Vanguard® S&P Small-Cap 600 Growth Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (99.8%) | ||||||
Communication Services (1.9%) | ||||||
Cogent Communications Holdings Inc. | 34,596 | 2,008 | ||||
Shutterstock Inc. | 29,195 | 1,571 | ||||
* | TechTarget Inc. | 32,858 | 1,500 | |||
* | Yelp Inc. Class A | 41,734 | 1,292 | |||
* | Cinemark Holdings Inc. | 67,455 | 918 | |||
* | Thryv Holdings Inc. | 37,045 | 711 | |||
* | Gogo Inc. | 38,770 | 608 | |||
* | Cars.com Inc. | 37,571 | 555 | |||
* | EW Scripps Co. Class A | 32,333 | 485 | |||
* | Gannett Co. Inc. | 66,055 | 165 | |||
9,813 | ||||||
Consumer Discretionary (13.0%) | ||||||
Signet Jewelers Ltd. | 56,280 | 3,658 | ||||
Academy Sports & Outdoors Inc. | 60,750 | 3,067 | ||||
* | Gentherm Inc. | 40,128 | 2,873 | |||
* | LGI Homes Inc. | 24,777 | 2,461 | |||
* | Boot Barn Holdings Inc. | 36,068 | 2,429 | |||
Installed Building Products Inc. | 28,518 | 2,422 | ||||
* | Cavco Industries Inc. | 10,007 | 2,298 | |||
* | Asbury Automotive Group Inc. | 12,051 | 2,261 | |||
Steven Madden Ltd. | 60,225 | 2,080 | ||||
* | Dorman Products Inc. | 22,933 | 2,056 | |||
LCI Industries | 20,616 | 2,038 | ||||
* | Vista Outdoor Inc. | 68,408 | 1,913 | |||
* | Meritage Homes Corp. | 20,817 | 1,799 | |||
* | National Vision Holdings Inc. | 42,988 | 1,739 | |||
Century Communities Inc. | 34,802 | 1,676 | ||||
* | XPEL Inc. | 23,740 | 1,627 | |||
Buckle Inc. | 35,769 | 1,572 | ||||
*,1 | Leslie's Inc. | 98,511 | 1,438 | |||
* | Monarch Casino & Resort Inc. | 16,016 | 1,359 | |||
Kontoor Brands Inc. | 30,433 | 1,322 | ||||
* | Sonos Inc. | 75,331 | 1,321 | |||
Oxford Industries Inc. | 11,576 | 1,307 | ||||
* | Shake Shack Inc. Class A | 24,834 | 1,306 | |||
Jack in the Box Inc. | 17,583 | 1,271 | ||||
American Eagle Outfitters Inc. | 79,956 | 1,265 | ||||
Sturm Ruger & Co. Inc. | 21,348 | 1,173 | ||||
Winnebago Industries Inc. | 19,600 | 1,148 | ||||
* | Six Flags Entertainment Corp. | 43,764 | 1,054 | |||
Hibbett Inc. | 15,621 | 1,041 |
Shares | Market Value ($000) | |||||
* | Frontdoor Inc. | 40,374 | 944 | |||
* | iRobot Corp. | 18,102 | 943 | |||
* | Dave & Buster's Entertainment Inc. | 23,132 | 917 | |||
* | MarineMax Inc. | 26,016 | 859 | |||
* | Stride Inc. | 23,604 | 836 | |||
* | Golden Entertainment Inc. | 17,758 | 787 | |||
* | Sleep Number Corp. | 26,603 | 778 | |||
Dine Brands Global Inc. | 10,232 | 763 | ||||
Monro Inc. | 16,739 | 761 | ||||
Rent-A-Center Inc. | 30,901 | 744 | ||||
* | Abercrombie & Fitch Co. Class A | 28,761 | 690 | |||
Patrick Industries Inc. | 12,331 | 690 | ||||
* | Sally Beauty Holdings Inc. | 56,925 | 670 | |||
Movado Group Inc. | 19,371 | 624 | ||||
* | Children's Place Inc. | 15,906 | 565 | |||
Shoe Carnival Inc. | 20,778 | 549 | ||||
* | Liquidity Services Inc. | 32,653 | 545 | |||
Wolverine World Wide Inc. | 43,746 | 490 | ||||
*,1 | Mister Car Wash Inc. | 44,183 | 452 | |||
* | Genesco Inc. | 7,581 | 396 | |||
* | Green Brick Partners Inc. | 15,546 | 376 | |||
67,353 | ||||||
Consumer Staples (4.5%) | ||||||
* | Simply Good Foods Co. | 103,219 | 4,118 | |||
* | United Natural Foods Inc. | 70,530 | 3,363 | |||
* | elf Beauty Inc. | 60,253 | 3,311 | |||
MGP Ingredients Inc. | 18,629 | 2,330 | ||||
Inter Parfums Inc. | 21,585 | 2,057 | ||||
Vector Group Ltd. | 159,339 | 1,769 | ||||
Medifast Inc. | 13,340 | 1,682 | ||||
WD-40 Co. | 9,571 | 1,603 | ||||
J & J Snack Foods Corp. | 7,956 | 1,305 | ||||
National Beverage Corp. | 16,058 | 827 | ||||
* | USANA Health Sciences Inc. | 9,008 | 496 | |||
Tootsie Roll Industries Inc. | 10,766 | 484 | ||||
23,345 | ||||||
Energy (3.2%) | ||||||
SM Energy Co. | 148,319 | 6,394 | ||||
Civitas Resources Inc. | 62,755 | 4,227 | ||||
* | Callon Petroleum Co. | 61,970 | 2,598 | |||
Ranger Oil Corp. | 23,915 | 1,042 | ||||
* | Laredo Petroleum Inc. | 13,861 | 885 | |||
Dorian LPG Ltd. | 38,494 | 750 | ||||
1 | Core Laboratories NV | 23,537 | 510 | |||
16,406 | ||||||
Financials (15.1%) | ||||||
ServisFirst Bancshares Inc. | 59,130 | 4,483 | ||||
First Bancorp | 227,429 | 3,498 | ||||
Walker & Dunlop Inc. | 37,168 | 3,319 | ||||
United Community Banks Inc. | 82,107 | 3,200 | ||||
* | Axos Financial Inc. | 64,374 | 2,582 | |||
Lakeland Financial Corp. | 30,670 | 2,422 | ||||
Piper Sandler Cos. | 16,587 | 2,383 | ||||
Ameris Bancorp | 44,947 | 2,377 | ||||
* | Trupanion Inc. | 42,398 | 2,216 | |||
Veritex Holdings Inc. | 65,306 | 2,133 | ||||
Independent Bank Corp. | 23,328 | 2,112 |
Shares | Market Value ($000) | |||||
Assured Guaranty Ltd. | 31,472 | 2,095 | ||||
* | Bancorp Inc. | 68,426 | 2,051 | |||
Community Bank System Inc. | 29,922 | 1,949 | ||||
* | Palomar Holdings Inc. | 30,544 | 1,916 | |||
Pacific Premier Bancorp Inc. | 50,569 | 1,868 | ||||
Park National Corp. | 11,040 | 1,671 | ||||
* | Triumph Bancorp Inc. | 27,855 | 1,665 | |||
WSFS Financial Corp. | 33,844 | 1,642 | ||||
Virtus Investment Partners Inc. | 8,287 | 1,607 | ||||
* | Enova International Inc. | 38,792 | 1,565 | |||
Pathward Financial Inc. | 35,202 | 1,532 | ||||
Seacoast Banking Corp. of Florida | 38,631 | 1,328 | ||||
Banner Corp. | 17,761 | 1,254 | ||||
Preferred Bank | 16,463 | 1,244 | ||||
* | Customers Bancorp Inc. | 36,907 | 1,191 | |||
* | Donnelley Financial Solutions Inc. | 30,874 | 1,179 | |||
BancFirst Corp. | 11,130 | 1,135 | ||||
Redwood Trust Inc. | 141,023 | 1,114 | ||||
Eagle Bancorp Inc. | 22,903 | 1,080 | ||||
First Bancorp (XNGS) | 21,556 | 1,048 | ||||
National Bank Holdings Corp. Class A | 21,167 | 984 | ||||
Provident Financial Services Inc. | 41,691 | 939 | ||||
First Commonwealth Financial Corp. | 62,052 | 913 | ||||
City Holding Co. | 8,616 | 878 | ||||
FB Financial Corp. | 20,399 | 873 | ||||
Southside Bancshares Inc. | 23,246 | 845 | ||||
Hilltop Holdings Inc. | 28,253 | 842 | ||||
B. Riley Financial Inc. | 19,156 | 841 | ||||
OFG Bancorp | 28,740 | 833 | ||||
Brightsphere Investment Group Inc. | 39,045 | 795 | ||||
Stewart Information Services Corp. | 16,067 | 711 | ||||
* | Encore Capital Group Inc. | 13,851 | 698 | |||
Dime Community Bancshares Inc. | 18,805 | 671 | ||||
* | Blucora Inc. | 25,346 | 635 | |||
HomeStreet Inc. | 21,525 | 588 | ||||
Brookline Bancorp Inc. | 40,725 | 579 | ||||
Tompkins Financial Corp. | 6,691 | 559 | ||||
Hanmi Financial Corp. | 20,594 | 557 | ||||
Banc of California Inc. | 30,278 | 514 | ||||
Northfield Bancorp Inc. | 30,071 | 480 | ||||
WisdomTree Inc. | 83,882 | 467 | ||||
KKR Real Estate Finance Trust Inc. | 27,305 | 452 | ||||
Central Pacific Financial Corp. | 20,672 | 438 | ||||
Ellington Financial Inc. | 30,401 | 415 | ||||
Stellar Bancorp Inc. | 11,475 | 388 | ||||
1 | HCI Group Inc. | 8,694 | 325 | |||
* | World Acceptance Corp. | 4,380 | 311 | |||
78,390 | ||||||
Health Care (14.7%) | ||||||
* | AMN Healthcare Services Inc. | 52,356 | 6,476 | |||
* | Cytokinetics Inc. | 113,916 | 4,841 | |||
Ensign Group Inc. | 36,130 | 3,432 | ||||
* | Merit Medical Systems Inc. | 39,154 | 2,819 | |||
* | Vir Biotechnology Inc. | 91,479 | 2,582 | |||
* | Supernus Pharmaceuticals Inc. | 64,743 | 2,377 | |||
* | Arcus Biosciences Inc. | 62,882 | 2,212 | |||
* | Xencor Inc. | 72,261 | 2,148 | |||
* | Prestige Consumer Healthcare Inc. | 31,928 | 1,962 |
Shares | Market Value ($000) | |||||
CONMED Corp. | 23,603 | 1,956 | ||||
* | Catalyst Pharmaceuticals Inc. | 114,517 | 1,920 | |||
* | Corcept Therapeutics Inc. | 70,363 | 1,779 | |||
* | Dynavax Technologies Corp. | 142,387 | 1,767 | |||
* | CorVel Corp. | 11,168 | 1,708 | |||
* | Pacira BioSciences Inc. | 33,845 | 1,633 | |||
* | Cross Country Healthcare Inc. | 43,983 | 1,574 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 120,828 | 1,463 | |||
* | Ligand Pharmaceuticals Inc. | 19,430 | 1,416 | |||
* | Glaukos Corp. | 29,988 | 1,397 | |||
* | Apollo Medical Holdings Inc. | 47,532 | 1,353 | |||
* | uniQure NV | 49,714 | 1,315 | |||
* | Vericel Corp. | 57,188 | 1,306 | |||
* | Harmony Biosciences Holdings Inc. | 20,003 | 1,196 | |||
* | Avid Bioservices Inc. | 74,726 | 1,170 | |||
* | RadNet Inc. | 58,866 | 1,164 | |||
LeMaitre Vascular Inc. | 23,402 | 1,096 | ||||
* | Meridian Bioscience Inc. | 33,838 | 1,083 | |||
* | Myriad Genetics Inc. | 50,715 | 1,028 | |||
* | Innoviva Inc. | 75,805 | 995 | |||
* | Allscripts Healthcare Solutions Inc. | 52,219 | 989 | |||
* | NeoGenomics Inc. | 83,500 | 936 | |||
* | Amphastar Pharmaceuticals Inc. | 31,411 | 926 | |||
* | Addus HomeCare Corp. | 8,353 | 921 | |||
* | Collegium Pharmaceutical Inc. | 41,228 | 902 | |||
* | Fulgent Genetics Inc. | 24,500 | 889 | |||
* | BioLife Solutions Inc. | 41,170 | 872 | |||
* | Heska Corp. | 12,292 | 791 | |||
* | ModivCare Inc. | 8,716 | 671 | |||
* | Varex Imaging Corp. | 30,856 | 655 | |||
* | Cutera Inc. | 13,570 | 646 | |||
* | Cara Therapeutics Inc. | 54,392 | 642 | |||
* | Enanta Pharmaceuticals Inc. | 14,142 | 619 | |||
US Physical Therapy Inc. | 7,069 | 611 | ||||
* | AngioDynamics Inc. | 47,114 | 610 | |||
Mesa Laboratories Inc. | 3,561 | 602 | ||||
* | iTeos Therapeutics Inc. | 29,629 | 597 | |||
* | Coherus Biosciences Inc. | 78,002 | 535 | |||
* | Community Health Systems Inc. | 151,316 | 519 | |||
* | REGENXBIO Inc. | 20,416 | 488 | |||
* | Vanda Pharmaceuticals Inc. | 44,019 | 480 | |||
Simulations Plus Inc. | 11,589 | 470 | ||||
* | OptimizeRx Corp. | 21,838 | 461 | |||
* | HealthStream Inc. | 15,796 | 401 | |||
* | Surmodics Inc. | 11,029 | 399 | |||
1 | Zynex Inc. | 26,886 | 369 | |||
* | ANI Pharmaceuticals Inc. | 8,610 | 361 | |||
* | Anika Therapeutics Inc. | 9,312 | 294 | |||
* | Cardiovascular Systems Inc. | 20,706 | 290 | |||
* | Nektar Therapeutics Class A | 102,254 | 286 | |||
* | Joint Corp. | 17,527 | 261 | |||
* | Organogenesis Holdings Inc. Class A | 85,363 | 234 | |||
* | Eagle Pharmaceuticals Inc. | 6,243 | 227 | |||
* | Pennant Group Inc. | 17,165 | 178 | |||
*,2 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
*,2 | OmniAb Inc. (Earnout Shares) | 14,780 | — | |||
* | OmniAb Inc. | 1 | — | |||
76,300 |
Shares | Market Value ($000) | |||||
Industrials (16.0%) | ||||||
Exponent Inc. | 61,842 | 6,395 | ||||
UFP Industries Inc. | 74,551 | 6,103 | ||||
Comfort Systems USA Inc. | 43,286 | 5,487 | ||||
Mueller Industries Inc. | 68,578 | 4,716 | ||||
Korn Ferry | 66,068 | 3,768 | ||||
Forward Air Corp. | 32,486 | 3,650 | ||||
Encore Wire Corp. | 23,142 | 3,381 | ||||
Matson Inc. | 47,163 | 3,007 | ||||
AAON Inc. | 34,043 | 2,698 | ||||
Applied Industrial Technologies Inc. | 20,001 | 2,650 | ||||
Franklin Electric Co. Inc. | 31,524 | 2,626 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 47,566 | 2,473 | |||
ArcBest Corp. | 29,678 | 2,456 | ||||
Hillenbrand Inc. | 45,386 | 2,269 | ||||
John Bean Technologies Corp. | 24,676 | 2,267 | ||||
* | NV5 Global Inc. | 15,052 | 2,175 | |||
Federal Signal Corp. | 44,751 | 2,174 | ||||
* | MYR Group Inc. | 20,158 | 1,926 | |||
Albany International Corp. Class A | 18,822 | 1,908 | ||||
Boise Cascade Co. | 22,930 | 1,698 | ||||
* | 3D Systems Corp. | 157,862 | 1,601 | |||
* | SPX Technologies Inc. | 23,007 | 1,539 | |||
Trinity Industries Inc. | 49,690 | 1,522 | ||||
* | AeroVironment Inc. | 16,350 | 1,504 | |||
* | GMS Inc. | 28,847 | 1,416 | |||
Lindsay Corp. | 7,825 | 1,381 | ||||
Brady Corp. Class A | 25,945 | 1,243 | ||||
* | Gibraltar Industries Inc. | 17,960 | 909 | |||
* | Triumph Group Inc. | 78,393 | 898 | |||
Enerpac Tool Group Corp. Class A | 33,689 | 844 | ||||
Alamo Group Inc. | 5,219 | 785 | ||||
Standex International Corp. | 6,935 | 729 | ||||
Heidrick & Struggles International Inc. | 23,858 | 709 | ||||
Insteel Industries Inc. | 23,597 | 696 | ||||
* | PGT Innovations Inc. | 32,640 | 646 | |||
Tennant Co. | 9,658 | 614 | ||||
* | Sun Country Airlines Holdings Inc. | 23,678 | 478 | |||
* | Forrester Research Inc. | 13,499 | 475 | |||
* | Viad Corp. | 13,149 | 389 | |||
Interface Inc. Class A | 32,001 | 347 | ||||
Park Aerospace Corp. | 10,478 | 139 | ||||
82,691 | ||||||
Information Technology (18.8%) | ||||||
* | SPS Commerce Inc. | 43,571 | 6,198 | |||
* | Fabrinet | 44,507 | 5,938 | |||
* | Rambus Inc. | 133,747 | 5,133 | |||
* | Diodes Inc. | 55,045 | 5,077 | |||
* | Onto Innovation Inc. | 60,119 | 4,807 | |||
Advanced Energy Industries Inc. | 45,206 | 4,188 | ||||
Kulicke & Soffa Industries Inc. | 70,273 | 3,370 | ||||
* | Extreme Networks Inc. | 156,398 | 3,280 | |||
* | Axcelis Technologies Inc. | 39,975 | 3,192 | |||
* | MaxLinear Inc. Class A | 87,223 | 3,192 | |||
* | Alarm.com Holdings Inc. | 60,179 | 3,003 | |||
* | Perficient Inc. | 41,862 | 2,974 | |||
Progress Software Corp. | 52,580 | 2,804 | ||||
Badger Meter Inc. | 23,022 | 2,666 |
Shares | Market Value ($000) | |||||
* | Rogers Corp. | 22,663 | 2,471 | |||
* | Digital Turbine Inc. | 108,851 | 1,988 | |||
* | Ultra Clean Holdings Inc. | 54,997 | 1,960 | |||
* | Harmonic Inc. | 127,140 | 1,950 | |||
* | Viavi Solutions Inc. | 170,941 | 1,937 | |||
* | Clearfield Inc. | 13,845 | 1,822 | |||
EVERTEC Inc. | 53,490 | 1,806 | ||||
* | LiveRamp Holdings Inc. | 81,294 | 1,785 | |||
ADTRAN Holdings Inc. | 85,266 | 1,728 | ||||
A10 Networks Inc. | 80,315 | 1,503 | ||||
CSG Systems International Inc. | 22,944 | 1,419 | ||||
* | FormFactor Inc. | 58,715 | 1,355 | |||
* | Veeco Instruments Inc. | 62,147 | 1,235 | |||
* | Cohu Inc. | 33,795 | 1,211 | |||
* | Sabre Corp. | 191,005 | 1,167 | |||
TTEC Holdings Inc. | 22,820 | 1,094 | ||||
* | Agilysys Inc. | 15,046 | 999 | |||
InterDigital Inc. | 18,631 | 935 | ||||
* | Avid Technology Inc. | 32,372 | 909 | |||
Methode Electronics Inc. | 19,530 | 892 | ||||
* | Digi International Inc. | 19,929 | 846 | |||
CTS Corp. | 19,647 | 835 | ||||
* | CEVA Inc. | 28,081 | 763 | |||
* | OSI Systems Inc. | 8,230 | 728 | |||
* | Alpha & Omega Semiconductor Ltd. | 20,630 | 724 | |||
Adeia Inc. | 65,485 | 724 | ||||
* | PDF Solutions Inc. | 22,412 | 703 | |||
* | Knowles Corp. | 44,304 | 691 | |||
* | SMART Global Holdings Inc. | 36,854 | 623 | |||
* | 8x8 Inc. | 144,862 | 620 | |||
* | LivePerson Inc. | 51,945 | 610 | |||
* | Ichor Holdings Ltd. | 19,767 | 589 | |||
* | Cerence Inc. | 24,894 | 511 | |||
* | Payoneer Global Inc. | 85,782 | 463 | |||
* | FARO Technologies Inc. | 10,620 | 318 | |||
*,1 | Corsair Gaming Inc. | 17,954 | 303 | |||
* | Xperi Inc. | 26,186 | 280 | |||
* | OneSpan Inc. | 20,698 | 260 | |||
* | Arlo Technologies Inc. | 59,397 | 227 | |||
* | Diebold Nixdorf Inc. | 89,538 | 192 | |||
* | Unisys Corp. | 39,392 | 169 | |||
97,167 | ||||||
Materials (4.2%) | ||||||
* | Livent Corp. | 216,861 | 6,070 | |||
Balchem Corp. | 38,864 | 5,472 | ||||
HB Fuller Co. | 29,596 | 2,377 | ||||
* | ATI Inc. | 70,752 | 2,159 | |||
Quaker Chemical Corp. | 9,566 | 1,882 | ||||
Materion Corp. | 14,383 | 1,159 | ||||
AdvanSix Inc. | 18,266 | 752 | ||||
Hawkins Inc. | 12,317 | 512 | ||||
Myers Industries Inc. | 18,977 | 443 | ||||
Haynes International Inc. | 8,602 | 430 | ||||
* | Century Aluminum Co. | 27,572 | 248 | |||
21,504 | ||||||
Real Estate (6.8%) | ||||||
Innovative Industrial Properties Inc. | 33,846 | 4,102 |
Shares | Market Value ($000) | |||||
Agree Realty Corp. | 43,465 | 3,040 | ||||
Tanger Factory Outlet Centers Inc. | 126,296 | 2,456 | ||||
Essential Properties Realty Trust Inc. | 88,865 | 2,063 | ||||
LXP Industrial Trust | 169,385 | 1,823 | ||||
SITE Centers Corp. | 123,972 | 1,685 | ||||
St. Joe Co. | 41,376 | 1,590 | ||||
Outfront Media Inc. | 76,072 | 1,391 | ||||
NexPoint Residential Trust Inc. | 27,568 | 1,326 | ||||
Four Corners Property Trust Inc. | 48,385 | 1,313 | ||||
Uniti Group Inc. | 166,200 | 1,266 | ||||
Retail Opportunity Investments Corp. | 74,044 | 1,129 | ||||
CareTrust REIT Inc. | 55,090 | 1,091 | ||||
Urban Edge Properties | 63,862 | 1,005 | ||||
Elme Communities | 46,449 | 918 | ||||
Safehold Inc. | 29,434 | 869 | ||||
American Assets Trust Inc. | 27,042 | 792 | ||||
Getty Realty Corp. | 23,631 | 780 | ||||
Acadia Realty Trust | 50,464 | 776 | ||||
Centerspace | 11,891 | 767 | ||||
Marcus & Millichap Inc. | 17,028 | 634 | ||||
Armada Hoffler Properties Inc. | 49,887 | 606 | ||||
Sunstone Hotel Investors Inc. | 53,846 | 592 | ||||
RPT Realty | 52,635 | 590 | ||||
Community Healthcare Trust Inc. | 16,636 | 587 | ||||
Saul Centers Inc. | 10,813 | 466 | ||||
iStar Inc. | 57,754 | 464 | ||||
Universal Health Realty Income Trust | 8,311 | 436 | ||||
Urstadt Biddle Properties Inc. Class A | 19,731 | 377 | ||||
Douglas Elliman Inc. | 81,717 | 337 | ||||
Industrial Logistics Properties Trust | 32,150 | 131 | ||||
35,402 | ||||||
Utilities (1.6%) | ||||||
American States Water Co. | 29,521 | 2,893 | ||||
California Water Service Group | 38,816 | 2,520 | ||||
Middlesex Water Co. | 14,674 | 1,371 | ||||
Chesapeake Utilities Corp. | 11,180 | 1,339 | ||||
8,123 | ||||||
Total Common Stocks (Cost $528,337) | 516,494 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $2,914) | 3.877% | 29,150 | 2,914 | ||
Total Investments (100.4%) (Cost $531,251) | 519,408 | |||||
Other Assets and Liabilities—Net (-0.4%) | (2,155) | |||||
Net Assets (100%) | 517,253 |
Cost is in $000. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,530,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $2,691,000 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 2022 | 9 | 849 | 41 |
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 516,494 | — | — | 516,494 |
Temporary Cash Investments | 2,914 | — | — | 2,914 |
Total | 519,408 | — | — | 519,408 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 41 | — | — | 41 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |