Vanguard® S&P Small-Cap 600 Growth Index Fund
Schedule of Investments (unaudited)
As of May 31, 2021
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 (99.8%) | ||||||
Communication Services (2.1%) | ||||||
* | Vonage Holdings Corp. | 276,738 | 3,814 | |||
Cogent Communications Holdings Inc. | 31,526 | 2,383 | ||||
* | TechTarget Inc. | 27,928 | 1,964 | |||
Shenandoah Telecommunications Co. | 38,353 | 1,913 | ||||
* | QuinStreet Inc. | 57,933 | 1,049 | |||
* | Cincinnati Bell Inc. | 60,189 | 927 | |||
12,050 | ||||||
Consumer Discretionary (17.4%) | ||||||
* | Crocs Inc. | 77,334 | 7,829 | |||
* | GameStop Corp. Class A | 30,397 | 6,748 | |||
* | Meritage Homes Corp. | 44,327 | 4,773 | |||
* | LGI Homes Inc. | 25,980 | 4,697 | |||
LCI Industries | 29,732 | 4,432 | ||||
* | Stamps.com Inc. | 21,710 | 4,075 | |||
* | Shake Shack Inc. Class A | 42,885 | 4,030 | |||
Rent-A-Center Inc. | 57,867 | 3,577 | ||||
* | Dorman Products Inc. | 33,844 | 3,465 | |||
* | Sleep Number Corp. | 29,985 | 3,343 | |||
* | iRobot Corp. | 33,323 | 3,256 | |||
Installed Building Products Inc. | 26,602 | 3,155 | ||||
* | Vista Outdoor Inc. | 68,923 | 3,004 | |||
* | Century Communities Inc. | 34,287 | 2,790 | |||
Big Lots Inc. | 39,907 | 2,432 | ||||
* | Callaway Golf Co. | 64,589 | 2,385 | |||
Shutterstock Inc. | 26,139 | 2,372 | ||||
Patrick Industries Inc. | 26,153 | 2,241 | ||||
MDC Holdings Inc. | 38,573 | 2,235 | ||||
* | Dine Brands Global Inc. | 19,666 | 1,867 | |||
* | Gentherm Inc. | 25,691 | 1,863 | |||
* | Brinker International Inc. | 29,007 | 1,782 | |||
* | Hibbett Sports Inc. | 19,613 | 1,662 | |||
Kontoor Brands Inc. | 25,016 | 1,602 | ||||
* | Boot Barn Holdings Inc. | 20,561 | 1,571 | |||
Winnebago Industries Inc. | 20,343 | 1,505 | ||||
* | Tupperware Brands Corp. | 58,112 | 1,490 | |||
Steven Madden Ltd. | 35,646 | 1,476 | ||||
Wolverine World Wide Inc. | 37,025 | 1,350 | ||||
* | MarineMax Inc. | 26,156 | 1,345 | |||
* | Cavco Industries Inc. | 5,861 | 1,297 | |||
La-Z-Boy Inc. | 27,902 | 1,150 | ||||
* | Cheesecake Factory Inc. | 17,460 | 1,027 |
Shares | Market Value ($000) | |||||
Sturm Ruger & Co. Inc. | 12,870 | 1,016 | ||||
* | Lumber Liquidators Holdings Inc. | 34,242 | 780 | |||
* | America's Car-Mart Inc. | 4,648 | 764 | |||
PetMed Express Inc. | 23,884 | 690 | ||||
* | Zumiez Inc. | 13,841 | 607 | |||
Buckle Inc. | 13,907 | 586 | ||||
* | Monarch Casino & Resort Inc. | 7,744 | 553 | |||
* | Liquidity Services Inc. | 20,972 | 501 | |||
* | Perdoceo Education Corp. | 36,482 | 445 | |||
* | Fossil Group Inc. | 30,076 | 425 | |||
Haverty Furniture Cos. Inc. | 8,909 | 409 | ||||
* | American Public Education Inc. | 12,201 | 342 | |||
* | Ruth's Hospitality Group Inc. | 13,943 | 337 | |||
* | Universal Electronics Inc. | 6,742 | 337 | |||
* | El Pollo Loco Holdings Inc. | 11,757 | 198 | |||
* | Regis Corp. | 9,890 | 90 | |||
99,906 | ||||||
Consumer Staples (4.8%) | ||||||
Medifast Inc. | 13,915 | 4,623 | ||||
WD-40 Co. | 16,177 | 3,960 | ||||
1 | B&G Foods Inc. | 76,425 | 2,339 | |||
* | Celsius Holdings Inc. | 31,707 | 2,078 | |||
* | Simply Good Foods Co. | 44,791 | 1,547 | |||
* | Central Garden & Pet Co. Class A | 28,124 | 1,419 | |||
National Beverage Corp. | 27,563 | 1,376 | ||||
J & J Snack Foods Corp. | 7,619 | 1,338 | ||||
* | United Natural Foods Inc. | 35,154 | 1,335 | |||
PriceSmart Inc. | 12,154 | 1,073 | ||||
Vector Group Ltd. | 75,729 | 1,041 | ||||
Coca-Cola Consolidated Inc. | 2,359 | 955 | ||||
* | USANA Health Sciences Inc. | 8,994 | 951 | |||
Cal-Maine Foods Inc. | 26,062 | 910 | ||||
Inter Parfums Inc. | 9,208 | 704 | ||||
* | elf Beauty Inc. | 23,613 | 661 | |||
Calavo Growers Inc. | 8,059 | 574 | ||||
MGP Ingredients Inc. | 8,239 | 574 | ||||
* | Central Garden & Pet Co. | 7,200 | 396 | |||
27,854 | ||||||
Energy (2.2%) | ||||||
* | Renewable Energy Group Inc. | 52,391 | 3,200 | |||
* | Range Resources Corp. | 174,161 | 2,362 | |||
* | Southwestern Energy Co. | 436,106 | 2,255 | |||
Matador Resources Co. | 55,760 | 1,708 | ||||
* | Bonanza Creek Energy Inc. | 22,483 | 966 | |||
* | DMC Global Inc. | 18,183 | 963 | |||
Core Laboratories NV | 21,058 | 880 | ||||
* | Dorian LPG Ltd. | 18,566 | 264 | |||
12,598 | ||||||
Financials (10.0%) | ||||||
ServisFirst Bancshares Inc. | 55,605 | 3,862 | ||||
* | Trupanion Inc. | 39,185 | 3,533 | |||
Walker & Dunlop Inc. | 34,660 | 3,519 | ||||
* | Mr Cooper Group Inc. | 83,520 | 2,889 | |||
* | Axos Financial Inc. | 60,702 | 2,878 | |||
* | Green Dot Corp. Class A | 63,852 | 2,592 | |||
* | NMI Holdings Inc. Class A | 100,799 | 2,438 | |||
Community Bank System Inc. | 29,810 | 2,418 |
Shares | Market Value ($000) | |||||
Virtus Investment Partners Inc. | 8,424 | 2,369 | ||||
* | Triumph Bancorp Inc. | 26,753 | 2,241 | |||
* | PRA Group Inc. | 53,882 | 2,098 | |||
* | eHealth Inc. | 30,647 | 2,000 | |||
* | Palomar Holdings Inc. | 25,640 | 1,872 | |||
Brightsphere Investment Group Inc. | 70,362 | 1,567 | ||||
Flagstar Bancorp Inc. | 33,616 | 1,540 | ||||
CVB Financial Corp. | 61,867 | 1,372 | ||||
* | StoneX Group Inc. | 19,500 | 1,320 | |||
Piper Sandler Cos. | 10,093 | 1,286 | ||||
Park National Corp. | 9,223 | 1,167 | ||||
Independent Bank Corp. (Massachusetts) | 14,044 | 1,146 | ||||
Meta Financial Group Inc. | 21,362 | 1,132 | ||||
B. Riley Financial Inc. | 14,200 | 1,046 | ||||
Hilltop Holdings Inc. | 26,850 | 998 | ||||
Westamerica Bancorp | 14,595 | 916 | ||||
National Bank Holdings Corp. Class A | 22,802 | 903 | ||||
* | Bancorp Inc. | 31,533 | 764 | |||
BancFirst Corp. | 10,835 | 747 | ||||
Great Western Bancorp Inc. | 22,078 | 739 | ||||
City Holding Co. | 8,548 | 686 | ||||
James River Group Holdings Ltd. | 17,212 | 601 | ||||
HCI Group Inc. | 7,375 | 594 | ||||
AMERISAFE Inc. | 8,420 | 552 | ||||
Redwood Trust Inc. | 48,895 | 544 | ||||
Berkshire Hills Bancorp Inc. | 19,288 | 535 | ||||
* | World Acceptance Corp. | 3,176 | 510 | |||
* | Donnelley Financial Solutions Inc. | 15,436 | 460 | |||
* | Blucora Inc. | 25,209 | 437 | |||
WisdomTree Investments Inc. | 56,040 | 376 | ||||
Invesco Mortgage Capital Inc. | 100,961 | 343 | ||||
* | Ambac Financial Group Inc. | 18,263 | 276 | |||
Greenhill & Co. Inc. | 10,512 | 183 | ||||
57,449 | ||||||
Health Care (17.0%) | ||||||
* | Omnicell Inc. | 50,866 | 7,070 | |||
* | NeoGenomics Inc. | 138,197 | 5,670 | |||
Ensign Group Inc. | 60,762 | 5,055 | ||||
* | Merit Medical Systems Inc. | 57,916 | 3,495 | |||
* | Pacira BioSciences Inc. | 51,838 | 3,145 | |||
* | AMN Healthcare Services Inc. | 35,127 | 3,116 | |||
* | Vericel Corp. | 54,306 | 3,068 | |||
* | Allscripts Healthcare Solutions Inc. | 165,467 | 2,878 | |||
* | Corcept Therapeutics Inc. | 124,783 | 2,695 | |||
CONMED Corp. | 19,153 | 2,637 | ||||
* | Xencor Inc. | 68,468 | 2,633 | |||
Select Medical Holdings Corp. | 65,013 | 2,605 | ||||
* | Glaukos Corp. | 34,627 | 2,548 | |||
* | Heska Corp. | 11,694 | 2,317 | |||
* | Avanos Medical Inc. | 56,677 | 2,273 | |||
* | ModivCare Inc. | 14,589 | 2,148 | |||
* | Community Health Systems Inc. | 143,981 | 2,055 | |||
Owens & Minor Inc. | 45,168 | 2,020 | ||||
* | Covetrus Inc. | 70,508 | 1,956 | |||
Luminex Corp. | 51,314 | 1,893 | ||||
* | Supernus Pharmaceuticals Inc. | 62,541 | 1,867 | |||
* | Cytokinetics Inc. | 84,033 | 1,834 | |||
* | Addus HomeCare Corp. | 17,765 | 1,708 |
Shares | Market Value ($000) | |||||
*,1 | Fulgent Genetics Inc. | 20,814 | 1,542 | |||
* | REGENXBIO Inc. | 41,173 | 1,452 | |||
Mesa Laboratories Inc. | 5,762 | 1,418 | ||||
* | Integer Holdings Corp. | 15,577 | 1,409 | |||
* | MEDNAX Inc. | 39,464 | 1,262 | |||
* | Tactile Systems Technology Inc. | 23,049 | 1,239 | |||
* | Tabula Rasa HealthCare Inc. | 26,555 | 1,147 | |||
* | Joint Corp. | 15,445 | 1,098 | |||
* | Meridian Bioscience Inc. | 50,982 | 1,058 | |||
* | Pennant Group Inc. | 30,108 | 1,032 | |||
LeMaitre Vascular Inc. | 19,949 | 1,022 | ||||
* | Innoviva Inc. | 74,351 | 1,000 | |||
* | Coherus Biosciences Inc. | 75,770 | 997 | |||
* | Collegium Pharmaceutical Inc. | 41,070 | 981 | |||
* | Endo International plc | 166,148 | 975 | |||
US Physical Therapy Inc. | 8,351 | 972 | ||||
* | Cardiovascular Systems Inc. | 24,216 | 949 | |||
Simulations Plus Inc. | 17,969 | 948 | ||||
* | CorVel Corp. | 6,908 | 861 | |||
* | Tivity Health Inc. | 29,516 | 773 | |||
* | Hanger Inc. | 27,492 | 710 | |||
* | CryoLife Inc. | 24,392 | 703 | |||
* | RadNet Inc. | 24,704 | 654 | |||
* | Vanda Pharmaceuticals Inc. | 32,920 | 582 | |||
* | Inogen Inc. | 9,197 | 569 | |||
* | Surmodics Inc. | 10,435 | 554 | |||
* | Amphastar Pharmaceuticals Inc. | 28,025 | 530 | |||
* | OraSure Technologies Inc. | 54,124 | 520 | |||
* | NextGen Healthcare Inc. | 30,744 | 505 | |||
* | Cara Therapeutics Inc. | 33,835 | 460 | |||
* | Enanta Pharmaceuticals Inc. | 8,915 | 434 | |||
* | AngioDynamics Inc. | 15,717 | 363 | |||
* | Cutera Inc. | 9,248 | 355 | |||
* | Zynex Inc. | 23,106 | 352 | |||
* | Orthofix Medical Inc. | 8,356 | 340 | |||
* | Spectrum Pharmaceuticals Inc. | 95,355 | 329 | |||
* | Anika Therapeutics Inc. | 6,811 | 318 | |||
* | HealthStream Inc. | 11,370 | 298 | |||
Computer Programs & Systems Inc. | 7,064 | 229 | ||||
* | Eagle Pharmaceuticals Inc. | 4,981 | 197 | |||
* | ANI Pharmaceuticals Inc. | 4,014 | 138 | |||
*,2 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
97,961 | ||||||
Industrials (17.9%) | ||||||
* | Saia Inc. | 31,116 | 7,162 | |||
* | Chart Industries Inc. | 42,010 | 6,131 | |||
Exponent Inc. | 61,225 | 5,586 | ||||
Franklin Electric Co. Inc. | 45,349 | 3,804 | ||||
Comfort Systems USA Inc. | 42,759 | 3,545 | ||||
Matson Inc. | 51,329 | 3,318 | ||||
John Bean Technologies Corp. | 22,873 | 3,294 | ||||
AAON Inc. | 48,198 | 3,193 | ||||
Forward Air Corp. | 32,531 | 3,152 | ||||
* | Gibraltar Industries Inc. | 38,489 | 3,058 | |||
Federal Signal Corp. | 71,540 | 3,039 | ||||
UFP Industries Inc. | 36,888 | 2,933 | ||||
* | Proto Labs Inc. | 32,621 | 2,916 | |||
* | AeroVironment Inc. | 26,538 | 2,909 |
Shares | Market Value ($000) | |||||
Watts Water Technologies Inc. Class A | 21,105 | 2,868 | ||||
Applied Industrial Technologies Inc. | 27,938 | 2,737 | ||||
Hillenbrand Inc. | 58,539 | 2,669 | ||||
* | Vicor Corp. | 25,062 | 2,258 | |||
UniFirst Corp. | 9,351 | 2,073 | ||||
Arcosa Inc. | 30,735 | 1,952 | ||||
* | SPX Corp. | 30,891 | 1,935 | |||
ManTech International Corp. Class A | 21,963 | 1,911 | ||||
Aerojet Rocketdyne Holdings Inc. | 38,355 | 1,858 | ||||
Alamo Group Inc. | 11,668 | 1,799 | ||||
ESCO Technologies Inc. | 18,153 | 1,718 | ||||
* | PGT Innovations Inc. | 70,195 | 1,696 | |||
* | Allegiant Travel Co. | 7,574 | 1,677 | |||
Korn Ferry | 25,527 | 1,670 | ||||
Albany International Corp. Class A | 18,136 | 1,620 | ||||
SPX FLOW Inc. | 18,923 | 1,299 | ||||
Brady Corp. Class A | 22,343 | 1,279 | ||||
Lindsay Corp. | 7,703 | 1,268 | ||||
Mueller Industries Inc. | 26,990 | 1,253 | ||||
Moog Inc. Class A | 13,188 | 1,190 | ||||
Marten Transport Ltd. | 69,372 | 1,183 | ||||
Astec Industries Inc. | 16,298 | 1,117 | ||||
* | MYR Group Inc. | 11,115 | 967 | |||
* | American Woodmark Corp. | 10,660 | 927 | |||
AZZ Inc. | 16,791 | 898 | ||||
Tennant Co. | 10,072 | 833 | ||||
Enerpac Tool Group Corp. Class A | 29,074 | 797 | ||||
Raven Industries Inc. | 17,785 | 785 | ||||
* | US Ecology Inc. | 14,528 | 576 | |||
* | Forrester Research Inc. | 12,941 | 555 | |||
* | Echo Global Logistics Inc. | 15,977 | 546 | |||
Heartland Express Inc. | 28,361 | 515 | ||||
* | Viad Corp. | 9,945 | 439 | |||
* | Triumph Group Inc. | 21,644 | 416 | |||
* | Lydall Inc. | 9,243 | 336 | |||
Insteel Industries Inc. | 9,402 | 329 | ||||
* | CIRCOR International Inc. | 8,462 | 318 | |||
* | Titan International Inc. | 26,789 | 249 | |||
Park Aerospace Corp. | 8,493 | 131 | ||||
102,687 | ||||||
Information Technology (18.3%) | ||||||
Power Integrations Inc. | 70,971 | 5,833 | ||||
* | Viavi Solutions Inc. | 270,254 | 4,738 | |||
Advanced Energy Industries Inc. | 45,260 | 4,617 | ||||
* | Alarm.com Holdings Inc. | 53,323 | 4,366 | |||
* | MicroStrategy Inc. Class A | 9,008 | 4,234 | |||
* | Onto Innovation Inc. | 57,704 | 4,141 | |||
* | LivePerson Inc. | 74,495 | 4,094 | |||
* | ExlService Holdings Inc. | 39,561 | 4,034 | |||
* | SPS Commerce Inc. | 42,048 | 3,947 | |||
* | Diodes Inc. | 49,713 | 3,762 | |||
Badger Meter Inc. | 34,439 | 3,291 | ||||
* | FormFactor Inc. | 91,871 | 3,238 | |||
EVERTEC Inc. | 70,757 | 3,080 | ||||
* | MaxLinear Inc. Class A | 80,159 | 3,048 | |||
* | 8x8 Inc. | 127,020 | 2,991 | |||
* | Ultra Clean Holdings Inc. | 51,749 | 2,915 | |||
* | Perficient Inc. | 39,030 | 2,794 |
Shares | Market Value ($000) | |||||
* | Itron Inc. | 27,249 | 2,598 | |||
* | Fabrinet | 27,009 | 2,422 | |||
TTEC Holdings Inc. | 21,538 | 2,335 | ||||
* | Rogers Corp. | 11,711 | 2,194 | |||
* | Cohu Inc. | 55,703 | 2,073 | |||
* | 3D Systems Corp. | 68,942 | 2,028 | |||
* | Plexus Corp. | 19,410 | 1,918 | |||
Kulicke & Soffa Industries Inc. | 35,944 | 1,866 | ||||
Xperi Holding Corp. | 78,012 | 1,671 | ||||
Progress Software Corp. | 33,957 | 1,513 | ||||
* | Agilysys Inc. | 24,039 | 1,221 | |||
* | CEVA Inc. | 26,946 | 1,209 | |||
* | Rambus Inc. | 55,451 | 1,085 | |||
* | Axcelis Technologies Inc. | 25,902 | 1,073 | |||
* | OneSpan Inc. | 40,084 | 1,048 | |||
* | Bottomline Technologies DE Inc. | 27,609 | 1,032 | |||
* | OSI Systems Inc. | 10,489 | 1,011 | |||
* | Plantronics Inc. | 28,849 | 946 | |||
* | FARO Technologies Inc. | 12,344 | 934 | |||
* | Ichor Holdings Ltd. | 16,596 | 934 | |||
Methode Electronics Inc. | 18,654 | 902 | ||||
CSG Systems International Inc. | 19,284 | 849 | ||||
* | Unisys Corp. | 32,834 | 844 | |||
CTS Corp. | 20,247 | 774 | ||||
* | Veeco Instruments Inc. | 32,308 | 770 | |||
Ebix Inc. | 27,871 | 764 | ||||
* | Extreme Networks Inc. | 64,241 | 735 | |||
* | Arlo Technologies Inc. | 95,305 | 640 | |||
* | Diebold Nixdorf Inc. | 43,483 | 589 | |||
* | Photronics Inc. | 36,700 | 497 | |||
* | Digi International Inc. | 22,833 | 433 | |||
* | Harmonic Inc. | 57,311 | 399 | |||
* | PDF Solutions Inc. | 21,111 | 368 | |||
* | CalAmp Corp. | 16,708 | 232 | |||
* | DSP Group Inc. | 13,608 | 214 | |||
105,244 | ||||||
Materials (4.1%) | ||||||
Balchem Corp. | 38,284 | 5,015 | ||||
Quaker Chemical Corp. | 15,613 | 3,787 | ||||
* | Livent Corp. | 173,242 | 3,380 | |||
* | Arconic Corp. | 64,782 | 2,343 | |||
HB Fuller Co. | 31,395 | 2,170 | ||||
Stepan Co. | 13,628 | 1,835 | ||||
Innospec Inc. | 11,047 | 1,117 | ||||
* | Ferro Corp. | 34,067 | 736 | |||
* | GCP Applied Technologies Inc. | 29,559 | 721 | |||
Materion Corp. | 9,128 | 720 | ||||
* | Century Aluminum Co. | 35,806 | 487 | |||
Hawkins Inc. | 12,313 | 419 | ||||
Myers Industries Inc. | 16,592 | 365 | ||||
American Vanguard Corp. | 14,058 | 259 | ||||
FutureFuel Corp. | 12,953 | 133 | ||||
23,487 | ||||||
Real Estate (5.1%) | ||||||
Innovative Industrial Properties Inc. | 28,275 | 5,096 | ||||
Essential Properties Realty Trust Inc. | 134,816 | 3,451 | ||||
Agree Realty Corp. | 37,511 | 2,636 |
Shares | Market Value ($000) | |||||
Uniti Group Inc. | 176,130 | 1,913 | ||||
St. Joe Co. | 36,876 | 1,725 | ||||
Lexington Realty Trust | 118,088 | 1,462 | ||||
Four Corners Property Trust Inc. | 50,365 | 1,398 | ||||
CareTrust REIT Inc. | 57,789 | 1,345 | ||||
Community Healthcare Trust Inc. | 26,670 | 1,261 | ||||
Safehold Inc. | 16,992 | 1,191 | ||||
Independence Realty Trust Inc. | 58,981 | 1,007 | ||||
Industrial Logistics Properties Trust | 34,716 | 870 | ||||
Easterly Government Properties Inc. | 41,776 | 866 | ||||
NexPoint Residential Trust Inc. | 15,195 | 788 | ||||
LTC Properties Inc. | 18,030 | 706 | ||||
Tanger Factory Outlet Centers Inc. | 38,692 | 678 | ||||
Getty Realty Corp. | 20,431 | 636 | ||||
Centerspace | 8,773 | 625 | ||||
* | Marcus & Millichap Inc. | 13,041 | 513 | |||
Universal Health Realty Income Trust | 6,962 | 482 | ||||
RE/MAX Holdings Inc. Class A | 9,294 | 325 | ||||
Saul Centers Inc. | 6,272 | 279 | ||||
29,253 | ||||||
Utilities (0.9%) | ||||||
California Water Service Group | 35,114 | 1,996 | ||||
American States Water Co. | 23,557 | 1,870 | ||||
Chesapeake Utilities Corp. | 10,531 | 1,206 | ||||
5,072 | ||||||
Total Common Stocks (Cost $472,320) | 573,561 | |||||
Coupon | ||||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $2,920) | 0.055% | 29,206 | 2,920 | ||
Total Investments (100.3%) (Cost $475,240) | 576,481 | |||||
Other Assets and Liabilities—Net (-0.3%) | (1,866) | |||||
Net Assets (100%) | 574,615 | |||||
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 $2,017,000. |
2 | Security value determined using significant unobservable inputs. |
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 $2,047,000 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 | June 2021 | 9 | 1,021 | 9 |
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.
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 May 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 573,561 | — | — | 573,561 |
Temporary Cash Investments | 2,920 | — | — | 2,920 |
Total | 576,481 | — | — | 576,481 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 9 | — | — | 9 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |