UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07175
| Name of Registrant: | Vanguard Tax-Managed Funds |
| Address of Registrant: | P.O. Box 2600 |
| | Valley Forge, PA 19482 |
| Name and address of agent for service: | Anne E. Robinson, Esquire |
| | P.O. Box 876 |
| | Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2020—June 30, 2020
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2020
Vanguard Tax-Managed Funds®
| Vanguard Tax-Managed Balanced Fund |
| Vanguard Tax-Managed Capital Appreciation Fund |
| Vanguard Tax-Managed Small-Cap Fund |
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
| Six Months Ended June 30, 2020 | | | |
| | Beginning
Account Value
12/31/2019 | Ending
Account Value
6/30/2020 | Expenses
Paid During
Period |
| Based on Actual Fund Return | | | |
| Tax-Managed Balanced Fund | $1,000.00 | $1,002.10 | $0.45 |
| Tax-Managed Capital Appreciation Fund | | | |
| AdmiralTM Shares | $1,000.00 | $974.00 | $0.44 |
| Institutional Shares | 1,000.00 | 974.10 | 0.29 |
| Tax-Managed Small-Cap Fund | | | |
| Admiral Shares | $1,000.00 | $821.90 | $0.41 |
| Institutional Shares | 1,000.00 | 822.20 | 0.27 |
| Based on Hypothetical 5% Yearly Return | | | |
| Tax-Managed Balanced Fund | $1,000.00 | $1,024.42 | $0.45 |
| Tax-Managed Capital Appreciation Fund | | | |
| Admiral Shares | $1,000.00 | $1,024.42 | $0.45 |
| Institutional Shares | 1,000.00 | 1,024.56 | 0.30 |
| Tax-Managed Small-Cap Fund | | | |
| Admiral Shares | $1,000.00 | $1,024.42 | $0.45 |
| Institutional Shares | 1,000.00 | 1,024.56 | 0.30 |
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Tax-Managed Balanced Fund, 0.09%; for the Tax-Managed Capital Appreciation Fund, 0.09% for Admiral Shares and 0.06% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.09% for Admiral Shares and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
Tax-Managed Balanced Fund
| Investment Exposure |
| Consumer Discretionary | 7.9% |
| Consumer Staples | 2.6 |
| Energy | 1.2 |
| Financial Services | 8.4 |
| Health Care | 6.5 |
| Materials & Processing | 1.4 |
| Other | 0.9 |
| Producer Durables | 4.1 |
| Technology | 13.5 |
| Utilities | 2.2 |
| Tax-Exempt Municipal Bonds | 51.3 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
| Fixed Income Exposure |
| New York | 7.1% |
| Texas | 5.1 |
| California | 4.4 |
| Pennsylvania | 2.7 |
| Illinois | 2.7 |
| Florida | 2.5 |
| New Jersey | 1.7 |
| Ohio | 1.7 |
| Michigan | 1.4 |
| Maryland | 1.4 |
| Top Ten | 30.7% |
Tax-Managed Balanced Fund
Financial Statements (unaudited)
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 (48.5%) |
| Consumer Discretionary (7.9%) |
| * | Amazon.com Inc. | 41,998 | 115,865 |
| | Home Depot Inc. | 107,159 | 26,844 |
| | Walt Disney Co. | 178,124 | 19,863 |
| * | Netflix Inc. | 42,251 | 19,226 |
| | Comcast Corp. Class A | 450,061 | 17,543 |
| | Walmart Inc. | 136,623 | 16,365 |
| | Costco Wholesale Corp. | 46,842 | 14,203 |
| | McDonald's Corp. | 73,371 | 13,535 |
| * | Tesla Inc. | 12,503 | 13,501 |
| | NIKE Inc. Class B | 135,111 | 13,248 |
| | Lowe's Cos. Inc. | 80,063 | 10,818 |
| * | Charter Communications Inc. Class A | 16,614 | 8,474 |
| | Starbucks Corp. | 113,971 | 8,387 |
| * | Booking Holdings Inc. | 4,500 | 7,166 |
| | Estee Lauder Cos. Inc. Class A | 33,569 | 6,334 |
| | TJX Cos. Inc. | 123,712 | 6,255 |
| | Target Corp. | 41,325 | 4,956 |
| * | Lululemon Athletica Inc. | 15,881 | 4,955 |
| | Dollar General Corp. | 25,991 | 4,952 |
| * | O'Reilly Automotive Inc. | 9,621 | 4,057 |
| * | AutoZone Inc. | 3,294 | 3,716 |
| | eBay Inc. | 70,733 | 3,710 |
| * | Chipotle Mexican Grill Inc. Class A | 3,292 | 3,464 |
| * | Spotify Technology SA | 13,409 | 3,462 |
| | Ross Stores Inc. | 36,367 | 3,100 |
| * | Dollar Tree Inc. | 32,159 | 2,980 |
| | Yum! Brands Inc. | 31,728 | 2,757 |
| * | Uber Technologies Inc. | 86,204 | 2,679 |
| | Lennar Corp. Class A | 39,160 | 2,413 |
| | Marriott International Inc. Class A | 27,645 | 2,370 |
| * | CarMax Inc. | 26,265 | 2,352 |
| | Aptiv plc | 29,624 | 2,308 |
| | Hilton Worldwide Holdings Inc. | 30,445 | 2,236 |
| | DR Horton Inc. | 37,302 | 2,068 |
| | | | | Shares | Market
Value•
($000) |
| | General Motors Co. | 81,664 | 2,066 |
| | Best Buy Co. Inc. | 21,906 | 1,912 |
| * | Wayfair Inc. Class A | 9,639 | 1,905 |
| * | NVR Inc. | 569 | 1,854 |
| * | Burlington Stores Inc. | 9,078 | 1,788 |
| | Yum China Holdings Inc. | 37,156 | 1,786 |
| * | Ulta Beauty Inc. | 8,251 | 1,678 |
| | VF Corp. | 27,400 | 1,670 |
| | Tractor Supply Co. | 12,514 | 1,649 |
| | Advance Auto Parts Inc. | 11,356 | 1,618 |
| * | Liberty Broadband Corp. Class A | 12,998 | 1,588 |
| | Domino's Pizza Inc. | 4,261 | 1,574 |
| * | Liberty Broadband Corp. Class C | 11,601 | 1,438 |
| | Fortune Brands Home & Security Inc. | 20,487 | 1,310 |
| | Sirius XM Holdings Inc. | 219,780 | 1,290 |
| * | Mohawk Industries Inc. | 12,613 | 1,283 |
| * | Etsy Inc. | 10,995 | 1,168 |
| | Lear Corp. | 10,522 | 1,147 |
| * | Caesars Entertainment Corp. | 91,945 | 1,115 |
| * | DISH Network Corp. Class A | 32,192 | 1,111 |
| | Expedia Group Inc. | 13,208 | 1,086 |
| * | Ollie's Bargain Outlet Holdings Inc. | 10,849 | 1,059 |
| * | Live Nation Entertainment Inc. | 23,345 | 1,035 |
| | PVH Corp. | 21,379 | 1,027 |
| | Gentex Corp. | 39,660 | 1,022 |
| * | LKQ Corp. | 38,960 | 1,021 |
| | Thor Industries Inc. | 9,533 | 1,016 |
| * | Discovery Inc. Class C | 52,422 | 1,010 |
| * | Liberty Media Corp.-Liberty SiriusXM Class C | 28,559 | 984 |
| | MGM Resorts International | 57,469 | 965 |
| * | Bright Horizons Family Solutions Inc. | 8,184 | 959 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| * | Liberty Media Corp.-Liberty SiriusXM Class A | 26,938 | 930 |
| | Ford Motor Co. | 150,000 | 912 |
| * | Trade Desk Inc. Class A | 2,169 | 882 |
| | Garmin Ltd. | 8,970 | 875 |
| | AMERCO | 2,887 | 872 |
| * | Qurate Retail Inc. Class A | 91,418 | 868 |
| | PulteGroup Inc. | 25,300 | 861 |
| * | Altice USA Inc. Class A | 37,314 | 841 |
| | Service Corp. International | 21,408 | 833 |
| * | Hilton Grand Vacations Inc. | 42,530 | 831 |
| * | Liberty Media Corp.-Liberty Formula One Class A | 27,531 | 803 |
| * | Floor & Decor Holdings Inc. Class A | 13,773 | 794 |
| * | Lyft Inc. Class A | 23,836 | 787 |
| * | frontdoor Inc. | 17,660 | 783 |
| | Tiffany & Co. | 6,296 | 768 |
| | Toll Brothers Inc. | 22,801 | 743 |
| | News Corp. Class A | 62,267 | 738 |
| * | Roku Inc. Class A | 6,313 | 736 |
| * | Planet Fitness Inc. Class A | 11,976 | 725 |
| | Genuine Parts Co. | 8,103 | 705 |
| * | Liberty Media Corp.-Liberty Formula One Class C | 21,777 | 691 |
| * | IAA Inc. | 17,878 | 690 |
| | BorgWarner Inc. | 19,434 | 686 |
| * | Tempur Sealy International Inc. | 9,285 | 668 |
| | Rollins Inc. | 15,624 | 662 |
| * | Five Below Inc. | 6,002 | 642 |
| * | AutoNation Inc. | 16,312 | 613 |
| * | Madison Square Garden Sports Corp. | 4,040 | 593 |
| | Dunkin' Brands Group Inc. | 9,083 | 592 |
| * | ServiceMaster Global Holdings Inc. | 16,367 | 584 |
| | Williams-Sonoma Inc. | 7,089 | 581 |
| | Carter's Inc. | 7,137 | 576 |
| * | AMC Networks Inc. Class A | 24,067 | 563 |
| | Hasbro Inc. | 7,400 | 555 |
| | Wendy's Co. | 24,919 | 543 |
| | Fox Corp. Class A | 20,254 | 543 |
| | ViacomCBS Inc. Class B | 22,673 | 529 |
| * | Carvana Co. Class A | 4,031 | 484 |
| | Whirlpool Corp. | 3,582 | 464 |
| | TripAdvisor Inc. | 22,492 | 428 |
| * | Lions Gate Entertainment Corp. Class B | 57,485 | 393 |
| | Fox Corp. Class B | 14,434 | 387 |
| | ViacomCBS Inc. Class A | 15,073 | 386 |
| | New York Times Co. Class A | 8,914 | 375 |
| | | | | Shares | Market
Value•
($000) |
| * | Grand Canyon Education Inc. | 4,109 | 372 |
| | Ralph Lauren Corp. Class A | 5,035 | 365 |
| * | Under Armour Inc. Class C | 40,857 | 361 |
| | Dick's Sporting Goods Inc. | 8,512 | 351 |
| * | Skechers U.S.A. Inc. Class A | 11,188 | 351 |
| | Pool Corp. | 1,184 | 322 |
| | Wynn Resorts Ltd. | 4,200 | 313 |
| * | Madison Square Garden Entertainment Corp. | 4,040 | 303 |
| | Aramark | 13,199 | 298 |
| * | Capri Holdings Ltd. | 19,041 | 298 |
| * | 2U Inc. | 7,800 | 296 |
| | Lennar Corp. Class B | 5,464 | 252 |
| | Foot Locker Inc. | 8,566 | 250 |
| | Vail Resorts Inc. | 1,300 | 237 |
| | Brunswick Corp. | 3,628 | 232 |
| | Hyatt Hotels Corp. Class A | 4,521 | 227 |
| * | Discovery Inc. Class A | 7,816 | 165 |
| * | Urban Outfitters Inc. | 10,612 | 161 |
| * | Mattel Inc. | 15,775 | 153 |
| | KAR Auction Services Inc. | 10,196 | 140 |
| | Columbia Sportswear Co. | 1,683 | 136 |
| | Nexstar Media Group Inc. Class A | 1,600 | 134 |
| | World Wrestling Entertainment Inc. Class A | 2,762 | 120 |
| | Graham Holdings Co. Class B | 329 | 113 |
| * | Under Armour Inc. Class A | 9,435 | 92 |
| | Sinclair Broadcast Group Inc. Class A | 4,830 | 89 |
| | Hanesbrands Inc. | 6,700 | 76 |
| | Cable One Inc. | 40 | 71 |
| | Darden Restaurants Inc. | 880 | 67 |
| * | Norwegian Cruise Line Holdings Ltd. | 3,300 | 54 |
| | Royal Caribbean Cruises Ltd. | 1,032 | 52 |
| | Wyndham Hotels & Resorts Inc. | 1,038 | 44 |
| | Choice Hotels International Inc. | 444 | 35 |
| * | Warner Music Group Corp. Class A | 351 | 10 |
| | | | | | 454,351 |
| Consumer Staples (2.6%) |
| | Procter & Gamble Co. | 240,351 | 28,739 |
| | PepsiCo Inc. | 137,069 | 18,129 |
| | Coca-Cola Co. | 360,437 | 16,104 |
| | CVS Health Corp. | 121,045 | 7,864 |
| | Mondelez International Inc. Class A | 148,388 | 7,587 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | Colgate-Palmolive Co. | 95,803 | 7,019 |
| | Philip Morris International Inc. | 76,108 | 5,332 |
| * | Monster Beverage Corp. | 65,123 | 4,514 |
| | Kimberly-Clark Corp. | 30,521 | 4,314 |
| | Constellation Brands Inc. Class A | 18,826 | 3,294 |
| | General Mills Inc. | 48,414 | 2,985 |
| | McCormick & Co. Inc. (Non-Voting) | 15,585 | 2,796 |
| | Clorox Co. | 12,303 | 2,699 |
| | McKesson Corp. | 16,504 | 2,532 |
| | Walgreens Boots Alliance Inc. | 58,042 | 2,460 |
| | Church & Dwight Co. Inc. | 30,778 | 2,379 |
| | Kroger Co. | 68,647 | 2,324 |
| | Sysco Corp. | 38,967 | 2,130 |
| | Archer-Daniels-Midland Co. | 51,573 | 2,058 |
| | Corteva Inc. | 75,255 | 2,016 |
| | Brown-Forman Corp. Class B | 30,438 | 1,938 |
| | Hershey Co. | 14,203 | 1,841 |
| | Tyson Foods Inc. Class A | 30,614 | 1,828 |
| * | Herbalife Nutrition Ltd. | 40,333 | 1,814 |
| | Altria Group Inc. | 37,080 | 1,455 |
| | Conagra Brands Inc. | 38,018 | 1,337 |
| | J M Smucker Co. | 11,951 | 1,265 |
| * | Post Holdings Inc. | 12,586 | 1,103 |
| | Hormel Foods Corp. | 22,584 | 1,090 |
| * | Sprouts Farmers Market Inc. | 42,405 | 1,085 |
| * | Hain Celestial Group Inc. | 31,228 | 984 |
| | Lamb Weston Holdings Inc. | 13,101 | 838 |
| | Kellogg Co. | 10,900 | 720 |
| * | Beyond Meat Inc. | 5,042 | 676 |
| * | US Foods Holding Corp. | 34,022 | 671 |
| | Reynolds Consumer Products Inc. | 18,900 | 657 |
| * | Grocery Outlet Holding Corp. | 15,700 | 641 |
| | Brown-Forman Corp. Class A | 10,274 | 591 |
| | Ingredion Inc. | 6,341 | 526 |
| | Keurig Dr Pepper Inc. | 18,165 | 516 |
| | Casey's General Stores Inc. | 3,314 | 495 |
| | Energizer Holdings Inc. | 9,717 | 461 |
| | Seaboard Corp. | 142 | 417 |
| | Molson Coors Beverage Co. Class B | 12,000 | 412 |
| | Campbell Soup Co. | 7,400 | 367 |
| | Kraft Heinz Co. | 8,459 | 270 |
| | | | | Shares | Market
Value•
($000) |
| * | TreeHouse Foods Inc. | 5,369 | 235 |
| * | Pilgrim's Pride Corp. | 4,627 | 78 |
| | | | | | 151,586 |
| Energy (1.2%) |
| | Chevron Corp. | 154,599 | 13,795 |
| | Exxon Mobil Corp. | 267,636 | 11,969 |
| | ConocoPhillips | 95,512 | 4,013 |
| | Phillips 66 | 38,775 | 2,788 |
| | Pioneer Natural Resources Co. | 28,475 | 2,782 |
| | Valero Energy Corp. | 36,858 | 2,168 |
| | Concho Resources Inc. | 37,977 | 1,956 |
| | Marathon Petroleum Corp. | 50,658 | 1,894 |
| | Hess Corp. | 35,279 | 1,828 |
| | EOG Resources Inc. | 35,756 | 1,811 |
| | Kinder Morgan Inc. | 115,247 | 1,748 |
| | Occidental Petroleum Corp. | 88,690 | 1,623 |
| | Helmerich & Payne Inc. | 80,927 | 1,579 |
| | Patterson-UTI Energy Inc. | 412,579 | 1,432 |
| | Continental Resources Inc. | 78,688 | 1,379 |
| * | Cheniere Energy Inc. | 24,047 | 1,162 |
| | National Oilwell Varco Inc. | 93,672 | 1,148 |
| * | ChampionX Corp. | 103,509 | 1,010 |
| | Baker Hughes Co. Class A | 63,647 | 980 |
| | Schlumberger Ltd. | 50,000 | 920 |
| * | First Solar Inc. | 17,966 | 889 |
| | Halliburton Co. | 67,130 | 871 |
| | Cabot Oil & Gas Corp. | 50,290 | 864 |
| | Diamondback Energy Inc. | 20,165 | 843 |
| * | Antero Resources Corp. | 288,200 | 732 |
| | EQT Corp. | 60,869 | 724 |
| | Williams Cos. Inc. | 35,300 | 671 |
| | Marathon Oil Corp. | 95,031 | 582 |
| | Range Resources Corp. | 99,510 | 560 |
| * | Transocean Ltd. | 297,403 | 544 |
| * | WPX Energy Inc. | 82,337 | 525 |
| | HollyFrontier Corp. | 16,092 | 470 |
| | Cimarex Energy Co. | 15,125 | 416 |
| * | Centennial Resource Development Inc. Class A | 388,600 | 346 |
| | Valvoline Inc. | 17,015 | 329 |
| | PBF Energy Inc. Class A | 13,590 | 139 |
| | Noble Energy Inc. | 13,572 | 122 |
| | Kosmos Energy Ltd. | 61,217 | 102 |
| | Devon Energy Corp. | 8,854 | 100 |
| | | | | | 67,814 |
| Financial Services (8.4%) |
| * | Berkshire Hathaway Inc. Class B | 211,005 | 37,667 |
| | Visa Inc. Class A | 167,696 | 32,394 |
| | JPMorgan Chase & Co. | 312,486 | 29,392 |
| | Mastercard Inc. Class A | 87,886 | 25,988 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| * | PayPal Holdings Inc. | 126,894 | 22,109 |
| | Bank of America Corp. | 797,988 | 18,952 |
| | American Tower Corp. | 52,098 | 13,469 |
| | Citigroup Inc. | 188,000 | 9,607 |
| | S&P Global Inc. | 26,017 | 8,572 |
| | Prologis Inc. | 84,344 | 7,872 |
| | Fidelity National Information Services Inc. | 56,184 | 7,534 |
| * | Fiserv Inc. | 71,839 | 7,013 |
| | Crown Castle International Corp. | 41,238 | 6,901 |
| | Equinix Inc. | 9,549 | 6,706 |
| | American Express Co. | 68,922 | 6,561 |
| | Goldman Sachs Group Inc. | 32,239 | 6,371 |
| | Wells Fargo & Co. | 242,515 | 6,208 |
| | BlackRock Inc. | 10,561 | 5,746 |
| | Global Payments Inc. | 32,231 | 5,467 |
| | SBA Communications Corp. Class A | 18,289 | 5,449 |
| | Marsh & McLennan Cos. Inc. | 49,821 | 5,349 |
| | Aon plc Class A | 27,728 | 5,340 |
| | Morgan Stanley | 108,719 | 5,251 |
| | Progressive Corp. | 64,645 | 5,179 |
| | CME Group Inc. | 31,670 | 5,148 |
| | Chubb Ltd. | 39,599 | 5,014 |
| | Intercontinental Exchange Inc. | 50,126 | 4,592 |
| | Moody's Corp. | 16,498 | 4,532 |
| | Truist Financial Corp. | 115,724 | 4,345 |
| * | Square Inc. Class A | 39,008 | 4,093 |
| | US Bancorp | 110,423 | 4,066 |
| | PNC Financial Services Group Inc. | 37,095 | 3,903 |
| | Equity Commonwealth | 117,742 | 3,791 |
| | Charles Schwab Corp. | 110,316 | 3,722 |
| | MFA Financial Inc. | 1,417,755 | 3,530 |
| | Digital Realty Trust Inc. | 24,538 | 3,487 |
| | First Republic Bank | 31,731 | 3,363 |
| | Allstate Corp. | 29,585 | 2,869 |
| | Equity Residential | 47,597 | 2,800 |
| | MSCI Inc. Class A | 8,302 | 2,771 |
| * | FleetCor Technologies Inc. | 10,688 | 2,688 |
| | Bank of New York Mellon Corp. | 67,629 | 2,614 |
| | Public Storage | 13,356 | 2,563 |
| * | Markel Corp. | 2,757 | 2,545 |
| * | CBRE Group Inc. Class A | 55,232 | 2,498 |
| | Capital One Financial Corp. | 39,892 | 2,497 |
| | Travelers Cos. Inc. | 20,181 | 2,302 |
| * | SVB Financial Group | 10,656 | 2,297 |
| | Aflac Inc. | 63,747 | 2,297 |
| * | Arch Capital Group Ltd. | 79,375 | 2,274 |
| | Equifax Inc. | 13,223 | 2,273 |
| | Willis Towers Watson plc | 11,000 | 2,166 |
| | | | | Shares | Market
Value•
($000) |
| | AvalonBay Communities Inc. | 13,712 | 2,120 |
| | American Homes 4 Rent Class A | 76,425 | 2,056 |
| | MetLife Inc. | 50,516 | 1,845 |
| | W R Berkley Corp. | 31,749 | 1,819 |
| | CIT Group Inc. | 83,892 | 1,739 |
| | TransUnion | 19,883 | 1,731 |
| | Alleghany Corp. | 3,533 | 1,728 |
| | State Street Corp. | 26,969 | 1,714 |
| | E*TRADE Financial Corp. | 32,518 | 1,617 |
| | First Citizens BancShares Inc. Class A | 3,920 | 1,588 |
| | FactSet Research Systems Inc. | 4,736 | 1,556 |
| | Loews Corp. | 43,900 | 1,505 |
| | T. Rowe Price Group Inc. | 12,074 | 1,491 |
| | Alexandria Real Estate Equities Inc. | 9,176 | 1,489 |
| | Essex Property Trust Inc. | 6,480 | 1,485 |
| | Ameriprise Financial Inc. | 9,883 | 1,483 |
| | Boston Properties Inc. | 16,390 | 1,481 |
| | Realty Income Corp. | 24,100 | 1,434 |
| | American International Group Inc. | 44,900 | 1,400 |
| | Equity LifeStyle Properties Inc. | 22,346 | 1,396 |
| | Welltower Inc. | 26,763 | 1,385 |
| | MarketAxess Holdings Inc. | 2,731 | 1,368 |
| | Discover Financial Services | 26,165 | 1,311 |
| | Hartford Financial Services Group Inc. | 33,742 | 1,301 |
| | Synchrony Financial | 57,247 | 1,269 |
| | Invitation Homes Inc. | 45,962 | 1,265 |
| | Extra Space Storage Inc. | 13,300 | 1,229 |
| | Mid-America Apartment Communities Inc. | 10,257 | 1,176 |
| | Prudential Financial Inc. | 19,312 | 1,176 |
| | Western Alliance Bancorp | 30,847 | 1,168 |
| | Globe Life Inc. | 15,679 | 1,164 |
| | Arthur J Gallagher & Co. | 11,897 | 1,160 |
| * | Athene Holding Ltd. Class A | 35,340 | 1,102 |
| * | Zillow Group Inc. Class C | 18,791 | 1,083 |
| | RenaissanceRe Holdings Ltd. | 6,293 | 1,076 |
| | Brown & Brown Inc. | 26,238 | 1,069 |
| | Voya Financial Inc. | 22,512 | 1,050 |
| | Zions Bancorp NA | 30,699 | 1,044 |
| | Northern Trust Corp. | 13,089 | 1,038 |
| | Fifth Third Bancorp | 53,575 | 1,033 |
| | Sun Communities Inc. | 7,598 | 1,031 |
| | Camden Property Trust | 10,700 | 976 |
| | Nasdaq Inc. | 8,023 | 959 |
| | Duke Realty Corp. | 26,790 | 948 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| * | Credit Acceptance Corp. | 2,261 | 947 |
| | Weyerhaeuser Co. | 39,846 | 895 |
| | Broadridge Financial Solutions Inc. | 7,031 | 887 |
| | JBG SMITH Properties | 29,944 | 885 |
| | East West Bancorp Inc. | 23,855 | 865 |
| | Healthpeak Properties Inc. | 30,867 | 851 |
| | TD Ameritrade Holding Corp. | 21,947 | 798 |
| | Citizens Financial Group Inc. | 31,243 | 789 |
| | Raymond James Financial Inc. | 11,434 | 787 |
| | Jack Henry & Associates Inc. | 4,132 | 760 |
| | Regions Financial Corp. | 66,902 | 744 |
| | Cboe Global Markets Inc. | 7,925 | 739 |
| | Douglas Emmett Inc. | 24,033 | 737 |
| | M&T Bank Corp. | 7,068 | 735 |
| * | WEX Inc. | 4,455 | 735 |
| | Kilroy Realty Corp. | 12,189 | 715 |
| | Lincoln National Corp. | 19,230 | 707 |
| * | Brighthouse Financial Inc. | 25,308 | 704 |
| | Hanover Insurance Group Inc. | 6,939 | 703 |
| | Commerce Bancshares Inc. | 11,755 | 699 |
| | Apartment Investment & Management Co. Class A | 18,481 | 696 |
| | KeyCorp | 57,018 | 694 |
| | Reinsurance Group of America Inc. | 8,395 | 659 |
| | Host Hotels & Resorts Inc. | 59,899 | 646 |
| | Federal Realty Investment Trust | 7,319 | 624 |
| | Assurant Inc. | 5,942 | 614 |
| | UDR Inc. | 16,282 | 609 |
| * | Fair Isaac Corp. | 1,440 | 602 |
| | Macerich Co. | 67,059 | 602 |
| | WP Carey Inc. | 8,400 | 568 |
| | Everest Re Group Ltd. | 2,700 | 557 |
| | CyrusOne Inc. | 7,600 | 553 |
| | SEI Investments Co. | 9,913 | 545 |
| | Cincinnati Financial Corp. | 8,401 | 538 |
| | TCF Financial Corp. | 18,227 | 536 |
| | Jones Lang LaSalle Inc. | 5,012 | 519 |
| | Ally Financial Inc. | 26,054 | 517 |
| | Popular Inc. | 13,575 | 505 |
| | Lamar Advertising Co. Class A | 7,467 | 498 |
| | MGIC Investment Corp. | 58,732 | 481 |
| | Ventas Inc. | 13,100 | 480 |
| | Sterling Bancorp | 40,373 | 473 |
| | CoreLogic Inc. | 6,976 | 469 |
| | Associated Banc-Corp | 34,076 | 466 |
| | Vornado Realty Trust | 11,900 | 455 |
| | | | | Shares | Market
Value•
($000) |
| | White Mountains Insurance Group Ltd. | 498 | 442 |
| | Santander Consumer USA Holdings Inc. | 23,585 | 434 |
| * | Howard Hughes Corp. | 7,953 | 413 |
| | Jefferies Financial Group Inc. | 24,363 | 379 |
| | CoreSite Realty Corp. | 3,037 | 368 |
| | Signature Bank | 3,269 | 350 |
| | Corporate Office Properties Trust | 13,745 | 348 |
| | Regency Centers Corp. | 7,419 | 340 |
| | Old Republic International Corp. | 19,901 | 325 |
| | Assured Guaranty Ltd. | 13,303 | 325 |
| | Americold Realty Trust | 8,862 | 322 |
| | LPL Financial Holdings Inc. | 4,000 | 314 |
| | SL Green Realty Corp. | 6,259 | 309 |
| | Kemper Corp. | 4,002 | 290 |
| | American Financial Group Inc. | 4,520 | 287 |
| | CNA Financial Corp. | 8,694 | 280 |
| | OneMain Holdings Inc. | 11,211 | 275 |
| | Hudson Pacific Properties Inc. | 10,657 | 268 |
| | Morningstar Inc. | 1,882 | 265 |
| * | LendingTree Inc. | 900 | 261 |
| | Primerica Inc. | 2,200 | 257 |
| | Cousins Properties Inc. | 8,544 | 255 |
| | VICI Properties Inc. | 12,500 | 252 |
| | CubeSmart | 9,280 | 250 |
| * | Euronet Worldwide Inc. | 2,592 | 248 |
| | American Campus Communities Inc. | 7,070 | 247 |
| | BOK Financial Corp. | 4,040 | 228 |
| | Unum Group | 12,827 | 213 |
| * | Zillow Group Inc. Class A | 3,647 | 210 |
| | National Retail Properties Inc. | 5,800 | 206 |
| | Medical Properties Trust Inc. | 10,779 | 203 |
| | BankUnited Inc. | 10,000 | 202 |
| | Interactive Brokers Group Inc. Class A | 4,420 | 185 |
| | Equitable Holdings Inc. | 9,264 | 179 |
| | Pinnacle Financial Partners Inc. | 4,195 | 176 |
| | Healthcare Trust of America Inc. Class A | 6,500 | 172 |
| | Colony Capital Inc. | 71,040 | 170 |
| | Erie Indemnity Co. Class A | 872 | 167 |
| | Cullen/Frost Bankers Inc. | 2,048 | 153 |
| | Bank OZK | 6,200 | 146 |
| | Affiliated Managers Group Inc. | 1,882 | 140 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | New York Community Bancorp Inc. | 13,102 | 134 |
| | Synovus Financial Corp. | 6,525 | 134 |
| | People's United Financial Inc. | 10,975 | 127 |
| | Service Properties Trust | 17,879 | 127 |
| | Rayonier Inc. | 5,100 | 126 |
| | STORE Capital Corp. Class A | 4,945 | 118 |
| | Alliance Data Systems Corp. | 2,601 | 117 |
| | Navient Corp. | 15,873 | 112 |
| | Columbia Property Trust Inc. | 7,976 | 105 |
| | Axis Capital Holdings Ltd. | 2,600 | 105 |
| | Webster Financial Corp. | 3,254 | 93 |
| * | Texas Capital Bancshares Inc. | 2,600 | 80 |
| | Highwoods Properties Inc. | 1,638 | 61 |
| | SLM Corp. | 6,800 | 48 |
| | First Horizon National Corp. | 3,430 | 34 |
| | Franklin Resources Inc. | 1,525 | 32 |
| | Life Storage Inc. | 342 | 32 |
| | Prosperity Bancshares Inc. | 487 | 29 |
| | Brandywine Realty Trust | 2,600 | 28 |
| | Bank of Hawaii Corp. | 332 | 20 |
| | | | | | 484,299 |
| Health Care (6.5%) |
| | Johnson & Johnson | 254,021 | 35,723 |
| | UnitedHealth Group Inc. | 93,984 | 27,721 |
| | Merck & Co. Inc. | 236,250 | 18,269 |
| | Pfizer Inc. | 521,170 | 17,042 |
| | Thermo Fisher Scientific Inc. | 42,487 | 15,395 |
| | Abbott Laboratories | 164,134 | 15,007 |
| | Eli Lilly & Co. | 82,098 | 13,479 |
| | AbbVie Inc. | 127,835 | 12,551 |
| | Amgen Inc. | 52,569 | 12,399 |
| | Danaher Corp. | 65,315 | 11,550 |
| | Medtronic plc | 124,610 | 11,427 |
| | Gilead Sciences Inc. | 116,048 | 8,929 |
| | Cigna Corp. | 43,129 | 8,093 |
| | Bristol-Myers Squibb Co. | 134,884 | 7,931 |
| | Zoetis Inc. Class A | 52,768 | 7,231 |
| | Anthem Inc. | 27,291 | 7,177 |
| * | Intuitive Surgical Inc. | 12,578 | 7,167 |
| * | Vertex Pharmaceuticals Inc. | 23,758 | 6,897 |
| | Stryker Corp. | 31,875 | 5,744 |
| | Humana Inc. | 13,882 | 5,383 |
| * | Illumina Inc. | 14,310 | 5,300 |
| * | Regeneron Pharmaceuticals Inc. | 8,203 | 5,116 |
| * | Biogen Inc. | 17,802 | 4,763 |
| | Becton Dickinson and Co. | 19,512 | 4,669 |
| | | | | Shares | Market
Value•
($000) |
| * | Edwards Lifesciences Corp. | 66,235 | 4,577 |
| * | Boston Scientific Corp. | 125,265 | 4,398 |
| | Baxter International Inc. | 47,401 | 4,081 |
| * | IDEXX Laboratories Inc. | 12,149 | 4,011 |
| * | IQVIA Holdings Inc. | 23,886 | 3,389 |
| * | DexCom Inc. | 7,279 | 2,951 |
| * | Laboratory Corp. of America Holdings | 16,697 | 2,774 |
| | HCA Healthcare Inc. | 27,987 | 2,716 |
| | Agilent Technologies Inc. | 29,707 | 2,625 |
| * | BioMarin Pharmaceutical Inc. | 20,670 | 2,549 |
| * | Alexion Pharmaceuticals Inc. | 20,731 | 2,327 |
| * | Align Technology Inc. | 8,178 | 2,244 |
| * | Centene Corp. | 35,172 | 2,235 |
| | ResMed Inc. | 11,300 | 2,170 |
| | Zimmer Biomet Holdings Inc. | 18,070 | 2,157 |
| * | Veeva Systems Inc. Class A | 8,933 | 2,094 |
| * | Catalent Inc. | 27,491 | 2,015 |
| * | Henry Schein Inc. | 34,022 | 1,987 |
| * | Incyte Corp. | 17,669 | 1,837 |
| * | Seattle Genetics Inc. | 10,763 | 1,829 |
| * | Varian Medical Systems Inc. | 14,648 | 1,795 |
| * | Hologic Inc. | 29,853 | 1,702 |
| * | Moderna Inc. | 24,203 | 1,554 |
| | Quest Diagnostics Inc. | 12,819 | 1,461 |
| | Cooper Cos. Inc. | 5,137 | 1,457 |
| * | Bio-Rad Laboratories Inc. Class A | 3,202 | 1,446 |
| | Teleflex Inc. | 3,932 | 1,431 |
| | AmerisourceBergen Corp. Class A | 14,106 | 1,421 |
| * | Charles River Laboratories International Inc. | 8,059 | 1,405 |
| * | DaVita Inc. | 17,119 | 1,355 |
| | PerkinElmer Inc. | 13,223 | 1,297 |
| | Bio-Techne Corp. | 4,831 | 1,276 |
| * | Molina Healthcare Inc. | 7,010 | 1,248 |
| * | Elanco Animal Health Inc. | 57,526 | 1,234 |
| * | Exact Sciences Corp. | 14,019 | 1,219 |
| * | Alnylam Pharmaceuticals Inc. | 7,820 | 1,158 |
| * | Mylan NV | 70,535 | 1,134 |
| * | Masimo Corp. | 4,949 | 1,128 |
| * | Neurocrine Biosciences Inc. | 9,164 | 1,118 |
| * | ABIOMED Inc. | 4,438 | 1,072 |
| * | Jazz Pharmaceuticals plc | 9,574 | 1,056 |
| * | Sarepta Therapeutics Inc. | 6,283 | 1,007 |
| * | QIAGEN NV | 23,457 | 1,004 |
| * | Horizon Therapeutics plc | 17,602 | 978 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | Hill-Rom Holdings Inc. | 8,722 | 957 |
| | DENTSPLY SIRONA Inc. | 21,691 | 956 |
| | West Pharmaceutical Services Inc. | 4,202 | 955 |
| | Universal Health Services Inc. Class B | 10,172 | 945 |
| * | Ionis Pharmaceuticals Inc. | 15,847 | 934 |
| * | United Therapeutics Corp. | 7,193 | 870 |
| | Perrigo Co. plc | 13,878 | 767 |
| * | Penumbra Inc. | 4,163 | 744 |
| | Chemed Corp. | 1,615 | 728 |
| * | Nektar Therapeutics Class A | 31,032 | 719 |
| * | Acadia Healthcare Co. Inc. | 28,332 | 712 |
| * | Insulet Corp. | 3,622 | 704 |
| * | Exelixis Inc. | 27,903 | 662 |
| | STERIS plc | 4,001 | 614 |
| | Cerner Corp. | 8,193 | 562 |
| * | PRA Health Sciences Inc. | 5,749 | 559 |
| * | Premier Inc. Class A | 12,944 | 444 |
| * | PPD Inc. | 16,500 | 442 |
| | Cardinal Health Inc. | 8,345 | 435 |
| * | Envista Holdings Corp. | 15,820 | 334 |
| * | Adaptive Biotechnologies Corp. | 6,500 | 314 |
| * | Integra LifeSciences Holdings Corp. | 4,847 | 228 |
| * | Guardant Health Inc. | 2,409 | 195 |
| * | Avantor Inc. | 10,252 | 174 |
| * | ICU Medical Inc. | 888 | 164 |
| | Encompass Health Corp. | 2,416 | 150 |
| * | Change Healthcare Inc. | 12,066 | 135 |
| * | Alkermes plc | 6,200 | 120 |
| * | Bluebird Bio Inc. | 1,600 | 98 |
| | Bruker Corp. | 1,500 | 61 |
| | | | | | 376,567 |
| Materials & Processing (1.4%) |
| | Linde plc | 52,529 | 11,142 |
| | Ecolab Inc. | 32,303 | 6,427 |
| | Sherwin-Williams Co. | 9,714 | 5,613 |
| | Newmont Corp. | 79,841 | 4,929 |
| | Air Products & Chemicals Inc. | 19,099 | 4,612 |
| | Vulcan Materials Co. | 25,110 | 2,909 |
| | Martin Marietta Materials Inc. | 13,819 | 2,855 |
| | Ball Corp. | 37,125 | 2,580 |
| | PPG Industries Inc. | 22,949 | 2,434 |
| * | Berry Global Group Inc. | 43,393 | 1,923 |
| | Trane Technologies plc | 21,310 | 1,896 |
| | Freeport-McMoRan Inc. | 141,389 | 1,636 |
| * | Crown Holdings Inc. | 24,761 | 1,613 |
| | Eagle Materials Inc. | 21,050 | 1,478 |
| | Dow Inc. | 36,222 | 1,476 |
| * | Element Solutions Inc. | 128,571 | 1,395 |
| | Masco Corp. | 26,716 | 1,341 |
| | | | | Shares | Market
Value•
($000) |
| | Celanese Corp. Class A | 14,628 | 1,263 |
| | A O Smith Corp. | 25,732 | 1,212 |
| | Lennox International Inc. | 4,681 | 1,091 |
| * | Axalta Coating Systems Ltd. | 48,075 | 1,084 |
| | Fastenal Co. | 21,246 | 910 |
| | FMC Corp. | 9,098 | 906 |
| * | Univar Solutions Inc. | 53,243 | 898 |
| | Acuity Brands Inc. | 9,225 | 883 |
| | Royal Gold Inc. | 7,100 | 883 |
| | Albemarle Corp. | 10,400 | 803 |
| | International Flavors & Fragrances Inc. | 6,430 | 787 |
| | Sealed Air Corp. | 23,960 | 787 |
| * | Alcoa Corp. | 70,035 | 787 |
| | Packaging Corp. of America | 7,644 | 763 |
| | Owens Corning | 13,342 | 744 |
| | Reliance Steel & Aluminum Co. | 6,900 | 655 |
| | Hexcel Corp. | 14,466 | 654 |
| | RPM International Inc. | 8,489 | 637 |
| | Armstrong World Industries Inc. | 8,090 | 631 |
| | AptarGroup Inc. | 5,600 | 627 |
| | Nucor Corp. | 14,843 | 615 |
| | Silgan Holdings Inc. | 18,967 | 614 |
| | Valmont Industries Inc. | 5,396 | 613 |
| | DuPont de Nemours Inc. | 11,449 | 608 |
| | Scotts Miracle-Gro Co. | 4,442 | 597 |
| | Eastman Chemical Co. | 7,819 | 545 |
| | Westlake Chemical Corp. | 9,894 | 531 |
| | Avery Dennison Corp. | 4,600 | 525 |
| | Howmet Aerospace Inc. | 32,466 | 515 |
| | Huntsman Corp. | 27,900 | 501 |
| | CF Industries Holdings Inc. | 16,859 | 474 |
| | United States Steel Corp. | 64,000 | 462 |
| | W R Grace & Co. | 9,045 | 460 |
| | NewMarket Corp. | 1,129 | 452 |
| | Ashland Global Holdings Inc. | 6,198 | 428 |
| | LyondellBasell Industries NV Class A | 5,638 | 371 |
| | Mosaic Co. | 27,468 | 344 |
| | Timken Co. | 5,841 | 266 |
| | Graphic Packaging Holding Co. | 15,800 | 221 |
| | MDU Resources Group Inc. | 9,950 | 221 |
| | O-I Glass Inc. | 21,205 | 190 |
| * | Arconic Corp. | 8,116 | 113 |
| | Steel Dynamics Inc. | 4,100 | 107 |
| | Sonoco Products Co. | 1,300 | 68 |
| | Olin Corp. | 2,682 | 31 |
| | | | | | 83,136 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| Other (0.9%) |
| 1 | Vanguard Tax-Exempt Bond Index ETF | 912,630 | 49,410 |
| Producer Durables (4.0%) |
| | Accenture plc Class A | 58,776 | 12,620 |
| | Union Pacific Corp. | 64,936 | 10,979 |
| | Honeywell International Inc. | 69,897 | 10,106 |
| | Lockheed Martin Corp. | 22,823 | 8,329 |
| | Boeing Co. | 45,418 | 8,325 |
| | 3M Co. | 52,572 | 8,201 |
| | Raytheon Technologies Corp. | 124,121 | 7,648 |
| | United Parcel Service Inc. Class B | 52,034 | 5,785 |
| | Caterpillar Inc. | 45,524 | 5,759 |
| | Roper Technologies Inc. | 14,570 | 5,657 |
| | CSX Corp. | 79,922 | 5,574 |
| | Automatic Data Processing Inc. | 34,645 | 5,158 |
| | Deere & Co. | 32,002 | 5,029 |
| | General Electric Co. | 715,912 | 4,890 |
| | Illinois Tool Works Inc. | 26,375 | 4,612 |
| | Norfolk Southern Corp. | 24,666 | 4,331 |
| | Northrop Grumman Corp. | 13,945 | 4,287 |
| | AMETEK Inc. | 46,011 | 4,112 |
| | Waste Management Inc. | 37,739 | 3,997 |
| | Fortive Corp. | 45,701 | 3,092 |
| | Emerson Electric Co. | 48,290 | 2,995 |
| * | Copart Inc. | 35,413 | 2,949 |
| | TransDigm Group Inc. | 6,585 | 2,911 |
| | FedEx Corp. | 19,930 | 2,795 |
| | Eaton Corp. plc | 31,645 | 2,768 |
| | Cintas Corp. | 10,373 | 2,763 |
| * | CoStar Group Inc. | 3,869 | 2,750 |
| | General Dynamics Corp. | 18,316 | 2,738 |
| * | Mettler-Toledo International Inc. | 3,121 | 2,514 |
| | Rockwell Automation Inc. | 10,862 | 2,314 |
| | Verisk Analytics Inc. Class A | 13,447 | 2,289 |
| * | Keysight Technologies Inc. | 21,308 | 2,147 |
| | Otis Worldwide Corp. | 37,479 | 2,131 |
| | PACCAR Inc. | 28,448 | 2,129 |
| * | Waters Corp. | 11,439 | 2,064 |
| | Southwest Airlines Co. | 57,166 | 1,954 |
| * | Teledyne Technologies Inc. | 6,144 | 1,910 |
| * | United Rentals Inc. | 12,074 | 1,800 |
| | Parker-Hannifin Corp. | 9,302 | 1,705 |
| | Delta Air Lines Inc. | 60,199 | 1,689 |
| | Carrier Global Corp. | 74,958 | 1,666 |
| | IDEX Corp. | 10,462 | 1,653 |
| | Stanley Black & Decker Inc. | 11,796 | 1,644 |
| | Old Dominion Freight Line Inc. | 9,621 | 1,632 |
| | | | | Shares | Market
Value•
($000) |
| | Xylem Inc. | 25,125 | 1,632 |
| | Nordson Corp. | 8,492 | 1,611 |
| * | Sensata Technologies Holding plc | 41,875 | 1,559 |
| * | AECOM | 40,347 | 1,516 |
| | Cummins Inc. | 8,721 | 1,511 |
| | Westinghouse Air Brake Technologies Corp. | 25,695 | 1,479 |
| | Republic Services Inc. Class A | 17,953 | 1,473 |
| * | Zebra Technologies Corp. Class A | 5,716 | 1,463 |
| | Textron Inc. | 44,006 | 1,448 |
| | Jacobs Engineering Group Inc. | 16,458 | 1,396 |
| | HEICO Corp. Class A | 17,003 | 1,381 |
| * | Ingersoll Rand Inc. | 48,482 | 1,363 |
| | Allegion plc | 13,238 | 1,353 |
| * | Trimble Inc. | 30,037 | 1,297 |
| * | Colfax Corp. | 43,790 | 1,222 |
| * | HD Supply Holdings Inc. | 34,428 | 1,193 |
| | Quanta Services Inc. | 30,093 | 1,181 |
| | Kansas City Southern | 7,571 | 1,130 |
| | Huntington Ingalls Industries Inc. | 6,396 | 1,116 |
| | ITT Inc. | 18,189 | 1,068 |
| | JB Hunt Transport Services Inc. | 8,852 | 1,065 |
| | Carlisle Cos. Inc. | 7,633 | 913 |
| | Oshkosh Corp. | 12,558 | 899 |
| * | XPO Logistics Inc. | 11,342 | 876 |
| | Johnson Controls International plc | 25,378 | 866 |
| | Toro Co. | 13,011 | 863 |
| | Dover Corp. | 8,810 | 851 |
| | WW Grainger Inc. | 2,682 | 843 |
| * | Stericycle Inc. | 14,737 | 825 |
| * | Resideo Technologies Inc. | 69,762 | 818 |
| | BWX Technologies Inc. | 14,202 | 804 |
| * | United Airlines Holdings Inc. | 22,790 | 789 |
| | AGCO Corp. | 13,710 | 760 |
| | FLIR Systems Inc. | 18,391 | 746 |
| * | Clean Harbors Inc. | 12,405 | 744 |
| | Landstar System Inc. | 6,235 | 700 |
| * | Gates Industrial Corp. plc | 65,502 | 673 |
| | Knight-Swift Transportation Holdings Inc. Class A | 14,300 | 596 |
| | Donaldson Co. Inc. | 12,229 | 569 |
| | Booz Allen Hamilton Holding Corp. Class A | 6,943 | 540 |
| * | Middleby Corp. | 6,734 | 532 |
| | Air Lease Corp. Class A | 15,591 | 457 |
| | Expeditors International of Washington Inc. | 5,586 | 425 |
| * | Kirby Corp. | 7,930 | 425 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | CH Robinson Worldwide Inc. | 5,311 | 420 |
| | Flowserve Corp. | 14,313 | 408 |
| | Trinity Industries Inc. | 19,100 | 407 |
| | Regal Beloit Corp. | 4,625 | 404 |
| | Genpact Ltd. | 11,065 | 404 |
| | Spirit AeroSystems Holdings Inc. Class A | 16,311 | 391 |
| | Pentair plc | 10,087 | 383 |
| * | JetBlue Airways Corp. | 29,634 | 323 |
| | Schneider National Inc. Class B | 13,062 | 322 |
| | Lincoln Electric Holdings Inc. | 3,765 | 317 |
| | Snap-on Inc. | 2,097 | 290 |
| | Littelfuse Inc. | 1,673 | 285 |
| | Robert Half International Inc. | 5,000 | 264 |
| | Xerox Holdings Corp. | 16,018 | 245 |
| | Graco Inc. | 4,912 | 236 |
| | ADT Inc. | 28,622 | 228 |
| | Curtiss-Wright Corp. | 2,405 | 215 |
| * | Paylocity Holding Corp. | 1,300 | 190 |
| | nVent Electric plc | 10,087 | 189 |
| * | WESCO International Inc. | 4,845 | 170 |
| | ManpowerGroup Inc. | 2,450 | 168 |
| | Allison Transmission Holdings Inc. | 4,157 | 153 |
| | Hubbell Inc. Class B | 1,100 | 138 |
| | Crane Co. | 2,097 | 125 |
| | HEICO Corp. | 1,087 | 108 |
| | National Instruments Corp. | 2,211 | 86 |
| | Copa Holdings SA Class A | 1,462 | 74 |
| | | | | | 234,315 |
| Technology (13.4%) |
| | Apple Inc. | 419,600 | 153,070 |
| | Microsoft Corp. | 743,404 | 151,290 |
| * | Facebook Inc. Class A | 242,543 | 55,074 |
| * | Alphabet Inc. Class A | 34,802 | 49,351 |
| * | Alphabet Inc. Class C | 25,264 | 35,713 |
| | Intel Corp. | 408,256 | 24,426 |
| | NVIDIA Corp. | 59,515 | 22,610 |
| * | Adobe Inc. | 49,218 | 21,425 |
| | Cisco Systems Inc. | 392,433 | 18,303 |
| * | salesforce.com Inc. | 77,576 | 14,532 |
| | Oracle Corp. | 199,237 | 11,012 |
| | Broadcom Inc. | 32,749 | 10,336 |
| | Texas Instruments Inc. | 78,992 | 10,030 |
| | QUALCOMM Inc. | 108,410 | 9,888 |
| | International Business Machines Corp. | 62,975 | 7,606 |
| | Intuit Inc. | 25,152 | 7,450 |
| * | ServiceNow Inc. | 17,885 | 7,245 |
| * | Micron Technology Inc. | 127,810 | 6,585 |
| * | Autodesk Inc. | 23,262 | 5,564 |
| | | | | Shares | Market
Value•
($000) |
| | Applied Materials Inc. | 90,715 | 5,484 |
| * | Advanced Micro Devices Inc. | 103,623 | 5,452 |
| | Activision Blizzard Inc. | 69,615 | 5,284 |
| | Lam Research Corp. | 13,149 | 4,253 |
| | Analog Devices Inc. | 33,550 | 4,115 |
| * | VeriSign Inc. | 18,421 | 3,810 |
| * | Workday Inc. Class A | 18,747 | 3,512 |
| | IHS Markit Ltd. | 44,814 | 3,383 |
| * | Synopsys Inc. | 17,230 | 3,360 |
| * | Cadence Design Systems Inc. | 33,815 | 3,245 |
| | Amphenol Corp. Class A | 32,780 | 3,141 |
| * | Electronic Arts Inc. | 23,473 | 3,100 |
| * | Splunk Inc. | 14,814 | 2,944 |
| | Cognizant Technology Solutions Corp. Class A | 50,218 | 2,853 |
| | Xilinx Inc. | 28,929 | 2,846 |
| | L3Harris Technologies Inc. | 16,506 | 2,801 |
| * | Twilio Inc. Class A | 12,330 | 2,705 |
| * | Okta Inc. Class A | 13,316 | 2,666 |
| * | IAC/interactivecorp | 8,045 | 2,602 |
| * | DocuSign Inc. Class A | 14,425 | 2,484 |
| | HP Inc. | 128,673 | 2,243 |
| * | Twitter Inc. | 74,635 | 2,223 |
| * | Atlassian Corp. plc Class A | 12,259 | 2,210 |
| | Marvell Technology Group Ltd. | 62,986 | 2,208 |
| | Skyworks Solutions Inc. | 17,100 | 2,186 |
| | Motorola Solutions Inc. | 15,378 | 2,155 |
| * | ANSYS Inc. | 7,369 | 2,150 |
| | Microchip Technology Inc. | 20,270 | 2,135 |
| * | VMware Inc. Class A | 13,033 | 2,018 |
| * | Akamai Technologies Inc. | 17,101 | 1,831 |
| | KLA Corp. | 9,317 | 1,812 |
| * | Zoom Video Communications Inc. Class A | 7,000 | 1,775 |
| | Corning Inc. | 68,131 | 1,765 |
| * | Arista Networks Inc. | 8,376 | 1,759 |
| * | Gartner Inc. | 14,125 | 1,714 |
| * | F5 Networks Inc. | 11,998 | 1,673 |
| * | Fortinet Inc. | 12,162 | 1,669 |
| | Teradyne Inc. | 19,532 | 1,651 |
| * | Dell Technologies Inc. Class C | 28,164 | 1,547 |
| * | Black Knight Inc. | 20,612 | 1,496 |
| | Citrix Systems Inc. | 9,859 | 1,458 |
| * | GoDaddy Inc. Class A | 19,883 | 1,458 |
| * | ON Semiconductor Corp. | 72,209 | 1,431 |
| * | RingCentral Inc. Class A | 4,984 | 1,420 |
| * | Paycom Software Inc. | 4,263 | 1,320 |
| * | Arrow Electronics Inc. | 18,706 | 1,285 |
| | Hewlett Packard Enterprise Co. | 129,829 | 1,263 |
| * | Qorvo Inc. | 11,320 | 1,251 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | CDW Corp. | 10,109 | 1,174 |
| * | Take-Two Interactive Software Inc. | 8,365 | 1,168 |
| * | Cree Inc. | 18,851 | 1,116 |
| * | Match Group Inc. | 10,228 | 1,095 |
| * | Ceridian HCM Holding Inc. | 12,978 | 1,029 |
| * | Tyler Technologies Inc. | 2,891 | 1,003 |
| * | Coupa Software Inc. | 3,519 | 975 |
| * | Palo Alto Networks Inc. | 4,128 | 948 |
| | MKS Instruments Inc. | 7,915 | 896 |
| | Western Digital Corp. | 20,174 | 891 |
| | Cognex Corp. | 14,825 | 885 |
| * | EPAM Systems Inc. | 3,426 | 863 |
| * | IPG Photonics Corp. | 5,229 | 839 |
| | SS&C Technologies Holdings Inc. | 14,800 | 836 |
| * | Ciena Corp. | 15,379 | 833 |
| * | PTC Inc. | 10,690 | 832 |
| * | Guidewire Software Inc. | 7,046 | 781 |
| * | Nuance Communications Inc. | 29,403 | 744 |
| * | EchoStar Corp. Class A | 26,412 | 738 |
| * | MongoDB Inc. Class A | 2,994 | 678 |
| * | Zendesk Inc. | 7,476 | 662 |
| * | Grubhub Inc. | 9,200 | 647 |
| | Universal Display Corp. | 4,186 | 626 |
| * | Manhattan Associates Inc. | 6,606 | 622 |
| | Dolby Laboratories Inc. Class A | 8,275 | 545 |
| * | Zscaler Inc. | 4,818 | 528 |
| * | SolarWinds Corp. | 29,740 | 526 |
| | Monolithic Power Systems Inc. | 2,200 | 521 |
| * | Aspen Technology Inc. | 4,878 | 505 |
| | Leidos Holdings Inc. | 5,350 | 501 |
| * | ViaSat Inc. | 13,026 | 500 |
| * | Covetrus Inc. | 27,767 | 497 |
| * | Pure Storage Inc. Class A | 28,105 | 487 |
| * | Teradata Corp. | 23,230 | 483 |
| | NortonLifeLock Inc. | 24,339 | 483 |
| * | Nutanix Inc. Class A | 19,512 | 463 |
| | Avnet Inc. | 14,900 | 415 |
| * | CommScope Holding Co. Inc. | 49,123 | 409 |
| | DXC Technology Co. | 24,266 | 400 |
| | NetApp Inc. | 8,971 | 398 |
| * | NCR Corp. | 22,350 | 387 |
| * | Dropbox Inc. Class A | 15,760 | 343 |
| * | Coherent Inc. | 2,590 | 339 |
| * | Elastic NV | 3,518 | 324 |
| * | New Relic Inc. | 4,500 | 310 |
| * | Zynga Inc. Class A | 32,100 | 306 |
| | CDK Global Inc. | 6,769 | 280 |
| * | RealPage Inc. | 4,180 | 272 |
| * | Pluralsight Inc. Class A | 15,043 | 272 |
| | Jabil Inc. | 8,300 | 266 |
| | | | | Shares | Market
Value•
($000) |
| * | Cerence Inc. | 6,400 | 261 |
| | Ubiquiti Inc. | 1,484 | 259 |
| * | Avalara Inc. | 1,751 | 233 |
| * | PagerDuty Inc. | 7,408 | 212 |
| | SYNNEX Corp. | 1,700 | 204 |
| | Entegris Inc. | 3,200 | 189 |
| * | HubSpot Inc. | 820 | 184 |
| * | Dynatrace Inc. | 4,521 | 184 |
| * | Alteryx Inc. Class A | 1,112 | 183 |
| * | Proofpoint Inc. | 1,600 | 178 |
| * | CACI International Inc. Class A | 800 | 174 |
| * | Smartsheet Inc. Class A | 3,300 | 168 |
| | Pegasystems Inc. | 1,468 | 149 |
| | Amdocs Ltd. | 2,400 | 146 |
| * | Medallia Inc. | 5,374 | 136 |
| * | Groupon Inc. Class A | 4,682 | 85 |
| | Switch Inc. Class A | 4,583 | 82 |
| * | FireEye Inc. | 4,671 | 57 |
| * | ZoomInfo Technologies Inc. Class A | 145 | 7 |
| | | | | | 775,388 |
| Utilities (2.2%) |
| | Verizon Communications Inc. | 381,414 | 21,027 |
| | AT&T Inc. | 513,451 | 15,522 |
| | NextEra Energy Inc. | 53,361 | 12,816 |
| * | T-Mobile US Inc. | 62,892 | 6,550 |
| | Duke Energy Corp. | 71,856 | 5,741 |
| | Dominion Energy Inc. | 66,897 | 5,431 |
| | Southern Co. | 98,416 | 5,103 |
| | American Water Works Co. Inc. | 36,290 | 4,669 |
| | Sempra Energy | 32,068 | 3,759 |
| | American Electric Power Co. Inc. | 45,700 | 3,640 |
| | Xcel Energy Inc. | 57,556 | 3,597 |
| | Exelon Corp. | 84,901 | 3,081 |
| | Public Service Enterprise Group Inc. | 58,108 | 2,857 |
| | WEC Energy Group Inc. | 31,780 | 2,785 |
| | Eversource Energy | 31,044 | 2,585 |
| | NRG Energy Inc. | 67,600 | 2,201 |
| | Consolidated Edison Inc. | 29,572 | 2,127 |
| | CMS Energy Corp. | 32,004 | 1,870 |
| | DTE Energy Co. | 17,175 | 1,846 |
| * | GCI Liberty Inc. Class A | 25,555 | 1,817 |
| | Atmos Energy Corp. | 16,936 | 1,686 |
| | Ameren Corp. | 21,857 | 1,538 |
| | Edison International | 28,046 | 1,523 |
| | FirstEnergy Corp. | 38,600 | 1,497 |
| | Essential Utilities Inc. | 34,341 | 1,451 |
| | Evergy Inc. | 19,735 | 1,170 |
| | Alliant Energy Corp. | 24,226 | 1,159 |
| | Entergy Corp. | 11,483 | 1,077 |
Tax-Managed Balanced Fund
| | | | | Shares | Market
Value•
($000) |
| | Vistra Energy Corp. | 56,611 | 1,054 |
| | NiSource Inc. | 42,649 | 970 |
| | PPL Corp. | 32,608 | 843 |
| | AES Corp. | 53,469 | 775 |
| | UGI Corp. | 23,961 | 762 |
| | OGE Energy Corp. | 19,986 | 607 |
| * | United States Cellular Corp. | 16,317 | 504 |
| | CenterPoint Energy Inc. | 26,000 | 485 |
| | Pinnacle West Capital Corp. | 5,958 | 437 |
| | Avangrid Inc. | 6,937 | 291 |
| | Telephone & Data Systems Inc. | 14,435 | 287 |
| | | | | Shares | Market
Value•
($000) |
| * | PG&E Corp. | 21,198 | 188 |
| | National Fuel Gas Co. | 3,726 | 156 |
| | IDACORP Inc. | 1,248 | 109 |
| | Hawaiian Electric Industries Inc. | 1,058 | 38 |
| * | T-Mobile US Inc. Rights Exp. 07/27/2020 | 26,892 | 4 |
| | | | | | 127,635 |
Total Common Stocks
(Cost $1,509,358) | 2,804,501 |
| | | | | | |
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| Tax-Exempt Municipal Bonds (51.2%) |
| Alabama (0.6%) |
| | Alabama Economic Settlement Authority BP Settlement Revenue | 4.000% | 9/15/33 | 500 | 548 |
| 2 | Alabama Incentives Financing Authority Special Obligation Revenue | 5.000% | 9/1/22 | 380 | 417 |
| | Birmingham-Jefferson AL Civic Center Authority Special Tax Revenue | 5.000% | 7/1/31 | 1,100 | 1,251 |
| | Black Belt Energy Gas District Alabama Gas Prepay Revenue (Project No. 3) PUT | 4.000% | 12/1/23 | 1,555 | 1,697 |
| | Black Belt Energy Gas District Alabama Gas Prepay Revenue (Project No. 3) PUT | 4.000% | 12/1/25 | 540 | 614 |
| | Black Belt Energy Gas District Alabama Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 6/1/21 | 3,885 | 3,987 |
| | Black Belt Energy Gas District Alabama Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 7/1/22 | 430 | 455 |
| | Huntsville AL Electric System Revenue | 5.000% | 12/1/30 | 510 | 642 |
| | Huntsville AL GO | 5.000% | 5/1/35 | 1,125 | 1,411 |
| | Huntsville AL GO | 5.000% | 5/1/38 | 1,860 | 2,399 |
| | Jefferson County AL Revenue | 5.000% | 9/15/29 | 1,020 | 1,268 |
| | Jefferson County AL Revenue | 5.000% | 9/15/33 | 1,000 | 1,219 |
| | Jefferson County AL Sewer Revenue | 5.000% | 10/1/23 | 500 | 561 |
| | Jefferson County AL Sewer Revenue, AGM | 0.000% | 10/1/25 | 500 | 451 |
| | Lower AL Gas District Gas Project Revenue PUT | 4.000% | 12/1/25 | 2,150 | 2,446 |
| | Southeast Alabama Gas Supply District Revenue PUT | 4.000% | 4/1/24 | 6,810 | 7,464 |
| | Southeast Alabama Gas Supply District Revenue PUT | 4.000% | 6/1/24 | 1,305 | 1,438 |
| | Tuscaloosa AL City Board of Education School Tax Warrants Revenue | 5.000% | 8/1/27 | 530 | 657 |
| | Tuscaloosa AL City Board of Education School Tax Warrants Revenue | 5.000% | 8/1/28 | 1,090 | 1,346 |
| | University of Alabama General Revenue | 3.000% | 7/1/36 | 1,085 | 1,162 |
| | University of South Alabama University Facilities Revenue, AGM | 5.000% | 11/1/23 | 740 | 842 |
| | | | | | | 32,275 |
| Alaska (0.1%) |
| 2 | Alaska Housing Finance Corp. Revenue | 5.000% | 6/1/22 | 425 | 463 |
| | Alaska Housing Finance Corp. Revenue | 5.000% | 12/1/29 | 75 | 80 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Alaska Municipal Bond Bank Authority Revenue | 5.000% | 9/1/21 | 1,650 | 1,734 |
| | Matanuska-Susitna Borough AK Lease Revenue (Goose Creek Correctional Center) GO | 5.000% | 9/1/31 | 1,345 | 1,551 |
| | | | | | | 3,828 |
| Arizona (1.1%) |
| | Arizona Board of Regents Arizona State University System Revenue | 5.000% | 7/1/30 | 675 | 805 |
| | Arizona Board of Regents Arizona State University System Revenue | 5.000% | 7/1/31 | 545 | 628 |
| | Arizona COP | 5.000% | 10/1/26 | 2,000 | 2,488 |
| | Arizona Industrial Development Authority Revenue (Lincoln South Beltway Project) | 5.000% | 11/1/28 | 1,290 | 1,668 |
| | Arizona Lottery Revenue | 5.000% | 7/1/28 | 1,010 | 1,313 |
| | Arizona School Facilities Board COP | 5.000% | 9/1/21 | 1,355 | 1,426 |
| | Arizona State University Revenue (McAllister Academic Village LLC) | 5.000% | 7/1/36 | 1,615 | 1,926 |
| | Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/21 | 2,240 | 2,345 |
| | Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/23 | 2,155 | 2,454 |
| | Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/24 | 2,110 | 2,492 |
| 2 | Arizona Transportation Board Excise Tax Revenue (Maricopa County Regional Area) | 5.000% | 7/1/20 | 500 | 500 |
| | Arizona Transportation Board Highway Revenue | 5.000% | 7/1/22 | 2,210 | 2,414 |
| 2 | Arizona Transportation Board Highway Revenue | 5.000% | 7/1/22 | 500 | 547 |
| | Arizona Transportation Board Highway Revenue | 5.000% | 7/1/32 | 1,025 | 1,247 |
| | Arizona Water Infrastructure Finance Authority Revenue | 5.000% | 10/1/27 | 1,000 | 1,186 |
| | Chandler AZ GO | 5.000% | 7/1/23 | 1,165 | 1,329 |
| | Gilbert AZ GO | 5.000% | 7/1/20 | 2,480 | 2,480 |
| | Glendale City AZ Excise Tax Refunding Obligations Revenue | 5.000% | 7/1/28 | 1,785 | 2,168 |
| | Maricopa County AZ Elementary School District No. 14 (Creighton) GO | 3.000% | 7/1/32 | 1,000 | 1,096 |
| | Maricopa County AZ Industrial Development Authority Hospital Revenue (Honorhealth) | 5.000% | 9/1/33 | 830 | 1,003 |
| | Maricopa County AZ Unified School District No. 4 (Mesa) GO | 5.000% | 7/1/24 | 1,700 | 2,004 |
| 2 | Phoenix AZ Civic Improvement Corp. Airport Revenue | 5.000% | 7/1/20 | 365 | 365 |
| | Phoenix AZ Civic Improvement Corp. Excise Tax Revenue | 5.000% | 7/1/22 | 1,145 | 1,253 |
| | Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 5.000% | 7/1/22 | 2,290 | 2,504 |
| | Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 5.000% | 7/1/27 | 1,295 | 1,616 |
| | Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 4.000% | 7/1/28 | 2,015 | 2,262 |
| | Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/21 | 525 | 550 |
| | Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/22 | 1,260 | 1,378 |
| | Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/23 | 2,040 | 2,324 |
| | Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/26 | 2,520 | 2,971 |
| | Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/35 | 1,900 | 2,307 |
| | Phoenix AZ Industrial Development Authority Lease Revenue (Downtown Phoenix Student Housing LLC) | 5.000% | 7/1/27 | 300 | 327 |
| | Phoenix AZ Industrial Development Authority Lease Revenue (Downtown Phoenix Student Housing LLC) | 5.000% | 7/1/28 | 250 | 274 |
| | Pima County AZ Sewer Revenue | 5.000% | 7/1/20 | 500 | 500 |
| | Pima County AZ Sewer Revenue | 5.000% | 7/1/20 | 1,150 | 1,150 |
| | Pima County AZ Sewer Revenue | 5.000% | 7/1/24 | 1,105 | 1,303 |
| | Regional Public Transportation Authority Arizona Excise Tax Revenue (Maricopa County Public Transportation) | 5.250% | 7/1/24 | 1,125 | 1,341 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 12/1/28 | 515 | 548 |
| | Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 12/1/29 | 2,000 | 2,172 |
| | Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 1/1/36 | 1,540 | 1,893 |
| | Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/24 | 910 | 1,056 |
| | Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/28 | 640 | 805 |
| | Salt Verde AZ Financial Corp. Gas Revenue | 5.000% | 12/1/37 | 675 | 894 |
| | Yavapai County AZ Industrial Development Authority Hospital Facility Revenue (Northern Arizona Healthcare System) | 5.250% | 10/1/22 | 500 | 530 |
| | | | | | | 63,842 |
| Arkansas (0.2%) |
| | Arkansas Development Finance Authority Healthcare Revenue (Baptist Health) PUT | 3.750% | 9/1/25 | 2,000 | 2,011 |
| | Pulaski County AR Hospital Revenue (Arkansas Children's Hospital) | 5.000% | 3/1/29 | 1,075 | 1,293 |
| | Springdale AR Sales and Use Revenue, BAM | 5.000% | 4/1/37 | 1,000 | 1,123 |
| | Springdale AR School District No. 50 GO | 4.000% | 6/1/27 | 1,190 | 1,267 |
| | Springdale AR School District No. 50 GO | 4.000% | 6/1/32 | 1,155 | 1,220 |
| | University of Arkansas Revenue | 5.000% | 11/1/21 | 805 | 856 |
| | University of Arkansas Revenue | 5.000% | 11/1/24 | 800 | 948 |
| | University of Arkansas Revenue | 5.000% | 11/1/30 | 765 | 942 |
| | | | | | | 9,660 |
| California (4.4%) |
| | ABAG Finance Authority for Nonprofit Corps. California Revenue (Episcopal Senior Communities) | 5.000% | 7/1/22 | 500 | 524 |
| | ABAG Finance Authority for Nonprofit Corps. California Revenue (Jackson Laboratory) | 5.000% | 7/1/21 | 760 | 795 |
| | ABAG Finance Authority for Nonprofit Corps. California Revenue (Windemere Ranch Infrastructure Financing Program), AGM | 5.000% | 9/2/30 | 1,135 | 1,404 |
| | Alameda CA Corridor Transportation Authority Revenue, AMBAC | 0.000% | 10/1/30 | 740 | 535 |
| | Alameda CA Corridor Transportation Authority Revenue, NATL | 0.000% | 10/1/32 | 1,690 | 1,215 |
| | Anaheim CA Housing & Public Improvements Authority Revenue (Electric Utility Distribution System) | 5.000% | 10/1/30 | 1,000 | 1,107 |
| | Anaheim CA Housing & Public Improvements Authority Revenue (Electric Utility Distribution System) | 5.000% | 10/1/33 | 1,015 | 1,116 |
| 2 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 5.000% | 10/1/20 | 500 | 506 |
| 2 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 5.000% | 4/1/22 | 500 | 541 |
| 2 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 5.000% | 4/1/23 | 1,000 | 1,128 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 4.000% | 4/1/33 | 1,000 | 1,145 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 4.000% | 4/1/37 | 820 | 922 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.100% | 4/1/22 | 1,150 | 1,175 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.125% | 4/1/25 | 2,950 | 3,034 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.850% | 4/1/25 | 1,000 | 1,058 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.625% | 4/1/26 | 2,000 | 2,110 |
| | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.950% | 4/1/26 | 1,000 | 1,071 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 3 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area), SIFMA Municipal Swap Index Yield + 0.700% PUT | 0.790% | 4/1/21 | 1,000 | 998 |
| 3 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area), SIFMA Municipal Swap Index Yield + 0.900% PUT | 0.990% | 5/1/23 | 1,000 | 997 |
| | Brea CA Redevelopment Agency Successor Agency Tax Allocation Revenue (Redevelopment Project AB), AMBAC | 0.000% | 8/1/29 | 1,000 | 868 |
| | California GO | 5.000% | 10/1/20 | 2,000 | 2,024 |
| | California GO | 5.000% | 8/1/22 | 1,000 | 1,098 |
| | California GO | 5.000% | 9/1/22 | 1,805 | 1,990 |
| | California GO | 5.000% | 11/1/23 | 1,155 | 1,334 |
| | California GO | 5.000% | 4/1/24 | 2,000 | 2,345 |
| | California GO | 5.000% | 9/1/24 | 1,315 | 1,564 |
| | California GO | 5.000% | 10/1/24 | 2,000 | 2,386 |
| | California GO | 5.000% | 3/1/26 | 660 | 793 |
| | California GO | 5.000% | 4/1/26 | 2,000 | 2,494 |
| | California GO | 5.000% | 4/1/27 | 2,000 | 2,558 |
| | California GO | 3.500% | 8/1/27 | 1,515 | 1,799 |
| | California GO | 5.000% | 2/1/28 | 690 | 764 |
| | California GO | 5.000% | 4/1/28 | 5,125 | 6,732 |
| | California GO | 5.000% | 9/1/29 | 455 | 568 |
| | California GO | 5.000% | 11/1/29 | 1,700 | 1,927 |
| | California GO | 5.000% | 9/1/30 | 1,000 | 1,052 |
| | California GO | 5.000% | 4/1/31 | 1,005 | 1,404 |
| | California GO | 4.000% | 8/1/31 | 1,675 | 1,953 |
| | California GO | 5.000% | 2/1/32 | 500 | 533 |
| | California GO | 5.000% | 4/1/32 | 2,500 | 3,304 |
| | California GO | 5.000% | 10/1/32 | 1,875 | 2,186 |
| | California GO | 4.000% | 8/1/33 | 1,520 | 1,755 |
| | California GO | 5.000% | 8/1/33 | 2,865 | 3,504 |
| | California GO | 4.000% | 9/1/33 | 2,000 | 2,313 |
| | California GO | 3.000% | 10/1/34 | 1,225 | 1,353 |
| | California GO | 3.000% | 10/1/35 | 1,815 | 1,995 |
| | California GO | 3.000% | 10/1/36 | 1,500 | 1,642 |
| | California GO, AGM | 5.250% | 8/1/32 | 1,000 | 1,410 |
| | California Health Facilities Financing Authority Revenue (Adventist Health System/West) | 5.000% | 3/1/23 | 1,450 | 1,602 |
| | California Health Facilities Financing Authority Revenue (Children's Hospital of Los Angeles) | 5.000% | 11/15/23 | 1,000 | 1,092 |
| | California Health Facilities Financing Authority Revenue (Kaiser Permanente) PUT | 5.000% | 11/1/22 | 795 | 875 |
| | California Health Facilities Financing Authority Revenue (Lucile Salter Packard Children's Hospital at Stanford) | 5.000% | 8/15/20 | 520 | 523 |
| | California Health Facilities Financing Authority Revenue (Providence St. Joseph Health Obligated Group) PUT | 4.000% | 10/1/24 | 1,195 | 1,339 |
| | California Health Facilities Financing Authority Revenue (Providence St. Joseph Health Obligated Group) PUT | 5.000% | 10/1/25 | 1,690 | 2,023 |
| | California Health Facilities Financing Authority Revenue (Rady Children's Hospital) | 5.000% | 8/15/31 | 965 | 1,008 |
| 2 | California Health Facilities Financing Authority Revenue (Sutter Health) | 5.500% | 8/15/20 | 500 | 503 |
| | California Health Facilities Financing Authority Revenue (Sutter Health) | 5.000% | 11/15/36 | 1,000 | 1,222 |
| 2 | California Infrastructure & Economic Development Bank Revenue (Bay Area Toll Bridges Seismic Retrofit), FGIC | 5.000% | 1/1/28 | 500 | 650 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | California Municipal Finance Authority Revenue (Anaheim Electric Utility Distribution System) | 5.000% | 10/1/30 | 965 | 1,158 |
| 2 | California Public Works Board Lease Revenue (Davidson Library) | 5.000% | 3/1/23 | 20 | 22 |
| | California Public Works Board Lease Revenue (Department of Corrections) | 5.000% | 6/1/22 | 1,000 | 1,089 |
| | California Public Works Board Lease Revenue (Department of Corrections) | 5.000% | 6/1/27 | 1,050 | 1,138 |
| | California Public Works Board Lease Revenue (Judicial Council Projects) | 5.000% | 10/1/26 | 1,200 | 1,415 |
| | California Public Works Board Lease Revenue (Judicial Council Projects) | 5.000% | 3/1/28 | 300 | 333 |
| | California Public Works Board Lease Revenue (Judicial Council Projects) | 5.125% | 12/1/29 | 260 | 276 |
| 2 | California Public Works Board Lease Revenue (Regents of The University of California) | 5.000% | 12/1/21 | 35 | 37 |
| 2 | California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 12/1/21 | 25 | 27 |
| | California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 12/1/26 | 2,500 | 2,964 |
| | California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 11/1/31 | 1,000 | 1,096 |
| | California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 4/1/32 | 350 | 375 |
| 2 | California State Educational Facilities Authority Revenue | 6.125% | 10/1/21 | 245 | 262 |
| 2 | California State Educational Facilities Authority Revenue | 6.125% | 10/1/21 | 255 | 273 |
| | California State University Systemwide Revenue | 5.000% | 11/1/30 | 1,000 | 1,099 |
| | California State University Systemwide Revenue | 5.000% | 11/1/32 | 1,000 | 1,219 |
| | California State University Systemwide Revenue | 5.000% | 11/1/32 | 2,815 | 3,531 |
| | California State University Systemwide Revenue | 5.000% | 11/1/34 | 2,010 | 2,355 |
| | California State University Systemwide Revenue | 5.000% | 11/1/35 | 2,000 | 2,483 |
| | California State University Systemwide Revenue | 5.000% | 11/1/37 | 1,000 | 1,197 |
| | California Statewide Communities Development Authority Revenue (Citrus Valley Health Partners), NATL PUT | 0.455% | 7/10/20 | 1,500 | 1,500 |
| | California Statewide Communities Development Authority Revenue (Kaiser Foundation Hospitals) PUT | 5.000% | 11/1/29 | 3,640 | 4,842 |
| | California Statewide Communities Development Authority Revenue (Kaiser Permanente) PUT | 5.000% | 11/1/29 | 665 | 885 |
| 4 | California Statewide Communities Development Authority Revenue (Loma Linda University Medical Center) | 5.000% | 12/1/28 | 400 | 448 |
| | Centinela Valley CA Union High School District GO, AGM | 4.000% | 8/1/29 | 1,035 | 1,198 |
| | Chabot-Las Positas CA Community College District GO | 5.000% | 8/1/31 | 1,000 | 1,135 |
| | Chaffey CA Community College District GO | 5.000% | 6/1/23 | 850 | 966 |
| | Chino CA Public Financing Authority Special Tax Revenue, AGM | 5.000% | 9/1/30 | 800 | 944 |
| | Chula Vista CA Municipal Financing Authority Special Tax Revenue | 5.500% | 9/1/27 | 970 | 1,105 |
| 5 | Citrus CA Community College District GO, 5.000% coupon rate effective 2/1/2023 | 0.000% | 8/1/34 | 1,000 | 994 |
| 2 | Contra Costa CA Community College District GO | 5.000% | 8/1/23 | 1,000 | 1,144 |
| | Contra Costa CA Municipal Water District Revenue | 5.000% | 10/1/33 | 1,000 | 1,142 |
| | Corona-Norco CA Unified School District Special Tax Revenue (Community Facilities District No. 98-1) | 5.000% | 9/1/22 | 970 | 1,068 |
| | East Side CA Union High School District Santa Clara County GO, AGM | 3.000% | 8/1/32 | 1,000 | 1,093 |
| 5 | Foothill/Eastern Transportation Corridor Agency California Toll Road Revenue, 6.200% coupon rate effective 1/15/2024 | 0.000% | 1/15/29 | 1,390 | 1,471 |
| | Gavilan CA Joint Community College District GO | 5.000% | 8/1/28 | 1,000 | 1,210 |
| | Golden State Tobacco Securitization Corp. California Revenue | 5.000% | 6/1/25 | 500 | 593 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Golden State Tobacco Securitization Corp. California Revenue | 5.000% | 6/1/33 | 1,140 | 1,338 |
| | Golden State Tobacco Securitization Corp. California Revenue, AMBAC | 0.000% | 6/1/27 | 2,060 | 1,869 |
| | Grossmont CA Helathcare District GO | 4.000% | 7/15/40 | 2,000 | 2,205 |
| | La Quinta CA Redevelopment Agency Tax Allocation Revenue | 5.000% | 9/1/26 | 1,500 | 1,680 |
| | La Quinta CA Redevelopment Agency Tax Allocation Revenue | 5.000% | 9/1/30 | 1,000 | 1,152 |
| | La Verne CA (Brethren Hillcrest Homes) COP | 5.000% | 5/15/26 | 350 | 360 |
| | Long Beach CA Finance Authority Natural Gas Purchase Revenue | 5.250% | 11/15/23 | 435 | 488 |
| | Long Beach CA Harbor Revenue | 5.000% | 12/15/20 | 1,300 | 1,328 |
| | Long Beach CA Unified School District GO, AGC | 0.000% | 8/1/24 | 1,290 | 1,242 |
| | Los Angeles CA Community College District GO | 4.000% | 8/1/32 | 1,000 | 1,112 |
| | Los Angeles CA Community College District GO | 4.000% | 8/1/37 | 2,000 | 2,152 |
| | Los Angeles CA Department of Airports International Airport Revenue | 5.000% | 5/15/27 | 195 | 197 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/33 | 1,375 | 1,719 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/35 | 1,330 | 1,708 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/36 | 1,000 | 1,203 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/36 | 1,695 | 2,175 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/37 | 1,000 | 1,230 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/37 | 1,145 | 1,460 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/38 | 500 | 615 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/38 | 2,550 | 3,253 |
| | Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/40 | 1,500 | 1,981 |
| | Los Angeles CA Metropolitan Transportation Authority Sales Tax Revenue | 5.000% | 7/1/38 | 1,400 | 1,764 |
| | Los Angeles CA Unified School District GO | 5.000% | 7/1/20 | 1,700 | 1,700 |
| | Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/36 | 1,755 | 2,173 |
| | Los Angeles County CA Public Works Financing Authority Lease Revenue | 5.000% | 8/1/26 | 500 | 546 |
| | Los Angeles County CA Redevelopment Authority Tax Allocation Revenue (Hollywood/North Hollywood Redevelopment Project) | 5.000% | 7/1/20 | 1,500 | 1,500 |
| | Los Angeles County CA School District GO, BAM | 5.000% | 7/1/36 | 1,000 | 1,244 |
| | Los Angeles County CA Unified School District GO | 5.000% | 7/1/31 | 1,000 | 1,322 |
| 2 | Marysville CA Revenue (Fremont-Rideout Health Group) | 5.250% | 1/1/21 | 600 | 615 |
| | Milpitas CA Redevelopment Agency Successor Agency Tax Allocation Revenue | 5.000% | 9/1/31 | 1,130 | 1,324 |
| | M-S-R CA Energy Authority Gas Revenue | 6.500% | 11/1/39 | 555 | 870 |
| | Napa Valley CA Unified School District GO | 4.000% | 8/1/28 | 1,690 | 1,848 |
| 5 | Napa Valley Community College District GO, 4.000% coupon rate effective 2/1/2021 | 0.000% | 8/1/32 | 1,090 | 1,205 |
| | Newport Mesa CA Unified School District GO | 0.000% | 8/1/30 | 630 | 539 |
| | Oakland CA Redevelopment Agency Tax Allocation Revenue (Central District Project) | 5.000% | 9/1/22 | 500 | 541 |
| | Oakland CA Unified School District GO, AGM | 5.000% | 8/1/25 | 1,500 | 1,785 |
| | Orange County CA Development Agency Tax Allocation Revenue (Santa Ana Heights Project) | 5.000% | 3/1/21 | 1,170 | 1,205 |
| | Orange County CA Local Transportation Authority Sales Tax Revenue | 5.000% | 2/15/33 | 1,035 | 1,342 |
| | Palomar Pomerado Health California GO, AGC | 0.000% | 8/1/26 | 1,040 | 964 |
| | Palomar Pomerado Health California GO, AGC | 0.000% | 8/1/32 | 740 | 585 |
| | Palomar Pomerado Health California GO, NATL | 0.000% | 8/1/22 | 1,000 | 983 |
| | Perris CA Public Financing Authority Tax Allocation Revenue | 5.000% | 10/1/21 | 1,085 | 1,149 |
| | Poway CA Unified School District Public Financing Authority Special Tax Revenue, AGM | 5.000% | 9/1/31 | 1,395 | 1,721 |
| | Riverside CA Electric Revenue | 5.000% | 10/1/32 | 1,830 | 2,392 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 2 | Riverside County CA Transportation Commission Sales Tax Revenue | 5.250% | 6/1/23 | 1,000 | 1,144 |
| | Riverside County CA Transportation Commission Toll Revenue | 0.000% | 6/1/30 | 2,415 | 1,788 |
| | Roseville CA Natural Gas Financing Authority Gas Revenue | 5.000% | 2/15/23 | 340 | 371 |
| | Roseville CA Natural Gas Financing Authority Gas Revenue | 5.000% | 2/15/25 | 325 | 374 |
| | Sacramento CA City Financing Authority Revenue, BAM | 5.000% | 12/1/22 | 760 | 846 |
| | Sacramento CA City Financing Authority Tax Allocation Revenue, NATL | 0.000% | 12/1/30 | 1,815 | 1,416 |
| 2 | Sacramento CA Regional Transportation District Farebox Revenue | 5.000% | 9/1/20 | 185 | 186 |
| | Sacramento CA Regional Transportation District Farebox Revenue | 5.000% | 3/1/23 | 330 | 332 |
| | Sacramento County CA Sanitation Districts Financing Authority Revenue | 5.000% | 8/1/25 | 495 | 613 |
| | Sacramento County CA Sanitation Districts Financing Authority Revenue | 5.000% | 8/1/27 | 575 | 705 |
| | San Bernardino CA Community College District GO, AGM | 0.000% | 8/1/22 | 1,000 | 988 |
| 2 | San Diego CA Community College District GO | 5.000% | 8/1/21 | 500 | 526 |
| 2 | San Diego CA Community College District GO | 5.000% | 8/1/23 | 1,000 | 1,142 |
| 2 | San Diego CA Public Facilities Financing Authority Water Revenue | 5.250% | 8/1/20 | 500 | 502 |
| 6 | San Diego CA Unified School District GO | 0.000% | 7/1/27 | 320 | 298 |
| | San Diego CA Unified School District GO | 0.000% | 7/1/27 | 180 | 165 |
| 6 | San Diego CA Unified School District GO | 0.000% | 7/1/28 | 70 | 64 |
| | San Diego CA Unified School District GO | 0.000% | 7/1/28 | 430 | 385 |
| 6 | San Diego CA Unified School District GO | 0.000% | 7/1/29 | 60 | 54 |
| | San Diego CA Unified School District GO | 0.000% | 7/1/29 | 440 | 385 |
| | San Diego CA Unified School District GO | 0.000% | 7/1/30 | 100 | 85 |
| | San Diego CA Unified School District GO, AGM | 5.500% | 7/1/27 | 520 | 689 |
| | San Diego County CA Regional Airport Authority Revenue, AGM | 5.000% | 7/1/30 | 500 | 500 |
| 2 | San Diego County CA Regional Transportation Commission Sales Tax Revenue | 5.000% | 4/1/22 | 560 | 606 |
| | San Diego County CA Water Authority Revenue | 5.000% | 5/1/28 | 1,000 | 1,211 |
| | San Francisco CA Bay Area Rapid Transit District GO | 5.000% | 8/1/30 | 1,530 | 1,862 |
| | San Francisco CA Bay Area Rapid Transit District Sales Tax Revenue | 4.000% | 7/1/21 | 350 | 363 |
| | San Francisco CA City & County COP | 5.000% | 4/1/28 | 1,635 | 1,939 |
| | San Francisco CA City & County COP | 4.000% | 4/1/33 | 1,000 | 1,104 |
| 2 | San Francisco CA City & County International Airport Revenue | 5.000% | 5/3/21 | 95 | 99 |
| | San Francisco CA City & County International Airport Revenue | 5.000% | 5/1/27 | 605 | 651 |
| | San Francisco CA City & County International Airport Revenue | 5.000% | 5/1/30 | 405 | 419 |
| | San Francisco CA City & County International Airport Revenue | 5.000% | 5/1/34 | 1,000 | 1,262 |
| 2 | San Francisco CA City & County Public Utilities Commission Water Revenue | 5.500% | 11/1/20 | 500 | 509 |
| | San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/31 | 1,700 | 2,106 |
| | San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/32 | 1,000 | 1,194 |
| | San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/35 | 1,500 | 1,833 |
| | San Francisco CA City & County Unified School District GO | 4.000% | 6/15/32 | 965 | 1,017 |
| | San Francisco CA City & County Unified School District GO | 4.250% | 6/15/33 | 1,000 | 1,057 |
| | San Ramon CA Public Financing Authority Tax Allocation Revenue, AMBAC | 0.000% | 2/1/33 | 1,475 | 1,106 |
| | Santa Clara CA Financing Authority Revenue | 3.000% | 5/1/39 | 1,155 | 1,210 |
| | Santa Clara CA Unified School District GO | 3.000% | 7/1/34 | 1,000 | 1,072 |
| | Southern California Public Power Authority Revenue | 5.000% | 7/1/30 | 3,000 | 3,434 |
| | Southern California Public Power Authority Revenue (Canyon Power Project) | 5.000% | 7/1/22 | 1,105 | 1,157 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | State Center California Community College District GO | 5.000% | 8/1/29 | 1,000 | 1,208 |
| | Stockton Public Financing Authority Revenue, BAM | 5.000% | 9/1/29 | 1,000 | 1,145 |
| | Tahoe-Truckee CA Unified School District GO | 5.000% | 8/1/34 | 1,030 | 1,264 |
| | Union CA Elementary School District GO, NATL | 0.000% | 9/1/28 | 1,080 | 965 |
| | Union City CA Community Redevelopment Agency Successor Agency Tax Allocation Revenue | 5.000% | 10/1/30 | 1,635 | 1,928 |
| 2 | University of California Revenue | 5.000% | 5/15/21 | 160 | 167 |
| | University of California Revenue | 5.000% | 5/15/23 | 875 | 911 |
| 2 | University of California Revenue | 5.000% | 5/15/23 | 310 | 351 |
| | University of California Revenue | 5.000% | 5/15/28 | 690 | 776 |
| | University of California Revenue | 4.000% | 5/15/33 | 1,000 | 1,121 |
| | University of California Revenue | 4.000% | 5/15/34 | 1,000 | 1,163 |
| | University of California Revenue | 4.000% | 5/15/34 | 1,770 | 1,948 |
| | University of California Revenue | 4.000% | 5/15/35 | 2,000 | 2,319 |
| | University of California Revenue | 5.000% | 5/15/35 | 1,620 | 2,061 |
| | University of California Revenue | 5.000% | 5/15/35 | 1,165 | 1,477 |
| | University of California Revenue PUT | 5.000% | 5/15/23 | 3,960 | 4,474 |
| | West Contra Costa CA Unified School District GO, AGM, FGIC | 0.000% | 8/1/32 | 1,155 | 917 |
| | West Contra Costa CA Unified School District GO, NATL | 0.000% | 8/1/34 | 1,225 | 900 |
| | | | | | | 255,601 |
| Colorado (1.0%) |
| | Adams & Weld County CO School District No. 27J GO | 5.000% | 12/1/34 | 1,435 | 1,738 |
| | Adams County CO COP | 5.000% | 12/1/31 | 650 | 782 |
| | Board of Governors of the Colorado State University System Enterprise Revenue | 5.000% | 3/1/23 | 300 | 335 |
| | Colorado (UCDHSC Fitzsimons Academic Projects) COP | 5.000% | 11/1/21 | 500 | 531 |
| | Colorado COP | 5.000% | 12/15/28 | 1,425 | 1,871 |
| | Colorado COP | 4.000% | 12/15/33 | 1,235 | 1,468 |
| | Colorado COP | 4.000% | 12/15/34 | 1,530 | 1,813 |
| | Colorado Educational & Cultural Facilities Authority Revenue (University of Denver) | 4.000% | 3/1/30 | 500 | 568 |
| | Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) | 5.000% | 11/15/37 | 1,000 | 1,229 |
| | Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) | 4.000% | 11/15/38 | 1,000 | 1,137 |
| | Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) PUT | 5.000% | 11/19/26 | 1,030 | 1,269 |
| 6 | Colorado Health Facilities Authority Retirement Facilities Revenue (Liberty Heights Project) | 0.000% | 7/15/24 | 1,430 | 1,392 |
| | Colorado Health Facilities Authority Revenue (Adventist Health System/Sunbelt Obligated Group) PUT | 5.000% | 11/15/23 | 2,990 | 3,428 |
| 2 | Colorado Health Facilities Authority Revenue (Catholic Health Initiatives) | 5.250% | 2/1/21 | 2,500 | 2,572 |
| | Colorado Health Facilities Authority Revenue (Covenant Retirement Community Inc.) | 5.000% | 12/1/27 | 500 | 524 |
| 2 | Colorado Health Facilities Authority Revenue (NCMC Inc.) | 4.000% | 5/15/26 | 1,500 | 1,787 |
| 2 | Colorado Springs CO Utility System Revenue | 5.000% | 11/15/22 | 500 | 555 |
| | Denver City & County CO Better Denver & Zoo GO | 5.000% | 8/1/22 | 1,000 | 1,097 |
| | Denver CO City & County Airport Revenue | 5.000% | 11/15/20 | 515 | 523 |
| | Denver CO City & County Airport Revenue | 5.000% | 11/15/22 | 1,335 | 1,357 |
| | Denver CO City & County Airport Revenue | 5.000% | 11/15/24 | 1,200 | 1,408 |
| | Denver CO City & County Airport Revenue | 5.000% | 11/15/26 | 430 | 437 |
| | Denver CO City & County Airport Revenue | 5.000% | 12/1/26 | 775 | 955 |
| | Denver CO City & County Airport Revenue | 4.000% | 12/1/38 | 400 | 450 |
| | Denver CO City & County COP | 5.000% | 6/1/37 | 1,685 | 1,943 |
| | Denver CO City & County Dedicated Tax Revenue | 0.000% | 8/1/29 | 500 | 415 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Denver CO City & County GO | 5.000% | 8/1/23 | 1,535 | 1,756 |
| | Denver CO City & County School District GO | 4.000% | 12/1/31 | 1,000 | 1,138 |
| | Denver CO City & County School District GO | 5.000% | 12/1/36 | 2,000 | 2,449 |
| | E-470 Public Highway Authority Colorado Revenue | 5.375% | 9/1/26 | 1,000 | 1,008 |
| | E-470 Public Highway Authority Colorado Revenue, NATL | 0.000% | 9/1/23 | 1,010 | 984 |
| | E-470 Public Highway Authority Colorado Revenue, NATL | 0.000% | 9/1/29 | 2,000 | 1,729 |
| | E-470 Public Highway Authority Colorado Revenue, NATL | 0.000% | 9/1/32 | 1,000 | 786 |
| | El Paso County CO School District No. 20 Academy GO | 5.000% | 12/15/30 | 2,400 | 2,994 |
| | El Paso County CO School District No. 3 Widefield GO | 5.000% | 12/1/26 | 350 | 388 |
| | El Paso County CO School District No. 3 Widefield GO | 5.000% | 12/1/27 | 500 | 554 |
| | El Paso County CO School District No. 3 Widefield GO | 5.000% | 12/1/29 | 500 | 554 |
| | El Paso County CO School District No. 3 Widefield GO | 5.000% | 12/1/30 | 520 | 576 |
| | El Paso County CO School District No. 3 Widefield GO | 5.000% | 12/1/31 | 635 | 702 |
| | Garfield, Pitkin, & Eagle County CO School District GO | 4.000% | 12/15/34 | 1,000 | 1,124 |
| | Jefferson County CO School District No. R-1 GO | 5.000% | 12/15/36 | 3,395 | 4,348 |
| | Regional Transportation District of Colorado COP | 5.000% | 6/1/31 | 1,000 | 1,301 |
| | Regional Transportation District of Colorado COP | 5.000% | 11/1/31 | 1,000 | 1,349 |
| 2 | University of Colorado Enterprise System Revenue | 5.000% | 6/1/22 | 515 | 561 |
| | University of Colorado Enterprise System Revenue | 4.000% | 6/1/32 | 1,590 | 1,858 |
| | University of Colorado Hospital Authority Revenue | 5.000% | 11/15/36 | 1,000 | 1,072 |
| | | | | | | 58,815 |
| Connecticut (0.9%) |
| | Connecticut GO | 5.000% | 4/15/21 | 500 | 518 |
| | Connecticut GO | 5.000% | 11/15/22 | 1,935 | 2,139 |
| | Connecticut GO | 5.000% | 4/15/24 | 800 | 860 |
| | Connecticut GO | 5.000% | 2/15/25 | 1,000 | 1,188 |
| | Connecticut GO | 5.000% | 5/15/25 | 2,345 | 2,807 |
| | Connecticut GO | 5.000% | 2/15/26 | 1,000 | 1,215 |
| | Connecticut GO | 5.000% | 9/1/26 | 1,000 | 1,162 |
| | Connecticut GO | 5.000% | 2/15/27 | 1,000 | 1,238 |
| | Connecticut GO | 4.000% | 9/15/27 | 1,000 | 1,058 |
| | Connecticut GO | 5.000% | 4/15/28 | 500 | 534 |
| | Connecticut GO | 5.000% | 4/15/28 | 1,000 | 1,263 |
| | Connecticut GO | 4.000% | 6/1/29 | 1,000 | 1,208 |
| | Connecticut GO | 5.000% | 3/1/32 | 2,950 | 3,325 |
| | Connecticut GO | 5.000% | 10/15/32 | 705 | 761 |
| | Connecticut Health & Educational Facilities Authority Revenue (Connecticut State University System) | 5.000% | 11/1/31 | 1,000 | 1,257 |
| | Connecticut Health & Educational Facilities Authority Revenue (Covenant Retirement Communities) | 5.000% | 12/1/31 | 1,000 | 1,117 |
| 2 | Connecticut Health & Educational Facilities Authority Revenue (Hartford Healthcare) | 5.000% | 7/1/21 | 550 | 575 |
| | Connecticut Health & Educational Facilities Authority Revenue (Hartford Healthcare) | 4.000% | 7/1/36 | 1,750 | 1,965 |
| | Connecticut Health & Educational Facilities Authority Revenue (Nuvance Health) | 5.000% | 7/1/29 | 1,255 | 1,562 |
| | Connecticut Health & Educational Facilities Authority Revenue (University of Hartford) | 5.000% | 7/1/31 | 575 | 635 |
| | Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 1.450% | 7/1/22 | 875 | 893 |
| | Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 1.450% | 7/1/22 | 900 | 919 |
| | Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 5.000% | 2/1/23 | 3,400 | 3,801 |
| | Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 2.000% | 7/1/26 | 500 | 534 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 5.000% | 2/1/28 | 2,315 | 3,019 |
| | Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 9/1/23 | 1,185 | 1,344 |
| | Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 1/1/28 | 1,805 | 2,280 |
| | Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 5/1/29 | 1,005 | 1,299 |
| | Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 10/1/34 | 1,000 | 1,239 |
| | Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 5/1/38 | 2,250 | 2,842 |
| | Hartford County CT Metropolitan District GO | 5.000% | 7/15/28 | 1,255 | 1,578 |
| | Hartford County CT Metropolitan District GO | 4.000% | 7/15/38 | 2,025 | 2,309 |
| | University of Connecticut GO | 5.000% | 2/15/27 | 635 | 743 |
| | University of Connecticut Revenue | 5.000% | 11/1/27 | 1,000 | 1,269 |
| | | | | | | 50,456 |
| Delaware (0.1%) |
| 6 | Delaware GO | 5.000% | 7/1/20 | 662 | 662 |
| | Delaware GO | 5.000% | 10/1/20 | 700 | 708 |
| | Delaware GO | 5.000% | 2/1/25 | 1,010 | 1,219 |
| | Delaware Health Facilities Authority Revenue (Bayhealth Medical Center Obligated Group) | 5.000% | 6/1/30 | 600 | 723 |
| | Delaware River & Bay Authority Delaware Revenue | 3.000% | 1/1/38 | 1,495 | 1,575 |
| | University of Delaware Revenue | 5.000% | 11/1/34 | 440 | 629 |
| | University of Delaware Revenue | 5.000% | 11/1/35 | 500 | 724 |
| | Wilmington DE GO | 5.000% | 11/1/28 | 1,000 | 1,015 |
| | | | | | | 7,255 |
| District of Columbia (0.9%) |
| | District of Columbia GO | 5.000% | 6/1/25 | 1,235 | 1,506 |
| | District of Columbia GO | 5.000% | 6/1/29 | 3,780 | 4,414 |
| | District of Columbia GO | 5.000% | 10/15/31 | 1,070 | 1,418 |
| | District of Columbia GO | 5.000% | 6/1/32 | 1,000 | 1,222 |
| | District of Columbia GO | 5.000% | 6/1/34 | 1,320 | 1,626 |
| | District of Columbia Hospital Revenue (Children's Hospital Obligated Group) | 5.000% | 7/15/35 | 1,000 | 1,155 |
| | District of Columbia Income Tax Revenue | 5.000% | 12/1/24 | 1,350 | 1,500 |
| | District of Columbia Income Tax Revenue | 5.000% | 12/1/26 | 655 | 696 |
| | District of Columbia Water & Sewer Authority Public Utility Revenue | 5.000% | 10/1/39 | 1,100 | 1,320 |
| | District of Columbia Water & Sewer Authority Public Utility Revenue | 5.000% | 10/1/33 | 2,175 | 2,710 |
| | Metropolitan Washington DC/VA Airports Authority Airport System Revenue | 5.000% | 10/1/24 | 540 | 546 |
| 7 | Metropolitan Washington DC/VA Airports Authority Airport System Revenue | 5.000% | 10/1/30 | 2,325 | 3,124 |
| | Metropolitan Washington DC/VA Airports Authority Airport System Revenue VRDO LOC: TD Bank NA | 0.030% | 7/1/20 | 16,530 | 16,530 |
| | Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 5.000% | 10/1/33 | 2,225 | 2,680 |
| | Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 0.000% | 10/1/37 | 1,300 | 722 |
| | Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 4.000% | 10/1/39 | 1,000 | 1,097 |
| | Washington Convention & Sports Authority Revenue | 5.000% | 10/1/26 | 1,090 | 1,206 |
| | Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/34 | 2,800 | 3,720 |
| | Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/38 | 2,000 | 2,614 |
| | | | | | | 49,806 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| Florida (2.5%) |
| | Brevard County FL School Board COP | 5.000% | 7/1/25 | 1,000 | 1,128 |
| 2 | Broward County FL Airport System Revenue | 5.000% | 10/1/22 | 400 | 442 |
| 2 | Broward County FL Airport System Revenue | 5.500% | 10/1/23 | 1,000 | 1,165 |
| | Capital Trust Agency Florida Educational Facilities Revenue (Advantage Academy of Hillsborough Projects) | 5.000% | 12/15/29 | 400 | 446 |
| | Central Florida Expressway Authority Revenue | 4.000% | 7/1/32 | 1,015 | 1,123 |
| | East Central FL Regional Wastewater Treatment Facilities Operation Board Revenue | 5.000% | 10/1/34 | 925 | 1,153 |
| | East Central FL Regional Wastewater Treatment Facilities Operation Board Revenue | 5.000% | 10/1/35 | 1,050 | 1,302 |
| | Escambia County FL Health Facilities Authority Revenue (Baptist Health Care Corp. Obligated Group) | 5.000% | 8/15/39 | 1,525 | 1,817 |
| | Florida Board of Education Lottery Revenue | 4.000% | 7/1/27 | 1,230 | 1,311 |
| | Florida Board of Education Public Education Capital Outlay GO | 5.000% | 6/1/21 | 760 | 793 |
| | Florida Board of Education Public Education Capital Outlay GO | 5.000% | 6/1/24 | 625 | 710 |
| | Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/27 | 1,255 | 1,337 |
| | Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/29 | 1,365 | 1,451 |
| | Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/32 | 1,675 | 1,911 |
| | Florida GO | 4.000% | 6/1/27 | 1,455 | 1,594 |
| | Florida GO | 5.000% | 7/1/27 | 1,440 | 1,810 |
| | Florida Gulf Coast University Financing Corp. Capital Improvement Revenue | 4.000% | 2/1/38 | 770 | 852 |
| | Florida Municipal Power Agency Revenue | 4.000% | 10/1/30 | 2,775 | 3,240 |
| | Florida Turnpike Authority Revenue | 4.000% | 7/1/34 | 1,000 | 1,131 |
| | Florida Turnpike Authority Revenue | 4.000% | 7/1/34 | 1,385 | 1,585 |
| | Hillsborough County FL Industrial Development Authority Hospital Revenue (Tampa General Hospital Project) | 5.000% | 10/1/28 | 500 | 551 |
| 2 | Hillsborough County FL School Board (Master Lease Program) COP | 5.000% | 7/1/22 | 1,650 | 1,801 |
| 2 | Jacksonville FL Electric Authority Electric System Revenue | 5.000% | 4/1/21 | 310 | 321 |
| | Jacksonville FL Electric Authority Electric System Revenue | 5.000% | 10/1/26 | 1,005 | 1,236 |
| | Jacksonville FL Electric Authority Electric System Revenue | 5.000% | 10/1/27 | 1,160 | 1,337 |
| | Jacksonville FL Electric Authority Electric System Revenue | 5.000% | 10/1/31 | 190 | 195 |
| | Jacksonville FL Electric Authority Electric System Revenue | 4.000% | 10/1/37 | 1,955 | 2,200 |
| | Jacksonville FL Electric Authority Water & Sewer Revenue | 5.000% | 10/1/27 | 1,905 | 2,453 |
| | Jacksonville FL Electric Authority Water & Sewer Revenue | 5.000% | 10/1/27 | 1,465 | 1,881 |
| | Jacksonville FL Health Care Facilities Revenue (Baptist Health System Obligated Group) | 4.000% | 8/15/37 | 1,250 | 1,400 |
| | Jacksonville FL Health Care Facilities Revenue (Brooks Rehabilitation) | 5.000% | 11/1/30 | 1,085 | 1,283 |
| | Jacksonville FL Special Revenue | 5.000% | 10/1/27 | 1,500 | 1,891 |
| | Jacksonville FL Special Revenue | 5.000% | 10/1/28 | 1,640 | 2,132 |
| | Jacksonville FL Special Revenue | 5.000% | 10/1/32 | 500 | 546 |
| | Jacksonville FL Special Revenue | 5.000% | 10/1/38 | 1,410 | 1,779 |
| | Jacksonville FL Transportation Authority Local Option Gas Tax Revenue | 5.000% | 8/1/34 | 1,000 | 1,196 |
| | Jacksonville FL Transportation Revenue | 5.000% | 10/1/28 | 1,200 | 1,436 |
| | Jacksonville FL Water & Sewer Revenue | 4.000% | 10/1/35 | 1,655 | 1,909 |
| | Key West FL Utility Board Electricity Revenue | 5.000% | 10/1/37 | 1,030 | 1,293 |
| | Lakeland FL Educational Facilities Revenue (Florida Southern College Project) | 5.000% | 9/1/31 | 880 | 928 |
| | Lakeland FL Hospital Revenue (Lakeland Regional Health Systems) | 5.000% | 11/15/26 | 1,475 | 1,782 |
| | Lee Memorial Health System Florida Hospital Revenue | 5.000% | 4/1/39 | 1,655 | 1,978 |
| | Miami Beach FL GO | 5.000% | 5/1/35 | 1,165 | 1,514 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Miami Beach FL Health Facilities Authority Revenue (Mount Sinai Medical Center) | 5.000% | 11/15/27 | 1,000 | 1,122 |
| | Miami Beach FL Resort Tax Revenue | 5.000% | 9/1/34 | 1,020 | 1,129 |
| | Miami Beach FL Stormwater Revenue | 5.000% | 9/1/27 | 1,000 | 1,289 |
| | Miami Beach FL Water & Sewer Revenue | 5.000% | 10/1/30 | 1,500 | 1,796 |
| | Miami Beach FL Water & Sewer Revenue | 5.000% | 10/1/38 | 1,000 | 1,259 |
| 4 | Miami FL Special Obligation Street & Sidewalk Improvement Program Revenue, AGM | 5.000% | 1/1/30 | 1,325 | 1,663 |
| 4 | Miami FL Special Obligation Street & Sidewalk Improvement Program Revenue, AGM | 5.000% | 1/1/35 | 1,000 | 1,223 |
| 2 | Miami-Dade County FL Aviation Revenue (Miami International Airport) | 5.000% | 10/1/20 | 585 | 592 |
| | Miami-Dade County FL Aviation Revenue (Miami International Airport) | 4.875% | 10/1/24 | 500 | 505 |
| | Miami-Dade County FL Aviation Revenue (Miami International Airport) | 5.000% | 10/1/33 | 1,800 | 2,122 |
| | Miami-Dade County FL Aviation Revenue (Miami International Airport) | 5.000% | 10/1/34 | 1,000 | 1,176 |
| | Miami-Dade County FL Building Better Communities GO | 5.000% | 7/1/36 | 1,160 | 1,420 |
| | Miami-Dade County FL Expressway Authority Toll System Revenue | 5.000% | 7/1/24 | 860 | 981 |
| | Miami-Dade County FL Expressway Authority Toll System Revenue | 5.000% | 7/1/25 | 830 | 942 |
| | Miami-Dade County FL Health Facilities Authority Hospital Revenue (Miami Children's Hospital) | 5.000% | 8/1/25 | 1,000 | 1,114 |
| | Miami-Dade County FL Public Health Trust GO | 4.000% | 7/1/32 | 1,750 | 2,071 |
| | Miami-Dade County FL School Board COP | 5.000% | 2/1/26 | 3,035 | 3,700 |
| | Miami-Dade County FL School Board GO | 5.000% | 3/15/31 | 3,155 | 3,491 |
| | Miami-Dade County FL Seaport Revenue | 5.750% | 10/1/28 | 1,610 | 1,842 |
| | Miami-Dade County FL Special Obligation Revenue | 5.000% | 10/1/22 | 1,645 | 1,800 |
| | Miami-Dade County FL Special Obligation Revenue | 5.000% | 10/1/24 | 1,000 | 1,091 |
| | Miami-Dade County FL Special Obligation Revenue | 5.000% | 10/1/30 | 500 | 541 |
| | Miami-Dade County FL Special Obligation Revenue | 5.000% | 4/1/37 | 1,255 | 1,601 |
| | Miami-Dade County FL Special Obligation Revenue | 0.000% | 10/1/39 | 1,265 | 684 |
| | Miami-Dade County FL Transit Sales Surtax Revenue | 4.000% | 7/1/31 | 1,400 | 1,578 |
| | Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/22 | 2,060 | 2,277 |
| | North Brevard County FL Hospital District Revenue | 5.000% | 1/1/34 | 1,000 | 1,180 |
| | Orange County FL Health Facilities Authority Hospital Revenue (Orlando Health Inc.) | 5.000% | 10/1/30 | 1,510 | 1,810 |
| | Orange County FL School Board COP | 5.000% | 8/1/33 | 6,105 | 7,487 |
| 2 | Orlando & Orange County FL Expressway Authority Revenue | 5.000% | 7/1/20 | 500 | 500 |
| | Orlando FL Tourist Development Tax Revenue, AGM | 5.000% | 11/1/28 | 1,535 | 1,856 |
| 6 | Osceola County FL Expressway System Revenue (Poinciana Parkway Project) | 0.000% | 10/1/20 | 1,270 | 1,268 |
| | Osceola County FL Transportation Revenue | 5.000% | 10/1/28 | 500 | 625 |
| | Osceola County FL Transportation Revenue | 0.000% | 10/1/34 | 2,000 | 1,285 |
| 2 | Palm Beach County FL Health Facilities Authority Hospital Revenue (BRRH Corp. Obligated Group) | 5.000% | 12/1/24 | 560 | 671 |
| | Palm Beach County FL Public Improvement Revenue | 5.000% | 5/1/33 | 1,245 | 1,521 |
| | Palm Beach County FL School Board COP | 5.000% | 8/1/29 | 1,540 | 1,850 |
| | Palm Beach County FL School Board COP | 5.000% | 8/1/32 | 1,500 | 1,786 |
| | Reedy Creek FL Improvement District GO | 4.000% | 6/1/34 | 1,190 | 1,335 |
| | Reedy Creek FL Improvement District GO | 4.000% | 6/1/35 | 1,000 | 1,148 |
| | Seacoast FL Utility Authority Water & Sewer Revenue | 5.000% | 3/1/21 | 1,230 | 1,269 |
| | South Broward FL Hospital District Revenue | 4.000% | 5/1/33 | 1,020 | 1,146 |
| | South Miami FL Health Facilities Authority Revenue (Baptist Health South Florida Obligated Group) | 4.000% | 8/15/33 | 1,180 | 1,322 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | St. Johns County FL Water & Sewer Revenue | 0.000% | 6/1/24 | 1,110 | 1,078 |
| | Sunshine State Governmental Financing Commission Florida Revenue (Miami Dade County Program) | 5.000% | 9/1/26 | 1,000 | 1,138 |
| | Tallahassee FL Energy System Revenue | 5.000% | 10/1/35 | 1,000 | 1,167 |
| | Tallahassee FL Utility System Revenue | 5.000% | 10/1/29 | 1,015 | 1,199 |
| | Tallahassee FL Utility System Revenue | 5.000% | 10/1/30 | 750 | 885 |
| | Tallahassee FL Utility System Revenue | 5.000% | 10/1/34 | 1,265 | 1,485 |
| | Tampa Bay FL Water Utility System Revenue | 5.000% | 10/1/37 | 2,040 | 2,503 |
| | Tampa FL Cigarette Tax Allocation Revenue (H. Lee Moffitt Cancer Center Project) | 5.000% | 9/1/20 | 610 | 614 |
| | Tampa FL Cigarette Tax Allocation Revenue (H. Lee Moffitt Cancer Center Project) | 5.000% | 9/1/26 | 200 | 216 |
| | Tampa FL Health System Revenue (BayCare Health System) | 5.000% | 11/15/33 | 1,575 | 1,678 |
| | Tampa FL Hospital Revenue | 5.000% | 7/1/23 | 750 | 810 |
| | Tampa-Hillsborough County FL Expressway Authority Revenue | 5.000% | 7/1/30 | 200 | 250 |
| | Tampa-Hillsborough County FL Expressway Authority Revenue | 5.000% | 7/1/31 | 250 | 311 |
| | Tohopekaliga FL Water Authority Utility System Revenue | 4.000% | 10/1/21 | 1,275 | 1,334 |
| 2 | Tohopekaliga FL Water Authority Utility System Revenue | 5.750% | 10/1/21 | 500 | 534 |
| | Tohopekaliga FL Water Authority Utility System Revenue | 4.000% | 10/1/32 | 1,000 | 1,137 |
| | Volusia County FL Educational Facilities Authority Revenue (Embry-Riddle Aeronautical University Inc.) | 5.000% | 10/15/29 | 860 | 1,032 |
| | Volusia County FL School Board COP | 5.000% | 8/1/25 | 1,025 | 1,193 |
| | | | | | | 144,975 |
| Georgia (1.4%) |
| | Athens-Clarke County GA Unified Government Water & Sewerage Revenue | 4.000% | 1/1/32 | 1,000 | 1,117 |
| | Atlanta GA Airport Revenue | 5.000% | 1/1/33 | 2,000 | 2,239 |
| | Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/21 | 1,500 | 1,594 |
| | Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/25 | 1,290 | 1,561 |
| | Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/36 | 1,320 | 1,660 |
| | Atlanta GA Water & Wastewater Revenue, AGM | 5.750% | 11/1/27 | 555 | 750 |
| | Bulloch County GA Development Authority Revenue (Georgia Southern University Housing Foundation) | 5.000% | 7/1/27 | 510 | 618 |
| | Cobb County GA Kennestone Hospital Authority Revenue | 5.000% | 4/1/24 | 400 | 441 |
| | Coweta County GA Development Authority Revenue (Piedmont Healthcare Inc. Project) | 5.000% | 7/1/36 | 1,060 | 1,312 |
| | Dahlonega GA Downtown Development Authority Revenue (North Georgia MAC LLC Project) | 5.000% | 7/1/31 | 810 | 983 |
| | DeKalb County GA Water & Sewer Revenue | 5.250% | 10/1/31 | 500 | 527 |
| | Forsyth County GA School District Revenue | 5.000% | 4/1/29 | 750 | 1,014 |
| | Fulton County GA Development Authority Revenue (Children's Healthcare of Atlanta Obligated Group) | 5.000% | 7/1/38 | 1,500 | 1,855 |
| | Fulton County GA Water & Sewer Revenue | 4.000% | 1/1/34 | 4,000 | 4,259 |
| | Georgia GO | 5.000% | 7/1/24 | 1,500 | 1,776 |
| | Georgia GO | 5.000% | 7/1/24 | 1,000 | 1,184 |
| | Georgia GO | 5.000% | 7/1/25 | 1,100 | 1,346 |
| | Georgia GO | 5.000% | 2/1/30 | 1,500 | 1,899 |
| | Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/25 | 600 | 702 |
| | Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/31 | 350 | 408 |
| | Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/33 | 1,575 | 1,818 |
| | Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 602 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 3/15/21 | 600 | 615 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 3/15/22 | 525 | 557 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 5/15/33 | 500 | 596 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 5/15/38 | 500 | 648 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 12/2/24 | 1,155 | 1,303 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 9/1/26 | 2,000 | 2,296 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 9/1/23 | 6,210 | 6,759 |
| | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 12/1/23 | 6,245 | 6,834 |
| | Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 5.000% | 7/1/31 | 1,410 | 1,719 |
| | Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 4.000% | 7/1/33 | 1,835 | 2,134 |
| | Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 4.000% | 7/1/33 | 5,210 | 6,272 |
| | Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/26 | 1,510 | 1,786 |
| | Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/29 | 1,795 | 2,216 |
| | Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/35 | 1,705 | 1,910 |
| | Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/39 | 1,215 | 1,460 |
| | Municipal Electric Authority Georgia Revenue, BAM | 5.000% | 1/1/28 | 1,495 | 1,792 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/32 | 500 | 611 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/33 | 100 | 121 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/36 | 600 | 721 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/28 | 580 | 713 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/30 | 465 | 573 |
| | Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/34 | 700 | 844 |
| | Private Colleges & University Authority of Georgia Revenue (Emory University) | 5.000% | 9/1/27 | 1,540 | 1,996 |
| | Private Colleges & University Authority of Georgia Revenue (Emory University) | 4.000% | 9/1/36 | 2,000 | 2,420 |
| | Private Colleges & University Authority of Georgia Revenue (Emory University) | 5.000% | 9/1/36 | 795 | 1,030 |
| | Walton County GA Development Authority Revenue (Piedmont Healthcare Inc. Project) | 4.000% | 7/1/38 | 1,145 | 1,299 |
| | | | | | | 78,890 |
| Guam (0.1%) |
| | Guam Business Privilege Tax Revenue | 5.000% | 11/15/29 | 865 | 949 |
| | Guam Government Business Privilege Tax Revenue | 5.000% | 11/15/26 | 735 | 810 |
| | Guam Government Waterworks Authority Water & Waste Water System Revenue | 5.250% | 7/1/23 | 1,000 | 1,112 |
| | Guam Government Waterworks Authority Water & Waste Water System Revenue | 5.250% | 7/1/33 | 1,305 | 1,424 |
| | Guam International Airport Authority Revenue | 5.000% | 10/1/21 | 465 | 469 |
| | | | | | | 4,764 |
| Hawaii (0.6%) |
| | Hawaii Department of Budget & Finance Special Purpose Revenue (Hawaii Pacific Health Obligated Group) | 5.000% | 7/1/20 | 320 | 320 |
| | Hawaii Department of Budget & Finance Special Purpose Revenue (Hawaii Pacific Health Obligated Group) | 5.000% | 7/1/21 | 400 | 416 |
| | Hawaii GO | 5.000% | 12/1/21 | 375 | 400 |
| 2 | Hawaii GO | 5.000% | 12/1/21 | 310 | 330 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 2 | Hawaii GO | 5.000% | 12/1/21 | 190 | 203 |
| | Hawaii GO | 5.000% | 8/1/24 | 1,765 | 2,087 |
| | Hawaii GO | 5.000% | 8/1/25 | 1,500 | 1,769 |
| | Hawaii GO | 5.000% | 10/1/25 | 1,575 | 1,927 |
| | Hawaii GO | 5.000% | 1/1/29 | 1,370 | 1,764 |
| | Hawaii GO | 5.000% | 8/1/29 | 3,500 | 3,966 |
| | Hawaii GO | 5.000% | 8/1/29 | 830 | 974 |
| | Hawaii GO | 5.000% | 1/1/33 | 1,575 | 1,984 |
| | Hawaii GO | 5.000% | 1/1/36 | 4,060 | 5,061 |
| | Honolulu HI City & County GO | 5.000% | 10/1/20 | 2,335 | 2,363 |
| 2 | Honolulu HI City & County GO | 5.000% | 12/1/20 | 310 | 316 |
| 2 | Honolulu HI City & County GO | 5.250% | 8/1/21 | 500 | 527 |
| | Honolulu HI City & County GO | 5.000% | 10/1/28 | 1,000 | 1,212 |
| | Honolulu HI City & County GO | 5.000% | 10/1/29 | 4,000 | 4,844 |
| | Honolulu HI City & County GO | 4.000% | 10/1/32 | 1,000 | 1,132 |
| | Honolulu HI City & County Wastewater System Revenue | 5.000% | 7/1/30 | 2,000 | 2,396 |
| | Honolulu HI City & County Wastewater System Revenue | 5.000% | 7/1/31 | 1,000 | 1,194 |
| | | | | | | 35,185 |
| Idaho (0.1%) |
| | Canyon County ID School District No. 139 (Vallivue) GO | 4.000% | 9/15/21 | 1,215 | 1,269 |
| | Idaho Health Facilities Authority Revenue (St. Luke's Health System Project) | 5.000% | 3/1/28 | 1,595 | 1,977 |
| | | | | | | 3,246 |
| Illinois (2.7%) |
| | Chicago IL Board of Education GO | 5.000% | 12/1/21 | 1,000 | 1,024 |
| | Chicago IL Board of Education GO | 5.000% | 12/1/23 | 1,000 | 1,053 |
| | Chicago IL Board of Education GO | 5.000% | 12/1/24 | 700 | 745 |
| | Chicago IL Board of Education GO | 5.000% | 12/1/24 | 1,500 | 1,596 |
| | Chicago IL Board of Education GO | 7.000% | 12/1/26 | 500 | 588 |
| | Chicago IL Board of Education GO | 5.000% | 12/1/28 | 1,150 | 1,263 |
| | Chicago IL Board of Education GO | 5.250% | 12/1/35 | 1,225 | 1,279 |
| | Chicago IL Board of Education GO | 5.000% | 4/1/36 | 1,270 | 1,367 |
| | Chicago IL Board of Education GO, AGM | 5.000% | 12/1/30 | 1,250 | 1,454 |
| | Chicago IL Board of Education GO, NATL | 5.250% | 12/1/21 | 540 | 571 |
| | Chicago IL Board of Education GO, NATL | 0.000% | 12/1/28 | 1,000 | 762 |
| | Chicago IL GO | 5.000% | 1/1/24 | 520 | 549 |
| | Chicago IL GO | 5.000% | 1/1/26 | 335 | 356 |
| | Chicago IL GO | 5.125% | 1/1/27 | 100 | 107 |
| | Chicago IL GO | 5.000% | 1/1/28 | 1,090 | 1,193 |
| | Chicago IL GO | 5.250% | 1/1/28 | 200 | 214 |
| | Chicago IL GO | 5.000% | 1/1/31 | 1,500 | 1,665 |
| | Chicago IL Housing Authority Revenue | 5.000% | 1/1/33 | 1,000 | 1,216 |
| | Chicago IL Metropolitan Water Reclamation District GO | 5.000% | 12/1/31 | 500 | 525 |
| | Chicago IL Midway Airport Revenue | 5.000% | 1/1/26 | 210 | 228 |
| | Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/22 | 300 | 303 |
| | Chicago IL O'Hare International Airport Revenue | 5.250% | 1/1/24 | 200 | 213 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/25 | 1,010 | 1,178 |
| | Chicago IL O'Hare International Airport Revenue | 5.500% | 1/1/26 | 1,000 | 1,069 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/29 | 3,300 | 3,793 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/29 | 1,130 | 1,331 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/30 | 1,000 | 1,172 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/31 | 1,030 | 1,176 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/32 | 500 | 525 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/33 | 1,000 | 1,134 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/35 | 1,855 | 2,135 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/38 | 1,045 | 1,268 |
| | Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/39 | 1,000 | 1,210 |
| | Chicago IL Park District GO | 5.000% | 1/1/31 | 1,000 | 1,080 |
| | Chicago IL Park District GO, BAM | 5.000% | 1/1/32 | 1,225 | 1,378 |
| | Chicago IL Park District GO, BAM | 5.000% | 1/1/33 | 1,000 | 1,159 |
| | Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/28 | 1,000 | 1,185 |
| | Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/29 | 1,580 | 1,753 |
| | Chicago IL Wastewater Transmission Revenue, NATL | 5.500% | 1/1/30 | 1,230 | 1,570 |
| | Chicago IL Waterworks Revenue | 5.000% | 11/1/30 | 1,000 | 1,113 |
| | Cook County IL Community College District GO | 5.250% | 12/1/32 | 1,000 | 1,023 |
| | Cook County IL GO | 5.250% | 11/15/25 | 1,000 | 1,037 |
| | Cook County IL GO | 5.000% | 11/15/28 | 660 | 665 |
| | Cook County IL GO | 5.250% | 11/15/28 | 565 | 584 |
| | Cook County IL GO, AGM | 5.000% | 11/15/26 | 1,545 | 1,833 |
| 2 | Illinois Finance Authority Revenue (Advocate Health Care Network) | 5.000% | 8/1/24 | 2,550 | 3,013 |
| | Illinois Finance Authority Revenue (Advocate Health Care Network) | 5.000% | 8/1/26 | 1,500 | 1,713 |
| 2 | Illinois Finance Authority Revenue (Ascension Health Credit Group) | 5.000% | 11/15/21 | 500 | 532 |
| | Illinois Finance Authority Revenue (Centegra Health System) | 5.000% | 9/1/29 | 1,300 | 1,484 |
| | Illinois Finance Authority Revenue (Clean Water Initiative) | 5.000% | 7/1/31 | 1,000 | 1,241 |
| | Illinois Finance Authority Revenue (DePaul University) | 5.000% | 10/1/33 | 1,000 | 1,149 |
| | Illinois Finance Authority Revenue (DePaul University) | 5.000% | 10/1/34 | 1,000 | 1,146 |
| | Illinois Finance Authority Revenue (Edward Elmhurst Obligated Group) | 5.000% | 1/1/36 | 1,000 | 1,161 |
| | Illinois Finance Authority Revenue (Franciscan Communities Inc.) | 5.000% | 5/15/37 | 1,000 | 1,008 |
| | Illinois Finance Authority Revenue (Mercy Health System) | 4.000% | 12/1/28 | 1,000 | 1,104 |
| | Illinois Finance Authority Revenue (Northwest Community Hospital) | 5.000% | 7/1/35 | 1,000 | 1,155 |
| | Illinois Finance Authority Revenue (Presence Health Network Obligated Group) | 5.000% | 2/15/28 | 1,250 | 1,545 |
| | Illinois Finance Authority Revenue (Rehabilitation Institute of Chicago) | 5.500% | 7/1/28 | 2,000 | 2,211 |
| | Illinois Finance Authority Revenue (Rush University Medical Center) | 5.000% | 11/15/33 | 1,050 | 1,195 |
| 2 | Illinois Finance Authority Revenue (Trinity Health Corp.) | 5.000% | 12/1/21 | 500 | 532 |
| | Illinois Finance Authority Revenue (University of Chicago) | 5.000% | 10/1/29 | 500 | 527 |
| | Illinois Finance Authority Revenue (University of Chicago) | 5.000% | 10/1/35 | 1,000 | 1,145 |
| | Illinois GO | 5.000% | 8/1/20 | 305 | 306 |
| | Illinois GO | 5.000% | 11/1/20 | 7,000 | 7,055 |
| | Illinois GO | 5.000% | 5/1/21 | 505 | 515 |
| | Illinois GO | 5.000% | 8/1/21 | 605 | 620 |
| | Illinois GO | 5.000% | 11/1/21 | 3,415 | 3,516 |
| | Illinois GO | 5.000% | 8/1/22 | 1,000 | 1,042 |
| | Illinois GO | 5.000% | 10/1/22 | 1,290 | 1,348 |
| | Illinois GO | 5.000% | 11/1/22 | 2,300 | 2,407 |
| | Illinois GO | 5.000% | 11/1/22 | 1,000 | 1,046 |
| | Illinois GO | 5.000% | 2/1/23 | 540 | 566 |
| | Illinois GO | 5.000% | 11/1/23 | 1,000 | 1,061 |
| | Illinois GO | 5.500% | 7/1/24 | 1,100 | 1,173 |
| | Illinois GO | 5.000% | 8/1/24 | 1,500 | 1,555 |
| | Illinois GO | 5.000% | 10/1/24 | 1,470 | 1,575 |
| | Illinois GO | 5.000% | 11/1/24 | 1,785 | 1,914 |
| | Illinois GO | 5.000% | 11/1/26 | 1,785 | 1,945 |
| | Illinois GO | 5.000% | 2/1/28 | 1,690 | 1,828 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Illinois GO | 5.000% | 10/1/28 | 2,000 | 2,193 |
| | Illinois GO | 5.000% | 11/1/28 | 1,000 | 1,087 |
| | Illinois GO | 5.000% | 11/1/29 | 1,000 | 1,079 |
| | Illinois GO | 5.250% | 2/1/30 | 1,900 | 1,989 |
| | Illinois GO | 5.250% | 7/1/31 | 1,000 | 1,037 |
| | Illinois GO | 5.500% | 5/1/39 | 1,000 | 1,125 |
| | Illinois GO, AGM | 5.000% | 1/1/21 | 710 | 712 |
| | Illinois GO, AGM | 5.000% | 3/1/26 | 1,125 | 1,173 |
| | Illinois Regional Transportation Authority Revenue, AGM, MBIA | 6.250% | 7/1/23 | 500 | 574 |
| | Illinois Sales Tax Revenue | 5.000% | 6/15/36 | 1,000 | 1,074 |
| | Illinois Sales Tax Revenue | 5.000% | 6/15/37 | 1,000 | 1,071 |
| | Illinois Sales Tax Revenue, BAM | 5.000% | 6/15/28 | 1,000 | 1,136 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/29 | 1,600 | 2,047 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,000 | 1,089 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,490 | 1,885 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 3,500 | 4,558 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/31 | 1,600 | 2,012 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/32 | 500 | 542 |
| | Illinois Toll Highway Authority Revenue | 5.000% | 1/1/37 | 1,200 | 1,448 |
| | Kane County IL School District No. 131 (Aurora East Side) GO, AGM | 4.000% | 12/1/33 | 250 | 282 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, AGM | 0.000% | 6/15/26 | 910 | 786 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, AGM | 0.000% | 6/15/27 | 1,195 | 997 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, NATL | 0.000% | 6/15/21 | 1,100 | 1,073 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, NATL | 5.500% | 6/15/29 | 2,505 | 2,824 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, NATL | 0.000% | 12/15/29 | 2,205 | 1,600 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue, NATL | 0.000% | 6/15/38 | 1,000 | 476 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 5.000% | 12/15/27 | 710 | 778 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 5.000% | 12/15/28 | 1,500 | 1,539 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), AGM, FGIC | 5.500% | 6/15/29 | 400 | 457 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 6/15/31 | 1,540 | 1,038 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 12/15/31 | 340 | 224 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 6/15/32 | 1,215 | 779 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 6/15/33 | 1,130 | 689 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 12/15/33 | 1,790 | 1,067 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 6/15/35 | 500 | 277 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 6/15/37 | 1,075 | 538 |
| | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project), NATL | 0.000% | 12/15/37 | 700 | 342 |
| | Northern Illinois Municipal Power Agency Project Revenue | 5.000% | 12/1/26 | 1,070 | 1,331 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 2 | Railsplitter Tobacco Settlement Authority Illinois Tobacco Settlement Revenue | 6.000% | 6/1/21 | 400 | 421 |
| | Railsplitter Tobacco Settlement Authority Illinois Tobacco Settlement Revenue | 5.000% | 6/1/26 | 1,560 | 1,851 |
| | Romeoville IL Revenue (Lewis University Project) | 5.000% | 10/1/28 | 1,000 | 1,080 |
| | Sales Tax Securitization Corp. IL Revenue | 5.000% | 1/1/29 | 1,500 | 1,829 |
| | Southwestern Illinois Development Authority Health Facilities Revenue (Hospital Sisters Services Inc.) | 5.000% | 2/15/28 | 1,000 | 1,249 |
| | Southwestern Illinois Development Authority Revenue | 5.000% | 4/15/30 | 1,275 | 1,696 |
| | Will County IL Community High School District No. 210 (Lincoln-Way) GO | 5.000% | 1/1/30 | 1,200 | 1,285 |
| | Will County IL Community High School District No. 210 (Lincoln-Way) GO, BAM | 0.000% | 1/1/29 | 1,000 | 823 |
| | | | | | | 155,137 |
| Indiana (0.7%) |
| | Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/32 | 425 | 526 |
| | Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/34 | 1,050 | 1,289 |
| | Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/35 | 1,450 | 1,774 |
| | Hammond IN Multi-School Building Corp. Revenue | 5.000% | 1/15/29 | 790 | 964 |
| | Indiana Finance Authority Hospital Revenue (Indiana University Health Obligated Group) | 5.000% | 12/1/22 | 1,100 | 1,214 |
| | Indiana Finance Authority Hospital Revenue (Indiana University Health Obligated Group) | 5.000% | 12/1/33 | 1,390 | 1,574 |
| | Indiana Finance Authority Hospital Revenue (Parkview Health Systems Obligated Group) | 5.000% | 5/1/27 | 700 | 867 |
| | Indiana Finance Authority Hospital Revenue (Parkview Health Systems Obligated Group) | 5.000% | 5/1/30 | 450 | 593 |
| | Indiana Finance Authority Revenue (Butler University Project) | 5.000% | 2/1/29 | 1,020 | 1,242 |
| 2 | Indiana Finance Authority Revenue (Community Foundation of Northwest Indiana Obligated Group) | 5.000% | 3/1/22 | 690 | 744 |
| | Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/29 | 1,175 | 1,441 |
| | Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/30 | 1,520 | 1,855 |
| | Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/31 | 1,130 | 1,371 |
| | Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 4.000% | 11/1/35 | 1,685 | 1,879 |
| | Indiana Finance Authority Revenue (Marquette Project) | 5.000% | 3/1/24 | 1,645 | 1,718 |
| | Indiana Finance Authority Revenue (Marquette Project) | 5.000% | 3/1/25 | 650 | 684 |
| | Indiana Finance Authority Revenue (Stadium Project) | 5.250% | 2/1/30 | 1,075 | 1,264 |
| 2 | Indiana Finance Authority Revenue (State Revolving Fund) | 5.000% | 2/1/23 | 500 | 560 |
| | Indiana Finance Authority Wastewater Utility Revenue (CWA Authority Project) | 5.000% | 10/1/32 | 500 | 546 |
| | Indiana Municipal Power Agency Revenue | 5.000% | 1/1/34 | 1,415 | 1,695 |
| | Indiana Municipal Power Agency Revenue | 5.000% | 1/1/36 | 1,000 | 1,236 |
| | Indiana Municipal Power Agency Revenue | 5.000% | 1/1/39 | 4,575 | 5,412 |
| | Indianapolis Department of Public Utilities Water System Revenue | 5.000% | 10/1/35 | 1,435 | 1,822 |
| | IPS Multi-School Building Corp. IN Revenue | 5.000% | 7/15/28 | 1,390 | 1,635 |
| | Ivy IN Tech Community College Revenue | 5.000% | 7/1/32 | 865 | 1,108 |
| | Ivy IN Tech Community College Revenue | 5.000% | 7/1/33 | 880 | 1,119 |
| | Purdue University Indiana University Student Facilities System Revenue | 5.000% | ��� 7/1/21 | 870 | 911 |
| | Richmond IN Hospital Authority Revenue (Reid Hospital & Health Care Services Inc.) | 5.000% | 1/1/24 | 720 | 814 |
| | Tippecanoe County IN School Building Corp. Revenue | 4.000% | 7/15/32 | 1,070 | 1,273 |
| | | | | | | 39,130 |
| Iowa (0.2%) |
| | Iowa City IA Community School District GO | 3.000% | 6/1/30 | 3,725 | 4,209 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Iowa Finance Authority Health Facilities Revenue (Mercy Medical Center Project) | 5.000% | 8/15/27 | 1,435 | 1,533 |
| | Iowa Finance Authority Midwestern Disaster Area Revenue (Iowa Fertilizer Co. Project) | 3.125% | 12/1/22 | 210 | 212 |
| 4 | Iowa Finance Authority Midwestern Disaster Area Revenue (Iowa Fertilizer Co. Project) | 5.875% | 12/1/27 | 320 | 333 |
| | Iowa Finance Authority Midwestern Disaster Area Revenue (Iowa Fertilizer Co. Project) PUT | 5.250% | 12/1/37 | 2,120 | 2,207 |
| | Iowa Finance Authority Revenue | 5.000% | 8/1/38 | 1,205 | 1,602 |
| | Xenia IA Rural Water District Revenue | 5.000% | 12/1/28 | 1,000 | 1,206 |
| | | | | | | 11,302 |
| Kansas (0.2%) |
| | Johnson County KS Public Building Commission (Courthouse & Medical Examiners Facilities) Revenue | 4.000% | 9/1/27 | 1,000 | 1,150 |
| | Kansas Department of Transportation Highway Revenue | 5.000% | 9/1/20 | 1,085 | 1,094 |
| | Kansas Department of Transportation Highway Revenue | 5.000% | 9/1/26 | 700 | 821 |
| | Kansas Development Finance Authority Revenue | 5.000% | 5/1/25 | 1,345 | 1,513 |
| | Kansas Development Finance Authority Revenue | 5.000% | 5/1/27 | 1,585 | 1,765 |
| | Kansas Development Finance Authority Revenue | 5.000% | 4/1/32 | 1,325 | 1,463 |
| | Lyon County KS Unified School District No 253. GO | 4.000% | 9/1/32 | 350 | 410 |
| | Sedgwick County KS Unified School District No. 266 (Maize) GO | 5.000% | 9/1/23 | 1,565 | 1,794 |
| | Sedgwick County KS Unified School District No. 266 (Maize) GO | 3.000% | 9/1/33 | 2,090 | 2,258 |
| 2 | Wichita KS Hospital Facilities Revenue (Via Christi Health System Inc.) | 5.000% | 11/15/21 | 500 | 531 |
| | Wyandotte County/Kansas City KS Unified Government Utility System Revenue | 5.000% | 9/1/23 | 1,000 | 1,096 |
| | | | | | | 13,895 |
| Kentucky (0.7%) |
| | Carroll County KY Pollution Control Revenue (Kentucky Utilities Co. Project) PUT | 1.550% | 9/1/26 | 1,000 | 999 |
| | Kentucky Bond Development Corp. Transient Room Tax Revenue (Lexington Center Corporation Project) | 5.000% | 9/1/29 | 1,980 | 2,371 |
| | Kentucky Economic Development Finance Authority Health System Revenue (Norton Healthcare Inc. & Affiliates), NATL | 0.000% | 10/1/25 | 1,220 | 1,092 |
| | Kentucky Economic Development Finance Authority Hospital Revenue (Baptist Healthcare System Obligated Group) | 5.000% | 8/15/31 | 1,575 | 1,854 |
| | Kentucky Municipal Power Agency Power System Revenue, NATL | 5.000% | 9/1/29 | 1,000 | 1,167 |
| | Kentucky Property & Building Commission Revenue, BAM | 5.000% | 5/1/34 | 1,000 | 1,198 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 4/1/24 | 9,220 | 10,124 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 1/1/25 | 6,500 | 7,159 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/25 | 660 | 741 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/25 | 1,095 | 1,231 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/26 | 1,790 | 2,021 |
| | Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 2/1/28 | 1,500 | 1,753 |
| | Kentucky Public Transportation Infrastructure Authority Toll Revenue (Downtown Crossing Project) BAN | 0.000% | 7/1/21 | 1,325 | 1,286 |
| | Kentucky Public Transportation Infrastructure Authority Toll Revenue (Downtown Crossing Project) BAN | 0.000% | 7/1/22 | 810 | 762 |
| | Kentucky Turnpike Authority Economic Development Road Revenue (Revitalization Project) | 5.000% | 7/1/28 | 1,000 | 1,101 |
| 2 | Louisville & Jefferson County KY Metropolitan Government Revenue (Catholic Health Initiatives) | 5.000% | 6/1/22 | 1,000 | 1,085 |
| | Owen County KY Revenue (American Water Capital Corp.) PUT | 2.450% | 10/1/29 | 500 | 536 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Owen County KY Revenue (American Water Capital Corp.) PUT | 2.450% | 10/1/29 | 1,000 | 1,072 |
| | Warren County KY Hospital Revenue (Bowling Green-Warren County Community Hospital Corp. Project) | 5.000% | 4/1/28 | 1,050 | 1,149 |
| | | | | | | 38,701 |
| Louisiana (0.3%) |
| | Bossier City LA Utilities Revenue | 5.000% | 10/1/22 | 500 | 551 |
| | Bossier City LA Utilities Revenue | 5.000% | 10/1/23 | 595 | 679 |
| | Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/31 | 1,000 | 1,052 |
| | Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/32 | 850 | 892 |
| | Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/34 | 330 | 345 |
| | Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/35 | 390 | 408 |
| | Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/35 | 1,065 | 1,303 |
| | Louisiana Gasoline & Fuel Tax Revenue | 4.500% | 5/1/39 | 2,665 | 3,023 |
| | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, BAM | 5.000% | 10/1/29 | 1,315 | 1,683 |
| | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue (LCTCS Facilities Corp. Project) | 5.000% | 10/1/33 | 1,235 | 1,354 |
| | Louisiana Public Facilities Authority Hospital Revenue (Louisiana Children's Medical Center) | 5.000% | 6/1/36 | 1,250 | 1,515 |
| | Louisiana Stadium & Exposition District Revenue | 5.000% | 7/1/24 | 1,000 | 1,080 |
| | Louisiana State University Revenue | 5.000% | 7/1/23 | 455 | 501 |
| | New Orleans LA Aviation Board Revenue, AGM | 5.000% | 10/1/27 | 910 | 1,133 |
| | New Orleans LA GO | 5.000% | 12/1/31 | 500 | 549 |
| | St. Charles Parish LA Gulf Opportunity Zone Revenue (Valero Energy Corp.) PUT | 4.000% | 6/1/22 | 1,755 | 1,829 |
| | | | | | | 17,897 |
| Maine (0.0%) |
| | Maine Health & Higher Educational Facilities Authority Revenue (Mainehealth) | 5.000% | 7/1/29 | 445 | 558 |
| | Maine Health & Higher Educational Facilities Authority Revenue (Mainehealth) | 5.000% | 7/1/30 | 600 | 746 |
| | Portland ME General Airport Revenue | 4.000% | 1/1/39 | 810 | 905 |
| | | | | | | 2,209 |
| Maryland (1.4%) |
| | Anne Arundel County MD GO | 5.000% | 10/1/20 | 1,455 | 1,472 |
| | Anne Arundel County MD GO | 5.000% | 4/1/23 | 1,190 | 1,344 |
| | Anne Arundel County MD GO | 5.000% | 10/1/27 | 1,455 | 1,776 |
| | Anne Arundel County MD GO | 5.000% | 4/1/33 | 1,000 | 1,183 |
| | Baltimore County MD GO | 5.000% | 8/1/21 | 1,435 | 1,509 |
| | Baltimore County MD GO | 4.000% | 3/1/30 | 1,200 | 1,434 |
| 2 | Baltimore MD Consolidated Public Improvement GO | 5.000% | 10/15/22 | 650 | 720 |
| | Baltimore MD Consolidated Public Improvement GO | 5.000% | 3/1/32 | 1,275 | 1,680 |
| | Baltimore MD Project Revenue | 5.000% | 7/1/24 | 2,095 | 2,463 |
| | Harford County MD GO | 5.000% | 10/1/26 | 1,250 | 1,584 |
| 2 | Howard County MD GO | 5.000% | 2/15/21 | 750 | 772 |
| 2 | Howard County MD GO | 5.000% | 8/15/21 | 80 | 84 |
| 2 | Howard County MD GO | 5.000% | 8/15/21 | 120 | 126 |
| | Maryland Department of Transportation Revenue | 4.000% | 12/1/23 | 1,905 | 2,003 |
| | Maryland Department of Transportation Revenue | 4.000% | 12/15/29 | 1,365 | 1,511 |
| | Maryland Department of Transportation Revenue | 3.000% | 10/1/30 | 2,620 | 2,909 |
| 2 | Maryland GO | 5.000% | 8/1/20 | 870 | 873 |
| | Maryland GO | 5.250% | 8/1/20 | 1,130 | 1,135 |
| | Maryland GO | 5.000% | 6/1/21 | 2,525 | 2,635 |
| | Maryland GO | 5.000% | 8/1/21 | 1,000 | 1,051 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Maryland GO | 5.000% | 3/15/22 | 1,000 | 1,081 |
| | Maryland GO | 5.000% | 8/1/22 | 1,790 | 1,966 |
| | Maryland GO | 5.000% | 8/1/22 | 1,500 | 1,648 |
| | Maryland GO | 5.000% | 3/15/23 | 1,145 | 1,290 |
| | Maryland GO | 4.000% | 8/1/23 | 2,670 | 2,973 |
| | Maryland GO | 5.000% | 8/1/23 | 1,920 | 2,196 |
| | Maryland GO | 5.000% | 8/1/23 | 1,670 | 1,910 |
| | Maryland GO | 5.000% | 3/15/24 | 1,100 | 1,288 |
| | Maryland GO | 5.000% | 8/1/25 | 6,785 | 8,321 |
| | Maryland GO | 5.000% | 3/15/26 | 1,235 | 1,541 |
| | Maryland GO | 4.000% | 8/1/26 | 1,970 | 2,171 |
| | Maryland GO | 4.000% | 3/1/29 | 3,000 | 3,154 |
| | Maryland GO | 4.000% | 6/1/29 | 2,000 | 2,237 |
| | Maryland GO | 3.250% | 8/1/30 | 1,000 | 1,066 |
| | Maryland Health & Higher Educational Facilities Authority Revenue (Adventist Healthcare Obligated Group) | 5.500% | 1/1/31 | 1,950 | 2,263 |
| | Maryland Health & Higher Educational Facilities Authority Revenue (Anne Arundel Health System) | 5.000% | 7/1/27 | 500 | 532 |
| | Maryland Health & Higher Educational Facilities Authority Revenue (Anne Arundel Health System) | 5.000% | 7/1/31 | 750 | 891 |
| 2 | Maryland Health & Higher Educational Facilities Authority Revenue (Johns Hopkins Health System Obligated Group) | 5.000% | 7/1/22 | 500 | 545 |
| | Maryland Health & Higher Educational Facilities Authority Revenue (Meritus Medical Center, Inc.) | 5.000% | 7/1/33 | 1,215 | 1,366 |
| | Maryland Health & Higher Educational Facilities Authority Revenue (University of Pittsburgh Medical Center) | 4.000% | 4/15/38 | 1,000 | 1,131 |
| | Montgomery County MD GO | 5.000% | 11/1/22 | 1,000 | 1,110 |
| | Montgomery County MD GO | 5.000% | 11/1/22 | 1,275 | 1,415 |
| | Montgomery County MD GO | 4.000% | 11/1/28 | 2,390 | 2,920 |
| | Montgomery County MD GO | 5.000% | 11/1/29 | 1,000 | 1,180 |
| | Montgomery County MD GO | 4.000% | 11/1/30 | 1,000 | 1,126 |
| | Montgomery County MD GO | 4.000% | 12/1/30 | 1,555 | 1,754 |
| | Montgomery County MD GO | 3.750% | 11/1/37 | 1,000 | 1,142 |
| 2 | Prince Georges County MD GO | 5.000% | 9/15/21 | 580 | 613 |
| | Washington MD Suburban Sanitary Commission GO | 4.000% | 6/15/33 | 1,000 | 1,182 |
| | | | | | | 80,276 |
| Massachusetts (1.3%) |
| | Massachusetts Bay Transportation Authority Assessment Revenue | 5.000% | 7/1/27 | 2,880 | 3,595 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/22 | 495 | 543 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/28 | 500 | 668 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/31 | 955 | 1,332 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/34 | 1,285 | 1,901 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/38 | 3,290 | 4,129 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/40 | 1,125 | 1,405 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue, NATL | 5.500% | 7/1/26 | 410 | 525 |
| | Massachusetts Department of Transportation Metropolitan Highway System Revenue PUT | 5.000% | 1/1/23 | 1,110 | 1,230 |
| | Massachusetts Development Finance Agency Revenue (Boston College) | 5.000% | 7/1/37 | 1,750 | 2,141 |
| | Massachusetts Development Finance Agency Revenue (CareGroup Inc.) | 5.000% | 7/1/29 | 1,225 | 1,519 |
| | Massachusetts Development Finance Agency Revenue (CareGroup Inc.) | 5.000% | 7/1/38 | 1,085 | 1,292 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Revenue (Harvard University) | 5.000% | 10/15/29 | 5,000 | 6,883 |
| 2 | Massachusetts Development Finance Agency Revenue (Lahey Clinic Obligated Group) | 5.000% | 8/15/20 | 750 | 754 |
| 2 | Massachusetts Development Finance Agency Revenue (Lahey Clinic Obligated Group) | 5.000% | 8/15/20 | 510 | 513 |
| 2 | Massachusetts Development Finance Agency Revenue (Lahey Clinic Obligated Group) | 5.000% | 8/15/20 | 600 | 603 |
| | Massachusetts Development Finance Agency Revenue (Lahey Clinic Obligated Group) | 5.000% | 7/1/34 | 500 | 614 |
| | Massachusetts Development Finance Agency Revenue (UMass Memorial Medical Center) | 5.000% | 7/1/25 | 1,275 | 1,501 |
| | Massachusetts Development Finance Agency Revenue (UMass Memorial Medical Center) | 5.125% | 7/1/26 | 720 | 746 |
| | Massachusetts Development Finance Agency Revenue (Western New England University) | 5.000% | 9/1/32 | 1,105 | 1,275 |
| | Massachusetts Educational Financing Authority Education Loan Revenue | 5.500% | 1/1/22 | 300 | 300 |
| | Massachusetts GO | 5.000% | 8/1/20 | 520 | 522 |
| | Massachusetts GO | 5.250% | 8/1/20 | 300 | 301 |
| | Massachusetts GO | 5.500% | 10/1/20 | 525 | 532 |
| | Massachusetts GO | 5.000% | 8/1/22 | 1,000 | 1,098 |
| | Massachusetts GO | 5.250% | 8/1/23 | 525 | 605 |
| | Massachusetts GO | 5.000% | 12/1/23 | 1,520 | 1,761 |
| | Massachusetts GO | 5.000% | 12/1/24 | 2,040 | 2,448 |
| | Massachusetts GO | 5.000% | 5/1/29 | 2,180 | 2,458 |
| | Massachusetts GO | 5.000% | 5/1/31 | 1,675 | 1,881 |
| | Massachusetts GO | 5.000% | 9/1/31 | 1,500 | 2,097 |
| | Massachusetts GO | 5.250% | 1/1/34 | 2,665 | 3,518 |
| | Massachusetts GO | 5.000% | 7/1/35 | 1,000 | 1,187 |
| | Massachusetts GO, NATL | 5.500% | 10/1/20 | 500 | 507 |
| 3 | Massachusetts GO, 67% of 3M USD LIBOR + 0.550% | 1.010% | 11/1/25 | 1,380 | 1,371 |
| | Massachusetts Port Authority Revenue | 5.000% | 7/1/35 | 2,380 | 2,969 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 10/15/20 | 335 | 340 |
| 6 | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 5/15/21 | 900 | 937 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/23 | 645 | 707 |
| 2 | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 4.750% | 8/15/25 | 165 | 200 |
| 2 | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/25 | 355 | 435 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/29 | 3,500 | 3,815 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/31 | 1,500 | 1,801 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 4.000% | 8/15/32 | 600 | 676 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 4.750% | 8/15/32 | 1,335 | 1,558 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/34 | 1,010 | 1,201 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 2/15/36 | 1,500 | 1,700 |
| | Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/37 | 1,860 | 2,195 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Special Obligation Dedicated Tax Revenue, NATL | 5.500% | 1/1/26 | 510 | 618 |
| | Massachusetts Transportation Fund Revenue | 4.000% | 6/1/35 | 1,000 | 1,165 |
| | Massachusetts Turnpike Authority Revenue (Metropolitan Highway System), NATL | 0.000% | 1/1/29 | 880 | 747 |
| | Massachusetts Water Pollution Abatement Trust Revenue | 5.250% | 8/1/20 | 250 | 251 |
| | Massachusetts Water Pollution Abatement Trust Revenue | 5.250% | 8/1/21 | 500 | 527 |
| 2 | Massachusetts Water Resources Authority Revenue | 5.000% | 8/1/20 | 895 | 898 |
| | Massachusetts Water Resources Authority Revenue | 4.000% | 8/1/40 | 1,000 | 1,099 |
| | | | | | | 77,594 |
| Michigan (1.4%) |
| | Battle Creek MI School District GO, SBLF | 5.000% | 5/1/25 | 535 | 644 |
| | Birmingham MI City School District GO | 5.000% | 5/1/22 | 740 | 804 |
| | Chippewa Valley MI Schools GO, SBLF | 5.000% | 5/1/33 | 1,000 | 1,207 |
| | Dearborn MI School District GO, SBLF | 5.000% | 5/1/34 | 1,200 | 1,370 |
| | Detroit MI City School District GO, AGM, SBLF | 5.250% | 5/1/28 | 615 | 796 |
| | Detroit MI Downtown Development Authority Tax Allocation Revenue, AGM | 5.000% | 7/1/35 | 1,120 | 1,267 |
| | Detroit MI Water & Sewerage Department Sewage Disposal System Revenue | 5.000% | 7/1/22 | 455 | 496 |
| 2 | Detroit MI Water & Sewerage Department Sewage Disposal System Revenue | 5.000% | 7/1/22 | 1,000 | 1,093 |
| | Detroit MI Water & Sewerage Department Sewage Disposal System Revenue | 5.000% | 7/1/23 | 1,050 | 1,145 |
| | Downriver MI Utility Wastewater Authority Revenue, AGM | 5.000% | 4/1/34 | 1,020 | 1,265 |
| | Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/27 | 1,840 | 2,312 |
| | Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/28 | 1,205 | 1,551 |
| | Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/29 | 1,200 | 1,538 |
| | Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/31 | 1,645 | 1,996 |
| | Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/37 | 1,000 | 1,229 |
| | Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/28 | 1,030 | 1,239 |
| | Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/29 | 1,420 | 1,842 |
| | Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/33 | 1,310 | 1,691 |
| | Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/40 | 500 | 635 |
| | Great Lakes MI Water Authority Water Supply System Revenue, AGM | 4.000% | 7/1/33 | 1,000 | 1,141 |
| | Hudsonville MI Public Schools GO, SBLF | 5.000% | 5/1/31 | 420 | 528 |
| | Karegnondi Water Authority Michigan Water Supply System Revenue (Karegnondi Water Pipeline) | 5.000% | 11/1/29 | 625 | 797 |
| | Lake Orion MI Community School District GO, SBLF | 5.000% | 5/1/38 | 4,000 | 5,061 |
| | Lincoln MI Consolidated School District GO, AGM, SBLF | 5.000% | 5/1/24 | 1,000 | 1,171 |
| | Marysville MI Public Schools District GO, SBLF | 5.000% | 5/1/28 | 1,630 | 2,011 |
| | Michigan Building Authority Revenue | 5.000% | 4/15/24 | 1,550 | 1,811 |
| | Michigan Building Authority Revenue | 5.000% | 10/15/32 | 1,395 | 1,704 |
| | Michigan Building Authority Revenue | 5.000% | 4/15/33 | 1,000 | 1,199 |
| | Michigan Building Authority Revenue | 5.000% | 4/15/36 | 1,235 | 1,492 |
| | Michigan Environmental Program GO | 4.000% | 5/1/28 | 1,000 | 1,174 |
| 2 | Michigan Finance Authority Hospital Revenue Bonds (Trinity Health Credit Group) | 5.000% | 12/1/21 | 920 | 980 |
| | Michigan Finance Authority Revenue | 5.000% | 10/1/22 | 500 | 529 |
| | Michigan Finance Authority Revenue | 5.000% | 11/1/28 | 1,055 | 1,384 |
| | Michigan Finance Authority Revenue | 5.000% | 10/1/34 | 2,565 | 3,239 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/28 | 750 | 893 |
| | Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/29 | 1,500 | 1,716 |
| | Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/33 | 1,000 | 1,129 |
| | Michigan Finance Authority Revenue (Detroit Water & Sewer), AGM | 5.000% | 7/1/22 | 1,000 | 1,092 |
| | Michigan Finance Authority Revenue (Detroit Water & Sewer), AGM | 5.000% | 7/1/23 | 1,000 | 1,136 |
| | Michigan Finance Authority Revenue (Henry Ford Health System Obligated Group) | 5.000% | 11/15/26 | 1,210 | 1,472 |
| | Michigan Finance Authority Revenue (Kalamazoo College Project) | 5.000% | 12/1/26 | 850 | 1,001 |
| | Michigan Finance Authority Revenue (Kalamazoo College Project) | 5.000% | 12/1/27 | 965 | 1,151 |
| | Michigan Finance Authority Revenue (McLaren Health Care Corp.) | 5.000% | 2/15/34 | 1,700 | 2,117 |
| | Michigan Finance Authority Revenue (Sparrow Obligated Group) | 5.000% | 11/15/27 | 500 | 541 |
| | Michigan Finance Authority Revenue (Sparrow Obligated Group) | 5.000% | 11/15/36 | 500 | 534 |
| 2 | Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/22 | 1,000 | 1,105 |
| 2 | Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/22 | 500 | 553 |
| | Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/22 | 2,165 | 2,392 |
| | Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/36 | 2,000 | 2,506 |
| | Michigan State University Revenue | 5.000% | 8/15/20 | 1,040 | 1,046 |
| | Oakland University MI Revenue | 5.000% | 3/1/30 | 1,250 | 1,468 |
| | Portage MI Public Schools GO | 5.000% | 11/1/34 | 1,250 | 1,484 |
| | Roseville MI School District GO, SBLF | 5.000% | 5/1/34 | 1,665 | 1,972 |
| | Royal Oak MI Hospital Finance Authority Hospital Revenue (William Beaumont Hospital) | 5.000% | 9/1/25 | 1,450 | 1,647 |
| | University of Michigan Revenue | 5.000% | 4/1/32 | 2,020 | 2,531 |
| | Wayne County MI Airport Authority Revenue | 5.000% | 12/1/25 | 870 | 1,033 |
| | Wayne County MI Airport Authority Revenue | 5.000% | 12/1/30 | 1,300 | 1,506 |
| | | | | | | 80,366 |
| Minnesota (0.6%) |
| | Bloomington MN Independent School District No. 271 GO | 5.000% | 2/1/22 | 2,010 | 2,160 |
| | Duluth MN Independent School District No. 709 COP | 5.000% | 2/1/27 | 365 | 452 |
| | Duluth MN Independent School District No. 709 COP | 5.000% | 2/1/28 | 350 | 444 |
| | Farmington MN Independent School District No. 192 GO | 5.000% | 2/1/21 | 1,800 | 1,849 |
| | Minneapolis & St. Paul MN Metropolitan Airports Commission Revenue | 5.000% | 1/1/26 | 450 | 546 |
| | Minneapolis MN Special School District No. 1 COP | 5.000% | 2/1/26 | 1,855 | 2,068 |
| | Minnesota GO | 5.000% | 8/1/22 | 1,500 | 1,649 |
| | Minnesota GO | 5.000% | 8/1/24 | 1,615 | 1,919 |
| | Minnesota GO | 5.000% | 8/1/25 | 1,500 | 1,841 |
| | Minnesota GO | 5.000% | 8/1/27 | 1,005 | 1,228 |
| | Minnesota GO | 5.000% | 8/1/28 | 3,000 | 3,975 |
| | Minnesota GO | 5.000% | 9/1/30 | 1,235 | 1,567 |
| | Minnesota Higher Education Facilities Authority Revenue (Hamline University) | 5.000% | 10/1/35 | 595 | 630 |
| | Minnesota Housing Finance Agency Residential Housing Revenue, GNMA, FNMA, FHLMC | 2.800% | 12/1/47 | 1,604 | 1,639 |
| | Osseo MN Independent School District No. 279 GO | 5.000% | 2/1/28 | 1,000 | 1,265 |
| | Owatonna MN Independent School District No. 761 GO | 3.000% | 2/1/32 | 1,190 | 1,316 |
| | Rochester MN Health Care Facilities Revenue (Mayo Clinic) | 5.000% | 11/15/31 | 1,000 | 1,368 |
| | St. Francis MN Independent School District No. 15 GO | 5.000% | 2/1/26 | 385 | 430 |
| | St. Francis MN Independent School District No. 15 GO | 5.000% | 2/1/27 | 485 | 540 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/29 | 515 | 554 |
| | St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/30 | 550 | 590 |
| | St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/32 | 775 | 827 |
| 2 | University of Minnesota Revenue | 5.250% | 12/1/20 | 500 | 510 |
| | University of Minnesota Revenue | 5.000% | 4/1/23 | 1,115 | 1,256 |
| | West St. Paul MN Independent School District No. 197 Revenue (Mendota Heights-Eagan) | 4.000% | 2/1/28 | 1,000 | 1,187 |
| | White Bear Lake MN Independent School District No. 624 GO | 3.000% | 2/1/30 | 1,150 | 1,300 |
| | | | | | | 33,110 |
| Mississippi (0.4%) |
| | Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue VRDO | 0.030% | 7/1/20 | 10,185 | 10,185 |
| | Mississippi Development Bank Special Obligation Revenue (Marshall County Industrial Development Highway Refunding Project) | 5.000% | 1/1/26 | 1,335 | 1,633 |
| | Mississippi Development Bank Special Obligation Revenue (Rankin County School District) | 5.000% | 6/1/27 | 500 | 636 |
| | Mississippi Development Bank Special Obligation Revenue (Rankin County School District) | 5.000% | 6/1/30 | 1,745 | 2,199 |
| | Mississippi Gaming Tax Revenue | 5.000% | 10/15/36 | 1,500 | 1,762 |
| | Mississippi GO | 5.000% | 11/1/29 | 1,000 | 1,212 |
| | Mississippi Hospital Equipment & Facilities Authority Revenue (Forrest General Hospital Inc.) | 5.000% | 1/1/29 | 830 | 1,040 |
| | Mississippi Hospital Equipment & Facilities Authority Revenue (Forrest General Hospital Inc.) | 5.000% | 1/1/30 | 625 | 797 |
| | Mississippi Hospital Equipment & Facilities Authority Revenue (North Mississippi Health Services) | 5.000% | 10/1/27 | 1,000 | 1,211 |
| | Mississippi Institutions of Higher Learning Revenue (University of Mississippi Medical Center) | 4.000% | 6/1/34 | 1,000 | 1,149 |
| 2 | Mississippi State University Educational Building Corp. Revenue | 5.000% | 8/1/23 | 1,000 | 1,143 |
| | Mississippi State University Educational Building Corp. Revenue | 5.000% | 8/1/30 | 575 | 728 |
| | Mississippi State University Educational Building Corp. Revenue | 5.000% | 8/1/31 | 495 | 622 |
| | | | | | | 24,317 |
| Missouri (0.4%) |
| | Columbia MO Water & Electric System Revenue, AGM | 3.000% | 10/1/31 | 1,285 | 1,402 |
| | Jackson County MO School District No. 4 GO (Blue Springs) | 6.000% | 3/1/38 | 1,000 | 1,379 |
| | Jackson County MO Special Obligation Revenue (Truman Sports Complex Project) | 5.000% | 12/1/31 | 1,500 | 1,612 |
| | Jackson County MO Special Obligation Revenue (Truman Sports Complex Project) | 5.000% | 12/1/26 | 1,190 | 1,329 |
| | Kansas City MO Sanitary Sewer System Revenue | 5.000% | 1/1/32 | 1,020 | 1,293 |
| | Little Blue Valley MO Sewer District Revenue | 3.000% | 9/1/33 | 1,505 | 1,637 |
| | Metropolitan St. Louis MO Sewer District Wastewater System Revenue | 5.000% | 5/1/34 | 525 | 654 |
| | Missouri Health & Educational Facilities Authority Educational Facilities Revenue (St. Louis College of Pharmacy Project) | 5.000% | 5/1/30 | 1,000 | 1,047 |
| | Missouri Health & Educational Facilities Authority Educational Facilities Revenue (St. Louis College of Pharmacy Project) | 5.000% | 5/1/34 | 880 | 912 |
| | Missouri Health & Educational Facilities Authority Health Facilities Revenue (SSM Health System) | 5.000% | 6/1/25 | 1,480 | 1,695 |
| | Missouri Health & Educational Facilities Authority Health Facilities Revenue (St. Luke's Health System) | 5.000% | 12/1/31 | 1,000 | 1,240 |
| | Missouri Health & Educational Facilities Authority Revenue (Children's Mercy Hospital) | 5.000% | 5/15/36 | 1,100 | 1,277 |
| | Missouri Health & Educational Facilities Authority Revenue (Mercy Health) | 5.000% | 11/15/34 | 1,500 | 1,703 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Missouri Highways & Transportation Commission Road Revenue | 5.000% | 2/1/23 | 710 | 796 |
| | Missouri Joint Municipal Electric Utility Commission Power Project Revenue (Iatan 2 Project) | 5.000% | 12/1/34 | 1,425 | 1,662 |
| | Missouri Joint Municipal Electric Utility Commission Power Project Revenue (Prairie Project) | 5.000% | 12/1/34 | 1,010 | 1,191 |
| | St. Louis MO Parking Revenue, AGM | 5.000% | 12/15/23 | 715 | 817 |
| | St. Louis MO Sewer & Wastewater Revenue | 5.000% | 5/1/36 | 1,000 | 1,188 |
| | | | | | | 22,834 |
| Montana (0.0%) |
| | Montana Facility Finance Authority Hospital Revenue (Benefis Health System) | 5.000% | 2/15/32 | 825 | 988 |
| Multiple States (0.2%) |
| 8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 9/15/30 | 1,575 | 1,700 |
| 4,8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.600% | 9/15/33 | 1,985 | 2,157 |
| 4,8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.625% | 6/15/35 | 1,975 | 2,155 |
| 4,8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 6/15/35 | 1,390 | 1,524 |
| 8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 3.400% | 1/25/36 | 488 | 553 |
| 4,8 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 6/15/36 | 1,300 | 1,420 |
| | | | | | | 9,509 |
| Nebraska (0.3%) |
| | Central Plains Energy Project Nebraska Gas Project Revenue (Project No. 3) | 5.000% | 9/1/42 | 1,000 | 1,348 |
| | Central Plains Energy Project Nebraska Gas Project Revenue (Project No. 3) | 5.000% | 9/1/27 | 1,000 | 1,204 |
| | Central Plains Energy Project Nebraska Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 8/1/25 | 6,000 | 6,810 |
| 2 | Lincoln County NE Hospital Authority No. 1 Hospital Revenue (Great Plains Regional Medical Center Project) | 5.000% | 11/1/21 | 750 | 795 |
| 2 | Lincoln NE Electric System Revenue | 5.000% | 9/1/22 | 135 | 148 |
| | Lincoln NE Electric System Revenue | 5.000% | 9/1/25 | 275 | 303 |
| | Municipal Energy Agency of Nebraska Power Supply System Revenue | 5.000% | 4/1/31 | 345 | 370 |
| | Nebraska Public Power District Revenue | 5.000% | 1/1/30 | 1,000 | 1,063 |
| | Nebraska Public Power District Revenue | 5.000% | 1/1/32 | 1,500 | 1,590 |
| | Omaha NE Public Power District Electric Revenue | 5.000% | 2/1/29 | 1,270 | 1,556 |
| | Omaha NE Sewer Revenue | 5.000% | 11/15/29 | 2,500 | 2,957 |
| | Scotts Bluff County NE Hospital Authority Revenue (Regional West Medical Center) | 5.000% | 2/1/24 | 1,685 | 1,869 |
| | | | | | | 20,013 |
| Nevada (0.7%) |
| | Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) | 5.000% | 9/1/26 | 560 | 656 |
| | Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) | 5.000% | 9/1/28 | 1,220 | 1,447 |
| | Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) | 5.000% | 9/1/33 | 1,740 | 1,838 |
| | Clark County NV Airport Improvement Revenue | 5.000% | 7/1/30 | 1,875 | 2,394 |
| | Clark County NV GO | 4.000% | 6/1/32 | 1,505 | 1,746 |
| | Clark County NV GO | 5.000% | 7/1/33 | 1,000 | 1,099 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Clark County NV Highway Improvement Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/31 | 1,575 | 1,791 |
| | Clark County NV Highway Improvement Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/36 | 1,075 | 1,285 |
| | Clark County NV Passenger Facility Charge Revenue (Las Vegas McCarran International Airport) | 5.000% | 7/1/31 | 1,000 | 1,268 |
| | Clark County NV School District GO, AGM | 5.000% | 6/15/27 | 3,000 | 3,741 |
| | Clark County NV School District GO, AGM | 4.000% | 6/15/33 | 1,820 | 2,071 |
| | Clark County NV School District GO, AGM | 4.000% | 6/15/40 | 850 | 983 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/21 | 2,000 | 2,087 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/24 | 1,190 | 1,394 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 12/1/27 | 1,990 | 2,387 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/35 | 1,870 | 2,236 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/38 | 1,000 | 1,256 |
| | Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/39 | 1,500 | 1,879 |
| | Nevada GO | 5.000% | 4/1/22 | 1,740 | 1,881 |
| | Nevada GO | 5.000% | 11/1/23 | 1,465 | 1,687 |
| | Nevada GO | 5.000% | 11/1/25 | 1,015 | 1,229 |
| | Nevada Highway Improvement Revenue (Motor Vehicle Fuel Tax) | 4.000% | 12/1/32 | 1,660 | 1,909 |
| | Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/27 | 250 | 284 |
| | Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/28 | 250 | 287 |
| | Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/32 | 250 | 283 |
| | Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/33 | 250 | 281 |
| | Truckee Meadows NV Water Authority Water Revenue | 5.000% | 7/1/34 | 1,510 | 1,838 |
| | | | | | | 41,237 |
| New Hampshire (0.1%) |
| | National Finance Authority NH Revenue | 4.125% | 1/20/34 | 2,586 | 2,772 |
| | New Hampshire Health & Education Facilities Authority Revenue (Dartmouth College) | 4.000% | 8/1/43 | 2,985 | 3,285 |
| | | | | | | 6,057 |
| New Jersey (1.7%) |
| | Bergen County NJ GO | 5.000% | 10/15/21 | 1,490 | 1,581 |
| | Camden County NJ Improvement Authority Health Care Redevelopment Project Revenue (Cooper Health System Obligated Group) | 5.000% | 2/15/27 | 1,400 | 1,546 |
| | Garden State Preservation Trust New Jersey Revenue (Open Space & Farmland Preservation), AGM | 0.000% | 11/1/21 | 500 | 489 |
| | Jersey City NJ GO | 5.000% | 3/1/21 | 480 | 495 |
| | Morris County NJ Improvement Authority School District Revenue (Morris Hills Regional District Project) | 5.000% | 10/1/23 | 510 | 563 |
| | New Jersey Economic Development Authority Revenue | 5.000% | 6/15/21 | 1,000 | 1,026 |
| | New Jersey Economic Development Authority Revenue | 5.000% | 6/15/23 | 1,000 | 1,076 |
| | New Jersey Economic Development Authority Revenue | 5.250% | 6/15/27 | 500 | 558 |
| | New Jersey Economic Development Authority Revenue | 5.500% | 6/15/29 | 2,000 | 2,311 |
| | New Jersey Economic Development Authority Revenue | 4.000% | 6/15/35 | 500 | 523 |
| | New Jersey Economic Development Authority Revenue (Cigarette Tax) | 5.000% | 6/15/26 | 1,600 | 1,648 |
| 6 | New Jersey Economic Development Authority Revenue (Motor Vehicle Surcharge), NATL | 5.250% | 7/1/26 | 95 | 121 |
| | New Jersey Economic Development Authority Revenue (Motor Vehicle Surcharge), NATL | 5.250% | 7/1/26 | 405 | 463 |
| | New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.250% | 9/1/24 | 300 | 307 |
| | New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.000% | 3/1/28 | 2,095 | 2,214 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.000% | 6/15/35 | 700 | 793 |
| | New Jersey Economic Development Authority Revenue (School Facilities Construction), NATL | 5.500% | 9/1/27 | 1,000 | 1,178 |
| | New Jersey Health Care Facilities Financing Authority Lease Revenue (Greystone Park Psychiatric Hospital Project) | 5.000% | 9/15/24 | 500 | 535 |
| | New Jersey Health Care Facilities Financing Authority Revenue (Barnabas Health) | 5.000% | 7/1/22 | 1,000 | 1,080 |
| | New Jersey Health Care Facilities Financing Authority Revenue (Barnabas Health) | 5.000% | 7/1/25 | 900 | 968 |
| | New Jersey Health Care Facilities Financing Authority Revenue (Hackensack Meridian Health) | 5.000% | 7/1/21 | 640 | 669 |
| | New Jersey Health Care Facilities Financing Authority Revenue (St. Joseph's Healthcare System) | 5.000% | 7/1/27 | 1,000 | 1,164 |
| | New Jersey Health Care Facilities Financing Authority Revenue (Valley Health System) | 5.000% | 7/1/29 | 1,385 | 1,750 |
| 4 | New Jersey TRAN | 4.000% | 9/25/20 | 10,000 | 10,004 |
| | New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/25 | 1,300 | 1,469 |
| | New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/28 | 1,380 | 1,551 |
| | New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/28 | 620 | 697 |
| | New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/29 | 1,400 | 1,564 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/27 | 1,000 | 1,150 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/30 | 1,285 | 1,478 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 6/15/31 | 1,000 | 1,146 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/33 | 1,115 | 1,259 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/34 | 1,115 | 1,255 |
| | New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/35 | 1,015 | 1,138 |
| | New Jersey Transportation Trust Fund Authority Transportation Program Revenue | 5.250% | 6/15/33 | 1,500 | 1,637 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.500% | 12/15/22 | 1,315 | 1,415 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.500% | 12/15/23 | 605 | 668 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 12/15/24 | 1,000 | 1,106 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 12/15/27 | 5,260 | 6,050 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.500% | 6/15/31 | 500 | 511 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 6/15/32 | 700 | 754 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue, AGC-ICC, MBIA | 5.500% | 12/15/21 | 150 | 160 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue, AMBAC | 0.000% | 12/15/26 | 2,000 | 1,621 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue, NATL | 5.500% | 12/15/20 | 2,500 | 2,538 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue, NATL | 5.250% | 12/15/21 | 345 | 360 |
| | New Jersey Transportation Trust Fund Authority Transportation System Revenue, NATL | 0.000% | 12/15/31 | 1,000 | 660 |
| 2 | New Jersey Turnpike Authority Revenue | 5.000% | 1/1/22 | 1,000 | 1,071 |
| | New Jersey Turnpike Authority Revenue | 5.000% | 1/1/26 | 1,185 | 1,305 |
| | New Jersey Turnpike Authority Revenue | 5.000% | 1/1/28 | 1,190 | 1,305 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New Jersey Turnpike Authority Revenue | 5.000% | 1/1/32 | 1,000 | 1,228 |
| | New Jersey Turnpike Authority Revenue | 4.000% | 1/1/33 | 1,070 | 1,195 |
| | New Jersey Turnpike Authority Revenue | 4.000% | 1/1/34 | 2,500 | 2,779 |
| | New Jersey Turnpike Authority Revenue | 5.000% | 1/1/35 | 1,000 | 1,186 |
| 4 | New Jersey Turnpike Authority Revenue TOB VRDO LIQ: Morgan Stanley Bank | 0.290% | 7/9/20 | 5,000 | 5,000 |
| | South Jersey Transportation Authority New Jersey Transportation System Revenue | 5.000% | 11/1/25 | 500 | 530 |
| | South Jersey Transportation Authority New Jersey Transportation System Revenue | 5.000% | 11/1/39 | 1,025 | 1,098 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/26 | 1,825 | 2,209 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 3.200% | 6/1/27 | 280 | 285 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/27 | 3,200 | 3,955 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/30 | 685 | 849 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/31 | 1,000 | 1,228 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/35 | 450 | 542 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/36 | 1,500 | 1,801 |
| | Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/37 | 1,000 | 1,197 |
| | Toms River NJ Board of Education GO | 3.000% | 7/15/30 | 3,000 | 3,290 |
| | Toms River NJ Board of Education GO | 3.000% | 7/15/33 | 3,570 | 3,827 |
| | | | | | | 99,129 |
| New Mexico (0.3%) |
| | Albuquerque NM GO | 5.000% | 7/1/20 | 2,000 | 2,000 |
| | Albuquerque NM GO | 5.000% | 7/1/23 | 5,000 | 5,691 |
| | Albuquerque NM Municipal School District No. 12 GO | 5.000% | 8/1/22 | 290 | 318 |
| | Albuquerque NM Municipal School District No. 12 GO | 5.000% | 8/1/23 | 265 | 301 |
| | Farmington NM Pollution Control Revenue (Arizona Public Service Co. Four Corners Project) | 4.700% | 9/1/24 | 1,750 | 1,771 |
| | New Mexico Finance Authority Revenue | 5.000% | 6/1/23 | 1,210 | 1,373 |
| | New Mexico Finance Authority Transportation Revenue | 5.000% | 6/15/23 | 500 | 502 |
| | New Mexico Finance Authority Transportation Revenue | 4.000% | 6/15/26 | 2,000 | 2,128 |
| | New Mexico Finance Authority Transportation Revenue | 5.000% | 6/15/27 | 1,045 | 1,227 |
| | New Mexico Hospital Equipment Loan Council Hospital System Revenue (Presbyterian Healthcare Services) | 5.000% | 8/1/28 | 1,445 | 1,698 |
| | New Mexico Hospital Equipment Loan Council Hospital System Revenue (Presbyterian Healthcare Services) VRDO LOC: Wells Fargo Bank NA | 0.030% | 7/1/20 | 1,900 | 1,900 |
| | New Mexico Municipal Energy Acquisition Authority Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 5.000% | 5/1/25 | 615 | 723 |
| | | | | | | 19,632 |
| New York (7.1%) |
| | Battery Park City NY Authority Revenue | 5.000% | 11/1/38 | 750 | 979 |
| | Erie County NY Fiscal Stability Authority Revenue | 5.000% | 9/1/30 | 500 | 644 |
| | Erie County NY Industrial Development Agency School Facility Revenue (Buffalo City School District Project) | 5.250% | 5/1/31 | 500 | 520 |
| | Hempstead NY GO, AGM | 4.000% | 4/1/29 | 1,420 | 1,622 |
| | Hudson Yards Infrastructure Corp. New York Revenue | 5.000% | 2/15/36 | 1,500 | 1,778 |
| | Hudson Yards Infrastructure Corp. New York Revenue | 5.000% | 2/15/37 | 500 | 591 |
| | Long Island NY Power Authority Electric System Revenue | 5.000% | 9/1/24 | 130 | 142 |
| | Long Island NY Power Authority Electric System Revenue | 5.000% | 9/1/35 | 1,000 | 1,247 |
| | Metropolitan Transportation Authority NY BAN | 5.000% | 5/15/21 | 3,000 | 3,063 |
| | Metropolitan Transportation Authority NY BAN | 5.000% | 5/15/22 | 9,100 | 9,502 |
| | Metropolitan Transportation Authority NY Revenue | 5.000% | 2/1/23 | 7,000 | 7,417 |
| | Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/34 | 2,500 | 2,986 |
| | Metropolitan Transportation Authority NY Revenue | 4.000% | 11/15/40 | 1,735 | 1,833 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Metropolitan Transportation Authority NY Revenue PUT | 5.000% | 5/15/24 | 7,000 | 7,621 |
| | Metropolitan Transportation Authority Revenue PUT | 5.000% | 11/15/22 | 8,095 | 8,572 |
| | Monroe County NY Industrial Development Agency School Facility Revenue (Rochester Schools Modernization Project) | 5.000% | 5/1/31 | 1,965 | 2,387 |
| | Monroe County NY Industrial Development Corp. Mortgage Revenue (Unity Hospital Rochester Project), FHA | 5.500% | 8/15/23 | 65 | 65 |
| | Monroe County NY Industrial Development Corp. Revenue (University of Rochester Project) | 5.000% | 7/1/37 | 1,000 | 1,209 |
| | Nassau County NY GO | 5.000% | 4/1/23 | 1,000 | 1,111 |
| | New York City NY GO | 5.000% | 8/1/20 | 2,935 | 2,946 |
| | New York City NY GO | 5.000% | 8/1/20 | 2,260 | 2,269 |
| | New York City NY GO | 5.000% | 8/1/21 | 2,000 | 2,099 |
| 2 | New York City NY GO | 5.000% | 8/1/21 | 365 | 384 |
| | New York City NY GO | 5.000% | 8/1/21 | 515 | 540 |
| | New York City NY GO | 5.000% | 8/1/21 | 1,745 | 1,831 |
| 2 | New York City NY GO | 5.000% | 10/1/21 | 370 | 391 |
| | New York City NY GO | 5.000% | 8/1/22 | 705 | 771 |
| | New York City NY GO | 5.000% | 8/1/22 | 1,290 | 1,410 |
| | New York City NY GO | 5.000% | 10/1/22 | 130 | 137 |
| | New York City NY GO | 5.000% | 8/1/23 | 400 | 436 |
| | New York City NY GO | 5.000% | 8/1/23 | 1,505 | 1,710 |
| | New York City NY GO | 5.000% | 8/1/24 | 1,000 | 1,174 |
| | New York City NY GO | 5.000% | 8/1/25 | 770 | 822 |
| | New York City NY GO | 5.000% | 8/1/25 | 1,245 | 1,507 |
| | New York City NY GO | 5.000% | 8/1/25 | 1,310 | 1,586 |
| | New York City NY GO | 5.000% | 8/1/25 | 1,000 | 1,211 |
| | New York City NY GO | 5.000% | 6/1/26 | 2,450 | 2,917 |
| | New York City NY GO | 5.000% | 8/1/26 | 500 | 544 |
| | New York City NY GO | 5.000% | 8/1/26 | 1,000 | 1,107 |
| | New York City NY GO | 5.000% | 8/1/28 | 400 | 402 |
| | New York City NY GO | 5.000% | 8/1/30 | 1,000 | 1,121 |
| | New York City NY GO | 5.000% | 3/1/31 | 1,340 | 1,479 |
| | New York City NY GO | 5.000% | 12/1/32 | 1,755 | 2,133 |
| | New York City NY GO | 5.000% | 12/1/33 | 1,515 | 1,834 |
| | New York City NY GO | 5.000% | 12/1/35 | 1,120 | 1,347 |
| | New York City NY GO VRDO LOC: Barclays Bank plc | 0.030% | 7/1/20 | 22,215 | 22,215 |
| | New York City NY GO VRDO LOC: Barclays Bank plc | 0.030% | 7/1/20 | 4,850 | 4,850 |
| | New York City NY GO VRDO LOC: JPMorgan Chase Bank NA | 0.020% | 7/1/20 | 3,700 | 3,700 |
| | New York City NY GO VRDO LOC: JPMorgan Chase Bank NA | 0.020% | 7/1/20 | 12,625 | 12,625 |
| | New York City NY Health & Hospital Corp. Revenue (Health System) | 5.000% | 2/15/30 | 575 | 577 |
| | New York City NY Housing Development Corp. Multi-Family Housing Revenue | 5.250% | 7/1/29 | 1,000 | 1,125 |
| | New York City NY Housing Development Corp. Multi-Family Housing Revenue | 3.700% | 11/1/38 | 2,000 | 2,119 |
| | New York City NY Housing Development Corp. Multi-Family Housing Revenue, FNMA PUT | 2.950% | 2/1/26 | 1,000 | 1,085 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 1,250 | 1,507 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 500 | 520 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.250% | 6/15/33 | 1,000 | 1,273 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/36 | 2,000 | 2,398 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/38 | 1,000 | 1,248 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/39 | 2,050 | 2,411 |
| | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/39 | 2,500 | 3,200 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/24 | 550 | 596 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/28 | 1,730 | 2,062 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/29 | 2,000 | 2,377 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/30 | 1,045 | 1,252 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/32 | 250 | 269 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 5.000% | 7/15/35 | 1,635 | 2,037 |
| | New York City NY Transitional Finance Authority Building Aid Revenue | 4.000% | 7/15/38 | 1,750 | 1,993 |
| 2 | New York City NY Transitional Finance Authority Future Tax Revenue | 5.250% | 2/1/21 | 60 | 62 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/22 | 1,140 | 1,261 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/25 | 460 | 487 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/28 | 1,325 | 1,599 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/29 | 850 | 948 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 2/1/30 | 500 | 552 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.250% | 2/1/30 | 440 | 452 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 2/1/31 | 500 | 512 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/31 | 300 | 322 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/31 | 500 | 547 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/32 | 1,250 | 1,446 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/32 | 500 | 546 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/32 | 1,500 | 1,784 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/34 | 500 | 536 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/34 | 1,450 | 1,671 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/34 | 1,710 | 2,063 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/34 | 1,500 | 1,782 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/35 | 1,525 | 1,876 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/35 | 1,745 | 2,069 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/36 | 1,580 | 1,926 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 8/1/36 | 1,235 | 1,401 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 11/1/36 | 1,000 | 1,164 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/37 | 1,680 | 2,053 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/38 | 2,500 | 2,761 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/38 | 8,000 | 9,167 |
| | New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 11/1/38 | 1,000 | 1,156 |
| | New York City NY Transitional Finance Authority Future Tax Revenue VRDO LOC: JPMorgan Chase Bank NA | 0.020% | 7/1/20 | 700 | 700 |
| | New York City NY Transitional Finance Authority Revenue | 5.000% | 8/1/35 | 1,500 | 1,874 |
| | New York City NY Transitional Finance Authority Revenue | 5.000% | 8/1/36 | 5,710 | 7,106 |
| | New York City NY Transitional Finance Authority Revenue | 5.000% | 5/1/38 | 1,675 | 2,063 |
| | New York City NY Transitional Finance Authority Revenue | 5.000% | 5/1/39 | 1,335 | 1,676 |
| | New York City NY Trust for Cultural Resources Revenue (Lincoln Center for the Performing Arts Inc.) | 5.000% | 12/1/26 | 1,350 | 1,639 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 8/1/35 | 2,015 | 2,517 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 8/1/36 | 2,000 | 2,489 |
| 4 | New York City Transitional Finance Authority Future Tax Secured Revenue TOB VRDO LIQ: Morgan Stanley Bank | 0.110% | 7/9/20 | 4,300 | 4,300 |
| | New York Liberty Development Corp. Revenue | 5.000% | 11/15/31 | 1,090 | 1,137 |
| | New York Liberty Development Corp. Revenue (7 World Trade Center Project) | 5.000% | 9/15/31 | 1,000 | 1,069 |
| | New York Liberty Development Corp. Revenue (Goldman Sachs Headquarters) | 5.250% | 10/1/35 | 900 | 1,214 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/20 | 1,530 | 1,546 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/21 | 230 | 238 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/21 | 1,000 | 1,037 |
| 2 | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/22 | 820 | 910 |
| 2 | New York Metropolitan Transportation Authority Revenue | 5.000% | 5/15/23 | 570 | 646 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/23 | 1,045 | 1,135 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/24 | 2,180 | 2,411 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/25 | 1,135 | 1,269 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/26 | 1,645 | 1,851 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/28 | 1,675 | 1,883 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/30 | 1,000 | 1,146 |
| | New York Metropolitan Transportation Authority Revenue | 4.000% | 11/15/31 | 1,445 | 1,562 |
| | New York Metropolitan Transportation Authority Revenue | 4.000% | 11/15/32 | 1,500 | 1,611 |
| | New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/33 | 680 | 711 |
| | New York Metropolitan Transportation Authority Revenue PUT | 5.000% | 5/15/30 | 2,500 | 2,880 |
| | New York Metropolitan Transportation Authority Revenue, NATL, FGIC | 5.250% | 11/15/21 | 325 | 338 |
| | New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 5.000% | 3/1/22 | 2,000 | 2,108 |
| | New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 0.000% | 11/15/32 | 1,000 | 657 |
| | New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 4.000% | 11/15/33 | 1,545 | 1,728 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New York Metropolitan Transportation Authority Revenue (Hudson Yards Development) | 5.000% | 11/15/51 | 4,250 | 4,422 |
| | New York NY GO | 4.000% | 8/1/37 | 2,000 | 2,321 |
| | New York NY GO | 4.000% | 10/1/37 | 2,680 | 3,115 |
| | New York NY GO VRDO LOC: Barclays Bank plc | 0.030% | 7/1/20 | 8,830 | 8,830 |
| | New York State Dormitory Authority Lease Revenue (City of New York Court Facilities), AMBAC | 5.500% | 5/15/24 | 500 | 592 |
| | New York State Dormitory Authority Lease Revenue (City of New York Court Facilities), AMBAC | 5.500% | 5/15/27 | 500 | 646 |
| | New York State Dormitory Authority Lease Revenue (Mental Health Services Facilities) | 5.000% | 8/15/21 | 500 | 503 |
| | New York State Dormitory Authority Revenue | 3.000% | 10/1/32 | 1,000 | 1,062 |
| | New York State Dormitory Authority Revenue, AGC | 5.000% | 10/1/20 | 75 | 75 |
| | New York State Dormitory Authority Revenue (City University System) | 5.000% | 7/1/24 | 400 | 402 |
| | New York State Dormitory Authority Revenue (Cornell University) | 5.000% | 7/1/30 | 1,000 | 1,395 |
| | New York State Dormitory Authority Revenue (Icahn School of Medicine at Mount Sinai) | 5.000% | 7/1/28 | 1,000 | 1,147 |
| | New York State Dormitory Authority Revenue (Icahn School of Medicine at Mount Sinai) | 5.000% | 7/1/32 | 1,000 | 1,128 |
| | New York State Dormitory Authority Revenue (Montefiore Obligated Group) | 5.000% | 9/1/27 | 1,700 | 2,005 |
| 2 | New York State Dormitory Authority Revenue (Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/20 | 650 | 650 |
| 2 | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/22 | 170 | 183 |
| 2 | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/22 | 160 | 172 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/23 | 830 | 890 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 12/15/23 | 1,465 | 1,622 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/24 | 840 | 900 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/25 | 1,500 | 1,803 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 12/15/26 | 520 | 573 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 3/15/27 | 1,700 | 1,942 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/28 | 2,040 | 2,408 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/29 | 1,085 | 1,281 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/30 | 2,000 | 2,298 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/32 | 500 | 532 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/33 | 1,975 | 2,259 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/33 | 300 | 318 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/34 | 1,905 | 2,169 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/34 | 2,000 | 2,282 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/35 | 1,000 | 1,134 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/35 | 3,000 | 3,903 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/35 | 5,000 | 5,810 |
| | New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/39 | 2,000 | 2,338 |
| | New York State Dormitory Authority Revenue (School Districts Financing Program) | 5.000% | 10/1/20 | 595 | 602 |
| | New York State Dormitory Authority Revenue (School Districts Financing Program), AGM | 5.000% | 10/1/21 | 390 | 413 |
| 2 | New York State Dormitory Authority Revenue (The New School) | 5.250% | 7/1/20 | 500 | 500 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/24 | 1,090 | 1,272 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/25 | 1,295 | 1,561 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/32 | 1,480 | 1,827 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/33 | 1,795 | 2,178 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/35 | 1,420 | 1,670 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/35 | 2,000 | 2,415 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/36 | 1,500 | 1,864 |
| | New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/37 | 2,160 | 2,676 |
| | New York State Energy Research & Development Authority Pollution Control Revenue (New York State Electric & Gas Corp.) | 3.500% | 10/1/29 | 1,000 | 1,130 |
| | New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/22 | 2,075 | 2,261 |
| | New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/25 | 500 | 544 |
| | New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/34 | 1,500 | 1,879 |
| | New York State Liberty Development Corp. Liberty Revenue (Bank of America Tower at One Bryant Park Project) | 2.450% | 9/15/69 | 3,500 | 3,471 |
| | New York State Liberty Development Corp. Liberty Revenue (Bank of America Tower at One Bryant Park Project) | 2.625% | 9/15/69 | 600 | 595 |
| | New York State Local Government Assistance Corp. Revenue | 5.000% | 4/1/21 | 170 | 176 |
| | New York State Thruway Authority Revenue | 5.000% | 1/1/35 | 1,130 | 1,316 |
| | New York State Thruway Authority Revenue | 5.000% | 1/1/36 | 1,035 | 1,300 |
| | New York State Thruway Authority Revenue (Personal Income Tax) | 5.000% | 3/15/25 | 500 | 528 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/24 | 1,325 | 1,546 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/25 | 2,830 | 3,417 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/26 | 1,930 | 2,236 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 2,000 | 2,219 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 1,420 | 1,690 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 2,010 | 2,393 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 1,485 | 1,644 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/36 | 2,000 | 2,423 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/37 | 2,000 | 2,416 |
| | New York State Urban Development Corp. Revenue (Personal Income Tax), NATL | 5.500% | 3/15/22 | 530 | 576 |
| | Port Authority of New York & New Jersey Revenue | 5.000% | 9/1/26 | 1,805 | 2,083 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Port Authority of New York & New Jersey Revenue | 5.000% | 5/1/28 | 1,250 | 1,255 |
| | Port Authority of New York & New Jersey Revenue | 5.000% | 9/1/36 | 1,185 | 1,472 |
| | Port Authority of New York & New Jersey Revenue | 5.000% | 11/1/36 | 2,240 | 2,852 |
| | Port Authority of New York & New Jersey Revenue | 4.000% | 9/1/37 | 1,145 | 1,337 |
| | Suffolk County NY Economic Development Corp. Revenue (Catholic Health Services) | 5.000% | 7/1/21 | 1,545 | 1,603 |
| | Suffolk County NY Economic Development Corp. Revenue (Catholic Health Services) | 5.000% | 7/1/27 | 1,370 | 1,532 |
| | Tobacco Settlement Financing Corp. New York Revenue | 5.000% | 6/1/29 | 1,870 | 2,253 |
| | Tobacco Settlement Financing Corp. New York Revenue | 5.000% | 6/1/34 | 1,760 | 2,062 |
| | Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/23 | 1,500 | 1,710 |
| | Triborough Bridge & Tunnel Authority New York Revenue | 0.000% | 11/15/32 | 1,130 | 822 |
| | Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/34 | 2,000 | 2,363 |
| | Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/34 | 1,900 | 2,308 |
| | Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/36 | 1,000 | 1,206 |
| | Troy NY Capital Resource Corp. Revenue (Rensselaer Polytechnic Institute Project) | 5.000% | 9/1/30 | 1,000 | 1,007 |
| | Troy NY Capital Resource Corp. Revenue (Rensselaer Polytechnic Institute Project) | 5.000% | 9/1/37 | 1,320 | 1,574 |
| | Troy NY Capital Resource Corp. Revenue (Rensselaer Polytechnic Institute Project) | 5.125% | 9/1/40 | 1,000 | 1,008 |
| | Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/33 | 1,600 | 1,820 |
| | Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/35 | 1,945 | 2,337 |
| | Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/36 | 2,450 | 2,940 |
| | Westchester County NY GO | 5.000% | 7/1/20 | 675 | 675 |
| | Westchester County NY GO | 5.000% | 7/1/20 | 55 | 55 |
| | Westchester County NY GO | 5.000% | 7/1/20 | 10 | 10 |
| | Westchester County NY Health Care Corp. Revenue | 5.000% | 11/1/30 | 890 | 929 |
| | Westchester County NY Local Development Corp. Revenue (Westchester Medical Center) | 5.000% | 11/1/31 | 1,085 | 1,199 |
| | Westchester NY Tobacco Asset Securitization Revenue | 5.000% | 6/1/28 | 1,400 | 1,699 |
| | Westchester NY Tobacco Asset Securitization Revenue | 5.000% | 6/1/33 | 1,500 | 1,761 |
| | | | | | | 408,150 |
| North Carolina (0.6%) |
| 2 | Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/22 | 330 | 366 |
| | Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/27 | 170 | 189 |
| | Charlotte NC Water & Sewer System Revenue | 5.000% | 12/1/20 | 235 | 240 |
| | Charlotte-Mecklenburg NC Hospital Authority Revenue (Health Care System) VRDO LOC: JPMorgan Chase Bank NA | 0.010% | 7/1/20 | 14,075 | 14,075 |
| | Mecklenburg County NC Public improvement GO | 5.000% | 12/1/26 | 1,775 | 2,263 |
| | North Carolina GAN | 5.000% | 3/1/25 | 1,055 | 1,266 |
| | North Carolina GAN | 5.000% | 3/1/27 | 1,015 | 1,204 |
| | North Carolina GO | 5.000% | 5/1/22 | 360 | 391 |
| | North Carolina Medical Care Commission Health Care Facilities Revenue (Vidant Health) | 5.000% | 6/1/21 | 1,000 | 1,036 |
| | North Carolina Medical Care Commission Health Care Facilities Revenue (WakeMed) | 5.000% | 10/1/27 | 1,000 | 1,078 |
| | North Carolina Medical Care Commission Hospital (Moses Cone Health System) VRDO | 0.090% | 7/9/20 | 1,600 | 1,600 |
| | North Carolina Medical Care Commission Hospital Revenue (Southeastern Regional Medical Center) | 5.000% | 6/1/24 | 850 | 912 |
| | North Carolina Turnpike Authority Revenue | 4.000% | 1/1/39 | 2,000 | 2,117 |
| 2 | Orange County NC Public Facilities Co. Revenue | 5.000% | 10/1/22 | 180 | 199 |
| | Orange County NC Public Facilities Co. Revenue | 5.000% | 10/1/24 | 320 | 352 |
| | Union County NC Enterprise System Revenue | 3.000% | 6/1/33 | 1,290 | 1,436 |
| | University of North Carolina at Charlotte Revenue | 4.000% | 10/1/35 | 400 | 472 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | University of North Carolina at Charlotte Revenue | 3.000% | 10/1/36 | 1,600 | 1,716 |
| | University of North Carolina at Charlotte Revenue | 4.000% | 10/1/37 | 1,000 | 1,171 |
| | University of North Carolina at Charlotte Revenue | 4.000% | 10/1/40 | 325 | 376 |
| | Wake County NC GO | 5.000% | 3/1/23 | 2,145 | 2,414 |
| | | | | | | 34,873 |
| North Dakota (0.0%) |
| | Grand Forks ND Health Care System Revenue (Altru Health System Obligated Group) | 5.000% | 12/1/25 | 1,210 | 1,411 |
| Ohio (1.7%) |
| | Allen County OH Hospital Facilities Revenue (Mercy Health) | 4.000% | 12/1/40 | 1,200 | 1,366 |
| | Allen County OH Hospital Facilities Revenue (Mercy Health) | 5.000% | 8/1/29 | 1,300 | 1,624 |
| | Allen County OH Hospital Facilities Revenue (Mercy Health) | 4.000% | 8/1/37 | 2,200 | 2,466 |
| 2 | American Municipal Power Ohio Inc. Revenue (Fremont Energy Center Project) | 5.250% | 2/15/22 | 570 | 615 |
| | American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects) | 5.000% | 2/15/26 | 1,025 | 1,258 |
| | Bowling Green State University Ohio Revenue | 5.000% | 6/1/26 | 400 | 480 |
| | Bowling Green State University Ohio Revenue | 5.000% | 6/1/27 | 260 | 318 |
| | Buckeye OH Tobacco Settlement Financing Authority Revenue | 5.000% | 6/1/34 | 1,150 | 1,478 |
| | Buckeye OH Tobacco Settlement Financing Authority Revenue | 4.000% | 6/1/39 | 240 | 274 |
| | Buckeye OH Tobacco Settlement Financing Authority Revenue | 5.000% | 6/1/55 | 2,355 | 2,480 |
| | Butler County OH Hospital Facilities Revenue (Kettering Health Network) | 5.250% | 4/1/31 | 500 | 514 |
| 2 | Butler County OH Hospital Facilities Revenue (UC Health) | 5.250% | 11/1/20 | 435 | 442 |
| | Centerville OH Health Care Revenue (Graceworks Lutheran Services) | 5.000% | 11/1/26 | 725 | 757 |
| | Centerville OH Health Care Revenue (Graceworks Lutheran Services) | 5.000% | 11/1/27 | 380 | 397 |
| | Cleveland OH Municipal School District GO | 5.000% | 12/1/28 | 1,000 | 1,127 |
| | Columbus OH City School District GO, AGM | 0.000% | 12/1/29 | 1,000 | 871 |
| 2 | Columbus OH GO | 5.000% | 7/1/22 | 535 | 585 |
| | Columbus OH GO | 4.000% | 8/15/26 | 1,730 | 2,016 |
| 2 | Columbus OH Sewer Revenue | 5.000% | 12/1/24 | 4,000 | 4,804 |
| 2 | Cuyahoga County OH Excise Tax Revenue (Sports Facilities Improvement Project) | 5.000% | 12/1/23 | 510 | 589 |
| | Cuyahoga County OH Hospital Revenue (MetroHealth System) | 5.000% | 2/15/32 | 1,000 | 1,131 |
| | Fairfield County OH Hospital Facilities Revenue (Fairfield Medical Center) | 5.125% | 6/15/33 | 615 | 655 |
| | Franklin County OH Convention Facilities Authority Revenue | 5.000% | 12/1/20 | 1,000 | 1,018 |
| | Franklin County OH Convention Facilities Authority Revenue | 5.000% | 12/1/28 | 1,680 | 1,949 |
| | Franklin County OH Convention Facilities Authority Revenue | 5.000% | 12/1/30 | 680 | 664 |
| | Franklin County OH Revenue (Trinity Health Corp.) | 5.000% | 12/1/31 | 1,100 | 1,414 |
| | Franklin County OH Sales Tax Revenue | 5.000% | 6/1/27 | 895 | 1,152 |
| | Franklin County OH Sales Tax Revenue | 5.000% | 6/1/28 | 830 | 1,097 |
| | Hamilton County OH Hospital Facilities Revenue (UC Health) | 5.000% | 9/15/28 | 625 | 785 |
| | Hamilton County OH Hospital Facilities Revenue (TriHealth Obligated Group) | 5.000% | 8/15/36 | 1,000 | 1,188 |
| | Hamilton County OH Hospital Facilities Revenue (UC Health) | 5.000% | 2/1/21 | 200 | 205 |
| | Lancaster OH Port Authority Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 5.000% | 2/1/25 | 745 | 869 |
| 2 | Lucas County OH Hospital Revenue (ProMedica Healthcare Obligated Group) | 5.250% | 11/15/21 | 535 | 571 |
| | Lucas County OH Hospital Revenue (ProMedica Healthcare Obligated Group) | 5.000% | 11/15/26 | 320 | 333 |
| | Miami Valley OH Career Technology Center GO | 5.000% | 12/1/25 | 880 | 1,085 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Montgomery County OH Hospital Revenue (Premier Health Partners) | 5.000% | 11/15/31 | 2,290 | 2,712 |
| | Montgomery County OH Hospital Revenue (Premier Health Partners) | 5.000% | 11/15/37 | 2,590 | 2,986 |
| | North Royalton OH City School District GO | 5.000% | 12/1/26 | 300 | 363 |
| | North Royalton OH City School District GO | 5.000% | 12/1/28 | 1,400 | 1,691 |
| | Ohio Adult Correctional Capital Facilities Revenue | 5.000% | 10/1/30 | 2,200 | 2,967 |
| | Ohio Building Authority Revenue (Administration Building Fund) | 5.000% | 10/1/20 | 100 | 101 |
| | Ohio Capital Facilities Lease-Appropriation Revenue (Adult Correctional Building Fund Projects) | 5.000% | 10/1/33 | 1,585 | 1,971 |
| | Ohio Capital Facilities Lease-Appropriation Revenue (Mental Health Facilities Improvement Fund Projects) | 5.000% | 2/1/22 | 750 | 805 |
| | Ohio Capital Facilities Lease-Appropriation Revenue (Transportation Building Fund Projects) | 5.000% | 4/1/30 | 1,155 | 1,370 |
| 2 | Ohio Common Schools GO | 5.000% | 6/15/22 | 1,000 | 1,092 |
| 2 | Ohio GO | 5.000% | 8/1/21 | 1,110 | 1,167 |
| | Ohio GO | 5.000% | 5/1/23 | 1,270 | 1,439 |
| | Ohio GO | 5.000% | 8/1/23 | 500 | 548 |
| | Ohio GO | 5.000% | 8/1/24 | 500 | 592 |
| | Ohio GO | 5.000% | 11/1/24 | 1,675 | 2,006 |
| | Ohio GO | 5.000% | 2/1/27 | 1,000 | 1,238 |
| | Ohio GO | 5.000% | 6/15/27 | 3,425 | 3,831 |
| | Ohio GO | 5.000% | 5/1/33 | 1,010 | 1,292 |
| | Ohio GO | 5.000% | 3/1/35 | 1,000 | 1,237 |
| | Ohio GO | 5.000% | 3/15/36 | 1,005 | 1,148 |
| | Ohio GO | 5.000% | 3/1/38 | 2,000 | 2,455 |
| | Ohio Higher Education GO | 5.000% | 8/1/21 | 500 | 526 |
| | Ohio Higher Education GO | 5.000% | 5/1/30 | 5,015 | 6,014 |
| | Ohio Higher Educational Facility Commission Revenue (Case Western Reserve University Project) | 5.000% | 12/1/22 | 585 | 638 |
| | Ohio Major New State Infrastructure Project Revenue | 5.000% | 12/15/25 | 2,450 | 3,001 |
| | Ohio Major New State Infrastructure Project Revenue | 5.000% | 12/15/28 | 1,020 | 1,254 |
| | Ohio Parks & Recreation Capital Facilities Revenue | 5.000% | 12/1/35 | 1,320 | 1,665 |
| | Ohio Parks & Recreation Capital Facilities Revenue | 5.000% | 12/1/37 | 2,240 | 2,808 |
| | Ohio Revenue (Transportation Building Fund Projects) | 5.000% | 4/1/26 | 925 | 1,139 |
| | Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/28 | 1,030 | 1,139 |
| | Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/35 | 1,280 | 1,564 |
| | Ohio Water Development Authority Water Pollution Control Loan Fund Revenue | 5.000% | 12/1/26 | 1,850 | 2,348 |
| | Penta Career Center Ohio COP | 5.250% | 4/1/23 | 125 | 135 |
| 2 | Revere OH Local School District GO | 5.000% | 6/1/22 | 1,000 | 1,090 |
| 2 | Revere OH Local School District GO | 5.000% | 6/1/22 | 665 | 725 |
| 2 | Winton Woods City OH School District GO | 5.000% | 5/1/22 | 550 | 597 |
| 2 | Winton Woods City OH School District GO | 5.000% | 5/1/22 | 255 | 277 |
| 2 | Winton Woods City OH School District GO | 5.000% | 5/1/22 | 250 | 272 |
| 2 | Winton Woods City OH School District GO | 5.000% | 5/1/22 | 260 | 282 |
| 2 | Winton Woods City OH School District GO | 5.000% | 5/1/22 | 250 | 272 |
| | | | | | | 97,334 |
| Oklahoma (0.2%) |
| | Edmond OK Public Works Authority Sales Tax & Utility System Revenue | 4.000% | 7/1/25 | 1,160 | 1,349 |
| | Norman OK Regional Hospital Authority Revenue | 5.000% | 9/1/28 | 1,245 | 1,471 |
| | Oklahoma Capitol Improvement Authority Facilities Revenue | 5.000% | 7/1/26 | 1,145 | 1,329 |
| | Oklahoma Capitol Improvement Authority Facilities Revenue | 4.000% | 7/1/38 | 1,000 | 1,153 |
| | Oklahoma City OK GO | 5.000% | 3/1/24 | 525 | 542 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Oklahoma Development Finance Authority Health System Revenue (OU Medicine) | 5.000% | 8/15/28 | 1,500 | 1,793 |
| 2 | Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/21 | 300 | 307 |
| | Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/37 | 2,000 | 2,376 |
| | Tulsa County OK Industrial Authority Senior Living Community Revenue (Montereau Inc.) | 5.000% | 11/15/23 | 280 | 290 |
| | University of Oklahoma Revenue | 5.000% | 7/1/31 | 475 | 493 |
| | | | | | | 11,103 |
| Oregon (0.2%) |
| | Clatsop County OR School District No. 10 Seaside GO | 5.000% | 6/15/33 | 1,140 | 1,425 |
| | Deschutes & Jefferson Counties OR School District No. 2J GO | 0.000% | 6/15/31 | 750 | 626 |
| | Multnomah County OR School District GO | 5.000% | 6/15/29 | 1,015 | 1,226 |
| 2 | Oregon Department of Administrative Services Lottery Revenue | 5.250% | 4/1/21 | 430 | 446 |
| | Oregon Department of Administrative Services Lottery Revenue | 5.000% | 4/1/25 | 1,380 | 1,615 |
| | Oregon Department of Administrative Services Lottery Revenue | 5.250% | 4/1/31 | 70 | 72 |
| | Oregon Department of Transportation Highway User Tax Revenue | 5.000% | 11/15/39 | 2,000 | 2,595 |
| | Oregon Facilities Authority Revenue (Legacy Health Project) | 5.000% | 6/1/33 | 1,000 | 1,167 |
| | Oregon Facilities Authority Revenue (Reed College Projects) | 4.000% | 7/1/31 | 450 | 533 |
| | Oregon Facilities Authority Revenue (Reed College Projects) | 4.000% | 7/1/32 | 450 | 529 |
| | Oregon GO | 5.000% | 5/1/23 | 500 | 543 |
| | Salem OR Hospital Facilities Authority Revenue (Capital Manor Inc.) | 5.000% | 5/15/33 | 550 | 580 |
| | Salem OR Hospital Facilities Authority Revenue (Capital Manor Inc.) | 5.000% | 5/15/38 | 500 | 518 |
| | Washington County OR School District No. 48J Beaverton GO | 5.000% | 6/15/36 | 1,305 | 1,621 |
| | | | | | | 13,496 |
| Pennsylvania (2.7%) |
| | Allegheny County PA GO | 4.000% | 11/1/30 | 1,010 | 1,180 |
| 2 | Allegheny County PA Higher Education Building Authority University Revenue (Duquesne University) | 5.500% | 3/1/21 | 325 | 336 |
| | Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/27 | 1,010 | 1,241 |
| | Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/32 | 1,000 | 1,210 |
| | Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/33 | 1,000 | 1,203 |
| | Allegheny County PA Hospital Development Authority Revenue | 4.000% | 4/1/38 | 500 | 548 |
| | Allegheny County PA Hospital Development Authority Revenue (University of Pittsburgh Medical Center) | 5.000% | 7/15/27 | 1,000 | 1,228 |
| 3 | Allegheny County PA Hospital Development Authority Revenue (University of Pittsburgh Medical Center), 67% of 3M USD LIBOR + 0.720% | 1.180% | 2/1/21 | 160 | 160 |
| | Allegheny County PA Port Authority Revenue | 5.750% | 3/1/29 | 500 | 517 |
| | Allentown PA Neighborhood Improvement Zone Development Authority Tax Revenue | 5.000% | 5/1/24 | 1,000 | 1,060 |
| 4 | Allentown PA Neighborhood Improvement Zone Development Authority Tax Revenue | 5.000% | 5/1/27 | 250 | 275 |
| | Allentown PA School District GO, BAM | 5.000% | 6/1/31 | 1,000 | 1,206 |
| | Armstrong PA School District GO, BAM | 5.000% | 3/15/27 | 995 | 1,244 |
| | Armstrong PA School District GO, BAM | 5.000% | 3/15/29 | 920 | 1,202 |
| | Berks County PA Industrial Development Authority Health System Revenue (Tower Health Project) | 5.000% | 11/1/25 | 2,065 | 2,384 |
| 7 | Centennial PA School District Bucks County GO | 5.000% | 12/15/29 | 1,460 | 1,874 |
| 2 | Central Bradford PA Progress Authority Revenue (Guthrie Healthcare System) | 5.500% | 12/1/21 | 530 | 568 |
| 2 | Chester County PA GO | 5.000% | 11/15/22 | 750 | 833 |
| 7 | Coatesville PA Area School District Building GO, BAM | 0.000% | 10/1/34 | 450 | 263 |
| | Coatesville PA School District Building Authority Lease Revenue, BAM | 5.000% | 12/1/26 | 335 | 373 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Coatesville PA School District Building Authority Lease Revenue, BAM | 5.000% | 12/1/27 | 365 | 406 |
| | Commonwealth Financing Authority Pennsylvania Revenue | 5.000% | 6/1/26 | 500 | 606 |
| | Dauphin County PA GO | 5.000% | 11/15/27 | 2,055 | 2,658 |
| | Delaware Valley PA Regional Finance Authority Revenue, AMBAC | 5.500% | 8/1/28 | 250 | 323 |
| | East Hempfield Township PA Industrial Development Authority Revenue (Millersville University Student Housing Project) | 5.000% | 7/1/29 | 1,000 | 1,013 |
| | Easton PA Area School District GO | 4.000% | 4/1/28 | 580 | 714 |
| 6 | Erie PA Sewer Authority Revenue, BAM, AMBAC | 0.000% | 12/1/25 | 1,165 | 1,121 |
| | Erie PA Sewer Authority Revenue, BAM, AMBAC | 0.000% | 12/1/25 | 85 | 79 |
| | Geisinger Authority PA Health System Revenue (Geisinger Health System) | 5.000% | 4/1/35 | 1,000 | 1,272 |
| | Lehigh County PA General Purpose Hospital Authority Revenue (Lehigh Valley Health Network) | 5.000% | 7/1/29 | 1,220 | 1,453 |
| | Lehigh County PA General Purpose Hospital Authority Revenue (Lehigh Valley Health Network) | 5.000% | 7/1/29 | 2,400 | 3,060 |
| | Luzerne County PA Industrial Development Authority Lease Revenue, AGM | 5.000% | 12/15/25 | 1,000 | 1,207 |
| | Manheim Township PA School District GO | 5.000% | 2/1/30 | 830 | 1,002 |
| | Monroeville PA Finance Authority Revenue (UPMC Health System) | 5.000% | 2/15/42 | 1,000 | 1,058 |
| 2 | Montgomery County PA Higher Education & Health Authority Hospital Revenue (Abington Memorial Hospital) | 5.000% | 6/1/22 | 500 | 544 |
| | Montgomery County PA Higher Education & Health Authority Revenue (Thomas Jefferson University) | 5.000% | 9/1/32 | 1,515 | 1,885 |
| | Montgomery County PA Industrial Development Authority Health Services Revenue (Albert Einstein Healthcare Network) | 5.000% | 1/15/23 | 1,015 | 1,083 |
| | Montgomery County PA Industrial Development Authority Health Services Revenue (Albert Einstein Healthcare Network) | 5.000% | 1/15/25 | 1,000 | 1,102 |
| | Montgomery County PA Industrial Development Authority Retirement Community Revenue (ACTS Retirement- Life Communities Obligated Group) | 5.000% | 11/15/25 | 1,250 | 1,320 |
| | Mount Lebanon PA Hospital Authority Revenue (St. Clair Memorial Hospital Project) | 5.000% | 7/1/38 | 1,000 | 1,229 |
| | Northampton County PA General Purpose Authority Hospital Revenue (St. Luke's Hospital Project) | 5.000% | 8/15/25 | 1,275 | 1,490 |
| | Pennsylvania COP | 5.000% | 7/1/26 | 500 | 616 |
| | Pennsylvania COP | 5.000% | 7/1/27 | 500 | 629 |
| | Pennsylvania Economic Development Financing Authority Revenue (UPMC Obligated Group) | 5.000% | 3/15/29 | 1,060 | 1,265 |
| | Pennsylvania Economic Development Financing Authority Revenue (UPMC Obligated Group) | 5.000% | 11/15/30 | 1,510 | 1,825 |
| | Pennsylvania GO | 5.000% | 7/1/20 | 545 | 545 |
| | Pennsylvania GO | 5.375% | 7/1/21 | 500 | 525 |
| 2 | Pennsylvania GO | 5.000% | 11/15/21 | 500 | 532 |
| | Pennsylvania GO | 5.000% | 8/15/23 | 2,000 | 2,278 |
| | Pennsylvania GO | 5.000% | 1/1/24 | 1,500 | 1,731 |
| | Pennsylvania GO | 5.000% | 8/15/24 | 500 | 589 |
| | Pennsylvania GO | 5.000% | 1/1/26 | 3,295 | 4,043 |
| | Pennsylvania GO | 5.000% | 9/15/26 | 1,500 | 1,875 |
| | Pennsylvania GO | 5.000% | 7/15/27 | 2,500 | 3,193 |
| | Pennsylvania GO | 5.000% | 7/15/28 | 4,975 | 6,512 |
| | Pennsylvania GO | 4.000% | 1/1/29 | 3,000 | 3,532 |
| | Pennsylvania GO | 5.000% | 3/15/32 | 8,000 | 9,376 |
| | Pennsylvania GO | 5.000% | 10/15/32 | 1,000 | 1,138 |
| | Pennsylvania GO | 4.000% | 3/1/36 | 1,000 | 1,166 |
| | Pennsylvania GO | 4.000% | 3/1/37 | 1,000 | 1,162 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Pennsylvania GO, AGM | 4.000% | 8/15/30 | 1,000 | 1,141 |
| | Pennsylvania GO, AGM | 4.000% | 3/1/33 | 1,110 | 1,313 |
| | Pennsylvania GO, AGM | 4.000% | 3/1/34 | 1,670 | 1,968 |
| | Pennsylvania GO, BAM | 4.000% | 3/1/37 | 1,000 | 1,166 |
| | Pennsylvania Higher Educational Facilities Authority Revenue (St. Joseph's University) | 5.000% | 11/1/24 | 200 | 203 |
| 2 | Pennsylvania Higher Educational Facilities Authority Revenue (Temple University) | 5.000% | 4/1/22 | 500 | 541 |
| | Pennsylvania Higher Educational Facilities Authority Revenue (University of Pennsylvania Health System) | 4.000% | 8/15/36 | 1,295 | 1,473 |
| | Pennsylvania Turnpike Commission Motor License Fund Revenue | 5.000% | 12/1/32 | 1,000 | 1,222 |
| | Pennsylvania Turnpike Commission Oil Franchise Tax Revenue | 5.000% | 12/1/24 | 1,050 | 1,192 |
| | Pennsylvania Turnpike Commission Oil Franchise Tax Revenue | 5.000% | 12/1/28 | 630 | 757 |
| 2 | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/20 | 495 | 505 |
| 2 | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/20 | 265 | 270 |
| 2 | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/20 | 695 | 709 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/24 | 1,980 | 2,259 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/25 | 1,690 | 2,013 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/26 | 1,960 | 2,313 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/26 | 750 | 907 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/27 | 2,255 | 2,678 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/29 | 1,570 | 1,921 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/32 | 1,500 | 1,768 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 2,000 | 2,280 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 1,250 | 1,537 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/35 | 1,500 | 1,729 |
| | Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/37 | 1,000 | 1,205 |
| | Pennsylvania Turnpike Commission Revenue | 6.375% | 12/1/38 | 1,000 | 1,255 |
| | Pennsylvania Turnpike Commission Revenue, AGM | 5.000% | 6/1/26 | 1,635 | 1,977 |
| | Pennsylvania Turnpike Commission Revenue, AGM | 6.250% | 6/1/33 | 1,760 | 2,258 |
| 3 | Pennsylvania Turnpike Commission Revenue, SIFMA Municipal Swap Index Yield + 0.980% | 1.070% | 12/1/21 | 1,315 | 1,311 |
| | Philadelphia PA Airport Revenue | 5.000% | 6/15/23 | 1,120 | 1,126 |
| | Philadelphia PA Authority for Industrial Development Revenue (Temple University) | 5.000% | 4/1/24 | 1,015 | 1,168 |
| | Philadelphia PA Authority for Industrial Development Revenue (Temple University) | 5.000% | 4/1/27 | 1,000 | 1,175 |
| | Philadelphia PA Gas Works Revenue | 5.000% | 10/1/25 | 1,625 | 1,911 |
| | Philadelphia PA Gas Works Revenue | 5.000% | 10/1/26 | 1,000 | 1,200 |
| | Philadelphia PA Gas Works Revenue | 5.000% | 8/1/36 | 1,300 | 1,523 |
| | Philadelphia PA Hospitals & Higher Education Facilities Authority Hospital Revenue (Temple University Health System Obligated Group) | 5.000% | 7/1/25 | 1,000 | 1,136 |
| | Philadelphia PA School District GO | 5.000% | 9/1/21 | 1,035 | 1,043 |
| | Philadelphia PA School District GO | 5.250% | 9/1/22 | 545 | 549 |
| | Philadelphia PA School District GO | 5.000% | 9/1/31 | 940 | 1,114 |
| | Philadelphia PA Water & Wastewater Revenue | 5.000% | 7/1/26 | 1,000 | 1,165 |
| 7 | Philadelphia PA Water & Wastewater Revenue | 5.000% | 10/1/34 | 2,500 | 3,153 |
| | Philadelphia PA Water & Wastewater Revenue | 4.000% | 7/1/35 | 1,110 | 1,216 |
| 2 | Philadelphia PA Water & Wastewater Revenue, AGM | 5.000% | 8/1/20 | 560 | 562 |
| | Pittsburgh PA Water & Sewer Authority Revenue, AGM | 5.000% | 9/1/33 | 1,000 | 1,297 |
| | Reading PA School District GO, AGM | 5.000% | 3/1/25 | 955 | 1,134 |
| | Saint Mary PA Hospital Authority Health System Revenue (Trinity Health Corp. Obligated Group) | 5.000% | 11/15/25 | 815 | 979 |
| | Saint Mary PA Hospital Authority Health System Revenue (Trinity Health Corp. Obligated Group) | 5.000% | 11/15/26 | 770 | 947 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Snyder County PA Higher Education Authority University Revenue (Susquehanna University Project) | 5.000% | 1/1/27 | 1,135 | 1,333 |
| | Southcentral Pennsylvania General Authority Revenue (WellSpan Health Obligated Group) | 5.000% | 6/1/34 | 1,085 | 1,218 |
| | State Public School Building Authority Pennsylvania College Revenue (Community College of Allegheny County Project), BAM | 4.000% | 6/15/29 | 1,075 | 1,231 |
| | State Public School Building Authority Pennsylvania Lease Revenue (School District of Philadelphia), AGM | 5.000% | 6/1/26 | 1,650 | 2,003 |
| | State Public School Building Authority Pennsylvania Lease Revenue (School District of Philadelphia), BAM | 5.000% | 6/1/24 | 1,535 | 1,769 |
| 2 | West Shore PA Area Authority Hospital Revenue (Holy Spirit Hospital of the Sisters of Christian Charity Project) | 6.250% | 1/1/21 | 80 | 82 |
| | | | | | ��� | 155,967 |
| Puerto Rico (0.2%) |
| | Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue | 5.250% | 7/1/42 | 725 | 740 |
| | Puerto Rico Electric Power Authority Revenue, NATL | 5.000% | 7/1/21 | 500 | 502 |
| | Puerto Rico Highway & Transportation Authority Revenue, BHAC, FGIC | 5.250% | 7/1/21 | 500 | 520 |
| 6 | Puerto Rico Public Finance Corp. Revenue, AGM, AGC-ICC | 6.000% | 8/1/26 | 1,000 | 1,304 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/24 | 198 | 179 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/27 | 1,327 | 1,092 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/29 | 2,139 | 1,633 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/31 | 145 | 102 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 4.329% | 7/1/40 | 3,638 | 3,655 |
| | Puerto Rico Sales Tax Financing Corp. Revenue | 4.329% | 7/1/40 | 500 | 502 |
| | | | | | | 10,229 |
| Rhode Island (0.1%) |
| 2 | Narragansett RI Commission Wastewater System Revenue | 5.000% | 2/1/25 | 1,950 | 2,341 |
| | Rhode Island Commerce Corp. Airport Revenue | 5.000% | 7/1/30 | 500 | 566 |
| | Rhode Island Health & Educational Building Corp. Higher Education Facilities Revenue (University of Rhode Island) | 5.000% | 9/15/25 | 500 | 599 |
| | Tobacco Settlement Financing Corp. Rhode Island Revenue | 2.250% | 6/1/41 | 825 | 840 |
| | | | | | | 4,346 |
| South Carolina (0.5%) |
| | Charleston SC Educational Excellence Financing Corp. Revenue (Charleston County School District, South Carolina Project) | 5.000% | 12/1/23 | 590 | 679 |
| 2 | Columbia SC Waterworks & Sewer System Revenue | 5.000% | 2/1/22 | 250 | 269 |
| | Columbia SC Waterworks & Sewer System Revenue | 3.000% | 2/1/35 | 875 | 957 |
| | Florence SC Water & Sewer Revenue | 3.000% | 9/1/34 | 1,610 | 1,765 |
| | Georgetown County SC School District GO | 3.000% | 3/1/31 | 1,665 | 1,854 |
| | Lancaster County SC School District GO | 4.000% | 3/1/32 | 1,000 | 1,174 |
| | Lexington County SC Health Services District Inc. Hospital Revenue | 5.000% | 11/1/25 | 1,000 | 1,186 |
| | Lexington County SC Health Services District Inc. Hospital Revenue | 5.000% | 11/1/34 | 1,500 | 1,742 |
| | Myrtle Beach SC Hospitality Fee Revenue | 5.000% | 6/1/25 | 1,000 | 1,141 |
| | Patriots Energy Group Finance Authority SC Gas Supply Revenue PUT LIQ: Royal Bank of Canada | 4.000% | 2/1/24 | 1,895 | 2,081 |
| | Piedmont SC Municipal Power Agency Revenue, NATL | 0.000% | 1/1/24 | 1,600 | 1,552 |
| | South Carolina Association of Governmental Organizations Educational Facilities Corp. Revenue (Pickens School District) | 5.000% | 12/1/26 | 1,420 | 1,674 |
| 2 | South Carolina Jobs Economic Development Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/23 | 1,000 | 1,148 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | South Carolina Jobs Economic Development Authority Hospital Revenue (Prisma Health) | 5.000% | 5/1/37 | 1,500 | 1,741 |
| | South Carolina Public Service Authority Revenue | 5.000% | 12/1/26 | 1,140 | 1,310 |
| | South Carolina Public Service Authority Revenue | 5.000% | 12/1/28 | 1,465 | 1,537 |
| | South Carolina Public Service Authority Revenue | 5.000% | 12/1/37 | 2,205 | 2,538 |
| | South Carolina Public Service Authority Revenue | 5.000% | 12/1/37 | 1,095 | 1,273 |
| | South Carolina Public Service Authority Revenue | 5.000% | 12/1/38 | 1,100 | 1,205 |
| | South Carolina Transportation Infrastructure Revenue | 5.000% | 10/1/32 | 1,290 | 1,575 |
| 7 | Spartanburg SC Regional Health Services District, AGM | 5.000% | 4/15/34 | 510 | 642 |
| | Sumter Two School Facilities Inc. South Carolina Installment Purchase Revenue, BAM | 5.000% | 12/1/26 | 1,000 | 1,197 |
| | | | | | | 30,240 |
| South Dakota (0.1%) |
| | Educational Enhancement Funding Corp. South Dakota Tobacco Settlement Revenue | 5.000% | 6/1/25 | 2,000 | 2,225 |
| | South Dakota Health & Educational Facilities Authority Revenue (Regional Health System Obligated Group) | 5.000% | 9/1/32 | 2,915 | 3,524 |
| | South Dakota Health & Educational Facilities Authority Revenue (Regional Health System Obligated Group) | 4.000% | 9/1/34 | 2,125 | 2,410 |
| | | | | | | 8,159 |
| Tennessee (1.1%) |
| | Chattanooga TN Electric System Revenue | 5.000% | 9/1/31 | 1,000 | 1,207 |
| 2 | Chattanooga TN Health Educational & Housing Facility Board Revenue (Catholic Health Initiatives) | 5.000% | 1/1/23 | 1,500 | 1,667 |
| | Chattanooga TN Health Educational & Housing Facility Board Revenue (CommonSpirit Health) | 5.000% | 8/1/29 | 2,880 | 3,589 |
| | Chattanooga-Hamilton County TN Hospital Authority Hospital Revenue | 5.000% | 10/1/27 | 1,035 | 1,129 |
| | Greeneville TN Health & Educational Facilities Board Hospital Revenue (Ballad Health) | 5.000% | 7/1/27 | 1,590 | 1,914 |
| | Jackson TN Hospital Improvement Revenue (West Tennessee Healthcare Obligated Group) | 5.000% | 4/1/38 | 3,810 | 4,528 |
| | Knox County TN Health Educational & Housing Facilities Board Hospital Facilities Revenue (Covenant Healthcare) | 5.000% | �� 1/1/36 | 1,000 | 1,158 |
| | Knox County TN Health Educational & Housing Facilities Board Hospital Facilities Revenue (University Health System Inc.) | 5.000% | 9/1/27 | 925 | 1,076 |
| | Memphis TN GO | 5.000% | 5/1/30 | 500 | 518 |
| | Memphis TN GO | 4.000% | 6/1/31 | 1,000 | 1,164 |
| | Memphis TN GO | 4.000% | 5/1/35 | 5,685 | 6,721 |
| | Metropolitan Government of Nashville & Davidson County TN GO | 5.000% | 7/1/21 | 625 | 627 |
| | Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue (Blakeford at Green Hills) | 5.000% | 7/1/27 | 500 | 510 |
| | Metropolitan Government of Nashville & Davidson County TN Water & Sewer Revenue | 5.000% | 7/1/20 | 600 | 600 |
| | Shelby County Health Educational & Housing Facilities Board VRDO, AGM LOC: U.S. Bank NA | 0.020% | 7/1/20 | 5,300 | 5,300 |
| | Tennergy Corp. TN Gas Revenue PUT LIQ: Royal Bank of Canada | 5.000% | 10/1/24 | 4,705 | 5,440 |
| | Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/22 | 1,835 | 1,975 |
| | Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/24 | 1,800 | 2,000 |
| | Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/25 | 915 | 1,040 |
| | Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/26 | 1,035 | 1,222 |
| | Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/27 | 1,000 | 1,174 |
| | Tennessee Energy Acquisition Corp. Gas Revenue PUT | 4.000% | 5/1/23 | 3,045 | 3,277 |
| | Tennessee Energy Acquisition Corp. Gas Revenue PUT | 4.000% | 11/1/25 | 1,625 | 1,840 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Tennessee GO | 5.000% | 8/1/20 | 650 | 652 |
| | Tennessee GO | 5.000% | 8/1/22 | 1,475 | 1,620 |
| | Tennessee GO | 4.000% | 8/1/28 | 4,850 | 5,612 |
| | Tennessee GO | 5.000% | 8/1/32 | 1,000 | 1,202 |
| | Tennessee School Bond Authority Higher Educational Facilities Revenue (2nd Program) | 5.000% | 11/1/37 | 1,390 | 1,809 |
| | Williamson County TN GO | 4.000% | 5/1/27 | 1,320 | 1,443 |
| | | | | | | 62,014 |
| Texas (5.1%) |
| | Alamo TX Regional Mobility Authority Revenue | 5.000% | 6/15/27 | 1,280 | 1,539 |
| | Allen TX Independent School District GO, PSF | 5.000% | 2/15/26 | 1,035 | 1,276 |
| | Arlington TX Higher Education Finance Corp. Revenue (Riverwalk Education Foundation Inc.), PSF | 4.000% | 8/15/33 | 600 | 717 |
| | Arlington TX Independent School District (Unlimited Tax) GO, PSF | 5.000% | 2/15/26 | 1,090 | 1,307 |
| | Arlington TX Special Tax Revenue, AGM | 5.000% | 2/15/27 | 420 | 508 |
| | Arlington TX Special Tax Revenue, AGM | 5.000% | 2/15/28 | 305 | 376 |
| | Arlington TX Special Tax Revenue, BAM | 5.000% | 2/15/32 | 1,160 | 1,358 |
| | Austin TX Airport System Revenue | 5.000% | 11/15/26 | 1,120 | 1,380 |
| | Austin TX Airport System Revenue | 5.000% | 11/15/32 | 1,170 | 1,398 |
| | Austin TX Community College District Public Facilities Corp. Lease Revenue | 5.000% | 8/1/27 | 1,000 | 1,205 |
| 6 | Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/21 | 500 | 532 |
| | Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/37 | 1,000 | 1,218 |
| 2 | Bexar County TX GO | 5.000% | 6/15/23 | 3,230 | 3,674 |
| | Bexar County TX GO | 5.000% | 6/15/32 | 1,145 | 1,347 |
| | Bexar County TX GO | 4.000% | 6/15/34 | 1,000 | 1,161 |
| | Brownsville TX Utility System Revenue | 4.000% | 9/1/30 | 1,000 | 1,101 |
| | Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/24 | 1,015 | 1,105 |
| | Central Texas Regional Mobility Authority Revenue | 0.000% | 1/1/25 | 100 | 88 |
| | Central Texas Regional Mobility Authority Revenue | 0.000% | 1/1/26 | 180 | 153 |
| | Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/26 | 1,115 | 1,258 |
| | Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/30 | 845 | 939 |
| | Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/33 | 565 | 595 |
| | Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/34 | 1,415 | 1,570 |
| | Clear Creek TX Independent School District GO, PSF | 5.000% | 2/15/34 | 910 | 1,126 |
| | Clifton TX Higher Education Finance Corp. Revenue (Baylor University) | 5.250% | 3/1/29 | 200 | 205 |
| | Collin County TX Community College District GO | 4.000% | 8/15/34 | 2,500 | 3,035 |
| | Cypress-Fairbanks TX Independent School District GO, PSF | 5.000% | 2/15/25 | 500 | 514 |
| | Dallas County TX Community College District GO | 5.000% | 2/15/26 | 1,000 | 1,228 |
| 2 | Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/22 | 500 | 556 |
| | Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/32 | 1,670 | 1,988 |
| | Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/32 | 2,050 | 2,693 |
| | Dallas TX Independent School District GO, PSF | 5.000% | 2/15/23 | 485 | 499 |
| | Dallas TX Independent School District GO, PSF | 4.000% | 2/15/29 | 2,265 | 2,591 |
| | Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/21 | 1,340 | 1,419 |
| 2 | Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/21 | 195 | 206 |
| | Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/22 | 210 | 222 |
| | Dallas TX Waterworks & Sewer System Revenue | 4.000% | 10/1/31 | 1,675 | 2,051 |
| | Dallas-Fort Worth TX International Airport Revenue | 5.250% | 11/1/29 | 1,000 | 1,132 |
| | Eagle Mountain & Saginaw TX Independent School District GO, PSF PUT | 2.000% | 8/1/24 | 1,035 | 1,087 |
| | El Paso TX GO | 5.000% | 8/15/28 | 750 | 982 |
| | El Paso TX GO | 5.000% | 8/15/31 | 850 | 1,121 |
| | El Paso TX GO | 4.000% | 8/15/34 | 1,000 | 1,218 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Fort Worth TX GO | 5.000% | 3/1/25 | 1,115 | 1,344 |
| | Fort Worth TX Water & Sewer Revenue | 5.000% | 2/15/25 | 450 | 463 |
| | Frisco TX Refunding & Improvement GO | 5.000% | 2/15/28 | 1,425 | 1,705 |
| | Garland TX Electric Utility System Revenue | 5.000% | 3/1/30 | 675 | 882 |
| | Garland TX Independent School District GO, PSF | 5.000% | 2/15/22 | 1,025 | 1,104 |
| 5 | Grand Parkway Transportation Corp. Texas System Toll Revenue, 5.050% coupon rate effective 10/1/2023 | 0.000% | 10/1/30 | 1,550 | 1,789 |
| | Grand Parkway Transportation Corp. TX BAN | 5.000% | 2/1/23 | 2,500 | 2,702 |
| | Harris County TX Cultural Education Facilities Finance Corp. Thermal Utility Revenue (TECO Project) | 5.000% | 11/15/30 | 1,000 | 1,261 |
| 2 | Harris County TX GO | 5.000% | 10/1/21 | 280 | 296 |
| | Harris County TX GO | 5.000% | 8/15/22 | 1,960 | 2,149 |
| | Harris County TX GO | 5.000% | 10/1/23 | 20 | 21 |
| | Harris County TX GO | 5.000% | 8/15/32 | 1,025 | 1,123 |
| | Harris County TX GO | 5.000% | 10/1/36 | 1,200 | 1,430 |
| | Harris County TX GO | 5.000% | 10/1/40 | 2,470 | 2,922 |
| | Harris County TX Sports Authority Revenue | 5.000% | 11/15/22 | 945 | 974 |
| | Harris County TX Toll Road Revenue | 5.000% | 8/15/32 | 515 | 557 |
| | Harris County TX Toll Road Revenue | 5.000% | 8/15/41 | 1,685 | 2,017 |
| | Houston TX Airport System Revenue | 5.000% | 7/1/26 | 1,160 | 1,411 |
| | Houston TX Airport System Revenue | 5.000% | 7/1/37 | 1,685 | 2,047 |
| | Houston TX GO | 5.000% | 3/1/27 | 1,000 | 1,249 |
| | Houston TX GO | 4.000% | 3/1/35 | 1,500 | 1,746 |
| | Houston TX Hotel Occupancy Tax & Special Revenue (Convention & Entertainment Facilities) | 5.000% | 9/1/24 | 1,070 | 1,116 |
| | Houston TX Independent School District GO, PSF | 5.000% | 2/15/27 | 1,750 | 2,155 |
| | Houston TX Utility System Revenue | 5.000% | 5/15/25 | 1,160 | 1,359 |
| | Houston TX Utility System Revenue | 5.000% | 11/15/26 | 1,350 | 1,707 |
| | Houston TX Utility System Revenue | 4.000% | 11/15/31 | 1,000 | 1,173 |
| | Houston TX Utility System Revenue | 5.000% | 11/15/33 | 1,000 | 1,017 |
| | Houston TX Utility System Revenue | 5.000% | 11/15/34 | 1,000 | 1,162 |
| | Houston TX Utility System Revenue | 5.000% | 11/15/34 | 1,000 | 1,349 |
| | Katy TX Independent School District GO, PSF | 4.000% | 2/15/27 | 275 | 300 |
| | Katy TX Independent School District GO, PSF | 4.000% | 2/15/28 | 375 | 408 |
| | Klein TX Independent School District GO, PSF | 5.000% | 8/1/34 | 1,200 | 1,473 |
| 2 | Lake Travis TX Independent School District GO, PSF | 5.000% | 2/15/21 | 500 | 515 |
| | Lamar TX Consolidated Independent School District GO, PSF | 5.000% | 2/15/26 | 1,360 | 1,637 |
| | Laredo TX Community College District GO | 5.000% | 8/1/25 | 1,000 | 1,174 |
| | Laredo TX Independent School District GO, PSF | 4.000% | 8/1/28 | 1,635 | 1,845 |
| 7 | Lewisville TX Independent School District (Unlimited Tax Building) GO, PSF | 5.000% | 8/15/25 | 3,820 | 4,673 |
| | Lone Star College System Texas GO | 5.000% | 2/15/28 | 1,410 | 1,731 |
| | Lower Colorado River Authority Texas Revenue | 5.000% | 5/15/37 | 1,330 | 1,425 |
| | Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/28 | 1,200 | 1,437 |
| | Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/28 | 1,000 | 1,163 |
| | Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/34 | 1,115 | 1,406 |
| | Lubbock TX GO | 5.000% | 2/15/23 | 500 | 538 |
| | Mansfield TX Independent School District GO, PSF | 5.000% | 2/15/26 | 1,250 | 1,398 |
| | Mansfield TX Independent School District GO, PSF | 4.000% | 2/15/29 | 1,265 | 1,382 |
| | Mesquite TX Health Facilities Development Corp. Retirement Facility Revenue (Christian Care Centers Inc. Project) | 5.000% | 2/15/24 | 285 | 275 |
| | Mesquite TX Independent School District GO, PSF | 4.000% | 8/15/30 | 1,155 | 1,332 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Midlothian TX Independent School District Revenue GO, PSF PUT | 2.000% | 8/1/24 | 1,005 | 1,054 |
| | Montgomery TX GO | 4.000% | 3/1/30 | 1,840 | 2,209 |
| | New Hope TX Cultural Education Facilities Finance Corp. First Mortgage Revenue (Morningside Ministries Project) | 6.250% | 1/1/33 | 1,640 | 1,709 |
| | New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/26 | 1,060 | 1,147 |
| | New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/27 | 1,000 | 1,080 |
| | New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/28 | 870 | 938 |
| | New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) | 5.000% | 4/1/23 | 200 | 208 |
| | New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) | 5.000% | 4/1/24 | 210 | 221 |
| | New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) | 5.000% | 4/1/25 | 240 | 255 |
| | North East TX Independent School District GO, PSF | 5.250% | 2/1/22 | 580 | 626 |
| | North East TX Regional Mobility Authority Revenue | 5.000% | 1/1/30 | 2,390 | 2,649 |
| | North Texas Municipal Water District Regional Wastewater System Revenue | 5.000% | 6/1/22 | 1,495 | 1,632 |
| | North Texas Municipal Water District Regional Wastewater System Revenue | 5.000% | 6/1/23 | 1,555 | 1,764 |
| | North Texas Municipal Water District Regional Wastewater System Revenue | 4.000% | 6/1/31 | 1,500 | 1,780 |
| | North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/22 | 1,645 | 1,811 |
| | North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/23 | 1,025 | 1,174 |
| | North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/33 | 4,000 | 4,773 |
| | North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/34 | 4,000 | 4,765 |
| 2 | North Texas Tollway Authority System Revenue | 5.500% | 9/1/21 | 500 | 530 |
| | North Texas Tollway Authority System Revenue | 6.250% | 2/1/23 | 1,650 | 1,654 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/26 | 1,060 | 1,171 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/27 | 2,625 | 2,987 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/29 | 1,230 | 1,430 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/30 | 575 | 648 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/32 | 1,820 | 2,087 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/33 | 1,500 | 1,717 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/34 | 1,730 | 1,976 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/35 | 1,060 | 1,211 |
| | North Texas Tollway Authority System Revenue | 4.000% | 1/1/36 | 1,015 | 1,144 |
| | North Texas Tollway Authority System Revenue | 4.000% | 1/1/37 | 1,030 | 1,157 |
| | North Texas Tollway Authority System Revenue | 4.000% | 1/1/37 | 1,250 | 1,444 |
| | North Texas Tollway Authority System Revenue | 5.000% | 1/1/38 | 1,000 | 1,205 |
| | North Texas Tollway Authority System Revenue, AGM | 4.000% | 1/1/37 | 1,520 | 1,694 |
| | Northside TX Independent School District GO, PSF | 5.000% | 8/15/25 | 1,165 | 1,425 |
| | Northside TX Independent School District GO, PSF | 4.000% | 8/15/32 | 1,305 | 1,533 |
| | Northwest Independent School District Texas GO, PSF | 5.000% | 2/15/26 | 1,000 | 1,201 |
| | Northwest Independent School District Texas GO, PSF | 5.000% | 2/15/32 | 1,760 | 2,089 |
| | Northwest Independent School District Texas GO, PSF | 4.000% | 2/15/38 | 2,400 | 2,934 |
| | Palestine Independent School District GO, PSF | 5.000% | 2/15/29 | 1,860 | 2,268 |
| | Pasadena TX GO | 4.000% | 2/15/28 | 1,000 | 1,146 |
| | Pearland TX GO | 4.000% | 3/1/32 | 1,095 | 1,274 |
| | Pearland TX GO | 4.000% | 3/1/33 | 910 | 1,053 |
| | Pearland TX Waterworks & Sewer System Revenue | 4.000% | 9/1/32 | 240 | 280 |
| | Pearland TX Waterworks & Sewer System Revenue | 4.000% | 9/1/33 | 340 | 394 |
| | Pflugerville TX GO | 4.000% | 8/1/35 | 1,250 | 1,444 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Pflugerville TX Independent School District GO, PSF | 5.000% | 2/15/25 | 1,600 | 1,927 |
| | Richardson Independent School District GO, PSF | 5.000% | 2/15/26 | 3,020 | 3,738 |
| | San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/21 | 500 | 514 |
| | San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/24 | 1,000 | 1,098 |
| | San Antonio TX Electric & Gas Systems Revenue | 4.000% | 2/1/28 | 1,560 | 1,918 |
| | San Antonio TX Electric & Gas Systems Revenue | 4.000% | 2/1/34 | 1,255 | 1,415 |
| | San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/34 | 3,000 | 3,985 |
| | San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/36 | 1,000 | 1,232 |
| | San Antonio TX GO | 5.000% | 8/1/20 | 225 | 226 |
| | San Antonio TX GO | 5.000% | 2/1/22 | 1,000 | 1,028 |
| | San Antonio TX GO | 5.000% | 2/1/24 | 500 | 514 |
| | San Antonio TX GO | 5.000% | 2/1/26 | 1,000 | 1,199 |
| | San Antonio TX GO | 4.000% | 2/1/29 | 1,000 | 1,066 |
| | San Antonio TX Independent School District GO, PSF | 5.000% | 8/15/29 | 1,295 | 1,578 |
| | San Antonio TX Independent School District GO, PSF | 5.000% | 8/15/37 | 2,495 | 2,970 |
| | San Antonio TX Water Revenue | 5.000% | 5/15/34 | 1,000 | 1,223 |
| | San Antonio TX Water Revenue | 5.000% | 5/15/37 | 1,680 | 2,068 |
| | San Antonio TX Water Revenue | 5.000% | 5/15/38 | 1,440 | 1,814 |
| | Southwest Texas Higher Education Authority Inc. Revenue (Southern Methodist University Project) | 4.000% | 10/1/34 | 1,350 | 1,534 |
| | Spring TX Independent School District GO, PSF | 5.000% | 8/15/32 | 1,000 | 1,202 |
| | Spring TX Independent School District GO, PSF | 5.000% | 8/15/35 | 1,370 | 1,688 |
| | Sugar Land TX GO | 5.000% | 2/15/26 | 510 | 631 |
| | Tarrant County TX Cultural Education Facilities Finance Corp. Hospital Revenue (Cook Children's Medical Center) | 5.000% | 12/1/25 | 350 | 425 |
| | Tarrant County TX Cultural Education Facilities Finance Corp. Hospital Revenue (Methodist Hospitals of Dallas) | 5.250% | 10/1/31 | 1,000 | 1,116 |
| | Texas City TX Independent School District GO, PSF | 5.000% | 8/15/26 | 3,365 | 4,086 |
| | Texas GO | 5.000% | 10/1/22 | 1,120 | 1,239 |
| | Texas GO | 5.000% | 10/1/24 | 1,210 | 1,443 |
| | Texas GO | 5.000% | 8/1/26 | 925 | 972 |
| | Texas GO | 5.000% | 10/1/28 | 1,330 | 1,543 |
| | Texas GO | 5.000% | 8/1/31 | 500 | 525 |
| | Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 5.250% | 12/15/21 | 365 | 385 |
| | Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 5.250% | 12/15/23 | 245 | 276 |
| | Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 5.250% | 12/15/24 | 580 | 670 |
| | Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 6.250% | 12/15/26 | 175 | 203 |
| | Texas Municipal Gas Acquisition & Supply Corp III. Revenue | 5.000% | 12/15/22 | 1,005 | 1,091 |
| | Texas Municipal Gas Acquisition & Supply Corp III. Revenue | 5.000% | 12/15/23 | 380 | 411 |
| | Texas Municipal Gas Acquisition & Supply Corp III. Revenue | 5.000% | 12/15/25 | 2,215 | 2,385 |
| | Texas Municipal Gas Acquisition & Supply Corp III. Revenue | 5.000% | 12/15/28 | 1,335 | 1,429 |
| | Texas Municipal Power Agency Revenue | 5.000% | 9/1/27 | 520 | 524 |
| | Texas Public Finance Authority Revenue (Texas Southern University), BAM | 5.000% | 11/1/21 | 1,020 | 1,067 |
| | Texas State University System Financing System Revenue | 5.000% | 3/15/32 | 1,625 | 2,009 |
| | Texas Transportation Commission GO | 5.000% | 10/1/21 | 1,545 | 1,637 |
| | Texas Transportation Commission GO | 5.000% | 10/1/22 | 1,480 | 1,637 |
| | Texas Transportation Commission GO | 5.000% | 10/1/29 | 1,500 | 1,828 |
| | Texas Transportation Commission GO | 5.000% | 4/1/32 | 2,000 | 2,445 |
| | Texas Transportation Commission Mobility Fund GO | 5.000% | 10/1/34 | 1,645 | 2,071 |
| | Texas Transportation Commission Revenue | 5.000% | 4/1/23 | 2,100 | 2,366 |
| | Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/33 | 525 | 576 |
| | Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/34 | 880 | 963 |
| | Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/37 | 2,460 | 2,724 |
| 6 | Texas Turnpike Authority Central Texas Turnpike System Revenue, AMBAC | 0.000% | 8/15/20 | 285 | 285 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Texas Turnpike Authority Central Texas Turnpike System Revenue, AMBAC | 0.000% | 8/15/20 | 525 | 525 |
| | Texas Water Development Board Revenue | 4.000% | 10/15/32 | 1,000 | 1,208 |
| | Texas Water Development Board Revenue | 4.000% | 10/15/33 | 1,610 | 1,954 |
| | Texas Water Development Board Revenue | 4.000% | 10/15/34 | 1,465 | 1,771 |
| | Texas Water Development Board Revenue | 4.000% | 10/15/35 | 2,860 | 3,385 |
| | Texas Water Development Board Revenue | 4.000% | 10/15/35 | 1,770 | 2,056 |
| 2 | Texas Water Financial Assistance GO | 5.000% | 8/1/21 | 740 | 776 |
| | Texas Water Financial Assistance GO | 5.000% | 8/1/27 | 260 | 273 |
| | Travis TX GO | 5.000% | 3/1/27 | 1,545 | 1,904 |
| | Trinity River Authority of Texas Regional Wastewater System Revenue | 5.000% | 8/1/27 | 1,000 | 1,244 |
| | Trinity River Authority of Texas Regional Wastewater System Revenue | 5.000% | 8/1/37 | 1,235 | 1,561 |
| 2 | United TX Independent School District GO, PSF | 5.000% | 8/15/24 | 2,550 | 2,989 |
| | University of Houston Texas Revenue | 3.000% | 2/15/31 | 3,490 | 3,912 |
| | University of Houston Texas Revenue | 4.000% | 2/15/33 | 1,840 | 2,068 |
| | University of Houston Texas Revenue | 5.000% | 2/15/35 | 4,500 | 5,364 |
| | University of North Texas Revenue | 4.000% | 4/15/34 | 1,110 | 1,299 |
| | University of North Texas Revenue | 5.000% | 4/15/36 | 1,275 | 1,552 |
| | University of Texas System Revenue Financing System Revenue | 5.000% | 8/15/20 | 1,190 | 1,197 |
| | University of Texas System Revenue Financing System Revenue | 5.000% | 8/15/23 | 1,150 | 1,317 |
| | West Travis County TX Public Utility Agency Revenue, BAM | 5.000% | 8/15/27 | 1,235 | 1,571 |
| | West Travis County TX Public Utility Agency Revenue, BAM | 4.000% | 8/15/32 | 270 | 314 |
| | Williamson County TX GO | 5.000% | 2/15/23 | 230 | 247 |
| | | | | | | 294,297 |
| Utah (0.4%) |
| | Alpine UT School District GO | 5.000% | 3/15/30 | 1,025 | 1,295 |
| | Central Utah Water Conservancy District GO | 5.000% | 4/1/30 | 500 | 516 |
| | Central Utah Water Conservancy District Revenue | 4.000% | 10/1/32 | 1,000 | 1,188 |
| | Granite UT School District Salt Lake County GO | 5.000% | 6/1/28 | 6,260 | 8,287 |
| | Jordan Valley UT Water Conservancy District Revenue | 4.000% | 10/1/32 | 750 | 877 |
| | Utah County UT Hospital Revenue (IHC Health Services) | 5.000% | 5/15/34 | 750 | 941 |
| | Utah County UT Hospital Revenue (IHC Health Services) | 5.000% | 5/15/35 | 850 | 1,063 |
| | Utah GO | 5.000% | 7/1/21 | 1,300 | 1,362 |
| | Utah GO | 5.000% | 7/1/22 | 1,410 | 1,542 |
| | Utah GO | 5.000% | 7/1/24 | 1,015 | 1,203 |
| 2 | Utah Transit Authority Sales Tax Revenue | 5.000% | 6/15/25 | 1,285 | 1,574 |
| | Utah Transit Authority Sales Tax Revenue | 5.000% | 6/15/26 | 1,000 | 1,210 |
| | Utah Transit Authority Sales Tax Revenue | 5.000% | 6/15/37 | 585 | 657 |
| | | | | | | 21,715 |
| Vermont (0.0%) |
| | University of Vermont & State Agricultural College GO | 5.000% | 10/1/38 | 1,000 | 1,417 |
| Virginia (1.0%) |
| | Albermarle County VA Economic Development Authority Revenue (Sentara Healthcare Obliged) VRDO LOC: TD Bank NA | 0.030% | 7/1/20 | 13,500 | 13,500 |
| | Arlington County VA GO | 5.000% | 8/1/23 | 600 | 659 |
| | Chesapeake VA Toll Road Revenue | 5.000% | 7/15/21 | 500 | 522 |
| | Fairfax County VA GO | 5.000% | 10/1/20 | 1,710 | 1,730 |
| | Fairfax County VA GO | 5.000% | 10/1/23 | 1,255 | 1,445 |
| | Fairfax County VA GO | 4.000% | 10/1/32 | 1,415 | 1,684 |
| | Fairfax County VA GO | 5.000% | 10/1/34 | 675 | 908 |
| | Fairfax County VA Public Improvement GO | 5.000% | 4/1/21 | 420 | 435 |
| 2 | Fairfax County VA Water Authority Revenue | 5.000% | 4/1/22 | 500 | 541 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Hampton Roads VA Transportation Accountability Commission Revenue | 5.000% | 7/1/22 | 1,700 | 1,854 |
| | Norfolk VA Economic Development Authority Hospital Facilities Revenue (Sentara Healthcare) PUT | 5.000% | 11/1/28 | 1,170 | 1,504 |
| | Norfolk VA GO | 5.000% | 10/1/20 | 775 | 784 |
| | Norfolk VA GO | 5.000% | 8/1/21 | 2,040 | 2,145 |
| 2 | Norfolk VA GO | 5.000% | 9/1/24 | 1,090 | 1,299 |
| 2 | Norfolk VA GO | 5.000% | 9/1/24 | 1,345 | 1,603 |
| 2 | Norfolk VA Water Revenue | 5.000% | 5/1/22 | 495 | 538 |
| | Norfolk VA Water Revenue | 5.000% | 11/1/31 | 5 | 5 |
| | Norfolk VA Water Revenue | 5.000% | 11/1/34 | 1,155 | 1,459 |
| 2 | Richmond VA GO | 5.000% | 3/1/23 | 1,000 | 1,124 |
| | Richmond VA Public Utility Revenue | 5.000% | 1/15/28 | 1,000 | 1,233 |
| | Roanoke VA Economic Development Authority Hospital Revenue (Carilion Clinic Obligated Group) | 5.000% | 7/1/30 | 500 | 535 |
| | Stafford County VA Economic Development Authority Hospital Facilities Revenue (Mary Washington Healthcare Obligated Group) | 5.000% | 6/15/24 | 1,120 | 1,284 |
| | Virginia Beach VA Development Authority Residential Care Facility Revenue (Westminster-Canterbury on Chesapeake Bay) | 5.000% | 9/1/30 | 600 | 662 |
| | Virginia Beach VA Development Authority Residential Care Facility Revenue (Westminster-Canterbury on Chesapeake Bay) | 5.000% | 9/1/33 | 425 | 465 |
| | Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 5.000% | 2/1/27 | 1,845 | 2,287 |
| | Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 3.000% | 2/1/35 | 1,500 | 1,640 |
| 6 | Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 5.000% | 9/1/22 | 25 | 28 |
| | Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 5.000% | 9/1/22 | 330 | 364 |
| | Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 4.000% | 9/1/36 | 2,130 | 2,462 |
| | Virginia Commonwealth Transportation Board Revenue | 5.000% | 9/15/21 | 2,410 | 2,547 |
| | Virginia Commonwealth Transportation Board Revenue | 5.000% | 5/15/26 | 1,405 | 1,760 |
| | Virginia Commonwealth Transportation Board Revenue | 4.000% | 5/15/35 | 1,280 | 1,481 |
| | Virginia Commonwealth Transportation Board Revenue | 4.000% | 5/15/35 | 1,750 | 2,044 |
| | Virginia Public Building Authority Public Facilities Revenue | 5.000% | 8/1/24 | 1,250 | 1,482 |
| | Virginia Public Building Authority Revenue | 5.000% | 11/1/31 | 125 | 137 |
| | Virginia Public School Authority Revenue | 4.000% | 8/1/20 | 1,715 | 1,720 |
| | Virginia Public School Authority Revenue | 5.000% | 8/1/22 | 1,335 | 1,467 |
| | Virginia Public School Authority School Technology & Security Notes Revenue | 5.000% | 4/15/24 | 2,180 | 2,561 |
| | | | | | | 59,898 |
| Washington (1.2%) |
| | Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue | 5.000% | 11/1/26 | 795 | 1,002 |
| | Clark County WA School District No. 37 Vancouver Revenue | 5.000% | 12/1/32 | 1,080 | 1,420 |
| 6 | Energy Northwest Washington Electric Revenue (Columbia Generating Station) | 5.000% | 7/1/20 | 685 | 685 |
| | Energy Northwest Washington Electric Revenue (Columbia Generating Station) | 5.000% | 7/1/31 | 1,225 | 1,465 |
| | Energy Northwest Washington Electric Revenue (Project No. 3) | 5.000% | 7/1/26 | 1,735 | 2,173 |
| | King County WA GO | 5.000% | 7/1/20 | 1,250 | 1,250 |
| | King County WA GO | 5.000% | 1/1/24 | 500 | 535 |
| | King County WA GO | 4.000% | 12/1/32 | 1,500 | 1,726 |
| | King County WA Housing Authoirty Revenue | 3.000% | 6/1/40 | 1,000 | 1,040 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Lewis County WA Public Utility District No. 1 Revenue (Cowlitz Falls Hydroelectric Project) | 5.000% | 10/1/21 | 1,060 | 1,122 |
| | Mason County WA Public Utility District No. 3 Revenue | 4.000% | 12/1/32 | 1,000 | 1,225 |
| | Northwest Energy Washington Electric Revenue (Bonneville Power Administration) | 5.000% | 7/1/28 | 2,550 | 2,777 |
| | Pierce County School District No. 3 Puyallup GO | 5.000% | 12/1/25 | 1,000 | 1,110 |
| | Port of Seattle WA Revenue | 5.000% | 8/1/28 | 1,005 | 1,076 |
| | Port of Seattle WA Revenue | 5.000% | 8/1/29 | 250 | 268 |
| | Snohomish County WA School District No. 103 (Monroe) GO | 5.000% | 12/1/31 | 1,000 | 1,207 |
| | University of Washington Revenue | 5.000% | 4/1/31 | 335 | 346 |
| | Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 375 | 393 |
| | Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/27 | 1,000 | 1,195 |
| | Washington (Motor Vehicle Fuel Tax) GO | 4.000% | 7/1/31 | 1,500 | 1,679 |
| | Washington Economic Development Finance Authority Lease Revenue (Washington Biomedical Research Properties 2) | 5.000% | 6/1/25 | 1,090 | 1,300 |
| | Washington GO | 5.000% | 7/1/20 | 1,000 | 1,000 |
| 2 | Washington GO | 5.000% | 2/1/22 | 500 | 537 |
| | Washington GO | 5.000% | 7/1/22 | 1,445 | 1,582 |
| | Washington GO | 5.000% | 7/1/23 | 1,155 | 1,316 |
| | Washington GO | 5.000% | 7/1/25 | 560 | 612 |
| | Washington GO | 5.000% | 7/1/25 | 1,500 | 1,770 |
| | Washington GO | 4.000% | 7/1/27 | 2,425 | 2,580 |
| | Washington GO | 5.000% | 8/1/27 | 1,000 | 1,220 |
| | Washington GO | 4.000% | 7/1/28 | 1,135 | 1,206 |
| | Washington GO | 5.000% | 7/1/28 | 2,000 | 2,385 |
| | Washington GO | 4.000% | 7/1/29 | 2,720 | 2,965 |
| | Washington GO | 5.000% | 7/1/30 | 1,100 | 1,303 |
| | Washington GO | 5.000% | 7/1/32 | 1,250 | 1,465 |
| 7 | Washington GO | 5.000% | 6/1/35 | 1,500 | 1,955 |
| | Washington GO | 5.000% | 8/1/36 | 2,070 | 2,639 |
| | Washington GO | 5.000% | 8/1/37 | 3,685 | 4,243 |
| | Washington GO | 5.000% | 8/1/38 | 2,070 | 2,624 |
| | Washington Health Care Facilities Authority Revenue (Central Washington Health Services Association) | 5.000% | 7/1/30 | 1,760 | 2,001 |
| | Washington Health Care Facilities Authority Revenue (CommonSpirit Health) | 5.000% | 8/1/32 | 1,750 | 2,132 |
| | Washington Health Care Facilities Authority Revenue (CommonSpirit Health) | 5.000% | 8/1/36 | 1,500 | 1,797 |
| | Washington Health Care Facilities Authority Revenue (CommonSpirit Health) PUT | 5.000% | 8/1/24 | 1,000 | 1,124 |
| | Washington Health Care Facilities Authority Revenue (MultiCare Health System) | 5.000% | 8/15/32 | 1,000 | 1,225 |
| | Washington Health Care Facilities Authority Revenue (Providence Health & Services) | 5.000% | 10/1/33 | 880 | 940 |
| | Washington Higher Education Facilities Authority Revenue (Seattle University Project) | 5.000% | 10/1/35 | 1,000 | 1,194 |
| | Washington State University General Revenue | 5.000% | 10/1/31 | 500 | 523 |
| | | | | | | 67,332 |
| West Virginia (0.2%) |
| | West Virginia Commissioner of Highways Revenue (Surface Transportation Improvements) | 5.000% | 9/1/33 | 1,110 | 1,375 |
| | West Virginia Economic Development Authority Lottery Revenue | 4.000% | 6/15/37 | 1,545 | 1,759 |
| | West Virginia GO | 5.000% | 12/1/35 | 1,000 | 1,271 |
| | West Virginia GO | 5.000% | 6/1/36 | 1,000 | 1,268 |
| | West Virginia GO | 5.000% | 6/1/38 | 2,500 | 3,230 |
| | West Virginia Higher Education Policy Commission Revenue | 5.000% | 7/1/37 | 1,315 | 1,555 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | West Virginia Hospital Finance Authority Hospital Revenue (Cabell Huntington Hospital Inc.) | 5.000% | 1/1/29 | 765 | 964 |
| | West Virginia Parkways Authority Turnpike Toll Revenue | 5.000% | 6/1/33 | 825 | 1,055 |
| | West Virginia University Revenue PUT | 5.000% | 10/1/29 | 1,000 | 1,271 |
| | | | | | | 13,748 |
| Wisconsin (0.9%) |
| | Madison WI Area Technical College GO | 4.000% | 3/1/25 | 1,835 | 2,128 |
| | Madison WI GO | 4.000% | 10/1/26 | 1,500 | 1,795 |
| | Milwaukee WI GO | 5.000% | 4/1/26 | 1,935 | 2,376 |
| | University of Wisconsin Hospitals & Clinics Authority Revenue VRDO LOC: JPMorgan Chase Bank NA | 0.020% | 7/1/20 | 5,000 | 5,000 |
| 6 | Wisconsin GO | 5.000% | 5/1/21 | 15 | 16 |
| | Wisconsin GO | 5.000% | 5/1/21 | 835 | 868 |
| 2 | Wisconsin GO | 5.000% | 5/1/22 | 500 | 543 |
| 2 | Wisconsin GO | 5.000% | 5/1/22 | 35 | 38 |
| 2 | Wisconsin GO | 5.000% | 5/1/22 | 2,210 | 2,400 |
| | Wisconsin GO | 5.000% | 5/1/29 | 1,000 | 1,119 |
| | Wisconsin GO | 4.000% | 5/1/33 | 1,665 | 1,965 |
| | Wisconsin GO | 5.000% | 5/1/34 | 1,780 | 2,160 |
| | Wisconsin GO | 5.000% | 5/1/34 | 3,880 | 4,973 |
| | Wisconsin GO | 5.000% | 5/1/35 | 1,000 | 1,210 |
| | Wisconsin GO | 5.000% | 5/1/36 | 2,000 | 2,348 |
| | Wisconsin GO | 5.000% | 5/1/36 | 1,000 | 1,206 |
| | Wisconsin GO | 5.000% | 5/1/38 | 1,740 | 2,151 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Agnesian HealthCare Inc.) | 5.000% | 7/1/31 | 1,065 | 1,291 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Ascension Health Alliance Credit Group) | 4.000% | 11/15/34 | 1,540 | 1,703 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Ascension Health Alliance Credit Group) | 5.000% | 11/15/36 | 2,265 | 2,659 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Aspirus, Inc. Obligated Group) | 5.000% | 8/15/25 | 1,670 | 1,864 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Children's Hospital of Wisconsin Inc.) | 4.000% | 8/15/31 | 1,010 | 1,170 |
| | Wisconsin Health & Educational Facilities Authority Revenue (Marquette University) | 5.000% | 10/1/30 | 500 | 532 |
| | Wisconsin Health & Educational Facilities Authority Revenue (ThedaCare Inc. Obligated Group) | 4.000% | 12/15/39 | 1,595 | 1,802 |
| | Wisconsin Public Finance Authority Exempt Facilities Revenue (Wingate University) | 5.250% | 10/1/32 | 740 | 812 |
| | Wisconsin Public Finance Authority Hospital Revenue (Renown Regional Medical Center) | 5.000% | 6/1/30 | 1,085 | 1,281 |
| | Wisconsin Public Power System Power Supply System Revenue | 5.000% | 7/1/32 | 500 | 562 |
| 2 | Wisconsin Transportation Revenue | 5.000% | 7/1/22 | 115 | 126 |
| | Wisconsin Transportation Revenue | 5.000% | 7/1/23 | 385 | 421 |
| | Wisconsin Transportation Revenue | 5.000% | 7/1/31 | 1,425 | 1,803 |
| | Wisconsin Transportation Revenue | 5.000% | 7/1/31 | 1,370 | 1,694 |
| | Wisconsin Transportation Revenue | 5.000% | 7/1/33 | 2,755 | 3,213 |
| | | | | | | 53,229 |
| Wyoming (0.3%) |
| | Lincoln County WY Pollution Control Revenue (ExxonMobil Project) VRDO | 0.030% | 7/1/20 | 13,435 | 13,435 |
| | Wyoming Municipal Power Agency Power Supply Revenue, BAM | 5.000% | 1/1/34 | 1,000 | 1,212 |
| | | | | | | 14,647 |
| Total Tax-Exempt Municipal Bonds (Cost $2,809,562) | 2,955,536 |
Tax-Managed Balanced Fund
| | | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| Temporary Cash Investment (0.0%) |
| U.S. Government and Agency Obligations (0.0%) |
| 9 | United States Treasury Bill (Cost $1,230) | 0.210% | 9/15/20 | 1,230 | 1,230 |
| Total Investments (99.7%) (Cost $4,320,150) | | 5,761,267 |
| Other Assets and Liabilities—Net(0.3%) | | 19,581 |
| Net Assets (100%) | | 5,780,848 |
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
| 2 | Prerefunded security. Maturity date disclosed is prerefunding date. |
| 3 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate value of these securities was $30,502,000, representing 0.5% of net assets. |
| 5 | Step bond. |
| 6 | Escrowed to maturity. |
| 7 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2020. |
| 8 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 9 | Securities with a value of $1,230,000 have been segregated as initial margin for open futures contracts. |
| | AGC-ICC—Assured Guaranty Corporation—Insured Custody Certificates. |
| | AGM—Assured Guaranty Municipal Corporation. |
| | AMBAC—American Municipal Bond Assurance Corporation. |
| | BAM—Build America Mutual Assurance Company. |
| | BAN—Bond Anticipation Note. |
| | BHAC—Berkshire Hathaway Assurance Corporation. |
| | COP—Certificate of Participation. |
| | FGIC—Financial Guaranty Insurance Corporation. |
| | FHA—Federal Housing Authority. |
| | FHLMC—Federal Home Loan Mortgage Corporation. |
| | FNMA—Federal National Mortgage Association. |
| | GNMA—Government National Mortgage Association. |
| | GO—Government Obligation Bond. |
| | LIBOR—London Interbank Offered Rate. |
| | LIQ—Liquidity Agreement. |
| | LOC—Letter of Credit. |
| | MBIA—Municipal Bond Investors Assurance. |
| | NATL—National Public Finance Guarantee Corporation. |
| | PSF—Permanent School Fund. |
| | PUT—Put Option Obligation. |
| | SBLF—Michigan School Bond Loan Fund. |
| | SIFMA—Securities Industry and Financial Markets Association. |
| | TOB—Tender Option Bond. |
| | TRAN—Tax and Revenue Anticipation Note. |
| | VRDO—Variable Rate Demand Obligation. |
Tax-Managed Balanced Fund
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 | September 2020 | 141 | 21,786 | 361 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Balanced Fund
Statement of Assets and Liabilities
|
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $4,271,711) | 5,711,857 |
| Affiliated Issuers (Cost $48,439) | 49,410 |
| Total Investments in Securities | 5,761,267 |
| Investment in Vanguard | 258 |
| Cash | 3,348 |
| Cash Collateral Pledged—Futures Contracts | 495 |
| Receivables for Investment Securities Sold | 2,446 |
| Receivables for Accrued Income | 33,910 |
| Receivables for Capital Shares Issued | 2,163 |
| Variation Margin Receivable—Futures Contracts | 300 |
| Total Assets | 5,804,187 |
| Liabilities | |
| Payables for Investment Securities Purchased | 20,950 |
| Payables for Capital Shares Redeemed | 2,121 |
| Payables to Vanguard | 268 |
| Total Liabilities | 23,339 |
| Net Assets | 5,780,848 |
| At June 30, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 4,428,182 |
| Total Distributable Earnings (Loss) | 1,352,666 |
| Net Assets | 5,780,848 |
| | |
| Net Assets | |
| Applicable to 170,217,645 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,780,848 |
| Net Asset Value Per Share | $33.96 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Balanced Fund
|
| | Six Months Ended
June 30, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends1 | 22,905 |
| Interest | 36,296 |
| Total Income | 59,201 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 203 |
| Management and Administrative | 2,105 |
| Marketing and Distribution | 177 |
| Custodian Fees | 12 |
| Shareholders’ Reports | 29 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,528 |
| Net Investment Income | 56,673 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | (31,009) |
| Futures Contracts | (8,072) |
| Realized Net Gain (Loss) | (39,081) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (40,605) |
| Futures Contracts | (417) |
| Change in Unrealized Appreciation (Depreciation) | (41,022) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (23,430) |
| 1 | Dividend income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $194,000, $97,000, and $971,000, respectively. Purchases and sales were $56,725,000 and $8,383,000, respectively. |
| 2 | Includes $10,506,000 of the net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Balanced Fund
Statement of Changes in Net Assets
|
| | Six Months Ended
June 30,
2020 | | Year Ended
December 31,
2019 |
| | ($000) | | ($000) |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 56,673 | | 111,513 |
| Realized Net Gain (Loss) | (39,081) | | (13,758) |
| Change in Unrealized Appreciation (Depreciation) | (41,022) | | 733,500 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (23,430) | | 831,255 |
| Distributions1 | | | |
| Total Distributions | (56,156) | | (113,064) |
| Capital Share Transactions | | | |
| Issued | 652,253 | | 1,111,257 |
| Issued in Lieu of Cash Distributions | 46,361 | | 93,909 |
| Redeemed | (646,911) | | (484,987) |
| Net Increase (Decrease) from Capital Share Transactions | 51,703 | | 720,179 |
| Total Increase (Decrease) | (27,883) | | 1,438,370 |
| Net Assets | | | |
| Beginning of Period | 5,808,731 | | 4,370,361 |
| End of Period | 5,780,848 | | 5,808,731 |
| 1 | Certain prior period numbers have been reclassed to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Balanced Fund
For a Share Outstanding
Throughout Each Period | Six Months
Ended
June 30,
2020 | Year Ended December 31, |
| 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $34.25 | $29.65 | $30.73 | $27.85 | $26.86 | $26.79 |
| Investment Operations | | | | | | |
| Net Investment Income | .3321 | .7011 | .6881 | .6221 | .595 | .557 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.290) | 4.603 | (1.110) | 2.871 | .989 | .067 |
| Total from Investment Operations | .042 | 5.304 | (.422) | 3.493 | 1.584 | .624 |
| Distributions | | | | | | |
| Dividends from Net Investment Income2 | (.332) | (.704) | (.658) | (.613) | (.594) | (.554) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.332) | (.704) | (.658) | (.613) | (.594) | (.554) |
| Net Asset Value, End of Period | $33.96 | $34.25 | $29.65 | $30.73 | $27.85 | $26.86 |
| Total Return3 | 0.21% | 18.01% | -1.43% | 12.64% | 5.94% | 2.35% |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $5,781 | $5,809 | $4,370 | $3,930 | $3,096 | $2,478 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.11% |
| Ratio of Net Investment Income to Average Net Assets | 2.03% | 2.16% | 2.22% | 2.11% | 2.20% | 2.11% |
| Portfolio Turnover Rate | 14%4 | 12%4 | 11%4 | 9%4 | 11%4 | 9% |
| The expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | For tax purposes, nontaxable dividends represent 62%, 61%, 61%, 61%, 57%, and 62% of dividends from net investment income. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Balanced Fund
Notes to Financial Statements
Vanguard Tax-Managed Balanced Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in debt instruments of many municipal issuers; the issuers’ abilities to meet their obligations may be affected by economic and political developments in a specific state or region.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. 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. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The fund also uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds or 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
Tax-Managed Balanced Fund
During the six months ended June 30, 2020, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and for the period ended June 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended June 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Tax-Managed Balanced Fund
| B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2020, the fund had contributed to Vanguard capital in the amount of $258,000, representing less than 0.01% of the fund’s net assets and 0.10% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | Various inputs may be used to determine the value of the fund’s investments. 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 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 June 30, 2020, based on the inputs used to value them:
| | Level 1
($000) | Level 2
($000) | Level 3
($000) | Total
($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 2,804,501 | — | — | 2,804,501 |
| Tax-Exempt Municipal Bonds | — | 2,955,536 | — | 2,955,536 |
| Temporary Cash Investment | — | 1,230 | — | 1,230 |
| Total | 2,804,501 | 2,956,766 | — | 5,761,267 |
| | | | |
| Derivative Financial Instruments | | | | |
| Assets | | | | |
| Futures Contracts1 | 300 | — | — | 300 |
| 1 | Represents variation margin on the last day of the reporting period. |
Tax-Managed Balanced Fund
| D. | As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
| | Amount
($000) |
| Tax Cost | 4,326,176 |
| Gross Unrealized Appreciation | 1,486,611 |
| Gross Unrealized Depreciation | (51,159) |
| Net Unrealized Appreciation (Depreciation) | 1,435,452 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2019, the fund had available capital losses totaling $48,397,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
| E. | During the six months ended June 30, 2020, the fund purchased $869,368,000 of investment securities and sold $775,861,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales include $0 and $11,038,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended June 30, 2020, such purchases and sales were $318,885,000 and $277,200,000, respectively; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
| F. | Capital shares issued and redeemed were: |
| | Six Months Ended
June 30, 2020 | | Year Ended
December 31, 2019 |
| | Shares
(000) | | Shares
(000) |
| Issued | 19,676 | | 34,370 |
| Issued in Lieu of Cash Distributions | 1,481 | | 2,858 |
| Redeemed | (20,525) | | (15,016) |
| Net Increase (Decrease) in Shares Outstanding | 632 | | 22,212 |
| G. | Management has determined that no events or transactions occurred subsequent to June 30, 2020, that would require recognition or disclosure in these financial statements. |
Tax-Managed Capital Appreciation Fund
| Consumer Discretionary | 15.6% |
| Consumer Staples | 5.7 |
| Energy | 2.6 |
| Financial Services | 17.9 |
| Health Care | 13.8 |
| Materials & Processing | 2.9 |
| Other | 0.0 |
| Producer Durables | 9.0 |
| Technology | 27.8 |
| Utilities | 4.7 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
Tax-Managed Capital Appreciation Fund
Financial Statements (unaudited)
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%) |
| Consumer Discretionary (15.5%) |
| * | Amazon.com Inc. | 168,755 | 465,565 |
| | Home Depot Inc. | 408,845 | 102,420 |
| | Walt Disney Co. | 691,357 | 77,093 |
| * | Netflix Inc. | 168,110 | 76,497 |
| | Comcast Corp. Class A | 1,624,374 | 63,318 |
| | Walmart Inc. | 527,802 | 63,220 |
| * | Tesla Inc. | 54,181 | 58,505 |
| | Costco Wholesale Corp. | 174,571 | 52,932 |
| | McDonald's Corp. | 281,388 | 51,908 |
| | NIKE Inc. Class B | 465,745 | 45,666 |
| | Lowe's Cos. Inc. | 335,319 | 45,308 |
| | Starbucks Corp. | 481,204 | 35,412 |
| * | Charter Communications Inc. Class A | 54,799 | 27,950 |
| * | Booking Holdings Inc. | 15,692 | 24,987 |
| * | O'Reilly Automotive Inc. | 55,052 | 23,214 |
| | Estee Lauder Cos. Inc. Class A | 120,437 | 22,724 |
| * | AutoZone Inc. | 19,261 | 21,729 |
| | TJX Cos. Inc. | 420,379 | 21,254 |
| | Target Corp. | 168,692 | 20,231 |
| | eBay Inc. | 374,857 | 19,661 |
| | Ross Stores Inc. | 218,388 | 18,615 |
| | Marriott International Inc. Class A | 190,777 | 16,355 |
| | Dollar General Corp. | 85,818 | 16,349 |
| * | CarMax Inc. | 173,013 | 15,493 |
| * | NVR Inc. | 4,451 | 14,505 |
| | Yum! Brands Inc. | 148,953 | 12,946 |
| | DR Horton Inc. | 223,326 | 12,383 |
| * | Spotify Technology SA | 47,026 | 12,142 |
| * | Dollar Tree Inc. | 129,701 | 12,021 |
| * | Lululemon Athletica Inc. | 35,968 | 11,222 |
| | Yum China Holdings Inc. | 219,948 | 10,573 |
| * | Uber Technologies Inc. | 311,686 | 9,687 |
| | Lennar Corp. Class A | 139,359 | 8,587 |
| * | Chipotle Mexican Grill Inc. Class A | 8,048 | 8,469 |
| | PulteGroup Inc. | 230,354 | 7,839 |
| | | | | | Shares | Market
Value•
($000) |
| | Gentex Corp. | 302,760 | 7,802 |
| | Advance Auto Parts Inc. | 53,298 | 7,592 |
| | General Motors Co. | 298,701 | 7,557 |
| * | Tempur Sealy International Inc. | 97,523 | 7,017 |
| | PVH Corp. | 138,683 | 6,664 |
| | Hasbro Inc. | 76,898 | 5,764 |
| | Hilton Worldwide Holdings Inc. | 76,165 | 5,594 |
| | Expedia Group Inc. | 67,567 | 5,554 |
| | Darden Restaurants Inc. | 71,885 | 5,447 |
| * | Liberty Media Corp.-Liberty SiriusXM Class C | 154,212 | 5,313 |
| | VF Corp. | 85,904 | 5,235 |
| * | Live Nation Entertainment Inc. | 114,264 | 5,065 |
| | Interpublic Group of Cos. Inc. | 289,529 | 4,968 |
| * | Burlington Stores Inc. | 23,758 | 4,679 |
| * | Liberty Broadband Corp. Class C | 37,151 | 4,605 |
| | Royal Caribbean Cruises Ltd. | 90,926 | 4,574 |
| | Las Vegas Sands Corp. | 99,438 | 4,528 |
| * | Visteon Corp. | 65,288 | 4,472 |
| * | Mohawk Industries Inc. | 43,304 | 4,407 |
| * | Norwegian Cruise Line Holdings Ltd. | 268,057 | 4,404 |
| * | Discovery Inc. Class C | 218,533 | 4,209 |
| | BorgWarner Inc. | 115,872 | 4,090 |
| * | Wayfair Inc. Class A | 20,536 | 4,058 |
| | Aptiv plc | 51,636 | 4,023 |
| * | Capri Holdings Ltd. | 255,412 | 3,992 |
| * | DISH Network Corp. Class A | 115,135 | 3,973 |
| | Hyatt Hotels Corp. Class A | 77,726 | 3,909 |
| | Best Buy Co. Inc. | 43,631 | 3,808 |
| | MGM Resorts International | 224,393 | 3,770 |
| * | Under Armour Inc. Class C | 416,799 | 3,685 |
| | Sirius XM Holdings Inc. | 614,472 | 3,607 |
| * | IAA Inc. | 87,027 | 3,357 |
| | ViacomCBS Inc. Class B | 142,313 | 3,319 |
| * | Murphy USA Inc. | 29,029 | 3,268 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| * | Liberty Media Corp.-Liberty SiriusXM Class A | 93,616 | 3,232 |
| | Toll Brothers Inc. | 97,169 | 3,167 |
| | Tractor Supply Co. | 23,667 | 3,119 |
| * | AutoNation Inc. | 81,769 | 3,073 |
| * | Bright Horizons Family Solutions Inc. | 25,671 | 3,009 |
| | Vail Resorts Inc. | 15,867 | 2,890 |
| * | Liberty Media Corp.-Liberty Formula One Class C | 90,972 | 2,885 |
| | Omnicom Group Inc. | 52,664 | 2,875 |
| * | Carvana Co. Class A | 23,076 | 2,774 |
| * | Qurate Retail Inc. Class A | 287,788 | 2,734 |
| * | Floor & Decor Holdings Inc. Class A | 47,227 | 2,723 |
| | Ford Motor Co. | 439,632 | 2,673 |
| * | AMC Networks Inc. Class A | 113,435 | 2,653 |
| | Lear Corp. | 24,271 | 2,646 |
| * | Liberty Broadband Corp. Class A | 20,734 | 2,534 |
| * | frontdoor Inc. | 56,944 | 2,524 |
| * | Roku Inc. Class A | 21,509 | 2,506 |
| | Hanesbrands Inc. | 201,094 | 2,270 |
| * | Ulta Beauty Inc. | 11,054 | 2,249 |
| | Polaris Inc. | 22,874 | 2,117 |
| | Brinker International Inc. | 88,019 | 2,112 |
| * | ServiceMaster Global Holdings Inc. | 57,616 | 2,056 |
| | Pool Corp. | 7,269 | 1,976 |
| * | LKQ Corp. | 74,828 | 1,961 |
| | Foot Locker Inc. | 66,070 | 1,927 |
| | Ralph Lauren Corp. Class A | 26,366 | 1,912 |
| | Domino's Pizza Inc. | 5,111 | 1,888 |
| * | Planet Fitness Inc. Class A | 30,743 | 1,862 |
| | Wynn Resorts Ltd. | 24,711 | 1,841 |
| * | Etsy Inc. | 16,913 | 1,797 |
| * | Five Below Inc. | 16,637 | 1,779 |
| | News Corp. Class A | 149,164 | 1,769 |
| * | Urban Outfitters Inc. | 105,463 | 1,605 |
| * | Skechers U.S.A. Inc. Class A | 50,066 | 1,571 |
| * | Madison Square Garden Sports Corp. | 10,563 | 1,552 |
| * | Lyft Inc. Class A | 43,861 | 1,448 |
| * | Liberty Media Corp.-Liberty Formula One Class A | 48,061 | 1,402 |
| | Genuine Parts Co. | 15,808 | 1,375 |
| | Harley-Davidson Inc. | 53,991 | 1,283 |
| * | Caesars Entertainment Corp. | 101,328 | 1,229 |
| | TripAdvisor Inc. | 59,730 | 1,135 |
| | AMERCO | 3,700 | 1,118 |
| * | Mattel Inc. | 111,801 | 1,081 |
| | Carnival Corp. | 65,373 | 1,073 |
| | Aramark | 45,301 | 1,022 |
| * | Discovery Inc. Class A | 48,210 | 1,017 |
| | | | | | Shares | Market
Value•
($000) |
| * | Grand Canyon Education Inc. | 11,186 | 1,013 |
| | KAR Auction Services Inc. | 70,720 | 973 |
| * | Trade Desk Inc. Class A | 2,301 | 935 |
| * | Altice USA Inc. Class A | 38,075 | 858 |
| * | Madison Square Garden Entertainment Corp. | 11,299 | 847 |
| * | Hilton Grand Vacations Inc. | 40,832 | 798 |
| | John Wiley & Sons Inc. Class A | 17,354 | 677 |
| | Tiffany & Co. | 5,492 | 670 |
| * | Lions Gate Entertainment Corp. Class B | 97,855 | 668 |
| | Lennar Corp. Class B | 10,425 | 481 |
| | New York Times Co. Class A | 10,912 | 459 |
| | Nordstrom Inc. | 26,916 | 417 |
| | Cable One Inc. | 219 | 389 |
| * | 2U Inc. | 8,853 | 336 |
| | Garmin Ltd. | 2,897 | 282 |
| | Thor Industries Inc. | 2,150 | 229 |
| | Brunswick Corp. | 3,484 | 223 |
| * | Under Armour Inc. Class A | 19,750 | 192 |
| | Wendy's Co. | 7,938 | 173 |
| | Service Corp. International | 4,359 | 170 |
| | Fox Corp. Class A | 6,292 | 169 |
| | Dunkin' Brands Group Inc. | 2,399 | 157 |
| | Nexstar Media Group Inc. Class A | 1,169 | 98 |
| * | Warner Music Group Corp. Class A | 1,414 | 42 |
| | Graham Holdings Co. Class B | 1 | — |
| | | | | | | 1,777,789 |
| Consumer Staples (5.7%) |
| | Procter & Gamble Co. | 954,158 | 114,089 |
| | PepsiCo Inc. | 535,067 | 70,768 |
| | Coca-Cola Co. | 1,464,748 | 65,445 |
| | Philip Morris International Inc. | 562,458 | 39,406 |
| | Mondelez International Inc. Class A | 613,781 | 31,383 |
| | CVS Health Corp. | 442,343 | 28,739 |
| | Colgate-Palmolive Co. | 383,803 | 28,117 |
| * | Monster Beverage Corp. | 298,547 | 20,695 |
| | Clorox Co. | 72,758 | 15,961 |
| | McCormick & Co. Inc. (Non-Voting) | 86,333 | 15,489 |
| | Altria Group Inc. | 380,314 | 14,927 |
| | Constellation Brands Inc. Class A | 83,261 | 14,567 |
| | Kroger Co. | 430,206 | 14,562 |
| | Kimberly-Clark Corp. | 97,965 | 13,847 |
| | Church & Dwight Co. Inc. | 172,528 | 13,336 |
| | Brown-Forman Corp. Class B | 191,278 | 12,177 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | Walgreens Boots Alliance Inc. | 274,260 | 11,626 |
| | McKesson Corp. | 71,832 | 11,020 |
| | Hormel Foods Corp. | 224,493 | 10,836 |
| | Hershey Co. | 81,773 | 10,599 |
| | Tyson Foods Inc. Class A | 163,958 | 9,790 |
| | Archer-Daniels-Midland Co. | 242,636 | 9,681 |
| | General Mills Inc. | 150,379 | 9,271 |
| | Corteva Inc. | 299,039 | 8,011 |
| | Sysco Corp. | 122,705 | 6,707 |
| | J M Smucker Co. | 51,896 | 5,491 |
| | Campbell Soup Co. | 103,441 | 5,134 |
| | Ingredion Inc. | 54,756 | 4,545 |
| * | Post Holdings Inc. | 51,240 | 4,490 |
| * | US Foods Holding Corp. | 207,500 | 4,092 |
| | Keurig Dr Pepper Inc. | 121,099 | 3,439 |
| | Kraft Heinz Co. | 83,022 | 2,648 |
| | Molson Coors Beverage Co. Class B | 71,712 | 2,464 |
| | Energizer Holdings Inc. | 44,751 | 2,125 |
| * | Edgewell Personal Care Co. | 65,859 | 2,052 |
| * | Hain Celestial Group Inc. | 62,113 | 1,957 |
| | Kellogg Co. | 26,928 | 1,779 |
| | Lamb Weston Holdings Inc. | 23,087 | 1,476 |
| * | Beyond Meat Inc. | 11,011 | 1,475 |
| * | Herbalife Nutrition Ltd. | 27,738 | 1,248 |
| | Bunge Ltd. | 20,905 | 860 |
| | Conagra Brands Inc. | 13,899 | 489 |
| * | Pilgrim's Pride Corp. | 24,098 | 407 |
| * | TreeHouse Foods Inc. | 7,588 | 332 |
| * | Grocery Outlet Holding Corp. | 6,987 | 285 |
| | Casey's General Stores Inc. | 1,891 | 283 |
| | Flowers Foods Inc. | 8,141 | 182 |
| | Brown-Forman Corp. Class A | 2,600 | 150 |
| | Spectrum Brands Holdings Inc. | 10 | — |
| | | | | | | 648,452 |
| Energy (2.5%) |
| | Exxon Mobil Corp. | 1,633,681 | 73,058 |
| | Chevron Corp. | 759,997 | 67,815 |
| | ConocoPhillips | 457,409 | 19,220 |
| | Phillips 66 | 175,747 | 12,636 |
| | EOG Resources Inc. | 226,479 | 11,473 |
| | Valero Energy Corp. | 175,202 | 10,305 |
| | Kinder Morgan Inc. | 524,756 | 7,961 |
| | Marathon Petroleum Corp. | 206,329 | 7,713 |
| | National Oilwell Varco Inc. | 519,976 | 6,370 |
| | Pioneer Natural Resources Co. | 57,047 | 5,574 |
| * | Transocean Ltd. | 3,013,163 | 5,514 |
| | Williams Cos. Inc. | 279,381 | 5,314 |
| | Hess Corp. | 99,652 | 5,163 |
| | Schlumberger Ltd. | 237,236 | 4,363 |
| | | | | | Shares | Market
Value•
($000) |
| | Diamondback Energy Inc. | 92,292 | 3,860 |
| | Continental Resources Inc. | 215,006 | 3,769 |
| | Cabot Oil & Gas Corp. | 209,282 | 3,595 |
| * | WPX Energy Inc. | 556,795 | 3,552 |
| | Concho Resources Inc. | 66,922 | 3,446 |
| | Parsley Energy Inc. Class A | 263,570 | 2,815 |
| | Range Resources Corp. | 489,375 | 2,755 |
| | EQT Corp. | 224,460 | 2,671 |
| * | Antero Resources Corp. | 1,030,781 | 2,618 |
| * | Cheniere Energy Inc. | 47,717 | 2,306 |
| * | First Solar Inc. | 45,956 | 2,275 |
| * | ChampionX Corp. | 232,354 | 2,268 |
| | Marathon Oil Corp. | 237,954 | 1,456 |
| | Apache Corp. | 107,295 | 1,448 |
| | Patterson-UTI Energy Inc. | 406,477 | 1,410 |
| | Devon Energy Corp. | 92,328 | 1,047 |
| | ONEOK Inc. | 29,311 | 974 |
| * | Centennial Resource Development Inc. Class A | 1,030,380 | 917 |
| | HollyFrontier Corp. | 30,826 | 900 |
| | Noble Energy Inc. | 69,311 | 621 |
| | Baker Hughes Co. Class A | 39,956 | 615 |
| | Equitrans Midstream Corp. | 61,755 | 513 |
| | Antero Midstream Corp. | 96,216 | 491 |
| | Cimarex Energy Co. | 17,698 | 487 |
| * | Chesapeake Energy Corp. | 12,758 | 63 |
| | Occidental Petroleum Corp. | 502 | 9 |
| | | | | | | 289,360 |
| Financial Services (17.9%) |
| * | Berkshire Hathaway Inc. Class B | 780,251 | 139,283 |
| | Visa Inc. Class A | 652,984 | 126,137 |
| | JPMorgan Chase & Co. | 1,225,973 | 115,315 |
| | Mastercard Inc. Class A | 350,780 | 103,726 |
| * | PayPal Holdings Inc. | 530,612 | 92,449 |
| | Bank of America Corp. | 3,186,741 | 75,685 |
| | American Tower Corp. | 191,001 | 49,381 |
| | Citigroup Inc. | 842,383 | 43,046 |
| | S&P Global Inc. | 126,526 | 41,688 |
| | Global Payments Inc. | 240,244 | 40,750 |
| | Fidelity National Information Services Inc. | 244,418 | 32,774 |
| | SBA Communications Corp. Class A | 108,028 | 32,184 |
| * | Fiserv Inc. | 322,884 | 31,520 |
| | MSCI Inc. Class A | 89,792 | 29,974 |
| | Wells Fargo & Co. | 1,157,264 | 29,626 |
| | Goldman Sachs Group Inc. | 137,848 | 27,242 |
| | Crown Castle International Corp. | 159,136 | 26,631 |
| | American Express Co. | 278,851 | 26,547 |
| | Aon plc Class A | 131,905 | 25,405 |
| | Morgan Stanley | 517,127 | 24,977 |
| | Equinix Inc. | 35,362 | 24,835 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | Intercontinental Exchange Inc. | 258,215 | 23,652 |
| | Prologis Inc. | 238,915 | 22,298 |
| | Progressive Corp. | 276,677 | 22,165 |
| | Moody's Corp. | 79,453 | 21,828 |
| | BlackRock Inc. | 37,553 | 20,432 |
| | CME Group Inc. | 117,596 | 19,114 |
| | Charles Schwab Corp. | 488,147 | 16,470 |
| | Marsh & McLennan Cos. Inc. | 151,096 | 16,223 |
| | E*TRADE Financial Corp. | 313,916 | 15,611 |
| | Truist Financial Corp. | 410,103 | 15,399 |
| | US Bancorp | 404,442 | 14,892 |
| | Chubb Ltd. | 111,307 | 14,094 |
| | Brown & Brown Inc. | 339,907 | 13,855 |
| | Nasdaq Inc. | 108,085 | 12,913 |
| | PNC Financial Services Group Inc. | 122,468 | 12,885 |
| | Ameriprise Financial Inc. | 85,696 | 12,858 |
| | Equifax Inc. | 74,207 | 12,755 |
| | Aflac Inc. | 343,336 | 12,370 |
| * | CBRE Group Inc. Class A | 273,143 | 12,352 |
| | Equity LifeStyle Properties Inc. | 191,794 | 11,983 |
| | T. Rowe Price Group Inc. | 94,267 | 11,642 |
| | First Republic Bank | 109,245 | 11,579 |
| | Travelers Cos. Inc. | 101,507 | 11,577 |
| | Public Storage | 58,955 | 11,313 |
| | Allstate Corp. | 115,698 | 11,222 |
| | State Street Corp. | 161,007 | 10,232 |
| | Digital Realty Trust Inc. | 69,624 | 9,894 |
| | Discover Financial Services | 192,833 | 9,659 |
| * | Arch Capital Group Ltd. | 330,885 | 9,480 |
| | Jack Henry & Associates Inc. | 51,040 | 9,393 |
| | W R Berkley Corp. | 163,287 | 9,355 |
| * | Markel Corp. | 9,988 | 9,221 |
| | American Homes 4 Rent Class A | 341,378 | 9,183 |
| | Prudential Financial Inc. | 148,776 | 9,060 |
| | Equity Residential | 151,097 | 8,888 |
| | AvalonBay Communities Inc. | 55,429 | 8,572 |
| | Globe Life Inc. | 114,540 | 8,502 |
| | Commerce Bancshares Inc. | 136,447 | 8,114 |
| | Assurant Inc. | 78,002 | 8,057 |
| | MetLife Inc. | 219,295 | 8,009 |
| | Essex Property Trust Inc. | 34,528 | 7,913 |
| | Alexandria Real Estate Equities Inc. | 48,265 | 7,831 |
| | CoreLogic Inc. | 115,740 | 7,780 |
| | Welltower Inc. | 149,170 | 7,720 |
| | Capital One Financial Corp. | 119,995 | 7,510 |
| | SEI Investments Co. | 135,491 | 7,449 |
| | Extra Space Storage Inc. | 80,139 | 7,402 |
| | Mid-America Apartment Communities Inc. | 64,098 | 7,350 |
| | | | | | Shares | Market
Value•
($000) |
| | Broadridge Financial Solutions Inc. | 57,899 | 7,306 |
| | Alleghany Corp. | 14,798 | 7,238 |
| * | FleetCor Technologies Inc. | 28,478 | 7,163 |
| | Boston Properties Inc. | 78,095 | 7,058 |
| | Bank of New York Mellon Corp. | 175,334 | 6,777 |
| | Zions Bancorp NA | 193,574 | 6,582 |
| | American International Group Inc. | 203,346 | 6,340 |
| | Fifth Third Bancorp | 324,179 | 6,250 |
| | Raymond James Financial Inc. | 89,742 | 6,177 |
| | White Mountains Insurance Group Ltd. | 6,722 | 5,969 |
| | Equity Commonwealth | 181,401 | 5,841 |
| | Simon Property Group Inc. | 84,491 | 5,778 |
| | TD Ameritrade Holding Corp. | 156,917 | 5,709 |
| | Popular Inc. | 153,360 | 5,700 |
| * | Howard Hughes Corp. | 103,266 | 5,365 |
| | Synchrony Financial | 241,273 | 5,347 |
| | Lincoln National Corp. | 142,402 | 5,239 |
| * | SVB Financial Group | 24,254 | 5,227 |
| | KeyCorp | 427,062 | 5,202 |
| | Jones Lang LaSalle Inc. | 49,345 | 5,105 |
| * | Texas Capital Bancshares Inc. | 164,068 | 5,065 |
| | Hanover Insurance Group Inc. | 49,487 | 5,015 |
| | MFA Financial Inc. | 2,009,395 | 5,003 |
| * | Square Inc. Class A | 47,181 | 4,951 |
| | Loews Corp. | 143,441 | 4,919 |
| | Sun Communities Inc. | 36,053 | 4,892 |
| | Douglas Emmett Inc. | 159,344 | 4,885 |
| | East West Bancorp Inc. | 134,347 | 4,869 |
| | M&T Bank Corp. | 46,002 | 4,783 |
| | SLM Corp. | 676,250 | 4,754 |
| | Principal Financial Group Inc. | 113,203 | 4,702 |
| | Reinsurance Group of America Inc. | 59,891 | 4,698 |
| | Willis Towers Watson plc | 23,242 | 4,577 |
| | Invitation Homes Inc. | 160,663 | 4,423 |
| | American Financial Group Inc. | 69,403 | 4,404 |
| | Realty Income Corp. | 73,970 | 4,401 |
| * | Athene Holding Ltd. Class A | 139,432 | 4,349 |
| | Signature Bank | 38,591 | 4,126 |
| | Apartment Investment & Management Co. Class A | 104,834 | 3,946 |
| * | Zillow Group Inc. Class C | 65,681 | 3,784 |
| | Camden Property Trust | 41,323 | 3,769 |
| | Cullen/Frost Bankers Inc. | 47,275 | 3,532 |
| | Eaton Vance Corp. | 85,976 | 3,319 |
| | Lamar Advertising Co. Class A | 49,553 | 3,308 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | MGIC Investment Corp. | 400,875 | 3,283 |
| | New Residential Investment Corp. | 438,693 | 3,259 |
| * | Brighthouse Financial Inc. | 115,688 | 3,218 |
| * | Euronet Worldwide Inc. | 33,136 | 3,175 |
| | OneMain Holdings Inc. | 127,257 | 3,123 |
| | Voya Financial Inc. | 66,731 | 3,113 |
| | Host Hotels & Resorts Inc. | 279,419 | 3,015 |
| | Weyerhaeuser Co. | 133,802 | 3,005 |
| | Hartford Financial Services Group Inc. | 77,281 | 2,979 |
| | Wintrust Financial Corp. | 61,293 | 2,674 |
| | Two Harbors Investment Corp. | 512,367 | 2,582 |
| | SL Green Realty Corp. | 49,442 | 2,437 |
| * | Zillow Group Inc. Class A | 40,603 | 2,334 |
| | Northern Trust Corp. | 28,975 | 2,299 |
| | Interactive Brokers Group Inc. Class A | 54,320 | 2,269 |
| | Associated Banc-Corp | 160,223 | 2,192 |
| | BOK Financial Corp. | 38,470 | 2,171 |
| | Pinnacle Financial Partners Inc. | 50,118 | 2,104 |
| | CIT Group Inc. | 99,556 | 2,064 |
| | Sterling Bancorp | 171,424 | 2,009 |
| | CNA Financial Corp. | 61,718 | 1,984 |
| | Duke Realty Corp. | 55,872 | 1,977 |
| | Federal Realty Investment Trust | 22,503 | 1,917 |
| | Hudson Pacific Properties Inc. | 74,201 | 1,867 |
| | Ventas Inc. | 48,188 | 1,765 |
| | Starwood Property Trust Inc. | 110,744 | 1,657 |
| | Chimera Investment Corp. | 172,128 | 1,654 |
| | Empire State Realty Trust Inc. Class A | 228,476 | 1,599 |
| | Jefferies Financial Group Inc. | 99,994 | 1,555 |
| | TransUnion | 17,546 | 1,527 |
| | Kilroy Realty Corp. | 25,667 | 1,507 |
| * | WEX Inc. | 8,803 | 1,453 |
| | JBG SMITH Properties | 48,596 | 1,437 |
| * | Credit Acceptance Corp. | 3,350 | 1,404 |
| | First Horizon National Corp. | 138,758 | 1,382 |
| | Americold Realty Trust | 37,960 | 1,378 |
| | Bank of Hawaii Corp. | 20,047 | 1,231 |
| | Paramount Group Inc. | 150,986 | 1,164 |
| | Arthur J Gallagher & Co. | 11,257 | 1,097 |
| * | Fair Isaac Corp. | 2,573 | 1,076 |
| | Ally Financial Inc. | 52,542 | 1,042 |
| | Fidelity National Financial Inc. | 29,371 | 901 |
| | Vornado Realty Trust | 23,013 | 879 |
| | TFS Financial Corp. | 59,947 | 858 |
| | Western Alliance Bancorp | 22,046 | 835 |
| | | | | | Shares | Market
Value•
($000) |
| | People's United Financial Inc. | 68,742 | 795 |
| | VICI Properties Inc. | 32,219 | 651 |
| | Iron Mountain Inc. | 23,460 | 612 |
| | Santander Consumer USA Holdings Inc. | 30,462 | 561 |
| | Navient Corp. | 77,311 | 543 |
| | Lazard Ltd. Class A | 18,454 | 528 |
| | New York Community Bancorp Inc. | 49,670 | 507 |
| | CoreSite Realty Corp. | 3,856 | 467 |
| | MarketAxess Holdings Inc. | 871 | 436 |
| | CyrusOne Inc. | 5,522 | 402 |
| | FactSet Research Systems Inc. | 1,172 | 385 |
| | Kemper Corp. | 3,979 | 289 |
| | RenaissanceRe Holdings Ltd. | 1,648 | 282 |
| | Morningstar Inc. | 1,993 | 281 |
| | CubeSmart | 8,137 | 220 |
| | Life Storage Inc. | 2,246 | 213 |
| | Affiliated Managers Group Inc. | 2,736 | 204 |
| | Rayonier Inc. | 5,784 | 143 |
| | Primerica Inc. | 877 | 102 |
| | Unum Group | 3,563 | 59 |
| | First Citizens BancShares Inc. Class A | 100 | 40 |
| | Erie Indemnity Co. Class A | 166 | 32 |
| | | | | | | 2,041,281 |
| Health Care (13.8%) |
| | Johnson & Johnson | 1,054,235 | 148,257 |
| | UnitedHealth Group Inc. | 365,357 | 107,762 |
| | Merck & Co. Inc. | 982,523 | 75,979 |
| | Pfizer Inc. | 2,125,285 | 69,497 |
| | AbbVie Inc. | 635,184 | 62,362 |
| | Abbott Laboratories | 643,664 | 58,850 |
| | Amgen Inc. | 247,879 | 58,465 |
| | Thermo Fisher Scientific Inc. | 155,049 | 56,180 |
| | Bristol-Myers Squibb Co. | 928,530 | 54,598 |
| | Eli Lilly & Co. | 304,769 | 50,037 |
| | Medtronic plc | 464,846 | 42,626 |
| | Danaher Corp. | 234,546 | 41,475 |
| | Gilead Sciences Inc. | 476,202 | 36,639 |
| | Zoetis Inc. Class A | 254,386 | 34,861 |
| | Cigna Corp. | 178,369 | 33,471 |
| * | Vertex Pharmaceuticals Inc. | 114,915 | 33,361 |
| | Becton Dickinson and Co. | 127,458 | 30,497 |
| | Anthem Inc. | 107,426 | 28,251 |
| * | Boston Scientific Corp. | 792,501 | 27,825 |
| | Humana Inc. | 66,624 | 25,833 |
| * | Regeneron Pharmaceuticals Inc. | 34,720 | 21,653 |
| | Stryker Corp. | 115,763 | 20,859 |
| * | Intuitive Surgical Inc. | 36,109 | 20,576 |
| * | Biogen Inc. | 74,675 | 19,979 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | Agilent Technologies Inc. | 207,812 | 18,364 |
| * | Illumina Inc. | 48,292 | 17,885 |
| | Baxter International Inc. | 179,475 | 15,453 |
| | Teleflex Inc. | 42,189 | 15,356 |
| * | Centene Corp. | 230,494 | 14,648 |
| * | DexCom Inc. | 35,827 | 14,524 |
| * | Laboratory Corp. of America Holdings | 79,685 | 13,236 |
| * | Charles River Laboratories International Inc. | 75,470 | 13,158 |
| | Cooper Cos. Inc. | ���45,386 | 12,873 |
| * | Edwards Lifesciences Corp. | 182,538 | 12,615 |
| | Zimmer Biomet Holdings Inc. | 99,842 | 11,917 |
| | Bio-Techne Corp. | 44,945 | 11,869 |
| * | Seattle Genetics Inc. | 67,982 | 11,552 |
| | AmerisourceBergen Corp. Class A | 108,828 | 10,967 |
| | PerkinElmer Inc. | 107,266 | 10,522 |
| * | Incyte Corp. | 94,863 | 9,863 |
| * | QIAGEN NV | 227,726 | 9,749 |
| * | IQVIA Holdings Inc. | 66,306 | 9,408 |
| * | Veeva Systems Inc. Class A | 37,867 | 8,877 |
| * | Exelixis Inc. | 353,309 | 8,388 |
| | Quest Diagnostics Inc. | 73,465 | 8,372 |
| * | Alnylam Pharmaceuticals Inc. | 53,959 | 7,992 |
| | Cardinal Health Inc. | 146,440 | 7,643 |
| * | Moderna Inc. | 118,726 | 7,623 |
| * | IDEXX Laboratories Inc. | 22,213 | 7,334 |
| * | Henry Schein Inc. | 123,189 | 7,193 |
| | Bruker Corp. | 162,910 | 6,627 |
| | Universal Health Services Inc. Class B | 69,799 | 6,484 |
| * | Bio-Rad Laboratories Inc. Class A | 13,813 | 6,236 |
| | Cerner Corp. | 89,396 | 6,128 |
| * | Varian Medical Systems Inc. | 47,186 | 5,781 |
| * | Ionis Pharmaceuticals Inc. | 95,586 | 5,636 |
| * | Hologic Inc. | 97,853 | 5,578 |
| * | BioMarin Pharmaceutical Inc. | 43,646 | 5,383 |
| | DENTSPLY SIRONA Inc. | 110,655 | 4,875 |
| | HCA Healthcare Inc. | 46,897 | 4,552 |
| * | Catalent Inc. | 56,383 | 4,133 |
| * | Alexion Pharmaceuticals Inc. | 31,406 | 3,525 |
| | STERIS plc | 20,974 | 3,218 |
| * | Neurocrine Biosciences Inc. | 26,196 | 3,196 |
| * | DaVita Inc. | 40,030 | 3,168 |
| | West Pharmaceutical Services Inc. | 12,440 | 2,826 |
| * | Masimo Corp. | 11,382 | 2,595 |
| * | Align Technology Inc. | 9,439 | 2,590 |
| * | Molina Healthcare Inc. | 14,204 | 2,528 |
| * | Insulet Corp. | 12,068 | 2,344 |
| | | | | | Shares | Market
Value•
($000) |
| * | Immunomedics Inc. | 64,700 | 2,293 |
| * | Penumbra Inc. | 11,973 | 2,141 |
| * | Exact Sciences Corp. | 22,681 | 1,972 |
| * | Horizon Therapeutics plc | 35,313 | 1,963 |
| | Hill-Rom Holdings Inc. | 14,895 | 1,635 |
| * | United Therapeutics Corp. | 12,486 | 1,511 |
| * | Bluebird Bio Inc. | 24,671 | 1,506 |
| * | Teladoc Health Inc. | 7,300 | 1,393 |
| * | MEDNAX Inc. | 78,243 | 1,338 |
| * | Integra LifeSciences Holdings Corp. | 28,188 | 1,325 |
| | Cantel Medical Corp. | 28,876 | 1,277 |
| * | Envista Holdings Corp. | 57,545 | 1,214 |
| * | Sage Therapeutics Inc. | 27,700 | 1,152 |
| * | Jazz Pharmaceuticals plc | 10,251 | 1,131 |
| * | Acadia Healthcare Co. Inc. | 43,965 | 1,104 |
| * | Elanco Animal Health Inc. | 46,390 | 995 |
| * | Change Healthcare Inc. | 75,615 | 847 |
| * | Agios Pharmaceuticals Inc. | 15,198 | 813 |
| * | Premier Inc. Class A | 23,021 | 789 |
| * | Brookdale Senior Living Inc. | 262,173 | 773 |
| * | PRA Health Sciences Inc. | 7,939 | 772 |
| | Chemed Corp. | 1,705 | 769 |
| * | ICU Medical Inc. | 3,463 | 638 |
| * | Guardant Health Inc. | 6,582 | 534 |
| * | Avantor Inc. | 29,947 | 509 |
| * | Varex Imaging Corp. | 29,310 | 444 |
| * | ABIOMED Inc. | 1,539 | 372 |
| * | Adaptive Biotechnologies Corp. | 7,594 | 367 |
| | Encompass Health Corp. | 4,425 | 274 |
| * | Nektar Therapeutics Class A | 10,151 | 235 |
| | Perrigo Co. plc | 3,816 | 211 |
| * | Alkermes plc | 10,236 | 199 |
| | ResMed Inc. | 785 | 151 |
| * | Sarepta Therapeutics Inc. | 940 | 151 |
| | | | | | | 1,577,475 |
| Materials & Processing (2.9%) |
| | Linde plc | 184,824 | 39,203 |
| | Sherwin-Williams Co. | 43,850 | 25,339 |
| | Ecolab Inc. | 124,671 | 24,803 |
| | Newmont Corp. | 319,112 | 19,702 |
| | Air Products & Chemicals Inc. | 64,373 | 15,544 |
| | Ball Corp. | 221,978 | 15,425 |
| | FMC Corp. | 139,839 | 13,931 |
| | Fastenal Co. | 264,288 | 11,322 |
| | Vulcan Materials Co. | 90,102 | 10,438 |
| | Martin Marietta Materials Inc. | 48,394 | 9,997 |
| | Lennox International Inc. | 40,714 | 9,486 |
| * | Crown Holdings Inc. | 142,855 | 9,304 |
| | DuPont de Nemours Inc. | 164,198 | 8,724 |
| | Celanese Corp. Class A | 99,812 | 8,618 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | LyondellBasell Industries NV Class A | 123,383 | 8,109 |
| | Scotts Miracle-Gro Co. | 58,646 | 7,886 |
| | Eagle Materials Inc. | 103,370 | 7,259 |
| | Armstrong World Industries Inc. | 92,828 | 7,237 |
| | Albemarle Corp. | 93,422 | 7,213 |
| | Southern Copper Corp. | 151,668 | 6,032 |
| | Owens Corning | 104,712 | 5,839 |
| | Dow Inc. | 129,023 | 5,259 |
| | Reliance Steel & Aluminum Co. | 47,511 | 4,510 |
| | Freeport-McMoRan Inc. | 357,538 | 4,137 |
| * | Alcoa Corp. | 363,031 | 4,080 |
| | PPG Industries Inc. | 34,752 | 3,686 |
| | Mosaic Co. | 265,008 | 3,315 |
| | Valmont Industries Inc. | 27,975 | 3,178 |
| | Sealed Air Corp. | 93,708 | 3,078 |
| | Nucor Corp. | 71,365 | 2,955 |
| | Packaging Corp. of America | 27,444 | 2,739 |
| | Trane Technologies plc | 30,477 | 2,712 |
| | Hexcel Corp. | 49,117 | 2,221 |
| * | Element Solutions Inc. | 176,547 | 1,916 |
| | MDU Resources Group Inc. | 85,867 | 1,905 |
| | Howmet Aerospace Inc. | 108,682 | 1,723 |
| * | Berry Global Group Inc. | 35,739 | 1,584 |
| | International Paper Co. | 41,683 | 1,468 |
| | Eastman Chemical Co. | 20,871 | 1,453 |
| * | Livent Corp. | 226,166 | 1,393 |
| * | Axalta Coating Systems Ltd. | 58,104 | 1,310 |
| | O-I Glass Inc. | 143,312 | 1,287 |
| | W R Grace & Co. | 22,732 | 1,155 |
| * | AdvanSix Inc. | 90,394 | 1,061 |
| | CF Industries Holdings Inc. | 35,526 | 1,000 |
| | Westlake Chemical Corp. | 18,022 | 967 |
| | Royal Gold Inc. | 6,912 | 859 |
| | RPM International Inc. | 5,251 | 394 |
| | Silgan Holdings Inc. | 10,388 | 336 |
| | AptarGroup Inc. | 2,836 | 318 |
| | Avery Dennison Corp. | 1,541 | 176 |
| | Ashland Global Holdings Inc. | 2,523 | 174 |
| | International Flavors & Fragrances Inc. | 1,345 | 165 |
| | United States Steel Corp. | 22,107 | 160 |
| | Sonoco Products Co. | 2,414 | 126 |
| | | | | | | 334,211 |
| Other (0.0%) |
| *,1 | American International Group Inc. Warrants Exp. 01/19/2021 | 6,859 | — |
| Producer Durables (9.0%) |
| | Union Pacific Corp. | 268,758 | 45,439 |
| | Accenture plc Class A | 209,138 | 44,906 |
| | Boeing Co. | 220,687 | 40,452 |
| | Honeywell International Inc. | 237,277 | 34,308 |
| | | | | | Shares | Market
Value•
($000) |
| | Raytheon Technologies Corp. | 519,763 | 32,028 |
| | 3M Co. | 192,197 | 29,981 |
| * | Copart Inc. | 312,132 | 25,991 |
| | United Parcel Service Inc. Class B | 231,441 | 25,732 |
| | CSX Corp. | 354,891 | 24,750 |
| | Illinois Tool Works Inc. | 140,698 | 24,601 |
| | Verisk Analytics Inc. Class A | 139,675 | 23,773 |
| | General Electric Co. | 3,388,827 | 23,146 |
| | Northrop Grumman Corp. | 73,450 | 22,581 |
| | Caterpillar Inc. | 176,137 | 22,281 |
| | Norfolk Southern Corp. | 124,683 | 21,891 |
| | Roper Technologies Inc. | 54,880 | 21,308 |
| * | Mettler-Toledo International Inc. | 26,317 | 21,200 |
| | Old Dominion Freight Line Inc. | 124,615 | 21,133 |
| | Lockheed Martin Corp. | 57,607 | 21,022 |
| | Cintas Corp. | 75,609 | 20,139 |
| | TransDigm Group Inc. | 42,034 | 18,581 |
| | General Dynamics Corp. | 114,543 | 17,120 |
| | Waste Management Inc. | 149,550 | 15,839 |
| | FedEx Corp. | 110,809 | 15,538 |
| * | Keysight Technologies Inc. | 142,690 | 14,380 |
| | AMETEK Inc. | 153,098 | 13,682 |
| | Automatic Data Processing Inc. | 89,374 | 13,307 |
| | Deere & Co. | 83,352 | 13,099 |
| * | CoStar Group Inc. | 18,223 | 12,951 |
| * | Waters Corp. | 71,206 | 12,846 |
| | IDEX Corp. | 78,733 | 12,443 |
| | Parker-Hannifin Corp. | 67,177 | 12,311 |
| | Jacobs Engineering Group Inc. | 141,129 | 11,968 |
| | Eaton Corp. plc | 132,269 | 11,571 |
| | PACCAR Inc. | 146,055 | 10,932 |
| | Expeditors International of Washington Inc. | 139,607 | 10,616 |
| * | Zebra Technologies Corp. Class A | 40,590 | 10,389 |
| | Emerson Electric Co. | 163,699 | 10,154 |
| | Southwest Airlines Co. | 284,914 | 9,738 |
| | JB Hunt Transport Services Inc. | 78,704 | 9,471 |
| | Toro Co. | 139,713 | 9,269 |
| | Cummins Inc. | 52,527 | 9,101 |
| | Otis Worldwide Corp. | 157,191 | 8,938 |
| | Landstar System Inc. | 78,365 | 8,801 |
| | Delta Air Lines Inc. | 310,335 | 8,705 |
| * | United Airlines Holdings Inc. | 240,863 | 8,336 |
| | Fortive Corp. | 121,889 | 8,247 |
| | BWX Technologies Inc. | 143,634 | 8,135 |
| | Huntington Ingalls Industries Inc. | 44,901 | 7,835 |
| | WW Grainger Inc. | 24,754 | 7,777 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | Carlisle Cos. Inc. | 61,798 | 7,395 |
| | Genpact Ltd. | 193,618 | 7,071 |
| | Carrier Global Corp. | 314,383 | 6,986 |
| | FLIR Systems Inc. | 164,529 | 6,675 |
| * | HD Supply Holdings Inc. | 190,888 | 6,614 |
| | Xylem Inc. | 91,046 | 5,914 |
| | AGCO Corp. | 105,204 | 5,835 |
| | Oshkosh Corp. | 80,575 | 5,771 |
| | Textron Inc. | 165,096 | 5,433 |
| | Robert Half International Inc. | 91,824 | 4,851 |
| | Donaldson Co. Inc. | 102,283 | 4,758 |
| | Graco Inc. | 98,621 | 4,733 |
| | Westinghouse Air Brake Technologies Corp. | 77,412 | 4,457 |
| | Johnson Controls International plc | 127,676 | 4,359 |
| | Stanley Black & Decker Inc. | 29,193 | 4,069 |
| | ITT Inc. | 68,646 | 4,032 |
| | ManpowerGroup Inc. | 54,157 | 3,723 |
| | Rockwell Automation Inc. | 17,102 | 3,643 |
| * | Teledyne Technologies Inc. | 10,446 | 3,248 |
| | CH Robinson Worldwide Inc. | 39,317 | 3,108 |
| | MSC Industrial Direct Co. Inc. Class A | 41,610 | 3,030 |
| | HEICO Corp. | 28,866 | 2,876 |
| * | Trimble Inc. | 62,991 | 2,721 |
| | Republic Services Inc. Class A | 31,721 | 2,603 |
| | Flowserve Corp. | 87,321 | 2,490 |
| | Quanta Services Inc. | 62,470 | 2,451 |
| | Allison Transmission Holdings Inc. | 62,972 | 2,316 |
| * | Stericycle Inc. | 40,057 | 2,242 |
| | Spirit AeroSystems Holdings Inc. Class A | 87,022 | 2,083 |
| * | Clean Harbors Inc. | 31,830 | 1,909 |
| * | Resideo Technologies Inc. | 142,255 | 1,667 |
| * | AECOM | 42,191 | 1,586 |
| | Allegion plc | 13,639 | 1,394 |
| * | WESCO International Inc. | 34,294 | 1,204 |
| * | Sensata Technologies Holding plc | 31,461 | 1,171 |
| | Xerox Holdings Corp. | 68,021 | 1,040 |
| * | Kirby Corp. | 17,699 | 948 |
| * | Ingersoll Rand Inc. | 26,893 | 756 |
| | Booz Allen Hamilton Holding Corp. Class A | 8,520 | 663 |
| * | Virgin Galactic Holdings Inc. | 21,100 | 345 |
| | Littelfuse Inc. | 1,596 | 272 |
| * | Paylocity Holding Corp. | 1,635 | 239 |
| * | Middleby Corp. | 198 | 16 |
| | | | | | | 1,027,439 |
| Technology (27.8%) |
| | Apple Inc. | 1,679,168 | 612,559 |
| | | | | | Shares | Market
Value•
($000) |
| | Microsoft Corp. | 2,982,070 | 606,881 |
| * | Facebook Inc. Class A | 955,491 | 216,963 |
| * | Alphabet Inc. Class A | 119,427 | 169,353 |
| * | Alphabet Inc. Class C | 117,201 | 165,677 |
| | Intel Corp. | 1,660,152 | 99,327 |
| * | Adobe Inc. | 214,882 | 93,540 |
| | NVIDIA Corp. | 240,682 | 91,437 |
| | Cisco Systems Inc. | 1,631,686 | 76,102 |
| * | salesforce.com Inc. | 357,633 | 66,995 |
| | Texas Instruments Inc. | 364,394 | 46,267 |
| | Oracle Corp. | 784,839 | 43,378 |
| | Broadcom Inc. | 135,881 | 42,885 |
| | QUALCOMM Inc. | 463,222 | 42,250 |
| | Intuit Inc. | 126,429 | 37,447 |
| * | Autodesk Inc. | 137,631 | 32,920 |
| | Applied Materials Inc. | 533,823 | 32,270 |
| | International Business Machines Corp. | 266,290 | 32,160 |
| | Lam Research Corp. | 96,753 | 31,296 |
| * | Cadence Design Systems Inc. | 319,022 | 30,613 |
| * | Synopsys Inc. | 152,426 | 29,723 |
| | Activision Blizzard Inc. | 314,746 | 23,889 |
| * | ServiceNow Inc. | 58,145 | 23,552 |
| | Teradyne Inc. | 262,921 | 22,219 |
| * | Micron Technology Inc. | 425,885 | 21,942 |
| | KLA Corp. | 97,261 | 18,915 |
| * | Advanced Micro Devices Inc. | 324,085 | 17,050 |
| | Amphenol Corp. Class A | 175,784 | 16,842 |
| | Analog Devices Inc. | 135,294 | 16,592 |
| * | Zoom Video Communications Inc. Class A | 62,300 | 15,796 |
| * | Electronic Arts Inc. | 115,721 | 15,281 |
| | L3Harris Technologies Inc. | 87,964 | 14,925 |
| * | IAC/interactivecorp | 45,781 | 14,806 |
| | Cognizant Technology Solutions Corp. Class A | 249,738 | 14,190 |
| * | Fortinet Inc. | 90,195 | 12,381 |
| | Citrix Systems Inc. | 82,541 | 12,209 |
| | Corning Inc. | 448,584 | 11,618 |
| * | Workday Inc. Class A | 54,903 | 10,287 |
| * | Atlassian Corp. plc Class A | 55,455 | 9,997 |
| * | VeriSign Inc. | 44,478 | 9,199 |
| * | ANSYS Inc. | 30,794 | 8,984 |
| * | Zynga Inc. Class A | 926,065 | 8,835 |
| | Xilinx Inc. | 89,071 | 8,764 |
| * | Arrow Electronics Inc. | 124,274 | 8,536 |
| * | Black Knight Inc. | 108,710 | 7,888 |
| * | Palo Alto Networks Inc. | 34,244 | 7,865 |
| | Hewlett Packard Enterprise Co. | 786,355 | 7,651 |
| | Dolby Laboratories Inc. Class A | 115,638 | 7,617 |
| | HP Inc. | 434,070 | 7,566 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| * | Twitter Inc. | 245,298 | 7,307 |
| | Juniper Networks Inc. | 273,671 | 6,256 |
| | NetApp Inc. | 137,603 | 6,105 |
| * | Okta Inc. Class A | 30,391 | 6,085 |
| * | Match Group Inc. | 56,332 | 6,030 |
| * | Splunk Inc. | 30,305 | 6,022 |
| | Motorola Solutions Inc. | 42,782 | 5,995 |
| * | Gartner Inc. | 49,072 | 5,954 |
| | Microchip Technology Inc. | 54,585 | 5,748 |
| | SS&C Technologies Holdings Inc. | 101,768 | 5,748 |
| | IHS Markit Ltd. | 72,004 | 5,436 |
| * | GoDaddy Inc. Class A | 73,840 | 5,415 |
| * | Twilio Inc. Class A | 24,471 | 5,369 |
| * | Guidewire Software Inc. | 47,991 | 5,320 |
| | NortonLifeLock Inc. | 266,482 | 5,284 |
| | Western Digital Corp. | 106,868 | 4,718 |
| * | Dell Technologies Inc. Class C | 77,738 | ��� 4,271 |
| * | VMware Inc. Class A | 27,456 | 4,252 |
| | Skyworks Solutions Inc. | 32,649 | 4,174 |
| * | Qorvo Inc. | 37,483 | 4,143 |
| * | DocuSign Inc. Class A | 21,852 | 3,763 |
| * | Nuance Communications Inc. | 139,537 | 3,531 |
| * | Manhattan Associates Inc. | 33,339 | 3,141 |
| * | Tyler Technologies Inc. | 8,729 | 3,028 |
| * | Akamai Technologies Inc. | 28,114 | 3,011 |
| | Avnet Inc. | 105,416 | 2,940 |
| * | Zendesk Inc. | 29,758 | 2,634 |
| * | ON Semiconductor Corp. | 132,764 | 2,631 |
| * | RingCentral Inc. Class A | 8,651 | 2,466 |
| * | PTC Inc. | 31,366 | 2,440 |
| | Leidos Holdings Inc. | 24,871 | 2,330 |
| | Universal Display Corp. | 15,011 | 2,246 |
| | CDK Global Inc. | 48,394 | 2,004 |
| * | Ciena Corp. | 36,136 | 1,957 |
| * | Grubhub Inc. | 27,361 | 1,923 |
| * | NCR Corp. | 107,900 | 1,869 |
| * | Paycom Software Inc. | 5,741 | 1,778 |
| | Marvell Technology Group Ltd. | 50,594 | 1,774 |
| * | RealPage Inc. | 26,577 | 1,728 |
| | Perspecta Inc. | 71,796 | 1,668 |
| | Cognex Corp. | 27,531 | 1,644 |
| * | Ceridian HCM Holding Inc. | 19,020 | 1,508 |
| * | HubSpot Inc. | 6,425 | 1,441 |
| * | IPG Photonics Corp. | 8,932 | 1,433 |
| * | Take-Two Interactive Software Inc. | 9,974 | 1,392 |
| * | Fastly Inc. Class A | 15,600 | 1,328 |
| * | FireEye Inc. | 108,421 | 1,320 |
| * | Avalara Inc. | 9,649 | 1,284 |
| * | CommScope Holding Co. Inc. | 153,970 | 1,283 |
| * | Arista Networks Inc. | 6,087 | 1,278 |
| | | | | | Shares | Market
Value•
($000) |
| * | EPAM Systems Inc. | 5,004 | 1,261 |
| | DXC Technology Co. | 74,093 | 1,223 |
| * | Coherent Inc. | 9,143 | 1,198 |
| * | SolarWinds Corp. | 67,236 | 1,188 |
| * | Slack Technologies Inc. Class A | 36,800 | 1,144 |
| * | ViaSat Inc. | 28,470 | 1,092 |
| * | Proofpoint Inc. | 9,697 | 1,078 |
| * | Teradata Corp. | 49,671 | 1,033 |
| * | Pure Storage Inc. Class A | 58,388 | 1,012 |
| * | Cerence Inc. | 24,199 | 988 |
| * | CACI International Inc. Class A | 4,244 | 920 |
| * | Nutanix Inc. Class A | 36,620 | 868 |
| * | Covetrus Inc. | 41,807 | 748 |
| | Amdocs Ltd. | 11,856 | 722 |
| * | MongoDB Inc. Class A | 2,965 | 671 |
| | MKS Instruments Inc. | 5,395 | 611 |
| * | Pluralsight Inc. Class A | 33,207 | 599 |
| * | Datadog Inc. Class A | 6,400 | 556 |
| * | EchoStar Corp. Class A | 18,800 | 526 |
| * | Zscaler Inc. | 4,355 | 477 |
| * | Aspen Technology Inc. | 4,300 | 446 |
| * | F5 Networks Inc. | 3,138 | 438 |
| * | Dynatrace Inc. | 9,146 | 371 |
| * | Coupa Software Inc. | 1,284 | 356 |
| * | Alteryx Inc. Class A | 1,946 | 320 |
| * | Elastic NV | 3,124 | 288 |
| | Monolithic Power Systems Inc. | 1,130 | 268 |
| | Pegasystems Inc. | 2,595 | 263 |
| | CDW Corp. | 2,225 | 258 |
| * | Dropbox Inc. Class A | 11,393 | 248 |
| | Entegris Inc. | 4,076 | 241 |
| * | Smartsheet Inc. Class A | 4,621 | 235 |
| | LogMeIn Inc. | 2,229 | 189 |
| * | ZoomInfo Technologies Inc. Class A | 593 | 30 |
| | | | | | | 3,169,710 |
| Utilities (4.7%) |
| | Verizon Communications Inc. | 1,607,909 | 88,644 |
| | AT&T Inc. | 2,533,965 | 76,602 |
| | NextEra Energy Inc. | 187,696 | 45,079 |
| * | T-Mobile US Inc. | 292,807 | 30,496 |
| | Dominion Energy Inc. | 327,595 | 26,594 |
| | Duke Energy Corp. | 308,844 | 24,674 |
| | WEC Energy Group Inc. | 202,181 | 17,721 |
| | Southern Co. | 338,442 | 17,548 |
| | American Water Works Co. Inc. | 124,293 | 15,992 |
| | Eversource Energy | 183,279 | 15,262 |
| | Sempra Energy | 124,369 | 14,580 |
| | Exelon Corp. | 386,434 | 14,024 |
| | CMS Energy Corp. | 211,659 | 12,365 |
Tax-Managed Capital Appreciation Fund
| | | | | | Shares | Market
Value•
($000) |
| | Consolidated Edison Inc. | 156,591 | 11,264 |
| | American Electric Power Co. Inc. | 135,702 | 10,807 |
| | DTE Energy Co. | 93,595 | 10,061 |
| | FirstEnergy Corp. | 231,746 | 8,987 |
| | Atmos Energy Corp. | 89,294 | 8,892 |
| | Essential Utilities Inc. | 193,616 | 8,178 |
| | Xcel Energy Inc. | 128,690 | 8,043 |
| | Edison International | 139,688 | 7,586 |
| | Public Service Enterprise Group Inc. | 151,363 | 7,441 |
| | NiSource Inc. | 276,272 | 6,282 |
| | AES Corp. | 388,888 | 5,635 |
| | Alliant Energy Corp. | 91,615 | 4,383 |
| * | GCI Liberty Inc. Class A | 58,613 | 4,169 |
| | Ameren Corp. | 58,997 | 4,151 |
| | Entergy Corp. | 43,998 | 4,127 |
| | Evergy Inc. | 67,360 | 3,994 |
| | CenterPoint Energy Inc. | 213,200 | 3,980 |
| | NRG Energy Inc. | 100,396 | 3,269 |
| | PPL Corp. | 122,981 | 3,178 |
| * | United States Cellular Corp. | 89,770 | 2,771 |
| | UGI Corp. | 82,918 | 2,637 |
| | Vistra Energy Corp. | 141,247 | 2,630 |
| * | PG&E Corp. | 242,472 | 2,151 |
| | Telephone & Data Systems Inc. | 39,839 | 792 |
| | National Fuel Gas Co. | 9,448 | 396 |
| | IDACORP Inc. | 3,514 | 307 |
| * | T-Mobile US Inc. Rights Exp. 07/27/2020 | 146,404 | 25 |
| | | | | | | 535,717 |
Total Common Stocks
(Cost $4,564,432) | 11,401,434 |
| Temporary Cash Investments (0.1%) |
| Money Market Fund (0.1%) |
| 2 | Vanguard Market Liquidity Fund, 0.227% | 53,511 | 5,351 |
| | | | | | Face
Amount
($000) | Market
Value•
($000) |
| U.S. Government and Agency Obligations (0.0%) |
| 3 | United States Treasury Bill, 0.101%, 7/14/20 | 4,060 | 4,060 |
| 3 | United States Treasury Bill, 0.116%, 9/29/20 | 750 | 750 |
| | | | | | | 4,810 |
Total Temporary Cash Investments
(Cost $10,161) | 10,161 |
| Total Investments (99.9%) (Cost $4,574,593) | | 11,411,595 |
| Other Assets and Liabilities-Net (0.1%) | | 8,695 |
| Net Assets (100%) | | 11,420,290 |
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Security value determined using significant unobservable inputs. |
| 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 | Securities with a value of $1,649,000 have been segregated as initial margin for open futures contracts. |
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 | September 2020 | 135 | 20,859 | 335 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
Statement of Assets and Liabilities
|
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $4,569,242) | 11,406,244 |
| Affiliated Issuers (Cost $5,351) | 5,351 |
| Total Investments in Securities | 11,411,595 |
| Investment in Vanguard | 510 |
| Receivables for Investment Securities Sold | 336 |
| Receivables for Accrued Income | 7,337 |
| Receivables for Capital Shares Issued | 3,205 |
| Variation Margin Receivable—Futures Contracts | 287 |
| Total Assets | 11,423,270 |
| Liabilities | |
| Payables for Investment Securities Purchased | 1 |
| Payables for Capital Shares Redeemed | 2,466 |
| Payables to Vanguard | 513 |
| Total Liabilities | 2,980 |
| Net Assets | 11,420,290 |
| At June 30, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 4,817,271 |
| Total Distributable Earnings (Loss) | 6,603,019 |
| Net Assets | 11,420,290 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 64,780,064 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,372,841 |
| Net Asset Value Per Share—Admiral Shares | $160.12 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 13,164,349 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,047,449 |
| Net Asset Value Per Share—Institutional Shares | $79.57 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
|
| | Six Months Ended
June 30, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 98,028 |
| Interest1 | 102 |
| Total Income | 98,130 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 823 |
| Management and Administrative—Admiral Shares | 3,455 |
| Management and Administrative—Institutional Shares | 230 |
| Marketing and Distribution—Admiral Shares | 211 |
| Marketing and Distribution—Institutional Shares | 7 |
| Custodian Fees | 7 |
| Shareholders’ Reports—Admiral Shares | 27 |
| Shareholders’ Reports—Institutional Shares | — |
| Trustees’ Fees and Expenses | 4 |
| Total Expenses | 4,764 |
| Net Investment Income | 93,366 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | (100,640) |
| Futures Contracts | (8,400) |
| Realized Net Gain (Loss) | (109,040) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (334,963) |
| Futures Contracts | 279 |
| Change in Unrealized Appreciation (Depreciation) | (334,684) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (350,358) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $95,000, ($19,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $49,258,000 of the net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
Statement of Changes in Net Assets
|
| | Six Months Ended
June 30,
2020 | | Year Ended
December 31,
2019 |
| | ($000) | | ($000) |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 93,366 | | 179,926 |
| Realized Net Gain (Loss) | (109,040) | | 95,096 |
| Change in Unrealized Appreciation (Depreciation) | (334,684) | | 2,539,490 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (350,358) | | 2,814,512 |
| Distributions1 | | | |
| Admiral Shares | (83,019) | | (158,601) |
| Institutional Shares | (8,654) | | (19,010) |
| Total Distributions | (91,673) | | (177,611) |
| Capital Share Transactions | | | |
| Admiral Shares | 161,470 | | 269,997 |
| Institutional Shares | (101,816) | | (7,534) |
| Net Increase (Decrease) from Capital Share Transactions | 59,654 | | 262,463 |
| Total Increase (Decrease) | (382,377) | | 2,899,364 |
| Net Assets | | | |
| Beginning of Period | 11,802,667 | | 8,903,303 |
| End of Period | 11,420,290 | | 11,802,667 |
| 1 | Certain prior period numbers have been reclassed to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
| Admiral Shares | | | | | | |
For a Share Outstanding
Throughout Each Period | Six Months
Ended
June 30,
2020 | Year Ended December 31, |
| 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $165.93 | $128.29 | $137.30 | $114.08 | $103.75 | $103.82 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.3071 | 2.5571 | 2.3851 | 2.1661 | 2.004 | 1.764 |
| Net Realized and Unrealized Gain (Loss) on Investments | (5.830) | 37.603 | (9.045) | 23.211 | 10.332 | (.082) |
| Total from Investment Operations | (4.523) | 40.160 | (6.660) | 25.377 | 12.336 | 1.682 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.287) | (2.520) | (2.350) | (2.157) | (2.006) | (1.752) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.287) | (2.520) | (2.350) | (2.157) | (2.006) | (1.752) |
| Net Asset Value, End of Period | $160.12 | $165.93 | $128.29 | $137.30 | $114.08 | $103.75 |
| Total Return2 | -2.60% | 31.46% | -4.97% | 22.40% | 12.01% | 1.68% |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $10,373 | $10,579 | $7,951 | $8,143 | $6,793 | $5,982 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.11% |
| Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.70% | 1.69% | 1.73% | 1.89% | 1.69% |
| Portfolio Turnover Rate3 | 5% | 5% | 6% | 7% | 8% | 10% |
| The expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
| Institutional Shares | | | | | | |
For a Share Outstanding
Throughout Each Period | Six Months
Ended
June 30,
2020 | Year Ended December 31, |
| 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $82.46 | $63.75 | $68.23 | $56.69 | $51.55 | $51.59 |
| Investment Operations | | | | | | |
| Net Investment Income | .6641 | 1.2921 | 1.2071 | 1.0991 | 1.011 | .897 |
| Net Realized and Unrealized Gain (Loss) on Investments | (2.903) | 18.693 | (4.499) | 11.531 | 5.141 | (.046) |
| Total from Investment Operations | (2.239) | 19.985 | (3.292) | 12.630 | 6.152 | .851 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.651) | (1.275) | (1.188) | (1.090) | (1.012) | (.891) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.651) | (1.275) | (1.188) | (1.090) | (1.012) | (.891) |
| Net Asset Value, End of Period | $79.57 | $82.46 | $63.75 | $68.23 | $56.69 | $51.55 |
| Total Return | -2.59% | 31.51% | -4.95% | 22.43% | 12.06% | 1.71% |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,047 | $1,223 | $952 | $1,006 | $613 | $564 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.70% | 1.73% | 1.72% | 1.76% | 1.92% | 1.73% |
| Portfolio Turnover Rate2 | 5% | 5% | 6% | 7% | 8% | 10% |
| The expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Capital Appreciation Fund
Notes to Financial Statements
Vanguard Tax-Managed Capital Appreciation Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Admiral Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. 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. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended June 30, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
Tax-Managed Capital Appreciation Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and for the period ended June 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended June 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
Tax-Managed Capital Appreciation Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2020, the fund had contributed to Vanguard capital in the amount of $510,000, representing less than 0.01% of the fund’s net assets and 0.20% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | Various inputs may be used to determine the value of the fund’s investments. 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 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 June 30, 2020, based on the inputs used to value them:
| | Level 1
($000) | Level 2
($000) | Level 3
($000) | Total
($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 11,401,434 | — | — | 11,401,434 |
| Temporary Cash Investments | 5,351 | 4,810 | — | 10,161 |
| Total | 11,406,785 | 4,810 | — | 11,411,595 |
| | | | |
| Derivative Financial Instruments | | | | |
| Assets | | | | |
| Futures Contracts1 | 287 | — | — | 287 |
| 1 | Represents variation margin on the last day of the reporting period. |
Tax-Managed Capital Appreciation Fund
| D. | As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
| | Amount
($000) |
| Tax Cost | 4,574,670 |
| Gross Unrealized Appreciation | 6,926,517 |
| Gross Unrealized Depreciation | (89,257) |
| Net Unrealized Appreciation (Depreciation) | 6,837,260 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2019, the fund had available capital losses totaling $128,236,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
| E. | During the six months ended June 30, 2020, the fund purchased $692,077,000 of investment securities and sold $584,377,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $53,304,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
| F. | Capital share transactions for each class of shares were: |
| | Six Months Ended
June 30, 2020 | | Year Ended
December 31, 2019 |
| | Amount
($000) | Shares
(000) | | Amount
($000) | Shares
(000) |
| Admiral Shares | | | | | |
| Issued | 743,351 | 5,077 | | 842,966 | 5,578 |
| Issued in Lieu of Cash Distributions | 57,126 | 413 | | 111,351 | 721 |
| Redeemed | (639,007) | (4,466) | | (684,320) | (4,522) |
| Net Increase (Decrease)—Admiral Shares | 161,470 | 1,024 | | 269,997 | 1,777 |
| Institutional Shares | | | | | |
| Issued | 28,115 | 365 | | 37,251 | 494 |
| Issued in Lieu of Cash Distributions | 4,427 | 65 | | 9,015 | 118 |
| Redeemed | (134,358) | (2,103) | | (53,800) | (705) |
| Net Increase (Decrease)—Institutional Shares | (101,816) | (1,673) | | (7,534) | (93) |
| G. | Management has determined that no events or transactions occurred subsequent to June 30, 2020, that would require recognition or disclosure in these financial statements. |
Tax-Managed Small-Cap Fund
| Communication Services | 2.7% |
| Consumer Discretionary | 15.0 |
| Consumer Staples | 3.7 |
| Energy | 3.1 |
| Financials | 15.3 |
| Health Care | 13.0 |
| Industrials | 17.9 |
| Information Technology | 14.2 |
| Materials | 5.1 |
| Real Estate | 7.9 |
| Utilities | 2.1 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
Tax-Managed Small-Cap Fund
Financial Statements (unaudited)
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 (99.6%) |
| Communication Services (2.7%) |
| | Cogent Communications Holdings Inc. | 362,958 | 28,078 |
| * | Iridium Communications Inc. | 895,177 | 22,773 |
| * | Vonage Holdings Corp. | 2,034,718 | 20,469 |
| | Shenandoah Telecommunications Co. | 388,517 | 19,150 |
| * | Glu Mobile Inc. | 1,061,830 | 9,843 |
| | Scholastic Corp. | 270,306 | 8,093 |
| * | TechTarget Inc. | 224,981 | 6,756 |
| * | Consolidated Communications Holdings Inc. | 823,253 | 5,573 |
| * | Cincinnati Bell Inc. | 342,692 | 5,089 |
| | EW Scripps Co. Class A | 558,352 | 4,886 |
| | ATN International Inc. | 73,909 | 4,477 |
| * | QuinStreet Inc. | 423,959 | 4,435 |
| | Meredith Corp. | 284,056 | 4,133 |
| | Marcus Corp. | 220,005 | 2,920 |
| | Spok Holdings Inc. | 279,424 | 2,613 |
| | Gannett Co. Inc. | 1,267,400 | 1,749 |
| | | | | | | 151,037 |
| Consumer Discretionary (14.9%) |
| | Wingstop Inc. | 263,957 | 36,682 |
| | Lithia Motors Inc. Class A | 199,703 | 30,221 |
| * | Fox Factory Holding Corp. | 354,786 | 29,309 |
| * | Meritage Homes Corp. | 348,518 | 26,529 |
| | LCI Industries | 230,055 | 26,452 |
| * | Stamps.com Inc. | 142,066 | 26,096 |
| * | Crocs Inc. | 607,298 | 22,361 |
| * | iRobot Corp. | 262,275 | 22,005 |
| | Winnebago Industries Inc. | 309,022 | 20,587 |
| * | YETI Holdings Inc. | 469,683 | 20,070 |
| | Macy's Inc. | 2,825,743 | 19,441 |
| | Wolverine World Wide Inc. | 800,573 | 19,062 |
| * | LGI Homes Inc. | 210,642 | 18,543 |
| | MDC Holdings Inc. | 492,717 | 17,590 |
| * | Dorman Products Inc. | 258,245 | 17,321 |
| * | Capri Holdings Ltd. | 1,106,471 | 17,294 |
| | Steven Madden Ltd. | 681,751 | 16,832 |
| | | | | | Shares | Market
Value•
($000) |
| | Monro Inc. | 290,196 | 15,943 |
| | Big Lots Inc. | 367,552 | 15,437 |
| | Callaway Golf Co. | 864,274 | 15,134 |
| * | Shake Shack Inc. Class A | 274,643 | 14,551 |
| * | Cavco Industries Inc. | 75,024 | 14,468 |
| | Rent-A-Center Inc. | 477,403 | 13,281 |
| * | Installed Building Products Inc. | 189,195 | 13,013 |
| * | Asbury Automotive Group Inc. | 166,953 | 12,911 |
| | Cooper Tire & Rubber Co. | 455,886 | 12,587 |
| | Office Depot Inc. | 4,970,621 | 11,681 |
| | La-Z-Boy Inc. | 427,059 | 11,556 |
| * | Gentherm Inc. | 292,902 | 11,394 |
| | Bed Bath & Beyond Inc. | 1,043,100 | 11,057 |
| * | Sleep Number Corp. | 265,182 | 11,042 |
| | Sturm Ruger & Co. Inc. | 135,538 | 10,301 |
| | Group 1 Automotive Inc. | 155,042 | 10,228 |
| | Core-Mark Holding Co. Inc. | 399,972 | 9,981 |
| * | Perdoceo Education Corp. | 609,547 | 9,710 |
| * | M/I Homes Inc. | 279,234 | 9,617 |
| * | Century Communities Inc. | 286,877 | 8,796 |
| * | American Axle & Manufacturing Holdings Inc. | 1,152,955 | 8,763 |
| | Bloomin' Brands Inc. | 788,996 | 8,411 |
| * | Vista Outdoor Inc. | 563,230 | 8,139 |
| | Sonic Automotive Inc. Class A | 231,186 | 7,377 |
| | Kontoor Brands Inc. | 411,112 | 7,322 |
| | Cheesecake Factory Inc. | 317,100 | 7,268 |
| | Standard Motor Products Inc. | 169,876 | 6,999 |
| | Dine Brands Global Inc. | 163,517 | 6,884 |
| | Oxford Industries Inc. | 155,244 | 6,832 |
| | Brinker International Inc. | 276,444 | 6,635 |
| | Abercrombie & Fitch Co. Class A | 589,309 | 6,270 |
| | PetMed Express Inc. | 167,230 | 5,960 |
| * | Boot Barn Holdings Inc. | 261,614 | 5,640 |
| | Shutterstock Inc. | 157,773 | 5,517 |
| * | Universal Electronics Inc. | 117,532 | 5,503 |
| * | MarineMax Inc. | 238,556 | 5,341 |
| | Signet Jewelers Ltd. | 493,800 | 5,071 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| * | America's Car-Mart Inc. | 57,500 | 5,053 |
| * | Zumiez Inc. | 182,212 | 4,989 |
| | Children's Place Inc. | 128,568 | 4,811 |
| * | American Public Education Inc. | 141,732 | 4,195 |
| | Guess? Inc. | 420,209 | 4,063 |
| * | Michaels Cos. Inc. | 543,174 | 3,840 |
| | Buckle Inc. | 242,484 | 3,802 |
| * | Motorcar Parts of America Inc. | 213,780 | 3,778 |
| | BJ's Restaurants Inc. | 172,505 | 3,612 |
| * | Hibbett Sports Inc. | 172,053 | 3,603 |
| * | Garrett Motion Inc. | 598,113 | 3,314 |
| * | Monarch Casino & Resort Inc. | 95,572 | 3,257 |
| | Caleres Inc. | 379,822 | 3,168 |
| | Ruth's Hospitality Group Inc. | 385,315 | 3,144 |
| * | El Pollo Loco Holdings Inc. | 194,185 | 2,866 |
| * | Genesco Inc. | 131,184 | 2,842 |
| * | GameStop Corp. Class A | 653,077 | 2,834 |
| * | G-III Apparel Group Ltd. | 202,500 | 2,691 |
| | Haverty Furniture Cos. Inc. | 162,786 | 2,605 |
| * | Lumber Liquidators Holdings Inc. | 180,474 | 2,501 |
| * | Chuy's Holdings Inc. | 161,179 | 2,398 |
| * | Regis Corp. | 279,682 | 2,288 |
| | Shoe Carnival Inc. | 73,945 | 2,164 |
| * | Liquidity Services Inc. | 319,019 | 1,901 |
| | Cato Corp. Class A | 232,321 | 1,900 |
| * | Fossil Group Inc. | 366,814 | 1,706 |
| | Tupperware Brands Corp. | 356,400 | 1,693 |
| * | Express Inc. | 1,000,567 | 1,541 |
| * | Unifi Inc. | 114,646 | 1,477 |
| | Designer Brands Inc. Class A | 194,000 | 1,313 |
| * | Fiesta Restaurant Group Inc. | 176,490 | 1,126 |
| * | Vera Bradley Inc. | 230,182 | 1,022 |
| | Movado Group Inc. | 91,883 | 996 |
| * | Barnes & Noble Education Inc. | 426,283 | 682 |
| * | Cooper-Standard Holdings Inc. | 41,900 | 555 |
| * | Conn's Inc. | 35,315 | 356 |
| | Ethan Allen Interiors Inc. | 19,782 | 234 |
| * | Red Robin Gourmet Burgers Inc. | 100 | 1 |
| | | | | | | 837,336 |
| Consumer Staples (3.6%) |
| | WD-40 Co. | 106,794 | 21,177 |
| | J & J Snack Foods Corp. | 120,681 | 15,342 |
| | Medifast Inc. | 108,187 | 15,013 |
| | B&G Foods Inc. | 590,029 | 14,385 |
| | PriceSmart Inc. | 191,370 | 11,545 |
| * | Central Garden & Pet Co. Class A | 309,025 | 10,442 |
| | Vector Group Ltd. | 975,599 | 9,815 |
| * | Cal-Maine Foods Inc. | 217,559 | 9,677 |
| | | | | | Shares | Market
Value•
($000) |
| | Universal Corp. | 223,458 | 9,499 |
| | Calavo Growers Inc. | 149,683 | 9,417 |
| | Coca-Cola Consolidated Inc. | 39,777 | 9,116 |
| * | United Natural Foods Inc. | 489,427 | 8,912 |
| * | USANA Health Sciences Inc. | 112,684 | 8,274 |
| | Inter Parfums Inc. | 156,307 | 7,526 |
| | SpartanNash Co. | 328,997 | 6,991 |
| * | National Beverage Corp. | 108,400 | 6,615 |
| | Fresh Del Monte Produce Inc. | 240,800 | 5,929 |
| | MGP Ingredients Inc. | 130,155 | 4,777 |
| | John B Sanfilippo & Son Inc. | 53,250 | 4,544 |
| | Andersons Inc. | 312,031 | 4,294 |
| * | Central Garden & Pet Co. | 117,130 | 4,216 |
| * | Chefs' Warehouse Inc. | 237,474 | 3,225 |
| * | Seneca Foods Corp. Class A | 88,875 | 3,005 |
| | | | | | | 203,736 |
| Energy (3.1%) |
| | Helmerich & Payne Inc. | 788,769 | 15,389 |
| * | Southwestern Energy Co. | 5,206,565 | 13,329 |
| * | PDC Energy Inc. | 950,566 | 11,825 |
| * | Dril-Quip Inc. | 357,752 | 10,658 |
| | Range Resources Corp. | 1,809,321 | 10,187 |
| | Archrock Inc. | 1,430,671 | 9,285 |
| * | Renewable Energy Group Inc. | 369,080 | 9,146 |
| | Core Laboratories NV | 434,980 | 8,839 |
| * | Oceaneering International Inc. | 1,318,053 | 8,422 |
| * | Matador Resources Co. | 843,200 | 7,167 |
| | Patterson-UTI Energy Inc. | 1,657,100 | 5,750 |
| * | Green Plains Inc. | 451,889 | 4,616 |
| * | REX American Resources Corp. | 65,261 | 4,527 |
| * | SEACOR Holdings Inc. | 156,854 | 4,442 |
| | DMC Global Inc. | 143,900 | 3,972 |
| * | Helix Energy Solutions Group Inc. | 1,059,400 | 3,676 |
| * | Callon Petroleum Co. | 3,150,400 | 3,623 |
| * | Bonanza Creek Energy Inc. | 226,254 | 3,353 |
| | SM Energy Co. | 868,800 | 3,258 |
| * | RPC Inc. | 868,434 | 2,675 |
| * | Matrix Service Co. | 269,903 | 2,624 |
| | QEP Resources Inc. | 1,746,600 | 2,253 |
| * | Oil States International Inc. | 469,100 | 2,228 |
| * | Newpark Resources Inc. | 963,872 | 2,150 |
| | US Silica Holdings Inc. | 595,361 | 2,149 |
| * | ProPetro Holding Corp. | 411,298 | 2,114 |
| * | Dorian LPG Ltd. | 265,800 | 2,057 |
| * | Talos Energy Inc. | 206,045 | 1,896 |
| * | Penn Virginia Corp. | 164,528 | 1,568 |
| * | Laredo Petroleum Inc. | 110,504 | 1,532 |
| * | Gulfport Energy Corp. | 1,382,811 | 1,507 |
| * | Bristow Group Inc. Class A | 99,382 | 1,384 |
| * | Geospace Technologies Corp. | 171,593 | 1,290 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| * | Valaris plc Class A | 1,919,400 | 1,251 |
| * | Par Pacific Holdings Inc. | 137,200 | 1,233 |
| * | Ring Energy Inc. | 838,169 | 972 |
| * | Exterran Corp. | 148,857 | 802 |
| * | CONSOL Energy Inc. | 131,833 | 668 |
| | | | | | | 173,817 |
| Financials (15.3%) |
| | Kinsale Capital Group Inc. | 178,286 | 27,672 |
| | Community Bank System Inc. | 437,826 | 24,965 |
| * | eHealth Inc. | 224,326 | 22,038 |
| * | Green Dot Corp. Class A | 439,930 | 21,592 |
| | PennyMac Mortgage Investment Trust | 1,188,450 | 20,834 |
| | American Equity Investment Life Holding Co. | 836,941 | 20,681 |
| | CVB Financial Corp. | 1,100,774 | 20,628 |
| | Old National Bancorp | 1,441,612 | 19,837 |
| | Independent Bank Corp. | 294,390 | 19,751 |
| | Columbia Banking System Inc. | 609,648 | 17,280 |
| | Simmons First National Corp. Class A | 989,005 | 16,922 |
| | Pacific Premier Bancorp Inc. | 737,931 | 15,998 |
| * | PRA Group Inc. | 405,284 | 15,668 |
| | Apollo Commercial Real Estate Finance Inc. | 1,510,776 | 14,821 |
| | Ameris Bancorp | 598,961 | 14,129 |
| | ServisFirst Bancshares Inc. | 393,562 | 14,074 |
| | United Community Banks Inc. | 680,759 | 13,697 |
| | First Midwest Bancorp Inc. | 993,523 | 13,264 |
| | Horace Mann Educators Corp. | 353,248 | 12,975 |
| | Walker & Dunlop Inc. | 252,494 | 12,829 |
| | Westamerica Bancorp | 222,424 | 12,772 |
| | James River Group Holdings Ltd. | 282,752 | 12,724 |
| | Banner Corp. | 325,349 | 12,363 |
| | First Financial Bancorp | 889,811 | 12,359 |
| | NBT Bancorp Inc. | 394,898 | 12,147 |
| | First Bancorp | 2,028,502 | 11,339 |
| * | NMI Holdings Inc. Class A | 693,350 | 11,149 |
| | Hope Bancorp Inc. | 1,187,392 | 10,948 |
| | Waddell & Reed Financial Inc. Class A | 696,245 | 10,799 |
| * | Axos Financial Inc. | 480,951 | 10,619 |
| * | Palomar Holdings Inc. | 121,725 | 10,439 |
| | Safety Insurance Group Inc. | 131,127 | 10,000 |
| | Eagle Bancorp Inc. | 302,265 | 9,899 |
| * | Seacoast Banking Corp. of Florida | 484,129 | 9,876 |
| | City Holding Co. | 151,444 | 9,870 |
| | Northwest Bancshares Inc. | 962,700 | 9,844 |
| * | Encore Capital Group Inc. | 268,909 | 9,191 |
| | Veritex Holdings Inc. | 518,868 | 9,184 |
| | AMERISAFE Inc. | 148,041 | 9,054 |
| | | | | | Shares | Market
Value•
($000) |
| | Employers Holdings Inc. | 288,542 | 8,700 |
| | Piper Sandler Cos. | 146,902 | 8,691 |
| | S&T Bancorp Inc. | 367,998 | 8,630 |
| | Southside Bancshares Inc. | 311,077 | 8,623 |
| | Capstead Mortgage Corp. | 1,502,714 | 8,250 |
| | First Commonwealth Financial Corp. | 991,902 | 8,213 |
| | National Bank Holdings Corp. Class A | 292,987 | 7,911 |
| | Provident Financial Services Inc. | 545,211 | 7,878 |
| | Virtus Investment Partners Inc. | 67,490 | 7,848 |
| | Brookline Bancorp Inc. | 776,744 | 7,830 |
| | Stewart Information Services Corp. | 236,889 | 7,701 |
| | Flagstar Bancorp Inc. | 260,360 | 7,662 |
| | Tompkins Financial Corp. | 117,587 | 7,616 |
| * | INTL. FCStone Inc. | 132,203 | 7,271 |
| | Heritage Financial Corp. | 353,605 | 7,072 |
| | ProAssurance Corp. | 488,305 | 7,066 |
| | Northfield Bancorp Inc. | 607,598 | 7,000 |
| | Great Western Bancorp Inc. | 487,285 | 6,705 |
| | OFG Bancorp | 489,877 | 6,550 |
| | Preferred Bank | 149,710 | 6,415 |
| | Independent Bank Group Inc. | 158,055 | 6,404 |
| | TrustCo Bank Corp. | 1,004,358 | 6,358 |
| | HomeStreet Inc. | 250,294 | 6,160 |
| | KKR Real Estate Finance Trust Inc. | 355,665 | 5,897 |
| | Central Pacific Financial Corp. | 365,221 | 5,854 |
| | United Fire Group Inc. | 209,085 | 5,794 |
| | Boston Private Financial Holdings Inc. | 839,415 | 5,775 |
| * | Triumph Bancorp Inc. | 229,364 | 5,567 |
| | Banc of California Inc. | 493,661 | 5,346 |
| | Universal Insurance Holdings Inc. | 293,472 | 5,209 |
| | Meta Financial Group Inc. | 286,432 | 5,204 |
| | Dime Community Bancshares Inc. | 360,595 | 4,951 |
| | Ready Capital Corp. | 567,639 | 4,933 |
| * | Blucora Inc. | 430,997 | 4,922 |
| * | Third Point Reinsurance Ltd. | 619,200 | 4,650 |
| * | Enova International Inc. | 309,786 | 4,607 |
| | Cadence Bancorp Class A | 501,258 | 4,441 |
| | HCI Group Inc. | 93,506 | 4,318 |
| | New York Mortgage Trust Inc. | 1,652,800 | 4,314 |
| | Franklin Financial Network Inc. | 166,057 | 4,276 |
| | Allegiance Bancshares Inc. | 157,976 | 4,011 |
| * | World Acceptance Corp. | 58,058 | 3,804 |
| | Redwood Trust Inc. | 520,849 | 3,646 |
| | Hanmi Financial Corp. | 367,349 | 3,567 |
| * | Ambac Financial Group Inc. | 239,342 | 3,427 |
| * | EZCORP Inc. Class A | 510,668 | 3,217 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| | Brightsphere Investment Group Inc. | 198,100 | 2,468 |
| | WisdomTree Investments Inc. | 627,483 | 2,177 |
| | Invesco Mortgage Capital Inc. | 395,481 | 1,479 |
| | ARMOUR Residential REIT Inc. | 153,000 | 1,437 |
| | Granite Point Mortgage Trust Inc. | 189,300 | 1,359 |
| * | Donnelley Financial Solutions Inc. | 140,649 | 1,181 |
| | United Insurance Holdings Corp. | 114,600 | 896 |
| * | Customers Bancorp Inc. | 11,482 | 138 |
| | | | | | | 855,650 |
| Health Care (13.0%) |
| * | Neogen Corp. | 431,982 | 33,522 |
| * | Momenta Pharmaceuticals Inc. | 975,566 | 32,457 |
| * | Emergent BioSolutions Inc. | 374,088 | 29,583 |
| * | NeoGenomics Inc. | 933,752 | 28,928 |
| * | Omnicell Inc. | 363,194 | 25,649 |
| * | HMS Holdings Corp. | 739,474 | 23,951 |
| * | Merit Medical Systems Inc. | 498,744 | 22,768 |
| * | Medpace Holdings Inc. | 239,335 | 22,263 |
| * | Integer Holdings Corp. | 289,699 | 21,162 |
| * | Pacira BioSciences Inc. | 386,300 | 20,269 |
| | Ensign Group Inc. | 458,660 | 19,195 |
| * | AMN Healthcare Services Inc. | 419,070 | 18,959 |
| | CONMED Corp. | 262,141 | 18,871 |
| * | Magellan Health Inc. | 215,304 | 15,713 |
| * | Select Medical Holdings Corp. | 1,024,999 | 15,098 |
| * | BioTelemetry Inc. | 324,677 | 14,672 |
| * | Covetrus Inc. | 795,890 | 14,238 |
| * | Xencor Inc. | 429,009 | 13,896 |
| * | Glaukos Corp. | 353,674 | 13,588 |
| * | Cytokinetics Inc. | 557,115 | 13,131 |
| * | Corcept Therapeutics Inc. | 737,177 | 12,399 |
| * | Supernus Pharmaceuticals Inc. | 497,793 | 11,823 |
| * | Addus HomeCare Corp. | 123,135 | 11,397 |
| * | REGENXBIO Inc. | 303,006 | 11,160 |
| | Luminex Corp. | 340,386 | 11,073 |
| * | Tabula Rasa HealthCare Inc. | 180,932 | 9,902 |
| * | Cardiovascular Systems Inc. | 311,916 | 9,841 |
| | US Physical Therapy Inc. | 117,200 | 9,495 |
| * | Lantheus Holdings Inc. | 659,963 | 9,437 |
| * | Innoviva Inc. | 628,018 | 8,780 |
| * | Providence Service Corp. | 106,215 | 8,381 |
| | Mesa Laboratories Inc. | 35,801 | 7,762 |
| * | Myriad Genetics Inc. | 659,155 | 7,475 |
| * | Tactile Systems Technology Inc. | 170,019 | 7,044 |
| | | | | | Shares | Market
Value•
($000) |
| * | Amphastar Pharmaceuticals Inc. | 310,166 | 6,966 |
| * | Meridian Bioscience Inc. | 289,784 | 6,749 |
| * | CorVel Corp. | 94,660 | 6,710 |
| * | Allscripts Healthcare Solutions Inc. | 964,200 | 6,528 |
| * | Enanta Pharmaceuticals Inc. | 128,706 | 6,462 |
| * | Coherus Biosciences Inc. | 358,674 | 6,406 |
| * | CryoLife Inc. | 334,148 | 6,406 |
| * | Endo International plc | 1,810,721 | 6,211 |
| * | OraSure Technologies Inc. | 523,102 | 6,084 |
| * | Inogen Inc. | 171,107 | 6,078 |
| * | Heska Corp. | 64,954 | 6,052 |
| * | Vanda Pharmaceuticals Inc. | 517,195 | 5,917 |
| * | Orthofix Medical Inc. | 179,712 | 5,751 |
| * | Surmodics Inc. | 125,977 | 5,447 |
| | Phibro Animal Health Corp. Class A | 198,007 | 5,202 |
| * | Anika Therapeutics Inc. | 137,615 | 5,192 |
| * | NextGen Healthcare Inc. | 459,246 | 5,042 |
| * | Pennant Group Inc. | 221,480 | 5,005 |
| * | Eagle Pharmaceuticals Inc. | 101,619 | 4,876 |
| * | HealthStream Inc. | 210,975 | 4,669 |
| | Owens & Minor Inc. | 593,808 | 4,525 |
| * | Tivity Health Inc. | 367,500 | 4,164 |
| * | Varex Imaging Corp. | 264,497 | 4,007 |
| | LeMaitre Vascular Inc. | 147,782 | 3,901 |
| * | RadNet Inc. | 234,783 | 3,726 |
| | Computer Programs & Systems Inc. | 162,558 | 3,705 |
| | Simulations Plus Inc. | 54,200 | 3,242 |
| * | Natus Medical Inc. | 132,395 | 2,889 |
| * | Community Health Systems Inc. | 907,468 | 2,731 |
| * | AMAG Pharmaceuticals Inc. | 342,617 | 2,621 |
| * | AngioDynamics Inc. | 256,857 | 2,612 |
| * | Zynex Inc. | 102,100 | 2,539 |
| * | Lannett Co. Inc. | 331,211 | 2,405 |
| | Invacare Corp. | 375,689 | 2,393 |
| * | Cross Country Healthcare Inc. | 361,475 | 2,227 |
| * | Hanger Inc. | 127,641 | 2,114 |
| * | Cutera Inc. | 148,725 | 1,810 |
| * | Spectrum Pharmaceuticals Inc. | 354,416 | 1,198 |
| * | ANI Pharmaceuticals Inc. | 29,332 | 949 |
| *,1 | Progenics Pharmaceuticals Inc. CVR | 933,227 | — |
| | | | | | | 725,393 |
| Industrials (17.7%) |
| | Exponent Inc. | 421,194 | 34,087 |
| | Simpson Manufacturing Co. Inc. | 343,078 | 28,942 |
| | UFP Industries Inc. | 550,261 | 27,243 |
| * | Proto Labs Inc. | 230,334 | 25,906 |
| * | Saia Inc. | 228,637 | 25,420 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| * | Aerojet Rocketdyne Holdings Inc. | 616,645 | 24,444 |
| | John Bean Technologies Corp. | 282,196 | 24,274 |
| | UniFirst Corp. | 133,974 | 23,975 |
| | ABM Industries Inc. | 598,845 | 21,738 |
| | Applied Industrial Technologies Inc. | 338,332 | 21,109 |
| | Brady Corp. Class A | 436,249 | 20,425 |
| | Watts Water Technologies Inc. Class A | 230,278 | 18,652 |
| | AAON Inc. | 341,663 | 18,549 |
| | Arcosa Inc. | 425,842 | 17,971 |
| | ESCO Technologies Inc. | 210,169 | 17,766 |
| | Hillenbrand Inc. | 628,635 | 17,017 |
| | Franklin Electric Co. Inc. | 318,713 | 16,739 |
| | Barnes Group Inc. | 408,784 | 16,171 |
| | Moog Inc. Class A | 301,712 | 15,985 |
| | SkyWest Inc. | 489,317 | 15,962 |
| | Albany International Corp. Class A | 269,471 | 15,821 |
| * | AeroVironment Inc. | 197,784 | 15,750 |
| | Federal Signal Corp. | 520,014 | 15,460 |
| | Korn Ferry | 502,400 | 15,439 |
| * | SPX Corp. | 366,651 | 15,088 |
| * | Sunrun Inc. | 764,090 | 15,068 |
| * | SPX FLOW Inc. | 393,116 | 14,718 |
| * | Hub Group Inc. Class A | 301,715 | 14,440 |
| | Allegiant Travel Co. Class A | 129,620 | 14,156 |
| * | Chart Industries Inc. | 285,220 | 13,830 |
| | Mueller Industries Inc. | 515,684 | 13,707 |
| | Patrick Industries Inc. | 219,552 | 13,448 |
| | Cubic Corp. | 279,280 | 13,414 |
| * | Meritor Inc. | 668,441 | 13,235 |
| * | Gibraltar Industries Inc. | 273,156 | 13,114 |
| | Comfort Systems USA Inc. | 316,247 | 12,887 |
| | Forward Air Corp. | 253,798 | 12,644 |
| * | American Woodmark Corp. | 149,298 | 11,294 |
| * | Vicor Corp. | 153,533 | 11,047 |
| * | Atlas Air Worldwide Holdings Inc. | 253,459 | 10,906 |
| | Tennant Co. | 165,064 | 10,731 |
| | Matson Inc. | 364,475 | 10,606 |
| * | GMS Inc. | 407,405 | 10,018 |
| �� | Kaman Corp. | 237,716 | 9,889 |
| | EnPro Industries Inc. | 200,429 | 9,879 |
| * | Resideo Technologies Inc. | 806,600 | 9,453 |
| | Enerpac Tool Group Corp. Class A | 524,983 | 9,240 |
| * | Harsco Corp. | 661,205 | 8,933 |
| | Encore Wire Corp. | 181,296 | 8,851 |
| | Alamo Group Inc. | 85,527 | 8,778 |
| | Greenbrier Cos. Inc. | 382,538 | 8,703 |
| | Granite Construction Inc. | 447,702 | 8,569 |
| * | PGT Innovations Inc. | 534,169 | 8,376 |
| | Lindsay Corp. | 90,791 | 8,372 |
| | | | | | Shares | Market
Value•
($000) |
| | Marten Transport Ltd. | 324,137 | 8,155 |
| | AZZ Inc. | 231,645 | 7,950 |
| | Astec Industries Inc. | 164,296 | 7,609 |
| | US Ecology Inc. | 224,070 | 7,591 |
| | Raven Industries Inc. | 337,307 | 7,255 |
| | Standex International Corp. | 120,991 | 6,963 |
| | Heartland Express Inc. | 306,033 | 6,372 |
| | Griffon Corp. | 344,076 | 6,372 |
| * | Echo Global Logistics Inc. | 268,559 | 5,806 |
| * | MYR Group Inc. | 166,719 | 5,320 |
| | Quanex Building Products Corp. | 377,744 | 5,243 |
| * | Aegion Corp. Class A | 314,972 | 4,999 |
| | Wabash National Corp. | 441,059 | 4,684 |
| | AAR Corp. | 222,628 | 4,602 |
| | ArcBest Corp. | 171,598 | 4,549 |
| | Kelly Services Inc. Class A | 279,173 | 4,415 |
| | National Presto Industries Inc. | 45,493 | 3,976 |
| | Resources Connection Inc. | 328,047 | 3,927 |
| * | TrueBlue Inc. | 255,631 | 3,903 |
| | Viad Corp. | 200,859 | 3,820 |
| | Insteel Industries Inc. | 195,383 | 3,726 |
| | Heidrick & Struggles International Inc. | 170,675 | 3,690 |
| * | Forrester Research Inc. | 112,916 | 3,618 |
| | Apogee Enterprises Inc. | 155,195 | 3,576 |
| | Triumph Group Inc. | 388,600 | 3,501 |
| | Matthews International Corp. Class A | 178,141 | 3,402 |
| * | CIRCOR International Inc. | 128,950 | 3,286 |
| * | NOW Inc. | 322,600 | 2,784 |
| | Interface Inc. Class A | 337,324 | 2,746 |
| | Powell Industries Inc. | 99,676 | 2,730 |
| | Park Aerospace Corp. | 232,914 | 2,595 |
| | Hawaiian Holdings Inc. | 145,800 | 2,047 |
| * | DXP Enterprises Inc. | 81,851 | 1,630 |
| * | Lydall Inc. | 107,983 | 1,464 |
| * | Veritiv Corp. | 44,522 | 755 |
| | RR Donnelley & Sons Co. | 274,200 | 326 |
| * | Team Inc. | 32,741 | 182 |
| | Briggs & Stratton Corp. | 82,000 | 107 |
| | | | | | | 993,915 |
| Information Technology (14.2%) |
| | Brooks Automation Inc. | 647,231 | 28,634 |
| | Power Integrations Inc. | 229,407 | 27,100 |
| * | Viavi Solutions Inc. | 2,056,497 | 26,200 |
| * | LivePerson Inc. | 565,331 | 23,422 |
| * | Advanced Energy Industries Inc. | 337,168 | 22,857 |
| * | SPS Commerce Inc. | 292,986 | 22,009 |
| * | Alarm.com Holdings Inc. | 327,622 | 21,233 |
| * | Rogers Corp. | 165,650 | 20,640 |
| * | Fabrinet | 327,799 | 20,461 |
| * | Itron Inc. | 305,374 | 20,231 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| * | FormFactor Inc. | 651,381 | 19,105 |
| * | ExlService Holdings Inc. | 300,384 | 19,044 |
| * | Plexus Corp. | 262,163 | 18,498 |
| * | Diodes Inc. | 358,107 | 18,156 |
| * | Bottomline Technologies DE Inc. | 324,438 | 16,472 |
| | Badger Meter Inc. | 253,052 | 15,922 |
| | ManTech International Corp. Class A | 229,432 | 15,714 |
| * | Onto Innovation Inc. | 458,249 | 15,599 |
| | Progress Software Corp. | 395,285 | 15,317 |
| * | Sanmina Corp. | 602,295 | 15,081 |
| * | Rambus Inc. | 988,497 | 15,025 |
| * | Insight Enterprises Inc. | 305,345 | 15,023 |
| | EVERTEC Inc. | 521,667 | 14,659 |
| | Xperi Holding Corp. | 970,249 | 14,321 |
| * | 8x8 Inc. | 889,258 | 14,228 |
| * | MaxLinear Inc. Class A | 580,196 | 12,451 |
| * | Knowles Corp. | 807,441 | 12,322 |
| | Kulicke & Soffa Industries Inc. | 573,416 | 11,944 |
| | NIC Inc. | 510,378 | 11,718 |
| | CSG Systems International Inc. | 281,528 | 11,652 |
| * | OSI Systems Inc. | 153,442 | 11,453 |
| * | TTM Technologies Inc. | 920,881 | 10,922 |
| * | Perficient Inc. | 292,323 | 10,459 |
| | Methode Electronics Inc. | 334,396 | 10,453 |
| * | Sykes Enterprises Inc. | 334,954 | 9,265 |
| * | Ultra Clean Holdings Inc. | 384,790 | 8,708 |
| * | Axcelis Technologies Inc. | 308,032 | 8,579 |
| * | FARO Technologies Inc. | 159,815 | 8,566 |
| * | Cardtronics plc Class A | 350,598 | 8,407 |
| * | Virtusa Corp. | 258,225 | 8,385 |
| | Benchmark Electronics Inc. | 385,523 | 8,327 |
| * | ePlus Inc. | 115,386 | 8,156 |
| * | OneSpan Inc. | 287,186 | 8,021 |
| * | MicroStrategy Inc. Class A | 66,237 | 7,835 |
| * | 3D Systems Corp. | 1,048,437 | 7,329 |
| * | Photronics Inc. | 648,709 | 7,220 |
| | TTEC Holdings Inc. | 142,312 | 6,626 |
| * | Ichor Holdings Ltd. | 232,256 | 6,173 |
| | CTS Corp. | 303,272 | 6,078 |
| * | CEVA Inc. | 157,346 | 5,888 |
| * | ScanSource Inc. | 234,336 | 5,645 |
| * | PDF Solutions Inc. | 271,570 | 5,312 |
| * | NETGEAR Inc. | 195,900 | 5,072 |
| | Cohu Inc. | 292,140 | 5,066 |
| * | Extreme Networks Inc. | 1,162,220 | 5,044 |
| * | Veeco Instruments Inc. | 366,766 | 4,948 |
| * | Unisys Corp. | 447,611 | 4,883 |
| * | Diebold Nixdorf Inc. | 803,860 | 4,871 |
| * | Digi International Inc. | 381,821 | 4,448 |
| | Ebix Inc. | 197,187 | 4,409 |
| | Comtech Telecommunications Corp. | 244,130 | 4,123 |
| | | | | | Shares | Market
Value•
($000) |
| | PC Connection Inc. | 87,794 | 4,070 |
| | ADTRAN Inc. | 361,838 | 3,955 |
| * | Harmonic Inc. | 797,584 | 3,789 |
| * | DSP Group Inc. | 231,046 | 3,669 |
| * | Agilysys Inc. | 203,650 | 3,653 |
| | Plantronics Inc. | 245,165 | 3,599 |
| * | SMART Global Holdings Inc. | 127,947 | 3,478 |
| * | CalAmp Corp. | 362,784 | 2,906 |
| * | Applied Optoelectronics Inc. | 260,767 | 2,835 |
| | Daktronics Inc. | 476,225 | 2,072 |
| * | Arlo Technologies Inc. | 692,018 | 1,785 |
| | Bel Fuse Inc. Class B | 113,343 | 1,216 |
| | MTS Systems Corp. | 41,187 | 724 |
| | | | | | | 793,460 |
| Materials (5.1%) |
| | Balchem Corp. | 267,040 | 25,331 |
| | Quaker Chemical Corp. | 115,900 | 21,517 |
| | Cleveland-Cliffs Inc. | 3,860,316 | 21,309 |
| | HB Fuller Co. | 439,608 | 19,606 |
| | Innospec Inc. | 211,790 | 16,361 |
| | Stepan Co. | 167,166 | 16,232 |
| | Boise Cascade Co. | 347,482 | 13,069 |
| | Materion Corp. | 178,538 | 10,978 |
| | Kaiser Aluminum Corp. | 143,350 | 10,553 |
| * | Arconic Corp. | 720,097 | 10,031 |
| | Schweitzer-Mauduit International Inc. | 271,229 | 9,062 |
| * | Ferro Corp. | 725,268 | 8,660 |
| * | Livent Corp. | 1,403,978 | 8,648 |
| | Trinseo SA | 376,211 | 8,337 |
| | Neenah Inc. | 161,080 | 7,967 |
| * | GCP Applied Technologies Inc. | 416,318 | 7,735 |
| | Warrior Met Coal Inc. | 449,413 | 6,916 |
| * | Kraton Corp. | 341,914 | 5,908 |
| * | Clearwater Paper Corp. | 155,957 | 5,635 |
| * | Century Aluminum Co. | 621,577 | 4,432 |
| | P H Glatfelter Co. | 269,528 | 4,326 |
| | Hawkins Inc. | 100,111 | 4,263 |
| | Myers Industries Inc. | 282,940 | 4,117 |
| * | Koppers Holdings Inc. | 214,113 | 4,034 |
| | Tredegar Corp. | 258,645 | 3,983 |
| | American Vanguard Corp. | 268,629 | 3,696 |
| | Mercer International Inc. | 432,120 | 3,526 |
| | FutureFuel Corp. | 279,452 | 3,339 |
| | Haynes International Inc. | 128,983 | 3,013 |
| * | AdvanSix Inc. | 251,748 | 2,956 |
| * | US Concrete Inc. | 100,553 | 2,494 |
| * | TimkenSteel Corp. | 577,614 | 2,247 |
| | Olympic Steel Inc. | 119,973 | 1,410 |
| | SunCoke Energy Inc. | 459,472 | 1,360 |
| * | Rayonier Advanced Materials Inc. | 74,000 | 208 |
| | | | | | | 283,259 |
Tax-Managed Small-Cap Fund
| | | | | | Shares | Market
Value•
($000) |
| Real Estate (7.9%) |
| | Agree Realty Corp. | 426,531 | 28,027 |
| | Lexington Realty Trust | 2,083,796 | 21,984 |
| | Uniti Group Inc. | 1,732,611 | 16,200 |
| | Washington REIT | 701,478 | 15,573 |
| | National Storage Affiliates Trust | 520,052 | 14,905 |
| | Four Corners Property Trust Inc. | 608,448 | 14,846 |
| | CareTrust REIT Inc. | 852,382 | 14,627 |
| | Innovative Industrial Properties Inc. | 155,400 | 13,678 |
| | LTC Properties Inc. | 351,809 | 13,253 |
| | Global Net Lease Inc. | 792,001 | 13,250 |
| | Retail Opportunity Investments Corp. | 1,107,701 | 12,550 |
| | Industrial Logistics Properties Trust | 577,340 | 11,864 |
| | Essential Properties Realty Trust Inc. | 799,400 | 11,863 |
| | American Assets Trust Inc. | 419,156 | 11,669 |
| | Easterly Government Properties Inc. | 498,500 | 11,525 |
| | Office Properties Income Trust | 425,548 | 11,052 |
| | DiamondRock Hospitality Co. | 1,824,993 | 10,092 |
| | Acadia Realty Trust | 765,840 | 9,941 |
| | Xenia Hotels & Resorts Inc. | 1,012,240 | 9,444 |
| | Independence Realty Trust Inc. | 805,952 | 9,260 |
| | Brandywine Realty Trust | 840,400 | 9,152 |
| | Getty Realty Corp. | 305,957 | 9,081 |
| | Kite Realty Group Trust | 780,965 | 9,012 |
| | Universal Health Realty Income Trust | 112,547 | 8,946 |
| | Diversified Healthcare Trust | 2,020,006 | 8,939 |
| | Realogy Holdings Corp. | 1,173,414 | 8,695 |
| | iStar Inc. | 674,100 | 8,305 |
| | Retail Properties of America Inc. Class A | 1,072,944 | 7,854 |
| | Alexander & Baldwin Inc. | 615,619 | 7,504 |
| | Community Healthcare Trust Inc. | 183,000 | 7,485 |
| | Investors Real Estate Trust | 103,500 | 7,296 |
| | NexPoint Residential Trust Inc. | 202,383 | 7,154 |
| | Safehold Inc. | 113,073 | 6,501 |
| | Tanger Factory Outlet Centers Inc. | 873,819 | 6,230 |
| | SITE Centers Corp. | 722,998 | 5,856 |
| | Summit Hotel Properties Inc. | 949,268 | 5,629 |
| | RPT Realty | 723,135 | 5,033 |
| | RE/MAX Holdings Inc. Class A | 158,378 | 4,978 |
| | Armada Hoffler Properties Inc. | 496,635 | 4,942 |
| | | | | | Shares | Market
Value•
($000) |
| | Franklin Street Properties Corp. | 960,700 | 4,890 |
| * | Marcus & Millichap Inc. | 152,390 | 4,398 |
| * | St. Joe Co. | 189,054 | 3,671 |
| | Saul Centers Inc. | 105,934 | 3,419 |
| | Urstadt Biddle Properties Inc. Class A | 268,420 | 3,189 |
| | Whitestone REIT | 366,556 | 2,665 |
| | Hersha Hospitality Trust Class A | 264,116 | 1,521 |
| | Chatham Lodging Trust | 210,600 | 1,289 |
| | Washington Prime Group Inc. | 976,311 | 821 |
| | Pennsylvania REIT | 298,268 | 406 |
| | Cedar Realty Trust Inc. | 64,700 | 64 |
| | | | | | | 440,528 |
| Utilities (2.1%) |
| | American States Water Co. | 300,912 | 23,661 |
| | South Jersey Industries Inc. | 877,302 | 21,924 |
| | Avista Corp. | 599,477 | 21,815 |
| | California Water Service Group | 401,975 | 19,174 |
| | El Paso Electric Co. | 260,889 | 17,479 |
| | Northwest Natural Holding Co. | 260,800 | 14,550 |
| | | | | | | 118,603 |
Total Common Stocks
(Cost $4,364,823) | 5,576,734 |
| Preferred Stocks (0.0%) |
| | WESCO International Inc. Pfd., 10.625%, 6/22/25
(Cost $1,951) | 73,629 | 1,953 |
| Temporary Cash Investments (0.3%) |
| Money Market Fund (0.3%) |
| 2 | Vanguard Market Liquidity Fund , 0.227% | 131,531 | 13,153 |
| | | | | | Face
Amount
($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 3 | United States Treasury Bill, 0.211%, 9/15/20 | 355 | 355 |
Tax-Managed Small-Cap Fund
| | | | | | Face
Amount
($000) | Market
Value•
($000) |
| 3 | United States Treasury Bill, 0.115%, 9/29/20 | 200 | 200 |
| | | | | | | 555 |
Total Temporary Cash Investments
(Cost $13,708) | 13,708 |
Total Investments (99.9%)
(Cost $4,380,482) | | 5,592,395 |
| Other Assets and Liabilities-Net (0.1%) | | 8,131 |
| Net Assets (100%) | | 5,600,526 |
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Security value determined using significant unobservable inputs. |
| 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 | Securities with a value of $555,000 have been segregated as initial margin for open futures contracts. |
| | 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 | September 2020 | 331 | 23,792 | 798 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
Statement of Assets and Liabilities
|
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $4,367,329) | 5,579,242 |
| Affiliated Issuers (Cost $13,153) | 13,153 |
| Total Investments in Securities | 5,592,395 |
| Investment in Vanguard | 248 |
| Cash | 4,855 |
| Cash Collateral Pledged—Futures Contracts | 1,756 |
| Receivables for Investment Securities Sold | 31,046 |
| Receivables for Accrued Income | 5,606 |
| Receivables for Capital Shares Issued | 881 |
| Variation Margin Receivable—Futures Contracts | 258 |
| Total Assets | 5,637,045 |
| Liabilities | |
| Payables for Investment Securities Purchased | 32,839 |
| Payables for Capital Shares Redeemed | 3,430 |
| Payables to Vanguard | 250 |
| Total Liabilities | 36,519 |
| Net Assets | 5,600,526 |
| At June 30, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 5,147,111 |
| Total Distributable Earnings (Loss) | 453,415 |
| Net Assets | 5,600,526 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 92,558,839 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,129,120 |
| Net Asset Value Per Share—Admiral Shares | $55.41 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 8,487,761 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 471,406 |
| Net Asset Value Per Share—Institutional Shares | $55.54 |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
|
| | Six Months Ended
June 30, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers | 38,573 |
| Dividends—Affiliated Issuers | — |
| Interest—Unaffiliated Issuers | 3 |
| Interest—Affiliated Issuers | 55 |
| Total Income | 38,631 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 429 |
| Management and Administrative—Admiral Shares | 1,780 |
| Management and Administrative—Institutional Shares | 99 |
| Marketing and Distribution—Admiral Shares | 146 |
| Marketing and Distribution—Institutional Shares | 5 |
| Custodian Fees | 17 |
| Shareholders’ Reports—Admiral Shares | 36 |
| Shareholders’ Reports—Institutional Shares | 2 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,516 |
| Net Investment Income | 36,115 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold—Unaffiliated Issuers1 | (250,563) |
| Investment Securities Sold—Affiliated Issuers | (66,264) |
| Futures Contracts | 51 |
| Realized Net Gain (Loss) | (316,776) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers | (1,017,328) |
| Investment Securities—Affiliated Issuers | 4,488 |
| Futures Contracts | 741 |
| Change in Unrealized Appreciation (Depreciation) | (1,012,099) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (1,292,760) |
| 1 | Includes $93,667,000 of the net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
Statement of Changes in Net Assets
|
| | Six Months Ended
June 30,
2020 | | Year Ended
December 31,
2019 |
| | ($000) | | ($000) |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 36,115 | | 80,873 |
| Realized Net Gain (Loss) | (316,776) | | 145,349 |
| Change in Unrealized Appreciation (Depreciation) | (1,012,099) | | 1,119,748 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (1,292,760) | | 1,345,970 |
| Distributions1 | | | |
| Admiral Shares | (28,800) | | (74,592) |
| Institutional Shares | (2,710) | | (6,814) |
| Total Distributions | (31,510) | | (81,406) |
| Capital Share Transactions | | | |
| Admiral Shares | (161,782) | | 41,266 |
| Institutional Shares | (12,739) | | 16,943 |
| Net Increase (Decrease) from Capital Share Transactions | (174,521) | | 58,209 |
| Total Increase (Decrease) | (1,498,791) | | 1,322,773 |
| Net Assets | | | |
| Beginning of Period | 7,099,317 | | 5,776,544 |
| End of Period | 5,600,526 | | 7,099,317 |
| 1 | Certain prior period numbers have been reclassed to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
| Admiral Shares | | | | | | |
For a Share Outstanding
Throughout Each Period | Six Months
Ended
June 30,
2020 | Year Ended December 31, |
| 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $67.84 | $55.70 | $61.63 | $55.16 | $44.37 | $45.78 |
| Investment Operations | | | | | | |
| Net Investment Income | .3501 | .7721 | .7371 | .6661 | .558 | .556 |
| Net Realized and Unrealized Gain (Loss) on Investments | (12.471) | 12.146 | (5.965) | 6.486 | 10.788 | (1.406) |
| Total from Investment Operations | (12.121) | 12.918 | (5.228) | 7.152 | 11.346 | (.850) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.309) | (.778) | (.702) | (.664) | (.556) | (.560) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Return of Capital | — | — | — | (.018) | — | — |
| Total Distributions | (.309) | (.778) | (.702) | (.682) | (.556) | (.560) |
| Net Asset Value, End of Period | $55.41 | $67.84 | $55.70 | $61.63 | $55.16 | $44.37 |
| Total Return2 | -17.81% | 23.28% | -8.62% | 13.05% | 25.73% | -1.85% |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $5,129 | $6,506 | $5,304 | $5,428 | $4,671 | $3,419 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.11% |
| Ratio of Net Investment Income to Average Net Assets | 1.34% | 1.23% | 1.13% | 1.17% | 1.19% | 1.21% |
| Portfolio Turnover Rate3 | 26% | 53% | 29% | 37% | 45% | 33% |
| The expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
| Institutional Shares | | | | | | |
For a Share Outstanding
Throughout Each Period | Six Months
Ended
June 30,
2020 | Year Ended December 31, |
| 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $67.99 | $55.83 | $61.77 | $55.29 | $44.47 | $45.88 |
| Investment Operations | | | | | | |
| Net Investment Income | .3591 | .7941 | .7551 | .6931 | .572 | .576 |
| Net Realized and Unrealized Gain (Loss) on Investments | (12.490) | 12.164 | (5.972) | 6.488 | 10.818 | (1.406) |
| Total from Investment Operations | (12.131) | 12.958 | (5.217) | 7.181 | 11.390 | (.830) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.319) | (.798) | (.723) | (.683) | (.570) | (.580) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Return of Capital | — | — | — | (.018) | — | — |
| Total Distributions | (.319) | (.798) | (.723) | (.701) | (.570) | (.580) |
| Net Asset Value, End of Period | $55.54 | $67.99 | $55.83 | $61.77 | $55.29 | $44.47 |
| Total Return | -17.78% | 23.30% | -8.59% | 13.08% | 25.78% | -1.80% |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $471 | $593 | $473 | $492 | $379 | $276 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.38% | 1.26% | 1.16% | 1.20% | 1.22% | 1.25% |
| Portfolio Turnover Rate2 | 26% | 53% | 29% | 37% | 45% | 33% |
| The expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed Small-Cap Fund
Notes to Financial Statements
Vanguard Tax-Managed Small-Cap Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Admiral Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. 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. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended June 30, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
Tax-Managed Small-Cap Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and for the period ended June 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended June 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
Tax-Managed Small-Cap Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2020, the fund had contributed to Vanguard capital in the amount of $248,000, representing less than 0.01% of the fund’s net assets and 0.10% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | Various inputs may be used to determine the value of the fund’s investments. 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 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 June 30, 2020, based on the inputs used to value them:
| | Level 1
($000) | Level 2
($000) | Level 3
($000) | Total
($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 5,576,734 | — | — | 5,576,734 |
| Preferred Stocks | 1,953 | — | — | 1,953 |
| Temporary Cash Investments | 13,153 | 555 | — | 13,708 |
| Total | 5,591,840 | 555 | — | 5,592,395 |
| | | | |
| Derivative Financial Instruments | | | | |
| Assets | | | | |
| Futures Contracts1 | 258 | — | — | 258 |
| 1 | Represents variation margin on the last day of the reporting period. |
Tax-Managed Small-Cap Fund
| D. | As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
| | Amount
($000) |
| Tax Cost | 4,399,184 |
| Gross Unrealized Appreciation | 1,732,847 |
| Gross Unrealized Depreciation | (538,838) |
| Net Unrealized Appreciation (Depreciation) | 1,194,009 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2019, the fund had available capital losses totaling $446,348,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
| E. | During the six months ended June 30, 2020, the fund purchased $1,492,401,000 of investment securities and sold $1,666,983,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $170,390,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
| F. | Capital share transactions for each class of shares were: |
| | Six Months Ended
June 30, 2020 | | Year Ended
December 31, 2019 |
| | Amount
($000) | Shares
(000) | | Amount
($000) | Shares
(000) |
| Admiral Shares | | | | | |
| Issued | 639,195 | 12,121 | | 1,173,529 | 18,603 |
| Issued in Lieu of Cash Distributions | 20,675 | 423 | | 55,426 | 865 |
| Redeemed | (821,652) | (15,889) | | (1,187,689) | (18,781) |
| Net Increase (Decrease)—Admiral Shares | (161,782) | (3,345) | | 41,266 | 687 |
| Institutional Shares | | | | | |
| Issued | 32,416 | 617 | | 46,891 | 735 |
| Issued in Lieu of Cash Distributions | 1,740 | 35 | | 4,214 | 66 |
| Redeemed | (46,895) | (893) | | (34,162) | (540) |
| Net Increase (Decrease)—Institutional Shares | (12,739) | (241) | | 16,943 | 261 |
Tax-Managed Small-Cap Fund
| G. | Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows: |
| | | Current Period Transactions | |
| | Dec. 31, 2019
Market Value
($000) | Purchases
at Cost
($000) | Proceeds
from
Securities
Sold
($000) | Realized
Net Gain
(Loss)
($000) | Change in
Unrealized
App. (Dep.)
($000) | Income
($000) | Capital Gain
Distributions
Received
($000) | Jun. 30, 2020
Market Value
($000) |
| Vanguard Market Liquidity Fund | 6,697 | NA1 | NA1 | 10 | — | 55 | — | 13,153 |
| Vanguard Real Estate ETF | 324,765 | 288,967 | (551,946) | (66,274) | 4,488 | — | — | — |
| Total | 331,462 | 288,967 | (551,946) | (66,264) | 4,488 | 55 | — | 13,153 |
| 1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
| H. | Management has determined that no events or transactions occurred subsequent to June 30, 2020, that would require recognition or disclosure in these financial statements. |
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund, and Vanguard Tax-Managed Small-Cap Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index and Fixed Income Groups. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. Both the Equity Index Group and the Fixed Income Group adhere to sound, disciplined investment management processes; each group’s management team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also well below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Tax-Managed Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund, and Vanguard Tax-Managed Small-Cap Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q1032 082020
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| Semiannual Report | June 30, 2020 |
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| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| | |
| About Your Fund’s Expenses | 1 |
| | |
| Financial Statements | 4 |
| | |
| Trustees Approve Advisory Arrangement | 30 |
| | |
| Liquidity Risk Management | 32 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended June 30, 2020
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Developed Markets Index Fund | 12/31/2019 | 6/30/2020 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $891.90 | $0.75 |
| FTSE Developed Markets ETF Shares | 1,000.00 | 892.54 | 0.24 |
| Admiral™ Shares | 1,000.00 | 892.39 | 0.33 |
| Institutional Shares | 1,000.00 | 892.64 | 0.24 |
| Institutional Plus Shares | 1,000.00 | 892.39 | 0.19 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $974.07 | $0.79 |
| FTSE Developed Markets ETF Shares | 1,000.00 | 974.61 | 0.25 |
| Admiral Shares | 1,000.00 | 974.52 | 0.34 |
| Institutional Shares | 1,000.00 | 974.61 | 0.25 |
| Institutional Plus Shares | 1,000.00 | 974.66 | 0.20 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.16% for Investor Shares, 0.05% for FTSE Developed Markets ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
Developed Markets Index Fund
Fund Allocation
As of June 30, 2020
| Basic Materials | | | 7.2 | % |
| Consumer Goods | | | 16.0 | |
| Consumer Services | | | 7.8 | |
| Financials | | | 20.3 | |
| Health Care | | | 12.4 | |
| Industrials | | | 16.3 | |
| Oil & Gas | | | 4.3 | |
| Technology | | | 8.8 | |
| Telecommunications | | | 3.3 | |
| Utilities | | | 3.6 | |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Developed Markets Index Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of June 30, 2020
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market | Percentage | |
| | | | Value• | of Net | |
| | | Shares | ($000) | Assets | |
| Common Stocks | | | | |
| Australia | | | | |
| | CSL Ltd. | 2,884,226 | 573,643 | 0.5% | |
| | Commonwealth Bank of Australia | 11,263,567 | 543,969 | 0.5% | |
| | BHP Group Ltd. | 18,737,690 | 466,531 | 0.4% | |
| §,1 | Australia—Other † | | 5,359,788 | 4.8% | |
| | | | 6,943,931 | 6.2% | |
| | | | | | |
| 1Austria † | | 241,305 | 0.2% | |
| | | | | |
| Belgium † | | 995,099 | 0.9% | |
| | | | | |
| Brazil † | | 5,388 | 0.0% | |
| | | | | |
| Canada | | | | |
| * | Shopify Inc. Class A | 661,668 | 628,609 | 0.6% | |
| | Royal Bank of Canada | 9,069,205 | 615,324 | 0.5% | |
| | Toronto-Dominion Bank | 11,513,972 | 513,871 | 0.4% | |
| | Canadian National Railway Co. | 4,529,985 | 400,778 | 0.4% | |
| | Enbridge Inc. (XTSE) | 12,792,282 | 388,970 | 0.4% | |
| | Bank of Nova Scotia | 7,695,817 | 318,467 | 0.3% | |
| §,1 | Canada—Other † | | 6,623,023 | 5.9% | |
| | | | 9,489,042 | 8.5% | |
| Denmark | | | | |
| | Novo Nordisk A/S Class B | 10,264,663 | 668,720 | 0.6% | |
| 1 | Denmark—Other † | | 1,413,861 | 1.3% | |
| | | | 2,082,581 | 1.9% | |
| | | | | | |
| Finland † | | 1,222,509 | 1.1% | |
Developed Markets Index Fund
| | | | Market | Percentage | |
| | | | Value• | of Net | |
| | | Shares | ($000) | Assets | |
| France | | | | |
| | Sanofi | 6,926,139 | 706,365 | 0.6% | |
| | LVMH Moet Hennessy Louis Vuitton SE | 1,584,074 | 699,366 | 0.6% | |
| ^ | Total SA | 15,092,568 | 581,949 | 0.5% | |
| | Schneider Electric SE | 3,345,354 | 372,129 | 0.4% | |
| §,1 | France—Other † | | 6,744,543 | 6.0% | |
| | | | 9,104,352 | 8.1% | |
| Germany | | | | |
| | SAP SE | 7,134,707 | 997,364 | 0.9% | |
| | Siemens AG | 4,861,018 | 573,299 | 0.5% | |
| | Allianz SE | 2,641,910 | 539,858 | 0.5% | |
| | Bayer AG | 6,254,500 | 463,609 | 0.4% | |
| | Deutsche Telekom AG | 20,543,797 | 344,712 | 0.3% | |
| | Basf Se | 5,823,063 | 327,080 | 0.3% | |
| * | adidas AG | 1,223,662 | 322,623 | 0.3% | |
| 1 | Germany—Other † | | 4,924,862 | 4.4% | |
| | | | 8,493,407 | 7.6% | |
| Hong Kong | | | | |
| | AIA Group Ltd. | 76,937,877 | 719,954 | 0.6% | |
| | Hong Kong Exchanges & Clearing Ltd. | 8,071,078 | 343,761 | 0.3% | |
| §,1 | Hong Kong—Other † | | 2,392,592 | 2.2% | |
| | | | 3,456,307 | 3.1% | |
| | | | | | |
| §Ireland † | | 265,835 | 0.2% | |
| | | | | |
| Israel † | | 510,110 | 0.4% | |
| | | | | |
| Italy | | | | |
| | Enel SPA | 49,451,947 | 427,685 | 0.4% | |
| 1 | Italy—Other † | | 1,864,202 | 1.7% | |
| | | 2,291,887 | 2.1% | |
| Japan | | | | |
| | Toyota Motor Corp. | 15,639,672 | 983,487 | 0.9% | |
| | Sony Corp. | 7,758,284 | 535,556 | 0.5% | |
| | SoftBank Group Corp. | 10,276,066 | 518,198 | 0.4% | |
| | Keyence Corp. | 1,145,474 | 480,024 | 0.4% | |
| | Daiichi Sankyo Co. Ltd. | 4,042,133 | 330,613 | 0.3% | |
| | KDDI Corp. | 10,791,458 | 321,986 | 0.3% | |
| | Takeda Pharmaceutical Co. Ltd. | 8,726,831 | 313,537 | 0.3% | |
| | Chugai Pharmaceutical Co. Ltd. | 4,131,909 | 221,222 | 0.2% | |
| | Japan—Other † | | 21,486,976 | 19.2% | |
| | | | 25,191,599 | 22.5% | |
| | | | | | |
| Netherlands | | | | |
| | ASML Holding NV | 2,536,959 | 928,059 | 0.8% | |
| | Unilever NV | 9,236,299 | 492,462 | 0.4% | |
| 1 | Netherlands—Other † | | 2,473,222 | 2.3% | |
| | | | 3,893,743 | 3.5% | |
| | | | | | |
| New Zealand † | | 423,949 | 0.4% | |
| | | | | |
| 1Norway † | | 714,159 | 0.6% | |
Developed Markets Index Fund
| | | | Market | Percentage | |
| | | | Value• | of Net | |
| | | Shares | ($000) | Assets | |
| 1Poland † | | 295,972 | 0.3% | |
| | | | | |
| Portugal † | | 193,390 | 0.2% | |
| | | | | |
| §Singapore † | | 1,184,090 | 1.1% | |
| | | | | |
| South Korea | | | | |
| | Samsung Electronics Co. Ltd. | 28,444,162 | 1,259,156 | 1.1% | |
| | Samsung Electronics Co. Ltd. Preference Shares | 4,349,424 | 169,429 | 0.1% | |
| | Samsung Electronics Co. Ltd. GDR | 88,765 | 97,039 | 0.1% | |
| §,1 | South Korea—Other † | | 3,407,809 | 3.1% | |
| | | | 4,933,433 | 4.4% | |
| Spain | | | | |
| * | Iberdrola SA | 37,425,627 | 436,935 | 0.4% | |
| 1 | Spain—Other † | | 1,813,301 | 1.6% | |
| | | | 2,250,236 | 2.0% | |
| | | | | | |
| 1Sweden † | | 3,163,116 | 2.8% | |
| | | | | |
| Switzerland | | | | |
| | Nestle SA | 18,329,780 | 2,032,234 | 1.8% | |
| | Roche Holding AG | 4,425,241 | 1,533,123 | 1.4% | |
| | Novartis AG | 13,669,634 | 1,190,913 | 1.0% | |
| | Zurich Insurance Group AG | 947,614 | 335,769 | 0.3% | |
| | Roche Holding AG (Bearer) | 171,860 | 59,189 | 0.1% | |
| §,1 | Switzerland—Other † | | 4,032,796 | 3.6% | |
| | | | 9,184,024 | 8.2% | |
| | | | | | |
| Taiwan † | | 17,625 | 0.0% | |
| | | | | |
| United Kingdom | | | | |
| | AstraZeneca plc | 8,350,241 | 869,054 | 0.8% | |
| | GlaxoSmithKline plc | 31,359,156 | 633,451 | 0.6% | |
| | HSBC Holdings plc | 129,584,125 | 602,259 | 0.5% | |
| | British American Tobacco plc | 14,163,206 | 543,204 | 0.5% | |
| | Diageo plc | 14,592,682 | 485,027 | 0.5% | |
| | BP plc | 126,120,690 | 483,178 | 0.4% | |
| | Royal Dutch Shell plc Class A | 26,085,886 | 417,672 | 0.4% | |
| | Rio Tinto plc | 6,902,570 | 388,456 | 0.4% | |
| | Unilever plc | 6,933,589 | 374,009 | 0.3% | |
| | Reckitt Benckiser Group plc | 4,012,261 | 369,125 | 0.3% | |
| | Royal Dutch Shell plc Class B | 23,594,079 | 357,696 | 0.3% | |
| §,1 | United Kingdom—Other † | | 8,429,579 | 7.5% | |
| | | | 13,952,710 | 12.5% | |
| Total Common Stocks (Cost $108,456,316) | | 110,499,799 | 98.8% | |
Developed Markets Index Fund
| | | | Market | Percentage | |
| | | | Value• | of Net | |
| | Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | | | | | |
| Money Market Fund | | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 0.227% | 34,749,559 | 3,474,956 | 3.1% | |
| | | | | | | |
| 4U.S. Government and Agency Obligations † | | | 182,972 | 0.1% | |
| Total Temporary Cash Investments (Cost $3,657,306) | | | 3,657,928 | 3.2% | |
| Total Investments (Cost $112,113,622) | | | 114,157,727 | 102.0% | |
| Other Assets and Liabilities—Net | | | (2,292,869) | (2.0% | ) |
| Net Assets | | | 111,864,858 | 100.0% | |
Cost is in $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,836,499,000. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| 1 | Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate value of these securities was $2,148,190,000, representing 1.9% of net assets. |
| 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 $2,975,423,000 was received for securities on loan, of which $2,957,250,000 is held in Vanguard Market Liquidity Fund and $18,173,000 is held in cash. |
| 4 | Securities with a value of $147,389,000 have been segregated as initial margin for open futures contracts. |
GDR—Global Depositary Receipt.
Developed Markets Index Fund
| Derivative Financial Instruments Outstanding as of Period End | | | | |
| | | | | |
| Futures Contracts | | | | | | |
| | | | | | ($000 | ) |
| | | | | | Value and | |
| | | Number of | | | Unrealized | |
| | | Long (Short) | | Notional | Appreciation | |
| | Expiration | Contracts | | Amount | (Depreciation | ) |
| Long Futures Contracts | | | | | | |
| Dow Jones EURO STOXX 50 Index | September 2020 | 11,911 | | 431,305 | 10,133 | |
| Topix Index | September 2020 | 2,570 | | 370,951 | (14,680 | ) |
| FTSE 100 Index | September 2020 | 2,988 | | 227,609 | 5,214 | |
| S&P/TSX 60 Index | September 2020 | 1,047 | | 143,214 | 2,484 | |
| S&P ASX 200 Index | September 2020 | 1,373 | | 139,568 | 1,079 | |
| E-mini S&P 500 Index | September 2020 | 130 | | 20,086 | (114 | ) |
| | | | | | 4,116 | |
| Forward Currency Contracts | | | | | | | | |
| | Contract | | | | | Unrealized | Unrealized | |
| | Settlement | | Contract Amount (000) | Appreciation | (Depreciation) | |
| Counterparty | Date | | Receive | | Deliver | ($000) | ($000) | |
| Royal Bank of Canada | 7/2/20 | USD | 26,945 | CHF | 26,010 | — | (506) | |
| Royal Bank of Canada | 7/2/20 | USD | 23,896 | JPY | 2,588,074 | — | (71) | |
| HSBC Bank USA, N.A. | 10/6/20 | USD | 23,572 | KRW | 28,362,514 | — | (28) | |
| Credit Suisse International | 10/6/20 | USD | 21,678 | CAD | 29,487 | — | (47) | |
| Credit Suisse International | 7/2/20 | USD | 19,147 | CAD | 27,032 | — | (765) | |
| JPMorgan Chase Bank, N.A. | 10/6/20 | USD | 12,215 | DKK | 81,202 | — | (56) | |
| JPMorgan Chase Bank, N.A. | 7/2/20 | USD | 11,792 | DKK | 81,202 | — | (451) | |
| Royal Bank of Canada | 10/6/20 | USD | 11,049 | JPY | 1,179,375 | 110 | — | |
| UBS AG | 7/2/20 | USD | 10,149 | EUR | 9,320 | — | (322) | |
| Credit Suisse International | 7/2/20 | USD | 9,179 | AUD | 14,477 | — | (812) | |
| BNP Paribas | 10/6/20 | USD | 7,433 | JPY | 792,882 | 79 | — | |
| Standard Chartered Bank | 10/6/20 | USD | 7,330 | GBP | 5,876 | 44 | — | |
| HSBC Bank USA, N.A. | 10/6/20 | USD | 7,171 | CAD | 9,818 | — | (62) | |
| UBS AG | 10/6/20 | USD | 6,117 | AUD | 8,852 | 7 | — | |
| Citibank, N.A. | 10/6/20 | USD | 5,593 | GBP | 4,524 | — | (16) | |
| UBS AG | 10/6/20 | USD | 4,930 | GBP | 4,017 | — | (50) | |
| HSBC Bank USA, N.A. | 10/6/20 | USD | 4,141 | HKD | 32,121 | — | (1) | |
| HSBC Bank USA, N.A. | 10/6/20 | USD | 3,783 | SEK | 35,217 | — | (1) | |
| Bank of America, N.A. | 7/2/20 | USD | 3,462 | SEK | 35,217 | — | (317) | |
| Citibank, N.A. | 7/2/20 | USD | 2,659 | CHF | 2,585 | — | (70) | |
| Royal Bank of Canada | 7/2/20 | USD | 2,236 | HKD | 17,374 | — | (5) | |
| HSBC Bank USA, N.A. | 7/2/20 | USD | 1,901 | HKD | 14,747 | — | (2) | |
| BNP Paribas | 7/2/20 | USD | 1,704 | SGD | 2,468 | — | (67) | |
Developed Markets Index Fund
Forward Currency Contracts (continued)
| | Contract | | | | | Unrealized | Unrealized | |
| | Settlement | | Contract Amount (000) | Appreciation | (Depreciation) | |
| Counterparty | Date | | Receive | | Deliver | ($000) | ($000) | |
| Bank of America, N.A. | 10/6/20 | USD | 1,649 | EUR | 1,461 | 4 | — | |
| BNP Paribas | 7/2/20 | USD | 718 | SGD | 1,000 | 1 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | EUR | 299,036 | USD | 323,916 | 12,053 | — | |
| Toronto-Dominion Bank | 10/6/20 | JPY | 31,805,095 | USD | 297,717 | — | (2,722) | |
| Royal Bank of Canada | 7/2/20 | JPY | 32,999,183 | USD | 297,476 | 8,142 | — | |
| Royal Bank of Canada | 10/6/20 | EUR | 221,201 | USD | 249,948 | — | (867) | |
| Morgan Stanley Capital Services LLC | 10/6/20 | EUR | 221,201 | USD | 249,473 | — | (391) | |
| Morgan Stanley Capital Services LLC | 10/6/20 | GBP | 191,958 | USD | 238,460 | — | (466) | |
| Royal Bank of Canada | 7/2/20 | EUR | 159,365 | USD | 176,052 | 2,997 | — | |
| Toronto-Dominion Bank | 10/6/20 | CAD | 235,212 | USD | 172,337 | 953 | — | |
| Toronto-Dominion Bank | 10/6/20 | AUD | 236,407 | USD | 162,089 | 1,100 | — | |
| Bank of America, N.A. | 7/2/20 | CHF | 134,639 | USD | 142,114 | — | (7) | |
| Royal Bank of Canada | 7/2/20 | CAD | 178,259 | USD | 124,180 | 7,126 | — | |
| BNP Paribas | 7/2/20 | GBP | 99,419 | USD | 123,119 | 73 | — | |
| JPMorgan Chase Bank, N.A. | 7/2/20 | AUD | 140,370 | USD | 86,039 | 10,831 | — | |
| Royal Bank of Canada | 7/2/20 | GBP | 42,690 | USD | 53,897 | — | (1,001) | |
| Credit Suisse International | 7/2/20 | CAD | 71,952 | USD | 50,891 | 2,108 | — | |
| Royal Bank of Canada | 7/2/20 | GBP | 39,569 | USD | 48,455 | 576 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | GBP | 39,167 | USD | 46,587 | 1,944 | — | |
| Royal Bank of Canada | 7/2/20 | JPY | 4,675,195 | USD | 43,930 | — | (631) | |
| Toronto-Dominion Bank | 7/2/20 | AUD | 69,637 | USD | 41,343 | 6,714 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | JPY | 4,290,377 | USD | 39,105 | 630 | — | |
| Toronto-Dominion Bank | 7/2/20 | JPY | 3,873,523 | USD | 36,417 | — | (543) | |
| JPMorgan Chase Bank, N.A. | 7/2/20 | EUR | 27,661 | USD | 31,276 | — | (199) | |
| BNP Paribas | 7/2/20 | JPY | 3,013,596 | USD | 27,982 | — | (72) | |
| Royal Bank of Canada | 7/2/20 | AUD | 40,876 | USD | 26,369 | 1,840 | — | |
| HSBC Bank USA, N.A. | 7/2/20 | KRW | 28,362,514 | USD | 23,551 | 28 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | EUR | 20,041 | USD | 22,657 | — | (141) | |
| BNP Paribas | 7/2/20 | KRW | 23,195,000 | USD | 19,030 | 253 | — | |
| Goldman Sachs International | 7/2/20 | GBP | 12,592 | USD | 15,983 | — | (381) | |
| UBS AG | 10/6/20 | JPY | 1,593,114 | USD | 14,874 | — | (98) | |
| JPMorgan Chase Bank, N.A. | 7/2/20 | DKK | 81,202 | USD | 12,187 | 56 | — | |
| UBS AG | 7/2/20 | JPY | 1,263,763 | USD | 11,740 | — | (36) | |
| UBS AG | 7/2/20 | CAD | 12,032 | USD | 8,568 | 295 | — | |
| Citibank, N.A. | 7/2/20 | KRW | 7,971,739 | USD | 6,493 | 134 | — | |
| UBS AG | 7/2/20 | GBP | 4,140 | USD | 5,084 | 45 | — | |
Developed Markets Index Fund
| Forward Currency Contracts (continued) | | | | | | | |
| | Contract | | | | | Unrealized | Unrealized | |
| | Settlement | | Contract Amount (000) | Appreciation | (Depreciation) | |
| Counterparty | Date | | Receive | | Deliver | ($000) | ($000) | |
| HSBC Bank USA, N.A. | 7/2/20 | HKD | 32,121 | USD | 4,144 | — | — | |
| HSBC Bank USA, N.A. | 7/2/20 | SEK | 35,217 | USD | 3,778 | 1 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | GBP | 2,151 | USD | 2,732 | — | (67) | |
| UBS AG | 7/2/20 | KRW | 2,378,579 | USD | 1,940 | 38 | — | |
| State Street Bank & Trust Co. | 7/2/20 | SGD | 2,468 | USD | 1,741 | 29 | — | |
| Bank of America, N.A. | 7/2/20 | EUR | 774 | USD | 853 | 17 | — | |
| Toronto-Dominion Bank | 10/6/20 | KRW | 1,006,014 | USD | 831 | 6 | — | |
| BNP Paribas | 10/6/20 | SGD | 1,000 | USD | 719 | — | (1) | |
| Royal Bank of Canada | 7/2/20 | SGD | 1,000 | USD | 696 | 22 | — | |
| Toronto-Dominion Bank | 7/2/20 | USD | 255,469 | JPY | 27,299,382 | 2,638 | — | |
| Royal Bank of Canada | 7/2/20 | USD | 249,404 | EUR | 221,201 | 883 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | USD | 248,918 | EUR | 221,201 | 397 | — | |
| Morgan Stanley Capital Services LLC | 7/2/20 | USD | 238,336 | GBP | 191,958 | 478 | — | |
| Toronto-Dominion Bank | 7/2/20 | USD | 172,314 | CAD | 235,212 | — | (941) | |
| Toronto-Dominion Bank | 7/2/20 | USD | 162,048 | AUD | 236,407 | — | (1,098) | |
| Bank of America, N.A. | 10/6/20 | USD | 142,514 | CHF | 134,639 | — | (24) | |
| JPMorgan Chase Bank, N.A. | 7/2/20 | USD | 134,734 | JPY | 14,491,876 | 519 | — | |
| Citibank, N.A. | 10/6/20 | USD | 116,289 | EUR | 103,715 | — | (500) | |
| Bank of America, N.A. | 7/2/20 | USD | 108,629 | CHF | 106,043 | — | (3,296) | |
| Credit Suisse International | 7/2/20 | USD | 59,525 | GBP | 47,769 | 335 | — | |
| Credit Suisse International | 7/2/20 | USD | 53,308 | JPY | 5,736,305 | 181 | — | |
| BNP Paribas | 7/2/20 | USD | 50,604 | KRW | 61,907,833 | — | (864) | |
| Credit Suisse International | 7/2/20 | USD | 30,735 | EUR | 28,259 | — | (1,015) | |
| Royal Bank of Canada | 7/2/20 | USD | 29,137 | EUR | 26,896 | — | (1,080) | |
| Credit Suisse International | 10/6/20 | USD | 27,646 | AUD | 40,377 | — | (226) | |
| | | | | | | 63,687 | (20,316) | |
AUD—Australian dollar.
CAD—Canadian dollar.
CHF—Swiss franc.
DKK—Danish krone.
EUR—euro.
GBP—British pound.
HKD—Hong Kong dollar.
JPY—Japanese yen.
KRW—Korean won.
SEK—Swedish krona.
SGD—Singapore dollar.
USD—U.S. dollar.
At June 30, 2020, the counterparties had deposited in segregated accounts securities with a value of $9,874,000 and cash of $36,260,000 in connection with open forward currency contracts.
Developed Markets Index Fund
| Over-the-Counter Total Return Swaps | | | | | | |
| | | | | Floating | | | |
| | | | | Interest | | | |
| | | | | Rate | Value and | Value and | |
| | | | Notional | Received | Unrealized | Unrealized | |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) | |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | |
| Northview Apartment REIT | 9/2/21 | BOANA | 302 | (1.132) | 173 | — | |
| 1 | Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
BOANA—Bank of America, N.A.
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
| Statement of Assets and Liabilities | | |
| As of June 30, 2020 | | |
| | | |
| ($000s, except shares and per-share amounts) | Amount | |
| Assets | | |
| Investments in Securities, at Value | | |
| Unaffiliated Issuers (Cost $108,639,293) | 110,682,771 | |
| Affiliated Issuers (Cost $3,474,329) | 3,474,956 | |
| Total Investments in Securities | 114,157,727 | |
| Investment in Vanguard | 4,979 | |
| Cash | 18,173 | |
| Cash Collateral Pledged—Forward Currency Contracts | 5,710 | |
| Foreign Currency, at Value (Cost $170,330) | 170,407 | |
| Receivables for Investment Securities Sold | 71,558 | |
| Receivables for Accrued Income | 327,543 | |
| Receivables for Capital Shares Issued | 90,326 | |
| Variation Margin Receivable—Futures Contracts | 14,765 | |
| Unrealized Appreciation—Forward Currency Contracts | 63,687 | |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 173 | |
| Total Assets | 114,925,048 | |
| Liabilities | | |
| Due to Custodian | 773 | |
| Payables for Investment Securities Purchased | 5,164 | |
| Collateral for Securities on Loan | 2,975,423 | |
| Payables for Capital Shares Redeemed | 47,599 | |
| Payables to Vanguard | 3,028 | |
| Variation Margin Payable—Futures Contracts | 7,887 | |
| Unrealized Depreciation—Forward Currency Contracts | 20,316 | |
| Total Liabilities | 3,060,190 | |
| Net Assets | 111,864,858 | |
Developed Markets Index Fund
| Statement of Assets and Liabilities (continued) | | |
| | | |
| | | |
| At June 30, 2020, net assets consisted of: | | |
| | | |
| ($000s, except shares and per-share amounts) | Amount | |
| Paid-in Capital | 112,165,570 | |
| Total Distributable Earnings (Loss) | (300,712 | ) |
| Net Assets | 111,864,858 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 4,948,039 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 47,888 | |
| Net Asset Value Per Share—Investor Shares | $9.68 | |
| | | |
| ETF Shares—Net Assets | | |
| Applicable to 1,801,012,194 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 70,016,107 | |
| Net Asset Value Per Share—ETF Shares | $38.88 | |
| | | |
| Admiral Shares—Net Assets | | |
| Applicable to 1,408,327,180 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,601,606 | |
| Net Asset Value Per Share—Admiral Shares | $12.50 | |
| | | |
| Institutional Shares—Net Assets | | |
| Applicable to 918,407,868 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,494,110 | |
| Net Asset Value Per Share—Institutional Shares | $12.52 | |
| | | |
| Institutional Plus Shares—Net Assets | | |
| Applicable to 649,494,460 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,705,147 | |
| Net Asset Value Per Share—Institutional Plus Shares | $19.56 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Statement of Operations
| | Six Months Ended | |
| | June 30, 2020 | |
| | ($000 | ) |
| Investment Income |
| Income |
| Dividends1 | 1,572,039 | |
| Interest2 | 4,282 | |
| Securities Lending—Net | 32,143 | |
| Total Income | 1,608,464 | |
| Expenses |
| The Vanguard Group—Note B |
| Investment Advisory Services | 1,959 | |
| Management and Administrative—Investor Shares | 34 | |
| Management and Administrative—ETF Shares | 12,947 | |
| Management and Administrative—Admiral Shares | 4,870 | |
| Management and Administrative—Institutional Shares | 2,174 | |
| Management and Administrative—Institutional Plus Shares | 1,940 | |
| Marketing and Distribution—Investor Shares | 3 | |
| Marketing and Distribution—ETF Shares | 1,242 | |
| Marketing and Distribution—Admiral Shares | 572 | |
| Marketing and Distribution—Institutional Shares | 193 | |
| Marketing and Distribution—Institutional Plus Shares | 92 | |
| Custodian Fees | 1,738 | |
| Shareholders’ Reports—Investor Shares | — | |
| Shareholders’ Reports—ETF Shares | 943 | |
| Shareholders’ Reports—Admiral Shares | 88 | |
| Shareholders’ Reports—Institutional Shares | 27 | |
| Shareholders’ Reports—Institutional Plus Shares | 20 | |
| Trustees’ Fees and Expenses | 36 | |
| Total Expenses | 28,878 | |
| Net Investment Income | 1,579,586 | |
| Realized Net Gain (Loss) |
| Investment Securities Sold2,3 | 132,757 | |
| Futures Contracts | (114,137 | ) |
| Swap Contracts | 322 | |
| Forward Currency Contracts | (53,031 | ) |
| Foreign Currencies | 4,711 | |
| Realized Net Gain (Loss) | (29,378 | ) |
| Change in Unrealized Appreciation (Depreciation) |
| Investment Securities2 | (15,753,159 | ) |
Developed Markets Index Fund
| Statement of Operations (continued) | | |
| | Six Months Ended | |
| | June 30, 2020 | |
| | ($000 | ) |
| Futures Contracts | 9,257 | |
| Swap Contracts | 173 | |
| Forward Currency Contracts | 41,756 | |
| Foreign Currencies | 1,488 | |
| Change in Unrealized Appreciation (Depreciation) | (15,700,485 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (14,150,277 | ) |
| 1 | Dividends are net of foreign withholding taxes of $174,951,000. |
| 2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,903,000, $64,000, and $311,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $844,085,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Statement of Changes in Net Assets
| | Six Months Ended | | | Year Ended | |
| | June 30, | | | December 31, | |
| | 2020 | | | 2019 | |
| | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | |
| Operations | | | | | |
| Net Investment Income | 1,579,586 | | | 3,542,323 | |
| Realized Net Gain (Loss) | (29,378 | ) | | 406,853 | |
| Change in Unrealized Appreciation (Depreciation) | (15,700,485 | ) | | 18,361,861 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (14,150,277 | ) | | 22,311,037 | |
| Distributions1 | | | | | |
| Investor Shares | (380 | ) | | (10,790 | ) |
| ETF Shares | (599,720 | ) | | (2,348,574 | ) |
| Admiral Shares | (148,739 | ) | | (582,985 | ) |
| Institutional Shares | (96,230 | ) | | (382,469 | ) |
| Institutional Plus Shares | (107,975 | ) | | (383,483 | ) |
| Total Distributions | (953,044 | ) | | (3,708,301 | ) |
| Capital Share Transactions | | | | | |
| Investor Shares | (5,246 | ) | | (756,257 | ) |
| ETF Shares | 984,935 | | | 1,759,759 | |
| Admiral Shares | (151,043 | ) | | 2,025,678 | |
| Institutional Shares | 473,032 | | | 158,120 | |
| Institutional Plus Shares | 471,991 | | | 2,699,458 | |
| Net Increase (Decrease) from Capital Share Transactions | 1,773,669 | | | 5,886,758 | |
| Total Increase (Decrease) | (13,329,652 | ) | | 24,489,494 | |
| Net Assets | | | | | |
| Beginning of Period | 125,194,510 | | | 100,705,016 | |
| End of Period | 111,864,858 | | | 125,194,510 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Financial Highlights
| Investor Shares | | | | | | | |
| | | | | | | | |
| | Six Months | | | | | | |
| | Ended | | | | | | |
| For a Share Outstanding | June 30, | | | | Year Ended December 31, |
| Throughout Each Period | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $10.95 | | $9.26 | $11.16 | $9.09 | $9.15 | $9.42 |
| Investment Operations | | | | | | | |
| Net Investment Income | .1301 | | .3611 | .3121 | .2841 | .262 | .261 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.323) | | 1.651 | (1.914) | 2.086 | (.054) | (.276) |
| Total from Investment Operations | (1.193) | | 2.012 | (1.602) | 2.370 | .208 | (.015) |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.077) | | (.322) | (.298) | (.300) | (.268) | (.255) |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — |
| Total Distributions | (.077) | | (.322) | (.298) | (.300) | (.268) | (.255) |
| Net Asset Value, End of Period | $9.68 | | $10.95 | $9.26 | $11.16 | $9.09 | $9.15 |
| | | | | | | | |
| Total Return2 | -10.81% | | 21.96% | -14.56% | 26.31% | 2.36% | -0.29% |
| | | | | | | | |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $48 | | $59 | $731 | $950 | $875 | $1,040 |
| Ratio of Total Expenses to Average Net Assets | 0.16% | | 0.16% | 0.16% | 0.17% | 0.17% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 2.72% | | 3.56% | 2.89% | 2.71% | 3.00% | 2.73% |
| Portfolio Turnover Rate3 | 1% | | 2% | 3% | 3% | 11% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Financial Highlights
| FTSE Developed Markets ETF Shares | | | | | | | |
| | Six Months | | | | | | |
| | Ended | | | | | | |
| For a Share Outstanding | June 30, | | | | Year Ended December 31, |
| Throughout Each Period | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $43.98 | | $37.20 | $44.83 | $36.51 | $36.75 | $37.85 |
| Investment Operations | | | | | | | |
| Net Investment Income | .5451 | | 1.2891 | 1.2911 | 1.1661 | 1.090 | 1.096 |
| Net Realized and Unrealized Gain (Loss) on Investments | (5.316) | | 6.831 | (7.677) | 8.397 | (.216) | (1.125) |
| Total from Investment Operations | (4.771) | | 8.120 | (6.386) | 9.563 | .874 | (.029) |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.329) | | (1.340) | (1.244) | (1.243) | (1.114) | (1.071) |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — |
| Total Distributions | (.329) | | (1.340) | (1.244) | (1.243) | (1.114) | (1.071) |
| Net Asset Value, End of Period | $38.88 | | $43.98 | $37.20 | $44.83 | $36.51 | $36.75 |
| | | | | | | | |
| Total Return | -10.75% | | 22.08% | -14.47% | 26.44% | 2.51% | -0.21% |
| | | | | | | | |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $70,016 | | $78,752 | $65,139 | $68,406 | $40,243 | $29,288 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | | 0.05% | 0.05% | 0.07% | 0.07% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 2.85% | | 3.13% | 3.00% | 2.81% | 3.10% | 2.84% |
| Portfolio Turnover Rate2 | 1% | | 2% | 3% | 3% | 11% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Financial Highlights
| Admiral Shares | | | | | | | |
| | Six Months | | | | | | |
| | Ended | | | | | | |
| For a Share Outstanding | June 30, | | | | Year Ended December 31, |
| Throughout Each Period | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $14.14 | | $11.96 | $14.41 | $11.74 | $11.82 | $12.17 |
| Investment Operations | | | | | | | |
| Net Investment Income | .1741 | | .4101 | .4121 | .3751 | .350 | .352 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.709) | | 2.198 | (2.464) | 2.695 | (.071) | (.358) |
| Total from Investment Operations | (1.535) | | 2.608 | (2.052) | 3.070 | .279 | (.006) |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.105) | | (.428) | (.398) | (.400) | (.359) | (.344) |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — |
| Total Distributions | (.105) | | (.428) | (.398) | (.400) | (.359) | (.344) |
| Net Asset Value, End of Period | $12.50 | | $14.14 | $11.96 | $14.41 | $11.74 | $11.82 |
| | | | | | | | |
| Total Return2 | -10.76% | | 22.05% | -14.46% | 26.40% | 2.45% | -0.18% |
| | | | | | | | |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $17,602 | | $20,143 | $15,209 | $15,180 | $9,702 | $7,921 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | | 0.07% | 0.07% | 0.07% | 0.07% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 2.82% | | 3.10% | 2.98% | 2.81% | 3.10% | 2.84% |
| Portfolio Turnover Rate3 | 1% | | 2% | 3% | 3% | 11% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Financial Highlights
| Institutional Shares | | | | | | | |
| | Six Months | | | | | | |
| | Ended | | | | | | |
| For a Share Outstanding | June 30, | | | | Year Ended December 31, |
| Throughout Each Period | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $14.16 | | $11.97 | $14.43 | $11.75 | $11.83 | $12.18 |
| Investment Operations | | | | | | | |
| Net Investment Income | .1751 | | .4171 | .4161 | .3791 | .352 | .354 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.709) | | 2.205 | (2.475) | 2.701 | (.072) | (.358) |
| Total from Investment Operations | (1.534) | | 2.622 | (2.059) | 3.080 | .280 | (.004) |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.106) | | (.432) | (.401) | (.400) | (.360) | (.346) |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — |
| Total Distributions | (.106) | | (.432) | (.401) | (.400) | (.360) | (.346) |
| Net Asset Value, End of Period | $12.52 | | $14.16 | $11.97 | $14.43 | $11.75 | $11.83 |
| | | | | | | | |
| Total Return | -10.74% | | 22.14% | -14.49% | 26.46% | 2.46% | -0.17% |
| | | | | | | | |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $11,494 | | $12,449 | $10,361 | $11,998 | $9,092 | $8,093 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | | 0.05% | 0.05% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.84% | | 3.15% | 3.00% | 2.82% | 3.11% | 2.86% |
| Portfolio Turnover Rate2 | 1% | | 2% | 3% | 3% | 11% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Financial Highlights
| Institutional Plus Shares | | | | | | | |
| | Six Months | | | | | | |
| | Ended | | | | | | |
| For a Share Outstanding | June 30, | | | | Year Ended December 31, |
| Throughout Each Period | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $22.13 | | $18.72 | $22.56 | $18.37 | $18.49 | $19.05 |
| Investment Operations | | | | | | | |
| Net Investment Income | .2751 | | .6471 | .6431 | .5971 | .552 | .558 |
| Net Realized and Unrealized Gain (Loss) on Investments | (2.678) | | 3.439 | (3.855) | 4.223 | (.107) | (.573) |
| Total from Investment Operations | (2.403) | | 4.086 | (3.212) | 4.820 | .445 | (.015) |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.167) | | (.676) | (.628) | (.630) | (.565) | (.545) |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — |
| Total Distributions | (.167) | | (.676) | (.628) | (.630) | (.565) | (.545) |
| Net Asset Value, End of Period | $19.56 | | $22.13 | $18.72 | $22.56 | $18.37 | $18.49 |
| | | | | | | | |
| Total Return | -10.76% | | 22.07% | -14.45% | 26.49% | 2.50% | -0.21% |
| | | | | | | | |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $12,705 | | $13,790 | $9,265 | $10,102 | $7,444 | $7,253 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | | 0.04% | 0.04% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 2.86% | | 3.12% | 3.01% | 2.83% | 3.12% | 2.87% |
| Portfolio Turnover Rate2 | 1% | | 2% | 3% | 3% | 11% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Developed Markets Index Fund
Notes to Financial Statements
Vanguard Developed Markets Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares, known as Vanguard FTSE Developed Markets ETF Shares, are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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 at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market-or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. 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.
Developed Markets Index Fund
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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended June 30, 2020, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts 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. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, 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 forward currency 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 assets 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 forward currency 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.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended June 30, 2020, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of the notional amounts at each quarter-end during the period.
Developed Markets Index Fund
5. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
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.
During the six months ended June 30, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and for the period ended June 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
7. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
Developed Markets Index Fund
8. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
9. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended June 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
Developed Markets Index Fund
10. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Withholding taxes on foreign dividends and capital gains have been provided for in accordance with the fund’s understanding of the applicable countries’ tax rules and rates. The fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Such tax reclaims received during the year, if any, are included in dividend income. No other amounts for additional tax reclaims are reflected in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2020, the fund had contributed to Vanguard capital in the amount of $4,979,000, representing less than 0.01% of the fund’s net assets and 1.99% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
Developed Markets Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of June 30, 2020, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 | Total |
| | ($000) | ($000) | ($000) | ($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 9,464,675 | 100,961,863 | 73,261 | 110,499,799 |
| Temporary Cash Investments | 3,474,956 | 182,972 | — | 3,657,928 |
| Total | 12,939,631 | 101,144,835 | 73,261 | 114,157,727 |
| Derivative Financial Instruments | | | | |
| Assets | | | | |
| Futures Contracts1 | 14,765 | — | — | 14,765 |
| Forward Currency Contracts | — | 63,687 | — | 63,687 |
| Swap Contracts | — | 173 | — | 173 |
| Total | 14,765 | 63,860 | — | 78,625 |
| Liabilities | | | | |
| Futures Contracts1 | 7,887 | — | — | 7,887 |
| Forward Currency Contracts | — | 20,316 | — | 20,316 |
| Total | 7,887 | 20,316 | — | 28,203 |
1 Represents variation margin on the last day of the reporting period.
D. At June 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| | | | Foreign | |
| | Equity | Interest Rate | Exchange | |
| | Contracts | Contracts | Contracts | Total |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | ($000) |
| Variation Margin Receivable—Futures Contracts | 14,765 | — | — | 14,765 |
Unrealized Appreciation—Forward Currency Contracts | — | — | 63,687 | 63,687 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | — | 173 | — | 173 |
| Total Assets | 14,765 | 173 | 63,687 | 78,625 |
| | | | | |
| Variation Margin Payable—Futures Contracts | 7,887 | — | — | 7,887 |
Unrealized Depreciation—Forward Currency Contracts | — | — | 20,316 | 20,316 |
| Total Liabilities | 7,887 | — | 20,316 | 28,203 |
Developed Markets Index Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended June 30, 2020, were:
| | | | Foreign | |
| | Equity | Interest Rate | Exchange | |
| | Contracts | Contracts | Contracts | Total |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
| Futures Contracts | (114,137) | — | — | (114,137) |
| Swap Contracts | — | 322 | — | 322 |
| Forward Currency Contracts | — | — | (53,031) | (53,031) |
| Realized Net Gain (Loss) on Derivatives | (114,137) | 322 | (53,031) | (166,846) |
| | | | | |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | | |
| Futures Contracts | 9,257 | — | — | 9,257 |
| Swap Contracts | — | 173 | — | 173 |
| Forward Currency Contracts | — | — | 41,756 | 41,756 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | 9,257 | 173 | 41,756 | 51,186 |
E. As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax Cost | 112,659,052 |
| Gross Unrealized Appreciation | 24,394,298 |
| Gross Unrealized Depreciation | (22,847,963) |
| Net Unrealized Appreciation (Depreciation) | 1,546,335 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 30, 2019, the fund had available capital losses totaling $2,518,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended June 30, 2020, the fund purchased $5,963,580,000 of investment securities and sold $3,841,178,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,225,660,000 and $2,402,074,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Developed Markets Index Fund
G. Capital share transactions for each class of shares were:
| | Six Months Ended | | | Year Ended | |
| | June 30, 2020 | | | December 31, 2019 | |
| | Amount | | | Shares | | | Amount | | | Shares | |
| | ($000 | ) | | | (000 | ) | | ($000 | ) | | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | |
| Issued | 4,307 | | | | 469 | | | 179,311 | | | | 17,300 | |
| Issued in Lieu of Cash Distributions | 380 | | | | 44 | | | 9,838 | | | | 970 | |
| Redeemed | (9,933 | ) | | | (979 | ) | | (945,406 | ) | | | (91,817 | ) |
| Net Increase (Decrease)—Investor Shares | (5,246 | ) | | | (466 | ) | | (756,257 | ) | | | (73,547 | ) |
| ETF Shares | | | | | | | | | | | | | |
| Issued | 3,507,536 | | | | 80,402 | | | 3,191,112 | | | | 75,900 | |
| Issued in Lieu of Cash Distributions | — | | | | — | | | — | | | | — | |
| Redeemed | (2,522,601 | ) | | | (70,000 | ) | | (1,431,353 | ) | | | (36,500 | ) |
| Net Increase (Decrease)—ETF Shares | 984,935 | | | | 10,402 | | | 1,759,759 | | | | 39,400 | |
| Admiral Shares | | | | | | | | | | | | | |
| Issued | 3,658,299 | | | | 313,529 | | | 5,494,696 | | | | 416,279 | |
| Issued in Lieu of Cash Distributions | 115,691 | | | | 10,440 | | | 468,526 | | | | 34,970 | |
| Redeemed | (3,925,033 | ) | | | (340,261 | ) | | (3,937,544 | ) | | | (298,516 | ) |
| Net Increase (Decrease)—Admiral Shares | (151,043 | ) | | | (16,292 | ) | | 2,025,678 | | | | 152,733 | |
| Institutional Shares | | | | | | | | | | | | | |
| Issued | 1,910,036 | | | | 157,775 | | | 3,150,458 | | | | 238,396 | |
| Issued in Lieu of Cash Distributions | 87,313 | | | | 7,861 | | | 349,841 | | | | 26,090 | |
| Redeemed | (1,524,317 | ) | | | (126,495 | ) | | (3,342,179 | ) | | | (250,436 | ) |
| Net Increase (Decrease)—Institutional Shares | 473,032 | | | | 39,141 | | | 158,120 | | | | 14,050 | |
| Institutional Plus Shares | | | | | | | | | | | | | |
| Issued | 1,327,185 | | | | 69,551 | | | 4,049,971 | | | | 192,199 | |
| Issued in Lieu of Cash Distributions | 102,660 | | | | 5,917 | | | 364,062 | | | | 17,328 | |
| Redeemed | (957,854 | ) | | | (49,113 | ) | | (1,714,575 | ) | | | (81,383 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | 471,991 | | | | 26,355 | | | 2,699,458 | | | | 128,144 | |
H. Management has determined that no events or transactions occurred subsequent to June 30, 2020, that would require recognition or disclosure in these financial statements.
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Developed Markets Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short-and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also well below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short-and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Tax-Managed Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Developed Markets Index Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
London Stock Exchange Group companies include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”). All rights reserved. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Indices or the fitness or suitability of the Indices for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies’ index values and the use of their indexes to create financial products require a license with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors.
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| | © 2020 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
| | Vanguard Marketing Corporation, Distributor. |
| | |
| | Q1272 082020 |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| Common Stocks (98.8%) | | | | | |
| Australia (6.2%) | | | | | |
| | CSL Ltd. | | 2,884,226 | | 573,643 | |
| | Commonwealth Bank of Australia | | 11,263,567 | | 543,969 | |
| | BHP Group Ltd. | | 18,737,690 | | 466,531 | |
| | Westpac Banking Corp. | | 22,984,928 | | 288,080 | |
| | National Australia Bank Ltd. | | 20,346,243 | | 257,836 | |
| | Australia & New Zealand Banking Group Ltd. | | 18,050,822 | | 234,213 | |
| | Wesfarmers Ltd. | | 7,203,343 | | 223,969 | |
| | Woolworths Group Ltd. | | 8,038,663 | | 207,212 | |
| | Transurban Group | | 17,398,149 | | 170,619 | |
| | Macquarie Group Ltd. | | 2,041,913 | | 169,463 | |
| | Rio Tinto Ltd. | | 2,362,671 | | 161,781 | |
| | Goodman Group | | 11,416,412 | | 117,798 | |
| | Newcrest Mining Ltd. | | 5,138,426 | | 113,940 | |
| | Amcor plc | | 10,180,115 | | 102,821 | |
| | Fortescue Metals Group Ltd. | | 10,117,271 | | 98,357 | |
| | Coles Group Ltd. | | 8,073,554 | | 95,974 | |
| | Woodside Petroleum Ltd. | | 6,057,408 | | 91,544 | |
| | Brambles Ltd. | | 9,674,468 | | 73,356 | |
| | ASX Ltd. | | 1,229,717 | | 73,093 | |
| | Aristocrat Leisure Ltd. | | 4,065,790 | | 72,804 | |
| | Sonic Healthcare Ltd. | | 3,019,825 | | 63,769 | |
| | Insurance Australia Group Ltd. | | 14,662,928 | | 58,848 | |
| | APA Group | | 7,527,776 | | 58,207 | |
| | Telstra Corp. Ltd. | | 26,492,937 | | 57,507 | |
| | QBE Insurance Group Ltd. | | 9,258,128 | | 57,133 | |
| * | Afterpay Ltd. | | 1,309,940 | | 56,573 | |
| | James Hardie Industries plc | | 2,815,536 | | 54,252 | |
| | Cochlear Ltd. | | 407,259 | | 53,469 | |
| | Suncorp Group Ltd. | | 8,018,750 | | 51,528 | |
| | Scentre Group | | 33,007,027 | | 50,110 | |
| | Ramsay Health Care Ltd. | | 1,083,125 | | 50,021 | |
| | AGL Energy Ltd. | | 3,995,590 | | 47,269 | |
| | Origin Energy Ltd. | | 11,138,855 | | 45,327 | |
| | Dexus | | 6,925,647 | | 44,451 | |
| | South32 Ltd. | | 30,835,208 | | 43,654 | |
| | Northern Star Resources Ltd. | | 4,556,646 | | 42,974 | |
| | Santos Ltd. | | 11,271,571 | | 41,892 | |
| | Aurizon Holdings Ltd. | | 11,690,417 | | 39,781 | |
| | Mirvac Group | | 25,010,837 | | 37,782 | |
| * | Xero Ltd. | | 592,608 | | 37,225 | |
| | Lendlease Group | | 4,201,916 | | 36,318 | |
| | Medibank Pvt Ltd. | | 17,454,623 | | 36,188 | |
| | GPT Group | | 12,397,837 | | 36,017 | |
| | Magellan Financial Group Ltd. | | 867,047 | | 35,406 | |
| | Stockland | | 15,218,238 | | 35,288 | |
| | SEEK Ltd. | | 2,196,297 | | 33,601 | |
| | Treasury Wine Estates Ltd. | | 4,563,219 | | 33,202 | |
| | Ampol Ltd. | | 1,576,825 | | 32,130 | |
| | Orica Ltd. | | 2,568,172 | | 29,700 | |
| | Oil Search Ltd. | | 13,210,470 | | 29,277 | |
| | Tabcorp Holdings Ltd. | | 12,076,473 | | 28,484 | |
| | Computershare Ltd. | | 3,053,560 | | 28,274 | |
| * | AMP Ltd. | | 21,747,383 | | 28,140 | |
| | Atlas Arteria Ltd. | | 6,030,185 | | 27,848 | |
| | Sydney Airport | | 7,047,295 | | 27,813 | |
| * | Saracen Mineral Holdings Ltd. | | 6,998,534 | | 26,655 | |
| | Evolution Mining Ltd. | | 6,686,751 | | 26,563 | |
| | BlueScope Steel Ltd. | | 3,212,092 | | 26,461 | |
| | Vicinity Centres | | 23,862,214 | | 23,917 | |
| | REA Group Ltd. | | 316,578 | | 23,855 | |
| ^ | JB Hi-Fi Ltd. | | 717,171 | | 21,457 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Ansell Ltd. | | 815,053 | | 20,719 | |
| | Boral Ltd. | | 7,757,900 | | 20,625 | |
| | Charter Hall Group | | 2,946,279 | | 19,960 | |
| * | NEXTDC Ltd. | | 2,874,058 | | 19,768 | |
| | Coca-Cola Amatil Ltd. | | 3,260,724 | | 19,641 | |
| | Qube Holdings Ltd. | | 9,193,446 | | 18,650 | |
| | Domino's Pizza Enterprises Ltd. | | 382,309 | | 18,328 | |
| | Alumina Ltd. | | 15,821,337 | | 18,033 | |
| | carsales.com Ltd. | | 1,355,497 | | 16,779 | |
| | Bendigo & Adelaide Bank Ltd. | | 3,354,413 | | 16,382 | |
| | Appen Ltd. | | 686,743 | | 16,306 | |
| | Iluka Resources Ltd. | | 2,655,570 | | 15,865 | |
| | Incitec Pivot Ltd. | | 12,065,254 | | 15,729 | |
| | Altium Ltd. | | 688,499 | | 15,600 | |
| | OZ Minerals Ltd. | | 2,007,120 | | 15,422 | |
| | Crown Resorts Ltd. | | 2,205,717 | | 14,859 | |
| * | TPG Telecom Ltd. | | 2,310,145 | | 14,189 | |
| | ALS Ltd. | | 3,056,602 | | 13,957 | |
| | AusNet Services | | 11,495,297 | | 13,281 | |
| | Cleanaway Waste Management Ltd. | | 8,621,282 | | 13,237 | |
| | Breville Group Ltd. | | 829,988 | | 13,120 | |
| | Mineral Resources Ltd. | | 874,772 | | 12,953 | |
| | Steadfast Group Ltd. | | 5,325,162 | | 12,477 | |
| | Worley Ltd. | | 2,038,754 | | 12,475 | |
| | Bank of Queensland Ltd. | | 2,840,187 | | 12,204 | |
| | Metcash Ltd. | | 6,462,987 | | 12,194 | |
| | Beach Energy Ltd. | | 11,172,569 | | 11,936 | |
| | Downer EDI Ltd. | | 3,778,441 | | 11,566 | |
| | Challenger Ltd. | | 3,638,672 | | 11,268 | |
| | Regis Resources Ltd. | | 2,999,946 | | 10,978 | |
| | Orora Ltd. | | 6,114,002 | | 10,810 | |
| | IGO Ltd. | | 3,062,013 | | 10,448 | |
| | Star Entertainment Grp Ltd. | | 5,257,925 | | 10,447 | |
| | Reliance Worldwide Corp. Ltd. | | 5,003,479 | | 10,282 | |
| | CIMIC Group Ltd. | | 608,360 | | 10,223 | |
| ^ | Seven Group Holdings Ltd. | | 841,626 | | 10,123 | |
| | Shopping Centres Australasia Property Group | | 6,702,344 | | 10,104 | |
| | St. Barbara Ltd. | | 4,443,460 | | 9,836 | |
| | Qantas Airways Ltd. (XASX) | | 3,699,511 | | 9,803 | |
| | IDP Education Ltd. | | 876,324 | | 9,497 | |
| | Cromwell Property Group | | 15,011,353 | | 9,383 | |
| ^ | Harvey Norman Holdings Ltd. | | 3,808,772 | | 9,363 | |
| | Link Administration Holdings Ltd. | | 3,236,252 | | 9,258 | |
| | nib holdings Ltd. | | 2,895,946 | | 9,242 | |
| | Nine Entertainment Co. Holdings Ltd. | | 9,229,677 | | 8,901 | |
| 1 | Viva Energy Group Ltd. | | 6,758,222 | | 8,617 | |
| | Bapcor Ltd. | | 2,078,584 | | 8,573 | |
| | IRESS Ltd. | | 1,103,258 | | 8,433 | |
| | Charter Hall Long Wale REIT | | 2,788,368 | | 8,318 | |
| | BWP Trust | | 3,015,121 | | 8,020 | |
| | CSR Ltd. | | 3,107,970 | | 7,999 | |
| ^ | Washington H Soul Pattinson & Co. Ltd. | | 583,433 | | 7,925 | |
| * | Silver Lake Resources Ltd. | | 5,267,752 | | 7,891 | |
| * | Vocus Group Ltd. | | 3,796,586 | | 7,802 | |
| | National Storage REIT | | 6,061,709 | | 7,758 | |
| | Waypoint REIT | | 4,289,503 | | 7,747 | |
| | Healius Ltd. | | 3,645,273 | | 7,702 | |
| | IOOF Holdings Ltd. | | 2,171,293 | | 7,461 | |
| | Pendal Group Ltd. | | 1,752,163 | | 7,331 | |
| | WiseTech Global Ltd. | | 530,303 | | 7,174 | |
| | Flight Centre Travel Group Ltd. | | 915,083 | | 7,153 | |
| * | Nanosonics Ltd. | | 1,500,626 | | 7,116 | |
| | Charter Hall Retail REIT | | 3,033,285 | | 7,061 | |
| *,^ | Zip Co. Ltd. | | 1,871,760 | | 6,982 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | Perseus Mining Ltd. | | 7,380,227 | | 6,829 | |
| *,^ | PolyNovo Ltd. | | 3,819,284 | | 6,785 | |
| * | Megaport Ltd. | | 804,272 | | 6,764 | |
| | Ramelius Resources Ltd. | | 4,768,462 | | 6,693 | |
| *,^ | Mesoblast Ltd. | | 2,882,935 | | 6,631 | |
| | Elders Ltd. | | 986,749 | | 6,449 | |
| * | Gold Road Resources Ltd. | | 5,449,890 | | 6,405 | |
| ^ | InvoCare Ltd. | | 872,721 | | 6,346 | |
| | Adbri Ltd. | | 2,840,431 | | 6,301 | |
| | Premier Investments Ltd. | | 517,510 | | 6,240 | |
| | Sims Ltd. | | 1,084,850 | | 6,030 | |
| * | Lynas Corp. Ltd. | | 4,440,713 | | 6,026 | |
| | Technology One Ltd. | | 981,035 | | 6,012 | |
| ^ | AP Eagers Ltd. | | 1,259,633 | | 5,945 | |
| ^ | Perpetual Ltd. | | 281,020 | | 5,811 | |
| | Super Retail Group Ltd. | | 1,024,843 | | 5,766 | |
| * | Nufarm Ltd. | | 2,003,500 | | 5,692 | |
| * | Resolute Mining Ltd. | | 6,968,005 | | 5,586 | |
| | Ingenia Communities Group | | 1,756,095 | | 5,490 | |
| | Whitehaven Coal Ltd. | | 5,417,945 | | 5,418 | |
| * | Champion Iron Ltd. | | 2,683,520 | | 5,381 | |
| | IPH Ltd. | | 1,014,097 | | 5,274 | |
| | ARB Corp. Ltd. | | 416,710 | | 5,210 | |
| *,^ | Tyro Payments Ltd. | | 2,043,823 | | 5,050 | |
| | Omni Bridgeway Ltd. | | 1,506,118 | | 4,972 | |
| | Costa Group Holdings Ltd. | | 2,458,922 | | 4,966 | |
| | Platinum Asset Management Ltd. | | 1,891,487 | | 4,921 | |
| ^ | Webjet Ltd. | | 2,103,114 | | 4,917 | |
| | Bravura Solutions Ltd. | | 1,538,510 | | 4,849 | |
| | Pro Medicus Ltd. | | 258,747 | | 4,765 | |
| | Centuria Industrial REIT | | 2,096,763 | | 4,611 | |
| | Austal Ltd. | | 2,041,317 | | 4,601 | |
| | Collins Foods Ltd. | | 691,120 | | 4,554 | |
| | Blackmores Ltd. | | 83,442 | | 4,513 | |
| | AUB Group Ltd. | | 437,963 | | 4,458 | |
| * | EML Payments Ltd. | | 1,888,472 | | 4,441 | |
| | GUD Holdings Ltd. | | 553,308 | | 4,425 | |
| ^ | Clinuvel Pharmaceuticals Ltd. | | 246,587 | | 4,396 | |
| | Bingo Industries Ltd. | | 2,918,749 | | 4,377 | |
| | Abacus Property Group | | 2,326,233 | | 4,345 | |
| * | GrainCorp Ltd. Class A | | 1,504,544 | | 4,296 | |
| *,^ | Avita Therapeutics Inc. | | 680,426 | | 4,265 | |
| | Monadelphous Group Ltd. | | 560,290 | | 4,227 | |
| | Brickworks Ltd. | | 381,847 | | 4,203 | |
| | Bega Cheese Ltd. | | 1,357,818 | | 4,197 | |
| * | United Malt Grp Ltd. | | 1,446,694 | | 4,131 | |
| | Growthpoint Properties Australia Ltd. | | 1,785,290 | | 3,971 | |
| | Sandfire Resources Ltd. | | 1,101,845 | | 3,910 | |
| | Codan Ltd. | | 777,658 | | 3,848 | |
| | Credit Corp. Group Ltd. | | 347,104 | | 3,806 | |
| *,^ | nearmap Ltd. | | 2,351,108 | | 3,718 | |
| ^ | Corporate Travel Management Ltd. | | 539,410 | | 3,673 | |
| | Centuria Office REIT | | 2,575,129 | | 3,617 | |
| | Aventus Group | | 2,440,657 | | 3,545 | |
| | Perenti Global Ltd. | | 4,364,407 | | 3,543 | |
| | NRW Holdings Ltd. | | 2,652,690 | | 3,477 | |
| | Domain Holdings Australia Ltd. | | 1,440,742 | | 3,361 | |
| | Netwealth Group Ltd. | | 533,843 | | 3,332 | |
| | Charter Hall Social Infrastructure REIT | | 2,023,449 | | 3,312 | |
| | G8 Education Ltd. | | 5,364,077 | | 3,311 | |
| | Tassal Group Ltd. | | 1,330,154 | | 3,185 | |
| | GWA Group Ltd. | | 1,642,452 | | 3,177 | |
| | Centuria Capital Group | | 2,546,637 | | 3,164 | |
| | Western Areas Ltd. | | 1,643,794 | | 3,023 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Sigma Healthcare Ltd. | | 6,928,748 | | 3,000 | |
| | Arena REIT | | 1,949,385 | | 2,968 | |
| | Data#3 Ltd. | | 928,727 | | 2,939 | |
| * | Westgold Resources Ltd. | | 1,954,068 | | 2,869 | |
| * | Mayne Pharma Group Ltd. | | 10,521,396 | | 2,819 | |
| | Infigen Energy | | 4,312,744 | | 2,807 | |
| *,^ | Paradigm Biopharmaceuticals Ltd. | | 1,264,673 | | 2,805 | |
| | Rural Funds Group | | 2,080,972 | | 2,763 | |
| | Service Stream Ltd. | | 2,073,701 | | 2,753 | |
| | Select Harvests Ltd. | | 621,785 | | 2,718 | |
| *,^ | PointsBet Holdings Pty Ltd. | | 685,824 | | 2,580 | |
| | Inghams Group Ltd. | | 1,148,499 | | 2,554 | |
| * | Electro Optic Systems Holdings Ltd. | | 773,393 | | 2,543 | |
| | SeaLink Travel Group Ltd. | | 808,576 | | 2,486 | |
| * | Qantas Airways Ltd. | | 927,264 | | 2,419 | |
| | Integral Diagnostics Ltd. | | 872,280 | | 2,367 | |
| *,^ | Orocobre Ltd. | | 1,449,461 | | 2,352 | |
| * | Cooper Energy Ltd. | | 8,942,266 | | 2,340 | |
| | SmartGroup Corp. Ltd. | | 530,315 | | 2,249 | |
| | GDI Property Group | | 2,850,504 | | 2,204 | |
| ^ | Jumbo Interactive Ltd. | | 316,559 | | 2,117 | |
| *,^ | Bubs Australia Ltd. | | 3,246,358 | | 2,088 | |
| *,^ | Pilbara Minerals Ltd. | | 11,788,506 | | 2,082 | |
| | Southern Cross Media Group Ltd. | | 16,895,633 | | 2,068 | |
| | McMillan Shakespeare Ltd. | | 323,866 | | 2,047 | |
| | Australian Pharmaceutical Industries Ltd. | | 2,564,238 | | 2,031 | |
| | Accent Group Ltd. | | 2,061,718 | | 2,013 | |
| | oOh!media Ltd. | | 3,100,881 | | 1,988 | |
| | Macmahon Holdings Ltd. | | 11,169,463 | | 1,974 | |
| * | Australian Agricultural Co. Ltd. | | 2,748,344 | | 1,957 | |
| | Hotel Property Investments | | 965,929 | | 1,943 | |
| *,^ | Pact Group Holdings Ltd. | | 1,260,266 | | 1,924 | |
| | Jupiter Mines Ltd. | | 9,796,083 | | 1,903 | |
| ^ | HUB24 Ltd. | | 290,550 | | 1,890 | |
| | Aurelia Metals Ltd. | | 5,287,790 | | 1,864 | |
| | Genworth Mortgage Insurance Australia Ltd. | | 1,282,103 | | 1,844 | |
| | Mount Gibson Iron Ltd. | | 4,291,243 | | 1,829 | |
| | BWX Ltd. | | 726,463 | | 1,773 | |
| * | Eclipx Group Ltd. | | 1,995,730 | | 1,751 | |
| * | Starpharma Holdings Ltd. | | 2,223,603 | | 1,734 | |
| | Asaleo Care Ltd. | | 2,431,869 | | 1,709 | |
| | Estia Health Ltd. | | 1,586,325 | | 1,695 | |
| * | Emeco Holdings Ltd. | | 2,321,040 | | 1,615 | |
| ^,§ | Freedom Foods Group Ltd. | | 777,051 | | 1,608 | |
| | MyState Ltd. | | 589,114 | | 1,601 | |
| | FlexiGroup Ltd. | | 1,862,799 | | 1,480 | |
| | Lovisa Holdings Ltd. | | 347,869 | | 1,451 | |
| *,^ | Galaxy Resources Ltd. | | 2,664,664 | | 1,450 | |
| | New Hope Corp. Ltd. | | 1,485,176 | | 1,416 | |
| | OFX Group Ltd. | | 1,446,975 | | 1,406 | |
| | Cedar Woods Properties Ltd. | | 381,106 | | 1,390 | |
| ^ | HT&E Ltd. | | 1,649,391 | | 1,368 | |
| * | Karoon Energy Ltd. | | 3,220,969 | | 1,365 | |
| *,^ | Carnarvon Petroleum Ltd. | | 9,911,992 | | 1,349 | |
| * | Senex Energy Ltd. | | 8,188,589 | | 1,299 | |
| *,^ | AMA Group Ltd. | | 3,071,818 | | 1,288 | |
| *,^ | Superloop Ltd. | | 1,785,098 | | 1,229 | |
| 1 | Coronado Global Resources Inc. | | 1,848,416 | | 1,196 | |
| * | Dacian Gold Ltd. | | 3,293,612 | | 1,022 | |
| | Village Roadshow Ltd. | | 665,456 | | 1,000 | |
| | MACA Ltd. | | 1,608,967 | | 966 | |
| | SG Fleet Group Ltd. | | 734,299 | | 815 | |
| ^ | Regis Healthcare Ltd. | | 808,472 | | 790 | |
| | Virtus Health Ltd. | | 378,089 | | 744 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| *,^,§ | SpeedCast International Ltd. | | 1,363,916 | | 744 | |
| *,^ | Myer Holdings Ltd. | | 5,193,599 | | 674 | |
| | Navigator Global Investments Ltd. | | 798,654 | | 657 | |
| ^ | Japara Healthcare Ltd. | | 1,735,872 | | 591 | |
| | Vita Group Ltd. | | 877,355 | | 588 | |
| * | Tuas Ltd. | | 1,155,072 | | 538 | |
| *,^ | Syrah Resources Ltd. | | 2,492,233 | | 486 | |
| *,^ | New Century Resources Ltd. | | 3,682,864 | | 403 | |
| | WPP AUNZ Ltd. | | 2,028,371 | | 395 | |
| *,^ | Seven West Media Ltd. | | 5,682,193 | | 363 | |
| *,^ | Clean TeQ Holdings Ltd. | | 2,916,231 | | 285 | |
| ^ | Decmil Group Ltd. | | 6,547,198 | | 258 | |
| *,^,§ | Liquefied Natural Gas Ltd. | | 3,307,629 | | 98 | |
| * | Intega Group Ltd. | | 334,520 | | 54 | |
| *,§ | Bgp Holdings plc Rts plc | | 7,179,555 | | — | |
| | | | | | 6,943,931 | |
| Austria (0.2%) | | | | | |
| * | Erste Group Bank AG | | 1,814,022 | | 42,843 | |
| * | OMV AG | | 899,468 | | 30,352 | |
| | Verbund AG | | 419,542 | | 18,843 | |
| * | Andritz AG | | 446,886 | | 16,294 | |
| | voestalpine AG | | 728,638 | | 15,735 | |
| * | Wienerberger AG | | 710,991 | | 15,542 | |
| * | Raiffeisen Bank International AG | | 813,933 | | 14,548 | |
| * | CA Immobilien Anlagen AG | | 434,166 | | 14,516 | |
| *,1 | BAWAG Group AG | | 366,109 | | 12,668 | |
| * | Immofinanz AG | | 508,904 | | 8,699 | |
| ^ | Oesterreichische Post AG | | 211,474 | | 7,002 | |
| * | Telekom Austria AG | | 874,627 | | 6,042 | |
| * | S Immo AG | | 334,517 | | 5,998 | |
| * | Vienna Insurance Group AG Wiener Versicherung Gruppe | | 246,461 | | 5,526 | |
| | UNIQA Insurance Group AG | | 720,680 | | 4,848 | |
| | Evn AG | | 232,567 | | 3,931 | |
| * | Lenzing AG | | 82,987 | | 3,855 | |
| | Strabag SE | | 99,303 | | 2,564 | |
| ^ | Do & Co AG | | 42,608 | | 2,190 | |
| * | Flughafen Wien AG | | 63,997 | | 1,820 | |
| | Schoeller-Bleckmann Oilfield Equipment AG | | 68,675 | | 1,815 | |
| * | Palfinger AG | | 62,984 | | 1,391 | |
| | Agrana Beteiligungs AG | | 64,466 | | 1,329 | |
| * | Zumtobel Group AG | | 178,533 | | 1,291 | |
| *,^ | Porr AG | | 63,237 | | 1,049 | |
| | Kapsch TrafficCom AG | | 31,814 | | 614 | |
| | | | | | 241,305 | |
| Belgium (0.9%) | | | | | |
| | Anheuser-Busch InBev SA/NV | | 5,283,145 | | 260,442 | |
| | KBC Group NV | | 1,744,525 | | 100,226 | |
| | Ucb SA | | 765,952 | | 88,887 | |
| | Umicore SA | | 1,302,439 | | 61,481 | |
| * | Argenx SE | | 272,099 | | 61,248 | |
| | Ageas SA | | 1,152,629 | | 40,849 | |
| | Groupe Bruxelles Lambert SA | | 459,178 | | 38,461 | |
| | Solvay SA Class A | | 441,513 | | 35,421 | |
| | Sofina SA | | 97,259 | | 25,682 | |
| | Elia Group SA/NV | | 223,719 | | 24,339 | |
| | Warehouses De Pauw CVA | | 840,530 | | 23,092 | |
| | Cofinimmo SA | | 164,423 | | 22,675 | |
| | Aedifica SA | | 171,800 | | 18,814 | |
| * | Ackermans & van Haaren NV | | 141,266 | | 18,497 | |
| | Colruyt SA | | 333,068 | | 18,305 | |
| | Proximus SADP | | 888,425 | | 18,104 | |
| | Telenet Group Holding NV | | 289,858 | | 11,943 | |
| | Barco NV | | 61,239 | | 10,814 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| ^ | Melexis NV | | 116,813 | | 8,886 | |
| ^ | Euronav NV | | 1,029,133 | | 8,309 | |
| | Fagron | | 390,001 | | 8,197 | |
| | Montea C.V.A | | 80,259 | | 8,074 | |
| | D'ieteren SA/NV | | 144,048 | | 7,988 | |
| * | KBC Ancora | | 225,134 | | 7,679 | |
| * | Ontex Group NV | | 503,255 | | 7,397 | |
| | Gimv NV | | 120,157 | | 6,922 | |
| | VGP NV | | 48,573 | | 6,215 | |
| | Befimmo SA | | 138,021 | | 6,189 | |
| * | Tessenderlo Chemie NV (Voting Shares) | | 164,624 | | 4,906 | |
| * | AGFA-Gevaert NV | | 1,103,394 | | 4,612 | |
| * | Retail Estates NV | | 64,180 | | 4,331 | |
| | Bekaert SA | | 219,834 | | 4,322 | |
| | bpost SA | | 633,812 | | 4,284 | |
| * | Kinepolis Group NV | | 81,379 | | 3,687 | |
| * | Cie d'Entreprises CFE | | 44,425 | | 3,046 | |
| | Orange Belgium SA | | 179,469 | | 2,928 | |
| *,^ | Mithra Pharmaceuticals SA | | 89,711 | | 1,837 | |
| | Econocom Group SA/NV | | 779,284 | | 1,579 | |
| | EVS Broadcast Equipment SA | | 82,983 | | 1,535 | |
| ^ | Ion Beam Applications | | 132,871 | | 1,145 | |
| * | Wereldhave Belgium Comm VA | | 14,893 | | 922 | |
| * | Van de Velde NV | | 35,294 | | 829 | |
| | | | | | 995,099 | |
| Brazil (0.0%) | | | | |
| ^ | Ecopro BM Co. Ltd. | | 53,146 | | 5,388 | |
| | | | | | | |
| Canada (8.5%) | | | | |
| * | Shopify Inc. Class A | | 661,668 | | 628,609 | |
| | Royal Bank of Canada | | 9,069,205 | | 615,324 | |
| | Toronto-Dominion Bank | | 11,513,972 | | 513,871 | |
| | Canadian National Railway Co. | | 4,529,985 | | 400,778 | |
| | Enbridge Inc. (XTSE) | | 12,792,282 | | 388,970 | |
| | Bank of Nova Scotia | | 7,695,817 | | 318,467 | |
| | Brookfield Asset Management Inc. Class A | | 8,842,144 | | 291,004 | |
| ^ | TC Energy Corp. | | 5,980,484 | | 255,501 | |
| | Canadian Pacific Railway Ltd. | | 862,857 | | 219,477 | |
| | Bank of Montreal | | 4,074,278 | | 216,859 | |
| | Barrick Gold Corp. (XTSE) | | 7,678,393 | | 206,608 | |
| ^ | Canadian Imperial Bank of Commerce | | 2,832,857 | | 189,344 | |
| | Manulife Financial Corp. | | 12,328,702 | | 167,731 | |
| | Alimentation Couche-Tard Inc. Class B | | 5,308,432 | | 166,455 | |
| | Franco-Nevada Corp. | | 1,188,806 | | 166,070 | |
| | Suncor Energy Inc. | | 9,706,555 | | 163,659 | |
| | Constellation Software Inc. | | 121,368 | | 137,039 | |
| | Sun Life Financial Inc. | | 3,724,602 | | 136,874 | |
| | Canadian Natural Resources Ltd. | | 7,351,018 | | 127,517 | |
| | Wheaton Precious Metals Corp. | | 2,849,196 | | 125,313 | |
| ^ | Nutrien Ltd. | | 3,622,171 | | 116,381 | |
| | Fortis Inc. (XTSE) | | 2,867,230 | | 109,042 | |
| | Waste Connections Inc. (XTSE) | | 1,105,222 | | 103,545 | |
| | Restaurant Brands International Inc. (XTSE) | | 1,814,774 | | 98,773 | |
| | Agnico Eagle Mines Ltd. | | 1,531,699 | | 98,078 | |
| ^ | National Bank of Canada | | 2,133,220 | | 96,667 | |
| | Barrick Gold Corp. (XLON) | | 3,561,990 | | 93,359 | |
| * | CGI Inc. | | 1,455,715 | | 91,711 | |
| | Rogers Communications Inc. Class B | | 2,229,498 | | 89,584 | |
| ^ | Pembina Pipeline Corp. | | 3,496,258 | | 87,406 | |
| | Intact Financial Corp. | | 907,377 | | 86,360 | |
| | BCE Inc. | | 1,919,219 | | 80,043 | |
| | Magna International Inc. | | 1,751,641 | | 78,008 | |
| | Thomson Reuters Corp. | | 1,069,778 | | 72,684 | |
| ^ | Kirkland Lake Gold Ltd. | | 1,764,491 | | 72,654 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Open Text Corp. | | 1,703,090 | | 72,321 | |
| | Metro Inc. | | 1,601,326 | | 66,054 | |
| ^ | Emera Inc. | | 1,556,985 | | 61,266 | |
| | Dollarama Inc. | | 1,838,838 | | 61,168 | |
| ^ | Power Corp. of Canada | | 3,467,020 | | 60,984 | |
| * | Kinross Gold Corp. | | 7,978,266 | | 57,592 | |
| | Waste Connections Inc. (XNYS) | | 570,366 | | 53,495 | |
| | Fairfax Financial Holdings Ltd. | | 171,886 | | 53,104 | |
| | Loblaw Cos. Ltd. | | 1,054,643 | | 51,357 | |
| | Shaw Communications Inc. Class B | | 2,912,829 | | 47,503 | |
| | TELUS Corp. | | 2,698,722 | | 45,264 | |
| ^ | Algonquin Power & Utilities Corp. | | 3,340,090 | | 43,178 | |
| ^ | WSP Global Inc. | | 670,666 | | 41,131 | |
| | Pan American Silver Corp. | | 1,305,476 | | 39,647 | |
| | Canadian Apartment Properties REIT | | 1,073,473 | | 38,421 | |
| 1 | Hydro One Ltd. | | 2,001,940 | | 37,647 | |
| ^ | B2Gold Corp. | | 6,522,220 | | 37,089 | |
| * | Bausch Health Cos. Inc. | | 1,971,323 | | 36,069 | |
| ^ | Saputo Inc. | | 1,486,232 | | 35,437 | |
| | TMX Group Ltd. | | 355,536 | | 35,153 | |
| | George Weston Ltd. | | 458,368 | | 33,577 | |
| | Yamana Gold Inc. | | 6,043,408 | | 32,852 | |
| | Canadian Tire Corp. Ltd. Class A | | 360,562 | | 31,244 | |
| | Teck Resources Ltd. Class B | | 2,943,737 | | 30,834 | |
| | CCL Industries Inc. Class B | | 950,214 | | 30,713 | |
| | Cenovus Energy Inc. | | 6,480,007 | | 30,309 | |
| | Great-West Lifeco Inc. | | 1,715,377 | | 30,072 | |
| | Ritchie Bros Auctioneers Inc. | | 694,861 | | 28,289 | |
| | First Quantum Minerals Ltd. | | 3,534,326 | | 28,168 | |
| * | Descartes Systems Group Inc. | | 532,559 | | 28,115 | |
| | Northland Power Inc. | | 1,097,526 | | 27,470 | |
| | CAE Inc. | | 1,684,472 | | 27,322 | |
| | Cameco Corp. | | 2,514,314 | | 25,780 | |
| | Empire Co. Ltd. | | 1,071,705 | | 25,664 | |
| ^ | Inter Pipeline Ltd. | | 2,703,151 | | 25,168 | |
| | Toromont Industries Ltd. | | 503,629 | | 24,992 | |
| | Quebecor Inc. Class B | | 1,118,791 | | 24,039 | |
| * | Kinaxis Inc. | | 167,362 | | 23,923 | |
| | Allied Properties REIT | | 772,838 | | 23,317 | |
| *,^ | Canopy Growth Corp. | | 1,437,509 | | 23,284 | |
| | Parkland Corp. | | 935,302 | | 23,224 | |
| | Onex Corp. | | 513,673 | | 23,205 | |
| | Alamos Gold Inc. Class A | | 2,485,169 | | 23,175 | |
| ^ | Imperial Oil Ltd. | | 1,429,467 | | 22,996 | |
| ^ | RioCan REIT | | 2,024,718 | | 22,908 | |
| | iA Financial Corp. Inc. | | 682,388 | | 22,850 | |
| | FirstService Corp. | | 221,270 | | 22,288 | |
| | Lundin Mining Corp. | | 4,056,091 | | 21,750 | |
| | Stantec Inc. | | 702,663 | | 21,692 | |
| ^ | Keyera Corp. | | 1,391,518 | | 21,186 | |
| | Element Fleet Management Corp. | | 2,780,141 | | 20,745 | |
| | AltaGas Ltd. | | 1,766,749 | | 20,367 | |
| | Canadian Utilities Ltd. Class A | | 782,384 | | 19,479 | |
| | Gildan Activewear Inc. | | 1,238,650 | | 19,187 | |
| | Boyd Group Services Inc. | | 126,980 | | 18,900 | |
| *,^ | Endeavour Mining Corp. | | 781,096 | | 18,898 | |
| ^ | SNC-Lavalin Group Inc. | | 1,113,384 | | 18,789 | |
| | TFI International Inc. | | 523,545 | | 18,584 | |
| | Granite REIT | | 343,907 | | 17,748 | |
| * | SSR Mining Inc. | | 785,242 | | 16,733 | |
| | CI Financial Corp. | | 1,254,643 | | 15,960 | |
| * | BlackBerry Ltd. | | 3,183,582 | | 15,524 | |
| | Centerra Gold Inc. | | 1,369,802 | | 15,286 | |
| ^ | Choice Properties REIT | | 1,617,324 | | 15,177 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Gibson Energy Inc. | | 918,184 | | 14,291 | |
| | Finning International Inc. | | 1,039,601 | | 14,174 | |
| | Atco Ltd. Class I | | 477,749 | | 14,171 | |
| ^ | First Capital REIT | | 1,371,639 | | 14,024 | |
| | Tourmaline Oil Corp. | | 1,603,664 | | 14,021 | |
| * | NovaGold Resources Inc. | | 1,493,821 | | 13,699 | |
| | Enghouse Systems Ltd. | | 255,907 | | 13,666 | |
| ^ | Capital Power Corp. | | 662,594 | | 13,656 | |
| | Primo Water Corp. | | 980,440 | | 13,454 | |
| | H&R REIT | | 1,801,146 | | 12,949 | |
| * | Alacer Gold Corp. | | 1,855,662 | | 12,753 | |
| ^ | SmartCentres REIT | | 825,191 | | 12,710 | |
| ^ | IGM Financial Inc. | | 517,476 | | 12,575 | |
| ^ | Premium Brands Holdings Corp. | | 195,869 | | 12,494 | |
| *,^ | First Majestic Silver Corp. | | 1,201,467 | | 11,947 | |
| * | IAMGOLD Corp. | | 2,976,027 | | 11,816 | |
| ^ | Innergex Renewable Energy Inc. | | 816,027 | | 11,481 | |
| ^ | West Fraser Timber Co. Ltd. | | 318,391 | | 11,192 | |
| | Colliers International Group Inc. | | 191,051 | | 10,963 | |
| | BRP Inc. | | 255,761 | | 10,908 | |
| | Stella-Jones Inc. | | 426,714 | | 10,731 | |
| * | Parex Resources Inc. | | 880,838 | | 10,615 | |
| | TransAlta Corp. | | 1,746,122 | | 10,354 | |
| * | Air Canada Class A | | 813,213 | | 10,153 | |
| * | Eldorado Gold Corp. | | 1,044,854 | | 10,074 | |
| * | Ivanhoe Mines Ltd. | | 3,520,012 | | 9,982 | |
| ^ | Maple Leaf Foods Inc. | | 474,658 | | 9,968 | |
| | Osisko Gold Royalties Ltd. | | 996,079 | | 9,949 | |
| * | Pretium Resources Inc. | | 1,177,985 | | 9,857 | |
| ^ | Canadian Western Bank | | 545,802 | | 9,508 | |
| ^ | Chartwell Retirement Residences | | 1,349,723 | | 9,316 | |
| ^ | PrairieSky Royalty Ltd. | | 1,459,977 | | 9,227 | |
| * | OceanaGold Corp. | | 3,929,031 | | 9,145 | |
| ^ | Superior Plus Corp. | | 1,114,890 | | 9,132 | |
| * | Torex Gold Resources Inc. | | 537,434 | | 8,468 | |
| *,^ | Aurora Cannabis Inc. | | 677,716 | | 8,382 | |
| | Linamar Corp. | | 284,827 | | 7,700 | |
| *,^ | Lightspeed POS Inc. | | 321,388 | | 7,677 | |
| *,^ | Canada Goose Holdings Inc. | | 329,513 | | 7,650 | |
| ^ | ARC Resources Ltd. | | 2,243,950 | | 7,537 | |
| *,^ | Aphria Inc. | | 1,711,483 | | 7,337 | |
| ^ | TransAlta Renewables Inc. | | 675,369 | | 7,258 | |
| | Methanex Corp. | | 395,343 | | 7,135 | |
| | North West Co. Inc. | | 315,758 | | 6,903 | |
| * | Great Canadian Gaming Corp. | | 344,902 | | 6,867 | |
| *,^ | Cronos Group Inc. | | 1,137,468 | | 6,854 | |
| ^ | Norbord Inc. | | 299,582 | | 6,839 | |
| * | ATS Automation Tooling Systems Inc. | | 471,088 | | 6,635 | |
| * | Shopify Inc. | | 6,856 | | 6,508 | |
| | Husky Energy Inc. | | 1,972,176 | | 6,479 | |
| | Cominar REIT | | 1,063,386 | | 6,407 | |
| | Cascades Inc. | | 564,702 | | 6,152 | |
| | Winpak Ltd. | | 196,411 | | 6,017 | |
| ^ | Genworth MI Canada Inc. | | 236,183 | | 5,778 | |
| ^ | Laurentian Bank of Canada | | 269,278 | | 5,673 | |
| ^ | Crescent Point Energy Corp. | | 3,385,462 | | 5,486 | |
| * | MEG Energy Corp. | | 1,907,170 | | 5,296 | |
| | Transcontinental Inc. Class A | | 472,560 | | 5,256 | |
| ^ | Boardwalk REIT | | 239,694 | | 5,246 | |
| | Cogeco Communications Inc. | | 71,560 | | 5,156 | |
| * | Celestica Inc. | | 702,275 | | 4,821 | |
| *,^ | Home Capital Group Inc. Class B | | 323,530 | | 4,809 | |
| * | Turquoise Hill Resources Ltd. | | 6,298,351 | | 4,639 | |
| ^ | Russel Metals Inc. | | 388,275 | | 4,639 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Artis REIT | | 794,232 | | 4,417 | |
| ^ | Vermilion Energy Inc. | | 983,498 | | 4,376 | |
| | Hudbay Minerals Inc. | | 1,404,019 | | 4,251 | |
| ^ | NFI Group Inc. | | 344,545 | | 4,226 | |
| *,^ | Bombardier Inc. Class B | | 13,643,732 | | 4,221 | |
| ^ | Whitecap Resources Inc. | | 2,526,959 | | 4,151 | |
| ^ | Dream Office REIT | | 271,379 | | 4,102 | |
| | Aecon Group Inc. | | 370,231 | | 4,025 | |
| * | Seven Generations Energy Ltd. Class A | | 1,767,894 | | 3,946 | |
| | Martinrea International Inc. | | 520,908 | | 3,944 | |
| ^ | Enerplus Corp. | | 1,398,649 | | 3,936 | |
| | ECN Capital Corp. | | 1,364,127 | | 3,879 | |
| * | Canfor Corp. | | 408,563 | | 3,542 | |
| | Mullen Group Ltd. | | 660,579 | | 3,537 | |
| ^ | Westshore Terminals Investment Corp. | | 271,110 | | 3,337 | |
| | Fortis Inc. (XNYS) | | 77,746 | | 2,961 | |
| | Enbridge Inc. (XNYS) | | 87,527 | | 2,662 | |
| | Pason Systems Inc. | | 484,267 | | 2,647 | |
| | Corus Entertainment Inc. Class B | | 1,252,326 | | 2,638 | |
| | Cineplex Inc. | | 410,693 | | 2,432 | |
| | First National Financial Corp. | | 109,400 | | 2,276 | |
| | Enerflex Ltd. | | 571,819 | | 2,165 | |
| | Restaurant Brands International Inc. (XNYS) | | 36,684 | | 2,004 | |
| *,^ | Baytex Energy Corp. | | 3,490,370 | | 1,774 | |
| ^ | Secure Energy Services Inc. | | 988,846 | | 1,216 | |
| | TORC Oil & Gas Ltd. | | 959,120 | | 1,201 | |
| *,^ | Kelt Exploration Ltd. | | 972,205 | | 1,003 | |
| | ShawCor Ltd. | | 452,835 | | 904 | |
| | Northview Apartment REIT | | 26,078 | | 668 | |
| *,^ | Paramount Resources Ltd. Class A | | 454,643 | | 532 | |
| *,§ | Stars Group Inc. | | 3,009 | | 82 | |
| | | | | | 9,489,042 | |
| Denmark (1.9%) | | | | | |
| | Novo Nordisk A/S Class B | | 10,264,663 | | 668,720 | |
| | DSV Panalpina A/S | | 1,245,868 | | 153,036 | |
| 1 | Orsted A/S | | 1,199,157 | | 138,609 | |
| | Coloplast A/S Class B | | 845,904 | | 131,849 | |
| | Vestas Wind Systems A/S | | 1,245,312 | | 127,523 | |
| * | Genmab A/S | | 374,914 | | 126,418 | |
| | Carlsberg A/S Class B | | 619,053 | | 82,092 | |
| | Novozymes A/S | | 1,294,661 | | 75,059 | |
| | Chr Hansen Holding A/S | | 653,818 | | 67,438 | |
| * | Danske Bank A/S | | 4,195,520 | | 56,088 | |
| | AP Moller - Maersk A/S Class B | | 37,869 | | 44,383 | |
| | GN Store Nord A/S | | 821,632 | | 43,982 | |
| | Pandora A/S | | 618,372 | | 33,772 | |
| | Ambu A/S Class B | | 1,059,451 | | 33,492 | |
| | AP Moller - Maersk A/S Class A | | 28,771 | | 31,460 | |
| | SimCorp A/S | | 250,895 | | 27,135 | |
| * | Royal Unibrew A/S | | 312,756 | | 26,072 | |
| | Tryg A/S | | 768,663 | | 22,333 | |
| * | Iss A/S | | 1,174,689 | | 18,652 | |
| * | Demant A/S | | 660,622 | | 17,507 | |
| | H Lundbeck A/S | | 375,710 | | 14,196 | |
| *,1 | Netcompany Group A/S | | 208,950 | | 13,733 | |
| | Ringkjoebing Landbobank A/S | | 182,965 | | 12,962 | |
| | Topdanmark A/S | | 267,320 | | 11,073 | |
| * | Jyske Bank A/S | | 370,479 | | 10,902 | |
| * | ALK-Abello A/S | | 40,665 | | 10,886 | |
| | ROCKWOOL International A/S Class B | | 39,787 | | 10,828 | |
| * | Bavarian Nordic A/S | | 374,431 | | 10,263 | |
| * | FLSmidth & Co. A/S | | 313,612 | | 9,122 | |
| * | Zealand Pharma A/S | | 234,083 | | 8,087 | |
| * | Sydbank A/S | | 374,883 | | 6,955 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Schouw & Co. A/S | | 82,430 | | 6,585 | |
| * | Dfds A/S | | 192,466 | | 5,974 | |
| 1 | Scandinavian Tobacco Group A/S | | 403,886 | | 5,964 | |
| * | Spar Nord Bank A/S | | 519,216 | | 4,138 | |
| * | Nkt A/S | | 175,559 | | 3,938 | |
| * | Alm Brand A/S | | 393,748 | | 3,686 | |
| * | Drilling Co. of 1972 A/S | | 140,764 | | 2,985 | |
| * | Nilfisk Holding A/S | | 174,656 | | 2,414 | |
| | D/S Norden A/S | | 168,219 | | 2,270 | |
| | | | | | 2,082,581 | |
| Finland (1.1%) | | | | |
| | Kone Oyj Class B | | 2,493,674 | | 171,988 | |
| | Nokia Oyj | | 35,695,011 | | 156,006 | |
| * | Nordea Bank Abp (XSTO) | | 19,131,112 | | 132,680 | |
| | Sampo Oyj Class A | | 3,216,086 | | 110,859 | |
| | Neste Oyj | | 2,645,608 | | 103,910 | |
| | UPM-Kymmene Oyj | | 3,394,666 | | 98,326 | |
| | Elisa Oyj | | 912,351 | | 55,518 | |
| | Fortum Oyj | | 2,744,472 | | 52,360 | |
| | Stora Enso Oyj | | 3,641,881 | | 43,591 | |
| | Orion Oyj Class B | | 652,421 | | 31,639 | |
| | Kesko Oyj Class B | | 1,711,568 | | 29,298 | |
| | Wartsila Oyj Abp | | 3,087,873 | | 25,614 | |
| * | Kojamo Oyj | | 1,144,792 | | 24,194 | |
| * | Huhtamaki Oyj | | 591,439 | | 23,398 | |
| | Neles Oyj | | 677,369 | | 22,261 | |
| | Valmet Oyj | | 844,773 | | 22,142 | |
| | Nokian Renkaat Oyj | | 858,749 | | 18,877 | |
| * | TietoEVRY Oyj (XHEL) | | 466,596 | | 12,773 | |
| | Konecranes Oyj Class A | | 458,019 | | 10,393 | |
| * | Nordea Bank Abp (XHEL) | | 1,373,359 | | 9,498 | |
| | Metsa Board Oyj | | 1,098,216 | | 7,455 | |
| | Kemira Oyj | | 563,469 | | 7,275 | |
| | Cargotec Oyj Class B | | 303,815 | | 7,094 | |
| | YIT Oyj | | 1,056,391 | | 5,766 | |
| * | Outokumpu Oyj | | 1,945,503 | | 5,571 | |
| | Outotec Oyj | | 917,038 | | 5,085 | |
| | Sanoma Oyj | | 470,396 | | 4,770 | |
| | Uponor Oyj | | 348,410 | | 4,718 | |
| | Ahlstrom-Munksjo Oyj | | 239,563 | | 3,595 | |
| * | TietoEVRY Oyj (XOSL) | | 125,869 | | 3,455 | |
| ^ | Citycon Oyj | | 475,571 | | 3,316 | |
| | Raisio Oyj | | 718,894 | | 2,461 | |
| * | Finnair Oyj | | 3,472,410 | | 2,403 | |
| * | F-Secure Oyj | | 643,077 | | 2,078 | |
| | Oriola Oyj | | 814,256 | | 1,833 | |
| *,^ | Finnair Oyj (XHEL) | | 347,241 | | 309 | |
| | | | | | 1,222,509 | |
| France (8.1%) | | | | | |
| | Sanofi | | 6,926,139 | | 706,365 | |
| | LVMH Moet Hennessy Louis Vuitton SE | | 1,584,074 | | 699,366 | |
| ^ | Total SA | | 15,092,568 | | 581,949 | |
| | Schneider Electric SE | | 3,345,354 | | 372,129 | |
| * | BNP Paribas SA | | 6,883,427 | | 275,022 | |
| | Vinci SA | | 2,952,514 | | 273,769 | |
| *,^ | Danone SA | | 3,811,109 | | 264,543 | |
| | Kering SA | | 471,439 | | 257,746 | |
| * | Axa SA | | 12,233,425 | | 257,429 | |
| * | Airbus SE | | 3,524,615 | | 252,554 | |
| * | EssilorLuxottica SA | | 1,873,863 | | 240,996 | |
| | Pernod Ricard SA | | 1,338,153 | | 210,716 | |
| * | Safran SA | | 2,044,908 | | 205,701 | |
| * | L'Oreal SA Loyalty Shares | | 633,276 | | 204,389 | |
| | Air Liquide SA Loyalty Shares | | 1,259,450 | | 182,101 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Hermes International | | 195,903 | | 164,483 | |
| * | L'Oreal SA | | 479,451 | | 154,742 | |
| | Orange SA | | 12,159,126 | | 145,399 | |
| | Dassault Systemes SE | | 837,000 | | 145,298 | |
| | Air Liquide SA | | 940,201 | | 135,942 | |
| | Vivendi SA | | 5,090,932 | | 131,549 | |
| | Legrand SA | | 1,697,550 | | 128,985 | |
| * | Cie Generale des Etablissements Michelin SCA | | 1,114,393 | | 116,157 | |
| * | L'Oreal Loyalty Line 2021 | | 358,283 | | 115,635 | |
| | Capgemini SE | | 999,578 | | 115,354 | |
| * | Cie de Saint-Gobain | | 3,086,216 | | 111,354 | |
| | STMicroelectronics NV | | 4,024,246 | | 109,695 | |
| | Air Liquide SA Loyalty Line 2021 | | 652,591 | | 94,357 | |
| * | Teleperformance | | 369,369 | | 94,072 | |
| * | Societe Generale SA | | 4,921,918 | | 82,293 | |
| *,1 | Worldline SA | | 930,228 | | 81,107 | |
| | Veolia Environnement SA | | 3,189,690 | | 72,027 | |
| * | Credit Agricole SA | | 7,349,235 | | 69,787 | |
| | Edenred | | 1,540,927 | | 67,583 | |
| * | Ingenico Group SA | | 396,239 | | 63,666 | |
| * | Peugeot SA | | 3,470,702 | | 56,917 | |
| | Carrefour SA | | 3,641,323 | | 56,470 | |
| | Alstom SA | | 1,183,638 | | 55,159 | |
| | Engie | | 4,330,276 | | 53,704 | |
| | Thales SA | | 636,779 | | 51,538 | |
| * | Atos SE | | 599,292 | | 51,380 | |
| * | Ubisoft Entertainment SA | | 586,092 | | 48,535 | |
| | Eurofins Scientific SE | | 76,398 | | 48,187 | |
| * | Bouygues SA | | 1,351,335 | | 46,290 | |
| * | Publicis Groupe SA | | 1,370,724 | | 44,528 | |
| * | Eiffage SA | | 478,823 | | 43,892 | |
| * | Getlink SE | | 2,889,201 | | 41,780 | |
| * | Engie SA | | 3,323,086 | | 41,213 | |
| | Gecina SA | | 331,209 | | 40,907 | |
| | Arkema SA | | 424,270 | | 40,783 | |
| ^ | Valeo SA | | 1,519,680 | | 40,082 | |
| 1 | Euronext NV | | 390,707 | | 39,327 | |
| | Sartorius Stedim Biotech | | 152,922 | | 38,772 | |
| * | Bureau Veritas SA | | 1,755,421 | | 37,232 | |
| * | BioMerieux | | 270,964 | | 37,213 | |
| | Orpea | | 309,859 | | 35,790 | |
| * | Accor SA | | 1,201,078 | | 32,780 | |
| * | Renault SA | | 1,166,166 | | 29,847 | |
| | Engie Loyalty Line 2021 | | 2,400,527 | | 29,771 | |
| *,1 | Amundi SA | | 360,432 | | 28,335 | |
| ^ | Rubis SCA | | 578,824 | | 27,906 | |
| | Suez SA | | 2,348,086 | | 27,599 | |
| * | Scor Se | | 993,289 | | 27,433 | |
| ^ | Klepierre SA | | 1,204,663 | | 24,080 | |
| | Rexel SA | | 1,923,741 | | 22,048 | |
| | Covivio | | 294,773 | | 21,381 | |
| ^ | Remy Cointreau SA | | 154,464 | | 21,073 | |
| | TechnipFMC plc | | 2,932,090 | | 20,414 | |
| | Bollore SA | | 6,257,500 | | 19,745 | |
| * | Iliad SA | | 96,888 | | 18,914 | |
| | Aeroports de Paris | | 180,213 | | 18,605 | |
| | Ipsen SA | | 217,823 | | 18,478 | |
| * | Faurecia SE | | 469,143 | | 18,432 | |
| | L'Oreal Prime Fidelity | | 55,143 | | 17,797 | |
| 1 | La Francaise des Jeux SAEM | | 556,499 | | 17,200 | |
| * | Wendel SE | | 173,769 | | 16,584 | |
| * | Alten SA | | 180,518 | | 15,598 | |
| | SES SA Class A | | 2,269,252 | | 15,506 | |
| | Air Liquide SA 2022 | | 103,235 | | 14,927 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | Soitec | | 132,864 | | 14,801 | |
| | Icade | | 204,192 | | 14,258 | |
| * | Eurazeo SE | | 274,841 | | 14,123 | |
| * | Natixis SA | | 5,337,332 | | 14,078 | |
| | Electricite de France SA | | 1,459,528 | | 13,569 | |
| * | Dassault Aviation SA | | 14,773 | | 13,554 | |
| *,^ | Casino Guichard Perrachon SA | | 349,508 | | 12,949 | |
| * | Elis SA (XPAR) | | 1,044,917 | | 12,259 | |
| | Sodexo SA | | 176,557 | | 11,972 | |
| * | Korian SA | | 323,020 | | 11,856 | |
| | SEB SA (loyalty line) | | 70,570 | | 11,706 | |
| | Spie SA | | 776,757 | | 11,672 | |
| | Sodexo | | 169,171 | | 11,471 | |
| | Sopra Steria Group | | 89,312 | | 11,049 | |
| * | CNP Assurances | | 950,356 | | 11,023 | |
| | Eutelsat Communications SA | | 1,174,421 | | 10,864 | |
| | Electricite de France SA Loyalty Shares | | 1,150,379 | | 10,695 | |
| | Gaztransport Et Technigaz SA | | 137,992 | | 10,589 | |
| * | Lagardere SCA | | 724,776 | | 10,355 | |
| | SEB SA (XPAR) | | 55,428 | | 9,194 | |
| | Nexity SA | | 271,866 | | 8,843 | |
| * | Nexans SA | | 187,819 | | 8,739 | |
| * | JCDecaux SA | | 458,322 | | 8,562 | |
| | Sodexo SA - French Loyalty Line | | 125,433 | | 8,505 | |
| ^ | Societe BIC SA | | 160,008 | | 8,147 | |
| | Imerys SA | | 230,526 | | 7,915 | |
| | Cie Plastic Omnium SA | | 348,156 | | 7,133 | |
| | SEB SA (Loyalty Line 2021) | | 41,119 | | 6,821 | |
| | Ipsos | | 243,962 | | 6,150 | |
| * | Virbac SA | | 27,711 | | 6,074 | |
| | Engie Loyalty Line 2022 | | 476,725 | | 5,912 | |
| *,^,1 | Neoen SA | | 139,124 | | 5,656 | |
| *,^ | Air France-KLM | | 1,221,968 | | 5,550 | |
| | Electricite de France SA Loyalty Line 2021 | | 586,841 | | 5,456 | |
| | Trigano SA | | 51,806 | | 5,452 | |
| * | Cgg SA | | 4,567,547 | | 5,045 | |
| ^,1 | Ald SA | | 503,949 | | 5,004 | |
| * | Robertet SA | | 4,470 | | 4,691 | |
| * | Fnac Darty SA | | 112,144 | | 4,658 | |
| * | Metropole Television SA | | 409,704 | | 4,634 | |
| * | Rothschild & Co. | | 178,589 | | 4,334 | |
| * | Elis SA (XLON) | | 348,824 | | 4,073 | |
| * | Coface SA | | 575,893 | | 3,800 | |
| 1 | Maisons du Monde SA | | 287,047 | | 3,790 | |
| * | Interparfums SA | | 84,124 | | 3,778 | |
| *,1 | Verallia SA | | 129,692 | | 3,723 | |
| * | Television Francaise 1 | | 662,677 | | 3,596 | |
| 1 | Elior Group SA | | 613,884 | | 3,512 | |
| *,^ | Carmila SA | | 242,372 | | 3,335 | |
| | Mercialys SA | | 386,124 | | 3,237 | |
| | Quadient | | 214,287 | | 3,132 | |
| | Sodexo Prime Fidelity 2022 | | 45,442 | | 3,081 | |
| | Vicat SA | | 100,106 | | 3,078 | |
| | Albioma ACT Loyalty Shares | | 66,334 | | 2,742 | |
| | Ffp | | 33,103 | | 2,498 | |
| * | Akka Technologies | | 77,201 | | 2,497 | |
| * | DBV Technologies SA | | 276,426 | | 2,459 | |
| * | Tarkett SA | | 208,740 | | 2,438 | |
| | Albioma SA | | 55,533 | | 2,296 | |
| | Bonduelle SCA | | 91,884 | | 2,214 | |
| | Mersen SA | | 91,001 | | 2,183 | |
| | Vilmorin & Cie SA | | 39,297 | | 2,079 | |
| *,^ | Vallourec SA | | 48,185 | | 2,032 | |
| | Pharmagest Inter@ctive | | 22,710 | | 1,994 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| *,^ | Eramet | | 55,071 | | 1,986 | |
| | Beneteau SA | | 245,148 | | 1,754 | |
| | Derichebourg SA | | 576,374 | | 1,661 | |
| *,^,1 | Europcar Mobility Group | | 672,837 | | 1,607 | |
| * | Manitou BF SA | | 82,117 | | 1,604 | |
| | Lisi SA | | 71,212 | | 1,488 | |
| *,1 | X-Fab Silicon Foundries SE | | 362,572 | | 1,387 | |
| *,^ | Genfit | | 232,704 | | 1,319 | |
| | Guerbet | | 33,254 | | 1,257 | |
| | GL Events | | 81,920 | | 1,139 | |
| | Jacquet Metal Service SA | | 84,366 | | 1,111 | |
| | SEB SA | | 6,108 | | 1,013 | |
| | Akwel | | 50,714 | | 823 | |
| *,^,1 | Smcp SA | | 166,004 | | 813 | |
| * | Lisi | | 34,199 | | 715 | |
| | Boiron SA | | 15,337 | | 633 | |
| * | Etablissements Maurel et Prom SA | | 315,766 | | 627 | |
| | Electricite De France | | 54,608 | | 508 | |
| | Albioma Prime Fidelite | | 10,688 | | 442 | |
| | Sodexo Prime Fidelity | | 6,158 | | 418 | |
| | Union Financiere de France BQE SA | | 19,376 | | 342 | |
| * | Esso SA Francaise | | 15,063 | | 250 | |
| § | Bourbon Corp. SA | | 26,831 | | 111 | |
| *,§ | Bourbon Corp. | | 11,499 | | 47 | |
| | | | | | 9,104,352 | |
| Germany (7.6%) | | | | | |
| | SAP SE | | 7,134,707 | | 997,364 | |
| | Siemens AG | | 4,861,018 | | 573,299 | |
| | Allianz SE | | 2,641,910 | | 539,858 | |
| | Bayer AG | | 6,254,500 | | 463,609 | |
| | Deutsche Telekom AG | | 20,543,797 | | 344,712 | |
| | Basf Se | | 5,823,063 | | 327,080 | |
| * | adidas AG | | 1,223,662 | | 322,623 | |
| * | Deutsche Post AG | | 6,209,174 | | 228,002 | |
| | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | 873,354 | | 227,419 | |
| | Deutsche Boerse AG | | 1,167,253 | | 211,247 | |
| * | Vonovia SE | | 3,452,642 | | 211,037 | |
| * | Daimler AG | | 5,125,111 | | 208,511 | |
| | Infineon Technologies AG | | 8,278,435 | | 193,983 | |
| * | Volkswagen AG Preference Shares | | 1,162,801 | | 176,747 | |
| | E.On Se | | 13,777,820 | | 155,521 | |
| | Bayerische Motoren Werke AG | | 2,043,404 | | 130,453 | |
| * | Fresenius SE & Co. KGaA | | 2,567,385 | | 127,607 | |
| | Rwe AG | | 3,643,984 | | 127,566 | |
| * | Deutsche Bank AG | | 12,998,345 | | 124,006 | |
| * | Fresenius Medical Care AG & Co. KGaA | | 1,315,471 | | 113,171 | |
| | Henkel AG & Co. KGaA Preference Shares | | 1,107,800 | | 103,351 | |
| | Deutsche Wohnen SE | | 2,290,049 | | 102,905 | |
| | Merck KGaA | | 821,583 | | 95,672 | |
| | Symrise AG Class A | | 802,418 | | 93,761 | |
| *,1 | Delivery Hero SE | | 899,276 | | 92,417 | |
| *,1 | Zalando SE | | 1,020,253 | | 72,378 | |
| | Beiersdorf AG | | 633,579 | | 72,047 | |
| | Sartorius AG Preference Shares | | 217,909 | | 71,921 | |
| * | Continental AG | | 689,101 | | 67,747 | |
| | Hannover Rueck SE | | 381,844 | | 65,992 | |
| * | Qiagen NV | | 1,402,673 | | 60,468 | |
| * | MTU Aero Engines AG | | 336,387 | | 58,566 | |
| * | Porsche Automobil Holding SE Preference Shares | | 974,890 | | 56,465 | |
| * | LEG Immobilien AG | | 440,693 | | 55,896 | |
| | Henkel AG & Co. KGaA | | 648,541 | | 54,258 | |
| | Brenntag AG | | 985,514 | | 52,252 | |
| 1 | Scout24 AG | | 668,023 | | 51,684 | |
| | HeidelbergCement AG | | 945,590 | | 50,619 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | HelloFresh SE | | 893,932 | | 47,821 | |
| * | Aroundtown SA | | 7,652,961 | | 43,866 | |
| *,1 | TeamViewer AG | | 777,462 | | 42,363 | |
| *,1 | Covestro AG | | 1,082,516 | | 41,231 | |
| * | Puma SE | | 521,096 | | 40,403 | |
| 1 | Siemens Healthineers AG | | 831,648 | | 39,976 | |
| * | Knorr-Bremse AG | | 356,868 | | 36,217 | |
| | GEA Group AG | | 1,050,345 | | 33,336 | |
| * | Volkswagen AG | | 205,620 | | 33,199 | |
| | Evonik Industries AG | | 1,213,035 | | 30,896 | |
| | Bechtle AG | | 173,328 | | 30,721 | |
| * | Commerzbank AG | | 6,595,238 | | 29,394 | |
| * | Lanxess AG | | 526,284 | | 27,831 | |
| * | KION Group AG | | 447,368 | | 27,545 | |
| | United Internet AG | | 647,547 | | 27,513 | |
| * | MorphoSys AG | | 207,560 | | 26,316 | |
| | Rheinmetall AG | | 274,073 | | 23,816 | |
| | Nemetschek SE | | 344,790 | | 23,691 | |
| *,^ | Evotec SE | | 854,080 | | 23,312 | |
| | Uniper SE | | 706,208 | | 22,789 | |
| * | Carl Zeiss Meditec AG | | 231,267 | | 22,519 | |
| * | OSRAM Licht AG | | 472,489 | | 22,472 | |
| *,^ | thyssenkrupp AG | | 2,957,234 | | 21,098 | |
| * | Dialog Semiconductor plc | | 440,526 | | 20,136 | |
| | TAG Immobilien AG | | 807,848 | | 19,295 | |
| | Gerresheimer AG | | 197,921 | | 18,291 | |
| ^ | Fuchs Petrolub SE Preference Shares | | 448,056 | | 18,009 | |
| | Bayerische Motoren Werke AG Preference Shares | | 362,344 | | 17,602 | |
| * | alstria office REIT-AG | | 1,127,109 | | 16,775 | |
| ^ | Grand City Properties SA | | 704,087 | | 16,284 | |
| * | CTS Eventim AG & Co. KGaA | | 372,331 | | 15,547 | |
| *,^ | Deutsche Lufthansa AG | | 1,506,564 | | 15,115 | |
| | Aurubis AG | | 229,464 | | 14,185 | |
| | Siltronic AG | | 131,624 | | 13,497 | |
| | Freenet AG | | 808,665 | | 12,986 | |
| *,^ | Grenke AG | | 165,719 | | 12,855 | |
| | Software AG | | 310,750 | | 12,551 | |
| | Telefonica Deutschland Holding AG | | 4,228,709 | | 12,471 | |
| * | Cancom Se | | 230,985 | | 12,314 | |
| | Hugo Boss AG | | 391,275 | | 11,858 | |
| *,^ | ProSiebenSat.1 Media SE | | 988,997 | | 11,819 | |
| ^ | Rational AG | | 20,994 | | 11,765 | |
| | Hella GmbH & Co. KGaA | | 280,931 | | 11,540 | |
| | Hochtief AG | | 126,045 | | 11,216 | |
| * | Hypoport SE | | 25,094 | | 11,163 | |
| | CompuGroup Medical SE & Co. KgaA | | 141,781 | | 11,158 | |
| * | Stroeer SE & Co. KGaA | | 156,718 | | 10,576 | |
| | Fielmann AG | | 153,721 | | 10,371 | |
| | Metro AG | | 1,069,292 | | 10,148 | |
| *,^ | Varta AG | | 88,703 | | 10,010 | |
| *,^ | Fraport AG Frankfurt Airport Services Worldwide | | 226,557 | | 9,924 | |
| ^ | Encavis AG | | 634,615 | | 9,246 | |
| | Talanx AG | | 238,714 | | 8,872 | |
| 1 | Befesa SA | | 219,453 | | 8,558 | |
| | RIB Software SE | | 260,057 | | 8,472 | |
| *,^ | S&T AG | | 319,264 | | 8,215 | |
| * | Aixtron Se | | 677,306 | | 8,168 | |
| | Stabilus SA | | 154,142 | | 8,090 | |
| | Duerr AG | | 309,603 | | 8,082 | |
| *,1 | DWS Group GmbH & Co. KGaA | | 221,273 | | 8,063 | |
| * | RTL Group SA | | 243,179 | | 7,802 | |
| | Suedzucker AG | | 490,722 | | 7,745 | |
| | Pfeiffer Vacuum Technology AG | | 41,910 | | 7,739 | |
| ^ | K&S AG | | 1,215,895 | | 7,707 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | 1&1 Drillisch AG | | 291,381 | | 7,591 | |
| *,1 | ADO Properties SA | | 277,941 | | 7,581 | |
| * | Jenoptik AG | | 317,691 | | 7,422 | |
| * | Aareal Bank AG | | 378,310 | | 7,391 | |
| *,1 | Rocket Internet SE | | 332,959 | | 7,174 | |
| * | Jungheinrich AG Preference Shares | | 301,610 | | 7,092 | |
| | Fuchs Petrolub Se | | 209,809 | | 7,066 | |
| * | Patrizia AG | | 280,762 | | 6,810 | |
| * | Zooplus AG | | 39,948 | | 6,562 | |
| * | Wacker Chemie AG | | 93,832 | | 6,452 | |
| *,^ | Sixt SE | | 82,160 | | 6,308 | |
| * | Traton SE | | 321,484 | | 6,281 | |
| | Krones AG | | 93,429 | | 6,000 | |
| | Sixt SE Preference Shares | | 109,694 | | 5,713 | |
| *,1 | Deutsche Pfandbriefbank AG | | 778,346 | | 5,695 | |
| * | Norma Group SE | | 206,812 | | 5,536 | |
| | New Work SE | | 17,874 | | 5,513 | |
| | KWS Saat SE & Co. KGaA | | 67,523 | | 5,063 | |
| * | Deutsche EuroShop AG | | 317,420 | | 4,486 | |
| *,^ | Nordex SE | | 443,112 | | 4,427 | |
| | Hornbach Holding AG & Co. KGaA | | 53,184 | | 4,410 | |
| * | DIC Asset AG | | 321,705 | | 4,322 | |
| * | Ceconomy AG | | 1,163,499 | | 4,060 | |
| * | Indus Holding AG | | 118,565 | | 4,004 | |
| * | Draegerwerk AG & Co. KGaA Preference Shares | | 48,652 | | 3,981 | |
| | Dermapharm Holding SE | | 74,899 | | 3,719 | |
| | Schaeffler AG Preference Shares | | 492,847 | | 3,699 | |
| * | Deutz AG | | 777,333 | | 3,658 | |
| | Bilfinger SE | | 184,396 | | 3,532 | |
| *,^ | Salzgitter AG | | 246,350 | | 3,466 | |
| | TUI AG (XETR) | | 619,858 | | 2,929 | |
| * | BayWa AG | | 88,778 | | 2,870 | |
| * | Washtec AG | | 67,018 | | 2,762 | |
| * | Kloeckner & Co. SE | | 465,713 | | 2,552 | |
| * | Hamburger Hafen und Logistik AG | | 148,344 | | 2,519 | |
| * | Vossloh AG | | 55,521 | | 2,435 | |
| | Deutsche Beteiligungs AG | | 71,593 | | 2,431 | |
| *,^ | Wacker Neuson SE | | 157,322 | | 2,382 | |
| * | Takkt AG | | 204,076 | | 2,090 | |
| | Wuestenrot & Wuerttembergische AG | | 118,815 | | 2,025 | |
| *,^ | Koenig & Bauer AG | | 84,954 | | 1,903 | |
| * | SMA Solar Technology AG | | 56,422 | | 1,750 | |
| * | TLG Immobilien AG | | 84,973 | | 1,668 | |
| *,^ | Leoni AG | | 214,852 | | 1,614 | |
| *,^ | Corestate Capital Holding SA | | 68,820 | | 1,399 | |
| * | Rhoen-Klinikum AG (XETR) | | 66,148 | | 1,350 | |
| * | Rhoen-Klinikum AG (XFRA) | | 66,147 | | 1,321 | |
| | CropEnergies AG | | 122,275 | | 1,231 | |
| | Bertrandt AG | | 29,728 | | 1,174 | |
| * | Heidelberger Druckmaschinen AG | | 1,746,471 | | 1,128 | |
| * | SGL Carbon SE | | 292,491 | | 1,065 | |
| *,^ | ElringKlinger AG | | 170,712 | | 1,020 | |
| 1 | Hapag-Lloyd AG | | 280 | | 16 | |
| | | | | | 8,493,407 | |
| Hong Kong (3.1%) | | | | | |
| | AIA Group Ltd. | | 76,937,877 | | 719,954 | |
| | Hong Kong Exchanges & Clearing Ltd. | | 8,071,078 | | 343,761 | |
| | Sun Hung Kai Properties Ltd. | | 9,041,993 | | 115,514 | |
| | CK Hutchison Holdings Ltd. | | 17,040,936 | | 110,350 | |
| | Link REIT | | 13,076,784 | | 107,363 | |
| | CLP Holdings Ltd. | | 10,464,955 | | 102,779 | |
| | CK Asset Holdings Ltd. | | 17,103,059 | | 102,564 | |
| | Hong Kong & China Gas Co. Ltd. | | 65,820,642 | | 102,296 | |
| | Galaxy Entertainment Group Ltd. | | 13,641,041 | | 93,574 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Techtronic Industries Co. Ltd. | | 7,938,187 | | 78,545 | |
| | Hang Seng Bank Ltd. | | 4,605,025 | | 77,559 | |
| | BOC Hong Kong Holdings Ltd. | | 22,768,574 | | 72,903 | |
| * | Semiconductor Manufacturing International Corp. | | 19,938,572 | | 69,944 | |
| | China Mengniu Dairy Co. Ltd. | | 17,002,845 | | 65,199 | |
| | Sands China Ltd. | | 15,270,247 | | 60,153 | |
| | Jardine Matheson Holdings Ltd. | | 1,331,408 | | 55,667 | |
| | Power Assets Holdings Ltd. | | 8,700,334 | | 47,539 | |
| | MTR Corp. Ltd. | | 9,070,964 | | 47,176 | |
| 1 | WH Group Ltd. | | 53,415,238 | | 46,161 | |
| | New World Development Co. Ltd. | | 9,091,453 | | 43,167 | |
| | Henderson Land Development Co. Ltd. | | 8,283,045 | | 31,589 | |
| § | Wheelock & Co. Ltd. | | 3,957,162 | | 31,279 | |
| ^ | Wharf Real Estate Investment Co. Ltd. | | 6,499,260 | | 31,200 | |
| | Hongkong Land Holdings Ltd. | | 7,363,884 | | 30,630 | |
| | Hang Lung Properties Ltd. | | 12,813,388 | | 30,461 | |
| ^ | AAC Technologies Holdings Inc. | | 4,347,213 | | 26,848 | |
| | Sino Land Co. Ltd. | | 20,902,721 | | 26,446 | |
| | Lenovo Group Ltd. | | 47,196,000 | | 26,333 | |
| | Want Want China Holdings Ltd. | | 34,584,109 | | 26,270 | |
| | Jardine Strategic Holdings Ltd. | | 1,152,999 | | 24,871 | |
| | Sun Art Retail Group Ltd. | | 13,917,965 | | 23,878 | |
| | Xinyi Solar Holdings Ltd. | | 24,536,196 | | 23,595 | |
| 1 | Budweiser Brewing Co. APAC Ltd. | | 7,497,075 | | 21,947 | |
| | CK Infrastructure Holdings Ltd. | | 3,955,904 | | 20,449 | |
| | ASM Pacific Technology Ltd. | | 1,927,619 | | 20,371 | |
| ^ | Vitasoy International Holdings Ltd. | | 5,048,482 | | 19,405 | |
| *,1 | ESR Cayman Ltd. | | 7,765,000 | | 18,437 | |
| | Bank of East Asia Ltd. | | 8,036,850 | | 18,423 | |
| | Tingyi Cayman Islands Holding Corp. | | 11,805,728 | | 18,391 | |
| | Swire Properties Ltd. | | 6,672,967 | | 17,037 | |
| | Swire Pacific Ltd. Class A | | 3,154,822 | | 16,767 | |
| | Wynn Macau Ltd. | | 9,208,805 | | 15,972 | |
| | Xinyi Glass Holdings Ltd. | | 12,554,622 | | 15,494 | |
| | PCCW Ltd. | | 26,247,769 | | 15,008 | |
| | SJM Holdings Ltd. | | 11,804,928 | | 13,235 | |
| | Hang Lung Group Ltd. | | 5,511,455 | | 12,898 | |
| | Hysan Development Co. Ltd. | | 3,919,455 | | 12,653 | |
| | Minth Group Ltd. | | 4,404,424 | | 12,643 | |
| | Microport Scientific Corp. | | 2,897,904 | | 11,691 | |
| ^ | Wharf Holdings Ltd. | | 5,599,699 | | 11,458 | |
| * | Prada SpA | | 3,242,355 | | 11,330 | |
| | NagaCorp Ltd. | | 9,572,432 | | 11,167 | |
| | Kerry Properties Ltd. | | 3,765,684 | | 9,782 | |
| | Melco International Development Ltd. | | 4,865,639 | | 9,487 | |
| | Man Wah Holdings Ltd. | | 9,520,715 | | 9,169 | |
| | Dairy Farm International Holdings Ltd. | | 1,915,631 | | 8,951 | |
| | HKBN Ltd. | | 4,987,252 | | 8,745 | |
| | United Energy Group Ltd. | | 47,505,171 | | 8,616 | |
| 1 | BOC Aviation Ltd. | | 1,333,007 | | 8,581 | |
| *,1 | Samsonite International SA | | 8,165,087 | | 8,329 | |
| | SITC International Holdings Co. Ltd. | | 7,594,863 | | 8,132 | |
| | NWS Holdings Ltd. | | 8,991,035 | | 7,821 | |
| | Fortune REIT | | 8,441,044 | | 7,633 | |
| | Uni-President China Holdings Ltd. | | 7,368,968 | | 7,371 | |
| | Yue Yuen Industrial Holdings Ltd. | | 4,457,373 | | 6,794 | |
| | Chow Tai Fook Jewellery Group Ltd. | | 6,835,373 | | 6,546 | |
| | Champion REIT | | 12,408,568 | | 6,481 | |
| | Gemdale Properties & Investment Corp. Ltd. | | 34,175,776 | | 6,372 | |
| | Swire Pacific Ltd. Class B | | 6,486,318 | | 6,209 | |
| | VTech Holdings Ltd. | | 1,025,325 | | 6,177 | |
| | MGM China Holdings Ltd. | | 4,650,183 | | 6,043 | |
| | Shangri-La Asia Ltd. | | 6,846,920 | | 5,916 | |
| | L'Occitane International SA | | 2,914,414 | | 4,913 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Kerry Logistics Network Ltd. | | 3,597,862 | | 4,796 | |
| | Shougang Fushan Resources Group Ltd. | | 22,615,315 | | 4,750 | |
| ^ | IGG Inc. | | 5,678,937 | | 4,670 | |
| | Luk Fook Holdings International Ltd. | | 2,142,780 | | 4,659 | |
| | Cafe de Coral Holdings Ltd. | | 2,168,109 | | 4,507 | |
| *,^,1 | Razer Inc. | | 23,399,723 | | 4,436 | |
| | Shun Tak Holdings Ltd. | | 11,573,451 | | 4,333 | |
| | Johnson Electric Holdings Ltd. | | 2,262,975 | | 4,025 | |
| | Pacific Basin Shipping Ltd. | | 26,808,148 | | 3,941 | |
| | Haitong International Securities Group Ltd. | | 16,114,461 | | 3,868 | |
| ^ | COFCO Meat Holdings Ltd. | | 11,307,876 | | 3,761 | |
| ^ | Cathay Pacific Airways Ltd. | | 3,883,272 | | 3,755 | |
| | Shui On Land Ltd. | | 21,597,514 | | 3,642 | |
| * | Nexteer Automotive Group Ltd. | | 5,185,943 | | 3,594 | |
| | K Wah International Holdings Ltd. | | 8,129,451 | | 3,521 | |
| | Sunlight REIT | | 6,857,365 | | 3,419 | |
| * | Pou Sheng International Holdings Ltd. | | 13,881,071 | | 3,199 | |
| | Towngas China Co. Ltd. | | 6,986,958 | | 3,169 | |
| | Value Partners Group Ltd. | | 6,114,807 | | 3,117 | |
| *,^ | MMG Ltd. | | 14,829,883 | | 3,099 | |
| | SUNeVision Holdings Ltd. | | 3,869,000 | | 3,046 | |
| | CITIC Telecom International Holdings Ltd. | | 9,240,595 | | 2,944 | |
| | First Pacific Co. Ltd. | | 15,071,867 | | 2,892 | |
| | Xinyi Energy Holdings Ltd. | | 9,050,000 | | 2,878 | |
| | Stella International Holdings Ltd. | | 2,747,000 | | 2,817 | |
| | Asia Cement China Holdings Corp. | | 2,792,500 | | 2,759 | |
| * | United Laboratories International Holdings Ltd. | | 3,117,654 | | 2,700 | |
| | Dah Sing Financial Holdings Ltd. | | 923,124 | | 2,599 | |
| *,1 | Frontage Holdings Corp. | | 3,938,000 | | 2,448 | |
| *,^,1 | FIT Hon Teng Ltd. | | 6,206,814 | | 2,419 | |
| | Lifestyle International Holdings Ltd. | | 2,888,383 | | 2,384 | |
| | China Harmony New Energy Auto Holding Ltd. | | 4,754,318 | | 2,378 | |
| | China Travel International Investment Hong Kong Ltd. | | 16,502,841 | | 2,354 | |
| | Huabao International Holdings Ltd. | | 5,311,030 | | 2,335 | |
| *,^ | Suncity Group Holdings Ltd. | | 13,840,000 | | 2,303 | |
| | VSTECS Holdings Ltd. | | 4,188,000 | | 2,264 | |
| | Dah Sing Banking Group Ltd. | | 2,440,692 | | 2,240 | |
| | Far East Consortium International Ltd. | | 6,614,763 | | 2,169 | |
| | Chinese Estates Holdings Ltd. | | 3,197,553 | | 2,131 | |
| | Television Broadcasts Ltd. | | 1,828,399 | | 2,131 | |
| | Prosperity REIT | | 7,042,063 | | 2,101 | |
| | Beijing Tong Ren Tang Chinese Medicine Co. Ltd. | | 1,536,000 | | 2,074 | |
| | Guotai Junan International Holdings Ltd. | | 15,806,667 | | 2,074 | |
| *,^ | FIH Mobile Ltd. | | 18,892,100 | | 2,037 | |
| | Canvest Environmental Protection Group Co. Ltd. | | 4,505,821 | | 1,982 | |
| *,^ | Hong Kong Television Network Ltd. | | 3,398,385 | | 1,965 | |
| *,1 | JS Global Lifestyle Co. Ltd. | | 2,000,000 | | 1,931 | |
| | Road King Infrastructure Ltd. | | 1,411,105 | | 1,919 | |
| | Ju Teng International Holdings Ltd. | | 4,949,147 | | 1,816 | |
| ^,§ | Town Health International Medical Group Ltd. | | 20,414,000 | | 1,811 | |
| 1 | Xiabuxiabu Catering Management China Holdings Co. Ltd. | | 1,714,009 | | 1,700 | |
| *,^ | Apollo Future Mobility Group Ltd. | | 26,845,041 | | 1,682 | |
| 1 | Impro Precision Industries Ltd. | | 4,541,000 | | 1,572 | |
| | Pacific Textiles Holdings Ltd. | | 3,165,430 | | 1,534 | |
| | Chow Sang Sang Holdings International Ltd. | | 1,433,542 | | 1,525 | |
| | Dynam Japan Holdings Co. Ltd. | | 1,677,081 | | 1,512 | |
| | SmarTone Telecommunications Holdings Ltd. | | 2,628,348 | | 1,411 | |
| | Sun Hung Kai & Co. Ltd. | | 3,568,891 | | 1,405 | |
| *,1 | CGN New Energy Holdings Co. Ltd. | | 7,148,299 | | 1,380 | |
| *,§ | Convoy Global Holdings Ltd. | | 62,200,399 | | 1,340 | |
| | Hutchison Telecommunications Hong Kong Holdings Ltd. | | 8,216,533 | | 1,310 | |
| *,^ | Macau Legend Development Ltd. | | 9,228,847 | | 1,255 | |
| * | Esprit Holdings Ltd. | | 11,364,990 | | 1,242 | |
| * | Inspur International Ltd. | | 3,552,253 | | 1,201 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Giordano International Ltd. | | 7,623,213 | | 1,159 | |
| ^ | SA Sa International Holdings Ltd. | | 6,762,431 | | 1,147 | |
| * | Truly International Holdings Ltd. | | 10,491,276 | | 1,108 | |
| 1 | IMAX China Holding Inc. | | 725,210 | | 1,052 | |
| ^ | Lee's Pharmaceutical Holdings Ltd. | | 1,502,214 | | 799 | |
| *,^ | Anton Oilfield Services Group | | 12,952,652 | | 781 | |
| *,^ | Digital Domain Holdings Ltd. | | 122,152,403 | | 744 | |
| 1 | Crystal International Group Ltd. | | 3,398,288 | | 741 | |
| * | G-Resources Group Ltd. | | 147,853,837 | | 727 | |
| | Texwinca Holdings Ltd. | | 4,527,015 | | 670 | |
| 1 | Regina Miracle International Holdings Ltd. | | 2,304,993 | | 658 | |
| *,^ | Lifestyle China Group Ltd. | | 2,624,750 | | 625 | |
| | BOE Varitronix Ltd. | | 1,848,084 | | 591 | |
| * | Goodbaby International Holdings Ltd. | | 5,136,542 | | 580 | |
| | Singamas Container Holdings Ltd. | | 8,736,229 | | 576 | |
| * | New World Department Store China Ltd. | | 3,151,539 | | 575 | |
| *,^ | HC Group Inc. | | 3,476,594 | | 575 | |
| * | GCL New Energy Holdings Ltd. | | 37,854,541 | | 542 | |
| * | China Silver Group Ltd. | | 7,292,857 | | 536 | |
| * | NewOcean Energy Holdings Ltd. | | 5,288,518 | | 499 | |
| * | Honghua Group Ltd. | | 15,847,067 | | 499 | |
| | Henderson Investment Ltd. | | 8,528,837 | | 440 | |
| | Emperor Watch & Jewellery Ltd. | | 27,277,004 | | 431 | |
| * | China LNG Group Ltd. | | 10,999,799 | | 408 | |
| * | Emperor Capital Group Ltd. | | 23,460,249 | | 405 | |
| * | Glory Sun Land Group Ltd. | | 6,860,000 | | 404 | |
| * | Parkson Retail Group Ltd. | | 5,800,123 | | 355 | |
| *,^ | KuangChi Science Ltd. | | 10,027,510 | | 345 | |
| *,§ | Camsing International Holding Ltd. | | 2,274,000 | | 340 | |
| | EVA Precision Industrial Holdings Ltd. | | 6,277,277 | | 333 | |
| | Shenwan Hongyuan HK Ltd. | | 2,523,758 | | 288 | |
| *,§ | Brightoil Petroleum Holdings Ltd. | | 10,098,301 | | 261 | |
| ^ | Agritrade Resources Ltd. | | 14,695,000 | | 158 | |
| | NOVA Group Holdings Ltd. | | 7,620,000 | | 145 | |
| *,§ | China Baoli Technologies Holdings Ltd. | | 10,554,643 | | 135 | |
| * | Beijing Sports and Entertainment Industry Group Ltd. | | 1,870,000 | | 32 | |
| | | | | | 3,456,307 | |
| Ireland (0.2%) | | | | | |
| | Kerry Group plc Class A | | 978,766 | | 121,590 | |
| | Kingspan Group plc | | 955,272 | | 61,669 | |
| | CRH plc (XDUB) | | 760,199 | | 26,166 | |
| | Glanbia plc (XDUB) | | 1,242,671 | | 14,122 | |
| * | Bank of Ireland Group plc | | 5,809,665 | | 11,971 | |
| * | AIB Group plc | | 5,031,085 | | 6,352 | |
| | Hibernia REIT plc | | 4,490,224 | | 5,669 | |
| | C&C Group plc (XDUB) | | 1,900,382 | | 5,416 | |
| | Cairn Homes plc (XLON) | | 4,113,162 | | 4,170 | |
| | Irish Continental Group plc | | 1,035,478 | | 4,144 | |
| | Dalata Hotel Group plc | | 1,201,142 | | 3,856 | |
| * | Permanent TSB Group Holdings plc | | 690,650 | | 396 | |
| | Cairn Homes plc (XDUB) | | 321,752 | | 314 | |
| *,§ | Irish Bank Resolution Corp. Ltd. | | 257,065 | | — | |
| | | | | | 265,835 | |
| Israel (0.4%) | | | | | |
| * | Teva Pharmaceutical Industries Ltd. | | 6,170,875 | | 75,434 | |
| * | Nice Ltd. | | 396,670 | | 74,773 | |
| | Bank Leumi Le-Israel BM | | 9,177,788 | | 46,145 | |
| | Bank Hapoalim BM | | 6,892,633 | | 41,205 | |
| | Israel Discount Bank Ltd. Class A | | 7,451,105 | | 22,726 | |
| | Elbit Systems Ltd. | | 155,799 | | 21,410 | |
| | Mizrahi Tefahot Bank Ltd. | | 823,032 | | 15,465 | |
| | ICL Group Ltd. | | 4,364,007 | | 12,999 | |
| * | Tower Semiconductor Ltd. | | 670,999 | | 12,768 | |
| * | Bezeq The Israeli Telecommunication Corp. Ltd. | | 12,867,582 | | 11,680 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Azrieli Group Ltd. | | 231,978 | | 10,573 | |
| * | Nova Measuring Instruments Ltd. | | 179,083 | | 8,627 | |
| * | Mivne Real Estate KD Ltd. | | 4,182,384 | | 7,580 | |
| | Strauss Group Ltd. | | 258,930 | | 7,179 | |
| | First International Bank Of Israel Ltd. | | 330,815 | | 7,021 | |
| | Alony Hetz Properties & Investments Ltd. | | 656,566 | | 6,563 | |
| | Paz Oil Co. Ltd. | | 64,953 | | 5,221 | |
| * | Airport City Ltd. | | 461,669 | | 4,973 | |
| * | Enlight Renewable Energy Ltd. | | 3,187,501 | | 4,888 | |
| | Electra Ltd. | | 11,362 | | 4,846 | |
| | Shufersal Ltd. | | 711,890 | | 4,651 | |
| * | Shikun & Binui Ltd. | | 1,249,224 | | 4,469 | |
| | Sapiens International Corp. NV | | 164,914 | | 4,448 | |
| * | Shapir Engineering and Industry Ltd. | | 712,311 | | 4,335 | |
| | Matrix IT Ltd. | | 199,720 | | 4,268 | |
| | Reit 1 Ltd. | | 1,155,468 | | 4,239 | |
| | AudioCodes Ltd. | | 131,473 | | 4,230 | |
| | Melisron Ltd. | | 110,622 | | 4,177 | |
| * | Energix-Renewable Energies Ltd. | | 1,104,163 | | 4,162 | |
| | Amot Investments Ltd. | | 882,186 | | 4,022 | |
| | Harel Insurance Investments & Financial Services Ltd. | | 727,682 | | 3,957 | |
| | Formula Systems 1985 Ltd. | | 49,594 | | 3,865 | |
| * | Hilan Ltd. | | 87,200 | | 3,530 | |
| * | Phoenix Holdings Ltd. | | 772,126 | | 2,867 | |
| * | Partner Communications Co. Ltd. | | 625,069 | | 2,778 | |
| | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | 49,231 | | 2,731 | |
| | FIBI Holdings Ltd. | | 111,664 | | 2,725 | |
| | Mega Or Holdings Ltd. | | 121,300 | | 2,711 | |
| | Isracard Ltd. | | 1,186,514 | | 2,701 | |
| | Gazit-Globe Ltd. | | 556,244 | | 2,635 | |
| * | Clal Insurance Enterprises Holdings Ltd. | | 307,888 | | 2,586 | |
| * | Allot Ltd. | | 209,892 | | 2,226 | |
| * | AFI Properties Ltd. | | 95,103 | | 2,224 | |
| | Bayside Land Corp. | | 4,074 | | 2,125 | |
| | Kenon Holdings Ltd. | | 103,829 | | 2,054 | |
| * | Cellcom Israel Ltd. (Registered) | | 518,250 | | 2,052 | |
| | Sella Capital Real Estate Ltd. | | 1,225,601 | | 2,018 | |
| * | Israel Corp. Ltd. | | 24,253 | | 1,995 | |
| | Big Shopping Centers Ltd. | | 26,422 | | 1,842 | |
| | Oil Refineries Ltd. | | 9,323,608 | | 1,741 | |
| | Delek Automotive Systems Ltd. | | 329,995 | | 1,504 | |
| | Menora Mivtachim Holdings Ltd. | | 148,621 | | 1,495 | |
| * | Kamada Ltd. | | 191,190 | | 1,461 | |
| | Fattal Holdings 1998 Ltd. | | 29,153 | | 1,270 | |
| * | Teva Pharmaceutical Industries Ltd. ADR | | 93,286 | | 1,150 | |
| * | Gilat Satellite Networks Ltd. | | 174,451 | | 1,132 | |
| | IDI Insurance Co. Ltd. | | 44,712 | | 1,044 | |
| | Migdal Insurance & Financial Holdings Ltd. | | 1,919,311 | | 1,001 | |
| * | Brack Capital Properties NV | | 14,031 | | 916 | |
| * | Delek Group Ltd. | | 31,775 | | 764 | |
| * | Naphtha Israel Petroleum Corp. Ltd. | | 201,360 | | 663 | |
| | Delta Galil Industries Ltd. | | 56,125 | | 646 | |
| | Property & Building Corp. Ltd. | | 5,883 | | 353 | |
| | Norstar Holdings Inc. | | 54,785 | | 271 | |
| | | | | | 510,110 | |
| Italy (2.1%) | | | | | |
| | Enel SPA | | 49,451,947 | | 427,685 | |
| * | Intesa Sanpaolo SPA (Registered) | | 88,513,319 | | 170,096 | |
| | Eni SPA | | 15,497,063 | | 148,556 | |
| | Ferrari NV | | 772,771 | | 132,373 | |
| * | UniCredit SPA | | 13,590,116 | | 125,427 | |
| | Assicurazioni Generali SPA | | 8,036,765 | | 122,081 | |
| * | Fiat Chrysler Automobiles NV | | 6,998,014 | | 70,807 | |
| | Snam SPA | | 13,887,061 | | 67,702 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Terna Rete Elettrica Nazionale SPA | | 8,844,384 | | 61,005 | |
| * | FinecoBank Banca Fineco SPA | | 3,872,247 | | 52,408 | |
| * | Atlantia SPA | | 3,128,688 | | 50,608 | |
| * | Moncler SPA | | 1,220,654 | | 46,939 | |
| * | CNH Industrial NV | | 6,259,423 | | 43,977 | |
| *,1 | Nexi SPA | | 2,255,898 | | 39,119 | |
| | Exor NV | | 661,589 | | 37,974 | |
| | Mediobanca Banca di Credito Finanziario SPA | | 4,891,145 | | 35,321 | |
| | Prysmian SPA | | 1,519,535 | | 35,251 | |
| | Recordati SPA | | 610,519 | | 30,550 | |
| | Davide Campari-Milano SPA | | 3,510,909 | | 29,692 | |
| ^ | DiaSorin SPA | | 142,925 | | 27,448 | |
| | Telecom Italia SPA (Registered) | | 67,575,472 | | 26,648 | |
| 1 | Poste Italiane SPA | | 2,889,637 | | 25,242 | |
| * | Amplifon SPA | | 772,443 | | 20,636 | |
| * | Unione di Banche Italiane SPA | | 6,002,714 | | 19,704 | |
| | Tenaris SA | | 2,972,490 | | 19,317 | |
| * | Hera SPA | | 4,888,220 | | 18,354 | |
| | Italgas SPA | | 3,119,768 | | 18,156 | |
| 1 | Infrastrutture Wireless Italiane SPA | | 1,789,176 | | 17,960 | |
| | Leonardo SPA | | 2,507,243 | | 16,714 | |
| | Interpump Group SPA | | 505,448 | | 15,070 | |
| | Telecom Italia SPA (Bearer) | | 38,482,976 | | 14,978 | |
| | A2A SpA | | 9,886,591 | | 14,053 | |
| * | Banco BPM SPA | | 9,292,219 | | 13,918 | |
| | Azimut Holding SPA | | 766,768 | | 13,161 | |
| * | Unipol Gruppo SPA | | 3,007,789 | | 11,750 | |
| | Banca Mediolanum SPA | | 1,630,436 | | 11,734 | |
| * | Banca Generali SPA | | 357,191 | | 10,740 | |
| | Reply SPA | | 131,671 | | 10,685 | |
| * | De' Longhi SPA | | 403,755 | | 10,590 | |
| *,1 | Pirelli & C SPA | | 2,487,315 | | 10,582 | |
| | Iren SPA | | 4,019,007 | | 9,980 | |
| | Buzzi Unicem SPA | | 449,122 | | 9,705 | |
| * | Astm SpA | | 390,270 | | 8,936 | |
| | Saipem SPA | | 3,532,565 | | 8,864 | |
| *,^ | Freni Brembo SPA | | 930,825 | | 8,645 | |
| * | Cerved Group SPA | | 1,179,856 | | 8,486 | |
| * | IMA Industria Macchine Automatiche SPA | | 133,752 | | 8,052 | |
| | Erg SpA | | 349,849 | | 7,560 | |
| | UnipolSai Assicurazioni SPA | | 3,147,456 | | 7,540 | |
| 1 | Anima Holding SPA | | 1,681,401 | | 7,263 | |
| 1 | Enav SPA | | 1,573,039 | | 7,106 | |
| *,1 | Technogym SPA | | 783,473 | | 6,557 | |
| * | Brunello Cucinelli SPA | | 213,898 | | 6,372 | |
| *,^ | BPER Banca | | 2,350,084 | | 5,875 | |
| * | Salvatore Ferragamo SPA | | 424,444 | | 5,756 | |
| * | Societa Cattolica di Assicurazioni SC | | 965,285 | | 5,556 | |
| | Acea SpA | | 279,484 | | 5,374 | |
| * | Banca Popolare di Sondrio SCPA | | 2,812,652 | | 5,332 | |
| 1 | Carel Industries SPA | | 255,700 | | 4,701 | |
| *,1 | Banca Farmafactoring SPA | | 817,683 | | 4,659 | |
| | Falck Renewables SPA | | 745,579 | | 4,574 | |
| * | Autogrill SPA | | 793,227 | | 4,188 | |
| ^ | Tamburi Investment Partners SPA | | 618,275 | | 4,042 | |
| *,1 | RAI Way SPA | | 594,307 | | 3,909 | |
| *,^ | Mediaset SPA | | 1,948,044 | | 3,468 | |
| *,1 | doValue SPA | | 378,678 | | 3,425 | |
| *,^ | Juventus Football Club SPA | | 3,061,424 | | 3,180 | |
| * | Marr SpA | | 207,406 | | 3,120 | |
| | Italmobiliare SPA | | 91,544 | | 2,995 | |
| | Buzzi Unicem SPA Saving Shares | | 240,132 | | 2,994 | |
| *,^ | Banca Monte dei Paschi di Siena SPA | | 1,662,599 | | 2,963 | |
| * | Saras SPA | | 3,652,320 | | 2,879 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Zignago Vetro SPA | | 179,792 | | 2,691 | |
| | Piaggio & C SPA | | 1,044,916 | | 2,533 | |
| * | Credito Emiliano SPA | | 493,115 | | 2,443 | |
| ^ | Webuild SPA | | 1,390,794 | | 2,188 | |
| *,^ | Fincantieri SPA | | 3,023,785 | | 2,089 | |
| | Cementir Holding NV | | 279,567 | | 1,996 | |
| | Danieli & C Officine Meccaniche SPA Saving Shares | | 235,975 | | 1,934 | |
| *,^ | Tod's SPA | | 63,372 | | 1,888 | |
| *,^ | Maire Tecnimont SPA | | 948,680 | | 1,849 | |
| | CIR SpA-Compagnie Industriali | | 3,773,149 | | 1,766 | |
| * | Immobiliare Grande Distribuzione SIIQ SPA | | 422,008 | | 1,670 | |
| * | Banca IFIS SPA | | 160,966 | | 1,555 | |
| ^ | Datalogic SPA | | 125,150 | | 1,554 | |
| | Danieli & C Officine Meccaniche SPA | | 91,061 | | 1,167 | |
| * | Biesse SPA | | 90,441 | | 1,148 | |
| *,^,1 | Ovs SpA | | 1,020,227 | | 1,114 | |
| * | Arnoldo Mondadori Editore SPA | | 790,471 | | 856 | |
| | DeA Capital SPA | | 540,849 | | 774 | |
| * | Cairo Communication SPA | | 432,712 | | 713 | |
| * | Rizzoli Corriere Della Sera Mediagroup SPA | | 743,731 | | 518 | |
| *,^ | Geox SPA | | 460,767 | | 374 | |
| | | | | | 2,291,887 | |
| Japan (22.5%) | | | | | |
| | Toyota Motor Corp. | | 15,639,672 | | 983,487 | |
| | Sony Corp. | | 7,758,284 | | 535,556 | |
| | SoftBank Group Corp. | | 10,276,066 | | 518,198 | |
| | Keyence Corp. | | 1,145,474 | | 480,024 | |
| | Daiichi Sankyo Co. Ltd. | | 4,042,133 | | 330,613 | |
| | KDDI Corp. | | 10,791,458 | | 321,986 | |
| | Takeda Pharmaceutical Co. Ltd. | | 8,726,831 | | 313,537 | |
| | Mitsubishi UFJ Financial Group Inc. | | 79,331,114 | | 312,210 | |
| | Nintendo Co. Ltd. | | 677,965 | | 303,097 | |
| | Shin-Etsu Chemical Co. Ltd. | | 2,525,992 | | 296,454 | |
| | Honda Motor Co. Ltd. | | 10,865,019 | | 278,076 | |
| | Recruit Holdings Co. Ltd. | | 8,030,588 | | 276,174 | |
| | Daikin Industries Ltd. | | 1,685,323 | | 272,685 | |
| | Kao Corp. | | 2,985,482 | | 236,921 | |
| | Sumitomo Mitsui Financial Group Inc. | | 8,248,686 | | 232,793 | |
| | Tokyo Electron Ltd. | | 937,857 | | 231,410 | |
| | Chugai Pharmaceutical Co. Ltd. | | 4,131,909 | | 221,222 | |
| | Hoya Corp. | | 2,305,476 | | 220,770 | |
| | FANUC Corp. | | 1,220,735 | | 218,841 | |
| | Murata Manufacturing Co. Ltd. | | 3,621,420 | | 213,477 | |
| | Mizuho Financial Group Inc. | | 161,473,308 | | 198,619 | |
| | Nidec Corp. | | 2,947,322 | | 198,558 | |
| | Astellas Pharma Inc. | | 11,827,653 | | 197,517 | |
| | NTT DOCOMO Inc. | | 7,192,301 | | 190,941 | |
| | Fast Retailing Co. Ltd. | | 326,778 | | 187,823 | |
| | Hitachi Ltd. | | 5,886,169 | | 187,091 | |
| | ITOCHU Corp. | | 8,639,734 | | 186,945 | |
| | SMC Corp. | | 363,265 | | 186,690 | |
| | Nippon Telegraph & Telephone Corp. | | 7,878,842 | | 183,573 | |
| | Tokio Marine Holdings Inc. | | 4,129,962 | | 180,781 | |
| | Central Japan Railway Co. | | 1,149,283 | | 177,746 | |
| | Mitsubishi Electric Corp. | | 12,555,584 | | 163,992 | |
| | Mitsubishi Corp. | | 7,603,867 | | 160,683 | |
| | Seven & i Holdings Co. Ltd. | | 4,891,514 | | 160,019 | |
| | East Japan Railway Co. | | 2,296,329 | | 159,125 | |
| | Terumo Corp. | | 4,164,014 | | 158,494 | |
| | Oriental Land Co. Ltd. | | 1,191,810 | | 157,493 | |
| | Shiseido Co. Ltd. | | 2,468,381 | | 157,287 | |
| | Mitsui & Co. Ltd. | | 10,503,667 | | 155,629 | |
| | Softbank Corp. | | 11,622,971 | | 148,149 | |
| | Fujitsu Ltd. | | 1,202,607 | | 140,805 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Japan Tobacco Inc. | | 7,528,131 | | 139,818 | |
| | Eisai Co. Ltd. | | 1,680,320 | | 133,500 | |
| | Olympus Corp. | | 6,709,088 | | 129,167 | |
| ^ | Canon Inc. | | 6,331,922 | | 126,309 | |
| | Komatsu Ltd. | | 5,817,958 | | 119,155 | |
| | Panasonic Corp. | | 13,568,354 | | 118,982 | |
| ^ | Bridgestone Corp. | | 3,664,213 | | 118,264 | |
| | Otsuka Holdings Co. Ltd. | | 2,663,015 | | 116,059 | |
| | M3 Inc. | | 2,676,929 | | 113,719 | |
| | Denso Corp. | | 2,890,489 | | 113,356 | |
| | Shionogi & Co. Ltd. | | 1,741,072 | | 109,223 | |
| | Secom Co. Ltd. | | 1,231,384 | | 108,045 | |
| | Mitsubishi Estate Co. Ltd. | | 7,242,414 | | 107,925 | |
| | Kyocera Corp. | | 1,949,964 | | 106,438 | |
| | Kubota Corp. | | 6,990,902 | | 104,575 | |
| | Mitsui Fudosan Co. Ltd. | | 5,885,413 | | 104,553 | |
| | Aeon Co. Ltd. | | 4,456,533 | | 103,679 | |
| | Kirin Holdings Co. Ltd. | | 4,860,404 | | 102,456 | |
| | Unicharm Corp. | | 2,464,375 | | 101,070 | |
| | ORIX Corp. | | 7,943,245 | | 98,633 | |
| | Suzuki Motor Corp. | | 2,876,584 | | 98,224 | |
| | Daiwa House Industry Co. Ltd. | | 4,137,815 | | 97,714 | |
| | FUJIFILM Holdings Corp. | | 2,246,018 | | 96,133 | |
| | Shimano Inc. | | 496,479 | | 95,467 | |
| | Sysmex Corp. | | 1,205,193 | | 92,513 | |
| | Nitori Holdings Co. Ltd. | | 471,472 | | 92,441 | |
| | Toshiba Corp. | | 2,808,972 | | 90,111 | |
| | Nomura Holdings Inc. | | 19,163,630 | | 86,113 | |
| | Asahi Group Holdings Ltd. | | 2,421,728 | | 85,057 | |
| | MS&AD Insurance Group Holdings Inc. | | 3,047,042 | | 83,912 | |
| | Dai-ichi Life Holdings Inc. | | 6,862,872 | | 82,149 | |
| | Sumitomo Corp. | | 7,126,489 | | 81,965 | |
| | Z Holdings Corp. | | 16,535,798 | | 81,153 | |
| | Subaru Corp. | | 3,871,131 | | 81,060 | |
| | Ono Pharmaceutical Co. Ltd. | | 2,715,998 | | 79,271 | |
| | Omron Corp. | | 1,178,695 | | 78,947 | |
| | Japan Exchange Group Inc. | | 3,407,370 | | 78,914 | |
| | NEC Corp. | | 1,591,628 | | 76,471 | |
| | TDK Corp. | | 759,890 | | 75,648 | |
| | Obic Co. Ltd. | | 424,655 | | 74,841 | |
| | Sompo Holdings Inc. | | 2,146,497 | | 73,894 | |
| | Advantest Corp. | | 1,263,987 | | 72,136 | |
| ^ | Nippon Paint Holdings Co. Ltd. | | 979,112 | | 71,413 | |
| | Pan Pacific International Holdings Corp. | | 3,241,366 | | 71,364 | |
| | Sekisui House Ltd. | | 3,637,506 | | 69,448 | |
| | Sumitomo Realty & Development Co. Ltd. | | 2,512,275 | | 69,346 | |
| | ENEOS Holdings Inc. | | 19,049,409 | | 67,903 | |
| | MEIJI Holdings Co. Ltd. | | 848,013 | | 67,482 | |
| | Sumitomo Mitsui Trust Holdings Inc. | | 2,321,879 | | 65,431 | |
| | Bandai Namco Holdings Inc. | | 1,238,570 | | 65,196 | |
| | West Japan Railway Co. | | 1,151,165 | | 64,568 | |
| | Tokyo Gas Co. Ltd. | | 2,688,559 | | 64,377 | |
| | Asahi Kasei Corp. | | 7,857,924 | | 64,323 | |
| | Japan Post Holdings Co. Ltd. | | 8,433,357 | | 60,186 | |
| | Nexon Co. Ltd. | | 2,594,921 | | 58,532 | |
| | Yaskawa Electric Corp. | | 1,636,872 | | 56,903 | |
| | Makita Corp. | | 1,551,211 | | 56,409 | |
| | Kikkoman Corp. | | 1,161,033 | | 56,075 | |
| | Chubu Electric Power Co. Inc. | | 4,445,994 | | 55,761 | |
| | Sumitomo Electric Industries Ltd. | | 4,779,081 | | 55,130 | |
| | Nitto Denko Corp. | | 966,544 | | 54,794 | |
| | Toyota Industries Corp. | | 1,019,266 | | 54,177 | |
| | Daifuku Co. Ltd. | | 613,396 | | 53,753 | |
| | Ajinomoto Co. Inc. | | 3,097,045 | | 51,395 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Kintetsu Group Holdings Co. Ltd. | | 1,140,328 | | 51,166 | |
| | Osaka Gas Co. Ltd. | | 2,513,364 | | 49,682 | |
| | Nippon Steel Corp. | | 5,190,138 | | 49,044 | |
| | Yamato Holdings Co. Ltd. | | 2,206,578 | | 47,899 | |
| | Odakyu Electric Railway Co. Ltd. | | 1,949,356 | | 47,872 | |
| | MINEBEA MITSUMI Inc. | | 2,598,716 | | 47,368 | |
| | Mitsubishi Chemical Holdings Corp. | | 8,100,094 | | 47,237 | |
| | Resona Holdings Inc. | | 13,736,421 | | 47,005 | |
| | Hankyu Hanshin Holdings Inc. | | 1,390,198 | | 46,958 | |
| | Yamaha Corp. | | 991,590 | | 46,768 | |
| | Taisei Corp. | | 1,279,071 | | 46,617 | |
| | Yakult Honsha Co. Ltd. | | 778,051 | | 45,776 | |
| | Shimadzu Corp. | | 1,706,324 | | 45,554 | |
| | Nissan Motor Co. Ltd. | | 12,277,008 | | 45,529 | |
| | Lasertec Corp. | | 481,398 | | 45,507 | |
| | Toray Industries Inc. | | 9,604,863 | | 45,335 | |
| | Marubeni Corp. | | 9,973,877 | | 45,305 | |
| | Nomura Research Institute Ltd. | | 1,642,522 | | 44,862 | |
| | Kansai Electric Power Co. Inc. | | 4,618,554 | | 44,754 | |
| | NTT Data Corp. | | 3,996,881 | | 44,687 | |
| | Rakuten Inc. | | 5,023,528 | | 44,373 | |
| | MISUMI Group Inc. | | 1,763,179 | | 44,271 | |
| | Nissan Chemical Corp. | | 853,197 | | 43,896 | |
| | Tokyu Corp. | | 3,115,758 | | 43,865 | |
| | SG Holdings Co. Ltd. | | 1,342,825 | | 43,821 | |
| | Disco Corp. | | 176,588 | | 43,068 | |
| | Mitsubishi Heavy Industries Ltd. | | 1,812,894 | | 42,803 | |
| | Tobu Railway Co. Ltd. | | 1,290,102 | | 42,624 | |
| | Sumitomo Metal Mining Co. Ltd. | | 1,506,480 | | 42,437 | |
| ^ | Kyowa Kirin Co. Ltd. | | 1,584,174 | | 41,703 | |
| | Keio Corp. | | 728,386 | | 41,686 | |
| | Santen Pharmaceutical Co. Ltd. | | 2,255,593 | | 41,524 | |
| | Trend Micro Inc. | | 739,287 | | 41,315 | |
| | Dai Nippon Printing Co. Ltd. | | 1,745,546 | | 40,131 | |
| | Obayashi Corp. | | 4,254,859 | | 40,002 | |
| | Daiwa Securities Group Inc. | | 9,496,525 | | 39,894 | |
| | Lion Corp. | | 1,609,187 | | 38,704 | |
| | Nissin Foods Holdings Co. Ltd. | | 436,355 | | 38,661 | |
| | Daito Trust Construction Co. Ltd. | | 409,539 | | 37,744 | |
| | Nihon M&A Center Inc. | | 817,988 | | 37,200 | |
| | Inpex Corp. | | 5,823,357 | | 36,363 | |
| | Toyota Tsusho Corp. | | 1,420,584 | | 36,227 | |
| | TOTO Ltd. | | 918,846 | | 35,328 | |
| | Hamamatsu Photonics KK | | 805,416 | | 35,072 | |
| | Nagoya Railroad Co. Ltd. | | 1,233,926 | | 34,779 | |
| | Rohm Co. Ltd. | | 523,006 | | 34,775 | |
| | Takeda Pharmaceutical Co. Ltd. ADR | | 1,925,640 | | 34,527 | |
| | Otsuka Corp. | | 651,922 | | 34,432 | |
| | Kajima Corp. | | 2,865,587 | | 34,263 | |
| | Kobayashi Pharmaceutical Co. Ltd. | | 388,124 | | 34,126 | |
| | Asahi Intecc Co. Ltd. | | 1,190,466 | | 33,976 | |
| | AGC Inc. | | 1,174,079 | | 33,660 | |
| ^ | Dentsu Group Inc. | | 1,368,778 | | 32,470 | |
| | Hikari Tsushin Inc. | | 141,826 | | 32,428 | |
| | Aisin Seiki Co. Ltd. | | 1,103,273 | | 32,339 | |
| | Tsuruha Holdings Inc. | | 231,180 | | 31,929 | |
| | Toyo Suisan Kaisha Ltd. | | 570,618 | | 31,883 | |
| | Idemitsu Kosan Co. Ltd. | | 1,492,493 | | 31,853 | |
| | TIS Inc. | | 1,502,024 | | 31,802 | |
| | Sekisui Chemical Co. Ltd. | | 2,205,325 | | 31,597 | |
| | SBI Holdings Inc. | | 1,441,980 | | 31,292 | |
| | Suntory Beverage & Food Ltd. | | 797,658 | | 31,123 | |
| | Ricoh Co. Ltd. | | 4,323,143 | | 31,021 | |
| * | Tokyo Electric Power Co. Holdings Inc. | | 9,905,694 | | 30,472 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Toppan Printing Co. Ltd. | | 1,798,848 | | 30,075 | |
| | T&D Holdings Inc. | | 3,482,951 | | 29,916 | |
| | CyberAgent Inc. | | 608,274 | | 29,899 | |
| | MonotaRO Co. Ltd. | | 740,789 | | 29,764 | |
| | Isuzu Motors Ltd. | | 3,246,491 | | 29,502 | |
| | Koito Manufacturing Co. Ltd. | | 726,914 | | 29,411 | |
| | Sumitomo Chemical Co. Ltd. | | 9,573,870 | | 28,806 | |
| | Shimizu Corp. | | 3,482,813 | | 28,692 | |
| | Hoshizaki Corp. | | 331,031 | | 28,373 | |
| | Tohoku Electric Power Co. Inc. | | 2,980,118 | | 28,310 | |
| | Toho Gas Co. Ltd. | | 563,832 | | 28,182 | |
| | Keihan Holdings Co. Ltd. | | 622,614 | | 27,805 | |
| | Yamaha Motor Co. Ltd. | | 1,764,018 | | 27,783 | |
| | Keisei Electric Railway Co. Ltd. | | 883,151 | | 27,678 | |
| | Brother Industries Ltd. | | 1,499,728 | | 27,096 | |
| | Pigeon Corp. | | 686,977 | | 26,590 | |
| | GMO Payment Gateway Inc. | | 253,075 | | 26,470 | |
| | Nippon Shinyaku Co. Ltd. | | 322,961 | | 26,361 | |
| | Oji Holdings Corp. | | 5,613,999 | | 26,191 | |
| | Miura Co. Ltd. | | 625,182 | | 26,051 | |
| | Kyushu Railway Co. | | 999,853 | | 25,980 | |
| | Kansai Paint Co. Ltd. | | 1,222,989 | | 25,844 | |
| | Toho Co. Ltd. | | 715,414 | | 25,842 | |
| | Welcia Holdings Co. Ltd. | | 317,670 | | 25,664 | |
| ^ | Chugoku Electric Power Co. Inc. | | 1,909,659 | | 25,460 | |
| * | PeptiDream Inc. | | 552,391 | | 25,452 | |
| | Azbil Corp. | | 831,604 | | 25,418 | |
| | NH Foods Ltd. | | 627,721 | | 25,260 | |
| | FamilyMart Co. Ltd. | | 1,462,555 | | 25,109 | |
| | Tosoh Corp. | | 1,806,837 | | 24,820 | |
| | Square Enix Holdings Co. Ltd. | | 489,279 | | 24,789 | |
| | Taiyo Yuden Co. Ltd. | | 782,300 | | 24,463 | |
| | Kyushu Electric Power Co. Inc. | | 2,918,476 | | 24,460 | |
| | Oracle Corp. Japan | | 205,935 | | 24,426 | |
| | Nisshin Seifun Group Inc. | | 1,630,237 | | 24,342 | |
| | Keikyu Corp. | | 1,582,074 | | 24,209 | |
| | Yamada Denki Co. Ltd. | | 4,852,587 | | 24,071 | |
| | Hisamitsu Pharmaceutical Co. Inc. | | 443,822 | | 23,991 | |
| | Yokogawa Electric Corp. | | 1,530,950 | | 23,988 | |
| | JFE Holdings Inc. | | 3,277,628 | | 23,696 | |
| | Casio Computer Co. Ltd. | | 1,357,426 | | 23,681 | |
| | Marui Group Co. Ltd. | | 1,303,745 | | 23,584 | |
| * | Renesas Electronics Corp. | | 4,543,315 | | 23,354 | |
| | Sony Financial Holdings Inc. | | 966,265 | | 23,330 | |
| | Nippon Express Co. Ltd. | | 449,437 | | 23,305 | |
| | LIXIL Group Corp. | | 1,656,573 | | 23,265 | |
| | Alfresa Holdings Corp. | | 1,106,229 | | 23,188 | |
| | NGK Insulators Ltd. | | 1,656,510 | | 22,952 | |
| | Hirose Electric Co. Ltd. | | 208,921 | | 22,941 | |
| | Kuraray Co. Ltd. | | 2,189,637 | | 22,914 | |
| | Itochu Techno-Solutions Corp. | | 608,952 | | 22,901 | |
| | Nabtesco Corp. | | 737,660 | | 22,829 | |
| | SUMCO Corp. | | 1,480,225 | | 22,757 | |
| | Concordia Financial Group Ltd. | | 7,029,606 | | 22,601 | |
| | Mitsui Chemicals Inc. | | 1,076,777 | | 22,522 | |
| | Kose Corp. | | 184,090 | | 22,284 | |
| | JSR Corp. | | 1,143,206 | | 22,178 | |
| | Stanley Electric Co. Ltd. | | 915,820 | | 22,170 | |
| | Fuji Electric Co. Ltd. | | 794,172 | | 21,859 | |
| | Haseko Corp. | | 1,729,108 | | 21,832 | |
| | Mazda Motor Corp. | | 3,608,238 | | 21,801 | |
| | Hulic Co. Ltd. | | 2,294,046 | | 21,658 | |
| | USS Co. Ltd. | | 1,325,653 | | 21,251 | |
| | Ryohin Keikaku Co. Ltd. | | 1,481,655 | | 21,074 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Kakaku.com Inc. | | 825,195 | | 21,021 | |
| | COMSYS Holdings Corp. | | 708,259 | | 21,003 | |
| | Capcom Co. Ltd. | | 573,688 | | 20,999 | |
| | NSK Ltd. | | 2,791,785 | | 20,834 | |
| ^ | Anritsu Corp. | | 865,307 | | 20,557 | |
| ^ | Showa Denko KK | | 904,307 | | 20,412 | |
| | Ito En Ltd. | | 360,831 | | 20,368 | |
| | Shizuoka Bank Ltd. | | 3,141,751 | | 20,211 | |
| | Tokyo Century Corp. | | 392,156 | | 20,081 | |
| | Sohgo Security Services Co. Ltd. | | 427,609 | | 19,967 | |
| | Ibiden Co. Ltd. | | 681,143 | | 19,937 | |
| | Electric Power Development Co. Ltd. | | 1,048,105 | | 19,868 | |
| | Konami Holdings Corp. | | 593,847 | | 19,816 | |
| | Seiko Epson Corp. | | 1,716,554 | | 19,664 | |
| | Nichirei Corp. | | 673,287 | | 19,619 | |
| | Kurita Water Industries Ltd. | | 700,975 | | 19,500 | |
| | Rohto Pharmaceutical Co. Ltd. | | 612,683 | | 19,462 | |
| | Rinnai Corp. | | 230,211 | | 19,279 | |
| | Japan Post Bank Co. Ltd. | | 2,587,793 | | 19,246 | |
| ^ | Skylark Holdings Co. Ltd. | | 1,209,900 | | 19,223 | |
| | Hitachi Construction Machinery Co. Ltd. | | 677,764 | | 18,828 | |
| | Teijin Ltd. | | 1,154,419 | | 18,380 | |
| | Chiba Bank Ltd. | | 3,871,795 | | 18,305 | |
| | Tokyu Fudosan Holdings Corp. | | 3,840,717 | | 18,069 | |
| | THK Co. Ltd. | | 720,581 | | 17,941 | |
| | Hakuhodo DY Holdings Inc. | | 1,496,868 | | 17,865 | |
| | NGK Spark Plug Co. Ltd. | | 1,239,658 | | 17,817 | |
| | MediPal Holdings Corp. | | 919,954 | | 17,756 | |
| | NET One Systems Co. Ltd. | | 529,758 | | 17,681 | |
| | Taiheiyo Cement Corp. | | 758,212 | | 17,616 | |
| | Matsumotokiyoshi Holdings Co. Ltd. | | 482,076 | | 17,518 | |
| | Suzuken Co. Ltd. | | 468,257 | | 17,494 | |
| | Mitsubishi Gas Chemical Co. Inc. | | 1,148,265 | | 17,464 | |
| | Nikon Corp. | | 2,042,613 | | 17,155 | |
| | Cosmos Pharmaceutical Corp. | | 111,706 | | 17,140 | |
| | Mitsubishi Materials Corp. | | 794,511 | | 16,776 | |
| * | LINE Corp. | | 331,741 | | 16,696 | |
| | Sojitz Corp. | | 7,604,065 | | 16,620 | |
| | Taisho Pharmaceutical Holdings Co. Ltd. | | 267,599 | | 16,422 | |
| | Alps Alpine Co. Ltd. | | 1,262,539 | | 16,273 | |
| * | ANA Holdings Inc. | | 709,731 | | 16,219 | |
| | Fukuoka Financial Group Inc. | | 1,025,255 | | 16,210 | |
| | Bank of Kyoto Ltd. | | 455,311 | | 16,177 | |
| | Amada Co. Ltd. | | 1,972,467 | | 16,150 | |
| | Coca-Cola Bottlers Japan Holdings Inc. | | 883,348 | | 16,021 | |
| | Nihon Kohden Corp. | | 473,996 | | 15,931 | |
| | Nankai Electric Railway Co. Ltd. | | 693,627 | | 15,885 | |
| | Air Water Inc. | | 1,120,721 | | 15,835 | |
| | Sumitomo Heavy Industries Ltd. | | 714,085 | | 15,618 | |
| | Kyowa Exeo Corp. | | 641,351 | | 15,398 | |
| | Japan Post Insurance Co. Ltd. | | 1,166,298 | | 15,368 | |
| | Ezaki Glico Co. Ltd. | | 322,143 | | 15,358 | |
| | Lawson Inc. | | 302,294 | | 15,206 | |
| | Taiyo Nippon Sanso Corp. | | 908,903 | | 15,199 | |
| | Sugi Holdings Co. Ltd. | | 223,499 | | 15,156 | |
| | Sega Sammy Holdings Inc. | | 1,255,533 | | 15,050 | |
| | Kagome Co. Ltd. | | 502,870 | | 15,025 | |
| | Justsystems Corp. | | 210,762 | | 14,987 | |
| | Hitachi Metals Ltd. | | 1,249,329 | | 14,974 | |
| | NOF Corp. | | 430,056 | | 14,890 | |
| | House Foods Group Inc. | | 458,728 | | 14,828 | |
| | Mebuki Financial Group Inc. | | 6,341,062 | | 14,771 | |
| | K's Holdings Corp. | | 1,075,582 | | 14,693 | |
| | Sumitomo Dainippon Pharma Co. Ltd. | | 1,055,404 | | 14,625 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Goldwin Inc. | | 221,974 | | 14,553 | |
| | Persol Holdings Co. Ltd. | | 1,051,950 | | 14,503 | |
| | JGC Holdings Corp. | | 1,370,498 | | 14,452 | |
| | Tokyo Tatemono Co. Ltd. | | 1,253,997 | | 14,433 | |
| | Shinsei Bank Ltd. | | 1,183,868 | | 14,319 | |
| | Nippon Yusen KK | | 1,009,654 | | 14,290 | |
| | Seibu Holdings Inc. | | 1,305,631 | | 14,221 | |
| | Ebara Corp. | | 596,616 | | 14,078 | |
| | Sushiro Global Holdings Ltd. | | 633,896 | | 14,055 | |
| | ZOZO Inc. | | 622,642 | | 13,880 | |
| | Iida Group Holdings Co. Ltd. | | 896,343 | | 13,775 | |
| | Yamazaki Baking Co. Ltd. | | 800,391 | | 13,749 | |
| | Sundrug Co. Ltd. | | 412,570 | | 13,654 | |
| | Denka Co. Ltd. | | 549,758 | | 13,474 | |
| | Kawasaki Heavy Industries Ltd. | | 920,949 | | 13,302 | |
| | Kinden Corp. | | 803,844 | | 13,285 | |
| | Daicel Corp. | | 1,711,253 | | 13,263 | |
| | Nomura Real Estate Holdings Inc. | | 710,920 | | 13,235 | |
| | Sotetsu Holdings Inc. | | 493,584 | | 13,174 | |
| | TechnoPro Holdings Inc. | | 227,681 | | 13,144 | |
| | Calbee Inc. | | 475,206 | | 13,135 | |
| | Mitsubishi UFJ Lease & Finance Co. Ltd. | | 2,748,888 | | 13,117 | |
| | Nishi-Nippon Railroad Co. Ltd. | | 481,446 | | 13,064 | |
| | Japan Airlines Co. Ltd. | | 717,326 | | 12,945 | |
| | DIC Corp. | | 511,675 | | 12,879 | |
| ^ | Aozora Bank Ltd. | | 737,881 | | 12,867 | |
| | SCSK Corp. | | 262,567 | | 12,846 | |
| | Fancl Corp. | | 430,328 | | 12,823 | |
| | Horiba Ltd. | | 242,262 | | 12,817 | |
| | Isetan Mitsukoshi Holdings Ltd. | | 2,219,171 | | 12,771 | |
| | SHO-BOND Holdings Co. Ltd. | | 286,804 | | 12,758 | |
| | Open House Co. Ltd. | | 372,014 | | 12,757 | |
| | Nihon Unisys Ltd. | | 404,000 | | 12,702 | |
| | Kewpie Corp. | | 669,835 | | 12,622 | |
| | Relo Group Inc. | | 666,613 | | 12,579 | |
| | Seino Holdings Co. Ltd. | | 959,753 | | 12,511 | |
| | Japan Airport Terminal Co. Ltd. | | 292,910 | | 12,499 | |
| | Mitsui OSK Lines Ltd. | | 699,259 | | 12,442 | |
| | Zensho Holdings Co. Ltd. | | 612,581 | | 12,389 | |
| | Sawai Pharmaceutical Co. Ltd. | | 240,907 | | 12,382 | |
| | Kamigumi Co. Ltd. | | 625,691 | | 12,305 | |
| ^ | Asics Corp. | | 1,064,104 | | 12,166 | |
| | Benesse Holdings Inc. | | 452,449 | | 12,134 | |
| | Koei Tecmo Holdings Co. Ltd. | | 370,303 | | 12,066 | |
| | Zenkoku Hosho Co. Ltd. | | 318,010 | | 12,014 | |
| | Park24 Co. Ltd. | | 698,889 | | 11,982 | |
| | Sankyu Inc. | | 315,994 | | 11,910 | |
| | Tokyo Ohka Kogyo Co. Ltd. | | 236,703 | | 11,871 | |
| | Ain Holdings Inc. | | 178,119 | | 11,693 | |
| ^ | Tokai Carbon Co. Ltd. | | 1,233,939 | | 11,661 | |
| | FP Corp. | | 145,222 | | 11,629 | |
| | IHI Corp. | | 792,930 | | 11,504 | |
| | SCREEN Holdings Co. Ltd. | | 244,325 | | 11,479 | |
| | Nifco Inc. | | 533,403 | | 11,411 | |
| | Hino Motors Ltd. | | 1,681,174 | | 11,406 | |
| | Sumitomo Rubber Industries Ltd. | | 1,136,319 | | 11,255 | |
| | Credit Saison Co. Ltd. | | 972,561 | | 11,175 | |
| | JTEKT Corp. | | 1,428,787 | | 11,156 | |
| | Morinaga Milk Industry Co. Ltd. | | 247,944 | | 11,039 | |
| | Seven Bank Ltd. | | 4,018,496 | | 11,014 | |
| | Ube Industries Ltd. | | 637,444 | | 10,986 | |
| | Aica Kogyo Co. Ltd. | | 331,870 | | 10,906 | |
| | Nippon Kayaku Co. Ltd. | | 1,041,779 | | 10,898 | |
| | Sanwa Holdings Corp. | | 1,211,097 | | 10,884 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Sumitomo Forestry Co. Ltd. | | 858,347 | | 10,799 | |
| | Tsumura & Co. | | 410,950 | | 10,763 | |
| | Hachijuni Bank Ltd. | | 2,810,567 | | 10,698 | |
| | Kaken Pharmaceutical Co. Ltd. | | 208,404 | | 10,673 | |
| | GMO internet Inc. | | 383,897 | | 10,665 | |
| | Mitsubishi Logistics Corp. | | 412,928 | | 10,657 | |
| | Rengo Co. Ltd. | | 1,298,201 | | 10,583 | |
| | Toyo Seikan Group Holdings Ltd. | | 936,246 | | 10,558 | |
| | J Front Retailing Co. Ltd. | | 1,572,647 | | 10,521 | |
| | Iyo Bank Ltd. | | 1,714,844 | | 10,497 | |
| | Sharp Corp. | | 977,111 | | 10,479 | |
| | Ship Healthcare Holdings Inc. | | 248,236 | | 10,389 | |
| | Nippon Shokubai Co. Ltd. | | 197,696 | | 10,363 | |
| | Mani Inc. | | 390,089 | | 10,356 | |
| | Mabuchi Motor Co. Ltd. | | 319,214 | | 10,187 | |
| | Tokuyama Corp. | | 428,283 | | 10,133 | |
| | Kyushu Financial Group Inc. | | 2,375,099 | | 10,058 | |
| | Aeon Mall Co. Ltd. | | 755,344 | | 10,038 | |
| | Chugoku Bank Ltd. | | 1,078,775 | | 10,009 | |
| | Konica Minolta Inc. | | 2,868,198 | | 9,975 | |
| | Mitsubishi Motors Corp. | | 4,019,020 | | 9,961 | |
| | Nippon Gas Co. Ltd. | | 231,249 | | 9,943 | |
| | Takara Holdings Inc. | | 1,098,698 | | 9,833 | |
| | Toyoda Gosei Co. Ltd. | | 466,151 | | 9,740 | |
| | Maruichi Steel Tube Ltd. | | 389,470 | | 9,708 | |
| | Yaoko Co. Ltd. | | 135,565 | | 9,704 | |
| | Penta-Ocean Construction Co. Ltd. | | 1,776,411 | | 9,593 | |
| | Bic Camera Inc. | | 902,915 | | 9,592 | |
| | Morinaga & Co. Ltd. | | 246,341 | | 9,566 | |
| | JCR Pharmaceuticals Co. Ltd. | | 90,316 | | 9,526 | |
| | Furukawa Electric Co. Ltd. | | 391,757 | | 9,514 | |
| | Shimamura Co. Ltd. | | 139,761 | | 9,466 | |
| | Toda Corp. | | 1,449,636 | | 9,378 | |
| | Yokohama Rubber Co. Ltd. | | 662,014 | | 9,361 | |
| | ABC-Mart Inc. | | 159,482 | | 9,356 | |
| | Kaneka Corp. | | 356,793 | | 9,286 | |
| | Acom Co. Ltd. | | 2,426,269 | | 9,285 | |
| | PALTAC Corp. | | 201,107 | | 9,278 | |
| | Fujitec Co. Ltd. | | 498,720 | | 9,177 | |
| | Ushio Inc. | | 686,378 | | 9,170 | |
| | Infomart Corp. | | 1,318,596 | | 9,126 | |
| | Yamaguchi Financial Group Inc. | | 1,465,401 | | 9,005 | |
| | TS Tech Co. Ltd. | | 323,349 | | 8,913 | |
| | Ulvac Inc. | | 305,502 | | 8,869 | |
| | Fuji Corp. | | 502,707 | | 8,832 | |
| | Nitto Boseki Co. Ltd. | | 176,953 | | 8,829 | |
| | Amano Corp. | | 423,295 | | 8,807 | |
| | NOK Corp. | | 706,519 | | 8,800 | |
| | Shochiku Co. Ltd. | | 63,691 | | 8,773 | |
| | Mirait Holdings Corp. | | 584,214 | | 8,751 | |
| | Hiroshima Bank Ltd. | | 1,845,135 | | 8,728 | |
| | NEC Networks & System Integration Corp. | | 426,279 | | 8,720 | |
| | Iwatani Corp. | | 248,960 | | 8,707 | |
| | Dowa Holdings Co. Ltd. | | 286,771 | | 8,704 | |
| | Toyo Tire Corp. | | 638,785 | | 8,621 | |
| | Nagase & Co. Ltd. | | 687,998 | | 8,606 | |
| | As One Corp. | | 78,415 | | 8,562 | |
| | Takara Bio Inc. | | 295,712 | | 8,424 | |
| | Zeon Corp. | | 910,580 | | 8,409 | |
| | Nippon Paper Industries Co. Ltd. | | 596,288 | | 8,363 | |
| | GS Yuasa Corp. | | 470,566 | | 8,357 | |
| ^ | Yoshinoya Holdings Co. Ltd. | | 402,126 | | 8,311 | |
| | Gunma Bank Ltd. | | 2,596,640 | | 8,267 | |
| ^ | Pola Orbis Holdings Inc. | | 471,391 | | 8,230 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Nippo Corp. | | 323,034 | | 8,159 | |
| | Nipro Corp. | | 728,166 | | 8,070 | |
| | ADEKA Corp. | | 605,447 | | 8,048 | |
| | AEON Financial Service Co. Ltd. | | 727,928 | | 7,984 | |
| | Izumi Co. Ltd. | | 250,853 | | 7,952 | |
| | Miraca Holdings Inc. | | 335,865 | | 7,934 | |
| | Kusuri no Aoki Holdings Co. Ltd. | | 100,904 | | 7,932 | |
| | Nippon Electric Glass Co. Ltd. | | 504,570 | | 7,926 | |
| | OKUMA Corp. | | 183,821 | | 7,905 | |
| | Menicon Co. Ltd. | | 159,513 | | 7,884 | |
| | Sumitomo Osaka Cement Co. Ltd. | | 222,294 | | 7,833 | |
| | Tokyo Seimitsu Co. Ltd. | | 244,152 | | 7,832 | |
| ^ | DMG Mori Co. Ltd. | | 638,403 | | 7,801 | |
| ^ | Kobe Bussan Co. Ltd. | | 136,796 | | 7,768 | |
| | NSD Co. Ltd. | | 451,908 | | 7,725 | |
| | Meitec Corp. | | 159,634 | | 7,723 | |
| | Toyobo Co. Ltd. | | 549,308 | | 7,653 | |
| | Lintec Corp. | | 320,740 | | 7,644 | |
| | Benefit One Inc. | | 374,804 | | 7,557 | |
| | Takashimaya Co. Ltd. | | 902,174 | | 7,554 | |
| | Daiichikosho Co. Ltd. | | 251,936 | | 7,538 | |
| | Daiwabo Holdings Co. Ltd. | | 114,656 | | 7,525 | |
| | Sapporo Holdings Ltd. | | 397,924 | | 7,483 | |
| | Toagosei Co. Ltd. | | 761,321 | | 7,478 | |
| | OSG Corp. | | 485,618 | | 7,450 | |
| | Inaba Denki Sangyo Co. Ltd. | | 332,416 | | 7,412 | |
| | cocokara fine Inc. | | 137,083 | | 7,410 | |
| | DeNA Co. Ltd. | | 593,188 | | 7,406 | |
| | Nichias Corp. | | 352,451 | | 7,366 | |
| | Fujitsu General Ltd. | | 357,833 | | 7,352 | |
| | Glory Ltd. | | 321,942 | | 7,344 | |
| | Fuji Oil Holdings Inc. | | 284,532 | | 7,321 | |
| | Nippon Suisan Kaisha Ltd. | | 1,671,733 | | 7,277 | |
| | Hitachi Transport System Ltd. | | 271,064 | | 7,250 | |
| | Ariake Japan Co. Ltd. | | 114,295 | | 7,240 | |
| | Katitas Co. Ltd. | | 311,078 | | 7,237 | |
| | BayCurrent Consulting Inc. | | 86,448 | | 7,228 | |
| | SMS Co. Ltd. | | 320,603 | | 7,215 | |
| | Mitsui Mining & Smelting Co. Ltd. | | 349,758 | | 7,167 | |
| | Shikoku Electric Power Co. Inc. | | 973,076 | | 7,160 | |
| | Kyudenko Corp. | | 241,259 | | 7,121 | |
| | Fukuyama Transporting Co. Ltd. | | 202,969 | | 7,112 | |
| | GLP J-Reit | | 4,819 | | 6,964 | |
| | Fuyo General Lease Co. Ltd. | | 124,491 | | 6,937 | |
| | Shiga Bank Ltd. | | 311,254 | | 6,932 | |
| | TOKAI Holdings Corp. | | 749,040 | | 6,927 | |
| | Hazama Ando Corp. | | 1,181,196 | | 6,852 | |
| | Daiseki Co. Ltd. | | 252,558 | | 6,770 | |
| | Daido Steel Co. Ltd. | | 220,371 | | 6,766 | |
| | Kenedix Inc. | | 1,365,640 | | 6,749 | |
| | Elecom Co. Ltd. | | 137,239 | | 6,723 | |
| | Nippon Light Metal Holdings Co. Ltd. | | 3,835,794 | | 6,720 | |
| | Jafco Co. Ltd. | | 198,492 | | 6,712 | |
| | Pilot Corp. | | 220,544 | | 6,709 | |
| | Sankyo Co. Ltd. | | 276,704 | | 6,698 | |
| | NHK Spring Co. Ltd. | | 1,024,840 | | 6,665 | |
| | Hokuriku Electric Power Co. | | 1,047,064 | | 6,662 | |
| | Shimachu Co. Ltd. | | 239,344 | | 6,652 | |
| | Trusco Nakayama Corp. | | 255,947 | | 6,643 | |
| | Takuma Co. Ltd. | | 479,348 | | 6,611 | |
| | Hokuhoku Financial Group Inc. | | 795,316 | | 6,606 | |
| | Duskin Co. Ltd. | | 258,604 | | 6,589 | |
| | 77 Bank Ltd. | | 440,466 | | 6,569 | |
| * | Kobe Steel Ltd. | | 1,888,304 | | 6,543 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Digital Garage Inc. | | 204,095 | | 6,538 | |
| | Nishi-Nippon Financial Holdings Inc. | | 961,747 | | 6,500 | |
| | Jeol Ltd. | | 233,948 | | 6,498 | |
| | Showa Corp. | | 313,997 | | 6,490 | |
| | Japan Elevator Service Holdings Co. Ltd. | | 200,500 | | 6,486 | |
| | Nisshinbo Holdings Inc. | | 890,726 | | 6,480 | |
| | Wacoal Holdings Corp. | | 349,510 | | 6,479 | |
| | Keihin Corp. | | 276,028 | | 6,462 | |
| | Kokuyo Co. Ltd. | | 531,477 | | 6,444 | |
| | Sakata Seed Corp. | | 201,094 | | 6,423 | |
| | Kanematsu Corp. | | 533,889 | | 6,414 | |
| | Nikkon Holdings Co. Ltd. | | 321,529 | | 6,392 | |
| | Earth Corp. | | 83,591 | | 6,375 | |
| | Nishimatsu Construction Co. Ltd. | | 319,361 | | 6,374 | |
| | Asahi Holdings Inc. | | 238,524 | | 6,350 | |
| ^ | DCM Holdings Co. Ltd. | | 553,448 | | 6,346 | |
| ^ | Daio Paper Corp. | | 474,754 | | 6,343 | |
| | Maeda Corp. | | 825,900 | | 6,321 | |
| | CKD Corp. | | 352,389 | | 6,271 | |
| | Kiyo Bank Ltd. | | 409,816 | | 6,240 | |
| | Nihon Parkerizing Co. Ltd. | | 608,107 | | 6,108 | |
| | Megmilk Snow Brand Co. Ltd. | | 262,216 | | 6,108 | |
| | Tadano Ltd. | | 729,663 | | 6,097 | |
| | Heiwa Real Estate Co. Ltd. | | 212,296 | | 6,082 | |
| | Toho Holdings Co. Ltd. | | 325,203 | | 6,078 | |
| | Toshiba TEC Corp. | | 157,601 | | 6,043 | |
| ^ | Canon Marketing Japan Inc. | | 292,352 | | 5,978 | |
| | Hitachi Capital Corp. | | 269,926 | | 5,975 | |
| | Cosmo Energy Holdings Co. Ltd. | | 406,299 | | 5,970 | |
| | Sumitomo Bakelite Co. Ltd. | | 208,106 | | 5,878 | |
| | Mochida Pharmaceutical Co. Ltd. | | 157,622 | | 5,874 | |
| | Systena Corp. | | 440,340 | | 5,849 | |
| | Toei Co. Ltd. | | 43,657 | | 5,845 | |
| | Mizuho Leasing Co. Ltd. | | 265,154 | | 5,845 | |
| | Internet Initiative Japan Inc. | | 170,628 | | 5,838 | |
| | Japan Lifeline Co. Ltd. | | 432,477 | | 5,733 | |
| | Takasago Thermal Engineering Co. Ltd. | | 389,731 | | 5,732 | |
| | Kumiai Chemical Industry Co. Ltd. | | 612,799 | | 5,728 | |
| | JINS Holdings Inc. | | 93,609 | | 5,703 | |
| | Shinko Electric Industries Co. Ltd. | | 419,197 | | 5,691 | |
| | Heiwa Corp. | | 338,479 | | 5,661 | |
| | Japan Steel Works Ltd. | | 395,624 | | 5,656 | |
| | Sanrio Co. Ltd. | | 364,156 | | 5,647 | |
| | Japan Material Co. Ltd. | | 357,290 | | 5,636 | |
| | Kandenko Co. Ltd. | | 661,668 | | 5,624 | |
| | NS Solutions Corp. | | 204,902 | | 5,605 | |
| | Resorttrust Inc. | | 429,531 | | 5,575 | |
| | EDION Corp. | | 545,623 | | 5,542 | |
| | Milbon Co. Ltd. | | 115,925 | | 5,541 | |
| | Daishi Hokuetsu Financial Group Inc. | | 272,512 | | 5,529 | |
| | NTN Corp. | | 2,692,187 | | 5,408 | |
| | Joyful Honda Co. Ltd. | | 403,985 | | 5,332 | |
| | Citizen Watch Co. Ltd. | | 1,635,361 | | 5,331 | |
| | Okumura Corp. | | 231,180 | | 5,329 | |
| | Kumagai Gumi Co. Ltd. | | 221,698 | | 5,325 | |
| | Topcon Corp. | | 653,680 | | 5,287 | |
| | Anicom Holdings Inc. | | 124,324 | | 5,282 | |
| | Toyota Boshoku Corp. | | 390,498 | | 5,266 | |
| | Paramount Bed Holdings Co. Ltd. | | 128,514 | | 5,251 | |
| | Kyoritsu Maintenance Co. Ltd. | | 153,251 | | 5,243 | |
| | Kadokawa Corp. | | 255,118 | | 5,242 | |
| | DTS Corp. | | 251,734 | | 5,194 | |
| | Awa Bank Ltd. | | 229,755 | | 5,176 | |
| | Ogaki Kyoritsu Bank Ltd. | | 244,269 | | 5,166 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Nojima Corp. | | 203,614 | | 5,153 | |
| | Kohnan Shoji Co. Ltd. | | 163,394 | | 5,151 | |
| | Kissei Pharmaceutical Co. Ltd. | | 203,170 | | 5,133 | |
| | Fuji Soft Inc. | | 128,978 | | 5,119 | |
| | Matsui Securities Co. Ltd. | | 659,250 | | 5,099 | |
| | Taikisha Ltd. | | 183,418 | | 5,084 | |
| | Oki Electric Industry Co. Ltd. | | 524,953 | | 5,072 | |
| | Kureha Corp. | | 115,100 | | 5,061 | |
| | Tsubakimoto Chain Co. | | 207,098 | | 5,049 | |
| | Itoham Yonekyu Holdings Inc. | | 837,088 | | 5,045 | |
| * | Kawasaki Kisen Kaisha Ltd. | | 531,159 | | 5,040 | |
| | Senko Group Holdings Co. Ltd. | | 677,969 | | 5,039 | |
| | Taiyo Holdings Co. Ltd. | | 109,099 | | 5,038 | |
| | Fujikura Ltd. | | 1,734,336 | | 5,021 | |
| | Digital Arts Inc. | | 61,624 | | 5,011 | |
| | Fuji Seal International Inc. | | 257,030 | | 5,002 | |
| | en-japan Inc. | | 199,700 | | 4,971 | |
| | Valor Holdings Co. Ltd. | | 252,809 | | 4,944 | |
| | Kotobuki Spirits Co. Ltd. | | 120,064 | | 4,943 | |
| | Nippon Densetsu Kogyo Co. Ltd. | | 223,107 | | 4,939 | |
| | OBIC Business Consultants Co. Ltd. | | 92,432 | | 4,915 | |
| | KYORIN Holdings Inc. | | 239,839 | | 4,912 | |
| | Sangetsu Corp. | | 345,920 | | 4,898 | |
| | TKC Corp. | | 92,024 | | 4,879 | |
| | San-In Godo Bank Ltd. | | 966,303 | | 4,877 | |
| | Prima Meat Packers Ltd. | | 180,140 | | 4,838 | |
| | Nissin Kogyo Co. Ltd. | | 237,258 | | 4,826 | |
| | Nisshin Oillio Group Ltd. | | 152,639 | | 4,777 | |
| | Cybozu Inc. | | 151,766 | | 4,763 | |
| | Colowide Co. Ltd. | | 348,635 | | 4,759 | |
| | Wacom Co. Ltd. | | 918,430 | | 4,692 | |
| | Autobacs Seven Co. Ltd. | | 371,157 | | 4,690 | |
| | Nippon Flour Mills Co. Ltd. | | 311,504 | | 4,676 | |
| | Showa Sangyo Co. Ltd. | | 152,284 | | 4,666 | |
| | Okinawa Electric Power Co. Inc. | | 279,787 | | 4,660 | |
| | Maruha Nichiro Corp. | | 226,984 | | 4,649 | |
| | Eizo Corp. | | 122,967 | | 4,621 | |
| | Daihen Corp. | | 127,271 | | 4,556 | |
| | Ichibanya Co. Ltd. | | 103,172 | | 4,547 | |
| | Tomy Co. Ltd. | | 572,497 | | 4,526 | |
| | Yamato Kogyo Co. Ltd. | | 220,315 | | 4,505 | |
| | Tokai Rika Co. Ltd. | | 308,587 | | 4,490 | |
| | Totetsu Kogyo Co. Ltd. | | 177,737 | | 4,487 | |
| | Nippon Soda Co. Ltd. | | 171,022 | | 4,484 | |
| | eGuarantee Inc. | | 188,700 | | 4,479 | |
| | Fuso Chemical Co. Ltd. | | 122,637 | | 4,478 | |
| | Kato Sangyo Co. Ltd. | | 136,234 | | 4,464 | |
| | Toyo Ink SC Holdings Co. Ltd. | | 235,333 | | 4,462 | |
| | ZERIA Pharmaceutical Co. Ltd. | | 239,771 | | 4,461 | |
| | Komeri Co. Ltd. | | 173,713 | | 4,455 | |
| | Fuji Kyuko Co. Ltd. | | 142,387 | | 4,454 | |
| | Morita Holdings Corp. | | 253,322 | | 4,422 | |
| | Funai Soken Holdings Inc. | | 194,432 | | 4,399 | |
| | Hogy Medical Co. Ltd. | | 142,175 | | 4,389 | |
| | Hanwa Co. Ltd. | | 238,364 | | 4,376 | |
| | Hokkaido Electric Power Co. Inc. | | 1,138,820 | | 4,368 | |
| | JCU Corp. | | 139,281 | | 4,362 | |
| | Takara Standard Co. Ltd. | | 306,721 | | 4,350 | |
| | Central Glass Co. Ltd. | | 254,961 | | 4,337 | |
| | San-A Co. Ltd. | | 113,083 | | 4,335 | |
| | Create SD Holdings Co. Ltd. | | 138,337 | | 4,316 | |
| | Macnica Fuji Electronics Holdings Inc. | | 296,898 | | 4,303 | |
| | Kansai Mirai Financial Group Inc. | | 1,142,753 | | 4,302 | |
| | Arcs Co. Ltd. | | 213,219 | | 4,296 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Tri Chemical Laboratories Inc. | | 39,751 | | 4,285 | |
| | Iriso Electronics Co. Ltd. | | 128,877 | | 4,241 | |
| | KH Neochem Co. Ltd. | | 223,077 | | 4,227 | |
| | Suruga Bank Ltd. | | 1,194,419 | | 4,198 | |
| | Mandom Corp. | | 227,101 | | 4,194 | |
| | MOS Food Services Inc. | | 151,940 | | 4,191 | |
| | GungHo Online Entertainment Inc. | | 233,660 | | 4,178 | |
| | ASKUL Corp. | | 130,059 | | 4,177 | |
| | Giken Ltd. | | 88,532 | | 4,174 | |
| * | Optim Corp. | | 128,748 | | 4,153 | |
| | Strike Co. Ltd. | | 92,432 | | 4,152 | |
| | Atom Corp. | | 542,225 | | 4,125 | |
| | Noevir Holdings Co. Ltd. | | 96,417 | | 4,122 | |
| | Tokyo Dome Corp. | | 572,586 | | 4,115 | |
| | Outsourcing Inc. | | 645,273 | | 4,113 | |
| * | Aiful Corp. | | 1,859,344 | | 4,109 | |
| | Sumitomo Warehouse Co. Ltd. | | 339,012 | | 4,093 | |
| | Yokogawa Bridge Holdings Corp. | | 196,521 | | 4,089 | |
| | Belc Co. Ltd. | | 59,392 | | 4,067 | |
| | Juroku Bank Ltd. | | 222,868 | | 4,062 | |
| | Hyakugo Bank Ltd. | | 1,327,352 | | 4,051 | |
| | Meidensha Corp. | | 248,529 | | 4,040 | |
| | Maeda Road Construction Co. Ltd. | | 214,126 | | 4,038 | |
| | Transcosmos Inc. | | 173,591 | | 4,034 | |
| | Prestige International Inc. | | 535,328 | | 4,034 | |
| | Nomura Co. Ltd. | | 480,980 | | 4,018 | |
| | Taiko Pharmaceutical Co. Ltd. | | 165,991 | | 4,010 | |
| | Sumitomo Mitsui Construction Co. Ltd. | | 917,568 | | 4,001 | |
| | Kintetsu World Express Inc. | | 231,572 | | 3,999 | |
| | Nippon Signal Company Ltd. | | 379,341 | | 3,993 | |
| | Kanamoto Co. Ltd. | | 181,931 | | 3,985 | |
| | Orient Corp. | | 3,611,944 | | 3,975 | |
| | Kameda Seika Co. Ltd. | | 82,496 | | 3,972 | |
| | Life Corp. | | 123,501 | | 3,969 | |
| | Hokkoku Bank Ltd. | | 149,252 | | 3,969 | |
| | Makino Milling Machine Co. Ltd. | | 128,840 | | 3,965 | |
| | Japan Aviation Electronics Industry Ltd. | | 291,813 | | 3,949 | |
| | Nanto Bank Ltd. | | 201,559 | | 3,924 | |
| | Nichiha Corp. | | 183,314 | | 3,916 | |
| | Japan Wool Textile Co. Ltd. | | 392,337 | | 3,896 | |
| | Nagaileben Co. Ltd. | | 158,356 | | 3,887 | |
| | Bank of Okinawa Ltd. | | 134,751 | | 3,885 | |
| | Sanki Engineering Co. Ltd. | | 338,406 | | 3,879 | |
| | Ohsho Food Service Corp. | | 69,528 | | 3,879 | |
| | Maruwa Co. Ltd. | | 51,144 | | 3,871 | |
| | Starts Corp. Inc. | | 186,840 | | 3,835 | |
| | Gunze Ltd. | | 102,603 | | 3,813 | |
| | NichiiGakkan Co. Ltd. | | 244,930 | | 3,789 | |
| | FCC Co. Ltd. | | 219,560 | | 3,775 | |
| | Shoei Co. Ltd. | | 150,636 | | 3,774 | |
| | Hitachi Zosen Corp. | | 1,030,738 | | 3,771 | |
| | Create Restaurants Holdings Inc. | | 568,848 | | 3,752 | |
| | United Super Markets Holdings Inc. | | 353,989 | | 3,734 | |
| | Tocalo Co. Ltd. | | 344,416 | | 3,720 | |
| | Arata Corp. | | 82,678 | | 3,714 | |
| | Raito Kogyo Co. Ltd. | | 279,844 | | 3,710 | |
| | Saibu Gas Co. Ltd. | | 148,432 | | 3,707 | |
| | Ryoyo Electro Corp. | | 136,136 | | 3,692 | |
| | Mitsubishi Logisnext Co. Ltd. | | 416,391 | | 3,690 | |
| | Nichi-iko Pharmaceutical Co. Ltd. | | 303,179 | | 3,676 | |
| | H2O Retailing Corp. | | 547,951 | | 3,666 | |
| | Infocom Corp. | | 133,675 | | 3,666 | |
| | Maruwa Unyu Kikan Co. Ltd. | | 129,932 | | 3,663 | |
| | Keiyo Bank Ltd. | | 758,037 | | 3,661 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Fujimi Inc. | | 118,142 | | 3,646 | |
| | Takeuchi Manufacturing Co. Ltd. | | 218,497 | | 3,645 | |
| | Axial Retailing Inc. | | 90,137 | | 3,608 | |
| ^ | Nikkiso Co. Ltd. | | 375,546 | | 3,589 | |
| | Yamazen Corp. | | 424,223 | | 3,583 | |
| | Nachi-Fujikoshi Corp. | | 112,985 | | 3,564 | |
| | Okamura Corp. | | 510,909 | | 3,550 | |
| | Comture Corp. | | 136,000 | | 3,546 | |
| | Seiren Co. Ltd. | | 279,976 | | 3,538 | |
| | Tokyo Broadcasting System Holdings Inc. | | 219,779 | | 3,516 | |
| | Shibuya Corp. | | 134,351 | | 3,507 | |
| | North Pacific Bank Ltd. | | 1,812,166 | | 3,503 | |
| * | Descente Ltd. | | 251,937 | | 3,489 | |
| | Max Co. Ltd. | | 246,201 | | 3,488 | |
| | Mitsubishi Pencil Co. Ltd. | | 277,696 | | 3,484 | |
| | Sekisui Jushi Corp. | | 172,520 | | 3,471 | |
| | Zojirushi Corp. | | 273,177 | | 3,465 | |
| | Ai Holdings Corp. | | 238,385 | | 3,448 | |
| | KOMEDA Holdings Co. Ltd. | | 201,616 | | 3,421 | |
| | BML Inc. | | 131,181 | | 3,417 | |
| | MCJ Co. Ltd. | | 422,248 | | 3,374 | |
| | Fujimori Kogyo Co. Ltd. | | 96,330 | | 3,358 | |
| | Nippon Seiki Co. Ltd. | | 284,601 | | 3,347 | |
| | METAWATER Co. Ltd. | | 72,648 | | 3,346 | |
| | Nissan Shatai Co. Ltd. | | 386,599 | | 3,337 | |
| | Sato Holdings Corp. | | 153,052 | | 3,328 | |
| | Information Services International-Dentsu Ltd. | | 71,365 | | 3,319 | |
| | UACJ Corp. | | 184,183 | | 3,318 | |
| | Raiznext Corp. | | 293,438 | | 3,316 | |
| | Kitz Corp. | | 517,844 | | 3,312 | |
| | Chudenko Corp. | | 153,616 | | 3,302 | |
| | Okamoto Industries Inc. | | 89,489 | | 3,301 | |
| | Shoei Foods Corp. | | 84,578 | | 3,299 | |
| | Shinmaywa Industries Ltd. | | 350,939 | | 3,298 | |
| | Shizuoka Gas Co. Ltd. | | 357,806 | | 3,279 | |
| | Japan Petroleum Exploration Co. Ltd. | | 192,805 | | 3,261 | |
| | Restar Holdings Corp. | | 166,732 | | 3,245 | |
| | Inabata & Co. Ltd. | | 267,033 | | 3,237 | |
| | Tokyo Steel Manufacturing Co. Ltd. | | 560,054 | | 3,225 | |
| | Hokuetsu Corp. | | 906,143 | | 3,208 | |
| | Eiken Chemical Co. Ltd. | | 199,891 | | 3,200 | |
| * | euglena Co. Ltd. | | 440,835 | | 3,194 | |
| | LIXIL VIVA Corp. | | 132,058 | | 3,190 | |
| | Tokyotokeiba Co. Ltd. | | 95,243 | | 3,174 | |
| | Yodogawa Steel Works Ltd. | | 181,563 | | 3,165 | |
| | Uchida Yoko Co. Ltd. | | 53,982 | | 3,159 | |
| | Ringer Hut Co. Ltd. | | 145,189 | | 3,157 | |
| | Heiwado Co. Ltd. | | 178,699 | | 3,130 | |
| ^ | HIS Co. Ltd. | | 209,864 | | 3,128 | |
| | Ichigo Inc. | | 1,240,209 | | 3,127 | |
| | Aeon Delight Co. Ltd. | | 112,120 | | 3,126 | |
| | San-Ai Oil Co. Ltd. | | 345,419 | | 3,123 | |
| | Hyakujushi Bank Ltd. | | 172,660 | | 3,120 | |
| | Maeda Kosen Co. Ltd. | | 136,228 | | 3,118 | |
| ^ | Toridoll Holdings Corp. | | 276,902 | | 3,116 | |
| | Ryosan Co. Ltd. | | 150,027 | | 3,093 | |
| | Topre Corp. | | 275,146 | | 3,084 | |
| | TOMONY Holdings Inc. | | 958,727 | | 3,083 | |
| | Okasan Securities Group Inc. | | 1,017,062 | | 3,078 | |
| | Hosiden Corp. | | 348,891 | | 3,068 | |
| | Token Corp. | | 47,000 | | 3,066 | |
| | Kisoji Co. Ltd. | | 134,434 | | 3,052 | |
| | Towa Pharmaceutical Co. Ltd. | | 163,585 | | 3,030 | |
| ^ | Aruhi Corp. | | 211,613 | | 3,024 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| ^ | Kura Sushi Inc. | | 61,725 | | 3,009 | |
| * | Change Inc. | | 43,000 | | 3,007 | |
| | Saizeriya Co. Ltd. | | 155,050 | | 3,005 | |
| | Nitto Kogyo Corp. | | 167,177 | | 3,004 | |
| | Mitsuuroko Group Holdings Co. Ltd. | | 279,659 | | 3,003 | |
| | Tokai Tokyo Financial Holdings Inc. | | 1,348,416 | | 2,989 | |
| | Shibaura Machine Co. Ltd. | | 147,964 | | 2,971 | |
| | Rorze Corp. | | 59,010 | | 2,947 | |
| | Musashino Bank Ltd. | | 205,140 | | 2,941 | |
| | Keihanshin Building Co. Ltd. | | 227,749 | | 2,936 | |
| | SKY Perfect JSAT Holdings Inc. | | 789,003 | | 2,933 | |
| *,^ | Leopalace21 Corp. | | 1,495,441 | | 2,933 | |
| | Teikoku Sen-I Co. Ltd. | | 137,733 | | 2,928 | |
| ^ | Royal Holdings Co. Ltd. | | 167,534 | | 2,918 | |
| | T Hasegawa Co. Ltd. | | 130,315 | | 2,917 | |
| | Argo Graphics Inc. | | 93,000 | | 2,913 | |
| | Nippon Steel Trading Corp. | | 92,108 | | 2,911 | |
| | Hamakyorex Co. Ltd. | | 100,644 | | 2,904 | |
| | Round One Corp. | | 401,258 | | 2,902 | |
| ^ | COLOPL Inc. | | 316,466 | | 2,894 | |
| | Yokowo Co. Ltd. | | 123,730 | | 2,890 | |
| * | M&A Capital Partners Co. Ltd. | | 77,678 | | 2,887 | |
| | Solasto Corp. | | 289,371 | | 2,883 | |
| | Maruzen Showa Unyu Co. Ltd. | | 91,927 | | 2,860 | |
| | Nichicon Corp. | | 409,575 | | 2,859 | |
| | Arcland Sakamoto Co. Ltd. | | 162,985 | | 2,858 | |
| | ARTERIA Networks Corp. | | 159,800 | | 2,840 | |
| | Sanken Electric Co. Ltd. | | 144,061 | | 2,837 | |
| | Sanyo Chemical Industries Ltd. | | 65,725 | | 2,832 | |
| | Nissin Electric Co. Ltd. | | 289,743 | | 2,830 | |
| | Sakai Moving Service Co. Ltd. | | 55,008 | | 2,807 | |
| | Fuji Media Holdings Inc. | | 289,587 | | 2,799 | |
| | Hirata Corp. | | 53,202 | | 2,799 | |
| | Exedy Corp. | | 187,151 | | 2,794 | |
| | Nishimatsuya Chain Co. Ltd. | | 270,756 | | 2,794 | |
| | Noritake Co. Ltd. | | 85,293 | | 2,787 | |
| | Adastria Co. Ltd. | | 175,249 | | 2,786 | |
| | United Arrows Ltd. | | 162,833 | | 2,765 | |
| | Idec Corp. | | 172,227 | | 2,756 | |
| | Yuasa Trading Co. Ltd. | | 101,634 | | 2,747 | |
| | Osaka Soda Co. Ltd. | | 123,986 | | 2,743 | |
| | Seiko Holdings Corp. | | 171,046 | | 2,727 | |
| | Bell System24 Holdings Inc. | | 209,035 | | 2,720 | |
| | Daibiru Corp. | | 293,813 | | 2,692 | |
| | S Foods Inc. | | 110,076 | | 2,689 | |
| * | Chiyoda Corp. | | 1,013,634 | | 2,676 | |
| | Doutor Nichires Holdings Co. Ltd. | | 165,091 | | 2,670 | |
| | Seikagaku Corp. | | 251,746 | | 2,645 | |
| ^ | DyDo Group Holdings Inc. | | 58,298 | | 2,640 | |
| | Noritz Corp. | | 216,455 | | 2,637 | |
| | eRex Co. Ltd. | | 199,992 | | 2,635 | |
| | Yellow Hat Ltd. | | 189,364 | | 2,608 | |
| | Trancom Co. Ltd. | | 40,435 | | 2,601 | |
| | Shima Seiki Manufacturing Ltd. | | 181,717 | | 2,599 | |
| | Jaccs Co. Ltd. | | 158,021 | | 2,588 | |
| | Kanematsu Electronics Ltd. | | 72,659 | | 2,588 | |
| | Chofu Seisakusho Co. Ltd. | | 123,063 | | 2,584 | |
| | Japan Securities Finance Co. Ltd. | | 543,695 | | 2,584 | |
| ^ | Miroku Jyoho Service Co. Ltd. | | 122,534 | | 2,580 | |
| | Hiday Hidaka Corp. | | 165,209 | | 2,577 | |
| | Nohmi Bosai Ltd. | | 132,077 | | 2,566 | |
| | TechMatrix Corp. | | 147,000 | | 2,566 | |
| | Daito Pharmaceutical Co. Ltd. | | 69,122 | | 2,562 | |
| | Sakata INX Corp. | | 267,995 | | 2,561 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Tokai Corp. | | 116,010 | | 2,561 | |
| | ValueCommerce Co. Ltd. | | 95,200 | | 2,560 | |
| | Fujicco Co. Ltd. | | 136,482 | | 2,537 | |
| | Tsukishima Kikai Co. Ltd. | | 232,662 | | 2,536 | |
| | Nitta Corp. | | 115,880 | | 2,522 | |
| | Pacific Industrial Co. Ltd. | | 285,238 | | 2,515 | |
| | Gree Inc. | | 583,243 | | 2,507 | |
| | Senshu Ikeda Holdings Inc. | | 1,678,019 | | 2,504 | |
| | Ricoh Leasing Co. Ltd. | | 90,711 | | 2,503 | |
| | Dip Corp. | | 123,147 | | 2,501 | |
| | Zuken Inc. | | 93,804 | | 2,501 | |
| | Marudai Food Co. Ltd. | | 141,706 | | 2,499 | |
| | Relia Inc. | | 268,030 | | 2,496 | |
| | Musashi Seimitsu Industry Co. Ltd. | | 277,812 | | 2,494 | |
| | Toho Bank Ltd. | | 1,198,925 | | 2,488 | |
| | Broadleaf Co. Ltd. | | 505,947 | | 2,483 | |
| | Chugoku Marine Paints Ltd. | | 333,166 | | 2,481 | |
| | Joshin Denki Co. Ltd. | | 123,287 | | 2,478 | |
| | Zenrin Co. Ltd. | | 219,030 | | 2,474 | |
| | Aomori Bank Ltd. | | 118,514 | | 2,470 | |
| | Nippon Ceramic Co. Ltd. | | 116,831 | | 2,469 | |
| | Japan Pulp & Paper Co. Ltd. | | 67,515 | | 2,469 | |
| | T-Gaia Corp. | | 130,361 | | 2,464 | |
| | Bank of Iwate Ltd. | | 101,632 | | 2,463 | |
| | Toppan Forms Co. Ltd. | | 246,477 | | 2,448 | |
| | KFC Holdings Japan Ltd. | | 88,033 | | 2,447 | |
| | Kurabo Industries Ltd. | | 115,947 | | 2,441 | |
| | S-Pool Inc. | | 354,485 | | 2,435 | |
| | Plenus Co. Ltd. | | 146,658 | | 2,435 | |
| | Nippon Road Co. Ltd. | | 36,104 | | 2,430 | |
| | Ehime Bank Ltd. | | 224,168 | | 2,427 | |
| | Okuwa Co. Ltd. | | 157,915 | | 2,425 | |
| | Sanyo Denki Co. Ltd. | | 53,402 | | 2,414 | |
| * | RENOVA Inc. | | 275,500 | | 2,408 | |
| | Dexerials Corp. | | 305,258 | | 2,406 | |
| | Chubu Shiryo Co. Ltd. | | 158,766 | | 2,406 | |
| | JM Holdings Co. Ltd. | | 86,000 | | 2,406 | |
| ^ | Nippon Koei Co. Ltd. | | 85,789 | | 2,400 | |
| | Pressance Corp. | | 217,006 | | 2,393 | |
| | Mitsubishi Shokuhin Co. Ltd. | | 93,595 | | 2,391 | |
| | Computer Engineering & Consulting Ltd. | | 150,829 | | 2,391 | |
| | Tsugami Corp. | | 284,784 | | 2,389 | |
| | Sintokogio Ltd. | | 323,615 | | 2,380 | |
| | Inageya Co. Ltd. | | 151,132 | | 2,374 | |
| | Bunka Shutter Co. Ltd. | | 342,148 | | 2,370 | |
| | Maxell Holdings Ltd. | | 252,774 | | 2,363 | |
| | TSI Holdings Co. Ltd. | | 548,005 | | 2,356 | |
| | Riken Keiki Co. Ltd. | | 106,161 | | 2,351 | |
| | Torii Pharmaceutical Co. Ltd. | | 81,552 | | 2,344 | |
| * | KYB Corp. | | 124,899 | | 2,342 | |
| | SAMTY Co. Ltd. | | 183,000 | | 2,331 | |
| | Hokuto Corp. | | 123,254 | | 2,320 | |
| | Dai-Dan Co. Ltd. | | 88,476 | | 2,316 | |
| ^ | Monogatari Corp. | | 29,587 | | 2,311 | |
| | Wakita & Co. Ltd. | | 268,194 | | 2,310 | |
| | Nissha Co. Ltd. | | 245,193 | | 2,310 | |
| | Aida Engineering Ltd. | | 340,900 | | 2,307 | |
| | Oiles Corp. | | 177,902 | | 2,305 | |
| | Bank of Nagoya Ltd. | | 106,980 | | 2,300 | |
| | Bank of the Ryukyus Ltd. | | 256,710 | | 2,287 | |
| | Tokyu Construction Co. Ltd. | | 439,142 | | 2,282 | |
| | Tsurumi Manufacturing Co. Ltd. | | 132,960 | | 2,279 | |
| | Itochu Enex Co. Ltd. | | 280,453 | | 2,279 | |
| | Star Micronics Co. Ltd. | | 202,966 | | 2,269 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Organo Corp. | | 41,829 | | 2,263 | |
| | Optex Group Co. Ltd. | | 197,901 | | 2,256 | |
| | Mitsui High-Tec Inc. | | 151,143 | | 2,255 | |
| | Kanto Denka Kogyo Co. Ltd. | | 282,331 | | 2,247 | |
| | Yamagata Bank Ltd. | | 181,542 | | 2,244 | |
| | Meisei Industrial Co. Ltd. | | 301,461 | | 2,242 | |
| | Tokushu Tokai Paper Co. Ltd. | | 52,171 | | 2,242 | |
| | Kyokuto Kaihatsu Kogyo Co. Ltd. | | 183,486 | | 2,239 | |
| | LEC Inc. | | 147,956 | | 2,227 | |
| ^ | Yamashin-Filter Corp. | | 225,526 | | 2,226 | |
| | Sanyo Electric Railway Co. Ltd. | | 108,814 | | 2,220 | |
| | Piolax Inc. | | 147,716 | | 2,210 | |
| | Nippon Kanzai Co. Ltd. | | 120,461 | | 2,203 | |
| | Monex Group Inc. | | 1,084,086 | | 2,201 | |
| | Yokohama Reito Co. Ltd. | | 265,529 | | 2,201 | |
| | Tonami Holdings Co. Ltd. | | 41,839 | | 2,199 | |
| ^ | Taki Chemical Co. Ltd. | | 30,700 | | 2,197 | |
| | Fukushima Galilei Co. Ltd. | | 69,160 | | 2,196 | |
| | Mizuno Corp. | | 113,121 | | 2,180 | |
| | Fukui Bank Ltd. | | 139,419 | | 2,171 | |
| | Hosokawa Micron Corp. | | 40,942 | | 2,168 | |
| | EM Systems Co. Ltd. | | 237,300 | | 2,167 | |
| | Key Coffee Inc. | | 101,960 | | 2,164 | |
| | Fuji Co. Ltd. | | 124,103 | | 2,160 | |
| | Konishi Co. Ltd. | | 154,075 | | 2,155 | |
| | Financial Products Group Co. Ltd. | | 387,738 | | 2,148 | |
| ^ | Nippon Carbon Co. Ltd. | | 66,836 | | 2,144 | |
| | Doshisha Co. Ltd. | | 141,585 | | 2,143 | |
| | Obara Group Inc. | | 70,117 | | 2,139 | |
| | Daiichi Jitsugyo Co. Ltd. | | 62,891 | | 2,135 | |
| * | Raksul Inc. | | 78,200 | | 2,133 | |
| | TPR Co. Ltd. | | 170,723 | | 2,130 | |
| | Yondoshi Holdings Inc. | | 128,906 | | 2,126 | |
| | Mimasu Semiconductor Industry Co. Ltd. | | 98,218 | | 2,125 | |
| | Daiho Corp. | | 94,188 | | 2,125 | |
| | Megachips Corp. | | 109,320 | | 2,117 | |
| | Shikoku Chemicals Corp. | | 207,858 | | 2,101 | |
| | Riso Kagaku Corp. | | 151,962 | | 2,101 | |
| | Micronics Japan Co. Ltd. | | 198,689 | | 2,100 | |
| | SBS Holdings Inc. | | 101,700 | | 2,099 | |
| | Onward Holdings Co. Ltd. | | 708,835 | | 2,095 | |
| | Okabe Co. Ltd. | | 275,214 | | 2,078 | |
| | Starzen Co. Ltd. | | 52,766 | | 2,077 | |
| | J-Oil Mills Inc. | | 56,166 | | 2,076 | |
| | Takamatsu Construction Group Co. Ltd. | | 91,821 | | 2,056 | |
| | Futaba Corp. | | 224,146 | | 2,052 | |
| | Riken Vitamin Co. Ltd. | | 97,060 | | 2,052 | |
| | Pack Corp. | | 70,453 | | 2,048 | |
| | Fujio Food System Co. Ltd. | | 154,000 | | 2,047 | |
| | Oita Bank Ltd. | | 92,524 | | 2,047 | |
| | Miyazaki Bank Ltd. | | 91,914 | | 2,037 | |
| * | Nippon Sheet Glass Co. Ltd. | | 580,805 | | 2,028 | |
| | Tsubaki Nakashima Co. Ltd. | | 257,970 | | 2,026 | |
| | Fujibo Holdings Inc. | | 66,643 | | 2,020 | |
| | Furukawa Co. Ltd. | | 197,975 | | 2,018 | |
| | Sumitomo Densetsu Co. Ltd. | | 90,777 | | 2,017 | |
| * | Kappa Create Co. Ltd. | | 147,923 | | 2,017 | |
| | Tamura Corp. | | 472,966 | | 2,006 | |
| | Shin Nippon Air Technologies Co. Ltd. | | 90,900 | | 2,003 | |
| | TOC Co. Ltd. | | 316,198 | | 2,002 | |
| | Taihei Dengyo Kaisha Ltd. | | 93,527 | | 2,000 | |
| | Vital KSK Holdings Inc. | | 207,625 | | 1,993 | |
| | Nishio Rent All Co. Ltd. | | 96,343 | | 1,991 | |
| | Aichi Steel Corp. | | 69,947 | | 1,990 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Mitsuboshi Belting Ltd. | | 126,981 | | 1,989 | |
| ^ | Kitanotatsujin Corp. | | 414,268 | | 1,986 | |
| | Unipres Corp. | | 225,839 | | 1,981 | |
| | Noritsu Koki Co. Ltd. | | 140,863 | | 1,973 | |
| | Geo Holdings Corp. | | 156,553 | | 1,967 | |
| | Aoyama Trading Co. Ltd. | | 288,123 | | 1,966 | |
| | SB Technology Corp. | | 57,000 | | 1,964 | |
| | TV Asahi Holdings Corp. | | 133,514 | | 1,945 | |
| | Ryobi Ltd. | | 173,132 | | 1,943 | |
| | Sodick Co. Ltd. | | 261,882 | | 1,941 | |
| | Kaga Electronics Co. Ltd. | | 106,180 | | 1,932 | |
| | Siix Corp. | | 209,361 | | 1,927 | |
| | EPS Holdings Inc. | | 200,443 | | 1,925 | |
| | Konoike Transport Co. Ltd. | | 177,815 | | 1,924 | |
| | ESPEC Corp. | | 115,489 | | 1,918 | |
| | Hibiya Engineering Ltd. | | 109,300 | | 1,897 | |
| | Belluna Co. Ltd. | | 333,177 | | 1,883 | |
| | Cawachi Ltd. | | 72,875 | | 1,882 | |
| | Future Corp. | | 116,570 | | 1,866 | |
| | Advan Co. Ltd. | | 149,072 | | 1,858 | |
| | Mitsui-Soko Holdings Co. Ltd. | | 131,931 | | 1,830 | |
| | Shin-Etsu Polymer Co. Ltd. | | 222,015 | | 1,818 | |
| * | Mitsui E&S Holdings Co. Ltd. | | 470,205 | | 1,815 | |
| | Keiyo Co. Ltd. | | 264,524 | | 1,815 | |
| | Tachibana Eletech Co. Ltd. | | 112,500 | | 1,813 | |
| | V Technology Co. Ltd. | | 52,972 | | 1,810 | |
| | Icom Inc. | | 62,805 | | 1,806 | |
| | Komori Corp. | | 273,895 | | 1,794 | |
| | Genky DrugStores Co. Ltd. | | 53,751 | | 1,780 | |
| *,^ | Japan Display Inc. | | 3,879,237 | | 1,780 | |
| | San ju San Financial Group Inc. | | 144,753 | | 1,779 | |
| | Mitsui Sugar Co. Ltd. | | 96,861 | | 1,778 | |
| | Elan Corp. | | 100,800 | | 1,777 | |
| | Tosei Corp. | | 167,300 | | 1,770 | |
| | YAMABIKO Corp. | | 211,544 | | 1,767 | |
| | Takasago International Corp. | | 88,228 | | 1,764 | |
| | Modec Inc. | | 123,070 | | 1,762 | |
| | Nichiden Corp. | | 80,475 | | 1,760 | |
| | Itochu-Shokuhin Co. Ltd. | | 36,990 | | 1,758 | |
| | Sumitomo Seika Chemicals Co. Ltd. | | 53,795 | | 1,752 | |
| ^ | YAKUODO Holdings Co. Ltd. | | 71,520 | | 1,748 | |
| *,^ | I'll Inc. | | 118,800 | | 1,736 | |
| | VT Holdings Co. Ltd. | | 529,643 | | 1,733 | |
| | Oyo Corp. | | 131,904 | | 1,724 | |
| | Shikoku Bank Ltd. | | 235,690 | | 1,722 | |
| | DKK Co. Ltd. | | 70,966 | | 1,716 | |
| | Ines Corp. | | 135,521 | | 1,716 | |
| | Takara Leben Co. Ltd. | | 509,965 | | 1,710 | |
| | Koa Corp. | | 182,558 | | 1,707 | |
| | Insource Co. Ltd. | | 69,300 | | 1,705 | |
| | Towa Corp. | | 156,647 | | 1,703 | |
| ^ | Nextage Co. Ltd. | | 211,298 | | 1,702 | |
| | Dainichiseika Color & Chemicals Manufacturing Co. Ltd. | | 78,387 | | 1,701 | |
| | Kanagawa Chuo Kotsu Co. Ltd. | | 44,516 | | 1,700 | |
| | YA-MAN Ltd. | | 170,677 | | 1,692 | |
| | Nippon Television Holdings Inc. | | 156,165 | | 1,691 | |
| | Toyo Construction Co. Ltd. | | 453,042 | | 1,690 | |
| | Central Security Patrols Co. Ltd. | | 42,388 | | 1,684 | |
| | Tokyo Kiraboshi Financial Group Inc. | | 164,180 | | 1,682 | |
| | Canon Electronics Inc. | | 112,099 | | 1,680 | |
| | Gakken Holdings Co. Ltd. | | 124,804 | | 1,680 | |
| | Iino Kaiun Kaisha Ltd. | | 530,924 | | 1,679 | |
| | World Co. Ltd. | | 109,600 | | 1,674 | |
| | Intage Holdings Inc. | | 203,353 | | 1,667 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Denyo Co. Ltd. | | 93,601 | | 1,663 | |
| | Nittetsu Mining Co. Ltd. | | 40,532 | | 1,654 | |
| * | Nippon Chemi-Con Corp. | | 98,163 | | 1,652 | |
| | Sakai Chemical Industry Co. Ltd. | | 86,940 | | 1,645 | |
| | Valqua Ltd. | | 91,328 | | 1,642 | |
| | Maxvalu Tokai Co. Ltd. | | 71,300 | | 1,639 | |
| | Futaba Industrial Co. Ltd. | | 389,851 | | 1,639 | |
| | Toa Corp. | | 112,010 | | 1,626 | |
| | ASKA Pharmaceutical Co. Ltd. | | 144,052 | | 1,625 | |
| | Sanshin Electronics Co. Ltd. | | 113,441 | | 1,621 | |
| | Halows Co. Ltd. | | 51,651 | | 1,617 | |
| | FULLCAST Holdings Co. Ltd. | | 120,648 | | 1,609 | |
| | Sinko Industries Ltd. | | 117,539 | | 1,589 | |
| | Kyoei Steel Ltd. | | 131,658 | | 1,588 | |
| | Arcland Service Holdings Co. Ltd. | | 89,399 | | 1,586 | |
| | Daikyonishikawa Corp. | | 352,441 | | 1,586 | |
| | Tekken Corp. | | 82,587 | | 1,586 | |
| | Bando Chemical Industries Ltd. | | 259,606 | | 1,580 | |
| | CI Takiron Corp. | | 242,605 | | 1,579 | |
| | PAL GROUP Holdings Co. Ltd. | | 130,878 | | 1,579 | |
| | LIFULL Co. Ltd. | | 396,216 | | 1,562 | |
| | Macromill Inc. | | 226,171 | | 1,562 | |
| | Riso Kyoiku Co. Ltd. | | 515,700 | | 1,558 | |
| | Anest Iwata Corp. | | 200,043 | | 1,558 | |
| | Daiken Corp. | | 91,809 | | 1,546 | |
| | Ichikoh Industries Ltd. | | 337,849 | | 1,544 | |
| | Shinko Shoji Co. Ltd. | | 198,182 | | 1,544 | |
| | Sinfonia Technology Co. Ltd. | | 161,258 | | 1,541 | |
| | Feed One Co. Ltd. | | 822,491 | | 1,540 | |
| | Matsuyafoods Holdings Co. Ltd. | | 45,375 | | 1,539 | |
| | Qol Holdings Co. Ltd. | | 146,199 | | 1,537 | |
| | Toenec Corp. | | 44,324 | | 1,537 | |
| | Mitsubishi Research Institute Inc. | | 38,138 | | 1,526 | |
| | Sinanen Holdings Co. Ltd. | | 60,068 | | 1,525 | |
| | Kintetsu Department Store Co. Ltd. | | 53,866 | | 1,517 | |
| | JVCKenwood Corp. | | 997,101 | | 1,516 | |
| | Yamanashi Chuo Bank Ltd. | | 191,338 | | 1,515 | |
| | Kyosan Electric Manufacturing Co. Ltd. | | 304,128 | | 1,513 | |
| | IDOM Inc. | | 327,281 | | 1,508 | |
| | Mie Kotsu Group Holdings Inc. | | 343,943 | | 1,507 | |
| | Daiwa Industries Ltd. | | 178,834 | | 1,505 | |
| | Fixstars Corp. | | 125,600 | | 1,504 | |
| | Nissei ASB Machine Co. Ltd. | | 50,486 | | 1,504 | |
| | Alpen Co. Ltd. | | 96,650 | | 1,503 | |
| | Daikokutenbussan Co. Ltd. | | 33,504 | | 1,503 | |
| | Komatsu Matere Co. Ltd. | | 218,062 | | 1,497 | |
| | Matsuya Co. Ltd. | | 234,386 | | 1,492 | |
| | Nippon Prologis REIT Inc. | | 491 | | 1,492 | |
| | Union Tool Co. | | 61,015 | | 1,491 | |
| | Chiyoda Co. Ltd. | | 136,064 | | 1,491 | |
| | SWCC Showa Holdings Co. Ltd. | | 139,196 | | 1,489 | |
| | Ishihara Sangyo Kaisha Ltd. | | 225,768 | | 1,488 | |
| | Avex Inc. | | 187,801 | | 1,486 | |
| | Sankyo Tateyama Inc. | | 166,294 | | 1,483 | |
| | Nagatanien Holdings Co. Ltd. | | 73,648 | | 1,476 | |
| | Poletowin Pitcrew Holdings Inc. | | 176,500 | | 1,476 | |
| | Kenko Mayonnaise Co. Ltd. | | 82,099 | | 1,473 | |
| | Fujiya Co. Ltd. | | 71,219 | | 1,472 | |
| | Kyokuyo Co. Ltd. | | 58,408 | | 1,472 | |
| | Hodogaya Chemical Co. Ltd. | | 36,115 | | 1,470 | |
| | Media Do Co. Ltd. | | 35,811 | | 1,468 | |
| | PC Depot Corp. | | 207,140 | | 1,467 | |
| | Hioki EE Corp. | | 54,691 | | 1,463 | |
| | Alpha Systems Inc. | | 42,323 | | 1,463 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Achilles Corp. | | 80,825 | | 1,459 | |
| | RS Technologies Co. Ltd. | | 45,054 | | 1,454 | |
| * | Atrae Inc. | | 49,307 | | 1,445 | |
| | Fukuda Corp. | | 31,600 | | 1,433 | |
| | Asahi Diamond Industrial Co. Ltd. | | 314,535 | | 1,433 | |
| * | Sagami Holdings Corp. | | 121,561 | | 1,428 | |
| | Toyo Tanso Co. Ltd. | | 90,116 | | 1,421 | |
| | Riken Corp. | | 51,079 | | 1,418 | |
| | Daido Metal Co. Ltd. | | 278,997 | | 1,418 | |
| | Chukyo Bank Ltd. | | 71,015 | | 1,416 | |
| | Press Kogyo Co. Ltd. | | 521,117 | | 1,416 | |
| | Rock Field Co. Ltd. | | 117,181 | | 1,415 | |
| | Yurtec Corp. | | 231,338 | | 1,409 | |
| | Kamei Corp. | | 148,604 | | 1,407 | |
| | Aichi Bank Ltd. | | 54,304 | | 1,405 | |
| ^ | J Trust Co. Ltd. | | 491,937 | | 1,404 | |
| | CONEXIO Corp. | | 105,239 | | 1,393 | |
| | Katakura Industries Co. Ltd. | | 130,938 | | 1,393 | |
| | Rheon Automatic Machinery Co. Ltd. | | 120,861 | | 1,391 | |
| | Tenma Corp. | | 90,018 | | 1,388 | |
| | Tsukui Corp. | | 295,377 | | 1,388 | |
| | Alconix Corp. | | 128,406 | | 1,388 | |
| | Akita Bank Ltd. | | 102,233 | | 1,377 | |
| | Tamron Co. Ltd. | | 79,454 | | 1,374 | |
| | Enplas Corp. | | 62,043 | | 1,373 | |
| | Marusan Securities Co. Ltd. | | 359,627 | | 1,368 | |
| | AOKI Holdings Inc. | | 235,356 | | 1,367 | |
| | Tanseisha Co. Ltd. | | 195,506 | | 1,366 | |
| | Sun Frontier Fudousan Co. Ltd. | | 169,691 | | 1,352 | |
| | OPT Holding Inc. | | 100,978 | | 1,351 | |
| | Tachi-S Co. Ltd. | | 166,746 | | 1,346 | |
| | Optorun Co. Ltd. | | 57,406 | | 1,345 | |
| | Goldcrest Co. Ltd. | | 97,767 | | 1,342 | |
| | Furuno Electric Co. Ltd. | | 147,635 | | 1,337 | |
| | Towa Bank Ltd. | | 205,216 | | 1,332 | |
| | OSJB Holdings Corp. | | 619,161 | | 1,331 | |
| | Kamakura Shinsho Ltd. | | 126,600 | | 1,327 | |
| | Teikoku Electric Manufacturing Co. Ltd. | | 114,854 | | 1,327 | |
| | Japan Transcity Corp. | | 282,857 | | 1,325 | |
| | Stella Chemifa Corp. | | 58,511 | | 1,319 | |
| | Tayca Corp. | | 102,572 | | 1,319 | |
| | St. Marc Holdings Co. Ltd. | | 85,332 | | 1,317 | |
| | Dai Nippon Toryo Co. Ltd. | | 150,009 | | 1,312 | |
| *,^ | W-Scope Corp. | | 176,781 | | 1,307 | |
| | Proto Corp. | | 139,700 | | 1,303 | |
| | Shinnihon Corp. | | 166,590 | | 1,302 | |
| | BRONCO BILLY Co. Ltd. | | 57,887 | | 1,301 | |
| | Sumitomo Riko Co. Ltd. | | 223,579 | | 1,298 | |
| ^ | Sourcenext Corp. | | 500,000 | | 1,295 | |
| | Nippon Thompson Co. Ltd. | | 410,338 | | 1,294 | |
| | Nippon Yakin Kogyo Co. Ltd. | | 86,857 | | 1,294 | |
| | Nissin Sugar Co. Ltd. | | 74,500 | | 1,286 | |
| | ES-Con Japan Ltd. | | 168,800 | | 1,285 | |
| * | KLab Inc. | | 187,918 | | 1,277 | |
| * | Vector Inc. | | 156,508 | | 1,273 | |
| | Kanaden Corp. | | 106,133 | | 1,273 | |
| | Shinwa Co. Ltd. | | 69,629 | | 1,271 | |
| | Kansai Super Market Ltd. | | 125,232 | | 1,270 | |
| | Tokyo Electron Device Ltd. | | 37,824 | | 1,262 | |
| | Amuse Inc. | | 61,521 | | 1,261 | |
| | Toyo Corp. | | 136,311 | | 1,256 | |
| | Pacific Metals Co. Ltd. | | 87,521 | | 1,255 | |
| | Pasona Group Inc. | | 112,800 | | 1,253 | |
| | Shimizu Bank Ltd. | | 75,377 | | 1,245 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Warabeya Nichiyo Holdings Co. Ltd. | | 78,996 | | 1,245 | |
| | Marvelous Inc. | | 190,997 | | 1,244 | |
| | Kawada Technologies Inc. | | 27,599 | | 1,244 | |
| | G-7 Holdings Inc. | | 56,900 | | 1,242 | |
| | Nihon Chouzai Co. Ltd. | | 83,896 | | 1,241 | |
| | CTS Co. Ltd. | | 148,973 | | 1,238 | |
| | Nippon Beet Sugar Manufacturing Co. Ltd. | | 70,822 | | 1,235 | |
| | Hoosiers Holdings | | 249,200 | | 1,230 | |
| | G-Tekt Corp. | | 126,680 | | 1,229 | |
| | Koatsu Gas Kogyo Co. Ltd. | | 179,329 | | 1,229 | |
| | Kyodo Printing Co. Ltd. | | 46,176 | | 1,220 | |
| | Sanyo Special Steel Co. Ltd. | | 147,898 | | 1,219 | |
| *,^ | RPA Holdings Inc. | | 164,847 | | 1,216 | |
| | Foster Electric Co. Ltd. | | 124,208 | | 1,216 | |
| *,^ | BrainPad Inc. | | 28,319 | | 1,212 | |
| | Ministop Co. Ltd. | | 85,966 | | 1,205 | |
| | Topy Industries Ltd. | | 105,891 | | 1,203 | |
| | K&O Energy Group Inc. | | 85,018 | | 1,201 | |
| | CMK Corp. | | 308,746 | | 1,195 | |
| | Fukui Computer Holdings Inc. | | 46,820 | | 1,189 | |
| | WDB Holdings Co. Ltd. | | 48,104 | | 1,189 | |
| | Cosel Co. Ltd. | | 135,886 | | 1,187 | |
| | Toho Titanium Co. Ltd. | | 194,496 | | 1,179 | |
| | Yonex Co. Ltd. | | 216,078 | | 1,176 | |
| | ZIGExN Co. Ltd. | | 372,700 | | 1,172 | |
| | Hochiki Corp. | | 102,524 | | 1,167 | |
| | Riken Technos Corp. | | 295,700 | | 1,166 | |
| | Sparx Group Co. Ltd. | | 577,400 | | 1,162 | |
| | Industrial & Infrastructure Fund Investment Corp. | | 719 | | 1,161 | |
| | GLOBERIDE Inc. | | 61,800 | | 1,160 | |
| | Weathernews Inc. | | 35,298 | | 1,156 | |
| | Nippon Parking Development Co. Ltd. | | 890,781 | | 1,153 | |
| | Gurunavi Inc. | | 167,564 | | 1,152 | |
| | Yorozu Corp. | | 116,628 | | 1,150 | |
| | Akatsuki Inc. | | 32,221 | | 1,149 | |
| | Japan Medical Dynamic Marketing Inc. | | 75,237 | | 1,139 | |
| | Tomoku Co. Ltd. | | 69,394 | | 1,138 | |
| | Zuiko Corp. | | 24,480 | | 1,133 | |
| | Tosho Co. Ltd. | | 95,227 | | 1,133 | |
| | Shibusawa Warehouse Co. Ltd. | | 58,691 | | 1,132 | |
| | Osaki Electric Co. Ltd. | | 241,982 | | 1,132 | |
| | Kurimoto Ltd. | | 70,113 | | 1,130 | |
| * | Toho Zinc Co. Ltd. | | 78,898 | | 1,130 | |
| | Hokkan Holdings Ltd. | | 66,103 | | 1,118 | |
| | Nitto Kohki Co. Ltd. | | 67,614 | | 1,118 | |
| ^ | PIA Corp. | | 35,338 | | 1,118 | |
| | Daiwa House REIT Investment Corp. | | 474 | | 1,115 | |
| | Arakawa Chemical Industries Ltd. | | 96,278 | | 1,109 | |
| | Fuso Pharmaceutical Industries Ltd. | | 47,635 | | 1,108 | |
| | Yahagi Construction Co. Ltd. | | 150,623 | | 1,101 | |
| | Onoken Co. Ltd. | | 96,315 | | 1,097 | |
| | Koshidaka Holdings Co. Ltd. | | 280,689 | | 1,090 | |
| | Eagle Industry Co. Ltd. | | 161,375 | | 1,084 | |
| | Ryoden Corp. | | 79,074 | | 1,076 | |
| | FAN Communications Inc. | | 256,471 | | 1,066 | |
| | Melco Holdings Inc. | | 38,043 | | 1,064 | |
| | Neturen Co. Ltd. | | 208,665 | | 1,062 | |
| | Chori Co. Ltd. | | 61,953 | | 1,060 | |
| | Rokko Butter Co. Ltd. | | 74,125 | | 1,057 | |
| | Honeys Holdings Co. Ltd. | | 99,406 | | 1,057 | |
| * | Unitika Ltd. | | 318,800 | | 1,057 | |
| | ST Corp. | | 66,324 | | 1,057 | |
| | Moriroku Holdings Co. Ltd. | | 66,700 | | 1,056 | |
| | Aichi Corp. | | 152,505 | | 1,054 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | Vision Inc. | | 166,825 | | 1,052 | |
| * | Nippon Sharyo Ltd. | | 44,911 | | 1,050 | |
| | Nichiban Co. Ltd. | | 77,374 | | 1,049 | |
| | Xebio Holdings Co. Ltd. | | 134,494 | | 1,048 | |
| | Tatsuta Electric Wire and Cable Co. Ltd. | | 194,859 | | 1,039 | |
| | Toho Co. Ltd. | | 59,173 | | 1,038 | |
| | ASAHI YUKIZAI Corp. | | 77,851 | | 1,037 | |
| * | Nippon Denko Co. Ltd. | | 657,617 | | 1,036 | |
| | Hokkaido Gas Co. Ltd. | | 70,006 | | 1,034 | |
| | Iseki & Co. Ltd. | | 99,757 | | 1,029 | |
| * | OSAKA Titanium Technologies Co. Ltd. | | 118,003 | | 1,027 | |
| | MTI Ltd. | | 172,309 | | 1,022 | |
| | Michinoku Bank Ltd. | | 97,413 | | 1,022 | |
| | Aiphone Co. Ltd. | | 69,885 | | 1,021 | |
| * | Medical Data Vision Co. Ltd. | | 88,908 | | 1,018 | |
| | FIDEA Holdings Co. Ltd. | | 1,083,754 | | 1,016 | |
| | Fuji Pharma Co. Ltd. | | 93,814 | | 1,014 | |
| | SRA Holdings | | 45,453 | | 1,009 | |
| | Pronexus Inc. | | 87,917 | | 996 | |
| | Aisan Industry Co. Ltd. | | 202,476 | | 995 | |
| | Chiyoda Integre Co. Ltd. | | 64,427 | | 992 | |
| | Jimoto Holdings Inc. | | 1,117,156 | | 987 | |
| | Dai-ichi Seiko Co. Ltd. | | 48,835 | | 986 | |
| ^ | Tama Home Co. Ltd. | | 86,000 | | 983 | |
| | Matsuda Sangyo Co. Ltd. | | 78,607 | | 980 | |
| | Toyo Kanetsu KK | | 49,790 | | 979 | |
| | WATAMI Co. Ltd. | | 110,567 | | 976 | |
| | Torishima Pump Manufacturing Co. Ltd. | | 130,328 | | 974 | |
| | France Bed Holdings Co. Ltd. | | 123,300 | | 968 | |
| | Nihon Nohyaku Co. Ltd. | | 221,855 | | 966 | |
| | Nihon Tokushu Toryo Co. Ltd. | | 104,572 | | 962 | |
| * | Mitsuba Corp. | | 221,871 | | 957 | |
| | Maezawa Kyuso Industries Co. Ltd. | | 51,364 | | 957 | |
| | Godo Steel Ltd. | | 56,079 | | 956 | |
| | Yomiuri Land Co. Ltd. | | 28,688 | | 947 | |
| | Meiko Network Japan Co. Ltd. | | 119,294 | | 945 | |
| | Nissin Corp. | | 66,345 | | 937 | |
| | Asahi Co. Ltd. | | 67,524 | | 934 | |
| | Hisaka Works Ltd. | | 134,936 | | 934 | |
| | Taisei Lamick Co. Ltd. | | 36,117 | | 930 | |
| | NS United Kaiun Kaisha Ltd. | | 67,215 | | 930 | |
| | JSP Corp. | | 68,636 | | 929 | |
| | Fudo Tetra Corp. | | 70,353 | | 929 | |
| | Happinet Corp. | | 88,793 | | 928 | |
| *,^ | Open Door Inc. | | 76,284 | | 926 | |
| | JP-Holdings Inc. | | 360,632 | | 923 | |
| | Tochigi Bank Ltd. | | 609,057 | | 922 | |
| | JAC Recruitment Co. Ltd. | | 86,248 | | 920 | |
| ^ | Link And Motivation Inc. | | 252,897 | | 917 | |
| | Sumida Corp. | | 127,576 | | 912 | |
| | World Holdings Co. Ltd. | | 57,291 | | 911 | |
| | Juki Corp. | | 176,129 | | 907 | |
| | Sekisui Kasei Co. Ltd. | | 168,360 | | 906 | |
| | BeNEXT Group Inc. | | 102,650 | | 902 | |
| | Toa Corp. | | 132,225 | | 893 | |
| | Ichiyoshi Securities Co. Ltd. | | 209,794 | | 889 | |
| | Yushin Precision Equipment Co. Ltd. | | 133,733 | | 888 | |
| | Shindengen Electric Manufacturing Co. Ltd. | | 44,378 | | 887 | |
| | Artnature Inc. | | 154,127 | | 878 | |
| | NEC Capital Solutions Ltd. | | 47,537 | | 876 | |
| | Studio Alice Co. Ltd. | | 59,624 | | 871 | |
| | Kitano Construction Corp. | | 34,691 | | 863 | |
| | GCA Corp. | | 149,558 | | 861 | |
| | Corona Corp. Class A | | 89,691 | | 860 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Tv Tokyo Holdings Corp. | | 38,913 | | 858 | |
| | Sankyo Seiko Co. Ltd. | | 208,137 | | 857 | |
| | Maezawa Kasei Industries Co. Ltd. | | 93,558 | | 852 | |
| | Daisyo Corp. | | 72,016 | | 850 | |
| | Roland DG Corp. | | 73,229 | | 842 | |
| | Tsukuba Bank Ltd. | | 509,982 | | 835 | |
| | CAC Holdings Corp. | | 74,880 | | 833 | |
| ^ | Sanoh Industrial Co. Ltd. | | 131,782 | | 826 | |
| | Elematec Corp. | | 101,020 | | 823 | |
| | Fujikura Kasei Co. Ltd. | | 170,178 | | 821 | |
| | Bank of Saga Ltd. | | 75,153 | | 819 | |
| | Tsutsumi Jewelry Co. Ltd. | | 46,523 | | 810 | |
| | Kourakuen Holdings Corp. | | 56,133 | | 809 | |
| | Krosaki Harima Corp. | | 23,787 | | 805 | |
| * | COOKPAD Inc. | | 274,525 | | 804 | |
| | Tokyo Energy & Systems Inc. | | 110,005 | | 803 | |
| | Kita-Nippon Bank Ltd. | | 44,446 | | 803 | |
| | Yushiro Chemical Industry Co. Ltd. | | 64,612 | | 799 | |
| | Itoki Corp. | | 249,460 | | 793 | |
| | Sanei Architecture Planning Co. Ltd. | | 65,601 | | 792 | |
| | Seika Corp. | | 68,217 | | 785 | |
| | Okura Industrial Co. Ltd. | | 52,159 | | 783 | |
| | CMIC Holdings Co. Ltd. | | 59,210 | | 783 | |
| | Fujitsu Frontech Ltd. | | 77,615 | | 781 | |
| | Nihon Trim Co. Ltd. | | 27,300 | | 780 | |
| | Mars Group Holdings Corp. | | 51,685 | | 779 | |
| | Kojima Co. Ltd. | | 151,201 | | 775 | |
| | Japan Best Rescue System Co. Ltd. | | 98,576 | | 766 | |
| * | Istyle Inc. | | 305,276 | | 763 | |
| | Osaka Steel Co. Ltd. | | 67,527 | | 759 | |
| | Toli Corp. | | 300,768 | | 758 | |
| | Hakuto Co. Ltd. | | 82,362 | | 753 | |
| | SMK Corp. | | 31,019 | | 749 | |
| ^ | Shin Nippon Biomedical Laboratories Ltd. | | 124,229 | | 748 | |
| | CHIMNEY Co. Ltd. | | 55,532 | | 748 | |
| | Central Sports Co. Ltd. | | 35,454 | | 742 | |
| * | Akebono Brake Industry Co. Ltd. | | 463,971 | | 741 | |
| | Chuetsu Pulp & Paper Co. Ltd. | | 50,703 | | 732 | |
| | Fujita Kanko Inc. | | 46,051 | | 728 | |
| | Toa Oil Co. Ltd. | | 38,449 | | 727 | |
| ^ | Airtrip Corp. | | 62,644 | | 726 | |
| | Kitagawa Corp. | | 47,870 | | 711 | |
| | Chuo Spring Co. Ltd. | | 27,263 | | 710 | |
| | Tokyo Rakutenchi Co. Ltd. | | 17,452 | | 707 | |
| | Kato Works Co. Ltd. | | 61,446 | | 696 | |
| | Shimojima Co. Ltd. | | 63,984 | | 696 | |
| | Wowow Inc. | | 30,633 | | 689 | |
| | Kasai Kogyo Co. Ltd. | | 162,017 | | 686 | |
| * | Gunosy Inc. | | 79,800 | | 682 | |
| * | FDK Corp. | | 84,263 | | 677 | |
| | Nisso Corp. | | 109,300 | | 674 | |
| | Inaba Seisakusho Co. Ltd. | | 51,448 | | 664 | |
| | Gun-Ei Chemical Industry Co. Ltd. | | 27,199 | | 659 | |
| | Sac's Bar Holdings Inc. | | 116,961 | | 655 | |
| | Aeon Fantasy Co. Ltd. | | 45,544 | | 652 | |
| *,^ | KNT-CT Holdings Co. Ltd. | | 69,863 | | 646 | |
| | Mitsui Matsushima Holdings Co. Ltd. | | 80,871 | | 636 | |
| | Kyokuto Securities Co. Ltd. | | 132,842 | | 631 | |
| | Space Value Holdings Co. Ltd. | | 185,821 | | 605 | |
| | Chiba Kogyo Bank Ltd. | | 272,400 | | 594 | |
| | Takaoka Toko Co. Ltd. | | 62,022 | | 586 | |
| ^ | Tokyo Individualized Educational Institute Inc. | | 121,387 | | 583 | |
| | Hito Communications Holdings Inc. | | 60,129 | | 583 | |
| | Takihyo Co. Ltd. | | 32,385 | | 559 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Cleanup Corp. | | 104,814 | | 557 | |
| | Takamiya Co. Ltd. | | 109,775 | | 552 | |
| | Japan Cash Machine Co. Ltd. | | 97,177 | | 532 | |
| | Gecoss Corp. | | 61,164 | | 527 | |
| | Daikoku Denki Co. Ltd. | | 43,834 | | 522 | |
| | Mitsui Fudosan Logistics Park Inc. | | 115 | | 514 | |
| | Mitsubishi Paper Mills Ltd. | | 160,325 | | 507 | |
| | Ateam Inc. | | 63,015 | | 505 | |
| * | Sanden Holdings Corp. | | 155,818 | | 499 | |
| | Nippon Coke & Engineering Co. Ltd. | | 787,278 | | 491 | |
| | Ohara Inc. | | 47,987 | | 481 | |
| * | Toyo Engineering Corp. | | 141,595 | | 457 | |
| | Sanyo Shokai Ltd. | | 68,421 | | 453 | |
| | Linical Co. Ltd. | | 56,843 | | 447 | |
| * | Mitsubishi Steel Manufacturing Co. Ltd. | | 71,138 | | 445 | |
| | Namura Shipbuilding Co. Ltd. | | 297,620 | | 435 | |
| *,^ | Pepper Food Service Co. Ltd. | | 86,702 | | 430 | |
| | Jamco Corp. | | 59,211 | | 425 | |
| | Airport Facilities Co. Ltd. | | 101,608 | | 399 | |
| * | Tokyo Rope Manufacturing Co. Ltd. | | 73,863 | | 390 | |
| * | Funai Electric Co. Ltd. | | 82,615 | | 385 | |
| * | Fuji Oil Co. Ltd. | | 237,736 | | 380 | |
| | Taiho Kogyo Co. Ltd. | | 77,263 | | 380 | |
| | Sumitomo Precision Products Co. Ltd. | | 18,050 | | 371 | |
| * | Aplus Financial Co. Ltd. | | 596,261 | | 367 | |
| | Nakayama Steel Works Ltd. | | 107,585 | | 363 | |
| *,^ | Right On Co. Ltd. | | 63,885 | | 358 | |
| | Paris Miki Holdings Inc. | | 120,822 | | 342 | |
| * | Tateru Inc. | | 186,055 | | 319 | |
| * | Tokyo Base Co. Ltd. | | 93,810 | | 310 | |
| | Fields Corp. | | 82,878 | | 258 | |
| *,^ | Laox Co. Ltd. | | 137,705 | | 236 | |
| | | | | | 25,191,599 | |
| Netherlands (3.5%) | | | | | |
| | ASML Holding NV | | 2,536,959 | | 928,059 | |
| | Unilever NV | | 9,236,299 | | 492,462 | |
| * | Koninklijke Philips NV | | 5,670,292 | | 264,906 | |
| * | Prosus NV | | 2,747,020 | | 256,127 | |
| *,1 | Adyen NV | | 170,211 | | 247,999 | |
| | Koninklijke Ahold Delhaize NV | | 6,920,478 | | 188,612 | |
| | ING Groep NV | | 24,810,143 | | 172,950 | |
| | Koninklijke DSM NV | | 1,097,385 | | 152,338 | |
| | Heineken NV | | 1,514,065 | | 139,609 | |
| | Wolters Kluwer NV | | 1,694,780 | | 132,472 | |
| | Akzo Nobel NV | | 1,215,433 | | 109,196 | |
| | NN Group NV | | 2,085,414 | | 70,087 | |
| * | Galapagos NV | | 302,579 | | 59,723 | |
| | Koninklijke KPN NV | | 21,041,237 | | 55,968 | |
| | Heineken Holding NV | | 672,307 | | 54,989 | |
| ^ | Unibail-Rodamco-Westfield | | 857,846 | | 48,354 | |
| | ASM International NV | | 305,612 | | 47,048 | |
| * | ArcelorMittal SA | | 4,110,756 | | 43,541 | |
| | Aegon NV (XAMS) | | 10,786,328 | | 31,884 | |
| * | Imcd NV | | 334,526 | | 31,546 | |
| | Randstad NV | | 698,213 | | 31,221 | |
| | ASR Nederland NV | | 879,982 | | 27,075 | |
| 1 | ABN AMRO Bank NV | | 2,625,172 | | 22,591 | |
| *,1 | Just Eat Takeaway.com NV | | 215,300 | | 22,504 | |
| | Koninklijke Vopak NV | | 421,708 | | 22,322 | |
| *,1 | Signify NV | | 800,819 | | 20,589 | |
| | BE Semiconductor Industries NV | | 453,581 | | 20,112 | |
| ^ | Aalberts NV | | 610,958 | | 20,034 | |
| * | JDE Peet's BV | | 396,514 | | 16,073 | |
| | SBM Offshore NV | | 1,082,251 | | 15,948 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | Altice Europe NV | | 3,578,636 | | 13,841 | |
| * | Corbion NV | | 375,124 | | 13,518 | |
| | TKH Group NV | | 263,382 | | 10,375 | |
| * | Boskalis Westminster | | 518,462 | | 10,238 | |
| 1 | Intertrust NV | | 556,239 | | 9,485 | |
| *,1 | GrandVision NV | | 313,190 | | 8,923 | |
| | Aperam SA | | 298,895 | | 8,379 | |
| * | Arcadis NV | | 448,544 | | 8,131 | |
| | PostNL NV | | 3,016,794 | | 6,506 | |
| *,1 | Basic-Fit NV | | 242,511 | | 6,418 | |
| * | Oci NV | | 608,386 | | 6,391 | |
| 1 | Flow Traders | | 177,526 | | 6,352 | |
| | Nsi NV | | 118,553 | | 4,576 | |
| | Eurocommercial Properties NV | | 312,228 | | 4,027 | |
| * | Accell Group NV | | 141,866 | | 3,528 | |
| * | TomTom NV | | 435,414 | | 3,444 | |
| | Sligro Food Group NV | | 218,410 | | 3,379 | |
| ^ | AMG Advanced Metallurgical Group NV | | 180,246 | | 3,213 | |
| * | Koninklijke BAM Groep NV | | 1,577,508 | | 2,864 | |
| ^ | Wereldhave NV | | 267,849 | | 2,469 | |
| ^ | Vastned Retail NV | | 108,537 | | 2,323 | |
| *,^ | Fugro NV | | 570,643 | | 2,261 | |
| 1 | NIBC Holding NV | | 239,504 | | 1,865 | |
| | ForFarmers NV | | 228,864 | | 1,401 | |
| | Aegon NV (XNYS) | | 405,926 | | 1,193 | |
| 1 | B&S Group Sarl | | 151,752 | | 1,078 | |
| * | Brunel International NV | | 125,543 | | 902 | |
| * | Altice Europe NV Class B | | 84,253 | | 324 | |
| | | | | | 3,893,743 | |
| New Zealand (0.4%) | | | | | |
| | Fisher & Paykel Healthcare Corp. Ltd. | | 3,598,170 | | 82,891 | |
| * | a2 Milk Co. Ltd. | | 4,661,937 | | 61,024 | |
| | Spark New Zealand Ltd. | | 11,617,018 | | 34,371 | |
| | Auckland International Airport Ltd. | | 7,523,383 | | 31,995 | |
| | Meridian Energy Ltd. | | 7,856,210 | | 24,490 | |
| | Ryman Healthcare Ltd. | | 2,596,369 | | 22,028 | |
| | Contact Energy Ltd. | | 4,551,405 | | 18,496 | |
| | Chorus Ltd. | | 2,821,960 | | 13,670 | |
| | Mercury NZ Ltd. | | 4,305,260 | | 13,117 | |
| | Fletcher Building Ltd. | | 5,177,544 | | 12,460 | |
| | Infratil Ltd. | | 2,998,562 | | 9,148 | |
| | Goodman Property Trust | | 6,904,309 | | 9,068 | |
| | EBOS Group Ltd. | | 590,748 | | 8,272 | |
| | Precinct Properties New Zealand Ltd. | | 6,820,950 | | 6,949 | |
| | SKYCITY Entertainment Group Ltd. | | 4,264,688 | | 6,633 | |
| * | Pushpay Holdings Ltd. | | 1,154,870 | | 6,595 | |
| | Kiwi Property Group Ltd. | | 9,658,592 | | 6,571 | |
| | Genesis Energy Ltd. | | 3,263,004 | | 6,408 | |
| | Summerset Group Holdings Ltd. | | 1,424,982 | | 5,971 | |
| | Freightways Ltd. | | 1,014,305 | | 4,736 | |
| | Z Energy Ltd. | | 2,352,974 | | 4,127 | |
| | Argosy Property Ltd. | | 5,244,917 | | 3,977 | |
| | Vital Healthcare Property Trust | | 2,398,949 | | 3,876 | |
| | Vector Ltd. | | 1,626,520 | | 3,786 | |
| | Metlifecare Ltd. | | 1,081,724 | | 3,622 | |
| * | Synlait Milk Ltd. | | 615,907 | | 2,833 | |
| ^ | Air New Zealand Ltd. | | 3,199,869 | | 2,744 | |
| | Kathmandu Holdings Ltd. | | 3,679,694 | | 2,709 | |
| | Scales Corp. Ltd. | | 708,096 | | 2,245 | |
| | Heartland Group Holdings Ltd. | | 2,772,879 | | 2,213 | |
| * | Restaurant Brands New Zealand Ltd. | | 196,945 | | 1,507 | |
| * | Oceania Healthcare Ltd. | | 2,262,103 | | 1,323 | |
| | Vista Group International Ltd. | | 1,324,652 | | 1,249 | |
| ^ | Tourism Holdings Ltd. | | 941,344 | | 1,212 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | SKY Network Television Ltd. | | 10,889,596 | | 1,059 | |
| | New Zealand Refining Co. Ltd. | | 1,207,954 | | 574 | |
| | | | | | 423,949 | |
| Norway (0.6%) | | | | | |
| | Equinor ASA | | 6,277,834 | | 90,436 | |
| * | Dnb ASA | | 6,642,110 | | 88,655 | |
| | Telenor ASA | | 4,097,884 | | 59,833 | |
| | Mowi ASA | | 2,703,181 | | 51,527 | |
| | Orkla ASA | | 4,855,990 | | 42,634 | |
| | Yara International ASA | | 1,094,027 | | 38,140 | |
| * | TOMRA Systems ASA | | 745,233 | | 27,528 | |
| * | Norsk Hydro ASA | | 8,472,805 | | 23,638 | |
| * | Bakkafrost P/F | | 320,670 | | 20,275 | |
| * | Gjensidige Forsikring ASA | | 1,064,285 | | 19,664 | |
| * | Salmar ASA | | 332,360 | | 15,922 | |
| * | Nel ASA | | 7,847,461 | | 15,630 | |
| * | Storebrand ASA | | 2,951,616 | | 15,382 | |
| * | Adevinta ASA | | 1,433,702 | | 14,511 | |
| * | Schibsted ASA Class B | | 585,963 | | 13,841 | |
| * | Schibsted ASA Class A | | 520,494 | | 13,631 | |
| 1 | Entra ASA | | 1,051,942 | | 13,484 | |
| | Aker BP ASA | | 680,455 | | 12,592 | |
| | TGS NOPEC Geophysical Co. ASA | | 734,708 | | 10,838 | |
| | Leroy Seafood Group ASA | | 1,626,112 | | 9,814 | |
| *,1 | Scatec Solar ASA | | 585,707 | | 9,573 | |
| * | Subsea 7 SA | | 1,487,663 | | 9,487 | |
| * | SpareBank 1 SR-Bank ASA | | 1,122,365 | | 8,211 | |
| * | Veidekke ASA | | 668,145 | | 8,112 | |
| * | Nordic Semiconductor ASA | | 921,022 | | 7,059 | |
| * | Norwegian Finans Holding ASA | | 1,010,103 | | 6,972 | |
| | Kongsberg Gruppen ASA | | 486,428 | | 6,847 | |
| | Borregaard ASA | | 634,928 | | 6,768 | |
| | SpareBank 1 SMN | | 809,437 | | 6,619 | |
| * | Aker ASA | | 156,643 | | 5,771 | |
| | Atea ASA | | 515,072 | | 4,985 | |
| | Austevoll Seafood ASA | | 574,687 | | 4,773 | |
| ^ | Frontline Ltd. | | 575,875 | | 4,010 | |
| | Grieg Seafood ASA | | 351,204 | | 3,610 | |
| *,1 | Sbanken ASA | | 529,682 | | 3,469 | |
| 1 | Elkem ASA | | 1,570,232 | | 3,236 | |
| ^ | Norway Royal Salmon ASA | | 102,335 | | 2,682 | |
| ^ | Dno ASA | | 3,960,316 | | 2,444 | |
| ^ | BW Offshore Ltd. | | 613,636 | | 2,054 | |
| | Sparebank 1 Oestlandet | | 178,532 | | 1,629 | |
| 1 | BW LPG Ltd. | | 503,327 | | 1,585 | |
| | Stolt-Nielsen Ltd. | | 167,240 | | 1,528 | |
| | Wallenius Wilhelmsen ASA | | 658,747 | | 866 | |
| * | Pgs ASA | | 2,032,992 | | 835 | |
| *,1 | Aker Solutions ASA | | 910,948 | | 805 | |
| | Ocean Yield ASA | | 309,324 | | 700 | |
| * | BW Energy Ltd. | | 379,908 | | 688 | |
| *,^ | Borr Drilling Ltd. | | 496,175 | | 557 | |
| *,^ | Norwegian Air Shuttle ASA | | 1,093,560 | | 309 | |
| | | | | | 714,159 | |
| Poland (0.3%) | | | | | |
| * | CD Projekt SA | | 398,874 | | 40,196 | |
| | Powszechna Kasa Oszczednosci Bank Polski SA | | 5,438,485 | | 31,670 | |
| | Polski Koncern Naftowy ORLEN SA | | 1,972,716 | | 31,350 | |
| | Powszechny Zaklad Ubezpieczen SA | | 3,559,483 | | 26,197 | |
| *,^ | KGHM Polska Miedz SA | | 863,129 | | 20,055 | |
| *,1 | Dino Polska SA | | 303,443 | | 15,457 | |
| | Bank Polska Kasa Opieki SA | | 993,443 | | 13,612 | |
| | Polskie Gornictwo Naftowe i Gazownictwo SA | | 10,951,408 | | 12,627 | |
| * | Cyfrowy Polsat SA | | 1,678,100 | | 11,212 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Grupa Lotos SA | | 623,515 | | 9,504 | |
| * | Santander Bank Polska SA | | 188,100 | | 8,398 | |
| * | PGE Polska Grupa Energetyczna SA | | 4,668,227 | | 8,163 | |
| * | Lpp SA | | 5,323 | | 8,123 | |
| * | Orange Polska SA | | 4,317,559 | | 6,828 | |
| 1 | PLAY Communications SA | | 813,087 | | 6,279 | |
| | Asseco Poland SA | | 361,521 | | 6,053 | |
| * | mBank SA | | 81,019 | | 4,737 | |
| * | Tauron Polska Energia SA | | 5,924,301 | | 3,567 | |
| | Kernel Holding SA | | 326,301 | | 3,455 | |
| * | Bank Millennium SA | | 3,948,670 | | 3,041 | |
| | Kruk SA | | 104,213 | | 2,858 | |
| ^ | Ccc SA | | 186,283 | | 2,836 | |
| *,^ | AmRest Holdings SE | | 455,872 | | 2,647 | |
| * | Enea SA | | 1,353,889 | | 2,467 | |
| *,^ | Alior Bank SA | | 593,698 | | 2,446 | |
| * | Grupa Azoty SA | | 312,257 | | 2,430 | |
| * | Eurocash SA | | 521,356 | | 2,289 | |
| * | Bank Handlowy w Warszawie SA | | 205,215 | | 1,996 | |
| | Warsaw Stock Exchange | | 160,889 | | 1,707 | |
| ^ | Jastrzebska Spolka Weglowa SA | | 310,348 | | 1,486 | |
| * | Ciech SA | | 158,367 | | 1,285 | |
| *,^ | Energa SA | | 486,236 | | 1,001 | |
| | | | | | 295,972 | |
| Portugal (0.2%) | | | | | |
| | EDP - Energias de Portugal SA | | 16,487,985 | | 78,702 | |
| | Galp Energia SGPS SA | | 3,273,582 | | 37,974 | |
| * | Jeronimo Martins SGPS SA | | 1,547,699 | | 27,085 | |
| | EDP Renovaveis SA | | 971,625 | | 13,431 | |
| | REN - Redes Energeticas Nacionais SGPS SA | | 2,486,971 | | 6,786 | |
| *,^ | Nos Sgps SA | | 1,361,710 | | 5,948 | |
| * | Banco Comercial Portugues SA | | 49,437,660 | | 5,939 | |
| | Sonae SGPS SA | | 6,078,737 | | 4,397 | |
| | Navigator Co. SA | | 1,647,878 | | 4,010 | |
| | Corticeira Amorim SGPS SA | | 213,095 | | 2,413 | |
| * | CTT-Correios de Portugal SA | | 953,283 | | 2,261 | |
| | Altri SGPS SA | | 458,666 | | 2,209 | |
| | Semapa-Sociedade de Investimento e Gestao | | 155,718 | | 1,416 | |
| * | Mota-Engil SGPS SA | | 620,182 | | 796 | |
| * | Banco Espirito Santo SA | | 10,412,510 | | 23 | |
| | | | | | 193,390 | |
| Singapore (1.1%) | | | | | |
| | DBS Group Holdings Ltd. | | 11,359,519 | | 170,925 | |
| | Oversea-Chinese Banking Corp. Ltd. | | 21,848,652 | | 142,405 | |
| | United Overseas Bank Ltd. | | 8,167,955 | | 119,349 | |
| | Singapore Telecommunications Ltd. | | 47,260,489 | | 84,072 | |
| | Ascendas REIT | | 18,632,811 | | 42,751 | |
| | Keppel Corp. Ltd. | | 9,119,665 | | 39,278 | |
| | Wilmar International Ltd. | | 12,336,767 | | 36,489 | |
| * | CapitaLand Ltd. | | 15,925,327 | | 33,645 | |
| | Singapore Exchange Ltd. | | 5,220,080 | | 31,413 | |
| | Singapore Technologies Engineering Ltd. | | 9,711,126 | | 23,178 | |
| | Mapletree Logistics Trust | | 16,055,843 | | 22,541 | |
| | Singapore Airlines Ltd. | | 8,112,156 | | 21,897 | |
| | CapitaLand Mall Trust | | 15,178,233 | | 21,537 | |
| | CapitaLand Commercial Trust | | 17,258,969 | | 21,123 | |
| | Mapletree Industrial Trust | | 9,710,473 | | 20,200 | |
| | Genting Singapore Ltd. | | 36,494,548 | | 20,078 | |
| | Mapletree Commercial Trust | | 13,778,105 | | 19,278 | |
| | Venture Corp. Ltd. | | 1,643,840 | | 19,211 | |
| | City Developments Ltd. | | 2,967,864 | | 18,137 | |
| | UOL Group Ltd. | | 3,083,237 | | 15,159 | |
| | Keppel DC REIT | | 7,775,266 | | 14,239 | |
| | Frasers Logistics & Commercial Trust | | 16,014,500 | | 13,796 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | ComfortDelGro Corp. Ltd. | | 13,012,958 | | 13,675 | |
| | Suntec REIT | | 13,062,862 | | 13,344 | |
| | NetLink NBN Trust | | 18,478,528 | | 12,907 | |
| | Keppel REIT | | 12,436,032 | | 9,886 | |
| | Mapletree North Asia Commercial Trust | | 14,147,083 | | 9,509 | |
| | Singapore Press Holdings Ltd. | | 10,095,083 | | 9,250 | |
| | Jardine Cycle & Carriage Ltd. | | 622,891 | | 9,090 | |
| | Keppel Infrastructure Trust | | 22,906,194 | | 8,913 | |
| | SATS Ltd. | | 3,990,801 | | 8,272 | |
| | Ascott Residence Trust | | 11,376,505 | | 8,255 | |
| | Frasers Centrepoint Trust | | 4,582,978 | | 7,680 | |
| | Sembcorp Industries Ltd. | | 5,725,211 | | 7,247 | |
| | Manulife US REIT | | 9,071,401 | | 6,893 | |
| | Parkway Life REIT | | 2,462,430 | | 5,917 | |
| | Singapore Post Ltd. | | 9,881,859 | | 5,494 | |
| | Ascendas India Trust | | 5,442,200 | | 5,277 | |
| | Golden Agri-Resources Ltd. | | 41,410,523 | | 4,432 | |
| | CapitaLand Retail China Trust | | 4,698,953 | | 4,288 | |
| | Esr-Reit | | 14,910,532 | | 4,266 | |
| | Olam International Ltd. | | 3,994,900 | | 4,015 | |
| | Raffles Medical Group Ltd. | | 6,045,012 | | 4,003 | |
| | OUE Commercial REIT | | 13,780,332 | | 3,804 | |
| | CDL Hospitality Trusts | | 5,003,414 | | 3,704 | |
| * | Keppel Pacific Oak US REIT | | 4,906,700 | | 3,474 | |
| | StarHub Ltd. | | 3,641,616 | | 3,412 | |
| | First Resources Ltd. | | 3,272,927 | | 3,288 | |
| | Starhill Global REIT | | 8,899,092 | | 3,287 | |
| | Sheng Siong Group Ltd. | | 2,719,065 | | 3,231 | |
| | Hutchison Port Holdings Trust | | 32,824,316 | | 3,163 | |
| | Wing Tai Holdings Ltd. | | 2,390,153 | | 3,080 | |
| | Aims Apac Reit | | 3,405,400 | | 3,005 | |
| * | Lendlease Global Commercial REIT | | 5,584,600 | | 2,749 | |
| | ARA LOGOS Logistics Trust | | 6,679,519 | | 2,727 | |
| | Accordia Golf Trust | | 5,133,155 | | 2,535 | |
| | Sph Reit | | 3,736,009 | | 2,358 | |
| | Far East Hospitality Trust | | 6,274,210 | | 2,252 | |
| | SIA Engineering Co. Ltd. | | 1,493,128 | | 2,128 | |
| * | Cromwell European REIT | | 4,468,000 | | 2,124 | |
| | Frasers Property Ltd. | | 2,279,058 | | 2,073 | |
| | Frasers Hospitality Trust | | 5,218,692 | | 1,756 | |
| * | Yoma Strategic Holdings Ltd. | | 7,479,468 | | 1,710 | |
| * | Thomson Medical Group Ltd. | | 42,110,700 | | 1,701 | |
| | First REIT | | 3,389,782 | | 1,701 | |
| | Soilbuild Business Space REIT | | 5,866,056 | | 1,656 | |
| * | Sembcorp Marine Ltd. | | 5,195,977 | | 1,600 | |
| | Sabana Shari'ah Compliant Industrial REIT | | 6,155,301 | | 1,554 | |
| § | Best World International Ltd. | | 1,646,200 | | 1,533 | |
| | Lippo Malls Indonesia Retail Trust | | 12,911,976 | | 1,263 | |
| | Asian Pay Television Trust | | 11,559,936 | | 1,056 | |
| | Silverlake Axis Ltd. | | 5,073,661 | | 863 | |
| § | Eagle Hospitality Trust | | 4,532,200 | | 621 | |
| | Bumitama Agri Ltd. | | 1,820,023 | | 577 | |
| *,^,§ | Hyflux Ltd. | | 2,817,700 | | 425 | |
| *,§ | Noble Group Ltd. | | 4,883,318 | | 284 | |
| *,^,§ | Ezra Holdings Ltd. | | 10,329,900 | | 82 | |
| *,^ | Ezion Holdings Ltd. Warrants Exp. 04/16/2023 | | 5,153,611 | | — | |
| | | | | | 1,184,090 | |
| South Korea (4.4%) | | | | | |
| | Samsung Electronics Co. Ltd. | | 28,444,162 | | 1,259,156 | |
| | SK Hynix Inc. | | 3,283,546 | | 234,440 | |
| | NAVER Corp. | | 839,988 | | 188,983 | |
| | Samsung Electronics Co. Ltd. Preference Shares | | 4,349,424 | | 169,429 | |
| *,^ | Celltrion Inc. | | 656,200 | | 167,946 | |
| | LG Chem Ltd. | | 288,475 | | 119,048 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Samsung SDI Co. Ltd. | | 333,399 | | 101,941 | |
| | Samsung Electronics Co. Ltd. GDR | | 88,765 | | 97,039 | |
| | NCSoft Corp. | | 106,272 | | 79,059 | |
| | Kakao Corp. | | 338,880 | | 76,046 | |
| | Hyundai Motor Co. | | 888,288 | | 72,967 | |
| | Shinhan Financial Group Co. Ltd. | | 2,891,294 | | 69,872 | |
| | KB Financial Group Inc. | | 2,452,191 | | 69,421 | |
| | Hyundai Mobis Co. Ltd. | | 408,039 | | 65,498 | |
| | Posco | | 432,462 | | 62,991 | |
| | LG Household & Health Care Ltd. | | 55,395 | | 62,087 | |
| *,1 | Samsung Biologics Co. Ltd. | | 84,594 | | 54,881 | |
| | Samsung C&T Corp. | | 531,116 | | 51,665 | |
| | SK Holdings Co. Ltd. | | 197,237 | | 47,969 | |
| | KT&G Corp. | | 702,800 | | 45,897 | |
| | Kia Motors Corp. | | 1,628,992 | | 44,020 | |
| | Hana Financial Group Inc. | | 1,823,945 | | 41,481 | |
| *,^ | Celltrion Healthcare Co. Ltd. | | 449,245 | | 40,728 | |
| | SK Innovation Co. Ltd. | | 362,504 | | 40,075 | |
| | Samsung Electro-Mechanics Co. Ltd. | | 354,433 | | 38,452 | |
| | LG Electronics Inc. | | 650,645 | | 34,481 | |
| | LG Corp. | | 569,988 | | 34,018 | |
| | Samsung Fire & Marine Insurance Co. Ltd. | | 199,970 | | 29,400 | |
| | Samsung SDS Co. Ltd. | | 201,545 | | 28,508 | |
| | Amorepacific Corp. | | 200,018 | | 27,978 | |
| | Woori Financial Group Inc. | | 3,422,975 | | 25,231 | |
| * | Korea Electric Power Corp. | | 1,408,851 | | 22,975 | |
| | Coway Co. Ltd. | | 356,122 | | 21,529 | |
| *,^ | HLB Inc. | | 259,760 | | 20,072 | |
| * | Korea Shipbuilding & Offshore Engineering Co. Ltd. | | 272,445 | | 20,055 | |
| | Korea Zinc Co. Ltd. | | 62,597 | | 17,539 | |
| | SK Telecom Co. Ltd. | | 90,046 | | 15,859 | |
| | Orion Corp. | | 137,560 | | 15,400 | |
| | Samsung Life Insurance Co. Ltd. | | 401,915 | | 15,111 | |
| * | Samsung Heavy Industries Co. Ltd. | | 2,791,886 | | 13,979 | |
| | S-Oil Corp. | | 259,165 | | 13,816 | |
| | Hyundai Heavy Industries Holdings Co. Ltd. | | 65,906 | | 13,602 | |
| * | LG Display Co. Ltd. | | 1,417,739 | | 13,574 | |
| | CJ CheilJedang Corp. | | 49,422 | | 13,494 | |
| | Mirae Asset Daewoo Co. Ltd. | | 2,394,800 | | 13,435 | |
| | Industrial Bank of Korea | | 1,975,566 | | 13,424 | |
| | LG Innotek Co. Ltd. | | 89,492 | | 13,124 | |
| * | Alteogen Inc. | | 58,671 | | 13,104 | |
| | Lotte Chemical Corp. | | 92,591 | | 12,940 | |
| | Hyundai Engineering & Construction Co. Ltd. | | 461,266 | | 12,778 | |
| ^ | Hanjin Kal Corp. | | 188,457 | | 12,650 | |
| | LG Uplus Corp. | | 1,225,241 | | 12,521 | |
| * | Celltrion Pharm Inc. | | 116,294 | | 12,381 | |
| | Yuhan Corp. | | 292,080 | | 12,374 | |
| | Kangwon Land Inc. | | 677,657 | | 12,212 | |
| | Daelim Industrial Co. Ltd. | | 172,334 | | 11,855 | |
| | Hotel Shilla Co. Ltd. | | 198,927 | | 11,831 | |
| | E-MART Inc. | | 124,416 | | 11,001 | |
| | LG Chem Ltd. Preference Shares | | 50,941 | | 10,717 | |
| ^ | SK Telecom Co. Ltd. ADR | | 554,580 | | 10,714 | |
| | DB Insurance Co. Ltd. | | 295,373 | | 10,594 | |
| | Hyundai Motor Co. 2nd Preference Shares | | 219,263 | | 10,484 | |
| * | Samsung Engineering Co. Ltd. | | 995,220 | | 10,257 | |
| | Hyundai Glovis Co. Ltd. | | 116,133 | | 9,873 | |
| | GS Holdings Corp. | | 325,465 | | 9,858 | |
| *,^ | KMW Co. Ltd. | | 183,541 | | 9,803 | |
| | Douzone Bizon Co. Ltd. | | 114,525 | | 9,785 | |
| | Hankook Tire & Technology Co. Ltd. | | 470,141 | | 9,730 | |
| | Fila Holdings Corp. | | 328,374 | | 9,690 | |
| | Hanmi Pharm Co. Ltd. | | 45,857 | | 9,357 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Korea Investment Holdings Co. Ltd. | | 240,592 | | 9,020 | |
| *,^,1 | Netmarble Corp. | | 106,999 | | 8,968 | |
| * | Genexine Co. Ltd. | | 111,687 | | 8,857 | |
| | Samsung Securities Co. Ltd. | | 398,673 | | 8,814 | |
| | S-1 Corp. | | 121,964 | | 8,740 | |
| | POSCO Chemical Co. Ltd. | | 136,019 | | 8,591 | |
| ^ | Seegene Inc. | | 90,676 | | 8,445 | |
| | Hanwha Solutions Corp. | | 516,899 | | 8,392 | |
| | LG Household & Health Care Ltd. Preference Shares | | 13,786 | | 8,352 | |
| | Shinsegae Inc. | | 44,291 | | 8,202 | |
| | Korea Aerospace Industries Ltd. | | 409,171 | | 8,162 | |
| | Hyundai Steel Co. | | 471,158 | | 8,148 | |
| | BNK Financial Group Inc. | | 1,857,101 | | 7,801 | |
| | AMOREPACIFIC Group | | 179,357 | | 7,766 | |
| ^ | Hanon Systems | | 1,011,982 | | 7,670 | |
| | GS Engineering & Construction Corp. | | 367,787 | | 7,572 | |
| *,^ | Helixmith Co. Ltd. | | 144,945 | | 7,429 | |
| | Hyundai Marine & Fire Insurance Co. Ltd. | | 382,153 | | 7,336 | |
| * | Pearl Abyss Corp. | | 38,830 | | 7,065 | |
| | Hite Jinro Co. Ltd. | | 192,380 | | 7,051 | |
| * | Daewoo Shipbuilding & Marine Engineering Co. Ltd. | | 306,091 | | 6,974 | |
| | Kumho Petrochemical Co. Ltd. | | 110,611 | | 6,918 | |
| * | HMM Co. Ltd. | | 1,719,997 | | 6,784 | |
| * | WONIK IPS Co. Ltd. | | 223,922 | | 6,712 | |
| | Hyundai Motor Co. Preference Shares | | 143,691 | | 6,652 | |
| | Koh Young Technology Inc. | | 76,567 | | 6,399 | |
| | SKC Co. Ltd. | | 122,574 | | 6,275 | |
| | SK Chemicals Co. Ltd. | | 58,172 | | 6,253 | |
| | Bukwang Pharmaceutical Co. Ltd. | | 220,854 | | 6,252 | |
| * | CJ Logistics Corp. | | 47,068 | | 6,204 | |
| | Cheil Worldwide Inc. | | 448,472 | | 6,190 | |
| | NongShim Co. Ltd. | | 20,201 | | 6,156 | |
| | Com2uSCorp | | 61,533 | | 6,036 | |
| | Hyundai Elevator Co. Ltd. | | 102,852 | | 5,985 | |
| *,^ | Mezzion Pharma Co. Ltd. | | 31,220 | | 5,970 | |
| | CJ Corp. | | 82,302 | | 5,947 | |
| | CJ ENM Co. Ltd. | | 61,140 | | 5,667 | |
| | Hansol Chemical Co. Ltd. | | 52,466 | | 5,597 | |
| | LEENO Industrial Inc. | | 59,100 | | 5,595 | |
| | NH Investment & Securities Co. Ltd. | | 802,477 | | 5,583 | |
| * | Hanall Biopharma Co. Ltd. | | 233,576 | | 5,511 | |
| | DB HiTek Co. Ltd. | | 227,263 | | 5,509 | |
| *,^ | Pharmicell Co. Ltd. | | 345,661 | | 5,310 | |
| | KIWOOM Securities Co. Ltd. | | 71,991 | | 5,263 | |
| | HDC Hyundai Development Co-Engineering & Construction | | 296,288 | | 5,239 | |
| *,^ | Doosan Infracore Co. Ltd. | | 856,146 | | 5,228 | |
| * | Hugel Inc. | | 13,166 | | 5,182 | |
| | GS Retail Co. Ltd. | | 165,140 | | 5,046 | |
| | SK Materials Co. Ltd. | | 29,851 | | 4,987 | |
| | Hanwha Corp. | | 258,948 | | 4,836 | |
| | Meritz Securities Co. Ltd. | | 1,876,252 | | 4,772 | |
| | Lotte Shopping Co. Ltd. | | 70,572 | | 4,717 | |
| * | Hanwha Aerospace Co. Ltd. | | 228,061 | | 4,701 | |
| | BGF retail Co. Ltd. | | 39,557 | | 4,585 | |
| | Hanssem Co. Ltd. | | 63,357 | | 4,568 | |
| * | Korean Air Lines Co. Ltd. | | 309,039 | | 4,531 | |
| | Iljin Materials Co. Ltd. | | 108,101 | | 4,516 | |
| * | LegoChem Biosciences Inc. | | 92,429 | | 4,434 | |
| | Samsung Card Co. Ltd. | | 193,333 | | 4,419 | |
| ^ | Lotte Corp. | | 166,709 | | 4,409 | |
| | Hyundai Department Store Co. Ltd. | | 93,692 | | 4,409 | |
| | Dongjin Semichem Co. Ltd. | | 185,654 | | 4,399 | |
| | Ilyang Pharmaceutical Co. Ltd. | | 81,595 | | 4,387 | |
| | LG Electronics Inc. Preference Shares | | 204,887 | | 4,325 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| § | Soulbrain Holdings Co. Ltd. | | 54,128 | | 4,325 | |
| | Green Cross Corp. | | 34,361 | | 4,242 | |
| * | Chabiotech Co. Ltd. | | 253,657 | | 4,234 | |
| * | NHN Corp. | | 61,113 | | 4,224 | |
| | DGB Financial Group Inc. | | 980,555 | | 4,216 | |
| | Eo Technics Co. Ltd. | | 52,856 | | 4,204 | |
| | Youngone Corp. | | 191,574 | | 4,088 | |
| | Mando Corp. | | 216,307 | | 4,069 | |
| | Chong Kun Dang Pharmaceutical Corp. | | 44,250 | | 4,017 | |
| * | HLB Life Science CO Ltd. | | 255,303 | | 3,970 | |
| * | Hyundai Rotem Co. Ltd. | | 306,941 | | 3,965 | |
| * | ABLBio Inc. | | 151,322 | | 3,922 | |
| | LS Electric Co. Ltd. | | 96,560 | | 3,889 | |
| * | Pan Ocean Co. Ltd. | | 1,188,041 | | 3,794 | |
| | DoubleUGames Co. Ltd. | | 56,819 | | 3,789 | |
| | Ottogi Corp. | | 8,017 | | 3,729 | |
| | Posco International Corp. | | 318,532 | | 3,717 | |
| | Amorepacific Corp. Preference Shares | | 62,345 | | 3,714 | |
| | Meritz Fire & Marine Insurance Co. Ltd. | | 349,678 | | 3,706 | |
| | Korea Gas Corp. | | 168,615 | | 3,702 | |
| | SK Networks Co. Ltd. | | 916,402 | | 3,638 | |
| *,^ | GemVax & Kael Co. Ltd. | | 223,298 | | 3,627 | |
| | JB Financial Group Co. Ltd. | | 913,332 | | 3,622 | |
| * | OCI Co. Ltd. | | 116,595 | | 3,620 | |
| * | Doosan Heavy Industries & Construction Co. Ltd. | | 884,706 | | 3,602 | |
| * | MedPacto Inc. | | 80,019 | | 3,594 | |
| | Korean Reinsurance Co. | | 580,089 | | 3,568 | |
| ^ | Cosmax Inc. | | 43,266 | | 3,538 | |
| *,^ | Doosan Fuel Cell Co. Ltd. | | 128,523 | | 3,487 | |
| | Doosan Bobcat Inc. | | 154,223 | | 3,430 | |
| *,^,§ | SillaJen Inc. | | 340,708 | | 3,427 | |
| | Green Cross Holdings Corp. | | 169,386 | | 3,409 | |
| | Hyundai Mipo Dockyard Co. Ltd. | | 129,152 | | 3,394 | |
| | Kolmar Korea Co. Ltd. | | 94,740 | | 3,383 | |
| | Medy-Tox Inc. | | 27,393 | | 3,347 | |
| | Taeyoung Engineering & Construction Co. Ltd. | | 254,918 | | 3,338 | |
| | KCC Corp. | | 29,905 | | 3,329 | |
| * | Zinus Inc. | | 49,502 | | 3,327 | |
| | Samsung Fire & Marine Insurance Co. Ltd. Preference Shares | | 31,759 | | 3,324 | |
| * | Korea Electric Power Corp. ADR | | 413,635 | | 3,301 | |
| | LOTTE Fine Chemical Co. Ltd. | | 113,942 | | 3,289 | |
| | NICE Information Service Co. Ltd. | | 214,277 | | 3,274 | |
| | KEPCO Plant Service & Engineering Co. Ltd. | | 133,132 | | 3,234 | |
| *,^ | Komipharm International Co. Ltd. | | 225,822 | | 3,231 | |
| | LS Corp. | | 110,451 | | 3,222 | |
| * | Daewoo Engineering & Construction Co. Ltd. | | 1,119,926 | | 3,214 | |
| | F&F Co. Ltd. | | 41,471 | | 3,200 | |
| | Paradise Co. Ltd. | | 281,966 | | 3,168 | |
| | Daewoong Pharmaceutical Co. Ltd. | | 28,386 | | 3,148 | |
| | Kolon Industries Inc. | | 116,980 | | 3,144 | |
| * | Enzychem Lifesciences Corp. | | 40,150 | | 3,089 | |
| | SFA Engineering Corp. | | 112,769 | | 3,085 | |
| | JYP Entertainment Corp. | | 172,518 | | 3,063 | |
| * | Oscotec Inc. | | 144,503 | | 3,006 | |
| | Daewoong Co. Ltd. | | 131,735 | | 3,006 | |
| | DongKook Pharmaceutical Co. Ltd. | | 29,502 | | 2,977 | |
| * | CrystalGenomics Inc. | | 222,060 | | 2,966 | |
| | Ecopro Co. Ltd. | | 118,872 | | 2,944 | |
| | Hyundai Wia Corp. | | 100,436 | | 2,924 | |
| | Hyosung Corp. | | 54,486 | | 2,863 | |
| | Hanjin Transportation Co. Ltd. | | 77,402 | | 2,858 | |
| | Ssangyong Cement Industrial Co. Ltd. | | 655,471 | | 2,793 | |
| | Mirae Asset Daewoo Co. Ltd. Preference Shares | | 924,536 | | 2,766 | |
| * | Studio Dragon Corp. | | 38,537 | | 2,765 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Daesang Corp. | | 125,871 | | 2,730 | |
| | Innocean Worldwide Inc. | | 72,966 | | 2,720 | |
| * | Amicogen Inc. | | 108,603 | | 2,665 | |
| | Seoul Semiconductor Co. Ltd. | | 234,590 | | 2,649 | |
| | Sam Chun Dang Pharm Co. Ltd. | | 85,036 | | 2,611 | |
| *,^ | G-treeBNT Co. Ltd. | | 126,396 | | 2,598 | |
| | Handsome Co. Ltd. | | 87,730 | | 2,573 | |
| | Daou Technology Inc. | | 153,386 | | 2,562 | |
| | Hanmi Science Co. ltd | | 90,582 | | 2,527 | |
| * | LOTTE Reit Co. Ltd. | | 548,324 | | 2,525 | |
| * | Yungjin Pharmaceutical Co. Ltd. | | 540,062 | | 2,493 | |
| ^ | Shinhan Financial Group Co. Ltd. ADR | | 103,502 | | 2,490 | |
| | Dongsuh Cos. Inc. | | 188,693 | | 2,490 | |
| *,^ | BH Co. Ltd. | | 148,468 | | 2,472 | |
| | NEPES Corp. | | 102,684 | | 2,466 | |
| * | Aprogen pharmaceuticals Inc. | | 1,571,564 | | 2,441 | |
| | L&F Co. Ltd. | | 94,211 | | 2,439 | |
| | AfreecaTV Co. Ltd. | | 45,953 | | 2,437 | |
| | JW Pharmaceutical Corp. | | 79,777 | | 2,429 | |
| | LOTTE Himart Co. Ltd. | | 73,816 | | 2,376 | |
| * | Naturecell Co. Ltd. | | 304,606 | | 2,304 | |
| *,^ | Kumho Tire Co. Inc. | | 900,835 | | 2,267 | |
| | NICE Holdings Co. Ltd. | | 126,639 | | 2,253 | |
| * | CMG Pharmaceutical Co. Ltd. | | 675,393 | | 2,250 | |
| | Poongsan Corp. | | 122,471 | | 2,249 | |
| * | Hyundai Bioscience Co. Ltd. | | 195,161 | | 2,177 | |
| | Foosung Co. Ltd. | | 319,784 | | 2,166 | |
| | SK Discovery Co. Ltd. | | 65,752 | | 2,158 | |
| * | Ananti Inc. | | 266,330 | | 2,155 | |
| * | SM Entertainment Co. Ltd. | | 105,333 | | 2,149 | |
| * | Lotte Tour Development Co. Ltd. | | 190,297 | | 2,137 | |
| | Hyundai Greenfood Co. Ltd. | | 327,534 | | 2,116 | |
| * | Duk San Neolux Co. Ltd. | | 74,443 | | 2,110 | |
| | LG International Corp. | | 161,661 | | 2,109 | |
| * | Medipost Co. Ltd. | | 92,491 | | 2,109 | |
| * | Asiana Airlines Inc. | | 648,810 | | 2,100 | |
| | IS Dongseo Co. Ltd. | | 89,085 | | 2,098 | |
| | PI Advanced Materials Co. Ltd. | | 85,604 | | 2,066 | |
| | Samwha Capacitor Co. Ltd. | | 45,867 | | 2,061 | |
| | Taekwang Industrial Co. Ltd. | | 3,529 | | 2,047 | |
| | LG Hausys Ltd. | | 37,993 | | 2,046 | |
| * | YG Entertainment Inc. | | 65,258 | | 2,038 | |
| | Dong-A ST Co. Ltd. | | 28,071 | | 2,031 | |
| | Hyundai Home Shopping Network Corp. | | 37,566 | | 2,014 | |
| *,^ | Doosan Solus Co. Ltd. | | 70,851 | | 1,994 | |
| * | SFA Semicon Co. Ltd. | | 474,580 | | 1,991 | |
| | Shinsegae International Inc. | | 15,090 | | 1,985 | |
| * | Telcon RF Pharmaceutical Inc. | | 453,804 | | 1,977 | |
| | Hanwha Life Insurance Co. Ltd. | | 1,718,517 | | 1,971 | |
| *,^ | Hyosung Advanced Materials Corp. | | 20,372 | | 1,957 | |
| | Chongkundang Holdings Corp. | | 19,363 | | 1,944 | |
| | Sodexo SA - PRIME FIDELITE 2023 | | 28,542 | | 1,935 | |
| | Lotte Chilsung Beverage Co. Ltd. | | 22,662 | | 1,931 | |
| * | Webzen Inc. | | 104,573 | | 1,915 | |
| ^ | Dawonsys Co. Ltd. | | 139,487 | | 1,913 | |
| | Huchems Fine Chemical Corp. | | 143,136 | | 1,907 | |
| * | ST Pharm Co. Ltd. | | 56,360 | | 1,897 | |
| | Daishin Securities Co. Ltd. | | 232,151 | | 1,879 | |
| ^ | Toptec Co. Ltd. | | 116,323 | | 1,849 | |
| ^ | Hana Tour Service Inc. | | 57,295 | | 1,848 | |
| ^ | Daea TI Co. Ltd. | | 359,056 | | 1,844 | |
| | Silicon Works Co. Ltd. | | 56,543 | | 1,829 | |
| | SK Securities Co. Ltd. | | 2,459,674 | | 1,803 | |
| * | KH Vatec Co. Ltd. | | 95,038 | | 1,800 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Hyosung TNC Co. Ltd. | | 19,098 | | 1,792 | |
| | Partron Co. Ltd. | | 239,406 | | 1,785 | |
| | Wemade Co. Ltd. | | 51,776 | | 1,782 | |
| | Samyang Holdings Corp. | | 37,387 | | 1,776 | |
| * | iNtRON Biotechnology Inc. | | 140,806 | | 1,768 | |
| | Jeil Pharmaceutical Co. Ltd. | | 44,281 | | 1,722 | |
| * | Cafe24 Corp. | | 38,670 | | 1,719 | |
| * | Anterogen Co. Ltd. | | 28,881 | | 1,708 | |
| | LIG Nex1 Co. Ltd. | | 67,713 | | 1,696 | |
| | HDC Holdings Co. Ltd. | | 235,933 | | 1,668 | |
| | HS Industries Co. Ltd. | | 286,809 | | 1,663 | |
| | ALBIOMA SA (Loyalty line 2021) | | 39,928 | | 1,651 | |
| | Korea Petrochemical Ind Co. Ltd. | | 17,394 | | 1,649 | |
| | GS Home Shopping Inc. | | 17,928 | | 1,636 | |
| | Huons Co. Ltd. | | 35,600 | | 1,630 | |
| * | Dongkuk Steel Mill Co. Ltd. | | 365,345 | | 1,625 | |
| | Dongwon Industries Co. Ltd. | | 9,679 | | 1,619 | |
| * | Neowiz | | 69,435 | | 1,609 | |
| | Ahnlab Inc. | | 38,362 | | 1,607 | |
| | Binggrae Co. Ltd. | | 31,845 | | 1,603 | |
| * | Eutilex Co. Ltd. | | 27,473 | | 1,598 | |
| * | NKMax Co. Ltd. | | 150,840 | | 1,567 | |
| | Hanwha Corp. Preference Shares | | 161,307 | | 1,565 | |
| | TES Co. Ltd. | | 87,029 | | 1,563 | |
| * | DIO Corp. | | 73,924 | | 1,552 | |
| | Hankook Technology Group Co. Ltd. | | 143,122 | | 1,550 | |
| | Meritz Financial Group Inc. | | 196,831 | | 1,542 | |
| * | Feelux Co. Ltd. | | 412,110 | | 1,531 | |
| | Dong-A Socio Holdings Co. Ltd. | | 19,253 | | 1,531 | |
| * | Osstem Implant Co. Ltd. | | 60,516 | | 1,524 | |
| * | Binex Co. Ltd. | | 140,057 | | 1,494 | |
| | S&T Motiv Co. Ltd. | | 46,362 | | 1,477 | |
| * | Innox Advanced Materials Co. Ltd. | | 38,573 | | 1,446 | |
| *,^ | Peptron Inc. | | 89,917 | | 1,441 | |
| | Orion Holdings Corp. | | 127,512 | | 1,417 | |
| * | Hyundai Construction Equipment Co. Ltd. | | 75,533 | | 1,396 | |
| | Korea Real Estate Investment & Trust Co. Ltd. | | 972,620 | | 1,382 | |
| | Maeil Dairies Co. Ltd. | | 20,547 | | 1,360 | |
| * | CJ CGV Co. Ltd. | | 78,648 | | 1,357 | |
| * | Insun ENT Co. Ltd. | | 191,100 | | 1,355 | |
| ^ | Advanced Process Systems Corp. | | 69,357 | | 1,354 | |
| | Vieworks Co. Ltd. | | 48,854 | | 1,354 | |
| | Grand Korea Leisure Co. Ltd. | | 124,199 | | 1,340 | |
| | Green Cross Cell Corp. | | 39,247 | | 1,331 | |
| * | Daeduck Electronics Co. Ltd. | | 206,053 | | 1,329 | |
| | Sebang Global Battery Co. Ltd. | | 51,267 | | 1,308 | |
| | Tongyang Inc. | | 1,313,644 | | 1,298 | |
| *,^ | Dentium Co. Ltd. | | 41,087 | | 1,297 | |
| | Posco ICT Co. Ltd. | | 357,754 | | 1,274 | |
| | LF Corp. | | 119,851 | | 1,240 | |
| | i-SENS Inc. | | 58,739 | | 1,237 | |
| | Hansol Paper Co. Ltd. | | 105,300 | | 1,232 | |
| | Sangsangin Co. Ltd. | | 233,930 | | 1,205 | |
| | Hyosung Chemical Corp. | | 13,518 | | 1,191 | |
| | KC Tech Co. Ltd. | | 63,275 | | 1,185 | |
| | Young Poong Corp. | | 3,038 | | 1,174 | |
| * | Yuanta Securities Korea Co. Ltd. | | 531,497 | | 1,169 | |
| | Korea Electric Terminal Co. Ltd. | | 43,419 | | 1,160 | |
| * | Dongsung Pharmaceutical Co. Ltd. | | 110,312 | | 1,158 | |
| | CJ CheilJedang Corp. Preference Shares | | 10,065 | | 1,152 | |
| * | Stcube | | 129,849 | | 1,146 | |
| * | Korea Line Corp. | | 79,212 | | 1,143 | |
| | Doosan Co. Ltd. | | 35,752 | | 1,141 | |
| | Kwang Dong Pharmaceutical Co. Ltd. | | 193,657 | | 1,140 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| § | SL Corp. | | 98,389 | | 1,129 | |
| | Harim Holdings Co. Ltd. | | 200,010 | | 1,128 | |
| | Songwon Industrial Co. Ltd. | | 103,406 | | 1,114 | |
| | Mirae Asset Life Insurance Co. Ltd. | | 503,338 | | 1,114 | |
| * | Hancom Inc. | | 84,391 | | 1,101 | |
| | Dongwon F&B Co. Ltd. | | 7,333 | | 1,097 | |
| | Youngone Holdings Co. Ltd. | | 33,272 | | 1,074 | |
| | Halla Holdings Corp. | | 47,325 | | 1,059 | |
| | iMarketKorea Inc. | | 146,117 | | 1,059 | |
| | GOLFZON Co. Ltd. | | 18,018 | | 1,053 | |
| | NS Shopping Co. Ltd. | | 97,273 | | 1,052 | |
| * | Hanwha General Insurance Co. Ltd. | | 478,779 | | 1,041 | |
| | Hanil Cement Co. Ltd. | | 15,268 | | 1,039 | |
| | Nexen Tire Corp. | | 230,574 | | 1,028 | |
| | Cuckoo Homesys Co. Ltd. | | 36,463 | | 1,024 | |
| *,^ | Samsung Pharmaceutical Co. Ltd. | | 329,251 | | 1,024 | |
| *,^ | CUROCOM Co. Ltd. | | 590,197 | | 1,022 | |
| | Kumho Industrial Co. Ltd. | | 181,159 | | 1,009 | |
| | Jusung Engineering Co. Ltd. | | 212,874 | | 1,001 | |
| * | Lock&Lock Co. Ltd. | | 106,002 | | 997 | |
| * | Hanwha Investment & Securities Co. Ltd. | | 712,719 | | 991 | |
| | Youlchon Chemical Co. Ltd. | | 81,283 | | 990 | |
| | Hansae Co. Ltd. | | 110,958 | | 984 | |
| * | Hansol Technics Co. Ltd. | | 166,478 | | 979 | |
| | KEPCO Engineering & Construction Co. Inc. | | 76,726 | | 964 | |
| | JW Holdings Corp. | | 215,119 | | 959 | |
| * | Hyosung Heavy Industries Corp. | | 39,263 | | 956 | |
| | InBody Co. Ltd. | | 70,586 | | 945 | |
| * | Taihan Electric Wire Co. Ltd. | | 1,676,841 | | 937 | |
| * | Hyundai Electric & Energy System Co. Ltd. | | 140,669 | | 936 | |
| * | Able C&C Co. Ltd. | | 120,276 | | 935 | |
| | Eugene Investment & Securities Co. Ltd. | | 380,747 | | 911 | |
| *,^ | Inscobee Inc. | | 515,693 | | 881 | |
| * | Seobu T&D | | 161,001 | | 874 | |
| ^ | ICD Co. Ltd. | | 79,230 | | 874 | |
| | Dae Han Flour Mills Co. Ltd. | | 6,231 | | 859 | |
| | Hankook Shell Oil Co. Ltd. | | 4,425 | | 856 | |
| ^ | Aekyung Industrial Co. Ltd. | | 43,393 | | 853 | |
| | Huons Global Co. Ltd. | | 32,155 | | 848 | |
| | Daishin Securities Co. Ltd. Preference Shares | | 118,116 | | 846 | |
| | Korea Asset In Trust Co. Ltd. | | 357,814 | | 841 | |
| | KC Co. Ltd. | | 53,257 | | 841 | |
| | Lotte Confectionery Co. Ltd. | | 9,366 | | 829 | |
| | Namhae Chemical Corp. | | 132,560 | | 814 | |
| | Samchully Co. Ltd. | | 14,365 | | 809 | |
| | Modetour Network Inc. | | 89,442 | | 790 | |
| | Kolmar Korea Holdings Co. Ltd. | | 42,246 | | 778 | |
| * | Interflex Co. Ltd. | | 72,908 | | 777 | |
| * | Wonik Holdings Co. Ltd. | | 202,877 | | 771 | |
| | Hyundai Livart Furniture Co. Ltd. | | 53,890 | | 765 | |
| * | Vidente Co. Ltd. | | 148,221 | | 764 | |
| | Lotte Food Co. Ltd. | | 2,595 | | 762 | |
| *,§ | KONA I Co. Ltd. | | 69,825 | | 758 | |
| ^ | Samyang Corp. | | 22,461 | | 750 | |
| * | KCC Glass Corp. | | 27,285 | | 749 | |
| | Humedix Co. Ltd. | | 32,250 | | 747 | |
| | SPC Samlip Co. Ltd. | | 13,957 | | 733 | |
| ^ | Dae Hwa Pharmaceutical Co. Ltd. | | 65,917 | | 718 | |
| | Namyang Dairy Products Co. Ltd. | | 3,014 | | 713 | |
| | SK Gas Ltd. | | 11,341 | | 702 | |
| * | Eusu Holdings Co. Ltd. | | 136,347 | | 690 | |
| * | Gamevil Inc. | | 28,917 | | 688 | |
| ^ | BGF Co. Ltd. | | 193,806 | | 686 | |
| | KISWIRE Ltd. | | 53,719 | | 686 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | KT Skylife Co. Ltd. | | 103,629 | | 686 | |
| | KISCO Corp. | | 180,851 | | 670 | |
| | Kolon Corp. | | 43,765 | | 656 | |
| ^ | Kyobo Securities Co. Ltd. | | 125,954 | | 654 | |
| | Seah Besteel Corp. | | 76,256 | | 651 | |
| | INTOPS Co. Ltd. | | 69,896 | | 649 | |
| * | Hansol Holdings Co. Ltd. | | 257,533 | | 649 | |
| *,^ | Ssangyong Motor Co. | | 238,196 | | 644 | |
| | Daekyo Co. Ltd. | | 177,908 | | 636 | |
| * | Coreana Cosmetics Co. Ltd. | | 148,739 | | 633 | |
| * | SBS Media Holdings Co. Ltd. | | 406,002 | | 633 | |
| | Cuckoo Holdings Co. Ltd. | | 9,494 | | 626 | |
| | Sung Kwang Bend Co. Ltd. | | 107,988 | | 623 | |
| | KTB Investment & Securities Co. Ltd. | | 322,563 | | 607 | |
| ^ | TK Corp. | | 98,388 | | 601 | |
| | Sungwoo Hitech Co. Ltd. | | 256,964 | | 594 | |
| | Tongyang Life Insurance Co. Ltd. | | 242,400 | | 591 | |
| | Daeduck Co. Ltd. | | 119,212 | | 573 | |
| * | Lutronic Corp. | | 110,737 | | 569 | |
| | Woongjin Thinkbig Co. Ltd. | | 280,496 | | 559 | |
| | E1 Corp. | | 19,205 | | 555 | |
| *,^ | Homecast Co. Ltd. | | 189,088 | | 549 | |
| *,^,§ | Cellumed Co. Ltd. | | 109,221 | | 543 | |
| | Hanil Holdings Co. Ltd. | | 14,061 | | 539 | |
| | Sam Young Electronics Co. Ltd. | | 88,317 | | 527 | |
| | LG HelloVision Co. Ltd. | | 155,972 | | 522 | |
| ^ | DB Financial Investment Co. Ltd. | | 195,852 | | 521 | |
| * | COSON Co. Ltd. | | 114,038 | | 497 | |
| *,^ | GNCO Co. Ltd. | | 494,396 | | 481 | |
| | AK Holdings Inc. | | 30,661 | | 481 | |
| | Hyundai Corp. | | 42,262 | | 468 | |
| | Sindoh Co. Ltd. | | 22,140 | | 451 | |
| | SeAH Steel Corp. | | 10,908 | | 445 | |
| ^ | Cell Biotech Co. Ltd. | | 31,477 | | 439 | |
| | Interpark Holdings Corp. | | 227,389 | | 437 | |
| | CJ Freshway Corp. | | 33,552 | | 430 | |
| * | Agabang&Company | | 166,714 | | 417 | |
| *,^ | Lumens Co. Ltd. | | 284,750 | | 398 | |
| | S&T Dynamics Co. Ltd. | | 93,447 | | 396 | |
| * | Muhak Co. Ltd. | | 87,541 | | 389 | |
| * | Byucksan Corp. | | 263,447 | | 369 | |
| *,§ | Yuyang DNU Co. Ltd. | | 336,958 | | 342 | |
| | It's Hanbul Co. Ltd. | | 25,714 | | 336 | |
| * | Taewoong Co. Ltd. | | 56,050 | | 304 | |
| * | Korean Air Lines Co. Ltd. Rights Exp. 07/10/2020 | | 204,485 | | 293 | |
| * | Humax Co. Ltd. | | 112,299 | | 288 | |
| | SeAH Steel Holdings Corp. | | 9,393 | | 264 | |
| *,^ | Esmo Corp. | | 529,030 | | 217 | |
| | KB Financial Group Inc. ADR | | 5,887 | | 164 | |
| * | CJ CGV Co. Ltd. Rights Exp. 07/21/2020 | | 41,443 | | 110 | |
| *,§ | Soulbrain Co. Ltd. | | 24,200 | | — | |
| | | | | | 4,933,433 | |
| Spain (2.0%) | | | | | |
| * | Iberdrola SA | | 37,425,627 | | 436,935 | |
| | Banco Santander SA | | 104,261,415 | | 255,073 | |
| | Industria de Diseno Textil SA | | 6,685,045 | | 177,379 | |
| | Banco Bilbao Vizcaya Argentaria SA | | 42,292,419 | | 145,612 | |
| | Amadeus IT Group SA | | 2,706,086 | | 142,076 | |
| | Telefonica SA | | 28,800,712 | | 137,748 | |
| 1 | Cellnex Telecom SA | | 1,717,637 | | 104,910 | |
| * | Ferrovial SA | | 3,049,723 | | 81,520 | |
| * | Repsol SA | | 8,245,602 | | 72,859 | |
| | Grifols SA | | 2,096,760 | | 63,759 | |
| *,1 | Aena SME SA | | 448,367 | | 59,966 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| ^ | Red Electrica Corp. SA | | 2,739,404 | | 51,253 | |
| ^ | Endesa SA | | 2,014,691 | | 49,977 | |
| | CaixaBank SA | | 22,780,959 | | 48,735 | |
| *,^ | ACS Actividades de Construccion y Servicios SA | | 1,511,673 | | 38,849 | |
| ^ | Enagas SA | | 1,580,241 | | 38,659 | |
| | Naturgy Energy Group SA | | 1,901,717 | | 35,503 | |
| * | Siemens Gamesa Renewable Energy SA | | 1,421,448 | | 25,309 | |
| ^ | Bankinter SA | | 4,370,868 | | 20,950 | |
| * | Inmobiliaria Colonial Socimi SA | | 2,084,016 | | 18,427 | |
| | Merlin Properties Socimi SA | | 2,097,849 | | 17,482 | |
| | Viscofan SA | | 247,395 | | 16,172 | |
| * | Masmovil Ibercom SA | | 542,319 | | 13,896 | |
| ^ | Acciona SA | | 130,149 | | 12,804 | |
| | Banco de Sabadell SA | | 36,042,195 | | 12,663 | |
| ^ | Mapfre SA | | 6,233,529 | | 11,131 | |
| | Ebro Foods SA | | 490,155 | | 10,169 | |
| | Pharma Mar SA | | 1,064,890 | | 9,200 | |
| | Acerinox SA | | 1,081,142 | | 8,790 | |
| | Bankia SA | | 7,681,877 | | 8,213 | |
| | Zardoya Otis SA | | 1,111,389 | | 7,625 | |
| * | Faes Farma SA | | 1,822,037 | | 7,429 | |
| | Cia de Distribucion Integral Logista Holdings SA | | 386,395 | | 7,239 | |
| | Applus Services SA | | 892,853 | | 6,878 | |
| * | Indra Sistemas SA | | 793,542 | | 6,284 | |
| | CIE Automotive SA | | 348,852 | | 6,142 | |
| * | Almirall SA | | 453,354 | | 5,984 | |
| * | Telefonica SA Rights Exp. 07/01/2020 | | 29,003,963 | | 5,706 | |
| 1 | Euskaltel SA | | 631,641 | | 5,602 | |
| * | Fluidra SA | | 388,636 | | 5,158 | |
| *,1 | Neinor Homes SA | | 459,840 | | 4,734 | |
| * | Sacyr SA | | 2,223,429 | | 4,632 | |
| | Construcciones y Auxiliar de Ferrocarriles SA | | 117,833 | | 4,286 | |
| * | Repsol SA Rights Exp. 07/08/2020 | | 8,711,758 | | 4,241 | |
| | Prosegur Cia de Seguridad SA | | 1,667,833 | | 3,890 | |
| *,^ | Mediaset Espana Comunicacion SA | | 970,245 | | 3,599 | |
| | Melia Hotels International SA | | 704,330 | | 3,006 | |
| * | Tecnicas Reunidas SA | | 192,590 | | 2,948 | |
| ^ | Ence Energia y Celulosa SA | | 809,889 | | 2,661 | |
| *,1 | Unicaja Banco SA | | 4,963,928 | | 2,538 | |
| ^,1 | Gestamp Automocion SA | | 993,990 | | 2,517 | |
| *,1 | Global Dominion Access SA | | 781,886 | | 2,507 | |
| *,1 | Aedas Homes SA | | 133,618 | | 2,428 | |
| * | ACS Actividades de Construccion y Servicios SA Rights Exp. 07/07/2020 | | 1,514,676 | | 2,363 | |
| 1 | Prosegur Cash SA | | 2,467,802 | | 2,088 | |
| | Lar Espana Real Estate Socimi SA | | 398,686 | | 2,084 | |
| *,1 | Metrovacesa SA | | 288,532 | | 1,989 | |
| *,^ | Promotora de Informaciones SA | | 2,634,473 | | 1,486 | |
| *,^ | Distribuidora Internacional de Alimentacion SA | | 11,431,343 | | 1,430 | |
| ^ | Atresmedia Corp. de Medios de Comunicacion SA | | 519,052 | | 1,357 | |
| | Bolsas y Mercados Espanoles SHMSF SA | | 36,309 | | 1,346 | |
| * | Liberbank SA | | 8,001,891 | | 1,329 | |
| * | NH Hotel Group SA | | 157,953 | | 593 | |
| | Grifols SA Preference Shares | | 6,446 | | 118 | |
| | | | | | 2,250,236 | |
| Sweden (2.8%) | | | | | |
| | Telefonaktiebolaget LM Ericsson Class B | | 18,963,798 | | 175,786 | |
| | Atlas Copco AB Class A | | 3,915,169 | | 166,729 | |
| | Investor AB Class B | | 2,950,135 | | 156,498 | |
| * | Volvo AB Class B | | 9,539,869 | | 150,109 | |
| * | Sandvik AB | | 6,842,374 | | 128,813 | |
| * | Essity AB Class B | | 3,865,315 | | 125,319 | |
| | Assa Abloy AB Class B | | 5,833,994 | | 119,407 | |
| * | Hexagon AB Class B | | 1,621,403 | | 95,218 | |
| | Atlas Copco AB Class B | | 2,500,950 | | 92,930 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| * | Svenska Handelsbanken AB Class A | | 9,287,019 | | 88,183 | |
| * | Swedbank AB Class A | | 6,375,719 | | 81,870 | |
| | Hennes & Mauritz AB Class B | | 5,583,224 | | 81,494 | |
| * | Skandinaviska Enskilda Banken AB Class A | | 9,017,867 | | 78,280 | |
| | Swedish Match AB | | 988,892 | | 69,772 | |
| | Telia Co. AB | | 16,324,311 | | 61,073 | |
| | Epiroc AB Class A | | 3,982,836 | | 49,907 | |
| 1 | Evolution Gaming Group AB | | 789,222 | | 46,876 | |
| * | Skanska AB Class B | | 2,269,777 | | 46,338 | |
| | Tele2 AB | | 3,391,644 | | 45,149 | |
| * | Svenska Cellulosa AB SCA Class B | | 3,763,990 | | 45,022 | |
| * | Alfa Laval AB | | 1,992,761 | | 43,961 | |
| | Skf Ab | | 2,327,054 | | 43,501 | |
| * | Nibe Industrier AB Class B | | 1,909,772 | | 42,358 | |
| | Investor AB Class A | | 780,402 | | 41,032 | |
| | Kinnevik AB | | 1,519,932 | | 40,122 | |
| | Boliden AB | | 1,743,780 | | 39,996 | |
| | Castellum AB | | 1,711,232 | | 32,065 | |
| | Epiroc AB Class B | | 2,424,760 | | 29,779 | |
| * | Industrivarden AB Class A | | 1,299,429 | | 29,719 | |
| | Lundin Energy AB | | 1,199,851 | | 29,283 | |
| * | Securitas AB Class B | | 1,965,123 | | 26,573 | |
| ^ | Getinge AB | | 1,411,764 | | 26,307 | |
| * | Swedish Orphan Biovitrum AB | | 1,109,167 | | 25,718 | |
| * | Industrivarden AB Class C | | 1,087,420 | | 24,787 | |
| | Electrolux AB Class B | | 1,461,619 | | 24,592 | |
| * | Fastighets AB Balder Class B | | 614,343 | | 23,506 | |
| | ICA Gruppen AB | | 493,025 | | 23,436 | |
| * | Indutrade AB | | 590,134 | | 23,406 | |
| | EQT AB | | 1,281,090 | | 23,099 | |
| * | Trelleborg AB Class B | | 1,530,152 | | 22,450 | |
| * | L E Lundbergforetagen AB Class B | | 472,793 | | 21,552 | |
| | Husqvarna AB | | 2,576,577 | | 21,205 | |
| | Elekta AB Class B | | 2,273,152 | | 21,175 | |
| * | Holmen AB | | 614,605 | | 19,740 | |
| | Fabege AB | | 1,675,252 | | 19,702 | |
| | Sweco AB Class B | | 415,634 | | 18,762 | |
| * | Aak Ab | | 1,075,540 | | 18,564 | |
| | Lifco AB Class B | | 290,338 | | 18,514 | |
| *,1 | Dometic Group AB | | 1,882,582 | | 17,013 | |
| 1 | Thule Group AB | | 652,431 | | 16,566 | |
| | BillerudKorsnas AB | | 1,111,549 | | 15,954 | |
| | Samhallsbyggnadsbolaget i Norden AB Ordinary Shares | | 5,782,654 | | 14,857 | |
| *,^ | Saab AB Class B | | 589,946 | | 14,828 | |
| | Axfood AB | | 670,784 | | 14,665 | |
| | Wihlborgs Fastigheter AB | | 843,114 | | 13,869 | |
| ^ | Investment AB Latour Class B | | 763,437 | | 13,861 | |
| * | AF Poyry AB | | 620,168 | | 13,410 | |
| | Nordic Entertainment Group AB Class B | | 414,859 | | 12,759 | |
| *,1 | Bravida Holding AB | | 1,281,916 | | 12,254 | |
| * | AddTech AB | | 302,673 | | 12,242 | |
| | Beijer Ref AB | | 400,284 | | 12,139 | |
| | Wallenstam AB | | 1,022,869 | | 11,871 | |
| * | Hexpol AB | | 1,566,650 | | 11,690 | |
| * | Loomis AB Class B | | 475,867 | | 11,368 | |
| | Avanza Bank Holding AB | | 782,704 | | 11,152 | |
| * | Peab AB Class B | | 1,252,161 | | 10,350 | |
| * | SSAB AB Class B | | 3,746,493 | | 10,000 | |
| | Jm Ab | | 440,575 | | 9,971 | |
| | NCC AB Class B | | 598,185 | | 9,724 | |
| * | Sectra AB Class B | | 163,312 | | 9,306 | |
| * | NetEnt AB | | 1,159,280 | | 8,927 | |
| | Kungsleden AB | | 1,179,702 | | 8,829 | |
| * | Vitrolife AB | | 393,445 | | 8,791 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Hufvudstaden AB Class A | | 694,226 | | 8,654 | |
| | Mycronic AB | | 438,807 | | 8,319 | |
| ^ | Intrum AB | | 448,950 | | 8,265 | |
| | Arjo AB | | 1,433,582 | | 8,004 | |
| * | Nyfosa AB | | 1,124,596 | | 7,718 | |
| * | Nolato AB Class B | | 112,622 | | 7,616 | |
| | Bure Equity AB | | 328,176 | | 7,162 | |
| * | Pandox AB Class B | | 565,350 | | 6,562 | |
| | Catena AB | | 161,736 | | 6,395 | |
| * | Betsson AB | | 765,806 | | 5,339 | |
| * | Electrolux Professional AB Class B | | 1,453,592 | | 5,325 | |
| | Lindab International AB | | 420,814 | | 4,960 | |
| | Klovern AB | | 2,989,968 | | 4,756 | |
| * | Modern Times Group MTG AB Class B | | 425,380 | | 4,637 | |
| * | SSAB AB Class A | | 1,534,346 | | 4,249 | |
| | Atrium Ljungberg AB | | 294,819 | | 4,165 | |
| * | Bilia AB | | 501,065 | | 4,060 | |
| * | Hansa Biopharma AB | | 208,021 | | 3,878 | |
| * | Svenska Handelsbanken AB Class B | | 371,632 | | 3,712 | |
| *,1 | Munters Group AB | | 658,339 | | 3,711 | |
| 1 | Resurs Holding AB | | 895,867 | | 3,696 | |
| | Klovern AB Preference Shares | | 111,251 | | 3,666 | |
| | Dios Fastigheter AB | | 544,903 | | 3,650 | |
| * | Nobia AB | | 730,741 | | 3,481 | |
| * | Cloetta AB | | 1,337,923 | | 3,419 | |
| * | Concentric AB | | 239,277 | | 3,398 | |
| * | Ratos AB | | 1,258,152 | | 3,383 | |
| | Telefonaktiebolaget LM Ericsson Class A | | 329,460 | | 3,286 | |
| | Bonava AB | | 548,805 | | 2,966 | |
| ^,1 | Scandic Hotels Group AB | | 834,987 | | 2,956 | |
| | Clas Ohlson AB | | 254,868 | | 2,856 | |
| | SkiStar AB | | 258,668 | | 2,651 | |
| *,1 | Attendo AB | | 654,820 | | 2,576 | |
| * | Adapteo Oyj | | 264,288 | | 2,256 | |
| *,^ | Skandinaviska Enskilda Banken AB Class C | | 238,483 | | 2,168 | |
| | Investment AB Oresund | | 185,469 | | 2,074 | |
| | Skf Ab Class A | | 109,856 | | 2,065 | |
| *,^ | Mekonomen AB | | 265,460 | | 1,898 | |
| * | Svenska Cellulosa AB SCA Class A | | 156,214 | | 1,828 | |
| | Sagax AB | | 570,457 | | 1,793 | |
| *,^ | SAs Ab | | 1,145,967 | | 959 | |
| | Samhallsbyggnadsbolaget i Norden AB | | 293,516 | | 914 | |
| *,^ | Collector AB | | 458,567 | | 669 | |
| | Sagax AB Preference Shares | | 132,815 | | 498 | |
| | Ncc Ab Class A | | 27,790 | | 450 | |
| | | | | | 3,163,116 | |
| Switzerland (8.2%) | | | | | |
| | Nestle SA | | 18,329,780 | | 2,032,234 | |
| | Roche Holding AG | | 4,425,241 | | 1,533,123 | |
| | Novartis AG | | 13,669,634 | | 1,190,913 | |
| | Zurich Insurance Group AG | | 947,614 | | 335,769 | |
| | ABB Ltd. | | 11,365,332 | | 257,799 | |
| | Lonza Group AG | | 471,365 | | 249,681 | |
| | UBS Group AG | | 21,309,991 | | 246,110 | |
| | Givaudan SA | | 58,666 | | 219,292 | |
| | Cie Financiere Richemont SA | | 3,244,784 | | 209,290 | |
| | Sika AG | | 881,608 | | 169,950 | |
| * | Alcon Inc. | | 2,917,307 | | 167,626 | |
| | Credit Suisse Group AG | | 15,266,449 | | 158,845 | |
| | SWISS RE AG | | 1,848,092 | | 143,291 | |
| | LafargeHolcim Ltd. (XSWX) | | 2,620,455 | | 115,447 | |
| | Geberit AG | | 226,073 | | 113,429 | |
| | Partners Group Holding AG | | 104,709 | | 95,358 | |
| | SGS SA-REG | | 37,397 | | 91,609 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Swisscom AG | | 161,769 | | 84,832 | |
| | Swiss Life Holding AG | | 211,203 | | 78,571 | |
| * | Sonova Holding AG | | 342,219 | | 68,504 | |
| | Logitech International SA | | 935,403 | | 61,296 | |
| | Temenos AG | | 385,096 | | 59,853 | |
| | Schindler Holding AG | | 250,133 | | 59,196 | |
| | Roche Holding AG (Bearer) | | 171,860 | | 59,189 | |
| | Julius Baer Group Ltd. | | 1,372,957 | | 57,661 | |
| | Chocoladefabriken Lindt & Spruengli AG (Registered) | | 655 | | 56,498 | |
| | Straumann Holding AG | | 64,028 | | 55,351 | |
| | Chocoladefabriken Lindt & Spruengli AG | | 6,558 | | 54,165 | |
| * | Kuehne & Nagel International AG | | 318,291 | | 53,017 | |
| | Vifor Pharma AG | | 328,698 | | 49,728 | |
| | Adecco Group AG | | 980,201 | | 46,202 | |
| | Swiss Prime Site AG | | 478,484 | | 44,387 | |
| | Baloise Holding AG | | 288,359 | | 43,441 | |
| | Swatch Group AG (Bearer) | | 184,707 | | 37,073 | |
| | Barry Callebaut AG | | 19,180 | | 36,611 | |
| | EMS-Chemie Holding AG | | 44,990 | | 34,953 | |
| | PSP Swiss Property AG | | 273,510 | | 30,807 | |
| | Schindler Holding AG (Registered) | | 129,335 | | 30,662 | |
| 1 | VAT Group AG | | 163,330 | | 29,999 | |
| | LafargeHolcim Ltd. (XPAR) | | 635,227 | | 27,584 | |
| | Tecan Group AG | | 75,283 | | 26,681 | |
| * | SIG Combibloc Group AG | | 1,623,184 | | 26,412 | |
| * | Clariant AG | | 1,264,883 | | 24,894 | |
| * | ams AG | | 1,613,403 | | 24,054 | |
| | Georg Fischer AG | | 25,905 | | 22,333 | |
| 1 | Galenica AG | | 305,182 | | 21,880 | |
| | Belimo Holding AG | | 2,925 | | 21,647 | |
| § | Pargesa Holding SA | | 240,355 | | 20,167 | |
| | Helvetia Holding AG | | 207,455 | | 19,432 | |
| 1 | Sunrise Communications Group AG | | 212,723 | | 18,921 | |
| | Cembra Money Bank AG | | 185,986 | | 18,181 | |
| * | Idorsia Ltd. | | 556,362 | | 17,882 | |
| | Allreal Holding AG | | 88,002 | | 17,445 | |
| | Banque Cantonale Vaudoise | | 178,634 | | 17,396 | |
| * | Flughafen Zurich AG | | 119,283 | | 15,579 | |
| * | Softwareone Holding AG | | 613,221 | | 15,277 | |
| | DKSH Holding AG | | 226,870 | | 14,617 | |
| | Vontobel Holding AG | | 171,290 | | 12,062 | |
| * | Mobimo Holding AG | | 40,627 | | 11,789 | |
| | Bucher Industries AG | | 40,299 | | 11,640 | |
| *,^ | Siegfried Holding AG | | 25,271 | | 11,500 | |
| | Emmi AG | | 12,272 | | 10,741 | |
| | Swatch Group AG (Registered) | | 271,973 | | 10,696 | |
| | dormakaba Holding AG | | 19,061 | | 10,409 | |
| | Bkw AG | | 113,090 | | 10,153 | |
| * | Landis&Gyr Group AG | | 155,551 | | 10,077 | |
| | OC Oerlikon Corp. AG | | 1,227,229 | | 10,067 | |
| | SFS Group AG | | 105,846 | | 9,975 | |
| ^ | Stadler Rail AG | | 240,463 | | 9,924 | |
| | Inficon Holding AG | | 12,024 | | 9,409 | |
| | Bachem Holding AG | | 35,575 | | 9,395 | |
| | Valiant Holding AG | | 99,451 | | 9,280 | |
| | Daetwyler Holding AG | | 47,029 | | 9,221 | |
| | Sulzer AG | | 111,650 | | 8,954 | |
| | Forbo Holding AG | | 6,001 | | 8,712 | |
| | St. Galler Kantonalbank AG | | 18,098 | | 8,103 | |
| | Huber & Suhner AG | | 109,953 | | 7,732 | |
| | Schweiter Technologies AG | | 5,991 | | 7,426 | |
| | Conzzeta AG | | 8,240 | | 7,387 | |
| | Interroll Holding AG | | 3,531 | | 7,143 | |
| | Berner Kantonalbank AG | | 28,746 | | 6,974 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Comet Holding AG | | 47,843 | | 6,877 | |
| | Kardex Holding AG | | 37,076 | | 6,818 | |
| | VZ Holding AG | | 86,235 | | 6,472 | |
| * | Dufry AG | | 207,720 | | 6,222 | |
| | Burckhardt Compression Holding AG | | 20,219 | | 4,954 | |
| | Swissquote Group Holding SA | | 54,945 | | 4,709 | |
| | LEM Holding SA | | 3,012 | | 4,460 | |
| | Vetropack Holding AG | | 79,660 | | 4,409 | |
| | Intershop Holding AG | | 7,177 | | 4,296 | |
| | Liechtensteinische Landesbank AG | | 69,818 | | 4,289 | |
| *,^ | COSMO Pharmaceuticals NV | | 46,257 | | 4,236 | |
| | ALSO Holding AG | | 16,998 | | 4,175 | |
| * | Valora Holding AG | | 20,757 | | 3,987 | |
| *,^ | Komax Holding AG | | 22,332 | | 3,636 | |
| | Implenia AG | | 94,660 | | 3,520 | |
| * | Basilea Pharmaceutica AG | | 67,885 | | 3,507 | |
| | EFG International AG | | 485,563 | | 3,464 | |
| *,1 | Medacta Group SA | | 39,873 | | 3,205 | |
| | Bell Food Group AG | | 12,163 | | 3,085 | |
| ^ | Ypsomed Holding AG | | 20,974 | | 2,979 | |
| | Leonteq AG | | 68,748 | | 2,884 | |
| * | u-blox Holding AG | | 41,824 | | 2,869 | |
| ^ | Bobst Group SA | | 47,854 | | 2,834 | |
| * | Aryzta AG | | 6,155,160 | | 2,784 | |
| * | Arbonia AG | | 255,581 | | 2,648 | |
| | Bossard Holding AG | | 16,172 | | 2,479 | |
| | Zehnder Group AG | | 60,721 | | 2,391 | |
| * | GAM Holding AG | | 1,023,926 | | 2,378 | |
| * | Ascom Holding AG | | 237,908 | | 2,199 | |
| | VP Bank AG | | 15,160 | | 1,974 | |
| * | Hiag Immobilien Holding AG | | 18,884 | | 1,845 | |
| | Rieter Holding AG | | 19,112 | | 1,767 | |
| * | Autoneum Holding AG | | 17,491 | | 1,712 | |
| *,§ | Alpiq Holding AG | | 20,220 | | 1,494 | |
| * | Apg Sga SA | | 6,002 | | 1,121 | |
| * | Ina Invest Holding AG | | 18,932 | | 420 | |
| | BB Biotech AG | | 160 | | 12 | |
| | | | | | 9,184,024 | |
| Taiwan (0.0%) | | | | | |
| | IR Japan Holdings Ltd. | | 55,800 | | 5,880 | |
| * | Kuk-il Paper Manufacturing Co. Ltd. | | 513,055 | | 2,472 | |
| * | ITM Semiconductor Co. Ltd. | | 43,798 | | 2,152 | |
| * | Curves Holdings Co. Ltd. | | 386,189 | | 2,118 | |
| | OptoElectronics Solutions Co. Ltd. | | 47,743 | | 1,887 | |
| | Mcnex Co. Ltd. | | 72,092 | | 1,879 | |
| ^ | JDC Corp. | | 230,200 | | 1,237 | |
| | | | | | 17,625 | |
| United Kingdom (12.5%) | | | | | |
| | AstraZeneca plc | | 8,350,241 | | 869,054 | |
| | GlaxoSmithKline plc | | 31,359,156 | | 633,451 | |
| | HSBC Holdings plc | | 129,584,125 | | 602,259 | |
| | British American Tobacco plc | | 14,163,206 | | 543,204 | |
| | Diageo plc | | 14,592,682 | | 485,027 | |
| | BP plc | | 126,120,690 | | 483,178 | |
| | Royal Dutch Shell plc Class A | | 26,085,886 | | 417,672 | |
| | Rio Tinto plc | | 6,902,570 | | 388,456 | |
| | Unilever plc | | 6,933,589 | | 374,009 | |
| | Reckitt Benckiser Group plc | | 4,012,261 | | 369,125 | |
| | Royal Dutch Shell plc Class B | | 23,594,079 | | 357,696 | |
| | RELX plc | | 11,819,249 | | 273,568 | |
| | National Grid plc | | 22,313,312 | | 272,234 | |
| | Vodafone Group plc | | 170,414,038 | | 270,920 | |
| | BHP Group plc | | 13,226,573 | | 270,659 | |
| | Prudential plc | | 16,592,199 | | 250,015 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | London Stock Exchange Group plc | | 2,002,839 | | 208,288 | |
| | Experian plc | | 5,760,961 | | 202,205 | |
| | Anglo American plc | | 7,823,613 | | 180,361 | |
| | Tesco plc | | 61,500,415 | | 172,982 | |
| | Lloyds Banking Group plc | | 447,461,177 | | 172,614 | |
| | Compass Group plc | | 11,337,681 | | 155,990 | |
| | Barclays plc | | 109,956,852 | | 155,128 | |
| | Glencore plc | | 68,612,885 | | 146,161 | |
| | CRH plc (XLON) | | 4,222,624 | | 144,911 | |
| | BAE Systems plc | | 20,441,640 | | 122,231 | |
| | Ferguson plc | | 1,429,855 | | 116,915 | |
| | Imperial Brands plc | | 5,993,285 | | 114,093 | |
| | SSE plc | | 6,613,662 | | 111,991 | |
| | Smith & Nephew plc | | 5,558,843 | | 103,582 | |
| | Legal & General Group plc | | 37,707,034 | | 102,800 | |
| | Flutter Entertainment plc | | 758,532 | | 99,444 | |
| | Ashtead Group plc | | 2,844,405 | | 95,951 | |
| | Standard Chartered plc | | 16,439,441 | | 89,116 | |
| | Aviva plc | | 24,918,021 | | 84,457 | |
| | Segro plc | | 7,566,469 | | 83,686 | |
| | BT Group plc | | 55,329,544 | | 78,251 | |
| | Rentokil Initial plc | | 11,778,386 | | 74,477 | |
| * | Ocado Group plc | | 2,902,939 | | 72,953 | |
| | Intertek Group plc | | 1,025,576 | | 69,074 | |
| | Halma plc | | 2,408,830 | | 68,629 | |
| | 3i Group plc | | 6,051,018 | | 62,308 | |
| | WPP plc | | 7,551,380 | | 58,873 | |
| | Mondi plc | | 3,081,523 | | 57,640 | |
| | Sage Group plc | | 6,935,366 | | 57,571 | |
| | Spirax-Sarco Engineering plc | | 467,035 | | 57,497 | |
| | Bunzl plc | | 2,139,667 | | 57,393 | |
| * | Persimmon plc | | 2,020,702 | | 57,190 | |
| *,^,1 | Just Eat Takeaway | | 532,722 | | 55,550 | |
| | Informa plc | | 9,514,983 | | 55,014 | |
| | Associated British Foods plc | | 2,212,928 | | 52,323 | |
| | DCC plc | | 626,409 | | 52,270 | |
| | Croda International plc | | 789,639 | | 51,288 | |
| | InterContinental Hotels Group plc | | 1,158,112 | | 51,125 | |
| | Burberry Group plc | | 2,558,974 | | 50,566 | |
| | Smurfit Kappa Group plc (XLON) | | 1,486,758 | | 49,281 | |
| | Next plc | | 809,663 | | 49,021 | |
| | United Utilities Group plc | | 4,339,739 | | 48,765 | |
| | Standard Life Aberdeen plc | | 14,304,896 | | 47,403 | |
| | Severn Trent plc | | 1,513,533 | | 46,320 | |
| | Hargreaves Lansdown plc | | 2,283,034 | | 46,040 | |
| | Smiths Group plc | | 2,511,110 | | 43,899 | |
| | Royal Bank of Scotland Group plc | | 28,832,672 | | 43,285 | |
| | Polymetal International plc | | 2,156,150 | | 43,168 | |
| | Melrose Industries plc | | 30,550,369 | | 43,062 | |
| | Taylor Wimpey plc | | 23,017,513 | | 40,626 | |
| | Barratt Developments plc | | 6,439,272 | | 39,577 | |
| | St. James's Place plc | | 3,365,608 | | 39,575 | |
| 1 | Auto Trader Group plc | | 6,001,809 | | 39,077 | |
| | Rolls-Royce Holdings plc | | 10,972,981 | | 38,742 | |
| | Berkeley Group Holdings plc | | 742,961 | | 38,263 | |
| | Admiral Group plc | | 1,321,358 | | 37,473 | |
| | Rightmove plc | | 5,510,145 | | 37,246 | |
| | Pennon Group plc | | 2,676,239 | | 37,060 | |
| | Kingfisher plc | | 13,390,557 | | 36,840 | |
| | Whitbread plc | | 1,280,652 | | 35,234 | |
| | M&G plc | | 16,499,059 | | 34,260 | |
| | Pearson plc | | 4,773,341 | | 33,981 | |
| | GVC Holdings plc | | 3,686,277 | | 33,788 | |
| | Wm Morrison Supermarkets plc | | 14,109,892 | | 33,239 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | RSA Insurance Group plc | | 6,536,343 | | 33,103 | |
| | DS Smith plc | | 8,080,388 | | 32,802 | |
| | Johnson Matthey plc | | 1,210,273 | | 31,521 | |
| | Coca-Cola HBC AG | | 1,239,975 | | 31,041 | |
| | Land Securities Group plc | | 4,530,677 | | 30,957 | |
| | Hikma Pharmaceuticals plc | | 1,067,852 | | 29,303 | |
| | Direct Line Insurance Group plc | | 8,685,357 | | 29,123 | |
| | HomeServe plc | | 1,749,320 | | 28,281 | |
| | British Land Co. plc | | 5,881,397 | | 28,134 | |
| | Intermediate Capital Group plc | | 1,762,122 | | 28,113 | |
| | J Sainsbury plc | | 10,324,380 | | 26,719 | |
| | Phoenix Group Holdings plc | | 3,341,974 | | 26,706 | |
| | B&M European Value Retail SA | | 5,407,810 | | 26,620 | |
| | Schroders plc | | 713,352 | | 26,036 | |
| | Antofagasta plc | | 2,201,320 | | 25,479 | |
| | Howden Joinery Group plc | | 3,624,108 | | 24,811 | |
| | Bellway plc | | 782,126 | | 24,634 | |
| | Tate & Lyle plc | | 2,964,786 | | 24,509 | |
| 1 | ConvaTec Group plc | | 10,069,880 | | 24,320 | |
| | UNITE Group plc | | 2,045,101 | | 23,814 | |
| | Electrocomponents plc | | 2,824,608 | | 23,513 | |
| | IG Group Holdings plc | | 2,308,666 | | 23,313 | |
| | Spectris plc | | 735,000 | | 22,956 | |
| 1 | Avast plc | | 3,470,837 | | 22,685 | |
| | Dechra Pharmaceuticals plc | | 634,769 | | 22,358 | |
| | Travis Perkins plc | | 1,601,517 | | 22,329 | |
| | Derwent London plc | | 636,732 | | 21,903 | |
| | ITV plc | | 23,597,510 | | 21,810 | |
| | Weir Group plc | | 1,651,971 | | 21,709 | |
| | JD Sports Fashion plc | | 2,726,863 | | 20,988 | |
| | Hiscox Ltd. | | 2,131,649 | | 20,807 | |
| | Games Workshop Group plc | | 206,495 | | 20,519 | |
| | AVEVA Group plc | | 403,278 | | 20,448 | |
| 1 | Quilter plc | | 11,648,897 | | 20,047 | |
| | IMI plc | | 1,705,430 | | 19,457 | |
| | Tritax Big Box REIT plc | | 10,794,376 | | 19,393 | |
| | Beazley plc | | 3,812,079 | | 19,326 | |
| | Rotork plc | | 5,529,787 | | 19,139 | |
| | Genus plc | | 411,536 | | 18,015 | |
| | Meggitt plc | | 4,922,022 | | 17,928 | |
| | Centrica plc | | 37,037,830 | | 17,599 | |
| | Assura plc | | 16,617,209 | | 16,125 | |
| | Britvic plc | | 1,680,817 | | 16,007 | |
| *,1 | Trainline plc | | 2,931,614 | | 15,800 | |
| | Centamin plc | | 6,886,652 | | 15,720 | |
| | Diploma plc | | 703,517 | | 15,640 | |
| | TP ICAP plc | | 3,595,297 | | 15,615 | |
| | Lancashire Holdings Ltd. | | 1,533,734 | | 15,380 | |
| | Marks & Spencer Group plc | | 12,380,961 | | 15,183 | |
| | Inchcape plc | | 2,488,510 | | 15,123 | |
| | IWG plc | | 4,569,726 | | 15,022 | |
| | Ashmore Group plc | | 2,892,032 | | 14,933 | |
| | Grainger plc | | 4,207,722 | | 14,931 | |
| | Man Group PLC | | 9,201,088 | | 14,896 | |
| | Signature Aviation plc | | 5,203,724 | | 14,876 | |
| | Primary Health Properties plc | | 7,639,661 | | 14,805 | |
| *,1 | Network International Holdings plc | | 2,678,000 | | 14,660 | |
| | Cranswick plc | | 326,836 | | 14,640 | |
| | Hays plc | | 9,874,990 | | 14,623 | |
| * | Serco Group plc | | 7,709,271 | | 14,595 | |
| | LondonMetric Property plc | | 5,589,220 | | 14,590 | |
| | UDG Healthcare plc | | 1,596,554 | | 14,191 | |
| | Balfour Beatty plc | | 4,329,280 | | 13,938 | |
| | G4S plc | | 9,846,220 | | 13,930 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | British American Tobacco plc ADR | | 358,284 | | 13,909 | |
| 1 | John Laing Group plc | | 3,145,766 | | 13,627 | |
| | Moneysupermarket.com Group plc | | 3,300,321 | | 13,239 | |
| | Royal Mail plc | | 5,823,645 | | 13,126 | |
| | QinetiQ Group plc | | 3,548,141 | | 13,069 | |
| | Close Brothers Group plc | | 950,386 | | 13,011 | |
| | Evraz plc | | 3,670,191 | | 13,004 | |
| | Big Yellow Group plc | | 1,025,259 | | 12,762 | |
| | Great Portland Estates plc | | 1,611,966 | | 12,629 | |
| | Victrex plc | | 521,348 | | 12,603 | |
| | Greggs plc | | 627,926 | | 12,594 | |
| | Vistry Group plc | | 1,403,396 | | 12,362 | |
| | Fresnillo plc | | 1,173,500 | | 12,262 | |
| | Safestore Holdings plc | | 1,294,419 | | 11,667 | |
| 1 | Countryside Properties plc | | 2,816,378 | | 11,533 | |
| | Spirent Communications plc | | 3,850,102 | | 11,519 | |
| | Domino's Pizza Group plc | | 2,967,973 | | 11,392 | |
| | Grafton Group plc | | 1,384,375 | | 11,321 | |
| | Ultra Electronics Holdings plc | | 442,197 | | 10,905 | |
| | WH Smith plc | | 797,331 | | 10,855 | |
| | Renishaw plc | | 217,714 | | 10,830 | |
| | Plus500 Ltd. | | 656,254 | | 10,704 | |
| | SSP Group plc | | 3,323,005 | | 10,590 | |
| | Softcat plc | | 780,061 | | 10,551 | |
| ^ | easyJet plc | | 1,230,022 | | 10,384 | |
| | Carnival plc | | 839,183 | | 10,265 | |
| ^ | TUI AG (XLON) | | 2,137,138 | | 10,128 | |
| | John Wood Group plc | | 4,194,734 | | 10,058 | |
| *,1 | Wizz Air Holdings plc | | 239,667 | | 9,902 | |
| ^ | Future plc | | 624,635 | | 9,859 | |
| | Marshalls plc | | 1,266,795 | | 9,658 | |
| | Micro Focus International plc | | 1,799,962 | | 9,603 | |
| | William Hill plc | | 6,656,945 | | 9,405 | |
| | IntegraFin Holdings plc | | 1,656,293 | | 9,391 | |
| | Pagegroup plc | | 1,974,165 | | 9,270 | |
| | Shaftesbury plc | | 1,415,883 | | 9,266 | |
| | Bodycote plc | | 1,195,126 | | 9,266 | |
| | Computacenter plc | | 451,239 | | 9,146 | |
| | Dunelm Group plc | | 616,085 | | 9,076 | |
| 1 | Ascential plc | | 2,511,591 | | 9,010 | |
| | Pets at Home Group plc | | 3,015,278 | | 8,921 | |
| * | Virgin Money UK plc | | 7,814,857 | | 8,881 | |
| | AJ Bell plc | | 1,816,537 | | 8,728 | |
| | KAZ Minerals plc | | 1,411,628 | | 8,697 | |
| | Savills plc | | 843,966 | | 8,608 | |
| | Capital & Counties Properties plc | | 4,678,102 | | 8,484 | |
| | Aggreko plc | | 1,532,849 | | 8,430 | |
| | Investec plc | | 4,199,285 | | 8,426 | |
| | Jupiter Fund Management plc | | 2,626,085 | | 8,327 | |
| | Mediclinic International plc | | 2,498,926 | | 8,209 | |
| | Drax Group plc | | 2,495,256 | | 7,964 | |
| | International Consolidated Airlines Group SA (London Shares) | | 2,830,459 | | 7,807 | |
| | OneSavings Bank plc | | 2,373,440 | | 7,802 | |
| | Hill & Smith Holdings plc | | 504,459 | | 7,775 | |
| | Redrow plc | | 1,451,304 | | 7,740 | |
| | Daily Mail & General Trust plc | | 893,078 | | 7,630 | |
| | Synthomer plc | | 2,122,738 | | 7,317 | |
| | Dixons Carphone plc | | 6,418,845 | | 7,134 | |
| | Paragon Banking Group plc | | 1,621,520 | | 7,044 | |
| | Workspace Group plc | | 850,154 | | 6,896 | |
| | Sanne Group plc | | 872,118 | | 6,800 | |
| | Playtech plc | | 1,902,008 | | 6,646 | |
| | Telecom Plus plc | | 363,763 | | 6,439 | |
| | Vesuvius plc | | 1,340,242 | | 6,431 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| | Polypipe Group plc | | 1,196,723 | | 6,401 | |
| | Coats Group plc | | 9,079,708 | | 6,320 | |
| | J D Wetherspoon plc | | 506,638 | | 6,303 | |
| | National Express Group plc | | 2,689,390 | | 6,260 | |
| | Rathbone Brothers plc | | 353,135 | | 6,221 | |
| | Babcock International Group plc | | 1,597,904 | | 6,124 | |
| | Essentra plc | | 1,680,326 | | 6,075 | |
| | Brewin Dolphin Holdings plc | | 1,855,767 | | 5,981 | |
| * | Capita plc | | 10,498,174 | | 5,743 | |
| ^ | Rhi Magnesita NV | | 187,093 | | 5,710 | |
| | Sirius Real Estate Ltd. | | 5,986,753 | | 5,686 | |
| 1 | Ibstock plc | | 2,484,016 | | 5,527 | |
| | Morgan Advanced Materials plc | | 1,811,882 | | 5,419 | |
| * | Ninety One plc | | 2,102,717 | | 5,401 | |
| * | Cairn Energy plc | | 3,665,747 | | 5,335 | |
| | Chemring Group plc | | 1,789,822 | | 5,332 | |
| 1 | Airtel Africa plc | | 6,507,622 | | 5,054 | |
| | St. Modwen Properties plc | | 1,128,261 | | 4,846 | |
| ^ | Hammerson plc | | 4,877,589 | | 4,834 | |
| * | Energean plc | | 630,702 | | 4,824 | |
| * | Firstgroup plc | | 7,654,038 | | 4,796 | |
| 1 | Hastings Group Holdings plc | | 2,006,457 | | 4,791 | |
| | Cineworld Group plc | | 6,375,930 | | 4,786 | |
| * | Indivior plc | | 4,646,027 | | 4,753 | |
| | TalkTalk Telecom Group plc | | 4,334,689 | | 4,604 | |
| | Vectura Group plc | | 3,788,727 | | 4,538 | |
| * | Frasers Group plc | | 1,179,203 | | 4,468 | |
| | Greencore Group plc | | 2,839,266 | | 4,417 | |
| | Clarkson plc | | 157,396 | | 4,383 | |
| * | Just Group plc | | 6,576,553 | | 4,289 | |
| | Ferrexpo plc | | 1,885,306 | | 4,049 | |
| | Hochschild Mining plc | | 1,629,479 | | 3,938 | |
| | Crest Nicholson Holdings plc | | 1,559,957 | | 3,813 | |
| | NCC Group plc | | 1,711,751 | | 3,790 | |
| 1 | Equiniti Group plc | | 2,087,365 | | 3,771 | |
| | 888 Holdings plc | | 1,730,160 | | 3,742 | |
| | Petrofac Ltd. | | 1,654,566 | | 3,659 | |
| | Provident Financial plc | | 1,618,447 | | 3,539 | |
| | Keller Group plc | | 449,080 | | 3,518 | |
| ^ | Tullow Oil plc | | 8,728,997 | | 3,458 | |
| *,^ | Premier Oil plc | | 5,182,840 | | 3,402 | |
| 1 | TI Fluid Systems plc | | 1,444,627 | | 3,320 | |
| | Kainos Group plc | | 350,557 | | 3,253 | |
| *,^ | AO World plc | | 1,801,564 | | 3,235 | |
| * | Mitchells & Butlers plc | | 1,378,812 | | 3,211 | |
| | Redde Northgate plc | | 1,553,089 | | 3,193 | |
| * | Bank of Georgia Group plc | | 229,647 | | 3,062 | |
| | UK Commercial Property REIT Ltd. | | 4,107,162 | | 3,037 | |
| *,1 | McCarthy & Stone plc | | 3,399,751 | | 3,009 | |
| | Picton Property Income Ltd. | | 3,506,408 | | 2,965 | |
| | AG Barr plc | | 527,608 | | 2,953 | |
| | Elementis plc | | 3,685,114 | | 2,942 | |
| | Go-Ahead Group plc | | 273,550 | | 2,838 | |
| | PZ Cussons plc | | 1,220,945 | | 2,795 | |
| *,1 | Watches of Switzerland Group plc | | 770,846 | | 2,681 | |
| | Marston's plc | | 4,030,295 | | 2,667 | |
| | BMO Commercial Property Trust Ltd. | | 3,343,451 | | 2,612 | |
| | Helical plc | | 642,112 | | 2,473 | |
| | Restaurant Group plc | | 3,495,917 | | 2,450 | |
| * | TBC Bank Group plc | | 219,763 | | 2,427 | |
| | Hunting plc | | 910,370 | | 2,382 | |
| | Mitie Group plc | | 2,295,386 | | 2,371 | |
| *,^,1 | Aston Martin Lagonda Global Holdings plc | | 3,853,507 | | 2,363 | |
| | Halfords Group plc | | 1,236,180 | | 2,335 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| | | | Shares | | Market
Value
($000 | ) |
| 1 | CMC Markets plc | | 696,083 | | 2,317 | |
| | Senior plc | | 2,637,750 | | 2,279 | |
| | GoCo Group plc | | 1,892,385 | | 2,264 | |
| | Devro plc | | 1,074,534 | | 2,003 | |
| | Rank Group plc | | 1,091,601 | | 1,981 | |
| * | Calisen plc | | 877,442 | | 1,960 | |
| | Stagecoach Group plc | | 2,592,174 | | 1,920 | |
| 1 | Spire Healthcare Group plc | | 1,799,814 | | 1,904 | |
| | Micro Focus International plc ADR | | 296,634 | | 1,626 | |
| | Redefine International plc | | 1,568,983 | | 1,602 | |
| | NewRiver REIT plc | | 1,934,486 | | 1,507 | |
| | SIG plc | | 3,719,958 | | 1,412 | |
| * | Georgia Capital plc | | 237,545 | | 1,359 | |
| | Saga plc | | 7,061,831 | | 1,356 | |
| | Card Factory plc | | 2,088,155 | | 1,304 | |
| | Renewi plc | | 3,970,945 | | 1,289 | |
| *,^ | Metro Bank plc | | 988,776 | | 1,282 | |
| | Schroder REIT Ltd. | | 3,328,808 | | 1,245 | |
| | AA plc | | 3,904,825 | | 1,104 | |
| | Galliford Try Holdings plc | | 691,414 | | 1,011 | |
| * | Stobart Group Ltd. | | 2,372,886 | | 1,009 | |
| * | Dignity plc | | 313,616 | | 961 | |
| | Smurfit Kappa Group plc (XDUB) | | 28,206 | | 948 | |
| | International Personal Finance plc | | 1,365,709 | | 885 | |
| | RPS Group plc | | 1,437,267 | | 867 | |
| 1 | Bakkavor Group plc | | 969,488 | | 848 | |
| | Superdry plc | | 424,927 | | 748 | |
| *,^,1 | Funding Circle Holdings plc | | 879,654 | | 745 | |
| *,1 | Alfa Financial Software Holdings plc | | 555,877 | | 499 | |
| ^ | N Brown Group plc | | 1,000,742 | | 436 | |
| | C&C Group plc (XLON) | | 64,085 | | 183 | |
| *,§,1 | Finablr plc | | 1,120,022 | | 153 | |
| *,^,§ | Intu Properties plc | | 5,470,032 | | 122 | |
| ^,1 | Amigo Holdings plc | | 886,391 | | 64 | |
| | Glanbia plc (XLON) | | 771 | | 9 | |
| * | SIG plc Rights Exp. 07/08/2020 | | 930,333 | | 6 | |
| *,§ | Carillion plc | | 2,500,529 | | — | |
| *,§ | NMC Health plc | | 510,606 | | — | |
| *,§ | Sole Realisation Co. plc | | 135 | | — | |
| | | | | | 13,952,710 | |
| Total Common Stocks (Cost $108,456,316) | | | | 110,499,799 | |
| | | | Coupon | | | | | | | |
| Temporary Cash Investments (3.2%) | | | | | | | | | |
| Money Market Fund (3.1%) | | | | | | | | | |
| 2,3 | Vanguard Market Liquidity Fund | | 0.227% | | | | 34,749,559 | | 3,474,956 | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
| U.S. Government and Agency Obligations (0.1%) | | | | | | |
| 4 | United States Cash Management Bill | | 0.100% | -0.103% | 7/14/20 | | 119,000 | | 118,995 | |
| 4 | United States Cash Management Bill | | 0.116% | | 9/29/20 | | 64,000 | | 63,977 | |
| | | | | | | | | | 182,972 | |
| Total Temporary Cash Investments (Cost $3,657,306) | | | | | 3,657,928 | |
Vanguard® Developed Markets Index Fund
Schedule of Investments
June 30, 2020
| Total Investments (102.0%) (Cost $112,113,622) | | 114,157,727 | |
| Other Assets and Liabilities—Net (-2.0%) | | (2,292,869 | ) |
| Net Assets (100%) | | 111,864,858 | |
| Cost is in $000. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,836,499,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate value of these securities was $2,148,190,000, representing 1.9% of net assets. |
| 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 $2,975,423,000 was received for securities on loan, of which $2,957,250,000 is held in Vanguard Market Liquidity Fund and $18,173,000 is held in cash. |
| 4 | Securities with a value of $147,389,000 have been segregated as initial margin for open futures contracts. |
| | ADR—American Depositary Receipt. |
| | GDR—Global Depositary Receipt. |
| | REIT—Real Estate Investment Trust. |
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| | © 2020 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| | SNA1272 082020 |
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. In May 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund, and Vanguard Tax-Managed Small-Cap Fund. There were no other significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | VANGUARD TAX-MANAGED FUNDS | |
| | | |
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| | MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER | |
Date: August 19, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | VANGUARD TAX-MANAGED FUNDS | |
| | | |
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| | MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER | |
Date: August 19, 2020
| | VANGUARD TAX-MANAGED FUNDS | |
| | | |
| BY: | /s/ JOHN BENDL* | |
| | JOHN BENDL CHIEF FINANCIAL OFFICER | |
Date: August 19, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.
