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: 811-07443
Name of Registrant: | Vanguard Whitehall 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: October 31
Date of reporting period: November 1, 2019—April 30, 2020
Item 1: Reports to Shareholders
Semiannual Report | April 30, 2020 | |
Vanguard Selected Value 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.
Contents | |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangements | 17 |
Liquidity Risk Management | 19 |
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.
1 |
Six Months Ended April 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Selected Value Fund | 10/31/2019 | 4/30/2020 | Period |
Based on Actual Fund Return | $1,000.00 | $760.51 | $1.36 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,023.32 | 1.56 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.31%. 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).
2 |
Selected Value Fund
Fund Allocation
As of April 30, 2020
Communication Services | 2.8 | % |
Consumer Discretionary | 11.3 | |
Consumer Staples | 1.3 | |
Energy | 4.1 | |
Financials | 24.5 | |
Health Care | 8.1 | |
Industrials | 21.3 | |
Information Technology | 11.9 | |
Materials | 10.4 | |
Real Estate | 1.5 | |
Utilities | 2.8 |
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.
3 |
Selected Value Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | |||||||
Value* | |||||||
Shares | ($000 | ) | |||||
Common Stocks (94.2%) | |||||||
Communication Services (2.1%) | |||||||
Omnicom Group Inc. | 1,193,690 | 68,076 | |||||
Activision Blizzard Inc. | 372,300 | 23,727 | |||||
Interpublic Group of Cos. Inc. | 1,181,058 | 20,054 | |||||
111,857 | |||||||
Consumer Discretionary (10.7%) | |||||||
Gildan Activewear Inc. Class A | 5,704,281 | 79,518 | |||||
Lear Corp. | 782,508 | 76,412 | |||||
* | Helen of Troy Ltd. | 424,300 | 69,704 | ||||
* | Taylor Morrison Home Corp. Class A | 4,254,443 | 61,902 | ||||
American Eagle Outfitters Inc. | 5,635,400 | 44,801 | |||||
Whirlpool Corp. | 355,900 | 39,768 | |||||
* | Mohawk Industries Inc. | 449,687 | 39,447 | ||||
Ford Motor Co. | 7,460,844 | 37,976 | |||||
Newell Brands Inc. | 2,571,382 | 35,691 | |||||
Hanesbrands Inc. | 2,829,900 | 28,129 | |||||
PVH Corp. | 481,877 | 23,723 | |||||
Extended Stay America Inc. | 1,486,700 | 16,160 | |||||
Toll Brothers Inc. | 298,920 | 7,180 | |||||
Carnival Corp. | 73,862 | 1,174 | |||||
561,585 | |||||||
Consumer Staples (0.8%) | |||||||
Spectrum Brands Holdings Inc. | 509,360 | 21,933 | |||||
Kellogg Co. | 319,135 | 20,903 | |||||
42,836 | |||||||
Energy (3.9%) | |||||||
Halliburton Co. | 5,813,434 | 61,041 | |||||
National Oilwell Varco Inc. | 4,227,629 | 53,437 | |||||
Baker Hughes Co. Class A | 2,581,533 | 36,012 | |||||
TechnipFMC plc | 2,382,657 | 21,230 | |||||
^ | Cenovus Energy Inc. | 5,167,683 | 18,810 | ||||
^ | Murphy Oil Corp. | 645,960 | 7,661 | ||||
Euronav NV | 294,175 | 3,145 | |||||
* | WPX Energy Inc. | 400,879 | 2,458 | ||||
*,^ | Valaris plc Class A | 4,264,044 | 1,942 | ||||
205,736 | |||||||
Financials (24.0%) | |||||||
Unum Group | 4,660,800 | 81,331 | |||||
TCF Financial Corp. | 2,211,500 | 65,659 | |||||
Equitable Holdings Inc. | 3,549,109 | 65,020 | |||||
Globe Life Inc. | 778,602 | 64,110 | |||||
Voya Financial Inc. | 1,385,101 | 62,565 | |||||
Axis Capital Holdings Ltd. | 1,624,160 | 59,444 | |||||
CNO Financial Group Inc. | 4,203,835 | 59,106 | |||||
CNA Financial Corp. | 1,826,402 | 57,678 | |||||
American International Group Inc. | 2,264,779 | 57,593 | |||||
State Street Corp. | 894,500 | 56,389 | |||||
Progressive Corp. | 681,600 | 52,688 | |||||
Regions Financial Corp. | 4,866,368 | 52,313 | |||||
FirstCash Inc. | 701,400 | 50,389 | |||||
Fifth Third Bancorp | 2,620,282 | 48,973 | |||||
KeyCorp | 4,085,445 | 47,595 | |||||
Synchrony Financial | 2,261,300 | 44,751 | |||||
Essent Group Ltd. | 1,518,330 | 41,481 | |||||
* | Arch Capital Group Ltd. | 1,597,000 | 38,376 | ||||
Alleghany Corp. | 61,800 | 32,983 | |||||
Jefferies Financial Group Inc. | 2,400,421 | 32,934 | |||||
KKR & Co. Inc. Class A | 1,193,928 | 30,099 | |||||
Webster Financial Corp. | 1,037,973 | 29,323 | |||||
Commerce Bancshares Inc. | 407,101 | 24,911 |
4
Selected Value Fund
Market | |||||||
Value* | |||||||
Shares | ($000 | ) | |||||
Invesco Ltd. | 2,742,777 | 23,643 | |||||
Fidelity National Financial Inc. | 819,300 | 22,162 | |||||
Hartford Financial Services Group Inc. | 506,455 | 19,240 | |||||
American National Insurance Co. | 193,300 | 15,561 | |||||
Hanover Insurance Group Inc. | 97,763 | 9,813 | |||||
Everest Re Group Ltd. | 51,771 | 8,963 | |||||
Comerica Inc. | 121,055 | 4,220 | |||||
^ | MFA Financial Inc. | 1,016,357 | 1,779 | ||||
1,261,092 | |||||||
Health Care (7.2%) | |||||||
Hill-Rom Holdings Inc. | 536,300 | 60,328 | |||||
Perrigo Co. plc | 1,092,100 | 58,209 | |||||
* | Syneos Health Inc. | 1,030,300 | 57,480 | ||||
* | Integra LifeSciences Holdings Corp. | 1,091,800 | 55,736 | ||||
* | Laboratory Corp. of America Holdings | 302,100 | 49,680 | ||||
Cardinal Health Inc. | 956,318 | 47,319 | |||||
* | Mylan NV | 1,719,068 | 28,829 | ||||
McKesson Corp. | 138,658 | 19,586 | |||||
377,167 | |||||||
Industrials (20.8%) | |||||||
* | AerCap Holdings NV | 4,911,100 | 138,100 | ||||
Snap-on Inc. | 610,873 | 79,591 | |||||
* | JetBlue Airways Corp. | 7,840,529 | 76,367 | ||||
*,^ | Air France-KLM ADR | 13,668,956 | 69,438 | ||||
* | Colfax Corp. | 2,186,100 | 56,380 | ||||
Westinghouse Air Brake Technologies Corp. | 972,837 | 54,887 | |||||
Ryder System Inc. | 1,533,347 | 54,280 | |||||
BWX Technologies Inc. | 895,700 | 47,526 | |||||
AMETEK Inc. | 559,600 | 46,934 | |||||
Eaton Corp. plc | 531,700 | 44,397 | |||||
Acuity Brands Inc. | 432,200 | 37,424 | |||||
* | JELD-WEN Holding Inc. | 2,926,689 | 37,169 | ||||
*,^ | Avis Budget Group Inc. | 2,174,051 | 35,828 | ||||
Woodward Inc. | 530,300 | 32,115 | |||||
* | Aecom | 858,439 | 31,127 | ||||
Terex Corp. | 1,948,904 | 29,604 | |||||
Hexcel Corp. | 854,000 | 29,540 | |||||
Enerpac Tool Group Corp. Class A | 1,717,514 | 29,301 | |||||
Huntington Ingalls Industries Inc. | 147,400 | 28,214 | |||||
Donaldson Co. Inc. | 610,600 | 26,763 | |||||
Johnson Controls International plc | 868,101 | 25,270 | |||||
MSC Industrial Direct Co. Inc. Class A | 409,821 | 24,442 | |||||
Stanley Black & Decker Inc. | 201,256 | 22,178 | |||||
* | Gates Industrial Corp. plc | 2,362,339 | 20,293 | ||||
Steelcase Inc. Class A | 1,150,985 | 12,603 | |||||
Triton International Ltd. | 211,500 | 6,552 | |||||
1,096,323 | |||||||
Information Technology (10.4%) | |||||||
* | Arrow Electronics Inc. | 1,476,229 | 92,884 | ||||
* | Micron Technology Inc. | 1,622,300 | 77,692 | ||||
Avnet Inc. | 2,266,809 | 68,050 | |||||
TE Connectivity Ltd. | 735,100 | 54,001 | |||||
Amdocs Ltd. | 724,670 | 46,698 | |||||
MKS Instruments Inc. | 422,900 | 42,387 | |||||
Hewlett Packard Enterprise Co. | 3,638,701 | 36,605 | |||||
Genpact Ltd. | 672,204 | 23,144 | |||||
* | Flex Ltd. | 2,347,107 | 22,908 | ||||
KBR Inc. | 1,032,981 | 20,928 | |||||
Leidos Holdings Inc. | 182,000 | 17,983 | |||||
Juniper Networks Inc. | 829,020 | 17,907 | |||||
* | Celestica Inc. | 2,485,719 | 15,486 | ||||
Jabil Inc. | 349,822 | 9,949 | |||||
546,622 | |||||||
Materials (10.3%) | |||||||
Gold Fields Ltd. ADR | 14,704,030 | 107,928 | |||||
*,1 | IAMGOLD Corp. | 29,771,833 | 104,499 | ||||
* | Kinross Gold Corp. | 8,583,532 | 56,737 | ||||
Mosaic Co. | 4,715,300 | 54,273 | |||||
Reliance Steel & Aluminum Co. | 446,400 | 39,989 | |||||
Olin Corp. | 2,826,148 | 37,729 | |||||
Dow Inc. | 952,621 | 34,952 | |||||
* | Axalta Coating Systems Ltd. | 1,478,200 | 29,180 | ||||
Schweitzer-Mauduit International Inc. | 779,922 | 25,129 | |||||
Domtar Corp. | 945,000 | 22,075 | |||||
* | Equinox Gold Corp. | 2,246,683 | 18,771 | ||||
* | Alcoa Corp. | 1,226,700 | 9,998 | ||||
* | Leagold Mining Corp Warrants Exp. 05/29/2020 | 2,944,713 | 316 | ||||
541,576 |
5
Selected Value Fund
Market | ||||||
Value* | ||||||
Shares | ($000 | ) | ||||
Real Estate (1.4%) | ||||||
* | CBRE Group Inc. Class A | 846,900 | 36,357 | |||
Park Hotels & Resorts Inc. | 1,249,073 | 11,879 | ||||
Service Properties Trust | 1,368,382 | 9,483 | ||||
* | Howard Hughes Corp. | 160,000 | 8,666 | |||
Realogy Holdings Corp. | 1,286,639 | 5,584 | ||||
71,969 | ||||||
Utilities (2.6%) | ||||||
Edison International | 957,359 | 56,206 | ||||
Avangrid Inc. | 1,058,351 | 45,509 | ||||
Entergy Corp. | 200,661 | 19,165 | ||||
Xcel Energy Inc. | 291,861 | 18,551 | ||||
139,431 | ||||||
Total Common Stocks (Cost $6,324,296) | 4,956,194 | |||||
Temporary Cash Investments (6.5%) | ||||||
Money Market Fund (6.2%) | ||||||
2,3 | Vanguard Market Liquidity Fund 0.522% | 3,245,365 | 324,537 | |||
Face | ||||||
Amount | ||||||
($000 | ) | |||||
U.S. Government and Agency Obligations (0.3%) | ||||||
4 | United States Cash Management Bill, 0.116%, 9/29/20 | 7,800 | 7,796 | |||
4 | United States Cash Management Bill, 0.210%, 9/15/20 | 920 | 920 | |||
4 | United States Treasury Bill, 0.120%, 7/30/20 | 1,750 | 1,749 | |||
4 | United States Treasury Bill, 1.551%, 5/14/20 | 4,600 | 4,600 | |||
15,065 | ||||||
Total Temporary Cash Investments (Cost $339,535) | 339,602 | |||||
Total Investments (100.7%) (Cost $6,663,831) | 5,295,796 | |||||
Other Assets and Liabilities— Net (-0.7%)3 | (35,915 | ) | ||||
Net Assets (100%) | 5,259,881 |
Cost rounded to $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 $23,965,000. |
1 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
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 $27,639,000 was received for securities on loan, of which $27,636,000 is held in Vanguard Market Liquidity Fund and $3,000 is held in cash. |
4 | Securities with a value of $13,514,000 have been segregated as initial margin for open futures contracts. |
ADR—American Depositary Receipt.
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 | |||||||||
E-mini S&P 500 Index | June 2020 | 1,100 | 159,632 | 6,859 |
See accompanying Notes, which are an integral part of the Financial Statements.
6
Selected Value Fund
Statement of Assets and Liabilities | ||
As of April 30, 2020 | ||
($000s, except shares and per-share amounts) | Amount | |
Assets | ||
Investments in Securities, at Value | ||
Unaffiliated Issuers (Cost $6,232,625) | 4,866,760 | |
Affiliated Issuers (Cost $431,206) | 429,036 | |
Total Investments in Securities | 5,295,796 | |
Cash | 3 | |
Investment in Vanguard | 239 | |
Receivables for Investment Securities Sold | 10,755 | |
Receivables for Accrued Income | 1,951 | |
Receivables for Capital Shares Issued | 3,235 | |
Total Assets | 5,311,979 | |
Liabilities | ||
Due to Custodian | 6 | |
Payables for Investment Securities Purchased | 8,180 | |
Collateral for Securities on Loan | 27,639 | |
Payable to Investment Advisor | 2,265 | |
Payables for Capital Shares Redeemed | 8,541 | |
Payables to Vanguard | 3,312 | |
Variation Margin Payable—Futures Contracts | 2,152 | |
Other Liabilities | 3 | |
Total Liabilities | 52,098 | |
Net Assets | 5,259,881 | |
At April 30, 2020, net assets consisted of: | ||
Paid-in Capital | 5,756,622 | |
Total Distributable Earnings (Loss) | (496,741 | ) |
Net Assets | 5,259,881 | |
Net Assets | ||
Applicable to 269,425,599 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,259,881 | |
Net Asset Value Per Share | $19.52 |
See accompanying Notes, which are an integral part of the Financial Statements.
7 |
Selected Value Fund
Statement of Operations
Six Months Ended | ||
April 30, 2020 | ||
($000 | ) | |
Investment Income | ||
Income | ||
Dividends—Unaffiliated Issuers1 | 60,863 | |
Dividends—Affiliated Issuers | — | |
Interest—Unaffiliated Issuers | 65 | |
Interest—Affiliated Issuers | 2,921 | |
Securities Lending—Net | 336 | |
Total Income | 64,185 | |
Expenses | ||
Investment Advisory Fees—Note B | ||
Basic Fee | 7,050 | |
Performance Adjustment | (2,003 | ) |
The Vanguard Group—Note C | ||
Management and Administrative | 5,038 | |
Marketing and Distribution | 404 | |
Custodian Fees | 37 | |
Shareholders’ Reports | 60 | |
Trustees’ Fees and Expenses | 5 | |
Total Expenses | 10,591 | |
Expenses Paid Indirectly | (101 | ) |
Net Expenses | 10,490 | |
Net Investment Income | 53,695 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold—Unaffiliated Issuers | 838,870 | |
Investment Securities Sold—Affiliated Issuers | (8,309 | ) |
Futures Contracts | 13,737 | |
Foreign Currencies | (32 | ) |
Realized Net Gain (Loss) | 844,266 | |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities—Unaffiliated Issuers | (2,675,969 | ) |
Investment Securities—Affiliated Issuers | 14,054 | |
Futures Contracts | 3,642 | |
Change in Unrealized Appreciation (Depreciation) | (2,658,273 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,760,312 | ) |
1 | Dividends are net of foreign withholding taxes of $397,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
8 |
Selected Value Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |||||
April 30, | October 31, | |||||
2020 | 2019 | |||||
($000 | ) | ($000 | ) | |||
Increase (Decrease) in Net Assets | ||||||
Operations | ||||||
Net Investment Income | 53,695 | 153,096 | ||||
Realized Net Gain (Loss) | 844,266 | 477,469 | ||||
Change in Unrealized Appreciation (Depreciation) | (2,658,273 | ) | 301,384 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,760,312 | ) | 931,949 | |||
Distributions1 | ||||||
Total Distributions | (563,718 | ) | (820,440 | ) | ||
Capital Share Transactions | ||||||
Issued | 418,459 | 750,115 | ||||
Issued in Lieu of Cash Distributions | 520,183 | 757,580 | ||||
Redeemed | (1,247,082 | ) | (2,537,860 | ) | ||
Net Increase (Decrease) from Capital Share Transactions | (308,440 | ) | (1,030,165 | ) | ||
Total Increase (Decrease) | (2,632,470 | ) | (918,656 | ) | ||
Net Assets | ||||||
Beginning of Period | 7,892,351 | 8,811,007 | ||||
End of Period | 5,259,881 | 7,892,351 |
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.
9 |
Selected Value Fund
Financial Highlights
Six Months | ||||||||||||||||||
Ended | ||||||||||||||||||
For a Share Outstanding | April 30, | Year Ended October 31, | ||||||||||||||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||
Net Asset Value, Beginning of Period | $27.59 | $27.38 | $33.15 | $27.24 | $28.15 | $29.49 | ||||||||||||
Investment Operations | ||||||||||||||||||
Net Investment Income | .1891 | .4931 | .4931 | .4491 | .5271 | .478 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (6.244 | ) | 2.392 | (3.153 | ) | 6.760 | .030 | (.245 | ) | |||||||||
Total from Investment Operations | (6.055 | ) | 2.885 | (2.660 | ) | 7.209 | .557 | .233 | ||||||||||
Distributions | ||||||||||||||||||
Dividends from Net Investment Income | (.450 | ) | (.506 | ) | (.423 | ) | (.501 | ) | (.443 | ) | (.404 | ) | ||||||
Distributions from Realized Capital Gains | (1.565 | ) | (2.169 | ) | (2.687 | ) | (.798 | ) | (1.024 | ) | (1.169 | ) | ||||||
Total Distributions | (2.015 | ) | (2.675 | ) | (3.110 | ) | (1.299 | ) | (1.467 | ) | (1.573 | ) | ||||||
Net Asset Value, End of Period | $19.52 | $27.59 | $27.38 | $33.15 | $27.24 | $28.15 | ||||||||||||
Total Return2 | -23.95% | 12.51% | -9.15% | 27.17% | 2.20% | 0.88% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Net Assets, End of Period (Millions) | $5,260 | $7,892 | $8,811 | $10,574 | $8,802 | $9,663 | ||||||||||||
Ratio of Total Expenses to Average Net Assets3 | 0.31% | 0.33% | 0.36% | 0.39% | 0.35% | 0.39% | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.64% | 1.89% | 1.61% | 1.47% | 2.00% | 1.62% | ||||||||||||
Portfolio Turnover Rate | 69% | 31% | 31% | 22% | 27% | 24% |
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 | Includes performance-based investment advisory fee increases (decreases) of (0.06%), (0.06%), (0.02%), 0.00%, (0.04%), and (0.02%). |
See accompanying Notes, which are an integral part of the Financial Statements.
10 |
Selected Value Fund
Notes to Financial Statements
Vanguard Selected Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. 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 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
11
Selected Value Fund
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 April 30, 2020, the fund’s average investments in long and short futures contracts represented 2% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. 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 (October 31, 2016–2019), and for the period ended April 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. 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.
6. 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.
7. 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, effective May 2020, an uncommitted
12
Selected Value Fund
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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. 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.
B. The investment advisory firms Pzena Investment Management, LLC, Donald Smith & Co., Inc., and, beginning December 2019, Cooke & Bieler, L.P., each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Pzena Investment Management, LLC, is subject to quarterly adjustments based on performance relative to the Russell Midcap Value Index for the preceding three years. The basic fee of Donald Smith & Co., Inc., is subject to quarterly adjustments based on performance relative to the MSCI Investable Market 2500 Index for the preceding five years. In accordance with the advisory contract entered into with Cooke & Bieler, L.P., beginning February 1, 2021, the investment advisory fee will be subject to quarterly adjustments based on performance relative to the Russell Midcap Value Index since January 31, 2020. Until November 2019, a portion of the fund was managed by Barrow, Hanley, Mewhinney
13
Selected Value Fund
& Strauss, LLC. The basic fee paid to Barrow, Hanley, Mewhinney & Strauss, LLC, was subject to quarterly adjustments based on performance relative to the Russell Midcap Value Index for the preceding three years.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended April 30, 2020, the aggregate investment advisory fee represented an effective annual basic rate of 0.20% of the fund’s average net assets, before a decrease of $2,003,000 (0.06%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution, and cash management 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard 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 April 30, 2020, the fund had contributed to Vanguard capital in the amount of $239,000, 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.
D. The fund has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the fund part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. The fund’s custodian bank has also agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended April 30, 2020, these arrangements reduced the fund’s management and administrative expenses by $101,000 and custodian fees by less than $1,000. The total expense reduction represented an effective annual rate of less than 0.01% of the fund’s average net assets.
E. 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.
14
Selected Value Fund
The following table summarizes the market value of the fund’s investments and derivatives as of April 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 | 4,955,878 | 316 | — | 4,956,194 | ||||
Temporary Cash Investments | 324,537 | 15,065 | — | 339,602 | ||||
Total | 5,280,415 | 15,381 | — | 5,295,796 | ||||
Derivative Financial Instruments | ||||||||
Liabilities | ||||||||
Futures Contracts1 | 2,152 | — | — | 2,152 |
1 Represents variation margin on the last day of the reporting period.
F. As of April 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 | 6,663,831 |
Gross Unrealized Appreciation | 420,797 |
Gross Unrealized Depreciation | (1,781,973) |
Net Unrealized Appreciation (Depreciation) | (1,361,176) |
G. During the six months ended April 30, 2020, the fund purchased $4,488,745,000 of investment securities and sold $5,168,561,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | ||||
April 30, 2020 | October 31, 2019 | ||||
Shares | Shares | ||||
(000 | ) | (000 | ) | ||
Issued | 18,777 | 29,246 | |||
Issued in Lieu of Cash Distributions | 19,338 | 33,010 | |||
Redeemed | (54,703 | ) | (98,003 | ) | |
Net Increase (Decrease) in Shares Outstanding | (16,588 | ) | (35,747 | ) |
15
Selected Value Fund
I. Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:
Current Period Transactions | ||||||||||||||||
Oct. 31, | Proceeds | Realized | Apr. 30, | |||||||||||||
2019 | from | Net | Change in | Capital Gain | 2020 | |||||||||||
Market | Purchases | Securities | Gain | Unrealized | Distributions | Market | ||||||||||
Value | at Cost | Sold | (Loss | ) | App. (Dep. | ) | Income | Received | Value | |||||||
($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |
IAMGOLD Corp. | 117,209 | — | 3,989 | (4,569 | ) | (4,152 | ) | — | — | 104,499 | ||||||
SeaWorld Entertainment Inc. | 110,455 | 8,385 | 133,259 | (3,731 | ) | 18,150 | — | — | — | |||||||
Vanguard Market Liquidity Fund | 317,137 | NA1 | NA1 | (9 | ) | 56 | 2,921 | — | 324,537 | |||||||
Total | 544,801 | (8,309 | ) | 14,054 | 2,921 | — | 429,036 |
1 Not applicable—purchases and sales are for temporary cash investment purposes.
J. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
16
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Selected Value Fund has renewed the fund’s investment advisory arrangements with Donald Smith & Co., Inc. (Donald Smith & Co.), and Pzena Investment Management, LLC (Pzena). Effective November 2019, the board also approved a restructuring of the fund’s investment advisory arrangements whereby Cooke & Bieler, L.P. (C&B), has been added as an advisor, while Barrow, Hanley, Mewhinney & Strauss, LLC, has been removed as an advisor. The board determined that the foregoing actions were in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of each 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 advisors 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 considered the quality of the investment management services to be provided to the fund by C&B, reviewed the quality of the investment management services provided by Donald Smith & Co. and Pzena over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
C&B. Founded in 1949, C&B is an independently owned investment boutique with assets across five domestic value strategies focused on distinct market-capitalization segments. C&B employs a stock selection process that focuses on market inefficiency and edge and evidence. The advisor believes that preserving capital by investing in high-quality companies with strong fundamentals, combined with an investment culture that allows for decision-making autonomy in a collaborative, multicounselor environment, will lead the strategy to outperform over market cycles. This quality value focus has been the hallmark of C&B’s process for more than six decades. C&B has managed a portion of the fund since December 2019.
17
Donald Smith & Co. Founded in 1983, Donald Smith & Co. is a deep-value-oriented firm that manages large-, mid-, and small-capitalization value portfolios. Donald Smith & Co. employs a strictly bottom-up approach, focusing on companies in the bottom decile of price-to-tangible-book value in the benchmark. The advisor uses fundamental analysis to invest in those companies that it considers to be inexpensive relative to their estimate of normalized earnings power and to have solid balance sheets and asset quality. Donald Smith & Co. has managed a portion of the fund since 2005.
Pzena. Founded in 1995, Pzena is a global investment management firm that employs a deep-value investment approach. Pzena uses in-depth fundamental research to identify companies that are temporarily underperforming their long-term earnings power. Companies are purchased when Pzena judges that: (1) the company’s problems are temporary; (2) management has a viable strategy to generate recovery; and (3) there is meaningful downside protection in case the earnings recovery does not materialize. Pzena has managed a portion of the fund since 2014.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted approval or continuation, as applicable, of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of Donald Smith & Co.’s and Pzena’s subportfolios, 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 the advisory arrangements should continue. The board also concluded that C&B has a track record of consistent performance and disciplined investment processes.
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 Donald Smith & Co.’s and Pzena’s advisory fee rates were also well below the peer-group average. The board also concluded that the advisory fee rate to be paid to C&B is well below the fund’s peer-group average.
The board did not consider the profitability of C&B, Donald Smith & Co., or Pzena in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for C&B, Donald Smith & Co., and Pzena. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
18
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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Selected Value 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.
19
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All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q9342 062020
Semiannual Report | April 30, 2020 | |
Vanguard Mid-Cap Growth 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.
Contents | |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangements | 16 |
Liquidity Risk Management | 18 |
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.
1
Six Months Ended April 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Mid-Cap Growth Fund | 10/31/2019 | 4/30/2020 | Period |
Based on Actual Fund Return | $1,000.00 | $954.84 | $1.70 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,023.12 | 1.76 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.35%. 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).
2
Mid-Cap Growth Fund
Fund Allocation
As of April 30, 2020
Communication Services | 4.6 | % |
Consumer Discretionary | 14.2 | |
Consumer Staples | 1.8 | |
Financials | 5.6 | |
Health Care | 19.1 | |
Industrials | 15.6 | |
Information Technology | 34.4 | |
Materials | 3.0 | |
Real Estate | 1.7 |
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 report-ing 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.
3
Mid-Cap Growth Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | ||||
Value• | ||||
Shares | ($000) | |||
Common Stocks (96.7%) | ||||
Communication Services (4.5%) | ||||
* | Twitter Inc. | 2,044,009 | 58,622 | |
* | Take-Two Interactive Software Inc. | 346,438 | 41,936 | |
* | Live Nation Entertainment Inc. | 737,614 | 33,097 | |
* | Electronic Arts Inc. | 228,968 | 26,162 | |
^ | Match Group Inc. | 237,890 | 18,308 | |
178,125 | ||||
Consumer Discretionary (13.8%) | ||||
Dollar General Corp. | 601,957 | 105,523 | ||
* | O’Reilly Automotive Inc. | 159,527 | 61,632 | |
* | Burlington Stores Inc. | 297,650 | 54,378 | |
*,^ | Eldorado Resorts Inc. | 1,369,550 | 29,363 | |
Pool Corp. | 137,400 | 29,082 | ||
* | Lululemon Athletica Inc. | 129,268 | 28,889 | |
* | Bright Horizons Family Solutions Inc. | 243,246 | 28,326 | |
Domino’s Pizza Inc. | 67,697 | 24,501 | ||
Hasbro Inc. | 314,110 | 22,682 | ||
* | Chipotle Mexican Grill Inc. | 23,790 | 20,901 | |
* | Grand Canyon Education Inc. | 198,410 | 17,067 | |
Hilton Worldwide Holdings Inc. | 202,170 | 15,306 | ||
Yum! Brands Inc. | 167,189 | 14,450 | ||
Ross Stores Inc. | 146,782 | 13,410 | ||
* | Planet Fitness Inc. Class A | 216,580 | 13,066 | |
* | Floor & Decor Holdings Inc. Class A | 303,523 | 12,869 | |
*,^ | Mattel Inc. | 1,313,515 | 11,454 | |
Advance Auto Parts Inc. | 78,208 | 9,456 | ||
Wendy’s Co. | 460,150 | 9,139 | ||
* | Etsy Inc. | 111,226 | 7,215 | |
Aramark | 257,401 | 7,030 | ||
Vail Resorts Inc. | 40,631 | 6,948 | ||
* | Under Armour Inc. Class A | 539,907 | 5,626 | |
548,313 | ||||
Consumer Staples (1.7%) | ||||
Church & Dwight Co. Inc. | 525,930 | 36,810 | ||
* | Post Holdings Inc. | 226,610 | 20,814 | |
Lamb Weston Holdings Inc. | 179,310 | 11,002 | ||
68,626 | ||||
Financials (5.4%) | ||||
Aon plc | 275,808 | 47,624 | ||
MSCI Inc. Class A | 143,961 | 47,075 | ||
Moody’s Corp. | 136,756 | 33,355 | ||
KKR & Co. Inc. Class A | 1,221,072 | 30,783 | ||
Nasdaq Inc. | 218,770 | 23,993 | ||
Hamilton Lane Inc. Class A | 182,818 | 11,856 | ||
MarketAxess Holdings Inc. | 24,930 | 11,343 | ||
*,^ | LendingTree Inc. | 36,320 | 9,057 | |
215,086 | ||||
Health Care (18.5%) | ||||
* | DexCom Inc. | 193,935 | 65,007 | |
* | Insulet Corp. | 267,259 | 53,377 | |
Cooper Cos. Inc. | 171,310 | 49,115 | ||
* | Seattle Genetics Inc. | 281,688 | 38,656 | |
* | IQVIA Holdings Inc. | 229,470 | 32,720 | |
* | IDEXX Laboratories Inc. | 116,834 | 32,433 | |
Teleflex Inc. | 94,035 | 31,539 | ||
* | Incyte Corp. | 314,967 | 30,760 | |
West Pharmaceutical Services Inc. | 155,120 | 29,358 | ||
* | Masimo Corp. | 113,090 | 24,191 | |
* | Exact Sciences Corp. | 296,434 | 23,412 | |
* | Centene Corp. | 351,273 | 23,388 | |
Encompass Health Corp. | 348,720 | 23,103 | ||
* | Veeva Systems Inc. Class A | 112,440 | 21,454 | |
* | BioMarin Pharmaceutical Inc. | 213,239 | 19,622 | |
ResMed Inc. | 124,823 | 19,387 | ||
Humana Inc. | 49,255 | 18,806 | ||
* | Bluebird Bio Inc. | 277,074 | 14,929 |
4
Mid-Cap Growth Fund
Market | ||||
Value• | ||||
Shares | ($000) | |||
* | Edwards Lifesciences Corp. | 61,488 | 13,374 | |
* | Mettler-Toledo International Inc. | 17,101 | 12,312 | |
* | Horizon Therapeutics plc | 328,350 | 11,834 | |
* | Alcon Inc. | 208,728 | 11,023 | |
*,^ | GW Pharmaceuticals plc ADR | 106,620 | 10,677 | |
* | 10X Genomics Inc. Class A | 133,000 | 10,623 | |
STERIS plc | 74,423 | 10,605 | ||
* | Molina Healthcare Inc. | 61,455 | 10,077 | |
* | Apellis Pharmaceuticals Inc. | 293,950 | 10,074 | |
* | Neurocrine Biosciences Inc. | 101,500 | 9,961 | |
Agilent Technologies Inc. | 120,337 | 9,225 | ||
* | Ascendis Pharma A/S ADR | 67,500 | 9,162 | |
* | Fate Therapeutics Inc. | 323,010 | 8,844 | |
* | Penumbra Inc. | 46,461 | 8,238 | |
* | ABIOMED Inc. | 39,692 | 7,591 | |
* | Illumina Inc. | 23,302 | 7,434 | |
* | Varian Medical Systems Inc. | 64,966 | 7,431 | |
* | ACADIA Pharmaceuticals Inc. | 146,065 | 7,056 | |
* | Sage Therapeutics Inc. | 179,040 | 6,979 | |
ICON plc | 18,552 | 2,977 | ||
736,754 | ||||
Industrials (15.1%) | ||||
L3Harris Technologies Inc. | 403,073 | 78,075 | ||
IHS Markit Ltd. | 995,819 | 67,019 | ||
BWX Technologies Inc. | 522,724 | 27,736 | ||
TransUnion | 351,913 | 27,727 | ||
* | Generac Holdings Inc. | 282,240 | 27,501 | |
Trane Technologies plc | 306,910 | 26,830 | ||
Rockwell Automation Inc. | 135,606 | 25,695 | ||
Waste Connections Inc. | 295,976 | 25,427 | ||
Knight-Swift Transportation Holdings Inc. | 676,285 | 25,144 | ||
Cintas Corp. | 109,611 | 24,315 | ||
* | CoStar Group Inc. | 31,900 | 20,679 | |
IDEX Corp. | 130,810 | 20,096 | ||
* | FTI Consulting Inc. | 156,740 | 19,962 | |
Verisk Analytics Inc. Class A | 122,120 | 18,664 | ||
Quanta Services Inc. | 477,708 | 17,369 | ||
Old Dominion Freight Line Inc. | 115,950 | 16,846 | ||
AMETEK Inc. | 197,770 | 16,587 | ||
HEICO Corp. Class A | 223,880 | 16,193 | ||
* | Stericycle Inc. | 323,538 | 15,789 | |
Nordson Corp. | 94,330 | 15,179 | ||
Jacobs Engineering Group Inc. | 142,545 | 11,796 | ||
* | Trex Co. Inc. | 111,180 | 10,587 | |
JB Hunt Transport Services Inc. | 103,874 | 10,504 | ||
Roper Technologies Inc. | 27,528 | 9,388 | ||
* | Kirby Corp. | 164,489 | 8,787 | |
Masco Corp. | 209,467 | 8,597 | ||
Hexcel Corp. | 226,539 | 7,836 | ||
600,328 | ||||
Information Technology (33.3%) | ||||
* | RingCentral Inc. Class A | 486,050 | 111,077 | |
Global Payments Inc. | 585,373 | 97,184 | ||
Lam Research Corp. | 262,849 | 67,100 | ||
* | Advanced Micro Devices Inc. | 1,228,834 | 64,379 | |
* | Square Inc. | 844,369 | 55,002 | |
Amphenol Corp. Class A | 556,764 | 49,140 | ||
Marvell Technology Group Ltd. | 1,793,714 | 47,964 | ||
Monolithic Power Systems Inc. | 229,860 | 45,951 | ||
* | Fiserv Inc. | 424,170 | 43,715 | |
Microchip Technology Inc. | 432,826 | 37,972 | ||
* | DocuSign Inc. Class A | 345,142 | 36,154 | |
Leidos Holdings Inc. | 330,604 | 32,667 | ||
* | Paycom Software Inc. | 123,182 | 32,153 | |
* | Dropbox Inc. Class A | 1,457,662 | 30,640 | |
Jack Henry & Associates Inc. | 186,450 | 30,494 | ||
* | Splunk Inc. | 204,452 | 28,697 | |
* | Wix.com Ltd. | 219,040 | 28,653 | |
* | Fair Isaac Corp. | 77,330 | 27,293 | |
* | Synopsys Inc. | 165,760 | 26,044 | |
* | Coupa Software Inc. | 147,894 | 26,043 | |
* | Twilio Inc. Class A | 225,160 | 25,285 | |
* | GoDaddy Inc. Class A | 355,599 | 24,689 | |
* | Trimble Inc. | 683,560 | 23,672 | |
* | Proofpoint Inc. | 190,090 | 23,140 | |
* | Black Knight Inc. | 317,708 | 22,421 | |
KLA Corp. | 136,465 | 22,392 | ||
* | Atlassian Corp. plc Class A | 143,694 | 22,343 | |
Booz Allen Hamilton Holding Corp. Class A | 272,584 | 20,018 | ||
* | Autodesk Inc. | 104,908 | 19,631 | |
* | Keysight Technologies Inc. | 194,590 | 18,830 | |
* | Guidewire Software Inc. | 201,538 | 18,308 | |
* | MongoDB Inc. | 111,983 | 18,156 | |
Genpact Ltd. | 517,283 | 17,810 |
5
Mid-Cap Growth Fund
Market | ||||
Value• | ||||
Shares | ($000) | |||
* | Five9 Inc. | 173,074 | 16,039 | |
* | Zendesk Inc. | 188,250 | 14,473 | |
* | Euronet Worldwide Inc. | 139,991 | 12,846 | |
SS&C Technologies Holdings Inc. | 222,524 | 12,274 | ||
Xilinx Inc. | 119,311 | 10,428 | ||
* | Cree Inc. | 233,318 | 10,063 | |
* | Okta Inc. | 63,580 | 9,620 | |
CDW Corp. | 84,395 | 9,351 | ||
KBR Inc. | 429,434 | 8,700 | ||
* | Tyler Technologies Inc. | 26,890 | 8,623 | |
* | Ceridian HCM Holding Inc. | 106,922 | 6,305 | |
* | Avalara Inc. | 68,378 | 6,111 | |
*,^ | Slack Technologies Inc. Class A | 188,360 | 5,027 | |
1,324,877 | ||||
Materials (2.8%) | ||||
FMC Corp. | 433,646 | 39,852 | ||
Ball Corp. | 442,720 | 29,038 | ||
Sherwin-Williams Co. | 48,905 | 26,231 | ||
Vulcan Materials Co. | 168,382 | 19,022 | ||
114,143 | ||||
Real Estate (1.6%) | ||||
SBA Communications Corp. Class A | 220,678 | 63,979 | ||
Total Common Stocks | ||||
(Cost $3,343,477) | 3,850,231 | |||
Temporary Cash Investments (5.5%) | ||||
Money Market Fund (5.3%) | ||||
1,2 | Vanguard Market Liquidity Fund, 0.522% | 2,118,687 | 211,867 | |
Face | Market | |||
Amount | Value• | |||
($000) | ($000) | |||
U.S. Government and Agency Obligations (0.2%) | ||||
3 | United States Cash Management Bill, 0.100%–0.103%, 7/14/20 | 1,570 | 1,570 | |
3 | United States Cash Management Bill, 0.210%, 9/15/20 | 1,080 | 1,080 | |
United States Cash Management Bill, 0.116%, 9/29/20 | 1,900 | 1,899 | ||
3 | United States Treasury Bill, 1.551%, 5/14/20 | 1,400 | 1,400 | |
3 | United States Treasury Bill, 0.087%, 9/24/20 | 500 | 500 | |
6,449 | ||||
Total Temporary Cash Investments | ||||
(Cost $218,247) | 218,316 | |||
Total Investments (102.2%) | ||||
(Cost $3,561,724) | 4,068,547 | |||
Other Assets and Liabilities—Net (-2.2%)2,3 | (88,065) | |||
Net Assets (100%) | 3,980,482 |
Cost rounded to $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 $67,011,000. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
2 | Collateral of $71,781,000 was received for securities on loan, of which $68,545,000 is held in Vanguard Market Liquidity Fund and $3,236,000 is held in cash. |
3 | Securities with a value of $4,550,000 and cash of $3,738,000 have been segregated as initial margin for open futures contracts. ADR—American Depositary Receipt. |
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 | |||||
E-mini S&P 500 Index | June 2020 | 620 | 89,974 | 7,855 |
See accompanying Notes, which are an integral part of the Financial Statements.
6
Mid-Cap Growth Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,349,919) | 3,856,680 |
Affiliated Issuers (Cost $211,805) | 211,867 |
Total Investments in Securities | 4,068,547 |
Investment in Vanguard | 181 |
Cash | 3,236 |
Cash Collateral Pledged—Futures Contracts | 3,738 |
Receivables for Investment Securities Sold | 28,379 |
Receivables for Accrued Income | 631 |
Receivables for Capital Shares Issued | 2,098 |
Total Assets | 4,106,810 |
Liabilities | |
Payables for Investment Securities Purchased | 39,081 |
Collateral for Securities on Loan | 71,781 |
Payables to Investment Advisor | 1,366 |
Payables for Capital Shares Redeemed | 11,047 |
Payables to Vanguard | 1,722 |
Variation Margin Payable—Futures Contracts | 1,331 |
Total Liabilities | 126,328 |
Net Assets | 3,980,482 |
At April 30, 2020, net assets consisted of: | |
Paid-in Capital | 3,472,754 |
Total Distributable Earnings (Loss) | 507,728 |
Net Assets | 3,980,482 |
Net Assets | |
Applicable to 165,045,712 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,980,482 |
Net Asset Value Per Share | $24.12 |
See accompanying Notes, which are an integral part of the Financial Statements.
7
Mid-Cap Growth Fund
Statement of Operations
Six Months Ended | |
April 30, 2020 | |
($000) | |
Investment Income | |
Income | |
Dividends | 13,710 |
Interest1 | 1,222 |
Securities Lending—Net | 213 |
Total Income | 15,145 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 4,142 |
Performance Adjustment | (972) |
The Vanguard Group—Note C | |
Management and Administrative | 4,059 |
Marketing and Distribution | 263 |
Custodian Fees | 17 |
Shareholders’ Reports | 32 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 7,545 |
Expenses Paid Indirectly | (123) |
Net Expenses | 7,422 |
Net Investment Income | 7,723 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 17,992 |
Futures Contracts | (23,026) |
Realized Net Gain (Loss) | (5,034) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (222,565) |
Futures Contracts | 7,086 |
Change in Unrealized Appreciation (Depreciation) | (215,479) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (212,790) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated companies of the fund were $1,188,000, ($76,000), and $52,000, respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
8
Mid-Cap Growth Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||
April 30, | October 31, | ||
2020 | 2019 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 7,723 | 12,097 | |
Realized Net Gain (Loss) | (5,034) | 495,739 | |
Change in Unrealized Appreciation (Depreciation) | (215,479) | 39,055 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (212,790) | 546,891 | |
Distributions | |||
Total Distributions1 | (446,385) | (480,130) | |
Capital Share Transactions | |||
Issued | 433,823 | 877,078 | |
Issued in Lieu of Cash Distributions | 427,134 | 461,067 | |
Redeemed | (757,488) | (1,029,526) | |
Net Increase (Decrease) from Capital Share Transactions | 103,469 | 308,619 | |
Total Increase (Decrease) | (555,706) | 375,380 | |
Net Assets | |||
Beginning of Period | 4,536,188 | 4,160,808 | |
End of Period | 3,980,482 | 4,536,188 |
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.
9
Mid-Cap Growth Fund
Financial Highlights
Six Months | |||||||||||||
Ended | |||||||||||||
For a Share Outstanding | April 30, | Year Ended October 31, | |||||||||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||
Net Asset Value, Beginning of Period | $27.93 | $28.08 | $26.51 | $21.75 | $24.88 | $26.40 | |||||||
Investment Operations | |||||||||||||
Net Investment Income | .046 | 1 | .074 | 1 | .114 | 1 | .093 | 1 | .147 | 2 | .064 | 3 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.068 | ) | 3.027 | 2.379 | 4.817 | (1.437 | ) | 1.625 | |||||
Total from Investment Operations | (1.022 | ) | 3.101 | 2.493 | 4.910 | (1.290 | ) | 1.689 | |||||
Distributions | |||||||||||||
Dividends from Net Investment Income | (.067 | ) | (.099 | ) | (.095 | ) | (.150 | ) | (.070 | ) | (.038 | ) | |
Distributions from Realized Capital Gains | (2.721 | ) | (3.152 | ) | (.828 | ) | — | (1.770 | ) | (3.171 | ) | ||
Total Distributions | (2.788 | ) | (3.251 | ) | (.923 | ) | (.150 | ) | (1.840 | ) | (3.209 | ) | |
Net Asset Value, End of Period | $24.12 | $27.93 | $28.08 | $26.51 | $21.75 | $24.88 | |||||||
Total Return4 | -4.52% | 13.56% | 9.61% | 22.69% | -5.49% | 6.68% | |||||||
Ratios/Supplemental Data | |||||||||||||
Net Assets, End of Period (Millions) | $3,980 | $4,536 | $4,161 | $4,240 | $3,980 | $4,317 | |||||||
Ratio of Total Expenses to Average Net Assets5 | 0.35% | 0.36% | 0.36% | 0.36% | 0.36% | 0.43% | |||||||
Ratio of Net Investment Income to Average Net Assets | 0.36% | 0.27% | 0.40% | 0.39% | 0.64%2 | 0.25%3 | |||||||
Portfolio Turnover Rate | 39% | 111% | 75% | 118% | 91% | 93% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 | Net investment income per share and the ratio of net investment income to average net assets include $.018 and 0.08%, respectively, resulting from a special dividend from TransDigm Group in October 2016. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.006 and 0.03%, respectively, resulting from a special dividend from Lazard Ltd. In February 2015. |
4 | 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. |
5 | Includes performance-based investment advisory fee increases (decreases) of (0.04%), (0.02%), (0.04%), (0.05%), (0.04%), and (0.01%). |
See accompanying Notes, which are an integral part of the Financial Statements.
10
Mid-Cap Growth Fund
Notes to Financial Statements
Vanguard Mid-Cap Growth Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. 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 at their fair values calculated according to procedures adopted by the board of trustees. 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 April 30, 2020, the fund’s average investments in long and short futures contracts represented 2% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
11
Mid-Cap Growth 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 (October 31, 2016–2019), and for the period ended April 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. 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.
6. 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, effective May 2020, 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.
12
Mid-Cap Growth Fund
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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. 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.
B. The investment advisory firms Victory Capital Management Inc., through its RS Investments franchise, Frontier Capital Management Co., LLC, and Wellington Management Company LLP, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Victory Capital Management Inc. is subject to quarterly adjustments based on performance relative to the Russell Midcap Growth Index for the preceding three years. The basic fees of Frontier Capital Management Co., LLC, and Wellington Management Company LLP are subject to quarterly adjustments based on performance relative to the Russell Midcap Growth Index since January 31, 2019.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended April 30, 2020, the aggregate investment advisory fee represented an effective annual basic rate of 0.19% of the fund’s average net assets, before a decrease of $972,000 (0.04%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution, and cash management 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard are generally settled twice a month.
13
Mid-Cap Growth Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At April 30, 2020, the fund had contributed to Vanguard capital in the amount of $181,000, representing less than 0.01% of the fund’s net assets and 0.07% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the fund part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. For the six months ended April 30, 2020, these arrangements reduced the fund’s expenses by $123,000 (an annual rate less than 0.01% of average net assets).
E. 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 April 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 | 3,850,231 | — | — | 3,850,231 |
Temporary Cash Investments | 211,867 | 6,449 | — | 218,316 |
Total | 4,062,098 | 6,449 | — | 4,068,547 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 1,331 | — | — | 1,331 |
1 Represents variation margin on the last day of the reporting period.
14
Mid-Cap Growth Fund
F. As of April 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 | 3,561,724 |
Gross Unrealized Appreciation | 729,045 |
Gross Unrealized Depreciation | (214,367) |
Net Unrealized Appreciation (Depreciation) | 514,678 |
G. During the six months ended April 30, 2020, the fund purchased $1,627,021,000 of investment securities and sold $1,911,102,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | ||
April 30, 2020 | October 31, 2019 | ||
Shares | Shares | ||
(000) | (000) | ||
Issued | 16,953 | 32,573 | |
Issued in Lieu of Cash Distributions | 16,192 | 20,099 | |
Redeemed | (30,483) | (38,454) | |
Net Increase (Decrease) in Shares Outstanding | 2,662 | 14,218 |
I. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
15
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Mid-Cap Growth Fund has renewed the fund’s investment advisory arrangements with Frontier Capital Management Co., LLC (Frontier Capital), Victory Capital Management Inc. (Victory Capital), and Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each 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 advisors 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 the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
Frontier Capital. Frontier Capital, a Boston-based investment management firm founded in 1980, is an affiliate of Affiliated Managers Group, Inc. Frontier Capital employs a fundamental, bottom-up, and research-intensive investment approach to select mid-capitalization growth stocks. Frontier Capital seeks companies with above-average mid-cap growth prospects and competitive advantages that will allow them to earn superior rates of return on capital over a business cycle. The approach attempts to balance growth prospects with reasonable valuation and is long-term in nature; investment time frames are typically three to five years. Frontier Capital has managed a portion of the fund since 2018.
Victory Capital. Victory Capital, a wholly owned subsidiary of Victory Capital Holdings, Inc., operates as a next-generation, integrated multi-boutique investment firm that comprises multiple investment teams, referred to as investment franchises, each of which uses an independent approach to investing. RS Investments, founded in 1986, is the franchise responsible for the day-to-day management of a portion of the Mid-Cap Growth Fund. RS Investments utilizes fundamental research to identify companies with sustainable growth trajectories. Risk management is integrated into the team’s process to mitigate the negative impact of any single position. Victory Capital, through its RS Investments franchise, has managed a portion of the fund since 2016.
16
Wellington Management. Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional managers. Wellington Management uses traditional methods of stock selection—fundamental research and analysis—to identify companies that it believes have above-average growth prospects. Wellington Management believes there is a short-term bias in equity markets that rewards near-term cyclical growth and creates opportunity for long-term growth. The team focuses on sustainable earnings power and develops bottom-up valuations based on return on investment capital forecasts, price-to-sales, and quantitative risk factors. Wellington Management seeks to control risk by emphasizing larger positions in established growth stocks and holding smaller positions in emerging names. Wellington Management has managed a portion of the fund since 2018.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each advisor’s subportfolio, 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 the advisory arrangements 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 fee rates were also well below the peer-group average.
The board did not consider the profitability of Frontier Capital, Victory Capital, or Wellington Management in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for Frontier Capital, Victory Capital, and Wellington Management. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
17
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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Mid-Cap Growth 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.
18
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Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273
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. | |
Q3012 062020 |
Semiannual Report | April 30, 2020
Vanguard International Explorer™ 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.
Contents |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Liquidity Risk Management | 23 |
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.
1
Six Months Ended April 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
International Explorer Fund | 10/31/2019 | 4/30/2020 | Period |
Based on Actual Fund Return | $1,000.00 | $845.42 | $1.74 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.97 | 1.91 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.38%. 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).
2
International Explorer Fund
Fund Allocation
As of April 30, 2020
Communication Services | 3.7% |
Consumer Discretionary | 15.1 |
Consumer Staples | 4.1 |
Energy | 0.2 |
Financials | 8.3 |
Health Care | 11.3 |
Industrials | 26.5 |
Information Technology | 17.9 |
Materials | 4.9 |
Real Estate | 5.8 |
Utilities | 2.2 |
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 report-ing 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.
3
International Explorer Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | |||||
Value· | |||||
Shares | ($000 | ) | |||
Common Stocks (95.9%) | |||||
Australia (4.0%) | |||||
Steadfast Group Ltd. | 4,691,904 | 9,265 | |||
Bravura Solutions Ltd. | 2,755,770 | 8,605 | |||
Iluka Resources Ltd. | 1,605,967 | 7,966 | |||
IPH Ltd. | 1,416,300 | 6,774 | |||
Link Administration Holdings Ltd. | 2,752,400 | 6,716 | |||
Challenger Ltd. | 2,093,400 | 6,667 | |||
^ | Bingo Industries Ltd. | 3,780,423 | 5,725 | ||
oOh!media Ltd. | 8,171,794 | 5,408 | |||
James Hardie Industries plc | 368,570 | 5,291 | |||
NRW Holdings Ltd. | 4,578,650 | 5,009 | |||
* | NEXTDC Ltd. | 822,366 | 4,693 | ||
AUB Group Ltd. | 604,869 | 4,584 | |||
Monadelphous Group Ltd. | 604,950 | 4,398 | |||
^,* | Nufarm Ltd. | 1,241,393 | 4,216 | ||
Ansell Ltd. | 200,767 | 3,703 | |||
Costa Group Holdings Ltd. | 1,166,949 | 2,180 | |||
91,200 | |||||
Austria (0.7%) | |||||
* | Andritz AG | 161,560 | 5,308 | ||
Wienerberger AG | 191,763 | 3,592 | |||
^ | Porr AG | 194,599 | 3,347 | ||
Schoeller-Bleckmann Oilfield Equipment AG | 63,088 | 1,864 | |||
Palfinger AG | 51,300 | 1,109 | |||
15,220 | |||||
Belgium (2.0%) | |||||
Barco NV | 153,349 | 24,463 | |||
Cie d’Entreprises CFE | 95,157 | 7,385 | |||
Warehouses De Pauw CVA | 171,240 | 4,698 | |||
* | Galapagos NV | 20,280 | 4,480 | ||
Shurgard Self Storage SA | 119,322 | 3,934 | |||
44,960 | |||||
Brazil (0.2%) | |||||
Odontoprev SA | 1,103,300 | 3,043 | |||
Linx SA | 508,200 | 2,029 | |||
5,072 | |||||
China (4.2%) | |||||
*, 1 | Tongcheng-Elong Holdings Ltd. | 5,295,200 | 8,929 | ||
Shenzhou International Group Holdings Ltd. | 663,800 | 7,661 | |||
1 | Topsports International Holdings Ltd. | 6,037,000 | 7,632 | ||
1 | A-Living Services Co. Ltd. Class H | 1,365,650 | 7,549 | ||
Li Ning Co. Ltd. | 2,381,500 | 7,520 | |||
Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 4,588,000 | 6,970 | |||
BEST Inc. ADR | 1,085,500 | 5,829 | |||
* | New Oriental Education & Technology Group Inc. ADR | 42,007 | 5,363 | ||
*,1 | Wuxi Biologics Cayman Inc. | 329,500 | 5,129 | ||
Zai Lab Ltd. ADR | 80,203 | 5,030 | |||
HUYA Inc. ADR | 304,100 | 4,936 | |||
Haitian International Holdings Ltd. | 2,547,000 | 4,507 | |||
Tencent Music Entertainment Group ADR | 351,559 | 4,011 | |||
Huazhu Group Ltd. ADR | 109,938 | 3,959 | |||
Chinasoft International Ltd. | 7,271,600 | 3,816 | |||
1 | WuXi AppTec Co. Ltd. Class H | 239,700 | 3,379 | ||
* | 51job Inc. ADR | 54,694 | 3,278 | ||
95,498 | |||||
Denmark (2.1%) | |||||
* | Royal Unibrew A/S | 290,520 | 22,477 | ||
Topdanmark A/S | 402,383 | 16,243 |
4
International Explorer Fund | |||||
Market | |||||
Value· | |||||
Shares | ($000 | ) | |||
SimCorp A/S | 47,000 | 4,341 | |||
*,1 | Netcompany Group A/S | 81,259 | 4,198 | ||
47,259 | |||||
Finland (0.3%) | |||||
Metso Oyj | 130,249 | 3,614 | |||
^ | Outotec Oyj | 690,588 | 2,878 | ||
6,492 | |||||
France (8.1%) | |||||
Rubis SCA | 736,182 | 32,983 | |||
Teleperformance | 92,396 | 20,698 | |||
Trigano SA | 214,204 | 15,763 | |||
* | Ubisoft Entertainment SA | 211,277 | 15,715 | ||
Kaufman & Broad SA | 385,917 | 13,947 | |||
Nexity SA | 453,710 | 13,917 | |||
Orpea | 112,700 | 12,536 | |||
* | ID Logistics Group | 52,074 | 9,694 | ||
* | Soitec | 96,438 | 8,868 | ||
Elis SA | 434,875 | 5,360 | |||
Imerys SA | 168,411 | 5,284 | |||
1 | Maisons du Monde SA | 534,701 | 4,810 | ||
^ | Tikehau Capital SCA | 194,060 | 4,535 | ||
^,*,1 | Smcp SA | 901,044 | 4,254 | ||
* | Virbac SA | 21,057 | 4,152 | ||
Gaztransport Et Technigaz SA | 44,500 | 3,226 | |||
1 | Elior Group SA | 479,903 | 3,170 | ||
* | Innate Pharma SA | 341,522 | 2,403 | ||
Solutions 30 SE | 135,200 | 1,601 | |||
Lisi | 46,300 | 749 | |||
183,665 | |||||
Germany (7.4%) | |||||
* | HelloFresh SE | 668,625 | 23,832 | ||
Grand City Properties SA | 805,000 | 16,834 | |||
^ | S&T AG (XETR) | 665,853 | 14,665 | ||
Gerresheimer AG | 168,940 | 13,436 | |||
Stabilus SA | 284,477 | 12,151 | |||
STRATEC SE | 117,050 | 11,085 | |||
1 | Befesa SA | 346,700 | 10,953 | ||
Deutsche Wohnen SE | 268,782 | 10,893 | |||
CTS Eventim AG & Co. KGaA | 225,082 | 9,357 | |||
New Work SE | 38,925 | 9,252 | |||
Aroundtown SA | 1,602,718 | 8,621 | |||
MorphoSys AG | 70,100 | 7,354 | |||
Nemetschek SE | 82,100 | 5,165 | |||
Stemmer Imaging AG | 243,070 | 4,827 | |||
LEG Immobilien AG | 32,821 | 3,768 | |||
* | S&T AG (XWBO) | 107,567 | 2,363 | ||
* | SAF-Holland SE | 386,638 | 1,990 | ||
^,* | Jumia Technologies AG ADR | 134,391 | 590 | ||
167,136 | |||||
Hong Kong (1.5%) | |||||
Techtronic Industries Co. Ltd. | 1,494,000 | 11,328 | |||
ASM Pacific Technology Ltd. | 1,014,600 | 10,252 | |||
Hang Lung Properties Ltd. | 2,555,000 | 5,466 | |||
Johnson Electric Holdings Ltd. | 2,646,625 | 4,444 | |||
1 | Crystal International Group Ltd. | 7,969,000 | 2,203 | ||
33,693 | |||||
India (0.5%) | |||||
Apollo Hospitals Enterprise Ltd. | 335,884 | 6,181 | |||
Gujarat Pipavav Port Ltd. | 6,724,221 | 5,117 | |||
11,298 | |||||
Ireland (2.5%) | |||||
Dalata Hotel Group plc | 5,319,441 | 17,239 | |||
Smurfit Kappa Group plc | 323,800 | 10,143 | |||
Flutter Entertainment plc | 81,186 | 9,984 | |||
Kingspan Group plc | 141,545 | 7,213 | |||
Irish Continental Group plc | 1,768,100 | 6,685 | |||
Glanbia plc (XDUB) | 289,779 | 3,084 | |||
Glanbia plc (XLON) | 132,020 | 1,409 | |||
55,757 | |||||
Italy (7.3%) | |||||
Cerved Group SPA | 3,429,461 | 23,363 | |||
Recordati SPA | 417,994 | 18,203 | |||
Banca Generali SPA | 593,700 | 14,760 | |||
FinecoBank Banca Fineco SPA | 1,234,000 | 13,749 | |||
Interpump Group SPA | 462,775 | 13,503 | |||
*,1 | Nexi SPA | 652,589 | 9,899 | ||
^ | Prada SpA | 2,686,700 | 8,723 | ||
Amplifon SPA | 376,400 | 8,616 | |||
Salvatore Ferragamo SPA | 668,403 | 8,298 | |||
1 | doValue SPA | 1,000,000 | 7,373 | ||
IMA Industria Macchine Automatiche SPA | 104,271 | 7,108 | |||
DiaSorin SPA | 39,495 | 6,735 | |||
Brunello Cucinelli SPA | 176,586 | 5,694 | |||
Autogrill SPA | 1,055,321 | 5,466 | |||
Buzzi Unicem SPA | 170,997 | 3,355 | |||
Tamburi Investment Partners SPA | 406,834 | 2,632 | |||
Moncler SPA | 69,429 | 2,611 | |||
^,*,1 | Ovs SpA | 2,089,685 | 1,801 | ||
Datalogic SPA | 119,400 | 1,638 | |||
1 | Piovan SPA | 325,000 | 1,459 | ||
164,986 |
5
International Explorer Fund | |||||
Market | |||||
Value· | |||||
Shares | ($000 | ) | |||
Japan (27.1%) | |||||
Disco Corp. | 111,100 | 24,810 | |||
Nippon Shinyaku Co. Ltd. | 293,370 | 20,602 | |||
GMO internet Inc. | 857,700 | 18,669 | |||
Nabtesco Corp. | 546,300 | 15,633 | |||
Digital Garage Inc. | 429,300 | 15,381 | |||
Kobe Bussan Co. Ltd. | 295,400 | 14,270 | |||
SBI Holdings Inc. | 750,400 | 14,015 | |||
Zenkoku Hosho Co. Ltd. | 479,855 | 13,982 | |||
Sugi Holdings Co. Ltd. | 229,300 | 13,827 | |||
Daifuku Co. Ltd. | 197,500 | 13,821 | |||
SCSK Corp. | 261,700 | 11,847 | |||
Sumitomo Forestry Co. Ltd. | 889,700 | 10,991 | |||
Nippon Densetsu Kogyo Co. Ltd. | 528,600 | 10,303 | |||
Nifco Inc. | 520,800 | 10,056 | |||
Sushiro Global Holdings Ltd. | 641,200 | 9,889 | |||
Aica Kogyo Co. Ltd. | 339,500 | 9,783 | |||
Tsuruha Holdings Inc. | 72,500 | 9,721 | |||
Toyo Tire Corp. | 824,500 | 9,654 | |||
Ai Holdings Corp. | 778,300 | 9,615 | |||
Kyowa Exeo Corp. | 376,800 | 9,180 | |||
Trusco Nakayama Corp. | 417,700 | 9,036 | |||
Elecom Co. Ltd. | 220,400 | 8,692 | |||
^ | Katitas Co. Ltd. | 494,900 | 8,637 | ||
Koito Manufacturing Co. Ltd. | 224,600 | 8,460 | |||
OBIC Business Consultants Co. Ltd. | 183,200 | 8,192 | |||
Kureha Corp. | 202,600 | 8,171 | |||
Nippon Gas Co. Ltd. | 242,500 | 7,997 | |||
NEC Networks & System Integration Corp. | 177,200 | 7,625 | |||
Yokogawa Bridge Holdings Corp. | 426,800 | 7,491 | |||
Miura Co. Ltd. | 173,700 | 7,167 | |||
JGC Holdings Corp. | 724,200 | 6,993 | |||
Glory Ltd. | 308,000 | 6,922 | |||
^ | Harmonic Drive Systems Inc. | 146,900 | 6,787 | ||
ABC-Mart Inc. | 124,900 | 6,347 | |||
Asahi Intecc Co. Ltd. | 237,506 | 6,292 | |||
Kyudenko Corp. | 222,830 | 6,248 | |||
en-japan Inc. | 282,500 | 6,227 | |||
Tokyo Ohka Kogyo Co. Ltd. | 143,080 | 6,154 | |||
Mirait Holdings Corp. | 450,700 | 5,822 | |||
KH Neochem Co. Ltd. | 324,500 | 5,606 | |||
Giken Ltd. | 147,700 | 5,395 | |||
TechnoPro Holdings Inc. | 94,300 | 5,372 | |||
Kissei Pharmaceutical Co. Ltd. | 225,400 | 5,345 | |||
Horiba Ltd. | 100,700 | 5,328 | |||
Musashi Seimitsu Industry Co. Ltd. | 644,100 | 5,215 | |||
^ | Aruhi Corp. | 450,600 | 5,209 | ||
Pigeon Corp. | 144,800 | 5,156 | |||
Shinmaywa Industries Ltd. | 479,400 | 4,869 | |||
Daibiru Corp. | 525,700 | 4,810 | |||
Hazama Ando Corp. | 768,300 | 4,785 | |||
Tri Chemical Laboratories Inc. | 52,700 | 4,682 | |||
Mani Inc. | 206,900 | 4,608 | |||
NGK Insulators Ltd. | 342,100 | 4,476 | |||
THK Co. Ltd. | 187,100 | 4,473 | |||
Ichigo Inc. | 1,702,530 | 4,360 | |||
EPS Holdings Inc. | 419,200 | 4,360 | |||
FP Corp. | 55,000 | 4,149 | |||
Ship Healthcare Holdings Inc. | 89,900 | 4,066 | |||
PALTAC Corp. | 74,100 | 3,870 | |||
Kenedix Inc. | 849,800 | 3,840 | |||
Arcs Co. Ltd. | 199,200 | 3,738 | |||
Ulvac Inc. | 135,100 | 3,724 | |||
Kanto Denka Kogyo Co. Ltd. | 456,300 | 3,628 | |||
Shinko Electric Industries Co. Ltd. | 283,900 | 3,544 | |||
Obara Group Inc. | 133,100 | 3,449 | |||
Maeda Corp. | 429,600 | 3,446 | |||
MISUMI Group Inc. | 144,400 | 3,430 | |||
IHI Corp. | 276,424 | 3,426 | |||
Iriso Electronics Co. Ltd. | 121,100 | 3,375 | |||
CKD Corp. | 199,300 | 3,323 | |||
Fukushima Galilei Co. Ltd. | 112,200 | 3,300 | |||
Kakaku.com Inc. | 161,200 | 3,289 | |||
Ibiden Co. Ltd. | 126,200 | 3,226 | |||
Japan Airport Terminal Co. Ltd. | 78,000 | 3,163 | |||
DMG Mori Co. Ltd. | 306,000 | 3,129 | |||
^ | Nittoku Co. Ltd. | 105,400 | 3,122 | ||
^ | Bank of Kyoto Ltd. | 90,200 | 3,087 | ||
San-In Godo Bank Ltd. | 587,000 | 3,079 | |||
Warabeya Nichiyo Holdings Co. Ltd. | 211,400 | 3,076 | |||
Benesse Holdings Inc. | 107,000 | 3,047 | |||
Nihon Parkerizing Co. Ltd. | 295,200 | 3,021 | |||
Asics Corp. | 311,500 | 2,954 | |||
ASKUL Corp. | 101,500 | 2,898 | |||
Comture Corp. | 143,800 | 2,895 | |||
Systena Corp. | 197,800 | 2,781 | |||
Rorze Corp. | 65,700 | 2,703 | |||
JSP Corp. | 205,800 | 2,656 | |||
Taiyo Yuden Co. Ltd. | 94,500 | 2,635 | |||
Japan Material Co. Ltd. | 177,600 | 2,571 |
6
International Explorer Fund | |||||
Market | |||||
Value· | |||||
Shares | ($000 | ) | |||
Ferrotec Holdings Corp. | 390,600 | 2,346 | |||
^,* | UT Group Co. Ltd. | 144,300 | 2,028 | ||
PeptiDream Inc. | 54,200 | 2,022 | |||
Alps Alpine Co. Ltd. | 161,100 | 1,662 | |||
Dip Corp. | 61,000 | 1,302 | |||
Tokyo Kiraboshi Financial Group Inc. | 130,745 | 1,272 | |||
Amada Co. Ltd. | 134,300 | 1,214 | |||
Jafco Co. Ltd. | 34,100 | 1,092 | |||
Nitta Corp. | 61,000 | 1,092 | |||
As One Corp. | 10,400 | 929 | |||
Kumiai Chemical Industry Co. Ltd. | 105,700 | 853 | |||
Hitachi Transport System Ltd. | 34,900 | 847 | |||
Nihon M&A Center Inc. | 25,700 | 838 | |||
Jamco Corp. | 117,900 | 716 | |||
615,211 | |||||
Mexico (0.5%) | |||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 907,132 | 5,669 | |||
Megacable Holdings SAB de CV | 1,621,000 | 4,040 | |||
Regional SAB de CV | 375,900 | 921 | |||
10,630 | |||||
Netherlands (2.2%) | |||||
Imcd NV | 123,171 | 10,877 | |||
1 | Marel HF | 2,327,279 | 9,976 | ||
TKH Group NV | 252,935 | 8,874 | |||
SIF Holding NV | 698,054 | 7,477 | |||
*,1 | Basic-Fit NV | 325,265 | 6,607 | ||
* | BE Semiconductor Industries NV | 158,949 | 6,578 | ||
50,389 | |||||
New Zealand (0.6%) | |||||
^,* | Xero Ltd. | 192,161 | 9,825 | ||
Fletcher Building Ltd. | 1,872,358 | 4,195 | |||
14,020 | |||||
Norway (1.7%) | |||||
Kongsberg Gruppen ASA | 1,315,810 | 16,909 | |||
TOMRA Systems ASA | 250,000 | 8,307 | |||
* | Borregaard ASA | 868,467 | 8,065 | ||
1 | Elkem ASA | 2,930,363 | 4,874 | ||
38,155 | |||||
Philippines (0.1%) | |||||
International Container Terminal Services Inc. | 2,029,840 | 3,550 | |||
Singapore (0.1%) | |||||
Venture Corp. Ltd. | 303,000 | 3,386 | |||
South Africa (0.2%) | |||||
§ | Reinet Investments SCA | 231,660 | 3,879 | ||
South Korea (1.0%) | |||||
Douzone Bizon Co. Ltd. | 103,477 | 7,499 | |||
Hanon Systems | 504,378 | 3,799 | |||
Koh Young Technology Inc. | 51,648 | 3,444 | |||
Korea Aerospace Industries Ltd. | 125,046 | 2,638 | |||
Hankook Tire & Technology Co. Ltd. | 147,228 | 2,583 | |||
Hansol Chemical Co. Ltd. | 34,100 | 2,410 | |||
22,373 | |||||
Spain (1.1%) | |||||
Prosegur Cia de Seguridad SA | 2,751,355 | 6,068 | |||
Viscofan SA | 76,400 | 4,896 | |||
*,1 | Aedas Homes SA | 286,367 | 4,381 | ||
1 | Prosegur Cash SA | 5,000,000 | 4,364 | ||
CIE Automotive SA | 202,157 | 3,522 | |||
1 | Global Dominion Access SA | 320,174 | 985 | ||
Melia Hotels International SA | 44,882 | 206 | |||
24,422 | |||||
Sweden (2.7%) | |||||
Loomis AB Class B | 596,564 | 14,548 | |||
Arjo AB | 2,791,495 | 13,787 | |||
Nordic Entertainment Group AB Class B | 413,900 | 9,810 | |||
Intrum AB | 516,600 | 7,875 | |||
Nibe Industrier AB Class B | 286,350 | 5,342 | |||
Modern Times Group MTG AB Class B | 357,800 | 3,600 | |||
Karnov Group AB | 616,500 | 3,382 | |||
Cellavision AB | 77,861 | 2,244 | |||
Troax Group AB | 133,800 | 1,532 | |||
*,§ | OW Bunker A/S | 1,000,000 | — | ||
62,120 | |||||
Switzerland (2.4%) | |||||
^ | OC Oerlikon Corp. AG | 1,411,720 | 10,602 | ||
Logitech International SA | 204,436 | 9,846 | |||
^,* | Comet Holding AG | 71,427 | 9,573 | ||
* | Julius Baer Group Ltd. | 236,982 | 9,308 | ||
Straumann Holding AG | 9,789 | 7,448 | |||
^ | Dufry AG | 117,293 | 3,841 | ||
1 | VAT Group AG | 17,500 | 2,888 | ||
Ascom Holding AG | 222,200 | 1,685 | |||
55,191 | |||||
Taiwan (2.2%) | |||||
Chroma ATE Inc. | 3,366,400 | 15,513 | |||
Ennoconn Corp. | 1,221,763 | 7,905 |
7
International Explorer Fund | |||||
Market | |||||
Value· | |||||
Shares | ($000 | ) | |||
Delta Electronics Inc. | 1,393,000 | 6,497 | |||
Nien Made Enterprise Co. Ltd. | 792,000 | 6,077 | |||
Voltronic Power Technology Corp. | 165,000 | 3,917 | |||
Realtek Semiconductor Corp. | 454,000 | 3,888 | |||
momo.com Inc. | 186,100 | 3,001 | |||
Accton Technology Corp. | 292,000 | 2,117 | |||
48,915 | |||||
United Arab Emirates (0.0%) | |||||
* | Lamprell plc | 400,000 | 60 | ||
United Kingdom (13.2%) | |||||
1 | ConvaTec Group plc | 4,492,025 | 11,998 | ||
Electrocomponents plc | 1,483,700 | 10,778 | |||
Bodycote plc | 1,361,200 | 9,958 | |||
Dunelm Group plc | 860,000 | 9,936 | |||
Abcam plc | 601,336 | 9,626 | |||
B&M European Value Retail SA | 2,281,183 | 9,540 | |||
Keywords Studios plc | 475,200 | 9,520 | |||
Halma plc | 340,000 | 8,939 | |||
Hill & Smith Holdings plc | 574,958 | 8,335 | |||
Dechra Pharmaceuticals plc | 235,000 | 8,180 | |||
Pets at Home Group plc | 2,400,000 | 7,684 | |||
St. James’s Place plc | 719,100 | 7,657 | |||
1 | Auto Trader Group plc | 1,278,600 | 7,360 | ||
Genus plc | 162,044 | 6,962 | |||
Keller Group plc | 874,865 | 6,759 | |||
Grainger plc | 2,000,000 | 6,720 | |||
Telecom Plus plc | 400,000 | 6,668 | |||
UDG Healthcare plc | 823,600 | 6,500 | |||
Volution Group plc | 2,981,451 | 6,201 | |||
Tyman plc | 2,863,567 | 6,068 | |||
Hikma Pharmaceuticals plc | 200,669 | 5,977 | |||
IG Group Holdings plc | 620,000 | 5,877 | |||
Segro plc | 541,202 | 5,673 | |||
Polypipe Group plc | 896,900 | 5,626 | |||
Renishaw plc | 125,000 | 5,533 | |||
QinetiQ Group plc | 1,400,000 | 5,354 | |||
1 | Trainline plc | 1,106,900 | 5,290 | ||
LondonMetric Property plc | 2,150,000 | 5,253 | |||
IWG plc | 1,750,000 | 5,233 | |||
Beazley plc | 1,053,198 | 5,208 | |||
Melrose Industries plc | 4,038,700 | 5,048 | |||
Cairn Homes plc | 4,989,248 | 4,638 | |||
Howden Joinery Group plc | 695,700 | 4,588 | |||
Safestore Holdings plc | 506,300 | 4,580 | |||
HomeServe plc | 320,000 | 4,483 | |||
Cranswick plc | 90,000 | 4,210 | |||
Next plc | 70,500 | 4,198 | |||
Redrow plc | 700,000 | 4,067 | |||
Ultra Electronics Holdings plc | 155,597 | 3,852 | |||
* | Calisen plc | 1,564,577 | 3,646 | ||
Rhi Magnesita NV | 118,258 | 3,633 | |||
Softcat plc | 244,299 | 3,469 | |||
Restaurant Group plc | 4,306,138 | 2,929 | |||
SSP Group plc | 736,850 | 2,604 | |||
Derwent London plc | 66,167 | 2,585 | |||
Great Portland Estates plc | 293,646 | 2,501 | |||
Rotork plc | 749,748 | 2,337 | |||
Clarkson plc | 71,855 | 2,256 | |||
James Fisher & Sons plc | 131,309 | 2,233 | |||
Bunzl plc | 100,000 | 2,171 | |||
Redde Northgate plc | 900,000 | 2,030 | |||
Vesuvius plc | 395,705 | 1,994 | |||
Investec plc | 750,000 | 1,539 | |||
Photo-Me International plc | 2,600,000 | 1,531 | |||
Elementis plc | 1,350,000 | 1,188 | |||
J D Wetherspoon plc | 65,648 | 781 | |||
299,504 | |||||
Total Common Stocks | |||||
(Cost $2,236,656) | 2,174,041 | ||||
Temporary Cash Investments (5.8%) | |||||
Money Market Fund (5.1%) | |||||
2,3 | Vanguard Market Liquidity Fund, 0.522% | 1,161,042 | 116,104 | ||
Face | |||||
Amount | |||||
($000 | ) | ||||
Repurchase Agreement (0.4%) | |||||
Goldman Sachs & Co., 0.030%, 5/1/20 (Dated 4/30/20, Repurchase Value $7,800,000 collateralized by Federal National Mortgage Assn. 4.000%, 8/1/49, with a value of $7,956,000) | 7,800 | 7,800 | |||
U.S. Government and Agency Obligations (0.3%) | |||||
4 | United States Cash Management Bill, 0.100%–0.103%, 7/14/20 | 1,410 | 1,410 |
8
International Explorer Fund | ||||||
Face | Market | |||||
Amount | Value· | |||||
($000 | ) | ($000 | ) | |||
4 | United States Cash Management Bill, 0.210%, 9/15/20 | 352 | 352 | |||
4 | United States Cash Management Bill, 0.116%, 9/29/20 | 2,400 | 2,399 | |||
4 | United States Treasury Bill, 0.120%, 7/30/20 | 2,750 | 2,749 | |||
6,910 | ||||||
Total Temporary Cash Investments | ||||||
(Cost $130,783) | 130,814 | |||||
Total Investments (101.7%) | ||||||
(Cost $2,367,439) | 2,304,855 | |||||
Other Assets and Liabilities—Net (-1.7%)2,5 | (38,492 | ) | ||||
Net Assets (100%) | 2,266,363 |
Cost rounded to $000.
• | See Note A in Notes to Financial Statements. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $46,565,000. |
* | Non-income-producing security. |
§ | 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 April 30, 2020, the aggregate value of these securities was $141,461,000, representing 6.2% of net assets. |
2 | Collateral of $51,597,000 was received for securities on loan. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Securities with a value of $6,731,000 have been segregated as initial margin for open futures contracts. |
5 | Cash of $347,000 has been segregated as collateral for open forward currency contracts. |
ADR—American Depositary Receipt. |
9
International Explorer 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 | ||||||||||
S&P ASX 200 Index | June 2020 | 197 | 17,780 | 881 | ||||||
Dow Jones EURO STOXX 50 Index | June 2020 | 508 | 16,072 | 485 | ||||||
Topix Index | June 2020 | 94 | 12,736 | 231 | ||||||
FTSE 100 Index | June 2020 | 119 | 8,821 | 169 | ||||||
1,766 |
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 | JPY | 4,793,528 | USD | 43,821 | 893 | — | ||||
Royal Bank of Canada | 7/2/20 | GBP | 23,177 | USD | 28,611 | 589 | — | ||||
Royal Bank of Canada | 7/2/20 | AUD | 35,916 | USD | 22,303 | 1,105 | — | ||||
Morgan Stanley Capital Services LLC | 7/2/20 | EUR | 19,416 | USD | 21,031 | 274 | — | ||||
Toronto-Dominion Bank | 7/2/20 | AUD | 28,028 | USD | 16,640 | 1,628 | — | ||||
Royal Bank of Canada | 7/2/20 | EUR | 14,862 | USD | 16,140 | 168 | — | ||||
Morgan Stanley Capital Services LLC | 7/2/20 | GBP | 12,762 | USD | 14,957 | 1,122 | — | ||||
Credit Suisse International | 7/2/20 | EUR | 7,644 | USD | 8,253 | 134 | — | ||||
Credit Suisse International | 7/2/20 | AUD | 12,755 | USD | 8,133 | 180 | — | ||||
Royal Bank of Canada | 7/2/20 | EUR | 6,456 | USD | 7,163 | — | (79 | ) | |||
JPMorgan Chase Bank, N.A. | 7/2/20 | JPY | 735,920 | USD | 6,870 | — | (6 | ) | |||
UBS AG | 7/2/20 | GBP | 5,357 | USD | 6,619 | 130 | — | ||||
JPMorgan Chase Bank, N.A. | 7/2/20 | JPY | 599,550 | USD | 5,579 | 13 | — | ||||
Goldman Sachs International | 7/2/20 | AUD | 8,968 | USD | 5,370 | 475 | — | ||||
Goldman Sachs International | 7/2/20 | EUR | 4,576 | USD | 5,062 | — | (40 | ) | |||
Goldman Sachs International | 7/2/20 | JPY | 405,570 | USD | 3,789 | — | (6 | ) | |||
Goldman Sachs International | 7/2/20 | GBP | 3,104 | USD | 3,761 | 149 | — | ||||
Royal Bank of Canada | 7/2/20 | USD | 24,128 | GBP | 19,515 | — | (458 | ) | |||
Royal Bank of Canada | 7/2/20 | USD | 12,518 | AUD | 21,002 | — | (1,170 | ) | |||
Citibank, N.A. | 7/2/20 | USD | 12,288 | JPY | 1,330,210 | — | (120 | ) |
10
International Explorer Fund
Forward Currency Contracts (continued)
Contract | Unrealized | Unrealized | |||||||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation | ) | |||||||
Counterparty | Date | Receive | Deliver | ($000 | ) | ($000 | ) | ||||
Royal Bank of Canada | 7/2/20 | USD | 12,176 | EUR | 11,227 | — | (146 | ) | |||
JPMorgan Chase Bank, N.A. | 7/2/20 | USD | 11,754 | EUR | 10,820 | — | (119 | ) | |||
Royal Bank of Canada | 7/2/20 | USD | 9,905 | JPY | 1,069,730 | — | (73 | ) | |||
Barclays Bank plc | 7/2/20 | USD | 8,839 | AUD | 14,037 | — | (310 | ) | |||
Royal Bank of Canada | 7/2/20 | USD | 7,540 | JPY | 801,360 | 66 | — | ||||
Credit Suisse International | 7/2/20 | USD | 6,551 | GBP | 5,239 | — | (49 | ) | |||
Royal Bank of Canada | 7/2/20 | USD | 4,855 | EUR | 4,390 | 39 | — | ||||
JPMorgan Chase Bank, N.A. | 7/2/20 | USD | 4,783 | GBP | 4,079 | — | (357 | ) | |||
Toronto-Dominion Bank | 7/2/20 | USD | 4,571 | JPY | 503,685 | — | (128 | ) | |||
Royal Bank of Canada | 7/2/20 | USD | 3,750 | GBP | 2,968 | 11 | — | ||||
Toronto-Dominion Bank | 7/2/20 | USD | 3,551 | EUR | 3,309 | — | (80 | ) | |||
JPMorgan Chase Bank, N.A. | 7/2/20 | USD | 3,461 | JPY | 372,190 | — | (11 | ) | |||
Barclays Bank plc | 7/2/20 | USD | 3,246 | AUD | 4,958 | 15 | — | ||||
Credit Suisse International | 7/2/20 | USD | 2,085 | AUD | 3,596 | — | (259 | ) | |||
Citibank, N.A. | 7/2/20 | USD | 1,029 | AUD | 1,592 | — | (8 | ) | |||
6,991 | (3,419 | ) |
At April 30, 2020 the counterparties had deposited in segregated accounts securities with a value of $541,000 and cash of $3,420,000 in connection with open forward currency contracts.
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
11
International Explorer Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,251,366) | 2,188,751 |
Affiliated Issuers (Cost $116,073) | 116,104 |
Total Investments in Securities | 2,304,855 |
Investment in Vanguard | 109 |
Cash | 33 |
Cash Collateral Pledged—Forward Currency Contracts | 347 |
Foreign Currency, at Value (Cost $12,413) | 12,450 |
Receivables for Investment Securities Sold | 8,224 |
Receivables for Accrued Income | 9,758 |
Receivables for Capital Shares Issued | 1,185 |
Variation Margin Receivable—Futures Contracts | 1,503 |
Unrealized Appreciation—Forward Currency Contracts | 6,991 |
Total Assets | 2,345,455 |
Liabilities | |
Payables for Investment Securities Purchased | 17,483 |
Collateral for Securities on Loan | 51,597 |
Payables to Investment Advisor | 1,267 |
Payables for Capital Shares Redeemed | 3,177 |
Payables to Vanguard | 1,376 |
Variation Margin Payable—Futures Contracts | 773 |
Unrealized Depreciation—Forward Currency Contracts | 3,419 |
Total Liabilities | 79,092 |
Net Assets | 2,266,363 |
At April 30, 2020, net assets consisted of: | |
Paid-in Capital | 2,699,430 |
Total Distributable Earnings (Loss) | (433,067) |
Net Assets | 2,266,363 |
Net Assets | |
Applicable to 159,653,746 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,266,363 |
Net Asset Value Per Share | $14.20 |
See accompanying Notes, which are an integral part of the Financial Statements.
12
International Explorer Fund
Statement of Operations
Six Months Ended | ||
April 30, 2020 | ||
($000 | ) | |
Investment Income | ||
Income | ||
Dividends—Unaffiliated Issuers1 | 19,183 | |
Dividends—Affiliated Issuers | 34 | |
Interest—Unaffiliated Issuers | 109 | |
Interest—Affiliated Issuers | 645 | |
Securities Lending—Net | 1,472 | |
Total Income | 21,443 | |
Expenses | ||
Investment Advisory Fees—Note B | ||
Basic Fee | 3,551 | |
Performance Adjustment | (653 | ) |
The Vanguard Group—Note C | ||
Management and Administrative | 2,244 | |
Marketing and Distribution | 197 | |
Custodian Fees | 88 | |
Shareholders’ Reports | 32 | |
Trustees’ Fees and Expenses | 2 | |
Total Expenses | 5,461 | |
Net Investment Income | 15,982 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold—Unaffiliated Issuers | (144,783 | ) |
Investment Securities Sold—Affiliated Issuers | 3,678 | |
Futures Contracts | (19,990 | ) |
Forward Currency Contracts | (5,290 | ) |
Foreign Currencies | (556 | ) |
Realized Net Gain (Loss) | (166,941 | ) |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities—Unaffiliated Issuers | (311,083 | ) |
Investment Securities—Affiliated Issuers | (2,582 | ) |
Futures Contracts | 777 | |
Forward Currency Contracts | 2,836 | |
Foreign Currencies | (212 | ) |
Change in Unrealized Appreciation (Depreciation) | (310,264 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (461,223 | ) |
1 | Dividends are net of foreign withholding taxes of $1,836,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
International Explorer Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||||
April 30, | October 31, | ||||
2020 | 2019 | ||||
($000 | ) | ($000 | ) | ||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net Investment Income | 15,982 | 75,420 | |||
Realized Net Gain (Loss) | (166,941 | ) | (181,046 | ) | |
Change in Unrealized Appreciation (Depreciation) | (310,264 | ) | 237,965 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | (461,223 | ) | 132,339 | ||
Distributions1 | |||||
Total Distributions | (80,592 | ) | (262,165 | ) | |
Capital Share Transactions | |||||
Issued | 214,745 | 549,998 | |||
Issued in Lieu of Cash Distributions | 72,030 | 237,472 | |||
Redeemed | (641,099 | ) | (1,144,536 | ) | |
Net Increase (Decrease) from Capital Share Transactions | (354,324 | ) | (357,066 | ) | |
Total Increase (Decrease) | (896,139 | ) | (486,892 | ) | |
Net Assets | |||||
Beginning of Period | 3,162,502 | 3,649,394 | |||
End of Period | 2,266,363 | 3,162,502 |
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.
14
International Explorer Fund
Financial Highlights
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | April 30, | Year Ended October 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $17.22 | $17.86 | $21.87 | $16.82 | $17.76 | $18.26 | |
Investment Operations | |||||||
Net Investment Income | .0911 | .3791 | .3691 | .3331 | .318 | .287 | |
Net Realized and Unrealized Gain (Loss) on Investments | (2.661) | .300 | (3.032) | 5.035 | (.334) | .635 | |
Total from Investment Operations | (2.570) | .679 | (2.663) | 5.368 | (.016) | .922 | |
Distributions | |||||||
Dividends from Net Investment Income | (.450) | (.289) | (.447) | (.318) | (.263) | (.326) | |
Distributions from Realized Capital Gains | — | (1.030) | (.900) | — | (.661) | (1.096) | |
Total Distributions | (.450) | (1.319) | (1.347) | (.318) | (.924) | (1.422) | |
Net Asset Value, End of Period | $14.20 | $17.22 | $17.86 | $21.87 | $16.82 | $17.76 | |
Total Return2 | -15.46% | 4.85% | -13.08% | 32.58% | -0.06% | 5.65% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,266 | $3,163 | $3,649 | $3,980 | $2,829 | $2,887 | |
Ratio of Total Expenses to Average Net Assets3 | 0.38% | 0.39% | 0.39% | 0.38% | 0.41% | 0.42% | |
Ratio of Net Investment Income to Average Net Assets | 1.10% | 2.28% | 1.75% | 1.68% | 1.83% | 1.53% | |
Portfolio Turnover Rate | 21% | 35% | 40% | 43% | 37% | 42% |
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 | Includes performance-based investment advisory fee increases (decreases) of (0.05%), (0.03%), (0.01%), (0.01%), 0.00%, and 0.00%. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
International Explorer Fund
Notes to Financial Statements
Vanguard International Explorer Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. 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. Further, at April 30, 2020, the fund had a concentration of its investments in securities issued in Japan, and the performance of such investments may be impacted by the country’s social, political, and economic conditions. 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 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
16
International Explorer Fund
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 April 30, 2020, the fund’s average investments in long and short futures contracts represented 2% 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 protect the value of securities and related receivables and payables against changes in future foreign exchange rates. 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 April 30, 2020, the fund’s average investments in fund’s average investment in forward currency contracts represented 9% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral
17
International Explorer Fund
cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
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 (October 31, 2016–2019), and for the period ended April 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.
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, effective May 2020, 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;
18
International Explorer Fund
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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
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. 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.
B. The investment advisory firms Schroder Investment Management North America Inc., Wellington Management Company LLP, and TimesSquare Capital Management, LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Schroder Investment Management North America Inc. and Wellington Management Company LLP are subject to quarterly adjustments based on performance relative to the S&P EPAC SmallCap Index for the preceding three years. The basic fee of TimesSquare Capital Management, LLC, is subject to quarterly adjustments based on performance relative to the S&P EPAC SmallCap Index since October 31, 2017.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended April 30, 2020, the aggregate investment advisory fee represented an effective annual basic rate of 0.25% of the fund’s average net assets, before a decrease of $653,000 (-0.05%) based on performance.
19
International Explorer Fund
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution, and cash management 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard 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 April 30, 2020, the fund had contributed to Vanguard capital in the amount of $109,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. 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 April 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 | 48,698 | 2,121,464 | 3,879 | 2,174,041 |
Temporary Cash Investments | 116,104 | 14,710 | — | 130,814 |
Total | 164,802 | 2,136,174 | 3,879 | 2,304,855 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,503 | — | — | 1,503 |
Forward Currency Contracts | — | 6,991 | — | 6,991 |
Total | 1,503 | 6,991 | — | 8,494 |
Liabilities | ||||
Futures Contracts1 | 773 | — | — | 773 |
Forward Currency Contracts | — | 3,419 | — | 3,419 |
Total | 773 | 3,419 | — | 4,192 |
1 | Represents variation margin on the last day of the reporting period. |
20
International Explorer Fund
E. At April 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Foreign | |||
Equity | Exchange | ||
Contracts | Contracts | Total | |
Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) |
Variation Margin Receivable—Futures Contracts | 1,503 | — | 1,503 |
Unrealized Appreciation—Forward Currency Contracts | — | 6,991 | 6,991 |
Total Assets | 1,503 | 6,991 | 8,494 |
Variation Margin Payable—Futures Contracts | 773 | — | 773 |
Unrealized Depreciation—Forward Currency Contracts | — | 3,419 | 3,419 |
Total Liabilities | 773 | 3,419 | 4,192 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended April 30, 2020, were:
Foreign | |||
Equity | Exchange | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | (19,990) | — | (19,990) |
Forward Currency Contracts | — | (5,290) | (5,290) |
Realized Net Gain (Loss) on Derivatives | (19,990) | (5,290) | (25,280) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 777 | — | 777 |
Forward Currency Contracts | — | 2,836 | 2,836 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 777 | 2,836 | 3,613 |
F. As of April 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 | 2,380,101 |
Gross Unrealized Appreciation | 362,157 |
Gross Unrealized Depreciation | (432,065) |
Net Unrealized Appreciation (Depreciation) | (69,908) |
21
International Explorer Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at October 31, 2019, the fund had available capital losses totaling $199,981,000 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 October 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended April 30, 2020, the fund purchased $570,369,000 of investment securities and sold $984,448,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | ||
April 30, 2020 | October 31, 2019 | ||
Shares | Shares | ||
(000) | (000) | ||
Issued | 14,078 | 33,619 | |
Issued in Lieu of Cash Distributions | 4,035 | 15,758 | |
Redeemed | (42,154) | (70,018) | |
Net Increase (Decrease) in Shares Outstanding | (24,041) | (20,641) |
I. Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows:
Current Period Transactions | ||||||||
Oct. 31, | Proceeds | Realized | April 30, | |||||
2019 | from | Net | Change in | Capital Gain | 2020 | |||
Market | Purchases | Securities | Gain | Unrealized | Distributions | Market | ||
Value | at Cost | Sold | (Loss) | App. (Dep.) | Income | Received | Value | |
($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | |
Vanguard FTSE All World ex-US Small-Cap ETF | 22,452 | — | 23,530 | 3,677 | (2,599) | 34 | — | — |
Vanguard Market Liquidity Fund | 173,092 | NA1 | NA1 | 1 | 17 | 645 | — | 116,104 |
Total | 195,544 | 3,678 | (2,582) | 679 | — | 116,104 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
J. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
22
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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard International Explorer 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.
23
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© 2020 The Vanguard Group, Inc. All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1262 062020 |
• | 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. |
• | 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. |
Six Months Ended April 30, 2020 | |||
Beginning Account Value 10/31/2019 | Ending Account Value 4/30/2020 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
High Dividend Yield Index Fund | |||
ETF Shares | $1,000.00 | $884.80 | $0.28 |
AdmiralTM Shares | 1,000.00 | 885.10 | 0.37 |
Based on Hypothetical 5% Yearly Return | |||
High Dividend Yield Index Fund | |||
ETF Shares | $1,000.00 | $1,024.56 | $0.30 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Basic Materials | 3.4% |
Consumer Goods | 14.7 |
Consumer Services | 9.1 |
Financials | 15.7 |
Health Care | 16.5 |
Industrials | 8.4 |
Oil & Gas | 6.4 |
Technology | 11.1 |
Telecommunications | 5.3 |
Utilities | 9.4 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Basic Materials (3.4%) | ||||||
Linde plc | 1,986,848 | 365,560 | ||||
Air Products & Chemicals Inc. | 814,027 | 183,628 | ||||
DuPont de Nemours Inc. | 2,767,911 | 130,147 | ||||
Dow Inc. | 2,768,331 | 101,570 | ||||
LyondellBasell Industries NV Class A | 984,004 | 57,023 | ||||
International Paper Co. | 1,453,154 | 49,771 | ||||
Nucor Corp. | 1,129,443 | 46,522 | ||||
RPM International Inc. | 472,947 | 31,408 | ||||
Eastman Chemical Co. | 507,158 | 30,688 | ||||
CF Industries Holdings Inc. | 803,579 | 22,098 | ||||
Reliance Steel & Aluminum Co. | 239,999 | 21,499 | ||||
Scotts Miracle-Gro Co. | 145,483 | 18,044 | ||||
Huntsman Corp. | 795,434 | 13,371 | ||||
Southern Copper Corp. | 304,108 | 9,865 | ||||
Olin Corp. | 588,153 | 7,852 | ||||
Cabot Corp. | 206,536 | 7,000 | ||||
Commercial Metals Co. | 431,235 | 6,874 | ||||
Compass Minerals International Inc. | 125,280 | 6,159 | ||||
Domtar Corp. | 209,532 | 4,895 | ||||
Schweitzer-Mauduit International Inc. | 113,442 | 3,655 | ||||
Trinseo SA | 143,375 | 2,932 | ||||
Orion Engineered Carbons SA | 222,416 | 2,026 | ||||
Schnitzer Steel Industries Inc. Class A | 101,469 | 1,579 | ||||
1 | Nexa Resources SA | 126,372 | 530 | |||
1,124,696 | ||||||
Consumer Goods (14.6%) | ||||||
Procter & Gamble Co. | 9,016,881 | 1,062,820 | ||||
PepsiCo Inc. | 5,181,038 | 685,400 | ||||
Coca-Cola Co. | 14,181,668 | 650,797 | ||||
Philip Morris International Inc. | 5,758,378 | 429,575 | ||||
Altria Group Inc. | 6,918,293 | 271,543 | ||||
Colgate-Palmolive Co. | 3,128,203 | 219,819 |
Shares | Market Value• ($000) | |||||
Kimberly-Clark Corp. | 1,260,589 | 174,567 | ||||
General Mills Inc. | 2,237,371 | 133,996 | ||||
General Motors Co. | 4,576,934 | 102,020 | ||||
Clorox Co. | 465,673 | 86,820 | ||||
Archer-Daniels-Midland Co. | 2,060,179 | 76,515 | ||||
Ford Motor Co. | 14,475,776 | 73,682 | ||||
Corteva Inc. | 2,775,494 | 72,690 | ||||
Hershey Co. | 533,624 | 70,668 | ||||
Kraft Heinz Co. | 2,321,929 | 70,424 | ||||
VF Corp. | 1,138,689 | 66,158 | ||||
Conagra Brands Inc. | 1,783,885 | 59,653 | ||||
Kellogg Co. | 910,380 | 59,630 | ||||
JM Smucker Co. | 406,086 | 46,663 | ||||
Garmin Ltd. | 536,754 | 43,563 | ||||
Genuine Parts Co. | 520,100 | 41,234 | ||||
Hasbro Inc. | 465,743 | 33,631 | ||||
Campbell Soup Co. | 619,615 | 30,968 | ||||
Molson Coors Beverage Co. Class B | 645,142 | 26,457 | ||||
Whirlpool Corp. | 229,800 | 25,678 | ||||
Coca-Cola European Partners plc | 647,018 | 25,648 | ||||
Bunge Ltd. | 507,319 | 20,125 | ||||
Autoliv Inc. | 324,264 | 19,462 | ||||
Newell Brands Inc. | 1,398,722 | 19,414 | ||||
Leggett & Platt Inc. | 482,748 | 16,959 | ||||
Flowers Foods Inc. | 718,328 | 16,004 | ||||
Tapestry Inc. | 1,018,700 | 15,158 | ||||
Polaris Inc. | 211,804 | 15,023 | ||||
Hanesbrands Inc. | 1,322,167 | 13,142 | ||||
Harley-Davidson Inc. | 565,131 | 12,337 | ||||
LCI Industries | 89,080 | 7,725 | ||||
Spectrum Brands Holdings Inc. | 167,004 | 7,191 | ||||
Goodyear Tire & Rubber Co. | 857,835 | 6,151 | ||||
Coty Inc. Class A | 1,090,956 | 5,946 | ||||
Nu Skin Enterprises Inc. Class A | 202,364 | 5,911 | ||||
MDC Holdings Inc. | 185,548 | 5,427 | ||||
1 | B&G Foods Inc. | 232,552 | 4,516 | |||
Vector Group Ltd. | 406,947 | 4,354 |
Shares | Market Value• ($000) | |||||
Universal Corp. | 89,790 | 4,343 | ||||
HNI Corp. | 157,070 | 3,823 | ||||
Steelcase Inc. Class A | 333,634 | 3,653 | ||||
Kontoor Brands Inc. | 161,599 | 3,137 | ||||
Knoll Inc. | 179,535 | 2,094 | ||||
Signet Jewelers Ltd. | 189,461 | 1,906 | ||||
National Presto Industries Inc. | 18,418 | 1,498 | ||||
* | Tenneco Inc. Class A | 188,793 | 980 | |||
Ethan Allen Interiors Inc. | 84,794 | 959 | ||||
4,857,857 | ||||||
Consumer Services (9.1%) | ||||||
Comcast Corp. Class A | 16,663,705 | 627,055 | ||||
Walmart Inc. | 5,146,774 | 625,590 | ||||
McDonald's Corp. | 2,795,576 | 524,338 | ||||
CVS Health Corp. | 4,805,339 | 295,769 | ||||
Target Corp. | 1,812,792 | 198,936 | ||||
Walgreens Boots Alliance Inc. | 2,781,038 | 120,391 | ||||
Sysco Corp. | 1,743,086 | 98,083 | ||||
Best Buy Co. Inc. | 818,604 | 62,812 | ||||
Las Vegas Sands Corp. | 1,245,590 | 59,813 | ||||
Omnicom Group Inc. | 797,380 | 45,475 | ||||
Darden Restaurants Inc. | 478,740 | 35,326 | ||||
1 | Carnival Corp. | 1,644,944 | 26,155 | |||
Vail Resorts Inc. | 148,081 | 25,322 | ||||
Interpublic Group of Cos. Inc. | 1,431,523 | 24,307 | ||||
Nielsen Holdings plc | 1,310,351 | 19,301 | ||||
* | IAA Inc. | 489,036 | 18,877 | |||
Williams-Sonoma Inc. | 283,677 | 17,543 | ||||
Delta Air Lines Inc. | 607,300 | 15,735 | ||||
Wyndham Hotels & Resorts Inc. | 354,409 | 13,365 | ||||
H&R Block Inc. | 723,555 | 12,047 | ||||
Kohl's Corp. | 576,397 | 10,640 | ||||
L Brands Inc. | 839,738 | 9,985 | ||||
Cracker Barrel Old Country Store Inc. | 87,831 | 8,555 | ||||
TEGNA Inc. | 797,136 | 8,545 | ||||
Wyndham Destinations Inc. | 329,782 | 8,433 | ||||
1 | Nordstrom Inc. | 398,432 | 7,483 | |||
Extended Stay America Inc. | 670,580 | 7,289 | ||||
KAR Auction Services Inc. | 472,432 | 7,077 | ||||
1 | Macy's Inc. | 1,138,866 | 6,674 | |||
Gap Inc. | 799,293 | 6,490 | ||||
John Wiley & Sons Inc. Class A | 163,124 | 6,125 | ||||
Six Flags Entertainment Corp. | 292,906 | 5,861 | ||||
Cinemark Holdings Inc. | 393,800 | 5,623 | ||||
American Eagle Outfitters Inc. | 583,037 | 4,635 |
Shares | Market Value• ($000) | |||||
Penske Automotive Group Inc. | 124,297 | 4,472 | ||||
Office Depot Inc. | 1,992,758 | 4,424 | ||||
Sinclair Broadcast Group Inc. Class A | 225,675 | 3,983 | ||||
Cheesecake Factory Inc. | 152,804 | 3,406 | ||||
Big Lots Inc. | 142,931 | 3,352 | ||||
Brinker International Inc. | 137,743 | 3,207 | ||||
1 | Bed Bath & Beyond Inc. | 447,973 | 2,773 | |||
International Game Technology plc | 359,839 | 2,713 | ||||
Dine Brands Global Inc. | 58,323 | 2,589 | ||||
Abercrombie & Fitch Co. Class A | 226,876 | 2,400 | ||||
1 | Meredith Corp. | 145,867 | 2,163 | |||
Weis Markets Inc. | 34,730 | 1,738 | ||||
Buckle Inc. | 106,069 | 1,624 | ||||
Guess? Inc. | 168,435 | 1,575 | ||||
Designer Brands Inc. Class A | 227,848 | 1,447 | ||||
Copa Holdings SA Class A | 28,745 | 1,271 | ||||
Gannett Co. Inc. | 422,307 | 477 | ||||
3,013,269 | ||||||
Financials (15.6%) | ||||||
JPMorgan Chase & Co. | 11,554,022 | 1,106,413 | ||||
Wells Fargo & Co. | 13,853,925 | 402,457 | ||||
Citigroup Inc. | 7,814,050 | 379,450 | ||||
CME Group Inc. | 1,309,574 | 233,379 | ||||
BlackRock Inc. | 437,873 | 219,830 | ||||
US Bancorp | 5,144,800 | 187,785 | ||||
Truist Financial Corp. | 4,949,451 | 184,714 | ||||
Chubb Ltd. | 1,665,505 | 179,891 | ||||
PNC Financial Services Group Inc. | 1,599,024 | 170,568 | ||||
Morgan Stanley | 4,300,428 | 169,566 | ||||
Progressive Corp. | 2,153,430 | 166,460 | ||||
MetLife Inc. | 2,878,516 | 103,857 | ||||
Aflac Inc. | 2,687,497 | 100,082 | ||||
T Rowe Price Group Inc. | 850,780 | 98,376 | ||||
Travelers Cos. Inc. | 942,390 | 95,379 | ||||
Prudential Financial Inc. | 1,467,884 | 91,552 | ||||
State Street Corp. | 1,319,739 | 83,196 | ||||
American International Group Inc. | 3,215,645 | 81,774 | ||||
Arthur J Gallagher & Co. | 690,808 | 54,228 | ||||
Ameriprise Financial Inc. | 468,190 | 53,814 | ||||
Fifth Third Bancorp | 2,622,468 | 49,014 | ||||
Synchrony Financial | 2,267,826 | 44,880 | ||||
KeyCorp | 3,628,155 | 42,268 | ||||
Regions Financial Corp. | 3,568,374 | 38,360 | ||||
Cincinnati Financial Corp. | 562,950 | 37,042 | ||||
Principal Financial Group Inc. | 1,007,651 | 36,689 | ||||
Citizens Financial Group Inc. | 1,609,836 | 36,044 |
Shares | Market Value• ($000) | |||||
Huntington Bancshares Inc. | 3,749,471 | 34,645 | ||||
Western Union Co. | 1,551,023 | 29,578 | ||||
Equitable Holdings Inc. | 1,514,036 | 27,737 | ||||
Fidelity National Financial Inc. | 965,886 | 26,127 | ||||
People's United Financial Inc. | 1,619,225 | 20,548 | ||||
Franklin Resources Inc. | 1,018,790 | 19,194 | ||||
First American Financial Corp. | 401,846 | 18,533 | ||||
Comerica Inc. | 531,258 | 18,520 | ||||
New York Community Bancorp Inc. | 1,670,061 | 18,137 | ||||
Old Republic International Corp. | 1,038,292 | 16,561 | ||||
TCF Financial Corp. | 557,732 | 16,559 | ||||
Legg Mason Inc. | 315,767 | 15,735 | ||||
Cullen/Frost Bankers Inc. | 208,071 | 14,952 | ||||
Eaton Vance Corp. | 394,358 | 14,473 | ||||
Popular Inc. | 347,292 | 13,402 | ||||
Unum Group | 748,523 | 13,062 | ||||
Glacier Bancorp Inc. | 318,509 | 12,129 | ||||
Invesco Ltd. | 1,405,285 | 12,114 | ||||
Valley National Bancorp | 1,420,735 | 11,877 | ||||
Community Bank System Inc. | 186,566 | 11,658 | ||||
Axis Capital Holdings Ltd. | 303,946 | 11,124 | ||||
Synovus Financial Corp. | 515,881 | 10,839 | ||||
United Bankshares Inc. | 358,046 | 10,727 | ||||
RLI Corp. | 146,316 | 10,656 | ||||
Janus Henderson Group plc | 578,273 | 10,351 | ||||
Lazard Ltd. Class A | 374,900 | 10,310 | ||||
First Horizon National Corp. | 1,134,311 | 10,300 | ||||
CVB Financial Corp. | 490,760 | 10,200 | ||||
Umpqua Holdings Corp. | 813,129 | 10,184 | ||||
Bank of Hawaii Corp. | 146,453 | 9,985 | ||||
FNB Corp. | 1,192,877 | 9,650 | ||||
Old National Bancorp | 626,740 | 8,881 | ||||
PacWest Bancorp | 434,542 | 8,795 | ||||
First Hawaiian Inc. | 484,388 | 8,520 | ||||
Federated Hermes Inc. Class B | 353,516 | 8,050 | ||||
Associated Banc-Corp. | 567,256 | 8,021 | ||||
Cathay General Bancorp | 282,578 | 7,890 | ||||
Investors Bancorp Inc. | 834,189 | 7,766 | ||||
BankUnited Inc. | 373,590 | 7,401 | ||||
Columbia Banking System Inc. | 267,629 | 7,223 | ||||
Fulton Financial Corp. | 589,242 | 6,888 | ||||
Trustmark Corp. | 250,705 | 6,671 | ||||
Hancock Whitney Corp. | 318,124 | 6,652 | ||||
Kennedy-Wilson Holdings Inc. | 449,722 | 6,364 |
Shares | Market Value• ($000) | |||||
WesBanco Inc. | 249,685 | 6,162 | ||||
Westamerica Bancorp | 95,525 | 6,018 | ||||
Santander Consumer USA Holdings Inc. | 377,000 | 5,877 | ||||
Capitol Federal Financial Inc. | 485,009 | 5,815 | ||||
OneMain Holdings Inc. | 240,188 | 5,815 | ||||
First Financial Bancorp | 364,138 | 5,600 | ||||
Navient Corp. | 715,978 | 5,456 | ||||
Artisan Partners Asset Management Inc. Class A | 183,005 | 5,388 | ||||
Horace Mann Educators Corp. | 151,499 | 5,327 | ||||
Moelis & Co. Class A | 173,543 | 5,184 | ||||
NBT Bancorp Inc. | 156,275 | 5,177 | ||||
Cohen & Steers Inc. | 83,486 | 4,820 | ||||
Bank of NT Butterfield & Son Ltd. | 208,579 | 4,591 | ||||
Pacific Premier Bancorp Inc. | 213,474 | 4,558 | ||||
Safety Insurance Group Inc. | 54,073 | 4,549 | ||||
Northwest Bancshares Inc. | 419,256 | 4,448 | ||||
Hope Bancorp Inc. | 443,814 | 4,416 | ||||
Great Western Bancorp Inc. | 225,572 | 4,241 | ||||
ProAssurance Corp. | 197,805 | 4,231 | ||||
Mercury General Corp. | 100,905 | 4,133 | ||||
City Holding Co. | 58,129 | 3,929 | ||||
Waddell & Reed Financial Inc. Class A | 256,693 | 3,735 | ||||
S&T Bancorp Inc. | 138,405 | 3,697 | ||||
BGC Partners Inc. Class A | 1,130,258 | 3,498 | ||||
Provident Financial Services Inc. | 241,358 | 3,463 | ||||
First Commonwealth Financial Corp. | 362,464 | 3,451 | ||||
CNA Financial Corp. | 103,905 | 3,281 | ||||
Sandy Spring Bancorp Inc. | 127,022 | 3,239 | ||||
Berkshire Hills Bancorp Inc. | 180,914 | 3,083 | ||||
Brookline Bancorp Inc. | 288,782 | 2,948 | ||||
Stock Yards Bancorp Inc. | 74,907 | 2,475 | ||||
TFS Financial Corp. | 177,290 | 2,420 | ||||
Boston Private Financial Holdings Inc. | 314,695 | 2,392 | ||||
TrustCo Bank Corp. | 364,581 | 2,297 | ||||
American National Insurance Co. | 27,340 | 2,201 | ||||
Washington Trust Bancorp Inc. | 60,436 | 2,116 | ||||
Dime Community Bancshares Inc. | 121,600 | 1,998 | ||||
Community Trust Bancorp Inc. | 58,840 | 1,995 | ||||
Brightsphere Investment Group Inc. | 241,891 | 1,792 |
Shares | Market Value• ($000) | |||||
FBL Financial Group Inc. Class A | 37,479 | 1,465 | ||||
Flushing Financial Corp. | 104,861 | 1,310 | ||||
Republic Bancorp Inc. Class A | 35,665 | 1,189 | ||||
5,185,837 | ||||||
Health Care (16.5%) | ||||||
Johnson & Johnson | 9,849,835 | 1,477,869 | ||||
Pfizer Inc. | 20,627,414 | 791,268 | ||||
Merck & Co. Inc. | 9,429,680 | 748,151 | ||||
Bristol-Myers Squibb Co. | 8,657,431 | 526,458 | ||||
Amgen Inc. | 2,183,011 | 522,220 | ||||
Eli Lilly & Co. | 3,146,104 | 486,513 | ||||
AbbVie Inc. | 5,474,533 | 450,007 | ||||
Gilead Sciences Inc. | 4,721,504 | 396,606 | ||||
Cardinal Health Inc. | 1,081,764 | 53,526 | ||||
Patterson Cos. Inc. | 305,357 | 5,582 | ||||
5,458,200 | ||||||
Industrials (8.4%) | ||||||
Lockheed Martin Corp. | 916,753 | 356,672 | ||||
3M Co. | 2,069,787 | 314,442 | ||||
United Parcel Service Inc. Class B | 2,581,101 | 244,327 | ||||
Automatic Data Processing Inc. | 1,612,107 | 236,480 | ||||
Caterpillar Inc. | 1,982,778 | 230,756 | ||||
Illinois Tool Works Inc. | 1,184,314 | 192,451 | ||||
Waste Management Inc. | 1,568,967 | 156,928 | ||||
Emerson Electric Co. | 2,262,404 | 129,025 | ||||
Eaton Corp. plc | 1,525,758 | 127,401 | ||||
Cummins Inc. | 542,829 | 88,753 | ||||
PACCAR Inc. | 1,254,721 | 86,864 | ||||
Johnson Controls International plc | 2,824,314 | 82,216 | ||||
Paychex Inc. | 1,187,351 | 81,357 | ||||
Fastenal Co. | 2,112,699 | 76,522 | ||||
CH Robinson Worldwide Inc. | 497,837 | 35,297 | ||||
Packaging Corp. of America | 346,721 | 33,511 | ||||
Westrock Co. | 944,249 | 30,395 | ||||
Snap-on Inc. | 201,508 | 26,254 | ||||
Toro Co. | 396,147 | 25,278 | ||||
Hubbell Inc. Class B | 201,274 | 25,044 | ||||
Watsco Inc. | 119,539 | 19,245 | ||||
National Instruments Corp. | 479,653 | 18,428 | ||||
Sonoco Products Co. | 365,290 | 17,841 | ||||
MDU Resources Group Inc. | 732,315 | 16,448 | ||||
Xerox Holdings Corp. | 651,592 | 11,918 | ||||
nVent Electric plc | 558,319 | 10,413 | ||||
MSC Industrial Direct Co. Inc. Class A | 160,689 | 9,583 | ||||
Timken Co. | 244,411 | 9,185 | ||||
ABM Industries Inc. | 247,226 | 8,527 |
Shares | Market Value• ($000) | |||||
Kennametal Inc. | 300,341 | 7,692 | ||||
GATX Corp. | 128,452 | 7,617 | ||||
Macquarie Infrastructure Corp. | 270,405 | 7,460 | ||||
Ryder System Inc. | 191,534 | 6,780 | ||||
Otter Tail Corp. | 149,663 | 6,642 | ||||
Triton International Ltd. | 197,470 | 6,118 | ||||
McGrath RentCorp | 89,259 | 4,869 | ||||
Mobile Mini Inc. | 160,557 | 4,587 | ||||
SFL Corp. Ltd. | 302,812 | 3,419 | ||||
Enerpac Tool Group Corp. Class A | 198,979 | 3,395 | ||||
Covanta Holding Corp. | 431,942 | 3,360 | ||||
Greif Inc. Class A | 94,142 | 3,190 | ||||
Atlas Corp. | 407,481 | 3,040 | ||||
Greenbrier Cos. Inc. | 117,981 | 2,003 | ||||
H&E Equipment Services Inc. | 115,980 | 1,886 | ||||
Myers Industries Inc. | 134,673 | 1,665 | ||||
1 | GasLog Ltd. | 145,543 | 672 | |||
2,775,956 | ||||||
Oil & Gas (6.4%) | ||||||
Exxon Mobil Corp. | 15,701,547 | 729,651 | ||||
Chevron Corp. | 7,065,868 | 650,060 | ||||
Phillips 66 | 1,632,813 | 119,473 | ||||
Kinder Morgan Inc. | 7,201,843 | 109,684 | ||||
Valero Energy Corp. | 1,517,523 | 96,135 | ||||
Williams Cos. Inc. | 4,489,246 | 86,957 | ||||
Schlumberger Ltd. | 5,130,168 | 86,289 | ||||
Marathon Petroleum Corp. | 2,381,808 | 76,408 | ||||
Occidental Petroleum Corp. | 3,315,915 | 55,044 | ||||
ONEOK Inc. | 1,522,824 | 45,578 | ||||
Apache Corp. | 1,385,229 | 18,119 | ||||
Targa Resources Corp. | 842,058 | 10,913 | ||||
Helmerich & Payne Inc. | 393,121 | 7,772 | ||||
Murphy Oil Corp. | 550,645 | 6,531 | ||||
Delek US Holdings Inc. | 271,222 | 6,333 | ||||
Equitrans Midstream Corp. | 748,866 | 6,276 | ||||
PBF Energy Inc. Class A | 485,170 | 5,531 | ||||
* | Cosan Ltd. Class A | 407,363 | 5,434 | |||
CVR Energy Inc. | 136,131 | 3,247 | ||||
Core Laboratories NV | 160,337 | 3,144 | ||||
Archrock Inc. | 516,308 | 2,483 | ||||
Golar LNG Ltd. | 347,203 | 2,462 | ||||
RPC Inc. | 212,396 | 724 | ||||
Nabors Industries Ltd. | 26,002 | 383 | ||||
2,134,631 | ||||||
Technology (11.1%) | ||||||
Intel Corp. | 15,856,096 | 951,049 | ||||
Cisco Systems Inc. | 15,851,467 | 671,785 | ||||
International Business Machines Corp. | 3,283,938 | 412,331 | ||||
Texas Instruments Inc. | 3,469,980 | 402,761 | ||||
Broadcom Inc. | 1,430,953 | 388,675 |
Shares | Market Value• ($000) | |||||
QUALCOMM Inc. | 4,226,307 | 332,484 | ||||
KLA Corp. | 582,924 | 95,652 | ||||
HP Inc. | 5,380,935 | 83,458 | ||||
Corning Inc. | 2,800,024 | 61,628 | ||||
Maxim Integrated Products Inc. | 992,140 | 54,548 | ||||
Western Digital Corp. | 1,101,564 | 50,760 | ||||
Hewlett Packard Enterprise Co. | 4,824,705 | 48,537 | ||||
Seagate Technology plc | 958,577 | 47,881 | ||||
NetApp Inc. | 844,872 | 36,980 | ||||
Juniper Networks Inc. | 1,224,639 | 26,452 | ||||
Cogent Communications Holdings Inc. | 155,446 | 13,031 | ||||
TiVo Corp. | 459,179 | 3,228 | ||||
Xperi Corp. | 176,244 | 2,693 | ||||
Pitney Bowes Inc. | 629,349 | 2,222 | ||||
ADTRAN Inc. | 171,990 | 1,768 | ||||
3,687,923 | ||||||
Telecommunications (5.3%) | ||||||
Verizon Communications Inc. | 15,331,677 | 880,805 | ||||
AT&T Inc. | 27,010,807 | 823,019 | ||||
CenturyLink Inc. | 4,029,389 | 42,792 | ||||
1,746,616 | ||||||
Utilities (9.4%) | ||||||
NextEra Energy Inc. | 1,806,208 | 417,451 | ||||
Dominion Energy Inc. | 3,040,850 | 234,541 | ||||
Duke Energy Corp. | 2,692,230 | 227,924 | ||||
Southern Co. | 3,845,682 | 218,166 | ||||
American Electric Power Co. Inc. | 1,825,381 | 151,707 | ||||
Exelon Corp. | 3,612,635 | 133,957 | ||||
Sempra Energy | 1,042,079 | 129,062 | ||||
Xcel Energy Inc. | 1,940,703 | 123,351 | ||||
WEC Energy Group Inc. | 1,163,056 | 105,315 | ||||
Eversource Energy | 1,198,071 | 96,684 | ||||
Consolidated Edison Inc. | 1,226,362 | 96,637 | ||||
Public Service Enterprise Group Inc. | 1,872,756 | 94,967 | ||||
FirstEnergy Corp. | 1,997,734 | 82,447 | ||||
Edison International | 1,294,921 | 76,025 | ||||
PPL Corp. | 2,843,968 | 72,294 | ||||
DTE Energy Co. | 685,241 | 71,087 | ||||
Entergy Corp. | 735,016 | 70,201 | ||||
Ameren Corp. | 905,474 | 65,873 | ||||
CMS Energy Corp. | 1,046,245 | 59,730 | ||||
Evergy Inc. | 841,786 | 49,186 | ||||
Atmos Energy Corp. | 446,234 | 45,503 | ||||
Alliant Energy Corp. | 888,590 | 43,141 | ||||
NiSource Inc. | 1,380,667 | 34,669 | ||||
Essential Utilities Inc. | 799,365 | 33,405 | ||||
AES Corp. | 2,458,663 | 32,577 | ||||
Pinnacle West Capital Corp. | 415,518 | 31,991 |
Shares | Market Value• ($000) | |||||
CenterPoint Energy Inc. | 1,860,562 | 31,685 | ||||
UGI Corp. | 814,097 | 24,569 | ||||
OGE Energy Corp. | 727,549 | 22,932 | ||||
IDACORP Inc. | 186,641 | 17,130 | ||||
ONE Gas Inc. | 204,891 | 16,332 | ||||
Hawaiian Electric Industries Inc. | 398,782 | 15,740 | ||||
Portland General Electric Co. | 329,051 | 15,396 | ||||
Southwest Gas Holdings Inc. | 199,318 | 15,108 | ||||
Black Hills Corp. | 223,844 | 13,865 | ||||
Spire Inc. | 182,692 | 13,329 | ||||
New Jersey Resources Corp. | 376,547 | 12,720 | ||||
National Fuel Gas Co. | 309,085 | 12,673 | ||||
PNM Resources Inc. | 291,459 | 11,801 | ||||
ALLETE Inc. | 204,948 | 11,797 | ||||
NorthWestern Corp. | 185,375 | 10,694 | ||||
Avista Corp. | 244,150 | 10,508 | ||||
El Paso Electric Co. | 150,241 | 10,216 | ||||
South Jersey Industries Inc. | 340,336 | 9,730 | ||||
Avangrid Inc. | 206,862 | 8,895 | ||||
Northwest Natural Holding Co. | 112,336 | 7,313 | ||||
Clearway Energy Inc. Class C | 291,440 | 5,838 | ||||
Atlantica Yield plc | 217,079 | 5,197 | ||||
TerraForm Power Inc. Class A | 290,589 | 5,033 | ||||
Clearway Energy Inc. Class A | 127,710 | 2,388 | ||||
3,108,780 | ||||||
Total Common Stocks (Cost $33,788,466) | 33,093,765 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.1%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.522% | 404,075 | 40,407 | |||
Face Amount ($000) | ||||||
U.S. Government and Agency Obligations (0.1%) | ||||||
4 | United States Treasury Bill, 0.102%, 7/14/20 | 4,890 | 4,889 | |||
4 | United States Treasury Bill, 0.087%, 9/24/20 | 1,400 | 1,399 |
Face Amount ($000) | Market Value• ($000) | |||||
United States Treasury Bill, 0.116%, 9/29/20 | 2,500 | 2,499 | ||||
8,787 | ||||||
Total Temporary Cash Investments (Cost $49,182) | 49,194 | |||||
Total Investments (100.0%) (Cost $33,837,648) | 33,142,959 | |||||
Other Assets and Liabilities-Net (0.0%)3,4 | 12,310 | |||||
Net Assets (100.0%) | 33,155,269 |
Cost rounded to $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $35,698,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $40,375,000 was received for securities on loan. |
4 | Securities with a value of $6,288,000 and cash of $293,000 has been segregated as initial margin for open futures contracts. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2020 | 543 | 78,800 | 7,497 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $33,797,253) | 33,102,552 |
Affiliated Issuers (Cost $40,395) | 40,407 |
Total Investments in Securities | 33,142,959 |
Investment in Vanguard | 1,566 |
Cash | 6,504 |
Cash Collateral Pledged—Futures Contracts | 293 |
Receivables for Accrued Income | 59,612 |
Receivables for Capital Shares Issued | 5,771 |
Total Assets | 33,216,705 |
Liabilities | |
Payables for Investment Securities Purchased | 7,337 |
Collateral for Securities on Loan | 40,375 |
Payables for Capital Shares Redeemed | 9,877 |
Variation Margin Payable—Futures Contracts | 1,048 |
Payables to Vanguard | 2,799 |
Total Liabilities | 61,436 |
Net Assets | 33,155,269 |
Paid-in Capital | 34,118,145 |
Total Distributable Earnings (Loss) | (962,876) |
Net Assets | 33,155,269 |
ETF Shares—Net Assets | |
Applicable to 326,129,880 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 25,465,616 |
Net Asset Value Per Share—ETF Shares | $78.08 |
Admiral Shares—Net Assets | |
Applicable to 326,591,656 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,689,653 |
Net Asset Value Per Share—Admiral Shares | $23.55 |
Six Months Ended April 30, 2020 | |
($000) | |
Investment Income | |
Income | |
Dividends | 640,384 |
Interest1 | 228 |
Securities Lending—Net | 93 |
Total Income | 640,705 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,539 |
Management and Administrative—ETF Shares | 5,819 |
Management and Administrative—Admiral Shares | 2,775 |
Marketing and Distribution—ETF Shares | 824 |
Marketing and Distribution—Admiral Shares | 201 |
Custodian Fees | 251 |
Shareholders’ Reports—ETF Shares | 256 |
Shareholders’ Reports—Admiral Shares | 46 |
Trustees’ Fees and Expenses | 11 |
Total Expenses | 11,722 |
Net Investment Income | 628,983 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 561,577 |
Futures Contracts | (12,037) |
Realized Net Gain (Loss) | 549,540 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (5,621,430) |
Futures Contracts | 6,575 |
Change in Unrealized Appreciation (Depreciation) | (5,614,855) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,436,332) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $188,000, $24,000, and $12,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $722,002,000 of the net gain (loss) resulting from in-kind redemptions. |
Six Months Ended April 30, 2020 | Year Ended October 31, 2019 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 628,983 | 1,077,014 | |
Realized Net Gain (Loss) | 549,540 | 903,905 | |
Change in Unrealized Appreciation (Depreciation) | (5,614,855) | 1,477,708 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,436,332) | 3,458,627 | |
Distributions1 | |||
Investor Shares | — | (136,910) | |
ETF Shares | (435,474) | (785,436) | |
Admiral Shares | (132,970) | (131,730) | |
Total Distributions | (568,444) | (1,054,076) | |
Capital Share Transactions | |||
Investor Shares | (5,748) | (8,358,258) | |
ETF Shares | 2,455,639 | 3,714,888 | |
Admiral Shares | 74,198 | 8,543,837 | |
Net Increase (Decrease) from Capital Share Transactions | 2,524,089 | 3,900,467 | |
Total Increase (Decrease) | (2,480,687) | 6,305,018 | |
Net Assets | |||
Beginning of Period | 35,635,956 | 29,330,938 | |
End of Period | 33,155,269 | 35,635,956 |
1 | Certain prior period numbers have been reclassed to conform with current period presentation. |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | November 1, 2019 to November 7, 20191 | Year Ended October 31, | ||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $35.50 | $32.98 | $32.67 | $28.20 | $26.89 | $26.98 |
Investment Operations | ||||||
Net Investment Income | .0372 | 1.1412 | 1.0112 | .9272 | .854 | .815 |
Net Realized and Unrealized Gain (Loss) on Investments | .623 | 2.461 | .284 | 4.472 | 1.286 | (.088) |
Total from Investment Operations | .660 | 3.602 | 1.295 | 5.399 | 2.140 | .727 |
Distributions | ||||||
Dividends from Net Investment Income | — | (1.082) | (.985) | (.929) | (.830) | (.817) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | — | (1.082) | (.985) | (.929) | (.830) | (.817) |
Net Asset Value, End of Period | $36.161 | $35.50 | $32.98 | $32.67 | $28.20 | $26.89 |
Total Return3 | — | 11.20% | 3.96% | 19.37% | 8.11% | 2.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $— | $6 | $8,003 | $7,590 | $5,879 | $4,368 |
Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14% | 0.15% | 0.15% | 0.16% |
Ratio of Net Investment Income to Average Net Assets | 5.42% | 3.43% | 3.00% | 3.00% | 3.19% | 3.06% |
Portfolio Turnover Rate4 | 2%5 | 7% | 13% | 9% | 7% | 11% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Net asset value as of November 7, 2019, on which date the remaining Investor Shares were converted to Admiral Shares. |
2 | Calculated based on average shares outstanding. |
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, including ETF Creation Units. |
5 | Reflects the fund’s portfolio turnover for the period ended April 30, 2020. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended April 30, 2020 | Year Ended October 31, | ||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $89.60 | $83.26 | $82.46 | $71.19 | $67.88 | $68.11 |
Investment Operations | ||||||
Net Investment Income | 1.4941 | 2.8911 | 2.6231 | 2.3941 | 2.203 | 2.104 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.680) | 6.251 | .731 | 11.301 | 3.245 | (.222) |
Total from Investment Operations | (10.186) | 9.142 | 3.354 | 13.695 | 5.448 | 1.882 |
Distributions | ||||||
Dividends from Net Investment Income | (1.334) | (2.802) | (2.554) | (2.425) | (2.138) | (2.112) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.334) | (2.802) | (2.554) | (2.425) | (2.138) | (2.112) |
Net Asset Value, End of Period | $78.08 | $89.60 | $83.26 | $82.46 | $71.19 | $67.88 |
Total Return | -11.52% | 11.31% | 4.05% | 19.46% | 8.18% | 2.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,466 | $26,816 | $21,328 | $20,010 | $15,497 | $11,214 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.08% | 0.08% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 3.48% | 3.38% | 3.08% | 3.07% | 3.26% | 3.13% |
Portfolio Turnover Rate2 | 2% | 7% | 13% | 9% | 7% | 11% |
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. |
Admiral Shares | ||
For a Share Outstanding Throughout Each Period | Six Months Ended April 30, 2020 | February 7, 20191 to October 31, 2019 |
Net Asset Value, Beginning of Period | $27.02 | $25.00 |
Investment Operations | ||
Net Investment Income2 | .450 | .624 |
Net Realized and Unrealized Gain (Loss) on Investments | (3.521) | 2.010 |
Total from Investment Operations | (3.071) | 2.634 |
Distributions | ||
Dividends from Net Investment Income | (.399) | (.614) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.399) | (.614) |
Net Asset Value, End of Period | $23.55 | $27.02 |
Total Return3 | -11.49% | 10.64% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $7,690 | $8,814 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%4 |
Ratio of Net Investment Income to Average Net Assets | 3.47% | 3.24%4 |
Portfolio Turnover Rate5 | 2% | 7%6 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
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 | Annualized. |
5 | 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. |
6 | Reflects the fund’s portfolio turnover for the fiscal year ended October 31, 2019. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 33,093,765 | — | — | 33,093,765 |
Temporary Cash Investments | 40,407 | 8,787 | — | 49,194 |
Total | 33,134,172 | 8,787 | — | 33,142,959 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 1,048 | — | — | 1,048 |
1 | Represents variation margin on the last day of the reporting period. |
Amount ($000) | |
Tax Cost | 33,911,398 |
Gross Unrealized Appreciation | 4,289,269 |
Gross Unrealized Depreciation | (5,050,211) |
Net Unrealized Appreciation (Depreciation) | (760,942) |
Six Months Ended April 30, 2020 | Year Ended October 31, 2019 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 61 | 2 | 1,187,273 | 35,128 | |
Issued in Lieu of Cash Distributions | — | — | 112,567 | 3,539 | |
Redeemed1 | (5,809) | (161) | (9,658,098) | (281,141) | |
Net Increase (Decrease)—Investor Shares | (5,748) | (159) | (8,358,258) | (242,474) | |
ETF Shares | |||||
Issued | 4,794,392 | 55,107 | 7,516,552 | 88,367 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,338,753) | (28,250) | (3,801,664) | (45,250) | |
Net Increase (Decrease)—ETF Shares | 2,455,639 | 26,857 | 3,714,888 | 43,117 | |
Admiral Shares2 | |||||
Issued1 | 1,163,639 | 45,826 | 9,304,199 | 355,228 | |
Issued in Lieu of Cash Distributions | 104,743 | 4,058 | 100,934 | 3,824 | |
Redeemed | (1,194,184) | (49,522) | (861,296) | (32,822) | |
Net Increase (Decrease)—Admiral Shares | 74,198 | 362 | 8,543,837 | 326,230 |
1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 4,000 and 5,000 shares, respectively, in the amount of $91,000 from the conversion during the six months ended April 30, 2020. Investor Shares—Redeemed and Admiral Shares—Issued include 244,521,000 and 321,285,000 shares, respectively, in the amount of $8,204,425,000 from the conversion during the year ended October 31, 2019. |
2 | Inception was February 7, 2019, for Admiral Shares. |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749;
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Vanguard Marketing Corporation, Distributor.
Semiannual Report | April 30, 2020
Vanguard Emerging Markets Government Bond Index 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.
Contents | |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 37 |
Liquidity Risk Management | 39 |
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.
1
Six Months Ended April 30, 2020 |
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Emerging Markets Government Bond Index Fund | 10/31/2019 | 4/30/2020 | Period |
Based on Actual Fund Return | |||
ETF Shares | $1,000.00 | $911.15 | $1.19 |
Admiral™ Shares | 1,000.00 | 911.41 | 1.19 |
Institutional Shares | 1,000.00 | 911.45 | 1.14 |
Based on Hypothetical 5% Yearly Return | |||
ETF Shares | $1,000.00 | $1,023.62 | $1.26 |
Admiral Shares | 1,000.00 | 1,023.62 | 1.26 |
Institutional Shares | 1,000.00 | 1,023.67 | 1.21 |
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 0.25% for ETF Shares, 0.25% for Admiral Shares, and 0.24% 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).
2
Emerging Markets Government Bond Index Fund
Fund Allocation
As of April 30, 2020
Mexico | 9.3% |
Saudi Arabia | 9.2 |
Indonesia | 7.3 |
Qatar | 6.0 |
Brazil | 5.9 |
Turkey | 5.8 |
Russia | 5.3 |
China | 4.7 |
United Arab Emirates | 4.7 |
Colombia | 3.5 |
Philippines | 3.0 |
Panama | 2.1 |
Egypt | 1.8 |
Oman | 1.8 |
South Africa | 1.8 |
Malaysia | 1.6 |
Peru | 1.6 |
Dominican Republic | 1.5 |
Uruguay | 1.5 |
Argentina | 1.4 |
Bahrain | 1.4 |
Ukraine | 1.4 |
Chile | 1.1 |
Other | 16.3 |
The table reflects the fund’s investments, except for short-term investments and derivatives.
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 their target index as closely as possible.
3
Emerging Markets Government Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Angola (0.4%) | |||||
Sovereign Bonds (0.4%) | |||||
Republic of Angola | 9.500% | 11/12/25 | 2,750 | 1,292 | |
Republic of Angola | 8.250% | 5/9/28 | 3,300 | 1,441 | |
1 | Republic of Angola | 8.000% | 11/26/29 | 3,200 | 1,404 |
1 | Republic of Angola | 9.375% | 5/8/48 | 900 | 386 |
Republic of Angola | 9.375% | 5/8/48 | 2,300 | 980 | |
1 | Republic of Angola | 9.125% | 11/26/49 | 2,300 | 983 |
Total Angola (Cost $15,341) | 6,486 | ||||
Argentina (1.3%) | |||||
Sovereign Bonds (1.3%) | |||||
Argentine Republic | 5.625% | 1/26/22 | 6,100 | 1,685 | |
Argentine Republic | 4.625% | 1/11/23 | 3,186 | 904 | |
Argentine Republic | 7.500% | 4/22/26 | 10,035 | 2,659 | |
Argentine Republic | 6.875% | 1/26/27 | 6,980 | 1,771 | |
Argentine Republic | 5.875% | 1/11/28 | 7,913 | 1,968 | |
Argentine Republic | 6.625% | 7/6/28 | 1,861 | 484 | |
Argentine Republic | 8.280% | 12/31/33 | 7,955 | 2,775 | |
2 | Argentine Republic | 8.280% | 12/31/33 | 1,678 | 579 |
Argentine Republic | 7.125% | 7/6/36 | 3,331 | 812 | |
2 | Argentine Republic | 3.750% | 12/31/38 | 8,914 | 2,763 |
Argentine Republic | 7.625% | 4/22/46 | 5,075 | 1,237 | |
Argentine Republic | 6.875% | 1/11/48 | 5,575 | 1,324 | |
Argentine Republic | 7.125% | 6/28/17 | 4,825 | 1,170 | |
2 | Provincia de Buenos Aires | 9.125% | 3/16/24 | 350 | 95 |
2 | Provincia de Buenos Aires | 7.875% | 6/15/27 | 2,900 | 778 |
2 | YPF SA | 8.750% | 4/4/24 | 2,820 | 1,504 |
YPF SA | 8.500% | 7/28/25 | 2,837 | 1,363 | |
Total Argentina (Cost $65,796) | 23,871 | ||||
Armenia (0.1%) | |||||
Sovereign Bonds (0.1%) | |||||
Republic of Armenia | 7.150% | 3/26/25 | 900 | 957 | |
1 | Republic of Armenia | 3.950% | 9/26/29 | 700 | 649 |
Republic of Armenia | 3.950% | 9/26/29 | 200 | 185 | |
Total Armenia (Cost $1,847) | 1,791 |
4
Emerging Markets Government Bond Index Fund
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Azerbaijan (0.4%) | |||||
Sovereign Bonds (0.4%) | |||||
1 | Republic of Azerbaijan | 4.750% | 3/18/24 | 200 | 201 |
Republic of Azerbaijan | 4.750% | 3/18/24 | 2,400 | 2,414 | |
1,2 | Republic of Azerbaijan | 3.500% | 9/1/32 | 700 | 621 |
2 | Republic of Azerbaijan | 3.500% | 9/1/32 | 1,150 | 1,020 |
3 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 3,600 | 3,762 |
Total Azerbaijan (Cost $8,322) | 8,018 | ||||
Bahamas (0.1%) | |||||
Sovereign Bonds (0.1%) | |||||
2 | Commonwealth of the Bahamas | 6.000% | 11/21/28 | 500 | 394 |
1,2 | Commonwealth of the Bahamas | 6.000% | 11/21/28 | 850 | 690 |
Total Bahamas (Cost $1,409) | 1,084 | ||||
Bahrain (1.4%) | |||||
Sovereign Bonds (1.4%) | |||||
CBB International Sukuk Co. 5 SPC | 5.624% | 2/12/24 | 1,750 | 1,712 | |
CBB International Sukuk Co. 6 SPC | 5.250% | 3/20/25 | 1,600 | 1,544 | |
CBB International Sukuk Co. 7 SPC | 6.875% | 10/5/25 | 1,900 | 1,939 | |
1 | CBB International Sukuk Programme Co. SPC | 4.500% | 3/30/27 | 800 | 746 |
1 | Kingdom of Bahrain | 6.125% | 7/5/22 | 2,600 | 2,593 |
1 | Kingdom of Bahrain | 6.125% | 8/1/23 | 150 | 150 |
Kingdom of Bahrain | 6.125% | 8/1/23 | 2,775 | 2,782 | |
Kingdom of Bahrain | 7.000% | 1/26/26 | 1,950 | 1,951 | |
Kingdom of Bahrain | 7.000% | 10/12/28 | 2,900 | 2,881 | |
1 | Kingdom of Bahrain | 6.750% | 9/20/29 | 550 | 531 |
Kingdom of Bahrain | 6.750% | 9/20/29 | 2,800 | 2,708 | |
1 | Kingdom of Bahrain | 5.625% | 9/30/31 | 1,900 | 1,700 |
1 | Kingdom of Bahrain | 6.000% | 9/19/44 | 250 | 212 |
Kingdom of Bahrain | 6.000% | 9/19/44 | 2,200 | 1,862 | |
Kingdom of Bahrain | 7.500% | 9/20/47 | 1,000 | 951 | |
Total Bahrain (Cost $26,086) | 24,262 | ||||
Belarus (0.2%) | |||||
Sovereign Bonds (0.2%) | |||||
Republic of Belarus | 6.875% | 2/28/23 | 1,475 | 1,438 | |
Republic of Belarus | 7.625% | 6/29/27 | 1,250 | 1,232 | |
Republic of Belarus | 6.200% | 2/28/30 | 1,000 | 898 | |
Total Belarus (Cost $3,901) | 3,568 | ||||
Belize (0.0%) | |||||
Sovereign Bonds (0.0%) | |||||
2 | Belize | 4.938% | 2/20/34 | 1,000 | 425 |
Total Belize (Cost $680) | 425 | ||||
Bermuda (0.2%) | |||||
Sovereign Bonds (0.2%) | |||||
Bermuda | 4.854% | 2/6/24 | 1,000 | 1,045 | |
2 | Bermuda | 3.717% | 1/25/27 | 1,550 | 1,542 |
1,2 | Bermuda | 4.750% | 2/15/29 | 800 | 826 |
Total Bermuda (Cost $3,431) | 3,413 |
5
Emerging Markets Government Bond Index Fund
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Bolivia (0.2%) | |||||
Sovereign Bonds (0.2%) | |||||
Plurinational State of Bolivia | 4.875% | 10/29/22 | 800 | 742 | |
Plurinational State of Bolivia | 5.950% | 8/22/23 | 800 | 748 | |
2 | Plurinational State of Bolivia | 4.500% | 3/20/28 | 600 | 489 |
1,2 | Plurinational State of Bolivia | 4.500% | 3/20/28 | 1,600 | 1,316 |
Total Bolivia (Cost $3,823) | 3,295 | ||||
Brazil (5.9%) | |||||
Sovereign Bonds (5.9%) | |||||
Banco do Brasil SA | 5.875% | 1/26/22 | 2,905 | 2,988 | |
Banco do Brasil SA | 3.875% | 10/10/22 | 3,326 | 3,305 | |
Cemig Geracao e Transmissao SA | 9.250% | 12/5/24 | 2,800 | 2,918 | |
Federative Republic of Brazil | 2.625% | 1/5/23 | 4,061 | 4,061 | |
Federative Republic of Brazil | 8.875% | 4/15/24 | 2,125 | 2,598 | |
Federative Republic of Brazil | 4.250% | 1/7/25 | 7,703 | 7,924 | |
Federative Republic of Brazil | 8.750% | 2/4/25 | 397 | 481 | |
Federative Republic of Brazil | 6.000% | 4/7/26 | 4,180 | 4,588 | |
Federative Republic of Brazil | 10.125% | 5/15/27 | 1,456 | 1,951 | |
2 | Federative Republic of Brazil | 4.625% | 1/13/28 | 5,152 | 5,290 |
2 | Federative Republic of Brazil | 4.500% | 5/30/29 | 3,550 | 3,532 |
Federative Republic of Brazil | 8.250% | 1/20/34 | 2,589 | 3,191 | |
Federative Republic of Brazil | 7.125% | 1/20/37 | 3,136 | 3,567 | |
Federative Republic of Brazil | 5.625% | 1/7/41 | 4,277 | 4,266 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 5,086 | 4,711 | |
Federative Republic of Brazil | 5.625% | 2/21/47 | 5,183 | 5,196 | |
2 | Federative Republic of Brazil | 4.750% | 1/14/50 | 4,450 | 3,983 |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 2,860 | 2,899 | |
Petrobras Global Finance BV | 5.299% | 1/27/25 | 3,856 | 3,750 | |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 3,598 | 3,958 | |
Petrobras Global Finance BV | 7.375% | 1/17/27 | 4,220 | 4,436 | |
Petrobras Global Finance BV | 5.999% | 1/27/28 | 4,488 | 4,320 | |
Petrobras Global Finance BV | 5.750% | 2/1/29 | 3,025 | 2,881 | |
1 | Petrobras Global Finance BV | 5.093% | 1/15/30 | 7,702 | 7,018 |
Petrobras Global Finance BV | 7.250% | 3/17/44 | 3,035 | 2,990 | |
Petrobras Global Finance BV | 6.900% | 3/19/49 | 3,600 | 3,501 | |
Petrobras Global Finance BV | 6.850% | 6/5/15 | 4,555 | 4,282 | |
Total Brazil (Cost $106,485) | 104,585 | ||||
Cameroon (0.1%) | |||||
Sovereign Bonds (0.1%) | |||||
2 | Republic of Cameroon | 9.500% | 11/19/25 | 1,350 | 1,158 |
Total Cameroon (Cost $1,403) | 1,158 | ||||
Chile (1.0%) | |||||
Sovereign Bonds (1.0%) | |||||
Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 3,600 | 3,243 | |
1 | Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 400 | 404 |
Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 2,300 | 2,335 | |
Republic of Chile | 3.125% | 1/21/26 | 1,290 | 1,379 | |
2 | Republic of Chile | 3.240% | 2/6/28 | 3,450 | 3,694 |
2 | Republic of Chile | 2.550% | 1/27/32 | 900 | 889 |
6
Emerging Markets Government Bond Index Fund
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Chile | 3.860% | 6/21/47 | 2,450 | 2,625 | |
2 | Republic of Chile | 3.500% | 1/25/50 | 3,950 | 4,020 |
Total Chile (Cost $18,751) | 18,589 | ||||
China (4.6%) | |||||
Sovereign Bonds (4.6%) | |||||
Avi Funding Co. Ltd. | 3.800% | 9/16/25 | 200 | 219 | |
Bank of China Ltd. | 5.000% | 11/13/24 | 5,450 | 5,917 | |
China Cinda Finance 2015 I Ltd. | 4.250% | 4/23/25 | 3,150 | 3,433 | |
2 | China Construction Bank Corp. | 4.250% | 2/27/29 | 3,436 | 3,598 |
CNAC HK Finbridge Co. Ltd. | 3.500% | 7/19/22 | 2,798 | 2,814 | |
CNAC HK Finbridge Co. Ltd. | 4.125% | 7/19/27 | 680 | 697 | |
CNAC HK Finbridge Co. Ltd. | 5.125% | 3/14/28 | 2,300 | 2,491 | |
1 | CNOOC Curtis Funding No 1 Pty Ltd. | 4.500% | 10/3/23 | 300 | 323 |
CNOOC Curtis Funding No 1 Pty Ltd. | 4.500% | 10/3/23 | 3,514 | 3,788 | |
1 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,600 | 1,656 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 3,074 | 3,159 | |
CNOOC Finance 2015 USA LLC | 3.500% | 5/5/25 | 2,450 | 2,595 | |
CNOOC Finance 2015 USA LLC | 4.375% | 5/2/28 | 500 | 565 | |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 2,760 | 2,955 | |
Export-Import Bank of China | 3.625% | 7/31/24 | 2,777 | 2,984 | |
2 | Huarong Finance 2017 Co. Ltd. | 4.500% | 12/31/49 | 550 | 547 |
Huarong Finance II Co. Ltd. | 3.625% | 11/22/21 | 750 | 754 | |
2 | Huarong Finance II Co. Ltd. | 2.875% | 12/31/49 | 1,200 | 1,156 |
Industrial & Commercial Bank of China Ltd. | 4.875% | 9/21/25 | 3,850 | 4,200 | |
People’s Republic of China | 2.125% | 11/2/22 | 2,673 | 2,746 | |
People’s Republic of China | 3.250% | 10/19/23 | 2,900 | 3,120 | |
People’s Republic of China | 1.950% | 12/3/24 | 7,000 | 7,213 | |
People’s Republic of China | 2.625% | 11/2/27 | 1,951 | 2,096 | |
People’s Republic of China | 3.500% | 10/19/28 | 300 | 346 | |
People’s Republic of China | 2.125% | 12/3/29 | 4,250 | 4,448 | |
People’s Republic of China | 2.750% | 12/3/39 | 500 | 517 | |
People’s Republic of China | 4.000% | 10/19/48 | 1,100 | 1,438 | |
1 | Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 1,369 | 1,419 |
Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 1,107 | 1,147 | |
Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 2,793 | 3,003 | |
Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 2,800 | 2,935 | |
State Grid Overseas Investment 2014 Ltd. | 4.125% | 5/7/24 | 2,970 | 3,218 | |
1 | State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 800 | 866 |
State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 3,275 | 3,545 | |
Total China (Cost $78,809) | 81,908 | ||||
Colombia (3.4%) | |||||
Sovereign Bonds (3.4%) | |||||
Ecopetrol SA | 5.875% | 9/18/23 | 2,885 | 2,968 | |
Ecopetrol SA | 4.125% | 1/16/25 | 400 | 378 | |
Ecopetrol SA | 5.375% | 6/26/26 | 2,940 | 2,914 | |
Ecopetrol SA | 6.875% | 4/29/30 | 3,200 | 3,300 | |
Ecopetrol SA | 7.375% | 9/18/43 | 400 | 416 |
7
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Ecopetrol SA | 5.875% | 5/28/45 | 3,205 | 2,828 | ||
Republic of Colombia | 4.375% | 7/12/21 | 2,959 | 3,003 | ||
2 | Republic of Colombia | 2.625% | 3/15/23 | 1,960 | 1,919 | |
Republic of Colombia | 4.000% | 2/26/24 | 3,645 | 3,699 | ||
Republic of Colombia | 8.125% | 5/21/24 | 1,880 | 2,171 | ||
2 | Republic of Colombia | 4.500% | 1/28/26 | 2,867 | 2,936 | |
2 | Republic of Colombia | 3.875% | 4/25/27 | 4,525 | 4,462 | |
2 | Republic of Colombia | 4.500% | 3/15/29 | 3,100 | 3,156 | |
2 | Republic of Colombia | 3.000% | 1/30/30 | 2,300 | 2,021 | |
Republic of Colombia | 7.375% | 9/18/37 | 2,982 | 3,672 | ||
Republic of Colombia | 6.125% | 1/18/41 | 4,482 | 4,976 | ||
2 | Republic of Colombia | 5.625% | 2/26/44 | 4,884 | 5,243 | |
2 | Republic of Colombia | 5.000% | 6/15/45 | 7,850 | 7,792 | |
Republic of Colombia | 5.200% | 5/15/49 | 3,570 | 3,663 | ||
Total Colombia (Cost $64,162) | 61,517 | |||||
Costa Rica (0.4%) | ||||||
Sovereign Bonds (0.4%) | ||||||
Republic of Costa Rica | 4.250% | 1/26/23 | 2,082 | 1,854 | ||
Republic of Costa Rica | 4.375% | 4/30/25 | 700 | 578 | ||
1,2 | Republic of Costa Rica | 6.125% | 2/19/31 | 2,000 | 1,625 | |
Republic of Costa Rica | 5.625% | 4/30/43 | 800 | 547 | ||
Republic of Costa Rica | 7.000% | 4/4/44 | 1,930 | 1,467 | ||
Republic of Costa Rica | 7.158% | 3/12/45 | 2,351 | 1,817 | ||
Total Costa Rica (Cost $9,646) | 7,888 | |||||
Cote d’Ivoire (0.3%) | ||||||
Sovereign Bonds (0.3%) | ||||||
2 | Republic of Cote d’Ivoire | 6.375% | 3/3/28 | 1,900 | 1,696 | |
2 | Republic of Cote d’Ivoire | 5.750% | 12/31/32 | 2,073 | 1,802 | |
2 | Republic of Cote d’Ivoire | 6.125% | 6/15/33 | 2,500 | 2,142 | |
Total Cote d’Ivoire (Cost $6,291) | 5,640 | |||||
Croatia (0.4%) | ||||||
Sovereign Bonds (0.4%) | ||||||
Republic of Croatia | 5.500% | 4/4/23 | 2,700 | 2,908 | ||
Republic of Croatia | 6.000% | 1/26/24 | 3,235 | 3,600 | ||
Total Croatia (Cost $6,379) | 6,508 | |||||
Dominican Republic (1.5%) | ||||||
Sovereign Bonds (1.5%) | ||||||
2 | Dominican Republic | 7.500% | 5/6/21 | 1,708 | 1,700 | |
Dominican Republic | 6.600% | 1/28/24 | 875 | 853 | ||
2 | Dominican Republic | 5.875% | 4/18/24 | 1,850 | 1,785 | |
Dominican Republic | 5.500% | 1/27/25 | 2,960 | 2,763 | ||
Dominican Republic | 6.875% | 1/29/26 | 2,945 | 2,812 | ||
Dominican Republic | 5.950% | 1/25/27 | 2,800 | 2,515 | ||
1 | Dominican Republic | 6.000% | 7/19/28 | 950 | 850 | |
Dominican Republic | 6.000% | 7/19/28 | 1,519 | 1,361 | ||
1 | Dominican Republic | 4.500% | 1/30/30 | 1,900 | 1,568 | |
Dominican Republic | 7.450% | 4/30/44 | 2,565 | 2,313 | ||
1 | Dominican Republic | 6.850% | 1/27/45 | 370 | 300 | |
2 | Dominican Republic | 6.850% | 1/27/45 | 3,544 | 2,871 |
8
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Dominican Republic | 6.500% | 2/15/48 | 350 | 287 | ||
1 | Dominican Republic | 6.500% | 2/15/48 | 525 | 431 | |
1 | Dominican Republic | 6.400% | 6/5/49 | 2,300 | 1,851 | |
Dominican Republic | 6.400% | 6/5/49 | 600 | 491 | ||
1 | Dominican Republic | 5.875% | 1/30/60 | 2,850 | 2,244 | |
Total Dominican Republic (Cost $32,048) | 26,995 | |||||
Ecuador (0.6%) | ||||||
Sovereign Bonds (0.6%) | ||||||
5 | Republic of Ecuador | 10.750% | 3/28/22 | 5,600 | 1,760 | |
5 | Republic of Ecuador | 8.750% | 6/2/23 | 2,500 | 773 | |
5 | Republic of Ecuador | 7.950% | 6/20/24 | 4,250 | 1,332 | |
1,5 | Republic of Ecuador | 7.875% | 3/27/25 | 500 | 142 | |
5 | Republic of Ecuador | 7.875% | 3/27/25 | 200 | 57 | |
5 | Republic of Ecuador | 9.650% | 12/13/26 | 3,450 | 980 | |
5 | Republic of Ecuador | 9.625% | 6/2/27 | 1,900 | 535 | |
5 | Republic of Ecuador | 8.875% | 10/23/27 | 4,800 | 1,372 | |
1,5 | Republic of Ecuador | 7.875% | 1/23/28 | 5,200 | 1,478 | |
5 | Republic of Ecuador | 7.875% | 1/23/28 | 700 | 199 | |
1,5 | Republic of Ecuador | 10.750% | 1/31/29 | 3,600 | 1,026 | |
1,5 | Republic of Ecuador | 9.500% | 3/27/30 | 2,400 | 698 | |
Total Ecuador (Cost $35,520) | 10,352 | |||||
Egypt (1.8%) | ||||||
Sovereign Bonds (1.8%) | ||||||
Arab Republic of Egypt | 6.125% | 1/31/22 | 4,453 | 4,427 | ||
1 | Arab Republic of Egypt | 5.577% | 2/21/23 | 300 | 289 | |
Arab Republic of Egypt | 5.577% | 2/21/23 | 1,750 | 1,694 | ||
1 | Arab Republic of Egypt | 4.550% | 11/20/23 | 800 | 750 | |
Arab Republic of Egypt | 6.200% | 3/1/24 | 1,650 | 1,598 | ||
Arab Republic of Egypt | 5.875% | 6/11/25 | 2,475 | 2,334 | ||
Arab Republic of Egypt | 7.500% | 1/31/27 | 4,100 | 3,983 | ||
Arab Republic of Egypt | 6.588% | 2/21/28 | 2,225 | 2,035 | ||
Arab Republic of Egypt | 7.600% | 3/1/29 | 3,850 | 3,658 | ||
1 | Arab Republic of Egypt | 7.053% | 1/15/32 | 1,350 | 1,207 | |
Arab Republic of Egypt | 6.875% | 4/30/40 | 800 | 661 | ||
Arab Republic of Egypt | 8.500% | 1/31/47 | 4,560 | 4,067 | ||
Arab Republic of Egypt | 7.903% | 2/21/48 | 1,900 | 1,637 | ||
Arab Republic of Egypt | 8.700% | 3/1/49 | 2,950 | 2,640 | ||
1 | Arab Republic of Egypt | 8.150% | 11/20/59 | 1,000 | 870 | |
Total Egypt (Cost $35,065) | 31,850 | |||||
El Salvador (0.5%) | ||||||
Sovereign Bonds (0.5%) | ||||||
Republic of El Salvador | 7.750% | 1/24/23 | 1,649 | 1,413 | ||
Republic of El Salvador | 5.875% | 1/30/25 | 1,218 | 979 | ||
1 | Republic of El Salvador | 6.375% | 1/18/27 | 150 | 119 | |
Republic of El Salvador | 6.375% | 1/18/27 | 1,162 | 922 | ||
Republic of El Salvador | 8.625% | 2/28/29 | 1,255 | 1,061 | ||
Republic of El Salvador | 8.250% | 4/10/32 | 1,032 | 847 | ||
Republic of El Salvador | 7.650% | 6/15/35 | 1,840 | 1,452 |
9
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Republic of El Salvador | 7.625% | 2/1/41 | 1,218 | 932 | ||
1,2 | Republic of El Salvador | 7.125% | 1/20/50 | 1,800 | 1,341 | |
Total El Salvador (Cost $11,628) | 9,066 | |||||
Ethiopia (0.1%) | ||||||
Sovereign Bonds (0.1%) | ||||||
Federal Democratic Republic of Ethiopia | 6.625% | 12/11/24 | 1,750 | 1,508 | ||
Total Ethiopia (Cost $1,761) | 1,508 | |||||
Gabon (0.2%) | ||||||
Sovereign Bonds (0.2%) | ||||||
2 | Gabonese Republic | 6.375% | 12/12/24 | 1,586 | 1,135 | |
Gabonese Republic | 6.950% | 6/16/25 | 1,050 | 742 | ||
1,2 | Gabonese Republic | 6.625% | 2/6/31 | 1,500 | 1,050 | |
Total Gabon (Cost $4,139) | 2,927 | |||||
Ghana (0.8%) | ||||||
Sovereign Bonds (0.8%) | ||||||
2 | Republic of Ghana | 8.125% | 1/18/26 | 1,570 | 1,291 | |
1,2 | Republic of Ghana | 6.375% | 2/11/27 | 2,500 | 1,919 | |
2 | Republic of Ghana | 7.875% | 3/26/27 | 730 | 576 | |
2 | Republic of Ghana | 7.625% | 5/16/29 | 2,500 | 1,910 | |
2 | Republic of Ghana | 10.750% | 10/14/30 | 1,400 | 1,458 | |
2 | Republic of Ghana | 8.125% | 3/26/32 | 2,700 | 2,046 | |
1,2 | Republic of Ghana | 7.875% | 2/11/35 | 2,000 | 1,505 | |
1,2 | Republic of Ghana | 8.627% | 6/16/49 | 1,600 | 1,200 | |
2 | Republic of Ghana | 8.950% | 3/26/51 | 1,700 | 1,280 | |
1,2 | Republic of Ghana | 8.750% | 3/11/61 | 1,100 | 830 | |
Total Ghana (Cost $18,140) | 14,015 | |||||
Guatemala (0.5%) | ||||||
Sovereign Bonds (0.5%) | ||||||
Republic of Guatemala | 5.750% | 6/6/22 | 1,453 | 1,497 | ||
Republic of Guatemala | 4.500% | 5/3/26 | 1,500 | 1,490 | ||
Republic of Guatemala | 4.375% | 6/5/27 | 1,200 | 1,185 | ||
Republic of Guatemala | 4.875% | 2/13/28 | 600 | 601 | ||
1,2 | Republic of Guatemala | 4.900% | 6/1/30 | 400 | 395 | |
1,2 | Republic of Guatemala | 5.375% | 4/24/32 | 800 | 814 | |
2 | Republic of Guatemala | 6.125% | 6/1/50 | 2,900 | 3,028 | |
Total Guatemala (Cost $9,000) | 9,010 | |||||
Honduras (0.1%) | ||||||
Sovereign Bonds (0.1%) | ||||||
2 | Republic of Honduras | 7.500% | 3/15/24 | 1,000 | 985 | |
Republic of Honduras | 6.250% | 1/19/27 | 1,270 | 1,191 | ||
Total Honduras (Cost $2,406) | 2,176 | |||||
Hungary (0.8%) | ||||||
Sovereign Bonds (0.8%) | ||||||
Republic of Hungary | 6.375% | 3/29/21 | 5 | 5 | ||
Republic of Hungary | 5.375% | 2/21/23 | 2,990 | 3,229 | ||
Republic of Hungary | 5.750% | 11/22/23 | 3,204 | 3,564 |
10
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Republic of Hungary | 5.375% | 3/25/24 | 3,573 | 3,977 | ||
Republic of Hungary | 7.625% | 3/29/41 | 2,300 | 3,670 | ||
Total Hungary (Cost $13,905) | 14,445 | |||||
Indonesia (7.2%) | ||||||
Sovereign Bonds (7.2%) | ||||||
Pertamina Persero PT | 4.875% | 5/3/22 | 750 | 769 | ||
1 | Pertamina Persero PT | 4.300% | 5/20/23 | 430 | 436 | |
Pertamina Persero PT | 4.300% | 5/20/23 | 1,500 | 1,528 | ||
1 | Pertamina Persero PT | 5.625% | 5/20/43 | 200 | 203 | |
Pertamina Persero PT | 6.450% | 5/30/44 | 2,100 | 2,331 | ||
Pertamina Persero PT | 6.500% | 11/7/48 | 400 | 449 | ||
1 | Perusahaan Listrik Negara PT | 4.125% | 5/15/27 | 1,250 | 1,239 | |
Perusahaan Listrik Negara PT | 4.125% | 5/15/27 | 1,417 | 1,405 | ||
1 | Perusahaan Listrik Negara PT | 5.250% | 10/24/42 | 300 | 306 | |
Perusahaan Penerbit SBSN Indonesia III | 3.400% | 3/29/22 | 2,100 | 2,118 | ||
Perusahaan Penerbit SBSN Indonesia III | 3.300% | 11/21/22 | 378 | 381 | ||
1 | Perusahaan Penerbit SBSN Indonesia III | 3.750% | 3/1/23 | 800 | 816 | |
4 | Perusahaan Penerbit SBSN Indonesia III | 3.750% | 3/1/23 | 2,000 | 2,040 | |
4 | Perusahaan Penerbit SBSN Indonesia III | 3.900% | 8/20/24 | 850 | 873 | |
1 | Perusahaan Penerbit SBSN Indonesia III | 4.350% | 9/10/24 | 400 | 418 | |
Perusahaan Penerbit SBSN Indonesia III | 4.350% | 9/10/24 | 3,100 | 3,236 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.325% | 5/28/25 | 3,169 | 3,316 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.550% | 3/29/26 | 3,585 | 3,809 | ||
Perusahaan Penerbit SBSN Indonesia III | 4.150% | 3/29/27 | 4,250 | 4,441 | ||
1 | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 3/1/28 | 900 | 954 | |
4 | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 3/1/28 | 2,182 | 2,313 | |
1,4 | Perusahaan Penerbit SBSN Indonesia III | 4.450% | 2/20/29 | 1,000 | 1,067 | |
4 | Perusahaan Penerbit SBSN Indonesia III | 4.450% | 2/20/29 | 600 | 640 | |
Republic of Indonesia | 4.875% | 5/5/21 | 3,500 | 3,573 | ||
Republic of Indonesia | 3.700% | 1/8/22 | 1,500 | 1,524 | ||
Republic of Indonesia | 3.750% | 4/25/22 | 3,950 | 4,019 | ||
Republic of Indonesia | 3.375% | 4/15/23 | 4,400 | 4,465 | ||
Republic of Indonesia | 5.375% | 10/17/23 | 1,459 | 1,571 | ||
Republic of Indonesia | 5.875% | 1/15/24 | 3,950 | 4,331 | ||
Republic of Indonesia | 4.450% | 2/11/24 | 1,800 | 1,895 | ||
Republic of Indonesia | 4.125% | 1/15/25 | 4,230 | 4,408 | ||
Republic of Indonesia | 4.750% | 1/8/26 | 4,450 | 4,806 | ||
Republic of Indonesia | 4.350% | 1/8/27 | 2,500 | 2,655 | ||
Republic of Indonesia | 3.850% | 7/18/27 | 2,250 | 2,322 | ||
Republic of Indonesia | 3.500% | 1/11/28 | 2,636 | 2,659 | ||
Republic of Indonesia | 4.100% | 4/24/28 | 2,458 | 2,581 | ||
Republic of Indonesia | 4.750% | 2/11/29 | 2,200 | 2,409 | ||
Republic of Indonesia | 3.400% | 9/18/29 | 1,600 | 1,596 | ||
Republic of Indonesia | 2.850% | 2/14/30 | 500 | 484 | ||
Republic of Indonesia | 8.500% | 10/12/35 | 3,340 | 4,843 | ||
Republic of Indonesia | 6.625% | 2/17/37 | 2,687 | 3,403 | ||
Republic of Indonesia | 7.750% | 1/17/38 | 3,888 | 5,472 | ||
Republic of Indonesia | 5.250% | 1/17/42 | 4,400 | 5,003 | ||
Republic of Indonesia | 4.625% | 4/15/43 | 3,125 | 3,334 | ||
Republic of Indonesia | 6.750% | 1/15/44 | 3,650 | 4,946 | ||
Republic of Indonesia | 5.125% | 1/15/45 | 4,069 | 4,586 |
11
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Republic of Indonesia | 5.950% | 1/8/46 | 1,360 | 1,695 | ||
Republic of Indonesia | 5.250% | 1/8/47 | 3,200 | 3,692 | ||
Republic of Indonesia | 4.750% | 7/18/47 | 1,850 | 2,001 | ||
Republic of Indonesia | 4.350% | 1/11/48 | 2,850 | 2,950 | ||
Republic of Indonesia | 5.350% | 2/11/49 | 1,900 | 2,251 | ||
Republic of Indonesia | 3.700% | 10/30/49 | 1,850 | 1,818 | ||
Republic of Indonesia | 3.500% | 2/14/50 | 1,400 | 1,393 | ||
Total Indonesia (Cost $125,420) | 127,773 | |||||
Iraq (0.3%) | ||||||
Sovereign Bonds (0.3%) | ||||||
1 | Republic of Iraq | 6.752% | 3/9/23 | 650 | 491 | |
Republic of Iraq | 6.752% | 3/9/23 | 1,550 | 1,170 | ||
2 | Republic of Iraq | 5.800% | 1/15/28 | 4,695 | 3,404 | |
Total Iraq (Cost $6,673) | 5,065 | |||||
Jamaica (0.5%) | ||||||
Sovereign Bonds (0.5%) | ||||||
Jamaica | 6.750% | 4/28/28 | 2,550 | 2,537 | ||
2 | Jamaica | 8.000% | 3/15/39 | 2,248 | 2,349 | |
Jamaica | 7.875% | 7/28/45 | 3,250 | 3,386 | ||
Total Jamaica (Cost $9,530) | 8,272 | |||||
Jordan (0.3%) | ||||||
Sovereign Bonds (0.3%) | ||||||
Hashemite Kingdom of Jordan | 6.125% | 1/29/26 | 1,800 | 1,769 | ||
Hashemite Kingdom of Jordan | 5.750% | 1/31/27 | 1,814 | 1,735 | ||
Hashemite Kingdom of Jordan | 7.375% | 10/10/47 | 1,850 | 1,712 | ||
Total Jordan (Cost $5,467) | 5,216 | |||||
Kazakhstan (0.9%) | ||||||
Sovereign Bonds (0.9%) | ||||||
KazMunayGas National Co. JSC | 5.750% | 4/19/47 | 1,400 | 1,388 | ||
1 | KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 900 | 929 | |
KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 600 | 626 | ||
Republic of Kazakhstan | 3.875% | 10/14/24 | 2,320 | 2,447 | ||
Republic of Kazakhstan | 5.125% | 7/21/25 | 5,000 | 5,546 | ||
Republic of Kazakhstan | 4.875% | 10/14/44 | 1,900 | 2,148 | ||
Republic of Kazakhstan | 6.500% | 7/21/45 | 2,630 | 3,481 | ||
Total Kazakhstan (Cost $16,165) | 16,565 | |||||
Kenya (0.5%) | ||||||
Sovereign Bonds (0.5%) | ||||||
1 | Republic of Kenya | 6.875% | 6/24/24 | 200 | 182 | |
Republic of Kenya | 6.875% | 6/24/24 | 3,475 | 3,172 | ||
2 | Republic of Kenya | 7.000% | 5/22/27 | 1,425 | 1,283 | |
Republic of Kenya | 7.250% | 2/28/28 | 1,800 | 1,624 | ||
2 | Republic of Kenya | 8.000% | 5/22/32 | 2,200 | 1,985 | |
Republic of Kenya | 8.250% | 2/28/48 | 1,825 | 1,633 | ||
Total Kenya (Cost $11,018) | 9,879 |
12
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Kuwait (0.9%) | ||||||
Sovereign Bonds (0.9%) | ||||||
State of Kuwait | 2.750% | 3/20/22 | 6,575 | 6,714 | ||
State of Kuwait | 3.500% | 3/20/27 | 8,290 | 9,081 | ||
Total Kuwait (Cost $15,136) | 15,795 | |||||
Lebanon (0.3%) | ||||||
Sovereign Bonds (0.3%) | ||||||
5 | Republic of Lebanon | 6.100% | 10/4/22 | 4,339 | 693 | |
5 | Republic of Lebanon | 6.000% | 1/27/23 | 1,810 | 288 | |
5 | Republic of Lebanon | 6.650% | 4/22/24 | 1,791 | 285 | |
5 | Republic of Lebanon | 6.200% | 2/26/25 | 2,100 | 335 | |
5 | Republic of Lebanon | 6.250% | 6/12/25 | 400 | 64 | |
5 | Republic of Lebanon | 6.600% | 11/27/26 | 3,605 | 572 | |
5 | Republic of Lebanon | 6.850% | 3/23/27 | 2,750 | 430 | |
5 | Republic of Lebanon | 6.750% | 11/29/27 | 2,411 | 380 | |
5 | Republic of Lebanon | 6.650% | 11/3/28 | 2,040 | 324 | |
5 | Republic of Lebanon | 6.850% | 5/25/29 | 500 | 79 | |
5 | Republic of Lebanon | 6.650% | 2/26/30 | 3,225 | 512 | |
5 | Republic of Lebanon | 7.000% | 3/23/32 | 2,450 | 389 | |
5 | Republic of Lebanon | 7.050% | 11/2/35 | 500 | 79 | |
5 | Republic of Lebanon | 7.250% | 3/23/37 | 1,825 | 286 | |
Total Lebanon (Cost $25,344) | 4,716 | |||||
Malaysia (1.6%) | ||||||
Sovereign Bonds (1.6%) | ||||||
1MDB Global Investments Ltd. | 4.400% | 3/9/23 | 5,700 | 5,082 | ||
Malaysia Sovereign Sukuk Bhd. | 3.043% | 4/22/25 | 1,850 | 1,937 | ||
Malaysia Sovereign Sukuk Bhd. | 4.236% | 4/22/45 | 775 | 924 | ||
Malaysia Sukuk Global Bhd. | 3.179% | 4/27/26 | 2,000 | 2,119 | ||
Malaysia Sukuk Global Bhd. | 4.080% | 4/27/46 | 950 | 1,098 | ||
Petronas Capital Ltd. | 3.500% | 3/18/25 | 2,800 | 2,918 | ||
1 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 3,750 | 3,937 | |
Petronas Capital Ltd. | 4.500% | 3/18/45 | 2,800 | 3,088 | ||
1 | Petronas Capital Ltd. | 4.550% | 4/21/50 | 4,200 | 4,578 | |
1 | Petronas Capital Ltd. | 4.800% | 4/21/60 | 600 | 693 | |
1 | Wakala Global Sukuk Bhd. | 4.646% | 7/6/21 | 1,450 | 1,499 | |
Total Malaysia (Cost $27,773) | 27,873 | |||||
Mexico (9.1%) | ||||||
Sovereign Bonds (9.1%) | ||||||
1 | Mexico City Airport Trust | 5.500% | 7/31/47 | 390 | 343 | |
Mexico City Airport Trust | 5.500% | 7/31/47 | 3,554 | 2,950 | ||
Petroleos Mexicanos | 6.875% | 8/4/26 | 5,657 | 4,681 | ||
1 | Petroleos Mexicanos | 6.490% | 1/23/27 | 3,791 | 3,081 | |
Petroleos Mexicanos | 6.500% | 3/13/27 | 9,437 | 7,653 | ||
Petroleos Mexicanos | 5.350% | 2/12/28 | 5,250 | 3,918 | ||
Petroleos Mexicanos | 6.500% | 1/23/29 | 4,075 | 3,186 | ||
1 | Petroleos Mexicanos | 6.840% | 1/23/30 | 7,159 | 5,587 | |
1 | Petroleos Mexicanos | 5.950% | 1/28/31 | 5,900 | 4,266 | |
Petroleos Mexicanos | 6.625% | 6/15/35 | 5,144 | 3,604 | ||
Petroleos Mexicanos | 6.500% | 6/2/41 | 2,960 | 1,979 | ||
Petroleos Mexicanos | 6.375% | 1/23/45 | 2,910 | 1,931 |
13
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Petroleos Mexicanos | 6.750% | 9/21/47 | 10,379 | 7,153 | ||
Petroleos Mexicanos | 6.350% | 2/12/48 | 5,455 | 3,633 | ||
1 | Petroleos Mexicanos | 7.690% | 1/23/50 | 14,515 | 10,647 | |
1 | Petroleos Mexicanos | 6.950% | 1/28/60 | 6,894 | 4,807 | |
United Mexican States | 3.625% | 3/15/22 | 3,273 | 3,326 | ||
United Mexican States | 8.000% | 9/24/22 | 1,200 | 1,368 | ||
United Mexican States | 4.000% | 10/2/23 | 5,526 | 5,650 | ||
United Mexican States | 3.600% | 1/30/25 | 4,099 | 4,107 | ||
2 | United Mexican States | 3.900% | 4/27/25 | 3,000 | 2,996 | |
United Mexican States | 4.125% | 1/21/26 | 4,362 | 4,440 | ||
United Mexican States | 4.150% | 3/28/27 | 5,360 | 5,393 | ||
United Mexican States | 3.750% | 1/11/28 | 3,830 | 3,766 | ||
United Mexican States | 4.500% | 4/22/29 | 5,661 | 5,713 | ||
2 | United Mexican States | 3.250% | 4/16/30 | 5,625 | 5,042 | |
United Mexican States | 8.300% | 8/15/31 | 1,500 | 2,008 | ||
2 | United Mexican States | 4.750% | 4/27/32 | 2,900 | 2,920 | |
United Mexican States | 7.500% | 4/8/33 | 1,010 | 1,303 | ||
United Mexican States | 6.750% | 9/27/34 | 2,976 | 3,586 | ||
United Mexican States | 6.050% | 1/11/40 | 6,719 | 7,292 | ||
United Mexican States | 4.750% | 3/8/44 | 7,720 | 7,183 | ||
United Mexican States | 5.550% | 1/21/45 | 5,104 | 5,290 | ||
United Mexican States | 4.600% | 1/23/46 | 5,481 | 4,983 | ||
United Mexican States | 4.350% | 1/15/47 | 3,526 | 3,104 | ||
United Mexican States | 4.600% | 2/10/48 | 4,223 | 3,839 | ||
2 | United Mexican States | 4.500% | 1/31/50 | 5,300 | 4,758 | |
2 | United Mexican States | 5.000% | 4/27/51 | 1,000 | 910 | |
United Mexican States | 5.750% | 10/12/10 | 5,062 | 4,802 | ||
Total Mexico (Cost $193,002) | 163,198 | |||||
Mongolia (0.2%) | ||||||
Sovereign Bonds (0.2%) | ||||||
Mongolia | 5.125% | 12/5/22 | 3,050 | 2,698 | ||
1 | Mongolia | 5.625% | 5/1/23 | 200 | 176 | |
Mongolia | 8.750% | 3/9/24 | 1,000 | 948 | ||
Total Mongolia (Cost $4,286) | 3,822 | |||||
Morocco (0.2%) | ||||||
Sovereign Bonds (0.2%) | ||||||
Kingdom of Morocco | 4.250% | 12/11/22 | 2,600 | 2,704 | ||
Kingdom of Morocco | 5.500% | 12/11/42 | 1,125 | 1,274 | ||
OCP SA | 6.875% | 4/25/44 | 300 | 357 | ||
Total Morocco (Cost $4,155) | 4,335 | |||||
Mozambique (0.1%) | ||||||
Sovereign Bonds (0.1%) | ||||||
2 | Republic of Mozambique | 5.000% | 9/15/31 | 1,700 | 1,175 | |
Total Mozambique (Cost $1,611) | 1,175 | |||||
Namibia (0.1%) | ||||||
Sovereign Bonds (0.1%) | ||||||
Republic of Namibia | 5.500% | 11/3/21 | 1,200 | 1,153 | ||
Republic of Namibia | 5.250% | 10/29/25 | 1,150 | 1,044 | ||
Total Namibia (Cost $2,376) | 2,197 |
14
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Nigeria (0.8%) | ||||||
Sovereign Bonds (0.8%) | ||||||
Federal Republic of Nigeria | 6.375% | 7/12/23 | 1,000 | 855 | ||
1 | Federal Republic of Nigeria | 7.625% | 11/21/25 | 400 | 334 | |
Federal Republic of Nigeria | 7.625% | 11/21/25 | 1,550 | 1,290 | ||
Federal Republic of Nigeria | 6.500% | 11/28/27 | 2,600 | 1,954 | ||
Federal Republic of Nigeria | 7.143% | 2/23/30 | 2,500 | 1,881 | ||
1 | Federal Republic of Nigeria | 8.747% | 1/21/31 | 1,100 | 880 | |
Federal Republic of Nigeria | 7.875% | 2/16/32 | 2,850 | 2,149 | ||
1 | Federal Republic of Nigeria | 7.875% | 2/16/32 | 700 | 528 | |
1 | Federal Republic of Nigeria | 7.696% | 2/23/38 | 2,175 | 1,601 | |
Federal Republic of Nigeria | 7.625% | 11/28/47 | 1,900 | 1,389 | ||
Federal Republic of Nigeria | 9.248% | 1/21/49 | 1,500 | 1,219 | ||
Total Nigeria (Cost $18,560) | 14,080 | |||||
Oman (1.8%) | ||||||
Sovereign Bonds (1.8%) | ||||||
Oman Sovereign Sukuk SAOC | 4.397% | 6/1/24 | 4,200 | 3,892 | ||
1 | Oman Sovereign Sukuk SAOC | 5.932% | 10/31/25 | 900 | 849 | |
Oman Sovereign Sukuk SAOC | 5.932% | 10/31/25 | 1,900 | 1,786 | ||
Sultanate of Oman | 3.625% | 6/15/21 | 2,419 | 2,315 | ||
Sultanate of Oman | 3.875% | 3/8/22 | 2,450 | 2,243 | ||
1 | Sultanate of Oman | 4.125% | 1/17/23 | 1,250 | 1,083 | |
Sultanate of Oman | 4.125% | 1/17/23 | 1,000 | 867 | ||
1 | Sultanate of Oman | 4.875% | 2/1/25 | 450 | 367 | |
Sultanate of Oman | 4.750% | 6/15/26 | 4,575 | 3,482 | ||
Sultanate of Oman | 5.375% | 3/8/27 | 4,125 | 3,146 | ||
1 | Sultanate of Oman | 5.625% | 1/17/28 | 1,200 | 920 | |
Sultanate of Oman | 5.625% | 1/17/28 | 3,350 | 2,545 | ||
1 | Sultanate of Oman | 6.000% | 8/1/29 | 4,100 | 3,152 | |
Sultanate of Oman | 6.500% | 3/8/47 | 3,315 | 2,309 | ||
1 | Sultanate of Oman | 6.750% | 1/17/48 | 1,750 | 1,225 | |
Sultanate of Oman | 6.750% | 1/17/48 | 3,200 | 2,259 | ||
Total Oman (Cost $39,663) | 32,440 | |||||
Pakistan (0.5%) | ||||||
Sovereign Bonds (0.5%) | ||||||
Islamic Republic of Pakistan | 8.250% | 4/15/24 | 1,950 | 1,831 | ||
Islamic Republic of Pakistan | 8.250% | 9/30/25 | 900 | 830 | ||
1 | Islamic Republic of Pakistan | 6.875% | 12/5/27 | 950 | 813 | |
Islamic Republic of Pakistan | 6.875% | 12/5/27 | 1,650 | 1,415 | ||
Third Pakistan International Sukuk Co. Ltd. | 5.500% | 10/13/21 | 2,100 | 1,970 | ||
Third Pakistan International Sukuk Co. Ltd. | 5.625% | 12/5/22 | 1,600 | 1,470 | ||
Total Pakistan (Cost $9,353) | 8,329 | |||||
Panama (2.1%) | ||||||
Sovereign Bonds (2.1%) | ||||||
2 | Republic of Panama | 4.000% | 9/22/24 | 2,100 | 2,200 | |
2 | Republic of Panama | 3.750% | 3/16/25 | 2,209 | 2,303 | |
Republic of Panama | 7.125% | 1/29/26 | 1,925 | 2,296 | ||
Republic of Panama | 8.875% | 9/30/27 | 1,885 | 2,521 | ||
2 | Republic of Panama | 3.875% | 3/17/28 | 1,933 | 2,049 |
15
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Republic of Panama | 9.375% | 4/1/29 | 1,750 | 2,415 | ||
2 | Republic of Panama | 3.160% | 1/23/30 | 2,900 | 2,900 | |
2 | Republic of Panama | 6.700% | 1/26/36 | 3,795 | 4,986 | |
2 | Republic of Panama | 4.500% | 5/15/47 | 2,200 | 2,447 | |
2 | Republic of Panama | 4.500% | 4/16/50 | 3,200 | 3,504 | |
2 | Republic of Panama | 4.300% | 4/29/53 | 2,450 | 2,700 | |
2 | Republic of Panama | 4.500% | 4/1/56 | 4,600 | 5,188 | |
2 | Republic of Panama | 3.870% | 7/23/60 | 1,500 | 1,545 | |
Total Panama (Cost $36,248) | 37,054 | |||||
Paraguay (0.6%) | ||||||
Sovereign Bonds (0.6%) | ||||||
Republic of Paraguay | 4.625% | 1/25/23 | 1,472 | 1,498 | ||
Republic of Paraguay | 5.000% | 4/15/26 | 1,010 | 1,049 | ||
Republic of Paraguay | 4.700% | 3/27/27 | 900 | 923 | ||
1,2 | Republic of Paraguay | 4.950% | 4/28/31 | 1,800 | 1,818 | |
Republic of Paraguay | 6.100% | 8/11/44 | 1,700 | 1,852 | ||
Republic of Paraguay | 5.600% | 3/13/48 | 1,250 | 1,306 | ||
1,2 | Republic of Paraguay | 5.400% | 3/30/50 | 1,300 | 1,346 | |
2 | Republic of Paraguay | 5.400% | 3/30/50 | 200 | 205 | |
Total Paraguay (Cost $10,206) | 9,997 | |||||
Papua New Guinea (0.1%) | ||||||
Sovereign Bonds (0.1%) | ||||||
1 | Papua New Guinea | 8.375% | 10/4/28 | 500 | 475 | |
Papua New Guinea | 8.375% | 10/4/28 | 500 | 440 | ||
Total Papua New Guinea (Cost $1,028) | 915 | |||||
Peru (1.6%) | ||||||
Sovereign Bonds (1.6%) | ||||||
Republic of Peru | 7.350% | 7/21/25 | 2,859 | 3,569 | ||
2 | Republic of Peru | 2.392% | 1/23/26 | 1,900 | 1,911 | |
Republic of Peru | 4.125% | 8/25/27 | 1,747 | 1,953 | ||
Republic of Peru | 2.844% | 6/20/30 | 1,350 | 1,390 | ||
2 | Republic of Peru | 2.783% | 1/23/31 | 2,600 | 2,681 | |
Republic of Peru | 8.750% | 11/21/33 | 3,586 | 5,647 | ||
2 | Republic of Peru | 6.550% | 3/14/37 | 2,346 | 3,372 | |
Republic of Peru | 5.625% | 11/18/50 | 4,917 | 7,276 | ||
Total Peru (Cost $25,862) | 27,799 | |||||
Philippines (3.0%) | ||||||
Sovereign Bonds (3.0%) | ||||||
Republic of the Philippines | 4.200% | 1/21/24 | 2,914 | 3,118 | ||
2 | Republic of the Philippines | 7.500% | 9/25/24 | 1,150 | 1,343 | |
Republic of the Philippines | 10.625% | 3/16/25 | 2,684 | 3,660 | ||
Republic of the Philippines | 5.500% | 3/30/26 | 1,650 | 1,931 | ||
Republic of the Philippines | 3.000% | 2/1/28 | 3,950 | 4,150 | ||
Republic of the Philippines | 3.750% | 1/14/29 | 3,000 | 3,353 | ||
Republic of the Philippines | 9.500% | 2/2/30 | 3,673 | 5,840 | ||
Republic of the Philippines | 7.750% | 1/14/31 | 3,654 | 5,367 | ||
Republic of the Philippines | 6.375% | 1/15/32 | 1,850 | 2,507 | ||
Republic of the Philippines | 6.375% | 10/23/34 | 3,695 | 5,256 | ||
Republic of the Philippines | 5.000% | 1/13/37 | 2,480 | 3,165 |
16
Emerging Markets Government Bond Index Fund
Face | Market | |||||
Maturity | Amount | Value* | ||||
Coupon | Date | ($000) | ($000) | |||
Republic of the Philippines | 3.950% | 1/20/40 | 3,750 | 4,319 | ||
Republic of the Philippines | 3.700% | 3/1/41 | 3,750 | 4,303 | ||
Republic of the Philippines | 3.700% | 2/2/42 | 3,320 | 3,809 | ||
Republic of the Philippines | 2.950% | 5/5/45 | 1,550 | 1,544 | ||
Total Philippines (Cost $50,722) | 53,665 | |||||
Poland (0.9%) | ||||||
Sovereign Bonds (0.9%) | ||||||
Republic of Poland | 5.000% | 3/23/22 | 4,969 | 5,296 | ||
6 | Republic of Poland | 3.000% | 3/17/23 | 3,503 | 3,665 | |
Republic of Poland | 4.000% | 1/22/24 | 3,883 | 4,232 | ||
Republic of Poland | 3.250% | 4/6/26 | 3,210 | 3,487 | ||
Total Poland (Cost $16,040) | 16,680 | |||||
Qatar (5.9%) | ||||||
Sovereign Bonds (5.9%) | ||||||
7 | QNB Finance Ltd., 3M USD LIBOR + 1.350% | 2.988% | 5/31/21 | 2,300 | 2,279 | |
SoQ Sukuk A QSC | 3.241% | 1/18/23 | 3,235 | 3,354 | ||
State of Qatar | 2.375% | 6/2/21 | 6,300 | 6,362 | ||
1 | State of Qatar | 4.500% | 1/20/22 | 3,250 | 3,399 | |
1 | State of Qatar | 3.875% | 4/23/23 | 100 | 106 | |
State of Qatar | 3.875% | 4/23/23 | 6,475 | 6,860 | ||
State of Qatar | 3.375% | 3/14/24 | 4,400 | 4,641 | ||
1 | State of Qatar | 3.400% | 4/16/25 | 3,500 | 3,720 | |
State of Qatar | 3.250% | 6/2/26 | 6,900 | 7,287 | ||
1 | State of Qatar | 4.500% | 4/23/28 | 5,500 | 6,251 | |
State of Qatar | 4.000% | 3/14/29 | 7,350 | 8,157 | ||
1 | State of Qatar | 3.750% | 4/16/30 | 2,100 | 2,289 | |
1 | State of Qatar | 9.750% | 6/15/30 | 1,250 | 1,984 | |
State of Qatar | 9.750% | 6/15/30 | 1,325 | 2,110 | ||
1 | State of Qatar | 6.400% | 1/20/40 | 925 | 1,306 | |
State of Qatar | 6.400% | 1/20/40 | 728 | 1,031 | ||
1 | State of Qatar | 5.750% | 1/20/42 | 516 | 683 | |
State of Qatar | 5.750% | 1/20/42 | 1,200 | 1,596 | ||
State of Qatar | 4.625% | 6/2/46 | 3,850 | 4,538 | ||
State of Qatar | 5.103% | 4/23/48 | 11,300 | 14,112 | ||
1 | State of Qatar | 4.817% | 3/14/49 | 300 | 358 | |
State of Qatar | 4.817% | 3/14/49 | 10,605 | 12,771 | ||
1 | State of Qatar | 4.400% | 4/16/50 | 8,900 | 10,055 | |
Total Qatar (Cost $100,153) | 105,249 | |||||
Romania (0.7%) | ||||||
Sovereign Bonds (0.7%) | ||||||
Republic of Romania | 6.750% | 2/7/22 | 3,682 | 3,900 | ||
Republic of Romania | 4.375% | 8/22/23 | 2,704 | 2,805 | ||
1 | Republic of Romania | 4.875% | 1/22/24 | 176 | 186 | |
Republic of Romania | 4.875% | 1/22/24 | 1,780 | 1,887 | ||
Republic of Romania | 6.125% | 1/22/44 | 1,670 | 1,968 | ||
1 | Republic of Romania | 5.125% | 6/15/48 | 200 | 211 | |
Republic of Romania | 5.125% | 6/15/48 | 2,000 | 2,118 | ||
Total Romania (Cost $13,039) | 13,075 |
17
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
Russia (5.2%) | |||||||
Sovereign Bonds (5.2%) | |||||||
Gazprom Neft OAO Via GPN Capital SA | 4.375% | 9/19/22 | 2,750 | 2,825 | |||
1 | Gazprom Neft OAO Via GPN Capital SA | 6.000% | 11/27/23 | 200 | 218 | ||
Gazprom Neft OAO Via GPN Capital SA | 6.000% | 11/27/23 | 2,100 | 2,288 | |||
1 | Gazprom PJSC Via Gaz Finance plc | 3.250 | 2/25/30 | 3,800 | 3,566 | ||
Rosneft Oil Co. Via Rosneft International Finance DAC | 4.199% | 3/6/22 | 3,727 | 3,783 | |||
Russian Federation | 4.500% | 4/4/22 | 3,600 | 3,781 | |||
1 | Russian Federation | 4.875% | 9/16/23 | 450 | 491 | ||
Russian Federation | 4.875% | 9/16/23 | 5,400 | 5,879 | |||
Russian Federation | 4.750% | 5/27/26 | 5,800 | 6,425 | |||
Russian Federation | 4.250% | 6/23/27 | 4,400 | 4,766 | |||
Russian Federation | 12.750% | 6/24/28 | 4,585 | 7,710 | |||
Russian Federation | 4.375% | 3/21/29 | 5,400 | 5,958 | |||
2 | Russian Federation | 7.500% | 3/31/30 | 3,692 | 4,188 | ||
Russian Federation | 5.100% | 3/28/35 | 7,200 | 8,432 | |||
Russian Federation | 5.625% | 4/4/42 | 5,000 | 6,315 | |||
Russian Federation | 5.875% | 9/16/43 | 2,800 | 3,678 | |||
1 | Russian Federation | 5.250% | 6/23/47 | 2,600 | 3,206 | ||
Russian Federation | 5.250% | 6/23/47 | 9,800 | 12,082 | |||
Sberbank of Russia Via SB Capital SA | 5.717% | 6/16/21 | 425 | 439 | |||
Sberbank of Russia Via SB Capital SA | 6.125% | 2/7/22 | 2,300 | 2,419 | |||
Sberbank of Russia Via SB Capital SA | 5.125% | 10/29/22 | 3,924 | 4,053 | |||
Total Russia (Cost $86,113) | 92,502 | ||||||
Saudi Arabia (9.1%) | |||||||
Sovereign Bonds (9.1%) | |||||||
1 | Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 2,800 | 2,828 | ||
Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 6,392 | 6,458 | |||
1 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 1,000 | 1,023 | ||
Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 5,010 | 5,122 | |||
1 | Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 3,475 | 3,705 | ||
Kingdom of Saudi Arabia | 4.000% | 4/17/25 | 4,865 | 5,185 | |||
1 | Kingdom of Saudi Arabia | 2.900% | 10/22/25 | 3,900 | 3,910 | ||
Kingdom of Saudi Arabia | 3.250% | 10/26/26 | 5,100 | 5,256 | |||
1 | Kingdom of Saudi Arabia | 3.250% | 10/26/26 | 4,995 | 5,151 | ||
1 | Kingdom of Saudi Arabia | 3.625% | 3/4/28 | 2,800 | 2,933 | ||
Kingdom of Saudi Arabia | 3.625% | 3/4/28 | 6,950 | 7,281 | |||
1 | Kingdom of Saudi Arabia | 4.375% | 4/16/29 | 2,600 | 2,899 | ||
Kingdom of Saudi Arabia | 4.375% | 4/16/29 | 4,700 | 5,238 | |||
1 | Kingdom of Saudi Arabia | 4.500% | 4/17/30 | 2,550 | 2,850 | ||
Kingdom of Saudi Arabia | 4.500% | 4/17/30 | 3,750 | 4,200 | |||
1 | Kingdom of Saudi Arabia | 2.750% | 2/3/32 | 1,800 | 1,730 | ||
Kingdom of Saudi Arabia | 4.500% | 10/26/46 | 12,245 | 12,700 | |||
1 | Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 1,100 | 1,155 | ||
Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 7,330 | 7,693 | |||
Kingdom of Saudi Arabia | 5.000% | 4/17/49 | 6,425 | 7,103 | |||
1 | Kingdom of Saudi Arabia | 5.250% | 1/16/50 | 2,300 | 2,616 | ||
Kingdom of Saudi Arabia | 5.250% | 1/16/50 | 3,950 | 4,476 | |||
Kingdom of Saudi Arabia | 3.750% | 1/21/55 | 600 | 548 | |||
1 | Kingdom of Saudi Arabia | 3.750% | 1/21/55 | 4,900 | 4,495 | ||
1 | Kingdom of Saudi Arabia | 4.500% | 4/22/60 | 3,800 | 3,696 |
18 |
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
1 | KSA Sukuk Ltd. | 2.894% | 4/20/22 | 2,700 | 2,734 | ||
KSA Sukuk Ltd. | 2.894% | 4/20/22 | 5,850 | 5,965 | |||
8 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 9,300 | 9,757 | ||
1 | KSA Sukuk Ltd. | 4.303% | 1/19/29 | 1,900 | 2,105 | ||
KSA Sukuk Ltd. | 4.303% | 1/19/29 | 2,050 | 2,277 | |||
1 | KSA Sukuk Ltd. | 2.969% | 10/29/29 | 4,775 | 4,785 | ||
1 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 2,000 | 2,012 | ||
Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 2,300 | 2,321 | |||
1 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 5,200 | 5,240 | ||
Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 400 | 406 | |||
1 | Saudi Arabian Oil Co. | 4.250% | 4/16/39 | 5,100 | 5,248 | ||
1 | Saudi Arabian Oil Co. | 4.375% | 4/16/49 | 5,700 | 5,921 | ||
1 | Saudi Electricity Global Sukuk Co. 3 | 4.000% | 4/8/24 | 450 | 462 | ||
Saudi Electricity Global Sukuk Co. 3 | 4.000% | 4/8/24 | 2,350 | 2,440 | |||
Total Saudi Arabia (Cost $158,986) | 161,924 | ||||||
Senegal (0.2%) | |||||||
Sovereign Bonds (0.2%) | |||||||
Republic of Senegal | 6.250% | 7/30/24 | 800 | 741 | |||
2 | Republic of Senegal | 6.250% | 5/23/33 | 2,200 | 1,923 | ||
1,2 | Republic of Senegal | 6.750% | 3/13/48 | 400 | 332 | ||
2 | Republic of Senegal | 6.750% | 3/13/48 | 1,600 | 1,325 | ||
Total Senegal (Cost $4,923) | 4,321 | ||||||
Serbia (0.2%) | |||||||
Sovereign Bonds (0.2%) | |||||||
Republic of Serbia | 7.250% | 9/28/21 | 2,963 | 3,103 | |||
Total Serbia (Cost $3,104) | 3,103 | ||||||
South Africa (1.7%) | |||||||
Sovereign Bonds (1.7%) | |||||||
Republic of South Africa | 5.875% | 5/30/22 | 1,821 | 1,876 | |||
Republic of South Africa | 4.665% | 1/17/24 | 2,800 | 2,755 | |||
Republic of South Africa | 5.875% | 9/16/25 | 3,550 | 3,537 | |||
Republic of South Africa | 4.875% | 4/14/26 | 2,450 | 2,273 | |||
Republic of South Africa | 4.850% | 9/27/27 | 1,800 | 1,620 | |||
Republic of South Africa | 4.300% | 10/12/28 | 2,750 | 2,308 | |||
Republic of South Africa | 4.850% | 9/30/29 | 3,700 | 3,177 | |||
Republic of South Africa | 5.875% | 6/22/30 | 2,550 | 2,349 | |||
Republic of South Africa | 6.250% | 3/8/41 | 1,406 | 1,232 | |||
Republic of South Africa | 5.375% | 7/24/44 | 1,900 | 1,472 | |||
Republic of South Africa | 5.000% | 10/12/46 | 1,900 | 1,415 | |||
Republic of South Africa | 5.650% | 9/27/47 | 2,600 | 2,032 | |||
Republic of South Africa | 6.300% | 6/22/48 | 1,250 | 1,036 | |||
Republic of South Africa | 5.750% | 9/30/49 | 4,900 | 3,821 | |||
Total South Africa (Cost $35,571) | 30,903 | ||||||
Sri Lanka (0.8%) | |||||||
Sovereign Bonds (0.8%) | |||||||
Democratic Socialist Republic of Sri Lanka | 6.250% | 7/27/21 | 1,400 | 980 | |||
Democratic Socialist Republic of Sri Lanka | 5.750% | 1/18/22 | 950 | 596 | |||
Democratic Socialist Republic of Sri Lanka | 5.875% | 7/25/22 | 1,950 | 1,213 | |||
1 | Democratic Socialist Republic of Sri Lanka | 5.750% | 4/18/23 | 1,100 | 641 |
19 |
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
Democratic Socialist Republic of Sri Lanka | 5.750% | 4/18/23 | 1,050 | 608 | |||
Democratic Socialist Republic of Sri Lanka | 6.850% | 3/14/24 | 2,200 | 1,297 | |||
Democratic Socialist Republic of Sri Lanka | 6.350% | 6/28/24 | 1,100 | 650 | |||
Democratic Socialist Republic of Sri Lanka | 6.125% | 6/3/25 | 1,100 | 628 | |||
Democratic Socialist Republic of Sri Lanka | 6.850% | 11/3/25 | 2,850 | 1,624 | |||
Democratic Socialist Republic of Sri Lanka | 6.825% | 7/18/26 | 1,850 | 1,050 | |||
Democratic Socialist Republic of Sri Lanka | 6.200% | 5/11/27 | 1,850 | 1,017 | |||
Democratic Socialist Republic of Sri Lanka | 6.750% | 4/18/28 | 2,450 | 1,329 | |||
Democratic Socialist Republic of Sri Lanka | 7.850% | 3/14/29 | 2,350 | 1,308 | |||
Democratic Socialist Republic of Sri Lanka | 7.550% | 3/28/30 | 2,750 | 1,543 | |||
Total Sri Lanka (Cost $24,926) | 14,484 | ||||||
Suriname (0.0%) | |||||||
Sovereign Bonds (0.0%) | |||||||
Republic of Suriname | 9.250% | 10/26/26 | 1,100 | 391 | |||
Total Suriname (Cost $1,064) | 391 | ||||||
Tajikistan (0.0%) | |||||||
Sovereign Bonds (0.0%) | |||||||
2 | Republic of Tajikistan | 7.125% | 9/14/27 | 775 | 491 | ||
Total Tajikistan (Cost $719) | 491 | ||||||
Trinidad & Tobago (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
1 | Republic of Trinidad & Tobago | 4.375% | 1/16/24 | 400 | 376 | ||
Republic of Trinidad & Tobago | 4.500% | 8/4/26 | 2,300 | 2,141 | |||
Total Trinidad & Tobago (Cost $2,725) | 2,517 | ||||||
Tunisia (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
Banque Centrale de Tunisie SA | 5.750% | 1/30/25 | 1,850 | 1,554 | |||
Total Tunisia (Cost $1,739) | 1,554 | ||||||
Turkey (5.8%) | |||||||
Sovereign Bonds (5.8%) | |||||||
Hazine Mustesarligi Varlik Kiralama AS | 4.251% | 6/8/21 | 1,750 | 1,727 | |||
Hazine Mustesarligi Varlik Kiralama AS | 5.800% | 2/21/22 | 3,800 | 3,755 | |||
Hazine Mustesarligi Varlik Kiralama AS | 5.004% | 4/6/23 | 2,175 | 2,086 | |||
1 | Hazine Mustesarligi Varlik Kiralama AS | 4.489% | 11/25/24 | 800 | 729 | ||
9 | Hazine Mustesarligi Varlik Kiralama AS | 4.489% | 11/25/24 | 1,200 | 1,092 | ||
Republic of Turkey | 5.125% | 3/25/22 | 1,825 | 1,802 | |||
Republic of Turkey | 6.250% | 9/26/22 | 4,611 | 4,622 | |||
Republic of Turkey | 3.250% | 3/23/23 | 3,076 | 2,836 | |||
Republic of Turkey | 7.250% | 12/23/23 | 3,750 | 3,798 | |||
Republic of Turkey | 5.750% | 3/22/24 | 3,913 | 3,773 | |||
Republic of Turkey | 6.350% | 8/10/24 | 4,200 | 4,122 | |||
Republic of Turkey | 5.600% | 11/14/24 | 4,900 | 4,666 | |||
Republic of Turkey | 7.375% | 2/5/25 | 5,250 | 5,333 | |||
Republic of Turkey | 4.250% | 3/13/25 | 3,800 | 3,387 | |||
Republic of Turkey | 4.250% | 4/14/26 | 2,650 | 2,278 | |||
Republic of Turkey | 4.875% | 10/9/26 | 5,550 | 4,867 | |||
Republic of Turkey | 6.000% | 3/25/27 | 5,062 | 4,649 | |||
Republic of Turkey | 5.125% | 2/17/28 | 3,800 | 3,295 |
20 |
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
Republic of Turkey | 6.125% | 10/24/28 | 3,800 | 3,455 | |||
Republic of Turkey | 7.625% | 4/26/29 | 4,550 | 4,482 | |||
Republic of Turkey | 11.875% | 1/15/30 | 2,805 | 3,524 | |||
Republic of Turkey | 5.250% | 3/13/30 | 3,550 | 2,945 | |||
Republic of Turkey | 8.000% | 2/14/34 | 2,905 | 2,937 | |||
Republic of Turkey | 6.875% | 3/17/36 | 4,654 | 4,197 | |||
Republic of Turkey | 7.250% | 3/5/38 | 1,850 | 1,726 | |||
Republic of Turkey | 6.750% | 5/30/40 | 3,790 | 3,268 | |||
Republic of Turkey | 6.000% | 1/14/41 | 5,457 | 4,369 | |||
Republic of Turkey | 4.875% | 4/16/43 | 5,619 | 4,065 | |||
Republic of Turkey | 6.625% | 2/17/45 | 4,750 | 3,980 | |||
Republic of Turkey | 5.750% | 5/11/47 | 6,550 | 4,969 | |||
Total Turkey (Cost $111,009) | 102,734 | ||||||
Ukraine (1.4%) | |||||||
Sovereign Bonds (1.4%) | |||||||
1 | Ukraine | 7.750% | 9/1/21 | 507 | 489 | ||
Ukraine | 7.750% | 9/1/21 | 1,990 | 1,917 | |||
Ukraine | 7.750% | 9/1/22 | 2,550 | 2,422 | |||
Ukraine | 7.750% | 9/1/23 | 2,050 | 1,938 | |||
1 | Ukraine | 8.994% | 2/1/24 | 300 | 293 | ||
Ukraine | 8.994% | 2/1/24 | 1,350 | 1,309 | |||
Ukraine | 7.750% | 9/1/24 | 2,510 | 2,357 | |||
Ukraine | 7.750% | 9/1/25 | 1,650 | 1,536 | |||
Ukraine | 7.750% | 9/1/26 | 2,750 | 2,530 | |||
Ukraine | 7.750% | 9/1/27 | 2,600 | 2,370 | |||
1 | Ukraine | 9.750% | 11/1/28 | 450 | 441 | ||
Ukraine | 9.750% | 11/1/28 | 2,350 | 2,292 | |||
1,2 | Ukraine | 7.375% | 9/25/32 | 1,800 | 1,593 | ||
2 | Ukraine | 7.375% | 9/25/32 | 3,550 | 3,129 | ||
Total Ukraine (Cost $26,376) | 24,616 | ||||||
United Arab Emirates (4.6%) | |||||||
Sovereign Bonds (4.6%) | |||||||
1,2 | Abu Dhabi Crude Oil Pipeline LLC | 4.600% | 11/2/47 | 2,050 | 2,175 | ||
2 | Abu Dhabi Crude Oil Pipeline LLC | 4.600% | 11/2/47 | 1,925 | 2,059 | ||
1 | DP World plc | 6.850% | 7/2/37 | 3,290 | 3,535 | ||
Dubai DOF Sukuk Ltd. | 6.450% | 5/2/22 | 1,000 | 1,061 | |||
Emirate of Abu Dhabi | 2.125% | 5/3/21 | 4,265 | 4,291 | |||
Emirate of Abu Dhabi | 2.500% | 10/11/22 | 6,200 | 6,323 | |||
Emirate of Abu Dhabi | 2.125% | 9/30/24 | 200 | 202 | |||
1 | Emirate of Abu Dhabi | 2.125% | 9/30/24 | 4,700 | 4,755 | ||
1 | Emirate of Abu Dhabi | 2.500% | 4/16/25 | 1,500 | 1,544 | ||
1 | Emirate of Abu Dhabi | 3.125% | 5/3/26 | 450 | 477 | ||
Emirate of Abu Dhabi | 3.125% | 5/3/26 | 4,507 | 4,780 | |||
1 | Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,500 | 1,587 | ||
Emirate of Abu Dhabi | 3.125% | 10/11/27 | 6,250 | 6,650 | |||
Emirate of Abu Dhabi | 2.500% | 9/30/29 | 1,000 | 1,016 | |||
1 | Emirate of Abu Dhabi | 2.500% | 9/30/29 | 4,500 | 4,556 | ||
1 | Emirate of Abu Dhabi | 3.125% | 4/16/30 | 3,750 | 3,975 | ||
1 | Emirate of Abu Dhabi | 4.125% | 10/11/47 | 900 | 1,007 | ||
Emirate of Abu Dhabi | 4.125% | 10/11/47 | 4,650 | 5,196 | |||
Emirate of Abu Dhabi | 3.125% | 9/30/49 | 400 | 385 |
21 |
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
1 | Emirate of Abu Dhabi | 3.125% | 9/30/49 | 7,300 | 6,966 | ||
1 | Emirate of Abu Dhabi | 3.875% | 4/16/50 | 4,000 | 4,230 | ||
Emirate of Dubai | 3.875% | 1/30/23 | 1,400 | 1,432 | |||
Emirate of Dubai | 5.250% | 1/30/43 | 1,000 | 970 | |||
1 | MDC - GMTN BV | 5.500% | 3/1/22 | 2,510 | 2,660 | ||
1 | MDGH - GMTN BV | 3.700% | 11/7/49 | 2,800 | 2,687 | ||
RAK Capital | 3.094% | 3/31/25 | 2,050 | 2,037 | |||
Sharjah Sukuk 2 Ltd. | 3.839% | 1/27/21 | 300 | 301 | |||
Sharjah Sukuk Ltd. | 3.764% | 9/17/24 | 800 | 818 | |||
Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 2,000 | 2,042 | |||
Sharjah Sukuk Program Ltd. | 4.226% | 3/14/28 | 2,300 | 2,383 | |||
Sharjah Sukuk Program Ltd. | 3.234% | 10/23/29 | 1,500 | 1,433 | |||
Total United Arab Emirates (Cost $83,226) | 83,533 | ||||||
United States (0.1%) | |||||||
U.S. Government and Agency Obligations (0.1%) | |||||||
United States Treasury Note/Bond | 1.500% | 2/15/30 | 760 | 822 | |||
United States Treasury Note/Bond | 2.375% | 11/15/49 | 210 | 265 | |||
Total United States (Cost $1,086) | 1,087 | ||||||
Uruguay (1.5%) | |||||||
Sovereign Bonds (1.5%) | |||||||
2 | Oriental Republic of Uruguay | 4.500% | 8/14/24 | 2,089 | 2,210 | ||
2 | Oriental Republic of Uruguay | 4.375% | 10/27/27 | 2,784 | 3,028 | ||
2 | Oriental Republic of Uruguay | 4.375% | 1/23/31 | 2,413 | 2,645 | ||
Oriental Republic of Uruguay | 7.875% | 1/15/33 | 1,296 | 1,808 | |||
2 | Oriental Republic of Uruguay | 7.625% | 3/21/36 | 1,765 | 2,442 | ||
2 | Oriental Republic of Uruguay | 4.125% | 11/20/45 | 1,505 | 1,535 | ||
2 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 6,925 | 7,877 | ||
2 | Oriental Republic of Uruguay | 4.975% | 4/20/55 | 4,835 | 5,451 | ||
Total Uruguay (Cost $25,523) | 26,996 | ||||||
Uzbekistan (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
Republic of Uzbekistan | 4.750% | 2/20/24 | 800 | 800 | |||
Republic of Uzbekistan | 5.375% | 2/20/29 | 975 | 985 | |||
Total Uzbekistan (Cost $1,804) | 1,785 | ||||||
Venezuela (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
5 | Bolivarian Republic of Venezuela | 6.000% | 12/9/20 | 2,356 | 189 | ||
2,5 | Bolivarian Republic of Venezuela | 12.750% | 8/23/22 | 3,355 | 269 | ||
5 | Bolivarian Republic of Venezuela | 9.000% | 5/7/23 | 1,532 | 123 | ||
5 | Bolivarian Republic of Venezuela | 8.250% | 10/13/24 | 2,829 | 226 | ||
5 | Bolivarian Republic of Venezuela | 7.650% | 4/21/25 | 2,392 | 191 | ||
5 | Bolivarian Republic of Venezuela | 11.750% | 10/21/26 | 2,227 | 178 | ||
5 | Bolivarian Republic of Venezuela | 9.250% | 9/15/27 | 3,226 | 282 | ||
5 | Bolivarian Republic of Venezuela | 9.250% | 5/7/28 | 940 | 75 | ||
2,5 | Bolivarian Republic of Venezuela | 11.950% | 8/5/31 | 4,429 | 354 | ||
5 | Bolivarian Republic of Venezuela | 9.375% | 1/13/34 | 1,900 | 166 | ||
5 | Bolivarian Republic of Venezuela | 7.000% | 3/31/38 | 1,375 | 110 | ||
Total Venezuela (Cost $13,423) | 2,163 |
22 |
Emerging Markets Government Bond Index Fund
Face | Market | ||||||
Maturity | Amount | Value* | |||||
Coupon | Date | ($000 | ) | ($000 | ) | ||
Vietnam (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
Socialist Republic of Vietnam | 4.800% | 11/19/24 | 1,800 | 1,861 | |||
Total Vietnam (Cost $1,846) | 1,861 | ||||||
Zambia (0.1%) | |||||||
Sovereign Bonds (0.1%) | |||||||
Republic of Zambia | 5.375% | 9/20/22 | 1,350 | 443 | |||
Republic of Zambia | 8.500% | 4/14/24 | 1,800 | 592 | |||
Republic of Zambia | 8.970% | 7/30/27 | 2,325 | 761 | |||
Total Zambia (Cost $4,616) | 1,796 | ||||||
Shares | |||||||
Temporary Cash Investments (0.6%) | |||||||
Money Market Fund (0.6%) | |||||||
10 | Vanguard Market Liquidity Fund | 0.522% | 115,976 | 11,598 | |||
Total Temporary Cash Investments (Cost $11,598) | 11,598 | ||||||
Total Investments (99.3%) (Cost $1,955,381) | 1,771,873 | ||||||
Other Assets and Liabilities—Net (0.7%) | 11,885 | ||||||
Net Assets (100%) | 1,783,758 |
Cost rounded to $000.
• | See Note A in Notes to Financial Statements. |
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 April 30, 2020, the aggregate value of these securities was $261,817,000, representing 14.7% of net assets. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | Guaranteed by the Republic of Azerbaijan. |
4 | Guaranteed by the Republic of Indonesia. |
5 | Non-income-producing security—security in default. |
6 | Securities with a value of $419,000 have been segregated as initial margin for open futures contracts. |
7 | 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. |
8 | Guaranteed by the Kingdom of Saudi Arabia. |
9 | Guaranteed by the Republic of Turkey. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
LIBOR—London Interbank Offered Rate.
23 |
Emerging Markets Government Bond 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 | |||||||
Ultra 10-Year U.S. Treasury Note | June 2020 | 76 | 11,934 | 4 | |||
Ultra Long U.S. Treasury Bond | June 2020 | 9 | 2,023 | 4 | |||
2-Year U.S. Treasury Note | June 2020 | 8 | 1,763 | 1 | |||
30-Year U.S. Treasury Bond | June 2020 | 5 | 905 | 8 | |||
17 | |||||||
Short Futures Contracts | |||||||
5-Year U.S. Treasury Note | June 2020 | (51 | ) | (6,400 | ) | (1 | ) |
10-Year U.S. Treasury Note | June 2020 | (49 | ) | (6,814 | ) | (15 | ) |
(16 | ) | ||||||
1 |
24 |
Emerging Markets Government Bond Index Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount | |
Assets | ||
Investments in Securities, at Value | ||
Unaffiliated Issuers (Cost $1,943,783) | 1,760,275 | |
Affiliated Issuers (Cost $11,598) | 11,598 | |
Total Investments in Securities | 1,771,873 | |
Investment in Vanguard | 89 | |
Receivables for Investment Securities Sold | 47,130 | |
Receivables for Accrued Income | 24,146 | |
Receivables for Capital Shares Issued | 277 | |
Variation Margin Receivable—Futures Contracts | 231 | |
Total Assets | 1,843,746 | |
Liabilities | ||
Due to Custodian | 77 | |
Payables for Investment Securities Purchased | 59,263 | |
Payables for Capital Shares Redeemed | 222 | |
Payables for Distributions | 152 | |
Payables to Vanguard | 268 | |
Variation Margin Payable—Futures Contracts | 6 | |
Total Liabilities | 59,988 | |
Net Assets | 1,783,758 |
See accompanying Notes, which are an integral part of the Financial Statements.
25 |
Emerging Markets Government Bond Index Fund
Statement of Assets and Liabilities (continued) | ||
At April 30, 2020, net assets consisted of: | ||
($000s, except shares and per-share amounts) | Amount | |
Paid-in Capital | 1,986,343 | |
Total Distributable Earnings (Loss) | (202,585 | ) |
Net Assets | 1,783,758 | |
ETF Shares—Net Assets | ||
Applicable to 20,751,147 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 1,483,183 | |
Net Asset Value Per Share—ETF Shares | $71.47 | |
Admiral Shares—Net Assets | ||
Applicable to 14,148,073 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 253,749 | |
Net Asset Value Per Share—Admiral Shares | $17.94 | |
Institutional Shares—Net Assets | ||
Applicable to 1,627,745 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 46,826 | |
Net Asset Value Per Share—Institutional Shares | $28.77 |
See accompanying Notes, which are an integral part of the Financial Statements.
26 |
Emerging Markets Government Bond Index Fund
Statement of Operations
Six Months Ended | ||
April 30, 2020 | ||
($000 | ) | |
Investment Income | ||
Income | ||
Interest1 | 50,483 | |
Total Income | 50,483 | |
Expenses | ||
The Vanguard Group—Note B | ||
Investment Advisory Services | 30 | |
Management and Administrative—ETF Shares | 1,899 | |
Management and Administrative—Admiral Shares | 336 | |
Management and Administrative—Institutional Shares | 61 | |
Marketing and Distribution—ETF Shares | 54 | |
Marketing and Distribution—Admiral Shares | 11 | |
Marketing and Distribution—Institutional Shares | — | |
Custodian Fees | 18 | |
Shareholders’ Reports—ETF Shares | 40 | |
Shareholders’ Reports—Admiral Shares | 1 | |
Shareholders’ Reports—Institutional Shares | — | |
Trustees’ Fees and Expenses | 1 | |
Total Expenses | 2,451 | |
Net Investment Income | 48,032 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold1,2 | (21,929 | ) |
Futures Contracts | 138 | |
Realized Net Gain (Loss) | (21,791 | ) |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities1 | (227,665 | ) |
Futures Contracts | (54 | ) |
Change in Unrealized Appreciation (Depreciation) | (227,719 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (201,478 | ) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $73,000, $10,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes ($4,040,000) of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
27 |
Emerging Markets Government Bond Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||||
April 30, | October 31, | ||||
2020 | 2019 | ||||
($000 | ) | ($000 | ) | ||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net Investment Income | 48,032 | 74,770 | |||
Realized Net Gain (Loss) | (21,791 | ) | 6,368 | ||
Change in Unrealized Appreciation (Depreciation) | (227,719 | ) | 109,704 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | (201,478 | ) | 190,842 | ||
Distributions1 | |||||
Investor Shares | — | (224 | ) | ||
ETF Shares | (39,720 | ) | (58,791 | ) | |
Admiral Shares | (6,669 | ) | (12,340 | ) | |
Institutional Shares | (1,176 | ) | (1,568 | ) | |
Total Distributions | (47,565 | ) | (72,923 | ) | |
Capital Share Transactions | |||||
Investor Shares | — | (10,529 | ) | ||
ETF Shares | 154,678 | 409,733 | |||
Admiral Shares | 15,118 | (3,148 | ) | ||
Institutional Shares | 1,607 | 29,042 | |||
Net Increase (Decrease) from Capital Share Transactions | 171,403 | 425,098 | |||
Total Increase (Decrease) | (77,640 | ) | 543,017 | ||
Net Assets | |||||
Beginning of Period | 1,861,398 | 1,318,381 | |||
End of Period | 1,783,758 | 1,861,398 |
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.
28
Emerging Markets Government Bond Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | April 30, | Year Ended October 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $80.38 | $74.27 | $80.73 | $80.11 | $75.81 | $79.40 | |
Investment Operations | |||||||
Net Investment Income | 1.9021 | 3.7381 | 3.4111 | 3.7131 | 3.753 | 3.516 | |
Net Realized and Unrealized Gain (Loss) on Investments2 | (8.897) | 6.044 | (6.445) | .589 | 4.228 | (3.556) | |
Total from Investment Operations | (6.995) | 9.782 | (3.034) | 4.302 | 7.981 | (.040) | |
Distributions | |||||||
Dividends from Net Investment Income | (1.915) | (3.672) | (3.426) | (3.682) | (3.681) | (3.550) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.915) | (3.672) | (3.426) | (3.682) | (3.681) | (3.550) | |
Net Asset Value, End of Period | $71.47 | $80.38 | $74.27 | $80.73 | $80.11 | $75.81 | |
Total Return | -8.89% | 13.47% | -3.84% | 5.56% | 10.84% | -0.01% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,483 | $1,538 | $1,033 | $1,002 | $874 | $501 | |
Ratio of Total Expenses to Average Net Assets | 0.25% | 0.25% | 0.30% | 0.32% | 0.32% | 0.34% | |
Ratio of Net Investment Income to Average Net Assets | 4.90% | 4.79% | 4.42% | 4.67% | 4.89% | 4.67% | |
Portfolio Turnover Rate3 | 11% | 48% | 25% | 19% | 24% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $00, $.00, $.04, $.07, $.04, and $.06. |
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.
29
Emerging Markets Government Bond Index Fund
Financial Highlights
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | April 30, | Year Ended October 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $20.16 | $18.63 | $20.24 | $20.09 | $19.00 | $19.90 | |
Investment Operations | |||||||
Net Investment Income | .4781 | .9391 | .8581 | .9341 | .941 | .885 | |
Net Realized and Unrealized Gain (Loss) on Investments2 | (2.234) | 1.521 | (1.613) | .150 | 1.076 | (.894) | |
Total from Investment Operations | (1.756) | 2.460 | (.755) | 1.084 | 2.017 | (.009) | |
Distributions | |||||||
Dividends from Net Investment Income | (.464) | (.930) | (.855) | (.934) | (.927) | (.891) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.464) | (.930) | (.855) | (.934) | (.927) | (.891) | |
Net Asset Value, End of Period | $17.94 | $20.16 | $18.63 | $20.24 | $20.09 | $19.00 | |
Total Return3 | -8.86% | 13.46% | -3.80% | 5.57% | 10.89% | 0% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $254 | $273 | $256 | $288 | $191 | $131 | |
Ratio of Total Expenses to Average Net Assets | 0.25% | 0.25% | 0.30% | 0.32% | 0.32% | 0.33% | |
Ratio of Net Investment Income to Average Net Assets | 4.90% | 4.79% | 4.42% | 4.67% | 4.89% | 4.68% | |
Portfolio Turnover Rate4 | 11% | 48% | 25% | 19% | 24% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Calculated based on average shares outstanding. |
2 | Includes increases from purchase fees of $.00, $.00, $.01, $.02, $.01, and $.02. |
3 | 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. |
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, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Emerging Markets Government Bond Index Fund
Financial Highlights
Institutional Shares | |||||||||||||||
Six Months | Feb. 11, | Nov. 25 | |||||||||||||
Ended | 20151 to | 20141 to | |||||||||||||
For a Share Outstanding | April 30, | Year Ended October 31, | Oct. 31, | Dec. 18, | |||||||||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||
Net Asset Value, | |||||||||||||||
Beginning of Period | $32.33 | $29.88 | $32.47 | $32.24 | $30.50 | $30.72 | $31.53 | ||||||||
Investment Operations | |||||||||||||||
Net Investment Income | .7692 | 1.5222 | 1.3802 | 1.5082 | 1.521 | 1.019 | .108 | ||||||||
Net Realized and Unrealized Gain (Loss) on Investments3 | (3.583) | 2.425 | (2.596) | .238 | 1.715 | (.159) | (1.240) | ||||||||
Total from Investment Operations | (2.814) | 3.947 | (1.216) | 1.746 | 3.236 | .860 | (1.132) | ||||||||
Distributions | |||||||||||||||
Dividends from Net Investment Income | (.746) | (1.497) | (1.374) | (1.516) | (1.496) | (1.080) | (.108) | ||||||||
Distributions from Realized Capital Gains | — | — | — | — | — | — | — | ||||||||
Total Distributions | (.746) | (1.497) | (1.374) | (1.516) | (1.496) | (1.080) | (.108) | ||||||||
Net Asset Value, End of Period | $28.77 | $32.33 | $29.88 | $32.47 | $32.24 | $30.50 | $30.29 | ||||||||
Total Return4 | -8.86% | 13.46% | -3.82% | 5.59% | 10.89% | 2.82% | -3.60% | ||||||||
Ratios/Supplemental Data | |||||||||||||||
Net Assets, End of Period (Millions) | $47 | $51 | $19 | $20 | $21 | $10 | $0 | ||||||||
Ratio of Total Expenses to Average Net Assets | 0.24% | 0.23% | 0.29% | 0.29% | 0.29% | 0.29% | 0.30% | ||||||||
Ratio of Net Investment Income to Average Net Assets | 4.92% | 4.81% | 4.43% | 4.70% | 4.92% | 4.75% | 4.72% | ||||||||
Portfolio Turnover Rate5 | 11% | 48% | 25% | 19% | 24% | 20%6 | 20%6 | ||||||||
The expense ratio and net investment income ratio for the current period have been annualized.
1 | The class commenced operations on November 25, 2014. On December 18, 2014, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On February 11, 2015, the class recommenced operations. The expense ratio and net income ratio for the periods shown have been annualized. |
2 | Calculated based on average shares outstanding. |
3 | Includes increases from purchase fees of $.00 for 2020, $.00 for 2019, $.02 for 2018, $.03 for 2017, $.02 for 2016, and $.04 in aggregate for periods prior to November 1, 2015. |
4 | 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. |
5 | 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. |
6 | Reflects the fund’s portfolio turnover for the fiscal year ended October 31, 2015. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
Emerging Markets Government Bond Index Fund
Notes to Financial Statements
Vanguard Emerging Markets Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF 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. ETF Shares are listed for trading on Nasdaq; 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. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.
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 primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds 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.
32
Emerging Markets Government Bond Index Fund
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 April 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 (October 31, 2016–2019), and for the period ended April 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, effective May 2020, 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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
33
Emerging Markets Government Bond Index Fund
6. Other: 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. Fees assessed on capital share transactions are credited to paid-in capital.
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard 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 April 30, 2020, the fund had contributed to Vanguard capital in the amount of $89,000, representing less than 0.01% of the fund’s net assets and 0.04% 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.
34
Emerging Markets Government Bond Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of April 30, 2020, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | Total | |
($000) | ($000) | ($000) | ($000) | |
Investments | ||||
Assets | ||||
Sovereign Bonds | — | 1,759,188 | — | 1,759,188 |
U.S. Government and Agency Obligations | — | 1,087 | — | 1,087 |
Temporary Cash Investments | 11,598 | — | — | 11,598 |
Total | 11,598 | 1,760,275 | — | 1,771,873 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 231 | — | — | 231 |
Liabilities | ||||
Futures Contracts1 | 6 | — | — | 6 |
1 Represents variation margin on the last day of the reporting period.
D. As of April 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 | 1,955,586 |
Gross Unrealized Appreciation | 42,281 |
Gross Unrealized Depreciation | (225,993) |
Net Unrealized Appreciation (Depreciation) | (183,712) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at October 31, 2019, the fund had available capital losses totaling $3,445,000 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 October 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 April 30, 2020, the fund purchased $550,363,000 of investment securities and sold $375,535,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $18,831,000 and $20,472,000, respectively. Total purchases and sales include $319,806,000 and $183,634,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
35
Emerging Markets Government Bond Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||||||||||||||
April 30, 2020 | October 31, 2019 | |||||||||||||||
Amount | Shares | Amount | Shares | |||||||||||||
($000) | (000) | ($000) | (000) | |||||||||||||
Investor Shares | ||||||||||||||||
Issued1 | — | — | 1,019 | 106 | ||||||||||||
Issued in Lieu of Cash Distributions | — | — | 207 | 22 | ||||||||||||
Redeemed2 | — | — | (11,755 | ) | (1,203 | ) | ||||||||||
Net Increase (Decrease)—ETF Shares | — | — | (10,529 | ) | (1,075 | ) | ||||||||||
ETF Shares | ||||||||||||||||
Issued1 | 342,589 | 4,216 | 417,149 | 5,319 | ||||||||||||
Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
Redeemed | (187,911 | ) | (2,600 | ) | (7,416 | ) | (100 | ) | ||||||||
Net Increase (Decrease)—ETF Shares | 154,678 | 1,616 | 409,733 | 5,219 | ||||||||||||
Admiral Shares | ||||||||||||||||
Issued1,2 | 54,108 | 2,697 | 63,817 | 3,263 | ||||||||||||
Issued in Lieu of Cash Distributions | 5,520 | 285 | 10,121 | 516 | ||||||||||||
Redeemed | (44,510 | ) | (2,365 | ) | (77,086 | ) | (3,967 | ) | ||||||||
Net Increase (Decrease)—Admiral Shares | 15,118 | 617 | (3,148 | ) | (188 | ) | ||||||||||
Institutional Shares | ||||||||||||||||
Issued1 | 11,701 | 417 | 28,354 | 892 | ||||||||||||
Issued in Lieu of Cash Distributions | 1,143 | 37 | 1,568 | 50 | ||||||||||||
Redeemed | (11,237 | ) | (389 | ) | (880 | ) | (27 | ) | ||||||||
Net Increase (Decrease)—Institutional Shares | 1,607 | 65 | 29,042 | 915 |
1 | Includes purchase fees for fiscal 2020 and 2019 of $509,000 and $532,000, respectively (fund totals). |
2 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 981,000 and 490,000 shares, respectively, in the amount of $9,638,000 from the conversion during the year ended October 31, 2019. |
G. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
36
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Emerging Markets Government Bond Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income 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 investment management services provided to the fund since its inception in 2013, 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 Fixed Income 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 fund’s performance since its inception, 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.
37
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.
38
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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Emerging Markets Government Bond 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.
39
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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. | |
Q11202 062020 |
Semiannual Report | April 30, 2020
Vanguard Global Minimum Volatility 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.
Contents | |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 26 |
Liquidity Risk Management | 28 |
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.
1
Six Months Ended April 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Global Minimum Volatility Fund | 10/31/2019 | 4/30/2020 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $878.69 | $0.98 |
Admiral™ Shares | 1,000.00 | 879.05 | 0.65 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
Admiral Shares | 1,000.00 | 1,024.17 | 0.70 |
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 0.21% for Investor Shares and 0.14% for Admiral 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).
2
Global Minimum Volatility Fund
Fund Allocation
As of April 30, 2020
Communication Services | 9.6 | % |
Consumer Discretionary | 10.8 | |
Consumer Staples | 12.3 | |
Energy | 0.4 | |
Financials | 11.7 | |
Health Care | 14.4 | |
Industrials | 7.0 | |
Information Technology | 16.0 | |
Materials | 4.8 | |
Real Estate | 5.0 | |
Utilities | 8.0 |
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 report-ing 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.
3
Global Minimum Volatility Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | |||||||
Value• | |||||||
Shares | ($000 | ) | |||||
Common Stocks (99.5%) | |||||||
Australia (3.6%) | |||||||
Wesfarmers Ltd. | 1,571,267 | 38,165 | |||||
Woolworths Group Ltd. | 1,109,637 | 25,679 | |||||
Sonic Healthcare Ltd. | 1,011,418 | 17,862 | |||||
AGL Energy Ltd. | 673,832 | 7,395 | |||||
Transurban Group | 820,957 | 7,319 | |||||
CSL Ltd. | 35,456 | 7,068 | |||||
Ramsay Health Care Ltd. | 111,672 | 4,535 | |||||
Coles Group Ltd. | 388,853 | 3,899 | |||||
Newcrest Mining Ltd. | 175,803 | 3,186 | |||||
Northern Star Resources Ltd. | 271,335 | 2,191 | |||||
Caltex Australia Ltd. | 101,411 | 1,633 | |||||
JB Hi-Fi Ltd. | 61,545 | 1,392 | |||||
ASX Ltd. | 21,305 | 1,123 | |||||
BWP Trust | 383,701 | 877 | |||||
Crown Resorts Ltd. | 136,657 | 875 | |||||
Coca-Cola Amatil Ltd. | 117,488 | 654 | |||||
123,853 | |||||||
Belgium (0.5%) | |||||||
Colruyt SA | 162,878 | 9,762 | |||||
* | Ucb SA | 36,580 | 3,352 | ||||
Ageas | 59,225 | 2,135 | |||||
Elia Group SA | 11,876 | 1,365 | |||||
Sofina SA | 4,201 | 989 | |||||
Cofinimmo SA | 6,589 | 916 | |||||
18,519 | |||||||
Brazil (0.6%) | |||||||
Telefonica Brasil SA ADR | 2,123,707 | 17,839 | |||||
Cia Brasileira de Distribuicao ADR | 119,650 | 1,461 | |||||
Gerdau SA ADR | 640,331 | 1,377 | |||||
20,677 | |||||||
Canada (5.2%) | |||||||
BCE Inc. | 864,102 | 34,944 | |||||
TELUS Corp. | 1,353,698 | 22,125 | |||||
^ | Emera Inc. | 472,936 | 18,826 | ||||
Shaw Communications Inc. Class B | 844,343 | 13,776 | |||||
National Bank of Canada | 302,137 | 12,186 | |||||
Intact Financial Corp. | 118,307 | 11,259 | |||||
Franco-Nevada Corp. | 81,181 | 10,740 | |||||
^ | Canadian Tire Corp. Ltd. Class A | 133,381 | 9,359 | ||||
Dollarama Inc. | 275,136 | 8,630 | |||||
* | CGI Inc. | 118,851 | 7,580 | ||||
Barrick Gold Corp. | 239,338 | 6,161 | |||||
George Weston Ltd. | 69,311 | 4,917 | |||||
Metro Inc. | 116,208 | 4,781 | |||||
Loblaw Cos. Ltd. | 76,082 | 3,744 | |||||
Agnico Eagle Mines Ltd. | 56,977 | 3,329 | |||||
1 | Hydro One Ltd. | 44,707 | 811 | ||||
WSP Global Inc. | 11,914 | 799 | |||||
Saputo Inc. | 30,228 | 760 | |||||
Fortis Inc. | 19,321 | 749 | |||||
175,476 | |||||||
Chile (0.2%) | |||||||
Enel Americas SA ADR | 626,058 | 5,065 | |||||
Banco Santander Chile ADR | 68,869 | 1,158 | |||||
6,223 | |||||||
China (3.5%) | |||||||
*,2 | Alibaba Group Holding Ltd. ADR | 245,141 | 49,683 | ||||
2 | China Mobile Ltd. ADR | 668,773 | 26,731 | ||||
ZTO Express Cayman Inc. ADR | 848,367 | 25,247 | |||||
* | TAL Education Group ADR | 194,154 | 10,521 | ||||
* | China Biologic Products | ||||||
Holdings Inc. | 69,329 | 7,227 | |||||
* | GDS Holdings Ltd. ADR | 14,933 | 856 | ||||
120,265 | |||||||
Denmark (0.3%) | |||||||
Coloplast A/S Class B | 31,556 | 4,977 | |||||
Carlsberg A/S Class B | 25,138 | 3,172 | |||||
Tryg A/S | 101,509 | 2,707 | |||||
10,856 |
4
Global Minimum Volatility Fund
Market | |||||||
Value• | |||||||
Shares | ($000 | ) | |||||
Finland (0.2%) | |||||||
Elisa Oyj | 86,714 | 5,269 | |||||
Kesko Oyj Class B | 104,016 | 1,695 | |||||
6,964 | |||||||
Germany (1.8%) | |||||||
* | Deutsche Telekom AG | 2,552,128 | 37,311 | ||||
* | Merck KGaA | 90,205 | 10,469 | ||||
Hannover Rueck SE | 37,952 | 6,047 | |||||
Fielmann AG | 47,070 | 3,095 | |||||
Vonovia SE | 56,550 | 2,797 | |||||
* | Beiersdorf AG | 18,207 | 1,905 | ||||
61,624 | |||||||
Hong Kong (2.1%) | |||||||
CLP Holdings Ltd. | 2,412,850 | 25,827 | |||||
Power Assets Holdings Ltd. | 2,791,500 | 18,704 | |||||
Hang Seng Bank Ltd. | 724,100 | 12,664 | |||||
CK Hutchison Holdings Ltd. | 459,000 | 3,402 | |||||
China Mengniu Dairy Co. Ltd. | 820,000 | 2,904 | |||||
Want Want China Holdings Ltd. | 2,935,000 | 2,092 | |||||
CK Infrastructure Holdings Ltd. | 210,500 | 1,250 | |||||
Jardine Matheson Holdings Ltd. | 26,500 | 1,161 | |||||
Chow Tai Fook Jewellery Group Ltd. | 1,131,200 | 957 | |||||
MTR Corp. Ltd. | 170,500 | 945 | |||||
BOC Hong Kong Holdings Ltd. | 258,000 | 792 | |||||
70,698 | |||||||
India (1.9%) | |||||||
Infosys Ltd. ADR | 3,418,730 | 31,555 | |||||
HDFC Bank Ltd. ADR | 320,354 | 13,887 | |||||
Dr Reddy’s Laboratories Ltd. ADR | 215,659 | 11,040 | |||||
ICICI Bank Ltd. ADR | 836,474 | 8,164 | |||||
64,646 | |||||||
Indonesia (0.2%) | |||||||
Telekomunikasi Indonesia Persero Tbk PT ADR | 286,923 | 6,223 | |||||
Ireland (0.3%) | |||||||
Kerry Group plc Class A | 79,474 | 9,148 | |||||
Israel (0.3%) | |||||||
Bank Hapoalim BM | 1,106,320 | 7,091 | |||||
Bank Leumi Le-Israel BM | 404,288 | 2,178 | |||||
9,269 | |||||||
Italy (0.9%) | |||||||
Assicurazioni Generali SPA | 1,762,131 | 25,140 | |||||
Hera SPA | 543,844 | 2,013 | |||||
UnipolSai Assicurazioni SPA | 656,555 | 1,609 | |||||
* | Davide Campari-Milano SPA | 127,351 | 990 | ||||
29,752 | |||||||
Japan (10.3%) | |||||||
Japan Tobacco Inc. | 2,743,000 | 51,083 | |||||
Chugai Pharmaceutical Co. Ltd. | 239,000 | 28,489 | |||||
Canon Inc. | 1,193,600 | 25,108 | |||||
Yamada Denki Co. Ltd. | 4,510,200 | 21,388 | |||||
Softbank Corp. | 1,258,500 | 17,138 | |||||
Pan Pacific International Holdings Corp. | 796,700 | 15,435 | |||||
Skylark Holdings Co. Ltd. | 1,020,000 | 15,077 | |||||
Toyo Suisan Kaisha Ltd. | 203,300 | 9,776 | |||||
^ | Sawai Pharmaceutical Co. Ltd. | 174,800 | 9,545 | ||||
Fujitsu Ltd. | 95,900 | 9,317 | |||||
Secom Co. Ltd. | 78,400 | 6,524 | |||||
ABC-Mart Inc. | 118,100 | 6,002 | |||||
NEC Corp. | 156,100 | 5,990 | |||||
Sekisui House Ltd. | 345,200 | 5,922 | |||||
Kagome Co. Ltd. | 230,700 | 5,892 | |||||
East Japan Railway Co. | 80,100 | 5,849 | |||||
Ajinomoto Co. Inc. | 310,100 | 5,523 | |||||
Chugoku Electric Power Co. Inc. | 394,000 | 5,301 | |||||
ITOCHU Corp. | 268,000 | 5,254 | |||||
Nitori Holdings Co. Ltd. | 33,200 | 5,089 | |||||
West Japan Railway Co. | 79,500 | 4,913 | |||||
FUJIFILM Holdings Corp. | 100,400 | 4,782 | |||||
Kyocera Corp. | 85,200 | 4,552 | |||||
Kintetsu Group Holdings Co. Ltd. | 89,100 | 4,256 | |||||
Shionogi & Co. Ltd. | 76,400 | 4,219 | |||||
Nippon Telegraph & Telephone Corp. | 183,900 | 4,188 | |||||
Nissin Foods Holdings Co. Ltd. | 45,200 | 3,716 | |||||
Mitsubishi Materials Corp. | 155,900 | 3,193 | |||||
Calbee Inc. | 104,300 | 3,156 | |||||
Kyowa Kirin Co. Ltd. | 123,400 | 2,864 | |||||
Ezaki Glico Co. Ltd. | 55,400 | 2,433 | |||||
Trend Micro Inc. | 46,600 | 2,364 |
5
Global Minimum Volatility Fund
Market | ||||||||
Value• | ||||||||
Shares | ($000 | ) | ||||||
J Front Retailing Co. Ltd. | 281,400 | 2,296 | ||||||
Ricoh Co. Ltd. | 318,400 | 2,170 | ||||||
Hoshizaki Corp. | 28,300 | 2,157 | ||||||
MS&AD Insurance Group Holdings Inc. | 74,000 | 2,132 | ||||||
Marui Group Co. Ltd. | 127,500 | 2,087 | ||||||
SG Holdings Co. Ltd. | 74,400 | 2,070 | ||||||
Seiko Epson Corp. | 176,800 | 2,008 | ||||||
Yoshinoya Holdings Co. Ltd. | 92,500 | 1,912 | ||||||
Keio Corp. | 30,700 | 1,737 | ||||||
Odakyu Electric Railway Co. Ltd. | 78,700 | 1,736 | ||||||
Sankyo Co. Ltd. | 55,900 | 1,535 | ||||||
MOS Food Services Inc. | 60,500 | 1,523 | ||||||
Nagoya Railroad Co. Ltd. | 52,800 | 1,511 | ||||||
NH Foods Ltd. | 41,000 | 1,455 | ||||||
KYORIN Holdings Inc. | 68,600 | 1,426 | ||||||
Nisshin Seifun Group Inc. | 86,100 | 1,338 | ||||||
Ibiden Co. Ltd. | 50,200 | 1,283 | ||||||
Unicharm Corp. | 33,100 | 1,220 | ||||||
Toho Co. Ltd. | 36,500 | 1,195 | ||||||
MediPal Holdings Corp. | 60,600 | 1,169 | ||||||
Oracle Corp. Japan | 11,200 | 1,153 | ||||||
Obic Co. Ltd. | 7,600 | 1,140 | ||||||
Toshiba Corp. | 43,900 | 1,089 | ||||||
Tokyu Corp. | 70,400 | 1,060 | ||||||
Suzuken Co. Ltd. | 24,500 | 944 | ||||||
Kewpie Corp. | 46,300 | 919 | ||||||
Kamigumi Co. Ltd. | 52,000 | 916 | ||||||
Lawson Inc. | 17,400 | 904 | ||||||
TIS Inc. | 47,400 | 904 | ||||||
Keihan Holdings Co. Ltd. | 19,900 | 894 | ||||||
Nippon Shinyaku Co. Ltd. | 12,600 | 885 | ||||||
Takashimaya Co. Ltd. | 95,300 | 861 | ||||||
Asahi Group Holdings Ltd. | 19,800 | 681 | ||||||
Japan Post Bank Co. Ltd. | 68,900 | 640 | ||||||
351,288 | ||||||||
Mexico (0.5%) | ||||||||
Fomento Economico Mexicano SAB de CV ADR | 238,814 | 15,363 | ||||||
Netherlands (0.0%) | ||||||||
Koninklijke Ahold Delhaize NV | 47,806 | 1,161 | ||||||
Norway (0.4%) | ||||||||
Orkla ASA | 1,501,564 | 13,564 | ||||||
Poland (0.1%) | ||||||||
Powszechny Zaklad Ubezpieczen SA | 214,925 | 1,586 | ||||||
Bank Polska Kasa Opieki SA | 105,844 | 1,343 | ||||||
* | KGHM Polska Miedz SA | 50,781 | 955 | |||||
3,884 | ||||||||
Russia (0.5%) | ||||||||
Lukoil PJSC ADR | 121,551 | 7,930 | ||||||
Sberbank of Russia PJSC ADR | 511,168 | 5,427 | ||||||
MMC Norilsk Nickel PJSC ADR | 54,345 | 1,507 | ||||||
Novatek PJSC GDR | 6,727 | 943 | ||||||
Polyus PJSC GDR | 9,966 | 810 | ||||||
Rosneft Oil Co. PJSC GDR | 165,805 | 743 | ||||||
17,360 | ||||||||
Singapore (0.7%) | ||||||||
Singapore Telecommunications Ltd. | 3,775,400 | 7,544 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 1,090,048 | 6,955 | ||||||
United Overseas Bank Ltd. | 210,900 | 3,014 | ||||||
Singapore Technologies Engineering Ltd. | 788,900 | 1,911 | ||||||
Wilmar International Ltd. | 670,300 | 1,688 | ||||||
Singapore Airlines Ltd. | 260,040 | 1,124 | ||||||
Ascendas REIT | 391,700 | 819 | ||||||
23,055 | ||||||||
South Africa (0.2%) | ||||||||
AngloGold Ashanti Ltd. ADR | 284,725 | 6,944 | ||||||
South Korea (2.6%) | ||||||||
KT&G Corp. | 308,956 | 20,628 | ||||||
Korea Zinc Co. Ltd. | 50,052 | 15,908 | ||||||
KT Corp. | 510,114 | 10,017 | ||||||
SK Telecom Co. Ltd. | 50,443 | 8,767 | ||||||
Samsung Electronics Co. Ltd. | 137,365 | 5,648 | ||||||
Posco | 27,961 | 4,225 | ||||||
Shinhan Financial Group Co. Ltd. | 128,159 | 3,249 | ||||||
Kakao Corp. | 18,849 | 2,849 | ||||||
Yuhan Corp. | 69,905 | 2,716 | ||||||
Maeil Dairies Co. Ltd. | 33,866 | 2,238 | ||||||
Kangwon Land Inc. | 99,245 | 2,051 | ||||||
Samsung SDS Co. Ltd. | 12,428 | 1,658 | ||||||
Lotte Shopping Co. Ltd. | 19,835 | 1,624 | ||||||
GS Holdings Corp. | 51,116 | 1,608 | ||||||
Macquarie Korea Infrastructure Fund | 106,880 | 1,005 |
6
Global Minimum Volatility Fund
Market | ||||||||
Value• | ||||||||
Shares | ($000 | ) | ||||||
KB Financial Group Inc. | 35,035 | 1,002 | ||||||
Korea Aerospace Industries Ltd. | 43,257 | 913 | ||||||
Samsung C&T Corp. | 10,189 | 892 | ||||||
SK Holdings Co. Ltd. | 5,637 | 842 | ||||||
Hyundai Steel Co. | 44,481 | 791 | ||||||
88,631 | ||||||||
Spain (1.2%) | ||||||||
* | Ferrovial SA | 633,944 | 15,874 | |||||
*,1 | Aena SME SA | 114,403 | 14,482 | |||||
Merlin Properties Socimi SA | 390,697 | 3,626 | ||||||
Endesa SA | 115,800 | 2,568 | ||||||
Industria de Diseno Textil SA | 63,299 | 1,621 | ||||||
Grifols SA | 31,936 | 1,090 | ||||||
Red Electrica Corp. SA | 57,686 | 1,015 | ||||||
Viscofan SA | 13,131 | 842 | ||||||
41,118 | ||||||||
Sweden (0.1%) | ||||||||
*,^ | ICA Gruppen AB | 95,903 | 4,196 | |||||
Switzerland (2.9%) | ||||||||
Swisscom AG | 82,792 | 43,018 | ||||||
Baloise Holding AG | 66,558 | 9,958 | ||||||
Roche Holding AG | 22,360 | 7,743 | ||||||
Geberit AG | 16,853 | 7,537 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 887 | 6,910 | ||||||
* | Nestle SA | 50,386 | 5,336 | |||||
Kuehne & Nagel International AG | 32,263 | 4,615 | ||||||
Roche Holding AG (Bearer) | 6,722 | 2,335 | ||||||
* | Flughafen Zurich AG | 18,638 | 2,305 | |||||
* | Alcon Inc. | 41,500 | 2,190 | |||||
* | Allreal Holding AG | 9,242 | 1,717 | |||||
Swiss Prime Site AG | 16,696 | 1,589 | ||||||
Novartis AG | 16,173 | 1,380 | ||||||
Sonova Holding AG | 3,879 | 701 | ||||||
97,334 | ||||||||
Taiwan (0.2%) | ||||||||
Chunghwa Telecom Co. Ltd. ADR | 133,191 | 4,903 | ||||||
United Microelectronics Corp. ADR | 995,508 | 2,489 | ||||||
7,392 | ||||||||
United Kingdom (5.7%) | ||||||||
GlaxoSmithKline plc | 2,142,145 | 44,691 | ||||||
Smith & Nephew plc | 700,529 | 13,709 | ||||||
National Grid plc | 1,117,437 | 13,095 | ||||||
Wm Morrison Supermarkets plc | 5,417,044 | 12,449 | ||||||
Halma plc | 441,797 | 11,615 | ||||||
Tate & Lyle plc | 1,115,470 | 9,995 | ||||||
Next plc | 150,046 | 8,934 | ||||||
Rightmove plc | 1,311,086 | 8,197 | ||||||
Admiral Group plc | 243,447 | 7,104 | ||||||
B&M European Value Retail SA | 1,583,221 | 6,621 | ||||||
Associated British Foods plc | 228,470 | 5,424 | ||||||
Coca-Cola HBC AG | 199,667 | 5,059 | ||||||
BAE Systems plc | 745,532 | 4,755 | ||||||
Polymetal International plc | 225,140 | 4,611 | ||||||
Informa plc | 824,261 | 4,553 | ||||||
Segro plc | 422,617 | 4,430 | ||||||
Sage Group plc | 522,131 | 4,199 | ||||||
Smiths Group plc | 266,122 | 4,144 | ||||||
RSA Insurance Group plc | 817,048 | 3,703 | ||||||
Reckitt Benckiser Group plc | 37,979 | 3,164 | ||||||
DCC plc | 42,098 | 2,994 | ||||||
Direct Line Insurance Group plc | 534,040 | 1,819 | ||||||
Inchcape plc | 216,811 | 1,366 | ||||||
Marks & Spencer Group plc | 912,719 | 1,063 | ||||||
UDG Healthcare plc | 128,402 | 1,013 | ||||||
WH Smith plc | 60,133 | 949 | ||||||
J Sainsbury plc | 341,484 | 850 | ||||||
Bunzl plc | 36,572 | 794 | ||||||
UK Commercial Property REIT Ltd. | 899,207 | 766 | ||||||
Derwent London plc | 19,497 | 762 | ||||||
192,828 | ||||||||
United States (52.5%) | ||||||||
Communication Services (1.4%) | ||||||||
* | Liberty Broadband Corp.Class C | 186,381 | 22,865 | |||||
3 | Cable One Inc. | 8,893 | 17,011 | |||||
* | Yandex NV Class A | 124,463 | 4,702 | |||||
* | Madison Square Garden Sports C | 10,813 | 1,853 | |||||
John Wiley & Sons Inc. Class A | 24,872 | 934 | ||||||
* | Liberty Media Corp-Liberty SiriusXM Class C | 27,307 | 930 | |||||
Madison Square Garden Entertainment Corp. | 10,813 | 894 | ||||||
49,189 | ||||||||
Consumer Discretionary (4.1%) | ||||||||
Dollar General Corp. | 261,181 | 45,785 | ||||||
Service Corp.International | 579,789 | 21,301 |
7
Global Minimum Volatility Fund
Market | ||||||||
Value• | ||||||||
Shares | ($000 | ) | ||||||
* | Bright Horizons Family Solutions Inc. | 164,406 | 19,145 | |||||
* | O’Reilly Automotive Inc. | 41,108 | 15,882 | |||||
Yum China Holdings Inc. | 187,880 | 9,105 | ||||||
* | Murphy USA Inc. | 79,292 | 8,468 | |||||
* | AutoZone Inc. | 7,113 | 7,258 | |||||
Graham Holdings Co. Class B | 11,897 | 4,640 | ||||||
Pool Corp. | 21,122 | 4,471 | ||||||
* | ServiceMaster Global Holdings Inc. | 79,923 | 2,721 | |||||
138,776 | ||||||||
Consumer Staples (4.2%) | ||||||||
2 | Walmart Inc. | 241,730 | 29,382 | |||||
2 | PepsiCo Inc. | 199,923 | 26,448 | |||||
Church & Dwight Co. Inc. | 200,621 | 14,041 | ||||||
Colgate-Palmolive Co. | 176,445 | 12,399 | ||||||
Flowers Foods Inc. | 381,799 | 8,506 | ||||||
2 | Clorox Co. | 41,040 | 7,652 | |||||
Sysco Corp. | 104,704 | 5,892 | ||||||
Lamb Weston Holdings Inc. | 94,430 | 5,794 | ||||||
Hershey Co. | 43,111 | 5,709 | ||||||
Lancaster Colony Corp. | 36,026 | 4,850 | ||||||
Kimberly-Clark Corp. | 34,755 | 4,813 | ||||||
Brown-Forman Corp. Class B | 72,501 | 4,510 | ||||||
2 | Hormel Foods Corp. | 78,102 | 3,659 | |||||
Vector Group Ltd. | 322,977 | 3,456 | ||||||
J&J Snack Foods Corp. | 24,150 | 3,068 | ||||||
WD-40 Co. | 9,565 | 1,667 | ||||||
141,846 | ||||||||
Energy (0.1%) | ||||||||
SFL Corp. Ltd. | 77,542 | 875 | ||||||
* | Cosan Ltd. | 57,718 | 770 | |||||
1,645 | ||||||||
Financials (7.0%) | ||||||||
Blackstone Mortgage Trust Inc. Class A | 1,219,610 | 28,697 | ||||||
AGNC Investment Corp. | 2,159,423 | 26,820 | ||||||
Brown & Brown Inc. | 658,622 | 23,651 | ||||||
RenaissanceRe Holdings Ltd. | 144,465 | 21,093 | ||||||
White Mountains Insurance Group Ltd. | 20,321 | 19,772 | ||||||
Washington Federal Inc. | 586,823 | 15,692 | ||||||
Arthur J Gallagher & Co. | 176,880 | 13,885 | ||||||
Annaly Capital Management Inc. | 2,112,456 | 13,203 | ||||||
WR Berkley Corp. | 221,445 | 11,958 | ||||||
Hanover Insurance Group Inc. | 106,249 | 10,665 | ||||||
Globe Life Inc. | 105,584 | 8,694 | ||||||
Capitol Federal Financial Inc. | 455,900 | 5,466 | ||||||
Bank of Hawaii Corp. | 80,035 | 5,457 | ||||||
Axis Capital Holdings Ltd. | 112,279 | 4,109 | ||||||
* | Arch Capital Group Ltd. | 163,311 | 3,924 | |||||
American Financial Group Inc. | 50,234 | 3,328 | ||||||
TFS Financial Corp. | 219,700 | 2,999 | ||||||
MFA Financial Inc. | 1,628,431 | 2,850 | ||||||
Commerce Bancshares Inc. | 46,158 | 2,824 | ||||||
Cincinnati Financial Corp. | 38,276 | 2,519 | ||||||
*Markel Corp. | 2,382 | 2,063 | ||||||
Northwest Bancshares Inc. | 180,081 | 1,911 | ||||||
ProAssurance Corp. | 78,172 | 1,672 | ||||||
Fidelity National Financial Inc. | 52,157 | 1,411 | ||||||
Everest Re Group Ltd. | 6,848 | 1,186 | ||||||
Old Republic International Corp. | 49,084 | 783 | ||||||
Marsh & McLennan Cos. Inc. | 7,371 | 717 | ||||||
237,349 | ||||||||
Health Care (8.6%) | ||||||||
Amgen Inc. | 230,436 | 55,125 | ||||||
2 | Johnson & Johnson | 363,571 | 54,550 | |||||
2 | Merck & Co. Inc. | 644,826 | 51,161 | |||||
Chemed Corp. | 114,164 | 47,557 | ||||||
2 | Quest Diagnostics Inc. | 342,022 | 37,660 | |||||
Gilead Sciences Inc. | 250,773 | 21,065 | ||||||
Zoetis Inc. | 98,633 | 12,754 | ||||||
* | Premier Inc. Class A | 130,395 | 4,324 | |||||
* | NuVasive Inc. | 47,961 | 2,920 | |||||
* | Laboratory Corp. of America Holdings | 10,420 | 1,714 | |||||
* | Globus Medical Inc. | 32,029 | 1,520 | |||||
CONMED Corp. | 20,305 | 1,501 | ||||||
Universal Health Services Inc. Class B | 14,187 | 1,499 | ||||||
293,350 | ||||||||
Industrials (2.7%) | ||||||||
Republic Services Inc. | 484,392 | 37,947 | ||||||
CH Robinson Worldwide Inc. | 188,948 | 13,396 | ||||||
Waste Management Inc. | 107,750 | 10,777 | ||||||
Carlisle Cos. Inc. | 87,668 | 10,604 | ||||||
BWX Technologies Inc. | 122,402 | 6,495 | ||||||
* | Teledyne Technologies Inc. | 9,312 | 3,033 | |||||
EMCOR Group Inc. | 36,466 | 2,317 | ||||||
Expeditors International of Washington Inc. | 19,921 | 1,426 |
8
Global Minimum Volatility Fund
Market | ||||||||
Value• | ||||||||
Shares | ($000 | ) | ||||||
CoreLogic Inc. | 36,165 | 1,390 | ||||||
National Presto Industries Inc. | 17,011 | 1,383 | ||||||
Amerco | 4,224 | 1,183 | ||||||
Rollins Inc. | 25,864 | 1,035 | ||||||
Simpson Manufacturing Co. Inc. | 12,766 | 920 | ||||||
Valmont Industries Inc. | 7,060 | 828 | ||||||
Graco Inc. | 14,943 | 667 | ||||||
93,401 | ||||||||
Information Technology (12.1%) | ||||||||
Amdocs Ltd. | 922,502 | 59,446 | ||||||
Citrix Systems Inc. | 355,619 | 51,568 | ||||||
2 | Jack Henry & Associates Inc. | | 306,662 | 50,154 | ||||
2 | Paychex Inc. | 566,988 | 38,850 | |||||
* | Black Knight Inc. | 497,326 | 35,096 | |||||
2 | Oracle Corp. | 632,605 | 33,509 | |||||
Genpact Ltd. | 676,028 | 23,276 | ||||||
* | Tyler Technologies Inc. | 70,853 | 22,722 | |||||
Broadridge Financial Solutions Inc. | 166,049 | 19,262 | ||||||
MAXIMUS Inc. | 271,340 | 18,267 | ||||||
2 | Motorola Solutions Inc. | 85,082 | 12,236 | |||||
* | Fiserv Inc. | 116,961 | 12,054 | |||||
* | CACI International Inc. Class A | 37,572 | 9,398 | |||||
Dolby Laboratories Inc. Class A | 89,433 | 5,369 | ||||||
* | Gartner Inc. | 39,274 | 4,666 | |||||
* | Check Point Software Technologies Ltd. | 35,069 | 3,708 | |||||
* | Euronet Worldwide Inc. | 39,339 | 3,610 | |||||
Booz Allen Hamilton Holding Corp. | 35,262 | 2,590 | ||||||
* | ExlService Holdings Inc. | 24,622 | 1,520 | |||||
J2 Global Inc. | 17,528 | 1,413 | ||||||
* | ViaSat Inc. | 33,163 | 1,406 | |||||
Automatic Data Processing Inc. | 7,395 | 1,085 | ||||||
InterDigital Inc. | 17,574 | 1,015 | ||||||
* | Verint Systems Inc. | 19,497 | 833 | |||||
413,053 | ||||||||
Materials (2.9%) | ||||||||
AptarGroup Inc. | 306,397 | 32,809 | ||||||
Newmont Corp. | 379,970 | 22,601 | ||||||
Royal Gold Inc. | 133,067 | 16,305 | ||||||
Kaiser Aluminum Corp. | 155,085 | 11,202 | ||||||
Sonoco Products Co. | 172,413 | 8,421 | ||||||
Reliance Steel & Aluminum Co. | 46,411 | 4,157 | ||||||
Silgan Holdings Inc. | 100,451 | 3,465 | ||||||
98,960 | ||||||||
Real Estate (4.4%) | ||||||||
3 | Equity Commonwealth | 1,061,488 | 36,038 | |||||
Equity LifeStyle Properties Inc. | 266,692 | 16,084 | ||||||
PS Business Parks Inc. | 70,969 | 9,161 | ||||||
UDR Inc. | 236,106 | 8,847 | ||||||
Camden Property Trust | 78,610 | 6,923 | ||||||
EastGroup Properties Inc. | 63,751 | 6,758 | ||||||
Terreno Realty Corp. | 122,872 | 6,736 | ||||||
Mid-America Apartment Communities Inc. | 58,193 | 6,513 | ||||||
Rayonier Inc. | 233,356 | 5,608 | ||||||
Highwoods Properties Inc. | 142,285 | 5,522 | ||||||
Duke Realty Corp. | 128,816 | 4,470 | ||||||
Public Storage | 23,220 | 4,306 | ||||||
Rexford Industrial Realty Inc. | 102,851 | 4,188 | ||||||
Healthcare Realty Trust Inc. | 125,624 | 3,692 | ||||||
CubeSmart | 130,646 | 3,292 | ||||||
First Industrial Realty Trust Inc. | 84,051 | 3,175 | ||||||
AvalonBay Communities Inc. | 16,287 | 2,654 | ||||||
Apple Hospitality REIT Inc. | 261,216 | 2,529 | ||||||
American Homes 4 Rent Class A | 84,870 | 2,049 | ||||||
Alexandria Real Estate Equities Inc. | 12,043 | 1,892 | ||||||
Life Storage Inc. | 21,159 | 1,853 | ||||||
Agree Realty Corp. | 28,140 | 1,832 | ||||||
Extra Space Storage Inc. | 18,431 | 1,626 | ||||||
Piedmont Office Realty Trust Inc. Class A | 89,683 | 1,556 | ||||||
National Health Investors Inc. | 16,707 | 920 | ||||||
American Assets Trust Inc. | 28,116 | 796 | ||||||
WP Carey Inc. | 10,945 | 720 | ||||||
Hudson Pacific Properties Inc. | 25,066 | 616 | ||||||
150,356 | ||||||||
Utilities (5.0%) | ||||||||
Hawaiian Electric | ||||||||
Industries Inc. | 499,501 | 19,715 | ||||||
IDACORP Inc. | 212,886 | 19,539 | ||||||
DTE Energy Co. | 145,561 | 15,100 | ||||||
Ameren Corp. | 192,534 | 14,007 | ||||||
NorthWestern Corp. | 229,912 | 13,264 | ||||||
WEC Energy Group Inc. | 144,207 | 13,058 | ||||||
Portland General Electric Co. | 203,522 | 9,523 | ||||||
MDU Resources Group Inc. | 407,133 | 9,144 |
9
Global Minimum Volatility Fund
Market | ||||||||
Value• | ||||||||
Shares | ($000 | ) | ||||||
Public Service Enterprise Group Inc. | 178,704 | 9,062 | ||||||
ALLETE Inc. | 143,881 | 8,282 | ||||||
Sempra Energy | 65,314 | 8,089 | ||||||
Consolidated Edison Inc. | 99,603 | 7,849 | ||||||
CMS Energy Corp. | 128,916 | 7,360 | ||||||
Avista Corp. | 140,070 | 6,029 | ||||||
OGE Energy Corp. | 143,132 | 4,511 | ||||||
Alliant Energy Corp. | 47,673 | 2,314 | ||||||
Black Hills Corp. | 29,141 | 1,805 | ||||||
168,651 |
Total United States | 1,786,576 | |||||||
Total Common Stocks (Cost $3,333,553) | 3,384,887 | |||||||
Temporary Cash Investment (1.0%) | ||||||||
Money Market Fund (1.0%) | ||||||||
4,5 | Vanguard Market Liquidity Fund, 0.522% (Cost $34,571) | 345,765 | 34,577 | |||||
Total Investments (100.5%) | ||||||||
(Cost $3,368,124) | 3,419,464 | |||||||
Other Assets and Liabilities—Net (-0.5%)2,5 | (18,320 | ) | ||||||
Net Assets (100%) | 3,401,144 |
Cost rounded to $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 $29,543,000. |
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 April 30, 2020, the aggregate value of these securities was $15,293,000, representing 0.4% of net assets. |
2 | Securities with a value of $31,630,000 and cash of $470,000 have been segregated as collateral for open forward currency contracts. |
3 | Securities with a value of $2,605,000 have been segregated as initial margin for open futures contracts. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $32,683,000 was received for securities on loan. |
ADR—American Depositary Receipt.
GDR—Global Depositary Receipt.
REIT—Real Estate Investment Trust.
10
Global Minimum Volatility 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 | |||||||
E-mini S&P 500 Index | June 2020 | 65 | 9,433 | 38 | |||
Dow Jones EURO STOXX 50 Index | June 2020 | 73 | 2,310 | 277 | |||
Topix Index | June 2020 | 9 | 1,219 | 93 | |||
FTSE 100 Index | June 2020 | 12 | 889 | 88 | |||
S&P ASX 200 Index | June 2020 | 6 | 542 | 38 | |||
534 |
Forward Currency Contracts | |||||||||||
Contract | Unrealized | Unrealized | |||||||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation | ) | |||||||
Counterparty | Date | Receive | Deliver | ($000 | ) | ($000 | ) | ||||
Barclays Bank plc | 5/15/20 | JPY | 923,747 | USD | 8,579 | 30 | — | ||||
Deutsche Bank AG | 5/15/20 | USD | 352,383 | JPY | 38,281,212 | — | (4,409 | ) | |||
Toronto-Dominion Bank | 5/15/20 | USD | 190,407 | GBP | 153,895 | — | (3,436 | ) | |||
Deutsche Bank AG | 5/15/20 | USD | 181,618 | CAD | 254,383 | — | (1,138 | ) | |||
BNP Paribas | 5/15/20 | USD | 156,005 | EUR | 143,258 | — | (1,032 | ) | |||
Deutsche Bank AG | 5/15/20 | USD | 120,817 | AUD | 194,623 | — | (6,016 | ) | |||
Royal Bank of Canada | 5/15/20 | USD | 98,220 | CHF | 95,145 | — | (391 | ) | |||
Royal Bank of Canada | 5/15/20 | USD | 97,757 | HKD | 758,176 | — | (20 | ) | |||
BNP Paribas | 5/15/20 | USD | 87,259 | KRW | 106,237,490 | 51 | — | ||||
Toronto-Dominion Bank | 5/15/20 | USD | 59,518 | INR | 4,589,760 | — | (1,503 | ) | |||
Royal Bank of Canada | 5/15/20 | USD | 24,152 | BRL | 126,931 | 841 | — | ||||
Goldman Sachs International | 5/15/20 | USD | 23,823 | SGD | 33,995 | — | (286 | ) | |||
BNP Paribas | 5/15/20 | USD | 18,077 | RUB | 1,369,532 | — | (330 | ) | |||
Royal Bank of Canada | 5/15/20 | USD | 14,004 | MXN | 341,322 | — | (122 | ) |
11
Global Minimum Volatility Fund
Forward Currency Contracts (continued) |
Contract | Unrealized | Unrealized | ||||||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation | ) | ||||||
Counterparty | Date | Receive | Deliver | ($000 | ) | ($000 | ) | |||
Barclays Bank plc | 5/15/20 | USD | 13,041 | NOK | 133,966 | — | (36 | ) | ||
Deutsche Bank AG | 5/15/20 | USD | 10,759 | ZAR | 196,568 | 172 | — | |||
Toronto-Dominion Bank | 5/15/20 | USD | 10,233 | DKK | 70,086 | — | (62 | ) | ||
Deutsche Bank AG | 5/15/20 | USD | 8,926 | GBP | 7,095 | — | (12 | ) | ||
Goldman Sachs International | 5/18/20 | USD | 8,365 | ILS | 30,049 | — | (260 | ) | ||
BNP Paribas | 5/15/20 | USD | 7,122 | TWD | 213,353 | — | (55 | ) | ||
BNP Paribas | 5/15/20 | USD | 5,680 | IDR | 93,196,138 | — | (572 | ) | ||
Royal Bank of Canada | 5/15/20 | USD | 5,657 | CLP | 4,787,660 | — | (79 | ) | ||
Deutsche Bank AG | 5/15/20 | USD | 5,375 | EUR | 4,934 | — | (34 | ) | ||
Barclays Bank plc | 5/15/20 | USD | 4,172 | SEK | 41,834 | — | (117 | ) | ||
Goldman Sachs International | 5/15/20 | USD | 3,923 | PLN | 16,357 | — | (19 | ) | ||
Goldman Sachs International | 5/15/20 | USD | 1,104 | HKD | 8,564 | — | — | |||
Goldman Sachs International | 5/15/20 | USD | 611 | ZAR | 11,161 | 10 | — | |||
Goldman Sachs International | 5/15/20 | USD | 319 | AUD | 514 | — | (16 | ) | ||
BNP Paribas | 5/15/20 | USD | 209 | BRL | 1,091 | 8 | — | |||
1,112 | (19,945 | ) |
AUD—Australian dollar.
BRL—Brazilian real.
CAD—Canadian dollar.
CHF—Swiss franc.
CLP—Chilean peso.
DKK—Danish krone.
EUR—euro.
GBP—British pound.
HKD—Hong Kong dollar.
IDR—Indonesian rupiah.
ILS—Israeli shekel.
INR—Indian rupee.
JPY—Japanese yen.
KRW—Korean won.
MXN—Mexican peso.
NOK—Norwegian krone.
PLN—Polish zloty.
RUB—Russian ruble.
SEK—Swedish krona.
SGD—Singapore dollar.
TWD—Taiwanese dollar.
USD—U.S. dollar.
ZAR—South African rand.
At April 30, 2020, the counterparties had deposited securities with a value of $1,064,000 and cash of $910,000 in connection with open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Global Minimum Volatility Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount | |||
Assets | ||||
Investments in Securities, at Value | ||||
Unaffiliated Issuers (Cost $3,333,553) | 3,384,887 | |||
Affiliated Issuers (Cost $34,571) | 34,577 | |||
Total Investments in Securities | 3,419,464 | |||
Investment in Vanguard | 171 | |||
Cash | 87 | |||
Cash Collateral Pledged—Forward Currency Contracts | 470 | |||
Foreign Currency, at Value (Cost $3,154) | 3,157 | |||
Receivables for Investment Securities Sold | 28,302 | |||
Receivables for Accrued Income | 7,509 | |||
Receivables for Capital Shares Issued | 1,453 | |||
Variation Margin Receivable—Futures Contracts | 151 | |||
Unrealized Appreciation—Forward Currency Contracts | 1,112 | |||
Total Assets | 3,461,876 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | 9 | |||
Collateral for Securities on Loan | 32,683 | |||
Payables for Capital Shares Redeemed | 7,503 | |||
Payables to Vanguard | 345 | |||
Variation Margin Payable—Futures Contracts | 247 | |||
Unrealized Depreciation—Forward Currency Contracts | 19,945 | |||
Total Liabilities | 60,732 | |||
Net Assets | 3,401,144 |
13
Global Minimum Volatility Fund
Statement of Assets and Liabilities (continued) | ||||
At April 30, 2020, net assets consisted of: | ||||
($000s, except shares and per-share amounts) | Amount | |||
Paid-in Capital | 3,503,356 | |||
Total Distributable Earnings (Loss) | (102,212 | ) | ||
Net Assets | 3,401,144 | |||
Investor Shares—Net Assets | ||||
Applicable to 37,037,653 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 457,945 | |||
Net Asset Value Per Share—Investor Shares | $12.36 | |||
Admiral Shares—Net Assets | ||||
Applicable to 118,950,744 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,943,199 | |||
Net Asset Value Per Share—Admiral Shares | $24.74 |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Global Minimum Volatility Fund
Statement of Operations
Six Months Ended | ||||
April 30, 2020 | ||||
($000) | ||||
Investment Income | ||||
Income | ||||
Dividends1 | 43,929 | |||
Interest2 | 185 | |||
Securities Lending—Net | 217 | |||
Total Income | 44,331 | |||
Expenses | ||||
The Vanguard Group—Note B | ||||
Investment Advisory Services | 718 | |||
Management and Administrative—Investor Shares | 464 | |||
Management and Administrative—Admiral Shares | 1,542 | |||
Marketing and Distribution—Investor Shares | 45 | |||
Marketing and Distribution—Admiral Shares | 131 | |||
Custodian Fees | 110 | |||
Shareholders’ Reports—Investor Shares | 8 | |||
Shareholders’ Reports—Admiral Shares | 15 | |||
Trustees’ Fees and Expenses | 1 | |||
Total Expenses | 3,034 | |||
Net Investment Income | 41,297 | |||
Realized Net Gain (Loss) | ||||
Investment Securities Sold2 | (253,424 | ) | ||
Futures Contracts | 7,368 | |||
Forward Currency Contracts | 60,452 | |||
Foreign Currencies | (1,116 | ) | ||
Realized Net Gain (Loss) | (186,720 | ) | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Investment Securities2 | (408,011 | ) | ||
Futures Contracts | 275 | |||
Forward Currency Contracts | 19,105 | |||
Foreign Currencies | 50 | |||
Change in Unrealized Appreciation (Depreciation) | (388,581 | ) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | (534,004 | ) |
1 | Dividends are net of foreign withholding taxes of $3,132,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $184,000, $75,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Global Minimum Volatility Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |||||||
April 30, | October 31, | |||||||
2020 | 2019 | |||||||
($000) | ($000) | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations | ||||||||
Net Investment Income | 41,297 | 113,271 | ||||||
Realized Net Gain (Loss) | (186,720 | ) | 130,264 | |||||
Change in Unrealized Appreciation (Depreciation) | (388,581 | ) | 244,996 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (534,004 | ) | �� | 488,531 | ||||
Distributions1 | ||||||||
Investor Shares | (29,323 | ) | (33,498 | ) | ||||
Admiral Shares | (162,618 | ) | (181,298 | ) | ||||
Total Distributions | (191,941 | ) | (214,796 | ) | ||||
Capital Share Transactions | ||||||||
Investor Shares | (74,587 | ) | 84,477 | |||||
Admiral Shares | 75,682 | 710,035 | ||||||
Net Increase (Decrease) from Capital Share Transactions | 1,095 | 794,512 | ||||||
Total Increase (Decrease) | (724,850 | ) | 1,068,247 | |||||
Net Assets | ||||||||
Beginning of Period | 4,125,994 | 3,057,747 | ||||||
End of Period | 3,401,144 | 4,125,994 |
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.
16
Global Minimum Volatility Fund
Financial Highlights
Investor Shares
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | April 30, | Year Ended October 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $14.71 | $13.78 | $13.57 | $11.92 | $11.81 | $11.41 | |
Investment Operations | |||||||
Net Investment Income | .1381 | .4281 | .3741 | .3241 | .293 | .2881 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.826) | 1.403 | .148 | 1.650 | .181 | .795 | |
Total from Investment Operations | (1.688) | 1.831 | .522 | 1.974 | .474 | 1.083 | |
Distributions | |||||||
Dividends from Net Investment Income | (.397) | (.300) | (.312) | (.324) | (.205) | (.280) | |
Distributions from Realized Capital Gains | (.265) | (.601) | — | — | (.159) | (.403) | |
Total Distributions | (.662) | (.901) | (.312) | (.324) | (.364) | (.683) | |
Net Asset Value, End of Period | $12.36 | $14.71 | $13.78 | $13.57 | $11.92 | $11.81 | |
Total Return2 | -12.13% | 14.41% | 3.89% | 16.93% | 4.23% | 9.93% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $458 | $643 | $515 | $539 | $419 | $451 | |
Ratio of Total Expenses to Average Net Assets | 0.21% | 0.21% | 0.23% | 0.25% | 0.25% | 0.27% | |
Ratio of Net Investment Income to Average Net Assets | 2.24% | 3.09% | 2.66% | 2.54% | 2.63% | 2.52% | |
Portfolio Turnover Rate | 29% | 46% | 24% | 37% | 58% | 57% |
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Global Minimum Volatility Fund
Financial Highlights
Admiral Shares
For a Share Outstanding | Six Months Ended April 30, | Year Ended October 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $29.45 | $27.58 | $27.15 | $23.86 | $23.62 | $22.83 | |
Investment Operations | |||||||
Net Investment Income | .2851 | .8781 | .7581 | .6681 | .608 | .6051 | |
Net Realized and Unrealized Gain (Loss) on Investments | (3.652) | 2.819 | .297 | 3.295 | .377 | 1.576 | |
Total from Investment Operations | (3.367) | 3.697 | 1.055 | 3.963 | .985 | 2.181 | |
Distributions | |||||||
Dividends from Net Investment Income | (.812) | (.624) | (.625) | (.673) | (.427) | (.585) | |
Distributions from Realized Capital Gains | (.531) | (1.203) | — | — | (.318) | (.806) | |
Total Distributions | (1.343) | (1.827) | (.625) | (.673) | (.745) | (1.391) | |
Net Asset Value, End of Period | $24.74 | $29.45 | $27.58 | $27.15 | $23.86 | $23.62 | |
Total Return2 | -12.09% | 14.54% | 3.93% | 16.99% | 4.39% | 10.00% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,943 | $3,483 | $2,542 | $1,699 | $1,152 | $757 | |
Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.15% | 0.17% | 0.17% | 0.21% | |
Ratio of Net Investment Income to Average Net Assets | 2.32% | 3.16% | 2.74% | 2.62% | 2.71% | 2.58% | |
Portfolio Turnover Rate | 29% | 46% | 24% | 37% | 58% | 57% |
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Global Minimum Volatility Fund
Notes to Financial Statements
Vanguard Global Minimum Volatility 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: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
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. To minimize the currency risk and volatility associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposure. 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 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
19
Global Minimum Volatility Fund
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 April 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.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. 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.
20
Global Minimum Volatility Fund
During the six months ended April 30, 2020, the fund’s average investments in fund’s average investment in forward currency contracts represented 48% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 (October 31, 2016–2019), and for the period ended April 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. 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.
8. 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, effective May 2020, 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.
21
Global Minimum Volatility Fund
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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard are generally settled twice a month.
22
Global Minimum Volatility Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At April 30, 2020, the fund had contributed to Vanguard capital in the amount of $171,000, representing 0.01% of the fund’s net assets and 0.07% 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 April 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—United States | 1,786,576 | — | — | 1,786,576 | ||||||||||||
Common Stocks—International | 423,209 | 1,175,102 | — | 1,598,311 | ||||||||||||
Temporary Cash Investments | 34,577 | — | — | 34,577 | ||||||||||||
Total | 2,244,362 | 1,175,102 | — | 3,419,464 | ||||||||||||
Derivative Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts1 | 151 | — | — | 151 | ||||||||||||
Forward Currency Contracts | — | 1,112 | — | 1,112 | ||||||||||||
Total | 151 | 1,112 | — | 1,263 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts1 | 247 | — | — | 247 | ||||||||||||
Forward Currency Contracts | — | 19,945 | — | 19,945 | ||||||||||||
Total | 247 | 19,945 | — | 20,192 |
1 Represents variation margin on the last day of the reporting period.
23
Global Minimum Volatility Fund
D. At April 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Foreign | ||||||||||||
Equity | Exchange | |||||||||||
Contracts | Contracts | Total | ||||||||||
Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | |||||||||
Variation Margin Receivable—Futures Contracts | 151 | — | 151 | |||||||||
Unrealized Appreciation—Forward Currency Contracts | — | 1,112 | 1,112 | |||||||||
Total Assets | 151 | 1,112 | 1,263 | |||||||||
Variation Margin Payable—Futures Contracts | 247 | — | 247 | |||||||||
Unrealized Depreciation—Forward Currency Contracts | — | 19,945 | 19,945 | |||||||||
Total Liabilities | 247 | 19,945 | 20,192 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended April 30, 2020, were:
Foreign | ||||||||||||
Equity | Exchange | |||||||||||
Contracts | Contracts | Total | ||||||||||
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | |||||||||
Futures Contracts | 7,368 | — | 7,368 | |||||||||
Forward Currency Contracts | — | 60,452 | 60,452 | |||||||||
Realized Net Gain (Loss) on Derivatives | 7,368 | 60,452 | 67,820 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||||||||||
Futures Contracts | 275 | — | 275 | |||||||||
Forward Currency Contracts | — | 19,105 | 19,105 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives | 275 | 19,105 | 19,380 |
E. As of April 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 | 3,369,605 | |||
Gross Unrealized Appreciation | 358,123 | |||
Gross Unrealized Depreciation | (326,563 | ) | ||
Net Unrealized Appreciation (Depreciation) | 31,560 |
F. During the six months ended April 30, 2020, the fund purchased $1,144,141,000 of investment securities and sold $1,177,486,000 of investment securities, other than temporary cash investments.
24
Global Minimum Volatility Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||||||||||||||
April 30, 2020 | October 31, 2019 | |||||||||||||||
Amount | Shares | Amount | Shares | |||||||||||||
($000) | (000) | ($000) | (000) | |||||||||||||
Investor Shares | ||||||||||||||||
Issued | 116,934 | 8,268 | 205,945 | 14,903 | ||||||||||||
Issued in Lieu of Cash Distributions | 27,070 | 1,872 | 31,225 | 2,486 | ||||||||||||
Redeemed | (218,591 | ) | (16,824 | ) | (152,693 | ) | (11,079 | ) | ||||||||
Net Increase (Decrease)—Investor Shares | (74,587 | ) | (6,684 | ) | 84,477 | 6,310 | ||||||||||
Admiral Shares | ||||||||||||||||
Issued | 809,515 | 30,208 | 1,109,795 | 40,175 | ||||||||||||
Issued in Lieu of Cash Distributions | 143,670 | 4,966 | 163,610 | 6,511 | ||||||||||||
Redeemed | (877,503 | ) | (34,477 | ) | (563,370 | ) | (20,615 | ) | ||||||||
Net Increase (Decrease)—Admiral Shares | 75,682 | 697 | 710,035 | 26,071 |
H. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
25
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Global Minimum Volatility Fund has renewed the fund’s invest-ment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Quantitative Equity 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 investment management services provided to the fund since its inception in 2013, 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 Quantitative Equity 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 fund’s performance since its inception, including any periods of outper-formance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
26
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.
27
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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Global Minimum Volatility 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.
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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. | |
Q11942 062020 |
Semiannual Report | April 30, 2020
Vanguard International Dividend Index Funds
|
Vanguard International Dividend Appreciation Index Fund
Vanguard International High Dividend Yield Index 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.
Contents | |
About Your Fund’s Expenses | 1 |
International Dividend Appreciation Index Fund | 3 |
International High Dividend Yield Index Fund | 26 |
Trustees Approve Advisory Arrangements | 55 |
Liquidity Risk Management | 57 |
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.
1
Six Months Ended April 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
10/31/2019 | 4/30/2020 | Period | |
Based on Actual Fund Return | |||
International Dividend Appreciation Index Fund | |||
ETF Shares | $1,000.00 | $919.42 | $1.00 |
Admiral™ Shares | 1,000.00 | 919.22 | 1.00 |
International High Dividend Yield Index Fund | |||
ETF Shares | $1,000.00 | $800.68 | $1.25 |
Admiral Shares | 1,000.00 | 800.30 | 1.25 |
Based on Hypothetical 5% Yearly Return | |||
International Dividend Appreciation Index Fund | |||
ETF Shares | $1,000.00 | $1,023.82 | $1.06 |
Admiral Shares | 1,000.00 | 1,023.82 | 1.06 |
International High Dividend Yield Index Fund | |||
ETF Shares | $1,000.00 | $1,023.47 | $1.41 |
Admiral Shares | 1,000.00 | 1,023.47 | 1.41 |
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 International Dividend Appreciation Index Fund, 0.21% for ETF Shares and 0.21% for Admiral Shares; and for the International High Dividend Yield Index Fund, 0.28% for ETF Shares and 0.28% for Admiral 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 six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
International Dividend Appreciation Index Fund
Fund Allocation
As of April 30, 2020
Basic Materials | 3.7 | % | ||
Consumer Goods | 21.1 | |||
Consumer Services | 9.1 | |||
Financials | 13.8 | |||
Health Care | 14.4 | |||
Industrials | 10.2 | |||
Oil & Gas | 3.0 | |||
Technology | 19.6 | |||
Telecommunications | 3.3 | |||
Utilities | 1.8 |
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, at-tempting to remain fully invested and tracking their 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.
3
International Dividend Appreciation Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Common Stocks (99.5%) | |||||||||
Australia (2.4%) | |||||||||
CSL Ltd. | 150,461 | 29,991 | |||||||
Brambles Ltd. | 514,932 | 3,681 | |||||||
Aristocrat Leisure Ltd. | 221,628 | 3,635 | |||||||
Ramsay Health Care Ltd. | 76,312 | 3,099 | |||||||
REA Group Ltd. | 42,017 | 2,404 | |||||||
Domino’s Pizza Enterprises Ltd. | 32,705 | 1,224 | |||||||
SEEK Ltd. | 102,143 | 1,140 | |||||||
§ | Qube Holdings Ltd. | 686,050 | 1,049 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 72,931 | 877 | |||||||
Technology One Ltd. | 76,966 | 472 | |||||||
^ | Corporate Travel Management Ltd. | 25,813 | 211 | ||||||
47,783 | |||||||||
Belgium (0.5%) | |||||||||
UCB SA | 65,516 | 6,004 | |||||||
Sofina SA | 11,877 | 2,797 | |||||||
Ackermans & van Haaren NV | 9,725 | 1,289 | |||||||
Barco NV | 3,248 | 518 | |||||||
10,608 | |||||||||
Canada (7.2%) | |||||||||
^ | Toronto-Dominion Bank | 601,975 | 25,152 | ||||||
Canadian National Railway Co. | 245,122 | 20,271 | |||||||
Brookfield Asset Management Inc. Class A | 484,355 | 16,368 | |||||||
Suncor Energy Inc. | 524,973 | 9,361 | |||||||
Franco-Nevada Corp. | 63,027 | 8,339 | |||||||
Alimentation Couche-Tard Inc. Class B | 298,765 | 8,337 | |||||||
Loblaw Cos. Ltd. | 116,003 | 5,709 | |||||||
Fortis Inc. | 130,890 | 5,072 | |||||||
Intact Financial Corp. | 49,747 | 4,734 | |||||||
Imperial Oil Ltd. | 264,880 | 4,280 | |||||||
Magna International Inc. | 105,236 | 4,101 | |||||||
Saputo Inc. | 134,651 | 3,386 | |||||||
George Weston Ltd. | 46,653 | 3,309 | |||||||
Metro Inc. | 77,547 | 3,191 | |||||||
Dollarama Inc. | 101,625 | 3,188 | |||||||
Ritchie Bros Auctioneers Inc. | 45,110 | 1,942 | |||||||
CCL Industries Inc. Class B | 60,721 | 1,898 | |||||||
CAE Inc. | 101,830 | 1,683 | |||||||
Toromont Industries Ltd. | 35,608 | 1,673 | |||||||
Empire Co. Ltd. | 67,370 | 1,487 | |||||||
^ | Canadian Tire Corp. Ltd. Class A | 21,013 | 1,474 | ||||||
Boyd Group Services Inc. | 8,537 | 1,201 | |||||||
SNC-Lavalin Group Inc. | 58,878 | 1,086 | |||||||
Gildan Activewear Inc. | 62,160 | 867 | |||||||
Finning International Inc. | 66,227 | 841 | |||||||
Atco Ltd. Class I | 27,966 | 785 | |||||||
Cogeco Communications Inc. | 9,293 | 687 | |||||||
Enghouse Systems Ltd. | 17,253 | 646 | |||||||
TFI International Inc. | 18,614 | 516 | |||||||
Stella-Jones Inc. | 19,653 | 490 | |||||||
Methanex Corp. | 30,474 | 485 | |||||||
Canadian Western Bank | 25,463 | 403 | |||||||
Richelieu Hardware Ltd. | 11,578 | 220 | |||||||
Cogeco Inc. | 2,958 | 182 | |||||||
Equitable Group Inc. | 3,694 | 180 | |||||||
143,544 | |||||||||
China (7.1%) | |||||||||
Tencent Holdings Ltd. | 1,895,224 | 99,631 | |||||||
China Overseas Land & Investment Ltd. | 3,658,119 | 13,513 | |||||||
China Merchants Bank Co. Ltd. Class H | 1,530,000 | 7,241 | |||||||
China Gas Holdings Ltd. | 1,644,600 | 5,984 |
4
International Dividend Appreciation Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Sunny Optical Technology Group Co. Ltd. | 367,554 | 5,118 | |||||||
Guangdong Investment Ltd. | 2,264,000 | 4,706 | |||||||
China Resources Gas Group Ltd. | 697,000 | 3,917 | |||||||
Sinopharm Group Co. Ltd. Class H | 463,900 | 1,251 | |||||||
141,361 | |||||||||
Colombia (0.1%) | |||||||||
Bancolombia SA ADR | 43,143 | 1,126 | |||||||
Grupo de Inversiones Suramericana SA | 136,082 | 739 | |||||||
Grupo Argos SA | 205,289 | 478 | |||||||
Cementos Argos SA | 353,491 | 348 | |||||||
Bancolombia SA Preference Shares | 8,068 | 53 | |||||||
2,744 | |||||||||
Denmark (1.3%) | |||||||||
Coloplast A/S Class B | 67,592 | 10,661 | |||||||
DSV Panalpina A/S | 78,789 | 8,186 | |||||||
Novozymes A/S | 78,658 | 3,859 | |||||||
GN Store Nord A/S | 46,174 | 2,107 | |||||||
Schouw & Co. A/S | 6,119 | 439 | |||||||
25,252 | |||||||||
Finland (0.1%) | |||||||||
Wartsila OYJ Abp | 202,315 | 1,485 | |||||||
Huhtamaki Oyj | 31,206 | 1,165 | |||||||
2,650 | |||||||||
France (12.6%) | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 167,040 | 64,577 | |||||||
Hermes International | 35,058 | 25,630 | |||||||
L’Oreal SA | 79,994 | 23,258 | |||||||
EssilorLuxottica SA | 143,477 | 17,823 | |||||||
L’Oreal SA Loyalty Shares | 59,093 | 17,181 | |||||||
Airbus SE | 256,233 | 16,224 | |||||||
L’Oreal SA Loyalty | 46,336 | 13,472 | |||||||
Dassault Systemes SE | 85,667 | 12,548 | |||||||
Air Liquide SA Loyalty Line 2021 | 88,849 | 11,289 | |||||||
Air Liquide SA | 67,532 | 8,580 | |||||||
Sartorius Stedim Biotech | 31,086 | 7,453 | |||||||
Legrand SA | 85,289 | 5,718 | |||||||
Teleperformance | 18,641 | 4,176 | |||||||
Sodexo SA | 50,255 | 4,018 | |||||||
Eurofins Scientific SE | 6,022 | 3,331 | |||||||
Ingenico Group SA | 21,158 | 2,662 | |||||||
Orpea | 20,514 | 2,282 | |||||||
Arkema SA | 27,091 | 2,255 | |||||||
Getlink SE | 169,472 | 2,162 | |||||||
Rubis SCA | 35,815 | 1,604 | |||||||
Eurazeo SE | 30,423 | 1,457 | |||||||
Wendel SE | 11,723 | 1,006 | |||||||
SEB SA (XPAR) | 7,670 | 920 | |||||||
Cie Plastic Omnium SA | 41,199 | 780 | |||||||
SEB SA Loyalty Shares | 5,369 | 644 | |||||||
SEB SA Loyalty Shares 2021 | 4,013 | 481 | |||||||
251,531 | |||||||||
Germany (5.0%) | |||||||||
SAP SE | 406,700 | 48,441 | |||||||
Fresenius SE & Co. KGaA | 185,454 | 8,033 | |||||||
Fresenius Medical Care AG & Co. KGaA | 99,747 | 7,817 | |||||||
Henkel AG & Co. KGaA Preference Shares | 62,870 | 5,582 | |||||||
Merck KGaA | 41,337 | 4,798 | |||||||
Symrise AG Class A | 47,062 | 4,768 | |||||||
Sartorius AG Preference Shares | 13,010 | 3,655 | |||||||
HeidelbergCement AG | 71,976 | 3,412 | |||||||
Bechtle AG | 15,688 | 2,269 | |||||||
Brenntag AG | 48,388 | 2,191 | |||||||
Fielmann AG | 33,104 | 2,177 | |||||||
Rational AG | 3,517 | 1,697 | |||||||
CTS Eventim AG & Co. KGaA | 36,042 | 1,498 | |||||||
Grenke AG | 13,494 | 942 | |||||||
Fuchs Petrolub SE Preference Shares | 21,037 | 816 | |||||||
Gerresheimer AG | 8,305 | 660 | |||||||
Krones AG | 7,632 | 460 | |||||||
Duerr AG | 18,679 | 436 | |||||||
Cewe Stiftung & Co. KGaA | 1,579 | 164 | |||||||
99,816 | |||||||||
Hong Kong (4.4%) | |||||||||
AIA Group Ltd. | 3,989,760 | 36,617 | |||||||
MTR Corp. Ltd. | 2,089,120 | 11,574 | |||||||
Hong Kong & China Gas Co. Ltd. | 5,888,581 | 10,554 | |||||||
CK Hutchison Holdings Ltd. | 1,281,578 | 9,499 | |||||||
CLP Holdings Ltd. | 804,500 | 8,611 | |||||||
Wheelock & Co. Ltd. | 669,746 | 4,909 | |||||||
Techtronic Industries Co. Ltd. | 609,984 | 4,625 | |||||||
Hysan Development Co. Ltd. | 270,000 | 901 | |||||||
Minth Group Ltd. | 321,000 | 772 | |||||||
88,062 |
5
International Dividend Appreciation Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Hungary (0.1%) | |||||||||
OTP Bank Nyrt | 90,682 | 2,686 | |||||||
India (9.9%) | |||||||||
Reliance Industries Ltd. | 2,093,352 | 40,701 | |||||||
Tata Consultancy Services Ltd. | 1,239,347 | 32,808 | |||||||
HDFC Bank Ltd. ADR | 520,233 | 22,552 | |||||||
Hindustan Unilever Ltd. | 715,508 | 20,718 | |||||||
Housing Development Finance Corp. Ltd. | 569,903 | 14,416 | |||||||
Infosys Ltd. ADR | 1,395,287 | 12,879 | |||||||
Kotak Mahindra Bank Ltd. | 630,445 | 11,322 | |||||||
ITC Ltd. | 4,043,838 | 9,742 | |||||||
Asian Paints Ltd. | 316,140 | 7,377 | |||||||
Bajaj Finance Ltd. | 190,172 | 5,815 | |||||||
Larsen & Toubro Ltd. | 465,046 | 5,515 | |||||||
Pidilite Industries Ltd. | 163,658 | 3,299 | |||||||
Godrej Consumer Products Ltd. | 328,176 | 2,355 | |||||||
Berger Paints India Ltd. | 320,357 | 2,154 | |||||||
IndusInd Bank Ltd. | 226,595 | 1,382 | |||||||
Container Corp. Of India Ltd. | 190,028 | 940 | |||||||
Page Industries Ltd. | 3,624 | 873 | |||||||
Sundaram Finance Ltd. | 40,697 | 683 | |||||||
LIC Housing Finance Ltd. | 170,957 | 640 | |||||||
Infosys Ltd. | 49,153 | 459 | |||||||
Yes Bank Ltd. | 828,795 | 308 | |||||||
Persistent Systems Ltd. | 31,773 | 200 | |||||||
* | Reliance Infrastructure Ltd. | 78,014 | 23 | ||||||
197,161 | |||||||||
Indonesia (0.4%) | |||||||||
Bank Rakyat Indonesia Persero Tbk PT | 40,264,400 | 7,324 | |||||||
Ireland (0.7%) | |||||||||
Kerry Group plc Class A | 57,912 | 6,666 | |||||||
^ | Flutter Entertainment plc | 25,883 | 3,183 | ||||||
Kingspan Group plc | 62,159 | 3,167 | |||||||
Glanbia plc | 93,965 | 1,000 | |||||||
Total Produce plc | 85,777 | 103 | |||||||
14,119 | |||||||||
Italy (0.2%) | |||||||||
DiaSorin SPA | 19,163 | 3,268 | |||||||
Reply SPA | 10,691 | 748 | |||||||
4,016 | |||||||||
Japan (10.8%) | |||||||||
Nippon Telegraph & Telephone Corp. | 1,282,544 | 29,208 | |||||||
KDDI Corp. | 831,871 | 24,095 | |||||||
Tokio Marine Holdings Inc. | 240,100 | 11,264 | |||||||
Seven & i Holdings Co. Ltd. | 298,800 | 9,895 | |||||||
Bridgestone Corp. | 271,466 | 8,450 | |||||||
Terumo Corp. | 250,076 | 8,298 | |||||||
M3 Inc. | 219,300 | 7,915 | |||||||
Nitori Holdings Co. Ltd. | 41,201 | 6,315 | |||||||
Asahi Group Holdings Ltd. | 167,143 | 5,747 | |||||||
Suzuki Motor Corp. | 167,200 | 5,336 | |||||||
Obic Co. Ltd. | 34,300 | 5,147 | |||||||
Sysmex Corp. | 67,030 | 4,631 | |||||||
West Japan Railway Co. | 65,005 | 4,017 | |||||||
Pan Pacific International Holdings Corp. | 202,364 | 3,921 | |||||||
Yakult Honsha Co. Ltd. | 58,200 | 3,381 | |||||||
Otsuka Corp. | 65,400 | 2,961 | |||||||
Hikari Tsushin Inc. | 14,400 | 2,787 | |||||||
Shimadzu Corp. | 107,877 | 2,687 | |||||||
Welcia Holdings Co. Ltd. | 36,700 | 2,664 | |||||||
MonotaRO Co. Ltd. | 80,099 | 2,574 | |||||||
Sekisui Chemical Co. Ltd. | 200,700 | 2,544 | |||||||
MISUMI Group Inc. | 99,000 | 2,352 | |||||||
Itochu Techno-Solutions Corp. | 72,903 | 2,228 | |||||||
Koito Manufacturing Co. Ltd. | 56,100 | 2,113 | |||||||
GMO Payment Gateway Inc. | 23,600 | 2,104 | |||||||
TOTO Ltd. | 57,400 | 1,998 | |||||||
Nihon M&A Center Inc. | 56,900 | 1,856 | |||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 370,102 | 1,767 | |||||||
Kansai Paint Co. Ltd. | 88,500 | 1,681 | |||||||
Pola Orbis Holdings Inc. | 93,400 | 1,667 | |||||||
Alfresa Holdings Corp. | 82,400 | 1,643 | |||||||
Sundrug Co. Ltd. | 45,524 | 1,559 | |||||||
Lawson Inc. | 27,900 | 1,450 | |||||||
Tokyo Century Corp. | 42,000 | 1,436 | |||||||
Nomura Real Estate Holdings Inc. | 84,980 | 1,382 | |||||||
SCSK Corp. | 30,100 | 1,363 | |||||||
Koei Tecmo Holdings Co. Ltd. | 49,540 | 1,303 | |||||||
USS Co. Ltd. | 81,500 | 1,291 | |||||||
Kurita Water Industries Ltd. | 44,200 | 1,233 | |||||||
Hakuhodo DY Holdings Inc. | 108,800 | 1,205 |
6
International Dividend Appreciation Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Relo Group Inc. | 54,700 | 1,185 | |||||||
PALTAC Corp. | 22,254 | 1,162 | |||||||
OBIC Business Consultants Co. Ltd. | 24,100 | 1,078 | |||||||
Rinnai Corp. | 14,184 | 1,074 | |||||||
TS Tech Co. Ltd. | 37,500 | 1,017 | |||||||
San-A Co. Ltd. | 24,626 | 992 | |||||||
Hitachi Capital Corp. | 48,600 | 940 | |||||||
Senko Group Holdings Co. Ltd. | 113,360 | 924 | |||||||
Stanley Electric Co. Ltd. | 40,400 | 921 | |||||||
NEC Networks & System Integration Corp. | 20,600 | 886 | |||||||
Benefit One Inc. | 50,300 | 883 | |||||||
Seven Bank Ltd. | 322,900 | 875 | |||||||
Persol Holdings Co. Ltd. | 74,100 | 852 | |||||||
Goldwin Inc. | 14,300 | 770 | |||||||
Kewpie Corp. | 37,600 | 747 | |||||||
NOF Corp. | 20,900 | 693 | |||||||
Starts Corp. Inc. | 34,542 | 668 | |||||||
Ai Holdings Corp. | 52,470 | 648 | |||||||
Valor Holdings Co. Ltd. | 33,612 | 624 | |||||||
J Front Retailing Co. Ltd. | 74,100 | 605 | |||||||
AEON Financial Service Co. Ltd. | 58,100 | 604 | |||||||
Yaoko Co. Ltd. | 9,600 | 595 | |||||||
Aica Kogyo Co. Ltd. | 19,800 | 571 | |||||||
SHO-BOND Holdings Co. Ltd. | 13,284 | 533 | |||||||
Izumi Co. Ltd. | 17,200 | 503 | |||||||
Keihin Corp. | 20,900 | 499 | |||||||
NHK Spring Co. Ltd. | 66,700 | 441 | |||||||
Elecom Co. Ltd. | 10,900 | 430 | |||||||
Sanwa Holdings Corp. | 54,600 | 424 | |||||||
Milbon Co. Ltd. | 8,400 | 369 | |||||||
Aeon Delight Co. Ltd. | 12,400 | 355 | |||||||
Noevir Holdings Co. Ltd. | 7,200 | 337 | |||||||
Tokyo Seimitsu Co. Ltd. | 10,372 | 336 | |||||||
Fuyo General Lease Co. Ltd. | 6,400 | 320 | |||||||
Glory Ltd. | 13,900 | 312 | |||||||
en-japan Inc. | 13,700 | 302 | |||||||
Funai Soken Holdings Inc. | 12,900 | 275 | |||||||
Belc Co. Ltd. | 4,400 | 257 | |||||||
Prestige International Inc. | 32,000 | 250 | |||||||
Kissei Pharmaceutical Co. Ltd. | 10,500 | 249 | |||||||
Hogy Medical Co. Ltd. | 6,600 | 206 | |||||||
Modec Inc. | 14,200 | 201 | |||||||
Sekisui Jushi Corp. | 9,800 | 199 | |||||||
Kanematsu Electronics Ltd. | 5,800 | 197 | |||||||
Nippon Signal Company Ltd. | 21,000 | 195 | |||||||
Mitsubishi Pencil Co. Ltd. | 13,000 | 163 | |||||||
Ricoh Leasing Co. Ltd. | 6,100 | 162 | |||||||
Sato Holdings Corp. | 7,400 | 152 | |||||||
Yellow Hat Ltd. | 10,000 | 139 | |||||||
Fukushima Galilei Co. Ltd. | 4,600 | 135 | |||||||
JCU Corp. | 5,600 | 131 | |||||||
Fujicco Co. Ltd. | 7,200 | 129 | |||||||
Piolax Inc. | 8,200 | 122 | |||||||
Hiday Hidaka Corp. | 7,562 | 117 | |||||||
Musashi Seimitsu Industry Co. Ltd. | 14,200 | 115 | |||||||
Kyokuto Kaihatsu Kogyo Co. Ltd. | 8,700 | 101 | |||||||
Hamakyorex Co. Ltd. | 3,700 | 101 | |||||||
Yondoshi Holdings Inc. | 6,000 | 97 | |||||||
Nippon Parking Development Co. Ltd. | 80,200 | 97 | |||||||
WDB Holdings Co. Ltd. | 4,100 | 96 | |||||||
Tosei Corp. | 9,800 | 95 | |||||||
G-Tekt Corp. | 8,800 | 90 | |||||||
Link And Motivation Inc. | 27,200 | 90 | |||||||
JAC Recruitment Co. Ltd. | 8,400 | 88 | |||||||
Siix Corp. | 10,200 | 83 | |||||||
Koshidaka Holdings Co. Ltd. | 18,300 | 79 | |||||||
Tosho Co. Ltd. | 8,300 | 75 | |||||||
Sinko Industries Ltd. | 5,600 | 73 | |||||||
Monogatari Corp. | 1,200 | 71 | |||||||
World Holdings Co. Ltd. | 3,400 | 45 | |||||||
214,618 | |||||||||
Malaysia (0.0%) | |||||||||
Bursa Malaysia Bhd. | 174,400 | 240 | |||||||
Mexico (0.9%) | |||||||||
America Movil SAB de CV | 15,182,256 | 9,197 | |||||||
Grupo Elektra SAB de CV | 76,815 | 4,415 | |||||||
Grupo Carso SAB de CV | 756,404 | 1,514 | |||||||
Grupo Financiero Inbursa SAB de CV | 2,302,655 | 1,385 | |||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 84,108 | 843 | |||||||
17,354 | |||||||||
Morocco (0.1%) | |||||||||
Attijariwafa Bank | 64,035 | 2,304 |
7
International Dividend Appreciation Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Netherlands (3.3%) | |||||||||
ASML Holding NV | 140,492 | 41,036 | |||||||
Unilever NV | 484,398 | 24,123 | |||||||
Aalberts NV | 37,208 | 1,047 | |||||||
66,206 | |||||||||
New Zealand (0.1%) | |||||||||
Ryman Healthcare Ltd. | 183,465 | 1,339 | |||||||
Mainfreight Ltd. | 25,965 | 576 | |||||||
1,915 | |||||||||
Norway (0.1%) | |||||||||
Tomra Systems ASA | 53,197 | 1,768 | |||||||
Philippines (0.6%) | |||||||||
SM Investments Corp. | 389,595 | 6,494 | |||||||
Ayala Land Inc. | 4,804,770 | 3,000 | |||||||
International Container Terminal Services Inc. | 651,480 | 1,139 | |||||||
Jollibee Foods Corp. | 335,428 | 948 | |||||||
Metro Pacific Investments Corp. | 10,103,500 | 509 | |||||||
12,090 | |||||||||
South Africa (1.8%) | |||||||||
Naspers Ltd. | 144,201 | 22,445 | |||||||
Sanlam Ltd. | 702,423 | 2,246 | |||||||
Capitec Bank Holdings Ltd. | 39,508 | 1,926 | |||||||
Remgro Ltd. | 225,727 | 1,665 | |||||||
Discovery Ltd. | 227,401 | 1,193 | |||||||
Clicks Group Ltd. | 77,347 | 963 | |||||||
PSG Group Ltd. | 96,245 | 822 | |||||||
Bidvest Group Ltd. | 99,981 | 812 | |||||||
Santam Ltd. | 32,617 | 483 | |||||||
Mr Price Group Ltd. | 66,421 | 473 | |||||||
SPAR Group Ltd. | 49,277 | 470 | |||||||
Mondi plc (XJSE) | 23,843 | 425 | |||||||
Barloworld Ltd. | 111,817 | 410 | |||||||
Netcare Ltd. | 368,928 | 309 | |||||||
Hosken Consolidated Investments Ltd. | 22,518 | 28 | |||||||
34,670 | |||||||||
South Korea (4.1%) | |||||||||
Samsung Electronics Co. Ltd. | 1,969,964 | 81,000 | |||||||
LEENO Industrial Inc. | 4,756 | 350 | |||||||
81,350 | |||||||||
Spain (1.8%) | |||||||||
Industria de Diseno Textil SA | 1,035,980 | 26,534 | |||||||
Amadeus IT Group SA | 142,011 | 6,779 | |||||||
Vidrala SA | 12,200 | 1,093 | |||||||
Viscofan SA | 14,941 | 957 | |||||||
Grupo Catalana Occidente SA | 34,046 | 662 | |||||||
Miquel y Costas & Miquel SA | 7,483 | 93 | |||||||
36,118 | |||||||||
Sweden (1.6%) | |||||||||
Investor AB Class B | 144,994 | 7,206 | |||||||
Assa Abloy AB Class B | 341,137 | 6,107 | |||||||
Hexagon AB Class B | 119,156 | 5,847 | |||||||
Svenska Cellulosa AB SCA Class B | 231,224 | 2,453 | |||||||
L E Lundbergforetagen AB Class B | 50,264 | 2,110 | |||||||
Castellum AB | 80,067 | 1,404 | |||||||
Trelleborg AB Class B | 106,585 | 1,357 | |||||||
AAK AB | 76,435 | 1,249 | |||||||
Hufvudstaden AB Class A | 81,575 | 1,045 | |||||||
Hexpol AB | 87,550 | 629 | |||||||
Wihlborgs Fastigheter AB | 41,187 | 588 | |||||||
Atrium Ljungberg AB | 37,109 | 514 | |||||||
Loomis AB Class B | 19,843 | 484 | |||||||
AF POYRY AB | 25,068 | 456 | |||||||
Biotage AB | 21,257 | 263 | |||||||
31,712 | |||||||||
Switzerland (14.4%) | |||||||||
Nestle SA | 894,516 | 94,738 | |||||||
Roche Holding AG | 231,821 | 80,279 | |||||||
Novartis AG | 842,103 | 71,864 | |||||||
Givaudan SA | 3,186 | 10,684 | |||||||
Cie Financiere Richemont SA | 171,186 | 9,712 | |||||||
Partners Group Holding AG | 8,614 | 6,788 | |||||||
Geberit AG | 11,880 | 5,313 | |||||||
EMS-Chemie Holding AG | 7,279 | 4,707 | |||||||
Chocoladefabriken Lindt & Spruengli AG | 390 | 3,038 | |||||||
Interroll Holding AG | 258 | 490 | |||||||
Orior AG | 2,830 | 235 | |||||||
287,848 | |||||||||
Taiwan (0.2%) | |||||||||
E.Sun Financial Holding Co. Ltd. | 3,608,788 | 3,279 | |||||||
Grape King Bio Ltd. | 34,000 | 225 | |||||||
3,504 | |||||||||
Thailand (0.1%) | |||||||||
Central Pattana PCL | 1,522,000 | 2,253 |
8
International Dividend Appreciation Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Turkey (0.1%) | |||||||||
BIM Birlesik Magazalar AS | 214,146 | 1,700 | |||||||
United Kingdom (7.4%) | |||||||||
Diageo plc | 800,629 | 27,566 | |||||||
RELX plc | 642,300 | 14,492 | |||||||
Prudential plc | 871,873 | 12,300 | |||||||
Experian plc | 312,059 | 9,371 | |||||||
Compass Group plc | 520,481 | 8,758 | |||||||
Associated British Foods plc | 264,782 | 6,286 | |||||||
Ferguson plc | 74,952 | 5,404 | |||||||
Ashtead Group plc | 163,067 | 4,454 | |||||||
Intertek Group plc | 52,528 | 3,135 | |||||||
Halma plc | 117,879 | 3,099 | |||||||
Croda International plc | 47,183 | 2,893 | |||||||
InterContinental Hotels Group plc | 63,044 | 2,872 | |||||||
Hikma Pharmaceuticals plc | 87,655 | 2,611 | |||||||
Spirax-Sarco Engineering plc | 23,330 | 2,553 | |||||||
Bunzl plc | 114,662 | 2,489 | |||||||
Burberry Group plc | 141,777 | 2,462 | |||||||
Mondi plc (XLON) | 136,664 | 2,413 | |||||||
JD Sports Fashion plc | 332,153 | 2,202 | |||||||
Rightmove plc | 330,094 | 2,064 | |||||||
Smiths Group plc | 127,448 | 1,984 | |||||||
Whitbread plc | 48,886 | 1,834 | |||||||
Johnson Matthey plc | 70,380 | 1,763 | |||||||
Spectris plc | 47,262 | 1,594 | |||||||
Dechra Pharmaceuticals plc | 41,840 | 1,456 | |||||||
Intermediate Capital Group plc | 88,805 | 1,256 | |||||||
Abcam plc | 75,338 | 1,206 | |||||||
Renishaw plc | 26,977 | 1,194 | |||||||
Meggitt plc | 294,174 | 1,030 | |||||||
IWG plc | 336,924 | 1,008 | |||||||
Genus plc | 19,595 | 842 | |||||||
Hiscox Ltd. | 90,625 | 797 | |||||||
Beazley plc | 158,832 | 785 | |||||||
Rotork plc | 242,728 | 757 | |||||||
Moneysupermarket.com Group plc | 169,385 | 675 | |||||||
Cranswick plc | 14,264 | 667 | |||||||
WH Smith plc | 40,448 | 638 | |||||||
Victrex plc | 24,921 | 624 | |||||||
Grafton Group plc | 74,886 | 598 | |||||||
Bodycote plc | 81,438 | 596 | |||||||
Diploma plc | 27,485 | 596 | |||||||
QinetiQ Group plc | 152,016 | 581 | |||||||
National Express Group plc | 156,415 | 538 | |||||||
RWS Holdings plc | 77,276 | 522 | |||||||
Ultra Electronics Holdings plc | 19,262 | 477 | |||||||
Savills plc | 38,921 | 474 | |||||||
Synthomer plc | 125,667 | 448 | |||||||
GB Group plc | 49,765 | 422 | |||||||
Telecom Plus plc | 24,850 | 414 | |||||||
Dart Group plc | 46,312 | 374 | |||||||
Hill & Smith Holdings plc | 21,590 | 313 | |||||||
Avon Rubber plc | 8,811 | 294 | |||||||
Greencore Group plc | 122,462 | 281 | |||||||
James Fisher & Sons plc | 16,452 | 280 | |||||||
Hilton Food Group plc | 19,488 | 275 | |||||||
Rathbone Brothers plc | 13,526 | 257 | |||||||
St. Modwen Properties plc | 48,059 | 223 | |||||||
Clarkson plc | 6,935 | 218 | |||||||
EMIS Group plc | 13,776 | 182 | |||||||
4imprint Group plc | 7,433 | 175 | |||||||
CVS Group plc | 14,809 | 170 | |||||||
AG Barr plc | 27,258 | 169 | |||||||
Robert Walters plc | 19,650 | 104 | |||||||
Senior plc | 121,407 | 99 | |||||||
Speedy Hire plc | 105,961 | 83 | |||||||
Vitec Group plc | 9,136 | 77 | |||||||
Brooks Macdonald Group plc | 3,182 | 60 | |||||||
146,834 | |||||||||
United States (0.1%) | |||||||||
Autoliv Inc. | 22,000 | 1,297 | |||||||
Total Common Stocks | |||||||||
(Cost $1,970,489) | 1,982,438 | ||||||||
Temporary Cash Investments (0.5%) | |||||||||
Money Market Fund (0.4%) | |||||||||
1,2 | Vanguard Market Liquidity Fund, 0.522% | 85,768 | 8,577 |
9
International Dividend Appreciation Index Fund
Face | Market | ||
Amount | Value• | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.1%) | |||
3 | United States Cash Management Bill 0.116%, 9/29/20 | 350 | 350 |
3 | United States Treasury Bill, 1.551%, 5/14/20 | 400 | 400 |
750 | |||
Total Temporary Cash Investments | |||
(Cost $9,324) | 9,327 | ||
Total Investments (100.0%) | |||
(Cost $1,979,813) | 1,991,765 | ||
Other Assets and Liabilities—Net (0.0%)2,3,4 | 443 | ||
Net Assets (100%) | 1,992,208 |
Cost rounded to $000.
• | See Note A in Notes to Financial Statements. |
§ | Security value determined using significant unobservable inputs. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,205,000. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
2 | Collateral of $7,676,000 was received for securities on loan. |
3 | Securities with a value of $750,000 and cash of $384,000 have been segregated as initial margin for open futures contracts. |
4 | Includes cash collateral received for ETF capital activity. ADR—American Depositary Receipt. |
10
International Dividend Appreciation 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 | ||||||||
MSCI Emerging Market Index | June 2020 | 82 | 3,714 | 114 | ||||
Topix Index | June 2020 | 25 | 3,387 | 421 | ||||
Dow Jones EURO STOXX 50 Index | June 2020 | 58 | 1,835 | 326 | ||||
E-mini S&P 500 Index | June 2020 | 10 | 1,451 | 19 | ||||
880 | ||||||||
Forward Currency Contracts | ||||||||
Contract | Unrealized | Unrealized | ||||||
Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||
Goldman Sachs International | 7/2/20 | EUR | 1,400 | USD | 1,519 | 17 | — | |
Royal Bank of Canada | 7/2/20 | JPY | 60,417 | USD | 545 | 19 | — | |
Goldman Sachs International | 7/2/20 | USD | 1,900 | CHF | 1,854 | — | (24) | |
Bank of America, N.A. | 7/2/20 | USD | 542 | JPY | 58,160 | — | — | |
Royal Bank of Canada | 7/2/20 | USD | 532 | JPY | 57,260 | — | (2) | |
36 | (26) |
CHF—Swiss franc.
EUR—euro.
JPY—Japanese yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
11
International Dividend Appreciation Index Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount | |||
Assets | ||||
Investments in Securities, at Value | ||||
Unaffiliated Issuers (Cost $1,971,239) | 1,983,188 | |||
Affiliated Issuers (Cost $8,574) | 8,577 | |||
Total Investments in Securities | 1,991,765 | |||
Investment in Vanguard | 88 | |||
Cash | 774 | |||
Foreign Currency, at Value (Cost $2,600) | 2,610 | |||
Cash Collateral Pledged—Futures Contracts | 384 | |||
Cash Collateral Pledged—ETF Capital Activity | 4,734 | |||
Receivables for Accrued Income | 6,762 | |||
Variation Margin Receivable—Futures Contracts | 50 | |||
Unrealized Appreciation—Forward Currency Contracts | 36 | |||
Total Assets | 2,007,203 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | 265 | |||
Collateral for Securities on Loan | 7,676 | |||
Collateral for ETF Capital Activity | 4,734 | |||
Payables for Capital Shares Redeemed | 628 | |||
Payables to Vanguard | 190 | |||
Variation Margin Payable—Futures Contracts | 156 | |||
Unrealized Depreciation—Forward Currency Contracts | 26 | |||
Other Liabilities | 1,320 | |||
Total Liabilities | 14,995 | |||
Net Assets | 1,992,208 |
12
International Dividend Appreciation Index Fund
Statement of Assets and Liabilities (continued)
At April 30, 2020, net assets consisted of: | ||||
($000s, except shares and per-share amounts) | Amount | |||
Paid-in Capital | 2,022,099 | |||
Total Distributable Earnings (Loss) | (29,891 | ) | ||
Net Assets | 1,992,208 | |||
ETF Shares—Net Assets | ||||
Applicable to 28,720,993 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,794,707 | |||
Net Asset Value Per Share—ETF Shares | $62.49 | |||
Admiral Shares—Net Assets | ||||
Applicable to 6,498,980 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 197,501 | |||
Net Asset Value Per Share—Admiral Shares | $30.39 |
See accompanying Notes, which are an integral part of the Financial Statements.
13
International Dividend Appreciation Index Fund
Statement of Operations
Six Months Ended | |||
April 30, 2020 | |||
($000 | ) | ||
Investment Income | |||
Income | |||
Dividends1 | 15,231 | ||
Interest2 | 43 | ||
Securities Lending—Net | 38 | ||
Total Income | 15,312 | ||
Expenses | |||
The Vanguard Group—Note B | |||
Investment Advisory Services | 132 | ||
Management and Administrative—ETF Shares | 1,274 | ||
Management and Administrative—Admiral Shares | 184 | ||
Marketing and Distribution—ETF Shares | 54 | ||
Marketing and Distribution—Admiral Shares | 8 | ||
Custodian Fees | 116 | ||
Shareholders’ Reports—ETF Shares | 29 | ||
Shareholders’ Reports—Admiral Shares | 2 | ||
Trustees’ Fees and Expenses | 1 | ||
Total Expenses | 1,800 | ||
Expenses Paid Indirectly | (43 | ) | |
Net Expenses | 1,757 | ||
Net Investment Income | 13,555 | ||
Realized Net Gain (Loss) | |||
Investment Securities Sold2 | (3,685 | ) | |
Futures Contracts | (2,246 | ) | |
Forward Currency Contracts | (29 | ) | |
Foreign Currencies | (135 | ) | |
Realized Net Gain (Loss) | (6,095 | ) | |
Change in Unrealized Appreciation (Depreciation) | |||
Investment Securities2,3 | (158,636 | ) | |
Futures Contracts | 718 | ||
Forward Currency Contracts | (6 | ) | |
Foreign Currencies | 29 | ||
Change in Unrealized Appreciation (Depreciation) | (157,895 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (150,435 | ) |
1 | Dividends are net of foreign withholding taxes of $2,101,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $38,000, $5,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | The change in unrealized appreciation (depreciation) is net of deferred foreign capital gains taxes of $2,705,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
International Dividend Appreciation Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |||||
April 30, | October 31, | |||||
2020 | 2019 | |||||
($000 | ) | ($000 | ) | |||
Increase (Decrease) in Net Assets | ||||||
Operations | ||||||
Net Investment Income | 13,555 | 28,631 | ||||
Realized Net Gain (Loss) | (6,095 | ) | (23,897 | ) | ||
Change in Unrealized Appreciation (Depreciation) | (157,895 | ) | 214,847 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (150,435 | ) | 219,581 | |||
Distributions1 | ||||||
Investor Shares | — | (90 | ) | |||
ETF Shares | (15,999 | ) | (16,043 | ) | ||
Admiral Shares | (2,362 | ) | (2,897 | ) | ||
Total Distributions | (18,361 | ) | (19,030 | ) | ||
Capital Share Transactions | ||||||
Investor Shares | — | (12,733 | ) | |||
ETF Shares | 636,308 | 275,183 | ||||
Admiral Shares | 1,304 | 13,443 | ||||
Net Increase (Decrease) from Capital Share Transactions | 637,612 | 275,893 | ||||
Total Increase (Decrease) | 468,816 | 476,444 | ||||
Net Assets | ||||||
Beginning of Period | 1,523,392 | 1,046,948 | ||||
End of Period | 1,992,208 | 1,523,392 |
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.
15
International Dividend Appreciation Index Fund
Financial Highlights
ETF Shares
Six Months | Feb. 25, | ||||||||||
Ended | 20161 to | ||||||||||
April 30, | Year Ended October 31, | Oct. 31, | |||||||||
For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net Asset Value, Beginning of Period | $68.72 | $58.65 | $64.25 | $54.43 | $50.00 | ||||||
Investment Operations | |||||||||||
Net Investment Income2 | .519 | 1.452 | 3 | 1.196 | 1.179 | .662 | |||||
Net Realized and Unrealized Gain (Loss) on Investments4 | (6.016 | ) | 9.578 | (5.623 | ) | 9.715 | 4.154 | ||||
Total from Investment Operations | (5.497 | ) | 11.030 | (4.427 | ) | 10.894 | 4.816 | ||||
Distributions | |||||||||||
Dividends from Net Investment Income | (.733 | ) | (.960 | ) | (1.173 | ) | (1.074 | ) | (.386 | ) | |
Distributions from Realized Capital Gains | — | — | — | — | — | ||||||
Total Distributions | (.733 | ) | (.960 | ) | (1.173 | ) | (1.074 | ) | (.386 | ) | |
Net Asset Value, End of Period | $62.49 | $68.72 | $58.65 | $64.25 | $54.43 | ||||||
Total Return | -8.06% | 18.96% | -7.04% | 20.19% | 9.64% | ||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (Millions) | $1,795 | $1,305 | $861 | $634 | $147 | ||||||
Ratio of Total Expenses to Average Net Assets | 0.21%5 | 0.20% | 0.25% | 0.25% | 0.25%6 | ||||||
Ratio of Net Investment Income to Average Net Assets | 1.56% | 2.24%3 | 1.83% | 1.96% | 1.60%6 | ||||||
Portfolio Turnover Rate7 | 1% | 42% | 36% | 9% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.388 and 0.65%, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
4 | Includes increases from purchase and redemption fees of $.01 for 2020, $.02 for 2019, $.02 for 2018, and $.04 for 2017. |
5 | The ratio of expense to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
6 | Annualized. |
7 | 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.
16
International Dividend Appreciation Index Fund
Financial Highlights
Admiral Shares
Six Months | March 2, | ||||||||||
Ended | 20161 to | ||||||||||
April 30, | Year Ended October 31, | Oct. 31, | |||||||||
For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net Asset Value, Beginning of Period | $33.42 | $28.52 | $31.24 | $26.45 | $25.00 | ||||||
Investment Operations | |||||||||||
Net Investment Income2 | .232 | .686 | 3 | .576 | .573 | .285 | |||||
Net Realized and Unrealized Gain (Loss) on Investments4 | (2.909 | ) | 4.679 | (2.727 | ) | 4.720 | 1.352 | ||||
Total from Investment Operations | (2.677 | ) | 5.365 | (2.151 | ) | 5.293 | 1.637 | ||||
Distributions | |||||||||||
Dividends from Net Investment Income | (.353 | ) | (.465 | ) | (.569 | ) | (.503 | ) | (.187 | ) | |
Distributions from Realized Capital Gains | — | — | — | — | — | ||||||
Total Distributions | (.353 | ) | (.465 | ) | (.569 | ) | (.503 | ) | (.187 | ) | |
Net Asset Value, End of Period | $30.39 | $33.42 | $28.52 | $31.24 | $26.45 | ||||||
Total Return5 | -8.08%6 | 18.96%6 | -7.03%6 | 20.18%6 | 6.54% | ||||||
Ratios/Supplemental Data | |||||||||||
Net Assets, End of Period (Millions) | $198 | $218 | $175 | $152 | $77 | ||||||
Ratio of Total Expenses to Average Net Assets | 0.21%7 | 0.20% | 0.25% | 0.25% | 0.25%8 | ||||||
Ratio of Net Investment Income to Average Net Assets | 1.43% | 2.24%3 | 1.83% | 1.96% | 1.60%8 | ||||||
Portfolio Turnover Rate9 | 1% | 42% | 36% | 9% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.188 and 0.65%, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
4 | Includes increases from purchase and redemption fees of $.01 for 2020, $.01 for 2019, $.01 for 2018, and $.02 for 2017. |
5 | 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. |
6 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
7 | The ratio of expense to average net assets for the period net of reduction from custody fee offset arrangements was 0.20%. |
8 | Annualized. |
9 | 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.
17
International Dividend Appreciation Index Fund
Notes to Financial Statements
Vanguard International Dividend Appreciation Index 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: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; 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
18
International Dividend Appreciation Index Fund
held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counter-party 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 April 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.
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.
19
International Dividend Appreciation Index Fund
The fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 (October 31, 2016–2019), and for the period ended April 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. 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.
8. Collateral for ETF Capital Activity: When an authorized participant fails to deliver one or more of the securities within a designated basket (in the case of a subscription), fails to deliver the fund ETF Shares (in the case of a redemption), or is required by the fund, prior to settlement, to accommodate the trading of foreign securities in local markets (in the case of redemption for an international equity ETF), the fund may require the authorized participant to deliver and maintain cash collateral in accordance with the authorized participant agreement. The fund may invest the collateral in short-term debt instruments or U.S. Treasury securities, or maintain the balance as cash. Daily market fluctuations could cause the value of the missing securities or fund ETF Shares to be more or less than the value of the collateral received; when this occurs the collateral is adjusted. The fund earns interest income from investments and/or custody fee offsets from the cash balance. The fund records an asset (cash or investment, as applicable) and a corresponding
20
International Dividend Appreciation Index Fund
liability for the return of the collateral in the Statement of Assets and Liabilities. Interest income and custody fee offsets earned on the investment of collateral are included in the Statement of Operations.
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, effective May 2020, 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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
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. Fees assessed on capital share transactions are credited to paid-in capital.
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. Foreign capital gains tax is accrued daily based upon net unrealized gains. 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
21
International Dividend Appreciation Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard 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 April 30, 2020, the fund had contributed to Vanguard capital in the amount of $88,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended April 30, 2020, custodian fee offset arrangements reduced the fund’s expenses by $43,000 (an annual rate of 0.01% of average net assets).
D. 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.
22
International Dividend Appreciation Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of April 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—North and South America | 163,642 | 1,297 | — | 164,939 | |||||
Common Stocks—Other | 35,431 | 1,781,019 | 1,049 | 1,817,499 | |||||
Temporary Cash Investments | 8,577 | 750 | — | 9,327 | |||||
Total | 207,650 | 1,783,066 | 1,049 | 1,991,765 | |||||
Derivative Financial Instruments | |||||||||
Assets | |||||||||
Futures Contracts1 | 50 | — | — | 50 | |||||
Forward Currency Contracts | — | 36 | — | 36 | |||||
Total | 50 | 36 | — | 86 | |||||
Liabilities | |||||||||
Futures Contracts1 | 156 | — | — | 156 | |||||
Forward Currency Contracts | — | 26 | — | 26 | |||||
Total | 156 | 26 | — | 182 |
1 Represents variation margin on the last day of the reporting period.
E. At April 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Foreign | ||||||
Equity | Exchange | |||||
Contracts | Contracts | Total | ||||
Statement of Assets and Liabilities Caption | ($000 | ) | ($000 | ) | ($000) | |
Variation Margin Receivable—Futures Contracts | 50 | — | 50 | |||
Unrealized Appreciation—Forward Currency Contracts | — | 36 | 36 | |||
Total Assets | 50 | 36 | 86 | |||
Variation Margin Payable—Futures Contracts | 156 | — | 156 | |||
Unrealized Depreciation—Forward Currency Contracts | — | 26 | 26 | |||
Total Liabilities | 156 | 26 | 182 |
23
International Dividend Appreciation Index Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended April 30, 2020, were:
Foreign | |||||||
Equity | Exchange | ||||||
Contracts | Contracts | Total | |||||
Realized Net Gain (Loss) on Derivatives | ($000 | ) | ($000 | ) | ($000 | ) | |
Futures Contracts | (2,246 | ) | — | (2,246 | ) | ||
Forward Currency Contracts | — | (29 | ) | (29 | ) | ||
Realized Net Gain (Loss) on Derivatives | (2,246 | ) | (29 | ) | (2,275 | ) | |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||||||
Futures Contracts | 718 | — | 718 | ||||
Forward Currency Contracts | — | (6 | ) | (6 | ) | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives | 718 | (6 | ) | 712 |
F. As of April 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 | 1,981,398 |
Gross Unrealized Appreciation | 213,939 |
Gross Unrealized Depreciation | (202,682) |
Net Unrealized Appreciation (Depreciation) | 11,257 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at October 31, 2019, the fund had available capital losses totaling $41,245,000 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 October 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended April 30, 2020, the fund purchased $644,503,000 of investment securities and sold $15,986,000 of investment securities, other than temporary cash investments. Purchases and sales include $536,683,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
24
International Dividend Appreciation Index Fund
H. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||||||||||
April 30, 2020 | October 31, 2019 | |||||||||||
Amount | Shares | Amount | Shares | |||||||||
($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||
Investor Shares | ||||||||||||
Issued1 | — | — | 1,629 | 66 | ||||||||
Issued in Lieu of Cash Distributions | — | — | 85 | 3 | ||||||||
Redeemed2,3 | — | — | (14,447 | ) | (553 | ) | ||||||
Net Increase (Decrease)—Investor Shares | — | — | (12,733 | ) | (484 | ) | ||||||
ETF Shares | ||||||||||||
Issued1 | 636,308 | 9,732 | 275,183 | 4,314 | ||||||||
Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||
Redeemed2 | — | — | — | — | ||||||||
Net Increase (Decrease)—ETF Shares | 636,308 | 9,732 | 275,183 | 4,314 | ||||||||
Admiral Shares | ||||||||||||
Issued1,3 | 35,168 | 1,074 | 55,427 | 1,777 | ||||||||
Issued in Lieu of Cash Distributions | 1,965 | 60 | 2,382 | 78 | ||||||||
Redeemed2 | (35,829 | ) | (1,171 | ) | (44,366 | ) | (1,449 | ) | ||||
Net Increase (Decrease)—Admiral Shares | 1,304 | (37 | ) | 13,443 | 406 |
1 | Includes purchase fees for fiscal 2020 and 2019 of $289,000 and $197,000, respectively (fund totals). |
2 | Net of redemption fees for fiscal 2020 and 2019 of $82,000 and $105,000, respectively (fund totals). |
3 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 487,000 and 400,000 shares, respectively, in the amount of $12,787,000 from the conversion during the year ended October 31, 2019. |
I. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
25
International High Dividend Yield Index Fund
Fund Allocation
As of April 30, 2020
Basic Materials | 7.0 | % |
Consumer Goods | 9.8 | |
Consumer Services | 3.3 | |
Financials | 35.5 | |
Health Care | 6.5 | |
Industrials | 10.4 | |
Oil & Gas | 9.2 | |
Technology | 5.5 | |
Telecommunications | 6.7 | |
Utilities | 6.1 |
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, at-tempting to remain fully invested and tracking their 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.
26
International High Dividend Yield Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of April 30, 2020
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.
Market | ||||
Value• | ||||
Shares | ($000) | |||
Common Stocks (99.6%) | ||||
Australia (7.1%) | ||||
Commonwealth Bank of Australia | 325,320 | 13,142 | ||
BHP Group Ltd. | 541,110 | 11,046 | ||
Westpac Banking Corp. | 663,413 | 6,902 | ||
National Australia Bank Ltd. (XSAX) | 540,692 | 5,925 | ||
Australia & New Zealand Banking Group Ltd. | 520,124 | 5,650 | ||
Woolworths Group Ltd. | 231,605 | 5,360 | ||
Wesfarmers Ltd. | 207,287 | 5,035 | ||
Transurban Group | 496,889 | 4,430 | ||
Macquarie Group Ltd. | 58,787 | 3,894 | ||
Rio Tinto Ltd. | 68,161 | 3,842 | ||
Amcor plc | 293,404 | 2,674 | ||
Woodside Petroleum Ltd. | 170,541 | 2,442 | ||
Fortescue Metals Group Ltd. | 292,328 | 2,234 | ||
ASX Ltd. | 35,550 | 1,874 | ||
Insurance Australia Group Ltd. | 422,929 | 1,580 | ||
APA Group | 217,326 | 1,536 | ||
Sonic Healthcare Ltd. | 86,854 | 1,534 | ||
Telstra Corp. Ltd. | 765,347 | 1,506 | ||
QBE Insurance Group Ltd. | 267,449 | 1,448 | ||
Suncorp Group Ltd. | 231,514 | 1,376 | ||
AGL Energy Ltd. | 117,244 | 1,287 | ||
Origin Energy Ltd. | 323,176 | 1,162 | ||
South32 Ltd. | 908,916 | 1,143 | ||
Aurizon Holdings Ltd. | 346,007 | 1,051 | ||
Medibank Pvt Ltd. | 506,311 | 887 | ||
Sydney Airport | 203,483 | 829 | ||
Lendlease Group (XSAX) | 103,777 | 827 | ||
Magellan Financial Group Ltd. | 25,103 | 822 | ||
Caltex Australia Ltd. | 45,891 | 739 | ||
Tabcorp Holdings Ltd. | 347,118 | 724 | ||
Atlas Arteria Ltd. | 161,561 | 652 | ||
AMP Ltd. | 631,092 | 582 | ||
Coca-Cola Amatil Ltd. | 94,326 | 525 | ||
Alumina Ltd. | 460,086 | 510 | ||
Incitec Pivot Ltd. | 296,361 | 458 | ||
National Australia Bank Ltd. | 38,414 | 425 | ||
Boral Ltd. | 214,401 | 417 | ||
AusNet Services | 340,281 | 415 | ||
Crown Resorts Ltd. | 62,536 | 400 | ||
Bendigo & Adelaide Bank Ltd. | 91,105 | 385 | ||
Orora Ltd. | 221,414 | 368 | ||
Challenger Ltd. | 105,009 | 334 | ||
Downer EDI Ltd. | 115,554 | 311 | ||
Star Entertainment Grp Ltd. | 151,762 | 298 | ||
CIMIC Group Ltd. | 18,113 | 288 | ||
Bank of Queensland Ltd. | 84,398 | 285 | ||
Qantas Airways Ltd. | 113,356 | 282 | ||
Metcash Ltd. | 166,486 | 269 | ||
CSR Ltd. | 92,583 | 223 | ||
Harvey Norman Holdings Ltd. | 110,974 | 199 | ||
Whitehaven Coal Ltd. | 163,028 | 192 | ||
IOOF Holdings Ltd. | 66,021 | 184 | ||
Perpetual Ltd. | 8,154 | 159 | ||
Adelaide Brighton Ltd. | 87,656 | 154 | ||
Lendlease Group | 17,812 | 143 | ||
Sims Ltd. | 31,435 | 141 | ||
Platinum Asset Management Ltd. | 55,866 | 126 | ||
Flight Centre Travel Group Ltd. | 16,235 | 115 | ||
101,741 | ||||
Austria (0.2%) | ||||
Erste Group Bank AG | 52,431 | 1,136 | ||
OMV AG | 26,065 | 851 | ||
voestalpine AG | 21,319 | 442 | ||
* | Andritz AG | 12,984 | 427 | |
Raiffeisen Bank International AG | 23,785 | 410 | ||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 7,502 | 150 | ||
3,416 |
27
International High Dividend Yield Index Fund | |||||||||
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Belgium (0.5%) | |||||||||
KBC Group NV | 50,159 | 2,721 | |||||||
Ageas | 33,964 | 1,224 | |||||||
* | Groupe Bruxelles Lambert SA | 13,453 | 1,076 | ||||||
Solvay SA Class A | 12,728 | 994 | |||||||
Proximus SADP | 25,791 | 551 | |||||||
6,566 | |||||||||
Brazil (1.6%) | |||||||||
Vale SA | 629,198 | 5,191 | |||||||
Itau Unibanco Holding SA ADR | 591,734 | 2,491 | |||||||
Banco Bradesco SA ADR | 534,992 | 1,883 | |||||||
Itausa - Investimentos Itau SA Preference Shares | 797,780 | 1,320 | |||||||
Ambev SA ADR | 592,175 | 1,273 | |||||||
Itau Unibanco Holding SA Preference Shares | 279,680 | 1,171 | |||||||
Banco Bradesco SA Preference Shares | 331,051 | 1,166 | |||||||
Banco do Brasil SA | 154,336 | 809 | |||||||
BB Seguridade Participacoes SA | 123,255 | 602 | |||||||
Telefonica Brasil SA ADR | 68,663 | 577 | |||||||
Banco Bradesco SA | 158,039 | 510 | |||||||
Ccr SA | 203,894 | 463 | |||||||
Petrobras Distribuidora SA | 124,630 | 448 | |||||||
Ambev SA | 190,300 | 397 | |||||||
Hypera SA | 72,815 | 389 | |||||||
Banco Santander Brasil SA | 72,898 | 362 | |||||||
Banco BTG Pactual SA | 44,660 | 347 | |||||||
TIM Participacoes SA | 147,621 | 346 | |||||||
Klabin SA | 103,364 | 339 | |||||||
Cosan SA | 30,432 | 338 | |||||||
Cogna Educacao | 301,826 | 308 | |||||||
IRB Brasil Resseguros SA | 150,642 | 283 | |||||||
YDUQS Participacoes SA | 45,042 | 251 | |||||||
Cia Energetica de Minas Gerais ADR | 139,657 | 240 | |||||||
Engie Brasil Energia SA | 32,516 | 234 | |||||||
Bradespar SA Preference Shares | 42,015 | 231 | |||||||
Transmissora Alianca de Energia Eletrica SA | 40,419 | 204 | |||||||
Cia Paranaense de Energia Preference Shares | 17,750 | 178 | |||||||
EDP - Energias do Brasil SA | 53,276 | 167 | |||||||
Fleury SA | 39,463 | 165 | |||||||
Cielo SA | 201,884 | 151 | |||||||
Porto Seguro SA | 17,209 | 143 | |||||||
Cia de Transmissao de Energia Eletrica Paulista Preference Shares | 35,408 | 127 | |||||||
* | Via Varejo SA Banco do Estado do Rio Grande do Sul SA | 70,476 | 119 | ||||||
Preference Shares | 38,086 | 88 | |||||||
Telefonica Brasil SA Preference Shares | 9,900 | 83 | |||||||
Cia Energetica de Minas Gerais Preference Shares | 26,457 | 46 | |||||||
Cia Paranaense de Energia ADR | 996 | 10 | |||||||
Cia Energetica de Minas Gerais | 957 | 2 | |||||||
23,452 | |||||||||
Canada (6.7%) | |||||||||
Royal Bank of Canada | 265,479 | 16,332 | |||||||
Toronto-Dominion Bank | 334,329 | 13,969 | |||||||
Enbridge Inc. | 363,763 | 11,146 | |||||||
Bank of Nova Scotia | 223,916 | 8,976 | |||||||
TC Energy Corp. | 171,254 | 7,882 | |||||||
^ | Bank of Montreal | 117,125 | 5,955 | ||||||
Canadian Imperial Bank of Commerce | 81,502 | 4,829 | |||||||
Manulife Financial Corp. | 357,239 | 4,499 | |||||||
Sun Life Financial Inc. | 108,907 | 3,733 | |||||||
Fortis Inc. | 84,538 | 3,276 | |||||||
National Bank of Canada | 61,433 | 2,478 | |||||||
Pembina Pipeline Corp. | 99,994 | 2,293 | |||||||
BCE Inc. | 54,880 | 2,219 | |||||||
Power Corp. of Canada | 107,752 | 1,723 | |||||||
Shaw Communications Inc. Class B | 80,841 | 1,319 | |||||||
TELUS Corp. | 73,213 | 1,197 | |||||||
1 | Hydro One Ltd. | 57,812 | 1,048 | ||||||
Great-West Lifeco Inc. | 47,862 | 788 | |||||||
Inter Pipeline Ltd. | 76,456 | 639 | |||||||
Canadian Utilities Ltd. Class A | 21,997 | 537 | |||||||
IGM Financial Inc. | 15,288 | 324 | |||||||
95,162 | |||||||||
Chile (0.2%) | |||||||||
Enel Americas SA ADR | 105,885 | 857 | |||||||
Banco Santander Chile ADR | 28,182 | 474 | |||||||
Sociedad Quimica y Minera de Chile SA Preference Shares Class B | 14,461 | 344 | |||||||
Enel Chile SA | 3,888,740 | 317 | |||||||
Enel Americas SA | 1,444,824 | 237 | |||||||
Colbun SA | 1,294,706 | 190 | |||||||
Engie Energia Chile SA | 91,249 | 112 | |||||||
Embotelladora Andina SA Preference Shares | 38,870 | 93 |
28
International High Dividend Yield Index Fund | |||||||||
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Enel Chile SA ADR | 21,294 | 85 | |||||||
AES Gener SA | 476,901 | 70 | |||||||
Sociedad Quimica y Minera de Chile SA ADR | 3,035 | 69 | |||||||
2,848 | |||||||||
China (6.4%) | |||||||||
China Construction Bank Corp. Class H | 17,153,000 | 13,768 | |||||||
Industrial & Commercial Bank of China Ltd. Class H | 14,357,000 | 9,627 | |||||||
China Mobile Ltd. | 972,419 | 7,817 | |||||||
Bank of China Ltd. Class H | 13,964,000 | 5,316 | |||||||
China Merchants Bank Co. Ltd. Class H | 694,928 | 3,289 | |||||||
CNOOC Ltd. | 2,904,000 | 3,211 | |||||||
China Overseas Land & Investment Ltd. | 704,000 | 2,601 | |||||||
Agricultural Bank of China Ltd. Class H | 5,629,000 | 2,342 | |||||||
China Petroleum & Chemical Corp. Class H | 4,678,000 | 2,332 | |||||||
China Resources Land Ltd. | 502,000 | 2,074 | |||||||
Sunac China Holdings Ltd. | 450,554 | 2,015 | |||||||
Country Garden Holdings Co. Ltd. | 1,351,000 | 1,750 | |||||||
Anhui Conch Cement Co. Ltd. Class H | 215,828 | 1,702 | |||||||
1 | Longfor Group Holdings Ltd. | 316,500 | 1,609 | ||||||
China Pacific Insurance Group Co. Ltd. Class H | 473,600 | 1,567 | |||||||
PetroChina Co. Ltd. Class H | 3,826,000 | 1,374 | |||||||
Hengan International Group Co. Ltd. | 130,343 | 1,159 | |||||||
Guangdong Investment Ltd. | 536,000 | 1,114 | |||||||
China Shenhua Energy Co. Ltd. Class H | 625,000 | 1,107 | |||||||
Shimao Property Holdings Ltd. | 258,500 | 1,051 | |||||||
1 | Postal Savings Bank of China Co. Ltd. Class H | 1,715,000 | 1,025 | ||||||
China Vanke Co. Ltd. Class H | 289,905 | 974 | |||||||
CITIC Ltd. | 900,000 | 935 | |||||||
China National Building Material Co. Ltd. Class H | 718,000 | 897 | |||||||
China Minsheng Banking Corp. Ltd. Class H | 1,174,600 | 875 | |||||||
Bank of Communications Co. Ltd. Class H | 1,345,000 | 852 | |||||||
China CITIC Bank Corp. Ltd. Class H | 1,720,320 | 840 | |||||||
China Jinmao Holdings Group Ltd. | 1,072,000 | 755 | |||||||
China Evergrande Group | 399,000 | 709 | |||||||
Weichai Power Co. Ltd. Class H | 346,000 | 608 | |||||||
China Communications Construction Co. Ltd. Class H | 814,000 | 547 | |||||||
China Resources Cement Holdings Ltd. | 402,000 | 547 | |||||||
*,1 | CGN Power Co. Ltd. Class H | 2,046,000 | 515 | ||||||
Guangzhou Automobile Group Co. Ltd. Class H | 570,000 | 511 | |||||||
CIFI Holdings Group Co. Ltd. | 618,000 | 472 | |||||||
Zijin Mining Group Co. Ltd. Class H | 1,072,000 | 438 | |||||||
China Resources Power Holdings Co. Ltd. | 348,000 | 412 | |||||||
Beijing Enterprises Water Group Ltd. | 1,014,000 | 394 | |||||||
Great Wall Motor Co. Ltd. Class H | 570,500 | 381 | |||||||
Seazen Group Ltd. | 370,479 | 360 | |||||||
Kunlun Energy Co. Ltd. | 546,000 | 356 | |||||||
Dongfeng Motor Group Co. Ltd. Class H | 524,000 | 348 | |||||||
KWG Group Holdings Ltd. | 233,500 | 345 | |||||||
Kingboard Holdings Ltd. | 134,000 | 327 | |||||||
Shenzhen International Holdings Ltd. | 167,500 | 324 | |||||||
China Cinda Asset Management Co. Ltd. Class H | 1,645,000 | 319 | |||||||
Far East Horizon Ltd. | 387,000 | 313 | |||||||
China Merchants Port Holdings Co. Ltd. | 238,000 | 306 | |||||||
Huaneng Power International Inc. Class H | 780,000 | 293 | |||||||
Logan Property Holdings Co. Ltd. | 186,000 | 293 | |||||||
Agile Group Holdings Ltd. | 256,000 | 288 | |||||||
Nine Dragons Paper Holdings Ltd. | 293,000 | 280 | |||||||
Yanzhou Coal Mining Co. Ltd. Class H | 364,000 | 277 |
29
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Jiangsu Expressway Co. Ltd. Class H | 230,000 | 275 | |||||||
Guangzhou R&F Properties Co. Ltd. Class H | 208,400 | 265 | |||||||
China Medical System Holdings Ltd. | 220,000 | 259 | |||||||
China State Construction International Holdings Ltd. | 328,000 | 254 | |||||||
Sinotruk Hong Kong Ltd. | 122,000 | 247 | |||||||
China Everbright Bank Co. Ltd. Class H | 576,000 | 244 | |||||||
1 | Dali Foods Group Co. Ltd. | 382,000 | 236 | ||||||
China Everbright Ltd. | 154,000 | 235 | |||||||
1 | China Huarong Asset Management Co. Ltd. Class H | 2,028,000 | 226 | ||||||
China Molybdenum Co. Ltd. Class H | 732,000 | 221 | |||||||
Yuexiu Property Co. Ltd. | 1,160,000 | 221 | |||||||
Shenzhen Investment Ltd. | 646,000 | 212 | |||||||
1 | Fuyao Glass Industry Group Co. Ltd. Class H | 94,400 | 206 | ||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd. Class H | 245,200 | 199 | |||||||
Zhejiang Expressway Co. Ltd. Class H | 262,000 | 198 | |||||||
* | Chongqing Rural Commercial Bank Co. Ltd. Class H | 448,000 | 195 | ||||||
Kingboard Laminates Holdings Ltd. | 198,000 | 192 | |||||||
1 | BAIC Motor Corp. Ltd. Class H | 418,000 | 183 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd. Class H | 650,000 | 176 | |||||||
COSCO SHIPPING Ports Ltd. | 330,000 | 176 | |||||||
Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd. Class B | 206,362 | 170 | |||||||
China Power International Development Ltd. | 831,370 | 169 | |||||||
Lee & Man Paper Manufacturing Ltd. | 273,000 | 168 | |||||||
Greentown China Holdings Ltd. | 145,500 | 157 | |||||||
Shenzhen Expressway Co. Ltd. Class H | 130,000 | 149 | |||||||
China Reinsurance Group Corp. Class H | 1,242,000 | 146 | |||||||
Shanghai Industrial Holdings Ltd. | 85,000 | 145 | |||||||
Sino-Ocean Group Holding Ltd. | 541,500 | 141 | |||||||
Bosideng International Holdings Ltd. | 518,000 | 140 | |||||||
1 | Sinopec Engineering Group Co. Ltd. Class H | 273,000 | 131 | ||||||
Hopson Development Holdings Ltd. | 116,000 | 130 | |||||||
Poly Property Group Co. Ltd. | 354,000 | 124 | |||||||
Huadian Power International Corp. Ltd. Class H | 312,000 | 109 | |||||||
Huaxin Cement Co. Ltd. Class B | 58,440 | 99 | |||||||
Yanlord Land Group Ltd. | 123,800 | 93 | |||||||
Metallurgical Corp. of China Ltd. Class H | 528,000 | 92 | |||||||
Huadian Fuxin Energy Corp. Ltd. Class H | 514,000 | 91 | |||||||
Sinotrans Ltd. Class H | 375,000 | 91 | |||||||
Chongqing Changan Automobile Co. Ltd. Class B | 172,300 | 84 | |||||||
Datang International Power Generation Co. Ltd. Class H | 556,000 | 80 | |||||||
China International Marine Containers Group Co. Ltd. Class H | 90,760 | 80 | |||||||
Angang Steel Co. Ltd. Class H | 267,000 | 72 | |||||||
China Zhongwang Holdings Ltd. | 275,600 | 66 | |||||||
1 | Red Star Macalline Group Corp. Ltd. Class H | 97,157 | 62 | ||||||
Guangshen Railway Co. Ltd. Class H | 264,000 | 56 | |||||||
China BlueChemical Ltd. Class H | 372,000 | 56 | |||||||
Beijing Jingneng Clean Energy Co. Ltd. Class H | 302,000 | 52 | |||||||
Maanshan Iron & Steel Co. Ltd. Class H | 158,000 | 51 |
30
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Anhui Expressway Co. Ltd. Class H | 92,000 | 47 | |||||||
Weifu High-Technology Group Co. Ltd. Class B | 27,100 | 46 | |||||||
China South City Holdings Ltd. | 454,000 | 44 | |||||||
Sichuan Expressway Co. Ltd. Class H | 168,000 | 43 | |||||||
Shanghai Jinjiang International Hotels Co. Ltd. Class B | 29,200 | 42 | |||||||
China Machinery Engineering Corp. Class H | 154,000 | 42 | |||||||
Shandong Chenming Paper Holdings Ltd. Class H | 89,000 | 34 | |||||||
91,663 | |||||||||
Colombia (0.1%) | |||||||||
Ecopetrol SA ADR | 40,825 | 426 | |||||||
Interconexion Electrica SA ESP | 76,510 | 352 | |||||||
Grupo Aval Acciones y Valores Preference Shares | 592,640 | 126 | |||||||
Grupo Aval Acciones y Valores SA ADR | 7,552 | 32 | |||||||
Ecopetrol SA | 54,855 | 29 | |||||||
965 | |||||||||
Czech Republic (0.1%) | |||||||||
Cez AS | 29,393 | 547 | |||||||
* | Komercni banka AS | 13,893 | 294 | ||||||
1 | Moneta Money Bank AS | 95,021 | 197 | ||||||
O2 Czech Republic AS | 9,169 | 80 | |||||||
1,118 | |||||||||
Denmark (0.2%) | |||||||||
* | Danske Bank A/S | 122,320 | 1,452 | ||||||
Tryg A/S | 22,210 | 593 | |||||||
Pandora A/S | 16,430 | 584 | |||||||
* | ISS A/S | 33,906 | 504 | ||||||
3,133 | |||||||||
Egypt (0.0%) | |||||||||
Egypt Kuwait Holding Co. | |||||||||
SAE | 151,933 | 152 | |||||||
Eastern Co. SAE | 172,285 | 133 | |||||||
ElSewedy Electric Co. | 129,404 | 73 | |||||||
Telecom Egypt Co. | 63,313 | 43 | |||||||
401 | |||||||||
Finland (1.7%) | |||||||||
Kone Oyj Class B | 71,741 | 4,344 | |||||||
* | Nordea Bank Abp | 589,431 | 3,771 | ||||||
Nokia Oyj | 1,029,388 | 3,711 | |||||||
* | Sampo Oyj Class A | 89,642 | 2,971 | ||||||
UPM-Kymmene Oyj | 97,491 | 2,674 | |||||||
Elisa Oyj | 26,359 | 1,602 | |||||||
Fortum Oyj | 79,254 | 1,313 | |||||||
Stora Enso Oyj | 105,504 | 1,241 | |||||||
Orion Oyj Class B | 18,768 | 954 | |||||||
Kesko Oyj Class B | 49,452 | 806 | |||||||
Metso Oyj | 19,607 | 544 | |||||||
Nokian Renkaat Oyj | 24,814 | 527 | |||||||
24,458 | |||||||||
France (6.0%) | |||||||||
^ | Sanofi | 199,066 | 19,444 | ||||||
Total SA | 438,302 | 15,556 | |||||||
* | Schneider Electric SE | 96,291 | 8,898 | ||||||
AXA SA | 352,760 | 6,271 | |||||||
BNP Paribas SA | 198,781 | 6,245 | |||||||
Orange SA | 351,299 | 4,268 | |||||||
Cie Generale des Etablissements Michelin SCA | 32,307 | 3,121 | |||||||
Cie de Saint-Gobain | 89,166 | 2,372 | |||||||
Societe Generale SA | 140,615 | 2,206 | |||||||
Veolia Environnement SA | 91,790 | 1,957 | |||||||
Engie SA | 171,894 | 1,865 | |||||||
Credit Agricole SA | 210,484 | 1,693 | |||||||
Peugeot SA | 99,863 | 1,416 | |||||||
* | Bouygues SA | 38,825 | 1,195 | ||||||
Publicis Groupe SA | 39,551 | 1,167 | |||||||
Valeo SA | 43,568 | 999 | |||||||
* | SCOR SE | 28,812 | 812 | ||||||
Suez | 67,633 | 765 | |||||||
Engie | 66,418 | 721 | |||||||
Engie Loyalty Line 2021 | 65,712 | 713 | |||||||
1 | Amundi SA | 10,450 | 694 | ||||||
Renault SA | 33,581 | 662 | |||||||
Rexel SA | 55,531 | 519 | |||||||
SES SA Class A | 64,574 | 430 | |||||||
Eutelsat Communications SA | 34,600 | 387 | |||||||
^ | Casino Guichard Perrachon SA | 10,060 | 378 | ||||||
Natixis SA | 154,163 | 364 | |||||||
Lagardere SCA | 20,950 | 340 | |||||||
* | CNP Assurances | 29,345 | 303 | ||||||
Societe BIC SA | 4,723 | 236 | |||||||
Imerys SA | 6,864 | 215 | |||||||
1 | ALD SA | 15,026 | 146 | ||||||
86,358 | |||||||||
Germany (7.5%) | |||||||||
Allianz SE | 76,242 | 14,031 | |||||||
Siemens AG | 139,052 | 12,832 | |||||||
Bayer AG | 180,508 | 11,872 | |||||||
* | Deutsche Telekom AG | 592,985 | 8,669 | ||||||
Basf SE | 167,974 | 8,596 |
31
International High Dividend Yield Index Fund | |||||||||
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 26,474 | 5,798 | |||||||
Deutsche Post AG | 178,919 | 5,315 | |||||||
Daimler AG | 147,863 | 5,057 | |||||||
Vonovia SE | 99,535 | 4,922 | |||||||
Volkswagen AG Preference Shares | 33,709 | 4,690 | |||||||
E.On SE | 397,778 | 3,985 | |||||||
Bayerische Motoren Werke AG | 56,267 | 3,310 | |||||||
Rwe AG | 104,698 | 3,012 | |||||||
Hannover Rueck SE | 11,035 | 1,758 | |||||||
LEG Immobilien AG | 12,703 | 1,458 | |||||||
Porsche Automobil Holding SE Preference Shares | 28,130 | 1,420 | |||||||
HeidelbergCement AG | 27,290 | 1,294 | |||||||
Aroundtown SA | 221,132 | 1,189 | |||||||
*,1 | Covestro AG | 31,243 | 1,050 | ||||||
Uniper SE | 35,941 | 967 | |||||||
Evonik Industries AG | 34,983 | 861 | |||||||
Volkswagen AG | 5,769 | 853 | |||||||
Commerzbank AG | 191,096 | 705 | |||||||
* | GEA Group AG | 30,493 | 700 | ||||||
Bayerische Motoren Werke AG Preference Shares | 13,614 | 639 | |||||||
^ | Deutsche Lufthansa AG | 43,619 | 391 | ||||||
ProSiebenSat.1 Media SE | 35,871 | 359 | |||||||
Telefonica Deutschland Holding AG | 124,300 | 354 | |||||||
Hugo Boss AG | 11,347 | 315 | |||||||
Hochtief AG | 3,720 | 291 | |||||||
Metro AG | 31,746 | 277 | |||||||
Talanx AG | 7,158 | 254 | |||||||
RTL Group SA | 7,123 | 237 | |||||||
1&1 Drillisch AG | 9,015 | 210 | |||||||
107,671 | |||||||||
Greece (0.1%) | |||||||||
Hellenic Telecommunications Organization SA | 43,108 | 570 | |||||||
Opap SA | 36,009 | 323 | |||||||
Motor Oil Hellas Corinth Refineries SA | 10,888 | 161 | |||||||
Mytilineos SA | 20,388 | 152 | |||||||
Hellenic Petroleum SA | 11,760 | 78 | |||||||
1,284 | |||||||||
Hong Kong (2.2%) | |||||||||
CK Hutchison Holdings Ltd. | 491,500 | 3,643 | |||||||
Sun Hung Kai Properties Ltd. | 260,500 | 3,562 | |||||||
CLP Holdings Ltd. | 300,500 | 3,217 | |||||||
Hang Seng Bank Ltd. | 133,000 | 2,326 | |||||||
BOC Hong Kong Holdings Ltd. | 659,000 | 2,022 | |||||||
Sands China Ltd. | 433,600 | 1,755 | |||||||
Power Assets Holdings Ltd. | 251,099 | 1,682 | |||||||
1 | WH Group Ltd. | 1,545,139 | 1,474 | ||||||
New World Development Co. Ltd. | 1,052,000 | 1,243 | |||||||
Henderson Land Development Co. Ltd. | 238,587 | 972 | |||||||
Sino Land Co. Ltd. | 596,000 | 833 | |||||||
Hang Lung Properties Ltd. | 369,576 | 791 | |||||||
Wharf Real Estate Investment Co. Ltd. | 186,000 | 787 | |||||||
Lenovo Group Ltd. | 1,368,000 | 739 | |||||||
CK Infrastructure Holdings Ltd. | 113,972 | 677 | |||||||
Swire Pacific Ltd. Class A | 91,788 | 597 | |||||||
Wynn Macau Ltd. | 269,600 | 465 | |||||||
PCCW Ltd. | 746,000 | 457 | |||||||
Xinyi Solar Holdings Ltd. | 704,800 | 447 | |||||||
Xinyi Glass Holdings Ltd. | 368,000 | 426 | |||||||
Hysan Development Co. Ltd. | 106,000 | 354 | |||||||
NagaCorp Ltd. | 270,000 | 319 | |||||||
Kerry Properties Ltd. | 111,000 | 307 | |||||||
NWS Holdings Ltd. | 262,000 | 273 | |||||||
1 | BOC Aviation Ltd. | 38,300 | 262 | ||||||
VTech Holdings Ltd. | 30,000 | 226 | |||||||
Yue Yuen Industrial Holdings Ltd. | 131,000 | 209 | |||||||
Li & Fung Ltd. | 1,150,000 | 173 | |||||||
Chow Tai Fook Jewellery Group Ltd. | 203,200 | 172 | |||||||
Shougang Fushan Resources Group Ltd. | 700,000 | 140 | |||||||
Cafe de Coral Holdings Ltd. | 62,000 | 128 | |||||||
Shun Tak Holdings Ltd. | 342,000 | 120 | |||||||
Shui On Land Ltd. | 642,500 | 114 | |||||||
Haitong International Securities Group Ltd. | 480,000 | 112 | |||||||
Dah Sing Financial Holdings Ltd. | 27,600 | 91 |
32
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Lifestyle International Holdings Ltd. | 92,500 | 88 | |||||||
First Pacific Co. Ltd. | 424,000 | 88 | |||||||
Television Broadcasts Ltd. | 55,600 | 77 | |||||||
Guotai Junan International Holdings Ltd. | 584,000 | 77 | |||||||
SA Sa International Holdings Ltd. | 200,000 | 37 | |||||||
31,482 | |||||||||
Hungary (0.1%) | |||||||||
MOL Hungarian Oil & Gas plc | 79,313 | 502 | |||||||
Magyar Telekom Telecommunications plc | 73,542 | 92 | |||||||
594 | |||||||||
India (0.4%) | |||||||||
Bharat Petroleum Corp. Ltd. | 183,421 | 897 | |||||||
Oil & Natural Gas Corp. Ltd. | 557,081 | 590 | |||||||
NTPC Ltd. | 434,314 | 544 | |||||||
Coal India Ltd. | 266,864 | 522 | |||||||
Hero MotoCorp Ltd. | 17,910 | 511 | |||||||
Indian Oil Corp. Ltd. | 384,253 | 428 | |||||||
Bharti Infratel Ltd. | 156,270 | 362 | |||||||
Vedanta Ltd. | 301,165 | 351 | |||||||
Hindustan Petroleum Corp. Ltd. | 112,519 | 328 | |||||||
REC Ltd. | 123,280 | 156 | |||||||
Castrol India Ltd. | 90,255 | 155 | |||||||
Power Finance Corp. Ltd. | 122,324 | 154 | |||||||
NMDC Ltd. | 136,953 | 145 | |||||||
NHPC Ltd. | 480,271 | 132 | |||||||
* | Oracle Financial Services Software Ltd. | 4,192 | 131 | ||||||
Indiabulls Housing Finance Ltd. | 61,642 | 107 | |||||||
* | Hindustan Zinc Ltd. | 43,111 | 99 | ||||||
Oil India Ltd. | 48,227 | 63 | |||||||
Mangalore Refinery & Petrochemicals Ltd. | 40,242 | 17 | |||||||
5,692 | |||||||||
Indonesia (0.2%) | |||||||||
Telekomunikasi Indonesia Persero Tbk PT | 8,432,200 | 1,939 | |||||||
United Tractors Tbk PT | 265,504 | 290 | |||||||
Tower Bersama Infrastructure Tbk PT | 1,953,700 | 155 | |||||||
Adaro Energy Tbk PT | 2,476,100 | 152 | |||||||
Perusahaan Gas Negara Tbk PT | 1,940,200 | 110 | |||||||
Bukit Asam Tbk PT | 794,800 | 99 | |||||||
Surya Citra Media Tbk PT | 1,071,500 | 62 | |||||||
Media Nusantara Citra Tbk PT | 920,900 | 56 | |||||||
Matahari Department Store Tbk PT | 414,700 | 34 | |||||||
2,897 | |||||||||
Ireland (0.0%) | |||||||||
Bank of Ireland Group plc | 168,247 | 345 | |||||||
* | AIB Group plc | 144,199 | 200 | ||||||
545 | |||||||||
Israel (0.3%) | |||||||||
Bank Leumi Le-Israel BM | 267,310 | 1,440 | |||||||
Bank Hapoalim BM | 199,515 | 1,279 | |||||||
Mizrahi Tefahot Bank Ltd. | 23,821 | 488 | |||||||
* | Bezeq The Israeli Telecommunication Corp. Ltd. | 379,452 | 270 | ||||||
Gazit-Globe Ltd. | 17,139 | 127 | |||||||
Delek Group Ltd. | 896 | 41 | |||||||
3,645 | |||||||||
Italy (2.5%) | |||||||||
Enel SPA | 1,429,076 | 9,761 | |||||||
Eni SPA | 459,042 | 4,373 | |||||||
Intesa Sanpaolo SPA (Registered) | 2,743,735 | 4,284 | |||||||
Assicurazioni Generali SPA | 236,619 | 3,376 | |||||||
* | UniCredit SPA | 411,647 | 3,179 | ||||||
Snam SPA | 418,651 | 1,878 | |||||||
Terna Rete Elettrica Nazionale SPA | 259,619 | 1,626 | |||||||
Atlantia SPA | 90,441 | 1,483 | |||||||
* | FinecoBank Banca Fineco SPA | 111,628 | 1,244 | ||||||
Mediobanca Banca di Credito Finanziario SPA | 146,919 | 854 | |||||||
1 | Poste Italiane SPA | 83,712 | 712 | ||||||
Unione di Banche Italiane SPA | 175,861 | 504 | |||||||
Italgas SPA | 89,852 | 503 | |||||||
Telecom Italia SPA (Bearer) | 1,111,180 | 443 | |||||||
A2A SPA | 282,255 | 385 | |||||||
Banca Mediolanum SPA | 52,858 | 323 | |||||||
UnipolSai Assicurazioni SPA | 108,046 | 265 | |||||||
35,193 |
33
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Japan (11.0%) | |||||||||
Toyota Motor Corp. | 451,713 | 27,928 | |||||||
Takeda Pharmaceutical Co. Ltd. | 279,200 | 10,068 | |||||||
Mitsubishi UFJ Financial Group Inc. | 2,291,200 | 9,256 | |||||||
KDDI Corp. | 314,100 | 9,098 | |||||||
Honda Motor Co. Ltd. | 315,900 | 7,671 | |||||||
Sumitomo Mitsui Financial Group Inc. | 238,354 | 6,268 | |||||||
NTT DOCOMO Inc. | 211,100 | 6,221 | |||||||
Tokio Marine Holdings Inc. | 121,034 | 5,678 | |||||||
Mizuho Financial Group Inc. | 4,650,500 | 5,415 | |||||||
Nippon Telegraph & Telephone Corp. | 223,300 | 5,085 | |||||||
ITOCHU Corp. | 250,584 | 4,913 | |||||||
Mitsubishi Corp. | 223,200 | 4,734 | |||||||
Mitsui & Co. Ltd. | 309,712 | 4,323 | |||||||
Japan Tobacco Inc. | 217,400 | 4,049 | |||||||
Canon Inc. | 186,200 | 3,917 | |||||||
Komatsu Ltd. | 168,000 | 3,179 | |||||||
ORIX Corp. | 234,500 | 2,759 | |||||||
MS&AD Insurance Group Holdings Inc. | 88,600 | 2,553 | |||||||
Sumitomo Corp. | 204,538 | 2,314 | |||||||
Subaru Corp. | 112,009 | 2,242 | |||||||
Sumitomo Mitsui Trust Holdings Inc. | 67,000 | 1,951 | |||||||
JXTG Holdings Inc. | 549,905 | 1,950 | |||||||
Japan Post Holdings Co. Ltd. | 242,674 | 1,941 | |||||||
Sekisui House Ltd. | 105,502 | 1,810 | |||||||
Marubeni Corp. | 287,100 | 1,383 | |||||||
Mitsubishi Chemical Holdings Corp. | 233,500 | 1,327 | |||||||
Nippon Steel Corp. | 149,800 | 1,260 | |||||||
Resona Holdings Inc. | 399,500 | 1,248 | |||||||
Nissan Motor Co. Ltd. | 354,100 | 1,205 | |||||||
Daiwa Securities Group Inc. | 276,314 | 1,149 | |||||||
Daito Trust Construction Co. Ltd. | 12,000 | 1,141 | |||||||
Idemitsu Kosan Co. Ltd. | 42,753 | 971 | |||||||
Sumitomo Chemical Co. Ltd. | 275,800 | 846 | |||||||
^ | SBI Holdings Inc. | 41,500 | 775 | ||||||
Chugoku Electric Power Co. Inc. | 53,035 | 714 | |||||||
Japan Post Bank Co. Ltd. | 74,648 | 693 | |||||||
Yamaha Motor Co. Ltd. | 51,100 | 657 | |||||||
JFE Holdings Inc. | 94,200 | 625 | |||||||
Mitsui Chemicals Inc. | 31,800 | 624 | |||||||
SUMCO Corp. | 42,900 | 611 | |||||||
LIXIL Group Corp. | 48,100 | 577 | |||||||
Seiko Epson Corp. | 49,700 | 564 | |||||||
NSK Ltd. | 80,700 | 559 | |||||||
Haseko Corp. | 50,886 | 552 | |||||||
Sojitz Corp. | 231,400 | 536 | |||||||
Amada Co. Ltd. | 57,000 | 515 | |||||||
Lawson Inc. | 8,900 | 463 | |||||||
Mitsubishi Gas Chemical Co. Inc. | 33,300 | 408 | |||||||
Aozora Bank Ltd. | 21,900 | 390 | |||||||
Denka Co. Ltd. | 15,800 | 382 | |||||||
DIC Corp. | 15,000 | 348 | |||||||
Sumitomo Rubber Industries Ltd. | 33,900 | 329 | |||||||
Seven Bank Ltd. | 120,500 | 327 | |||||||
Miraca Holdings Inc. | 9,700 | 243 | |||||||
Sankyo Co. Ltd. | 8,200 | 225 | |||||||
Heiwa Corp. | 10,300 | 173 | |||||||
Hitachi Capital Corp. | 8,200 | 159 | |||||||
NTN Corp. | 78,300 | 150 | |||||||
Matsui Securities Co. Ltd. | 19,700 | 144 | |||||||
SKY Perfect JSAT Holdings Inc. | 22,700 | 85 | |||||||
157,681 | |||||||||
Kuwait (0.3%) | |||||||||
National Bank of Kuwait SAKP | 1,165,357 | 2,794 | |||||||
Mobile Telecommunications Co. KSC | 387,046 | 661 | |||||||
Ahli United Bank BSC | 1,000,241 | 631 | |||||||
Gulf Bank KSCP | 317,721 | 222 | |||||||
* | Humansoft Holding Co. KSC | 18,481 | 171 | ||||||
Boubyan Petrochemicals Co. KSCP | 65,339 | 106 | |||||||
4,585 | |||||||||
Malaysia (0.6%) | |||||||||
Tenaga Nasional Bhd. | 714,433 | 2,023 | |||||||
Malayan Banking Bhd. | 1,094,797 | 1,921 | |||||||
CIMB Group Holdings Bhd. | 1,283,900 | 1,027 | |||||||
DiGi.Com Bhd. | 676,300 | 726 | |||||||
Maxis Bhd. | 505,300 | 642 | |||||||
MISC Bhd. | 264,900 | 483 | |||||||
Petronas Gas Bhd. | 103,732 | 371 | |||||||
Sime Darby Bhd. | 659,200 | 305 | |||||||
Gamuda Bhd. | 407,300 | 304 | |||||||
AMMB Holdings Bhd. | 356,500 | 246 | |||||||
Westports Holdings Bhd. | 203,500 | 174 | |||||||
YTL Corp. Bhd. | 842,368 | 149 |
34
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Alliance Bank Malaysia Bhd. | 203,500 | 92 | |||||||
British American Tobacco Malaysia Bhd. | 26,200 | 77 | |||||||
1 | Astro Malaysia Holdings Bhd. | 288,500 | 63 | ||||||
8,603 | |||||||||
Mexico (0.5%) | |||||||||
Wal-Mart de Mexico SAB de CV | 942,835 | 2,268 | |||||||
Grupo Financiero Banorte SAB de CV | 515,546 | 1,410 | |||||||
Grupo Mexico SAB de CV Class B | 658,200 | 1,404 | |||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 64,754 | 405 | |||||||
* | Promotora y Operadora de Infraestructura SAB de CV | 39,790 | 276 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 155,100 | 219 | |||||||
Grupo Aeroportuario del Centro Norte SAB de CV | 59,400 | 216 | |||||||
Industrias Penoles SAB de CV | 23,640 | 183 | |||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 111,500 | 62 | |||||||
Alpek SAB de CV | 64,600 | 31 | |||||||
1 | Nemak SAB de CV | 109,700 | 20 | ||||||
6,494 | |||||||||
Netherlands (2.0%) | |||||||||
Unilever NV | 251,177 | 12,509 | |||||||
Koninklijke Ahold Delhaize NV | 199,934 | 4,854 | |||||||
ING Groep NV | 715,936 | 4,011 | |||||||
NN Group NV | 60,103 | 1,739 | |||||||
Koninklijke KPN NV | 608,582 | 1,402 | |||||||
Aegon NV | 322,132 | 833 | |||||||
Randstad NV | 20,230 | 814 | |||||||
ASR Nederland NV | 25,415 | 681 | |||||||
1 | ABN AMRO Bank NV | 75,910 | 584 | ||||||
1 | Signify NV | 23,153 | 471 | ||||||
27,898 | |||||||||
New Zealand (0.2%) | |||||||||
Spark New Zealand Ltd. | 337,136 | 912 | |||||||
Meridian Energy Ltd. | 225,946 | 616 | |||||||
Contact Energy Ltd. | 131,649 | 502 | |||||||
Mercury NZ Ltd. | 125,678 | 349 | |||||||
Fletcher Building Ltd. | 154,341 | 346 | |||||||
SKYCITY Entertainment Group Ltd. | 124,271 | 200 | |||||||
Air New Zealand Ltd. | 98,708 | 81 | |||||||
3,006 | |||||||||
Norway (0.8%) | |||||||||
Equinor ASA | 180,381 | 2,498 | |||||||
DNB ASA | 190,887 | 2,311 | |||||||
Telenor ASA | 118,841 | 1,823 | |||||||
Mowi ASA | 78,189 | 1,339 | |||||||
Orkla ASA | 140,482 | 1,269 | |||||||
Norsk Hydro ASA | 245,299 | 622 | |||||||
* | Gjensidige Forsikring ASA | 30,503 | 538 | ||||||
Salmar ASA | 9,541 | 372 | |||||||
Aker BP ASA | 20,532 | 337 | |||||||
Leroy Seafood Group ASA | 47,729 | 254 | |||||||
11,363 | |||||||||
Pakistan (0.0%) | |||||||||
Pakistan Petroleum Ltd. | 146,680 | 83 | |||||||
Habib Bank Ltd. | 125,375 | 79 | |||||||
Oil & Gas Development Co. Ltd. | 119,600 | 79 | |||||||
Fauji Fertilizer Co. Ltd. | 112,299 | 78 | |||||||
319 | |||||||||
Philippines (0.1%) | |||||||||
PLDT Inc. | 21,445 | 544 | |||||||
Manila Electric Co. | 49,370 | 247 | |||||||
Globe Telecom Inc. | 5,405 | 234 | |||||||
Aboitiz Power Corp. | 301,000 | 162 | |||||||
DMCI Holdings Inc. | 702,800 | 57 | |||||||
Semirara Mining & Power Corp. | 185,720 | 44 | |||||||
1,288 | |||||||||
Poland (0.2%) | |||||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 156,327 | 837 | |||||||
Powszechny Zaklad Ubezpieczen SA | 102,612 | 757 | |||||||
Bank Polska Kasa Opieki SA | 28,683 | 364 | |||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 322,032 | 290 | |||||||
2,248 | |||||||||
Portugal (0.2%) | |||||||||
EDP - Energias de Portugal SA | 461,857 | 1,946 | |||||||
Galp Energia SGPS SA | 94,766 | 1,094 | |||||||
3,040 | |||||||||
Qatar (0.6%) | |||||||||
Qatar National Bank QPSC | 815,258 | 3,845 | |||||||
Qatar Islamic Bank SAQ | 212,922 | 905 |
35
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Industries Qatar QSC | 367,714 | 710 | |||||||
Masraf Al Rayan QSC | 676,395 | 708 | |||||||
Commercial Bank PSQC | 363,634 | 400 | |||||||
Qatar Electricity & Water Co. QSC | 93,043 | 385 | |||||||
Qatar Gas Transport Co. Ltd. | 502,220 | 344 | |||||||
Qatar International Islamic Bank QSC | 138,119 | 303 | |||||||
Ooredoo QPSC | 154,022 | 270 | |||||||
Barwa Real Estate Co. | 342,954 | 269 | |||||||
Qatar Insurance Co. SAQ | 299,825 | 164 | |||||||
* | Doha Bank QPSC | 289,407 | 160 | ||||||
* | Gulf International Services QSC | 169,312 | 60 | ||||||
8,523 | |||||||||
Russia (1.9%) | |||||||||
Sberbank of Russia PJSC Ordinary Shares | 1,835,700 | 4,837 | |||||||
Lukoil PJSC ADR | 60,192 | 3,927 | |||||||
Gazprom PJSC ADR | 758,467 | 3,841 | |||||||
Tatneft PJSC ADR | 42,079 | 1,875 | |||||||
MMC Norilsk Nickel PJSC ADR | 48,643 | 1,349 | |||||||
MMC Norilsk Nickel PJSC | 4,667 | 1,268 | |||||||
Gazprom PJSC | 417,435 | 1,061 | |||||||
Lukoil PJSC | 15,726 | 1,015 | |||||||
Rosneft Oil Co. PJSC GDR | 185,820 | 833 | |||||||
Surgutneftegas OAO Preference Shares | 1,410,777 | 690 | |||||||
Mobile TeleSystems PJSC ADR | 79,120 | 678 | |||||||
AK Transneft OAO Preference Shares | 284 | 521 | |||||||
Polyus PJSC | 2,697 | 438 | |||||||
Inter RAO UES PJSC | 6,423,000 | 430 | |||||||
Moscow Exchange MICEX-RTS PJSC | 253,396 | 410 | |||||||
Magnit PJSC (XLON) | 36,053 | 398 | |||||||
Polyus PJSC GDR | 4,696 | 381 | |||||||
Severstal PAO GDR | 31,328 | 373 | |||||||
Alrosa PJSC | 446,250 | 370 | |||||||
Novolipetsk Steel PJSC | 184,610 | 316 | |||||||
Magnit PJSC (MISX) | 6,284 | 312 | |||||||
Tatneft PAO Preference Shares | 40,593 | 279 | |||||||
Rostelecom PJSC | 188,410 | 208 | |||||||
RusHydro PJSC | 21,425,000 | 181 | |||||||
Magnitogorsk Iron & Steel Works PJSC | 320,000 | 172 | |||||||
Rosneft Oil Co. PJSC | 28,440 | 128 | |||||||
PhosAgro PJSC GDR | 10,445 | 126 | |||||||
Sberbank of Russia PJSC ADR | 11,436 | 120 | |||||||
Federal Grid Co. Unified Energy System PJSC | 48,020,000 | 118 | |||||||
PhosAgro PJSC | 3,043 | 111 | |||||||
Tatneft PJSC | 13,843 | 102 | |||||||
Sistema PJSFC | 519,100 | 101 | |||||||
Aeroflot PJSC | 91,779 | 93 | |||||||
Unipro PJSC | 1,744,000 | 66 | |||||||
Mobile TeleSystems PJSC | 9,210 | 40 | |||||||
Severstal PAO | 2,705 | 32 | |||||||
27,200 | |||||||||
Saudi Arabia (1.1%) | |||||||||
Al Rajhi Bank | 183,837 | 2,795 | |||||||
Saudi Basic Industries Corp. | 134,809 | 2,675 | |||||||
Saudi Telecom Co. | 89,428 | 2,154 | |||||||
National Commercial Bank | 201,606 | 1,990 | |||||||
Riyad Bank | 221,360 | 1,001 | |||||||
Samba Financial Group | 147,048 | 908 | |||||||
* | Alinma Bank | 144,556 | 611 | ||||||
Saudi Arabian Fertilizer Co. | 29,592 | 555 | |||||||
Saudi Electricity Co. | 117,110 | 530 | |||||||
Yanbu National Petrochemical Co. | 34,259 | 408 | |||||||
Jarir Marketing Co. | 8,583 | 337 | |||||||
Sahara International Petrochemical Co. | 54,395 | 222 | |||||||
Bank Al-Jazira | 60,583 | 192 | |||||||
Advanced Petrochemical Co. | 16,069 | 190 | |||||||
Saudi Industrial Investment Group | 33,380 | 165 | |||||||
* | Dar Al Arkan Real Estate Development Co. | 75,323 | 162 | ||||||
Saudi Cement Co. | 11,338 | 158 | |||||||
Saudi Airlines Catering Co. | 5,651 | 120 | |||||||
Qassim Cement Co. | 6,686 | 101 | |||||||
Yanbu Cement Co. | 11,677 | 92 | |||||||
* | Seera Group Holding | 22,276 | 92 | ||||||
15,458 | |||||||||
Singapore (1.5%) | |||||||||
DBS Group Holdings Ltd. | 329,478 | 4,639 | |||||||
Oversea-Chinese Banking Corp. Ltd. | 627,600 | 4,004 | |||||||
United Overseas Bank Ltd. | 233,845 | 3,341 |
36
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Singapore Telecommunications Ltd. | 1,360,988 | 2,719 | |||||||
Keppel Corp. Ltd. | 268,812 | 1,135 | |||||||
Singapore Exchange Ltd. | 150,932 | 1,029 | |||||||
* | CapitaLand Ltd. | 459,600 | 975 | ||||||
Singapore Technologies Engineering Ltd. | 281,400 | 682 | |||||||
Venture Corp. Ltd. | 48,100 | 538 | |||||||
ComfortDelGro Corp. Ltd. | 376,500 | 439 | |||||||
Singapore Airlines Ltd. | 93,900 | 406 | |||||||
Singapore Press Holdings Ltd. | 286,700 | 308 | |||||||
SATS Ltd. | 119,600 | 277 | |||||||
Singapore Post Ltd. | 281,700 | 145 | |||||||
* | Golden Agri-Resources Ltd. | 1,185,700 | 130 | ||||||
Hutchison Port Holdings Trust | 893,200 | 116 | |||||||
StarHub Ltd. | 107,500 | 113 | |||||||
Frasers Property Ltd. | 72,500 | 63 | |||||||
SIA Engineering Co. Ltd. | 47,400 | 63 | |||||||
21,122 | |||||||||
South Africa (0.9%) | |||||||||
Standard Bank Group Ltd. | 230,937 | 1,274 | |||||||
FirstRand Ltd. | 582,997 | 1,272 | |||||||
Sanlam Ltd. | 319,895 | 1,023 | |||||||
MTN Group Ltd. | 330,582 | 869 | |||||||
Vodacom Group Ltd. | 109,824 | 730 | |||||||
Absa Group Ltd. | 132,455 | 654 | |||||||
Old Mutual Ltd. | 845,773 | 614 | |||||||
* | Sasol Ltd. | 106,460 | 505 | ||||||
Nedbank Group Ltd. | 72,751 | 423 | |||||||
RMB Holdings Ltd. | 136,366 | 391 | |||||||
SPAR Group Ltd. | 34,967 | 333 | |||||||
Mr Price Group Ltd. | 45,515 | 324 | |||||||
Tiger Brands Ltd. | 29,901 | 291 | |||||||
NEPI Rockcastle plc | 66,034 | 283 | |||||||
Exxaro Resources Ltd. | 46,086 | 268 | |||||||
Woolworths Holdings Ltd. | 155,997 | 257 | |||||||
Life Healthcare Group Holdings Ltd. | 253,127 | 243 | |||||||
AVI Ltd. | 57,372 | 243 | |||||||
Netcare Ltd. | 265,681 | 223 | |||||||
Rand Merchant Investment Holdings Ltd. | 139,921 | 189 | |||||||
Kumba Iron Ore Ltd. | 9,590 | 181 | |||||||
Momentum Metropolitan Holdings | 185,000 | 173 | |||||||
Foschini Group Ltd. | 41,217 | 162 | |||||||
Barloworld Ltd. | 40,666 | 149 | |||||||
African Rainbow Minerals Ltd. | 19,430 | 142 | |||||||
Truworths International Ltd. | 79,746 | 126 | |||||||
Investec Ltd. | 59,788 | 125 | |||||||
* | Sappi Ltd. | 101,412 | 123 | ||||||
Santam Ltd. | 7,512 | 111 | |||||||
Assore Ltd. | 6,213 | 106 | |||||||
Coronation Fund Managers Ltd. | 50,185 | 98 | |||||||
JSE Ltd. | 15,454 | 86 | |||||||
Liberty Holdings Ltd. | 21,815 | 83 | |||||||
Reunert Ltd. | 30,570 | 66 | |||||||
Distell Group Holdings Ltd. | 15,365 | 66 | |||||||
* | Ninety One Ltd. | 30,097 | 63 | ||||||
Telkom SA SOC Ltd. | 54,539 | 60 | |||||||
MAS Real Estate Inc. | 90,343 | 52 | |||||||
Tsogo Sun Gaming Ltd. | 105,750 | 15 | |||||||
12,396 | |||||||||
South Korea (1.2%) | |||||||||
Samsung Electronics Co. Ltd. Preference Shares | 151,606 | 5,255 | |||||||
Shinhan Financial Group Co. Ltd. | 86,168 | 2,185 | |||||||
KB Financial Group Inc. | 70,946 | 2,030 | |||||||
KT&G Corp. | 20,205 | 1,349 | |||||||
Hana Financial Group Inc. | 51,708 | 1,180 | |||||||
SK Innovation Co. Ltd. | 10,509 | 848 | |||||||
SK Telecom Co. Ltd. ADR | 38,621 | 739 | |||||||
Woori Financial Group Inc. | 98,989 | 686 | |||||||
Coway Co. Ltd. | 10,267 | 520 | |||||||
S-Oil Corp. | 7,551 | 433 | |||||||
Industrial Bank of Korea | 49,459 | 322 | |||||||
DB Insurance Co. Ltd. | 8,675 | 317 | |||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 11,183 | 242 | |||||||
BNK Financial Group Inc. | 54,555 | 227 | |||||||
Cheil Worldwide Inc. | 13,341 | 195 | |||||||
NH Investment & Securities Co. Ltd. | 24,405 | 194 | |||||||
Hite Jinro Co. Ltd. | 5,646 | 151 | |||||||
Samsung Card Co. Ltd. | 5,849 | 145 | |||||||
DGB Financial Group Inc. | 28,091 | 122 | |||||||
KEPCO Plant Service & Engineering Co. Ltd. | 4,297 | 115 | |||||||
Ssangyong Cement Industrial Co. Ltd. | 19,061 | 80 | |||||||
* | Doosan Solus Co. Ltd. | 2,117 | 58 | ||||||
HDC Holdings Co. Ltd. | 6,847 | 52 | |||||||
Doosan Co. Ltd. | 1,059 | 35 | |||||||
* | Doosan Fuel Cell Co. Ltd. | 3,263 | 20 | ||||||
17,500 | |||||||||
Spain (2.8%) | |||||||||
Iberdrola SA | 1,089,254 | 10,836 | |||||||
Banco Santander SA (XMAD) | 2,942,299 | 6,574 |
37
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Banco Bilbao Vizcaya Argentaria SA | 1,216,973 | 3,978 | |||||||
Telefonica SA | 833,731 | 3,812 | |||||||
Repsol SA | 250,236 | 2,271 | |||||||
Ferrovial SA | 86,598 | 2,168 | |||||||
*,1 | Aena SME SA | 12,910 | 1,634 | ||||||
Red Electrica Corp. SA | 79,431 | 1,398 | |||||||
Endesa SA | 58,244 | 1,292 | |||||||
CaixaBank SA | 659,344 | 1,186 | |||||||
ACS Actividades de Construccion y Servicios SA | 44,478 | 1,112 | |||||||
Enagas SA | 45,735 | 1,068 | |||||||
Naturgy Energy Group SA | 54,721 | 967 | |||||||
Bankinter SA | 125,607 | 519 | |||||||
Banco de Sabadell SA | 1,045,263 | 433 | |||||||
Acciona SA | 3,800 | 377 | |||||||
Mapfre SA | 186,871 | 343 | |||||||
Bankia SA | 227,963 | 232 | |||||||
Zardoya Otis SA | 33,009 | 230 | |||||||
Banco Santander SA (XMEX) | 77,341 | 167 | |||||||
40,597 | |||||||||
Sweden (1.7%) | |||||||||
Investor AB Class B | 83,532 | 4,151 | |||||||
* | Volvo AB Class B | 275,792 | 3,534 | ||||||
* | Svenska Handelsbanken AB Class A | 269,586 | 2,461 | ||||||
Hennes & Mauritz AB Class B | 160,481 | 2,194 | |||||||
* | Swedbank AB Class A | 183,479 | 2,171 | ||||||
Skandinaviska Enskilda Banken AB Class A | 263,209 | 2,167 | |||||||
Telia Co. AB | 477,068 | 1,659 | |||||||
Tele2 AB | 98,125 | 1,265 | |||||||
* | Skanska AB Class B | 65,529 | 1,247 | ||||||
SKF AB | 70,202 | 1,108 | |||||||
^ | Boliden AB | 50,311 | 1,014 | ||||||
Kinnevik AB | 43,856 | 901 | |||||||
Castellum AB | 49,554 | 869 | |||||||
* | Svenska Handelsbanken AB Class B | 9,217 | 92 | ||||||
24,833 | |||||||||
Switzerland (3.3%) | |||||||||
Zurich Insurance Group AG | 27,224 | 8,631 | |||||||
UBS Group AG | 621,317 | 6,653 | |||||||
ABB Ltd. | 327,443 | 6,216 | |||||||
LafargeHolcim Ltd. | 92,070 | 3,824 | |||||||
SWISS RE AG | 50,898 | 3,699 | |||||||
SGS SA-REG | 1,092 | 2,463 | |||||||
Swisscom AG | 4,651 | 2,417 | |||||||
Swiss Life Holding AG | 6,069 | 2,152 | |||||||
Roche Holding AG (Bearer) | 4,900 | 1,702 | |||||||
Julius Baer Group Ltd. | 39,745 | 1,561 | |||||||
Kuehne & Nagel International AG | 9,208 | 1,317 | |||||||
Swiss Prime Site AG | 13,803 | 1,314 | |||||||
Baloise Holding AG | 8,514 | 1,274 | |||||||
Adecco Group AG | 28,025 | 1,226 | |||||||
PSP Swiss Property AG | 7,225 | 839 | |||||||
Helvetia Holding AG | 6,028 | 549 | |||||||
Pargesa Holding SA | 7,109 | 506 | |||||||
Banque Cantonale Vaudoise | 522 | 461 | |||||||
Flughafen Zurich AG | 3,451 | 427 | |||||||
Sulzer AG | 3,306 | 234 | |||||||
Dufry AG | 5,196 | 170 | |||||||
47,635 | |||||||||
Taiwan (7.2%) | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 4,405,953 | 44,446 | |||||||
Hon Hai Precision Industry Co. Ltd. | 2,188,000 | 5,623 | |||||||
MediaTek Inc. | 271,826 | 3,753 | |||||||
Formosa Plastics Corp. | 889,879 | 2,612 | |||||||
Nan Ya Plastics Corp. | 1,035,000 | 2,290 | |||||||
CTBC Financial Holding Co. Ltd. | 3,321,120 | 2,213 | |||||||
Uni-President Enterprises Corp. | 878,000 | 2,044 | |||||||
Cathay Financial Holding Co. Ltd. | 1,518,388 | 2,026 | |||||||
Mega Financial Holding Co. Ltd. | 1,992,000 | 2,004 | |||||||
Fubon Financial Holding Co. Ltd. | 1,348,000 | 1,906 | |||||||
Delta Electronics Inc. | 397,802 | 1,855 | |||||||
Chunghwa Telecom Co. Ltd. ADR | 46,840 | 1,724 | |||||||
Formosa Chemicals & Fibre Corp. | 627,000 | 1,588 | |||||||
China Steel Corp. | 2,272,000 | 1,522 | |||||||
First Financial Holding Co. Ltd. | 1,800,751 | 1,326 | |||||||
Taiwan Cement Corp. | 885,478 | 1,278 | |||||||
Yuanta Financial Holding Co. Ltd. | 2,054,000 | 1,171 | |||||||
Hua Nan Financial Holdings Co. Ltd. | 1,663,708 | 1,081 | |||||||
Taiwan Mobile Co. Ltd. | 296,000 | 1,066 | |||||||
Quanta Computer Inc. | 489,000 | 1,057 | |||||||
Catcher Technology Co. Ltd. | 135,672 | 1,028 | |||||||
Yageo Corp. | 72,000 | 932 |
38
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Asustek Computer Inc. | 129,268 | 874 | |||||||
Chailease Holding Co. Ltd. | 221,860 | 843 | |||||||
Chunghwa Telecom Co. Ltd. | 227,000 | 834 | |||||||
United Microelectronics Corp. ADR | 328,754 | 822 | |||||||
Pegatron Corp. | 366,000 | 803 | |||||||
Taishin Financial Holding Co. Ltd. | 1,855,310 | 789 | |||||||
SinoPac Financial Holdings Co. Ltd. | 1,924,641 | 783 | |||||||
Formosa Petrochemical Corp. | 250,000 | 750 | |||||||
Realtek Semiconductor Corp. | 87,000 | 745 | |||||||
ASE Technology Holding Co. Ltd. | 317,171 | 707 | |||||||
Far EasTone Telecommunications Co. Ltd. | 294,000 | 655 | |||||||
Novatek Microelectronics Corp. | 105,000 | 653 | |||||||
ASE Technology Holding Co. Ltd. ADR | 148,114 | 644 | |||||||
Far Eastern New Century Corp. | 721,000 | 626 | |||||||
Asia Cement Corp. | 425,000 | 624 | |||||||
Lite-On Technology Corp. | 389,194 | 605 | |||||||
Globalwafers Co. Ltd. | 39,000 | 496 | |||||||
Wistron Corp. | 513,656 | 482 | |||||||
Compal Electronics Inc. | 755,000 | 481 | |||||||
Pou Chen Corp. | 483,000 | 455 | |||||||
Inventec Corp. | 555,994 | 437 | |||||||
Foxconn Technology Co. Ltd. | 208,190 | 400 | |||||||
Vanguard International Semiconductor Corp. | 169,000 | 392 | |||||||
Feng TAY Enterprise Co. Ltd. | 68,400 | 389 | |||||||
Cheng Shin Rubber Industry Co. Ltd. | 337,994 | 389 | |||||||
Eclat Textile Co. Ltd. | 36,200 | 361 | |||||||
Synnex Technology International Corp. | 253,000 | 338 | |||||||
Nanya Technology Corp. | 151,000 | 324 | |||||||
Chicony Electronics Co. Ltd. | 111,370 | 314 | |||||||
Teco Electric and Machinery Co. Ltd. | 331,000 | 298 | |||||||
Formosa Taffeta Co. Ltd. | 195,000 | 222 | |||||||
Taiwan Fertilizer Co. Ltd. | 141,000 | 217 | |||||||
United Microelectronics Corp. | 365,000 | 189 | |||||||
Taiwan Secom Co. Ltd. | 53,000 | 157 | |||||||
Transcend Information Inc. | 52,000 | 123 | |||||||
§ | Yageo Corp. GDR | 2,000 | 102 | ||||||
Oriental Union Chemical Corp. | 136,000 | 77 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1,374 | 73 | |||||||
103,018 | |||||||||
Thailand (0.8%) | |||||||||
PTT PCL (Foreign) | 2,590,100 | 2,828 | |||||||
Siam Cement PCL (Foreign) | 147,350 | 1,565 | |||||||
Advanced Info Service PCL (Foreign) | 204,604 | 1,246 | |||||||
Siam Commercial Bank PCL (Foreign) | 410,300 | 857 | |||||||
PTT Exploration & Production PCL (Foreign) | 248,730 | 642 | |||||||
Intouch Holdings PCL (Foreign) | 312,706 | 512 | |||||||
Digital Telecommunications Infrastructure Fund | 922,897 | 451 | |||||||
PTT Global Chemical PCL | 361,099 | 416 | |||||||
Krung Thai Bank PCL (Foreign) | 1,232,100 | 414 | |||||||
Ratchaburi Electricity Generating Holding PCL (Foreign) | 149,200 | 305 | |||||||
Bangkok Bank PCL (Foreign) | 88,700 | 282 | |||||||
Thai Oil PCL (Foreign) | 203,000 | 254 | |||||||
Thai Union Frozen Products PCL (Foreign) | 523,100 | 211 | |||||||
Land & Houses PCL (Foreign) | 821,000 | 186 | |||||||
IRPC PCL (Foreign) | 1,931,900 | 158 | |||||||
Banpu PCL | 794,800 | 141 | |||||||
Delta Electronics Thailand PCL | 82,300 | 113 | |||||||
Intouch Holdings PCL NVDR | 50,600 | 83 | |||||||
Land & Houses PCL | 345,100 | 78 | |||||||
Siam Cement PCL | 7,200 | 77 | |||||||
Siam Commercial Bank PCL | 30,700 | 64 | |||||||
Siam City Cement PCL (Foreign) | 16,332 | 60 | |||||||
Intouch Holdings PCL | 32,400 | 53 | |||||||
10,996 |
39
International High Dividend Yield Index Fund
Market | |||||||||
Value• | |||||||||
Shares | ($000 | ) | |||||||
Turkey (0.2%) | |||||||||
* | Turkiye Garanti Bankasi AS | 381,395 | 455 | ||||||
* | Akbank TAS | 485,590 | 410 | ||||||
Turkcell Iletisim Hizmetleri AS | 197,748 | 394 | |||||||
Eregli Demir ve Celik Fabrikalari TAS | 258,048 | 298 | |||||||
* | Tupras Turkiye Petrol Rafinerileri AS | 21,977 | 285 | ||||||
* | Turkiye Is Bankasi AS | 260,768 | 185 | ||||||
* | Turk Telekomunikasyon AS | 103,485 | 109 | ||||||
Enka Insaat ve Sanayi AS | 122,973 | 107 | |||||||
Ford Otomotiv Sanayi AS | 11,710 | 106 | |||||||
* | Petkim Petrokimya Holding AS | 192,894 | 98 | ||||||
TAV Havalimanlari Holding AS | 34,939 | 91 | |||||||
Turkiye Sise ve Cam Fabrikalari AS | 123,662 | 86 | |||||||
Tekfen Holding AS | 36,475 | 74 | |||||||
Tofas Turk Otomobil Fabrikasi AS | 22,707 | 73 | |||||||
Iskenderun Demir ve Celik AS | 20,117 | 20 | |||||||
2,791 | |||||||||
United Arab Emirates (0.4%) | |||||||||
First Abu Dhabi Bank PJSC | 798,814 | 2,491 | |||||||
Emirates Telecommunications Group Co. PJSC | 320,552 | 1,347 | |||||||
Abu Dhabi Commercial Bank PJSC | 494,533 | 594 | |||||||
Aldar Properties PJSC | 712,383 | 348 | |||||||
Dubai Islamic Bank PJSC | 327,502 | 327 | |||||||
Abu Dhabi Islamic Bank PJSC | 169,827 | 165 | |||||||
Air Arabia PJSC | 447,116 | 138 | |||||||
Emaar Malls PJSC | 388,413 | 135 | |||||||
Dana Gas PJSC | 637,959 | 127 | |||||||
Dubai Investments PJSC | 388,932 | 126 | |||||||
* | DAMAC Properties Dubai Co. PJSC | 265,462 | 45 | ||||||
5,843 | |||||||||
United Kingdom (16.0%) | |||||||||
AstraZeneca plc | 241,086 | 25,216 | |||||||
HSBC Holdings plc | 3,720,122 | 19,121 | |||||||
GlaxoSmithKline plc | 900,054 | 18,778 | |||||||
British American Tobacco plc | 415,019 | 15,997 | |||||||
BP plc | 3,659,594 | 14,420 | |||||||
Royal Dutch Shell plc Class A | 757,833 | 12,477 | |||||||
Royal Dutch Shell plc Class B | 688,602 | 11,024 | |||||||
Unilever plc | 200,075 | 10,302 | |||||||
Rio Tinto plc | 201,977 | 9,376 | |||||||
National Grid plc | 638,725 | 7,485 | |||||||
Vodafone Group plc | 4,930,202 | 6,955 | |||||||
BHP Group plc | 382,032 | 6,412 | |||||||
Lloyds Banking Group plc | 12,839,775 | 5,195 | |||||||
Barclays plc | 3,154,203 | 4,212 | |||||||
Anglo American plc | 226,427 | 4,027 | |||||||
BAE Systems plc | 587,564 | 3,748 | |||||||
Glencore plc | 1,988,166 | 3,725 | |||||||
Imperial Brands plc | 174,965 | 3,681 | |||||||
SSE plc | 190,457 | 2,987 | |||||||
Legal & General Group plc | 1,086,431 | 2,793 | |||||||
Standard Chartered plc | 481,504 | 2,460 | |||||||
BT Group plc | 1,597,160 | 2,328 | |||||||
Aviva plc | 714,615 | 2,161 | |||||||
WPP plc | 219,829 | 1,706 | |||||||
Persimmon plc | 58,224 | 1,613 | |||||||
United Utilities Group plc | 125,474 | 1,420 | |||||||
Smurfit Kappa Group plc | 43,690 | 1,375 | |||||||
Severn Trent plc | 43,711 | 1,312 | |||||||
Polymetal International plc | 62,068 | 1,271 | |||||||
Barratt Developments plc | 185,252 | 1,208 | |||||||
Standard Life Aberdeen plc | 426,077 | 1,180 | |||||||
Royal Bank of Scotland Group plc | 834,198 | 1,164 | |||||||
Berkeley Group Holdings plc | 21,490 | 1,128 | |||||||
Admiral Group plc | 37,909 | 1,106 | |||||||
Taylor Wimpey plc | 598,081 | 1,105 | |||||||
Pennon Group plc | 77,187 | 1,063 | |||||||
St. James’s Place plc | 96,105 | 1,023 | |||||||
GVC Holdings plc | 106,432 | 1,010 | |||||||
Wm Morrison Supermarkets plc | 406,204 | 934 | |||||||
DS Smith plc | 234,274 | 919 | |||||||
Direct Line Insurance Group plc | 252,937 | 862 | |||||||
RSA Insurance Group plc | 189,339 | 858 | |||||||
Tate & Lyle plc | 86,134 | 772 | |||||||
Kingfisher plc | 387,662 | 769 | |||||||
Bellway plc | 22,651 | 758 |
40
International High Dividend Yield Index Fund
Market | |||||||
Value• | |||||||
Shares | ($000 | ) | |||||
J Sainsbury plc | 299,373 | 745 | |||||
Phoenix Group Holdings plc | 96,704 | 734 | |||||
Schroders plc | 20,480 | 684 | |||||
ITV plc | 686,009 | 659 | |||||
Centrica plc | 1,069,137 | 535 | |||||
IMI plc | 49,335 | 513 | |||||
Meggitt plc | 142,636 | 499 | |||||
Inchcape plc | 73,839 | 465 | |||||
Marks & Spencer Group plc | 358,778 | 418 | |||||
Carnival plc | 28,820 | 397 | |||||
Ashmore Group plc | 82,879 | 395 | |||||
G4S plc | 284,159 | 390 | |||||
Micro Focus International plc | 60,261 | 357 | |||||
Evraz plc | 100,632 | 333 | |||||
^ | Tui AG | 80,017 | 319 | ||||
John Wood Group plc | 122,277 | 310 | |||||
easyJet plc | 35,619 | 270 | |||||
Investec plc | 123,580 | 254 | |||||
Babcock International Group plc | 47,460 | 251 | |||||
International Consolidated Airlines Group SA (London Shares) | 81,201 | 226 | |||||
* | Virgin Money UK plc | 236,333 | 225 | ||||
British American Tobacco plc ADR | 4,220 | 161 | |||||
Cineworld Group plc | 188,052 | 155 | |||||
* | Ninety One plc | 58,931 | 126 | ||||
228,857 | |||||||
Total Common Stocks | |||||||
(Cost $1,829,664) | 1,423,578 | ||||||
Temporary Cash Investments (2.0%) | |||||||
Money Market Fund (2.0%) | |||||||
2,3 | Vanguard Market Liquidity Fund, 0.522% | 287,194 | 28,719 | ||||
Face | Market | ||||||
Amount | Value• | ||||||
($000 | ) | ($000 | ) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||||
United States Cash Management Bill, 0.116%, 9/29/20 | 250 | 250 | |||||
4 | United States Treasury Bill, 1.551%, 5/14/20 | 150 | 150 | ||||
400 | |||||||
Total Temporary Cash Investments | |||||||
(Cost $29,112) | 29,119 | ||||||
Total Investments (101.6%) | |||||||
(Cost $1,858,776) | 1,452,697 | ||||||
Other Assets and Liabilities—Net (-1.6%)3,4 | (22,733 | ) | |||||
Net Assets (100%) | 1,429,964 |
Cost rounded to $000.
• | See Note A in Notes to Financial Statements. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $26,585,000. |
* | Non-income-producing security. |
§ | 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 April 30, 2020, the aggregate value of these securities was $12,548,000, representing 0.9% 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 $28,709,000 was received for securities on loan. |
4 | Securities with a value of $150,000 and cash of $336,000 have been segregated as initial margin for open futures contracts. |
ADR—American Depositary Receipt. | |
GDR—Global Depositary Receipt. | |
NVDR—Non-Voting Depository Receipt. |
41
International High Dividend Yield 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 | |||||||||||
E-mini S&P 500 Index | June 2020 | 40 | 5,805 | 644 | |||||||
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 | 2,277 | JPY | 245,218 | — | (10 | ) |
JPY—Japanese yen.
See accompanying Notes, which are an integral part of the Financial Statements.
42
International High Dividend Yield Index Fund
Statement of Assets and Liabilities
As of April 30, 2020
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,830,064) | 1,423,978 |
Affiliated Issuers (Cost $28,712) | 28,719 |
Total Investments in Securities | 1,452,697 |
Investment in Vanguard | 70 |
Cash Collateral Pledged—Futures Contracts | 336 |
Foreign Currency, at Value (Cost $3,011) | 3,047 |
Receivables for Accrued Income | 7,768 |
Receivables for Capital Shares Issued | 237 |
Total Assets | 1,464,155 |
Liabilities | |
Due to Custodian | 4,942 |
Payables for Investment Securities Purchased | 170 |
Collateral for Securities on Loan | 28,709 |
Payables for Capital Shares Redeemed | 99 |
Payables to Vanguard | 184 |
Variation Margin Payable—Futures Contracts | 77 |
Unrealized Depreciation—Forward Currency Contracts | 10 |
Total Liabilities | 34,191 |
Net Assets | 1,429,964 |
At April 30, 2020, net assets consisted of: | |
Paid-in Capital | 1,829,757 |
Total Distributable Earnings (Loss) | (399,793) |
Net Assets | 1,429,964 |
ETF Shares—Net Assets | |
Applicable to 24,241,411 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,170,569 |
Net Asset Value Per Share—ETF Shares | $48.29 |
Admiral Shares—Net Assets | |
Applicable to 11,088,757 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 259,395 |
Net Asset Value Per Share—Admiral Shares | $23.39 |
See accompanying Notes, which are an integral part of the Financial Statements.
43
International High Dividend Yield Index Fund
Statement of Operations
Six Months Ended | |
April 30, 2020 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 26,170 |
Interest2 | 46 |
Securities Lending—Net | 128 |
Total Income | 26,344 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 115 |
Management and Administrative—ETF Shares | 1,408 |
Management and Administrative—Admiral Shares | 244 |
Marketing and Distribution—ETF Shares | 45 |
Marketing and Distribution—Admiral Shares | 8 |
Custodian Fees | 288 |
Shareholders’ Reports—ETF Shares | 19 |
Shareholders’ Reports—Admiral Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,129 |
Expenses Paid Indirectly | (79) |
Net Expenses | 2,050 |
Net Investment Income | 24,294 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 2,671 |
Futures Contracts | (602) |
Forward Currency Contracts | 38 |
Foreign Currencies | (268) |
Realized Net Gain (Loss) | 1,839 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (379,575) |
Futures Contracts | 535 |
Forward Currency Contracts | (20) |
Foreign Currencies | (6) |
Change in Unrealized Appreciation (Depreciation) | (379,066) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (352,933) |
1 | Dividends are net of foreign withholding taxes of $2,382,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $42,000, $17,000, and $7,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $4,817,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
International High Dividend Yield Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||
April 30, | October 31, | ||
2020 | 2019 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 24,294 | 57,030 | |
Realized Net Gain (Loss) | 1,839 | 1,260 | |
Change in Unrealized Appreciation (Depreciation) | (379,066) | 49,570 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (352,933) | 107,860 | |
Distributions1 | |||
Investor Shares | — | (149) | |
ETF Shares | (19,277) | (46,829) | |
Admiral Shares | (3,369) | (8,233) | |
Total Distributions | (22,646) | (55,211) | |
Capital Share Transactions | |||
Investor Shares | — | (8,751) | |
ETF Shares | 221,331 | 329,989 | |
Admiral Shares | 121,282 | 10,466 | |
Net Increase (Decrease) from Capital Share Transactions | 342,613 | 331,704 | |
Total Increase (Decrease) | (32,966) | 384,353 | |
Net Assets | |||
Beginning of Period | 1,462,930 | 1,078,577 | |
End of Period | 1,429,964 | 1,462,930 |
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.
45
International High Dividend Yield Index Fund
Financial Highlights
ETF Shares
Six Months | Feb. 25, | ||||
Ended | 20161 to | ||||
April 30, | Oct. 31, | ||||
For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
Net Asset Value, Beginning of Period | $61.27 | $58.85 | $65.69 | $55.61 | $50.00 |
Investment Operations | |||||
Net Investment Income2 | .899 | 2.746 | 2.639 | 2.329 | 1.323 |
Net Realized and Unrealized Gain (Loss) on Investments3 | (13.041) | 2.302 | (7.097) | 9.763 | 5.305 |
Total from Investment Operations | (12.142) | 5.048 | (4.458) | 12.092 | 6.628 |
Distributions | |||||
Dividends from Net Investment Income | (.838) | (2.628) | (2.382) | (2.012) | (1.018) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.838) | (2.628) | (2.382) | (2.012) | (1.018) |
Net Asset Value, End of Period | $48.29 | $61.27 | $58.85 | $65.69 | $55.61 |
Total Return | -19.93% | 8.87% | -7.03% | 22.03% | 13.37% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,171 | $1,264 | $889 | $598 | $117 |
Ratio of Total Expenses to Average Net Assets | 0.28%4 | 0.27% | 0.32% | 0.32% | 0.32%5,6 |
Ratio of Net Investment Income to Average Net Assets | 3.15% | 4.59% | 4.06% | 3.73% | 3.65%5 |
Portfolio Turnover Rate7 | 2% | 15% | 10% | 8% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Includes increases from purchase and redemption fees of of $.03 for 2020, $.01 for 2019, $.02 for 2018, and $.04 for 2017. |
4 | The ratio of expense to average net assets for the period net of reduction from custody fee offset arrangements was 0.27%. |
5 | Annualized. |
6 | The ratio of total expenses to average net assets before an expense reimbursement of 0.31% was 0.63%. The expense reimburse-ment was due to higher-than-anticipated custody costs associated with a higher volume of securities transactions, which included transactions from a rebalance of the benchmark index shortly after the fund’s inception. The fund is not obligated to repay this amount to Vanguard. |
7 | 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.
46
International High Dividend Yield Index Fund
Financial Highlights
Admiral Shares
Six Months | March 2, | |||||
Ended | Year Ended October 31, | 20161 to | ||||
April 30, | Oct. 31, | |||||
For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $29.69 | $28.52 | $31.83 | $26.92 | $25.00 | |
Investment Operations | ||||||
Net Investment Income2 | .451 | 1.322 | 1.264 | 1.114 | .597 | |
Net Realized and Unrealized Gain (Loss) on Investments3 | (6.342) | 1.120 | (3.423) | 4.743 | 1.817 | |
Total from Investment Operations | (5.891) | 2.442 | (2.159) | 5.857 | 2.414 | |
Distributions | ||||||
Dividends from Net Investment Income | (.409) | (1.272) | (1.151) | (.947) | (.494) | |
Distributions from Realized Capital Gains | — | — | — | — | — | |
Total Distributions | (.409) | (1.272) | (1.151) | (.947) | (.494) | |
Net Asset Value, End of Period | $23.39 | $29.69 | $28.52 | $31.83 | $26.92 | |
Total Return4 | -19.97%5 | 8.83%5 | -7.00%5 | 22.04%5 | 9.73% | |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $259 | $199 | $181 | $168 | $84 | |
Ratio of Total Expenses to Average Net Assets | 0.28%6 | 0.27% | 0.32% | 0.32% | 0.32%7,8 | |
Ratio of Net Investment Income to Average Net Assets | 3.35% | 4.57% | 4.06% | 3.73% | 3.65%7 | |
Portfolio Turnover Rate9 | 2% | 15% | 10% | 8% | 6% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Includes increases from purchase and redemption fees of $.01 for 2020, $.01 for 2019, $.01 for 2018, and $.02 for 2017. |
4 | 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. |
5 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
6 | The ratio of expense to average net assets for the period net of reduction from custody fee offset arrangements was 0.27%. |
7 | Annualized. |
8 | The ratio of total expenses to average net assets before an expense reimbursement of 0.31% was 0.63%. The expense reimburse-ment was due to higher-than-anticipated custody costs associated with a higher volume of securities transactions, which included transactions from a rebalance of the benchmark index shortly after the fund’s inception. The fund is not obligated to repay this amount to Vanguard. |
9 | 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.
47
International High Dividend Yield Index Fund
Notes to Financial Statements
Vanguard International High Dividend Yield Index 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: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; 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 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
48
International High Dividend Yield Index Fund
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 April 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.
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.
49
International High Dividend Yield Index Fund
The fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 (October 31, 2016–2019), and for the period ended April 30, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. 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 counter-party 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.
8. 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, effective May 2020, 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.
50
International High Dividend Yield Index Fund
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 April 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. 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. Fees assessed on capital share transactions are credited to paid-in capital.
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. Foreign capital gains tax is accrued daily based upon net unrealized gains. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities, and subsequently, in May 2020, such liability was fully paid to Vanguard. All other costs of operations payable to Vanguard are generally settled twice a month.
51
International High Dividend Yield Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At April 30, 2020, the fund had contributed to Vanguard capital in the amount of $70,000, representing less than 0.01% of the fund’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended April 30, 2020, custodian fee offset arrangements reduced the fund’s expenses by $79,000 (an annual rate of 0.01% of average net assets).
D. 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 April 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—North and South America | 128,921 | — | — | 128,921 | ||||
Common Stocks—Other | 5,128 | 1,289,427 | 102 | 1,294,657 | ||||
Temporary Cash Investments | 28,719 | 400 | — | 29,119 | ||||
Total | 162,768 | 1,289,827 | 102 | 1,452,697 | ||||
Derivative Financial Instruments | ||||||||
Liabilities | ||||||||
Futures Contracts1 | 77 | — | — | 77 | ||||
Forward Currency Contracts | — | 10 | — | 10 | ||||
Total | 77 | 10 | — | 87 |
1 Represents variation margin on the last day of the reporting period.
52
International High Dividend Yield Index Fund
E. At April 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Foreign | |||||||
Equity | Exchange | ||||||
Contracts | Contracts | Total | |||||
Statement of Assets and Liabilities Caption | ($000 | ) | ($000 | ) | ($000 | ) | |
Variation Margin Payable—Futures Contracts | 77 | — | 77 | ||||
Unrealized Depreciation—Forward Currency Contracts | — | 10 | 10 | ||||
Total Liabilities | 77 | 10 | 87 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended April 30, 2020, were:
Foreign | |||||||
Equity | Exchange | ||||||
Contracts | Contracts | Total | |||||
Realized Net Gain (Loss) on Derivatives | ($000 | ) | ($000 | ) | ($000 | ) | |
Futures Contracts | (602 | ) | — | (602 | ) | ||
Forward Currency Contracts | — | 38 | 38 | ||||
Realized Net Gain (Loss) on Derivatives | (602 | ) | 38 | (564 | ) | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||||||
Futures Contracts | 535 | — | 535 | ||||
Forward Currency Contracts | — | (20 | ) | (20 | ) | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives | 535 | (20 | ) | 515 |
F. As of April 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 | 1,860,432 | ||
Gross Unrealized Appreciation | 56,934 | ||
Gross Unrealized Depreciation | (464,035 | ) | |
Net Unrealized Appreciation (Depreciation) | (407,101 | ) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at October 31, 2019, the fund had available capital losses totaling $3,605,000 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 October 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
53
International High Dividend Yield Index Fund
G. During the six months ended April 30, 2020, the fund purchased $413,912,000 of investment securities and sold $67,823,000 of investment securities, other than temporary cash investments. Purchases and sales include $219,392,000 and $42,888,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
H. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | ||||||||
April 30, 2020 | October 31, 2019 | ||||||||
Amount | Shares | Amount | Shares | ||||||
($000 | ) | (000 | ) | ($000 | ) | (000 | ) | ||
Investor Shares | |||||||||
Issued1 | — | — | 452 | 19 | |||||
Issued in Lieu of Cash Distributions | — | — | 140 | 6 | |||||
Redeemed2,3 | — | — | (9,343 | ) | (388 | ) | |||
Net Increase (Decrease)—Investor Shares | — | — | (8,751 | ) | (363 | ) | |||
ETF Shares | |||||||||
Issued1 | 270,736 | 4,705 | 329,989 | 5,526 | |||||
Issued in Lieu of Cash Distributions | — | — | — | — | |||||
Redeemed2 | (49,405 | ) | (1,100 | ) | — | — | |||
Net Increase (Decrease)—ETF Shares | 221,331 | 3,605 | 329,989 | 5,526 | |||||
Admiral Shares | |||||||||
Issued1,3 | 148,236 | 5,443 | 50,620 | 1,746 | |||||
Issued in Lieu of Cash Distributions | 2,291 | 89 | 6,920 | 243 | |||||
Redeemed2 | (29,245 | ) | (1,133 | ) | (47,074 | ) | (1,635 | ) | |
Net Increase (Decrease)—Admiral Shares | 121,282 | 4,399 | 10,466 | 354 |
1 | Includes purchase fees for fiscal 2020 and 2019 of $663,000 and $193,000, respectively (fund totals). |
2 | Net of redemption fees for fiscal 2020 and 2019 of $72,000 and $102,000, respectively (fund totals). |
3 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 316,000 and 261,000 shares, respectively, in the amount ofok $7,630,000 from the conversion during the year ended October 31, 2019. |
I. Management has determined that no other events or transactions occurred subsequent to April 30, 2020, that would require recognition or disclosure in these financial statements.
54
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard International Dividend Appreciation Index Fund and Vanguard International High Dividend Yield Index Fund has renewed the funds’ investment advisory arrangements with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. 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 the investment management services provided to the funds since their inceptions in 2016, 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 arrangements.
Investment performance
The board considered each fund’s performance since its inception, 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 arrangements should continue.
55
Cost
The board concluded that the funds’ expense ratios were well below the average expense ratios charged by funds in their respective peer groups and that the funds’ advisory expenses were also well below their peer-group averages.
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.
56
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 Invest-ment 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 Whitehall Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard International Dividend Appreciation Index Fund and Vanguard International High Dividend Yield Index 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.
57
Connect with Vanguard® > vanguard.com | |
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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. | |
Q20152 062020 |
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.
Not applicable.
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 March 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard High Dividend Yield Index Fund that are subject to Vanguard’s oversight. 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.
(a) | Certifications. |
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 WHITEHALL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: June 18, 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 WHITEHALL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: June 18, 2020
VANGUARD WHITEHALL FUNDS
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: June 18, 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.