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—August 31, 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 | 18 |
Treasury Money Market Fund | 32 |
Trustees Approve Advisory Arrangements | 45 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2023 | |||
Beginning Account Value 2/28/2023 | Ending Account Value 8/31/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,025.30 | $0.51 |
Federal Money Market Fund | $1,000.00 | $1,025.30 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,025.00 | $0.46 |
Based on Hypothetical 5% Yearly Return | |||
Cash Reserves Federal Money Market Fund | $1,000.00 | $1,024.70 | $0.51 |
Federal Money Market Fund | $1,000.00 | $1,024.65 | $0.56 |
Treasury Money Market Fund | $1,000.00 | $1,024.75 | $0.46 |
1 - 7 Days | 59.3% |
8 - 30 Days | 8.4 |
31 - 60 Days | 11.8 |
61 - 90 Days | 6.7 |
91 - 180 Days | 11.1 |
Over 180 Days | 2.7 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (64.5%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 5.350% | 9/1/23 | 52,000 | 51,999 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 5.360% | 9/1/23 | 71,000 | 70,998 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 5.325% | 9/1/23 | 79,938 | 79,937 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 5.340% | 9/1/23 | 263,175 | 263,170 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 5.340% | 9/1/23 | 65,648 | 65,648 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 5.345% | 9/1/23 | 57,000 | 57,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 5.350% | 9/1/23 | 91,000 | 91,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 5.350% | 9/1/23 | 27,839 | 27,838 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 5.355% | 9/1/23 | 175,000 | 175,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 5.355% | 9/1/23 | 65,000 | 65,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 5.380% | 9/1/23 | 130,709 | 130,707 |
Federal Farm Credit Discount Notes | 5.322% | 11/24/23 | 3,554 | 3,510 | |
Federal Home Loan Banks | 5.020% | 12/14/23 | 447,000 | 446,995 | |
Federal Home Loan Banks | 5.510% | 4/1/24 | 478,190 | 478,190 | |
Federal Home Loan Banks | 5.500% | 4/1/24 | 224,500 | 224,500 | |
Federal Home Loan Banks | 5.350% | 5/30/24 | 297,760 | 297,760 | |
Federal Home Loan Banks Discount Notes | 5.389% | 9/6/23 | 2,009 | 2,008 | |
Federal Home Loan Banks Discount Notes | 5.158%–5.164% | 9/13/23 | 158,792 | 158,525 | |
Federal Home Loan Banks Discount Notes | 5.205% | 9/15/23 | 29,766 | 29,707 | |
Federal Home Loan Banks Discount Notes | 5.399% | 9/19/23 | 3,462 | 3,453 | |
Federal Home Loan Banks Discount Notes | 5.315% | 9/20/23 | 181,560 | 181,062 | |
Federal Home Loan Banks Discount Notes | 5.366% | 9/22/23 | 445,140 | 443,790 | |
Federal Home Loan Banks Discount Notes | 5.369% | 9/26/23 | 148,865 | 148,327 | |
Federal Home Loan Banks Discount Notes | 5.301%–5.392% | 10/11/23 | 684,760 | 680,749 | |
Federal Home Loan Banks Discount Notes | 5.303%–5.398% | 10/13/23 | 270,932 | 269,267 | |
Federal Home Loan Banks Discount Notes | 5.314% | 10/16/23 | 169,000 | 167,893 | |
Federal Home Loan Banks Discount Notes | 5.307%–5.332% | 10/18/23 | 925,217 | 918,860 | |
Federal Home Loan Banks Discount Notes | 5.313%–5.418% | 10/20/23 | 350,264 | 347,752 | |
Federal Home Loan Banks Discount Notes | 5.356%–5.445% | 10/25/23 | 625,740 | 620,794 | |
Federal Home Loan Banks Discount Notes | 5.308%–5.428% | 10/27/23 | 204,423 | 202,742 | |
Federal Home Loan Banks Discount Notes | 5.374%–5.435% | 11/1/23 | 72,656 | 72,005 | |
Federal Home Loan Banks Discount Notes | 5.372% | 11/3/23 | 497,245 | 492,646 | |
Federal Home Loan Banks Discount Notes | 5.372% | 11/8/23 | 45,308 | 44,856 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 5.359%–5.453% | 11/10/23 | 351,597 | 347,992 | |
Federal Home Loan Banks Discount Notes | 5.466% | 11/14/23 | 6,000 | 5,934 | |
Federal Home Loan Banks Discount Notes | 5.441% | 11/15/23 | 44,387 | 43,897 | |
Federal Home Loan Banks Discount Notes | 5.393% | 11/17/23 | 82,943 | 82,008 | |
Federal Home Loan Banks Discount Notes | 5.396% | 11/24/23 | 451,676 | 446,082 | |
Federal Home Loan Banks Discount Notes | 5.505% | 12/13/23 | 40,234 | 39,619 | |
Federal Home Loan Banks Discount Notes | 5.506% | 12/15/23 | 29,521 | 29,061 | |
Federal Home Loan Banks Discount Notes | 5.511% | 12/20/23 | 29,521 | 29,039 | |
Federal Home Loan Banks Discount Notes | 5.466% | 12/22/23 | 297,568 | 292,624 | |
Federal Home Loan Banks Discount Notes | 5.078% | 2/8/24 | 297,982 | 291,652 | |
Federal Home Loan Banks Discount Notes | 5.065% | 2/9/24 | 893,658 | 874,554 | |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.320% | 9/1/23 | 448,600 | 448,600 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.320% | 11/27/23 | 29,500 | 29,500 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 549,000 | 549,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 482,100 | 482,100 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 216,720 | 216,720 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 159,400 | 159,400 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 118,900 | 118,900 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/15/23 | 236,800 | 236,800 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/21/23 | 296,105 | 296,105 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/21/23 | 147,975 | 147,975 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/22/23 | 471,000 | 471,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/26/23 | 29,600 | 29,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 710,305 | 710,305 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 600,000 | 600,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 477,200 | 477,200 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 397,300 | 397,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 336,400 | 336,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 310,300 | 310,300 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 242,975 | 242,975 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 241,665 | 241,665 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 239,000 | 239,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 239,000 | 239,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 141,875 | 141,875 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 84,210 | 84,210 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/25/23 | 298,000 | 298,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 11/20/23 | 147,525 | 147,525 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 12/11/23 | 148,090 | 148,090 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 1/24/24 | 732,670 | 732,670 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 1/29/24 | 330,830 | 330,830 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 722,225 | 722,225 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 483,400 | 483,400 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 429,515 | 429,515 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 141,875 | 141,875 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 118,900 | 118,900 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 108,000 | 108,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 708,300 | 708,300 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 109,955 | 109,955 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 82,355 | 82,355 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 10/19/23 | 149,000 | 149,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 10/20/23 | 149,005 | 149,005 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 1/9/24 | 444,215 | 444,215 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 1/17/24 | 500,000 | 500,000 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/20/24 | 214,640 | 214,640 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/26/24 | 59,105 | 59,105 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/27/24 | 1,062,360 | 1,062,360 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/28/24 | 443,755 | 443,755 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 10/24/23 | 298,065 | 298,065 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 3/4/24 | 187,000 | 187,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 3/8/24 | 295,640 | 295,640 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 9/1/23 | 238,600 | 238,600 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 11/28/23 | 298,000 | 298,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/22/24 | 295,195 | 295,195 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/28/24 | 222,000 | 222,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/28/24 | 105,000 | 105,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 4/5/24 | 591,680 | 591,680 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 9/1/23 | 532,000 | 532,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 9/1/23 | 238,600 | 238,600 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 11/24/23 | 595,600 | 595,600 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 2/16/24 | 44,335 | 44,337 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 598,000 | 598,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 446,200 | 446,200 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 174,000 | 174,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 121,000 | 121,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 119,625 | 119,625 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 598,300 | 598,300 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 482,300 | 482,300 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 235,000 | 235,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 447,400 | 447,400 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 273,000 | 273,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 202,000 | 202,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 166,000 | 166,000 |
2 | Federal Home Loan Banks, SOFR + 0.075% | 5.375% | 9/1/23 | 297,800 | 297,800 |
2 | Federal Home Loan Banks, SOFR + 0.080% | 5.380% | 9/1/23 | 1,000,000 | 1,000,000 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 806,050 | 806,050 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 298,000 | 298,000 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 297,100 | 297,100 |
2 | Federal Home Loan Banks, SOFR + 0.095% | 5.395% | 9/1/23 | 994,215 | 994,216 |
2 | Federal Home Loan Banks, SOFR + 0.100% | 5.400% | 9/1/23 | 1,000,000 | 1,000,000 |
2 | Federal Home Loan Banks, SOFR + 0.120% | 5.420% | 9/1/23 | 10,815 | 10,818 |
3 | Federal Home Loan Mortgage Corp. | 0.125% | 10/16/23 | 177,920 | 176,792 |
United States Treasury Bill | 4.965% | 9/1/23 | 2,119,128 | 2,101,690 | |
United States Treasury Bill | 4.561%–4.960% | 9/1/23 | 1,856,435 | 1,848,811 | |
United States Treasury Bill | 4.557%–4.880% | 9/5/23 | 2,000,000 | 1,998,844 | |
United States Treasury Bill | 5.137%–5.152% | 9/7/23 | 1,111,000 | 1,110,023 | |
United States Treasury Bill | 4.561%–5.007% | 9/19/23 | 805,900 | 803,783 | |
United States Treasury Bill | 4.565%–5.185% | 9/26/23 | 2,365,647 | 2,356,966 | |
United States Treasury Bill | 4.829%–5.163% | 9/28/23 | 1,422,333 | 1,416,742 | |
United States Treasury Bill | 5.014%–5.142% | 10/5/23 | 1,250,897 | 1,244,719 | |
United States Treasury Bill | 4.955% | 10/10/23 | 456,200 | 453,632 | |
United States Treasury Bill | 4.946%–5.284% | 10/12/23 | 1,676,680 | 1,666,654 | |
United States Treasury Bill | 4.955%–5.074% | 10/17/23 | 531,517 | 527,976 | |
United States Treasury Bill | 4.980%–5.232% | 10/19/23 | 1,589,736 | 1,578,603 | |
United States Treasury Bill | 4.965%–5.108% | 10/24/23 | 2,165,184 | 2,148,321 | |
United States Treasury Bill | 4.949% | 10/26/23 | 1,940,000 | 1,924,378 | |
United States Treasury Bill | 5.012% | 11/2/23 | 1,760,599 | 1,744,588 | |
United States Treasury Bill | 5.157% | 11/7/23 | 1,014,000 | 1,004,092 | |
United States Treasury Bill | 5.001% | 11/9/23 | 1,047,000 | 1,036,284 | |
United States Treasury Bill | 5.268% | 11/16/23 | 451,248 | 446,204 | |
United States Treasury Bill | 5.275% | 11/24/23 | 887,501 | 876,526 | |
United States Treasury Bill | 5.313%–5.451% | 11/30/23 | 2,552,463 | 2,518,459 | |
United States Treasury Bill | 5.212% | 12/19/23 | 645,372 | 635,006 | |
United States Treasury Bill | 5.222% | 12/26/23 | 1,625,000 | 1,597,170 | |
United States Treasury Bill | 5.237% | 1/2/24 | 1,085,000 | 1,065,884 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 5.338% | 9/1/23 | 72,960 | 72,924 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 5.450% | 9/1/23 | 900,000 | 900,000 |
Total U.S. Government and Agency Obligations (Cost $70,349,397) | 70,349,397 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Repurchase Agreements (40.5%) | |||||
Bank of Montreal (Dated 7/24/23, Repurchase Value $147,953,000, collateralized by United States Treasury Bill 0.000%, 10/26/23–2/22/24, with a value of $149,940,000) | 5.305% | 9/6/23 | 147,000 | 147,000 | |
Bank of Montreal (Dated 7/27/23, Repurchase Value $148,214,000, collateralized by United States Treasury Note/Bond 4.000%–4.625%, 2/28/25–7/31/30, with a value of $149,940,000) | 5.310% | 9/21/23 | 147,000 | 147,000 | |
Bank of Montreal (Dated 8/23/23, Repurchase Value $73,312,000, collateralized by United States Treasury Bill 0.000%, 10/19/23, with a value of $74,460,000) | 5.305% | 9/21/23 | 73,000 | 73,000 | |
Canadian Imperial Bank of Commerce (Dated 7/27/23, Repurchase Value $1,468,027,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 7/15/24–2/15/50, and United States Treasury Note/Bond 0.500%–4.250%, 7/31/24–11/15/52, with a value of $1,485,120,000) | 5.310% | 9/21/23 | 1,456,000 | 1,456,000 | |
Canadian Imperial Bank of Commerce (Dated 8/29/23, Repurchase Value $43,146,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.250%, 2/15/50–2/15/52, and United States Treasury Note/Bond 0.500%–4.125%, 12/31/25–2/15/49, with a value of $43,860,000) | 5.310% | 9/21/23 | 43,000 | 43,000 | |
Credit Agricole Securities (Dated 8/31/23, Repurchase Value $489,072,000, collateralized by United States Treasury Note/Bond 0.250%–1.750%, 3/15/25–10/31/25, with a value of $498,780,000) | 5.300% | 9/1/23 | 489,000 | 489,000 | |
Credit Agricole Securities (Dated 8/31/23, Repurchase Value $279,041,000, collateralized by United States Treasury Note/Bond 0.375%–2.375%, 4/30/25–3/31/29, with a value of $284,580,000) | 5.310% | 9/1/23 | 279,000 | 279,000 | |
Federal Reserve Bank of New York (Dated 8/31/23, Repurchase Value $34,006,006,000, collateralized by United States Treasury Note/Bond 0.250%–3.875%, 5/15/24–5/15/52, with a value of $34,006,006,000) | 5.300% | 9/1/23 | 34,001,000 | 34,001,000 | |
Fixed Income Clearing Corp. (Dated 8/31/23, Repurchase Value $2,098,309,000, collateralized by United States Treasury Note/Bond 5.300%, 9/1/23, with a value of $2,150,450,000) | 5.300% | 9/1/23 | 2,098,000 | 2,098,000 | |
Fixed Income Clearing Corp. (Dated 8/31/23, Repurchase Value $1,958,288,000, collateralized by United States Treasury Note/Bond 1.375%–4.250%, 11/15/31–11/15/52, with a value of $1,997,160,000) | 5.300% | 9/1/23 | 1,958,000 | 1,958,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
MUFG Securities America Inc. (Dated 8/31/23, Repurchase Value $139,020,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.375%, 10/15/24–1/15/32, and United States Treasury Note/Bond 0.750%–3.000%, 12/31/23–11/30/28, with a value of $141,780,000) | 5.300% | 9/1/23 | 139,000 | 139,000 | |
Nomura International plc (Dated 8/31/23, Repurchase Value $139,020,000, collateralized by United States Treasury Bill 0.000%, 12/19/23–12/26/23, United States Treasury Inflation Indexed Note/Bond 0.250%–0.750%, 1/15/25–2/15/42, and United States Treasury Note/Bond 0.375%–2.750%, 10/15/24–8/15/51, with a value of $141,780,000) | 5.300% | 9/1/23 | 139,000 | 139,000 | |
RBC Capital Markets LLC (Dated 7/27/23, Repurchase Value $446,659,000, collateralized by United States Treasury Bill 0.000%, 10/5/23–11/14/23, United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/25–2/15/45, and United States Treasury Note/Bond 0.375%–4.250%, 2/15/24–11/15/51, with a value of $451,860,000) | 5.310% | 9/21/23 | 443,000 | 443,000 | |
Royal Bank of Canada (Dated 7/27/23, Repurchase Value $1,639,431,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/24–7/15/32, and United States Treasury Note/Bond 0.125%–6.000%, 9/30/23–5/15/52, with a value of $1,658,520,000) | 5.310% | 9/21/23 | 1,626,000 | 1,626,000 | |
Standard Chartered Bank (Dated 8/31/23, Repurchase Value $559,082,000, collateralized by United States Treasury Bill 0.000%, 11/16/23, and United States Treasury Note/Bond 0.250%–4.500%, 5/15/24–5/15/51, with a value of $570,264,000) | 5.300% | 9/1/23 | 559,000 | 559,000 | |
Sumitomo Mitsui Banking Corp. (Dated 8/31/23, Repurchase Value $419,062,000, collateralized by United States Treasury Note/Bond 1.250%–4.250%, 3/31/24–12/31/28, with a value of $427,380,000) | 5.300% | 9/1/23 | 419,000 | 419,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
TD Securities (USA) LLC (Dated 8/31/23, Repurchase Value $83,012,000, collateralized by United States Treasury Note/Bond 2.500%–3.125%, 4/30/24–8/15/25, with a value of $84,660,000) | 5.310% | 9/1/23 | 83,000 | 83,000 | |
Total Repurchase Agreements (Cost $44,099,000) | 44,099,000 | ||||
Total Investments (105.0%) (Cost $114,448,397) | 114,448,397 | ||||
Other Assets and Liabilities—Net (-5.0%) | (5,448,992) | ||||
Net Assets (100%) | 108,999,405 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3M—3-month. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $70,349,397) | 70,349,397 |
Repurchase Agreements (Cost $44,099,000) | 44,099,000 |
Total Investments in Securities | 114,448,397 |
Investment in Vanguard | 3,532 |
Receivables for Accrued Income | 214,667 |
Receivables for Capital Shares Issued | 187,144 |
Total Assets | 114,853,740 |
Liabilities | |
Due to Custodian | 1,422 |
Payables for Investment Securities Purchased | 5,638,238 |
Payables for Capital Shares Redeemed | 175,924 |
Payables for Distributions | 34,003 |
Payables to Vanguard | 4,748 |
Total Liabilities | 5,854,335 |
Net Assets | 108,999,405 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 108,998,733 |
Total Distributable Earnings (Loss) | 672 |
Net Assets | 108,999,405 |
Net Assets | |
Applicable to 108,985,451,403 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 108,999,405 |
Net Asset Value Per Share | $1.00 |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 4,382,615 |
Total Income | 4,382,615 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 410 |
Management and Administrative | 91,752 |
Marketing and Distribution | 5,507 |
Custodian Fees | 199 |
Auditing Fees | 31 |
Shareholders’ Reports | 689 |
Trustees’ Fees and Expenses | 50 |
Other Expenses | 14 |
Total Expenses | 98,652 |
Expenses Paid Indirectly | (55) |
Net Expenses | 98,597 |
Net Investment Income | 4,284,018 |
Realized Net Gain (Loss) on Investment Securities Sold | 728 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,284,746 |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,284,018 | 422,281 |
Realized Net Gain (Loss) | 728 | 62 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,284,746 | 422,343 |
Distributions | ||
Total Distributions | (4,284,220) | (430,686) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 61,590,228 | 32,229,346 |
Issued in Lieu of Cash Distributions | 3,952,800 | 400,798 |
Redeemed | (45,093,879) | (38,955,502) |
Net Increase (Decrease) from Capital Share Transactions | 20,449,149 | (6,325,358) |
Total Increase (Decrease) | 20,449,675 | (6,333,701) |
Net Assets | ||
Beginning of Period | 88,549,730 | 94,883,431 |
End of Period | 108,999,405 | 88,549,730 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0435 | .0047 | .0002 | .012 | .024 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0006) | .0002 | — | — | — |
Total from Investment Operations | .0429 | .0049 | .0002 | .012 | .024 |
Distributions | |||||
Dividends from Net Investment Income | (.0429) | (.0048) | (.0002) | (.012) | (.024) |
Distributions from Realized Capital Gains | (.0000)2 | (.0001) | — | — | — |
Total Distributions | (.0429) | (.0049) | (.0002) | (.012) | (.024) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 | 4.38% | 0.49% | 0.02% | 1.21% | 2.42% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $108,999 | $88,550 | $94,883 | $25,704 | $18,923 |
Ratio of Total Expenses to Average Net Assets4 | 0.10%5 | 0.08% | 0.07% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 4.35% | 0.47% | 0.02% | 1.20% | 2.39% |
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 years ended August 31, 2023, 2020 and 2019, there were no expense reductions. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $55,000 (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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 34,667 |
Undistributed Long-Term Gains | 8 |
Net Unrealized Gains (Losses) | — |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Other Temporary Differences | (34,003) |
Total | 672 |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 4,284,219 | 430,686 |
Long-Term Capital Gains | 1 | — |
Total | 4,284,220 | 430,686 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 114,448,397 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
F. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 60.4% |
8 - 30 Days | 8.2 |
31 - 60 Days | 12.0 |
61 - 90 Days | 6.3 |
91 - 180 Days | 10.4 |
Over 180 Days | 2.7 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (61.7%) | |||||
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.020% | 5.350% | 9/1/23 | 123,000 | 122,997 |
2 | Federal Farm Credit Banks Funding Corp., EFFR + 0.030% | 5.360% | 9/1/23 | 154,000 | 153,996 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 5.325% | 9/1/23 | 186,901 | 186,899 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 5.340% | 9/1/23 | 149,548 | 149,548 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.045% | 5.345% | 9/1/23 | 127,000 | 127,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 5.350% | 9/1/23 | 199,000 | 199,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 5.350% | 9/1/23 | 66,068 | 66,066 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 5.355% | 9/1/23 | 350,000 | 350,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 5.355% | 9/1/23 | 146,000 | 146,000 |
2 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 5.380% | 9/1/23 | 307,715 | 307,710 |
Federal Farm Credit Discount Notes | 5.322% | 11/24/23 | 8,446 | 8,342 | |
Federal Home Loan Banks | 5.020% | 12/14/23 | 1,047,500 | 1,047,489 | |
Federal Home Loan Banks | 5.510% | 4/1/24 | 1,115,965 | 1,115,965 | |
Federal Home Loan Banks | 5.500% | 4/1/24 | 523,000 | 523,000 | |
Federal Home Loan Banks | 5.350% | 5/30/24 | 698,665 | 698,665 | |
Federal Home Loan Banks Discount Notes | 5.386% | 9/1/23 | 532 | 532 | |
Federal Home Loan Banks Discount Notes | 5.390% | 9/5/23 | 169 | 169 | |
Federal Home Loan Banks Discount Notes | 5.389% | 9/6/23 | 1,092 | 1,091 | |
Federal Home Loan Banks Discount Notes | 5.386% | 9/8/23 | 211 | 211 | |
Federal Home Loan Banks Discount Notes | 5.158%–5.164% | 9/13/23 | 372,300 | 371,674 | |
Federal Home Loan Banks Discount Notes | 5.205% | 9/15/23 | 70,798 | 70,658 | |
Federal Home Loan Banks Discount Notes | 5.315% | 9/20/23 | 426,284 | 425,115 | |
Federal Home Loan Banks Discount Notes | 5.366% | 9/22/23 | 1,044,649 | 1,041,480 | |
Federal Home Loan Banks Discount Notes | 5.369% | 9/26/23 | 349,371 | 348,109 | |
Federal Home Loan Banks Discount Notes | 5.301%–5.392% | 10/11/23 | 1,628,607 | 1,619,067 | |
Federal Home Loan Banks Discount Notes | 5.303%–5.398% | 10/13/23 | 645,561 | 641,594 | |
Federal Home Loan Banks Discount Notes | 5.314% | 10/16/23 | 402,000 | 399,367 | |
Federal Home Loan Banks Discount Notes | 5.307%–5.332% | 10/18/23 | 2,202,029 | 2,186,900 | |
Federal Home Loan Banks Discount Notes | 5.313%–5.418% | 10/20/23 | 800,004 | 794,265 | |
Federal Home Loan Banks Discount Notes | 5.356%–5.445% | 10/25/23 | 1,421,618 | 1,410,381 | |
Federal Home Loan Banks Discount Notes | 5.308%–5.428% | 10/27/23 | 475,534 | 471,625 | |
Federal Home Loan Banks Discount Notes | 5.374%–5.435% | 11/1/23 | 173,079 | 171,528 | |
Federal Home Loan Banks Discount Notes | 5.372% | 11/3/23 | 1,184,755 | 1,173,798 | |
Federal Home Loan Banks Discount Notes | 5.372% | 11/8/23 | 107,692 | 106,617 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks Discount Notes | 5.441% | 11/15/23 | 105,613 | 104,448 | |
Federal Home Loan Banks Discount Notes | 5.393% | 11/17/23 | 197,128 | 194,906 | |
Federal Home Loan Banks Discount Notes | 5.396% | 11/24/23 | 1,078,324 | 1,064,969 | |
Federal Home Loan Banks Discount Notes | 5.505% | 12/13/23 | 96,061 | 94,593 | |
Federal Home Loan Banks Discount Notes | 5.506% | 12/15/23 | 70,479 | 69,381 | |
Federal Home Loan Banks Discount Notes | 5.511% | 12/20/23 | 70,479 | 69,329 | |
Federal Home Loan Banks Discount Notes | 5.466% | 12/22/23 | 710,432 | 698,629 | |
Federal Home Loan Banks Discount Notes | 5.078% | 2/8/24 | 698,347 | 683,511 | |
Federal Home Loan Banks Discount Notes | 5.065% | 2/9/24 | 2,095,308 | 2,050,516 | |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.320% | 9/1/23 | 1,046,000 | 1,046,000 |
2 | Federal Home Loan Banks, SOFR + 0.020% | 5.320% | 11/27/23 | 70,000 | 70,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 1,290,000 | 1,290,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 1,130,000 | 1,130,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 508,010 | 508,010 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 374,500 | 374,500 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 9/1/23 | 277,800 | 277,800 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/15/23 | 563,200 | 563,200 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/21/23 | 703,895 | 703,895 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/21/23 | 352,025 | 352,025 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/22/23 | 1,119,000 | 1,119,000 |
2 | Federal Home Loan Banks, SOFR + 0.025% | 5.325% | 12/26/23 | 70,400 | 70,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 1,662,185 | 1,662,185 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 1,403,900 | 1,403,900 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 1,115,600 | 1,115,600 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 931,400 | 931,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 909,500 | 909,500 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 727,900 | 727,900 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 566,965 | 566,965 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 564,720 | 564,720 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 560,000 | 560,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 560,000 | 560,000 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 347,555 | 347,555 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/1/23 | 333,990 | 333,990 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 9/25/23 | 698,400 | 698,400 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 11/20/23 | 350,760 | 350,760 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 12/11/23 | 351,910 | 351,910 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 1/24/24 | 1,747,330 | 1,747,330 |
2 | Federal Home Loan Banks, SOFR + 0.030% | 5.330% | 1/29/24 | 789,170 | 789,170 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 1,693,150 | 1,693,150 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 1,204,240 | 1,204,240 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 1,133,900 | 1,133,900 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 333,995 | 333,995 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 277,800 | 277,800 |
2 | Federal Home Loan Banks, SOFR + 0.035% | 5.335% | 9/1/23 | 253,300 | 253,300 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 1,664,600 | 1,664,600 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 258,845 | 258,845 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 9/1/23 | 193,570 | 193,570 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 10/19/23 | 349,200 | 349,200 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 10/20/23 | 349,235 | 349,235 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 1/9/24 | 1,055,785 | 1,055,785 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/20/24 | 510,360 | 510,360 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/26/24 | 140,895 | 140,895 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/27/24 | 2,537,640 | 2,537,640 |
2 | Federal Home Loan Banks, SOFR + 0.040% | 5.340% | 2/28/24 | 1,056,245 | 1,056,245 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 10/24/23 | 698,380 | 698,380 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 3/4/24 | 373,000 | 373,000 |
2 | Federal Home Loan Banks, SOFR + 0.045% | 5.345% | 3/8/24 | 704,360 | 704,360 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 9/1/23 | 559,200 | 559,200 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 11/28/23 | 698,400 | 698,400 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/22/24 | 704,805 | 704,805 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/28/24 | 528,000 | 528,000 |
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 3/28/24 | 245,000 | 245,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | Federal Home Loan Banks, SOFR + 0.050% | 5.350% | 4/5/24 | 1,408,320 | 1,408,320 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 9/1/23 | 994,000 | 994,000 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 9/1/23 | 559,200 | 559,200 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 11/24/23 | 1,397,300 | 1,397,300 |
2 | Federal Home Loan Banks, SOFR + 0.055% | 5.355% | 2/16/24 | 105,665 | 105,671 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 1,395,000 | 1,395,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 1,053,800 | 1,053,800 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 415,000 | 415,000 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 286,100 | 286,100 |
2 | Federal Home Loan Banks, SOFR + 0.060% | 5.360% | 9/1/23 | 283,130 | 283,130 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 1,394,400 | 1,394,400 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 1,138,000 | 1,138,000 |
2 | Federal Home Loan Banks, SOFR + 0.065% | 5.365% | 9/1/23 | 553,700 | 553,700 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 1,047,000 | 1,047,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 643,000 | 643,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 475,000 | 475,000 |
2 | Federal Home Loan Banks, SOFR + 0.070% | 5.370% | 9/1/23 | 391,400 | 391,400 |
2 | Federal Home Loan Banks, SOFR + 0.075% | 5.375% | 9/1/23 | 698,500 | 698,500 |
2 | Federal Home Loan Banks, SOFR + 0.080% | 5.380% | 9/1/23 | 1,250,000 | 1,250,000 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 1,880,010 | 1,880,010 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 702,900 | 702,900 |
2 | Federal Home Loan Banks, SOFR + 0.090% | 5.390% | 9/1/23 | 698,400 | 698,400 |
2 | Federal Home Loan Banks, SOFR + 0.095% | 5.395% | 9/1/23 | 2,329,985 | 2,329,987 |
2 | Federal Home Loan Banks, SOFR + 0.120% | 5.420% | 9/1/23 | 25,285 | 25,293 |
3 | Federal Home Loan Mortgage Corp. | 0.125% | 10/16/23 | 419,991 | 417,329 |
United States Treasury Bill | 4.965% | 9/1/23 | 5,054,100 | 5,012,510 | |
United States Treasury Bill | 4.561%–4.960% | 9/1/23 | 4,428,068 | 4,409,883 | |
United States Treasury Bill | 4.557%–4.880% | 9/5/23 | 5,000,000 | 4,997,111 | |
United States Treasury Bill | 5.137%–5.152% | 9/7/23 | 2,505,800 | 2,503,595 | |
United States Treasury Bill | 4.561%–5.007% | 9/19/23 | 2,014,750 | 2,009,456 | |
United States Treasury Bill | 4.565%–5.185% | 9/26/23 | 5,063,378 | 5,044,797 | |
United States Treasury Bill | 4.829%–5.163% | 9/28/23 | 3,284,022 | 3,271,117 | |
United States Treasury Bill | 5.014%–5.142% | 10/5/23 | 3,096,180 | 3,080,889 | |
United States Treasury Bill | 4.955% | 10/10/23 | 1,140,200 | 1,133,780 | |
United States Treasury Bill | 4.946%–5.284% | 10/12/23 | 4,061,451 | 4,037,165 | |
United States Treasury Bill | 4.955%–5.074% | 10/17/23 | 1,257,431 | 1,249,054 | |
United States Treasury Bill | 4.980%–5.232% | 10/19/23 | 3,937,354 | 3,909,781 | |
United States Treasury Bill | 4.965%–5.108% | 10/24/23 | 5,173,045 | 5,132,755 | |
United States Treasury Bill | 4.949% | 10/26/23 | 4,868,000 | 4,828,801 | |
United States Treasury Bill | 5.012% | 11/2/23 | 4,028,610 | 3,991,973 | |
United States Treasury Bill | 5.157% | 11/7/23 | 2,509,500 | 2,484,980 | |
United States Treasury Bill | 5.001% | 11/9/23 | 2,441,000 | 2,416,016 | |
United States Treasury Bill | 5.268% | 11/16/23 | 975,229 | 964,327 | |
United States Treasury Bill | 5.275% | 11/24/23 | 2,109,970 | 2,083,877 | |
United States Treasury Bill | 5.313%–5.451% | 11/30/23 | 6,055,478 | 5,974,804 | |
United States Treasury Bill | 5.212% | 12/19/23 | 1,395,678 | 1,373,260 | |
United States Treasury Bill | 5.222% | 12/26/23 | 3,870,000 | 3,803,722 | |
United States Treasury Bill | 5.237% | 1/2/24 | 2,581,000 | 2,535,526 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075% | 5.338% | 9/1/23 | 171,553 | 171,468 |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037% | 5.450% | 9/1/23 | 2,200,000 | 2,200,000 |
Total U.S. Government and Agency Obligations (Cost $160,280,247) | 160,280,247 | ||||
Repurchase Agreements (43.3%) | |||||
Bank of Montreal (Dated 7/24/23, Repurchase Value $353,276,000, collateralized by United States Treasury Note/Bond 0.250%–3.000%, 4/30/24–11/15/29, with a value of $358,020,000) | 5.305% | 9/6/23 | 351,000 | 351,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Bank of Montreal (Dated 7/27/23, Repurchase Value $353,899,000, collateralized by United States Treasury Note/Bond 4.375%, 8/31/28, with a value of $358,020,000) | 5.310% | 9/21/23 | 351,000 | 351,000 | |
Bank of Montreal (Dated 8/23/23, Repurchase Value $176,752,000, collateralized by United States Treasury Note/Bond 0.250%–2.375%, 2/29/24–5/15/24, with a value of $179,520,000) | 5.305% | 9/21/23 | 176,000 | 176,000 | |
Canadian Imperial Bank of Commerce (Dated 7/27/23, Repurchase Value $3,480,514,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 10/15/24–2/15/53, and United States Treasury Note/Bond 0.375%–5.553%, 2/29/24–11/15/51, with a value of $3,521,040,000) | 5.310% | 9/21/23 | 3,452,000 | 3,452,000 | |
Canadian Imperial Bank of Commerce (Dated 8/29/23, Repurchase Value $106,360,000, collateralized by United States Treasury Note/Bond 0.875%–4.125%, 6/15/26–8/15/45, with a value of $108,120,000) | 5.310% | 9/21/23 | 106,000 | 106,000 | |
Credit Agricole Securities (Dated 8/31/23, Repurchase Value $1,255,185,000, collateralized by United States Treasury Note/Bond 0.250%–4.625%, 9/30/23–2/15/32, with a value of $1,280,100,000) | 5.300% | 9/1/23 | 1,255,000 | 1,255,000 | |
Credit Agricole Securities (Dated 8/31/23, Repurchase Value $717,106,000, collateralized by United States Treasury Note/Bond 0.625%–4.125%, 10/15/24–10/31/27, with a value of $731,340,000) | 5.310% | 9/1/23 | 717,000 | 717,000 | |
Federal Reserve Bank of New York (Dated 8/31/23, Repurchase Value $87,481,877,000, collateralized by United States Treasury Note/Bond 1.125%–6.125%, 11/15/27–5/15/52, with a value of $87,481,877,000) | 5.300% | 9/1/23 | 87,469,000 | 87,469,000 | |
Fixed Income Clearing Corp. (Dated 8/31/23, Repurchase Value $5,377,792,000, collateralized by United States Treasury Note/Bond 5.300%, 9/1/23, with a value of $5,511,425,000) | 5.300% | 9/1/23 | 5,377,000 | 5,377,000 | |
Fixed Income Clearing Corp. (Dated 8/31/23, Repurchase Value $5,019,739,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.375%–0.625%, 1/15/26–1/15/27, and United States Treasury Note/Bond 0.250%–2.125%, 5/15/25–11/15/41, with a value of $5,119,380,000) | 5.300% | 9/1/23 | 5,019,000 | 5,019,000 | |
MUFG Securities America Inc. (Dated 8/31/23, Repurchase Value $359,053,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/30–7/15/32, and United States Treasury Note/Bond 0.750%–3.000%, 5/31/26–2/15/47, with a value of $366,180,000) | 5.300% | 9/1/23 | 359,000 | 359,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Nomura International plc (Dated 8/31/23, Repurchase Value $359,053,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 7/15/24–2/15/41, and United States Treasury Note/Bond 0.375%–4.250%, 1/31/24–8/15/33, with a value of $366,180,000) | 5.300% | 9/1/23 | 359,000 | 359,000 | |
RBC Capital Markets LLC (Dated 7/27/23, Repurchase Value $1,059,681,000, collateralized by United States Treasury Bill 0.000%, 9/7/23–2/22/24, United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 10/15/24–2/15/53, and United States Treasury Note/Bond 0.125%–4.500%, 1/15/24–2/15/51, with a value of $1,072,020,000) | 5.310% | 9/21/23 | 1,051,000 | 1,051,000 | |
Royal Bank of Canada (Dated 7/27/23, Repurchase Value $3,886,842,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/24–2/15/51, and United States Treasury Note/Bond 0.125%–7.625%, 9/15/23–11/15/52, with a value of $3,932,100,000) | 5.310% | 9/21/23 | 3,855,000 | 3,855,000 | |
Standard Chartered Bank (Dated 8/31/23, Repurchase Value $1,434,211,000, collateralized by United States Treasury Inflation Indexed Note/Bond 1.375%, 2/15/44, and United States Treasury Note/Bond 0.375%–4.250%, 12/31/23–11/15/52, with a value of $1,462,895,000) | 5.300% | 9/1/23 | 1,434,000 | 1,434,000 | |
Sumitomo Mitsui Banking Corp. (Dated 8/31/23, Repurchase Value $1,076,158,000, collateralized by United States Treasury Note/Bond 2.000%–4.750%, 5/31/25–2/15/50, with a value of $1,097,520,000) | 5.300% | 9/1/23 | 1,076,000 | 1,076,000 | |
TD Securities (USA) LLC (Dated 8/31/23, Repurchase Value $216,032,000, collateralized by United States Treasury Note/Bond 2.500%–4.000%, 5/15/24–12/15/25, with a value of $220,320,000) | 5.310% | 9/1/23 | 216,000 | 216,000 | |
Total Repurchase Agreements (Cost $112,623,000) | 112,623,000 | ||||
Total Investments (105.0%) (Cost $272,903,247) | 272,903,247 | ||||
Other Assets and Liabilities—Net (-5.0%) | (12,914,592) | ||||
Net Assets (100%) | 259,988,655 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
3M—3-month. | |
EFFR—Effective Federal Funds Rate. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $160,280,247) | 160,280,247 |
Repurchase Agreements (Cost $112,623,000) | 112,623,000 |
Total Investments in Securities | 272,903,247 |
Investment in Vanguard | 8,390 |
Receivables for Accrued Income | 470,976 |
Receivables for Capital Shares Issued | 296,917 |
Other Assets | 10,500 |
Total Assets | 273,690,030 |
Liabilities | |
Due to Custodian | 698 |
Payables for Investment Securities Purchased | 13,438,178 |
Payables for Capital Shares Redeemed | 198,692 |
Payables for Distributions | 51,374 |
Payables to Vanguard | 12,433 |
Total Liabilities | 13,701,375 |
Net Assets | 259,988,655 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 259,989,122 |
Total Distributable Earnings (Loss) | (467) |
Net Assets | 259,988,655 |
Net Assets | |
Applicable to 259,988,611,836 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 259,988,655 |
Net Asset Value Per Share | $1.00 |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 10,335,512 |
Total Income | 10,335,512 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 966 |
Management and Administrative | 232,642 |
Marketing and Distribution | 18,043 |
Custodian Fees | 446 |
Auditing Fees | 30 |
Shareholders’ Reports | 4,649 |
Trustees’ Fees and Expenses | 122 |
Other Expenses | 14 |
Total Expenses | 256,912 |
Expenses Paid Indirectly | (197) |
Net Expenses | 256,715 |
Net Investment Income | 10,078,797 |
Realized Net Gain (Loss) on Investment Securities Sold | 860 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,079,657 |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 10,078,797 | 1,032,737 |
Realized Net Gain (Loss) | 860 | 350 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,079,657 | 1,033,087 |
Distributions | ||
Total Distributions | (10,078,914) | (1,032,754) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 127,209,761 | 103,314,268 |
Issued in Lieu of Cash Distributions | 9,550,042 | 979,612 |
Redeemed | (93,313,186) | (82,138,377) |
Net Increase (Decrease) from Capital Share Transactions | 43,446,617 | 22,155,503 |
Total Increase (Decrease) | 43,447,360 | 22,155,836 |
Net Assets | ||
Beginning of Period | 216,541,295 | 194,385,459 |
End of Period | 259,988,655 | 216,541,295 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0432 | .0050 | .0002 | .010 | .022 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0005) | (.0002) | — | — | — |
Total from Investment Operations | .0427 | .0048 | .0002 | .010 | .022 |
Distributions | |||||
Dividends from Net Investment Income | (.0427) | (.0048) | (.0002) | (.010) | (.022) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0427) | (.0048) | (.0002) | (.010) | (.022) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 4.36% | 0.48% | 0.02% | 1.03% | 2.26% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $259,989 | $216,541 | $194,385 | $197,525 | $132,966 |
Ratio of Total Expenses to Average Net Assets3 | 0.11%4 | 0.09% | 0.09% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 4.32% | 0.50% | 0.02% | 0.93% | 2.24% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2022 and 0.11% for 2021. For the years ended August 31, 2023, 2020, and 2019, there were no expense reductions. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.11%. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $197,000 (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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 51,374 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | — |
Capital Loss Carryforwards | (467) |
Qualified Late-Year Losses | — |
Other Temporary Differences | (51,374) |
Total | (467) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 10,078,914 | 1,032,754 |
Long-Term Capital Gains | — | — |
Total | 10,078,914 | 1,032,754 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 272,903,247 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
F. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 22.1% |
8 - 30 Days | 33.1 |
31 - 60 Days | 39.2 |
61 - 90 Days | 5.6 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (103.0%) | |||||
United States Treasury Bill | 4.561%–4.960% | 9/1/23 | 2,625,000 | 2,613,437 | |
United States Treasury Bill | 4.965% | 9/1/23 | 2,600,000 | 2,578,605 | |
United States Treasury Bill | 4.557%–4.880% | 9/5/23 | 1,825,000 | 1,823,935 | |
United States Treasury Bill | 5.137%–5.152% | 9/7/23 | 3,201,397 | 3,198,581 | |
United States Treasury Bill | 4.561%–4.908% | 9/12/23 | 3,060,000 | 3,055,072 | |
United States Treasury Bill | 5.142% | 9/14/23 | 3,200,000 | 3,193,899 | |
United States Treasury Bill | 4.561%–5.007% | 9/19/23 | 3,749,798 | 3,740,123 | |
United States Treasury Bill | 4.927%–5.137% | 9/21/23 | 3,500,000 | 3,490,127 | |
United States Treasury Bill | 4.565%–5.185% | 9/26/23 | 2,200,000 | 2,191,927 | |
United States Treasury Bill | 4.829%–5.163% | 9/28/23 | 4,971,682 | 4,952,621 | |
United States Treasury Bill | 5.014%–5.142% | 10/5/23 | 4,600,000 | 4,577,653 | |
United States Treasury Bill | 4.955% | 10/10/23 | 2,500,000 | 2,485,700 | |
United States Treasury Bill | 4.946%–5.284% | 10/12/23 | 4,737,066 | 4,709,226 | |
United States Treasury Bill | 4.955%–5.074% | 10/17/23 | 3,314,271 | 3,291,932 | |
United States Treasury Bill | 4.980%–5.232% | 10/19/23 | 3,853,077 | 3,827,211 | |
United States Treasury Bill | 4.965%–5.108% | 10/24/23 | 3,549,521 | 3,521,948 | |
United States Treasury Bill | 4.949% | 10/26/23 | 2,000,000 | 1,985,211 | |
United States Treasury Bill | 5.012% | 11/2/23 | 1,500,000 | 1,487,342 | |
United States Treasury Bill | 5.157% | 11/7/23 | 512,000 | 506,997 | |
United States Treasury Bill | 5.001% | 11/9/23 | 1,500,000 | 1,485,941 | |
2 | United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.035% | 5.448% | 9/1/23 | 1,350,000 | 1,349,959 |
Total U.S. Government and Agency Obligations (Cost $60,067,447) | 60,067,447 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Repurchase Agreement (3.7%) | |||||
Federal Reserve Bank of New York (Dated 8/31/23, Repurchase Value $2,159,318,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.250%, 7/15/24–1/15/25, and United States Treasury Note/Bond 0.250%–3.875%, 5/15/24–5/15/47, with a value of $2,159,318,000) (Cost $2,159,000) | 5.300% | 9/1/23 | 2,159,000 | 2,159,000 | |
Total Investments (106.7%) (Cost $62,226,447) | 62,226,447 | ||||
Other Assets and Liabilities—Net (-6.7%) | (3,888,755) | ||||
Net Assets (100%) | 58,337,692 | ||||
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 $62,226,447) | 62,226,447 |
Investment in Vanguard | 1,877 |
Cash | 1 |
Receivables for Accrued Income | 6,800 |
Receivables for Capital Shares Issued | 200,497 |
Other Assets | 3,298 |
Total Assets | 62,438,920 |
Liabilities | |
Payables for Investment Securities Purchased | 3,873,266 |
Payables for Capital Shares Redeemed | 200,489 |
Payables for Distributions | 25,191 |
Payables to Vanguard | 2,282 |
Total Liabilities | 4,101,228 |
Net Assets | 58,337,692 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 58,338,146 |
Total Distributable Earnings (Loss) | (454) |
Net Assets | 58,337,692 |
Net Assets | |
Applicable to 58,335,105,734 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 58,337,692 |
Net Asset Value Per Share | $1.00 |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Interest | 1,992,932 |
Total Income | 1,992,932 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 190 |
Management and Administrative | 36,061 |
Marketing and Distribution | 3,531 |
Custodian Fees | 154 |
Auditing Fees | 26 |
Shareholders’ Reports | 202 |
Trustees’ Fees and Expenses | 24 |
Other Expenses | 14 |
Total Expenses | 40,202 |
Expenses Paid Indirectly | (3) |
Net Expenses | 40,199 |
Net Investment Income | 1,952,733 |
Realized Net Gain (Loss) on Investment Securities Sold | 321 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,953,054 |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,952,733 | 155,618 |
Realized Net Gain (Loss) | 321 | (657) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,953,054 | 154,961 |
Distributions | ||
Total Distributions | (1,952,743) | (155,642) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 63,059,684 | 21,601,161 |
Issued in Lieu of Cash Distributions | 1,755,170 | 144,000 |
Redeemed | (40,832,284) | (23,133,582) |
Net Increase (Decrease) from Capital Share Transactions | 23,982,570 | (1,388,421) |
Total Increase (Decrease) | 23,982,881 | (1,389,102) |
Net Assets | ||
Beginning of Period | 34,354,811 | 35,743,913 |
End of Period | 58,337,692 | 34,354,811 |
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income1 | .0437 | .0045 | .0003 | .010 | .022 |
Net Realized and Unrealized Gain (Loss) on Investments | (.0015) | — | — | — | — |
Total from Investment Operations | .0422 | .0045 | .0003 | .010 | .022 |
Distributions | |||||
Dividends from Net Investment Income | (.0422) | (.0045) | (.0003) | (.010) | (.022) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0422) | (.0045) | (.0003) | (.010) | (.022) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 4.31% | 0.45% | 0.03% | 1.05% | 2.25% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $58,338 | $34,355 | $35,744 | $38,547 | $28,428 |
Ratio of Total Expenses to Average Net Assets3 | 0.09%4 | 0.08% | 0.08% | 0.09% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 4.37% | 0.45% | 0.03% | 0.95% | 2.23% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2022 and 0.09% for 2021. For the years ended August 31, 2023, 2020 and 2019, there were no expense reductions. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.09%. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (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. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 25,190 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | — |
Capital Loss Carryforwards | (454) |
Qualified Late-Year Losses | — |
Other Temporary Differences | (25,190) |
Total | (454) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 1,952,743 | 155,642 |
Long-Term Capital Gains | — | — |
Total | 1,952,743 | 155,642 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 62,226,447 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
F. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
G. | Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
October 18, 2023
Fund | ($000) |
Cash Reserves Federal Money Market Fund | 1,884,751 |
Federal Money Market Fund | 4,229,983 |
Treasury Money Market Fund | 1,441,474 |
Fund | Percentage |
Cash Reserves Federal Money Market Fund | 100.0% |
Federal Money Market Fund | 100.0 |
Treasury Money Market Fund | 100.0 |
Fund | Percentage |
Cash Reserves Federal Money Market Fund | 100.0% |
Federal Money Market Fund | 100.0 |
Treasury Money Market Fund | 100.0 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Mid-Cap 400 Index Fund |
Vanguard S&P Mid-Cap 400 Value Index Fund |
Vanguard S&P Mid-Cap 400 Growth Index Fund |
1 | |
2 | |
4 | |
26 | |
47 | |
67 | |
69 |
• | For the 12 months ended August 31, 2023, returns for the three Vanguard S&P Mid-Cap 400 Index Funds ranged from 9.79% for ETF Shares of Vanguard S&P Mid-Cap 400 Value Index Fund to 11.21% for Institutional Shares of Vanguard S&P Mid-Cap 400 Growth Index Fund. (Returns for ETF Shares are based on net asset value.) |
• | Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected. |
• | Equities rallied during the 12 months, led by large-capitalization stocks (the S&P 500 Index returned 15.94%). Relative performance between growth and value investment styles were mixed, depending on the methodology of the index provider used. |
• | Sector performance was mixed. Industrials, the largest sector by weight at the end of the period and a top performer in each index, contributed most across all three funds; information technology and consumer discretionary were the other top contributors. These sectors’ performance more than offset declines in other sectors, including utilities and real estate. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 15.40% | 9.93% | 10.77% |
Russell 2000 Index (Small-caps) | 4.65 | 8.12 | 3.14 |
Russell 3000 Index (Broad U.S. market) | 14.76 | 9.81 | 10.25 |
FTSE All-World ex US Index (International) | 12.02 | 4.49 | 3.74 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -1.05% | -4.40% | 0.55% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 1.70 | -1.32 | 1.52 |
FTSE Three-Month U.S. Treasury Bill Index | 4.44 | 1.63 | 1.68 |
CPI | |||
Consumer Price Index | 3.67% | 5.71% | 4.02% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2023 | |||
Beginning Account Value 2/28/2023 | Ending Account Value 8/31/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,025.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,025.80 | 0.41 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $994.60 | $0.75 |
Institutional Shares | 1,000.00 | 995.00 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,055.70 | $0.78 |
Institutional Shares | 1,000.00 | 1,056.10 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value | 10.60% | 6.87% | 9.96% | $25,855 | |
S&P Mid-Cap 400 Index Fund ETF Shares Market Price | 10.60 | 6.87 | 9.97 | 25,862 | |
S&P MidCap 400 Index | 10.71 | 6.97 | 10.09 | 26,152 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Index Fund Institutional Shares | 10.64% | 6.91% | 10.02% | $12,996,085 | |
S&P MidCap 400 Index | 10.71 | 6.97 | 10.09 | 13,076,203 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 15,730,560 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Index Fund ETF Shares Market Price | 10.60% | 39.41% | 158.62% |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value | 10.60 | 39.43 | 158.55 |
S&P MidCap 400 Index | 10.71 | 40.09 | 161.52 |
Communication Services | 1.9% |
Consumer Discretionary | 14.9 |
Consumer Staples | 4.4 |
Energy | 4.9 |
Financials | 14.1 |
Health Care | 9.1 |
Industrials | 22.6 |
Information Technology | 10.5 |
Materials | 7.4 |
Real Estate | 7.2 |
Utilities | 3.0 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.3%) | ||||||
Communication Services (1.9%) | ||||||
New York Times Co. Class A | 221,440 | 9,803 | ||||
Iridium Communications Inc. | 170,181 | 8,330 | ||||
Nexstar Media Group Inc. Class A | 48,461 | 7,890 | ||||
* | ZoomInfo Technologies Inc. Class A | 364,210 | 6,563 | |||
World Wrestling Entertainment Inc. Class A | 58,656 | 5,663 | ||||
TEGNA Inc. | 304,138 | 5,027 | ||||
* | Frontier Communications Parent Inc. | 301,853 | 4,836 | |||
* | Ziff Davis Inc. | 63,918 | 4,260 | |||
Cable One Inc. | 6,371 | 4,145 | ||||
* | TripAdvisor Inc. | 143,323 | 2,166 | |||
58,683 | ||||||
Consumer Discretionary (14.8%) | ||||||
* | Deckers Outdoor Corp. | 35,623 | 18,848 | |||
Aramark | 352,215 | 13,095 | ||||
* | Five Below Inc. | 75,233 | 12,937 | |||
Service Corp. International | 204,292 | 12,893 | ||||
Williams-Sonoma Inc. | 88,753 | 12,532 | ||||
* | TopBuild Corp. | 42,909 | 12,447 | |||
Lear Corp. | 79,767 | 11,494 | ||||
Lithia Motors Inc. Class A | 37,204 | 11,460 | ||||
Toll Brothers Inc. | 139,181 | 11,403 | ||||
Churchill Downs Inc. | 89,044 | 11,155 | ||||
Tempur Sealy International Inc. | 232,550 | 10,865 | ||||
* | Mattel Inc. | 478,389 | 10,601 | |||
Gentex Corp. | 315,812 | 10,314 | ||||
Autoliv Inc. | 104,393 | 10,189 | ||||
Dick's Sporting Goods Inc. | 83,106 | 9,669 | ||||
* | Light & Wonder Inc. | 123,158 | 9,443 | |||
Texas Roadhouse Inc. Class A | 90,554 | 9,427 | ||||
* | Skechers USA Inc. Class A | 181,498 | 9,131 | |||
* | Capri Holdings Ltd. | 169,932 | 8,920 |
Shares | Market Value• ($000) | |||||
* | RH | 24,138 | 8,815 | |||
Wyndham Hotels & Resorts Inc. | 116,013 | 8,746 | ||||
Murphy USA Inc. | 27,089 | 8,605 | ||||
H&R Block Inc. | 205,805 | 8,228 | ||||
* | Crocs Inc. | 83,832 | 8,160 | |||
Polaris Inc. | 72,298 | 8,104 | ||||
Thor Industries Inc. | 72,287 | 7,577 | ||||
Brunswick Corp. | 95,582 | 7,562 | ||||
PVH Corp. | 84,794 | 7,089 | ||||
* | Taylor Morrison Home Corp. Class A | 147,346 | 6,984 | |||
* | Planet Fitness Inc. Class A | 114,729 | 6,976 | |||
Boyd Gaming Corp. | 103,787 | 6,940 | ||||
* | AutoNation Inc. | 42,538 | 6,682 | |||
Wingstop Inc. | 40,465 | 6,500 | ||||
Valvoline Inc. | 187,702 | 6,464 | ||||
* | Fox Factory Holding Corp. | 57,172 | 6,335 | |||
*,1 | GameStop Corp. Class A | 341,504 | 6,335 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 77,816 | 5,998 | |||
Harley-Davidson Inc. | 177,044 | 5,975 | ||||
* | YETI Holdings Inc. | 117,117 | 5,850 | |||
KB Home | 108,510 | 5,512 | ||||
Marriott Vacations Worldwide Corp. | 49,757 | 5,408 | ||||
Penske Automotive Group Inc. | 32,643 | 5,363 | ||||
* | Visteon Corp. | 38,318 | 5,337 | |||
Leggett & Platt Inc. | 179,942 | 5,074 | ||||
* | Adient plc | 128,001 | 5,014 | |||
* | Goodyear Tire & Rubber Co. | 383,087 | 4,946 | |||
* | Penn Entertainment Inc. | 208,500 | 4,939 | |||
* | Grand Canyon Education Inc. | 41,521 | 4,868 | |||
Choice Hotels International Inc. | 35,839 | 4,548 | ||||
* | Hilton Grand Vacations Inc. | 103,916 | 4,543 | |||
Wendy's Co. | 227,880 | 4,510 | ||||
Macy's Inc. | 368,193 | 4,503 | ||||
Travel + Leisure Co. | 103,157 | 4,147 |
Shares | Market Value• ($000) | |||||
* | Helen of Troy Ltd. | 32,494 | 3,994 | |||
Kohl's Corp. | 149,560 | 3,984 | ||||
Carter's Inc. | 50,975 | 3,648 | ||||
Columbia Sportswear Co. | 47,821 | 3,507 | ||||
Gap Inc. | 287,835 | 3,333 | ||||
* | Topgolf Callaway Brands Corp. | 187,988 | 3,279 | |||
Papa John's International Inc. | 40,144 | 3,039 | ||||
Graham Holdings Co. Class B | 5,106 | 2,994 | ||||
Nordstrom Inc. | 152,400 | 2,472 | ||||
Foot Locker Inc. | 107,172 | 2,103 | ||||
* | Under Armour Inc. Class A | 254,153 | 1,942 | |||
* | Under Armour Inc. Class C | 255,329 | 1,759 | |||
465,514 | ||||||
Consumer Staples (4.3%) | ||||||
* | Darling Ingredients Inc. | 215,651 | 13,319 | |||
* | Performance Food Group Co. | 211,043 | 13,112 | |||
* | US Foods Holding Corp. | 306,314 | 12,384 | |||
Casey's General Stores Inc. | 50,362 | 12,309 | ||||
* | BJ's Wholesale Club Holdings Inc. | 181,636 | 12,240 | |||
* | Celsius Holdings Inc. | 55,003 | 10,783 | |||
Ingredion Inc. | 89,213 | 9,181 | ||||
* | BellRing Brands Inc. | 179,480 | 7,448 | |||
* | Post Holdings Inc. | 72,375 | 6,493 | |||
Flowers Foods Inc. | 260,569 | 6,139 | ||||
* | Coty Inc. Class A | 495,653 | 5,730 | |||
* | Sprouts Farmers Market Inc. | 139,293 | 5,682 | |||
* | Boston Beer Co. Inc. Class A | 12,689 | 4,637 | |||
Lancaster Colony Corp. | 26,784 | 4,424 | ||||
Coca-Cola Consolidated Inc. | 6,223 | 4,349 | ||||
* | Grocery Outlet Holding Corp. | 120,692 | 3,723 | |||
Energizer Holdings Inc. | 89,683 | 3,081 | ||||
* | Pilgrim's Pride Corp. | 60,556 | 1,524 | |||
136,558 | ||||||
Energy (4.9%) | ||||||
Ovintiv Inc. | 330,458 | 15,518 | ||||
Chesapeake Energy Corp. | 145,190 | 12,807 | ||||
NOV Inc. | 532,097 | 11,243 | ||||
Range Resources Corp. | 326,082 | 10,559 | ||||
* | Antero Resources Corp. | 373,178 | 10,326 | |||
* | Southwestern Energy Co. | 1,488,250 | 10,090 | |||
Matador Resources Co. | 153,005 | 9,716 | ||||
ChampionX Corp. | 267,538 | 9,656 | ||||
HF Sinclair Corp. | 174,120 | 9,592 | ||||
Chord Energy Corp. | 56,151 | 9,068 | ||||
Murphy Oil Corp. | 198,305 | 9,003 | ||||
PBF Energy Inc. Class A | 148,253 | 6,952 |
Shares | Market Value• ($000) | |||||
DT Midstream Inc. | 130,931 | 6,846 | ||||
* | Valaris Ltd. | 81,285 | 6,122 | |||
Equitrans Midstream Corp. | 585,591 | 5,622 | ||||
Antero Midstream Corp. | 453,715 | 5,499 | ||||
* | CNX Resources Corp. | 223,745 | 5,001 | |||
153,620 | ||||||
Financials (14.0%) | ||||||
Annaly Capital Management Inc. | 667,489 | 13,530 | ||||
RenaissanceRe Holdings Ltd. | 67,882 | 12,754 | ||||
Interactive Brokers Group Inc. Class A | 139,185 | 12,677 | ||||
Reinsurance Group of America Inc. | 89,924 | 12,465 | ||||
Unum Group | 250,337 | 12,314 | ||||
New York Community Bancorp Inc. | 975,906 | 11,984 | ||||
Kinsale Capital Group Inc. | 29,415 | 11,726 | ||||
* | WEX Inc. | 57,900 | 11,359 | |||
American Financial Group Inc. | 94,384 | 10,941 | ||||
East West Bancorp Inc. | 191,181 | 10,580 | ||||
Old Republic International Corp. | 367,911 | 10,062 | ||||
Webster Financial Corp. | 236,169 | 10,016 | ||||
Primerica Inc. | 48,954 | 9,838 | ||||
Erie Indemnity Co. Class A | 33,717 | 9,398 | ||||
Stifel Financial Corp. | 143,443 | 9,327 | ||||
Voya Financial Inc. | 132,805 | 9,254 | ||||
First Horizon Corp. | 726,817 | 9,122 | ||||
Jefferies Financial Group Inc. | 252,286 | ��� 9,004 | ||||
Starwood Property Trust Inc. | 421,794 | 8,617 | ||||
First American Financial Corp. | 139,472 | 8,603 | ||||
SEI Investments Co. | 136,895 | 8,496 | ||||
Cullen/Frost Bankers Inc. | 87,033 | 8,227 | ||||
Selective Insurance Group Inc. | 81,745 | 8,110 | ||||
Commerce Bancshares Inc. | 153,341 | 7,528 | ||||
SouthState Corp. | 102,601 | 7,418 | ||||
Essent Group Ltd. | 145,092 | 7,287 | ||||
Prosperity Bancshares Inc. | 127,410 | 7,238 | ||||
RLI Corp. | 54,790 | 7,206 | ||||
Pinnacle Financial Partners Inc. | 103,635 | 6,898 | ||||
MGIC Investment Corp. | 386,973 | 6,803 | ||||
Evercore Inc. Class A | 47,684 | 6,678 | ||||
Affiliated Managers Group Inc. | 48,767 | 6,535 | ||||
Wintrust Financial Corp. | 82,700 | 6,418 | ||||
Western Union Co. | 506,068 | 6,250 | ||||
Synovus Financial Corp. | 197,730 | 6,122 | ||||
Old National Bancorp | 395,432 | 6,034 |
Shares | Market Value• ($000) | |||||
Bank OZK | 145,693 | 5,853 | ||||
Columbia Banking System Inc. | 281,754 | 5,770 | ||||
FNB Corp. | 488,114 | 5,677 | ||||
Cadence Bank | 246,978 | 5,651 | ||||
Home BancShares Inc. | 254,623 | 5,648 | ||||
* | Euronet Worldwide Inc. | 63,715 | 5,566 | |||
United Bankshares Inc. | 181,895 | 5,471 | ||||
Valley National Bancorp | 569,775 | 5,231 | ||||
Hanover Insurance Group Inc. | 48,282 | 5,153 | ||||
First Financial Bankshares Inc. | 175,539 | 5,041 | ||||
Janus Henderson Group plc | 179,125 | 4,921 | ||||
Hancock Whitney Corp. | 116,347 | 4,799 | ||||
SLM Corp. | 327,644 | 4,666 | ||||
Glacier Bancorp Inc. | 149,860 | 4,527 | ||||
* | Brighthouse Financial Inc. | 90,384 | 4,488 | |||
FirstCash Holdings Inc. | 49,773 | 4,446 | ||||
Kemper Corp. | 86,490 | 4,062 | ||||
* | Texas Capital Bancshares Inc. | 64,703 | 4,040 | |||
Federated Hermes Inc. Class B | 114,935 | 3,995 | ||||
UMB Financial Corp. | 59,012 | 3,730 | ||||
CNO Financial Group Inc. | 154,842 | 3,623 | ||||
Associated Banc-Corp | 203,941 | 3,534 | ||||
Cathay General Bancorp | 97,955 | 3,490 | ||||
International Bancshares Corp. | 71,344 | 3,195 | ||||
439,396 | ||||||
Health Care (9.0%) | ||||||
* | Neurocrine Biosciences Inc. | 131,873 | 14,360 | |||
* | United Therapeutics Corp. | 63,312 | 14,205 | |||
* | Penumbra Inc. | 51,698 | 13,674 | |||
* | Jazz Pharmaceuticals plc | 86,499 | 12,401 | |||
* | Repligen Corp. | 69,980 | 12,170 | |||
* | Shockwave Medical Inc. | 49,502 | 10,910 | |||
* | Tenet Healthcare Corp. | 137,768 | 10,685 | |||
Chemed Corp. | 20,296 | 10,380 | ||||
* | Exelixis Inc. | 440,085 | 9,854 | |||
Encompass Health Corp. | 135,468 | 9,624 | ||||
* | Acadia Healthcare Co. Inc. | 124,390 | 9,590 | |||
* | Medpace Holdings Inc. | 33,382 | 9,022 | |||
Bruker Corp. | 134,819 | 8,844 | ||||
* | Globus Medical Inc. Class A | 160,996 | 8,710 | |||
* | HealthEquity Inc. | 115,429 | 7,797 | |||
* | Option Care Health Inc. | 223,427 | 7,782 | |||
* | Halozyme Therapeutics Inc. | 177,961 | 7,574 | |||
* | Masimo Corp. | 65,626 | 7,500 | |||
* | Envista Holdings Corp. | 221,248 | 7,084 | |||
* | Neogen Corp. | 292,231 | 6,756 | |||
Perrigo Co. plc | 182,897 | 6,401 |
Shares | Market Value• ($000) | |||||
* | Lantheus Holdings Inc. | 92,243 | 6,313 | |||
* | Haemonetics Corp. | 68,263 | 6,125 | |||
* | QuidelOrtho Corp. | 72,947 | 6,008 | |||
* | Syneos Health Inc. | 140,077 | 5,986 | |||
* | Azenta Inc. | 88,071 | 4,970 | |||
* | Inari Medical Inc. | 69,543 | 4,633 | |||
* | Amedisys Inc. | 44,044 | 4,129 | |||
* | Integra LifeSciences Holdings Corp. | 96,316 | 4,097 | |||
* | LivaNova plc | 72,674 | 4,037 | |||
* | Arrowhead Pharmaceuticals Inc. | 144,473 | 3,993 | |||
* | ICU Medical Inc. | 27,320 | 3,962 | |||
* | Progyny Inc. | 103,368 | 3,860 | |||
* | Doximity Inc. Class A | 160,442 | 3,825 | |||
* | Enovis Corp. | 64,797 | 3,631 | |||
Patterson Cos. Inc. | 117,543 | 3,531 | ||||
* | Omnicell Inc. | 60,844 | 3,460 | |||
* | R1 RCM Inc. | 186,468 | 3,215 | |||
* | Sotera Health Co. | 134,063 | 2,164 | |||
283,262 | ||||||
Industrials (22.5%) | ||||||
* | Builders FirstSource Inc. | 173,210 | 25,122 | |||
Hubbell Inc. Class B | 64,419 | 21,004 | ||||
Carlisle Cos. Inc. | 68,880 | 18,117 | ||||
Graco Inc. | 227,502 | 17,959 | ||||
Owens Corning | 121,774 | 17,524 | ||||
Watsco Inc. | 45,171 | 16,467 | ||||
Lennox International Inc. | 43,661 | 16,452 | ||||
* | Saia Inc. | 35,858 | 15,283 | |||
Lincoln Electric Holdings Inc. | 77,805 | 14,974 | ||||
Regal Rexnord Corp. | 89,572 | 14,528 | ||||
Toro Co. | 140,933 | 14,420 | ||||
EMCOR Group Inc. | 64,252 | 14,408 | ||||
AECOM | 159,832 | 14,025 | ||||
nVent Electric plc | 223,881 | 12,658 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 217,654 | 11,932 | ||||
Fortune Brands Innovations Inc. | 171,242 | 11,819 | ||||
* | XPO Inc. | 156,582 | 11,686 | |||
* | Clean Harbors Inc. | 67,996 | 11,514 | |||
ITT Inc. | 111,367 | 11,391 | ||||
Tetra Tech Inc. | 71,931 | 11,318 | ||||
KBR Inc. | 183,416 | 11,284 | ||||
* | Paylocity Holding Corp. | 55,822 | 11,192 | |||
AGCO Corp. | 83,977 | 10,878 | ||||
Advanced Drainage Systems Inc. | 84,532 | 10,834 | ||||
Curtiss-Wright Corp. | 51,819 | 10,778 | ||||
* | Middleby Corp. | 72,327 | 10,530 | |||
Woodward Inc. | 81,137 | 10,497 | ||||
* | Trex Co. Inc. | 147,049 | 10,495 | |||
Donaldson Co. Inc. | 163,889 | 10,468 | ||||
* | GXO Logistics Inc. | 160,744 | 10,283 |
Shares | Market Value• ($000) | |||||
* | Chart Industries Inc. | 56,717 | 10,242 | |||
* | CACI International Inc. Class A | 30,800 | 10,103 | |||
WESCO International Inc. | 60,980 | 9,870 | ||||
Landstar System Inc. | 48,541 | 9,214 | ||||
Simpson Manufacturing Co. Inc. | 57,656 | 9,211 | ||||
Oshkosh Corp. | 88,274 | 9,165 | ||||
BWX Technologies Inc. | 123,586 | 9,116 | ||||
MSA Safety Inc. | 49,879 | 9,112 | ||||
UFP Industries Inc. | 83,917 | 8,757 | ||||
Science Applications International Corp. | 72,909 | 8,578 | ||||
Genpact Ltd. | 228,957 | 8,547 | ||||
* | FTI Consulting Inc. | 45,920 | 8,533 | |||
Hexcel Corp. | 114,028 | 8,358 | ||||
* | MasTec Inc. | 80,628 | 8,022 | |||
Valmont Industries Inc. | 28,459 | 7,214 | ||||
Flowserve Corp. | 177,117 | 7,008 | ||||
Watts Water Technologies Inc. Class A | 37,039 | 6,992 | ||||
Acuity Brands Inc. | 42,971 | 6,930 | ||||
* | Avis Budget Group Inc. | 32,245 | 6,881 | |||
Timken Co. | 88,985 | 6,800 | ||||
* | Fluor Corp. | 193,588 | 6,774 | |||
* | Kirby Corp. | 81,085 | 6,716 | |||
Maximus Inc. | 82,140 | 6,639 | ||||
* | ExlService Holdings Inc. | 224,665 | 6,567 | |||
MSC Industrial Direct Co. Inc. Class A | 63,864 | 6,518 | ||||
Ryder System Inc. | 62,842 | 6,328 | ||||
Exponent Inc. | 68,779 | 6,180 | ||||
Crane Co. | 65,168 | 5,938 | ||||
EnerSys | 55,204 | 5,795 | ||||
GATX Corp. | 47,709 | 5,636 | ||||
MDU Resources Group Inc. | 275,398 | 5,607 | ||||
Terex Corp. | 91,638 | 5,554 | ||||
* | Stericycle Inc. | 125,060 | 5,529 | |||
* | ASGN Inc. | 66,635 | 5,475 | |||
ManpowerGroup Inc. | 68,151 | 5,375 | ||||
Esab Corp. | 70,000 | 5,052 | ||||
Insperity Inc. | 48,545 | 4,919 | ||||
Brink's Co. | 62,743 | 4,757 | ||||
Concentrix Corp. | 57,698 | 4,606 | ||||
* | Sunrun Inc. | 291,424 | 4,555 | |||
* | Hertz Global Holdings Inc. | 212,861 | 3,608 | |||
Werner Enterprises Inc. | 79,605 | 3,312 | ||||
* | JetBlue Airways Corp. | 442,068 | 2,617 | |||
* | Vicor Corp. | 30,321 | 2,055 | |||
704,605 | ||||||
Information Technology (10.4%) | ||||||
Jabil Inc. | 179,320 | 20,518 | ||||
* | Lattice Semiconductor Corp. | 186,040 | 18,094 | |||
* | Manhattan Associates Inc. | 83,830 | 16,986 |
Shares | Market Value• ($000) | |||||
* | Super Micro Computer Inc. | 61,714 | 16,976 | |||
* | Dynatrace Inc. | 292,995 | 14,122 | |||
Cognex Corp. | 233,269 | 10,982 | ||||
National Instruments Corp. | 177,703 | 10,591 | ||||
* | Dropbox Inc. Class A | 367,570 | 10,215 | |||
* | Arrow Electronics Inc. | 76,338 | 10,186 | |||
* | Ciena Corp. | 201,613 | 10,077 | |||
Universal Display Corp. | 58,858 | 9,568 | ||||
Littelfuse Inc. | 33,561 | 8,963 | ||||
* | Novanta Inc. | 48,391 | 8,080 | |||
MKS Instruments Inc. | 77,607 | 7,779 | ||||
* | Aspen Technology Inc. | 39,509 | 7,665 | |||
* | Coherent Corp. | 188,295 | 7,086 | |||
* | Qualys Inc. | 45,380 | 7,063 | |||
Dolby Laboratories Inc. Class A | 80,390 | 6,791 | ||||
Vontier Corp. | 210,315 | 6,606 | ||||
Power Integrations Inc. | 77,465 | 6,509 | ||||
* | Teradata Corp. | 136,641 | 6,322 | |||
Avnet Inc. | 123,515 | 6,268 | ||||
* | Cirrus Logic Inc. | 74,591 | 6,119 | |||
* | Wolfspeed Inc. | 126,233 | 6,036 | |||
* | MACOM Technology Solutions Holdings Inc. | 69,947 | 5,915 | |||
* | NCR Corp. | 189,874 | 5,840 | |||
* | Silicon Laboratories Inc. | 43,208 | 5,827 | |||
TD SYNNEX Corp. | 56,112 | 5,709 | ||||
Belden Inc. | 57,513 | 5,400 | ||||
* | Lumentum Holdings Inc. | 92,860 | 5,026 | |||
Vishay Intertechnology Inc. | 172,417 | 4,731 | ||||
* | Synaptics Inc. | 53,435 | 4,678 | |||
* | Kyndryl Holdings Inc. | 276,751 | 4,672 | |||
* | Blackbaud Inc. | 61,057 | 4,647 | |||
* | IPG Photonics Corp. | 42,199 | 4,573 | |||
* | CommVault Systems Inc. | 59,436 | 4,060 | |||
* | Envestnet Inc. | 73,458 | 4,013 | |||
Crane NXT Co. | 65,279 | 3,875 | ||||
Amkor Technology Inc. | 136,142 | 3,807 | ||||
* | Calix Inc. | 77,708 | 3,614 | |||
* | ACI Worldwide Inc. | 146,167 | 3,549 | |||
* | Allegro MicroSystems Inc. | 88,121 | 3,371 | |||
Xerox Holdings Corp. | 152,967 | 2,431 | ||||
325,340 | ||||||
Materials (7.3%) | ||||||
Reliance Steel & Aluminum Co. | 79,453 | 22,641 | ||||
RPM International Inc. | 174,217 | 17,376 | ||||
Crown Holdings Inc. | 162,314 | 15,040 | ||||
AptarGroup Inc. | 88,548 | 11,738 | ||||
* | Cleveland-Cliffs Inc. | 696,144 | 10,644 | |||
Berry Global Group Inc. | 161,102 | 10,526 | ||||
Royal Gold Inc. | 88,759 | 9,949 | ||||
United States Steel Corp. | 306,064 | 9,516 | ||||
Olin Corp. | 162,493 | 9,428 | ||||
Graphic Packaging Holding Co. | 415,105 | 9,232 |
Shares | Market Value• ($000) | |||||
Eagle Materials Inc. | 48,730 | 9,226 | ||||
Commercial Metals Co. | 158,285 | 8,910 | ||||
* | Axalta Coating Systems Ltd. | 299,419 | 8,474 | |||
Sonoco Products Co. | 132,392 | 7,606 | ||||
Alcoa Corp. | 241,150 | 7,254 | ||||
Chemours Co. | 201,388 | 6,851 | ||||
Westlake Corp. | 46,581 | 6,101 | ||||
Louisiana-Pacific Corp. | 97,376 | 6,084 | ||||
Ashland Inc. | 65,658 | 5,688 | ||||
Cabot Corp. | 75,895 | 5,499 | ||||
Silgan Holdings Inc. | 113,252 | 5,111 | ||||
Avient Corp. | 115,735 | 4,642 | ||||
NewMarket Corp. | 8,978 | 4,217 | ||||
* | Knife River Corp. | 68,671 | 3,534 | |||
Sensient Technologies Corp. | 57,048 | 3,515 | ||||
Scotts Miracle-Gro Co. | 55,264 | 3,131 | ||||
Worthington Industries Inc. | 41,031 | 3,088 | ||||
* | MP Materials Corp. | 124,602 | 2,609 | |||
Greif Inc. Class A | 35,009 | 2,541 | ||||
230,171 | ||||||
Real Estate (7.2%) | ||||||
Equity LifeStyle Properties Inc. | 236,543 | 15,839 | ||||
Rexford Industrial Realty Inc. | 271,585 | 14,522 | ||||
CubeSmart | 303,633 | 12,665 | ||||
* | Jones Lang LaSalle Inc. | 64,554 | 11,155 | |||
Lamar Advertising Co. Class A | 118,231 | 10,785 | ||||
EastGroup Properties Inc. | 60,019 | 10,781 | ||||
Omega Healthcare Investors Inc. | 316,707 | 10,078 | ||||
NNN REIT Inc. | 246,052 | 9,692 | ||||
First Industrial Realty Trust Inc. | 178,713 | 9,282 | ||||
Healthcare Realty Trust Inc. Class A | 514,666 | 9,017 | ||||
Brixmor Property Group Inc. | 406,165 | 8,927 | ||||
STAG Industrial Inc. | 242,416 | 8,855 | ||||
Agree Realty Corp. | 125,943 | 7,786 | ||||
Spirit Realty Capital Inc. | 190,842 | 7,368 | ||||
Apartment Income REIT Corp. Class A | 201,628 | 6,867 | ||||
Kite Realty Group Trust | 296,437 | 6,691 | ||||
Rayonier Inc. | 200,304 | 5,989 | ||||
1 | Medical Properties Trust Inc. | 808,400 | 5,837 | |||
Kilroy Realty Corp. | 142,490 | 5,265 | ||||
Vornado Realty Trust | 217,882 | 5,233 | ||||
PotlatchDeltic Corp. | 108,006 | 5,104 | ||||
Independence Realty Trust Inc. | 303,248 | 5,104 | ||||
Cousins Properties Inc. | 205,072 | 4,819 |
Shares | Market Value• ($000) | |||||
EPR Properties | 101,749 | 4,556 | ||||
Physicians Realty Trust | 322,334 | 4,484 | ||||
Corporate Office Properties Trust | 152,075 | 3,936 | ||||
Sabra Health Care REIT Inc. | 312,364 | 3,914 | ||||
Park Hotels & Resorts Inc. | 291,495 | 3,740 | ||||
National Storage Affiliates Trust | 111,009 | 3,730 | ||||
Highwoods Properties Inc. | 142,333 | 3,392 | ||||
225,413 | ||||||
Utilities (3.0%) | ||||||
Essential Utilities Inc. | 325,101 | 11,996 | ||||
OGE Energy Corp. | 270,592 | 9,214 | ||||
UGI Corp. | 282,968 | 7,125 | ||||
National Fuel Gas Co. | 123,951 | 6,661 | ||||
IDACORP Inc. | 68,359 | 6,552 | ||||
Portland General Electric Co. | 130,732 | 5,734 | ||||
New Jersey Resources Corp. | 131,020 | 5,525 | ||||
Southwest Gas Holdings Inc. | 88,706 | 5,494 | ||||
ONE Gas Inc. | 74,865 | 5,426 | ||||
Ormat Technologies Inc. | 70,995 | 5,391 | ||||
PNM Resources Inc. | 115,958 | 5,138 | ||||
Black Hills Corp. | 90,077 | 4,954 | ||||
ALLETE Inc. | 77,446 | 4,252 | ||||
Spire Inc. | 71,105 | 4,153 | ||||
NorthWestern Corp. | 80,797 | 4,072 | ||||
1 | Hawaiian Electric Industries Inc. | 148,596 | 2,083 | |||
93,770 | ||||||
Total Common Stocks (Cost $2,635,867) | 3,116,332 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.9%) | ||||||
Money Market Fund (0.9%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 5.384% (Cost $29,328) | 293,331 | 29,330 | |||
Total Investments (100.2%) (Cost $2,665,195) | 3,145,662 | |||||
Other Assets and Liabilities—Net (-0.2%) | (7,426) | |||||
Net Assets (100%) | 3,138,236 |
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 $7,653,000. |
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 $7,937,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | September 2023 | 57 | 15,098 | 269 |
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) |
AECOM | 1/31/24 | CITNA | 2,446 | (5.326) | 1 | — |
Hubbell Inc. Class B | 1/31/24 | CITNA | 2,608 | (5.331) | — | — |
Wolfspeed Inc. | 8/30/24 | BANA | 2,008 | (5.331) | — | — |
1 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
CITNA—Citibank, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $2,635,867) | 3,116,332 |
Affiliated Issuers (Cost $29,328) | 29,330 |
Total Investments in Securities | 3,145,662 |
Investment in Vanguard | 106 |
Cash Collateral Pledged—Futures Contracts | 900 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 550 |
Receivables for Investment Securities Sold | 186 |
Receivables for Accrued Income | 2,926 |
Receivables for Capital Shares Issued | 60 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1 |
Total Assets | 3,150,391 |
Liabilities | |
Due to Custodian | 183 |
Payables for Investment Securities Purchased | 3,700 |
Collateral for Securities on Loan | 7,937 |
Payables for Capital Shares Redeemed | 210 |
Payables to Vanguard | 122 |
Variation Margin Payable—Futures Contracts | 3 |
Total Liabilities | 12,155 |
Net Assets | 3,138,236 |
1 Includes $7,653,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 3,003,526 |
Total Distributable Earnings (Loss) | 134,710 |
Net Assets | 3,138,236 |
ETF Shares—Net Assets2 | |
Applicable to 18,402,315 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,646,934 |
Net Asset Value Per Share—ETF Shares | $89.50 |
Institutional Shares—Net Assets | |
Applicable to 4,177,196 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,491,302 |
Net Asset Value Per Share—Institutional Shares | $357.01 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 44,641 |
Interest1 | 644 |
Securities Lending—Net | 798 |
Total Income | 46,083 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 66 |
Management and Administrative—ETF Shares | 1,279 |
Management and Administrative—Institutional Shares | 980 |
Marketing and Distribution—ETF Shares | 86 |
Marketing and Distribution—Institutional Shares | 41 |
Custodian Fees | 40 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 59 |
Shareholders’ Reports—Institutional Shares | 14 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 17 |
Total Expenses | 2,612 |
Expenses Paid Indirectly | (1) |
Net Expenses | 2,611 |
Net Investment Income | 43,472 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 36,197 |
Futures Contracts | 586 |
Swap Contracts | (2,887) |
Realized Net Gain (Loss) | 33,896 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 217,519 |
Futures Contracts | 135 |
Swap Contracts | 1 |
Change in Unrealized Appreciation (Depreciation) | 217,655 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 295,023 |
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 $614,000, $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $136,071,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 43,472 | 40,787 |
Realized Net Gain (Loss) | 33,896 | 142,855 |
Change in Unrealized Appreciation (Depreciation) | 217,655 | (502,988) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 295,023 | (319,346) |
Distributions | ||
ETF Shares | (23,449) | (19,007) |
Institutional Shares | (21,631) | (18,307) |
Total Distributions | (45,080) | (37,314) |
Capital Share Transactions | ||
ETF Shares | 110,037 | 119,621 |
Institutional Shares | 42,807 | 100,708 |
Net Increase (Decrease) from Capital Share Transactions | 152,844 | 220,329 |
Total Increase (Decrease) | 402,787 | (136,331) |
Net Assets | ||
Beginning of Period | 2,735,449 | 2,871,780 |
End of Period | 3,138,236 | 2,735,449 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $82.25 | $93.08 | $65.16 | $63.59 | $69.01 |
Investment Operations | |||||
Net Investment Income2 | 1.267 | 1.247 | .998 | .980 | .940 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.301 | (10.928) | 27.898 | 1.607 | (5.437) |
Total from Investment Operations | 8.568 | (9.681) | 28.896 | 2.587 | (4.497) |
Distributions | |||||
Dividends from Net Investment Income | (1.318) | (1.149) | (.976) | (1.017) | (.923) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.318) | (1.149) | (.976) | (1.017) | (.923) |
Net Asset Value, End of Period | $89.50 | $82.25 | $93.08 | $65.16 | $63.59 |
Total Return | 10.60% | -10.47% | 44.65% | 4.11% | -6.50% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,647 | $1,411 | $1,476 | $890 | $919 |
Ratio of Total Expenses to Average Net Assets | 0.10%3 | 0.10%3 | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.50% | 1.41% | 1.21% | 1.57% | 1.47% |
Portfolio Turnover Rate4 | 14% | 11% | 16% | 17% | 10% |
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 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $328.11 | $371.30 | $259.90 | $253.60 | $275.26 |
Investment Operations | |||||
Net Investment Income1 | 5.108 | 5.037 | 4.038 | 3.959 | 3.786 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.113 | (43.574) | 111.307 | 6.384 | (21.653) |
Total from Investment Operations | 34.221 | (38.537) | 115.345 | 10.343 | (17.867) |
Distributions | |||||
Dividends from Net Investment Income | (5.321) | (4.653) | (3.945) | (4.043) | (3.793) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (5.321) | (4.653) | (3.945) | (4.043) | (3.793) |
Net Asset Value, End of Period | $357.01 | $328.11 | $371.30 | $259.90 | $253.60 |
Total Return | 10.64% | -10.43% | 44.69% | 4.14% | -6.49% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,491 | $1,325 | $1,396 | $1,164 | $1,202 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08%2 | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.51% | 1.43% | 1.24% | 1.59% | 1.49% |
Portfolio Turnover Rate3 | 14% | 11% | 16% | 17% | 10% |
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 | 3,116,332 | — | — | 3,116,332 |
Temporary Cash Investments | 29,330 | — | — | 29,330 |
Total | 3,145,662 | — | — | 3,145,662 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 269 | — | — | 269 |
Swap Contracts | — | 1 | — | 1 |
Total | 269 | 1 | — | 270 |
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) | |
Paid-in Capital | 135,964 |
Total Distributable Earnings (Loss) | (135,964) |
Amount ($000) | |
Undistributed Ordinary Income | 6,502 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 470,913 |
Capital Loss Carryforwards | (342,705) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | 134,710 |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 45,080 | 37,314 |
Long-Term Capital Gains | — | — |
Total | 45,080 | 37,314 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 2,674,749 |
Gross Unrealized Appreciation | 719,630 |
Gross Unrealized Depreciation | (248,717) |
Net Unrealized Appreciation (Depreciation) | 470,913 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 469,310 | 5,675 | 520,086 | 5,850 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (359,273) | (4,425) | (400,465) | (4,550) | |
Net Increase (Decrease)—ETF Shares | 110,037 | 1,250 | 119,621 | 1,300 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 218,125 | 652 | 239,857 | 682 | |
Issued in Lieu of Cash Distributions | 20,276 | 64 | 17,388 | 51 | |
Redeemed | (195,594) | (576) | (156,537) | (456) | |
Net Increase (Decrease)—Institutional Shares | 42,807 | 140 | 100,708 | 277 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value | 9.79% | 6.98% | 9.62% | $25,048 | |
S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price | 9.80 | 6.97 | 9.61 | 25,037 | |
S&P MidCap 400 Value Index | 9.93 | 7.12 | 9.79 | 25,441 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Value Index Fund Institutional Shares | 9.88% | 7.07% | 9.73% | $12,651,391 | |
S&P MidCap 400 Value Index | 9.93 | 7.12 | 9.79 | 12,720,421 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 15,730,560 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price | 9.80% | 40.08% | 150.37% |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value | 9.79 | 40.14 | 150.48 |
S&P MidCap 400 Value Index | 9.93 | 41.05 | 154.41 |
Communication Services | 1.9% |
Consumer Discretionary | 17.1 |
Consumer Staples | 4.4 |
Energy | 1.8 |
Financials | 17.5 |
Health Care | 7.1 |
Industrials | 19.5 |
Information Technology | 11.2 |
Materials | 5.9 |
Real Estate | 10.6 |
Utilities | 3.0 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.5%) | ||||||
Communication Services (1.9%) | ||||||
TEGNA Inc. | 183,052 | 3,026 | ||||
New York Times Co. Class A | 66,644 | 2,950 | ||||
* | Frontier Communications Parent Inc. | 181,624 | 2,910 | |||
* | Ziff Davis Inc. | 38,463 | 2,563 | |||
Cable One Inc. | 3,836 | 2,496 | ||||
* | ZoomInfo Technologies Inc. Class A | 105,253 | 1,897 | |||
* | TripAdvisor Inc. | 86,255 | 1,303 | |||
17,145 | ||||||
Consumer Discretionary (17.0%) | ||||||
Lear Corp. | 48,013 | 6,918 | ||||
Toll Brothers Inc. | 83,772 | 6,863 | ||||
* | Mattel Inc. | 287,931 | 6,381 | |||
* | Skechers USA Inc. Class A | 109,225 | 5,495 | |||
* | Capri Holdings Ltd. | 102,260 | 5,368 | |||
* | RH | 14,526 | 5,305 | |||
Lithia Motors Inc. Class A | 15,893 | 4,895 | ||||
Aramark | 125,078 | 4,650 | ||||
Thor Industries Inc. | 43,536 | 4,563 | ||||
PVH Corp. | 51,076 | 4,270 | ||||
* | Taylor Morrison Home Corp. Class A | 88,759 | 4,207 | |||
Autoliv Inc. | 42,730 | 4,170 | ||||
Williams-Sonoma Inc. | 27,776 | 3,922 | ||||
*,1 | GameStop Corp. Class A | 205,737 | 3,816 | |||
* | TopBuild Corp. | 12,139 | 3,521 | |||
Gentex Corp. | 102,659 | 3,353 | ||||
KB Home | 65,302 | 3,317 | ||||
Marriott Vacations Worldwide Corp. | 29,943 | 3,254 | ||||
Penske Automotive Group Inc. | 19,645 | 3,228 | ||||
* | Light & Wonder Inc. | 40,025 | 3,069 | |||
Leggett & Platt Inc. | 108,282 | 3,054 | ||||
* | Adient plc | 77,037 | 3,018 | |||
* | Goodyear Tire & Rubber Co. | 230,558 | 2,976 | |||
* | Penn Entertainment Inc. | 125,367 | 2,970 | |||
Dick's Sporting Goods Inc. | 25,010 | 2,910 |
Shares | Market Value• ($000) | |||||
Macy's Inc. | 221,528 | 2,709 | ||||
Wyndham Hotels & Resorts Inc. | 33,527 | 2,528 | ||||
Travel + Leisure Co. | 62,070 | 2,495 | ||||
* | Five Below Inc. | 14,037 | 2,414 | |||
* | Helen of Troy Ltd. | 19,555 | 2,404 | |||
Kohl's Corp. | 90,087 | 2,400 | ||||
Polaris Inc. | 20,887 | 2,341 | ||||
Carter's Inc. | 30,658 | 2,194 | ||||
* | AutoNation Inc. | 13,824 | 2,172 | |||
Columbia Sportswear Co. | 28,766 | 2,110 | ||||
Valvoline Inc. | 60,994 | 2,101 | ||||
Gap Inc. | 173,545 | 2,010 | ||||
* | Topgolf Callaway Brands Corp. | 113,236 | 1,975 | |||
Brunswick Corp. | 23,584 | 1,866 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 23,881 | 1,841 | |||
Graham Holdings Co. Class B | 3,074 | 1,802 | ||||
Boyd Gaming Corp. | 25,608 | 1,712 | ||||
* | YETI Holdings Inc. | 31,719 | 1,584 | |||
Nordstrom Inc. | 91,919 | 1,491 | ||||
* | Planet Fitness Inc. Class A | 22,115 | 1,345 | |||
* | Hilton Grand Vacations Inc. | 30,640 | 1,340 | |||
Harley-Davidson Inc. | 39,375 | 1,329 | ||||
Foot Locker Inc. | 64,601 | 1,267 | ||||
* | Under Armour Inc. Class A | 153,504 | 1,173 | |||
Choice Hotels International Inc. | 8,844 | 1,122 | ||||
* | Under Armour Inc. Class C | 154,211 | 1,063 | |||
Papa John's International Inc. | 13,296 | 1,006 | ||||
155,287 | ||||||
Consumer Staples (4.4%) | ||||||
Ingredion Inc. | 53,702 | 5,526 | ||||
* | US Foods Holding Corp. | 132,735 | 5,367 | |||
* | Performance Food Group Co. | 69,860 | 4,340 | |||
* | Post Holdings Inc. | 43,554 | 3,907 | |||
* | Coty Inc. Class A | 298,299 | 3,448 | |||
* | BJ's Wholesale Club Holdings Inc. | 47,007 | 3,168 |
Shares | Market Value• ($000) | |||||
* | BellRing Brands Inc. | 63,738 | 2,645 | |||
Coca-Cola Consolidated Inc. | 3,744 | 2,617 | ||||
* | Grocery Outlet Holding Corp. | 72,756 | 2,245 | |||
Energizer Holdings Inc. | 54,074 | 1,857 | ||||
* | Sprouts Farmers Market Inc. | 38,560 | 1,573 | |||
Flowers Foods Inc. | 58,018 | 1,367 | ||||
* | Pilgrim's Pride Corp. | 36,589 | 921 | |||
* | Boston Beer Co. Inc. Class A | 2,367 | 865 | |||
39,846 | ||||||
Energy (1.8%) | ||||||
Chesapeake Energy Corp. | 87,118 | 7,685 | ||||
HF Sinclair Corp. | 58,694 | 3,233 | ||||
Ovintiv Inc. | 45,750 | 2,148 | ||||
Equitrans Midstream Corp. | 190,284 | 1,827 | ||||
Chord Energy Corp. | 8,112 | 1,310 | ||||
16,203 | ||||||
Financials (17.4%) | ||||||
Reinsurance Group of America Inc. | 54,129 | 7,503 | ||||
Unum Group | 150,690 | 7,412 | ||||
Old Republic International Corp. | 221,487 | 6,058 | ||||
Webster Financial Corp. | 142,149 | 6,029 | ||||
Stifel Financial Corp. | 86,334 | 5,613 | ||||
Voya Financial Inc. | 79,939 | 5,570 | ||||
New York Community Bancorp Inc. | 442,423 | 5,433 | ||||
Starwood Property Trust Inc. | 253,874 | 5,187 | ||||
First American Financial Corp. | 83,962 | 5,179 | ||||
Essent Group Ltd. | 87,251 | 4,382 | ||||
Prosperity Bancshares Inc. | 76,693 | 4,357 | ||||
Pinnacle Financial Partners Inc. | 62,428 | 4,155 | ||||
MGIC Investment Corp. | 233,153 | 4,099 | ||||
Wintrust Financial Corp. | 49,778 | 3,863 | ||||
Western Union Co. | 304,616 | 3,762 | ||||
Synovus Financial Corp. | 118,861 | 3,680 | ||||
Old National Bancorp | 238,018 | 3,632 | ||||
American Financial Group Inc. | 31,250 | 3,623 | ||||
Bank OZK | 87,686 | 3,522 | ||||
FNB Corp. | 293,714 | 3,416 | ||||
Home BancShares Inc. | 153,422 | 3,403 | ||||
Cadence Bank | 148,620 | 3,400 | ||||
RenaissanceRe Holdings Ltd. | 17,979 | 3,378 | ||||
Interactive Brokers Group Inc. Class A | 36,864 | 3,358 | ||||
Valley National Bancorp | 342,904 | 3,148 | ||||
East West Bancorp Inc. | 56,386 | 3,120 | ||||
Janus Henderson Group plc | 107,805 | 2,961 | ||||
* | Brighthouse Financial Inc. | 54,389 | 2,701 | |||
Kemper Corp. | 52,054 | 2,445 | ||||
* | Texas Capital Bancshares Inc. | 38,940 | 2,431 | |||
UMB Financial Corp. | 35,514 | 2,245 |
Shares | Market Value• ($000) | |||||
CNO Financial Group Inc. | 93,185 | 2,181 | ||||
Associated Banc-Corp | 122,744 | 2,127 | ||||
Evercore Inc. Class A | 14,349 | 2,010 | ||||
SouthState Corp. | 26,557 | 1,920 | ||||
First Horizon Corp. | 148,746 | 1,867 | ||||
Primerica Inc. | 9,135 | 1,836 | ||||
United Bankshares Inc. | 56,930 | 1,713 | ||||
* | Euronet Worldwide Inc. | 19,559 | 1,709 | |||
Columbia Banking System Inc. | 81,395 | 1,667 | ||||
Cullen/Frost Bankers Inc. | 17,287 | 1,634 | ||||
Hancock Whitney Corp. | 35,710 | 1,473 | ||||
Commerce Bancshares Inc. | 29,543 | 1,450 | ||||
First Financial Bankshares Inc. | 49,659 | 1,426 | ||||
Affiliated Managers Group Inc. | 9,985 | 1,338 | ||||
Hanover Insurance Group Inc. | 11,915 | 1,272 | ||||
Glacier Bancorp Inc. | 41,487 | 1,253 | ||||
Cathay General Bancorp | 28,913 | 1,030 | ||||
International Bancshares Corp. | 16,750 | 750 | ||||
Federated Hermes Inc. Class B | 21,443 | 745 | ||||
158,466 | ||||||
Health Care (7.1%) | ||||||
* | Tenet Healthcare Corp. | 82,920 | 6,431 | |||
* | Envista Holdings Corp. | 133,166 | 4,264 | |||
* | Neogen Corp. | 175,888 | 4,067 | |||
Perrigo Co. plc | 110,083 | 3,853 | ||||
* | Syneos Health Inc. | 84,323 | 3,603 | |||
Encompass Health Corp. | 44,031 | 3,128 | ||||
* | Penumbra Inc. | 11,513 | 3,045 | |||
* | Azenta Inc. | 53,011 | 2,991 | |||
* | Amedisys Inc. | 26,507 | 2,485 | |||
* | Integra LifeSciences Holdings Corp. | 57,965 | 2,466 | |||
* | LivaNova plc | 43,738 | 2,430 | |||
* | Acadia Healthcare Co. Inc. | 31,444 | 2,424 | |||
* | ICU Medical Inc. | 16,443 | 2,385 | |||
* | Enovis Corp. | 39,011 | 2,186 | |||
Bruker Corp. | 33,277 | 2,183 | ||||
Patterson Cos. Inc. | 70,739 | 2,125 | ||||
* | Omnicell Inc. | 36,672 | 2,085 | |||
Chemed Corp. | 3,910 | 2,000 | ||||
* | R1 RCM Inc. | 112,264 | 1,936 | |||
* | Masimo Corp. | 14,615 | 1,670 | |||
* | QuidelOrtho Corp. | 19,757 | 1,627 | |||
* | Progyny Inc. | 39,189 | 1,463 | |||
* | Sotera Health Co. | 80,436 | 1,298 | |||
* | Arrowhead Pharmaceuticals Inc. | 45,219 | 1,250 | |||
* | Doximity Inc. Class A | 39,590 | 944 | |||
* | STAAR Surgical Co. | 69 | 3 | |||
64,342 |
Shares | Market Value• ($000) | |||||
Industrials (19.4%) | ||||||
Regal Rexnord Corp. | 53,916 | 8,744 | ||||
Fortune Brands Innovations Inc. | 103,074 | 7,114 | ||||
* | XPO Inc. | 94,245 | 7,034 | |||
Woodward Inc. | 48,836 | 6,318 | ||||
* | GXO Logistics Inc. | 96,744 | 6,189 | |||
Oshkosh Corp. | 53,131 | 5,517 | ||||
Hexcel Corp. | 68,634 | 5,031 | ||||
Owens Corning | 33,718 | 4,852 | ||||
* | MasTec Inc. | 48,532 | 4,828 | |||
AECOM | 52,012 | 4,564 | ||||
Flowserve Corp. | 106,685 | 4,222 | ||||
* | Fluor Corp. | 116,518 | 4,077 | |||
* | Kirby Corp. | 48,808 | 4,043 | |||
Maximus Inc. | 49,446 | 3,996 | ||||
* | Saia Inc. | 9,281 | 3,956 | |||
Ryder System Inc. | 37,820 | 3,808 | ||||
Graco Inc. | 47,928 | 3,783 | ||||
Lennox International Inc. | 9,987 | 3,763 | ||||
ITT Inc. | 36,196 | 3,702 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 65,496 | 3,591 | ||||
EnerSys | 33,231 | 3,489 | ||||
* | Chart Industries Inc. | 18,776 | 3,391 | |||
MDU Resources Group Inc. | 165,652 | 3,373 | ||||
Terex Corp. | 55,153 | 3,343 | ||||
* | Stericycle Inc. | 75,201 | 3,325 | |||
* | Middleby Corp. | 22,637 | 3,296 | |||
* | ASGN Inc. | 40,104 | 3,295 | |||
WESCO International Inc. | 20,187 | 3,267 | ||||
ManpowerGroup Inc. | 41,020 | 3,235 | ||||
AGCO Corp. | 24,262 | 3,143 | ||||
Esab Corp. | 42,130 | 3,041 | ||||
* | Trex Co. Inc. | 41,599 | 2,969 | |||
Tetra Tech Inc. | 18,619 | 2,930 | ||||
* | Sunrun Inc. | 175,392 | 2,741 | |||
MSA Safety Inc. | 13,512 | 2,468 | ||||
Donaldson Co. Inc. | 35,515 | 2,268 | ||||
Genpact Ltd. | 59,261 | 2,212 | ||||
* | CACI International Inc. Class A | 6,675 | 2,189 | |||
* | Hertz Global Holdings Inc. | 128,218 | 2,173 | |||
Timken Co. | 27,331 | 2,089 | ||||
Acuity Brands Inc. | 12,933 | 2,086 | ||||
Watts Water Technologies Inc. Class A | 10,702 | 2,020 | ||||
Werner Enterprises Inc. | 47,946 | 1,995 | ||||
MSC Industrial Direct Co. Inc. Class A | 19,221 | 1,962 | ||||
Crane Co. | 19,613 | 1,787 | ||||
Science Applications International Corp. | 14,494 | 1,705 | ||||
GATX Corp. | 13,783 | 1,628 | ||||
* | JetBlue Airways Corp. | 266,735 | 1,579 | |||
Brink's Co. | 20,015 | 1,517 |
Shares | Market Value• ($000) | |||||
Advanced Drainage Systems Inc. | 11,703 | 1,500 | ||||
Exponent Inc. | 12,819 | 1,152 | ||||
* | Vicor Corp. | 10,389 | 704 | |||
177,004 | ||||||
Information Technology (11.1%) | ||||||
Jabil Inc. | 107,934 | 12,350 | ||||
* | Arrow Electronics Inc. | 45,951 | 6,131 | |||
* | Ciena Corp. | 121,336 | 6,064 | |||
MKS Instruments Inc. | 46,709 | 4,682 | ||||
* | Aspen Technology Inc. | 23,746 | 4,607 | |||
* | Manhattan Associates Inc. | 21,192 | 4,294 | |||
* | Coherent Corp. | 113,379 | 4,266 | |||
Vontier Corp. | 126,590 | 3,976 | ||||
Avnet Inc. | 74,350 | 3,773 | ||||
* | NCR Corp. | 114,210 | 3,513 | |||
TD SYNNEX Corp. | 33,773 | 3,436 | ||||
Cognex Corp. | 67,394 | 3,173 | ||||
* | Lumentum Holdings Inc. | 55,885 | 3,025 | |||
Vishay Intertechnology Inc. | 103,786 | 2,848 | ||||
* | Synaptics Inc. | 32,151 | 2,815 | |||
* | Kyndryl Holdings Inc. | 166,560 | 2,812 | |||
* | IPG Photonics Corp. | 25,398 | 2,752 | |||
National Instruments Corp. | 44,927 | 2,678 | ||||
* | Wolfspeed Inc. | 55,690 | 2,663 | |||
* | ACI Worldwide Inc. | 88,116 | 2,139 | |||
Universal Display Corp. | 13,107 | 2,131 | ||||
Dolby Laboratories Inc. Class A | 24,365 | 2,058 | ||||
* | Teradata Corp. | 44,410 | 2,055 | |||
Littelfuse Inc. | 7,676 | 2,050 | ||||
* | Super Micro Computer Inc. | 7,429 | 2,044 | |||
* | Silicon Laboratories Inc. | 12,233 | 1,650 | |||
* | Blackbaud Inc. | 19,875 | 1,513 | |||
Xerox Holdings Corp. | 91,929 | 1,461 | ||||
* | Allegro MicroSystems Inc. | 32,351 | 1,237 | |||
* | Envestnet Inc. | 22,570 | 1,233 | |||
Crane NXT Co. | 19,613 | 1,164 | ||||
* | CommVault Systems Inc. | 11,805 | 806 | |||
101,399 | ||||||
Materials (5.9%) | ||||||
* | Cleveland-Cliffs Inc. | 418,998 | 6,406 | |||
United States Steel Corp. | 184,213 | 5,727 | ||||
Crown Holdings Inc. | 59,595 | 5,522 | ||||
Alcoa Corp. | 145,123 | 4,365 | ||||
AptarGroup Inc. | 28,248 | 3,745 | ||||
Berry Global Group Inc. | 54,300 | 3,548 | ||||
* | Axalta Coating Systems Ltd. | 99,115 | 2,805 | |||
Avient Corp. | 69,639 | 2,793 | ||||
Commercial Metals Co. | 41,919 | 2,360 | ||||
Sonoco Products Co. | 39,045 | 2,243 | ||||
* | Knife River Corp. | 41,413 | 2,131 | |||
Sensient Technologies Corp. | 34,364 | 2,117 | ||||
Scotts Miracle-Gro Co. | 33,297 | 1,887 | ||||
Chemours Co. | 52,173 | 1,775 |
Shares | Market Value• ($000) | |||||
Graphic Packaging Holding Co. | 72,456 | 1,611 | ||||
Greif Inc. Class A | 21,099 | 1,532 | ||||
NewMarket Corp. | 2,485 | 1,167 | ||||
Ashland Inc. | 13,040 | 1,130 | ||||
Worthington Industries Inc. | 12,591 | 948 | ||||
53,812 | ||||||
Real Estate (10.6%) | ||||||
Equity LifeStyle Properties Inc. | 142,386 | 9,534 | ||||
* | Jones Lang LaSalle Inc. | 38,855 | 6,714 | |||
Healthcare Realty Trust Inc. Class A | 309,781 | 5,427 | ||||
Spirit Realty Capital Inc. | 114,940 | 4,438 | ||||
Apartment Income REIT Corp. Class A | 121,369 | 4,134 | ||||
Kite Realty Group Trust | 178,414 | 4,027 | ||||
Rexford Industrial Realty Inc. | 70,291 | 3,758 | ||||
Medical Properties Trust Inc. | 486,695 | 3,514 | ||||
CubeSmart | 84,073 | 3,507 | ||||
Kilroy Realty Corp. | 85,746 | 3,168 | ||||
Vornado Realty Trust | 131,114 | 3,149 | ||||
Omega Healthcare Investors Inc. | 97,225 | 3,094 | ||||
Independence Realty Trust Inc. | 182,472 | 3,071 | ||||
STAG Industrial Inc. | 80,254 | 2,932 | ||||
EastGroup Properties Inc. | 16,257 | 2,920 | ||||
Cousins Properties Inc. | 123,397 | 2,900 | ||||
Lamar Advertising Co. Class A | 31,314 | 2,856 | ||||
EPR Properties | 61,237 | 2,742 | ||||
NNN REIT Inc. | 69,617 | 2,742 | ||||
Brixmor Property Group Inc. | 124,687 | 2,741 | ||||
First Industrial Realty Trust Inc. | 52,712 | 2,738 | ||||
Physicians Realty Trust | 193,929 | 2,698 | ||||
Sabra Health Care REIT Inc. | 188,069 | 2,357 | ||||
Park Hotels & Resorts Inc. | 175,407 | 2,250 | ||||
Highwoods Properties Inc. | 85,786 | 2,044 | ||||
Rayonier Inc. | 54,258 | 1,622 | ||||
Agree Realty Corp. | 23,502 | 1,453 | ||||
PotlatchDeltic Corp. | 27,954 | 1,321 | ||||
National Storage Affiliates Trust | 35,406 | 1,190 | ||||
Corporate Office Properties Trust | 43,932 | 1,137 | ||||
96,178 |
Shares | Market Value• ($000) | |||||
Utilities (2.9%) | ||||||
UGI Corp. | 170,281 | 4,288 | ||||
Portland General Electric Co. | 78,598 | 3,447 | ||||
Southwest Gas Holdings Inc. | 53,387 | 3,306 | ||||
ALLETE Inc. | 46,624 | 2,560 | ||||
NorthWestern Corp. | 48,641 | 2,451 | ||||
IDACORP Inc. | 19,349 | 1,854 | ||||
Black Hills Corp. | 26,028 | 1,431 | ||||
Ormat Technologies Inc. | 17,524 | 1,331 | ||||
Spire Inc. | 21,821 | 1,275 | ||||
1 | Hawaiian Electric Industries Inc. | 89,133 | 1,250 | |||
National Fuel Gas Co. | 22,404 | 1,204 | ||||
PNM Resources Inc. | 26,533 | 1,176 | ||||
New Jersey Resources Corp. | 27,607 | 1,164 | ||||
26,737 | ||||||
Total Common Stocks (Cost $869,966) | 906,419 | |||||
Temporary Cash Investments (0.8%) | ||||||
Money Market Fund (0.8%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 5.384% (Cost $7,727) | 77,281 | 7,728 | |||
Total Investments (100.3%) (Cost $877,693) | 914,147 | |||||
Other Assets and Liabilities—Net (-0.3%) | (3,087) | |||||
Net Assets (100%) | 911,060 |
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 $3,948,000. |
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 $4,035,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | September 2023 | 3 | 795 | 13 |
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) |
Lithia Motors Inc. Class A | 1/31/24 | CITNA | 1,974 | (5.326) | 23 | — |
New York Community Bancorp Inc. | 1/31/24 | CITNA | 1,950 | (5.326) | — | (153) |
23 | (153) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
CITNA—Citibank, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $869,966) | 906,419 |
Affiliated Issuers (Cost $7,727) | 7,728 |
Total Investments in Securities | 914,147 |
Investment in Vanguard | 31 |
Cash Collateral Pledged—Futures Contracts | 30 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 260 |
Receivables for Investment Securities Sold | 116 |
Receivables for Accrued Income | 919 |
Receivables for Capital Shares Issued | 3 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 23 |
Total Assets | 915,529 |
Liabilities | |
Due to Custodian | 115 |
Payables for Investment Securities Purchased | 24 |
Collateral for Securities on Loan | 4,035 |
Payables for Capital Shares Redeemed | 86 |
Payables to Vanguard | 56 |
Variation Margin Payable—Futures Contracts | — |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 153 |
Total Liabilities | 4,469 |
Net Assets | 911,060 |
1 Includes $3,948,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 1,106,197 |
Total Distributable Earnings (Loss) | (195,137) |
Net Assets | 911,060 |
ETF Shares—Net Assets2 | |
Applicable to 9,825,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 812,377 |
Net Asset Value Per Share—ETF Shares | $82.68 |
Institutional Shares—Net Assets | |
Applicable to 297,437 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 98,683 |
Net Asset Value Per Share—Institutional Shares | $331.78 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 16,313 |
Interest1 | 70 |
Securities Lending—Net | 308 |
Total Income | 16,691 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 21 |
Management and Administrative—ETF Shares | 1,019 |
Management and Administrative—Institutional Shares | 53 |
Marketing and Distribution—ETF Shares | 46 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 30 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 42 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 17 |
Total Expenses | 1,260 |
Net Investment Income | 15,431 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 20,941 |
Futures Contracts | (247) |
Swap Contracts | 564 |
Realized Net Gain (Loss) | 21,258 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 31,263 |
Futures Contracts | 59 |
Swap Contracts | (130) |
Change in Unrealized Appreciation (Depreciation) | 31,192 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 67,881 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $67,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $80,621,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,431 | 16,431 |
Realized Net Gain (Loss) | 21,258 | 104,438 |
Change in Unrealized Appreciation (Depreciation) | 31,192 | (172,682) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 67,881 | (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 | (39,235) | 46,955 |
Institutional Shares | 13,348 | (76,811) |
Net Increase (Decrease) from Capital Share Transactions | (25,887) | (29,856) |
Total Increase (Decrease) | 25,473 | (98,470) |
Net Assets | ||
Beginning of Period | 885,587 | 984,057 |
End of Period | 911,060 | 885,587 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $76.82 | $82.65 | $54.80 | $58.77 | $65.03 |
Investment Operations | |||||
Net Investment Income2 | 1.383 | 1.442 | 1.244 | 1.212 | 1.031 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.987 | (5.769) | 28.198 | (4.044) | (6.310) |
Total from Investment Operations | 7.370 | (4.327) | 29.442 | (2.832) | (5.279) |
Distributions | |||||
Dividends from Net Investment Income | (1.510) | (1.503) | (1.592) | (1.138) | (.981) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.510) | (1.503) | (1.592) | (1.138) | (.981) |
Net Asset Value, End of Period | $82.68 | $76.82 | $82.65 | $54.80 | $58.77 |
Total Return | 9.79% | -5.34% | 54.51% | -5.10% | -8.04% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $812 | $807 | $822 | $501 | $685 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.75% | 1.79% | 1.72% | 2.13% | 1.72% |
Portfolio Turnover Rate3 | 43% | 33% | 36% | 51% | 38% |
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 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $308.23 | $331.49 | $219.78 | $235.62 | $260.90 |
Investment Operations | |||||
Net Investment Income1 | 5.762 | 6.147 | 5.090 | 5.011 | 4.332 |
Net Realized and Unrealized Gain (Loss) on Investments | 24.063 | (23.292) | 113.153 | (16.157) | (25.380) |
Total from Investment Operations | 29.825 | (17.145) | 118.243 | (11.146) | (21.048) |
Distributions | |||||
Dividends from Net Investment Income | (6.275) | (6.115) | (6.533) | (4.694) | (4.232) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.275) | (6.115) | (6.533) | (4.694) | (4.232) |
Net Asset Value, End of Period | $331.78 | $308.23 | $331.49 | $219.78 | $235.62 |
Total Return | 9.88% | -5.23% | 54.62% | -5.01% | -7.99% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $99 | $79 | $162 | $160 | $186 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 1.90% | 1.79% | 2.21% | 1.79% |
Portfolio Turnover Rate2 | 43% | 33% | 36% | 51% | 38% |
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 | 906,419 | — | — | 906,419 |
Temporary Cash Investments | 7,728 | — | — | 7,728 |
Total | 914,147 | — | — | 914,147 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 13 | — | — | 13 |
Swap Contracts | — | 23 | — | 23 |
Total | 13 | 23 | — | 36 |
Liabilities | ||||
Swap Contracts | — | 153 | — | 153 |
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) | |
Paid-in Capital | 80,475 |
Total Distributable Earnings (Loss) | (80,475) |
Amount ($000) | |
Undistributed Ordinary Income | 8,190 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 34,171 |
Capital Loss Carryforwards | (237,498) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | (195,137) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 16,521 | 16,801 |
Long-Term Capital Gains | — | — |
Total | 16,521 | 16,801 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 879,976 |
Gross Unrealized Appreciation | 124,207 |
Gross Unrealized Depreciation | (90,036) |
Net Unrealized Appreciation (Depreciation) | 34,171 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 329,721 | 4,150 | 392,670 | 4,750 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (368,956) | (4,825) | (345,715) | (4,200) | |
Net Increase (Decrease)—ETF Shares | (39,235) | (675) | 46,955 | 550 | |
Institutional Shares | |||||
Issued | 28,150 | 88 | 12,349 | 37 | |
Issued in Lieu of Cash Distributions | 1,399 | 5 | 1,318 | 4 | |
Redeemed | (16,201) | (52) | (90,478) | (273) | |
Net Increase (Decrease)—Institutional Shares | 13,348 | 41 | (76,811) | (232) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value | 11.12% | 6.25% | 9.86% | $25,615 | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price | 11.21 | 6.28 | 9.87 | 25,633 | |
S&P MidCap 400 Growth Index | 11.27 | 6.41 | 10.04 | 26,037 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Mid-Cap 400 Growth Index Fund Institutional Shares | 11.21% | 6.34% | 9.97% | $12,933,498 | |
S&P MidCap 400 Growth Index | 11.27 | 6.41 | 10.04 | 13,018,480 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 15,730,560 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price | 11.21% | 35.59% | 156.33% |
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value | 11.12 | 35.43 | 156.15 |
S&P MidCap 400 Growth Index | 11.27 | 36.44 | 160.37 |
Communication Services | 1.9% |
Consumer Discretionary | 12.7 |
Consumer Staples | 4.4 |
Energy | 7.9 |
Financials | 10.7 |
Health Care | 10.9 |
Industrials | 25.8 |
Information Technology | 9.8 |
Materials | 8.7 |
Real Estate | 4.1 |
Utilities | 3.1 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (1.9%) | ||||||
Iridium Communications Inc. | 101,444 | 4,966 | ||||
Nexstar Media Group Inc. Class A | 28,886 | 4,702 | ||||
World Wrestling Entertainment Inc. Class A | 34,963 | 3,376 | ||||
New York Times Co. Class A | 65,998 | 2,922 | ||||
* | ZoomInfo Technologies Inc. Class A | 112,930 | 2,035 | |||
18,001 | ||||||
Consumer Discretionary (12.7%) | ||||||
* | Deckers Outdoor Corp. | 21,234 | 11,235 | |||
Service Corp. International | 121,779 | 7,685 | ||||
Churchill Downs Inc. | 53,075 | 6,649 | ||||
Tempur Sealy International Inc. | 138,617 | 6,476 | ||||
Texas Roadhouse Inc. Class A | 53,974 | 5,619 | ||||
* | Five Below Inc. | 30,942 | 5,321 | |||
Murphy USA Inc. | 16,144 | 5,128 | ||||
H&R Block Inc. | 122,677 | 4,905 | ||||
* | Crocs Inc. | 49,967 | 4,864 | |||
* | TopBuild Corp. | 13,556 | 3,932 | |||
Wingstop Inc. | 24,143 | 3,878 | ||||
* | Fox Factory Holding Corp. | 34,080 | 3,776 | |||
Williams-Sonoma Inc. | 25,392 | 3,585 | ||||
Aramark | 86,077 | 3,200 | ||||
* | Visteon Corp. | 22,840 | 3,181 | |||
* | Grand Canyon Education Inc. | 24,753 | 2,902 | |||
Dick's Sporting Goods Inc. | 24,769 | 2,882 | ||||
* | Planet Fitness Inc. Class A | 46,542 | 2,830 | |||
Gentex Corp. | 86,606 | 2,829 | ||||
Wyndham Hotels & Resorts Inc. | 35,971 | 2,712 | ||||
Wendy's Co. | 135,812 | 2,688 | ||||
Brunswick Corp. | 33,614 | 2,660 | ||||
* | Light & Wonder Inc. | 33,768 | 2,589 | |||
Polaris Inc. | 22,410 | 2,512 | ||||
Boyd Gaming Corp. | 36,495 | 2,440 | ||||
Harley-Davidson Inc. | 66,400 | 2,241 | ||||
Autoliv Inc. | 19,909 | 1,943 | ||||
* | YETI Holdings Inc. | 38,379 | 1,917 |
Shares | Market Value• ($000) | |||||
* | AutoNation Inc. | 11,659 | 1,832 | |||
Valvoline Inc. | 51,431 | 1,771 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 22,709 | 1,750 | |||
Choice Hotels International Inc. | 12,594 | 1,598 | ||||
* | Hilton Grand Vacations Inc. | 31,544 | 1,379 | |||
Papa John's International Inc. | 10,799 | 818 | ||||
121,727 | ||||||
Consumer Staples (4.4%) | ||||||
* | Darling Ingredients Inc. | 128,543 | 7,939 | |||
Casey's General Stores Inc. | 30,018 | 7,337 | ||||
* | Celsius Holdings Inc. | 32,786 | 6,427 | |||
* | BJ's Wholesale Club Holdings Inc. | 61,711 | 4,159 | |||
* | Performance Food Group Co. | 56,608 | 3,517 | |||
Lancaster Colony Corp. | 15,964 | 2,637 | ||||
Flowers Foods Inc. | 97,836 | 2,305 | ||||
* | US Foods Holding Corp. | 51,116 | 2,066 | |||
* | Boston Beer Co. Inc. Class A | 5,217 | 1,906 | |||
* | Sprouts Farmers Market Inc. | 44,810 | 1,828 | |||
* | BellRing Brands Inc. | 43,848 | 1,820 | |||
41,941 | ||||||
Energy (7.8%) | ||||||
Ovintiv Inc. | 151,679 | 7,123 | ||||
NOV Inc. | 317,180 | 6,702 | ||||
Range Resources Corp. | 194,376 | 6,294 | ||||
* | Antero Resources Corp. | 222,444 | 6,155 | |||
* | Southwestern Energy Co. | 887,149 | 6,015 | |||
Matador Resources Co. | 91,214 | 5,792 | ||||
ChampionX Corp. | 159,483 | 5,756 | ||||
Murphy Oil Corp. | 118,208 | 5,367 | ||||
PBF Energy Inc. Class A | 88,373 | 4,144 | ||||
Chord Energy Corp. | 25,439 | 4,108 | ||||
DT Midstream Inc. | 78,054 | 4,081 | ||||
* | Valaris Ltd. | 48,453 | 3,649 | |||
Antero Midstream Corp. | 270,486 | 3,278 | ||||
* | CNX Resources Corp. | 133,381 | 2,981 | |||
HF Sinclair Corp. | 45,669 | 2,516 | ||||
Equitrans Midstream Corp. | 160,386 | 1,540 | ||||
75,501 |
Shares | Market Value• ($000) | |||||
Financials (10.7%) | ||||||
Annaly Capital Management Inc. | 397,875 | 8,065 | ||||
Kinsale Capital Group Inc. | 17,534 | 6,990 | ||||
* | WEX Inc. | 34,514 | 6,771 | |||
Erie Indemnity Co. Class A | 20,093 | 5,600 | ||||
Jefferies Financial Group Inc. | 150,432 | 5,369 | ||||
SEI Investments Co. | 81,618 | 5,065 | ||||
Selective Insurance Group Inc. | 48,732 | 4,835 | ||||
RLI Corp. | 32,661 | 4,296 | ||||
RenaissanceRe Holdings Ltd. | 22,661 | 4,258 | ||||
Interactive Brokers Group Inc. Class A | 46,462 | 4,232 | ||||
Primerica Inc. | 20,136 | 4,047 | ||||
First Horizon Corp. | 285,980 | 3,589 | ||||
Cullen/Frost Bankers Inc. | 34,767 | 3,286 | ||||
East West Bancorp Inc. | 58,134 | 3,217 | ||||
Commerce Bancshares Inc. | 62,197 | 3,053 | ||||
American Financial Group Inc. | 25,322 | 2,935 | ||||
SLM Corp. | 195,291 | 2,781 | ||||
FirstCash Holdings Inc. | 29,670 | 2,650 | ||||
Affiliated Managers Group Inc. | 19,196 | 2,572 | ||||
SouthState Corp. | 34,883 | 2,522 | ||||
Evercore Inc. Class A | 14,213 | 1,991 | ||||
Hanover Insurance Group Inc. | 16,974 | 1,811 | ||||
Columbia Banking System Inc. | 87,288 | 1,788 | ||||
Federated Hermes Inc. Class B | 47,235 | 1,642 | ||||
* | Euronet Worldwide Inc. | 18,597 | 1,625 | |||
First Financial Bankshares Inc. | 55,413 | 1,591 | ||||
United Bankshares Inc. | 51,999 | 1,564 | ||||
Glacier Bancorp Inc. | 48,179 | 1,455 | ||||
Hancock Whitney Corp. | 33,937 | 1,400 | ||||
International Bancshares Corp. | 25,896 | 1,160 | ||||
Cathay General Bancorp | 29,873 | 1,064 | ||||
103,224 | ||||||
Health Care (10.9%) | ||||||
* | Neurocrine Biosciences Inc. | 78,606 | 8,559 | |||
* | United Therapeutics Corp. | 37,740 | 8,467 | |||
* | Jazz Pharmaceuticals plc | 51,562 | 7,392 | |||
* | Repligen Corp. | 41,715 | 7,255 | |||
* | Shockwave Medical Inc. | 29,505 | 6,503 | |||
* | Exelixis Inc. | 262,338 | 5,874 | |||
* | Medpace Holdings Inc. | 19,901 | 5,379 | |||
* | Globus Medical Inc. Class A | 96,061 | 5,197 | |||
* | Penumbra Inc. | 19,414 | 5,135 | |||
* | HealthEquity Inc. | 68,853 | 4,651 | |||
* | Option Care Health Inc. | 133,229 | 4,640 | |||
* | Halozyme Therapeutics Inc. | 106,082 | 4,515 | |||
Chemed Corp. | 8,227 | 4,208 | ||||
* | Lantheus Holdings Inc. | 55,049 | 3,768 | |||
* | Haemonetics Corp. | 40,640 | 3,647 | |||
* | Acadia Healthcare Co. Inc. | 43,002 | 3,315 | |||
Bruker Corp. | 47,422 | 3,111 | ||||
* | Masimo Corp. | 24,645 | 2,816 | |||
* | Inari Medical Inc. | 41,452 | 2,761 |
Shares | Market Value• ($000) | |||||
Encompass Health Corp. | 37,142 | 2,639 | ||||
* | QuidelOrtho Corp. | 23,911 | 1,969 | |||
* | Doximity Inc. Class A | 56,344 | 1,343 | |||
* | Arrowhead Pharmaceuticals Inc. | 41,248 | 1,140 | |||
* | Progyny Inc. | 22,846 | 853 | |||
105,137 | ||||||
Industrials (25.7%) | ||||||
* | Builders FirstSource Inc. | 103,249 | 14,975 | |||
Hubbell Inc. Class B | 43,171 | 14,076 | ||||
Carlisle Cos. Inc. | 41,058 | 10,799 | ||||
Watsco Inc. | 26,924 | 9,815 | ||||
Lincoln Electric Holdings Inc. | 46,379 | 8,926 | ||||
Toro Co. | 84,009 | 8,596 | ||||
EMCOR Group Inc. | 38,301 | 8,589 | ||||
nVent Electric plc | 133,462 | 7,546 | ||||
Graco Inc. | 88,149 | 6,959 | ||||
* | Clean Harbors Inc. | 40,534 | 6,864 | |||
KBR Inc. | 109,334 | 6,726 | ||||
* | Paylocity Holding Corp. | 33,274 | 6,671 | |||
Curtiss-Wright Corp. | 30,888 | 6,424 | ||||
Lennox International Inc. | 16,136 | 6,080 | ||||
Owens Corning | 39,197 | 5,641 | ||||
Landstar System Inc. | 28,946 | 5,494 | ||||
Simpson Manufacturing Co. Inc. | 34,374 | 5,492 | ||||
BWX Technologies Inc. | 73,669 | 5,434 | ||||
AECOM | 60,466 | 5,306 | ||||
UFP Industries Inc. | 50,023 | 5,220 | ||||
* | Saia Inc. | 12,184 | 5,193 | |||
* | FTI Consulting Inc. | 27,373 | 5,086 | |||
Advanced Drainage Systems Inc. | 38,800 | 4,973 | ||||
Valmont Industries Inc. | 16,963 | 4,300 | ||||
* | Avis Budget Group Inc. | 19,219 | 4,101 | |||
Donaldson Co. Inc. | 62,525 | 3,994 | ||||
* | ExlService Holdings Inc. | 133,919 | 3,914 | |||
* | CACI International Inc. Class A | 11,751 | 3,854 | |||
Tetra Tech Inc. | 24,442 | 3,846 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 64,866 | 3,556 | ||||
Science Applications International Corp. | 29,140 | 3,429 | ||||
AGCO Corp. | 26,030 | 3,372 | ||||
* | Trex Co. Inc. | 46,457 | 3,316 | |||
ITT Inc. | 30,538 | 3,123 | ||||
* | Middleby Corp. | 20,695 | 3,013 | |||
MSA Safety Inc. | 16,354 | 2,988 | ||||
Insperity Inc. | 28,939 | 2,932 | ||||
Genpact Ltd. | 77,796 | 2,904 | ||||
* | Chart Industries Inc. | 15,214 | 2,747 | |||
Concentrix Corp. | 34,393 | 2,746 | ||||
WESCO International Inc. | 16,358 | 2,648 | ||||
Exponent Inc. | 28,258 | 2,539 | ||||
Watts Water Technologies Inc. Class A | 11,482 | 2,167 |
Shares | Market Value• ($000) | |||||
Acuity Brands Inc. | 12,810 | 2,066 | ||||
Timken Co. | 26,001 | 1,987 | ||||
MSC Industrial Direct Co. Inc. Class A | 19,035 | 1,943 | ||||
Crane Co. | 19,414 | 1,769 | ||||
GATX Corp. | 14,781 | 1,746 | ||||
Brink's Co. | 17,553 | 1,331 | ||||
* | Vicor Corp. | 7,728 | 524 | |||
247,740 | ||||||
Information Technology (9.8%) | ||||||
* | Lattice Semiconductor Corp. | 110,889 | 10,785 | |||
* | Dynatrace Inc. | 174,643 | 8,418 | |||
* | Super Micro Computer Inc. | 29,429 | 8,095 | |||
* | Dropbox Inc. Class A | 219,087 | 6,088 | |||
* | Manhattan Associates Inc. | 28,981 | 5,872 | |||
* | Novanta Inc. | 28,845 | 4,817 | |||
* | Qualys Inc. | 27,049 | 4,210 | |||
Power Integrations Inc. | 46,204 | 3,882 | ||||
National Instruments Corp. | 61,435 | 3,661 | ||||
* | Cirrus Logic Inc. | 44,515 | 3,652 | |||
Universal Display Corp. | 22,101 | 3,593 | ||||
* | MACOM Technology Solutions Holdings Inc. | 41,686 | 3,525 | |||
Cognex Corp. | 72,304 | 3,404 | ||||
Littelfuse Inc. | 12,402 | 3,312 | ||||
Belden Inc. | 34,278 | 3,219 | ||||
Amkor Technology Inc. | 81,137 | 2,269 | ||||
* | Calix Inc. | 46,430 | 2,159 | |||
* | Wolfspeed Inc. | 45,125 | 2,158 | |||
Dolby Laboratories Inc. Class A | 23,465 | 1,982 | ||||
* | Silicon Laboratories Inc. | 13,656 | 1,842 | |||
* | Teradata Corp. | 37,446 | 1,733 | |||
* | CommVault Systems Inc. | 23,718 | 1,620 | |||
* | Blackbaud Inc. | 16,739 | 1,274 | |||
* | Envestnet Inc. | 21,526 | 1,176 | |||
Crane NXT Co. | 19,468 | 1,156 | ||||
* | Allegro MicroSystems Inc. | 20,446 | 782 | |||
94,684 | ||||||
Materials (8.7%) | ||||||
Reliance Steel & Aluminum Co. | 47,361 | 13,496 | ||||
RPM International Inc. | 103,849 | 10,358 | ||||
Royal Gold Inc. | 52,909 | 5,931 | ||||
Olin Corp. | 96,854 | 5,619 | ||||
Eagle Materials Inc. | 29,042 | 5,498 | ||||
Graphic Packaging Holding Co. | 175,673 | 3,907 | ||||
Westlake Corp. | 27,764 | 3,637 | ||||
Louisiana-Pacific Corp. | 58,040 | 3,626 | ||||
Crown Holdings Inc. | 37,733 | 3,496 | ||||
AptarGroup Inc. | 24,807 | 3,288 | ||||
Cabot Corp. | 45,235 | 3,278 | ||||
Silgan Holdings Inc. | 67,502 | 3,046 | ||||
Commercial Metals Co. | 52,833 | 2,974 | ||||
Berry Global Group Inc. | 42,253 | 2,761 | ||||
Chemours Co. | 68,497 | 2,330 |
Shares | Market Value• ($000) | |||||
Sonoco Products Co. | 40,246 | 2,312 | ||||
* | Axalta Coating Systems Ltd. | 80,320 | 2,273 | |||
Ashland Inc. | 26,221 | 2,272 | ||||
* | MP Materials Corp. | 74,335 | 1,557 | |||
NewMarket Corp. | 2,885 | 1,355 | ||||
Worthington Industries Inc. | 12,009 | 904 | ||||
83,918 | ||||||
Real Estate (4.1%) | ||||||
Rexford Industrial Realty Inc. | 92,277 | 4,934 | ||||
CubeSmart | 97,739 | 4,077 | ||||
Lamar Advertising Co. Class A | 39,469 | 3,600 | ||||
EastGroup Properties Inc. | 19,678 | 3,535 | ||||
Agree Realty Corp. | 51,802 | 3,202 | ||||
NNN REIT Inc. | 77,741 | 3,062 | ||||
Omega Healthcare Investors Inc. | 92,508 | 2,944 | ||||
First Industrial Realty Trust Inc. | 54,334 | 2,822 | ||||
Brixmor Property Group Inc. | 118,644 | 2,608 | ||||
STAG Industrial Inc. | 65,030 | 2,376 | ||||
Rayonier Inc. | 65,660 | 1,963 | ||||
PotlatchDeltic Corp. | 36,679 | 1,733 | ||||
Corporate Office Properties Trust | 47,242 | 1,223 | ||||
National Storage Affiliates Trust | 31,039 | 1,043 | ||||
39,122 | ||||||
Utilities (3.1%) | ||||||
Essential Utilities Inc. | 193,819 | 7,152 | ||||
OGE Energy Corp. | 161,374 | 5,495 | ||||
ONE Gas Inc. | 44,628 | 3,234 | ||||
National Fuel Gas Co. | 51,776 | 2,782 | ||||
New Jersey Resources Corp. | 50,784 | 2,142 | ||||
IDACORP Inc. | 21,607 | 2,071 | ||||
PNM Resources Inc. | 42,862 | 1,899 | ||||
Ormat Technologies Inc. | 24,977 | 1,897 | ||||
Black Hills Corp. | 27,901 | 1,534 | ||||
Spire Inc. | 20,727 | 1,211 | ||||
29,417 | ||||||
Total Common Stocks (Cost $813,572) | 960,412 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund, 5.384% (Cost $5) | 52 | 5 | |||
Total Investments (99.8%) (Cost $813,577) | 960,417 | |||||
Other Assets and Liabilities—Net (0.2%) | 2,193 | |||||
Net Assets (100%) | 962,610 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | September 2023 | 8 | 2,119 | 1 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $813,572) | 960,412 |
Affiliated Issuers (Cost $5) | 5 |
Total Investments in Securities | 960,417 |
Investment in Vanguard | 32 |
Receivables for Investment Securities Sold | 3,498 |
Receivables for Accrued Income | 824 |
Receivables for Capital Shares Issued | 28 |
Total Assets | 964,799 |
Liabilities | |
Due to Custodian | 393 |
Payables for Investment Securities Purchased | 1,715 |
Payables for Capital Shares Redeemed | 24 |
Payables to Vanguard | 57 |
Total Liabilities | 2,189 |
Net Assets | 962,610 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 1,144,637 |
Total Distributable Earnings (Loss) | (182,027) |
Net Assets | 962,610 |
ETF Shares—Net Assets1 | |
Applicable to 8,275,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 785,332 |
Net Asset Value Per Share—ETF Shares | $94.90 |
Institutional Shares—Net Assets | |
Applicable to 468,516 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 177,278 |
Net Asset Value Per Share—Institutional Shares | $378.38 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 10,862 |
Interest1 | 27 |
Securities Lending—Net | 259 |
Total Income | 11,148 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 21 |
Management and Administrative—ETF Shares | 958 |
Management and Administrative—Institutional Shares | 92 |
Marketing and Distribution—ETF Shares | 42 |
Marketing and Distribution—Institutional Shares | 5 |
Custodian Fees | 20 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 37 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 17 |
Total Expenses | 1,221 |
Net Investment Income | 9,927 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (60,170) |
Futures Contracts | (36) |
Realized Net Gain (Loss) | (60,206) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 145,189 |
Futures Contracts | 58 |
Change in Unrealized Appreciation (Depreciation) | 145,247 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 94,968 |
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 $25,000, less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $36,958,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,927 | 8,246 |
Realized Net Gain (Loss) | (60,206) | 74,072 |
Change in Unrealized Appreciation (Depreciation) | 145,247 | (246,971) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 94,968 | (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 | (11,158) | (53,845) |
Institutional Shares | 37,423 | (1,657) |
Net Increase (Decrease) from Capital Share Transactions | 26,265 | (55,502) |
Total Increase (Decrease) | 112,370 | (225,500) |
Net Assets | ||
Beginning of Period | 850,240 | 1,075,740 |
End of Period | 962,610 | 850,240 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $86.30 | $102.72 | $76.26 | $68.85 | $73.23 |
Investment Operations | |||||
Net Investment Income2 | .988 | .809 | .526 | .680 | .760 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.500 | (16.729) | 26.594 | 7.591 | (4.542) |
Total from Investment Operations | 9.488 | (15.920) | 27.120 | 8.271 | (3.782) |
Distributions | |||||
Dividends from Net Investment Income | (.888) | (.500) | (.660) | (.861) | (.598) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.888) | (.500) | (.660) | (.861) | (.598) |
Net Asset Value, End of Period | $94.90 | $86.30 | $102.72 | $76.26 | $68.85 |
Total Return | 11.12% | -15.57% | 35.70% | 12.08% | -5.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $785 | $725 | $925 | $774 | $737 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.12% | 0.85% | 0.57% | 0.98% | 1.13% |
Portfolio Turnover Rate3 | 48% | 44% | 40% | 49% | 40% |
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 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $344.11 | $409.55 | $303.97 | $274.38 | $292.07 |
Investment Operations | |||||
Net Investment Income1 | 4.208 | 3.533 | 2.347 | 2.925 | 3.242 |
Net Realized and Unrealized Gain (Loss) on Investments | 33.855 | (66.731) | 106.033 | 30.247 | (18.167) |
Total from Investment Operations | 38.063 | (63.198) | 108.380 | 33.172 | (14.925) |
Distributions | |||||
Dividends from Net Investment Income | (3.793) | (2.242) | (2.800) | (3.582) | (2.765) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.793) | (2.242) | (2.800) | (3.582) | (2.765) |
Net Asset Value, End of Period | $378.38 | $344.11 | $409.55 | $303.97 | $274.38 |
Total Return | 11.21% | -15.50% | 35.80% | 12.17% | -5.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $177 | $125 | $151 | $213 | $205 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.19% | 0.94% | 0.65% | 1.06% | 1.20% |
Portfolio Turnover Rate2 | 48% | 44% | 40% | 49% | 40% |
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) | |
Paid-in Capital | 36,999 |
Total Distributable Earnings (Loss) | (36,999) |
Amount ($000) | |
Undistributed Ordinary Income | 6,430 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 144,641 |
Capital Loss Carryforwards | (333,098) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | (182,027) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 8,863 | 5,345 |
Long-Term Capital Gains | — | — |
Total | 8,863 | 5,345 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 815,776 |
Gross Unrealized Appreciation | 187,407 |
Gross Unrealized Depreciation | (42,766) |
Net Unrealized Appreciation (Depreciation) | 144,641 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 109,722 | 1,275 | 321,229 | 3,200 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (120,880) | (1,400) | (375,074) | (3,800) | |
Net Increase (Decrease)—ETF Shares | (11,158) | (125) | (53,845) | (600) | |
Institutional Shares | |||||
Issued | 52,131 | 146 | 42,038 | 115 | |
Issued in Lieu of Cash Distributions | 1,358 | 4 | 821 | 2 | |
Redeemed | (16,066) | (45) | (44,516) | (122) | |
Net Increase (Decrease)—Institutional Shares | 37,423 | 105 | (1,657) | (5) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Philadelphia, Pennsylvania
October 18, 2023
Fund | Percentage |
S&P Mid-Cap 400 Index Fund | 85.8% |
S&P Mid-Cap 400 Value Index Fund | 77.5 |
S&P Mid-Cap 400 Growth Index Fund | 90.0 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 37,314 |
S&P Mid-Cap 400 Value Index Fund | 13,813 |
S&P Mid-Cap 400 Growth Index Fund | 7,663 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 195 |
S&P Mid-Cap 400 Value Index Fund | 21 |
S&P Mid-Cap 400 Growth Index Fund | 8 |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 5,444 |
S&P Mid-Cap 400 Value Index Fund | 2,475 |
S&P Mid-Cap 400 Growth Index Fund | 898 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Index Funds
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
1 | |
2 | |
4 | |
25 | |
46 | |
48 |
• | For the 12 months ended August 31, 2023, Vanguard S&P 500 Value Index Fund returned 17.15% for ETF Shares and 17.19% for Institutional Shares. Vanguard S&P 500 Growth Index Fund returned 13.26% for ETF Shares and 13.29% for Institutional Shares. Both funds tracked their target indexes. (Returns for ETF Shares are based on net asset value.) |
• | Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected. |
• | Large-capitalization stocks outperformed their small- and mid-cap counterparts for the period. Value and growth stocks both posted positive returns, but growth significantly outperformed value. |
• | Multiple sectors across both funds posted positive results for the 12 months. Information technology, financial, and communication services stocks contributed most to the performance of the Growth Index Fund, as did information technology, consumer discretionary, and communication services for the Value Index Fund. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 15.40% | 9.93% | 10.77% |
Russell 2000 Index (Small-caps) | 4.65 | 8.12 | 3.14 |
Russell 3000 Index (Broad U.S. market) | 14.76 | 9.81 | 10.25 |
FTSE All-World ex US Index (International) | 12.02 | 4.49 | 3.74 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -1.05% | -4.40% | 0.55% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 1.70 | -1.32 | 1.52 |
FTSE Three-Month U.S. Treasury Bill Index | 4.44 | 1.63 | 1.68 |
CPI | |||
Consumer Price Index | 3.67% | 5.71% | 4.02% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2023 | |||
Beginning Account Value 2/28/2023 | Ending Account Value 8/31/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,086.10 | $0.53 |
Institutional Shares | 1,000.00 | 1,086.30 | 0.42 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,198.10 | $0.55 |
Institutional Shares | 1,000.00 | 1,198.20 | 0.44 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P 500 Value Index Fund ETF Shares Net Asset Value | 17.15% | 9.41% | 10.29% | $26,636 | |
S&P 500 Value Index Fund ETF Shares Market Price | 17.18 | 9.42 | 10.30 | 26,651 | |
S&P 500 Value Index | 17.28 | 9.53 | 10.43 | 26,968 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Since Inception (3/3/2015) | Final Value of a $5,000,000 Investment | ||
S&P 500 Value Index Fund Institutional Shares | 17.19% | 9.45% | 9.15% | $10,515,932 | |
S&P 500 Value Index | 17.28 | 9.53 | 9.22 | 10,576,229 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 10.73 | 11,886,634 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P 500 Value Index Fund ETF Shares Market Price | 17.18% | 56.85% | 166.51% |
S&P 500 Value Index Fund ETF Shares Net Asset Value | 17.15 | 56.81 | 166.36 |
S&P 500 Value Index | 17.28 | 57.65 | 169.68 |
Communication Services | 9.9% |
Consumer Discretionary | 11.1 |
Consumer Staples | 6.8 |
Energy | 1.6 |
Financials | 19.2 |
Health Care | 8.6 |
Industrials | 12.3 |
Information Technology | 18.2 |
Materials | 3.1 |
Real Estate | 4.4 |
Utilities | 4.8 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.6%) | ||||||
Communication Services (9.9%) | ||||||
* | Meta Platforms Inc. Class A | 484,378 | 143,323 | |||
Comcast Corp. Class A | 910,792 | 42,589 | ||||
* | Netflix Inc. | 97,341 | 42,215 | |||
* | Walt Disney Co. | 400,148 | 33,484 | |||
Verizon Communications Inc. | 920,593 | 32,202 | ||||
AT&T Inc. | 1,565,537 | 23,154 | ||||
* | Charter Communications Inc. Class A | 22,756 | 9,970 | |||
* | Warner Bros Discovery Inc. | 485,518 | 6,380 | |||
Activision Blizzard Inc. | 64,231 | 5,909 | ||||
* | T-Mobile US Inc. | 40,355 | 5,498 | |||
* | Take-Two Interactive Software Inc. | 34,726 | 4,938 | |||
Omnicom Group Inc. | 43,723 | 3,542 | ||||
* | Match Group Inc. | 61,203 | 2,868 | |||
Interpublic Group of Cos. Inc. | 84,304 | 2,749 | ||||
* | Live Nation Entertainment Inc. | 31,429 | 2,657 | |||
Electronic Arts Inc. | 18,211 | 2,185 | ||||
Fox Corp. Class A | 59,217 | 1,958 | ||||
News Corp. Class A | 89,946 | 1,933 | ||||
Paramount Global Class B | 110,679 | 1,670 | ||||
Fox Corp. Class B | 29,729 | 907 | ||||
News Corp. Class B | 18,906 | 416 | ||||
370,547 | ||||||
Consumer Discretionary (11.0%) | ||||||
* | Amazon.com Inc. | 1,055,475 | 145,666 | |||
Home Depot Inc. | 104,218 | 34,423 | ||||
NIKE Inc. Class B | 269,803 | 27,442 | ||||
* | Booking Holdings Inc. | 8,086 | 25,107 | |||
McDonald's Corp. | 60,740 | 17,077 | ||||
Starbucks Corp. | 123,001 | 11,985 | ||||
Ford Motor Co. | 860,637 | 10,440 | ||||
General Motors Co. | 304,403 | 10,201 | ||||
Lowe's Cos. Inc. | 40,486 | 9,331 | ||||
Ross Stores Inc. | 74,909 | 9,125 | ||||
TJX Cos. Inc. | 90,770 | 8,394 | ||||
Lennar Corp. Class A | 55,262 | 6,581 |
Shares | Market Value• ($000) | |||||
* | Aptiv plc | 59,241 | 6,010 | |||
Marriott International Inc. Class A | 27,669 | 5,631 | ||||
eBay Inc. | 117,106 | 5,244 | ||||
* | Royal Caribbean Cruises Ltd. | 48,178 | 4,767 | |||
Hilton Worldwide Holdings Inc. | 30,146 | 4,481 | ||||
* | NVR Inc. | 666 | 4,247 | |||
Darden Restaurants Inc. | 26,487 | 4,119 | ||||
DR Horton Inc. | 33,985 | 4,045 | ||||
PulteGroup Inc. | 48,959 | 4,018 | ||||
Las Vegas Sands Corp. | 71,966 | 3,948 | ||||
Garmin Ltd. | 33,510 | 3,553 | ||||
* | Carnival Corp. | 220,420 | 3,487 | |||
* | Expedia Group Inc. | 31,238 | 3,386 | |||
Best Buy Co. Inc. | 42,634 | 3,259 | ||||
LKQ Corp. | 55,689 | 2,925 | ||||
MGM Resorts International | 66,348 | 2,918 | ||||
Yum! Brands Inc. | 22,013 | 2,848 | ||||
* | CarMax Inc. | 34,770 | 2,840 | |||
* | Caesars Entertainment Inc. | 46,996 | 2,597 | |||
Wynn Resorts Ltd. | 22,632 | 2,295 | ||||
BorgWarner Inc. | 51,245 | 2,088 | ||||
Hasbro Inc. | 28,448 | 2,048 | ||||
Bath & Body Works Inc. | 50,004 | 1,844 | ||||
Tapestry Inc. | 50,841 | 1,694 | ||||
Whirlpool Corp. | 11,959 | 1,674 | ||||
Domino's Pizza Inc. | 4,164 | 1,613 | ||||
* | Norwegian Cruise Line Holdings Ltd. | 92,650 | 1,535 | |||
VF Corp. | 72,127 | 1,425 | ||||
Genuine Parts Co. | 8,592 | 1,321 | ||||
* | Mohawk Industries Inc. | 11,590 | 1,175 | |||
Pool Corp. | 3,150 | 1,152 | ||||
Ralph Lauren Corp. Class A | 8,938 | 1,043 | ||||
Newell Brands Inc. | 82,175 | 869 | ||||
* | Etsy Inc. | 11,313 | 832 | |||
Lennar Corp. Class B | 360 | 38 | ||||
412,741 | ||||||
Consumer Staples (6.8%) | ||||||
Walmart Inc. | 307,097 | 49,937 | ||||
Procter & Gamble Co. | 232,204 | 35,838 |
Shares | Market Value• ($000) | |||||
Costco Wholesale Corp. | 33,016 | 18,135 | ||||
Coca-Cola Co. | 298,153 | 17,839 | ||||
Philip Morris International Inc. | 156,347 | 15,019 | ||||
Target Corp. | 101,081 | 12,792 | ||||
Mondelez International Inc. Class A | 137,192 | 9,776 | ||||
Altria Group Inc. | 187,651 | 8,298 | ||||
Estee Lauder Cos. Inc. Class A | 50,780 | 8,152 | ||||
Sysco Corp. | 110,982 | 7,730 | ||||
Kroger Co. | 143,012 | 6,634 | ||||
Colgate-Palmolive Co. | 81,754 | 6,006 | ||||
Kraft Heinz Co. | 174,720 | 5,781 | ||||
Church & Dwight Co. Inc. | 53,497 | 5,177 | ||||
Kimberly-Clark Corp. | 38,420 | 4,950 | ||||
Archer-Daniels-Midland Co. | 60,837 | 4,824 | ||||
Constellation Brands Inc. Class A | 15,537 | 4,048 | ||||
Walgreens Boots Alliance Inc. | 156,878 | 3,971 | ||||
J M Smucker Co. | 23,390 | 3,390 | ||||
Tyson Foods Inc. Class A | 62,570 | 3,333 | ||||
Conagra Brands Inc. | 104,592 | 3,125 | ||||
Keurig Dr Pepper Inc. | 92,493 | 3,112 | ||||
General Mills Inc. | 41,038 | 2,777 | ||||
Molson Coors Beverage Co. Class B | 41,227 | 2,618 | ||||
Clorox Co. | 14,903 | 2,332 | ||||
Bunge Ltd. | 19,389 | 2,217 | ||||
McCormick & Co. Inc. (Non-Voting) | 26,860 | 2,205 | ||||
Kellogg Co. | 25,275 | 1,542 | ||||
Brown-Forman Corp. Class B | 17,908 | 1,184 | ||||
Campbell Soup Co. | 17,922 | 747 | ||||
Hormel Foods Corp. | 17,701 | 683 | ||||
254,172 | ||||||
Energy (1.6%) | ||||||
Phillips 66 | 100,467 | 11,469 | ||||
Valero Energy Corp. | 79,158 | 10,283 | ||||
Schlumberger NV | 146,679 | 8,648 | ||||
Baker Hughes Co. Class A | 221,669 | 8,022 | ||||
Halliburton Co. | 197,577 | 7,631 | ||||
Kinder Morgan Inc. | 431,826 | 7,436 | ||||
Marathon Petroleum Corp. | 48,307 | 6,897 | ||||
60,386 | ||||||
Financials (19.1%) | ||||||
* | Berkshire Hathaway Inc. Class B | 390,462 | 140,644 | |||
JPMorgan Chase & Co. | 639,862 | 93,631 | ||||
Bank of America Corp. | 1,518,073 | 43,523 | ||||
Wells Fargo & Co. | 821,575 | 33,923 | ||||
S&P Global Inc. | 71,822 | 28,072 | ||||
Morgan Stanley | 285,253 | 24,289 | ||||
Goldman Sachs Group Inc. | 72,795 | 23,856 | ||||
BlackRock Inc. | 32,793 | 22,973 |
Shares | Market Value• ($000) | |||||
Citigroup Inc. | 426,236 | 17,599 | ||||
CME Group Inc. | 78,767 | 15,965 | ||||
* | PayPal Holdings Inc. | 244,323 | 15,273 | |||
Intercontinental Exchange Inc. | 122,601 | 14,466 | ||||
US Bancorp | 305,474 | 11,159 | ||||
PNC Financial Services Group Inc. | 87,396 | 10,551 | ||||
American Express Co. | 66,401 | 10,491 | ||||
American International Group Inc. | 158,500 | 9,276 | ||||
Aflac Inc. | 120,394 | 8,978 | ||||
MetLife Inc. | 140,882 | 8,924 | ||||
Truist Financial Corp. | 291,666 | 8,910 | ||||
Capital One Financial Corp. | 83,605 | 8,560 | ||||
Charles Schwab Corp. | 133,426 | 7,892 | ||||
Chubb Ltd. | 39,001 | 7,834 | ||||
Marsh & McLennan Cos. Inc. | 39,002 | 7,605 | ||||
Prudential Financial Inc. | 79,945 | 7,568 | ||||
Global Payments Inc. | 57,369 | 7,268 | ||||
Fidelity National Information Services Inc. | 129,771 | 7,249 | ||||
Bank of New York Mellon Corp. | 157,259 | 7,056 | ||||
Allstate Corp. | 57,573 | 6,207 | ||||
Moody's Corp. | 18,318 | 6,170 | ||||
T. Rowe Price Group Inc. | 49,188 | 5,520 | ||||
* | Fiserv Inc. | 41,916 | 5,088 | |||
Aon plc Class A | 15,210 | 5,071 | ||||
State Street Corp. | 73,210 | 5,033 | ||||
Hartford Financial Services Group Inc. | 67,966 | 4,881 | ||||
Willis Towers Watson plc | 23,307 | 4,819 | ||||
M&T Bank Corp. | 36,339 | 4,544 | ||||
MSCI Inc. Class A | 7,542 | 4,100 | ||||
Fifth Third Bancorp | 149,108 | 3,959 | ||||
Arthur J Gallagher & Co. | 16,897 | 3,895 | ||||
Regions Financial Corp. | 205,563 | 3,770 | ||||
Travelers Cos. Inc. | 23,279 | 3,753 | ||||
Cincinnati Financial Corp. | 34,485 | 3,648 | ||||
Huntington Bancshares Inc. | 316,800 | 3,513 | ||||
Northern Trust Corp. | 45,657 | 3,473 | ||||
Synchrony Financial | 93,900 | 3,031 | ||||
Citizens Financial Group Inc. | 106,311 | 2,991 | ||||
Loews Corp. | 41,476 | 2,575 | ||||
KeyCorp | 204,182 | 2,313 | ||||
Discover Financial Services | 23,370 | 2,105 | ||||
* | FleetCor Technologies Inc. | 7,576 | 2,059 | |||
Franklin Resources Inc. | 62,318 | 1,666 | ||||
Assurant Inc. | 11,600 | 1,616 | ||||
Invesco Ltd. | 100,004 | 1,592 | ||||
Brown & Brown Inc. | 21,013 | 1,557 | ||||
Principal Financial Group Inc. | 19,207 | 1,493 | ||||
FactSet Research Systems Inc. | 3,356 | 1,465 | ||||
Everest Group Ltd. | 3,929 | 1,417 |
Shares | Market Value• ($000) | |||||
Nasdaq Inc. | 26,662 | 1,399 | ||||
Comerica Inc. | 28,686 | 1,380 | ||||
Zions Bancorp NA | 32,332 | 1,148 | ||||
Cboe Global Markets Inc. | 7,581 | 1,135 | ||||
MarketAxess Holdings Inc. | 4,184 | 1,008 | ||||
Lincoln National Corp. | 33,523 | 860 | ||||
Globe Life Inc. | 5,818 | 649 | ||||
714,438 | ||||||
Health Care (8.6%) | ||||||
Johnson & Johnson | 200,357 | 32,394 | ||||
Medtronic plc | 291,311 | 23,742 | ||||
Stryker Corp. | 73,975 | 20,976 | ||||
Zoetis Inc. Class A | 101,186 | 19,277 | ||||
Abbott Laboratories | 182,762 | 18,806 | ||||
CVS Health Corp. | 280,737 | 18,296 | ||||
Becton Dickinson & Co. | 62,188 | 17,378 | ||||
* | Intuitive Surgical Inc. | 39,131 | 12,235 | |||
* | Edwards Lifesciences Corp. | 132,751 | 10,151 | |||
Cigna Group | 33,045 | 9,129 | ||||
* | Boston Scientific Corp. | 147,953 | 7,981 | |||
* | Centene Corp. | 119,582 | 7,372 | |||
West Pharmaceutical Services Inc. | 16,258 | 6,615 | ||||
McKesson Corp. | 16,036 | 6,612 | ||||
Cencora Inc. | 35,472 | 6,242 | ||||
GE HealthCare Technologies Inc. | 85,626 | 6,032 | ||||
* | Align Technology Inc. | 15,582 | 5,768 | |||
HCA Healthcare Inc. | 20,786 | 5,764 | ||||
* | Illumina Inc. | 34,624 | 5,721 | |||
Zimmer Biomet Holdings Inc. | 45,676 | 5,441 | ||||
STERIS plc | 21,743 | 4,992 | ||||
Cardinal Health Inc. | 55,766 | 4,870 | ||||
* | IDEXX Laboratories Inc. | 9,272 | 4,742 | |||
* | IQVIA Holdings Inc. | 21,137 | 4,706 | |||
Humana Inc. | 9,851 | 4,547 | ||||
Baxter International Inc. | 110,800 | 4,498 | ||||
* | Biogen Inc. | 16,798 | 4,491 | |||
Laboratory Corp. of America Holdings | 19,407 | 4,039 | ||||
Cooper Cos. Inc. | 10,838 | 4,010 | ||||
Revvity Inc. | 27,491 | 3,217 | ||||
Agilent Technologies Inc. | 25,964 | 3,143 | ||||
Viatris Inc. | 263,265 | 2,830 | ||||
ResMed Inc. | 14,808 | 2,363 | ||||
* | Charles River Laboratories International Inc. | 11,182 | 2,313 | |||
* | Henry Schein Inc. | 28,609 | 2,190 | |||
Teleflex Inc. | 10,294 | 2,190 | ||||
* | Mettler-Toledo International Inc. | 1,685 | 2,045 | |||
* | Catalent Inc. | 39,304 | 1,964 | |||
* | Bio-Rad Laboratories Inc. Class A | 4,666 | 1,867 |
Shares | Market Value• ($000) | |||||
Universal Health Services Inc. Class B | 13,752 | 1,852 | ||||
DENTSPLY SIRONA Inc. | 46,362 | 1,720 | ||||
Bio-Techne Corp. | 17,911 | 1,404 | ||||
* | DaVita Inc. | 12,085 | 1,238 | |||
Organon & Co. | 55,837 | 1,226 | ||||
Quest Diagnostics Inc. | 8,331 | 1,096 | ||||
* | Fortrea Holdings Inc. | 20 | 1 | |||
319,486 | ||||||
Industrials (12.2%) | ||||||
* | Boeing Co. | 123,820 | 27,739 | |||
RTX Corp. | 319,901 | 27,524 | ||||
Honeywell International Inc. | 145,701 | 27,383 | ||||
General Electric Co. | 238,437 | 27,292 | ||||
United Parcel Service Inc. Class B | 158,709 | 26,885 | ||||
Eaton Corp. plc | 87,287 | 20,108 | ||||
Union Pacific Corp. | 66,751 | 14,723 | ||||
FedEx Corp. | 50,638 | 13,218 | ||||
3M Co. | 120,815 | 12,887 | ||||
Caterpillar Inc. | 45,135 | 12,689 | ||||
Parker-Hannifin Corp. | 28,095 | 11,713 | ||||
Carrier Global Corp. | 182,829 | 10,504 | ||||
Trane Technologies plc | 49,940 | 10,251 | ||||
Norfolk Southern Corp. | 49,849 | 10,220 | ||||
PACCAR Inc. | 114,413 | 9,415 | ||||
Emerson Electric Co. | 89,144 | 8,758 | ||||
Rockwell Automation Inc. | 25,160 | 7,852 | ||||
Otis Worldwide Corp. | 90,499 | 7,742 | ||||
Illinois Tool Works Inc. | 29,666 | 7,338 | ||||
United Rentals Inc. | 15,053 | 7,173 | ||||
CSX Corp. | 231,529 | 6,992 | ||||
Lockheed Martin Corp. | 14,300 | 6,411 | ||||
Ingersoll Rand Inc. | 88,589 | 6,167 | ||||
Fortive Corp. | 77,412 | 6,104 | ||||
Delta Air Lines Inc. | 140,777 | 6,037 | ||||
Johnson Controls International plc | 101,251 | 5,980 | ||||
* | TransDigm Group Inc. | 6,054 | 5,472 | |||
Xylem Inc. | 52,395 | 5,425 | ||||
General Dynamics Corp. | 23,122 | 5,240 | ||||
Waste Management Inc. | 33,217 | 5,208 | ||||
Dover Corp. | 30,629 | 4,542 | ||||
Westinghouse Air Brake Technologies Corp. | 39,385 | 4,432 | ||||
Verisk Analytics Inc. Class A | 17,118 | 4,146 | ||||
Southwest Airlines Co. | 130,350 | 4,119 | ||||
AMETEK Inc. | 25,251 | 4,028 | ||||
Howmet Aerospace Inc. | 80,522 | 3,983 | ||||
Cintas Corp. | 7,772 | 3,918 | ||||
Northrop Grumman Corp. | 8,767 | 3,797 | ||||
Jacobs Solutions Inc. | 27,810 | 3,749 | ||||
Paychex Inc. | 30,266 | 3,699 | ||||
L3Harris Technologies Inc. | 20,738 | 3,693 | ||||
Fastenal Co. | 63,775 | 3,672 | ||||
* | United Airlines Holdings Inc. | 71,838 | 3,578 |
Shares | Market Value• ($000) | |||||
Cummins Inc. | 15,190 | 3,494 | ||||
Textron Inc. | 44,243 | 3,438 | ||||
Stanley Black & Decker Inc. | 33,635 | 3,175 | ||||
Republic Services Inc. Class A | 20,306 | 2,927 | ||||
Nordson Corp. | 11,821 | 2,886 | ||||
Equifax Inc. | 13,697 | 2,831 | ||||
Pentair plc | 36,006 | 2,530 | ||||
Broadridge Financial Solutions Inc. | 13,392 | 2,494 | ||||
* | Ceridian HCM Holding Inc. | 34,092 | 2,472 | |||
Allegion plc | 19,209 | 2,186 | ||||
* | American Airlines Group Inc. | 143,155 | 2,109 | |||
A O Smith Corp. | 27,196 | 1,972 | ||||
Huntington Ingalls Industries Inc. | 8,773 | 1,933 | ||||
Robert Half Inc. | 23,555 | 1,742 | ||||
* | Generac Holdings Inc. | 13,572 | 1,613 | |||
IDEX Corp. | 7,083 | 1,604 | ||||
Snap-on Inc. | 4,967 | 1,334 | ||||
* | Alaska Air Group Inc. | 27,845 | 1,169 | |||
CH Robinson Worldwide Inc. | 11,689 | 1,057 | ||||
Leidos Holdings Inc. | 10,437 | 1,018 | ||||
Masco Corp. | 14,201 | 838 | ||||
456,628 | ||||||
Information Technology (18.1%) | ||||||
Microsoft Corp. | 683,804 | 224,125 | ||||
Cisco Systems Inc. | 896,842 | 51,434 | ||||
* | Salesforce Inc. | 214,373 | 47,475 | |||
Broadcom Inc. | 36,515 | 33,699 | ||||
Intel Corp. | 913,301 | 32,093 | ||||
* | Adobe Inc. | 53,234 | 29,776 | |||
International Business Machines Corp. | 198,816 | 29,192 | ||||
Accenture plc Class A | 70,519 | 22,832 | ||||
* | Advanced Micro Devices Inc. | 162,209 | 17,149 | |||
Micron Technology Inc. | 239,638 | 16,760 | ||||
Oracle Corp. | 138,154 | 16,632 | ||||
Intuit Inc. | 28,873 | 15,644 | ||||
Texas Instruments Inc. | 73,530 | 12,357 | ||||
Roper Technologies Inc. | 23,341 | 11,649 | ||||
Analog Devices Inc. | 58,706 | 10,672 | ||||
TE Connectivity Ltd. | 68,986 | 9,133 | ||||
Cognizant Technology Solutions Corp. Class A | 111,117 | 7,957 | ||||
* | ANSYS Inc. | 18,981 | 6,053 | |||
HP Inc. | 189,712 | 5,636 | ||||
Corning Inc. | 167,527 | 5,498 | ||||
Microchip Technology Inc. | 61,187 | 5,008 | ||||
Hewlett Packard Enterprise Co. | 283,611 | 4,819 | ||||
NXP Semiconductors NV | 23,325 | 4,798 | ||||
Motorola Solutions Inc. | 16,532 | 4,688 | ||||
* | Autodesk Inc. | 21,110 | 4,685 | |||
* | Teledyne Technologies Inc. | 10,302 | 4,309 | |||
Skyworks Solutions Inc. | 34,862 | 3,791 |
Shares | Market Value• ($000) | |||||
NetApp Inc. | 46,929 | 3,599 | ||||
* | Akamai Technologies Inc. | 33,381 | 3,508 | |||
* | Western Digital Corp. | 70,062 | 3,153 | |||
* | Zebra Technologies Corp. Class A | 11,266 | 3,098 | |||
Seagate Technology Holdings plc | 42,308 | 2,995 | ||||
* | Trimble Inc. | 54,424 | 2,982 | |||
* | Keysight Technologies Inc. | 17,945 | 2,392 | |||
* | Qorvo Inc. | 21,820 | 2,343 | |||
CDW Corp. | 10,940 | 2,310 | ||||
* | F5 Inc. | 13,202 | 2,161 | |||
* | VeriSign Inc. | 10,114 | 2,102 | |||
Juniper Networks Inc. | 70,279 | 2,047 | ||||
* | Tyler Technologies Inc. | 4,848 | 1,932 | |||
Teradyne Inc. | 17,246 | 1,860 | ||||
Gen Digital Inc. | 58,384 | 1,182 | ||||
* | EPAM Systems Inc. | 4,048 | 1,048 | |||
* | DXC Technology Co. | 49,737 | 1,032 | |||
677,608 | ||||||
Materials (3.1%) | ||||||
Linde plc | 41,801 | 16,179 | ||||
Sherwin-Williams Co. | 51,385 | 13,962 | ||||
Ecolab Inc. | 54,232 | 9,968 | ||||
Dow Inc. | 154,860 | 8,449 | ||||
DuPont de Nemours Inc. | 100,499 | 7,727 | ||||
PPG Industries Inc. | 51,547 | 7,307 | ||||
Newmont Corp. | 174,002 | 6,859 | ||||
Martin Marietta Materials Inc. | 13,570 | 6,058 | ||||
LyondellBasell Industries NV Class A | 55,545 | 5,486 | ||||
International Flavors & Fragrances Inc. | 55,871 | 3,936 | ||||
Ball Corp. | 68,860 | 3,750 | ||||
Avery Dennison Corp. | 17,676 | 3,330 | ||||
Amcor plc | 322,070 | 3,137 | ||||
Packaging Corp. of America | 19,753 | 2,945 | ||||
Celanese Corp. Class A | 21,930 | 2,771 | ||||
International Paper Co. | 76,281 | 2,664 | ||||
Vulcan Materials Co. | 11,946 | 2,607 | ||||
Corteva Inc. | 48,261 | 2,438 | ||||
Eastman Chemical Co. | 26,192 | 2,227 | ||||
Westrock Co. | 55,915 | 1,829 | ||||
Sealed Air Corp. | 31,524 | 1,168 | ||||
114,797 | ||||||
Real Estate (4.4%) | ||||||
Prologis Inc. | 202,214 | 25,115 | ||||
Equinix Inc. | 20,481 | 16,003 | ||||
Crown Castle Inc. | 94,986 | 9,546 | ||||
Welltower Inc. | 108,838 | 9,020 | ||||
American Tower Corp. | 47,972 | 8,698 | ||||
Digital Realty Trust Inc. | 63,805 | 8,404 | ||||
Realty Income Corp. | 147,483 | 8,265 | ||||
Simon Property Group Inc. | 71,614 | 8,127 |
Shares | Market Value• ($000) | |||||
* | CBRE Group Inc. Class A | 68,077 | 5,790 | |||
AvalonBay Communities Inc. | 31,109 | 5,718 | ||||
Equity Residential | 74,713 | 4,844 | ||||
Invitation Homes Inc. | 127,367 | 4,342 | ||||
Alexandria Real Estate Equities Inc. | 34,490 | 4,013 | ||||
Ventas Inc. | 87,614 | 3,827 | ||||
Mid-America Apartment Communities Inc. | 25,577 | 3,715 | ||||
Public Storage | 13,171 | 3,640 | ||||
Essex Property Trust Inc. | 14,080 | 3,356 | ||||
Extra Space Storage Inc. | 23,140 | 2,978 | ||||
VICI Properties Inc. Class A | 94,291 | 2,908 | ||||
UDR Inc. | 67,896 | 2,709 | ||||
Kimco Realty Corp. | 135,379 | 2,564 | ||||
Camden Property Trust | 23,311 | 2,509 | ||||
Healthpeak Properties Inc. | 120,026 | 2,470 | ||||
Host Hotels & Resorts Inc. | 155,274 | 2,452 | ||||
SBA Communications Corp. Class A | 10,410 | 2,337 | ||||
Weyerhaeuser Co. | 68,729 | 2,251 | ||||
Regency Centers Corp. | 36,054 | 2,243 | ||||
Boston Properties Inc. | 31,164 | 2,081 | ||||
Federal Realty Investment Trust | 15,995 | 1,567 | ||||
Iron Mountain Inc. | 23,602 | 1,500 | ||||
162,992 | ||||||
Utilities (4.8%) | ||||||
NextEra Energy Inc. | 443,056 | 29,596 | ||||
Southern Co. | 238,743 | 16,170 | ||||
Duke Energy Corp. | 168,720 | 14,982 | ||||
Dominion Energy Inc. | 183,052 | 8,885 | ||||
American Electric Power Co. Inc. | 112,753 | 8,840 | ||||
Exelon Corp. | 217,746 | 8,736 | ||||
Constellation Energy Corp. | 71,039 | 7,399 | ||||
Xcel Energy Inc. | 120,566 | 6,888 | ||||
Consolidated Edison Inc. | 75,849 | 6,747 | ||||
Public Service Enterprise Group Inc. | 109,197 | 6,670 | ||||
American Water Works Co. Inc. | 42,631 | 5,915 |
Shares | Market Value• ($000) | |||||
Edison International | 83,879 | 5,775 | ||||
Eversource Energy | 76,433 | 4,878 | ||||
DTE Energy Co. | 45,138 | 4,666 | ||||
Ameren Corp. | 57,514 | 4,559 | ||||
Entergy Corp. | 46,322 | 4,412 | ||||
FirstEnergy Corp. | 119,210 | 4,300 | ||||
PPL Corp. | 161,383 | 4,022 | ||||
Sempra | 55,221 | 3,878 | ||||
CenterPoint Energy Inc. | 138,222 | 3,855 | ||||
CMS Energy Corp. | 63,926 | 3,592 | ||||
WEC Energy Group Inc. | 33,071 | 2,782 | ||||
Alliant Energy Corp. | 55,186 | 2,769 | ||||
Evergy Inc. | 50,167 | 2,758 | ||||
NiSource Inc. | 90,668 | 2,426 | ||||
Pinnacle West Capital Corp. | 24,729 | 1,911 | ||||
Atmos Energy Corp. | 12,305 | 1,427 | ||||
AES Corp. | 59,713 | 1,071 | ||||
NRG Energy Inc. | 26,558 | 997 | ||||
180,906 | ||||||
Total Common Stocks (Cost $3,394,531) | 3,724,701 | |||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.7%) | ||||||
1 | Vanguard Market Liquidity Fund, 5.384% (Cost $25,685) | 256,885 | 25,686 | |||
Total Investments (100.3%) (Cost $3,420,216) | 3,750,387 | |||||
Other Assets and Liabilities—Net (-0.3%) | (12,726) | |||||
Net Assets (100%) | 3,737,661 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 28 | 6,322 | 150 |
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) |
Emerson Electric Co. | 8/30/24 | BANA | 3,537 | (5.331) | — | — |
Johnson Controls Inc. | 8/30/24 | BANA | 2,894 | (5.331) | — | — |
— | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,394,531) | 3,724,701 |
Affiliated Issuers (Cost $25,685) | 25,686 |
Total Investments in Securities | 3,750,387 |
Investment in Vanguard | 125 |
Cash Collateral Pledged—Futures Contracts | 270 |
Receivables for Accrued Income | 7,257 |
Receivables for Capital Shares Issued | 138 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — |
Total Assets | 3,758,177 |
Liabilities | |
Due to Custodian | 2 |
Payables for Investment Securities Purchased | 20,344 |
Payables for Capital Shares Redeemed | 1 |
Payables to Vanguard | 159 |
Variation Margin Payable—Futures Contracts | 10 |
Total Liabilities | 20,516 |
Net Assets | 3,737,661 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 3,646,062 |
Total Distributable Earnings (Loss) | 91,599 |
Net Assets | 3,737,661 |
ETF Shares—Net Assets | |
Applicable to 22,725,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,559,012 |
Net Asset Value Per Share—ETF Shares | $156.61 |
Institutional Shares—Net Assets | |
Applicable to 520,100 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 178,649 |
Net Asset Value Per Share—Institutional Shares | $343.49 |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 71,350 |
Interest2 | 267 |
Securities Lending—Net | 24 |
Total Income | 71,641 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 79 |
Management and Administrative—ETF Shares | 2,717 |
Management and Administrative—Institutional Shares | 121 |
Marketing and Distribution—ETF Shares | 179 |
Marketing and Distribution—Institutional Shares | 6 |
Custodian Fees | 44 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 105 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 17 |
Total Expenses | 3,299 |
Expenses Paid Indirectly | (3) |
Net Expenses | 3,296 |
Net Investment Income | 68,345 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 132,774 |
Futures Contracts | (680) |
Swap Contracts | (29) |
Realized Net Gain (Loss) | 132,065 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 298,326 |
Futures Contracts | 310 |
Swap Contracts | 249 |
Change in Unrealized Appreciation (Depreciation) | 298,885 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 499,295 |
1 | Dividends are net of foreign withholding taxes of $11,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $258,000, $3,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $242,765,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 68,345 | 60,832 |
Realized Net Gain (Loss) | 132,065 | 167,428 |
Change in Unrealized Appreciation (Depreciation) | 298,885 | (390,988) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 499,295 | (162,728) |
Distributions | ||
ETF Shares | (64,844) | (54,037) |
Institutional Shares | (3,620) | (3,520) |
Total Distributions | (68,464) | (57,557) |
Capital Share Transactions | ||
ETF Shares | 350,557 | 658,546 |
Institutional Shares | (12,596) | 4,677 |
Net Increase (Decrease) from Capital Share Transactions | 337,961 | 663,223 |
Total Increase (Decrease) | 768,792 | 442,938 |
Net Assets | ||
Beginning of Period | 2,968,869 | 2,525,931 |
End of Period | 3,737,661 | 2,968,869 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $136.61 | $146.23 | $112.29 | $111.46 | $111.93 |
Investment Operations | |||||
Net Investment Income1 | 2.984 | 3.029 | 2.897 | 2.984 | 2.694 |
Net Realized and Unrealized Gain (Loss) on Investments | 20.032 | (9.703) | 33.786 | .683 | (.511) |
Total from Investment Operations | 23.016 | (6.674) | 36.683 | 3.667 | 2.183 |
Distributions | |||||
Dividends from Net Investment Income | (3.016) | (2.946) | (2.743) | (2.837) | (2.653) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (3.016) | (2.946) | (2.743) | (2.837) | (2.653) |
Net Asset Value, End of Period | $156.61 | $136.61 | $146.23 | $112.29 | $111.46 |
Total Return | 17.15% | -4.63% | 33.10% | 3.33% | 2.05% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,559 | $2,801 | $2,351 | $1,244 | $984 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 2.05% | 2.10% | 2.19% | 2.66% | 2.48% |
Portfolio Turnover Rate3 | 27% | 16% | 18% | 31% | 28% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $299.63 | $320.71 | $246.27 | $244.40 | $245.49 |
Investment Operations | |||||
Net Investment Income1 | 6.624 | 6.731 | 6.402 | 6.596 | 5.950 |
Net Realized and Unrealized Gain (Loss) on Investments | 43.912 | (21.295) | 74.102 | 1.491 | (1.115) |
Total from Investment Operations | 50.536 | (14.564) | 80.504 | 8.087 | 4.835 |
Distributions | |||||
Dividends from Net Investment Income | (6.676) | (6.516) | (6.064) | (6.217) | (5.925) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.676) | (6.516) | (6.064) | (6.217) | (5.925) |
Net Asset Value, End of Period | $343.49 | $299.63 | $320.71 | $246.27 | $244.40 |
Total Return | 17.19% | -4.60% | 33.14% | 3.39% | 2.07% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $179 | $168 | $175 | $102 | $94 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.08% | 2.12% | 2.22% | 2.68% | 2.50% |
Portfolio Turnover Rate3 | 27% | 16% | 18% | 31% | 28% |
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 | 3,723,519 | 1,182 | — | 3,724,701 |
Temporary Cash Investments | 25,686 | — | — | 25,686 |
Total | 3,749,205 | 1,182 | — | 3,750,387 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 150 | — | — | 150 |
Swap Contracts | — | — | — | — |
Total | 150 | — | — | 150 |
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) | |
Paid-in Capital | 242,448 |
Total Distributable Earnings (Loss) | (242,448) |
Amount ($000) | |
Undistributed Ordinary Income | 13,864 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 326,168 |
Capital Loss Carryforwards | (248,433) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | 91,599 |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 68,464 | 57,557 |
Long-Term Capital Gains | — | — |
Total | 68,464 | 57,557 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 3,424,219 |
Gross Unrealized Appreciation | 592,594 |
Gross Unrealized Depreciation | (266,426) |
Net Unrealized Appreciation (Depreciation) | 326,168 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 1,346,221 | 9,325 | 1,264,192 | 8,600 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (995,664) | (7,100) | (605,646) | (4,175) | |
Net Increase (Decrease)—ETF Shares | 350,557 | 2,225 | 658,546 | 4,425 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 38,239 | 115 | 50,529 | 158 | |
Issued in Lieu of Cash Distributions | 3,360 | 11 | 3,266 | 11 | |
Redeemed | (54,195) | (168) | (49,118) | (154) | |
Net Increase (Decrease)—Institutional Shares | (12,596) | (42) | 4,677 | 15 |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P 500 Growth Index Fund ETF Shares Net Asset Value | 13.26% | 11.60% | 14.31% | $38,079 | |
S&P 500 Growth Index Fund ETF Shares Market Price | 13.31 | 11.60 | 14.31 | 38,093 | |
S&P 500 Growth Index | 13.38 | 11.71 | 14.45 | 38,572 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Since Inception (4/5/2019) 1 | Final Value of a $5,000,000 Investment | ||
S&P 500 Growth Index Fund Institutional Shares | 13.29% | 13.20% | $8,632,455 | |
S&P 500 Growth Index | 13.38 | 13.29 | 8,662,215 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 11.58 | 8,101,903 |
1 | Institutional Shares commenced operations on October 17, 2018, and on December 13, 2018, all outstanding shares were redeemed; the return for this period was -5.47%. On April 5, 2019, the class recommenced operations. The total returns shown for both the fund and its comparative standards are based on the period beginning April 5, 2019. |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P 500 Growth Index Fund ETF Shares Market Price | 13.31% | 73.11% | 280.93% |
S&P 500 Growth Index Fund ETF Shares Net Asset Value | 13.26 | 73.08 | 280.79 |
S&P 500 Growth Index | 13.38 | 73.98 | 285.72 |
Communication Services | 7.9% |
Consumer Discretionary | 10.2 |
Consumer Staples | 6.4 |
Energy | 6.7 |
Financials | 6.9 |
Health Care | 17.0 |
Industrials | 5.1 |
Information Technology | 36.5 |
Materials | 2.0 |
Real Estate | 0.9 |
Utilities | 0.4 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (7.9%) | ||||||
* | Alphabet Inc. Class A | 2,352,392 | 320,325 | |||
* | Alphabet Inc. Class C | 2,023,534 | 277,932 | |||
* | T-Mobile US Inc. | 155,093 | 21,132 | |||
Activision Blizzard Inc. | 167,140 | 15,375 | ||||
Electronic Arts Inc. | 70,155 | 8,417 | ||||
643,181 | ||||||
Consumer Discretionary (10.2%) | ||||||
* | Tesla Inc. | 1,066,757 | 275,309 | |||
* | Amazon.com Inc. | 1,625,875 | 224,387 | |||
Home Depot Inc. | 212,510 | 70,192 | ||||
McDonald's Corp. | 179,235 | 50,392 | ||||
Lowe's Cos. Inc. | 162,936 | 37,554 | ||||
TJX Cos. Inc. | 291,781 | 26,984 | ||||
* | O'Reilly Automotive Inc. | 24,101 | 22,648 | |||
Starbucks Corp. | 231,494 | 22,557 | ||||
* | Chipotle Mexican Grill Inc. Class A | 10,931 | 21,060 | |||
* | AutoZone Inc. | 7,289 | 18,451 | |||
Marriott International Inc. Class A | 52,062 | 10,595 | ||||
Tractor Supply Co. | 43,398 | 9,482 | ||||
Yum! Brands Inc. | 70,988 | 9,184 | ||||
* | Ulta Beauty Inc. | 19,839 | 8,234 | |||
Hilton Worldwide Holdings Inc. | 50,300 | 7,477 | ||||
DR Horton Inc. | 61,453 | 7,314 | ||||
Genuine Parts Co. | 40,073 | 6,160 | ||||
Pool Corp. | 9,742 | 3,562 | ||||
Domino's Pizza Inc. | 6,428 | 2,490 | ||||
* | Etsy Inc. | 28,411 | 2,090 | |||
836,122 | ||||||
Consumer Staples (6.3%) | ||||||
PepsiCo Inc. | 545,515 | 97,058 | ||||
Procter & Gamble Co. | 513,296 | 79,222 | ||||
Costco Wholesale Corp. | 115,887 | 63,654 | ||||
Coca-Cola Co. | 1,001,730 | 59,934 | ||||
Philip Morris International Inc. | 331,883 | 31,881 |
Shares | Market Value• ($000) | |||||
Mondelez International Inc. Class A | 291,170 | 20,749 | ||||
* | Monster Beverage Corp. | 302,565 | 17,370 | |||
Altria Group Inc. | 367,578 | 16,254 | ||||
Kenvue Inc. | 682,395 | 15,729 | ||||
Colgate-Palmolive Co. | 180,701 | 13,276 | ||||
Hershey Co. | 58,307 | 12,528 | ||||
Dollar General Corp. | 86,762 | 12,017 | ||||
General Mills Inc. | 158,144 | 10,700 | ||||
* | Dollar Tree Inc. | 82,344 | 10,076 | |||
Constellation Brands Inc. Class A | 35,753 | 9,316 | ||||
Archer-Daniels-Midland Co. | 105,674 | 8,380 | ||||
Kimberly-Clark Corp. | 64,121 | 8,261 | ||||
Lamb Weston Holdings Inc. | 57,690 | 5,620 | ||||
Keurig Dr Pepper Inc. | 166,607 | 5,606 | ||||
McCormick & Co. Inc. (Non-Voting) | 50,652 | 4,158 | ||||
Clorox Co. | 22,009 | 3,443 | ||||
Kellogg Co. | 55,872 | 3,409 | ||||
Hormel Foods Corp. | 82,665 | 3,190 | ||||
Bunge Ltd. | 24,504 | 2,801 | ||||
Brown-Forman Corp. Class B | 39,862 | 2,636 | ||||
Campbell Soup Co. | 46,937 | 1,957 | ||||
519,225 | ||||||
Energy (6.7%) | ||||||
Exxon Mobil Corp. | 1,600,847 | 177,998 | ||||
Chevron Corp. | 704,600 | 113,511 | ||||
ConocoPhillips | 479,137 | 57,032 | ||||
EOG Resources Inc. | 231,575 | 29,785 | ||||
Pioneer Natural Resources Co. | 92,561 | 22,023 | ||||
Occidental Petroleum Corp. | 284,511 | 17,864 | ||||
Schlumberger NV | 299,107 | 17,635 | ||||
Hess Corp. | 109,416 | 16,905 | ||||
Williams Cos. Inc. | 482,361 | 16,656 | ||||
Devon Energy Corp. | 254,113 | 12,983 | ||||
ONEOK Inc. | 177,181 | 11,552 | ||||
Marathon Petroleum Corp. | 80,635 | 11,512 |
Shares | Market Value• ($000) | |||||
Diamondback Energy Inc. | 71,712 | 10,885 | ||||
Coterra Energy Inc. | 299,930 | 8,455 | ||||
Targa Resources Corp. | 89,496 | 7,719 | ||||
Marathon Oil Corp. | 244,315 | 6,438 | ||||
EQT Corp. | 143,110 | 6,185 | ||||
APA Corp. | 122,508 | 5,371 | ||||
550,509 | ||||||
Financials (6.9%) | ||||||
Visa Inc. Class A | 640,756 | 157,421 | ||||
Mastercard Inc. Class A | 331,331 | 136,720 | ||||
Progressive Corp. | 231,790 | 30,937 | ||||
Marsh & McLennan Cos. Inc. | 125,368 | 24,445 | ||||
Charles Schwab Corp. | 347,199 | 20,537 | ||||
* | Fiserv Inc. | 168,671 | 20,475 | |||
Chubb Ltd. | 93,473 | 18,776 | ||||
American Express Co. | 115,378 | 18,229 | ||||
Aon plc Class A | 53,385 | 17,798 | ||||
Ameriprise Financial Inc. | 41,260 | 13,929 | ||||
Arthur J Gallagher & Co. | 54,276 | 12,510 | ||||
* | Arch Capital Group Ltd. | 147,449 | 11,333 | |||
Moody's Corp. | 29,366 | 9,890 | ||||
MSCI Inc. Class A | 18,065 | 9,820 | ||||
Travelers Cos. Inc. | 49,388 | 7,963 | ||||
Raymond James Financial Inc. | 75,525 | 7,899 | ||||
Discover Financial Services | 58,334 | 5,254 | ||||
W R Berkley Corp. | 79,394 | 4,911 | ||||
Jack Henry & Associates Inc. | 28,815 | 4,518 | ||||
Nasdaq Inc. | 85,804 | 4,503 | ||||
Principal Financial Group Inc. | 54,414 | 4,229 | ||||
* | FleetCor Technologies Inc. | 15,468 | 4,203 | |||
Cboe Global Markets Inc. | 27,933 | 4,182 | ||||
Brown & Brown Inc. | 55,145 | 4,086 | ||||
FactSet Research Systems Inc. | 9,091 | 3,967 | ||||
Everest Group Ltd. | 9,859 | 3,556 | ||||
Globe Life Inc. | 24,708 | 2,757 | ||||
MarketAxess Holdings Inc. | 7,322 | 1,764 | ||||
566,612 | ||||||
Health Care (16.9%) | ||||||
UnitedHealth Group Inc. | 368,658 | 175,695 | ||||
Eli Lilly & Co. | 311,982 | 172,900 | ||||
Merck & Co. Inc. | 1,004,713 | 109,494 | ||||
AbbVie Inc. | 698,585 | 102,664 | ||||
Johnson & Johnson | 591,160 | 95,579 | ||||
Thermo Fisher Scientific Inc. | 152,737 | 85,090 | ||||
Pfizer Inc. | 2,235,349 | 79,087 | ||||
Danaher Corp. | 262,956 | 69,683 | ||||
Amgen Inc. | 211,584 | 54,237 | ||||
Bristol-Myers Squibb Co. | 831,872 | 51,285 | ||||
Elevance Health Inc. | 93,870 | 41,492 |
Shares | Market Value• ($000) | |||||
Gilead Sciences Inc. | 493,897 | 37,773 | ||||
Abbott Laboratories | 358,041 | 36,842 | ||||
* | Vertex Pharmaceuticals Inc. | 101,975 | 35,522 | |||
* | Regeneron Pharmaceuticals Inc. | 42,720 | 35,308 | |||
* | Intuitive Surgical Inc. | 67,981 | 21,256 | |||
* | Boston Scientific Corp. | 301,699 | 16,274 | |||
Cigna Group | 57,412 | 15,861 | ||||
* | Dexcom Inc. | 153,484 | 15,499 | |||
* | Moderna Inc. | 129,806 | 14,677 | |||
Humana Inc. | 31,659 | 14,615 | ||||
HCA Healthcare Inc. | 44,109 | 12,231 | ||||
McKesson Corp. | 24,704 | 10,186 | ||||
Agilent Technologies Inc. | 70,233 | 8,503 | ||||
* | IDEXX Laboratories Inc. | 16,109 | 8,238 | |||
* | IQVIA Holdings Inc. | 35,261 | 7,850 | |||
* | Hologic Inc. | 97,465 | 7,285 | |||
* | Biogen Inc. | 26,926 | 7,199 | |||
* | Molina Healthcare Inc. | 23,108 | 7,166 | |||
* | Mettler-Toledo International Inc. | 5,677 | 6,889 | |||
* | Waters Corp. | 23,371 | 6,563 | |||
* | Insulet Corp. | 27,599 | 5,291 | |||
ResMed Inc. | 31,418 | 5,014 | ||||
* | Incyte Corp. | 73,326 | 4,732 | |||
Quest Diagnostics Inc. | 29,220 | 3,842 | ||||
Bio-Techne Corp. | 30,039 | 2,355 | ||||
1,384,177 | ||||||
Industrials (5.1%) | ||||||
Automatic Data Processing Inc. | 163,583 | 41,650 | ||||
Deere & Co. | 93,773 | 38,535 | ||||
Caterpillar Inc. | 122,450 | 34,424 | ||||
Lockheed Martin Corp. | 63,357 | 28,406 | ||||
Union Pacific Corp. | 120,714 | 26,626 | ||||
Northrop Grumman Corp. | 40,690 | 17,622 | ||||
* | Copart Inc. | 339,678 | 15,228 | |||
Old Dominion Freight Line Inc. | 35,599 | 15,214 | ||||
Illinois Tool Works Inc. | 55,841 | 13,812 | ||||
Waste Management Inc. | 86,495 | 13,561 | ||||
WW Grainger Inc. | 17,680 | 12,626 | ||||
Quanta Services Inc. | 57,497 | 12,067 | ||||
CSX Corp. | 386,495 | 11,672 | ||||
General Dynamics Corp. | 47,212 | 10,700 | ||||
Cintas Corp. | 20,196 | 10,182 | ||||
Paychex Inc. | 72,446 | 8,855 | ||||
* | TransDigm Group Inc. | 9,718 | 8,784 | |||
AMETEK Inc. | 45,606 | 7,275 | ||||
Expeditors International of Washington Inc. | 60,493 | 7,060 | ||||
L3Harris Technologies Inc. | 37,518 | 6,682 | ||||
Cummins Inc. | 28,588 | 6,576 | ||||
Republic Services Inc. Class A | 44,734 | 6,447 |
Shares | Market Value• ($000) | |||||
Verisk Analytics Inc. Class A | 26,360 | 6,385 | ||||
Fastenal Co. | 110,709 | 6,375 | ||||
JB Hunt Transport Services Inc. | 32,779 | 6,158 | ||||
* | Axon Enterprise Inc. | 27,767 | 5,912 | |||
Paycom Software Inc. | 19,231 | 5,670 | ||||
Equifax Inc. | 23,804 | 4,920 | ||||
Broadridge Financial Solutions Inc. | 22,438 | 4,178 | ||||
IDEX Corp. | 17,105 | 3,873 | ||||
Masco Corp. | 63,238 | 3,732 | ||||
Rollins Inc. | 91,856 | 3,635 | ||||
Leidos Holdings Inc. | 35,234 | 3,436 | ||||
Snap-on Inc. | 11,952 | 3,210 | ||||
CH Robinson Worldwide Inc. | 24,971 | 2,258 | ||||
413,746 | ||||||
Information Technology (36.5%) | ||||||
Apple Inc. | 5,854,268 | 1,099,841 | ||||
Microsoft Corp. | 1,707,612 | 559,687 | ||||
NVIDIA Corp. | 979,260 | 483,314 | ||||
Broadcom Inc. | 99,052 | 91,414 | ||||
Applied Materials Inc. | 334,639 | 51,119 | ||||
QUALCOMM Inc. | 441,095 | 50,519 | ||||
* | Adobe Inc. | 85,366 | 47,749 | |||
* | ServiceNow Inc. | 80,669 | 47,500 | |||
Oracle Corp. | 359,503 | 43,281 | ||||
Accenture plc Class A | 122,549 | 39,678 | ||||
Texas Instruments Inc. | 226,405 | 38,050 | ||||
Lam Research Corp. | 53,185 | 37,357 | ||||
* | Advanced Micro Devices Inc. | 344,323 | 36,402 | |||
Intuit Inc. | 58,880 | 31,902 | ||||
* | Palo Alto Networks Inc. | 119,814 | 29,151 | |||
* | Synopsys Inc. | 60,306 | 27,674 | |||
KLA Corp. | 54,319 | 27,261 | ||||
* | Cadence Design Systems Inc. | 107,975 | 25,961 | |||
Amphenol Corp. Class A | 235,782 | 20,838 | ||||
* | Arista Networks Inc. | 98,881 | 19,304 | |||
Analog Devices Inc. | 94,139 | 17,113 | ||||
* | ON Semiconductor Corp. | 171,003 | 16,837 | |||
* | Fortinet Inc. | 258,075 | 15,539 | |||
NXP Semiconductors NV | 60,675 | 12,482 | ||||
* | Gartner Inc. | 31,306 | 10,947 | |||
Motorola Solutions Inc. | 36,521 | 10,356 | ||||
* | Autodesk Inc. | 46,642 | 10,352 | |||
Monolithic Power Systems Inc. | 17,835 | 9,296 | ||||
* | Fair Isaac Corp. | 9,899 | 8,954 | |||
Microchip Technology Inc. | 106,292 | 8,699 | ||||
* | First Solar Inc. | 39,333 | 7,439 | |||
CDW Corp. | 33,612 | 7,097 | ||||
* | Enphase Energy Inc. | 54,260 | 6,865 | |||
* | PTC Inc. | 42,190 | 6,209 |
Shares | Market Value• ($000) | |||||
* | Keysight Technologies Inc. | 38,077 | 5,076 | |||
* | EPAM Systems Inc. | 15,545 | 4,026 | |||
* | VeriSign Inc. | 17,540 | 3,645 | |||
* | SolarEdge Technologies Inc. | 22,300 | 3,625 | |||
Teradyne Inc. | 30,160 | 3,253 | ||||
* | Tyler Technologies Inc. | 7,779 | 3,099 | |||
Gen Digital Inc. | 119,490 | 2,420 | ||||
2,981,331 | ||||||
Materials (2.0%) | ||||||
Linde plc | 118,256 | 45,770 | ||||
Air Products and Chemicals Inc. | 87,958 | 25,991 | ||||
Freeport-McMoRan Inc. | 567,547 | 22,651 | ||||
Nucor Corp. | 99,476 | 17,120 | ||||
Corteva Inc. | 194,275 | 9,813 | ||||
Albemarle Corp. | 46,466 | 9,233 | ||||
Steel Dynamics Inc. | 63,593 | 6,778 | ||||
Vulcan Materials Co. | 31,052 | 6,777 | ||||
CF Industries Holdings Inc. | 77,109 | 5,943 | ||||
Mosaic Co. | 131,325 | 5,102 | ||||
FMC Corp. | 49,455 | 4,264 | ||||
159,442 | ||||||
Real Estate (0.9%) | ||||||
American Tower Corp. | 97,813 | 17,736 | ||||
* | CoStar Group Inc. | 161,778 | 13,264 | |||
Public Storage | 38,850 | 10,737 | ||||
VICI Properties Inc. Class A | 226,739 | 6,993 | ||||
Weyerhaeuser Co. | 165,511 | 5,421 | ||||
SBA Communications Corp. Class A | 24,003 | 5,389 | ||||
Extra Space Storage Inc. | 41,777 | 5,376 | ||||
Iron Mountain Inc. | 72,810 | 4,626 | ||||
69,542 | ||||||
Utilities (0.4%) | ||||||
Sempra | 149,588 | 10,504 | ||||
* | PG&E Corp. | 640,180 | 10,435 | |||
WEC Energy Group Inc. | 65,019 | 5,469 | ||||
Atmos Energy Corp. | 34,826 | 4,038 | ||||
AES Corp. | 156,324 | 2,803 | ||||
NRG Energy Inc. | 42,629 | 1,601 | ||||
34,850 | ||||||
Total Common Stocks (Cost $5,887,631) | 8,158,737 | |||||
Rights (0.0%) | ||||||
*,1 | ABIOMED Inc. CVR (Cost $—) | 56 | — |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
2 | Vanguard Market Liquidity Fund, 5.384% (Cost $6,980) | 69,823 | 6,981 | |||
Total Investments (99.9%) (Cost $5,894,611) | 8,165,718 | |||||
Other Assets and Liabilities—Net (0.1%) | 11,175 | |||||
Net Assets (100%) | 8,176,893 |
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 | September 2023 | 10 | 3,108 | 55 |
E-mini S&P 500 Index | September 2023 | 43 | 9,709 | 84 |
139 |
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) |
Deere & Co. | 8/30/24 | BANA | 5,342 | (5.331) | — | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $5,887,631) | 8,158,737 |
Affiliated Issuers (Cost $6,980) | 6,981 |
Total Investments in Securities | 8,165,718 |
Investment in Vanguard | 270 |
Cash | 5 |
Cash Collateral Pledged—Futures Contracts | 590 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 510 |
Receivables for Accrued Income | 10,327 |
Receivables for Capital Shares Issued | 137 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — |
Total Assets | 8,177,557 |
Liabilities | |
Payables for Investment Securities Purchased | 307 |
Payables to Vanguard | 348 |
Variation Margin Payable—Futures Contracts | 9 |
Total Liabilities | 664 |
Net Assets | 8,176,893 |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 6,817,695 |
Total Distributable Earnings (Loss) | 1,359,198 |
Net Assets | 8,176,893 |
ETF Shares—Net Assets | |
Applicable to 31,395,972 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,169,651 |
Net Asset Value Per Share—ETF Shares | $260.21 |
Institutional Shares—Net Assets | |
Applicable to 12,235 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,242 |
Net Asset Value Per Share—Institutional Shares | $591.92 |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 88,287 |
Interest2 | 380 |
Securities Lending—Net | 4 |
Total Income | 88,671 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 167 |
Management and Administrative—ETF Shares | 6,202 |
Management and Administrative—Institutional Shares | 4 |
Marketing and Distribution—ETF Shares | 359 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 9 |
Auditing Fees | 32 |
Shareholders’ Reports—ETF Shares | 238 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 4 |
Other Expenses | 17 |
Total Expenses | 7,032 |
Expenses Paid Indirectly | (9) |
Net Expenses | 7,023 |
Net Investment Income | 81,648 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (595,073) |
Futures Contracts | (1,404) |
Swap Contracts | 968 |
Realized Net Gain (Loss) | (595,509) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 1,459,888 |
Futures Contracts | 564 |
Swap Contracts | 775 |
Change in Unrealized Appreciation (Depreciation) | 1,461,227 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 947,366 |
1 | Dividends are net of foreign withholding taxes of $36,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $364,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $153,353,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 81,648 | 52,438 |
Realized Net Gain (Loss) | (595,509) | 530,788 |
Change in Unrealized Appreciation (Depreciation) | 1,461,227 | (2,018,303) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 947,366 | (1,435,077) |
Distributions | ||
ETF Shares | (75,029) | (48,040) |
Institutional Shares | (66) | (108) |
Total Distributions | (75,095) | (48,148) |
Capital Share Transactions | ||
ETF Shares | 458,971 | 1,542,386 |
Institutional Shares | 388 | (18,702) |
Net Increase (Decrease) from Capital Share Transactions | 459,359 | 1,523,684 |
Total Increase (Decrease) | 1,331,630 | 40,459 |
Net Assets | ||
Beginning of Period | 6,845,263 | 6,804,804 |
End of Period | 8,176,893 | 6,845,263 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $232.26 | $283.53 | $219.32 | $161.81 | $158.27 |
Investment Operations | |||||
Net Investment Income1 | 2.678 | 1.923 | 1.751 | 2.111 | 2.156 |
Net Realized and Unrealized Gain (Loss) on Investments | 27.743 | (51.406) | 64.190 | 57.589 | 3.437 |
Total from Investment Operations | 30.421 | (49.483) | 65.941 | 59.700 | 5.593 |
Distributions | |||||
Dividends from Net Investment Income | (2.471) | (1.787) | (1.731) | (2.190) | (2.053) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.471) | (1.787) | (1.731) | (2.190) | (2.053) |
Net Asset Value, End of Period | $260.21 | $232.26 | $283.53 | $219.32 | $161.81 |
Total Return | 13.26% | -17.52% | 30.26% | 37.29% | 3.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $8,170 | $6,839 | $6,776 | $4,485 | $2,755 |
Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10%2 | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.16% | 0.73% | 0.73% | 1.20% | 1.41% |
Portfolio Turnover Rate3 | 33% | 13% | 12% | 24% | 23% |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Year Ended August 31, | April 5, 20191 to August 31, 2019 | October 17, 20181 to December 13, 2018 | |||
2023 | 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 | 6.185 | 4.203 | 3.959 | 4.861 | 3.777 | .856 |
Net Realized and Unrealized Gain (Loss) on Investments | 63.118 | (116.631) | 146.133 | 131.012 | 7.713 | (19.628) |
Total from Investment Operations | 69.303 | (112.428) | 150.092 | 135.873 | 11.490 | (18.772) |
Distributions | ||||||
Dividends from Net Investment Income | (5.723) | (4.142) | (4.072) | (5.023) | — | (.938) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (5.723) | (4.142) | (4.072) | (5.023) | — | (.938) |
Net Asset Value, End of Period | $591.92 | $528.34 | $644.91 | $498.89 | $368.04 | $323.57 |
Total Return | 13.29% | -17.50% | 30.29% | 37.35% | 3.22% | -5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7 | $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 | 1.18% | 0.68% | 0.71% | 1.22% | 2.52%4 | 1.64%4 |
Portfolio Turnover Rate5 | 33% | 13% | 12% | 24% | 23%6 | 23%6 |
1 | The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%. |
4 | Annualized. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
6 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 8,156,317 | 2,420 | — | 8,158,737 |
Rights | — | — | — | — |
Temporary Cash Investments | 6,981 | — | — | 6,981 |
Total | 8,163,298 | 2,420 | — | 8,165,718 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 139 | — | — | 139 |
Swap Contracts | — | — | — | — |
Total | 139 | — | — | 139 |
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) | |
Paid-in Capital | 153,323 |
Total Distributable Earnings (Loss) | (153,323) |
Amount ($000) | |
Undistributed Ordinary Income | 19,183 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 2,268,172 |
Capital Loss Carryforwards | (928,157) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | 1,359,198 |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 75,095 | 48,148 |
Long-Term Capital Gains | — | — |
Total | 75,095 | 48,148 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 5,897,546 |
Gross Unrealized Appreciation | 2,504,582 |
Gross Unrealized Depreciation | (236,410) |
Net Unrealized Appreciation (Depreciation) | 2,268,172 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 915,745 | 4,000 | 2,939,972 | 10,746 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (456,774) | (2,050) | (1,397,586) | (5,200) | |
Net Increase (Decrease)—ETF Shares | 458,971 | 1,950 | 1,542,386 | 5,546 | |
Institutional Shares | |||||
Issued | 509 | — | 554 | 1 | |
Issued in Lieu of Cash Distributions | 66 | — | 87 | — | |
Redeemed | (187) | — | (19,343) | (33) | |
Net Increase (Decrease)—Institutional Shares | 388 | — | (18,702) | (32) |
Philadelphia, Pennsylvania
October 18, 2023
Fund | Percentage |
S&P 500 Value Index Fund | 92.9% |
S&P 500 Growth Index Fund | 100.0 |
Fund | ($000) |
S&P 500 Value Index Fund | 66,795 |
S&P 500 Growth Index Fund | 75,095 |
Fund | ($000) |
S&P 500 Value Index Fund | 83 |
S&P 500 Growth Index Fund | 113 |
Fund | ($000) |
S&P 500 Value Index Fund | 1,669 |
S&P 500 Growth Index Fund | — |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Small-Cap 600 Index Fund |
Vanguard S&P Small-Cap 600 Value Index Fund |
Vanguard S&P Small-Cap 600 Growth Index Fund |
1 | |
2 | |
4 | |
29 | |
51 | |
71 | |
73 |
• | For the 12 months ended August 31, 2023, returns for the three Vanguard S&P Small-Cap 600 Index Funds ranged from 5.28% for ETF Shares (based on net asset value) of Vanguard S&P Small-Cap 600 Growth Index Fund to 5.46% for Institutional Shares of Vanguard S&P Small-Cap 600 Index Fund. |
• | Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected. |
• | Equities rallied during the 12 months, led by large-capitalization stocks. (The Standard & Poor’s 500 Index returned 15.94%.) Relative performance between growth and value investment styles were mixed, depending on the methodology of the index provider. |
• | Performance among sectors in the benchmark indexes were mixed. Double-digit positive returns in sectors such as industrials, information technology, and consumer discretionary more than offset declines in other sectors, such as financials and health care. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 15.40% | 9.93% | 10.77% |
Russell 2000 Index (Small-caps) | 4.65 | 8.12 | 3.14 |
Russell 3000 Index (Broad U.S. market) | 14.76 | 9.81 | 10.25 |
FTSE All-World ex US Index (International) | 12.02 | 4.49 | 3.74 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -1.05% | -4.40% | 0.55% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | 1.70 | -1.32 | 1.52 |
FTSE Three-Month U.S. Treasury Bill Index | 4.44 | 1.63 | 1.68 |
CPI | |||
Consumer Price Index | 3.67% | 5.71% | 4.02% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended August 31, 2023 | |||
Beginning Account Value 2/28/2023 | Ending Account Value 8/31/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $991.30 | $0.50 |
Institutional Shares | 1,000.00 | 991.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $961.30 | $0.74 |
Institutional Shares | 1,000.00 | 961.70 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,020.40 | $0.76 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.70 | $0.51 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | 5.44% | 3.78% | 9.41% | $24,574 | |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | 5.39 | 3.78 | 9.40 | 24,566 | |
S&P SmallCap 600 Index | 5.53 | 3.82 | 9.48 | 24,734 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
S&P Small-Cap 600 Index Fund Institutional Shares | 5.46% | 3.80% | 9.46% | $12,344,957 | |
S&P SmallCap 600 Index | 5.53 | 3.82 | 9.48 | 12,366,838 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 15,730,560 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | 5.39% | 20.37% | 145.66% |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | 5.44 | 20.36 | 145.74 |
S&P SmallCap 600 Index | 5.53 | 20.62 | 147.34 |
Communication Services | 2.8% |
Consumer Discretionary | 14.0 |
Consumer Staples | 5.0 |
Energy | 5.4 |
Financials | 17.3 |
Health Care | 10.1 |
Industrials | 17.2 |
Information Technology | 13.6 |
Materials | 5.1 |
Real Estate | 7.6 |
Utilities | 1.9 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (2.8%) | ||||||
Madison Square Garden Sports Corp. | 74,518 | 13,264 | ||||
Cogent Communications Holdings Inc. | 179,862 | 12,695 | ||||
* | Yelp Inc. Class A | 287,979 | 12,340 | |||
Telephone & Data Systems Inc. | 413,983 | 8,897 | ||||
* | Cinemark Holdings Inc. | 452,293 | 7,363 | |||
* | Cargurus Inc. Class A | 373,400 | 6,762 | |||
John Wiley & Sons Inc. Class A | 178,576 | 6,636 | ||||
* | DISH Network Corp. Class A | 1,059,554 | 6,357 | |||
* | Lumen Technologies Inc. | 3,859,985 | 6,137 | |||
Scholastic Corp. | 122,300 | 5,314 | ||||
* | Cars.com Inc. | 259,946 | 4,859 | |||
Shenandoah Telecommunications Co. | 210,493 | 4,787 | ||||
Shutterstock Inc. | 101,182 | 4,261 | ||||
* | Gogo Inc. | 274,719 | 3,118 | |||
* | TechTarget Inc. | 108,186 | 3,110 | |||
* | Thryv Holdings Inc. | 129,833 | 2,647 | |||
* | QuinStreet Inc. | 213,108 | 2,110 | |||
* | EW Scripps Co. Class A | 245,600 | 1,876 | |||
ATN International Inc. | 44,834 | 1,608 | ||||
1 | Marcus Corp. | 103,032 | 1,565 | |||
* | AMC Networks Inc. Class A | 119,378 | 1,390 | |||
* | Consolidated Communications Holdings Inc. | 312,718 | 1,235 | |||
118,331 | ||||||
Consumer Discretionary (13.9%) | ||||||
Meritage Homes Corp. | 153,828 | 21,388 | ||||
* | Asbury Automotive Group Inc. | 90,102 | 20,723 | |||
Academy Sports & Outdoors Inc. | 322,553 | 17,602 | ||||
Advance Auto Parts Inc. | 248,684 | 17,114 | ||||
Group 1 Automotive Inc. | 59,166 | 15,645 |
Shares | Market Value• ($000) | |||||
Signet Jewelers Ltd. | 188,781 | 14,159 | ||||
Installed Building Products Inc. | 97,432 | 14,101 | ||||
LCI Industries | 105,865 | 13,263 | ||||
* | Tri Pointe Homes Inc. | 418,756 | 13,023 | |||
American Eagle Outfitters Inc. | 767,782 | 13,022 | ||||
MDC Holdings Inc. | 244,690 | 11,611 | ||||
* | M/I Homes Inc. | 116,577 | 11,446 | |||
* | Boot Barn Holdings Inc. | 124,721 | 11,443 | |||
* | Abercrombie & Fitch Co. Class A | 209,278 | 11,249 | |||
* | Frontdoor Inc. | 341,903 | 11,221 | |||
* | Shake Shack Inc. Class A | 156,603 | 10,962 | |||
* | LGI Homes Inc. | 86,611 | 10,662 | |||
Steven Madden Ltd. | 298,862 | 10,311 | ||||
Bloomin' Brands Inc. | 365,159 | 10,246 | ||||
* | Dorman Products Inc. | 118,427 | 9,771 | |||
Kontoor Brands Inc. | 208,713 | 9,557 | ||||
* | Cavco Industries Inc. | 33,821 | 9,454 | |||
Century Communities Inc. | 119,204 | 8,851 | ||||
Dana Inc. | 537,381 | 8,657 | ||||
* | Urban Outfitters Inc. | 252,071 | 8,371 | |||
* | Gentherm Inc. | 138,500 | 8,339 | |||
Winnebago Industries Inc. | 127,753 | 8,285 | ||||
* | Adtalem Global Education Inc. | 182,714 | 8,012 | |||
Hanesbrands Inc. | 1,461,364 | 7,672 | ||||
Cracker Barrel Old Country Store Inc. | 92,619 | 7,635 | ||||
Patrick Industries Inc. | 88,711 | 7,420 | ||||
* | Sonos Inc. | 536,378 | 7,391 | |||
Strategic Education Inc. | 93,777 | 7,268 | ||||
* | Stride Inc. | 170,869 | 7,260 | |||
* | Six Flags Entertainment Corp. | 309,945 | 7,116 | |||
* | ODP Corp. | 142,285 | 7,017 | |||
* | Vista Outdoor Inc. | 238,589 | 6,979 | |||
* | Sabre Corp. | 1,391,005 | 6,955 | |||
Jack in the Box Inc. | 86,296 | 6,936 | ||||
* | XPEL Inc. | 82,146 | 6,843 |
Shares | Market Value• ($000) | |||||
* | Dave & Buster's Entertainment Inc. | 167,748 | 6,587 | |||
Upbound Group Inc. | 210,894 | 6,458 | ||||
Cheesecake Factory Inc. | 200,077 | 6,372 | ||||
* | Victoria's Secret & Co. | 328,093 | 6,293 | |||
Oxford Industries Inc. | 62,143 | 6,276 | ||||
* | Brinker International Inc. | 185,561 | 6,073 | |||
* | National Vision Holdings Inc. | 326,265 | 5,974 | |||
La-Z-Boy Inc. | 180,726 | 5,575 | ||||
* | Green Brick Partners Inc. | 112,504 | 5,564 | |||
* | Phinia Inc. | 196,287 | 5,457 | |||
Perdoceo Education Corp. | 282,680 | 4,684 | ||||
* | Sally Beauty Holdings Inc. | 450,572 | 4,578 | |||
Buckle Inc. | 124,707 | 4,557 | ||||
* | iRobot Corp. | 114,069 | 4,436 | |||
Caleres Inc. | 152,062 | 4,360 | ||||
Monro Inc. | 131,614 | 4,309 | ||||
* | Leslie's Inc. | 623,812 | 3,905 | |||
Sturm Ruger & Co. Inc. | 74,179 | 3,826 | ||||
Monarch Casino & Resort Inc. | 56,111 | 3,782 | ||||
* | American Axle & Manufacturing Holdings Inc. | 490,214 | 3,701 | |||
Dine Brands Global Inc. | 65,633 | 3,595 | ||||
Sonic Automotive Inc. Class A | 66,629 | 3,553 | ||||
* | G-III Apparel Group Ltd. | 171,891 | 3,412 | |||
Golden Entertainment Inc. | 93,019 | 3,387 | ||||
* | MarineMax Inc. | 91,554 | 3,046 | |||
Guess? Inc. | 125,402 | 3,017 | ||||
Ethan Allen Interiors Inc. | 95,597 | 3,000 | ||||
Standard Motor Products Inc. | 78,983 | 2,925 | ||||
* | BJ's Restaurants Inc. | 98,618 | 2,900 | |||
* | Chuy's Holdings Inc. | 75,909 | 2,892 | |||
* | America's Car-Mart Inc. | 24,288 | 2,703 | |||
Wolverine World Wide Inc. | 332,753 | 2,689 | ||||
* | Chico's FAS Inc. | 517,102 | 2,653 | |||
Hibbett Inc. | 53,402 | 2,473 | ||||
* | Mister Car Wash Inc. | 336,031 | 2,433 | |||
* | Sleep Number Corp. | 92,932 | 2,377 | |||
Designer Brands Inc. Class A | 211,387 | 2,222 | ||||
Movado Group Inc. | 65,417 | 1,789 | ||||
Haverty Furniture Cos. Inc. | 55,854 | 1,748 | ||||
Shoe Carnival Inc. | 71,014 | 1,643 | ||||
Aaron's Co. Inc. | 129,481 | 1,563 | ||||
583,767 | ||||||
Consumer Staples (5.0%) | ||||||
* | elf Beauty Inc. | 211,860 | 29,387 | |||
* | Hostess Brands Inc. Class A | 555,896 | 15,832 | |||
* | Simply Good Foods Co. | 353,789 | 12,765 | |||
WD-40 Co. | 56,780 | 12,200 |
Shares | Market Value• ($000) | |||||
Inter Parfums Inc. | 75,099 | 10,494 | ||||
J & J Snack Foods Corp. | 62,913 | 10,200 | ||||
* | TreeHouse Foods Inc. | 211,930 | 9,859 | |||
PriceSmart Inc. | 104,990 | 8,345 | ||||
Edgewell Personal Care Co. | 213,916 | 8,249 | ||||
MGP Ingredients Inc. | 64,405 | 7,722 | ||||
Cal-Maine Foods Inc. | 159,193 | 7,608 | ||||
* | Central Garden & Pet Co. Class A | 172,554 | 7,040 | |||
Andersons Inc. | 131,835 | 6,771 | ||||
Vector Group Ltd. | 553,846 | 5,932 | ||||
* | National Beverage Corp. | 97,766 | 5,016 | |||
* | United Natural Foods Inc. | 248,822 | 5,009 | |||
Nu Skin Enterprises Inc. Class A | 209,274 | 5,000 | ||||
Universal Corp. | 102,461 | 4,879 | ||||
* | Chefs' Warehouse Inc. | 147,423 | 4,207 | |||
* | Hain Celestial Group Inc. | 374,703 | 3,968 | |||
B&G Foods Inc. | 302,497 | 3,869 | ||||
Medifast Inc. | 45,604 | 3,846 | ||||
John B Sanfilippo & Son Inc. | 37,528 | 3,766 | ||||
Fresh Del Monte Produce Inc. | 128,698 | 3,288 | ||||
SpartanNash Co. | 147,126 | 3,201 | ||||
* | USANA Health Sciences Inc. | 46,889 | 3,015 | |||
Calavo Growers Inc. | 74,324 | 2,450 | ||||
Tootsie Roll Industries Inc. | 75,336 | 2,422 | ||||
* | Central Garden & Pet Co. | 40,358 | 1,781 | |||
208,121 | ||||||
Energy (5.4%) | ||||||
SM Energy Co. | 504,257 | 21,335 | ||||
Helmerich & Payne Inc. | 429,131 | 17,161 | ||||
Civitas Resources Inc. | 205,273 | 16,878 | ||||
California Resources Corp. | 295,225 | 16,485 | ||||
Northern Oil & Gas Inc. | 338,817 | 14,173 | ||||
Patterson-UTI Energy Inc. | 869,131 | 12,289 | ||||
CONSOL Energy Inc. | 133,374 | 11,475 | ||||
* | Oceaneering International Inc. | 421,349 | 9,602 | |||
* | Callon Petroleum Co. | 214,785 | 8,426 | |||
* | Par Pacific Holdings Inc. | 235,250 | 8,081 | |||
* | Talos Energy Inc. | 452,250 | 7,788 | |||
* | Green Plains Inc. | 249,249 | 7,737 | |||
Archrock Inc. | 563,139 | 7,203 | ||||
* | NexTier Oilfield Solutions Inc. | 627,279 | 6,655 | |||
* | Helix Energy Solutions Group Inc. | 596,579 | 6,049 | |||
World Kinect Corp. | 259,489 | 5,683 | ||||
1 | Comstock Resources Inc. | 383,651 | 4,704 | |||
Core Laboratories Inc. | 195,483 | 4,699 | ||||
* | Vital Energy Inc. | 77,903 | 4,697 | |||
* | Nabors Industries Ltd. | 37,960 | 4,202 |
Shares | Market Value• ($000) | |||||
CVR Energy Inc. | 122,130 | 3,994 | ||||
* | US Silica Holdings Inc. | 322,838 | 3,981 | |||
* | Dril-Quip Inc. | 143,158 | 3,948 | |||
* | ProPetro Holding Corp. | 405,485 | 3,909 | |||
Dorian LPG Ltd. | 133,536 | 3,445 | ||||
RPC Inc. | 347,627 | 2,777 | ||||
* | Bristow Group Inc. Class A | 98,558 | 2,730 | |||
* | REX American Resources Corp. | 64,109 | 2,532 | |||
* | Oil States International Inc. | 269,171 | 2,110 | |||
224,748 | ||||||
Financials (17.2%) | ||||||
Radian Group Inc. | 654,351 | 17,720 | ||||
* | Mr Cooper Group Inc. | 284,750 | 16,134 | |||
Assured Guaranty Ltd. | 248,048 | 14,595 | ||||
American Equity Investment Life Holding Co. | 264,388 | 14,192 | ||||
Moelis & Co. Class A | 278,543 | 13,206 | ||||
United Community Banks Inc. | 481,648 | 13,004 | ||||
1 | Arbor Realty Trust Inc. | 757,792 | 12,094 | |||
* | Genworth Financial Inc. Class A | 1,999,258 | 11,576 | |||
ServisFirst Bancshares Inc. | 204,360 | 11,452 | ||||
Ameris Bancorp | 272,659 | 11,111 | ||||
Walker & Dunlop Inc. | 129,654 | 11,065 | ||||
Artisan Partners Asset Management Inc. Class A | 286,372 | 11,002 | ||||
EVERTEC Inc. | 272,223 | 10,772 | ||||
Community Bank System Inc. | 224,730 | 10,686 | ||||
First Bancorp | 751,948 | 10,422 | ||||
WSFS Financial Corp. | 256,982 | 10,099 | ||||
First Hawaiian Inc. | 533,671 | 10,092 | ||||
Independent Bank Corp. | 184,530 | 9,968 | ||||
* | NMI Holdings Inc. Class A | 348,268 | 9,967 | |||
CVB Financial Corp. | 548,352 | 9,574 | ||||
* | Axos Financial Inc. | 220,314 | 9,493 | |||
Simmons First National Corp. Class A | 532,351 | 9,486 | ||||
Atlantic Union Bankshares Corp. | 313,578 | 9,310 | ||||
Fulton Financial Corp. | 692,063 | 9,225 | ||||
Pacific Premier Bancorp Inc. | 400,344 | 9,216 | ||||
Piper Sandler Cos. | 61,709 | 9,193 | ||||
Bank of Hawaii Corp. | 166,013 | 8,922 | ||||
Jackson Financial Inc. Class A | 233,603 | 8,783 | ||||
* | Bancorp Inc. | 229,080 | 8,410 | |||
Seacoast Banking Corp. of Florida | 350,189 | 8,268 | ||||
First Financial Bancorp | 397,838 | 8,267 | ||||
BankUnited Inc. | 311,603 | 8,180 | ||||
Bread Financial Holdings Inc. | 209,889 | 7,888 |
Shares | Market Value• ($000) | |||||
Washington Federal Inc. | 275,634 | 7,492 | ||||
Ready Capital Corp. | 674,394 | 7,364 | ||||
Navient Corp. | 412,077 | 7,273 | ||||
BancFirst Corp. | 73,052 | 6,982 | ||||
* | StoneX Group Inc. | 73,696 | 6,919 | |||
* | Goosehead Insurance Inc. Class A | 97,943 | 6,842 | |||
NBT Bancorp Inc. | 197,503 | 6,798 | ||||
* | PROG Holdings Inc. | 195,817 | 6,716 | |||
* | Enova International Inc. | 130,495 | 6,583 | |||
Renasant Corp. | 234,439 | 6,529 | ||||
Independent Bank Group Inc. | 148,293 | 6,258 | ||||
Banner Corp. | 143,499 | 6,249 | ||||
Park National Corp. | 60,121 | 6,118 | ||||
OFG Bancorp | 199,106 | 6,005 | ||||
Virtus Investment Partners Inc. | 28,700 | 5,944 | ||||
Apollo Commercial Real Estate Finance Inc. | 543,228 | 5,932 | ||||
* | Triumph Financial Inc. | 92,027 | 5,911 | |||
Hilltop Holdings Inc. | 193,405 | 5,878 | ||||
Trustmark Corp. | 255,120 | 5,878 | ||||
Northwest Bancshares Inc. | 531,142 | 5,843 | ||||
City Holding Co. | 63,131 | 5,768 | ||||
First Commonwealth Financial Corp. | 431,026 | 5,633 | ||||
Two Harbors Investment Corp. | 405,156 | 5,579 | ||||
Pathward Financial Inc. | 112,744 | 5,555 | ||||
Lakeland Financial Corp. | 106,540 | 5,554 | ||||
* | Payoneer Global Inc. | 859,137 | 5,318 | |||
* | Palomar Holdings Inc. | 104,133 | 5,312 | |||
Stewart Information Services Corp. | 114,148 | 5,287 | ||||
* | Donnelley Financial Solutions Inc. | 106,019 | 5,224 | |||
Provident Financial Services Inc. | 315,220 | 5,195 | ||||
First Bancorp (XNGS) | 171,736 | 5,090 | ||||
National Bank Holdings Corp. Class A | 157,977 | 4,983 | ||||
Westamerica Bancorp | 111,631 | 4,915 | ||||
PennyMac Mortgage Investment Trust | 366,086 | 4,909 | ||||
Horace Mann Educators Corp. | 171,103 | 4,904 | ||||
Franklin BSP Realty Trust Inc. | 344,695 | 4,874 | ||||
Hope Bancorp Inc. | 502,402 | 4,858 | ||||
S&T Bancorp Inc. | 163,242 | 4,625 | ||||
* | Encore Capital Group Inc. | 98,372 | 4,610 | |||
FB Financial Corp. | 146,983 | 4,465 | ||||
Employers Holdings Inc. | 112,596 | 4,417 | ||||
* | Trupanion Inc. | 148,522 | 4,416 | |||
* | Customers Bancorp Inc. | 123,055 | 4,324 |
Shares | Market Value• ($000) | |||||
Safety Insurance Group Inc. | 62,279 | 4,289 | ||||
Veritex Holdings Inc. | 227,252 | 4,275 | ||||
AMERISAFE Inc. | 80,236 | 4,156 | ||||
Stellar Bancorp Inc. | 189,800 | 4,037 | ||||
1 | ARMOUR Residential REIT Inc. | 819,025 | 4,021 | |||
ProAssurance Corp. | 226,331 | 4,002 | ||||
* | SiriusPoint Ltd. | 359,284 | 3,974 | |||
PacWest Bancorp | 494,464 | 3,931 | ||||
Berkshire Hills Bancorp Inc. | 185,480 | 3,877 | ||||
Redwood Trust Inc. | 477,650 | 3,826 | ||||
Southside Bancshares Inc. | 123,089 | 3,705 | ||||
New York Mortgage Trust Inc. | 381,972 | 3,636 | ||||
Ellington Financial Inc. | 267,284 | 3,574 | ||||
Brookline Bancorp Inc. | 367,729 | 3,519 | ||||
WisdomTree Inc. | 475,232 | 3,469 | ||||
Preferred Bank | 55,334 | 3,437 | ||||
* | Avantax Inc. | 161,651 | 3,382 | |||
1 | B. Riley Financial Inc. | 66,005 | 3,380 | |||
* | PRA Group Inc. | 164,086 | 3,196 | |||
Mercury General Corp. | 111,338 | 3,185 | ||||
Eagle Bancorp Inc. | 128,678 | 3,096 | ||||
KKR Real Estate Finance Trust Inc. | 243,137 | 3,042 | ||||
Capitol Federal Financial Inc. | 530,462 | 3,008 | ||||
Dime Community Bancshares Inc. | 136,565 | 2,910 | ||||
* | Green Dot Corp. Class A | 194,022 | 2,879 | |||
Banc of California Inc. | 224,383 | 2,811 | ||||
Brightsphere Investment Group Inc. | 135,482 | 2,806 | ||||
Tompkins Financial Corp. | 52,912 | 2,748 | ||||
Heritage Financial Corp. | 146,883 | 2,529 | ||||
* | Ambac Financial Group Inc. | 189,875 | 2,446 | |||
James River Group Holdings Ltd. | 157,593 | 2,295 | ||||
TrustCo Bank Corp. | 79,693 | 2,269 | ||||
Hanmi Financial Corp. | 127,963 | 2,216 | ||||
Invesco Mortgage Capital Inc. | 174,456 | 1,963 | ||||
Central Pacific Financial Corp. | 113,132 | 1,920 | ||||
* | World Acceptance Corp. | 14,016 | 1,889 | |||
* | EZCORP Inc. Class A | 219,712 | 1,848 | |||
Northfield Bancorp Inc. | 171,534 | 1,808 | ||||
United Fire Group Inc. | 90,924 | 1,798 | ||||
HCI Group Inc. | 28,452 | 1,516 | ||||
Universal Insurance Holdings Inc. | 114,765 | 1,453 | ||||
722,822 | ||||||
Health Care (10.1%) | ||||||
Ensign Group Inc. | 234,296 | 23,481 |
Shares | Market Value• ($000) | |||||
* | Merit Medical Systems Inc. | 240,600 | 15,706 | |||
* | Glaukos Corp. | 201,711 | 15,157 | |||
CONMED Corp. | 127,914 | 14,257 | ||||
* | Cytokinetics Inc. | 400,051 | 13,978 | |||
Select Medical Holdings Corp. | 436,137 | 12,740 | ||||
* | Corcept Therapeutics Inc. | 378,220 | 12,379 | |||
* | Prestige Consumer Healthcare Inc. | 207,915 | 12,128 | |||
* | Integer Holdings Corp. | 139,365 | 11,889 | |||
* | AMN Healthcare Services Inc. | 119,897 | 10,597 | |||
* | Privia Health Group Inc. | 391,898 | 10,287 | |||
* | Fortrea Holdings Inc. | 370,760 | 10,214 | |||
* | STAAR Surgical Co. | 202,001 | 8,759 | |||
* | Amphastar Pharmaceuticals Inc. | 157,423 | 8,392 | |||
* | Schrodinger Inc. | 224,633 | 8,287 | |||
* | CorVel Corp. | 38,101 | 8,247 | |||
* | NeoGenomics Inc. | 533,348 | 8,016 | |||
* | RadNet Inc. | 239,892 | 8,015 | |||
* | Tandem Diabetes Care Inc. | 270,563 | 7,403 | |||
* | Supernus Pharmaceuticals Inc. | 227,650 | 7,248 | |||
* | Dynavax Technologies Corp. | 500,577 | 7,188 | |||
* | Certara Inc. | 441,877 | 7,141 | |||
* | Pacira BioSciences Inc. | 192,173 | 6,784 | |||
* | Vericel Corp. | 199,238 | 6,541 | |||
* | Apollo Medical Holdings Inc. | 168,750 | 6,389 | |||
US Physical Therapy Inc. | 61,525 | 6,204 | ||||
* | Veradigm Inc. | 457,563 | 6,122 | |||
* | Myriad Genetics Inc. | 340,805 | 6,083 | |||
* | Addus HomeCare Corp. | 67,672 | 5,935 | |||
* | Catalyst Pharmaceuticals Inc. | 408,427 | 5,734 | |||
* | Xencor Inc. | 252,215 | 5,544 | |||
* | Owens & Minor Inc. | 318,279 | 5,379 | |||
* | UFP Technologies Inc. | 29,024 | 5,100 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 566,389 | 4,984 | |||
* | Pediatrix Medical Group Inc. | 345,888 | 4,887 | |||
LeMaitre Vascular Inc. | 81,677 | 4,722 | ||||
* | Harmony Biosciences Holdings Inc. | 125,579 | 4,552 | |||
* | Ligand Pharmaceuticals Inc. | 68,738 | 4,521 | |||
* | Arcus Biosciences Inc. | 220,498 | 4,520 | |||
Embecta Corp. | 240,026 | 4,400 | ||||
* | Avanos Medical Inc. | 194,721 | 4,097 | |||
* | NextGen Healthcare Inc. | 224,027 | 4,080 | |||
* | Vir Biotechnology Inc. | 319,030 | 4,039 | |||
* | AdaptHealth Corp. Class A | 320,373 | 3,822 |
Shares | Market Value• ($000) | |||||
* | ANI Pharmaceuticals Inc. | 58,323 | 3,755 | |||
* | Cross Country Healthcare Inc. | 143,006 | 3,684 | |||
* | Collegium Pharmaceutical Inc. | 144,924 | 3,394 | |||
* | Varex Imaging Corp. | 169,239 | 3,329 | |||
* | Innoviva Inc. | 246,961 | 3,149 | |||
* | Avid Bioservices Inc. | 262,013 | 3,092 | |||
* | Orthofix Medical Inc. | 145,432 | 3,077 | |||
Mesa Laboratories Inc. | 21,054 | 3,018 | ||||
Simulations Plus Inc. | 66,178 | 2,944 | ||||
* | Artivion Inc. | 171,227 | 2,897 | |||
* | REGENXBIO Inc. | 158,400 | 2,804 | |||
* | Fulgent Genetics Inc. | 83,359 | 2,731 | |||
* | Enhabit Inc. | 209,877 | 2,688 | |||
* | Cytek Biosciences Inc. | 335,317 | 2,548 | |||
HealthStream Inc. | 101,559 | 2,136 | ||||
* | OraSure Technologies Inc. | 306,905 | 1,983 | |||
* | BioLife Solutions Inc. | 145,631 | 1,924 | |||
* | Community Health Systems Inc. | 532,742 | 1,801 | |||
* | ModivCare Inc. | 53,415 | 1,715 | |||
* | uniQure NV | 175,408 | 1,528 | |||
* | Coherus Biosciences Inc. | 281,072 | 1,498 | |||
* | Agiliti Inc. | 140,815 | 1,359 | |||
* | AngioDynamics Inc. | 164,358 | 1,320 | |||
* | Vanda Pharmaceuticals Inc. | 240,608 | 1,249 | |||
* | iTeos Therapeutics Inc. | 103,381 | 1,247 | |||
* | Enanta Pharmaceuticals Inc. | 82,900 | 1,231 | |||
Phibro Animal Health Corp. Class A | 85,190 | 1,188 | ||||
* | Anika Therapeutics Inc. | 61,812 | 1,103 | |||
* | Computer Programs & Systems Inc. | 59,462 | 967 | |||
*,1 | Zynex Inc. | 89,064 | 686 | |||
*,2 | OmniAb Inc. 12.5 Earnout | 27,888 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 27,888 | — | |||
421,993 | ||||||
Industrials (17.2%) | ||||||
Comfort Systems USA Inc. | 149,687 | 27,628 | ||||
Applied Industrial Technologies Inc. | 161,765 | 24,972 | ||||
Mueller Industries Inc. | 238,546 | 18,406 | ||||
Boise Cascade Co. | 165,666 | 18,119 | ||||
AAON Inc. | 269,026 | 16,965 | ||||
Arcosa Inc. | 202,698 | 15,855 | ||||
Franklin Electric Co. Inc. | 162,355 | 15,701 | ||||
Federal Signal Corp. | 254,782 | 15,529 | ||||
* | SPX Technologies Inc. | 190,343 | 15,041 | |||
John Bean Technologies Corp. | 133,157 | 14,635 | ||||
Hillenbrand Inc. | 291,128 | 14,102 | ||||
Moog Inc. Class A | 120,149 | 13,956 | ||||
Matson Inc. | 150,171 | 13,197 | ||||
ABM Industries Inc. | 276,554 | 12,561 |
Shares | Market Value• ($000) | |||||
Encore Wire Corp. | 75,171 | 12,389 | ||||
* | Dycom Industries Inc. | 122,805 | 12,272 | |||
Albany International Corp. Class A | 130,370 | 12,088 | ||||
* | GMS Inc. | 172,799 | 11,982 | |||
EnPro Industries Inc. | 87,353 | 11,914 | ||||
ESCO Technologies Inc. | 107,748 | 11,530 | ||||
Korn Ferry | 219,240 | 11,177 | ||||
UniFirst Corp. | 63,163 | 11,125 | ||||
* | Hub Group Inc. Class A | 137,117 | 10,701 | |||
ArcBest Corp. | 100,318 | 10,593 | ||||
* | Verra Mobility Corp. Class A | 584,967 | 10,407 | |||
* | Resideo Technologies Inc. | 615,438 | 10,376 | |||
* | AeroVironment Inc. | 105,683 | 10,254 | |||
* | MYR Group Inc. | 69,865 | 9,926 | |||
Brady Corp. Class A | 193,236 | 9,747 | ||||
* | Mercury Systems Inc. | 243,408 | 9,554 | |||
Veritiv Corp. | 56,752 | 9,553 | ||||
* | Gibraltar Industries Inc. | 127,174 | 9,542 | |||
Kennametal Inc. | 335,761 | 8,888 | ||||
* | RXO Inc. | 489,008 | 8,841 | |||
Trinity Industries Inc. | 339,288 | 8,506 | ||||
* | AAR Corp. | 137,857 | 8,492 | |||
* | SkyWest Inc. | 186,118 | 8,394 | |||
Griffon Corp. | 198,890 | 8,328 | ||||
Barnes Group Inc. | 211,824 | 8,325 | ||||
Forward Air Corp. | 108,580 | 7,690 | ||||
Standex International Corp. | 49,791 | 7,649 | ||||
Granite Construction Inc. | 183,871 | 7,592 | ||||
Alamo Group Inc. | 43,157 | 7,408 | ||||
* | OPENLANE Inc. | 456,553 | 7,127 | |||
* | PGT Innovations Inc. | 245,392 | 6,918 | |||
CSG Systems International Inc. | 126,998 | 6,897 | ||||
* | Masterbrand Inc. | 538,371 | 6,897 | |||
Tennant Co. | 77,565 | 6,394 | ||||
HNI Corp. | 193,940 | 6,353 | ||||
Enerpac Tool Group Corp. Class A | 239,640 | 6,279 | ||||
MillerKnoll Inc. | 316,817 | 6,051 | ||||
Allegiant Travel Co. | 65,470 | 5,816 | ||||
Lindsay Corp. | 45,983 | 5,706 | ||||
Greenbrier Cos. Inc. | 133,726 | 5,691 | ||||
* | American Woodmark Corp. | 69,688 | 5,413 | |||
Matthews International Corp. Class A | 127,575 | 5,381 | ||||
* | NV5 Global Inc. | 52,677 | 5,361 | |||
Astec Industries Inc. | 95,159 | 5,217 | ||||
AZZ Inc. | 104,359 | 5,124 | ||||
* | CoreCivic Inc. | 476,131 | 5,123 | |||
Marten Transport Ltd. | 241,617 | 5,074 | ||||
* | NOW Inc. | 448,121 | 5,006 | |||
* | CIRCOR International Inc. | 85,423 | 4,757 | |||
Apogee Enterprises Inc. | 93,356 | 4,711 | ||||
Wabash National Corp. | 198,904 | 4,485 |
Shares | Market Value• ($000) | |||||
* | GEO Group Inc. | 527,937 | 3,822 | |||
Quanex Building Products Corp. | 139,258 | 3,757 | ||||
Deluxe Corp. | 182,063 | 3,681 | ||||
Healthcare Services Group Inc. | 310,818 | 3,590 | ||||
* | 3D Systems Corp. | 547,065 | 3,452 | |||
* | Proto Labs Inc. | 109,766 | 3,238 | |||
Powell Industries Inc. | 38,256 | 3,212 | ||||
Heartland Express Inc. | 195,236 | 2,946 | ||||
Insteel Industries Inc. | 81,439 | 2,830 | ||||
* | Titan International Inc. | 214,203 | 2,697 | |||
Kaman Corp. | 118,034 | 2,647 | ||||
*,1 | SunPower Corp. | 359,142 | 2,571 | |||
* | Triumph Group Inc. | 272,348 | 2,563 | |||
Kelly Services Inc. Class A | 137,219 | 2,537 | ||||
Interface Inc. Class A | 243,019 | 2,510 | ||||
* | Enviri Corp. | 334,031 | 2,489 | |||
* | Viad Corp. | 87,276 | 2,478 | |||
TTEC Holdings Inc. | 79,178 | 2,356 | ||||
* | Sun Country Airlines Holdings Inc. | 153,157 | 2,280 | |||
Pitney Bowes Inc. | 684,217 | 2,251 | ||||
Heidrick & Struggles International Inc. | 83,904 | 2,223 | ||||
* | DXP Enterprises Inc. | 61,091 | 2,173 | |||
Resources Connection Inc. | 133,835 | 2,076 | ||||
* | TrueBlue Inc. | 129,959 | 1,966 | |||
* | Hawaiian Holdings Inc. | 215,923 | 1,853 | |||
* | Liquidity Services Inc. | 97,671 | 1,782 | |||
National Presto Industries Inc. | 21,347 | 1,598 | ||||
* | Forrester Research Inc. | 47,450 | 1,453 | |||
720,722 | ||||||
Information Technology (13.5%) | ||||||
* | Onto Innovation Inc. | 204,900 | 28,477 | |||
* | SPS Commerce Inc. | 152,892 | 28,458 | |||
* | Axcelis Technologies Inc. | 136,934 | 26,312 | |||
* | Rambus Inc. | 455,624 | 25,729 | |||
* | Fabrinet | 151,916 | 24,424 | |||
Badger Meter Inc. | 122,708 | 20,379 | ||||
* | Insight Enterprises Inc. | 121,091 | 19,385 | |||
Advanced Energy Industries Inc. | 157,114 | 18,550 | ||||
* | Diodes Inc. | 191,372 | 15,664 | |||
* | Extreme Networks Inc. | 539,783 | 14,817 | |||
* | DoubleVerify Holdings Inc. | 424,453 | 14,351 | |||
* | Sanmina Corp. | 244,184 | 13,601 | |||
* | Itron Inc. | 189,999 | 12,998 | |||
Kulicke & Soffa Industries Inc. | 236,713 | 12,245 | ||||
* | Alarm.com Holdings Inc. | 208,485 | 12,211 | |||
* | Plexus Corp. | 115,613 | 11,741 | |||
* | FormFactor Inc. | 322,578 | 11,393 | |||
* | Rogers Corp. | 77,835 | 11,248 | |||
Progress Software Corp. | 181,153 | 11,021 |
Shares | Market Value• ($000) | |||||
* | Viavi Solutions Inc. | 931,943 | 9,739 | |||
InterDigital Inc. | 111,822 | 9,696 | ||||
* | Perficient Inc. | 145,705 | 9,295 | |||
* | SiTime Corp. | 68,857 | 9,137 | |||
* | OSI Systems Inc. | 65,178 | 8,887 | |||
* | Viasat Inc. | 319,340 | 8,859 | |||
* | LiveRamp Holdings Inc. | 270,697 | 8,754 | |||
* | NetScout Systems Inc. | 282,445 | 8,086 | |||
* | ePlus Inc. | 112,481 | 7,467 | |||
* | Cohu Inc. | 198,664 | 7,428 | |||
* | MaxLinear Inc. Class A | 307,567 | 7,228 | |||
* | Semtech Corp. | 267,199 | 6,987 | |||
* | Ultra Clean Holdings Inc. | 186,780 | 6,567 | |||
* | TTM Technologies Inc. | 428,690 | 6,388 | |||
* | Veeco Instruments Inc. | 216,566 | 6,322 | |||
* | Photronics Inc. | 260,999 | 6,201 | |||
* | Knowles Corp. | 381,712 | 6,119 | |||
CTS Corp. | 132,187 | 5,902 | ||||
* | Agilysys Inc. | 83,424 | 5,885 | |||
* | SMART Global Holdings Inc. | 205,565 | 5,310 | |||
* | Digi International Inc. | 150,273 | 5,016 | |||
* | Harmonic Inc. | 465,410 | 4,971 | |||
Methode Electronics Inc. | 150,212 | 4,844 | ||||
* | PDF Solutions Inc. | 125,272 | 4,552 | |||
Adeia Inc. | 445,460 | 4,481 | ||||
* | Ichor Holdings Ltd. | 121,723 | 4,459 | |||
* | Cerence Inc. | 168,859 | 4,407 | |||
A10 Networks Inc. | 269,587 | 4,014 | ||||
Benchmark Electronics Inc. | 149,232 | 3,841 | ||||
* | N-able Inc. | 282,159 | 3,772 | |||
* | Arlo Technologies Inc. | 384,735 | 3,759 | |||
* | Avid Technology Inc. | 139,793 | 3,727 | |||
* | ScanSource Inc. | 104,312 | 3,419 | |||
* | Digital Turbine Inc. | 378,145 | 3,369 | |||
* | Alpha & Omega Semiconductor Ltd. | 93,276 | 2,943 | |||
* | Corsair Gaming Inc. | 171,015 | 2,688 | |||
ADTRAN Holdings Inc. | 299,842 | 2,564 | ||||
PC Connection Inc. | 47,334 | 2,514 | ||||
* | Consensus Cloud Solutions Inc. | 73,301 | 2,341 | |||
* | CEVA Inc. | 98,096 | 2,278 | |||
* | Xperi Inc. | 178,105 | 2,102 | |||
* | Clearfield Inc. | 53,053 | 1,865 | |||
* | OneSpan Inc. | 148,946 | 1,825 | |||
Ebix Inc. | 98,382 | 1,643 | ||||
* | NETGEAR Inc. | 121,723 | 1,604 | |||
* | 8x8 Inc. | 473,576 | 1,539 | |||
567,798 | ||||||
Materials (5.1%) | ||||||
* | ATI Inc. | 537,876 | 24,382 | |||
Balchem Corp. | 134,900 | 18,953 | ||||
HB Fuller Co. | 225,273 | 16,339 | ||||
* | O-I Glass Inc. | 649,733 | 12,904 |
Shares | Market Value• ($000) | |||||
Carpenter Technology Corp. | 203,080 | 12,719 | ||||
* | Livent Corp. | 551,928 | 11,850 | |||
Innospec Inc. | 104,014 | 11,173 | ||||
Quaker Chemical Corp. | 57,170 | 10,147 | ||||
Materion Corp. | 86,188 | 9,376 | ||||
Warrior Met Coal Inc. | 217,770 | 8,615 | ||||
Minerals Technologies Inc. | 136,085 | 8,315 | ||||
Stepan Co. | 88,699 | 7,741 | ||||
* | Ingevity Corp. | 142,718 | 7,691 | |||
Sylvamo Corp. | 133,729 | 5,586 | ||||
Kaiser Aluminum Corp. | 66,950 | 5,083 | ||||
Hawkins Inc. | 79,370 | 4,936 | ||||
Compass Minerals International Inc. | 143,168 | 4,317 | ||||
AdvanSix Inc. | 115,472 | 3,820 | ||||
Mativ Holdings Inc. | 229,743 | 3,768 | ||||
* | TimkenSteel Corp. | 163,583 | 3,584 | |||
Koppers Holdings Inc. | 87,257 | 3,341 | ||||
SunCoke Energy Inc. | 350,724 | 3,262 | ||||
Myers Industries Inc. | 153,923 | 2,895 | ||||
* | Clearwater Paper Corp. | 70,865 | 2,713 | |||
Haynes International Inc. | 53,334 | 2,603 | ||||
Olympic Steel Inc. | 40,106 | 2,146 | ||||
* | Century Aluminum Co. | 216,593 | 1,611 | |||
American Vanguard Corp. | 115,827 | 1,601 | ||||
Trinseo plc | 147,225 | 1,550 | ||||
Mercer International Inc. | 169,756 | 1,543 | ||||
FutureFuel Corp. | 108,167 | 766 | ||||
215,330 | ||||||
Real Estate (7.6%) | ||||||
Phillips Edison & Co. Inc. | 490,797 | 16,618 | ||||
Essential Properties Realty Trust Inc. | 622,656 | 14,956 | ||||
LXP Industrial Trust | 1,223,647 | 12,016 | ||||
1 | SL Green Realty Corp. | 269,605 | 10,585 | |||
Macerich Co. | 900,758 | 10,530 | ||||
Tanger Factory Outlet Centers Inc. | 440,588 | 10,244 | ||||
Innovative Industrial Properties Inc. | 117,241 | 10,233 | ||||
SITE Centers Corp. | 761,274 | 10,163 | ||||
Douglas Emmett Inc. | 710,058 | 9,706 | ||||
Four Corners Property Trust Inc. | 364,149 | 9,162 | ||||
St. Joe Co. | 141,812 | 8,755 | ||||
CareTrust REIT Inc. | 416,124 | 8,385 | ||||
Urban Edge Properties | 491,492 | 8,041 | ||||
Kennedy-Wilson Holdings Inc. | 495,265 | 7,909 | ||||
Sunstone Hotel Investors Inc. | 865,670 | 7,774 | ||||
Pebblebrook Hotel Trust | 515,738 | 7,463 | ||||
Retail Opportunity Investments Corp. | 527,979 | 7,107 |
Shares | Market Value• ($000) | |||||
DiamondRock Hospitality Co. | 877,086 | 7,069 | ||||
Outfront Media Inc. | 613,814 | 6,967 | ||||
JBG SMITH Properties | 405,147 | 6,353 | ||||
* | Cushman & Wakefield plc | 684,858 | 6,294 | |||
* | Veris Residential Inc. | 334,143 | 6,218 | |||
1 | eXp World Holdings Inc. | 308,542 | 5,930 | |||
Acadia Realty Trust | 397,686 | 5,921 | ||||
Service Properties Trust | 693,090 | 5,725 | ||||
LTC Properties Inc. | 173,121 | 5,689 | ||||
Elme Communities | 367,545 | 5,653 | ||||
Getty Realty Corp. | 188,223 | 5,650 | ||||
Alexander & Baldwin Inc. | 304,142 | 5,478 | ||||
Xenia Hotels & Resorts Inc. | 458,649 | 5,412 | ||||
Uniti Group Inc. | 999,401 | 5,367 | ||||
Easterly Government Properties Inc. Class A | 391,326 | 5,232 | ||||
Global Net Lease Inc. | 433,478 | 4,920 | ||||
American Assets Trust Inc. | 218,746 | 4,683 | ||||
RPT Realty | 363,140 | 4,118 | ||||
Centerspace | 62,670 | 4,057 | ||||
Hudson Pacific Properties Inc. | 537,110 | 3,658 | ||||
Brandywine Realty Trust | 720,181 | 3,601 | ||||
NexPoint Residential Trust Inc. | 95,659 | 3,592 | ||||
Safehold Inc. | 168,750 | 3,591 | ||||
Community Healthcare Trust Inc. | 102,476 | 3,401 | ||||
Marcus & Millichap Inc. | 101,560 | 3,382 | ||||
Armada Hoffler Properties Inc. | 284,604 | 3,242 | ||||
* | Anywhere Real Estate Inc. | 462,343 | 3,033 | |||
Summit Hotel Properties Inc. | 450,208 | 2,616 | ||||
Universal Health Realty Income Trust | 53,206 | 2,481 | ||||
Saul Centers Inc. | 54,125 | 2,033 | ||||
Chatham Lodging Trust | 204,666 | 2,002 | ||||
Whitestone REIT | 194,625 | 1,946 | ||||
Office Properties Income Trust | 203,435 | 1,505 | ||||
Orion Office REIT Inc. | 237,360 | 1,384 | ||||
RE/MAX Holdings Inc. Class A | 75,921 | 1,230 | ||||
319,080 | ||||||
Utilities (1.9%) | ||||||
Otter Tail Corp. | 174,473 | 14,371 | ||||
American States Water Co. | 154,651 | 13,023 | ||||
California Water Service Group | 234,161 | 11,767 | ||||
Avista Corp. | 317,152 | 10,558 | ||||
Chesapeake Utilities Corp. | 74,363 | 8,187 | ||||
SJW Group | 115,859 | 7,619 | ||||
Northwest Natural Holding Co. | 150,706 | 5,920 |
Shares | Market Value• ($000) | |||||
Middlesex Water Co. | 74,077 | 5,575 | ||||
Unitil Corp. | 67,406 | 3,291 | ||||
80,311 | ||||||
Total Common Stocks (Cost $4,065,250) | 4,183,023 | |||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 5.384% (Cost $22,388) | 223,931 | 22,391 | |||
Total Investments (100.3%) (Cost $4,087,638) | 4,205,414 | |||||
Other Assets and Liabilities—Net (-0.3%) | (10,747) | |||||
Net Assets (100%) | 4,194,667 |
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 $20,264,000. |
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 $21,323,000 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 Russell 2000 Index | September 2023 | 36 | 3,423 | (35) |
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) |
AMN Healthcare Services Inc. | 1/31/24 | CITNA | 4,886 | (5.327) | — | (841) |
Livent Corp. | 1/31/24 | CITNA | 4,834 | (5.327) | — | (561) |
— | (1,402) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
CITNA—Citibank, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $4,065,250) | 4,183,023 |
Affiliated Issuers (Cost $22,388) | 22,391 |
Total Investments in Securities | 4,205,414 |
Investment in Vanguard | 142 |
Cash Collateral Pledged—Futures Contracts | 230 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 1,470 |
Receivables for Investment Securities Sold | 16,347 |
Receivables for Accrued Income | 4,766 |
Receivables for Capital Shares Issued | 7,660 |
Total Assets | 4,236,029 |
Liabilities | |
Due to Custodian | 2,058 |
Payables for Investment Securities Purchased | 15,683 |
Collateral for Securities on Loan | 21,323 |
Payables for Capital Shares Redeemed | 724 |
Payables to Vanguard | 163 |
Variation Margin Payable—Futures Contracts | 9 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,402 |
Total Liabilities | 41,362 |
Net Assets | 4,194,667 |
1 Includes $20,264,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 4,513,534 |
Total Distributable Earnings (Loss) | (318,867) |
Net Assets | 4,194,667 |
ETF Shares—Net Assets2 | |
Applicable to 24,375,073 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,265,405 |
Net Asset Value Per Share—ETF Shares | $92.94 |
Institutional Shares—Net Assets | |
Applicable to 5,159,683 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,929,262 |
Net Asset Value Per Share—Institutional Shares | $373.91 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 71,577 |
Interest2 | 129 |
Securities Lending—Net | 581 |
Total Income | 72,287 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 93 |
Management and Administrative—ETF Shares | 1,792 |
Management and Administrative—Institutional Shares | 1,296 |
Marketing and Distribution—ETF Shares | 124 |
Marketing and Distribution—Institutional Shares | 74 |
Custodian Fees | 157 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 84 |
Shareholders’ Reports—Institutional Shares | 36 |
Trustees’ Fees and Expenses | 2 |
Other Expenses | 17 |
Total Expenses | 3,704 |
Net Investment Income | 68,583 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (63,275) |
Futures Contracts | (609) |
Swap Contracts | — |
Realized Net Gain (Loss) | (63,884) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 199,786 |
Futures Contracts | 206 |
Swap Contracts | (1,402) |
Change in Unrealized Appreciation (Depreciation) | 198,590 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 203,289 |
1 | Dividends are net of foreign withholding taxes of $63,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $117,000, $4,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $226,690,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 68,583 | 51,655 |
Realized Net Gain (Loss) | (63,884) | 269,098 |
Change in Unrealized Appreciation (Depreciation) | 198,590 | (812,390) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 203,289 | (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 | 164,113 | 476,073 |
Institutional Shares | (136,137) | 426,601 |
Net Increase (Decrease) from Capital Share Transactions | 27,976 | 902,674 |
Total Increase (Decrease) | 171,372 | 365,693 |
Net Assets | ||
Beginning of Period | 4,023,295 | 3,657,602 |
End of Period | 4,194,667 | 4,023,295 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $89.49 | $103.20 | $67.80 | $69.05 | $82.34 |
Investment Operations | |||||
Net Investment Income2 | 1.495 | 1.273 | 1.143 | .973 | .971 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.266 | (13.765) | 35.170 | (1.180) | (13.429) |
Total from Investment Operations | 4.761 | (12.492) | 36.313 | (.207) | (12.458) |
Distributions | |||||
Dividends from Net Investment Income | (1.311) | (1.218) | (.913) | (1.043) | (.832) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.311) | (1.218) | (.913) | (1.043) | (.832) |
Net Asset Value, End of Period | $92.94 | $89.49 | $103.20 | $67.80 | $69.05 |
Total Return | 5.44% | -12.26% | 53.88% | -0.43% | -15.09% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $2,265 | $2,027 | $1,806 | $987 | $991 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.31% | 1.25% | 1.46% | 1.36% |
Portfolio Turnover Rate4 | 19% | 12% | 18% | 15% | 9% |
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 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 |
Investment Operations | |||||
Net Investment Income1 | 6.087 | 5.226 | 4.566 | 3.951 | 3.941 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.135 | (55.426) | 141.589 | (4.694) | (54.011) |
Total from Investment Operations | 19.222 | (50.200) | 146.155 | (.743) | (50.070) |
Distributions | |||||
Dividends from Net Investment Income | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) |
Net Asset Value, End of Period | $373.91 | $360.00 | $415.16 | $272.71 | $277.68 |
Total Return | 5.46% | -12.21% | 53.93% | -0.41% | -15.09% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,929 | $1,996 | $1,852 | $1,377 | $1,186 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.69% | 1.34% | 1.26% | 1.47% | 1.38% |
Portfolio Turnover Rate3 | 19% | 12% | 18% | 15% | 9% |
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 | 4,183,023 | — | — | 4,183,023 |
Temporary Cash Investments | 22,391 | — | — | 22,391 |
Total | 4,205,414 | — | — | 4,205,414 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 35 | — | — | 35 |
Swap Contracts | — | 1,402 | — | 1,402 |
Total | 35 | 1,402 | — | 1,437 |
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) | |
Paid-in Capital | 226,553 |
Total Distributable Earnings (Loss) | (226,553) |
Amount ($000) | |
Undistributed Ordinary Income | 38,781 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 108,106 |
Capital Loss Carryforwards | (465,754) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | (318,867) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 59,893 | 45,344 |
Long-Term Capital Gains | — | — |
Total | 59,893 | 45,344 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 4,097,308 |
Gross Unrealized Appreciation | 747,670 |
Gross Unrealized Depreciation | (639,564) |
Net Unrealized Appreciation (Depreciation) | 108,106 |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 944,464 | 10,550 | 1,313,147 | 13,800 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (780,351) | (8,825) | (837,074) | (8,650) | |
Net Increase (Decrease)—ETF Shares | 164,113 | 1,725 | 476,073 | 5,150 | |
Institutional Shares | |||||
Issued | 264,724 | 739 | 614,744 | 1,573 | |
Issued in Lieu of Cash Distributions | 24,779 | 72 | 20,984 | 53 | |
Redeemed | (425,640) | (1,196) | (209,127) | (541) | |
Net Increase (Decrease)—Institutional Shares | (136,137) | (385) | 426,601 | 1,085 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | 5.29% | 3.86% | 8.83% | $23,317 | |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | 5.25 | 3.86 | 8.83 | 23,311 | |
S&P SmallCap 600 Value Index | 5.45 | 3.94 | 8.96 | 23,596 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
One Year | Five Years | Since Inception (11/19/2014) | Final Value of a $5,000,000 Investment | ||
S&P Small-Cap 600 Value Index Fund Institutional Shares | 5.39% | 3.96% | 7.94% | $9,777,684 | |
S&P SmallCap 600 Value Index | 5.45 | 3.94 | 7.93 | 9,772,169 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 10.87 | 12,376,822 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | 5.25% | 20.86% | 133.11% |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | 5.29 | 20.85 | 133.17 |
S&P SmallCap 600 Value Index | 5.45 | 21.34 | 135.96 |
Communication Services | 3.7% |
Consumer Discretionary | 19.9 |
Consumer Staples | 3.5 |
Energy | 4.3 |
Financials | 19.2 |
Health Care | 7.5 |
Industrials | 16.3 |
Information Technology | 8.2 |
Materials | 4.2 |
Real Estate | 11.7 |
Utilities | 1.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (3.7%) | ||||||
Telephone & Data Systems Inc. | 266,268 | 5,722 | ||||
* | Cinemark Holdings Inc. | 291,710 | 4,749 | |||
John Wiley & Sons Inc. Class A | 115,177 | 4,280 | ||||
* | DISH Network Corp. Class A | 680,165 | 4,081 | |||
* | Lumen Technologies Inc. | 2,492,235 | 3,963 | |||
Scholastic Corp. | 78,479 | 3,410 | ||||
Cogent Communications Holdings Inc. | 47,396 | 3,345 | ||||
* | Yelp Inc. Class A | 77,983 | 3,342 | |||
Shenandoah Telecommunications Co. | 135,052 | 3,071 | ||||
* | Cargurus Inc. Class A | 120,107 | 2,175 | |||
Madison Square Garden Sports Corp. | 11,513 | 2,049 | ||||
* | Thryv Holdings Inc. | 83,704 | 1,707 | |||
Shutterstock Inc. | 33,911 | 1,428 | ||||
* | EW Scripps Co. Class A | 158,201 | 1,209 | |||
1 | Marcus Corp. | 65,994 | 1,002 | |||
* | AMC Networks Inc. Class A | 76,455 | 890 | |||
* | Consolidated Communications Holdings Inc. | 200,051 | 790 | |||
* | Gogo Inc. | 61,611 | 699 | |||
* | QuinStreet Inc. | 65,854 | 652 | |||
48,564 | ||||||
Consumer Discretionary (19.9%) | ||||||
Meritage Homes Corp. | 98,994 | 13,764 | ||||
Advance Auto Parts Inc. | 160,095 | 11,018 | ||||
Group 1 Automotive Inc. | 38,088 | 10,071 | ||||
Signet Jewelers Ltd. | 121,540 | 9,115 | ||||
American Eagle Outfitters Inc. | 494,353 | 8,384 | ||||
* | Tri Pointe Homes Inc. | 269,550 | 8,383 | |||
MDC Holdings Inc. | 157,538 | 7,475 | ||||
* | M/I Homes Inc. | 74,968 | 7,360 |
Shares | Market Value• ($000) | |||||
* | Asbury Automotive Group Inc. | 31,902 | 7,337 | |||
* | Abercrombie & Fitch Co. Class A | 134,815 | 7,246 | |||
* | LGI Homes Inc. | 55,785 | 6,867 | |||
Steven Madden Ltd. | 192,487 | 6,641 | ||||
Kontoor Brands Inc. | 134,454 | 6,157 | ||||
Academy Sports & Outdoors Inc. | 110,104 | 6,008 | ||||
Century Communities Inc. | 76,813 | 5,703 | ||||
Dana Inc. | 346,130 | 5,576 | ||||
* | Urban Outfitters Inc. | 162,180 | 5,386 | |||
Hanesbrands Inc. | 942,044 | 4,946 | ||||
Cracker Barrel Old Country Store Inc. | 59,703 | 4,921 | ||||
Patrick Industries Inc. | 57,152 | 4,780 | ||||
* | Sonos Inc. | 345,906 | 4,767 | |||
* | ODP Corp. | 91,567 | 4,516 | |||
LCI Industries | 34,100 | 4,272 | ||||
Upbound Group Inc. | 135,758 | 4,157 | ||||
Cheesecake Factory Inc. | 128,785 | 4,102 | ||||
* | Victoria's Secret & Co. | 211,299 | 4,053 | |||
* | Brinker International Inc. | 119,493 | 3,911 | |||
La-Z-Boy Inc. | 116,414 | 3,591 | ||||
* | Phinia Inc. | 126,003 | 3,503 | |||
* | Frontdoor Inc. | 105,840 | 3,474 | |||
* | Shake Shack Inc. Class A | 47,292 | 3,310 | |||
Installed Building Products Inc. | 21,291 | 3,081 | ||||
* | Sally Beauty Holdings Inc. | 289,128 | 2,938 | |||
Winnebago Industries Inc. | 44,361 | 2,877 | ||||
* | Boot Barn Holdings Inc. | 31,255 | 2,868 | |||
* | iRobot Corp. | 73,175 | 2,846 | |||
Caleres Inc. | 97,578 | 2,798 | ||||
* | Sabre Corp. | 553,719 | 2,769 | |||
Bloomin' Brands Inc. | 98,565 | 2,766 | ||||
Monro Inc. | 84,381 | 2,763 | ||||
* | Six Flags Entertainment Corp. | 113,580 | 2,608 | |||
* | Vista Outdoor Inc. | 84,384 | 2,468 |
Shares | Market Value• ($000) | |||||
* | American Axle & Manufacturing Holdings Inc. | 314,515 | 2,375 | |||
Sonic Automotive Inc. Class A | 42,872 | 2,286 | ||||
* | G-III Apparel Group Ltd. | 110,611 | 2,196 | |||
* | Gentherm Inc. | 34,837 | 2,098 | |||
Strategic Education Inc. | 25,945 | 2,011 | ||||
* | MarineMax Inc. | 58,929 | 1,961 | |||
Guess? Inc. | 80,355 | 1,933 | ||||
Standard Motor Products Inc. | 50,861 | 1,883 | ||||
* | Dave & Buster's Entertainment Inc. | 47,543 | 1,867 | |||
* | BJ's Restaurants Inc. | 63,496 | 1,867 | |||
* | America's Car-Mart Inc. | 15,581 | 1,734 | |||
Wolverine World Wide Inc. | 213,794 | 1,727 | ||||
* | Chico's FAS Inc. | 333,033 | 1,708 | |||
* | National Vision Holdings Inc. | 88,614 | 1,623 | |||
* | Sleep Number Corp. | 59,862 | 1,531 | |||
Designer Brands Inc. Class A | 135,503 | 1,424 | ||||
Oxford Industries Inc. | 11,942 | 1,206 | ||||
Movado Group Inc. | 41,924 | 1,147 | ||||
Perdoceo Education Corp. | 67,081 | 1,112 | ||||
Shoe Carnival Inc. | 45,496 | 1,052 | ||||
Aaron's Co. Inc. | 83,004 | 1,002 | ||||
Sturm Ruger & Co. Inc. | 18,525 | 955 | ||||
Dine Brands Global Inc. | 16,813 | 921 | ||||
Buckle Inc. | 24,725 | 903 | ||||
* | Leslie's Inc. | 139,985 | 876 | |||
* | Chuy's Holdings Inc. | 22,358 | 852 | |||
Golden Entertainment Inc. | 23,238 | 846 | ||||
* | Mister Car Wash Inc. | 105,468 | 764 | |||
Hibbett Inc. | 16,159 | 748 | ||||
Haverty Furniture Cos. Inc. | 17,621 | 552 | ||||
264,736 | ||||||
Consumer Staples (3.5%) | ||||||
PriceSmart Inc. | 67,680 | 5,379 | ||||
* | TreeHouse Foods Inc. | 72,463 | 3,371 | |||
* | United Natural Foods Inc. | 159,677 | 3,214 | |||
Nu Skin Enterprises Inc. Class A | 134,102 | 3,204 | ||||
Universal Corp. | 66,262 | 3,156 | ||||
Edgewell Personal Care Co. | 71,815 | 2,769 | ||||
WD-40 Co. | 12,765 | 2,743 | ||||
* | Hain Celestial Group Inc. | 240,374 | 2,546 | |||
B&G Foods Inc. | 194,065 | 2,482 | ||||
Andersons Inc. | 47,503 | 2,440 | ||||
* | Central Garden & Pet Co. Class A | 57,456 | 2,344 | |||
Vector Group Ltd. | 199,560 | 2,137 | ||||
Fresh Del Monte Produce Inc. | 82,830 | 2,116 |
Shares | Market Value• ($000) | |||||
SpartanNash Co. | 94,783 | 2,063 | ||||
* | USANA Health Sciences Inc. | 30,176 | 1,940 | |||
Calavo Growers Inc. | 47,804 | 1,576 | ||||
* | National Beverage Corp. | 20,039 | 1,028 | |||
* | Chefs' Warehouse Inc. | 35,924 | 1,025 | |||
John B Sanfilippo & Son Inc. | 9,368 | 940 | ||||
* | Central Garden & Pet Co. | 13,687 | 604 | |||
47,077 | ||||||
Energy (4.3%) | ||||||
California Resources Corp. | 134,926 | 7,534 | ||||
* | Par Pacific Holdings Inc. | 151,371 | 5,200 | |||
* | Green Plains Inc. | 160,404 | 4,979 | |||
Archrock Inc. | 363,225 | 4,646 | ||||
Helmerich & Payne Inc. | 116,122 | 4,644 | ||||
* | Helix Energy Solutions Group Inc. | 384,002 | 3,894 | |||
World Kinect Corp. | 167,029 | 3,658 | ||||
* | Callon Petroleum Co. | 69,201 | 2,715 | |||
* | ProPetro Holding Corp. | 260,698 | 2,513 | |||
* | NexTier Oilfield Solutions Inc. | 221,876 | 2,354 | |||
* | Talos Energy Inc. | 134,028 | 2,308 | |||
* | Bristow Group Inc. Class A | 63,462 | 1,758 | |||
* | Oceaneering International Inc. | 75,809 | 1,728 | |||
Core Laboratories Inc. | 65,433 | 1,573 | ||||
Patterson-UTI Energy Inc. | 109,091 | 1,542 | ||||
* | Oil States International Inc. | 172,619 | 1,353 | |||
* | Dril-Quip Inc. | 43,214 | 1,192 | |||
CVR Energy Inc. | 35,212 | 1,151 | ||||
* | US Silica Holdings Inc. | 86,882 | 1,071 | |||
* | Nabors Industries Ltd. | 7,829 | 866 | |||
56,679 | ||||||
Financials (19.2%) | ||||||
Radian Group Inc. | 421,008 | 11,401 | ||||
1 | Arbor Realty Trust Inc. | 488,057 | 7,789 | |||
* | Genworth Financial Inc. Class A | 1,287,252 | 7,453 | |||
Walker & Dunlop Inc. | 83,550 | 7,130 | ||||
WSFS Financial Corp. | 165,611 | 6,509 | ||||
Simmons First National Corp. Class A | 343,177 | 6,115 | ||||
Pacific Premier Bancorp Inc. | 258,366 | 5,948 | ||||
BankUnited Inc. | 200,556 | 5,265 | ||||
Bread Financial Holdings Inc. | 135,137 | 5,079 | ||||
Ready Capital Corp. | 435,129 | 4,752 | ||||
Navient Corp. | 266,021 | 4,695 | ||||
Assured Guaranty Ltd. | 78,341 | 4,610 | ||||
American Equity Investment Life Holding Co. | 81,719 | 4,387 | ||||
Moelis & Co. Class A | 91,542 | 4,340 |
Shares | Market Value• ($000) | |||||
* | PROG Holdings Inc. | 126,070 | 4,324 | |||
* | Enova International Inc. | 83,949 | 4,235 | |||
Renasant Corp. | 151,272 | 4,213 | ||||
Independent Bank Group Inc. | 95,752 | 4,041 | ||||
Apollo Commercial Real Estate Finance Inc. | 349,607 | 3,818 | ||||
Hilltop Holdings Inc. | 124,110 | 3,772 | ||||
Atlantic Union Bankshares Corp. | 123,443 | 3,665 | ||||
Two Harbors Investment Corp. | 259,847 | 3,578 | ||||
Artisan Partners Asset Management Inc. Class A | 92,018 | 3,535 | ||||
Stewart Information Services Corp. | 73,239 | 3,392 | ||||
Provident Financial Services Inc. | 202,953 | 3,345 | ||||
Horace Mann Educators Corp. | 110,231 | 3,159 | ||||
PennyMac Mortgage Investment Trust | 235,386 | 3,157 | ||||
* | NMI Holdings Inc. Class A | 109,718 | 3,140 | |||
Franklin BSP Realty Trust Inc. | 221,192 | 3,128 | ||||
First Hawaiian Inc. | 165,365 | 3,127 | ||||
Hope Bancorp Inc. | 322,471 | 3,118 | ||||
Independent Bank Corp. | 57,181 | 3,089 | ||||
Fulton Financial Corp. | 226,951 | 3,025 | ||||
* | Encore Capital Group Inc. | 63,132 | 2,958 | |||
Community Bank System Inc. | 62,105 | 2,953 | ||||
United Community Banks Inc. | 108,358 | 2,926 | ||||
Bank of Hawaii Corp. | 52,330 | 2,812 | ||||
* | Axos Financial Inc. | 65,074 | 2,804 | |||
Ameris Bancorp | 68,526 | 2,792 | ||||
Jackson Financial Inc. Class A | 73,726 | 2,772 | ||||
ProAssurance Corp. | 145,586 | 2,574 | ||||
* | SiriusPoint Ltd. | 231,091 | 2,556 | |||
PacWest Bancorp | 317,279 | 2,522 | ||||
Redwood Trust Inc. | 307,205 | ��2,461 | ||||
Seacoast Banking Corp. of Florida | 103,999 | 2,455 | ||||
EVERTEC Inc. | 61,396 | 2,429 | ||||
First Financial Bancorp | 115,496 | 2,400 | ||||
New York Mortgage Trust Inc. | 246,018 | 2,342 | ||||
1 | Ellington Financial Inc. | 172,192 | 2,302 | |||
Washington Federal Inc. | 83,411 | 2,267 | ||||
Brookline Bancorp Inc. | 236,580 | 2,264 | ||||
* | PRA Group Inc. | 105,764 | 2,060 | |||
Mercury General Corp. | 71,706 | 2,052 | ||||
Eagle Bancorp Inc. | 82,586 | 1,987 | ||||
KKR Real Estate Finance Trust Inc. | 156,617 | 1,959 |
Shares | Market Value• ($000) | |||||
* | Payoneer Global Inc. | 315,525 | 1,953 | |||
Capitol Federal Financial Inc. | 341,700 | 1,937 | ||||
* | Goosehead Insurance Inc. Class A | 27,191 | 1,900 | |||
Virtus Investment Partners Inc. | 9,055 | 1,875 | ||||
* | Green Dot Corp. Class A | 125,075 | 1,856 | |||
Banc of California Inc. | 144,390 | 1,809 | ||||
Northwest Bancshares Inc. | 164,408 | 1,809 | ||||
* | Donnelley Financial Solutions Inc. | 33,976 | 1,674 | |||
First Commonwealth Financial Corp. | 124,846 | 1,632 | ||||
* | Ambac Financial Group Inc. | 122,238 | 1,574 | |||
James River Group Holdings Ltd. | 101,672 | 1,480 | ||||
* | Triumph Financial Inc. | 23,033 | 1,479 | |||
FB Financial Corp. | 47,163 | 1,433 | ||||
Veritex Holdings Inc. | 74,396 | 1,399 | ||||
Employers Holdings Inc. | 35,372 | 1,388 | ||||
* | Customers Bancorp Inc. | 39,444 | 1,386 | |||
First Bancorp | 44,017 | 1,305 | ||||
Central Pacific Financial Corp. | 72,523 | 1,231 | ||||
* | World Acceptance Corp. | 8,985 | 1,211 | |||
AMERISAFE Inc. | 23,136 | 1,198 | ||||
* | EZCORP Inc. Class A | 140,802 | 1,184 | |||
Safety Insurance Group Inc. | 17,170 | 1,183 | ||||
Trustmark Corp. | 50,821 | 1,171 | ||||
United Fire Group Inc. | 58,295 | 1,153 | ||||
1 | B. Riley Financial Inc. | 21,562 | 1,104 | |||
National Bank Holdings Corp. Class A | 34,408 | 1,085 | ||||
Berkshire Hills Bancorp Inc. | 49,914 | 1,043 | ||||
Pathward Financial Inc. | 20,214 | 996 | ||||
Southside Bancshares Inc. | 33,082 | 996 | ||||
WisdomTree Inc. | 133,909 | 978 | ||||
1 | HCI Group Inc. | 18,239 | 972 | |||
Universal Insurance Holdings Inc. | 73,559 | 931 | ||||
S&T Bancorp Inc. | 32,399 | 918 | ||||
Brightsphere Investment Group Inc. | 41,630 | 862 | ||||
Invesco Mortgage Capital Inc. | 61,391 | 691 | ||||
Tompkins Financial Corp. | 12,264 | 637 | ||||
Northfield Bancorp Inc. | 50,784 | 535 | ||||
TrustCo Bank Corp. | 17,444 | 497 | ||||
255,446 | ||||||
Health Care (7.5%) | ||||||
Select Medical Holdings Corp. | 280,822 | 8,203 | ||||
* | Integer Holdings Corp. | 89,648 | 7,648 | |||
* | Fortrea Holdings Inc. | 238,665 | 6,575 |
Shares | Market Value• ($000) | |||||
* | NeoGenomics Inc. | 343,845 | 5,168 | |||
* | RadNet Inc. | 154,554 | 5,164 | |||
CONMED Corp. | 42,037 | 4,685 | ||||
* | Apollo Medical Holdings Inc. | 108,626 | 4,112 | |||
* | Myriad Genetics Inc. | 219,943 | 3,926 | |||
* | Owens & Minor Inc. | 204,835 | 3,462 | |||
* | Glaukos Corp. | 42,762 | 3,213 | |||
* | Pediatrix Medical Group Inc. | 221,914 | 3,136 | |||
* | Schrodinger Inc. | 80,775 | 2,980 | |||
* | Avanos Medical Inc. | 125,408 | 2,639 | |||
* | Prestige Consumer Healthcare Inc. | 40,041 | 2,336 | |||
* | Varex Imaging Corp. | 108,565 | 2,135 | |||
* | Orthofix Medical Inc. | 93,645 | 1,981 | |||
* | Certara Inc. | 119,546 | 1,932 | |||
* | Tandem Diabetes Care Inc. | 69,669 | 1,906 | |||
* | Artivion Inc. | 110,266 | ��� 1,866 | |||
* | CorVel Corp. | 8,578 | 1,857 | |||
* | Vericel Corp. | 55,228 | 1,813 | |||
* | STAAR Surgical Co. | 41,740 | 1,810 | |||
* | Enhabit Inc. | 135,142 | 1,731 | |||
US Physical Therapy Inc. | 15,512 | 1,564 | ||||
Embecta Corp. | 82,055 | 1,504 | ||||
* | Ligand Pharmaceuticals Inc. | 20,372 | 1,340 | |||
* | OraSure Technologies Inc. | 196,601 | 1,270 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 135,015 | 1,188 | |||
* | ANI Pharmaceuticals Inc. | 17,945 | 1,155 | |||
* | Community Health Systems Inc. | 341,391 | 1,154 | |||
* | ModivCare Inc. | 34,440 | 1,105 | |||
* | Fulgent Genetics Inc. | 29,385 | 963 | |||
LeMaitre Vascular Inc. | 16,228 | 938 | ||||
* | Cytek Biosciences Inc. | 120,286 | 914 | |||
* | AngioDynamics Inc. | 105,347 | 846 | |||
* | Vanda Pharmaceuticals Inc. | 154,202 | 800 | |||
Phibro Animal Health Corp. Class A | 54,761 | 764 | ||||
Mesa Laboratories Inc. | 5,149 | 738 | ||||
Simulations Plus Inc. | 14,057 | 625 | ||||
* | Avid Bioservices Inc. | 51,927 | 613 | |||
HealthStream Inc. | 23,535 | 495 | ||||
* | Enanta Pharmaceuticals Inc. | 32,567 | 484 | |||
* | Agiliti Inc. | 49,553 | 478 | |||
* | Coherus Biosciences Inc. | 87,965 | 469 | |||
* | Anika Therapeutics Inc. | 19,108 | 341 | |||
* | Computer Programs & Systems Inc. | 17,993 | 293 | |||
100,319 |
Shares | Market Value• ($000) | |||||
Industrials (16.2%) | ||||||
John Bean Technologies Corp. | 85,715 | 9,421 | ||||
ABM Industries Inc. | 178,081 | 8,088 | ||||
* | GMS Inc. | 111,260 | 7,715 | |||
ArcBest Corp. | 64,529 | 6,814 | ||||
* | Resideo Technologies Inc. | 396,344 | 6,682 | |||
* | Gibraltar Industries Inc. | 81,947 | 6,148 | |||
Veritiv Corp. | 36,499 | 6,144 | ||||
Kennametal Inc. | 216,354 | 5,727 | ||||
* | RXO Inc. | 315,028 | 5,696 | |||
* | AAR Corp. | 88,851 | 5,473 | |||
* | SkyWest Inc. | 119,768 | 5,402 | |||
Barnes Group Inc. | 136,414 | 5,361 | ||||
Granite Construction Inc. | 118,306 | 4,885 | ||||
* | OPENLANE Inc. | 294,390 | 4,595 | |||
* | Masterbrand Inc. | 346,554 | 4,439 | |||
Tennant Co. | 49,933 | 4,116 | ||||
HNI Corp. | 125,186 | 4,101 | ||||
MillerKnoll Inc. | 204,018 | 3,897 | ||||
* | Hub Group Inc. Class A | 48,637 | 3,796 | |||
Korn Ferry | 73,512 | 3,748 | ||||
Allegiant Travel Co. | 42,113 | 3,741 | ||||
* | SPX Technologies Inc. | 46,491 | 3,674 | |||
Greenbrier Cos. Inc. | 85,830 | 3,653 | ||||
Moog Inc. Class A | 30,107 | 3,497 | ||||
Arcosa Inc. | 44,450 | 3,477 | ||||
* | American Woodmark Corp. | 44,733 | 3,474 | |||
Matthews International Corp. Class A | 82,181 | 3,466 | ||||
Astec Industries Inc. | 61,322 | 3,362 | ||||
AZZ Inc. | 67,003 | 3,290 | ||||
* | CoreCivic Inc. | 305,529 | 3,288 | |||
* | NOW Inc. | 287,632 | 3,213 | |||
* | MYR Group Inc. | 22,463 | 3,191 | |||
* | CIRCOR International Inc. | 54,824 | 3,053 | |||
UniFirst Corp. | 16,644 | 2,932 | ||||
* | Mercury Systems Inc. | 65,698 | 2,579 | |||
* | Dycom Industries Inc. | 25,258 | 2,524 | |||
* | GEO Group Inc. | 339,911 | 2,461 | |||
ESCO Technologies Inc. | 22,226 | 2,378 | ||||
Deluxe Corp. | 117,062 | 2,367 | ||||
Healthcare Services Group Inc. | 199,458 | 2,304 | ||||
Trinity Industries Inc. | 89,702 | 2,249 | ||||
* | 3D Systems Corp. | 352,624 | 2,225 | |||
Brady Corp. Class A | 43,526 | 2,195 | ||||
* | Proto Labs Inc. | 70,432 | 2,078 | |||
Powell Industries Inc. | 24,662 | 2,071 | ||||
Kaman Corp. | 76,050 | 1,706 | ||||
* | Triumph Group Inc. | 175,685 | 1,653 | |||
Kelly Services Inc. Class A | 88,304 | 1,633 | ||||
Interface Inc. Class A | 155,965 | 1,611 | ||||
* | Enviri Corp. | 215,456 | 1,605 | |||
* | Viad Corp. | 55,945 | 1,588 | |||
Standex International Corp. | 10,304 | 1,583 |
Shares | Market Value• ($000) | |||||
Pitney Bowes Inc. | 438,543 | 1,443 | ||||
Heidrick & Struggles International Inc. | 53,834 | 1,426 | ||||
* | DXP Enterprises Inc. | 39,133 | 1,392 | |||
Enerpac Tool Group Corp. Class A | 52,163 | 1,367 | ||||
Resources Connection Inc. | 85,782 | 1,330 | ||||
Apogee Enterprises Inc. | 25,951 | 1,310 | ||||
Alamo Group Inc. | 7,474 | 1,283 | ||||
* | TrueBlue Inc. | 83,306 | 1,260 | |||
Wabash National Corp. | 53,527 | 1,207 | ||||
* | Hawaiian Holdings Inc. | 138,711 | 1,190 | |||
Quanex Building Products Corp. | 38,331 | 1,034 | ||||
National Presto Industries Inc. | 13,673 | 1,023 | ||||
Insteel Industries Inc. | 28,150 | 978 | ||||
* | Forrester Research Inc. | 30,384 | 931 | |||
TTEC Holdings Inc. | 25,338 | 754 | ||||
* | SunPower Corp. | 100,957 | 723 | |||
Heartland Express Inc. | 43,679 | 659 | ||||
* | Liquidity Services Inc. | 28,292 | 516 | |||
216,195 | ||||||
Information Technology (8.2%) | ||||||
* | Insight Enterprises Inc. | 77,942 | 12,478 | |||
* | Itron Inc. | 122,378 | 8,372 | |||
* | FormFactor Inc. | 207,820 | 7,340 | |||
* | Rogers Corp. | 50,140 | 7,246 | |||
* | Viasat Inc. | 205,788 | 5,709 | |||
* | Sanmina Corp. | 84,962 | 4,732 | |||
* | Semtech Corp. | 172,491 | 4,511 | |||
* | TTM Technologies Inc. | 276,687 | 4,123 | |||
* | Knowles Corp. | 246,441 | 3,950 | |||
* | SMART Global Holdings Inc. | 131,977 | 3,409 | |||
* | Viavi Solutions Inc. | 287,023 | 2,999 | |||
Adeia Inc. | 285,885 | 2,876 | ||||
* | Ichor Holdings Ltd. | 78,164 | 2,863 | |||
* | Cerence Inc. | 108,346 | 2,828 | |||
* | OSI Systems Inc. | 20,493 | 2,794 | |||
* | SiTime Corp. | 20,365 | 2,702 | |||
* | Perficient Inc. | 40,296 | 2,570 | |||
* | LiveRamp Holdings Inc. | 78,516 | 2,539 | |||
* | ePlus Inc. | 37,702 | 2,503 | |||
Benchmark Electronics Inc. | 95,766 | 2,465 | ||||
* | ScanSource Inc. | 67,165 | 2,202 | |||
* | Ultra Clean Holdings Inc. | 54,278 | 1,908 | |||
* | Cohu Inc. | 43,628 | 1,631 | |||
PC Connection Inc. | 30,336 | 1,611 | ||||
Methode Electronics Inc. | 46,382 | 1,496 | ||||
* | Xperi Inc. | 114,763 | 1,354 | |||
* | Arlo Technologies Inc. | 123,287 | 1,205 | |||
Ebix Inc. | 63,623 | 1,063 | ||||
* | NETGEAR Inc. | 78,011 | 1,028 | |||
* | Avid Technology Inc. | 36,703 | 979 | |||
* | Digital Turbine Inc. | 87,065 | 776 |
Shares | Market Value• ($000) | |||||
* | N-able Inc. | 57,776 | 772 | |||
* | Corsair Gaming Inc. | 48,165 | 757 | |||
* | OneSpan Inc. | 48,571 | 595 | |||
* | CEVA Inc. | 24,633 | 572 | |||
* | 8x8 Inc. | 163,472 | 531 | |||
ADTRAN Holdings Inc. | 59,846 | 512 | ||||
* | Consensus Cloud Solutions Inc. | 15,101 | 482 | |||
108,483 | ||||||
Materials (4.2%) | ||||||
Carpenter Technology Corp. | 130,775 | 8,190 | ||||
* | ATI Inc. | 131,619 | 5,966 | |||
Minerals Technologies Inc. | 87,702 | 5,359 | ||||
* | O-I Glass Inc. | 226,098 | 4,490 | |||
HB Fuller Co. | 52,091 | 3,778 | ||||
Compass Minerals International Inc. | 91,790 | 2,768 | ||||
Materion Corp. | 23,824 | 2,592 | ||||
AdvanSix Inc. | 74,112 | 2,452 | ||||
Warrior Met Coal Inc. | 61,690 | 2,440 | ||||
Mativ Holdings Inc. | 147,785 | 2,424 | ||||
Koppers Holdings Inc. | 56,111 | 2,149 | ||||
SunCoke Energy Inc. | 225,558 | 2,098 | ||||
* | Clearwater Paper Corp. | 45,746 | 1,752 | |||
Stepan Co. | 20,045 | 1,749 | ||||
Sylvamo Corp. | 36,821 | 1,538 | ||||
Olympic Steel Inc. | 25,715 | 1,376 | ||||
* | TimkenSteel Corp. | 59,791 | 1,310 | |||
* | Century Aluminum Co. | 138,874 | 1,033 | |||
Trinseo plc | 94,401 | 994 | ||||
Mercer International Inc. | 62,289 | 566 | ||||
Haynes International Inc. | 11,326 | 553 | ||||
FutureFuel Corp. | 29,941 | 212 | ||||
55,789 | ||||||
Real Estate (11.7%) | ||||||
Essential Properties Realty Trust Inc. | 400,920 | 9,630 | ||||
LXP Industrial Trust | 787,997 | 7,738 | ||||
1 | SL Green Realty Corp. | 173,415 | 6,808 | |||
Macerich Co. | 579,384 | 6,773 | ||||
SITE Centers Corp. | 490,470 | 6,548 | ||||
Douglas Emmett Inc. | 457,502 | 6,254 | ||||
Phillips Edison & Co. Inc. | 180,162 | 6,100 | ||||
Sunstone Hotel Investors Inc. | 558,264 | 5,013 | ||||
Pebblebrook Hotel Trust | 331,886 | 4,802 | ||||
Retail Opportunity Investments Corp. | 339,800 | 4,574 | ||||
DiamondRock Hospitality Co. | 565,683 | 4,559 | ||||
Outfront Media Inc. | 395,866 | 4,493 | ||||
JBG SMITH Properties | 261,470 | 4,100 | ||||
* | Cushman & Wakefield plc | 440,869 | 4,052 | |||
Acadia Realty Trust | 256,851 | 3,825 |
Shares | Market Value• ($000) | |||||
Service Properties Trust | 444,791 | 3,674 | ||||
Elme Communities | 236,654 | 3,640 | ||||
Alexander & Baldwin Inc. | 195,904 | 3,528 | ||||
Xenia Hotels & Resorts Inc. | 294,354 | 3,473 | ||||
Easterly Government Properties Inc. Class A | 252,038 | 3,370 | ||||
Kennedy-Wilson Holdings Inc. | 204,608 | 3,268 | ||||
Global Net Lease Inc. | 279,169 | 3,169 | ||||
American Assets Trust Inc. | 140,377 | 3,005 | ||||
Tanger Factory Outlet Centers Inc. | 127,272 | 2,959 | ||||
1 | eXp World Holdings Inc. | 144,526 | 2,778 | |||
RPT Realty | 233,131 | 2,644 | ||||
Centerspace | 40,217 | 2,604 | ||||
Urban Edge Properties | 155,318 | 2,541 | ||||
Hudson Pacific Properties Inc. | 344,622 | 2,347 | ||||
Brandywine Realty Trust | 463,543 | 2,318 | ||||
Safehold Inc. | 108,289 | 2,304 | ||||
CareTrust REIT Inc. | 101,948 | 2,054 | ||||
* | Anywhere Real Estate Inc. | 297,687 | 1,953 | |||
Four Corners Property Trust Inc. | 77,476 | 1,949 | ||||
Uniti Group Inc. | 353,531 | 1,898 | ||||
* | Veris Residential Inc. | 94,594 | 1,760 | |||
Summit Hotel Properties Inc. | 290,071 | 1,685 | ||||
Getty Realty Corp. | 43,496 | 1,306 | ||||
Chatham Lodging Trust | 131,221 | 1,283 | ||||
LTC Properties Inc. | 38,890 | 1,278 | ||||
Whitestone REIT | 124,777 | 1,248 | ||||
NexPoint Residential Trust Inc. | 28,851 | 1,083 | ||||
Office Properties Income Trust | 130,344 | 965 | ||||
Orion Office REIT Inc. | 152,071 | 887 | ||||
Community Healthcare Trust Inc. | 26,279 | 872 | ||||
RE/MAX Holdings Inc. Class A | 48,620 | 788 | ||||
Armada Hoffler Properties Inc. | 63,696 | 725 |
Shares | Market Value• ($000) | |||||
Saul Centers Inc. | 14,981 | 563 | ||||
Universal Health Realty Income Trust | 11,982 | 559 | ||||
155,747 | ||||||
Utilities (1.5%) | ||||||
Avista Corp. | 204,139 | 6,796 | ||||
Otter Tail Corp. | 43,887 | 3,615 | ||||
California Water Service Group | 57,178 | 2,873 | ||||
American States Water Co. | 30,805 | 2,594 | ||||
Chesapeake Utilities Corp. | 15,840 | 1,744 | ||||
Northwest Natural Holding Co. | 34,770 | 1,366 | ||||
Middlesex Water Co. | 17,084 | 1,286 | ||||
20,274 | ||||||
Total Common Stocks (Cost $1,352,979) | 1,329,309 | |||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.7%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 5.384% (Cost $10,245) | 102,464 | 10,246 | |||
Total Investments (100.6%) (Cost $1,363,224) | 1,339,555 | |||||
Other Assets and Liabilities—Net (-0.6%) | (8,593) | |||||
Net Assets (100%) | 1,330,962 |
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 $9,545,000. |
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 $10,027,000 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 Russell 2000 Index | September 2023 | 17 | 1,616 | 3 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $1,352,979) | 1,329,309 |
Affiliated Issuers (Cost $10,245) | 10,246 |
Total Investments in Securities | 1,339,555 |
Investment in Vanguard | 46 |
Cash Collateral Pledged—Futures Contracts | 110 |
Receivables for Investment Securities Sold | 8,484 |
Receivables for Accrued Income | 1,808 |
Receivables for Capital Shares Issued | 6 |
Total Assets | 1,350,009 |
Liabilities | |
Due to Custodian | 1,887 |
Payables for Investment Securities Purchased | 7,044 |
Collateral for Securities on Loan | 10,027 |
Payables to Vanguard | 85 |
Variation Margin Payable—Futures Contracts | 4 |
Total Liabilities | 19,047 |
Net Assets | 1,330,962 |
1 Includes $9,545,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At August 31, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 1,639,614 |
Total Distributable Earnings (Loss) | (308,652) |
Net Assets | 1,330,962 |
ETF Shares—Net Assets2 | |
Applicable to 15,450,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,278,192 |
Net Asset Value Per Share—ETF Shares | $82.73 |
Institutional Shares—Net Assets | |
Applicable to 152,368 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 52,770 |
Net Asset Value Per Share—Institutional Shares | $346.33 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 26,376 |
Interest2 | 45 |
Securities Lending—Net | 289 |
Total Income | 26,710 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 31 |
Management and Administrative—ETF Shares | 1,619 |
Management and Administrative—Institutional Shares | 35 |
Marketing and Distribution—ETF Shares | 72 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 55 |
Auditing Fees | 29 |
Shareholders’ Reports—ETF Shares | 67 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 17 |
Total Expenses | 1,928 |
Net Investment Income | 24,782 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (57,609) |
Futures Contracts | (442) |
Realized Net Gain (Loss) | (58,051) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 79,716 |
Futures Contracts | 98 |
Change in Unrealized Appreciation (Depreciation) | 79,814 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,545 |
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 $41,000, $2,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $93,518,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 24,782 | 21,479 |
Realized Net Gain (Loss) | (58,051) | 135,539 |
Change in Unrealized Appreciation (Depreciation) | 79,814 | (276,947) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,545 | (119,929) |
Distributions | ||
ETF Shares | (23,212) | (20,966) |
Institutional Shares | (1,044) | (1,129) |
Total Distributions | (24,256) | (22,095) |
Capital Share Transactions | ||
ETF Shares | 7,972 | 56,993 |
Institutional Shares | (1,724) | (8,610) |
Net Increase (Decrease) from Capital Share Transactions | 6,248 | 48,383 |
Total Increase (Decrease) | 28,537 | (93,641) |
Net Assets | ||
Beginning of Period | 1,302,425 | 1,396,066 |
End of Period | 1,330,962 | 1,302,425 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $80.11 | $88.82 | $56.26 | $61.62 | $74.53 |
Investment Operations | |||||
Net Investment Income2 | 1.529 | 1.372 | 1.296 | 1.091 | 1.071 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.600 | (8.648) | 32.307 | (5.393) | (12.906) |
Total from Investment Operations | 4.129 | (7.276) | 33.603 | (4.302) | (11.835) |
Distributions | |||||
Dividends from Net Investment Income | (1.509) | (1.434) | (1.043) | (1.058) | (1.075) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.509) | (1.434) | (1.043) | (1.058) | (1.075) |
Net Asset Value, End of Period | $82.73 | $80.11 | $88.82 | $56.26 | $61.62 |
Total Return | 5.29% | -8.28% | 60.19% | -7.08% | -15.93% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,278 | $1,250 | $1,328 | $501 | $373 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.89% | 1.59% | 1.61% | 1.90% | 1.66% |
Portfolio Turnover Rate3 | 45% | 36% | 30% | 46% | 39% |
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 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 |
Investment Operations | |||||
Net Investment Income1 | 6.654 | 5.824 | 5.457 | 4.805 | 4.609 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.833 | (36.009) | 135.457 | (22.489) | (53.914) |
Total from Investment Operations | 17.487 | (30.185) | 140.914 | (17.684) | (49.305) |
Distributions | |||||
Dividends from Net Investment Income | (6.557) | (6.255) | (4.544) | (4.536) | (4.755) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (6.557) | (6.255) | (4.544) | (4.536) | (4.755) |
Net Asset Value, End of Period | $346.33 | $335.40 | $371.84 | $235.47 | $257.69 |
Total Return | 5.39% | -8.20% | 60.32% | -6.94% | -15.87% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $53 | $53 | $68 | $42 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.96% | 1.61% | 1.67% | 2.00% | 1.73% |
Portfolio Turnover Rate2 | 45% | 36% | 30% | 46% | 39% |
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) | |
Paid-in Capital | 93,317 |
Total Distributable Earnings (Loss) | (93,317) |
Amount ($000) | |
Undistributed Ordinary Income | 5,834 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | (25,575) |
Capital Loss Carryforwards | (288,911) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | (308,652) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 24,256 | 22,095 |
Long-Term Capital Gains | — | — |
Total | 24,256 | 22,095 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 1,365,130 |
Gross Unrealized Appreciation | 161,440 |
Gross Unrealized Depreciation | (187,015) |
Net Unrealized Appreciation (Depreciation) | (25,575) |
Year Ended August 31, | |||||
2023 | 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares1 | |||||
Issued | 518,976 | 6,325 | 649,403 | 7,450 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (511,004) | (6,475) | (592,410) | (6,800) | |
Net Increase (Decrease)—ETF Shares | 7,972 | (150) | 56,993 | 650 | |
Institutional Shares | |||||
Issued | 7,943 | 23 | 30,070 | 83 | |
Issued in Lieu of Cash Distributions | 889 | 3 | 979 | 3 | |
Redeemed | (10,556) | (31) | (39,659) | (113) | |
Net Increase (Decrease)—Institutional Shares | (1,724) | (5) | (8,610) | (27) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Average Annual Total Returns Periods Ended August 31, 2023 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | 5.28% | 3.28% | 9.64% | $25,109 | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | 5.25 | 3.28 | 9.64 | 25,102 | |
S&P SmallCap 600 Growth Index | 5.43 | 3.42 | 9.82 | 25,515 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.75 | 10.12 | 12.14 | 31,461 |
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023 | |||
One Year | Five Years | Ten Years | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | 5.25% | 17.52% | 151.02% |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | 5.28 | 17.52 | 151.09 |
S&P SmallCap 600 Growth Index | 5.43 | 18.31 | 155.15 |
Communication Services | 2.0% |
Consumer Discretionary | 8.1 |
Consumer Staples | 6.4 |
Energy | 6.4 |
Financials | 15.3 |
Health Care | 12.7 |
Industrials | 18.1 |
Information Technology | 18.8 |
Materials | 6.3 |
Real Estate | 3.6 |
Utilities | 2.3 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (2.0%) | ||||||
Madison Square Garden Sports Corp. | 15,782 | 2,809 | ||||
Cogent Communications Holdings Inc. | 29,543 | 2,085 | ||||
* | Yelp Inc. Class A | 46,462 | 1,991 | |||
* | Cars.com Inc. | 72,394 | 1,353 | |||
* | Cargurus Inc. Class A | 52,093 | 944 | |||
* | TechTarget Inc. | 30,134 | 866 | |||
Shutterstock Inc. | 13,536 | 570 | ||||
* | Gogo Inc. | 49,754 | 565 | |||
ATN International Inc. | 12,489 | 448 | ||||
* | QuinStreet Inc. | 30,882 | 306 | |||
11,937 | ||||||
Consumer Discretionary (8.1%) | ||||||
* | Dorman Products Inc. | 33,013 | 2,724 | |||
* | Cavco Industries Inc. | 9,417 | 2,632 | |||
* | Asbury Automotive Group Inc. | 11,290 | 2,597 | |||
Installed Building Products Inc. | 17,904 | 2,591 | ||||
Academy Sports & Outdoors Inc. | 42,217 | 2,304 | ||||
* | Adtalem Global Education Inc. | 50,778 | 2,227 | |||
* | Stride Inc. | 47,592 | 2,022 | |||
* | Boot Barn Holdings Inc. | 21,174 | 1,943 | |||
Jack in the Box Inc. | 23,979 | 1,927 | ||||
* | XPEL Inc. | 22,834 | 1,902 | |||
LCI Industries | 14,717 | 1,844 | ||||
Bloomin' Brands Inc. | 58,887 | 1,652 | ||||
* | Frontdoor Inc. | 49,600 | 1,628 | |||
* | Shake Shack Inc. Class A | 23,158 | 1,621 | |||
* | Green Brick Partners Inc. | 31,335 | 1,550 | |||
* | Gentherm Inc. | 23,503 | 1,415 | |||
Oxford Industries Inc. | 12,068 | 1,219 | ||||
Strategic Education Inc. | 14,886 | 1,154 | ||||
Winnebago Industries Inc. | 16,405 | 1,064 | ||||
Monarch Casino & Resort Inc. | 15,551 | 1,048 |
Shares | Market Value• ($000) | |||||
* | Dave & Buster's Entertainment Inc. | 26,169 | 1,028 | |||
* | National Vision Holdings Inc. | 52,859 | 968 | |||
* | Vista Outdoor Inc. | 29,994 | 877 | |||
Buckle Inc. | 23,973 | 876 | ||||
* | Six Flags Entertainment Corp. | 37,208 | 854 | |||
Ethan Allen Interiors Inc. | 26,655 | 836 | ||||
Perdoceo Education Corp. | 49,615 | 822 | ||||
* | Sabre Corp. | 147,275 | 736 | |||
* | Leslie's Inc. | 112,974 | 707 | |||
Sturm Ruger & Co. Inc. | 12,611 | 650 | ||||
Dine Brands Global Inc. | 10,973 | 601 | ||||
Golden Entertainment Inc. | 15,806 | 576 | ||||
* | Chuy's Holdings Inc. | 11,426 | 435 | |||
Hibbett Inc. | 7,890 | 365 | ||||
* | Mister Car Wash Inc. | 47,747 | 346 | |||
Haverty Furniture Cos. Inc. | 7,939 | 249 | ||||
47,990 | ||||||
Consumer Staples (6.3%) | ||||||
* | elf Beauty Inc. | 59,000 | 8,184 | |||
* | Hostess Brands Inc. Class A | 154,875 | 4,411 | |||
* | Simply Good Foods Co. | 98,562 | 3,556 | |||
Inter Parfums Inc. | 20,893 | 2,920 | ||||
J & J Snack Foods Corp. | 17,506 | 2,838 | ||||
WD-40 Co. | 10,275 | 2,208 | ||||
MGP Ingredients Inc. | 17,942 | 2,151 | ||||
Cal-Maine Foods Inc. | 44,242 | 2,114 | ||||
* | TreeHouse Foods Inc. | 27,800 | 1,293 | |||
Edgewell Personal Care Co. | 28,666 | 1,105 | ||||
Medifast Inc. | 12,694 | 1,071 | ||||
* | National Beverage Corp. | 18,524 | 951 | |||
* | Central Garden & Pet Co. Class A | 22,997 | 938 | |||
Andersons Inc. | 16,164 | 830 | ||||
Vector Group Ltd. | 68,087 | 729 | ||||
* | Chefs' Warehouse Inc. | 25,475 | 727 | |||
Tootsie Roll Industries Inc. | 20,986 | 675 | ||||
John B Sanfilippo & Son Inc. | 6,376 | 640 | ||||
* | Central Garden & Pet Co. | 5,418 | 239 | |||
37,580 |
Shares | Market Value• ($000) | |||||
Energy (6.4%) | ||||||
SM Energy Co. | 140,429 | 5,942 | ||||
Civitas Resources Inc. | 57,177 | 4,701 | ||||
Northern Oil & Gas Inc. | 94,381 | 3,948 | ||||
CONSOL Energy Inc. | 37,161 | 3,197 | ||||
Helmerich & Payne Inc. | 69,314 | 2,772 | ||||
Patterson-UTI Energy Inc. | 194,888 | 2,756 | ||||
* | Oceaneering International Inc. | 84,426 | 1,924 | |||
California Resources Corp. | 23,788 | 1,328 | ||||
Comstock Resources Inc. | 106,892 | 1,311 | ||||
* | Vital Energy Inc. | 21,621 | 1,304 | |||
* | Callon Petroleum Co. | 29,980 | 1,176 | |||
* | Talos Energy Inc. | 67,764 | 1,167 | |||
Dorian LPG Ltd. | 37,188 | 959 | ||||
* | NexTier Oilfield Solutions Inc. | 78,691 | 835 | |||
* | Nabors Industries Ltd. | 7,197 | 797 | |||
RPC Inc. | 96,869 | 774 | ||||
* | REX American Resources Corp. | 17,860 | 705 | |||
* | US Silica Holdings Inc. | 52,127 | 643 | |||
Core Laboratories Inc. | 26,141 | 628 | ||||
CVR Energy Inc. | 18,719 | 612 | ||||
* | Dril-Quip Inc. | 21,140 | 583 | |||
38,062 | ||||||
Financials (15.3%) | ||||||
* | Mr Cooper Group Inc. | 79,308 | 4,494 | |||
ServisFirst Bancshares Inc. | 56,924 | 3,190 | ||||
First Bancorp | 209,564 | 2,905 | ||||
CVB Financial Corp. | 152,584 | 2,664 | ||||
Piper Sandler Cos. | 17,192 | 2,561 | ||||
United Community Banks Inc. | 87,201 | 2,354 | ||||
* | Bancorp Inc. | 63,703 | 2,339 | |||
Assured Guaranty Ltd. | 35,208 | 2,072 | ||||
American Equity Investment Life Holding Co. | 38,212 | 2,051 | ||||
EVERTEC Inc. | 49,235 | 1,948 | ||||
BancFirst Corp. | 20,298 | 1,940 | ||||
* | StoneX Group Inc. | 20,532 | 1,928 | |||
NBT Bancorp Inc. | 55,089 | 1,896 | ||||
Ameris Bancorp | 46,293 | 1,886 | ||||
Moelis & Co. Class A | 37,941 | 1,799 | ||||
Banner Corp. | 39,947 | 1,740 | ||||
Park National Corp. | 16,755 | 1,705 | ||||
Community Bank System Inc. | 35,700 | 1,698 | ||||
OFG Bancorp | 55,283 | 1,667 | ||||
City Holding Co. | 17,525 | 1,601 | ||||
Lakeland Financial Corp. | 29,584 | 1,542 | ||||
Artisan Partners Asset Management Inc. Class A | 39,939 | 1,534 | ||||
* | Palomar Holdings Inc. | 29,015 | 1,480 | |||
First Hawaiian Inc. | 77,347 | 1,463 | ||||
Independent Bank Corp. | 26,752 | 1,445 |
Shares | Market Value• ($000) | |||||
* | Axos Financial Inc. | 33,139 | 1,428 | |||
* | NMI Holdings Inc. Class A | 49,592 | 1,419 | |||
Westamerica Bancorp | 30,983 | 1,364 | ||||
First Financial Bancorp | 61,077 | 1,269 | ||||
Bank of Hawaii Corp. | 23,498 | 1,263 | ||||
Fulton Financial Corp. | 94,636 | 1,261 | ||||
Jackson Financial Inc. Class A | 33,353 | 1,254 | ||||
Seacoast Banking Corp. of Florida | 52,786 | 1,246 | ||||
* | Trupanion Inc. | 41,382 | 1,230 | |||
Trustmark Corp. | 48,948 | 1,128 | ||||
Stellar Bancorp Inc. | 52,821 | 1,123 | ||||
ARMOUR Residential REIT Inc. | 227,648 | 1,118 | ||||
Pathward Financial Inc. | 22,612 | 1,114 | ||||
Washington Federal Inc. | 40,686 | 1,106 | ||||
* | Goosehead Insurance Inc. Class A | 15,661 | 1,094 | |||
Atlantic Union Bankshares Corp. | 34,138 | 1,014 | ||||
* | Triumph Financial Inc. | 15,641 | 1,005 | |||
Preferred Bank | 15,419 | 958 | ||||
* | Avantax Inc. | 44,998 | 941 | |||
National Bank Holdings Corp. Class A | 29,053 | 916 | ||||
S&T Bancorp Inc. | 31,384 | 889 | ||||
First Commonwealth Financial Corp. | 66,050 | 863 | ||||
First Bancorp (XNGS) | 28,695 | 850 | ||||
Northwest Bancshares Inc. | 77,128 | 848 | ||||
Virtus Investment Partners Inc. | 4,067 | 842 | ||||
Dime Community Bancshares Inc. | 37,802 | 806 | ||||
* | Donnelley Financial Solutions Inc. | 14,771 | 728 | |||
Heritage Financial Corp. | 40,921 | 705 | ||||
Safety Insurance Group Inc. | 9,888 | 681 | ||||
AMERISAFE Inc. | 12,291 | 637 | ||||
* | Payoneer Global Inc. | 102,305 | 633 | |||
Employers Holdings Inc. | 15,996 | 628 | ||||
Berkshire Hills Bancorp Inc. | 29,977 | 626 | ||||
FB Financial Corp. | 20,473 | 622 | ||||
Hanmi Financial Corp. | 35,654 | 618 | ||||
* | Customers Bancorp Inc. | 17,141 | 602 | |||
Southside Bancshares Inc. | 19,892 | 599 | ||||
Veritex Holdings Inc. | 31,023 | 584 | ||||
WisdomTree Inc. | 73,942 | 540 | ||||
Tompkins Financial Corp. | 9,433 | 490 | ||||
1 | B. Riley Financial Inc. | 9,008 | 461 | |||
��� | TrustCo Bank Corp. | 14,652 | 417 | |||
Brightsphere Investment Group Inc. | 19,636 | 407 |
Shares | Market Value• ($000) | |||||
Northfield Bancorp Inc. | 25,812 | 272 | ||||
Invesco Mortgage Capital Inc. | 21,871 | 246 | ||||
90,747 | ||||||
Health Care (12.7%) | ||||||
Ensign Group Inc. | 65,247 | 6,539 | ||||
* | Merit Medical Systems Inc. | 67,000 | 4,374 | |||
* | AMN Healthcare Services Inc. | 46,197 | 4,083 | |||
* | Cytokinetics Inc. | 111,405 | 3,893 | |||
* | Corcept Therapeutics Inc. | 105,355 | 3,448 | |||
* | Privia Health Group Inc. | 109,132 | 2,865 | |||
* | Glaukos Corp. | 37,628 | 2,827 | |||
* | Prestige Consumer Healthcare Inc. | 40,555 | 2,366 | |||
* | Amphastar Pharmaceuticals Inc. | 43,875 | 2,339 | |||
* | Supernus Pharmaceuticals Inc. | 63,408 | 2,019 | |||
* | Dynavax Technologies Corp. | 139,104 | 1,998 | |||
CONMED Corp. | 17,442 | 1,944 | ||||
* | Pacira BioSciences Inc. | 53,542 | 1,890 | |||
* | Veradigm Inc. | 127,094 | 1,701 | |||
* | STAAR Surgical Co. | 38,267 | 1,659 | |||
* | Addus HomeCare Corp. | 18,860 | 1,654 | |||
* | Catalyst Pharmaceuticals Inc. | 113,432 | 1,593 | |||
* | Xencor Inc. | 70,223 | 1,544 | |||
* | CorVel Corp. | 6,899 | 1,493 | |||
* | UFP Technologies Inc. | 8,073 | 1,419 | |||
* | Harmony Biosciences Holdings Inc. | 34,983 | 1,268 | |||
* | Arcus Biosciences Inc. | 61,419 | 1,259 | |||
* | Tandem Diabetes Care Inc. | 45,226 | 1,237 | |||
* | Certara Inc. | 71,372 | 1,153 | |||
* | NextGen Healthcare Inc. | 62,440 | 1,137 | |||
* | Vir Biotechnology Inc. | 89,116 | 1,128 | |||
* | AdaptHealth Corp. Class A | 89,211 | 1,064 | |||
US Physical Therapy Inc. | 10,486 | 1,057 | ||||
* | Vericel Corp. | 31,628 | 1,038 | |||
* | Cross Country Healthcare Inc. | 39,845 | 1,026 | |||
* | Schrodinger Inc. | 27,495 | 1,014 | |||
* | Collegium Pharmaceutical Inc. | 40,379 | 946 | |||
LeMaitre Vascular Inc. | 15,704 | 908 | ||||
* | Innoviva Inc. | 68,810 | 877 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 99,341 | 874 | |||
* | REGENXBIO Inc. | 44,137 | 781 | |||
* | Ligand Pharmaceuticals Inc. | 10,337 | 680 | |||
* | Avid Bioservices Inc. | 50,378 | 594 | |||
Embecta Corp. | 31,430 | 576 | ||||
Simulations Plus Inc. | 12,358 | 550 | ||||
* | ANI Pharmaceuticals Inc. | 8,451 | 544 |
Shares | Market Value• ($000) | |||||
* | BioLife Solutions Inc. | 40,576 | 536 | |||
Mesa Laboratories Inc. | 3,632 | 521 | ||||
* | uniQure NV | 48,870 | 426 | |||
HealthStream Inc. | 18,106 | 381 | ||||
* | iTeos Therapeutics Inc. | 28,805 | 348 | |||
* | Fulgent Genetics Inc. | 10,458 | 343 | |||
* | Cytek Biosciences Inc. | 41,105 | 312 | |||
* | Coherus Biosciences Inc. | 39,853 | 212 | |||
*,1 | Zynex Inc. | 24,817 | 191 | |||
* | Agiliti Inc. | 17,652 | 170 | |||
* | Anika Therapeutics Inc. | 8,943 | 160 | |||
* | Computer Programs & Systems Inc. | 8,778 | 143 | |||
* | Enanta Pharmaceuticals Inc. | 9,004 | 134 | |||
*,2 | OmniAb Inc. 12.5 Earnout | 7,390 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 7,390 | — | |||
75,236 | ||||||
Industrials (18.1%) | ||||||
Comfort Systems USA Inc. | 41,686 | 7,694 | ||||
Applied Industrial Technologies Inc. | 45,054 | 6,955 | ||||
Mueller Industries Inc. | 66,428 | 5,126 | ||||
Boise Cascade Co. | 46,141 | 5,047 | ||||
AAON Inc. | 74,925 | 4,725 | ||||
Franklin Electric Co. Inc. | 45,232 | 4,374 | ||||
Federal Signal Corp. | 70,979 | 4,326 | ||||
Hillenbrand Inc. | 81,062 | 3,927 | ||||
Matson Inc. | 41,786 | 3,672 | ||||
Encore Wire Corp. | 20,935 | 3,450 | ||||
Albany International Corp. Class A | 36,336 | 3,369 | ||||
EnPro Industries Inc. | 24,328 | 3,318 | ||||
Arcosa Inc. | 37,261 | 2,915 | ||||
* | Verra Mobility Corp. Class A | 163,033 | 2,900 | |||
* | AeroVironment Inc. | 29,435 | 2,856 | |||
* | SPX Technologies Inc. | 32,868 | 2,597 | |||
Moog Inc. Class A | 20,404 | 2,370 | ||||
* | Dycom Industries Inc. | 23,250 | 2,323 | |||
Griffon Corp. | 55,308 | 2,316 | ||||
ESCO Technologies Inc. | 20,400 | 2,183 | ||||
Forward Air Corp. | 30,216 | 2,140 | ||||
* | PGT Innovations Inc. | 68,333 | 1,926 | |||
CSG Systems International Inc. | 35,377 | 1,921 | ||||
UniFirst Corp. | 10,370 | 1,827 | ||||
Brady Corp. Class A | 34,876 | 1,759 | ||||
Lindsay Corp. | 12,803 | 1,589 | ||||
* | Mercury Systems Inc. | 39,313 | 1,543 | |||
Alamo Group Inc. | 8,784 | 1,508 | ||||
Korn Ferry | 29,253 | 1,491 | ||||
* | NV5 Global Inc. | 14,611 | 1,487 | |||
Standex International Corp. | 9,448 | 1,452 | ||||
Marten Transport Ltd. | 67,061 | 1,408 | ||||
Trinity Industries Inc. | 55,660 | 1,396 | ||||
* | MYR Group Inc. | 9,716 | 1,380 | |||
* | Hub Group Inc. Class A | 17,200 | 1,342 |
Shares | Market Value• ($000) | |||||
Enerpac Tool Group Corp. Class A | 44,053 | 1,154 | ||||
* | Titan International Inc. | 59,678 | 751 | |||
Apogee Enterprises Inc. | 14,824 | 748 | ||||
Wabash National Corp. | 32,142 | 725 | ||||
* | Sun Country Airlines Holdings Inc. | 42,590 | 634 | |||
Quanex Building Products Corp. | 22,111 | 597 | ||||
Heartland Express Inc. | 35,364 | 534 | ||||
* | SunPower Corp. | 56,038 | 401 | |||
Insteel Industries Inc. | 10,433 | 363 | ||||
TTEC Holdings Inc. | 11,030 | 328 | ||||
* | Liquidity Services Inc. | 14,970 | 273 | |||
107,120 | ||||||
Information Technology (18.8%) | ||||||
* | Onto Innovation Inc. | 57,028 | 7,926 | |||
* | SPS Commerce Inc. | 42,566 | 7,923 | |||
* | Axcelis Technologies Inc. | 38,114 | 7,324 | |||
* | Rambus Inc. | 126,836 | 7,162 | |||
* | Fabrinet | 42,297 | 6,800 | |||
Badger Meter Inc. | 34,163 | 5,674 | ||||
Advanced Energy Industries Inc. | 43,732 | 5,163 | ||||
* | Diodes Inc. | 53,268 | 4,360 | |||
* | Extreme Networks Inc. | 150,310 | 4,126 | |||
* | DoubleVerify Holdings Inc. | 118,168 | 3,995 | |||
Kulicke & Soffa Industries Inc. | 65,937 | 3,411 | ||||
* | Alarm.com Holdings Inc. | 58,064 | 3,401 | |||
* | Plexus Corp. | 32,234 | 3,273 | |||
Progress Software Corp. | 50,464 | 3,070 | ||||
InterDigital Inc. | 31,162 | 2,702 | ||||
* | NetScout Systems Inc. | 78,532 | 2,248 | |||
* | MaxLinear Inc. Class A | 85,659 | 2,013 | |||
* | Veeco Instruments Inc. | 60,145 | 1,756 | |||
* | Sanmina Corp. | 31,228 | 1,739 | |||
* | Photronics Inc. | 72,894 | 1,732 | |||
* | Agilysys Inc. | 23,244 | 1,640 | |||
CTS Corp. | 36,692 | 1,638 | ||||
* | Perficient Inc. | 23,178 | 1,479 | |||
* | Viavi Solutions Inc. | 134,435 | 1,405 | |||
* | Digi International Inc. | 41,832 | 1,396 | |||
* | Harmonic Inc. | 129,831 | 1,387 | |||
* | SiTime Corp. | 10,376 | 1,377 | |||
* | Cohu Inc. | 36,598 | 1,368 | |||
* | LiveRamp Holdings Inc. | 41,382 | 1,338 | |||
* | PDF Solutions Inc. | 34,866 | 1,267 | |||
* | OSI Systems Inc. | 9,258 | 1,262 | |||
A10 Networks Inc. | 75,104 | 1,118 | ||||
* | Ultra Clean Holdings Inc. | 28,682 | 1,009 | |||
* | ePlus Inc. | 15,072 | 1,001 | |||
* | Alpha & Omega Semiconductor Ltd. | 25,991 | 820 | |||
* | N-able Inc. | 53,460 | 715 | |||
Methode Electronics Inc. | 21,840 | 704 |
Shares | Market Value• ($000) | |||||
* | Avid Technology Inc. | 22,980 | 613 | |||
* | Digital Turbine Inc. | 67,424 | 601 | |||
* | Arlo Technologies Inc. | 53,593 | 524 | |||
* | Clearfield Inc. | 14,777 | 519 | |||
ADTRAN Holdings Inc. | 57,649 | 493 | ||||
* | Consensus Cloud Solutions Inc. | 13,885 | 443 | |||
* | Corsair Gaming Inc. | 26,686 | 420 | |||
* | CEVA Inc. | 16,671 | 387 | |||
* | OneSpan Inc. | 20,338 | 249 | |||
* | 8x8 Inc. | 60,698 | 197 | |||
111,168 | ||||||
Materials (6.2%) | ||||||
Balchem Corp. | 37,565 | 5,278 | ||||
* | Livent Corp. | 209,359 | 4,495 | |||
* | ATI Inc. | 92,865 | 4,210 | |||
Innospec Inc. | 28,994 | 3,114 | ||||
HB Fuller Co. | 40,151 | 2,912 | ||||
Quaker Chemical Corp. | 15,918 | 2,825 | ||||
* | Ingevity Corp. | 39,758 | 2,142 | |||
* | O-I Glass Inc. | 83,327 | 1,655 | |||
Materion Corp. | 13,703 | 1,491 | ||||
Kaiser Aluminum Corp. | 18,573 | 1,410 | ||||
Stepan Co. | 16,041 | 1,400 | ||||
Hawkins Inc. | 22,039 | 1,371 | ||||
Warrior Met Coal Inc. | 33,981 | 1,344 | ||||
Sylvamo Corp. | 21,222 | 886 | ||||
Myers Industries Inc. | 42,890 | 807 | ||||
Haynes International Inc. | 9,952 | 486 | ||||
American Vanguard Corp. | 32,281 | 446 | ||||
* | TimkenSteel Corp. | 19,606 | 429 | |||
Mercer International Inc. | 20,344 | 185 | ||||
FutureFuel Corp. | 17,177 | 122 | ||||
37,008 | ||||||
Real Estate (3.6%) | ||||||
Innovative Industrial Properties Inc. | 32,661 | 2,851 | ||||
St. Joe Co. | 39,434 | 2,435 | ||||
Phillips Edison & Co. Inc. | 58,713 | 1,988 | ||||
Four Corners Property Trust Inc. | 67,826 | 1,706 | ||||
Tanger Factory Outlet Centers Inc. | 67,298 | 1,565 | ||||
CareTrust REIT Inc. | 71,699 | 1,445 | ||||
Urban Edge Properties | 69,823 | 1,142 | ||||
LTC Properties Inc. | 31,403 | 1,032 | ||||
Getty Realty Corp. | 33,640 | 1,010 | ||||
* | Veris Residential Inc. | 52,144 | 970 | |||
Marcus & Millichap Inc. | 28,292 | 942 | ||||
Kennedy-Wilson Holdings Inc. | 49,773 | 795 | ||||
Uniti Group Inc. | 125,302 | 673 | ||||
Armada Hoffler Properties Inc. | 51,550 | 587 |
Shares | Market Value• ($000) | |||||
Community Healthcare Trust Inc. | 17,132 | 569 | ||||
NexPoint Residential Trust Inc. | 14,123 | 530 | ||||
Universal Health Realty Income Trust | 9,634 | 449 | ||||
eXp World Holdings Inc. | 23,211 | 446 | ||||
Saul Centers Inc. | 8,601 | 323 | ||||
21,458 | ||||||
Utilities (2.3%) | ||||||
American States Water Co. | 29,732 | 2,504 | ||||
Otter Tail Corp. | 29,653 | 2,442 | ||||
SJW Group | 32,202 | 2,118 | ||||
California Water Service Group | 40,424 | 2,031 | ||||
Chesapeake Utilities Corp. | 13,910 | 1,531 | ||||
Northwest Natural Holding Co. | 26,830 | 1,054 | ||||
Middlesex Water Co. | 13,205 | 994 | ||||
Unitil Corp. | 18,778 | 917 | ||||
13,591 | ||||||
Total Common Stocks (Cost $541,720) | 591,897 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 5.384% (Cost $934) | 9,342 | 934 | |||
Total Investments (100.0%) (Cost $542,654) | 592,831 | |||||
Other Assets and Liabilities—Net (0.0%) | (65) | |||||
Net Assets (100%) | 592,766 |
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 $411,000. |
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 $426,000 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 Russell 2000 Index | September 2023 | 10 | 951 | 1 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $541,720) | 591,897 |
Affiliated Issuers (Cost $934) | 934 |
Total Investments in Securities | 592,831 |
Investment in Vanguard | 20 |
Cash | 26 |
Cash Collateral Pledged—Futures Contracts | 70 |
Receivables for Accrued Income | 547 |
Receivables for Capital Shares Issued | 2,515 |
Total Assets | 596,009 |
Liabilities | |
Payables for Investment Securities Purchased | 2,774 |
Collateral for Securities on Loan | 426 |
Payables for Capital Shares Redeemed | 2 |
Payables to Vanguard | 38 |
Variation Margin Payable—Futures Contracts | 3 |
Total Liabilities | 3,243 |
Net Assets | 592,766 |
1 Includes $411,000 of securities on loan. | |
At August 31, 2023, net assets consisted of: | |
Paid-in Capital | 723,521 |
Total Distributable Earnings (Loss) | (130,755) |
Net Assets | 592,766 |
ETF Shares—Net Assets2 | |
Applicable to 5,900,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 592,766 |
Net Asset Value Per Share—ETF Shares | $100.47 |
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. |
Year Ended August 31, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 7,722 |
Interest2 | 24 |
Securities Lending—Net | 43 |
Total Income | 7,789 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 12 |
Management and Administrative | 626 |
Marketing and Distribution | 30 |
Custodian Fees | 24 |
Auditing Fees | 29 |
Shareholders’ Reports | 42 |
Trustees’ Fees and Expenses | — |
Other Expenses | 17 |
Total Expenses | 780 |
Net Investment Income | 7,009 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (58,215) |
Futures Contracts | (31) |
Realized Net Gain (Loss) | (58,246) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 78,703 |
Futures Contracts | 10 |
Change in Unrealized Appreciation (Depreciation) | 78,713 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 27,476 |
1 | Dividends are net of foreign withholding taxes of $15,000. |
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 $22,000, 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 $12,617,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended August 31, | ||
2023 ($000) | 2022 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,009 | 4,673 |
Realized Net Gain (Loss) | (58,246) | 19,847 |
Change in Unrealized Appreciation (Depreciation) | 78,713 | (121,602) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 27,476 | (97,082) |
Distributions | ||
Total Distributions | (6,513) | (5,133) |
Capital Share Transactions | ||
Issued | 129,942 | 232,231 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (51,267) | (202,342) |
Net Increase (Decrease) from Capital Share Transactions | 78,675 | 29,889 |
Total Increase (Decrease) | 99,638 | (72,326) |
Net Assets | ||
Beginning of Period | 493,128 | 565,454 |
End of Period | 592,766 | 493,128 |
ETF Shares | |||||
For a Share Outstanding Throughout Each Period1 | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $96.69 | $116.59 | $79.48 | $76.17 | $89.71 |
Investment Operations | |||||
Net Investment Income2 | 1.292 | .927 | .813 | .732 | .738 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.709 | (19.803) | 36.946 | 3.323 | (13.572) |
Total from Investment Operations | 5.001 | (18.876) | 37.759 | 4.055 | (12.834) |
Distributions | |||||
Dividends from Net Investment Income | (1.221) | (1.024) | (.649) | (.745) | (.706) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.221) | (1.024) | (.649) | (.745) | (.706) |
Net Asset Value, End of Period | $100.47 | $96.69 | $116.59 | $79.48 | $76.17 |
Total Return | 5.28% | -16.27% | 47.68% | 5.37% | -14.32% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $593 | $493 | $565 | $326 | $392 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.16% |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 0.87% | 0.79% | 0.97% | 0.94% |
Portfolio Turnover Rate3 | 45% | 42% | 35% | 57% | 47% |
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 | 591,897 | — | — | 591,897 |
Temporary Cash Investments | 934 | — | — | 934 |
Total | 592,831 | — | — | 592,831 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1 | — | — | 1 |
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) | |
Paid-in Capital | 12,610 |
Total Distributable Earnings (Loss) | (12,610) |
Amount ($000) | |
Undistributed Ordinary Income | 1,487 |
Undistributed Long-Term Gains | — |
Net Unrealized Gains (Losses) | 49,508 |
Capital Loss Carryforwards | (181,750) |
Qualified Late-Year Losses | — |
Other Temporary Differences | — |
Total | (130,755) |
Year Ended August 31, | ||
2023 Amount ($000) | 2022 Amount ($000) | |
Ordinary Income* | 6,513 | 5,133 |
Long-Term Capital Gains | — | — |
Total | 6,513 | 5,133 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 543,323 |
Gross Unrealized Appreciation | 105,293 |
Gross Unrealized Depreciation | (55,785) |
Net Unrealized Appreciation (Depreciation) | 49,508 |
Year Ended August 31, | |||
2023 Shares (000) | 2022 Shares (000) | ||
ETF Shares1 | |||
Issued | 1,350 | 2,100 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (550) | (1,850) | |
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 800 | 250 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Philadelphia, Pennsylvania
October 18, 2023
Fund | Percentage |
S&P Small-Cap 600 Index Fund | 77.5% |
S&P Small-Cap 600 Value Index Fund | 69.5 |
S&P Small-Cap 600 Growth Index Fund | 90.2 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 45,602 |
S&P Small-Cap 600 Value Index Fund | 17,924 |
S&P Small-Cap 600 Growth Index Fund | 6,039 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 38 |
S&P Small-Cap 600 Value Index Fund | 13 |
S&P Small-Cap 600 Growth Index Fund | 7 |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 7,247 |
S&P Small-Cap 600 Value Index Fund | 4,167 |
S&P Small-Cap 600 Growth Index Fund | 425 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. McIsaac | Lauren Valente |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended August 31, 2023: $261,000
Fiscal Year Ended August 31, 2022: $254,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2023: $9,326,156
Fiscal Year Ended August 31, 2022: $10,494,508
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2023: $3,295,934
Fiscal Year Ended August 31, 2022: $2,757,764
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2023: $1,678,928
Fiscal Year Ended August 31, 2022: $5,202,689
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2023: $25,000
Fiscal Year Ended August 31, 2022: $298,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2023: $1,703,928
Fiscal Year Ended August 31, 2022: $5,500,689
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. |
(a)(2) | Certifications filed herewith. |
(a)(2) | 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: October 19, 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: October 19, 2023
VANGUARD ADMIRAL FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: October 19, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.