Vanguard S&P Mid-Cap 400 Index Fund
Schedule of Investments (unaudited)
As of May 31, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (99.6%) | ||||||
Communication Services (1.9%) | ||||||
Cable One Inc. | 6,442 | 12,155 | ||||
New York Times Co. Class A | 184,267 | 7,229 | ||||
TEGNA Inc. | 278,024 | 3,259 | ||||
World Wrestling Entertainment Inc. Class A | 60,818 | 2,814 | ||||
TripAdvisor Inc. | 134,611 | 2,595 | ||||
Telephone & Data Systems Inc. | 125,201 | 2,565 | ||||
John Wiley & Sons Inc. Class A | 56,075 | 2,254 | ||||
Cinemark Holdings Inc. | 136,650 | 2,054 | ||||
* | Yelp Inc. Class A | 81,966 | 1,782 | |||
* | AMC Networks Inc. Class A | 56,656 | 1,602 | |||
38,309 | ||||||
Consumer Discretionary (13.4%) | ||||||
Pool Corp. | 51,323 | 13,807 | ||||
* | Etsy Inc. | 151,886 | 12,300 | |||
Service Corp. International | 234,297 | 9,238 | ||||
Gentex Corp. | 324,249 | 8,573 | ||||
Williams-Sonoma Inc. | 99,490 | 8,279 | ||||
* | Caesars Entertainment Corp. | 715,429 | 8,149 | |||
Lear Corp. | 70,535 | 7,480 | ||||
* | Five Below Inc. | 71,365 | 7,468 | |||
Dunkin' Brands Group Inc. | 106,195 | 6,783 | ||||
* | Grubhub Inc. | 117,224 | 6,651 | |||
* | Deckers Outdoor Corp. | 35,863 | 6,546 | |||
Polaris Inc. | 73,710 | 6,438 | ||||
*,1 | Ollie's Bargain Outlet Holdings Inc. | 70,100 | 6,411 | |||
Thor Industries Inc. | 70,756 | 6,099 | ||||
* | Grand Canyon Education Inc. | 61,817 | 6,033 | |||
Churchill Downs Inc. | 45,443 | 6,029 | ||||
* | Helen of Troy Ltd. | 32,259 | 5,869 | |||
Brunswick Corp. | 104,570 | 5,752 | ||||
Wyndham Hotels & Resorts Inc. | 121,999 | 5,603 | ||||
* | Skechers U.S.A. Inc. Class A | 171,675 | 5,377 | |||
*,1 | Penn National Gaming Inc. | 161,450 | 5,297 | |||
Wendy's Co. | 235,907 | 5,015 | ||||
Toll Brothers Inc. | 154,756 | 5,000 | ||||
Carter's Inc. | 56,592 | 4,862 | ||||
* | RH | 20,943 | 4,542 | |||
Texas Roadhouse Inc. Class A | 83,634 | 4,336 | ||||
Marriott Vacations Worldwide Corp. | 47,964 | 4,309 | ||||
* | Murphy USA Inc. | 37,065 | 4,303 | |||
* | Mattel Inc. | 444,437 | 4,093 |
Shares | Market Value ($000) | |||||
Foot Locker Inc. | 137,215 | 3,801 | ||||
* | Tempur Sealy International Inc. | 58,248 | 3,800 | |||
Wyndham Destinations Inc. | 116,274 | 3,698 | ||||
KB Home | 109,834 | 3,633 | ||||
Cracker Barrel Old Country Store Inc. | 30,842 | 3,304 | ||||
Choice Hotels International Inc. | 40,716 | 3,291 | ||||
* | Taylor Morrison Home Corp. Class A | 169,571 | 3,278 | |||
Aaron's Inc. | 86,083 | 3,177 | ||||
* | AutoNation Inc. | 75,480 | 2,980 | |||
*,1 | Eldorado Resorts Inc. | 83,713 | 2,968 | |||
Dick's Sporting Goods Inc. | 81,465 | 2,938 | ||||
Columbia Sportswear Co. | 37,198 | 2,718 | ||||
* | Visteon Corp. | 35,796 | 2,577 | |||
* | TRI Pointe Group Inc. | 178,172 | 2,551 | |||
Dana Inc. | 184,486 | 2,332 | ||||
Six Flags Entertainment Corp. | 100,632 | 2,313 | ||||
* | Adtalem Global Education Inc. | 69,085 | 2,312 | |||
Goodyear Tire & Rubber Co. | 298,728 | 2,273 | ||||
Papa John's International Inc. | 28,319 | 2,206 | ||||
Boyd Gaming Corp. | 102,597 | 2,194 | ||||
Jack in the Box Inc. | 30,320 | 2,032 | ||||
Graham Holdings Co. Class B | 5,576 | 1,997 | ||||
* | Sally Beauty Holdings Inc. | 149,405 | 1,948 | |||
* | Adient plc | 111,772 | 1,901 | |||
American Eagle Outfitters Inc. | 203,597 | 1,865 | ||||
* | Urban Outfitters Inc. | 90,425 | 1,532 | |||
* | WW International Inc. | 59,656 | 1,426 | |||
* | Delphi Technologies plc | 110,430 | 1,422 | |||
Brinker International Inc. | 47,846 | 1,261 | ||||
1 | Bed Bath & Beyond Inc. | 161,799 | 1,176 | |||
Cheesecake Factory Inc. | 52,542 | 1,129 | ||||
* | Scientific Games Corp. | 69,465 | 1,093 | |||
1 | Dillard's Inc. Class A | 12,659 | 380 | |||
268,148 | ||||||
Consumer Staples (3.7%) | ||||||
Casey's General Stores Inc. | 47,152 | 7,532 | ||||
* | Post Holdings Inc. | 85,216 | 7,419 | |||
Ingredion Inc. | 85,593 | 7,209 | ||||
* | Boston Beer Co. Inc. Class A | 11,814 | 6,672 | |||
Flowers Foods Inc. | 246,768 | 5,821 | ||||
* | BJ's Wholesale Club Holdings Inc. | 156,601 | 5,638 | |||
* | Darling Ingredients Inc. | 209,881 | 4,892 | |||
Lancaster Colony Corp. | 25,372 | 3,894 | ||||
* | Sprouts Farmers Market Inc. | 151,436 | 3,805 | |||
* | TreeHouse Foods Inc. | 72,065 | 3,798 | |||
Energizer Holdings Inc. | 82,471 | 3,619 | ||||
Sanderson Farms Inc. | 25,276 | 3,337 | ||||
* | Hain Celestial Group Inc. | 102,946 | 3,241 | |||
Nu Skin Enterprises Inc. Class A | 71,144 | 2,645 | ||||
* | Edgewell Personal Care Co. | 69,596 | 2,117 | |||
* | Pilgrim's Pride Corp. | 66,972 | 1,384 | |||
1 | Tootsie Roll Industries Inc. | 22,033 | 785 | |||
73,808 | ||||||
Energy (1.3%) | ||||||
EQT Corp. | 327,675 | 4,371 | ||||
Cimarex Energy Co. | 130,478 | 3,429 | ||||
* | WPX Energy Inc. | 533,001 | 3,022 |
Shares | Market Value ($000) | |||||
* | CNX Resources Corp. | 238,852 | 2,434 | |||
1 | Murphy Oil Corp. | 191,161 | 2,284 | |||
1 | Equitrans Midstream Corp. | 265,014 | 2,144 | |||
World Fuel Services Corp. | 83,963 | 2,139 | ||||
Antero Midstream Corp. | 380,999 | 1,821 | ||||
PBF Energy Inc. Class A | 130,637 | 1,387 | ||||
* | Matador Resources Co. | 140,914 | 1,105 | |||
*,1 | Transocean Ltd. | 734,623 | 977 | |||
*,1 | Apergy Corp. | 99,493 | 903 | |||
Patterson-UTI Energy Inc. | 750 | 3 | ||||
26,019 | ||||||
Financials (14.8%) | ||||||
FactSet Research Systems Inc. | 48,640 | 14,957 | ||||
Brown & Brown Inc. | 299,763 | 12,050 | ||||
RenaissanceRe Holdings Ltd. | 56,609 | 9,502 | ||||
Alleghany Corp. | 18,450 | 9,467 | ||||
SEI Investments Co. | 161,802 | 8,773 | ||||
Commerce Bancshares Inc. | 132,945 | 8,473 | ||||
Prosperity Bancshares Inc. | 121,016 | 7,913 | ||||
Reinsurance Group of America Inc. | 80,264 | 7,284 | ||||
First American Financial Corp. | 144,007 | 7,271 | ||||
Signature Bank | 69,211 | 7,122 | ||||
East West Bancorp Inc. | 186,677 | 6,524 | ||||
Primerica Inc. | 53,021 | 6,025 | ||||
New York Community Bancorp Inc. | 599,071 | 6,021 | ||||
American Financial Group Inc. | 95,952 | 5,780 | ||||
Old Republic International Corp. | 365,790 | 5,703 | ||||
TCF Financial Corp. | 196,650 | 5,687 | ||||
Cullen/Frost Bankers Inc. | 72,986 | 5,545 | ||||
First Financial Bankshares Inc. | 174,135 | 5,335 | ||||
Eaton Vance Corp. | 145,042 | 5,229 | ||||
Legg Mason Inc. | 104,594 | 5,212 | ||||
Kemper Corp. | 80,307 | 5,091 | ||||
Hanover Insurance Group Inc. | 50,498 | 5,067 | ||||
United Bankshares Inc. | 162,707 | 4,732 | ||||
Jefferies Financial Group Inc. | 306,634 | 4,492 | ||||
Essent Group Ltd. | 132,408 | 4,376 | ||||
Janus Henderson Group plc | 199,475 | 4,301 | ||||
Affiliated Managers Group Inc. | 63,163 | 4,208 | ||||
Stifel Financial Corp. | 87,647 | 4,182 | ||||
Interactive Brokers Group Inc. Class A | 98,382 | 4,166 | ||||
* | Brighthouse Financial Inc. | 140,072 | 4,162 | |||
SLM Corp. | 541,199 | 4,102 | ||||
RLI Corp. | 51,147 | 4,039 | ||||
Valley National Bancorp | 502,173 | 4,007 | ||||
Selective Insurance Group Inc. | 76,138 | 3,993 | ||||
FirstCash Inc. | 54,710 | 3,817 | ||||
First Horizon National Corp. | 398,929 | 3,730 | ||||
Pinnacle Financial Partners Inc. | 92,264 | 3,677 | ||||
Synovus Financial Corp. | 187,864 | 3,605 | ||||
Bank OZK | 154,961 | 3,485 | ||||
Webster Financial Corp. | 117,980 | 3,339 | ||||
Bank of Hawaii Corp. | 51,622 | 3,321 | ||||
Umpqua Holdings Corp. | 282,286 | 3,215 | ||||
Sterling Bancorp | 259,046 | 3,186 | ||||
Wintrust Financial Corp. | 73,161 | 3,099 | ||||
FNB Corp. | 416,555 | 3,087 | ||||
Home BancShares Inc. | 198,888 | 2,878 |
Shares | Market Value ($000) | |||||
Associated Banc-Corp | 204,256 | 2,862 | ||||
UMB Financial Corp. | 55,344 | 2,838 | ||||
CNO Financial Group Inc. | 193,654 | 2,779 | ||||
Evercore Inc. Class A | 50,087 | 2,760 | ||||
BancorpSouth Bank | 122,918 | 2,732 | ||||
Federated Hermes Inc. Class B | 123,112 | 2,726 | ||||
PacWest Bancorp | 153,565 | 2,658 | ||||
Cathay General Bancorp | 96,967 | 2,637 | ||||
Washington Federal Inc. | 100,355 | 2,595 | ||||
*,1 | LendingTree Inc. | 9,825 | 2,555 | |||
Hancock Whitney Corp. | 111,597 | 2,413 | ||||
Fulton Financial Corp. | 210,015 | 2,354 | ||||
International Bancshares Corp. | 73,562 | 2,264 | ||||
CIT Group Inc. | 121,649 | 2,207 | ||||
* | Genworth Financial Inc. Class A | 646,128 | 1,971 | |||
Trustmark Corp. | 82,493 | 1,963 | ||||
* | Texas Capital Bancshares Inc. | 64,607 | 1,729 | |||
Navient Corp. | 218,141 | 1,623 | ||||
Mercury General Corp. | 34,746 | 1,398 | ||||
296,294 | ||||||
Health Care (11.7%) | ||||||
* | Catalent Inc. | 198,370 | 15,419 | |||
* | Masimo Corp. | 62,887 | 15,105 | |||
* | Molina Healthcare Inc. | 80,371 | 14,935 | |||
* | Bio-Rad Laboratories Inc. Class A | 27,697 | 13,608 | |||
Bio-Techne Corp. | 48,853 | 12,936 | ||||
* | Charles River Laboratories International Inc. | 62,604 | 11,247 | |||
Chemed Corp. | 20,520 | 9,819 | ||||
* | Exelixis Inc. | 389,465 | 9,624 | |||
Encompass Health Corp. | 126,389 | 9,258 | ||||
Hill-Rom Holdings Inc. | 85,579 | 8,701 | ||||
* | PRA Health Sciences Inc. | 81,073 | 8,391 | |||
* | Amedisys Inc. | 41,343 | 7,940 | |||
* | Repligen Corp. | 60,056 | 7,866 | |||
* | Haemonetics Corp. | 64,966 | 7,126 | |||
* | Penumbra Inc. | 41,173 | 7,099 | |||
* | United Therapeutics Corp. | 56,244 | 6,634 | |||
* | LHC Group Inc. | 37,966 | 6,170 | |||
* | HealthEquity Inc. | 90,852 | 5,630 | |||
* | Globus Medical Inc. Class A | 98,666 | 5,392 | |||
* | ICU Medical Inc. | 24,644 | 4,919 | |||
* | Nektar Therapeutics Class A | 225,492 | 4,893 | |||
* | Syneos Health Inc. | 79,833 | 4,869 | |||
* | Integra LifeSciences Holdings Corp. | 91,354 | 4,761 | |||
* | Arrowhead Pharmaceuticals Inc. | 128,314 | 4,137 | |||
* | NuVasive Inc. | 66,751 | 4,045 | |||
* | LivaNova plc | 62,041 | 3,319 | |||
* | Acadia Healthcare Co. Inc. | 113,534 | 3,248 | |||
* | Tenet Healthcare Corp. | 133,177 | 2,898 | |||
* | Prestige Consumer Healthcare Inc. | 64,363 | 2,716 | |||
Patterson Cos. Inc. | 110,581 | 2,177 | ||||
*,1 | Ligand Pharmaceuticals Inc. | 21,196 | 2,153 | |||
Cantel Medical Corp. | 48,083 | 2,023 | ||||
* | Avanos Medical Inc. | 61,434 | 1,785 | |||
* | MEDNAX Inc. | 108,190 | 1,680 | |||
* | Allscripts Healthcare Solutions Inc. | 207,420 | 1,311 | |||
233,834 |
Shares | Market Value ($000) | |||||
Industrials (16.0%) | ||||||
* | Teledyne Technologies Inc. | 46,750 | 17,490 | |||
Nordson Corp. | 65,588 | 12,353 | ||||
Graco Inc. | 213,785 | 10,307 | ||||
Toro Co. | 136,648 | 9,712 | ||||
Lennox International Inc. | 44,947 | 9,611 | ||||
* | XPO Logistics Inc. | 118,320 | 9,325 | |||
* | Trex Co. Inc. | 74,779 | 8,982 | |||
* | Generac Holdings Inc. | 80,168 | 8,920 | |||
Carlisle Cos. Inc. | 72,649 | 8,708 | ||||
Hubbell Inc. Class B | 69,717 | 8,535 | ||||
* | AECOM | 201,357 | 7,807 | |||
Donaldson Co. Inc. | 162,233 | 7,698 | ||||
Watsco Inc. | 41,851 | 7,446 | ||||
Owens Corning | 139,449 | 7,321 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 157,512 | 6,554 | ||||
ITT Inc. | 112,420 | 6,487 | ||||
Lincoln Electric Holdings Inc. | 78,387 | 6,441 | ||||
* | Stericycle Inc. | 116,808 | 6,405 | |||
* | Mercury Systems Inc. | 71,189 | 6,361 | |||
Oshkosh Corp. | 87,240 | 6,266 | ||||
Landstar System Inc. | 50,605 | 5,883 | ||||
* | FTI Consulting Inc. | 48,237 | 5,811 | |||
* | Axon Enterprise Inc. | 76,066 | 5,778 | |||
Tetra Tech Inc. | 69,970 | 5,521 | ||||
Curtiss-Wright Corp. | 54,727 | 5,489 | ||||
MSA Safety Inc. | 45,684 | 5,434 | ||||
ManpowerGroup Inc. | 75,583 | 5,226 | ||||
CoreLogic Inc. | 101,940 | 5,052 | ||||
Woodward Inc. | 72,284 | 4,957 | ||||
EMCOR Group Inc. | 71,978 | 4,574 | ||||
AGCO Corp. | 80,353 | 4,438 | ||||
Acuity Brands Inc. | 50,790 | 4,376 | ||||
Regal Beloit Corp. | 52,480 | 4,174 | ||||
* | ASGN Inc. | 67,681 | 4,168 | |||
MSC Industrial Direct Co. Inc. Class A | 57,743 | 4,004 | ||||
* | Kirby Corp. | 76,847 | 3,941 | |||
* | Clean Harbors Inc. | 65,814 | 3,909 | |||
* | JetBlue Airways Corp. | 370,146 | 3,727 | |||
Timken Co. | 86,905 | 3,697 | ||||
nVent Electric plc | 199,483 | 3,656 | ||||
Crane Co. | 65,358 | 3,642 | ||||
EnerSys | 54,203 | 3,431 | ||||
Valmont Industries Inc. | 27,589 | 3,145 | ||||
* | MasTec Inc. | 77,297 | 3,026 | |||
* | Colfax Corp. | 107,169 | 3,007 | |||
Kennametal Inc. | 106,204 | 2,946 | ||||
GATX Corp. | 44,986 | 2,822 | ||||
Werner Enterprises Inc. | 56,703 | 2,621 | ||||
Brink's Co. | 64,088 | 2,570 | ||||
Trinity Industries Inc. | 125,662 | 2,509 | ||||
Insperity Inc. | 48,137 | 2,495 | ||||
KAR Auction Services Inc. | 164,730 | 2,364 | ||||
Ryder System Inc. | 68,174 | 2,336 | ||||
Healthcare Services Group Inc. | 95,200 | 2,277 | ||||
Fluor Corp. | 179,963 | 2,089 | ||||
Herman Miller Inc. | 75,713 | 1,743 | ||||
* | Dycom Industries Inc. | 40,406 | 1,701 |
Shares | Market Value ($000) | |||||
*,1 | Avis Budget Group Inc. | 72,713 | 1,565 | |||
HNI Corp. | 55,082 | 1,403 | ||||
Terex Corp. | 84,357 | 1,326 | ||||
Deluxe Corp. | 53,912 | 1,258 | ||||
* | Resideo Technologies Inc. | 157,477 | 1,112 | |||
* | NOW Inc. | 139,638 | 1,040 | |||
318,972 | ||||||
Information Technology (16.8%) | ||||||
* | Tyler Technologies Inc. | 49,974 | 18,756 | |||
* | Fair Isaac Corp. | 37,125 | 14,948 | |||
Teradyne Inc. | 214,818 | 14,397 | ||||
* | Trimble Inc. | 319,357 | 12,493 | |||
Cognex Corp. | 219,062 | 12,430 | ||||
* | Ciena Corp. | 198,305 | 10,958 | |||
Monolithic Power Systems Inc. | 51,785 | 10,862 | ||||
* | PTC Inc. | 133,247 | 10,177 | |||
* | Ceridian HCM Holding Inc. | 129,188 | 8,897 | |||
* | SolarEdge Technologies Inc. | 62,313 | 8,842 | |||
* | WEX Inc. | 55,493 | 8,217 | |||
* | CACI International Inc. Class A | 32,101 | 8,050 | |||
Universal Display Corp. | 54,352 | 7,968 | ||||
MKS Instruments Inc. | 69,874 | 7,381 | ||||
* | Cree Inc. | 138,067 | 7,275 | |||
* | Lumentum Holdings Inc. | 98,961 | 7,256 | |||
* | Manhattan Associates Inc. | 81,912 | 7,241 | |||
* | Arrow Electronics Inc. | 104,410 | 7,213 | |||
* | Tech Data Corp. | 45,409 | 6,187 | |||
CDK Global Inc. | 155,620 | 6,117 | ||||
* | Paylocity Holding Corp. | 45,959 | 5,975 | |||
* | Enphase Energy Inc. | 101,973 | 5,934 | |||
MAXIMUS Inc. | 82,016 | 5,907 | ||||
National Instruments Corp. | 151,201 | 5,854 | ||||
SYNNEX Corp. | 52,377 | 5,586 | ||||
Science Applications International Corp. | 62,898 | 5,538 | ||||
Cabot Microelectronics Corp. | 37,307 | 5,404 | ||||
* | Cirrus Logic Inc. | 74,091 | 5,370 | |||
Jabil Inc. | 178,092 | 5,329 | ||||
* | II-VI Inc. | 111,794 | 5,314 | |||
LogMeIn Inc. | 62,576 | 5,313 | ||||
* | Silicon Laboratories Inc. | 55,597 | 5,207 | |||
Littelfuse Inc. | 31,224 | 5,074 | ||||
* | J2 Global Inc. | 59,342 | 4,646 | |||
* | First Solar Inc. | 97,287 | 4,536 | |||
* | Semtech Corp. | 84,917 | 4,516 | |||
* | Coherent Inc. | 30,959 | 4,496 | |||
* | LiveRamp Holdings Inc. | 86,777 | 4,376 | |||
KBR Inc. | 181,660 | 4,260 | ||||
* | ACI Worldwide Inc. | 148,180 | 4,087 | |||
Perspecta Inc. | 176,266 | 3,908 | ||||
Blackbaud Inc. | 63,047 | 3,695 | ||||
Avnet Inc. | 129,423 | 3,525 | ||||
* | ViaSat Inc. | 73,938 | 3,105 | |||
* | Teradata Corp. | 144,211 | 3,088 | |||
* | NCR Corp. | 163,568 | 2,952 | |||
Vishay Intertechnology Inc. | 169,584 | 2,757 | ||||
* | Synaptics Inc. | 42,858 | 2,731 | |||
Sabre Corp. | 350,630 | 2,444 | ||||
* | NetScout Systems Inc. | 84,433 | 2,319 |
Shares | Market Value ($000) | |||||
InterDigital Inc. | 39,826 | 2,189 | ||||
* | CommVault Systems Inc. | 54,000 | 2,185 | |||
Belden Inc. | 49,531 | 1,686 | ||||
334,971 | ||||||
Materials (6.0%) | ||||||
RPM International Inc. | 166,241 | 12,432 | ||||
Royal Gold Inc. | 84,077 | 11,199 | ||||
AptarGroup Inc. | 81,945 | 9,128 | ||||
Reliance Steel & Aluminum Co. | 85,439 | 8,288 | ||||
Steel Dynamics Inc. | 276,160 | 7,335 | ||||
Scotts Miracle-Gro Co. | 50,791 | 7,241 | ||||
Sonoco Products Co. | 128,305 | 6,647 | ||||
Ashland Global Holdings Inc. | 77,217 | 5,186 | ||||
Valvoline Inc. | 241,529 | 4,432 | ||||
NewMarket Corp. | 9,467 | 4,129 | ||||
Eagle Materials Inc. | 53,367 | 3,563 | ||||
Louisiana-Pacific Corp. | 150,563 | 3,555 | ||||
Silgan Holdings Inc. | 99,355 | 3,322 | ||||
PolyOne Corp. | 115,669 | 2,866 | ||||
* | Ingevity Corp. | 53,607 | 2,823 | |||
Chemours Co. | 209,537 | 2,747 | ||||
Sensient Technologies Corp. | 54,199 | 2,716 | ||||
Commercial Metals Co. | 151,964 | 2,608 | ||||
Cabot Corp. | 72,954 | 2,606 | ||||
Olin Corp. | 204,362 | 2,458 | ||||
Minerals Technologies Inc. | 44,684 | 2,203 | ||||
Compass Minerals International Inc. | 43,518 | 2,097 | ||||
1 | United States Steel Corp. | 217,912 | 1,752 | |||
O-I Glass Inc. | 199,484 | 1,528 | ||||
Domtar Corp. | 73,407 | 1,498 | ||||
Carpenter Technology Corp. | 61,231 | 1,431 | ||||
Worthington Industries Inc. | 47,278 | 1,415 | ||||
* | Allegheny Technologies Inc. | 161,614 | 1,403 | |||
Greif Inc. Class A | 33,783 | 1,148 | ||||
119,756 | ||||||
Real Estate (9.6%) | ||||||
Medical Properties Trust Inc. | 663,295 | 11,992 | ||||
Camden Property Trust | 124,129 | 11,367 | ||||
CyrusOne Inc. | 145,103 | 10,787 | ||||
Omega Healthcare Investors Inc. | 280,089 | 8,722 | ||||
Lamar Advertising Co. Class A | 110,257 | 7,310 | ||||
Kilroy Realty Corp. | 125,021 | 7,141 | ||||
National Retail Properties Inc. | 220,021 | 6,907 | ||||
Jones Lang LaSalle Inc. | 66,061 | 6,765 | ||||
CoreSite Realty Corp. | 51,666 | 6,449 | ||||
Douglas Emmett Inc. | 211,290 | 6,204 | ||||
First Industrial Realty Trust Inc. | 162,734 | 6,164 | ||||
Cousins Properties Inc. | 188,132 | 5,855 | ||||
Life Storage Inc. | 59,801 | 5,829 | ||||
EastGroup Properties Inc. | 49,234 | 5,723 | ||||
American Campus Communities Inc. | 176,145 | 5,690 | ||||
STORE Capital Corp. Class A | 273,893 | 5,297 | ||||
Healthcare Realty Trust Inc. | 171,436 | 5,263 | ||||
Highwoods Properties Inc. | 132,991 | 5,090 | ||||
Hudson Pacific Properties Inc. | 198,154 | 4,789 | ||||
JBG SMITH Properties | 151,309 | 4,498 | ||||
Physicians Realty Trust | 252,574 | 4,362 |
Shares | Market Value ($000) | |||||
Brixmor Property Group Inc. | 381,817 | 4,261 | ||||
Rayonier Inc. | 177,485 | 4,215 | ||||
Spirit Realty Capital Inc. | 127,839 | 3,635 | ||||
Corporate Office Properties Trust | 143,662 | 3,587 | ||||
Sabra Health Care REIT Inc. | 263,137 | 3,542 | ||||
PS Business Parks Inc. | 25,675 | 3,431 | ||||
Taubman Centers Inc. | 78,472 | 3,244 | ||||
EPR Properties | 100,584 | 3,175 | ||||
Park Hotels & Resorts Inc. | 306,874 | 3,017 | ||||
PotlatchDeltic Corp. | 86,161 | 2,929 | ||||
Weingarten Realty Investors | 155,045 | 2,772 | ||||
Pebblebrook Hotel Trust | 167,936 | 2,294 | ||||
GEO Group Inc. | 155,456 | 1,862 | ||||
CoreCivic Inc. | 152,889 | 1,839 | ||||
Mack-Cali Realty Corp. | 116,065 | 1,765 | ||||
Urban Edge Properties | 147,643 | 1,440 | ||||
Service Properties Trust | 211,632 | 1,429 | ||||
1 | Macerich Co. | 140,592 | 957 | |||
Diversified Healthcare Trust | 918 | 3 | ||||
191,601 | ||||||
Utilities (4.4%) | ||||||
Essential Utilities Inc. | 276,686 | 12,108 | ||||
UGI Corp. | 267,922 | 8,531 | ||||
OGE Energy Corp. | 256,616 | 8,037 | ||||
IDACORP Inc. | 64,604 | 6,023 | ||||
ONE Gas Inc. | 67,595 | 5,676 | ||||
MDU Resources Group Inc. | 256,869 | 5,589 | ||||
Hawaiian Electric Industries Inc. | 139,689 | 5,512 | ||||
Southwest Gas Holdings Inc. | 70,028 | 5,319 | ||||
Black Hills Corp. | 78,777 | 4,861 | ||||
Spire Inc. | 65,348 | 4,765 | ||||
National Fuel Gas Co. | 110,654 | 4,644 | ||||
New Jersey Resources Corp. | 122,410 | 4,299 | ||||
PNM Resources Inc. | 102,108 | 4,168 | ||||
ALLETE Inc. | 66,229 | 3,890 | ||||
NorthWestern Corp. | 64,667 | 3,888 | ||||
87,310 | ||||||
Total Common Stocks (Cost $2,070,711) | 1,989,022 | |||||
Coupon | ||||||
Temporary Cash Investments (1.1%) | ||||||
Money Market Fund (1.1%) | ||||||
2,3 | Vanguard Market Liquidity Fund | 0.307% | 209,809 | 20,981 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
4 | United States Treasury Bill | 0.116% | 9/29/20 | 450 | 450 | |
Total Temporary Cash Investments (Cost $21,427) | 21,431 | |||||
Total Investments (100.7%) (Cost $2,092,138) | 2,010,453 | |||||
Other Assets and Liabilities-Net (-0.7%)3,4 | (14,659) | |||||
Net Assets (100.0%) | 1,995,794 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $18,294,000. |
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 $19,641,000 was received for securities on loan, of which $17,480,000 is held in Vanguard Market Liquidity Fund and $2,161,000 is held in cash. |
4 | Securities with a value of $450,000 and cash of $67,000 have 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) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | June 2020 | 34 | 5,992 | 907 |
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. 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.
The following table summarizes the market value of the fund's investments and derivatives as of May 31, 2020, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,989,022 | — | — | 1,989,022 |
Temporary Cash Investments | 20,981 | 450 | — | 21,431 |
Total | 2,010,003 | 450 | — | 2,010,453 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 34 | — | — | 34 |
1 | Represents variation margin on the last day of the reporting period. |