Vanguard® S&P 500 Value 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 (5.5%) | ||||||
* | Walt Disney Co. | 269,219 | 39,010 | |||
Verizon Communications Inc. | 613,335 | 30,832 | ||||
AT&T Inc. | 1,057,796 | 24,150 | ||||
Comcast Corp. Class A | 380,058 | 18,995 | ||||
* | T-Mobile US Inc. | 26,921 | 2,929 | |||
ViacomCBS Inc. Class B | 89,661 | 2,775 | ||||
Activision Blizzard Inc. | 47,171 | 2,764 | ||||
Electronic Arts Inc. | 19,397 | 2,410 | ||||
Omnicom Group Inc. | 31,859 | 2,144 | ||||
* | Live Nation Entertainment Inc. | 19,461 | 2,076 | |||
Interpublic Group of Cos. Inc. | 58,136 | 1,930 | ||||
Lumen Technologies Inc. | 147,196 | 1,816 | ||||
Fox Corp. Class A | 48,009 | 1,714 | ||||
* | Match Group Inc. | 11,895 | 1,546 | |||
News Corp. Class A | 58,661 | 1,268 | ||||
* | DISH Network Corp. Class A | 36,860 | 1,152 | |||
* | Discovery Inc. Class C | 45,055 | 1,023 | |||
Fox Corp. Class B | 21,897 | 736 | ||||
* | Discovery Inc. Class A | 24,908 | 580 | |||
News Corp. Class B | 17,077 | 368 | ||||
140,218 | ||||||
Consumer Discretionary (8.0%) | ||||||
Home Depot Inc. | 44,094 | 17,665 | ||||
McDonald's Corp. | 66,377 | 16,236 | ||||
* | General Motors Co. | 215,058 | 12,445 | |||
TJX Cos. Inc. | 178,721 | 12,403 | ||||
NIKE Inc. Class B | 68,159 | 11,535 | ||||
Ford Motor Co. | 581,324 | 11,156 | ||||
Starbucks Corp. | 73,371 | 8,044 | ||||
* | Booking Holdings Inc. | 3,771 | 7,926 | |||
Lowe's Cos. Inc. | 30,367 | 7,428 | ||||
Target Corp. | 24,936 | 6,080 | ||||
* | Marriott International Inc. Class A | 40,542 | 5,982 | |||
Ross Stores Inc. | 52,942 | 5,775 | ||||
* | Dollar Tree Inc. | 34,383 | 4,602 | |||
Lennar Corp. Class A | 40,427 | 4,247 | ||||
* | Hilton Worldwide Holdings Inc. | 25,968 | 3,508 | |||
VF Corp. | 48,218 | 3,459 | ||||
* | CarMax Inc. | 24,178 | 3,415 | |||
Yum! Brands Inc. | 24,951 | 3,065 | ||||
Genuine Parts Co. | 21,224 | 2,711 |
Shares | Market Value ($000) | |||||
Darden Restaurants Inc. | 19,329 | 2,666 | ||||
* | NVR Inc. | 497 | 2,597 | |||
* | AutoZone Inc. | 1,406 | 2,555 | |||
MGM Resorts International | 59,277 | 2,346 | ||||
* | Royal Caribbean Cruises Ltd. | 33,248 | 2,321 | |||
LKQ Corp. | 40,134 | 2,244 | ||||
* | Expedia Group Inc. | 13,805 | 2,224 | |||
Advance Auto Parts Inc. | 9,679 | 2,136 | ||||
* | Aptiv plc | 13,256 | 2,126 | |||
* | Carnival Corp. | 118,511 | 2,088 | |||
* | O'Reilly Automotive Inc. | 3,265 | 2,084 | |||
Whirlpool Corp. | 9,277 | 2,020 | ||||
DR Horton Inc. | 19,297 | 1,885 | ||||
Hasbro Inc. | 19,142 | 1,855 | ||||
* | Las Vegas Sands Corp. | 50,808 | 1,810 | |||
Best Buy Co. Inc. | 16,654 | 1,780 | ||||
Tapestry Inc. | 41,272 | 1,656 | ||||
BorgWarner Inc. | 35,490 | 1,536 | ||||
* | Ulta Beauty Inc. | 3,985 | 1,530 | |||
* | Mohawk Industries Inc. | 8,278 | 1,390 | |||
Garmin Ltd. | 9,905 | 1,323 | ||||
Bath & Body Works Inc. | 17,295 | 1,299 | ||||
* | Wynn Resorts Ltd. | 15,598 | 1,264 | |||
Newell Brands Inc. | 56,124 | 1,205 | ||||
* | Caesars Entertainment Inc. | 13,283 | 1,196 | |||
PVH Corp. | 10,592 | 1,131 | ||||
* | Norwegian Cruise Line Holdings Ltd. | 54,812 | 1,069 | |||
PulteGroup Inc. | 18,905 | 946 | ||||
Ralph Lauren Corp. | 7,228 | 839 | ||||
Hanesbrands Inc. | 51,865 | 838 | ||||
Leggett & Platt Inc. | 19,618 | 792 | ||||
* | Under Armour Inc. Class A | 27,982 | 660 | |||
* | Under Armour Inc. Class C | 30,860 | 619 | |||
Gap Inc. | 31,601 | 522 | ||||
* | Penn National Gaming Inc. | 9,756 | 500 | |||
Lennar Corp. Class B | 361 | 31 | ||||
202,765 | ||||||
Consumer Staples (8.9%) | ||||||
Walmart Inc. | 211,687 | 29,770 | ||||
Procter & Gamble Co. | 186,948 | 27,029 | ||||
Philip Morris International Inc. | 230,918 | 19,845 | ||||
Coca-Cola Co. | 374,060 | 19,619 | ||||
PepsiCo Inc. | 118,731 | 18,971 | ||||
Costco Wholesale Corp. | 30,779 | 16,602 | ||||
Mondelez International Inc. Class A | 207,079 | 12,205 | ||||
Altria Group Inc. | 273,211 | 11,650 | ||||
Constellation Brands Inc. Class A | 24,899 | 5,611 | ||||
General Mills Inc. | 89,873 | 5,552 | ||||
Sysco Corp. | 75,846 | 5,312 | ||||
Archer-Daniels-Midland Co. | 82,963 | 5,161 | ||||
Estee Lauder Cos. Inc. Class A | 15,135 | 5,026 | ||||
Walgreens Boots Alliance Inc. | 106,254 | 4,760 | ||||
Colgate-Palmolive Co. | 59,950 | 4,497 | ||||
Kroger Co. | 100,771 | 4,185 | ||||
Kimberly-Clark Corp. | 30,975 | 4,036 | ||||
Kraft Heinz Co. | 105,360 | 3,541 | ||||
Tyson Foods Inc. Class A | 43,618 | 3,444 | ||||
Kellogg Co. | 37,942 | 2,321 |
Shares | Market Value ($000) | |||||
Hershey Co. | 12,687 | 2,252 | ||||
Conagra Brands Inc. | 70,998 | 2,169 | ||||
J M Smucker Co. | 16,015 | 2,025 | ||||
McCormick & Co. Inc. (Non-Voting) | 20,650 | 1,772 | ||||
Hormel Foods Corp. | 41,729 | 1,728 | ||||
Molson Coors Beverage Co. Class B | 27,937 | 1,242 | ||||
Campbell Soup Co. | 30,063 | 1,212 | ||||
Church & Dwight Co. Inc. | 12,061 | 1,078 | ||||
Clorox Co. | 6,012 | 979 | ||||
Brown-Forman Corp. Class B | 13,564 | 954 | ||||
Lamb Weston Holdings Inc. | 13,608 | 707 | ||||
225,255 | ||||||
Energy (6.1%) | ||||||
Exxon Mobil Corp. | 627,166 | 37,530 | ||||
Chevron Corp. | 286,478 | 32,335 | ||||
ConocoPhillips | 198,396 | 13,913 | ||||
EOG Resources Inc. | 86,509 | 7,526 | ||||
Pioneer Natural Resources Co. | 33,624 | 5,996 | ||||
Schlumberger NV | 207,300 | 5,945 | ||||
Marathon Petroleum Corp. | 94,592 | 5,756 | ||||
Williams Cos. Inc. | 179,794 | 4,817 | ||||
Phillips 66 | 64,824 | 4,484 | ||||
Kinder Morgan Inc. | 288,542 | 4,461 | ||||
Valero Energy Corp. | 60,581 | 4,055 | ||||
ONEOK Inc. | 66,043 | 3,952 | ||||
Devon Energy Corp. | 93,393 | 3,928 | ||||
Occidental Petroleum Corp. | 131,481 | 3,898 | ||||
Baker Hughes Co. | 122,703 | 2,864 | ||||
Halliburton Co. | 131,943 | 2,849 | ||||
Diamondback Energy Inc. | 25,222 | 2,692 | ||||
Coterra Energy Inc. | 120,330 | 2,416 | ||||
Marathon Oil Corp. | 116,511 | 1,805 | ||||
APA Corp. | 56,047 | 1,444 | ||||
Hess Corp. | 19,177 | 1,429 | ||||
154,095 | ||||||
Financials (21.1%) | ||||||
* | Berkshire Hathaway Inc. Class B | 274,596 | 75,978 | |||
JPMorgan Chase & Co. | 442,667 | 70,309 | ||||
Bank of America Corp. | 1,097,035 | 48,785 | ||||
Wells Fargo & Co. | 608,357 | 29,067 | ||||
Morgan Stanley | 216,258 | 20,506 | ||||
Citigroup Inc. | 300,244 | 19,126 | ||||
Goldman Sachs Group Inc. | 49,941 | 19,027 | ||||
Charles Schwab Corp. | 222,431 | 17,214 | ||||
American Express Co. | 95,339 | 14,520 | ||||
PNC Financial Services Group Inc. | 62,963 | 12,404 | ||||
CME Group Inc. | 53,205 | 11,733 | ||||
Truist Financial Corp. | 197,808 | 11,732 | ||||
Chubb Ltd. | 64,999 | 11,665 | ||||
US Bancorp | 199,891 | 11,062 | ||||
Capital One Financial Corp. | 66,096 | 9,288 | ||||
American International Group Inc. | 126,732 | 6,666 | ||||
Bank of New York Mellon Corp. | 117,669 | 6,447 | ||||
MetLife Inc. | 107,929 | 6,331 | ||||
Marsh & McLennan Cos. Inc. | 38,296 | 6,281 | ||||
Prudential Financial Inc. | 57,314 | 5,861 | ||||
BlackRock Inc. | 6,363 | 5,756 |
Shares | Market Value ($000) | |||||
Travelers Cos. Inc. | 36,979 | 5,434 | ||||
Intercontinental Exchange Inc. | 38,331 | 5,011 | ||||
Aflac Inc. | 91,316 | 4,944 | ||||
Ameriprise Financial Inc. | 16,838 | 4,876 | ||||
State Street Corp. | 54,099 | 4,813 | ||||
Discover Financial Services | 44,324 | 4,780 | ||||
Allstate Corp. | 43,751 | 4,757 | ||||
Aon plc Class A | 16,050 | 4,747 | ||||
Willis Towers Watson plc | 19,128 | 4,320 | ||||
Fifth Third Bancorp | 102,428 | 4,317 | ||||
Synchrony Financial | 84,463 | 3,783 | ||||
Northern Trust Corp. | 30,909 | 3,576 | ||||
Hartford Financial Services Group Inc. | 51,504 | 3,404 | ||||
Huntington Bancshares Inc. | 218,399 | 3,241 | ||||
Regions Financial Corp. | 141,220 | 3,213 | ||||
KeyCorp | 141,493 | 3,175 | ||||
Citizens Financial Group Inc. | 63,212 | 2,988 | ||||
Progressive Corp. | 31,177 | 2,898 | ||||
Arthur J Gallagher & Co. | 17,473 | 2,846 | ||||
M&T Bank Corp. | 19,048 | 2,793 | ||||
Raymond James Financial Inc. | 27,474 | 2,700 | ||||
T. Rowe Price Group Inc. | 13,465 | 2,692 | ||||
Moody's Corp. | 6,723 | 2,626 | ||||
First Republic Bank | 12,286 | 2,576 | ||||
Principal Financial Group Inc. | 37,016 | 2,539 | ||||
Cincinnati Financial Corp. | 22,226 | 2,532 | ||||
Lincoln National Corp. | 26,109 | 1,732 | ||||
Comerica Inc. | 19,810 | 1,635 | ||||
Loews Corp. | 30,064 | 1,607 | ||||
W R Berkley Corp. | 20,753 | 1,590 | ||||
Everest Re Group Ltd. | 5,904 | 1,514 | ||||
Zions Bancorp NA | 23,992 | 1,513 | ||||
Franklin Resources Inc. | 41,695 | 1,351 | ||||
Assurant Inc. | 8,711 | 1,325 | ||||
Nasdaq Inc. | 6,085 | 1,237 | ||||
Globe Life Inc. | 13,884 | 1,202 | ||||
Invesco Ltd. | 50,611 | 1,130 | ||||
People's United Financial Inc. | 63,533 | 1,083 | ||||
Cboe Global Markets Inc. | 7,695 | 992 | ||||
533,250 | ||||||
Health Care (14.9%) | ||||||
Pfizer Inc. | 830,630 | 44,630 | ||||
Johnson & Johnson | 233,985 | 36,485 | ||||
UnitedHealth Group Inc. | 67,043 | 29,782 | ||||
Medtronic plc | 199,095 | 21,243 | ||||
CVS Health Corp. | 195,465 | 17,408 | ||||
Anthem Inc. | 36,119 | 14,673 | ||||
Merck & Co. Inc. | 195,023 | 14,609 | ||||
Abbott Laboratories | 107,683 | 13,543 | ||||
Gilead Sciences Inc. | 185,771 | 12,805 | ||||
Eli Lilly & Co. | 45,878 | 11,380 | ||||
Becton Dickinson & Co. | 42,547 | 10,090 | ||||
Danaher Corp. | 30,127 | 9,690 | ||||
Cigna Corp. | 50,384 | 9,669 | ||||
Bristol-Myers Squibb Co. | 158,054 | 8,476 | ||||
Amgen Inc. | 42,071 | 8,367 | ||||
HCA Healthcare Inc. | 36,516 | 8,238 | ||||
* | Boston Scientific Corp. | 210,982 | 8,032 |
Shares | Market Value ($000) | |||||
AbbVie Inc. | 68,084 | 7,849 | ||||
* | Moderna Inc. | 21,829 | 7,693 | |||
* | Centene Corp. | 86,408 | 6,170 | |||
Stryker Corp. | 25,375 | 6,004 | ||||
Baxter International Inc. | 74,119 | 5,527 | ||||
* | Intuitive Surgical Inc. | 15,832 | 5,135 | |||
McKesson Corp. | 22,890 | 4,962 | ||||
* | Edwards Lifesciences Corp. | 39,727 | 4,263 | |||
Zoetis Inc. | 18,935 | 4,204 | ||||
* | Laboratory Corp. of America Holdings | 14,334 | 4,090 | |||
* | Illumina Inc. | 10,865 | 3,969 | |||
Humana Inc. | 9,140 | 3,836 | ||||
Zimmer Biomet Holdings Inc. | 30,956 | 3,702 | ||||
Quest Diagnostics Inc. | 18,112 | 2,693 | ||||
* | IQVIA Holdings Inc. | 10,233 | 2,652 | |||
AmerisourceBergen Corp. | 22,179 | 2,567 | ||||
* | Biogen Inc. | 10,389 | 2,449 | |||
Viatris Inc. | 179,604 | 2,211 | ||||
Cardinal Health Inc. | 43,088 | 1,992 | ||||
Agilent Technologies Inc. | 12,556 | 1,895 | ||||
Cerner Corp. | 24,904 | 1,755 | ||||
Cooper Cos. Inc. | 4,297 | 1,618 | ||||
DENTSPLY SIRONA Inc. | 32,292 | 1,574 | ||||
* | Henry Schein Inc. | 20,707 | 1,471 | |||
STERIS plc | 6,356 | 1,389 | ||||
* | Waters Corp. | 4,090 | 1,342 | |||
Universal Health Services Inc. Class B | 11,244 | 1,335 | ||||
Teleflex Inc. | 3,679 | 1,094 | ||||
* | Hologic Inc. | 10,599 | 792 | |||
* | Incyte Corp. | 10,190 | 690 | |||
Organon & Co. | 19,352 | 566 | ||||
376,609 | ||||||
Industrials (11.3%) | ||||||
Honeywell International Inc. | 102,285 | 20,686 | ||||
Raytheon Technologies Corp. | 223,375 | 18,076 | ||||
* | Boeing Co. | 81,641 | 16,153 | |||
General Electric Co. | 162,645 | 15,450 | ||||
3M Co. | 85,729 | 14,577 | ||||
Union Pacific Corp. | 50,217 | 11,833 | ||||
Eaton Corp. plc | 59,038 | 9,568 | ||||
Caterpillar Inc. | 42,996 | 8,313 | ||||
Johnson Controls International plc | 105,491 | 7,887 | ||||
Northrop Grumman Corp. | 22,296 | 7,777 | ||||
Lockheed Martin Corp. | 19,720 | 6,573 | ||||
General Dynamics Corp. | 34,381 | 6,497 | ||||
United Parcel Service Inc. Class B | 32,381 | 6,423 | ||||
Waste Management Inc. | 35,036 | 5,629 | ||||
CSX Corp. | 160,470 | 5,562 | ||||
Illinois Tool Works Inc. | 23,759 | 5,516 | ||||
Norfolk Southern Corp. | 20,142 | 5,343 | ||||
Emerson Electric Co. | 53,083 | 4,663 | ||||
PACCAR Inc. | 51,427 | 4,290 | ||||
Stanley Black & Decker Inc. | 24,146 | 4,220 | ||||
Republic Services Inc. | 31,133 | 4,118 | ||||
Fortive Corp. | 53,143 | 3,926 | ||||
* | Southwest Airlines Co. | 87,809 | 3,899 | |||
Deere & Co. | 10,498 | 3,628 | ||||
Trane Technologies plc | 18,984 | 3,543 |
Shares | Market Value ($000) | |||||
Ingersoll Rand Inc. | 59,957 | 3,498 | ||||
Dover Corp. | 21,300 | 3,490 | ||||
* | Delta Air Lines Inc. | 94,706 | 3,428 | |||
Roper Technologies Inc. | 7,173 | 3,329 | ||||
FedEx Corp. | 13,099 | 3,018 | ||||
Parker-Hannifin Corp. | 9,187 | 2,775 | ||||
L3Harris Technologies Inc. | 12,801 | 2,676 | ||||
IHS Markit Ltd. | 20,692 | 2,645 | ||||
Rockwell Automation Inc. | 7,577 | 2,547 | ||||
Cummins Inc. | 12,128 | 2,544 | ||||
Equifax Inc. | 9,002 | 2,508 | ||||
Carrier Global Corp. | 46,344 | 2,508 | ||||
Westinghouse Air Brake Technologies Corp. | 28,028 | 2,488 | ||||
Otis Worldwide Corp. | 30,400 | 2,444 | ||||
AMETEK Inc. | 17,509 | 2,390 | ||||
Textron Inc. | 33,261 | 2,355 | ||||
* | United Airlines Holdings Inc. | 47,814 | 2,021 | |||
Kansas City Southern | 6,594 | 1,918 | ||||
Cintas Corp. | 4,398 | 1,857 | ||||
CH Robinson Worldwide Inc. | 19,464 | 1,851 | ||||
Leidos Holdings Inc. | 20,913 | 1,838 | ||||
Robert Half International Inc. | 16,535 | 1,838 | ||||
Pentair plc | 24,523 | 1,807 | ||||
* | TransDigm Group Inc. | 3,091 | 1,787 | |||
Xylem Inc. | 14,383 | 1,742 | ||||
* | American Airlines Group Inc. | 95,715 | 1,693 | |||
Snap-on Inc. | 7,991 | 1,645 | ||||
Howmet Aerospace Inc. | 57,096 | 1,606 | ||||
A O Smith Corp. | 19,727 | 1,559 | ||||
IDEX Corp. | 6,196 | 1,392 | ||||
Masco Corp. | 20,519 | 1,352 | ||||
Fastenal Co. | 21,319 | 1,261 | ||||
WW Grainger Inc. | 2,540 | 1,223 | ||||
Expeditors International of Washington Inc. | 8,830 | 1,074 | ||||
Huntington Ingalls Industries Inc. | 5,942 | 1,055 | ||||
Jacobs Engineering Group Inc. | 7,371 | 1,051 | ||||
Nielsen Holdings plc | 53,302 | 1,021 | ||||
Quanta Services Inc. | 8,708 | 991 | ||||
JB Hunt Transport Services Inc. | 5,122 | 979 | ||||
Allegion plc | 7,755 | 959 | ||||
* | Alaska Air Group Inc. | 18,620 | 904 | |||
Fortune Brands Home & Security Inc. | 8,825 | 887 | ||||
286,104 | ||||||
Information Technology (10.9%) | ||||||
Cisco Systems Inc. | 624,329 | 34,238 | ||||
Intel Corp. | 601,024 | 29,570 | ||||
Visa Inc. Class A | 100,018 | 19,381 | ||||
Accenture plc Class A | 41,338 | 14,774 | ||||
Micron Technology Inc. | 166,789 | 14,010 | ||||
Mastercard Inc. Class A | 41,305 | 13,008 | ||||
Texas Instruments Inc. | 64,283 | 12,366 | ||||
International Business Machines Corp. | 101,294 | 11,862 | ||||
Broadcom Inc. | 19,447 | 10,767 | ||||
Oracle Corp. | 109,843 | 9,967 | ||||
Fidelity National Information Services Inc. | 91,525 | 9,564 | ||||
NXP Semiconductors NV | 37,246 | 8,319 | ||||
Analog Devices Inc. | 45,439 | 8,190 | ||||
Automatic Data Processing Inc. | 32,597 | 7,526 |
Shares | Market Value ($000) | |||||
HP Inc. | 177,756 | 6,271 | ||||
Global Payments Inc. | 43,464 | 5,174 | ||||
TE Connectivity Ltd. | 30,105 | 4,634 | ||||
Motorola Solutions Inc. | 13,783 | 3,490 | ||||
Seagate Technology Holdings plc | 31,018 | 3,185 | ||||
Cognizant Technology Solutions Corp. Class A | 38,145 | 2,975 | ||||
NetApp Inc. | 33,173 | 2,948 | ||||
Hewlett Packard Enterprise Co. | 193,650 | 2,779 | ||||
* | Fiserv Inc. | 28,252 | 2,727 | |||
Amphenol Corp. Class A | 33,689 | 2,715 | ||||
Paychex Inc. | 22,324 | ��� 2,661 | ||||
* | Western Digital Corp. | 45,487 | 2,631 | |||
* | Keysight Technologies Inc. | 11,707 | 2,277 | |||
Corning Inc. | 60,481 | 2,243 | ||||
CDW Corp. | 11,439 | 2,166 | ||||
NortonLifeLock Inc. | 85,913 | 2,135 | ||||
* | VeriSign Inc. | 8,348 | 2,003 | |||
Microchip Technology Inc. | 22,695 | 1,893 | ||||
* | Gartner Inc. | 5,808 | 1,814 | |||
Skyworks Solutions Inc. | 11,711 | 1,776 | ||||
Juniper Networks Inc. | 48,129 | 1,498 | ||||
* | Teledyne Technologies Inc. | 3,523 | 1,463 | |||
Broadridge Financial Solutions Inc. | 8,600 | 1,450 | ||||
* | FleetCor Technologies Inc. | 6,970 | 1,444 | |||
* | Zebra Technologies Corp. Class A | 2,142 | 1,261 | |||
* | F5 Inc. | 5,015 | 1,141 | |||
* | DXC Technology Co. | 37,370 | 1,121 | |||
* | Akamai Technologies Inc. | 8,705 | 981 | |||
Western Union Co. | 60,499 | 957 | ||||
* | Ceridian HCM Holding Inc. | 8,135 | 890 | |||
Jack Henry & Associates Inc. | 5,759 | 873 | ||||
Citrix Systems Inc. | 6,400 | 515 | ||||
* | IPG Photonics Corp. | 2,896 | 476 | |||
276,109 | ||||||
Materials (3.5%) | ||||||
Linde plc | 32,122 | 10,219 | ||||
DuPont de Nemours Inc. | 77,524 | 5,734 | ||||
PPG Industries Inc. | 35,197 | 5,426 | ||||
International Flavors & Fragrances Inc. | 36,939 | 5,252 | ||||
Air Products and Chemicals Inc. | 17,729 | 5,096 | ||||
Corteva Inc. | 108,651 | 4,889 | ||||
Nucor Corp. | 43,476 | 4,620 | ||||
Ecolab Inc. | 19,909 | 4,409 | ||||
Martin Marietta Materials Inc. | 9,226 | 3,723 | ||||
Sherwin-Williams Co. | 11,113 | 3,681 | ||||
LyondellBasell Industries NV Class A | 39,217 | 3,417 | ||||
Dow Inc. | 56,255 | 3,090 | ||||
Freeport-McMoRan Inc. | 82,548 | 3,061 | ||||
Newmont Corp. | 53,296 | 2,927 | ||||
International Paper Co. | 57,899 | 2,636 | ||||
Amcor plc | 228,291 | 2,584 | ||||
Celanese Corp. | 16,464 | 2,492 | ||||
Vulcan Materials Co. | 11,372 | 2,179 | ||||
Eastman Chemical Co. | 20,166 | 2,103 | ||||
CF Industries Holdings Inc. | 31,813 | 1,928 | ||||
Mosaic Co. | 55,022 | 1,883 | ||||
Packaging Corp. of America | 14,045 | 1,834 | ||||
Westrock Co. | 39,502 | 1,714 |
Shares | Market Value ($000) | |||||
Ball Corp. | 17,411 | 1,627 | ||||
Avery Dennison Corp. | 7,118 | 1,460 | ||||
Sealed Air Corp. | 7,525 | 467 | ||||
88,451 | ||||||
Real Estate (4.7%) | ||||||
Prologis Inc. | 109,537 | 16,513 | ||||
American Tower Corp. | 33,047 | 8,674 | ||||
Simon Property Group Inc. | 48,699 | 7,443 | ||||
Digital Realty Trust Inc. | 41,887 | 7,026 | ||||
Realty Income Corp. | 81,715 | 5,550 | ||||
Welltower Inc. | 62,529 | 4,979 | ||||
AvalonBay Communities Inc. | 20,664 | 4,936 | ||||
* | CBRE Group Inc. Class A | 49,697 | 4,750 | |||
Crown Castle International Corp. | 25,601 | 4,650 | ||||
Equinix Inc. | 5,589 | 4,539 | ||||
Equity Residential | 50,494 | 4,308 | ||||
Public Storage | 12,879 | 4,216 | ||||
Weyerhaeuser Co. | 111,140 | 4,180 | ||||
Alexandria Real Estate Equities Inc. | 20,557 | 4,113 | ||||
Mid-America Apartment Communities Inc. | 17,166 | 3,541 | ||||
Essex Property Trust Inc. | 9,631 | 3,269 | ||||
Ventas Inc. | 58,255 | 2,733 | ||||
Healthpeak Properties Inc. | 79,939 | 2,627 | ||||
UDR Inc. | 41,431 | 2,350 | ||||
Boston Properties Inc. | 21,010 | 2,266 | ||||
Extra Space Storage Inc. | 10,280 | 2,056 | ||||
Kimco Realty Corp. | 90,630 | 2,032 | ||||
SBA Communications Corp. | 5,700 | 1,960 | ||||
Iron Mountain Inc. | 42,836 | 1,946 | ||||
Duke Realty Corp. | 33,003 | 1,925 | ||||
* | Host Hotels & Resorts Inc. | 105,603 | 1,658 | |||
Regency Centers Corp. | 22,624 | 1,569 | ||||
Federal Realty Investment Trust | 10,377 | 1,273 | ||||
Vornado Realty Trust | 23,629 | 948 | ||||
118,030 | ||||||
Utilities (4.8%) | ||||||
NextEra Energy Inc. | 165,650 | 14,375 | ||||
Duke Energy Corp. | 113,924 | 11,052 | ||||
Southern Co. | 156,791 | 9,580 | ||||
Dominion Energy Inc. | 119,756 | 8,527 | ||||
Exelon Corp. | 144,829 | 7,637 | ||||
American Electric Power Co. Inc. | 74,167 | 6,011 | ||||
Sempra Energy | 47,340 | 5,675 | ||||
Xcel Energy Inc. | 79,713 | 5,080 | ||||
Public Service Enterprise Group Inc. | 74,856 | 4,678 | ||||
Eversource Energy | 50,923 | 4,189 | ||||
Consolidated Edison Inc. | 52,403 | 4,069 | ||||
WEC Energy Group Inc. | 46,750 | 4,064 | ||||
Edison International | 56,163 | 3,666 | ||||
PPL Corp. | 113,905 | 3,170 | ||||
DTE Energy Co. | 28,674 | 3,107 | ||||
Ameren Corp. | 38,073 | 3,106 | ||||
FirstEnergy Corp. | 80,584 | 3,035 | ||||
Entergy Corp. | 29,760 | 2,986 | ||||
CMS Energy Corp. | 42,971 | 2,529 | ||||
CenterPoint Energy Inc. | 88,038 | 2,281 | ||||
American Water Works Co. Inc. | 13,472 | 2,271 |
Shares | Market Value ($000) | |||||
Evergy Inc. | 34,048 | 2,155 | ||||
Alliant Energy Corp. | 37,169 | 2,036 | ||||
Atmos Energy Corp. | 19,339 | 1,747 | ||||
AES Corp. | 61,310 | 1,433 | ||||
NiSource Inc. | 58,134 | 1,425 | ||||
Pinnacle West Capital Corp. | 16,760 | 1,090 | ||||
NRG Energy Inc. | 14,717 | 530 | ||||
121,504 | ||||||
Total Common Stocks (Cost $2,177,271) | 2,522,390 | |||||
Coupon | ||||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $1,783) | 0.077% | 17,830 | 1,783 | ||
Total Investments (99.8%) (Cost $2,179,054) | 2,524,173 | |||||
Other Assets and Liabilities—Net (0.2%) | 5,448 | |||||
Net Assets (100%) | 2,529,621 |
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. |
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 2021 | 15 | 3,425 | (66) |
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) |
International Business Machines Corp. | 8/31/22 | BOANA | 3,764 | (0.070) | — | (24) |
1 | Based on USD Overnight Bank Funding Rate 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.
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, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,522,390 | — | — | 2,522,390 |
Temporary Cash Investments | 1,783 | — | — | 1,783 |
Total | 2,524,173 | — | — | 2,524,173 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 66 | — | — | 66 |
Swap Contracts | — | 24 | — | 24 |
Total | 66 | 24 | — | 90 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |