Vanguard S&P Small-Cap 600 Value Index Fund | |||
Schedule of Investments(unaudited) | |||
As of November 30, 2019 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Communication Services (1.2%) | |||
Scholastic Corp. | 35,925 | 1,334 | |
* | Vonage Holdings Corp. | 139,931 | 1,107 |
Cogent Communications Holdings Inc. | 15,981 | 1,002 | |
Gannett Co. Inc. | 142,456 | 906 | |
* | Cincinnati Bell Inc. | 58,315 | 378 |
Spok Holdings Inc. | 20,667 | 254 | |
* | TechTarget Inc. | 9,384 | 249 |
* | Glu Mobile Inc. | 37,504 | 207 |
Consolidated Communications Holdings Inc. | 38,009 | 138 | |
*,^ | Frontier Communications Corp. | 122,479 | 83 |
5,658 | |||
Consumer Discretionary (15.6%) | |||
* | TopBuild Corp. | 39,833 | 4,393 |
Lithia Motors Inc. Class A | 26,039 | 4,181 | |
LCI Industries | 29,064 | 3,094 | |
* | Meritage Homes Corp. | 41,786 | 2,780 |
Bloomin' Brands Inc. | 100,942 | 2,428 | |
MDC Holdings Inc. | 57,557 | 2,278 | |
Group 1 Automotive Inc. | 20,263 | 2,089 | |
Steven Madden Ltd. | 48,022 | 2,040 | |
* | RH | 9,464 | 1,946 |
Winnebago Industries Inc. | 39,173 | 1,862 | |
* | Installed Building Products Inc. | 24,788 | 1,777 |
La-Z-Boy Inc. | 54,249 | 1,714 | |
* | LGI Homes Inc. | 23,212 | 1,678 |
Cooper Tire & Rubber Co. | 58,205 | 1,677 | |
Rent-A-Center Inc. | 56,730 | 1,477 | |
* | G-III Apparel Group Ltd. | 49,827 | 1,475 |
Core-Mark Holding Co. Inc. | 53,224 | 1,434 | |
* | M/I Homes Inc. | 32,045 | 1,419 |
Office Depot Inc. | 633,843 | 1,413 | |
* | Asbury Automotive Group Inc. | 11,929 | 1,322 |
* | American Axle & Manufacturing Holdings Inc. | 130,476 | 1,287 |
Abercrombie & Fitch Co. | 73,386 | 1,172 | |
Wolverine World Wide Inc. | 35,800 | 1,149 | |
Signet Jewelers Ltd. | 60,809 | 1,117 | |
Caleres Inc. | 49,122 | 1,075 | |
* | Garrett Motion Inc. | 86,885 | 1,005 |
Big Lots Inc. | 45,402 | 949 | |
Buckle Inc. | 33,231 | 925 | |
Sonic Automotive Inc. Class A | 28,218 | 924 | |
* | Universal Electronics Inc. | 16,157 | 898 |
* | Century Communities Inc. | 30,432 | 867 |
* | William Lyon Homes Class A | 38,273 | 799 |
* | Michaels Cos. Inc. | 94,004 | 769 |
Callaway Golf Co. | 33,829 | 703 | |
* | Zumiez Inc. | 23,625 | 698 |
^ | GameStop Corp. Class A | 105,172 | 667 |
Chico's FAS Inc. | 137,261 | 655 | |
* | Genesco Inc. | 16,542 | 614 |
* | Hibbett Sports Inc. | 20,822 | 591 |
Standard Motor Products Inc. | 11,622 | 585 | |
* | Cooper-Standard Holdings Inc. | 19,720 | 561 |
* | Vista Outdoor Inc. | 67,364 | 558 |
PetMed Express Inc. | 23,347 | 533 | |
Ethan Allen Interiors Inc. | 28,371 | 507 | |
* | Gentherm Inc. | 11,892 | 498 |
* | Conn's Inc. | 22,273 | 488 |
Cato Corp. Class A | 25,464 | 485 | |
Oxford Industries Inc. | 6,509 | 484 | |
Designer Brands Inc. Class A | 28,768 | 475 | |
* | Shutterstock Inc. | 10,859 | 452 |
* | Motorcar Parts of America Inc. | 22,013 | 429 |
Haverty Furniture Cos. Inc. | 21,206 | 426 | |
* | MarineMax Inc. | 25,089 | 416 |
* | Unifi Inc. | 16,999 | 414 |
* | Red Robin Gourmet Burgers Inc. | 15,089 | 412 |
* | Fossil Group Inc. | 53,952 | 404 |
* | Boot Barn Holdings Inc. | 9,970 | 397 |
*,^ | JC Penney Co. Inc. | 348,766 | 394 |
Tupperware Brands Corp. | 37,732 | 319 | |
Sturm Ruger & Co. Inc. | 6,910 | 315 | |
* | Express Inc. | 78,003 | 307 |
* | Vera Bradley Inc. | 27,323 | 302 |
*,^ | Lumber Liquidators Holdings Inc. | 33,157 | 295 |
* | Monarch Casino & Resort Inc. | 6,348 | 289 |
* | Barnes & Noble Education Inc. | 44,593 | 225 |
* | Chuy's Holdings Inc. | 6,803 | 196 |
* | Fiesta Restaurant Group Inc. | 12,708 | 126 |
Movado Group Inc. | 6,099 | 119 | |
* | Vitamin Shoppe Inc. | 18,249 | 118 |
70,870 | |||
Consumer Staples (4.5%) | |||
* | Darling Ingredients Inc. | 191,458 | 4,557 |
PriceSmart Inc. | 25,876 | 1,934 | |
Universal Corp. | 28,975 | 1,513 | |
Coca-Cola Consolidated Inc. | 5,401 | 1,459 | |
J&J Snack Foods Corp. | 6,754 | 1,250 | |
* | Central Garden & Pet Co. Class A | 47,444 | 1,187 |
Fresh Del Monte Produce Inc. | 35,376 | 1,157 | |
Vector Group Ltd. | 83,116 | 1,117 | |
Andersons Inc. | 37,982 | 877 | |
Cal-Maine Foods Inc. | 20,108 | 875 | |
SpartanNash Co. | 42,295 | 599 | |
Calavo Growers Inc. | 6,288 | 561 | |
* | United Natural Foods Inc. | 61,451 | 560 |
John B Sanfilippo & Son Inc. | 5,592 | 547 | |
^ | B&G Foods Inc. | 26,651 | 441 |
* | Chefs' Warehouse Inc. | 12,399 | 441 |
* | Central Garden & Pet Co. | 12,589 | 332 |
* | Seneca Foods Corp. Class A | 7,944 | 311 |
*,^ | National Beverage Corp. | 5,931 | 294 |
* | USANA Health Sciences Inc. | 3,579 | 263 |
MGP Ingredients Inc. | 5,688 | 260 | |
20,535 | |||
Energy (4.2%) | |||
* | Dril-Quip Inc. | 42,057 | 1,777 |
* | PDC Energy Inc. | 68,373 | 1,554 |
* | Oceaneering International Inc. | 114,850 | 1,540 |
* | Helix Energy Solutions Group Inc. | 164,109 | 1,362 |
* | Oil States International Inc. | 70,268 | 1,120 |
* | Par Pacific Holdings Inc. | 42,629 | 1,061 |
SM Energy Co. | 123,282 | 1,024 | |
* | SRC Energy Inc. | 283,021 | 1,010 |
* | SEACOR Holdings Inc. | 20,305 | 860 |
Range Resources Corp. | 242,684 | 847 | |
* | Matrix Service Co. | 31,594 | 662 |
* | Newpark Resources Inc. | 104,432 | 612 |
Green Plains Inc. | 39,222 | 598 | |
* | REX American Resources Corp. | 6,490 | 596 |
* | Laredo Petroleum Inc. | 209,287 | 452 |
*,^ | Diamond Offshore Drilling Inc. | 75,521 | 427 |
US Silica Holdings Inc. | 85,278 | 420 | |
Nabors Industries Ltd. | 200,057 | 412 | |
* | Gulfport Energy Corp. | 168,575 | 400 |
* | Talos Energy Inc. | 13,991 | 325 |
* | Geospace Technologies Corp. | 15,805 | 228 |
* | CONSOL Energy Inc. | 17,433 | 222 |
* | Bonanza Creek Energy Inc. | 10,397 | 182 |
* | TETRA Technologies Inc. | 145,491 | 179 |
* | Noble Corp. plc | 165,832 | 176 |
* | Exterran Corp. | 32,650 | 176 |
*,^ | McDermott International Inc. | 209,869 | 168 |
RPC Inc. | 39,723 | 153 | |
* | Ring Energy Inc. | 69,465 | 133 |
* | Jagged Peak Energy Inc. | 19,765 | 132 |
* | Era Group Inc. | 12,104 | 116 |
* | Whiting Petroleum Corp. | 23,540 | 108 |
* | Unit Corp. | 35,406 | 30 |
19,062 | |||
Financials (21.7%) | |||
Simmons First National Corp. Class A | 132,435 | 3,431 | |
Ameris Bancorp | 75,922 | 3,314 | |
Columbia Banking System Inc. | 84,718 | 3,311 | |
Apollo Commercial Real Estate Finance Inc. | 165,871 | 3,030 | |
United Community Banks Inc. | 91,859 | 2,848 | |
First Financial Bancorp | 114,452 | 2,783 | |
Invesco Mortgage Capital Inc. | 165,887 | 2,694 | |
PennyMac Mortgage Investment Trust | 102,062 | 2,357 | |
ProAssurance Corp. | 62,495 | 2,350 | |
Pacific Premier Bancorp Inc. | 70,166 | 2,248 | |
Banner Corp. | 40,200 | 2,196 | |
Walker & Dunlop Inc. | 33,224 | 2,181 | |
Hope Bancorp Inc. | 147,055 | 2,134 | |
Horace Mann Educators Corp. | 47,890 | 2,079 | |
NBT Bancorp Inc. | 50,901 | 2,036 | |
Northwest Bancshares Inc. | 116,344 | 1,936 | |
* | PRA Group Inc. | 52,717 | 1,932 |
Eagle Bancorp Inc. | 40,193 | 1,785 |
CVB Financial Corp. | 81,866 | 1,749 |
Provident Financial Services Inc. | 70,316 | 1,710 |
* American Equity Investment Life Holding Co. | 55,980 | 1,664 |
Safety Insurance Group Inc. | 16,998 | 1,660 |
First Commonwealth Financial Corp. | 114,265 | 1,624 |
Berkshire Hills Bancorp Inc. | 50,806 | 1,603 |
Employers Holdings Inc. | 37,012 | 1,590 |
Flagstar Bancorp Inc. | 40,087 | 1,494 |
Cadence BanCorp Class A | 88,436 | 1,460 |
Meta Financial Group Inc. | 40,439 | 1,438 |
* NMI Holdings Inc. Class A | 41,809 | 1,403 |
James River Group Holdings Ltd. | 35,249 | 1,394 |
Piper Jaffray Cos. | 16,526 | 1,337 |
First BanCorp | 123,467 | 1,296 |
Southside Bancshares Inc. | 36,807 | 1,292 |
First Midwest Bancorp Inc. | 57,678 | 1,244 |
Great Western Bancorp Inc. | 35,668 | 1,226 |
Stewart Information Services Corp. | 27,560 | 1,179 |
* Encore Capital Group Inc. | 32,104 | 1,171 |
Boston Private Financial Holdings Inc. | 97,507 | 1,145 |
New York Mortgage Trust Inc. | 180,657 | 1,125 |
ServisFirst Bancshares Inc. | 30,473 | 1,108 |
* Ambac Financial Group Inc. | 52,891 | 1,101 |
* Axos Financial Inc. | 31,578 | 930 |
* Enova International Inc. | 39,530 | 910 |
FGL Holdings | 98,696 | 901 |
* Third Point Reinsurance Ltd. | 92,938 | 888 |
Capstead Mortgage Corp. | 111,913 | 871 |
Northfield Bancorp Inc. | 50,446 | 853 |
Oritani Financial Corp. | 44,415 | 826 |
Banc of California Inc. | 52,228 | 802 |
* Customers Bancorp Inc. | 33,421 | 781 |
S&T Bancorp Inc. | 20,170 | 761 |
* INTL. FCStone Inc. | 18,937 | 757 |
Dime Community Bancshares Inc. | 35,908 | 724 |
Hanmi Financial Corp. | 35,879 | 704 |
Brookline Bancorp Inc. | 43,479 | 698 |
OFG Bancorp | 32,310 | 693 |
Waddell & Reed Financial Inc. Class A | 42,464 | 686 |
Tompkins Financial Corp. | 7,619 | 661 |
Opus Bank | 25,335 | 651 |
Granite Point Mortgage Trust Inc. | 32,329 | 587 |
National Bank Holdings Corp. Class A | 14,823 | 531 |
Franklin Financial Network Inc. | 15,495 | 529 |
ARMOUR Residential REIT Inc. | 30,382 | 524 |
Heritage Financial Corp. | 18,840 | 520 |
Veritex Holdings Inc. | 19,295 | 502 |
AMERISAFE Inc. | 7,413 | 501 |
Preferred Bank | 8,931 | 493 |
TrustCo Bank Corp. NY | 55,370 | 486 |
Central Pacific Financial Corp. | 15,839 | 460 |
* HomeStreet Inc. | 14,184 | 453 |
Virtus Investment Partners Inc. | 3,557 | 419 |
* Donnelley Financial Solutions Inc. | 36,368 | 365 |
KKR Real Estate Finance Trust Inc. | 17,315 | 350 |
* EZCORP Inc. Class A | 60,520 | 310 |
United Insurance Holdings Corp. | 23,998 | 305 |
* World Acceptance Corp. | 2,893 | 275 |
* Allegiance Bancshares Inc. | 6,999 | 251 |
WisdomTree Investments Inc. | 49,214 | 239 |
Greenhill & Co. Inc. | 6,736 | 115 |
98,970 | ||
Health Care (5.2%) | ||
* Select Medical Holdings Corp. | 126,080 | 2,788 |
* Magellan Health Inc. | 25,223 | 1,961 |
* Medicines Co. | 21,433 | 1,805 |
* LHC Group Inc. | 12,379 | 1,651 |
* Emergent BioSolutions Inc. | 19,867 | 1,090 |
* Myriad Genetics Inc. | 40,287 | 1,037 |
* Anika Therapeutics Inc. | 16,006 | 925 |
* Covetrus Inc. | 62,272 | 891 |
* Providence Service Corp. | 13,433 | 802 |
* Pacira BioSciences Inc. | 15,928 | 736 |
* Inogen Inc. | 9,307 | 685 |
* Cambrex Corp. | 11,380 | 683 |
* Momenta Pharmaceuticals Inc. | 39,160 | 658 |
* Hanger Inc. | 20,891 | 547 |
* Varex Imaging Corp. | 17,814 | 533 |
* Natus Medical Inc. | 16,584 | 531 |
* Cross Country Healthcare Inc. | 42,958 | 519 |
Owens & Minor Inc. | 73,024 | 483 |
* RadNet Inc. | 24,117 | 462 |
* AMAG Pharmaceuticals Inc. | 39,248 | 418 |
* HealthStream Inc. | 12,841 | 374 |
* Orthofix Medical Inc. | 7,774 | 353 |
* Diplomat Pharmacy Inc. | 66,483 | 342 |
* Lannett Co. Inc. | 38,816 | 342 |
Invacare Corp. | 38,992 | 340 |
* Cutera Inc. | 8,706 | 333 |
* Lantheus Holdings Inc. | 15,471 | 323 |
* OraSure Technologies Inc. | 39,712 | 322 |
Phibro Animal Health Corp. Class A | 12,435 | 302 |
* Cytokinetics Inc. | 31,144 | 301 |
LeMaitre Vascular Inc. | 7,530 | 268 |
* Community Health Systems Inc. | 77,629 | 248 |
* Akorn Inc. | 65,603 | 240 |
Computer Programs & Systems Inc. | 7,590 | 202 |
* Acorda Therapeutics Inc. | 30,492 | 49 |
23,544 | ||
Industrials (18.1%) | ||
SkyWest Inc. | 59,125 | 3,704 |
Universal Forest Products Inc. | 71,296 | 3,536 |
Moog Inc. Class A | 37,761 | 3,243 |
ABM Industries Inc. | 77,154 | 2,931 |
* Saia Inc. | 30,091 | 2,856 |
* SPX FLOW Inc. | 49,480 | 2,345 |
Arcosa Inc. | 56,255 | 2,206 |
Mueller Industries Inc. | 65,871 | 2,068 |
Simpson Manufacturing Co. Inc. | 24,102 | 1,957 |
John Bean Technologies Corp. | 17,670 | 1,936 |
* American Woodmark Corp. | 18,101 | 1,863 |
Barnes Group Inc. | 31,466 | 1,862 |
Watts Water Technologies Inc. Class A | 16,699 | 1,619 |
EnPro Industries Inc. | 23,967 | 1,591 |
Hillenbrand Inc. | 49,761 | 1,573 |
* GMS Inc. | 48,453 | 1,500 |
Viad Corp. | 23,628 | 1,486 |
Encore Wire Corp. | 24,331 | 1,419 |
Matthews International Corp. Class A | 36,565 | 1,402 |
Alamo Group Inc. | 11,246 | 1,291 |
* Patrick Industries Inc. | 26,035 | 1,289 |
Applied Industrial Technologies Inc. | 20,140 | 1,286 |
* Chart Industries Inc. | 22,426 | 1,238 |
Apogee Enterprises Inc. | 30,798 | 1,178 |
Interface Inc. Class A | 67,886 | 1,140 |
Kaman Corp. | 17,807 | 1,132 |
Standex International Corp. | 14,466 | 1,116 |
* Hub Group Inc. Class A | 21,739 | 1,110 |
* TrueBlue Inc. | 46,476 | 1,083 |
Greenbrier Cos. Inc. | 37,755 | 1,062 |
Griffon Corp. | 49,466 | 1,050 |
Brady Corp. Class A | 18,366 | 1,047 |
* CIRCOR International Inc. | 23,145 | 1,027 |
Korn Ferry | 26,007 | 1,022 |
Cubic Corp. | 17,057 | 1,016 |
Federal Signal Corp. | 30,807 | 1,015 |
Wabash National Corp. | 63,329 | 997 |
Comfort Systems USA Inc. | 19,281 | 985 |
Astec Industries Inc. | 26,208 | 982 |
Marten Transport Ltd. | 45,088 | 953 |
Pitney Bowes Inc. | 198,760 | 936 |
Triumph Group Inc. | 33,780 | 936 |
Hawaiian Holdings Inc. | 30,270 | 917 |
AAR Corp. | 19,962 | 892 |
ArcBest Corp. | 29,574 | 851 |
Kelly Services Inc. Class A | 38,554 | 845 |
Forward Air Corp. | 11,847 | 830 |
Tennant Co. | 10,973 | 817 |
AAON Inc. | 16,479 | 814 |
* Atlas Air Worldwide Holdings Inc. | 30,017 | 783 |
* Aegion Corp. Class A | 35,818 | 776 |
Quanex Building Products Corp. | 38,602 | 751 |
Actuant Corp. Class A | 30,520 | 750 |
* Gibraltar Industries Inc. | 14,245 | 744 |
* MYR Group Inc. | 19,326 | 664 |
* Echo Global Logistics Inc. | 31,820 | 637 |
Lindsay Corp. | 6,876 | 620 |
* Team Inc. | 35,113 | 568 |
Resources Connection Inc. | 34,965 | 540 |
Heartland Express Inc. | 21,808 | 467 |
* PGT Innovations Inc. | 31,221 | 449 |
Powell Industries Inc. | 10,245 | 426 |
* Lydall Inc. | 20,438 | 381 |
AZZ Inc. | 8,789 | 335 |
RR Donnelley & Sons Co. | 81,673 | 324 |
Heidrick & Struggles International Inc. | 10,413 | 323 |
* Veritiv Corp. | 14,802 | 271 |
Briggs & Stratton Corp. | 48,802 | 261 |
Insteel Industries Inc. | 9,601 | 224 |
Park Aerospace Corp. | 10,889 | 178 |
Titan International Inc. | 58,575 | 172 |
82,598 | ||
Information Technology (14.1%) | ||
* Itron Inc. | 40,794 | 3,267 |
* Anixter International Inc. | 34,864 | 2,993 |
* Insight Enterprises Inc. | 41,569 | 2,726 |
* Plexus Corp. | 34,016 | 2,582 |
* Sanmina Corp. | 80,837 | 2,571 |
ManTech International Corp. Class A | 31,143 | 2,416 |
* FormFactor Inc. | 87,389 | 2,022 |
Kulicke & Soffa Industries Inc. | 73,730 | 1,850 |
* Rambus Inc. | 129,210 | 1,686 |
* Advanced Energy Industries Inc. | 25,840 | 1,659 |
* ExlService Holdings Inc. | 23,053 | 1,609 |
Methode Electronics Inc. | 43,149 | 1,606 |
* Sykes Enterprises Inc. | 44,997 | 1,581 |
* TTM Technologies Inc. | 113,834 | 1,527 |
Benchmark Electronics Inc. | 43,769 | 1,509 |
* Qualys Inc. | 15,268 | 1,336 |
CSG Systems International Inc. | 21,890 | 1,252 |
Power Integrations Inc. | 12,922 | 1,182 |
* Diodes Inc. | 24,919 | 1,150 |
TiVo Corp. | 146,084 | 1,141 |
Xperi Corp. | 57,254 | 1,133 |
* OSI Systems Inc. | 11,202 | 1,114 |
Comtech Telecommunications Corp. | 28,044 | 1,060 |
* Knowles Corp. | 47,687 | 1,044 |
* ScanSource Inc. | 29,342 | 1,039 |
* Ultra Clean Holdings Inc. | 45,849 | 1,020 |
* Fabrinet | 16,713 | 1,011 |
* LivePerson Inc. | 25,467 | 1,011 |
Badger Meter Inc. | 15,916 | 987 |
NIC Inc. | 41,899 | 951 |
* Rogers Corp. | 7,116 | 925 |
* Photronics Inc. | 78,124 | 919 |
* NETGEAR Inc. | 36,153 | 908 |
* Ichor Holdings Ltd. | 25,996 | 820 |
EVERTEC Inc. | 24,911 | 808 |
* Veeco Instruments Inc. | 56,944 | 780 |
TTEC Holdings Inc. | 16,737 | 769 |
* Alarm.com Holdings Inc. | 16,886 | 737 |
Progress Software Corp. | 16,569 | 696 |
* MicroStrategy Inc. Class A | 4,496 | 676 |
* ePlus Inc. | 7,693 | 643 |
* Digi International Inc. | 32,801 | 585 |
* MaxLinear Inc. | 29,405 | 584 |
MTS Systems Corp. | 11,738 | 533 |
* PDF Solutions Inc. | 32,333 | 512 |
ADTRAN Inc. | 55,711 | 512 |
* Extreme Networks Inc. | 70,135 | 493 |
* FARO Technologies Inc. | 9,693 | 472 |
Cohu Inc. | 26,277 | 466 |
* Axcelis Technologies Inc. | 19,957 | 428 |
Ebix Inc. | 11,372 | 396 |
* CEVA Inc. | 14,268 | 370 |
* Diebold Nixdorf Inc. | 48,296 | 351 |
Daktronics Inc. | 43,145 | 266 |
*,^ | Applied Optoelectronics Inc. | 22,285 | 238 |
* | OneSpan Inc. | 12,507 | 233 |
Bel Fuse Inc. Class B | 11,907 | 197 | |
* | DSP Group Inc. | 13,443 | 190 |
* | Arlo Technologies Inc. | 50,291 | 174 |
* | CalAmp Corp. | 15,193 | 159 |
* | SMART Global Holdings Inc. | 4,388 | 135 |
64,010 | |||
Materials (6.2%) | |||
HB Fuller Co. | 59,131 | 2,949 | |
Stepan Co. | 23,322 | 2,260 | |
Boise Cascade Co. | 45,330 | 1,719 | |
Balchem Corp. | 16,933 | 1,687 | |
Schweitzer-Mauduit International Inc. | 35,948 | 1,577 | |
Neenah Inc. | 19,565 | 1,424 | |
Trinseo SA | 35,429 | 1,346 | |
* | Livent Corp. | 169,421 | 1,321 |
^ | Cleveland-Cliffs Inc. | 153,513 | 1,226 |
PH Glatfelter Co. | 51,416 | 918 | |
* | Ferro Corp. | 61,930 | 893 |
* | Koppers Holdings Inc. | 24,054 | 891 |
* | Kraton Corp. | 36,945 | 832 |
* | GCP Applied Technologies Inc. | 36,811 | 823 |
* | US Concrete Inc. | 18,393 | 753 |
Innophos Holdings Inc. | 22,854 | 729 | |
Myers Industries Inc. | 41,311 | 684 | |
* | AdvanSix Inc. | 32,355 | 654 |
Tredegar Corp. | 28,750 | 619 | |
Mercer International Inc. | 46,429 | 582 | |
Haynes International Inc. | 14,506 | 533 | |
Warrior Met Coal Inc. | 25,126 | 516 | |
American Vanguard Corp. | 30,979 | 499 | |
Materion Corp. | 8,306 | 489 | |
* | Clearwater Paper Corp. | 19,095 | 418 |
* | Century Aluminum Co. | 57,844 | 408 |
* | AK Steel Holding Corp. | 147,611 | 407 |
* | TimkenSteel Corp. | 46,086 | 268 |
Rayonier Advanced Materials Inc. | 57,970 | 227 | |
Olympic Steel Inc. | 10,614 | 178 | |
FutureFuel Corp. | 14,597 | 164 | |
* | LSB Industries Inc. | 25,146 | 100 |
*,§ | A Schulman Inc. CVR | 29,338 | 13 |
28,107 | |||
Real Estate (6.8%) | |||
Lexington Realty Trust Class B | 287,801 | 3,189 | |
Xenia Hotels & Resorts Inc. | 130,927 | 2,757 | |
Retail Opportunity Investments Corp. | 132,769 | 2,422 | |
Kite Realty Group Trust | 97,548 | 1,888 | |
Washington REIT | 51,125 | 1,588 | |
Independence Realty Trust Inc. | 104,917 | 1,567 | |
Summit Hotel Properties Inc. | 122,013 | 1,479 | |
^ | Realogy Holdings Corp. | 132,836 | 1,391 |
Global Net Lease Inc. | 60,339 | 1,230 | |
American Assets Trust Inc. | 24,378 | 1,159 | |
Acadia Realty Trust | 42,173 | 1,134 | |
Franklin Street Properties Corp. | 124,593 | 1,085 |
Chatham Lodging Trust | 54,662 | 1,000 | |
iStar Inc. | 68,727 | 893 | |
DiamondRock Hospitality Co. | 86,191 | 888 | |
Essential Properties Realty Trust Inc. | 33,852 | 883 | |
Office Properties Income Trust | 25,810 | 861 | |
RE/MAX Holdings Inc. Class A | 20,760 | 796 | |
LTC Properties Inc. | 14,790 | 692 | |
Whitestone REIT | 46,731 | 656 | |
Universal Health Realty Income Trust | 5,452 | 650 | |
Hersha Hospitality Trust Class A | 42,372 | 601 | |
Getty Realty Corp. | 16,616 | 558 | |
RPT Realty | 34,666 | 512 | |
^ Pennsylvania REIT | 69,591 | 401 | |
CBL & Associates Properties Inc. | 200,554 | 289 | |
Saul Centers Inc. | 5,164 | 274 | |
Cedar Realty Trust Inc. | 99,227 | 265 | |
31,108 | |||
Utilities (2.2%) | |||
South Jersey Industries Inc. | 107,343 | 3,353 | |
Avista Corp. | 40,658 | 1,922 | |
El Paso Electric Co. | 22,234 | 1,508 | |
California Water Service Group | 24,005 | 1,234 | |
American States Water Co. | 13,711 | 1,170 | |
Northwest Natural Holding Co. | 11,995 | 825 | |
10,012 | |||
Total Common Stocks (Cost $437,781) | 454,474 | ||
Coupon | |||
Temporary Cash Investment (1.0%)1 | |||
Money Market Fund (1.0%) | |||
2,3 Vanguard Market Liquidity Fund(Cost | |||
$4,544) | 1.841% | 45,442 | 4,545 |
Total Investments (100.8%) (Cost $442,325) | 459,019 | ||
Other Assets and Liabilities-Net (-0.8%)3,4 | (3,856) | ||
Net Assets (100%) | 455,163 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,846,000.
§ Security value determined using significant unobservable inputs.
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 99.9% and 0.9%, 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 $4,518,000 was received for securities on loan.
4 Cash of $22,000 has been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
S&P Small-Cap 600 Value Index Fund | ||||
Derivative Financial Instruments Outstanding as of Period End | ||||
Futures Contracts | ||||
($000) | ||||
Value and | ||||
Number of | Unrealized | |||
Long (Short) | Notional | Appreciation | ||
Expiration | Contracts | Amount | (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | December 2019 | 6 | 487 | 17 |
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.
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 Small-Cap 600 Value 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 | 454,461 | — | 13 |
Temporary Cash Investments | 4,545 | — | — |
Futures Contracts—Liabilities1 | (3) | — | — |
Total | 459,003 | — | 13 |
1 Represents variation margin on the last day of the reporting period. |