Vanguard S&P Mid-Cap 400 Growth Index Fund | |||
Schedule of Investments(unaudited) | |||
As of November 30, 2019 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Communication Services (3.0%) | |||
* | Live Nation Entertainment Inc. | 147,075 | 10,267 |
Cable One Inc. | 3,295 | 5,058 | |
New York Times Co. Class A | 151,953 | 4,900 | |
World Wrestling Entertainment Inc. Class A | 50,336 | 3,122 | |
* | Yelp Inc. Class A | 68,407 | 2,372 |
Cinemark Holdings Inc. | 50,773 | 1,720 | |
John Wiley & Sons Inc. Class A | 29,827 | 1,410 | |
* | AMC Networks Inc. Class A | 22,899 | 880 |
29,729 | |||
Consumer Discretionary (12.9%) | |||
Domino's Pizza Inc. | 43,613 | 12,835 | |
Pool Corp. | 42,220 | 8,716 | |
Service Corp. International | 192,875 | 8,490 | |
* | Five Below Inc. | 58,859 | 7,281 |
Wyndham Hotels & Resorts Inc. | 101,939 | 5,905 | |
Gentex Corp. | 196,662 | 5,585 | |
* | Deckers Outdoor Corp. | 30,566 | 5,141 |
Churchill Downs Inc. | 37,672 | 4,898 | |
* | Etsy Inc. | 100,715 | 4,370 |
* | Helen of Troy Ltd. | 26,572 | 4,289 |
Wendy's Co. | 195,246 | 4,186 | |
Dunkin' Brands Group Inc. | 51,650 | 3,954 | |
*,^ | Ollie's Bargain Outlet Holdings Inc. | 57,877 | 3,785 |
*,^ | Eldorado Resorts Inc. | 69,137 | 3,700 |
* | Grubhub Inc. | 76,379 | 3,293 |
Wyndham Destinations Inc. | 63,445 | 3,077 | |
Williams-Sonoma Inc. | 43,038 | 2,987 | |
Texas Roadhouse Inc. Class A | 44,990 | 2,605 | |
Carter's Inc. | 24,148 | 2,495 | |
* | Tempur Sealy International Inc. | 27,288 | 2,316 |
Foot Locker Inc. | 56,890 | 2,278 | |
Aaron's Inc. | 37,888 | 2,213 | |
^ | Cracker Barrel Old Country Store Inc. | 13,996 | 2,152 |
* | WW International Inc. | 49,145 | 2,127 |
*,^ | Mattel Inc. | 179,191 | 2,097 |
* | Adtalem Global Education Inc. | 58,128 | 1,961 |
* | Urban Outfitters Inc. | 74,651 | 1,916 |
Brinker International Inc. | 39,688 | 1,778 | |
Six Flags Entertainment Corp. | 39,023 | 1,697 | |
* | Scientific Games Corp. | 57,175 | 1,564 |
* | Penn National Gaming Inc. | 66,859 | 1,540 |
* | Sally Beauty Holdings Inc. | 80,374 | 1,481 |
Jack in the Box Inc. | 15,765 | 1,250 | |
Cheesecake Factory Inc. | 21,728 | 948 | |
Papa John's International Inc. | 11,833 | 749 | |
125,659 | |||
Consumer Staples (2.1%) | |||
* | Post Holdings Inc. | 72,641 | 7,671 |
* Boston Beer Co. Inc. Class A | 9,721 | 3,736 |
Lancaster Colony Corp. | 20,949 | 3,311 |
Flowers Foods Inc. | 101,855 | 2,193 |
Energizer Holdings Inc. | 34,587 | 1,725 |
* Edgewell Personal Care Co. | 28,088 | 875 |
Tootsie Roll Industries Inc. | 17,843 | 613 |
20,124 | ||
Energy (1.5%) | ||
Murphy Oil Corp. | 162,883 | 3,748 |
Equitrans Midstream Corp. | 215,927 | 2,153 |
PBF Energy Inc. Class A | 49,614 | 1,553 |
* Transocean Ltd. | 279,980 | 1,394 |
* CNX Resources Corp. | 198,508 | 1,372 |
Core Laboratories NV | 26,293 | 1,152 |
* Apergy Corp. | 41,810 | 1,068 |
* Matador Resources Co. | 74,271 | 1,046 |
* Southwestern Energy Co. | 263,371 | 479 |
^ Antero Midstream Corp. | 79,115 | 362 |
* Chesapeake Energy Corp. | 584,686 | 348 |
14,675 | ||
Financials (9.2%) | ||
FactSet Research Systems Inc. | 40,461 | 10,506 |
Brown & Brown Inc. | 246,945 | 9,320 |
Primerica Inc. | 44,287 | 5,927 |
First Financial Bankshares Inc. | 143,572 | 4,963 |
SEI Investments Co. | 73,843 | 4,765 |
Commerce Bancshares Inc. | 66,902 | 4,485 |
Signature Bank | 34,713 | 4,282 |
SLM Corp. | 450,703 | 3,845 |
FirstCash Inc. | 45,469 | 3,676 |
East West Bancorp Inc. | 76,780 | 3,518 |
Eaton Vance Corp. | 72,979 | 3,443 |
UMB Financial Corp. | 45,700 | 3,074 |
* LendingTree Inc. | 8,111 | 2,924 |
Selective Insurance Group Inc. | 40,842 | 2,705 |
Interactive Brokers Group Inc. | 55,234 | 2,675 |
Hanover Insurance Group Inc. | 17,582 | 2,390 |
Sterling Bancorp | 108,586 | 2,217 |
Kemper Corp. | 28,499 | 2,107 |
FNB Corp. | 158,162 | 1,964 |
Bank of Hawaii Corp. | 20,208 | 1,821 |
Federated Investors Inc. Class B | 48,834 | 1,637 |
BancorpSouth Bank | 47,566 | 1,479 |
Evercore Inc. Class A | 18,989 | 1,469 |
Home BancShares Inc. | 74,178 | 1,396 |
* Green Dot Corp. Class A | 50,457 | 1,199 |
* Genworth Financial Inc. Class A | 239,705 | 949 |
Mercury General Corp. | 13,197 | 646 |
RLI Corp. | 463 | 42 |
89,424 | ||
Health Care (16.2%) | ||
STERIS plc | 89,581 | 13,539 |
West Pharmaceutical Services Inc. | 78,017 | 11,471 |
* Molina Healthcare Inc. | 66,327 | 8,987 |
Bio-Techne Corp. | 40,262 | 8,787 |
* Bio-Rad Laboratories Inc. Class A | 22,733 | 8,397 |
* Masimo Corp. | 51,886 | 8,046 |
Hill-Rom Holdings Inc. | 70,662 | 7,576 |
Encompass Health Corp. | 104,318 | 7,376 |
Chemed Corp. | 16,839 | 7,241 |
* PRA Health Sciences Inc. | 66,404 | 7,225 |
* Haemonetics Corp. | 53,690 | 6,475 |
* Penumbra Inc. | 33,847 | 5,988 |
* Amedisys Inc. | 34,052 | 5,549 |
* HealthEquity Inc. | 74,741 | 4,700 |
* Integra LifeSciences Holdings Corp. | 75,135 | 4,583 |
* Catalent Inc. | 88,090 | 4,580 |
* Globus Medical Inc. | 81,119 | 4,539 |
* Repligen Corp. | 49,083 | 4,356 |
* LivaNova plc | 51,215 | 4,290 |
* Charles River Laboratories International Inc. | 28,926 | 4,202 |
* NuVasive Inc. | 55,082 | 3,979 |
* ICU Medical Inc. | 20,341 | 3,814 |
* Exelixis Inc. | 163,495 | 2,719 |
* Ligand Pharmaceuticals Inc. | 18,585 | 2,100 |
* Syneos Health Inc. | 38,114 | 2,093 |
* Avanos Medical Inc. | 50,494 | 1,750 |
* Tenet Healthcare Corp. | 49,268 | 1,586 |
Cantel Medical Corp. | 18,282 | 1,406 |
157,354 | ||
Industrials (14.2%) | ||
Lennox International Inc. | 37,268 | 9,535 |
Old Dominion Freight Line Inc. | 45,349 | 8,688 |
Woodward Inc. | 59,518 | 6,951 |
ITT Inc. | 93,036 | 6,492 |
* Teledyne Technologies Inc. | 18,852 | 6,447 |
Curtiss-Wright Corp. | 45,187 | 6,205 |
Carlisle Cos. Inc. | 38,309 | 5,976 |
Toro Co. | 68,821 | 5,380 |
Hubbell Inc. Class B | 35,090 | 5,159 |
Graco Inc. | 104,051 | 5,027 |
Donaldson Co. Inc. | 87,632 | 4,914 |
MSA Safety Inc. | 37,659 | 4,667 |
* Axon Enterprise Inc. | 62,712 | 4,628 |
Nordson Corp. | 23,285 | 3,861 |
* ASGN Inc. | 55,986 | 3,752 |
* Trex Co. Inc. | 40,192 | 3,459 |
* XPO Logistics Inc. | 40,975 | 3,388 |
* Genesee & Wyoming Inc. Class A | 29,956 | 3,339 |
Lincoln Electric Holdings Inc. | 34,653 | 3,197 |
Insperity Inc. | 40,973 | 3,187 |
Kennametal Inc. | 87,274 | 3,040 |
Landstar System Inc. | 26,843 | 2,991 |
Crane Co. | 31,818 | 2,643 |
Brink's Co. | 28,045 | 2,608 |
* Clean Harbors Inc. | 31,547 | 2,607 |
* Mercury Systems Inc. | 35,222 | 2,580 |
Tetra Tech Inc. | 28,340 | 2,502 |
* Kirby Corp. | 28,528 | 2,407 |
EnerSys | 30,124 | 2,114 |
KAR Auction Services Inc. | 98,884 | 2,088 |
* FTI Consulting Inc. | 19,070 | 2,079 |
Regal Beloit Corp. | 23,079 | 1,886 |
MSC Industrial Direct Co. Inc. Class A | 25,247 | 1,853 |
GATX Corp. | 16,625 | 1,344 |
Healthcare Services Group Inc. | 43,142 | 1,085 |
* NOW Inc. | 51,780 | 581 |
138,660 | ||
Information Technology (19.4%) | ||
* Zebra Technologies Corp. | 57,241 | 14,364 |
* Tyler Technologies Inc. | 40,811 | 11,842 |
* Fair Isaac Corp. | 30,562 | 11,239 |
* Trimble Inc. | 266,279 | 10,792 |
* WEX Inc. | 45,760 | 9,204 |
Cypress Semiconductor Corp. | 390,645 | 9,161 |
* PTC Inc. | 109,608 | 8,396 |
Teradyne Inc. | 111,513 | 6,980 |
Monolithic Power Systems Inc. | 42,513 | 6,831 |
Sabre Corp. | 289,411 | 6,492 |
* Ciena Corp. | 163,993 | 6,225 |
Universal Display Corp. | 29,614 | 5,752 |
National Instruments Corp. | 125,497 | 5,286 |
MAXIMUS Inc. | 67,533 | 5,041 |
* Cree Inc. | 113,217 | 5,005 |
* Silicon Laboratories Inc. | 45,873 | 4,859 |
j2 Global Inc. | 49,182 | 4,772 |
Littelfuse Inc. | 25,988 | 4,714 |
* ACI Worldwide Inc. | 123,523 | 4,632 |
* Ceridian HCM Holding Inc. | 75,450 | 4,554 |
Cognex Corp. | 88,503 | 4,441 |
* Manhattan Associates Inc. | 46,973 | 3,923 |
* LiveRamp Holdings Inc. | 71,586 | 3,586 |
* CoreLogic Inc. | 84,809 | 3,514 |
* Semtech Corp. | 70,412 | 3,412 |
* Teradata Corp. | 120,757 | 3,207 |
* Lumentum Holdings Inc. | 42,321 | 3,117 |
CDK Global Inc. | 52,591 | 2,816 |
* SolarEdge Technologies Inc. | 33,508 | 2,735 |
Blackbaud Inc. | 32,266 | 2,674 |
* ViaSat Inc. | 30,491 | 2,241 |
* CommVault Systems Inc. | 43,991 | 2,227 |
KBR Inc. | 70,412 | 2,096 |
* Synaptics Inc. | 19,505 | 1,115 |
InterDigital Inc. | 19,437 | 1,104 |
Plantronics Inc. | 19,917 | 505 |
188,854 | ||
Materials (4.3%) | ||
RPM International Inc. | 137,131 | 10,111 |
Royal Gold Inc. | 44,406 | 5,207 |
AptarGroup Inc. | 37,278 | 4,180 |
* Allegheny Technologies Inc. | 133,435 | 3,077 |
Chemours Co. | 173,020 | 2,732 |
Scotts Miracle-Gro Co. | 26,689 | 2,698 |
NewMarket Corp. | 5,158 | 2,548 |
* Ingevity Corp. | 25,251 | 2,280 |
Eagle Materials Inc. | 22,682 | 2,087 |
Valvoline Inc. | 83,651 | 1,895 |
Louisiana-Pacific Corp. | 56,256 | 1,669 |
Cabot Corp. | 34,247 | 1,609 |
Sensient Technologies Corp. | 21,051 | 1,332 |
Greif Inc. Class A | 12,495 | 539 |
41,964 | ||
Real Estate (12.8%) | ||
Medical Properties Trust Inc. | 524,941 | 10,898 |
National Retail Properties Inc. | 181,560 | 10,120 |
Omega Healthcare Investors Inc. | 229,065 | 9,628 |
CyrusOne Inc. | 119,716 | 7,458 |
American Campus Communities Inc. | 145,310 | 6,981 |
Camden Property Trust | 60,460 | 6,744 |
Liberty Property Trust | 91,756 | 5,654 |
EastGroup Properties Inc. | 39,712 | 5,408 |
Life Storage Inc. | 49,326 | 5,402 |
Lamar Advertising Co. Class A | 53,613 | 4,473 |
Douglas Emmett Inc. | 90,659 | 3,995 |
EPR Properties | 54,174 | 3,842 |
First Industrial Realty Trust Inc. | 87,013 | 3,705 |
JBG SMITH Properties | 87,444 | 3,487 |
Brixmor Property Group Inc. | 154,458 | 3,389 |
Park Hotels & Resorts Inc. | 141,752 | 3,352 |
Spirit Realty Capital Inc. | 60,155 | 3,152 |
Cousins Properties Inc. | 76,110 | 3,082 |
Healthcare Realty Trust Inc. | 80,704 | 2,679 |
CoreSite Realty Corp. | 23,426 | 2,656 |
Highwoods Properties Inc. | 52,693 | 2,558 |
Rayonier Inc. | 80,944 | 2,479 |
Weingarten Realty Investors | 75,524 | 2,405 |
PS Business Parks Inc. | 12,080 | 2,133 |
Pebblebrook Hotel Trust | 64,981 | 1,702 |
Uniti Group Inc. | 204,413 | 1,374 |
Mack-Cali Realty Corp. | 62,296 | 1,333 |
Urban Edge Properties | 60,917 | 1,263 |
Taubman Centers Inc. | 38,221 | 1,241 |
CoreCivic Inc. | 60,500 | 917 |
GEO Group Inc. | 53,889 | 747 |
^ Tanger Factory Outlet Centers Inc. | 41,562 | 633 |
124,890 | ||
Utilities (4.2%) | ||
UGI Corp. | 221,021 | 9,625 |
OGE Energy Corp. | 118,520 | 4,985 |
Black Hills Corp. | 64,560 | 4,943 |
Aqua America Inc. | 104,932 | 4,645 |
National Fuel Gas Co. | 91,351 | 4,113 |
IDACORP Inc. | 30,402 | 3,194 |
ONE Gas Inc. | 29,022 | 2,579 |
Hawaiian Electric Industries Inc. | 56,511 | 2,468 |
NorthWestern Corp. | 30,963 | 2,216 |
Spire Inc. | 23,661 | 1,832 |
40,600 | ||
Total Common Stocks (Cost $852,782) | 971,933 |
Market | ||||
Value | ||||
Coupon | Shares | ($000) | ||
Temporary Cash Investments (0.4%)1 | ||||
Money Market Fund (0.4%) | ||||
2,3 Vanguard Market Liquidity Fund | 1.841% | 35,128 | 3,513 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
4 United States Treasury Bill | 1.669% | 1/9/20 | 150 | 150 |
Total Temporary Cash Investments (Cost $3,662) | 3,663 | |||
Total Investments (100.2%) (Cost $856,444) | 975,596 | |||
Other Assets and Liabilities-Net (-0.2%)3 | (2,155) | |||
Net Assets (100%) | 973,441 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,874,000.
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 0.2%, 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 $4,013,000 was received for securities on loan.
4 Securities with a value of $59,000 have been segregated as initial margin for open futures contracts.
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 | 7 | 1,407 | 88 |
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
S&P Mid-Cap 400 Growth Index Fund
asset value. Temporary cash investments are valued using the latest bid
prices or using valuations based on a matrix system (which considers such
factors as security prices, yields, maturities, and ratings), both as
furnished by independent pricing services.
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.
S&P Mid-Cap 400 Growth Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of November 30, 2019, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 971,933 | — | — |
Temporary Cash Investments | 3,513 | 150 | — |
Futures Contracts—Liabilities1 | (15) | — | — |
Total | 975,431 | 150 | — |
1 Represents variation margin on the last day of the reporting period. |