Vanguard® S&P Small-Cap 600 Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (99.7%) | ||||||
Communication Services (1.8%) | ||||||
Cogent Communications Holdings Inc. | 150,549 | 11,281 | ||||
* | TechTarget Inc. | 89,930 | 8,690 | |||
* | Meredith Corp. | 144,023 | 8,497 | |||
* | Cinemark Holdings Inc. | 377,806 | 5,864 | |||
Shenandoah Telecommunications Co. | 177,688 | 4,512 | ||||
Scholastic Corp. | 107,949 | 4,063 | ||||
* | AMC Networks Inc. Class A | 103,801 | 4,008 | |||
EW Scripps Co. Class A | 202,865 | 3,759 | ||||
* | QuinStreet Inc. | 175,341 | 2,685 | |||
* | Gannett Co. Inc. | 506,838 | 2,590 | |||
* | Thryv Holdings Inc. | 60,170 | 2,352 | |||
* | Loyalty Ventures Inc. | 70,459 | 2,022 | |||
* | Consolidated Communications Holdings Inc. | 255,191 | 1,919 | |||
ATN International Inc. | 38,845 | 1,484 | ||||
* | Marcus Corp. | 77,931 | 1,361 | |||
65,087 | ||||||
Consumer Discretionary (13.1%) | ||||||
Macy's Inc. | 1,107,566 | 31,566 | ||||
Signet Jewelers Ltd. | 187,066 | 18,172 | ||||
* | Meritage Homes Corp. | 133,614 | 15,080 | |||
LCI Industries | 89,685 | 13,656 | ||||
* | Asbury Automotive Group Inc. | 80,345 | 13,148 | |||
Steven Madden Ltd. | 273,349 | 12,970 | ||||
* | Boot Barn Holdings Inc. | 104,804 | 12,822 | |||
Group 1 Automotive Inc. | 64,144 | 12,492 | ||||
* | Dorman Products Inc. | 101,651 | 11,281 | |||
* | LGI Homes Inc. | 76,884 | 11,045 | |||
Installed Building Products Inc. | 83,280 | 10,751 | ||||
* | Shake Shack Inc. Class A | 138,883 | 10,137 | |||
* | Gentherm Inc. | 117,652 | 9,936 | |||
MDC Holdings Inc. | 200,519 | 9,593 | ||||
Shutterstock Inc. | 83,175 | 9,483 | ||||
Rent-A-Center Inc. | 214,654 | 9,481 | ||||
Kontoor Brands Inc. | 169,854 | 9,158 | ||||
Wolverine World Wide Inc. | 291,747 | 9,082 | ||||
* | Cavco Industries Inc. | 30,371 | 9,035 | |||
* | Vista Outdoor Inc. | 203,632 | 8,893 | |||
Winnebago Industries Inc. | 119,225 | 8,610 | ||||
* | Sally Beauty Holdings Inc. | 401,668 | 7,869 | |||
* | Abercrombie & Fitch Co. Class A | 218,395 | 7,862 | |||
* | iRobot Corp. | 99,541 | 7,556 |
Shares | Market Value ($000) | |||||
Century Communities Inc. | 105,554 | 7,502 | ||||
* | Bed Bath & Beyond Inc. | 371,477 | 6,809 | |||
* | Sleep Number Corp. | 83,752 | 6,682 | |||
Monro Inc. | 119,120 | 6,673 | ||||
* | Cheesecake Factory Inc. | 172,120 | 6,596 | |||
Patrick Industries Inc. | 79,969 | 6,379 | ||||
* | ODP Corp. | 168,803 | 6,374 | |||
* | M/I Homes Inc. | 104,285 | 5,828 | |||
* | Brinker International Inc. | 162,252 | 5,614 | |||
Oxford Industries Inc. | 56,485 | 5,397 | ||||
La-Z-Boy Inc. | 160,829 | 5,370 | ||||
Big Lots Inc. | 123,207 | 5,345 | ||||
* | Adtalem Global Education Inc. | 175,789 | 5,216 | |||
* | Bloomin' Brands Inc. | 288,924 | 5,105 | |||
Buckle Inc. | 104,099 | 4,897 | ||||
* | G-III Apparel Group Ltd. | 154,318 | 4,574 | |||
Sturm Ruger & Co. Inc. | 62,624 | 4,489 | ||||
* | Dave & Buster's Entertainment Inc. | 137,187 | 4,456 | |||
* | Dine Brands Global Inc. | 61,130 | 4,390 | |||
Strategic Education Inc. | 80,243 | 4,293 | ||||
* | Children's Place Inc. | 49,428 | 4,277 | |||
Hibbett Inc. | 53,357 | 4,159 | ||||
* | MarineMax Inc. | 77,123 | 4,108 | |||
* | American Axle & Manufacturing Holdings Inc. | 404,566 | 3,584 | |||
* | Zumiez Inc. | 77,941 | 3,567 | |||
Standard Motor Products Inc. | 68,712 | 3,438 | ||||
Sonic Automotive Inc. Class A | 74,742 | 3,357 | ||||
Caleres Inc. | 136,149 | 3,214 | ||||
* | WW International Inc. | 188,516 | 3,171 | |||
* | Genesco Inc. | 50,006 | 3,160 | |||
Guess? Inc. | 138,396 | 3,121 | ||||
* | Monarch Casino & Resort Inc. | 46,311 | 3,120 | |||
* | Designer Brands Inc. Class A | 216,744 | 2,965 | |||
* | Tupperware Brands Corp. | 176,683 | 2,763 | |||
Movado Group Inc. | 59,630 | 2,676 | ||||
Aaron's Co. Inc. | 116,152 | 2,579 | ||||
* | Chico's FAS Inc. | 434,549 | 2,490 | |||
* | BJ's Restaurants Inc. | 82,823 | 2,473 | |||
* | Perdoceo Education Corp. | 249,662 | 2,459 | |||
Shoe Carnival Inc. | 62,163 | 2,430 | ||||
* | America's Car-Mart Inc. | 22,477 | 2,206 | |||
* | Liquidity Services Inc. | 94,143 | 2,134 | |||
* | Chuy's Holdings Inc. | 70,893 | 2,032 | |||
* | Fossil Group Inc. | 168,146 | 2,009 | |||
PetMed Express Inc. | 72,160 | 1,974 | ||||
* | Ruth's Hospitality Group Inc. | 114,565 | 1,948 | |||
Ethan Allen Interiors Inc. | 77,754 | 1,749 | ||||
* | Universal Electronics Inc. | 47,725 | 1,728 | |||
Haverty Furniture Cos. Inc. | 54,354 | 1,626 | ||||
* | Lumber Liquidators Holdings Inc. | 103,106 | 1,582 | |||
* | Conn's Inc. | 67,815 | 1,484 | |||
* | Cooper-Standard Holdings Inc. | 60,482 | 1,396 | |||
* | American Public Education Inc. | 66,320 | 1,253 | |||
Cato Corp. Class A | 69,513 | 1,143 | ||||
* | Motorcar Parts of America Inc. | 67,557 | 1,084 | |||
* | Unifi Inc. | 49,529 | 1,009 | |||
* | Red Robin Gourmet Burgers Inc. | 55,697 | 908 | |||
* | Barnes & Noble Education Inc. | 128,028 | 899 |
Shares | Market Value ($000) | |||||
* | Vera Bradley Inc. | 91,496 | 870 | |||
* | El Pollo Loco Holdings Inc. | 68,556 | 865 | |||
* | Fiesta Restaurant Group Inc. | 61,411 | 573 | |||
485,250 | ||||||
Consumer Staples (4.3%) | ||||||
* | Simply Good Foods Co. | 299,051 | 11,056 | |||
WD-40 Co. | 48,641 | 10,913 | ||||
* | United Natural Foods Inc. | 199,934 | 9,941 | |||
Coca-Cola Consolidated Inc. | 16,499 | 9,414 | ||||
* | Celsius Holdings Inc. | 134,756 | 9,219 | |||
Medifast Inc. | 41,623 | 8,563 | ||||
Edgewell Personal Care Co. | 193,099 | 8,199 | ||||
* | TreeHouse Foods Inc. | 197,930 | 7,264 | |||
Vector Group Ltd. | 464,967 | 7,226 | ||||
J & J Snack Foods Corp. | 52,761 | 7,206 | ||||
1 | B&G Foods Inc. | 230,291 | 6,939 | |||
* | Central Garden & Pet Co. Class A | 142,310 | 6,169 | |||
PriceSmart Inc. | 85,366 | 6,122 | ||||
Inter Parfums Inc. | 63,050 | 5,538 | ||||
* | elf Beauty Inc. | 169,599 | 5,108 | |||
Cal-Maine Foods Inc. | 133,207 | 4,803 | ||||
National Beverage Corp. | 82,670 | 4,294 | ||||
* | USANA Health Sciences Inc. | 42,591 | 4,247 | |||
Universal Corp. | 87,079 | 4,055 | ||||
Andersons Inc. | 109,964 | 3,737 | ||||
* | Chefs' Warehouse Inc. | 115,949 | 3,603 | |||
MGP Ingredients Inc. | 44,547 | 3,474 | ||||
SpartanNash Co. | 129,006 | 3,087 | ||||
Fresh Del Monte Produce Inc. | 117,802 | 2,917 | ||||
John B Sanfilippo & Son Inc. | 31,602 | 2,604 | ||||
Calavo Growers Inc. | 62,641 | 2,539 | ||||
* | Central Garden & Pet Co. | 34,766 | 1,675 | |||
* | Seneca Foods Corp. Class A | 23,065 | 985 | |||
160,897 | ||||||
Energy (4.6%) | ||||||
* | Range Resources Corp. | 922,531 | 18,045 | |||
PDC Energy Inc. | 350,389 | 17,670 | ||||
Matador Resources Co. | 390,596 | 15,339 | ||||
SM Energy Co. | 430,663 | 12,489 | ||||
* | Southwestern Energy Co. | 2,402,139 | 10,762 | |||
Civitas Resources Inc. | 174,725 | 8,930 | ||||
Helmerich & Payne Inc. | 382,768 | 8,593 | ||||
* | Renewable Energy Group Inc. | 178,244 | 8,516 | |||
* | Green Plains Inc. | 190,729 | 7,372 | |||
* | Callon Petroleum Co. | 139,840 | 7,109 | |||
World Fuel Services Corp. | 225,768 | 5,642 | ||||
Patterson-UTI Energy Inc. | 669,800 | 4,729 | ||||
* | PBF Energy Inc. Class A | 338,031 | 4,236 | |||
* | Oceaneering International Inc. | 354,838 | 3,793 | |||
Core Laboratories NV | 164,119 | 3,757 | ||||
Archrock Inc. | 475,333 | 3,513 | ||||
* | Laredo Petroleum Inc. | 47,983 | 2,826 | |||
* | US Silica Holdings Inc. | 266,593 | 2,586 | |||
* | ProPetro Holding Corp. | 301,564 | 2,479 | |||
* | CONSOL Energy Inc. | 112,717 | 2,474 | |||
* | Bristow Group Inc. Class A | 82,466 | 2,449 | |||
* | DMC Global Inc. | 66,684 | 2,434 |
Shares | Market Value ($000) | |||||
* | Dril-Quip Inc. | 125,820 | 2,404 | |||
* | Nabors Industries Ltd. | 27,436 | 2,235 | |||
* | Par Pacific Holdings Inc. | 163,195 | 2,210 | |||
* | REX American Resources Corp. | 18,775 | 1,709 | |||
* | Helix Energy Solutions Group Inc. | 502,705 | 1,528 | |||
* | Ranger Oil Corp. | 54,418 | 1,465 | |||
* | Talos Energy Inc. | 145,276 | 1,448 | |||
Dorian LPG Ltd. | 98,564 | 1,213 | ||||
* | Oil States International Inc. | 216,882 | 1,097 | |||
* | RPC Inc. | 253,502 | 1,022 | |||
* | Nabors Industries Ltd. Warrants Exp. 6/11/26 | 8,451 | 39 | |||
172,113 | ||||||
Financials (18.6%) | ||||||
* | Trupanion Inc. | 121,516 | 14,985 | |||
Walker & Dunlop Inc. | 103,889 | 14,616 | ||||
ServisFirst Bancshares Inc. | 173,308 | 13,932 | ||||
Community Bank System Inc. | 191,369 | 13,522 | ||||
Independent Bank Corp. (Massachusetts) | 168,779 | 13,344 | ||||
BankUnited Inc. | 329,490 | 13,061 | ||||
Pacific Premier Bancorp Inc. | 335,925 | 13,017 | ||||
Assured Guaranty Ltd. | 258,895 | 12,678 | ||||
First Hawaiian Inc. | 459,921 | 12,073 | ||||
* | Mr Cooper Group Inc. | 305,756 | 12,007 | |||
Investors Bancorp Inc. | 799,762 | 11,908 | ||||
Ameris Bancorp | 235,231 | 11,449 | ||||
Simmons First National Corp. Class A | 384,331 | 11,188 | ||||
* | Axos Financial Inc. | 189,458 | 10,725 | |||
* | Triumph Bancorp Inc. | 83,758 | 10,667 | |||
United Community Banks Inc. | 307,489 | 10,538 | ||||
Old National Bancorp | 588,306 | 10,390 | ||||
First Bancorp | 740,021 | 9,835 | ||||
American Equity Investment Life Holding Co. | 292,236 | 9,828 | ||||
Independent Bank Group Inc. | 131,719 | 9,145 | ||||
Columbia Banking System Inc. | 275,898 | 9,066 | ||||
Flagstar Bancorp Inc. | 187,561 | 8,729 | ||||
CVB Financial Corp. | 453,297 | 8,663 | ||||
Piper Sandler Cos. | 50,719 | 8,407 | ||||
WSFS Financial Corp. | 168,705 | 8,388 | ||||
First Midwest Bancorp Inc. | 405,774 | 8,006 | ||||
First Financial Bancorp | 339,757 | 7,814 | ||||
Virtus Investment Partners Inc. | 25,526 | 7,591 | ||||
Hilltop Holdings Inc. | 221,950 | 7,553 | ||||
Renasant Corp. | 199,902 | 7,282 | ||||
Two Harbors Investment Corp. | 1,222,475 | 7,188 | ||||
Banner Corp. | 122,847 | 7,037 | ||||
Veritex Holdings Inc. | 175,919 | 6,972 | ||||
* | Green Dot Corp. Class A | 193,829 | 6,958 | |||
* | PRA Group Inc. | 162,519 | 6,901 | |||
* | Genworth Financial Inc. Class A | 1,800,606 | 6,878 | |||
Stewart Information Services Corp. | 95,551 | 6,805 | ||||
Meta Financial Group Inc. | 113,458 | 6,781 | ||||
Trustmark Corp. | 221,495 | 6,780 | ||||
Park National Corp. | 51,567 | 6,708 | ||||
Seacoast Banking Corp. of Florida | 197,214 | 6,660 | ||||
Great Western Bancorp Inc. | 195,934 | 6,574 | ||||
Provident Financial Services Inc. | 276,094 | 6,499 | ||||
Eagle Bancorp Inc. | 113,637 | 6,403 | ||||
Brightsphere Investment Group Inc. | 211,622 | 6,355 |
Shares | Market Value ($000) | |||||
Lakeland Financial Corp. | 89,887 | 6,348 | ||||
Apollo Commercial Real Estate Finance Inc. | 466,749 | 6,315 | ||||
*,1 | Encore Capital Group Inc. | 107,599 | 6,277 | |||
Hope Bancorp Inc. | 435,803 | 6,254 | ||||
* | Palomar Holdings Inc. | 85,493 | 6,248 | |||
* | Customers Bancorp Inc. | 105,567 | 6,085 | |||
PennyMac Mortgage Investment Trust | 347,313 | 6,033 | ||||
Northwest Bancshares Inc. | 450,007 | 5,976 | ||||
* | NMI Holdings Inc. Class A | 303,830 | 5,955 | |||
* | Bancorp Inc. | 202,731 | 5,731 | |||
NBT Bancorp Inc. | 153,610 | 5,547 | ||||
Horace Mann Educators Corp. | 147,519 | 5,469 | ||||
First Bancorp (XNGS) | 122,333 | 5,437 | ||||
FB Financial Corp. | 126,313 | 5,419 | ||||
Capitol Federal Financial Inc. | 457,766 | 5,200 | ||||
Redwood Trust Inc. | 402,336 | 5,158 | ||||
Westamerica Bancorp | 95,547 | 5,139 | ||||
First Commonwealth Financial Corp. | 341,246 | 5,129 | ||||
New York Mortgage Trust Inc. | 1,346,263 | 5,022 | ||||
* | Enova International Inc. | 131,132 | 4,999 | |||
* | Donnelley Financial Solutions Inc. | 104,928 | 4,902 | |||
Southside Bancshares Inc. | 116,172 | 4,734 | ||||
National Bank Holdings Corp. Class A | 109,331 | 4,660 | ||||
Berkshire Hills Bancorp Inc. | 174,066 | 4,649 | ||||
* | LendingTree Inc. | 40,729 | 4,618 | |||
OFG Bancorp | 183,809 | 4,430 | ||||
ProAssurance Corp. | 191,292 | 4,400 | ||||
B. Riley Financial Inc. | 56,772 | 4,396 | ||||
BancFirst Corp. | 67,394 | 4,288 | ||||
City Holding Co. | 54,514 | 4,277 | ||||
Brookline Bancorp Inc. | 277,066 | 4,275 | ||||
S&T Bancorp Inc. | 139,484 | 4,172 | ||||
Dime Community Bancshares Inc. | 119,188 | 4,088 | ||||
* | Selectquote Inc. | 440,052 | 3,960 | |||
Safety Insurance Group Inc. | 50,462 | 3,899 | ||||
Employers Holdings Inc. | 100,312 | 3,873 | ||||
Banc of California Inc. | 190,427 | 3,730 | ||||
HomeStreet Inc. | 73,980 | 3,652 | ||||
AMERISAFE Inc. | 68,732 | 3,649 | ||||
James River Group Holdings Ltd. | 132,555 | 3,505 | ||||
* | StoneX Group Inc. | 59,718 | 3,355 | |||
Preferred Bank | 48,999 | 3,339 | ||||
Tompkins Financial Corp. | 42,370 | 3,312 | ||||
Ready Capital Corp. | 202,623 | 3,112 | ||||
Invesco Mortgage Capital Inc. | 1,027,566 | 3,083 | ||||
* | World Acceptance Corp. | 15,004 | 3,082 | |||
Heritage Financial Corp. | 127,876 | 2,996 | ||||
KKR Real Estate Finance Trust Inc. | 143,215 | 2,955 | ||||
ARMOUR Residential REIT Inc. | 295,472 | 2,893 | ||||
* | Blucora Inc. | 173,279 | 2,805 | |||
Ellington Financial Inc. | 169,285 | 2,805 | ||||
Allegiance Bancshares Inc. | 66,634 | 2,694 | ||||
Northfield Bancorp Inc. | 159,237 | 2,683 | ||||
Central Pacific Financial Corp. | 100,037 | 2,678 | ||||
HCI Group Inc. | 23,426 | 2,586 | ||||
* | Ambac Financial Group Inc. | 163,684 | 2,445 | |||
Hanmi Financial Corp. | 108,804 | 2,445 | ||||
Granite Point Mortgage Trust Inc. | 195,216 | 2,407 |
Shares | Market Value ($000) | |||||
* | SiriusPoint Ltd. | 311,489 | 2,398 | |||
WisdomTree Investments Inc. | 385,522 | 2,367 | ||||
TrustCo Bank Corp. | 68,284 | 2,230 | ||||
* | eHealth Inc. | 83,680 | 1,848 | |||
* | Franklin BSP Realty Trust Inc. | 112,944 | 1,733 | |||
United Fire Group Inc. | 76,674 | 1,604 | ||||
Universal Insurance Holdings Inc. | 99,955 | 1,506 | ||||
* | EZCORP Inc. Class A | 187,479 | 1,387 | |||
Greenhill & Co. Inc. | 51,558 | 880 | ||||
687,432 | ||||||
Health Care (12.0%) | ||||||
* | Omnicell Inc. | 154,455 | 27,339 | |||
* | AMN Healthcare Services Inc. | 167,893 | 19,141 | |||
* | NeoGenomics Inc. | 436,372 | 14,950 | |||
Ensign Group Inc. | 185,891 | 14,189 | ||||
CONMED Corp. | 103,659 | 13,627 | ||||
* | Apollo Medical Holdings Inc. | 133,526 | 12,507 | |||
* | Cytokinetics Inc. | 296,321 | 11,657 | |||
* | Merit Medical Systems Inc. | 179,687 | 11,295 | |||
Owens & Minor Inc. | 267,762 | 10,710 | ||||
Select Medical Holdings Corp. | 377,324 | 10,131 | ||||
* | Prestige Consumer Healthcare Inc. | 177,618 | 9,938 | |||
* | Ligand Pharmaceuticals Inc. | 59,174 | 9,581 | |||
* | Integer Holdings Corp. | 117,091 | 9,337 | |||
* | Pacira BioSciences Inc. | 157,727 | 8,300 | |||
* | Magellan Health Inc. | 82,594 | 7,829 | |||
* | Corcept Therapeutics Inc. | 370,759 | 7,786 | |||
* | MEDNAX Inc. | 306,190 | 7,520 | |||
* | Xencor Inc. | 206,942 | 7,495 | |||
* | Emergent BioSolutions Inc. | 169,408 | 7,474 | |||
* | Allscripts Healthcare Solutions Inc. | 444,676 | 7,395 | |||
* | Myriad Genetics Inc. | 276,957 | 7,162 | |||
* | Glaukos Corp. | 165,161 | 7,107 | |||
* | Avid Bioservices Inc. | 216,672 | 6,621 | |||
* | Covetrus Inc. | 366,001 | 6,581 | |||
* | Lantheus Holdings Inc. | 240,271 | 6,434 | |||
* | Fulgent Genetics Inc. | 68,230 | 6,381 | |||
* | CorVel Corp. | 33,564 | 6,310 | |||
* | Vericel Corp. | 165,457 | 6,157 | |||
* | Heska Corp. | 37,764 | 6,078 | |||
* | ModivCare Inc. | 43,663 | 5,983 | |||
Mesa Laboratories Inc. | 18,490 | 5,710 | ||||
* | Supernus Pharmaceuticals Inc. | 188,916 | 5,662 | |||
* | Enanta Pharmaceuticals Inc. | 63,841 | 5,636 | |||
* | Community Health Systems Inc. | 440,243 | 5,296 | |||
* | Avanos Medical Inc. | 170,591 | 5,147 | |||
* | Addus HomeCare Corp. | 56,633 | 4,940 | |||
* | Endo International plc | 828,039 | 4,637 | |||
* | REGENXBIO Inc. | 133,390 | 4,268 | |||
* | RadNet Inc. | 156,287 | 4,213 | |||
* | Coherus Biosciences Inc. | 225,153 | 4,181 | |||
* | Joint Corp. | 50,938 | 4,071 | |||
* | OptimizeRx Corp. | 62,500 | 4,062 | |||
* | Varex Imaging Corp. | 139,646 | 3,987 | |||
* | BioLife Solutions Inc. | 103,161 | 3,937 | |||
US Physical Therapy Inc. | 45,739 | 3,933 | ||||
* | Tivity Health Inc. | 156,799 | 3,735 | |||
* | Innoviva Inc. | 222,053 | 3,713 |
Shares | Market Value ($000) | |||||
* | uniQure NV | 127,425 | 3,549 | |||
* | AngioDynamics Inc. | 136,416 | 3,513 | |||
* | Cross Country Healthcare Inc. | 125,738 | 3,289 | |||
* | Vanda Pharmaceuticals Inc. | 197,584 | 3,201 | |||
LeMaitre Vascular Inc. | 68,071 | 3,185 | ||||
* | NextGen Healthcare Inc. | 200,265 | 3,104 | |||
* | Meridian Bioscience Inc. | 154,230 | 3,071 | |||
* | Cardiovascular Systems Inc. | 142,374 | 2,847 | |||
* | Natus Medical Inc. | 121,374 | 2,743 | |||
* | Harmony Biosciences Holdings Inc. | 78,898 | 2,690 | |||
Simulations Plus Inc. | 55,606 | 2,612 | ||||
* | Amphastar Pharmaceuticals Inc. | 131,596 | 2,574 | |||
* | CryoLife Inc. | 139,557 | 2,399 | |||
* | OraSure Technologies Inc. | 256,334 | 2,392 | |||
* | Organogenesis Holdings Inc. Class A | 224,026 | 2,254 | |||
* | Collegium Pharmaceutical Inc. | 125,743 | 2,211 | |||
* | Hanger Inc. | 130,914 | 2,208 | |||
* | Inogen Inc. | 72,227 | 2,207 | |||
* | Surmodics Inc. | 49,387 | 2,170 | |||
* | Orthofix Medical Inc. | 70,142 | 2,147 | |||
* | HealthStream Inc. | 89,956 | 2,089 | |||
* | Cutera Inc. | 57,720 | 2,012 | |||
* | Anika Therapeutics Inc. | 51,124 | 2,000 | |||
* | Cara Therapeutics Inc. | 149,077 | 1,965 | |||
* | Pennant Group Inc. | 95,963 | 1,951 | |||
* | Eagle Pharmaceuticals Inc. | 40,852 | 1,948 | |||
* | Computer Programs & Systems Inc. | 51,956 | 1,531 | |||
* | ANI Pharmaceuticals Inc. | 34,546 | 1,421 | |||
Phibro Animal Health Corp. Class A | 72,295 | 1,416 | ||||
* | Tactile Systems Technology Inc. | 70,443 | 1,374 | |||
* | Tabula Rasa HealthCare Inc. | 81,576 | 927 | |||
* | Spectrum Pharmaceuticals Inc. | 582,146 | 920 | |||
* | Zynex Inc. | 69,842 | 894 | |||
*,2 | Lantheus Holdings Inc. CVR | 276,566 | — | |||
444,957 | ||||||
Industrials (17.1%) | ||||||
* | Chart Industries Inc. | 126,490 | 22,079 | |||
Exponent Inc. | 184,875 | 21,538 | ||||
Watts Water Technologies Inc. Class A | 97,919 | 18,478 | ||||
UFP Industries Inc. | 219,738 | 18,300 | ||||
John Bean Technologies Corp. | 112,842 | 17,803 | ||||
Korn Ferry | 197,696 | 14,380 | ||||
* | Resideo Technologies Inc. | 511,646 | 13,349 | |||
Applied Industrial Technologies Inc. | 137,906 | 13,107 | ||||
Matson Inc. | 154,416 | 12,590 | ||||
SPX FLOW Inc. | 147,739 | 12,338 | ||||
Comfort Systems USA Inc. | 128,832 | 12,222 | ||||
Franklin Electric Co. Inc. | 138,446 | 12,190 | ||||
Hillenbrand Inc. | 259,231 | 11,562 | ||||
AAON Inc. | 146,940 | 11,461 | ||||
Mueller Industries Inc. | 202,848 | 11,224 | ||||
Aerojet Rocketdyne Holdings Inc. | 264,279 | 11,110 | ||||
* | Vicor Corp. | 75,700 | 10,860 | |||
ABM Industries Inc. | 238,276 | 10,722 | ||||
UniFirst Corp. | 54,093 | 10,367 | ||||
Encore Wire Corp. | 73,277 | 10,292 | ||||
Forward Air Corp. | 96,329 | 9,512 | ||||
* | SPX Corp. | 160,783 | 9,350 |
Shares | Market Value ($000) | |||||
ArcBest Corp. | 90,688 | 9,348 | ||||
Albany International Corp. Class A | 114,922 | 9,301 | ||||
* | Hub Group Inc. Class A | 119,620 | 9,291 | |||
* | Allegiant Travel Co. | 53,624 | 9,289 | |||
Federal Signal Corp. | 217,293 | 9,220 | ||||
Boise Cascade Co. | 139,588 | 9,050 | ||||
Arcosa Inc. | 171,796 | 8,791 | ||||
Brady Corp. Class A | 172,187 | 8,652 | ||||
* | GMS Inc. | 152,798 | 8,537 | |||
* | Atlas Air Worldwide Holdings Inc. | 95,774 | 8,391 | |||
* | Gibraltar Industries Inc. | 115,824 | 7,864 | |||
ESCO Technologies Inc. | 92,463 | 7,558 | ||||
EnPro Industries Inc. | 73,218 | 7,468 | ||||
*,2 | Raven Industries Inc. | 127,444 | 7,392 | |||
Moog Inc. Class A | 104,091 | 7,200 | ||||
Barnes Group Inc. | 165,423 | 7,188 | ||||
* | SkyWest Inc. | 178,768 | 7,002 | |||
* | MYR Group Inc. | 59,940 | 6,636 | |||
ManTech International Corp. Class A | 97,597 | 6,632 | ||||
* | AeroVironment Inc. | 81,777 | 6,604 | |||
* | Veritiv Corp. | 50,397 | 6,352 | |||
Granite Construction Inc. | 162,844 | 6,331 | ||||
* | Meritor Inc. | 249,350 | 6,306 | |||
HNI Corp. | 156,000 | 6,164 | ||||
Lindsay Corp. | 38,764 | 5,641 | ||||
Tennant Co. | 66,379 | 5,221 | ||||
Deluxe Corp. | 151,290 | 5,120 | ||||
Astec Industries Inc. | 80,949 | 5,074 | ||||
Alamo Group Inc. | 35,201 | 5,006 | ||||
* | Proto Labs Inc. | 98,724 | 4,948 | |||
Healthcare Services Group Inc. | 265,503 | 4,646 | ||||
AZZ Inc. | 89,179 | 4,628 | ||||
Greenbrier Cos. Inc. | 115,115 | 4,603 | ||||
* | CoreCivic Inc. | 426,714 | 4,596 | |||
Enerpac Tool Group Corp. Class A | 213,346 | 4,504 | ||||
Standex International Corp. | 43,446 | 4,475 | ||||
Griffon Corp. | 168,771 | 4,440 | ||||
* | PGT Innovations Inc. | 211,151 | 4,337 | |||
* | Harsco Corp. | 281,654 | 4,107 | |||
Pitney Bowes Inc. | 588,433 | 4,019 | ||||
Matthews International Corp. Class A | 112,142 | 3,888 | ||||
* | AAR Corp. | 118,047 | 3,855 | |||
* | Triumph Group Inc. | 229,016 | 3,838 | |||
* | US Ecology Inc. | 111,706 | 3,806 | |||
Apogee Enterprises Inc. | 90,577 | 3,741 | ||||
* | American Woodmark Corp. | 59,572 | 3,672 | |||
Kaman Corp. | 98,713 | 3,652 | ||||
Marten Transport Ltd. | 211,464 | 3,400 | ||||
* | Hawaiian Holdings Inc. | 181,758 | 3,323 | |||
* | NOW Inc. | 392,969 | 3,285 | |||
* | TrueBlue Inc. | 126,004 | 3,279 | |||
* | Viad Corp. | 72,803 | 3,080 | |||
Heidrick & Struggles International Inc. | 69,424 | 2,997 | ||||
Interface Inc. Class A | 209,943 | 2,994 | ||||
Wabash National Corp. | 178,122 | 2,975 | ||||
Insteel Industries Inc. | 68,945 | 2,907 | ||||
Heartland Express Inc. | 166,947 | 2,795 | ||||
Quanex Building Products Corp. | 118,846 | 2,540 |
Shares | Market Value ($000) | |||||
* | Forrester Research Inc. | 39,429 | 2,225 | |||
Kelly Services Inc. Class A | 127,451 | 2,149 | ||||
* | CIRCOR International Inc. | 71,770 | 1,934 | |||
Resources Connection Inc. | 109,844 | 1,887 | ||||
* | DXP Enterprises Inc. | 62,724 | 1,733 | |||
National Presto Industries Inc. | 18,028 | 1,474 | ||||
* | Titan International Inc. | 180,559 | 1,244 | |||
* | KAR Auction Services Inc. | 65,256 | 978 | |||
Park Aerospace Corp. | 68,719 | 886 | ||||
* | Matrix Service Co. | 94,985 | 825 | |||
Powell Industries Inc. | 32,009 | 782 | ||||
632,910 | ||||||
Information Technology (13.9%) | ||||||
Power Integrations Inc. | 214,194 | 21,426 | ||||
* | Vonage Holdings Corp. | 894,873 | 18,452 | |||
* | Rogers Corp. | 66,533 | 18,138 | |||
* | SPS Commerce Inc. | 127,303 | 17,948 | |||
* | Diodes Inc. | 159,781 | 16,993 | |||
* | MaxLinear Inc. Class A | 249,622 | 16,807 | |||
* | Onto Innovation Inc. | 175,091 | 16,487 | |||
* | Perficient Inc. | 116,846 | 16,011 | |||
* | ExlService Holdings Inc. | 117,857 | 15,306 | |||
* | Fabrinet | 131,046 | 14,488 | |||
* | Alarm.com Holdings Inc. | 163,239 | 13,025 | |||
Kulicke & Soffa Industries Inc. | 219,883 | 12,678 | ||||
* | Insight Enterprises Inc. | 123,699 | 12,199 | |||
* | Viavi Solutions Inc. | 811,337 | 12,016 | |||
Advanced Energy Industries Inc. | 136,173 | 11,941 | ||||
* | FormFactor Inc. | 275,643 | 11,555 | |||
Badger Meter Inc. | 103,537 | 10,598 | ||||
* | Rambus Inc. | 386,398 | 10,394 | |||
* | 3D Systems Corp. | 444,345 | 10,122 | |||
* | Itron Inc. | 160,524 | 9,938 | |||
EVERTEC Inc. | 211,966 | 8,900 | ||||
* | LivePerson Inc. | 230,220 | 8,900 | |||
* | Ultra Clean Holdings Inc. | 158,532 | 8,689 | |||
* | 8x8 Inc. | 397,495 | 8,566 | |||
* | Sanmina Corp. | 231,019 | 8,441 | |||
* | Plexus Corp. | 100,210 | 8,432 | |||
* | NetScout Systems Inc. | 262,864 | 7,860 | |||
Progress Software Corp. | 155,279 | 7,523 | ||||
InterDigital Inc. | 109,062 | 7,406 | ||||
* | Axcelis Technologies Inc. | 119,360 | 7,379 | |||
* | Knowles Corp. | 326,984 | 7,102 | |||
Xperi Holding Corp. | 372,525 | 6,676 | ||||
* | Bottomline Technologies DE Inc. | 139,440 | 6,253 | |||
CSG Systems International Inc. | 116,408 | 6,136 | ||||
* | Extreme Networks Inc. | 448,952 | 6,061 | |||
Methode Electronics Inc. | 135,793 | 6,039 | ||||
* | Cohu Inc. | 172,223 | 5,678 | |||
TTEC Holdings Inc. | 65,168 | 5,500 | ||||
* | OSI Systems Inc. | 59,449 | 5,406 | |||
* | TTM Technologies Inc. | 383,205 | 5,281 | |||
* | ePlus Inc. | 48,022 | 5,066 | |||
* | Ichor Holdings Ltd. | 100,844 | 4,829 | |||
* | Veeco Instruments Inc. | 178,492 | 4,744 | |||
* | SMART Global Holdings Inc. | 81,699 | 4,659 | |||
* | FARO Technologies Inc. | 64,429 | 4,475 |
Shares | Market Value ($000) | |||||
* | Unisys Corp. | 238,631 | 4,334 | |||
CTS Corp. | 115,072 | 4,009 | ||||
* | Harmonic Inc. | 361,653 | 3,888 | |||
* | Plantronics Inc. | 149,988 | 3,828 | |||
* | CEVA Inc. | 81,395 | 3,590 | |||
* | Consensus Cloud Solutions Inc. | 57,124 | 3,578 | |||
ADTRAN Inc. | 172,492 | 3,515 | ||||
* | PDF Solutions Inc. | 105,977 | 3,172 | |||
* | Agilysys Inc. | 68,915 | 3,001 | |||
Benchmark Electronics Inc. | 126,225 | 2,976 | ||||
* | Photronics Inc. | 220,452 | 2,912 | |||
* | NETGEAR Inc. | 108,431 | 2,899 | |||
* | ScanSource Inc. | 90,485 | 2,828 | |||
* | Digi International Inc. | 121,483 | 2,616 | |||
Ebix Inc. | 84,316 | 2,577 | ||||
Comtech Telecommunications Corp. | 92,297 | 2,343 | ||||
* | Arlo Technologies Inc. | 295,654 | 2,291 | |||
* | Diebold Nixdorf Inc. | 259,536 | 2,105 | |||
* | OneSpan Inc. | 122,382 | 2,092 | |||
* | DSP Group Inc. | 81,190 | 1,785 | |||
PC Connection Inc. | 39,051 | 1,712 | ||||
* | CalAmp Corp. | 125,660 | 1,154 | |||
* | BM Technologies Inc. | 14,717 | 177 | |||
* | Applied Optoelectronics Inc. | 122 | 1 | |||
515,906 | ||||||
Materials (4.9%) | ||||||
Balchem Corp. | 114,978 | 18,166 | ||||
* | Livent Corp. | 573,851 | 17,382 | |||
HB Fuller Co. | 186,442 | 13,640 | ||||
Quaker Chemical Corp. | 47,580 | 10,841 | ||||
* | Arconic Corp. | 388,164 | 10,372 | |||
Stepan Co. | 75,725 | 8,535 | ||||
Innospec Inc. | 87,520 | 7,107 | ||||
Trinseo plc | 137,824 | 6,509 | ||||
* | Allegheny Technologies Inc. | 451,707 | 6,432 | |||
* | Ferro Corp. | 294,021 | 6,210 | |||
* | O-I Glass Inc. | 558,532 | 6,183 | |||
Materion Corp. | 72,486 | 6,137 | ||||
* | Kraton Corp. | 114,321 | 5,266 | |||
Kaiser Aluminum Corp. | 56,407 | 5,033 | ||||
Carpenter Technology Corp. | 170,247 | 4,678 | ||||
AdvanSix Inc. | 99,763 | 4,518 | ||||
* | GCP Applied Technologies Inc. | 190,068 | 4,436 | |||
Warrior Met Coal Inc. | 182,978 | 3,932 | ||||
* | Sylvamo Corp. | 126,383 | 3,827 | |||
Schweitzer-Mauduit International Inc. | 111,577 | 3,202 | ||||
Neenah Inc. | 60,003 | 2,790 | ||||
Glatfelter Corp. | 157,736 | 2,598 | ||||
Myers Industries Inc. | 128,846 | 2,510 | ||||
* | Clearwater Paper Corp. | 59,157 | 2,381 | |||
* | Century Aluminum Co. | 179,887 | 2,380 | |||
* | Koppers Holdings Inc. | 75,520 | 2,281 | |||
Hawkins Inc. | 66,816 | 2,217 | ||||
* | TimkenSteel Corp. | 145,766 | 2,087 | |||
Haynes International Inc. | 45,063 | 1,806 | ||||
SunCoke Energy Inc. | 294,541 | 1,794 | ||||
Mercer International Inc. | 142,875 | 1,529 | ||||
American Vanguard Corp. | 95,559 | 1,367 |
Shares | Market Value ($000) | |||||
* | Rayonier Advanced Materials Inc. | 226,461 | 1,241 | |||
Tredegar Corp. | 91,547 | 1,007 | ||||
FutureFuel Corp. | 91,318 | 689 | ||||
Olympic Steel Inc. | 33,508 | 682 | ||||
181,765 | ||||||
Real Estate (7.7%) | ||||||
1 | Innovative Industrial Properties Inc. | 85,031 | 21,839 | |||
Agree Realty Corp. | 245,047 | 16,555 | ||||
Lexington Realty Trust | 987,004 | 14,854 | ||||
Essential Properties Realty Trust Inc. | 419,625 | 11,342 | ||||
Uniti Group Inc. | 828,215 | 10,990 | ||||
SITE Centers Corp. | 636,540 | 9,586 | ||||
Independence Realty Trust Inc. | 372,996 | 9,138 | ||||
Brandywine Realty Trust | 606,632 | 7,795 | ||||
Retail Opportunity Investments Corp. | 431,209 | 7,572 | ||||
Washington REIT | 300,260 | 7,567 | ||||
Four Corners Property Trust Inc. | 270,369 | 7,305 | ||||
1 | Tanger Factory Outlet Centers Inc. | 368,700 | 7,304 | |||
CareTrust REIT Inc. | 344,217 | 6,957 | ||||
* | DiamondRock Hospitality Co. | 747,056 | 6,507 | |||
American Assets Trust Inc. | 186,878 | 6,429 | ||||
* | Xenia Hotels & Resorts Inc. | 405,096 | 6,348 | |||
Acadia Realty Trust | 314,127 | 6,342 | ||||
* | Realogy Holdings Corp. | 413,775 | 6,285 | |||
Easterly Government Properties Inc. Class A | 298,810 | 6,266 | ||||
1 | iStar Inc. | 254,198 | 6,187 | |||
NexPoint Residential Trust Inc. | 80,233 | 5,984 | ||||
Alexander & Baldwin Inc. | 257,113 | 5,664 | ||||
St. Joe Co. | 117,295 | 5,631 | ||||
Industrial Logistics Properties Trust | 231,642 | 5,133 | ||||
Centerspace | 49,765 | 5,086 | ||||
Global Net Lease Inc. | 355,636 | 5,050 | ||||
Service Properties Trust | 584,570 | 4,975 | ||||
* | Mack-Cali Realty Corp. | 283,633 | 4,740 | |||
LTC Properties Inc. | 140,344 | 4,457 | ||||
Getty Realty Corp. | 138,098 | 4,216 | ||||
Office Properties Income Trust | 172,010 | 4,082 | ||||
* | Marcus & Millichap Inc. | 88,491 | 3,792 | |||
RPT Realty | 287,936 | 3,663 | ||||
GEO Group Inc. | 435,307 | 3,657 | ||||
Community Healthcare Trust Inc. | 82,592 | 3,554 | ||||
* | Orion Office REIT Inc. | 195,400 | 3,472 | |||
* | Summit Hotel Properties Inc. | 377,851 | 3,382 | |||
Safehold Inc. | 47,264 | 3,381 | ||||
Armada Hoffler Properties Inc. | 216,813 | 3,025 | ||||
Universal Health Realty Income Trust | 45,672 | 2,543 | ||||
Diversified Healthcare Trust | 847,660 | 2,365 | ||||
Saul Centers Inc. | 46,003 | 2,265 | ||||
* | Chatham Lodging Trust | 172,776 | 2,058 | |||
Urstadt Biddle Properties Inc. Class A | 106,679 | 2,014 | ||||
Franklin Street Properties Corp. | 343,440 | 1,978 | ||||
RE/MAX Holdings Inc. Class A | 66,933 | 1,840 | ||||
Whitestone REIT | 154,777 | 1,433 | ||||
* | Hersha Hospitality Trust Class A | 117,835 | 1,040 | |||
283,648 | ||||||
Utilities (1.7%) | ||||||
American States Water Co. | 131,085 | 12,346 |
Shares | Market Value ($000) | |||||
California Water Service Group | 182,899 | 11,524 | ||||
Avista Corp. | 247,255 | 9,522 | ||||
South Jersey Industries Inc. | 398,984 | 9,376 | ||||
Chesapeake Utilities Corp. | 62,373 | 7,944 | ||||
Middlesex Water Co. | 62,253 | 6,414 | ||||
Northwest Natural Holding Co. | 109,110 | 4,705 | ||||
Unitil Corp. | 56,496 | 2,341 | ||||
64,172 | ||||||
Total Common Stocks (Cost $3,083,231) | 3,694,137 | |||||
Coupon | ||||||
Temporary Cash Investments (0.9%) | ||||||
Money Market Fund (0.9%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $32,933) | 0.077% | 329,384 | 32,938 | ||
Total Investments (100.6%) (Cost $3,116,164) | 3,727,075 | |||||
Other Assets and Liabilities—Net (-0.6%) | (20,682) | |||||
Net Assets (100%) | 3,706,393 |
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 $29,073,000. |
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 $30,421,000 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 2021 | 94 | 10,327 | (570) |
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 November 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,686,745 | — | 7,392 | 3,694,137 |
Temporary Cash Investments | 32,938 | — | — | 32,938 |
Total | 3,719,683 | — | 7,392 | 3,727,075 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 570 | — | — | 570 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |