Vanguard® S&P 500 Value Index Fund
Schedule of Investments (unaudited)
As of May 31, 2022
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 (6.5%) | ||||||
Verizon Communications Inc. | 738,819 | 37,894 | ||||
* | Walt Disney Co. | 320,389 | 35,384 | |||
Comcast Corp. Class A | 796,117 | 35,252 | ||||
AT&T Inc. | 1,256,880 | 26,759 | ||||
* | T-Mobile US Inc. | 103,364 | 13,777 | |||
Activision Blizzard Inc. | 137,194 | 10,685 | ||||
* | Charter Communications Inc. Class A | 20,966 | 10,628 | |||
* | Warner Bros Discovery Inc. | 389,248 | 7,182 | |||
Electronic Arts Inc. | 49,477 | 6,860 | ||||
* | Match Group Inc. | 49,867 | 3,928 | |||
Paramount Global Class B | 106,862 | 3,669 | ||||
* | Twitter Inc. | 73,153 | 2,897 | |||
Omnicom Group Inc. | 36,816 | 2,747 | ||||
Interpublic Group of Cos. Inc. | 69,332 | 2,234 | ||||
Fox Corp. Class A | 55,952 | 1,987 | ||||
Lumen Technologies Inc. | 161,860 | 1,981 | ||||
* | Take-Two Interactive Software Inc. | 10,562 | 1,315 | |||
* | Live Nation Entertainment Inc. | 13,539 | 1,287 | |||
News Corp. Class A | 72,182 | 1,256 | ||||
* | DISH Network Corp. Class A | 43,959 | 1,004 | |||
Fox Corp. Class B | 25,434 | 832 | ||||
News Corp. Class B | 18,094 | 318 | ||||
209,876 | ||||||
Consumer Discretionary (6.4%) | ||||||
McDonald's Corp. | 72,308 | 18,237 | ||||
* | Booking Holdings Inc. | 7,226 | 16,212 | |||
Home Depot Inc. | 44,117 | 13,356 | ||||
TJX Cos. Inc. | 210,041 | 13,352 | ||||
NIKE Inc. Class B | 103,339 | 12,282 | ||||
* | General Motors Co. | 255,533 | 9,884 | |||
Ford Motor Co. | 691,771 | 9,463 | ||||
Dollar General Corp. | 40,739 | 8,976 | ||||
Marriott International Inc. Class A | 48,114 | 8,255 | ||||
Starbucks Corp. | 99,212 | 7,788 | ||||
* | Dollar Tree Inc. | 39,590 | 6,347 | |||
Target Corp. | 37,924 | 6,139 | ||||
Ross Stores Inc. | 62,171 | 5,286 | ||||
Hilton Worldwide Holdings Inc. | 28,935 | 4,076 | ||||
Lennar Corp. Class A | 45,712 | 3,668 | ||||
Genuine Parts Co. | 25,060 | 3,426 | ||||
* | Expedia Group Inc. | 26,482 | 3,425 |
Shares | Market Value ($000) | |||||
Yum! Brands Inc. | 26,966 | 3,276 | ||||
Best Buy Co. Inc. | 38,129 | 3,129 | ||||
* | Aptiv plc | 28,132 | 2,989 | |||
VF Corp. | 56,867 | 2,870 | ||||
Darden Restaurants Inc. | 22,471 | 2,809 | ||||
MGM Resorts International | 66,340 | 2,320 | ||||
* | Royal Caribbean Cruises Ltd. | 39,582 | 2,299 | |||
* | Chipotle Mexican Grill Inc. | 1,632 | 2,289 | |||
* | Las Vegas Sands Corp. | 60,555 | 2,147 | |||
Hasbro Inc. | 22,810 | 2,047 | ||||
DR Horton Inc. | 26,679 | 2,005 | ||||
PulteGroup Inc. | 43,780 | 1,982 | ||||
* | Carnival Corp. | 142,417 | 1,977 | |||
Whirlpool Corp. | 10,398 | 1,916 | ||||
* | Ulta Beauty Inc. | 4,195 | 1,775 | |||
BorgWarner Inc. | 42,217 | 1,702 | ||||
Tapestry Inc. | 46,654 | 1,610 | ||||
LKQ Corp. | 26,958 | 1,385 | ||||
Garmin Ltd. | 13,115 | 1,385 | ||||
* | Mohawk Industries Inc. | 9,661 | 1,367 | |||
* | NVR Inc. | 303 | 1,349 | |||
* | CarMax Inc. | 13,381 | 1,328 | |||
eBay Inc. | 25,372 | 1,235 | ||||
* | Wynn Resorts Ltd. | 18,380 | 1,215 | |||
* | Norwegian Cruise Line Holdings Ltd. | 73,318 | 1,174 | |||
Advance Auto Parts Inc. | 5,693 | 1,081 | ||||
* | Penn National Gaming Inc. | 29,278 | 936 | |||
PVH Corp. | 12,319 | 873 | ||||
Ralph Lauren Corp. | 8,144 | 823 | ||||
Domino's Pizza Inc. | 2,104 | 764 | ||||
* | Caesars Entertainment Inc. | 13,552 | 680 | |||
Newell Brands Inc. | 31,153 | 668 | ||||
Bath & Body Works Inc. | 15,880 | 651 | ||||
* | Under Armour Inc. Class A | 20,615 | 218 | |||
* | Under Armour Inc. Class C | 19,589 | 190 | |||
Lennar Corp. Class B | 361 | 24 | ||||
206,660 | ||||||
Consumer Staples (11.0%) | ||||||
Procter & Gamble Co. | 421,904 | 62,391 | ||||
Coca-Cola Co. | 684,208 | 43,365 | ||||
Walmart Inc. | 249,001 | 32,029 | ||||
Philip Morris International Inc. | 272,786 | 28,984 | ||||
PepsiCo Inc. | 141,228 | 23,691 | ||||
Costco Wholesale Corp. | 38,252 | 17,834 | ||||
Altria Group Inc. | 320,705 | 17,347 | ||||
Mondelez International Inc. Class A | 244,455 | 15,538 | ||||
Colgate-Palmolive Co. | 148,394 | 11,695 | ||||
Archer-Daniels-Midland Co. | 98,433 | 8,940 | ||||
Kimberly-Clark Corp. | 59,244 | 7,881 | ||||
Sysco Corp. | 89,276 | 7,515 | ||||
General Mills Inc. | 106,086 | 7,410 | ||||
Constellation Brands Inc. Class A | 28,920 | 7,099 | ||||
Kroger Co. | 117,749 | 6,237 | ||||
Walgreens Boots Alliance Inc. | 126,083 | 5,526 | ||||
Kraft Heinz Co. | 124,910 | 4,725 | ||||
Tyson Foods Inc. Class A | 51,431 | 4,609 | ||||
Estee Lauder Cos. Inc. Class A | 16,783 | 4,274 | ||||
McCormick & Co. Inc. (Non-Voting) | 43,963 | 4,076 |
Shares | Market Value ($000) | |||||
Church & Dwight Co. Inc. | 42,563 | 3,833 | ||||
Clorox Co. | 21,643 | 3,146 | ||||
Kellogg Co. | 45,023 | 3,140 | ||||
Hershey Co. | 14,077 | 2,980 | ||||
* | Monster Beverage Corp. | 31,759 | 2,830 | |||
Conagra Brands Inc. | 84,397 | 2,776 | ||||
Hormel Foods Corp. | 49,670 | 2,417 | ||||
J M Smucker Co. | 19,075 | 2,391 | ||||
Brown-Forman Corp. Class B | 32,201 | 2,129 | ||||
Molson Coors Beverage Co. Class B | 33,170 | 1,852 | ||||
Lamb Weston Holdings Inc. | 25,565 | 1,728 | ||||
Campbell Soup Co. | 35,581 | 1,705 | ||||
352,093 | ||||||
Energy (8.0%) | ||||||
Exxon Mobil Corp. | 745,152 | 71,535 | ||||
Chevron Corp. | 339,293 | 59,261 | ||||
ConocoPhillips | 229,258 | 25,759 | ||||
Schlumberger NV | 247,124 | 11,358 | ||||
Marathon Petroleum Corp. | 101,840 | 10,366 | ||||
Valero Energy Corp. | 71,906 | 9,319 | ||||
Phillips 66 | 82,307 | 8,297 | ||||
Williams Cos. Inc. | 213,802 | 7,924 | ||||
EOG Resources Inc. | 55,605 | 7,616 | ||||
Kinder Morgan Inc. | 343,167 | 6,757 | ||||
Halliburton Co. | 158,178 | 6,406 | ||||
Occidental Petroleum Corp. | 92,085 | 6,382 | ||||
Baker Hughes Co. | 159,437 | 5,737 | ||||
Coterra Energy Inc. | 143,020 | 4,910 | ||||
Pioneer Natural Resources Co. | 17,589 | 4,889 | ||||
Marathon Oil Corp. | 136,996 | 4,306 | ||||
ONEOK Inc. | 44,772 | 2,948 | ||||
Hess Corp. | 14,073 | 1,732 | ||||
APA Corp. | 28,720 | 1,350 | ||||
256,852 | ||||||
Financials (15.1%) | ||||||
* | Berkshire Hathaway Inc. Class B | 322,326 | 101,849 | |||
JPMorgan Chase & Co. | 280,881 | 37,141 | ||||
�� | Wells Fargo & Co. | 683,946 | 31,304 | |||
Bank of America Corp. | 700,731 | 26,067 | ||||
Citigroup Inc. | 349,121 | 18,647 | ||||
Chubb Ltd. | 75,835 | 16,023 | ||||
PNC Financial Services Group Inc. | 73,882 | 12,960 | ||||
US Bancorp | 237,530 | 12,606 | ||||
CME Group Inc. | 63,258 | 12,578 | ||||
Progressive Corp. | 102,903 | 12,285 | ||||
Truist Financial Corp. | 234,830 | 11,680 | ||||
Morgan Stanley | 127,139 | 10,952 | ||||
American Express Co. | 60,570 | 10,225 | ||||
American International Group Inc. | 146,051 | 8,570 | ||||
S&P Global Inc. | 24,306 | 8,495 | ||||
MetLife Inc. | 123,368 | 8,314 | ||||
BlackRock Inc. | 12,040 | 8,056 | ||||
Travelers Cos. Inc. | 42,464 | 7,603 | ||||
Prudential Financial Inc. | 66,577 | 7,074 | ||||
Allstate Corp. | 49,389 | 6,751 | ||||
Aflac Inc. | 105,642 | 6,399 | ||||
Bank of New York Mellon Corp. | 130,302 | 6,073 |
Shares | Market Value ($000) | |||||
Charles Schwab Corp. | 84,733 | 5,940 | ||||
M&T Bank Corp. | 31,514 | 5,672 | ||||
Marsh & McLennan Cos. Inc. | 34,667 | 5,545 | ||||
Capital One Financial Corp. | 37,900 | 4,846 | ||||
Fifth Third Bancorp | 120,457 | 4,750 | ||||
State Street Corp. | 64,285 | 4,660 | ||||
Willis Towers Watson plc | 21,483 | 4,534 | ||||
Intercontinental Exchange Inc. | 42,576 | 4,359 | ||||
Hartford Financial Services Group Inc. | 58,966 | 4,276 | ||||
Aon plc Class A | 15,119 | 4,168 | ||||
Northern Trust Corp. | 36,566 | 4,086 | ||||
Citizens Financial Group Inc. | 87,194 | 3,608 | ||||
Huntington Bancshares Inc. | 252,951 | 3,511 | ||||
Arthur J Gallagher & Co. | 20,541 | 3,326 | ||||
KeyCorp | 163,796 | 3,269 | ||||
Principal Financial Group Inc. | 42,756 | 3,118 | ||||
Moody's Corp. | 9,687 | 2,921 | ||||
W R Berkley Corp. | 36,840 | 2,620 | ||||
Loews Corp. | 34,550 | 2,263 | ||||
Ameriprise Financial Inc. | 7,634 | 2,109 | ||||
Regions Financial Corp. | 91,215 | 2,015 | ||||
Everest Re Group Ltd. | 6,949 | 1,963 | ||||
Cincinnati Financial Corp. | 13,964 | 1,785 | ||||
Assurant Inc. | 9,995 | 1,766 | ||||
Lincoln National Corp. | 29,351 | 1,700 | ||||
Globe Life Inc. | 16,344 | 1,595 | ||||
T. Rowe Price Group Inc. | 12,128 | 1,541 | ||||
Synchrony Financial | 39,445 | 1,461 | ||||
Raymond James Financial Inc. | 13,474 | 1,327 | ||||
Invesco Ltd. | 60,076 | 1,162 | ||||
FactSet Research Systems Inc. | 2,788 | 1,064 | ||||
Comerica Inc. | 12,641 | 1,052 | ||||
MarketAxess Holdings Inc. | 3,483 | 981 | ||||
Cboe Global Markets Inc. | 7,890 | 886 | ||||
Zions Bancorp NA | 13,890 | 792 | ||||
Brown & Brown Inc. | 12,794 | 760 | ||||
Franklin Resources Inc. | 27,148 | 735 | ||||
Nasdaq Inc. | 4,541 | 705 | ||||
484,523 | ||||||
Health Care (16.7%) | ||||||
Johnson & Johnson | 463,312 | 83,178 | ||||
UnitedHealth Group Inc. | 96,145 | 47,763 | ||||
Merck & Co. Inc. | 444,545 | 40,911 | ||||
Bristol-Myers Squibb Co. | 383,586 | 28,942 | ||||
Pfizer Inc. | 454,483 | 24,106 | ||||
Medtronic plc | 236,675 | 23,703 | ||||
CVS Health Corp. | 231,020 | 22,351 | ||||
Anthem Inc. | 42,717 | 21,769 | ||||
AbbVie Inc. | 143,138 | 21,094 | ||||
Abbott Laboratories | 146,290 | 17,183 | ||||
Cigna Corp. | 56,811 | 15,242 | ||||
Amgen Inc. | 58,501 | 15,020 | ||||
Gilead Sciences Inc. | 220,821 | 14,320 | ||||
Becton Dickinson & Co. | 50,113 | 12,819 | ||||
* | Boston Scientific Corp. | 250,570 | 10,276 | |||
Humana Inc. | 22,608 | 10,269 | ||||
Danaher Corp. | 35,821 | 9,450 | ||||
McKesson Corp. | 26,355 | 8,663 |
Shares | Market Value ($000) | |||||
* | Centene Corp. | 102,648 | 8,360 | |||
Stryker Corp. | 34,859 | 8,174 | ||||
Baxter International Inc. | 88,144 | 6,703 | ||||
* | Biogen Inc. | 25,850 | 5,170 | |||
Cerner Corp. | 51,964 | 4,929 | ||||
Zoetis Inc. | 28,326 | 4,842 | ||||
* | Vertex Pharmaceuticals Inc. | 17,909 | 4,811 | |||
* | Intuitive Surgical Inc. | 19,530 | 4,446 | |||
Zimmer Biomet Holdings Inc. | 36,779 | 4,421 | ||||
* | Edwards Lifesciences Corp. | 40,689 | 4,103 | |||
AmerisourceBergen Corp. | 26,502 | 4,102 | ||||
HCA Healthcare Inc. | 17,713 | 3,727 | ||||
* | Illumina Inc. | 14,005 | 3,354 | |||
Cooper Cos. Inc. | 8,652 | 3,035 | ||||
Cardinal Health Inc. | 48,752 | 2,746 | ||||
Agilent Technologies Inc. | 21,175 | 2,701 | ||||
Viatris Inc. | 212,911 | 2,612 | ||||
Teleflex Inc. | 8,249 | 2,374 | ||||
STERIS plc | 10,186 | 2,324 | ||||
ResMed Inc. | 10,802 | 2,198 | ||||
* | Henry Schein Inc. | 24,405 | 2,090 | |||
* | IQVIA Holdings Inc. | 9,063 | 1,951 | |||
* | Mettler-Toledo International Inc. | 1,499 | 1,928 | |||
Laboratory Corp. of America Holdings | 7,716 | 1,904 | ||||
* | IDEXX Laboratories Inc. | 4,616 | 1,808 | |||
Organon & Co. | 44,628 | 1,694 | ||||
Universal Health Services Inc. Class B | 12,910 | 1,609 | ||||
Quest Diagnostics Inc. | 11,318 | 1,596 | ||||
DENTSPLY SIRONA Inc. | 38,623 | 1,528 | ||||
* | Molina Healthcare Inc. | 5,256 | 1,525 | |||
* | Incyte Corp. | 18,863 | 1,431 | |||
* | Catalent Inc. | 12,597 | 1,298 | |||
* | DaVita Inc. | 10,835 | 1,056 | |||
* | ABIOMED Inc. | 3,609 | 952 | |||
* | Bio-Rad Laboratories Inc. Class A | 1,722 | 926 | |||
* | Waters Corp. | 2,780 | 912 | |||
* | Hologic Inc. | 11,434 | 861 | |||
537,260 | ||||||
Industrials (11.8%) | ||||||
Raytheon Technologies Corp. | 262,635 | 24,982 | ||||
Honeywell International Inc. | 120,715 | 23,373 | ||||
Caterpillar Inc. | 95,240 | 20,558 | ||||
Lockheed Martin Corp. | 42,657 | 18,774 | ||||
General Electric Co. | 193,471 | 15,147 | ||||
3M Co. | 100,465 | 14,998 | ||||
Union Pacific Corp. | 66,161 | 14,541 | ||||
United Parcel Service Inc. Class B | 73,112 | 13,325 | ||||
* | Boeing Co. | 96,479 | 12,677 | |||
CSX Corp. | 390,565 | 12,416 | ||||
Northrop Grumman Corp. | 25,826 | 12,086 | ||||
Norfolk Southern Corp. | 42,194 | 10,112 | ||||
Eaton Corp. plc | 70,109 | 9,717 | ||||
FedEx Corp. | 42,880 | 9,630 | ||||
Deere & Co. | 26,628 | 9,527 | ||||
Emerson Electric Co. | 104,486 | 9,264 | ||||
General Dynamics Corp. | 40,553 | 9,121 | ||||
Illinois Tool Works Inc. | 29,676 | 6,175 | ||||
Parker-Hannifin Corp. | 22,581 | 6,146 |
Shares | Market Value ($000) | |||||
Carrier Global Corp. | 150,642 | 5,922 | ||||
Trane Technologies plc | 41,102 | 5,675 | ||||
PACCAR Inc. | 61,132 | 5,309 | ||||
Waste Management Inc. | 33,209 | 5,264 | ||||
Cummins Inc. | 25,043 | 5,237 | ||||
AMETEK Inc. | 40,723 | 4,947 | ||||
L3Harris Technologies Inc. | 20,058 | 4,832 | ||||
* | Southwest Airlines Co. | 104,275 | 4,782 | |||
* | Delta Air Lines Inc. | 112,593 | 4,694 | |||
Fortive Corp. | 63,186 | 3,903 | ||||
WW Grainger Inc. | 7,608 | 3,706 | ||||
Stanley Black & Decker Inc. | 28,717 | 3,408 | ||||
Ingersoll Rand Inc. | 71,808 | 3,386 | ||||
Cintas Corp. | 8,377 | 3,337 | ||||
Otis Worldwide Corp. | 44,843 | 3,336 | ||||
* | TransDigm Group Inc. | 5,200 | 3,148 | |||
Westinghouse Air Brake Technologies Corp. | 32,888 | 3,107 | ||||
Fastenal Co. | 52,706 | 2,823 | ||||
Republic Services Inc. | 20,585 | 2,755 | ||||
* | United Airlines Holdings Inc. | 57,129 | 2,721 | |||
Johnson Controls International plc | 48,310 | 2,633 | ||||
Leidos Holdings Inc. | 24,675 | 2,578 | ||||
Textron Inc. | 38,819 | 2,534 | ||||
CH Robinson Worldwide Inc. | 22,869 | 2,481 | ||||
Verisk Analytics Inc. | 13,851 | 2,423 | ||||
Howmet Aerospace Inc. | 66,899 | 2,393 | ||||
Rockwell Automation Inc. | 9,827 | 2,095 | ||||
Snap-on Inc. | 9,427 | 2,092 | ||||
* | American Airlines Group Inc. | 113,898 | 2,035 | |||
Dover Corp. | 13,693 | 1,834 | ||||
Jacobs Engineering Group Inc. | 12,722 | 1,782 | ||||
Allegion plc | 15,787 | 1,763 | ||||
Nielsen Holdings plc | 63,155 | 1,614 | ||||
Xylem Inc. | 18,722 | 1,577 | ||||
* | United Rentals Inc. | 5,101 | 1,521 | |||
IDEX Corp. | 7,898 | 1,513 | ||||
Huntington Ingalls Industries Inc. | 7,050 | 1,484 | ||||
* | Copart Inc. | 12,051 | 1,380 | |||
Quanta Services Inc. | 11,535 | 1,373 | ||||
Masco Corp. | 21,967 | 1,245 | ||||
* | Alaska Air Group Inc. | 22,095 | 1,066 | |||
JB Hunt Transport Services Inc. | 6,055 | 1,045 | ||||
Fortune Brands Home & Security Inc. | 13,155 | 912 | ||||
Nordson Corp. | 3,797 | 827 | ||||
Rollins Inc. | 22,217 | 788 | ||||
A O Smith Corp. | 11,563 | 695 | ||||
Pentair plc | 12,282 | 616 | ||||
Robert Half International Inc. | 6,149 | 554 | ||||
379,714 | ||||||
Information Technology (11.3%) | ||||||
Visa Inc. Class A | 166,362 | 35,297 | ||||
Intel Corp. | 716,599 | 31,831 | ||||
Mastercard Inc. Class A | 80,507 | 28,811 | ||||
Cisco Systems Inc. | 408,179 | 18,388 | ||||
Broadcom Inc. | 31,237 | 18,121 | ||||
International Business Machines Corp. | 126,359 | 17,544 | ||||
Analog Devices Inc. | 92,478 | 15,573 | ||||
Texas Instruments Inc. | 82,898 | 14,653 |
Shares | Market Value ($000) | |||||
Micron Technology Inc. | 197,112 | 14,555 | ||||
Accenture plc Class A | 46,725 | 13,946 | ||||
Fidelity National Information Services Inc. | 107,227 | 11,205 | ||||
* | Salesforce Inc. | 67,637 | 10,838 | |||
* | Fiserv Inc. | 104,502 | 10,469 | |||
Roper Technologies Inc. | 18,557 | 8,210 | ||||
* | PayPal Holdings Inc. | 94,305 | 8,036 | |||
Automatic Data Processing Inc. | 34,726 | 7,742 | ||||
TE Connectivity Ltd. | 57,317 | 7,416 | ||||
Cognizant Technology Solutions Corp. Class A | 92,453 | 6,906 | ||||
Global Payments Inc. | 50,129 | 6,569 | ||||
Corning Inc. | 131,524 | 4,711 | ||||
HP Inc. | 95,310 | 3,702 | ||||
Microchip Technology Inc. | 50,923 | 3,700 | ||||
* | FleetCor Technologies Inc. | 14,299 | 3,558 | |||
Hewlett Packard Enterprise Co. | 226,960 | 3,541 | ||||
Amphenol Corp. Class A | 49,500 | 3,508 | ||||
* | Western Digital Corp. | 55,005 | 3,338 | |||
* | Teledyne Technologies Inc. | 8,197 | 3,321 | |||
Paychex Inc. | 26,562 | 3,289 | ||||
NXP Semiconductors NV | 17,327 | 3,288 | ||||
* | Autodesk Inc. | 13,959 | 2,900 | |||
* | Synopsys Inc. | 8,919 | 2,847 | |||
Motorola Solutions Inc. | 12,216 | 2,684 | ||||
NortonLifeLock Inc. | 102,455 | 2,494 | ||||
Jack Henry & Associates Inc. | 12,830 | 2,414 | ||||
Citrix Systems Inc. | 21,968 | 2,212 | ||||
Juniper Networks Inc. | 57,423 | 1,762 | ||||
* | Akamai Technologies Inc. | 16,630 | 1,680 | |||
Broadridge Financial Solutions Inc. | 11,490 | 1,680 | ||||
Skyworks Solutions Inc. | 15,351 | 1,671 | ||||
CDW Corp. | 9,796 | 1,664 | ||||
* | VeriSign Inc. | 9,007 | 1,572 | |||
* | DXC Technology Co. | 43,047 | 1,516 | |||
* | ANSYS Inc. | 5,813 | 1,513 | |||
* | Trimble Inc. | 19,498 | 1,327 | |||
* | Keysight Technologies Inc. | 8,052 | 1,172 | |||
* | Qorvo Inc. | 9,729 | 1,087 | |||
* | PTC Inc. | 9,232 | 1,076 | |||
* | Tyler Technologies Inc. | 2,745 | 977 | |||
* | Zebra Technologies Corp. Class A | 2,521 | 853 | |||
NetApp Inc. | 11,405 | 821 | ||||
* | F5 Inc. | 5,031 | 820 | |||
Seagate Technology Holdings plc | 9,574 | 811 | ||||
* | Ceridian HCM Holding Inc. | 14,199 | 799 | |||
* | IPG Photonics Corp. | 6,307 | 665 | |||
* | SolarEdge Technologies Inc. | 2,327 | 635 | |||
* | Paycom Software Inc. | 2,092 | 595 | |||
362,313 | ||||||
Materials (4.0%) | ||||||
Linde plc | 44,197 | 14,350 | ||||
Air Products and Chemicals Inc. | 39,033 | 9,608 | ||||
Newmont Corp. | 140,230 | 9,515 | ||||
Dow Inc. | 129,432 | 8,799 | ||||
Corteva Inc. | 127,906 | 8,009 | ||||
Ecolab Inc. | 43,909 | 7,197 | ||||
DuPont de Nemours Inc. | 90,146 | 6,116 | ||||
International Flavors & Fragrances Inc. | 44,820 | 5,924 |
Shares | Market Value ($000) | |||||
Freeport-McMoRan Inc. | 144,801 | 5,659 | ||||
Sherwin-Williams Co. | 19,969 | 5,353 | ||||
PPG Industries Inc. | 41,778 | 5,285 | ||||
LyondellBasell Industries NV Class A | 46,254 | 5,285 | ||||
Mosaic Co. | 65,225 | 4,086 | ||||
Ball Corp. | 57,066 | 4,045 | ||||
Amcor plc | 266,336 | 3,489 | ||||
International Paper Co. | 68,141 | 3,301 | ||||
Nucor Corp. | 22,064 | 2,923 | ||||
FMC Corp. | 22,311 | 2,735 | ||||
Packaging Corp. of America | 16,708 | 2,628 | ||||
Eastman Chemical Co. | 22,732 | 2,504 | ||||
Westrock Co. | 46,339 | 2,247 | ||||
Vulcan Materials Co. | 12,159 | 2,005 | ||||
Albemarle Corp. | 6,571 | 1,711 | ||||
Celanese Corp. | 10,837 | 1,696 | ||||
Martin Marietta Materials Inc. | 4,603 | 1,562 | ||||
CF Industries Holdings Inc. | 15,069 | 1,488 | ||||
Avery Dennison Corp. | 7,141 | 1,232 | ||||
Sealed Air Corp. | 11,704 | 728 | ||||
129,480 | ||||||
Real Estate (3.2%) | ||||||
American Tower Corp. | 39,252 | 10,054 | ||||
Crown Castle International Corp. | 41,810 | 7,929 | ||||
Digital Realty Trust Inc. | 49,934 | 6,970 | ||||
Welltower Inc. | 76,609 | 6,825 | ||||
Realty Income Corp. | 99,793 | 6,808 | ||||
Prologis Inc. | 50,802 | 6,476 | ||||
Equinix Inc. | 8,550 | 5,875 | ||||
Equity Residential | 60,171 | 4,623 | ||||
Alexandria Real Estate Equities Inc. | 25,625 | 4,252 | ||||
Ventas Inc. | 70,275 | 3,987 | ||||
Public Storage | 10,994 | 3,635 | ||||
Weyerhaeuser Co. | 76,228 | 3,013 | ||||
AvalonBay Communities Inc. | 14,270 | 2,968 | ||||
SBA Communications Corp. | 8,400 | 2,828 | ||||
Healthpeak Properties Inc. | 94,949 | 2,819 | ||||
Boston Properties Inc. | 25,018 | 2,781 | ||||
Simon Property Group Inc. | 23,126 | 2,651 | ||||
Kimco Realty Corp. | 108,567 | 2,568 | ||||
Host Hotels & Resorts Inc. | 125,519 | 2,509 | ||||
* | CBRE Group Inc. Class A | 29,452 | 2,440 | |||
Regency Centers Corp. | 27,145 | 1,852 | ||||
Essex Property Trust Inc. | 6,420 | 1,822 | ||||
Mid-America Apartment Communities Inc. | 7,726 | 1,398 | ||||
Duke Realty Corp. | 23,508 | 1,242 | ||||
UDR Inc. | 23,685 | 1,132 | ||||
Iron Mountain Inc. | 19,939 | 1,075 | ||||
Vornado Realty Trust | 27,715 | 969 | ||||
Federal Realty Investment Trust | 7,224 | 831 | ||||
102,332 | ||||||
Utilities (5.7%) | ||||||
NextEra Energy Inc. | 345,342 | 26,139 | ||||
Duke Energy Corp. | 135,448 | 15,241 | ||||
Southern Co. | 186,628 | 14,120 | ||||
Dominion Energy Inc. | 142,667 | 12,015 | ||||
Sempra Energy | 56,190 | 9,207 |
Shares | Market Value ($000) | |||||
American Electric Power Co. Inc. | 88,583 | 9,038 | ||||
Exelon Corp. | 172,282 | 8,468 | ||||
Xcel Energy Inc. | 94,767 | 7,140 | ||||
Consolidated Edison Inc. | 62,266 | 6,181 | ||||
Public Service Enterprise Group Inc. | 88,959 | 6,097 | ||||
WEC Energy Group Inc. | 55,520 | 5,834 | ||||
Eversource Energy | 60,495 | 5,585 | ||||
American Water Works Co. Inc. | 31,888 | 4,823 | ||||
Edison International | 66,871 | 4,675 | ||||
DTE Energy Co. | 34,082 | 4,523 | ||||
Ameren Corp. | 45,346 | 4,316 | ||||
FirstEnergy Corp. | 100,346 | 4,311 | ||||
Entergy Corp. | 35,382 | 4,257 | ||||
PPL Corp. | 132,098 | 3,987 | ||||
CMS Energy Corp. | 51,001 | 3,623 | ||||
Constellation Energy Corp. | 57,439 | 3,566 | ||||
CenterPoint Energy Inc. | 110,669 | 3,547 | ||||
Evergy Inc. | 40,355 | 2,822 | ||||
Alliant Energy Corp. | 44,131 | 2,816 | ||||
Atmos Energy Corp. | 23,831 | 2,772 | ||||
AES Corp. | 117,443 | 2,588 | ||||
NiSource Inc. | 68,994 | 2,170 | ||||
Pinnacle West Capital Corp. | 19,898 | 1,545 | ||||
181,406 | ||||||
Total Common Stocks (Cost $2,949,594) | 3,202,509 | |||||
Coupon | ||||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $2,643) | 0.854% | 26,436 | 2,643 | ||
Total Investments (99.8%) (Cost $2,952,237) | 3,205,152 | |||||
Other Assets and Liabilities—Net (0.2%) | 7,273 | |||||
Net Assets (100%) | 3,212,425 |
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 | June 2022 | 26 | 5,371 | 119 |
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 | BANA | 4,165 | (0.787) | 258 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—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 May 31, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,202,509 | — | — | 3,202,509 |
Temporary Cash Investments | 2,643 | — | — | 2,643 |
Total | 3,205,152 | — | — | 3,205,152 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 119 | — | — | 119 |
Swap Contracts | — | 258 | — | 258 |
Total | 119 | 258 | — | 377 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |