Vanguard® S&P Mid-Cap 400 Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (99.7%) | ||||||
Communication Services (1.7%) | ||||||
New York Times Co. Class A | 212,772 | 9,998 | ||||
* | Frontier Communications Parent Inc. | 287,738 | 6,299 | |||
Iridium Communications Inc. | 162,679 | 6,198 | ||||
Nexstar Media Group Inc. Class A | 43,358 | 6,154 | ||||
TKO Group Holdings Inc. Class A | 77,785 | 6,015 | ||||
* | ZoomInfo Technologies Inc. Class A | 396,926 | 5,704 | |||
TEGNA Inc. | 262,162 | 4,019 | ||||
* | Ziff Davis Inc. | 60,470 | 3,859 | |||
Cable One Inc. | 5,924 | 3,152 | ||||
51,398 | ||||||
Consumer Discretionary (15.7%) | ||||||
* | Deckers Outdoor Corp. | 33,997 | 22,573 | |||
Williams-Sonoma Inc. | 83,547 | 15,668 | ||||
* | Burlington Stores Inc. | 84,407 | 14,315 | |||
* | Five Below Inc. | 72,413 | 13,647 | |||
* | Floor & Decor Holdings Inc. Class A | 138,472 | 12,699 | |||
* | TopBuild Corp. | 41,313 | 12,220 | |||
Toll Brothers Inc. | 142,243 | 12,217 | ||||
Service Corp. International | 196,249 | 12,024 | ||||
Vail Resorts Inc. | 50,155 | 10,899 | ||||
Dick's Sporting Goods Inc. | 81,516 | 10,605 | ||||
* | Light & Wonder Inc. | 118,536 | 10,481 | |||
* | Skechers USA Inc. Class A | 174,799 | 10,297 | |||
Churchill Downs Inc. | 88,632 | 10,261 | ||||
Autoliv Inc. | 98,849 | 10,243 | ||||
Lear Corp. | 76,424 | 10,222 | ||||
Texas Roadhouse Inc. Class A | 86,832 | 9,774 | ||||
Lithia Motors Inc. Class A | 35,855 | 9,573 | ||||
Aramark | 339,601 | 9,512 | ||||
Murphy USA Inc. | 25,397 | 9,386 | ||||
Wingstop Inc. | 38,998 | 9,374 | ||||
Gentex Corp. | 303,675 | 9,235 | ||||
Tempur Sealy International Inc. | 223,960 | 9,030 | ||||
H&R Block Inc. | 198,105 | 8,998 | ||||
* | Mattel Inc. | 460,698 | 8,753 | |||
Wyndham Hotels & Resorts Inc. | 109,610 | 8,477 | ||||
* | Crocs Inc. | 80,193 | 8,469 | |||
PVH Corp. | 81,589 | 7,978 | ||||
* | Planet Fitness Inc. Class A | 110,006 | 7,474 | |||
* | Capri Holdings Ltd. | 150,991 | 7,314 | |||
Brunswick Corp. | 90,847 | 7,165 |
Shares | Market Value ($000) | |||||
Thor Industries Inc. | 69,348 | 6,870 | ||||
Hyatt Hotels Corp. Class A | 59,733 | 6,855 | ||||
* | Taylor Morrison Home Corp. Class A | 142,383 | 6,422 | |||
Valvoline Inc. | 180,387 | 6,176 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 80,393 | 5,890 | |||
Polaris Inc. | 69,322 | 5,717 | ||||
Macy's Inc. | 354,536 | 5,623 | ||||
Gap Inc. | 277,707 | 5,574 | ||||
Boyd Gaming Corp. | 92,376 | 5,455 | ||||
* | RH | 20,100 | 5,426 | |||
* | Grand Canyon Education Inc. | 38,793 | 5,304 | |||
KB Home | 101,094 | 5,267 | ||||
* | Goodyear Tire & Rubber Co. | 368,776 | 5,122 | |||
*,1 | GameStop Corp. Class A | 348,877 | 5,076 | |||
Harley-Davidson Inc. | 167,732 | 5,030 | ||||
* | Penn Entertainment Inc. | 196,485 | 4,826 | |||
* | YETI Holdings Inc. | 112,835 | 4,811 | |||
* | AutoNation Inc. | 34,954 | 4,728 | |||
* | Visteon Corp. | 36,684 | 4,353 | |||
Wendy's Co. | 220,535 | 4,135 | ||||
Leggett & Platt Inc. | 173,271 | 3,963 | ||||
* | Adient plc | 121,840 | 3,923 | |||
Penske Automotive Group Inc. | 25,390 | 3,791 | ||||
Choice Hotels International Inc. | 32,769 | 3,614 | ||||
Columbia Sportswear Co. | 45,476 | 3,562 | ||||
* | Fox Factory Holding Corp. | 55,116 | 3,445 | |||
Travel + Leisure Co. | 96,169 | 3,428 | ||||
Carter's Inc. | 48,468 | 3,305 | ||||
* | Helen of Troy Ltd. | 31,351 | 3,293 | |||
* | Hilton Grand Vacations Inc. | 94,488 | 3,237 | |||
Marriott Vacations Worldwide Corp. | 44,122 | 3,217 | ||||
Graham Holdings Co. Class B | 4,794 | 3,007 | ||||
* | Topgolf Callaway Brands Corp. | 185,920 | 2,279 | |||
* | Under Armour Inc. Class C | 261,287 | 2,001 | |||
* | Under Armour Inc. Class A | 244,448 | 1,990 | |||
Nordstrom Inc. | 126,053 | 1,969 | ||||
477,567 | ||||||
Consumer Staples (4.2%) | ||||||
Casey's General Stores Inc. | 48,641 | 13,396 | ||||
* | Performance Food Group Co. | 203,132 | 13,214 | |||
* | US Foods Holding Corp. | 295,502 | 12,952 | |||
* | BJ's Wholesale Club Holdings Inc. | 174,801 | 11,289 | |||
* | Celsius Holdings Inc. | 192,053 | 9,508 | |||
* | Darling Ingredients Inc. | 207,486 | 9,102 | |||
* | BellRing Brands Inc. | 170,999 | 9,046 | |||
Ingredion Inc. | 86,045 | 8,819 | ||||
* | Sprouts Farmers Market Inc. | 132,700 | 5,717 | |||
* | Post Holdings Inc. | 66,108 | 5,648 | |||
* | Coty Inc. Class A | 465,955 | 5,312 | |||
Flowers Foods Inc. | 250,185 | 5,206 | ||||
Coca-Cola Consolidated Inc. | 6,097 | 4,478 | ||||
Lancaster Colony Corp. | 26,496 | 4,396 | ||||
* | Boston Beer Co. Inc. Class A | 12,297 | 4,362 | |||
* | Grocery Outlet Holding Corp. | 128,500 | 3,625 | |||
* | Pilgrim's Pride Corp. | 52,208 | 1,334 | |||
127,404 |
Shares | Market Value ($000) | |||||
Energy (5.4%) | ||||||
Ovintiv Inc. | 330,117 | 14,637 | ||||
Chesapeake Energy Corp. | 146,355 | 11,754 | ||||
HF Sinclair Corp. | 208,246 | 10,929 | ||||
Range Resources Corp. | 313,974 | 10,204 | ||||
NOV Inc. | 512,267 | 9,641 | ||||
* | Southwestern Energy Co. | 1,432,901 | 9,443 | |||
Chord Energy Corp. | 54,027 | 8,760 | ||||
* | Antero Resources Corp. | 367,324 | 8,680 | |||
* | Weatherford International plc | 93,763 | 8,503 | |||
Matador Resources Co. | 144,149 | 8,343 | ||||
Murphy Oil Corp. | 192,985 | 8,254 | ||||
Civitas Resources Inc. | 110,995 | 7,624 | ||||
ChampionX Corp. | 255,734 | 7,498 | ||||
DT Midstream Inc. | 126,059 | 7,222 | ||||
PBF Energy Inc. Class A | 143,099 | 6,354 | ||||
Permian Resources Corp. Class A | 477,993 | 6,281 | ||||
Antero Midstream Corp. | 443,047 | 5,901 | ||||
* | Valaris Ltd. | 82,776 | 5,678 | |||
Equitrans Midstream Corp. | 563,629 | 5,287 | ||||
* | CNX Resources Corp. | 210,052 | 4,382 | |||
165,375 | ||||||
Financials (15.3%) | ||||||
Fidelity National Financial Inc. | 336,367 | 15,083 | ||||
RenaissanceRe Holdings Ltd. | 66,583 | 14,273 | ||||
Reinsurance Group of America Inc. | 86,135 | 14,045 | ||||
Annaly Capital Management Inc. | 642,523 | 11,610 | ||||
East West Bancorp Inc. | 184,056 | 11,581 | ||||
Interactive Brokers Group Inc. Class A | 139,160 | 10,832 | ||||
Ally Financial Inc. | 353,140 | 10,319 | ||||
Unum Group | 239,219 | 10,286 | ||||
Webster Financial Corp. | 225,388 | 10,109 | ||||
Old Republic International Corp. | 344,370 | 10,093 | ||||
Kinsale Capital Group Inc. | 28,624 | 10,021 | ||||
* | WEX Inc. | 55,879 | 9,867 | |||
American Financial Group Inc. | 86,111 | 9,850 | ||||
Voya Financial Inc. | 137,609 | 9,840 | ||||
Primerica Inc. | 46,530 | 9,749 | ||||
Carlyle Group Inc. | 280,959 | 9,631 | ||||
Erie Indemnity Co. Class A | 32,447 | 9,593 | ||||
Morningstar Inc. | 33,848 | 9,591 | ||||
First Horizon Corp. | 726,815 | 9,296 | ||||
New York Community Bancorp Inc. | 939,871 | 8,844 | ||||
Stifel Financial Corp. | 135,878 | 8,291 | ||||
Cullen/Frost Bankers Inc. | 83,418 | 8,199 | ||||
Jefferies Financial Group Inc. | 229,916 | 8,148 | ||||
Selective Insurance Group Inc. | 78,791 | 8,012 | ||||
First American Financial Corp. | 134,105 | 7,993 | ||||
Starwood Property Trust Inc. | 386,546 | 7,681 | ||||
SEI Investments Co. | 130,859 | 7,678 | ||||
Commerce Bancshares Inc. | 147,621 | 7,465 | ||||
Prosperity Bancshares Inc. | 121,923 | 7,353 | ||||
SouthState Corp. | 98,877 | 7,322 | ||||
Pinnacle Financial Partners Inc. | 99,856 | 7,247 | ||||
RLI Corp. | 52,198 | 7,078 | ||||
Wintrust Financial Corp. | 79,631 | 6,822 | ||||
Essent Group Ltd. | 139,181 | 6,728 | ||||
Evercore Inc. Class A | 45,348 | 6,691 |
Shares | Market Value ($000) | |||||
MGIC Investment Corp. | 367,271 | 6,460 | ||||
Affiliated Managers Group Inc. | 45,594 | 6,180 | ||||
Columbia Banking System Inc. | 271,331 | 6,086 | ||||
Cadence Bank | 237,573 | 5,951 | ||||
Synovus Financial Corp. | 190,151 | 5,855 | ||||
United Bankshares Inc. | 175,537 | 5,812 | ||||
Hanover Insurance Group Inc. | 46,512 | 5,781 | ||||
Bank OZK | 136,887 | 5,730 | ||||
Old National Bancorp | 380,631 | 5,668 | ||||
Western Union Co. | 487,231 | 5,667 | ||||
FNB Corp. | 466,792 | 5,597 | ||||
Home BancShares Inc. | 245,089 | 5,436 | ||||
FirstCash Holdings Inc. | 48,118 | 5,389 | ||||
* | Euronet Worldwide Inc. | 61,371 | 5,353 | |||
Valley National Bancorp | 554,728 | 5,048 | ||||
Glacier Bancorp Inc. | 144,237 | 4,851 | ||||
Hancock Whitney Corp. | 112,042 | 4,622 | ||||
Janus Henderson Group plc | 172,406 | 4,515 | ||||
* | Brighthouse Financial Inc. | 85,213 | 4,434 | |||
SLM Corp. | 294,109 | 4,420 | ||||
First Financial Bankshares Inc. | 167,122 | 4,387 | ||||
UMB Financial Corp. | 56,806 | 4,071 | ||||
CNO Financial Group Inc. | 146,999 | 3,895 | ||||
Federated Hermes Inc. Class B | 114,851 | 3,655 | ||||
Associated Banc-Corp | 196,334 | 3,483 | ||||
Kemper Corp. | 78,331 | 3,465 | ||||
* | Texas Capital Bancshares Inc. | 62,445 | 3,427 | |||
International Bancshares Corp. | 69,419 | 3,115 | ||||
465,574 | ||||||
Health Care (7.8%) | ||||||
* | Neurocrine Biosciences Inc. | 127,035 | 14,811 | |||
* | United Therapeutics Corp. | 61,055 | 14,653 | |||
Chemed Corp. | 19,613 | 11,121 | ||||
* | Penumbra Inc. | 50,003 | 11,105 | |||
* | Repligen Corp. | 67,456 | 10,607 | |||
* | Jazz Pharmaceuticals plc | 82,133 | 9,711 | |||
* | Tenet Healthcare Corp. | 132,087 | 9,115 | |||
* | Exelixis Inc. | 414,179 | 9,033 | |||
* | Acadia Healthcare Co. Inc. | 119,907 | 8,752 | |||
Encompass Health Corp. | 130,392 | 8,498 | ||||
* | Shockwave Medical Inc. | 47,808 | 8,345 | |||
Bruker Corp. | 127,999 | 8,331 | ||||
* | Medpace Holdings Inc. | 30,217 | 8,180 | |||
* | HealthEquity Inc. | 111,190 | 7,452 | |||
* | Option Care Health Inc. | 234,002 | 6,962 | |||
* | Globus Medical Inc. Class A | 152,683 | 6,859 | |||
* | Halozyme Therapeutics Inc. | 171,617 | 6,626 | |||
* | Lantheus Holdings Inc. | 89,022 | 6,376 | |||
* | Masimo Corp. | 57,717 | 5,412 | |||
Perrigo Co. plc | 176,139 | 5,365 | ||||
* | Haemonetics Corp. | 65,972 | 5,335 | |||
* | Envista Holdings Corp. | 213,120 | 4,836 | |||
* | QuidelOrtho Corp. | 64,298 | 4,419 | |||
* | Azenta Inc. | 78,256 | 4,411 | |||
* | Neogen Corp. | 255,997 | 4,344 | |||
* | Amedisys Inc. | 42,452 | 3,973 | |||
* | Inari Medical Inc. | 66,402 | 3,964 | |||
* | Doximity Inc. Class A | 163,281 | 3,796 |
Shares | Market Value ($000) | |||||
* | Progyny Inc. | 107,979 | 3,710 | |||
* | Integra LifeSciences Holdings Corp. | 92,133 | 3,611 | |||
* | Enovis Corp. | 64,566 | 3,193 | |||
* | LivaNova plc | 70,097 | 3,144 | |||
* | Arrowhead Pharmaceuticals Inc. | 139,447 | 2,956 | |||
Patterson Cos. Inc. | 110,702 | 2,813 | ||||
* | R1 RCM Inc. | 256,163 | 2,710 | |||
* | Sotera Health Co. | 128,640 | 1,756 | |||
236,285 | ||||||
Industrials (21.4%) | ||||||
* | Builders FirstSource Inc. | 162,661 | 21,814 | |||
Carlisle Cos. Inc. | 64,939 | 18,210 | ||||
Graco Inc. | 219,843 | 17,759 | ||||
Lennox International Inc. | 41,580 | 16,909 | ||||
Watsco Inc. | 43,630 | 16,677 | ||||
Owens Corning | 116,865 | 15,845 | ||||
Lincoln Electric Holdings Inc. | 74,689 | 14,793 | ||||
AECOM | 152,470 | 13,548 | ||||
* | Saia Inc. | 34,520 | 13,476 | |||
EMCOR Group Inc. | 61,318 | 13,031 | ||||
* | XPO Inc. | 150,862 | 13,016 | |||
ITT Inc. | 106,804 | 11,564 | ||||
nVent Electric plc | 215,656 | 11,484 | ||||
Fortune Brands Innovations Inc. | 165,073 | 11,296 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 209,833 | 11,285 | ||||
Toro Co. | 135,171 | 11,219 | ||||
Tetra Tech Inc. | 69,268 | 10,955 | ||||
Advanced Drainage Systems Inc. | 90,085 | 10,910 | ||||
Curtiss-Wright Corp. | 49,830 | 10,659 | ||||
Woodward Inc. | 78,598 | 10,625 | ||||
* | Clean Harbors Inc. | 65,513 | 10,591 | |||
Regal Rexnord Corp. | 86,264 | 10,334 | ||||
* | Trex Co. Inc. | 141,230 | 9,924 | |||
* | FTI Consulting Inc. | 44,268 | 9,759 | |||
* | RBC Bearings Inc. | 37,799 | 9,742 | |||
Donaldson Co. Inc. | 157,723 | 9,596 | ||||
* | CACI International Inc. Class A | 29,659 | 9,519 | |||
BWX Technologies Inc. | 118,988 | 9,285 | ||||
Simpson Manufacturing Co. Inc. | 55,513 | 9,269 | ||||
AGCO Corp. | 80,852 | 9,179 | ||||
KBR Inc. | 175,511 | 9,069 | ||||
WESCO International Inc. | 57,499 | 8,961 | ||||
UFP Industries Inc. | 80,480 | 8,823 | ||||
* | Middleby Corp. | 69,733 | 8,802 | |||
* | Paylocity Holding Corp. | 56,016 | 8,776 | |||
* | GXO Logistics Inc. | 154,727 | 8,705 | |||
MSA Safety Inc. | 48,060 | 8,369 | ||||
Oshkosh Corp. | 84,951 | 8,265 | ||||
Science Applications International Corp. | 69,836 | 8,199 | ||||
Landstar System Inc. | 46,765 | 8,074 | ||||
Hexcel Corp. | 109,882 | 7,616 | ||||
Genpact Ltd. | 217,007 | 7,370 | ||||
Acuity Brands Inc. | 40,577 | 7,274 | ||||
* | Chart Industries Inc. | 54,603 | 7,100 | |||
* | Fluor Corp. | 186,508 | 7,093 | |||
Watts Water Technologies Inc. Class A | 35,621 | 6,857 | ||||
Crane Co. | 63,516 | 6,712 | ||||
Maximus Inc. | 79,074 | 6,602 |
Shares | Market Value ($000) | |||||
Flowserve Corp. | 170,688 | 6,530 | ||||
Sensata Technologies Holding plc | 198,286 | 6,446 | ||||
Ryder System Inc. | 59,229 | 6,346 | ||||
Timken Co. | 85,025 | 6,156 | ||||
* | ExlService Holdings Inc. | 215,587 | 6,116 | |||
MSC Industrial Direct Co. Inc. Class A | 61,660 | 6,007 | ||||
Valmont Industries Inc. | 27,336 | 6,002 | ||||
* | Kirby Corp. | 77,403 | 5,941 | |||
Esab Corp. | 73,688 | 5,685 | ||||
* | Stericycle Inc. | 120,363 | 5,653 | |||
* | ASGN Inc. | 62,964 | 5,619 | |||
* | Core & Main Inc. Class A | 158,119 | 5,539 | |||
Insperity Inc. | 47,138 | 5,362 | ||||
Concentrix Corp. | 56,207 | 5,283 | ||||
Exponent Inc. | 66,149 | 5,091 | ||||
MDU Resources Group Inc. | 264,913 | 5,070 | ||||
GATX Corp. | 46,052 | 5,020 | ||||
ManpowerGroup Inc. | 64,500 | 4,787 | ||||
* | MasTec Inc. | 78,633 | 4,768 | |||
Brink's Co. | 60,397 | 4,765 | ||||
EnerSys | 53,390 | 4,724 | ||||
* | Avis Budget Group Inc. | 25,703 | 4,700 | |||
Terex Corp. | 87,681 | 4,340 | ||||
* | Sunrun Inc. | 282,535 | 3,645 | |||
Werner Enterprises Inc. | 82,472 | 3,300 | ||||
* | Vestis Corp. | 169,800 | 3,109 | |||
* | Hertz Global Holdings Inc. | 173,725 | 1,449 | |||
652,393 | ||||||
Information Technology (10.0%) | ||||||
Jabil Inc. | 170,262 | 19,635 | ||||
* | GoDaddy Inc. Class A | 190,988 | 19,110 | |||
* | Manhattan Associates Inc. | 80,225 | 17,894 | |||
* | Dynatrace Inc. | 309,048 | 16,549 | |||
* | Super Micro Computer Inc. | 59,405 | 16,245 | |||
* | Lattice Semiconductor Corp. | 179,311 | 10,499 | |||
Universal Display Corp. | 56,664 | 9,588 | ||||
* | Dropbox Inc. Class A | 335,471 | 9,454 | |||
* | Onto Innovation Inc. | 63,829 | 9,000 | |||
* | Ciena Corp. | 194,483 | 8,917 | |||
* | Qualys Inc. | 47,758 | 8,828 | |||
* | Arrow Electronics Inc. | 72,412 | 8,585 | |||
Cognex Corp. | 224,136 | 8,450 | ||||
Littelfuse Inc. | 32,383 | 7,539 | ||||
* | Aspen Technology Inc. | 36,899 | 6,947 | |||
Vontier Corp. | 201,299 | 6,790 | ||||
MKS Instruments Inc. | 81,763 | 6,750 | ||||
* | Novanta Inc. | 46,583 | 6,728 | |||
Dolby Laboratories Inc. Class A | 77,475 | 6,673 | ||||
TD SYNNEX Corp. | 67,481 | 6,656 | ||||
* | Coherent Corp. | 169,291 | 6,228 | |||
* | Teradata Corp. | 129,959 | 6,141 | |||
* | MACOM Technology Solutions Holdings Inc. | 70,184 | 5,894 | |||
Power Integrations Inc. | 74,664 | 5,705 | ||||
Avnet Inc. | 118,902 | 5,560 | ||||
* | Cirrus Logic Inc. | 71,172 | 5,403 | |||
* | Kyndryl Holdings Inc. | 297,766 | 5,369 | |||
* | Synaptics Inc. | 51,416 | 5,205 | |||
* | Wolfspeed Inc. | 119,929 | 4,421 |
Shares | Market Value ($000) | |||||
* | Silicon Laboratories Inc. | 41,452 | 4,368 | |||
* | Blackbaud Inc. | 56,048 | 4,217 | |||
* | CommVault Systems Inc. | 57,077 | 4,200 | |||
* | Lumentum Holdings Inc. | 89,372 | 3,825 | |||
Amkor Technology Inc. | 134,263 | 3,782 | ||||
* | IPG Photonics Corp. | 38,820 | 3,717 | |||
Vishay Intertechnology Inc. | 165,144 | 3,671 | ||||
Belden Inc. | 55,024 | 3,656 | ||||
Crane NXT Co. | 62,804 | 3,232 | ||||
* | Calix Inc. | 76,785 | 2,963 | |||
* | NCR Voyix Corp. | 174,134 | 2,730 | |||
* | Allegro MicroSystems Inc. | 92,597 | 2,520 | |||
303,644 | ||||||
Materials (7.0%) | ||||||
Reliance Steel & Aluminum Co. | 76,177 | 20,968 | ||||
RPM International Inc. | 167,884 | 17,280 | ||||
Crown Holdings Inc. | 156,953 | 13,500 | ||||
* | Cleveland-Cliffs Inc. | 661,745 | 11,356 | |||
AptarGroup Inc. | 85,387 | 10,835 | ||||
United States Steel Corp. | 290,054 | 10,413 | ||||
Royal Gold Inc. | 85,455 | 10,408 | ||||
Berry Global Group Inc. | 153,638 | 10,159 | ||||
* | Axalta Coating Systems Ltd. | 288,413 | 9,076 | |||
Graphic Packaging Holding Co. | 399,651 | 9,060 | ||||
Eagle Materials Inc. | 46,093 | 8,345 | ||||
Olin Corp. | 163,688 | 7,716 | ||||
Sonoco Products Co. | 127,432 | 7,029 | ||||
Commercial Metals Co. | 151,928 | 6,887 | ||||
Alcoa Corp. | 232,146 | 6,235 | ||||
Cabot Corp. | 72,769 | 5,523 | ||||
Westlake Corp. | 41,528 | 5,332 | ||||
Ashland Inc. | 66,660 | 5,327 | ||||
Chemours Co. | 192,635 | 5,284 | ||||
Louisiana-Pacific Corp. | 83,486 | 5,092 | ||||
NewMarket Corp. | 8,981 | 4,765 | ||||
Silgan Holdings Inc. | 108,703 | 4,535 | ||||
* | Knife River Corp. | 73,587 | 4,392 | |||
Avient Corp. | 118,489 | 4,070 | ||||
Scotts Miracle-Gro Co. | 54,060 | 3,009 | ||||
* | MP Materials Corp. | 187,195 | 2,971 | |||
Greif Inc. Class A | 33,138 | 2,316 | ||||
211,883 | ||||||
Real Estate (7.9%) | ||||||
WP Carey Inc. | 278,296 | 17,321 | ||||
Equity LifeStyle Properties Inc. | 242,326 | 17,229 | ||||
Gaming & Leisure Properties Inc. | 341,667 | 15,966 | ||||
Rexford Industrial Realty Inc. | 268,560 | 13,219 | ||||
CubeSmart | 292,453 | 11,628 | ||||
Lamar Advertising Co. Class A | 113,881 | 11,535 | ||||
EastGroup Properties Inc. | 59,060 | 10,262 | ||||
Omega Healthcare Investors Inc. | 318,552 | 10,114 | ||||
* | Jones Lang LaSalle Inc. | 62,029 | 9,647 | |||
NNN REIT Inc. | 237,298 | 9,639 | ||||
Brixmor Property Group Inc. | 391,041 | 8,415 | ||||
STAG Industrial Inc. | 233,725 | 8,379 | ||||
First Industrial Realty Trust Inc. | 172,049 | 8,095 | ||||
Spirit Realty Capital Inc. | 183,857 | 7,593 |
Shares | Market Value ($000) | |||||
Healthcare Realty Trust Inc. Class A | 495,458 | 7,566 | ||||
Agree Realty Corp. | 125,236 | 7,415 | ||||
Apartment Income REIT Corp. Class A | 194,128 | 6,041 | ||||
Kite Realty Group Trust | 285,382 | 6,027 | ||||
Rayonier Inc. | 177,453 | 5,444 | ||||
Vornado Realty Trust | 208,219 | 4,902 | ||||
PotlatchDeltic Corp. | 103,956 | 4,765 | ||||
Kilroy Realty Corp. | 138,719 | 4,575 | ||||
Sabra Health Care REIT Inc. | 300,790 | 4,392 | ||||
EPR Properties | 97,989 | 4,372 | ||||
Park Hotels & Resorts Inc. | 280,648 | 4,162 | ||||
Cousins Properties Inc. | 197,446 | 4,052 | ||||
Independence Realty Trust Inc. | 291,944 | 3,976 | ||||
Medical Properties Trust Inc. | 778,466 | 3,776 | ||||
Physicians Realty Trust | 310,203 | 3,623 | ||||
National Storage Affiliates Trust | 107,964 | 3,583 | ||||
COPT Defense Properties | 146,397 | 3,543 | ||||
241,256 | ||||||
Utilities (3.3%) | ||||||
Vistra Corp. | 449,481 | 15,916 | ||||
Essential Utilities Inc. | 316,570 | 11,273 | ||||
OGE Energy Corp. | 260,553 | 9,132 | ||||
IDACORP Inc. | 65,845 | 6,354 | ||||
National Fuel Gas Co. | 119,448 | 6,067 | ||||
UGI Corp. | 272,512 | 5,992 | ||||
Portland General Electric Co. | 131,514 | 5,400 | ||||
New Jersey Resources Corp. | 126,920 | 5,356 | ||||
Ormat Technologies Inc. | 69,769 | 4,697 | ||||
PNM Resources Inc. | 111,662 | 4,642 | ||||
Southwest Gas Holdings Inc. | 78,107 | 4,617 | ||||
Black Hills Corp. | 87,306 | 4,504 | ||||
Spire Inc. | 68,432 | 4,175 | ||||
ONE Gas Inc. | 72,133 | 4,157 | ||||
ALLETE Inc. | 74,669 | 4,143 | ||||
Northwestern Energy Group Inc. | 78,109 | 3,930 | ||||
100,355 | ||||||
Total Common Stocks (Cost $2,614,151) | 3,033,134 | |||||
Coupon | ||||||
Temporary Cash Investments (0.3%) | ||||||
Money Market Fund (0.3%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $8,696) | 5.438% | 86,989 | 8,698 | ||
Total Investments (100.0%) (Cost $2,622,847) | 3,041,832 | |||||
Other Assets and Liabilities—Net (0.0%) | (1,143) | |||||
Net Assets (100%) | 3,040,689 |
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 $4,938,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $5,770,000 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 S&P Mid-Cap 400 Index | December 2023 | 16 | 4,108 | 27 |
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) |
AECOM | 1/31/24 | CITNA | 2,143 | (5.331) | 335 | — |
Wolfspeed Inc. | 8/30/24 | BANA | 1,421 | (5.331) | 121 | — |
456 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
CITNA—Citibank, N.A. |
At November 30, 2023, the counterparties had deposited in segregated accounts securities with a value of $302,000 in connection with open over-the-counter swap contracts.
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. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 3,033,134 | — | — | 3,033,134 |
Temporary Cash Investments | 8,698 | — | — | 8,698 |
Total | 3,041,832 | — | — | 3,041,832 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 27 | — | — | 27 |
Swap Contracts | — | 456 | — | 456 |
Total | 27 | 456 | — | 483 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |