Vanguard S&P Small-Cap 600 Value 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 (100.1%) | ||||||
Communication Services (2.7%) | ||||||
* | Vonage Holdings Corp. | 198,720 | 1,914 | |||
* | Iridium Communications Inc. | 79,883 | 1,837 | |||
Shenandoah Telecommunications Co. | 32,733 | 1,722 | ||||
Scholastic Corp. | 48,723 | 1,432 | ||||
* | Cincinnati Bell Inc. | 79,956 | 1,178 | |||
ATN International Inc. | 17,275 | 1,026 | ||||
Meredith Corp. | 63,669 | 951 | ||||
* | Consolidated Communications Holdings Inc. | 114,042 | 691 | |||
Marcus Corp. | 36,598 | 493 | ||||
EW Scripps Co. Class A | 45,614 | 396 | ||||
Spok Holdings Inc. | 27,773 | 285 | ||||
Gannett Co. Inc. | 208,115 | 273 | ||||
12,198 | ||||||
Consumer Discretionary (14.1%) | ||||||
* | Capri Holdings Ltd. | 240,506 | 3,617 | |||
1 | Macy's Inc. | 490,153 | 3,117 | |||
Strategic Education Inc. | 16,375 | 2,778 | ||||
Wolverine World Wide Inc. | 128,303 | 2,687 | ||||
Big Lots Inc. | 61,935 | 2,400 | ||||
* | Stamps.com Inc. | 11,322 | 2,243 | |||
Office Depot Inc. | 867,513 | 2,143 | ||||
Cooper Tire & Rubber Co. | 79,509 | 2,046 | ||||
Core-Mark Holding Co. Inc. | 72,306 | 2,023 | ||||
*,1 | iRobot Corp. | 25,083 | 1,849 | |||
Group 1 Automotive Inc. | 27,735 | 1,746 | ||||
* | Meritage Homes Corp. | 24,563 | 1,707 | |||
Sturm Ruger & Co. Inc. | 26,320 | 1,641 | ||||
* | Dorman Products Inc. | 21,272 | 1,487 | |||
Standard Motor Products Inc. | 32,040 | 1,363 | ||||
Monro Inc. | 23,187 | 1,278 | ||||
* | American Axle & Manufacturing Holdings Inc. | 178,435 | 1,269 | |||
Abercrombie & Fitch Co. Class A | 99,519 | 1,156 | ||||
Oxford Industries Inc. | 27,030 | 1,152 | ||||
* | Gentherm Inc. | 27,028 | 1,100 | |||
* | Asbury Automotive Group Inc. | 15,031 | 1,086 | |||
Kontoor Brands Inc. | 73,985 | 1,082 | ||||
* | Perdoceo Education Corp. | 62,592 | 1,019 | |||
Sonic Automotive Inc. Class A | 38,497 | 1,012 | ||||
La-Z-Boy Inc. | 38,279 | 985 | ||||
1 | Children's Place Inc. | 23,014 | 958 | |||
* | Vista Outdoor Inc. | 91,984 | 893 |
Shares | Market Value ($000) | |||||
1 | Signet Jewelers Ltd. | 82,924 | 875 | |||
* | American Public Education Inc. | 24,430 | 768 | |||
* | G-III Apparel Group Ltd. | 68,254 | 705 | |||
* | M/I Homes Inc. | 20,935 | 701 | |||
* | Century Communities Inc. | 23,421 | 692 | |||
BJ's Restaurants Inc. | 30,408 | 660 | ||||
Guess? Inc. | 67,430 | 645 | ||||
* | MarineMax Inc. | 33,911 | 645 | |||
* | Garrett Motion Inc. | 119,025 | 615 | |||
PetMed Express Inc. | 15,318 | 553 | ||||
Designer Brands Inc. Class A | 87,222 | 535 | ||||
Bloomin' Brands Inc. | 44,005 | 502 | ||||
Haverty Furniture Cos. Inc. | 28,756 | 497 | ||||
* | Motorcar Parts of America Inc. | 30,153 | 477 | |||
*,1 | Michaels Cos. Inc. | 120,458 | 465 | |||
Caleres Inc. | 64,798 | 465 | ||||
* | Lumber Liquidators Holdings Inc. | 45,492 | 452 | |||
Ethan Allen Interiors Inc. | 38,938 | 440 | ||||
*,1 | GameStop Corp. Class A | 104,940 | 426 | |||
* | Genesco Inc. | 22,567 | 417 | |||
* | Regis Corp. | 38,480 | 405 | |||
Shoe Carnival Inc. | 14,159 | 368 | ||||
Cato Corp. Class A | 34,446 | 334 | ||||
* | Unifi Inc. | 23,088 | 317 | |||
* | Monarch Casino & Resort Inc. | 7,345 | 295 | |||
* | Red Robin Gourmet Burgers Inc. | 20,440 | 283 | |||
* | Cooper-Standard Holdings Inc. | 26,648 | 280 | |||
Dave & Buster's Entertainment Inc. | 20,947 | 276 | ||||
Movado Group Inc. | 25,912 | 272 | ||||
* | Fiesta Restaurant Group Inc. | 32,224 | 265 | |||
* | Hibbett Sports Inc. | 13,229 | 256 | |||
Chico's FAS Inc. | 187,776 | 254 | ||||
Tupperware Brands Corp. | 77,886 | 252 | ||||
Buckle Inc. | 16,739 | 236 | ||||
* | Fossil Group Inc. | 73,588 | 224 | |||
* | Conn's Inc. | 30,529 | 220 | |||
* | America's Car-Mart Inc. | 2,747 | 219 | |||
* | Express Inc. | 106,700 | 209 | |||
* | El Pollo Loco Holdings Inc. | 14,488 | 201 | |||
* | Vera Bradley Inc. | 37,088 | 195 | |||
Ruth's Hospitality Group Inc. | 15,250 | 124 | ||||
* | Liquidity Services Inc. | 21,574 | 123 | |||
1 | Tailored Brands Inc. | 79,885 | 103 | |||
* | Barnes & Noble Education Inc. | 61,714 | 96 | |||
63,179 | ||||||
Consumer Staples (4.4%) | ||||||
B&G Foods Inc. | 101,606 | 2,359 | ||||
* | Central Garden & Pet Co. Class A | 63,701 | 2,182 | |||
* | Cal-Maine Foods Inc. | 48,053 | 2,141 | |||
Universal Corp. | 39,378 | 1,735 | ||||
* | USANA Health Sciences Inc. | 19,887 | 1,685 | |||
* | United Natural Foods Inc. | 84,636 | 1,659 | |||
SpartanNash Co. | 57,690 | 1,235 | ||||
Fresh Del Monte Produce Inc. | 48,007 | 1,195 | ||||
PriceSmart Inc. | 19,797 | 1,077 | ||||
Vector Group Ltd. | 65,630 | 750 | ||||
Andersons Inc. | 51,669 | 670 | ||||
Calavo Growers Inc. | 11,393 | 667 |
Shares | Market Value ($000) | |||||
* | Chefs' Warehouse Inc. | 40,469 | 599 | |||
* | Central Garden & Pet Co. | 15,575 | 571 | |||
*,1 | National Beverage Corp. | 9,628 | 549 | |||
MGP Ingredients Inc. | 11,843 | 444 | ||||
* | Seneca Foods Corp. Class A | 10,893 | 397 | |||
19,915 | ||||||
Energy (5.4%) | ||||||
Helmerich & Payne Inc. | 170,666 | 3,435 | ||||
* | Southwestern Energy Co. | 858,643 | 2,584 | |||
Range Resources Corp. | 331,205 | 1,984 | ||||
*,1 | Renewable Energy Group Inc. | 61,744 | 1,757 | |||
* | Dril-Quip Inc. | 57,358 | 1,743 | |||
Archrock Inc. | 203,065 | 1,289 | ||||
Patterson-UTI Energy Inc. | 300,460 | 1,109 | ||||
* | Oceaneering International Inc. | 157,031 | 1,008 | |||
* | PDC Energy Inc. | 75,517 | 920 | |||
Core Laboratories NV | 42,980 | 869 | ||||
* | ProPetro Holding Corp. | 130,265 | 645 | |||
SM Energy Co. | 167,705 | 590 | ||||
* | Bonanza Creek Energy Inc. | 29,519 | 499 | |||
* | Matrix Service Co. | 43,287 | 477 | |||
* | Green Plains Inc. | 53,532 | 458 | |||
* | Oil States International Inc. | 95,465 | 405 | |||
Nabors Industries Ltd. | 10,665 | 395 | ||||
* | Gulfport Energy Corp. | 229,812 | 347 | |||
1 | US Silica Holdings Inc. | 115,911 | 342 | |||
* | SEACOR Holdings Inc. | 12,737 | 341 | |||
* | Exterran Corp. | 44,520 | 286 | |||
* | CONSOL Energy Inc. | 40,819 | 278 | |||
* | Dorian LPG Ltd. | 33,324 | 274 | |||
* | REX American Resources Corp. | 4,587 | 269 | |||
* | RPC Inc. | 81,554 | 259 | |||
* | Laredo Petroleum Inc. | 287,838 | 244 | |||
*,1 | Oasis Petroleum Inc. | 460,405 | 212 | |||
*,1 | Callon Petroleum Co. | 292,601 | 196 | |||
QEP Resources Inc. | 202,242 | 173 | ||||
*,1 | Denbury Resources Inc. | 775,965 | 165 | |||
* | Era Group Inc. Class A | 31,237 | 156 | |||
* | Newpark Resources Inc. | 68,727 | 139 | |||
*,1 | Valaris plc Class A | 313,549 | 105 | |||
* | TETRA Technologies Inc. | 196,289 | 65 | |||
* | HighPoint Resources Corp. | 178,479 | 43 | |||
*,1 | Noble Corp. plc | 4,460 | 1 | |||
24,062 | ||||||
Financials (21.4%) | ||||||
Old National Bancorp | 269,560 | 3,663 | ||||
American Equity Investment Life Holding Co. | 144,405 | 3,132 | ||||
Simmons First National Corp. Class A | 180,744 | 3,100 | ||||
* | Green Dot Corp. Class A | 75,165 | 2,870 | |||
Columbia Banking System Inc. | 114,386 | 2,786 | ||||
Horace Mann Educators Corp. | 65,380 | 2,388 | ||||
Glacier Bancorp Inc. | 55,766 | 2,297 | ||||
First Midwest Bancorp Inc. | 174,531 | 2,278 | ||||
CVB Financial Corp. | 109,780 | 2,142 | ||||
Banner Corp. | 55,987 | 2,103 | ||||
Community Bank System Inc. | 35,274 | 2,096 | ||||
First Financial Bancorp | 157,640 | 2,095 |
Shares | Market Value ($000) | |||||
Pacific Premier Bancorp Inc. | 94,240 | 2,037 | ||||
Hope Bancorp Inc. | 201,197 | 1,910 | ||||
Northwest Bancshares Inc. | 187,621 | 1,869 | ||||
Apollo Commercial Real Estate Finance Inc. | 226,995 | 1,868 | ||||
Eagle Bancorp Inc. | 53,206 | 1,722 | ||||
Cadence Bancorp Class A | 202,918 | 1,638 | ||||
Employers Holdings Inc. | 50,412 | 1,507 | ||||
Waddell & Reed Financial Inc. Class A | 111,418 | 1,453 | ||||
Southside Bancshares Inc. | 50,290 | 1,418 | ||||
* | Encore Capital Group Inc. | 43,854 | 1,393 | |||
Ameris Bancorp | 57,062 | 1,383 | ||||
S&T Bancorp Inc. | 61,026 | 1,357 | ||||
Independent Bank Corp. | 19,069 | 1,325 | ||||
* | INTL. FCStone Inc. | 25,844 | 1,318 | |||
* | PRA Group Inc. | 38,192 | 1,303 | |||
Great Western Bancorp Inc. | 89,140 | 1,269 | ||||
Provident Financial Services Inc. | 95,160 | 1,240 | ||||
2 | FGL Holdings | 154,095 | 1,214 | |||
New York Mortgage Trust Inc. | 578,435 | 1,203 | ||||
ProAssurance Corp. | 85,168 | 1,175 | ||||
Westamerica Bancorp | 19,728 | 1,164 | ||||
Stewart Information Services Corp. | 37,619 | 1,159 | ||||
Heritage Financial Corp. | 58,036 | 1,103 | ||||
NBT Bancorp Inc. | 34,015 | 1,065 | ||||
First Bancorp | 182,801 | 1,000 | ||||
OFG Bancorp | 81,471 | 990 | ||||
AMERISAFE Inc. | 15,928 | 978 | ||||
* | Ambac Financial Group Inc. | 72,265 | 970 | |||
Redwood Trust Inc. | 178,406 | 955 | ||||
* | Third Point Reinsurance Ltd. | 127,170 | 939 | |||
HomeStreet Inc. | 38,761 | 923 | ||||
Safety Insurance Group Inc. | 12,067 | 920 | ||||
Boston Private Financial Holdings Inc. | 132,083 | 907 | ||||
United Fire Group Inc. | 33,728 | 905 | ||||
Piper Sandler Cos. | 14,515 | 866 | ||||
Universal Insurance Holdings Inc. | 48,505 | 866 | ||||
Banc of California Inc. | 71,123 | 779 | ||||
Allegiance Bancshares Inc. | 30,283 | 776 | ||||
* | Seacoast Banking Corp. of Florida | 35,193 | 765 | |||
Capstead Mortgage Corp. | 149,639 | 757 | ||||
Berkshire Hills Bancorp Inc. | 68,109 | 737 | ||||
United Community Banks Inc. | 37,669 | 736 | ||||
1 | Invesco Mortgage Capital Inc. | 255,163 | 707 | |||
Dime Community Bancshares Inc. | 48,779 | 704 | ||||
Flagstar Bancorp Inc. | 22,950 | 672 | ||||
Opus Bank | 34,135 | 665 | ||||
Brookline Bancorp Inc. | 71,014 | 660 | ||||
Veritex Holdings Inc. | 37,383 | 655 | ||||
James River Group Holdings Ltd. | 16,905 | 654 | ||||
City Holding Co. | 10,367 | 652 | ||||
* | Axos Financial Inc. | 28,713 | 626 | |||
KKR Real Estate Finance Trust Inc. | 38,177 | 618 | ||||
* | World Acceptance Corp. | 8,793 | 585 | |||
First Commonwealth Financial Corp. | 68,397 | 560 | ||||
WisdomTree Investments Inc. | 187,385 | 560 | ||||
Tompkins Financial Corp. | 8,522 | 548 | ||||
Franklin Financial Network Inc. | 21,171 | 522 | ||||
* | Customers Bancorp Inc. | 45,778 | 508 |
Shares | Market Value ($000) | |||||
TrustCo Bank Corp. | 73,518 | 463 | ||||
HCI Group Inc. | 10,206 | 458 | ||||
ARMOUR Residential REIT Inc. | 57,911 | 453 | ||||
Hanmi Financial Corp. | 49,163 | 444 | ||||
* | EZCORP Inc. Class A | 83,689 | 432 | |||
* | Blucora Inc. | 34,103 | 414 | |||
* | Donnelley Financial Solutions Inc. | 49,660 | 405 | |||
Northfield Bancorp Inc. | 36,503 | 399 | ||||
National Bank Holdings Corp. Class A | 13,771 | 362 | ||||
Ready Capital Corp. | 58,942 | 346 | ||||
Central Pacific Financial Corp. | 21,054 | 339 | ||||
* | Triumph Bancorp Inc. | 11,061 | 272 | |||
United Insurance Holdings Corp. | 32,777 | 257 | ||||
Greenhill & Co. Inc. | 12,986 | 129 | ||||
95,881 | ||||||
Health Care (12.0%) | ||||||
* | Integer Holdings Corp. | 51,809 | 4,102 | |||
* | Merit Medical Systems Inc. | 87,524 | 3,938 | |||
* | Magellan Health Inc. | 34,560 | 2,592 | |||
* | Covetrus Inc. | 154,845 | 2,366 | |||
* | Emergent BioSolutions Inc. | 27,151 | 2,267 | |||
* | Momenta Pharmaceuticals Inc. | 70,246 | 2,211 | |||
* | Neogen Corp. | 29,950 | 2,133 | |||
Luminex Corp. | 66,469 | 2,071 | ||||
* | HMS Holdings Corp. | 62,787 | 1,961 | |||
* | Myriad Genetics Inc. | 118,103 | 1,716 | |||
* | Omnicell Inc. | 24,577 | 1,644 | |||
* | AMN Healthcare Services Inc. | 34,043 | 1,510 | |||
* | Providence Service Corp. | 18,209 | 1,466 | |||
* | OraSure Technologies Inc. | 97,803 | 1,422 | |||
Ensign Group Inc. | 31,013 | 1,356 | ||||
* | Select Medical Holdings Corp. | 81,795 | 1,320 | |||
* | Endo International plc | 319,800 | 1,234 | |||
* | Meridian Bioscience Inc. | 67,835 | 1,049 | |||
* | Xencor Inc. | 33,656 | 1,018 | |||
* | Tabula Rasa HealthCare Inc. | 19,006 | 1,016 | |||
* | Pacira BioSciences Inc. | 21,199 | 932 | |||
* | Supernus Pharmaceuticals Inc. | 36,686 | 885 | |||
* | Cytokinetics Inc. | 42,307 | 876 | |||
Phibro Animal Health Corp. Class A | 32,102 | 841 | ||||
Owens & Minor Inc. | 99,982 | 793 | ||||
* | Tivity Health Inc. | 68,556 | 730 | |||
* | Tactile Systems Technology Inc. | 13,834 | 670 | |||
Mesa Laboratories Inc. | 2,475 | 654 | ||||
* | AngioDynamics Inc. | 59,783 | 610 | |||
* | CryoLife Inc. | 26,684 | 607 | |||
* | Orthofix Medical Inc. | 16,872 | 575 | |||
* | Natus Medical Inc. | 25,330 | 542 | |||
* | Amphastar Pharmaceuticals Inc. | 26,713 | 498 | |||
* | Heska Corp. | 5,499 | 484 | |||
* | Varex Imaging Corp. | 24,263 | 455 | |||
* | Coherus Biosciences Inc. | 24,334 | 454 | |||
Computer Programs & Systems Inc. | 19,894 | 440 | ||||
* | Vanda Pharmaceuticals Inc. | 36,541 | 428 | |||
* | Inogen Inc. | 11,019 | 419 | |||
*,1 | AMAG Pharmaceuticals Inc. | 54,014 | 416 | |||
* | Lannett Co. Inc. | 53,025 | 406 | |||
* | Lantheus Holdings Inc. | 28,173 | 387 |
Shares | Market Value ($000) | |||||
* | NextGen Healthcare Inc. | 35,214 | 363 | |||
* | Cross Country Healthcare Inc. | 58,817 | 357 | |||
* | Surmodics Inc. | 9,636 | 356 | |||
Invacare Corp. | 53,157 | 327 | ||||
* | HealthStream Inc. | 13,764 | 314 | |||
* | Spectrum Pharmaceuticals Inc. | 103,586 | 305 | |||
* | Progenics Pharmaceuticals Inc. | 70,846 | 301 | |||
53,817 | ||||||
Industrials (15.2%) | ||||||
ABM Industries Inc. | 105,304 | 3,236 | ||||
Hillenbrand Inc. | 117,447 | 3,023 | ||||
Arcosa Inc. | 76,783 | 2,931 | ||||
Korn Ferry | 87,776 | 2,656 | ||||
SkyWest Inc. | 79,887 | 2,562 | ||||
* | Hub Group Inc. Class A | 52,945 | 2,476 | |||
Matson Inc. | 68,020 | 1,943 | ||||
* | Proto Labs Inc. | 15,271 | 1,929 | |||
Kaman Corp. | 44,171 | 1,767 | ||||
* | Atlas Air Worldwide Holdings Inc. | 41,012 | 1,602 | |||
Applied Industrial Technologies Inc. | 26,365 | 1,529 | ||||
Astec Industries Inc. | 35,736 | 1,518 | ||||
EnPro Industries Inc. | 32,936 | 1,485 | ||||
Moog Inc. Class A | 26,080 | 1,416 | ||||
AZZ Inc. | 41,458 | 1,313 | ||||
Granite Construction Inc. | 74,074 | 1,304 | ||||
Brady Corp. Class A | 25,269 | 1,292 | ||||
* | PGT Innovations Inc. | 92,668 | 1,261 | |||
* | Meritor Inc. | 53,967 | 1,100 | |||
Greenbrier Cos. Inc. | 51,738 | 1,098 | ||||
Barnes Group Inc. | 28,734 | 1,086 | ||||
Mobile Mini Inc. | 33,612 | 1,077 | ||||
Hawaiian Holdings Inc. | 73,971 | 1,067 | ||||
AAR Corp. | 52,187 | 1,053 | ||||
Standex International Corp. | 19,772 | 1,046 | ||||
Matthews International Corp. Class A | 49,684 | 1,028 | ||||
Cubic Corp. | 24,327 | 1,002 | ||||
* | AeroVironment Inc. | 14,054 | 995 | |||
* | TrueBlue Inc. | 61,855 | 956 | |||
* | Chart Industries Inc. | 23,310 | 915 | |||
ArcBest Corp. | 40,500 | 907 | ||||
* | Echo Global Logistics Inc. | 43,341 | 897 | |||
Lindsay Corp. | 9,440 | 887 | ||||
Heartland Express Inc. | 39,389 | 863 | ||||
Enerpac Tool Group Corp. Class A | 46,209 | 827 | ||||
Mueller Industries Inc. | 30,780 | 824 | ||||
Wabash National Corp. | 85,536 | 817 | ||||
Kelly Services Inc. Class A | 52,452 | 786 | ||||
* | Sunrun Inc. | 44,603 | 745 | |||
* | Aegion Corp. Class A | 48,615 | 730 | |||
* | Harsco Corp. | 64,823 | 723 | |||
National Presto Industries Inc. | 8,009 | 721 | ||||
US Ecology Inc. | 21,002 | 707 | ||||
Heidrick & Struggles International Inc. | 30,494 | 676 | ||||
Comfort Systems USA Inc. | 17,991 | 666 | ||||
Marten Transport Ltd. | 25,818 | 661 | ||||
Encore Wire Corp. | 13,604 | 657 | ||||
* | Gibraltar Industries Inc. | 14,886 | 655 | |||
Quanex Building Products Corp. | 52,489 | 651 |
Shares | Market Value ($000) | |||||
Pitney Bowes Inc. | 270,228 | 640 | ||||
* | GMS Inc. | 30,005 | 615 | |||
Resources Connection Inc. | 47,640 | 524 | ||||
Insteel Industries Inc. | 29,047 | 513 | ||||
* | DXP Enterprises Inc. | 25,512 | 450 | |||
Apogee Enterprises Inc. | 21,130 | 436 | ||||
* | MYR Group Inc. | 13,916 | 401 | |||
Powell Industries Inc. | 14,052 | 374 | ||||
Park Aerospace Corp. | 30,746 | 373 | ||||
* | Lydall Inc. | 27,680 | 299 | |||
Interface Inc. Class A | 32,256 | 274 | ||||
* | Veritiv Corp. | 20,212 | 252 | |||
* | Team Inc. | 48,229 | 238 | |||
Viad Corp. | 12,825 | 235 | ||||
* | Forrester Research Inc. | 7,362 | 231 | |||
* | Foundation Building Materials Inc. | 13,355 | 178 | |||
1 | Briggs & Stratton Corp. | 67,538 | 111 | |||
Titan International Inc. | 79,885 | 98 | ||||
68,308 | ||||||
Information Technology (7.8%) | ||||||
* | Anixter International Inc. | 47,685 | 4,564 | |||
* | Sanmina Corp. | 110,984 | 2,953 | |||
* | TTM Technologies Inc. | 155,474 | 1,799 | |||
* | Insight Enterprises Inc. | 27,792 | 1,425 | |||
* | Rambus Inc. | 83,132 | 1,292 | |||
* | Bottomline Technologies DE Inc. | 25,362 | 1,283 | |||
* | Photronics Inc. | 106,513 | 1,277 | |||
* | NETGEAR Inc. | 47,814 | 1,230 | |||
Kulicke & Soffa Industries Inc. | 50,266 | 1,124 | ||||
* | Onto Innovation Inc. | 35,019 | 1,088 | |||
Badger Meter Inc. | 17,084 | 1,045 | ||||
* | ScanSource Inc. | 40,082 | 988 | |||
* | MaxLinear Inc. Class A | 56,852 | 985 | |||
* | Unisys Corp. | 82,181 | 934 | |||
ADTRAN Inc. | 75,973 | 866 | ||||
* | ePlus Inc. | 11,580 | 854 | |||
* | Sykes Enterprises Inc. | 28,795 | 785 | |||
* | FARO Technologies Inc. | 13,560 | 763 | |||
* | MicroStrategy Inc. Class A | 5,748 | 716 | |||
Plantronics Inc. | 51,914 | 676 | ||||
* | Axcelis Technologies Inc. | 24,698 | 663 | |||
Benchmark Electronics Inc. | 29,268 | 620 | ||||
* | Knowles Corp. | 38,124 | 573 | |||
Methode Electronics Inc. | 18,180 | 570 | ||||
* | SMART Global Holdings Inc. | 20,823 | 558 | |||
* | CEVA Inc. | 16,072 | 554 | |||
Cohu Inc. | 35,937 | 541 | ||||
CTS Corp. | 23,705 | 506 | ||||
MTS Systems Corp. | 28,191 | 496 | ||||
* | Cardtronics plc Class A | 19,577 | 474 | |||
PC Connection Inc. | 10,166 | 440 | ||||
* | CalAmp Corp. | 53,903 | 415 | |||
* | DSP Group Inc. | 19,227 | 347 | |||
* | PDF Solutions Inc. | 16,283 | 278 | |||
* | Applied Optoelectronics Inc. | 30,229 | 267 | |||
Ebix Inc. | 11,271 | 253 | ||||
Daktronics Inc. | 59,047 | 250 | ||||
Bel Fuse Inc. Class B | 15,997 | 150 |
Shares | Market Value ($000) | |||||
* | Arlo Technologies Inc. | 58,973 | 130 | |||
TiVo Corp. | 2,266 | 14 | ||||
34,746 | ||||||
Materials (6.3%) | ||||||
Quaker Chemical Corp. | 20,528 | 3,507 | ||||
Boise Cascade Co. | 61,855 | 2,105 | ||||
* | GCP Applied Technologies Inc. | 85,201 | 1,716 | |||
* | Ferro Corp. | 129,930 | 1,562 | |||
* | Livent Corp. | 231,364 | 1,559 | |||
Cleveland-Cliffs Inc. | 276,652 | 1,444 | ||||
Stepan Co. | 14,286 | 1,388 | ||||
HB Fuller Co. | 34,759 | 1,308 | ||||
Trinseo SA | 62,090 | 1,278 | ||||
Warrior Met Coal Inc. | 81,032 | 1,141 | ||||
* | Arconic Corp. | 76,969 | 1,114 | |||
PH Glatfelter Co. | 70,029 | 1,079 | ||||
* | Kraton Corp. | 50,326 | 768 | |||
Myers Industries Inc. | 56,414 | 768 | ||||
* | Clearwater Paper Corp. | 26,144 | 757 | |||
Materion Corp. | 14,272 | 749 | ||||
Neenah Inc. | 14,364 | 726 | ||||
Kaiser Aluminum Corp. | 9,297 | 667 | ||||
Hawkins Inc. | 15,018 | 644 | ||||
FutureFuel Corp. | 40,886 | 535 | ||||
* | US Concrete Inc. | 25,202 | 526 | |||
* | AdvanSix Inc. | 44,206 | 523 | |||
* | Century Aluminum Co. | 79,322 | 473 | |||
SunCoke Energy Inc. | 137,249 | 468 | ||||
American Vanguard Corp. | 19,731 | 263 | ||||
Tredegar Corp. | 16,314 | 250 | ||||
Haynes International Inc. | 10,705 | 244 | ||||
Mercer International Inc. | 29,768 | 240 | ||||
* | TimkenSteel Corp. | 63,693 | 223 | |||
Rayonier Advanced Materials Inc. | 79,911 | 173 | ||||
Olympic Steel Inc. | 14,399 | 159 | ||||
* | LSB Industries Inc. | 8,227 | 9 | |||
28,366 | ||||||
Real Estate (8.5%) | ||||||
Uniti Group Inc. | 306,602 | 2,530 | ||||
Global Net Lease Inc. | 141,700 | 1,988 | ||||
Lexington Realty Trust | 200,670 | 1,951 | ||||
Industrial Logistics Properties Trust | 103,344 | 1,938 | ||||
Office Properties Income Trust | 76,507 | 1,935 | ||||
DiamondRock Hospitality Co. | 317,805 | 1,904 | ||||
Xenia Hotels & Resorts Inc. | 178,443 | 1,606 | ||||
Washington REIT | 66,405 | 1,456 | ||||
CareTrust REIT Inc. | 77,261 | 1,439 | ||||
Diversified Healthcare Trust | 374,529 | 1,341 | ||||
Easterly Government Properties Inc. | 51,705 | 1,296 | ||||
iStar Inc. | 118,579 | 1,296 | ||||
Kite Realty Group Trust | 133,107 | 1,291 | ||||
National Storage Affiliates Trust | 40,462 | 1,214 | ||||
Realogy Holdings Corp. | 181,228 | 1,098 | ||||
LTC Properties Inc. | 29,645 | 1,091 | ||||
Summit Hotel Properties Inc. | 166,917 | 1,043 | ||||
Four Corners Property Trust Inc. | 44,878 | 970 | ||||
Franklin Street Properties Corp. | 170,329 | 910 |
Shares | Market Value ($000) | |||||
1 | Tanger Factory Outlet Centers Inc. | 147,328 | 906 | |||
American Assets Trust Inc. | 30,483 | 798 | ||||
Retail Opportunity Investments Corp. | 82,537 | 775 | ||||
RPT Realty | 127,715 | 737 | ||||
Acadia Realty Trust | 62,174 | 729 | ||||
Alexander & Baldwin Inc. | 61,540 | 702 | ||||
Getty Realty Corp. | 25,414 | 677 | ||||
Independence Realty Trust Inc. | 62,011 | 613 | ||||
Chatham Lodging Trust | 74,515 | 503 | ||||
* | Marcus & Millichap Inc. | 18,193 | 502 | |||
Armada Hoffler Properties Inc. | 49,004 | 422 | ||||
Whitestone REIT | 64,599 | 397 | ||||
Investors Real Estate Trust | 4,035 | 286 | ||||
Hersha Hospitality Trust Class A | 56,585 | 285 | ||||
NexPoint Residential Trust Inc. | 8,844 | 283 | ||||
Saul Centers Inc. | 7,983 | 243 | ||||
RE/MAX Holdings Inc. Class A | 8,139 | 228 | ||||
Urstadt Biddle Properties Inc. Class A | 17,465 | 223 | ||||
1 | Washington Prime Group Inc. | 295,562 | 189 | |||
1 | Pennsylvania REIT | 94,943 | 107 | |||
Cedar Realty Trust Inc. | 136,266 | 102 | ||||
* | CBL & Associates Properties Inc. | 277,465 | 83 | |||
38,087 | ||||||
Utilities (2.3%) | ||||||
Avista Corp. | 105,705 | 4,140 | ||||
El Paso Electric Co. | 27,167 | 1,847 | ||||
Northwest Natural Holding Co. | 24,113 | 1,546 | ||||
South Jersey Industries Inc. | 49,786 | 1,412 | ||||
California Water Service Group | 25,196 | 1,184 | ||||
10,129 | ||||||
Total Common Stocks (Cost $568,228) | 448,688 | |||||
Coupon | ||||||
Temporary Cash Investments (2.7%) | ||||||
Money Market Fund (2.7%) | ||||||
3,4 | Vanguard Market Liquidity Fund | 0.307% | 121,085 | 12,108 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
5 | United States Treasury Bill | 0.215% | 9/15/20 | 52 | 52 | |
Total Temporary Cash Investments (Cost $12,158) | 12,160 | |||||
Total Investments (102.8%) (Cost $580,386) | 460,848 | |||||
Other Assets and Liabilities-Net (-2.8%)4,5 | (12,497) | |||||
Net Assets (100.0%) | 448,351 |
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 $9,797,000. |
2 | The shares and market value of FGL Holdings ("FGL") are adjusted by 53,043 shares and $513,000 to account for the sale on May 29, 2020, of shares of Fidelity National Financial Inc. ("Fidelity") to be received as a result of Fidelity's acquisition of FGL. The Fidelity shares were sold because Fidelity is not part of the benchmark index. The sale was settled on June 5, 2020, after receipt of the Fidelity shares. The market value includes the residual cash entitlement of $11.22 per share of FGL. |
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 $11,816,000 was received for securities on loan. |
5 | Securities with a value of $52,000 and cash of $11,000 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 Russell 2000 Index | June 2020 | 17 | 1,184 | 44 |
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 | 448,688 | — | — | 448,688 |
Temporary Cash Investments | 12,108 | 52 | — | 12,160 |
Total | 460,796 | 52 | — | 460,848 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 2 | — | — | 2 |
1 | Represents variation margin on the last day of the reporting period. |