Vanguard® S&P Small-Cap 600 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 (99.9%) | ||||||
Communication Services (2.3%) | ||||||
* | Iridium Communications Inc. | 106,962 | 3,432 | |||
* | Vonage Holdings Corp. | 223,920 | 2,880 | |||
Shenandoah Telecommunications Co. | 38,689 | 1,719 | ||||
Meredith Corp. | 71,147 | 1,448 | ||||
* | Cincinnati Bell Inc. | 89,398 | 1,360 | |||
Scholastic Corp. | 52,752 | 1,251 | ||||
ATN International Inc. | 19,467 | 953 | ||||
* | Consolidated Communications Holdings Inc. | 129,006 | 722 | |||
EW Scripps Co. Class A | 53,524 | 683 | ||||
* | Gannett Co. Inc. | 228,943 | 650 | |||
Marcus Corp. | 40,994 | 481 | ||||
Spok Holdings Inc. | 30,979 | 305 | ||||
* | AMC Networks Inc. Class A | 6,456 | 213 | |||
16,097 | ||||||
Consumer Discretionary (16.9%) | ||||||
* | Capri Holdings Ltd. | 265,195 | 9,383 | |||
1 | Macy's Inc. | 547,244 | 5,587 | |||
Bed Bath & Beyond Inc. | 222,319 | 4,660 | ||||
Wolverine World Wide Inc. | 144,409 | 4,168 | ||||
Brinker International Inc. | 79,488 | 3,983 | ||||
Group 1 Automotive Inc. | 30,267 | 3,596 | ||||
Cooper Tire & Rubber Co. | 88,741 | 3,526 | ||||
Kontoor Brands Inc. | 82,596 | 3,442 | ||||
Big Lots Inc. | 62,971 | 3,254 | ||||
* | Tupperware Brands Corp. | 86,646 | 2,916 | |||
Signet Jewelers Ltd. | 92,327 | 2,797 | ||||
1 | Cheesecake Factory Inc. | 73,768 | 2,765 | |||
ODP Corp. | 92,895 | 2,663 | ||||
* | Meritage Homes Corp. | 28,522 | 2,571 | |||
* | Stamps.com Inc. | 13,643 | 2,557 | |||
Core-Mark Holding Co. Inc. | 79,535 | 2,481 | ||||
* | Sally Beauty Holdings Inc. | 199,045 | 2,289 | |||
Abercrombie & Fitch Co. Class A | 110,017 | 2,282 | ||||
* | Dorman Products Inc. | 23,429 | 2,164 | |||
* | iRobot Corp. | 27,548 | 2,161 | |||
* | Vista Outdoor Inc. | 102,430 | 2,113 | |||
Sturm Ruger & Co. Inc. | 30,866 | 1,890 | ||||
* | Asbury Automotive Group Inc. | 16,668 | 1,880 | |||
Sonic Automotive Inc. Class A | 42,609 | 1,720 | ||||
* | Gentherm Inc. | 29,952 | 1,703 | |||
Oxford Industries Inc. | 29,479 | 1,645 |
Shares | Market Value ($000) | |||||
Standard Motor Products Inc. | 35,482 | 1,642 | ||||
* | American Axle & Manufacturing Holdings Inc. | 199,805 | 1,590 | |||
*,1 | GameStop Corp. Class A | 95,954 | 1,589 | |||
La-Z-Boy Inc. | 42,195 | 1,563 | ||||
* | G-III Apparel Group Ltd. | 76,265 | 1,553 | |||
* | Lumber Liquidators Holdings Inc. | 50,892 | 1,470 | |||
BJ's Restaurants Inc. | 39,287 | 1,298 | ||||
* | Michaels Cos. Inc. | 130,026 | 1,286 | |||
* | MarineMax Inc. | 38,146 | 1,253 | |||
Monro Inc. | 25,829 | 1,214 | ||||
* | Century Communities Inc. | 26,614 | 1,184 | |||
Guess? Inc. | 66,184 | 1,111 | ||||
Children's Place Inc. | 25,729 | 1,106 | ||||
* | M/I Homes Inc. | 23,676 | 1,076 | |||
* | Cooper-Standard Holdings Inc. | 29,804 | 1,011 | |||
Dave & Buster's Entertainment Inc. | 36,065 | 913 | ||||
* | Fossil Group Inc. | 82,612 | 876 | |||
Haverty Furniture Cos. Inc. | 30,538 | 831 | ||||
Designer Brands Inc. Class A | 103,829 | 820 | ||||
* | American Public Education Inc. | 26,128 | 811 | |||
Caleres Inc. | 68,489 | 806 | ||||
Bloomin' Brands Inc. | 45,076 | 789 | ||||
* | Genesco Inc. | 24,735 | 776 | |||
* | Perdoceo Education Corp. | 68,402 | 776 | |||
Ethan Allen Interiors Inc. | 38,253 | 699 | ||||
* | Motorcar Parts of America Inc. | 33,375 | 671 | |||
* | Hibbett Sports Inc. | 13,790 | 568 | |||
* | Red Robin Gourmet Burgers Inc. | 27,460 | 552 | |||
Shoe Carnival Inc. | 15,099 | 552 | ||||
PetMed Express Inc. | 17,076 | 524 | ||||
Buckle Inc. | 18,810 | 504 | ||||
Movado Group Inc. | 29,398 | 498 | ||||
* | Monarch Casino & Resort Inc. | 8,815 | 487 | |||
* | Unifi Inc. | 26,558 | 402 | |||
* | Conn's Inc. | 34,214 | 379 | |||
* | Regis Corp. | 42,586 | 362 | |||
* | Fiesta Restaurant Group Inc. | 30,487 | 358 | |||
* | Vera Bradley Inc. | 38,699 | 328 | |||
* | America's Car-Mart Inc. | 3,129 | 327 | |||
Chico's FAS Inc. | 209,491 | 316 | ||||
Ruth's Hospitality Group Inc. | 19,572 | 305 | ||||
Cato Corp. Class A | 36,209 | 292 | ||||
* | El Pollo Loco Holdings Inc. | 15,454 | 242 | |||
* | Liquidity Services Inc. | 22,989 | 219 | |||
* | Barnes & Noble Education Inc. | 53,495 | 194 | |||
116,319 | ||||||
Consumer Staples (3.6%) | ||||||
B&G Foods Inc. | 113,189 | 3,134 | ||||
* | Cal-Maine Foods Inc. | 65,518 | 2,564 | |||
* | Central Garden & Pet Co. Class A | 68,808 | 2,538 | |||
Universal Corp. | 43,190 | 1,966 | ||||
PriceSmart Inc. | 23,008 | 1,870 | ||||
* | United Natural Foods Inc. | 96,471 | 1,664 | |||
* | USANA Health Sciences Inc. | 21,125 | 1,588 | |||
Fresh Del Monte Produce Inc. | 53,437 | 1,357 | ||||
* | Chefs' Warehouse Inc. | 57,334 | 1,321 | |||
Andersons Inc. | 54,136 | 1,231 | ||||
SpartanNash Co. | 63,207 | 1,193 |
Shares | Market Value ($000) | |||||
*,1 | National Beverage Corp. | 10,693 | 1,048 | |||
Calavo Growers Inc. | 12,905 | 925 | ||||
Vector Group Ltd. Class B | 80,801 | 908 | ||||
* | Central Garden & Pet Co. | 16,850 | 675 | |||
MGP Ingredients Inc. | 12,962 | 565 | ||||
* | Seneca Foods Corp. Class A | 11,921 | 499 | |||
25,046 | ||||||
Energy (5.0%) | ||||||
Helmerich & Payne Inc. | 189,561 | 4,316 | ||||
* | Renewable Energy Group Inc. | 69,308 | 4,025 | |||
* | Southwestern Energy Co. | 1,139,145 | 3,543 | |||
Range Resources Corp. | 451,714 | 3,298 | ||||
Archrock Inc. | 226,548 | 1,760 | ||||
* | Dril-Quip Inc. | 61,828 | 1,757 | |||
* | PDC Energy Inc. | 86,071 | 1,439 | |||
Patterson-UTI Energy Inc. | 330,442 | 1,424 | ||||
PBF Energy Inc. Class A | 169,563 | 1,231 | ||||
* | Oceaneering International Inc. | 175,061 | 1,063 | |||
Core Laboratories NV | 47,841 | 1,051 | ||||
* | Bristow Group Inc. | 41,698 | 928 | |||
* | Green Plains Inc. | 59,096 | 873 | |||
* | ProPetro Holding Corp. | 142,578 | 823 | |||
SM Energy Co. | 187,728 | 794 | ||||
* | Bonanza Creek Energy Inc. | 32,807 | 724 | |||
Nabors Industries Ltd. | 11,387 | 597 | ||||
US Silica Holdings Inc. | 130,268 | 563 | ||||
* | SEACOR Holdings Inc. | 15,539 | 516 | |||
* | Oil States International Inc. | 108,216 | 480 | |||
* | Dorian LPG Ltd. | 43,637 | 477 | |||
* | Matrix Service Co. | 46,864 | 449 | |||
* | REX American Resources Corp. | 4,966 | 390 | |||
QEP Resources Inc. | 228,388 | 368 | ||||
* | RPC Inc. | 101,675 | 315 | |||
*,1 | Callon Petroleum Co. | 32,756 | 311 | |||
* | CONSOL Energy Inc. | 45,823 | 242 | |||
* | Laredo Petroleum Inc. | 15,799 | 187 | |||
* | Exterran Corp. | 43,517 | 185 | |||
34,129 | ||||||
Financials (22.1%) | ||||||
* | Green Dot Corp. Class A | 94,149 | 5,043 | |||
Pacific Premier Bancorp Inc. | 166,423 | 4,796 | ||||
Old National Bancorp | 291,218 | 4,610 | ||||
Assured Guaranty Ltd. | 147,341 | 4,439 | ||||
American Equity Investment Life Holding Co. | 162,194 | 4,262 | ||||
Columbia Banking System Inc. | 126,333 | 3,993 | ||||
Simmons First National Corp. Class A | 192,293 | 3,750 | ||||
BankUnited Inc. | 128,758 | 3,671 | ||||
First Hawaiian Inc. | 151,212 | 3,315 | ||||
Cadence Bancorp | 222,178 | 3,097 | ||||
Renasant Corp. | 99,102 | 3,059 | ||||
Horace Mann Educators Corp. | 72,926 | 2,911 | ||||
First Midwest Bancorp Inc. | 201,602 | 2,820 | ||||
First Financial Bancorp | 172,850 | 2,774 | ||||
Northwest Bancshares Inc. | 225,430 | 2,667 | ||||
Independent Bank Group Inc. | 46,461 | 2,607 | ||||
Apollo Commercial Real Estate Finance Inc. | 239,570 | 2,583 | ||||
Banner Corp. | 62,012 | 2,563 |
Shares | Market Value ($000) | |||||
Community Bank System Inc. | 40,602 | 2,527 | ||||
* | Mr Cooper Group Inc. | 91,043 | 2,427 | |||
New York Mortgage Trust Inc. | 666,227 | 2,342 | ||||
Ameris Bancorp | 67,407 | 2,292 | ||||
CVB Financial Corp. | 116,852 | 2,219 | ||||
Eagle Bancorp Inc. | 56,839 | 2,091 | ||||
Hope Bancorp Inc. | 217,358 | 2,061 | ||||
Capitol Federal Financial Inc. | 164,830 | 2,031 | ||||
Provident Financial Services Inc. | 129,045 | 2,022 | ||||
Stewart Information Services Corp. | 47,139 | 1,974 | ||||
Waddell & Reed Financial Inc. Class A | 114,936 | 1,892 | ||||
* | Encore Capital Group Inc. | 55,278 | 1,887 | |||
* | PRA Group Inc. | 42,610 | 1,774 | |||
* | StoneX Group Inc. Class B | 28,693 | 1,768 | |||
Redwood Trust Inc. | 202,730 | 1,754 | ||||
Southside Bancshares Inc. | 55,351 | 1,627 | ||||
First Bancorp (XNYS) | 203,909 | 1,619 | ||||
Great Western Bancorp Inc. | 97,040 | 1,594 | ||||
Park National Corp. | 15,762 | 1,594 | ||||
Employers Holdings Inc. | 51,628 | 1,575 | ||||
S&T Bancorp Inc. | 69,235 | 1,550 | ||||
OFG Bancorp | 90,536 | 1,516 | ||||
ProAssurance Corp. | 95,057 | 1,512 | ||||
Heritage Financial Corp. | 63,343 | 1,474 | ||||
Berkshire Hills Bancorp Inc. | 88,858 | 1,457 | ||||
Independent Bank Corp. | 20,342 | 1,376 | ||||
* | Third Point Reinsurance Ltd. | 143,939 | 1,373 | |||
FB Financial Corp. | 42,264 | 1,349 | ||||
Flagstar Bancorp Inc. | 37,963 | 1,330 | ||||
HomeStreet Inc. | 40,047 | 1,296 | ||||
Westamerica Bancorp | 21,855 | 1,205 | ||||
* | Ambac Financial Group Inc. | 80,801 | 1,183 | |||
Piper Sandler Cos. | 12,838 | 1,183 | ||||
NBT Bancorp Inc. | 37,699 | 1,129 | ||||
United Community Banks Inc. | 45,750 | 1,094 | ||||
1 | Invesco Mortgage Capital Inc. | 319,791 | 1,062 | |||
First Bancorp (XNGS) | 33,731 | 1,058 | ||||
Allegiance Bancshares Inc. | 33,153 | 1,050 | ||||
* | Axos Financial Inc. | 31,038 | 1,040 | |||
Banc of California Inc. | 78,099 | 1,039 | ||||
Boston Private Financial Holdings Inc. | 144,962 | 1,038 | ||||
* | Seacoast Banking Corp. of Florida | 40,179 | 1,015 | |||
AMERISAFE Inc. | 17,728 | 970 | ||||
Capstead Mortgage Corp. | 170,428 | 959 | ||||
Veritex Holdings Inc. | 43,767 | 949 | ||||
Ready Capital Corp. | 72,574 | 939 | ||||
Safety Insurance Group Inc. | 13,168 | 938 | ||||
* | World Acceptance Corp. | 7,987 | 902 | |||
Brookline Bancorp Inc. | 78,009 | 887 | ||||
KKR Real Estate Finance Trust Inc. | 47,948 | 874 | ||||
* | Donnelley Financial Solutions Inc. | 53,194 | 867 | |||
* | Customers Bancorp Inc. | 51,239 | 865 | |||
James River Group Holdings Ltd. | 18,857 | 859 | ||||
WisdomTree Investments Inc. | 198,730 | 851 | ||||
United Fire Group Inc. | 38,049 | 832 | ||||
BancFirst Corp. | 15,134 | 821 | ||||
ARMOUR Residential REIT Inc. | 70,931 | 750 | ||||
City Holding Co. | 11,339 | 745 |
Shares | Market Value ($000) | |||||
First Commonwealth Financial Corp. | 76,378 | 739 | ||||
Brightsphere Investment Group Inc. | 41,516 | 735 | ||||
Dime Community Bancshares Inc. | 50,332 | 727 | ||||
Universal Insurance Holdings Inc. | 51,256 | 716 | ||||
Tompkins Financial Corp. | 9,330 | 593 | ||||
HCI Group Inc. | 10,844 | 566 | ||||
* | Triumph Bancorp Inc. | 12,036 | 547 | |||
Hanmi Financial Corp. | 53,952 | 526 | ||||
Northfield Bancorp Inc. | 44,934 | 500 | ||||
TrustCo Bank Corp. | 82,137 | 499 | ||||
National Bank Holdings Corp. Class A | 15,030 | 484 | ||||
* | Blucora Inc. | 37,043 | 483 | |||
* | EZCORP Inc. Class A | 91,672 | 467 | |||
Central Pacific Financial Corp. | 23,180 | 380 | ||||
Greenhill & Co. Inc. | 13,745 | 179 | ||||
United Insurance Holdings Corp. | 36,333 | 161 | ||||
151,669 | ||||||
Health Care (10.3%) | ||||||
* | Merit Medical Systems Inc. | 86,129 | 4,743 | |||
* | Covetrus Inc. | 173,148 | 4,678 | |||
* | Integer Holdings Corp. | 57,942 | 4,177 | |||
* | Allscripts Healthcare Solutions Inc. | 287,465 | 3,933 | |||
Owens & Minor Inc. | 127,462 | 3,283 | ||||
* | Magellan Health Inc. | 39,731 | 3,141 | |||
* | Providence Service Corp. | 21,563 | 2,928 | |||
* | Omnicell Inc. | 27,909 | 2,926 | |||
Ensign Group Inc. | 34,771 | 2,499 | ||||
* | AMN Healthcare Services Inc. | 38,128 | 2,484 | |||
* | Myriad Genetics Inc. | 131,782 | 2,311 | |||
* | HMS Holdings Corp. | 70,262 | 2,208 | |||
* | Select Medical Holdings Corp. | 90,732 | 2,187 | |||
* | Endo International plc | 405,391 | 2,059 | |||
* | MEDNAX Inc. | 91,944 | 1,858 | |||
* | Xencor Inc. | 43,425 | 1,838 | |||
Luminex Corp. | 76,061 | 1,805 | ||||
* | OraSure Technologies Inc. | 126,233 | 1,515 | |||
* | Pacira BioSciences Inc. | 24,126 | 1,462 | |||
* | Meridian Bioscience Inc. | 75,613 | 1,429 | |||
* | Tivity Health Inc. | 65,952 | 1,216 | |||
* | Heska Corp. | 7,673 | 959 | |||
* | AngioDynamics Inc. | 66,847 | 951 | |||
* | Cytokinetics Inc. | 55,973 | 940 | |||
Mesa Laboratories Inc. | 3,334 | 906 | ||||
* | Supernus Pharmaceuticals Inc. | 40,872 | 871 | |||
* | NextGen Healthcare Inc. | 45,033 | 799 | |||
* | Tabula Rasa HealthCare Inc. | 22,481 | 775 | |||
* | Orthofix Medical Inc. | 19,162 | 704 | |||
* | Spectrum Pharmaceuticals Inc. | 149,356 | 704 | |||
* | Lantheus Holdings Inc. | 53,208 | 700 | |||
* | Tactile Systems Technology Inc. | 15,819 | 682 | |||
Phibro Animal Health Corp. Class A | 35,937 | 679 | ||||
Computer Programs & Systems Inc. | 22,314 | 634 | ||||
* | CryoLife Inc. | 29,883 | 622 | |||
* | Natus Medical Inc. | 27,957 | 585 | |||
* | Coherus Biosciences Inc. | 31,054 | 573 | |||
* | Amphastar Pharmaceuticals Inc. | 31,603 | 561 | |||
* | Cross Country Healthcare Inc. | 61,832 | 538 | |||
Invacare Corp. | 60,888 | 519 |
Shares | Market Value ($000) | |||||
* | Vanda Pharmaceuticals Inc. | 41,288 | 504 | |||
* | Varex Imaging Corp. | 27,334 | 456 | |||
* | Inogen Inc. | 12,369 | 434 | |||
* | Surmodics Inc. | 10,775 | 403 | |||
* | Lannett Co. Inc. | 59,803 | 368 | |||
* | HealthStream Inc. | 15,189 | 284 | |||
70,831 | ||||||
Industrials (15.8%) | ||||||
Hillenbrand Inc. | 131,818 | 4,939 | ||||
* | Resideo Technologies Inc. | 247,721 | 4,580 | |||
ABM Industries Inc. | 117,596 | 4,527 | ||||
Arcosa Inc. | 85,267 | 4,424 | ||||
Matson Inc. | 75,985 | 4,417 | ||||
Korn Ferry | 99,241 | 3,974 | ||||
SkyWest Inc. | 88,511 | 3,800 | ||||
* | Hub Group Inc. Class A | 59,115 | 3,229 | |||
* | Chart Industries Inc. | 25,481 | 2,634 | |||
* | Atlas Air Worldwide Holdings Inc. | 46,105 | 2,573 | |||
EnPro Industries Inc. | 36,183 | 2,562 | ||||
Kaman Corp. | 48,792 | 2,551 | ||||
* | Proto Labs Inc. | 16,959 | 2,343 | |||
Astec Industries Inc. | 39,871 | 2,312 | ||||
Applied Industrial Technologies Inc. | 29,366 | 2,303 | ||||
Moog Inc. Class A | 26,986 | 2,088 | ||||
AZZ Inc. | 46,200 | 2,060 | ||||
Granite Construction Inc. | 82,442 | 2,030 | ||||
* | PGT Innovations Inc. | 104,005 | 1,937 | |||
Greenbrier Cos. Inc. | 57,682 | 1,925 | ||||
ArcBest Corp. | 44,879 | 1,881 | ||||
Pitney Bowes Inc. | 305,316 | 1,740 | ||||
AAR Corp. | 58,525 | 1,660 | ||||
Wabash National Corp. | 93,335 | 1,650 | ||||
Standex International Corp. | 21,838 | 1,648 | ||||
Hawaiian Holdings Inc. | 81,120 | 1,643 | ||||
Cubic Corp. | 27,077 | 1,586 | ||||
* | Meritor Inc. | 58,655 | 1,548 | |||
Matthews International Corp. Class A | 55,147 | 1,474 | ||||
Barnes Group Inc. | 31,156 | 1,433 | ||||
* | AeroVironment Inc. | 15,865 | 1,355 | |||
* | Echo Global Logistics Inc. | 46,935 | 1,332 | |||
Enerpac Tool Group Corp. | 56,927 | 1,275 | ||||
* | Harsco Corp. | 72,369 | 1,227 | |||
Lindsay Corp. | 10,513 | 1,218 | ||||
* | TrueBlue Inc. | 63,606 | 1,215 | |||
Kelly Services Inc. Class A | 59,234 | 1,212 | ||||
Brady Corp. Class A | 27,326 | 1,207 | ||||
Quanex Building Products Corp. | 57,865 | 1,192 | ||||
Mueller Industries Inc. | 34,089 | 1,117 | ||||
* | Gibraltar Industries Inc. | 16,588 | 1,086 | |||
* | NOW Inc. | 192,961 | 1,077 | |||
* | GMS Inc. | 33,918 | 1,059 | |||
Deluxe Corp. | 40,619 | 1,046 | ||||
Comfort Systems USA Inc. | 19,942 | 1,005 | ||||
US Ecology Inc. | 28,923 | 980 | ||||
* | Aegion Corp. | 54,279 | 931 | |||
Heidrick & Struggles International Inc. | 34,163 | 892 | ||||
Heartland Express Inc. | 46,549 | 860 | ||||
* | Lydall Inc. | 29,976 | 821 |
Shares | Market Value ($000) | |||||
* | MYR Group Inc. | 15,662 | 801 | |||
Insteel Industries Inc. | 34,026 | 787 | ||||
National Presto Industries Inc. | 9,182 | 781 | ||||
Encore Wire Corp. | 14,952 | 773 | ||||
Marten Transport Ltd. | 43,561 | 768 | ||||
Resources Connection Inc. | 53,540 | 648 | ||||
Apogee Enterprises Inc. | 23,140 | 607 | ||||
* | DXP Enterprises Inc. | 28,726 | 605 | |||
* | Team Inc. | 54,277 | 473 | |||
Titan International Inc. | 87,816 | 441 | ||||
Viad Corp. | 14,302 | 429 | ||||
Park Aerospace Corp. | 32,799 | 417 | ||||
Powell Industries Inc. | 15,669 | 405 | ||||
* | Veritiv Corp. | 21,721 | 404 | |||
* | Foundation Building Materials Inc. | 18,904 | 364 | |||
* | Forrester Research Inc. | 8,478 | 351 | |||
Interface Inc. | 35,763 | 298 | ||||
108,930 | ||||||
Information Technology (6.3%) | ||||||
* | Sanmina Corp. | 119,523 | 3,803 | |||
* | TTM Technologies Inc. | 175,053 | 2,286 | |||
* | Insight Enterprises Inc. | 30,309 | 2,167 | |||
* | MaxLinear Inc. | 64,547 | 2,017 | |||
* | MicroStrategy Inc. Class A | 5,620 | 1,926 | |||
Plantronics Inc. | 65,404 | 1,787 | ||||
* | Onto Innovation Inc. | 38,740 | 1,713 | |||
* | NETGEAR Inc. | 52,750 | 1,678 | |||
Kulicke & Soffa Industries Inc. | 54,533 | 1,661 | ||||
* | Unisys Corp. | 111,154 | 1,621 | |||
Badger Meter Inc. | 19,003 | 1,567 | ||||
* | Rambus Inc. | 94,279 | 1,482 | |||
* | Photronics Inc. | 115,718 | 1,341 | |||
* | Bottomline Technologies DE Inc. | 28,668 | 1,308 | |||
* | Sykes Enterprises Inc. | 33,197 | 1,249 | |||
MTS Systems Corp. | 33,999 | 1,191 | ||||
Cohu Inc. | 40,606 | 1,153 | ||||
* | ScanSource Inc. | 44,776 | 1,124 | |||
* | ePlus Inc. | 12,907 | 1,088 | |||
ADTRAN Inc. | 84,585 | 1,069 | ||||
* | FARO Technologies Inc. | 15,368 | 1,016 | |||
CTS Corp. | 26,249 | 800 | ||||
* | Knowles Corp. | 45,369 | 770 | |||
Benchmark Electronics Inc. | 31,588 | 768 | ||||
* | Axcelis Technologies Inc. | 28,326 | 764 | |||
* | SMART Global Holdings Inc. | 24,347 | 747 | |||
Methode Electronics Inc. | 20,595 | 721 | ||||
* | CEVA Inc. | 18,040 | 709 | |||
* | CalAmp Corp. | 60,979 | 556 | |||
* | Cardtronics plc Class A | 21,407 | 520 | |||
PC Connection Inc. | 11,159 | 509 | ||||
Ebix Inc. | 13,207 | 449 | ||||
* | PDF Solutions Inc. | 19,028 | 420 | |||
* | Arlo Technologies Inc. | 66,850 | 352 | |||
* | DSP Group Inc. | 20,527 | 345 | |||
* | Applied Optoelectronics Inc. | 36,594 | 304 | |||
Daktronics Inc. | 64,277 | 290 |
Shares | Market Value ($000) | |||||
Bel Fuse Inc. Class B | 18,083 | 265 | ||||
43,536 | ||||||
Materials (6.9%) | ||||||
Quaker Chemical Corp. | 23,236 | 5,739 | ||||
* | Livent Corp. | 257,989 | 3,914 | |||
Cleveland-Cliffs Inc. | 309,869 | 3,412 | ||||
Boise Cascade Co. | 69,135 | 2,990 | ||||
Trinseo SA | 67,510 | 2,565 | ||||
* | Arconic Corp. | 85,625 | 2,356 | |||
* | Ferro Corp. | 145,097 | 2,076 | |||
HB Fuller Co. | 39,117 | 2,047 | ||||
* | GCP Applied Technologies Inc. | 84,971 | 1,996 | |||
Stepan Co. | 16,905 | 1,964 | ||||
Warrior Met Coal Inc. | 90,302 | 1,573 | ||||
* | Allegheny Technologies Inc. | 113,922 | 1,537 | |||
* | Kraton Corp. | 56,206 | 1,518 | |||
Glatfelter Corp. | 78,261 | 1,258 | ||||
Myers Industries Inc. | 63,258 | 1,075 | ||||
* | Clearwater Paper Corp. | 29,239 | 1,021 | |||
* | US Concrete Inc. | 27,939 | 991 | |||
Carpenter Technology Corp. | 38,065 | 930 | ||||
Materion Corp. | 15,780 | 920 | ||||
* | Century Aluminum Co. | 88,520 | 898 | |||
* | AdvanSix Inc. | 49,487 | 879 | |||
Hawkins Inc. | 16,747 | 840 | ||||
Kaiser Aluminum Corp. | 10,349 | 807 | ||||
Neenah Inc. | 16,054 | 779 | ||||
* | Rayonier Advanced Materials Inc. | 111,518 | 721 | |||
SunCoke Energy Inc. | 145,323 | 654 | ||||
FutureFuel Corp. | 45,301 | 543 | ||||
American Vanguard Corp. | 21,963 | 333 | ||||
* | TimkenSteel Corp. | 65,981 | 311 | |||
Tredegar Corp. | 19,057 | 301 | ||||
Mercer International Inc. | 32,726 | 268 | ||||
Haynes International Inc. | 11,965 | 254 | ||||
Olympic Steel Inc. | 15,892 | 236 | ||||
47,706 | ||||||
Other (0.0%)2 | ||||||
*,3 | Lantheus Holdings Inc. CVR | 75,410 | — | |||
Real Estate (9.3%) | ||||||
Uniti Group Inc. | 342,486 | 3,521 | ||||
Xenia Hotels & Resorts Inc. | 200,608 | 2,827 | ||||
DiamondRock Hospitality Co. | 351,934 | 2,647 | ||||
Global Net Lease Inc. | 157,832 | 2,634 | ||||
Lexington Realty Trust | 248,978 | 2,542 | ||||
* | Realogy Holdings Corp. | 203,610 | 2,506 | |||
Industrial Logistics Properties Trust | 115,008 | 2,499 | ||||
Kite Realty Group Trust | 148,540 | 2,139 | ||||
Brandywine Realty Trust | 186,502 | 2,076 | ||||
Mack-Cali Realty Corp. | 152,007 | 2,076 | ||||
GEO Group Inc. | 214,029 | 2,023 | ||||
SITE Centers Corp. | 196,674 | 1,984 | ||||
Office Properties Income Trust | 85,059 | 1,944 | ||||
Retail Properties of America Inc. Class A | 238,082 | 1,928 | ||||
iStar Inc. | 132,527 | 1,869 | ||||
Diversified Healthcare Trust | 419,698 | 1,851 | ||||
Washington REIT | 75,523 | 1,753 |
Shares | Market Value ($000) | |||||
CareTrust REIT Inc. | 86,118 | 1,673 | ||||
Summit Hotel Properties Inc. | 186,429 | 1,620 | ||||
National Storage Affiliates Trust | 46,955 | 1,596 | ||||
1 | Tanger Factory Outlet Centers Inc. | 164,868 | 1,558 | |||
CoreCivic Inc. | 211,015 | 1,496 | ||||
Four Corners Property Trust Inc. | 50,852 | 1,424 | ||||
Easterly Government Properties Inc. | 61,845 | 1,340 | ||||
Retail Opportunity Investments Corp. | 93,577 | 1,215 | ||||
LTC Properties Inc. | 32,525 | 1,205 | ||||
Alexander & Baldwin Inc. | 72,712 | 1,138 | ||||
RPT Realty | 142,753 | 1,046 | ||||
American Assets Trust Inc. | 35,247 | 1,011 | ||||
Acadia Realty Trust | 68,488 | 972 | ||||
Independence Realty Trust Inc. | 71,850 | 925 | ||||
Chatham Lodging Trust | 82,924 | 913 | ||||
Getty Realty Corp. | 29,212 | 829 | ||||
Franklin Street Properties Corp. | 170,787 | 792 | ||||
* | Marcus & Millichap Inc. | 20,810 | 746 | |||
Armada Hoffler Properties Inc. | 57,360 | 609 | ||||
Whitestone REIT | 70,331 | 529 | ||||
Hersha Hospitality Trust | 64,525 | 523 | ||||
NexPoint Residential Trust Inc. | 9,641 | 427 | ||||
Investors Real Estate Trust | 4,965 | 345 | ||||
Saul Centers Inc. | 9,656 | 301 | ||||
RE/MAX Holdings Inc. Class A | 9,234 | 289 | ||||
Urstadt Biddle Properties Inc. Class A | 19,440 | 273 | ||||
63,614 | ||||||
Utilities (1.4%) | ||||||
Avista Corp. | 119,802 | 4,495 | ||||
California Water Service Group | 28,762 | 1,423 | ||||
South Jersey Industries Inc. | 60,312 | 1,389 | ||||
Northwest Natural Holding Co. | 26,937 | 1,291 | ||||
Chesapeake Utilities Corp. | 10,473 | 1,089 | ||||
9,687 | ||||||
Total Common Stocks (Cost $665,574) | 687,564 | |||||
Coupon | ||||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
4,5 | Vanguard Market Liquidity Fund | 0.109% | 95,169 | 9,517 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
United States Treasury Bill | 0.113% | 2/16/21 | 35 | 35 | ||
Total Temporary Cash Investments (Cost $9,549) | 9,552 | |||||
Total Investments (101.3%) (Cost $675,123) | 697,116 | |||||
Other Assets and Liabilities—Net (-1.3%) | (9,149) | |||||
Net Assets (100%) | 687,967 |
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 $8,067,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $8,934,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
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 | December 2020 | 5 | 455 | (6) |
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. 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 | 687,564 | — | — | 687,564 |
Temporary Cash Investments | 9,517 | 35 | — | 9,552 |
Total | 697,081 | 35 | — | 697,116 |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 20 | — | — | 20 |
1 | Represents variation margin on the last day of the reporting period. |