Vanguard S&P Mid-Cap 400 Value Index Fund | |||
Schedule of Investments(unaudited) | |||
As of November 30, 2019 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Communication Services (1.5%) | |||
TEGNA Inc. | 233,341 | 3,582 | |
Cable One Inc. | 2,055 | 3,154 | |
Telephone & Data Systems Inc. | 105,082 | 2,492 | |
Cinemark Holdings Inc. | 63,148 | 2,139 | |
Meredith Corp. | 43,154 | 1,512 | |
* | AMC Networks Inc. Class A | 24,260 | 932 |
John Wiley & Sons Inc. Class A | 17,079 | 807 | |
14,618 | |||
Consumer Discretionary (11.6%) | |||
* | Caesars Entertainment Corp. | 598,583 | 7,806 |
Polaris Inc. | 61,882 | 6,046 | |
* | Skechers U.S.A. Inc. Class A | 144,054 | 5,794 |
Toll Brothers Inc. | 139,146 | 5,589 | |
Brunswick Corp. | 92,327 | 5,426 | |
Marriott Vacations Worldwide Corp. | 41,723 | 5,125 | |
Goodyear Tire & Rubber Co. | 250,431 | 4,004 | |
* | Murphy USA Inc. | 32,367 | 3,804 |
Thor Industries Inc. | 59,304 | 3,782 | |
Dick's Sporting Goods Inc. | 70,963 | 3,251 | |
* | AutoNation Inc. | 63,318 | 3,235 |
KB Home | 92,103 | 3,185 | |
Graham Holdings Co. Class B | 4,686 | 2,960 | |
* | Visteon Corp. | 30,107 | 2,816 |
Williams-Sonoma Inc. | 40,428 | 2,806 | |
Dunkin' Brands Group Inc. | 36,525 | 2,796 | |
Dana Inc. | 155,006 | 2,627 | |
American Eagle Outfitters Inc. | 171,055 | 2,561 | |
Boyd Gaming Corp. | 86,183 | 2,535 | |
Carter's Inc. | 23,611 | 2,439 | |
Foot Locker Inc. | 60,256 | 2,413 | |
* | TRI Pointe Group Inc. | 153,215 | 2,387 |
*,^ | Mattel Inc. | 189,797 | 2,221 |
Gentex Corp. | 74,090 | 2,104 | |
* | Adient plc | 93,775 | 2,050 |
^ | Bed Bath & Beyond Inc. | 137,616 | 2,006 |
Aaron's Inc. | 34,192 | 1,997 | |
Six Flags Entertainment Corp. | 44,781 | 1,947 | |
* | Tempur Sealy International Inc. | 21,819 | 1,852 |
Cracker Barrel Old Country Store Inc. | 11,653 | 1,792 | |
Wyndham Destinations Inc. | 34,764 | 1,686 | |
Texas Roadhouse Inc. Class A | 24,652 | 1,427 | |
* | Etsy Inc. | 27,245 | 1,182 |
* | Delphi Technologies plc | 93,819 | 1,169 |
* | Penn National Gaming Inc. | 49,268 | 1,135 |
Cheesecake Factory Inc. | 22,115 | 964 | |
* | Grubhub Inc. | 20,666 | 891 |
* | Sally Beauty Holdings Inc. | 48,047 | 885 |
^ | Dillard's Inc. Class A | 11,003 | 790 |
Jack in the Box Inc. | 9,431 | 748 |
Papa John's International Inc. | 11,580 | 733 |
110,966 | ||
Consumer Staples (3.8%) | ||
Casey's General Stores Inc. | 39,600 | 6,881 |
Ingredion Inc. | 71,869 | 5,977 |
Sanderson Farms Inc. | 21,235 | 3,516 |
* BJ's Wholesale Club Holdings Inc. | 131,104 | 3,107 |
* TreeHouse Foods Inc. | 60,530 | 2,959 |
* Sprouts Farmers Market Inc. | 127,206 | 2,519 |
Nu Skin Enterprises Inc. Class A | 59,825 | 2,288 |
Flowers Foods Inc. | 103,652 | 2,232 |
* Hain Celestial Group Inc. | 86,430 | 2,137 |
* Pilgrim's Pride Corp. | 56,388 | 1,776 |
Energizer Holdings Inc. | 33,817 | 1,687 |
* Edgewell Personal Care Co. | 29,755 | 927 |
36,006 | ||
Energy (2.2%) | ||
* WPX Energy Inc. | 454,919 | 4,476 |
World Fuel Services Corp. | 70,417 | 2,986 |
EQT Corp. | 275,172 | 2,402 |
Patterson-UTI Energy Inc. | 218,204 | 1,951 |
PBF Energy Inc. Class A | 59,269 | 1,855 |
* Transocean Ltd. | 334,458 | 1,666 |
^ Antero Midstream Corp. | 241,552 | 1,106 |
* Apergy Corp. | 40,880 | 1,044 |
Core Laboratories NV | 21,026 | 921 |
* Oasis Petroleum Inc. | 312,119 | 730 |
* Matador Resources Co. | 42,544 | 599 |
* Southwestern Energy Co. | 315,056 | 573 |
* Chesapeake Energy Corp. | 618,910 | 369 |
20,678 | ||
Financials (24.3%) | ||
* Alleghany Corp. | 15,542 | 12,123 |
Reinsurance Group of America Inc. Class A | 67,596 | 11,184 |
WR Berkley Corp. | 155,857 | 10,598 |
RenaissanceRe Holdings Ltd. | 47,564 | 8,958 |
American Financial Group Inc. | 80,403 | 8,821 |
First American Financial Corp. | 120,735 | 7,681 |
Prosperity Bancshares Inc. | 102,144 | 7,176 |
TCF Financial Corp. | 165,307 | 7,024 |
Old Republic International Corp. | 306,964 | 6,925 |
Synovus Financial Corp. | 157,833 | 6,012 |
New York Community Bancorp Inc. | 503,364 | 6,000 |
Cullen/Frost Bankers Inc. | 61,409 | 5,745 |
Jefferies Financial Group Inc. | 271,414 | 5,673 |
First Horizon National Corp. | 336,550 | 5,412 |
* Brighthouse Financial Inc. | 119,991 | 4,939 |
Webster Financial Corp. | 99,259 | 4,833 |
Pinnacle Financial Partners Inc. | 77,905 | 4,785 |
PacWest Bancorp | 127,312 | 4,741 |
Stifel Financial Corp. | 74,944 | 4,685 |
Janus Henderson Group plc | 171,320 | 4,351 |
United Bankshares Inc. | 109,721 | 4,155 |
Wintrust Financial Corp. | 61,055 | 4,146 |
Valley National Bancorp | 357,356 | 4,138 |
SEI Investments Co. | 61,486 | 3,968 |
Hancock Whitney Corp. | 97,698 | 3,967 |
Umpqua Holdings Corp. | 237,160 | 3,882 |
Bank OZK | 130,197 | 3,864 |
Associated Banc-Corp | 174,658 | 3,745 |
East West Bancorp Inc. | 78,308 | 3,588 |
Legg Mason Inc. | 87,825 | 3,432 |
Hanover Insurance Group Inc. | 24,709 | 3,359 |
Washington Federal Inc. | 85,517 | 3,148 |
Navient Corp. | 218,458 | 3,135 |
* Texas Capital Bancshares Inc. | 54,176 | 3,131 |
Fulton Financial Corp. | 179,075 | 3,073 |
CNO Financial Group Inc. | 168,007 | 3,044 |
Cathay General Bancorp | 81,667 | 3,007 |
Signature Bank | 23,580 | 2,909 |
Kemper Corp. | 38,444 | 2,842 |
International Bancshares Corp. | 62,230 | 2,640 |
Commerce Bancshares Inc. | 38,262 | 2,565 |
Trustmark Corp. | 69,362 | 2,383 |
FNB Corp. | 188,947 | 2,347 |
Sterling Bancorp | 110,502 | 2,256 |
Eaton Vance Corp. | 47,483 | 2,240 |
Bank of Hawaii Corp. | 23,191 | 2,090 |
Evercore Inc. Class A | 23,618 | 1,828 |
Federated Investors Inc. Class B | 53,837 | 1,805 |
Home BancShares Inc. | 92,256 | 1,736 |
BancorpSouth Bank | 52,437 | 1,631 |
Selective Insurance Group Inc. | 22,380 | 1,482 |
Interactive Brokers Group Inc. | 26,451 | 1,281 |
* Genworth Financial Inc. Class A | 298,140 | 1,181 |
Mercury General Corp. | 15,781 | 773 |
232,437 | ||
Health Care (3.6%) | ||
* United Therapeutics Corp. | 47,228 | 4,357 |
* Nektar Therapeutics Class A | 188,775 | 3,830 |
* Catalent Inc. | 67,627 | 3,516 |
* Charles River Laboratories International Inc. | 23,130 | 3,360 |
* Acadia Healthcare Co. Inc. | 95,344 | 3,066 |
* Exelixis Inc. | 159,856 | 2,659 |
* MEDNAX Inc. | 90,699 | 2,369 |
* Prestige Consumer Healthcare Inc. | 54,110 | 2,044 |
* Tenet Healthcare Corp. | 61,279 | 1,973 |
* Allscripts Healthcare Solutions Inc. | 179,490 | 1,935 |
Patterson Cos. Inc. | 92,619 | 1,803 |
Cantel Medical Corp. | 20,980 | 1,613 |
* Syneos Health Inc. | 28,087 | 1,542 |
34,067 | ||
Industrials (19.2%) | ||
Owens Corning | 117,172 | 7,858 |
* AECOM | 169,879 | 7,361 |
* Teledyne Technologies Inc. | 19,983 | 6,834 |
Oshkosh Corp. | 73,664 | 6,664 |
Watsco Inc. | 35,126 | 6,251 |
* Stericycle Inc. | 98,140 | 6,165 |
* JetBlue Airways Corp. | 319,088 | 6,149 |
ManpowerGroup Inc. | 64,450 | 5,971 |
Acuity Brands Inc. | 42,972 | 5,620 |
EMCOR Group Inc. | 60,459 | 5,377 |
AGCO Corp. | 68,154 | 5,325 |
Nordson Corp. | 31,412 | 5,209 |
Knight-Swift Transportation Holdings Inc. | 132,226 | 4,891 |
* XPO Logistics Inc. | 57,584 | 4,762 |
Old Dominion Freight Line Inc. | 22,749 | 4,359 |
* MasTec Inc. | 64,930 | 4,307 |
nVent Electric plc | 167,570 | 4,141 |
Timken Co. | 73,710 | 3,876 |
Graco Inc. | 73,659 | 3,558 |
Toro Co. | 44,778 | 3,501 |
Carlisle Cos. Inc. | 21,948 | 3,423 |
* Genesee & Wyoming Inc. Class A | 30,486 | 3,398 |
Hubbell Inc. Class B | 22,854 | 3,360 |
Valmont Industries Inc. | 23,299 | 3,335 |
Herman Miller Inc. | 63,602 | 3,039 |
* Colfax Corp. | 89,979 | 3,032 |
Ryder System Inc. | 57,443 | 3,015 |
* Kirby Corp. | 35,484 | 2,994 |
Lincoln Electric Holdings Inc. | 31,273 | 2,885 |
Donaldson Co. Inc. | 48,073 | 2,696 |
Tetra Tech Inc. | 30,018 | 2,650 |
Fluor Corp. | 150,704 | 2,628 |
Deluxe Corp. | 46,237 | 2,362 |
Brink's Co. | 25,310 | 2,354 |
Trinity Industries Inc. | 110,177 | 2,318 |
* FTI Consulting Inc. | 21,025 | 2,292 |
Terex Corp. | 70,548 | 1,980 |
* Clean Harbors Inc. | 23,248 | 1,921 |
* Trex Co. Inc. | 22,024 | 1,895 |
* Avis Budget Group Inc. | 63,011 | 1,875 |
Crane Co. | 22,501 | 1,869 |
HNI Corp. | 46,176 | 1,814 |
Regal Beloit Corp. | 21,679 | 1,772 |
* Dycom Industries Inc. | 33,918 | 1,765 |
Werner Enterprises Inc. | 47,695 | 1,753 |
* Mercury Systems Inc. | 23,896 | 1,750 |
GATX Corp. | 21,531 | 1,740 |
Landstar System Inc. | 15,366 | 1,712 |
MSC Industrial Direct Co. Inc. Class A | 22,782 | 1,672 |
Granite Construction Inc. | 50,447 | 1,300 |
* Resideo Technologies Inc. | 132,234 | 1,293 |
EnerSys | 15,099 | 1,060 |
KAR Auction Services Inc. | 43,135 | 911 |
Healthcare Services Group Inc. | 35,927 | 904 |
* NOW Inc. | 64,478 | 723 |
183,669 | ||
Information Technology (11.8%) | ||
* Arrow Electronics Inc. | 89,545 | 7,131 |
* CACI International Inc. Class A | 26,799 | 6,413 |
MKS Instruments Inc. | 58,682 | 6,237 |
Jabil Inc. | 149,884 | 5,821 |
* Tech Data Corp. | 38,345 | 5,556 |
SYNNEX Corp. | 44,008 | 5,405 |
Cognex Corp. | 93,742 | 4,704 |
Avnet Inc. | 111,601 | 4,537 |
* First Solar Inc. | 81,730 | 4,515 |
Science Applications International Corp. | 52,824 | 4,508 |
* NCR Corp. | 137,197 | 4,504 |
* Cirrus Logic Inc. | 62,620 | 4,490 |
Teradyne Inc. | 69,555 | 4,353 |
LogMeIn Inc. | 53,244 | 4,152 |
CDK Global Inc. | 77,016 | 4,124 |
Perspecta Inc. | 148,580 | 4,098 |
* Coherent Inc. | 25,829 | 3,897 |
Universal Display Corp. | 15,525 | 3,015 |
* Lumentum Holdings Inc. | 39,755 | 2,928 |
Vishay Intertechnology Inc. | 142,542 | 2,835 |
* II-VI Inc. | 93,314 | 2,724 |
KBR Inc. | 80,805 | 2,406 |
* ViaSat Inc. | 31,029 | 2,281 |
Belden Inc. | 41,610 | 2,236 |
* NetScout Systems Inc. | 71,898 | 1,812 |
* Ceridian HCM Holding Inc. | 29,861 | 1,802 |
* Manhattan Associates Inc. | 21,477 | 1,793 |
Blackbaud Inc. | 20,125 | 1,668 |
* SolarEdge Technologies Inc. | 17,567 | 1,434 |
* Synaptics Inc. | 15,599 | 892 |
InterDigital Inc. | 13,749 | 781 |
Plantronics Inc. | 14,675 | 372 |
113,424 | ||
Materials (7.8%) | ||
Reliance Steel & Aluminum Co. | 71,790 | 8,470 |
Steel Dynamics Inc. | 236,530 | 7,978 |
Sonoco Products Co. | 107,786 | 6,524 |
Ashland Global Holdings Inc. | 65,184 | 4,674 |
AptarGroup Inc. | 31,038 | 3,480 |
Olin Corp. | 176,952 | 3,100 |
Royal Gold Inc. | 25,420 | 2,981 |
Commercial Metals Co. | 127,007 | 2,713 |
Carpenter Technology Corp. | 51,335 | 2,699 |
Valvoline Inc. | 117,559 | 2,663 |
PolyOne Corp. | 82,791 | 2,610 |
Silgan Holdings Inc. | 83,818 | 2,582 |
United States Steel Corp. | 183,893 | 2,413 |
Domtar Corp. | 61,694 | 2,302 |
Louisiana-Pacific Corp. | 75,885 | 2,251 |
Eagle Materials Inc. | 22,177 | 2,041 |
Minerals Technologies Inc. | 37,763 | 2,039 |
Compass Minerals International Inc. | 36,494 | 2,017 |
* Ingevity Corp. | 19,385 | 1,751 |
Owens-Illinois Inc. | 167,425 | 1,654 |
Scotts Miracle-Gro Co. | 15,278 | 1,544 |
Sensient Technologies Corp. | 24,156 | 1,529 |
Worthington Industries Inc. | 39,915 | 1,529 |
NewMarket Corp. | 2,704 | 1,336 |
Cabot Corp. | 27,382 | 1,287 |
Greif Inc. Class A | 15,563 | 671 |
74,838 | ||
Real Estate (9.4%) | ||
Jones Lang LaSalle Inc. | 55,491 | 9,230 |
Kilroy Realty Corp. | 100,050 | 8,328 |
Camden Property Trust | 42,757 | 4,770 |
Liberty Property Trust | 76,467 | 4,712 |
Sabra Health Care REIT Inc. | 204,114 | 4,548 |
Service Properties Trust | 177,115 | 4,125 |
Douglas Emmett Inc. | 85,164 | 3,753 |
Brixmor Property Group Inc. | 163,604 | 3,589 |
Corporate Office Properties Trust | 120,573 | 3,518 |
Cousins Properties Inc. | 80,614 | 3,264 |
Lamar Advertising Co. Class A | 37,957 | 3,167 |
PotlatchDeltic Corp. | 72,362 | 3,143 |
Highwoods Properties Inc. | 58,090 | 2,820 |
Park Hotels & Resorts Inc. | 113,608 | 2,687 |
Spirit Realty Capital Inc. | 46,187 | 2,420 |
First Industrial Realty Trust Inc. | 47,681 | 2,030 |
EPR Properties | 28,400 | 2,014 |
Pebblebrook Hotel Trust | 74,567 | 1,954 |
Healthcare Realty Trust Inc. | 57,070 | 1,894 |
Senior Housing Properties Trust | 256,047 | 1,874 |
CoreSite Realty Corp. | 15,893 | 1,802 |
Rayonier Inc. | 57,241 | 1,753 |
Weingarten Realty Investors | 53,408 | 1,700 |
PS Business Parks Inc. | 9,274 | 1,638 |
Alexander & Baldwin Inc. | 73,137 | 1,586 |
JBG SMITH Properties | 38,136 | 1,521 |
Urban Edge Properties | 61,986 | 1,285 |
GEO Group Inc. | 75,746 | 1,050 |
CoreCivic Inc. | 66,705 | 1,011 |
^ Tanger Factory Outlet Centers Inc. | 58,447 | 890 |
Taubman Centers Inc. | 27,035 | 878 |
Mack-Cali Realty Corp. | 34,150 | 730 |
89,684 | ||
Utilities (4.6%) | ||
MDU Resources Group Inc. | 214,395 | 6,226 |
Aqua America Inc. | 125,497 | 5,556 |
ALLETE Inc. | 55,635 | 4,457 |
Southwest Gas Holdings Inc. | 58,508 | 4,433 |
PNM Resources Inc. | 85,790 | 4,156 |
New Jersey Resources Corp. | 96,910 | 4,123 |
OGE Energy Corp. | 94,864 | 3,990 |
Hawaiian Electric Industries Inc. | 59,859 | 2,614 |
IDACORP Inc. | 23,340 | 2,452 |
ONE Gas Inc. | 27,262 | 2,423 |
Spire Inc. | 30,644 | 2,372 |
NorthWestern Corp. | 22,818 | 1,633 |
44,435 | ||
Total Common Stocks (Cost $857,554) | 954,822 |
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.5%)1 | |||
Money Market Fund (0.5%) | |||
2,3 Vanguard Market Liquidity Fund(Cost $5,096) | 1.841% | 50,957 | 5,097 |
Total Investments (100.3%) (Cost $862,650) | 959,919 | ||
Other Assets and Liabilities-Net (-0.3%)3,4 | (3,056) | ||
Net Assets (100%) | 956,863 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,490,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 100.0% and 0.3%, respectively, of net assets.
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 $3,716,000 was received for securities on loan.
4 Cash with a value of $80,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Number of | Value and | |||
Long | Unrealized | |||
(Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | December 2019 | 10 | 2,010 | 75 |
A. Security Valuation: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4 p.m., Eastern time) on the
valuation date. Equity securities are valued at the latest quoted sales
prices or official closing prices taken from the primary market in which
each security trades; such securities not traded on the valuation date are
valued at the mean of the latest quoted bid and asked prices. Securities
for which market quotations are not readily available, or whose values have
been materially affected by events occurring before the fund's pricing time
but after the close of the securities’ primary markets, are valued by
methods deemed by the board of trustees to represent fair value.
Investments in Vanguard Market Liquidity Fund are valued at that fund's net
asset value.
S&P Mid-Cap 400 Value Index Fund
B. Futures Contracts: The fund uses index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock
market, maintaining liquidity, and minimizing transaction costs. The fund
may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a
fully invested position in the underlying index while maintaining a cash
balance for liquidity. The primary risks associated with the use of futures
contracts are imperfect correlation between changes in market values of
stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market. Counterparty risk involving futures is
mitigated because a regulated clearinghouse is the counterparty instead of
the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its
clearing brokers and clearinghouse, and has entered into clearing
agreements with its clearing brokers. The clearinghouse imposes initial
margin requirements to secure the fund’s performance and requires daily
settlement of variation margin representing changes in the market value of
each contract. Any assets pledged as initial margin for open contracts are
noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The
notional amounts of the contracts are not recorded in the Schedule of
Investments. Fluctuations in the value of the contracts are recorded as an
asset (liability).
C.Various inputs may be used to determine the value of the fund's
investments. These inputs are summarized in three broad levels for
financial statement purposes. The inputs or methodologies used to value
securities are not necessarily an indication of the risk associated with
investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments). Any
investments valued with significant unobservable inputs are noted on the
Schedule of Investments.
At November 30, 2019, 100% of the market value of the fund's investments
and derivatives was determined based on Level 1 inputs.