* | Alphabet Inc. Class A | 2,306,373 | 207,712 | |||
* | Alphabet Inc. Class C | 2,044,410 | 184,610 | |||
* | T-Mobile US Inc. | 156,808 | 22,295 | |||
Activision Blizzard Inc. | 162,247 | 12,372 | ||||
Electronic Arts Inc. | 68,864 | 7,640 | ||||
* | Netflix Inc. | 1 | — | |||
434,629 | ||||||
Consumer Discretionary (10.5%) | ||||||
* | Tesla Inc. | 1,036,393 | 213,196 | |||
* | Amazon.com Inc. | 1,576,421 | 148,546 | |||
Home Depot Inc. | 209,502 | 62,126 | ||||
McDonald's Corp. | 175,338 | 46,273 | ||||
Lowe's Cos. Inc. | 165,372 | 34,025 | ||||
Starbucks Corp. | 226,047 | 23,077 | ||||
TJX Cos. Inc. | 286,917 | 21,978 | ||||
* | O'Reilly Automotive Inc. | 24,166 | 20,060 | |||
Dollar General Corp. | 87,096 | 18,839 | ||||
* | AutoZone Inc. | 7,329 | 18,224 | |||
* | Chipotle Mexican Grill Inc. Class A | 10,707 | 15,965 | |||
* | Dollar Tree Inc. | 81,273 | 11,807 | |||
* | Ulta Beauty Inc. | 19,776 | 10,260 | |||
Tractor Supply Co. | 42,655 | 9,950 | ||||
Marriott International Inc. Class A | 52,983 | 8,967 | ||||
Yum! Brands Inc. | 69,615 | 8,852 | ||||
Hilton Worldwide Holdings Inc. | 50,123 | 7,243 | ||||
Genuine Parts Co. | 39,185 | 6,930 | ||||
DR Horton Inc. | 60,364 | 5,583 | ||||
* | Etsy Inc. | 28,194 | 3,423 | |||
Pool Corp. | 9,518 | 3,397 | ||||
Domino's Pizza Inc. | 6,288 | 1,849 | ||||
700,570 | ||||||
Consumer Staples (6.7%) | ||||||
PepsiCo Inc. | 531,962 | 92,311 | ||||
Procter & Gamble Co. | 503,259 | 69,228 | ||||
Coca-Cola Co. | 976,821 | 58,131 | ||||
Costco Wholesale Corp. | 112,793 | 54,612 |
Shares | Market Value• ($000) | |||||
Philip Morris International Inc. | 323,234 | 31,451 | ||||
Mondelez International Inc. Class A | 284,748 | 18,560 | ||||
Altria Group Inc. | 359,849 | 16,708 | ||||
* | Monster Beverage Corp. | 147,064 | 14,965 | |||
Hershey Co. | 56,745 | 13,523 | ||||
Colgate-Palmolive Co. | 177,394 | 13,003 | ||||
General Mills Inc. | 155,839 | 12,391 | ||||
Archer-Daniels-Midland Co. | 103,936 | 8,273 | ||||
Constellation Brands Inc. Class A | 35,105 | 7,853 | ||||
Kimberly-Clark Corp. | 62,562 | 7,823 | ||||
Keurig Dr Pepper Inc. | 163,923 | 5,664 | ||||
Lamb Weston Holdings Inc. | 55,532 | 5,589 | ||||
McCormick & Co. Inc. (Non-Voting) | 49,315 | 3,665 | ||||
Kellogg Co. | 54,308 | 3,581 | ||||
Hormel Foods Corp. | 80,398 | 3,568 | ||||
Clorox Co. | 21,394 | 3,325 | ||||
Brown-Forman Corp. Class B | 38,966 | 2,528 | ||||
Campbell Soup Co. | 45,901 | 2,411 | ||||
449,163 | ||||||
Energy (7.7%) | ||||||
Exxon Mobil Corp. | 1,590,188 | 174,778 | ||||
Chevron Corp. | 686,900 | 110,433 | ||||
ConocoPhillips | 481,148 | 49,727 | ||||
EOG Resources Inc. | 226,809 | 25,634 | ||||
Pioneer Natural Resources Co. | 91,746 | 18,387 | ||||
Occidental Petroleum Corp. | 280,762 | 16,441 | ||||
Schlumberger Ltd. | 290,196 | 15,441 | ||||
Hess Corp. | 107,141 | 14,432 | ||||
Williams Cos. Inc. | 470,328 | 14,157 | ||||
Devon Energy Corp. | 252,413 | 13,610 | ||||
ONEOK Inc. | 172,600 | 11,297 | ||||
Marathon Petroleum Corp. | 86,869 | 10,737 | ||||
Diamondback Energy Inc. | 67,961 | 9,554 | ||||
Coterra Energy Inc. | 304,456 | 7,602 |
Shares | Market Value• ($000) | |||||
Targa Resources Corp. | 87,375 | 6,474 | ||||
Marathon Oil Corp. | 245,235 | 6,168 | ||||
APA Corp. | 124,011 | 4,759 | ||||
EQT Corp. | 141,732 | 4,703 | ||||
514,334 | ||||||
Financials (3.6%) | ||||||
Progressive Corp. | 225,913 | 32,423 | ||||
Charles Schwab Corp. | 347,496 | 27,077 | ||||
Marsh & McLennan Cos. Inc. | 122,585 | 19,876 | ||||
American Express Co. | 113,090 | 19,677 | ||||
Chubb Ltd. | 91,365 | 19,280 | ||||
Aon plc Class A | 52,719 | 16,029 | ||||
Ameriprise Financial Inc. | 41,100 | 14,092 | ||||
* | Arch Capital Group Ltd. | 142,833 | 9,998 | |||
Arthur J Gallagher & Co. | 52,116 | 9,764 | ||||
MSCI Inc. Class A | 17,585 | 9,182 | ||||
Travelers Cos. Inc. | 48,872 | 9,047 | ||||
Moody's Corp. | 28,582 | 8,293 | ||||
Raymond James Financial Inc. | 74,756 | 8,108 | ||||
Discover Financial Services | 61,275 | 6,863 | ||||
W R Berkley Corp. | 78,940 | 5,225 | ||||
Principal Financial Group Inc. | 53,589 | 4,800 | ||||
Nasdaq Inc. | 83,643 | 4,689 | ||||
FactSet Research Systems Inc. | 8,839 | 3,664 | ||||
Cboe Global Markets Inc. | 27,463 | 3,465 | ||||
Everest Re Group Ltd. | 8,748 | 3,359 | ||||
Brown & Brown Inc. | 53,617 | 3,006 | ||||
Globe Life Inc. | 24,393 | 2,968 | ||||
MarketAxess Holdings Inc. | 7,107 | 2,427 | ||||
243,312 | ||||||
Health Care (19.1%) | ||||||
UnitedHealth Group Inc. | 360,771 | 171,705 | ||||
AbbVie Inc. | 682,857 | 105,092 | ||||
Merck & Co. Inc. | 978,981 | 104,007 | ||||
Johnson & Johnson | 625,905 | 95,926 | ||||
Eli Lilly & Co. | 304,518 | 94,772 | ||||
Pfizer Inc. | 2,167,451 | 87,933 | ||||
Thermo Fisher Scientific Inc. | 151,443 | 82,046 | ||||
Danaher Corp. | 252,974 | 62,619 | ||||
Bristol-Myers Squibb Co. | 820,966 | 56,614 | ||||
Amgen Inc. | 206,029 | 47,729 | ||||
Elevance Health Inc. | 92,213 | 43,310 | ||||
Gilead Sciences Inc. | 484,301 | 39,001 | ||||
Abbott Laboratories | 350,097 | 35,612 | ||||
* | Regeneron Pharmaceuticals Inc. | 41,352 | 31,445 | |||
* | Vertex Pharmaceuticals Inc. | 99,118 | 28,773 | |||
* | Moderna Inc. | 127,573 | 17,708 | |||
Cigna Group | 57,841 | 16,895 |
Shares | Market Value• ($000) | |||||
* | Dexcom Inc. | 149,149 | 16,557 | |||
Humana Inc. | 31,291 | 15,490 | ||||
* | Intuitive Surgical Inc. | 66,869 | 15,339 | |||
* | Boston Scientific Corp. | 293,139 | 13,695 | |||
HCA Healthcare Inc. | 44,210 | 10,763 | ||||
Agilent Technologies Inc. | 68,589 | 9,738 | ||||
McKesson Corp. | 25,189 | 8,811 | ||||
* | Mettler-Toledo International Inc. | 5,602 | 8,032 | |||
* | Hologic Inc. | 96,411 | 7,678 | |||
* | IDEXX Laboratories Inc. | 15,661 | 7,411 | |||
* | IQVIA Holdings Inc. | 34,405 | 7,172 | |||
* | Waters Corp. | 22,944 | 7,133 | |||
* | Biogen Inc. | 26,131 | 7,052 | |||
ResMed Inc. | 30,532 | 6,503 | ||||
* | Molina Healthcare Inc. | 22,544 | 6,207 | |||
* | Incyte Corp. | 71,221 | 5,483 | |||
Quest Diagnostics Inc. | 29,071 | 4,022 | ||||
Bio-Techne Corp. | 29,140 | 2,117 | ||||
*,1 | ABIOMED Inc. CVR | 56 | — | |||
1,280,390 | ||||||
Industrials (5.1%) | ||||||
Deere & Co. | 106,058 | 44,464 | ||||
Lockheed Martin Corp. | 63,943 | 30,326 | ||||
Caterpillar Inc. | 120,563 | 28,881 | ||||
Union Pacific Corp. | 118,701 | 24,604 | ||||
Northrop Grumman Corp. | 40,226 | 18,669 | ||||
Illinois Tool Works Inc. | 55,064 | 12,839 | ||||
Waste Management Inc. | 85,103 | 12,745 | ||||
CSX Corp. | 389,698 | 11,882 | ||||
Old Dominion Freight Line Inc. | 34,989 | 11,870 | ||||
* | Copart Inc. | 165,492 | 11,661 | |||
WW Grainger Inc. | 17,367 | 11,609 | ||||
* | CoStar Group Inc. | 157,039 | 11,096 | |||
General Dynamics Corp. | 46,092 | 10,505 | ||||
Quanta Services Inc. | 55,187 | 8,907 | ||||
Cintas Corp. | 19,667 | 8,623 | ||||
L3Harris Technologies Inc. | 36,748 | 7,761 | ||||
TransDigm Group Inc. | 9,369 | 6,969 | ||||
Cummins Inc. | 27,782 | 6,753 | ||||
Expeditors International of Washington Inc. | 61,423 | 6,422 | ||||
AMETEK Inc. | 44,354 | 6,279 | ||||
JB Hunt Transport Services Inc. | 31,957 | 5,778 | ||||
Republic Services Inc. Class A | 43,591 | 5,620 | ||||
Fastenal Co. | 108,230 | 5,580 | ||||
Verisk Analytics Inc. Class A | 27,746 | 4,748 | ||||
Equifax Inc. | 23,196 | 4,698 | ||||
IDEX Corp. | 16,623 | 3,740 | ||||
Leidos Holdings Inc. | 34,267 | 3,326 | ||||
Masco Corp. | 61,805 | 3,240 | ||||
Rollins Inc. | 89,339 | 3,145 |
Shares | Market Value• ($000) | |||||
Snap-on Inc. | 11,672 | 2,903 | ||||
CH Robinson Worldwide Inc. | 24,624 | 2,461 | ||||
338,104 | ||||||
Information Technology (36.7%) | ||||||
Apple Inc. | 5,773,968 | 851,141 | ||||
Microsoft Corp. | 1,669,446 | 416,393 | ||||
NVIDIA Corp. | 961,454 | 223,211 | ||||
Visa Inc. Class A | 631,325 | 138,854 | ||||
Mastercard Inc. Class A | 327,776 | 116,455 | ||||
Broadcom Inc. | 93,836 | 55,766 | ||||
QUALCOMM Inc. | 432,847 | 53,470 | ||||
Applied Materials Inc. | 332,189 | 38,584 | ||||
Texas Instruments Inc. | 220,771 | 37,851 | ||||
Automatic Data Processing Inc. | 160,181 | 35,211 | ||||
* | ServiceNow Inc. | 78,002 | 33,710 | |||
Accenture plc Class A | 119,212 | 31,657 | ||||
Oracle Corp. | 350,113 | 30,600 | ||||
* | Adobe Inc. | 84,372 | 27,332 | |||
* | Advanced Micro Devices Inc. | 336,186 | 26,417 | |||
Lam Research Corp. | 52,660 | 25,593 | ||||
Intuit Inc. | 57,683 | 23,487 | ||||
* | Synopsys Inc. | 59,041 | 21,477 | |||
KLA Corp. | 54,726 | 20,762 | ||||
* | Cadence Design Systems Inc. | 105,920 | 20,436 | |||
* | Fiserv Inc. | 169,195 | 19,473 | |||
Amphenol Corp. Class A | 229,820 | 17,816 | ||||
Analog Devices Inc. | 93,340 | 17,125 | ||||
* | Arista Networks Inc. | 95,573 | 13,256 | |||
* | ON Semiconductor Corp. | 166,966 | 12,925 | |||
* | Enphase Energy Inc. | 52,485 | 11,050 | |||
* | Fortinet Inc. | 180,372 | 10,721 | |||
NXP Semiconductors NV | 59,034 | 10,536 | ||||
* | Gartner Inc. | 30,516 | 10,003 | |||
Motorola Solutions Inc. | 35,511 | 9,333 | ||||
* | Autodesk Inc. | 45,838 | 9,107 | |||
Microchip Technology Inc. | 104,064 | 8,432 | ||||
Monolithic Power Systems Inc. | 17,213 | 8,336 | ||||
Paychex Inc. | 70,609 | 7,795 | ||||
* | SolarEdge Technologies Inc. | 21,587 | 6,863 | |||
CDW Corp. | 32,920 | 6,664 | ||||
* | First Solar Inc. | 38,278 | 6,474 | |||
* | Keysight Technologies Inc. | 37,248 | 5,958 | |||
* | Paycom Software Inc. | 18,760 | 5,423 | |||
* | PTC Inc. | 40,876 | 5,123 | |||
* | EPAM Systems Inc. | 15,075 | 4,638 | |||
Jack Henry & Associates Inc. | 28,170 | 4,627 | ||||
* | VeriSign Inc. | 17,471 | 3,439 | |||
* | FleetCor Technologies Inc. | 15,050 | 3,233 |
Shares | Market Value• ($000) | |||||
Broadridge Financial Solutions Inc. | 21,814 | 3,071 | ||||
Teradyne Inc. | 29,510 | 2,985 | ||||
* | Tyler Technologies Inc. | 7,556 | 2,427 | |||
Gen Digital Inc. | 118,283 | 2,308 | ||||
2,457,548 | ||||||
Materials (2.4%) | ||||||
Linde plc | 116,447 | 40,566 | ||||
Air Products and Chemicals Inc. | 85,646 | 24,493 | ||||
Freeport-McMoRan Inc. | 551,904 | 22,611 | ||||
Nucor Corp. | 99,063 | 16,587 | ||||
Corteva Inc. | 190,363 | 11,858 | ||||
Albemarle Corp. | 45,238 | 11,504 | ||||
Steel Dynamics Inc. | 64,196 | 8,096 | ||||
Mosaic Co. | 131,468 | 6,993 | ||||
CF Industries Holdings Inc. | 75,757 | 6,507 | ||||
FMC Corp. | 48,649 | 6,283 | ||||
Vulcan Materials Co. | 30,251 | 5,473 | ||||
160,971 | ||||||
Real Estate (0.9%) | ||||||
American Tower Corp. | 95,288 | 18,868 | ||||
Public Storage | 37,845 | 11,314 | ||||
VICI Properties Inc. Class A | 211,963 | 7,107 | ||||
SBA Communications Corp. Class A | 23,338 | 6,053 | ||||
Weyerhaeuser Co. | 161,803 | 5,056 | ||||
Extra Space Storage Inc. | 25,886 | 4,262 | ||||
Iron Mountain Inc. | 70,844 | 3,737 | ||||
56,397 | ||||||
Utilities (0.5%) | ||||||
Sempra Energy | 72,827 | 10,921 | ||||
* | PG&E Corp. | 621,703 | 9,711 | |||
WEC Energy Group Inc. | 63,376 | 5,619 | ||||
AES Corp. | 152,101 | 3,755 | ||||
Atmos Energy Corp. | 32,920 | 3,713 | ||||
NRG Energy Inc. | 41,684 | 1,367 | ||||
35,086 | ||||||
Total Common Stocks (Cost $5,628,748) | 6,670,504 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
2 | Vanguard Market Liquidity Fund, 4.640% (Cost $9,390) | 93,912 | 9,391 | |||
Total Investments (99.9%) (Cost $5,638,138) | 6,679,895 | |||||
Other Assets and Liabilities—Net (0.1%) | 9,740 | |||||
Net Assets (100%) | 6,689,635 |
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. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | March 2023 | 3 | 724 | (30) |
E-mini S&P 500 Index | March 2023 | 66 | 13,119 | (340) |
(370) |
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 | 3,664 | (4.569) | 484 | — |
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, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,628,748) | 6,670,504 |
Affiliated Issuers (Cost $9,390) | 9,391 |
Total Investments in Securities | 6,679,895 |
Investment in Vanguard | 242 |
Cash | 22 |
Cash Collateral Pledged—Futures Contracts | 750 |
Receivables for Accrued Income | 8,552 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 484 |
Total Assets | 6,689,945 |
Liabilities | |
Payables for Investment Securities Purchased | 26 |
Payables to Vanguard | 242 |
Variation Margin Payable—Futures Contracts | 42 |
Total Liabilities | 310 |
Net Assets | 6,689,635 |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 6,467,246 |
Total Distributable Earnings (Loss) | 222,389 |
Net Assets | 6,689,635 |
ETF Shares—Net Assets | |
Applicable to 30,595,971 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,683,915 |
Net Asset Value Per Share—ETF Shares | $218.46 |
Institutional Shares—Net Assets | |
Applicable to 11,511 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,720 |
Net Asset Value Per Share—Institutional Shares | $496.94 |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 37,654 |
Interest2 | 121 |
Securities Lending—Net | 4 |
Total Income | 37,779 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 80 |
Management and Administrative—ETF Shares | 2,884 |
Management and Administrative—Institutional Shares | 2 |
Marketing and Distribution—ETF Shares | 170 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 9 |
Shareholders’ Reports—ETF Shares | 119 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 3,271 |
Expenses Paid Indirectly | (9) |
Net Expenses | 3,262 |
Net Investment Income | 34,517 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (649,467) |
Futures Contracts | (1,685) |
Swap Contracts | (574) |
Realized Net Gain (Loss) | (651,726) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 230,538 |
Futures Contracts | 55 |
Swap Contracts | 1,259 |
Change in Unrealized Appreciation (Depreciation) | 231,852 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (385,357) |
1 | Dividends are net of foreign withholding taxes of $18,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $116,000, $3,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $93,706,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 34,517 | 52,438 | |
Realized Net Gain (Loss) | (651,726) | 530,788 | |
Change in Unrealized Appreciation (Depreciation) | 231,852 | (2,018,303) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (385,357) | (1,435,077) | |
Distributions | |||
ETF Shares | (32,475) | (48,040) | |
Institutional Shares | (29) | (108) | |
Total Distributions | (32,504) | (48,148) | |
Capital Share Transactions | |||
ETF Shares | 262,266 | 1,542,386 | |
Institutional Shares | (33) | (18,702) | |
Net Increase (Decrease) from Capital Share Transactions | 262,233 | 1,523,684 | |
Total Increase (Decrease) | (155,628) | 40,459 | |
Net Assets | |||
Beginning of Period | 6,845,263 | 6,804,804 | |
End of Period | 6,689,635 | 6,845,263 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $232.26 | $283.53 | $219.32 | $161.81 | $158.27 | $127.78 |
Investment Operations | ||||||
Net Investment Income1 | 1.149 | 1.923 | 1.751 | 2.111 | 2.156 | 1.833 |
Net Realized and Unrealized Gain (Loss) on Investments | (13.861) | (51.406) | 64.190 | 57.589 | 3.437 | 30.442 |
Total from Investment Operations | (12.712) | (49.483) | 65.941 | 59.700 | 5.593 | 32.275 |
Distributions | ||||||
Dividends from Net Investment Income | (1.088) | (1.787) | (1.731) | (2.190) | (2.053) | (1.785) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.088) | (1.787) | (1.731) | (2.190) | (2.053) | (1.785) |
Net Asset Value, End of Period | $218.46 | $232.26 | $283.53 | $219.32 | $161.81 | $158.27 |
Total Return | -5.46% | -17.52% | 30.26% | 37.29% | 3.60% | 25.48% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,684 | $6,839 | $6,776 | $4,485 | $2,755 | $2,327 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 0.73% | 0.73% | 1.20% | 1.41% | 1.29% |
Portfolio Turnover Rate3 | 34% | 13% | 12% | 24% | 23% | 18% |
The expense ratio and net investment income ratio for the current period have been annualized. |
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 | Six Months Ended February 28, 2023 | 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 | $528.34 | $644.91 | $498.89 | $368.04 | $356.55 | $343.28 |
Investment Operations | ||||||
Net Investment Income2 | 2.662 | 4.203 | 3.959 | 4.861 | 3.777 | .856 |
Net Realized and Unrealized Gain (Loss) on Investments | (31.538) | (116.631) | 146.133 | 131.012 | 7.713 | (19.628) |
Total from Investment Operations | (28.876) | (112.428) | 150.092 | 135.873 | 11.490 | (18.772) |
Distributions | ||||||
Dividends from Net Investment Income | (2.524) | (4.142) | (4.072) | (5.023) | — | (.938) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.524) | (4.142) | (4.072) | (5.023) | — | (.938) |
Net Asset Value, End of Period | $496.94 | $528.34 | $644.91 | $498.89 | $368.04 | $323.57 |
Total Return | -5.45% | -17.50% | 30.29% | 37.35% | 3.22% | -5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6 | $6 | $28 | $9 | $7 | — |
Ratio of Total Expenses to Average Net Assets | 0.08%3 | 0.08%3 | 0.08% | 0.08% | 0.08%4 | 0.08%4 |
Ratio of Net Investment Income to Average Net Assets | 1.09% | 0.68% | 0.71% | 1.22% | 2.52%4 | 1.64%4 |
Portfolio Turnover Rate5 | 34% | 13% | 12% | 24% | 23%6 | 23%6 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations. |
2 | Calculated based on average shares outstanding. |
3 | 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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 6,670,504 | — | — | 6,670,504 |
Temporary Cash Investments | 9,391 | — | — | 9,391 |
Total | 6,679,895 | — | — | 6,679,895 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 484 | — | 484 |
Liabilities | ||||
Futures Contracts1 | 370 | — | — | 370 |
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. |
Amount ($000) | |
Tax Cost | 5,641,593 |
Gross Unrealized Appreciation | 1,300,832 |
Gross Unrealized Depreciation | (262,416) |
Net Unrealized Appreciation (Depreciation) | 1,038,416 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 591,148 | 2,675 | 2,939,972 | 10,746 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (328,882) | (1,525) | (1,397,586) | (5,200) | |
Net Increase (Decrease)—ETF Shares | 262,266 | 1,150 | 1,542,386 | 5,546 | |
Institutional Shares | |||||
Issued | 30 | — | 554 | 1 | |
Issued in Lieu of Cash Distributions | 29 | — | 87 | — | |
Redeemed | (92) | — | (19,343) | (33) | |
Net Increase (Decrease)—Institutional Shares | (33) | — | (18,702) | (32) |
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Vanguard S&P Small-Cap 600 Index Fund |
Vanguard S&P Small-Cap 600 Value Index Fund |
Vanguard S&P Small-Cap 600 Growth Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended February 28, 2023 | |||
Beginning Account Value 8/31/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,063.60 | $0.51 |
Institutional Shares | 1,000.00 | 1,063.80 | 0.41 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,095.30 | $0.78 |
Institutional Shares | 1,000.00 | 1,095.90 | 0.42 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,031.70 | $0.76 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Communication Services | 2.1% |
Consumer Discretionary | 13.6 |
Consumer Staples | 5.2 |
Energy | 4.7 |
Financials | 17.6 |
Health Care | 10.6 |
Industrials | 17.5 |
Information Technology | 13.6 |
Materials | 6.0 |
Real Estate | 6.9 |
Utilities | 2.2 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.1%) | ||||||
Cogent Communications Holdings Inc. | 199,394 | 12,909 | ||||
* | Yelp Inc. Class A | 325,258 | 9,764 | |||
Shutterstock Inc. | 112,038 | 8,428 | ||||
* | Cinemark Holdings Inc. | 499,055 | 6,792 | |||
Scholastic Corp. | 138,412 | 6,313 | ||||
Telephone & Data Systems Inc. | 464,638 | 5,896 | ||||
* | Cars.com Inc. | 288,867 | 5,546 | |||
* | Gogo Inc. | 302,569 | 4,980 | |||
* | TechTarget Inc. | 125,616 | 4,740 | |||
Shenandoah Telecommunications Co. | 233,770 | 4,563 | ||||
* | QuinStreet Inc. | 234,769 | 3,984 | |||
* | Thryv Holdings Inc. | 143,233 | 3,415 | |||
* | EW Scripps Co. Class A | 269,909 | 3,406 | |||
* | AMC Networks Inc. Class A | 131,276 | 2,935 | |||
ATN International Inc. | 50,039 | 2,104 | ||||
* | Gannett Co. Inc. | 676,976 | 2,051 | |||
1 | Marcus Corp. | 113,917 | 1,833 | |||
* | Consolidated Communications Holdings Inc. | 345,371 | 1,047 | |||
90,706 | ||||||
Consumer Discretionary (13.6%) | ||||||
* | Asbury Automotive Group Inc. | 103,227 | 23,443 | |||
Academy Sports & Outdoors Inc. | 371,975 | 22,002 | ||||
* | Meritage Homes Corp. | 170,534 | 18,627 | |||
Signet Jewelers Ltd. | 215,731 | 15,451 | ||||
Group 1 Automotive Inc. | 68,015 | 15,036 | ||||
* | National Vision Holdings Inc. | 368,186 | 13,755 | |||
LCI Industries | 118,624 | 13,382 | ||||
Installed Building Products Inc. | 109,430 | 12,626 | ||||
Steven Madden Ltd. | 341,649 | 12,402 | ||||
* | Dorman Products Inc. | 131,929 | 12,273 |
Shares | Market Value• ($000) | |||||
Kontoor Brands Inc. | 230,408 | 12,016 | ||||
American Eagle Outfitters Inc. | 812,828 | 11,680 | ||||
* | Sonos Inc. | 593,876 | 11,539 | |||
* | Tri Pointe Homes Inc. | 471,009 | 11,229 | |||
* | Cavco Industries Inc. | 38,656 | 11,017 | |||
* | Boot Barn Holdings Inc. | 139,110 | 10,774 | |||
* | Frontdoor Inc. | 380,329 | 10,744 | |||
Bloomin' Brands Inc. | 409,792 | 10,696 | ||||
* | LGI Homes Inc. | 95,637 | 9,976 | |||
MDC Holdings Inc. | 266,102 | 9,846 | ||||
* | Gentherm Inc. | 154,912 | 9,838 | |||
* | Shake Shack Inc. Class A | 174,186 | 9,718 | |||
* | Six Flags Entertainment Corp. | 345,431 | 9,119 | |||
Winnebago Industries Inc. | 142,346 | 9,048 | ||||
Strategic Education Inc. | 103,891 | 8,857 | ||||
* | Leslie's Inc. | 692,116 | 8,728 | |||
* | ODP Corp. | 188,202 | 8,522 | |||
Cheesecake Factory Inc. | 222,714 | 8,338 | ||||
* | Adtalem Global Education Inc. | 211,477 | 8,273 | |||
Oxford Industries Inc. | 69,689 | 8,196 | ||||
* | Stride Inc. | 190,383 | 8,086 | |||
* | Sally Beauty Holdings Inc. | 498,440 | 8,020 | |||
Century Communities Inc. | 131,690 | 7,876 | ||||
* | Dave & Buster's Entertainment Inc. | 195,444 | 7,822 | |||
* | Brinker International Inc. | 205,064 | 7,792 | |||
Jack in the Box Inc. | 98,062 | 7,688 | ||||
* | Vista Outdoor Inc. | 263,448 | 7,524 | |||
* | Urban Outfitters Inc. | 279,034 | 7,520 | |||
Monro Inc. | 146,516 | 7,390 | ||||
* | M/I Homes Inc. | 127,756 | 7,389 | |||
Patrick Industries Inc. | 100,270 | 7,305 | ||||
* | Abercrombie & Fitch Co. Class A | 230,315 | 6,774 | |||
La-Z-Boy Inc. | 200,416 | 6,490 | ||||
Upbound Group Inc. | 233,357 | 6,266 | ||||
Wolverine World Wide Inc. | 366,770 | 6,143 | ||||
* | XPEL Inc. | 91,316 | 6,101 | |||
Buckle Inc. | 137,702 | 5,617 |
Shares | Market Value• ($000) | |||||
Dine Brands Global Inc. | 73,020 | 5,598 | ||||
* | iRobot Corp. | 126,855 | 5,213 | |||
Sturm Ruger & Co. Inc. | 82,259 | 4,793 | ||||
* | American Axle & Manufacturing Holdings Inc. | 534,284 | 4,702 | |||
Monarch Casino & Resort Inc. | 61,887 | 4,556 | ||||
Caleres Inc. | 170,200 | 4,444 | ||||
Sonic Automotive Inc. Class A | 77,832 | 4,428 | ||||
* | Perdoceo Education Corp. | 312,797 | 4,312 | |||
Hibbett Inc. | 59,644 | 4,290 | ||||
* | Golden Entertainment Inc. | 102,240 | 4,203 | |||
* | Sleep Number Corp. | 102,460 | 4,084 | |||
* | Green Brick Partners Inc. | 126,515 | 3,947 | |||
* | BJ's Restaurants Inc. | 108,936 | 3,486 | |||
* | Mister Car Wash Inc. | 370,029 | 3,415 | |||
Standard Motor Products Inc. | 87,388 | 3,406 | ||||
* | MarineMax Inc. | 100,298 | 3,368 | |||
* | Chico's FAS Inc. | 582,555 | 3,350 | |||
* | G-III Apparel Group Ltd. | 199,033 | 3,307 | |||
Ethan Allen Interiors Inc. | 106,285 | 3,141 | ||||
Guess? Inc. | 142,682 | 3,002 | ||||
* | Chuy's Holdings Inc. | 83,835 | 2,997 | |||
Ruth's Hospitality Group Inc. | 141,336 | 2,636 | ||||
* | Genesco Inc. | 57,824 | 2,600 | |||
Movado Group Inc. | 74,048 | 2,564 | ||||
* | Children's Place Inc. | 60,690 | 2,541 | |||
Haverty Furniture Cos. Inc. | 61,735 | 2,330 | ||||
Designer Brands Inc. Class A | 236,785 | 2,318 | ||||
* | America's Car-Mart Inc. | 27,013 | 2,295 | |||
Shoe Carnival Inc. | 79,628 | 2,098 | ||||
Aaron's Co. Inc. | 144,384 | 2,072 | ||||
Big Lots Inc. | 135,581 | 1,946 | ||||
PetMed Express Inc. | 98,414 | 1,848 | ||||
* | Zumiez Inc. | 72,532 | 1,687 | |||
* | Motorcar Parts of America Inc. | 90,225 | 1,181 | |||
El Pollo Loco Holdings Inc. | 91,087 | 1,090 | ||||
* | WW International Inc. | 250,385 | 916 | |||
* | Universal Electronics Inc. | 56,570 | 720 | |||
*,1 | Bed Bath & Beyond Inc. | 354,891 | 500 | |||
594,338 | ||||||
Consumer Staples (5.2%) | ||||||
* | elf Beauty Inc. | 234,600 | 17,536 | |||
* | Hostess Brands Inc. Class A | 624,651 | 15,429 | |||
* | Simply Good Foods Co. | 392,562 | 15,031 | |||
* | TreeHouse Foods Inc. | 235,546 | 11,492 | |||
* | United Natural Foods Inc. | 272,110 | 11,083 | |||
WD-40 Co. | 63,371 | 10,990 |
Shares | Market Value• ($000) | |||||
Edgewell Personal Care Co. | 241,880 | 10,328 | ||||
Cal-Maine Foods Inc. | 176,769 | 10,040 | ||||
Inter Parfums Inc. | 83,137 | 10,011 | ||||
J & J Snack Foods Corp. | 69,725 | 9,846 | ||||
Nu Skin Enterprises Inc. Class A | 230,638 | 9,189 | ||||
Vector Group Ltd. | 614,508 | 8,155 | ||||
PriceSmart Inc. | 116,896 | 8,150 | ||||
* | Central Garden & Pet Co. Class A | 193,932 | 7,453 | |||
* | Hain Celestial Group Inc. | 415,931 | 7,416 | |||
MGP Ingredients Inc. | 71,692 | 7,272 | ||||
Andersons Inc. | 145,014 | 6,617 | ||||
Universal Corp. | 114,354 | 5,785 | ||||
Medifast Inc. | 50,896 | 5,707 | ||||
* | Chefs' Warehouse Inc. | 158,619 | 5,163 | |||
* | National Beverage Corp. | 108,863 | 5,078 | |||
Fresh Del Monte Produce Inc. | 143,089 | 4,476 | ||||
SpartanNash Co. | 164,376 | 4,399 | ||||
B&G Foods Inc. | 334,369 | 4,236 | ||||
John B Sanfilippo & Son Inc. | 41,596 | 3,734 | ||||
Tootsie Roll Industries Inc. | 82,958 | 3,653 | ||||
* | USANA Health Sciences Inc. | 51,940 | 3,157 | |||
Calavo Growers Inc. | 82,568 | 2,664 | ||||
* | Central Garden & Pet Co. | 44,975 | 1,822 | |||
* | Seneca Foods Corp. Class A | 24,812 | 1,380 | |||
227,292 | ||||||
Energy (4.7%) | ||||||
Helmerich & Payne Inc. | 491,096 | 20,665 | ||||
Civitas Resources Inc. | 242,212 | 16,996 | ||||
SM Energy Co. | 572,626 | 16,898 | ||||
Patterson-UTI Energy Inc. | 1,011,462 | 13,857 | ||||
Northern Oil & Gas Inc. | 316,188 | 9,815 | ||||
* | Oceaneering International Inc. | 467,964 | 9,776 | |||
* | Green Plains Inc. | 276,764 | 9,595 | |||
* | Callon Petroleum Co. | 238,693 | 9,252 | |||
CONSOL Energy Inc. | 152,672 | 8,356 | ||||
World Fuel Services Corp. | 288,402 | 7,917 | ||||
* | Par Pacific Holdings Inc. | 258,465 | 7,180 | |||
Archrock Inc. | 623,442 | 6,902 | ||||
* | Nabors Industries Ltd. | 41,662 | 6,262 | |||
* | Helix Energy Solutions Group Inc. | 665,333 | 5,509 | |||
* | Dril-Quip Inc. | 158,193 | 5,418 | |||
* | Talos Energy Inc. | 303,833 | 5,411 | |||
Core Laboratories NV | 216,093 | 5,158 | ||||
Comstock Resources Inc. | 424,698 | 5,156 | ||||
* | US Silica Holdings Inc. | 353,465 | 4,291 | |||
* | Vital Energy Inc. | 78,301 | 4,024 | |||
* | ProPetro Holding Corp. | 448,050 | 3,947 |
Shares | Market Value• ($000) | |||||
Ranger Oil Corp. | 89,042 | 3,695 | ||||
RPC Inc. | 389,162 | 3,413 | ||||
Dorian LPG Ltd. | 148,962 | 3,270 | ||||
* | Bristow Group Inc. Class A | 109,965 | 2,995 | |||
* | Oil States International Inc. | 298,091 | 2,722 | |||
* | REX American Resources Corp. | 72,422 | 2,391 | |||
* | DMC Global Inc. | 86,420 | 2,313 | |||
203,184 | ||||||
Financials (17.6%) | ||||||
Assured Guaranty Ltd. | 279,693 | 17,456 | ||||
Independent Bank Corp. | 212,916 | 16,965 | ||||
ServisFirst Bancshares Inc. | 228,068 | 16,866 | ||||
United Community Banks Inc. | 495,350 | 16,401 | ||||
First Hawaiian Inc. | 595,566 | 16,289 | ||||
Community Bank System Inc. | 250,679 | 15,304 | ||||
* | Mr Cooper Group Inc. | 329,120 | 15,281 | |||
CVB Financial Corp. | 613,131 | 14,672 | ||||
Ameris Bancorp | 304,138 | 14,559 | ||||
* | Genworth Financial Inc. Class A | 2,316,024 | 14,429 | |||
Pacific Premier Bancorp Inc. | 443,361 | 14,374 | ||||
WSFS Financial Corp. | 287,281 | 14,338 | ||||
American Equity Investment Life Holding Co. | 323,789 | 13,486 | ||||
Simmons First National Corp. Class A | 592,351 | 13,168 | ||||
BankUnited Inc. | 360,487 | 12,768 | ||||
First Bancorp | 861,447 | 12,500 | ||||
Walker & Dunlop Inc. | 143,223 | 12,493 | ||||
* | Axos Financial Inc. | 249,144 | 11,807 | |||
Seacoast Banking Corp. of Florida | 385,544 | 11,763 | ||||
First Financial Bancorp | 442,644 | 10,907 | ||||
Banner Corp. | 159,631 | 10,054 | ||||
Piper Sandler Cos. | 65,963 | 9,960 | ||||
* | Trupanion Inc. | 164,125 | 9,746 | |||
Independent Bank Group Inc. | 165,360 | 9,733 | ||||
Bread Financial Holdings Inc. | 232,676 | 9,556 | ||||
Renasant Corp. | 261,209 | 9,398 | ||||
* | NMI Holdings Inc. Class A | 390,202 | 9,107 | |||
* | Bancorp Inc. | 261,354 | 9,040 | |||
Park National Corp. | 67,417 | 8,614 | ||||
Lakeland Financial Corp. | 118,068 | 8,456 | ||||
Trustmark Corp. | 283,897 | 8,347 | ||||
Provident Financial Services Inc. | 351,432 | 8,206 | ||||
Northwest Bancshares Inc. | 592,987 | 8,195 | ||||
NBT Bancorp Inc. | 199,529 | 8,099 | ||||
* | StoneX Group Inc. | 80,208 | 8,087 |
Shares | Market Value• ($000) | |||||
* | PRA Group Inc. | 182,012 | 7,746 | |||
Two Harbors Investment Corp. | 450,140 | 7,459 | ||||
BancFirst Corp. | 81,141 | 7,323 | ||||
* | Enova International Inc. | 146,920 | 7,162 | |||
Hope Bancorp Inc. | 556,458 | 7,128 | ||||
National Bank Holdings Corp. Class A | 175,494 | 7,106 | ||||
Hilltop Holdings Inc. | 213,580 | 7,084 | ||||
* | Palomar Holdings Inc. | 117,508 | 7,050 | |||
Horace Mann Educators Corp. | 190,473 | 7,040 | ||||
First Commonwealth Financial Corp. | 434,883 | 6,962 | ||||
Apollo Commercial Real Estate Finance Inc. | 604,138 | 6,942 | ||||
Westamerica Bancorp | 125,316 | 6,907 | ||||
First Bancorp (XNGS) | 166,315 | 6,900 | ||||
Pathward Financial Inc. | 134,063 | 6,839 | ||||
City Holding Co. | 69,195 | 6,795 | ||||
S&T Bancorp Inc. | 181,690 | 6,770 | ||||
OFG Bancorp | 221,581 | 6,740 | ||||
Veritex Holdings Inc. | 251,487 | 6,705 | ||||
Virtus Investment Partners Inc. | 31,652 | 6,660 | ||||
Eagle Bancorp Inc. | 148,637 | 6,512 | ||||
* | Triumph Financial Inc. | 105,695 | 6,432 | |||
FB Financial Corp. | 163,934 | 6,179 | ||||
Berkshire Hills Bancorp Inc. | 209,675 | 6,093 | ||||
Stellar Bancorp Inc. | 207,020 | 6,055 | ||||
* | PROG Holdings Inc. | 233,131 | 5,763 | |||
Employers Holdings Inc. | 126,755 | 5,629 | ||||
* | Encore Capital Group Inc. | 108,886 | 5,627 | |||
Safety Insurance Group Inc. | 68,665 | 5,541 | ||||
Southside Bancshares Inc. | 142,138 | 5,428 | ||||
PennyMac Mortgage Investment Trust | 415,565 | 5,415 | ||||
Franklin BSP Realty Trust Inc. | 384,218 | 5,383 | ||||
Stewart Information Services Corp. | 126,315 | 5,367 | ||||
*,1 | Avantax Inc. | 186,725 | 5,338 | |||
Brookline Bancorp Inc. | 410,559 | 5,321 | ||||
Ready Capital Corp. | 459,622 | 5,175 | ||||
Capitol Federal Financial Inc. | 601,201 | 5,044 | ||||
ProAssurance Corp. | 251,285 | 4,998 | ||||
* | Donnelley Financial Solutions Inc. | 116,609 | 4,934 | |||
AMERISAFE Inc. | 89,219 | 4,866 | ||||
Dime Community Bancshares Inc. | 151,237 | 4,634 | ||||
New York Mortgage Trust Inc. | 1,728,967 | 4,616 | ||||
Banc of California Inc. | 260,949 | 4,580 |
Shares | Market Value• ($000) | |||||
Heritage Financial Corp. | 163,476 | 4,556 | ||||
Tompkins Financial Corp. | 59,109 | 4,421 | ||||
* | Customers Bancorp Inc. | 142,309 | 4,383 | |||
Preferred Bank | 61,516 | 4,331 | ||||
Mercury General Corp. | 123,746 | 4,214 | ||||
James River Group Holdings Ltd. | 174,433 | 4,204 | ||||
* | Green Dot Corp. Class A | 217,794 | 4,123 | |||
Redwood Trust Inc. | 527,594 | 4,015 | ||||
KKR Real Estate Finance Trust Inc. | 267,097 | 3,873 | ||||
Brightsphere Investment Group Inc. | 150,937 | 3,784 | ||||
* | Ambac Financial Group Inc. | 209,448 | 3,466 | |||
Ellington Financial Inc. | 267,072 | 3,437 | ||||
Hanmi Financial Corp. | 141,995 | 3,354 | ||||
ARMOUR Residential REIT Inc. | 615,322 | 3,341 | ||||
TrustCo Bank Corp. | 88,709 | 3,323 | ||||
WisdomTree Inc. | 518,469 | 3,095 | ||||
1 | B. Riley Financial Inc. | 74,628 | 2,969 | |||
United Fire Group Inc. | 101,328 | 2,892 | ||||
Northfield Bancorp Inc. | 195,845 | 2,881 | ||||
Central Pacific Financial Corp. | 126,813 | 2,844 | ||||
* | SiriusPoint Ltd. | 397,564 | 2,823 | |||
Universal Insurance Holdings Inc. | 128,382 | 2,482 | ||||
* | EZCORP Inc. Class A | 251,011 | 2,214 | |||
HomeStreet Inc. | 82,969 | 2,093 | ||||
Invesco Mortgage Capital Inc. | 165,006 | 2,067 | ||||
HCI Group Inc. | 32,418 | 1,702 | ||||
* | LendingTree Inc. | 50,733 | 1,671 | |||
Granite Point Mortgage Trust Inc. | 244,959 | 1,467 | ||||
* | World Acceptance Corp. | 15,484 | 1,446 | |||
770,143 | ||||||
Health Care (10.6%) | ||||||
Ensign Group Inc. | 258,819 | 23,159 | ||||
* | Cytokinetics Inc. | 441,493 | 19,143 | |||
* | Merit Medical Systems Inc. | 265,484 | 18,738 | |||
* | AMN Healthcare Services Inc. | 202,126 | 18,193 | |||
* | Prestige Consumer Healthcare Inc. | 231,082 | 13,923 | |||
CONMED Corp. | 142,207 | 13,679 | ||||
Select Medical Holdings Corp. | 485,860 | 13,210 | ||||
* | Integer Holdings Corp. | 154,550 | 11,588 | |||
* | NuVasive Inc. | 244,155 | 10,555 | |||
* | Glaukos Corp. | 222,567 | 10,512 | |||
* | NeoGenomics Inc. | 588,199 | 9,911 | |||
* | Supernus Pharmaceuticals Inc. | 252,322 | 9,485 | |||
* | Corcept Therapeutics Inc. | 447,107 | 9,313 |
Shares | Market Value• ($000) | |||||
* | Pacira BioSciences Inc. | 214,174 | 9,117 | |||
* | Xencor Inc. | 279,759 | 8,989 | |||
Embecta Corp. | 270,076 | 8,629 | ||||
* | Veradigm Inc. | 510,018 | 8,471 | |||
* | Addus HomeCare Corp. | 75,017 | 8,150 | |||
* | Vir Biotechnology Inc. | 354,186 | 8,075 | |||
* | CorVel Corp. | 42,735 | 7,704 | |||
* | Myriad Genetics Inc. | 377,369 | 7,140 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 621,329 | 7,002 | |||
* | Catalyst Pharmaceuticals Inc. | 445,888 | 6,804 | |||
* | Vericel Corp. | 219,915 | 6,688 | |||
* | Apollo Medical Holdings Inc. | 184,905 | 6,453 | |||
US Physical Therapy Inc. | 60,541 | 6,135 | ||||
* | Harmony Biosciences Holdings Inc. | 138,106 | 6,081 | |||
* | Avanos Medical Inc. | 216,406 | 6,074 | |||
* | Pediatrix Medical Group Inc. | 381,465 | 6,004 | |||
* | ModivCare Inc. | 59,259 | 5,819 | |||
* | AdaptHealth Corp. Class A | 357,645 | 5,719 | |||
* | Dynavax Technologies Corp. | 552,518 | 5,691 | |||
* | Amphastar Pharmaceuticals Inc. | 175,667 | 5,597 | |||
* | Owens & Minor Inc. | 355,992 | 5,457 | |||
* | Ligand Pharmaceuticals Inc. | 74,822 | 5,398 | |||
* | RadNet Inc. | 227,020 | 5,354 | |||
* | Avid Bioservices Inc. | 289,463 | 4,765 | |||
* | NextGen Healthcare Inc. | 254,893 | 4,616 | |||
LeMaitre Vascular Inc. | 90,093 | 4,515 | ||||
* | Arcus Biosciences Inc. | 243,054 | 4,426 | |||
* | Enanta Pharmaceuticals Inc. | 90,879 | 4,408 | |||
* | Cross Country Healthcare Inc. | 165,267 | 4,371 | |||
* | Collegium Pharmaceutical Inc. | 156,679 | 4,157 | |||
Mesa Laboratories Inc. | 23,361 | 4,124 | ||||
* | uniQure NV | 191,823 | 4,021 | |||
* | REGENXBIO Inc. | 176,032 | 3,917 | |||
* | Heska Corp. | 47,492 | 3,867 | |||
* | Cardiovascular Systems Inc. | 195,235 | 3,848 | |||
* | BioLife Solutions Inc. | 159,482 | 3,710 | |||
* | Enhabit Inc. | 231,043 | 3,546 | |||
* | Community Health Systems Inc. | 583,353 | 3,535 | |||
* | Innoviva Inc. | 292,351 | 3,529 | |||
* | Varex Imaging Corp. | 185,646 | 3,284 | |||
* | Orthofix Medical Inc. | 156,908 | 3,232 | |||
* | Fulgent Genetics Inc. | 91,819 | 3,011 | |||
* | Agiliti Inc. | 156,112 | 2,975 |
Shares | Market Value• ($000) | |||||
* | HealthStream Inc. | 112,283 | 2,880 | |||
Simulations Plus Inc. | 74,877 | 2,848 | ||||
* | Cutera Inc. | 83,133 | 2,696 | |||
* | Emergent BioSolutions Inc. | 206,697 | 2,559 | |||
* | Artivion Inc. | 188,078 | 2,490 | |||
* | ANI Pharmaceuticals Inc. | 56,987 | 2,384 | |||
* | AngioDynamics Inc. | 182,194 | 2,256 | |||
* | Anika Therapeutics Inc. | 68,175 | 2,161 | |||
* | Cara Therapeutics Inc. | 210,409 | 2,138 | |||
* | OraSure Technologies Inc. | 338,436 | 2,135 | |||
* | iTeos Therapeutics Inc. | 114,674 | 2,031 | |||
* | Coherus Biosciences Inc. | 299,676 | 2,029 | |||
* | Computer Programs & Systems Inc. | 66,506 | 1,996 | |||
* | Pennant Group Inc. | 131,873 | 1,981 | |||
* | Vanda Pharmaceuticals Inc. | 263,795 | 1,699 | |||
* | Inogen Inc. | 106,714 | 1,672 | |||
Phibro Animal Health Corp. Class A | 95,237 | 1,496 | ||||
* | OptimizeRx Corp. | 80,502 | 1,437 | |||
* | Surmodics Inc. | 65,508 | 1,431 | |||
* | Eagle Pharmaceuticals Inc. | 48,776 | 1,366 | |||
*,1 | Zynex Inc. | 100,382 | 1,297 | |||
* | Nektar Therapeutics Class A | 879,068 | 1,213 | |||
* | Zimvie Inc. | 96,641 | 1,100 | |||
* | Organogenesis Holdings Inc. Class A | 326,306 | 799 | |||
*,2 | Lantheus Holdings Inc. CVR | 276,566 | — | |||
*,2 | OmniAb Inc. 12.5 Earnout | 27,888 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 27,888 | — | |||
461,911 | ||||||
Industrials (17.5%) | ||||||
Applied Industrial Technologies Inc. | 179,891 | 25,699 | ||||
Exponent Inc. | 236,155 | 24,300 | ||||
Comfort Systems USA Inc. | 166,810 | 24,261 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 353,057 | 19,891 | |||
Mueller Industries Inc. | 265,184 | 19,616 | ||||
AAON Inc. | 196,014 | 17,829 | ||||
Franklin Electric Co. Inc. | 181,482 | 17,344 | ||||
Encore Wire Corp. | 85,565 | 16,515 | ||||
John Bean Technologies Corp. | 148,618 | 16,480 | ||||
Hillenbrand Inc. | 324,009 | 15,274 | ||||
ABM Industries Inc. | 308,576 | 14,938 | ||||
Federal Signal Corp. | 282,951 | 14,931 | ||||
* | SPX Technologies Inc. | 210,881 | 14,854 | |||
Albany International Corp. Class A | 145,084 | 14,642 | ||||
* | Hub Group Inc. Class A | 152,305 | 13,971 | |||
Korn Ferry | 249,001 | 13,917 | ||||
UniFirst Corp. | 70,335 | 13,795 | ||||
Arcosa Inc. | 225,590 | 13,671 |
Shares | Market Value• ($000) | |||||
Moog Inc. Class A | 135,134 | 13,327 | ||||
Forward Air Corp. | 124,032 | 12,801 | ||||
Boise Cascade Co. | 184,022 | 12,718 | ||||
* | Resideo Technologies Inc. | 680,310 | 12,477 | |||
* | Atlas Air Worldwide Holdings Inc. | 120,279 | 12,125 | |||
* | GMS Inc. | 197,887 | 12,014 | |||
Brady Corp. Class A | 216,455 | 11,940 | ||||
Matson Inc. | 176,290 | 11,725 | ||||
ESCO Technologies Inc. | 120,665 | 11,245 | ||||
* | RXO Inc. | 537,146 | 11,049 | |||
ArcBest Corp. | 113,938 | 10,961 | ||||
Trinity Industries Inc. | 379,918 | 10,603 | ||||
EnPro Industries Inc. | 97,077 | 10,436 | ||||
* | AeroVironment Inc. | 116,637 | 10,000 | |||
Barnes Group Inc. | 235,994 | 9,945 | ||||
Veritiv Corp. | 62,791 | 9,509 | ||||
* | MYR Group Inc. | 77,321 | 9,326 | |||
Granite Construction Inc. | 204,181 | 8,821 | ||||
Alamo Group Inc. | 47,924 | 8,741 | ||||
* | AAR Corp. | 155,229 | 8,443 | |||
MillerKnoll Inc. | 352,824 | 8,422 | ||||
Griffon Corp. | 221,105 | 8,064 | ||||
Lindsay Corp. | 51,277 | 7,717 | ||||
* | Gibraltar Industries Inc. | 144,213 | 7,702 | |||
* | Allegiant Travel Co. | 73,041 | 7,490 | |||
* | KAR Auction Services Inc. | 507,194 | 7,248 | |||
Enerpac Tool Group Corp. Class A | 264,871 | 7,133 | ||||
* | NOW Inc. | 514,361 | 6,609 | |||
Standex International Corp. | 55,821 | 6,457 | ||||
Tennant Co. | 86,607 | 6,133 | ||||
Wabash National Corp. | 223,267 | 6,117 | ||||
* | NV5 Global Inc. | 57,970 | 6,100 | |||
HNI Corp. | 192,643 | 6,020 | ||||
* | 3D Systems Corp. | 610,765 | 5,979 | |||
Marten Transport Ltd. | 268,188 | 5,919 | ||||
* | PGT Innovations Inc. | 279,336 | 5,908 | |||
* | Masterbrand Inc. | 606,240 | 5,905 | |||
Matthews International Corp. Class A | 142,662 | 5,444 | ||||
* | CoreCivic Inc. | 535,484 | 5,200 | |||
* | GEO Group Inc. | 578,171 | 5,065 | |||
Greenbrier Cos. Inc. | 152,653 | 4,902 | ||||
Astec Industries Inc. | 105,958 | 4,771 | ||||
Apogee Enterprises Inc. | 103,360 | 4,730 | ||||
AZZ Inc. | 115,960 | 4,714 | ||||
Healthcare Services Group Inc. | 345,695 | 4,587 | ||||
* | SkyWest Inc. | 235,921 | 4,499 | |||
Quanex Building Products Corp. | 154,179 | 4,001 | ||||
* | Proto Labs Inc. | 126,243 | 3,969 | |||
* | American Woodmark Corp. | 77,370 | 3,944 | |||
* | Triumph Group Inc. | 302,683 | 3,820 | |||
Deluxe Corp. | 200,851 | 3,704 |
Shares | Market Value• ($000) | |||||
Heartland Express Inc. | 216,981 | 3,500 | ||||
Kaman Corp. | 130,996 | 3,406 | ||||
Pitney Bowes Inc. | 753,573 | 3,270 | ||||
Heidrick & Struggles International Inc. | 92,859 | 3,188 | ||||
* | Harsco Corp. | 370,048 | 3,131 | |||
* | Sun Country Airlines Holdings Inc. | 151,961 | 3,047 | |||
* | Titan International Inc. | 237,065 | 2,942 | |||
* | TrueBlue Inc. | 152,067 | 2,844 | |||
* | CIRCOR International Inc. | 95,161 | 2,785 | |||
Insteel Industries Inc. | 90,991 | 2,707 | ||||
Kelly Services Inc. Class A | 161,430 | 2,701 | ||||
Resources Connection Inc. | 149,026 | 2,691 | ||||
* | Hawaiian Holdings Inc. | 239,473 | 2,682 | |||
* | Viad Corp. | 96,765 | 2,488 | |||
Interface Inc. Class A | 270,907 | 2,389 | ||||
* | DXP Enterprises Inc. | 73,217 | 2,117 | |||
Powell Industries Inc. | 42,429 | 1,882 | ||||
* | Forrester Research Inc. | 52,391 | 1,723 | |||
National Presto Industries Inc. | 23,776 | 1,632 | ||||
* | Liquidity Services Inc. | 126,525 | 1,602 | |||
Park Aerospace Corp. | 90,268 | 1,482 | ||||
762,616 | ||||||
Information Technology (13.6%) | ||||||
* | SPS Commerce Inc. | 168,149 | 25,330 | |||
* | Rambus Inc. | 501,237 | 22,170 | |||
* | Fabrinet | 170,677 | 20,800 | |||
* | Axcelis Technologies Inc. | 153,223 | 19,695 | |||
* | Diodes Inc. | 211,981 | 19,437 | |||
* | Onto Innovation Inc. | 230,906 | 19,043 | |||
* | Insight Enterprises Inc. | 141,308 | 18,924 | |||
Badger Meter Inc. | 136,541 | 16,606 | ||||
Advanced Energy Industries Inc. | 174,415 | 16,235 | ||||
* | Sanmina Corp. | 267,903 | 16,197 | |||
Kulicke & Soffa Industries Inc. | 270,791 | 14,433 | ||||
* | Rogers Corp. | 87,750 | 12,917 | |||
* | Plexus Corp. | 129,132 | 12,382 | |||
* | Alarm.com Holdings Inc. | 232,871 | 11,837 | |||
* | Itron Inc. | 210,829 | 11,758 | |||
* | Viavi Solutions Inc. | 1,056,349 | 11,556 | |||
* | MaxLinear Inc. Class A | 337,123 | 11,533 | |||
Progress Software Corp. | 200,652 | 11,525 | ||||
* | Extreme Networks Inc. | 613,023 | 11,476 | |||
* | Perficient Inc. | 161,550 | 11,438 | |||
* | Verra Mobility Corp. Class A | 651,803 | 11,231 | |||
EVERTEC Inc. | 304,278 | 11,200 | ||||
* | FormFactor Inc. | 359,413 | 10,818 | |||
InterDigital Inc. | 125,576 | 9,166 | ||||
* | Semtech Corp. | 297,492 | 9,166 | |||
* | NetScout Systems Inc. | 320,342 | 9,111 | |||
* | DoubleVerify Holdings Inc. | 345,505 | 9,076 |
Shares | Market Value• ($000) | |||||
Methode Electronics Inc. | 170,775 | 8,322 | ||||
* | Cohu Inc. | 222,356 | 8,272 | |||
CSG Systems International Inc. | 141,172 | 7,934 | ||||
* | Sabre Corp. | 1,532,220 | 7,753 | |||
* | Agilysys Inc. | 92,215 | 7,369 | |||
* | LiveRamp Holdings Inc. | 309,538 | 7,314 | |||
* | Knowles Corp. | 424,595 | 7,210 | |||
* | ePlus Inc. | 125,298 | 6,787 | |||
* | Ultra Clean Holdings Inc. | 212,406 | 6,767 | |||
* | OSI Systems Inc. | 72,994 | 6,756 | |||
* | Harmonic Inc. | 490,996 | 6,476 | |||
CTS Corp. | 148,457 | 6,430 | ||||
* | TTM Technologies Inc. | 475,961 | 6,326 | |||
ADTRAN Holdings Inc. | 329,053 | 5,742 | ||||
* | Digi International Inc. | 164,347 | 5,484 | |||
* | Payoneer Global Inc. | 931,820 | 5,405 | |||
* | PDF Solutions Inc. | 137,680 | 5,155 | |||
* | Veeco Instruments Inc. | 239,230 | 5,088 | |||
* | Photronics Inc. | 287,140 | 5,059 | |||
* | Cerence Inc. | 183,675 | 5,029 | |||
Adeia Inc. | 494,623 | 4,877 | ||||
A10 Networks Inc. | 298,067 | 4,537 | ||||
* | Digital Turbine Inc. | 419,576 | 4,506 | |||
* | Avid Technology Inc. | 154,865 | 4,500 | |||
* | Ichor Holdings Ltd. | 134,282 | 4,425 | |||
Benchmark Electronics Inc. | 163,790 | 3,897 | ||||
* | SMART Global Holdings Inc. | 226,213 | 3,778 | |||
* | ScanSource Inc. | 117,565 | 3,666 | |||
TTEC Holdings Inc. | 87,956 | 3,541 | ||||
* | CEVA Inc. | 107,893 | 3,405 | |||
* | Consensus Cloud Solutions Inc. | 82,310 | 3,378 | |||
* | Clearfield Inc. | 53,248 | 3,338 | |||
* | LivePerson Inc. | 326,247 | 3,302 | |||
* | Corsair Gaming Inc. | 178,772 | 3,128 | |||
* | 8x8 Inc. | 519,995 | 2,766 | |||
* | Alpha & Omega Semiconductor Ltd. | 103,343 | 2,760 | |||
* | NETGEAR Inc. | 134,680 | 2,438 | |||
* | FARO Technologies Inc. | 87,611 | 2,383 | |||
PC Connection Inc. | 52,677 | 2,307 | ||||
* | OneSpan Inc. | 164,130 | 2,219 | |||
* | Xperi Inc. | 189,611 | 2,217 | |||
Comtech Telecommunications Corp. | 129,290 | 2,067 | ||||
Ebix Inc. | 109,635 | 1,905 | ||||
* | Unisys Corp. | 315,082 | 1,569 | |||
* | Arlo Technologies Inc. | 411,821 | 1,565 | |||
594,212 | ||||||
Materials (5.9%) | ||||||
* | ATI Inc. | 603,655 | 24,539 | |||
* | Livent Corp. | 836,642 | 19,619 | |||
Balchem Corp. | 149,858 | 19,481 |
Shares | Market Value• ($000) | |||||
HB Fuller Co. | 248,643 | 17,345 | ||||
* | O-I Glass Inc. | 723,574 | 16,078 | |||
Innospec Inc. | 115,535 | 12,646 | ||||
* | Arconic Corp. | 473,557 | 12,521 | |||
Quaker Chemical Corp. | 63,582 | 12,448 | ||||
Carpenter Technology Corp. | 226,047 | 10,925 | ||||
Materion Corp. | 95,591 | 10,676 | ||||
Stepan Co. | 98,536 | 10,257 | ||||
Warrior Met Coal Inc. | 241,132 | 9,228 | ||||
Minerals Technologies Inc. | 151,467 | 9,202 | ||||
Sylvamo Corp. | 154,030 | 7,598 | ||||
Mativ Holdings Inc. | 255,852 | 6,629 | ||||
Compass Minerals International Inc. | 158,450 | 6,105 | ||||
Kaiser Aluminum Corp. | 74,228 | 5,888 | ||||
AdvanSix Inc. | 128,429 | 5,285 | ||||
Myers Industries Inc. | 170,541 | 4,407 | ||||
Trinseo plc | 162,836 | 3,774 | ||||
SunCoke Energy Inc. | 388,128 | 3,691 | ||||
Hawkins Inc. | 88,082 | 3,582 | ||||
Koppers Holdings Inc. | 97,398 | 3,496 | ||||
* | TimkenSteel Corp. | 184,261 | 3,370 | |||
Haynes International Inc. | 58,152 | 3,181 | ||||
* | Clearwater Paper Corp. | 77,967 | 3,009 | |||
* | Century Aluminum Co. | 239,168 | 2,887 | |||
American Vanguard Corp. | 129,475 | 2,702 | ||||
* | Rayonier Advanced Materials Inc. | 298,682 | 2,449 | |||
Olympic Steel Inc. | 44,800 | 2,352 | ||||
Mercer International Inc. | 188,562 | 2,033 | ||||
Tredegar Corp. | 116,865 | 1,358 | ||||
FutureFuel Corp. | 119,338 | 1,044 | ||||
259,805 | ||||||
Real Estate (6.9%) | ||||||
Essential Properties Realty Trust Inc. | 664,049 | 17,106 | ||||
LXP Industrial Trust | 1,286,046 | 13,413 | ||||
Outfront Media Inc. | 681,512 | 11,892 | ||||
Innovative Industrial Properties Inc. | 130,525 | 11,540 | ||||
SITE Centers Corp. | 862,645 | 11,534 | ||||
Four Corners Property Trust Inc. | 391,544 | 10,630 | ||||
Sunstone Hotel Investors Inc. | 981,965 | 10,379 | ||||
* | Cushman & Wakefield plc | 761,283 | 9,851 | |||
Tanger Factory Outlet Centers Inc. | 486,007 | 9,181 | ||||
CareTrust REIT Inc. | 453,031 | 8,911 | ||||
DiamondRock Hospitality Co. | 975,138 | 8,503 | ||||
Service Properties Trust | 770,584 | 8,461 | ||||
Urban Edge Properties | 548,323 | 8,444 | ||||
Retail Opportunity Investments Corp. | 581,480 | 8,275 |
Shares | Market Value• ($000) | |||||
Elme Communities | 407,613 | 7,586 | ||||
Xenia Hotels & Resorts Inc. | 530,228 | 7,444 | ||||
Global Net Lease Inc. | 483,440 | 6,826 | ||||
Getty Realty Corp. | 198,112 | 6,801 | ||||
LTC Properties Inc. | 189,257 | 6,779 | ||||
St. Joe Co. | 157,467 | 6,744 | ||||
Acadia Realty Trust | 442,198 | 6,443 | ||||
Easterly Government Properties Inc. Class A | 422,634 | 6,382 | ||||
Alexander & Baldwin Inc. | 337,954 | 6,310 | ||||
American Assets Trust Inc. | 242,456 | 6,117 | ||||
Uniti Group Inc. | 1,104,565 | 6,064 | ||||
* | Veris Residential Inc. | 369,022 | 5,956 | |||
Hudson Pacific Properties Inc. | 597,078 | 5,511 | ||||
NexPoint Residential Trust Inc. | 105,975 | 5,132 | ||||
Brandywine Realty Trust | 798,667 | 4,704 | ||||
Centerspace | 70,162 | 4,393 | ||||
RPT Realty | 397,057 | 4,256 | ||||
Community Healthcare Trust Inc. | 109,748 | 4,252 | ||||
Armada Hoffler Properties Inc. | 315,593 | 4,046 | ||||
Marcus & Millichap Inc. | 115,299 | 3,963 | ||||
Office Properties Income Trust | 226,941 | 3,731 | ||||
Summit Hotel Properties Inc. | 499,333 | 3,695 | ||||
Safehold Inc. | 112,942 | 3,375 | ||||
Universal Health Realty Income Trust | 59,435 | 3,151 | ||||
iStar Inc. | 403,635 | 3,108 | ||||
* | Anywhere Real Estate Inc. | 509,399 | 2,949 | |||
Chatham Lodging Trust | 227,746 | 2,781 | ||||
Urstadt Biddle Properties Inc. Class A | 139,167 | 2,408 | ||||
Saul Centers Inc. | 60,238 | 2,369 | ||||
Orion Office REIT Inc. | 264,645 | 2,265 | ||||
Whitestone REIT | 216,623 | 2,047 | ||||
RE/MAX Holdings Inc. Class A | 85,289 | 1,577 | ||||
Douglas Elliman Inc. | 314,392 | 1,327 | ||||
Hersha Hospitality Trust Class A | 154,557 | 1,292 | ||||
Industrial Logistics Properties Trust | 307,243 | 1,260 | ||||
Franklin Street Properties Corp. | 432,196 | 1,046 | ||||
302,210 | ||||||
Utilities (2.2%) | ||||||
American States Water Co. | 172,258 | 15,383 | ||||
California Water Service Group | 255,510 | 14,625 | ||||
Avista Corp. | 344,074 | 14,148 | ||||
Otter Tail Corp. | 193,539 | 13,720 |
Shares | Market Value• ($000) | |||||
Chesapeake Utilities Corp. | 82,809 | 10,607 | ||||
SJW Group | 124,942 | 9,551 | ||||
Northwest Natural Holding Co. | 163,452 | 7,901 | ||||
Middlesex Water Co. | 82,295 | 6,296 | ||||
Unitil Corp. | 74,686 | 4,057 | ||||
96,288 | ||||||
Total Common Stocks (Cost $4,225,928) | 4,362,705 | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 4.640% (Cost $6,377) | 63,790 | 6,379 | |||
Total Investments (100.0%) (Cost $4,232,305) | 4,369,084 | |||||
Other Assets and Liabilities—Net (0.0%) | (1,907) | |||||
Net Assets (100%) | 4,367,177 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,947,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $6,366,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 39 | 3,703 | (70) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $4,225,928) | 4,362,705 |
Affiliated Issuers (Cost $6,377) | 6,379 |
Total Investments in Securities | 4,369,084 |
Investment in Vanguard | 155 |
Cash | 2,027 |
Cash Collateral Pledged—Futures Contracts | 230 |
Receivables for Investment Securities Sold | 11,945 |
Receivables for Accrued Income | 3,195 |
Receivables for Capital Shares Issued | 1,267 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 4,387,903 |
Liabilities | |
Payables for Investment Securities Purchased | 14,114 |
Collateral for Securities on Loan | 6,366 |
Payables for Capital Shares Redeemed | 103 |
Payables to Vanguard | 143 |
Total Liabilities | 20,726 |
Net Assets | 4,367,177 |
1 Includes $5,947,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 4,404,500 |
Total Distributable Earnings (Loss) | (37,323) |
Net Assets | 4,367,177 |
ETF Shares—Net Assets2 | |
Applicable to 25,250,074 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,367,265 |
Net Asset Value Per Share—ETF Shares | $93.75 |
Institutional Shares—Net Assets | |
Applicable to 5,302,765 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,999,912 |
Net Asset Value Per Share—Institutional Shares | $377.15 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 30,794 |
Interest2 | 33 |
Securities Lending—Net | 223 |
Total Income | 31,050 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 48 |
Management and Administrative—ETF Shares | 887 |
Management and Administrative—Institutional Shares | 652 |
Marketing and Distribution—ETF Shares | 63 |
Marketing and Distribution—Institutional Shares | 36 |
Custodian Fees | 87 |
Shareholders’ Reports—ETF Shares | 41 |
Shareholders’ Reports—Institutional Shares | 19 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 1,840 |
Net Investment Income | 29,210 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 10,252 |
Futures Contracts | (142) |
Realized Net Gain (Loss) | 10,110 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 218,789 |
Futures Contracts | 171 |
Change in Unrealized Appreciation (Depreciation) | 218,960 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 258,280 |
1 | Dividends are net of foreign withholding taxes of $32,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $94,986,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 29,210 | 51,655 | |
Realized Net Gain (Loss) | 10,110 | 269,098 | |
Change in Unrealized Appreciation (Depreciation) | 218,960 | (812,390) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 258,280 | (491,637) | |
Distributions | |||
ETF Shares | (32,040) | (22,040) | |
Institutional Shares | (27,853) | (23,304) | |
Total Distributions | (59,893) | (45,344) | |
Capital Share Transactions | |||
ETF Shares | 231,898 | 476,073 | |
Institutional Shares | (86,403) | 426,601 | |
Net Increase (Decrease) from Capital Share Transactions | 145,495 | 902,674 | |
Total Increase (Decrease) | 343,882 | 365,693 | |
Net Assets | |||
Beginning of Period | 4,023,295 | 3,657,602 | |
End of Period | 4,367,177 | 4,023,295 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $89.49 | $103.20 | $67.80 | $69.05 | $82.34 | $62.92 |
Investment Operations | ||||||
Net Investment Income2 | .631 | 1.273 | 1.143 | .973 | .971 | .892 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.940 | (13.765) | 35.170 | (1.180) | (13.429) | 19.299 |
Total from Investment Operations | 5.571 | (12.492) | 36.313 | (.207) | (12.458) | 20.191 |
Distributions | ||||||
Dividends from Net Investment Income | (1.311) | (1.218) | (.913) | (1.043) | (.832) | (.771) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.311) | (1.218) | (.913) | (1.043) | (.832) | (.771) |
Net Asset Value, End of Period | $93.75 | $89.49 | $103.20 | $67.80 | $69.05 | $82.34 |
Total Return | 6.36% | -12.26% | 53.88% | -0.43% | -15.09% | 32.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,367 | $2,027 | $1,806 | $987 | $991 | $1,107 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.31% | 1.25% | 1.46% | 1.36% | 1.23% |
Portfolio Turnover Rate4 | 8% | 12% | 18% | 15% | 9% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from was 0.10%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 | $252.98 |
Investment Operations | ||||||
Net Investment Income1 | 2.606 | 5.226 | 4.566 | 3.951 | 3.941 | 3.769 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.856 | (55.426) | 141.589 | (4.694) | (54.011) | 77.632 |
Total from Investment Operations | 22.462 | (50.200) | 146.155 | (.743) | (50.070) | 81.401 |
Distributions | ||||||
Dividends from Net Investment Income | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Net Asset Value, End of Period | $377.15 | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 |
Total Return | 6.38% | -12.21% | 53.93% | -0.41% | -15.09% | 32.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,000 | $1,996 | $1,852 | $1,377 | $1,186 | $1,019 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.53% | 1.34% | 1.26% | 1.47% | 1.38% | 1.30% |
Portfolio Turnover Rate3 | 8% | 12% | 18% | 15% | 9% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from 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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 4,362,705 | — | — | 4,362,705 |
Temporary Cash Investments | 6,379 | — | — | 6,379 |
Total | 4,369,084 | — | — | 4,369,084 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 70 | — | — | 70 |
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. |
Amount ($000) | |
Tax Cost | 4,245,442 |
Gross Unrealized Appreciation | 707,072 |
Gross Unrealized Depreciation | (583,500) |
Net Unrealized Appreciation (Depreciation) | 123,572 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 524,269 | 5,850 | 1,313,147 | 13,800 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (292,371) | (3,250) | (837,074) | (8,650) | |
Net Increase (Decrease)—ETF Shares | 231,898 | 2,600 | 476,073 | 5,150 | |
Institutional Shares | |||||
Issued | 96,210 | 266 | 614,744 | 1,573 | |
Issued in Lieu of Cash Distributions | 24,779 | 72 | 20,984 | 53 | |
Redeemed | (207,392) | (580) | (209,127) | (541) | |
Net Increase (Decrease)—Institutional Shares | (86,403) | (242) | 426,601 | 1,085 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 2.6% |
Consumer Discretionary | 18.6 |
Consumer Staples | 4.5 |
Energy | 3.8 |
Financials | 19.1 |
Health Care | 8.3 |
Industrials | 16.5 |
Information Technology | 8.6 |
Materials | 5.5 |
Real Estate | 10.7 |
Utilities | 1.8 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (2.6%) | ||||||
* | Cinemark Holdings Inc. | 336,313 | 4,577 | |||
Scholastic Corp. | 92,986 | 4,241 | ||||
Telephone & Data Systems Inc. | 313,382 | 3,977 | ||||
Cogent Communications Holdings Inc. | 55,004 | 3,561 | ||||
Shenandoah Telecommunications Co. | 157,015 | 3,065 | ||||
Shutterstock Inc. | 39,133 | 2,944 | ||||
* | Yelp Inc. Class A | 91,544 | 2,748 | |||
* | Thryv Holdings Inc. | 96,395 | 2,298 | |||
* | EW Scripps Co. Class A | 181,620 | 2,292 | |||
* | AMC Networks Inc. Class A | 88,115 | 1,970 | |||
* | Gannett Co. Inc. | 458,588 | 1,389 | |||
* | QuinStreet Inc. | 75,679 | 1,284 | |||
1 | Marcus Corp. | 76,880 | 1,237 | |||
* | Gogo Inc. | 70,945 | 1,168 | |||
* | Consolidated Communications Holdings Inc. | 232,919 | 706 | |||
37,457 | ||||||
Consumer Discretionary (18.6%) | ||||||
* | Meritage Homes Corp. | 114,608 | 12,519 | |||
Signet Jewelers Ltd. | 144,933 | 10,380 | ||||
Group 1 Automotive Inc. | 45,691 | 10,101 | ||||
* | Asbury Automotive Group Inc. | 38,146 | 8,663 | |||
Steven Madden Ltd. | 229,464 | 8,330 | ||||
Kontoor Brands Inc. | 154,698 | 8,067 | ||||
American Eagle Outfitters Inc. | 546,026 | 7,846 | ||||
Academy Sports & Outdoors Inc. | 132,432 | 7,833 | ||||
* | Sonos Inc. | 398,848 | 7,750 | |||
* | Tri Pointe Homes Inc. | 316,284 | 7,540 | |||
* | LGI Homes Inc. | 64,248 | 6,702 | |||
MDC Holdings Inc. | 178,726 | 6,613 | ||||
* | ODP Corp. | 126,327 | 5,720 | |||
Cheesecake Factory Inc. | 149,853 | 5,610 |
Shares | Market Value• ($000) | |||||
* | Sally Beauty Holdings Inc. | 335,418 | 5,397 | |||
Century Communities Inc. | 88,631 | 5,301 | ||||
* | Brinker International Inc. | 137,983 | 5,243 | |||
* | Urban Outfitters Inc. | 187,803 | 5,061 | |||
* | M/I Homes Inc. | 85,973 | 4,973 | |||
Monro Inc. | 98,603 | 4,973 | ||||
Patrick Industries Inc. | 67,519 | 4,919 | ||||
* | Abercrombie & Fitch Co. Class A | 155,143 | 4,563 | |||
LCI Industries | 39,889 | 4,500 | ||||
La-Z-Boy Inc. | 134,661 | 4,360 | ||||
Upbound Group Inc. | 157,204 | 4,221 | ||||
Wolverine World Wide Inc. | 247,223 | 4,141 | ||||
* | National Vision Holdings Inc. | 104,030 | 3,887 | |||
* | iRobot Corp. | 85,223 | 3,502 | |||
* | Six Flags Entertainment Corp. | 132,445 | 3,497 | |||
* | Frontdoor Inc. | 122,746 | 3,468 | |||
Winnebago Industries Inc. | 51,527 | 3,275 | ||||
* | American Axle & Manufacturing Holdings Inc. | 359,572 | 3,164 | |||
* | Shake Shack Inc. Class A | 55,043 | 3,071 | |||
Bloomin' Brands Inc. | 115,805 | 3,022 | ||||
Caleres Inc. | 114,542 | 2,991 | ||||
Sonic Automotive Inc. Class A | 52,427 | 2,983 | ||||
Installed Building Products Inc. | 25,010 | 2,886 | ||||
* | Boot Barn Holdings Inc. | 36,411 | 2,820 | |||
* | Vista Outdoor Inc. | 97,575 | 2,787 | |||
* | Sleep Number Corp. | 68,756 | 2,741 | |||
* | Gentherm Inc. | 40,596 | 2,578 | |||
Strategic Education Inc. | 29,996 | 2,557 | ||||
* | BJ's Restaurants Inc. | 73,120 | 2,340 | |||
* | Dave & Buster's Entertainment Inc. | 57,733 | 2,310 | |||
Standard Motor Products Inc. | 58,634 | 2,285 | ||||
* | MarineMax Inc. | 67,529 | 2,268 | |||
* | Chico's FAS Inc. | 390,982 | 2,248 | |||
* | G-III Apparel Group Ltd. | 133,612 | 2,220 |
Shares | Market Value• ($000) | |||||
* | Leslie's Inc. | 162,199 | 2,045 | |||
Guess? Inc. | 95,408 | 2,007 | ||||
* | Genesco Inc. | 38,975 | 1,753 | |||
Movado Group Inc. | 49,613 | 1,718 | ||||
* | Children's Place Inc. | 40,676 | 1,703 | |||
Oxford Industries Inc. | 14,020 | 1,649 | ||||
Designer Brands Inc. Class A | 158,912 | 1,556 | ||||
* | America's Car-Mart Inc. | 18,231 | 1,549 | |||
Dine Brands Global Inc. | 19,577 | 1,501 | ||||
Shoe Carnival Inc. | 53,451 | 1,408 | ||||
Aaron's Co. Inc. | 96,853 | 1,390 | ||||
Hibbett Inc. | 18,790 | 1,352 | ||||
Big Lots Inc. | 90,301 | 1,296 | ||||
Sturm Ruger & Co. Inc. | 21,518 | 1,254 | ||||
PetMed Express Inc. | 66,424 | 1,247 | ||||
Buckle Inc. | 28,609 | 1,167 | ||||
* | Zumiez Inc. | 49,076 | 1,141 | |||
* | Mister Car Wash Inc. | 120,969 | 1,117 | |||
* | Golden Entertainment Inc. | 26,929 | 1,107 | |||
* | Perdoceo Education Corp. | 77,648 | 1,070 | |||
* | Chuy's Holdings Inc. | 25,873 | 925 | |||
Ruth's Hospitality Group Inc. | 45,392 | 847 | ||||
* | Motorcar Parts of America Inc. | 61,036 | 799 | |||
Haverty Furniture Cos. Inc. | 20,171 | 761 | ||||
El Pollo Loco Holdings Inc. | 61,829 | 740 | ||||
* | WW International Inc. | 168,391 | 616 | |||
* | Universal Electronics Inc. | 37,916 | 482 | |||
*,1 | Bed Bath & Beyond Inc. | 147,811 | 208 | |||
268,634 | ||||||
Consumer Staples (4.5%) | ||||||
* | United Natural Foods Inc. | 182,781 | 7,445 | |||
Nu Skin Enterprises Inc. Class A | 154,880 | 6,170 | ||||
PriceSmart Inc. | 78,475 | 5,471 | ||||
* | Hain Celestial Group Inc. | 280,016 | 4,993 | |||
* | TreeHouse Foods Inc. | 83,699 | 4,084 | |||
Universal Corp. | 77,086 | 3,900 | ||||
Edgewell Personal Care Co. | 84,446 | 3,606 | ||||
Vector Group Ltd. | 230,862 | 3,063 | ||||
Fresh Del Monte Produce Inc. | 95,950 | 3,001 | ||||
SpartanNash Co. | 110,360 | 2,953 | ||||
B&G Foods Inc. | 225,110 | 2,852 | ||||
* | Central Garden & Pet Co. Class A | 67,906 | 2,610 | |||
WD-40 Co. | 14,869 | 2,579 | ||||
Andersons Inc. | 54,511 | 2,487 | ||||
* | USANA Health Sciences Inc. | 34,887 | 2,120 | |||
Calavo Growers Inc. | 55,428 | 1,789 | ||||
* | Chefs' Warehouse Inc. | 40,493 | 1,318 | |||
* | National Beverage Corp. | 23,303 | 1,087 |
Shares | Market Value• ($000) | |||||
John B Sanfilippo & Son Inc. | 10,890 | 978 | ||||
* | Seneca Foods Corp. Class A | 16,708 | 929 | |||
* | Central Garden & Pet Co. | 15,699 | 636 | |||
64,071 | ||||||
Energy (3.8%) | ||||||
* | Green Plains Inc. | 185,837 | 6,443 | |||
Helmerich & Payne Inc. | 138,563 | 5,831 | ||||
World Fuel Services Corp. | 194,031 | 5,326 | ||||
* | Par Pacific Holdings Inc. | 173,966 | 4,833 | |||
Archrock Inc. | 419,520 | 4,644 | ||||
* | Helix Energy Solutions Group Inc. | 446,495 | 3,697 | |||
* | Callon Petroleum Co. | 80,028 | 3,102 | |||
Patterson-UTI Energy Inc. | 218,011 | 2,987 | ||||
* | ProPetro Holding Corp. | 301,063 | 2,652 | |||
* | Bristow Group Inc. Class A | 73,597 | 2,005 | |||
* | Oceaneering International Inc. | 87,881 | 1,836 | |||
* | Oil States International Inc. | 200,851 | 1,834 | |||
Core Laboratories NV | 75,889 | 1,812 | ||||
* | Dril-Quip Inc. | 49,873 | 1,708 | |||
* | Talos Energy Inc. | 93,898 | 1,672 | |||
* | DMC Global Inc. | 58,175 | 1,557 | |||
* | Nabors Industries Ltd. | 8,962 | 1,347 | |||
* | US Silica Holdings Inc. | 99,457 | 1,207 | |||
54,493 | ||||||
Financials (19.0%) | ||||||
* | Genworth Financial Inc. Class A | 1,555,250 | 9,689 | |||
Pacific Premier Bancorp Inc. | 297,864 | 9,657 | ||||
WSFS Financial Corp. | 193,021 | 9,634 | ||||
Simmons First National Corp. Class A | 398,023 | 8,848 | ||||
BankUnited Inc. | 242,195 | 8,579 | ||||
Walker & Dunlop Inc. | 96,251 | 8,396 | ||||
Independent Bank Group Inc. | 111,066 | 6,537 | ||||
Bread Financial Holdings Inc. | 156,254 | 6,417 | ||||
Renasant Corp. | 175,350 | 6,309 | ||||
Assured Guaranty Ltd. | 92,078 | 5,747 | ||||
Provident Financial Services Inc. | 235,931 | 5,509 | ||||
Independent Bank Corp. | 68,682 | 5,473 | ||||
First Hawaiian Inc. | 192,098 | 5,254 | ||||
* | PRA Group Inc. | 122,170 | 5,200 | |||
Two Harbors Investment Corp. | 301,147 | 4,990 | ||||
* | Enova International Inc. | 98,656 | 4,809 | |||
Hope Bancorp Inc. | 374,601 | 4,799 | ||||
Hilltop Holdings Inc. | 143,823 | 4,771 | ||||
Horace Mann Educators Corp. | 128,279 | 4,741 |
Shares | Market Value• ($000) | |||||
Apollo Commercial Real Estate Finance Inc. | 405,215 | 4,656 | ||||
Community Bank System Inc. | 72,506 | 4,427 | ||||
Eagle Bancorp Inc. | 100,068 | 4,384 | ||||
American Equity Investment Life Holding Co. | 104,511 | 4,353 | ||||
* | PROG Holdings Inc. | 156,891 | 3,878 | |||
United Community Banks Inc. | 116,678 | 3,863 | ||||
Ameris Bancorp | 79,825 | 3,821 | ||||
* | Encore Capital Group Inc. | 73,166 | 3,781 | |||
* | Axos Financial Inc. | 76,890 | 3,644 | |||
Seacoast Banking Corp. of Florida | 119,318 | 3,640 | ||||
PennyMac Mortgage Investment Trust | 279,059 | 3,636 | ||||
Stewart Information Services Corp. | 85,183 | 3,619 | ||||
Franklin BSP Realty Trust Inc. | 258,143 | 3,617 | ||||
Brookline Bancorp Inc. | 275,898 | 3,576 | ||||
Ready Capital Corp. | 307,562 | 3,463 | ||||
Capitol Federal Financial Inc. | 404,886 | 3,397 | ||||
ProAssurance Corp. | 169,248 | 3,366 | ||||
First Financial Bancorp | 133,541 | 3,290 | ||||
New York Mortgage Trust Inc. | 1,165,096 | 3,111 | ||||
Banc of California Inc. | 175,221 | 3,075 | ||||
* | NMI Holdings Inc. Class A | 128,128 | 2,991 | |||
Mercury General Corp. | 83,385 | 2,839 | ||||
James River Group Holdings Ltd. | 117,138 | 2,823 | ||||
* | Green Dot Corp. Class A | 147,026 | 2,783 | |||
Redwood Trust Inc. | 355,459 | 2,705 | ||||
Northwest Bancshares Inc. | 190,891 | 2,638 | ||||
KKR Real Estate Finance Trust Inc. | 179,273 | 2,599 | ||||
* | Ambac Financial Group Inc. | 140,713 | 2,329 | |||
Ellington Financial Inc. | 179,111 | 2,305 | ||||
Veritex Holdings Inc. | 86,434 | 2,304 | ||||
Virtus Investment Partners Inc. | 10,467 | 2,203 | ||||
First Commonwealth Financial Corp. | 131,337 | 2,103 | ||||
FB Financial Corp. | 55,065 | 2,075 | ||||
United Fire Group Inc. | 67,713 | 1,933 | ||||
Central Pacific Financial Corp. | 85,293 | 1,913 | ||||
* | SiriusPoint Ltd. | 265,215 | 1,883 | |||
First Bancorp | 44,715 | 1,855 | ||||
Employers Holdings Inc. | 41,701 | 1,852 | ||||
Trustmark Corp. | 59,057 | 1,736 | ||||
Berkshire Hills Bancorp Inc. | 59,157 | 1,719 |
Shares | Market Value• ($000) | |||||
* | Triumph Financial Inc. | 27,579 | 1,678 | |||
Universal Insurance Holdings Inc. | 86,118 | 1,665 | ||||
* | Donnelley Financial Solutions Inc. | 39,072 | 1,653 | |||
National Bank Holdings Corp. Class A | 40,018 | 1,620 | ||||
Safety Insurance Group Inc. | 19,788 | 1,597 | ||||
Southside Bancshares Inc. | 40,286 | 1,539 | ||||
* | EZCORP Inc. Class A | 167,486 | 1,477 | |||
* | Customers Bancorp Inc. | 47,714 | 1,470 | |||
AMERISAFE Inc. | 26,934 | 1,469 | ||||
S&T Bancorp Inc. | 37,779 | 1,408 | ||||
HomeStreet Inc. | 55,538 | 1,401 | ||||
Pathward Financial Inc. | 25,173 | 1,284 | ||||
Brightsphere Investment Group Inc. | 48,432 | 1,214 | ||||
1 | HCI Group Inc. | 21,602 | 1,134 | |||
* | LendingTree Inc. | 33,966 | 1,119 | |||
Tompkins Financial Corp. | 14,176 | 1,060 | ||||
1 | B. Riley Financial Inc. | 25,486 | 1,014 | |||
Granite Point Mortgage Trust Inc. | 164,663 | 986 | ||||
* | World Acceptance Corp. | 10,326 | 964 | |||
WisdomTree Inc. | 154,184 | 920 | ||||
Northfield Bancorp Inc. | 61,009 | 897 | ||||
Invesco Mortgage Capital Inc. | 60,546 | 759 | ||||
TrustCo Bank Corp. | 20,214 | 757 | ||||
Columbia Banking System Inc. | 355 | 11 | ||||
274,640 | ||||||
Health Care (8.3%) | ||||||
Select Medical Holdings Corp. | 326,356 | 8,874 | ||||
* | Integer Holdings Corp. | 103,848 | 7,786 | |||
* | NuVasive Inc. | 163,436 | 7,065 | |||
* | NeoGenomics Inc. | 395,859 | 6,670 | |||
* | Myriad Genetics Inc. | 254,121 | 4,808 | |||
CONMED Corp. | 48,760 | 4,690 | ||||
* | Apollo Medical Holdings Inc. | 124,567 | 4,347 | |||
* | Avanos Medical Inc. | 145,934 | 4,096 | |||
* | Pediatrix Medical Group Inc. | 256,265 | 4,034 | |||
* | ModivCare Inc. | 39,792 | 3,907 | |||
* | Owens & Minor Inc. | 239,006 | 3,664 | |||
* | RadNet Inc. | 152,649 | 3,600 | |||
Embecta Corp. | 95,858 | 3,063 | ||||
* | Prestige Consumer Healthcare Inc. | 46,509 | 2,802 | |||
* | Heska Corp. | 31,916 | 2,599 | |||
* | Cardiovascular Systems Inc. | 131,345 | 2,589 | |||
* | Community Health Systems Inc. | 393,491 | 2,384 |
Shares | Market Value• ($000) | |||||
* | Enhabit Inc. | 155,121 | 2,381 | |||
* | Glaukos Corp. | 49,246 | 2,326 | |||
* | Varex Imaging Corp. | 125,149 | 2,214 | |||
* | Orthofix Medical Inc. | 105,613 | 2,176 | |||
* | Vericel Corp. | 63,398 | 1,928 | |||
* | CorVel Corp. | 10,078 | 1,817 | |||
* | Enanta Pharmaceuticals Inc. | 37,320 | 1,810 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 155,233 | 1,749 | |||
* | Emergent BioSolutions Inc. | 138,639 | 1,716 | |||
* | Artivion Inc. | 125,954 | 1,668 | |||
* | Ligand Pharmaceuticals Inc. | 23,048 | 1,663 | |||
US Physical Therapy Inc. | 15,854 | 1,606 | ||||
* | AngioDynamics Inc. | 122,105 | 1,512 | |||
* | OraSure Technologies Inc. | 228,464 | 1,442 | |||
* | Pennant Group Inc. | 88,422 | 1,328 | |||
* | Vanda Pharmaceuticals Inc. | 177,437 | 1,143 | |||
* | Inogen Inc. | 71,539 | 1,121 | |||
* | Fulgent Genetics Inc. | 33,874 | 1,111 | |||
* | Agiliti Inc. | 57,248 | 1,091 | |||
Mesa Laboratories Inc. | 5,932 | 1,047 | ||||
Phibro Animal Health Corp. Class A | 64,012 | 1,006 | ||||
* | Avid Bioservices Inc. | 60,176 | 990 | |||
LeMaitre Vascular Inc. | 18,736 | 939 | ||||
* | ANI Pharmaceuticals Inc. | 18,457 | 772 | |||
* | Zimvie Inc. | 65,549 | 746 | |||
* | HealthStream Inc. | 27,482 | 705 | |||
* | Anika Therapeutics Inc. | 22,120 | 701 | |||
* | Coherus Biosciences Inc. | 98,762 | 669 | |||
Simulations Plus Inc. | 16,707 | 635 | ||||
* | Computer Programs & Systems Inc. | 20,779 | 624 | |||
* | Organogenesis Holdings Inc. Class A | 220,725 | 541 | |||
* | Cutera Inc. | 16,058 | 521 | |||
* | Surmodics Inc. | 20,679 | 452 | |||
* | Nektar Therapeutics Class A | 303,255 | 418 | |||
* | OptimizeRx Corp. | 22,501 | 402 | |||
* | Eagle Pharmaceuticals Inc. | 10,865 | 304 | |||
*,2 | Lantheus Holdings Inc. CVR | 75,410 | — | |||
120,252 | ||||||
Industrials (16.5%) | ||||||
John Bean Technologies Corp. | 99,854 | 11,073 | ||||
ABM Industries Inc. | 207,302 | 10,035 | ||||
* | Resideo Technologies Inc. | 457,184 | 8,385 | |||
* | GMS Inc. | 132,893 | 8,068 | |||
* | RXO Inc. | 360,758 | 7,421 | |||
ArcBest Corp. | 76,528 | 7,362 | ||||
Barnes Group Inc. | 158,478 | 6,678 |
Shares | Market Value• ($000) | |||||
Veritiv Corp. | 42,257 | 6,399 | ||||
Granite Construction Inc. | 137,030 | 5,920 | ||||
* | AAR Corp. | 104,456 | 5,681 | |||
MillerKnoll Inc. | 236,844 | 5,653 | ||||
* | Gibraltar Industries Inc. | 97,096 | 5,186 | |||
* | Hub Group Inc. Class A | 56,283 | 5,163 | |||
Exponent Inc. | 49,226 | 5,065 | ||||
* | Allegiant Travel Co. | 49,044 | 5,029 | |||
* | KAR Auction Services Inc. | 341,468 | 4,880 | |||
Korn Ferry | 87,051 | 4,865 | ||||
* | Atlas Air Worldwide Holdings Inc. | 44,469 | 4,483 | |||
* | NOW Inc. | 346,353 | 4,451 | |||
Tennant Co. | 58,360 | 4,133 | ||||
HNI Corp. | 129,425 | 4,045 | ||||
* | 3D Systems Corp. | 411,228 | 4,026 | |||
* | Masterbrand Inc. | 404,609 | 3,941 | |||
* | SPX Technologies Inc. | 53,898 | 3,797 | |||
UniFirst Corp. | 19,344 | 3,794 | ||||
Matthews International Corp. Class A | 95,805 | 3,656 | ||||
* | CoreCivic Inc. | 359,775 | 3,493 | |||
Moog Inc. Class A | 35,330 | 3,484 | ||||
* | GEO Group Inc. | 389,791 | 3,415 | |||
Greenbrier Cos. Inc. | 102,641 | 3,296 | ||||
Astec Industries Inc. | 71,121 | 3,203 | ||||
AZZ Inc. | 77,770 | 3,161 | ||||
* | MYR Group Inc. | 26,019 | 3,138 | |||
Arcosa Inc. | 51,472 | 3,119 | ||||
Healthcare Services Group Inc. | 232,268 | 3,082 | ||||
* | SkyWest Inc. | 158,385 | 3,020 | |||
Trinity Industries Inc. | 104,619 | 2,920 | ||||
Brady Corp. Class A | 51,002 | 2,813 | ||||
* | Proto Labs Inc. | 85,184 | 2,678 | |||
* | American Woodmark Corp. | 52,050 | 2,654 | |||
* | Triumph Group Inc. | 203,782 | 2,572 | |||
Deluxe Corp. | 134,855 | 2,487 | ||||
ESCO Technologies Inc. | 25,873 | 2,411 | ||||
Kaman Corp. | 87,588 | 2,277 | ||||
Pitney Bowes Inc. | 505,950 | 2,196 | ||||
Heidrick & Struggles International Inc. | 62,492 | 2,145 | ||||
* | Harsco Corp. | 249,853 | 2,114 | |||
* | TrueBlue Inc. | 102,495 | 1,917 | |||
* | CIRCOR International Inc. | 63,574 | 1,861 | |||
Resources Connection Inc. | 100,227 | 1,810 | ||||
Kelly Services Inc. Class A | 108,130 | 1,809 | ||||
* | Hawaiian Holdings Inc. | 160,802 | 1,801 | |||
Wabash National Corp. | 62,948 | 1,725 | ||||
* | Viad Corp. | 64,762 | 1,665 | |||
Enerpac Tool Group Corp. Class A | 60,445 | 1,628 | ||||
Interface Inc. Class A | 182,796 | 1,612 | ||||
Alamo Group Inc. | 8,685 | 1,584 | ||||
* | DXP Enterprises Inc. | 49,602 | 1,434 |
Shares | Market Value• ($000) | |||||
Standex International Corp. | 11,983 | 1,386 | ||||
Apogee Enterprises Inc. | 29,843 | 1,366 | ||||
Powell Industries Inc. | 28,537 | 1,266 | ||||
Quanex Building Products Corp. | 44,549 | 1,156 | ||||
* | Forrester Research Inc. | 35,093 | 1,154 | |||
National Presto Industries Inc. | 16,011 | 1,099 | ||||
Insteel Industries Inc. | 32,845 | 977 | ||||
Heartland Express Inc. | 51,013 | 823 | ||||
* | Liquidity Services Inc. | 37,999 | 481 | |||
Park Aerospace Corp. | 28,818 | 473 | ||||
237,894 | ||||||
Information Technology (8.6%) | ||||||
* | Insight Enterprises Inc. | 94,954 | 12,716 | |||
* | Rogers Corp. | 58,960 | 8,679 | |||
* | Itron Inc. | 141,586 | 7,896 | |||
* | FormFactor Inc. | 241,419 | 7,267 | |||
* | Semtech Corp. | 199,121 | 6,135 | |||
* | Sanmina Corp. | 97,168 | 5,875 | |||
* | Knowles Corp. | 285,169 | 4,842 | |||
* | TTM Technologies Inc. | 320,524 | 4,260 | |||
* | Viavi Solutions Inc. | 339,887 | 3,718 | |||
* | Cerence Inc. | 123,288 | 3,376 | |||
* | Perficient Inc. | 46,684 | 3,305 | |||
Adeia Inc. | 328,006 | 3,234 | ||||
* | Sabre Corp. | 638,872 | 3,233 | |||
* | Ichor Holdings Ltd. | 90,178 | 2,971 | |||
Methode Electronics Inc. | 54,892 | 2,675 | ||||
EVERTEC Inc. | 71,411 | 2,629 | ||||
Benchmark Electronics Inc. | 110,254 | 2,623 | ||||
* | SMART Global Holdings Inc. | 152,282 | 2,543 | |||
* | ScanSource Inc. | 79,383 | 2,475 | |||
* | ePlus Inc. | 43,988 | 2,383 | |||
* | OSI Systems Inc. | 24,015 | 2,223 | |||
* | LiveRamp Holdings Inc. | 93,916 | 2,219 | |||
* | Payoneer Global Inc. | 357,186 | 2,072 | |||
* | Ultra Clean Holdings Inc. | 64,272 | 2,048 | |||
* | Cohu Inc. | 50,617 | 1,883 | |||
* | NETGEAR Inc. | 90,364 | 1,636 | |||
* | FARO Technologies Inc. | 58,990 | 1,604 | |||
PC Connection Inc. | 35,308 | 1,546 | ||||
* | Xperi Inc. | 132,043 | 1,544 | |||
Comtech Telecommunications Corp. | 87,028 | 1,392 | ||||
Ebix Inc. | 73,274 | 1,273 | ||||
* | Avid Technology Inc. | 42,686 | 1,240 | |||
ADTRAN Holdings Inc. | 68,396 | 1,193 | ||||
TTEC Holdings Inc. | 29,488 | 1,187 | ||||
* | Digital Turbine Inc. | 101,280 | 1,088 | |||
* | LivePerson Inc. | 105,296 | 1,066 | |||
* | Unisys Corp. | 212,702 | 1,059 | |||
* | 8x8 Inc. | 188,310 | 1,002 | |||
* | Corsair Gaming Inc. | 53,322 | 933 |
Shares | Market Value• ($000) | |||||
* | CEVA Inc. | 28,239 | 891 | |||
* | OneSpan Inc. | 56,625 | 766 | |||
* | Consensus Cloud Solutions Inc. | 17,663 | 725 | |||
* | Arlo Technologies Inc. | 139,093 | 528 | |||
* | BM Technologies Inc. | 1,309 | 4 | |||
123,957 | ||||||
Materials (5.5%) | ||||||
* | Arconic Corp. | 317,990 | 8,408 | |||
Carpenter Technology Corp. | 151,772 | 7,335 | ||||
* | ATI Inc. | 154,042 | 6,262 | |||
Minerals Technologies Inc. | 101,687 | 6,178 | ||||
* | O-I Glass Inc. | 262,473 | 5,832 | |||
Mativ Holdings Inc. | 172,359 | 4,466 | ||||
HB Fuller Co. | 60,251 | 4,203 | ||||
Compass Minerals International Inc. | 106,773 | 4,114 | ||||
AdvanSix Inc. | 86,274 | 3,550 | ||||
Materion Corp. | 27,617 | 3,084 | ||||
Warrior Met Coal Inc. | 71,428 | 2,734 | ||||
Trinseo plc | 109,896 | 2,547 | ||||
SunCoke Energy Inc. | 260,578 | 2,478 | ||||
Stepan Co. | 23,110 | 2,406 | ||||
Koppers Holdings Inc. | 65,335 | 2,345 | ||||
Sylvamo Corp. | 44,588 | 2,200 | ||||
* | Clearwater Paper Corp. | 52,352 | 2,020 | |||
* | Century Aluminum Co. | 160,188 | 1,933 | |||
* | Rayonier Advanced Materials Inc. | 199,808 | 1,638 | |||
Olympic Steel Inc. | 30,052 | 1,578 | ||||
* | TimkenSteel Corp. | 70,525 | 1,290 | |||
Tredegar Corp. | 79,373 | 922 | ||||
Mercer International Inc. | 71,812 | 774 | ||||
Haynes International Inc. | 12,981 | 710 | ||||
FutureFuel Corp. | 35,540 | 311 | ||||
79,318 | ||||||
Real Estate (10.7%) | ||||||
Essential Properties Realty Trust Inc. | 446,094 | 11,491 | ||||
LXP Industrial Trust | 864,032 | 9,012 | ||||
Outfront Media Inc. | 457,890 | 7,990 | ||||
SITE Centers Corp. | 579,362 | 7,746 | ||||
Sunstone Hotel Investors Inc. | 659,323 | 6,969 | ||||
* | Cushman & Wakefield plc | 509,720 | 6,596 | |||
DiamondRock Hospitality Co. | 656,134 | 5,721 | ||||
Service Properties Trust | 518,769 | 5,696 | ||||
Retail Opportunity Investments Corp. | 390,309 | 5,554 | ||||
Elme Communities | 274,407 | 5,107 | ||||
Xenia Hotels & Resorts Inc. | 356,886 | 5,011 | ||||
Global Net Lease Inc. | 325,490 | 4,596 | ||||
Acadia Realty Trust | 297,020 | 4,328 |
Shares | Market Value• ($000) | |||||
Easterly Government Properties Inc. Class A | 284,830 | 4,301 | ||||
Alexander & Baldwin Inc. | 227,657 | 4,250 | ||||
American Assets Trust Inc. | 163,353 | 4,121 | ||||
Hudson Pacific Properties Inc. | 401,096 | 3,702 | ||||
Brandywine Realty Trust | 536,480 | 3,160 | ||||
Centerspace | 47,248 | 2,958 | ||||
RPT Realty | 267,207 | 2,864 | ||||
Tanger Factory Outlet Centers Inc. | 147,126 | 2,779 | ||||
Urban Edge Properties | 179,987 | 2,772 | ||||
Office Properties Income Trust | 151,823 | 2,496 | ||||
Summit Hotel Properties Inc. | 334,147 | 2,473 | ||||
Four Corners Property Trust Inc. | 86,735 | 2,355 | ||||
Safehold Inc. | 76,078 | 2,273 | ||||
CareTrust REIT Inc. | 115,345 | 2,269 | ||||
Uniti Group Inc. | 407,812 | 2,239 | ||||
iStar Inc. | 271,587 | 2,091 | ||||
* | Anywhere Real Estate Inc. | 342,116 | 1,981 | |||
Chatham Lodging Trust | 152,556 | 1,863 | ||||
* | Veris Residential Inc. | 108,987 | 1,759 | |||
Getty Realty Corp. | 47,982 | 1,647 | ||||
NexPoint Residential Trust Inc. | 33,367 | 1,616 | ||||
LTC Properties Inc. | 44,382 | 1,590 | ||||
Orion Office REIT Inc. | 176,848 | 1,514 | ||||
Whitestone REIT | 144,796 | 1,368 | ||||
Community Healthcare Trust Inc. | 29,624 | 1,148 | ||||
RE/MAX Holdings Inc. Class A | 56,813 | 1,050 | ||||
Armada Hoffler Properties Inc. | 74,732 | 958 | ||||
Douglas Elliman Inc. | 210,557 | 889 | ||||
Hersha Hospitality Trust Class A | 103,926 | 869 | ||||
Industrial Logistics Properties Trust | 205,697 | 843 | ||||
Universal Health Realty Income Trust | 14,028 | 744 | ||||
Franklin Street Properties Corp. | 290,434 | 703 |
Shares | Market Value• ($000) | |||||
Urstadt Biddle Properties Inc. Class A | 40,572 | 702 | ||||
Saul Centers Inc. | 17,445 | 686 | ||||
Agree Realty Corp. | 257 | 18 | ||||
154,868 | ||||||
Utilities (1.8%) | ||||||
Avista Corp. | 231,215 | 9,508 | ||||
California Water Service Group | 65,184 | 3,731 | ||||
Otter Tail Corp. | 50,889 | 3,608 | ||||
American States Water Co. | 35,872 | 3,203 | ||||
Chesapeake Utilities Corp. | 18,320 | 2,347 | ||||
Northwest Natural Holding Co. | 39,474 | 1,908 | ||||
Middlesex Water Co. | 20,004 | 1,530 | ||||
25,835 | ||||||
Total Common Stocks (Cost $1,451,539) | 1,441,419 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 4.640% (Cost $3,399) | 33,993 | 3,399 | |||
Total Investments (100.1%) (Cost $1,454,938) | 1,444,818 | |||||
Other Assets and Liabilities—Net (-0.1%) | (1,239) | |||||
Net Assets (100%) | 1,443,579 |
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 $1,825,000. |
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 $1,947,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 25 | 2,374 | 25 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $1,451,539) | 1,441,419 |
Affiliated Issuers (Cost $3,399) | 3,399 |
Total Investments in Securities | 1,444,818 |
Investment in Vanguard | 50 |
Cash | 950 |
Cash Collateral Pledged—Futures Contracts | 150 |
Receivables for Investment Securities Sold | 3,500 |
Receivables for Accrued Income | 1,053 |
Receivables for Capital Shares Issued | 14 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 1,450,535 |
Liabilities | |
Payables for Investment Securities Purchased | 4,933 |
Collateral for Securities on Loan | 1,947 |
Payables to Vanguard | 76 |
Total Liabilities | 6,956 |
Net Assets | 1,443,579 |
1 Includes $1,825,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At February 28, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 1,590,816 |
Total Distributable Earnings (Loss) | (147,237) |
Net Assets | 1,443,579 |
ETF Shares—Net Assets2 | |
Applicable to 16,000,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,386,178 |
Net Asset Value Per Share—ETF Shares | $86.64 |
Institutional Shares—Net Assets | |
Applicable to 158,264 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 57,401 |
Net Asset Value Per Share—Institutional Shares | $362.69 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 10,414 |
Interest2 | 13 |
Securities Lending—Net | 129 |
Total Income | 10,556 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 16 |
Management and Administrative—ETF Shares | 811 |
Management and Administrative—Institutional Shares | 18 |
Marketing and Distribution—ETF Shares | 36 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 29 |
Shareholders’ Reports—ETF Shares | 33 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 950 |
Net Investment Income | 9,606 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 2,976 |
Futures Contracts | (68) |
Realized Net Gain (Loss) | 2,908 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 93,265 |
Futures Contracts | 120 |
Change in Unrealized Appreciation (Depreciation) | 93,385 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 105,899 |
1 | Dividends are net of foreign withholding taxes of $2,000. |
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 $11,000, $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $80,520,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,606 | 21,479 | |
Realized Net Gain (Loss) | 2,908 | 135,539 | |
Change in Unrealized Appreciation (Depreciation) | 93,385 | (276,947) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 105,899 | (119,929) | |
Distributions | |||
ETF Shares | (14,840) | (20,966) | |
Institutional Shares | (672) | (1,129) | |
Total Distributions | (15,512) | (22,095) | |
Capital Share Transactions | |||
ETF Shares | 50,434 | 56,993 | |
Institutional Shares | 333 | (8,610) | |
Net Increase (Decrease) from Capital Share Transactions | 50,767 | 48,383 | |
Total Increase (Decrease) | 141,154 | (93,641) | |
Net Assets | |||
Beginning of Period | 1,302,425 | 1,396,066 | |
End of Period | 1,443,579 | 1,302,425 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $80.11 | $88.82 | $56.26 | $61.62 | $74.53 | $59.12 |
Investment Operations | ||||||
Net Investment Income2 | .596 | 1.372 | 1.296 | 1.091 | 1.071 | 1.044 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.907 | (8.648) | 32.307 | (5.393) | (12.906) | 15.296 |
Total from Investment Operations | 7.503 | (7.276) | 33.603 | (4.302) | (11.835) | 16.340 |
Distributions | ||||||
Dividends from Net Investment Income | (.973) | (1.434) | (1.043) | (1.058) | (1.075) | (.930) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.973) | (1.434) | (1.043) | (1.058) | (1.075) | (.930) |
Net Asset Value, End of Period | $86.64 | $80.11 | $88.82 | $56.26 | $61.62 | $74.53 |
Total Return | 9.53% | -8.28% | 60.19% | -7.08% | -15.93% | 27.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,386 | $1,250 | $1,328 | $501 | $373 | $410 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.59% | 1.61% | 1.90% | 1.66% | 1.54% |
Portfolio Turnover Rate3 | 30% | 36% | 30% | 46% | 39% | 34% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
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 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 | $247.26 |
Investment Operations | ||||||
Net Investment Income1 | 2.662 | 5.824 | 5.457 | 4.805 | 4.609 | 4.630 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.819 | (36.009) | 135.457 | (22.489) | (53.914) | 64.065 |
Total from Investment Operations | 31.481 | (30.185) | 140.914 | (17.684) | (49.305) | 68.695 |
Distributions | ||||||
Dividends from Net Investment Income | (4.191) | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (4.191) | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Net Asset Value, End of Period | $362.69 | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 |
Total Return | 9.59% | -8.20% | 60.32% | -6.94% | -15.87% | 28.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $57 | $53 | $68 | $42 | $35 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.73% | 1.61% | 1.67% | 2.00% | 1.73% | 1.66% |
Portfolio Turnover Rate2 | 30% | 36% | 30% | 46% | 39% | 34% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,441,419 | — | — | 1,441,419 |
Temporary Cash Investments | 3,399 | — | — | 3,399 |
Total | 1,444,818 | — | — | 1,444,818 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 25 | — | — | 25 |
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. |
Amount ($000) | |
Tax Cost | 1,458,938 |
Gross Unrealized Appreciation | 143,525 |
Gross Unrealized Depreciation | (157,620) |
Net Unrealized Appreciation (Depreciation) | (14,095) |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 460,155 | 5,600 | 649,403 | 7,450 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (409,721) | (5,200) | (592,410) | (6,800) | |
Net Increase (Decrease)—ETF Shares | 50,434 | 400 | 56,993 | 650 | |
Institutional Shares | |||||
Issued | 6,402 | 19 | 30,070 | 83 | |
Issued in Lieu of Cash Distributions | 572 | 2 | 979 | 3 | |
Redeemed | (6,641) | (20) | (39,659) | (113) | |
Net Increase (Decrease)—Institutional Shares | 333 | 1 | (8,610) | (27) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 1.6% |
Consumer Discretionary | 8.8 |
Consumer Staples | 5.9 |
Energy | 5.5 |
Financials | 16.3 |
Health Care | 12.8 |
Industrials | 18.4 |
Information Technology | 18.5 |
Materials | 6.4 |
Real Estate | 3.2 |
Utilities | 2.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (1.6%) | ||||||
Cogent Communications Holdings Inc. | 28,305 | 1,832 | ||||
* | Yelp Inc. Class A | 45,402 | 1,363 | |||
* | Cars.com Inc. | 69,569 | 1,336 | |||
* | TechTarget Inc. | 30,294 | 1,143 | |||
Shutterstock Inc. | 12,935 | 973 | ||||
* | Gogo Inc. | 47,374 | 780 | |||
ATN International Inc. | 12,087 | 508 | ||||
* | QuinStreet Inc. | 29,361 | 498 | |||
8,433 | ||||||
Consumer Discretionary (8.8%) | ||||||
* | Dorman Products Inc. | 31,759 | 2,955 | |||
* | Cavco Industries Inc. | 9,306 | 2,652 | |||
* | Asbury Automotive Group Inc. | 11,188 | 2,541 | |||
Academy Sports & Outdoors Inc. | 42,098 | 2,490 | ||||
Installed Building Products Inc. | 17,387 | 2,006 | ||||
* | Adtalem Global Education Inc. | 50,997 | 1,995 | |||
* | Stride Inc. | 45,915 | 1,950 | |||
* | National Vision Holdings Inc. | 51,406 | 1,921 | |||
Jack in the Box Inc. | 23,650 | 1,854 | ||||
LCI Industries | 14,281 | 1,611 | ||||
* | Boot Barn Holdings Inc. | 20,425 | 1,582 | |||
Bloomin' Brands Inc. | 57,192 | 1,493 | ||||
* | XPEL Inc. | 22,022 | 1,471 | |||
* | Gentherm Inc. | 22,742 | 1,444 | |||
Oxford Industries Inc. | 11,764 | 1,384 | ||||
* | Leslie's Inc. | 108,232 | 1,365 | |||
* | Frontdoor Inc. | 47,591 | 1,344 | |||
* | Shake Shack Inc. Class A | 22,208 | 1,239 | |||
Strategic Education Inc. | 14,246 | 1,215 | ||||
Monarch Casino & Resort Inc. | 14,905 | 1,097 | ||||
* | Dave & Buster's Entertainment Inc. | 26,393 | 1,056 | |||
Winnebago Industries Inc. | 15,752 | 1,001 | ||||
* | Green Brick Partners Inc. | 30,515 | 952 |
Shares | Market Value• ($000) | |||||
* | Six Flags Entertainment Corp. | 35,737 | 943 | |||
Buckle Inc. | 22,916 | 935 | ||||
* | Vista Outdoor Inc. | 28,592 | 817 | |||
Dine Brands Global Inc. | 10,564 | 810 | ||||
Ethan Allen Interiors Inc. | 25,627 | 757 | ||||
Sturm Ruger & Co. Inc. | 12,115 | 706 | ||||
* | Perdoceo Education Corp. | 47,567 | 656 | |||
* | Golden Entertainment Inc. | 15,084 | 620 | |||
Hibbett Inc. | 7,590 | 546 | ||||
*,1 | Mister Car Wash Inc. | 45,220 | 417 | |||
* | Chuy's Holdings Inc. | 10,908 | 390 | |||
Ruth's Hospitality Group Inc. | 17,737 | 331 | ||||
Haverty Furniture Cos. Inc. | 7,617 | 287 | ||||
*,1 | Bed Bath & Beyond Inc. | 33,096 | 47 | |||
46,880 | ||||||
Consumer Staples (5.9%) | ||||||
* | elf Beauty Inc. | 56,489 | 4,222 | |||
* | Hostess Brands Inc. Class A | 150,365 | 3,714 | |||
* | Simply Good Foods Co. | 94,503 | 3,618 | |||
Cal-Maine Foods Inc. | 42,633 | 2,422 | ||||
Inter Parfums Inc. | 20,050 | 2,414 | ||||
J & J Snack Foods Corp. | 16,811 | 2,374 | ||||
MGP Ingredients Inc. | 17,291 | 1,754 | ||||
WD-40 Co. | 9,912 | 1,719 | ||||
Medifast Inc. | 12,273 | 1,376 | ||||
* | TreeHouse Foods Inc. | 26,640 | 1,300 | |||
Edgewell Personal Care Co. | 27,940 | 1,193 | ||||
Tootsie Roll Industries Inc. | 19,904 | 876 | ||||
Vector Group Ltd. | 65,016 | 863 | ||||
* | Central Garden & Pet Co. Class A | 22,266 | 856 | |||
* | National Beverage Corp. | 17,819 | 831 | |||
* | Chefs' Warehouse Inc. | 23,713 | 772 | |||
Andersons Inc. | 15,422 | 704 | ||||
John B Sanfilippo & Son Inc. | 6,146 | 552 | ||||
* | Central Garden & Pet Co. | 5,310 | 215 | |||
31,775 | ||||||
Energy (5.5%) | ||||||
Civitas Resources Inc. | 58,303 | 4,091 | ||||
SM Energy Co. | 137,911 | 4,070 |
Shares | Market Value• ($000) | |||||
Helmerich & Payne Inc. | 68,564 | 2,885 | ||||
Northern Oil & Gas Inc. | 76,088 | 2,362 | ||||
Patterson-UTI Energy Inc. | 165,533 | 2,268 | ||||
CONSOL Energy Inc. | 36,815 | 2,015 | ||||
* | Oceaneering International Inc. | 81,038 | 1,693 | |||
Comstock Resources Inc. | 102,387 | 1,243 | ||||
* | Callon Petroleum Co. | 28,711 | 1,113 | |||
* | Nabors Industries Ltd. | 6,826 | 1,026 | |||
* | Vital Energy Inc. | 18,882 | 970 | |||
Ranger Oil Corp. | 21,466 | 891 | ||||
RPC Inc. | 93,362 | 819 | ||||
Dorian LPG Ltd. | 35,791 | 786 | ||||
* | Talos Energy Inc. | 39,611 | 705 | |||
* | Dril-Quip Inc. | 20,251 | 693 | |||
* | US Silica Holdings Inc. | 49,513 | 601 | |||
Core Laboratories NV | 25,100 | 599 | ||||
* | REX American Resources Corp. | 17,508 | 578 | |||
29,408 | ||||||
Financials (16.3%) | ||||||
ServisFirst Bancshares Inc. | 54,914 | 4,061 | ||||
* | Mr Cooper Group Inc. | 79,264 | 3,680 | |||
CVB Financial Corp. | 147,624 | 3,533 | ||||
First Bancorp | 207,369 | 3,009 | ||||
United Community Banks Inc. | 77,513 | 2,566 | ||||
Banner Corp. | 38,407 | 2,419 | ||||
Piper Sandler Cos. | 15,872 | 2,397 | ||||
*,1 | Trupanion Inc. | 39,487 | 2,345 | |||
* | Bancorp Inc. | 62,878 | 2,175 | |||
Assured Guaranty Ltd. | 34,342 | 2,143 | ||||
Ameris Bancorp | 44,672 | 2,138 | ||||
Independent Bank Corp. | 26,660 | 2,124 | ||||
Community Bank System Inc. | 34,399 | 2,100 | ||||
Park National Corp. | 16,258 | 2,077 | ||||
First Hawaiian Inc. | 74,579 | 2,040 | ||||
Lakeland Financial Corp. | 28,472 | 2,039 | ||||
NBT Bancorp Inc. | 48,120 | 1,953 | ||||
* | StoneX Group Inc. | 19,345 | 1,951 | |||
BancFirst Corp. | 19,568 | 1,766 | ||||
* | Palomar Holdings Inc. | 28,339 | 1,700 | |||
American Equity Investment Life Holding Co. | 40,551 | 1,689 | ||||
Westamerica Bancorp | 30,231 | 1,666 | ||||
City Holding Co. | 16,689 | 1,639 | ||||
OFG Bancorp | 53,436 | 1,626 | ||||
* | Axos Financial Inc. | 32,385 | 1,535 | |||
Seacoast Banking Corp. of Florida | 50,097 | 1,528 | ||||
Stellar Bancorp Inc. | 49,920 | 1,460 | ||||
First Financial Bancorp | 58,596 | 1,444 | ||||
Trustmark Corp. | 47,239 | 1,389 | ||||
* | Avantax Inc. | 44,800 | 1,281 | |||
Pathward Financial Inc. | 23,280 | 1,187 |
Shares | Market Value• ($000) | |||||
National Bank Holdings Corp. Class A | 27,939 | 1,131 | ||||
S&T Bancorp Inc. | 30,233 | 1,126 | ||||
* | NMI Holdings Inc. Class A | 47,886 | 1,118 | |||
Dime Community Bancshares Inc. | 36,395 | 1,115 | ||||
Heritage Financial Corp. | 39,432 | 1,099 | ||||
Preferred Bank | 14,840 | 1,045 | ||||
Northwest Bancshares Inc. | 74,172 | 1,025 | ||||
First Bancorp (XNGS) | 24,066 | 998 | ||||
* | Triumph Financial Inc. | 15,498 | 943 | |||
First Commonwealth Financial Corp. | 57,683 | 923 | ||||
Berkshire Hills Bancorp Inc. | 29,329 | 852 | ||||
Virtus Investment Partners Inc. | 3,893 | 819 | ||||
Hanmi Financial Corp. | 34,245 | 809 | ||||
ARMOUR Residential REIT Inc. | 148,373 | 806 | ||||
Veritex Holdings Inc. | 29,715 | 792 | ||||
Safety Insurance Group Inc. | 9,431 | 761 | ||||
Southside Bancshares Inc. | 19,867 | 759 | ||||
FB Financial Corp. | 19,760 | 745 | ||||
Employers Holdings Inc. | 15,601 | 693 | ||||
Tompkins Financial Corp. | 9,066 | 678 | ||||
AMERISAFE Inc. | 11,857 | 647 | ||||
* | Donnelley Financial Solutions Inc. | 14,096 | 596 | |||
TrustCo Bank Corp. | 14,066 | 527 | ||||
* | Customers Bancorp Inc. | 17,082 | 526 | |||
Brightsphere Investment Group Inc. | 18,817 | 472 | ||||
WisdomTree Inc. | 69,937 | 418 | ||||
Northfield Bancorp Inc. | 25,488 | 375 | ||||
1 | B. Riley Financial Inc. | 8,797 | 350 | |||
Invesco Mortgage Capital Inc. | 18,009 | 226 | ||||
87,034 | ||||||
Health Care (12.7%) | ||||||
Ensign Group Inc. | 62,318 | 5,576 | ||||
* | Cytokinetics Inc. | 106,283 | 4,608 | |||
* | Merit Medical Systems Inc. | 63,927 | 4,512 | |||
* | AMN Healthcare Services Inc. | 48,674 | 4,381 | |||
* | Prestige Consumer Healthcare Inc. | 38,931 | 2,346 | |||
* | Supernus Pharmaceuticals Inc. | 60,707 | 2,282 | |||
* | Corcept Therapeutics Inc. | 107,596 | 2,241 | |||
* | Pacira BioSciences Inc. | 51,523 | 2,193 | |||
* | Xencor Inc. | 67,295 | 2,162 | |||
* | Veradigm Inc. | 122,703 | 2,038 | |||
* | Addus HomeCare Corp. | 18,093 | 1,966 | |||
* | Vir Biotechnology Inc. | 85,222 | 1,943 | |||
* | Glaukos Corp. | 35,891 | 1,695 |
Shares | Market Value• ($000) | |||||
* | Catalyst Pharmaceuticals Inc. | 107,537 | 1,641 | |||
CONMED Corp. | 16,770 | 1,613 | ||||
* | Harmony Biosciences Holdings Inc. | 33,309 | 1,467 | |||
* | AdaptHealth Corp. Class A | 86,251 | 1,379 | |||
* | Dynavax Technologies Corp. | 133,262 | 1,373 | |||
* | Amphastar Pharmaceuticals Inc. | 42,332 | 1,349 | |||
* | CorVel Corp. | 6,678 | 1,204 | |||
* | NextGen Healthcare Inc. | 61,487 | 1,113 | |||
* | Arcus Biosciences Inc. | 58,543 | 1,066 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 94,411 | 1,064 | |||
* | Cross Country Healthcare Inc. | 39,794 | 1,053 | |||
* | Collegium Pharmaceutical Inc. | 37,698 | 1,000 | |||
Embecta Corp. | 30,528 | 975 | ||||
* | uniQure NV | 46,257 | 969 | |||
* | REGENXBIO Inc. | 42,289 | 941 | |||
* | Vericel Corp. | 30,224 | 919 | |||
US Physical Therapy Inc. | 8,905 | 902 | ||||
* | BioLife Solutions Inc. | 38,420 | 894 | |||
* | Innoviva Inc. | 70,529 | 851 | |||
* | Avid Bioservices Inc. | 48,170 | 793 | |||
LeMaitre Vascular Inc. | 15,009 | 752 | ||||
* | Ligand Pharmaceuticals Inc. | 9,746 | 703 | |||
Mesa Laboratories Inc. | 3,499 | 618 | ||||
* | Cara Therapeutics Inc. | 50,920 | 517 | |||
* | iTeos Therapeutics Inc. | 27,435 | 486 | |||
* | Cutera Inc. | 14,177 | 460 | |||
Simulations Plus Inc. | 12,019 | 457 | ||||
* | HealthStream Inc. | 17,332 | 445 | |||
* | Enanta Pharmaceuticals Inc. | 8,514 | 413 | |||
* | Fulgent Genetics Inc. | 9,993 | 328 | |||
* | Agiliti Inc. | 16,889 | 322 | |||
*,1 | Zynex Inc. | 24,459 | 316 | |||
* | ANI Pharmaceuticals Inc. | 7,163 | 300 | |||
* | Anika Therapeutics Inc. | 8,578 | 272 | |||
* | Computer Programs & Systems Inc. | 8,518 | 256 | |||
* | Coherus Biosciences Inc. | 37,162 | 252 | |||
* | Eagle Pharmaceuticals Inc. | 7,897 | 221 | |||
* | OptimizeRx Corp. | 11,313 | 202 | |||
* | Surmodics Inc. | 8,437 | 184 | |||
* | Nektar Therapeutics Class A | 101,708 | 140 | |||
*,2 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
*,2 | OmniAb Inc. 12.5 Earnout | 7,390 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 7,390 | — | |||
68,153 | ||||||
Industrials (18.4%) | ||||||
Applied Industrial Technologies Inc. | 43,325 | 6,189 | ||||
Comfort Systems USA Inc. | 40,168 | 5,842 |
Shares | Market Value• ($000) | |||||
* | Aerojet Rocketdyne Holdings Inc. | 85,036 | 4,791 | |||
Mueller Industries Inc. | 63,873 | 4,725 | ||||
AAON Inc. | 47,207 | 4,294 | ||||
Franklin Electric Co. Inc. | 43,699 | 4,176 | ||||
Exponent Inc. | 39,244 | 4,038 | ||||
Encore Wire Corp. | 20,604 | 3,977 | ||||
Hillenbrand Inc. | 78,011 | 3,677 | ||||
Federal Signal Corp. | 68,109 | 3,594 | ||||
Albany International Corp. Class A | 34,931 | 3,525 | ||||
Forward Air Corp. | 29,863 | 3,082 | ||||
Boise Cascade Co. | 44,312 | 3,062 | ||||
Matson Inc. | 42,437 | 2,822 | ||||
EnPro Industries Inc. | 23,364 | 2,512 | ||||
* | AeroVironment Inc. | 28,066 | 2,406 | |||
* | SPX Technologies Inc. | 31,466 | 2,216 | |||
Arcosa Inc. | 35,841 | 2,172 | ||||
UniFirst Corp. | 9,991 | 1,960 | ||||
Moog Inc. Class A | 19,843 | 1,957 | ||||
Griffon Corp. | 53,199 | 1,940 | ||||
Brady Corp. Class A | 33,861 | 1,868 | ||||
Lindsay Corp. | 12,332 | 1,856 | ||||
ESCO Technologies Inc. | 19,745 | 1,840 | ||||
Korn Ferry | 28,778 | 1,608 | ||||
Alamo Group Inc. | 8,437 | 1,539 | ||||
* | Hub Group Inc. Class A | 16,502 | 1,514 | |||
Trinity Industries Inc. | 53,936 | 1,505 | ||||
* | NV5 Global Inc. | 13,980 | 1,471 | |||
Marten Transport Ltd. | 64,651 | 1,427 | ||||
* | PGT Innovations Inc. | 67,388 | 1,425 | |||
* | Atlas Air Worldwide Holdings Inc. | 13,030 | 1,314 | |||
Enerpac Tool Group Corp. Class A | 42,156 | 1,135 | ||||
* | MYR Group Inc. | 9,321 | 1,124 | |||
Standex International Corp. | 9,152 | 1,059 | ||||
Wabash National Corp. | 31,235 | 856 | ||||
* | Sun Country Airlines Holdings Inc. | 36,602 | 734 | |||
* | Titan International Inc. | 57,176 | 710 | |||
Apogee Enterprises Inc. | 14,247 | 652 | ||||
Heartland Express Inc. | 34,132 | 551 | ||||
Quanex Building Products Corp. | 21,102 | 548 | ||||
Insteel Industries Inc. | 10,102 | 301 | ||||
* | Liquidity Services Inc. | 16,868 | 214 | |||
Park Aerospace Corp. | 11,406 | 187 | ||||
98,395 | ||||||
Information Technology (18.5%) | ||||||
* | SPS Commerce Inc. | 40,481 | 6,098 | |||
* | Rambus Inc. | 120,733 | 5,340 | |||
* | Fabrinet | 41,094 | 5,008 | |||
* | Axcelis Technologies Inc. | 36,898 | 4,743 | |||
* | Diodes Inc. | 51,076 | 4,683 | |||
* | Onto Innovation Inc. | 55,619 | 4,587 |
Shares | Market Value• ($000) | |||||
Badger Meter Inc. | 32,873 | 3,998 | ||||
Advanced Energy Industries Inc. | 41,986 | 3,908 | ||||
Kulicke & Soffa Industries Inc. | 65,225 | 3,477 | ||||
* | Plexus Corp. | 31,088 | 2,981 | |||
* | Alarm.com Holdings Inc. | 56,054 | 2,849 | |||
* | MaxLinear Inc. Class A | 81,185 | 2,777 | |||
Progress Software Corp. | 48,296 | 2,774 | ||||
* | Extreme Networks Inc. | 147,528 | 2,762 | |||
* | Verra Mobility Corp. Class A | 157,042 | 2,706 | |||
1 | InterDigital Inc. | 30,238 | 2,207 | |||
* | NetScout Systems Inc. | 77,084 | 2,192 | |||
* | DoubleVerify Holdings Inc. | 83,329 | 2,189 | |||
CSG Systems International Inc. | 34,044 | 1,913 | ||||
* | Sanmina Corp. | 29,674 | 1,794 | |||
* | Agilysys Inc. | 22,240 | 1,777 | |||
EVERTEC Inc. | 47,603 | 1,752 | ||||
* | Perficient Inc. | 22,166 | 1,569 | |||
* | Harmonic Inc. | 118,422 | 1,562 | |||
CTS Corp. | 35,804 | 1,551 | ||||
* | Viavi Solutions Inc. | 132,175 | 1,446 | |||
* | Digi International Inc. | 39,639 | 1,323 | |||
* | Cohu Inc. | 35,313 | 1,314 | |||
* | PDF Solutions Inc. | 33,171 | 1,242 | |||
* | Veeco Instruments Inc. | 57,770 | 1,229 | |||
* | Photronics Inc. | 69,298 | 1,221 | |||
A10 Networks Inc. | 71,764 | 1,092 | ||||
Methode Electronics Inc. | 21,356 | 1,041 | ||||
* | LiveRamp Holdings Inc. | 41,050 | 970 | |||
ADTRAN Holdings Inc. | 54,751 | 955 | ||||
* | Ultra Clean Holdings Inc. | 28,104 | 895 | |||
* | OSI Systems Inc. | 8,977 | 831 | |||
* | Clearfield Inc. | 12,846 | 805 | |||
* | ePlus Inc. | 14,502 | 786 | |||
* | Sabre Corp. | 140,140 | 709 | |||
* | Digital Turbine Inc. | 64,753 | 696 | |||
* | Alpha & Omega Semiconductor Ltd. | 24,941 | 666 | |||
* | Avid Technology Inc. | 22,027 | 640 | |||
* | Payoneer Global Inc. | 96,806 | 562 | |||
* | Consensus Cloud Solutions Inc. | 13,476 | 553 | |||
* | CEVA Inc. | 15,809 | 499 | |||
TTEC Holdings Inc. | 10,555 | 425 | ||||
* | Corsair Gaming Inc. | 24,128 | 422 | |||
* | LivePerson Inc. | 41,031 | 415 | |||
* | 8x8 Inc. | 57,799 | 308 | |||
* | OneSpan Inc. | 19,533 | 264 | |||
* | Arlo Technologies Inc. | 50,239 | 191 | |||
98,697 | ||||||
Materials (6.4%) | ||||||
* | Livent Corp. | 201,473 | 4,724 | |||
Balchem Corp. | 36,093 | 4,692 | ||||
* | ATI Inc. | 90,130 | 3,664 |
Shares | Market Value• ($000) | |||||
Innospec Inc. | 27,817 | 3,045 | ||||
Quaker Chemical Corp. | 15,307 | 2,997 | ||||
HB Fuller Co. | 38,325 | 2,673 | ||||
* | O-I Glass Inc. | 80,161 | 1,781 | |||
Stepan Co. | 15,417 | 1,605 | ||||
Materion Corp. | 13,143 | 1,468 | ||||
Kaiser Aluminum Corp. | 17,904 | 1,420 | ||||
Warrior Met Coal Inc. | 32,497 | 1,244 | ||||
Myers Industries Inc. | 40,989 | 1,059 | ||||
Sylvamo Corp. | 21,175 | 1,045 | ||||
Hawkins Inc. | 21,244 | 864 | ||||
American Vanguard Corp. | 31,278 | 653 | ||||
Haynes International Inc. | 9,335 | 511 | ||||
* | TimkenSteel Corp. | 19,125 | 350 | |||
Mercer International Inc. | 19,692 | 212 | ||||
FutureFuel Corp. | 16,286 | 142 | ||||
34,149 | ||||||
Real Estate (3.2%) | ||||||
Innovative Industrial Properties Inc. | 31,417 | 2,778 | ||||
Four Corners Property Trust Inc. | 63,121 | 1,714 | ||||
St. Joe Co. | 37,996 | 1,627 | ||||
CareTrust REIT Inc. | 67,557 | 1,329 | ||||
Tanger Factory Outlet Centers Inc. | 64,452 | 1,218 | ||||
LTC Properties Inc. | 29,568 | 1,059 | ||||
Getty Realty Corp. | 30,570 | 1,049 | ||||
Urban Edge Properties | 67,232 | 1,035 | ||||
Marcus & Millichap Inc. | 27,847 | 957 | ||||
* | Veris Residential Inc. | 49,809 | 804 | |||
Uniti Group Inc. | 119,947 | 659 | ||||
NexPoint Residential Trust Inc. | 13,559 | 657 | ||||
Armada Hoffler Properties Inc. | 49,553 | 635 | ||||
Community Healthcare Trust Inc. | 15,879 | 615 | ||||
Universal Health Realty Income Trust | 9,227 | 489 | ||||
Urstadt Biddle Properties Inc. Class A | 19,130 | 331 | ||||
Saul Centers Inc. | 8,269 | 325 | ||||
17,281 | ||||||
Utilities (2.6%) | ||||||
American States Water Co. | 28,644 | 2,558 | ||||
SJW Group | 29,969 | 2,291 | ||||
California Water Service Group | 38,175 | 2,185 | ||||
Otter Tail Corp. | 28,525 | 2,022 | ||||
Chesapeake Utilities Corp. | 13,349 | 1,710 | ||||
Northwest Natural Holding Co. | 25,225 | 1,219 |
Shares | Market Value• ($000) | |||||
Unitil Corp. | 18,014 | 979 | ||||
Middlesex Water Co. | 12,676 | 970 | ||||
13,934 | ||||||
Total Common Stocks (Cost $494,048) | 534,139 | |||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 4.640% (Cost $5,037) | 50,378 | 5,038 | |||
Total Investments (100.9%) (Cost $499,085) | 539,177 | |||||
Other Assets and Liabilities—Net (-0.9%) | (4,642) | |||||
Net Assets (100%) | 534,535 |
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 $3,929,000. |
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 $4,004,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 4 | 380 | (3) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $494,048) | 534,139 |
Affiliated Issuers (Cost $5,037) | 5,038 |
Total Investments in Securities | 539,177 |
Investment in Vanguard | 19 |
Cash Collateral Pledged—Futures Contracts | 80 |
Receivables for Investment Securities Sold | 2,078 |
Receivables for Accrued Income | 380 |
Receivables for Capital Shares Issued | 3 |
Total Assets | 541,737 |
Liabilities | |
Due to Custodian | 460 |
Payables for Investment Securities Purchased | 2,709 |
Collateral for Securities on Loan | 4,004 |
Payables to Vanguard | 29 |
Variation Margin Payable—Futures Contracts | — |
Total Liabilities | 7,202 |
Net Assets | 534,535 |
1 Includes $3,929,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: | |
Paid-in Capital | 661,620 |
Total Distributable Earnings (Loss) | (127,085) |
Net Assets | 534,535 |
ETF Shares—Net Assets2 | |
Applicable to 5,400,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 534,535 |
Net Asset Value Per Share—ETF Shares | $98.99 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,463 |
Interest2 | 10 |
Securities Lending—Net | 14 |
Total Income | 3,487 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6 |
Management and Administrative | 311 |
Marketing and Distribution | 14 |
Custodian Fees | 13 |
Shareholders’ Reports | 21 |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 371 |
Net Investment Income | 3,116 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (56,097) |
Futures Contracts | 54 |
Realized Net Gain (Loss) | (56,043) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 68,618 |
Futures Contracts | 6 |
Change in Unrealized Appreciation (Depreciation) | 68,624 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,697 |
1 | Dividends are net of foreign withholding taxes of $7,000. |
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 $10,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $8,948,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 3,116 | 4,673 | |
Realized Net Gain (Loss) | (56,043) | 19,847 | |
Change in Unrealized Appreciation (Depreciation) | 68,624 | (121,602) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,697 | (97,082) | |
Distributions | |||
Total Distributions | (3,674) | (5,133) | |
Capital Share Transactions | |||
Issued | 66,079 | 232,231 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (36,695) | (202,342) | |
Net Increase (Decrease) from Capital Share Transactions | 29,384 | 29,889 | |
Total Increase (Decrease) | 41,407 | (72,326) | |
Net Assets | |||
Beginning of Period | 493,128 | 565,454 | |
End of Period | 534,535 | 493,128 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 | Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $96.69 | $116.59 | $79.48 | $76.17 | $89.71 | $66.05 |
Investment Operations | ||||||
Net Investment Income2 | .596 | .927 | .813 | .732 | .738 | .611 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.411 | (19.803) | 36.946 | 3.323 | (13.572) | 23.644 |
Total from Investment Operations | 3.007 | (18.876) | 37.759 | 4.055 | (12.834) | 24.255 |
Distributions | ||||||
Dividends from Net Investment Income | (.707) | (1.024) | (.649) | (.745) | (.706) | (.595) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.707) | (1.024) | (.649) | (.745) | (.706) | (.595) |
Net Asset Value, End of Period | $98.99 | $96.69 | $116.59 | $79.48 | $76.17 | $89.71 |
Total Return | 3.17% | -16.27% | 47.68% | 5.37% | -14.32% | 36.92% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $535 | $493 | $565 | $326 | $392 | $547 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.16% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.25% | 0.87% | 0.79% | 0.97% | 0.94% | 0.80% |
Portfolio Turnover Rate3 | 38% | 42% | 35% | 57% | 47% | 37% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 534,139 | — | — | 534,139 |
Temporary Cash Investments | 5,038 | — | — | 5,038 |
Total | 539,177 | — | — | 539,177 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 3 | — | — | 3 |
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. |
Amount ($000) | |
Tax Cost | 499,888 |
Gross Unrealized Appreciation | 71,092 |
Gross Unrealized Depreciation | (31,806) |
Net Unrealized Appreciation (Depreciation) | 39,286 |
Six Months Ended February 28, 2023 | Year Ended August 31, 2022 | ||
Shares (000) | Shares (000) | ||
ETF Shares1 | |||
Issued | 700 | 2,100 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (400) | (1,850) | |
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 300 | 250 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
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Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: April 20, 2023
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: April 20, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.