Vanguard® S&P 500 Value Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (8.0%) | ||||||
Verizon Communications Inc. | 564,520 | 34,103 | ||||
AT&T Inc. | 971,999 | 27,945 | ||||
Walt Disney Co. | 96,127 | 14,228 | ||||
Comcast Corp. Class A | 273,627 | 13,747 | ||||
* | T-Mobile US Inc. | 79,365 | 10,551 | |||
Activision Blizzard Inc. | 105,296 | 8,369 | ||||
* | Twitter Inc. | 107,903 | 5,018 | |||
ViacomCBS Inc. | 76,964 | 2,715 | ||||
* | Electronic Arts Inc. | 18,524 | 2,366 | |||
Omnicom Group Inc. | 29,307 | 1,846 | ||||
CenturyLink Inc. | 134,786 | 1,408 | ||||
Fox Corp. Class A | 46,910 | 1,353 | ||||
* | DISH Network Corp. Class A | 33,713 | 1,209 | |||
Interpublic Group of Cos. Inc. | 53,224 | 1,186 | ||||
* | Discovery Inc. Class C | 42,421 | 1,019 | |||
News Corp. Class A | 56,983 | 1,006 | ||||
Fox Corp. Class B | 21,419 | 608 | ||||
* | Discovery Inc. Class A | 21,688 | 584 | |||
* | Live Nation Entertainment Inc. | 6,391 | 420 | |||
News Corp. Class B | 12,712 | 226 | ||||
129,907 | ||||||
Consumer Discretionary (6.0%) | ||||||
McDonald's Corp. | 56,846 | 12,361 | ||||
Home Depot Inc. | 42,587 | 11,814 | ||||
NIKE Inc. Class B | 56,041 | 7,549 | ||||
General Motors Co. | 171,807 | 7,532 | ||||
Lowe's Cos. Inc. | 35,053 | 5,462 | ||||
Ford Motor Co. | 533,065 | 4,840 | ||||
Target Corp. | 24,585 | 4,414 | ||||
Aptiv plc | 36,837 | 4,372 | ||||
* | Dollar Tree Inc. | 32,374 | 3,536 | |||
Best Buy Co. Inc. | 31,425 | 3,419 | ||||
Lennar Corp. Class A | 37,195 | 2,822 | ||||
Expedia Group Inc. | 18,498 | 2,303 | ||||
Genuine Parts Co. | 19,693 | 1,937 | ||||
Royal Caribbean Cruises Ltd. | 24,307 | 1,916 | ||||
VF Corp. | 20,493 | 1,709 | ||||
Whirlpool Corp. | 8,489 | 1,652 | ||||
Hasbro Inc. | 17,383 | 1,617 | ||||
Carnival Corp. | 70,686 | 1,412 | ||||
Advance Auto Parts Inc. | 9,439 | 1,394 |
Shares | Market Value ($000) | |||||
BorgWarner Inc. | 33,356 | 1,296 | ||||
L Brands Inc. | 31,886 | 1,237 | ||||
Tractor Supply Co. | 8,101 | 1,141 | ||||
Newell Brands Inc. | 51,612 | 1,097 | ||||
Las Vegas Sands Corp. | 19,295 | 1,075 | ||||
Tapestry Inc. | 37,742 | 1,069 | ||||
Darden Restaurants Inc. | 9,576 | 1,034 | ||||
* | Mohawk Industries Inc. | 8,167 | 1,028 | |||
* | Norwegian Cruise Line Holdings Ltd. | 43,100 | 986 | |||
* | Ulta Beauty Inc. | 3,452 | 951 | |||
PVH Corp. | 9,662 | 768 | ||||
Hanesbrands Inc. | 47,409 | 673 | ||||
* | LKQ Corp. | 18,284 | 644 | |||
MGM Resorts International Class A | 21,734 | 614 | ||||
Gap Inc. | 27,953 | 586 | ||||
Ralph Lauren Corp. | 6,553 | 562 | ||||
* | Under Armour Inc. Class A | 26,125 | 433 | |||
* | Under Armour Inc. Class C | 26,204 | 381 | |||
Leggett & Platt Inc. | 6,102 | 263 | ||||
Lennar Corp. Class B | 363 | 22 | ||||
97,921 | ||||||
Consumer Staples (10.2%) | ||||||
Walmart Inc. | 159,430 | 24,359 | ||||
Procter & Gamble Co. | 142,646 | 19,809 | ||||
Coca-Cola Co. | 316,432 | 16,328 | ||||
PepsiCo Inc. | 98,222 | 14,167 | ||||
Mondelez International Inc. Class A | 194,845 | 11,194 | ||||
Costco Wholesale Corp. | 24,695 | 9,675 | ||||
Philip Morris International Inc. | 118,966 | 9,012 | ||||
Altria Group Inc. | 154,641 | 6,159 | ||||
Colgate-Palmolive Co. | 64,325 | 5,509 | ||||
General Mills Inc. | 83,336 | 5,069 | ||||
Constellation Brands Inc. Class A | 22,921 | 4,718 | ||||
Archer-Daniels-Midland Co. | 75,795 | 3,772 | ||||
Walgreens Boots Alliance Inc. | 98,117 | 3,729 | ||||
Kroger Co. | 106,124 | 3,502 | ||||
Clorox Co. | 17,216 | 3,494 | ||||
Kimberly-Clark Corp. | 23,725 | 3,305 | ||||
Kraft Heinz Co. | 88,391 | 2,912 | ||||
Sysco Corp. | 38,156 | 2,720 | ||||
Conagra Brands Inc. | 66,678 | 2,438 | ||||
Kellogg Co. | 34,602 | 2,211 | ||||
J M Smucker Co. | 15,560 | 1,824 | ||||
Hormel Foods Corp. | 38,309 | 1,807 | ||||
McCormick & Co. Inc. (Non-Voting) | 8,296 | 1,551 | ||||
* | Monster Beverage Corp. | 16,642 | 1,411 | |||
Church & Dwight Co. Inc. | 15,539 | 1,364 | ||||
Tyson Foods Inc. Class A | 20,877 | 1,361 | ||||
Molson Coors Beverage Co. Class B | 25,667 | 1,181 | ||||
Hershey Co. | 6,636 | 981 | ||||
Campbell Soup Co. | 15,444 | 773 | ||||
Lamb Weston Holdings Inc. | 8,930 | 646 | ||||
166,981 | ||||||
Energy (4.9%) | ||||||
Chevron Corp. Class A | 262,631 | 22,896 | ||||
Exxon Mobil Corp. | 576,854 | 21,995 | ||||
Schlumberger NV | 189,390 | 3,937 |
Shares | Market Value ($000) | |||||
Kinder Morgan Inc. | 265,482 | 3,818 | ||||
Williams Cos. Inc. | 165,569 | 3,474 | ||||
Marathon Petroleum Corp. | 88,777 | 3,452 | ||||
Valero Energy Corp. | 55,658 | 2,993 | ||||
ONEOK Inc. | 60,581 | 2,173 | ||||
Halliburton Co. | 119,894 | 1,989 | ||||
EOG Resources Inc. | 39,744 | 1,863 | ||||
Phillips 66 | 29,807 | 1,806 | ||||
Occidental Petroleum Corp. | 114,179 | 1,799 | ||||
Baker Hughes Co. | 89,592 | 1,677 | ||||
Concho Resources Inc. | 26,846 | 1,543 | ||||
Diamondback Energy Inc. | 21,515 | 860 | ||||
Pioneer Natural Resources Co. | 8,515 | 856 | ||||
Devon Energy Corp. | 52,176 | 730 | ||||
Marathon Oil Corp. | 107,520 | 636 | ||||
TechnipFMC plc | 57,586 | 479 | ||||
HollyFrontier Corp. | 20,290 | 475 | ||||
National Oilwell Varco Inc. | 36,467 | 447 | ||||
Cabot Oil & Gas Corp. | 20,074 | 352 | ||||
Apache Corp. | 19,486 | 251 | ||||
80,501 | ||||||
Financials (19.4%) | ||||||
* | Berkshire Hathaway Inc. Class B | 270,423 | 61,903 | |||
Bank of America Corp. | 1,040,174 | 29,291 | ||||
JPMorgan Chase & Co. | 216,203 | 25,486 | ||||
Citigroup Inc. | 284,020 | 15,641 | ||||
Wells Fargo & Co. Class A | 562,082 | 15,373 | ||||
Morgan Stanley | 194,796 | 12,044 | ||||
Goldman Sachs Group Inc. | 46,941 | 10,824 | ||||
Chubb Ltd. | 61,576 | 9,103 | ||||
Truist Financial Corp. | 183,851 | 8,534 | ||||
US Bancorp | 187,017 | 8,081 | ||||
PNC Financial Services Group Inc. | 57,914 | 7,996 | ||||
BlackRock Inc. | 9,480 | 6,620 | ||||
Capital One Financial Corp. | 62,298 | 5,335 | ||||
MetLife Inc. | 105,243 | 4,859 | ||||
American International Group Inc. | 117,519 | 4,517 | ||||
Travelers Cos. Inc. | 34,539 | 4,478 | ||||
Allstate Corp. | 42,603 | 4,360 | ||||
Bank of New York Mellon Corp. | 111,185 | 4,350 | ||||
American Express Co. | 35,591 | 4,221 | ||||
CME Group Inc. | 23,973 | 4,196 | ||||
Prudential Financial Inc. | 53,882 | 4,075 | ||||
Aflac Inc. | 90,437 | 3,973 | ||||
Intercontinental Exchange Inc. | 34,455 | 3,635 | ||||
State Street Corp. | 48,073 | 3,388 | ||||
Marsh & McLennan Cos. Inc. | 26,946 | 3,089 | ||||
Progressive Corp. | 31,138 | 2,712 | ||||
Charles Schwab Corp. | 54,558 | 2,661 | ||||
Northern Trust Corp. | 28,388 | 2,644 | ||||
Fifth Third Bancorp | 97,169 | 2,462 | ||||
Aon plc Class A | 11,692 | 2,396 | ||||
Hartford Financial Services Group Inc. | 48,905 | 2,162 | ||||
KeyCorp | 133,062 | 2,057 | ||||
M&T Bank Corp. | 17,507 | 2,039 | ||||
Regions Financial Corp. | 130,875 | 1,998 | ||||
Willis Towers Watson plc | 9,140 | 1,903 | ||||
Citizens Financial Group Inc. | 58,229 | 1,902 |
Shares | Market Value ($000) | |||||
Principal Financial Group Inc. | 34,822 | 1,734 | ||||
Huntington Bancshares Inc. | 138,748 | 1,676 | ||||
First Republic Bank | 11,980 | 1,552 | ||||
Raymond James Financial Inc. | 16,667 | 1,516 | ||||
Arthur J Gallagher & Co. | 12,818 | 1,479 | ||||
Loews Corp. | 32,543 | 1,364 | ||||
W R Berkley Corp. | 19,169 | 1,249 | ||||
Globe Life Inc. | 13,388 | 1,246 | ||||
Everest Re Group Ltd. | 5,452 | 1,239 | ||||
Discover Financial Services | 15,881 | 1,210 | ||||
Lincoln National Corp. | 24,817 | 1,172 | ||||
T. Rowe Price Group Inc. | 8,039 | 1,153 | ||||
Ameriprise Financial Inc. | 5,743 | 1,064 | ||||
Nasdaq Inc. | 8,314 | 1,064 | ||||
Assurant Inc. | 8,144 | 1,052 | ||||
Comerica Inc. | 18,988 | 934 | ||||
* | SVB Financial Group | 2,539 | 876 | |||
Zions Bancorp NA | 22,394 | 864 | ||||
Cincinnati Financial Corp. | 11,024 | 842 | ||||
Invesco Ltd. | 51,261 | 832 | ||||
Franklin Resources Inc. | 36,573 | 804 | ||||
People's United Financial Inc. | 57,839 | 717 | ||||
Unum Group | 27,696 | 616 | ||||
316,563 | ||||||
Health Care (19.5%) | ||||||
UnitedHealth Group Inc. | 129,650 | 43,606 | ||||
Johnson & Johnson | 208,325 | 30,140 | ||||
Pfizer Inc. | 758,095 | 29,043 | ||||
Medtronic plc | 183,387 | 20,851 | ||||
Merck & Co. Inc. | 155,271 | 12,482 | ||||
CVS Health Corp. | 178,544 | 12,104 | ||||
AbbVie Inc. | 113,162 | 11,835 | ||||
Abbott Laboratories | 101,451 | 10,979 | ||||
Anthem Inc. | 34,312 | 10,689 | ||||
Cigna Corp. | 50,097 | 10,477 | ||||
Gilead Sciences Inc. | 171,041 | 10,377 | ||||
Becton Dickinson & Co. | 39,546 | 9,287 | ||||
Bristol-Myers Squibb Co. | 138,372 | 8,634 | ||||
Amgen Inc. | 32,761 | 7,274 | ||||
Humana Inc. | 18,048 | 7,229 | ||||
Eli Lilly & Co. | 48,736 | 7,098 | ||||
Danaher Corp. | 31,010 | 6,966 | ||||
HCA Healthcare Inc. | 35,972 | 5,400 | ||||
* | Biogen Inc. | 21,598 | 5,187 | |||
* | Centene Corp. | 79,057 | 4,874 | |||
Zimmer Biomet Holdings Inc. | 28,248 | 4,212 | ||||
McKesson Corp. | 22,127 | 3,981 | ||||
Stryker Corp. | 15,158 | 3,538 | ||||
Baxter International Inc. | 37,983 | 2,889 | ||||
* | Viatris Inc. | 164,582 | 2,768 | |||
* | Laboratory Corp. of America Holdings | 13,288 | 2,655 | |||
* | Boston Scientific Corp. | 80,015 | 2,653 | |||
* | Illumina Inc. | 7,971 | 2,567 | |||
* | Regeneron Pharmaceuticals Inc. | 4,706 | 2,428 | |||
Quest Diagnostics Inc. | 18,310 | 2,270 | ||||
Cardinal Health Inc. | 39,870 | 2,177 | ||||
Agilent Technologies Inc. | 18,093 | 2,115 | ||||
AmerisourceBergen Corp. | 20,036 | 2,066 |
Shares | Market Value ($000) | |||||
* | Alexion Pharmaceuticals Inc. | 12,552 | 1,533 | |||
* | Mettler-Toledo International Inc. | 1,210 | 1,392 | |||
Universal Health Services Inc. Class B | 10,589 | 1,383 | ||||
* | IQVIA Holdings Inc. | 8,095 | 1,368 | |||
* | Henry Schein Inc. | 19,486 | 1,253 | |||
Cerner Corp. | 15,409 | 1,153 | ||||
* | DaVita Inc. | 10,278 | 1,129 | |||
* | Hologic Inc. | 16,270 | 1,125 | |||
STERIS plc | 5,331 | 1,033 | ||||
* | Varian Medical Systems Inc. | 5,590 | 973 | |||
Cooper Cos. Inc. | 2,885 | 967 | ||||
Perrigo Co. plc | 18,644 | 899 | ||||
PerkinElmer Inc. | 6,568 | 874 | ||||
* | Waters Corp. | 3,205 | 744 | |||
* | ABIOMED Inc. | 2,641 | 724 | |||
DENTSPLY SIRONA Inc. | 13,978 | 711 | ||||
* | Bio-Rad Laboratories Inc. Class A | 816 | 439 | |||
318,551 | ||||||
Industrials (11.0%) | ||||||
3M Co. | 78,583 | 13,574 | ||||
General Electric Co. | 1,194,171 | 12,157 | ||||
Honeywell International Inc. | 51,700 | 10,543 | ||||
FedEx Corp. | 32,883 | 9,424 | ||||
United Parcel Service Inc. Class B | 53,054 | 9,076 | ||||
Boeing Co. | 40,535 | 8,541 | ||||
Union Pacific Corp. | 35,192 | 7,182 | ||||
Raytheon Technologies Corp. | 97,953 | 7,025 | ||||
Eaton Corp. plc | 54,586 | 6,611 | ||||
Caterpillar Inc. | 30,291 | 5,258 | ||||
General Dynamics Corp. | 31,706 | 4,735 | ||||
CSX Corp. | 52,184 | 4,699 | ||||
Johnson Controls International plc | 101,496 | 4,673 | ||||
Deere & Co. | 17,530 | 4,586 | ||||
Stanley Black & Decker Inc. | 21,785 | 4,015 | ||||
Norfolk Southern Corp. | 16,009 | 3,794 | ||||
Southwest Airlines Co. | 80,480 | 3,729 | ||||
Delta Air Lines Inc. | 87,007 | 3,502 | ||||
Illinois Tool Works Inc. | 15,310 | 3,232 | ||||
Fortive Corp. | 45,989 | 3,225 | ||||
Emerson Electric Co. | 37,502 | 2,881 | ||||
Waste Management Inc. | 22,280 | 2,654 | ||||
WW Grainger Inc. | 6,138 | 2,568 | ||||
Parker-Hannifin Corp. | 7,889 | 2,108 | ||||
Carrier Global Corp. | 52,164 | 1,986 | ||||
Jacobs Engineering Group Inc. | 17,765 | 1,916 | ||||
Trane Technologies plc | 12,405 | 1,814 | ||||
* | United Airlines Holdings Inc. | 39,734 | 1,790 | |||
Westinghouse Air Brake Technologies Corp. | 24,399 | 1,788 | ||||
Otis Worldwide Corp. | 26,083 | 1,746 | ||||
Rockwell Automation Inc. | 6,803 | 1,739 | ||||
CH Robinson Worldwide Inc. | 18,385 | 1,728 | ||||
Cummins Inc. | 7,462 | 1,725 | ||||
Republic Services Inc. | 15,472 | 1,496 | ||||
Textron Inc. | 31,104 | 1,403 | ||||
IHS Markit Ltd. | 13,740 | 1,367 | ||||
Verisk Analytics Inc. | 6,862 | 1,361 | ||||
Snap-on Inc. | 7,425 | 1,306 | ||||
Pentair plc | 22,658 | 1,174 |
Shares | Market Value ($000) | |||||
Fastenal Co. | 23,488 | 1,162 | ||||
Equifax Inc. | 6,627 | 1,106 | ||||
American Airlines Group Inc. | 74,615 | 1,054 | ||||
A O Smith Corp. | 18,497 | 1,042 | ||||
Robert Half International Inc. | 15,663 | 1,005 | ||||
Expeditors International of Washington Inc. | 10,991 | 982 | ||||
Dover Corp. | 8,038 | 981 | ||||
Xylem Inc. | 10,057 | 965 | ||||
Alaska Air Group Inc. | 16,830 | 858 | ||||
IDEX Corp. | 4,432 | 856 | ||||
Nielsen Holdings plc | 48,560 | 785 | ||||
Quanta Services Inc. | 10,386 | 710 | ||||
JB Hunt Transport Services Inc. | 4,665 | 631 | ||||
Howmet Aerospace Inc. | 26,704 | 626 | ||||
Rollins Inc. | 10,649 | 609 | ||||
* | Ingersoll Rand Inc. | 13,663 | 605 | |||
Flowserve Corp. | 17,706 | 603 | ||||
Huntington Ingalls Industries Inc. | 2,276 | 365 | ||||
179,076 | ||||||
Information Technology (8.0%) | ||||||
Cisco Systems Inc. | 577,529 | 24,845 | ||||
International Business Machines Corp. | 121,497 | 15,007 | ||||
Fidelity National Information Services Inc. | 84,528 | 12,545 | ||||
Intel Corp. | 249,480 | 12,062 | ||||
Accenture plc Class A | 32,112 | 7,999 | ||||
Texas Instruments Inc. | 47,471 | 7,655 | ||||
Oracle Corp. | 105,492 | 6,089 | ||||
Cognizant Technology Solutions Corp. Class A | 73,972 | 5,779 | ||||
HP Inc. | 187,356 | 4,109 | ||||
Global Payments Inc. | 20,820 | 4,064 | ||||
Automatic Data Processing Inc. | 22,289 | 3,876 | ||||
TE Connectivity Ltd. | 22,523 | 2,567 | ||||
Corning Inc. | 54,985 | 2,058 | ||||
Hewlett Packard Enterprise Co. | 175,454 | 1,937 | ||||
Western Digital Corp. | 41,267 | 1,852 | ||||
Xilinx Inc. | 12,679 | 1,845 | ||||
Maxim Integrated Products Inc. | 20,409 | 1,695 | ||||
* | F5 Networks Inc. | 8,357 | 1,361 | |||
Skyworks Solutions Inc. | 9,585 | 1,353 | ||||
Paychex Inc. | 14,444 | 1,345 | ||||
* | VeriSign Inc. | 6,486 | 1,302 | |||
Citrix Systems Inc. | 8,105 | 1,004 | ||||
Juniper Networks Inc. | 45,300 | 986 | ||||
Leidos Holdings Inc. | 9,102 | 917 | ||||
NetApp Inc. | 16,385 | 873 | ||||
Jack Henry & Associates Inc. | 5,019 | 807 | ||||
DXC Technology Co. | 34,604 | 758 | ||||
Seagate Technology plc | 12,201 | 718 | ||||
Broadridge Financial Solutions Inc. | 4,713 | 692 | ||||
* | Akamai Technologies Inc. | 6,217 | 644 | |||
* | Vontier Corp. | 18,349 | 609 | |||
NortonLifeLock Inc. | 30,542 | 557 | ||||
* | IPG Photonics Corp. | 2,428 | 503 | |||
FLIR Systems Inc. | 9,270 | 354 | ||||
130,767 | ||||||
Materials (3.3%) | ||||||
Newmont Corp. | 109,562 | 6,444 |
Shares | Market Value ($000) | |||||
DuPont de Nemours Inc. | 100,113 | 6,351 | ||||
Linde plc | 20,784 | 5,329 | ||||
Corteva Inc. | 102,122 | 3,913 | ||||
Ecolab Inc. | 16,597 | 3,687 | ||||
LyondellBasell Industries NV Class A | 35,088 | 2,986 | ||||
International Paper Co. | 53,649 | 2,655 | ||||
Amcor plc | 213,938 | 2,424 | ||||
PPG Industries Inc. | 15,784 | 2,317 | ||||
Nucor Corp. | 41,162 | 2,210 | ||||
Freeport-McMoRan Inc. | 89,155 | 2,085 | ||||
Albemarle Corp. | 14,514 | 1,974 | ||||
Eastman Chemical Co. | 18,463 | 1,798 | ||||
Packaging Corp. of America | 12,942 | 1,683 | ||||
International Flavors & Fragrances Inc. | 14,591 | 1,636 | ||||
Westrock Co. | 35,417 | 1,495 | ||||
Ball Corp. | 12,930 | 1,241 | ||||
CF Industries Holdings Inc. | 29,130 | 1,087 | ||||
Mosaic Co. | 46,986 | 1,032 | ||||
Sealed Air Corp. | 21,268 | 958 | ||||
Avery Dennison Corp. | 3,292 | 492 | ||||
53,797 | ||||||
Real Estate (3.0%) | ||||||
Digital Realty Trust Inc. | 36,693 | 4,944 | ||||
Prologis Inc. | 43,327 | 4,335 | ||||
Crown Castle International Corp. | 24,041 | 4,029 | ||||
Welltower Inc. | 56,924 | 3,585 | ||||
AvalonBay Communities Inc. | 19,196 | 3,198 | ||||
Weyerhaeuser Co. | 101,791 | 2,956 | ||||
Equity Residential | 46,702 | 2,705 | ||||
Public Storage | 11,612 | 2,606 | ||||
Ventas Inc. | 50,937 | 2,440 | ||||
Simon Property Group Inc. | 26,604 | 2,197 | ||||
Realty Income Corp. | 25,890 | 1,553 | ||||
Host Hotels & Resorts Inc. | 96,239 | 1,350 | ||||
Alexandria Real Estate Equities Inc. | 7,361 | 1,205 | ||||
Healthpeak Properties Inc. | 38,959 | 1,124 | ||||
Essex Property Trust Inc. | 4,443 | 1,093 | ||||
Mid-America Apartment Communities Inc. | 8,595 | 1,084 | ||||
Iron Mountain Inc. | 39,341 | 1,082 | ||||
Boston Properties Inc. | 10,836 | 1,064 | ||||
Regency Centers Corp. | 21,559 | 983 | ||||
Kimco Realty Corp. | 59,126 | 854 | ||||
Extra Space Storage Inc. | 7,390 | 833 | ||||
Vornado Realty Trust | 21,338 | 830 | ||||
UDR Inc. | 21,361 | 822 | ||||
Duke Realty Corp. | 20,762 | 790 | ||||
Apartment Investment & Management Co. Class A | 24,775 | 752 | ||||
SL Green Realty Corp. | 10,023 | 580 | ||||
Federal Realty Investment Trust | 5,429 | 474 | ||||
49,468 | ||||||
Utilities (6.3%) | ||||||
Duke Energy Corp. | 100,333 | 9,297 | ||||
NextEra Energy Inc. | 125,586 | 9,242 | ||||
Dominion Energy Inc. | 114,619 | 8,996 | ||||
Southern Co. | 144,086 | 8,623 | ||||
American Electric Power Co. Inc. | 67,689 | 5,746 | ||||
Exelon Corp. | 132,950 | 5,460 |
Shares | Market Value ($000) | |||||
Xcel Energy Inc. | 71,670 | 4,828 | ||||
Eversource Energy | 46,749 | 4,091 | ||||
WEC Energy Group Inc. | 43,033 | 4,086 | ||||
Public Service Enterprise Group Inc. | 68,999 | 4,021 | ||||
Consolidated Edison Inc. | 45,611 | 3,478 | ||||
DTE Energy Co. Class A | 26,279 | 3,306 | ||||
Edison International | 51,591 | 3,166 | ||||
PPL Corp. | 104,873 | 2,980 | ||||
Entergy Corp. | 27,309 | 2,973 | ||||
Sempra Energy | 21,704 | 2,767 | ||||
Ameren Corp. | 33,725 | 2,623 | ||||
CMS Energy Corp. | 39,057 | 2,404 | ||||
FirstEnergy Corp. | 73,990 | 1,965 | ||||
American Water Works Co. Inc. | 12,369 | 1,897 | ||||
AES Corp. | 90,711 | 1,854 | ||||
Alliant Energy Corp. | 34,033 | 1,790 | ||||
CenterPoint Energy Inc. | 74,311 | 1,723 | ||||
Evergy Inc. | 30,944 | 1,715 | ||||
Atmos Energy Corp. | 16,817 | 1,613 | ||||
NiSource Inc. | 52,256 | 1,265 | ||||
Pinnacle West Capital Corp. | 15,352 | 1,256 | ||||
103,165 | ||||||
Total Common Stocks (Cost $1,548,195) | 1,626,697 | |||||
Coupon | ||||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
1 | Vanguard Market Liquidity Fund | 0.109% | 6,289 | 629 | ||
Maturity Date | Face Amount ($000) | |||||
U.S. Government and Agency Obligations (0.0%) | ||||||
2 | United States Treasury Bill | 0.115% | 2/16/21 | 204 | 204 | |
Total Temporary Cash Investments (Cost $833) | 833 | |||||
Total Investments (99.6%) (Cost $1,549,028) | 1,627,530 | |||||
Other Assets and Liabilities—Net (0.4%) | 6,209 | |||||
Net Assets (100%) | 1,633,739 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
2 | Securities with a value of $148,000 have been segregated as initial margin for open futures contracts. |
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 500 Index | December 2020 | 15 | 2,717 | 39 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Walmart Inc. | 9/2/21 | BOANA | 4,163 | (0.140) | 421 | — |
1 | Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
BOANA—Bank of America, N.A. |
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 securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are
noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 and derivatives 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 November 30, 2020, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,626,697 | — | — | 1,626,697 |
Temporary Cash Investments | 629 | 204 | — | 833 |
Total | 1,627,326 | 204 | — | 1,627,530 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 421 | — | 421 |
Liabilities | ||||
Futures Contracts1 | 7 | — | — | 7 |
1 | Represents variation margin on the last day of the reporting period. |