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: 811-00121
Name of Registrant: |
| Vanguard Wellington Fund |
Address of Registrant: |
| P.O. Box 2600 |
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| Valley Forge, PA 19482 |
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Name and address of agent for service: |
| Anne E. Robinson, Esquire |
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| P.O. Box 876 |
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| Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: November 30
Date of reporting period: December 1, 2017—November 30, 2018
Item 1: Reports to Shareholders
Annual Report | November 30, 2018
Vanguard WellingtonTM Fund
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See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents |
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A Note From Our CEO | 1 |
Your Fund’s Performance at a Glance | 2 |
Advisor’s Report | 3 |
About Your Fund’s Expenses | 7 |
Performance Summary | 9 |
Financial Statements | 12 |
Trustees Approve Advisory Arrangement | 37 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
December 18, 2018
Your Fund’s Performance at a Glance
· For the 12 months ended November 30, 2018, Vanguard Wellington Fund returned 2.80% for Investor Shares and 2.88% for Admiral™ Shares. It lagged the return of its benchmark index.
· The broadly diversified fund has about 65% of its assets invested in stocks and 35% in bonds.
· The stock portfolio returned 5.44%, behind the 6.27% return of its benchmark, the Standard & Poor’s 500 Index. Communication services, real estate, and consumer staples contributed the most to relative performance. Financials and consumer discretionary detracted.
· The fixed income portfolio returned –1.93%, above the –2.39% return of its benchmark, the Bloomberg Barclays U.S. Credit A or Better Bond Index. It benefited on a relative basis from strong corporate bond selection in the industrial sector but was held back somewhat by its positioning in other credits.
Market Barometer |
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| Average Annual Total Returns |
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| Periods Ended November 30, 2018 |
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| One Year |
| Three Years |
| Five Years |
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Stocks |
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Russell 1000 Index (Large-caps) |
| 5.92% |
| 11.94% |
| 10.89% |
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Russell 2000 Index (Small-caps) |
| 0.57 |
| 10.08 |
| 7.50 |
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Russell 3000 Index (Broad U.S. market) |
| 5.53 |
| 11.80 |
| 10.62 |
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FTSE All-World ex US Index (International) |
| -7.98 |
| 5.59 |
| 2.17 |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index |
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(Broad taxable market) |
| -1.34% |
| 1.33% |
| 2.03% |
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Bloomberg Barclays Municipal Bond Index |
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(Broad tax-exempt market) |
| 1.13 |
| 2.13 |
| 3.52 |
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FTSE Three-Month U.S. Treasury Bill Index |
| 1.76 |
| 0.92 |
| 0.55 |
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CPI |
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Consumer Price Index |
| 2.18% |
| 2.02% |
| 1.58% |
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Advisor’s Report
Vanguard Wellington Fund’s Investor Shares returned 2.80% for the 12 months ended November 30, 2018. The fund beat the –0.15% average return of its peers. The index is weighted 65% large-capitalization stocks (as measured by the Standard & Poor’s 500 Index) and 35% high-quality corporate bonds (as measured by the Bloomberg Barclays U.S. Credit A or Better Bond Index). The equity portfolio trailed its benchmark, while the fixed income portfolio outperformed.
Investment environment
Stock markets in the United States did better than those abroad. The S&P 500 Index returned 6.27%, the MSCI World Index returned 0.68%, and the MSCI EAFE Index returned –7.94%.
Despite continued uncertainty in Washington and heightened U.S. tensions with Russia, China, and North Korea, strong employment data and corporate earnings helped propel the market to new highs during the first half of the fiscal year. Positive sentiment persisted for much of the summer, fueled by robust earnings growth, fiscal stimulus, the announcement of a preliminary trade deal between the United States and Mexico, and expectations for relatively stronger U.S. economic growth.
In the United States, large-cap growth stocks outpaced large-cap value stocks, as measured by the Russell 1000 Growth and Russell 1000 Value Indexes. The Federal Reserve raised its benchmark interest rate by 25 basis points four times during the 12 months, in line with expectations.
Concerns surrounding slowing global growth, rich valuations, and volatile U.S.-China trade relations weighed heavily on investor confidence.
The broad fixed income markets experienced extended volatility, particularly in the second half of the fiscal year, and generated negative total returns. The Bloomberg Barclays U.S. Aggregate Bond Index returned –1.34% for the year. The higher-quality credit market lagged this index: The Bloomberg Barclays U.S. Credit A or Better Bond Index returned –2.39%. The yield on the 10-year U.S. Treasury note rose, beginning at 2.41% and ending at 2.99%.
Our successes
Stock selection was positive overall, helped most by the communication services and information technology sectors. Within communication services, an overweight to Verizon Communications and not holding benchmark constituent Facebook boosted performance. In information technology, our position in Microsoft and not owning NVIDIA helped. In terms of sector allocation, our underweight to real estate was positive.
Our avoidance of Facebook, the U.S.-based social networking platform operator, was the top relative contributor. Its share price suffered because of concerns about privacy and potential regulatory and reputational risk. In addition, the company reported a slowdown in revenue growth and provided disappointing forward guidance in connection with quarterly
earnings. We are monitoring Facebook’s performance closely but believe the risks outweigh the potential benefits.
Verizon, the U.S.-based communications technology company, reduced its capital expenditure guidance and reported strong quarterly results, with earnings per share ahead of estimates. The stock has also been strong as the market anticipates the launch of 5G fixed wireless service. We are maintaining our position and believe that the company is a market leader in an industry experiencing reduced competitive intensity. We expect this to continue and believe the valuation allows for further upside.
Our lack of holdings in General Electric, a U.S.-based multinational conglomerate operating in the technology infrastructure, capital finance, and consumer/industrial products industries, also helped. The company had a series of disappointing earnings results driven primarily by misses in the power segment. We eliminated our modest position at the beginning of the period.
In the fixed income portfolio, our short duration/yield curve positioning added the most as rates rose across the curve, particularly at the front end. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) Our underweight to investment-grade credit also boosted relative returns. In investment-grade corporates, our allocation to and security selection in industrials helped. Out-of-benchmark allocations to collateralized loan obligations, commercial mortgage-backed securities, and agency mortgage-backed securities further aided performance.
Our shortfalls
In the stock portfolio, our selection was weakest in financials and consumer discretionary. Sector allocation overall detracted from performance; our overweight to financials and underweight to consumer discretionary were the most costly. In financials, the most notable laggards were insurance companies, including Prudential, Chubb, and American International Group. In consumer discretionary, not holding benchmark constituent Amazon.com also hurt. Bristol-Myers Squibb was another top relative detractor.
Amazon outperformed based on strong earnings results attributable to continued market share gains and improving profitability. While we saw some weakness toward the end of the period, we believe the current valuation reflects significant optimism about the trajectory and predictability of future growth. Amazon is a high price-to-earnings non-yielder and, despite being an impressive company, is taking on increasingly complicated end-markets and so does not fit our investment approach. We also believe it may face increasing regulation in the future.
Shares of Prudential, the U.S. life insurance and financial services company, detracted despite higher earnings estimates. The stock fell along with that of other insurers on concerns over potential
charges associated with long-term care insurance and the fear of economic recession. While we foresee some slowdown in economic growth, we do not expect a recession. We believe Prudential’s strong cash flow, cost cutting, and share repurchase plans will provide upside to an attractive valuation.
Pharmaceutical company Bristol-Myers Squibb underperformed after reporting disappointing drug trial results. However, we expect many more trials and data points that will support its strong position in immuno-oncology. Although competition may increase, we expect the company to remain a leader, with a significant share of a market that is potentially larger than we initially believed. Additionally, we believe Bristol-Myers’ combination therapies will continue to revolutionize cancer treatment.
On the fixed income side, security selection in investment-grade corporate bonds, specifically those of utilities and financial institutions, detracted from performance. Our allocations to supranationals and local agencies, as well as a small out-of-benchmark allocation to Treasury inflation-protected securities, also hurt.
The fund’s positioning
Investors are currently being buffeted by many crosscurrents. On the positive side, we have strong employment, less regulation, lower taxes, and generally strong business and consumer confidence. On the negative side are concerns over potential trade wars and a housing slowdown attributable to higher rates and tax law changes.
We believe housing will eventually regain strength as wages rise and price increases moderate. We expect economic growth to remain healthy but progress at a slower pace than in 2018. The volatility we experienced at the end of the fiscal year will be more common in the year ahead, and as a result we expect valuation and stability to garner greater attention.
At the end of the period, our largest sector overweights were to financials, energy, and utilities. Within financials, we continue to favor banks and insurers, where large companies are gaining share from smaller competitors and costs are well-controlled.
Our greatest underweights were in information technology and consumer discretionary. A combination of low-to-moderate dividend yields and fair-to-premium valuations tends to produce fewer opportunities for our investment approach in these sectors than in other areas of the market.
Over the course of the year, we initiated new positions in companies including Simon Property Group, Halliburton, and Deere & Company. We eliminated holdings in Honeywell, Johnson & Johnson, and 21st Century Fox, among others.
We continue to rely on our process and philosophy as we construct the fund. We maintain a portfolio of what we believe to be reasonably valued, resilient businesses with favorable industry and competitive dynamics. We remain cautiously optimistic about the investment outlook and our current holdings.
On the fixed income side, we are taking a cautious view of risk assets through reduced exposure to corporate bonds and, within them, a bias toward higher quality and lower volatility. Much of the rise in short-term rates is behind us and the rest appears fairly priced. Amid increased uncertainty, we have limited our interest rate risk relative to the benchmark and reduced our short-duration positioning to neutral.
Credit remains the main focus of our fixed income portfolio. U.S. investment-grade corporates have underperformed this year because of increased volatility, weaker overseas demand, and continued headline risk. We are underweight corporate credit relative to the all-credit benchmark. However, we favor higher-quality, less-cyclical sectors and expect our positioning to benefit from the effects of tax reform, deregulation, and fiscal stimulus.
We favor U.S. financials and utilities, which we view as attractively valued and likely to gain when the cycle turns. We have an overweight to taxable municipal bonds for their diversification benefit. We have a modest out-of-benchmark allocation to agency mortgage-backed security pass-throughs, where valuations are attractive.
Despite the prolonged economic cycle and persistently good earnings from the corporate sector, we view the credit cycle as mature. We believe most of the narrowing of spreads (of corporates as compared with Treasuries) is behind us.
We continue to be disciplined in the application of our investment process, which allows us to create a balanced portfolio that we believe should perform well in a variety of environments. We remain focused on long-term, low-turnover investing—features that we believe have served the fund’s shareholders well over time.
Edward P. Bousa, CFA,
Senior Managing Director and
Equity Portfolio Manager
John C. Keogh,
Senior Managing Director and Fixed
Income Portfolio Manager
Loren L. Moran, CFA,
Managing Director and Fixed Income
Portfolio Manager
Michael E. Stack, CFA,
Senior Managing Director and Fixed
Income Portfolio Manager
Wellington Management Company LLP
December 17, 2018
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended November 30, 2018 |
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Wellington Fund | Beginning | Ending | Expenses |
Based on Actual Fund Return |
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Investor Shares | $1,000.00 | $1,025.75 | $1.27 |
Admiral Shares | 1,000.00 | 1,026.09 | 0.86 |
Based on Hypothetical 5% Yearly Return |
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Investor Shares | $1,000.00 | $1,023.82 | $1.27 |
Admiral Shares | 1,000.00 | 1,024.22 | 0.86 |
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 Investor Shares and 0.17% 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 (183/365).
Wellington Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: November 30, 2008, Through November 30, 2018
Initial Investment of $10,000
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| Average Annual Total Returns |
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| Periods Ended November 30, 2018 |
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| Final Value |
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| One |
| Five |
| Ten |
| of a $10,000 |
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| Year |
| Years |
| Years |
| Investment |
| Wellington Fund Investor Shares |
| 2.80% |
| 7.59% |
| 10.84% |
| $27,991 | |
| Wellington Composite Index |
| 3.30 |
| 8.19 |
| 11.26 |
| 29,065 | |
| Bloomberg Barclays U.S. Aggregate Bond Index |
| -1.34 |
| 2.03 |
| 3.67 |
| 14,336 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index |
| 5.50 |
| 10.56 |
| 14.53 |
| 38,847 |
Wellington Composite Index: 65% S&P 500 Index and 35% Lehman U.S. Long Credit AA or Better Bond Index through February 29, 2000; 65% S&P 500 Index and 35% Bloomberg Barclays U.S. Credit A or Better Bond Index thereafter.
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| Final Value |
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| One |
| Five |
| Ten |
| of a $50,000 |
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| Year |
| Years |
| Years |
| Investment |
Wellington Fund Admiral Shares |
| 2.88% |
| 7.68% |
| 10.93% |
| $141,092 | ||
Wellington Composite Index |
| 3.30 |
| 8.19 |
| 11.26 |
| 145,326 | ||
Bloomberg Barclays U.S. Aggregate Bond Index |
| -1.34 |
| 2.03 |
| 3.67 |
| 71,682 | ||
Dow Jones U.S. Total Stock Market Float Adjusted Index |
| 5.50 |
| 10.56 |
| 14.53 |
| 194,237 |
See Financial Highlights for dividend and capital gains information.
Wellington Fund
Average Annual Total Returns: Periods Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
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| Ten Years |
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| Inception Date |
| One Year |
| Five Years |
| Income |
| Capital |
| Total |
Investor Shares |
| 7/1/1929 |
| 8.28% |
| 9.04% |
| 3.01% |
| 6.39% |
| 9.40% |
Admiral Shares |
| 5/14/2001 |
| 8.35 |
| 9.12 |
| 3.10 |
| 6.39 |
| 9.49 |
Wellington Fund
Sector Diversification
As of November 30, 2018
Equity Exposure |
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Communication Services |
| 9.6 | % |
Consumer Discretionary |
| 4.0 |
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Consumer Staples |
| 6.7 |
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Energy |
| 8.7 |
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Financials |
| 22.7 |
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Health Care |
| 16.0 |
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Industrials |
| 9.8 |
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Information Technology |
| 11.6 |
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Materials |
| 3.4 |
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Real Estate |
| 2.6 |
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Utilities |
| 4.9 |
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The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. 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.
Fixed Income Exposure |
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Asset-Backed |
| 4.1 | % |
Commercial Mortgage-Backed |
| 0.6 |
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Finance |
| 26.4 |
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Foreign |
| 6.2 |
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Government Mortgage-Backed |
| 1.9 |
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Industrial |
| 30.6 |
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Treasury/Agency |
| 17.4 |
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Utilities |
| 7.6 |
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Other |
| 5.2 |
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The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
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.
Wellington Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of November 30, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
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| Market |
| Percentage |
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| Value· |
| of Net |
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| Shares |
| ($000) |
| Assets |
Common Stocks |
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Communication Services |
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Verizon Communications Inc. |
| 42,295,368 |
| 2,550,411 |
| 2.5% |
* Alphabet Inc. Class A |
| 1,635,879 |
| 1,815,253 |
| 1.8% |
Comcast Corp. Class A |
| 42,404,884 |
| 1,654,214 |
| 1.6% |
Communication Services—Other † |
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| 355,946 |
| 0.3% |
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| 6,375,824 |
| 6.2% |
Consumer Discretionary |
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Lowe’s Cos. Inc. |
| 6,340,097 |
| 598,315 |
| 0.6% |
Consumer Discretionary—Other † |
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| 2,095,294 |
| 2.0% |
|
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| 2,693,609 |
| 2.6% |
Consumer Staples |
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PepsiCo Inc. |
| 7,878,517 |
| 960,706 |
| 0.9% |
Unilever NV |
| 12,546,124 |
| 696,242 |
| 0.7% |
Sysco Corp. |
| 8,507,469 |
| 573,403 |
| 0.5% |
Consumer Staples—Other † |
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| 2,224,035 |
| 2.2% |
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| 4,454,386 |
| 4.3% |
Energy |
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Chevron Corp. |
| 15,112,060 |
| 1,797,428 |
| 1.7% |
Exxon Mobil Corp. |
| 13,679,891 |
| 1,087,551 |
| 1.0% |
ConocoPhillips |
| 9,007,321 |
| 596,105 |
| 0.6% |
^ Suncor Energy Inc. |
| 18,175,851 |
| 586,049 |
| 0.6% |
Energy—Other † |
|
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| 1,725,087 |
| 1.7% |
|
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| 5,792,220 |
| 5.6% |
Financials |
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JPMorgan Chase & Co. |
| 21,525,538 |
| 2,393,425 |
| 2.3% |
Bank of America Corp. |
| 76,323,330 |
| 2,167,583 |
| 2.1% |
Chubb Ltd. |
| 10,420,692 |
| 1,393,663 |
| 1.4% |
Prudential Financial Inc. |
| 13,348,138 |
| 1,251,521 |
| 1.2% |
PNC Financial Services Group Inc. |
| 8,005,552 |
| 1,086,994 |
| 1.1% |
Intercontinental Exchange Inc. |
| 10,197,166 |
| 8 33,312 |
| 0.8% |
Northern Trust Corp. |
| 6,964,627 |
| 691,100 |
| 0.7% |
Wellington Fund
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| Market |
| Percentage |
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| Value· |
| of Net |
|
| Shares |
| ($000) |
| Assets |
Citigroup Inc. |
| 9,690,138 |
| 627,824 |
| 0.6% |
BlackRock Inc. |
| 1,413,215 |
| 604,870 |
| 0.6% |
American International Group Inc. |
| 13,584,382 |
| 587,525 |
| 0.6% |
Financials—Other † |
|
|
| 3,496,167 |
| 3.4% |
|
|
|
| 15,133,984 |
| 14.8% |
Health Care |
|
|
|
|
|
|
AstraZeneca plc ADR |
| 32,460,280 |
| 1,292,568 |
| 1.3% |
Bristol-Myers Squibb Co. |
| 24,056,304 |
| 1,286,050 |
| 1.3% |
Pfizer Inc. |
| 26,280,551 |
| 1,214,950 |
| 1.2% |
Merck & Co. Inc. |
| 14,582,142 |
| 1,156,947 |
| 1.1% |
Medtronic plc |
| 11,649,050 |
| 1,136,132 |
| 1.1% |
UnitedHealth Group Inc. |
| 3,800,444 |
| 1,069,293 |
| 1.0% |
CVS Health Corp. |
| 10,655,600 |
| 854,579 |
| 0.8% |
Novartis AG |
| 9,300,971 |
| 849,192 |
| 0.8% |
Eli Lilly & Co. |
| 6,237,996 |
| 740,076 |
| 0.7% |
Abbott Laboratories |
| 7,645,741 |
| 566,167 |
| 0.6% |
Health Care—Other † |
|
|
| 502,868 |
| 0.5% |
|
|
|
| 10,668,822 |
| 10.4% |
Industrials |
|
|
|
|
|
|
Union Pacific Corp. |
| 5,581,902 |
| 858,385 |
| 0.8% |
United Parcel Service Inc. Class B |
| 6,604,112 |
| 761,388 |
| 0.8% |
Deere & Co. |
| 4,852,469 |
| 751,550 |
| 0.7% |
United Technologies Corp. |
| 5,467,195 |
| 666,123 |
| 0.7% |
Lockheed Martin Corp. |
| 2,086,152 |
| 626,743 |
| 0.6% |
Schneider Electric SE |
| 8,298,047 |
| 604,852 |
| 0.6% |
Industrials—Other † |
|
|
| 2,263,795 |
| 2.2% |
|
|
|
| 6,532,836 |
| 6.4% |
Information Technology |
|
|
|
|
|
|
Microsoft Corp. |
| 25,337,737 |
| 2,809,702 |
| 2.7% |
Intel Corp. |
| 25,353,481 |
| 1,250,180 |
| 1.2% |
Cisco Systems Inc. |
| 20,456,302 |
| 979,243 |
| 1.0% |
Apple Inc. |
| 3,881,381 |
| 693,137 |
| 0.7% |
Information Technology—Other † |
|
|
| 1,968,451 |
| 1.9% |
|
|
|
| 7,700,713 |
| 7.5% |
Materials |
|
|
|
|
|
|
International Paper Co. |
| 14,129,722 |
| 652,652 |
| 0.6% |
Materials—Other † |
|
|
| 1,648,628 |
| 1.6% |
|
|
|
| 2,301,280 |
| 2.2% |
Real Estate |
|
|
|
|
|
|
American Tower Corp. |
| 5,406,695 |
| 889,347 |
| 0.9% |
Simon Property Group Inc. |
| 4,534,970 |
| 842,099 |
| 0.8% |
|
|
|
| 1,731,446 |
| 1.7% |
Utilities |
|
|
|
|
|
|
NextEra Energy Inc. |
| 7,146,090 |
| 1,298,516 |
| 1.3% |
Dominion Energy Inc. |
| 12,617,485 |
| 940,003 |
| 0.9% |
Exelon Corp. |
| 15,543,622 |
| 721,068 |
| 0.7% |
Utilities—Other † |
|
|
| 291,443 |
| 0.3% |
|
|
|
| 3,251,030 |
| 3.2% |
Total Common Stocks (Cost $44,572,899) |
|
|
| 66,636,150 |
| 64.9% |
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage | ||
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net | ||
|
|
|
| Coupon |
| Date |
| ($000) |
| ($000) |
| Assets | ||
U.S. Government and Agency Obligations | ||||||||||||||
U.S. Government Securities | ||||||||||||||
1 |
| United States Treasury Note/Bond |
| 2.250% |
| 2/29/20 |
| 1,244,000 |
| 1,235,839 |
| 1.2% | ||
|
| United States Treasury Note/Bond |
| 2.875% |
| 11/15/21 |
| 1,000,000 |
| 1,001,410 |
| 1.0% | ||
1 |
| United States Treasury Note/Bond |
| 1.250%–3.375% |
| 2/29/20–8/15/48 |
| 3,287,861 |
| 3,141,206 |
| 3.1% | ||
|
| U.S. Government Securities—Other † |
|
|
|
|
|
|
| 308,768 |
| 0.3% | ||
|
|
|
|
|
|
|
|
|
| 5,687,223 |
| 5.6% | ||
|
|
|
|
| ||||||||||
Conventional Mortgage-Backed Securities † |
| 632,337 |
| 0.6% | ||||||||||
|
|
|
|
| ||||||||||
Nonconventional Mortgage-Backed Securities † |
| 197,649 |
| 0.2% | ||||||||||
Total U.S. Government and Agency Obligations (Cost $6,600,083) |
| 6,517,209 |
| 6.4% | ||||||||||
2Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,458,770) † |
| 1,447,275 |
| 1.4% | ||||||||||
Corporate Bonds |
|
|
|
| ||||||||||
Finance |
|
|
|
| ||||||||||
|
| Banking |
|
|
|
|
|
|
|
|
|
| ||
3 |
| Bank of America Corp. |
| 2.816%–5.875% |
| 1/11/23–1/21/44 |
| 346,984 |
| 338,751 |
| 0.3% | ||
|
| Citibank NA |
| 3.050% |
| 5/1/20 |
| 67,400 |
| 67,050 |
| 0.1% | ||
3 |
| Citigroup Inc. |
| 2.400%–8.125% |
| 4/8/19–7/23/48 |
| 420,938 |
| 415,203 |
| 0.4% | ||
3 |
| JPMorgan Chase & Co. |
| 3.250%–6.300% |
| 4/23/19–11/15/48 |
| 663,356 |
| 658,974 |
| 0.7% | ||
|
| National City Corp. |
| 6.875% |
| 5/15/19 |
| 13,950 |
| 14,177 |
| 0.0% | ||
|
| PNC Bank NA |
| 3.100%–4.200% |
| 10/30/24–1/22/28 |
| 137,285 |
| 131,275 |
| 0.1% | ||
|
| PNC Financial Services Group Inc. |
| 3.900% |
| 4/29/24 |
| 41,565 |
| 41,237 |
| 0.0% | ||
2 |
| Banking—Other † |
|
|
|
|
|
|
| 5,290,799 |
| 5.2% | ||
|
| Brokerage † |
|
|
|
|
|
|
| 30,464 |
| 0.0% | ||
|
| Finance Companies † |
|
|
|
|
|
|
| 192,567 |
| 0.2% | ||
|
| Insurance |
|
|
|
|
|
|
|
|
|
| ||
|
| ACE Capital Trust II |
| 9.700% |
| 4/1/30 |
| 20,000 |
| 27,000 |
| 0.0% | ||
|
| Chubb Corp. |
| 6.000% |
| 5/11/37 |
| 50,000 |
| 58,544 |
| 0.1% | ||
|
| Chubb INA Holdings Inc. |
| 2.300%–4.350% |
| 11/3/20–11/3/45 |
| 58,510 |
| 57,253 |
| 0.1% | ||
2 |
| Five Corners Funding Trust |
| 4.419% |
| 11/15/23 |
| 5,935 |
| 6,052 |
| 0.0% | ||
|
| Prudential Financial Inc. |
| 4.500% |
| 11/15/20 |
| 24,365 |
| 24,890 |
| 0.0% | ||
|
| UnitedHealth Group Inc. |
| 2.875%–4.750% |
| 10/15/20–6/15/48 |
| 277,531 |
| 274,934 |
| 0.2% | ||
2 |
| Insurance—Other † |
|
|
|
|
|
|
| 793,808 |
| 0.8% | ||
2 |
| Other Finance † |
|
|
|
|
|
|
| 46,765 |
| 0.1% | ||
2 |
| Real Estate Investment Trusts † |
|
|
|
|
|
|
| 143,022 |
| 0.1% | ||
|
|
|
|
|
|
|
|
|
| 8,612,765 |
| 8.4% | ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Industrial |
|
|
|
|
|
|
|
|
|
| ||||
|
| Basic Industry † |
|
|
|
|
|
|
| 38,961 |
| 0.0% | ||
2 |
| Capital Goods † |
|
|
|
|
|
|
| 776,812 |
| 0.8% | ||
|
| Communication |
|
|
|
|
|
|
|
|
|
| ||
|
| Comcast Corp. |
| 2.350%–6.500% |
| 2/1/24–10/15/58 |
| 533,781 |
| 512,669 |
| 0.5% | ||
2 |
| NBCUniversal Enterprise Inc. |
| 1.974% |
| 4/15/19 |
| 100,115 |
| 99,825 |
| 0.1% | ||
|
| NBCUniversal Media LLC |
| 2.875%–4.450% |
| 4/1/21–1/15/43 |
| 44,030 |
| 43,585 |
| 0.0% | ||
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage |
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net |
|
|
|
| Coupon |
| Date |
| ($000) |
| ($000) |
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
| Sky plc |
| 2.625%–3.750% |
| 9/16/19–9/16/24 |
| 83,067 |
| 82,147 |
| 0.1% |
|
| Verizon Communications Inc. |
| 3.500%–5.012% |
| 11/1/21–3/15/55 |
| 182,359 |
| 174,045 |
| 0.2% |
2 |
| Communication—Other † |
|
|
|
|
|
|
| 575,539 |
| 0.6% |
2 |
| Consumer Cyclical † |
|
|
|
|
|
|
| 1,052,655 |
| 1.0% |
|
| Consumer Noncyclical |
|
|
|
|
|
|
|
|
|
|
|
| AstraZeneca plc |
| 1.950%–6.450% |
| 9/18/19–9/15/37 |
| 114,040 |
| 115,956 |
| 0.1% |
|
| Medtronic Inc. |
| 2.500%–4.375% |
| 3/15/20–3/15/35 |
| 202,744 |
| 199,584 |
| 0.2% |
|
| Merck & Co. Inc. |
| 2.350%–4.150% |
| 2/10/22–5/18/43 |
| 154,715 |
| 149,846 |
| 0.2% |
|
| PepsiCo Inc. |
| 2.750%–4.000% |
| 3/1/23–3/5/42 |
| 81,191 |
| 77,879 |
| 0.1% |
|
| Pfizer Inc. |
| 3.000%–4.100% |
| 6/15/23–9/15/38 |
| 101,020 |
| 98,976 |
| 0.1% |
|
| Wyeth LLC |
| 5.950% |
| 4/1/37 |
| 25,000 |
| 29,826 |
| 0.0% |
|
| Zeneca Wilmington Inc. |
| 7.000% |
| 11/15/23 |
| 29,000 |
| 32,738 |
| 0.0% |
2 |
| Consumer Noncyclical—Other † |
|
|
|
|
|
|
| 2,761,318 |
| 2.7% |
|
| Energy |
|
|
|
|
|
|
|
|
|
|
|
| Chevron Corp. |
| 3.191% |
| 6/24/23 |
| 49,470 |
| 48,658 |
| 0.1% |
|
| Dominion Energy Gas Holdings LLC |
| 3.550%–4.800% |
| 11/1/23–12/15/44 |
| 32,638 |
| 31,685 |
| 0.0% |
|
| Exxon Mobil Corp. |
| 2.222%–4.114% |
| 3/1/21–3/1/46 |
| 46,250 |
| 44,736 |
| 0.0% |
2 |
| Energy—Other † |
|
|
|
|
|
|
| 921,850 |
| 0.9% |
2 |
| Other Industrial † |
|
|
|
|
|
|
| 25,931 |
| 0.0% |
|
| Technology |
|
|
|
|
|
|
|
|
|
|
|
| Apple Inc. |
| 2.450%–4.450% |
| 2/9/24–8/4/46 |
| 419,497 |
| 396,093 |
| 0.4% |
|
| Intel Corp. |
| 2.875%–4.100% |
| 5/11/24–5/19/46 |
| 81,000 |
| 76,860 |
| 0.1% |
|
| Microsoft Corp. |
| 2.375%–4.450% |
| 2/12/22–2/6/47 |
| 498,005 |
| 479,702 |
| 0.4% |
2 |
| Technology—Other † |
|
|
|
|
|
|
| 614,524 |
| 0.6% |
2 |
| Transportation † |
|
|
|
|
|
|
| 369,362 |
| 0.4% |
|
|
|
|
|
|
|
|
|
| 9,831,762 |
| 9.6% |
Utilities |
|
|
|
|
|
|
|
|
|
| ||
|
| Electric |
|
|
|
|
|
|
|
|
|
|
4 |
| Dominion Energy Inc. |
| 2.579%–5.200% |
| 7/1/19–12/1/24 |
| 90,515 |
| 89,681 |
| 0.1% |
|
| Florida Power & Light Co. |
| 3.700%–5.950% |
| 2/1/35–12/1/47 |
| 125,585 |
| 140,326 |
| 0.1% |
|
| NextEra Energy Capital Holdings Inc. |
| 3.550% |
| 5/1/27 |
| 32,275 |
| 30,394 |
| 0.0% |
|
| Virginia Electric & Power Co. |
| 2.750%–6.000% |
| 3/15/23–5/15/37 |
| 52,305 |
| 50,716 |
| 0.1% |
2 |
| Electric—Other † |
|
|
|
|
|
|
| 1,897,612 |
| 1.9% |
2 |
| Natural Gas † |
|
|
|
|
|
|
| 227,157 |
| 0.2% |
|
| Other Utility † |
|
|
|
|
|
|
| 36,459 |
| 0.0% |
|
|
|
|
|
|
|
|
|
| 2,472,345 |
| 2.4% |
Total Corporate Bonds (Cost $21,356,345) |
| 20,916,872 |
| 20.4% | ||||||||
2Sovereign Bonds (Cost $2,054,518) † |
| 2,021,836 |
| 2.0% | ||||||||
Taxable Municipal Bonds (Cost $1,540,111) † |
| 1,691,327 |
| 1.6% | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
|
| ||
Temporary Cash Investments |
|
|
|
|
|
|
|
|
|
| ||
Money Market Fund |
|
|
|
|
|
|
|
|
|
| ||
5,6 Vanguard Market Liquidity Fund |
| 2.407% |
|
|
| 680,617 |
| 68,062 |
| 0.1% |
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage |
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net |
|
|
|
| Coupon |
| Date |
| ($000) |
| ($000) |
| Assets |
Repurchase Agreements |
|
|
|
|
|
|
|
|
|
| ||
|
| Bank of America Securities, LLC (Dated 11/30/18, Repurchase Value $173,933,000 collateralized by Federal National Mortgage Assn. 3.500%–4.000%, 11/1/47–10/1/48, with a value of $177,378,000) |
| 2.290% |
| 12/3/18 |
| 173,900 |
| 173,900 |
| 0.2% |
|
| Citigroup Global Markets Inc. (Dated 11/30/18, Repurchase Value $360,368,000 collateralized by U.S. Treasury Bill 0.000%, 1/10/19–3/7/19, with a value of $367,506,000) |
| 2.270% |
| 12/3/18 |
| 360,300 |
| 360,300 |
| 0.3% |
|
| Deutsche Bank Securities, Inc. (Dated 11/30/18, Repurchase Value $34,807,000 collateralized by Federal Home Loan Bank 2.500%–4.060%, 4/27/26–9/11/37, Federal Farm Credit Bank 1.279%–3.430%, 2/21/20–10/26/37, Federal Home Loan Mortgage Corp. 0.000%, 7/15/23–3/15/31, Federal National Mortgage Assn. 0.000%–6.160%, 9/30/19–11/15/30, with a value of $35,497,000) |
| 2.300% |
| 12/3/18 |
| 34,800 |
| 34,800 |
| 0.0% |
|
| HSBC Bank USA (Dated 11/30/18, Repurchase Value $346,365,000 collateralized by U.S. Treasury Note/Bond 1.375%–2.875%, 10/31/20–8/15/47, with a value of $353,226,000) |
| 2.260% |
| 12/3/18 |
| 346,300 |
| 346,300 |
| 0.3% |
|
| HSBC Bank USA (Dated 11/30/18, Repurchase Value $286,754,000 collateralized by Federal Home Loan Mortgage Corp. 3.000%–4.500%, 3/1/43–10/1/48, Federal National Mortgage Assn. 3.000%–4.500%, 1/1/30–10/1/48, with a value of $292,434,000) |
| 2.270% |
| 12/3/18 |
| 286,700 |
| 286,700 |
| 0.3% |
|
| Nomura International PLC (Dated 11/30/18, Repurchase Value $583,111,000 collateralized by U.S. Treasury Bill/Note/Bond 0.000%–7.625%, 1/2/19–5/15/37, with a value of $594,660,000) |
| 2.280% |
| 12/3/18 |
| 583,000 |
| 583,000 |
| 0.6% |
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage |
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net |
|
|
|
| Coupon |
| Date |
| ($000) |
| ($000) |
| Assets |
|
| RBC Capital Markets LLC (Dated 11/30/18, Repurchase Value $481,191,000 collateralized by Federal Home Loan Mortgage Corp. 3.500%–4.000%, 2/1/48–10/1/48, Federal National Mortgage Assn. 1.615%–5.710%, 1/1/19–10/1/48, Government National Mortgage Assn. 3.000%–3.750%, 6/20/43–11/20/46, with a value of $490,722,000) |
| 2.270% |
| 12/3/18 |
| 481,100 |
| 481,100 |
| 0.5% |
|
| TD Securities (USA) LLC (Dated 11/30/18, Repurchase Value $40,008,000 collateralized by Federal National Mortgage Assn. 4.000%, 9/1/47, with a value of $40,800,000) |
| 2.280% |
| 12/3/18 |
| 40,000 |
| 40,000 |
| 0.0% |
|
| Wells Fargo & Co. (Dated 11/30/18, Repurchase Value $504,296,000 collateralized by Federal Home Loan Mortgage Corp. 2.184%–6.500%, 9/1/21–11/1/48, Federal National Mortgage Assn. 1.000%–7.000%, 10/24/19–11/1/48, Government National Mortgage Assn. 4.500%, 9/20/48, with a value of $514,284,000) |
| 2.290% |
| 12/3/18 |
| 504,200 |
| 504,200 |
| 0.5% |
|
|
|
|
|
|
|
|
|
| 2,810,300 |
| 2.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations † |
| 249,880 |
| 0.3% | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Paper |
|
|
|
|
|
|
|
|
|
| ||
7 |
| Apple Inc. |
| 2.275% |
| 12/17/18 |
| 243,000 |
| 242,745 |
| 0.2% |
Total Temporary Cash Investments (Cost $3,370,958) |
| 3,370,987 |
| 3.3% | ||||||||
Total Investments (Cost $80,953,684) |
| 102,601,656 |
| 100.0% |
Wellington Fund
|
|
| Percentage |
|
| Amount | of Net |
|
| ($000) | Assets |
Other Assets and Liabilities |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 5,383 |
|
Receivables for Investment Securities Sold |
| 1,198,253 |
|
Receivables for Accrued Income |
| 464,660 |
|
Receivables for Capital Shares Issued |
| 32,997 |
|
Variation Margin Receivable—Futures Contracts |
| 444 |
|
Unrealized Appreciation—Forward Currency Contracts |
| 778 |
|
Unrealized Appreciation—OTC Swap Contracts |
| 243 |
|
Other Assets |
| 9,929 |
|
Total Other Assets |
| 1,712,687 | 1.6% |
Liabilities |
|
|
|
Payables for Investment Securities Purchased |
| (1,435,458) |
|
Collateral for Securities on Loan |
| (67,921) |
|
Payables for Capital Shares Redeemed |
| (59,757) |
|
Payables to Investment Advisor |
| (19,759) |
|
Payables to Vanguard |
| (85,416) |
|
Variation Margin Payable—Futures Contracts |
| (778) |
|
Unrealized Depreciation—Forward Currency Contracts |
| (255) |
|
Unrealized Depreciation—OTC Swap Contracts |
| (70) |
|
Total Liabilities |
| (1,669,414) | (1.6%) |
Net Assets |
| 102,644,929 | 100.0% |
|
|
|
|
At November 30, 2018, net assets consisted of: |
|
|
|
|
|
| Amount |
|
|
| ($000) |
Paid-in Capital |
|
| 74,681,010 |
Total Distributable Earnings (Loss) |
|
| 27,963,919 |
Net Assets |
|
| 102,644,929 |
Wellington Fund
| Amount |
| ($000) |
Investor Shares—Net Assets |
|
Applicable to 392,707,706 outstanding $.001 par value shares of |
|
beneficial interest (unlimited authorization) | 16,438,414 |
Net Asset Value Per Share—Investor Shares | $41.86 |
|
|
Admiral Shares—Net Assets |
|
Applicable to 1,192,445,911 outstanding $.001 par value shares of |
|
beneficial interest (unlimited authorization) | 86,206,515 |
Net Asset Value Per Share—Admiral Shares | $72.29 |
· 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 $62,571,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Securities with a value of $6,602,000 have been segregated as initial margin for open futures contracts.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2018, the aggregate value of these securities was $5,581,700,000, representing 5.4% of net assets.
3 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.
4 Adjustable-rate security.
5 Includes $67,921,000 of collateral received for securities on loan.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At November 30, 2018, the value of these securities was $242,745,000, representing 0.2% of net assets.
ADR—American Depositary Receipt.
Wellington 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 |
|
|
|
| ||
5-Year U.S. Treasury Note | March 2019 | 9,118 | 1,029,978 | 1,293 | ||
2-Year U.S. Treasury Note | March 2019 | 2,411 | 508,683 | 105 | ||
|
|
|
|
| 1,398 | |
|
|
|
|
| ||
Short Futures Contracts |
|
|
|
| ||
Ultra Long U.S. Treasury Bond | March 2019 | (1,458) | (222,208) | (487) | ||
10-Year U.S. Treasury Note | March 2019 | (1,168) | (139,521) | (348) | ||
|
|
|
|
| (835) | |
|
|
|
|
| 563 |
Forward Currency Contracts |
|
|
|
|
|
| ||
|
|
|
|
|
| Unrealized | ||
| Contract |
|
| Appreciation | ||||
| Settlement |
| Contract Amount (000) | (Depreciation) | ||||
Counterparty | Date |
| Receive |
| Deliver | ($000) | ||
J.P. Morgan Securities LLC
| 1/9/19 |
| USD | 167,747 | JPY | 18,880,950 | 727 | |
BNP Paribas
| 1/3/19 |
| USD | 71,807 | CAD | 95,408 | (74) | |
Citibank, N.A.
| 2/12/19 |
| USD | 71,451 | JPY | 8,050,000 | 51 | |
J.P. Morgan Securities LLC
| 2/12/19 |
| USD | 71,219 | JPY | 8,050,000 | (181) | |
|
|
|
|
|
|
|
| 523 |
CAD—Canadian dollar.
JPY—Japanese yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Over-the-Counter Credit Default Swaps | ||||||||
|
|
|
|
|
| Remaining |
| |
|
|
|
| Periodic |
| Up-Front |
| |
|
|
|
| Premium |
| Premium | Unrealized | |
|
|
| Notional | Received |
| Received | Appreciation | |
| Termination |
| Amount | (Paid)1 | Value | (Paid) | (Depreciation) | |
Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | ($000) | |
Credit Protection Purchased |
|
|
|
|
|
|
| |
General Electric Co. | 12/20/23 | GSI | 16,500 | (1.000) | 763 | (652) | 111 | |
General Electric Co. | 12/20/23 | GSI | 10,350 | (1.000) | 478 | (433) | 45 | |
General Electric Co. | 12/20/23 | GSI | 9,900 | (1.000) | 458 | (395) | 63 | |
General Electric Co. | 12/20/23 | GSI | 8,280 | (1.000) | 383 | (364) | 19 | |
General Electric Co. | 12/20/23 | GSI | 6,600 | (1.000) | 305 | (375) | (70) | |
General Electric Co. | 12/20/23 | GSI | 2,070 | (1.000) | 96 | (91) | 5 | |
|
|
|
|
|
|
|
| 173 |
1 Periodic premium received/paid quarterly.
GSI—Goldman Sachs International.
At November 30, 2018, counterparties had deposited in segregated accounts securities with a value of $815,000 and cash of $1,420,000 in connection with open forward currency contracts and open over-the-counter swap contracts
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Statement of Operations
|
| Year Ended |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Investment Income |
|
|
|
Income |
|
|
|
Dividends1 |
| 1,780,348 |
|
Interest |
| 1,172,263 |
|
Securities Lending—Net |
| 5,835 |
|
Total Income |
| 2,958,446 |
|
Expenses |
|
|
|
Investment Advisory Fees—Note B |
|
|
|
Basic Fee |
| 80,365 |
|
Performance Adjustment |
| (5,870 | ) |
The Vanguard Group—Note C |
|
|
|
Management and Administrative—Investor Shares |
| 28,717 |
|
Management and Administrative—Admiral Shares |
| 82,082 |
|
Marketing and Distribution—Investor Shares |
| 2,442 |
|
Marketing and Distribution—Admiral Shares |
| 3,820 |
|
Custodian Fees |
| 481 |
|
Auditing Fees |
| 38 |
|
Shareholders’ Reports and Proxy—Investor Shares |
| 274 |
|
Shareholders’ Reports and Proxy—Admiral Shares |
| 357 |
|
Trustees’ Fees and Expenses |
| 146 |
|
Total Expenses |
| 192,852 |
|
Net Investment Income |
| 2,765,594 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold2 |
| 6,292,729 |
|
Futures Contracts |
| 57,114 |
|
Swap Contracts |
| (12 | ) |
Forward Currency Contracts |
| (8,308 | ) |
Foreign Currencies |
| 2,180 |
|
Realized Net Gain (Loss) |
| 6,343,703 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities2 |
| (6,140,185 | ) |
Futures Contracts |
| (5,462 | ) |
Swap Contracts |
| 173 |
|
Forward Currency Contracts |
| (2,640 | ) |
Foreign Currencies |
| (1,794 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (6,149,908 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 2,959,389 |
|
1 Dividends are net of foreign withholding taxes of $38,825,000.
2 Realized net gain (loss) and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $62,000 and ($1,000). Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Statement of Changes in Net Assets
|
| Year Ended November 30, |
| ||
|
| 2018 |
| 2017 |
|
|
| ($000 | ) | ($000 | ) |
Increase (Decrease) in Net Assets |
|
|
|
|
|
Operations |
|
|
|
|
|
Net Investment Income |
| 2,765,594 |
| 2,558,234 |
|
Realized Net Gain (Loss) |
| 6,343,703 |
| 4,352,244 |
|
Change in Unrealized Appreciation (Depreciation) |
| (6,149,908 | ) | 7,702,314 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 2,959,389 |
| 14,612,792 |
|
Distributions |
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
Investor Shares |
| (452,709 | ) | (485,955 | ) |
Admiral Shares |
| (2,302,686 | ) | (2,072,768 | ) |
Realized Capital Gain1 |
|
|
|
|
|
Investor Shares |
| (714,085 | ) | (354,943 | ) |
Admiral Shares |
| (3,377,387 | ) | (1,391,895 | ) |
Total Distributions |
| (6,846,867 | ) | (4,305,561 | ) |
Capital Share Transactions |
|
|
|
|
|
Investor Shares |
| (1,308,528 | ) | (2,487,650 | ) |
Admiral Shares |
| 2,283,071 |
| 4,774,832 |
|
Net Increase (Decrease) from Capital Share Transactions |
| 974,543 |
| 2,287,182 |
|
Total Increase (Decrease) |
| (2,912,935 | ) | 12,594,413 |
|
Net Assets |
|
|
|
|
|
Beginning of Period |
| 105,557,864 |
| 92,963,451 |
|
End of Period |
| 102,644,929 |
| 105,557,864 |
|
1 Includes fiscal 2018 and 2017 short-term gain distributions totaling $487,484,000 and $175,705,000 respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Financial Highlights
Investor Shares
For a Share Outstanding |
| Year Ended November 30, |
| ||||||||
Throughout Each Period |
| 2018 |
| 2017 |
| 2016 |
| 2015 |
| 2014 |
|
Net Asset Value, Beginning of Period |
| $43.45 |
| $39.23 |
| $39.00 |
| $41.02 |
| $39.17 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| 1.083 | 1 | 1.021 | 1 | 1.017 |
| 1.004 |
| 1.000 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| .100 |
| 4.965 |
| 1.616 |
| (.527 | ) | 3.370 |
|
Total from Investment Operations |
| 1.183 |
| 5.986 |
| 2.633 |
| .477 |
| 4.370 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
| (1.086 | ) | (1.030 | ) | (1.014 | ) | (.995 | ) | (.982 | ) |
Distributions from Realized Capital Gains |
| (1.687 | ) | (.736 | ) | (1.389 | ) | (1.502 | ) | (1.538 | ) |
Total Distributions |
| (2.773 | ) | (1.766 | ) | (2.403 | ) | (2.497 | ) | (2.520 | ) |
Net Asset Value, End of Period |
| $41.86 |
| $43.45 |
| $39.23 |
| $39.00 |
| $41.02 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
| 2.80% |
| 15.72% |
| 7.18% |
| 1.22% |
| 11.72% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
| $16,438 |
| $18,422 |
| $18,967 |
| $19,850 |
| $25,199 |
|
Ratio of Total Expenses to Average Net Assets3 |
| 0.25% |
| 0.25% |
| 0.25% |
| 0.26% |
| 0.26% |
|
Ratio of Net Investment Income to Average Net Assets |
| 2.58% |
| 2.50% |
| 2.68% |
| 2.55% |
| 2.54% |
|
Portfolio Turnover Rate4 |
| 34% |
| 30% |
| 31% |
| 39% |
| 71% |
|
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 (0.01%), (0.01%), (0.01%), 0.00%, and 0.00%.
4 Includes 2%, 4%, 6%, 10%, and 14% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Financial Highlights
Admiral Shares
For a Share Outstanding |
| Year Ended November 30, |
| ||||||||
Throughout Each Period |
| 2018 |
| 2017 |
| 2016 |
| 2015 |
| 2014 |
|
Net Asset Value, Beginning of Period |
| $75.04 |
| $67.75 |
| $67.36 |
| $70.85 |
| $67.65 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| 1.929 | 1 | 1.824 | 1 | 1.812 |
| 1.790 |
| 1.781 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| .172 |
| 8.572 |
| 2.784 |
| (.910 | ) | 5.825 |
|
Total from Investment Operations |
| 2.101 |
| 10.396 |
| 4.596 |
| .880 |
| 7.606 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
| (1.936 | ) | (1.836 | ) | (1.807 | ) | (1.776 | ) | (1.750 | ) |
Distributions from Realized Capital Gains |
| (2.915 | ) | (1.270 | ) | (2.399 | ) | (2.594 | ) | (2.656 | ) |
Total Distributions |
| (4.851 | ) | (3.106 | ) | (4.206 | ) | (4.370 | ) | (4.406 | ) |
Net Asset Value, End of Period |
| $72.29 |
| $75.04 |
| $67.75 |
| $67.36 |
| $70.85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
| 2.88% |
| 15.81% |
| 7.26% |
| 1.31% |
| 11.82% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
| $86,207 |
| $87,136 |
| $73,996 |
| $68,894 |
| $64,341 |
|
Ratio of Total Expenses to Average Net Assets3 |
| 0.17% |
| 0.17% |
| 0.16% |
| 0.18% |
| 0.18% |
|
Ratio of Net Investment Income to Average Net Assets |
| 2.66% |
| 2.58% |
| 2.77% |
| 2.63% |
| 2.62% |
|
Portfolio Turnover Rate4 |
| 34% |
| 30% |
| 31% |
| 39% |
| 71% |
|
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 (0.01%), (0.01%), (0.01%), 0.00%, and 0.00%.
4 Includes 2%, 4%, 6%, 10%, and 14% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Notes to Financial Statements
Vanguard Wellington Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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. 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 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
Wellington Fund
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 Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the year ended November 30, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 1% 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 Statement of Net Assets. 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 Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 forward currency contract gains (losses).
During the year ended November 30, 2018, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
Wellington Fund
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Wellington Fund
During the year ended November 30, 2018, the fund’s average amounts of investments in credit protection purchased swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them 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. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
7. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.
8. 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 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.
Wellington Fund
9. 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 (November 30, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
10. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
11. 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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.
12. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at November 30, 2018, or at any time during the period then ended.
13. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Wellington Fund
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), shareholder reporting, and the proxy. 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. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. The basic fee is subject to quarterly adjustments based on the fund’s performance relative to the combined index comprising the S&P 500 Index and the Bloomberg Barclays Capital U.S. Credit A or Better Bond Index for the preceding three years. For the year ended November 30, 2018, the investment advisory fee represented an effective annual basic rate of 0.08% of the fund’s average net assets before a decrease of $5,870,000 (0.01%) 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 Net Assets. 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 November 30, 2018, the fund had contributed to Vanguard capital in the amount of $5,383,000, representing 0.01% of the fund’s net assets and 2.15% of Vanguard’s capitalization. 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 Statement of Net Assets.
Wellington Fund
The following table summarizes the market value of the fund’s investments as of November 30, 2018, based on the inputs used to value them:
Investments |
| Level 1 | ) | Level 2 | ) | Level 3 | ) |
Common Stocks |
| 59,150,092 |
| 7,486,058 |
| — |
|
U.S. Government and Agency Obligations |
| — |
| 6,517,209 |
| — |
|
Asset-Backed/Commercial Mortgage-Backed Securities |
| — |
| 1,447,275 |
| — |
|
Corporate Bonds |
| — |
| 20,916,872 |
| — |
|
Sovereign Bonds |
| — |
| 2,021,836 |
| — |
|
Taxable Municipal Bonds |
| — |
| 1,691,327 |
| — |
|
Temporary Cash Investments |
| 68,062 |
| 3,302,925 |
| — |
|
Futures Contracts—Assets1 |
| 444 |
| — |
| — |
|
Futures Contracts—Liabilities1 |
| (778 | ) | — |
| — |
|
Forward Currency Contracts—Assets |
| — |
| 778 |
| — |
|
Forward Currency Contracts—Liabilities |
| — |
| (255 | ) | — |
|
Swap Contracts—Assets |
| — |
| 243 |
| — |
|
Swap Contracts—Liabilities |
| — |
| (70 | ) | — |
|
Total |
| 59,217,820 |
| 43,384,198 |
| — |
|
1 Represents variation margin on the last day of the reporting period.
E. At November 30, 2018, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Statement of Net Assets Caption |
| Interest Rate | ) | Currency | ) | Credit | ) | Total | ) |
Variation Margin Receivable—Futures Contracts |
| 444 |
| — |
| — |
| 444 |
|
Unrealized Appreciation—Forward Currency Contracts |
| — |
| 778 |
| — |
| 778 |
|
Unrealized Appreciation—OTC Swap Contracts |
| — |
| — |
| 243 |
| 243 |
|
Total Assets |
| 444 |
| 778 |
| 243 |
| 1,465 |
|
|
|
|
|
|
|
|
|
|
|
Variation Margin Payable—Futures Contracts |
| (778 | ) | — |
| — |
| (778 | ) |
Unrealized Depreciation—Forward Currency Contracts |
| — |
| (255 | ) | — |
| (255 | ) |
Unrealized Depreciation—OTC Swap Contracts |
| — |
| — |
| (70 | ) | (70 | ) |
Total Liabilities |
| (778 | ) | (255 | ) | (70 | ) | (1,103 | ) |
Wellington Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended November 30, 2018, were:
Realized Net Gain (Loss) on Derivatives |
| Interest Rate Contracts ($000 | ) | Currency Contracts ($000 | ) | Credit Contracts ($000 | ) | Total ($000 | ) |
Futures Contracts |
| 57,114 |
| — |
| — |
| 57,114 |
|
Forward Currency Contracts |
| — |
| (8,308 | ) | — |
| (8,308 | ) |
Swap Contracts |
| — |
| — |
| (12 | ) | (12 | ) |
Realized Net Gain (Loss) on Derivatives |
| 57,114 |
| (8,308 | ) | (12 | ) | 48,794 |
|
|
|
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives |
|
|
|
|
| ||||
Futures Contracts |
| (5,462 | ) | — |
| — |
| (5,462 | ) |
Forward Currency Contracts |
| — |
| (2,640 | ) | — |
| (2,640 | ) |
Swap Contracts |
| — |
| — |
| 173 |
| 173 |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives |
| (5,462 | ) | (2,640 | ) | 173 |
| (7,929 | ) |
F. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and distributions in connection with fund share redemptions were reclassified between the following accounts:
|
| Amount ($000 | ) |
Paid-in Capital |
| 396,764 |
|
Total Distributable Earnings (Loss) |
| (396,764 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles and the realization of unrealized gains or losses on certain futures contracts, forward currency contracts and swap agreements. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
| Amount | ) |
Undistributed Ordinary Income |
| 572,678 |
|
Undistributed Long-Term Gains |
| 5,839,043 |
|
Capital Loss Carryforwards (Non-expiring) |
| — |
|
Net Unrealized Gains (Losses) |
| 21,632,291 |
|
Wellington Fund
As of November 30, 2018, 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 |
| 80,971,188 |
|
Gross Unrealized Appreciation |
| 23,860,384 |
|
Gross Unrealized Depreciation |
| (2,227,433 | ) |
Net Unrealized Appreciation (Depreciation) |
| 21,632,951 |
|
G. During the year ended November 30, 2018, the fund purchased $24,943,483,000 of investment securities and sold $28,730,431,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $8,904,612,000 and $7,719,045,000, respectively.
H. Capital share transactions for each class of shares were:
|
| Year Ended November 30, |
| ||||||
|
| 2018 |
| 2017 |
| ||||
|
| Amount |
| Shares |
| Amount |
| Shares |
|
|
| ($000 | ) | (000) |
| ($000 | ) | (000 | ) |
Investor Shares |
|
|
|
|
|
|
|
|
|
Issued |
| 1,641,047 |
| 38,999 |
| 2,111,512 |
| 51,862 |
|
Issued in Lieu of Cash Distributions |
| 1,115,887 |
| 26,568 |
| 806,153 |
| 20,179 |
|
Redeemed |
| (4,065,462 | ) | (96,841) |
| (5,405,315 | ) | (131,597 | ) |
Net Increase (Decrease)—Investor Shares |
| (1,308,528 | ) | (31,274) |
| (2,487,650 | ) | (59,556 | ) |
Admiral Shares |
|
|
|
|
|
|
|
|
|
Issued |
| 7,057,729 |
| 97,338 |
| 9,371,661 |
| 132,764 |
|
Issued in Lieu of Cash Distributions |
| 5,320,079 |
| 73,335 |
| 3,246,596 |
| 47,007 |
|
Redeemed |
| (10,094,737 | ) | (139,360) |
| (7,843,425 | ) | (110,876 | ) |
Net Increase (Decrease)—Admiral Shares |
| 2,283,071 |
| 31,313 |
| 4,774,832 |
| 68,895 |
|
I. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Vanguard Wellington Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Wellington Fund (one of the funds constituting Vanguard Wellington Fund, referred to hereafter as the “Fund”) as of November 30, 2018, the related statement of operations for the year ended November 30, 2018, the statement of changes in net assets for each of the two years in the period ended November 30, 2018, including the related notes, and the financial highlights for each of the five years in the period ended November 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2018 and the financial highlights for each of the five years in the period ended November 30, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 17, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard Wellington Fund
This information for the fiscal year ended November 30, 2018, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $3,997,753,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
The fund distributed $1,687,616,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 44.4% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Wellington Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement 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 trustee were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional managers. The portfolio managers leverage tenured teams of equity and fixed income research analysts who conduct detailed fundamental analysis of their respective industries and companies. In managing the equity portion of the fund, Edward P. Bousa employs bottom-up, fundamental research focusing on high-quality companies with above-average yields, strong balance sheets, sustainable competitive advantages, and attractive valuations. In managing the fixed income portion of the fund, the managers focus on investment-grade corporate bonds with intermediate maturities. The firm has advised the fund since its inception in 1929.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
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 rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section, which also includes information about the advisory fee rate.
The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is 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 the breakpoints in the fund’s advisory fee schedule. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Credit A or Better Bond Index (Index or Bloomberg Barclays Index).
Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Wellington Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Wellington Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Wellington Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Wellington Fund or the owners of the Wellington Fund.
Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Wellington Fund. Investors acquire the Wellington Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Wellington Fund. The Wellington Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Wellington Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Wellington Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Wellington Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Wellington Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Wellington Fund.
The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Wellington Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Wellington Fund, investors or other third parties.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Joseph Brennan |
| Chris D. McIsaac |
Mortimer J. Buckley |
| James M. Norris |
Gregory Davis |
| Thomas M. Rampulla |
John James |
| Karin A. Risi |
Martha G. King |
| Anne E. Robinson |
John T. Marcante |
| Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
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.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
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, 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 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.
CFA® is a registered trademark owned by CFA Institute.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q210 012019 |
Annual Report | November 30, 2018
Vanguard U.S. Factor ETFs
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Vanguard U.S. Liquidity Factor ETF
Vanguard U.S. Minimum Volatility ETF
Vanguard U.S. Momentum Factor ETF
Vanguard U.S. Multifactor ETF
Vanguard U.S. Quality Factor ETF
Vanguard U.S. Value Factor ETF
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 |
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A Note From Our CEO |
| 1 |
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Your Fund’s Performance at a Glance |
| 2 |
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Advisor’s Report |
| 3 |
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About Your Fund’s Expenses |
| 6 |
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U.S. Liquidity Factor ETF |
| 8 |
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U.S. Minimum Volatility ETF |
| 27 |
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U.S. Momentum Factor ETF |
| 40 |
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U.S. Multifactor ETF |
| 57 |
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U.S. Quality Factor ETF |
| 73 |
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U.S. Value Factor ETF |
| 90 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
December 18, 2018
Your Fund’s Performance at a Glance
· From their February 13, 2018, inception through November 30, 2018, Vanguard’s six U.S. Factor ETFs provided returns ranging from slightly less than 0% to just above 10%. Three of the ETFs trailed their benchmark, the Russell 3000 Index, and three outperformed.
· The U.S. Factor ETFs seek to provide long-term capital appreciation by investing in stocks that have lower or higher measures of certain factors relative to the broad U.S. equity market.
· Vanguard U.S. Minimum Volatility ETF did best among the group, returning 10.07% based on net asset value while exhibiting approximately 29% less volatility than the overall market.
· The only negative performer on an absolute basis, Vanguard U.S. Value Factor ETF, returned –0.08% based on net asset value. Poor stock selection in the financial services and consumer discretionary sectors detracted most.
Market Barometer
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| Average Annual Total Returns | ||
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| Periods Ended November 30, 2018 | ||
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| One Year | Three Years | Five Years | |
Stocks |
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Russell 1000 Index (Large-caps) |
| 5.92% | 11.94% | 10.89% | |
Russell 2000 Index (Small-caps) |
| 0.57 | 10.08 | 7.50 | |
Russell 3000 Index (Broad U.S. market) |
| 5.53 | 11.80 | 10.62 | |
FTSE All-World ex US Index (International) |
| -7.98 | 5.59 | 2.17 | |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index |
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(Broad taxable market) |
| -1.34% | 1.33% | 2.03% | |
Bloomberg Barclays Municipal Bond Index |
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(Broad tax-exempt market) |
| 1.13 | 2.13 | 3.52 | |
FTSE Three-Month U.S. Treasury Bill Index |
| 1.76 | 0.92 | 0.55 | |
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CPI |
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Consumer Price Index |
| 2.18% | 2.02% | 1.58% | |
Advisor’s Report
From their February 13, 2018, inception through November 30, 2018, Vanguard’s six U.S. Factor ETFs posted returns ranging from about flat to just above 10%. Half of the ETFs outperformed the 5.04% return of their benchmark, the Russell 3000 Index, while half fell short.
The objective of each U.S. Factor ETF is to create a portfolio that has broad exposure to large-, mid-, and small-capitalization U.S. equities and that has the potential for long-term capital appreciation, subject to rules-based screens as follows:
· Vanguard U.S. Liquidity Factor ETF seeks exposure to stocks with lower measures of trading liquidity, such as daily trading volume and its effect on the security’s price.
· Vanguard U.S. Minimum Volatility ETF seeks to build a portfolio of stocks with lower volatility relative to the broad U.S. equity market.
· Vanguard U.S. Momentum Factor ETF seeks exposure to stocks with relatively strong recent performance, as identified by measures such as returns over different periods.
· Vanguard U.S. Multifactor ETF seeks exposure to stocks with relatively strong recent performance, strong fundamentals, and low prices relative to fundamentals.
· Vanguard U.S. Quality Factor ETF seeks exposure to stocks with strong fundamentals as identified by measures such as profitability, earnings, and balance-sheet strength.
· Vanguard U.S. Value Factor ETF seeks exposure to stocks with lower prices relative to fundamental measures of value such as book/price and earnings/ price ratios.
The investment environment
Global stock markets ended in negative territory for the period from February 13, 2018, through November 30, but U.S. stocks produced solid returns as increasing profits and a strong economy lifted investor sentiment amid concerns about rising interest rates, higher inflation, and trade tensions. Large-capitalization stocks beat small-caps and growth stocks outpaced value.
Emerging markets stocks were hurt by trade tensions and a rising U.S. dollar. Results in Europe and the Asia-Pacific region also suffered, in part because these areas depend more on emerging markets.
The overall U.S. fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 0.22% for the period. Yields rose and prices mostly declined as investors
remained concerned about the threat of inflation and the possibility that the Federal Reserve would more aggressively raise rates.
The Fed raised rates in March, June, and September. It did so again in December, after the period covered in this report, and signaled that more rate hikes might come in 2019.
The funds’ successes and shortfalls
Exposure to small-cap stocks dampened returns for all six ETFs. Nevertheless, the U.S. Minimum Volatility, U.S. Quality Factor, U.S. Liquidity Factor, U.S. Momentum Factor, and U.S. Multifactor ETFs all had net positive returns.
Sector exposure affected the funds differently based on the factors each seeks to emphasize:
· The U.S. Liquidity Factor ETF posted positive absolute results in all but two sectors. Utilities and health care stocks were the strongest performers and contributed most to relative returns. Energy lost ground on an absolute basis, but an underweight allocation made it a net relative contributor. Materials and processing, the other sector that declined on an absolute basis, detracted from relative results.
· The U.S. Minimum Volatility ETF experienced about 29% less annualized volatility for the period than its benchmark, the Russell 3000 Index. The index was up 5.04% over the period, but through several stretches of volatility, the ETF was able to catch more of the upside. Strong selection in financial services and consumer discretionary also bolstered relative results. Health care, consumer staples, and producer durables were relative detractors.
· The U.S. Momentum Factor ETF benefited most on a relative basis from our selection in technology. An overweight allocation to the outperforming health care sector also added to relative returns. By contrast, energy and consumer discretionary posted positive absolute returns but came up short on a relative basis.
· The U.S. Multifactor ETF drew the biggest contributions from the quality and momentum factors, while value was a strong detractor from performance. Technology and consumer staples were the only positive sectors on a relative basis. Holdings in financial services and energy hurt relative performance the most.
· The U.S. Quality Factor ETF benefited from good selection within consumer discretionary, its largest sector. Poor selection in financial services eroded relative returns.
· The U.S. Value Factor ETF, the only one of the U.S. Factor ETFs with negative returns for the period, fell especially short in its financial services and consumer discretionary selections; an underweight allocation to health care also hurt relative performance. Utilities were the brightest spot in both absolute and relative terms.
We expect our approach to portfolio construction to produce long-term capital appreciation that reflects the factors emphasized by each of the U.S. Factor portfolios. Results will vary over different periods across the different factors. However, we believe that focusing on the risk-adjusted returns of each portfolio relative to its targeted factors and the benchmark will serve investors well over time.
We thank you for your investment and look forward to serving you in the period ahead.
Antonio Picca, Senior Portfolio Manager, Head of Factor-Based Strategies
Vanguard Quantitative Equity Group
December 21, 2018
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended November 30, 2018
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| Beginning |
| Ending |
| Expenses |
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| Account Value |
| Account Value |
| Paid During |
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| 5/31/2018 |
| 11/30/2018 |
| Period |
Based on Actual Fund Return |
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U.S. Liquidity Factor ETF |
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ETF Shares |
| $1,000.00 |
| $980.48 |
| $0.65 |
U.S. Minimum Volatility ETF |
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ETF Shares |
| $1,000.00 |
| $1,028.87 |
| $0.66 |
U.S. Momentum Factor ETF |
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ETF Shares |
| $1,000.00 |
| $947.63 |
| $0.63 |
U.S. Multifactor ETF |
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ETF Shares |
| $1,000.00 |
| $963.89 |
| $0.89 |
U.S. Quality Factor ETF |
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ETF Shares |
| $1,000.00 |
| $984.55 |
| $0.65 |
U.S. Value Factor ETF |
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ETF Shares |
| $1,000.00 |
| $959.70 |
| $0.64 |
Based on Hypothetical 5% Yearly Return |
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|
|
|
|
U.S. Liquidity Factor ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.22 |
| $0.66 |
U.S. Minimum Volatility ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.42 |
| $0.66 |
U.S. Momentum Factor ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.42 |
| $0.66 |
U.S. Multifactor ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.17 |
| $0.91 |
U.S. Quality Factor ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.42 |
| $0.66 |
U.S. Value Factor ETF |
|
|
|
|
|
|
ETF Shares |
| $1,000.00 |
| $1,024.42 |
| $0.66 |
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 0.13% for the U.S. Liquidity Factor ETF, 0.13% for the U.S. Minimum Volatility ETF, 0.13% for the U.S. Momentum Factor ETF, 0.18% for the U.S. Multifactor ETF, 0.13% for the U.S. Quality Factor ETF, and 0.13% for the U.S. Value Factor ETF. 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 (183/365).
U.S. Liquidity Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
| Total Returns |
|
|
|
| Period Ended November 30, 2018 |
|
|
|
| Since |
| Final Value |
|
| Inception |
| of a $10,000 |
|
| (2/13/2018) |
| Investment |
U.S. Liquidity Factor ETF Net Asset Value |
| 5.09% |
| $10,509 |
Russell 3000 Index |
| 5.04 |
| 10,504 |
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
|
| Since |
|
| Inception |
|
| (2/13/2018) |
U.S. Liquidity Factor ETF Market Price |
| 5.11% |
U.S. Liquidity Factor ETF Net Asset Value |
| 5.09 |
Russell 3000 Index |
| 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Liquidity Factor ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
| Inception Date |
| Since Inception |
ETF Shares |
| 2/13/2018 |
|
|
Market Price |
|
|
| 11.89% |
Net Asset Value |
|
|
| 11.86 |
U.S. Liquidity Factor ETF
Sector Diversification
As of November 30, 2018
Consumer Discretionary |
| 8.8% |
Consumer Staples |
| 4.0 |
Energy |
| 2.1 |
Financial Services |
| 36.2 |
Health Care |
| 15.6 |
Materials & Processing |
| 7.2 |
Producer Durables |
| 14.5 |
Technology |
| 6.7 |
Utilities |
| 4.9 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Liquidity Factor ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.2%)1 |
|
|
|
|
| ||
Consumer Discretionary (8.7%) |
|
|
|
|
| ||
|
| Sirius XM Holdings Inc. |
| 16,241 |
| 101 |
|
|
| VF Corp. |
| 790 |
| 64 |
|
|
| Ross Stores Inc. |
| 688 |
| 60 |
|
|
| Las Vegas Sands Corp. |
| 1,020 |
| 56 |
|
* |
| K12 Inc. |
| 1,892 |
| 45 |
|
|
| Penske Automotive Group Inc. |
| 1,027 |
| 45 |
|
|
| News Corp. Class A |
| 3,429 |
| 45 |
|
|
| Choice Hotels International Inc. |
| 543 |
| 42 |
|
* |
| Bright Horizons Family Solutions Inc. |
| 260 |
| 32 |
|
|
| AMERCO |
| 88 |
| 31 |
|
* |
| El Pollo Loco Holdings Inc. |
| 1,806 |
| 28 |
|
* |
| Monarch Casino & Resort Inc. |
| 681 |
| 27 |
|
|
| International Speedway Corp. Class A |
| 617 |
| 26 |
|
* |
| Revlon Inc. Class A |
| 988 |
| 25 |
|
* |
| Denny’s Corp. |
| 1,442 |
| 24 |
|
* |
| Churchill Downs Inc. |
| 84 |
| 23 |
|
* |
| Barnes & Noble Education Inc. |
| 3,498 |
| 23 |
|
* |
| Central Garden & Pet Co. Class A |
| 742 |
| 23 |
|
|
| Scholastic Corp. |
| 497 |
| 23 |
|
|
| Haverty Furniture Cos. Inc. |
| 1,094 |
| 22 |
|
* |
| MasterCraft Boat Holdings Inc. |
| 830 |
| 22 |
|
* |
| Drive Shack Inc. |
| 4,549 |
| 21 |
|
* |
| Tribune Publishing Co. |
| 1,452 |
| 21 |
|
|
| Carnival Corp. |
| 335 |
| 20 |
|
|
| Matthews International Corp. Class A |
| 460 |
| 19 |
|
* |
| 2U Inc. |
| 331 |
| 19 |
|
* |
| Eros International plc |
| 2,064 |
| 19 |
|
* |
| Liberty Media Corp-Liberty Formula One |
| 613 |
| 18 |
|
* |
| Vera Bradley Inc. |
| 1,550 |
| 17 |
|
* |
| Potbelly Corp. |
| 1,558 |
| 16 |
|
* |
| WideOpenWest Inc. |
| 1,673 |
| 16 |
|
* |
| Motorcar Parts of America Inc. |
| 857 |
| 15 |
|
* |
| Grand Canyon Education Inc. |
| 118 |
| 14 |
|
|
| Columbia Sportswear Co. |
| 153 |
| 14 |
|
|
| Marcus Corp. |
| 286 |
| 12 |
|
|
| Cable One Inc. |
| 13 |
| 12 |
|
|
| Marriott Vacations Worldwide Corp. |
| 140 |
| 11 |
|
* |
| Liberty Media Corp-Liberty SiriusXM Class C |
| 282 |
| 11 |
|
|
| Pool Corp. |
| 64 |
| 10 |
|
|
| Entravision Communications Corp. Class A |
| 3,121 |
| 10 |
|
|
| Inter Parfums Inc. |
| 158 |
| 10 |
|
|
| Emerald Expositions Events Inc. |
| 778 |
| 9 |
|
* |
| America’s Car-Mart Inc. |
| 121 |
| 9 |
|
|
| National Presto Industries Inc. |
| 69 |
| 9 |
|
* |
| Regis Corp. |
| 470 |
| 9 |
|
* |
| Career Education Corp. |
| 615 |
| 8 |
|
* |
| Belmond Ltd. Class A |
| 451 |
| 8 |
|
|
| Johnson Outdoors Inc. Class A |
| 115 |
| 8 |
|
* |
| Lands’ End Inc. |
| 381 |
| 8 |
|
* |
| QuinStreet Inc. |
| 484 |
| 8 |
|
* |
| Liberty Media Corp-Liberty Braves |
| 295 |
| 7 |
|
|
| HealthStream Inc. |
| 299 |
| 7 |
|
|
| Service Corp. International |
| 157 |
| 7 |
|
* |
| Bridgepoint Education Inc. Class A |
| 862 |
| 7 |
|
* |
| Stoneridge Inc. |
| 256 |
| 7 |
|
* |
| Duluth Holdings Inc. |
| 217 |
| 7 |
|
|
| Tower International Inc. |
| 227 |
| 6 |
|
|
| Acushnet Holdings Corp. |
| 272 |
| 6 |
|
|
| Movado Group Inc. |
| 154 |
| 6 |
|
* |
| Gentherm Inc. |
| 120 |
| 6 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Hooker Furniture Corp. |
| 182 |
| 6 |
|
|
| Standard Motor Products Inc. |
| 104 |
| 6 |
|
|
| Citi Trends Inc. |
| 246 |
| 5 |
|
* |
| Cimpress NV |
| 41 |
| 5 |
|
* |
| Cavco Industries Inc. |
| 30 |
| 5 |
|
* |
| ServiceMaster Global Holdings Inc. |
| 111 |
| 5 |
|
* |
| American Public Education Inc. |
| 155 |
| 5 |
|
* |
| Care.com Inc. |
| 267 |
| 5 |
|
* |
| Golden Entertainment Inc. |
| 262 |
| 5 |
|
|
| Gentex Corp. |
| 206 |
| 5 |
|
* |
| Liberty Broadband Corp. |
| 53 |
| 5 |
|
* |
| Universal Electronics Inc. |
| 129 |
| 5 |
|
* |
| Carrols Restaurant Group Inc. |
| 402 |
| 4 |
|
|
| Texas Roadhouse Inc. Class A |
| 67 |
| 4 |
|
|
| KAR Auction Services Inc. |
| 77 |
| 4 |
|
* |
| Quotient Technology Inc. |
| 348 |
| 4 |
|
|
| Viad Corp. |
| 82 |
| 4 |
|
|
| Garmin Ltd. |
| 60 |
| 4 |
|
|
| Ruth’s Hospitality Group Inc. |
| 161 |
| 4 |
|
|
| Cinemark Holdings Inc. |
| 98 |
| 4 |
|
|
| Carriage Services Inc. Class A |
| 220 |
| 4 |
|
|
| Extended Stay America Inc. |
| 193 |
| 4 |
|
|
| Aramark |
| 92 |
| 4 |
|
* |
| Del Taco Restaurants Inc. |
| 304 |
| 3 |
|
* |
| Sportsman’s Warehouse Holdings Inc. |
| 718 |
| 3 |
|
* |
| Visteon Corp. |
| 42 |
| 3 |
|
* |
| Chuy’s Holdings Inc. |
| 144 |
| 3 |
|
|
| New Media Investment Group Inc. |
| 232 |
| 3 |
|
|
| Sonic Automotive Inc. Class A |
| 178 |
| 3 |
|
|
| Cato Corp. Class A |
| 184 |
| 3 |
|
|
| Superior Industries International Inc. |
| 364 |
| 3 |
|
|
|
|
|
|
| 1,364 |
|
Consumer Staples (3.9%) |
|
|
|
|
| ||
* |
| Monster Beverage Corp. |
| 1,706 |
| 102 |
|
|
| Sysco Corp. |
| 1,182 |
| 80 |
|
* |
| Simply Good Foods Co. |
| 2,625 |
| 53 |
|
* |
| Performance Food Group Co. |
| 1,194 |
| 41 |
|
|
| Kraft Heinz Co. |
| 610 |
| 31 |
|
|
| Coca-Cola European Partners plc |
| 638 |
| 31 |
|
|
| Flowers Foods Inc. |
| 1,504 |
| 30 |
|
|
| SpartanNash Co. |
| 1,250 |
| 23 |
|
|
| Lancaster Colony Corp. |
| 128 |
| 23 |
|
|
| Ingredion Inc. |
| 207 |
| 22 |
|
|
| Brown-Forman Corp. Class B |
| 406 |
| 19 |
|
* |
| Pilgrim’s Pride Corp. |
| 830 |
| 16 |
|
|
| Kimberly-Clark Corp. |
| 128 |
| 15 |
|
|
| Colgate-Palmolive Co. |
| 227 |
| 14 |
|
* |
| Farmer Brothers Co. |
| 591 |
| 14 |
|
* |
| Chefs’ Warehouse Inc. |
| 314 |
| 12 |
|
* |
| Freshpet Inc. |
| 362 |
| 12 |
|
|
| Turning Point Brands Inc. |
| 358 |
| 11 |
|
|
| General Mills Inc. |
| 229 |
| 10 |
|
* |
| Primo Water Corp. |
| 530 |
| 8 |
|
|
| National Beverage Corp. |
| 88 |
| 8 |
|
|
| Weis Markets Inc. |
| 148 |
| 7 |
|
|
| Lamb Weston Holdings Inc. |
| 87 |
| 7 |
|
|
| Tootsie Roll Industries Inc. |
| 188 |
| 7 |
|
|
| Ingles Markets Inc. Class A |
| 204 |
| 6 |
|
|
| WD-40 Co. |
| 31 |
| 5 |
|
|
| Andersons Inc. |
| 162 |
| 5 |
|
|
| Nu Skin Enterprises Inc. Class A |
| 54 |
| 3 |
|
|
|
|
|
|
| 615 |
|
Energy (2.1%) |
|
|
|
|
| ||
|
| Phillips 66 |
| 817 |
| 76 |
|
* |
| EP Energy Corp. Class A |
| 23,949 |
| 26 |
|
* |
| SEACOR Marine Holdings Inc. |
| 1,234 |
| 22 |
|
* |
| Par Pacific Holdings Inc. |
| 1,184 |
| 20 |
|
* |
| Frank’s International NV |
| 2,498 |
| 18 |
|
* |
| NCS Multistage Holdings Inc. |
| 2,398 |
| 17 |
|
|
| Kinder Morgan Inc. |
| 1,015 |
| 17 |
|
* |
| Abraxas Petroleum Corp. |
| 10,399 |
| 17 |
|
* |
| Newpark Resources Inc. |
| 2,049 |
| 16 |
|
|
| EOG Resources Inc. |
| 103 |
| 11 |
|
* |
| ION Geophysical Corp. |
| 1,017 |
| 9 |
|
* |
| TPI Composites Inc. |
| 325 |
| 9 |
|
* |
| Centennial Resource Development Inc.Class A |
| 529 |
| 8 |
|
* |
| Clean Energy Fuels Corp. |
| 3,648 |
| 8 |
|
|
| Valvoline Inc. |
| 273 |
| 6 |
|
* |
| Pioneer Energy Services Corp. |
| 2,258 |
| 6 |
|
|
| Mammoth Energy Services Inc. |
| 219 |
| 6 |
|
* |
| Matrix Service Co. |
| 243 |
| 5 |
|
|
| RPC Inc. |
| 356 |
| 5 |
|
|
| TerraForm Power Inc. Class A |
| 327 |
| 4 |
|
* |
| Tellurian Inc. |
| 506 |
| 4 |
|
* |
| REX American Resources Corp. |
| 48 |
| 3 |
|
* |
| Exterran Corp. |
| 136 |
| 3 |
|
* |
| TETRA Technologies Inc. |
| 1,141 |
| 3 |
|
|
|
|
|
|
| 319 |
|
Financial Services (36.0%) |
|
|
|
|
| ||
|
| Intercontinental Exchange Inc. |
| 1,589 |
| 130 |
|
|
| Aon plc |
| 760 |
| 125 |
|
|
| Marsh & McLennan Cos. Inc. |
| 1,390 |
| 123 |
|
|
| Prudential Financial Inc. |
| 1,195 |
| 112 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Moody’s Corp. |
| 673 |
| 107 |
|
|
| Aflac Inc. |
| 2,255 |
| 103 |
|
|
| TD Ameritrade Holding Corp. |
| 1,896 |
| 102 |
|
|
| Chubb Ltd. |
| 748 |
| 100 |
|
|
| CME Group Inc. |
| 508 |
| 97 |
|
|
| Prologis Inc. |
| 1,412 |
| 95 |
|
|
| Public Storage |
| 436 |
| 93 |
|
* |
| Fiserv Inc. |
| 1,107 |
| 88 |
|
|
| Progressive Corp. |
| 1,154 |
| 77 |
|
|
| Fidelity National Information Services Inc. |
| 684 |
| 74 |
|
|
| BB&T Corp. |
| 1,416 |
| 72 |
|
|
| Capital One Financial Corp. |
| 778 |
| 70 |
|
|
| Erie Indemnity Co. Class A |
| 486 |
| 67 |
|
|
| Bank of New York Mellon Corp. |
| 1,282 |
| 66 |
|
|
| S&P Global Inc. |
| 340 |
| 62 |
|
|
| State Street Corp. |
| 834 |
| 61 |
|
* |
| OneMain Holdings Inc. |
| 1,983 |
| 58 |
|
|
| SunTrust Banks Inc. |
| 908 |
| 57 |
|
|
| Medical Properties Trust Inc. |
| 3,205 |
| 55 |
|
|
| Universal Health Realty Income Trust |
| 749 |
| 53 |
|
|
| Stifel Financial Corp. |
| 1,053 |
| 51 |
|
|
| BlackRock Inc. |
| 115 |
| 49 |
|
|
| CNO Financial Group Inc. |
| 2,473 |
| 45 |
|
|
| Simon Property Group Inc. |
| 241 |
| 45 |
|
|
| Selective Insurance Group Inc. |
| 671 |
| 45 |
|
|
| Weingarten Realty Investors |
| 1,540 |
| 44 |
|
|
| Equinix Inc. |
| 112 |
| 43 |
|
|
| Primerica Inc. |
| 357 |
| 42 |
|
|
| Gladstone Commercial Corp. |
| 2,192 |
| 42 |
|
|
| TFS Financial Corp. |
| 2,598 |
| 42 |
|
|
| MetLife Inc. |
| 904 |
| 40 |
|
|
| Allstate Corp. |
| 442 |
| 39 |
|
|
| United Bankshares Inc. |
| 1,089 |
| 39 |
|
|
| Investors Real Estate Trust |
| 7,232 |
| 39 |
|
|
| First Citizens BancShares Inc. Class A |
| 89 |
| 38 |
|
|
| CNA Financial Corp. |
| 799 |
| 37 |
|
|
| Peapack Gladstone Financial Corp. |
| 1,217 |
| 35 |
|
|
| City Office REIT Inc. |
| 3,159 |
| 35 |
|
|
| Commerce Bancshares Inc. |
| 547 |
| 34 |
|
|
| Equity Commonwealth |
| 1,073 |
| 34 |
|
|
| Front Yard Residential Corp. |
| 3,716 |
| 33 |
|
|
| Home BancShares Inc. |
| 1,700 |
| 33 |
|
|
| Travelers Cos. Inc. |
| 253 |
| 33 |
|
|
| Independent Bank Corp. |
| 1,416 |
| 33 |
|
|
| Morningstar Inc. |
| 275 |
| 32 |
|
|
| UMB Financial Corp. |
| 479 |
| 32 |
|
|
| Ryman Hospitality Properties Inc. |
| 432 |
| 32 |
|
* |
| Enstar Group Ltd. |
| 180 |
| 32 |
|
|
| FirstCash Inc. |
| 355 |
| 32 |
|
|
| Prosperity Bancshares Inc. |
| 455 |
| 32 |
|
|
| Urstadt Biddle Properties Inc. Class A |
| 1,525 |
| 31 |
|
|
| Paramount Group Inc. |
| 2,191 |
| 31 |
|
|
| First Hawaiian Inc. |
| 1,195 |
| 31 |
|
* |
| First Foundation Inc. |
| 1,936 |
| 31 |
|
|
| IBERIABANK Corp. |
| 413 |
| 31 |
|
|
| FNB Corp. |
| 2,502 |
| 31 |
|
|
| Chemical Financial Corp. |
| 641 |
| 30 |
|
|
| JBG SMITH Properties |
| 750 |
| 30 |
|
|
| ConnectOne Bancorp Inc. |
| 1,465 |
| 30 |
|
|
| Rayonier Inc. |
| 932 |
| 29 |
|
|
| BOK Financial Corp. |
| 347 |
| 29 |
|
|
| Hancock Whitney Corp. |
| 713 |
| 29 |
|
|
| Popular Inc. |
| 503 |
| 28 |
|
|
| CatchMark Timber Trust Inc. Class A |
| 3,340 |
| 28 |
|
|
| Santander Consumer USA Holdings Inc. |
| 1,423 |
| 28 |
|
|
| Janus Henderson Group plc |
| 1,180 |
| 28 |
|
|
| American National Insurance Co. |
| 216 |
| 28 |
|
|
| Equity LifeStyle Properties Inc. |
| 276 |
| 27 |
|
|
| American Campus Communities Inc. |
| 617 |
| 27 |
|
|
| PNC Financial Services Group Inc. |
| 199 |
| 27 |
|
|
| Liberty Property Trust |
| 579 |
| 26 |
|
* |
| CoreLogic Inc. |
| 645 |
| 26 |
|
|
| Cincinnati Financial Corp. |
| 317 |
| 26 |
|
|
| Old Republic International Corp. |
| 1,119 |
| 25 |
|
|
| Douglas Emmett Inc. |
| 680 |
| 25 |
|
|
| Midland States Bancorp Inc. |
| 960 |
| 25 |
|
|
| Valley National Bancorp |
| 2,291 |
| 25 |
|
|
| Diamond Hill Investment Group Inc. |
| 147 |
| 25 |
|
* |
| Howard Hughes Corp. |
| 214 |
| 24 |
|
|
| Heritage Insurance Holdings Inc. |
| 1,464 |
| 24 |
|
|
| Charles Schwab Corp. |
| 521 |
| 23 |
|
|
| BGC Partners Inc. Class A |
| 2,186 |
| 23 |
|
|
| Piper Jaffray Cos. |
| 322 |
| 23 |
|
|
| Tompkins Financial Corp. |
| 281 |
| 23 |
|
|
| UDR Inc. |
| 538 |
| 23 |
|
|
| Hilltop Holdings Inc. |
| 1,169 |
| 23 |
|
|
| Jones Lang LaSalle Inc. |
| 159 |
| 23 |
|
|
| Nelnet Inc. Class A |
| 416 |
| 23 |
|
|
| Torchmark Corp. |
| 262 |
| 23 |
|
|
| Bryn Mawr Bank Corp. |
| 573 |
| 23 |
|
|
| Assured Guaranty Ltd. |
| 544 |
| 22 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Umpqua Holdings Corp. |
| 1,142 |
| 22 |
|
|
| RMR Group Inc. Class A |
| 334 |
| 22 |
|
|
| Oritani Financial Corp. |
| 1,370 |
| 21 |
|
|
| TCF Financial Corp. |
| 947 |
| 21 |
|
|
| Jefferies Financial Group Inc. |
| 964 |
| 21 |
|
|
| TrustCo Bank Corp. NY |
| 2,651 |
| 21 |
|
|
| Healthcare Trust of America Inc. Class A |
| 721 |
| 20 |
|
|
| PS Business Parks Inc. |
| 143 |
| 20 |
|
* |
| Customers Bancorp Inc. |
| 1,028 |
| 20 |
|
|
| Meridian Bancorp Inc. |
| 1,224 |
| 20 |
|
|
| GAIN Capital Holdings Inc. |
| 2,721 |
| 20 |
|
|
| ServisFirst Bancshares Inc. |
| 502 |
| 20 |
|
* |
| Equity Bancshares Inc. Class A |
| 504 |
| 19 |
|
|
| Hospitality Properties Trust |
| 611 |
| 16 |
|
|
| Bank of Hawaii Corp. |
| 203 |
| 16 |
|
* |
| Everi Holdings Inc. |
| 2,366 |
| 16 |
|
|
| Banco Latinoamericano de Comercio Exterior SA |
| 870 |
| 15 |
|
* |
| Fair Isaac Corp. |
| 70 |
| 14 |
|
* |
| Greenlight Capital Re Ltd. Class A |
| 1,263 |
| 13 |
|
|
| American Tower Corp. |
| 80 |
| 13 |
|
* |
| On Deck Capital Inc. |
| 1,636 |
| 13 |
|
|
| Cedar Realty Trust Inc. |
| 3,487 |
| 13 |
|
|
| American Express Co. |
| 109 |
| 12 |
|
* |
| eHealth Inc. |
| 317 |
| 12 |
|
|
| Senior Housing Properties Trust |
| 881 |
| 12 |
|
|
| WP Carey Inc. |
| 177 |
| 12 |
|
|
| OFG Bancorp |
| 628 |
| 11 |
|
|
| Hanover Insurance Group Inc. |
| 99 |
| 11 |
|
|
| United Financial Bancorp Inc. |
| 693 |
| 11 |
|
|
| Brown & Brown Inc. |
| 384 |
| 11 |
|
|
| WR Berkley Corp. |
| 141 |
| 11 |
|
|
| Maiden Holdings Ltd. |
| 4,303 |
| 11 |
|
* |
| Euronet Worldwide Inc. |
| 91 |
| 11 |
|
|
| 1st Source Corp. |
| 221 |
| 11 |
|
|
| Sun Communities Inc. |
| 97 |
| 10 |
|
|
| Alleghany Corp. |
| 16 |
| 10 |
|
|
| First Industrial Realty Trust Inc. |
| 308 |
| 10 |
|
|
| Healthcare Realty Trust Inc. |
| 309 |
| 10 |
|
|
| Apple Hospitality REIT Inc. |
| 590 |
| 9 |
|
|
| Associated Banc-Corp |
| 402 |
| 9 |
|
|
| US Bancorp |
| 169 |
| 9 |
|
|
| United Fire Group Inc. |
| 170 |
| 9 |
|
* |
| Markel Corp. |
| 8 |
| 9 |
|
|
| Kinsale Capital Group Inc. |
| 138 |
| 9 |
|
|
| Highwoods Properties Inc. |
| 195 |
| 8 |
|
* |
| TriState Capital Holdings Inc. |
| 328 |
| 8 |
|
|
| First American Financial Corp. |
| 164 |
| 8 |
|
|
| First Bancorp |
| 197 |
| 8 |
|
|
| BancFirst Corp. |
| 141 |
| 8 |
|
|
| Tier REIT Inc. |
| 334 |
| 8 |
|
|
| NorthStar Realty Europe Corp. |
| 479 |
| 8 |
|
|
| S&T Bancorp Inc. |
| 184 |
| 8 |
|
|
| United Insurance Holdings Corp. |
| 400 |
| 8 |
|
|
| Fidelity Southern Corp. |
| 325 |
| 8 |
|
|
| TriCo Bancshares |
| 198 |
| 8 |
|
|
| Pinnacle Financial Partners Inc. |
| 131 |
| 8 |
|
* |
| Essent Group Ltd. |
| 193 |
| 7 |
|
|
| Wintrust Financial Corp. |
| 96 |
| 7 |
|
|
| Radian Group Inc. |
| 401 |
| 7 |
|
|
| National Western Life Group Inc. Class A |
| 24 |
| 7 |
|
* |
| Marcus & Millichap Inc. |
| 202 |
| 7 |
|
|
| FB Financial Corp. |
| 190 |
| 7 |
|
|
| Webster Financial Corp. |
| 121 |
| 7 |
|
|
| MarketAxess Holdings Inc. |
| 33 |
| 7 |
|
|
| Kilroy Realty Corp. |
| 102 |
| 7 |
|
|
| American Financial Group Inc. |
| 69 |
| 7 |
|
* |
| Triumph Bancorp Inc. |
| 184 |
| 7 |
|
|
| Heritage Financial Corp. |
| 200 |
| 7 |
|
|
| Jack Henry & Associates Inc. |
| 50 |
| 7 |
|
* |
| Franklin Financial Network Inc. |
| 207 |
| 7 |
|
|
| EPR Properties |
| 98 |
| 7 |
|
|
| National Bank Holdings Corp. Class A |
| 186 |
| 7 |
|
|
| Safety Insurance Group Inc. |
| 77 |
| 7 |
|
* |
| Veritex Holdings Inc. |
| 262 |
| 7 |
|
|
| Community Healthcare Trust Inc. |
| 213 |
| 7 |
|
|
| National General Holdings Corp. |
| 253 |
| 7 |
|
|
| Univest Corp. of Pennsylvania |
| 261 |
| 7 |
|
|
| Eaton Vance Corp. |
| 163 |
| 7 |
|
|
| UMH Properties Inc. |
| 508 |
| 7 |
|
* |
| Bancorp Inc. |
| 665 |
| 7 |
|
|
| City Holding Co. |
| 86 |
| 7 |
|
* |
| Western Alliance Bancorp |
| 139 |
| 7 |
|
|
| Park National Corp. |
| 68 |
| 7 |
|
|
| SEI Investments Co. |
| 121 |
| 7 |
|
|
| Carolina Financial Corp. |
| 185 |
| 6 |
|
* |
| SLM Corp. |
| 616 |
| 6 |
|
|
| Southside Bancshares Inc. |
| 183 |
| 6 |
|
|
| Lakeland Bancorp Inc. |
| 376 |
| 6 |
|
|
| Alexander’s Inc. |
| 20 |
| 6 |
|
|
| Lakeland Financial Corp. |
| 134 |
| 6 |
|
|
| Employers Holdings Inc. |
| 138 |
| 6 |
|
|
| Dime Community Bancshares Inc. |
| 336 |
| 6 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Gaming and Leisure Properties Inc. |
| 178 |
| 6 |
|
|
| NBT Bancorp Inc. |
| 156 |
| 6 |
|
|
| Sunstone Hotel Investors Inc. |
| 398 |
| 6 |
|
|
| Hudson Pacific Properties Inc. |
| 194 |
| 6 |
|
|
| WesBanco Inc. |
| 137 |
| 6 |
|
|
| First Busey Corp. |
| 207 |
| 6 |
|
|
| LPL Financial Holdings Inc. |
| 91 |
| 6 |
|
|
| Reinsurance Group of America Inc. Class A |
| 39 |
| 6 |
|
|
| Loews Corp. |
| 121 |
| 6 |
|
|
| OceanFirst Financial Corp. |
| 224 |
| 6 |
|
* |
| Arch Capital Group Ltd. |
| 198 |
| 6 |
|
|
| BankUnited Inc. |
| 164 |
| 6 |
|
* |
| INTL. FCStone Inc. |
| 145 |
| 6 |
|
|
| Heartland Financial USA Inc. |
| 103 |
| 6 |
|
|
| Synovus Financial Corp. |
| 149 |
| 6 |
|
|
| Cullen/Frost Bankers Inc. |
| 55 |
| 6 |
|
|
| Iron Mountain Inc. |
| 159 |
| 5 |
|
|
| Axis Capital Holdings Ltd. |
| 97 |
| 5 |
|
|
| First Financial Bankshares Inc. |
| 81 |
| 5 |
|
|
| Live Oak Bancshares Inc. |
| 292 |
| 5 |
|
|
| Sandy Spring Bancorp Inc. |
| 145 |
| 5 |
|
|
| Lazard Ltd. Class A |
| 130 |
| 5 |
|
|
| Braemar Hotels & Resorts Inc. |
| 537 |
| 5 |
|
|
| Towne Bank |
| 177 |
| 5 |
|
|
| PJT Partners Inc. |
| 107 |
| 5 |
|
|
| Provident Financial Services Inc. |
| 196 |
| 5 |
|
|
| Central Pacific Financial Corp. |
| 179 |
| 5 |
|
|
| WSFS Financial Corp. |
| 118 |
| 5 |
|
|
| National Retail Properties Inc. |
| 99 |
| 5 |
|
|
| Lamar Advertising Co. Class A |
| 64 |
| 5 |
|
|
| Federal Agricultural Mortgage Corp. |
| 73 |
| 5 |
|
|
| Independent Bank Corp. |
| 60 |
| 5 |
|
|
| Getty Realty Corp. |
| 156 |
| 5 |
|
|
| STORE Capital Corp. |
| 158 |
| 5 |
|
|
| Life Storage Inc. |
| 47 |
| 5 |
|
|
| Jernigan Capital Inc. |
| 214 |
| 5 |
|
|
| Westamerica Bancorporation |
| 72 |
| 5 |
|
|
| Bluerock Residential Growth REIT Inc. Class A |
| 498 |
| 5 |
|
|
| Cousins Properties Inc. |
| 532 |
| 4 |
|
|
| Investors Bancorp Inc. |
| 361 |
| 4 |
|
* |
| Enova International Inc. |
| 199 |
| 4 |
|
|
| Arthur J Gallagher & Co. |
| 57 |
| 4 |
|
* |
| MGIC Investment Corp. |
| 374 |
| 4 |
|
|
| Apartment Investment & Management Co. |
| 93 |
| 4 |
|
|
| Fidelity National Financial Inc. |
| 129 |
| 4 |
|
* |
| Seacoast Banking Corp. of Florida |
| 149 |
| 4 |
|
|
| Ashford Hospitality Trust Inc. |
| 849 |
| 4 |
|
|
| AMERISAFE Inc. |
| 65 |
| 4 |
|
* |
| Flagstar Bancorp Inc. |
| 128 |
| 4 |
|
|
| CorEnergy Infrastructure Trust Inc. |
| 114 |
| 4 |
|
|
| Park Hotels & Resorts Inc. |
| 134 |
| 4 |
|
|
| Farmland Partners Inc. |
| 666 |
| 4 |
|
|
| PacWest Bancorp |
| 102 |
| 4 |
|
|
| Franklin Street Properties Corp. |
| 532 |
| 4 |
|
|
| Cohen & Steers Inc. |
| 109 |
| 4 |
|
|
| American Homes 4 Rent Class A |
| 194 |
| 4 |
|
|
| Capitol Federal Financial Inc. |
| 286 |
| 4 |
|
* |
| PennyMac Financial Services Inc. |
| 194 |
| 4 |
|
* |
| St. Joe Co. |
| 262 |
| 4 |
|
|
| RenaissanceRe Holdings Ltd. |
| 29 |
| 4 |
|
|
| CVB Financial Corp. |
| 163 |
| 4 |
|
|
| Enterprise Financial Services Corp. |
| 84 |
| 4 |
|
|
| Hanmi Financial Corp. |
| 166 |
| 4 |
|
|
| Horace Mann Educators Corp. |
| 92 |
| 4 |
|
|
| First Merchants Corp. |
| 88 |
| 4 |
|
|
| First Financial Bancorp |
| 132 |
| 4 |
|
|
| Kearny Financial Corp. |
| 278 |
| 4 |
|
|
| First Commonwealth Financial Corp. |
| 263 |
| 4 |
|
|
| Boston Private Financial Holdings Inc. |
| 286 |
| 4 |
|
|
| International Bancshares Corp. |
| 94 |
| 4 |
|
|
| Brookline Bancorp Inc. |
| 226 |
| 4 |
|
|
| Preferred Bank |
| 68 |
| 3 |
|
|
| Monmouth Real Estate Investment Corp. |
| 248 |
| 3 |
|
|
| East West Bancorp Inc. |
| 64 |
| 3 |
|
|
| BBX Capital Corp. Class A |
| 502 |
| 3 |
|
|
| Raymond James Financial Inc. |
| 42 |
| 3 |
|
|
| Taubman Centers Inc. |
| 63 |
| 3 |
|
|
| Renasant Corp. |
| 88 |
| 3 |
|
|
| Independent Bank Group Inc. |
| 55 |
| 3 |
|
|
| Navient Corp. |
| 272 |
| 3 |
|
|
| Sterling Bancorp |
| 159 |
| 3 |
|
|
| Universal Insurance Holdings Inc. |
| 68 |
| 3 |
|
|
| Principal Financial Group Inc. |
| 60 |
| 3 |
|
|
| Opus Bank |
| 135 |
| 3 |
|
|
| RE/MAX Holdings Inc. Class A |
| 80 |
| 3 |
|
* |
| Texas Capital Bancshares Inc. |
| 41 |
| 2 |
|
|
|
|
|
|
| 5,624 |
|
Health Care (15.5%) |
|
|
|
|
| ||
|
| Danaher Corp. |
| 842 |
| 92 |
|
|
| HCA Healthcare Inc. |
| 596 |
| 86 |
|
|
| Zoetis Inc. |
| 913 |
| 86 |
|
|
| Baxter International Inc. |
| 1,228 |
| 84 |
|
U.S. Liquidity Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares
|
| ($000
| )
| |
* | Illumina Inc. |
| 246 |
| 83 |
|
* | Boston Scientific Corp. |
| 2,148 |
| 81 |
|
| Becton Dickinson and Co. |
| 318 |
| 80 |
|
| Stryker Corp. |
| 452 |
| 79 |
|
| Thermo Fisher Scientific Inc. |
| 299 |
| 75 |
|
* | Edwards Lifesciences Corp. |
| 417 |
| 68 |
|
* | CASI Pharmaceuticals Inc. |
| 12,935 |
| 56 |
|
* | Genomic Health Inc. |
| 666 |
| 53 |
|
| Bruker Corp. |
| 1,397 |
| 46 |
|
| Eli Lilly & Co. |
| 356 |
| 42 |
|
| Humana Inc. |
| 126 |
| 42 |
|
* | Vertex Pharmaceuticals Inc. |
| 211 |
| 38 |
|
* | Xencor Inc. |
| 900 |
| 38 |
|
* | PDL BioPharma Inc. |
| 11,569 |
| 36 |
|
| Abbott Laboratories |
| 444 |
| 33 |
|
| Computer Programs & Systems Inc. |
| 1,232 |
| 33 |
|
| Cantel Medical Corp. |
| 378 |
| 32 |
|
* | Codexis Inc. |
| 1,473 |
| 32 |
|
* | QIAGEN NV |
| 881 |
| 31 |
|
* | Penumbra Inc. |
| 211 |
| 29 |
|
* | HealthEquity Inc. |
| 323 |
| 29 |
|
* | CareDx Inc. |
| 957 |
| 28 |
|
* | R1 RCM Inc. |
| 3,031 |
| 28 |
|
* | Kura Oncology Inc. |
| 2,039 |
| 26 |
|
* | STAAR Surgical Co. |
| 679 |
| 26 |
|
* | Retrophin Inc. |
| 1,018 |
| 25 |
|
* | ICU Medical Inc. |
| 101 |
| 24 |
|
* | Charles River Laboratories International Inc. |
| 179 |
| 24 |
|
* | BioScrip Inc. |
| 5,886 |
| 23 |
|
* | Capital Senior Living Corp. |
| 2,530 |
| 23 |
|
* | Neogen Corp. |
| 339 |
| 22 |
|
| Hill-Rom Holdings Inc. |
| 226 |
| 22 |
|
* | Insulet Corp. |
| 258 |
| 22 |
|
* | MacroGenics Inc. |
| 1,257 |
| 22 |
|
| Encompass Health Corp. |
| 282 |
| 21 |
|
* | RadNet Inc. |
| 1,588 |
| 20 |
|
* | Theravance Biopharma Inc. |
| 733 |
| 20 |
|
* | Seattle Genetics Inc. |
| 302 |
| 19 |
|
* | Senseonics Holdings Inc. |
| 5,547 |
| 19 |
|
* | ChemoCentryx Inc. |
| 1,869 |
| 19 |
|
* | Ra Pharmaceuticals Inc. |
| 1,188 |
| 19 |
|
| LeMaitre Vascular Inc. |
| 665 |
| 19 |
|
* | American Renal Associates Holdings Inc. |
| 1,096 |
| 18 |
|
* | Haemonetics Corp. |
| 162 |
| 17 |
|
* | Calithera Biosciences Inc. |
| 3,509 |
| 17 |
|
* | Amphastar Pharmaceuticals Inc. |
| 785 |
| 17 |
|
* | FibroGen Inc. |
| 385 |
| 17 |
|
* | GenMark Diagnostics Inc. |
| 3,184 |
| 17 |
|
* | Dicerna Pharmaceuticals Inc. |
| 1,100 |
| 16 |
|
| National HealthCare Corp. |
| 186 |
| 16 |
|
* | NeoGenomics Inc. |
| 908 |
| 15 |
|
| Bio-Techne Corp. |
| 87 |
| 14 |
|
* | Optinose Inc. |
| 1,756 |
| 14 |
|
* | Dova Pharmaceuticals Inc. |
| 921 |
| 14 |
|
| Chemed Corp. |
| 41 |
| 13 |
|
* | AtriCure Inc. |
| 379 |
| 13 |
|
* | Syndax Pharmaceuticals Inc. |
| 2,487 |
| 13 |
|
* | Teligent Inc. |
| 5,857 |
| 12 |
|
* | CryoLife Inc. |
| 394 |
| 12 |
|
* | NanoString Technologies Inc. |
| 666 |
| 11 |
|
* | Invitae Corp. |
| 799 |
| 11 |
|
* | Adverum Biotechnologies Inc. |
| 3,062 |
| 11 |
|
* | Ardelyx Inc. |
| 4,007 |
| 11 |
|
* | T2 Biosystems Inc. |
| 2,415 |
| 11 |
|
* | Tetraphase Pharmaceuticals Inc. |
| 5,961 |
| 11 |
|
| Atrion Corp. |
| 13 |
| 10 |
|
* | Jounce Therapeutics Inc. |
| 2,319 |
| 10 |
|
| West Pharmaceutical Services Inc. |
| 91 |
| 10 |
|
| Ensign Group Inc. |
| 215 |
| 10 |
|
* | Sientra Inc. |
| 549 |
| 9 |
|
* | Fate Therapeutics Inc. |
| 605 |
| 9 |
|
| STERIS plc |
| 76 |
| 9 |
|
| US Physical Therapy Inc. |
| 76 |
| 9 |
|
* | Aratana Therapeutics Inc. |
| 1,319 |
| 9 |
|
* | WaVe Life Sciences Ltd. |
| 176 |
| 8 |
|
* | Integra LifeSciences Holdings Corp. |
| 148 |
| 8 |
|
| Luminex Corp. |
| 256 |
| 8 |
|
* | Antares Pharma Inc. |
| 2,076 |
| 7 |
|
* | Catalent Inc. |
| 171 |
| 7 |
|
| PerkinElmer Inc. |
| 76 |
| 7 |
|
* | NextGen Healthcare Inc. |
| 360 |
| 6 |
|
* | Providence Service Corp. |
| 89 |
| 6 |
|
* | PRA Health Sciences Inc. |
| 52 |
| 6 |
|
* | AngioDynamics Inc. |
| 279 |
| 6 |
|
* | Medidata Solutions Inc. |
| 77 |
| 6 |
|
* | G1 Therapeutics Inc. |
| 155 |
| 6 |
|
* | Karyopharm Therapeutics Inc. |
| 566 |
| 6 |
|
| Meridian Bioscience Inc. |
| 298 |
| 6 |
|
* | Triple-S Management Corp. Class B |
| 288 |
| 5 |
|
* | Catalyst Pharmaceuticals Inc. |
| 2,166 |
| 5 |
|
* | Bio-Rad Laboratories Inc. Class A |
| 20 |
| 5 |
|
| Phibro Animal Health Corp. Class A |
| 144 |
| 5 |
|
| ResMed Inc. |
| 41 |
| 5 |
|
* | Surgery Partners Inc. |
| 315 |
| 5 |
|
| Medtronic plc |
| 46 |
| 4 |
|
* | Alkermes plc |
| 119 |
| 4 |
|
* | Cerus Corp. |
| 823 |
| 4 |
|
U.S. Liquidity Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares
|
| ($000
| )
| |
| Teleflex Inc. |
| 15 |
| 4 |
|
* | Selecta Biosciences Inc. |
| 660 |
| 4 |
|
* | Stemline Therapeutics Inc. |
| 351 |
| 4 |
|
* | Cross Country Healthcare Inc. |
| 365 |
| 3 |
|
* | Clearside Biomedical Inc. |
| 2,226 |
| 3 |
|
* | Conatus Pharmaceuticals Inc. |
| 722 |
| 3 |
|
* | ViewRay Inc. |
| 464 |
| 3 |
|
* | Athenex Inc. |
| 233 |
| 3 |
|
* | Syros Pharmaceuticals Inc. |
| 406 |
| 3 |
|
* | Aduro Biotech Inc. |
| 912 |
| 2 |
|
* | Neos Therapeutics Inc. |
| 755 |
| 1 |
|
|
|
|
|
| 2,429 |
|
Materials & Processing (7.1%) |
|
|
|
|
| |
| Southern Copper Corp. |
| 2,984 |
| 100 |
|
| Ecolab Inc. |
| 609 |
| 98 |
|
| Air Products & Chemicals Inc. |
| 593 |
| 95 |
|
* | Linde plc |
| 340 |
| 54 |
|
| LyondellBasell Industries NV Class A |
| 548 |
| 51 |
|
| NewMarket Corp. |
| 114 |
| 48 |
|
| Chase Corp. |
| 398 |
| 45 |
|
| PolyOne Corp. |
| 1,174 |
| 39 |
|
| Versum Materials Inc. |
| 1,099 |
| 38 |
|
| Valmont Industries Inc. |
| 290 |
| 38 |
|
* | Univar Inc. |
| 1,621 |
| 35 |
|
| Global Brass & Copper Holdings Inc. |
| 885 |
| 29 |
|
* | JELD-WEN Holding Inc. |
| 1,336 |
| 25 |
|
| Myers Industries Inc. |
| 1,322 |
| 22 |
|
| Schweitzer-Mauduit International Inc. |
| 704 |
| 20 |
|
| Scotts Miracle-Gro Co. |
| 262 |
| 20 |
|
| Westlake Chemical Corp. |
| 274 |
| 20 |
|
* | Ryerson Holding Corp. |
| 2,323 |
| 19 |
|
| Haynes International Inc. |
| 565 |
| 19 |
|
* | Armstrong Flooring Inc. |
| 1,172 |
| 18 |
|
| Caesarstone Ltd. |
| 1,147 |
| 18 |
|
| Royal Gold Inc. |
| 243 |
| 18 |
|
| Griffon Corp. |
| 1,442 |
| 18 |
|
| DMC Global Inc. |
| 464 |
| 17 |
|
| Olympic Steel Inc. |
| 888 |
| 16 |
|
| Sherwin-Williams Co. |
| 35 |
| 15 |
|
* | Unifi Inc. |
| 481 |
| 13 |
|
| AptarGroup Inc. |
| 127 |
| 13 |
|
* | Forterra Inc. |
| 2,678 |
| 13 |
|
| Sonoco Products Co. |
| 188 |
| 11 |
|
* | Koppers Holdings Inc. |
| 560 |
| 10 |
|
| Cabot Corp. |
| 173 |
| 9 |
|
| Hexcel Corp. |
| 109 |
| 7 |
|
| RPM International Inc. |
| 98 |
| 6 |
|
* | Veritiv Corp. |
| 201 |
| 6 |
|
| Reliance Steel & Aluminum Co. |
| 75 |
| 6 |
|
| Materion Corp. |
| 113 |
| 6 |
|
| Quanex Building Products Corp. |
| 355 |
| 6 |
|
| AAON Inc. |
| 144 |
| 5 |
|
| Quaker Chemical Corp. |
| 26 |
| 5 |
|
* | Foundation Building Materials Inc. |
| 501 |
| 5 |
|
| Comfort Systems USA Inc. |
| 90 |
| 5 |
|
| Balchem Corp. |
| 52 |
| 5 |
|
| Timken Co. |
| 112 |
| 5 |
|
| Stepan Co. |
| 54 |
| 4 |
|
| Innospec Inc. |
| 58 |
| 4 |
|
| Gold Resource Corp. |
| 1,081 |
| 4 |
|
| PH Glatfelter Co. |
| 320 |
| 4 |
|
| Advanced Drainage Systems Inc. |
| 147 |
| 4 |
|
* | LSB Industries Inc. |
| 518 |
| 4 |
|
| Mueller Industries Inc. |
| 160 |
| 4 |
|
* | Intrepid Potash Inc. |
| 1,087 |
| 4 |
|
| Insteel Industries Inc. |
| 130 |
| 4 |
|
| Neenah Inc. |
| 44 |
| 3 |
|
| Innophos Holdings Inc. |
| 88 |
| 2 |
|
| NN Inc. |
| 248 |
| 2 |
|
|
|
|
|
| 1,114 |
|
Producer Durables (14.4%) |
|
|
|
|
| |
| Roper Technologies Inc. |
| 320 |
| 95 |
|
| Waste Management Inc. |
| 858 |
| 80 |
|
| Johnson Controls International plc |
| 2,267 |
| 79 |
|
| Illinois Tool Works Inc. |
| 514 |
| 71 |
|
| Norfolk Southern Corp. |
| 373 |
| 64 |
|
| Automatic Data Processing Inc. |
| 407 |
| 60 |
|
| General Dynamics Corp. |
| 313 |
| 58 |
|
| National Instruments Corp. |
| 1,136 |
| 56 |
|
| Emerson Electric Co. |
| 783 |
| 53 |
|
| Crane Co. |
| 580 |
| 50 |
|
| Curtiss-Wright Corp. |
| 394 |
| 44 |
|
| Air Lease Corp. Class A |
| 1,083 |
| 42 |
|
| Regal Beloit Corp. |
| 538 |
| 42 |
|
| Toro Co. |
| 671 |
| 42 |
|
| John Bean Technologies Corp. |
| 502 |
| 41 |
|
* | ASGN Inc. |
| 572 |
| 40 |
|
* | Colfax Corp. |
| 1,563 |
| 39 |
|
| Genpact Ltd. |
| 1,278 |
| 39 |
|
| MAXIMUS Inc. |
| 545 |
| 39 |
|
* | Willscot Corp. Class A |
| 2,618 |
| 36 |
|
* | Frontline Ltd. |
| 4,875 |
| 35 |
|
| MTS Systems Corp. |
| 680 |
| 35 |
|
| CRA International Inc. |
| 716 |
| 35 |
|
| Woodward Inc. |
| 410 |
| 34 |
|
| EMCOR Group Inc. |
| 444 |
| 32 |
|
U.S. Liquidity Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares
|
| ($000
| )
| |
| Eaton Corp. plc |
| 419 |
| 32 |
|
| Nordson Corp. |
| 260 |
| 31 |
|
| Hyster-Yale Materials Handling Inc. |
| 476 |
| 31 |
|
* | Textainer Group Holdings Ltd. |
| 2,448 |
| 27 |
|
* | Titan Machinery Inc. |
| 1,457 |
| 26 |
|
| HEICO Corp. |
| 291 |
| 25 |
|
* | SPX Corp. |
| 823 |
| 24 |
|
| Alamo Group Inc. |
| 263 |
| 22 |
|
| Accenture plc Class A |
| 131 |
| 22 |
|
| Briggs & Stratton Corp. |
| 1,426 |
| 21 |
|
| Donaldson Co. Inc. |
| 378 |
| 21 |
|
* | Harsco Corp. |
| 788 |
| 21 |
|
| Systemax Inc. |
| 653 |
| 18 |
|
* | SPX FLOW Inc. |
| 479 |
| 18 |
|
| BWX Technologies Inc. |
| 361 |
| 16 |
|
* | InnerWorkings Inc. |
| 3,867 |
| 16 |
|
| Multi-Color Corp. |
| 367 |
| 16 |
|
| Copa Holdings SA Class A |
| 187 |
| 16 |
|
* | Vicor Corp. |
| 443 |
| 16 |
|
* | Gardner Denver Holdings Inc. |
| 624 |
| 15 |
|
* | SP Plus Corp. |
| 506 |
| 15 |
|
| Rollins Inc. |
| 236 |
| 15 |
|
* | Teledyne Technologies Inc. |
| 62 |
| 14 |
|
* | Lydall Inc. |
| 622 |
| 14 |
|
* | Genco Shipping & Trading Ltd. |
| 1,643 |
| 14 |
|
* | Keysight Technologies Inc. |
| 206 |
| 13 |
|
| Spartan Motors Inc. |
| 1,565 |
| 13 |
|
| Mesa Laboratories Inc. |
| 56 |
| 12 |
|
* | NV5 Global Inc. |
| 165 |
| 12 |
|
* | Zebra Technologies Corp. |
| 65 |
| 12 |
|
| Heidrick & Struggles International Inc. |
| 283 |
| 10 |
|
| ITT Inc. |
| 186 |
| 10 |
|
| Graco Inc. |
| 219 |
| 10 |
|
| US Ecology Inc. |
| 132 |
| 9 |
|
| Kforce Inc. |
| 290 |
| 9 |
|
* | Genesee & Wyoming Inc. Class A |
| 110 |
| 9 |
|
| Landstar System Inc. |
| 83 |
| 9 |
|
| Littelfuse Inc. |
| 46 |
| 9 |
|
* | CBIZ Inc. |
| 417 |
| 9 |
|
| IDEX Corp. |
| 64 |
| 9 |
|
* | Trimble Inc. |
| 216 |
| 8 |
|
| McGrath RentCorp |
| 151 |
| 8 |
|
* | Navistar International Corp. |
| 248 |
| 8 |
|
* | Willdan Group Inc. |
| 208 |
| 8 |
|
| Hackett Group Inc. |
| 429 |
| 8 |
|
| Booz Allen Hamilton Holding Corp. Class A |
| 144 |
| 7 |
|
| Barrett Business Services Inc. |
| 105 |
| 7 |
|
* | AECOM |
| 228 |
| 7 |
|
* | Kirby Corp. |
| 94 |
| 7 |
|
| Encore Wire Corp. |
| 142 |
| 7 |
|
| Lincoln Electric Holdings Inc. |
| 82 |
| 7 |
|
* | DXP Enterprises Inc. |
| 192 |
| 7 |
|
* | Thermon Group Holdings Inc. |
| 303 |
| 7 |
|
* | International Seaways Inc. |
| 348 |
| 7 |
|
* | TriMas Corp. |
| 225 |
| 7 |
|
| Douglas Dynamics Inc. |
| 174 |
| 7 |
|
| ICF International Inc. |
| 86 |
| 6 |
|
| Marten Transport Ltd. |
| 299 |
| 6 |
|
| Raven Industries Inc. |
| 144 |
| 6 |
|
* | Casella Waste Systems Inc. Class A |
| 174 |
| 6 |
|
* | Energy Recovery Inc. |
| 692 |
| 6 |
|
* | Covenant Transportation Group Inc. Class A |
| 247 |
| 6 |
|
| Brink’s Co. |
| 79 |
| 6 |
|
* | Vectrus Inc. |
| 226 |
| 6 |
|
| Columbus McKinnon Corp. |
| 156 |
| 5 |
|
| Hubbell Inc. Class B |
| 49 |
| 5 |
|
| ESCO Technologies Inc. |
| 75 |
| 5 |
|
* | Huron Consulting Group Inc. |
| 93 |
| 5 |
|
| Kelly Services Inc. Class A |
| 225 |
| 5 |
|
| Exponent Inc. |
| 102 |
| 5 |
|
* | FARO Technologies Inc. |
| 102 |
| 5 |
|
* | MYR Group Inc. |
| 162 |
| 5 |
|
| Standex International Corp. |
| 63 |
| 5 |
|
| Badger Meter Inc. |
| 89 |
| 5 |
|
| Navigant Consulting Inc. |
| 191 |
| 5 |
|
* | CoStar Group Inc. |
| 12 |
| 4 |
|
| Brady Corp. Class A |
| 100 |
| 4 |
|
| Federal Signal Corp. |
| 184 |
| 4 |
|
* | Sykes Enterprises Inc. |
| 156 |
| 4 |
|
| Albany International Corp. |
| 59 |
| 4 |
|
| Matson Inc. |
| 107 |
| 4 |
|
| FLIR Systems Inc. |
| 91 |
| 4 |
|
| Franklin Electric Co. Inc. |
| 92 |
| 4 |
|
| GasLog Ltd. |
| 199 |
| 4 |
|
| AZZ Inc. |
| 86 |
| 4 |
|
| Mobile Mini Inc. |
| 99 |
| 4 |
|
* | Commercial Vehicle Group Inc. |
| 573 |
| 4 |
|
| Jacobs Engineering Group Inc. |
| 59 |
| 4 |
|
| UniFirst Corp. |
| 25 |
| 4 |
|
| Moog Inc. Class A |
| 44 |
| 4 |
|
* | Sterling Construction Co. Inc. |
| 291 |
| 4 |
|
* | MasTec Inc. |
| 82 |
| 4 |
|
| Tennant Co. |
| 61 |
| 4 |
|
| Primoris Services Corp. |
| 151 |
| 4 |
|
| Kadant Inc. |
| 40 |
| 4 |
|
| Kennametal Inc. |
| 87 |
| 4 |
|
* | SEACOR Holdings Inc. |
| 87 |
| 4 |
|
| Carlisle Cos. Inc. |
| 34 |
| 4 |
|
U.S. Liquidity Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares
|
| ($000
| )
| |
* | Astronics Corp. |
| 108 |
| 4 |
|
* | Conduent Inc. |
| 267 |
| 3 |
|
* | Aegion Corp. Class A |
| 178 |
| 3 |
|
* | Wesco Aircraft Holdings Inc. |
| 355 |
| 3 |
|
| AGCO Corp. |
| 54 |
| 3 |
|
| Aircastle Ltd. |
| 170 |
| 3 |
|
| Costamare Inc. |
| 592 |
| 3 |
|
* | Modine Manufacturing Co. |
| 240 |
| 3 |
|
| Scorpio Bulkers Inc. |
| 490 |
| 3 |
|
| Quad/Graphics Inc. |
| 180 |
| 3 |
|
| Sun Hydraulics Corp. |
| 69 |
| 3 |
|
* | Aqua Metals Inc. |
| 1,177 |
| 3 |
|
* | CIRCOR International Inc. |
| 81 |
| 3 |
|
| ACCO Brands Corp. |
| 328 |
| 3 |
|
|
|
|
|
| 2,257 |
|
Technology (6.7%) |
|
|
|
|
| |
| TE Connectivity Ltd. |
| 942 |
| 72 |
|
| Analog Devices Inc. |
| 718 |
| 66 |
|
| HP Inc. |
| 2,542 |
| 58 |
|
| Intuit Inc. |
| 244 |
| 52 |
|
* | NCR Corp. |
| 1,826 |
| 51 |
|
| Pegasystems Inc. |
| 748 |
| 40 |
|
* | Silicon Laboratories Inc. |
| 433 |
| 38 |
|
| CTS Corp. |
| 1,229 |
| 36 |
|
* | CACI International Inc. Class A |
| 197 |
| 32 |
|
* | RingCentral Inc. Class A |
| 385 |
| 32 |
|
| AVX Corp. |
| 1,597 |
| 26 |
|
* | Rudolph Technologies Inc. |
| 1,195 |
| 25 |
|
* | ViaSat Inc. |
| 364 |
| 25 |
|
| Science Applications International Corp. |
| 353 |
| 25 |
|
* | Model N Inc. |
| 1,786 |
| 24 |
|
| Monotype Imaging Holdings Inc. |
| 1,334 |
| 23 |
|
| Entegris Inc. |
| 768 |
| 23 |
|
* | Cision Ltd. |
| 1,623 |
| 20 |
|
* | AXT Inc. |
| 3,598 |
| 20 |
|
* | MobileIron Inc. |
| 3,440 |
| 17 |
|
* | Ribbon Communications Inc. |
| 3,088 |
| 16 |
|
| QAD Inc. Class A |
| 355 |
| 15 |
|
| Ubiquiti Networks Inc. |
| 109 |
| 12 |
|
| Dolby Laboratories Inc. Class A |
| 166 |
| 12 |
|
* | Workiva Inc. |
| 308 |
| 12 |
|
* | EPAM Systems Inc. |
| 88 |
| 11 |
|
* | Harmonic Inc. |
| 1,993 |
| 11 |
|
* | RealPage Inc. |
| 217 |
| 11 |
|
* | Loral Space & Communications Inc. |
| 261 |
| 11 |
|
* | PCM Inc. |
| 536 |
| 10 |
|
* | Rubicon Project Inc. |
| 2,238 |
| 10 |
|
* | Aspen Technology Inc. |
| 108 |
| 9 |
|
* | Perficient Inc. |
| 362 |
| 9 |
|
| Monolithic Power Systems Inc. |
| 66 |
| 9 |
|
* | Tyler Technologies Inc. |
| 45 |
| 9 |
|
* | Guidewire Software Inc. |
| 93 |
| 9 |
|
* | OneSpan Inc. |
| 507 |
| 9 |
|
* | ScanSource Inc. |
| 202 |
| 8 |
|
* | Benefitfocus Inc. |
| 153 |
| 8 |
|
* | Endurance International Group Holdings Inc. |
| 865 |
| 7 |
|
* | KeyW Holding Corp. |
| 721 |
| 7 |
|
* | Asure Software Inc. |
| 1,161 |
| 7 |
|
| CDW Corp. |
| 71 |
| 7 |
|
* | Arrow Electronics Inc. |
| 85 |
| 7 |
|
* | Limelight Networks Inc. |
| 1,816 |
| 6 |
|
| SS&C Technologies Holdings Inc. |
| 124 |
| 6 |
|
* | Vocera Communications Inc. |
| 142 |
| 6 |
|
| Presidio Inc. |
| 399 |
| 6 |
|
* | Mitek Systems Inc. |
| 515 |
| 5 |
|
* | LivePerson Inc. |
| 260 |
| 5 |
|
* | Digimarc Corp. |
| 242 |
| 5 |
|
* | Photronics Inc. |
| 487 |
| 5 |
|
* | Appfolio Inc. |
| 76 |
| 5 |
|
* | Upland Software Inc. |
| 160 |
| 4 |
|
| Amdocs Ltd. |
| 68 |
| 4 |
|
* | A10 Networks Inc. |
| 685 |
| 4 |
|
* | ePlus Inc. |
| 51 |
| 4 |
|
| Avnet Inc. |
| 92 |
| 4 |
|
* | EMCORE Corp. |
| 886 |
| 4 |
|
| Leidos Holdings Inc. |
| 62 |
| 4 |
|
* | PROS Holdings Inc. |
| 115 |
| 4 |
|
* | Lattice Semiconductor Corp. |
| 622 |
| 4 |
|
* | Nuance Communications Inc. |
| 227 |
| 4 |
|
| Cohu Inc. |
| 174 |
| 3 |
|
| SYNNEX Corp. |
| 41 |
| 3 |
|
| Blackbaud Inc. |
| 43 | �� | 3 |
|
| Comtech Telecommunications Corp. |
| 123 |
| 3 |
|
* | TechTarget Inc. |
| 159 |
| 2 |
|
* | Internap Corp. |
| 298 |
| 2 |
|
|
|
|
|
| 1,046 |
|
Utilities (4.8%) |
|
|
|
|
| |
* | T-Mobile US Inc. |
| 1,189 |
| 81 |
|
| American Electric Power Co. Inc. |
| 743 |
| 58 |
|
| Southwest Gas Holdings Inc. |
| 590 |
| 47 |
|
| Spire Inc. |
| 564 |
| 45 |
|
| Hawaiian Electric Industries Inc. |
| 1,066 |
| 41 |
|
| MDU Resources Group Inc. |
| 1,303 |
| 35 |
|
| NextEra Energy Inc. |
| 182 |
| 33 |
|
| IDACORP Inc. |
| 308 |
| 30 |
|
| Avangrid Inc. |
| 581 |
| 29 |
|
| Sempra Energy |
| 251 |
| 29 |
|
U.S. Liquidity Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares
|
| ($000
| )
| |
| Atmos Energy Corp. |
| 293 |
| 28 |
|
| Exelon Corp. |
| 590 |
| 27 |
|
| Portland General Electric Co. |
| 511 |
| 25 |
|
| Dominion Energy Inc. |
| 295 |
| 22 |
|
| ONE Gas Inc. |
| 244 |
| 21 |
|
| Duke Energy Corp. |
| 225 |
| 20 |
|
| Alliant Energy Corp. |
| 410 |
| 19 |
|
| Unitil Corp. |
| 362 |
| 18 |
|
| Otter Tail Corp. |
| 329 |
| 16 |
|
| New Jersey Resources Corp. |
| 320 |
| 16 |
|
| ALLETE Inc. |
| 168 |
| 14 |
|
| Aqua America Inc. |
| 348 |
| 12 |
|
* | United States Cellular Corp. |
| 205 |
| 11 |
|
| UGI Corp. |
| 198 |
| 11 |
|
| Shenandoah Telecommunications Co. |
| 182 |
| 9 |
|
| OGE Energy Corp. |
| 192 |
| 8 |
|
| ATN International Inc. |
| 88 |
| 7 |
|
| Chesapeake Utilities Corp. |
| 85 |
| 7 |
|
| j2 Global Inc. |
| 99 |
| 7 |
|
| Southern Co. |
| 137 |
| 7 |
|
| Evergy Inc. |
| 108 |
| 6 |
|
| MGE Energy Inc. |
| 79 |
| 5 |
|
| California Water Service Group |
| 97 |
| 4 |
|
| Spark Energy Inc. Class A |
| 377 |
| 3 |
|
* | Cincinnati Bell Inc. |
| 245 |
| 3 |
|
|
|
|
|
| 754 |
|
Total Common Stocks |
|
|
| 15,522 |
| |
Temporary Cash Investment (0.6%)1 |
|
|
|
|
| |
Money Market Fund (0.6%) |
|
|
|
|
| |
2 | Vanguard Market Liquidity Fund, 2.407% (Cost $101) |
| 1,012 |
| 101 |
|
Total Investments (99.8%) |
|
|
| 15,623 |
|
|
|
|
| Amount |
|
|
|
|
| ($000
| )
|
Other Assets and Liabilities (0.2%) |
|
|
|
|
|
Other Assets |
|
|
|
|
|
Investment in Vanguard |
|
|
| 1 |
|
Receivables for Accrued Income |
|
|
| 22 |
|
Receivables from Vanguard |
|
|
| 2 |
|
Variation Margin Receivable—Futures Contracts |
|
|
| — |
|
Other Assets3 |
|
|
| 4 |
|
Total Other Assets |
|
|
| 29 |
|
Liabilities |
|
|
|
|
|
Payables to Vanguard |
|
|
| (3 | ) |
Total Liabilities |
|
|
| (3 | ) |
Net Assets (100%) |
|
|
|
|
|
Applicable to 200,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
| 15,649 |
|
Net Asset Value Per Share |
|
|
| $78.25 |
|
At November 30, 2018, net assets consisted of:
|
|
|
| Amount |
|
|
|
|
| ($000
| )
|
Paid-in Capital |
|
|
| 15,741 |
|
Total Distributable Earnings (Loss) |
|
|
| (92 | ) |
Net Assets |
|
|
| 15,649 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.7% and 0.1%, respectively, 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 Cash of $4,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust. |
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 Russell 2000 Index |
| December 2018 |
| 1 |
| 77 |
| (1 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Statement of Operations
| February 13, 20181 to
| |
|
| November 30, 2018
|
|
| ($000)
|
Investment Income
|
|
|
Income
|
|
|
Dividends
|
| 162 |
Interest2
|
| 1 |
Total Income
|
| 163 |
Expenses
|
|
|
The Vanguard Group—Note B
|
|
|
Investment Advisory Services
|
| — |
Management and Administrative
|
| — |
Marketing and Distribution
|
| — |
Custodian Fees
|
| 3 |
Audit Fees
|
| 10 |
Shareholders’ Reports
|
| 1 |
Total Expenses
|
| 14 |
Expense Reduction—Note B
|
| (2) |
Net Expenses
|
| 12 |
Net Investment Income
|
| 151 |
Realized Net Gain (Loss)
|
|
|
Investment Securities Sold2
|
| (6) |
Futures Contracts
|
| (5) |
Realized Net Gain (Loss)
|
| (11) |
Change in Unrealized Appreciation (Depreciation)
|
|
|
Investment Securities2
|
| (128) |
Futures Contracts
|
| (1) |
Change in Unrealized Appreciation (Depreciation)
|
| (129) |
Net Increase (Decrease) in Net Assets Resulting from Operations
|
| 11 |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Statement of Changes in Net Assets
| February 13, 20181 to
| |
|
| November 30, 2018
|
|
| ($000)
|
Increase (Decrease) in Net Assets
|
|
|
Operations
|
|
|
Net Investment Income
|
| 151 |
Realized Capital Gain
|
| (11) |
Change in Unrealized Appreciation (Depreciation)
|
| (129) |
Net Increase (Decrease) in Net Assets Resulting from Operations
|
| 11 |
Distributions
|
|
|
Net Investment Income
|
| (103) |
Realized Capital Gain
|
| — |
Total Distributions
|
| (103) |
Capital Share Transactions
|
|
|
Issued
|
| 15,741 |
Issued in Lieu of Cash Distributions
|
| — |
Redeemed
|
| — |
Net Increase (Decrease) from Capital Share Transactions
|
| 15,741 |
Total Increase (Decrease)
|
| 15,649 |
Net Assets
|
|
|
Beginning of Period
|
| — |
End of Period
|
| 15,649 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Financial Highlights
|
| February 13, 20181 to
|
For a Share Outstanding Throughout the Period
|
| November 30, 2018 |
Net Asset Value, Beginning of Period
|
| $75.00 |
Investment Operations
|
|
|
Net Investment Income2
|
| 1.010 |
Net Realized and Unrealized Gain (Loss) on Investments
|
| 2.834 |
Total from Investment Operations
|
| 3.844 |
Distributions
|
|
|
Dividends from Net Investment Income
|
| (.594) |
Distributions from Realized Capital Gains
|
| — |
Total Distributions
|
| (.594) |
Net Asset Value, End of Period
|
| $78.25 |
|
|
|
Total Return
|
| 5.09% |
|
|
|
Ratios/Supplemental Data
|
|
|
Net Assets, End of Period (Millions)
|
| $16 |
Ratio of Total Expenses to Average Net Assets
|
| 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets
|
| 1.58%4 |
Portfolio Turnover Rate
|
| 20% |
1 Inception.
2 Calculated based on average shares outstanding.
3 The ratio of total expenses to average net assets before an expense reduction of 0.02% was 0.15%. See Note B in the Notes to Financial Statements.
4 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Notes to Financial Statements
Vanguard U.S. Liquidity Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Liquidity Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and generally settled twice a month.
During the period ended November 30, 2018, the fund incurred higher than anticipated expenses. Because of this, Vanguard has voluntarily agreed to assume the payment of certain expenses, in the amount of $2,000 (an effective annual rate of 0.02% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2018, the fund had contributed to Vanguard capital in the amount of $1,000 representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
U.S. Liquidity Factor ETF
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
| Amount
|
|
| ($000)
|
Undistributed Ordinary Income
|
| 48 |
Undistributed Long-Term Gains
|
| — |
Capital Loss Carryforwards (Non-expiring)
|
| (12) |
Net Unrealized Gains (Losses)
|
| (128) |
As of November 30, 2018, 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
|
| 15,751 |
Gross Unrealized Appreciation
|
| 1,109 |
Gross Unrealized Depreciation
|
| (1,237) |
Net Unrealized Appreciation (Depreciation)
|
| (128) |
E. During the period ended November 30, 2018, the fund purchased $18,098,000 of investment securities and sold $2,442,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
|
| February 13, 20181 to
|
|
| November 30, 2018
|
|
| Shares |
|
| (000) |
Issued
|
| 200 |
Issued in Lieu of Cash Distributions
|
| — |
Redeemed
|
| — |
Net Increase (Decrease) in Shares Outstanding
|
| 200 |
1 Inception.
At November 30, 2018, one shareholder was the record or beneficial owner of 41% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
U.S. Minimum Volatility ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
| Total Returns |
|
| |
|
| Period Ended November 30, 2018 |
|
| |
|
|
| Since |
| Final Value |
|
|
| Inception |
| of a $10,000 |
|
|
| (2/13/2018) |
| Investment |
U.S. Minimum Volatility ETF Net Asset Value |
| 10.07% |
| $11,007 | |
Russell 3000 Index |
| 5.04 |
| 10,504 |
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
| Since |
| Inception |
| (2/13/2018) |
U.S. Minimum Volatility ETF Market Price | 10.08% |
U.S. Minimum Volatility ETF Net Asset Value | 10.07 |
Russell 3000 Index | 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Minimum Volatility ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception Date |
| Since Inception |
ETF Shares | 2/13/2018 |
|
|
Market Price |
|
| 14.61% |
Net Asset Value |
|
| 14.59 |
U.S. Minimum Volatility ETF
Sector Diversification
As of November 30, 2018
Consumer Discretionary | 13.8 | % |
Consumer Staples | 10.1 |
|
Energy | 5.9 |
|
Financial Services | 27.1 |
|
Health Care | 11.4 |
|
Materials & Processing | 1.1 |
|
Producer Durables | 9.1 |
|
Technology | 13.6 |
|
Utilities | 7.9 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Minimum Volatility ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares |
| ($000 | ) | |
Common Stocks (99.4%)1 |
|
|
|
|
| |
Consumer Discretionary (13.7%) |
|
|
|
|
| |
| Dollar General Corp. |
| 2,407 |
| 267 |
|
| New Media Investment Group Inc. |
| 17,402 |
| 230 |
|
| TJX Cos. Inc. |
| 4,640 |
| 227 |
|
* | Etsy Inc. |
| 3,695 |
| 200 |
|
| Hasbro Inc. |
| 1,717 |
| 156 |
|
* | Madison Square Garden Co. Class A |
| 549 |
| 148 |
|
| John Wiley & Sons Inc. Class A |
| 2,619 |
| 145 |
|
* | Bright Horizons Family Solutions Inc. |
| 1,170 |
| 142 |
|
* | AutoZone Inc. |
| 171 |
| 138 |
|
| Estee Lauder Cos. Inc. Class A |
| 813 |
| 116 |
|
| Callaway Golf Co. |
| 5,970 |
| 102 |
|
| Scholastic Corp. |
| 2,085 |
| 96 |
|
| McDonald’s Corp. |
| 441 |
| 83 |
|
* | Qurate Retail Group Inc. QVC Group Class A |
| 3,078 |
| 69 |
|
| Cable One Inc. |
| 72 |
| 65 |
|
* | Lululemon Athletica Inc. |
| 468 |
| 62 |
|
| Service Corp. International |
| 1,282 |
| 59 |
|
| Carriage Services Inc. Class A |
| 3,426 |
| 58 |
|
| Graham Holdings Co. Class B |
| 87 |
| 57 |
|
| Haverty Furniture Cos. Inc. |
| 2,773 |
| 57 |
|
| Tapestry Inc. |
| 1,411 |
| 55 |
|
| Columbia Sportswear Co. |
| 592 |
| 54 |
|
| Acushnet Holdings Corp. |
| 2,365 |
| 54 |
|
* | Booking Holdings Inc. |
| 27 |
| 51 |
|
* | Liberty Media Corp-Liberty SiriusXM Class A |
| 1,224 |
| 49 |
|
* | Red Robin Gourmet Burgers Inc. |
| 1,277 |
| 44 |
|
| PriceSmart Inc. |
| 635 |
| 43 |
|
| Nutrisystem Inc. |
| 844 |
| 32 |
|
* | Michael Kors Holdings Ltd. |
| 708 |
| 31 |
|
| Viad Corp. |
| 501 |
| 25 |
|
| Walt Disney Co. |
| 205 |
| 24 |
|
| VF Corp. |
| 260 |
| 21 |
|
| New York Times Co. Class A |
| 676 |
| 18 |
|
| Johnson Outdoors Inc. Class A |
| 242 |
| 17 |
|
| World Wrestling Entertainment Inc. Class A |
| 229 |
| 17 |
|
| AMERCO |
| 46 |
| 16 |
|
* | Churchill Downs Inc. |
| 44 |
| 12 |
|
* | Monarch Casino & Resort Inc. |
| 257 |
| 10 |
|
| Omnicom Group Inc. |
| 127 |
| 10 |
|
* | Instructure Inc. |
| 228 |
| 9 |
|
* | Deckers Outdoor Corp. |
| 41 |
| 6 |
|
* | Amazon.com Inc. |
| 3 |
| 5 |
|
|
|
|
|
| 3,080 |
|
Consumer Staples (10.0%) |
|
|
|
|
| |
| Procter & Gamble Co. |
| 3,239 |
| 306 |
|
| Vector Group Ltd. |
| 22,723 |
| 286 |
|
| Universal Corp. |
| 4,478 |
| 284 |
|
| Keurig Dr Pepper Inc. |
| 10,386 |
| 280 |
|
| Colgate-Palmolive Co. |
| 3,789 |
| 241 |
|
| Altria Group Inc. |
| 2,689 |
| 147 |
|
| Tootsie Roll Industries Inc. |
| 3,593 |
| 126 |
|
| Philip Morris International Inc. |
| 1,427 |
| 123 |
|
* | USANA Health Sciences Inc. |
| 872 |
| 107 |
|
| Constellation Brands Inc. Class A |
| 521 |
| 102 |
|
| Turning Point Brands Inc. |
| 2,585 |
| 77 |
|
| Coca-Cola Co. |
| 1,446 |
| 73 |
|
| Sysco Corp. |
| 952 |
| 64 |
|
| Church & Dwight Co. Inc. |
| 612 |
| 41 |
|
|
|
|
|
| 2,257 |
|
Energy (5.9%) |
|
|
|
|
| |
| Chevron Corp. |
| 2,259 |
| 269 |
|
| ONEOK Inc. |
| 4,099 |
| 252 |
|
| Phillips 66 |
| 2,025 |
| 189 |
|
| Occidental Petroleum Corp. |
| 2,585 |
| 181 |
|
U.S. Minimum Volatility ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares |
| ($000 | ) | |
| Exxon Mobil Corp. |
| 1,797 |
| 143 |
|
* | Renewable Energy Group Inc. |
| 5,114 |
| 138 |
|
* | ION Geophysical Corp. |
| 7,101 |
| 63 |
|
| Evolution Petroleum Corp. |
| 5,310 |
| 46 |
|
| Cabot Oil & Gas Corp. |
| 1,046 |
| 26 |
|
* | Par Pacific Holdings Inc. |
| 1,175 |
| 20 |
|
|
|
|
|
| 1,327 |
|
Financial Services (26.9%) |
|
|
|
|
| |
| Capitol Federal Financial Inc. |
| 24,612 |
| 346 |
|
| White Mountains Insurance Group Ltd. |
| 362 |
| 336 |
|
| Oritani Financial Corp. |
| 21,556 |
| 336 |
|
| Equity Commonwealth |
| 10,508 |
| 334 |
|
| Sun Communities Inc. |
| 3,198 |
| 333 |
|
| Equity LifeStyle Properties Inc. |
| 3,323 |
| 331 |
|
| Starwood Property Trust Inc. |
| 14,690 |
| 329 |
|
| TPG RE Finance Trust Inc. |
| 16,086 |
| 317 |
|
| Blackstone Mortgage Trust Inc. Class A |
| 8,971 |
| 315 |
|
| Apollo Commercial Real Estate Finance Inc. |
| 15,210 |
| 288 |
|
* | Fiserv Inc. |
| 2,922 |
| 231 |
|
| AGNC Investment Corp. |
| 11,388 |
| 202 |
|
| Annaly Capital Management Inc. |
| 16,537 |
| 166 |
|
| WP Carey Inc. |
| 2,398 |
| 162 |
|
| Progressive Corp. |
| 2,097 |
| 139 |
|
| Fidelity National Information Services Inc. |
| 1,053 |
| 114 |
|
| Aon plc |
| 683 |
| 113 |
|
| AG Mortgage Investment Trust Inc. |
| 6,197 |
| 113 |
|
| Easterly Government Properties Inc. |
| 5,356 |
| 98 |
|
| Marsh & McLennan Cos. Inc. |
| 1,005 |
| 89 |
|
| Dynex Capital Inc. |
| 14,431 |
| 87 |
|
| Kearny Financial Corp. |
| 6,314 |
| 84 |
|
| Ladder Capital Corp. Class A |
| 4,609 |
| 81 |
|
| Southern National Bancorp of Virginia Inc. |
| 5,069 |
| 80 |
|
| Brown & Brown Inc. |
| 2,534 |
| 74 |
|
| RBB Bancorp |
| 3,093 |
| 67 |
|
| Highwoods Properties Inc. |
| 1,480 |
| 64 |
|
| MFA Financial Inc. |
| 8,715 |
| 63 |
|
| Erie Indemnity Co. Class A |
| 454 |
| 62 |
|
| Old Line Bancshares Inc. |
| 1,933 |
| 59 |
|
| PennyMac Mortgage Investment Trust |
| 2,694 |
| 57 |
|
| Aflac Inc. |
| 1,212 |
| 55 |
|
| Granite Point Mortgage Trust Inc. |
| 2,866 |
| 54 |
|
| CBTX Inc. |
| 1,509 |
| 52 |
|
| Bank of Hawaii Corp. |
| 494 |
| 39 |
|
* | St. Joe Co. |
| 2,417 |
| 36 |
|
| Two Harbors Investment Corp. |
| 2,453 |
| 35 |
|
| Alexander’s Inc. |
| 101 |
| 31 |
|
* | Forestar Group Inc. |
| 1,947 |
| 31 |
|
* | Equity Bancshares Inc. Class A |
| 797 |
| 30 |
|
| CorEnergy Infrastructure Trust Inc. |
| 802 |
| 29 |
|
| Public Storage |
| 127 |
| 27 |
|
| Bank of Princeton |
| 885 |
| 26 |
|
| Washington REIT |
| 963 |
| 26 |
|
| Financial Institutions Inc. |
| 841 |
| 25 |
|
| FS Bancorp Inc. |
| 457 |
| 22 |
|
| Duke Realty Corp. |
| 693 |
| 20 |
|
| Orchid Island Capital Inc. |
| 2,826 |
| 19 |
|
| HomeTrust Bancshares Inc. |
| 600 |
| 16 |
|
| FirstCash Inc. |
| 100 |
| 9 |
|
|
|
|
|
| 6,052 |
|
Health Care (11.3%) |
|
|
|
|
| |
| Pfizer Inc. |
| 7,396 |
| 342 |
|
| Encompass Health Corp. |
| 4,098 |
| 308 |
|
| Quest Diagnostics Inc. |
| 3,211 |
| 284 |
|
| Johnson & Johnson |
| 1,389 |
| 204 |
|
| Cigna Corp. |
| 829 |
| 185 |
|
* | Henry Schein Inc. |
| 1,528 |
| 136 |
|
| Humana Inc. |
| 404 |
| 133 |
|
| Zoetis Inc. |
| 1,404 |
| 132 |
|
| US Physical Therapy Inc. |
| 956 |
| 114 |
|
* | Laboratory Corp. of America Holdings |
| 629 |
| 92 |
|
| STERIS plc |
| 703 |
| 84 |
|
| HCA Healthcare Inc. |
| 566 |
| 82 |
|
* | Providence Service Corp. |
| 1,132 |
| 80 |
|
| Universal Health Services Inc. Class B |
| 446 |
| 62 |
|
* | Myriad Genetics Inc. |
| 1,725 |
| 56 |
|
* | Centene Corp. |
| 390 |
| 55 |
|
| National HealthCare Corp. |
| 547 |
| 46 |
|
* | LHC Group Inc. |
| 391 |
| 41 |
|
* | Ligand Pharmaceuticals Inc. |
| 193 |
| 30 |
|
| Eli Lilly & Co. |
| 249 |
| 30 |
|
| Bio-Techne Corp. |
| 120 |
| 19 |
|
| Merck & Co. Inc. |
| 149 |
| 12 |
|
| Chemed Corp. |
| 23 |
| 7 |
|
* | Eagle Pharmaceuticals Inc. |
| 122 |
| 6 |
|
|
|
|
|
| 2,540 |
|
U.S. Minimum Volatility ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
| Shares |
| ($000 | ) | |
Materials & Processing (1.0%) |
|
|
|
|
| |
| Ecolab Inc. |
| 852 |
| 137 |
|
| International Flavors & Fragrances Inc. |
| 364 |
| 52 |
|
| Royal Gold Inc. |
| 416 |
| 30 |
|
| Newmont Mining Corp. |
| 444 |
| 14 |
|
|
|
|
|
| 233 |
|
Producer Durables (9.1%) |
|
|
|
|
| |
| Ship Finance International Ltd. |
| 23,814 |
| 309 |
|
| MAXIMUS Inc. |
| 3,029 |
| 215 |
|
| Republic Services Inc. Class A |
| 2,783 |
| 215 |
|
| Genpact Ltd. |
| 6,206 |
| 189 |
|
| Raytheon Co. |
| 821 |
| 144 |
|
* | Advanced Disposal Services Inc. |
| 4,428 |
| 119 |
|
| AMETEK Inc. |
| 1,514 |
| 111 |
|
* | ExlService Holdings Inc. |
| 1,907 |
| 111 |
|
* | Kirby Corp. |
| 1,074 |
| 82 |
|
* | Willscot Corp. Class A |
| 5,505 |
| 76 |
|
* | SEACOR Holdings Inc. |
| 1,757 |
| 73 |
|
* | CoStar Group Inc. |
| 184 |
| 68 |
|
| L3 Technologies Inc. |
| 341 |
| 62 |
|
| Hackett Group Inc. |
| 2,825 |
| 50 |
|
* | Conduent Inc. |
| 3,754 |
| 48 |
|
| BWX Technologies Inc. |
| 1,056 |
| 48 |
|
| Northrop Grumman Corp. |
| 119 |
| 31 |
|
* | Tidewater Inc. |
| 1,079 |
| 26 |
|
| Kimball International Inc. Class B |
| 1,657 |
| 25 |
|
* | Daseke Inc. |
| 3,376 |
| 14 |
|
| Accenture plc Class A |
| 69 |
| 11 |
|
* | Eagle Bulk Shipping Inc. |
| 1,897 |
| 9 |
|
|
|
|
|
| 2,036 |
|
Technology (13.6%) |
|
|
|
|
| |
| Motorola Solutions Inc. |
| 2,569 |
| 337 |
|
| InterDigital Inc. |
| 4,233 |
| 319 |
|
| Amdocs Ltd. |
| 3,973 |
| 258 |
|
| Harris Corp. |
| 1,563 |
| 223 |
|
* | Viavi Solutions Inc. |
| 20,628 |
| 209 |
|
* | F5 Networks Inc. |
| 1,000 |
| 172 |
|
* | Ciena Corp. |
| 4,596 |
| 150 |
|
* | VeriSign Inc. |
| 793 |
| 124 |
|
| Cognizant Technology Solutions Corp. Class A |
| 1,609 |
| 115 |
|
* | NetScout Systems Inc. |
| 4,201 |
| 113 |
|
* | Palo Alto Networks Inc. |
| 638 |
| 110 |
|
* | Alarm.com Holdings Inc. |
| 1,958 |
| 100 |
|
| Juniper Networks Inc. |
| 3,341 |
| 96 |
|
* | EchoStar Corp. Class A |
| 1,880 |
| 79 |
|
* | Bottomline Technologies DE Inc. |
| 1,128 |
| 62 |
|
| Plantronics Inc. |
| 1,333 |
| 61 |
|
| Cisco Systems Inc. |
| 1,091 |
| 52 |
|
* | Synopsys Inc. |
| 549 |
| 51 |
|
| ADTRAN Inc. |
| 4,046 |
| 50 |
|
* | Arista Networks Inc. |
| 206 |
| 49 |
|
* | Black Knight Inc. |
| 990 |
| 45 |
|
* | CommScope Holding Co. Inc. |
| 2,287 |
| 41 |
|
* | ChannelAdvisor Corp. |
| 3,424 |
| 37 |
|
* | SPS Commerce Inc. |
| 424 |
| 36 |
|
* | TechTarget Inc. |
| 2,305 |
| 33 |
|
* | Q2 Holdings Inc. |
| 579 |
| 31 |
|
* | Blucora Inc. |
| 911 |
| 28 |
|
* | Model N Inc. |
| 1,611 |
| 22 |
|
* | Tableau Software Inc. Class A |
| 153 |
| 19 |
|
* | Tucows Inc. Class A |
| 257 |
| 15 |
|
* | Workiva Inc. |
| 229 |
| 9 |
|
| Sigma Designs Inc. |
| 8,007 |
| 1 |
|
|
|
|
|
| 3,047 |
|
Utilities (7.9%) |
|
|
|
|
| |
| NextEra Energy Inc. |
| 1,891 |
| 344 |
|
| Duke Energy Corp. |
| 2,389 |
| 212 |
|
| American Electric Power Co. Inc. |
| 2,609 |
| 203 |
|
| Southern Co. |
| 4,166 |
| 197 |
|
| CMS Energy Corp. |
| 3,167 |
| 165 |
|
| Xcel Energy Inc. |
| 2,526 |
| 133 |
|
| Exelon Corp. |
| 2,767 |
| 128 |
|
| ALLETE Inc. |
| 1,422 |
| 116 |
|
| Unitil Corp. |
| 1,516 |
| 77 |
|
| Ameren Corp. |
| 1,112 |
| 76 |
|
| Verizon Communications Inc. |
| 751 |
| 45 |
|
| Consolidated Edison Inc. |
| 386 |
| 31 |
|
| Public Service Enterprise Group Inc. |
| 527 |
| 29 |
|
| Hawaiian Electric Industries Inc. |
| 242 |
| 9 |
|
|
|
|
|
| 1,765 |
|
Total Common Stocks |
|
|
| 22,337 |
| |
Temporary Cash Investment (0.4%)1 |
|
|
|
|
| |
Money Market Fund (0.4%) |
|
|
|
|
| |
2 | Vanguard Market Liquidity Fund, 2.407% (Cost $86) |
| 865 |
| 86 |
|
Total Investments (99.8%) |
|
|
| 22,423 |
|
U.S. Minimum Volatility ETF
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 1 |
|
Receivables for Accrued Income |
| 34 |
|
Variation Margin Receivable—Futures Contracts |
| 1 |
|
Other Assets3 |
| 7 |
|
Total Other Assets |
| 43 |
|
Liabilities |
|
|
|
Payables to Vanguard |
| (1 | ) |
Other Liabilities |
| (1 | ) |
Total Liabilities |
| (2 | ) |
Net Assets (100%) |
|
|
|
Applicable to 275,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 22,464 |
|
Net Asset Value Per Share |
| $81.69 |
|
At November 30, 2018, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 22,010 |
|
Total Distributable Earnings (Loss) |
| 454 |
|
Net Assets |
| 22,464 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 0.0%, respectively, 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 Cash of $7,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
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 Russell 2000 Index |
| December 2018 |
| 1 |
| 77 |
| 1 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Statement of Operations
|
| February 13, 20181 to |
|
| November 30, 2018 |
|
| ($000) |
Investment Income |
|
|
Income |
|
|
Dividends |
| 327 |
Interest2 |
| 1 |
Total Income |
| 328 |
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
| — |
Management and Administrative |
| 2 |
Marketing and Distribution |
| — |
Custodian Fees |
| 1 |
Auditing Fees |
| 10 |
Shareholders’ Reports |
| 1 |
Total Expenses |
| 14 |
Net Investment Income |
| 314 |
Realized Net Gain (Loss) |
|
|
Investment Securities Sold2 |
| (82) |
Futures Contracts |
| (9) |
Realized Net Gain (Loss) |
| (91) |
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities2 |
| 396 |
Futures Contracts |
| 1 |
Change in Unrealized Appreciation (Depreciation) |
| 397 |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 620 |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, $1,000, and $1,000 respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Statement of Changes in Net Assets
|
| February 13, 20181 to |
|
| November 30, 2018 |
|
| ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income |
| 314 |
Realized Net Gain (Loss) |
| (91) |
Change in Unrealized Appreciation (Depreciation) |
| 397 |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 620 |
Distributions |
|
|
Net Investment Income |
| (166) |
Realized Capital Gain |
| — |
Total Distributions |
| (166) |
Capital Share Transactions |
|
|
Issued |
| 22,010 |
Issued in Lieu of Cash Distributions |
| — |
Redeemed |
| — |
Net Increase (Decrease) from Capital Share Transactions |
| 22,010 |
Total Increase (Decrease) |
| 22,464 |
Net Assets |
|
|
Beginning of Period |
| — |
End of Period |
| 22,464 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Financial Highlights
|
| February 13, 20181 to |
For a Share Outstanding Throughout the Period |
| November 30, 2018 |
Net Asset Value, Beginning of Period |
| $75.00 |
Investment Operations |
|
|
Net Investment Income2 |
| 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments |
| 5.677 |
Total from Investment Operations |
| 7.564 |
Distributions |
|
|
Dividends from Net Investment Income |
| (.874) |
Distributions from Realized Capital Gains |
| — |
Total Distributions |
| (.874) |
Net Asset Value, End of Period |
| $81.69 |
|
|
|
Total Return |
| 10.07% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) |
| $22 |
Ratio of Total Expenses to Average Net Assets |
| 0.13%3 |
Ratio of Net Investment Income to Average Net Assets |
| 2.90%3 |
Portfolio Turnover Rate |
| 5% |
|
|
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Notes to Financial Statements
Vanguard U.S. Minimum Volatility ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Minimum Volatility ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. 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 purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and 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 November 30, 2018, the fund had contributed to Vanguard capital in the amount of $1,000, representing 0.00% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
U.S. Minimum Volatility ETF
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
| Amount |
|
| ($000) |
Undistributed Ordinary Income |
| 148 |
Undistributed Long-Term Gains |
| — |
Capital Loss Carryforwards (Non-expiring) |
| (90) |
Net Unrealized Gains (Losses) |
| 396 |
As of November 30, 2018, 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 | 22,027 |
Gross Unrealized Appreciation | 1,478 |
Gross Unrealized Depreciation | (1,082) |
Net Unrealized Appreciation (Depreciation) | 396 |
E. During the period ended November 30, 2018, the fund purchased $22,832,000 of investment securities and sold $761,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| February 13, 20181 to |
| November 30, 2018 |
| Shares |
| (000) |
Issued | 275 |
Issued in Lieu of Cash Distributions | — |
Redeemed | — |
Net Increase (Decrease) in Shares Outstanding | 275 |
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
U.S. Momentum Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
| Total Returns |
|
|
| Period Ended November 30, 2018
|
|
|
| Since | Final Value |
|
| Inception | of a $10,000 |
|
| (2/13/2018)
| Investment
|
U.S. Momentum Factor ETF Net Asset Value | 2.67% | $10,267 | |
Russell 3000 Index | 5.04 | 10,504 |
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
| Since |
| Inception |
| (2/13/2018)
|
U.S. Momentum Factor ETF Market Price | 2.71% |
U.S. Momentum Factor ETF Net Asset Value | 2.67 |
Russell 3000 Index | 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Momentum Factor ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception Date
| Since Inception |
ETF Shares | 2/13/2018
|
|
Market Price |
| 15.79%
|
Net Asset Value |
| 15.76
|
U.S. Momentum Factor ETF
Sector Diversification
As of November 30, 2018
|
|
Consumer Discretionary | 21.5% |
Consumer Staples | 2.5 |
Energy | 9.0 |
Financial Services | 9.1 |
Health Care | 26.6 |
Materials & Processing | 1.9 |
Producer Durables | 10.2 |
Technology | 17.7 |
Utilities | 1.5 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Momentum Factor ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.4%)1 |
|
|
|
|
| ||
Consumer Discretionary (21.4%) |
|
|
|
|
| ||
* |
| Amazon.com Inc. |
| 209 |
| 353 |
|
|
| NIKE Inc. Class B |
| 4,432 |
| 333 |
|
|
| TJX Cos. Inc. |
| 6,436 |
| 314 |
|
* |
| Netflix Inc. |
| 1,059 |
| 303 |
|
|
| VF Corp. |
| 3,720 |
| 302 |
|
|
| Ross Stores Inc. |
| 3,375 |
| 296 |
|
|
| Costco Wholesale Corp. |
| 1,248 |
| 289 |
|
|
| Lowe’s Cos. Inc. |
| 2,888 |
| 273 |
|
|
| Target Corp. |
| 2,427 |
| 172 |
|
|
| Advance Auto Parts Inc. |
| 866 |
| 154 |
|
* |
| Etsy Inc. |
| 2,512 |
| 136 |
|
* |
| Discovery Communications Inc. Class A |
| 3,375 |
| 104 |
|
* |
| Carvana Co. Class A |
| 2,071 |
| 90 |
|
|
| Estee Lauder Cos. Inc. Class A |
| 555 |
| 79 |
|
* |
| Ulta Beauty Inc. |
| 255 |
| 76 |
|
|
| World Wrestling Entertainment Inc. Class A |
| 1,000 |
| 74 |
|
* |
| Malibu Boats Inc. Class A |
| 1,483 |
| 72 |
|
|
| Nordstrom Inc. |
| 1,338 |
| 71 |
|
|
| Home Depot Inc. |
| 386 |
| 70 |
|
* |
| Duluth Holdings Inc. |
| 2,168 |
| 68 |
|
* |
| Eldorado Resorts Inc. |
| 1,487 |
| 65 |
|
* |
| Roku Inc. |
| 1,565 |
| 64 |
|
* |
| Vera Bradley Inc. |
| 5,253 |
| 58 |
|
|
| Skyline Champion Corp. |
| 2,493 |
| 56 |
|
* |
| Five Below Inc. |
| 529 |
| 55 |
|
* |
| Ollie’s Bargain Outlet Holdings Inc. |
| 620 |
| 55 |
|
|
| New York Times Co. Class A |
| 2,048 |
| 55 |
|
|
| Columbia Sportswear Co. |
| 595 |
| 54 |
|
* |
| Cavco Industries Inc. |
| 330 |
| 54 |
|
* |
| MasterCraft Boat Holdings Inc. |
| 2,067 |
| 54 |
|
|
| DSW Inc. Class A |
| 1,917 |
| 53 |
|
|
| Dine Brands Global Inc. |
| 596 |
| 53 |
|
* |
| Genesco Inc. |
| 1,271 |
| 53 |
|
* |
| Sportsman’s Warehouse Holdings Inc. |
| 11,357 |
| 51 |
|
* |
| Lululemon Athletica Inc. |
| 383 |
| 51 |
|
* |
| RH |
| 435 |
| 50 |
|
* |
| Burlington Stores Inc. |
| 304 |
| 50 |
|
|
| Cato Corp. Class A |
| 3,332 |
| 50 |
|
* |
| Drive Shack Inc. |
| 10,470 |
| 49 |
|
* |
| TripAdvisor Inc. |
| 741 |
| 47 |
|
|
| Kohl’s Corp. |
| 683 |
| 46 |
|
|
| Macy’s Inc. |
| 1,306 |
| 45 |
|
* |
| O’Reilly Automotive Inc. |
| 128 |
| 44 |
|
* |
| Urban Outfitters Inc. |
| 1,154 |
| 44 |
|
* |
| Fiesta Restaurant Group Inc. |
| 2,317 |
| 44 |
|
|
| Ralph Lauren Corp. Class A |
| 366 |
| 41 |
|
|
| Domino’s Pizza Inc. |
| 146 |
| 40 |
|
* |
| Belmond Ltd. Class A |
| 2,195 |
| 40 |
|
* |
| Planet Fitness Inc. Class A |
| 712 |
| 39 |
|
|
| Callaway Golf Co. |
| 2,216 |
| 38 |
|
|
| American Eagle Outfitters Inc. |
| 1,799 |
| 38 |
|
* |
| Chipotle Mexican Grill Inc. Class A |
| 79 |
| 37 |
|
|
| Dave & Buster’s Entertainment Inc. |
| 652 |
| 37 |
|
* |
| Grand Canyon Education Inc. |
| 301 |
| 37 |
|
* |
| America’s Car-Mart Inc. |
| 495 |
| 37 |
|
|
| Texas Roadhouse Inc. Class A |
| 554 |
| 37 |
|
* |
| Trade Desk Inc. Class A |
| 254 |
| 36 |
|
* |
| QuinStreet Inc. |
| 2,163 |
| 35 |
|
* |
| Fox Factory Holding Corp. |
| 532 |
| 34 |
|
* |
| National Vision Holdings Inc. |
| 916 |
| 34 |
|
* |
| Wayfair Inc. |
| 315 |
| 33 |
|
|
| Williams-Sonoma Inc. |
| 583 |
| 33 |
|
* |
| Churchill Downs Inc. |
| 118 |
| 33 |
|
* |
| Boot Barn Holdings Inc. |
| 1,437 |
| 33 |
|
* |
| Live Nation Entertainment Inc. |
| 580 |
| 32 |
|
* |
| American Public Education Inc. |
| 1,005 |
| 32 |
|
* |
| Madison Square Garden Co. Class A |
| 117 |
| 32 |
|
|
| Shoe Carnival Inc. |
| 799 |
| 30 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Pool Corp. |
| 186 |
| 30 |
|
|
| Dollar General Corp. |
| 269 |
| 30 |
|
* |
| Deckers Outdoor Corp. |
| 224 |
| 30 |
|
* |
| Crocs Inc. |
| 1,072 |
| 30 |
|
* |
| Bright Horizons Family Solutions Inc. |
| 244 |
| 30 |
|
|
| Strategic Education Inc. |
| 209 |
| 29 |
|
|
| Foot Locker Inc. |
| 504 |
| 28 |
|
|
| National CineMedia Inc. |
| 4,015 |
| 28 |
|
* |
| Cimpress NV |
| 222 |
| 27 |
|
* |
| SeaWorld Entertainment Inc. |
| 934 |
| 27 |
|
* |
| Weight Watchers International Inc. |
| 526 |
| 26 |
|
|
| Guess? Inc. |
| 1,083 |
| 26 |
|
|
| Tiffany & Co. |
| 282 |
| 26 |
|
* |
| Chegg Inc. |
| 911 |
| 25 |
|
* |
| Noodles & Co. Class A |
| 3,147 |
| 25 |
|
|
| Tractor Supply Co. |
| 253 |
| 24 |
|
* |
| Michael Kors Holdings Ltd. |
| 550 |
| 24 |
|
|
| Wingstop Inc. |
| 364 |
| 24 |
|
|
| Johnson Outdoors Inc. Class A |
| 334 |
| 24 |
|
* |
| Fossil Group Inc. |
| 1,231 |
| 24 |
|
* |
| G-III Apparel Group Ltd. |
| 590 |
| 24 |
|
* |
| Funko Inc. Class A |
| 1,542 |
| 23 |
|
* |
| ServiceMaster Global Holdings Inc. |
| 521 |
| 23 |
|
* |
| Ascena Retail Group Inc. |
| 7,442 |
| 22 |
|
* |
| Lands’ End Inc. |
| 1,058 |
| 22 |
|
* |
| J. Jill Inc. |
| 3,578 |
| 22 |
|
|
| Hyatt Hotels Corp. Class A |
| 300 |
| 21 |
|
|
| Abercrombie & Fitch Co. |
| 1,010 |
| 21 |
|
* |
| Habit Restaurants Inc. Class A |
| 1,684 |
| 21 |
|
|
| Tailored Brands Inc. |
| 900 |
| 21 |
|
|
| Buckle Inc. |
| 1,050 |
| 20 |
|
* |
| Stoneridge Inc. |
| 748 |
| 20 |
|
* |
| Express Inc. |
| 3,125 |
| 19 |
|
|
| BJ’s Restaurants Inc. |
| 357 |
| 19 |
|
* |
| Shake Shack Inc. Class A |
| 344 |
| 19 |
|
* |
| Zumiez Inc. |
| 966 |
| 19 |
|
* |
| Career Education Corp. |
| 1,388 |
| 19 |
|
* |
| Liberty TripAdvisor Holdings Inc. Class A |
| 898 |
| 17 |
|
|
| Tilly’s Inc. Class A |
| 1,466 |
| 17 |
|
|
| Movado Group Inc. |
| 445 |
| 17 |
|
|
| Ruth’s Hospitality Group Inc. |
| 650 |
| 16 |
|
|
| Best Buy Co. Inc. |
| 241 |
| 16 |
|
* |
| Shutterfly Inc. |
| 269 |
| 13 |
|
* |
| Helen of Troy Ltd. |
| 91 |
| 13 |
|
|
| Boyd Gaming Corp. |
| 524 |
| 13 |
|
|
| Travelport Worldwide Ltd. |
| 821 |
| 13 |
|
|
| Dillard’s Inc. Class A |
| 179 |
| 12 |
|
* |
| Conn’s Inc. |
| 443 |
| 12 |
|
* |
| Under Armour Inc. Class A |
| 510 |
| 12 |
|
|
| Marcus Corp. |
| 286 |
| 12 |
|
* |
| At Home Group Inc. |
| 426 |
| 12 |
|
|
| AMC Entertainment Holdings Inc. Class A |
| 889 |
| 12 |
|
* |
| Penn National Gaming Inc. |
| 501 |
| 11 |
|
|
| Choice Hotels International Inc. |
| 139 |
| 11 |
|
* |
| Rosetta Stone Inc. |
| 646 |
| 11 |
|
|
| Citi Trends Inc. |
| 492 |
| 10 |
|
* |
| Carrols Restaurant Group Inc. |
| 800 |
| 9 |
|
|
| Caleres Inc. |
| 283 |
| 9 |
|
|
| Garmin Ltd. |
| 120 |
| 8 |
|
* |
| Regis Corp. |
| 429 |
| 8 |
|
* |
| Hibbett Sports Inc. |
| 503 |
| 8 |
|
|
| Brinker International Inc. |
| 133 |
| 7 |
|
|
| Monro Inc. |
| 78 |
| 6 |
|
* |
| Gentherm Inc. |
| 132 |
| 6 |
|
|
| Wolverine World Wide Inc. |
| 177 |
| 6 |
|
* |
| frontdoor Inc. |
| 260 |
| 6 |
|
* |
| MSG Networks Inc. |
| 226 |
| 6 |
|
|
| Steven Madden Ltd. |
| 184 |
| 6 |
|
* |
| Care.com Inc. |
| 328 |
| 6 |
|
|
| Acushnet Holdings Corp. |
| 225 |
| 5 |
|
|
|
|
|
|
| 6,985 |
|
Consumer Staples (2.5%) |
|
|
|
|
| ||
|
| Sysco Corp. |
| 4,635 |
| 312 |
|
* |
| Primo Water Corp. |
| 3,450 |
| 50 |
|
* |
| Herbalife Nutrition Ltd. |
| 767 |
| 44 |
|
|
| Keurig Dr Pepper Inc. |
| 1,604 |
| 43 |
|
|
| Lamb Weston Holdings Inc. |
| 510 |
| 39 |
|
|
| Kroger Co. |
| 1,133 |
| 34 |
|
* |
| Chefs’ Warehouse Inc. |
| 827 |
| 32 |
|
* |
| Freshpet Inc. |
| 939 |
| 31 |
|
* |
| Simply Good Foods Co. |
| 1,359 |
| 28 |
|
|
| WD-40 Co. |
| 157 |
| 28 |
|
* |
| USANA Health Sciences Inc. |
| 220 |
| 27 |
|
* |
| Boston Beer Co. Inc. Class A |
| 88 |
| 24 |
|
|
| Turning Point Brands Inc. |
| 740 |
| 22 |
|
|
| Energizer Holdings Inc. |
| 446 |
| 20 |
|
|
| Nu Skin Enterprises Inc. Class A |
| 294 |
| 19 |
|
|
| Medifast Inc. |
| 129 |
| 19 |
|
|
| MGP Ingredients Inc. |
| 253 |
| 17 |
|
* |
| Pyxus International Inc. |
| 856 |
| 12 |
|
|
|
|
|
|
| 801 |
|
Energy (9.0%) |
|
|
|
|
| ||
|
| ConocoPhillips |
| 5,567 |
| 368 |
|
|
| Marathon Petroleum Corp. |
| 4,291 |
| 280 |
|
|
| Valero Energy Corp. |
| 3,281 |
| 262 |
|
|
| Anadarko Petroleum Corp. |
| 4,604 |
| 243 |
|
|
| Phillips 66 |
| 2,276 |
| 213 |
|
|
| EOG Resources Inc. |
| 1,617 |
| 167 |
|
|
| Occidental Petroleum Corp. |
| 2,039 |
| 143 |
|
|
| Pioneer Natural Resources Co. |
| 586 |
| 87 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Whiting Petroleum Corp. |
| 2,593 |
| 78 |
|
* |
| TPI Composites Inc. |
| 2,413 |
| 66 |
|
* |
| W&T Offshore Inc. |
| 9,213 |
| 53 |
|
* |
| Northern Oil and Gas Inc. |
| 19,041 |
| 48 |
|
* |
| Helix Energy Solutions Group Inc. |
| 5,865 |
| 48 |
|
|
| Delek US Holdings Inc. |
| 1,156 |
| 46 |
|
* |
| Transocean Ltd. |
| 4,859 |
| 45 |
|
|
| HollyFrontier Corp. |
| 716 |
| 45 |
|
|
| PBF Energy Inc. Class A |
| 1,113 |
| 43 |
|
|
| Murphy Oil Corp. |
| 1,228 |
| 39 |
|
* |
| Cheniere Energy Inc. |
| 589 |
| 36 |
|
|
| Marathon Oil Corp. |
| 2,096 |
| 35 |
|
* |
| WPX Energy Inc. |
| 2,462 |
| 34 |
|
* |
| Renewable Energy Group Inc. |
| 1,203 |
| 32 |
|
|
| ONEOK Inc. |
| 501 |
| 31 |
|
|
| Peabody Energy Corp. |
| 969 |
| 30 |
|
|
| National Oilwell Varco Inc. |
| 924 |
| 30 |
|
* |
| Sunrun Inc. |
| 2,004 |
| 29 |
|
* |
| Enphase Energy Inc. |
| 5,349 |
| 29 |
|
|
| Hess Corp. |
| 535 |
| 29 |
|
* |
| Continental Resources Inc. |
| 628 |
| 29 |
|
|
| Warrior Met Coal Inc. |
| 1,008 |
| 24 |
|
|
| Helmerich & Payne Inc. |
| 389 |
| 24 |
|
|
| CVR Energy Inc. |
| 565 |
| 21 |
|
* |
| Carrizo Oil & Gas Inc. |
| 1,171 |
| 20 |
|
* |
| Pioneer Energy Services Corp. |
| 7,879 |
| 20 |
|
* |
| Clean Energy Fuels Corp. |
| 7,881 |
| 18 |
|
* |
| California Resources Corp. |
| 734 |
| 18 |
|
|
| Mammoth Energy Services Inc. |
| 636 |
| 16 |
|
* |
| Oasis Petroleum Inc. |
| 2,121 |
| 15 |
|
* |
| Denbury Resources Inc. |
| 6,557 |
| 15 |
|
|
| Diamondback Energy Inc. |
| 130 |
| 14 |
|
|
| Core Laboratories NV |
| 167 |
| 14 |
|
* |
| Matrix Service Co. |
| 622 |
| 13 |
|
* |
| ION Geophysical Corp. |
| 1,387 |
| 12 |
|
* |
| Abraxas Petroleum Corp. |
| 7,142 |
| 12 |
|
* |
| TETRA Technologies Inc. |
| 4,702 |
| 11 |
|
|
| SM Energy Co. |
| 518 |
| 11 |
|
* |
| Newpark Resources Inc. |
| 1,311 |
| 10 |
|
* |
| Diamond Offshore Drilling Inc. |
| 755 |
| 9 |
|
* |
| Oil States International Inc. |
| 344 |
| 8 |
|
* |
| Arcosa Inc. |
| 79 |
| 2 |
|
|
|
|
|
|
| 2,925 |
|
Financial Services (9.0%) |
|
|
|
|
| ||
|
| Progressive Corp. |
| 4,628 |
| 307 |
|
|
| Mastercard Inc. Class A |
| 1,448 |
| 291 |
|
* |
| Green Dot Corp. Class A |
| 1,320 |
| 110 |
|
|
| Visa Inc. Class A |
| 770 |
| 109 |
|
|
| Moody’s Corp. |
| 593 |
| 94 |
|
|
| CME Group Inc. |
| 471 |
| 89 |
|
|
| S&P Global Inc. |
| 473 |
| 86 |
|
* |
| PayPal Holdings Inc. |
| 927 |
| 80 |
|
* |
| Axos Financial Inc. |
| 1,783 |
| 56 |
|
|
| EVERTEC Inc. |
| 1,906 |
| 52 |
|
|
| First Financial Bankshares Inc. |
| 789 |
| 52 |
|
|
| TCF Financial Corp. |
| 2,292 |
| 52 |
|
|
| Universal Insurance Holdings Inc. |
| 1,164 |
| 51 |
|
* |
| Square Inc. |
| 712 |
| 50 |
|
|
| Broadridge Financial Solutions Inc. |
| 449 |
| 48 |
|
|
| Hanover Insurance Group Inc. |
| 404 |
| 46 |
|
|
| Moelis & Co. Class A |
| 1,133 |
| 46 |
|
|
| Life Storage Inc. |
| 450 |
| 44 |
|
* |
| FleetCor Technologies Inc. |
| 225 |
| 43 |
|
|
| Innovative Industrial Properties Inc. |
| 852 |
| 42 |
|
|
| FirstCash Inc. |
| 471 |
| 42 |
|
|
| Primerica Inc. |
| 339 |
| 40 |
|
|
| First Bancorp |
| 988 |
| 40 |
|
|
| LPL Financial Holdings Inc. |
| 614 |
| 39 |
|
|
| MSCI Inc. Class A |
| 248 |
| 39 |
|
|
| Santander Consumer USA Holdings Inc. |
| 1,985 |
| 39 |
|
|
| Morningstar Inc. |
| 323 |
| 38 |
|
|
| Ryman Hospitality Properties Inc. |
| 509 |
| 38 |
|
|
| Enterprise Financial Services Corp. |
| 840 |
| 38 |
|
|
| TransUnion |
| 554 |
| 36 |
|
* |
| Fair Isaac Corp. |
| 175 |
| 35 |
|
* |
| WEX Inc. |
| 222 |
| 34 |
|
|
| Rayonier Inc. |
| 1,073 |
| 34 |
|
|
| CubeSmart |
| 1,058 |
| 33 |
|
|
| NexPoint Residential Trust Inc. |
| 881 |
| 32 |
|
|
| Kemper Corp. |
| 393 |
| 30 |
|
* |
| SVB Financial Group |
| 116 |
| 30 |
|
|
| RMR Group Inc. Class A |
| 455 |
| 29 |
|
|
| Commerce Bancshares Inc. |
| 459 |
| 29 |
|
|
| Evercore Inc. Class A |
| 337 |
| 28 |
|
|
| National General Holdings Corp. |
| 1,033 |
| 27 |
|
* |
| On Deck Capital Inc. |
| 3,491 |
| 27 |
|
|
| T. Rowe Price Group Inc. |
| 252 |
| 25 |
|
|
| Total System Services Inc. |
| 271 |
| 24 |
|
* |
| Credit Acceptance Corp. |
| 57 |
| 23 |
|
* |
| Worldpay Inc. Class A |
| 271 |
| 23 |
|
|
| Jack Henry & Associates Inc. |
| 166 |
| 23 |
|
|
| OFG Bancorp |
| 1,256 |
| 23 |
|
|
| Virtu Financial Inc. Class A |
| 907 |
| 23 |
|
|
| Popular Inc. |
| 391 |
| 22 |
|
|
| Brookline Bancorp Inc. |
| 1,210 |
| 19 |
|
|
| First BanCorp |
| 1,996 |
| 18 |
|
* |
| Enova International Inc. |
| 813 |
| 18 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Nasdaq Inc. |
| 194 |
| 18 |
|
* |
| Health Insurance Innovations Inc. Class A |
| 434 |
| 16 |
|
* |
| NMI Holdings Inc. Class A |
| 763 |
| 15 |
|
|
| United Insurance Holdings Corp. |
| 737 |
| 14 |
|
|
| Comerica Inc. |
| 180 |
| 14 |
|
|
| Regions Financial Corp. |
| 866 |
| 14 |
|
|
| Webster Financial Corp. |
| 223 |
| 13 |
|
|
| Greenhill & Co. Inc. |
| 551 |
| 13 |
|
* |
| Trupanion Inc. |
| 428 |
| 13 |
|
|
| Hamilton Lane Inc. Class A |
| 337 |
| 13 |
|
* |
| Triumph Bancorp Inc. |
| 324 |
| 12 |
|
* |
| World Acceptance Corp. |
| 110 |
| 12 |
|
|
| CenterState Bank Corp. |
| 477 |
| 12 |
|
|
| Bank of NT Butterfield & Son Ltd. |
| 228 |
| 9 |
|
|
| Omega Healthcare Investors Inc. |
| 173 |
| 7 |
|
|
| Sabra Health Care REIT Inc. |
| 266 |
| 5 |
|
|
|
|
|
|
| 2,946 |
|
Health Care (26.5%) |
|
|
|
|
| ||
|
| HCA Healthcare Inc. |
| 2,850 |
| 410 |
|
* |
| Edwards Lifesciences Corp. |
| 2,211 |
| 358 |
|
* |
| Illumina Inc. |
| 1,047 |
| 353 |
|
|
| Zoetis Inc. |
| 3,566 |
| 335 |
|
* |
| Boston Scientific Corp. |
| 8,703 |
| 328 |
|
* |
| Intuitive Surgical Inc. |
| 609 |
| 323 |
|
|
| Eli Lilly & Co. |
| 2,656 |
| 315 |
|
|
| Merck & Co. Inc. |
| 1,947 |
| 155 |
|
* |
| Molina Healthcare Inc. |
| 910 |
| 127 |
|
|
| UnitedHealth Group Inc. |
| 445 |
| 125 |
|
* |
| WellCare Health Plans Inc. |
| 472 |
| 120 |
|
|
| Humana Inc. |
| 365 |
| 120 |
|
|
| Anthem Inc. |
| 407 |
| 118 |
|
* |
| Codexis Inc. |
| 4,479 |
| 98 |
|
|
| Pfizer Inc. |
| 2,112 |
| 98 |
|
* |
| Glaukos Corp. |
| 1,461 |
| 96 |
|
* |
| DexCom Inc. |
| 727 |
| 94 |
|
|
| Becton Dickinson and Co. |
| 364 |
| 92 |
|
* |
| Align Technology Inc. |
| 391 |
| 90 |
|
|
| Abbott Laboratories |
| 1,165 |
| 86 |
|
|
| Bio-Techne Corp. |
| 496 |
| 80 |
|
* |
| BioCryst Pharmaceuticals Inc. |
| 8,600 |
| 79 |
|
* |
| R1 RCM Inc. |
| 8,160 |
| 75 |
|
* |
| CytoSorbents Corp. |
| 7,005 |
| 73 |
|
* |
| Addus HomeCare Corp. |
| 966 |
| 72 |
|
* |
| NanoString Technologies Inc. |
| 4,072 |
| 70 |
|
* |
| Exact Sciences Corp. |
| 896 |
| 70 |
|
* |
| STAAR Surgical Co. |
| 1,794 |
| 68 |
|
* |
| Seattle Genetics Inc. |
| 1,056 |
| 66 |
|
* |
| HMS Holdings Corp. |
| 1,842 |
| 66 |
|
* |
| Surmodics Inc. |
| 1,074 |
| 65 |
|
* |
| Ra Pharmaceuticals Inc. |
| 4,029 |
| 64 |
|
* |
| Verastem Inc. |
| 12,386 |
| 63 |
|
* |
| WaVe Life Sciences Ltd. |
| 1,257 |
| 60 |
|
* |
| AtriCure Inc. |
| 1,783 |
| 60 |
|
* |
| Tactile Systems Technology Inc. |
| 1,049 |
| 59 |
|
* |
| Marinus Pharmaceuticals Inc. |
| 12,374 |
| 58 |
|
* |
| Tenet Healthcare Corp. |
| 2,206 |
| 58 |
|
* |
| Cara Therapeutics Inc. |
| 3,148 |
| 57 |
|
* |
| Senseonics Holdings Inc. |
| 16,560 |
| 56 |
|
* |
| Haemonetics Corp. |
| 507 |
| 54 |
|
* |
| Loxo Oncology Inc. |
| 387 |
| 54 |
|
|
| Encompass Health Corp. |
| 713 |
| 54 |
|
|
| US Physical Therapy Inc. |
| 431 |
| 51 |
|
* |
| CareDx Inc. |
| 1,740 |
| 51 |
|
* |
| iRhythm Technologies Inc. |
| 677 |
| 50 |
|
* |
| Quidel Corp. |
| 816 |
| 50 |
|
* |
| Mirati Therapeutics Inc. |
| 1,271 |
| 49 |
|
* |
| Ultragenyx Pharmaceutical Inc. |
| 899 |
| 48 |
|
* |
| Sarepta Therapeutics Inc. |
| 360 |
| 47 |
|
* |
| Penumbra Inc. |
| 330 |
| 46 |
|
* |
| Vericel Corp. |
| 2,604 |
| 46 |
|
* |
| HealthEquity Inc. |
| 506 |
| 45 |
|
* |
| LHC Group Inc. |
| 424 |
| 44 |
|
* |
| Insulet Corp. |
| 528 |
| 44 |
|
|
| Ensign Group Inc. |
| 965 |
| 44 |
|
* |
| Omnicell Inc. |
| 559 |
| 43 |
|
* |
| Akcea Therapeutics Inc. |
| 1,250 |
| 42 |
|
* |
| CASI Pharmaceuticals Inc. |
| 9,472 |
| 41 |
|
|
| Chemed Corp. |
| 128 |
| 41 |
|
* |
| Neurocrine Biosciences Inc. |
| 454 |
| 40 |
|
* |
| LivaNova plc |
| 395 |
| 40 |
|
* |
| Immunomedics Inc. |
| 1,974 |
| 40 |
|
* |
| ABIOMED Inc. |
| 119 |
| 40 |
|
* |
| Integra LifeSciences Holdings Corp. |
| 736 |
| 40 |
|
* |
| Centene Corp. |
| 273 |
| 39 |
|
* |
| Antares Pharma Inc. |
| 10,737 |
| 39 |
|
* |
| G1 Therapeutics Inc. |
| 1,006 |
| 38 |
|
|
| ResMed Inc. |
| 344 |
| 38 |
|
* |
| Deciphera Pharmaceuticals Inc. |
| 1,460 |
| 38 |
|
* |
| Masimo Corp. |
| 344 |
| 38 |
|
* |
| ICU Medical Inc. |
| 153 |
| 37 |
|
* |
| Arrowhead Pharmaceuticals Inc. |
| 2,501 |
| 36 |
|
* |
| Neogen Corp. |
| 540 |
| 35 |
|
* |
| Dicerna Pharmaceuticals Inc. |
| 2,335 |
| 35 |
|
* |
| Cambrex Corp. |
| 727 |
| 35 |
|
* |
| Tandem Diabetes Care Inc. |
| 937 |
| 35 |
|
* |
| Nektar Therapeutics Class A |
| 854 |
| 35 |
|
* |
| BioTelemetry Inc. |
| 481 |
| 34 |
|
* |
| Ligand Pharmaceuticals Inc. |
| 214 |
| 34 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Nuvectra Corp. |
| 1,657 |
| 33 |
|
* |
| Fate Therapeutics Inc. |
| 2,151 |
| 33 |
|
* |
| REGENXBIO Inc. |
| 542 |
| 32 |
|
* |
| Tabula Rasa HealthCare Inc. |
| 427 |
| 32 |
|
* |
| ArQule Inc. |
| 8,626 |
| 32 |
|
* |
| MyoKardia Inc. |
| 515 |
| 32 |
|
* |
| Veeva Systems Inc. Class A |
| 332 |
| 32 |
|
* |
| PTC Therapeutics Inc. |
| 891 |
| 32 |
|
* |
| IDEXX Laboratories Inc. |
| 155 |
| 32 |
|
* |
| Atara Biotherapeutics Inc. |
| 787 |
| 31 |
|
* |
| Sage Therapeutics Inc. |
| 271 |
| 31 |
|
* |
| Reata Pharmaceuticals Inc. Class A |
| 487 |
| 31 |
|
* |
| TransEnterix Inc. |
| 9,887 |
| 31 |
|
* |
| Cardiovascular Systems Inc. |
| 977 |
| 30 |
|
|
| STERIS plc |
| 252 |
| 30 |
|
* |
| Viking Therapeutics Inc. |
| 2,615 |
| 30 |
|
* |
| Xencor Inc. |
| 697 |
| 29 |
|
* |
| Novocure Ltd. |
| 834 |
| 29 |
|
* |
| Integer Holdings Corp. |
| 323 |
| 29 |
|
* |
| IntriCon Corp. |
| 819 |
| 28 |
|
* |
| FibroGen Inc. |
| 646 |
| 28 |
|
* |
| Invitae Corp. |
| 1,975 |
| 28 |
|
* |
| CryoLife Inc. |
| 899 |
| 27 |
|
* |
| Sientra Inc. |
| 1,597 |
| 27 |
|
* |
| Globus Medical Inc. |
| 562 |
| 27 |
|
* |
| Inogen Inc. |
| 177 |
| 26 |
|
* |
| Amedisys Inc. |
| 186 |
| 25 |
|
* |
| NextGen Healthcare Inc. |
| 1,443 |
| 25 |
|
* |
| Array BioPharma Inc. |
| 1,580 |
| 25 |
|
* |
| NeoGenomics Inc. |
| 1,531 |
| 25 |
|
* |
| Arena Pharmaceuticals Inc. |
| 604 |
| 25 |
|
* |
| Teladoc Health Inc. |
| 391 |
| 24 |
|
* |
| Natera Inc. |
| 1,402 |
| 24 |
|
* |
| Bio-Rad Laboratories Inc. Class A |
| 87 |
| 24 |
|
* |
| Intercept Pharmaceuticals Inc. |
| 210 |
| 23 |
|
* |
| Momenta Pharmaceuticals Inc. |
| 1,920 |
| 23 |
|
* |
| Rocket Pharmaceuticals Inc. |
| 1,405 |
| 23 |
|
* |
| T2 Biosystems Inc. |
| 5,072 |
| 23 |
|
* |
| RadNet Inc. |
| 1,725 |
| 22 |
|
* |
| Genomic Health Inc. |
| 280 |
| 22 |
|
* |
| Alder Biopharmaceuticals Inc. |
| 1,630 |
| 22 |
|
* |
| Medpace Holdings Inc. |
| 350 |
| 22 |
|
* |
| Heron Therapeutics Inc. |
| 738 |
| 21 |
|
* |
| Collegium Pharmaceutical Inc. |
| 1,104 |
| 21 |
|
* |
| Insys Therapeutics Inc. |
| 3,494 |
| 21 |
|
* |
| Omeros Corp. |
| 1,493 |
| 21 |
|
* |
| Karyopharm Therapeutics Inc. |
| 1,978 |
| 21 |
|
* |
| Providence Service Corp. |
| 289 |
| 20 |
|
* |
| PetIQ Inc. Class A |
| 648 |
| 20 |
|
* |
| Catalyst Biosciences Inc. |
| 1,883 |
| 20 |
|
* |
| Editas Medicine Inc. |
| 644 |
| 20 |
|
* |
| Audentes Therapeutics Inc. |
| 820 |
| 20 |
|
* |
| Endo International plc |
| 1,657 |
| 20 |
|
* |
| AnaptysBio Inc. |
| 264 |
| 20 |
|
* |
| Catalyst Pharmaceuticals Inc. |
| 7,732 |
| 20 |
|
* |
| Coherus Biosciences Inc. |
| 1,748 |
| 19 |
|
* |
| Vanda Pharmaceuticals Inc. |
| 744 |
| 19 |
|
* |
| Cerus Corp. |
| 3,539 |
| 19 |
|
* |
| AxoGen Inc. |
| 533 |
| 18 |
|
* |
| Cymabay Therapeutics Inc. |
| 1,949 |
| 17 |
|
* |
| Adverum Biotechnologies Inc. |
| 4,715 |
| 17 |
|
* |
| Iovance Biotherapeutics Inc. |
| 1,744 |
| 17 |
|
* |
| Madrigal Pharmaceuticals Inc. |
| 142 |
| 16 |
|
* |
| Acceleron Pharma Inc. |
| 303 |
| 16 |
|
* |
| ViewRay Inc. |
| 2,339 |
| 16 |
|
* |
| American Renal Associates Holdings Inc. |
| 930 |
| 15 |
|
* |
| ImmunoGen Inc. |
| 2,763 |
| 15 |
|
* |
| Biohaven Pharmaceutical Holding Co. Ltd. |
| 447 |
| 15 |
|
* |
| Enanta Pharmaceuticals Inc. |
| 180 |
| 14 |
|
* |
| Kura Oncology Inc. |
| 1,106 |
| 14 |
|
* |
| Innovate Biopharmaceuticals Inc. |
| 5,329 |
| 14 |
|
* |
| Sorrento Therapeutics Inc. |
| 3,695 |
| 13 |
|
* |
| Avanos Medical Inc. |
| 256 |
| 12 |
|
* |
| Zogenix Inc. |
| 290 |
| 12 |
|
* |
| Stemline Therapeutics Inc. |
| 1,058 |
| 12 |
|
* |
| AMAG Pharmaceuticals Inc. |
| 588 |
| 11 |
|
* |
| ChemoCentryx Inc. |
| 990 |
| 10 |
|
* |
| Merit Medical Systems Inc. |
| 154 |
| 10 |
|
* |
| NuVasive Inc. |
| 127 |
| 8 |
|
* |
| Horizon Pharma plc |
| 317 |
| 6 |
|
|
| Luminex Corp. |
| 201 |
| 6 |
|
* |
| Myriad Genetics Inc. |
| 128 |
| 4 |
|
|
|
|
|
|
| 8,639 |
|
|
|
|
|
|
|
|
|
Materials & Processing (1.8%) |
|
|
|
|
| ||
|
| Comfort Systems USA Inc. |
| 1,940 |
| 102 |
|
* |
| Trex Co. Inc. |
| 1,404 |
| 89 |
|
|
| CF Industries Holdings Inc. |
| 1,411 |
| 60 |
|
* |
| Veritiv Corp. |
| 1,362 |
| 41 |
|
* |
| Ingevity Corp. |
| 416 |
| 41 |
|
|
| Mosaic Co. |
| 1,091 |
| 39 |
|
* |
| Verso Corp. |
| 1,316 |
| 33 |
|
|
| DMC Global Inc. |
| 778 |
| 28 |
|
|
| Insteel Industries Inc. |
| 959 |
| 26 |
|
* |
| BlueLinx Holdings Inc. |
| 847 |
| 23 |
|
* |
| PGT Innovations Inc. |
| 1,014 |
| 20 |
|
|
| Steel Dynamics Inc. |
| 492 |
| 17 |
|
* |
| Forterra Inc. |
| 3,247 |
| 16 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Advanced Drainage Systems Inc. |
| 549 |
| 15 |
|
* |
| Amyris Inc. |
| 2,962 |
| 15 |
|
|
| Carpenter Technology Corp. |
| 259 |
| 11 |
|
* |
| Continental Building Products Inc. |
| 335 |
| 10 |
|
|
| Materion Corp. |
| 167 |
| 9 |
|
|
| Simpson Manufacturing Co. Inc. |
| 106 |
| 6 |
|
|
|
|
|
|
| 601 |
|
Producer Durables (10.1%) |
|
|
|
|
| ||
|
| CSX Corp. |
| 4,743 |
| 344 |
|
|
| Norfolk Southern Corp. |
| 1,792 |
| 306 |
|
|
| Union Pacific Corp. |
| 1,879 |
| 289 |
|
|
| Boeing Co. |
| 535 |
| 186 |
|
|
| Automatic Data Processing Inc. |
| 925 |
| 136 |
|
|
| Tetra Tech Inc. |
| 1,415 |
| 86 |
|
|
| Booz Allen Hamilton Holding Corp. Class A |
| 1,680 |
| 86 |
|
* |
| TransDigm Group Inc. |
| 222 |
| 80 |
|
* |
| Verisk Analytics Inc. Class A |
| 634 |
| 78 |
|
* |
| Vicor Corp. |
| 2,183 |
| 78 |
|
* |
| Teledyne Technologies Inc. |
| 337 |
| 76 |
|
|
| Accenture plc Class A |
| 402 |
| 66 |
|
|
| Korn/Ferry International |
| 1,336 |
| 65 |
|
* |
| CryoPort Inc. |
| 5,596 |
| 61 |
|
|
| Cubic Corp. |
| 988 |
| 60 |
|
|
| WW Grainger Inc. |
| 172 |
| 54 |
|
* |
| Keysight Technologies Inc. |
| 859 |
| 53 |
|
* |
| Chart Industries Inc. |
| 804 |
| 51 |
|
|
| Allied Motion Technologies Inc. |
| 1,065 |
| 50 |
|
|
| Robert Half International Inc. |
| 809 |
| 50 |
|
* |
| Zebra Technologies Corp. |
| 268 |
| 48 |
|
* |
| NV5 Global Inc. |
| 652 |
| 48 |
|
|
| Old Dominion Freight Line Inc. |
| 340 |
| 46 |
|
|
| Wabtec Corp. |
| 477 |
| 45 |
|
|
| HEICO Corp. |
| 520 |
| 44 |
|
* |
| ASGN Inc. |
| 610 |
| 42 |
|
* |
| Copart Inc. |
| 733 |
| 38 |
|
|
| Cintas Corp. |
| 190 |
| 36 |
|
* |
| XPO Logistics Inc. |
| 439 |
| 33 |
|
* |
| CoStar Group Inc. |
| 90 |
| 33 |
|
* |
| Kirby Corp. |
| 420 |
| 32 |
|
|
| Insperity Inc. |
| 298 |
| 30 |
|
* |
| Echo Global Logistics Inc. |
| 1,127 |
| 29 |
|
|
| Landstar System Inc. |
| 248 |
| 27 |
|
* |
| FTI Consulting Inc. |
| 365 |
| 26 |
|
* |
| Team Inc. |
| 1,482 |
| 25 |
|
* |
| Axon Enterprise Inc. |
| 544 |
| 24 |
|
* |
| Wesco Aircraft Holdings Inc. |
| 2,447 |
| 23 |
|
* |
| Willscot Corp. Class A |
| 1,636 |
| 23 |
|
|
| Exponent Inc. |
| 447 |
| 23 |
|
|
| ArcBest Corp. |
| 531 |
| 21 |
|
* |
| FARO Technologies Inc. |
| 429 |
| 21 |
|
|
| Heidrick & Struggles International Inc. |
| 579 |
| 21 |
|
* |
| Aerovironment Inc. |
| 274 |
| 21 |
|
|
| Kforce Inc. |
| 659 |
| 21 |
|
|
| SkyWest Inc. |
| 361 |
| 21 |
|
|
| FLIR Systems Inc. |
| 428 |
| 20 |
|
|
| McGrath RentCorp |
| 343 |
| 18 |
|
|
| ICF International Inc. |
| 260 |
| 18 |
|
|
| Mobile Mini Inc. |
| 439 |
| 18 |
|
* |
| Casella Waste Systems Inc. Class A |
| 536 |
| 18 |
|
* |
| Proto Labs Inc. |
| 123 |
| 16 |
|
|
| IDEX Corp. |
| 113 |
| 16 |
|
* |
| CBIZ Inc. |
| 698 |
| 15 |
|
* |
| Vishay Precision Group Inc. |
| 409 |
| 14 |
|
|
| Systemax Inc. |
| 443 |
| 12 |
|
|
| Textron Inc. |
| 218 |
| 12 |
|
|
| ITT Inc. |
| 216 |
| 12 |
|
|
| Rollins Inc. |
| 188 |
| 12 |
|
* |
| Aerojet Rocketdyne Holdings Inc. |
| 321 |
| 11 |
|
|
| Curtiss-Wright Corp. |
| 94 |
| 10 |
|
|
| CH Robinson Worldwide Inc. |
| 103 |
| 10 |
|
* |
| TriNet Group Inc. |
| 196 |
| 9 |
|
|
| Roper Technologies Inc. |
| 26 |
| 8 |
|
|
| Trinity Industries Inc. |
| 237 |
| 6 |
|
|
|
|
|
|
| 3,311 |
|
Technology (17.6%) |
|
|
|
|
| ||
* |
| Adobe Inc. |
| 1,469 |
| 369 |
|
* |
| salesforce.com Inc. |
| 2,435 |
| 348 |
|
|
| Intuit Inc. |
| 1,617 |
| 347 |
|
* |
| ServiceNow Inc. |
| 1,839 |
| 341 |
|
|
| Microsoft Corp. |
| 2,953 |
| 327 |
|
|
| QUALCOMM Inc. |
| 4,981 |
| 290 |
|
|
| Apple Inc. |
| 1,331 |
| 238 |
|
|
| Cisco Systems Inc. |
| 2,950 |
| 141 |
|
* |
| eGain Corp. |
| 17,705 |
| 132 |
|
* |
| LiveRamp Holdings Inc. |
| 2,622 |
| 124 |
|
* |
| F5 Networks Inc. |
| 508 |
| 87 |
|
* |
| SailPoint Technologies Holding Inc. |
| 3,332 |
| 87 |
|
* |
| Aspen Technology Inc. |
| 945 |
| 82 |
|
* |
| Palo Alto Networks Inc. |
| 445 |
| 77 |
|
* |
| Five9 Inc. |
| 1,722 |
| 74 |
|
* |
| Rapid7 Inc. |
| 2,313 |
| 74 |
|
|
| NVIDIA Corp. |
| 409 |
| 67 |
|
* |
| Evolent Health Inc. Class A |
| 2,576 |
| 66 |
|
* |
| Yext Inc. |
| 4,483 |
| 65 |
|
* |
| Turtle Beach Corp. |
| 3,939 |
| 64 |
|
* |
| Advanced Micro Devices Inc. |
| 2,985 |
| 64 |
|
* |
| SPS Commerce Inc. |
| 742 |
| 63 |
|
* |
| HubSpot Inc. |
| 434 |
| 60 |
|
* |
| Workiva Inc. |
| 1,508 |
| 56 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Atlassian Corp. plc Class A |
| 651 |
| 56 |
|
|
| Ubiquiti Networks Inc. |
| 490 |
| 53 |
|
* |
| Akamai Technologies Inc. |
| 737 |
| 51 |
|
* |
| RingCentral Inc. Class A |
| 602 |
| 50 |
|
* |
| PTC Inc. |
| 577 |
| 50 |
|
* |
| 3D Systems Corp. |
| 3,914 |
| 48 |
|
* |
| Splunk Inc. |
| 429 |
| 48 |
|
* |
| Fortinet Inc. |
| 642 |
| 47 |
|
* |
| LivePerson Inc. |
| 2,396 |
| 45 |
|
* |
| lAC/lnterActiveCorp |
| 247 |
| 44 |
|
* |
| Twitter Inc. |
| 1,384 |
| 44 |
|
* |
| VMware Inc. Class A |
| 246 |
| 41 |
|
|
| Harris Corp. |
| 278 |
| 40 |
|
* |
| New Relic Inc. |
| 445 |
| 39 |
|
* |
| Paycom Software Inc. |
| 290 |
| 39 |
|
* |
| Tableau Software Inc. Class A |
| 308 |
| 38 |
|
* |
| Nutanix Inc. |
| 857 |
| 38 |
|
* |
| GoDaddy Inc. Class A |
| 581 |
| 38 |
|
* |
| Zendesk Inc. |
| 637 |
| 38 |
|
* |
| Twilio Inc. Class A |
| 393 |
| 37 |
|
|
| Motorola Solutions Inc. |
| 281 |
| 37 |
|
* |
| Cargurus Inc. |
| 861 |
| 33 |
|
* |
| VeriSign Inc. |
| 214 |
| 33 |
|
* |
| Altair Engineering Inc. Class A |
| 1,033 |
| 33 |
|
* |
| CACI International Inc. Class A |
| 201 |
| 33 |
|
* |
| EPAM Systems Inc. |
| 251 |
| 33 |
|
* |
| Glu Mobile Inc. |
| 4,403 |
| 33 |
|
* |
| Okta Inc. |
| 488 |
| 31 |
|
* |
| RealPage Inc. |
| 594 |
| 31 |
|
* |
| Arista Networks Inc. |
| 127 |
| 30 |
|
* |
| Citrix Systems Inc. |
| 276 |
| 30 |
|
|
| SS&C Technologies Holdings Inc. |
| 610 |
| 29 |
|
|
| NetApp Inc. |
| 433 |
| 29 |
|
* |
| GrubHub Inc. |
| 361 |
| 28 |
|
|
| Sabre Corp. |
| 1,092 |
| 28 |
|
* |
| ANSYS Inc. |
| 172 |
| 28 |
|
* |
| Appfolio Inc. |
| 447 |
| 27 |
|
* |
| ShotSpotter Inc. |
| 694 |
| 26 |
|
* |
| Alteryx Inc. Class A |
| 429 |
| 26 |
|
* |
| Ultimate Software Group Inc. |
| 97 |
| 26 |
|
* |
| Coupa Software Inc. |
| 393 |
| 25 |
|
* |
| Guidewire Software Inc. |
| 264 |
| 25 |
|
|
| Hewlett Packard Enterprise Co. |
| 1,630 |
| 24 |
|
* |
| Match Group Inc. |
| 597 |
| 24 |
|
* |
| Varonis Systems Inc. |
| 404 |
| 23 |
|
* |
| Vocera Communications Inc. |
| 558 |
| 22 |
|
* |
| Blucora Inc. |
| 715 |
| 22 |
|
* |
| Qualys Inc. |
| 268 |
| 21 |
|
* |
| Everbridge Inc. |
| 384 |
| 21 |
|
* |
| Nanometrics Inc. |
| 654 |
| 21 |
|
* |
| iRobot Corp. |
| 213 |
| 20 |
|
* |
| Unisys Corp. |
| 1,482 |
| 20 |
|
* |
| Semtech Corp. |
| 367 |
| 20 |
|
* |
| Bottomline Technologies DE Inc. |
| 351 |
| 19 |
|
* |
| Take-Two Interactive Software Inc. |
| 176 |
| 19 |
|
* |
| Tyler Technologies Inc. |
| 99 |
| 19 |
|
* |
| Meet Group Inc. |
| 4,706 |
| 19 |
|
* |
| Pure Storage Inc. Class A |
| 988 |
| 19 |
|
* |
| NeoPhotonics Corp. |
| 2,403 |
| 18 |
|
* |
| Q2 Holdings Inc. |
| 325 |
| 18 |
|
* |
| Upland Software Inc. |
| 623 |
| 17 |
|
* |
| Cision Ltd. |
| 1,339 |
| 17 |
|
* |
| Carbonite Inc. |
| 588 |
| 17 |
|
|
| Comtech Telecommunications Corp. |
| 615 |
| 16 |
|
* |
| Immersion Corp. |
| 1,601 |
| 15 |
|
* |
| Lattice Semiconductor Corp. |
| 2,308 |
| 14 |
|
* |
| Workday Inc. Class A |
| 78 |
| 13 |
|
* |
| Novanta Inc. |
| 172 |
| 11 |
|
* |
| TechTarget Inc. |
| 724 |
| 10 |
|
* |
| PROS Holdings Inc. |
| 298 |
| 10 |
|
* |
| Virtusa Corp. |
| 194 |
| 9 |
|
* |
| Yelp Inc. Class A |
| 255 |
| 9 |
|
* |
| Envestnet Inc. |
| 148 |
| 8 |
|
* |
| Fabrinet |
| 133 |
| 7 |
|
* |
| OneSpan Inc. |
| 393 |
| 7 |
|
|
|
|
|
|
| 5,730 |
|
Utilities (1.5%) |
|
|
|
|
| ||
|
| NextEra Energy Inc. |
| 500 |
| 91 |
|
* |
| Iridium Communications Inc. |
| 2,972 |
| 71 |
|
|
| CenturyLink Inc. |
| 3,607 |
| 68 |
|
* |
| Intelsat SA |
| 2,222 |
| 55 |
|
|
| NRG Energy Inc. |
| 1,183 |
| 45 |
|
* |
| Vistra Energy Corp. |
| 1,745 |
| 41 |
|
* |
| Boingo Wireless Inc. |
| 1,480 |
| 37 |
|
* |
| NII Holdings Inc. |
| 5,877 |
| 32 |
|
* |
| 8x8 Inc. |
| 1,074 |
| 21 |
|
* |
| Vonage Holdings Corp. |
| 1,224 |
| 13 |
|
|
| ATN International Inc. |
| 96 |
| 8 |
|
|
|
|
|
|
| 482 |
|
Total Common Stocks |
|
|
|
|
| ||
(Cost $33,182) |
|
|
| 32,420 |
| ||
Temporary Cash Investment (0.5%)1 |
|
|
|
|
| ||
Money Market Fund (0.5%) |
|
|
|
|
| ||
2 Vanguard Market Liquidity Fund, 2.407% (Cost $149) |
| 1,486 |
| 149 |
| ||
Total Investments (99.9%) |
|
|
|
|
| ||
(Cost $33,331) |
|
|
| 32,569 |
|
U.S. Momentum Factor ETF
|
| Amount |
|
|
| ($000) |
|
Other Assets and Liabilities (0.1%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 2 |
|
Receivables for Accrued Income |
| 33 |
|
Variation Margin Receivable—Futures Contracts |
| 1 |
|
Other Assets3 |
| 7 |
|
Total Other Assets |
| 43 |
|
Liabilities |
|
|
|
Payables to Vanguard |
| (2 | ) |
Total Liabilities |
| (2 | ) |
Net Assets (100%) |
|
|
|
Applicable to 425,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 32,610 |
|
Net Asset Value Per Share |
| $76.73 |
|
At November 30, 2018, net assets consisted of: |
|
|
|
|
| Amount |
|
|
| ($000) |
|
Paid-in Capital |
| 34,243 |
|
Total Distributable Earnings (Loss) |
| (1,633 | ) |
Net Assets |
| 32,610 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.0%, respectively, 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 Cash of $7,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
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 Russell 2000 Index |
| December 2018 |
| 2 |
|
| 153 |
| (9 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Statement of Operations
| February 13, 20181 to |
| November 30, 2018 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 153 |
Interest2 | 2 |
Total Income | 155 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | — |
Management and Administrative | 1 |
Marketing & Distributions | — |
Custodian Fees | 7 |
Auditing Fees | 10 |
Shareholders’ Reports | 3 |
Total Expenses | 21 |
Net Investment Income | 134 |
Realized Net Gain (Loss) |
|
Investment Securities Sold2 | (914) |
Futures Contracts | 8 |
Realized Net Gain (Loss) | (906) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities2 | (762) |
Futures Contracts | (9) |
Change in Unrealized Appreciation (Depreciation) | (771) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,543) |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, ($1,000), and $0 respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Statement of Changes in Net Assets
| February 13, 20181 to |
| November 30, 2018 |
| ($000) |
Increase (Decrease) in Net Assets |
|
Operations |
|
Net Investment Income | 134 |
Realized Net Gain (Loss) | (906) |
Change in Unrealized Appreciation (Depreciation) | (771) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,543) |
Distributions |
|
Net Investment Income | (90) |
Realized Capital Gain | — |
Total Distributions | (90) |
Capital Share Transactions |
|
Issued | 34,243 |
Issued in Lieu of Cash Distributions | — |
Redeemed | — |
Net Increase (Decrease) from Capital Share Transactions | 34,243 |
Total Increase (Decrease) | 32,610 |
Net Assets |
|
Beginning of Period | — |
End of Period | 32,610 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Financial Highlights
| February 13, 20181 to |
For a Share Outstanding Throughout the Period | November 30, 2018 |
Net Asset Value, Beginning of Period | $75.00 |
Investment Operations |
|
Net Investment Income2 | .538 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.489 |
Total from Investment Operations | 2.027 |
Distributions |
|
Dividends from Net Investment Income | (.297) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.297) |
Net Asset Value, End of Period | $76.73 |
|
|
Total Return | 2.67% |
|
|
Ratios/Supplemental Data |
|
Net Assets, End of Period (Millions) | $33 |
Ratio of Total Expenses to Average Net Assets | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 0.83%3 |
Portfolio Turnover Rate | 53% |
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Notes to Financial Statements
Vanguard U.S. Momentum Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Momentum Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. 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 purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2018, the fund had contributed to Vanguard capital in the amount of $2,000, representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
U.S. Momentum Factor ETF
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
| Amount |
|
|
| ($000) |
|
Undistributed Ordinary Income |
| 44 |
|
Undistributed Long-Term Gains |
| — |
|
Capital Loss Carryforwards (Non-expiring) |
| (915) |
|
Net Unrealized Gains (Losses) |
| (762) |
|
As of November 30, 2018, 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 |
| 33,331 |
|
Gross Unrealized Appreciation |
| 2,012 |
|
Gross Unrealized Depreciation |
| (2,774) |
|
Net Unrealized Appreciation (Depreciation) |
| (762) |
|
E. During the period ended November 30, 2018, the fund purchased $44,746,000 of investment securities and sold $10,648,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| Shares |
|
|
| (000) |
|
Issued |
| 425 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| — |
|
Net Increase (Decrease) in Shares Outstanding |
| 425 |
|
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
U.S. Multifactor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
|
|
| Total Returns |
|
|
|
|
|
|
| Period Ended November 30, 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Since |
| Final Value |
|
|
|
|
| Inception |
| of a $10,000 |
|
|
|
|
| (2/13/2018) |
| Investment |
|
| U.S. Multifactor ETF Net Asset Value |
| 2.03% |
| $10,203 |
| |
| Russell 3000 Index |
| 5.04 |
| 10,504 |
|
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
|
| Since |
|
| Inception
|
|
| (2/13/2018)
|
U.S. Multifactor ETF Market Price
|
| 2.06% |
U.S. Multifactor ETF Net Asset Value
|
| 2.03 |
Russell 3000 Index
|
| 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Multifactor ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
| Inception Date |
| Since Inception |
ETF Shares |
| 2/13/2018 |
|
|
Market Price |
|
|
| 10.61% |
Net Asset Value |
|
|
| 10.57 |
U.S. Multifactor ETF
Sector Diversification
As of November 30, 2018
Consumer Discretionary
|
| 23.7% |
Consumer Staples
|
| 3.6 |
Energy
|
| 10.7 |
Financial Services
|
| 22.2 |
Health Care
|
| 9.7 |
Materials & Processing
|
| 3.2 |
Other
|
| 0.0 |
Producer Durables
|
| 12.5 |
Technology
|
| 9.8 |
Utilities
|
| 4.6 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Multifactor ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
| Market |
| |
|
|
| Value· |
| |
|
| Shares | ($000 | ) | |
Common Stocks (99.4%)1 |
|
|
|
| |
Consumer Discretionary (23.6%) |
|
|
|
| |
| Costco Wholesale Corp. |
| 3,507 | 811 |
|
| Target Corp. |
| 10,977 | 779 |
|
| NIKE Inc. Class B |
| 8,398 | 631 |
|
| Walt Disney Co. |
| 5,350 | 618 |
|
| Walmart Inc. |
| 5,804 | 567 |
|
| Ross Stores Inc. |
| 5,328 | 467 |
|
| TJX Cos. Inc. |
| 9,098 | 444 |
|
* | Urban Outfitters Inc. |
| 8,441 | 321 |
|
| Advance Auto Parts Inc. |
| 1,608 | 286 |
|
| Guess? Inc. |
| 11,577 | 275 |
|
| Viacom Inc. Class B |
| 8,845 | 273 |
|
| Expedia Group Inc. |
| 2,231 | 269 |
|
| Marcus Corp. |
| 6,195 | 263 |
|
| Texas Roadhouse Inc. Class A |
| 3,850 | 254 |
|
| Dick’s Sporting Goods Inc. |
| 6,951 | 250 |
|
| Kohl’s Corp. |
| 3,646 | 245 |
|
| Columbia Sportswear Co. |
| 2,635 | 241 |
|
| Carnival Corp. |
| 3,990 | 241 |
|
| Autoliv Inc. |
| 2,758 | 237 |
|
* | G-III Apparel Group Ltd. |
| 5,833 | 234 |
|
| Tailored Brands Inc. |
| 10,146 | 232 |
|
| Macy’s Inc. |
| 6,315 | 216 |
|
* | AutoZone Inc. |
| 260 | 210 |
|
| American Eagle Outfitters Inc. |
| 10,027 | 210 |
|
* | Liberty Expedia Holdings Inc. Class A |
| 4,972 | 208 |
|
| La-Z-Boy Inc. |
| 7,078 | 207 |
|
* | Stoneridge Inc. |
| 7,648 | 205 |
|
* | Ulta Beauty Inc. |
| 655 | 195 |
|
* | Gray Television Inc. |
| 10,122 | 187 |
|
| Penske Automotive Group Inc. |
| 4,230 | 184 |
|
| Tractor Supply Co. |
| 1,925 | 183 |
|
| Nordstrom Inc. |
| 3,462 | 183 |
|
| National Presto Industries Inc. |
| 1,395 | 179 |
|
| Dillard’s Inc. Class A |
| 2,506 | 174 |
|
* | Zumiez Inc. |
| 8,738 | 172 |
|
| Steven Madden Ltd. |
| 5,154 | 166 |
|
| AMC Entertainment Holdings Inc. Class A |
| 11,914 | 163 |
|
| Tilly’s Inc. Class A |
| 14,106 | 162 |
|
* | Genesco Inc. |
| 3,884 | 162 |
|
* | MSG Networks Inc. |
| 5,779 | 155 |
|
| Gap Inc. |
| 5,554 | 152 |
|
| GameStop Corp. Class A |
| 11,024 | 151 |
|
* | Michael Kors Holdings Ltd. |
| 3,438 | 150 |
|
| International Speedway Corp. Class A |
| 3,528 | 149 |
|
* | O’Reilly Automotive Inc. |
| 429 | 149 |
|
| DSW Inc. Class A |
| 5,341 | 148 |
|
| HealthStream Inc. |
| 5,739 | 141 |
|
* | MasterCraft Boat Holdings Inc. |
| 5,434 | 141 |
|
* | Sally Beauty Holdings Inc. |
| 6,580 | 139 |
|
| Buckle Inc. |
| 6,784 | 130 |
|
| Cato Corp. Class A |
| 8,341 | 126 |
|
| Best Buy Co. Inc. |
| 1,946 | 126 |
|
| Shutterstock Inc. |
| 3,172 | 121 |
|
| Williams-Sonoma Inc. |
| 1,972 | 112 |
|
| New Media Investment Group Inc. |
| 8,001 | 106 |
|
* | Boot Barn Holdings Inc. |
| 4,629 | 105 |
|
| Chico’s FAS Inc. |
| 19,253 | 104 |
|
| Brinker International Inc. |
| 2,008 | 103 |
|
* | Ollie’s Bargain Outlet Holdings Inc. |
| 1,139 | 101 |
|
* | Helen of Troy Ltd. |
| 685 | 98 |
|
| Johnson Outdoors Inc. Class A |
| 1,367 | 97 |
|
* | K12 Inc. |
| 4,014 | 96 |
|
| Gentex Corp. |
| 4,073 | 92 |
|
* | Burlington Stores Inc. |
| 533 | 88 |
|
| Travelport Worldwide Ltd. |
| 5,676 | 87 |
|
| Dave & Buster’s Entertainment Inc. |
| 1,524 | 87 |
|
U.S. Multifactor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
* | Discovery Communications Inc. Class A |
| 2,820 | 87 |
| |
* | Cooper-Standard Holdings Inc. |
| 1,179 | 86 |
| |
* | America’s Car-Mart Inc. |
| 1,124 | 83 |
| |
| Dollar General Corp. |
| 734 | 81 |
| |
* | Five Below Inc. |
| 772 | 81 |
| |
* | Lululemon Athletica Inc. |
| 595 | 79 |
| |
| Haverty Furniture Cos. Inc. |
| 3,745 | 77 |
| |
* | Deckers Outdoor Corp. |
| 555 | 74 |
| |
* | Crocs Inc. |
| 2,613 | 73 |
| |
* | MarineMax Inc. |
| 3,419 | 73 |
| |
| Darden Restaurants Inc. |
| 654 | 72 |
| |
| Wolverine World Wide Inc. |
| 2,086 | 72 |
| |
| Cheesecake Factory Inc. |
| 1,527 | 72 |
| |
* | Habit Restaurants Inc. Class A |
| 5,635 | 70 |
| |
| Ralph Lauren Corp. Class A |
| 630 | 70 |
| |
| Bed Bath & Beyond Inc. |
| 5,445 | 70 |
| |
| Gannett Co. Inc. |
| 6,683 | 69 |
| |
| BJ’s Restaurants Inc. |
| 1,264 | 69 |
| |
| Aaron’s Inc. |
| 1,455 | 68 |
| |
* | Monarch Casino & Resort Inc. |
| 1,692 | 68 |
| |
| Tower International Inc. |
| 2,393 | 67 |
| |
| Oxford Industries Inc. |
| 831 | 67 |
| |
| Extended Stay America Inc. |
| 3,665 | 67 |
| |
| World Wrestling Entertainment Inc. Class A |
| 901 | 67 |
| |
* | Nautilus Inc. |
| 5,039 | 65 |
| |
| Movado Group Inc. |
| 1,707 | 64 |
| |
* | AutoNation Inc. |
| 1,689 | 63 |
| |
| Tiffany & Co. |
| 683 | 62 |
| |
* | Career Education Corp. |
| 4,576 | 62 |
| |
* | Vera Bradley Inc. |
| 5,546 | 61 |
| |
| Cracker Barrel Old Country Store Inc. |
| 331 | 60 |
| |
| Hyatt Hotels Corp. Class A |
| 839 | 60 |
| |
| Ruth’s Hospitality Group Inc. |
| 2,416 | 59 |
| |
* | Fiesta Restaurant Group Inc. |
| 3,130 | 59 |
| |
| PVH Corp. |
| 515 | 57 |
| |
| Citi Trends Inc. |
| 2,772 | 57 |
| |
* | Cavco Industries Inc. |
| 343 | 56 |
| |
| Caleres Inc. |
| 1,845 | 56 |
| |
| Big Lots Inc. |
| 1,260 | 55 |
| |
| Standard Motor Products Inc. |
| 1,017 | 54 |
| |
* | Chuy’s Holdings Inc. |
| 2,373 | 51 |
| |
| John Wiley & Sons Inc. Class A |
| 912 | 50 |
| |
* | ZAGG Inc. |
| 4,975 | 50 |
| |
| Hooker Furniture Corp. |
| 1,617 | 49 |
| |
| Lear Corp. |
| 348 | 47 |
| |
* | Regis Corp. |
| 2,572 | 47 |
| |
* | Potbelly Corp. | �� | 4,376 | 44 |
| |
| Garmin Ltd. |
| 649 | 43 |
| |
| Tenneco Inc. Class A |
| 1,276 | 43 |
| |
| Wingstop Inc. |
| 612 | 40 |
| |
* | Adtalem Global Education Inc. |
| 625 | 36 |
| |
* | Sportsman’s Warehouse Holdings Inc. |
| 7,913 | 36 |
| |
| Children’s Place Inc. |
| 270 | 35 |
| |
| Sonic Automotive Inc. Class A |
| 1,645 | 26 |
| |
* | Red Robin Gourmet Burgers Inc. |
| 712 | 25 |
| |
| Inter Parfums Inc. |
| 388 | 24 |
| |
| Ethan Allen Interiors Inc. |
| 1,102 | 23 |
| |
| Monro Inc. |
| 238 |
| 19 |
|
|
|
|
| 17,958 |
| |
Consumer Staples (3.6%) |
|
|
|
| ||
| Walgreens Boots Alliance Inc. |
| 11,357 | 962 |
| |
| Lancaster Colony Corp. |
| 1,384 | 250 |
| |
| Flowers Foods Inc. |
| 11,810 | 234 |
| |
| Core-Mark Holding Co. Inc. |
| 5,198 | 137 |
| |
| Kroger Co. |
| 3,927 | 116 |
| |
| Nu Skin Enterprises Inc. Class A |
| 1,350 | 89 |
| |
* | USANA Health Sciences Inc. |
| 714 | 87 |
| |
* | Performance Food Group Co. |
| 2,464 | 85 |
| |
* | Boston Beer Co. Inc. Class A |
| 306 | 84 |
| |
* | US Foods Holding Corp. |
| 2,386 | 79 |
| |
| Weis Markets Inc. |
| 1,570 | 72 |
| |
| Ingles Markets Inc. Class A |
| 2,371 | 69 |
| |
* | Freshpet Inc. |
| 2,011 | 66 |
| |
| John B Sanfilippo & Son Inc. |
| 1,014 | 63 |
| |
| Hormel Foods Corp. |
| 1,355 | 61 |
| |
| J&J Snack Foods Corp. |
| 385 | 60 |
| |
| Ingredion Inc. |
| 525 | 55 |
| |
| Cal-Maine Foods Inc. |
| 1,103 | 52 |
| |
* | United Natural Foods Inc. |
| 1,448 | 31 |
| |
* | Sprouts Farmers Market Inc. |
| 1,084 | 25 |
| |
| Medifast Inc. |
| 138 |
| 20 |
|
|
|
|
| 2,697 |
| |
Energy (10.6%) |
|
|
|
| ||
| Chevron Corp. |
| 8,755 | 1,041 |
| |
| EOG Resources Inc. |
| 9,356 | 967 |
| |
| ConocoPhillips |
| 10,765 | 712 |
| |
| Exxon Mobil Corp. |
| 8,021 | 638 |
| |
| Occidental Petroleum Corp. |
| 8,680 | 610 |
| |
| Phillips 66 |
| 4,984 | 466 |
| |
* | Renewable Energy Group Inc. |
| 10,409 | 280 |
| |
* | WPX Energy Inc. |
| 19,141 | 267 |
| |
| Baker Hughes a GE Co. Class A |
| 11,158 | 255 |
| |
| HollyFrontier Corp. |
| 3,761 | 235 |
| |
| Marathon Oil Corp. |
| 13,742 | 229 |
|
U.S. Multifactor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
| Warrior Met Coal Inc. |
| 8,519 | 202 |
| |
| PBF Energy Inc. Class A |
| 5,125 | 198 |
| |
* | Matrix Service Co. |
| 9,483 | 194 |
| |
| Murphy Oil Corp. |
| 6,043 | 193 |
| |
| Peabody Energy Corp. |
| 5,562 | 173 |
| |
| Arch Coal Inc. Class A |
| 2,063 | 168 |
| |
* | Unit Corp. |
| 8,015 | 167 |
| |
| SM Energy Co. |
| 8,139 | 166 |
| |
| Mammoth Energy Services Inc. |
| 5,491 | 138 |
| |
* | Carrizo Oil & Gas Inc. |
| 7,380 | 126 |
| |
| Delek US Holdings Inc. |
| 2,802 | 111 |
| |
* | ProPetro Holding Corp. |
| 6,410 | 104 |
| |
| Noble Energy Inc. |
| 3,150 | 75 |
| |
* | Continental Resources Inc. |
| 1,609 | 74 |
| |
* | Parsley Energy Inc. Class A |
| 2,812 | 57 |
| |
* | Whiting Petroleum Corp. |
| 1,618 | 49 |
| |
* | Helix Energy Solutions Group Inc. |
| 5,067 | 42 |
| |
| Helmerich & Payne Inc. |
| 677 | 41 |
| |
* | Oasis Petroleum Inc. |
| 4,805 | 34 |
| |
| Diamondback Energy Inc. |
| 294 | 32 |
| |
* | SRC Energy Inc. |
| 4,855 | 28 |
| |
* | W&T Offshore Inc. |
| 2,748 |
| 16 |
|
|
|
|
| 8,088 |
| |
Financial Services (22.0%) |
|
|
|
| ||
| SunTrust Banks Inc. |
| 14,974 | 939 |
| |
| US Bancorp |
| 13,952 | 760 |
| |
| Bank of America Corp. |
| 26,279 | 746 |
| |
| Allstate Corp. |
| 7,791 | 695 |
| |
| Visa Inc. Class A |
| 4,637 | 657 |
| |
| Aflac Inc. |
| 13,546 | 620 |
| |
| Mastercard Inc. Class A |
| 2,918 | 587 |
| |
| JPMorgan Chase & Co. |
| 5,165 | 574 |
| |
| Wells Fargo & Co. |
| 10,124 | 549 |
| |
| M&T Bank Corp. |
| 1,635 | 276 |
| |
| Universal Insurance Holdings Inc. |
| 5,632 | 247 |
| |
| BB&T Corp. |
| 4,653 | 238 |
| |
| PNC Financial Services Group Inc. |
| 1,747 | 237 |
| |
| Community Bank System Inc. |
| 3,585 | 235 |
| |
| Fidelity National Information Services Inc. |
| 2,085 | 225 |
| |
| Park Hotels & Resorts Inc. |
| 6,698 | 206 |
| |
| Progressive Corp. |
| 3,085 | 204 |
| |
| Trustmark Corp. |
| 6,247 | 202 |
| |
| Cathay General Bancorp |
| 5,084 | 201 |
| |
| First Midwest Bancorp Inc. |
| 8,420 | 199 |
| |
| First Interstate BancSystem Inc. Class A |
| 4,521 | 196 |
| |
| Discover Financial Services |
| 2,620 | 187 |
| |
| Bank of Hawaii Corp. |
| 2,330 | 186 |
| |
| First Citizens BancShares Inc. Class A |
| 423 | 182 |
| |
| Synovus Financial Corp. |
| 4,772 | 180 |
| |
| First Commonwealth Financial Corp. |
| 12,777 | 178 |
| |
| Bank of New York Mellon Corp. |
| 3,379 | 173 |
| |
| Great Western Bancorp Inc. |
| 4,525 | 169 |
| |
| First Bancorp |
| 4,149 | 166 |
| |
| UMB Financial Corp. |
| 2,446 | 165 |
| |
| Primerica Inc. |
| 1,332 | 158 |
| |
| Senior Housing Properties Trust |
| 11,240 | 155 |
| |
| Northwest Bancshares Inc. |
| 8,216 | 147 |
| |
| International Bancshares Corp. |
| 3,730 | 143 |
| |
| National General Holdings Corp. |
| 5,370 | 143 |
| |
| First Hawaiian Inc. |
| 5,290 | 138 |
| |
| Commerce Bancshares Inc. |
| 2,159 | 136 |
| |
| Spirit Realty Capital Inc. |
| 17,938 | 133 |
| |
| BankUnited Inc. |
| 3,799 | 131 |
| |
| Bank of NT Butterfield & Son Ltd. |
| 3,305 | 131 |
| |
| Waddell & Reed Financial Inc. Class A |
| 6,193 | 126 |
| |
* | Ambac Financial Group Inc. |
| 6,759 | 118 |
| |
| Ally Financial Inc. |
| 4,049 | 108 |
| |
| Umpqua Holdings Corp. |
| 5,580 | 107 |
| |
| Brown & Brown Inc. |
| 3,639 | 106 |
| |
| Zions Bancorp NA |
| 2,048 | 100 |
| |
| Webster Financial Corp. |
| 1,645 | 99 |
| |
| Cullen/Frost Bankers Inc. |
| 975 | 98 |
| |
| CorEnergy Infrastructure Trust Inc. |
| 2,691 | 97 |
| |
| Lincoln National Corp. |
| 1,543 | 97 |
| |
| Medical Properties Trust Inc. |
| 5,476 | 95 |
| |
| United Bankshares Inc. |
| 2,555 | 92 |
| |
| Regions Financial Corp. |
| 5,393 | 89 |
| |
| KeyCorp |
| 4,774 | 88 |
| |
| Walker & Dunlop Inc. |
| 1,833 | 87 |
| |
| EVERTEC Inc. |
| 3,119 | 85 |
| |
| Fifth Third Bancorp |
| 3,041 | 85 |
| |
| Enterprise Financial Services Corp. |
| 1,791 | 80 |
| |
| FirstCash Inc. |
| 895 | 80 |
| |
| Comerica Inc. |
| 998 | 79 |
| |
* | TriState Capital Holdings Inc. |
| 2,998 | 75 |
| |
| Kinsale Capital Group Inc. |
| 1,193 | 74 |
| |
| NBT Bancorp Inc. |
| 1,884 | 73 |
| |
| Torchmark Corp. |
| 827 | 71 |
| |
| CNA Financial Corp. |
| 1,468 | 69 |
| |
| Citizens Financial Group Inc. |
| 1,847 | 67 |
| |
| T. Rowe Price Group Inc. |
| 674 | 67 |
| |
U.S. Multifactor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
| American Equity Investment Life Holding Co. |
| 1,961 | 67 |
| |
* | Axos Financial Inc. |
| 2,137 | 67 |
| |
| 1st Source Corp. |
| 1,378 | 67 |
| |
| Independent Bank Corp. |
| 822 | 66 |
| |
| Northern Trust Corp. |
| 662 | 66 |
| |
| ServisFirst Bancshares Inc. |
| 1,666 | 66 |
| |
| S&T Bancorp Inc. |
| 1,549 | 65 |
| |
| Capitol Federal Financial Inc. |
| 4,602 | 65 |
| |
| Ameriprise Financial Inc. |
| 496 | 64 |
| |
| Central Pacific Financial Corp. |
| 2,256 | 63 |
| |
| National Western Life Group Inc. Class A |
| 201 | 62 |
| |
| Raymond James Financial Inc. |
| 773 | 62 |
| |
| Fulton Financial Corp. |
| 3,353 | 58 |
| |
| United Financial Bancorp Inc. |
| 3,547 | 58 |
| |
| Preferred Bank |
| 1,097 | 56 |
| |
| FNB Corp. |
| 4,565 | 56 |
| |
| Lakeland Bancorp Inc. |
| 3,352 | 55 |
| |
| East West Bancorp Inc. |
| 1,027 | 55 |
| |
| Legg Mason Inc. |
| 1,859 | 54 |
| |
| Hanmi Financial Corp. |
| 2,354 | 53 |
| |
| Wintrust Financial Corp. |
| 682 | 53 |
| |
| Huntington Bancshares Inc. |
| 3,537 | 52 |
| |
| WesBanco Inc. |
| 1,186 | 52 |
| |
* | HomeStreet Inc. |
| 1,937 | 52 |
| |
| Cadence BanCorp Class A |
| 2,514 | 52 |
| |
| City Holding Co. |
| 649 | 50 |
| |
| Hope Bancorp Inc. |
| 3,233 | 49 |
| |
| American National Insurance Co. |
| 366 | 47 |
| |
| TrustCo Bank Corp. |
| 5,706 | 45 |
| |
* | Eagle Bancorp Inc. |
| 726 | 42 |
| |
| LPL Financial Holdings Inc. |
| 639 | 41 |
| |
* | Western Alliance Bancorp |
| 863 | 40 |
| |
| Nelnet Inc. Class A |
| 727 | 40 |
| |
| Oritani Financial Corp. |
| 2,524 | 39 |
| |
| ConnectOne Bancorp Inc. |
| 1,916 | 39 |
| |
| First Merchants Corp. |
| 907 | 38 |
| |
| Heartland Financial USA Inc. |
| 690 | 38 |
| |
| First BanCorp |
| 4,040 | 37 |
| |
| Lakeland Financial Corp. |
| 770 | 36 |
| |
| Prosperity Bancshares Inc. |
| 499 | 35 |
| |
| Reinsurance Group of America Inc. Class A |
| 231 | 34 |
| |
| Hanover Insurance Group Inc. |
| 295 | 34 |
| |
| BancFirst Corp. |
| 595 | 33 |
| |
| Park National Corp. |
| 339 | 32 |
| |
| Meridian Bancorp Inc. |
| 1,969 | 32 |
| |
| E*TRADE Financial Corp. |
| 613 | 32 |
| |
| LegacyTexas Financial Group Inc. |
| 741 | 29 |
| |
| Principal Financial Group Inc. |
| 572 | 28 |
| |
| Loews Corp. |
| 577 | 28 |
| |
| Janus Henderson Group plc |
| 1,182 | 28 |
| |
| BOK Financial Corp. |
| 288 | 24 |
| |
| Synchrony Financial |
| 911 | 24 |
| |
| Washington Federal Inc. |
| 802 | 23 |
| |
| Federal Agricultural Mortgage Corp. |
| 349 | 23 |
| |
| Provident Financial Services Inc. |
| 810 | 21 |
| |
| First Financial Bankshares Inc. |
| 260 | 17 |
| |
| Brookline Bancorp Inc. |
| 738 |
| 11 |
|
|
|
|
| 16,761 |
| |
Health Care (9.7%) |
|
|
|
| ||
| Cigna Corp. |
| 3,433 | 767 |
| |
| HCA Healthcare Inc. |
| 5,022 | 723 |
| |
| Allergan plc |
| 3,795 | 594 |
| |
| Medtronic plc |
| 5,937 | 579 |
| |
| Merck & Co. Inc. |
| 6,636 | 527 |
| |
| Pfizer Inc. |
| 9,559 | 442 |
| |
| STERIS plc |
| 2,497 | 297 |
| |
* | Medpace Holdings Inc. |
| 4,426 | 274 |
| |
* | Integer Holdings Corp. |
| 2,518 | 223 |
| |
| US Physical Therapy Inc. |
| 1,626 | 193 |
| |
* | Addus HomeCare Corp. |
| 2,484 | 184 |
| |
| UnitedHealth Group Inc. |
| 586 | 165 |
| |
* | Premier Inc. Class A |
| 4,013 | 159 |
| |
| Encompass Health Corp. |
| 2,048 | 154 |
| |
* | Jazz Pharmaceuticals plc |
| 992 | 150 |
| |
| ResMed Inc. |
| 1,253 | 140 |
| |
* | ICU Medical Inc. |
| 574 | 138 |
| |
* | Biogen Inc. |
| 398 | 133 |
| |
* | Inogen Inc. |
| 844 | 124 |
| |
* | Haemonetics Corp. |
| 1,057 | 113 |
| |
* | Centene Corp. |
| 735 | 105 |
| |
* | HealthEquity Inc. |
| 1,174 | 104 |
| |
| Universal Health Services Inc. Class B |
| 659 | 91 |
| |
* | American Renal Associates Holdings Inc. |
| 4,853 | 81 |
| |
* | Amedisys Inc. |
| 544 | 74 |
| |
* | AngioDynamics Inc. |
| 3,222 | 69 |
| |
* | Triple-S Management Corp. Class B |
| 3,534 | 67 |
| |
* | Veeva Systems Inc. Class A |
| 659 | 63 |
| |
* | Globus Medical Inc. |
| 1,274 | 62 |
| |
| Luminex Corp. |
| 2,052 | 60 |
| |
* | Surmodics Inc. |
| 993 | 60 |
| |
| Ensign Group Inc. |
| 1,298 | 59 |
| |
* | LivaNova plc |
| 485 | 49 |
| |
* | NextGen Healthcare Inc. |
| 2,770 | 49 |
| |
* | Genomic Health Inc. |
| 604 | 48 |
| |
| National HealthCare Corp. |
| 550 | 46 |
| |
* | AMN Healthcare Services Inc. |
| 700 | 45 |
| |
* | Emergent BioSolutions Inc. |
| 586 | 43 |
| |
U.S. Multifactor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
| CONMED Corp. |
| 558 | 38 |
| |
* | Align Technology Inc. |
| 146 | 34 |
| |
| Patterson Cos. Inc. |
| 858 |
| 22 |
|
|
|
|
| 7,348 |
| |
Materials & Processing (3.2%) |
|
|
|
| ||
| Sonoco Products Co. |
| 4,000 | 230 |
| |
| Comfort Systems USA Inc. |
| 4,202 | 221 |
| |
| Mosaic Co. |
| 5,455 | 196 |
| |
| Materion Corp. |
| 3,608 | 191 |
| |
* | Continental Building Products Inc. |
| 6,558 | 187 |
| |
| Simpson Manufacturing Co. Inc. |
| 2,941 | 172 |
| |
| Carpenter Technology Corp. |
| 3,180 | 137 |
| |
| Advanced Drainage Systems Inc. |
| 4,748 | 130 |
| |
| Insteel Industries Inc. |
| 4,425 | 122 |
| |
| Greif Inc. Class A |
| 2,337 | 120 |
| |
| Domtar Corp. |
| 2,434 | 106 |
| |
* | BMC Stock Holdings Inc. |
| 5,049 | 86 |
| |
| Universal Forest Products Inc. |
| 2,819 | 78 |
| |
| Louisiana-Pacific Corp. |
| 3,405 | 78 |
| |
| Reliance Steel & Aluminum Co. |
| 943 | 76 |
| |
| Stepan Co. |
| 757 | 61 |
| |
| Westrock Co. |
| 1,000 | 47 |
| |
| Commercial Metals Co. |
| 2,296 | 44 |
| |
| Cabot Microelectronics Corp. |
| 364 | 39 |
| |
| Apogee Enterprises Inc. |
| 715 | 26 |
| |
| Boise Cascade Co. |
| 961 | 26 |
| |
* | NCI Building Systems Inc. |
| 1,599 |
| 18 |
|
|
|
|
| 2,391 |
| |
Other (0.0%) |
|
|
|
| ||
* | Yandex NV Class A |
| 667 | 20 |
| |
|
|
|
|
|
| |
Producer Durables (12.4%) |
|
|
|
| ||
| Delta Air Lines Inc. |
| 14,654 | 890 |
| |
| Emerson Electric Co. |
| 9,651 | 652 |
| |
| Eaton Corp. plc |
| 8,387 | 645 |
| |
| Snap-on Inc. |
| 1,670 | 278 |
| |
| Johnson Controls International plc |
| 7,125 | 248 |
| |
| Southwest Airlines Co. |
| 4,487 | 245 |
| |
| Dover Corp. |
| 2,819 | 239 |
| |
* | Spirit Airlines Inc. |
| 3,594 | 230 |
| |
| UniFirst Corp. |
| 1,362 | 210 |
| |
* | TriNet Group Inc. |
| 4,526 | 208 |
| |
| Raytheon Co. |
| 1,134 | 199 |
| |
* | FTI Consulting Inc. |
| 2,827 | 199 |
| |
* | Echo Global Logistics Inc. |
| 7,738 | 196 |
| |
| FLIR Systems Inc. |
| 4,255 | 195 |
| |
| Brady Corp. Class A |
| 4,399 | 192 |
| |
| Korn/Ferry International |
| 3,873 | 190 |
| |
| Heidrick & Struggles International Inc. |
| 5,052 | 185 |
| |
* | Conduent Inc. |
| 14,127 | 181 |
| |
| Werner Enterprises Inc. |
| 5,038 | 171 |
| |
| Allison Transmission Holdings Inc. |
| 3,481 | 164 |
| |
| Kforce Inc. |
| 4,984 | 158 |
| |
| Huntington Ingalls Industries Inc. |
| 680 | 146 |
| |
| Accenture plc Class A |
| 845 | 139 |
| |
* | HD Supply Holdings Inc. |
| 3,471 | 138 |
| |
* | Teledyne Technologies Inc. |
| 586 | 132 |
| |
| Federal Signal Corp. |
| 5,583 | 131 |
| |
| Exponent Inc. |
| 2,492 | 125 |
| |
* | Covenant Transportation Group Inc. Class A |
| 5,270 | 120 |
| |
* | WESCO International Inc. |
| 2,183 | 117 |
| |
| Textron Inc. |
| 2,023 | 114 |
| |
| Schneider National Inc. Class B |
| 4,377 | 98 |
| |
| McGrath RentCorp |
| 1,822 | 97 |
| |
* | Darling Ingredients Inc. |
| 4,339 | 95 |
| |
* | Milacron Holdings Corp. |
| 5,493 | 78 |
| |
* | TrueBlue Inc. |
| 3,087 | 78 |
| |
| Matson Inc. |
| 1,906 | 75 |
| |
| MAXIMUS Inc. |
| 1,008 | 72 |
| |
* | Saia Inc. |
| 1,140 | 69 |
| |
| Pentair plc |
| 1,586 | 68 |
| |
| Robert Half International Inc. |
| 1,094 | 68 |
| |
| Mesa Laboratories Inc. |
| 304 | 67 |
| |
| CRA International Inc. |
| 1,322 | 64 |
| |
| US Ecology Inc. |
| 914 | 64 |
| |
* | Sykes Enterprises Inc. |
| 2,285 | 63 |
| |
* | Vishay Precision Group Inc. |
| 1,859 | 63 |
| |
| Hillenbrand Inc. |
| 1,356 | 60 |
| |
* | CSW Industrials Inc. |
| 1,123 | 59 |
| |
| JB Hunt Transport Services Inc. |
| 549 | 58 |
| |
| Herman Miller Inc. |
| 1,693 | 57 |
| |
| SkyWest Inc. |
| 951 | 55 |
| |
* | Zebra Technologies Corp. |
| 301 | 54 |
| |
* | Casella Waste Systems Inc. Class A |
| 1,648 | 54 |
| |
* | CBIZ Inc. |
| 2,526 | 53 |
| |
| HNI Corp. |
| 1,380 | 53 |
| |
| Marten Transport Ltd. |
| 2,551 | 50 |
| |
* | Hub Group Inc. Class A |
| 1,115 | 50 |
| |
| Greenbrier Cos. Inc. |
| 999 | 49 |
| |
| Insperity Inc. |
| 483 | 48 |
| |
| Trinity Industries Inc. |
| 1,960 | 47 |
| |
| Kelly Services Inc. Class A |
| 2,007 | 46 |
| |
| ACCO Brands Corp. |
| 5,663 | 46 |
| |
| ICF International Inc. |
| 654 | 46 |
| |
* | Proto Labs Inc. |
| 323 | 42 |
|
U.S. Multifactor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
| Old Dominion Freight Line Inc. |
| 303 | 41 |
| |
| Encore Wire Corp. |
| 786 | 39 |
| |
* | SEACOR Holdings Inc. |
| 848 | 35 |
| |
| Rollins Inc. |
| 554 | 35 |
| |
| Steelcase Inc. Class A |
| 1,900 | 31 |
| |
| AGCO Corp. |
| 482 | 29 |
| |
* | Blue Bird Corp. |
| 1,445 | 28 |
| |
| Costamare Inc. |
| 5,034 | 27 |
| |
| Kaman Corp. |
| 442 | 25 |
| |
| Forward Air Corp. |
| 361 | 24 |
| |
* | SP Plus Corp. |
| 739 | 22 |
| |
* | TriMas Corp. |
| 465 | 13 |
| |
| MSC Industrial Direct Co. Inc. Class A |
| 150 |
| 13 |
|
|
|
|
| 9,445 |
| |
Technology (9.7%) |
|
|
|
| ||
| Intel Corp. |
| 15,000 | 740 |
| |
| HP Inc. |
| 29,661 | 682 |
| |
| Apple Inc. |
| 3,487 | 623 |
| |
* | Adobe Inc. |
| 1,965 | 493 |
| |
* | Fortinet Inc. |
| 3,899 | 288 |
| |
* | Diodes Inc. |
| 8,207 | 286 |
| |
| Hewlett Packard Enterprise Co. |
| 18,800 | 282 |
| |
* | Qorvo Inc. |
| 4,090 | 269 |
| |
| Avnet Inc. |
| 5,714 | 250 |
| |
| Seagate Technology plc |
| 5,445 | 235 |
| |
| Cognizant Technology Solutions Corp. Class A |
| 2,945 | 210 |
| |
| ManTech International Corp. Class A |
| 3,538 | 199 |
| |
| NetApp Inc. |
| 2,853 | 191 |
| |
* | Insight Enterprises Inc. |
| 4,144 | 185 |
| |
* | Nanometrics Inc. |
| 5,113 | 164 |
| |
* | Altair Engineering Inc. Class A |
| 4,942 | 160 |
| |
* | VMware Inc. Class A |
| 889 | 149 |
| |
* | Dell Technologies Inc. Class V |
| 1,372 | 145 |
| |
| Comtech Telecommunications Corp. |
| 5,299 | 135 |
| |
* | Photronics Inc. |
| 12,697 | 123 |
| |
* | CACI International Inc. Class A |
| 617 | 102 |
| |
* | Cirrus Logic Inc. |
| 2,646 | 99 |
| |
* | Akamai Technologies Inc. |
| 1,433 | 98 |
| |
* | Appfolio Inc. |
| 1,548 | 95 |
| |
* | Workiva Inc. |
| 2,535 | 95 |
| |
| Jabil Inc. |
| 3,723 | 93 |
| |
* | F5 Networks Inc. |
| 522 | 90 |
| |
* | Yext Inc. |
| 5,740 | 83 |
| |
* | TechTarget Inc. |
| 5,770 | 83 |
| |
* | Qualys Inc. |
| 1,013 | 80 |
| |
* | Fabrinet |
| 1,466 | 77 |
| |
* | New Relic Inc. |
| 840 | 73 |
| |
* | SPS Commerce Inc. |
| 852 | 73 |
| |
* | Perficient Inc. |
| 2,755 | 70 |
| |
* | Unisys Corp. |
| 4,819 | 65 |
| |
| Dolby Laboratories Inc. Class A |
| 748 | 53 |
| |
* | PTC Inc. |
| 567 | 49 |
| |
| DXC Technology Co. |
| 661 | 42 |
| |
* | LivePerson Inc. |
| 2,099 | 39 |
| |
* | Virtusa Corp. |
| 825 | 36 |
| |
| Amdocs Ltd. |
| 482 | 31 |
| |
* | Varonis Systems Inc. |
| 511 | 29 |
| |
| Skyworks Solutions Inc. |
| 243 |
| 18 |
|
|
|
|
| 7,382 |
| |
Utilities (4.6%) |
|
|
|
| ||
* | T-Mobile US Inc. |
| 11,376 | 779 |
| |
| Exelon Corp. |
| 14,472 | 671 |
| |
| OGE Energy Corp. |
| 7,579 | 300 |
| |
| CenturyLink Inc. |
| 12,286 | 231 |
| |
| IDACORP Inc. |
| 2,292 | 225 |
| |
| j2 Global Inc. |
| 2,875 | 212 |
| |
| NorthWestern Corp. |
| 3,288 | 210 |
| |
| Hawaiian Electric Industries Inc. |
| 4,433 | 170 |
| |
| Avangrid Inc. |
| 3,063 | 154 |
| |
| ALLETE Inc. |
| 1,535 | 125 |
| |
| ONE Gas Inc. |
| 1,341 | 114 |
| |
| Portland General Electric Co. |
| 1,893 | 91 |
| |
| Telephone & Data Systems Inc. |
| 2,169 | 78 |
| |
| Ameren Corp. |
| 1,122 | 77 |
| |
* | United States Cellular Corp. |
| 644 | 36 |
| |
* | Vonage Holdings Corp. |
| 2,303 |
| 25 |
|
|
|
|
| 3,498 |
| |
Total Common Stocks |
|
| 75,588 |
| ||
Temporary Cash Investment (0.4%)1 |
|
|
|
| ||
Money Market Fund (0.4%) |
|
|
|
| ||
2 | Vanguard Market Liquidity Fund, 2.407% (Cost $319) |
| 3,188 | 319 |
| |
Total Investments (99.8%) |
|
| 75,907 |
|
U.S. Multifactor ETF
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 4 |
|
Receivables for Accrued Income |
| 145 |
|
Variation Margin Receivable—Futures Contracts |
| 2 |
|
Other Assets3 |
| 20 |
|
Total Other Assets |
| 171 |
|
Liabilities |
|
|
|
Payables for Investment Securities Purchased |
| (1 | ) |
Payables to Vanguard |
| (6 | ) |
Total Liabilities |
| (7 | ) |
Net Assets (100%) |
|
|
|
Applicable to 1,000,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 76,071 |
|
Net Asset Value Per Share |
| $76.07 |
|
At November 30, 2018, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 79,542 |
|
Total Distributable Earnings (Loss) |
| (3,471 | ) |
Net Assets |
| 76,071 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and (0.2%), respectively, 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 Cash of $20,000 has been segregated as initial margin for open futures contracts.
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 Russell 2000 Index |
| December 2018 |
| 4 |
| 307 |
| 7 |
|
E-mini S&P 500 Index |
| December 2018 |
| 1 |
| 138 |
| (8 | ) |
|
|
|
|
|
|
|
| (1 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Statement of Operations
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Investment Income |
|
|
|
Income |
|
|
|
Dividends2 |
| 667 |
|
Interest3 |
| 4 |
|
Total Income |
| 671 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
| — |
|
Management and Administrative |
| 44 |
|
Marketing and Distribution |
| — |
|
Custodian Fees |
| 3 |
|
Auditing Fees |
| 17 |
|
Shareholders’ Reports |
| 5 |
|
Total Expenses |
| 69 |
|
Expenses Paid Indirectly |
| (1 | ) |
Net Expenses |
| 68 |
|
Net Investment Income |
| 603 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold3 |
| (1,388 | ) |
Futures Contracts |
| (11 | ) |
Realized Net Gain (Loss) |
| (1,399 | ) |
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities3 |
| (2,305 | ) |
Futures Contracts |
| (1 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (2,306 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (3,102 | ) |
1 Inception.
2 Dividends are net of foreign withholding taxes of $1,000.
3 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, $1,000, and $0, respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Statement of Changes in Net Assets
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
| 603 |
|
Realized Net Gain (Loss) |
| (1,399 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (2,306 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (3,102 | ) |
Distributions |
|
|
|
Net Investment Income |
| (369 | ) |
Realized Capital Gain |
| — |
|
Total Distributions |
| (369 | ) |
Capital Share Transactions |
|
|
|
Issued |
| 83,259 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| (3,717 | ) |
Net Increase (Decrease) from Capital Share Transactions |
| 79,542 |
|
Total Increase (Decrease) |
| 76,071 |
|
Net Assets |
|
|
|
Beginning of Period |
| — |
|
End of Period |
| 76,071 |
|
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Financial Highlights
|
| February 13, 20181 to |
|
For a Share Outstanding Throughout the Period |
| November 30, 2018 |
|
Net Asset Value, Beginning of Period |
| $75.00 |
|
Investment Operations |
|
|
|
Net Investment Income2 |
| 1.007 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| .543 |
|
Total from Investment Operations |
| 1.550 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
| (.480 | ) |
Distributions from Realized Capital Gains |
| — |
|
Total Distributions |
| (.480 | ) |
Net Asset Value, End of Period |
| $76.07 |
|
|
|
|
|
Total Return |
| 2.03% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
| $76 |
|
Ratio of Total Expenses to Average Net Assets |
| 0.18%3 |
|
Ratio of Net Investment Income to Average Net Assets |
| 1.59%3 |
|
Portfolio Turnover Rate |
| 64% |
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Notes to Financial Statements
Vanguard U.S. Multifactor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Multifactor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. 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 purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. 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. 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 November 30, 2018, the fund had contributed to Vanguard capital in the amount of $4,000, representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 period ended November 30, 2018, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of 0.00% 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
E. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of accumulated net earnings (losses) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
U.S. Multifactor ETF
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of accumulated net earnings (losses) are detailed in the table as follows:
|
| Amount |
|
|
| ($000
| )
|
Undistributed Ordinary Income |
| 234 |
|
Undistributed Long-Term Gains |
| — |
|
Capital Loss Carryforwards (Non-expiring) |
| (1,400 | ) |
Net Unrealized Gains (Losses) |
| (2,305 | ) |
As of November 30, 2018, 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 |
| 78,212 |
|
Gross Unrealized Appreciation |
| 3,373 |
|
Gross Unrealized Depreciation |
| (5,678 | ) |
Net Unrealized Appreciation (Depreciation) |
| (2,305 | ) |
F. During the period ended November 30, 2018, the fund purchased $110,548,000 of investment securities and sold $31,265,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
|
| February 13, 20181 to |
|
|
| November 30, 2018
|
|
|
| Shares |
|
|
| (000
| )
|
Issued |
| 1,050 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| (50 | ) |
Net Increase (Decrease) in Shares Outstanding |
| 1,000 |
|
1 Inception.
H. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
U.S. Quality Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
|
| Total Returns |
|
|
| ||
|
|
| Period Ended November 30, 2018
|
|
|
| ||
|
|
|
| Since |
| Final Value | ||
|
|
|
| Inception |
| of a $10,000 | ||
|
|
|
| (2/13/2018)
|
| Investment
| ||
| U.S. Quality Factor ETF Net Asset Value |
| 5.52% |
| $10,552 | |||
| Russell 3000 Index |
| 5.04 |
| 10,504 | |||
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
|
| Since |
|
| Inception |
|
| (2/13/2018)
|
U.S. Quality Factor ETF Market Price |
| 5.54% |
U.S. Quality Factor ETF Net Asset Value |
| 5.52 |
Russell 3000 Index |
| 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Quality Factor ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
|
| Inception Date
|
| Since Inception
| |
ETF Shares |
| 2/13/2018 |
|
|
|
Market Price |
|
|
| 14.90% | |
Net Asset Value |
|
|
| 14.88 |
U.S. Quality Factor ETF
Sector Diversification
As of November 30, 2018
Consumer Discretionary |
| 21.2% |
Consumer Staples |
| 4.6 |
Energy |
| 4.3 |
Financial Services |
| 19.3 |
Health Care |
| 9.9 |
Materials & Processing |
| 4.7 |
Other |
| 0.5 |
Producer Durables |
| 16.2 |
Technology |
| 18.9 |
Utilities |
| 0.4 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Quality Factor ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.3%)1 |
|
|
|
|
| ||
Consumer Discretionary (21.0%) |
|
|
|
|
| ||
|
| Costco Wholesale Corp. |
| 908 |
| 210 |
|
|
| Ross Stores Inc. |
| 2,244 |
| 197 |
|
|
| Walmart Inc. |
| 1,504 |
| 147 |
|
|
| Estee Lauder Cos. Inc. Class A |
| 1,021 |
| 146 |
|
|
| NIKE Inc. Class B |
| 1,792 |
| 135 |
|
|
| Target Corp. |
| 1,724 |
| 122 |
|
* |
| Amazon.com Inc. |
| 71 |
| 120 |
|
|
| TJX Cos. Inc. |
| 2,298 |
| 112 |
|
* |
| Booking Holdings Inc. |
| 59 |
| 112 |
|
|
| Starbucks Corp. |
| 1,434 |
| 96 |
|
|
| L Brands Inc. |
| 2,130 |
| 70 |
|
|
| Brinker International Inc. |
| 1,289 |
| 66 |
|
|
| Walt Disney Co. |
| 559 |
| 65 |
|
|
| Scholastic Corp. |
| 1,343 |
| 62 |
|
|
| Autoliv Inc. |
| 706 |
| 61 |
|
* |
| Stamps.com Inc. |
| 333 |
| 57 |
|
|
| Thor Industries Inc. |
| 815 |
| 55 |
|
|
| American Eagle Outfitters Inc. |
| 2,128 |
| 45 |
|
* |
| Cooper-Standard Holdings Inc. |
| 510 |
| 37 |
|
|
| Guess? Inc. |
| 1,406 |
| 33 |
|
* |
| AutoZone Inc. |
| 38 |
| 31 |
|
|
| Haverty Furniture Cos. Inc. |
| 1,455 |
| 30 |
|
* |
| Lululemon Athletica Inc. |
| 223 |
| 30 |
|
* |
| Ulta Beauty Inc. |
| 98 |
| 29 |
|
* |
| Under Armour Inc. Class A |
| 1,200 |
| 29 |
|
|
| Foot Locker Inc. |
| 505 |
| 28 |
|
|
| Advance Auto Parts Inc. |
| 153 |
| 27 |
|
|
| Columbia Sportswear Co. |
| 296 |
| 27 |
|
|
| Lear Corp. |
| 191 |
| 26 |
|
|
| Tractor Supply Co. |
| 271 |
| 26 |
|
* |
| TripAdvisor Inc. |
| 401 |
| 26 |
|
|
| Cracker Barrel Old Country Store Inc. |
| 142 |
| 26 |
|
|
| Tilly’s Inc. Class A |
| 2,200 |
| 25 |
|
* |
| Crocs Inc. |
| 905 |
| 25 |
|
* |
| Grand Canyon Education Inc. |
| 203 |
| 25 |
|
* |
| Hibbett Sports Inc. |
| 1,597 |
| 25 |
|
* |
| Chipotle Mexican Grill Inc. Class A |
| 52 |
| 25 |
|
* |
| Burlington Stores Inc. |
| 147 |
| 24 |
|
|
| Chico’s FAS Inc. |
| 4,508 |
| 24 |
|
* |
| Monarch Casino & Resort Inc. |
| 581 |
| 23 |
|
* |
| Etsy Inc. |
| 415 |
| 22 |
|
|
| Williams-Sonoma Inc. |
| 391 |
| 22 |
|
|
| Yum China Holdings Inc. |
| 613 |
| 22 |
|
|
| Texas Roadhouse Inc. Class A |
| 329 |
| 22 |
|
|
| Hyatt Hotels Corp. Class A |
| 304 |
| 22 |
|
|
| Dollar General Corp. |
| 190 |
| 21 |
|
|
| Shoe Carnival Inc. |
| 550 |
| 21 |
|
* |
| Urban Outfitters Inc. |
| 544 |
| 21 |
|
|
| Darden Restaurants Inc. |
| 186 |
| 21 |
|
* |
| K12 Inc. |
| 843 |
| 20 |
|
|
| Kohl’s Corp. |
| 297 |
| 20 |
|
|
| Nordstrom Inc. |
| 376 |
| 20 |
|
|
| Gentex Corp. |
| 879 |
| 20 |
|
|
| Ralph Lauren Corp. Class A |
| 176 |
| 20 |
|
* |
| Deckers Outdoor Corp. |
| 143 |
| 19 |
|
* |
| Helen of Troy Ltd. |
| 124 |
| 18 |
|
|
| Best Buy Co. Inc. |
| 267 |
| 17 |
|
* |
| Cimpress NV |
| 139 |
| 17 |
|
|
| Macy’s Inc. |
| 490 |
| 17 |
|
|
| Standard Motor Products Inc. |
| 290 |
| 15 |
|
|
| Tiffany & Co. |
| 166 |
| 15 |
|
|
| Signet Jewelers Ltd. |
| 278 |
| 15 |
|
|
| Aaron’s Inc. |
| 313 |
| 15 |
|
|
| Dick’s Sporting Goods Inc. |
| 405 |
| 15 |
|
* |
| Vera Bradley Inc. |
| 1,265 |
| 14 |
|
|
| HealthStream Inc. |
| 565 |
| 14 |
|
|
| La-Z-Boy Inc. |
| 476 |
| 14 |
|
* |
| RH |
| 119 |
| 14 |
|
|
| Dillard’s Inc. Class A |
| 199 |
| 14 |
|
|
| Abercrombie & Fitch Co. |
| 645 |
| 13 |
|
|
| Gannett Co. Inc. |
| 1,297 |
| 13 |
|
* |
| Zumiez Inc. |
| 679 |
| 13 |
|
|
| Ethan Allen Interiors Inc. |
| 641 |
| 13 |
|
|
| Steven Madden Ltd. |
| 408 |
| 13 |
|
|
|
|
|
|
|
|
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Michael Kors Holdings Ltd. |
| 295 |
| 13 |
|
|
| John Wiley & Sons Inc. Class A |
| 226 |
| 12 |
|
|
| Genuine Parts Co. |
| 119 |
| 12 |
|
|
| DSW Inc. Class A |
| 444 |
| 12 |
|
* |
| Potbelly Corp. |
| 1,208 |
| 12 |
|
|
| Caleres Inc. |
| 405 |
| 12 |
|
|
| Buckle Inc. |
| 638 |
| 12 |
|
* |
| Nautilus Inc. |
| 927 |
| 12 |
|
|
| Shutterstock Inc. |
| 310 |
| 12 |
|
|
| Gap Inc. |
| 433 |
| 12 |
|
|
| Citi Trends Inc. |
| 574 |
| 12 |
|
|
| Expedia Group Inc. |
| 97 |
| 12 |
|
* |
| Care.com Inc. |
| 643 |
| 11 |
|
* |
| Fossil Group Inc. |
| 592 |
| 11 |
|
|
| World Wrestling Entertainment Inc. Class A |
| 148 |
| 11 |
|
|
| Cato Corp. Class A |
| 706 |
| 11 |
|
* |
| American Public Education Inc. |
| 337 |
| 11 |
|
|
| National Presto Industries Inc. |
| 81 |
| 10 |
|
|
| Strategic Education Inc. |
| 76 |
| 10 |
|
* |
| Dorman Products Inc. |
| 118 |
| 10 |
|
* |
| Cavco Industries Inc. |
| 63 |
| 10 |
|
|
| Polaris Industries Inc. |
| 106 |
| 10 |
|
* |
| Chuy’s Holdings Inc. |
| 476 |
| 10 |
|
|
| BJ’s Restaurants Inc. |
| 187 |
| 10 |
|
|
| Tile Shop Holdings Inc. |
| 1,716 |
| 10 |
|
* |
| Ollie’s Bargain Outlet Holdings Inc. |
| 106 |
| 9 |
|
* |
| J. Jill Inc. |
| 1,522 |
| 9 |
|
* |
| Sleep Number Corp. |
| 244 |
| 9 |
|
* |
| Red Robin Gourmet Burgers Inc. |
| 263 |
| 9 |
|
|
| H&R Block Inc. |
| 334 |
| 9 |
|
|
| Inter Parfums Inc. |
| 146 |
| 9 |
|
|
| Ruth’s Hospitality Group Inc. |
| 368 |
| 9 |
|
|
| Johnson Outdoors Inc. Class A |
| 126 |
| 9 |
|
* |
| Quotient Technology Inc. |
| 722 |
| 9 |
|
|
| Pier 1 Imports Inc. |
| 6,151 |
| 9 |
|
|
| Oxford Industries Inc. |
| 110 |
| 9 |
|
* |
| Genesco Inc. |
| 210 |
| 9 |
|
* |
| Wayfair Inc. |
| 82 |
| 9 |
|
* |
| ZAGG Inc. |
| 861 |
| 9 |
|
* |
| El Pollo Loco Holdings Inc. |
| 566 |
| 9 |
|
|
| Monro Inc. |
| 102 |
| 8 |
|
* |
| Five Below Inc. |
| 79 |
| 8 |
|
* |
| Express Inc. |
| 1,317 |
| 8 |
|
|
| Cheesecake Factory Inc. |
| 171 |
| 8 |
|
* |
| MasterCraft Boat Holdings Inc. |
| 311 |
| 8 |
|
|
| Dave & Buster’s Entertainment Inc. |
| 139 |
| 8 |
|
|
| Children’s Place Inc. |
| 59 |
| 8 |
|
|
| Bed Bath & Beyond Inc. |
| 593 |
| 8 |
|
* |
| Lumber Liquidators Holdings Inc. |
| 584 |
| 7 |
|
|
| Cable One Inc. |
| 8 |
| 7 |
|
|
| Nutrisystem Inc. |
| 192 |
| 7 |
|
* |
| Fitbit Inc. Class A |
| 1,291 |
| 7 |
|
|
| Wolverine World Wide Inc. |
| 205 |
| 7 |
|
|
| Movado Group Inc. |
| 186 |
| 7 |
|
* |
| Regis Corp. |
| 378 |
| 7 |
|
* |
| Liberty Expedia Holdings Inc. Class A |
| 164 |
| 7 |
|
|
| Garmin Ltd. |
| 101 |
| 7 |
|
|
| Travelport Worldwide Ltd. |
| 429 |
| 7 |
|
|
| Carter’s Inc. |
| 66 |
| 6 |
|
* |
| America’s Car-Mart Inc. |
| 81 |
| 6 |
|
* |
| Habit Restaurants Inc. Class A |
| 468 |
| 6 |
|
* |
| Revlon Inc. Class A |
| 229 |
| 6 |
|
* |
| Adtalem Global Education Inc. |
| 90 |
| 5 |
|
|
| New Media Investment Group Inc. |
| 379 |
| 5 |
|
|
| Fortune Brands Home & Security Inc. |
| 113 |
| 5 |
|
|
| Bloomin’ Brands Inc. |
| 253 |
| 5 |
|
|
| PriceSmart Inc. |
| 73 |
| 5 |
|
|
| Hasbro Inc. |
| 52 |
| 5 |
|
* |
| Fiesta Restaurant Group Inc. |
| 251 |
| 5 |
|
* |
| Sally Beauty Holdings Inc. |
| 222 |
| 5 |
|
* |
| Boot Barn Holdings Inc. |
| 199 |
| 4 |
|
|
| Winnebago Industries Inc. |
| 175 |
| 4 |
|
|
| Big Lots Inc. |
| 97 |
| 4 |
|
|
| Tailored Brands Inc. |
| 172 |
| 4 |
|
|
| International Speedway Corp. Class A |
| 84 |
| 4 |
|
* |
| IMAX Corp. |
| 182 |
| 3 |
|
|
| GameStop Corp. Class A |
| 226 |
| 3 |
|
* |
| Francesca’s Holdings Corp. |
| 1,540 |
| 3 |
|
|
| Big 5 Sporting Goods Corp. |
| 809 |
| 3 |
|
|
| Tenneco Inc. Class A |
| 66 |
| 2 |
|
|
|
|
| 3,718 |
| ||
Consumer Staples (4.6%) |
|
|
|
|
| ||
* |
| Monster Beverage Corp. |
| 2,401 |
| 143 |
|
|
| Procter & Gamble Co. |
| 1,246 |
| 118 |
|
|
| Keurig Dr Pepper Inc. |
| 3,183 |
| 86 |
|
|
| Walgreens Boots Alliance Inc. |
| 787 |
| 67 |
|
|
| Energizer Holdings Inc. |
| 929 |
| 42 |
|
|
| Dean Foods Co. |
| 7,756 |
| 39 |
|
|
| Lancaster Colony Corp. |
| 177 |
| 32 |
|
|
| Ingredion Inc. |
| 246 |
| 26 |
|
|
| Flowers Foods Inc. |
| 1,132 |
| 22 |
|
|
| Medifast Inc. |
| 130 |
| 19 |
|
|
| Nu Skin Enterprises Inc. Class A |
| 258 |
| 17 |
|
|
| Hormel Foods Corp. |
| 338 |
| 15 |
|
|
| Sanderson Farms Inc. |
| 134 |
| 15 |
|
|
| Calavo Growers Inc. |
| 147 |
| 14 |
|
|
| J&J Snack Foods Corp. |
| 92 |
| 14 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| USANA Health Sciences Inc. |
| 111 |
| 14 |
|
* |
| Boston Beer Co. Inc. Class A |
| 48 |
| 13 |
|
* |
| Freshpet Inc. |
| 393 |
| 13 |
|
|
| Cal-Maine Foods Inc. |
| 272 |
| 13 |
|
|
| Kroger Co. |
| 406 |
| 12 |
|
|
| John B Sanfilippo & Son Inc. |
| 189 |
| 12 |
|
|
| PetMed Express Inc. |
| 441 |
| 11 |
|
|
| Weis Markets Inc. |
| 208 |
| 10 |
|
|
| Casey’s General Stores Inc. |
| 73 |
| 9 |
|
|
| National Beverage Corp. |
| 107 |
| 9 |
|
* |
| Performance Food Group Co. |
| 230 |
| 8 |
|
* |
| Sprouts Farmers Market Inc. |
| 285 |
| 7 |
|
|
| Tootsie Roll Industries Inc. |
| 166 |
| 6 |
|
|
| Ingles Markets Inc. Class A |
| 189 |
| 5 |
|
* |
| United Natural Foods Inc. |
| 176 |
| 4 |
|
|
|
|
|
|
| 815 |
|
Energy (4.2%) |
|
|
|
|
| ||
|
| Chevron Corp. |
| 1,232 |
| 147 |
|
|
| Exxon Mobil Corp. |
| 1,624 |
| 129 |
|
|
| ConocoPhillips |
| 1,810 |
| 120 |
|
* |
| Enphase Energy Inc. |
| 18,579 |
| 100 |
|
|
| Mammoth Energy Services Inc. |
| 3,079 |
| 77 |
|
|
| RPC Inc. |
| 4,201 |
| 55 |
|
|
| Warrior Met Coal Inc. |
| 1,747 |
| 41 |
|
* |
| Renewable Energy Group Inc. |
| 1,144 |
| 31 |
|
|
| Marathon Oil Corp. |
| 1,546 |
| 26 |
|
* |
| Matrix Service Co. |
| 671 |
| 14 |
|
|
| Arch Coal Inc. Class A |
| 77 |
| 6 |
|
* |
| Dril-Quip Inc. |
| 94 |
| 4 |
|
* |
| Exterran Corp. |
| 159 |
| 4 |
|
|
|
|
|
|
| 754 |
|
Financial Services (19.2%) |
|
|
|
|
| ||
* |
| PayPal Holdings Inc. |
| 3,339 |
| 287 |
|
|
| JPMorgan Chase & Co. |
| 1,542 |
| 171 |
|
|
| Allstate Corp. |
| 1,506 |
| 134 |
|
|
| Mastercard Inc. Class A |
| 665 |
| 134 |
|
|
| Wells Fargo & Co. |
| 2,419 |
| 131 |
|
|
| SunTrust Banks Inc. |
| 2,089 |
| 131 |
|
|
| BB&T Corp. |
| 2,251 |
| 115 |
|
|
| Visa Inc. Class A |
| 791 |
| 112 |
|
|
| US Bancorp |
| 2,044 |
| 111 |
|
|
| PNC Financial Services Group Inc. |
| 682 |
| 93 |
|
|
| Cadence BanCorp Class A |
| 3,865 |
| 79 |
|
|
| Bank of Hawaii Corp. |
| 801 |
| 64 |
|
|
| Citizens Financial Group Inc. |
| 1,717 |
| 62 |
|
|
| Regions Financial Corp. |
| 3,768 |
| 62 |
|
|
| Comerica Inc. |
| 736 |
| 58 |
|
|
| United Bankshares Inc. |
| 1,479 |
| 53 |
|
|
| First Hawaiian Inc. |
| 2,044 |
| 53 |
|
|
| Capitol Federal Financial Inc. |
| 3,752 |
| 53 |
|
|
| UMB Financial Corp. |
| 744 |
| 50 |
|
|
| Trustmark Corp. |
| 1,511 |
| 49 |
|
|
| NBT Bancorp Inc. |
| 1,248 |
| 49 |
|
|
| National Western Life Group Inc. Class A |
| 158 |
| 49 |
|
|
| Meridian Bancorp Inc. |
| 2,899 |
| 47 |
|
|
| Hanmi Financial Corp. |
| 1,897 |
| 43 |
|
|
| Central Pacific Financial Corp. |
| 1,190 |
| 33 |
|
|
| Commerce Bancshares Inc. |
| 521 |
| 33 |
|
|
| Bank of New York Mellon Corp. |
| 556 |
| 29 |
|
|
| Ameriprise Financial Inc. |
| 215 |
| 28 |
|
|
| Synchrony Financial |
| 1,054 |
| 27 |
|
|
| Enterprise Financial Services Corp. |
| 601 |
| 27 |
|
|
| Jack Henry & Associates Inc. |
| 169 |
| 24 |
|
|
| Charles Schwab Corp. |
| 499 |
| 22 |
|
|
| CoreCivic Inc. |
| 1,002 |
| 22 |
|
|
| TCF Financial Corp. |
| 897 |
| 20 |
|
|
| GEO Group Inc. |
| 839 |
| 20 |
|
|
| Lakeland Financial Corp. |
| 412 |
| 19 |
|
|
| Bank OZK |
| 701 |
| 19 |
|
|
| Principal Financial Group Inc. |
| 382 |
| 19 |
|
|
| Cullen/Frost Bankers Inc. |
| 186 |
| 19 |
|
|
| Walker & Dunlop Inc. |
| 361 |
| 17 |
|
|
| Webster Financial Corp. |
| 280 |
| 17 |
|
|
| M&T Bank Corp. |
| 96 |
| 16 |
|
|
| Aflac Inc. |
| 345 |
| 16 |
|
|
| 1st Source Corp. |
| 322 |
| 16 |
|
|
| Park National Corp. |
| 162 |
| 15 |
|
|
| Janus Henderson Group plc |
| 658 |
| 15 |
|
* |
| Eagle Bancorp Inc. |
| 261 |
| 15 |
|
|
| City Holding Co. |
| 194 |
| 15 |
|
|
| Lakeland Bancorp Inc. |
| 889 |
| 15 |
|
|
| SEI Investments Co. |
| 273 |
| 15 |
|
* |
| Credit Acceptance Corp. |
| 34 |
| 14 |
|
|
| Synovus Financial Corp. |
| 365 |
| 14 |
|
|
| S&T Bancorp Inc. |
| 318 |
| 13 |
|
|
| ServisFirst Bancshares Inc. |
| 324 |
| 13 |
|
|
| CVB Financial Corp. |
| 528 |
| 12 |
|
|
| Northern Trust Corp. |
| 123 |
| 12 |
|
|
| MarketAxess Holdings Inc. |
| 56 |
| 12 |
|
|
| Discover Financial Services |
| 165 |
| 12 |
|
* |
| Axos Financial Inc. |
| 373 |
| 12 |
|
|
| International Bancshares Corp. |
| 300 |
| 12 |
|
|
| Brown & Brown Inc. |
| 396 |
| 11 |
|
|
| Preferred Bank |
| 222 |
| 11 |
|
|
| TrustCo Bank Corp. NY |
| 1,429 |
| 11 |
|
|
| Washington Federal Inc. |
| 390 |
| 11 |
|
|
| Erie Indemnity Co. Class A |
| 82 |
| 11 |
|
|
| Alexander’s Inc. |
| 36 |
| 11 |
|
|
| First Financial Bankshares Inc. |
| 169 |
| 11 |
|
|
| T. Rowe Price Group Inc. |
| 110 |
| 11 |
|
|
| Huntington Bancshares Inc. |
| 749 |
| 11 |
|
|
| Primerica Inc. |
| 91 |
| 11 |
|
|
| Broadridge Financial Solutions Inc. |
| 100 |
| 11 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Total System Services Inc. |
| 115 |
| 10 |
|
|
| TFS Financial Corp. |
| 617 |
| 10 |
|
|
| Hope Bancorp Inc. |
| 629 |
| 10 |
|
|
| Morningstar Inc. |
| 80 |
| 9 |
|
|
| Equifax Inc. |
| 92 |
| 9 |
|
|
| Lincoln National Corp. |
| 150 |
| 9 |
|
|
| KeyCorp |
| 512 |
| 9 |
|
|
| Ally Financial Inc. |
| 347 |
| 9 |
|
|
| Fifth Third Bancorp |
| 324 |
| 9 |
|
|
| First Citizens BancShares Inc. Class A |
| 21 |
| 9 |
|
|
| Kinsale Capital Group Inc. |
| 143 |
| 9 |
|
|
| Extra Space Storage Inc. |
| 92 |
| 9 |
|
|
| LTC Properties Inc. |
| 187 |
| 9 |
|
|
| BOK Financial Corp. |
| 102 |
| 9 |
|
|
| Zions Bancorp NA |
| 175 |
| 9 |
|
|
| WR Berkley Corp. |
| 108 |
| 9 |
|
|
| Prosperity Bancshares Inc. |
| 121 |
| 8 |
|
|
| Cincinnati Financial Corp. |
| 101 |
| 8 |
|
|
| East West Bancorp Inc. |
| 153 |
| 8 |
|
|
| FactSet Research Systems Inc. |
| 34 |
| 8 |
|
* |
| Western Alliance Bancorp |
| 167 |
| 8 |
|
|
| AMERISAFE Inc. |
| 117 |
| 8 |
|
|
| Universal Insurance Holdings Inc. |
| 170 |
| 7 |
|
|
| BancorpSouth Bank |
| 236 | �� | 7 |
|
|
| BancFirst Corp. |
| 129 |
| 7 |
|
|
| Umpqua Holdings Corp. |
| 373 |
| 7 |
|
* |
| Fair Isaac Corp. |
| 36 |
| 7 |
|
|
| Federal Realty Investment Trust |
| 54 |
| 7 |
|
|
| Torchmark Corp. |
| 82 |
| 7 |
|
|
| MSCI Inc. Class A |
| 43 |
| 7 |
|
|
| Hospitality Properties Trust |
| 240 |
| 6 |
|
|
| Glacier Bancorp Inc. |
| 130 |
| 6 |
|
* |
| Zillow Group Inc. |
| 166 |
| 6 |
|
|
| First Republic Bank |
| 61 |
| 6 |
|
|
| Nelnet Inc. Class A |
| 111 |
| 6 |
|
|
| TD Ameritrade Holding Corp. |
| 112 |
| 6 |
|
|
| RLI Corp. |
| 79 |
| 6 |
|
|
| Independent Bank Corp. |
| 74 |
| 6 |
|
* |
| SVB Financial Group |
| 23 |
| 6 |
|
|
| Great Western Bancorp Inc. |
| 155 |
| 6 |
|
|
| E*TRADE Financial Corp. |
| 110 |
| 6 |
|
|
| SL Green Realty Corp. |
| 58 |
| 6 |
|
* |
| TriState Capital Holdings Inc. |
| 222 |
| 6 |
|
|
| Raymond James Financial Inc. |
| 69 |
| 6 |
|
|
| Fulton Financial Corp. |
| 310 |
| 5 |
|
* |
| Texas Capital Bancshares Inc. |
| 90 |
| 5 |
|
|
| FirstCash Inc. |
| 59 |
| 5 |
|
|
| Provident Financial Services Inc. |
| 204 |
| 5 |
|
|
| Columbia Property Trust Inc. |
| 244 |
| 5 |
|
|
| CorEnergy Infrastructure Trust Inc. |
| 140 |
| 5 |
|
|
| Selective Insurance Group Inc. |
| 76 |
| 5 |
|
|
| Investors Bancorp Inc. |
| 408 |
| 5 |
|
|
| WesBanco Inc. |
| 113 |
| 5 |
|
|
| Senior Housing Properties Trust |
| 335 |
| 5 |
|
|
| Tompkins Financial Corp. |
| 55 |
| 5 |
|
|
| Cathay General Bancorp |
| 110 |
| 4 |
|
|
| WSFS Financial Corp. |
| 98 |
| 4 |
|
|
| Waddell & Reed Financial Inc. Class A |
| 201 |
| 4 |
|
|
| Bank of NT Butterfield & Son Ltd. |
| 98 |
| 4 |
|
|
| LegacyTexas Financial Group Inc. |
| 100 |
| 4 |
|
|
| Cohen & Steers Inc. |
| 99 |
| 4 |
|
|
| Pebblebrook Hotel Trust |
| 101 |
| 4 |
|
* |
| HomeStreet Inc. |
| 129 |
| 3 |
|
|
| RE/MAX Holdings Inc. Class A |
| 80 |
| 3 |
|
|
|
|
|
|
| 3,394 |
|
Health Care (9.8%) |
|
|
|
|
| ||
|
| Humana Inc. |
| 430 |
| 142 |
|
* |
| Biogen Inc. |
| 372 |
| 124 |
|
|
| UnitedHealth Group Inc. |
| 414 |
| 117 |
|
* |
| HMS Holdings Corp. |
| 2,692 |
| 96 |
|
* |
| Vertex Pharmaceuticals Inc. |
| 511 |
| 92 |
|
* |
| Illumina Inc. |
| 249 |
| 84 |
|
|
| Cigna Corp. |
| 345 |
| 77 |
|
* |
| ChemoCentryx Inc. |
| 7,063 |
| 71 |
|
|
| Patterson Cos. Inc. |
| 2,611 |
| 66 |
|
* |
| Neogen Corp. |
| 981 |
| 64 |
|
* |
| Masimo Corp. |
| 520 |
| 57 |
|
* |
| Alkermes plc |
| 1,555 |
| 57 |
|
* |
| Premier Inc. Class A |
| 1,303 |
| 52 |
|
* |
| XOMA Corp. |
| 2,960 |
| 45 |
|
|
| LeMaitre Vascular Inc. |
| 1,327 |
| 37 |
|
* |
| Surmodics Inc. |
| 600 |
| 36 |
|
|
| ResMed Inc. |
| 268 |
| 30 |
|
* |
| ICU Medical Inc. |
| 107 |
| 26 |
|
* |
| Veeva Systems Inc. Class A |
| 251 |
| 24 |
|
* |
| Glaukos Corp. |
| 355 |
| 23 |
|
* |
| Intuitive Surgical Inc. |
| 44 |
| 23 |
|
|
| Medtronic plc |
| 227 |
| 22 |
|
* |
| HealthEquity Inc. |
| 249 |
| 22 |
|
* |
| Haemonetics Corp. |
| 200 |
| 21 |
|
|
| Chemed Corp. |
| 55 |
| 17 |
|
* |
| WellCare Health Plans Inc. |
| 67 |
| 17 |
|
|
| Cantel Medical Corp. |
| 198 |
| 17 |
|
* |
| Genomic Health Inc. |
| 210 |
| 17 |
|
* |
| Cerner Corp. |
| 254 |
| 15 |
|
|
| West Pharmaceutical Services Inc. |
| 125 |
| 14 |
|
* |
| Centene Corp. |
| 90 |
| 13 |
|
|
| US Physical Therapy Inc. |
| 107 |
| 13 |
|
|
| Atrion Corp. |
| 16 |
| 12 |
|
* |
| Varian Medical Systems Inc. |
| 97 |
| 12 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Luminex Corp. |
| 386 |
| 11 |
|
|
| Meridian Bioscience Inc. |
| 577 |
| 11 |
|
* |
| Inogen Inc. |
| 71 |
| 11 |
|
* |
| Align Technology Inc. |
| 44 |
| 10 |
|
* |
| Medpace Holdings Inc. |
| 158 |
| 10 |
|
* |
| Henry Schein Inc. |
| 109 |
| 10 |
|
* |
| NextGen Healthcare Inc. |
| 537 |
| 9 |
|
* |
| Globus Medical Inc. |
| 190 |
| 9 |
|
* |
| Amedisys Inc. |
| 66 |
| 9 |
|
|
| Agilent Technologies Inc. |
| 115 |
| 8 |
|
* |
| AngioDynamics Inc. |
| 374 |
| 8 |
|
* |
| Myriad Genetics Inc. |
| 249 |
| 8 |
|
* |
| AtriCure Inc. |
| 239 |
| 8 |
|
* |
| Cambrex Corp. |
| 157 |
| 8 |
|
* |
| AMN Healthcare Services Inc. |
| 113 |
| 7 |
|
* |
| Amphastar Pharmaceuticals Inc. |
| 328 |
| 7 |
|
|
| CONMED Corp. |
| 104 |
| 7 |
|
|
| STERIS plc |
| 58 |
| 7 |
|
* |
| Providence Service Corp. |
| 86 |
| 6 |
|
* |
| Orthofix Medical Inc. |
| 93 |
| 6 |
|
* |
| Triple-S Management Corp. Class B |
| 226 |
| 4 |
|
* |
| Insys Therapeutics Inc. |
| 600 |
| 4 |
|
|
|
|
|
|
| 1,733 |
|
Materials & Processing (4.7%) |
|
|
|
|
| ||
|
| Sonoco Products Co. |
| 1,813 |
| 104 |
|
* |
| Linde plc |
| 535 |
| 85 |
|
* |
| BMC Stock Holdings Inc. |
| 4,924 |
| 84 |
|
* |
| NCI Building Systems Inc. |
| 5,982 |
| 68 |
|
|
| Ecolab Inc. |
| 285 |
| 46 |
|
|
| PolyOne Corp. |
| 1,318 |
| 44 |
|
|
| Fastenal Co. |
| 614 |
| 36 |
|
* |
| Armstrong Flooring Inc. |
| 1,935 |
| 30 |
|
|
| Watsco Inc. |
| 181 |
| 28 |
|
|
| Eagle Materials Inc. |
| 321 |
| 24 |
|
|
| Acuity Brands Inc. |
| 177 |
| 23 |
|
|
| Quanex Building Products Corp. |
| 1,383 |
| 22 |
|
|
| Apogee Enterprises Inc. |
| 503 |
| 18 |
|
|
| Myers Industries Inc. |
| 1,067 |
| 18 |
|
|
| Materion Corp. |
| 266 |
| 14 |
|
|
| Greif Inc. Class A |
| 219 |
| 11 |
|
|
| Louisiana-Pacific Corp. |
| 487 |
| 11 |
|
|
| AptarGroup Inc. |
| 100 |
| 10 |
|
|
| Quaker Chemical Corp. |
| 50 |
| 10 |
|
|
| Chase Corp. |
| 83 |
| 9 |
|
|
| Insteel Industries Inc. |
| 329 |
| 9 |
|
|
| AAON Inc. |
| 230 |
| 9 |
|
|
| Cabot Microelectronics Corp. |
| 79 |
| 9 |
|
|
| Stepan Co. |
| 104 |
| 9 |
|
|
| Comfort Systems USA Inc. |
| 154 |
| 8 |
|
|
| Royal Gold Inc. |
| 109 |
| 8 |
|
* |
| RBC Bearings Inc. |
| 51 |
| 8 |
|
* |
| Continental Building Products Inc. |
| 264 |
| 8 |
|
|
| Reliance Steel & Aluminum Co. |
| 93 |
| 8 |
|
|
| Balchem Corp. |
| 85 |
| 7 |
|
|
| Simpson Manufacturing Co. Inc. |
| 119 |
| 7 |
|
|
| Caesarstone Ltd. |
| 391 |
| 6 |
|
|
| Boise Cascade Co. |
| 230 |
| 6 |
|
* |
| Verso Corp. |
| 242 |
| 6 |
|
* |
| GCP Applied Technologies Inc. |
| 197 |
| 5 |
|
|
| Packaging Corp. of America |
| 52 |
| 5 |
|
|
| Newmont Mining Corp. |
| 145 |
| 5 |
|
|
| Interface Inc. Class A |
| 284 |
| 5 |
|
|
| Neenah Inc. |
| 44 |
| 3 |
|
|
|
|
|
|
| 826 |
|
Other (0.5%) |
|
|
|
|
| ||
* |
| Yandex NV Class A |
| 1,930 |
| 57 |
|
* |
| Check Point Software Technologies Ltd. |
| 272 |
| 30 |
|
* |
| XOMA Corp. Rights Exp. 12/14/2018 |
| 339 |
| 1 |
|
|
|
|
|
|
| 88 |
|
Producer Durables (16.1%) |
|
|
|
|
| ||
|
| Johnson Controls |
|
|
|
|
|
|
| International plc |
| 3,865 |
| 134 |
|
|
| Accenture plc Class A |
| 791 |
| 130 |
|
|
| Emerson Electric Co. |
| 1,885 |
| 127 |
|
|
| Southwest Airlines Co. |
| 2,327 |
| 127 |
|
|
| Raytheon Co. |
| 698 |
| 122 |
|
|
| Lindsay Corp. |
| 874 |
| 88 |
|
|
| ArcBest Corp. |
| 2,097 |
| 84 |
|
* |
| FTI Consulting Inc. |
| 1,201 |
| 84 |
|
|
| Cubic Corp. |
| 1,296 |
| 79 |
|
|
| Delta Air Lines Inc. |
| 1,241 |
| 75 |
|
|
| Mesa Laboratories Inc. |
| 330 |
| 73 |
|
* |
| Aerovironment Inc. |
| 931 |
| 71 |
|
|
| Greenbrier Cos. Inc. |
| 1,440 |
| 70 |
|
|
| Standex International Corp. |
| 858 |
| 68 |
|
|
| Genpact Ltd. |
| 2,193 |
| 67 |
|
|
| Paychex Inc. |
| 870 |
| 62 |
|
|
| Rockwell Automation Inc. |
| 315 |
| 55 |
|
|
| Avery Dennison Corp. |
| 538 |
| 52 |
|
|
| Healthcare Services Group Inc. |
| 1,068 |
| 50 |
|
* |
| CSW Industrials Inc. |
| 936 |
| 50 |
|
|
| Nordson Corp. |
| 404 |
| 49 |
|
|
| Kaman Corp. |
| 779 |
| 44 |
|
|
| Astec Industries Inc. |
| 1,042 |
| 37 |
|
|
| Expeditors International of Washington Inc. |
| 432 |
| 33 |
|
|
| Curtiss-Wright Corp. |
| 293 |
| 32 |
|
|
| MAXIMUS Inc. |
| 433 |
| 31 |
|
|
| US Ecology Inc. |
| 402 |
| 28 |
|
|
| Franklin Electric Co. Inc. |
| 602 |
| 27 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| US Xpress Enterprises Inc. Class A |
| 3,305 |
| 27 |
|
* |
| Teledyne Technologies Inc. |
| 121 |
| 27 |
|
|
| CRA International Inc. |
| 538 |
| 26 |
|
|
| Systemax Inc. |
| 924 |
| 26 |
|
|
| Rollins Inc. |
| 395 |
| 25 |
|
|
| Altra Industrial Motion Corp. |
| 770 |
| 24 |
|
|
| National Instruments Corp. |
| 471 |
| 23 |
|
|
| CH Robinson Worldwide Inc. |
| 243 |
| 22 |
|
|
| Snap-on Inc. |
| 120 |
| 20 |
|
|
| Tennant Co. |
| 328 |
| 20 |
|
|
| EMCOR Group Inc. |
| 269 |
| 20 |
|
|
| Carlisle Cos. Inc. |
| 182 |
| 19 |
|
|
| Old Dominion Freight Line Inc. |
| 138 |
| 19 |
|
|
| Boeing Co. |
| 50 |
| 17 |
|
|
| Dover Corp. |
| 201 |
| 17 |
|
|
| Pentair plc |
| 393 |
| 17 |
|
|
| Robert Half International Inc. |
| 266 |
| 16 |
|
|
| Huntington Ingalls Industries Inc. |
| 70 |
| 15 |
|
|
| FLIR Systems Inc. |
| 327 |
| 15 |
|
|
| ICF International Inc. |
| 214 |
| 15 |
|
|
| Deluxe Corp. |
| 293 |
| 15 |
|
|
| WW Grainger Inc. |
| 46 |
| 14 |
|
* |
| HD Supply Holdings Inc. |
| 358 |
| 14 |
|
|
| ManpowerGroup Inc. |
| 170 |
| 14 |
|
* |
| TriNet Group Inc. |
| 300 |
| 14 |
|
* |
| Sykes Enterprises Inc. |
| 494 |
| 14 |
|
* |
| Proto Labs Inc. |
| 103 |
| 13 |
|
|
| Exponent Inc. |
| 260 |
| 13 |
|
|
| IDEX Corp. |
| 94 |
| 13 |
|
|
| Landstar System Inc. |
| 118 |
| 13 |
|
|
| UniFirst Corp. |
| 81 |
| 13 |
|
|
| Insperity Inc. |
| 120 |
| 12 |
|
* |
| CoStar Group Inc. |
| 32 |
| 12 |
|
|
| Toro Co. |
| 186 |
| 12 |
|
|
| Marten Transport Ltd. |
| 591 |
| 12 |
|
* |
| Control4 Corp. |
| 512 |
| 11 |
|
|
| HNI Corp. |
| 284 |
| 11 |
|
* |
| Trimble Inc. |
| 266 |
| 10 |
|
|
| Alaska Air Group Inc. |
| 132 |
| 10 |
|
|
| MSC Industrial Direct Co. Inc. Class A |
| 109 |
| 10 |
|
* |
| JetBlue Airways Corp. |
| 476 |
| 9 |
|
|
| Xylem Inc. |
| 127 |
| 9 |
|
* |
| Casella Waste Systems Inc. Class A |
| 277 |
| 9 |
|
|
| Korn/Ferry International |
| 184 |
| 9 |
|
|
| Badger Meter Inc. |
| 161 |
| 9 |
|
|
| Textron Inc. |
| 150 |
| 8 |
|
|
| Hillenbrand Inc. |
| 185 |
| 8 |
|
|
| Forward Air Corp. |
| 122 |
| 8 |
|
* |
| Dycom Industries Inc. |
| 119 |
| 8 |
|
|
| JB Hunt Transport Services Inc. |
| 72 |
| 8 |
|
|
| McGrath RentCorp |
| 143 |
| 8 |
|
|
| Graco Inc. |
| 172 |
| 8 |
|
* |
| ExlService Holdings Inc. |
| 128 |
| 7 |
|
* |
| Copart Inc. |
| 143 |
| 7 |
|
* |
| FARO Technologies Inc. |
| 142 |
| 7 |
|
|
| Brady Corp. Class A |
| 152 |
| 7 |
|
|
| Heidrick & Struggles International Inc. |
| 179 |
| 7 |
|
|
| Werner Enterprises Inc. |
| 192 |
| 7 |
|
|
| Steelcase Inc. Class A |
| 393 |
| 6 |
|
|
| Barrett Business Services Inc. |
| 87 |
| 6 |
|
|
| Herman Miller Inc. |
| 178 |
| 6 |
|
|
| Heartland Express Inc. |
| 289 |
| 6 |
|
|
| AO Smith Corp. |
| 124 |
| 6 |
|
* |
| Echo Global Logistics Inc. |
| 223 |
| 6 |
|
|
| Stanley Black & Decker Inc. |
| 43 |
| 6 |
|
|
| Raven Industries Inc. |
| 130 |
| 5 |
|
|
| Knoll Inc. |
| 253 |
| 5 |
|
* |
| SP Plus Corp. |
| 160 |
| 5 |
|
* |
| Covenant Transportation Group Inc. Class A |
| 205 |
| 5 |
|
|
| Encore Wire Corp. |
| 93 |
| 5 |
|
* |
| Saia Inc. |
| 65 |
| 4 |
|
|
| H&E Equipment Services Inc. |
| 176 |
| 4 |
|
* |
| TrueBlue Inc. |
| 149 |
| 4 |
|
* |
| Advanced Energy Industries Inc. |
| 77 |
| 4 |
|
|
| Kelly Services Inc. Class A |
| 134 |
| 3 |
|
* |
| WageWorks Inc. |
| 65 |
| 2 |
|
|
|
|
|
|
| 2,840 |
|
Technology (18.8%) |
|
|
|
|
| ||
|
| Texas Instruments Inc. |
| 2,558 |
| 255 |
|
|
| Cognizant Technology Solutions Corp. Class A |
| 2,490 |
| 177 |
|
|
| Intuit Inc. |
| 749 |
| 161 |
|
* |
| Micron Technology Inc. |
| 3,815 |
| 147 |
|
* |
| Adobe Inc. |
| 553 |
| 139 |
|
|
| HP Inc. |
| 4,786 |
| 110 |
|
* |
| Alphabet Inc. Class A |
| 96 |
| 107 |
|
* |
| Facebook Inc. Class A |
| 744 |
| 105 |
|
* |
| PDF Solutions Inc. |
| 9,716 |
| 90 |
|
* |
| Nanometrics Inc. |
| 2,553 |
| 82 |
|
|
| Activision Blizzard Inc. |
| 1,605 |
| 80 |
|
* |
| Insight Enterprises Inc. |
| 1,752 |
| 78 |
|
|
| Intel Corp. |
| 1,482 |
| 73 |
|
|
| ADTRAN Inc. |
| 5,745 |
| 71 |
|
* |
| Tech Data Corp. |
| 785 |
| 71 |
|
* |
| IPG Photonics Corp. |
| 430 |
| 61 |
|
|
| Maxim Integrated Products Inc. |
| 1,010 |
| 56 |
|
* |
| Aspen Technology Inc. |
| 622 |
| 54 |
|
|
| Monolithic Power Systems Inc. |
| 405 |
| 53 |
|
* |
| Ultimate Software Group Inc. |
| 200 |
| 53 |
|
|
| Apple Inc. |
| 295 |
| 53 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Cohu Inc. |
| 2,600 |
| 51 |
|
|
| Cognex Corp. |
| 1,136 |
| 50 |
|
* |
| Cargurus Inc. |
| 1,184 |
| 46 |
|
|
| DXC Technology Co. |
| 723 |
| 46 |
|
* |
| GoDaddy Inc. Class A |
| 671 |
| 44 |
|
|
| Ubiquiti Networks Inc. |
| 397 |
| 43 |
|
* |
| Atlassian Corp. plc Class A |
| 336 |
| 29 |
|
|
| Universal Display Corp. |
| 310 |
| 28 |
|
* |
| Fortinet Inc. |
| 369 |
| 27 |
|
* |
| Yext Inc. |
| 1,750 |
| 25 |
|
* |
| F5 Networks Inc. |
| 147 |
| 25 |
|
* |
| Workiva Inc. |
| 635 |
| 24 |
|
* |
| TechTarget Inc. |
| 1,500 |
| 22 |
|
* |
| HubSpot Inc. |
| 145 |
| 20 |
|
* |
| VMware Inc. Class A |
| 119 |
| 20 |
|
* |
| Yelp Inc. Class A |
| 588 |
| 20 |
|
* |
| SPS Commerce Inc. |
| 223 |
| 19 |
|
* |
| New Relic Inc. |
| 217 |
| 19 |
|
|
| Amdocs Ltd. |
| 285 |
| 18 |
|
* |
| Arista Networks Inc. |
| 77 |
| 18 |
|
* |
| PTC Inc. |
| 203 |
| 18 |
|
* |
| Akamai Technologies Inc. |
| 247 |
| 17 |
|
* |
| Cadence Design Systems Inc. |
| 375 |
| 17 |
|
* |
| Manhattan Associates Inc. |
| 336 |
| 17 |
|
* |
| Glu Mobile Inc. |
| 2,085 |
| 15 |
|
* |
| Cloudera Inc. |
| 1,200 |
| 15 |
|
|
| Xilinx Inc. |
| 156 |
| 14 |
|
|
| Skyworks Solutions Inc. |
| 197 |
| 14 |
|
* |
| ANSYS Inc. |
| 88 |
| 14 |
|
* |
| Remark Holdings Inc. |
| 10,684 |
| 14 |
|
|
| LogMeIn Inc. |
| 152 |
| 14 |
|
* |
| LivePerson Inc. |
| 722 |
| 14 |
|
* |
| Workday Inc. Class A |
| 83 |
| 14 |
|
* |
| Appfolio Inc. |
| 216 |
| 13 |
|
* |
| EPAM Systems Inc. |
| 99 |
| 13 |
|
|
| NIC Inc. |
| 978 |
| 13 |
|
* |
| Synopsys Inc. |
| 136 |
| 12 |
|
* |
| TrueCar Inc. |
| 1,200 |
| 12 |
|
* |
| Tucows Inc. Class A |
| 209 |
| 12 |
|
|
| Progress Software Corp. |
| 342 |
| 12 |
|
* |
| Tyler Technologies Inc. |
| 61 |
| 12 |
|
* |
| NetScout Systems Inc. |
| 439 |
| 12 |
|
* |
| CalAmp Corp. |
| 658 |
| 12 |
|
* |
| Zendesk Inc. |
| 195 |
| 12 |
|
* |
| LiveRamp Holdings Inc. |
| 236 |
| 11 |
|
* |
| NETGEAR Inc. |
| 201 |
| 11 |
|
|
| Monotype Imaging Holdings Inc. |
| 627 |
| 11 |
|
|
| NetApp Inc. |
| 159 |
| 11 |
|
|
| Blackbaud Inc. |
| 145 |
| 11 |
|
* |
| Varonis Systems Inc. |
| 183 |
| 11 |
|
* |
| Qualys Inc. |
| 133 |
| 10 |
|
|
| Power Integrations Inc. |
| 154 |
| 10 |
|
* |
| Nutanix Inc. |
| 212 |
| 9 |
|
* |
| Rapid7 Inc. |
| 291 |
| 9 |
|
* |
| ePlus Inc. |
| 113 |
| 9 |
|
* |
| Cree Inc. |
| 204 |
| 9 |
|
|
| Dolby Laboratories Inc. Class A |
| 127 |
| 9 |
|
* |
| Coupa Software Inc. |
| 137 |
| 9 |
|
|
| Jabil Inc. |
| 350 |
| 9 |
|
* |
| Blackline Inc. |
| 201 |
| 9 |
|
|
| Teradyne Inc. |
| 239 |
| 9 |
|
* |
| Palo Alto Networks Inc. |
| 46 |
| 8 |
|
|
| MKS Instruments Inc. |
| 99 |
| 8 |
|
* |
| Diodes Inc. |
| 222 |
| 8 |
|
* |
| Pure Storage Inc. Class A |
| 401 |
| 8 |
|
* |
| Qorvo Inc. |
| 111 |
| 7 |
|
* |
| Perficient Inc. |
| 286 |
| 7 |
|
* |
| Teradata Corp. |
| 188 |
| 7 |
|
* |
| Ellie Mae Inc. |
| 101 |
| 7 |
|
* |
| Photronics Inc. |
| 671 |
| 6 |
|
* |
| Virtusa Corp. |
| 145 |
| 6 |
|
* |
| GrubHub Inc. |
| 81 |
| 6 |
|
* |
| Rudolph Technologies Inc. |
| 293 |
| 6 |
|
* |
| Cirrus Logic Inc. |
| 165 |
| 6 |
|
* |
| CACI International Inc. Class A |
| 36 |
| 6 |
|
* |
| MicroStrategy Inc. Class A |
| 45 |
| 6 |
|
|
| Comtech Telecommunications Corp. |
| 220 |
| 6 |
|
* |
| FormFactor Inc. |
| 339 |
| 6 |
|
* |
| A10 Networks Inc. |
| 843 |
| 5 |
|
* |
| Amkor Technology Inc. |
| 763 |
| 5 |
|
* |
| CommVault Systems Inc. |
| 86 |
| 5 |
|
|
| Vishay Intertechnology Inc. |
| 207 |
| 4 |
|
* |
| Groupon Inc. Class A |
| 1,364 |
| 4 |
|
* |
| Box Inc. |
| 197 |
| 4 |
|
* |
| CEVA Inc. |
| 124 |
| 3 |
|
* |
| Limelight Networks Inc. |
| 932 |
| 3 |
|
* |
| Infinera Corp. |
| 586 |
| 3 |
|
|
|
|
|
|
| 3,319 |
|
Utilities (0.4%) |
|
|
|
|
| ||
* |
| Boingo Wireless Inc. |
| 596 |
| 15 |
|
|
| MDU Resources Group Inc. |
| 360 |
| 9 |
|
|
| Hawaiian Electric Industries Inc. |
| 248 |
| 9 |
|
* |
| United States Cellular Corp. |
| 155 |
| 9 |
|
|
| j2 Global Inc. |
| 110 |
| 8 |
|
|
| Telephone & Data Systems Inc. |
| 211 |
| 8 |
|
* |
| Vonage Holdings Corp. |
| 680 |
| 7 |
|
* |
| 8x8 Inc. |
| 338 |
| 7 |
|
|
| American States Water Co. |
| 91 |
| 6 |
|
|
|
|
|
|
| 78 |
|
Total Common Stocks |
|
|
|
|
| ||
(Cost $17,791) |
|
|
| 17,565 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Temporary Cash Investment (0.5%)1 |
|
|
|
|
| ||
Money Market Fund (0.5%) |
|
|
|
|
| ||
2 Vanguard Market Liquidity Fund, 2.407% (Cost $85) |
| 850 |
| 85 |
| ||
Total Investments (99.8%) |
|
|
|
|
| ||
(Cost $17,876) |
|
|
| 17,650 |
|
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 1 |
|
Receivables for Accrued Income |
| 27 |
|
Receivables from Vanguard |
| 4 |
|
Variation Margin Receivable—Futures Contracts |
| — |
|
Other Assets3 |
| 4 |
|
Total Other Assets |
| 36 |
|
Liabilities |
|
|
|
Payables to Vanguard |
| (5 | ) |
Total Liabilities |
| (5 | ) |
Net Assets (100%) |
|
|
|
Applicable to 225,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 17,681 |
|
Net Asset Value Per Share |
| $78.58 |
|
At November 30, 2018, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 17,876 |
|
Total Distributable Earnings (Loss) |
| (195 | ) |
Net Assets |
| 17,681 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 0.0%, respectively, 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 Cash of $4,000 has been segregated as initial margin for open futures contracts.
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 Russell 2000 Index |
| December 2018 |
| 1 |
|
| 77 |
| — |
|
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Statement of Operations
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
| 133 |
|
Interest2 |
| 1 |
|
Total Income |
| 134 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
| — |
|
Management and Administrative |
| — |
|
Marketing and Distribution |
| — |
|
Custodian Fees |
| 3 |
|
Audit Fees |
| 10 |
|
Shareholders’ Reports |
| 2 |
|
Total Expenses |
| 15 |
|
Expense Reduction—Note B |
| (4 | ) |
Net Expenses |
| 11 |
|
Net Investment Income |
| 123 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold2 |
| (9 | ) |
Futures Contracts |
| (10 | ) |
Realized Net Gain (Loss) |
| (19 | ) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities2 |
| (226 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (122 | ) |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, ($1,000), and $0, respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Statement of Changes in Net Assets
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
| 123 |
|
Realized Net Gain (Loss) |
| (19 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (226 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (122 | ) |
Distributions |
|
|
|
Net Investment Income |
| (73 | ) |
Realized Capital Gain |
| — |
|
Total Distributions |
| (73 | ) |
Capital Share Transactions |
|
|
|
Issued |
| 17,876 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| — |
|
Net Increase (Decrease) from Capital Share Transactions |
| 17,876 |
|
Total Increase (Decrease) |
| 17,681 |
|
Net Assets |
|
|
|
Beginning of Period |
| — |
|
End of Period |
| 17,681 |
|
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Financial Highlights
|
| February 13, 20181 to |
|
For a Share Outstanding Throughout the Period |
| November 30, 2018 |
|
Net Asset Value, Beginning of Period |
| $75.00 |
|
Investment Operations |
|
|
|
Net Investment Income2 |
| .899 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| 3.266 |
|
Total from Investment Operations |
| 4.165 |
|
Distributions |
|
|
|
Dividends from Net Investment Income |
| (.585 | ) |
Distributions from Realized Capital Gains |
| — |
|
Total Distributions |
| (.585 | ) |
Net Asset Value, End of Period |
| $78.58 |
|
|
|
|
|
Total Return |
| 5.52% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
| $18 |
|
Ratio of Total Expenses to Average Net Assets |
| 0.13%3,4 |
|
Ratio of Net Investment Income to Average Net Assets |
| 1.40%3 |
|
Portfolio Turnover Rate |
| 25% |
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 The ratio of total expenses to average net assets before an expense reduction of 0.04% was 0.17%. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Notes to Financial Statements
Vanguard U.S. Quality Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Quality Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. 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 purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and generally settled twice a month.
During the period ended November 30, 2018, the fund incurred higher than anticipated expenses. Because of this, Vanguard has voluntarily agreed to assume the payment of certain expenses, in the amount of $4,000 (an effective annual rate of 0.04% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2018, the fund had contributed to Vanguard capital in the amount of $1,000, representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of November 30, 2018, based on the inputs used to value them:
Investments |
| Level 1 | ) | Level 2 | ) | Level 3 | ) |
Common Stocks |
| 17,564 |
| 1 |
| — |
|
Temporary Cash Investments |
| 85 |
| — |
| — |
|
Futures Contracts—Assets1 |
| — |
| — |
| — |
|
Total |
| 17,649 |
| 1 |
| — |
|
1 Represents variation margin on the last day of the reporting period.
U.S. Quality Factor ETF
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | ) |
Undistributed Ordinary Income | 50 |
|
Undistributed Long-Term Gains | — |
|
Capital Loss Carryforwards (Non-expiring) | (19 | ) |
Net Unrealized Gains (Losses) | (226 | ) |
As of November 30, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | ) |
Tax Cost | 17,876 |
|
Gross Unrealized Appreciation | 1,122 |
|
Gross Unrealized Depreciation | (1,348 | ) |
Net Unrealized Appreciation (Depreciation) | (226 | ) |
E. During the period ended November 30, 2018, the fund purchased $20,671,000 of investment securities and sold $2,871,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| February 13, 20181 to |
|
| November 30, 2018 |
|
| Shares |
|
| (000 | ) |
Issued | 225 |
|
Issued in Lieu of Cash Distributions | — |
|
Redeemed | — |
|
Net Increase (Decrease) in Shares Outstanding | 225 |
|
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
U.S. Value Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2018
Initial Investment of $10,000
|
| Total Returns |
|
|
|
| Period Ended November 30, 2018
|
|
|
|
| Since |
| Final Value |
|
| Inception |
| of a $10,000 |
|
| (2/13/2018) |
| Investment |
U.S. Value Factor ETF Net Asset Value |
| -0.08% |
| $9,992 |
Russell 3000 Index |
| 5.04 |
| 10,504 |
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2018
|
| Since |
|
| Inception |
|
| (2/13/2018) |
U.S. Value Factor ETF Market Price |
| -0.04% |
U.S. Value Factor ETF Net Asset Value |
| -0.08 |
Russell 3000 Index |
| 5.04 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative benchmark.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
U.S. Value Factor ETF
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception Date |
| Since Inception |
|
ETF Shares | 2/13/2018 |
|
|
|
Market Price |
|
| 7.28% |
|
Net Asset Value |
|
| 7.28 |
|
U.S. Value Factor ETF
Sector Diversification
As of November 30, 2018
Consumer Discretionary | 16.8% |
Consumer Staples | 4.6 |
Energy | 10.2 |
Financial Services | 26.7 |
Health Care | 4.4 |
Materials & Processing | 6.5 |
Other | 0.0 |
Producer Durables | 13.3 |
Technology | 7.4 |
Utilities | 10.1 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Value Factor ETF
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.5%)1 |
|
|
|
|
| ||
Consumer Discretionary (16.8%) |
|
|
|
|
| ||
|
| Ford Motor Co. |
| 34,459 |
| 324 |
|
|
| Carnival Corp. |
| 4,379 |
| 264 |
|
|
| Comcast Corp. Class A |
| 5,919 |
| 231 |
|
|
| General Motors Co. |
| 6,078 |
| 231 |
|
|
| Walt Disney Co. |
| 1,865 |
| 215 |
|
|
| Target Corp. |
| 2,186 |
| 155 |
|
* |
| El Pollo Loco Holdings Inc. |
| 6,993 |
| 107 |
|
* |
| Mohawk Industries Inc. |
| 728 |
| 93 |
|
|
| Lear Corp. |
| 682 |
| 93 |
|
|
| Haverty Furniture Cos. Inc. |
| 4,264 |
| 87 |
|
|
| L Brands Inc. |
| 2,627 |
| 87 |
|
|
| Foot Locker Inc. |
| 1,538 |
| 87 |
|
|
| Goodyear Tire & Rubber Co. |
| 3,706 |
| 86 |
|
* |
| Discovery Communications Inc. Class A |
| 2,728 |
| 84 |
|
|
| BorgWarner Inc. |
| 2,103 |
| 83 |
|
* |
| Liberty Broadband Corp. |
| 937 |
| 79 |
|
|
| H&R Block Inc. |
| 2,890 |
| 78 |
|
* |
| American Axle & Manufacturing Holdings Inc. |
| 5,995 |
| 75 |
|
|
| Standard Motor Products Inc. |
| 1,399 |
| 74 |
|
|
| Dana Inc. |
| 4,877 |
| 71 |
|
* |
| J. Jill Inc. |
| 11,289 |
| 70 |
|
* |
| MSG Networks Inc. |
| 2,500 |
| 67 |
|
|
| Signet Jewelers Ltd. |
| 1,237 |
| 65 |
|
* |
| Del Taco Restaurants Inc. |
| 6,023 |
| 64 |
|
|
| Tenneco Inc. Class A |
| 1,905 |
| 64 |
|
|
| Viacom Inc. Class B |
| 2,072 |
| 64 |
|
|
| Adient plc |
| 2,630 |
| 62 |
|
* |
| TRI Pointe Group Inc. |
| 4,963 |
| 62 |
|
* |
| AutoZone Inc. |
| 75 |
| 61 |
|
|
| Gap Inc. |
| 2,151 |
| 59 |
|
|
| Group 1 Automotive Inc. |
| 1,044 |
| 59 |
|
|
| KB Home |
| 2,716 |
| 57 |
|
|
| Cooper Tire & Rubber Co. |
| 1,656 |
| 57 |
|
|
| Office Depot Inc. |
| 17,492 |
| 56 |
|
* |
| Gray Television Inc. |
| 2,934 |
| 54 |
|
* |
| Norwegian Cruise Line Holdings Ltd. |
| 1,052 |
| 54 |
|
* |
| Qurate Retail Group Inc. QVC Group Class A |
| 2,423 |
| 54 |
|
* |
| DISH Network Corp. Class A |
| 1,643 |
| 54 |
|
|
| Abercrombie & Fitch Co. |
| 2,544 |
| 53 |
|
|
| Penske Automotive Group Inc. |
| 1,215 |
| 53 |
|
|
| Royal Caribbean Cruises Ltd. |
| 458 |
| 52 |
|
* |
| Sally Beauty Holdings Inc. |
| 2,328 |
| 49 |
|
* |
| Hibbett Sports Inc. |
| 3,140 |
| 49 |
|
|
| Macy’s Inc. |
| 1,414 |
| 48 |
|
|
| International Speedway Corp. Class A |
| 1,137 |
| 48 |
|
|
| PulteGroup Inc. |
| 1,807 |
| 48 |
|
* |
| Michaels Cos. Inc. |
| 2,770 |
| 47 |
|
* |
| MDC Partners Inc. Class A |
| 17,667 |
| 47 |
|
* |
| K12 Inc. |
| 1,950 |
| 47 |
|
* |
| Avis Budget Group Inc. |
| 1,586 |
| 46 |
|
* |
| Helen of Troy Ltd. |
| 320 |
| 46 |
|
* |
| AutoNation Inc. |
| 1,203 |
| 45 |
|
|
| Tower International Inc. |
| 1,555 |
| 44 |
|
|
| Toll Brothers Inc. |
| 1,289 |
| 42 |
|
|
| Bed Bath & Beyond Inc. |
| 3,258 |
| 42 |
|
* |
| Cooper-Standard Holdings Inc. |
| 563 |
| 41 |
|
|
| Kohl’s Corp. |
| 585 |
| 39 |
|
|
| Thor Industries Inc. |
| 578 |
| 39 |
|
* |
| Francesca’s Holdings Corp. |
| 19,489 |
| 39 |
|
|
| Marcus Corp. |
| 904 |
| 38 |
|
|
| Superior Industries International Inc. |
| 5,185 |
| 38 |
|
* |
| ZAGG Inc. |
| 3,749 |
| 38 |
|
|
| Graham Holdings Co. Class B |
| 56 |
| 37 |
|
|
| Gannett Co. Inc. |
| 3,467 |
| 36 |
|
|
| Aaron’s Inc. |
| 763 |
| 36 |
|
|
| Dick’s Sporting Goods Inc. |
| 969 |
| 35 |
|
* |
| Express Inc. |
| 5,536 |
| 35 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Laureate Education Inc. Class A |
| 2,339 |
| 34 |
|
|
| Nexstar Media Group Inc. Class A |
| 412 |
| 34 |
|
* |
| Hertz Global Holdings Inc. |
| 1,773 |
| 33 |
|
|
| Shoe Carnival Inc. |
| 871 |
| 33 |
|
|
| National CineMedia Inc. |
| 4,660 |
| 32 |
|
* |
| Eastman Kodak Co. |
| 8,103 |
| 32 |
|
|
| Big Lots Inc. |
| 723 |
| 31 |
|
|
| TEGNA Inc. |
| 2,244 |
| 30 |
|
|
| Travelport Worldwide Ltd. |
| 1,939 |
| 30 |
|
|
| Walmart Inc. |
| 301 |
| 29 |
|
|
| Brinker International Inc. |
| 551 |
| 28 |
|
* |
| MarineMax Inc. |
| 1,299 |
| 28 |
|
|
| Sinclair Broadcast Group Inc. Class A |
| 872 |
| 27 |
|
|
| AMERCO |
| 77 |
| 27 |
|
* |
| Party City Holdco Inc. |
| 2,202 |
| 26 |
|
|
| Sonic Automotive Inc. Class A |
| 1,600 |
| 25 |
|
|
| Ethan Allen Interiors Inc. |
| 1,195 |
| 25 |
|
|
| Hyatt Hotels Corp. Class A |
| 348 |
| 25 |
|
* |
| Taylor Morrison Home Corp. Class A |
| 1,462 |
| 25 |
|
* |
| Liberty Expedia Holdings Inc. Class A |
| 585 |
| 24 |
|
|
| Dillard’s Inc. Class A |
| 348 |
| 24 |
|
|
| GameStop Corp. Class A |
| 1,740 |
| 24 |
|
|
| MDC Holdings Inc. |
| 807 |
| 24 |
|
|
| AMC Entertainment Holdings Inc. Class A |
| 1,735 |
| 24 |
|
* |
| Barnes & Noble Education Inc. |
| 3,508 |
| 23 |
|
* |
| Meritage Homes Corp. |
| 592 |
| 23 |
|
|
| Caleres Inc. |
| 729 |
| 22 |
|
|
| Lions Gate Entertainment Corp. Class A |
| 1,133 |
| 22 |
|
* |
| Meritor Inc. |
| 1,281 |
| 21 |
|
|
| La-Z-Boy Inc. |
| 711 |
| 21 |
|
|
| Harley-Davidson Inc. |
| 447 |
| 19 |
|
* |
| Conn’s Inc. |
| 668 |
| 19 |
|
|
| Meredith Corp. |
| 319 |
| 18 |
|
* |
| Nautilus Inc. |
| 1,298 |
| 17 |
|
|
| Matthews International Corp. Class A |
| 371 |
| 16 |
|
|
| Chico’s FAS Inc. |
| 2,673 |
| 14 |
|
|
| Entravision Communications Corp. Class A |
| 4,379 |
| 14 |
|
|
| Winnebago Industries Inc. |
| 562 |
| 14 |
|
* |
| Habit Restaurants Inc. Class A |
| 1,115 |
| 14 |
|
|
| Barnes & Noble Inc. |
| 1,797 |
| 14 |
|
* |
| Zumiez Inc. |
| 668 |
| 13 |
|
|
| Newell Brands Inc. |
| 559 |
| 13 |
|
* |
| Asbury Automotive Group Inc. |
| 189 |
| 13 |
|
|
| Cinemark Holdings Inc. |
| 339 |
| 13 |
|
* |
| Stoneridge Inc. |
| 471 |
| 13 |
|
|
| Tailored Brands Inc. |
| 545 |
| 12 |
|
* |
| Regis Corp. |
| 665 |
| 12 |
|
* |
| Murphy USA Inc. |
| 142 |
| 11 |
|
* |
| AMC Networks Inc. Class A |
| 188 |
| 11 |
|
* |
| Cars.com Inc. |
| 432 |
| 11 |
|
|
| Autoliv Inc. |
| 129 |
| 11 |
|
|
| Buckle Inc. |
| 566 |
| 11 |
|
* |
| Vera Bradley Inc. |
| 955 |
| 11 |
|
|
| Cato Corp. Class A |
| 679 |
| 10 |
|
|
| DSW Inc. Class A |
| 369 |
| 10 |
|
|
| Entercom Communications Corp. Class A |
| 1,508 |
| 10 |
|
|
| Ralph Lauren Corp. Class A |
| 88 |
| 10 |
|
* |
| Liberty Media Corp-Liberty SiriusXM Class C |
| 223 |
| 9 |
|
* |
| M/I Homes Inc. |
| 373 |
| 9 |
|
|
| Williams-Sonoma Inc. |
| 142 |
| 8 |
|
|
| Carriage Services Inc. Class A |
| 466 |
| 8 |
|
* |
| Genesco Inc. |
| 186 |
| 8 |
|
|
| Movado Group Inc. |
| 200 |
| 8 |
|
|
| Hooker Furniture Corp. |
| 246 |
| 7 |
|
* |
| Sportsman’s Warehouse Holdings Inc. |
| 1,597 |
| 7 |
|
|
| Gentex Corp. |
| 298 |
| 7 |
|
* |
| Horizon Global Corp. |
| 3,303 |
| 7 |
|
|
| Nielsen Holdings plc |
| 233 |
| 6 |
|
|
| Whirlpool Corp. |
| 47 |
| 6 |
|
* |
| Bridgepoint Education Inc. Class A |
| 741 |
| 6 |
|
|
| Citi Trends Inc. |
| 261 |
| 5 |
|
|
| Big 5 Sporting Goods Corp. |
| 1,414 |
| 5 |
|
|
| American Eagle Outfitters Inc. |
| 237 |
| 5 |
|
|
| Extended Stay America Inc. |
| 269 |
| 5 |
|
|
| Pier 1 Imports Inc. |
| 3,225 |
| 5 |
|
|
| New Media Investment Group Inc. |
| 247 |
| 3 |
|
|
|
|
|
|
| 6,228 |
|
Consumer Staples (4.6%) |
|
|
|
|
| ||
|
| CVS Health Corp. |
| 2,900 |
| 233 |
|
|
| Walgreens Boots Alliance Inc. |
| 2,643 |
| 224 |
|
|
| Mondelez International Inc. Class A |
| 4,243 |
| 191 |
|
|
| General Mills Inc. |
| 3,173 |
| 134 |
|
|
| Kraft Heinz Co. |
| 2,539 |
| 130 |
|
|
| Kroger Co. |
| 3,131 |
| 93 |
|
|
| Tootsie Roll Industries Inc. |
| 2,241 |
| 78 |
|
|
| Molson Coors Brewing Co. Class B |
| 906 |
| 60 |
|
|
| Ingles Markets Inc. Class A |
| 1,996 |
| 58 |
|
|
| JM Smucker Co. |
| 487 |
| 51 |
|
|
| Coca-Cola European Partners plc |
| 1,001 |
| 49 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Pilgrim’s Pride Corp. |
| 2,393 |
| 47 |
|
* |
| Post Holdings Inc. |
| 472 |
| 46 |
|
|
| Tyson Foods Inc. Class A |
| 731 |
| 43 |
|
|
| Sanderson Farms Inc. |
| 285 |
| 32 |
|
|
| Dean Foods Co. |
| 6,337 |
| 32 |
|
|
| Andersons Inc. |
| 863 |
| 28 |
|
|
| Weis Markets Inc. |
| 621 |
| 28 |
|
|
| Universal Corp. |
| 385 |
| 24 |
|
* |
| Hostess Brands Inc. Class A |
| 2,034 |
| 24 |
|
|
| Bunge Ltd. |
| 369 |
| 21 |
|
* |
| US Foods Holding Corp. |
| 514 |
| 17 |
|
|
| SpartanNash Co. |
| 835 |
| 16 |
|
|
| Fresh Del Monte Produce Inc. |
| 442 |
| 15 |
|
|
| Archer-Daniels-Midland Co. |
| 264 |
| 12 |
|
|
|
|
|
|
| 1,686 |
|
Energy (10.2%) |
|
|
|
|
| ||
|
| Kinder Morgan Inc. |
| 14,429 |
| 246 |
|
|
| Chevron Corp. |
| 1,653 |
| 197 |
|
|
| Marathon Petroleum Corp. |
| 2,735 |
| 178 |
|
|
| Exxon Mobil Corp. |
| 2,018 |
| 160 |
|
|
| Phillips 66 |
| 1,713 |
| 160 |
|
|
| Cimarex Energy Co. |
| 1,430 |
| 117 |
|
|
| Valero Energy Corp. |
| 1,404 |
| 112 |
|
|
| Diamondback Energy Inc. |
| 918 |
| 101 |
|
* |
| ProPetro Holding Corp. |
| 6,205 |
| 101 |
|
* |
| Smart Sand Inc. |
| 28,665 |
| 93 |
|
* |
| Centennial Resource Development Inc. Class A |
| 5,775 |
| 90 |
|
|
| McDermott International Inc. |
| 9,438 |
| 82 |
|
* |
| Keane Group Inc. |
| 7,244 |
| 81 |
|
* |
| Parsley Energy Inc. Class A |
| 3,554 |
| 72 |
|
* |
| Gulfport Energy Corp. |
| 8,134 |
| 69 |
|
* |
| First Solar Inc. |
| 1,495 |
| 66 |
|
* |
| Par Pacific Holdings Inc. |
| 3,762 |
| 64 |
|
* |
| Chesapeake Energy Corp. |
| 20,885 |
| 61 |
|
|
| Range Resources Corp. |
| 4,083 |
| 59 |
|
* |
| W&T Offshore Inc. |
| 9,724 |
| 57 |
|
* |
| Alta Mesa Resources Inc. Class A |
| 35,848 |
| 55 |
|
|
| Murphy Oil Corp. |
| 1,680 |
| 54 |
|
* |
| Ring Energy Inc. |
| 7,522 |
| 53 |
|
* |
| Sanchez Energy Corp. |
| 74,466 |
| 52 |
|
|
| PBF Energy Inc. Class A |
| 1,323 |
| 51 |
|
|
| HollyFrontier Corp. |
| 765 |
| 48 |
|
|
| Warrior Met Coal Inc. |
| 1,991 |
| 47 |
|
|
| Peabody Energy Corp. |
| 1,511 |
| 47 |
|
* |
| Antero Resources Corp. |
| 3,572 |
| 47 |
|
* |
| Sunrun Inc. |
| 3,140 |
| 46 |
|
* |
| Laredo Petroleum Inc. |
| 10,153 |
| 44 |
|
* |
| CNX Resources Corp. |
| 3,125 |
| 43 |
|
* |
| Southwestern Energy Co. |
| 8,964 |
| 43 |
|
|
| ConocoPhillips |
| 642 |
| 43 |
|
* |
| Bonanza Creek Energy Inc. |
| 1,518 |
| 40 |
|
|
| Anadarko Petroleum Corp. |
| 751 |
| 40 |
|
* |
| Halcon Resources Corp. |
| 13,994 |
| 39 |
|
* |
| California Resources Corp. |
| 1,622 |
| 39 |
|
* |
| Oasis Petroleum Inc. |
| 5,190 |
| 37 |
|
|
| Mammoth Energy Services Inc. |
| 1,462 |
| 37 |
|
|
| EQT Corp. |
| 1,936 |
| 36 |
|
* |
| Denbury Resources Inc. |
| 15,568 |
| 35 |
|
* |
| PDC Energy Inc. |
| 1,025 |
| 35 |
|
* |
| Unit Corp. |
| 1,647 |
| 34 |
|
|
| Arch Coal Inc. Class A |
| 412 |
| 34 |
|
|
| Delek US Holdings Inc. |
| 761 |
| 30 |
|
* |
| QEP Resources Inc. |
| 3,509 |
| 28 |
|
* |
| EP Energy Corp. Class A |
| 24,767 |
| 27 |
|
|
| SM Energy Co. |
| 1,251 |
| 26 |
|
* |
| Renewable Energy Group Inc. |
| 937 |
| 25 |
|
* |
| Carrizo Oil & Gas Inc. |
| 1,461 |
| 25 |
|
* |
| Callon Petroleum Co. |
| 2,643 |
| 23 |
|
* |
| Abraxas Petroleum Corp. |
| 13,684 |
| 22 |
|
* |
| Ultra Petroleum Corp. |
| 15,617 |
| 20 |
|
* |
| HighPoint Resources Corp. |
| 5,824 |
| 19 |
|
* |
| REX American Resources Corp. |
| 262 |
| 18 |
|
* |
| SandRidge Energy Inc. |
| 1,846 |
| 18 |
|
* |
| Extraction Oil & Gas Inc. |
| 2,995 |
| 17 |
|
|
| Marathon Oil Corp. |
| 1,022 |
| 17 |
|
* |
| C&J Energy Services Inc. |
| 983 |
| 17 |
|
* |
| SRC Energy Inc. |
| 2,852 |
| 16 |
|
* |
| Helix Energy Solutions Group Inc. |
| 1,957 |
| 16 |
|
* |
| Solaris Oilfield Infrastructure Inc. Class A |
| 1,185 |
| 16 |
|
* |
| Arcosa Inc. |
| 551 |
| 15 |
|
|
| World Fuel Services Corp. |
| 581 |
| 15 |
|
* |
| Diamond Offshore Drilling Inc. |
| 1,189 |
| 15 |
|
* |
| Matrix Service Co. |
| 724 |
| 15 |
|
|
| CVR Energy Inc. |
| 315 |
| 12 |
|
|
| Occidental Petroleum Corp. |
| 146 |
| 10 |
|
* |
| SunCoke Energy Inc. |
| 1,024 |
| 10 |
|
|
| Noble Energy Inc. |
| 387 |
| 9 |
|
* |
| Exterran Corp. |
| 395 |
| 9 |
|
* |
| Cloud Peak Energy Inc. |
| 8,210 |
| 7 |
|
|
| RPC Inc. |
| 479 |
| 6 |
|
|
| Archrock Inc. |
| 563 |
| 6 |
|
* |
| Newpark Resources Inc. |
| 739 |
| 6 |
|
|
| Apache Corp. |
| 135 |
| 5 |
|
* |
| Talos Energy Inc. |
| 181 |
| 4 |
|
|
|
|
|
|
| 3,769 |
|
Financial Services (26.6%) |
|
|
|
|
| ||
|
| Bank of New York Mellon Corp. |
| 5,253 |
| 270 |
|
|
| Bank of America Corp. |
| 8,721 |
| 248 |
|
|
| Prudential Financial Inc. |
| 2,342 |
| 220 |
|
|
| Capital One Financial Corp. |
| 2,331 |
| 209 |
|
|
| Citigroup Inc. |
| 3,220 |
| 209 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| MetLife Inc. |
| 4,478 |
| 200 |
|
|
| Allstate Corp. |
| 2,110 |
| 188 |
|
|
| Chubb Ltd. |
| 1,368 |
| 183 |
|
|
| SunTrust Banks Inc. |
| 2,884 |
| 181 |
|
|
| JPMorgan Chase & Co. |
| 1,616 |
| 180 |
|
|
| Travelers Cos. Inc. |
| 1,362 |
| 178 |
|
|
| Morgan Stanley |
| 3,959 |
| 176 |
|
|
| BB&T Corp. |
| 3,402 |
| 174 |
|
|
| Goldman Sachs Group Inc. |
| 896 |
| 171 |
|
|
| Wells Fargo & Co. |
| 3,080 |
| 167 |
|
|
| Aflac Inc. |
| 3,626 |
| 166 |
|
|
| US Bancorp |
| 2,930 |
| 160 |
|
|
| American International Group Inc. |
| 3,686 |
| 159 |
|
|
| PNC Financial Services Group Inc. |
| 1,043 |
| 142 |
|
* |
| Brighthouse Financial Inc. |
| 3,375 |
| 136 |
|
|
| State Street Corp. |
| 1,631 |
| 119 |
|
|
| NorthStar Realty Europe Corp. |
| 6,860 |
| 112 |
|
|
| Alleghany Corp. |
| 175 |
| 110 |
|
* |
| OneMain Holdings Inc. |
| 3,600 |
| 105 |
|
|
| American Financial Group Inc. |
| 943 |
| 96 |
|
|
| M&T Bank Corp. |
| 570 |
| 96 |
|
|
| Signature Bank |
| 770 |
| 95 |
|
|
| Assured Guaranty Ltd. |
| 2,161 |
| 88 |
|
|
| Santander Consumer USA Holdings Inc. |
| 4,454 |
| 87 |
|
|
| Franklin Resources Inc. |
| 2,220 |
| 75 |
|
|
| Lincoln National Corp. |
| 1,171 |
| 74 |
|
|
| CNA Financial Corp. |
| 1,566 |
| 73 |
|
|
| Regions Financial Corp. |
| 4,425 |
| 73 |
|
|
| Bank OZK |
| 2,667 |
| 72 |
|
|
| Radian Group Inc. |
| 3,893 |
| 72 |
|
|
| Pinnacle Financial Partners Inc. |
| 1,151 |
| 66 |
|
* |
| MGIC Investment Corp. |
| 5,544 |
| 65 |
|
|
| Ally Financial Inc. |
| 2,406 |
| 64 |
|
|
| Popular Inc. |
| 1,134 |
| 64 |
|
|
| CNO Financial Group Inc. |
| 3,461 |
| 63 |
|
|
| Cadence BanCorp Class A |
| 3,082 |
| 63 |
|
|
| Citizens Financial Group Inc. |
| 1,644 |
| 60 |
|
|
| Oritani Financial Corp. |
| 3,822 |
| 60 |
|
* |
| Cowen Inc. Class A |
| 3,602 |
| 57 |
|
* |
| Athene Holding Ltd. Class A |
| 1,282 |
| 56 |
|
|
| Stifel Financial Corp. |
| 1,139 |
| 55 |
|
|
| Sterling Bancorp |
| 2,810 |
| 54 |
|
|
| Reinsurance Group of America Inc. Class A |
| 363 |
| 54 |
|
|
| RenaissanceRe Holdings Ltd. |
| 404 |
| 54 |
|
|
| Old Republic International Corp. |
| 2,364 |
| 53 |
|
* |
| Essent Group Ltd. |
| 1,343 |
| 52 |
|
|
| IBERIABANK Corp. |
| 692 |
| 52 |
|
|
| BankUnited Inc. |
| 1,491 |
| 51 |
|
|
| FNB Corp. |
| 4,176 |
| 51 |
|
|
| United Bankshares Inc. |
| 1,406 |
| 51 |
|
|
| Jernigan Capital Inc. |
| 2,374 |
| 51 |
|
|
| Cathay General Bancorp |
| 1,276 |
| 50 |
|
|
| Axis Capital Holdings Ltd. |
| 912 |
| 50 |
|
|
| Everest Re Group Ltd. |
| 226 |
| 50 |
|
|
| Voya Financial Inc. |
| 1,092 |
| 49 |
|
|
| iStar Inc. |
| 4,592 |
| 49 |
|
* |
| Arch Capital Group Ltd. |
| 1,701 |
| 49 |
|
|
| Fifth Third Bancorp |
| 1,730 |
| 48 |
|
|
| Navient Corp. |
| 4,188 |
| 48 |
|
|
| OFG Bancorp |
| 2,646 |
| 48 |
|
|
| Loews Corp. |
| 999 |
| 48 |
|
|
| Unum Group |
| 1,282 |
| 46 |
|
|
| KeyCorp |
| 2,502 |
| 46 |
|
|
| Principal Financial Group Inc. |
| 924 |
| 46 |
|
|
| CIT Group Inc. |
| 962 |
| 45 |
|
|
| Janus Henderson Group plc |
| 1,894 |
| 44 |
|
|
| First American Financial Corp. |
| 900 |
| 43 |
|
|
| Legg Mason Inc. |
| 1,501 |
| 43 |
|
|
| People’s United Financial Inc. |
| 2,574 |
| 43 |
|
|
| Hartford Financial Services Group Inc. |
| 976 |
| 43 |
|
|
| Synchrony Financial |
| 1,648 |
| 43 |
|
|
| Assurant Inc. |
| 435 |
| 42 |
|
|
| First BanCorp |
| 4,596 |
| 42 |
|
|
| ConnectOne Bancorp Inc. |
| 2,023 |
| 41 |
|
|
| Hancock Whitney Corp. |
| 1,013 |
| 41 |
|
|
| Invesco Ltd. |
| 1,864 |
| 38 |
|
|
| Medical Properties Trust Inc. |
| 2,192 |
| 38 |
|
|
| Realogy Holdings Corp. |
| 1,958 |
| 38 |
|
* |
| Customers Bancorp Inc. |
| 1,914 |
| 37 |
|
|
| Hilltop Holdings Inc. |
| 1,822 |
| 36 |
|
|
| Jefferies Financial Group Inc. |
| 1,624 |
| 35 |
|
|
| Simmons First National Corp. Class A |
| 1,184 |
| 35 |
|
|
| American National Insurance Co. |
| 270 |
| 34 |
|
|
| New York Community Bancorp Inc. |
| 3,182 |
| 34 |
|
* |
| HomeStreet Inc. |
| 1,253 |
| 33 |
|
|
| First Hawaiian Inc. |
| 1,266 |
| 33 |
|
|
| PacWest Bancorp |
| 818 |
| 33 |
|
* |
| PennyMac Financial Services Inc. |
| 1,592 |
| 33 |
|
|
| HCI Group Inc. |
| 585 |
| 32 |
|
|
| GAIN Capital Holdings Inc. |
| 4,234 |
| 31 |
|
* |
| Ambac Financial Group Inc. |
| 1,735 |
| 30 |
|
|
| Nelnet Inc. Class A |
| 549 |
| 30 |
|
|
| First Horizon National Corp. |
| 1,807 |
| 30 |
|
|
| Piper Jaffray Cos. |
| 415 |
| 30 |
|
|
| Waddell & Reed Financial Inc. Class A |
| 1,452 |
| 30 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Argo Group International Holdings Ltd. |
| 420 |
| 29 |
|
|
| National Western Life Group Inc. Class A |
| 94 |
| 29 |
|
|
| First Interstate BancSystem Inc. Class A |
| 652 |
| 28 |
|
|
| Great Western Bancorp Inc. |
| 757 |
| 28 |
|
|
| Valley National Bancorp |
| 2,588 |
| 28 |
|
|
| Global Net Lease Inc. |
| 1,384 |
| 28 |
|
|
| Heritage Insurance Holdings Inc. |
| 1,730 |
| 28 |
|
|
| Maiden Holdings Ltd. |
| 10,573 |
| 27 |
|
|
| Arlington Asset Investment Corp. Class A |
| 3,114 |
| 27 |
|
|
| American Equity Investment Life Holding Co. |
| 775 |
| 26 |
|
|
| United Insurance Holdings Corp. |
| 1,362 |
| 26 |
|
|
| First Citizens BancShares Inc. Class A |
| 60 |
| 26 |
|
* |
| Third Point Reinsurance Ltd. |
| 2,470 |
| 25 |
|
|
| Huntington Bancshares Inc. |
| 1,740 |
| 25 |
|
* |
| Flagstar Bancorp Inc. |
| 773 |
| 25 |
|
|
| Zions Bancorp NA |
| 512 |
| 25 |
|
|
| Associated Banc-Corp |
| 1,075 |
| 25 |
|
|
| Old National Bancorp |
| 1,315 |
| 25 |
|
|
| Dime Community Bancshares Inc. |
| 1,325 |
| 24 |
|
|
| United Financial Bancorp Inc. |
| 1,476 |
| 24 |
|
|
| Opus Bank |
| 1,086 |
| 23 |
|
|
| Umpqua Holdings Corp. |
| 1,216 |
| 23 |
|
|
| Peapack Gladstone Financial Corp. |
| 810 |
| 23 |
|
|
| Chemical Financial Corp. |
| 484 |
| 23 |
|
* |
| EZCORP Inc. Class A |
| 2,355 |
| 22 |
|
|
| Wintrust Financial Corp. |
| 288 |
| 22 |
|
|
| Midland States Bancorp Inc. |
| 846 |
| 22 |
|
* |
| Bancorp Inc. |
| 2,205 |
| 22 |
|
|
| Washington Federal Inc. |
| 756 |
| 22 |
|
* |
| Encore Capital Group Inc. |
| 773 |
| 22 |
|
|
| Raymond James Financial Inc. |
| 271 |
| 22 |
|
|
| Ameriprise Financial Inc. |
| 161 |
| 21 |
|
|
| Hope Bancorp Inc. |
| 1,374 |
| 21 |
|
|
| First Midwest Bancorp Inc. |
| 878 |
| 21 |
|
* |
| NMI Holdings Inc. Class A |
| 1,055 |
| 21 |
|
|
| Home BancShares Inc. |
| 1,048 |
| 21 |
|
|
| Independent Bank Group Inc. |
| 324 |
| 19 |
|
|
| Affiliated Managers Group Inc. |
| 163 |
| 18 |
|
|
| Columbia Banking System Inc. |
| 443 |
| 18 |
|
|
| Fidelity Southern Corp. |
| 756 |
| 18 |
|
|
| Virtus Investment Partners Inc. |
| 187 |
| 18 |
|
|
| Sabra Health Care REIT Inc. |
| 919 |
| 18 |
|
* |
| MoneyGram International Inc. |
| 8,054 |
| 18 |
|
|
| Willis Towers Watson plc |
| 109 |
| 17 |
|
|
| Park Hotels & Resorts Inc. |
| 535 |
| 16 |
|
|
| Banc of California Inc. |
| 954 |
| 16 |
|
|
| Discover Financial Services |
| 228 |
| 16 |
|
|
| Columbia Property Trust Inc. |
| 705 |
| 15 |
|
|
| Berkshire Hills Bancorp Inc. |
| 430 |
| 15 |
|
|
| Prosperity Bancshares Inc. |
| 206 |
| 14 |
|
|
| Meta Financial Group Inc. |
| 621 |
| 14 |
|
* |
| SLM Corp. |
| 1,377 |
| 14 |
|
|
| Universal Insurance Holdings Inc. |
| 319 |
| 14 |
|
|
| Mercury General Corp. |
| 247 |
| 14 |
|
|
| Towne Bank |
| 477 |
| 14 |
|
|
| Brookline Bancorp Inc. |
| 859 |
| 13 |
|
|
| Virtu Financial Inc. Class A |
| 519 |
| 13 |
|
|
| Synovus Financial Corp. |
| 343 |
| 13 |
|
* |
| Veritex Holdings Inc. |
| 504 |
| 13 |
|
|
| WSFS Financial Corp. |
| 307 |
| 13 |
|
|
| Fidelity National Financial Inc. |
| 381 |
| 13 |
|
* |
| First Data Corp. Class A |
| 665 |
| 13 |
|
* |
| Franklin Financial Network Inc. |
| 376 |
| 13 |
|
|
| Investors Bancorp Inc. |
| 1,011 |
| 12 |
|
|
| BOK Financial Corp. |
| 145 |
| 12 |
|
|
| Omega Healthcare Investors Inc. |
| 311 |
| 12 |
|
|
| Capitol Federal Financial Inc. |
| 836 |
| 12 |
|
|
| Employers Holdings Inc. |
| 261 |
| 12 |
|
|
| TCF Financial Corp. |
| 515 |
| 12 |
|
* |
| First Foundation Inc. |
| 723 |
| 12 |
|
|
| Fulton Financial Corp. |
| 657 |
| 11 |
|
|
| First Bancorp |
| 281 |
| 11 |
|
|
| Northwest Bancshares Inc. |
| 626 |
| 11 |
|
* |
| World Acceptance Corp. |
| 103 |
| 11 |
|
|
| S&T Bancorp Inc. |
| 265 |
| 11 |
|
|
| Provident Financial Services Inc. |
| 436 |
| 11 |
|
|
| Banner Corp. |
| 186 |
| 11 |
|
|
| NBT Bancorp Inc. |
| 286 |
| 11 |
|
|
| WesBanco Inc. |
| 256 |
| 11 |
|
|
| Comerica Inc. |
| 139 |
| 11 |
|
|
| Apple Hospitality REIT Inc. |
| 690 |
| 11 |
|
* |
| TriState Capital Holdings Inc. |
| 436 |
| 11 |
|
|
| Southside Bancshares Inc. |
| 318 |
| 11 |
|
|
| Heartland Financial USA Inc. |
| 198 |
| 11 |
|
|
| Trustmark Corp. |
| 332 |
| 11 |
|
|
| UMB Financial Corp. |
| 156 |
| 11 |
|
|
| James River Group Holdings Ltd. |
| 277 |
| 11 |
|
|
| CorEnergy Infrastructure Trust Inc. |
| 290 |
| 10 |
|
|
| Central Pacific Financial Corp. |
| 374 |
| 10 |
|
|
| LegacyTexas Financial Group Inc. |
| 269 |
| 10 |
|
U.S. Value Factor ETF
|
|
| Market |
| ||
|
|
| Value· |
| ||
|
| Shares | ($000 | ) | ||
| Horace Mann Educators Corp. |
| 258 | 10 |
| |
| Walker & Dunlop Inc. |
| 217 | 10 |
| |
| Univest Corp. of Pennsylvania |
| 400 | 10 |
| |
| First Merchants Corp. |
| 242 | 10 |
| |
| BancorpSouth Bank |
| 329 | 10 |
| |
| First Commonwealth Financial Corp. |
| 714 | 10 |
| |
| First Busey Corp. |
| 345 | 10 |
| |
| International Bancshares Corp. |
| 257 | 10 |
| |
| OceanFirst Financial Corp. |
| 382 | 10 |
| |
| Braemar Hotels & Resorts Inc. |
| 1,029 | 10 |
| |
| Hanover Insurance Group Inc. |
| 85 | 10 |
| |
| TrustCo Bank Corp. NY |
| 1,227 | 10 |
| |
| Sandy Spring Bancorp Inc. |
| 267 | 10 |
| |
| Bryn Mawr Bank Corp. |
| 236 | 9 |
| |
| United Community Banks Inc. |
| 358 | 9 |
| |
| Renasant Corp. |
| 251 | 9 |
| |
| National General Holdings Corp. |
| 343 | 9 |
| |
| South State Corp. |
| 125 | 9 |
| |
* | Enstar Group Ltd. |
| 51 | 9 |
| |
| Lakeland Bancorp Inc. |
| 539 | 9 |
| |
* | Pacific Premier Bancorp Inc. |
| 287 | 9 |
| |
| Boston Private Financial Holdings Inc. |
| 694 | 9 |
| |
| Hanmi Financial Corp. |
| 380 | 8 |
| |
| Torchmark Corp. |
| 88 | 8 |
| |
| CoreCivic Inc. |
| 331 | 7 |
| |
| EPR Properties |
| 93 | 7 |
| |
| Federal Agricultural Mortgage Corp. |
| 80 | 5 |
| |
| Kemper Corp. |
| 64 | 5 |
| |
| United Fire Group Inc. |
| 90 | 5 |
| |
| Safety Insurance Group Inc. |
| 50 | 4 |
| |
* | Seacoast Banking Corp. of Florida |
| 149 | 4 |
| |
| TriCo Bancshares |
| 99 | 4 |
| |
| Seritage Growth Properties Class A |
| 95 | 4 |
| |
| 1st Source Corp. |
| 74 | 4 |
| |
| Enterprise Financial Services Corp. |
| 78 | 3 |
| |
| Houlihan Lokey Inc. Class A |
| 48 |
| 2 |
|
|
|
|
| 9,898 |
| |
Health Care (4.3%) |
|
|
|
| ||
| HCA Healthcare Inc. |
| 1,959 | 282 |
| |
| Cigna Corp. |
| 957 | 214 |
| |
* | Lannett Co. Inc. |
| 14,820 | 87 |
| |
* | United Therapeutics Corp. |
| 693 | 82 |
| |
* | Acadia Healthcare Co. Inc. |
| 2,348 | 80 |
| |
| Patterson Cos. Inc. |
| 3,068 | 78 |
| |
* | Mylan NV |
| 2,133 | 72 |
| |
* | Triple-S Management Corp. Class B |
| 3,240 | 62 |
| |
| Universal Health Services Inc. Class B |
| 432 | 60 |
| |
| National HealthCare Corp. |
| 684 | 57 |
| |
* | MEDNAX Inc. |
| 1,355 | 55 |
| |
| Cardinal Health Inc. |
| 950 | 52 |
| |
* | Mallinckrodt plc |
| 1,949 | 46 |
| |
* | PDL BioPharma Inc. |
| 14,605 | 45 |
| |
* | Premier Inc. Class A |
| 918 | 36 |
| |
* | Innoviva Inc. |
| 1,983 | 36 |
| |
| Anthem Inc. |
| 107 | 31 |
| |
| Allergan plc |
| 188 | 29 |
| |
* | Prestige Consumer Healthcare Inc. |
| 682 | 27 |
| |
| Medtronic plc |
| 260 | 25 |
| |
| Gilead Sciences Inc. |
| 342 | 25 |
| |
| Perrigo Co. plc |
| 341 | 21 |
| |
| Humana Inc. |
| 61 | 20 |
| |
* | Magellan Health Inc. |
| 318 | 17 |
| |
| Owens & Minor Inc. |
| 2,152 | 16 |
| |
* | Assertio Therapeutics Inc. |
| 2,846 | 14 |
| |
* | Select Medical Holdings Corp. |
| 689 | 13 |
| |
* | Laboratory Corp. of America Holdings |
| 46 | 7 |
| |
* | AngioDynamics Inc. |
| 272 | 6 |
| |
| Zimmer Biomet Holdings Inc. |
| 39 | 5 |
| |
| Quest Diagnostics Inc. |
| 51 |
| 5 |
|
|
|
|
| 1,605 |
| |
Materials & Processing (6.5%) |
|
|
|
| ||
| Reliance Steel & Aluminum Co. |
| 1,809 | 146 |
| |
| LyondellBasell Industries NV Class A |
| 1,430 | 133 |
| |
| Huntsman Corp. |
| 4,212 | 85 |
| |
| Mosaic Co. |
| 2,055 | 74 |
| |
* | Summit Materials Inc. Class A |
| 5,028 | 73 |
| |
* | Owens-Illinois Inc. |
| 3,903 | 72 |
| |
| Westrock Co. |
| 1,397 | 66 |
| |
| Schnitzer Steel Industries Inc. |
| 2,215 | 62 |
| |
| Louisiana-Pacific Corp. |
| 2,689 | 61 |
| |
| US Silica Holdings Inc. |
| 4,331 | 61 |
| |
| United States Steel Corp. |
| 2,623 | 60 |
| |
* | US Concrete Inc. |
| 1,534 | 60 |
| |
| Commercial Metals Co. |
| 3,090 | 60 |
| |
* | Alcoa Corp. |
| 1,802 | 57 |
| |
| Worthington Industries Inc. |
| 1,326 | 55 |
| |
* | Clearwater Paper Corp. |
| 1,727 | 53 |
| |
| Quanex Building Products Corp. |
| 3,328 | 53 |
| |
* | Verso Corp. |
| 2,046 | 52 |
| |
* | Armstrong Flooring Inc. |
| 3,240 | 51 |
|
U.S. Value Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
|
| Shares | ($000 | ) | |
| Acuity Brands Inc. |
| 386 | 50 |
| |
| Freeport-McMoRan Inc. |
| 4,038 | 48 |
| |
| Rayonier Advanced Materials Inc. |
| 3,072 | 45 |
| |
| Olin Corp. |
| 1,930 | 42 |
| |
| PH Glatfelter Co. |
| 3,253 | 41 |
| |
* | Cleveland-Cliffs Inc. |
| 4,368 | 41 |
| |
| Owens Corning |
| 756 | 39 |
| |
* | Unifi Inc. |
| 1,348 | 37 |
| |
| Westlake Chemical Corp. |
| 505 | 37 |
| |
| Tronox Ltd. Class A |
| 3,121 | 33 |
| |
| Greif Inc. Class A |
| 634 | 32 |
| |
| Eastman Chemical Co. |
| 406 | 32 |
| |
* | Kraton Corp. |
| 1,214 | 32 |
| |
* | AdvanSix Inc. |
| 1,027 | 29 |
| |
* | BMC Stock Holdings Inc. |
| 1,723 | 29 |
| |
| Carpenter Technology Corp. |
| 678 | 29 |
| |
| Aceto Corp. |
| 17,170 | 28 |
| |
| Stepan Co. |
| 341 | 28 |
| |
| Belden Inc. |
| 461 | 26 |
| |
| Apogee Enterprises Inc. |
| 597 | 22 |
| |
* | Foundation Building Materials Inc. |
| 2,142 | 21 |
| |
| Nucor Corp. |
| 339 | 20 |
| |
| Minerals Technologies Inc. |
| 338 | 19 |
| |
| Olympic Steel Inc. |
| 1,023 | 19 |
| |
* | Platform Specialty Products Corp. |
| 1,505 | 18 |
| |
* | Intrepid Potash Inc. |
| 5,182 | 17 |
| |
| International Paper Co. |
| 372 | 17 |
| |
| Ball Corp. |
| 347 | 17 |
| |
* | Veritiv Corp. |
| 536 | 16 |
| |
| Hecla Mining Co. |
| 6,607 | 16 |
| |
| Steel Dynamics Inc. |
| 433 | 15 |
| |
* | Ryerson Holding Corp. |
| 1,740 | 14 |
| |
| Kronos Worldwide Inc. |
| 1,058 | 13 |
| |
| Caesarstone Ltd. |
| 825 | 13 |
| |
* | Century Aluminum Co. |
| 1,418 | 13 |
| |
| Griffon Corp. |
| 1,018 | 12 |
| |
| Domtar Corp. |
| 279 | 12 |
| |
| Newmont Mining Corp. |
| 360 | 12 |
| |
| FMC Corp. |
| 135 | 11 |
| |
| Kaiser Aluminum Corp. |
| 101 | 10 |
| |
* | TimkenSteel Corp. |
| 845 | 9 |
| |
* | NCI Building Systems Inc. |
| 760 | 9 |
| |
| NN Inc. |
| 1,195 | 9 |
| |
* | GMS Inc. |
| 453 | 9 |
| |
* | Coeur Mining Inc. |
| 2,067 | 8 |
| |
| Trinseo SA |
| 153 | 8 |
| |
| Chemours Co. |
| 265 | 8 |
| |
| Schweitzer-Mauduit International Inc. |
| 256 | 7 |
| |
| Sonoco Products Co. |
| 118 | 7 |
| |
| Innophos Holdings Inc. |
| 104 |
| 3 |
|
|
|
|
| 2,416 |
| |
Other (0.0%) |
|
|
|
| ||
* | Yandex NV Class A |
| 367 | 11 |
| |
|
|
|
|
|
| |
Producer Durables (13.2%) |
|
|
|
| ||
| Delta Air Lines Inc. |
| 5,020 | 305 |
| |
| Johnson Controls International plc |
| 6,477 | 225 |
| |
| FedEx Corp. |
| 870 | 199 |
| |
| Cummins Inc. |
| 1,177 | 178 |
| |
| Eaton Corp. plc |
| 2,257 | 174 |
| |
| Southwest Airlines Co. |
| 2,932 | 160 |
| |
* | MasTec Inc. |
| 3,454 | 156 |
| |
| General Electric Co. |
| 19,130 | 143 |
| |
* | CAI International Inc. |
| 4,751 | 116 |
| |
| RR Donnelley & Sons Co. |
| 17,295 | 109 |
| |
| Ryder System Inc. |
| 1,838 | 104 |
| |
| Copa Holdings SA Class A |
| 1,090 | 93 |
| |
* | WESCO International Inc. |
| 1,674 | 89 |
| |
* | AerCap Holdings NV |
| 1,655 | 88 |
| |
* | United Rentals Inc. |
| 723 | 85 |
| |
* | Darling Ingredients Inc. |
| 3,605 | 79 |
| |
| Air Lease Corp. Class A |
| 1,982 | 77 |
| |
* | United Continental Holdings Inc. |
| 784 | 76 |
| |
| Alaska Air Group Inc. |
| 917 | 67 |
| |
* | JetBlue Airways Corp. |
| 3,244 | 63 |
| |
| Xerox Corp. |
| 2,310 | 62 |
| |
* | Quanta Services Inc. |
| 1,706 | 60 |
| |
* | Spirit Airlines Inc. |
| 908 | 58 |
| |
* | AECOM |
| 1,802 | 58 |
| |
| Norfolk Southern Corp. |
| 330 | 56 |
| |
| Knight-Swift Transportation Holdings Inc. |
| 1,618 | 56 |
| |
| Arconic Inc. |
| 2,558 | 55 |
| |
| AGCO Corp. |
| 918 | 55 |
| |
* | TrueBlue Inc. |
| 2,153 | 54 |
| |
* | Modine Manufacturing Co. |
| 4,029 | 53 |
| |
| ArcBest Corp. |
| 1,226 | 49 |
| |
* | Textainer Group Holdings Ltd. |
| 4,367 | 49 |
| |
| Triton International Ltd. |
| 1,396 | 48 |
| |
| Pentair plc |
| 1,093 | 47 |
| |
* | US Xpress Enterprises Inc. Class A |
| 5,421 | 45 |
| |
| Wabash National Corp. |
| 2,829 | 44 |
| |
| Terex Corp. |
| 1,301 | 43 |
| |
| SkyWest Inc. |
| 743 | 43 |
| |
* | Atlas Air Worldwide Holdings Inc. |
| 784 | 42 |
| |
* | Tutor Perini Corp. |
| 2,229 | 42 |
| |
| Herman Miller Inc. |
| 1,192 | 40 |
| |
* | YRC Worldwide Inc. |
| 7,124 | 40 |
| |
| GATX Corp. |
| 474 | 40 |
| |
| Trinity Industries Inc. |
| 1,653 | 39 |
| |
| ACCO Brands Corp. |
| 4,848 | 39 |
| |
U.S. Value Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
|
| Shares | ($000 | ) | |
| American Airlines Group Inc. |
| 978 | 39 |
| |
| Steelcase Inc. Class A |
| 2,384 | 39 |
| |
| Briggs & Stratton Corp. |
| 2,578 | 38 |
| |
| Kelly Services Inc. Class A |
| 1,584 | 36 |
| |
| Union Pacific Corp. |
| 230 | 35 |
| |
| Hawaiian Holdings Inc. |
| 875 | 35 |
| |
| KBR Inc. |
| 1,835 | 34 |
| |
| Greenbrier Cos. Inc. |
| 674 | 33 |
| |
| Aircastle Ltd. |
| 1,745 | 33 |
| |
| Hyster-Yale Materials Handling Inc. |
| 495 | 32 |
| |
* | Genesee & Wyoming Inc. Class A |
| 384 | 32 |
| |
* | Stericycle Inc. |
| 633 | 30 |
| |
| Ship Finance International Ltd. |
| 2,261 | 29 |
| |
| Schneider National Inc. Class B |
| 1,271 | 28 |
| |
* | Sykes Enterprises Inc. |
| 1,020 | 28 |
| |
* | SPX FLOW Inc. |
| 747 | 28 |
| |
* | Covenant Transportation Group Inc. Class A |
| 1,213 | 28 |
| |
| GasLog Ltd. |
| 1,316 | 27 |
| |
| Quad/Graphics Inc. |
| 1,655 | 27 |
| |
* | Milacron Holdings Corp. |
| 1,854 | 26 |
| |
* | Atkore International Group Inc. |
| 1,266 | 26 |
| |
| Costamare Inc. |
| 4,726 | 25 |
| |
| PACCAR Inc. |
| 392 | 24 |
| |
| Kennametal Inc. |
| 479 | 20 |
| |
| Regal Beloit Corp. |
| 245 | 19 |
| |
* | Manitowoc Co. Inc. |
| 967 | 19 |
| |
| Werner Enterprises Inc. |
| 551 | 19 |
| |
| Allegiant Travel Co. Class A |
| 138 | 19 |
| |
| EnPro Industries Inc. |
| 253 | 18 |
| |
| Teekay Corp. |
| 3,679 | 16 |
| |
| Scorpio Bulkers Inc. |
| 2,628 | 16 |
| |
* | Vectrus Inc. |
| 655 | 16 |
| |
| Deluxe Corp. |
| 308 | 16 |
| |
* | SEACOR Holdings Inc. |
| 356 | 15 |
| |
| Matson Inc. |
| 359 | 14 |
| |
| REV Group Inc. |
| 1,125 | 14 |
| |
| Oshkosh Corp. |
| 166 | 12 |
| |
| AAR Corp. |
| 271 | 12 |
| |
| Triumph Group Inc. |
| 693 | 12 |
| |
| MTS Systems Corp. |
| 212 | 11 |
| |
| Knoll Inc. |
| 532 | 10 |
| |
* | Air Transport Services Group Inc. |
| 544 | 10 |
| |
* | Hub Group Inc. Class A |
| 223 | 10 |
| |
| Primoris Services Corp. |
| 406 | 10 |
| |
| Columbus McKinnon Corp. |
| 278 | 10 |
| |
| Kansas City Southern |
| 93 | 10 |
| |
| Rush Enterprises Inc. Class A |
| 237 | 9 |
| |
| Astec Industries Inc. |
| 239 | 9 |
| |
| Allison Transmission Holdings Inc. |
| 173 | 8 |
| |
| ITT Inc. |
| 136 | 8 |
| |
* | TriMas Corp. |
| 246 | 7 |
| |
| Pitney Bowes Inc. |
| 825 | 7 |
| |
* | HD Supply Holdings Inc. |
| 158 | 6 |
| |
| ICF International Inc. |
| 79 | 6 |
| |
* | Lydall Inc. |
| 244 | 5 |
| |
* | CBIZ Inc. |
| 229 | 5 |
| |
| nVent Electric plc |
| 77 |
| 2 |
|
|
|
|
| 4,915 |
| |
Technology (7.3%) |
|
|
|
| ||
* | Micron Technology Inc. |
| 8,232 | 317 |
| |
| HP Inc. |
| 9,678 | 223 |
| |
| Broadcom Inc. |
| 915 | 217 |
| |
| Intel Corp. |
| 3,635 | 179 |
| |
| Hewlett Packard Enterprise Co. |
| 8,981 | 135 |
| |
| NXP Semiconductors NV |
| 1,078 | 90 |
| |
| Lam Research Corp. |
| 530 | 83 |
| |
* | Dell Technologies Inc. Class V |
| 748 | 79 |
| |
* | Inovalon Holdings Inc. Class A |
| 5,927 | 79 |
| |
| Jabil Inc. |
| 3,141 | 78 |
| |
* | Anixter International Inc. |
| 1,101 | 70 |
| |
* | Tech Data Corp. |
| 655 | 59 |
| |
* | Cirrus Logic Inc. |
| 1,520 | 57 |
| |
* | Applied Optoelectronics Inc. |
| 2,526 | 52 |
| |
* | Amkor Technology Inc. |
| 7,133 | 49 |
| |
* | TTM Technologies Inc. |
| 4,011 | 48 |
| |
| DXC Technology Co. |
| 739 | 47 |
| |
* | CommScope Holding Co. Inc. |
| 2,481 | 45 |
| |
| Corning Inc. |
| 1,293 | 42 |
| |
* | Photronics Inc. |
| 4,067 | 39 |
| |
* | NCR Corp. |
| 1,414 | 39 |
| |
* | Fabrinet |
| 702 | 37 |
| |
* | Unisys Corp. |
| 2,736 | 37 |
| |
* | CACI International Inc. Class A |
| 213 | 35 |
| |
* | FormFactor Inc. |
| 2,124 | 35 |
| |
| Presidio Inc. |
| 2,320 | 33 |
| |
* | Qorvo Inc. |
| 492 | 32 |
| |
* | EchoStar Corp. Class A |
| 707 | 30 |
| |
* | Loral Space & Communications Inc. |
| 686 | 29 |
| |
* | SMART Global Holdings Inc. |
| 847 | 29 |
| |
| KEMET Corp. |
| 1,402 | 29 |
| |
* | Ultra Clean Holdings Inc. |
| 2,450 | 23 |
| |
* | Flex Ltd. |
| 2,600 | 23 |
| |
* | ON Semiconductor Corp. |
| 1,101 | 21 |
| |
U.S. Value Factor ETF
|
|
|
| Market |
| |
|
|
|
| Value· |
| |
|
|
| Shares | ($000 | ) | |
* | MACOM Technology Solutions Holdings Inc. |
| 1,116 | 20 |
| |
| TiVo Corp. |
| 1,975 | 20 |
| |
* | NetScout Systems Inc. |
| 727 | 20 |
| |
* | Synchronoss Technologies Inc. |
| 3,103 | 19 |
| |
* | Axcelis Technologies Inc. |
| 924 | 18 |
| |
| Vishay Intertechnology Inc. |
| 872 | 18 |
| |
* | Ichor Holdings Ltd. |
| 856 | 16 |
| |
* | VMware Inc. Class A |
| 93 | 16 |
| |
| MKS Instruments Inc. |
| 198 | 16 |
| |
| Avnet Inc. |
| 353 | 15 |
| |
| LogMeIn Inc. |
| 144 | 13 |
| |
* | Diodes Inc. |
| 380 | 13 |
| |
| ManTech International Corp. Class A |
| 209 | 12 |
| |
* | ScanSource Inc. |
| 288 | 11 |
| |
* | Sanmina Corp. |
| 399 | 11 |
| |
* | Immersion Corp. |
| 1,034 | 10 |
| |
* | Insight Enterprises Inc. |
| 211 | 9 |
| |
| Cohu Inc. |
| 444 | 9 |
| |
* | Arrow Electronics Inc. |
| 96 | 7 |
| |
| Symantec Corp. |
| 332 | 7 |
| |
| International Business Machines Corp. |
| 47 | 6 |
| |
| Maxar Technologies Ltd. |
| 322 | 5 |
| |
* | Knowles Corp. |
| 273 | 4 |
| |
| Perspecta Inc. |
| 156 | 3 |
| |
| Benchmark Electronics Inc. |
| 125 | 3 |
| |
| Comtech Telecommunications Corp. |
| 52 |
| 1 |
|
|
|
|
| 2,722 |
| |
Utilities (10.0%) |
|
|
|
| ||
| Exelon Corp. |
| 7,123 | 330 |
| |
| AT&T Inc. |
| 8,344 | 261 |
| |
| Duke Energy Corp. |
| 2,924 | 259 |
| |
| Dominion Energy Inc. |
| 2,610 | 194 |
| |
* | PG&E Corp. |
| 6,913 | 182 |
| |
| Verizon Communications Inc. |
| 2,810 | 169 |
| |
| PPL Corp. |
| 5,047 | 154 |
| |
* | T-Mobile US Inc. |
| 2,189 | 150 |
| |
| Southern Co. |
| 3,147 | 149 |
| |
| Spire Inc. |
| 1,645 | 130 |
| |
| Pattern Energy Group Inc. Class A |
| 5,901 | 122 |
| |
| American Electric Power Co. Inc. |
| 1,556 | 121 |
| |
| UGI Corp. |
| 1,784 | 103 |
| |
| Xcel Energy Inc. |
| 1,760 | 92 |
| |
| DTE Energy Co. |
| 712 | 85 |
| |
| WEC Energy Group Inc. |
| 1,126 | 82 |
| |
| Public Service Enterprise Group Inc. |
| 1,352 | 76 |
| |
| Black Hills Corp. |
| 1,101 | 73 |
| |
| Entergy Corp. |
| 764 | 67 |
| |
| AES Corp. |
| 4,150 | 64 |
| |
| Eversource Energy |
| 895 | 61 |
| |
| CenturyLink Inc. |
| 3,124 | 59 |
| |
| Hawaiian Electric Industries Inc. |
| 1,501 | 58 |
| |
| Clearway Energy Inc. |
| 3,107 | 57 |
| |
| Consolidated Edison Inc. |
| 663 | 53 |
| |
| Pinnacle West Capital Corp. |
| 596 | 53 |
| |
| Portland General Electric Co. |
| 1,094 | 53 |
| |
| Edison International |
| 930 | 51 |
| |
| OGE Energy Corp. |
| 1,219 | 48 |
| |
* | Vistra Energy Corp. |
| 1,939 | 46 |
| |
| PNM Resources Inc. |
| 1,014 | 44 |
| |
* | United States Cellular Corp. |
| 703 | 39 |
| |
| Telephone & Data Systems Inc. |
| 1,073 | 38 |
| |
| NorthWestern Corp. |
| 545 | 35 |
| |
| NextEra Energy Inc. |
| 116 | 21 |
| |
| Unitil Corp. |
| 314 | 16 |
| |
| ALLETE Inc. |
| 182 | 15 |
| |
| ATN International Inc. |
| 171 | 14 |
| |
| CenterPoint Energy Inc. |
| 504 | 14 |
| |
| Avangrid Inc. |
| 228 | 12 |
| |
| NiSource Inc. |
| 430 | 11 |
| |
| Ameren Corp. |
| 156 | 11 |
| |
| Atmos Energy Corp. |
| 104 | 10 |
| |
| Southwest Gas Holdings Inc. |
| 113 | 9 |
| |
| Alliant Energy Corp. |
| 180 | 8 |
| |
| ONE Gas Inc. |
| 95 | 8 |
| |
| CMS Energy Corp. |
| 125 | 7 |
| |
| IDACORP Inc. |
| 66 | 6 |
| |
| El Paso Electric Co. |
| 72 | 4 |
| |
* | Cincinnati Bell Inc. |
| 134 |
| 2 |
|
|
|
|
| 3,726 |
| |
Total Common Stocks |
|
| 36,976 |
| ||
Temporary Cash Investment (0.3%)1 |
|
|
|
| ||
Money Market Fund (0.3%) |
|
|
|
| ||
2 | Vanguard Market Liquidity Fund, 2.407% (Cost $110) |
| 1,096 | 109 |
| |
Total Investments (99.8%) |
|
| 37,085 |
|
U.S. Value Factor ETF
| Amount |
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
Other Assets |
|
|
Investment in Vanguard | 2 |
|
Receivables for Accrued Income | 81 |
|
Variation Margin Receivable—Futures Contracts | 1 |
|
Other Assets3 | 7 |
|
Total Other Assets | 91 |
|
Liabilities |
|
|
Payables to Vanguard | (3 | ) |
Total Liabilities | (3 | ) |
Net Assets (100%) |
|
|
Applicable to 500,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 37,173 |
|
Net Asset Value Per Share | $74.35 |
|
At November 30, 2018, net assets consisted of:
| Amount |
|
| ($000 | ) |
Paid-in Capital | 38,871 |
|
Total Distributable Earnings (Loss) | (1,698 | ) |
Net Assets | 37,173 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and -0.1%, respectively, 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 Cash of $6,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
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 |
| December 2018 |
| 1 |
| 138 |
| 5 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Statement of Operations
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
| 459 |
|
Interest2 |
| 3 |
|
Total Income |
| 462 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
| — |
|
Management and Administrative |
| 3 |
|
Marketing and Distribution |
| — |
|
Custodian Fees |
| 5 |
|
Auditing Fees |
| 17 |
|
Shareholders’ Reports |
| 3 |
|
Total Expenses |
| 28 |
|
Net Investment Income |
| 434 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold2 |
| (6 | ) |
Futures Contracts |
| (2 | ) |
Realized Net Gain (Loss) |
| (8 | ) |
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities2 |
| (1,843 | ) |
Futures Contracts |
| 5 |
|
Change in Unrealized Appreciation (Depreciation) |
| (1,838 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (1,412 | ) |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Statement of Changes in Net Assets
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| ($000 | ) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income |
| 434 |
|
Realized Net Gain (Loss) |
| (8 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (1,838 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (1,412 | ) |
Distributions |
|
|
|
Net Investment Income |
| (286 | ) |
Realized Capital Gain |
| — |
|
Total Distributions |
| (286 | ) |
Capital Share Transactions |
|
|
|
Issued |
| 38,871 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| — |
|
Net Increase (Decrease) from Capital Share Transactions |
| 38,871 |
|
Total Increase (Decrease) |
| 37,173 |
|
Net Assets |
|
|
|
Beginning of Period |
| — |
|
End of Period |
| 37,173 |
|
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Financial Highlights
|
| February 13, 20181 to |
|
For a Share Outstanding Throughout the Period |
| November 30, 2018 |
|
Net Asset Value, Beginning of Period |
| $75.00 |
|
Investment Operations |
|
|
|
Net Investment Income2 |
| 1.276 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| (1.295 | ) |
Total from Investment Operations |
| (.019 | ) |
Distributions |
|
|
|
Dividends from Net Investment Income |
| (.631 | ) |
Distributions from Realized Capital Gains |
| — |
|
Total Distributions |
| (.631 | ) |
Net Asset Value, End of Period |
| $74.35 |
|
|
|
|
|
Total Return |
| -0.08% |
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) |
| $37 |
|
Ratio of Total Expenses to Average Net Assets |
| 0.13%3 |
|
Ratio of Net Investment Income to Average Net Assets |
| 2.05%3 |
|
Portfolio Turnover Rate |
| 16% |
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Notes to Financial Statements
Vanguard U.S. Value Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, 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.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Value Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. 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 purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and 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 November 30, 2018, the fund had contributed to Vanguard capital in the amount of $2,000, representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
U.S. Value Factor ETF
The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
| Amount |
|
|
| ($000 | ) |
Undistributed Ordinary Income |
| 148 |
|
Undistributed Long-Term Gains |
| — |
|
Capital Loss Carryforwards (Non-expiring) |
| (3 | ) |
Net Unrealized Gains (Losses) |
| (1,843 | ) |
As of November 30, 2018, 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 |
| 38,928 |
|
Gross Unrealized Appreciation |
| 2,140 |
|
Gross Unrealized Depreciation |
| (3,983 | ) |
Net Unrealized Appreciation (Depreciation) |
| (1,843 | ) |
E. During the period ended November 30, 2018, the fund purchased $42,941,000 of investment securities and sold $4,115,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
|
| February 13, 20181 to |
|
|
| November 30, 2018 |
|
|
| Shares |
|
|
| (000 | ) |
Issued |
| 500 |
|
Issued in Lieu of Cash Distributions |
| — |
|
Redeemed |
| — |
|
Net Increase (Decrease) in Shares Outstanding |
| 500 |
|
1 Inception.
At November 30, 2018, one shareholder was the record or beneficial owner of 35% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Wellington Fund and Shareholders of Vanguard U.S. Liquidity Factor ETF, Vanguard U.S. Minimum Volatility ETF, Vanguard U.S. Momentum Factor ETF, Vanguard U.S. Multifactor ETF, Vanguard U.S. Quality Factor ETF, and Vanguard U.S. Value Factor ETF
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard U.S. Liquidity Factor ETF, Vanguard U.S. Minimum Volatility ETF, Vanguard U.S. Momentum Factor ETF, Vanguard U.S. Multifactor ETF, Vanguard U.S. Quality Factor ETF, and Vanguard U.S. Value Factor ETF (six of the funds constituting Vanguard Wellington Fund, hereafter collectively referred to as the “Funds”) as of November 30, 2018, the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period February 13, 2018 (inception) through November 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of November 30, 2018, and the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for the period February 13, 2018 (inception) through November 30, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 17, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard U.S. Factor ETFs
This information for the period ended November 30, 2018, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the period as follows:
Fund |
| ($000 | ) |
U.S. Liquidity Factor ETF |
| 88 |
|
U.S. Minimum Volatility ETF |
| 99 |
|
U.S. Momentum Factor ETF |
| 90 |
|
U.S. Multifactor ETF |
| 369 |
|
U.S. Quality Factor ETF |
| 73 |
|
U.S. Value Factor ETF |
| 286 |
|
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund |
| Percentage |
|
U.S. Liquidity Factor ETF |
| 100.0% |
|
U.S. Minimum Volatility ETF |
| 57.2 |
|
U.S. Momentum Factor ETF |
| 100.0 |
|
U.S. Multifactor ETF |
| 100.0 |
|
U.S. Quality Factor ETF |
| 96.7 |
|
U.S. Value Factor ETF |
| 93.0 |
|
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Joseph Brennan | Chris D. McIsaac |
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Mortimer J. Buckley | James M. Norris |
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Gregory Davis | Thomas M. Rampulla |
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John James | Karin A. Risi |
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Martha G. King | Anne E. Robinson |
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John T. Marcante | Michael Rollings |
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Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
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.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
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, 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 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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| Q44190 012019 |
Annual Report | November 30, 2018
Vanguard U.S. Multifactor Fund
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See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents |
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A Note From Our CEO | 1 |
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Your Fund’s Performance at a Glance | 2 |
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Advisor’s Report | 3 |
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About Your Fund’s Expenses | 4 |
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Performance Summary | 6 |
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Financial Statements | 8 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
December 18, 2018
Your Fund’s Performance at a Glance
· From its inception on February 15, 2018, through November 30, 2018, Vanguard U.S. Multifactor Fund returned –1.11%. It underperformed its benchmark, the Russell 3000 Index, by more than 3 percentage points.
· The fund seeks to provide long-term capital appreciation by investing in stocks that have relatively strong recent performance, strong fundamentals, and low prices relative to broad U.S. equity market fundamentals as determined by the advisor.
· In terms of relative sector performance, the fund’s holdings in technology were the only positive contributor. Those in financial services and energy were the biggest detractors.
Market Barometer
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| Average Annual Total Returns | ||
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| Periods Ended November 30, 2018 | ||
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| One Year | Three Years | Five Years | |
Stocks |
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Russell 1000 Index (Large-caps) |
| 5.92% | 11.94% | 10.89% | |
Russell 2000 Index (Small-caps) |
| 0.57 | 10.08 | 7.50 | |
Russell 3000 Index (Broad U.S. market) |
| 5.53 | 11.80 | 10.62 | |
FTSE All-World ex US Index (International) |
| -7.98 | 5.59 | 2.17 | |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) |
| -1.34% | 1.33% | 2.03% | |
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) |
| 1.13 | 2.13 | 3.52 | |
FTSE Three-Month U.S. Treasury Bill Index |
| 1.76 | 0.92 | 0.55 | |
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CPI |
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Consumer Price Index |
| 2.18% | 2.02% | 1.58% | |
Advisor’s Report
From its February 15, 2018, inception through November 30, 2018, Vanguard U.S. Multifactor Fund returned –1.11%. It underperformed the 2.33% return of its benchmark, the Russell 3000 Index, by more than 3 percentage points.
The fund seeks to create a portfolio with broad equity exposure and the potential for long-term capital appreciation by investing in stocks with relatively strong recent performance, strong fundamentals, and low prices relative to fundamentals. To promote diversification and to mitigate exposure to less liquid and more volatile stocks, a rules-based screen is applied to the universe of all U.S. large-, mid-, and small-capitalization stocks. We then evaluate the remaining securities based on exposure to momentum, quality, and value factors.
The investment environment
Global stock markets ended in negative territory for the period from February 15, 2018, through November 30, 2018, but U.S. stocks produced solid returns as increasing profits and a strong economy lifted investor sentiment amid concerns about rising interest rates, higher inflation, and trade tensions. Large-cap stocks beat small-caps and growth stocks outpaced value.
Emerging-market stocks were hurt by trade tensions and a rising U.S. dollar. Results in Europe and the Asia-Pacific region also suffered, in part because these areas depend more on emerging markets.
The overall U.S. fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 0.45% for the period. Yields rose and prices mostly declined as investors remained concerned about the threat of inflation and the possibility that the Federal Reserve would more aggressively raise rates.
The Fed raised rates in March, June, and September. It did so again in December, after the period covered in this report, and signaled that more rate hikes might come in 2019.
The fund’s successes and shortfalls
Exposure to small-cap stocks dampened returns for the U.S. Multifactor Fund. Quality and momentum factors made the largest contributions, while value detracted. Technology was the only positive sector on a relative basis. Holdings in financial services and energy retreated the most.
We expect our approach to portfolio construction to produce long-term capital appreciation that reflects the factors emphasized by the fund. Results will vary over different periods across the different factors. However, we believe that focusing on the risk-adjusted returns of the portfolio relative to its targeted factors and the benchmark will serve investors well over time.
We thank you for your investment and look forward to serving you in the period ahead.
Antonio Picca, Senior Portfolio Manager, Head of Factor-Based Strategies
Vanguard Quantitative Equity Group
December 21, 2018
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended November 30, 2018
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| Beginning |
| Ending |
| Expenses |
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| Account Value |
| Account Value |
| Paid During |
U.S. Multifactor Fund |
| 5/31/2018 |
| 11/30/2018 |
| Period |
Based on Actual Fund Return |
| $1,000.00 |
| $957.51 |
| $0.88 |
Based on Hypothetical 5% Yearly Return |
| 1,000.00 |
| 1,024.17 |
| 0.91 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for the period is 0.18%. 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 (183/365).
U.S. Multifactor Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 15, 2018, Through November 30, 2018
Initial Investment of $50,000
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| Total Returns |
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| Period Ended November 30, 2018 |
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| Since |
| Final Value |
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| Inception |
| of a $50,000 |
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| Investment |
U.S. Multifactor Fund Admiral™ Shares |
| -1.11% |
| $49,446 |
Russell 3000 Index |
| 2.33 |
| 51,163 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative benchmark.
Total Returns: Period Ended September 30, 2018
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
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| Inception Date |
| Since Inception |
Admiral Shares |
| 2/15/2018 |
| 7.52% |
See Financial Highlights for dividend and capital gains information.
U.S. Multifactor Fund
Sector Diversification
As of November 30, 2018
Consumer Discretionary |
| 23.3% |
Consumer Staples |
| 3.9 |
Energy |
| 11.6 |
Financial Services |
| 22.9 |
Health Care |
| 9.9 |
Materials & Processing |
| 2.8 |
Producer Durables |
| 10.9 |
Technology |
| 10.6 |
Utilities |
| 4.1 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS classification as of the effective reporting period.
U.S. Multifactor Fund
Financial Statements
Statement of Net Assets
As of November 30, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
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| Market |
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| Value· |
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| Shares |
| ($000) |
Common Stocks (98.1%)1
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Consumer Discretionary (22.9%) |
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| Target Corp. |
| 5,688 |
| 404 |
| Ross Stores Inc. |
| 4,211 |
| 369 |
| TJX Cos. Inc. |
| 6,862 |
| 335 |
| Walmart Inc. |
| 3,169 |
| 309 |
| NIKE Inc. Class B |
| 3,737 |
| 281 |
| Walt Disney Co. |
| 2,284 |
| 264 |
| Costco Wholesale Corp. |
| 983 |
| 227 |
| Dollar General Corp. |
| 1,469 |
| 163 |
| Darden Restaurants Inc. |
| 1,459 |
| 161 |
| Hyatt Hotels Corp. Class A |
| 2,219 |
| 158 |
| Brinker International Inc. |
| 2,845 |
| 145 |
| Advance Auto Parts Inc. |
| 782 |
| 139 |
| Kohl’s Corp. |
| 2,058 |
| 138 |
* | Lululemon Athletica Inc. |
| 1,042 |
| 138 |
| Gap Inc. |
| 4,720 |
| 129 |
* | Vera Bradley Inc. |
| 11,038 |
| 122 |
| Oxford Industries Inc. |
| 1,512 |
| 122 |
| World Wrestling Entertainment Inc. Class A |
| 1,635 |
| 121 |
| Tower International Inc. |
| 4,292 |
| 121 |
* | Deckers Outdoor Corp. |
| 891 |
| 119 |
* | Helen of Troy Ltd. |
| 821 |
| 117 |
| Marcus Corp. |
| 2,712 |
| 115 |
| Lowe’s Cos. Inc. |
| 1,184 |
| 112 |
* | Stoneridge Inc. |
| 4,093 |
| 109 |
| Dillard’s Inc. Class A |
| 1,541 |
| 107 |
| Buckle Inc. |
| 5,596 |
| 107 |
| Carnival Corp. |
| 1,759 |
| 106 |
* | Regis Corp. |
| 5,708 |
| 104 |
* | G-III Apparel Group Ltd. |
| 2,565 |
| 103 |
* | Sally Beauty Holdings Inc. |
| 4,616 |
| 97 |
* | Ulta Beauty Inc. |
| 324 |
| 96 |
| La-Z-Boy Inc. |
| 3,296 |
| 96 |
| Cato Corp. Class A |
| 5,969 |
| 90 |
| PVH Corp. |
| 811 |
| 90 |
| Tailored Brands Inc. |
| 3,796 |
| 87 |
| HealthStream Inc. |
| 2,901 |
| 71 |
| International Speedway Corp. Class A |
| 1,633 |
| 69 |
| Tractor Supply Co. |
| 723 |
| 69 |
| Ralph Lauren Corp. Class A |
| 617 |
| 69 |
* | Cooper-Standard Holdings Inc. |
| 931 |
| 68 |
| National Presto Industries Inc. |
| 507 |
| 65 |
| Acushnet Holdings Corp. |
| 2,804 |
| 64 |
| Lear Corp. |
| 453 |
| 62 |
| Nordstrom Inc. |
| 1,159 |
| 61 |
* | Chuy’s Holdings Inc. |
| 2,794 |
| 60 |
| Cracker Barrel Old Country Store Inc. |
| 313 |
| 57 |
| Johnson Outdoors Inc. Class A |
| 784 |
| 56 |
| Chico’s FAS Inc. |
| 10,228 |
| 55 |
| Standard Motor Products Inc. |
| 1,037 |
| 55 |
* | Adtalem Global Education Inc. |
| 940 |
| 54 |
| Texas Roadhouse Inc. Class A |
| 741 |
| 49 |
| Autoliv Inc. |
| 548 |
| 47 |
| Citi Trends Inc. |
| 2,240 |
| 46 |
* | Zumiez Inc. |
| 2,186 |
| 43 |
| DSW Inc. Class A |
| 1,545 |
| 43 |
| American Eagle Outfitters Inc. |
| 2,013 |
| 42 |
| Ruth’s Hospitality Group Inc. |
| 1,665 |
| 41 |
| Williams-Sonoma Inc. |
| 708 |
| 40 |
| Caleres Inc. |
| 1,317 |
| 40 |
| Gannett Co. Inc. |
| 3,729 |
| 39 |
* | Discovery Communications Inc. Class A |
| 1,194 |
| 37 |
| Viacom Inc. Class B |
| 1,176 |
| 36 |
* | AutoZone Inc. |
| 43 |
| 35 |
| Aaron’s Inc. |
| 736 |
| 34 |
| AMC Entertainment Holdings Inc. Class A |
| 2,475 |
| 34 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
* | MSG Networks Inc. |
| 1,235 |
| 33 |
| Best Buy Co. Inc. |
| 511 |
| 33 |
* | Urban Outfitters Inc. |
| 854 |
| 33 |
| Dick’s Sporting Goods Inc. |
| 855 |
| 31 |
| Macy’s Inc. |
| 862 |
| 29 |
| New Media Investment Group Inc. |
| 2,212 |
| 29 |
| Gentex Corp. |
| 1,277 |
| 29 |
| Tilly’s Inc. Class A |
| 2,396 |
| 28 |
* | AutoNation Inc. |
| 720 |
| 27 |
| Children’s Place Inc. |
| 205 |
| 27 |
| Scholastic Corp. |
| 567 |
| 26 |
| BJ’s Restaurants Inc. |
| 482 |
| 26 |
| John Wiley & Sons Inc. Class A |
| 466 |
| 26 |
* | Genesco Inc. |
| 612 |
| 26 |
| Cinemark Holdings Inc. |
| 654 |
| 25 |
| National CineMedia Inc. |
| 3,622 |
| 25 |
| Travelport Worldwide Ltd. |
| 1,613 |
| 25 |
* | Burlington Stores Inc. |
| 146 |
| 24 |
| GameStop Corp. Class A |
| 1,672 |
| 23 |
* | Crocs Inc. |
| 784 |
| 22 |
* | Etsy Inc. |
| 385 |
| 21 |
* | Boot Barn Holdings Inc. |
| 887 |
| 20 |
| Thor Industries Inc. |
| 296 |
| 20 |
* | Habit Restaurants Inc. Class A |
| 1,541 |
| 19 |
* | Red Robin Gourmet Burgers Inc. |
| 528 |
| 18 |
* | 1-800-Flowers.com Inc. Class A |
| 1,417 |
| 18 |
| Columbia Sportswear Co. |
| 183 |
| 17 |
| Haverty Furniture Cos. Inc. |
| 805 |
| 16 |
* | America’s Car-Mart Inc. |
| 220 |
| 16 |
* | K12 Inc. |
| 663 |
| 16 |
* | Gray Television Inc. |
| 838 |
| 15 |
* | ZAGG Inc. |
| 1,512 |
| 15 |
| Omnicom Group Inc. |
| 190 |
| 15 |
| Big Lots Inc. |
| 333 |
| 14 |
| Tiffany & Co. |
| 156 |
| 14 |
| Movado Group Inc. |
| 357 |
| 13 |
* | Cavco Industries Inc. |
| 78 |
| 13 |
| Garmin Ltd. |
| 192 |
| 13 |
| Shutterstock Inc. |
| 328 |
| 13 |
* | Monarch Casino & Resort Inc. |
| 295 |
| 12 |
| Cable One Inc. |
| 13 |
| 12 |
| Hooker Furniture Corp. |
| 379 |
| 11 |
| Wolverine World Wide Inc. |
| 327 |
| 11 |
| Sonic Automotive Inc. Class A |
| 704 |
| 11 |
* | Sportsman’s Warehouse Holdings Inc. |
| 2,441 |
| 11 |
* | MarineMax Inc. |
| 517 |
| 11 |
* | Liberty Expedia Holdings Inc. Class A |
| 255 |
| 11 |
* | Potbelly Corp. |
| 1,047 |
| 11 |
| Tenneco Inc. Class A |
| 304 |
| 10 |
* | Laureate Education Inc. Class A |
| 688 |
| 10 |
| Steven Madden Ltd. |
| 312 |
| 10 |
* | Ollie’s Bargain Outlet Holdings Inc. |
| 111 |
| 10 |
* | Fiesta Restaurant Group Inc. |
| 501 |
| 9 |
* | Five Below Inc. |
| 89 |
| 9 |
| Inter Parfums Inc. |
| 150 |
| 9 |
| Monro Inc. |
| 106 |
| 9 |
| Ethan Allen Interiors Inc. |
| 410 |
| 8 |
| Guess? Inc. |
| 338 |
| 8 |
* | Murphy USA Inc. |
| 93 |
| 8 |
| Sinclair Broadcast Group Inc. Class A |
| 233 |
| 7 |
| Expedia Group Inc. |
| 59 |
| 7 |
* | Malibu Boats Inc. Class A |
| 146 |
| 7 |
* | Meritor Inc. |
| 427 |
| 7 |
| Wingstop Inc. |
| 107 |
| 7 |
* | American Public Education Inc. |
| 217 |
| 7 |
* | Rosetta Stone Inc. |
| 398 |
| 7 |
* | MasterCraft Boat Holdings Inc. |
| 256 |
| 7 |
|
|
|
|
| 8,152 |
Consumer Staples (3.8%) |
|
|
|
| |
| Walgreens Boots Alliance Inc. |
| 3,747 |
| 317 |
| Weis Markets Inc. |
| 2,768 |
| 127 |
* | USANA Health Sciences Inc. |
| 1,035 |
| 127 |
| Lancaster Colony Corp. |
| 621 |
| 112 |
| Nu Skin Enterprises Inc. Class A |
| 1,482 |
| 98 |
| John B Sanfilippo & Son Inc. |
| 1,502 |
| 93 |
* | Freshpet Inc. |
| 2,165 |
| 71 |
| Flowers Foods Inc. |
| 2,760 |
| 55 |
| Medifast Inc. |
| 324 |
| 48 |
* | US Foods Holding Corp. |
| 1,197 |
| 40 |
| Ingredion Inc. |
| 343 |
| 36 |
| Calavo Growers Inc. |
| 363 |
| 36 |
* | Boston Beer Co. Inc. Class A |
| 126 |
| 35 |
| Kroger Co. |
| 1,155 |
| 34 |
| Cal-Maine Foods Inc. |
| 724 |
| 34 |
| Ingles Markets Inc. Class A |
| 842 |
| 24 |
| Core-Mark Holding Co. Inc. |
| 896 |
| 23 |
* | United Natural Foods Inc. |
| 696 |
| 15 |
| Casey’s General Stores Inc. |
| 102 |
| 13 |
| Energizer Holdings Inc. |
| 281 |
| 13 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
* | Performance Food Group Co. |
| 355 |
| 12 |
* | Chefs’ Warehouse Inc. |
| 193 |
| 7 |
|
|
|
|
| 1,370 |
Energy (11.4%) |
|
|
|
| |
| Chevron Corp. |
| 3,672 |
| 437 |
| Phillips 66 |
| 4,275 |
| 400 |
| ConocoPhillips |
| 5,390 |
| 357 |
| EOG Resources Inc. |
| 2,871 |
| 297 |
| Occidental Petroleum Corp. |
| 3,704 |
| 260 |
| Exxon Mobil Corp. |
| 3,143 |
| 250 |
| Anadarko Petroleum Corp. |
| 3,047 |
| 161 |
* | Renewable Energy Group Inc. |
| 5,945 |
| 160 |
| Murphy Oil Corp. |
| 4,927 |
| 157 |
| Pioneer Natural Resources Co. |
| 758 |
| 112 |
| Helmerich & Payne Inc. |
| 1,774 |
| 107 |
* | ProPetro Holding Corp. |
| 5,981 |
| 97 |
| Mammoth Energy Services Inc. |
| 3,837 |
| 97 |
* | Carrizo Oil & Gas Inc. |
| 5,573 |
| 95 |
| SM Energy Co. |
| 4,527 |
| 92 |
| Marathon Petroleum Corp. |
| 1,403 |
| 91 |
* | Diamond Offshore Drilling Inc. |
| 7,104 |
| 90 |
| Arch Coal Inc. Class A |
| 1,049 |
| 85 |
* | Matrix Service Co. |
| 3,875 |
| 79 |
* | WPX Energy Inc. |
| 5,342 |
| 75 |
* | SRC Energy Inc. |
| 11,004 |
| 63 |
| Warrior Met Coal Inc. |
| 2,499 |
| 59 |
| HollyFrontier Corp. |
| 857 |
| 54 |
* | Continental Resources Inc. |
| 1,106 |
| 51 |
| PBF Energy Inc. Class A |
| 1,303 |
| 50 |
| Marathon Oil Corp. |
| 2,875 |
| 48 |
| Peabody Energy Corp. |
| 1,532 |
| 48 |
| Delek US Holdings Inc. |
| 858 |
| 34 |
* | Whiting Petroleum Corp. |
| 873 |
| 26 |
| Noble Energy Inc. |
| 965 |
| 23 |
* | Parsley Energy Inc. Class A |
| 962 |
| 19 |
* | W&T Offshore Inc. |
| 2,669 |
| 16 |
* | Unit Corp. |
| 618 |
| 13 |
| World Fuel Services Corp. |
| 382 |
| 10 |
| Diamondback Energy Inc. |
| 78 |
| 9 |
* | Helix Energy Solutions Group Inc. |
| 927 |
| 8 |
| Baker Hughes a GE Co. Class A |
| 302 |
| 7 |
* | REX American Resources Corp. |
| 99 |
| 7 |
| Cimarex Energy Co. |
| 79 |
| 6 |
* | Oasis Petroleum Inc. |
| 863 |
| 6 |
|
|
|
|
| 4,056 |
Financial Services (22.5%) |
|
|
|
| |
| Bank of America Corp. |
| 13,143 |
| 373 |
| JPMorgan Chase & Co. |
| 3,160 |
| 351 |
| SunTrust Banks Inc. |
| 5,476 |
| 343 |
| Aflac Inc. |
| 5,760 |
| 263 |
| Visa Inc. Class A |
| 1,850 |
| 262 |
| Allstate Corp. |
| 2,604 |
| 232 |
| Wells Fargo & Co. |
| 4,240 |
| 230 |
| US Bancorp |
| 3,616 |
| 197 |
| Mastercard Inc. Class A |
| 797 |
| 160 |
| Medical Properties Trust Inc. |
| 8,869 |
| 153 |
| Universal Insurance Holdings Inc. |
| 3,174 |
| 139 |
| Prosperity Bancshares Inc. |
| 1,908 |
| 132 |
| Primerica Inc. |
| 958 |
| 114 |
| Janus Henderson Group plc |
| 4,816 |
| 113 |
| Bank of New York Mellon Corp. |
| 2,095 |
| 107 |
| First BanCorp |
| 11,841 |
| 107 |
| First Interstate BancSystem Inc. Class A |
| 2,439 |
| 106 |
| BB&T Corp. |
| 2,051 |
| 105 |
| PNC Financial Services Group Inc. |
| 770 |
| 105 |
| American Express Co. |
| 931 |
| 105 |
| Walker & Dunlop Inc. |
| 2,182 |
| 103 |
| Hanover Insurance Group Inc. |
| 879 |
| 101 |
| Progressive Corp. |
| 1,480 |
| 98 |
| Zions Bancorp NA |
| 1,947 |
| 95 |
| CIT Group Inc. |
| 2,030 |
| 94 |
| NBT Bancorp Inc. |
| 2,400 |
| 94 |
| Northwest Bancshares Inc. |
| 5,120 |
| 92 |
| National General Holdings Corp. |
| 3,442 |
| 91 |
| American National Insurance Co. |
| 713 |
| 91 |
| CorEnergy Infrastructure Trust Inc. |
| 2,482 |
| 90 |
| M&T Bank Corp. |
| 510 |
| 86 |
| Brown & Brown Inc. |
| 2,964 |
| 86 |
| LegacyTexas Financial Group Inc. |
| 2,184 |
| 85 |
* | HomeStreet Inc. |
| 3,152 |
| 84 |
| Central Pacific Financial Corp. |
| 2,890 |
| 81 |
| Fidelity Southern Corp. |
| 3,383 |
| 80 |
| Synchrony Financial |
| 3,064 |
| 80 |
* | Customers Bancorp Inc. |
| 3,924 |
| 77 |
| Synovus Financial Corp. |
| 2,011 |
| 76 |
| East West Bancorp Inc. |
| 1,408 |
| 76 |
| Discover Financial Services |
| 1,055 |
| 75 |
| MetLife Inc. |
| 1,631 |
| 73 |
| Great Western Bancorp Inc. |
| 1,910 |
| 71 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
| BOK Financial Corp. |
| 830 |
| 70 |
| International Bancshares Corp. |
| 1,814 |
| 70 |
| BancorpSouth Bank |
| 2,252 |
| 69 |
| Hanmi Financial Corp. |
| 3,040 |
| 68 |
| Trustmark Corp. |
| 2,035 |
| 66 |
| Independent Bank Group Inc. |
| 1,146 |
| 66 |
| Enterprise Financial Services Corp. |
| 1,451 |
| 65 |
| Commerce Bancshares Inc. |
| 960 |
| 60 |
| FirstCash Inc. |
| 658 |
| 59 |
| Cullen/Frost Bankers Inc. |
| 577 |
| 58 |
* | TriState Capital Holdings Inc. |
| 2,213 |
| 56 |
* | Axos Financial Inc. |
| 1,762 |
| 55 |
| City Holding Co. |
| 714 |
| 55 |
| Cadence BanCorp Class A |
| 2,571 |
| 53 |
| Umpqua Holdings Corp. |
| 2,696 |
| 52 |
| S&T Bancorp Inc. |
| 1,210 |
| 51 |
| Ally Financial Inc. |
| 1,907 |
| 51 |
| WesBanco Inc. |
| 1,138 |
| 49 |
* | Eagle Bancorp Inc. |
| 829 |
| 48 |
| Northern Trust Corp. |
| 449 |
| 45 |
| KeyCorp |
| 2,292 |
| 42 |
| WR Berkley Corp. |
| 529 |
| 42 |
| Torchmark Corp. |
| 472 |
| 41 |
| BancFirst Corp. |
| 696 |
| 39 |
| Reinsurance Group of America Inc. Class A |
| 241 |
| 36 |
| T. Rowe Price Group Inc. |
| 348 |
| 35 |
| Washington Federal Inc. |
| 1,157 |
| 33 |
| CNA Financial Corp. |
| 699 |
| 33 |
| Regions Financial Corp. |
| 1,977 |
| 33 |
| Fifth Third Bancorp |
| 1,132 |
| 32 |
| Ameriprise Financial Inc. |
| 241 |
| 31 |
| TCF Financial Corp. |
| 1,382 |
| 31 |
| Principal Financial Group Inc. |
| 628 |
| 31 |
| Lincoln National Corp. |
| 490 |
| 31 |
| Comerica Inc. |
| 385 |
| 30 |
| Federal Agricultural Mortgage Corp. |
| 461 |
| 30 |
| Invesco Ltd. |
| 1,476 |
| 30 |
| Citizens Financial Group Inc. |
| 825 |
| 30 |
| BankUnited Inc. |
| 865 |
| 30 |
| First Citizens BancShares Inc. Class A |
| 64 |
| 27 |
| Huntington Bancshares Inc. |
| 1,838 |
| 27 |
| LPL Financial Holdings Inc. |
| 401 |
| 26 |
| UMB Financial Corp. |
| 339 |
| 23 |
* | Western Alliance Bancorp |
| 474 |
| 22 |
| Affiliated Managers Group Inc. |
| 199 |
| 22 |
| Wintrust Financial Corp. |
| 279 |
| 22 |
| E*TRADE Financial Corp. |
| 344 |
| 18 |
| Bank of NT Butterfield & Son Ltd. |
| 430 |
| 17 |
| Bank of Hawaii Corp. |
| 207 |
| 16 |
| Cathay General Bancorp |
| 410 |
| 16 |
| Chemical Financial Corp. |
| 342 |
| 16 |
| Peapack Gladstone Financial Corp. |
| 522 |
| 15 |
| Fulton Financial Corp. |
| 810 |
| 14 |
| Loews Corp. |
| 292 |
| 14 |
| ConnectOne Bancorp Inc. |
| 692 |
| 14 |
| Preferred Bank |
| 270 |
| 14 |
| Unum Group |
| 353 |
| 13 |
| Raymond James Financial Inc. |
| 157 |
| 12 |
| Morningstar Inc. |
| 103 |
| 12 |
| Hope Bancorp Inc. |
| 775 |
| 12 |
| Nelnet Inc. Class A |
| 210 |
| 11 |
* | Ambac Financial Group Inc. |
| 584 |
| 10 |
| Waddell & Reed Financial Inc. Class A |
| 501 |
| 10 |
| FNB Corp. |
| 831 |
| 10 |
| National Western Life Group Inc. Class A |
| 32 |
| 10 |
| Kinsale Capital Group Inc. |
| 156 |
| 10 |
| Provident Financial Services Inc. |
| 346 |
| 9 |
| TrustCo Bank Corp. NY |
| 1,111 |
| 9 |
| 1st Source Corp. |
| 181 |
| 9 |
| EVERTEC Inc. |
| 291 |
| 8 |
| First Bancorp |
| 194 |
| 8 |
* | First Data Corp. Class A |
| 385 |
| 7 |
| Heartland Financial USA Inc. |
| 133 |
| 7 |
| Independent Bank Corp. |
| 89 |
| 7 |
| Lakeland Financial Corp. |
| 154 |
| 7 |
| Lakeland Bancorp Inc. |
| 429 |
| 7 |
| Park National Corp. |
| 70 |
| 7 |
|
|
|
|
| 8,000 |
Health Care (9.7%) |
|
|
|
| |
| HCA Healthcare Inc. |
| 2,466 |
| 355 |
| Allergan plc |
| 1,714 |
| 268 |
| Medtronic plc |
| 2,692 |
| 263 |
| Merck & Co. Inc. |
| 2,963 |
| 235 |
| Pfizer Inc. |
| 4,265 |
| 197 |
* | Medpace Holdings Inc. |
| 2,697 |
| 167 |
| Cigna Corp. |
| 713 |
| 159 |
| US Physical Therapy Inc. |
| 1,141 |
| 136 |
| Universal Health Services Inc. Class B |
| 843 |
| 116 |
| UnitedHealth Group Inc. |
| 397 |
| 112 |
* | Haemonetics Corp. |
| 991 |
| 106 |
* | Biogen Inc. |
| 296 |
| 99 |
* | ICU Medical Inc. |
| 360 |
| 87 |
* | HealthEquity Inc. |
| 826 |
| 73 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
* | Triple-S Management Corp. Class B |
| 3,763 |
| 72 |
* | Jazz Pharmaceuticals plc |
| 460 |
| 70 |
* | Centene Corp. |
| 457 |
| 65 |
* | NextGen Healthcare Inc. |
| 3,686 |
| 65 |
* | Intuitive Surgical Inc. |
| 118 |
| 63 |
* | Veeva Systems Inc. Class A |
| 634 |
| 61 |
| CONMED Corp. |
| 615 |
| 42 |
| Encompass Health Corp. |
| 499 |
| 37 |
* | Inogen Inc. |
| 234 |
| 34 |
* | Laboratory Corp. of America Holdings |
| 228 |
| 33 |
* | American Renal Associates Holdings Inc. |
| 1,961 |
| 32 |
* | LivaNova plc |
| 285 |
| 29 |
* | AngioDynamics Inc. |
| 1,235 |
| 27 |
* | Surmodics Inc. |
| 422 |
| 26 |
| National HealthCare Corp. |
| 299 |
| 25 |
| Ensign Group Inc. |
| 547 |
| 25 |
| STERIS plc |
| 190 |
| 23 |
* | Globus Medical Inc. |
| 466 |
| 22 |
* | Amedisys Inc. |
| 163 |
| 22 |
* | United Therapeutics Corp. |
| 183 |
| 22 |
* | Henry Schein Inc. |
| 240 |
| 21 |
| Patterson Cos. Inc. |
| 827 |
| 21 |
* | Premier Inc. Class A |
| 512 |
| 20 |
* | Integer Holdings Corp. |
| 184 |
| 16 |
| Luminex Corp. |
| 540 |
| 16 |
* | Mallinckrodt plc |
| 633 |
| 15 |
| West Pharmaceutical Services Inc. |
| 137 |
| 15 |
* | Emergent BioSolutions Inc. |
| 201 |
| 15 |
* | Genomic Health Inc. |
| 164 |
| 13 |
* | Avanos Medical Inc. |
| 262 |
| 12 |
* | HMS Holdings Corp. |
| 336 |
| 12 |
* | Glaukos Corp. |
| 178 |
| 12 |
* | NuVasive Inc. |
| 179 |
| 11 |
* | Align Technology Inc. |
| 46 |
| 11 |
* | Tabula Rasa HealthCare Inc. |
| 137 |
| 10 |
* | AMN Healthcare Services Inc. |
| 144 |
| 9 |
| Hill-Rom Holdings Inc. |
| 81 |
| 8 |
| Atrion Corp. |
| 10 |
| 8 |
* | Omnicell Inc. |
| 99 |
| 8 |
* | AtriCure Inc. |
| 221 |
| 7 |
| Zimmer Biomet Holdings Inc. |
| 62 |
| 7 |
* | Cerner Corp. |
| 123 |
| 7 |
|
|
|
|
| 3,442 |
Materials & Processing (2.8%) |
|
|
|
| |
| Sonoco Products Co. |
| 2,797 |
| 161 |
| Apogee Enterprises Inc. |
| 2,633 |
| 96 |
| Carpenter Technology Corp. |
| 2,150 |
| 93 |
| Greif Inc. Class A |
| 1,650 |
| 85 |
| Universal Forest Products Inc. |
| 2,992 |
| 83 |
| Insteel Industries Inc. |
| 2,402 |
| 66 |
* | NCI Building Systems Inc. |
| 4,751 |
| 54 |
| Westrock Co. |
| 1,130 |
| 53 |
| Commercial Metals Co. |
| 2,082 |
| 40 |
| Mosaic Co. |
| 897 |
| 32 |
| Louisiana-Pacific Corp. |
| 1,377 |
| 31 |
| Westlake Chemical Corp. |
| 353 |
| 26 |
| Boise Cascade Co. |
| 954 |
| 25 |
| Materion Corp. |
| 461 |
| 24 |
| Simpson Manufacturing Co. Inc. |
| 374 |
| 22 |
* | BMC Stock Holdings Inc. |
| 844 |
| 14 |
| Reliance Steel & Aluminum Co. |
| 168 |
| 14 |
| Domtar Corp. |
| 241 |
| 11 |
| Comfort Systems USA Inc. |
| 191 |
| 10 |
* | Continental Building Products Inc. |
| 351 |
| 10 |
| Cabot Microelectronics Corp. |
| 84 |
| 9 |
* | RBC Bearings Inc. |
| 49 |
| 8 |
| Stepan Co. |
| 88 |
| 7 |
* | Cleveland-Cliffs Inc. |
| 700 |
| 6 |
|
|
|
|
| 980 |
Producer Durables (10.7%) |
|
|
|
| |
| Delta Air Lines Inc. |
| 7,403 |
| 449 |
| Eaton Corp. plc |
| 2,565 |
| 197 |
| Textron Inc. |
| 3,033 |
| 170 |
| Emerson Electric Co. |
| 2,203 |
| 149 |
* | HD Supply Holdings Inc. |
| 3,441 |
| 137 |
* | FTI Consulting Inc. |
| 1,785 |
| 125 |
| MSC Industrial Direct Co. Inc. Class A |
| 1,248 |
| 111 |
| Greenbrier Cos. Inc. |
| 2,238 |
| 110 |
| Johnson Controls International plc |
| 3,141 |
| 109 |
| ICF International Inc. |
| 1,411 |
| 99 |
| Raytheon Co. |
| 544 |
| 95 |
| Systemax Inc. |
| 3,349 |
| 93 |
| Snap-on Inc. |
| 561 |
| 93 |
* | Teledyne Technologies Inc. |
| 396 |
| 89 |
| Kaman Corp. |
| 1,454 |
| 83 |
| Huntington Ingalls Industries Inc. |
| 380 |
| 82 |
* | Zebra Technologies Corp. |
| 443 |
| 80 |
| Korn/Ferry International |
| 1,599 |
| 78 |
* | TrueBlue Inc. |
| 3,087 |
| 78 |
* | JetBlue Airways Corp. |
| 3,981 |
| 78 |
| Astec Industries Inc. |
| 2,166 |
| 77 |
| Schneider National Inc. Class B |
| 3,374 |
| 75 |
| IDEX Corp. |
| 495 |
| 68 |
| CRA International Inc. |
| 1,354 |
| 66 |
| Marten Transport Ltd. |
| 3,353 |
| 65 |
* | TriNet Group Inc. |
| 1,344 |
| 62 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
| Pentair plc |
| 1,171 |
| 50 |
| Steelcase Inc. Class A |
| 2,895 |
| 47 |
| McGrath RentCorp |
| 776 |
| 42 |
| Matson Inc. |
| 855 |
| 34 |
* | Conduent Inc. |
| 2,564 |
| 33 |
| ACCO Brands Corp. |
| 4,016 |
| 33 |
| Kforce Inc. |
| 1,003 |
| 32 |
* | Casella Waste Systems Inc. Class A |
| 855 |
| 28 |
| Old Dominion Freight Line Inc. |
| 200 |
| 27 |
| Werner Enterprises Inc. |
| 789 |
| 27 |
* | Covenant Transportation Group Inc. Class A |
| 1,169 |
| 27 |
| Kelly Services Inc. Class A |
| 1,085 |
| 25 |
| Forward Air Corp. |
| 371 |
| 24 |
| Herman Miller Inc. |
| 702 |
| 24 |
* | Blue Bird Corp. |
| 1,189 |
| 23 |
| SkyWest Inc. |
| 386 |
| 22 |
* | Sykes Enterprises Inc. |
| 753 |
| 21 |
* | CBIZ Inc. |
| 964 |
| 20 |
| Insperity Inc. |
| 202 |
| 20 |
| Heidrick & Struggles International Inc. |
| 473 |
| 17 |
* | Saia Inc. |
| 278 |
| 17 |
| Robert Half International Inc. |
| 266 |
| 16 |
| MAXIMUS Inc. |
| 211 |
| 15 |
* | SEACOR Holdings Inc. |
| 358 |
| 15 |
| Dover Corp. |
| 170 |
| 14 |
* | MYR Group Inc. |
| 440 |
| 14 |
| Ryder System Inc. |
| 215 |
| 12 |
* | Hub Group Inc. Class A |
| 271 |
| 12 |
| Costamare Inc. |
| 2,253 |
| 12 |
* | US Xpress Enterprises Inc. Class A |
| 1,439 |
| 12 |
* | Darling Ingredients Inc. |
| 532 |
| 12 |
| Rollins Inc. |
| 178 |
| 11 |
* | WESCO International Inc. |
| 206 |
| 11 |
| UniFirst Corp. |
| 70 |
| 11 |
* | NV5 Global Inc. |
| 147 |
| 11 |
* | Aegion Corp. Class A |
| 564 |
| 11 |
| Hillenbrand Inc. |
| 223 |
| 10 |
| FLIR Systems Inc. |
| 204 |
| 9 |
| Republic Services Inc. Class A |
| 119 |
| 9 |
* | Proto Labs Inc. |
| 68 |
| 9 |
| Knoll Inc. |
| 399 |
| 8 |
| Navigant Consulting Inc. |
| 297 |
| 8 |
* | SP Plus Corp. |
| 246 |
| 7 |
* | Atkore International Group Inc. |
| 362 |
| 7 |
* | Echo Global Logistics Inc. |
| 287 |
| 7 |
* | Vishay Precision Group Inc. |
| 211 |
| 7 |
| Encore Wire Corp. |
| 143 |
| 7 |
| HNI Corp. |
| 184 |
| 7 |
* | Milacron Holdings Corp. |
| 478 |
| 7 |
| Columbus McKinnon Corp. |
| 194 |
| 7 |
* | WageWorks Inc. |
| 191 |
| 6 |
|
|
|
|
| 3,815 |
Technology (10.3%) |
|
|
|
| |
| HP Inc. |
| 16,029 |
| 369 |
| Intel Corp. |
| 6,432 |
| 317 |
| Apple Inc. |
| 1,700 |
| 304 |
* | Adobe Inc. |
| 983 |
| 247 |
* | Fabrinet |
| 3,196 |
| 168 |
| Intuit Inc. |
| 700 |
| 150 |
* | F5 Networks Inc. |
| 807 |
| 139 |
* | CACI International Inc. Class A |
| 738 |
| 122 |
* | Qorvo Inc. |
| 1,783 |
| 117 |
* | Dell Technologies Inc. Class V |
| 1,064 |
| 112 |
| Texas Instruments Inc. |
| 1,075 |
| 107 |
| Jabil Inc. |
| 4,110 |
| 103 |
* | PTC Inc. |
| 1,146 |
| 99 |
| Seagate Technology plc |
| 2,262 |
| 97 |
* | Diodes Inc. |
| 2,787 |
| 97 |
* | Nanometrics Inc. |
| 2,886 |
| 93 |
* | Insight Enterprises Inc. |
| 1,964 |
| 88 |
* | Akamai Technologies Inc. |
| 1,245 |
| 86 |
* | Fortinet Inc. |
| 1,112 |
| 82 |
* | VMware Inc. Class A |
| 461 |
| 77 |
* | NETGEAR Inc. |
| 1,120 |
| 62 |
* | Varonis Systems Inc. |
| 1,067 |
| 62 |
* | SPS Commerce Inc. |
| 720 |
| 61 |
| Comtech Telecommunications Corp. |
| 2,341 |
| 60 |
* | TechTarget Inc. |
| 3,692 |
| 53 |
| Hewlett Packard Enterprise Co. |
| 3,206 |
| 48 |
* | Perficient Inc. |
| 1,830 |
| 46 |
| Amdocs Ltd. |
| 635 |
| 41 |
| ManTech International Corp. Class A |
| 613 |
| 34 |
* | Virtusa Corp. |
| 712 |
| 32 |
| Cohu Inc. |
| 1,497 |
| 29 |
* | Unisys Corp. |
| 1,998 |
| 27 |
* | New Relic Inc. |
| 252 |
| 22 |
* | ON Semiconductor Corp. |
| 865 |
| 17 |
* | Workiva Inc. |
| 403 |
| 15 |
* | Appfolio Inc. |
| 208 |
| 13 |
* | ePlus Inc. |
| 142 |
| 12 |
| Dolby Laboratories Inc. Class A |
| 154 |
| 11 |
* | LivePerson Inc. |
| 542 |
| 10 |
* | Qualys Inc. |
| 118 |
| 9 |
| DXC Technology Co. |
| 143 |
| 9 |
| Cypress Semiconductor Corp. |
| 548 |
| 8 |
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
| Value· |
|
|
| Shares |
| ($000) |
| Skyworks Solutions Inc. |
| 103 |
| 7 |
| TiVo Corp. |
| 681 |
| 7 |
* | Yext Inc. |
| 402 |
| 6 |
|
|
|
|
| 3,675 |
Utilities (4.0%) |
|
|
|
| |
| Exelon Corp. |
| 6,681 |
| 310 |
* | T-Mobile US Inc. |
| 3,576 |
| 245 |
| Hawaiian Electric Industries Inc. |
| 4,747 |
| 182 |
* | United States Cellular Corp. |
| 1,934 |
| 108 |
| Avangrid Inc. |
| 2,127 |
| 107 |
| IDACORP Inc. |
| 997 |
| 98 |
| Portland General Electric Co. |
| 1,992 |
| 96 |
| ALLETE Inc. |
| 923 |
| 75 |
* | 8x8 Inc. |
| 3,781 |
| 75 |
| CenturyLink Inc. |
| 2,505 |
| 47 |
* | Vonage Holdings Corp. |
| 2,538 |
| 27 |
| Telephone & Data Systems Inc. |
| 712 |
| 25 |
* | Boingo Wireless Inc. |
| 474 |
| 12 |
| ATN International Inc. |
| 119 |
| 10 |
|
|
|
|
| 1,417 |
Total Common Stocks (Cost $35,682) |
|
|
| 34,907 | |
Temporary Cash Investment (1.7%)1 |
|
|
|
| |
Money Market Fund (1.7%) |
|
|
|
| |
2 | Vanguard Market Liquidity Fund, 2.407% (Cost $619) |
| 6,192 |
| 619 |
Total Investments (99.8%) |
|
|
|
| |
(Cost $36,301) |
|
|
| 35,526 |
|
|
|
| Amount |
|
|
|
| ($000) |
Other Assets and Liabilities (0.2%) |
|
|
|
|
Other Assets |
|
|
|
|
Investment in Vanguard |
|
|
| 2 |
Receivables for Accrued Income |
|
|
| 66 |
Receivables for Capital Shares Issued |
|
|
| 5 |
Variation Margin Receivable—Futures Contracts |
|
|
| 1 |
Other Assets3 |
|
|
| 37 |
Total Other Assets |
|
|
| 111 |
Liabilities |
|
|
|
|
Payables for Investment Securities Purchased |
|
|
| (1) |
Payables for Capital Shares Redeemed |
|
|
| (42) |
Payables to Vanguard |
|
|
| (3) |
Total Liabilities |
|
|
| (46) |
Net Assets (100%) |
|
|
|
|
Applicable to 1,450,758 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
| 35,591 |
Net Asset Value Per Share |
|
|
| $24.53 |
|
|
|
|
|
|
|
|
|
|
At November 30, 2018, net assets consisted of: |
|
|
|
|
|
|
|
| Amount |
|
|
|
| ($000) |
Paid-in Capital |
|
|
| 36,754 |
Total Distributable Earnings (Loss) |
|
|
| (1,163) |
Net Assets |
|
|
| 35,591 |
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and -0.1%, respectively, 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 Cash of $36,000 has been segregated as initial margin for open futures contracts.
U.S. Multifactor 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 Russell 2000 Index |
| December 2018 |
| 5 |
| 384 |
| 2 | |
E-mini S&P 500 Index |
| December 2018 |
| 2 |
| 276 |
| 2 | |
|
|
|
|
|
|
|
|
| 4 |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Statement of Operations
|
| February 15, 20181 to |
|
| November 30, 2018 |
|
| ($000) |
Investment Income |
|
|
Income |
|
|
Dividends |
| 428 |
Interest2 |
| 8 |
Total Income |
| 436 |
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
| — |
Management and Administrative |
| 19 |
Marketing and Distribution |
| — |
Custodian Fees |
| 5 |
Auditing Fees |
| 17 |
Shareholders’ Report |
| 2 |
Total Expenses |
| 43 |
Net Investment Income |
| 393 |
Realized Net Gain (Loss) |
|
|
Investment Securities Sold2 |
| (446) |
Futures Contracts |
| (52) |
Realized Net Gain (Loss) |
| (498) |
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities2 |
| (775) |
Futures Contracts |
| 4 |
Change in Unrealized Appreciation (Depreciation) |
| (771) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (876) |
1 Inception.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, $1,000, and $0, respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Statement of Changes in Net Assets
|
| February 15, 20181 to |
|
| November 30, 2018 |
|
| ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income |
| 393 |
Realized Net Gain (Loss) |
| (498) |
Change in Unrealized Appreciation (Depreciation) |
| (771) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (876) |
Distributions |
|
|
Net Investment Income |
| (287) |
Realized Capital Gain |
| — |
Total Distributions |
| (287) |
Capital Share Transactions |
|
|
Issued |
| 56,322 |
Issued in Lieu of Cash Distributions |
| 231 |
Redeemed |
| (19,799) |
Net Increase (Decrease) from Capital Share Transactions |
| 36,754 |
Total Increase (Decrease) |
| 35,591 |
Net Assets |
|
|
Beginning of Period |
| — |
End of Period |
| 35,591 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Financial Highlights
|
| February 15, 20181 to |
For a Share Outstanding Throughout the Period |
| November 30, 2018 |
Net Asset Value, Beginning of Period |
| $25.00 |
Investment Operations |
|
|
Net Investment Income2 |
| .333 |
Net Realized and Unrealized Gain (Loss) on Investments |
| (.598) |
Total from Investment Operations |
| (.265) |
Distributions |
|
|
Dividends from Net Investment Income |
| (.205) |
Distributions from Realized Capital Gains |
| — |
Total Distributions |
| (.205) |
Net Asset Value, End of Period |
| $24.53 |
|
|
|
Total Return3 |
| -1.11% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) |
| $36 |
Ratio of Total Expenses to Average Net Assets |
| 0.18%4 |
Ratio of Net Investment Income to Average Net Assets |
| 1.64%4 |
Portfolio Turnover Rate |
| 58% |
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.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Notes to Financial Statements
Vanguard U.S. Multifactor Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the period ended November 30, 2018, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended November 30, 2018, 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 and may differ from net investment income and realized capital gains for financial reporting purposes.
U.S. Multifactor Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at November 30, 2018, or at any time during the period then ended.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2018, the fund had contributed to Vanguard capital in the amount of $2,000, representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. 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 Statement of Net Assets.
At November 30, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Multifactor Fund
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount |
|
| ($000) |
|
Undistributed Ordinary Income | 106 |
|
Undistributed Long-Term Gains | — |
|
Capital Loss Carryforwards (Non-expiring) | (494) |
|
Net Unrealized Gains (Losses) | (775) |
|
As of November 30, 2018, 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 | 36,301 |
|
Gross Unrealized Appreciation | 2,036 |
|
Gross Unrealized Depreciation | (2,811) |
|
Net Unrealized Appreciation (Depreciation) | (775) |
|
E. During the period ended November 30, 2018, the fund purchased $53,818,000 of investment securities and sold $17,691,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| February 15, 20181 to |
|
| November 30, 2018 |
|
| Shares |
|
| (000) |
|
Issued | 2,205 |
|
Issued in Lieu of Cash Distributions | 9 |
|
Redeemed | (763) |
|
Net Increase (Decrease) in Shares Outstanding | 1,451 |
|
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Wellington Fund and Shareholders of Vanguard U.S. Multifactor Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets of Vanguard U.S. Multifactor Fund (one of the funds constituting Vanguard Wellington Fund, referred to hereafter as the “Fund”) as of November 30, 2018, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period February 15, 2018 (inception) through November 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2018, and the results of its operations, changes in its net assets, and the financial highlights for the period February 15, 2018 (inception) through November 30, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2018 by correspondence with the custodian, transfer agent and brokers. We believe that our audit provides a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 17, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
|
Special 2018 tax information (unaudited) for Vanguard U.S. Multifactor Fund
This information for the period ended November 30, 2018, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $287,000 of qualified dividend income to shareholders during the period.
For corporate shareholders, 100.0% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Joseph Brennan | Chris D. McIsaac |
Mortimer J. Buckley | James M. Norris |
Gregory Davis | Thomas M. Rampulla |
John James | Karin A. Risi |
Martha G. King | Anne E. Robinson |
John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
| |
|
|
| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
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.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
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, 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 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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q5160 012019 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended November 30, 2018: $129,000
Fiscal Year Ended November 30, 2017: $41,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended November 30, 2018: $9,734,277
Fiscal Year Ended November 30, 2017: $8,424,459
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended November 30, 2018: $5,581,336
Fiscal Year Ended November 30, 2017: $3,194,093
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended November 30, 2018: $347,985
Fiscal Year Ended November 30, 2017: $274,313
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended November 30, 2018: $0
Fiscal Year Ended November 30, 2017: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended November 30, 2018: $347,985
Fiscal Year Ended November 30, 2017: $274,313
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Shares |
| Market | ) |
Common Stocks (64.9%) |
|
|
|
|
| |
|
|
|
|
| ||
| Verizon Communications Inc. |
| 42,295,368 |
| 2,550,411 |
|
* | Alphabet Inc. Class A |
| 1,635,879 |
| 1,815,253 |
|
| Comcast Corp. Class A |
| 42,404,884 |
| 1,654,214 |
|
| AT&T Inc. |
| 11,393,910 |
| 355,946 |
|
|
|
|
|
| 6,375,824 |
|
|
|
|
|
| ||
| Lowe’s Cos. Inc. |
| 6,340,097 |
| 598,315 |
|
| Home Depot Inc. |
| 2,981,836 |
| 537,685 |
|
| Hilton Worldwide Holdings Inc. |
| 7,045,142 |
| 532,190 |
|
| TJX Cos. Inc. |
| 10,828,632 |
| 528,979 |
|
* | eBay Inc. |
| 8,279,687 |
| 247,149 |
|
* | Alibaba Group Holding Ltd. ADR |
| 840,100 |
| 135,138 |
|
| Volkswagen AG Preference Shares |
| 672,566 |
| 114,153 |
|
|
|
|
|
| 2,693,609 |
|
|
|
|
|
| ||
| PepsiCo Inc. |
| 7,878,517 |
| 960,706 |
|
| Unilever NV |
| 12,546,124 |
| 696,242 |
|
| Sysco Corp. |
| 8,507,469 |
| 573,403 |
|
| Walmart Inc. |
| 5,118,632 |
| 499,834 |
|
| Diageo plc |
| 13,408,942 |
| 484,247 |
|
| Coca-Cola Co. |
| 9,022,580 |
| 454,738 |
|
| Nestle SA |
| 5,101,471 |
| 435,222 |
|
| Philip Morris International Inc. |
| 4,044,766 |
| 349,994 |
|
|
|
|
|
| 4,454,386 |
|
|
|
|
|
| ||
| Chevron Corp. |
| 15,112,060 |
| 1,797,428 |
|
| Exxon Mobil Corp. |
| 13,679,891 |
| 1,087,551 |
|
| ConocoPhillips |
| 9,007,321 |
| 596,105 |
|
^ | Suncor Energy Inc. |
| 18,175,851 |
| 586,049 |
|
| Halliburton Co. |
| 16,774,559 |
| 527,224 |
|
| BP plc |
| 65,360,719 |
| 434,685 |
|
| Hess Corp. |
| 6,634,788 |
| 357,549 |
|
| Canadian Natural Resources Ltd. |
| 10,063,546 |
| 253,098 |
|
| TOTAL SA |
| 2,742,383 |
| 152,531 |
|
|
|
|
|
| 5,792,220 |
|
|
|
|
|
| ||
| JPMorgan Chase & Co. |
| 21,525,538 |
| 2,393,425 |
|
| Bank of America Corp. |
| 76,323,330 |
| 2,167,583 |
|
| Chubb Ltd. |
| 10,420,692 |
| 1,393,663 |
|
| Prudential Financial Inc. |
| 13,348,138 |
| 1,251,521 |
|
| PNC Financial Services Group Inc. |
| 8,005,552 |
| 1,086,994 |
|
| Intercontinental Exchange Inc. |
| 10,197,166 |
| 833,312 |
|
| Northern Trust Corp. |
| 6,964,627 |
| 691,100 |
|
| Citigroup Inc. |
| 9,690,138 |
| 627,824 |
|
| BlackRock Inc. |
| 1,413,215 |
| 604,870 |
|
| American International Group Inc. |
| 13,584,382 |
| 587,525 |
|
| Mitsubishi UFJ Financial Group Inc. |
| 94,934,500 |
| 519,426 |
|
| Bank of Nova Scotia |
| 8,779,170 |
| 477,411 |
|
| Marsh & McLennan Cos. Inc. |
| 5,150,974 |
| 456,891 |
|
| Hartford Financial Services Group Inc. |
| 8,595,746 |
| 379,846 |
|
| MetLife Inc. |
| 7,363,989 |
| 328,655 |
|
| BNP Paribas SA |
| 5,554,237 |
| 279,369 |
|
| UBS Group AG |
| 17,141,686 |
| 231,927 |
|
| ING Groep NV |
| 16,955,890 |
| 205,366 |
|
| Progressive Corp. |
| 3,012,012 |
| 199,666 |
|
| Zurich Insurance Group AG |
| 609,704 |
| 191,646 |
|
| Tokio Marine Holdings Inc. |
| 3,849,340 |
| 190,152 |
|
* | Brighthouse Financial Inc. |
| 889,516 |
| 35,812 |
|
|
|
|
|
| 15,133,984 |
|
|
|
|
|
| ||
| AstraZeneca plc ADR |
| 32,460,280 |
| 1,292,568 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Shares |
| Market | ) |
| Bristol-Myers Squibb Co. |
| 24,056,304 |
| 1,286,050 |
|
| Pfizer Inc. |
| 26,280,551 |
| 1,214,950 |
|
| Merck & Co. Inc. |
| 14,582,142 |
| 1,156,947 |
|
| Medtronic plc |
| 11,649,050 |
| 1,136,132 |
|
| UnitedHealth Group Inc. |
| 3,800,444 |
| 1,069,293 |
|
| CVS Health Corp. |
| 10,655,600 |
| 854,579 |
|
| Novartis AG |
| 9,300,971 |
| 849,192 |
|
| Eli Lilly & Co. |
| 6,237,996 |
| 740,076 |
|
| Abbott Laboratories |
| 7,645,741 |
| 566,167 |
|
| Koninklijke Philips NV |
| 9,893,146 |
| 375,149 |
|
* | Regeneron Pharmaceuticals Inc. |
| 349,293 |
| 127,719 |
|
|
|
|
|
| 10,668,822 |
|
|
|
|
|
| ||
| Union Pacific Corp. |
| 5,581,902 |
| 858,385 |
|
| United Parcel Service Inc. Class B |
| 6,604,112 |
| 761,388 |
|
| Deere & Co. |
| 4,852,469 |
| 751,550 |
|
| United Technologies Corp. |
| 5,467,195 |
| 666,123 |
|
| Lockheed Martin Corp. |
| 2,086,152 |
| 626,743 |
|
| Schneider Electric SE |
| 8,298,047 |
| 604,852 |
|
| Johnson Controls International plc |
| 12,326,460 |
| 428,714 |
|
| General Dynamics Corp. |
| 2,209,248 |
| 408,468 |
|
| Vinci SA |
| 4,220,540 |
| 368,285 |
|
| BAE Systems plc |
| 54,097,239 |
| 340,077 |
|
| Assa Abloy AB Class B |
| 17,783,894 |
| 331,112 |
|
| Eaton Corp. plc |
| 2,743,087 |
| 211,053 |
|
| Canadian National Railway Co. (New York Shares) |
| 1,432,767 |
| 122,960 |
|
| Canadian National Railway Co. (Toronto Shares) |
| 618,300 |
| 53,126 |
|
|
|
|
|
| 6,532,836 |
|
|
|
|
|
| ||
| Microsoft Corp. |
| 25,337,737 |
| 2,809,702 |
|
| Intel Corp. |
| 25,353,481 |
| 1,250,180 |
|
| Cisco Systems Inc. |
| 20,456,302 |
| 979,243 |
|
| Apple Inc. |
| 3,881,381 |
| 693,137 |
|
| HP Inc. |
| 23,729,990 |
| 545,790 |
|
| Accenture plc Class A |
| 2,983,440 |
| 490,836 |
|
| International Business Machines Corp. |
| 2,830,373 |
| 351,730 |
|
| QUALCOMM Inc. |
| 3,444,944 |
| 200,702 |
|
| Texas Instruments Inc. |
| 1,977,486 |
| 197,452 |
|
| Samsung Electronics Co. Ltd. GDR |
| 193,883 |
| 181,941 |
|
|
|
|
|
| 7,700,713 |
|
|
|
|
|
| ||
| International Paper Co. |
| 14,129,722 |
| 652,652 |
|
| DowDuPont Inc. |
| 8,574,736 |
| 496,048 |
|
| PPG Industries Inc. |
| 3,985,643 |
| 435,750 |
|
| LyondellBasell Industries NV Class A |
| 2,956,390 |
| 275,861 |
|
* | Linde plc |
| 1,273,237 |
| 202,522 |
|
* | BHP Group plc |
| 9,537,693 |
| 183,652 |
|
| Linde AG |
| 252,942 |
| 54,795 |
|
|
|
|
|
| 2,301,280 |
|
|
|
|
|
| ||
| American Tower Corp. |
| 5,406,695 |
| 889,347 |
|
| Simon Property Group Inc. |
| 4,534,970 |
| 842,099 |
|
|
|
|
|
| 1,731,446 |
|
|
|
|
|
| ||
| NextEra Energy Inc. |
| 7,146,090 |
| 1,298,516 |
|
| Dominion Energy Inc. |
| 12,617,485 |
| 940,003 |
|
| Exelon Corp. |
| 15,543,622 |
| 721,068 |
|
* | Iberdrola SA |
| 38,958,438 |
| 291,443 |
|
|
|
|
|
| 3,251,030 |
|
Total Common Stocks (Cost $44,572,899) |
|
|
| 66,636,150 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
U.S. Government and Agency Obligations (6.4%) |
|
|
|
|
|
|
|
|
| |
U.S. Government Securities (5.6%) |
|
|
|
|
|
|
|
|
| |
|
| 0.750% |
| 7/15/28 |
| 167,785 |
| 164,280 |
| |
|
| 1.375% |
| 2/29/20 |
| 62,000 |
| 60,944 |
| |
1 |
| 2.250% |
| 2/29/20 |
| 1,244,000 |
| 1,235,839 |
| |
|
| 2.250% |
| 3/31/20 |
| 210,000 |
| 208,524 |
| |
1 |
| 1.625% |
| 6/30/20 |
| 67,210 |
| 65,992 |
| |
|
| 2.875% |
| 10/31/20 |
| 47,620 |
| 47,672 |
| |
|
| 1.250% |
| 3/31/21 |
| 52,000 |
| 50,196 |
| |
|
| 2.875% |
| 11/15/21 |
| 1,000,000 |
| 1,001,410 |
| |
|
| 2.125% |
| 12/31/22 |
| 136,500 |
| 132,704 |
| |
|
| 2.500% |
| 3/31/23 |
| 337,000 |
| 332,312 |
| |
|
| 2.625% |
| 6/30/23 |
| 274,000 |
| 271,430 |
| |
|
| 2.750% |
| 7/31/23 |
| 104,000 |
| 103,578 |
| |
|
| 2.000% |
| 2/15/25 |
| 364,360 |
| 345,515 |
| |
|
| 2.000% |
| 8/15/25 |
| 61,860 |
| 58,400 |
| |
|
| 1.625% |
| 5/15/26 |
| 78,110 |
| 71,275 |
| |
|
| 2.000% |
| 11/15/26 |
| 43,000 |
| 40,084 |
| |
|
| 2.250% |
| 11/15/27 |
| 468,050 |
| 440,847 |
| |
|
| 3.125% |
| 11/15/28 |
| 166,220 |
| 167,909 |
| |
|
| 2.875% |
| 5/15/43 |
| 275,732 |
| 256,000 |
| |
|
| 3.375% |
| 5/15/44 |
| 115,630 |
| 117,094 |
| |
|
| 2.500% |
| 2/15/46 |
| 50,745 |
| 43,356 |
| |
|
| 2.250% |
| 8/15/46 |
| 117,264 |
| 94,727 |
| |
|
| 2.875% |
| 11/15/46 |
| 60,140 |
| 55,394 |
| |
|
| 2.750% |
| 8/15/47 |
| 172,845 |
| 154,940 |
| |
|
| 3.125% |
| 5/15/48 |
| 4,610 |
| 4,450 |
| |
|
| 3.000% |
| 8/15/48 |
| 18,965 |
| 17,863 |
| |
|
| 0.000% |
| 5/15/47 |
| 127,000 |
| 49,223 |
| |
|
| 0.000% |
| 8/15/47 |
| 247,840 |
| 95,265 |
| |
|
|
|
|
|
|
|
|
| 5,687,223 |
|
Conventional Mortgage-Backed Securities (0.6%) |
|
|
|
|
|
|
|
|
| |
2,3 |
| 2.500% |
| 9/1/27–12/1/28 |
| 4,841 |
| 4,675 |
| |
2,3 |
| 3.500% |
| 11/1/45–11/1/48 |
| 637,359 |
| 625,243 |
| |
2,3 |
| 3.000% |
| 5/1/22–9/1/22 |
| 16 |
| 16 |
| |
2 |
| 7.000% |
| 11/15/31–11/15/33 |
| 2,124 |
| 2,403 |
| |
|
|
|
|
|
|
|
|
| 632,337 |
|
Nonconventional Mortgage-Backed Securities (0.2%) |
|
|
|
|
|
|
|
|
| |
2,3 |
| 3.500% |
| 4/25/31–10/25/56 |
| 67,829 |
| 68,014 |
| |
2,3 |
| 4.000% |
| 9/25/29–5/25/31 |
| 18,581 |
| 19,026 |
| |
2,3 |
| 3.500% |
| 3/15/31 |
| 5,760 |
| 5,816 |
| |
2,3 |
| 4.000% |
| 12/15/30–4/15/31 |
| 101,788 |
| 104,793 |
| |
|
|
|
|
|
|
|
|
| 197,649 |
|
Total U.S. Government and Agency Obligations (Cost $6,600,083) |
|
|
|
|
| 6,517,209 |
| |||
Asset-Backed/Commercial Mortgage-Backed Securities (1.4%) |
|
|
|
|
|
|
| |||
2,4 |
| 2.950% |
| 3/15/23 |
| 60,315 |
| 59,876 |
| |
2,4 |
| 3.070% |
| 3/15/23 |
| 43,000 |
| 41,843 |
| |
2 |
| 2.240% |
| 4/8/22 |
| 12,970 |
| 12,740 |
| |
2,4,5 |
| 3.639% |
| 4/17/26 |
| 31,553 |
| 31,556 |
| |
2,4,5 |
| 3.526% |
| 1/15/31 |
| 7,940 |
| 7,885 |
| |
2,4,5 |
| 3.590% |
| 4/25/26 |
| 32,065 |
| 32,069 |
| |
2,4,5 |
| 3.619% |
| 7/20/25 |
| 4,243 |
| 4,243 |
| |
4 |
| 2.500% |
| 1/11/22 |
| 60,000 |
| 58,673 |
| |
2 |
| 3.260% |
| 7/20/21 |
| 10,290 |
| 10,305 |
| |
2,4 |
| 2.547% |
| 10/21/19 |
| 20,872 |
| 20,881 |
| |
2,4 |
| 3.000% |
| 6/21/21 |
| 8,998 |
| 9,019 |
| |
2,4 |
| 3.270% |
| 12/19/22 |
| 5,060 |
| 5,103 |
| |
2,4,6 |
| 2.676% |
| 4/18/22 |
| 17,780 |
| 17,787 |
| |
2 |
| 2.300% |
| 5/15/19 |
| 1,025 |
| 1,025 |
| |
2 |
| 3.110% |
| 2/15/22 |
| 36,000 |
| 35,975 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
2 | CarMax Auto Owner Trust 2018-4 |
| 3.360% |
| 9/15/23 |
| 20,960 |
| 21,031 |
|
2,4,5 |
| 3.640% |
| 10/25/28 |
| 16,895 |
| 16,889 |
| |
2,4 |
| 3.040% |
| 4/15/30 |
| 44,985 |
| 44,743 |
| |
2,4 |
| 1.990% |
| 5/15/29 |
| 6,925 |
| 6,845 |
| |
2 |
| 2.450% |
| 6/14/19 |
| 18,220 |
| 18,222 |
| |
2 |
| 3.147% |
| 8/15/45 |
| 18,085 |
| 17,876 |
| |
2,4 |
| 2.500% |
| 3/28/22 |
| 47,550 |
| 46,371 |
| |
2,4 |
| 2.150% |
| 3/20/19 |
| 5,063 |
| 5,061 |
| |
2,4 |
| 3.100% |
| 10/20/23 |
| 3,495 |
| 3,479 |
| |
2,4 |
| 2.130% |
| 7/20/22 |
| 4,325 |
| 4,298 |
| |
2,4 |
| 2.870% |
| 10/20/23 |
| 30,025 |
| 29,863 |
| |
2,4 |
| 3.380% |
| 5/20/24 |
| 19,350 |
| 19,353 |
| |
2,4 |
| 2.900% |
| 1/18/22 |
| 10,666 |
| 10,651 |
| |
2,4 |
| 2.000% |
| 3/15/22 |
| 4,441 |
| 4,420 |
| |
2 |
| 2.300% |
| 5/15/19 |
| 3,027 |
| 3,027 |
| |
2,4 |
| 1.510% |
| 3/16/20 |
| 2,011 |
| 2,009 |
| |
2,4 |
| 1.980% |
| 4/15/22 |
| 19,520 |
| 19,195 |
| |
2,4 |
| 2.620% |
| 1/15/23 |
| 18,515 |
| 18,266 |
| |
2,4 |
| 2.550% |
| 8/17/20 |
| 18,629 |
| 18,599 |
| |
2,4,5 |
| 3.729% |
| 7/20/26 |
| 31,911 |
| 31,951 |
| |
2,4,5 |
| 3.400% |
| 4/19/30 |
| 33,570 |
| 33,500 |
| |
2,4,6 |
| 2.790% |
| 7/21/24 |
| 36,370 |
| 36,340 |
| |
2,4,6 |
| 3.007% |
| 5/17/21 |
| 13,265 |
| 13,293 |
| |
2,4 |
| 2.570% |
| 6/9/33 |
| 6,446 |
| 6,427 |
| |
2,4 |
| 1.730% |
| 5/18/20 |
| 2,225 |
| 2,219 |
| |
2,4 |
| 2.400% |
| 6/10/19 |
| 1,070 |
| 1,069 |
| |
2 |
| 3.250% |
| 9/15/21 |
| 15,975 |
| 15,977 |
| |
2,4 |
| 3.430% |
| 12/16/24 |
| 37,000 |
| 36,886 |
| |
2,4 |
| 2.310% |
| 12/14/21 |
| 27,390 |
| 27,258 |
| |
2,4 |
| 4.100% |
| 3/20/28 |
| 2,672 |
| 2,681 |
| |
2,4 |
| 2.370% |
| 9/14/32 |
| 23,742 |
| 23,355 |
| |
2,4 |
| 2.528% |
| 10/15/19 |
| 3,672 |
| 3,672 |
| |
2 |
| 1.890% |
| 6/15/21 |
| 7,731 |
| 7,711 |
| |
2 |
| 2.970% |
| 7/15/21 |
| 34,760 |
| 34,729 |
| |
2 |
| 3.190% |
| 3/15/22 |
| 6,540 |
| 6,541 |
| |
2,4 |
| 3.168% |
| 4/11/22 |
| 48,960 |
| 47,915 |
| |
2,4 |
| 3.448% |
| 3/15/23 |
| 23,770 |
| 23,457 |
| |
2,4 |
| 2.898% |
| 10/15/44 |
| 46,310 |
| 46,136 |
| |
2,4 |
| 2.400% |
| 4/25/19 |
| 3,618 |
| 3,618 |
| |
2,4 |
| 3.060% |
| 2/25/21 |
| 17,985 |
| 17,967 |
| |
2,4 |
| 3.325% |
| 8/25/22 |
| 18,580 |
| 18,578 |
| |
2,4,5 |
| 3.569% |
| 7/17/26 |
| 24,026 |
| 24,031 |
| |
2,4,7 |
| 4.144% |
| 1/5/43 |
| 27,300 |
| 25,306 |
| |
2,4 |
| 2.930% |
| 4/26/27 |
| 17,130 |
| 17,079 |
| |
2,4 |
| 3.540% |
| 11/26/27 |
| 32,965 |
| 33,015 |
| |
2,4 |
| 3.160% |
| 11/15/24 |
| 16,731 |
| 16,723 |
| |
2,4 |
| 3.480% |
| 5/15/28 |
| 23,420 |
| 23,288 |
| |
2,4,5 |
| 3.716% |
| 7/14/26 |
| 45,085 |
| 45,099 |
| |
2,4,5 |
| 3.629% |
| 10/20/26 |
| 19,915 |
| 19,938 |
| |
4 |
| 2.500% |
| 1/18/22 |
| 76,400 |
| 74,611 |
| |
2 |
| 3.435% |
| 12/15/25 |
| 8,625 |
| 8,545 |
| |
2,4 |
| 4.072% |
| 2/16/43 |
| 17,612 |
| 17,607 |
| |
2 |
| 3.230% |
| 4/20/23 |
| 21,145 |
| 21,096 |
| |
2,4,5 |
| 3.435% |
| 4/18/31 |
| 20,685 |
| 20,479 |
| |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,458,770) |
|
|
|
| 1,447,275 |
| ||||
Corporate Bonds (20.4%) |
|
|
|
|
|
|
|
| ||
Finance (8.4%) |
|
|
|
|
|
|
|
|
| |
| Banking (6.8%) |
|
|
|
|
|
|
|
|
|
4 |
| 2.450% |
| 6/4/20 |
| 19,999 |
| 19,664 |
| |
|
| 2.250% |
| 8/15/19 |
| 30,200 |
| 30,043 |
| |
|
| 2.700% |
| 3/3/22 |
| 54,990 |
| 53,313 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Banco Santander SA |
| 3.125% |
| 2/23/23 |
| 28,400 |
| 26,628 |
|
|
| 3.848% |
| 4/12/23 |
| 16,400 |
| 15,789 |
| |
|
| 3.300% |
| 1/11/23 |
| 7,905 |
| 7,702 |
| |
2 |
| 2.816% |
| 7/21/23 |
| 60,525 |
| 58,098 |
| |
|
| 3.004% |
| 12/20/23 |
| 49,160 |
| 47,189 |
| |
|
| 4.125% |
| 1/22/24 |
| 16,100 |
| 16,130 |
| |
|
| 4.000% |
| 1/22/25 |
| 32,900 |
| 31,924 |
| |
|
| 3.500% |
| 4/19/26 |
| 10,000 |
| 9,481 |
| |
2 |
| 3.593% |
| 7/21/28 |
| 37,950 |
| 35,771 |
| |
|
| 3.419% |
| 12/20/28 |
| 8,681 |
| 7,986 |
| |
2 |
| 4.271% |
| 7/23/29 |
| 74,365 |
| 72,837 |
| |
|
| 5.875% |
| 2/7/42 |
| 9,965 |
| 11,407 |
| |
|
| 5.000% |
| 1/21/44 |
| 39,433 |
| 40,226 |
| |
8 |
| 0.000% |
| 1/3/19 |
| 45,658 |
| 34,299 |
| |
|
| 3.100% |
| 4/13/21 |
| 46,200 |
| 45,923 |
| |
|
| 2.150% |
| 2/24/20 |
| 61,325 |
| 60,580 |
| |
|
| 2.200% |
| 8/16/23 |
| 16,670 |
| 15,543 |
| |
|
| 3.000% |
| 2/24/25 |
| 27,990 |
| 26,625 |
| |
|
| 2.800% |
| 7/21/21 |
| 25,650 |
| 25,212 |
| |
|
| 5.140% |
| 10/14/20 |
| 11,905 |
| 12,176 |
| |
5 |
| 4.009% |
| 5/16/24 |
| 36,385 |
| 34,974 |
| |
|
| 5.250% |
| 11/1/19 |
| 8,000 |
| 8,131 |
| |
|
| 3.200% |
| 9/3/21 |
| 25,900 |
| 25,832 |
| |
|
| 2.750% |
| 4/1/22 |
| 61,300 |
| 59,842 |
| |
|
| 3.700% |
| 6/5/25 |
| 49,000 |
| 48,357 |
| |
|
| 2.400% |
| 12/12/18 |
| 53,700 |
| 53,696 |
| |
4 |
| 2.950% |
| 5/23/22 |
| 4,105 |
| 3,936 |
| |
|
| 3.250% |
| 3/3/23 |
| 7,620 |
| 7,412 |
| |
4 |
| 3.800% |
| 1/10/24 |
| 44,775 |
| 43,212 |
| |
4 |
| 3.375% |
| 1/9/25 |
| 60,670 |
| 56,366 |
| |
4 |
| 3.500% |
| 11/16/27 |
| 82,000 |
| 73,838 |
| |
4 |
| 4.400% |
| 8/14/28 |
| 59,355 |
| 57,056 |
| |
|
| 2.500% |
| 12/10/18 |
| 18,325 |
| 18,324 |
| |
|
| 2.500% |
| 7/15/19 |
| 53,100 |
| 52,870 |
| |
4 |
| 5.700% |
| 10/22/23 |
| 6,225 |
| 6,397 |
| |
|
| 4.000% |
| 4/15/24 |
| 30,615 |
| 30,505 |
| |
4 |
| 5.150% |
| 7/21/24 |
| 43,790 |
| 43,693 |
| |
4 |
| 3.500% |
| 10/23/27 |
| 64,230 |
| 57,443 |
| |
|
| 2.625% |
| 1/15/22 |
| 45,425 |
| 44,152 |
| |
5 |
| 3.054% |
| 6/16/22 |
| 57,780 |
| 57,926 |
| |
|
| 2.500% |
| 5/12/20 |
| 21,500 |
| 21,219 |
| |
|
| 4.750% |
| 7/15/21 |
| 18,835 |
| 19,286 |
| |
|
| 3.750% |
| 4/24/24 |
| 55,460 |
| 53,634 |
| |
|
| 3.200% |
| 2/5/25 |
| 24,185 |
| 22,446 |
| |
|
| 3.050% |
| 5/1/20 |
| 67,400 |
| 67,050 |
| |
|
| 2.550% |
| 4/8/19 |
| 55,000 |
| 54,882 |
| |
|
| 2.500% |
| 7/29/19 |
| 37,530 |
| 37,392 |
| |
|
| 2.400% |
| 2/18/20 |
| 65,200 |
| 64,587 |
| |
|
| 4.500% |
| 1/14/22 |
| 33,920 |
| 34,506 |
| |
|
| 4.125% |
| 7/25/28 |
| 14,550 |
| 13,660 |
| |
2 |
| 3.520% |
| 10/27/28 |
| 72,550 |
| 67,133 |
| |
|
| 6.625% |
| 6/15/32 |
| 45,000 |
| 51,699 |
| |
2 |
| 3.878% |
| 1/24/39 |
| 37,030 |
| 32,362 |
| |
|
| 8.125% |
| 7/15/39 |
| 4,638 |
| 6,370 |
| |
|
| 4.750% |
| 5/18/46 |
| 15,055 |
| 13,843 |
| |
|
| 4.650% |
| 7/23/48 |
| 40,465 |
| 38,769 |
| |
|
| 2.300% |
| 3/12/20 |
| 20,290 |
| 20,035 |
| |
|
| 2.750% |
| 9/29/19 |
| 15,105 |
| 15,025 |
| |
|
| 2.250% |
| 1/14/19 |
| 55,610 |
| 55,579 |
| |
4 |
| 2.500% |
| 4/15/19 |
| 57,830 |
| 57,732 |
| |
4,5 |
| 3.507% |
| 4/24/23 |
| 16,500 |
| 16,293 |
| |
4 |
| 3.750% |
| 4/24/23 |
| 31,675 |
| 30,732 |
| |
4 |
| 3.250% |
| 10/4/24 |
| 24,375 |
| 22,643 |
| |
|
| 2.300% |
| 5/28/19 |
| 109,260 |
| 108,849 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Credit Suisse AG |
| 3.000% |
| 10/29/21 |
| 18,325 |
| 17,951 |
|
| Credit Suisse AG |
| 3.625% |
| 9/9/24 |
| 4,885 |
| 4,751 |
|
4 | Credit Suisse Group AG |
| 3.574% |
| 1/9/23 |
| 20,675 |
| 20,060 |
|
4,5 | Credit Suisse Group AG |
| 3.574% |
| 6/12/24 |
| 25,015 |
| 24,888 |
|
2,4 | Credit Suisse Group AG |
| 4.207% |
| 6/12/24 |
| 12,375 |
| 12,216 |
|
2,4 | Credit Suisse Group AG |
| 3.869% |
| 1/12/29 |
| 10,980 |
| 10,113 |
|
| Credit Suisse Group Funding Guernsey Ltd. |
| 3.800% |
| 9/15/22 |
| 55,260 |
| 54,502 |
|
| Credit Suisse Group Funding Guernsey Ltd. |
| 3.750% |
| 3/26/25 |
| 67,850 |
| 64,375 |
|
4 | Danske Bank A/S |
| 3.875% |
| 9/12/23 |
| 46,290 |
| 44,244 |
|
| Deutsche Bank AG |
| 2.500% |
| 2/13/19 |
| 15,225 |
| 15,204 |
|
| Deutsche Bank AG |
| 2.700% |
| 7/13/20 |
| 24,500 |
| 23,820 |
|
| Deutsche Bank AG |
| 3.150% |
| 1/22/21 |
| 51,485 |
| 49,654 |
|
| Deutsche Bank AG |
| 4.250% |
| 10/14/21 |
| 45,220 |
| 44,330 |
|
| Fifth Third Bank |
| 2.875% |
| 10/1/21 |
| 10,345 |
| 10,167 |
|
| Goldman Sachs Group Inc. |
| 5.375% |
| 3/15/20 |
| 30,790 |
| 31,486 |
|
| Goldman Sachs Group Inc. |
| 2.600% |
| 4/23/20 |
| 25,750 |
| 25,408 |
|
| Goldman Sachs Group Inc. |
| 6.000% |
| 6/15/20 |
| 11,090 |
| 11,500 |
|
| Goldman Sachs Group Inc. |
| 5.250% |
| 7/27/21 |
| 56,720 |
| 58,557 |
|
| Goldman Sachs Group Inc. |
| 5.750% |
| 1/24/22 |
| 40,725 |
| 42,703 |
|
| Goldman Sachs Group Inc. |
| 3.000% |
| 4/26/22 |
| 30,275 |
| 29,310 |
|
2 | Goldman Sachs Group Inc. |
| 2.876% |
| 10/31/22 |
| 64,880 |
| 62,596 |
|
| Goldman Sachs Group Inc. |
| 3.625% |
| 1/22/23 |
| 35,320 |
| 34,815 |
|
| Goldman Sachs Group Inc. |
| 3.500% |
| 1/23/25 |
| 17,545 |
| 16,677 |
|
2 | Goldman Sachs Group Inc. |
| 3.272% |
| 9/29/25 |
| 46,260 |
| 43,393 |
|
| Goldman Sachs Group Inc. |
| 3.850% |
| 1/26/27 |
| 17,980 |
| 17,014 |
|
2 | Goldman Sachs Group Inc. |
| 3.691% |
| 6/5/28 |
| 15,055 |
| 13,991 |
|
2 | Goldman Sachs Group Inc. |
| 3.814% |
| 4/23/29 |
| 45,870 |
| 42,485 |
|
2 | Goldman Sachs Group Inc. |
| 4.223% |
| 5/1/29 |
| 67,740 |
| 64,810 |
|
| Goldman Sachs Group Inc. |
| 6.750% |
| 10/1/37 |
| 43,995 |
| 50,108 |
|
| Goldman Sachs Group Inc. |
| 6.250% |
| 2/1/41 |
| 35,320 |
| 40,364 |
|
| Goldman Sachs Group Inc. |
| 4.800% |
| 7/8/44 |
| 30,675 |
| 29,588 |
|
| Goldman Sachs Group Inc. |
| 4.750% |
| 10/21/45 |
| 12,715 |
| 12,090 |
|
4 | HSBC Bank plc |
| 4.125% |
| 8/12/20 |
| 15,000 |
| 15,160 |
|
4 | HSBC Bank plc |
| 4.750% |
| 1/19/21 |
| 62,040 |
| 63,530 |
|
| HSBC Holdings plc |
| 3.400% |
| 3/8/21 |
| 33,270 |
| 32,973 |
|
| HSBC Holdings plc |
| 4.000% |
| 3/30/22 |
| 72,455 |
| 72,913 |
|
| HSBC Holdings plc |
| 3.600% |
| 5/25/23 |
| 60,200 |
| 58,945 |
|
5 | HSBC Holdings plc |
| 3.640% |
| 5/18/24 |
| 26,340 |
| 25,879 |
|
| HSBC Holdings plc |
| 3.900% |
| 5/25/26 |
| 12,085 |
| 11,426 |
|
2 | HSBC Holdings plc |
| 4.041% |
| 3/13/28 |
| 21,805 |
| 20,589 |
|
2 | HSBC Holdings plc |
| 4.583% |
| 6/19/29 |
| 40,480 |
| 39,553 |
|
| HSBC Holdings plc |
| 6.500% |
| 5/2/36 |
| 25,000 |
| 27,975 |
|
| HSBC Holdings plc |
| 6.100% |
| 1/14/42 |
| 40,665 |
| 46,545 |
|
| HSBC Holdings plc |
| 5.250% |
| 3/14/44 |
| 13,210 |
| 12,930 |
|
| HSBC USA Inc. |
| 2.350% |
| 3/5/20 |
| 105,645 |
| 104,358 |
|
| HSBC USA Inc. |
| 3.500% |
| 6/23/24 |
| 28,025 |
| 27,247 |
|
| Huntington National Bank |
| 2.200% |
| 4/1/19 |
| 22,280 |
| 22,226 |
|
| Huntington National Bank |
| 2.400% |
| 4/1/20 |
| 44,990 |
| 44,360 |
|
| ING Groep NV |
| 3.150% |
| 3/29/22 |
| 12,955 |
| 12,618 |
|
| ING Groep NV |
| 3.950% |
| 3/29/27 |
| 32,965 |
| 31,112 |
|
| JPMorgan Chase & Co. |
| 6.300% |
| 4/23/19 |
| 10,340 |
| 10,467 |
|
| JPMorgan Chase & Co. |
| 4.950% |
| 3/25/20 |
| 55,000 |
| 56,186 |
|
| JPMorgan Chase & Co. |
| 4.350% |
| 8/15/21 |
| 41,386 |
| 42,050 |
|
| JPMorgan Chase & Co. |
| 4.500% |
| 1/24/22 |
| 44,780 |
| 45,813 |
|
| JPMorgan Chase & Co. |
| 3.250% |
| 9/23/22 |
| 18,645 |
| 18,341 |
|
| JPMorgan Chase & Co. |
| 3.375% |
| 5/1/23 |
| 27,610 |
| 26,817 |
|
| JPMorgan Chase & Co. |
| 3.875% |
| 2/1/24 |
| 39,000 |
| 39,020 |
|
| JPMorgan Chase & Co. |
| 3.900% |
| 7/15/25 |
| 13,870 |
| 13,616 |
|
| JPMorgan Chase & Co. |
| 4.125% |
| 12/15/26 |
| 29,835 |
| 29,187 |
|
| JPMorgan Chase & Co. |
| 4.250% |
| 10/1/27 |
| 13,420 |
| 13,082 |
|
2 | JPMorgan Chase & Co. |
| 4.452% |
| 12/5/29 |
| 64,735 |
| 64,510 |
|
| JPMorgan Chase & Co. |
| 5.600% |
| 7/15/41 |
| 96,000 |
| 106,659 |
|
| JPMorgan Chase & Co. |
| 5.400% |
| 1/6/42 |
| 18,035 |
| 19,455 |
|
| JPMorgan Chase & Co. |
| 5.625% |
| 8/16/43 |
| 16,100 |
| 17,373 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| JPMorgan Chase & Co. |
| 4.950% |
| 6/1/45 |
| 15,000 |
| 15,043 |
|
2 |
| 3.964% |
| 11/15/48 |
| 159,600 |
| 141,355 |
| |
4 |
| 2.400% |
| 1/21/20 |
| 12,610 |
| 12,495 |
| |
2,4 |
| 4.150% |
| 3/27/24 |
| 49,500 |
| 48,943 |
| |
|
| 2.100% |
| 2/6/20 |
| 17,870 |
| 17,631 |
| |
|
| 2.900% |
| 2/6/25 |
| 24,685 |
| 23,460 |
| |
|
| 2.500% |
| 1/24/19 |
| 100,000 |
| 99,919 |
| |
|
| 5.625% |
| 9/23/19 |
| 24,355 |
| 24,797 |
| |
|
| 5.750% |
| 1/25/21 |
| 79,825 |
| 83,147 |
| |
|
| 2.500% |
| 4/21/21 |
| 21,815 |
| 21,210 |
| |
|
| 2.625% |
| 11/17/21 |
| 30,000 |
| 29,009 |
| |
|
| 2.750% |
| 5/19/22 |
| 63,420 |
| 61,094 |
| |
|
| 3.875% |
| 4/29/24 |
| 97,010 |
| 95,574 |
| |
|
| 3.700% |
| 10/23/24 |
| 29,050 |
| 28,132 |
| |
|
| 4.000% |
| 7/23/25 |
| 29,455 |
| 28,899 |
| |
|
| 3.125% |
| 7/27/26 |
| 11,435 |
| 10,441 |
| |
|
| 6.250% |
| 8/9/26 |
| 20,000 |
| 22,210 |
| |
|
| 3.625% |
| 1/20/27 |
| 64,000 |
| 60,558 |
| |
2 |
| 3.772% |
| 1/24/29 |
| 56,905 |
| 53,609 |
| |
|
| 4.300% |
| 1/27/45 |
| 18,360 |
| 16,594 |
| |
|
| 6.875% |
| 5/15/19 |
| 13,950 |
| 14,177 |
| |
4 |
| 2.750% |
| 5/30/22 |
| 56,530 |
| 54,136 |
| |
|
| 3.300% |
| 10/30/24 |
| 18,195 |
| 17,837 |
| |
|
| 4.200% |
| 11/1/25 |
| 16,650 |
| 16,868 |
| |
|
| 3.100% |
| 10/25/27 |
| 41,975 |
| 39,233 |
| |
|
| 3.250% |
| 1/22/28 |
| 60,465 |
| 57,337 |
| |
|
| 3.900% |
| 4/29/24 |
| 41,565 |
| 41,237 |
| |
8 |
| 0.000% |
| 1/3/19 |
| 49,750 |
| 37,378 |
| |
|
| 2.750% |
| 2/1/22 |
| 43,960 |
| 42,937 |
| |
|
| 2.650% |
| 4/17/20 |
| 23,185 |
| 22,970 |
| |
|
| 3.700% |
| 3/28/22 |
| 33,065 |
| 32,272 |
| |
|
| 3.400% |
| 1/18/23 |
| 20,375 |
| 19,308 |
| |
4 |
| 2.450% |
| 5/27/20 |
| 61,300 |
| 60,547 |
| |
4 |
| 3.250% |
| 1/12/22 |
| 54,445 |
| 52,883 |
| |
2 |
| 2.653% |
| 5/15/23 |
| 30,770 |
| 29,655 |
| |
|
| 3.300% |
| 5/15/26 |
| 12,895 |
| 12,105 |
| |
|
| 3.650% |
| 5/24/21 |
| 46,195 |
| 45,203 |
| |
|
| 2.500% |
| 12/14/20 |
| 49,340 |
| 48,584 |
| |
4 |
| 2.200% |
| 6/8/20 |
| 53,390 |
| 52,356 |
| |
4 |
| 4.500% |
| 6/26/48 |
| 28,285 |
| 28,312 |
| |
4 |
| 2.950% |
| 9/24/20 |
| 44,570 |
| 43,962 |
| |
4 |
| 3.000% |
| 4/15/21 |
| 5,130 |
| 5,035 |
| |
|
| 2.625% |
| 1/24/22 |
| 46,910 |
| 45,790 |
| |
|
| 3.700% |
| 1/30/24 |
| 52,500 |
| 52,735 |
| |
|
| 2.150% |
| 1/15/19 |
| 91,150 |
| 91,077 |
| |
|
| 2.150% |
| 1/30/20 |
| 46,155 |
| 45,548 |
| |
|
| 3.000% |
| 1/22/21 |
| 26,735 |
| 26,414 |
| |
|
| 3.500% |
| 3/8/22 |
| 64,245 |
| 63,437 |
| |
|
| 3.069% |
| 1/24/23 |
| 12,990 |
| 12,632 |
| |
|
| 3.450% |
| 2/13/23 |
| 48,895 |
| 47,856 |
| |
|
| 4.480% |
| 1/16/24 |
| 46,156 |
| 46,864 |
| |
|
| 3.550% |
| 9/29/25 |
| 32,170 |
| 30,960 |
| |
|
| 3.000% |
| 4/22/26 |
| 39,405 |
| 36,336 |
| |
|
| 5.606% |
| 1/15/44 |
| 68,281 |
| 72,236 |
| |
|
| 4.650% |
| 11/4/44 |
| 10,315 |
| 9,539 |
| |
|
| 4.900% |
| 11/17/45 |
| 19,160 |
| 18,277 |
| |
|
| 4.400% |
| 6/14/46 |
| 38,300 |
| 34,723 |
| |
|
| 4.750% |
| 12/7/46 |
| 23,150 |
| 22,048 |
| |
|
| 2.300% |
| 5/26/20 |
| 22,554 |
| 22,223 |
| |
| Brokerage (0.0%) |
|
|
|
|
|
|
|
|
|
|
| 5.300% |
| 3/15/20 |
| 11,590 |
| 11,868 |
| |
|
| 3.200% |
| 3/2/27 |
| 19,665 |
| 18,596 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Finance Companies (0.2%) |
|
|
|
|
|
|
|
|
|
|
| 4.418% |
| 11/15/35 |
| 238,845 |
| 192,567 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| 9.700% |
| 4/1/30 |
| 20,000 |
| 27,000 |
| |
|
| 2.800% |
| 6/15/23 |
| 25,660 |
| 24,330 |
| |
|
| 3.700% |
| 8/15/21 |
| 10,000 |
| 10,016 |
| |
|
| 3.300% |
| 1/15/23 |
| 42,468 |
| 41,547 |
| |
|
| 3.650% |
| 12/1/27 |
| 26,975 |
| 25,340 |
| |
|
| 4.101% |
| 3/1/28 |
| 40,910 |
| 39,725 |
| |
|
| 4.650% |
| 8/15/44 |
| 13,445 |
| 12,658 |
| |
|
| 4.375% |
| 12/1/47 |
| 9,745 |
| 8,758 |
| |
|
| 6.000% |
| 5/11/37 |
| 50,000 |
| 58,544 |
| |
|
| 2.300% |
| 11/3/20 |
| 6,330 |
| 6,205 |
| |
|
| 3.350% |
| 5/15/24 |
| 22,345 |
| 21,826 |
| |
|
| 4.350% |
| 11/3/45 |
| 29,835 |
| 29,222 |
| |
|
| 3.250% |
| 4/15/25 |
| 31,655 |
| 29,861 |
| |
4 |
| 7.050% |
| 7/15/28 |
| 25,000 |
| 29,174 |
| |
4 |
| 4.419% |
| 11/15/23 |
| 5,935 |
| 6,052 |
| |
4 |
| 4.375% |
| 10/15/28 |
| 18,600 |
| 18,217 |
| |
4 |
| 4.800% |
| 8/15/38 |
| 26,415 |
| 25,456 |
| |
4 |
| 4.900% |
| 12/15/48 |
| 26,495 |
| 25,232 |
| |
4 |
| 3.250% |
| 1/30/24 |
| 24,070 |
| 23,253 |
| |
4 |
| 8.150% |
| 3/15/27 |
| 18,890 |
| 23,380 |
| |
4 |
| 4.250% |
| 6/15/23 |
| 14,330 |
| 14,339 |
| |
4 |
| 7.875% |
| 10/15/26 |
| 31,210 |
| 37,783 |
| |
4 |
| 2.350% |
| 4/9/19 |
| 28,000 |
| 27,934 |
| |
|
| 3.600% |
| 4/10/24 |
| 35,035 |
| 34,838 |
| |
|
| 4.125% |
| 8/13/42 |
| 5,565 |
| 5,071 |
| |
|
| 4.875% |
| 11/13/43 |
| 20,820 |
| 21,005 |
| |
4 |
| 3.450% |
| 10/9/21 |
| 29,155 |
| 29,111 |
| |
4 |
| 2.650% |
| 4/8/22 |
| 13,770 |
| 13,346 |
| |
4 |
| 3.450% |
| 12/18/26 |
| 23,660 |
| 22,810 |
| |
4 |
| 3.000% |
| 9/19/27 |
| 21,455 |
| 19,868 |
| |
4 |
| 2.900% |
| 1/17/24 |
| 29,050 |
| 27,978 |
| |
4 |
| 5.875% |
| 5/15/33 |
| 55,395 |
| 65,147 |
| |
4 |
| 3.850% |
| 9/30/47 |
| 24,134 |
| 21,386 |
| |
|
| 4.500% |
| 11/15/20 |
| 24,365 |
| 24,890 |
| |
4 |
| 4.900% |
| 9/15/44 |
| 24,830 |
| 25,366 |
| |
4 |
| 4.270% |
| 5/15/47 |
| 42,390 |
| 39,713 |
| |
|
| 7.875% |
| 5/15/23 |
| 45,000 |
| 51,166 |
| |
|
| 3.875% |
| 10/15/20 |
| 27,960 |
| 28,291 |
| |
|
| 2.875% |
| 3/15/22 |
| 4,696 |
| 4,608 |
| |
|
| 2.875% |
| 3/15/23 |
| 16,000 |
| 15,565 |
| |
|
| 3.100% |
| 3/15/26 |
| 15,350 |
| 14,572 |
| |
|
| 3.850% |
| 6/15/28 |
| 34,565 |
| 34,603 |
| |
|
| 4.625% |
| 7/15/35 |
| 23,710 |
| 24,607 |
| |
|
| 4.250% |
| 3/15/43 |
| 67,400 |
| 65,784 |
| |
|
| 4.750% |
| 7/15/45 |
| 30,995 |
| 32,172 |
| |
|
| 4.200% |
| 1/15/47 |
| 8,620 |
| 8,258 |
| |
|
| 4.250% |
| 6/15/48 |
| 48,235 |
| 46,474 |
| |
| Other Finance (0.1%) |
|
|
|
|
|
|
|
|
|
4 |
| 2.350% |
| 6/15/20 |
| 22,530 |
| 22,102 |
| |
4 |
| 2.875% |
| 1/22/19 |
| 24,670 |
| 24,663 |
| |
| Real Estate Investment Trusts (0.1%) |
|
|
|
|
|
|
|
|
|
|
| 3.625% |
| 10/1/20 |
| 20,780 |
| 20,837 |
| |
|
| 3.125% |
| 9/1/23 |
| 13,275 |
| 12,753 |
| |
|
| 3.800% |
| 2/1/24 |
| 1,750 |
| 1,731 |
| |
|
| 4.650% |
| 8/1/23 |
| 25,010 |
| 25,882 |
| |
|
| 3.750% |
| 2/1/24 |
| 3,265 |
| 3,254 |
| |
|
| 3.375% |
| 10/1/24 |
| 10,055 |
| 9,769 |
| |
4 |
| 4.125% |
| 9/20/28 |
| 21,310 |
| 21,037 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
4 | WEA Finance LLC |
| 4.625% |
| 9/20/48 |
| 27,205 |
| 25,535 |
|
4 |
| 2.700% |
| 9/17/19 |
| 22,360 |
| 22,224 |
| |
|
|
|
|
|
|
|
|
| 8,612,765 |
|
Industrial (9.6%) |
|
|
|
|
|
|
|
|
| |
| Basic Industry (0.0%) |
|
|
|
|
|
|
|
|
|
|
| 4.350% |
| 8/15/48 |
| 45,400 |
| 37,776 |
| |
2 |
| 9.800% |
| 4/15/20 |
| 1,125 |
| 1,185 |
| |
| Capital Goods (0.8%) |
|
|
|
|
|
|
|
|
|
4 |
| 2.850% |
| 12/15/20 |
| 6,060 |
| 5,955 |
| |
4 |
| 3.850% |
| 12/15/25 |
| 11,010 |
| 10,768 |
| |
|
| 8.625% |
| 11/15/31 |
| 9,460 |
| 13,447 |
| |
|
| 5.875% |
| 2/15/40 |
| 4,825 |
| 5,789 |
| |
|
| 2.625% |
| 3/1/23 |
| 53,000 |
| 51,176 |
| |
|
| 3.900% |
| 5/27/21 |
| 46,914 |
| 47,518 |
| |
|
| 2.600% |
| 6/26/22 |
| 11,345 |
| 10,993 |
| |
|
| 3.400% |
| 5/15/24 |
| 14,200 |
| 14,106 |
| |
|
| 7.125% |
| 3/3/31 |
| 17,500 |
| 22,388 |
| |
|
| 2.875% |
| 5/11/20 |
| 54,380 |
| 54,189 |
| |
|
| 3.875% |
| 7/15/21 |
| 14,925 |
| 15,080 |
| |
|
| 2.700% |
| 10/9/22 |
| 9,965 |
| 8,995 |
| |
|
| 3.100% |
| 1/9/23 |
| 8,635 |
| 7,844 |
| |
|
| 4.125% |
| 10/9/42 |
| 10,905 |
| 8,347 |
| |
|
| 4.250% |
| 3/1/21 |
| 40,681 |
| 41,557 |
| |
|
| 3.500% |
| 3/1/24 |
| 52,955 |
| 53,093 |
| |
|
| 2.250% |
| 4/17/19 |
| 28,125 |
| 28,059 |
| |
|
| 1.700% |
| 1/15/20 |
| 21,935 |
| 21,609 |
| |
|
| 3.450% |
| 3/13/25 |
| 43,145 |
| 42,479 |
| |
|
| 2.900% |
| 3/1/25 |
| 10,450 |
| 9,906 |
| |
|
| 4.500% |
| 5/15/36 |
| 8,015 |
| 8,060 |
| |
|
| 4.700% |
| 5/15/46 |
| 14,370 |
| 14,653 |
| |
|
| 4.090% |
| 9/15/52 |
| 5,500 |
| 4,992 |
| |
|
| 4.450% |
| 11/21/44 |
| 17,735 |
| 17,404 |
| |
4 |
| 2.900% |
| 5/27/22 |
| 39,625 |
| 38,859 |
| |
4 |
| 3.125% |
| 3/16/24 |
| 61,400 |
| 59,304 |
| |
4 |
| 4.400% |
| 5/27/45 |
| 34,365 |
| 33,973 |
| |
|
| 4.850% |
| 11/15/48 |
| 24,455 |
| 24,400 |
| |
|
| 3.100% |
| 6/1/22 |
| 7,010 |
| 6,836 |
| |
|
| 6.050% |
| 6/1/36 |
| 20,325 |
| 22,709 |
| |
|
| 6.125% |
| 7/15/38 |
| 37,300 |
| 42,538 |
| |
|
| 4.450% |
| 11/16/38 |
| 9,325 |
| 8,974 |
| |
|
| 4.500% |
| 6/1/42 |
| 16,902 |
| 15,867 |
| |
|
| 3.750% |
| 11/1/46 |
| 5,923 |
| 4,945 |
| |
| Communication (1.5%) |
|
|
|
|
|
|
|
|
|
|
| 3.000% |
| 9/15/22 |
| 11,891 |
| 11,577 |
| |
|
| 3.125% |
| 7/16/22 |
| 84,600 |
| 81,977 |
| |
|
| 6.125% |
| 3/30/40 |
| 7,380 |
| 8,372 |
| |
|
| 3.450% |
| 9/15/21 |
| 30,665 |
| 30,363 |
| |
|
| 5.000% |
| 2/15/24 |
| 7,655 |
| 7,915 |
| |
|
| 4.400% |
| 2/15/26 |
| 7,315 |
| 7,273 |
| |
|
| 5.200% |
| 3/15/20 |
| 10,120 |
| 10,349 |
| |
|
| 2.450% |
| 6/30/20 |
| 12,000 |
| 11,826 |
| |
|
| 4.600% |
| 2/15/21 |
| 5,000 |
| 5,082 |
| |
|
| 4.450% |
| 5/15/21 |
| 10,000 |
| 10,163 |
| |
|
| 4.300% |
| 2/15/21 |
| 27,830 |
| 28,082 |
| |
|
| 3.000% |
| 2/1/24 |
| 25,345 |
| 24,444 |
| |
|
| 3.600% |
| 3/1/24 |
| 50,730 |
| 50,358 |
| |
|
| 3.375% |
| 2/15/25 |
| 2,540 |
| 2,458 |
| |
|
| 2.350% |
| 1/15/27 |
| 19,620 |
| 17,175 |
| |
|
| 4.250% |
| 1/15/33 |
| 42,890 |
| 41,620 |
| |
|
| 4.200% |
| 8/15/34 |
| 26,890 |
| 25,339 |
| |
|
| 5.650% |
| 6/15/35 |
| 4,725 |
| 5,115 |
| |
|
| 4.400% |
| 8/15/35 |
| 32,325 |
| 30,898 |
| |
|
| 6.500% |
| 11/15/35 |
| 4,720 |
| 5,519 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Comcast Corp. |
| 6.400% |
| 5/15/38 |
| 968 |
| 1,125 |
|
|
| 4.600% |
| 10/15/38 |
| 48,045 |
| 46,977 |
| |
|
| 4.650% |
| 7/15/42 |
| 47,970 |
| 46,194 |
| |
|
| 4.500% |
| 1/15/43 |
| 22,000 |
| 20,780 |
| |
|
| 4.750% |
| 3/1/44 |
| 34,643 |
| 33,922 |
| |
|
| 4.600% |
| 8/15/45 |
| 43,296 |
| 41,658 |
| |
|
| 3.969% |
| 11/1/47 |
| 8,452 |
| 7,296 |
| |
|
| 4.000% |
| 3/1/48 |
| 12,180 |
| 10,650 |
| |
|
| 4.700% |
| 10/15/48 |
| 45,435 |
| 44,265 |
| |
|
| 3.999% |
| 11/1/49 |
| 23,162 |
| 20,057 |
| |
|
| 4.049% |
| 11/1/52 |
| 2,670 |
| 2,271 |
| |
|
| 4.950% |
| 10/15/58 |
| 35,175 |
| 34,548 |
| |
4 |
| 2.950% |
| 6/30/23 |
| 5,870 |
| 5,585 |
| |
4 |
| 3.150% |
| 8/15/24 |
| 7,268 |
| 6,869 |
| |
4 |
| 4.800% |
| 2/1/35 |
| 30,000 |
| 26,927 |
| |
4 |
| 6.450% |
| 12/1/36 |
| 5,850 |
| 6,168 |
| |
4 |
| 4.600% |
| 8/15/47 |
| 4,435 |
| 3,930 |
| |
|
| 3.650% |
| 9/1/27 |
| 10,215 |
| 9,393 |
| |
|
| 3.800% |
| 2/15/28 |
| 8,435 |
| 7,851 |
| |
|
| 5.625% |
| 8/15/19 |
| 6,511 |
| 6,624 |
| |
4 |
| 1.974% |
| 4/15/19 |
| 100,115 |
| 99,825 |
| |
|
| 4.375% |
| 4/1/21 |
| 23,900 |
| 24,381 |
| |
|
| 2.875% |
| 1/15/23 |
| 9,760 |
| 9,457 |
| |
|
| 4.450% |
| 1/15/43 |
| 10,370 |
| 9,747 |
| |
|
| 4.125% |
| 9/14/21 |
| 60,990 |
| 61,835 |
| |
|
| 9.000% |
| 3/1/31 |
| 20,280 |
| 27,828 |
| |
4 |
| 3.750% |
| 4/16/23 |
| 11,995 |
| 11,845 |
| |
4 |
| 2.625% |
| 9/16/19 |
| 38,021 |
| 37,784 |
| |
4 |
| 3.750% |
| 9/16/24 |
| 45,046 |
| 44,363 |
| |
2,4 |
| 4.738% |
| 3/20/25 |
| 46,090 |
| 45,802 |
| |
|
| 8.750% |
| 2/14/19 |
| 1,120 |
| 1,132 |
| |
|
| 8.250% |
| 4/1/19 |
| 14,433 |
| 14,657 |
| |
|
| 8.375% |
| 3/15/23 |
| 3,925 |
| 4,495 |
| |
|
| 3.500% |
| 11/1/21 |
| 5,495 |
| 5,497 |
| |
|
| 4.812% |
| 3/15/39 |
| 85,963 |
| 82,703 |
| |
|
| 4.750% |
| 11/1/41 |
| 11,880 |
| 11,223 |
| |
|
| 4.862% |
| 8/21/46 |
| 36,117 |
| 34,465 |
| |
|
| 5.012% |
| 4/15/49 |
| 21,754 |
| 21,151 |
| |
|
| 4.672% |
| 3/15/55 |
| 21,150 |
| 19,006 |
| |
|
| 3.750% |
| 1/16/24 |
| 23,535 |
| 22,909 |
| |
|
| 4.125% |
| 5/30/25 |
| 19,800 |
| 19,260 |
| |
|
| 5.000% |
| 5/30/38 |
| 1,895 |
| 1,750 |
| |
|
| 5.250% |
| 5/30/48 |
| 28,420 |
| 26,172 |
| |
|
| 4.125% |
| 6/1/44 |
| 23,115 |
| 22,305 |
| |
|
| 4.750% |
| 3/29/21 |
| 8,000 |
| 8,180 |
| |
|
| 3.600% |
| 7/15/25 |
| 22,350 |
| 21,043 |
| |
| Consumer Cyclical (1.0%) |
|
|
|
|
|
|
|
|
|
|
| 2.500% |
| 11/28/19 |
| 12,965 |
| 12,887 |
| |
|
| 3.125% |
| 11/28/21 |
| 2,515 |
| 2,480 |
| |
|
| 3.600% |
| 11/28/24 |
| 39,860 |
| 38,679 |
| |
|
| 3.400% |
| 12/6/27 |
| 59,970 |
| 55,021 |
| |
|
| 2.500% |
| 11/29/22 |
| 34,760 |
| 33,384 |
| |
|
| 2.800% |
| 8/22/24 |
| 26,480 |
| 25,203 |
| |
|
| 4.800% |
| 12/5/34 |
| 37,370 |
| 39,368 |
| |
|
| 4.950% |
| 12/5/44 |
| 22,605 |
| 24,215 |
| |
|
| 4.250% |
| 8/22/57 |
| 51,360 |
| 48,445 |
| |
|
| 3.700% |
| 4/15/22 |
| 46,136 |
| 45,912 |
| |
4 |
| 2.000% |
| 4/11/21 |
| 21,300 |
| 20,479 |
| |
4 |
| 2.800% |
| 4/11/26 |
| 5,805 |
| 5,300 |
| |
4 |
| 2.250% |
| 7/31/19 |
| 73,100 |
| 72,566 |
| |
4 |
| 2.200% |
| 5/5/20 |
| 16,565 |
| 16,254 |
| |
4 |
| 2.450% |
| 5/18/20 |
| 8,340 |
| 8,206 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
4 | Daimler Finance North America LLC |
| 2.300% |
| 2/12/21 |
| 34,470 |
| 33,472 |
|
4 |
| 3.875% |
| 9/15/21 |
| 3,961 |
| 3,970 |
| |
4 |
| 3.250% |
| 8/1/24 |
| 5,870 |
| 5,628 |
| |
|
| 2.375% |
| 3/12/19 |
| 45,000 |
| 44,876 |
| |
|
| 3.157% |
| 8/4/20 |
| 26,655 |
| 26,044 |
| |
|
| 3.550% |
| 4/9/21 |
| 16,395 |
| 16,103 |
| |
|
| 3.950% |
| 4/13/24 |
| 57,810 |
| 54,741 |
| |
|
| 2.700% |
| 4/1/23 |
| 31,170 |
| 30,317 |
| |
|
| 3.900% |
| 12/6/28 |
| 10,250 |
| 10,270 |
| |
|
| 4.400% |
| 3/15/45 |
| 28,655 |
| 28,197 |
| |
|
| 4.500% |
| 12/6/48 |
| 12,215 |
| 12,247 |
| |
4 |
| 2.550% |
| 4/3/20 |
| 28,910 |
| 28,427 |
| |
4,5 |
| 3.348% |
| 7/8/21 |
| 50,400 |
| 50,509 |
| |
|
| 3.100% |
| 5/3/27 |
| 68,700 |
| 64,666 |
| |
|
| 6.500% |
| 3/15/29 |
| 13,301 |
| 15,874 |
| |
|
| 2.625% |
| 1/15/22 |
| 7,805 |
| 7,602 |
| |
|
| 3.250% |
| 6/10/24 |
| 5,460 |
| 5,311 |
| |
|
| 4.875% |
| 12/9/45 |
| 9,940 |
| 9,839 |
| |
|
| 4.500% |
| 11/15/48 |
| 36,060 |
| 32,996 |
| |
4 |
| 2.450% |
| 11/20/19 |
| 16,935 |
| 16,783 |
| |
|
| 2.550% |
| 4/11/23 |
| 38,325 |
| 36,904 |
| |
|
| 3.550% |
| 6/26/25 |
| 56,910 |
| 56,790 |
| |
|
| 3.625% |
| 12/15/47 |
| 14,215 |
| 12,690 |
| |
| Consumer Noncyclical (3.4%) |
|
|
|
|
|
|
|
|
|
|
| 3.450% |
| 3/15/22 |
| 18,695 |
| 18,289 |
| |
|
| 3.800% |
| 3/15/25 |
| 15,725 |
| 15,087 |
| |
|
| 4.850% |
| 6/15/44 |
| 18,000 |
| 16,581 |
| |
|
| 4.750% |
| 5/5/21 |
| 23,376 |
| 23,849 |
| |
|
| 2.850% |
| 8/9/22 |
| 18,810 |
| 18,054 |
| |
|
| 4.500% |
| 5/2/43 |
| 10,705 |
| 9,508 |
| |
|
| 3.875% |
| 9/16/46 |
| 22,775 |
| 18,269 |
| |
|
| 3.500% |
| 11/15/21 |
| 12,320 |
| 12,216 |
| |
|
| 3.875% |
| 11/15/21 |
| 13,315 |
| 13,422 |
| |
|
| 5.150% |
| 11/15/41 |
| 36,380 |
| 36,652 |
| |
|
| 4.663% |
| 6/15/51 |
| 9,600 |
| 8,875 |
| |
|
| 6.500% |
| 1/1/28 |
| 19,550 |
| 22,270 |
| |
|
| 3.300% |
| 2/1/23 |
| 75,400 |
| 72,960 |
| |
|
| 3.750% |
| 1/15/22 |
| 2,390 |
| 2,378 |
| |
|
| 2.500% |
| 7/15/22 |
| 117,831 |
| 111,653 |
| |
4 |
| 3.650% |
| 2/1/26 |
| 68,045 |
| 64,073 |
| |
4 |
| 4.700% |
| 2/1/36 |
| 133,300 |
| 125,585 |
| |
|
| 4.375% |
| 4/15/38 |
| 22,845 |
| 20,526 |
| |
|
| 4.950% |
| 1/15/42 |
| 4,100 |
| 3,851 |
| |
|
| 3.750% |
| 7/15/42 |
| 19,610 |
| 15,602 |
| |
4 |
| 4.900% |
| 2/1/46 |
| 99,460 |
| 92,491 |
| |
|
| 4.600% |
| 4/15/48 |
| 14,225 |
| 12,763 |
| |
|
| 4.500% |
| 3/15/49 |
| 18,620 |
| 18,457 |
| |
2 |
| 4.847% |
| 11/15/53 |
| 44,750 |
| 47,529 |
| |
|
| 1.950% |
| 9/18/19 |
| 12,065 |
| 11,943 |
| |
|
| 2.375% |
| 11/16/20 |
| 44,480 |
| 43,563 |
| |
|
| 4.000% |
| 1/17/29 |
| 34,110 |
| 33,044 |
| |
|
| 6.450% |
| 9/15/37 |
| 23,385 |
| 27,406 |
| |
|
| 3.557% |
| 8/15/27 |
| 63,450 |
| 57,028 |
| |
4 |
| 4.250% |
| 12/15/25 |
| 35,465 |
| 34,443 |
| |
4 |
| 2.375% |
| 10/8/19 |
| 7,510 |
| 7,443 |
| |
4 |
| 3.000% |
| 10/8/21 |
| 46,850 |
| 45,693 |
| |
|
| 2.900% |
| 9/15/20 |
| 21,115 |
| 20,881 |
| |
|
| 2.400% |
| 11/15/19 |
| 27,350 |
| 27,103 |
| |
|
| 3.200% |
| 3/15/23 |
| 13,035 |
| 12,581 |
| |
|
| 3.079% |
| 6/15/24 |
| 12,670 |
| 11,883 |
| |
|
| 3.500% |
| 11/15/24 |
| 24,705 |
| 23,439 |
| |
|
| 4.500% |
| 11/15/44 |
| 28,805 |
| 24,071 |
| |
4 |
| 4.307% |
| 5/14/21 |
| 60,532 |
| 61,916 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
4 | Cargill Inc. |
| 6.875% |
| 5/1/28 |
| 19,355 |
| 22,790 |
|
4 |
| 4.760% |
| 11/23/45 |
| 28,190 |
| 29,268 |
| |
|
| 2.950% |
| 11/1/22 |
| 18,735 |
| 18,086 |
| |
|
| 4.200% |
| 8/1/23 |
| 9,885 |
| 9,978 |
| |
2 |
| 4.350% |
| 11/1/42 |
| 22,115 |
| 19,445 |
| |
|
| 2.250% |
| 5/15/19 |
| 6,565 |
| 6,537 |
| |
|
| 3.250% |
| 8/15/22 |
| 16,250 |
| 15,805 |
| |
|
| 3.550% |
| 8/15/22 |
| 18,400 |
| 18,127 |
| |
|
| 3.300% |
| 9/1/21 |
| 10,075 |
| 10,129 |
| |
|
| 4.500% |
| 9/1/21 |
| 8,430 |
| 8,590 |
| |
|
| 3.500% |
| 9/15/20 |
| 9,900 |
| 9,885 |
| |
|
| 3.875% |
| 11/26/23 |
| 34,200 |
| 33,533 |
| |
|
| 7.600% |
| 5/19/25 |
| 13,920 |
| 17,143 |
| |
|
| 4.600% |
| 11/1/25 |
| 7,855 |
| 7,870 |
| |
|
| 5.300% |
| 11/1/38 |
| 23,500 |
| 22,751 |
| |
|
| 2.700% |
| 5/9/22 |
| 2,385 |
| 2,287 |
| |
|
| 2.750% |
| 12/1/22 |
| 40,255 |
| 38,167 |
| |
|
| 4.875% |
| 7/20/35 |
| 6,900 |
| 6,701 |
| |
|
| 5.125% |
| 7/20/45 |
| 51,200 |
| 49,752 |
| |
|
| 5.050% |
| 3/25/48 |
| 22,120 |
| 21,383 |
| |
|
| 2.625% |
| 4/29/23 |
| 48,310 |
| 46,398 |
| |
|
| 2.875% |
| 5/11/22 |
| 26,991 |
| 26,351 |
| |
|
| 2.637% |
| 11/1/19 |
| 5,595 |
| 5,567 |
| |
|
| 3.812% |
| 11/1/24 |
| 20,780 |
| 20,335 |
| |
|
| 3.700% |
| 3/1/45 |
| 24,450 |
| 22,214 |
| |
4 |
| 2.950% |
| 3/19/22 |
| 23,660 |
| 23,075 |
| |
4 |
| 4.875% |
| 2/15/21 |
| 4,184 |
| 4,262 |
| |
|
| 2.550% |
| 9/1/20 |
| 26,330 |
| 25,977 |
| |
|
| 3.700% |
| 4/1/24 |
| 26,895 |
| 26,670 |
| |
|
| 3.500% |
| 2/1/25 |
| 22,335 |
| 21,640 |
| |
|
| 4.500% |
| 2/1/45 |
| 32,375 |
| 30,189 |
| |
|
| 4.750% |
| 3/1/46 |
| 7,340 |
| 7,075 |
| |
|
| 2.800% |
| 3/18/23 |
| 31,740 |
| 30,586 |
| |
|
| 5.375% |
| 4/15/34 |
| 45,000 |
| 50,002 |
| |
|
| 2.850% |
| 5/8/22 |
| 28,930 |
| 28,223 |
| |
4 |
| 3.750% |
| 7/21/22 |
| 34,745 |
| 34,091 |
| |
|
| 3.500% |
| 4/1/22 |
| 20,786 |
| 20,906 |
| |
|
| 3.150% |
| 5/1/27 |
| 17,935 |
| 17,020 |
| |
|
| 4.875% |
| 4/1/42 |
| 14,250 |
| 15,288 |
| |
|
| 3.000% |
| 6/1/26 |
| 19,550 |
| 17,192 |
| |
|
| 5.000% |
| 7/15/35 |
| 8,940 |
| 8,234 |
| |
|
| 4.375% |
| 6/1/46 |
| 61,615 |
| 50,176 |
| |
|
| 3.850% |
| 8/1/23 |
| 10,770 |
| 10,731 |
| |
|
| 4.000% |
| 2/1/24 |
| 22,290 |
| 22,039 |
| |
|
| 4.450% |
| 2/1/47 |
| 6,450 |
| 5,622 |
| |
|
| 2.700% |
| 12/15/22 |
| 7,710 |
| 7,383 |
| |
|
| 2.850% |
| 3/15/23 |
| 7,620 |
| 7,259 |
| |
|
| 2.500% |
| 3/15/20 |
| 34,350 |
| 34,055 |
| |
|
| 3.150% |
| 3/15/22 |
| 72,005 |
| 70,692 |
| |
|
| 3.625% |
| 3/15/24 |
| 10,350 |
| 10,276 |
| |
|
| 3.500% |
| 3/15/25 |
| 76,150 |
| 74,648 |
| |
|
| 4.375% |
| 3/15/35 |
| 9,889 |
| 9,913 |
| |
|
| 4.125% |
| 7/1/52 |
| 12,320 |
| 11,742 |
| |
|
| 4.200% |
| 7/1/55 |
| 10,630 |
| 10,220 |
| |
|
| 2.350% |
| 2/10/22 |
| 30,760 |
| 29,654 |
| |
|
| 2.800% |
| 5/18/23 |
| 54,775 |
| 53,350 |
| |
|
| 2.750% |
| 2/10/25 |
| 47,090 |
| 44,998 |
| |
|
| 4.150% |
| 5/18/43 |
| 22,090 |
| 21,844 |
| |
|
| 3.500% |
| 5/1/22 |
| 16,525 |
| 16,407 |
| |
|
| 3.950% |
| 6/15/26 |
| 60,095 |
| 55,230 |
| |
|
| 4.024% |
| 8/1/45 |
| 28,410 |
| 26,727 |
| |
|
| 3.400% |
| 5/6/24 |
| 16,695 |
| 16,519 |
| |
|
| 4.400% |
| 5/6/44 |
| 25,896 |
| 26,199 |
| |
|
| 3.443% |
| 7/1/21 |
| 1,950 |
| 1,954 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| PepsiCo Inc. |
| 2.750% |
| 3/1/23 |
| 29,800 |
| 28,840 |
|
|
| 4.000% |
| 3/5/42 |
| 51,391 |
| 49,039 |
| |
|
| 3.000% |
| 6/15/23 |
| 47,025 |
| 46,155 |
| |
|
| 4.100% |
| 9/15/38 |
| 53,995 |
| 52,821 |
| |
|
| 4.500% |
| 3/26/20 |
| 8,250 |
| 8,391 |
| |
|
| 4.125% |
| 5/17/21 |
| 43,025 |
| 43,525 |
| |
|
| 2.500% |
| 8/22/22 |
| 21,645 |
| 20,645 |
| |
|
| 2.625% |
| 3/6/23 |
| 46,850 |
| 44,360 |
| |
|
| 3.375% |
| 8/11/25 |
| 14,440 |
| 13,975 |
| |
|
| 4.875% |
| 11/15/43 |
| 6,185 |
| 6,029 |
| |
2 |
| 9.360% |
| 1/1/21 |
| 16,980 |
| 18,019 |
| |
2 |
| 3.930% |
| 10/1/48 |
| 11,805 |
| 10,716 |
| |
4 |
| 2.875% |
| 9/29/21 |
| 33,000 |
| 32,638 |
| |
|
| 4.000% |
| 3/29/21 |
| 44,090 |
| 44,708 |
| |
4 |
| 4.125% |
| 5/2/26 |
| 17,400 |
| 16,042 |
| |
4 |
| 2.750% |
| 6/15/20 |
| 21,250 |
| 20,867 |
| |
4 |
| 3.250% |
| 6/7/22 |
| 58,280 |
| 56,409 |
| |
4 |
| 3.500% |
| 6/15/22 |
| 8,980 |
| 8,769 |
| |
|
| 3.823% |
| 6/1/27 |
| 34,910 |
| 33,513 |
| |
|
| 3.795% |
| 11/15/48 |
| 8,465 |
| 7,798 |
| |
|
| 2.800% |
| 7/21/23 |
| 37,215 |
| 32,716 |
| |
|
| 4.250% |
| 2/10/21 |
| 95,235 |
| 97,047 |
| |
|
| 5.950% |
| 4/1/37 |
| 25,000 |
| 29,826 |
| |
|
| 7.000% |
| 11/15/23 |
| 29,000 |
| 32,738 |
| |
| Energy (1.0%) |
|
|
|
|
|
|
|
|
|
4 |
| 4.000% |
| 10/15/21 |
| 5,000 |
| 5,038 |
| |
|
| 4.750% |
| 3/10/19 |
| 27,215 |
| 27,370 |
| |
|
| 2.315% |
| 2/13/20 |
| 5,855 |
| 5,789 |
| |
|
| 4.500% |
| 10/1/20 |
| 16,000 |
| 16,390 |
| |
|
| 3.062% |
| 3/17/22 |
| 43,130 |
| 42,344 |
| |
|
| 3.245% |
| 5/6/22 |
| 35,000 |
| 34,531 |
| |
|
| 2.500% |
| 11/6/22 |
| 22,000 |
| 21,017 |
| |
|
| 3.994% |
| 9/26/23 |
| 16,185 |
| 16,331 |
| |
|
| 3.814% |
| 2/10/24 |
| 38,938 |
| 38,842 |
| |
|
| 3.506% |
| 3/17/25 |
| 50,285 |
| 48,626 |
| |
|
| 3.191% |
| 6/24/23 |
| 49,470 |
| 48,658 |
| |
|
| 4.950% |
| 3/15/26 |
| 4,385 |
| 4,624 |
| |
|
| 3.550% |
| 11/1/23 |
| 21,445 |
| 20,865 |
| |
|
| 4.800% |
| 11/1/43 |
| 4,185 |
| 4,093 |
| |
|
| 4.600% |
| 12/15/44 |
| 7,008 |
| 6,727 |
| |
|
| 4.250% |
| 2/15/48 |
| 26,420 |
| 22,798 |
| |
|
| 5.625% |
| 6/1/19 |
| 23,100 |
| 23,418 |
| |
|
| 2.222% |
| 3/1/21 |
| 14,165 |
| 13,860 |
| |
|
| 2.726% |
| 3/1/23 |
| 11,910 |
| 11,538 |
| |
|
| 3.043% |
| 3/1/26 |
| 8,115 |
| 7,752 |
| |
|
| 4.114% |
| 3/1/46 |
| 12,060 |
| 11,586 |
| |
|
| 4.150% |
| 12/15/21 |
| 15,961 |
| 15,964 |
| |
|
| 4.100% |
| 2/1/21 |
| 39,240 |
| 39,690 |
| |
|
| 2.700% |
| 2/15/23 |
| 10,750 |
| 10,293 |
| |
|
| 3.400% |
| 4/15/26 |
| 8,035 |
| 7,747 |
| |
|
| 3.850% |
| 10/15/23 |
| 36,775 |
| 35,263 |
| |
4 |
| 3.000% |
| 12/21/20 |
| 30,755 |
| 30,341 |
| |
4 |
| 2.400% |
| 8/1/22 |
| 23,925 |
| 22,851 |
| |
|
| 3.650% |
| 12/1/23 |
| 44,520 |
| 44,147 |
| |
|
| 3.250% |
| 5/11/25 |
| 11,051 |
| 10,679 |
| |
|
| 4.125% |
| 5/11/35 |
| 43,465 |
| 42,007 |
| |
|
| 5.500% |
| 3/25/40 |
| 12,990 |
| 14,635 |
| |
|
| 4.375% |
| 5/11/45 |
| 96,700 |
| 95,076 |
| |
|
| 5.950% |
| 12/1/34 |
| 20,700 |
| 22,694 |
| |
|
| 4.400% |
| 4/1/21 |
| 30,900 |
| 31,067 |
| |
|
| 2.700% |
| 1/25/23 |
| 36,510 |
| 35,274 |
| |
|
| 3.750% |
| 4/10/24 |
| 41,500 |
| 41,666 |
| |
|
| 7.125% |
| 1/15/19 |
| 19,840 |
| 19,929 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
| 3.800% |
| 10/1/20 |
| 47,125 |
| 47,307 |
| |
|
| 4.875% |
| 1/15/26 |
| 47,256 |
| 48,103 |
| |
| Other Industrial (0.0%) |
|
|
|
|
|
|
|
|
|
2 |
| 4.083% |
| 7/1/53 |
| 26,970 |
| 25,931 |
| |
| Technology (1.5%) |
|
|
|
|
|
|
|
|
|
|
| 3.000% |
| 2/9/24 |
| 22,535 |
| 21,865 |
| |
|
| 3.450% |
| 5/6/24 |
| 39,950 |
| 39,415 |
| |
|
| 2.850% |
| 5/11/24 |
| 44,990 |
| 43,155 |
| |
|
| 2.750% |
| 1/13/25 |
| 21,495 |
| 20,335 |
| |
|
| 3.250% |
| 2/23/26 |
| 37,631 |
| 36,227 |
| |
|
| 2.450% |
| 8/4/26 |
| 43,466 |
| 39,415 |
| |
|
| 3.350% |
| 2/9/27 |
| 55,925 |
| 53,498 |
| |
|
| 3.200% |
| 5/11/27 |
| 39,185 |
| 37,158 |
| |
|
| 2.900% |
| 9/12/27 |
| 55,355 |
| 51,172 |
| |
|
| 3.850% |
| 5/4/43 |
| 17,000 |
| 15,529 |
| |
|
| 4.450% |
| 5/6/44 |
| 5,075 |
| 5,065 |
| |
|
| 3.850% |
| 8/4/46 |
| 36,890 |
| 33,259 |
| |
|
| 3.300% |
| 4/1/27 |
| 31,840 |
| 29,980 |
| |
|
| 3.625% |
| 1/15/24 |
| 35,975 |
| 33,899 |
| |
|
| 2.500% |
| 9/20/26 |
| 15,676 |
| 14,296 |
| |
|
| 2.875% |
| 5/11/24 |
| 29,395 |
| 28,260 |
| |
|
| 4.100% |
| 5/19/46 |
| 51,605 |
| 48,600 |
| |
|
| 8.375% |
| 11/1/19 |
| 25,000 |
| 26,156 |
| |
|
| 3.375% |
| 8/1/23 |
| 70,925 |
| 69,574 |
| |
|
| 3.625% |
| 2/12/24 |
| 35,000 |
| 34,318 |
| |
|
| 5.875% |
| 11/29/32 |
| 20,240 |
| 23,458 |
| |
|
| 2.375% |
| 2/12/22 |
| 24,670 |
| 23,930 |
| |
|
| 3.625% |
| 12/15/23 |
| 16,000 |
| 16,125 |
| |
|
| 2.875% |
| 2/6/24 |
| 70,885 |
| 68,593 |
| |
|
| 3.125% |
| 11/3/25 |
| 31,615 |
| 30,559 |
| |
|
| 2.400% |
| 8/8/26 |
| 53,545 |
| 49,077 |
| |
|
| 3.500% |
| 2/12/35 |
| 23,520 |
| 21,958 |
| |
|
| 3.450% |
| 8/8/36 |
| 65,320 |
| 60,300 |
| |
|
| 4.100% |
| 2/6/37 |
| 45,385 |
| 45,421 |
| |
|
| 4.450% |
| 11/3/45 |
| 14,250 |
| 14,743 |
| |
|
| 3.700% |
| 8/8/46 |
| 61,115 |
| 56,296 |
| |
|
| 4.250% |
| 2/6/47 |
| 91,700 |
| 92,700 |
| |
|
| 2.500% |
| 5/15/22 |
| 46,930 |
| 45,471 |
| |
|
| 2.950% |
| 11/15/24 |
| 79,830 |
| 76,311 |
| |
|
| 2.950% |
| 5/15/25 |
| 13,635 |
| 12,928 |
| |
|
| 3.250% |
| 11/15/27 |
| 111,485 |
| 106,087 |
| |
|
| 4.000% |
| 11/15/47 |
| 32,175 |
| 29,134 |
| |
|
| 2.600% |
| 1/30/23 |
| 26,010 |
| 24,719 |
| |
|
| 2.900% |
| 5/20/24 |
| 37,735 |
| 35,478 |
| |
4 | Tencent Holdings Ltd. |
| 3.595% |
| 1/19/28 |
| 57,300 |
| 52,715 |
|
| Transportation (0.4%) |
|
|
|
|
|
|
|
|
|
|
| 3.050% |
| 3/15/22 |
| 7,595 |
| 7,531 |
| |
|
| 3.000% |
| 3/15/23 |
| 21,397 |
| 20,821 |
| |
|
| 3.850% |
| 9/1/23 |
| 20,891 |
| 21,212 |
| |
|
| 3.250% |
| 6/15/27 |
| 12,315 |
| 11,872 |
| |
2 | Continental Airlines 2007-1 Class A Pass Through Trust |
| 5.983% |
| 10/19/23 |
| 21,518 |
| 22,587 |
|
|
| 4.300% |
| 3/1/48 |
| 16,150 |
| 14,911 |
| |
4 | ERAC USA Finance LLC |
| 2.350% |
| 10/15/19 |
| 27,135 |
| 26,952 |
|
4 | ERAC USA Finance LLC |
| 4.500% |
| 8/16/21 |
| 9,295 |
| 9,473 |
|
4 | ERAC USA Finance LLC |
| 7.000% |
| 10/15/37 |
| 32,995 |
| 40,104 |
|
4 | ERAC USA Finance LLC |
| 5.625% |
| 3/15/42 |
| 10,000 |
| 10,634 |
|
2 | Federal Express Corp. 1998 Pass Through Trust |
| 6.720% |
| 1/15/22 |
| 15,916 |
| 16,536 |
|
|
| 2.700% |
| 4/15/23 |
| 23,430 |
| 22,407 |
| |
|
| 4.100% |
| 4/15/43 |
| 20,500 |
| 17,777 |
| |
|
| 5.100% |
| 1/15/44 |
| 16,135 |
| 15,856 |
| |
|
| 4.950% |
| 8/15/45 |
| 16,985 |
| 16,925 |
| |
4 | Penske Truck Leasing Co. LP / PTL Finance Corp. |
| 3.950% |
| 3/10/25 |
| 52,010 |
| 50,665 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
2 | Southwest Airlines Co. 2007-1 Pass Through Trust |
| 6.150% |
| 2/1/24 |
| 12,314 |
| 12,910 |
|
2 | United Airlines 2018-1 Class B Pass Through Trust |
| 4.600% |
| 3/1/26 |
| 7,780 |
| 7,805 |
|
|
| 2.450% |
| 10/1/22 |
| 17,950 |
| 17,284 |
| |
|
| 4.875% |
| 11/15/40 |
| 4,925 |
| 5,100 |
| |
|
|
|
|
|
|
|
|
| 9,831,762 |
|
|
|
|
|
|
|
|
|
| ||
| Electric (2.2%) |
|
|
|
|
|
|
|
|
|
|
| 5.700% |
| 2/15/33 |
| 15,000 |
| 16,879 |
| |
|
| 3.750% |
| 3/1/45 |
| 24,430 |
| 21,337 |
| |
|
| 4.300% |
| 7/15/48 |
| 28,015 |
| 26,775 |
| |
|
| 3.800% |
| 5/15/28 |
| 22,215 |
| 22,169 |
| |
|
| 6.125% |
| 12/15/28 |
| 54,000 |
| 59,615 |
| |
|
| 3.700% |
| 12/1/47 |
| 5,045 |
| 4,467 |
| |
|
| 6.125% |
| 4/1/36 |
| 41,995 |
| 48,900 |
| |
|
| 5.150% |
| 11/15/43 |
| 10,715 |
| 11,197 |
| |
|
| 4.350% |
| 11/15/45 |
| 8,130 |
| 7,998 |
| |
|
| 3.650% |
| 6/15/46 |
| 6,365 |
| 5,549 |
| |
|
| 4.000% |
| 3/1/48 |
| 17,455 |
| 16,112 |
| |
|
| 7.125% |
| 12/1/18 |
| 11,278 |
| 11,279 |
| |
|
| 4.500% |
| 12/1/45 |
| 36,735 |
| 35,871 |
| |
|
| 3.850% |
| 6/15/46 |
| 2,729 |
| 2,406 |
| |
|
| 4.625% |
| 12/1/54 |
| 66,625 |
| 62,432 |
| |
|
| 4.500% |
| 5/15/58 |
| 24,220 |
| 22,480 |
| |
|
| 3.500% |
| 11/15/23 |
| 11,816 |
| 11,734 |
| |
7 | Dominion Energy Inc. |
| 2.962% |
| 7/1/19 |
| 18,210 |
| 18,197 |
|
|
| 5.200% |
| 8/15/19 |
| 19,250 |
| 19,501 |
| |
|
| 2.579% |
| 7/1/20 |
| 23,655 |
| 23,215 |
| |
|
| 3.625% |
| 12/1/24 |
| 29,400 |
| 28,768 |
| |
|
| 3.800% |
| 3/15/27 |
| 9,550 |
| 9,139 |
| |
|
| 3.900% |
| 6/15/21 |
| 50,025 |
| 50,669 |
| |
|
| 6.050% |
| 4/15/38 |
| 4,000 |
| 4,719 |
| |
|
| 3.700% |
| 12/1/47 |
| 17,085 |
| 14,849 |
| |
|
| 2.650% |
| 9/1/26 |
| 11,775 |
| 10,481 |
| |
|
| 4.800% |
| 12/15/45 |
| 44,700 |
| 43,876 |
| |
|
| 3.750% |
| 9/1/46 |
| 9,940 |
| 8,330 |
| |
|
| 6.350% |
| 9/15/37 |
| 8,000 |
| 9,652 |
| |
|
| 6.400% |
| 6/15/38 |
| 27,055 |
| 33,430 |
| |
|
| 6.300% |
| 4/1/38 |
| 14,705 |
| 17,831 |
| |
|
| 4.100% |
| 3/15/43 |
| 5,615 |
| 5,227 |
| |
|
| 4.200% |
| 8/15/45 |
| 40,400 |
| 38,201 |
| |
|
| 3.120% |
| 9/1/27 |
| 14,935 |
| 13,914 |
| |
|
| 4.500% |
| 11/15/19 |
| 3,535 |
| 3,577 |
| |
|
| 2.900% |
| 10/1/24 |
| 17,450 |
| 16,498 |
| |
|
| 3.150% |
| 1/15/25 |
| 5,025 |
| 4,815 |
| |
|
| 3.300% |
| 1/15/28 |
| 14,410 |
| 13,461 |
| |
|
| 5.650% |
| 2/1/35 |
| 50,000 |
| 57,083 |
| |
|
| 4.950% |
| 6/1/35 |
| 10,000 |
| 10,575 |
| |
|
| 5.650% |
| 2/1/37 |
| 5,000 |
| 5,787 |
| |
|
| 5.950% |
| 2/1/38 |
| 39,215 |
| 46,777 |
| |
|
| 5.690% |
| 3/1/40 |
| 4,000 |
| 4,699 |
| |
|
| 3.700% |
| 12/1/47 |
| 17,370 |
| 15,405 |
| |
|
| 3.055% |
| 10/4/26 |
| 28,565 |
| 25,836 |
| |
|
| 4.750% |
| 9/1/40 |
| 13,383 |
| 12,781 |
| |
|
| 4.300% |
| 3/15/42 |
| 29,264 |
| 26,079 |
| |
|
| 4.250% |
| 8/15/48 |
| 14,980 |
| 14,125 |
| |
4 | Massachusetts Electric Co. |
| 5.900% |
| 11/15/39 |
| 21,565 |
| 25,040 |
|
|
| 4.250% |
| 5/1/46 |
| 5,485 |
| 5,343 |
| |
|
| 2.950% |
| 2/7/24 |
| 15,255 |
| 14,848 |
| |
|
| 2.850% |
| 1/27/25 |
| 40,345 |
| 38,654 |
| |
|
| 3.550% |
| 5/1/27 |
| 32,275 |
| 30,394 |
| |
4 | Niagara Mohawk Power Corp. |
| 4.278% |
| 12/15/28 |
| 35,970 |
| 36,267 |
|
|
| 6.250% |
| 6/1/36 |
| 50,000 |
| 61,384 |
| |
|
| 5.950% |
| 11/1/39 |
| 6,075 |
| 6,866 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
| 4.550% |
| 6/1/44 |
| 1,825 |
| 1,696 |
| |
|
| 4.250% |
| 4/1/46 |
| 19,060 |
| 17,088 |
| |
|
| 5.250% |
| 9/1/50 |
| 17,220 |
| 17,314 |
| |
|
| 4.550% |
| 12/1/41 |
| 2,675 |
| 2,727 |
| |
|
| 4.250% |
| 5/15/21 |
| 11,365 |
| 10,740 |
| |
|
| 3.850% |
| 11/15/23 |
| 17,950 |
| 16,222 |
| |
|
| 3.750% |
| 2/15/24 |
| 12,250 |
| 10,902 |
| |
|
| 2.950% |
| 3/1/26 |
| 4,860 |
| 4,009 |
| |
|
| 6.050% |
| 3/1/34 |
| 15,672 |
| 15,006 |
| |
|
| 5.800% |
| 3/1/37 |
| 50,567 |
| 46,585 |
| |
|
| 6.350% |
| 2/15/38 |
| 2,830 |
| 2,688 |
| |
|
| 6.250% |
| 3/1/39 |
| 14,255 |
| 13,507 |
| |
|
| 5.400% |
| 1/15/40 |
| 78,620 |
| 69,579 |
| |
|
| 5.125% |
| 11/15/43 |
| 23,160 |
| 19,744 |
| |
|
| 4.750% |
| 2/15/44 |
| 12,245 |
| 10,225 |
| |
|
| 4.300% |
| 3/15/45 |
| 2,878 |
| 2,252 |
| |
|
| 3.950% |
| 12/1/47 |
| 10,236 |
| 7,754 |
| |
|
| 2.950% |
| 6/1/23 |
| 29,675 |
| 28,949 |
| |
|
| 5.900% |
| 8/15/34 |
| 12,500 |
| 14,250 |
| |
|
| 6.250% |
| 10/15/37 |
| 36,635 |
| 44,547 |
| |
|
| 3.050% |
| 4/1/22 |
| 3,765 |
| 3,693 |
| |
|
| 6.500% |
| 11/15/37 |
| 25,000 |
| 30,804 |
| |
|
| 6.000% |
| 6/1/26 |
| 3,600 |
| 4,056 |
| |
|
| 4.150% |
| 5/15/48 |
| 4,500 |
| 4,186 |
| |
|
| 3.375% |
| 8/15/23 |
| 34,040 |
| 33,501 |
| |
|
| 2.600% |
| 5/1/26 |
| 7,857 |
| 7,217 |
| |
|
| 3.500% |
| 8/15/21 |
| 22,575 |
| 22,439 |
| |
|
| 4.250% |
| 8/15/28 |
| 24,800 |
| 24,767 |
| |
|
| 6.625% |
| 2/1/32 |
| 4,886 |
| 5,750 |
| |
|
| 5.800% |
| 1/15/33 |
| 9,000 |
| 9,594 |
| |
|
| 5.300% |
| 5/15/33 |
| 1,438 |
| 1,510 |
| |
|
| 6.050% |
| 1/15/38 |
| 44,155 |
| 49,386 |
| |
|
| 5.450% |
| 2/1/41 |
| 2,945 |
| 3,203 |
| |
|
| 4.350% |
| 2/1/42 |
| 3,305 |
| 3,154 |
| |
|
| 4.600% |
| 6/15/43 |
| 7,251 |
| 7,101 |
| |
|
| 4.100% |
| 6/15/46 |
| 10,400 |
| 9,376 |
| |
|
| 4.500% |
| 6/1/64 |
| 3,490 |
| 3,108 |
| |
|
| 5.100% |
| 6/1/65 |
| 29,850 |
| 29,155 |
| |
|
| 2.400% |
| 2/1/22 |
| 4,295 |
| 4,092 |
| |
|
| 3.700% |
| 8/1/25 |
| 3,315 |
| 3,235 |
| |
|
| 6.000% |
| 1/15/34 |
| 7,695 |
| 8,189 |
| |
|
| 5.550% |
| 1/15/37 |
| 50,475 |
| 52,747 |
| |
|
| 5.950% |
| 2/1/38 |
| 40,000 |
| 43,435 |
| |
|
| 6.050% |
| 3/15/39 |
| 1,980 |
| 2,175 |
| |
|
| 4.050% |
| 3/15/42 |
| 15,662 |
| 13,916 |
| |
|
| 3.900% |
| 3/15/43 |
| 8,716 |
| 7,526 |
| |
|
| 4.650% |
| 10/1/43 |
| 16,640 |
| 16,036 |
| |
|
| 3.600% |
| 2/1/45 |
| 3,560 |
| 2,935 |
| |
|
| 4.000% |
| 4/1/47 |
| 257 |
| 226 |
| |
|
| 4.125% |
| 3/1/48 |
| 9,858 |
| 8,783 |
| |
|
| 2.950% |
| 7/1/23 |
| 48,400 |
| 46,324 |
| |
|
| 3.250% |
| 7/1/26 |
| 30,885 |
| 28,531 |
| |
|
| 4.400% |
| 7/1/46 |
| 15,635 |
| 14,101 |
| |
|
| 6.200% |
| 3/15/40 |
| 9,800 |
| 11,337 |
| |
|
| 3.700% |
| 8/15/47 |
| 3,756 |
| 3,289 |
| |
|
| 2.750% |
| 3/15/23 |
| 34,540 |
| 33,338 |
| |
|
| 3.500% |
| 3/15/27 |
| 16,025 |
| 15,348 |
| |
|
| 6.000% |
| 5/15/37 |
| 1,740 |
| 2,030 |
| |
|
| 5.700% |
| 12/1/36 |
| 17,280 |
| 20,043 |
| |
|
| 6.080% |
| 12/1/28 |
| 45,000 |
| 49,816 |
| |
| Natural Gas (0.2%) |
|
|
|
|
|
|
|
|
|
4 | Boston Gas Co. |
| 3.150% |
| 8/1/27 |
| 5,385 |
| 5,005 |
|
4 | Brooklyn Union Gas Co. |
| 4.273% |
| 3/15/48 |
| 61,265 |
| 58,019 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
|
| 4.500% |
| 1/15/21 |
| 3,820 |
| 3,869 |
|
| |
4 | Infraestructura Energetica Nova SAB de CV |
| 4.875% |
| 1/14/48 |
| 16,565 |
| 12,338 |
|
|
4 | KeySpan Gas East Corp. |
| 2.742% |
| 8/15/26 |
| 25,345 |
| 23,020 |
|
|
|
| 5.250% |
| 2/15/43 |
| 14,588 |
| 15,108 |
|
| |
|
| 4.800% |
| 2/15/44 |
| 10,370 |
| 10,068 |
|
| |
|
| 2.875% |
| 10/1/22 |
| 27,530 |
| 26,192 |
|
| |
|
| 3.250% |
| 6/15/27 |
| 80,765 |
| 73,538 |
|
| |
| Other Utility (0.0%) |
|
|
|
|
|
|
|
|
|
|
|
| 2.950% |
| 9/1/27 |
| 9,975 |
| 9,225 |
|
| |
|
| 4.200% |
| 9/1/48 |
| 29,180 |
| 27,234 |
|
| |
|
|
|
|
|
|
|
|
| 2,472,345 |
|
|
Total Corporate Bonds (Cost $21,356,345) |
|
|
|
|
|
|
| 20,916,872 |
|
| |
Sovereign Bonds (2.0%) |
|
|
|
|
|
|
|
|
|
| |
4 | CDP Financial Inc. |
| 4.400% |
| 11/25/19 |
| 40,000 |
| 40,531 |
|
|
4 | Electricite de France SA |
| 4.600% |
| 1/27/20 |
| 50,000 |
| 50,754 |
|
|
4 | Electricite de France SA |
| 4.875% |
| 9/21/38 |
| 84,000 |
| 75,915 |
|
|
4 | Electricite de France SA |
| 4.875% |
| 1/22/44 |
| 1,775 |
| 1,584 |
|
|
4 | Electricite de France SA |
| 4.950% |
| 10/13/45 |
| 15,100 |
| 13,786 |
|
|
|
| 2.250% |
| 11/8/19 |
| 22,515 |
| 22,324 |
|
| |
|
| 2.900% |
| 11/8/20 |
| 57,210 |
| 56,788 |
|
| |
|
| 2.750% |
| 11/10/21 |
| 32,860 |
| 32,291 |
|
| |
|
| 2.450% |
| 1/17/23 |
| 15,017 |
| 14,414 |
|
| |
|
| 2.650% |
| 1/15/24 |
| 14,000 |
| 13,368 |
|
| |
|
| 3.700% |
| 3/1/24 |
| 25,320 |
| 25,326 |
|
| |
|
| 3.250% |
| 11/10/24 |
| 29,975 |
| 29,380 |
|
| |
|
| 1.750% |
| 5/26/19 |
| 75,100 |
| 74,703 |
|
| |
|
| 4.750% |
| 2/15/35 |
| 40,000 |
| 46,878 |
|
| |
|
| 2.250% |
| 2/24/20 |
| 52,670 |
| 52,194 |
|
| |
|
| 2.125% |
| 6/1/20 |
| 32,682 |
| 32,227 |
|
| |
|
| 2.125% |
| 7/21/20 |
| 40,250 |
| 39,632 |
|
| |
9 | Japan Treasury Discount Bill |
| 0.000% |
| 1/9/19 |
| 18,880,950 |
| 166,347 |
|
|
9 | Japan Treasury Discount Bill |
| 0.000% |
| 2/12/19 |
| 16,100,000 |
| 141,876 |
|
|
4 | Kingdom of Saudi Arabia |
| 2.375% |
| 10/26/21 |
| 31,330 |
| 30,121 |
|
|
4 | Kingdom of Saudi Arabia |
| 2.875% |
| 3/4/23 |
| 48,885 |
| 46,708 |
|
|
4 | Kingdom of Saudi Arabia |
| 4.000% |
| 4/17/25 |
| 44,185 |
| 43,365 |
|
|
|
| 2.500% |
| 3/11/20 |
| 78,800 |
| 78,014 |
|
| |
4 | Petroleos Mexicanos |
| 6.350% |
| 2/12/48 |
| 33,975 |
| 27,120 |
|
|
|
| 4.000% |
| 10/7/19 |
| 56,415 |
| 56,936 |
|
| |
|
| 4.400% |
| 4/14/20 |
| 50,000 |
| 50,948 |
|
| |
|
| 2.500% |
| 4/27/26 |
| 40,160 |
| 37,924 |
|
| |
|
| 2.500% |
| 4/20/26 |
| 145,430 |
| 137,900 |
|
| |
4 | Sinopec Group Overseas Development 2015 Ltd. |
| 2.500% |
| 4/28/20 |
| 62,500 |
| 61,647 |
|
|
4 | Sinopec Group Overseas Development 2015 Ltd. |
| 3.250% |
| 4/28/25 |
| 62,500 |
| 58,374 |
|
|
4 | Sinopec Group Overseas Development 2017 Ltd. |
| 3.000% |
| 4/12/22 |
| 31,000 |
| 30,192 |
|
|
4 | State Grid Overseas Investment 2014 Ltd. |
| 2.750% |
| 5/7/19 |
| 51,455 |
| 51,328 |
|
|
4 | State Grid Overseas Investment 2016 Ltd. |
| 2.750% |
| 5/4/22 |
| 62,480 |
| 60,387 |
|
|
4 | State Grid Overseas Investment 2016 Ltd. |
| 3.500% |
| 5/4/27 |
| 28,630 |
| 26,995 |
|
|
4 | State of Kuwait |
| 2.750% |
| 3/20/22 |
| 4,255 |
| 4,144 |
|
|
4 | State of Qatar |
| 5.250% |
| 1/20/20 |
| 53,430 |
| 54,503 |
|
|
4 | State of Qatar |
| 2.375% |
| 6/2/21 |
| 55,190 |
| 53,546 |
|
|
4 | State of Qatar |
| 3.875% |
| 4/23/23 |
| 71,330 |
| 71,529 |
|
|
4 | State of Qatar |
| 5.103% |
| 4/23/48 |
| 29,730 |
| 30,133 |
|
|
4 | Temasek Financial I Ltd. |
| 2.375% |
| 1/23/23 |
| 45,150 |
| 43,180 |
|
|
4 | Temasek Financial I Ltd. |
| 3.625% |
| 8/1/28 |
| 36,800 |
| 36,524 |
|
|
Total Sovereign Bonds (Cost $2,054,518) |
|
|
|
|
|
|
| 2,021,836 |
|
| |
Taxable Municipal Bonds (1.6%) |
|
|
|
|
|
|
|
|
|
| |
|
| 6.875% |
| 2/1/21 |
| 4,265 |
| 4,454 |
|
| |
|
| 6.263% |
| 4/1/49 |
| 33,765 |
| 44,520 |
|
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
| 7.043% |
| 4/1/50 |
| 33,915 |
| 47,903 |
| |
|
| 5.700% |
| 11/1/21 |
| 16,840 |
| 17,972 |
| |
|
| 7.550% |
| 4/1/39 |
| 30,325 |
| 42,830 |
| |
|
| 7.300% |
| 10/1/39 |
| 11,800 |
| 16,076 |
| |
|
| 7.350% |
| 11/1/39 |
| 66,875 |
| 90,904 |
| |
|
| 7.625% |
| 3/1/40 |
| 1,275 |
| 1,797 |
| |
|
| 7.600% |
| 11/1/40 |
| 29,920 |
| 42,932 |
| |
|
| 5.720% |
| 12/1/38 |
| 8,545 |
| 10,104 |
| |
|
| 6.845% |
| 1/1/38 |
| 25,680 |
| 26,611 |
| |
|
| 6.395% |
| 1/1/40 |
| 8,970 |
| 11,378 |
| |
|
| 6.200% |
| 12/1/40 |
| 1,790 |
| 2,123 |
| |
|
| 6.899% |
| 12/1/40 |
| 54,480 |
| 68,055 |
| |
|
| 6.899% |
| 12/1/40 |
| 29,855 |
| 37,294 |
| |
|
| 5.999% |
| 12/1/44 |
| 29,925 |
| 37,407 |
| |
|
| 6.637% |
| 4/1/57 |
| 54,067 |
| 58,156 |
| |
|
| 6.655% |
| 4/1/57 |
| 7,337 |
| 8,465 |
| |
|
| 5.184% |
| 10/1/42 |
| 40,435 |
| 45,738 |
| |
|
| 6.290% |
| 3/1/32 |
| 17,740 |
| 20,689 |
| |
|
| 5.100% |
| 6/1/33 |
| 44,360 |
| 42,055 |
| |
|
| 6.184% |
| 1/1/34 |
| 29,200 |
| 35,596 |
| |
|
| 4.927% |
| 4/15/45 |
| 10,350 |
| 10,926 |
| |
10 |
| 5.501% |
| 5/1/34 |
| 50,000 |
| 56,056 |
| |
|
| 6.750% |
| 8/1/49 |
| 13,625 |
| 19,010 |
| |
|
| 5.750% |
| 7/1/34 |
| 24,525 |
| 28,629 |
| |
|
| 6.250% |
| 5/15/43 |
| 19,000 |
| 24,423 |
| |
|
| 5.888% |
| 7/1/43 |
| 21,685 |
| 26,243 |
| |
|
| 5.715% |
| 8/15/39 |
| 22,105 |
| 26,220 |
| |
|
| 7.414% |
| 1/1/40 |
| 35,285 |
| 49,088 |
| |
|
| 7.102% |
| 1/1/41 |
| 4,000 |
| 5,401 |
| |
|
| 5.790% |
| 6/15/41 |
| 2,030 |
| 2,103 |
| |
|
| 5.882% |
| 6/15/44 |
| 16,995 |
| 21,142 |
| |
|
| 6.814% |
| 11/15/40 |
| 1,895 |
| 2,440 |
| |
|
| 7.336% |
| 11/15/39 |
| 10,860 |
| 15,146 |
| |
|
| 6.089% |
| 11/15/40 |
| 16,085 |
| 19,346 |
| |
|
| 2.100% |
| 3/15/22 |
| 111,295 |
| 109,203 |
| |
|
| 6.718% |
| 1/1/49 |
| 61,100 |
| 83,014 |
| |
|
| 5.834% |
| 11/15/34 |
| 25,930 |
| 31,285 |
| |
|
| 5.902% |
| 8/1/38 |
| 19,510 |
| 23,253 |
| |
10 | Oregon School Boards Association GO |
| 5.528% |
| 6/30/28 |
| 50,000 |
| 56,088 |
|
|
| 5.859% |
| 12/1/24 |
| 12,735 |
| 14,479 |
| |
|
| 6.040% |
| 12/1/29 |
| 10,455 |
| 12,477 |
| |
|
| 4.458% |
| 10/1/62 |
| 48,460 |
| 48,014 |
| |
|
| 4.810% |
| 10/15/65 |
| 21,985 |
| 23,037 |
| |
|
| 3.063% |
| 7/1/25 |
| 49,360 |
| 48,668 |
| |
|
| 5.985% |
| 2/1/39 |
| 11,890 |
| 15,023 |
| |
|
| 6.875% |
| 2/1/24 |
| 34,745 |
| 40,048 |
| |
|
| 7.650% |
| 6/15/26 |
| 29,000 |
| 36,893 |
| |
|
| 6.548% |
| 5/15/48 |
| 18,650 |
| 23,870 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
| 6.583% |
| 5/15/49 |
| 21,260 |
| 27,202 |
| |
|
| 4.601% |
| 5/15/31 |
| 21,975 |
| 23,198 |
| |
|
| 5.770% |
| 5/15/43 |
| 24,325 |
| 28,686 |
| |
|
| 4.765% |
| 5/15/44 |
| 5,980 |
| 6,257 |
| |
|
| 3.931% |
| 5/15/45 |
| 22,370 |
| 21,400 |
| |
Total Taxable Municipal Bonds (Cost $1,540,111) |
|
|
|
|
|
|
| 1,691,327 |
| |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| Shares |
|
|
|
Temporary Cash Investments (3.3%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| ||
11,12 | Vanguard Market Liquidity Fund |
| 2.407% |
|
|
| 680,617 |
| 68,062 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| Face | ) |
|
|
|
|
|
|
|
|
|
|
| ||
|
| 2.290% |
| 12/3/18 |
| 173,900 |
| 173,900 |
| |
|
| 2.270% |
| 12/3/18 |
| 360,300 |
| 360,300 |
| |
|
| 2.300% |
| 12/3/18 |
| 34,800 |
| 34,800 |
| |
|
| 2.260% |
| 12/3/18 |
| 346,300 |
| 346,300 |
| |
|
| 2.270% |
| 12/3/18 |
| 286,700 |
| 286,700 |
| |
|
| 2.280% |
| 12/3/18 |
| 583,000 |
| 583,000 |
| |
|
| 2.270% |
| 12/3/18 |
| 481,100 |
| 481,100 |
| |
|
| 2.280% |
| 12/3/18 |
| 40,000 |
| 40,000 |
|
Vanguard® Wellington Fund
Schedule of Investments
November 30, 2018
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
|
| 2.290% |
| 12/3/18 |
| 504,200 |
| 504,200 |
| |
|
|
|
|
|
|
|
|
| 2,810,300 |
|
|
|
|
|
|
|
|
|
| ||
|
| 2.200% |
| 12/11/18 |
| 250,000 |
| 249,880 |
| |
|
|
|
|
|
|
|
|
| ||
13 | Apple Inc. |
| 2.275% |
| 12/17/18 |
| 243,000 |
| 242,745 |
|
|
|
|
|
|
|
| 3,370,987 |
| ||
|
|
|
|
|
|
| 102,601,656 |
| ||
|
|
|
|
|
|
| 43,273 |
| ||
|
|
|
|
|
|
| 102,644,929 |
|
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $62,571,000. |
1 | Securities with a value of $6,602,000 have been segregated as initial margin for open futures contracts. |
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 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2018, the aggregate value of these securities was $5,581,700,000, representing 5.4% of net assets. |
5 | Adjustable-rate security based upon 3-month USD LIBOR plus spread. |
6 | Adjustable-rate security based upon 1-month USD LIBOR plus spread. |
7 | Adjustable-rate security. |
8 | Face amount denominated in Canadian dollars. |
9 | Face amount denominated in Japanese yen. |
10 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
11 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
12 | Includes $67,921,000 of collateral received for securities on loan. |
13 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At November 30, 2018, the value of these securities was $242,745,000, representing 0.2% of net assets. |
| ADR—American Depositary Receipt. |
| GDR—Global Depositary Receipt. |
| GO—General Obligation Bond. |
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| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
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| SNA210 012019 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Vanguard Wellington Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Wellington Fund (one of the funds constituting Vanguard Wellington Fund, referred to hereafter as the “Fund”) as of November 30, 2018, the related statement of operations for the year ended November 30, 2018, the statement of changes in net assets for each of the two years in the period ended November 30, 2018, including the related notes, and the financial highlights for each of the five years in the period ended November 30, 2018 (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of November 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2018 and the financial highlights for each of the five years in the period ended November 30, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
January 17, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
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. There were no significant changes in 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) Code of Ethics.
(b) 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 WELLINGTON FUND | |
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BY: | /s/ MORTIMER J. BUCKLEY* |
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| MORTIMER J. BUCKLEY |
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| CHIEF EXECUTIVE OFFICER |
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Date: January 22, 2019
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 WELLINGTON FUND | |
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BY: | /s/ MORTIMER J. BUCKLEY * |
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| MORTIMER J. BUCKLEY |
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| CHIEF EXECUTIVE OFFICER |
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Date: January 22, 2019 | ||
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| VANGUARD WELLINGTON FUND | |
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BY: | /s/ THOMAS J. HIGGINS* |
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| THOMAS J. HIGGINS |
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| CHIEF FINANCIAL OFFICER |
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Date: January 22, 2019 |
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* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file Number 33-32216, Incorporated by Reference.