Vanguard S&P Small-Cap 600 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 (99.9%) | ||||||
Communication Services (2.7%) | ||||||
Cogent Communications Holdings Inc. | 132,370 | 10,129 | ||||
Shenandoah Telecommunications Co. | 148,929 | 7,835 | ||||
* | Iridium Communications Inc. | 308,326 | 7,092 | |||
* | Vonage Holdings Corp. | 724,917 | 6,981 | |||
* | Glu Mobile Inc. | 365,011 | 3,643 | |||
Scholastic Corp. | 97,560 | 2,868 | ||||
* | Cincinnati Bell Inc. | 159,513 | 2,350 | |||
ATN International Inc. | 34,659 | 2,059 | ||||
* | TechTarget Inc. | 72,763 | 2,000 | |||
1 | Meredith Corp. | 127,382 | 1,903 | |||
EW Scripps Co. Class A | 172,252 | 1,493 | ||||
* | QuinStreet Inc. | 146,133 | 1,482 | |||
* | Consolidated Communications Holdings Inc. | 229,422 | 1,390 | |||
Marcus Corp. | 72,767 | 981 | ||||
Spok Holdings Inc. | 55,061 | 566 | ||||
Gannett Co. Inc. | 414,835 | 543 | ||||
53,315 | ||||||
Consumer Discretionary (14.8%) | ||||||
* | TopBuild Corp. | 107,861 | 12,371 | |||
Strategic Education Inc. | 69,803 | 11,841 | ||||
Wingstop Inc. | 93,596 | 11,414 | ||||
* | Stamps.com Inc. | 51,563 | 10,217 | |||
* | Fox Factory Holding Corp. | 122,514 | 8,835 | |||
Lithia Motors Inc. Class A | 71,949 | 8,676 | ||||
* | Meritage Homes Corp. | 114,385 | 7,950 | |||
LCI Industries | 79,510 | 7,866 | ||||
* | Capri Holdings Ltd. | 481,925 | 7,248 | |||
* | YETI Holdings Inc. | 210,277 | 6,750 | |||
*,1 | iRobot Corp. | 89,856 | 6,624 | |||
* | Dorman Products Inc. | 92,666 | 6,479 | |||
1 | Macy's Inc. | 983,481 | 6,255 | |||
* | Crocs Inc. | 218,018 | 6,246 | |||
* | LGI Homes Inc. | 70,177 | 5,854 | |||
Monro Inc. | 105,807 | 5,830 | ||||
Winnebago Industries Inc. | 106,909 | 5,816 | ||||
Steven Madden Ltd. | 246,147 | 5,789 | ||||
* | Shake Shack Inc. Class A | 98,787 | 5,488 | |||
MDC Holdings Inc. | 159,089 | 5,407 | ||||
Wolverine World Wide Inc. | 257,233 | 5,386 | ||||
* | Cavco Industries Inc. | 27,288 | 5,190 | |||
Big Lots Inc. | 123,741 | 4,795 |
Shares | Market Value ($000) | |||||
Callaway Golf Co. | 298,710 | 4,576 | ||||
* | Asbury Automotive Group Inc. | 61,582 | 4,451 | |||
* | Installed Building Products Inc. | 67,625 | 4,347 | |||
Office Depot Inc. | 1,733,215 | 4,281 | ||||
* | Gentherm Inc. | 104,159 | 4,239 | |||
Cooper Tire & Rubber Co. | 159,296 | 4,099 | ||||
Core-Mark Holding Co. Inc. | 144,787 | 4,051 | ||||
Rent-A-Center Inc. | 156,170 | 3,976 | ||||
La-Z-Boy Inc. | 147,174 | 3,785 | ||||
* | Perdoceo Education Corp. | 222,949 | 3,630 | |||
Group 1 Automotive Inc. | 55,639 | 3,502 | ||||
Sturm Ruger & Co. Inc. | 52,603 | 3,279 | ||||
Bloomin' Brands Inc. | 276,560 | 3,156 | ||||
* | M/I Homes Inc. | 89,273 | 2,989 | |||
* | Sleep Number Corp. | 90,037 | 2,806 | |||
Standard Motor Products Inc. | 64,337 | 2,738 | ||||
* | Century Communities Inc. | 90,074 | 2,661 | |||
* | American Axle & Manufacturing Holdings Inc. | 357,272 | 2,540 | |||
Dine Brands Global Inc. | 53,199 | 2,415 | ||||
Oxford Industries Inc. | 54,482 | 2,322 | ||||
Abercrombie & Fitch Co. Class A | 199,193 | 2,315 | ||||
1 | PetMed Express Inc. | 63,798 | 2,303 | |||
Shutterstock Inc. | 60,568 | 2,297 | ||||
Kontoor Brands Inc. | 148,233 | 2,167 | ||||
Sonic Automotive Inc. Class A | 77,391 | 2,034 | ||||
* | Universal Electronics Inc. | 44,072 | 1,994 | |||
* | Boot Barn Holdings Inc. | 90,510 | 1,944 | |||
1 | Children's Place Inc. | 45,962 | 1,914 | |||
* | Vista Outdoor Inc. | 184,804 | 1,794 | |||
1 | Signet Jewelers Ltd. | 165,976 | 1,751 | |||
* | Zumiez Inc. | 64,572 | 1,574 | |||
* | America's Car-Mart Inc. | 19,585 | 1,558 | |||
* | American Public Education Inc. | 48,902 | 1,537 | |||
* | Monarch Casino & Resort Inc. | 37,942 | 1,523 | |||
* | G-III Apparel Group Ltd. | 136,347 | 1,408 | |||
BJ's Restaurants Inc. | 60,709 | 1,319 | ||||
* | MarineMax Inc. | 68,486 | 1,303 | |||
Guess? Inc. | 135,801 | 1,300 | ||||
Dave & Buster's Entertainment Inc. | 97,750 | 1,289 | ||||
1 | Buckle Inc. | 90,601 | 1,276 | |||
* | Garrett Motion Inc. | 236,919 | 1,225 | |||
* | Hibbett Sports Inc. | 56,126 | 1,084 | |||
Designer Brands Inc. Class A | 174,185 | 1,068 | ||||
Haverty Furniture Cos. Inc. | 57,279 | 991 | ||||
* | Motorcar Parts of America Inc. | 59,956 | 949 | |||
Caleres Inc. | 130,755 | 938 | ||||
*,1 | Michaels Cos. Inc. | 240,259 | 927 | |||
*,1 | Lumber Liquidators Holdings Inc. | 92,030 | 915 | |||
Ethan Allen Interiors Inc. | 77,968 | 881 | ||||
* | El Pollo Loco Holdings Inc. | 62,239 | 863 | |||
* | Chuy's Holdings Inc. | 53,030 | 848 | |||
*,1 | GameStop Corp. Class A | 207,930 | 844 | |||
* | Genesco Inc. | 45,100 | 834 | |||
* | Regis Corp. | 77,089 | 811 | |||
Shoe Carnival Inc. | 28,561 | 742 | ||||
Ruth's Hospitality Group Inc. | 85,600 | 694 | ||||
Cato Corp. Class A | 69,205 | 671 | ||||
* | Unifi Inc. | 46,245 | 635 |
Shares | Market Value ($000) | |||||
* | Red Robin Gourmet Burgers Inc. | 41,108 | 570 | |||
* | Cooper-Standard Holdings Inc. | 53,568 | 562 | |||
Movado Group Inc. | 51,802 | 544 | ||||
* | Fiesta Restaurant Group Inc. | 64,479 | 531 | |||
Chico's FAS Inc. | 378,799 | 511 | ||||
Tupperware Brands Corp. | 154,856 | 500 | ||||
* | Liquidity Services Inc. | 84,171 | 481 | |||
*,1 | Fossil Group Inc. | 147,037 | 448 | |||
*,1 | Conn's Inc. | 60,955 | 440 | |||
*,1 | Express Inc. | 215,083 | 422 | |||
* | Vera Bradley Inc. | 73,608 | 386 | |||
1 | Tailored Brands Inc. | 160,931 | 208 | |||
* | Barnes & Noble Education Inc. | 121,286 | 188 | |||
294,481 | ||||||
Consumer Staples (3.7%) | ||||||
WD-40 Co. | 43,517 | 8,349 | ||||
J&J Snack Foods Corp. | 47,441 | 6,102 | ||||
1 | B&G Foods Inc. | 203,313 | 4,721 | |||
* | Central Garden & Pet Co. Class A | 127,685 | 4,374 | |||
* | Cal-Maine Foods Inc. | 96,311 | 4,292 | |||
Vector Group Ltd. | 366,591 | 4,190 | ||||
PriceSmart Inc. | 70,914 | 3,856 | ||||
Medifast Inc. | 36,808 | 3,767 | ||||
Coca-Cola Consolidated Inc. | 14,716 | 3,582 | ||||
Universal Corp. | 78,706 | 3,468 | ||||
* | USANA Health Sciences Inc. | 39,965 | 3,386 | |||
* | United Natural Foods Inc. | 169,478 | 3,322 | |||
Calavo Growers Inc. | 51,919 | 3,038 | ||||
Inter Parfums Inc. | 55,870 | 2,593 | ||||
SpartanNash Co. | 115,885 | 2,481 | ||||
John B Sanfilippo & Son Inc. | 27,820 | 2,419 | ||||
Fresh Del Monte Produce Inc. | 96,485 | 2,401 | ||||
*,1 | National Beverage Corp. | 36,964 | 2,106 | |||
MGP Ingredients Inc. | 42,090 | 1,579 | ||||
Andersons Inc. | 103,219 | 1,338 | ||||
* | Chefs' Warehouse Inc. | 80,359 | 1,189 | |||
* | Central Garden & Pet Co. | 31,108 | 1,141 | |||
* | Seneca Foods Corp. Class A | 22,006 | 803 | |||
74,497 | ||||||
Energy (3.0%) | ||||||
Helmerich & Payne Inc. | 345,180 | 6,949 | ||||
* | Southwestern Energy Co. | 1,716,604 | 5,167 | |||
Range Resources Corp. | 662,267 | 3,967 | ||||
* | PDC Energy Inc. | 307,934 | 3,751 | |||
*,1 | Renewable Energy Group Inc. | 123,685 | 3,519 | |||
* | Dril-Quip Inc. | 115,247 | 3,502 | |||
Core Laboratories NV | 140,543 | 2,842 | ||||
Archrock Inc. | 407,471 | 2,587 | ||||
Patterson-UTI Energy Inc. | 614,068 | 2,266 | ||||
* | Oceaneering International Inc. | 313,576 | 2,013 | |||
* | Helix Energy Solutions Group Inc. | 450,446 | 1,514 | |||
* | SEACOR Holdings Inc. | 55,712 | 1,493 | |||
DMC Global Inc. | 46,623 | 1,331 | ||||
* | ProPetro Holding Corp. | 262,350 | 1,299 | |||
SM Energy Co. | 337,891 | 1,189 | ||||
* | Par Pacific Holdings Inc. | 117,488 | 1,091 | |||
* | REX American Resources Corp. | 17,929 | 1,052 |
Shares | Market Value ($000) | |||||
* | Bonanza Creek Energy Inc. | 58,765 | 993 | |||
* | Matrix Service Co. | 86,005 | 948 | |||
* | Green Plains Inc. | 106,462 | 910 | |||
*,1 | Callon Petroleum Co. | 1,244,511 | 832 | |||
* | Oil States International Inc. | 192,671 | 817 | |||
1 | Nabors Industries Ltd. | 21,542 | 798 | |||
* | Talos Energy Inc. | 63,705 | 774 | |||
* | Dorian LPG Ltd. | 91,635 | 753 | |||
* | Gulfport Energy Corp. | 459,613 | 694 | |||
US Silica Holdings Inc. | 234,197 | 691 | ||||
QEP Resources Inc. | 758,671 | 648 | ||||
* | Exterran Corp. | 90,292 | 580 | |||
* | Newpark Resources Inc. | 285,057 | 576 | |||
*,1 | CONSOL Energy Inc. | 82,007 | 558 | |||
* | RPC Inc. | 160,910 | 512 | |||
* | Laredo Petroleum Inc. | 566,184 | 480 | |||
*,1 | Oasis Petroleum Inc. | 911,834 | 420 | |||
* | Penn Virginia Corp. | 42,523 | 373 | |||
* | Geospace Technologies Corp. | 43,089 | 340 | |||
*,1 | Denbury Resources Inc. | 1,560,521 | 332 | |||
* | Era Group Inc. Class A | 62,299 | 312 | |||
*,1 | Ring Energy Inc. | 186,697 | 222 | |||
*,1 | Valaris plc Class A | 630,096 | 211 | |||
* | TETRA Technologies Inc. | 397,560 | 131 | |||
* | HighPoint Resources Corp. | 345,039 | 83 | |||
59,520 | ||||||
Financials (15.3%) | ||||||
Glacier Bancorp Inc. | 272,236 | 11,213 | ||||
* | eHealth Inc. | 79,108 | 10,317 | |||
Kinsale Capital Group Inc. | 65,433 | 9,770 | ||||
Community Bank System Inc. | 164,195 | 9,757 | ||||
CVB Financial Corp. | 422,919 | 8,251 | ||||
Independent Bank Corp. | 109,206 | 7,587 | ||||
Old National Bancorp | 539,587 | 7,333 | ||||
American Equity Investment Life Holding Co. | 289,618 | 6,282 | ||||
Simmons First National Corp. Class A | 362,443 | 6,216 | ||||
* | Green Dot Corp. Class A | 150,518 | 5,747 | |||
Columbia Banking System Inc. | 229,173 | 5,583 | ||||
ServisFirst Bancshares Inc. | 146,529 | 5,111 | ||||
Westamerica Bancorp | 85,993 | 5,072 | ||||
Ameris Bancorp | 208,012 | 5,040 | ||||
* | PRA Group Inc. | 144,438 | 4,928 | |||
United Community Banks Inc. | 250,940 | 4,906 | ||||
Horace Mann Educators Corp. | 131,056 | 4,786 | ||||
First Midwest Bancorp Inc. | 349,551 | 4,562 | ||||
NBT Bancorp Inc. | 139,236 | 4,361 | ||||
Banner Corp. | 112,333 | 4,219 | ||||
First Financial Bancorp | 315,876 | 4,198 | ||||
* | Palomar Holdings Inc. | 56,059 | 4,172 | |||
Pacific Premier Bancorp Inc. | 188,811 | 4,082 | ||||
Hope Bancorp Inc. | 403,207 | 3,828 | ||||
First Bancorp | 690,320 | 3,776 | ||||
AMERISAFE Inc. | 61,252 | 3,760 | ||||
Northwest Bancshares Inc. | 375,531 | 3,740 | ||||
Apollo Commercial Real Estate Finance Inc. | 453,246 | 3,730 | ||||
James River Group Holdings Ltd. | 96,402 | 3,728 | ||||
* | Axos Financial Inc. | 169,617 | 3,698 | |||
Walker & Dunlop Inc. | 91,048 | 3,687 |
Shares | Market Value ($000) | |||||
* | Seacoast Banking Corp. of Florida | 163,797 | 3,563 | |||
Safety Insurance Group Inc. | 46,541 | 3,548 | ||||
PennyMac Mortgage Investment Trust | 317,951 | 3,501 | ||||
Eagle Bancorp Inc. | 106,844 | 3,458 | ||||
* | NMI Holdings Inc. Class A | 216,016 | 3,319 | |||
Piper Sandler Cos. | 55,168 | 3,290 | ||||
Cadence Bancorp Class A | 406,711 | 3,282 | ||||
City Holding Co. | 51,586 | 3,245 | ||||
Flagstar Bancorp Inc. | 109,394 | 3,205 | ||||
Employers Holdings Inc. | 101,249 | 3,026 | ||||
Waddell & Reed Financial Inc. Class A | 223,693 | 2,917 | ||||
Southside Bancshares Inc. | 100,992 | 2,848 | ||||
* | Encore Capital Group Inc. | 87,715 | 2,787 | |||
S&T Bancorp Inc. | 121,936 | 2,712 | ||||
* | INTL. FCStone Inc. | 51,735 | 2,639 | |||
Veritex Holdings Inc. | 150,468 | 2,636 | ||||
National Bank Holdings Corp. Class A | 99,435 | 2,615 | ||||
Great Western Bancorp Inc. | 179,360 | 2,554 | ||||
First Commonwealth Financial Corp. | 310,999 | 2,544 | ||||
Tompkins Financial Corp. | 38,908 | 2,504 | ||||
Provident Financial Services Inc. | 191,344 | 2,493 | ||||
1,2 | FGL Holdings | 309,035 | 2,490 | |||
New York Mortgage Trust Inc. | 1,166,059 | 2,425 | ||||
ProAssurance Corp. | 171,482 | 2,366 | ||||
Brookline Bancorp Inc. | 253,037 | 2,353 | ||||
Stewart Information Services Corp. | 75,556 | 2,329 | ||||
Heritage Financial Corp. | 116,696 | 2,217 | ||||
Virtus Investment Partners Inc. | 23,224 | 2,159 | ||||
Meta Financial Group Inc. | 109,573 | 1,986 | ||||
OFG Bancorp | 163,175 | 1,983 | ||||
TrustCo Bank Corp. | 309,366 | 1,949 | ||||
* | Ambac Financial Group Inc. | 143,848 | 1,930 | |||
Redwood Trust Inc. | 357,224 | 1,911 | ||||
* | Blucora Inc. | 155,182 | 1,886 | |||
* | Third Point Reinsurance Ltd. | 253,206 | 1,869 | |||
HomeStreet Inc. | 77,930 | 1,856 | ||||
* | Triumph Bancorp Inc. | 74,411 | 1,827 | |||
Boston Private Financial Holdings Inc. | 265,431 | 1,824 | ||||
United Fire Group Inc. | 67,425 | 1,809 | ||||
Universal Insurance Holdings Inc. | 96,700 | 1,727 | ||||
Preferred Bank | 43,441 | 1,632 | ||||
Banc of California Inc. | 142,004 | 1,555 | ||||
Allegiance Bancshares Inc. | 60,642 | 1,553 | ||||
* | Enova International Inc. | 108,041 | 1,529 | |||
Capstead Mortgage Corp. | 300,030 | 1,518 | ||||
Northfield Bancorp Inc. | 137,365 | 1,501 | ||||
ARMOUR Residential REIT Inc. | 187,496 | 1,468 | ||||
Berkshire Hills Bancorp Inc. | 135,703 | 1,468 | ||||
Central Pacific Financial Corp. | 89,552 | 1,443 | ||||
1 | Invesco Mortgage Capital Inc. | 509,167 | 1,410 | |||
Dime Community Bancshares Inc. | 97,472 | 1,407 | ||||
Opus Bank | 68,904 | 1,343 | ||||
KKR Real Estate Finance Trust Inc. | 77,523 | 1,255 | ||||
* | World Acceptance Corp. | 17,477 | 1,162 | |||
WisdomTree Investments Inc. | 371,696 | 1,111 | ||||
Franklin Financial Network Inc. | 42,670 | 1,052 | ||||
* | Customers Bancorp Inc. | 91,245 | 1,012 | |||
HCI Group Inc. | 20,454 | 917 |
Shares | Market Value ($000) | |||||
Hanmi Financial Corp. | 98,684 | 891 | ||||
* | EZCORP Inc. Class A | 167,269 | 863 | |||
Granite Point Mortgage Trust Inc. | 174,295 | 858 | ||||
* | Donnelley Financial Solutions Inc. | 99,080 | 808 | |||
Ready Capital Corp. | 117,005 | 687 | ||||
United Insurance Holdings Corp. | 66,630 | 522 | ||||
Greenhill & Co. Inc. | 47,705 | 476 | ||||
304,463 | ||||||
Health Care (13.1%) | ||||||
* | Neogen Corp. | 166,488 | 11,857 | |||
* | Emergent BioSolutions Inc. | 139,461 | 11,644 | |||
* | Momenta Pharmaceuticals Inc. | 360,867 | 11,360 | |||
* | Omnicell Inc. | 133,285 | 8,918 | |||
* | NeoGenomics Inc. | 331,339 | 8,843 | |||
* | HMS Holdings Corp. | 279,985 | 8,747 | |||
* | Integer Holdings Corp. | 103,844 | 8,222 | |||
* | Medpace Holdings Inc. | 87,037 | 8,079 | |||
* | Merit Medical Systems Inc. | 175,422 | 7,892 | |||
Ensign Group Inc. | 159,339 | 6,966 | ||||
CONMED Corp. | 90,102 | 6,614 | ||||
* | AMN Healthcare Services Inc. | 148,528 | 6,589 | |||
* | Pacira BioSciences Inc. | 132,755 | 5,835 | |||
* | Select Medical Holdings Corp. | 341,462 | 5,511 | |||
* | Magellan Health Inc. | 69,229 | 5,192 | |||
* | BioTelemetry Inc. | 108,099 | 5,100 | |||
* | Corcept Therapeutics Inc. | 327,035 | 4,951 | |||
* | Glaukos Corp. | 123,789 | 4,825 | |||
* | Covetrus Inc. | 310,506 | 4,745 | |||
* | Xencor Inc. | 156,771 | 4,742 | |||
* | Cardiovascular Systems Inc. | 111,941 | 4,334 | |||
* | Addus HomeCare Corp. | 43,044 | 4,260 | |||
Luminex Corp. | 133,136 | 4,149 | ||||
* | Supernus Pharmaceuticals Inc. | 166,929 | 4,026 | |||
* | Cytokinetics Inc. | 187,973 | 3,893 | |||
* | REGENXBIO Inc. | 99,337 | 3,741 | |||
* | Myriad Genetics Inc. | 236,233 | 3,433 | |||
Mesa Laboratories Inc. | 12,771 | 3,375 | ||||
* | Tabula Rasa HealthCare Inc. | 62,490 | 3,339 | |||
* | Coherus Biosciences Inc. | 175,607 | 3,273 | |||
US Physical Therapy Inc. | 40,453 | 2,999 | ||||
* | Innoviva Inc. | 212,539 | 2,969 | |||
* | Tactile Systems Technology Inc. | 60,689 | 2,940 | |||
* | Providence Service Corp. | 36,396 | 2,930 | |||
* | OraSure Technologies Inc. | 196,575 | 2,858 | |||
* | CryoLife Inc. | 119,094 | 2,707 | |||
* | Enanta Pharmaceuticals Inc. | 50,573 | 2,604 | |||
* | Endo International plc | 641,865 | 2,478 | |||
* | Natus Medical Inc. | 108,552 | 2,323 | |||
* | Varex Imaging Corp. | 121,722 | 2,284 | |||
* | RadNet Inc. | 132,890 | 2,265 | |||
* | Inogen Inc. | 57,912 | 2,201 | |||
* | Hanger Inc. | 119,064 | 2,186 | |||
* | Pennant Group Inc. | 83,216 | 2,121 | |||
* | Meridian Bioscience Inc. | 135,080 | 2,088 | |||
* | Orthofix Medical Inc. | 60,239 | 2,053 | |||
* | Amphastar Pharmaceuticals Inc. | 108,622 | 2,025 | |||
* | Heska Corp. | 22,489 | 1,978 | |||
* | Vanda Pharmaceuticals Inc. | 168,719 | 1,977 |
Shares | Market Value ($000) | |||||
Simulations Plus Inc. | 38,556 | 1,954 | ||||
* | CorVel Corp. | 28,331 | 1,923 | |||
* | HealthStream Inc. | 81,083 | 1,847 | |||
* | Lantheus Holdings Inc. | 124,181 | 1,705 | |||
Phibro Animal Health Corp. Class A | 64,057 | 1,678 | ||||
* | Eagle Pharmaceuticals Inc. | 32,272 | 1,654 | |||
* | Surmodics Inc. | 43,267 | 1,600 | |||
* | NextGen Healthcare Inc. | 153,126 | 1,580 | |||
Owens & Minor Inc. | 199,042 | 1,578 | ||||
* | Anika Therapeutics Inc. | 45,259 | 1,518 | |||
* | Tivity Health Inc. | 136,521 | 1,454 | |||
LeMaitre Vascular Inc. | 51,779 | 1,392 | ||||
* | AngioDynamics Inc. | 120,345 | 1,229 | |||
* | Community Health Systems Inc. | 375,318 | 1,182 | |||
* | Progenics Pharmaceuticals Inc. | 276,149 | 1,172 | |||
* | Spectrum Pharmaceuticals Inc. | 357,482 | 1,051 | |||
* | ANI Pharmaceuticals Inc. | 29,591 | 919 | |||
Computer Programs & Systems Inc. | 39,903 | 883 | ||||
*,1 | AMAG Pharmaceuticals Inc. | 108,185 | 834 | |||
* | Lannett Co. Inc. | 106,330 | 813 | |||
* | Cross Country Healthcare Inc. | 116,066 | 705 | |||
Invacare Corp. | 108,186 | 666 | ||||
* | Cutera Inc. | 44,996 | 598 | |||
260,376 | ||||||
Industrials (17.6%) | ||||||
Exponent Inc. | 164,513 | 12,213 | ||||
* | Proto Labs Inc. | 85,019 | 10,742 | |||
Simpson Manufacturing Co. Inc. | 128,071 | 10,253 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 229,783 | 10,076 | |||
* | Saia Inc. | 82,426 | 8,938 | |||
UFP Industries Inc. | 195,074 | 8,921 | ||||
UniFirst Corp. | 48,583 | 8,735 | ||||
John Bean Technologies Corp. | 100,664 | 8,270 | ||||
Brady Corp. Class A | 158,157 | 8,087 | ||||
Watts Water Technologies Inc. Class A | 87,737 | 7,296 | ||||
Applied Industrial Technologies Inc. | 122,870 | 7,126 | ||||
AAON Inc. | 129,039 | 6,990 | ||||
ESCO Technologies Inc. | 82,493 | 6,815 | ||||
ABM Industries Inc. | 211,068 | 6,486 | ||||
Franklin Electric Co. Inc. | 122,388 | 6,208 | ||||
Hillenbrand Inc. | 235,483 | 6,061 | ||||
Albany International Corp. Class A | 97,525 | 5,881 | ||||
Arcosa Inc. | 153,829 | 5,872 | ||||
Barnes Group Inc. | 151,540 | 5,725 | ||||
* | SPX Corp. | 140,213 | 5,606 | |||
Federal Signal Corp. | 192,210 | 5,601 | ||||
Moog Inc. Class A | 102,370 | 5,558 | ||||
Korn Ferry | 175,753 | 5,318 | ||||
SkyWest Inc. | 160,155 | 5,136 | ||||
* | Hub Group Inc. Class A | 106,126 | 4,964 | |||
* | AeroVironment Inc. | 68,616 | 4,860 | |||
Mueller Industries Inc. | 181,096 | 4,850 | ||||
* | Meritor Inc. | 234,842 | 4,786 | |||
* | SPX FLOW Inc. | 135,290 | 4,678 | |||
* | Gibraltar Industries Inc. | 102,658 | 4,518 | |||
Mobile Mini Inc. | 140,015 | 4,486 | ||||
Allegiant Travel Co. Class A | 41,927 | 4,467 | ||||
* | Chart Industries Inc. | 113,617 | 4,459 |
Shares | Market Value ($000) | |||||
Forward Air Corp. | 89,681 | 4,455 | ||||
Comfort Systems USA Inc. | 116,493 | 4,310 | ||||
* | Sunrun Inc. | 247,367 | 4,131 | |||
Cubic Corp. | 99,311 | 4,093 | ||||
Matson Inc. | 136,367 | 3,896 | ||||
Tennant Co. | 58,136 | 3,717 | ||||
Patrick Industries Inc. | 70,939 | 3,680 | ||||
* | Vicor Corp. | 58,229 | 3,551 | |||
Kaman Corp. | 88,645 | 3,546 | ||||
Heartland Express Inc. | 149,093 | 3,265 | ||||
Lindsay Corp. | 34,374 | 3,228 | ||||
* | Atlas Air Worldwide Holdings Inc. | 82,190 | 3,210 | |||
Encore Wire Corp. | 66,467 | 3,210 | ||||
Alamo Group Inc. | 30,760 | 3,178 | ||||
Marten Transport Ltd. | 123,555 | 3,162 | ||||
* | American Woodmark Corp. | 49,554 | 3,110 | |||
Enerpac Tool Group Corp. Class A | 170,524 | 3,052 | ||||
Astec Industries Inc. | 71,668 | 3,044 | ||||
EnPro Industries Inc. | 66,122 | 2,981 | ||||
* | Harsco Corp. | 250,701 | 2,798 | |||
* | GMS Inc. | 133,979 | 2,745 | |||
US Ecology Inc. | 81,016 | 2,728 | ||||
AZZ Inc. | 82,944 | 2,626 | ||||
Granite Construction Inc. | 148,167 | 2,608 | ||||
* | PGT Innovations Inc. | 184,916 | 2,517 | |||
Raven Industries Inc. | 113,423 | 2,433 | ||||
Griffon Corp. | 135,709 | 2,280 | ||||
Greenbrier Cos. Inc. | 103,262 | 2,191 | ||||
Hawaiian Holdings Inc. | 148,310 | 2,140 | ||||
AAR Corp. | 104,950 | 2,117 | ||||
Standex International Corp. | 39,734 | 2,102 | ||||
Matthews International Corp. Class A | 99,934 | 2,069 | ||||
* | TrueBlue Inc. | 123,166 | 1,904 | |||
ArcBest Corp. | 80,885 | 1,811 | ||||
* | Echo Global Logistics Inc. | 86,385 | 1,788 | |||
Apogee Enterprises Inc. | 84,847 | 1,752 | ||||
Wabash National Corp. | 171,466 | 1,638 | ||||
Interface Inc. Class A | 186,394 | 1,583 | ||||
Kelly Services Inc. Class A | 105,001 | 1,574 | ||||
* | MYR Group Inc. | 52,912 | 1,524 | |||
* | Aegion Corp. Class A | 97,398 | 1,462 | |||
National Presto Industries Inc. | 15,935 | 1,434 | ||||
Heidrick & Struggles International Inc. | 60,623 | 1,345 | ||||
Quanex Building Products Corp. | 105,902 | 1,313 | ||||
Pitney Bowes Inc. | 540,933 | 1,282 | ||||
Triumph Group Inc. | 158,771 | 1,189 | ||||
Viad Corp. | 64,383 | 1,181 | ||||
Resources Connection Inc. | 96,761 | 1,063 | ||||
* | Forrester Research Inc. | 33,651 | 1,057 | |||
Insteel Industries Inc. | 58,317 | 1,029 | ||||
* | CIRCOR International Inc. | 62,833 | 1,010 | |||
* | DXP Enterprises Inc. | 50,736 | 895 | |||
Park Aerospace Corp. | 61,802 | 750 | ||||
* | Foundation Building Materials Inc. | 55,652 | 741 | |||
Powell Industries Inc. | 27,729 | 738 | ||||
* | Lydall Inc. | 55,414 | 600 | |||
* | Veritiv Corp. | 39,774 | 496 | |||
* | Team Inc. | 96,004 | 473 |
Shares | Market Value ($000) | |||||
RR Donnelley & Sons Co. | 226,031 | 246 | ||||
1 | Briggs & Stratton Corp. | 134,272 | 220 | |||
1 | Titan International Inc. | 160,443 | 197 | |||
350,450 | ||||||
Information Technology (15.2%) | ||||||
* | Qualys Inc. | 105,800 | 12,201 | |||
Power Integrations Inc. | 93,487 | 10,129 | ||||
Brooks Automation Inc. | 229,891 | 9,189 | ||||
* | Anixter International Inc. | 95,657 | 9,155 | |||
* | Viavi Solutions Inc. | 730,806 | 8,470 | |||
* | Advanced Energy Industries Inc. | 121,813 | 8,141 | |||
* | SPS Commerce Inc. | 110,655 | 7,542 | |||
* | Fabrinet | 117,593 | 7,519 | |||
* | LivePerson Inc. | 195,730 | 7,330 | |||
* | Itron Inc. | 111,915 | 7,210 | |||
ManTech International Corp. Class A | 85,508 | 6,647 | ||||
* | ExlService Holdings Inc. | 108,321 | 6,626 | |||
* | Diodes Inc. | 131,465 | 6,394 | |||
* | Rogers Corp. | 59,025 | 6,390 | |||
* | Alarm.com Holdings Inc. | 134,375 | 6,355 | |||
* | Bottomline Technologies DE Inc. | 121,039 | 6,125 | |||
* | FormFactor Inc. | 240,734 | 6,059 | |||
* | Plexus Corp. | 92,702 | 5,953 | |||
* | Sanmina Corp. | 222,416 | 5,919 | |||
* | Insight Enterprises Inc. | 113,687 | 5,828 | |||
Progress Software Corp. | 142,449 | 5,755 | ||||
Badger Meter Inc. | 92,483 | 5,659 | ||||
EVERTEC Inc. | 189,788 | 5,527 | ||||
* | Rambus Inc. | 354,009 | 5,501 | |||
NIC Inc. | 212,858 | 5,121 | ||||
KEMET Corp. | 184,719 | 4,993 | ||||
CSG Systems International Inc. | 104,737 | 4,959 | ||||
* | Onto Innovation Inc. | 156,056 | 4,850 | |||
* | 8x8 Inc. | 318,753 | 4,635 | |||
Kulicke & Soffa Industries Inc. | 201,643 | 4,509 | ||||
* | Knowles Corp. | 273,739 | 4,117 | |||
* | OSI Systems Inc. | 54,297 | 4,114 | |||
Methode Electronics Inc. | 117,434 | 3,682 | ||||
* | TTM Technologies Inc. | 312,091 | 3,611 | |||
* | MaxLinear Inc. Class A | 206,348 | 3,574 | |||
* | Perficient Inc. | 103,344 | 3,518 | |||
* | Sykes Enterprises Inc. | 122,086 | 3,328 | |||
* | MicroStrategy Inc. Class A | 26,150 | 3,255 | |||
* | ePlus Inc. | 42,971 | 3,167 | |||
* | FARO Technologies Inc. | 55,404 | 3,118 | |||
* | Virtusa Corp. | 94,868 | 2,853 | |||
* | Cardtronics plc Class A | 115,054 | 2,783 | |||
*,1 | 3D Systems Corp. | 375,575 | 2,768 | |||
* | Axcelis Technologies Inc. | 102,629 | 2,756 | |||
* | Ultra Clean Holdings Inc. | 126,558 | 2,624 | |||
* | Photronics Inc. | 213,476 | 2,560 | |||
Benchmark Electronics Inc. | 119,219 | 2,526 | ||||
* | NETGEAR Inc. | 95,469 | 2,456 | |||
TiVo Corp. | 402,624 | 2,452 | ||||
* | CEVA Inc. | 70,088 | 2,416 | |||
TTEC Holdings Inc. | 55,906 | 2,368 | ||||
CTS Corp. | 103,465 | 2,208 | ||||
Xperi Corp. | 157,630 | 2,167 |
Shares | Market Value ($000) | |||||
* | OneSpan Inc. | 103,518 | 2,104 | |||
Cohu Inc. | 131,222 | 1,976 | ||||
* | ScanSource Inc. | 79,880 | 1,969 | |||
* | Unisys Corp. | 164,102 | 1,864 | |||
* | Veeco Instruments Inc. | 154,776 | 1,817 | |||
ADTRAN Inc. | 151,716 | 1,730 | ||||
* | Harmonic Inc. | 303,642 | 1,637 | |||
* | Ichor Holdings Ltd. | 71,343 | 1,623 | |||
Ebix Inc. | 70,963 | 1,590 | ||||
PC Connection Inc. | 35,248 | 1,526 | ||||
* | PDF Solutions Inc. | 87,883 | 1,499 | |||
Comtech Telecommunications Corp. | 77,729 | 1,384 | ||||
1 | Plantronics Inc. | 103,343 | 1,347 | |||
* | DSP Group Inc. | 72,811 | 1,312 | |||
* | Extreme Networks Inc. | 389,226 | 1,284 | |||
* | Agilysys Inc. | 64,609 | 1,242 | |||
* | Diebold Nixdorf Inc. | 242,886 | 1,163 | |||
* | SMART Global Holdings Inc. | 41,632 | 1,115 | |||
MTS Systems Corp. | 57,137 | 1,006 | ||||
* | Digi International Inc. | 89,604 | 997 | |||
* | CalAmp Corp. | 109,436 | 843 | |||
*,1 | Applied Optoelectronics Inc. | 61,290 | 541 | |||
* | Arlo Technologies Inc. | 239,060 | 528 | |||
Daktronics Inc. | 119,370 | 506 | ||||
Bel Fuse Inc. Class B | 31,864 | 299 | ||||
302,014 | ||||||
Materials (4.9%) | ||||||
Balchem Corp. | 102,271 | 10,294 | ||||
Quaker Chemical Corp. | 41,142 | 7,029 | ||||
1 | Cleveland-Cliffs Inc. | 1,261,899 | 6,587 | |||
Stepan Co. | 63,645 | 6,184 | ||||
HB Fuller Co. | 161,832 | 6,088 | ||||
Innospec Inc. | 77,861 | 6,002 | ||||
* | Arconic Corp. | 307,874 | 4,455 | |||
Boise Cascade Co. | 123,522 | 4,204 | ||||
Kaiser Aluminum Corp. | 50,519 | 3,625 | ||||
* | GCP Applied Technologies Inc. | 170,567 | 3,435 | |||
Materion Corp. | 64,827 | 3,403 | ||||
* | Ferro Corp. | 261,094 | 3,138 | |||
* | Livent Corp. | 463,222 | 3,122 | |||
Schweitzer-Mauduit International Inc. | 98,093 | 2,981 | ||||
Neenah Inc. | 53,416 | 2,701 | ||||
Trinseo SA | 124,999 | 2,573 | ||||
Warrior Met Coal Inc. | 162,176 | 2,283 | ||||
PH Glatfelter Co. | 140,131 | 2,159 | ||||
Myers Industries Inc. | 112,660 | 1,533 | ||||
* | Kraton Corp. | 100,335 | 1,530 | |||
* | Clearwater Paper Corp. | 52,472 | 1,520 | |||
Hawkins Inc. | 29,898 | 1,283 | ||||
Tredegar Corp. | 78,310 | 1,199 | ||||
American Vanguard Corp. | 85,081 | 1,132 | ||||
* | Koppers Holdings Inc. | 65,520 | 1,086 | |||
FutureFuel Corp. | 81,310 | 1,064 | ||||
* | AdvanSix Inc. | 89,379 | 1,058 | |||
* | US Concrete Inc. | 50,239 | 1,048 | |||
Mercer International Inc. | 127,365 | 1,028 | ||||
* | Century Aluminum Co. | 157,877 | 941 | |||
SunCoke Energy Inc. | 275,996 | 941 |
Shares | Market Value ($000) | |||||
Haynes International Inc. | 39,485 | 901 | ||||
* | TimkenSteel Corp. | 124,993 | 438 | |||
Rayonier Advanced Materials Inc. | 160,967 | 349 | ||||
Olympic Steel Inc. | 28,918 | 319 | ||||
* | LSB Industries Inc. | 14,759 | 16 | |||
97,649 | ||||||
Real Estate (7.2%) | ||||||
Agree Realty Corp. | 152,750 | 9,588 | ||||
Lexington Realty Trust | 787,976 | 7,659 | ||||
Easterly Government Properties Inc. | 235,769 | 5,911 | ||||
CareTrust REIT Inc. | 303,656 | 5,657 | ||||
National Storage Affiliates Trust | 188,413 | 5,654 | ||||
Washington REIT | 256,064 | 5,616 | ||||
Uniti Group Inc. | 613,935 | 5,065 | ||||
Four Corners Property Trust Inc. | 219,064 | 4,736 | ||||
LTC Properties Inc. | 126,370 | 4,652 | ||||
1 | Innovative Industrial Properties Inc. | 54,147 | 4,425 | |||
Global Net Lease Inc. | 284,849 | 3,997 | ||||
American Assets Trust Inc. | 152,158 | 3,982 | ||||
Industrial Logistics Properties Trust | 207,273 | 3,886 | ||||
Office Properties Income Trust | 153,246 | 3,876 | ||||
DiamondRock Hospitality Co. | 636,099 | 3,810 | ||||
Essential Properties Realty Trust Inc. | 279,276 | 3,809 | ||||
Universal Health Realty Income Trust | 40,257 | 3,760 | ||||
Retail Opportunity Investments Corp. | 369,050 | 3,465 | ||||
Acadia Realty Trust | 277,015 | 3,249 | ||||
Xenia Hotels & Resorts Inc. | 358,568 | 3,227 | ||||
Getty Realty Corp. | 109,031 | 2,902 | ||||
Independence Realty Trust Inc. | 287,978 | 2,848 | ||||
Diversified Healthcare Trust | 756,217 | 2,707 | ||||
Investors Real Estate Trust | 36,923 | 2,618 | ||||
iStar Inc. | 237,822 | 2,599 | ||||
Kite Realty Group Trust | 267,478 | 2,595 | ||||
Alexander & Baldwin Inc. | 216,256 | 2,468 | ||||
Community Healthcare Trust Inc. | 64,524 | 2,350 | ||||
Safehold Inc. | 41,864 | 2,294 | ||||
NexPoint Residential Trust Inc. | 71,164 | 2,276 | ||||
Realogy Holdings Corp. | 363,082 | 2,200 | ||||
Summit Hotel Properties Inc. | 335,478 | 2,097 | ||||
* | Marcus & Millichap Inc. | 74,819 | 2,063 | |||
* | St. Joe Co. | 99,813 | 1,921 | |||
1 | Tanger Factory Outlet Centers Inc. | 296,257 | 1,822 | |||
Franklin Street Properties Corp. | 338,352 | 1,807 | ||||
RE/MAX Holdings Inc. Class A | 56,474 | 1,581 | ||||
Armada Hoffler Properties Inc. | 176,154 | 1,519 | ||||
RPT Realty | 255,006 | 1,471 | ||||
Urstadt Biddle Properties Inc. Class A | 94,587 | 1,207 | ||||
Saul Centers Inc. | 37,566 | 1,141 | ||||
Chatham Lodging Trust | 149,096 | 1,006 | ||||
Whitestone REIT | 128,149 | 788 | ||||
Hersha Hospitality Trust Class A | 112,885 | 569 | ||||
1 | Washington Prime Group Inc. | 591,381 | 379 | |||
1 | Pennsylvania REIT | 190,476 | 215 | |||
Cedar Realty Trust Inc. | 271,900 | 202 | ||||
*,1 | CBL & Associates Properties Inc. | 541,488 | 163 | |||
143,832 |
Shares | Market Value ($000) | |||||
Utilities (2.4%) | ||||||
American States Water Co. | 117,012 | 9,596 | ||||
El Paso Electric Co. | 129,559 | 8,806 | ||||
South Jersey Industries Inc. | 293,658 | 8,328 | ||||
Avista Corp. | 211,908 | 8,301 | ||||
California Water Service Group | 152,962 | 7,189 | ||||
Northwest Natural Holding Co. | 96,698 | 6,199 | ||||
48,419 | ||||||
Total Common Stocks (Cost $2,394,416) | 1,989,016 | |||||
Coupon | ||||||
Temporary Cash Investments (2.1%) | ||||||
Money Market Fund (2.1%) | ||||||
3,4 | Vanguard Market Liquidity Fund | 0.307% | 422,351 | 42,235 | ||
Maturity Date | Face Amount ($000) | |||||
U.S. Government and Agency Obligations (0.0%) | ||||||
5 | United States Treasury Bill | 0.208% | 9/15/20 | 100 | 100 | |
5 | United States Treasury Bill | 0.117% | 9/29/20 | 290 | 290 | |
390 | ||||||
Total Temporary Cash Investments (Cost $42,614) | 42,625 | |||||
Total Investments (102.0%) (Cost $2,437,030) | 2,031,641 | |||||
Other Assets and Liabilities-Net (-2.0%)4,5 | (40,708) | |||||
Net Assets (100.0%) | 1,990,933 |
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 $32,038,000. |
2 | The shares and market value of FGL Holdings ("FGL") are adjusted by 106,377 shares and $975,000 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 $37,786,000 was received for securities on loan. |
5 | Securities with a value of $390,000 and cash of $76,000 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 | 59 | 4,109 | 295 |
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 | 1,989,016 | — | — | 1,989,016 |
Temporary Cash Investments | 42,235 | 390 | — | 42,625 |
Total | 2,031,251 | 390 | — | 2,031,641 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 50 | — | — | 50 |
1 | Represents variation margin on the last day of the reporting period. |