Vanguard® S&P Small-Cap 600 Growth Index Fund
Schedule of Investments (unaudited)
As of May 31, 2023
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 (1.5%) | ||||||
Cogent Communications Holdings Inc. | 28,531 | 1,755 | ||||
* | Yelp Inc. Class A | 45,748 | 1,533 | |||
* | Cars.com Inc. | 70,112 | 1,237 | |||
* | TechTarget Inc. | 30,220 | 1,050 | |||
* | Gogo Inc. | 47,507 | 715 | |||
Shutterstock Inc. | 13,052 | 650 | ||||
ATN International Inc. | 12,075 | 453 | ||||
* | QuinStreet Inc. | 29,629 | 273 | |||
7,666 | ||||||
Consumer Discretionary (8.6%) | ||||||
* | Dorman Products Inc. | 31,936 | 2,620 | |||
* | Asbury Automotive Group Inc. | 11,268 | 2,356 | |||
* | Cavco Industries Inc. | 9,133 | 2,274 | |||
* | Adtalem Global Education Inc. | 51,432 | 2,134 | |||
Academy Sports & Outdoors Inc. | 41,477 | 2,031 | ||||
Jack in the Box Inc. | 23,306 | 2,017 | ||||
* | Stride Inc. | 46,342 | 1,873 | |||
Installed Building Products Inc. | 17,515 | 1,831 | ||||
LCI Industries | 14,384 | 1,554 | ||||
* | XPEL Inc. | 22,188 | 1,528 | |||
* | Shake Shack Inc. Class A | 22,380 | 1,481 | |||
* | Frontdoor Inc. | 47,947 | 1,478 | |||
* | Green Brick Partners Inc. | 30,757 | 1,472 | |||
* | Boot Barn Holdings Inc. | 20,580 | 1,392 | |||
Bloomin' Brands Inc. | 57,609 | 1,376 | ||||
* | National Vision Holdings Inc. | 51,847 | 1,309 | |||
* | Gentherm Inc. | 22,913 | 1,259 | |||
Oxford Industries Inc. | 11,737 | 1,173 | ||||
Strategic Education Inc. | 14,351 | 1,133 | ||||
* | Leslie's Inc. | 109,410 | 1,037 | |||
Monarch Casino & Resort Inc. | 15,022 | 975 | ||||
* | Six Flags Entertainment Corp. | 36,054 | 921 | |||
Winnebago Industries Inc. | 15,915 | 886 | ||||
* | Dave & Buster's Entertainment Inc. | 26,645 | 857 | |||
* | Vista Outdoor Inc. | 28,875 | 769 | |||
Buckle Inc. | 22,970 | 705 | ||||
Ethan Allen Interiors Inc. | 25,696 | 643 | ||||
* | Golden Entertainment Inc. | 15,079 | 635 | |||
Dine Brands Global Inc. | 10,593 | 634 | ||||
Sturm Ruger & Co. Inc. | 12,140 | 626 | ||||
* | Perdoceo Education Corp. | 47,660 | 562 |
Shares | Market Value ($000) | |||||
* | Sabre Corp. | 140,571 | 436 | |||
* | Chuy's Holdings Inc. | 10,947 | 403 | |||
Ruth's Hospitality Group Inc. | 17,756 | 381 | ||||
* | Mister Car Wash Inc. | 45,562 | 376 | |||
Hibbett Inc. | 7,601 | 274 | ||||
Haverty Furniture Cos. Inc. | 7,602 | 201 | ||||
43,612 | ||||||
Consumer Staples (6.5%) | ||||||
* | elf Beauty Inc. | 57,210 | 5,951 | |||
* | Hostess Brands Inc. Class A | 151,281 | 3,764 | |||
* | Simply Good Foods Co. | 95,560 | 3,458 | |||
J & J Snack Foods Corp. | 16,935 | 2,607 | ||||
Inter Parfums Inc. | 20,164 | 2,532 | ||||
Cal-Maine Foods Inc. | 42,854 | 2,038 | ||||
WD-40 Co. | 9,991 | 1,895 | ||||
MGP Ingredients Inc. | 17,418 | 1,656 | ||||
* | TreeHouse Foods Inc. | 26,839 | 1,271 | |||
Edgewell Personal Care Co. | 27,924 | 1,088 | ||||
Medifast Inc. | 12,361 | 973 | ||||
* | National Beverage Corp. | 17,880 | 883 | |||
Tootsie Roll Industries Inc. | 20,684 | 808 | ||||
Vector Group Ltd. | 65,640 | 769 | ||||
* | Central Garden & Pet Co. Class A | 22,394 | 769 | |||
* | Chefs' Warehouse Inc. | 23,790 | 740 | |||
John B Sanfilippo & Son Inc. | 6,154 | 715 | ||||
Andersons Inc. | 15,433 | 602 | ||||
* | Central Garden & Pet Co. | 5,226 | 190 | |||
32,709 | ||||||
Energy (5.2%) | ||||||
Civitas Resources Inc. | 58,631 | 3,917 | ||||
SM Energy Co. | 138,670 | 3,646 | ||||
Northern Oil & Gas Inc. | 91,394 | 2,734 | ||||
Helmerich & Payne Inc. | 68,407 | 2,112 | ||||
CONSOL Energy Inc. | 36,958 | 1,994 | ||||
Patterson-UTI Energy Inc. | 166,875 | 1,625 | ||||
* | Oceaneering International Inc. | 81,715 | 1,251 | |||
Comstock Resources Inc. | 103,651 | 966 | ||||
* | Callon Petroleum Co. | 28,971 | 887 | |||
Dorian LPG Ltd. | 36,156 | 834 | ||||
Ranger Oil Corp. Class A | 21,676 | 797 | ||||
* | Vital Energy Inc. | 19,062 | 791 | |||
RPC Inc. | 94,373 | 628 | ||||
* | NexTier Oilfield Solutions Inc. | 80,936 | 610 | |||
* | Nabors Industries Ltd. | 6,924 | 580 | |||
* | REX American Resources Corp. | 17,239 | 568 | |||
* | US Silica Holdings Inc. | 49,470 | 560 | |||
Core Laboratories Inc. | 25,103 | 549 | ||||
* | Talos Energy Inc. | 39,683 | 488 | |||
* | Dril-Quip Inc. | 20,251 | 453 | |||
CVR Energy Inc. | 18,058 | 423 | ||||
26,413 | ||||||
Financials (13.8%) | ||||||
* | Mr Cooper Group Inc. | 78,275 | 3,621 | |||
First Bancorp | 206,263 | 2,302 | ||||
ServisFirst Bancshares Inc. | 55,235 | 2,226 | ||||
Piper Sandler Cos. | 15,502 | 1,974 | ||||
* | Bancorp Inc. | 63,023 | 1,945 |
Shares | Market Value ($000) | |||||
United Community Banks Inc. | 84,524 | 1,911 | ||||
Assured Guaranty Ltd. | 34,575 | 1,789 | ||||
CVB Financial Corp. | 148,376 | 1,782 | ||||
Community Bank System Inc. | 34,654 | 1,713 | ||||
Banner Corp. | 38,682 | 1,674 | ||||
BancFirst Corp. | 19,718 | 1,668 | ||||
EVERTEC Inc. | 47,934 | 1,653 | ||||
NBT Bancorp Inc. | 48,469 | 1,626 | ||||
Park National Corp. | 16,334 | 1,613 | ||||
American Equity Investment Life Holding Co. | 40,825 | 1,610 | ||||
* | StoneX Group Inc. | 19,859 | 1,594 | |||
* | Palomar Holdings Inc. | 28,552 | 1,561 | |||
City Holding Co. | 16,752 | 1,444 | ||||
Lakeland Financial Corp. | 28,600 | 1,437 | ||||
Ameris Bancorp | 44,982 | 1,420 | ||||
OFG Bancorp | 53,819 | 1,306 | ||||
First Hawaiian Inc. | 74,919 | 1,235 | ||||
* | Axos Financial Inc. | 32,631 | 1,234 | |||
* | NMI Holdings Inc. Class A | 48,255 | 1,214 | |||
Independent Bank Corp. | 26,843 | 1,185 | ||||
Stellar Bancorp Inc. | 50,939 | 1,185 | ||||
Westamerica Bancorp | 30,441 | 1,152 | ||||
First Financial Bancorp | 59,003 | 1,119 | ||||
Seacoast Banking Corp. of Florida | 51,099 | 1,057 | ||||
Washington Federal Inc. | 39,188 | 1,019 | ||||
Trustmark Corp. | 47,597 | 994 | ||||
Pathward Financial Inc. | 22,463 | 987 | ||||
* | Avantax Inc. | 45,058 | 953 | |||
ARMOUR Residential REIT Inc. | 183,852 | 923 | ||||
* | Trupanion Inc. | 39,789 | 894 | |||
Atlantic Union Bankshares Corp. | 32,945 | 842 | ||||
National Bank Holdings Corp. Class A | 28,110 | 841 | ||||
First Bancorp (XNGS) | 27,551 | 829 | ||||
S&T Bancorp Inc. | 30,307 | 813 | ||||
* | Triumph Financial Inc. | 15,627 | 811 | |||
First Commonwealth Financial Corp. | 63,782 | 807 | ||||
Northwest Bancshares Inc. | 74,812 | 786 | ||||
Virtus Investment Partners Inc. | 3,936 | 751 | ||||
Preferred Bank | 14,966 | 690 | ||||
Safety Insurance Group Inc. | 9,462 | 689 | ||||
Heritage Financial Corp. | 39,775 | 650 | ||||
* | Donnelley Financial Solutions Inc. | 14,098 | 625 | |||
AMERISAFE Inc. | 11,864 | 606 | ||||
Dime Community Bancshares Inc. | 36,715 | 595 | ||||
Berkshire Hills Bancorp Inc. | 28,984 | 593 | ||||
Employers Holdings Inc. | 15,622 | 565 | ||||
FB Financial Corp. | 19,743 | 526 | ||||
Southside Bancshares Inc. | 19,571 | 519 | ||||
Veritex Holdings Inc. | 29,825 | 515 | ||||
Hanmi Financial Corp. | 34,327 | 494 | ||||
WisdomTree Inc. | 70,251 | 478 | ||||
Tompkins Financial Corp. | 9,048 | 473 | ||||
Brightsphere Investment Group Inc. | 18,931 | 407 | ||||
* | Payoneer Global Inc. | 96,704 | 401 | |||
* | Customers Bancorp Inc. | 17,139 | 394 | |||
TrustCo Bank Corp. | 14,147 | 391 | ||||
1 | B. Riley Financial Inc. | 8,834 | 320 | |||
Northfield Bancorp Inc. | 25,397 | 260 |
Shares | Market Value ($000) | |||||
Invesco Mortgage Capital Inc. | 17,997 | 191 | ||||
69,882 | ||||||
Health Care (13.6%) | ||||||
Ensign Group Inc. | 62,982 | 5,581 | ||||
* | Merit Medical Systems Inc. | 64,306 | 5,299 | |||
* | AMN Healthcare Services Inc. | 48,972 | 4,650 | |||
* | Cytokinetics Inc. | 106,934 | 4,030 | |||
* | Corcept Therapeutics Inc. | 101,648 | 2,388 | |||
* | Vir Biotechnology Inc. | 85,644 | 2,284 | |||
* | Prestige Consumer Healthcare Inc. | 39,270 | 2,247 | |||
* | Glaukos Corp. | 36,166 | 2,062 | |||
CONMED Corp. | 16,900 | 2,050 | ||||
* | Supernus Pharmaceuticals Inc. | 61,170 | 2,027 | |||
* | Pacira BioSciences Inc. | 51,918 | 1,974 | |||
* | Amphastar Pharmaceuticals Inc. | 42,658 | 1,893 | |||
* | Xencor Inc. | 67,637 | 1,833 | |||
* | Addus HomeCare Corp. | 18,230 | 1,643 | |||
* | Dynavax Technologies Corp. | 134,270 | 1,535 | |||
* | Veradigm Inc. | 123,665 | 1,457 | |||
* | Certara Inc. | 68,965 | 1,433 | |||
* | CorVel Corp. | 6,687 | 1,307 | |||
* | Catalyst Pharmaceuticals Inc. | 108,354 | 1,251 | |||
* | Arcus Biosciences Inc. | 59,035 | 1,213 | |||
* | Harmony Biosciences Holdings Inc. | 33,561 | 1,161 | |||
* | Tandem Diabetes Care Inc. | 43,587 | 1,133 | |||
* | Ironwood Pharmaceuticals Inc. Class A | 95,196 | 1,036 | |||
US Physical Therapy Inc. | 10,113 | 1,033 | ||||
* | Cross Country Healthcare Inc. | 40,135 | 1,023 | |||
* | Vericel Corp. | 30,490 | 979 | |||
* | Innoviva Inc. | 71,201 | 960 | |||
LeMaitre Vascular Inc. | 15,148 | 952 | ||||
* | NextGen Healthcare Inc. | 60,534 | 942 | |||
* | AdaptHealth Corp. Class A | 86,906 | 911 | |||
* | BioLife Solutions Inc. | 38,785 | 906 | |||
* | uniQure NV | 46,671 | 900 | |||
Embecta Corp. | 30,456 | 843 | ||||
* | Collegium Pharmaceutical Inc. | 37,822 | 835 | |||
* | Avid Bioservices Inc. | 48,715 | 753 | |||
* | REGENXBIO Inc. | 42,674 | 735 | |||
* | Ligand Pharmaceuticals Inc. | 9,765 | 684 | |||
Simulations Plus Inc. | 12,121 | 536 | ||||
Mesa Laboratories Inc. | 3,510 | 454 | ||||
* | iTeos Therapeutics Inc. | 27,652 | 450 | |||
HealthStream Inc. | 17,414 | 401 | ||||
* | Fulgent Genetics Inc. | 10,001 | 398 | |||
* | ANI Pharmaceuticals Inc. | 7,159 | 323 | |||
* | Cytek Biosciences Inc. | 39,538 | 309 | |||
* | Agiliti Inc. | 16,899 | 277 | |||
* | Cutera Inc. | 14,277 | 240 | |||
* | Anika Therapeutics Inc. | 8,558 | 232 | |||
*,1 | Zynex Inc. | 24,473 | 230 | |||
* | Computer Programs & Systems Inc. | 8,497 | 203 | |||
* | Enanta Pharmaceuticals Inc. | 8,624 | 202 | |||
* | Eagle Pharmaceuticals Inc. | 7,861 | 163 | |||
* | Cara Therapeutics Inc. | 50,849 | 162 | |||
* | Coherus Biosciences Inc. | 37,087 | 152 |
Shares | Market Value ($000) | |||||
*,2 | OmniAb Inc. 12.5 Earnout | 7,390 | — | |||
*,2 | OmniAb Inc. 15 Earnout | 7,390 | — | |||
68,675 | ||||||
Industrials (18.9%) | ||||||
Comfort Systems USA Inc. | 40,404 | 5,979 | ||||
Applied Industrial Technologies Inc. | 43,619 | 5,363 | ||||
Mueller Industries Inc. | 64,253 | 4,772 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 85,670 | 4,667 | |||
AAON Inc. | 47,491 | 4,113 | ||||
Franklin Electric Co. Inc. | 43,963 | 3,999 | ||||
Hillenbrand Inc. | 78,408 | 3,761 | ||||
Federal Signal Corp. | 68,508 | 3,630 | ||||
Encore Wire Corp. | 20,725 | 3,392 | ||||
Boise Cascade Co. | 44,548 | 3,200 | ||||
Albany International Corp. Class A | 35,132 | 2,983 | ||||
Forward Air Corp. | 30,037 | 2,922 | ||||
Matson Inc. | 42,663 | 2,915 | ||||
* | Verra Mobility Corp. Class A | 157,393 | 2,775 | |||
* | AeroVironment Inc. | 28,412 | 2,654 | |||
* | SPX Technologies Inc. | 31,703 | 2,421 | |||
EnPro Industries Inc. | 23,490 | 2,374 | ||||
Arcosa Inc. | 36,105 | 2,371 | ||||
* | Dycom Industries Inc. | 22,707 | 2,303 | |||
Moog Inc. Class A | 19,816 | 1,926 | ||||
ESCO Technologies Inc. | 19,854 | 1,787 | ||||
UniFirst Corp. | 10,076 | 1,724 | ||||
Griffon Corp. | 53,717 | 1,693 | ||||
* | PGT Innovations Inc. | 67,890 | 1,689 | |||
CSG Systems International Inc. | 34,016 | 1,632 | ||||
Brady Corp. Class A | 33,964 | 1,619 | ||||
Lindsay Corp. | 12,455 | 1,467 | ||||
Alamo Group Inc. | 8,500 | 1,415 | ||||
Marten Transport Ltd. | 65,150 | 1,378 | ||||
Korn Ferry | 28,608 | 1,345 | ||||
* | NV5 Global Inc. | 14,082 | 1,276 | |||
Standex International Corp. | 9,195 | 1,252 | ||||
* | Hub Group Inc. Class A | 16,620 | 1,223 | |||
* | MYR Group Inc. | 9,395 | 1,198 | |||
Trinity Industries Inc. | 54,342 | 1,149 | ||||
Enerpac Tool Group Corp. Class A | 42,546 | 1,082 | ||||
Wabash National Corp. | 31,358 | 735 | ||||
* | Sun Country Airlines Holdings Inc. | 36,717 | 690 | |||
* | Titan International Inc. | 57,344 | 567 | |||
Heartland Express Inc. | 34,118 | 532 | ||||
Apogee Enterprises Inc. | 14,264 | 527 | ||||
Quanex Building Products Corp. | 21,341 | 448 | ||||
TTEC Holdings Inc. | 10,641 | 338 | ||||
Insteel Industries Inc. | 10,079 | 302 | ||||
* | Liquidity Services Inc. | 14,852 | 225 | |||
95,813 | ||||||
Information Technology (19.5%) | ||||||
* | Rambus Inc. | 121,468 | 7,769 | |||
* | SPS Commerce Inc. | 40,727 | 6,345 | |||
* | Onto Innovation Inc. | 55,950 | 6,006 | |||
* | Axcelis Technologies Inc. | 37,030 | 5,834 | |||
* | Fabrinet | 41,368 | 4,684 | |||
* | Diodes Inc. | 51,392 | 4,617 |
Shares | Market Value ($000) | |||||
Badger Meter Inc. | 33,073 | 4,560 | ||||
Advanced Energy Industries Inc. | 42,231 | 4,145 | ||||
* | DoubleVerify Holdings Inc. | 98,820 | 3,446 | |||
Kulicke & Soffa Industries Inc. | 64,050 | 3,387 | ||||
* | Extreme Networks Inc. | 145,919 | 3,006 | |||
Progress Software Corp. | 48,957 | 2,937 | ||||
* | Plexus Corp. | 31,291 | 2,838 | |||
* | Alarm.com Holdings Inc. | 56,381 | 2,831 | |||
InterDigital Inc. | 30,396 | 2,524 | ||||
* | MaxLinear Inc. Class A | 81,839 | 2,391 | |||
* | NetScout Systems Inc. | 76,105 | 2,323 | |||
* | Harmonic Inc. | 123,995 | 2,184 | |||
* | Perficient Inc. | 22,334 | 1,708 | |||
* | Agilysys Inc. | 22,537 | 1,675 | |||
CTS Corp. | 36,073 | 1,647 | ||||
* | Sanmina Corp. | 30,373 | 1,611 | |||
* | Photronics Inc. | 69,859 | 1,483 | |||
* | Digi International Inc. | 40,458 | 1,455 | |||
* | Veeco Instruments Inc. | 58,183 | 1,420 | |||
* | PDF Solutions Inc. | 33,426 | 1,412 | |||
* | Cohu Inc. | 35,579 | 1,364 | |||
* | Viavi Solutions Inc. | 132,256 | 1,301 | |||
A10 Networks Inc. | 72,618 | 1,081 | ||||
* | OSI Systems Inc. | 9,055 | 1,078 | |||
* | LiveRamp Holdings Inc. | 40,319 | 981 | |||
* | Ultra Clean Holdings Inc. | 28,353 | 972 | |||
Methode Electronics Inc. | 21,263 | 915 | ||||
* | N-able Inc. | 51,149 | 726 | |||
* | ePlus Inc. | 14,650 | 724 | |||
* | Alpha & Omega Semiconductor Ltd. | 25,219 | 698 | |||
* | Digital Turbine Inc. | 65,157 | 596 | |||
* | Clearfield Inc. | 14,243 | 557 | |||
* | Avid Technology Inc. | 22,082 | 530 | |||
* | Corsair Gaming Inc. | 25,381 | 501 | |||
* | Consensus Cloud Solutions Inc. | 13,520 | 493 | |||
ADTRAN Holdings Inc. | 55,255 | 492 | ||||
* | Arlo Technologies Inc. | 49,836 | 482 | |||
* | CEVA Inc. | 15,935 | 399 | |||
* | OneSpan Inc. | 19,486 | 295 | |||
* | 8x8 Inc. | 58,591 | 239 | |||
* | LivePerson Inc. | 41,037 | 151 | |||
98,813 | ||||||
Materials (6.1%) | ||||||
* | Livent Corp. | 202,688 | 4,672 | |||
Balchem Corp. | 36,315 | 4,490 | ||||
* | ATI Inc. | 90,638 | 3,134 | |||
Quaker Chemical Corp. | 15,395 | 2,922 | ||||
Innospec Inc. | 27,969 | 2,583 | ||||
HB Fuller Co. | 38,809 | 2,443 | ||||
* | O-I Glass Inc. | 80,331 | 1,664 | |||
Stepan Co. | 15,526 | 1,428 | ||||
Materion Corp. | 13,243 | 1,329 | ||||
Kaiser Aluminum Corp. | 18,045 | 1,090 | ||||
Warrior Met Coal Inc. | 32,738 | 1,073 | ||||
Hawkins Inc. | 21,465 | 1,008 | ||||
Sylvamo Corp. | 20,621 | 813 | ||||
Myers Industries Inc. | 41,365 | 773 | ||||
American Vanguard Corp. | 31,328 | 534 |
Shares | Market Value ($000) | |||||
Haynes International Inc. | 9,524 | 414 | ||||
* | TimkenSteel Corp. | 19,172 | 326 | |||
Mercer International Inc. | 19,552 | 169 | ||||
FutureFuel Corp. | 16,589 | 141 | ||||
31,006 | ||||||
Real Estate (3.3%) | ||||||
Innovative Industrial Properties Inc. | 31,582 | 2,088 | ||||
St. Joe Co. | 38,275 | 1,780 | ||||
Four Corners Property Trust Inc. | 63,591 | 1,634 | ||||
CareTrust REIT Inc. | 69,819 | 1,355 | ||||
Tanger Factory Outlet Centers Inc. | 64,947 | 1,323 | ||||
Getty Realty Corp. | 30,804 | 1,056 | ||||
LTC Properties Inc. | 29,807 | 957 | ||||
Urban Edge Properties | 67,834 | 904 | ||||
Marcus & Millichap Inc. | 28,103 | 825 | ||||
* | Veris Residential Inc. | 49,984 | 808 | |||
Kennedy-Wilson Holdings Inc. | 47,535 | 733 | ||||
NexPoint Residential Trust Inc. | 13,576 | 557 | ||||
Armada Hoffler Properties Inc. | 50,026 | 552 | ||||
Community Healthcare Trust Inc. | 15,904 | 522 | ||||
Uniti Group Inc. | 120,251 | 447 | ||||
Universal Health Realty Income Trust | 9,296 | 406 | ||||
Urstadt Biddle Properties Inc. Class A | 18,597 | 360 | ||||
Saul Centers Inc. | 8,287 | 280 | ||||
16,587 | ||||||
Utilities (2.8%) | ||||||
American States Water Co. | 28,798 | 2,558 | ||||
SJW Group | 30,117 | 2,305 | ||||
California Water Service Group | 38,461 | 2,189 | ||||
Otter Tail Corp. | 28,733 | 2,132 | ||||
Chesapeake Utilities Corp. | 13,448 | 1,717 | ||||
Northwest Natural Holding Co. | 25,413 | 1,085 | ||||
Middlesex Water Co. | 12,783 | 1,040 | ||||
Unitil Corp. | 18,064 | 952 | ||||
13,978 | ||||||
Total Common Stocks (Cost $502,071) | 505,154 | |||||
Coupon | ||||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $537) | 5.125% | 5,370 | 537 | ||
Total Investments (99.9%) (Cost $502,608) | 505,691 | |||||
Other Assets and Liabilities—Net (0.1%) | 482 | |||||
Net Assets (100%) | 506,173 |
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 $122,000. |
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 $130,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | June 2023 | 10 | 876 | (11) |
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 May 31, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 505,154 | — | — | 505,154 |
Temporary Cash Investments | 537 | — | — | 537 |
Total | 505,691 | — | — | 505,691 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 11 | — | — | 11 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |