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 |
|
| Valley Forge, PA 19482 |
|
|
|
Name and address of agent for service: |
| Anne E. Robinson, Esquire |
|
| P.O. Box 876 |
|
| Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: November 30
Date of reporting period: December 1, 2018—May 31, 2019
Item 1: Reports to Shareholders
Semiannual Report | May 31, 2019
Vanguard WellingtonTM Fund
|
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents |
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|
|
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
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 May 31, 2019 |
|
|
|
Wellington Fund | Beginning | Ending | Expenses |
Based on Actual Fund Return |
|
|
|
Investor Shares | $1,000.00 | $1,028.48 | $1.31 |
AdmiralTM Shares | 1,000.00 | 1,029.04 | 0.91 |
Based on Hypothetical 5% Yearly Return |
|
|
|
Investor Shares | $1,000.00 | $1,023.64 | $1.31 |
Admiral Shares | 1,000.00 | 1,024.03 | 0.91 |
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 0.26% for Investor Shares and 0.18% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/365).
Wellington Fund
Sector Diversification
As of May 31, 2019
Equity Exposure |
|
|
|
Communication Services |
| 9.9 | % |
Consumer Discretionary |
| 4.8 |
|
Consumer Staples |
| 7.6 |
|
Energy |
| 7.6 |
|
Financials |
| 22.2 |
|
Health Care |
| 14.7 |
|
Industrials |
| 10.3 |
|
Information Technology |
| 12.3 |
|
Materials |
| 2.7 |
|
Real Estate |
| 3.0 |
|
Utilities |
| 4.9 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 |
|
|
|
Asset-Backed |
| 4.7 | % |
Commercial Mortgage-Backed |
| 1.6 |
|
Finance |
| 25.3 |
|
Foreign |
| 5.1 |
|
Government Mortgage-Backed |
| 3.5 |
|
Industrial |
| 31.8 |
|
Treasury/Agency |
| 15.6 |
|
Utilities |
| 7.3 |
|
Other |
| 5.1 |
|
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 (unaudited)
Statement of Net Assets—Investments Summary
As of May 31, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
| Market |
| Percentage |
|
|
|
| Value· |
| of Net |
|
| Shares |
| ($000) |
| Assets |
Common Stocks |
|
|
|
|
|
|
Communication Services |
|
|
|
|
|
|
Verizon Communications Inc. |
| 44,499,830 |
| 2,418,566 |
| 2.4% |
* Alphabet Inc. Class A |
| 1,751,782 |
| 1,938,347 |
| 1.9% |
Comcast Corp. Class A |
| 42,278,514 |
| 1,733,419 |
| 1.7% |
Communication Services—Other † |
|
|
| 361,602 |
| 0.3% |
|
|
|
| 6,451,934 |
| 6.3% |
Consumer Discretionary |
|
|
|
|
|
|
Home Depot Inc. |
| 3,838,009 |
| 728,646 |
| 0.7% |
Lowe’s Cos. Inc. |
| 6,579,857 |
| 613,769 |
| 0.6% |
Hilton Worldwide Holdings Inc. |
| 6,661,438 |
| 595,799 |
| 0.6% |
Consumer Discretionary—Other † |
|
|
| 1,198,915 |
| 1.2% |
|
|
|
| 3,137,129 |
| 3.1% |
Consumer Staples |
|
|
|
|
|
|
PepsiCo Inc. |
| 7,778,101 |
| 995,597 |
| 1.0% |
Unilever NV |
| 12,831,471 |
| 772,375 |
| 0.7% |
Coca-Cola Co. |
| 15,121,128 |
| 742,901 |
| 0.7% |
Nestle SA |
| 7,408,354 |
| 734,899 |
| 0.7% |
Sysco Corp. |
| 9,292,735 |
| 639,526 |
| 0.6% |
Diageo plc |
| 13,801,810 |
| 580,527 |
| 0.6% |
Consumer Staples—Other † |
|
|
| 470,689 |
| 0.5% |
|
|
|
| 4,936,514 |
| 4.8% |
Energy |
|
|
|
|
|
|
Chevron Corp. |
| 15,683,549 |
| 1,785,572 |
| 1.8% |
TOTAL SA |
| 14,220,154 |
| 737,286 |
| 0.7% |
Suncor Energy Inc. |
| 19,942,193 |
| 614,525 |
| 0.6% |
Energy—Other † |
|
|
| 1,824,696 |
| 1.8% |
|
|
|
| 4,962,079 |
| 4.9% |
Financials |
|
|
|
|
|
|
JPMorgan Chase & Co. |
| 22,156,213 |
| 2,347,672 |
| 2.3% |
Bank of America Corp. |
| 78,867,361 |
| 2,097,872 |
| 2.1% |
Chubb Ltd. |
| 10,814,770 |
| 1,579,713 |
| 1.5% |
Prudential Financial Inc. |
| 13,852,917 |
| 1,279,732 |
| 1.3% |
Wellington Fund
|
|
|
| Market |
| Percentage |
|
|
|
| Value· |
| of Net |
|
| Shares |
| ($000) |
| Assets |
PNC Financial Services Group Inc. |
| 7,187,887 |
| 914,730 |
| 0.9% |
Intercontinental Exchange Inc. |
| 8,873,356 |
| 729,479 |
| 0.7% |
American International Group Inc. |
| 14,098,098 |
| 719,990 |
| 0.7% |
Northern Trust Corp. |
| 7,168,682 |
| 613,066 |
| 0.6% |
BlackRock Inc. |
| 1,466,653 |
| 609,482 |
| 0.6% |
^ Financials—Other † |
|
|
| 3,516,006 |
| 3.4% |
|
|
|
| 14,407,742 |
| 14.1% |
Health Care |
|
|
|
|
|
|
Pfizer Inc. |
| 30,330,939 |
| 1,259,341 |
| 1.2% |
Medtronic plc |
| 12,355,317 |
| 1,143,855 |
| 1.1% |
AstraZeneca plc ADR |
| 28,544,250 |
| 1,066,984 |
| 1.1% |
Bristol-Myers Squibb Co. |
| 22,437,789 |
| 1,018,002 |
| 1.0% |
Merck & Co. Inc. |
| 12,283,146 |
| 972,948 |
| 1.0% |
UnitedHealth Group Inc. |
| 3,876,024 |
| 937,223 |
| 0.9% |
Novartis AG |
| 9,573,480 |
| 822,725 |
| 0.8% |
Abbott Laboratories |
| 7,934,877 |
| 604,082 |
| 0.6% |
CVS Health Corp. |
| 11,332,230 |
| 593,469 |
| 0.6% |
Health Care—Other † |
|
|
| 1,131,633 |
| 1.1% |
|
|
|
| 9,550,262 |
| 9.4% |
Industrials |
|
|
|
|
|
|
United Technologies Corp. |
| 7,313,592 |
| 923,707 |
| 0.9% |
Lockheed Martin Corp. |
| 2,494,514 |
| 844,493 |
| 0.9% |
Deere & Co. |
| 6,018,833 |
| 843,660 |
| 0.8% |
Union Pacific Corp. |
| 4,294,090 |
| 716,168 |
| 0.7% |
Industrials—Other † |
|
|
| 3,346,079 |
| 3.3% |
|
|
|
| 6,674,107 |
| 6.6% |
Information Technology |
|
|
|
|
|
|
Microsoft Corp. |
| 25,807,323 |
| 3,191,850 |
| 3.1% |
Intel Corp. |
| 24,350,005 |
| 1,072,374 |
| 1.1% |
Cisco Systems Inc. |
| 18,491,441 |
| 962,110 |
| 0.9% |
Apple Inc. |
| 4,485,064 |
| 785,200 |
| 0.8% |
HP Inc. |
| 30,526,378 |
| 570,233 |
| 0.6% |
Information Technology—Other † |
|
|
| 1,411,641 |
| 1.4% |
|
|
|
| 7,993,408 |
| 7.9% |
Materials |
|
|
|
|
|
|
International Paper Co. |
| 14,664,064 |
| 608,119 |
| 0.6% |
Materials—Other † |
|
|
| 1,147,515 |
| 1.1% |
|
|
|
| 1,755,634 |
| 1.7% |
Real Estate |
|
|
|
|
|
|
American Tower Corp. |
| 5,258,585 |
| 1,097,835 |
| 1.1% |
Simon Property Group Inc. |
| 4,294,332 |
| 696,068 |
| 0.7% |
Real Estate—Other † |
|
|
| 135,699 |
| 0.1% |
|
|
|
| 1,929,602 |
| 1.9% |
Utilities |
|
|
|
|
|
|
NextEra Energy Inc. |
| 5,410,411 |
| 1,072,398 |
| 1.0% |
Dominion Energy Inc. |
| 13,094,640 |
| 984,455 |
| 1.0% |
Exelon Corp. |
| 15,756,671 |
| 757,581 |
| 0.7% |
Utilities—Other † |
|
|
| 381,126 |
| 0.4% |
|
|
|
| 3,195,560 |
| 3.1% |
Total Common Stocks (Cost $44,454,979) |
|
|
| 64,993,971 |
| 63.8% |
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 | |||||||||||||
1,2 | United States Treasury Note/Bond |
| 2.875% |
| 11/15/21 |
| 1,000,000 |
| 1,022,810 |
| 1.0% | ||
| United States Treasury Note/Bond |
| 1.250%–3.125% |
| 2/29/20–5/15/49 |
| 3,949,981 |
| 4,046,633 |
| 4.0% | ||
| U.S. Government Securities—Other † |
|
|
|
|
| 355,352 |
| 0.3% | ||||
|
|
|
|
|
|
|
|
| 5,424,795 |
| 5.3% | ||
|
|
|
|
|
|
|
|
|
|
|
| ||
Conventional Mortgage-Backed Securities |
|
|
|
|
|
|
|
| |||||
3,4 | Fannie Mae Pool |
| 2.500%–4.500% |
| 9/1/27–1/1/58 |
| 916,117 |
| 935,771 |
| 0.9% | ||
3,5 | UMBS TBA |
| 3.000% |
| 6/1/34 |
| 125,351 |
| 127,172 |
| 0.1% | ||
| Conventional Mortgage-Backed Securities—Other † |
|
|
|
|
| 160,581 |
| 0.2% | ||||
|
|
|
|
|
|
|
|
| 1,223,524 |
| 1.2% | ||
Nonconventional Mortgage-Backed Securities |
|
|
|
|
|
|
|
| |||||
3,4 | Fannie Mae REMICS |
| 3.000%–4.000% |
| 9/25/29–6/25/59 |
| 383,623 |
| 394,585 |
| 0.4% | ||
| Nonconventional Mortgage-Backed Securities—Other † |
|
|
|
|
| 153,155 |
| 0.2% | ||||
|
|
|
|
|
|
|
|
| 547,740 |
| 0.6% | ||
Total U.S. Government and Agency Obligations (Cost $6,946,225) |
|
|
| 7,196,059 |
| 7.1% | |||||||
Asset-Backed/Commercial Mortgage-Backed Securities |
|
|
|
|
|
| |||||||
6 | American Tower Trust † |
| 3.070% |
| 3/15/23 |
| 43,000 |
| 43,577 |
| 0.1% | ||
6 | GTP Acquisition Partners I LLC |
| 2.350% |
| 6/15/20 |
| 22,530 |
| 22,364 |
| 0.0% | ||
6 | Asset-Backed/Commercial Mortgage-Backed Securities—Other † |
|
|
| 1,551,729 |
| 1.5% | ||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,607,603) |
| 1,617,670 |
| 1.6% | |||||||||
Corporate Bonds |
|
|
|
| |||||||||
Finance |
|
|
|
| |||||||||
| Banking |
|
|
|
|
|
|
|
|
|
| ||
3 | Bank of America Corp. |
| 2.816%–5.875% |
| 1/11/23–3/15/50 |
| 637,374 |
| 663,059 |
| 0.7% | ||
3 | JPMorgan Chase & Co. |
| 3.250%–5.625% |
| 3/25/20–11/15/48 |
| 653,016 |
| 703,523 |
| 0.7% | ||
| PNC Bank NA |
| 3.100%–4.200% |
| 10/30/24–1/22/28 |
| 137,285 |
| 140,947 |
| 0.1% | ||
| PNC Financial Services Group Inc. |
| 3.900% |
| 4/29/24 |
| 41,565 |
| 43,367 |
| 0.0% | ||
| Wells Fargo & Co. |
| 2.150%–5.606% |
| 1/30/20–12/7/46 |
| 561,712 |
| 590,039 |
| 0.6% | ||
6 | Banking—Other † |
|
|
|
|
|
|
| 5,134,433 |
| 5.0% | ||
| Brokerage † |
|
|
|
|
|
|
| 31,808 |
| 0.0% | ||
| Insurance |
|
|
|
|
|
|
|
|
|
| ||
| ACE Capital Trust II |
| 9.700% |
| 4/1/30 |
| 20,000 |
| 27,850 |
| 0.0% | ||
| Chubb Corp. |
| 6.000% |
| 5/11/37 |
| 50,000 |
| 65,817 |
| 0.1% | ||
| Chubb INA Holdings Inc. |
| 2.300%–4.350% |
| 11/3/20–11/3/45 |
| 58,510 |
| 62,963 |
| 0.1% | ||
6 | Five Corners Funding Trust |
| 4.419% |
| 11/15/23 |
| 5,935 |
| 6,309 |
| 0.0% | ||
| Prudential Financial Inc. |
| 4.500% |
| 11/15/20 |
| 24,365 |
| 25,082 |
| 0.0% | ||
| UnitedHealth Group Inc. |
| 2.875%–4.750% |
| 10/15/20–6/15/48 |
| 237,396 |
| 250,989 |
| 0.2% | ||
6 | Insurance—Other † |
|
|
|
|
|
|
| 883,355 |
| 0.9% | ||
6 | Real Estate Investment Trusts † |
|
|
|
|
|
|
| 151,051 |
| 0.2% | ||
|
|
|
|
|
|
|
|
| 8,780,592 |
| 8.6% | ||
Industrial |
|
|
|
|
|
|
|
|
|
| |||
| Basic Industry † |
|
|
|
|
|
|
| 42,840 |
| 0.0% | ||
| Capital Goods |
|
|
|
|
|
|
|
|
|
| ||
| United Technologies Corp. |
| 3.100%–6.125% |
| 6/1/22–11/1/46 |
| 113,460 |
| 130,371 |
| 0.1% | ||
6 | Capital Goods—Other † |
|
|
|
|
|
|
| 649,695 |
| 0.7% | ||
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage | |
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net | |
|
|
|
| Coupon |
| Date |
| ($000 | ) | ($000) |
| Assets | |
| Communication |
|
|
|
|
|
|
|
|
|
| ||
| American Tower Corp. |
| 3.450%–5.000% |
| 9/15/21–2/15/26 |
| 40,750 |
| 41,811 |
| 0.0% | ||
| Comcast Corp. |
| 2.350%–6.500% |
| 2/1/24–10/15/58 |
| 533,781 |
| 572,745 |
| 0.6% | ||
| NBCUniversal Media LLC |
| 2.875%–4.450% |
| 4/1/21–1/15/43 |
| 44,030 |
| 45,496 |
| 0.0% | ||
6 | Sky Ltd. |
| 2.625%–3.750% |
| 9/16/19–9/16/24 |
| 83,067 |
| 84,995 |
| 0.1% | ||
| Verizon Communications Inc. |
| 4.672%–5.012% |
| 3/15/39–3/15/55 |
| 166,721 |
| 183,408 |
| 0.2% | ||
6 | Communication—Other † |
|
|
|
|
|
|
| 592,631 |
| 0.6% | ||
6 | Consumer Cyclical † |
|
|
|
|
|
|
| 1,113,056 |
| 1.1% | ||
| Consumer Noncyclical |
|
|
|
|
|
|
|
|
|
| ||
| AstraZeneca plc |
| 1.950%–6.450% |
| 9/18/19–9/15/37 |
| 130,340 |
| 139,683 |
| 0.1% | ||
6 | Bristol-Myers Squibb Co. |
| 3.400%–4.250% |
| 7/26/29–10/26/49 |
| 76,015 |
| 79,018 |
| 0.1% | ||
| Medtronic Inc. |
| 3.150%–3.625% |
| 3/15/22–3/15/25 |
| 125,605 |
| 129,393 |
| 0.1% | ||
| Merck & Co. Inc. |
| 2.350%–4.150% |
| 2/10/22–3/7/49 |
| 271,340 |
| 280,759 |
| 0.3% | ||
| PepsiCo Inc. |
| 2.750%–4.000% |
| 3/1/23–3/5/42 |
| 81,191 |
| 84,429 |
| 0.1% | ||
| Pfizer Inc. |
| 3.000%–4.100% |
| 6/15/23–9/15/38 |
| 171,355 |
| 178,956 |
| 0.2% | ||
| Wyeth LLC |
| 5.950% |
| 4/1/37 |
| 25,000 |
| 32,002 |
| 0.0% | ||
| Zeneca Wilmington Inc. |
| 7.000% |
| 11/15/23 |
| 29,000 |
| 33,702 |
| 0.0% | ||
6 | Consumer Noncyclical—Other † |
|
|
|
|
|
|
| 2,941,604 |
| 2.9% | ||
| Energy |
|
|
|
|
|
|
|
|
|
| ||
| Chevron Corp. |
| 3.191% |
| 6/24/23 |
| 49,470 |
| 50,894 |
| 0.0% | ||
| Dominion Energy Gas Holdings LLC |
| 3.550%–4.800% |
| 11/1/23–12/15/44 |
| 50,493 |
| 53,500 |
| 0.1% | ||
6 | Energy-Other † |
|
|
|
|
|
|
| 983,092 |
| 1.0% | ||
6 | Other Industrial † |
|
|
|
|
|
|
| 150,194 |
| 0.1% | ||
| Technology |
|
|
|
|
|
|
|
|
|
| ||
| Apple Inc. |
| 2.450%–4.450% |
| 2/9/24–8/4/46 |
| 419,497 |
| 424,881 |
| 0.4% | ||
| Intel Corp. |
| 2.875%–4.100% |
| 5/11/24–5/19/46 |
| 81,000 |
| 83,629 |
| 0.1% | ||
| Microsoft Corp. |
| 2.400%–4.450% |
| 12/15/23–2/6/47 |
| 473,335 |
| 500,669 |
| 0.5% | ||
6 | Technology—Other † |
|
|
|
|
|
|
| 1,006,965 |
| 1.0% | ||
6 | Transportation † |
|
|
|
|
|
|
| 462,688 |
| 0.5% | ||
|
|
|
|
|
|
|
|
| 11,073,106 |
| 10.9% | ||
Utilities |
|
|
|
|
|
|
|
|
|
| |||
| Electric |
|
|
|
|
|
|
|
|
|
| ||
| Dominion Energy Inc. |
| 2.579%–5.250% |
| 7/1/19–3/15/49 |
| 98,071 |
| 101,441 |
| 0.1% | ||
| Dominion Energy South Carolina Inc. |
| 4.350%–4.600% |
| 2/1/42–6/15/43 |
| 8,851 |
| 9,921 |
| 0.0% | ||
| Florida Power & Light Co. |
| 3.700%–5.950% |
| 2/1/35–12/1/47 |
| 125,585 |
| 154,750 |
| 0.1% | ||
| NextEra Energy Capital Holdings Inc. |
| 3.250%–3.550% |
| 4/1/26–4/1/29 |
| 55,700 |
| 57,052 |
| 0.1% | ||
| South Carolina Electric & Gas Co. |
| 4.250%–6.625% |
| 8/15/28–6/1/65 |
| 117,074 |
| 141,924 |
| 0.1% | ||
| Virginia Electric & Power Co. |
| 2.750%–6.000% |
| 3/15/23–5/15/37 |
| 52,305 |
| 53,683 |
| 0.1% | ||
6 | Electric—Other † |
|
|
|
|
|
|
| 1,703,807 |
| 1.7% | ||
6 | Natural Gas † |
|
|
|
|
|
|
| 260,605 |
| 0.3% | ||
| Other Utility † |
|
|
|
|
|
|
| 40,293 |
| 0.0% | ||
|
|
|
|
|
|
|
|
| 2,523,476 |
| 2.5% | ||
Total Corporate Bonds (Cost $21,383,333) |
|
|
|
|
| 22,377,174 |
| 22.0% | |||||
6Sovereign Bonds (Cost $1,742,368) † |
|
|
|
|
| 1,782,317 |
| 1.7% | |||||
Taxable Municipal Bonds (Cost $1,488,408) † |
|
|
|
|
| 1,786,911 |
| 1.7% | |||||
Wellington Fund
|
|
|
|
|
|
|
|
|
| Market |
| Percentage | |
|
|
|
|
|
| Maturity |
|
|
| Value· |
| of Net | |
|
|
|
| Coupon |
| Date |
| Shares |
| ($000) |
| Assets | |
Temporary Cash Investments | |||||||||||||
Money Market Fund |
|
|
|
|
|
|
|
|
|
| |||
7,8 | Vanguard Market Liquidity Fund |
| 2.527% |
|
|
| 2,661 |
| 266,147 |
| 0.3% | ||
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Face |
|
|
|
| ||
|
|
|
|
|
|
| Amount |
|
|
|
| ||
|
|
|
|
|
|
| ($000 | ) |
|
|
| ||
Repurchase Agreements |
|
|
|
|
|
|
|
|
|
| |||
| Bank of America Securities, LLC (Dated 5/31/19, Repurchase Value $64,713,000 collateralized by Federal Home Loan Mortgage Corp. 4.000%, 6/1/48, with a value of $65,994,000) |
| 2.500% |
| 6/3/19 |
| 64,700 |
| 64,700 |
| 0.1% | ||
| Citigroup Global Markets Inc. (Dated 5/31/19, Repurchase Value $272,356,000 collateralized by U.S. Treasury Bill/Note 0.000%-2.000%, 6/11/19-1/31/20, with a value of $277,746,000) |
| 2.480% |
| 6/3/19 |
| 272,300 |
| 272,300 |
| 0.3% | ||
| Deutsche Bank Securities, Inc. (Dated 5/31/19, Repuchase Value $64,013,000 collateralized by U.S. Treasury Note 2.750%, 2/15/28, with a value of $65,280,000) |
| 2.490% |
| 6/3/19 |
| 64,000 |
| 64,000 |
| 0.1% | ||
| HSBC Bank USA (Dated 5/31/19, Repurchase Value $166,334,000 collateralized by U.S. Treasury Note 1.000%-2.875%, 11/30/19-7/31/25, with a value of $169,626,000) |
| 2.480% |
| 6/3/19 |
| 166,300 |
| 166,300 |
| 0.1% | ||
| HSBC Bank USA (Dated 5/31/19, Repurchase Value $106,922,000 collateralized by Federal National Mortgage Assn. 3.500%-5.000%, 5/1/26-10/1/48, Federal Home Loan Mortgage Corp. 4.000%-5.000%, 9/1/31-4/1/49, with a value of $109,038,000) |
| 2.490% |
| 6/3/19 |
| 106,900 |
| 106,900 |
| 0.1% | ||
| Nomura International plc (Dated 5/31/19, Repurchase Value $394,882,000 collateralized by U.S. Treasury Bill/Note/Bond 0.000%-8.125%, 6/20/19-11/15/48, with a value of $402,696,000) |
| 2.480% |
| 6/3/19 |
| 394,800 |
| 394,800 |
| 0.4% | ||
Wellington Fund
|
|
|
|
|
|
|
| Face |
| Market |
| Percentage | |
|
|
|
|
|
| Maturity |
| Amount |
| Value· |
| of Net | |
|
|
|
| Coupon |
| Date |
| ($000 | ) | ($000) |
| Assets | |
| RBC Capital Markets LLC (Dated 5/31/19, Repurchase Value $14,003,000 collateralized by Federal National Mortgage Assn. 4.000%, 2/1/41, Federal Home Loan Mortgage Corp. 3.500%-6.500%, 9/1/39-3/1/48, with a value of $14,280,000) |
| 2.480% |
| 6/3/19 |
| 14,000 |
| 14,000 |
| 0.0% | ||
| TD Securities (USA) LLC (Dated 5/31/19, Repurchase Value $206,443,000 collateralized by Federal National Mortgage Assn. 4.000%-5.000%, 5/1/47-9/1/48, with a value of $210,528,000) |
| 2.490% |
| 6/3/19 |
| 206,400 |
| 206,400 |
| 0.2% | ||
| Wells Fargo & Co. (Dated 5/31/19, Repurchase Value $720,049,000 collateralized by Federal National Mortgage Assn. 3.000%-4.000%, 12/1/48-5/1/49, Federal Home Loan Mortgage Corp. 3.500%, 7/1/48, with a value of $734,298,000) |
| 2.490% |
| 6/3/19 |
| 719,900 |
| 719,900 |
| 0.7% | ||
|
|
|
|
|
|
|
|
| 2,009,300 |
| 2.0% | ||
U.S. Government and Agency Obligations † |
|
|
|
|
| 183,095 |
| 0.2% | |||||
Commercial Paper † |
|
|
|
|
|
|
| 36,712 |
| 0.0% | |||
Total Temporary Cash Investments (Cost $2,495,234) |
|
|
|
|
| 2,495,254 |
| 2.5% | |||||
Total Investments (Cost $80,118,150) |
|
|
|
|
| 102,249,356 |
| 100.4% | |||||
|
|
|
|
|
|
|
|
|
| Amount |
|
|
|
|
|
|
|
|
|
|
|
| ($000) |
|
|
Other Assets and Liabilities |
|
|
|
|
|
| ||||||
Other Assets |
|
|
|
|
|
| ||||||
Investment in Vanguard |
|
|
| 5,095 |
|
| ||||||
Receivables for Investment Securities Sold |
|
|
| 151,397 |
|
| ||||||
Receivables for Accrued Income |
|
|
| 465,933 |
|
| ||||||
Receivables for Capital Shares Issued |
|
|
| 25,203 |
|
| ||||||
Variation Margin Receivable—Futures Contracts |
|
|
| 8,666 |
|
| ||||||
Unrealized Appreciation—Forward Currency Contracts |
|
|
| 1,003 |
|
| ||||||
Other Assets |
|
|
| 20,284 |
|
| ||||||
Total Other Assets |
|
|
| 677,581 |
| 0.7% | ||||||
Liabilities |
|
|
|
|
|
| ||||||
Payables for Investment Securities Purchased |
|
|
| (638,581) |
|
| ||||||
Collateral for Securities on Loan |
|
|
| (266,070) |
|
| ||||||
Payables for Capital Shares Redeemed |
|
|
| (91,385) |
|
| ||||||
Payables to Investment Advisor |
|
|
| (19,138) |
|
| ||||||
Payables to Vanguard |
|
|
| (83,688) |
|
| ||||||
Variation Margin Payable—Futures Contracts |
|
|
| (7,730) |
|
| ||||||
Unrealized Depreciation—Forward Currency Contracts |
|
|
| (2,489) |
|
| ||||||
Total Liabilities |
|
|
| (1,109,081) |
| (1.1%) | ||||||
Net Assets |
|
|
| 101,817,856 |
| 100.0% |
Wellington Fund
At May 31, 2019, net assets consisted of:
| Amount |
|
| ($000) |
|
Paid-in Capital | 78,318,551 |
|
Total Distributable Earnings (Loss) | 23,499,305 |
|
Net Assets | 101,817,856 |
|
|
|
|
Investor Shares—Net Assets |
|
|
Applicable to 403,972,185 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,111,905 |
|
Net Asset Value Per Share—Investor Shares | $39.88 |
|
|
|
|
Admiral Shares—Net Assets |
|
|
Applicable to 1,244,259,057 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 85,705,951 |
|
Net Asset Value Per Share—Admiral Shares | $68.88 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Certain of the fund’s securities include partial security positions on loan to broker-dealers. The total value of securities on loan is $247,954,000.
† 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 $6,407,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $982,000 have been segregated as collateral for open forward currency contracts.
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 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.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2019.
6 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 May 31, 2019, the aggregate value of these securities was $5,988,044,000, representing 5.9% of net assets.
7 Includes $266,070,000 of collateral received for securities on loan.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
ADR—American Depositary Receipt.
REMICS—Real Estate Mortgage Investment Conduits.
TBA—To Be Announced.
Wellington Fund
Derivative Financial Instruments Outstanding as of Period End |
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($000) |
|
|
| Expiration |
| Number of | )
| Notional Amount |
| Value and Unrealized Appreciation (Depreciation) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
5-Year U.S. Treasury Note |
| September 2019 |
| 14,647 |
| 1,719,077 |
| 9,887 |
|
2-Year U.S. Treasury Note |
| September 2019 |
| 2,490 |
| 534,533 |
| 1,829 |
|
|
|
|
|
|
|
|
| 11,716 |
|
|
|
|
|
|
|
|
|
|
|
Short Futures Contracts |
|
|
|
|
|
|
|
|
|
10-Year U.S. Treasury Note |
| September 2019 |
| (4,530) |
| (574,178) |
| (6,981) |
|
Ultra Long U.S. Treasury Bond |
| September 2019 |
| (824) |
| (144,844) |
| (3,751) |
|
|
|
|
|
|
|
|
| (10,732) |
|
|
|
|
|
|
|
|
| 984 |
|
Forward Currency Contracts |
|
|
|
|
|
|
|
|
| |||
|
| Contract Settlement |
| Contract Amount (000) |
| Unrealized Appreciation |
| Unrealized (Depreciation) |
| |||
Counterparty |
| Date |
|
| Receive |
| Deliver |
| ($000) |
| ($000) |
|
Citibank, N.A. |
| 7/26/19 |
| USD | 198,207 | CAD | 266,196 |
| 1,003 |
| — |
|
Citibank, N.A. |
| 8/19/19 |
| USD | 121,027 | JPY | 13,300,000 |
| — |
| (2,489) |
|
|
|
|
|
|
|
|
|
| 1,003 |
| (2,489) |
|
CAD—Canadian dollar.
JPY—Japanese yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
Wellington Fund
Statement of Operations
| Six Months Ended |
|
| ($000) |
|
Investment Income |
|
|
Income |
|
|
Dividends1 | 966,265 |
|
Interest | 614,924 |
|
Securities Lending—Net | 4,029 |
|
Total Income | 1,585,218 |
|
Expenses |
|
|
Investment Advisory Fees—Note B |
|
|
Basic Fee | 39,021 |
|
Performance Adjustment | (844) |
|
The Vanguard Group—Note C |
|
|
Management and Administrative—Investor Shares | 13,403 |
|
Management and Administrative—Admiral Shares | 40,627 |
|
Marketing and Distribution—Investor Shares | 680 |
|
Marketing and Distribution—Admiral Shares | 1,322 |
|
Custodian Fees | 193 |
|
Shareholders’ Reports—Investor Shares | 280 |
|
Shareholders’ Reports—Admiral Shares | 329 |
|
Trustees’ Fees and Expenses | 42 |
|
Total Expenses | 95,053 |
|
Net Investment Income | 1,490,165 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold2 | 881,701 |
|
Futures Contracts | 1,520 |
|
Swap Contracts | (250) |
|
Forward Currency Contracts | (9,060) |
|
Foreign Currencies | (984) |
|
Realized Net Gain (Loss) | 872,927 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities2 | 483,234 |
|
Futures Contracts | 421 |
|
Swap Contracts | (173) |
|
Forward Currency Contracts | (2,009) |
|
Foreign Currencies | 39 |
|
Change in Unrealized Appreciation (Depreciation) | 481,512 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,844,604 |
|
1 Dividends are net of foreign withholding taxes of $25,605,000.
2 Realized net gain (loss) and change in unrealized appreciation (depreciation) from an affiliated company of the fund were ($90,000) and $27,000. 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
| Six Months Ended |
| Year Ended |
|
| ($000) |
| ($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income | 1,490,165 |
| 2,765,594 |
|
Realized Net Gain (Loss) | 872,927 |
| 6,343,703 |
|
Change in Unrealized Appreciation (Depreciation) | 481,512 |
| (6,149,908) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,844,604 |
| 2,959,389 |
|
Distributions |
|
|
|
|
Net Investment Income |
|
|
|
|
Investor Shares | (222,117) |
| (452,709) |
|
Admiral Shares | (1,206,603) |
| (2,302,686) |
|
Realized Capital Gain1 |
|
|
|
|
Investor Shares | (942,536) |
| (714,085) |
|
Admiral Shares | (4,937,962) |
| (3,377,387) |
|
Total Distributions | (7,309,218) |
| (6,846,867) |
|
Capital Share Transactions |
|
|
|
|
Investor Shares | 405,188 |
| (1,308,528) |
|
Admiral Shares | 3,232,353 |
| 2,283,071 |
|
Net Increase (Decrease) from Capital Share Transactions | 3,637,541 |
| 974,543 |
|
Total Increase (Decrease) | (827,073) |
| (2,912,935) |
|
Net Assets |
|
|
|
|
Beginning of Period | 102,644,929 |
| 105,557,864 |
|
End of Period | 101,817,856 |
| 102,644,929 |
|
1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $46,399,000 and $487,484,000, 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 |
| Six Months |
| Year Ended November 30, |
| ||||||||
Throughout Each Period |
| 2019 |
| 2018 |
| 2017 |
| 2016 |
| 2015 |
| 2014 |
|
Net Asset Value, Beginning of Period |
| $41.86 |
| $43.45 |
| $39.23 |
| $39.00 |
| $41.02 |
| $39.17 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| .567 | 1 | 1.083 | 1 | 1.021 | 1 | 1.017 |
| 1.004 |
| 1.000 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| .418 |
| .100 |
| 4.965 |
| 1.616 |
| (.527 | ) | 3.370 |
|
Total from Investment Operations |
| .985 |
| 1.183 |
| 5.986 |
| 2.633 |
| .477 |
| 4.370 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
| (.558 | ) | (1.086 | ) | (1.030 | ) | (1.014 | ) | (.995 | ) | (.982 | ) |
Distributions from Realized Capital Gains |
| (2.407 | ) | (1.687 | ) | (.736 | ) | (1.389 | ) | (1.502 | ) | (1.538 | ) |
Total Distributions |
| (2.965 | ) | (2.773 | ) | (1.766 | ) | (2.403 | ) | (2.497 | ) | (2.520 | ) |
Net Asset Value, End of Period |
| $39.88 |
| $41.86 |
| $43.45 |
| $39.23 |
| $39.00 |
| $41.02 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
| 2.85% |
| 2.80% |
| 15.72% |
| 7.18% |
| 1.22% |
| 11.72% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
| $16,112 |
| $16,438 |
| $18,422 |
| $18,967 |
| $19,850 |
| $25,199 |
|
Ratio of Total Expenses to Average Net Assets3 |
| 0.26% |
| 0.25% |
| 0.25% |
| 0.25% |
| 0.26% |
| 0.26% |
|
Ratio of Net Investment Income to Average Net Assets |
| 2.88% |
| 2.58% |
| 2.50% |
| 2.68% |
| 2.55% |
| 2.54% |
|
Portfolio Turnover Rate4 |
| 26% |
| 34% |
| 30% |
| 31% |
| 39% |
| 71% |
|
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Includes performance-based investment advisory fee increases (decreases) of 0.00%, (0.01%), (0.01%), (0.01%), 0.00%, and 0.00%.
4 Includes 1%, 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 |
|
|
|
|
|
|
|
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|
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|
For a Share Outstanding |
| Six Months |
| Year Ended November 30, |
| ||||||||
Throughout Each Period |
| 2019 |
| 2018 |
| 2017 |
| 2016 |
| 2015 |
| 2014 |
|
Net Asset Value, Beginning of Period |
| $72.29 |
| $75.04 |
| $67.75 |
| $67.36 |
| $70.85 |
| $67.65 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| 1.008 | 1 | 1.929 | 1 | 1.824 | 1 | 1.812 |
| 1.790 |
| 1.781 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| .732 |
| .172 |
| 8.572 |
| 2.784 |
| (.910 | ) | 5.825 |
|
Total from Investment Operations |
| 1.740 |
| 2.101 |
| 10.396 |
| 4.596 |
| .880 |
| 7.606 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
| (.992 | ) | (1.936 | ) | (1.836 | ) | (1.807 | ) | (1.776 | ) | (1.750 | ) |
Distributions from Realized Capital Gains |
| (4.158 | ) | (2.915 | ) | (1.270 | ) | (2.399 | ) | (2.594 | ) | (2.656 | ) |
Total Distributions |
| (5.150 | ) | (4.851 | ) | (3.106 | ) | (4.206 | ) | (4.370 | ) | (4.406 | ) |
Net Asset Value, End of Period |
| $68.88 |
| $72.29 |
| $75.04 |
| $67.75 |
| $67.36 |
| $70.85 |
|
|
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|
|
|
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|
|
|
|
|
|
|
|
Total Return2 |
| 2.90% |
| 2.88% |
| 15.81% |
| 7.26% |
| 1.31% |
| 11.82% |
|
|
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|
Ratios/Supplemental Data |
|
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|
|
Net Assets, End of Period (Millions) |
| $85,706 |
| $86,207 |
| $87,136 |
| $73,996 |
| $68,894 |
| $64,341 |
|
Ratio of Total Expenses to Average Net Assets3 |
| 0.18% |
| 0.17% |
| 0.17% |
| 0.16% |
| 0.18% |
| 0.18% |
|
Ratio of Net Investment Income to Average Net Assets |
| 2.96% |
| 2.66% |
| 2.58% |
| 2.77% |
| 2.63% |
| 2.62% |
|
Portfolio Turnover Rate4 |
| 26% |
| 34% |
| 30% |
| 31% |
| 39% |
| 71% |
|
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Includes performance-based investment advisory fee increases (decreases) of 0.00%, (0.01%), (0.01%), (0.01%), 0.00%, and 0.00%.
4 Includes 1%, 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. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
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 risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing
Wellington Fund
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 six months ended May 31, 2019, the fund’s average investments in long and short futures contracts represented 2% and less than 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 six months ended May 31, 2019, 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 in the Statement of Net Assets as an asset (liability) and in the Statement of Operations 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
Wellington Fund
received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended May 31, 2019, 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. The fund had no open swap contracts at May 31, 2019.
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
Wellington Fund
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.
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 for the period ended May 31, 2019, 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 $4.3 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.
Wellington Fund
The fund had no borrowings outstanding at May 31, 2019, or at any time during the period then ended.
13. 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.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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 six months ended May 31, 2019, the investment advisory fee represented an effective annual basic rate of 0.08% of the fund’s average net assets before a decrease of $844,000 (0.00%) 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 May 31, 2019, the fund had contributed to Vanguard capital in the amount of $5,095,000, representing 0.01% of the fund’s net assets and 2.04% 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.
Wellington Fund
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 May 31, 2019, based on the inputs used to value them:
Investments |
| Level 1 | ) | Level 2 | ) | Level 3 | ) |
Common Stocks |
| 57,190,443 |
| 7,803,528 |
| — |
|
U.S. Government and Agency Obligations |
| — |
| 7,196,059 |
| — |
|
Asset-Backed/Commercial Mortgage-Backed Securities |
| — |
| 1,617,670 |
| — |
|
Corporate Bonds |
| — |
| 22,377,174 |
| — |
|
Sovereign Bonds |
| — |
| 1,782,317 |
| — |
|
Taxable Municipal Bonds |
| — |
| 1,786,911 |
| — |
|
Temporary Cash Investments |
| 266,147 |
| 2,229,107 |
| — |
|
Futures Contracts—Assets1 |
| 8,666 |
| — |
| — |
|
Futures Contracts—Liabilities1 |
| (7,730 | ) | — |
| — |
|
Forward Currency Contracts—Assets |
| — |
| 1,003 |
| — |
|
Forward Currency Contracts—Liabilities |
| — |
| (2,489 | ) | — |
|
Total |
| 57,457,526 |
| 44,791,280 |
| — |
|
1 Represents variation margin on the last day of the reporting period.
E. At May 31, 2019, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Statement of Net Assets Caption |
| Interest Rate | ) | Currency | ) | Total | ) |
Variation Margin Receivable—Futures Contracts |
| 8,666 |
| — |
| 8,666 |
|
Unrealized Appreciation—Forward Currency Contracts |
| — |
| 1,003 |
| 1,003 |
|
Total Assets |
| 8,666 |
| 1,003 |
| 9,669 |
|
|
|
|
|
|
|
|
|
Variation Margin Payable—Futures Contracts |
| (7,730 | ) | — |
| (7,730 | ) |
Unrealized Depreciation—Forward Currency Contracts |
| — |
| (2,489 | ) | (2,489 | ) |
Total Liabilities |
| (7,730 | ) | (2,489 | ) | (10,219 | ) |
Wellington Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended May 31, 2019, were:
Realized Net Gain (Loss) on Derivatives |
| Interest Rate | ) | Currency | ) | Credit | ) | Total | ) |
Futures Contracts |
| 1,520 |
| — |
| — |
| 1,520 |
|
Forward Currency Contracts |
| — |
| (9,060 | ) | — |
| (9,060 | ) |
Swap Contracts |
| — |
| — |
| (250 | ) | (250 | ) |
Realized Net Gain (Loss) on Derivatives |
| 1,520 |
| (9,060 | ) | (250 | ) | (7,790 | ) |
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives |
|
|
|
|
|
|
| ||
Futures Contracts |
| 421 |
| — |
| — |
| 421 |
|
Forward Currency Contracts |
| — |
| (2,009 | ) | — |
| (2,009 | ) |
Swap Contracts |
| — |
| — |
| (173 | ) | (173 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivatives |
| 421 |
| (2,009 | ) | (173 | ) | (1,761 | ) |
F. As of May 31, 2019, 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 |
| 80,133,344 |
|
Gross Unrealized Appreciation |
| 23,928,344 |
|
Gross Unrealized Depreciation |
| (1,812,835 | ) |
Net Unrealized Appreciation (Depreciation) |
| 22,115,509 |
|
G. During the six months ended May 31, 2019, the fund purchased $8,682,735,000 of investment securities and sold $9,493,204,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,409,951,000 and $3,067,829,000, respectively.
Wellington Fund
H. Capital share transactions for each class of shares were:
|
| Six Months Ended May 31, 2019 |
| Year Ended November 30, 2018 |
| |||||
|
| Amount |
| Shares |
| Amount |
| Shares |
| |
|
| ($000 | ) | (000) |
| ($000 | ) | (000 | ) | |
Investor Shares |
|
|
|
|
|
|
|
|
| |
Issued |
| 791,370 |
| 20,032 |
| 1,641,047 |
| 38,999 |
| |
Issued in Lieu of Cash Distributions |
| 1,115,620 |
| 29,742 |
| 1,115,887 |
| 26,568 |
| |
Redeemed |
| (1,501,802 | ) | (38,510) |
| (4,065,462 | ) | (96,841 | ) | |
Net Increase (Decrease)—Investor Shares |
| 405,188 |
| 11,264 |
| (1,308,528 | ) | (31,274 | ) | |
Admiral Shares |
|
|
|
|
|
|
|
|
| |
Issued |
| 2,888,198 |
| 42,573 |
| 7,057,729 |
| 97,338 |
| |
Issued in Lieu of Cash Distributions |
| 5,756,067 |
| 88,851 |
| 5,320,079 |
| 73,335 |
| |
Redeemed |
| (5,411,912 | ) | (79,611) |
| (10,094,737 | ) | (139,360 | ) | |
Net Increase (Decrease)—Admiral Shares |
| 3,232,353 |
| 51,813 |
| 2,283,071 |
| 31,313 |
| |
I. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
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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.
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.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q212 072019 |
Semiannual Report | May 31, 2019
Vanguard U.S. Factor ETFs
|
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 |
|
|
|
About Your Fund’s Expenses | 1 |
U.S. Liquidity Factor ETF | 3 |
U.S. Minimum Volatility ETF | 22 |
U.S. Momentum Factor ETF | 33 |
U.S. Multifactor ETF | 48 |
U.S. Quality Factor ETF | 64 |
U.S. Value Factor ETF | 81 |
Trustees Approve Advisory Arrangements | 100 |
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 May 31, 2019 |
|
|
|
| Beginning | Ending | Expenses |
Based on Actual Fund Return |
|
|
|
U.S. Liquidity Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,002.31 | $0.65 |
U.S. Minimum Volatility ETF |
|
|
|
ETF Shares | $1,000.00 | $1,031.52 | $0.66 |
U.S. Momentum Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,021.66 | $0.66 |
U.S. Multifactor ETF |
|
|
|
ETF Shares | $1,000.00 | $944.37 | $0.87 |
U.S. Quality Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $955.28 | $0.63 |
U.S. Value Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $917.16 | $0.62 |
Based on Hypothetical 5% Yearly Return |
|
|
|
U.S. Liquidity Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.28 | $0.66 |
U.S. Minimum Volatility ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.28 | $0.66 |
U.S. Momentum Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.28 | $0.66 |
U.S. Multifactor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.03 | $0.91 |
U.S. Quality Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.28 | $0.66 |
U.S. Value Factor ETF |
|
|
|
ETF Shares | $1,000.00 | $1,024.28 | $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 (182/365).
U.S. Liquidity Factor ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary |
| 8.8 | % |
Consumer Staples |
| 4.2 |
|
Energy |
| 2.7 |
|
Financial Services |
| 36.3 |
|
Health Care |
| 14.8 |
|
Materials & Processing |
| 5.9 |
|
Producer Durables |
| 16.0 |
|
Technology |
| 6.7 |
|
Utilities |
| 4.6 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.5%)1 |
|
|
|
|
| ||
Consumer Discretionary (8.8%) |
|
|
|
|
| ||
|
| Sirius XM Holdings Inc. |
| 21,042 |
| 112 |
|
|
| VF Corp. |
| 1,024 |
| 84 |
|
|
| Las Vegas Sands Corp. |
| 1,198 |
| 66 |
|
|
| Ross Stores Inc. |
| 688 |
| 64 |
|
|
| Choice Hotels International Inc. |
| 543 |
| 45 |
|
|
| Penske Automotive Group Inc. |
| 1,027 |
| 44 |
|
|
| News Corp. Class A |
| 3,429 |
| 39 |
|
|
| Yum! Brands Inc. |
| 372 |
| 38 |
|
|
| Marriott International Inc. Class A |
| 293 |
| 37 |
|
* |
| Bright Horizons Family Solutions Inc. |
| 260 |
| 36 |
|
|
| AMERCO |
| 88 |
| 32 |
|
* |
| GCI Liberty Inc. Class A |
| 530 |
| 31 |
|
* |
| K12 Inc. |
| 964 |
| 29 |
|
* |
| Monarch Casino & Resort Inc. |
| 681 |
| 29 |
|
* |
| Denny’s Corp. |
| 1,442 |
| 28 |
|
* |
| Cimpress NV |
| 292 |
| 26 |
|
|
| Churchill Downs Inc. |
| 252 |
| 25 |
|
|
| Haverty Furniture Cos. Inc. |
| 1,318 |
| 23 |
|
* |
| Liberty Media Corp-Liberty Formula One |
| 613 |
| 23 |
|
|
| Pool Corp. |
| 111 |
| 20 |
|
* |
| Central Garden & Pet Co. Class A |
| 742 |
| 19 |
|
* |
| Liberty Media Corp-Liberty SiriusXM Class C |
| 493 |
| 18 |
|
|
| Carnival Corp. |
| 335 |
| 17 |
|
* |
| Vera Bradley Inc. |
| 1,550 |
| 17 |
|
* |
| MasterCraft Boat Holdings Inc. |
| 830 |
| 16 |
|
|
| Scholastic Corp. |
| 497 |
| 16 |
|
* |
| Eros International plc |
| 2,064 |
| 16 |
|
|
| Matthews International Corp. Class A |
| 460 |
| 16 |
|
* |
| Revlon Inc. Class A |
| 739 |
| 16 |
|
* |
| Motorcar Parts of America Inc. |
| 857 |
| 15 |
|
* |
| Cardlytics Inc. |
| 652 |
| 15 |
|
|
| Emerald Expositions Events Inc. |
| 1,266 |
| 15 |
|
|
| Citi Trends Inc. |
| 1,071 |
| 15 |
|
|
| Cable One Inc. |
| 13 |
| 15 |
|
|
| Columbia Sportswear Co. |
| 153 |
| 14 |
|
* |
| Grand Canyon Education Inc. |
| 118 |
| 14 |
|
|
| Viad Corp. |
| 210 |
| 13 |
|
* |
| Container Store Group Inc. |
| 1,823 |
| 13 |
|
|
| Marriott Vacations Worldwide Corp. |
| 140 |
| 13 |
|
* |
| 2U Inc. |
| 331 |
| 13 |
|
* |
| WideOpenWest Inc. |
| 1,673 |
| 12 |
|
* |
| Liberty Media Corp-Liberty Braves |
| 464 |
| 12 |
|
|
| Standard Motor Products Inc. |
| 278 |
| 12 |
|
* |
| Rosetta Stone Inc. |
| 477 |
| 12 |
|
* |
| Career Education Corp. |
| 615 |
| 12 |
|
* |
| El Pollo Loco Holdings Inc. |
| 1,082 |
| 11 |
|
* |
| 1-800-Flowers.com Inc. Class A |
| 609 |
| 11 |
|
* |
| Barnes & Noble Education Inc. |
| 3,498 |
| 11 |
|
* |
| Universal Electronics Inc. |
| 279 |
| 11 |
|
|
| Tower International Inc. |
| 623 |
| 11 |
|
|
| Carriage Services Inc. Class A |
| 585 |
| 11 |
|
* |
| America’s Car-Mart Inc. |
| 121 |
| 10 |
|
|
| Inter Parfums Inc. |
| 158 |
| 10 |
|
|
| Marcus Corp. |
| 286 |
| 10 |
|
* |
| Carrols Restaurant Group Inc. |
| 1,161 |
| 10 |
|
|
| Sonic Automotive Inc. Class A |
| 524 |
| 9 |
|
|
| Tile Shop Holdings Inc. |
| 2,147 |
| 9 |
|
* |
| American Public Education Inc. |
| 318 |
| 9 |
|
* |
| Regis Corp. |
| 470 |
| 9 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| M/I Homes Inc. |
| 315 |
| 9 |
|
|
| Superior Industries International Inc. |
| 2,324 |
| 9 |
|
* |
| Houghton Mifflin Harcourt Co. |
| 1,519 |
| 9 |
|
|
| Johnson Outdoors Inc. Class A |
| 115 |
| 8 |
|
* |
| Floor & Decor Holdings Inc. Class A |
| 224 |
| 8 |
|
* |
| Chuy’s Holdings Inc. |
| 357 |
| 8 |
|
* |
| Potbelly Corp. |
| 1,558 |
| 8 |
|
* |
| Noodles & Co. Class A |
| 1,067 |
| 8 |
|
|
| National CineMedia Inc. |
| 1,146 |
| 7 |
|
* |
| HealthStream Inc. |
| 299 |
| 7 |
|
* |
| Del Taco Restaurants Inc. |
| 679 |
| 7 |
|
|
| Service Corp. International |
| 157 |
| 7 |
|
|
| National Presto Industries Inc. |
| 69 |
| 7 |
|
|
| Acushnet Holdings Corp. |
| 272 |
| 6 |
|
* |
| ServiceMaster Global Holdings Inc. |
| 111 |
| 6 |
|
* |
| Liberty Broadband Corp. |
| 53 |
| 5 |
|
|
| Autoliv Inc. |
| 84 |
| 5 |
|
|
| Boyd Gaming Corp. |
| 214 |
| 5 |
|
* |
| Del Frisco’s Restaurant Group Inc. |
| 697 |
| 5 |
|
* |
| Lands’ End Inc. |
| 381 |
| 5 |
|
|
| Garmin Ltd. |
| 60 |
| 5 |
|
|
| Gentex Corp. |
| 206 |
| 4 |
|
|
| KAR Auction Services Inc. |
| 77 |
| 4 |
|
* |
| AutoNation Inc. |
| 109 |
| 4 |
|
* |
| Kontoor Brands Inc. |
| 146 |
| 4 |
|
* |
| Care.com Inc. |
| 267 |
| 4 |
|
|
| Cinemark Holdings Inc. |
| 98 |
| 4 |
|
|
| Ruth’s Hospitality Group Inc. |
| 161 |
| 4 |
|
* |
| Quotient Technology Inc. |
| 348 |
| 4 |
|
* |
| Nautilus Inc. |
| 1,288 |
| 3 |
|
|
| Texas Roadhouse Inc. Class A |
| 67 |
| 3 |
|
* |
| Pier 1 Imports Inc. |
| 5,720 |
| 3 |
|
|
| Extended Stay America Inc. |
| 193 |
| 3 |
|
* |
| Duluth Holdings Inc. |
| 217 |
| 3 |
|
|
| J. Jill Inc. |
| 1,933 |
| 3 |
|
|
|
|
|
|
| 1,533 |
|
Consumer Staples (4.2%) |
|
|
|
|
| ||
* |
| Monster Beverage Corp. |
| 1,706 |
| 106 |
|
|
| Sysco Corp. |
| 1,182 |
| 81 |
|
|
| Keurig Dr Pepper Inc. |
| 2,661 |
| 75 |
|
|
| Kimberly-Clark Corp. |
| 371 |
| 48 |
|
|
| Colgate-Palmolive Co. |
| 676 |
| 47 |
|
* |
| Performance Food Group Co. |
| 1,109 |
| 44 |
|
|
| Flowers Foods Inc. |
| 1,504 |
| 34 |
|
|
| Coca-Cola European Partners plc |
| 534 |
| 30 |
|
|
| Ingles Markets Inc. Class A |
| 872 |
| 26 |
|
* |
| Pilgrim’s Pride Corp. |
| 830 |
| 21 |
|
|
| Brown-Forman Corp. Class B |
| 406 |
| 20 |
|
|
| Lancaster Colony Corp. |
| 128 |
| 18 |
|
|
| National Beverage Corp. |
| 396 |
| 18 |
|
|
| Turning Point Brands Inc. |
| 358 |
| 18 |
|
|
| Ingredion Inc. |
| 207 |
| 16 |
|
|
| SpartanNash Co. |
| 1,250 |
| 14 |
|
|
| Limoneira Co. |
| 671 |
| 13 |
|
|
| Nu Skin Enterprises Inc. Class A |
| 245 |
| 11 |
|
|
| Weis Markets Inc. |
| 299 |
| 11 |
|
* |
| Freshpet Inc. |
| 237 |
| 11 |
|
|
| Spectrum Brands Holdings Inc. |
| 204 |
| 11 |
|
* |
| Chefs’ Warehouse Inc. |
| 314 |
| 10 |
|
* |
| Natural Grocers by Vitamin Cottage Inc. |
| 717 |
| 7 |
|
|
| Tootsie Roll Industries Inc. |
| 193 |
| 7 |
|
|
| Energizer Holdings Inc. |
| 174 |
| 7 |
|
|
| John B Sanfilippo & Son Inc. |
| 92 |
| 7 |
|
|
| Fresh Del Monte Produce Inc. |
| 280 |
| 7 |
|
* |
| Primo Water Corp. |
| 530 |
| 6 |
|
|
| Andersons Inc. |
| 162 |
| 4 |
|
|
|
|
|
|
| 728 |
|
Energy (2.7%) |
|
|
|
|
| ||
|
| Phillips 66 |
| 817 |
| 66 |
|
|
| Kinder Morgan Inc. |
| 2,191 |
| 44 |
|
* |
| FTS International Inc. |
| 4,119 |
| 25 |
|
* |
| Par Pacific Holdings Inc. |
| 1,184 |
| 23 |
|
* |
| ION Geophysical Corp. |
| 3,306 |
| 23 |
|
* |
| Abraxas Petroleum Corp. |
| 21,882 |
| 21 |
|
* |
| Vivint Solar Inc. |
| 2,880 |
| 19 |
|
|
| CVR Energy Inc. |
| 428 |
| 18 |
|
* |
| Talos Energy Inc. |
| 757 |
| 18 |
|
|
| Valvoline Inc. |
| 829 |
| 15 |
|
* |
| Newpark Resources Inc. |
| 2,049 |
| 14 |
|
* |
| Frank’s International NV |
| 2,498 |
| 14 |
|
* |
| Clean Energy Fuels Corp. |
| 5,255 |
| 14 |
|
* |
| TETRA Technologies Inc. |
| 8,700 |
| 13 |
|
* |
| REX American Resources Corp. |
| 191 |
| 13 |
|
* |
| Exterran Corp. |
| 932 |
| 13 |
|
* |
| Matrix Service Co. |
| 681 |
| 12 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Pioneer Natural Resources Co. |
| 73 |
| 10 |
|
* |
| Smart Sand Inc. |
| 2,799 |
| 9 |
|
|
| Peabody Energy Corp. |
| 392 |
| 9 |
|
|
| EOG Resources Inc. |
| 103 |
| 9 |
|
* |
| SunCoke Energy Inc. |
| 1,144 |
| 8 |
|
* |
| Flotek Industries Inc. |
| 2,196 |
| 7 |
|
* |
| Centennial Resource Development Inc. Class A |
| 776 |
| 6 |
|
* |
| Select Energy Services Inc. Class A |
| 564 |
| 6 |
|
* |
| Nine Energy Service Inc. |
| 320 |
| 5 |
|
|
| TerraForm Power Inc. Class A |
| 327 |
| 5 |
|
* |
| SandRidge Energy Inc. |
| 632 |
| 4 |
|
* |
| Tellurian Inc. |
| 506 |
| 4 |
|
* |
| Alta Mesa Resources Inc. Class A |
| 25,422 |
| 4 |
|
* |
| CARBO Ceramics Inc. |
| 2,134 |
| 3 |
|
* |
| Pioneer Energy Services Corp. |
| 8,303 |
| 3 |
|
* |
| Basic Energy Services Inc. |
| 1,314 |
| 3 |
|
|
| Mammoth Energy Services Inc. |
| 219 |
| 2 |
|
* |
| Unit Corp. |
| 232 |
| 2 |
|
|
|
|
|
|
| 464 |
|
Financial Services (36.1%) |
|
|
|
|
| ||
|
| Aon plc |
| 760 |
| 137 |
|
|
| Marsh & McLennan Cos. Inc. |
| 1,390 |
| 133 |
|
|
| Intercontinental Exchange Inc. |
| 1,589 |
| 131 |
|
|
| Moody’s Corp. |
| 673 |
| 123 |
|
|
| TD Ameritrade Holding Corp. |
| 2,340 |
| 116 |
|
|
| Aflac Inc. |
| 2,255 |
| 116 |
|
|
| Prudential Financial Inc. |
| 1,195 |
| 110 |
|
|
| Chubb Ltd. |
| 748 |
| 109 |
|
|
| Prologis Inc. |
| 1,412 |
| 104 |
|
|
| Public Storage |
| 436 |
| 104 |
|
* |
| Fiserv Inc. |
| 1,107 |
| 95 |
|
|
| Progressive Corp. |
| 1,154 |
| 91 |
|
|
| Erie Indemnity Co. Class A |
| 401 |
| 85 |
|
|
| Capital One Financial Corp. |
| 983 |
| 84 |
|
|
| Fidelity National Information Services Inc. |
| 684 |
| 82 |
|
|
| CME Group Inc. |
| 388 |
| 75 |
|
|
| S&P Global Inc. |
| 340 |
| 73 |
|
|
| Travelers Cos. Inc. |
| 469 |
| 68 |
|
|
| BB&T Corp. |
| 1,416 |
| 66 |
|
|
| Allstate Corp. |
| 668 |
| 64 |
|
|
| OneMain Holdings Inc. |
| 1,983 |
| 59 |
|
|
| Medical Properties Trust Inc. |
| 3,205 |
| 57 |
|
|
| Stifel Financial Corp. |
| 1,053 |
| 56 |
|
|
| Bank of New York Mellon Corp. |
| 1,282 |
| 55 |
|
|
| Equinix Inc. |
| 112 |
| 54 |
|
|
| Universal Health Realty Income Trust |
| 636 |
| 52 |
|
|
| State Street Corp. |
| 939 |
| 52 |
|
|
| Simon Property Group Inc. |
| 299 |
| 48 |
|
|
| Selective Insurance Group Inc. |
| 671 |
| 48 |
|
|
| BlackRock Inc. |
| 115 |
| 48 |
|
|
| Gladstone Commercial Corp. |
| 2,192 |
| 46 |
|
|
| TFS Financial Corp. |
| 2,598 |
| 45 |
|
|
| Weingarten Realty Investors |
| 1,540 |
| 43 |
|
|
| Investors Real Estate Trust |
| 723 |
| 42 |
|
|
| MetLife Inc. |
| 904 |
| 42 |
|
|
| Primerica Inc. |
| 357 |
| 41 |
|
|
| United Bankshares Inc. |
| 1,089 |
| 39 |
|
|
| Morningstar Inc. |
| 275 |
| 38 |
|
|
| First Citizens BancShares Inc. Class A |
| 89 |
| 37 |
|
|
| City Office REIT Inc. |
| 3,159 |
| 37 |
|
|
| CNA Financial Corp. |
| 799 |
| 36 |
|
|
| Equity Commonwealth |
| 1,073 |
| 35 |
|
|
| Crown Castle International Corp. |
| 267 |
| 35 |
|
|
| Ryman Hospitality Properties Inc. |
| 432 |
| 35 |
|
|
| FirstCash Inc. |
| 355 |
| 34 |
|
|
| Equity LifeStyle Properties Inc. |
| 276 |
| 34 |
|
|
| Peapack Gladstone Financial Corp. |
| 1,217 |
| 33 |
|
|
| Santander Consumer USA Holdings Inc. |
| 1,423 |
| 32 |
|
|
| CatchMark Timber Trust Inc. Class A |
| 3,340 |
| 31 |
|
|
| Commerce Bancshares Inc. |
| 547 |
| 31 |
|
|
| Paramount Group Inc. |
| 2,191 |
| 31 |
|
|
| Hospitality Properties Trust |
| 1,255 |
| 31 |
|
|
| Cincinnati Financial Corp. |
| 317 |
| 31 |
|
|
| ConnectOne Bancorp Inc. |
| 1,465 |
| 31 |
|
|
| Independent Bank Corp. |
| 1,416 |
| 30 |
|
|
| Home BancShares Inc. |
| 1,700 |
| 30 |
|
|
| First Hawaiian Inc. |
| 1,195 |
| 30 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| JBG SMITH Properties |
| 750 |
| 30 |
|
* |
| Enstar Group Ltd. |
| 180 |
| 30 |
|
|
| UMB Financial Corp. |
| 479 |
| 30 |
|
|
| IBERIABANK Corp. |
| 413 |
| 30 |
|
|
| Prosperity Bancshares Inc. |
| 455 |
| 29 |
|
|
| American Campus Communities Inc. |
| 617 |
| 29 |
|
* |
| Credit Acceptance Corp. |
| 61 |
| 28 |
|
|
| Glacier Bancorp Inc. |
| 702 |
| 28 |
|
|
| FNB Corp. |
| 2,502 |
| 28 |
|
|
| Liberty Property Trust |
| 579 |
| 27 |
|
|
| Douglas Emmett Inc. |
| 680 |
| 27 |
|
|
| Hancock Whitney Corp. |
| 713 |
| 27 |
|
|
| First Financial Bankshares Inc. |
| 470 |
| 27 |
|
* |
| Everi Holdings Inc. |
| 2,366 |
| 26 |
|
|
| Popular Inc. |
| 503 |
| 26 |
|
|
| Rayonier Inc. |
| 932 |
| 26 |
|
|
| Bank OZK |
| 904 |
| 26 |
|
|
| BOK Financial Corp. |
| 347 |
| 26 |
|
|
| First Foundation Inc. |
| 1,936 |
| 25 |
|
|
| PNC Financial Services Group Inc. |
| 199 |
| 25 |
|
* |
| CoreLogic Inc. |
| 645 |
| 25 |
|
|
| Old Republic International Corp. |
| 1,119 |
| 25 |
|
|
| Nelnet Inc. Class A |
| 416 |
| 25 |
|
|
| American National Insurance Co. |
| 216 |
| 24 |
|
|
| Chemical Financial Corp. |
| 641 |
| 24 |
|
|
| UDR Inc. |
| 538 |
| 24 |
|
|
| Cass Information Systems Inc. |
| 534 |
| 24 |
|
|
| Janus Henderson Group plc |
| 1,180 |
| 24 |
|
|
| Oppenheimer Holdings Inc. Class A |
| 972 |
| 24 |
|
|
| Hilltop Holdings Inc. |
| 1,169 |
| 24 |
|
|
| PS Business Parks Inc. |
| 143 |
| 23 |
|
|
| Lakeland Bancorp Inc. |
| 1,487 |
| 23 |
|
|
| Piper Jaffray Cos. |
| 322 |
| 23 |
|
|
| Valley National Bancorp |
| 2,291 |
| 22 |
|
|
| Torchmark Corp. |
| 262 |
| 22 |
|
|
| Assured Guaranty Ltd. |
| 544 |
| 22 |
|
|
| Tompkins Financial Corp. |
| 281 |
| 22 |
|
|
| Saul Centers Inc. |
| 413 |
| 22 |
|
|
| FB Financial Corp. |
| 636 |
| 22 |
|
|
| Apple Hospitality REIT Inc. |
| 1,431 |
| 22 |
|
* |
| Howard Hughes Corp. |
| 214 |
| 22 |
|
|
| Oritani Financial Corp. |
| 1,370 |
| 22 |
|
|
| BancFirst Corp. |
| 418 |
| 22 |
|
|
| Charles Schwab Corp. |
| 521 |
| 22 |
|
|
| Front Yard Residential Corp. |
| 1,887 |
| 22 |
|
|
| Heritage Insurance Holdings Inc. |
| 1,464 |
| 21 |
|
|
| Senior Housing Properties Trust |
| 2,710 |
| 21 |
|
* |
| Arch Capital Group Ltd. |
| 620 |
| 21 |
|
|
| Meridian Bancorp Inc. |
| 1,224 |
| 21 |
|
|
| Bryn Mawr Bank Corp. |
| 573 |
| 21 |
|
|
| Hudson Pacific Properties Inc. |
| 624 |
| 21 |
|
|
| Heritage Commerce Corp. |
| 1,748 |
| 21 |
|
|
| Origin Bancorp Inc. |
| 623 |
| 21 |
|
|
| Healthcare Trust of America Inc. Class A |
| 721 |
| 21 |
|
* |
| Fair Isaac Corp. |
| 70 |
| 21 |
|
|
| Carolina Financial Corp. |
| 623 |
| 21 |
|
* |
| Customers Bancorp Inc. |
| 1,028 |
| 20 |
|
|
| Safety Insurance Group Inc. |
| 222 |
| 20 |
|
* |
| INTL. FCStone Inc. |
| 582 |
| 20 |
|
|
| Park National Corp. |
| 211 |
| 20 |
|
|
| Jones Lang LaSalle Inc. |
| 159 |
| 20 |
|
|
| TrustCo Bank Corp. NY |
| 2,651 |
| 20 |
|
|
| Towne Bank |
| 770 |
| 20 |
|
|
| Hanover Insurance Group Inc. |
| 155 |
| 19 |
|
|
| SEI Investments Co. |
| 372 |
| 19 |
|
|
| National Western Life Group Inc. Class A |
| 70 |
| 19 |
|
|
| Alexander’s Inc. |
| 50 |
| 18 |
|
|
| United Fire Group Inc. |
| 391 |
| 18 |
|
|
| Umpqua Holdings Corp. |
| 1,142 |
| 18 |
|
* |
| Altisource Portfolio Solutions SA |
| 901 |
| 18 |
|
|
| Kemper Corp. |
| 216 |
| 18 |
|
|
| Banco Latinoamericano de Comercio Exterior SA |
| 870 |
| 17 |
|
|
| Jefferies Financial Group Inc. |
| 964 |
| 17 |
|
|
| American Tower Corp. |
| 80 |
| 17 |
|
|
| RLJ Lodging Trust |
| 952 |
| 16 |
|
|
| RMR Group Inc. Class A |
| 334 |
| 16 |
|
|
| ServisFirst Bancshares Inc. |
| 502 |
| 16 |
|
|
| United Financial Bancorp Inc. |
| 1,197 |
| 16 |
|
|
| Taubman Centers Inc. |
| 349 |
| 15 |
|
|
| New Senior Investment Group Inc. |
| 2,278 |
| 15 |
|
|
| Franklin Street Properties Corp. |
| 2,038 |
| 15 |
|
* |
| Columbia Financial Inc. |
| 966 |
| 15 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| WP Carey Inc. |
| 177 |
| 15 |
|
|
| Federal Agricultural Mortgage Corp. |
| 212 |
| 14 |
|
* |
| Euronet Worldwide Inc. |
| 91 |
| 14 |
|
|
| Ashford Hospitality Trust Inc. |
| 3,104 |
| 14 |
|
|
| Fidelity National Financial Inc. |
| 353 |
| 14 |
|
|
| American Financial Group Inc. |
| 137 |
| 13 |
|
|
| Live Oak Bancshares Inc. |
| 853 |
| 13 |
|
|
| WR Berkley Corp. |
| 211 |
| 13 |
|
* |
| Greenlight Capital Re Ltd. Class A |
| 1,263 |
| 13 |
|
|
| UMH Properties Inc. |
| 957 |
| 13 |
|
* |
| Equity Bancshares Inc. Class A |
| 504 |
| 13 |
|
|
| Webster Financial Corp. |
| 283 |
| 13 |
|
|
| American Express Co. |
| 109 |
| 12 |
|
|
| CorEnergy Infrastructure Trust Inc. |
| 323 |
| 12 |
|
|
| Lamar Advertising Co. Class A |
| 158 |
| 12 |
|
|
| HCI Group Inc. |
| 303 |
| 12 |
|
|
| Sun Communities Inc. |
| 97 |
| 12 |
|
|
| City Holding Co. |
| 166 |
| 12 |
|
|
| Brown & Brown Inc. |
| 384 |
| 12 |
|
|
| OFG Bancorp |
| 628 |
| 12 |
|
|
| Lazard Ltd. Class A |
| 378 |
| 12 |
|
|
| Kearny Financial Corp. |
| 878 |
| 12 |
|
|
| PennyMac Financial Services Inc. |
| 551 |
| 12 |
|
|
| Kinsale Capital Group Inc. |
| 138 |
| 12 |
|
* |
| St. Joe Co. |
| 721 |
| 11 |
|
|
| Sunstone Hotel Investors Inc. |
| 844 |
| 11 |
|
|
| Southside Bancshares Inc. |
| 346 |
| 11 |
|
|
| AMERISAFE Inc. |
| 181 |
| 11 |
|
|
| First Industrial Realty Trust Inc. |
| 308 |
| 11 |
|
* |
| Alleghany Corp. |
| 16 |
| 11 |
|
* |
| TriState Capital Holdings Inc. |
| 515 |
| 11 |
|
|
| Braemar Hotels & Resorts Inc. |
| 977 |
| 10 |
|
|
| Opus Bank |
| 500 |
| 10 |
|
|
| Healthcare Realty Trust Inc. |
| 309 |
| 10 |
|
|
| Horace Mann Educators Corp. |
| 244 |
| 10 |
|
|
| MarketAxess Holdings Inc. |
| 33 |
| 10 |
|
|
| Hanmi Financial Corp. |
| 470 |
| 10 |
|
|
| 1st Source Corp. |
| 221 |
| 10 |
|
|
| Armada Hoffler Properties Inc. |
| 581 |
| 10 |
|
* |
| Curo Group Holdings Corp. |
| 1,003 |
| 9 |
|
* |
| Texas Capital Bancshares Inc. |
| 160 |
| 9 |
|
|
| NexPoint Residential Trust Inc. |
| 227 |
| 9 |
|
* |
| Essent Group Ltd. |
| 193 |
| 9 |
|
|
| Radian Group Inc. |
| 401 |
| 9 |
|
|
| Interactive Brokers Group Inc. |
| 173 |
| 9 |
|
* |
| Ocwen Financial Corp. |
| 5,559 |
| 9 |
|
* |
| HomeStreet Inc. |
| 301 |
| 9 |
|
|
| Highwoods Properties Inc. |
| 195 |
| 9 |
|
|
| GAIN Capital Holdings Inc. |
| 2,194 |
| 9 |
|
|
| US Bancorp |
| 169 |
| 8 |
|
|
| BankUnited Inc. |
| 261 |
| 8 |
|
* |
| Markel Corp. |
| 8 |
| 8 |
|
|
| First American Financial Corp. |
| 164 |
| 8 |
|
* |
| Donnelley Financial Solutions Inc. |
| 685 |
| 8 |
|
|
| Community Healthcare Trust Inc. |
| 213 |
| 8 |
|
|
| Newmark Group Inc. Class A |
| 1,014 |
| 8 |
|
|
| Associated Banc-Corp |
| 402 |
| 8 |
|
|
| Preferred Apartment Communities Inc. Class A |
| 506 |
| 8 |
|
|
| NorthStar Realty Europe Corp. |
| 479 |
| 8 |
|
|
| James River Group Holdings Ltd. |
| 173 |
| 8 |
|
|
| Goosehead Insurance Inc. Class A |
| 209 |
| 8 |
|
|
| EPR Properties |
| 98 |
| 8 |
|
|
| Sabra Health Care REIT Inc. |
| 396 |
| 8 |
|
|
| Kilroy Realty Corp. |
| 102 |
| 8 |
|
|
| Industrial Logistics Properties Trust |
| 392 |
| 7 |
|
|
| TriCo Bancshares |
| 198 |
| 7 |
|
|
| LPL Financial Holdings Inc. |
| 91 |
| 7 |
|
|
| Gaming and Leisure Properties Inc. |
| 178 |
| 7 |
|
|
| First Bancorp |
| 197 |
| 7 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| S&T Bancorp Inc. |
| 184 |
| 7 |
|
|
| Pinnacle Financial Partners Inc. |
| 131 |
| 7 |
|
* |
| On Deck Capital Inc. |
| 1,636 |
| 7 |
|
|
| National Bank Holdings Corp. Class A |
| 186 |
| 7 |
|
|
| Wintrust Financial Corp. |
| 96 |
| 6 |
|
|
| Chatham Lodging Trust |
| 339 |
| 6 |
|
|
| Sterling Bancorp |
| 330 |
| 6 |
|
|
| Univest Financial Corp. |
| 261 |
| 6 |
|
|
| Eaton Vance Corp. |
| 163 |
| 6 |
|
|
| Loews Corp. |
| 121 |
| 6 |
|
* |
| Marcus & Millichap Inc. |
| 202 |
| 6 |
|
|
| Dime Community Bancshares Inc. |
| 336 |
| 6 |
|
* |
| Green Dot Corp. Class A |
| 127 |
| 6 |
|
|
| Lakeland Financial Corp. |
| 134 |
| 6 |
|
|
| SLM Corp. |
| 616 |
| 6 |
|
|
| Axis Capital Holdings Ltd. |
| 97 |
| 6 |
|
|
| Reinsurance Group of America Inc. Class A |
| 39 |
| 6 |
|
|
| National General Holdings Corp. |
| 253 |
| 6 |
|
|
| Employers Holdings Inc. |
| 138 |
| 6 |
|
* |
| Western Alliance Bancorp |
| 139 |
| 6 |
|
|
| Heritage Financial Corp. |
| 200 |
| 6 |
|
|
| NBT Bancorp Inc. |
| 156 |
| 6 |
|
|
| Cohen & Steers Inc. |
| 109 |
| 6 |
|
|
| Franklin Financial Network Inc. |
| 207 |
| 5 |
|
|
| STORE Capital Corp. |
| 158 |
| 5 |
|
|
| OceanFirst Financial Corp. |
| 224 |
| 5 |
|
|
| National Retail Properties Inc. |
| 99 |
| 5 |
|
* |
| Triumph Bancorp Inc. |
| 184 |
| 5 |
|
|
| First Busey Corp. |
| 207 |
| 5 |
|
* |
| MGIC Investment Corp. |
| 374 |
| 5 |
|
|
| RenaissanceRe Holdings Ltd. |
| 29 |
| 5 |
|
|
| Cullen/Frost Bankers Inc. |
| 55 |
| 5 |
|
|
| Central Pacific Financial Corp. |
| 179 |
| 5 |
|
|
| Iron Mountain Inc. |
| 159 |
| 5 |
|
|
| WesBanco Inc. |
| 137 |
| 5 |
|
|
| Getty Realty Corp. |
| 156 |
| 5 |
|
|
| Cousins Properties Inc. |
| 532 |
| 5 |
|
|
| Arthur J Gallagher & Co. |
| 57 |
| 5 |
|
|
| American Homes 4 Rent Class A |
| 194 |
| 5 |
|
|
| WSFS Financial Corp. |
| 118 |
| 5 |
|
|
| Provident Financial Services Inc. |
| 196 |
| 5 |
|
|
| Sandy Spring Bancorp Inc. |
| 145 |
| 5 |
|
* |
| Mr Cooper Group Inc. |
| 615 |
| 5 |
|
|
| Apartment Investment & Management Co. |
| 91 |
| 5 |
|
|
| Life Storage Inc. |
| 47 |
| 5 |
|
|
| Jernigan Capital Inc. |
| 214 |
| 5 |
|
|
| Westamerica Bancorporation |
| 72 |
| 4 |
|
|
| Heartland Financial USA Inc. |
| 103 |
| 4 |
|
|
| Independent Bank Corp. |
| 60 |
| 4 |
|
|
| PJT Partners Inc. |
| 107 |
| 4 |
|
|
| Capitol Federal Financial Inc. |
| 286 |
| 4 |
|
|
| Investors Bancorp Inc. |
| 361 |
| 4 |
|
|
| PacWest Bancorp |
| 102 |
| 4 |
|
|
| Park Hotels & Resorts Inc. |
| 134 |
| 4 |
|
|
| Raymond James Financial Inc. |
| 42 |
| 3 |
|
|
| Monmouth Real Estate Investment Corp. |
| 248 |
| 3 |
|
* |
| Seacoast Banking Corp. of Florida |
| 149 |
| 3 |
|
|
| International Bancshares Corp. |
| 94 |
| 3 |
|
|
| CVB Financial Corp. |
| 163 |
| 3 |
|
|
| First Commonwealth Financial Corp. |
| 263 |
| 3 |
|
|
| Enterprise Financial Services Corp. |
| 84 |
| 3 |
|
|
| Brookline Bancorp Inc. |
| 226 |
| 3 |
|
|
| Preferred Bank |
| 68 |
| 3 |
|
|
| First Financial Bancorp |
| 132 |
| 3 |
|
|
| Boston Private Financial Holdings Inc. |
| 286 |
| 3 |
|
|
| First Merchants Corp. |
| 88 |
| 3 |
|
|
| Maiden Holdings Ltd. |
| 4,303 |
| 2 |
|
|
|
|
|
|
| 6,309 |
|
Health Care (14.7%) |
|
|
|
|
| ||
|
| Danaher Corp. |
| 842 |
| 111 |
|
|
| Zoetis Inc. |
| 913 |
| 92 |
|
* |
| Vertex Pharmaceuticals Inc. |
| 515 |
| 86 |
|
|
| Baxter International Inc. |
| 1,155 |
| 85 |
|
|
| Stryker Corp. |
| 452 |
| 83 |
|
* |
| Boston Scientific Corp. |
| 2,148 |
| 83 |
|
|
| Thermo Fisher Scientific Inc. |
| 287 |
| 77 |
|
|
| Becton Dickinson and Co. |
| 318 |
| 74 |
|
|
| HCA Healthcare Inc. |
| 596 |
| 72 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Edwards Lifesciences Corp. |
| 417 |
| 71 |
|
* |
| Alexion Pharmaceuticals Inc. |
| 620 |
| 70 |
|
* |
| Illumina Inc. |
| 212 |
| 65 |
|
|
| Bruker Corp. |
| 1,397 |
| 58 |
|
|
| Abbott Laboratories |
| 444 |
| 34 |
|
* |
| QIAGEN NV |
| 881 |
| 34 |
|
|
| Humana Inc. |
| 126 |
| 31 |
|
* |
| Adverum Biotechnologies Inc. |
| 3,062 |
| 31 |
|
|
| Bio-Techne Corp. |
| 149 |
| 30 |
|
* |
| Insulet Corp. |
| 258 |
| 28 |
|
|
| Computer Programs & Systems Inc. |
| 1,084 |
| 28 |
|
|
| Cantel Medical Corp. |
| 378 |
| 26 |
|
* |
| Penumbra Inc. |
| 164 |
| 23 |
|
* |
| Idera Pharmaceuticals Inc. |
| 9,200 |
| 23 |
|
* |
| R1 RCM Inc. |
| 1,913 |
| 22 |
|
* |
| Charles River Laboratories International Inc. |
| 179 |
| 22 |
|
* |
| American Renal Associates Holdings Inc. |
| 3,407 |
| 22 |
|
* |
| NextGen Healthcare Inc. |
| 1,139 |
| 22 |
|
|
| Hill-Rom Holdings Inc. |
| 226 |
| 22 |
|
* |
| GenMark Diagnostics Inc. |
| 3,229 |
| 22 |
|
* |
| ICU Medical Inc. |
| 101 |
| 22 |
|
* |
| ChemoCentryx Inc. |
| 1,869 |
| 21 |
|
* |
| Homology Medicines Inc. |
| 1,001 |
| 20 |
|
* |
| OrthoPediatrics Corp. |
| 514 |
| 20 |
|
* |
| Seattle Genetics Inc. |
| 302 |
| 20 |
|
* |
| RadNet Inc. |
| 1,588 |
| 19 |
|
* |
| Neogen Corp. |
| 339 |
| 19 |
|
* |
| Kura Oncology Inc. |
| 1,165 |
| 19 |
|
* |
| Kindred Biosciences Inc. |
| 2,345 |
| 19 |
|
* |
| Epizyme Inc. |
| 1,326 |
| 18 |
|
* |
| PDL BioPharma Inc. |
| 6,384 |
| 18 |
|
* |
| Cytokinetics Inc. |
| 1,718 |
| 18 |
|
* |
| Aduro Biotech Inc. |
| 5,362 |
| 17 |
|
* |
| UNITY Biotechnology Inc. |
| 2,120 |
| 17 |
|
|
| LeMaitre Vascular Inc. |
| 665 |
| 17 |
|
* |
| BioSpecifics Technologies Corp. |
| 284 |
| 17 |
|
|
| Encompass Health Corp. |
| 282 |
| 17 |
|
* |
| FibroGen Inc. |
| 456 |
| 17 |
|
* |
| HealthEquity Inc. |
| 251 |
| 16 |
|
* |
| Veracyte Inc. |
| 723 |
| 16 |
|
* |
| Alkermes plc |
| 747 |
| 16 |
|
* |
| Ra Pharmaceuticals Inc. |
| 743 |
| 16 |
|
* |
| Amphastar Pharmaceuticals Inc. |
| 785 |
| 15 |
|
* |
| BioScrip Inc. |
| 7,071 |
| 15 |
|
* |
| Kiniksa Pharmaceuticals Ltd. Class A |
| 957 |
| 15 |
|
|
| National HealthCare Corp. |
| 186 |
| 14 |
|
* |
| Apellis Pharmaceuticals Inc. |
| 714 |
| 14 |
|
* |
| Agios Pharmaceuticals Inc. |
| 309 |
| 14 |
|
* |
| NanoString Technologies Inc. |
| 484 |
| 14 |
|
* |
| Athenex Inc. |
| 940 |
| 14 |
|
* |
| Kadmon Holdings Inc. |
| 6,086 |
| 14 |
|
|
| Chemed Corp. |
| 41 |
| 13 |
|
* |
| Retrophin Inc. |
| 721 |
| 13 |
|
* |
| Optinose Inc. |
| 1,756 |
| 13 |
|
* |
| Catalyst Pharmaceuticals Inc. |
| 3,788 |
| 13 |
|
* |
| Concert Pharmaceuticals Inc. |
| 1,260 |
| 13 |
|
* |
| Xencor Inc. |
| 402 |
| 12 |
|
* |
| Theravance Biopharma Inc. |
| 733 |
| 12 |
|
* |
| Antares Pharma Inc. |
| 4,357 |
| 12 |
|
* |
| Dova Pharmaceuticals Inc. |
| 1,330 |
| 12 |
|
* |
| Triple-S Management Corp. Class B |
| 469 |
| 12 |
|
|
| Atrion Corp. |
| 13 |
| 11 |
|
* |
| CryoLife Inc. |
| 394 |
| 11 |
|
* |
| AtriCure Inc. |
| 379 |
| 11 |
|
* |
| Novocure Ltd. |
| 209 |
| 11 |
|
* |
| Accuray Inc. |
| 2,902 |
| 11 |
|
* |
| Capital Senior Living Corp. |
| 2,530 |
| 11 |
|
* |
| Akcea Therapeutics Inc. |
| 501 |
| 11 |
|
* |
| Accelerate Diagnostics Inc. |
| 556 |
| 11 |
|
|
| West Pharmaceutical Services Inc. |
| 91 |
| 10 |
|
* |
| ZIOPHARM Oncology Inc. |
| 2,412 |
| 10 |
|
* |
| Jounce Therapeutics Inc. |
| 2,319 |
| 10 |
|
|
| STERIS plc |
| 76 |
| 10 |
|
* |
| Dicerna Pharmaceuticals Inc. |
| 811 |
| 10 |
|
* |
| Lexicon Pharmaceuticals Inc. |
| 1,858 |
| 10 |
|
* |
| GlycoMimetics Inc. |
| 808 |
| 10 |
|
* |
| Rhythm Pharmaceuticals Inc. |
| 376 |
| 9 |
|
* |
| Haemonetics Corp. |
| 96 |
| 9 |
|
* |
| Fluidigm Corp. |
| 710 |
| 9 |
|
* |
| Codexis Inc. |
| 503 |
| 9 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Kala Pharmaceuticals Inc. |
| 1,616 |
| 9 |
|
* |
| iRadimed Corp. |
| 422 |
| 9 |
|
* |
| CorVel Corp. |
| 117 |
| 9 |
|
* |
| ArQule Inc. |
| 1,187 |
| 9 |
|
|
| US Physical Therapy Inc. |
| 76 |
| 8 |
|
* |
| Cross Country Healthcare Inc. |
| 1,183 |
| 8 |
|
* |
| Denali Therapeutics Inc. |
| 431 |
| 8 |
|
* |
| Stemline Therapeutics Inc. |
| 623 |
| 8 |
|
* |
| Deciphera Pharmaceuticals Inc. |
| 345 |
| 8 |
|
* |
| Catalent Inc. |
| 171 |
| 8 |
|
* |
| Fate Therapeutics Inc. |
| 402 |
| 8 |
|
* |
| Medidata Solutions Inc. |
| 77 |
| 7 |
|
* |
| Rocket Pharmaceuticals Inc. |
| 427 |
| 7 |
|
* |
| Integra LifeSciences Holdings Corp. |
| 148 |
| 7 |
|
* |
| Bellicum Pharmaceuticals Inc. |
| 3,230 |
| 7 |
|
* |
| Agenus Inc. |
| 2,575 |
| 7 |
|
|
| PerkinElmer Inc. |
| 76 |
| 7 |
|
* |
| Voyager Therapeutics Inc. |
| 293 |
| 6 |
|
* |
| Ocular Therapeutix Inc. |
| 2,198 |
| 6 |
|
* |
| Horizon Therapeutics plc |
| 262 |
| 6 |
|
* |
| Five Prime Therapeutics Inc. |
| 710 |
| 6 |
|
* |
| Providence Service Corp. |
| 89 |
| 6 |
|
* |
| Bio-Rad Laboratories Inc. Class A |
| 20 |
| 6 |
|
* |
| Ultragenyx Pharmaceutical Inc. |
| 103 |
| 6 |
|
* |
| Achillion Pharmaceuticals Inc. |
| 1,944 |
| 5 |
|
|
| Luminex Corp. |
| 256 |
| 5 |
|
* |
| United Therapeutics Corp. |
| 63 |
| 5 |
|
* |
| AngioDynamics Inc. |
| 279 |
| 5 |
|
* |
| Syneos Health Inc. |
| 122 |
| 5 |
|
* |
| Surgery Partners Inc. |
| 555 |
| 5 |
|
* |
| T2 Biosystems Inc. |
| 2,415 |
| 5 |
|
|
| ResMed Inc. |
| 41 |
| 5 |
|
* |
| PRA Health Sciences Inc. |
| 52 |
| 5 |
|
* |
| Corbus Pharmaceuticals Holdings Inc. |
| 609 |
| 4 |
|
|
| Phibro Animal Health Corp. Class A |
| 144 |
| 4 |
|
* |
| Marinus Pharmaceuticals Inc. |
| 945 |
| 4 |
|
* |
| WaVe Life Sciences Ltd. |
| 176 |
| 4 |
|
* |
| CytoSorbents Corp. |
| 618 |
| 4 |
|
* |
| Cerus Corp. |
| 823 |
| 4 |
|
* |
| Ionis Pharmaceuticals Inc. |
| 58 |
| 4 |
|
* |
| Aclaris Therapeutics Inc. |
| 770 |
| 4 |
|
* |
| Akebia Therapeutics Inc. |
| 805 |
| 4 |
|
* |
| BioCryst Pharmaceuticals Inc. |
| 987 |
| 3 |
|
|
| Meridian Bioscience Inc. |
| 298 |
| 3 |
|
* |
| Intra-Cellular Therapies Inc. |
| 234 |
| 3 |
|
* |
| Immunomedics Inc. |
| 216 |
| 3 |
|
* |
| Assembly Biosciences Inc. |
| 178 |
| 3 |
|
* |
| Innovate Biopharmaceuticals Inc. |
| 1,520 |
| 2 |
|
* |
| Insys Therapeutics Inc. |
| 1,964 |
| 1 |
|
* |
| AVEO Pharmaceuticals Inc. |
| 1,617 |
| 1 |
|
* |
| Nuvectra Corp. |
| 173 |
| 1 |
|
|
|
|
|
|
| 2,571 |
|
Materials & Processing (5.8%) |
|
|
|
|
| ||
|
| Southern Copper Corp. |
| 3,606 |
| 122 |
|
|
| Air Products & Chemicals Inc. |
| 593 |
| 121 |
|
|
| Ecolab Inc. |
| 609 |
| 112 |
|
|
| LyondellBasell Industries NV Class A |
| 620 |
| 46 |
|
|
| NewMarket Corp. |
| 114 |
| 44 |
|
|
| Chase Corp. |
| 350 |
| 36 |
|
* |
| Univar Inc. |
| 1,621 |
| 32 |
|
|
| DMC Global Inc. |
| 464 |
| 31 |
|
* |
| RBC Bearings Inc. |
| 206 |
| 29 |
|
|
| GrafTech International Ltd. |
| 2,472 |
| 25 |
|
|
| Scotts Miracle-Gro Co. |
| 262 |
| 23 |
|
|
| Myers Industries Inc. |
| 1,322 |
| 22 |
|
|
| Schweitzer-Mauduit International Inc. |
| 704 |
| 22 |
|
|
| Royal Gold Inc. |
| 243 |
| 21 |
|
|
| Griffon Corp. |
| 1,442 |
| 21 |
|
|
| Hexcel Corp. |
| 278 |
| 20 |
|
* |
| PQ Group Holdings Inc. |
| 1,181 |
| 18 |
|
|
| Haynes International Inc. |
| 565 |
| 16 |
|
|
| Caesarstone Ltd. |
| 1,147 |
| 16 |
|
|
| Westlake Chemical Corp. |
| 274 |
| 16 |
|
* |
| Koppers Holdings Inc. |
| 560 |
| 15 |
|
|
| AptarGroup Inc. |
| 127 |
| 14 |
|
* |
| Ingevity Corp. |
| 147 |
| 13 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Gold Resource Corp. |
| 4,252 |
| 12 |
|
* |
| Unifi Inc. |
| 629 |
| 12 |
|
|
| Sonoco Products Co. |
| 188 |
| 12 |
|
|
| NN Inc. |
| 1,470 |
| 11 |
|
|
| Innophos Holdings Inc. |
| 410 |
| 11 |
|
|
| Quanex Building Products Corp. |
| 671 |
| 10 |
|
* |
| Intrepid Potash Inc. |
| 2,996 |
| 9 |
|
* |
| TimkenSteel Corp. |
| 1,312 |
| 9 |
|
|
| Insteel Industries Inc. |
| 501 |
| 9 |
|
|
| Kronos Worldwide Inc. |
| 684 |
| 9 |
|
|
| Materion Corp. |
| 113 |
| 7 |
|
|
| AAON Inc. |
| 144 |
| 7 |
|
* |
| Veritiv Corp. |
| 369 |
| 7 |
|
|
| Reliance Steel & Aluminum Co. |
| 75 |
| 6 |
|
* |
| Trex Co. Inc. |
| 102 |
| 6 |
|
|
| Timken Co. |
| 112 |
| 5 |
|
|
| Balchem Corp. |
| 52 |
| 5 |
|
|
| Quaker Chemical Corp. |
| 26 |
| 5 |
|
|
| Innospec Inc. |
| 58 |
| 5 |
|
|
| PH Glatfelter Co. |
| 320 |
| 5 |
|
|
| Stepan Co. |
| 54 |
| 5 |
|
|
| Mueller Industries Inc. |
| 160 |
| 4 |
|
|
| Advanced Drainage Systems Inc. |
| 147 |
| 4 |
|
* |
| AdvanSix Inc. |
| 158 |
| 4 |
|
* |
| Clearwater Paper Corp. |
| 186 |
| 3 |
|
|
| Neenah Inc. |
| 44 |
| 3 |
|
* |
| Cornerstone Building Brands Inc. |
| 332 |
| 1 |
|
|
|
|
|
|
| 1,021 |
|
Producer Durables (15.9%) |
|
|
|
|
| ||
|
| Roper Technologies Inc. |
| 320 |
| 110 |
|
|
| Johnson Controls International plc |
| 2,636 |
| 102 |
|
|
| Illinois Tool Works Inc. |
| 708 |
| 99 |
|
|
| Waste Management Inc. |
| 858 |
| 94 |
|
|
| Automatic Data Processing Inc. |
| 407 |
| 65 |
|
|
| Emerson Electric Co. |
| 1,036 |
| 62 |
|
|
| Eaton Corp. plc |
| 729 |
| 54 |
|
|
| Norfolk Southern Corp. |
| 263 |
| 51 |
|
|
| General Dynamics Corp. |
| 313 |
| 50 |
|
|
| Genpact Ltd. |
| 1,278 |
| 46 |
|
|
| Woodward Inc. |
| 410 |
| 45 |
|
|
| Crane Co. |
| 580 |
| 44 |
|
|
| Curtiss-Wright Corp. |
| 394 |
| 44 |
|
|
| Toro Co. |
| 671 |
| 44 |
|
|
| National Instruments Corp. |
| 1,074 |
| 41 |
|
* |
| Colfax Corp. |
| 1,563 |
| 39 |
|
|
| Regal Beloit Corp. |
| 538 |
| 39 |
|
|
| Air Lease Corp. Class A |
| 1,083 |
| 39 |
|
|
| MAXIMUS Inc. |
| 545 |
| 39 |
|
|
| MTS Systems Corp. |
| 680 |
| 37 |
|
|
| EMCOR Group Inc. |
| 444 |
| 36 |
|
|
| HEICO Corp. |
| 291 |
| 35 |
|
* |
| Paylocity Holding Corp. |
| 329 |
| 33 |
|
|
| Nordson Corp. |
| 260 |
| 33 |
|
* |
| Navistar International Corp. |
| 1,031 |
| 32 |
|
* |
| WillScot Corp. Class A |
| 2,353 |
| 32 |
|
* |
| Frontline Ltd. |
| 3,957 |
| 31 |
|
|
| ADT Inc. |
| 5,043 |
| 30 |
|
* |
| TriNet Group Inc. |
| 462 |
| 29 |
|
* |
| ASGN Inc. |
| 572 |
| 29 |
|
* |
| Proto Labs Inc. |
| 284 |
| 29 |
|
|
| CRA International Inc. |
| 716 |
| 27 |
|
|
| Tetra Tech Inc. |
| 396 |
| 27 |
|
|
| Alamo Group Inc. |
| 263 |
| 25 |
|
|
| EnerSys |
| 443 |
| 25 |
|
* |
| Gates Industrial Corp. plc |
| 2,193 |
| 25 |
|
|
| MSA Safety Inc. |
| 248 |
| 25 |
|
* |
| SPX Corp. |
| 823 |
| 24 |
|
* |
| Titan Machinery Inc. |
| 1,457 |
| 24 |
|
|
| Accenture plc Class A |
| 131 |
| 23 |
|
* |
| Gardner Denver Holdings Inc. |
| 624 |
| 21 |
|
|
| Columbus McKinnon Corp. |
| 578 |
| 21 |
|
|
| Hyster-Yale Materials Handling Inc. |
| 476 |
| 21 |
|
* |
| Vishay Precision Group Inc. |
| 574 |
| 21 |
|
* |
| Aegion Corp. Class A |
| 1,378 |
| 20 |
|
* |
| Harsco Corp. |
| 788 |
| 20 |
|
* |
| Modine Manufacturing Co. |
| 1,482 |
| 19 |
|
* |
| Thermon Group Holdings Inc. |
| 860 |
| 19 |
|
|
| ITT Inc. |
| 318 |
| 18 |
|
|
| Donaldson Co. Inc. |
| 378 |
| 18 |
|
* |
| Great Lakes Dredge & Dock Corp. |
| 1,683 |
| 18 |
|
* |
| SPX FLOW Inc. |
| 479 |
| 17 |
|
|
| BWX Technologies Inc. |
| 361 |
| 17 |
|
* |
| International Seaways Inc. |
| 920 |
| 16 |
|
|
| Costamare Inc. |
| 3,140 |
| 16 |
|
* |
| SP Plus Corp. |
| 506 |
| 16 |
|
* |
| Teledyne Technologies Inc. |
| 62 |
| 15 |
|
* |
| Daseke Inc. |
| 3,356 |
| 15 |
|
* |
| Genco Shipping & Trading Ltd. |
| 2,000 |
| 14 |
|
|
| DHT Holdings Inc. |
| 2,576 |
| 14 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Scorpio Bulkers Inc. |
| 3,372 |
| 14 |
|
|
| Mesa Laboratories Inc. |
| 56 |
| 14 |
|
|
| Spartan Motors Inc. |
| 1,565 |
| 14 |
|
|
| Systemax Inc. |
| 653 |
| 13 |
|
|
| Briggs & Stratton Corp. |
| 1,426 |
| 13 |
|
* |
| Darling Ingredients Inc. |
| 706 |
| 13 |
|
|
| Rollins Inc. |
| 354 |
| 13 |
|
* |
| Blue Bird Corp. |
| 706 |
| 13 |
|
|
| nVent Electric plc |
| 567 |
| 13 |
|
* |
| NV5 Global Inc. |
| 165 |
| 13 |
|
* |
| Vectrus Inc. |
| 363 |
| 13 |
|
|
| Douglas Dynamics Inc. |
| 338 |
| 13 |
|
|
| Ennis Inc. |
| 676 |
| 13 |
|
* |
| Huron Consulting Group Inc. |
| 242 |
| 12 |
|
|
| Allied Motion Technologies Inc. |
| 366 |
| 12 |
|
* |
| Sterling Construction Co. Inc. |
| 969 |
| 12 |
|
|
| Kelly Services Inc. Class A |
| 486 |
| 11 |
|
* |
| Lydall Inc. |
| 622 |
| 11 |
|
* |
| Zebra Technologies Corp. |
| 65 |
| 11 |
|
|
| CSW Industrials Inc. |
| 174 |
| 11 |
|
|
| Marten Transport Ltd. |
| 606 |
| 11 |
|
|
| Standex International Corp. |
| 163 |
| 11 |
|
* |
| Genesee & Wyoming Inc. Class A |
| 110 |
| 10 |
|
|
| Graco Inc. |
| 219 |
| 10 |
|
* |
| Energy Recovery Inc. |
| 1,090 |
| 10 |
|
|
| Kforce Inc. |
| 290 |
| 10 |
|
|
| Titan International Inc. |
| 2,367 |
| 10 |
|
|
| IDEX Corp. |
| 64 |
| 10 |
|
* |
| MYR Group Inc. |
| 301 |
| 10 |
|
|
| Resources Connection Inc. |
| 631 |
| 10 |
|
* |
| Wesco Aircraft Holdings Inc. |
| 967 |
| 10 |
|
* |
| DXP Enterprises Inc. |
| 292 |
| 9 |
|
|
| Teekay Corp. |
| 2,847 |
| 9 |
|
|
| Booz Allen Hamilton Holding Corp. Class A |
| 144 |
| 9 |
|
* |
| CryoPort Inc. |
| 542 |
| 9 |
|
|
| Raven Industries Inc. |
| 274 |
| 9 |
|
* |
| Trimble Inc. |
| 216 |
| 9 |
|
|
| Heidrick & Struggles International Inc. |
| 283 |
| 9 |
|
|
| McGrath RentCorp |
| 151 |
| 8 |
|
|
| Nordic American Tankers Ltd. |
| 4,142 |
| 8 |
|
* |
| SEACOR Holdings Inc. |
| 202 |
| 8 |
|
* |
| CBIZ Inc. |
| 417 |
| 8 |
|
|
| Tennant Co. |
| 141 |
| 8 |
|
|
| Knoll Inc. |
| 412 |
| 8 |
|
|
| Landstar System Inc. |
| 83 |
| 8 |
|
|
| Primoris Services Corp. |
| 437 |
| 8 |
|
|
| US Ecology Inc. |
| 132 |
| 8 |
|
* |
| Clean Harbors Inc. |
| 118 |
| 8 |
|
|
| Barrett Business Services Inc. |
| 105 |
| 8 |
|
|
| Littelfuse Inc. |
| 46 |
| 8 |
|
* |
| Kirby Corp. |
| 94 |
| 7 |
|
* |
| AECOM |
| 228 |
| 7 |
|
|
| Encore Wire Corp. |
| 142 |
| 7 |
|
* |
| Sensata Technologies Holding plc |
| 158 |
| 7 |
|
* |
| Casella Waste Systems Inc. Class A |
| 174 |
| 7 |
|
|
| Sun Hydraulics Corp. |
| 161 |
| 7 |
|
* |
| TriMas Corp. |
| 225 |
| 6 |
|
|
| GasLog Ltd. |
| 443 |
| 6 |
|
|
| ACCO Brands Corp. |
| 855 |
| 6 |
|
|
| ICF International Inc. |
| 86 |
| 6 |
|
|
| Lincoln Electric Holdings Inc. |
| 82 |
| 6 |
|
* |
| CoStar Group Inc. |
| 12 |
| 6 |
|
|
| Brink’s Co. |
| 79 |
| 6 |
|
|
| Exponent Inc. |
| 102 |
| 6 |
|
|
| Hubbell Inc. Class B |
| 49 |
| 6 |
|
|
| ESCO Technologies Inc. |
| 75 |
| 5 |
|
|
| Badger Meter Inc. |
| 89 |
| 5 |
|
|
| Carlisle Cos. Inc. |
| 34 |
| 5 |
|
* |
| FARO Technologies Inc. |
| 102 |
| 5 |
|
|
| FLIR Systems Inc. |
| 91 |
| 4 |
|
|
| Federal Signal Corp. |
| 184 |
| 4 |
|
* |
| Astronics Corp. |
| 108 |
| 4 |
|
* |
| CAI International Inc. |
| 190 |
| 4 |
|
|
| Albany International Corp. Class A |
| 59 |
| 4 |
|
|
| Franklin Electric Co. Inc. |
| 92 |
| 4 |
|
* |
| Sykes Enterprises Inc. |
| 156 |
| 4 |
|
* |
| MasTec Inc. |
| 82 |
| 4 |
|
* |
| Covenant Transportation Group Inc. Class A |
| 247 |
| 4 |
|
|
| Matson Inc. |
| 107 |
| 4 |
|
|
| Moog Inc. Class A |
| 44 |
| 4 |
|
|
| AZZ Inc. |
| 86 |
| 4 |
|
|
| AGCO Corp. |
| 54 |
| 4 |
|
* |
| US Xpress Enterprises Inc. Class A |
| 611 |
| 3 |
|
|
| Aircastle Ltd. |
| 170 |
| 3 |
|
|
| Kadant Inc. |
| 40 |
| 3 |
|
|
| Mobile Mini Inc. |
| 99 |
| 3 |
|
* |
| Tidewater Inc. |
| 134 |
| 3 |
|
* |
| Conduent Inc. |
| 267 |
| 2 |
|
|
|
|
|
|
| 2,782 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Technology (6.7%) |
|
|
|
|
| ||
|
| TE Connectivity Ltd. |
| 1,200 |
| 101 |
|
|
| Amphenol Corp. Class A |
| 1,131 |
| 98 |
|
|
| Intuit Inc. |
| 244 |
| 60 |
|
|
| Analog Devices Inc. |
| 595 |
| 57 |
|
|
| Pegasystems Inc. |
| 748 |
| 54 |
|
|
| HP Inc. |
| 2,542 |
| 47 |
|
* |
| Silicon Laboratories Inc. |
| 433 |
| 40 |
|
* |
| CACI International Inc. Class A |
| 197 |
| 40 |
|
|
| CTS Corp. |
| 1,229 |
| 32 |
|
* |
| ViaSat Inc. |
| 364 |
| 32 |
|
* |
| Ceridian HCM Holding Inc. |
| 593 |
| 29 |
|
|
| Science Applications International Corp. |
| 353 |
| 27 |
|
|
| Entegris Inc. |
| 768 |
| 26 |
|
* |
| Rudolph Technologies Inc. |
| 1,034 |
| 24 |
|
|
| AVX Corp. |
| 1,597 |
| 24 |
|
|
| Monotype Imaging Holdings Inc. |
| 1,334 |
| 22 |
|
* |
| Model N Inc. |
| 1,147 |
| 21 |
|
|
| PC Connection Inc. |
| 615 |
| 20 |
|
* |
| MobileIron Inc. |
| 3,440 |
| 19 |
|
* |
| Workiva Inc. |
| 308 |
| 17 |
|
|
| QAD Inc. Class A |
| 355 |
| 15 |
|
* |
| Cision Ltd. |
| 1,387 |
| 15 |
|
* |
| EPAM Systems Inc. |
| 88 |
| 15 |
|
* |
| AXT Inc. |
| 3,598 |
| 14 |
|
* |
| Limelight Networks Inc. |
| 4,324 |
| 13 |
|
|
| Ubiquiti Networks Inc. |
| 109 |
| 13 |
|
* |
| PAR Technology Corp. |
| 453 |
| 13 |
|
* |
| RealPage Inc. |
| 217 |
| 13 |
|
* |
| Aspen Technology Inc. |
| 108 |
| 12 |
|
* |
| Loral Space & Communications Inc. |
| 355 |
| 12 |
|
* |
| Perficient Inc. |
| 362 |
| 11 |
|
* |
| Endurance International Group Holdings Inc. |
| 2,364 |
| 11 |
|
|
| Dolby Laboratories Inc. Class A |
| 166 |
| 10 |
|
* |
| Veritone Inc. |
| 1,115 |
| 10 |
|
* |
| Tyler Technologies Inc. |
| 45 |
| 10 |
|
* |
| Guidewire Software Inc. |
| 93 |
| 9 |
|
* |
| PDF Solutions Inc. |
| 751 |
| 9 |
|
|
| Park Electrochemical Corp. |
| 569 |
| 8 |
|
|
| Monolithic Power Systems Inc. |
| 66 |
| 8 |
|
* |
| Calix Inc. |
| 1,243 |
| 8 |
|
* |
| Upland Software Inc. |
| 160 |
| 7 |
|
* |
| Asure Software Inc. |
| 1,161 |
| 7 |
|
* |
| Zix Corp. |
| 821 |
| 7 |
|
|
| Blackbaud Inc. |
| 92 |
| 7 |
|
* |
| OneSpan Inc. |
| 507 |
| 7 |
|
|
| CDW Corp. |
| 71 |
| 7 |
|
|
| SS&C Technologies Holdings Inc. |
| 124 |
| 7 |
|
* |
| Cargurus Inc. |
| 200 |
| 7 |
|
* |
| eGain Corp. |
| 855 |
| 7 |
|
* |
| PROS Holdings Inc. |
| 115 |
| 7 |
|
* |
| Harmonic Inc. |
| 1,212 |
| 6 |
|
* |
| ScanSource Inc. |
| 202 |
| 6 |
|
* |
| Arrow Electronics Inc. |
| 85 |
| 5 |
|
|
| Presidio Inc. |
| 399 |
| 5 |
|
* |
| Mitek Systems Inc. |
| 515 |
| 5 |
|
* |
| CEVA Inc. |
| 211 |
| 5 |
|
|
| Leidos Holdings Inc. |
| 62 |
| 5 |
|
* |
| Internap Corp. |
| 1,749 |
| 5 |
|
* |
| A10 Networks Inc. |
| 685 |
| 4 |
|
|
| Amdocs Ltd. |
| 68 |
| 4 |
|
* |
| Photronics Inc. |
| 487 |
| 4 |
|
* |
| Nuance Communications Inc. |
| 227 |
| 4 |
|
* |
| Semtech Corp. |
| 95 |
| 4 |
|
|
| Avnet Inc. |
| 92 |
| 4 |
|
* |
| ePlus Inc. |
| 51 |
| 4 |
|
|
| SYNNEX Corp. |
| 41 |
| 4 |
|
* |
| Meet Group Inc. |
| 707 |
| 3 |
|
|
| Comtech Telecommunications Corp. |
| 123 |
| 3 |
|
|
| Cohu Inc. |
| 174 |
| 3 |
|
|
| Maxar Technologies Inc. |
| 231 |
| 2 |
|
|
|
|
|
|
| 1,174 |
|
Utilities (4.6%) |
|
|
|
|
| ||
* |
| T-Mobile US Inc. |
| 1,189 |
| 87 |
|
|
| Public Service Enterprise Group Inc. |
| 1,470 |
| 86 |
|
|
| Southwest Gas Holdings Inc. |
| 555 |
| 47 |
|
|
| American Electric Power Co. Inc. |
| 519 |
| 45 |
|
|
| Spire Inc. |
| 527 |
| 44 |
|
|
| ALLETE Inc. |
| 429 |
| 35 |
|
|
| New Jersey Resources Corp. |
| 718 |
| 34 |
|
|
| Avangrid Inc. |
| 664 |
| 33 |
|
|
| MDU Resources Group Inc. |
| 1,303 |
| 32 |
|
|
| Atmos Energy Corp. |
| 293 |
| 30 |
|
|
| Aqua America Inc. |
| 737 |
| 29 |
|
|
| Hawaiian Electric Industries Inc. |
| 694 |
| 29 |
|
|
| Portland General Electric Co. |
| 511 |
| 27 |
|
|
| IDACORP Inc. |
| 264 |
| 27 |
|
U.S. Liquidity Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Sempra Energy |
| 163 |
| 22 |
|
|
| ONE Gas Inc. |
| 244 |
| 21 |
|
|
| Exelon Corp. |
| 413 |
| 20 |
|
|
| Alliant Energy Corp. |
| 410 |
| 20 |
|
|
| j2 Global Inc. |
| 226 |
| 19 |
|
|
| Otter Tail Corp. |
| 329 |
| 16 |
|
|
| Middlesex Water Co. |
| 239 |
| 14 |
|
|
| MGE Energy Inc. |
| 209 |
| 14 |
|
|
| Chesapeake Utilities Corp. |
| 144 |
| 13 |
|
|
| UGI Corp. |
| 198 |
| 10 |
|
|
| ATN International Inc. |
| 167 |
| 10 |
|
* |
| United States Cellular Corp. |
| 205 |
| 9 |
|
|
| Southern Co. |
| 137 |
| 7 |
|
|
| Shenandoah Telecommunications Co. |
| 182 |
| 7 |
|
* |
| ORBCOMM Inc. |
| 1,084 |
| 7 |
|
|
| Black Hills Corp. |
| 73 |
| 6 |
|
* |
| Cincinnati Bell Inc. |
| 581 |
| 4 |
|
|
| NextEra Energy Inc. |
| 16 |
| 3 |
|
|
| Duke Energy Corp. |
| 33 |
| 3 |
|
* |
| NII Holdings Inc. |
| 641 |
| 1 |
|
|
|
|
|
|
| 811 |
|
Total Common Stocks |
|
|
| 17,393 |
| |
Temporary Cash Investment (0.3%)1 |
|
|
|
|
| |
Money Market Fund (0.3%) |
|
|
|
|
| |
2 | Vanguard Market Liquidity Fund, 2.527% (Cost $58) |
| 582 |
| 58 |
|
Total Investments (99.8%) |
|
|
| 17,451 |
| |
|
|
|
| Amount |
|
|
|
|
| ($000
| )
|
Other Assets and Liabilities (0.2%) |
|
|
|
|
|
Other Assets |
|
|
|
|
|
Investment in Vanguard |
|
|
| 1 |
|
Receivables for Accrued Income |
|
|
| 19 |
|
Other Assets3 |
|
|
| 11 |
|
Total Other Assets |
|
|
| 31 |
|
Liabilities |
|
|
|
|
|
Payables to Vanguard |
|
|
| (1 | ) |
Variation Margin Payable—Futures Contracts |
|
|
| (1 | ) |
Total Liabilities |
|
|
| (2 | ) |
Net Assets (100%) |
|
|
|
|
|
Applicable to 225,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,480 |
| |||
Net Asset Value Per Share |
|
|
| $77.69 |
|
At May 31, 2019, net assets consisted of:
|
|
|
| Amount |
|
|
|
|
| ($000
| )
|
Paid-in Capital |
|
|
| 17,824 |
|
Total Distributable Earnings (Loss) |
|
|
| (344 | ) |
Net Assets |
|
|
| 17,480 |
|
· 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 $11,000 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 |
|
|
|
|
|
|
|
|
|
Micro E-mini S&P 500 Index |
| June 2019 |
| 5 |
| 69 |
| (3 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Statement of Operations
|
| Six Months Ended |
|
| ($000) |
Investment Income |
|
|
Income |
|
|
Dividends |
| 133 |
Interest1 |
| 1 |
Total Income |
| 134 |
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
| — |
Management and Administrative |
| 6 |
Marketing and Distribution |
| — |
Custodian Fees |
| 3 |
Shareholders’ Reports |
| 1 |
Net Expenses |
| 10 |
Net Investment Income |
| 124 |
Realized Net Gain (Loss) |
|
|
Investment Securities Sold1 |
| (109) |
Futures Contracts |
| 2 |
Realized Net Gain (Loss) |
| (107) |
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities1 |
| (127) |
Futures Contracts |
| (2) |
Change in Unrealized Appreciation (Depreciation) |
| (129) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (112) |
1 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
| Six Months Ended |
| February 13, |
| ($000) |
| ($000) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income | 124 |
| 151 |
Realized Net Gain (Loss) | (107) |
| (11) |
Change in Unrealized Appreciation (Depreciation) | (129) |
| (129) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (112) |
| 11 |
Distributions |
|
|
|
Net Investment Income | (140) |
| (103) |
Realized Capital Gain | — |
| — |
Total Distributions | (140) |
| (103) |
Capital Share Transactions |
|
|
|
Issued | 2,083 |
| 15,741 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) from Capital Share Transactions | 2,083 |
| 15,741 |
Total Increase (Decrease) | 1,831 |
| 15,649 |
Net Assets |
|
|
|
Beginning of Period | 15,649 |
| — |
End of Period | 17,480 |
| 15,649 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Liquidity Factor ETF
Financial Highlights
For a Share Outstanding Throughout Each Period | Six Months |
| Feb. 13, |
Net Asset Value, Beginning of Period | $78.25 |
| $75.00 |
Investment Operations |
|
|
|
Net Investment Income2 | .613 |
| 1.010 |
Net Realized and Unrealized Gain (Loss) on Investments | (.471) |
| 2.834 |
Total from Investment Operations | .142 |
| 3.844 |
Distributions |
|
|
|
Dividends from Net Investment Income | (.702) |
| (.594) |
Distributions from Realized Capital Gains | — |
| — |
Total Distributions | (.702) |
| (.594) |
Net Asset Value, End of Period | $77.69 |
| $78.25 |
|
|
|
|
Total Return | 0.23% |
| 5.09% |
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) | $17 |
| $16 |
Ratio of Total Expenses to Average Net Assets | 0.13% |
| 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets | 1.57% |
| 1.58%4 |
Portfolio Turnover Rate | 33% |
| 20% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Liquidity Factor ETF
D. As of May 31, 2019, 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 |
| 17,706 |
Gross Unrealized Appreciation |
| 1,546 |
Gross Unrealized Depreciation |
| (1,804) |
Net Unrealized Appreciation (Depreciation) |
| (258) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $12,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended May 31, 2019, the fund purchased $4,703,000 of investment securities and sold $2,580,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Six Months Ended |
| February 13, 20181 to |
| Shares |
| Shares |
| (000) |
| (000) |
Issued | 25 |
| 200 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) in Shares Outstanding | 25 |
| 200 |
1 Inception.
At May 31, 2019, one shareholder was the record or beneficial owner of 49% of the fund’s net assets (the “49% shareholder”). If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. In July 2019, the net assets of the fund increased to $40 million due to an investment by a subsidiary of Vanguard (the “Vanguard subsidiary”); as a result, the Vanguard subsidiary became the record or beneficial owner of 53% of the fund’s net assets, and the 49% shareholder’s ownership decreased to 23% of the fund’s net assets.
Management has determined that no other events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
U.S. Minimum Volatility ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary | 15.8% |
Consumer Staples | 11.0 |
Energy | 2.4 |
Financial Services | 30.8 |
Health Care | 9.0 |
Materials & Processing | 3.4 |
Producer Durables | 7.3 |
Technology | 11.1 |
Utilities | 9.2 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.5%)1 |
|
|
|
|
| ||
Consumer Discretionary (15.7%) |
|
|
|
|
| ||
|
| Yum! Brands Inc. |
| 5,664 |
| 580 |
|
|
| Graham Holdings Co. Class B |
| 838 |
| 570 |
|
|
| McDonald’s Corp. |
| 2,874 |
| 570 |
|
* |
| AutoZone Inc. |
| 500 |
| 514 |
|
|
| Dollar General Corp. |
| 2,729 |
| 347 |
|
* |
| Rent-A-Center Inc. |
| 14,509 |
| 346 |
|
* |
| Murphy USA Inc. |
| 3,469 |
| 278 |
|
|
| New Media Investment Group Inc. |
| 28,774 |
| 266 |
|
|
| TJX Cos. Inc. |
| 5,262 |
| 265 |
|
* |
| Liberty Media Corp-Liberty Braves Class C |
| 7,025 |
| 187 |
|
|
| AMERCO |
| 501 |
| 184 |
|
* |
| Madison Square Garden Co. Class A |
| 623 |
| 184 |
|
* |
| Bright Horizons Family Solutions Inc. |
| 1,326 |
| 182 |
|
|
| Walt Disney Co. |
| 1,134 |
| 150 |
|
* |
| Henry Schein Inc. |
| 2,014 |
| 130 |
|
|
| Haverty Furniture Cos. Inc. |
| 7,162 |
| 125 |
|
* |
| Liberty Media Corp-Liberty Braves Class A |
| 4,454 |
| 118 |
|
|
| Cracker Barrel Old Country Store Inc. |
| 708 |
| 111 |
|
|
| Cable One Inc. |
| 82 |
| 92 |
|
|
| Scholastic Corp. |
| 2,365 |
| 78 |
|
|
| Carriage Services Inc. Class A |
| 3,884 |
| 71 |
|
|
| Service Corp. International |
| 1,454 |
| 64 |
|
|
| Columbia Sportswear Co. |
| 672 |
| 63 |
|
|
| Acushnet Holdings Corp. |
| 2,681 |
| 63 |
|
|
| Ethan Allen Interiors Inc. |
| 2,799 |
| 59 |
|
* |
| Carrols Restaurant Group Inc. |
| 6,143 |
| 52 |
|
* |
| Liberty Media Corp-Liberty SiriusXM Class A |
| 1,388 |
| 50 |
|
|
| Viad Corp. |
| 569 |
| 36 |
|
|
| PriceSmart Inc. |
| 721 |
| 35 |
|
|
| VF Corp. |
| 294 |
| 24 |
|
* |
| Dollar Tree Inc. |
| 187 |
| 19 |
|
|
| Ruth’s Hospitality Group Inc. |
| 774 |
| 18 |
|
* |
| Monarch Casino & Resort Inc. |
| 291 |
| 12 |
|
|
| Omnicom Group Inc. |
| 145 |
| 11 |
|
* |
| Biglari Holdings Inc. Class B |
| 118 |
| 11 |
|
* |
| Kontoor Brands Inc. |
| 41 |
| 1 |
|
|
|
|
|
|
| 5,866 |
|
Consumer Staples (11.0%) |
|
|
|
|
| ||
|
| Hershey Co. |
| 4,397 |
| 580 |
|
|
| Procter & Gamble Co. |
| 5,385 |
| 554 |
|
|
| Tootsie Roll Industries Inc. |
| 14,184 |
| 538 |
|
|
| Colgate-Palmolive Co. |
| 4,665 |
| 325 |
|
|
| Keurig Dr Pepper Inc. |
| 11,181 |
| 315 |
|
|
| Universal Corp. |
| 5,078 |
| 287 |
|
|
| Flowers Foods Inc. |
| 12,080 |
| 270 |
|
|
| Coca-Cola Co. |
| 4,389 |
| 216 |
|
* |
| Farmer Brothers Co. |
| 10,041 |
| 184 |
|
|
| Seaboard Corp. |
| 41 |
| 168 |
|
|
| Altria Group Inc. |
| 3,049 |
| 150 |
|
|
| Philip Morris International Inc. |
| 1,619 |
| 125 |
|
|
| John B Sanfilippo & Son Inc. |
| 1,335 |
| 102 |
|
|
| Sysco Corp. |
| 1,080 |
| 74 |
|
* |
| USANA Health Sciences Inc. |
| 988 |
| 70 |
|
|
| Vector Group Ltd. |
| 6,794 |
| 61 |
|
|
| Church & Dwight Co. Inc. |
| 694 |
| 52 |
|
|
| Weis Markets Inc. |
| 479 |
| 18 |
|
|
|
|
|
|
| 4,089 |
|
Energy (2.4%) |
|
|
|
|
| ||
|
| Chevron Corp. |
| 2,561 |
| 291 |
|
|
| ONEOK Inc. |
| 3,803 |
| 242 |
|
|
| Phillips 66 |
| 2,297 |
| 186 |
|
|
| Exxon Mobil Corp. |
| 2,037 |
| 144 |
|
* |
| Par Pacific Holdings Inc. |
| 1,333 |
| 26 |
|
|
|
|
|
|
| 889 |
|
U.S. Minimum Volatility ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Financial Services (30.6%) |
|
|
|
|
| ||
|
| Equity Commonwealth |
| 17,941 |
| 584 |
|
|
| WP Carey Inc. |
| 7,015 |
| 582 |
|
|
| Western Union Co. |
| 29,859 |
| 579 |
|
|
| Public Storage |
| 2,400 |
| 571 |
|
|
| White Mountains Insurance Group Ltd. |
| 577 |
| 565 |
|
|
| Equity LifeStyle Properties Inc. |
| 4,306 |
| 524 |
|
|
| AGNC Investment Corp. |
| 31,596 |
| 518 |
|
|
| TPG RE Finance Trust Inc. |
| 26,157 |
| 501 |
|
|
| Sun Communities Inc. |
| 3,626 |
| 458 |
|
|
| Oritani Financial Corp. |
| 25,660 |
| 411 |
|
|
| Waterstone Financial Inc. |
| 24,474 |
| 404 |
|
|
| Capitol Federal Financial Inc. |
| 27,908 |
| 371 |
|
|
| Starwood Property Trust Inc. |
| 16,658 |
| 367 |
|
|
| Redwood Trust Inc. |
| 22,943 |
| 366 |
|
|
| Blackstone Mortgage Trust Inc. Class A |
| 10,173 |
| 359 |
|
|
| Annaly Capital Management Inc. |
| 37,251 |
| 328 |
|
|
| Cass Information Systems Inc. |
| 7,145 |
| 322 |
|
|
| Apollo Commercial Real Estate Finance Inc. |
| 17,248 |
| 317 |
|
* |
| Fiserv Inc. |
| 3,400 |
| 292 |
|
|
| Alexander’s Inc. |
| 657 |
| 242 |
|
|
| Erie Indemnity Co. Class A |
| 1,105 |
| 235 |
|
|
| Dynex Capital Inc. |
| 32,048 |
| 176 |
|
|
| State Auto Financial Corp. |
| 4,502 |
| 154 |
|
|
| Fidelity National Information Services Inc. |
| 1,195 |
| 144 |
|
|
| United Fire Group Inc. |
| 2,795 |
| 131 |
|
|
| Cherry Hill Mortgage Investment Corp. |
| 7,785 |
| 127 |
|
|
| AMERISAFE Inc. |
| 1,927 |
| 115 |
|
|
| Easterly Government Properties Inc. |
| 6,074 |
| 112 |
|
|
| Marsh & McLennan Cos. Inc. |
| 1,139 |
| 109 |
|
|
| AG Mortgage Investment Trust Inc. |
| 7,027 |
| 108 |
|
|
| Kearny Financial Corp. |
| 7,160 |
| 96 |
|
|
| Brown & Brown Inc. |
| 2,874 |
| 91 |
|
|
| MFA Financial Inc. |
| 12,463 |
| 88 |
|
|
| Ladder Capital Corp. Class A |
| 5,271 |
| 84 |
|
|
| Southern National Bancorp of Virginia Inc. |
| 5,747 |
| 79 |
|
|
| PCSB Financial Corp. |
| 3,787 |
| 74 |
|
|
| Highwoods Properties Inc. |
| 1,678 |
| 74 |
|
|
| Aflac Inc. |
| 1,374 |
| 71 |
|
|
| Level One Bancorp Inc. |
| 2,764 |
| 64 |
|
|
| PennyMac Mortgage Investment Trust |
| 3,054 |
| 64 |
|
|
| Granite Point Mortgage Trust Inc. |
| 3,250 |
| 60 |
|
|
| KKR Real Estate Finance Trust Inc. |
| 2,839 |
| 56 |
|
|
| HomeTrust Bancshares Inc. |
| 1,829 |
| 45 |
|
* |
| Columbia Financial Inc. |
| 2,798 |
| 43 |
|
|
| Bank of Hawaii Corp. |
| 560 |
| 42 |
|
|
| UDR Inc. |
| 923 |
| 41 |
|
|
| CorEnergy Infrastructure Trust Inc. |
| 910 |
| 35 |
|
|
| Two Harbors Investment Corp. |
| 2,781 |
| 34 |
|
|
| BankFinancial Corp. |
| 2,321 |
| 32 |
|
|
| Washington REIT |
| 1,093 |
| 29 |
|
|
| Bank of Princeton |
| 1,003 |
| 28 |
|
|
| Financial Institutions Inc. |
| 953 |
| 26 |
|
|
| FS Bancorp Inc. |
| 519 |
| 24 |
|
|
| Old Line Bancshares Inc. |
| 966 |
| 24 |
|
|
| Duke Realty Corp. |
| 785 |
| 24 |
|
|
| CBTX Inc. |
| 794 |
| 22 |
|
* |
| St. Joe Co. |
| 937 |
| 15 |
|
|
|
|
|
|
| 11,437 |
|
Health Care (8.9%) |
|
|
|
|
| ||
|
| Merck & Co. Inc. |
| 6,845 |
| 542 |
|
|
| Johnson & Johnson |
| 3,763 |
| 493 |
|
|
| Quest Diagnostics Inc. |
| 3,837 |
| 368 |
|
|
| Pfizer Inc. |
| 8,386 |
| 348 |
|
|
| National HealthCare Corp. |
| 3,954 |
| 307 |
|
|
| Zoetis Inc. |
| 1,776 |
| 179 |
|
|
| Atrion Corp. |
| 165 |
| 146 |
|
|
| National Research Corp. |
| 2,835 |
| 145 |
|
|
| Phibro Animal Health Corp. Class A |
| 4,846 |
| 143 |
|
* |
| Laboratory Corp. of America Holdings |
| 828 |
| 135 |
|
* |
| Providence Service Corp. |
| 1,574 |
| 102 |
|
|
| STERIS plc |
| 662 |
| 88 |
|
|
| Universal Health Services Inc. Class B |
| 722 |
| 86 |
|
|
| US Physical Therapy Inc. |
| 758 |
| 85 |
|
* |
| Myriad Genetics Inc. |
| 2,459 |
| 61 |
|
* |
| Elanco Animal Health Inc. |
| 1,751 |
| 55 |
|
|
| Eli Lilly & Co. |
| 283 |
| 33 |
|
|
| Chemed Corp. |
| 27 |
| 9 |
|
|
|
|
|
|
| 3,325 |
|
U.S. Minimum Volatility ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Materials & Processing (3.4%) |
|
|
|
|
| ||
|
| Royal Gold Inc. |
| 6,783 |
| 597 |
|
|
| Newmont Goldcorp Corp. |
| 11,055 |
| 366 |
|
|
| Ecolab Inc. |
| 966 |
| 178 |
|
|
| International Flavors & Fragrances Inc. |
| 412 |
| 56 |
|
* |
| Lawson Products Inc. |
| 1,401 |
| 51 |
|
|
| Gold Resource Corp. |
| 5,994 |
| 17 |
|
* |
| Masonite International Corp. |
| 267 |
| 12 |
|
|
|
|
|
|
| 1,277 |
|
Producer Durables (7.2%) |
|
|
|
|
| ||
|
| Republic Services Inc. Class A |
| 6,677 |
| 565 |
|
|
| MAXIMUS Inc. |
| 7,665 |
| 546 |
|
|
| Genpact Ltd. |
| 7,038 |
| 255 |
|
|
| Ship Finance International Ltd. |
| 16,337 |
| 202 |
|
|
| Raytheon Co. |
| 1,036 |
| 181 |
|
|
| Waste Management Inc. |
| 1,620 |
| 177 |
|
|
| AMETEK Inc. |
| 1,934 |
| 158 |
|
|
| Kimball International Inc. Class B |
| 8,684 |
| 134 |
|
* |
| ExlService Holdings Inc. |
| 2,163 |
| 128 |
|
|
| Honeywell International Inc. |
| 527 |
| 87 |
|
|
| Hackett Group Inc. |
| 4,858 |
| 78 |
|
|
| Northrop Grumman Corp. |
| 194 |
| 59 |
|
|
| Paychex Inc. |
| 473 |
| 41 |
|
|
| Douglas Dynamics Inc. |
| 678 |
| 25 |
|
|
| L3 Technologies Inc. |
| 78 |
| 19 |
|
|
| CSW Industrials Inc. |
| 283 |
| 18 |
|
|
| Accenture plc Class A |
| 79 |
| 14 |
|
* |
| Information Services Group Inc. |
| 2,210 |
| 7 |
|
|
|
|
|
|
| 2,694 |
|
Technology (11.1%) |
|
|
|
|
| ||
|
| Amdocs Ltd. |
| 10,069 |
| 598 |
|
|
| Citrix Systems Inc. |
| 4,778 |
| 450 |
|
|
| Motorola Solutions Inc. |
| 2,913 |
| 437 |
|
|
| Harris Corp. |
| 1,876 |
| 351 |
|
|
| InterDigital Inc. |
| 4,799 |
| 305 |
|
* |
| Viavi Solutions Inc. |
| 23,390 |
| 282 |
|
* |
| Model N Inc. |
| 14,518 |
| 262 |
|
* |
| VeriSign Inc. |
| 938 |
| 183 |
|
* |
| F5 Networks Inc. |
| 1,189 |
| 157 |
|
|
| Park Electrochemical Corp. |
| 9,656 |
| 144 |
|
|
| Cognizant Technology Solutions Corp. Class A |
| 1,950 |
| 121 |
|
|
| NIC Inc. |
| 6,440 |
| 103 |
|
|
| Juniper Networks Inc. |
| 4,085 |
| 100 |
|
* |
| NetScout Systems Inc. |
| 3,972 |
| 97 |
|
* |
| EchoStar Corp. Class A |
| 2,132 |
| 91 |
|
* |
| Synopsys Inc. |
| 690 |
| 80 |
|
|
| ADTRAN Inc. |
| 4,588 |
| 72 |
|
|
| Cisco Systems Inc. |
| 1,375 |
| 72 |
|
* |
| Black Knight Inc. |
| 1,122 |
| 64 |
|
* |
| TechTarget Inc. |
| 2,613 |
| 49 |
|
|
| NVE Corp. |
| 666 |
| 49 |
|
* |
| ChannelAdvisor Corp. |
| 3,882 |
| 36 |
|
* |
| Tucows Inc. Class A |
| 291 |
| 17 |
|
|
| CDK Global Inc. |
| 303 |
| 15 |
|
|
| Sigma Designs Inc. |
| 8,007 |
| 1 |
|
|
|
|
|
|
| 4,136 |
|
Utilities (9.2%) |
|
|
|
|
| ||
|
| Verizon Communications Inc. |
| 9,872 |
| 536 |
|
|
| NextEra Energy Inc. |
| 2,145 |
| 425 |
|
|
| Evergy Inc. |
| 6,718 |
| 391 |
|
|
| American Electric Power Co. Inc. |
| 2,959 |
| 255 |
|
|
| Southern Co. |
| 4,724 |
| 253 |
|
|
| Duke Energy Corp. |
| 2,928 |
| 251 |
|
|
| CMS Energy Corp. |
| 3,591 |
| 201 |
|
|
| Unitil Corp. |
| 3,307 |
| 188 |
|
|
| Xcel Energy Inc. |
| 2,864 |
| 164 |
|
|
| Hawaiian Electric Industries Inc. |
| 3,865 |
| 161 |
|
|
| Exelon Corp. |
| 3,137 |
| 151 |
|
|
| SJW Group |
| 2,198 |
| 135 |
|
|
| ALLETE Inc. |
| 1,612 |
| 132 |
|
|
| Ameren Corp. |
| 1,260 |
| 92 |
|
|
| Consolidated Edison Inc. |
| 438 |
| 38 |
|
|
| Public Service Enterprise Group Inc. |
| 597 |
| 35 |
|
* |
| Atlantic Power Corp. |
| 9,297 |
| 22 |
|
|
|
|
|
|
| 3,430 |
|
Total Common Stocks (Cost $35,832) |
|
|
| 37,143 |
| ||
Temporary Cash Investment (0.3%)1 |
|
|
|
|
| ||
Money Market Fund (0.3%) |
|
|
|
|
| ||
2 |
| Vanguard Market Liquidity Fund, 2.527% (Cost $92) |
| 916 |
| 91 |
|
Total Investments (99.8%) (Cost $35,924) |
|
|
| 37,234 |
|
U.S. Minimum Volatility ETF
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
|
|
Other Assets |
|
|
|
|
|
Investment in Vanguard |
|
|
| 2 |
|
Receivables for Accrued Income |
|
|
| 55 |
|
Other Assets3 |
|
|
| 31 |
|
Total Other Assets |
|
|
| 88 |
|
Liabilities |
|
|
|
|
|
Payables to Vanguard |
|
|
| (2 | ) |
Variation Margin Payable—Futures Contracts |
|
|
| (2 | ) |
Total Liabilities |
|
|
| (4 | ) |
Net Assets (100%) |
|
|
|
|
|
Applicable to 450,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 37,318 |
| |||
Net Asset Value Per Share |
|
|
| $82.93 |
|
|
|
|
|
|
|
At May 31, 2019, net assets consisted of: |
|
|
|
|
|
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Paid-in Capital |
|
|
| 36,219 |
|
Total Distributable Earnings (Loss) |
|
|
| 1,099 |
|
Net Assets |
|
|
| 37,318 |
|
· 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 $31,000 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 | June 2019 | 1 | 73 | (3) | |
Micro E-mini S&P 500 Index | June 2019 | 5 | 69 | (3) | |
|
|
|
| (6) | |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Statement of Operations
| Six Months Ended |
| May 31, 2019 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 439 |
Interest1 | 1 |
Total Income | 440 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | — |
Management and Administrative | 18 |
Marketing and Distribution | — |
Custodian Fees | 1 |
Shareholders’ Reports | — |
Total Expenses | 19 |
Net Investment Income | 421 |
Realized Net Gain (Loss) |
|
Investment Securities Sold1 | (299) |
Futures Contracts | (2) |
Realized Net Gain (Loss) | (301) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities1 | 914 |
Futures Contracts | (7) |
Change in Unrealized Appreciation (Depreciation) | 907 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,027 |
1 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, |
| Six Months Ended |
| 20181 to |
| May 31, |
| November 30, |
| 2019 |
| 2018 |
| ($000) |
| ($000) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income | 421 |
| 314 |
Realized Net Gain (Loss) | (301) |
| (91) |
Change in Unrealized Appreciation (Depreciation) | 907 |
| 397 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,027 |
| 620 |
Distributions |
|
|
|
Net Investment Income | (382) |
| (166) |
Realized Capital Gain | — |
| — |
Total Distributions | (382) |
| (166) |
Capital Share Transactions |
|
|
|
Issued | 14,209 |
| 22,010 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) from Capital Share Transactions | 14,209 |
| 22,010 |
Total Increase (Decrease) | 14,854 |
| 22,464 |
Net Assets |
|
|
|
Beginning of Period | 22,464 |
| — |
End of Period | 37,318 |
| 22,464 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Minimum Volatility ETF
Financial Highlights
| Six Months | Feb. 13, |
| Ended | 20181 to |
| May 31, | Nov. 30, |
For a Share Outstanding Throughout Each Period | 2019 | 2018 |
Net Asset Value, Beginning of Period | $81.69 | $75.00 |
Investment Operations |
|
|
Net Investment Income2 | 1.183 | 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.294 | 5.677 |
Total from Investment Operations | 2.477 | 7.564 |
Distributions |
|
|
Dividends from Net Investment Income | (1.237) | (.874) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.237) | (.874) |
Net Asset Value, End of Period | $82.93 | $81.69 |
|
|
|
Total Return | 3.15% | 10.07% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) | $37 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 2.94% | 2.90%3 |
Portfolio Turnover Rate | 39% | 5% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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, which 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 equal to 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 May 31, 2019, 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. 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 May 31, 2019, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Minimum Volatility ETF
D. As of May 31, 2019, 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 | 35,924 |
Gross Unrealized Appreciation | 2,708 |
Gross Unrealized Depreciation | (1,404) |
Net Unrealized Appreciation (Depreciation) | 1,304 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $90,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended May 31, 2019, the fund purchased $19,883,000 of investment securities and sold $5,664,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Six Months Ended |
| February 13, 20181 to |
| May 31, 2019 |
| November 30, 2018 |
| Shares |
| Shares |
| (000 | ) | (000) |
Issued | 175 |
| 275 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) in Shares Outstanding | 175 |
| 275 |
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
U.S. Momentum Factor ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary | 15.4% |
Consumer Staples | 6.3 |
Energy | 2.0 |
Financial Services | 20.7 |
Health Care | 15.5 |
Materials & Processing | 2.2 |
Producer Durables | 8.7 |
Technology | 20.1 |
Utilities | 9.1 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.4%)1 |
|
|
|
|
| ||
Consumer Discretionary (15.3%) |
|
|
|
|
| ||
|
| Dollar General Corp. |
| 1,327 |
| 169 |
|
|
| Starbucks Corp. |
| 2,212 |
| 168 |
|
|
| McDonald’s Corp. |
| 744 |
| 147 |
|
|
| NIKE Inc. Class B |
| 1,883 |
| 145 |
|
|
| Comcast Corp. Class A |
| 3,364 |
| 138 |
|
* |
| Etsy Inc. |
| 1,947 |
| 121 |
|
* |
| Charter Communications Inc. Class A |
| 300 |
| 113 |
|
|
| Lowe’s Cos. Inc. |
| 1,191 |
| 111 |
|
|
| Yum! Brands Inc. |
| 1,058 |
| 108 |
|
* |
| Fox Factory Holding Corp. |
| 1,423 |
| 95 |
|
|
| Costco Wholesale Corp. |
| 387 |
| 93 |
|
|
| Ross Stores Inc. |
| 966 |
| 90 |
|
|
| Advance Auto Parts Inc. |
| 568 |
| 88 |
|
* |
| Ulta Beauty Inc. |
| 255 |
| 85 |
|
* |
| Meritor Inc. |
| 3,662 |
| 74 |
|
* |
| Trade Desk Inc. Class A |
| 371 |
| 74 |
|
|
| World Wrestling Entertainment Inc. Class A |
| 1,000 |
| 73 |
|
* |
| Discovery Communications Inc. Class A |
| 2,632 |
| 72 |
|
* |
| Wayfair Inc. |
| 483 |
| 70 |
|
* |
| Five Below Inc. |
| 529 |
| 68 |
|
|
| New York Times Co. Class A |
| 2,048 |
| 65 |
|
|
| Estee Lauder Cos. Inc. Class A |
| 398 |
| 64 |
|
* |
| Roku Inc. |
| 651 |
| 59 |
|
* |
| Chegg Inc. |
| 1,528 |
| 57 |
|
* |
| Helen of Troy Ltd. |
| 424 |
| 57 |
|
|
| Dine Brands Global Inc. |
| 596 |
| 56 |
|
|
| Columbia Sportswear Co. |
| 595 |
| 56 |
|
* |
| Planet Fitness Inc. Class A |
| 712 |
| 54 |
|
* |
| MercadoLibre Inc. |
| 95 |
| 54 |
|
* |
| Carvana Co. Class A |
| 932 |
| 54 |
|
* |
| Deckers Outdoor Corp. |
| 345 |
| 52 |
|
* |
| Chipotle Mexican Grill Inc. Class A |
| 79 |
| 52 |
|
* |
| Rent-A-Center Inc. |
| 2,118 |
| 51 |
|
* |
| Under Armour Inc. Class A |
| 2,138 |
| 49 |
|
* |
| O’Reilly Automotive Inc. |
| 128 |
| 48 |
|
|
| Nexstar Media Group Inc. Class A |
| 468 |
| 47 |
|
* |
| Lululemon Athletica Inc. |
| 282 |
| 47 |
|
|
| Garmin Ltd. |
| 609 |
| 47 |
|
* |
| Rosetta Stone Inc. |
| 1,800 |
| 44 |
|
* |
| America’s Car-Mart Inc. |
| 495 |
| 43 |
|
* |
| K12 Inc. |
| 1,380 |
| 42 |
|
|
| Cable One Inc. |
| 37 |
| 41 |
|
|
| Inter Parfums Inc. |
| 605 |
| 39 |
|
* |
| Boot Barn Holdings Inc. |
| 1,437 |
| 38 |
|
* |
| RH |
| 435 |
| 37 |
|
|
| MDC Holdings Inc. |
| 1,171 |
| 37 |
|
|
| Strategic Education Inc. |
| 209 |
| 37 |
|
* |
| AutoZone Inc. |
| 35 |
| 36 |
|
* |
| Live Nation Entertainment Inc. |
| 580 |
| 35 |
|
* |
| Madison Square Garden Co. Class A |
| 117 |
| 35 |
|
* |
| Crocs Inc. |
| 1,763 |
| 34 |
|
* |
| Bright Horizons Family Solutions Inc. |
| 244 |
| 33 |
|
|
| Pool Corp. |
| 186 |
| 33 |
|
* |
| Revlon Inc. Class A |
| 1,554 |
| 33 |
|
|
| Dave & Buster’s Entertainment Inc. |
| 652 |
| 32 |
|
* |
| Funko Inc. Class A |
| 1,542 |
| 32 |
|
* |
| Netflix Inc. |
| 93 |
| 32 |
|
* |
| Genesco Inc. |
| 709 |
| 32 |
|
* |
| Burlington Stores Inc. |
| 203 |
| 32 |
|
|
| Foot Locker Inc. |
| 801 |
| 32 |
|
* |
| 1-800-Flowers.com Inc. Class A |
| 1,689 |
| 31 |
|
* |
| El Pollo Loco Holdings Inc. |
| 2,904 |
| 30 |
|
* |
| SeaWorld Entertainment Inc. |
| 934 |
| 30 |
|
* |
| Fitbit Inc. Class A |
| 6,406 |
| 30 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Wingstop Inc. |
| 364 |
| 29 |
|
* |
| Ollie’s Bargain Outlet Holdings Inc. |
| 290 |
| 29 |
|
|
| Barnes & Noble Inc. |
| 6,481 |
| 28 |
|
* |
| Houghton Mifflin Harcourt Co. |
| 4,994 |
| 28 |
|
* |
| ServiceMaster Global Holdings Inc. |
| 521 |
| 28 |
|
* |
| Gray Television Inc. |
| 1,570 |
| 27 |
|
|
| National CineMedia Inc. |
| 4,015 |
| 26 |
|
|
| EW Scripps Co. Class A |
| 1,723 |
| 26 |
|
* |
| Liberty Media Corp-Liberty Braves |
| 983 |
| 26 |
|
|
| Tractor Supply Co. |
| 253 |
| 25 |
|
* |
| Dorman Products Inc. |
| 304 |
| 25 |
|
|
| Sinclair Broadcast Group Inc. Class A |
| 455 |
| 24 |
|
|
| Monro Inc. |
| 294 |
| 23 |
|
* |
| Eldorado Resorts Inc. |
| 473 |
| 23 |
|
* |
| Liberty TripAdvisor Holdings Inc. Class A |
| 2,143 |
| 23 |
|
* |
| Tempur Sealy International Inc. |
| 345 |
| 22 |
|
* |
| GoPro Inc. Class A |
| 3,440 |
| 22 |
|
|
| Standard Motor Products Inc. |
| 509 |
| 22 |
|
* |
| Shake Shack Inc. Class A |
| 344 |
| 21 |
|
|
| Acushnet Holdings Corp. |
| 897 |
| 21 |
|
|
| Shoe Carnival Inc. |
| 799 |
| 21 |
|
* |
| Career Education Corp. |
| 1,071 |
| 20 |
|
* |
| Denny’s Corp. |
| 999 |
| 20 |
|
* |
| Stoneridge Inc. |
| 748 |
| 19 |
|
|
| Office Depot Inc. |
| 9,835 |
| 19 |
|
* |
| Gentherm Inc. |
| 498 |
| 19 |
|
* |
| MSG Networks Inc. |
| 857 |
| 18 |
|
|
| Darden Restaurants Inc. |
| 152 |
| 18 |
|
* |
| Habit Restaurants Inc. Class A |
| 1,684 |
| 17 |
|
|
| Cooper Tire & Rubber Co. |
| 604 |
| 17 |
|
|
| National Presto Industries Inc. |
| 165 |
| 16 |
|
* |
| Sleep Number Corp. |
| 446 |
| 16 |
|
|
| Brinker International Inc. |
| 407 |
| 15 |
|
* |
| Sally Beauty Holdings Inc. |
| 946 |
| 14 |
|
|
| Gannett Co. Inc. |
| 1,657 |
| 13 |
|
|
| Marcus Corp. |
| 286 |
| 10 |
|
|
| J. Jill Inc. |
| 5,879 |
| 9 |
|
* |
| Regis Corp. |
| 429 |
| 8 |
|
|
|
|
|
|
| 4,768 |
|
Consumer Staples (6.3%) |
|
|
|
|
| ||
|
| Keurig Dr Pepper Inc. |
| 9,212 |
| 260 |
|
|
| Procter & Gamble Co. |
| 2,412 |
| 248 |
|
|
| Kimberly-Clark Corp. |
| 1,283 |
| 164 |
|
|
| Mondelez International Inc. Class A |
| 2,943 |
| 150 |
|
|
| PepsiCo Inc. |
| 1,151 |
| 147 |
|
|
| Lancaster Colony Corp. |
| 541 |
| 78 |
|
|
| Hershey Co. |
| 523 |
| 69 |
|
|
| Tootsie Roll Industries Inc. |
| 1,607 |
| 61 |
|
|
| Turning Point Brands Inc. |
| 1,179 |
| 58 |
|
|
| Clorox Co. |
| 350 |
| 52 |
|
|
| McCormick & Co. Inc. |
| 316 |
| 49 |
|
|
| Church & Dwight Co. Inc. |
| 646 |
| 48 |
|
|
| Coca-Cola Consolidated Inc. |
| 154 |
| 47 |
|
|
| General Mills Inc. |
| 914 |
| 45 |
|
|
| Core-Mark Holding Co. Inc. |
| 1,225 |
| 45 |
|
* |
| Freshpet Inc. |
| 939 |
| 44 |
|
|
| Coca-Cola European Partners plc |
| 709 |
| 39 |
|
* |
| Post Holdings Inc. |
| 364 |
| 38 |
|
|
| John B Sanfilippo & Son Inc. |
| 499 |
| 38 |
|
|
| WD-40 Co. |
| 244 |
| 38 |
|
* |
| Simply Good Foods Co. |
| 1,359 |
| 29 |
|
* |
| Boston Beer Co. Inc. Class A |
| 88 |
| 28 |
|
* |
| TreeHouse Foods Inc. |
| 516 |
| 27 |
|
* |
| Chefs’ Warehouse Inc. |
| 827 |
| 26 |
|
* |
| Primo Water Corp. |
| 1,911 |
| 22 |
|
* |
| Pyxus International Inc. |
| 1,109 |
| 20 |
|
* |
| Performance Food Group Co. |
| 461 |
| 18 |
|
|
| Sanderson Farms Inc. |
| 126 |
| 17 |
|
|
| Medifast Inc. |
| 129 |
| 17 |
|
* |
| Natural Grocers by Vitamin Cottage Inc. |
| 1,498 |
| 16 |
|
|
| Casey’s General Stores Inc. |
| 115 |
| 15 |
|
|
|
|
|
|
| 1,953 |
|
Energy (2.0%) |
|
|
|
|
| ||
|
| Kinder Morgan Inc. |
| 7,392 |
| 148 |
|
* |
| Enphase Energy Inc. |
| 5,349 |
| 81 |
|
* |
| Sunrun Inc. |
| 4,812 |
| 75 |
|
* |
| TPI Composites Inc. |
| 2,413 |
| 50 |
|
* |
| Vivint Solar Inc. |
| 7,114 |
| 47 |
|
|
| CVR Energy Inc. |
| 992 |
| 42 |
|
|
| Warrior Met Coal Inc. |
| 1,622 |
| 42 |
|
|
| TerraForm Power Inc. Class A |
| 3,015 |
| 41 |
|
* |
| Renewable Energy Group Inc. |
| 1,964 |
| 31 |
|
* |
| Matrix Service Co. |
| 1,457 |
| 26 |
|
* |
| ProPetro Holding Corp. |
| 943 |
| 18 |
|
* |
| Cactus Inc. Class A |
| 555 |
| 18 |
|
|
|
|
|
|
| 619 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Financial Services (20.6%) |
|
|
|
|
| ||
|
| American Tower Corp. |
| 1,550 |
| 324 |
|
|
| Mastercard Inc. Class A |
| 1,167 |
| 294 |
|
|
| Progressive Corp. |
| 2,726 |
| 216 |
|
|
| Crown Castle International Corp. |
| 1,512 |
| 197 |
|
|
| Erie Indemnity Co. Class A |
| 914 |
| 194 |
|
|
| Aon plc |
| 940 |
| 169 |
|
* |
| PayPal Holdings Inc. |
| 1,406 |
| 154 |
|
|
| Sun Communities Inc. |
| 1,193 |
| 151 |
|
|
| PS Business Parks Inc. |
| 839 |
| 135 |
|
|
| Equity LifeStyle Properties Inc. |
| 1,044 |
| 127 |
|
|
| Equity Residential |
| 1,628 |
| 125 |
|
|
| Realty Income Corp. |
| 1,716 |
| 120 |
|
|
| Getty Realty Corp. |
| 3,561 |
| 110 |
|
|
| Welltower Inc. |
| 1,280 |
| 104 |
|
|
| Visa Inc. Class A |
| 634 |
| 102 |
|
|
| WP Carey Inc. |
| 1,217 |
| 101 |
|
|
| EPR Properties |
| 1,271 |
| 99 |
|
|
| Apartment Investment & Management Co. |
| 1,872 |
| 94 |
|
|
| JBG SMITH Properties |
| 2,309 |
| 91 |
|
|
| Agree Realty Corp. |
| 1,300 |
| 87 |
|
|
| Americold Realty Trust |
| 2,597 |
| 81 |
|
* |
| Euronet Worldwide Inc. |
| 506 |
| 78 |
|
* |
| Fiserv Inc. |
| 906 |
| 78 |
|
|
| STORE Capital Corp. |
| 2,251 |
| 77 |
|
|
| HCP Inc. |
| 2,389 |
| 76 |
|
* |
| LendingTree Inc. |
| 199 |
| 75 |
|
|
| National Retail Properties Inc. |
| 1,353 |
| 72 |
|
|
| Innovative Industrial Properties Inc. |
| 852 |
| 72 |
|
|
| VEREIT Inc. |
| 7,752 |
| 69 |
|
|
| Safety Insurance Group Inc. |
| 737 |
| 67 |
|
|
| Essex Property Trust Inc. |
| 228 |
| 67 |
|
|
| Omega Healthcare Investors Inc. |
| 1,853 |
| 66 |
|
|
| UDR Inc. |
| 1,368 |
| 61 |
|
|
| NexPoint Residential Trust Inc. |
| 1,509 |
| 60 |
|
|
| CareTrust REIT Inc. |
| 2,473 |
| 60 |
|
|
| American Assets Trust Inc. |
| 1,309 |
| 59 |
|
|
| American Campus Communities Inc. |
| 1,202 |
| 56 |
|
|
| EVERTEC Inc. |
| 1,906 |
| 55 |
|
|
| MSCI Inc. Class A |
| 248 |
| 55 |
|
|
| Medical Properties Trust Inc. |
| 3,066 |
| 55 |
|
|
| Prologis Inc. |
| 727 |
| 54 |
|
|
| AMERISAFE Inc. |
| 892 |
| 53 |
|
* |
| Fair Isaac Corp. |
| 175 |
| 52 |
|
|
| Jernigan Capital Inc. |
| 2,432 |
| 51 |
|
* |
| SBA Communications Corp. Class A |
| 237 |
| 51 |
|
|
| Investors Real Estate Trust |
| 885 |
| 51 |
|
|
| Aflac Inc. |
| 971 |
| 50 |
|
|
| Arthur J Gallagher & Co. |
| 579 |
| 49 |
|
|
| Mid-America Apartment Communities Inc. |
| 425 |
| 49 |
|
|
| Armada Hoffler Properties Inc. |
| 2,866 |
| 47 |
|
|
| Community Healthcare Trust Inc. |
| 1,202 |
| 47 |
|
* |
| eHealth Inc. |
| 666 |
| 47 |
|
|
| Hannon Armstrong Sustainable Infrastructure Capital Inc. |
| 1,780 |
| 46 |
|
|
| NorthStar Realty Europe Corp. |
| 2,748 |
| 45 |
|
|
| Morningstar Inc. |
| 323 |
| 45 |
|
|
| Extra Space Storage Inc. |
| 418 |
| 45 |
|
|
| Gladstone Commercial Corp. |
| 2,111 |
| 44 |
|
|
| Santander Consumer USA Holdings Inc. |
| 1,985 |
| 44 |
|
|
| Independence Realty Trust Inc. |
| 4,019 |
| 44 |
|
* |
| Square Inc. |
| 712 |
| 44 |
|
|
| Brown & Brown Inc. |
| 1,366 |
| 43 |
|
|
| Whitestone REIT |
| 3,279 |
| 42 |
|
|
| Assured Guaranty Ltd. |
| 881 |
| 36 |
|
|
| Kemper Corp. |
| 393 |
| 33 |
|
|
| TFS Financial Corp. |
| 1,816 |
| 31 |
|
|
| Braemar Hotels & Resorts Inc. |
| 2,928 |
| 31 |
|
|
| Gaming and Leisure Properties Inc. |
| 773 |
| 31 |
|
|
| Rexford Industrial Realty Inc. |
| 757 |
| 29 |
|
|
| Chatham Lodging Trust |
| 1,454 |
| 28 |
|
|
| CBTX Inc. |
| 994 |
| 27 |
|
|
| Argo Group International Holdings Ltd. |
| 384 |
| 27 |
|
|
| Capitol Federal Financial Inc. |
| 1,989 |
| 26 |
|
|
| Lexington Realty Trust |
| 2,877 |
| 26 |
|
* |
| Credit Acceptance Corp. |
| 57 |
| 26 |
|
|
| Physicians Realty Trust |
| 1,350 |
| 25 |
|
|
| Mack-Cali Realty Corp. |
| 1,086 |
| 25 |
|
|
| HCI Group Inc. |
| 597 |
| 24 |
|
|
| OFG Bancorp |
| 1,256 |
| 24 |
|
|
| UMH Properties Inc. |
| 1,737 |
| 23 |
|
|
| Primerica Inc. |
| 197 |
| 23 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Terreno Realty Corp. |
| 492 |
| 23 |
|
|
| EastGroup Properties Inc. |
| 201 |
| 22 |
|
|
| QTS Realty Trust Inc. Class A |
| 482 |
| 22 |
|
|
| Kite Realty Group Trust |
| 1,431 |
| 22 |
|
|
| STAG Industrial Inc. |
| 726 |
| 21 |
|
* |
| NMI Holdings Inc. Class A |
| 763 |
| 21 |
|
|
| Healthcare Realty Trust Inc. |
| 635 |
| 20 |
|
|
| Healthcare Trust of America Inc. Class A |
| 706 |
| 20 |
|
|
| LTC Properties Inc. |
| 453 |
| 20 |
|
|
| National Health Investors Inc. |
| 258 |
| 20 |
|
|
| LPL Financial Holdings Inc. |
| 250 |
| 20 |
|
|
| Universal Health Realty Income Trust |
| 243 |
| 20 |
|
|
| Kimco Realty Corp. |
| 1,143 |
| 20 |
|
|
| First BanCorp |
| 1,996 |
| 20 |
|
|
| Retail Properties of America Inc. |
| 1,613 |
| 19 |
|
* |
| Everi Holdings Inc. |
| 1,694 |
| 19 |
|
|
| Outfront Media Inc. |
| 750 |
| 18 |
|
|
| RLI Corp. |
| 214 |
| 18 |
|
|
| American Express Co. |
| 157 |
| 18 |
|
|
| Park Hotels & Resorts Inc. |
| 644 |
| 18 |
|
|
| Selective Insurance Group Inc. |
| 243 |
| 17 |
|
|
| Brixmor Property Group Inc. |
| 1,003 |
| 17 |
|
|
| SITE Centers Corp. |
| 1,335 |
| 17 |
|
|
| Spirit Realty Capital Inc. |
| 381 |
| 16 |
|
|
| RPT Realty |
| 1,291 |
| 16 |
|
|
| City Office REIT Inc. |
| 1,267 |
| 15 |
|
* |
| World Acceptance Corp. |
| 110 |
| 15 |
|
|
| National Storage Affiliates Trust |
| 470 |
| 14 |
|
|
| Preferred Apartment Communities Inc. Class A |
| 732 |
| 12 |
|
|
| Global Net Lease Inc. |
| 441 |
| 8 |
|
|
|
|
|
|
| 6,419 |
|
Health Care (15.4%) |
|
|
|
|
| ||
* |
| Edwards Lifesciences Corp. |
| 1,993 |
| 340 |
|
|
| Eli Lilly & Co. |
| 2,656 |
| 308 |
|
|
| Abbott Laboratories |
| 3,132 |
| 238 |
|
|
| Merck & Co. Inc. |
| 2,986 |
| 237 |
|
|
| Danaher Corp. |
| 1,059 |
| 140 |
|
* |
| Molina Healthcare Inc. |
| 910 |
| 129 |
|
* |
| NanoString Technologies Inc. |
| 4,072 |
| 116 |
|
|
| Thermo Fisher Scientific Inc. |
| 399 |
| 107 |
|
* |
| R1 RCM Inc. |
| 8,160 |
| 96 |
|
* |
| Exact Sciences Corp. |
| 896 |
| 93 |
|
|
| Bio-Techne Corp. |
| 464 |
| 92 |
|
|
| Zoetis Inc. |
| 882 |
| 89 |
|
* |
| Ra Pharmaceuticals Inc. |
| 4,029 |
| 87 |
|
* |
| Mirati Therapeutics Inc. |
| 1,271 |
| 86 |
|
* |
| Horizon Therapeutics plc |
| 3,538 |
| 84 |
|
* |
| Novocure Ltd. |
| 1,564 |
| 83 |
|
* |
| Codexis Inc. |
| 4,479 |
| 81 |
|
* |
| Glaukos Corp. |
| 1,190 |
| 77 |
|
* |
| DexCom Inc. |
| 576 |
| 70 |
|
* |
| Seattle Genetics Inc. |
| 1,056 |
| 69 |
|
* |
| Ionis Pharmaceuticals Inc. |
| 1,046 |
| 69 |
|
* |
| Cara Therapeutics Inc. |
| 3,148 |
| 65 |
|
* |
| Tandem Diabetes Care Inc. |
| 937 |
| 64 |
|
* |
| Array BioPharma Inc. |
| 2,335 |
| 62 |
|
* |
| Arrowhead Pharmaceuticals Inc. |
| 2,501 |
| 59 |
|
* |
| Sarepta Therapeutics Inc. |
| 510 |
| 58 |
|
* |
| HMS Holdings Corp. |
| 1,842 |
| 56 |
|
* |
| CareDx Inc. |
| 1,740 |
| 55 |
|
* |
| NeoGenomics Inc. |
| 2,432 |
| 53 |
|
* |
| Veracyte Inc. |
| 2,269 |
| 51 |
|
|
| Ensign Group Inc. |
| 965 |
| 51 |
|
* |
| Veeva Systems Inc. Class A |
| 332 |
| 51 |
|
|
| US Physical Therapy Inc. |
| 431 |
| 48 |
|
* |
| LHC Group Inc. |
| 424 |
| 48 |
|
* |
| ACADIA Pharmaceuticals Inc. |
| 1,898 |
| 46 |
|
* |
| Masimo Corp. |
| 344 |
| 45 |
|
* |
| Biohaven Pharmaceutical Holding Co. Ltd. |
| 790 |
| 45 |
|
* |
| Omnicell Inc. |
| 559 |
| 44 |
|
|
| Atrion Corp. |
| 50 |
| 44 |
|
* |
| Fluidigm Corp. |
| 3,218 |
| 42 |
|
* |
| STAAR Surgical Co. |
| 1,794 |
| 42 |
|
* |
| Reata Pharmaceuticals Inc. Class A |
| 487 |
| 42 |
|
* |
| Fate Therapeutics Inc. |
| 2,151 |
| 42 |
|
* |
| Vericel Corp. |
| 2,604 |
| 41 |
|
* |
| Dermira Inc. |
| 4,185 |
| 39 |
|
* |
| Cardiovascular Systems Inc. |
| 977 |
| 38 |
|
* |
| Corbus Pharmaceuticals Holdings Inc. |
| 5,054 |
| 35 |
|
* |
| Invitae Corp. |
| 1,975 |
| 34 |
|
|
| STERIS plc |
| 252 |
| 34 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| AtriCure Inc. |
| 1,142 |
| 33 |
|
* |
| Arena Pharmaceuticals Inc. |
| 604 |
| 32 |
|
* |
| Lantheus Holdings Inc. |
| 1,329 |
| 32 |
|
|
| Bruker Corp. |
| 755 |
| 32 |
|
* |
| BioCryst Pharmaceuticals Inc. |
| 8,600 |
| 30 |
|
* |
| Antares Pharma Inc. |
| 10,737 |
| 30 |
|
* |
| Insmed Inc. |
| 1,171 |
| 28 |
|
* |
| Homology Medicines Inc. |
| 1,390 |
| 28 |
|
* |
| NextGen Healthcare Inc. |
| 1,443 |
| 28 |
|
* |
| Genomic Health Inc. |
| 530 |
| 28 |
|
* |
| Catalyst Pharmaceuticals Inc. |
| 7,866 |
| 28 |
|
* |
| Addus HomeCare Corp. |
| 399 |
| 27 |
|
* |
| Charles River Laboratories International Inc. |
| 216 |
| 27 |
|
* |
| Incyte Corp. |
| 334 |
| 26 |
|
* |
| Evolus Inc. |
| 1,927 |
| 26 |
|
* |
| CryoLife Inc. |
| 899 |
| 26 |
|
* |
| BioTelemetry Inc. |
| 481 |
| 23 |
|
* |
| Cytokinetics Inc. |
| 2,201 |
| 23 |
|
* |
| Integer Holdings Corp. |
| 323 |
| 23 |
|
* |
| Repligen Corp. |
| 304 |
| 21 |
|
* |
| Amedisys Inc. |
| 186 |
| 21 |
|
* |
| IQVIA Holdings Inc. |
| 149 |
| 20 |
|
* |
| Viking Therapeutics Inc. |
| 2,615 |
| 20 |
|
* |
| Global Blood Therapeutics Inc. |
| 323 |
| 20 |
|
* |
| Medpace Holdings Inc. |
| 350 |
| 19 |
|
* |
| Intercept Pharmaceuticals Inc. |
| 210 |
| 17 |
|
* |
| Denali Therapeutics Inc. |
| 880 |
| 17 |
|
* |
| PTC Therapeutics Inc. |
| 410 |
| 16 |
|
|
| National HealthCare Corp. |
| 191 |
| 15 |
|
* |
| PDL BioPharma Inc. |
| 5,048 |
| 14 |
|
* |
| iRadimed Corp. |
| 639 |
| 13 |
|
* |
| Acceleron Pharma Inc. |
| 303 |
| 12 |
|
* |
| Natera Inc. |
| 442 |
| 10 |
|
* |
| ArQule Inc. |
| 1,381 |
| 10 |
|
* |
| Endo International plc |
| 1,657 |
| 8 |
|
* |
| Merit Medical Systems Inc. |
| 154 |
| 8 |
|
|
|
|
|
|
| 4,816 |
|
Materials & Processing (2.2%) |
|
|
|
|
| ||
|
| Ecolab Inc. |
| 941 |
| 173 |
|
|
| Air Products & Chemicals Inc. |
| 445 |
| 91 |
|
* |
| Ingevity Corp. |
| 982 |
| 86 |
|
|
| DMC Global Inc. |
| 778 |
| 53 |
|
|
| Ball Corp. |
| 673 |
| 41 |
|
|
| Sonoco Products Co. |
| 638 |
| 39 |
|
|
| Cleveland-Cliffs Inc. |
| 4,244 |
| 37 |
|
|
| Quaker Chemical Corp. |
| 173 |
| 31 |
|
|
| Armstrong World Industries Inc. |
| 332 |
| 29 |
|
* |
| Trex Co. Inc. |
| 443 |
| 27 |
|
|
| Ingersoll-Rand plc |
| 207 |
| 25 |
|
|
| Innospec Inc. |
| 259 |
| 21 |
|
|
| Domtar Corp. |
| 357 |
| 15 |
|
|
| Mueller Industries Inc. |
| 550 |
| 15 |
|
* |
| Verso Corp. |
| 705 |
| 12 |
|
|
|
|
|
|
| 695 |
|
Producer Durables (8.6%) |
|
|
|
|
| ||
|
| Union Pacific Corp. |
| 1,023 |
| 171 |
|
|
| Norfolk Southern Corp. |
| 868 |
| 169 |
|
|
| Automatic Data Processing Inc. |
| 1,037 |
| 166 |
|
|
| Waste Management Inc. |
| 1,301 |
| 142 |
|
|
| CSX Corp. |
| 1,596 |
| 119 |
|
|
| Roper Technologies Inc. |
| 337 |
| 116 |
|
|
| Booz Allen Hamilton Holding Corp. Class A |
| 1,680 |
| 106 |
|
* |
| Zebra Technologies Corp. |
| 572 |
| 98 |
|
* |
| TransDigm Group Inc. |
| 222 |
| 98 |
|
|
| Verisk Analytics Inc. Class A |
| 634 |
| 89 |
|
|
| HEICO Corp. |
| 712 |
| 87 |
|
|
| Woodward Inc. |
| 670 |
| 73 |
|
* |
| Keysight Technologies Inc. |
| 859 |
| 65 |
|
* |
| Chart Industries Inc. |
| 804 |
| 62 |
|
|
| Republic Services Inc. Class A |
| 694 |
| 59 |
|
* |
| Spirit Airlines Inc. |
| 1,249 |
| 58 |
|
* |
| Kratos Defense & Security Solutions Inc. |
| 2,517 |
| 55 |
|
|
| Mesa Laboratories Inc. |
| 216 |
| 54 |
|
* |
| Copart Inc. |
| 733 |
| 52 |
|
* |
| Plug Power Inc. |
| 19,717 |
| 50 |
|
* |
| CoStar Group Inc. |
| 90 |
| 46 |
|
* |
| Paylocity Holding Corp. |
| 454 |
| 46 |
|
* |
| Teledyne Technologies Inc. |
| 179 |
| 42 |
|
|
| Cintas Corp. |
| 190 |
| 42 |
|
* |
| Casella Waste Systems Inc. Class A |
| 1,038 |
| 40 |
|
|
| Insperity Inc. |
| 298 |
| 34 |
|
* |
| Aerojet Rocketdyne Holdings Inc. |
| 841 |
| 32 |
|
* |
| Frontline Ltd. |
| 3,911 |
| 31 |
|
* |
| FTI Consulting Inc. |
| 365 |
| 31 |
|
|
| Franklin Electric Co. Inc. |
| 689 |
| 30 |
|
* |
| Clean Harbors Inc. |
| 444 |
| 28 |
|
|
| Xerox Corp. |
| 888 |
| 27 |
|
|
| Exponent Inc. |
| 447 |
| 25 |
|
|
| Kforce Inc. |
| 659 |
| 23 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| OSI Systems Inc. |
| 207 |
| 21 |
|
|
| DHT Holdings Inc. |
| 3,836 |
| 21 |
|
* |
| TriNet Group Inc. |
| 333 |
| 21 |
|
* |
| Sterling Construction Co. Inc. |
| 1,744 |
| 21 |
|
|
| CSW Industrials Inc. |
| 307 |
| 20 |
|
|
| Argan Inc. |
| 427 |
| 20 |
|
|
| McGrath RentCorp |
| 343 |
| 19 |
|
|
| ICF International Inc. |
| 260 |
| 19 |
|
|
| Steelcase Inc. Class A |
| 1,163 |
| 19 |
|
* |
| Huron Consulting Group Inc. |
| 362 |
| 18 |
|
|
| Heidrick & Struggles International Inc. |
| 579 |
| 18 |
|
|
| Moog Inc. Class A |
| 202 |
| 17 |
|
|
| Badger Meter Inc. |
| 312 |
| 16 |
|
|
| Forward Air Corp. |
| 276 |
| 15 |
|
* |
| Vishay Precision Group Inc. |
| 409 |
| 15 |
|
|
| ITT Inc. |
| 216 |
| 12 |
|
* |
| CryoPort Inc. |
| 678 |
| 11 |
|
* |
| Middleby Corp. |
| 53 |
| 7 |
|
* |
| Aerovironment Inc. |
| 106 |
| 7 |
|
|
|
|
|
|
| 2,683 |
|
Technology (20.0%) |
|
|
|
|
| ||
* |
| ServiceNow Inc. |
| 1,485 |
| 389 |
|
|
| Intuit Inc. |
| 1,270 |
| 311 |
|
* |
| salesforce.com Inc. |
| 1,619 |
| 245 |
|
|
| Broadcom Inc. |
| 783 |
| 197 |
|
|
| QUALCOMM Inc. |
| 2,592 |
| 173 |
|
|
| Cisco Systems Inc. |
| 2,950 |
| 153 |
|
* |
| Autodesk Inc. |
| 773 |
| 124 |
|
* |
| Rapid7 Inc. |
| 2,313 |
| 121 |
|
* |
| LiveRamp Holdings Inc. |
| 2,248 |
| 115 |
|
* |
| Advanced Micro Devices Inc. |
| 4,130 |
| 113 |
|
|
| Microsoft Corp. |
| 897 |
| 111 |
|
* |
| Okta Inc. |
| 900 |
| 102 |
|
|
| Analog Devices Inc. |
| 1,021 |
| 99 |
|
* |
| Adobe Inc. |
| 334 |
| 90 |
|
* |
| Aspen Technology Inc. |
| 789 |
| 90 |
|
* |
| Coupa Software Inc. |
| 820 |
| 90 |
|
* |
| Palo Alto Networks Inc. |
| 445 |
| 89 |
|
* |
| Five9 Inc. |
| 1,722 |
| 88 |
|
* |
| Workiva Inc. |
| 1,508 |
| 84 |
|
* |
| Atlassian Corp. plc Class A |
| 651 |
| 82 |
|
|
| Universal Display Corp. |
| 555 |
| 82 |
|
* |
| SPS Commerce Inc. |
| 742 |
| 76 |
|
* |
| HubSpot Inc. |
| 434 |
| 75 |
|
* |
| Arista Networks Inc. |
| 307 |
| 75 |
|
* |
| RingCentral Inc. Class A |
| 602 |
| 72 |
|
* |
| Cadence Design Systems Inc. |
| 1,121 |
| 71 |
|
* |
| Twilio Inc. Class A |
| 531 |
| 70 |
|
* |
| FormFactor Inc. |
| 4,808 |
| 69 |
|
* |
| LivePerson Inc. |
| 2,396 |
| 67 |
|
* |
| Rogers Corp. |
| 475 |
| 66 |
|
|
| VMware Inc. Class A |
| 364 |
| 64 |
|
* |
| Cree Inc. |
| 1,162 |
| 64 |
|
* |
| Zscaler Inc. |
| 916 |
| 63 |
|
* |
| Paycom Software Inc. |
| 290 |
| 61 |
|
|
| Xilinx Inc. |
| 588 |
| 60 |
|
|
| Ubiquiti Networks Inc. |
| 490 |
| 59 |
|
* |
| MaxLinear Inc. |
| 2,696 |
| 57 |
|
* |
| PAR Technology Corp. |
| 2,011 |
| 56 |
|
* |
| Photronics Inc. |
| 6,838 |
| 55 |
|
* |
| IAC/InterActiveCorp |
| 247 |
| 55 |
|
* |
| Zendesk Inc. |
| 637 |
| 54 |
|
* |
| Splunk Inc. |
| 429 |
| 49 |
|
* |
| Ciena Corp. |
| 1,394 |
| 49 |
|
* |
| Lattice Semiconductor Corp. |
| 3,725 |
| 48 |
|
* |
| Fortinet Inc. |
| 642 |
| 46 |
|
* |
| Zynga Inc. Class A |
| 7,221 |
| 45 |
|
* |
| New Relic Inc. |
| 445 |
| 45 |
|
* |
| EPAM Systems Inc. |
| 251 |
| 43 |
|
* |
| GoDaddy Inc. Class A |
| 581 |
| 43 |
|
* |
| Appfolio Inc. |
| 447 |
| 43 |
|
|
| Motorola Solutions Inc. |
| 281 |
| 42 |
|
* |
| VeriSign Inc. |
| 214 |
| 42 |
|
|
| Match Group Inc. |
| 597 |
| 41 |
|
* |
| CACI International Inc. Class A |
| 201 |
| 41 |
|
* |
| Altair Engineering Inc. Class A |
| 1,033 |
| 39 |
|
* |
| PROS Holdings Inc. |
| 694 |
| 39 |
|
|
| PC Connection Inc. |
| 1,191 |
| 38 |
|
* |
| Alteryx Inc. Class A |
| 429 |
| 37 |
|
* |
| Fabrinet |
| 843 |
| 36 |
|
* |
| Glu Mobile Inc. |
| 4,403 |
| 35 |
|
* |
| Insight Enterprises Inc. |
| 680 |
| 35 |
|
* |
| Tech Data Corp. |
| 383 |
| 35 |
|
* |
| Workday Inc. Class A |
| 170 |
| 35 |
|
* |
| Tableau Software Inc. Class A |
| 308 |
| 35 |
|
* |
| SecureWorks Corp. Class A |
| 2,366 |
| 35 |
|
* |
| Diebold Nixdorf Inc. |
| 4,020 |
| 34 |
|
* |
| Mercury Systems Inc. |
| 495 |
| 34 |
|
|
| SS&C Technologies Holdings Inc. |
| 610 |
| 34 |
|
* |
| Mitek Systems Inc. |
| 3,328 |
| 34 |
|
* |
| Ceridian HCM Holding Inc. |
| 682 |
| 34 |
|
* |
| Meet Group Inc. |
| 8,469 |
| 33 |
|
|
| Park Electrochemical Corp. |
| 2,155 |
| 32 |
|
U.S. Momentum Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| iRobot Corp. |
| 364 |
| 32 |
|
* |
| Inphi Corp. |
| 704 |
| 31 |
|
* |
| ANSYS Inc. |
| 172 |
| 31 |
|
* |
| Novanta Inc. |
| 384 |
| 31 |
|
* |
| Everbridge Inc. |
| 384 |
| 30 |
|
* |
| Inovalon Holdings Inc. Class A |
| 2,173 |
| 30 |
|
* |
| SailPoint Technologies Holding Inc. |
| 1,701 |
| 30 |
|
* |
| Acacia Communications Inc. |
| 630 |
| 29 |
|
* |
| Upland Software Inc. |
| 623 |
| 29 |
|
* |
| Semtech Corp. |
| 694 |
| 28 |
|
* |
| Alarm.com Holdings Inc. |
| 467 |
| 27 |
|
* |
| Stratasys Ltd. |
| 1,217 |
| 27 |
|
* |
| Guidewire Software Inc. |
| 264 |
| 27 |
|
* |
| Harmonic Inc. |
| 4,903 |
| 26 |
|
* |
| PDF Solutions Inc. |
| 1,992 |
| 24 |
|
* |
| Impinj Inc. |
| 975 |
| 24 |
|
* |
| Q2 Holdings Inc. |
| 325 |
| 24 |
|
* |
| Qualys Inc. |
| 268 |
| 24 |
|
* |
| Benefitfocus Inc. |
| 825 |
| 23 |
|
|
| Brooks Automation Inc. |
| 626 |
| 22 |
|
* |
| eGain Corp. |
| 2,732 |
| 21 |
|
* |
| Blackline Inc. |
| 384 |
| 20 |
|
* |
| Yext Inc. |
| 986 |
| 18 |
|
* |
| Vocera Communications Inc. |
| 558 |
| 18 |
|
|
| CDW Corp. |
| 183 |
| 18 |
|
|
| Xperi Corp. |
| 838 |
| 18 |
|
* |
| Viavi Solutions Inc. |
| 1,428 |
| 17 |
|
* |
| ForeScout Technologies Inc. |
| 535 |
| 17 |
|
* |
| Sanmina Corp. |
| 612 |
| 16 |
|
* |
| Pluralsight Inc. Class A |
| 480 |
| 15 |
|
* |
| Calix Inc. |
| 2,452 |
| 15 |
|
* |
| Diodes Inc. |
| 474 |
| 15 |
|
* |
| Tucows Inc. Class A |
| 230 |
| 14 |
|
* |
| Envestnet Inc. |
| 148 |
| 10 |
|
* |
| ShotSpotter Inc. |
| 174 |
| 8 |
|
|
|
|
|
|
| 6,237 |
|
Utilities (9.0%) |
|
|
|
|
| ||
|
| American Electric Power Co. Inc. |
| 3,884 |
| 335 |
|
|
| Exelon Corp. |
| 5,009 |
| 241 |
|
|
| NextEra Energy Inc. |
| 1,003 |
| 199 |
|
|
| American Water Works Co. Inc. |
| 1,380 |
| 156 |
|
|
| Dominion Energy Inc. |
| 1,857 |
| 140 |
|
|
| Ameren Corp. |
| 1,734 |
| 127 |
|
|
| Southern Co. |
| 2,377 |
| 127 |
|
|
| Duke Energy Corp. |
| 1,328 |
| 114 |
|
|
| DTE Energy Co. |
| 847 |
| 106 |
|
|
| ONE Gas Inc. |
| 1,027 |
| 90 |
|
|
| American States Water Co. |
| 1,059 |
| 77 |
|
|
| Sempra Energy |
| 569 |
| 75 |
|
* |
| T-Mobile US Inc. |
| 956 |
| 70 |
|
|
| Eversource Energy |
| 896 |
| 66 |
|
|
| AES Corp. |
| 4,185 |
| 66 |
|
* |
| Iridium Communications Inc. |
| 2,972 |
| 64 |
|
|
| Black Hills Corp. |
| 725 |
| 55 |
|
|
| NorthWestern Corp. |
| 772 |
| 55 |
|
|
| CMS Energy Corp. |
| 976 |
| 55 |
|
|
| Atmos Energy Corp. |
| 471 |
| 48 |
|
|
| OGE Energy Corp. |
| 1,113 |
| 46 |
|
|
| Spire Inc. |
| 533 |
| 44 |
|
|
| California Water Service Group |
| 886 |
| 44 |
|
|
| Vistra Energy Corp. |
| 1,745 |
| 41 |
|
|
| NRG Energy Inc. |
| 1,183 |
| 40 |
|
|
| Otter Tail Corp. |
| 808 |
| 40 |
|
|
| CenterPoint Energy Inc. |
| 1,069 |
| 30 |
|
|
| MGE Energy Inc. |
| 441 |
| 29 |
|
|
| Chesapeake Utilities Corp. |
| 302 |
| 27 |
|
|
| Pattern Energy Group Inc. Class A |
| 1,282 |
| 27 |
|
* |
| 8x8 Inc. |
| 1,074 |
| 26 |
|
|
| Middlesex Water Co. |
| 431 |
| 26 |
|
|
| Entergy Corp. |
| 261 |
| 25 |
|
|
| Portland General Electric Co. |
| 350 |
| 19 |
|
|
| Shenandoah Telecommunications Co. |
| 459 |
| 18 |
|
|
| FirstEnergy Corp. |
| 439 |
| 18 |
|
* |
| United States Cellular Corp. |
| 378 |
| 16 |
|
|
| New Jersey Resources Corp. |
| 308 |
| 15 |
|
* |
| Intelsat SA |
| 361 |
| 7 |
|
|
|
|
|
|
| 2,804 |
|
Total Common Stocks |
|
|
| 30,994 |
| ||
Temporary Cash Investment (0.5%)1 |
|
|
|
|
| ||
Money Market Fund (0.5%) |
|
|
|
|
| ||
2 |
| Vanguard Market Liquidity Fund, 2.527% (Cost $164) |
| 1,643 |
| 164 |
|
Total Investments (99.9%) |
|
|
| 31,158 |
|
U.S. Momentum Factor ETF
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.1%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 2 |
|
Receivables for Accrued Income |
| 34 |
|
Other Assets3 |
| 9 |
|
Total Other Assets |
| 45 |
|
Liabilities |
|
|
|
Payables to Vanguard |
| (2 | ) |
Variation Margin Payable—Futures Contracts |
| (3 | ) |
Total Liabilities |
| (5 | ) |
Net Assets (100%) |
|
|
|
Applicable to 400,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 31,198 |
|
Net Asset Value Per Share |
| $77.99 |
|
At May 31, 2019, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 32,326 |
|
Total Distributable Earnings (Loss) |
| (1,128 | ) |
Net Assets |
| 31,198 |
|
· 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 $9,000 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 |
|
|
|
|
|
|
|
|
|
|
Micro E-mini S&P 500 Index |
| June 2019 |
| 8 |
|
| 110 |
| (2 | ) |
E-mini Russell 2000 Index |
| June 2019 |
| 1 |
|
| 73 |
| (3 | ) |
|
|
|
|
|
|
|
|
| (5 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Statement of Operations
| Six Months Ended |
| May 31, 2019 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 235 |
Interest1 | 2 |
Total Income | 237 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | — |
Management and Administrative | 17 |
Marketing and Distribution | — |
Custodian Fees | 3 |
Shareholders’ Reports | 2 |
Total Expenses | 22 |
Net Investment Income | 215 |
Realized Net Gain (Loss) |
|
Investment Securities Sold1 | (3,135) |
Futures Contracts | (11) |
Realized Net Gain (Loss) | (3,146) |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities1 | 3,599 |
Futures Contracts | 4 |
Change in Unrealized Appreciation (Depreciation) | 3,603 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 672 |
1 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. Momentum Factor ETF
Statement of Changes in Net Assets
|
|
| February 13, |
| Six Months Ended |
| 20181 to |
| May 31, |
| November 30, |
| 2019 |
| 2018 |
| ($000) |
| ($000) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income | 215 |
| 134 |
Realized Net Gain (Loss) | (3,146) |
| (906) |
Change in Unrealized Appreciation (Depreciation) | 3,603 |
| (771) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 672 |
| (1,543) |
Distributions |
|
|
|
Net Investment Income | (167) |
| (90) |
Realized Capital Gain | — |
| — |
Total Distributions | (167) |
| (90) |
Capital Share Transactions |
|
|
|
Issued | 1,985 |
| 34,243 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | (3,902) |
| — |
Net Increase (Decrease) from Capital Share Transactions | (1,917) |
| 34,243 |
Total Increase (Decrease) | (1,412) |
| 32,610 |
Net Assets |
|
|
|
Beginning of Period | 32,610 |
| — |
End of Period | 31,198 |
| 32,610 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Momentum Factor ETF
Financial Highlights
| Six Months |
| Feb. 13, |
| Ended |
| 20181 to |
| May 31, |
| Nov. 30, |
For a Share Outstanding Throughout Each Period | 2019 |
| 2018 |
Net Asset Value, Beginning of Period | $76.73 |
| $75.00 |
Investment Operations |
|
|
|
Net Investment Income2 | .494 |
| .538 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.147 |
| 1.489 |
Total from Investment Operations | 1.641 |
| 2.027 |
Distributions |
|
|
|
Dividends from Net Investment Income | (.381 | ) | (.297) |
Distributions from Realized Capital Gains | — |
| — |
Total Distributions | (.381 | ) | (.297) |
Net Asset Value, End of Period | $77.99 |
| $76.73 |
|
|
|
|
Total Return | 2.17% |
| 2.67% |
|
|
|
|
Ratios/Supplemental Data |
|
|
|
Net Assets, End of Period (Millions) | $31 |
| $33 |
Ratio of Total Expenses to Average Net Assets | 0.13% |
| 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 1.26% |
| 0.83%3 |
Portfolio Turnover Rate | 142% |
| 53% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Momentum Factor ETF
D. As of May 31, 2019, 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 |
| 28,321 |
|
Gross Unrealized Appreciation |
| 3,866 |
|
Gross Unrealized Depreciation |
| (1,034 | ) |
Net Unrealized Appreciation (Depreciation) |
| 2,832 |
|
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $915,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carry-forward balance above.
E. During the six months ended May 31, 2019, the fund purchased $23,310,000 of investment securities and sold $25,187,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
|
| Six Months Ended |
| February 13, 20181 to |
|
|
| May 31, 2019 |
| November 30, 2018 |
|
|
| Shares |
| Shares |
|
|
| (000) |
| (000 | ) |
Issued |
| 25 |
| 425 |
|
Issued in Lieu of Cash Distributions |
| — |
| — |
|
Redeemed |
| (50) |
| — |
|
Net Increase (Decrease) in Shares Outstanding |
| (25) |
| 425 |
|
1 Inception.
At May 31, 2019, one shareholder was the record or beneficial owner of 33% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
U.S. Multifactor ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary |
| 23.1 | % |
Consumer Staples |
| 5.9 |
|
Energy |
| 4.2 |
|
Financial Services |
| 17.7 |
|
Health Care |
| 11.8 |
|
Materials & Processing |
| 4.7 |
|
Other |
| 0.3 |
|
Producer Durables |
| 14.1 |
|
Technology |
| 10.8 |
|
Utilities |
| 7.4 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.5%)1 |
|
|
|
|
| ||
Consumer Discretionary (23.0%) |
|
|
|
|
| ||
|
| Starbucks Corp. |
| 9,547 |
| 726 |
|
|
| Ross Stores Inc. |
| 7,222 |
| 672 |
|
|
| Target Corp. |
| 7,963 |
| 641 |
|
|
| Dollar General Corp. |
| 4,735 |
| 603 |
|
|
| NIKE Inc. Class B |
| 7,812 |
| 603 |
|
|
| Walmart Inc. |
| 5,804 |
| 589 |
|
|
| TJX Cos. Inc. |
| 11,322 |
| 569 |
|
|
| General Motors Co. |
| 12,114 |
| 404 |
|
|
| eBay Inc. |
| 11,137 |
| 400 |
|
|
| Lowe’s Cos. Inc. |
| 4,233 |
| 395 |
|
|
| Estee Lauder Cos. Inc. Class A |
| 2,319 |
| 373 |
|
* |
| AutoZone Inc. |
| 260 |
| 267 |
|
|
| Viacom Inc. Class B |
| 8,845 |
| 257 |
|
|
| Expedia Group Inc. |
| 2,231 |
| 257 |
|
|
| Advance Auto Parts Inc. |
| 1,608 |
| 249 |
|
* |
| American Axle & Manufacturing Holdings Inc. |
| 24,094 |
| 244 |
|
|
| Dick’s Sporting Goods Inc. |
| 6,951 |
| 240 |
|
* |
| Rent-A-Center Inc. |
| 9,705 |
| 232 |
|
|
| Columbia Sportswear Co. |
| 2,460 |
| 231 |
|
|
| La-Z-Boy Inc. |
| 7,078 |
| 228 |
|
* |
| Ulta Beauty Inc. |
| 655 |
| 218 |
|
|
| Thor Industries Inc. |
| 3,860 |
| 199 |
|
* |
| Stoneridge Inc. |
| 7,648 |
| 199 |
|
|
| Comcast Corp. Class A |
| 4,774 |
| 196 |
|
|
| Tractor Supply Co. |
| 1,925 |
| 194 |
|
|
| Lear Corp. |
| 1,629 |
| 194 |
|
|
| Dana Inc. |
| 13,186 |
| 192 |
|
* |
| Urban Outfitters Inc. |
| 8,441 |
| 190 |
|
|
| Kohl’s Corp. |
| 3,646 |
| 180 |
|
* |
| Genesco Inc. |
| 3,884 |
| 175 |
|
|
| American Eagle Outfitters Inc. |
| 10,027 |
| 174 |
|
* |
| K12 Inc. |
| 5,666 |
| 173 |
|
* |
| Zumiez Inc. |
| 8,738 |
| 173 |
|
|
| Autoliv Inc. |
| 2,758 |
| 170 |
|
|
| Costco Wholesale Corp. |
| 665 |
| 159 |
|
|
| Williams-Sonoma Inc. |
| 2,673 |
| 156 |
|
|
| Steven Madden Ltd. |
| 5,154 |
| 156 |
|
|
| Dillard’s Inc. Class A |
| 2,506 |
| 142 |
|
|
| National Presto Industries Inc. |
| 1,395 |
| 137 |
|
|
| Macy’s Inc. |
| 6,315 |
| 130 |
|
* |
| TripAdvisor Inc. |
| 3,072 |
| 130 |
|
|
| Ethan Allen Interiors Inc. |
| 5,983 |
| 127 |
|
|
| Gentex Corp. |
| 5,835 |
| 125 |
|
|
| Dine Brands Global Inc. |
| 1,314 |
| 124 |
|
|
| Whirlpool Corp. |
| 1,071 |
| 123 |
|
* |
| MSG Networks Inc. |
| 5,779 |
| 122 |
|
|
| Tilly’s Inc. Class A |
| 14,106 |
| 110 |
|
|
| LCI Industries |
| 1,314 |
| 109 |
|
|
| Nordstrom Inc. |
| 3,462 |
| 108 |
|
* |
| Hibbett Sports Inc. |
| 4,805 |
| 106 |
|
|
| Nexstar Media Group Inc. Class A |
| 1,058 |
| 106 |
|
|
| Sinclair Broadcast Group Inc. Class A |
| 1,964 |
| 105 |
|
|
| Cable One Inc. |
| 93 |
| 104 |
|
* |
| 1-800-Flowers.com Inc. Class A |
| 5,688 |
| 104 |
|
|
| Gap Inc. |
| 5,554 |
| 104 |
|
|
| Cato Corp. Class A |
| 8,341 |
| 103 |
|
|
| Buckle Inc. |
| 6,784 |
| 102 |
|
|
| Darden Restaurants Inc. |
| 872 |
| 101 |
|
|
| Johnson Outdoors Inc. Class A |
| 1,367 |
| 101 |
|
|
| Cooper Tire & Rubber Co. |
| 3,658 |
| 101 |
|
* |
| Sally Beauty Holdings Inc. |
| 6,580 |
| 100 |
|
* |
| Capri Holdings Ltd. |
| 3,064 |
| 100 |
|
* |
| Lululemon Athletica Inc. |
| 595 |
| 99 |
|
|
| Designer Brands Inc. Class A |
| 5,341 |
| 97 |
|
|
| Garmin Ltd. |
| 1,244 |
| 95 |
|
* |
| Skechers U.S.A. Inc. Class A |
| 3,361 |
| 94 |
|
|
| Winnebago Industries Inc. |
| 2,854 |
| 92 |
|
* |
| Helen of Troy Ltd. |
| 685 |
| 92 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Yum China Holdings Inc. |
| 2,263 |
| 91 |
|
* |
| Career Education Corp. |
| 4,576 |
| 86 |
|
* |
| Deckers Outdoor Corp. |
| 555 |
| 84 |
|
* |
| Burlington Stores Inc. |
| 533 |
| 83 |
|
* |
| Meritor Inc. |
| 4,130 |
| 83 |
|
|
| Gannett Co. Inc. |
| 10,581 |
| 83 |
|
|
| Cracker Barrel Old Country Store Inc. |
| 516 |
| 81 |
|
|
| New York Times Co. Class A |
| 2,484 |
| 79 |
|
|
| Aaron’s Inc. |
| 1,455 |
| 78 |
|
|
| Scholastic Corp. |
| 2,341 |
| 77 |
|
* |
| Gray Television Inc. |
| 4,463 |
| 77 |
|
* |
| Discovery Communications Inc. Class A |
| 2,820 |
| 77 |
|
|
| Dave & Buster’s Entertainment Inc. |
| 1,524 |
| 76 |
|
|
| Brinker International Inc. |
| 2,008 |
| 75 |
|
|
| Standard Motor Products Inc. |
| 1,771 |
| 75 |
|
* |
| Habit Restaurants Inc. Class A |
| 7,354 |
| 75 |
|
|
| Bed Bath & Beyond Inc. |
| 5,445 |
| 69 |
|
* |
| Gentherm Inc. |
| 1,842 |
| 69 |
|
* |
| WideOpenWest Inc. |
| 9,096 |
| 68 |
|
|
| Inter Parfums Inc. |
| 1,031 |
| 67 |
|
|
| Ralph Lauren Corp. Class A |
| 630 |
| 66 |
|
|
| Cheesecake Factory Inc. |
| 1,527 |
| 66 |
|
|
| World Wrestling Entertainment Inc. Class A |
| 901 |
| 66 |
|
|
| Chico’s FAS Inc. |
| 19,253 |
| 65 |
|
|
| Citi Trends Inc. |
| 4,708 |
| 64 |
|
|
| EW Scripps Co. Class A |
| 4,218 |
| 64 |
|
* |
| Tempur Sealy International Inc. |
| 1,005 |
| 64 |
|
|
| Foot Locker Inc. |
| 1,573 |
| 62 |
|
|
| Oxford Industries Inc. |
| 831 |
| 59 |
|
* |
| Fox Factory Holding Corp. |
| 871 |
| 58 |
|
* |
| Dorman Products Inc. |
| 706 |
| 58 |
|
|
| Graham Holdings Co. Class B |
| 83 |
| 56 |
|
|
| PulteGroup Inc. |
| 1,805 |
| 56 |
|
|
| Ruth’s Hospitality Group Inc. |
| 2,416 |
| 55 |
|
* |
| MarineMax Inc. |
| 3,419 |
| 53 |
|
|
| BJ’s Restaurants Inc. |
| 1,264 |
| 53 |
|
|
| Acushnet Holdings Corp. |
| 2,230 |
| 52 |
|
|
| Best Buy Co. Inc. |
| 821 |
| 51 |
|
* |
| Crocs Inc. |
| 2,613 |
| 50 |
|
|
| Abercrombie & Fitch Co. |
| 2,910 |
| 50 |
|
|
| Jack in the Box Inc. |
| 595 |
| 50 |
|
|
| TEGNA Inc. |
| 3,240 |
| 49 |
|
* |
| Hudson Ltd. Class A |
| 3,593 |
| 49 |
|
|
| Wingstop Inc. |
| 612 |
| 49 |
|
* |
| Regis Corp. |
| 2,572 |
| 48 |
|
|
| National CineMedia Inc. |
| 7,313 |
| 48 |
|
* |
| Qurate Retail Group Inc. QVC Group Class A |
| 3,764 |
| 47 |
|
|
| Omnicom Group Inc. |
| 599 |
| 46 |
|
|
| GameStop Corp. Class A |
| 5,954 |
| 45 |
|
|
| Movado Group Inc. |
| 1,707 |
| 44 |
|
|
| Hanesbrands Inc. |
| 2,934 |
| 44 |
|
* |
| American Public Education Inc. |
| 1,471 |
| 41 |
|
* |
| AMC Networks Inc. Class A |
| 741 |
| 39 |
|
|
| John Wiley & Sons Inc. Class A |
| 912 |
| 38 |
|
* |
| Five Below Inc. |
| 284 |
| 37 |
|
|
| Big Lots Inc. |
| 1,260 |
| 35 |
|
* |
| Sleep Number Corp. |
| 970 |
| 34 |
|
* |
| ZAGG Inc. |
| 4,975 |
| 33 |
|
|
| Shutterstock Inc. |
| 865 |
| 33 |
|
* |
| Boot Barn Holdings Inc. |
| 1,164 |
| 30 |
|
|
| Shoe Carnival Inc. |
| 1,145 |
| 29 |
|
* |
| Adtalem Global Education Inc. |
| 625 |
| 27 |
|
* |
| Chipotle Mexican Grill Inc. Class A |
| 31 |
| 20 |
|
|
| AMC Entertainment Holdings Inc. Class A |
| 1,632 |
| 20 |
|
|
| Monro Inc. |
| 238 |
| 19 |
|
|
| Texas Roadhouse Inc. Class A |
| 368 |
| 19 |
|
* |
| Live Nation Entertainment Inc. |
| 308 |
| 19 |
|
|
| Marcus Corp. |
| 521 |
| 18 |
|
* |
| Red Robin Gourmet Burgers Inc. |
| 712 |
| 18 |
|
* |
| El Pollo Loco Holdings Inc. |
| 1,730 |
| 18 |
|
|
|
|
|
|
| 18,438 |
|
Consumer Staples (5.9%) |
|
|
|
|
| ||
|
| Procter & Gamble Co. |
| 6,106 |
| 628 |
|
|
| Walgreens Boots Alliance Inc. |
| 11,357 |
| 560 |
|
|
| Philip Morris International Inc. |
| 6,731 |
| 519 |
|
|
| Kimberly-Clark Corp. |
| 3,062 |
| 392 |
|
|
| Coca-Cola European Partners plc |
| 4,411 |
| 244 |
|
|
| PepsiCo Inc. |
| 1,841 |
| 236 |
|
|
| Core-Mark Holding Co. Inc. |
| 5,198 |
| 192 |
|
|
| Tootsie Roll Industries Inc. |
| 4,288 |
| 163 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Freshpet Inc. |
| 3,214 |
| 149 |
|
|
| Coca-Cola Consolidated Inc. |
| 451 |
| 136 |
|
|
| John B Sanfilippo & Son Inc. |
| 1,652 |
| 127 |
|
|
| Sysco Corp. |
| 1,744 |
| 120 |
|
|
| Church & Dwight Co. Inc. |
| 1,515 |
| 113 |
|
* |
| Performance Food Group Co. |
| 2,464 |
| 97 |
|
* |
| Boston Beer Co. Inc. Class A |
| 306 |
| 96 |
|
|
| Weis Markets Inc. |
| 2,437 |
| 92 |
|
|
| Kroger Co. |
| 3,927 |
| 90 |
|
|
| Hormel Foods Corp. |
| 2,235 |
| 88 |
|
|
| B&G Foods Inc. |
| 3,776 |
| 83 |
|
* |
| US Foods Holding Corp. |
| 2,386 |
| 82 |
|
|
| Lancaster Colony Corp. |
| 562 |
| 81 |
|
* |
| USANA Health Sciences Inc. |
| 1,038 |
| 73 |
|
|
| Ingles Markets Inc. Class A |
| 2,371 |
| 71 |
|
|
| J&J Snack Foods Corp. |
| 382 |
| 61 |
|
|
| Casey’s General Stores Inc. |
| 431 |
| 56 |
|
|
| Flowers Foods Inc. |
| 1,439 |
| 32 |
|
|
| SpartanNash Co. |
| 2,573 |
| 30 |
|
|
| Universal Corp. |
| 388 |
| 22 |
|
|
| Ingredion Inc. |
| 260 |
| 20 |
|
|
| Lamb Weston Holdings Inc. |
| 318 |
| 19 |
|
|
| Medifast Inc. |
| 138 |
| 18 |
|
|
|
|
|
|
| 4,690 |
|
Energy (4.1%) |
|
|
|
|
| ||
|
| ConocoPhillips |
| 10,765 |
| 635 |
|
|
| Chevron Corp. |
| 4,597 |
| 523 |
|
|
| Kinder Morgan Inc. |
| 12,435 |
| 248 |
|
|
| Warrior Met Coal Inc. |
| 8,519 |
| 220 |
|
|
| Arch Coal Inc. Class A |
| 2,063 |
| 182 |
|
* |
| Matrix Service Co. |
| 9,483 |
| 172 |
|
* |
| Renewable Energy Group Inc. |
| 10,409 |
| 163 |
|
* |
| ProPetro Holding Corp. |
| 7,999 |
| 155 |
|
* |
| Chesapeake Energy Corp. |
| 77,466 |
| 149 |
|
* |
| Southwestern Energy Co. |
| 40,095 |
| 144 |
|
|
| Liberty Oilfield Services Inc. Class A |
| 8,625 |
| 110 |
|
|
| Cabot Oil & Gas Corp. |
| 3,622 |
| 91 |
|
|
| CVR Energy Inc. |
| 2,047 |
| 87 |
|
|
| Solaris Oilfield Infrastructure Inc. Class A |
| 5,538 |
| 79 |
|
|
| Mammoth Energy Services Inc. |
| 6,932 |
| 73 |
|
|
| World Fuel Services Corp. |
| 1,930 |
| 56 |
|
|
| Delek US Holdings Inc. |
| 1,554 |
| 47 |
|
* |
| Cactus Inc. Class A |
| 1,439 |
| 47 |
|
* |
| CONSOL Energy Inc. |
| 1,314 |
| 34 |
|
|
| HollyFrontier Corp. |
| 469 |
| 18 |
|
|
| Phillips 66 |
| 220 |
| 18 |
|
* |
| REX American Resources Corp. |
| 258 |
| 17 |
|
|
| Exxon Mobil Corp. |
| 243 |
| 17 |
|
|
| Marathon Oil Corp. |
| 1,235 |
| 16 |
|
|
|
|
|
|
| 3,301 |
|
Financial Services (17.6%) |
|
|
|
|
| ||
|
| JPMorgan Chase & Co. |
| 6,426 |
| 681 |
|
|
| Bank of America Corp. |
| 21,724 |
| 578 |
|
|
| Aflac Inc. |
| 10,054 |
| 516 |
|
* |
| PayPal Holdings Inc. |
| 4,173 |
| 458 |
|
|
| MetLife Inc. |
| 9,888 |
| 457 |
|
|
| Wells Fargo & Co. |
| 8,302 |
| 368 |
|
|
| Aon plc |
| 1,936 |
| 349 |
|
|
| Bank of New York Mellon Corp. |
| 7,936 |
| 339 |
|
|
| Citigroup Inc. |
| 5,353 |
| 333 |
|
|
| Mastercard Inc. Class A |
| 1,131 |
| 284 |
|
|
| Bank of Hawaii Corp. |
| 3,703 |
| 280 |
|
|
| M&T Bank Corp. |
| 1,635 |
| 261 |
|
|
| American Express Co. |
| 2,128 |
| 244 |
|
|
| Visa Inc. Class A |
| 1,434 |
| 231 |
|
|
| Simon Property Group Inc. |
| 1,387 |
| 225 |
|
|
| Trustmark Corp. |
| 6,247 |
| 198 |
|
|
| Discover Financial Services |
| 2,620 |
| 195 |
|
|
| Erie Indemnity Co. Class A |
| 908 |
| 193 |
|
|
| Allstate Corp. |
| 1,959 |
| 187 |
|
|
| CIT Group Inc. |
| 3,934 |
| 187 |
|
* |
| Alleghany Corp. |
| 270 |
| 179 |
|
|
| First Citizens BancShares Inc. Class A |
| 423 |
| 178 |
|
|
| Community Bank System Inc. |
| 2,794 |
| 173 |
|
|
| Cathay General Bancorp |
| 5,084 |
| 171 |
|
|
| Universal Insurance Holdings Inc. |
| 5,632 |
| 164 |
|
|
| First Hawaiian Inc. |
| 6,258 |
| 156 |
|
|
| Primerica Inc. |
| 1,332 |
| 153 |
|
|
| First Bancorp |
| 4,149 |
| 147 |
|
|
| Central Pacific Financial Corp. |
| 5,250 |
| 146 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Great Western Bancorp Inc. |
| 4,525 |
| 141 |
|
* |
| Credit Acceptance Corp. |
| 306 |
| 140 |
|
|
| Nelnet Inc. Class A |
| 2,345 |
| 139 |
|
|
| International Bancshares Corp. |
| 3,730 |
| 136 |
|
|
| Synchrony Financial |
| 3,956 |
| 133 |
|
|
| Lakeland Financial Corp. |
| 2,848 |
| 125 |
|
|
| Commerce Bancshares Inc. |
| 2,159 |
| 124 |
|
|
| BankUnited Inc. |
| 3,799 |
| 123 |
|
|
| Ally Financial Inc. |
| 4,049 |
| 117 |
|
|
| First Commonwealth Financial Corp. |
| 8,850 |
| 111 |
|
|
| Assured Guaranty Ltd. |
| 2,576 |
| 105 |
|
|
| Sterling Bancorp |
| 5,349 |
| 103 |
|
* |
| Ambac Financial Group Inc. |
| 6,759 |
| 103 |
|
|
| Waddell & Reed Financial Inc. Class A |
| 6,193 |
| 100 |
|
|
| Medical Properties Trust Inc. |
| 5,476 |
| 97 |
|
|
| NBT Bancorp Inc. |
| 2,644 |
| 95 |
|
|
| National Western Life Group Inc. Class A |
| 354 |
| 94 |
|
|
| Popular Inc. |
| 1,788 |
| 93 |
|
|
| Walker & Dunlop Inc. |
| 1,833 |
| 92 |
|
|
| Lincoln National Corp. |
| 1,543 |
| 92 |
|
|
| United Bankshares Inc. |
| 2,555 |
| 91 |
|
|
| EVERTEC Inc. |
| 3,119 |
| 89 |
|
|
| Reinsurance Group of America Inc. Class A |
| 601 |
| 89 |
|
|
| Zions Bancorp NA |
| 2,048 |
| 88 |
|
|
| 1st Source Corp. |
| 1,970 |
| 86 |
|
|
| FirstCash Inc. |
| 895 |
| 85 |
|
* |
| Euronet Worldwide Inc. |
| 539 |
| 84 |
|
|
| Flagstar Bancorp Inc. |
| 2,474 |
| 78 |
|
|
| KeyCorp |
| 4,774 |
| 76 |
|
|
| First BanCorp |
| 7,549 |
| 75 |
|
|
| Regions Financial Corp. |
| 5,393 |
| 75 |
|
|
| Federated Investors Inc. Class B |
| 2,410 |
| 74 |
|
|
| Torchmark Corp. |
| 827 |
| 71 |
|
|
| HCI Group Inc. |
| 1,739 |
| 71 |
|
|
| Comerica Inc. |
| 998 |
| 69 |
|
|
| Ameriprise Financial Inc. |
| 496 |
| 69 |
|
|
| T. Rowe Price Group Inc. |
| 674 |
| 68 |
|
|
| Safety Insurance Group Inc. |
| 744 |
| 68 |
|
|
| Franklin Resources Inc. |
| 2,043 |
| 65 |
|
|
| Raymond James Financial Inc. |
| 773 |
| 64 |
|
|
| Virtus Investment Partners Inc. |
| 628 |
| 64 |
|
|
| BrightSphere Investment Group plc |
| 5,849 |
| 63 |
|
|
| Citizens Financial Group Inc. |
| 1,847 |
| 60 |
|
|
| Tompkins Financial Corp. |
| 758 |
| 60 |
|
|
| S&T Bancorp Inc. |
| 1,549 |
| 58 |
|
* |
| Axos Financial Inc. |
| 2,137 |
| 58 |
|
|
| Northern Trust Corp. |
| 662 |
| 57 |
|
|
| Oritani Financial Corp. |
| 3,534 |
| 57 |
|
|
| American Equity Investment Life Holding Co. |
| 1,961 |
| 55 |
|
* |
| HomeStreet Inc. |
| 1,937 |
| 55 |
|
|
| Fulton Financial Corp. |
| 3,353 |
| 53 |
|
|
| FactSet Research Systems Inc. |
| 188 |
| 52 |
|
|
| ServisFirst Bancshares Inc. |
| 1,666 |
| 52 |
|
|
| LPL Financial Holdings Inc. |
| 639 |
| 51 |
|
|
| Cohen & Steers Inc. |
| 978 |
| 50 |
|
|
| LTC Properties Inc. |
| 1,112 |
| 50 |
|
|
| MSCI Inc. Class A |
| 226 |
| 50 |
|
|
| Hanmi Financial Corp. |
| 2,354 |
| 49 |
|
|
| AMERISAFE Inc. |
| 809 |
| 48 |
|
* |
| CBRE Group Inc. Class A |
| 1,054 |
| 48 |
|
|
| Preferred Bank |
| 1,097 |
| 48 |
|
|
| Principal Financial Group Inc. |
| 925 |
| 48 |
|
|
| City Holding Co. |
| 649 |
| 47 |
|
|
| GEO Group Inc. |
| 2,161 |
| 47 |
|
|
| Hilltop Holdings Inc. |
| 2,303 |
| 46 |
|
|
| United Financial Bancorp Inc. |
| 3,547 |
| 46 |
|
|
| Huntington Bancshares Inc. |
| 3,537 |
| 45 |
|
|
| TrustCo Bank Corp. NY |
| 5,706 |
| 42 |
|
|
| Dime Community Bancshares Inc. |
| 2,354 |
| 42 |
|
|
| Hope Bancorp Inc. |
| 3,233 |
| 42 |
|
|
| Southside Bancshares Inc. |
| 1,230 |
| 40 |
|
|
| CBTX Inc. |
| 1,417 |
| 39 |
|
|
| Eagle Bancorp Inc. |
| 726 |
| 39 |
|
|
| Boston Private Financial Holdings Inc. |
| 3,751 |
| 38 |
|
|
| New York Community Bancorp Inc. |
| 3,823 |
| 38 |
|
|
| National General Holdings Corp. |
| 1,661 |
| 38 |
|
|
| OFG Bancorp |
| 1,979 |
| 37 |
|
|
| White Mountains Insurance Group Ltd. |
| 37 |
| 36 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Hanover Insurance Group Inc. |
| 295 |
| 36 |
|
|
| Provident Financial Services Inc. |
| 1,431 |
| 34 |
|
|
| Meridian Bancorp Inc. |
| 1,969 |
| 34 |
|
* |
| Marcus & Millichap Inc. |
| 1,023 |
| 31 |
|
|
| BancFirst Corp. |
| 595 |
| 31 |
|
|
| Employers Holdings Inc. |
| 740 |
| 31 |
|
|
| First Merchants Corp. |
| 907 |
| 30 |
|
|
| Loews Corp. |
| 577 |
| 30 |
|
|
| E*TRADE Financial Corp. |
| 613 |
| 27 |
|
|
| LegacyTexas Financial Group Inc. |
| 741 |
| 27 |
|
|
| Washington Federal Inc. |
| 802 |
| 25 |
|
|
| Federal Agricultural Mortgage Corp. |
| 349 |
| 24 |
|
|
| Northwest Bancshares Inc. |
| 1,240 |
| 21 |
|
|
| Progressive Corp. |
| 253 |
| 20 |
|
|
| Spirit Realty Capital Inc. |
| 469 |
| 20 |
|
|
| Evercore Inc. Class A |
| 209 |
| 16 |
|
|
|
|
|
|
| 14,114 |
|
Health Care (11.8%) |
|
|
|
|
| ||
|
| Merck & Co. Inc. |
| 10,497 |
| 831 |
|
|
| HCA Healthcare Inc. |
| 6,087 |
| 736 |
|
|
| Pfizer Inc. |
| 15,254 |
| 633 |
|
|
| Eli Lilly & Co. |
| 5,166 |
| 599 |
|
|
| Johnson & Johnson |
| 3,570 |
| 468 |
|
|
| Bristol-Myers Squibb Co. |
| 9,565 |
| 434 |
|
* |
| Edwards Lifesciences Corp. |
| 2,482 |
| 424 |
|
|
| Amgen Inc. |
| 2,303 |
| 384 |
|
|
| STERIS plc |
| 2,497 |
| 334 |
|
* |
| Regeneron Pharmaceuticals Inc. |
| 1,102 |
| 333 |
|
|
| Abbott Laboratories |
| 3,884 |
| 296 |
|
* |
| Medpace Holdings Inc. |
| 5,034 |
| 272 |
|
* |
| Biogen Inc. |
| 1,086 |
| 238 |
|
* |
| Integer Holdings Corp. |
| 2,518 |
| 177 |
|
* |
| Premier Inc. Class A |
| 4,013 |
| 148 |
|
* |
| Veeva Systems Inc. Class A |
| 949 |
| 146 |
|
|
| Atrion Corp. |
| 149 |
| 132 |
|
* |
| Syneos Health Inc. |
| 2,974 |
| 123 |
|
* |
| BioTelemetry Inc. |
| 2,536 |
| 121 |
|
|
| National HealthCare Corp. |
| 1,486 |
| 115 |
|
|
| Meridian Bioscience Inc. |
| 10,209 |
| 115 |
|
* |
| Exelixis Inc. |
| 5,687 |
| 111 |
|
* |
| Masimo Corp. |
| 813 |
| 106 |
|
* |
| PRA Health Sciences Inc. |
| 1,221 |
| 106 |
|
* |
| Incyte Corp. |
| 1,303 |
| 102 |
|
* |
| CorVel Corp. |
| 1,268 |
| 94 |
|
* |
| Molina Healthcare Inc. |
| 659 |
| 94 |
|
* |
| LivaNova plc |
| 1,284 |
| 92 |
|
* |
| Amedisys Inc. |
| 820 |
| 92 |
|
* |
| Tenet Healthcare Corp. |
| 4,549 |
| 91 |
|
|
| Dentsply Sirona Inc. |
| 1,676 |
| 90 |
|
* |
| Horizon Therapeutics plc |
| 3,446 |
| 82 |
|
|
| Universal Health Services Inc. Class B |
| 659 |
| 79 |
|
|
| Hill-Rom Holdings Inc. |
| 818 |
| 79 |
|
* |
| PDL BioPharma Inc. |
| 27,071 |
| 76 |
|
* |
| Genomic Health Inc. |
| 1,385 |
| 72 |
|
|
| Patterson Cos. Inc. |
| 3,372 |
| 71 |
|
* |
| Glaukos Corp. |
| 1,092 |
| 70 |
|
|
| Ensign Group Inc. |
| 1,298 |
| 69 |
|
* |
| Lantheus Holdings Inc. |
| 2,878 |
| 69 |
|
* |
| Cardiovascular Systems Inc. |
| 1,767 |
| 69 |
|
|
| Cooper Cos. Inc. |
| 205 |
| 61 |
|
* |
| Quidel Corp. |
| 1,078 |
| 60 |
|
* |
| Hologic Inc. |
| 1,308 |
| 58 |
|
* |
| Jazz Pharmaceuticals plc |
| 441 |
| 55 |
|
* |
| NextGen Healthcare Inc. |
| 2,770 |
| 53 |
|
* |
| Omnicell Inc. |
| 669 |
| 53 |
|
* |
| Mallinckrodt plc |
| 5,839 |
| 51 |
|
|
| Gilead Sciences Inc. |
| 767 |
| 48 |
|
|
| Bruker Corp. |
| 1,064 |
| 44 |
|
* |
| ANI Pharmaceuticals Inc. |
| 599 |
| 42 |
|
|
| Computer Programs & Systems Inc. |
| 1,373 |
| 35 |
|
* |
| HMS Holdings Corp. |
| 1,110 |
| 34 |
|
|
| US Physical Therapy Inc. |
| 185 |
| 21 |
|
* |
| United Therapeutics Corp. |
| 224 |
| 19 |
|
* |
| Amphastar Pharmaceuticals Inc. |
| 872 |
| 17 |
|
|
|
|
|
|
| 9,424 |
|
Materials & Processing (4.7%) |
|
|
|
|
| ||
|
| Sonoco Products Co. |
| 4,000 |
| 247 |
|
* |
| Rexnord Corp. |
| 9,049 |
| 238 |
|
|
| Materion Corp. |
| 3,608 |
| 218 |
|
|
| Comfort Systems USA Inc. |
| 4,202 |
| 198 |
|
|
| Ball Corp. |
| 3,140 |
| 193 |
|
|
| Simpson Manufacturing Co. Inc. |
| 2,941 |
| 179 |
|
|
| Belden Inc. |
| 3,073 |
| 157 |
|
|
| Advanced Drainage Systems Inc. |
| 4,748 |
| 136 |
|
|
| Armstrong World Industries Inc. |
| 1,379 |
| 122 |
|
* |
| Verso Corp. |
| 6,415 |
| 111 |
|
|
| CF Industries Holdings Inc. |
| 2,699 |
| 109 |
|
|
| Domtar Corp. |
| 2,434 |
| 102 |
|
* |
| BMC Stock Holdings Inc. |
| 5,049 |
| 101 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Quanex Building Products Corp. |
| 6,221 |
| 97 |
|
|
| FMC Corp. |
| 1,217 |
| 89 |
|
|
| Greif Inc. Class A |
| 2,337 |
| 83 |
|
* |
| AdvanSix Inc. |
| 3,342 |
| 82 |
|
|
| Huntsman Corp. |
| 4,599 |
| 80 |
|
* |
| Continental Building Products Inc. |
| 3,495 |
| 80 |
|
|
| Reliance Steel & Aluminum Co. |
| 943 |
| 79 |
|
|
| Louisiana-Pacific Corp. |
| 3,405 |
| 78 |
|
|
| Ingersoll-Rand plc |
| 610 |
| 72 |
|
|
| Innospec Inc. |
| 846 |
| 68 |
|
|
| Schnitzer Steel Industries Inc. |
| 3,125 |
| 66 |
|
* |
| Trex Co. Inc. |
| 1,094 |
| 65 |
|
|
| Stepan Co. |
| 757 |
| 64 |
|
|
| Quaker Chemical Corp. |
| 342 |
| 62 |
|
|
| Owens-Illinois Inc. |
| 3,664 |
| 59 |
|
|
| Acuity Brands Inc. |
| 446 |
| 55 |
|
|
| DMC Global Inc. |
| 739 |
| 50 |
|
|
| Mosaic Co. |
| 2,267 |
| 49 |
|
* |
| Builders FirstSource Inc. |
| 3,195 |
| 45 |
|
|
| Nucor Corp. |
| 926 |
| 44 |
|
|
| Silgan Holdings Inc. |
| 1,477 |
| 43 |
|
|
| Apogee Enterprises Inc. |
| 1,171 |
| 43 |
|
|
| Fastenal Co. |
| 1,334 |
| 41 |
|
|
| International Paper Co. |
| 901 |
| 37 |
|
* |
| Gibraltar Industries Inc. |
| 1,014 |
| 36 |
|
|
| Schweitzer-Mauduit International Inc. |
| 1,060 |
| 33 |
|
|
| Steel Dynamics Inc. |
| 1,191 |
| 30 |
|
|
| Boise Cascade Co. |
| 961 |
| 21 |
|
|
|
|
|
|
| 3,762 |
|
Other (0.3%) |
|
|
|
|
| ||
* |
| Check Point Software Technologies Ltd. |
| 1,624 |
| 179 |
|
* |
| Yandex NV Class A |
| 2,163 |
| 78 |
|
|
|
|
|
|
| 257 |
|
Producer Durables (14.0%) |
|
|
|
|
| ||
|
| Eaton Corp. plc |
| 6,021 |
| 448 |
|
|
| Southwest Airlines Co. |
| 9,361 |
| 446 |
|
|
| Oshkosh Corp. |
| 4,950 |
| 352 |
|
|
| Norfolk Southern Corp. |
| 1,742 |
| 340 |
|
* |
| TriNet Group Inc. |
| 4,526 |
| 287 |
|
|
| Snap-on Inc. |
| 1,670 |
| 260 |
|
|
| Dover Corp. |
| 2,819 |
| 252 |
|
|
| Boeing Co. |
| 725 |
| 248 |
|
* |
| FTI Consulting Inc. |
| 2,827 |
| 237 |
|
* |
| United Continental Holdings Inc. |
| 2,881 |
| 224 |
|
* |
| Zebra Technologies Corp. |
| 1,232 |
| 211 |
|
|
| Brady Corp. Class A |
| 4,399 |
| 204 |
|
|
| Alaska Air Group Inc. |
| 3,475 |
| 202 |
|
|
| EnPro Industries Inc. |
| 3,156 |
| 175 |
|
|
| Kforce Inc. |
| 4,984 |
| 173 |
|
|
| MAXIMUS Inc. |
| 2,385 |
| 170 |
|
|
| UniFirst Corp. |
| 1,069 |
| 170 |
|
* |
| Spirit Airlines Inc. |
| 3,594 |
| 166 |
|
|
| Columbus McKinnon Corp. |
| 4,386 |
| 159 |
|
|
| Automatic Data Processing Inc. |
| 993 |
| 159 |
|
* |
| Teledyne Technologies Inc. |
| 658 |
| 155 |
|
|
| Heidrick & Struggles International Inc. |
| 5,052 |
| 153 |
|
* |
| Echo Global Logistics Inc. |
| 7,738 |
| 152 |
|
|
| Allison Transmission Holdings Inc. |
| 3,481 |
| 144 |
|
|
| Werner Enterprises Inc. |
| 5,038 |
| 140 |
|
|
| Republic Services Inc. Class A |
| 1,655 |
| 140 |
|
|
| Exponent Inc. |
| 2,492 |
| 140 |
|
|
| Waste Management Inc. |
| 1,272 |
| 139 |
|
|
| AGCO Corp. |
| 2,087 |
| 139 |
|
|
| Accenture plc Class A |
| 776 |
| 138 |
|
|
| CSW Industrials Inc. |
| 2,137 |
| 137 |
|
|
| Federal Signal Corp. |
| 5,583 |
| 133 |
|
|
| Korn Ferry |
| 2,965 |
| 128 |
|
|
| Mesa Laboratories Inc. |
| 483 |
| 121 |
|
|
| Xerox Corp. |
| 3,785 |
| 116 |
|
|
| CSX Corp. |
| 1,474 |
| 110 |
|
|
| Pentair plc |
| 2,960 |
| 103 |
|
* |
| WESCO International Inc. |
| 2,183 |
| 102 |
|
* |
| Allegheny Technologies Inc. |
| 4,752 |
| 102 |
|
|
| Illinois Tool Works Inc. |
| 725 |
| 101 |
|
|
| Insperity Inc. |
| 880 |
| 100 |
|
|
| Regal Beloit Corp. |
| 1,375 |
| 100 |
|
|
| Spirit AeroSystems Holdings Inc. Class A |
| 1,228 |
| 100 |
|
|
| ITT Inc. |
| 1,659 |
| 96 |
|
* |
| MasTec Inc. |
| 2,016 |
| 94 |
|
|
| Delta Air Lines Inc. |
| 1,796 |
| 92 |
|
|
| Heartland Express Inc. |
| 5,020 |
| 90 |
|
|
| Cummins Inc. |
| 580 |
| 87 |
|
|
| Carlisle Cos. Inc. |
| 572 |
| 76 |
|
* |
| TriMas Corp. |
| 2,642 |
| 76 |
|
|
| Encore Wire Corp. |
| 1,514 |
| 76 |
|
|
| Steelcase Inc. Class A |
| 4,642 |
| 74 |
|
|
| Schneider National Inc. Class B |
| 4,377 |
| 74 |
|
* |
| Modine Manufacturing Co. |
| 5,327 |
| 68 |
|
|
| Toro Co. |
| 1,036 |
| 67 |
|
* |
| Vishay Precision Group Inc. |
| 1,859 |
| 67 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| CBIZ Inc. |
| 3,341 |
| 66 |
|
* |
| TrueBlue Inc. |
| 3,087 |
| 66 |
|
|
| Matson Inc. |
| 1,906 |
| 65 |
|
* |
| JetBlue Airways Corp. |
| 3,768 |
| 65 |
|
* |
| Casella Waste Systems Inc. Class A |
| 1,648 |
| 64 |
|
|
| Kelly Services Inc. Class A |
| 2,713 |
| 64 |
|
* |
| Atkore International Group Inc. |
| 2,614 |
| 61 |
|
* |
| Frontline Ltd. |
| 7,756 |
| 61 |
|
|
| Herman Miller Inc. |
| 1,693 |
| 60 |
|
|
| MSC Industrial Direct Co. Inc. Class A |
| 842 |
| 59 |
|
|
| Robert Half International Inc. |
| 1,094 |
| 59 |
|
* |
| Sykes Enterprises Inc. |
| 2,285 |
| 57 |
|
|
| Forward Air Corp. |
| 1,013 |
| 57 |
|
|
| Booz Allen Hamilton Holding Corp. Class A |
| 882 |
| 56 |
|
|
| Navigant Consulting Inc. |
| 2,480 |
| 55 |
|
|
| Triton International Ltd. |
| 1,803 |
| 53 |
|
|
| Franklin Electric Co. Inc. |
| 1,174 |
| 51 |
|
|
| Hillenbrand Inc. |
| 1,356 |
| 50 |
|
* |
| Aegion Corp. Class A |
| 3,449 |
| 50 |
|
* |
| OSI Systems Inc. |
| 479 |
| 50 |
|
|
| MSA Safety Inc. |
| 498 |
| 49 |
|
|
| PACCAR Inc. |
| 737 |
| 48 |
|
* |
| Keysight Technologies Inc. |
| 642 |
| 48 |
|
|
| ICF International Inc. |
| 654 |
| 48 |
|
* |
| Conduent Inc. |
| 5,327 |
| 47 |
|
|
| Badger Meter Inc. |
| 896 |
| 47 |
|
* |
| Aerojet Rocketdyne Holdings Inc. |
| 1,218 |
| 47 |
|
|
| ESCO Technologies Inc. |
| 659 |
| 46 |
|
|
| 3M Co. |
| 288 |
| 46 |
|
|
| HNI Corp. |
| 1,380 |
| 46 |
|
|
| Marten Transport Ltd. |
| 2,551 |
| 45 |
|
|
| McGrath RentCorp |
| 785 |
| 44 |
|
|
| ManpowerGroup Inc. |
| 512 |
| 44 |
|
* |
| Hub Group Inc. Class A |
| 1,115 |
| 43 |
|
|
| Ennis Inc. |
| 2,304 |
| 43 |
|
* |
| Huron Consulting Group Inc. |
| 860 |
| 42 |
|
|
| Kaman Corp. |
| 761 |
| 42 |
|
|
| ACCO Brands Corp. |
| 5,663 |
| 42 |
|
|
| Kennametal Inc. |
| 1,256 |
| 39 |
|
|
| Huntington Ingalls Industries Inc. |
| 187 |
| 38 |
|
|
| AAR Corp. |
| 1,264 |
| 38 |
|
* |
| MYR Group Inc. |
| 1,148 |
| 37 |
|
|
| Moog Inc. Class A |
| 444 |
| 37 |
|
|
| Tetra Tech Inc. |
| 524 |
| 35 |
|
* |
| Blue Bird Corp. |
| 1,835 |
| 35 |
|
|
| Rollins Inc. |
| 831 |
| 31 |
|
|
| ABM Industries Inc. |
| 743 |
| 27 |
|
* |
| Sterling Construction Co. Inc. |
| 1,960 |
| 23 |
|
|
| Union Pacific Corp. |
| 119 |
| 20 |
|
|
| CRA International Inc. |
| 529 |
| 20 |
|
* |
| Darling Ingredients Inc. |
| 1,040 |
| 20 |
|
|
|
|
|
|
| 11,199 |
|
Technology (10.8%) |
|
|
|
|
| ||
|
| Intel Corp. |
| 15,004 |
| 661 |
|
|
| Cisco Systems Inc. |
| 8,948 |
| 466 |
|
|
| Intuit Inc. |
| 1,645 |
| 403 |
|
|
| Lam Research Corp. |
| 1,640 |
| 286 |
|
* |
| Fortinet Inc. |
| 3,899 |
| 283 |
|
|
| NXP Semiconductors NV |
| 3,077 |
| 271 |
|
|
| Hewlett Packard Enterprise Co. |
| 18,800 |
| 258 |
|
* |
| Diodes Inc. |
| 8,207 |
| 254 |
|
* |
| Qorvo Inc. |
| 4,090 |
| 250 |
|
|
| HP Inc. |
| 13,034 |
| 244 |
|
|
| Avnet Inc. |
| 5,714 |
| 233 |
|
|
| International Business Machines Corp. |
| 1,692 |
| 215 |
|
* |
| Insight Enterprises Inc. |
| 4,144 |
| 213 |
|
|
| Texas Instruments Inc. |
| 1,895 |
| 198 |
|
* |
| ON Semiconductor Corp. |
| 10,766 |
| 191 |
|
* |
| Atlassian Corp. plc Class A |
| 1,450 |
| 183 |
|
|
| Vishay Intertechnology Inc. |
| 10,824 |
| 165 |
|
* |
| Amkor Technology Inc. |
| 24,949 |
| 162 |
|
* |
| Paycom Software Inc. |
| 748 |
| 159 |
|
|
| VMware Inc. Class A |
| 889 |
| 157 |
|
|
| NetApp Inc. |
| 2,612 |
| 155 |
|
* |
| SPS Commerce Inc. |
| 1,318 |
| 134 |
|
* |
| Qualys Inc. |
| 1,417 |
| 126 |
|
|
| Oracle Corp. |
| 2,372 |
| 120 |
|
* |
| Cadence Design Systems Inc. |
| 1,816 |
| 115 |
|
* |
| Arista Networks Inc. |
| 458 |
| 112 |
|
* |
| Akamai Technologies Inc. |
| 1,433 |
| 108 |
|
* |
| Alarm.com Holdings Inc. |
| 1,785 |
| 104 |
|
* |
| Photronics Inc. |
| 12,697 |
| 103 |
|
* |
| Ciena Corp. |
| 2,876 |
| 101 |
|
* |
| F5 Networks Inc. |
| 753 |
| 99 |
|
* |
| Cirrus Logic Inc. |
| 2,646 |
| 99 |
|
* |
| IAC/InterActiveCorp |
| 444 |
| 98 |
|
* |
| Fabrinet |
| 2,219 |
| 95 |
|
|
| Jabil Inc. |
| 3,723 |
| 92 |
|
* |
| Lattice Semiconductor Corp. |
| 7,146 |
| 91 |
|
* |
| Tech Data Corp. |
| 952 |
| 86 |
|
|
| Xilinx Inc. |
| 825 |
| 84 |
|
U.S. Multifactor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Perficient Inc. |
| 2,755 |
| 84 |
|
|
| Juniper Networks Inc. |
| 3,371 |
| 83 |
|
* |
| Unisys Corp. |
| 7,755 |
| 75 |
|
|
| TE Connectivity Ltd. |
| 836 |
| 70 |
|
* |
| NETGEAR Inc. |
| 2,654 |
| 67 |
|
* |
| Nanometrics Inc. |
| 2,247 |
| 64 |
|
|
| CDW Corp. |
| 639 |
| 63 |
|
* |
| Sanmina Corp. |
| 2,170 |
| 58 |
|
|
| PC Connection Inc. |
| 1,786 |
| 57 |
|
* |
| Appfolio Inc. |
| 579 |
| 56 |
|
* |
| Axcelis Technologies Inc. |
| 3,654 |
| 54 |
|
|
| NIC Inc. |
| 3,367 |
| 54 |
|
* |
| Teradata Corp. |
| 1,557 |
| 53 |
|
|
| KLA-Tencor Corp. |
| 474 |
| 49 |
|
* |
| Manhattan Associates Inc. |
| 738 |
| 48 |
|
|
| Motorola Solutions Inc. |
| 315 |
| 47 |
|
* |
| FormFactor Inc. |
| 3,056 |
| 44 |
|
* |
| Knowles Corp. |
| 2,604 |
| 41 |
|
|
| AVX Corp. |
| 2,692 |
| 40 |
|
* |
| Workiva Inc. |
| 701 |
| 39 |
|
|
| Corning Inc. |
| 1,317 |
| 38 |
|
* |
| Semtech Corp. |
| 914 |
| 36 |
|
|
| Ubiquiti Networks Inc. |
| 281 |
| 34 |
|
* |
| LiveRamp Holdings Inc. |
| 612 |
| 31 |
|
|
| DXC Technology Co. |
| 661 |
| 31 |
|
* |
| Tucows Inc. Class A |
| 523 |
| 31 |
|
* |
| ScanSource Inc. |
| 1,043 |
| 30 |
|
* |
| CommVault Systems Inc. |
| 628 |
| 29 |
|
* |
| Yext Inc. |
| 976 |
| 18 |
|
|
| Skyworks Solutions Inc. |
| 243 |
| 16 |
|
|
|
|
|
|
| 8,614 |
|
Utilities (7.3%) |
|
|
|
|
| ||
|
| Exelon Corp. |
| 15,713 |
| 755 |
|
* |
| T-Mobile US Inc. |
| 8,057 |
| 592 |
|
|
| Verizon Communications Inc. |
| 9,809 |
| 533 |
|
|
| American Electric Power Co. Inc. |
| 5,150 |
| 444 |
|
|
| Southern Co. |
| 7,705 |
| 412 |
|
|
| Duke Energy Corp. |
| 4,509 |
| 386 |
|
|
| Hawaiian Electric Industries Inc. |
| 8,264 |
| 343 |
|
|
| OGE Energy Corp. |
| 7,579 |
| 315 |
|
|
| ONE Gas Inc. |
| 3,137 |
| 275 |
|
|
| j2 Global Inc. |
| 2,875 |
| 242 |
|
|
| Portland General Electric Co. |
| 4,478 |
| 237 |
|
|
| Public Service Enterprise Group Inc. |
| 3,434 |
| 202 |
|
|
| AES Corp. |
| 9,760 |
| 154 |
|
|
| CenterPoint Energy Inc. |
| 5,230 |
| 149 |
|
|
| Xcel Energy Inc. |
| 2,465 |
| 141 |
|
|
| Ameren Corp. |
| 1,591 |
| 117 |
|
|
| FirstEnergy Corp. |
| 2,257 |
| 93 |
|
|
| Black Hills Corp. |
| 1,146 |
| 87 |
|
* |
| United States Cellular Corp. |
| 1,973 |
| 86 |
|
|
| Pinnacle West Capital Corp. |
| 780 |
| 73 |
|
|
| Telephone & Data Systems Inc. |
| 2,169 |
| 62 |
|
|
| PPL Corp. |
| 2,045 |
| 61 |
|
|
| Otter Tail Corp. |
| 900 |
| 45 |
|
|
| NorthWestern Corp. |
| 581 |
| 41 |
|
|
|
|
|
|
| 5,845 |
|
Total Common Stocks |
|
|
|
|
| ||
(Cost $83,754) |
|
|
| 79,644 |
| ||
Temporary Cash Investment (0.3%)1 |
|
|
|
|
| ||
Money Market Fund (0.3%) |
|
|
|
|
| ||
2 |
| Vanguard Market Liquidity Fund, 2.527% (Cost $218) |
| 2,177 |
| 218 |
|
Total Investments (99.8%) |
|
|
|
|
| ||
(Cost $83,972) |
|
|
| 79,862 |
|
U.S. Multifactor ETF
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 4 |
|
Receivables for Accrued Income |
| 181 |
|
Other Assets3 |
| 23 |
|
Total Other Assets |
| 208 |
|
Liabilities |
|
|
|
Payables for Investment Securities Purchased |
| (1 | ) |
Payables to Vanguard |
| (7 | ) |
Variation Margin Payable—Futures Contracts |
| (5 | ) |
Total Liabilities |
| (13 | ) |
Net Assets (100%) |
|
|
|
Applicable to 1,125,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 80,057 |
|
Net Asset Value Per Share |
| $71.16 |
|
At May 31, 2019, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 88,875 |
|
Total Distributable Earnings (Loss) |
| (8,818 | ) |
Net Assets |
| 80,057 |
|
· 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 $22,000 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 |
| June 2019 |
| 2 |
| 147 |
| (6 | ) |
E-mini S&P 500 Index |
| June 2019 |
| 1 |
| 138 |
| (7 | ) |
Micro E-mini S&P 500 Index |
| June 2019 |
| 8 |
| 110 |
| (3 | ) |
|
|
|
|
|
|
|
| (16 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Statement of Operations
|
| Six Months Ended |
|
|
| May 31, 2019 |
|
|
| ($000 | ) |
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
| 883 |
|
Interest1 |
| 4 |
|
Total Income |
| 887 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
| — |
|
Management and Administrative |
| 69 |
|
Marketing and Distribution |
| — |
|
Custodian Fees |
| — |
|
Shareholders’ Reports |
| 3 |
|
Total Expenses |
| 72 |
|
Expenses Paid Indirectly |
| — |
|
Net Expenses |
| 72 |
|
Net Investment Income |
| 815 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1 |
| (3,611 | ) |
Futures Contracts |
| (4 | ) |
Realized Net Gain (Loss) |
| (3,615 | ) |
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
| (1,805 | ) |
Futures Contracts |
| (15 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (1,820 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (4,620 | ) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $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. Multifactor ETF
Statement of Changes in Net Assets
|
|
|
| February 13, |
|
|
| Six Months Ended |
| 20181 to |
|
|
| May 31, |
| November 30, |
|
|
| 2019 |
| 2018 |
|
|
| ($000) |
| ($000 | ) |
Increase (Decrease) in Net Assets |
|
|
|
|
|
Operations |
|
|
|
|
|
Net Investment Income |
| 815 |
| 603 |
|
Realized Net Gain (Loss) |
| (3,615) |
| (1,399 | ) |
Change in Unrealized Appreciation (Depreciation) |
| (1,820) |
| (2,306 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| (4,620) |
| (3,102 | ) |
Distributions |
|
|
|
|
|
Net Investment Income |
| (727) |
| (369 | ) |
Realized Capital Gain |
| — |
| — |
|
Total Distributions |
| (727) |
| (369 | ) |
Capital Share Transactions |
|
|
|
|
|
Issued |
| 9,333 |
| 83,259 |
|
Issued in Lieu of Cash Distributions |
| — |
| — |
|
Redeemed |
| — |
| (3,717 | ) |
Net Increase (Decrease) from Capital Share Transactions |
| 9,333 |
| 79,542 |
|
Total Increase (Decrease) |
| 3,986 |
| 76,071 |
|
Net Assets |
|
|
|
|
|
Beginning of Period |
| 76,071 |
| — |
|
End of Period |
| 80,057 |
| 76,071 |
|
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor ETF
Financial Highlights
|
| Six Months |
| Feb. 13, |
|
|
| Ended |
| 20181 to |
|
|
| May 31, |
| Nov. 30, |
|
For a Share Outstanding Throughout Each Period |
| 2019 |
| 2018 |
|
Net Asset Value, Beginning of Period |
| $76.07 |
| $75.00 |
|
Investment Operations |
|
|
|
|
|
Net Investment Income2 |
| .744 |
| 1.007 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
| (4.978 | ) | .543 |
|
Total from Investment Operations |
| (4.234 | ) | 1.550 |
|
Distributions |
|
|
|
|
|
Dividends from Net Investment Income |
| (.676 | ) | (.480 | ) |
Distributions from Realized Capital Gains |
| — |
| — |
|
Total Distributions |
| (.676 | ) | (.480 | ) |
Net Asset Value, End of Period |
| $71.16 |
| $76.07 |
|
|
|
|
|
|
|
Total Return |
| -5.56% |
| 2.03% |
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) |
| $80 |
| $76 |
|
Ratio of Total Expenses to Average Net Assets |
| 0.18% |
| 0.18%3 |
|
Ratio of Net Investment Income to Average Net Assets |
| 1.90% |
| 1.59%3 |
|
Portfolio Turnover Rate |
| 109% |
| 64% |
|
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, the fund had contributed to Vanguard capital in the amount of $4,000, 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. 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 May 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by less than $500 (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.
U.S. Multifactor ETF
At May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
E. As of May 31, 2019, 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 | 83,972 |
|
Gross Unrealized Appreciation | 3,833 |
|
Gross Unrealized Depreciation | (7,959 | ) |
Net Unrealized Appreciation (Depreciation) | (4,126 | ) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $1,400,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended May 31, 2019, the fund purchased $52,866,000 of investment securities and sold $43,369,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
|
| Six Months Ended |
| February 13, 20181 to |
|
|
| May 31, 2019 |
| November 30, 2018 |
|
|
| Shares |
| Shares |
|
|
| (000) |
| (000 | ) |
Issued |
| 125 |
| 1,050 |
|
Issued in Lieu of Cash Distributions |
| — |
| — |
|
Redeemed |
| — |
| (50 | ) |
Net Increase (Decrease) |
| 125 |
| 1,000 |
|
1 Inception.
H. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
U.S. Quality Factor ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary | 26.9 | % |
Consumer Staples | 5.3 |
|
Energy | 2.4 |
|
Financial Services | 18.4 |
|
Health Care | 12.5 |
|
Materials & Processing | 3.6 |
|
Other | 0.1 |
|
Producer Durables | 16.1 |
|
Technology | 14.6 |
|
Utilities | 0.1 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.4%)1 |
|
|
|
|
| ||
Consumer Discretionary (26.7%) |
|
|
|
|
| ||
|
| Estee Lauder Cos. Inc. Class A |
| 1,556 |
| 251 |
|
|
| Costco Wholesale Corp. |
| 955 |
| 229 |
|
|
| TJX Cos. Inc. |
| 4,427 |
| 223 |
|
|
| Ross Stores Inc. |
| 2,359 |
| 219 |
|
|
| Starbucks Corp. |
| 2,772 |
| 211 |
|
|
| NIKE Inc. Class B |
| 2,501 |
| 193 |
|
|
| Dollar General Corp. |
| 1,457 |
| 185 |
|
* |
| Booking Holdings Inc. |
| 105 |
| 174 |
|
|
| Lowe’s Cos. Inc. |
| 1,782 |
| 166 |
|
|
| Walmart Inc. |
| 1,607 |
| 163 |
|
|
| VF Corp. |
| 1,677 |
| 137 |
|
|
| Target Corp. |
| 1,523 |
| 123 |
|
|
| eBay Inc. |
| 3,167 |
| 114 |
|
|
| Home Depot Inc. |
| 595 |
| 113 |
|
|
| Oxford Industries Inc. |
| 910 |
| 65 |
|
* |
| Deckers Outdoor Corp. |
| 380 |
| 58 |
|
* |
| Amazon.com Inc. |
| 30 |
| 53 |
|
* |
| Lululemon Athletica Inc. |
| 301 |
| 50 |
|
* |
| Rent-A-Center Inc. |
| 2,088 |
| 50 |
|
|
| Williams-Sonoma Inc. |
| 790 |
| 46 |
|
* |
| Five Below Inc. |
| 357 |
| 46 |
|
* |
| Ulta Beauty Inc. |
| 137 |
| 46 |
|
|
| Autoliv Inc. |
| 706 |
| 43 |
|
|
| Thor Industries Inc. |
| 815 |
| 42 |
|
* |
| Zumiez Inc. |
| 1,970 |
| 39 |
|
|
| Best Buy Co. Inc. |
| 614 |
| 38 |
|
* |
| TripAdvisor Inc. |
| 897 |
| 38 |
|
* |
| Dollar Tree Inc. |
| 365 |
| 37 |
|
|
| American Eagle Outfitters Inc. |
| 2,128 |
| 37 |
|
|
| Yum China Holdings Inc. |
| 894 |
| 36 |
|
|
| Tractor Supply Co. |
| 336 |
| 34 |
|
|
| Advance Auto Parts Inc. |
| 214 |
| 33 |
|
* |
| Urban Outfitters Inc. |
| 1,470 |
| 33 |
|
* |
| Career Education Corp. |
| 1,741 |
| 33 |
|
* |
| Burlington Stores Inc. |
| 207 |
| 32 |
|
|
| Gentex Corp. |
| 1,486 |
| 32 |
|
|
| Garmin Ltd. |
| 415 |
| 32 |
|
|
| Expedia Group Inc. |
| 271 |
| 31 |
|
|
| Ralph Lauren Corp. Class A |
| 295 |
| 31 |
|
|
| Macy’s Inc. |
| 1,503 |
| 31 |
|
|
| Scholastic Corp. |
| 928 |
| 31 |
|
* |
| Noodles & Co. Class A |
| 4,089 |
| 30 |
|
* |
| Ascena Retail Group Inc. |
| 27,854 |
| 29 |
|
|
| Bed Bath & Beyond Inc. |
| 2,203 |
| 28 |
|
|
| Columbia Sportswear Co. |
| 296 |
| 28 |
|
|
| Johnson Outdoors Inc. Class A |
| 367 |
| 27 |
|
|
| Gannett Co. Inc. |
| 3,446 |
| 27 |
|
|
| Foot Locker Inc. |
| 687 |
| 27 |
|
|
| Haverty Furniture Cos. Inc. |
| 1,548 |
| 27 |
|
|
| Cheesecake Factory Inc. |
| 621 |
| 27 |
|
|
| Gap Inc. |
| 1,430 |
| 27 |
|
* |
| Helen of Troy Ltd. |
| 198 |
| 26 |
|
|
| Steven Madden Ltd. |
| 874 |
| 26 |
|
|
| Kohl’s Corp. |
| 533 |
| 26 |
|
* |
| Etsy Inc. |
| 415 |
| 26 |
|
* |
| K12 Inc. |
| 843 |
| 26 |
|
|
| Shutterstock Inc. |
| 668 |
| 25 |
|
* |
| Genesco Inc. |
| 564 |
| 25 |
|
|
| Ethan Allen Interiors Inc. |
| 1,194 |
| 25 |
|
* |
| Capri Holdings Ltd. |
| 780 |
| 25 |
|
|
| Children’s Place Inc. |
| 272 |
| 25 |
|
|
| Buckle Inc. |
| 1,674 |
| 25 |
|
|
| Callaway Golf Co. |
| 1,713 |
| 25 |
|
|
| Tiffany & Co. |
| 282 |
| 25 |
|
* |
| Dorman Products Inc. |
| 307 |
| 25 |
|
* |
| Henry Schein Inc. |
| 388 |
| 25 |
|
|
| Cato Corp. Class A |
| 2,001 |
| 25 |
|
|
| Nordstrom Inc. |
| 779 |
| 24 |
|
* |
| Meritor Inc. |
| 1,209 |
| 24 |
|
* |
| Grand Canyon Education Inc. |
| 203 |
| 24 |
|
* |
| Vera Bradley Inc. |
| 2,218 |
| 24 |
|
|
| Dick’s Sporting Goods Inc. |
| 694 |
| 24 |
|
* |
| Red Robin Gourmet Burgers Inc. |
| 932 |
| 24 |
|
|
| PulteGroup Inc. |
| 764 |
| 24 |
|
|
| Acushnet Holdings Corp. |
| 991 |
| 23 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| New York Times Co. Class A |
| 726 |
| 23 |
|
|
| Guess? Inc. |
| 1,406 |
| 23 |
|
|
| Lear Corp. |
| 191 |
| 23 |
|
* |
| AutoZone Inc. |
| 22 |
| 23 |
|
|
| Cracker Barrel Old Country Store Inc. |
| 142 |
| 22 |
|
* |
| Ollie’s Bargain Outlet Holdings Inc. |
| 223 |
| 22 |
|
* |
| Murphy USA Inc. |
| 273 |
| 22 |
|
|
| Genuine Parts Co. |
| 221 |
| 22 |
|
|
| Tapestry Inc. |
| 759 |
| 22 |
|
|
| Darden Restaurants Inc. |
| 186 |
| 22 |
|
|
| Standard Motor Products Inc. |
| 491 |
| 21 |
|
* |
| Trade Desk Inc. Class A |
| 103 |
| 20 |
|
|
| Carter’s Inc. |
| 242 |
| 20 |
|
|
| Whirlpool Corp. |
| 177 |
| 20 |
|
* |
| Stoneridge Inc. |
| 777 |
| 20 |
|
|
| World Wrestling Entertainment Inc. Class A |
| 277 |
| 20 |
|
|
| Citi Trends Inc. |
| 1,468 |
| 20 |
|
|
| Dillard’s Inc. Class A |
| 353 |
| 20 |
|
|
| Abercrombie & Fitch Co. |
| 1,154 |
| 20 |
|
|
| Movado Group Inc. |
| 773 |
| 20 |
|
* |
| Sally Beauty Holdings Inc. |
| 1,294 |
| 20 |
|
* |
| Cavco Industries Inc. |
| 136 |
| 20 |
|
|
| Monro Inc. |
| 242 |
| 19 |
|
* |
| Fitbit Inc. Class A |
| 4,139 |
| 19 |
|
|
| PriceSmart Inc. |
| 394 |
| 19 |
|
|
| Shoe Carnival Inc. |
| 744 |
| 19 |
|
* |
| Hibbett Sports Inc. |
| 862 |
| 19 |
|
|
| Big Lots Inc. |
| 688 |
| 19 |
|
|
| Inter Parfums Inc. |
| 293 |
| 19 |
|
* |
| Discovery Communications Inc. Class A |
| 693 |
| 19 |
|
|
| H&R Block Inc. |
| 710 |
| 19 |
|
|
| Barnes & Noble Inc. |
| 4,192 |
| 18 |
|
|
| Signet Jewelers Ltd. |
| 957 |
| 18 |
|
* |
| Sleep Number Corp. |
| 514 |
| 18 |
|
* |
| Potbelly Corp. |
| 3,543 |
| 18 |
|
|
| Meredith Corp. |
| 340 |
| 18 |
|
* |
| Crocs Inc. |
| 905 |
| 18 |
|
* |
| Express Inc. |
| 5,786 |
| 17 |
|
* |
| Duluth Holdings Inc. |
| 1,164 |
| 17 |
|
|
| Tilly’s Inc. Class A |
| 2,200 |
| 17 |
|
|
| Aaron’s Inc. |
| 313 |
| 17 |
|
|
| GameStop Corp. Class A |
| 2,161 |
| 16 |
|
|
| Hasbro Inc. |
| 172 |
| 16 |
|
* |
| Barnes & Noble Education Inc. |
| 5,140 |
| 16 |
|
* |
| 1-800-Flowers.com Inc. Class A |
| 891 |
| 16 |
|
* |
| Funko Inc. Class A |
| 777 |
| 16 |
|
* |
| Fossil Group Inc. |
| 1,646 |
| 16 |
|
* |
| Under Armour Inc. Class A |
| 705 |
| 16 |
|
|
| National Presto Industries Inc. |
| 164 |
| 16 |
|
* |
| Liberty TripAdvisor Holdings Inc. Class A |
| 1,504 |
| 16 |
|
|
| BJ’s Restaurants Inc. |
| 375 |
| 16 |
|
|
| La-Z-Boy Inc. |
| 476 |
| 15 |
|
* |
| Boot Barn Holdings Inc. |
| 586 |
| 15 |
|
|
| Chico’s FAS Inc. |
| 4,508 |
| 15 |
|
|
| Designer Brands Inc. Class A |
| 829 |
| 15 |
|
* |
| Gentherm Inc. |
| 401 |
| 15 |
|
* |
| O’Reilly Automotive Inc. |
| 40 |
| 15 |
|
|
| Superior Industries International Inc. |
| 4,001 |
| 15 |
|
* |
| Lumber Liquidators Holdings Inc. |
| 1,535 |
| 15 |
|
|
| Tile Shop Holdings Inc. |
| 3,518 |
| 15 |
|
* |
| Adtalem Global Education Inc. |
| 319 |
| 14 |
|
|
| Wingstop Inc. |
| 172 |
| 14 |
|
* |
| Skechers U.S.A. Inc. Class A |
| 480 |
| 13 |
|
* |
| NVR Inc. |
| 4 |
| 13 |
|
* |
| Universal Electronics Inc. |
| 322 |
| 13 |
|
|
| L Brands Inc. |
| 558 |
| 13 |
|
* |
| Fiesta Restaurant Group Inc. |
| 860 |
| 12 |
|
|
| Brinker International Inc. |
| 320 |
| 12 |
|
* |
| ZAGG Inc. |
| 1,775 | �� | 12 |
|
* |
| Tempur Sealy International Inc. |
| 185 |
| 12 |
|
|
| PVH Corp. |
| 135 |
| 12 |
|
* |
| Francesca’s Holdings Corp. |
| 24,102 |
| 12 |
|
* |
| Container Store Group Inc. |
| 1,626 |
| 11 |
|
* |
| Fox Factory Holding Corp. |
| 169 |
| 11 |
|
|
| LCI Industries |
| 133 |
| 11 |
|
|
| BorgWarner Inc. |
| 306 |
| 11 |
|
* |
| G-III Apparel Group Ltd. |
| 418 |
| 11 |
|
* |
| RH |
| 119 |
| 10 |
|
* |
| Overstock.com Inc. |
| 1,060 |
| 10 |
|
* |
| Stamps.com Inc. |
| 289 |
| 10 |
|
* |
| WideOpenWest Inc. |
| 1,283 |
| 10 |
|
|
| John Wiley & Sons Inc. Class A |
| 226 |
| 9 |
|
|
| Cooper Tire & Rubber Co. |
| 342 |
| 9 |
|
* |
| American Public Education Inc. |
| 337 |
| 9 |
|
* |
| American Woodmark Corp. |
| 128 |
| 9 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Care.com Inc. |
| 643 |
| 9 |
|
* |
| elf Beauty Inc. |
| 896 |
| 9 |
|
|
| Cable One Inc. |
| 8 |
| 9 |
|
* |
| Conn’s Inc. |
| 491 |
| 9 |
|
|
| Ruth’s Hospitality Group Inc. |
| 368 |
| 8 |
|
* |
| Pier 1 Imports Inc. |
| 13,891 |
| 8 |
|
|
| Caleres Inc. |
| 405 |
| 8 |
|
* |
| Wayfair Inc. |
| 52 |
| 8 |
|
* |
| Regis Corp. |
| 378 |
| 7 |
|
* |
| Kontoor Brands Inc. |
| 239 |
| 7 |
|
|
| Papa John’s International Inc. |
| 144 |
| 7 |
|
|
| Dave & Buster’s |
|
|
|
|
|
|
| Entertainment Inc. |
| 139 |
| 7 |
|
* |
| JC Penney Co. Inc. |
| 7,000 |
| 6 |
|
|
| Wolverine World Wide Inc. |
| 205 |
| 6 |
|
* |
| Visteon Corp. |
| 128 |
| 6 |
|
|
| Winnebago Industries Inc. |
| 175 |
| 6 |
|
|
| J. Jill Inc. |
| 3,373 |
| 5 |
|
* |
| Habit Restaurants Inc. Class A |
| 468 |
| 5 |
|
|
| Tailored Brands Inc. |
| 172 |
| 1 |
|
|
|
|
|
|
| 5,972 |
|
Consumer Staples (5.3%) |
|
|
|
|
| ||
* |
| Monster Beverage Corp. |
| 3,864 |
| 239 |
|
|
| Walgreens Boots Alliance Inc. |
| 2,825 |
| 139 |
|
|
| Sysco Corp. |
| 2,015 |
| 139 |
|
|
| Kimberly-Clark Corp. |
| 552 |
| 71 |
|
|
| National Beverage Corp. |
| 1,178 |
| 53 |
|
* |
| Performance Food Group Co. |
| 852 |
| 34 |
|
|
| Weis Markets Inc. |
| 853 |
| 32 |
|
|
| Tootsie Roll Industries Inc. |
| 796 |
| 30 |
|
|
| Flowers Foods Inc. |
| 1,315 |
| 29 |
|
* |
| Boston Beer Co. Inc. Class A |
| 89 |
| 28 |
|
|
| Cal-Maine Foods Inc. |
| 727 |
| 27 |
|
|
| J&J Snack Foods Corp. |
| 160 |
| 26 |
|
|
| Lancaster Colony Corp. |
| 177 |
| 26 |
|
|
| Kroger Co. |
| 1,111 |
| 25 |
|
|
| Core-Mark Holding Co. Inc. |
| 679 |
| 25 |
|
|
| Ingles Markets Inc. Class A |
| 797 |
| 24 |
|
|
| Church & Dwight Co. Inc. |
| 310 |
| 23 |
|
|
| SpartanNash Co. |
| 1,798 |
| 21 |
|
|
| Nu Skin Enterprises Inc. Class A |
| 416 |
| 19 |
|
|
| Ingredion Inc. |
| 246 |
| 19 |
|
* |
| Freshpet Inc. |
| 393 |
| 18 |
|
|
| Medifast Inc. |
| 130 |
| 17 |
|
|
| Coca-Cola Consolidated Inc. |
| 53 |
| 16 |
|
|
| PetMed Express Inc. |
| 854 |
| 15 |
|
|
| John B Sanfilippo & Son Inc. |
| 189 |
| 15 |
|
* |
| USANA Health Sciences Inc. |
| 199 |
| 14 |
|
|
| Hormel Foods Corp. |
| 338 |
| 13 |
|
|
| Calavo Growers Inc. |
| 147 |
| 13 |
|
* |
| Natural Grocers by Vitamin Cottage Inc. |
| 1,182 |
| 12 |
|
|
| Casey’s General Stores Inc. |
| 73 |
| 9 |
|
* |
| Sprouts Farmers Market Inc. |
| 285 |
| 6 |
|
|
|
|
|
|
| 1,177 |
|
Energy (2.4%) |
|
|
|
|
| ||
|
| ConocoPhillips |
| 1,863 |
| 110 |
|
* |
| Enphase Energy Inc. |
| 2,499 |
| 38 |
|
|
| EOG Resources Inc. |
| 454 |
| 37 |
|
|
| RPC Inc. |
| 4,201 |
| 31 |
|
|
| Chevron Corp. |
| 274 |
| 31 |
|
|
| Cabot Oil & Gas Corp. |
| 1,166 |
| 29 |
|
|
| Mammoth Energy Services Inc. |
| 2,521 |
| 27 |
|
* |
| C&J Energy Services Inc. |
| 1,703 |
| 20 |
|
* |
| FTS International Inc. |
| 3,064 |
| 19 |
|
|
| Liberty Oilfield Services Inc. Class A |
| 1,443 |
| 18 |
|
|
| Arch Coal Inc. Class A |
| 198 |
| 18 |
|
* |
| Cactus Inc. Class A |
| 532 |
| 17 |
|
* |
| Apergy Corp. |
| 508 |
| 16 |
|
* |
| NOW Inc. |
| 1,145 |
| 15 |
|
|
| Solaris Oilfield Infrastructure Inc. Class A |
| 984 |
| 14 |
|
* |
| Matrix Service Co. |
| 671 |
| 12 |
|
* |
| ION Geophysical Corp. |
| 1,661 |
| 11 |
|
* |
| ProPetro Holding Corp. |
| 522 |
| 10 |
|
|
| Warrior Met Coal Inc. |
| 371 |
| 10 |
|
* |
| SandRidge Energy Inc. |
| 1,324 |
| 9 |
|
|
| Peabody Energy Corp. |
| 368 |
| 9 |
|
* |
| Southwestern Energy Co. |
| 2,328 |
| 8 |
|
* |
| Keane Group Inc. |
| 989 |
| 7 |
|
* |
| W&T Offshore Inc. |
| 1,690 |
| 7 |
|
* |
| Superior Energy Services Inc. |
| 2,234 |
| 4 |
|
|
|
|
|
|
| 527 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Financial Services (18.3%) |
|
|
|
|
| ||
|
| Mastercard Inc. Class A |
| 665 |
| 167 |
|
* |
| PayPal Holdings Inc. |
| 1,509 |
| 166 |
|
|
| Wells Fargo & Co. |
| 3,375 |
| 150 |
|
|
| S&P Global Inc. |
| 682 |
| 146 |
|
|
| Moody’s Corp. |
| 766 |
| 140 |
|
|
| Simon Property Group Inc. |
| 762 |
| 124 |
|
|
| Visa Inc. Class A |
| 455 |
| 73 |
|
|
| JPMorgan Chase & Co. |
| 683 |
| 72 |
|
|
| Aon plc |
| 395 |
| 71 |
|
|
| Raymond James Financial Inc. |
| 824 |
| 68 |
|
|
| PacWest Bancorp |
| 1,761 |
| 64 |
|
|
| MSCI Inc. Class A |
| 279 |
| 61 |
|
|
| Bank of Hawaii Corp. |
| 801 |
| 61 |
|
|
| PNC Financial Services Group Inc. |
| 474 |
| 60 |
|
* |
| Western Alliance Bancorp |
| 1,430 |
| 59 |
|
|
| Citizens Financial Group Inc. |
| 1,717 |
| 56 |
|
|
| Regions Financial Corp. |
| 3,768 |
| 52 |
|
|
| First Hawaiian Inc. |
| 2,044 |
| 51 |
|
|
| Comerica Inc. |
| 736 |
| 51 |
|
|
| Meridian Bancorp Inc. |
| 2,899 |
| 50 |
|
|
| Trustmark Corp. |
| 1,511 |
| 48 |
|
|
| First Citizens BancShares Inc.Class A |
| 114 |
| 48 |
|
|
| LPL Financial Holdings Inc. |
| 575 |
| 46 |
|
|
| NBT Bancorp Inc. |
| 1,248 |
| 45 |
|
|
| Bank of NT Butterfield & Son Ltd. |
| 1,260 |
| 42 |
|
|
| FactSet Research Systems Inc. |
| 142 |
| 40 |
|
|
| Hanmi Financial Corp. |
| 1,897 |
| 39 |
|
|
| Santander Consumer USA Holdings Inc. |
| 1,731 |
| 39 |
|
|
| Evercore Inc. Class A |
| 474 |
| 37 |
|
* |
| Credit Acceptance Corp. |
| 79 |
| 36 |
|
|
| Synchrony Financial |
| 1,054 |
| 35 |
|
|
| Affiliated Managers Group Inc. |
| 400 |
| 34 |
|
|
| Erie Indemnity Co. Class A |
| 156 |
| 33 |
|
|
| Central Pacific Financial Corp. |
| 1,190 |
| 33 |
|
* |
| St. Joe Co. |
| 2,021 |
| 32 |
|
|
| FirstCash Inc. |
| 316 |
| 30 |
|
|
| Commerce Bancshares Inc. |
| 521 |
| 30 |
|
|
| Ameriprise Financial Inc. |
| 215 |
| 30 |
|
* |
| Customers Bancorp Inc. |
| 1,498 |
| 30 |
|
* |
| Health Insurance Innovations Inc. Class A |
| 1,073 |
| 28 |
|
|
| Lazard Ltd. Class A |
| 886 |
| 28 |
|
|
| CNO Financial Group Inc. |
| 1,692 |
| 27 |
|
|
| HCI Group Inc. |
| 649 |
| 26 |
|
* |
| Altisource Portfolio Solutions SA |
| 1,306 |
| 26 |
|
|
| M&T Bank Corp. |
| 162 |
| 26 |
|
|
| Waddell & Reed Financial Inc. Class A |
| 1,575 |
| 25 |
|
|
| Nelnet Inc. Class A |
| 416 |
| 25 |
|
|
| BancFirst Corp. |
| 469 |
| 24 |
|
|
| Discover Financial Services |
| 327 |
| 24 |
|
|
| E*TRADE Financial Corp. |
| 542 |
| 24 |
|
|
| Eagle Bancorp Inc. |
| 456 |
| 24 |
|
|
| Bank of New York Mellon Corp. |
| 556 |
| 24 |
|
|
| SEI Investments Co. |
| 471 |
| 24 |
|
|
| Federated Investors Inc. Class B |
| 764 |
| 23 |
|
|
| Artisan Partners Asset Management Inc. Class A |
| 984 |
| 23 |
|
|
| Taubman Centers Inc. |
| 506 |
| 22 |
|
|
| Jack Henry & Associates Inc. |
| 169 |
| 22 |
|
* |
| Enova International Inc. |
| 1,036 |
| 22 |
|
* |
| MGIC Investment Corp. |
| 1,630 |
| 22 |
|
|
| CoreCivic Inc. |
| 1,002 |
| 22 |
|
|
| Primerica Inc. |
| 190 |
| 22 |
|
|
| T. Rowe Price Group Inc. |
| 215 |
| 22 |
|
|
| BrightSphere Investment Group plc |
| 2,018 |
| 22 |
|
|
| Alexander’s Inc. |
| 57 |
| 21 |
|
* |
| Donnelley Financial Solutions Inc. |
| 1,673 |
| 21 |
|
* |
| Axos Financial Inc. |
| 754 |
| 21 |
|
|
| Eaton Vance Corp. |
| 533 |
| 20 |
|
|
| Lincoln National Corp. |
| 336 |
| 20 |
|
|
| Principal Financial Group Inc. |
| 382 |
| 20 |
|
|
| Greenhill & Co. Inc. |
| 1,298 |
| 19 |
|
|
| MarketAxess Holdings Inc. |
| 65 |
| 19 |
|
|
| Preferred Bank |
| 440 |
| 19 |
|
* |
| SVB Financial Group |
| 95 |
| 19 |
|
|
| Universal Insurance Holdings Inc. |
| 655 |
| 19 |
|
|
| Cohen & Steers Inc. |
| 365 |
| 19 |
|
|
| Employers Holdings Inc. |
| 445 |
| 18 |
|
|
| Independent Bank Corp. |
| 873 |
| 18 |
|
* |
| Euronet Worldwide Inc. |
| 119 |
| 18 |
|
|
| BGC Partners Inc. Class A |
| 3,925 |
| 18 |
|
|
| GEO Group Inc. |
| 839 |
| 18 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| KeyCorp |
| 1,152 |
| 18 |
|
|
| Bryn Mawr Bank Corp. |
| 500 |
| 18 |
|
|
| Walker & Dunlop Inc. |
| 361 |
| 18 |
|
|
| Lakeland Financial Corp. |
| 412 |
| 18 |
|
* |
| HomeStreet Inc. |
| 636 |
| 18 |
|
|
| Brookline Bancorp Inc. |
| 1,232 |
| 18 |
|
|
| FB Financial Corp. |
| 507 |
| 18 |
|
|
| Franklin Resources Inc. |
| 552 |
| 18 |
|
|
| First Horizon National Corp. |
| 1,308 |
| 18 |
|
|
| First Commonwealth Financial Corp. |
| 1,393 |
| 18 |
|
|
| CIT Group Inc. |
| 368 |
| 17 |
|
|
| Zions Bancorp NA |
| 406 |
| 17 |
|
|
| South State Corp. |
| 258 |
| 17 |
|
|
| Cullen/Frost Bankers Inc. |
| 186 |
| 17 |
|
* |
| Curo Group Holdings Corp. |
| 1,810 |
| 17 |
|
|
| AMERISAFE Inc. |
| 277 |
| 17 |
|
|
| Popular Inc. |
| 313 |
| 16 |
|
* |
| Ocwen Financial Corp. |
| 10,358 |
| 16 |
|
|
| BankUnited Inc. |
| 487 |
| 16 |
|
|
| Flagstar Bancorp Inc. |
| 500 |
| 16 |
|
|
| Banc of California Inc. |
| 1,186 |
| 16 |
|
|
| Dime Community Bancshares Inc. |
| 874 |
| 16 |
|
|
| Tompkins Financial Corp. |
| 194 |
| 15 |
|
|
| Realogy Holdings Corp. |
| 2,133 |
| 15 |
|
|
| White Mountains Insurance Group Ltd. |
| 15 |
| 15 |
|
* |
| TriState Capital Holdings Inc. |
| 709 |
| 15 |
|
|
| GAIN Capital Holdings Inc. |
| 3,653 |
| 14 |
|
* |
| Cardtronics plc Class A |
| 468 |
| 14 |
|
|
| 1st Source Corp. |
| 322 |
| 14 |
|
|
| LegacyTexas Financial Group Inc. |
| 366 |
| 13 |
|
|
| RMR Group Inc. Class A |
| 275 |
| 13 |
|
|
| Cathay General Bancorp |
| 393 |
| 13 |
|
|
| Broadridge Financial Solutions Inc. |
| 100 |
| 12 |
|
|
| Washington Federal Inc. |
| 390 |
| 12 |
|
|
| S&T Bancorp Inc. |
| 318 |
| 12 |
|
|
| Virtus Investment Partners Inc. |
| 118 |
| 12 |
|
|
| Piper Jaffray Cos. |
| 168 |
| 12 |
|
|
| Navient Corp. |
| 907 |
| 12 |
|
|
| Ryman Hospitality Properties Inc. |
| 142 |
| 11 |
|
|
| International Bancshares Corp. |
| 300 |
| 11 |
|
|
| Boston Private Financial Holdings Inc. |
| 1,038 |
| 11 |
|
|
| Live Oak Bancshares Inc. |
| 683 |
| 11 |
|
|
| TrustCo Bank Corp. NY |
| 1,429 |
| 11 |
|
|
| Northern Trust Corp. |
| 123 |
| 11 |
|
|
| Federal Agricultural Mortgage Corp. |
| 153 |
| 10 |
|
|
| ServisFirst Bancshares Inc. |
| 324 |
| 10 |
|
|
| Ally Financial Inc. |
| 347 |
| 10 |
|
|
| Huntington Bancshares Inc. |
| 749 |
| 9 |
|
|
| Hope Bancorp Inc. |
| 629 |
| 8 |
|
|
| Torchmark Corp. |
| 82 |
| 7 |
|
* |
| Marcus & Millichap Inc. |
| 161 |
| 5 |
|
|
| Fulton Financial Corp. |
| 310 |
| 5 |
|
|
| Provident Financial Services Inc. |
| 204 |
| 5 |
|
|
| Great Western Bancorp Inc. |
| 155 |
| 5 |
|
|
|
|
|
|
| 4,084 |
|
Health Care (12.4%) |
|
|
|
|
| ||
|
| Bristol-Myers Squibb Co. |
| 4,122 |
| 187 |
|
|
| Eli Lilly & Co. |
| 1,466 |
| 170 |
|
|
| Merck & Co. Inc. |
| 2,145 |
| 170 |
|
|
| Johnson & Johnson |
| 1,288 |
| 169 |
|
* |
| Edwards Lifesciences Corp. |
| 875 |
| 149 |
|
* |
| Biogen Inc. |
| 659 |
| 145 |
|
|
| Amgen Inc. |
| 560 |
| 93 |
|
|
| Pfizer Inc. |
| 2,245 |
| 93 |
|
* |
| Masimo Corp. |
| 520 |
| 68 |
|
|
| AbbVie Inc. |
| 590 |
| 45 |
|
|
| UnitedHealth Group Inc. |
| 186 |
| 45 |
|
* |
| Cerner Corp. |
| 626 |
| 44 |
|
* |
| Amedisys Inc. |
| 382 |
| 43 |
|
* |
| Align Technology Inc. |
| 149 |
| 42 |
|
* |
| Veeva Systems Inc. Class A |
| 251 |
| 39 |
|
|
| Chemed Corp. |
| 109 |
| 36 |
|
* |
| Incyte Corp. |
| 440 |
| 35 |
|
|
| LeMaitre Vascular Inc. |
| 1,327 |
| 34 |
|
|
| Patterson Cos. Inc. |
| 1,594 |
| 34 |
|
* |
| Collegium Pharmaceutical Inc. |
| 2,865 |
| 33 |
|
* |
| Corcept Therapeutics Inc. |
| 3,268 |
| 32 |
|
* |
| ICU Medical Inc. |
| 150 |
| 32 |
|
* |
| ABIOMED Inc. |
| 121 |
| 32 |
|
* |
| HealthEquity Inc. |
| 474 |
| 31 |
|
|
| ResMed Inc. |
| 268 |
| 31 |
|
* |
| Premier Inc. Class A |
| 812 |
| 30 |
|
* |
| Haemonetics Corp. |
| 299 |
| 29 |
|
|
| Bruker Corp. |
| 644 |
| 27 |
|
* |
| CorVel Corp. |
| 334 |
| 25 |
|
* |
| Jazz Pharmaceuticals plc |
| 194 |
| 24 |
|
* |
| Surmodics Inc. |
| 600 |
| 24 |
|
* |
| Alkermes plc |
| 1,086 |
| 23 |
|
* |
| Anika Therapeutics Inc. |
| 585 |
| 22 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| NextGen Healthcare Inc. |
| 1,124 |
| 22 |
|
* |
| NuVasive Inc. |
| 369 |
| 21 |
|
* |
| Neogen Corp. |
| 373 |
| 21 |
|
* |
| Cutera Inc. |
| 1,189 |
| 20 |
|
|
| Cardinal Health Inc. |
| 447 |
| 19 |
|
* |
| LivaNova plc |
| 259 |
| 19 |
|
* |
| Vertex Pharmaceuticals Inc. |
| 112 |
| 19 |
|
* |
| Medpace Holdings Inc. |
| 341 |
| 18 |
|
* |
| Tandem Diabetes Care Inc. |
| 267 |
| 18 |
|
* |
| Arena Pharmaceuticals Inc. |
| 342 |
| 18 |
|
|
| Dentsply Sirona Inc. |
| 334 |
| 18 |
|
* |
| Insys Therapeutics Inc. |
| 23,505 |
| 18 |
|
* |
| Cardiovascular Systems Inc. |
| 442 |
| 17 |
|
* |
| HMS Holdings Corp. |
| 562 |
| 17 |
|
* |
| Globus Medical Inc. |
| 433 |
| 17 |
|
* |
| ANI Pharmaceuticals Inc. |
| 241 |
| 17 |
|
* |
| Eagle Pharmaceuticals Inc. |
| 330 |
| 17 |
|
* |
| AtriCure Inc. |
| 557 |
| 16 |
|
* |
| Esperion Therapeutics Inc. |
| 322 |
| 15 |
|
* |
| Quidel Corp. |
| 277 |
| 15 |
|
* |
| Exelixis Inc. |
| 779 |
| 15 |
|
* |
| Tactile Systems Technology Inc. |
| 315 |
| 15 |
|
|
| McKesson Corp. |
| 120 |
| 15 |
|
* |
| iRadimed Corp. |
| 690 |
| 14 |
|
|
| West Pharmaceutical Services Inc. |
| 125 |
| 14 |
|
* |
| Inogen Inc. |
| 220 |
| 14 |
|
|
| Atrion Corp. |
| 16 |
| 14 |
|
* |
| Molina Healthcare Inc. |
| 97 |
| 14 |
|
* |
| Orthofix Medical Inc. |
| 279 |
| 14 |
|
|
| Cantel Medical Corp. |
| 200 |
| 14 |
|
* |
| BioTelemetry Inc. |
| 282 |
| 14 |
|
* |
| Assertio Therapeutics Inc. |
| 4,500 |
| 13 |
|
* |
| PRA Health Sciences Inc. |
| 151 |
| 13 |
|
|
| Meridian Bioscience Inc. |
| 1,147 |
| 13 |
|
* |
| OraSure Technologies Inc. |
| 1,549 |
| 13 |
|
|
| AmerisourceBergen Corp. Class A |
| 161 |
| 13 |
|
* |
| Varian Medical Systems Inc. |
| 97 |
| 12 |
|
* |
| United Therapeutics Corp. |
| 143 |
| 12 |
|
|
| US Physical Therapy Inc. |
| 107 |
| 12 |
|
* |
| STAAR Surgical Co. |
| 492 |
| 11 |
|
* |
| Natus Medical Inc. |
| 457 |
| 11 |
|
* |
| Lantheus Holdings Inc. |
| 466 |
| 11 |
|
* |
| Genomic Health Inc. |
| 210 |
| 11 |
|
* |
| Enanta Pharmaceuticals Inc. |
| 106 |
| 10 |
|
* |
| Cross Country Healthcare Inc. |
| 1,281 |
| 9 |
|
* |
| Amneal Pharmaceuticals Inc. |
| 1,201 |
| 9 |
|
|
| Luminex Corp. |
| 386 |
| 8 |
|
|
| STERIS plc |
| 58 |
| 8 |
|
* |
| Intersect ENT Inc. |
| 324 |
| 8 |
|
* |
| Heska Corp. |
| 102 |
| 7 |
|
* |
| Lannett Co. Inc. |
| 1,278 |
| 7 |
|
* |
| Amphastar Pharmaceuticals Inc. |
| 328 |
| 6 |
|
* |
| AMN Healthcare Services Inc. |
| 113 |
| 5 |
|
* |
| Glaukos Corp. |
| 72 |
| 5 |
|
|
|
|
|
|
| 2,782 |
|
Materials & Processing (3.6%) |
|
|
|
|
| ||
|
| Sherwin-Williams Co. |
| 162 |
| 68 |
|
* |
| BMC Stock Holdings Inc. |
| 2,783 |
| 56 |
|
|
| Sonoco Products Co. |
| 675 |
| 42 |
|
|
| Fastenal Co. |
| 1,228 |
| 38 |
|
* |
| Trex Co. Inc. |
| 581 |
| 35 |
|
|
| PolyOne Corp. |
| 1,318 |
| 33 |
|
|
| Kronos Worldwide Inc. |
| 2,528 |
| 32 |
|
|
| Materion Corp. |
| 480 |
| 29 |
|
|
| Watsco Inc. |
| 181 |
| 28 |
|
|
| Chase Corp. |
| 275 |
| 28 |
|
* |
| Alcoa Corp. |
| 1,171 |
| 25 |
|
|
| Quaker Chemical Corp. |
| 133 |
| 24 |
|
|
| Acuity Brands Inc. |
| 177 |
| 22 |
|
|
| Louisiana-Pacific Corp. |
| 940 |
| 21 |
|
|
| Quanex Building Products Corp. |
| 1,383 |
| 21 |
|
|
| Boise Cascade Co. |
| 938 |
| 21 |
|
|
| Huntsman Corp. |
| 1,178 |
| 20 |
|
|
| Apogee Enterprises Inc. |
| 503 |
| 18 |
|
|
| Myers Industries Inc. |
| 1,067 |
| 18 |
|
* |
| RBC Bearings Inc. |
| 126 |
| 18 |
|
|
| Innospec Inc. |
| 199 |
| 16 |
|
|
| DMC Global Inc. |
| 237 |
| 16 |
|
* |
| Univar Inc. |
| 752 |
| 15 |
|
|
| Advanced Drainage Systems Inc. |
| 471 |
| 14 |
|
* |
| Verso Corp. |
| 773 |
| 13 |
|
* |
| Veritiv Corp. |
| 727 |
| 13 |
|
|
| Freeport-McMoRan Inc. |
| 1,277 |
| 12 |
|
|
| Gold Resource Corp. |
| 4,273 |
| 12 |
|
* |
| Builders FirstSource Inc. |
| 754 |
| 11 |
|
|
| AAON Inc. |
| 230 |
| 10 |
|
|
| Schnitzer Steel Industries Inc. |
| 447 |
| 9 |
|
|
| Stepan Co. |
| 104 |
| 9 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Greif Inc. Class A |
| 219 |
| 8 |
|
|
| Reliance Steel & Aluminum Co. |
| 93 |
| 8 |
|
|
| Balchem Corp. |
| 85 |
| 8 |
|
|
| Comfort Systems USA Inc. |
| 154 |
| 7 |
|
|
| Simpson Manufacturing Co. Inc. |
| 119 |
| 7 |
|
* |
| Continental Building Products Inc. |
| 264 |
| 6 |
|
|
| Insteel Industries Inc. |
| 329 |
| 6 |
|
|
| Neenah Inc. |
| 105 |
| 6 |
|
|
| Packaging Corp. of America |
| 52 |
| 5 |
|
|
|
|
|
|
| 808 |
|
Other (0.1%) |
|
|
|
|
| ||
* |
| Check Point Software Technologies Ltd. |
| 272 |
| 30 |
|
|
|
|
|
|
|
|
|
Producer Durables (16.0%) |
|
|
|
|
| ||
|
| Southwest Airlines Co. |
| 3,775 |
| 180 |
|
|
| Accenture plc Class A |
| 791 |
| 141 |
|
|
| Boeing Co. |
| 403 |
| 138 |
|
|
| Illinois Tool Works Inc. |
| 833 |
| 116 |
|
|
| 3M Co. |
| 632 |
| 101 |
|
|
| AGCO Corp. |
| 1,160 |
| 77 |
|
|
| Paychex Inc. |
| 870 |
| 75 |
|
|
| Automatic Data Processing Inc. |
| 448 |
| 72 |
|
|
| Mesa Laboratories Inc. |
| 282 |
| 70 |
|
|
| Raytheon Co. |
| 386 |
| 67 |
|
|
| AO Smith Corp. |
| 1,658 |
| 67 |
|
|
| MSA Safety Inc. |
| 643 |
| 64 |
|
|
| Honeywell International Inc. |
| 381 |
| 63 |
|
|
| CSW Industrials Inc. |
| 936 |
| 60 |
|
* |
| WESCO International Inc. |
| 1,198 |
| 56 |
|
|
| Avery Dennison Corp. |
| 538 |
| 56 |
|
* |
| FTI Consulting Inc. |
| 659 |
| 55 |
|
|
| Nordson Corp. |
| 404 |
| 51 |
|
|
| Schneider National Inc. Class B |
| 2,953 |
| 50 |
|
* |
| TriNet Group Inc. |
| 765 |
| 48 |
|
|
| Emerson Electric Co. |
| 774 |
| 47 |
|
|
| Kaman Corp. |
| 779 |
| 43 |
|
|
| MAXIMUS Inc. |
| 581 |
| 41 |
|
|
| Lindsay Corp. |
| 480 |
| 38 |
|
|
| Rockwell Automation Inc. |
| 255 |
| 38 |
|
|
| Robert Half International Inc. |
| 689 |
| 37 |
|
|
| Insperity Inc. |
| 322 |
| 37 |
|
|
| Healthcare Services Group Inc. |
| 1,068 |
| 34 |
|
|
| Curtiss-Wright Corp. |
| 293 |
| 33 |
|
|
| Rollins Inc. |
| 861 |
| 32 |
|
* |
| WageWorks Inc. |
| 639 |
| 32 |
|
|
| ManpowerGroup Inc. |
| 371 |
| 32 |
|
|
| Toro Co. |
| 484 |
| 31 |
|
* |
| Aerovironment Inc. |
| 486 |
| 31 |
|
|
| Kforce Inc. |
| 900 |
| 31 |
|
|
| Astec Industries Inc. |
| 1,042 |
| 31 |
|
|
| Expeditors International of Washington Inc. |
| 432 |
| 30 |
|
|
| Dover Corp. |
| 336 |
| 30 |
|
|
| Snap-on Inc. |
| 185 |
| 29 |
|
* |
| Teledyne Technologies Inc. |
| 121 |
| 28 |
|
|
| ArcBest Corp. |
| 1,104 |
| 28 |
|
* |
| Vicor Corp. |
| 904 |
| 27 |
|
|
| Franklin Electric Co. Inc. |
| 602 |
| 26 |
|
|
| National Instruments Corp. |
| 683 |
| 26 |
|
|
| Graco Inc. |
| 556 |
| 26 |
|
|
| WW Grainger Inc. |
| 100 |
| 26 |
|
|
| IDEX Corp. |
| 171 |
| 26 |
|
|
| Pentair plc |
| 742 |
| 26 |
|
* |
| Proto Labs Inc. |
| 256 |
| 26 |
|
|
| CH Robinson Worldwide Inc. |
| 321 |
| 26 |
|
|
| Systemax Inc. |
| 1,218 |
| 25 |
|
|
| Lincoln Electric Holdings Inc. |
| 297 |
| 23 |
|
* |
| Sykes Enterprises Inc. |
| 881 |
| 22 |
|
|
| EMCOR Group Inc. |
| 269 |
| 22 |
|
|
| Forward Air Corp. |
| 383 |
| 21 |
|
|
| Landstar System Inc. |
| 217 |
| 21 |
|
|
| Marten Transport Ltd. |
| 1,178 |
| 21 |
|
|
| Littelfuse Inc. |
| 122 |
| 20 |
|
|
| Oshkosh Corp. |
| 275 |
| 20 |
|
|
| Tetra Tech Inc. |
| 281 |
| 19 |
|
* |
| Astronics Corp. |
| 465 |
| 19 |
|
|
| Tennant Co. |
| 328 |
| 19 |
|
|
| HNI Corp. |
| 557 |
| 18 |
|
|
| Watts Water Technologies Inc. Class A |
| 225 |
| 18 |
|
|
| Old Dominion Freight Line Inc. |
| 138 |
| 18 |
|
|
| Resources Connection Inc. |
| 1,190 |
| 18 |
|
|
| Navigant Consulting Inc. |
| 818 |
| 18 |
|
* |
| Zebra Technologies Corp. |
| 103 |
| 18 |
|
|
| Albany International Corp. Class A |
| 252 |
| 18 |
|
|
| Donaldson Co. Inc. |
| 372 |
| 18 |
|
|
| Ennis Inc. |
| 953 |
| 18 |
|
|
| Cummins Inc. |
| 117 |
| 18 |
|
* |
| Vishay Precision Group Inc. |
| 487 |
| 17 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Mettler-Toledo International Inc. |
| 23 |
| 17 |
|
|
| Triumph Group Inc. |
| 853 |
| 17 |
|
|
| Hillenbrand Inc. |
| 438 |
| 16 |
|
|
| ITT Inc. |
| 282 |
| 16 |
|
|
| ICF International Inc. |
| 214 |
| 16 |
|
* |
| HD Supply Holdings Inc. |
| 358 |
| 15 |
|
|
| Actuant Corp. Class A |
| 667 |
| 15 |
|
|
| Spirit AeroSystems Holdings Inc. Class A |
| 182 |
| 15 |
|
* |
| Advanced Energy Industries Inc. |
| 293 |
| 15 |
|
|
| Heartland Express Inc. |
| 816 |
| 15 |
|
|
| Exponent Inc. |
| 260 |
| 15 |
|
|
| Heidrick & Struggles International Inc. |
| 476 |
| 14 |
|
|
| Kelly Services Inc. Class A |
| 614 |
| 14 |
|
|
| Huntington Ingalls Industries Inc. |
| 70 |
| 14 |
|
* |
| Saia Inc. |
| 241 |
| 14 |
|
* |
| Keysight Technologies Inc. |
| 188 |
| 14 |
|
* |
| Echo Global Logistics Inc. |
| 694 |
| 14 |
|
* |
| DXP Enterprises Inc. |
| 416 |
| 13 |
|
|
| Raven Industries Inc. |
| 394 |
| 13 |
|
|
| UniFirst Corp. |
| 81 |
| 13 |
|
* |
| TrueBlue Inc. |
| 587 |
| 12 |
|
|
| John Bean Technologies Corp. |
| 115 |
| 12 |
|
|
| Columbus McKinnon Corp. |
| 324 |
| 12 |
|
|
| Federal Signal Corp. |
| 485 |
| 12 |
|
|
| Allison Transmission Holdings Inc. |
| 270 |
| 11 |
|
* |
| TriMas Corp. |
| 381 |
| 11 |
|
|
| Deluxe Corp. |
| 293 |
| 11 |
|
|
| Alamo Group Inc. |
| 113 |
| 11 |
|
* |
| Casella Waste Systems Inc. Class A |
| 277 |
| 11 |
|
* |
| Copart Inc. |
| 143 |
| 10 |
|
* |
| Blue Bird Corp. |
| 526 |
| 10 |
|
|
| Xylem Inc. |
| 127 |
| 9 |
|
|
| Pitney Bowes Inc. |
| 2,573 |
| 9 |
|
|
| EnPro Industries Inc. |
| 160 |
| 9 |
|
* |
| Sterling Construction Co. Inc. |
| 740 |
| 9 |
|
|
| Terex Corp. |
| 327 |
| 9 |
|
|
| Badger Meter Inc. |
| 161 |
| 8 |
|
* |
| Aegion Corp. Class A |
| 576 |
| 8 |
|
|
| McGrath RentCorp |
| 143 |
| 8 |
|
|
| Korn Ferry |
| 184 |
| 8 |
|
|
| MSC Industrial Direct Co. Inc. Class A |
| 109 |
| 8 |
|
|
| Brady Corp. Class A |
| 152 |
| 7 |
|
|
| Quad/Graphics Inc. |
| 826 |
| 7 |
|
|
| Textron Inc. |
| 150 |
| 7 |
|
|
| Herman Miller Inc. |
| 178 |
| 6 |
|
|
| Steelcase Inc. Class A |
| 393 |
| 6 |
|
|
| Barrett Business Services Inc. |
| 87 |
| 6 |
|
* |
| FARO Technologies Inc. |
| 142 |
| 6 |
|
|
| JB Hunt Transport Services Inc. |
| 72 |
| 6 |
|
|
| Stanley Black & Decker Inc. |
| 43 |
| 5 |
|
|
| Werner Enterprises Inc. |
| 192 |
| 5 |
|
|
| Knoll Inc. |
| 253 |
| 5 |
|
|
| Encore Wire Corp. |
| 93 |
| 5 |
|
|
|
|
|
|
| 3,578 |
|
Technology (14.5%) |
|
|
|
|
| ||
|
| Texas Instruments Inc. |
| 2,397 |
| 250 |
|
|
| Intuit Inc. |
| 856 |
| 210 |
|
|
| Apple Inc. |
| 1,015 |
| 178 |
|
* |
| Facebook Inc. Class A |
| 954 |
| 169 |
|
* |
| Micron Technology Inc. |
| 4,108 |
| 134 |
|
|
| NVIDIA Corp. |
| 929 |
| 126 |
|
|
| Intel Corp. |
| 2,781 |
| 123 |
|
|
| International Business Machines Corp. |
| 707 |
| 90 |
|
|
| Lam Research Corp. |
| 507 |
| 89 |
|
* |
| Synopsys Inc. |
| 459 |
| 53 |
|
|
| Maxim Integrated Products Inc. |
| 1,010 |
| 53 |
|
|
| HP Inc. |
| 2,735 |
| 51 |
|
|
| Monolithic Power Systems Inc. |
| 405 |
| 47 |
|
|
| Cognex Corp. |
| 1,136 |
| 46 |
|
* |
| Insight Enterprises Inc. |
| 870 |
| 45 |
|
|
| Cognizant Technology Solutions Corp. Class A |
| 693 |
| 43 |
|
* |
| Atlassian Corp. plc Class A |
| 336 |
| 42 |
|
|
| ADTRAN Inc. |
| 2,294 |
| 36 |
|
* |
| Nanometrics Inc. |
| 1,260 |
| 36 |
|
* |
| Adobe Inc. |
| 128 |
| 35 |
|
|
| DXC Technology Co. |
| 723 |
| 34 |
|
* |
| Coherent Inc. |
| 303 |
| 33 |
|
* |
| Arista Networks Inc. |
| 130 |
| 32 |
|
* |
| EPAM Systems Inc. |
| 183 |
| 32 |
|
* |
| GoDaddy Inc. Class A |
| 413 |
| 31 |
|
* |
| Alarm.com Holdings Inc. |
| 494 |
| 29 |
|
* |
| TechTarget Inc. |
| 1,500 |
| 28 |
|
* |
| Tech Data Corp. |
| 302 |
| 27 |
|
* |
| Altair Engineering Inc. Class A |
| 711 |
| 27 |
|
U.S. Quality Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Fortinet Inc. |
| 369 |
| 27 |
|
* |
| HubSpot Inc. |
| 145 |
| 25 |
|
|
| PC Connection Inc. |
| 770 |
| 24 |
|
* |
| Alphabet Inc. Class A |
| 22 |
| 24 |
|
|
| Citrix Systems Inc. |
| 257 |
| 24 |
|
* |
| Cadence Design Systems Inc. |
| 375 |
| 24 |
|
|
| NetApp Inc. |
| 396 |
| 23 |
|
* |
| Qualys Inc. |
| 263 |
| 23 |
|
* |
| Immersion Corp. |
| 3,080 |
| 23 |
|
* |
| SPS Commerce Inc. |
| 223 |
| 23 |
|
|
| Avnet Inc. |
| 550 |
| 23 |
|
* |
| Blackline Inc. |
| 436 |
| 22 |
|
* |
| PAR Technology Corp. |
| 793 |
| 22 |
|
* |
| Manhattan Associates Inc. |
| 336 |
| 22 |
|
* |
| Perficient Inc. |
| 721 |
| 22 |
|
* |
| Groupon Inc. Class A |
| 6,036 |
| 21 |
|
|
| VMware Inc. Class A |
| 119 |
| 21 |
|
* |
| Appfolio Inc. |
| 216 |
| 21 |
|
|
| Match Group Inc. |
| 296 |
| 20 |
|
* |
| F5 Networks Inc. |
| 147 |
| 19 |
|
* |
| iRobot Corp. |
| 222 |
| 19 |
|
* |
| Paycom Software Inc. |
| 88 |
| 19 |
|
* |
| Akamai Technologies Inc. |
| 247 |
| 19 |
|
* |
| Yext Inc. |
| 989 |
| 18 |
|
|
| Jabil Inc. |
| 738 |
| 18 |
|
* |
| NCR Corp. |
| 584 |
| 18 |
|
* |
| ePlus Inc. |
| 250 |
| 18 |
|
|
| KEMET Corp. |
| 1,110 |
| 18 |
|
|
| Dolby Laboratories Inc. Class A |
| 281 |
| 17 |
|
|
| Amdocs Ltd. |
| 285 |
| 17 |
|
* |
| Glu Mobile Inc. |
| 2,085 |
| 17 |
|
|
| CDW Corp. |
| 169 |
| 17 |
|
* |
| Cirrus Logic Inc. |
| 445 |
| 17 |
|
|
| Xilinx Inc. |
| 156 |
| 16 |
|
* |
| ANSYS Inc. |
| 88 |
| 16 |
|
|
| NIC Inc. |
| 978 |
| 16 |
|
* |
| Extreme Networks Inc. |
| 2,728 |
| 15 |
|
* |
| IPG Photonics Corp. |
| 122 |
| 15 |
|
* |
| Stratasys Ltd. |
| 681 |
| 15 |
|
|
| Ubiquiti Networks Inc. |
| 122 |
| 15 |
|
* |
| SMART Global Holdings Inc. |
| 829 |
| 14 |
|
|
| Progress Software Corp. |
| 342 |
| 14 |
|
* |
| Acacia Communications Inc. |
| 284 |
| 13 |
|
|
| Skyworks Solutions Inc. |
| 197 |
| 13 |
|
* |
| Calix Inc. |
| 2,153 |
| 13 |
|
* |
| Semtech Corp. |
| 320 |
| 13 |
|
* |
| SecureWorks Corp. Class A |
| 857 |
| 13 |
|
* |
| 3D Systems Corp. |
| 1,534 |
| 12 |
|
* |
| CommVault Systems Inc. |
| 269 |
| 12 |
|
* |
| Tucows Inc. Class A |
| 209 |
| 12 |
|
* |
| NETGEAR Inc. |
| 488 |
| 12 |
|
* |
| Workiva Inc. |
| 219 |
| 12 |
|
* |
| Yelp Inc. Class A |
| 396 |
| 12 |
|
* |
| NetScout Systems Inc. |
| 439 |
| 11 |
|
* |
| Diebold Nixdorf Inc. |
| 1,236 |
| 11 |
|
|
| Monotype Imaging Holdings Inc. |
| 627 |
| 10 |
|
|
| Teradyne Inc. |
| 239 |
| 10 |
|
|
| Power Integrations Inc. |
| 154 |
| 10 |
|
* |
| Casa Systems Inc. |
| 1,416 |
| 8 |
|
* |
| TrueCar Inc. |
| 1,200 |
| 8 |
|
* |
| Cargurus Inc. |
| 215 |
| 7 |
|
* |
| Diodes Inc. |
| 222 |
| 7 |
|
* |
| Qorvo Inc. |
| 111 |
| 7 |
|
* |
| Rudolph Technologies Inc. |
| 293 |
| 7 |
|
* |
| Teradata Corp. |
| 188 |
| 6 |
|
* |
| Virtusa Corp. |
| 145 |
| 6 |
|
* |
| MicroStrategy Inc. Class A |
| 45 |
| 6 |
|
|
| Activision Blizzard Inc. |
| 134 |
| 6 |
|
|
| Universal Display Corp. |
| 38 |
| 6 |
|
* |
| ShotSpotter Inc. |
| 118 |
| 5 |
|
* |
| A10 Networks Inc. |
| 843 |
| 5 |
|
* |
| Amkor Technology Inc. |
| 763 |
| 5 |
|
|
| LogMeIn Inc. |
| 66 |
| 5 |
|
|
|
|
|
|
| 3,233 |
|
Utilities (0.1%) |
|
|
|
|
| ||
|
| j2 Global Inc. |
| 110 |
| 10 |
|
* |
| 8x8 Inc. |
| 338 |
| 8 |
|
|
|
|
|
|
| 18 |
|
Total Common Stocks (Cost $23,275) |
|
|
| 22,209 |
| ||
Temporary Cash Investment (0.4%)1 |
|
|
|
|
| ||
Money Market Fund (0.4%) |
|
|
|
|
| ||
2 |
| Vanguard Market Liquidity Fund, 2.527% (Cost $99) |
| 989 |
| 99 |
|
Total Investments (99.8%) (Cost $23,374) |
|
|
| 22,308 |
|
U.S. Quality Factor ETF
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
|
|
Other Assets |
|
|
|
|
|
Investment in Vanguard |
|
|
| 1 |
|
Receivables for Accrued Income |
|
|
| 31 |
|
Other Assets3 |
|
|
| 8 |
|
Total Other Assets |
|
|
| 40 |
|
Liabilities |
|
|
|
|
|
Payables to Vanguard |
|
|
| (1 | ) |
Variation Margin Payable—Futures Contracts |
|
|
| (2 | ) |
Total Liabilities |
|
|
| (3 | ) |
Net Assets (100%) |
|
|
|
|
|
Applicable to 300,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
| 22,345 |
|
Net Asset Value Per Share |
|
|
| $74.48 |
|
|
|
|
|
|
|
At May 31, 2019, net assets consisted of: |
|
|
|
|
|
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Paid-in Capital |
|
|
| 23,312 |
|
Total Distributable Earnings (Loss) |
|
|
| (967 | ) |
Net Assets |
|
|
| 22,345 |
|
· 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 $8,000 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 | June 2019 | 1 | 73 | (3) | |
Micro E-mini S&P 500 Index | June 2019 | 4 | 55 | (2) | |
|
|
|
| (5) | |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Statement of Operations
| Six Months Ended |
| May 31, 2019 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 181 |
Interest1 | 1 |
Total Income | 182 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | — |
Management and Administrative | 12 |
Marketing and Distribution | — |
Custodian Fees | 1 |
Shareholders’ Reports | 1 |
Total Expenses | 14 |
Net Investment Income | 168 |
Realized Net Gain (Loss) |
|
Investment Securities Sold1 | 52 |
Futures Contracts | 1 |
Realized Net Gain (Loss) | 53 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities1 | (840) |
Futures Contracts | (5) |
Change in Unrealized Appreciation (Depreciation)1 | (845) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (624) |
1 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. Quality Factor ETF
Statement of Changes in Net Assets
|
|
| February 13, |
| Six Months Ended |
| 20181 to |
| May 31, |
| November 30, |
| 2019 |
| 2018 |
| ($000) |
| ($000) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income | 168 |
| 123 |
Realized Net Gain (Loss) | 53 |
| (19) |
Change in Unrealized Appreciation (Depreciation) | (845) |
| (226) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (624) |
| (122) |
Distributions |
|
|
|
Net Investment Income | (148) |
| (73) |
Realized Capital Gain | — |
| — |
Total Distributions | (148) |
| (73) |
Capital Share Transactions |
|
|
|
Issued | 5,436 |
| 17,876 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) from Capital Share Transactions | 5,436 |
| 17,876 |
Total Increase (Decrease) | 4,664 |
| 17,681 |
Net Assets |
|
|
|
Beginning of Period | 17,681 |
| — |
End of Period | 22,345 |
| 17,681 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Quality Factor ETF
Financial Highlights
| Six Months | Feb. 13, |
| Ended | 20181 to |
| May 31, | Nov. 30, |
For a Share Outstanding Throughout Each Period | 2019 | 2018 |
Net Asset Value, Beginning of Period | $78.58 | $75.00 |
Investment Operations |
|
|
Net Investment Income2 | .607 | .899 |
Net Realized and Unrealized Gain (Loss) on Investments | (4.130) | 3.266 |
Total from Investment Operations | (3.523) | 4.165 |
Distributions |
|
|
Dividends from Net Investment Income | (.577) | (.585) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.577) | (.585) |
Net Asset Value, End of Period | $74.48 | $78.58 |
|
|
|
Total Return | -4.47% | 5.52% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) | $22 | $18 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.40%3 |
Portfolio Turnover Rate | 94% | 25% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Quality Factor ETF
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Quality Factor ETF
D. As of May 31, 2019, 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 | 23,374 |
Gross Unrealized Appreciation | 1,404 |
Gross Unrealized Depreciation | (2,475) |
Net Unrealized Appreciation (Depreciation) | (1,071) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $19,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carry-forward balance above.
E. During the six months ended May 31, 2019, the fund purchased $15,379,000 of investment securities and sold $9,943,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Six Months Ended |
| February 13, 20181 to |
| May 31, 2019 |
| November 30, 2018 |
| Shares |
| Shares |
| (000 | ) | (000) |
Issued | 75 |
| 225 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | — |
| — |
Net Increase (Decrease) in Shares Outstanding | 75 |
| 225 |
1 Inception.
At May 31, 2019, one shareholder was the record or beneficial owner of 30% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
U.S. Value Factor ETF
Sector Diversification
As of May 31, 2019
Consumer Discretionary | 16.2% |
Consumer Staples | 3.6 |
Energy | 13.3 |
Financial Services | 27.1 |
Health Care | 4.9 |
Materials & Processing | 7.6 |
Producer Durables | 13.6 |
Technology | 7.2 |
Utilities | 6.5 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.5%)1 |
|
|
|
|
| ||
Consumer Discretionary (16.2%) |
|
|
|
|
| ||
|
| Ford Motor Co. |
| 46,737 |
| 445 |
|
|
| General Motors Co. |
| 11,217 |
| 374 |
|
|
| Carnival Corp. |
| 6,645 |
| 340 |
|
|
| Target Corp. |
| 4,103 |
| 330 |
|
|
| Comcast Corp. Class A |
| 4,693 |
| 192 |
|
|
| Goodyear Tire & Rubber Co. |
| 9,319 |
| 125 |
|
|
| PulteGroup Inc. |
| 3,767 |
| 117 |
|
|
| L Brands Inc. |
| 5,103 |
| 115 |
|
* |
| DISH Network Corp. Class A |
| 3,077 |
| 111 |
|
|
| Toll Brothers Inc. |
| 3,129 |
| 109 |
|
|
| Penske Automotive Group Inc. |
| 2,509 |
| 107 |
|
* |
| Discovery Communications Inc. Class A |
| 3,875 |
| 106 |
|
|
| BorgWarner Inc. |
| 2,938 |
| 104 |
|
|
| Lear Corp. |
| 866 |
| 103 |
|
* |
| Weight Watchers International Inc. |
| 5,622 |
| 97 |
|
* |
| AutoNation Inc. |
| 2,448 |
| 97 |
|
* |
| Norwegian Cruise Line Holdings Ltd. |
| 1,729 |
| 95 |
|
|
| Royal Caribbean Cruises Ltd. |
| 759 |
| 92 |
|
|
| Macy’s Inc. |
| 4,474 |
| 92 |
|
|
| Viacom Inc. Class B |
| 3,160 |
| 92 |
|
|
| Thor Industries Inc. |
| 1,724 |
| 89 |
|
|
| eBay Inc. |
| 2,441 |
| 88 |
|
* |
| Mohawk Industries Inc. |
| 641 |
| 87 |
|
|
| Sinclair Broadcast Group Inc. Class A |
| 1,576 |
| 85 |
|
* |
| Party City Holdco Inc. |
| 10,434 |
| 82 |
|
|
| Ethan Allen Interiors Inc. |
| 3,835 |
| 81 |
|
* |
| Barnes & Noble Education Inc. |
| 25,307 |
| 80 |
|
* |
| American Axle & Manufacturing Holdings Inc. |
| 7,928 |
| 80 |
|
|
| Kohl’s Corp. |
| 1,576 |
| 78 |
|
|
| Lithia Motors Inc. Class A |
| 675 |
| 77 |
|
* |
| Genesco Inc. |
| 1,713 |
| 77 |
|
|
| Group 1 Automotive Inc. |
| 1,044 |
| 75 |
|
* |
| Michaels Cos. Inc. |
| 8,074 |
| 74 |
|
|
| Hyatt Hotels Corp. Class A |
| 1,000 |
| 72 |
|
|
| Jack in the Box Inc. |
| 866 |
| 72 |
|
|
| Superior Industries International Inc. |
| 19,237 |
| 71 |
|
|
| Graham Holdings Co. Class B |
| 104 |
| 71 |
|
|
| Brinker International Inc. |
| 1,838 |
| 69 |
|
|
| Foot Locker Inc. |
| 1,747 |
| 69 |
|
|
| KB Home |
| 2,716 |
| 68 |
|
* |
| Fossil Group Inc. |
| 6,939 |
| 68 |
|
* |
| Liberty Media Corp-Liberty SiriusXM Class C |
| 1,851 |
| 67 |
|
* |
| Urban Outfitters Inc. |
| 2,974 |
| 67 |
|
|
| Entercom Communications Corp. Class A |
| 11,389 |
| 66 |
|
* |
| Capri Holdings Ltd. |
| 2,011 |
| 65 |
|
|
| Tupperware Brands Corp. |
| 3,502 |
| 65 |
|
|
| Tapestry Inc. |
| 2,280 |
| 65 |
|
* |
| Liberty Global plc |
| 2,655 |
| 64 |
|
* |
| Cooper-Standard Holdings Inc. |
| 1,652 |
| 64 |
|
* |
| MarineMax Inc. |
| 4,010 |
| 63 |
|
|
| MDC Holdings Inc. |
| 1,972 |
| 62 |
|
|
| Aramark |
| 1,780 |
| 62 |
|
|
| AMERCO |
| 168 |
| 62 |
|
* |
| Meritor Inc. |
| 3,060 |
| 62 |
|
|
| TEGNA Inc. |
| 4,057 |
| 61 |
|
|
| Harley-Davidson Inc. |
| 1,870 |
| 61 |
|
|
| Carriage Services Inc. Class A |
| 3,351 |
| 61 |
|
* |
| MSG Networks Inc. |
| 2,850 |
| 60 |
|
|
| Sonic Automotive Inc. Class A |
| 3,358 |
| 59 |
|
* |
| Hibbett Sports Inc. |
| 2,643 |
| 58 |
|
|
| Dana Inc. |
| 3,989 |
| 58 |
|
* |
| Eros International plc |
| 7,426 |
| 57 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| New Media Investment Group Inc. |
| 6,163 |
| 57 |
|
* |
| WideOpenWest Inc. |
| 7,616 |
| 57 |
|
* |
| Qurate Retail Group Inc. QVC Group Class A |
| 4,496 |
| 56 |
|
* |
| Meritage Homes Corp. |
| 1,115 |
| 56 |
|
* |
| Cars.com Inc. |
| 2,633 |
| 56 |
|
|
| Dick’s Sporting Goods Inc. |
| 1,604 |
| 55 |
|
* |
| Universal Electronics Inc. |
| 1,404 |
| 55 |
|
|
| Tower International Inc. |
| 3,109 |
| 54 |
|
* |
| Sally Beauty Holdings Inc. |
| 3,523 |
| 54 |
|
* |
| Hertz Global Holdings Inc. |
| 3,687 |
| 52 |
|
|
| Aaron’s Inc. |
| 974 |
| 52 |
|
* |
| TRI Pointe Group Inc. |
| 4,097 |
| 50 |
|
|
| Autoliv Inc. |
| 817 |
| 50 |
|
|
| Williams-Sonoma Inc. |
| 858 |
| 50 |
|
|
| Bed Bath & Beyond Inc. |
| 3,930 |
| 50 |
|
|
| Cato Corp. Class A |
| 4,000 |
| 50 |
|
|
| Big Lots Inc. |
| 1,741 |
| 48 |
|
|
| Citi Trends Inc. |
| 3,487 |
| 48 |
|
* |
| Hudson Ltd. Class A |
| 3,404 |
| 46 |
|
* |
| M/I Homes Inc. |
| 1,623 |
| 44 |
|
* |
| Rent-A-Center Inc. |
| 1,848 |
| 44 |
|
* |
| G-III Apparel Group Ltd. |
| 1,699 |
| 44 |
|
|
| PVH Corp. |
| 506 |
| 43 |
|
|
| Gannett Co. Inc. |
| 5,400 |
| 42 |
|
|
| Ralph Lauren Corp. Class A |
| 403 |
| 42 |
|
|
| Dine Brands Global Inc. |
| 446 |
| 42 |
|
|
| Abercrombie & Fitch Co. |
| 2,427 |
| 42 |
|
|
| National CineMedia Inc. |
| 6,348 |
| 42 |
|
* |
| Beazer Homes USA Inc. |
| 4,568 |
| 42 |
|
|
| Nexstar Media Group Inc. Class A |
| 412 |
| 41 |
|
* |
| Golden Entertainment Inc. |
| 3,187 |
| 41 |
|
|
| Winnebago Industries Inc. |
| 1,271 |
| 41 |
|
|
| Adient plc |
| 2,345 |
| 40 |
|
|
| Dillard’s Inc. Class A |
| 713 |
| 40 |
|
* |
| Conn’s Inc. |
| 2,237 |
| 40 |
|
|
| Cooper Tire & Rubber Co. |
| 1,444 |
| 40 |
|
* |
| MasterCraft Boat Holdings Inc. |
| 2,003 |
| 40 |
|
|
| Shoe Carnival Inc. |
| 1,547 |
| 40 |
|
|
| Boyd Gaming Corp. |
| 1,658 |
| 40 |
|
|
| Gap Inc. |
| 2,111 |
| 39 |
|
|
| Signet Jewelers Ltd. |
| 2,079 |
| 39 |
|
|
| AMC Entertainment Holdings Inc. Class A |
| 3,234 |
| 39 |
|
|
| Chico’s FAS Inc. |
| 11,348 |
| 38 |
|
* |
| Skechers U.S.A. Inc. Class A |
| 1,344 |
| 38 |
|
* |
| Stamps.com Inc. |
| 1,117 |
| 37 |
|
|
| Lions Gate Entertainment Corp. Class A |
| 2,493 |
| 37 |
|
|
| CBS Corp. Class B |
| 755 |
| 36 |
|
* |
| Zumiez Inc. |
| 1,835 |
| 36 |
|
|
| Extended Stay America Inc. |
| 2,071 |
| 36 |
|
* |
| Del Taco Restaurants Inc. |
| 3,223 |
| 35 |
|
* |
| Fiesta Restaurant Group Inc. |
| 2,458 |
| 35 |
|
|
| Lennar Corp. Class A |
| 699 |
| 35 |
|
|
| American Eagle Outfitters Inc. |
| 1,980 |
| 34 |
|
|
| Office Depot Inc. |
| 17,492 |
| 34 |
|
* |
| Avis Budget Group Inc. |
| 1,200 |
| 34 |
|
* |
| Taylor Morrison Home Corp. Class A |
| 1,691 |
| 34 |
|
|
| Interpublic Group of Cos. Inc. |
| 1,581 |
| 34 |
|
|
| Movado Group Inc. |
| 1,247 |
| 32 |
|
* |
| Express Inc. |
| 10,664 |
| 32 |
|
* |
| William Lyon Homes Class A |
| 1,729 |
| 32 |
|
* |
| Red Robin Gourmet Burgers Inc. |
| 1,233 |
| 32 |
|
|
| Emerald Expositions Events Inc. |
| 2,663 |
| 31 |
|
|
| Brunswick Corp. |
| 744 |
| 31 |
|
* |
| Tribune Publishing Co. |
| 3,141 |
| 31 |
|
|
| Nordstrom Inc. |
| 977 |
| 31 |
|
|
| Six Flags Entertainment Corp. |
| 616 |
| 30 |
|
|
| Tilly’s Inc. Class A |
| 3,730 |
| 29 |
|
|
| Matthews International Corp. Class A |
| 852 |
| 29 |
|
|
| Cinemark Holdings Inc. |
| 755 |
| 29 |
|
|
| Whirlpool Corp. |
| 249 |
| 29 |
|
|
| Buckle Inc. |
| 1,822 |
| 27 |
|
|
| Gentex Corp. |
| 1,272 |
| 27 |
|
* |
| Century Communities Inc. |
| 996 |
| 27 |
|
* |
| Pier 1 Imports Inc. |
| 45,194 |
| 26 |
|
* |
| Gray Television Inc. |
| 1,489 |
| 26 |
|
|
| Caleres Inc. |
| 1,343 |
| 25 |
|
* |
| American Woodmark Corp. |
| 343 |
| 25 |
|
|
| J. Jill Inc. |
| 16,211 |
| 24 |
|
* |
| Francesca’s Holdings Corp. |
| 48,099 |
| 23 |
|
* |
| Vera Bradley Inc. |
| 2,087 |
| 23 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Scholastic Corp. |
| 642 |
| 21 |
|
* |
| LKQ Corp. |
| 762 |
| 20 |
|
* |
| ZAGG Inc. |
| 2,798 |
| 19 |
|
|
| Children’s Place Inc. |
| 192 |
| 18 |
|
* |
| Nautilus Inc. |
| 6,592 |
| 18 |
|
|
| MGM Resorts International |
| 693 |
| 17 |
|
|
| Johnson Outdoors Inc. Class A |
| 207 |
| 15 |
|
|
| Big 5 Sporting Goods Corp. |
| 7,479 |
| 15 |
|
|
| Entravision Communications Corp. Class A |
| 5,036 |
| 15 |
|
* |
| Ascena Retail Group Inc. |
| 13,024 |
| 14 |
|
|
| GameStop Corp. Class A |
| 1,740 |
| 13 |
|
|
| Acushnet Holdings Corp. |
| 477 |
| 11 |
|
* |
| JC Penney Co. Inc. |
| 12,952 |
| 11 |
|
|
| Nielsen Holdings plc |
| 483 |
| 11 |
|
* |
| AMC Networks Inc. Class A |
| 188 |
| 10 |
|
|
|
|
|
|
| 9,520 |
|
Consumer Staples (3.6%) |
|
|
|
|
| ||
|
| CVS Health Corp. |
| 6,832 |
| 358 |
|
|
| Walgreens Boots Alliance Inc. |
| 7,049 |
| 348 |
|
|
| Constellation Brands Inc. Class A |
| 951 |
| 168 |
|
|
| Tyson Foods Inc. Class A |
| 1,526 |
| 116 |
|
|
| Kraft Heinz Co. |
| 3,548 |
| 98 |
|
|
| Kroger Co. |
| 3,509 |
| 80 |
|
|
| Molson Coors Brewing Co. Class B |
| 1,332 |
| 73 |
|
* |
| GNC Holdings Inc. Class A |
| 49,670 |
| 69 |
|
* |
| Hostess Brands Inc. Class A |
| 4,849 |
| 65 |
|
|
| SpartanNash Co. |
| 5,606 |
| 65 |
|
|
| Archer-Daniels-Midland Co. |
| 1,655 |
| 63 |
|
|
| Vector Group Ltd. |
| 6,969 |
| 62 |
|
|
| Bunge Ltd. |
| 1,184 |
| 62 |
|
* |
| Pilgrim’s Pride Corp. |
| 2,113 |
| 54 |
|
|
| Ingredion Inc. |
| 679 |
| 52 |
|
|
| Ingles Markets Inc. Class A |
| 1,713 |
| 51 |
|
|
| B&G Foods Inc. |
| 2,220 |
| 49 |
|
|
| Altria Group Inc. |
| 978 |
| 48 |
|
|
| Weis Markets Inc. |
| 1,135 |
| 43 |
|
* |
| Edgewell Personal Care Co. |
| 1,373 |
| 39 |
|
|
| Andersons Inc. |
| 1,296 |
| 35 |
|
* |
| US Foods Holding Corp. |
| 834 |
| 29 |
|
|
| Fresh Del Monte Produce Inc. |
| 1,146 |
| 29 |
|
* |
| United Natural Foods Inc. |
| 2,570 |
| 26 |
|
|
| Universal Corp. |
| 371 |
| 21 |
|
* |
| Post Holdings Inc. |
| 166 |
| 17 |
|
* |
| Diplomat Pharmacy Inc. |
| 2,390 |
| 11 |
|
|
| Philip Morris International Inc. |
| 120 |
| 9 |
|
|
|
|
|
|
| 2,140 |
|
Energy (13.2%) |
|
|
|
|
| ||
|
| Phillips 66 |
| 4,294 |
| 347 |
|
|
| ConocoPhillips |
| 5,488 |
| 324 |
|
|
| Valero Energy Corp. |
| 4,560 |
| 321 |
|
|
| Chevron Corp. |
| 2,715 |
| 309 |
|
|
| Marathon Petroleum Corp. |
| 6,082 |
| 280 |
|
|
| Kinder Morgan Inc. |
| 13,219 |
| 264 |
|
|
| Occidental Petroleum Corp. |
| 5,180 |
| 258 |
|
|
| Exxon Mobil Corp. |
| 3,537 |
| 250 |
|
|
| EOG Resources Inc. |
| 2,256 |
| 185 |
|
|
| Halliburton Co. |
| 8,655 |
| 184 |
|
|
| Pioneer Natural Resources Co. |
| 1,145 |
| 163 |
|
|
| Schlumberger Ltd. |
| 3,926 |
| 136 |
|
* |
| Whiting Petroleum Corp. |
| 7,012 |
| 129 |
|
* |
| Antero Resources Corp. |
| 16,688 |
| 110 |
|
* |
| Denbury Resources Inc. |
| 69,881 |
| 101 |
|
|
| PBF Energy Inc. Class A |
| 3,802 |
| 100 |
|
|
| Cimarex Energy Co. |
| 1,736 |
| 99 |
|
* |
| Chesapeake Energy Corp. |
| 50,929 |
| 98 |
|
* |
| Carrizo Oil & Gas Inc. |
| 9,308 |
| 95 |
|
|
| Murphy Oil Corp. |
| 3,774 |
| 94 |
|
* |
| Laredo Petroleum Inc. |
| 33,735 |
| 89 |
|
* |
| California Resources Corp. |
| 5,465 |
| 88 |
|
|
| EQT Corp. |
| 4,739 |
| 87 |
|
|
| Valvoline Inc. |
| 4,949 |
| 86 |
|
* |
| Parsley Energy Inc. Class A |
| 4,792 |
| 85 |
|
* |
| CNX Resources Corp. |
| 11,003 |
| 85 |
|
* |
| Ring Energy Inc. |
| 23,896 |
| 85 |
|
* |
| Callon Petroleum Co. |
| 13,392 |
| 84 |
|
|
| Mammoth Energy Services Inc. |
| 7,846 |
| 82 |
|
* |
| Extraction Oil & Gas Inc. |
| 24,084 |
| 82 |
|
* |
| Gulfport Energy Corp. |
| 14,652 |
| 80 |
|
|
| Delek US Holdings Inc. |
| 2,615 |
| 80 |
|
* |
| Centennial Resource Development Inc. Class A |
| 9,847 |
| 78 |
|
* |
| Penn Virginia Corp. |
| 2,541 |
| 77 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Southwestern Energy Co. |
| 21,307 |
| 76 |
|
* |
| Unit Corp. |
| 7,939 |
| 76 |
|
|
| HollyFrontier Corp. |
| 1,996 |
| 76 |
|
* |
| W&T Offshore Inc. |
| 17,189 |
| 72 |
|
|
| Warrior Met Coal Inc. |
| 2,767 |
| 71 |
|
* |
| Par Pacific Holdings Inc. |
| 3,621 |
| 71 |
|
* |
| Select Energy Services Inc. Class A |
| 6,602 |
| 71 |
|
* |
| Oasis Petroleum Inc. |
| 13,519 |
| 70 |
|
* |
| Bonanza Creek Energy Inc. |
| 3,497 |
| 68 |
|
|
| Marathon Oil Corp. |
| 5,132 |
| 67 |
|
* |
| SandRidge Energy Inc. |
| 9,790 |
| 67 |
|
* |
| SRC Energy Inc. |
| 13,875 |
| 66 |
|
* |
| Matador Resources Co. |
| 3,971 |
| 65 |
|
|
| Peabody Energy Corp. |
| 2,746 |
| 65 |
|
|
| Range Resources Corp. |
| 8,191 |
| 64 |
|
* |
| Abraxas Petroleum Corp. |
| 66,082 |
| 63 |
|
|
| Liberty Oilfield Services Inc. Class A |
| 4,830 |
| 62 |
|
* |
| SunCoke Energy Inc. |
| 8,128 |
| 60 |
|
|
| SM Energy Co. |
| 4,948 |
| 58 |
|
* |
| HighPoint Resources Corp. |
| 30,166 |
| 56 |
|
|
| Baker Hughes a GE Co. Class A |
| 2,626 |
| 56 |
|
* |
| Exterran Corp. |
| 4,065 |
| 56 |
|
* |
| Vivint Solar Inc. |
| 8,012 |
| 52 |
|
|
| Concho Resources Inc. |
| 529 |
| 52 |
|
* |
| WPX Energy Inc. |
| 4,741 |
| 51 |
|
* |
| McDermott International Inc. |
| 8,372 |
| 51 |
|
|
| Arch Coal Inc. Class A |
| 555 |
| 49 |
|
* |
| Smart Sand Inc. |
| 14,171 |
| 47 |
|
* |
| Matrix Service Co. |
| 2,579 |
| 47 |
|
* |
| Talos Energy Inc. |
| 1,952 |
| 46 |
|
|
| Diamondback Energy Inc. |
| 463 |
| 45 |
|
|
| CVR Energy Inc. |
| 1,059 |
| 45 |
|
* |
| ProPetro Holding Corp. |
| 2,249 |
| 44 |
|
* |
| Northern Oil and Gas Inc. |
| 21,802 |
| 43 |
|
|
| Patterson-UTI Energy Inc. |
| 4,009 |
| 43 |
|
* |
| CONSOL Energy Inc. |
| 1,617 |
| 42 |
|
* |
| PDC Energy Inc. |
| 1,365 |
| 42 |
|
* |
| Continental Resources Inc. |
| 1,170 |
| 41 |
|
|
| Solaris Oilfield Infrastructure Inc. Class A |
| 2,815 |
| 40 |
|
|
| World Fuel Services Corp. |
| 1,292 |
| 38 |
|
* |
| Jagged Peak Energy Inc. |
| 4,479 |
| 37 |
|
|
| Archrock Inc. |
| 4,173 |
| 37 |
|
* |
| Sunrun Inc. |
| 2,337 |
| 37 |
|
|
| Devon Energy Corp. |
| 1,413 |
| 36 |
|
* |
| Newpark Resources Inc. |
| 4,982 |
| 35 |
|
* |
| Helix Energy Solutions Group Inc. |
| 5,028 |
| 34 |
|
* |
| Renewable Energy Group Inc. |
| 2,006 |
| 31 |
|
|
| Noble Energy Inc. |
| 1,419 |
| 30 |
|
* |
| C&J Energy Services Inc. |
| 2,540 |
| 30 |
|
|
| SemGroup Corp. Class A |
| 2,307 |
| 29 |
|
* |
| REX American Resources Corp. |
| 405 |
| 27 |
|
* |
| Diamond Offshore Drilling Inc. |
| 2,928 |
| 23 |
|
|
| Nabors Industries Ltd. |
| 9,173 |
| 22 |
|
|
| Green Plains Inc. |
| 1,532 |
| 20 |
|
|
| Apache Corp. |
| 646 |
| 17 |
|
* |
| Alta Mesa Resources Inc. Class A |
| 111,695 |
| 16 |
|
* |
| Basic Energy Services Inc. |
| 5,508 |
| 10 |
|
* |
| FTS International Inc. |
| 1,614 |
| 10 |
|
* |
| Halcon Resources Corp. |
| 42,155 |
| 9 |
|
|
|
|
|
|
| 7,779 |
|
Financial Services (26.9%) |
|
|
|
|
| ||
|
| Prudential Financial Inc. |
| 4,176 |
| 386 |
|
|
| American International Group Inc. |
| 7,168 |
| 366 |
|
|
| MetLife Inc. |
| 7,656 |
| 354 |
|
|
| JPMorgan Chase & Co. |
| 3,171 |
| 336 |
|
|
| Citigroup Inc. |
| 5,249 |
| 326 |
|
|
| Capital One Financial Corp. |
| 3,692 |
| 317 |
|
|
| Goldman Sachs Group Inc. |
| 1,723 |
| 314 |
|
|
| PNC Financial Services Group Inc. |
| 2,241 |
| 285 |
|
|
| Morgan Stanley |
| 6,910 |
| 281 |
|
|
| Allstate Corp. |
| 2,941 |
| 281 |
|
|
| Bank of America Corp. |
| 10,414 |
| 277 |
|
|
| State Street Corp. |
| 4,876 |
| 269 |
|
|
| Wells Fargo & Co. |
| 5,923 |
| 263 |
|
|
| US Bancorp |
| 5,116 |
| 257 |
|
|
| BB&T Corp. |
| 4,842 |
| 226 |
|
|
| Bank of New York Mellon Corp. |
| 4,881 |
| 208 |
|
|
| Chubb Ltd. |
| 1,255 |
| 183 |
|
|
| Travelers Cos. Inc. |
| 1,050 |
| 153 |
|
|
| Aflac Inc. |
| 2,875 |
| 147 |
|
|
| BlackRock Inc. |
| 332 |
| 138 |
|
|
| Radian Group Inc. |
| 5,757 |
| 129 |
|
|
| OneMain Holdings Inc. |
| 4,211 |
| 126 |
|
|
| Loews Corp. |
| 2,449 |
| 126 |
|
|
| Hartford Financial Services Group Inc. |
| 2,260 |
| 119 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Reinsurance Group of America Inc. Class A |
| 738 |
| 109 |
|
|
| Everest Re Group Ltd. |
| 431 |
| 107 |
|
* |
| Essent Group Ltd. |
| 2,206 |
| 104 |
|
|
| Santander Consumer USA Holdings Inc. |
| 4,454 |
| 100 |
|
|
| Stifel Financial Corp. |
| 1,848 |
| 99 |
|
|
| CNO Financial Group Inc. |
| 6,210 |
| 98 |
|
|
| Ally Financial Inc. |
| 3,280 |
| 95 |
|
|
| Navient Corp. |
| 7,257 |
| 95 |
|
|
| Torchmark Corp. |
| 1,093 |
| 93 |
|
|
| Lincoln National Corp. |
| 1,548 |
| 92 |
|
* |
| Athene Holding Ltd. Class A |
| 2,259 |
| 92 |
|
|
| M&T Bank Corp. |
| 570 |
| 91 |
|
|
| Cadence BanCorp Class A |
| 4,903 |
| 91 |
|
|
| Sterling Bancorp |
| 4,620 |
| 89 |
|
|
| Axis Capital Holdings Ltd. |
| 1,482 |
| 88 |
|
|
| Synchrony Financial |
| 2,603 |
| 88 |
|
|
| Principal Financial Group Inc. |
| 1,668 |
| 86 |
|
|
| Citizens Financial Group Inc. |
| 2,620 |
| 85 |
|
|
| AXA Equitable Holdings Inc. |
| 4,130 |
| 85 |
|
|
| TD Ameritrade Holding Corp. |
| 1,705 |
| 85 |
|
|
| United Bankshares Inc. |
| 2,342 |
| 84 |
|
* |
| Texas Capital Bancshares Inc. |
| 1,453 |
| 83 |
|
|
| IBERIABANK Corp. |
| 1,141 |
| 82 |
|
|
| Popular Inc. |
| 1,550 |
| 81 |
|
|
| Voya Financial Inc. |
| 1,568 |
| 80 |
|
|
| CIT Group Inc. |
| 1,665 |
| 79 |
|
|
| Bank OZK |
| 2,667 |
| 77 |
|
|
| Simmons First National Corp. Class A |
| 3,376 |
| 77 |
|
|
| Fifth Third Bancorp |
| 2,889 |
| 77 |
|
* |
| Enstar Group Ltd. |
| 464 |
| 76 |
|
|
| ConnectOne Bancorp Inc. |
| 3,625 |
| 76 |
|
* |
| MGIC Investment Corp. |
| 5,544 |
| 75 |
|
* |
| Brighthouse Financial Inc. |
| 2,106 |
| 75 |
|
|
| First American Financial Corp. |
| 1,425 |
| 74 |
|
|
| Assurant Inc. |
| 736 |
| 74 |
|
* |
| Customers Bancorp Inc. |
| 3,696 |
| 73 |
|
|
| Cathay General Bancorp |
| 2,162 |
| 73 |
|
|
| FGL Holdings |
| 9,129 |
| 73 |
|
|
| Unum Group |
| 2,271 |
| 71 |
|
* |
| Cowen Inc. Class A |
| 4,696 |
| 71 |
|
|
| Franklin Resources Inc. |
| 2,220 |
| 71 |
|
|
| Janus Henderson Group plc |
| 3,405 |
| 69 |
|
|
| Invesco Ltd. |
| 3,484 |
| 68 |
|
|
| Nelnet Inc. Class A |
| 1,129 |
| 67 |
|
|
| KeyCorp |
| 4,068 |
| 65 |
|
|
| Assured Guaranty Ltd. |
| 1,577 |
| 64 |
|
* |
| Encore Capital Group Inc. |
| 1,873 |
| 64 |
|
|
| Chemical Financial Corp. |
| 1,692 |
| 64 |
|
|
| Office Properties Income Trust |
| 2,595 |
| 62 |
|
|
| Huntington Bancshares Inc. |
| 4,903 |
| 62 |
|
|
| Meta Financial Group Inc. |
| 2,361 |
| 62 |
|
|
| Piper Jaffray Cos. |
| 871 |
| 62 |
|
* |
| Western Alliance Bancorp |
| 1,493 |
| 61 |
|
|
| Regions Financial Corp. |
| 4,425 |
| 61 |
|
* |
| HomeStreet Inc. |
| 2,148 |
| 61 |
|
|
| Pinnacle Financial Partners Inc. |
| 1,151 |
| 61 |
|
|
| Home BancShares Inc. |
| 3,469 |
| 61 |
|
|
| Pacific Premier Bancorp Inc. |
| 2,118 |
| 60 |
|
|
| American National Insurance Co. |
| 527 |
| 60 |
|
|
| Discover Financial Services |
| 799 |
| 60 |
|
|
| Washington Federal Inc. |
| 1,878 |
| 59 |
|
|
| South State Corp. |
| 890 |
| 59 |
|
|
| Hancock Whitney Corp. |
| 1,533 |
| 58 |
|
|
| Signature Bank |
| 500 |
| 57 |
|
|
| Umpqua Holdings Corp. |
| 3,573 |
| 57 |
|
|
| FNB Corp. |
| 5,161 |
| 57 |
|
|
| Hanmi Financial Corp. |
| 2,721 |
| 56 |
|
|
| Jones Lang LaSalle Inc. |
| 448 |
| 56 |
|
|
| Wintrust Financial Corp. |
| 820 |
| 56 |
|
|
| Old Republic International Corp. |
| 2,518 |
| 56 |
|
|
| First Horizon National Corp. |
| 4,091 |
| 55 |
|
|
| Dime Community Bancshares Inc. |
| 3,077 |
| 55 |
|
|
| Alliance Data Systems Corp. |
| 396 |
| 54 |
|
|
| American Financial Group Inc. |
| 554 |
| 54 |
|
|
| Legg Mason Inc. |
| 1,501 |
| 53 |
|
|
| Associated Banc-Corp |
| 2,698 |
| 53 |
|
|
| Peapack Gladstone Financial Corp. |
| 1,963 |
| 53 |
|
|
| Lakeland Bancorp Inc. |
| 3,426 |
| 53 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Great Western Bancorp Inc. |
| 1,695 |
| 53 |
|
|
| New York Community Bancorp Inc. |
| 5,218 |
| 52 |
|
|
| Sabra Health Care REIT Inc. |
| 2,633 |
| 51 |
|
|
| First Foundation Inc. |
| 3,862 |
| 51 |
|
|
| iStar Inc. |
| 4,592 |
| 51 |
|
|
| Boston Private Financial Holdings Inc. |
| 4,929 |
| 51 |
|
|
| Hope Bancorp Inc. |
| 3,897 |
| 50 |
|
|
| Synovus Financial Corp. |
| 1,564 |
| 50 |
|
|
| UMB Financial Corp. |
| 807 |
| 50 |
|
|
| PacWest Bancorp |
| 1,369 |
| 50 |
|
|
| Virtus Investment Partners Inc. |
| 484 |
| 49 |
|
* |
| Bancorp Inc. |
| 5,516 |
| 49 |
|
|
| Raymond James Financial Inc. |
| 594 |
| 49 |
|
|
| BankUnited Inc. |
| 1,491 |
| 48 |
|
|
| Industrial Logistics Properties Trust |
| 2,549 |
| 48 |
|
|
| National Western Life Group Inc. Class A |
| 180 |
| 48 |
|
|
| First Citizens BancShares Inc. Class A |
| 114 |
| 48 |
|
|
| Ameris Bancorp |
| 1,346 |
| 47 |
|
|
| Jefferies Financial Group Inc. |
| 2,687 |
| 47 |
|
|
| East West Bancorp Inc. |
| 1,111 |
| 47 |
|
* |
| Berkshire Hathaway Inc. Class B |
| 240 |
| 47 |
|
|
| Heritage Insurance Holdings Inc. |
| 3,205 |
| 47 |
|
|
| Preferred Bank |
| 1,065 |
| 47 |
|
|
| CenterState Bank Corp. |
| 2,123 |
| 46 |
|
|
| Banco Latinoamericano de Comercio Exterior SA |
| 2,314 |
| 46 |
|
* |
| Third Point Reinsurance Ltd. |
| 4,518 |
| 46 |
|
|
| American Equity Investment Life Holding Co. |
| 1,616 |
| 46 |
|
|
| United Financial Bancorp Inc. |
| 3,506 |
| 46 |
|
|
| Valley National Bancorp |
| 4,646 |
| 46 |
|
* |
| Arch Capital Group Ltd. |
| 1,321 |
| 45 |
|
|
| Affiliated Managers Group Inc. |
| 529 |
| 44 |
|
|
| Banc of California Inc. |
| 3,337 |
| 44 |
|
|
| Realogy Holdings Corp. |
| 6,220 |
| 44 |
|
|
| Zions Bancorp NA |
| 1,022 |
| 44 |
|
|
| Brookline Bancorp Inc. |
| 2,990 |
| 43 |
|
|
| Midland States Bancorp Inc. |
| 1,745 |
| 43 |
|
|
| LegacyTexas Financial Group Inc. |
| 1,169 |
| 43 |
|
|
| PennyMac Financial Services Inc. |
| 1,976 |
| 42 |
|
|
| First Hawaiian Inc. |
| 1,682 |
| 42 |
|
|
| Comerica Inc. |
| 608 |
| 42 |
|
* |
| Ambac Financial Group Inc. |
| 2,743 |
| 42 |
|
|
| Charles Schwab Corp. |
| 1,001 |
| 42 |
|
* |
| EZCORP Inc. Class A |
| 4,719 |
| 41 |
|
|
| Enterprise Financial Services Corp. |
| 1,049 |
| 41 |
|
|
| BOK Financial Corp. |
| 546 |
| 41 |
|
|
| SLM Corp. |
| 4,275 |
| 41 |
|
|
| E*TRADE Financial Corp. |
| 906 |
| 41 |
|
* |
| Greenlight Capital Re Ltd. Class A |
| 3,963 |
| 40 |
|
|
| Provident Financial Services Inc. |
| 1,681 |
| 40 |
|
|
| People’s United Financial Inc. |
| 2,574 |
| 40 |
|
|
| Jernigan Capital Inc. |
| 1,843 |
| 39 |
|
|
| Trustmark Corp. |
| 1,182 |
| 38 |
|
|
| JBG SMITH Properties |
| 936 |
| 37 |
|
|
| Columbia Banking System Inc. |
| 1,102 |
| 37 |
|
|
| Hilltop Holdings Inc. |
| 1,822 |
| 37 |
|
|
| Renasant Corp. |
| 1,079 |
| 36 |
|
|
| Horace Mann Educators Corp. |
| 899 |
| 36 |
|
* |
| Mr Cooper Group Inc. |
| 4,807 |
| 36 |
|
* |
| SVB Financial Group |
| 177 |
| 36 |
|
|
| Apple Hospitality REIT Inc. |
| 2,308 |
| 36 |
|
|
| CNA Financial Corp. |
| 787 |
| 35 |
|
|
| Univest Financial Corp. |
| 1,478 |
| 35 |
|
|
| International Bancshares Corp. |
| 966 |
| 35 |
|
* |
| Equity Bancshares Inc. Class A |
| 1,415 |
| 35 |
|
* |
| Everi Holdings Inc. |
| 3,152 |
| 35 |
|
|
| Ameriprise Financial Inc. |
| 253 |
| 35 |
|
|
| Berkshire Hills Bancorp Inc. |
| 1,166 |
| 34 |
|
* |
| Alleghany Corp. |
| 51 |
| 34 |
|
|
| OFG Bancorp |
| 1,798 |
| 34 |
|
|
| S&T Bancorp Inc. |
| 890 |
| 34 |
|
|
| Oppenheimer Holdings Inc. Class A |
| 1,348 |
| 33 |
|
* |
| PRA Group Inc. |
| 1,199 |
| 33 |
|
|
| Prosperity Bancshares Inc. |
| 506 |
| 33 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Walker & Dunlop Inc. |
| 650 |
| 33 |
|
|
| RenaissanceRe Holdings Ltd. |
| 185 |
| 32 |
|
|
| National General Holdings Corp. |
| 1,419 |
| 32 |
|
|
| Federal Agricultural Mortgage Corp. |
| 469 |
| 32 |
|
|
| Sandy Spring Bancorp Inc. |
| 981 |
| 32 |
|
|
| Bank of NT Butterfield & Son Ltd. |
| 938 |
| 31 |
|
|
| First Financial Bancorp |
| 1,371 |
| 31 |
|
* |
| Altisource Portfolio Solutions SA |
| 1,507 |
| 30 |
|
|
| Newmark Group Inc. Class A |
| 3,792 |
| 30 |
|
|
| Oritani Financial Corp. |
| 1,864 |
| 30 |
|
|
| First Busey Corp. |
| 1,200 |
| 30 |
|
|
| Franklin Financial Network Inc. |
| 1,123 |
| 29 |
|
* |
| TriState Capital Holdings Inc. |
| 1,419 |
| 29 |
|
|
| Investors Bancorp Inc. |
| 2,802 |
| 29 |
|
|
| BBX Capital Corp. Class A |
| 7,128 |
| 29 |
|
|
| Webster Financial Corp. |
| 645 |
| 29 |
|
* |
| MoneyGram International Inc. |
| 20,421 |
| 28 |
|
|
| FB Financial Corp. |
| 791 |
| 28 |
|
|
| First Merchants Corp. |
| 819 |
| 27 |
|
|
| Hanover Insurance Group Inc. |
| 219 |
| 27 |
|
* |
| CoreLogic Inc. |
| 670 |
| 26 |
|
|
| First BanCorp (XNYS) |
| 2,515 |
| 25 |
|
* |
| Cardtronics plc Class A |
| 824 |
| 25 |
|
|
| Flagstar Bancorp Inc. |
| 773 |
| 24 |
|
|
| First Interstate BancSystem Inc. Class A |
| 652 |
| 24 |
|
|
| Heritage Commerce Corp. |
| 2,001 |
| 24 |
|
|
| Waddell & Reed Financial Inc. Class A |
| 1,452 |
| 23 |
|
|
| GAIN Capital Holdings Inc. |
| 5,929 |
| 23 |
|
|
| Opus Bank |
| 1,086 |
| 22 |
|
|
| Veritex Holdings Inc. |
| 830 |
| 21 |
|
|
| United Community Banks Inc. |
| 794 |
| 21 |
|
* |
| Axos Financial Inc. |
| 770 |
| 21 |
|
|
| Old National Bancorp |
| 1,315 |
| 21 |
|
|
| First BanCorp (XNGS) |
| 579 |
| 20 |
|
|
| OceanFirst Financial Corp. |
| 843 |
| 20 |
|
|
| First Commonwealth Financial Corp. |
| 1,524 |
| 19 |
|
|
| Bryn Mawr Bank Corp. |
| 519 |
| 19 |
|
|
| BancorpSouth Bank |
| 700 |
| 19 |
|
|
| WesBanco Inc. |
| 527 |
| 19 |
|
|
| NorthStar Realty Europe Corp. |
| 1,125 |
| 19 |
|
* |
| Triumph Bancorp Inc. |
| 658 |
| 18 |
|
|
| Carolina Financial Corp. |
| 541 |
| 18 |
|
|
| Heartland Financial USA Inc. |
| 424 |
| 17 |
|
|
| Eagle Bancorp Inc. |
| 324 |
| 17 |
|
|
| First Midwest Bancorp Inc. |
| 878 |
| 17 |
|
|
| Independent Bank Group Inc. |
| 324 |
| 17 |
|
* |
| NMI Holdings Inc. Class A |
| 596 |
| 16 |
|
|
| BGC Partners Inc. Class A |
| 3,439 |
| 16 |
|
* |
| On Deck Capital Inc. |
| 3,382 |
| 14 |
|
|
| HCI Group Inc. |
| 330 |
| 13 |
|
* |
| Enova International Inc. |
| 602 |
| 13 |
|
|
| Towne Bank |
| 477 |
| 12 |
|
|
| Argo Group International Holdings Ltd. |
| 165 |
| 12 |
|
|
| Banner Corp. |
| 186 |
| 9 |
|
|
| Maiden Holdings Ltd. |
| 15,339 |
| 8 |
|
|
|
|
|
|
| 15,890 |
|
Health Care (4.9%) |
|
|
|
|
| ||
|
| HCA Healthcare Inc. |
| 3,303 |
| 400 |
|
|
| Cigna Corp. |
| 2,208 |
| 327 |
|
* |
| Biogen Inc. |
| 1,353 |
| 297 |
|
|
| Gilead Sciences Inc. |
| 3,023 |
| 188 |
|
|
| Allergan plc |
| 1,059 |
| 129 |
|
* |
| Laboratory Corp. of America Holdings |
| 547 |
| 89 |
|
* |
| United Therapeutics Corp. |
| 1,048 |
| 88 |
|
|
| Bristol-Myers Squibb Co. |
| 1,673 |
| 76 |
|
|
| Universal Health Services Inc. Class B |
| 628 |
| 75 |
|
* |
| Jazz Pharmaceuticals plc |
| 573 |
| 72 |
|
|
| National HealthCare Corp. |
| 924 |
| 72 |
|
* |
| Acadia Healthcare Co. Inc. |
| 2,210 |
| 71 |
|
* |
| MEDNAX Inc. |
| 2,851 |
| 70 |
|
* |
| Premier Inc. Class A |
| 1,855 |
| 68 |
|
|
| Perrigo Co. plc |
| 1,566 |
| 66 |
|
* |
| Tenet Healthcare Corp. |
| 2,989 |
| 60 |
|
|
| Cardinal Health Inc. |
| 1,389 |
| 58 |
|
* |
| American Renal Associates Holdings Inc. |
| 8,871 |
| 58 |
|
* |
| DaVita Inc. |
| 1,322 |
| 57 |
|
* |
| Mylan NV |
| 3,179 |
| 53 |
|
* |
| Syneos Health Inc. |
| 1,171 |
| 48 |
|
* |
| Magellan Health Inc. |
| 658 |
| 43 |
|
* |
| Lannett Co. Inc. |
| 7,859 |
| 41 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
|
| Patterson Cos. Inc. |
| 1,934 |
| 41 |
|
|
| Anthem Inc. |
| 139 |
| 39 |
|
|
| Quest Diagnostics Inc. |
| 396 |
| 38 |
|
|
| Owens & Minor Inc. |
| 12,853 |
| 35 |
|
* |
| Assertio Therapeutics Inc. |
| 11,741 |
| 34 |
|
* |
| Avanos Medical Inc. |
| 867 |
| 33 |
|
* |
| PDL BioPharma Inc. |
| 11,122 |
| 31 |
|
* |
| Select Medical Holdings Corp. |
| 2,070 |
| 29 |
|
* |
| Innoviva Inc. |
| 1,983 |
| 27 |
|
* |
| Tivity Health Inc. |
| 1,445 |
| 26 |
|
* |
| Prestige Consumer Healthcare Inc. |
| 845 |
| 25 |
|
* |
| Triple-S Management Corp. Class B |
| 933 |
| 23 |
|
* |
| Mallinckrodt plc |
| 1,605 |
| 14 |
|
|
|
|
|
|
| 2,901 |
|
Materials & Processing (7.6%) |
|
|
|
|
| ||
|
| DowDuPont Inc. |
| 11,308 |
| 345 |
|
|
| LyondellBasell Industries NV Class A |
| 4,376 |
| 325 |
|
|
| Westlake Chemical Corp. |
| 2,113 |
| 121 |
|
|
| Olin Corp. |
| 5,900 |
| 116 |
|
|
| United States Steel Corp. |
| 9,359 |
| 111 |
|
|
| Huntsman Corp. |
| 6,116 |
| 106 |
|
|
| Eastman Chemical Co. |
| 1,493 |
| 97 |
|
|
| GrafTech International Ltd. |
| 9,098 |
| 90 |
|
|
| Owens Corning |
| 1,773 |
| 86 |
|
|
| Mosaic Co. |
| 3,946 |
| 85 |
|
|
| Nucor Corp. |
| 1,763 |
| 85 |
|
|
| Rayonier Advanced Materials Inc. |
| 12,858 |
| 84 |
|
|
| Steel Dynamics Inc. |
| 3,295 |
| 83 |
|
|
| Southern Copper Corp. |
| 2,349 |
| 79 |
|
|
| International Paper Co. |
| 1,827 |
| 76 |
|
|
| Reliance Steel & Aluminum Co. |
| 896 |
| 75 |
|
|
| PH Glatfelter Co. |
| 4,744 |
| 69 |
|
|
| Schweitzer-Mauduit International Inc. |
| 2,201 |
| 69 |
|
|
| Graphic Packaging Holding Co. |
| 5,293 |
| 69 |
|
|
| Westrock Co. |
| 2,108 |
| 69 |
|
|
| Chemours Co. |
| 3,190 |
| 67 |
|
|
| Freeport-McMoRan Inc. |
| 6,828 |
| 66 |
|
|
| Eagle Materials Inc. |
| 751 |
| 65 |
|
|
| Trinseo SA |
| 1,721 |
| 63 |
|
* |
| GMS Inc. |
| 3,708 |
| 62 |
|
|
| Albemarle Corp. |
| 975 |
| 62 |
|
|
| Kronos Worldwide Inc. |
| 4,893 |
| 62 |
|
|
| Louisiana-Pacific Corp. |
| 2,689 |
| 61 |
|
* |
| Builders FirstSource Inc. |
| 4,332 |
| 61 |
|
|
| Dow Inc. |
| 1,299 |
| 61 |
|
|
| Carpenter Technology Corp. |
| 1,457 |
| 59 |
|
* |
| Clearwater Paper Corp. |
| 3,530 |
| 57 |
|
|
| Packaging Corp. of America |
| 635 |
| 56 |
|
|
| Timken Co. |
| 1,270 |
| 56 |
|
* |
| Alcoa Corp. |
| 2,517 |
| 53 |
|
|
| Innophos Holdings Inc. |
| 2,004 |
| 53 |
|
|
| Cabot Corp. |
| 1,311 |
| 52 |
|
|
| Tronox Holdings plc Class A |
| 5,472 |
| 51 |
|
|
| Owens-Illinois Inc. |
| 3,120 |
| 50 |
|
|
| Minerals Technologies Inc. |
| 938 |
| 49 |
|
* |
| US Concrete Inc. |
| 1,036 |
| 48 |
|
* |
| Verso Corp. |
| 2,800 |
| 48 |
|
* |
| BMC Stock Holdings Inc. |
| 2,393 |
| 48 |
|
|
| Schnitzer Steel Industries Inc. |
| 2,215 |
| 47 |
|
* |
| Kraton Corp. |
| 1,903 |
| 47 |
|
|
| Apogee Enterprises Inc. |
| 1,226 |
| 44 |
|
* |
| Element Solutions Inc. |
| 4,648 |
| 44 |
|
* |
| Patrick Industries Inc. |
| 1,067 |
| 43 |
|
|
| Gold Resource Corp. |
| 14,795 |
| 42 |
|
|
| Celanese Corp. Class A |
| 436 |
| 41 |
|
|
| Greif Inc. Class A |
| 1,160 |
| 41 |
|
* |
| Summit Materials Inc. Class A |
| 2,832 |
| 40 |
|
|
| CF Industries Holdings Inc. |
| 895 |
| 36 |
|
|
| Belden Inc. |
| 686 |
| 35 |
|
|
| Griffon Corp. |
| 2,341 |
| 34 |
|
|
| Boise Cascade Co. |
| 1,469 |
| 33 |
|
|
| Domtar Corp. |
| 725 |
| 30 |
|
|
| Commercial Metals Co. |
| 2,265 |
| 30 |
|
|
| NN Inc. |
| 3,815 |
| 29 |
|
|
| Quanex Building Products Corp. |
| 1,880 |
| 29 |
|
|
| Cleveland-Cliffs Inc. |
| 3,319 |
| 29 |
|
* |
| Intrepid Potash Inc. |
| 8,488 |
| 27 |
|
* |
| AdvanSix Inc. |
| 1,027 |
| 25 |
|
* |
| Cornerstone Building Brands Inc. |
| 5,255 |
| 23 |
|
|
| Hecla Mining Co. |
| 17,319 |
| 23 |
|
* |
| PQ Group Holdings Inc. |
| 1,439 |
| 22 |
|
* |
| AK Steel Holding Corp. |
| 12,068 |
| 21 |
|
* |
| Continental Building Products Inc. |
| 839 |
| 19 |
|
* |
| Masonite International Corp. |
| 389 |
| 18 |
|
|
| Worthington Industries Inc. |
| 518 |
| 18 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Veritiv Corp. |
| 995 |
| 18 |
|
|
| Haynes International Inc. |
| 514 |
| 15 |
|
* |
| Unifi Inc. |
| 717 |
| 13 |
|
|
|
|
|
|
| 4,466 |
|
Producer Durables (13.5%) |
|
|
|
|
| ||
|
| Delta Air Lines Inc. |
| 6,581 |
| 339 |
|
|
| FedEx Corp. |
| 2,109 |
| 325 |
|
|
| Southwest Airlines Co. |
| 6,324 |
| 301 |
|
|
| Eaton Corp. plc |
| 3,553 |
| 265 |
|
|
| Johnson Controls International plc |
| 5,599 |
| 216 |
|
* |
| Conduent Inc. |
| 22,619 |
| 201 |
|
|
| United Technologies Corp. |
| 1,400 |
| 177 |
|
|
| Norfolk Southern Corp. |
| 878 |
| 171 |
|
|
| Caterpillar Inc. |
| 1,353 |
| 162 |
|
|
| Deere & Co. |
| 780 |
| 109 |
|
|
| Xerox Corp. |
| 3,380 |
| 103 |
|
|
| Air Lease Corp. Class A |
| 2,871 |
| 103 |
|
|
| Cummins Inc. |
| 682 |
| 103 |
|
* |
| JetBlue Airways Corp. |
| 5,905 |
| 102 |
|
* |
| XPO Logistics Inc. |
| 1,918 |
| 100 |
|
* |
| United Rentals Inc. |
| 879 |
| 97 |
|
* |
| United Continental Holdings Inc. |
| 1,243 |
| 97 |
|
* |
| AerCap Holdings NV |
| 2,118 |
| 95 |
|
|
| Ryder System Inc. |
| 1,838 |
| 93 |
|
* |
| US Xpress Enterprises Inc. Class A |
| 16,736 |
| 91 |
|
|
| Arconic Inc. |
| 3,932 |
| 86 |
|
|
| KBR Inc. |
| 3,657 |
| 81 |
|
* |
| Gates Industrial Corp. plc |
| 7,203 |
| 81 |
|
* |
| Atlas Air Worldwide Holdings Inc. |
| 2,289 |
| 81 |
|
* |
| AECOM |
| 2,527 |
| 81 |
|
* |
| Navistar International Corp. |
| 2,493 |
| 78 |
|
|
| RR Donnelley & Sons Co. |
| 34,543 |
| 77 |
|
|
| Oshkosh Corp. |
| 1,067 |
| 76 |
|
|
| Alaska Air Group Inc. |
| 1,298 |
| 76 |
|
|
| ADT Inc. |
| 12,836 |
| 75 |
|
|
| Knight-Swift Transportation Holdings Inc. |
| 2,622 |
| 72 |
|
|
| Kelly Services Inc. Class A |
| 3,004 |
| 71 |
|
* |
| Spirit Airlines Inc. |
| 1,524 |
| 70 |
|
* |
| Colfax Corp. |
| 2,788 |
| 70 |
|
|
| Hawaiian Holdings Inc. |
| 2,797 |
| 70 |
|
* |
| Modine Manufacturing Co. |
| 5,395 |
| 69 |
|
|
| SkyWest Inc. |
| 1,179 |
| 69 |
|
* |
| WESCO International Inc. |
| 1,472 |
| 69 |
|
* |
| Wesco Aircraft Holdings Inc. |
| 6,822 |
| 67 |
|
|
| Copa Holdings SA Class A |
| 735 |
| 66 |
|
|
| Aircastle Ltd. |
| 3,382 |
| 66 |
|
* |
| MasTec Inc. |
| 1,354 |
| 63 |
|
* |
| Genesee & Wyoming Inc. Class A |
| 659 |
| 63 |
|
|
| GasLog Ltd. |
| 4,340 |
| 63 |
|
|
| Trinity Industries Inc. |
| 3,238 |
| 62 |
|
|
| AGCO Corp. |
| 918 |
| 61 |
|
|
| Costamare Inc. |
| 11,934 |
| 61 |
|
* |
| Lydall Inc. |
| 3,367 |
| 61 |
|
|
| Textron Inc. |
| 1,334 |
| 60 |
|
|
| Quanta Services Inc. |
| 1,706 |
| 59 |
|
|
| ManpowerGroup Inc. |
| 680 |
| 58 |
|
* |
| Tutor Perini Corp. |
| 3,990 |
| 58 |
|
* |
| Milacron Holdings Corp. |
| 5,014 |
| 58 |
|
* |
| Frontline Ltd. |
| 7,197 |
| 56 |
|
|
| American Airlines Group Inc. |
| 2,057 |
| 56 |
|
|
| Titan International Inc. |
| 13,271 |
| 56 |
|
* |
| Textainer Group Holdings Ltd. |
| 6,022 |
| 56 |
|
* |
| Genco Shipping & Trading Ltd. |
| 7,454 |
| 54 |
|
|
| Fluor Corp. |
| 1,925 |
| 53 |
|
|
| DHT Holdings Inc. |
| 9,548 |
| 53 |
|
|
| ACCO Brands Corp. |
| 6,961 |
| 51 |
|
|
| Ship Finance International Ltd. |
| 4,086 |
| 51 |
|
* |
| CAI International Inc. |
| 2,174 |
| 49 |
|
* |
| Herc Holdings Inc. |
| 1,429 |
| 49 |
|
|
| PACCAR Inc. |
| 737 |
| 49 |
|
|
| Scorpio Bulkers Inc. |
| 11,460 |
| 49 |
|
* |
| SEACOR Holdings Inc. |
| 1,124 |
| 47 |
|
|
| Snap-on Inc. |
| 299 |
| 47 |
|
|
| Regal Beloit Corp. |
| 636 |
| 46 |
|
* |
| YRC Worldwide Inc. |
| 10,849 |
| 46 |
|
* |
| TrueBlue Inc. |
| 2,153 |
| 46 |
|
* |
| Allegheny Technologies Inc. |
| 2,124 |
| 46 |
|
|
| Greenbrier Cos. Inc. |
| 1,661 |
| 45 |
|
* |
| Blue Bird Corp. |
| 2,394 |
| 45 |
|
|
| Pitney Bowes Inc. |
| 12,213 |
| 45 |
|
|
| nVent Electric plc |
| 1,911 |
| 44 |
|
|
| Allegiant Travel Co. Class A |
| 311 |
| 44 |
|
|
| Werner Enterprises Inc. |
| 1,562 |
| 44 |
|
|
| Primoris Services Corp. |
| 2,355 |
| 43 |
|
|
| Kennametal Inc. |
| 1,372 |
| 42 |
|
* |
| Covenant Transportation Group Inc. Class A |
| 2,780 |
| 42 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Vectrus Inc. |
| 1,172 |
| 41 |
|
|
| Triton International Ltd. |
| 1,396 |
| 41 |
|
|
| Knoll Inc. |
| 2,092 |
| 41 |
|
|
| ArcBest Corp. |
| 1,593 |
| 40 |
|
|
| Schneider National Inc. Class B |
| 2,290 |
| 38 |
|
|
| Matson Inc. |
| 1,121 |
| 38 |
|
|
| Steelcase Inc. Class A |
| 2,384 |
| 38 |
|
|
| Wabash National Corp. |
| 2,829 |
| 38 |
|
|
| Triumph Group Inc. |
| 1,871 |
| 36 |
|
|
| GATX Corp. |
| 474 |
| 33 |
|
|
| Marten Transport Ltd. |
| 1,876 |
| 33 |
|
|
| Columbus McKinnon Corp. |
| 908 |
| 33 |
|
* |
| International Seaways Inc. |
| 1,836 |
| 33 |
|
|
| AAR Corp. |
| 1,077 |
| 32 |
|
* |
| Aegion Corp. Class A |
| 2,139 |
| 31 |
|
|
| Navigant Consulting Inc. |
| 1,361 |
| 30 |
|
|
| Deluxe Corp. |
| 790 |
| 29 |
|
|
| REV Group Inc. |
| 2,630 |
| 29 |
|
* |
| Daseke Inc. |
| 6,640 |
| 29 |
|
* |
| Hub Group Inc. Class A |
| 730 |
| 28 |
|
|
| Quad/Graphics Inc. |
| 3,392 |
| 28 |
|
* |
| Darling Ingredients Inc. |
| 1,412 |
| 27 |
|
* |
| SPX FLOW Inc. |
| 747 |
| 27 |
|
* |
| Sykes Enterprises Inc. |
| 1,020 |
| 25 |
|
* |
| Atkore International Group Inc. |
| 1,064 |
| 25 |
|
|
| EnPro Industries Inc. |
| 441 |
| 24 |
|
|
| Briggs & Stratton Corp. |
| 2,578 |
| 24 |
|
* |
| MYR Group Inc. |
| 696 |
| 22 |
|
* |
| Saia Inc. |
| 376 |
| 22 |
|
|
| ABM Industries Inc. |
| 605 |
| 22 |
|
* |
| CIRCOR International Inc. |
| 488 |
| 21 |
|
|
| Teekay Corp. |
| 6,051 |
| 19 |
|
|
| Systemax Inc. |
| 909 |
| 19 |
|
|
| Terex Corp. |
| 697 |
| 19 |
|
* |
| Echo Global Logistics Inc. |
| 923 |
| 18 |
|
* |
| Sterling Construction Co. Inc. |
| 1,483 |
| 18 |
|
|
| H&E Equipment Services Inc. |
| 550 |
| 13 |
|
* |
| Titan Machinery Inc. |
| 731 |
| 12 |
|
* |
| Manitowoc Co. Inc. |
| 680 |
| 9 |
|
|
|
|
|
|
| 7,967 |
|
Technology (7.2%) |
|
|
|
|
| ||
* |
| Micron Technology Inc. |
| 12,518 |
| 408 |
|
|
| HP Inc. |
| 17,647 |
| 330 |
|
|
| NXP Semiconductors NV |
| 3,616 |
| 319 |
|
|
| Intel Corp. |
| 4,214 |
| 186 |
|
|
| TE Connectivity Ltd. |
| 2,201 |
| 185 |
|
|
| Lam Research Corp. |
| 1,025 |
| 179 |
|
|
| Cognizant Technology Solutions Corp. Class A |
| 2,235 |
| 138 |
|
|
| International Business Machines Corp. |
| 1,039 |
| 132 |
|
|
| QUALCOMM Inc. |
| 1,768 |
| 118 |
|
|
| KEMET Corp. |
| 5,716 |
| 91 |
|
* |
| Flex Ltd. |
| 10,130 |
| 91 |
|
|
| Hewlett Packard Enterprise Co. |
| 6,540 |
| 90 |
|
|
| Western Digital Corp. |
| 2,218 |
| 83 |
|
|
| Jabil Inc. |
| 3,141 |
| 77 |
|
* |
| Unisys Corp. |
| 7,596 |
| 74 |
|
* |
| Yandex NV Class A |
| 1,970 |
| 71 |
|
|
| Corning Inc. |
| 2,353 |
| 68 |
|
|
| DXC Technology Co. |
| 1,376 |
| 65 |
|
* |
| Tech Data Corp. |
| 697 |
| 63 |
|
|
| Avnet Inc. |
| 1,512 |
| 62 |
|
* |
| TTM Technologies Inc. |
| 7,148 |
| 61 |
|
|
| Maxar Technologies Inc. |
| 8,950 |
| 61 |
|
|
| LogMeIn Inc. |
| 840 |
| 60 |
|
* |
| CommScope Holding Co. Inc. |
| 3,608 |
| 58 |
|
* |
| Asure Software Inc. |
| 8,660 |
| 56 |
|
* |
| SMART Global Holdings Inc. |
| 3,224 |
| 55 |
|
* |
| EchoStar Corp. Class A |
| 1,250 |
| 54 |
|
* |
| Qorvo Inc. |
| 820 |
| 50 |
|
|
| Vishay Intertechnology Inc. |
| 3,173 |
| 48 |
|
|
| ManTech International Corp. Class A |
| 786 |
| 48 |
|
|
| Applied Materials Inc. |
| 1,206 |
| 47 |
|
* |
| ON Semiconductor Corp. |
| 2,555 |
| 45 |
|
|
| Seagate Technology plc |
| 1,051 |
| 44 |
|
* |
| Synaptics Inc. |
| 1,633 |
| 43 |
|
* |
| Insight Enterprises Inc. |
| 795 |
| 41 |
|
* |
| Amkor Technology Inc. |
| 5,928 |
| 38 |
|
* |
| Avaya Holdings Corp. |
| 2,986 |
| 38 |
|
* |
| Anixter International Inc. |
| 671 |
| 36 |
|
* |
| Sanmina Corp. |
| 1,334 |
| 35 |
|
* |
| Photronics Inc. |
| 4,067 |
| 33 |
|
|
| Ebix Inc. |
| 658 |
| 31 |
|
* |
| Ichor Holdings Ltd. |
| 1,346 |
| 28 |
|
|
| Plantronics Inc. |
| 686 |
| 28 |
|
|
| Presidio Inc. |
| 2,124 |
| 28 |
|
|
| TiVo Corp. |
| 3,822 |
| 28 |
|
* |
| SecureWorks Corp. Class A |
| 1,873 |
| 27 |
|
|
| Benchmark Electronics Inc. |
| 1,231 |
| 27 |
|
* |
| ScanSource Inc. |
| 924 |
| 27 |
|
* |
| CalAmp Corp. |
| 2,578 |
| 26 |
|
|
| AVX Corp. |
| 1,661 |
| 25 |
|
* |
| Arrow Electronics Inc. |
| 385 |
| 24 |
|
* |
| Knowles Corp. |
| 1,511 |
| 24 |
|
|
| CDK Global Inc. |
| 475 |
| 23 |
|
|
| Skyworks Solutions Inc. |
| 317 |
| 21 |
|
|
| Methode Electronics Inc. |
| 827 |
| 20 |
|
U.S. Value Factor ETF
|
|
|
|
|
| Market |
|
|
|
|
|
|
| Value· |
|
|
|
|
| Shares |
| ($000 | ) |
* |
| Ultra Clean Holdings Inc. |
| 1,579 |
| 20 |
|
* |
| NETGEAR Inc. |
| 614 |
| 16 |
|
* |
| NetScout Systems Inc. |
| 586 |
| 14 |
|
* |
| Cirrus Logic Inc. |
| 289 |
| 11 |
|
|
|
|
|
|
| 4,229 |
|
Utilities (6.4%) |
|
|
|
|
| ||
|
| AT&T Inc. |
| 13,648 |
| 417 |
|
|
| Exelon Corp. |
| 7,022 |
| 338 |
|
|
| Duke Energy Corp. |
| 3,369 |
| 288 |
|
|
| American Electric Power Co. Inc. |
| 3,303 |
| 284 |
|
|
| Verizon Communications Inc. |
| 4,424 |
| 240 |
|
|
| Dominion Energy Inc. |
| 2,778 |
| 209 |
|
* |
| T-Mobile US Inc. |
| 2,776 |
| 204 |
|
|
| Consolidated Edison Inc. |
| 1,808 |
| 156 |
|
|
| Southern Co. |
| 2,447 |
| 131 |
|
|
| Public Service Enterprise Group Inc. |
| 2,212 |
| 130 |
|
|
| Xcel Energy Inc. |
| 2,148 |
| 123 |
|
|
| PPL Corp. |
| 3,217 |
| 96 |
|
|
| CenturyLink Inc. |
| 8,530 |
| 89 |
|
|
| Eversource Energy |
| 1,188 |
| 88 |
|
|
| Evergy Inc. |
| 1,473 |
| 86 |
|
|
| DTE Energy Co. |
| 615 |
| 77 |
|
|
| Clearway Energy Inc. |
| 5,108 |
| 77 |
|
|
| Vistra Energy Corp. |
| 2,913 |
| 69 |
|
|
| Pinnacle West Capital Corp. |
| 661 |
| 62 |
|
|
| AES Corp. |
| 3,928 |
| 62 |
|
|
| OGE Energy Corp. |
| 1,466 |
| 61 |
|
|
| FirstEnergy Corp. |
| 1,441 |
| 59 |
|
|
| Spire Inc. |
| 622 |
| 52 |
|
|
| Telephone & Data Systems Inc. |
| 1,759 |
| 51 |
|
* |
| United States Cellular Corp. |
| 1,056 |
| 46 |
|
|
| National Fuel Gas Co. |
| 812 |
| 43 |
|
|
| MDU Resources Group Inc. |
| 1,654 |
| 41 |
|
|
| Consolidated Communications Holdings Inc. |
| 9,815 |
| 39 |
|
|
| Ameren Corp. |
| 522 |
| 38 |
|
|
| Southwest Gas Holdings Inc. |
| 408 |
| 35 |
|
* |
| Frontier Communications Corp. |
| 14,427 |
| 27 |
|
|
| Hawaiian Electric Industries Inc. |
| 641 |
| 27 |
|
|
| Portland General Electric Co. |
| 464 |
| 25 |
|
|
| j2 Global Inc. |
| 290 |
| 24 |
|
|
|
|
|
|
| 3,794 |
|
Total Common Stocks |
|
|
|
|
| ||
(Cost $66,068) |
|
|
| 58,686 |
| ||
Temporary Cash Investment (0.2%)1 |
|
|
|
|
| ||
Money Market Fund (0.2%) |
|
|
|
|
| ||
2 |
| Vanguard Market Liquidity Fund, 2.527%(Cost $126) |
| 1,257 |
| 126 |
|
Total Investments (99.7%) |
|
|
|
|
| ||
(Cost $66,194) |
|
|
| 58,812 |
|
U.S. Value Factor ETF
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Other Assets and Liabilities (0.3%) |
|
|
|
|
|
Other Assets |
|
|
|
|
|
Investment in Vanguard |
|
|
| 3 |
|
Receivables for Accrued Income |
|
|
| 136 |
|
Receivables for Capital Shares Issued |
|
|
| 1,718 |
|
Other Assets3 |
|
|
| 18 |
|
Total Other Assets |
|
|
| 1,875 |
|
Liabilities |
|
|
|
|
|
Payables for Investment Securities Purchased |
|
|
| (1,691 | ) |
Payables to Vanguard |
|
|
| (4 | ) |
Variation Margin Payable—Futures Contracts |
|
|
| (4 | ) |
Total Liabilities |
|
|
| (1,699 | ) |
Net Assets (100%) |
|
|
|
|
|
Applicable to 875,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
| 58,988 |
|
Net Asset Value Per Share |
|
|
| $67.41 |
|
|
|
|
|
|
|
At May 31, 2019, net assets consisted of: |
|
|
|
|
|
|
|
|
| Amount |
|
|
|
|
| ($000 | ) |
Paid-in Capital |
|
|
| 66,136 |
|
Total Distributable Earnings (Loss) |
|
|
| (7,148 | ) |
Net Assets |
|
|
| 58,988 |
|
· 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 -0.3%, 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 $18,000 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 | June 2019 | 2 | 147 | (6) | |
Micro E-mini S&P 500 | June 2019 | 10 | 138 | (3) | |
|
|
|
| (9) | |
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Statement of Operations
| Six Months Ended |
| May 31, 2019 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 611 |
Interest1 | 3 |
Total Income | 614 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | — |
Management and Administrative | 27 |
Marketing and Distribution | — |
Custodian Fees | 3 |
Shareholders’ Reports | 2 |
Total Expenses | 32 |
Net Investment Income | 582 |
Realized Net Gain (Loss) |
|
Investment Securities Sold1 | 8 |
Futures Contracts | (4) |
Realized Net Gain (Loss) | 4 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities1 | (5,539) |
Futures Contracts | (14) |
Change in Unrealized Appreciation (Depreciation) | (5,553) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,967) |
1 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 $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, |
| Six Months Ended |
| 20181 to |
| May 31, |
| November 30, |
| 2019 |
| 2018 |
| ($000) |
| ($000) |
Increase (Decrease) in Net Assets |
|
|
|
Operations |
|
|
|
Net Investment Income | 582 |
| 434 |
Realized Net Gain (Loss) | 4 |
| (8) |
Change in Unrealized Appreciation (Depreciation) | (5,553) |
| (1,838) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,967) |
| (1,412) |
Distributions |
|
|
|
Net Investment Income | (483) |
| (286) |
Realized Capital Gain | — |
| — |
Total Distributions | (483) |
| (286) |
Capital Share Transactions |
|
|
|
Issued | 32,240 |
| 38,871 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | (4,975) |
| — |
Net Increase (Decrease) from Capital Share Transactions | 27,265 |
| 38,871 |
Total Increase (Decrease) | 21,815 |
| 37,173 |
Net Assets |
|
|
|
Beginning of Period | 37,173 |
| — |
End of Period | 58,988 |
| 37,173 |
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Value Factor ETF
Financial Highlights
| Six Months | Feb. 13, |
| Ended | 20181 to |
| May 31, | Nov. 30, |
For a Share Outstanding Throughout Each Period | 2019 | 2018 |
Net Asset Value, Beginning of Period | $74.35 | $75.00 |
Investment Operations |
|
|
Net Investment Income2 | .839 | 1.276 |
Net Realized and Unrealized Gain (Loss) on Investments | (6.993) | (1.295) |
Total from Investment Operations | (6.154) | (.019) |
Distributions |
|
|
Dividends from Net Investment Income | (.786) | (.631) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.786) | (.631) |
Net Asset Value, End of Period | $67.41 | $74.35 |
|
|
|
Total Return | -8.28% | -0.08% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) | $59 | $37 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 2.25% | 2.05%3 |
Portfolio Turnover Rate | 70% | 16% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, the fund had contributed to Vanguard capital in the amount of $3,000, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Value Factor ETF
D. As of May 31, 2019, 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 | 66,194 |
Gross Unrealized Appreciation | 1,929 |
Gross Unrealized Depreciation | (9,320) |
Net Unrealized Appreciation (Depreciation) | (7,391) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $3,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended May 31, 2019, the fund purchased $44,443,000 of investment securities and sold $17,185,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Six Months Ended |
| February 13, 20181 to |
| May 31, 2019 |
| November 30, 2018 |
| Shares |
| Shares |
| (000) |
| (000) |
Issued | 450 |
| 500 |
Issued in Lieu of Cash Distributions | — |
| — |
Redeemed | (75) |
| — |
Net Increase (Decrease) in Shares Outstanding | 375 |
| 500 |
1 Inception.
At May 31, 2019, one shareholder was the record or beneficial owner of 29% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Quantitative Equity Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2018 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangements.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that, while the funds had not yet been in existence for a full fiscal year, each fund’s estimated expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s estimated advisory expenses were also well below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
| |
|
|
|
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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.
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.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q44192 072019 |
Semiannual Report | May 31, 2019
Vanguard U.S. Multifactor Fund
|
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents |
|
|
|
About Your Fund’s Expenses | 1 |
|
|
Financial Statements | 4 |
|
|
Trustees Approve Advisory Arrangement | 18 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended May 31, 2019
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
U.S. Multifactor Fund | 11/30/2018 | 5/31/2019 | Period |
Based on Actual Fund Return | $1,000.00 | $942.82 | $0.87 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.03 | 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 (182/365).
U.S. Multifactor Fund
Sector Diversification
As of May 31, 2019
Consumer Discretionary |
| 24.7 | % |
Consumer Staples |
| 5.7 |
|
Energy |
| 4.7 |
|
Financial Services |
| 19.0 |
|
Health Care |
| 9.4 |
|
Materials & Processing |
| 4.1 |
|
Producer Durables |
| 14.1 |
|
Technology |
| 12.7 |
|
Utilities |
| 5.6 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index 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 (unaudited)
Statement of Net Assets
As of May 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports will be available on the SEC’s website at www.sec.gov.
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
Common Stocks (99.4%)1 |
|
|
|
|
| |
Consumer Discretionary (24.6%) |
|
|
|
|
| |
| Ross Stores Inc. |
| 3,619 |
| 337 |
|
| Walmart Inc. |
| 3,025 |
| 307 |
|
| TJX Cos. Inc. |
| 6,076 |
| 306 |
|
| NIKE Inc. Class B |
| 3,737 |
| 288 |
|
| Dollar General Corp. |
| 2,214 |
| 282 |
|
| Target Corp. |
| 2,984 |
| 240 |
|
| Starbucks Corp. |
| 3,107 |
| 236 |
|
* | Lululemon Athletica Inc. |
| 1,042 |
| 173 |
|
| General Motors Co. |
| 5,124 |
| 171 |
|
| eBay Inc. |
| 4,396 |
| 158 |
|
| Darden Restaurants Inc. |
| 1,340 |
| 156 |
|
* | Deckers Outdoor Corp. |
| 891 |
| 136 |
|
| Lowe’s Cos. Inc. |
| 1,412 |
| 132 |
|
| Estee Lauder Cos. Inc. Class A |
| 795 |
| 128 |
|
| Advance Auto Parts Inc. |
| 782 |
| 121 |
|
| World Wrestling Entertainment Inc. Class A |
| 1,635 |
| 119 |
|
* | Helen of Troy Ltd. |
| 821 |
| 110 |
|
* | Ulta Beauty Inc. |
| 324 |
| 108 |
|
| Oxford Industries Inc. |
| 1,512 |
| 108 |
|
| Brinker International Inc. |
| 2,845 |
| 107 |
|
* | Stoneridge Inc. |
| 4,093 |
| 107 |
|
| La-Z-Boy Inc. |
| 3,296 |
| 106 |
|
| Kohl’s Corp. |
| 2,058 |
| 102 |
|
| Walt Disney Co. |
| 674 |
| 89 |
|
| Buckle Inc. |
| 5,596 |
| 84 |
|
| Comcast Corp. Class A |
| 1,886 |
| 77 |
|
| Dillard’s Inc. Class A |
| 1,348 |
| 76 |
|
| Cato Corp. Class A |
| 5,969 |
| 74 |
|
| Tractor Supply Co. |
| 723 |
| 73 |
|
* | Sally Beauty Holdings Inc. |
| 4,616 |
| 70 |
|
* | Regis Corp. |
| 3,729 |
| 70 |
|
* | TripAdvisor Inc. |
| 1,640 |
| 69 |
|
| Dine Brands Global Inc. |
| 724 |
| 68 |
|
| Nexstar Media Group Inc. Class A |
| 664 |
| 67 |
|
| Acushnet Holdings Corp. |
| 2,804 |
| 66 |
|
| Ralph Lauren Corp. Class A |
| 617 |
| 65 |
|
| Marcus Corp. |
| 1,810 |
| 63 |
|
| Costco Wholesale Corp. |
| 263 |
| 63 |
|
* | AutoZone Inc. |
| 58 |
| 60 |
|
| Williams-Sonoma Inc. |
| 1,011 |
| 59 |
|
| Johnson Outdoors Inc. Class A |
| 784 |
| 58 |
|
* | American Axle & Manufacturing Holdings Inc. |
| 5,560 |
| 56 |
|
| Lear Corp. |
| 453 |
| 54 |
|
* | Hibbett Sports Inc. |
| 2,379 |
| 53 |
|
| National Presto Industries Inc. |
| 507 |
| 50 |
|
| Cracker Barrel Old Country Store Inc. |
| 313 |
| 49 |
|
| Whirlpool Corp. |
| 422 |
| 48 |
|
| Gap Inc. |
| 2,572 |
| 48 |
|
| American Eagle Outfitters Inc. |
| 2,693 |
| 47 |
|
| Thor Industries Inc. |
| 879 |
| 45 |
|
* | 1-800-Flowers.com Inc. Class A |
| 2,463 |
| 45 |
|
| Cooper Tire & Rubber Co. |
| 1,594 |
| 44 |
|
| Gentex Corp. |
| 2,058 |
| 44 |
|
| Standard Motor Products Inc. |
| 1,037 |
| 44 |
|
* | Zumiez Inc. |
| 2,186 |
| 43 |
|
* | Adtalem Global Education Inc. |
| . 940 |
| 41 |
|
| Foot Locker Inc. |
| 1,039 |
| 41 |
|
| Aaron’s Inc. |
| 736 |
| 39 |
|
| Ethan Allen Interiors Inc. |
| 1,844 |
| 39 |
|
| Ruth’s Hospitality Group Inc. |
| 1,665 |
| 38 |
|
* | K12 Inc. |
| 1,233 |
| 38 |
|
| Expedia Group Inc. |
| 322 |
| 37 |
|
| Sinclair Broadcast Group Inc. Class A |
| 679 |
| 36 |
|
| Nordstrom Inc. |
| 1,159 |
| 36 |
|
| Garmin Ltd. |
| 469 |
| 36 |
|
| Chico’s FAS Inc. |
| 10,228 |
| 34 |
|
| Viacom Inc. Class B |
| 1,176 |
| 34 |
|
* | Fox Factory Holding Corp. |
| 505 |
| 34 |
|
| Autoliv Inc. |
| 548 |
| 34 |
|
* | Discovery Communications Inc. Class A |
| 1,194 |
| 33 |
|
* | Career Education Corp. |
| 1,710 |
| 32 |
|
* | Meritor Inc. |
| 1,550 |
| 31 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
* | Gentherm Inc. |
| 825 |
| 31 |
|
| Citi Trends Inc. |
| 2,240 |
| 31 |
|
| Scholastic Corp. |
| 923 |
| 31 |
|
| Macy’s Inc. |
| 1,471 |
| 30 |
|
* | Skechers U.S.A. Inc. Class A |
| 1,081 |
| 30 |
|
| Abercrombie & Fitch Co. |
| 1,724 |
| 30 |
|
| Dick’s Sporting Goods Inc. |
| 855 |
| 30 |
|
| Gannett Co. Inc. |
| 3,729 |
| 29 |
|
| Yum China Holdings Inc. |
| 731 |
| 29 |
|
| Designer Brands Inc. Class A |
| 1,545 |
| 28 |
|
* | Urban Outfitters Inc. |
| 1,230 |
| 28 |
|
* | Genesco Inc. |
| 612 |
| 28 |
|
* | Habit Restaurants Inc. Class A |
| 2,670 |
| 27 |
|
| New York Times Co. Class A |
| 849 |
| 27 |
|
* | MSG Networks Inc. |
| 1,235 |
| 26 |
|
| Bed Bath & Beyond Inc. |
| 2,037 |
| 26 |
|
* | Rent-A-Center Inc. |
| 1,059 |
| 25 |
|
* | Dorman Products Inc. |
| 309 |
| 25 |
|
* | Qurate Retail Group Inc. QVC Group Class A |
| 2,005 |
| 25 |
|
| LCI Industries |
| 303 |
| 25 |
|
| BorgWarner Inc. |
| 703 |
| 25 |
|
* | MarineMax Inc. |
| 1,571 |
| 24 |
|
| National CineMedia Inc. |
| 3,622 |
| 24 |
|
| Shoe Carnival Inc. |
| 837 |
| 22 |
|
* | Murphy USA Inc. |
| 266 |
| 21 |
|
| New Media Investment Group Inc. |
| 2,212 |
| 20 |
|
| Movado Group Inc. |
| 792 |
| 20 |
|
| BJ’s Restaurants Inc. |
| 482 |
| 20 |
|
| John Wiley & Sons Inc. Class A |
| 466 |
| 19 |
|
| Tilly’s Inc. Class A |
| 2,396 |
| 19 |
|
* | American Public Education Inc. |
| 667 |
| 19 |
|
* | Hudson Ltd. Class A |
| 1,360 |
| 18 |
|
* | Tempur Sealy International Inc. |
| 279 |
| 18 |
|
* | HealthStream Inc. |
| 688 |
| 17 |
|
* | Five Below Inc. |
| 122 |
| 16 |
|
| Winnebago Industries Inc. |
| 486 |
| 16 |
|
* | Henry Schein Inc. |
| 240 |
| 15 |
|
* | Crocs Inc. |
| 784 |
| 15 |
|
| AMC Entertainment Holdings Inc. Class A |
| 1,264 |
| 15 |
|
| TEGNA Inc. |
| 995 |
| 15 |
|
| Jack in the Box Inc. |
| 178 |
| 15 |
|
| Omnicom Group Inc. |
| 190 |
| 15 |
|
| Cable One Inc. |
| 13 |
| 15 |
|
* | Gray Television Inc. |
| 838 |
| 14 |
|
| Graham Holdings Co. Class B |
| 21 |
| 14 |
|
| GameStop Corp. Class A |
| 1,872 |
| 14 |
|
* | Care.com Inc. |
| 968 |
| 14 |
|
* | Red Robin Gourmet Burgers Inc. |
| 528 |
| 14 |
|
| Genuine Parts Co. |
| 132 |
| 13 |
|
* | AMC Networks Inc. Class A |
| 246 |
| 13 |
|
* | Sleep Number Corp. |
| 367 |
| 13 |
|
| Cheesecake Factory Inc. |
| 288 |
| 12 |
|
| Dana Inc. |
| 846 |
| 12 |
|
| Inter Parfums Inc. |
| 150 |
| 10 |
|
| Steven Madden Ltd. |
| 312 |
| 9 |
|
* | Vera Bradley Inc. |
| 856 |
| 9 |
|
* | Chipotle Mexican Grill Inc. Class A |
| 14 |
| 9 |
|
| Monro Inc. |
| 106 |
| 8 |
|
| Best Buy Co. Inc. |
| 114 |
| 7 |
|
* | El Pollo Loco Holdings Inc. |
| 589 |
| 6 |
|
|
|
|
|
| 7,747 |
|
Consumer Staples (5.6%) |
|
|
|
|
| |
| Procter & Gamble Co. |
| 2,621 |
| 270 |
|
| Walgreens Boots Alliance Inc. |
| 4,081 |
| 201 |
|
| Philip Morris International Inc. |
| 1,584 |
| 122 |
|
| John B Sanfilippo & Son Inc. |
| 1,502 |
| 115 |
|
| Weis Markets Inc. |
| 2,768 |
| 105 |
|
* | Freshpet Inc. |
| 2,165 |
| 101 |
|
| Coca-Cola European Partners plc |
| 1,699 |
| 94 |
|
* | USANA Health Sciences Inc. |
| 1,035 |
| 73 |
|
| PepsiCo Inc. |
| 477 |
| 61 |
|
| Tootsie Roll Industries Inc. |
| 1,557 |
| 59 |
|
| Core-Mark Holding Co. Inc. |
| 1,407 |
| 52 |
|
| Sysco Corp. |
| 745 |
| 51 |
|
| Church & Dwight Co. Inc. |
| 646 |
| 48 |
|
| Casey’s General Stores Inc. |
| 332 |
| 43 |
|
| Medifast Inc. |
| 324 |
| 42 |
|
* | US Foods Holding Corp. |
| 1,197 |
| 41 |
|
| Kroger Co. |
| 1,771 |
| 40 |
|
| Lancaster Colony Corp. |
| 278 |
| 40 |
|
* | Boston Beer Co. Inc. Class A |
| 126 |
| 40 |
|
| Kimberly-Clark Corp. |
| 302 |
| 39 |
|
| Ingles Markets Inc. Class A |
| 1,264 |
| 38 |
|
| Universal Corp. |
| 377 |
| 21 |
|
| Ingredion Inc. |
| 192 |
| 15 |
|
* | Performance Food Group Co. |
| 355 |
| 14 |
|
| J&J Snack Foods Corp. |
| 76 |
| 12 |
|
| Hormel Foods Corp. |
| 293 |
| 11 |
|
* | Sprouts Farmers Market Inc. |
| 553 |
| 11 |
|
| Coca-Cola Consolidated Inc. |
| 32 |
| 10 |
|
|
|
|
|
| 1,769 |
|
Energy (4.7%) |
|
|
|
|
| |
| ConocoPhillips |
| 5,183 |
| 306 |
|
| Chevron Corp. |
| 1,816 |
| 207 |
|
* | ProPetro Holding Corp. |
| 5,981 |
| 116 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
* | Renewable Energy Group Inc. |
| 5,945 |
| 93 |
|
| Arch Coal Inc. Class A |
| 1,049 |
| 92 |
|
* | Matrix Service Co. |
| 3,875 |
| 70 |
|
| Warrior Met Coal Inc. |
| 2,499 |
| 64 |
|
* | Chesapeake Energy Corp. |
| 29,223 |
| 56 |
|
* | Southwestern Energy Co. |
| 15,221 |
| 55 |
|
| Exxon Mobil Corp. |
| 765 |
| 54 |
|
| Kinder Morgan Inc. |
| 2,700 |
| 54 |
|
| Valvoline Inc. |
| 2,808 |
| 49 |
|
| Occidental Petroleum Corp. |
| 858 |
| 43 |
|
| Mammoth Energy Services Inc. |
| 3,837 |
| 40 |
|
| Liberty Oilfield Services Inc. Class A |
| 3,150 |
| 40 |
|
| Solaris Oilfield Infrastructure Inc. Class A |
| 2,085 |
| 30 |
|
| Phillips 66 |
| 307 |
| 25 |
|
* | CONSOL Energy Inc. |
| 833 |
| 22 |
|
* | Cactus Inc. Class A |
| 388 |
| 13 |
|
| Marathon Oil Corp. |
| 875 |
| 12 |
|
* | W&T Offshore Inc. |
| 2,669 |
| 11 |
|
| World Fuel Services Corp. |
| 382 |
| 11 |
|
| Delek US Holdings Inc. |
| 337 |
| 10 |
|
| HollyFrontier Corp. |
| 223 |
| 8 |
|
* | REX American Resources Corp. |
| 99 |
| 7 |
|
|
|
|
|
| 1,488 |
|
Financial Services (18.9%) |
|
|
|
|
| |
| JPMorgan Chase & Co. |
| 2,768 |
| 293 |
|
* | PayPal Holdings Inc. |
| 2,294 |
| 252 |
|
| Bank of America Corp. |
| 9,441 |
| 251 |
|
| Aflac Inc. |
| 3,971 |
| 204 |
|
| Wells Fargo & Co. |
| 4,517 |
| 200 |
|
| MetLife Inc. |
| 4,104 |
| 190 |
|
| Aon plc |
| 827 |
| 149 |
|
| Bank of New York Mellon Corp. |
| 3,419 |
| 146 |
|
| First BanCorp |
| 11,841 |
| 118 |
|
| Mastercard Inc. Class A |
| 444 |
| 112 |
|
| Primerica Inc. |
| 958 |
| 110 |
|
| Hanover Insurance Group Inc. |
| 879 |
| 107 |
|
| Synchrony Financial |
| 3,064 |
| 103 |
|
| CIT Group Inc. |
| 2,030 |
| 96 |
|
| American Express Co. |
| 841 |
| 96 |
|
| Walker & Dunlop Inc. |
| 1,903 |
| 96 |
|
| Allstate Corp. |
| 990 |
| 95 |
|
| Universal Insurance Holdings Inc. |
| 3,174 |
| 92 |
|
| NBT Bancorp Inc. |
| 2,400 |
| 86 |
|
| Medical Properties Trust Inc. |
| 4,729 |
| 84 |
|
| Zions Bancorp NA |
| 1,947 |
| 84 |
|
| M&T Bank Corp. |
| 510 |
| 81 |
|
| Central Pacific Financial Corp. |
| 2,890 |
| 80 |
|
| LegacyTexas Financial Group Inc. |
| 2,184 |
| 80 |
|
| Discover Financial Services |
| 1,055 |
| 79 |
|
| US Bancorp |
| 1,472 |
| 74 |
|
| International Bancshares Corp. |
| 1,814 |
| 66 |
|
| Trustmark Corp. |
| 2,035 |
| 65 |
|
| Hanmi Financial Corp. |
| 3,040 |
| 63 |
|
| FirstCash Inc. |
| 658 |
| 62 |
|
| Great Western Bancorp Inc. |
| 1,910 |
| 59 |
|
| National General Holdings Corp. |
| 2,488 |
| 57 |
|
| Erie Indemnity Co. Class A |
| 262 |
| 56 |
|
| Ally Financial Inc. |
| 1,907 |
| 55 |
|
| Commerce Bancshares Inc. |
| 960 |
| 55 |
|
| City Holding Co. |
| 714 |
| 52 |
|
| Northwest Bancshares Inc. |
| 3,104 |
| 52 |
|
* | HomeStreet Inc. |
| 1,821 |
| 52 |
|
| Regions Financial Corp. |
| 3,709 |
| 51 |
|
* | Credit Acceptance Corp. |
| 106 |
| 48 |
|
| American National Insurance Co. |
| 410 |
| 46 |
|
| S&T Bancorp Inc. |
| 1,210 |
| 46 |
|
* | TriState Capital Holdings Inc. |
| 2,213 |
| 45 |
|
| Eagle Bancorp Inc. |
| 829 |
| 44 |
|
* | Axos Financial Inc. |
| 1,550 |
| 42 |
|
| Nelnet Inc. Class A |
| 692 |
| 41 |
|
| Popular Inc. |
| 783 |
| 41 |
|
| Torchmark Corp. |
| 472 |
| 40 |
|
| Huntington Bancshares Inc. |
| 3,154 |
| 40 |
|
| Northern Trust Corp. |
| 449 |
| 38 |
|
| KeyCorp |
| 2,292 |
| 37 |
|
| Washington Federal Inc. |
| 1,157 |
| 37 |
|
| BancFirst Corp. |
| 696 |
| 36 |
|
| Reinsurance Group of America Inc. Class A |
| 241 |
| 36 |
|
| T. Rowe Price Group Inc. |
| 348 |
| 35 |
|
| Progressive Corp. |
| 438 |
| 35 |
|
| Ameriprise Financial Inc. |
| 241 |
| 33 |
|
| Principal Financial Group Inc. |
| 628 |
| 32 |
|
| LPL Financial Holdings Inc. |
| 401 |
| 32 |
|
| Federal Agricultural Mortgage Corp. |
| 461 |
| 32 |
|
| Flagstar Bancorp Inc. |
| 992 |
| 31 |
|
| Federated Investors Inc. Class B |
| 968 |
| 30 |
|
| Lincoln National Corp. |
| 490 |
| 29 |
|
| Assured Guaranty Ltd. |
| 700 |
| 29 |
|
* | Ambac Financial Group Inc. |
| 1,876 |
| 28 |
|
| BankUnited Inc. |
| 865 |
| 28 |
|
* | Euronet Worldwide Inc. |
| 181 |
| 28 |
|
| Cullen/Frost Bankers Inc. |
| 302 |
| 28 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
| First Citizens BancShares Inc. Class A |
| 64 |
| 27 |
|
| Citizens Financial Group Inc. |
| 825 |
| 27 |
|
| Franklin Resources Inc. |
| 836 |
| 27 |
|
| Comerica Inc. |
| 385 |
| 26 |
|
| FactSet Research Systems Inc. |
| 91 |
| 25 |
|
| BrightSphere Investment Group plc |
| 2,332 |
| 25 |
|
| CoreCivic Inc. |
| 1,130 |
| 25 |
|
| First Hawaiian Inc. |
| 935 |
| 23 |
|
| Virtus Investment Partners Inc. |
| 226 |
| 23 |
|
| LTC Properties Inc. |
| 511 |
| 23 |
|
| EVERTEC Inc. |
| 794 |
| 23 |
|
| GEO Group Inc. |
| 1,024 |
| 22 |
|
| First Bancorp |
| 598 |
| 21 |
|
| Evercore Inc. Class A |
| 269 |
| 21 |
|
| Lakeland Financial Corp. |
| 467 |
| 21 |
|
* | Everi Holdings Inc. |
| 1,797 |
| 20 |
|
| National Western Life Group Inc. Class A |
| 75 |
| 20 |
|
| Southside Bancshares Inc. |
| 584 |
| 19 |
|
| Hilltop Holdings Inc. |
| 944 |
| 19 |
|
| Boston Private Financial Holdings Inc. |
| 1,814 |
| 19 |
|
| Cohen & Steers Inc. |
| 341 |
| 17 |
|
| Bank of Hawaii Corp. |
| 207 |
| 16 |
|
| E*TRADE Financial Corp. |
| 344 |
| 15 |
|
| Loews Corp. |
| 292 |
| 15 |
|
| OFG Bancorp |
| 798 |
| 15 |
|
| Tompkins Financial Corp. |
| 189 |
| 15 |
|
| Dime Community Bancshares Inc. |
| 817 |
| 15 |
|
| Bryn Mawr Bank Corp. |
| 394 |
| 14 |
|
| HCI Group Inc. |
| 353 |
| 14 |
|
| Bank of NT Butterfield & Son Ltd. |
| 430 |
| 14 |
|
| Univest Financial Corp. |
| 578 |
| 14 |
|
| Cathay General Bancorp |
| 410 |
| 14 |
|
| South State Corp. |
| 209 |
| 14 |
|
| Raymond James Financial Inc. |
| 157 |
| 13 |
|
| Fulton Financial Corp. |
| 810 |
| 13 |
|
| Investors Bancorp Inc. |
| 1,217 |
| 13 |
|
| New York Community Bancorp Inc. |
| 1,202 |
| 12 |
|
| Preferred Bank |
| 270 |
| 12 |
|
| Affiliated Managers Group Inc. |
| 138 |
| 12 |
|
| Unum Group |
| 353 |
| 11 |
|
* | Marcus & Millichap Inc. |
| 352 |
| 11 |
|
| Hope Bancorp Inc. |
| 775 |
| 10 |
|
| Provident Financial Services Inc. |
| 346 |
| 8 |
|
| TrustCo Bank Corp. NY |
| 1,111 |
| 8 |
|
| Waddell & Reed Financial Inc. Class A |
| 501 |
| 8 |
|
| Safety Insurance Group Inc. |
| 87 |
| 8 |
|
| 1st Source Corp. |
| 181 |
| 8 |
|
|
|
|
|
| 5,945 |
|
Health Care (9.4%) |
|
|
|
|
| |
| HCA Healthcare Inc. |
| 2,466 |
| 298 |
|
| Pfizer Inc. |
| 6,300 |
| 262 |
|
| Merck & Co. Inc. |
| 3,270 |
| 259 |
|
| Eli Lilly & Co. |
| 2,012 |
| 233 |
|
| Johnson & Johnson |
| 1,135 |
| 149 |
|
* | Edwards Lifesciences Corp. |
| 869 |
| 148 |
|
* | Medpace Holdings Inc. |
| 2,451 |
| 132 |
|
| Bristol-Myers Squibb Co. |
| 2,402 |
| 109 |
|
* | Regeneron Pharmaceuticals Inc. |
| 329 |
| 99 |
|
| Amgen Inc. |
| 594 |
| 99 |
|
* | Veeva Systems Inc. Class A |
| 634 |
| 98 |
|
* | Biogen Inc. |
| 429 |
| 94 |
|
| Universal Health Services Inc. Class B |
| 676 |
| 81 |
|
| UnitedHealth Group Inc. |
| 320 |
| 77 |
|
* | NextGen Healthcare Inc. |
| 3,686 |
| 71 |
|
* | PRA Health Sciences Inc. |
| 742 |
| 64 |
|
* | Jazz Pharmaceuticals plc |
| 357 |
| 45 |
|
* | Molina Healthcare Inc. |
| 314 |
| 45 |
|
* | BioTelemetry Inc. |
| 906 |
| 43 |
|
* | Amedisys Inc. |
| 312 |
| 35 |
|
* | Premier Inc. Class A |
| 934 |
| 34 |
|
| Abbott Laboratories |
| 444 |
| 34 |
|
* | Genomic Health Inc. |
| 616 |
| 32 |
|
| Ensign Group Inc. |
| 547 |
| 29 |
|
| Atrion Corp. |
| 31 |
| 28 |
|
* | Lantheus Holdings Inc. |
| 1,075 |
| 26 |
|
* | Quidel Corp. |
| 465 |
| 26 |
|
| STERIS plc |
| 190 |
| 26 |
|
* | Glaukos Corp. |
| 388 |
| 25 |
|
| National HealthCare Corp. |
| 299 |
| 23 |
|
* | Innoviva Inc. |
| 1,652 |
| 23 |
|
| Meridian Bioscience Inc. |
| 1,701 |
| 19 |
|
| Patterson Cos. Inc. |
| 827 |
| 18 |
|
* | Mallinckrodt plc |
| 1,882 |
| 16 |
|
* | Omnicell Inc. |
| 200 |
| 16 |
|
| West Pharmaceutical Services Inc. |
| 137 |
| 16 |
|
| Bruker Corp. |
| 366 |
| 15 |
|
* | United Therapeutics Corp. |
| 178 |
| 15 |
|
* | ANI Pharmaceuticals Inc. |
| 206 |
| 14 |
|
* | Integer Holdings Corp. |
| 184 |
| 13 |
|
* | Amphastar Pharmaceuticals Inc. |
| 626 |
| 12 |
|
* | PDL BioPharma Inc. |
| 3,794 |
| 11 |
|
| Cardinal Health Inc. |
| 246 |
| 10 |
|
* | HMS Holdings Corp. |
| 336 |
| 10 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
* | LivaNova plc |
| 127 |
| 9 |
|
| Hill-Rom Holdings Inc. |
| 81 |
| 8 |
|
|
|
|
|
| 2,949 |
|
Materials & Processing (4.0%) |
|
|
|
|
| |
| Sonoco Products Co. |
| 2,566 |
| 159 |
|
| Apogee Enterprises Inc. |
| 2,633 |
| 95 |
|
| Belden Inc. |
| 1,383 |
| 71 |
|
| Greif Inc. Class A |
| 1,650 |
| 58 |
|
| Armstrong World Industries Inc. |
| 584 |
| 52 |
|
| Huntsman Corp. |
| 2,978 |
| 52 |
|
| Reliance Steel & Aluminum Co. |
| 596 |
| 50 |
|
| Materion Corp. |
| 736 |
| 44 |
|
| CF Industries Holdings Inc. |
| 1,001 |
| 40 |
|
* | Verso Corp. |
| 2,298 |
| 40 |
|
| Quanex Building Products Corp. |
| 2,298 |
| 36 |
|
* | BMC Stock Holdings Inc. |
| 1,667 |
| 33 |
|
| Ingersoll-Rand plc |
| 271 |
| 32 |
|
| Louisiana-Pacific Corp. |
| 1,377 |
| 31 |
|
| Simpson Manufacturing Co. Inc. |
| 508 |
| 31 |
|
| Mosaic Co. |
| 1,428 |
| 31 |
|
* | AdvanSix Inc. |
| 1,211 |
| 30 |
|
| Nucor Corp. |
| 602 |
| 29 |
|
| FMC Corp. |
| 393 |
| 29 |
|
| Schnitzer Steel Industries Inc. |
| 1,345 |
| 28 |
|
* | Continental Building Products Inc. |
| 1,236 |
| 28 |
|
| Domtar Corp. |
| 525 |
| 22 |
|
| Stepan Co. |
| 255 |
| 22 |
|
| Boise Cascade Co. |
| 954 |
| 21 |
|
| Innospec Inc. |
| 261 |
| 21 |
|
| Owens-Illinois Inc. |
| 1,248 |
| 20 |
|
| Cleveland-Cliffs Inc. |
| 2,279 |
| 20 |
|
| AAON Inc. |
| 424 |
| 19 |
|
| Silgan Holdings Inc. |
| 634 |
| 18 |
|
| Quaker Chemical Corp. |
| 99 |
| 18 |
|
| Ball Corp. |
| 285 |
| 18 |
|
* | Builders FirstSource Inc. |
| 1,101 |
| 16 |
|
| Acuity Brands Inc. |
| 118 |
| 15 |
|
* | Gibraltar Industries Inc. |
| 369 |
| 13 |
|
| Steel Dynamics Inc. |
| 456 |
| 11 |
|
| Schweitzer-Mauduit International Inc. |
| 364 |
| 11 |
|
| Comfort Systems USA Inc. |
| 191 |
| 9 |
|
|
|
|
|
| 1,273 |
|
Producer Durables (14.0%) |
|
|
|
|
| |
| Southwest Airlines Co. |
| 6,007 |
| 286 |
|
* | FTI Consulting Inc. |
| 1,785 |
| 150 |
|
| Norfolk Southern Corp. |
| 712 |
| 139 |
|
| Oshkosh Corp. |
| 1,748 |
| 124 |
|
| Eaton Corp. plc |
| 1,318 |
| 98 |
|
| Boeing Co. |
| 286 |
| 98 |
|
| Kennametal Inc. |
| 3,102 |
| 95 |
|
* | Zebra Technologies Corp. |
| 526 |
| 90 |
|
| MSC Industrial Direct Co. Inc. Class A |
| 1,248 |
| 88 |
|
| ICF International Inc. |
| 1,208 |
| 88 |
|
| Snap-on Inc. |
| 561 |
| 87 |
|
| CSX Corp. |
| 1,173 |
| 87 |
|
* | TriNet Group Inc. |
| 1,344 |
| 85 |
|
| Dover Corp. |
| 906 |
| 81 |
|
| Kaman Corp. |
| 1,454 |
| 81 |
|
| Union Pacific Corp. |
| 473 |
| 79 |
|
| Quanta Services Inc. |
| 2,003 |
| 70 |
|
| Korn Ferry |
| 1,599 |
| 69 |
|
* | JetBlue Airways Corp. |
| 3,981 |
| 69 |
|
* | TrueBlue Inc. |
| 3,087 |
| 66 |
|
| Allison Transmission Holdings Inc. |
| 1,579 |
| 65 |
|
| CSW Industrials Inc. |
| 1,001 |
| 64 |
|
* | Spirit Airlines Inc. |
| 1,340 |
| 62 |
|
| Spirit AeroSystems Holdings Inc. Class A |
| 757 |
| 61 |
|
| Marten Transport Ltd. |
| 3,353 |
| 59 |
|
| AGCO Corp. |
| 858 |
| 57 |
|
| Schneider National Inc. Class B |
| 3,374 |
| 57 |
|
| Xerox Corp. |
| 1,813 |
| 56 |
|
| Accenture plc Class A |
| 306 |
| 55 |
|
| Illinois Tool Works Inc. |
| 367 |
| 51 |
|
* | Hub Group Inc. Class A |
| 1,213 |
| 47 |
|
* | Keysight Technologies Inc. |
| 626 |
| 47 |
|
| Columbus McKinnon Corp. |
| 1,290 |
| 47 |
|
| Steelcase Inc. Class A |
| 2,895 |
| 46 |
|
| Automatic Data Processing Inc. |
| 289 |
| 46 |
|
| HNI Corp. |
| 1,379 |
| 46 |
|
* | Atkore International Group Inc. |
| 1,894 |
| 44 |
|
| MAXIMUS Inc. |
| 582 |
| 41 |
|
| Waste Management Inc. |
| 378 |
| 41 |
|
| Pentair plc |
| 1,171 |
| 41 |
|
* | Allegheny Technologies Inc. |
| 1,902 |
| 41 |
|
| Federal Signal Corp. |
| 1,674 |
| 40 |
|
| EnPro Industries Inc. |
| 708 |
| 39 |
|
* | Modine Manufacturing Co. |
| 2,946 |
| 38 |
|
| Heartland Express Inc. |
| 2,106 |
| 38 |
|
| Alaska Air Group Inc. |
| 645 |
| 38 |
|
| Badger Meter Inc. |
| 703 |
| 37 |
|
| ITT Inc. |
| 631 |
| 36 |
|
| Mesa Laboratories Inc. |
| 144 |
| 36 |
|
| Cummins Inc. |
| 232 |
| 35 |
|
| Kforce Inc. |
| 1,003 |
| 35 |
|
| Toro Co. |
| 521 |
| 34 |
|
* | MasTec Inc. |
| 719 |
| 33 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
| Forward Air Corp. |
| 596 |
| 33 |
|
* | Casella Waste Systems Inc. Class A |
| 855 |
| 33 |
|
| Carlisle Cos. Inc. |
| 244 |
| 33 |
|
* | United Continental Holdings Inc. |
| 404 |
| 31 |
|
| Regal Beloit Corp. |
| 431 |
| 31 |
|
* | TriMas Corp. |
| 1,071 |
| 31 |
|
| Matson Inc. |
| 855 |
| 29 |
|
* | MYR Group Inc. |
| 896 |
| 29 |
|
* | Frontline Ltd. |
| 3,685 |
| 29 |
|
| Tetra Tech Inc. |
| 401 |
| 27 |
|
* | WESCO International Inc. |
| 570 |
| 27 |
|
| Encore Wire Corp. |
| 525 |
| 26 |
|
| CRA International Inc. |
| 683 |
| 26 |
|
| Kelly Services Inc. Class A |
| 1,085 |
| 26 |
|
| Herman Miller Inc. |
| 702 |
| 25 |
|
| Insperity Inc. |
| 202 |
| 23 |
|
* | Vishay Precision Group Inc. |
| 632 |
| 23 |
|
| Werner Enterprises Inc. |
| 789 |
| 22 |
|
| Navigant Consulting Inc. |
| 993 |
| 22 |
|
| MSA Safety Inc. |
| 202 |
| 20 |
|
* | Great Lakes Dredge & Dock Corp. |
| 1,835 |
| 20 |
|
| PACCAR Inc. |
| 295 |
| 19 |
|
| Graco Inc. |
| 405 |
| 19 |
|
* | Sykes Enterprises Inc. |
| 753 |
| 19 |
|
| Franklin Electric Co. Inc. |
| 425 |
| 19 |
|
| nVent Electric plc |
| 787 |
| 18 |
|
* | Echo Global Logistics Inc. |
| 895 |
| 18 |
|
* | OSI Systems Inc. |
| 164 |
| 17 |
|
| ManpowerGroup Inc. |
| 177 |
| 15 |
|
| ABM Industries Inc. |
| 403 |
| 15 |
|
* | Huron Consulting Group Inc. |
| 296 |
| 15 |
|
| Ennis Inc. |
| 778 |
| 14 |
|
| Heidrick & Struggles International Inc. |
| 473 |
| 14 |
|
| Robert Half International Inc. |
| 266 |
| 14 |
|
| Expeditors International of Washington Inc. |
| 205 |
| 14 |
|
| Moog Inc. Class A |
| 172 |
| 14 |
|
| Brady Corp. Class A |
| 305 |
| 14 |
|
| ACCO Brands Corp. |
| 1,486 |
| 11 |
|
| Systemax Inc. |
| 485 |
| 10 |
|
* | Blue Bird Corp. |
| 500 |
| 9 |
|
* | Darling Ingredients Inc. |
| 479 |
| 9 |
|
| McGrath RentCorp |
| 153 |
| 9 |
|
| Knoll Inc. |
| 399 |
| 8 |
|
|
|
|
|
| 4,423 |
|
Technology (12.6%) |
|
|
|
|
| |
| Intel Corp. |
| 6,500 |
| 286 |
|
| Cisco Systems Inc. |
| 4,276 |
| 222 |
|
| Intuit Inc. |
| 761 |
| 186 |
|
| NXP Semiconductors NV |
| 1,975 |
| 174 |
|
| Lam Research Corp. |
| 782 |
| 137 |
|
* | Fabrinet |
| 2,923 |
| 125 |
|
* | Paycom Software Inc. |
| 572 |
| 121 |
|
| Oracle Corp. |
| 2,315 |
| 117 |
|
| TE Connectivity Ltd. |
| 1,327 |
| 112 |
|
* | Qorvo Inc. |
| 1,783 |
| 109 |
|
* | F5 Networks Inc. |
| 807 |
| 107 |
|
* | Insight Enterprises Inc. |
| 1,964 |
| 101 |
|
| Jabil Inc. |
| 4,110 |
| 101 |
|
| Texas Instruments Inc. |
| 962 |
| 100 |
|
* | Akamai Technologies Inc. |
| 1,245 |
| 94 |
|
| International Business Machines Corp. |
| 684 |
| 87 |
|
* | Diodes Inc. |
| 2,787 |
| 86 |
|
| VMware Inc. Class A |
| 461 |
| 82 |
|
* | Fortinet Inc. |
| 1,112 |
| 81 |
|
| Xilinx Inc. |
| 778 |
| 80 |
|
* | Atlassian Corp. plc Class A |
| 584 |
| 73 |
|
* | SPS Commerce Inc. |
| 720 |
| 73 |
|
* | ON Semiconductor Corp. |
| 3,686 |
| 65 |
|
* | Perficient Inc. |
| 1,830 |
| 56 |
|
| CDW Corp. |
| 530 |
| 52 |
|
* | Alarm.com Holdings Inc. |
| 887 |
| 52 |
|
| PC Connection Inc. |
| 1,617 |
| 51 |
|
* | Check Point Software Technologies Ltd. |
| 462 |
| 51 |
|
| Corning Inc. |
| 1,623 |
| 47 |
|
* | Arista Networks Inc. |
| 182 |
| 44 |
|
| AVX Corp. |
| 3,001 |
| 44 |
|
| Hewlett Packard Enterprise Co. |
| 3,206 |
| 44 |
|
* | Axcelis Technologies Inc. |
| 2,947 |
| 44 |
|
| Avnet Inc. |
| 1,008 |
| 41 |
|
* | Nanometrics Inc. |
| 1,408 |
| 40 |
|
| Ubiquiti Networks Inc. |
| 331 |
| 40 |
|
| Vishay Intertechnology Inc. |
| 2,536 |
| 39 |
|
* | Tech Data Corp. |
| 357 |
| 32 |
|
* | Ciena Corp. |
| 886 |
| 31 |
|
* | Calix Inc. |
| 4,644 |
| 28 |
|
* | Yandex NV Class A |
| 778 |
| 28 |
|
* | ScanSource Inc. |
| 933 |
| 27 |
|
* | Photronics Inc. |
| 3,171 |
| 26 |
|
* | Teradata Corp. |
| 715 |
| 25 |
|
* | Amkor Technology Inc. |
| 3,787 |
| 25 |
|
| Teradyne Inc. |
| 580 |
| 24 |
|
* | NETGEAR Inc. |
| 959 |
| 24 |
|
| Citrix Systems Inc. |
| 242 |
| 23 |
|
| Juniper Networks Inc. |
| 909 |
| 22 |
|
* | Lattice Semiconductor Corp. |
| 1,740 |
| 22 |
|
| NIC Inc. |
| 1,382 |
| 22 |
|
| Motorola Solutions Inc. |
| 139 |
| 21 |
|
* | Sanmina Corp. |
| 735 |
| 20 |
|
* | Unisys Corp. |
| 1,998 |
| 19 |
|
| Symantec Corp. |
| 1,015 |
| 19 |
|
U.S. Multifactor Fund
|
|
|
|
| Market |
|
|
|
|
|
| Value· |
|
|
|
| Shares |
| ($000 | ) |
* | Arrow Electronics Inc. |
| 287 |
| 18 |
|
* | FormFactor Inc. |
| 1,207 |
| 17 |
|
* | Manhattan Associates Inc. |
| 254 |
| 17 |
|
* | NCR Corp. |
| 531 |
| 16 |
|
* | Cirrus Logic Inc. |
| 430 |
| 16 |
|
* | IAC/InterActiveCorp |
| 68 |
| 15 |
|
* | LiveRamp Holdings Inc. |
| 285 |
| 15 |
|
* | Knowles Corp. |
| 838 |
| 13 |
|
* | Tucows Inc. Class A |
| 181 |
| 11 |
|
* | Yext Inc. |
| 580 |
| 11 |
|
* | ePlus Inc. |
| 142 |
| 10 |
|
| Skyworks Solutions Inc. |
| 103 |
| 7 |
|
| DXC Technology Co. |
| 143 |
| 7 |
|
|
|
|
|
| 3,975 |
|
Utilities (5.6%) |
|
|
|
|
| |
| Exelon Corp. |
| 6,755 |
| 325 |
|
* | T-Mobile US Inc. |
| 3,224 |
| 237 |
|
| Verizon Communications Inc. |
| 3,490 |
| 190 |
|
| Hawaiian Electric Industries Inc. |
| 3,553 |
| 148 |
|
| Portland General Electric Co. |
| 1,992 |
| 105 |
|
| Duke Energy Corp. |
| 1,152 |
| 99 |
|
| OGE Energy Corp. |
| 2,367 |
| 98 |
|
* | United States Cellular Corp. |
| 1,934 |
| 84 |
|
| Southern Co. |
| 1,520 |
| 81 |
|
| American Electric Power Co. Inc. |
| 704 |
| 61 |
|
| ONE Gas Inc. |
| 687 |
| 60 |
|
| NorthWestern Corp. |
| 730 |
| 52 |
|
| WEC Energy Group Inc. |
| 585 |
| 47 |
|
| Ameren Corp. |
| 604 |
| 44 |
|
| Black Hills Corp. |
| 384 |
| 29 |
|
| j2 Global Inc. |
| 281 |
| 24 |
|
| Telephone & Data Systems Inc. |
| 712 |
| 20 |
|
| Avangrid Inc. |
| 304 |
| 15 |
|
| Eversource Energy |
| 200 |
| 15 |
|
| IDACORP Inc. |
| 130 |
| 13 |
|
| Shenandoah Telecommunications Co. |
| 211 |
| 8 |
|
| Consolidated Communications Holdings Inc. |
| 707 |
| 3 |
|
|
|
|
|
| 1,758 |
|
Total Common Stocks (Cost $32,695) |
|
|
| 31,327 |
| |
Temporary Cash Investment (0.4%)1 |
|
|
|
|
| |
Money Market Fund (0.4%) |
|
|
|
|
| |
2 | Vanguard Market Liquidity Fund, 2.527% |
| 1,176 |
| 118 |
|
Total Investments (99.8%) |
|
|
| 31,445 |
|
|
| Amount |
|
|
| ($000 | ) |
Other Assets and Liabilities (0.2%) |
|
|
|
Other Assets |
|
|
|
Investment in Vanguard |
| 2 |
|
Receivables for Accrued Income |
| 65 |
|
Receivables for Capital Shares Issued |
| 20 |
|
Other Assets3 |
| 41 |
|
Total Other Assets |
| 128 |
|
Liabilities |
|
|
|
Payables for Investment Securities Purchased |
| (1 | ) |
Payables for Capital Shares Redeemed |
| (49 | ) |
Payables to Vanguard |
| (3 | ) |
Variation Margin Payable—Futures Contracts |
| (3 | ) |
Total Liabilities |
| (56 | ) |
Net Assets (100%) |
|
|
|
Applicable to 1,375,718 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
| 31,517 |
|
Net Asset Value Per Share |
| $22.91 |
|
At May 31, 2019, net assets consisted of:
|
| Amount |
|
|
| ($000 | ) |
Paid-in Capital |
| 34,954 |
|
Total Distributable Earnings (Loss) |
| (3,437 | ) |
Net Assets |
| 31,517 |
|
· 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 $40,000 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) |
|
|
| Expiration |
| Number of Long (Short Contracts | )
| Notional Amount |
| Value and Unrealized Appreciation (Depreciation) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
E-mini S&P 500 Index |
| June 2019 |
| 1 |
| 138 |
| (6) |
|
Micro E-mini S&P 500 Index |
| June 2019 |
| 3 |
| 41 |
| — |
|
|
|
|
|
|
|
|
| (6) |
|
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Statement of Operations
| Six Months Ended |
|
| ($000) |
|
Investment Income |
|
|
Income |
|
|
Dividends | 355 |
|
Interest1 | 6 |
|
Total Income | 361 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services | — |
|
Management and Administrative | 27 |
|
Marketing and Distribution | — |
|
Custodian Fees | 3 |
|
Shareholders’ Reports | 1 |
|
Total Expenses | 31 |
|
Net Investment Income | 330 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold1 | (1,685) |
|
Futures Contracts | 2 |
|
Realized Net Gain (Loss) | (1,683) |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities1 | (593) |
|
Futures Contracts | (10) |
|
Change in Unrealized Appreciation (Depreciation) | (603) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,956) |
|
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,000, ($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. Multifactor Fund
Statement of Changes in Net Assets
| Six Months Ended 2019 |
| February 15, |
|
| ($000) |
| ($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income | 330 |
| 393 |
|
Realized Net Gain (Loss) | (1,683) |
| (498) |
|
Change in Unrealized Appreciation (Depreciation) | (603) |
| (771) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,956) |
| (876) |
|
Distributions |
|
|
|
|
Net Investment Income | (318) |
| (287) |
|
Realized Capital Gain | — |
| — |
|
Total Distributions | (318) |
| (287) |
|
Capital Share Transactions |
|
|
|
|
Issued | 13,844 |
| 56,322 |
|
Issued in Lieu of Cash Distributions | 265 |
| 231 |
|
Redeemed | (15,909) |
| (19,799) |
|
Net Increase (Decrease) from Capital Share Transactions | (1,800) |
| 36,754 |
|
Total Increase (Decrease) | (4,074) |
| 35,591 |
|
Net Assets |
|
|
|
|
Beginning of Period | 35,591 |
| — |
|
End of Period | 31,517 |
| 35,591 |
|
1 Inception.
See accompanying Notes, which are an integral part of the Financial Statements.
U.S. Multifactor Fund
Financial Highlights
| Six Months | Feb. 15, |
| Ended | 20181 to |
| May 31, | Nov. 30, |
For a Share Outstanding Throughout Each Period | 2019 | 2018 |
Net Asset Value, Beginning of Period | $24.53 | $25.00 |
Investment Operations |
|
|
Net Investment Income2 | .231 | .333 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.633) | (.598) |
Total from Investment Operations | (1.402) | (.265) |
Distributions |
|
|
Dividends from Net Investment Income | (.218) | (.205) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.218) | (.205) |
Net Asset Value, End of Period | $22.91 | $24.53 |
|
|
|
Total Return3 | -5.72% | -1.11% |
|
|
|
Ratios/Supplemental Data |
|
|
Net Assets, End of Period (Millions) | $32 | $36 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 1.84% | 1.64%4 |
Portfolio Turnover Rate | 110% | 58% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Annualized.
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.
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 six months ended May 31, 2019, 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 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 its open federal income tax year ended November 30, 2018, and for the period ended May 31, 2019, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
U.S. Multifactor Fund
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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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 May 31, 2019, 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. 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 May 31, 2019, 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 May 31, 2019, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
U.S. Multifactor Fund
D. As of May 31, 2019, 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 | 32,813 |
Gross Unrealized Appreciation | 1,782 |
Gross Unrealized Depreciation | (3,156) |
Net Unrealized Appreciation (Depreciation) | (1,374) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2018, the fund had available capital losses totaling $494,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2019; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended May 31, 2019, the fund purchased $18,491,000 of investment securities and sold $19,783,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Six Months Ended |
| February 15, 20181 to |
| May 31, 2019 |
| November 30, 2018 |
| Shares |
| Shares |
| (000) |
| (000) |
Issued | 589 |
| 2,205 |
Issued in Lieu of Cash Distributions | 11 |
| 9 |
Redeemed | (675) |
| (763) |
Net Increase (Decrease) in Shares Outstanding | (75) |
| 1,451 |
1 Inception.
G. Management has determined that no events or transactions occurred subsequent to May 31, 2019, that would require recognition or disclosure in these financial statements.
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard U.S. Multifactor Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Quantitative Equity Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the fund since its inception in 2018 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the fund’s performance since its inception, including any periods of 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.
Cost
The board concluded that, while the fund had not yet been in existence for a full fiscal year, the fund’s estimated expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s estimated advisory expenses were also well below the peer-group average.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
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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.
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.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q5162 072019 |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Shares |
| Market | ) |
Common Stocks (63.8%) |
|
|
|
|
| |
Communication Services (6.3%) |
|
|
|
|
| |
| Verizon Communications Inc. |
| 44,499,830 |
| 2,418,566 |
|
* | Alphabet Inc. Class A |
| 1,751,782 |
| 1,938,347 |
|
| Comcast Corp. Class A |
| 42,278,514 |
| 1,733,419 |
|
| AT&T Inc. |
| 11,824,793 |
| 361,602 |
|
|
|
|
|
| 6,451,934 |
|
Consumer Discretionary (3.1%) |
|
|
|
|
| |
| Home Depot Inc. |
| 3,838,009 |
| 728,646 |
|
| Lowe’s Cos. Inc. |
| 6,579,857 |
| 613,769 |
|
| Hilton Worldwide Holdings Inc. |
| 6,661,438 |
| 595,799 |
|
| TJX Cos. Inc. |
| 11,211,522 |
| 563,828 |
|
* | Alibaba Group Holding Ltd. ADR |
| 1,737,773 |
| 259,380 |
|
| eBay Inc. |
| 6,471,674 |
| 232,527 |
|
| Ross Stores Inc. |
| 1,539,738 |
| 143,180 |
|
|
|
|
|
| 3,137,129 |
|
Consumer Staples (4.8%) |
|
|
|
|
| |
| PepsiCo Inc. |
| 7,778,101 |
| 995,597 |
|
| Unilever NV |
| 12,831,471 |
| 772,375 |
|
| Coca-Cola Co. |
| 15,121,128 |
| 742,901 |
|
| Nestle SA |
| 7,408,354 |
| 734,899 |
|
| Sysco Corp. |
| 9,292,735 |
| 639,526 |
|
| Diageo plc |
| 13,801,810 |
| 580,527 |
|
| Walmart Inc. |
| 4,640,071 |
| 470,689 |
|
|
|
|
|
| 4,936,514 |
|
Energy (4.9%) |
|
|
|
|
| |
| Chevron Corp. |
| 15,683,549 |
| 1,785,572 |
|
| TOTAL SA |
| 14,220,154 |
| 737,286 |
|
| Suncor Energy Inc. |
| 19,942,193 |
| 614,525 |
|
| Exxon Mobil Corp. |
| 7,377,235 |
| 522,087 |
|
| ConocoPhillips |
| 8,766,662 |
| 516,882 |
|
| BP plc |
| 57,994,377 |
| 392,958 |
|
| Hess Corp. |
| 4,774,369 |
| 266,696 |
|
| Halliburton Co. |
| 5,921,692 |
| 126,073 |
|
|
|
|
|
| 4,962,079 |
|
Financials (14.1%) |
|
|
|
|
| |
| JPMorgan Chase & Co. |
| 22,156,213 |
| 2,347,672 |
|
| Bank of America Corp. |
| 78,867,361 |
| 2,097,872 |
|
| Chubb Ltd. |
| 10,814,770 |
| 1,579,713 |
|
| Prudential Financial Inc. |
| 13,852,917 |
| 1,279,732 |
|
| PNC Financial Services Group Inc. |
| 7,187,887 |
| 914,730 |
|
| Intercontinental Exchange Inc. |
| 8,873,356 |
| 729,479 |
|
| American International Group Inc. |
| 14,098,098 |
| 719,990 |
|
| Northern Trust Corp. |
| 7,168,682 |
| 613,066 |
|
| BlackRock Inc. |
| 1,466,653 |
| 609,482 |
|
| Marsh & McLennan Cos. Inc. |
| 5,301,889 |
| 506,861 |
|
| Hartford Financial Services Group Inc. |
| 8,874,933 |
| 467,354 |
|
| Mitsubishi UFJ Financial Group Inc. |
| 97,368,100 |
| 447,195 |
|
| Bank of Nova Scotia |
| 8,282,883 |
| 419,942 |
|
| Progressive Corp. |
| 4,425,333 |
| 350,840 |
|
^ | BNP Paribas SA |
| 5,716,971 |
| 262,158 |
|
| American Express Co. |
| 1,876,741 |
| 215,281 |
|
| UBS Group AG |
| 17,789,928 |
| 203,339 |
|
| Tokio Marine Holdings Inc. |
| 3,947,940 |
| 195,654 |
|
| ING Groep NV |
| 17,452,680 |
| 188,513 |
|
| Charles Schwab Corp. |
| 4,455,370 |
| 185,388 |
|
| Citigroup Inc. |
| 659,488 |
| 40,987 |
|
* | Brighthouse Financial Inc. |
| 915,571 |
| 32,494 |
|
|
|
|
|
| 14,407,742 |
|
Health Care (9.4%) |
|
|
|
|
| |
| Pfizer Inc. |
| 30,330,939 |
| 1,259,341 |
|
| Medtronic plc |
| 12,355,317 |
| 1,143,855 |
|
| AstraZeneca plc ADR |
| 28,544,250 |
| 1,066,984 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Shares |
| Market | ) |
| Bristol-Myers Squibb Co. |
| 22,437,789 |
| 1,018,002 |
|
| Merck & Co. Inc. |
| 12,283,146 |
| 972,948 |
|
| UnitedHealth Group Inc. |
| 3,876,024 |
| 937,223 |
|
| Novartis AG |
| 9,573,480 |
| 822,725 |
|
| Abbott Laboratories |
| 7,934,877 |
| 604,082 |
|
| CVS Health Corp. |
| 11,332,230 |
| 593,469 |
|
| Eli Lilly & Co. |
| 4,727,536 |
| 548,111 |
|
| Koninklijke Philips NV |
| 11,914,433 |
| 472,168 |
|
* | Alcon Inc. |
| 1,914,696 |
| 111,354 |
|
|
|
|
|
| 9,550,262 |
|
Industrials (6.6%) |
|
|
|
|
| |
| United Technologies Corp. |
| 7,313,592 |
| 923,707 |
|
| Lockheed Martin Corp. |
| 2,494,514 |
| 844,493 |
|
| Deere & Co. |
| 6,018,833 |
| 843,660 |
|
| Union Pacific Corp. |
| 4,294,090 |
| 716,168 |
|
| United Parcel Service Inc. Class B |
| 5,497,544 |
| 510,832 |
|
| Vinci SA |
| 5,045,190 |
| 497,515 |
|
| General Dynamics Corp. |
| 3,081,903 |
| 495,632 |
|
| Schneider Electric SE |
| 6,137,961 |
| 484,778 |
|
| Johnson Controls International plc |
| 10,987,785 |
| 423,249 |
|
| Assa Abloy AB Class B |
| 15,073,716 |
| 293,358 |
|
| Raytheon Co. |
| 1,323,224 |
| 230,902 |
|
| Eaton Corp. plc |
| 2,846,818 |
| 212,059 |
|
| BAE Systems plc |
| 24,186,771 |
| 138,272 |
|
| Canadian National Railway Co. (Toronto Shares) |
| 618,300 |
| 54,813 |
|
| Canadian National Railway Co. (New York Shares) |
| 52,709 |
| 4,669 |
|
|
|
|
|
| 6,674,107 |
|
Information Technology (7.9%) |
|
|
|
|
| |
| Microsoft Corp. |
| 25,807,323 |
| 3,191,850 |
|
| Intel Corp. |
| 24,350,005 |
| 1,072,374 |
|
| Cisco Systems Inc. |
| 18,491,441 |
| 962,110 |
|
| Apple Inc. |
| 4,485,064 |
| 785,200 |
|
| HP Inc. |
| 30,526,378 |
| 570,233 |
|
| Accenture plc Class A |
| 3,096,258 |
| 551,351 |
|
| International Business Machines Corp. |
| 3,358,624 |
| 426,511 |
|
| Samsung Electronics Co. Ltd. GDR |
| 326,550 |
| 290,667 |
|
| Texas Instruments Inc. |
| 1,371,987 |
| 143,112 |
|
|
|
|
|
| 7,993,408 |
|
Materials (1.7%) |
|
|
|
|
| |
| International Paper Co. |
| 14,664,064 |
| 608,119 |
|
| PPG Industries Inc. |
| 4,136,368 |
| 432,871 |
|
| DowDuPont Inc. |
| 14,072,196 |
| 429,483 |
|
| LyondellBasell Industries NV Class A |
| 3,840,552 |
| 285,161 |
|
|
|
|
|
| 1,755,634 |
|
Real Estate (1.9%) |
|
|
|
|
| |
| American Tower Corp. |
| 5,258,585 |
| 1,097,835 |
|
| Simon Property Group Inc. |
| 4,294,332 |
| 696,068 |
|
| Boston Properties Inc. |
| 1,037,213 |
| 135,699 |
|
|
|
|
|
| 1,929,602 |
|
Utilities (3.1%) |
|
|
|
|
| |
| NextEra Energy Inc. |
| 5,410,411 |
| 1,072,398 |
|
| Dominion Energy Inc. |
| 13,094,640 |
| 984,455 |
|
| Exelon Corp. |
| 15,756,671 |
| 757,581 |
|
* | Iberdrola SA |
| 40,990,988 |
| 381,126 |
|
|
|
|
|
| 3,195,560 |
|
Total Common Stocks (Cost $44,454,979) |
|
|
| 64,993,971 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
U.S. Government and Agency Obligations (7.1%) |
|
|
|
|
| |||||
U.S. Government Securities (5.3%) |
|
|
|
|
| |||||
| United States Treasury Inflation Indexed Bonds |
| 0.750% |
| 7/15/28 |
| 167,785 |
| 175,808 |
|
| United States Treasury Note/Bond |
| 1.375% |
| 2/29/20 |
| 62,000 |
| 61,564 |
|
| United States Treasury Note/Bond |
| 2.250% |
| 2/29/20 |
| 163,000 |
| 162,899 |
|
| United States Treasury Note/Bond |
| 2.250% |
| 3/31/20 |
| 210,000 |
| 209,901 |
|
| United States Treasury Note/Bond |
| 1.625% |
| 6/30/20 |
| 67,210 |
| 66,790 |
|
| United States Treasury Note/Bond |
| 2.500% |
| 1/31/21 |
| 20,090 |
| 20,250 |
|
| United States Treasury Note/Bond |
| 1.250% |
| 3/31/21 |
| 52,000 |
| 51,326 |
|
1,2 | United States Treasury Note/Bond |
| 2.875% |
| 11/15/21 |
| 1,000,000 |
| 1,022,810 |
|
| United States Treasury Note/Bond |
| 2.500% |
| 3/31/23 |
| 284,000 |
| 290,214 |
|
| United States Treasury Note/Bond |
| 2.625% |
| 6/30/23 |
| 274,000 |
| 281,579 |
|
| United States Treasury Note/Bond |
| 2.750% |
| 7/31/23 |
| 104,000 |
| 107,429 |
|
| United States Treasury Note/Bond |
| 2.625% |
| 12/31/23 |
| 325,000 |
| 334,851 |
|
| United States Treasury Note/Bond |
| 2.125% |
| 3/31/24 |
| 5,740 |
| 5,789 |
|
| United States Treasury Note/Bond |
| 2.000% |
| 2/15/25 |
| 364,360 |
| 364,757 |
|
| United States Treasury Note/Bond |
| 2.000% |
| 8/15/25 |
| 61,860 |
| 61,841 |
|
| United States Treasury Note/Bond |
| 1.625% |
| 5/15/26 |
| 78,110 |
| 76,060 |
|
| United States Treasury Note/Bond |
| 2.000% |
| 11/15/26 |
| 43,000 |
| 42,852 |
|
| United States Treasury Note/Bond |
| 2.250% |
| 11/15/27 |
| 383,050 |
| 387,478 |
|
| United States Treasury Note/Bond |
| 3.125% |
| 11/15/28 |
| 196,515 |
| 213,158 |
|
| United States Treasury Note/Bond |
| 2.625% |
| 2/15/29 |
| 497,270 |
| 518,404 |
|
| United States Treasury Note/Bond |
| 2.375% |
| 5/15/29 |
| 6,520 |
| 6,658 |
|
| United States Treasury Note/Bond |
| 2.875% |
| 5/15/43 |
| 275,732 |
| 292,190 |
|
| United States Treasury Note/Bond |
| 2.250% |
| 8/15/46 |
| 117,264 |
| 109,825 |
|
| United States Treasury Note/Bond |
| 2.750% |
| 8/15/47 |
| 146,845 |
| 151,939 |
|
| United States Treasury Note/Bond |
| 3.000% |
| 8/15/48 |
| 106,860 |
| 116,110 |
|
| United States Treasury Note/Bond |
| 3.000% |
| 2/15/49 |
| 21,980 |
| 23,931 |
|
| United States Treasury Note/Bond |
| 2.875% |
| 5/15/49 |
| 83,575 |
| 88,838 |
|
1 | United States Treasury Strip Principal |
| 0.000% |
| 5/15/47 |
| 127,000 |
| 61,257 |
|
| United States Treasury Strip Principal |
| 0.000% |
| 8/15/47 |
| 247,840 |
| 118,287 |
|
|
|
|
|
|
|
|
|
| 5,424,795 |
|
Conventional Mortgage-Backed Securities (1.2%) |
|
|
|
|
| |||||
3,4 | Fannie Mae Pool |
| 2.500% |
| 9/1/27–4/1/38 |
| 75,658 |
| 74,827 |
|
3,4 | Fannie Mae Pool |
| 3.500% |
| 11/1/45–1/1/58 |
| 563,330 |
| 574,496 |
|
3,4 | Fannie Mae Pool |
| 4.000% |
| 8/1/48–2/1/49 |
| 277,129 |
| 286,448 |
|
3,4 | Freddie Mac Gold Pool |
| 3.000% |
| 5/1/22–9/1/22 |
| 12 |
| 12 |
|
3,4 | Freddie Mac Gold Pool |
| 4.000% |
| 10/1/48–12/1/48 |
| 153,329 |
| 158,303 |
|
3 | Ginnie Mae I Pool |
| 7.000% |
| 11/15/31–11/15/33 |
| 1,965 |
| 2,266 |
|
3,5 | UMBS TBA |
| 3.000% |
| 6/1/34 |
| 125,351 |
| 127,172 |
|
|
|
|
|
|
|
|
|
| 1,223,524 |
|
Nonconventional Mortgage-Backed Securities (0.6%) |
|
|
|
|
| |||||
3,4 | Fannie Mae REMICS |
| 3.000% |
| 9/25/57 |
| 45,144 |
| 45,697 |
|
3,4 | Fannie Mae REMICS |
| 3.500% |
| 4/25/31–6/25/59 |
| 366,225 |
| 377,564 |
|
3,4 | Fannie Mae REMICS |
| 4.000% |
| 9/25/29–5/25/31 |
| 17,242 |
| 17,878 |
|
3,4 | Freddie Mac REMICS |
| 3.500% |
| 3/15/31 |
| 5,288 |
| 5,466 |
|
3,4 | Freddie Mac REMICS |
| 4.000% |
| 12/15/30–4/15/31 |
| 96,059 |
| 101,135 |
|
|
|
|
|
|
|
|
|
| 547,740 |
|
Total U.S. Government and Agency Obligations (Cost $6,946,225) |
|
|
| 7,196,059 |
| |||||
Asset-Backed/Commercial Mortgage-Backed Securities (1.6%) |
|
|
|
|
| |||||
3,6 | American Express Credit Account Master Trust |
| 2.950% |
| 3/15/23 |
| 60,315 |
| 60,836 |
|
3,6 | American Tower Trust I |
| 3.070% |
| 3/15/23 |
| 43,000 |
| 43,577 |
|
3 | AmeriCredit Automobile Receivables Trust 2016-3 |
| 2.240% |
| 4/8/22 |
| 12,970 |
| 12,941 |
|
3,6 | Angel Oak Mortgage Trust I LLC 2019-2 |
| 3.628% |
| 3/25/49 |
| 11,418 |
| 11,537 |
|
3,6,7 | Ares XXIX CLO Ltd., 3M USD LIBOR + 1.190% |
| 3.778% |
| 4/17/26 |
| 22,392 |
| 22,420 |
|
3,6,7 | Atlas Senior Loan Fund X Ltd., 3M USD LIBOR + 1.090% |
| 3.687% |
| 1/15/31 |
| 7,940 |
| 7,849 |
|
3,6,7 | Avery Point IV CLO Ltd., 3M USD LIBOR + 1.100% |
| 3.680% |
| 4/25/26 |
| 26,612 |
| 26,622 |
|
3,6,7 | Babson CLO Ltd. 2014-I, 3M USD LIBOR + 1.150% |
| 3.742% |
| 7/20/25 |
| 3,510 |
| 3,514 |
|
6 | Bank of Montreal |
| 2.500% |
| 1/11/22 |
| 60,000 |
| 60,340 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
3 | BMW Vehicle Lease Trust 2018-1A |
| 3.260% |
| 7/20/21 |
| 10,290 |
| 10,395 |
|
3,6 | Canadian Pacer Auto Receiveable Trust A Series 2018 |
| 3.000% |
| 6/21/21 |
| 7,692 |
| 7,720 |
|
3,6 | Canadian Pacer Auto Receiveable Trust A Series 2018 |
| 3.270% |
| 12/19/22 |
| 5,060 |
| 5,121 |
|
3 | CarMax Auto Owner Trust 2018-4 |
| 3.110% |
| 2/15/22 |
| 36,000 |
| 36,139 |
|
3 | CarMax Auto Owner Trust 2018-4 |
| 3.360% |
| 9/15/23 |
| 20,960 |
| 21,436 |
|
3,6 | Castlelake Aircraft Securitization Trust 2019-1 |
| 3.967% |
| 4/15/39 |
| 31,418 |
| 31,418 |
|
3,6,7 | Cent CLO, 3M USD LIBOR + 1.150% |
| 3.730% |
| 10/25/28 |
| 16,895 |
| 16,871 |
|
3,6 | Chesapeake Funding II LLC |
| 3.390% |
| 1/15/31 |
| 32,620 |
| 32,863 |
|
3,6 | Chesapeake Funding II LLC 2017-2A |
| 1.990% |
| 5/15/29 |
| 5,227 |
| 5,198 |
|
3,6 | Chesapeake Funding II LLC 2018-1 |
| 3.040% |
| 4/15/30 |
| 37,076 |
| 37,288 |
|
3,6 | Cloud Pass-Through Trust 2019-1 |
| 3.554% |
| 12/5/22 |
| 46,064 |
| 46,572 |
|
3,6 | COLT 2019-2 Mortgage Loan Trust |
| 3.337% |
| 5/25/49 |
| 20,176 |
| 20,287 |
|
3 | COMM 2012-CCRE2 Mortgage Trust |
| 3.147% |
| 8/15/45 |
| 18,085 |
| 18,448 |
|
3,6 | Daimler Trucks Retail Trust 2019-1 |
| 2.770% |
| 4/15/21 |
| 29,865 |
| 29,895 |
|
3,6 | DB Master Finance LLC |
| 3.787% |
| 5/20/49 |
| 15,960 |
| 16,324 |
|
3,6 | DB Master Finance LLC |
| 4.021% |
| 5/20/49 |
| 14,245 |
| 14,550 |
|
3,6 | Deephave Residential Mortgage Trust 2019-2 |
| 3.558% |
| 4/25/59 |
| 18,757 |
| 18,930 |
|
3,6 | DNB Boligkreditt AS |
| 2.500% |
| 3/28/22 |
| 47,550 |
| 47,931 |
|
3,6 | Enterprise Fleet Financing LLC |
| 3.100% |
| 10/20/23 |
| 3,495 |
| 3,524 |
|
3,6 | Enterprise Fleet Financing LLC Series 2017-1 |
| 2.130% |
| 7/20/22 |
| 2,720 |
| 2,715 |
|
3,6 | Enterprise Fleet Financing LLC Series 2018-1 |
| 2.870% |
| 10/20/23 |
| 28,525 |
| 28,580 |
|
3,6 | Enterprise Fleet Financing LLC Series 2018-3 |
| 3.380% |
| 5/20/24 |
| 19,350 |
| 19,526 |
|
3,6 | Enterprise Fleet Financing LLC Series 2019-1 |
| 2.980% |
| 10/22/24 |
| 25,975 |
| 26,193 |
|
3,6 | Exeter Automobile Receivables Trust 2018-3 |
| 2.900% |
| 1/18/22 |
| 5,322 |
| 5,323 |
|
3,6 | First Investors Auto Owner Trust |
| 2.000% |
| 3/15/22 |
| 1,976 |
| 1,973 |
|
3,6 | First Investors Auto Owner Trust 2018-2 |
| 3.230% |
| 12/15/22 |
| 10,083 |
| 10,130 |
|
3,6 | Golden Credit Card Trust |
| 1.980% |
| 4/15/22 |
| 19,520 |
| 19,371 |
|
3,6 | Golden Credit Card Trust 2018-1A |
| 2.620% |
| 1/15/23 |
| 18,515 |
| 18,555 |
|
3,6 | GTP Acquisition Partners I LLC |
| 2.350% |
| 6/15/20 |
| 22,530 |
| 22,364 |
|
3,6 | Hertz Fleet Lease Funding LP 2019-1 |
| 2.700% |
| 1/10/33 |
| 35,550 |
| 35,545 |
|
3,6 | Hyundai Auto Lease Securitization Trust 2018-A |
| 2.550% |
| 8/17/20 |
| 10,345 |
| 10,343 |
|
3,6,7 | Madison Park Funding XII Ltd., 3M USD LIBOR + 1.260% |
| 3.851% |
| 7/20/26 |
| 26,261 |
| 26,275 |
|
3,6,7 | Madison Park Funding XIII Ltd., 3M USD LIBOR + 0.950% |
| 3.542% |
| 4/19/30 |
| 33,570 |
| 33,520 |
|
3,6 | MAPS Ltd. |
| 4.458% |
| 3/15/44 |
| 7,007 |
| 7,203 |
|
3,6,7 | Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490% |
| 2.932% |
| 7/21/24 |
| 36,370 |
| 36,260 |
|
3,6 | MMAF Equipment Finance LLC 2013-AA |
| 2.570% |
| 6/9/33 |
| 4,822 |
| 4,817 |
|
3 | Nissan Auto Lease Trust 2018-B |
| 3.250% |
| 9/15/21 |
| 15,975 |
| 16,161 |
|
3,6 | OneMain Direct Auto Receivables Trust |
| 3.430% |
| 12/16/24 |
| 39,255 |
| 39,793 |
|
3,6 | OneMain Direct Auto Receivables Trust 2017-2 |
| 2.310% |
| 12/14/21 |
| 14,887 |
| 14,847 |
|
3,6 | OneMain Financial Issuance Trust 2016-2 |
| 4.100% |
| 3/20/28 |
| 59 |
| 59 |
|
3,6 | OneMain Financial Issuance Trust 2017-1 |
| 2.370% |
| 9/14/32 |
| 23,742 |
| 23,638 |
|
3,6 | OneMain Financial Issuance Trust 2019-1 |
| 3.480% |
| 2/14/31 |
| 35,250 |
| 35,795 |
|
3 | Santander Drive Auto Receivables Trust 2016-3 |
| 1.890% |
| 6/15/21 |
| 290 |
| 289 |
|
3 | Santander Drive Auto Receivables Trust 2018-5 |
| 2.970% |
| 7/15/21 |
| 24,862 |
| 24,873 |
|
3 | Santander Drive Auto Receivables Trust 2018-5 |
| 3.190% |
| 3/15/22 |
| 6,540 |
| 6,566 |
|
3,6 | Santander Retail Auto Lease Trust 2019-A |
| 2.720% |
| 1/20/22 |
| 20,315 |
| 20,408 |
|
3,6 | Securitized Term Auto Receivables Trust 2018-2 |
| 3.060% |
| 2/25/21 |
| 14,147 |
| 14,173 |
|
3,6 | Securitized Term Auto Receivables Trust 2018-2 |
| 3.325% |
| 8/25/22 |
| 18,580 |
| 18,826 |
|
3,6,7 | Seneca Park CLO Ltd. 2014-1, 3M USD LIBOR + 1.120% |
| 3.708% |
| 7/17/26 |
| 17,949 |
| 17,959 |
|
3,6 | SFAVE Commercial Mortgage Securities Trust 2015- 5AVE |
| 4.144% |
| 1/5/43 |
| 27,300 |
| 28,049 |
|
3,6 | SoFi Consumer Loan Program 2018-2 Trust |
| 2.930% |
| 4/26/27 |
| 9,232 |
| 9,233 |
|
3,6 | SoFi Consumer Loan Program 2018-4 Trust |
| 3.540% |
| 11/26/27 |
| 23,979 |
| 24,194 |
|
3,6 | SoFi Consumer Loan Program 2019-1 Trust |
| 3.240% |
| 2/25/28 |
| 26,977 |
| 27,149 |
|
3,6 | Springleaf Funding Trust |
| 3.160% |
| 11/15/24 |
| 2,724 |
| 2,723 |
|
3,6 | Springleaf Funding Trust 2015-B |
| 3.480% |
| 5/15/28 |
| 23,420 |
| 23,533 |
|
3,6 | START Ireland |
| 4.089% |
| 3/15/44 |
| 20,226 |
| 20,576 |
|
3,6,7 | Symphony CLO XIV Ltd., 3M USD LIBOR + 1.280% |
| 3.877% |
| 7/14/26 |
| 41,118 |
| 41,119 |
|
3,6,7 | Thacher Park CLO Ltd., 3M USD LIBOR + 1.160% |
| 3.751% |
| 10/20/26 |
| 19,055 |
| 19,063 |
|
6 | Toronto-Dominion Bank |
| 2.500% |
| 1/18/22 |
| 76,400 |
| 76,933 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
3,6 | Towd Point Mortgage Trust 2016-3 |
| 2.250% |
| 4/25/56 |
| 1,749 |
| 1,727 |
|
3,6 | Trillium Credit Card Trust II 2019-2A |
| 3.038% |
| 1/26/24 |
| 43,395 |
| 43,788 |
|
3 | Utility Debt Securitization Authority Series 2013T |
| 3.435% |
| 12/15/25 |
| 8,625 |
| 8,920 |
|
3,6 | Vantage Data Centers Issuer, LLC 2018-1A |
| 4.072% |
| 2/16/43 |
| 17,523 |
| 17,841 |
|
3 | Verizon Owner Trust 2018-A |
| 3.230% |
| 4/20/23 |
| 21,145 |
| 21,477 |
|
3,6 | Verus Securitization Trust 2019-2 |
| 3.211% |
| 4/25/59 |
| 18,311 |
| 18,311 |
|
3,6,7 | Voya CLO 2014-1 Ltd., 3M USD LIBOR + 0.990% |
| 3.591% |
| 4/18/31 |
| 20,685 |
| 20,408 |
|
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,607,603) |
|
|
| 1,617,670 |
| |||||
Corporate Bonds (22.0%) |
|
|
|
|
|
|
|
|
| |
Finance (8.6%) |
|
|
|
|
|
|
|
|
| |
| Banking (7.1%) |
|
|
|
|
|
|
|
|
|
6 | ABN AMRO Bank NV |
| 2.450% |
| 6/4/20 |
| 19,999 |
| 19,963 |
|
| American Express Credit Corp. |
| 2.250% |
| 8/15/19 |
| 30,200 |
| 30,206 |
|
| American Express Credit Corp. |
| 2.700% |
| 3/3/22 |
| 54,990 |
| 55,222 |
|
| Banco Santander SA |
| 3.125% |
| 2/23/23 |
| 28,400 |
| 28,265 |
|
| Banco Santander SA |
| 3.848% |
| 4/12/23 |
| 16,400 |
| 16,692 |
|
| Bank of America Corp. |
| 3.300% |
| 1/11/23 |
| 7,905 |
| 8,054 |
|
3 | Bank of America Corp. |
| 2.816% |
| 7/21/23 |
| 60,525 |
| 60,350 |
|
| Bank of America Corp. |
| 3.004% |
| 12/20/23 |
| 49,160 |
| 49,311 |
|
| Bank of America Corp. |
| 4.125% |
| 1/22/24 |
| 16,100 |
| 16,986 |
|
| Bank of America Corp. |
| 4.000% |
| 1/22/25 |
| 32,900 |
| 33,909 |
|
| Bank of America Corp. |
| 3.500% |
| 4/19/26 |
| 10,000 |
| 10,189 |
|
3 | Bank of America Corp. |
| 3.559% |
| 4/23/27 |
| 86,705 |
| 88,123 |
|
3 | Bank of America Corp. |
| 3.593% |
| 7/21/28 |
| 37,950 |
| 38,478 |
|
| Bank of America Corp. |
| 3.419% |
| 12/20/28 |
| 8,681 |
| 8,673 |
|
3 | Bank of America Corp. |
| 4.271% |
| 7/23/29 |
| 74,365 |
| 78,695 |
|
3 | Bank of America Corp. |
| 3.974% |
| 2/7/30 |
| 120,185 |
| 124,227 |
|
| Bank of America Corp. |
| 5.875% |
| 2/7/42 |
| 9,965 |
| 12,763 |
|
| Bank of America Corp. |
| 5.000% |
| 1/21/44 |
| 39,433 |
| 45,612 |
|
3 | Bank of America Corp. |
| 3.946% |
| 1/23/49 |
| 5,380 |
| 5,429 |
|
3 | Bank of America Corp. |
| 4.330% |
| 3/15/50 |
| 78,120 |
| 82,260 |
|
| Bank of Montreal |
| 0.000% |
| 7/5/19 |
| 18,500 |
| 13,664 |
|
| Bank of Montreal |
| 3.100% |
| 4/13/21 |
| 46,200 |
| 46,817 |
|
| Bank of New York Mellon Corp. |
| 2.150% |
| 2/24/20 |
| 61,325 |
| 61,143 |
|
| Bank of New York Mellon Corp. |
| 2.200% |
| 8/16/23 |
| 16,670 |
| 16,363 |
|
| Bank of New York Mellon Corp. |
| 3.000% |
| 2/24/25 |
| 27,990 |
| 28,335 |
|
| Bank of Nova Scotia |
| 2.800% |
| 7/21/21 |
| 25,650 |
| 25,806 |
|
| Barclays Bank plc |
| 5.140% |
| 10/14/20 |
| 11,905 |
| 12,222 |
|
| Barclays plc |
| 3.904% |
| 5/16/24 |
| 36,385 |
| 35,764 |
|
3 | Barclays plc |
| 3.932% |
| 5/7/25 |
| 55,605 |
| 55,287 |
|
| BB&T Corp. |
| 5.250% |
| 11/1/19 |
| 8,000 |
| 8,073 |
|
| BB&T Corp. |
| 3.200% |
| 9/3/21 |
| 25,900 |
| 26,275 |
|
| BB&T Corp. |
| 2.750% |
| 4/1/22 |
| 61,300 |
| 61,747 |
|
| BB&T Corp. |
| 3.700% |
| 6/5/25 |
| 49,000 |
| 51,349 |
|
6 | BNP Paribas SA |
| 2.950% |
| 5/23/22 |
| 4,105 |
| 4,107 |
|
| BNP Paribas SA |
| 3.250% |
| 3/3/23 |
| 7,620 |
| 7,776 |
|
6 | BNP Paribas SA |
| 3.800% |
| 1/10/24 |
| 44,775 |
| 45,759 |
|
6 | BNP Paribas SA |
| 3.375% |
| 1/9/25 |
| 60,670 |
| 60,260 |
|
6 | BNP Paribas SA |
| 3.500% |
| 11/16/27 |
| 82,000 |
| 80,955 |
|
6 | BNP Paribas SA |
| 4.400% |
| 8/14/28 |
| 51,985 |
| 54,192 |
|
| BPCE SA |
| 2.500% |
| 7/15/19 |
| 53,100 |
| 53,091 |
|
6 | BPCE SA |
| 5.700% |
| 10/22/23 |
| 6,225 |
| 6,719 |
|
| BPCE SA |
| 4.000% |
| 4/15/24 |
| 30,615 |
| 32,201 |
|
6 | BPCE SA |
| 5.150% |
| 7/21/24 |
| 43,790 |
| 46,309 |
|
6 | BPCE SA |
| 3.500% |
| 10/23/27 |
| 64,230 |
| 63,507 |
|
| Branch Banking & Trust Co. |
| 2.625% |
| 1/15/22 |
| 45,425 |
| 45,705 |
|
| Canadian Imperial Bank of Commerce |
| 0.000% |
| 7/22/19 |
| 25,000 |
| 18,449 |
|
| Canadian Imperial Bank of Commerce |
| 0.000% |
| 7/26/19 |
| 120,263 |
| 88,732 |
|
| Canadian Imperial Bank of Commerce |
| 3.335% |
| 6/16/22 |
| 57,780 |
| 58,205 |
|
| Capital One Financial Corp. |
| 2.500% |
| 5/12/20 |
| 21,500 |
| 21,469 |
|
| Capital One Financial Corp. |
| 4.750% |
| 7/15/21 |
| 18,835 |
| 19,666 |
|
| Capital One Financial Corp. |
| 3.750% |
| 4/24/24 |
| 55,460 |
| 57,306 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Capital One Financial Corp. |
| 3.200% |
| 2/5/25 |
| 24,185 |
| 24,169 |
|
| Citibank NA |
| 3.050% |
| 5/1/20 |
| 67,400 |
| 67,666 |
|
| Citigroup Inc. |
| 2.500% |
| 7/29/19 |
| 37,530 |
| 37,524 |
|
| Citigroup Inc. |
| 2.400% |
| 2/18/20 |
| 65,200 |
| 65,087 |
|
| Citigroup Inc. |
| 4.500% |
| 1/14/22 |
| 33,920 |
| 35,447 |
|
| Citigroup Inc. |
| 4.125% |
| 7/25/28 |
| 14,550 |
| 14,959 |
|
3 | Citigroup Inc. |
| 3.520% |
| 10/27/28 |
| 72,550 |
| 72,411 |
|
| Citigroup Inc. |
| 6.625% |
| 6/15/32 |
| 45,000 |
| 56,790 |
|
3 | Citigroup Inc. |
| 3.878% |
| 1/24/39 |
| 37,030 |
| 36,520 |
|
| Citigroup Inc. |
| 8.125% |
| 7/15/39 |
| 4,638 |
| 7,202 |
|
| Citigroup Inc. |
| 4.650% |
| 7/23/48 |
| 27,965 |
| 30,986 |
|
| Commonwealth Bank of Australia |
| 2.300% |
| 3/12/20 |
| 20,290 |
| 20,254 |
|
| Compass Bank |
| 2.750% |
| 9/29/19 |
| 15,105 |
| 15,094 |
|
6 | Credit Agricole SA |
| 3.601% |
| 4/24/23 |
| 16,500 |
| 16,399 |
|
6 | Credit Agricole SA |
| 3.750% |
| 4/24/23 |
| 31,675 |
| 32,364 |
|
6 | Credit Agricole SA |
| 3.250% |
| 10/4/24 |
| 24,375 |
| 24,279 |
|
| Credit Suisse AG |
| 3.000% |
| 10/29/21 |
| 18,325 |
| 18,455 |
|
| Credit Suisse AG |
| 3.625% |
| 9/9/24 |
| 4,885 |
| 5,067 |
|
6 | Credit Suisse Group AG |
| 3.574% |
| 1/9/23 |
| 20,675 |
| 20,935 |
|
6 | Credit Suisse Group AG |
| 3.837% |
| 6/12/24 |
| 25,015 |
| 24,980 |
|
3,6 | Credit Suisse Group AG |
| 4.207% |
| 6/12/24 |
| 12,375 |
| 12,794 |
|
3,6 | Credit Suisse Group AG |
| 3.869% |
| 1/12/29 |
| 10,980 |
| 10,966 |
|
| Credit Suisse Group Funding Guernsey Ltd. |
| 3.800% |
| 9/15/22 |
| 55,260 |
| 56,884 |
|
| Credit Suisse Group Funding Guernsey Ltd. |
| 3.750% |
| 3/26/25 |
| 67,850 |
| 69,123 |
|
6 | Danske Bank A/S |
| 5.000% |
| 1/12/22 |
| 21,605 |
| 22,392 |
|
6 | Danske Bank A/S |
| 3.875% |
| 9/12/23 |
| 46,290 |
| 46,896 |
|
6 | Danske Bank A/S |
| 5.375% |
| 1/12/24 |
| 28,240 |
| 29,930 |
|
| Deutsche Bank AG |
| 2.700% |
| 7/13/20 |
| 16,635 |
| 16,463 |
|
| Deutsche Bank AG |
| 3.150% |
| 1/22/21 |
| 38,915 |
| 38,473 |
|
| Deutsche Bank AG |
| 4.250% |
| 10/14/21 |
| 45,220 |
| 45,387 |
|
| Fifth Third Bank |
| 2.875% |
| 10/1/21 |
| 10,345 |
| 10,447 |
|
| Goldman Sachs Group Inc. |
| 5.375% |
| 3/15/20 |
| 30,790 |
| 31,425 |
|
| Goldman Sachs Group Inc. |
| 2.600% |
| 4/23/20 |
| 25,750 |
| 25,739 |
|
| Goldman Sachs Group Inc. |
| 6.000% |
| 6/15/20 |
| 11,090 |
| 11,469 |
|
| Goldman Sachs Group Inc. |
| 5.250% |
| 7/27/21 |
| 56,720 |
| 59,692 |
|
| Goldman Sachs Group Inc. |
| 5.750% |
| 1/24/22 |
| 40,725 |
| 43,833 |
|
| Goldman Sachs Group Inc. |
| 3.000% |
| 4/26/22 |
| 30,275 |
| 30,383 |
|
3 | Goldman Sachs Group Inc. |
| 2.876% |
| 10/31/22 |
| 64,880 |
| 65,015 |
|
| Goldman Sachs Group Inc. |
| 3.625% |
| 1/22/23 |
| 35,320 |
| 36,266 |
|
| Goldman Sachs Group Inc. |
| 3.500% |
| 1/23/25 |
| 17,545 |
| 17,747 |
|
3 | Goldman Sachs Group Inc. |
| 3.272% |
| 9/29/25 |
| 46,260 |
| 46,097 |
|
| Goldman Sachs Group Inc. |
| 3.850% |
| 1/26/27 |
| 17,980 |
| 18,394 |
|
3 | Goldman Sachs Group Inc. |
| 3.691% |
| 6/5/28 |
| 15,055 |
| 15,174 |
|
3 | Goldman Sachs Group Inc. |
| 3.814% |
| 4/23/29 |
| 45,870 |
| 46,241 |
|
3 | Goldman Sachs Group Inc. |
| 4.223% |
| 5/1/29 |
| 67,740 |
| 70,292 |
|
| Goldman Sachs Group Inc. |
| 6.750% |
| 10/1/37 |
| 43,995 |
| 55,878 |
|
| Goldman Sachs Group Inc. |
| 6.250% |
| 2/1/41 |
| 30,370 |
| 39,138 |
|
| Goldman Sachs Group Inc. |
| 4.800% |
| 7/8/44 |
| 30,675 |
| 33,510 |
|
6 | HSBC Bank plc |
| 4.125% |
| 8/12/20 |
| 15,000 |
| 15,270 |
|
6 | HSBC Bank plc |
| 4.750% |
| 1/19/21 |
| 62,040 |
| 64,205 |
|
| HSBC Holdings plc |
| 3.400% |
| 3/8/21 |
| 33,270 |
| 33,695 |
|
| HSBC Holdings plc |
| 4.000% |
| 3/30/22 |
| 72,455 |
| 74,928 |
|
| HSBC Holdings plc |
| 3.600% |
| 5/25/23 |
| 60,200 |
| 61,724 |
|
| HSBC Holdings plc |
| 3.520% |
| 5/18/24 |
| 26,340 |
| 26,280 |
|
| HSBC Holdings plc |
| 3.900% |
| 5/25/26 |
| 12,085 |
| 12,384 |
|
3 | HSBC Holdings plc |
| 4.041% |
| 3/13/28 |
| 21,805 |
| 22,317 |
|
3 | HSBC Holdings plc |
| 4.583% |
| 6/19/29 |
| 40,480 |
| 42,928 |
|
| HSBC Holdings plc |
| 6.500% |
| 5/2/36 |
| 25,000 |
| 31,003 |
|
| HSBC Holdings plc |
| 6.100% |
| 1/14/42 |
| 40,665 |
| 53,861 |
|
| HSBC Holdings plc |
| 5.250% |
| 3/14/44 |
| 13,210 |
| 14,654 |
|
| HSBC USA Inc. |
| 2.350% |
| 3/5/20 |
| 105,645 |
| 105,437 |
|
| HSBC USA Inc. |
| 3.500% |
| 6/23/24 |
| 28,025 |
| 28,916 |
|
| Huntington National Bank |
| 2.400% |
| 4/1/20 |
| 44,990 |
| 44,892 |
|
| ING Groep NV |
| 3.150% |
| 3/29/22 |
| 12,955 |
| 13,075 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| ING Groep NV |
| 3.950% |
| 3/29/27 |
| 44,565 |
| 45,385 |
|
| JPMorgan Chase & Co. |
| 4.950% |
| 3/25/20 |
| 55,000 |
| 56,100 |
|
| JPMorgan Chase & Co. |
| 4.350% |
| 8/15/21 |
| 41,386 |
| 42,923 |
|
| JPMorgan Chase & Co. |
| 4.500% |
| 1/24/22 |
| 44,780 |
| 46,895 |
|
| JPMorgan Chase & Co. |
| 3.250% |
| 9/23/22 |
| 18,645 |
| 18,995 |
|
| JPMorgan Chase & Co. |
| 3.375% |
| 5/1/23 |
| 27,610 |
| 28,221 |
|
| JPMorgan Chase & Co. |
| 3.875% |
| 2/1/24 |
| 39,000 |
| 40,856 |
|
| JPMorgan Chase & Co. |
| 3.900% |
| 7/15/25 |
| 13,870 |
| 14,575 |
|
| JPMorgan Chase & Co. |
| 4.125% |
| 12/15/26 |
| 29,835 |
| 31,234 |
|
| JPMorgan Chase & Co. |
| 4.250% |
| 10/1/27 |
| 13,420 |
| 14,115 |
|
3 | JPMorgan Chase & Co. |
| 4.452% |
| 12/5/29 |
| 64,735 |
| 70,029 |
|
| JPMorgan Chase & Co. |
| 5.600% |
| 7/15/41 |
| 96,000 |
| 119,775 |
|
| JPMorgan Chase & Co. |
| 5.400% |
| 1/6/42 |
| 18,035 |
| 22,144 |
|
| JPMorgan Chase & Co. |
| 5.625% |
| 8/16/43 |
| 16,100 |
| 19,896 |
|
| JPMorgan Chase & Co. |
| 4.950% |
| 6/1/45 |
| 15,000 |
| 17,124 |
|
3 | JPMorgan Chase & Co. |
| 3.964% |
| 11/15/48 |
| 159,600 |
| 160,641 |
|
6 | Macquarie Bank Ltd. |
| 2.400% |
| 1/21/20 |
| 12,610 |
| 12,588 |
|
3,6 | Macquarie Group Ltd. |
| 4.150% |
| 3/27/24 |
| 49,500 |
| 50,923 |
|
| Manufacturers & Traders Trust Co. |
| 2.100% |
| 2/6/20 |
| 17,870 |
| 17,802 |
|
| Manufacturers & Traders Trust Co. |
| 2.900% |
| 2/6/25 |
| 24,685 |
| 24,917 |
|
| Morgan Stanley |
| 5.625% |
| 9/23/19 |
| 24,355 |
| 24,560 |
|
| Morgan Stanley |
| 5.750% |
| 1/25/21 |
| 79,825 |
| 83,700 |
|
| Morgan Stanley |
| 2.500% |
| 4/21/21 |
| 21,815 |
| 21,754 |
|
| Morgan Stanley |
| 2.625% |
| 11/17/21 |
| 30,000 |
| 29,892 |
|
| Morgan Stanley |
| 2.750% |
| 5/19/22 |
| 63,420 |
| 63,416 |
|
| Morgan Stanley |
| 3.875% |
| 4/29/24 |
| 97,010 |
| 101,102 |
|
| Morgan Stanley |
| 3.700% |
| 10/23/24 |
| 29,050 |
| 30,036 |
|
| Morgan Stanley |
| 4.000% |
| 7/23/25 |
| 29,455 |
| 30,851 |
|
| Morgan Stanley |
| 3.125% |
| 7/27/26 |
| 11,435 |
| 11,402 |
|
| Morgan Stanley |
| 6.250% |
| 8/9/26 |
| 20,000 |
| 23,566 |
|
| Morgan Stanley |
| 3.625% |
| 1/20/27 |
| 64,000 |
| 65,388 |
|
3 | Morgan Stanley |
| 3.772% |
| 1/24/29 |
| 56,905 |
| 58,023 |
|
| Morgan Stanley |
| 4.300% |
| 1/27/45 |
| 18,360 |
| 19,218 |
|
3,6 | Nationwide Building Society |
| 3.622% |
| 4/26/23 |
| 23,975 |
| 24,095 |
|
6 | NBK SPC Ltd. |
| 2.750% |
| 5/30/22 |
| 56,530 |
| 56,011 |
|
| PNC Bank NA |
| 3.300% |
| 10/30/24 |
| 18,195 |
| 18,663 |
|
| PNC Bank NA |
| 4.200% |
| 11/1/25 |
| 16,650 |
| 17,866 |
|
| PNC Bank NA |
| 3.100% |
| 10/25/27 |
| 41,975 |
| 42,487 |
|
| PNC Bank NA |
| 3.250% |
| 1/22/28 |
| 60,465 |
| 61,931 |
|
| PNC Financial Services Group Inc. |
| 3.900% |
| 4/29/24 |
| 41,565 |
| 43,367 |
|
| Royal Bank of Canada |
| 0.000% |
| 7/8/19 |
| 27,775 |
| 20,512 |
|
| Royal Bank of Canada |
| 0.000% |
| 7/16/19 |
| 7,158 |
| 5,284 |
|
| Royal Bank of Canada |
| 0.000% |
| 7/19/19 |
| 32,500 |
| 23,988 |
|
| Royal Bank of Canada |
| 2.750% |
| 2/1/22 |
| 43,960 |
| 44,386 |
|
| Santander Holdings USA Inc. |
| 2.650% |
| 4/17/20 |
| 23,185 |
| 23,167 |
|
| Santander Holdings USA Inc. |
| 3.700% |
| 3/28/22 |
| 33,065 |
| 33,627 |
|
| Santander Holdings USA Inc. |
| 3.400% |
| 1/18/23 |
| 20,375 |
| 20,519 |
|
6 | Skandinaviska Enskilda Banken AB |
| 2.450% |
| 5/27/20 |
| 61,300 |
| 61,218 |
|
6 | Societe Generale SA |
| 3.250% |
| 1/12/22 |
| 54,445 |
| 54,668 |
|
3 | State Street Corp. |
| 2.653% |
| 5/15/23 |
| 30,770 |
| 30,828 |
|
| SunTrust Bank |
| 3.300% |
| 5/15/26 |
| 12,895 |
| 12,956 |
|
| Synchrony Bank |
| 3.650% |
| 5/24/21 |
| 46,195 |
| 46,811 |
|
| Toronto-Dominion Bank |
| 0.000% |
| 7/8/19 |
| 13,000 |
| 9,600 |
|
| Toronto-Dominion Bank |
| 0.000% |
| 7/19/19 |
| 22,000 |
| 16,237 |
|
| Toronto-Dominion Bank |
| 2.500% |
| 12/14/20 |
| 49,340 |
| 49,478 |
|
6 | UBS AG |
| 2.200% |
| 6/8/20 |
| 53,390 |
| 53,229 |
|
6 | UBS AG |
| 4.500% |
| 6/26/48 |
| 19,965 |
| 22,708 |
|
6 | UBS Group Funding Jersey Ltd. |
| 2.950% |
| 9/24/20 |
| 44,570 |
| 44,829 |
|
6 | UBS Group Funding Jersey Ltd. |
| 3.000% |
| 4/15/21 |
| 5,130 |
| 5,156 |
|
| US Bancorp |
| 2.625% |
| 1/24/22 |
| 46,910 |
| 47,131 |
|
| US Bancorp |
| 3.700% |
| 1/30/24 |
| 52,500 |
| 55,150 |
|
| Wells Fargo & Co. |
| 2.150% |
| 1/30/20 |
| 46,155 |
| 46,040 |
|
| Wells Fargo & Co. |
| 3.000% |
| 1/22/21 |
| 26,735 |
| 26,910 |
|
| Wells Fargo & Co. |
| 3.500% |
| 3/8/22 |
| 64,245 |
| 66,001 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Wells Fargo & Co. |
| 3.069% |
| 1/24/23 |
| 12,990 |
| 13,076 |
|
| Wells Fargo & Co. |
| 3.450% |
| 2/13/23 |
| 48,895 |
| 49,714 |
|
| Wells Fargo & Co. |
| 4.480% |
| 1/16/24 |
| 46,156 |
| 49,024 |
|
| Wells Fargo & Co. |
| 3.750% |
| 1/24/24 |
| 50,755 |
| 52,711 |
|
| Wells Fargo & Co. |
| 3.550% |
| 9/29/25 |
| 32,170 |
| 33,066 |
|
| Wells Fargo & Co. |
| 3.000% |
| 4/22/26 |
| 39,405 |
| 39,153 |
|
| Wells Fargo & Co. |
| 5.606% |
| 1/15/44 |
| 68,281 |
| 81,297 |
|
| Wells Fargo & Co. |
| 4.650% |
| 11/4/44 |
| 10,315 |
| 11,005 |
|
| Wells Fargo & Co. |
| 4.900% |
| 11/17/45 |
| 19,160 |
| 21,263 |
|
| Wells Fargo & Co. |
| 4.400% |
| 6/14/46 |
| 73,300 |
| 75,758 |
|
| Wells Fargo & Co. |
| 4.750% |
| 12/7/46 |
| 23,150 |
| 25,021 |
|
| Westpac Banking Corp. |
| 2.300% |
| 5/26/20 |
| 22,554 |
| 22,516 |
|
| Brokerage (0.0%) |
|
|
|
|
|
|
|
|
|
| Ameriprise Financial Inc. |
| 5.300% |
| 3/15/20 |
| 11,590 |
| 11,810 |
|
| Charles Schwab Corp. |
| 3.200% |
| 3/2/27 |
| 19,665 |
| 19,998 |
|
| Insurance (1.3%) |
|
|
|
|
|
|
|
|
|
| ACE Capital Trust II |
| 9.700% |
| 4/1/30 |
| 20,000 |
| 27,850 |
|
| Aetna Inc. |
| 2.800% |
| 6/15/23 |
| 25,660 |
| 25,476 |
|
6 | AIA Group Ltd. |
| 3.600% |
| 4/9/29 |
| 50,475 |
| 51,851 |
|
| American International Group Inc. |
| 4.250% |
| 3/15/29 |
| 36,550 |
| 38,041 |
|
| Anthem Inc. |
| 3.700% |
| 8/15/21 |
| 10,000 |
| 10,208 |
|
| Anthem Inc. |
| 3.300% |
| 1/15/23 |
| 42,468 |
| 43,157 |
|
| Anthem Inc. |
| 3.650% |
| 12/1/27 |
| 26,975 |
| 27,155 |
|
| Anthem Inc. |
| 4.101% |
| 3/1/28 |
| 40,910 |
| 42,382 |
|
| Anthem Inc. |
| 4.650% |
| 8/15/44 |
| 13,445 |
| 13,969 |
|
| Anthem Inc. |
| 4.375% |
| 12/1/47 |
| 7,020 |
| 7,010 |
|
| Chubb Corp. |
| 6.000% |
| 5/11/37 |
| 50,000 |
| 65,817 |
|
| Chubb INA Holdings Inc. |
| 2.300% |
| 11/3/20 |
| 6,330 |
| 6,323 |
|
| Chubb INA Holdings Inc. |
| 3.350% |
| 5/15/24 |
| 22,345 |
| 23,133 |
|
| Chubb INA Holdings Inc. |
| 4.350% |
| 11/3/45 |
| 29,835 |
| 33,507 |
|
| Cigna Holding Co. |
| 3.250% |
| 4/15/25 |
| 31,655 |
| 31,794 |
|
6 | Farmers Exchange Capital |
| 7.050% |
| 7/15/28 |
| 25,000 |
| 29,163 |
|
6 | Five Corners Funding Trust |
| 4.419% |
| 11/15/23 |
| 5,935 |
| 6,309 |
|
6 | Jackson National Life Global Funding |
| 3.250% |
| 1/30/24 |
| 24,070 |
| 24,596 |
|
6 | Jackson National Life Insurance Co. |
| 8.150% |
| 3/15/27 |
| 18,890 |
| 24,581 |
|
6 | Liberty Mutual Group Inc. |
| 4.250% |
| 6/15/23 |
| 3,160 |
| 3,318 |
|
6 | Liberty Mutual Group Inc. |
| 4.569% |
| 2/1/29 |
| 11,170 |
| 11,883 |
|
6 | Liberty Mutual Insurance Co. |
| 7.875% |
| 10/15/26 |
| 31,210 |
| 38,773 |
|
| Marsh & McLennan Cos. Inc. |
| 4.375% |
| 3/15/29 |
| 23,405 |
| 25,145 |
|
| Marsh & McLennan Cos. Inc. |
| 4.900% |
| 3/15/49 |
| 9,470 |
| 10,637 |
|
| MetLife Inc. |
| 3.600% |
| 4/10/24 |
| 35,035 |
| 36,647 |
|
| MetLife Inc. |
| 4.125% |
| 8/13/42 |
| 5,565 |
| 5,804 |
|
| MetLife Inc. |
| 4.875% |
| 11/13/43 |
| 20,820 |
| 23,992 |
|
6 | Metropolitan Life Global Funding I |
| 3.450% |
| 10/9/21 |
| 29,155 |
| 29,755 |
|
6 | Metropolitan Life Global Funding I |
| 2.650% |
| 4/8/22 |
| 13,770 |
| 13,815 |
|
6 | Metropolitan Life Global Funding I |
| 3.450% |
| 12/18/26 |
| 23,660 |
| 24,346 |
|
6 | Metropolitan Life Global Funding I |
| 3.000% |
| 9/19/27 |
| 21,455 |
| 21,485 |
|
6 | New York Life Global Funding |
| 2.900% |
| 1/17/24 |
| 29,050 |
| 29,565 |
|
6 | New York Life Insurance Co. |
| 5.875% |
| 5/15/33 |
| 55,395 |
| 70,600 |
|
6 | New York Life Insurance Co. |
| 4.450% |
| 5/15/69 |
| 15,270 |
| 15,997 |
|
6 | Northwestern Mutual Life Insurance Co. |
| 3.850% |
| 9/30/47 |
| 24,134 |
| 24,461 |
|
| Prudential Financial Inc. |
| 4.500% |
| 11/15/20 |
| 24,365 |
| 25,082 |
|
6 | Teachers Insurance & Annuity Assn. of America |
| 4.900% |
| 9/15/44 |
| 24,830 |
| 28,897 |
|
6 | Teachers Insurance & Annuity Assn. of America |
| 4.270% |
| 5/15/47 |
| 42,390 |
| 45,599 |
|
| Torchmark Corp. |
| 7.875% |
| 5/15/23 |
| 45,000 |
| 53,253 |
|
| UnitedHealth Group Inc. |
| 3.875% |
| 10/15/20 |
| 27,960 |
| 28,392 |
|
| UnitedHealth Group Inc. |
| 2.875% |
| 3/15/22 |
| 4,696 |
| 4,735 |
|
| UnitedHealth Group Inc. |
| 2.875% |
| 3/15/23 |
| 16,000 |
| 16,179 |
|
| UnitedHealth Group Inc. |
| 3.100% |
| 3/15/26 |
| 15,350 |
| 15,573 |
|
| UnitedHealth Group Inc. |
| 3.850% |
| 6/15/28 |
| 34,565 |
| 36,559 |
|
| UnitedHealth Group Inc. |
| 4.625% |
| 7/15/35 |
| 9,595 |
| 10,559 |
|
| UnitedHealth Group Inc. |
| 4.250% |
| 3/15/43 |
| 67,400 |
| 71,113 |
|
| UnitedHealth Group Inc. |
| 4.750% |
| 7/15/45 |
| 30,995 |
| 35,109 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| UnitedHealth Group Inc. |
| 4.200% |
| 1/15/47 |
| 8,620 |
| 9,087 |
|
| UnitedHealth Group Inc. |
| 4.250% |
| 6/15/48 |
| 22,215 |
| 23,683 |
|
| Real Estate Investment Trusts (0.2%) |
|
|
|
|
|
|
|
|
|
| AvalonBay Communities Inc. |
| 3.625% |
| 10/1/20 |
| 20,780 |
| 21,033 |
|
| Boston Properties LP |
| 3.125% |
| 9/1/23 |
| 13,275 |
| 13,451 |
|
| Boston Properties LP |
| 3.800% |
| 2/1/24 |
| 1,750 |
| 1,811 |
|
| Realty Income Corp. |
| 4.650% |
| 8/1/23 |
| 25,010 |
| 26,874 |
|
| Simon Property Group LP |
| 3.750% |
| 2/1/24 |
| 3,265 |
| 3,399 |
|
| Simon Property Group LP |
| 3.375% |
| 10/1/24 |
| 10,055 |
| 10,348 |
|
6 | WEA Finance LLC |
| 4.125% |
| 9/20/28 |
| 21,310 |
| 22,459 |
|
6 | WEA Finance LLC |
| 4.625% |
| 9/20/48 |
| 27,205 |
| 29,311 |
|
6 | WEA Finance LLC / Westfield UK & Europe Finance plc |
| 2.700% |
| 9/17/19 |
| 22,360 |
| 22,365 |
|
|
|
|
|
|
|
|
|
| 8,780,592 |
|
Industrial (10.9%) |
|
|
|
|
|
|
|
|
| |
| Basic Industry (0.0%) |
|
|
|
|
|
|
|
|
|
| International Paper Co. |
| 4.350% |
| 8/15/48 |
| 45,400 |
| 42,058 |
|
3 | Rohm and Haas Holdings Ltd. |
| 9.800% |
| 4/15/20 |
| 750 |
| 782 |
|
| Capital Goods (0.8%) |
|
|
|
|
|
|
|
|
|
6 | BAE Systems Holdings Inc. |
| 2.850% |
| 12/15/20 |
| 6,060 |
| 6,067 |
|
6 | BAE Systems Holdings Inc. |
| 3.850% |
| 12/15/25 |
| 11,010 |
| 11,338 |
|
| Boeing Co. |
| 8.625% |
| 11/15/31 |
| 9,460 |
| 13,662 |
|
| Boeing Co. |
| 5.875% |
| 2/15/40 |
| 4,825 |
| 6,208 |
|
| Caterpillar Financial Services Corp. |
| 2.625% |
| 3/1/23 |
| 53,000 |
| 53,077 |
|
| Caterpillar Inc. |
| 3.900% |
| 5/27/21 |
| 46,914 |
| 48,325 |
|
| Caterpillar Inc. |
| 2.600% |
| 6/26/22 |
| 11,345 |
| 11,385 |
|
| Caterpillar Inc. |
| 3.400% |
| 5/15/24 |
| 14,200 |
| 14,649 |
|
| Deere & Co. |
| 7.125% |
| 3/3/31 |
| 17,500 |
| 24,144 |
|
| General Dynamics Corp. |
| 2.875% |
| 5/11/20 |
| 54,380 |
| 54,557 |
|
| General Dynamics Corp. |
| 3.875% |
| 7/15/21 |
| 14,925 |
| 15,367 |
|
| General Electric Co. |
| 2.700% |
| 10/9/22 |
| 9,965 |
| 9,860 |
|
| General Electric Co. |
| 3.100% |
| 1/9/23 |
| 8,635 |
| 8,631 |
|
| Honeywell International Inc. |
| 4.250% |
| 3/1/21 |
| 40,681 |
| 42,111 |
|
| Illinois Tool Works Inc. |
| 3.500% |
| 3/1/24 |
| 52,955 |
| 55,418 |
|
| John Deere Capital Corp. |
| 3.450% |
| 3/13/25 |
| 43,145 |
| 44,788 |
|
| Lockheed Martin Corp. |
| 2.900% |
| 3/1/25 |
| 10,450 |
| 10,499 |
|
| Lockheed Martin Corp. |
| 4.500% |
| 5/15/36 |
| 8,015 |
| 8,847 |
|
| Lockheed Martin Corp. |
| 4.700% |
| 5/15/46 |
| 14,370 |
| 16,613 |
|
| Lockheed Martin Corp. |
| 4.090% |
| 9/15/52 |
| 5,500 |
| 5,765 |
|
| Parker-Hannifin Corp. |
| 4.450% |
| 11/21/44 |
| 17,735 |
| 19,341 |
|
6 | Siemens Financieringsmaatschappij NV |
| 2.900% |
| 5/27/22 |
| 39,625 |
| 39,986 |
|
6 | Siemens Financieringsmaatschappij NV |
| 3.125% |
| 3/16/24 |
| 61,400 |
| 62,449 |
|
6 | Siemens Financieringsmaatschappij NV |
| 4.400% |
| 5/27/45 |
| 34,365 |
| 37,918 |
|
| Stanley Black & Decker Inc. |
| 4.850% |
| 11/15/48 |
| 24,455 |
| 28,690 |
|
| United Technologies Corp. |
| 3.100% |
| 6/1/22 |
| 7,010 |
| 7,109 |
|
| United Technologies Corp. |
| 4.125% |
| 11/16/28 |
| 16,675 |
| 17,672 |
|
| United Technologies Corp. |
| 6.050% |
| 6/1/36 |
| 20,325 |
| 25,130 |
|
| United Technologies Corp. |
| 6.125% |
| 7/15/38 |
| 37,300 |
| 46,924 |
|
| United Technologies Corp. |
| 4.450% |
| 11/16/38 |
| 9,325 |
| 10,004 |
|
| United Technologies Corp. |
| 4.500% |
| 6/1/42 |
| 16,902 |
| 17,864 |
|
| United Technologies Corp. |
| 3.750% |
| 11/1/46 |
| 5,923 |
| 5,668 |
|
| Communication (1.5%) |
|
|
|
|
|
|
|
|
|
| America Movil SAB de CV |
| 3.125% |
| 7/16/22 |
| 84,600 |
| 85,302 |
|
| America Movil SAB de CV |
| 3.625% |
| 4/22/29 |
| 26,990 |
| 27,806 |
|
| America Movil SAB de CV |
| 6.125% |
| 3/30/40 |
| 7,380 |
| 9,360 |
|
| American Tower Corp. |
| 3.450% |
| 9/15/21 |
| 30,665 |
| 31,046 |
|
| American Tower Corp. |
| 5.000% |
| 2/15/24 |
| 2,770 |
| 3,011 |
|
| American Tower Corp. |
| 4.400% |
| 2/15/26 |
| 7,315 |
| 7,754 |
|
| AT&T Inc. |
| 2.450% |
| 6/30/20 |
| 12,000 |
| 11,971 |
|
| AT&T Inc. |
| 4.600% |
| 2/15/21 |
| 5,000 |
| 5,137 |
|
| AT&T Inc. |
| 4.450% |
| 5/15/21 |
| 10,000 |
| 10,339 |
|
| AT&T Inc. |
| 4.900% |
| 8/15/37 |
| 4,630 |
| 4,793 |
|
| AT&T Inc. |
| 4.850% |
| 3/1/39 |
| 29,900 |
| 30,578 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| CBS Corp. |
| 4.300% |
| 2/15/21 |
| 27,830 |
| 28,446 |
|
| Comcast Corp. |
| 3.000% |
| 2/1/24 |
| 25,345 |
| 25,608 |
|
| Comcast Corp. |
| 3.600% |
| 3/1/24 |
| 50,730 |
| 52,609 |
|
| Comcast Corp. |
| 3.375% |
| 2/15/25 |
| 2,540 |
| 2,609 |
|
| Comcast Corp. |
| 2.350% |
| 1/15/27 |
| 19,620 |
| 18,658 |
|
| Comcast Corp. |
| 4.250% |
| 1/15/33 |
| 42,890 |
| 46,172 |
|
| Comcast Corp. |
| 4.200% |
| 8/15/34 |
| 26,890 |
| 28,743 |
|
| Comcast Corp. |
| 5.650% |
| 6/15/35 |
| 4,725 |
| 5,702 |
|
| Comcast Corp. |
| 4.400% |
| 8/15/35 |
| 32,325 |
| 34,767 |
|
| Comcast Corp. |
| 6.500% |
| 11/15/35 |
| 4,720 |
| 6,205 |
|
| Comcast Corp. |
| 6.400% |
| 5/15/38 |
| 968 |
| 1,265 |
|
| Comcast Corp. |
| 4.600% |
| 10/15/38 |
| 48,045 |
| 52,639 |
|
| Comcast Corp. |
| 4.650% |
| 7/15/42 |
| 47,970 |
| 52,246 |
|
| Comcast Corp. |
| 4.500% |
| 1/15/43 |
| 22,000 |
| 23,418 |
|
| Comcast Corp. |
| 4.750% |
| 3/1/44 |
| 34,643 |
| 38,109 |
|
| Comcast Corp. |
| 4.600% |
| 8/15/45 |
| 43,296 |
| 46,735 |
|
| Comcast Corp. |
| 3.969% |
| 11/1/47 |
| 8,452 |
| 8,362 |
|
| Comcast Corp. |
| 4.000% |
| 3/1/48 |
| 12,180 |
| 12,175 |
|
| Comcast Corp. |
| 4.700% |
| 10/15/48 |
| 45,435 |
| 50,628 |
|
| Comcast Corp. |
| 3.999% |
| 11/1/49 |
| 23,162 |
| 22,987 |
|
| Comcast Corp. |
| 4.049% |
| 11/1/52 |
| 2,670 |
| 2,668 |
|
| Comcast Corp. |
| 4.950% |
| 10/15/58 |
| 35,175 |
| 40,440 |
|
6 | Cox Communications Inc. |
| 3.250% |
| 12/15/22 |
| 27,995 |
| 28,393 |
|
6 | Cox Communications Inc. |
| 2.950% |
| 6/30/23 |
| 5,870 |
| 5,879 |
|
6 | Cox Communications Inc. |
| 3.150% |
| 8/15/24 |
| 7,268 |
| 7,281 |
|
6 | Cox Communications Inc. |
| 4.800% |
| 2/1/35 |
| 30,000 |
| 30,055 |
|
6 | Cox Communications Inc. |
| 6.450% |
| 12/1/36 |
| 5,850 |
| 6,763 |
|
6 | Cox Communications Inc. |
| 4.600% |
| 8/15/47 |
| 4,435 |
| 4,424 |
|
| Crown Castle International Corp. |
| 3.650% |
| 9/1/27 |
| 10,215 |
| 10,210 |
|
| Crown Castle International Corp. |
| 3.800% |
| 2/15/28 |
| 8,435 |
| 8,480 |
|
6 | Fox Corp. |
| 5.576% |
| 1/25/49 |
| 9,775 |
| 11,398 |
|
| NBCUniversal Media LLC |
| 4.375% |
| 4/1/21 |
| 23,900 |
| 24,731 |
|
| NBCUniversal Media LLC |
| 2.875% |
| 1/15/23 |
| 9,760 |
| 9,821 |
|
| NBCUniversal Media LLC |
| 4.450% |
| 1/15/43 |
| 10,370 |
| 10,944 |
|
| Orange SA |
| 4.125% |
| 9/14/21 |
| 60,990 |
| 63,209 |
|
| Orange SA |
| 9.000% |
| 3/1/31 |
| 20,280 |
| 30,053 |
|
6 | SK Telecom Co. Ltd. |
| 3.750% |
| 4/16/23 |
| 11,995 |
| 12,370 |
|
6 | Sky Ltd. |
| 2.625% |
| 9/16/19 |
| 38,021 |
| 37,977 |
|
6 | Sky Ltd. |
| 3.750% |
| 9/16/24 |
| 45,046 |
| 47,018 |
|
3,6 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC |
| 4.738% |
| 3/20/25 |
| 46,090 |
| 47,069 |
|
| Time Warner Entertainment Co. LP |
| 8.375% |
| 3/15/23 |
| 3,925 |
| 4,588 |
|
| Verizon Communications Inc. |
| 4.812% |
| 3/15/39 |
| 85,963 |
| 94,417 |
|
| Verizon Communications Inc. |
| 4.750% |
| 11/1/41 |
| 11,880 |
| 12,837 |
|
| Verizon Communications Inc. |
| 4.862% |
| 8/21/46 |
| 36,117 |
| 39,832 |
|
| Verizon Communications Inc. |
| 5.012% |
| 4/15/49 |
| 21,754 |
| 24,534 |
|
| Verizon Communications Inc. |
| 4.672% |
| 3/15/55 |
| 11,007 |
| 11,788 |
|
| Vodafone Group plc |
| 5.000% |
| 5/30/38 |
| 1,895 |
| 1,941 |
|
| Vodafone Group plc |
| 5.250% |
| 5/30/48 |
| 45,220 |
| 46,996 |
|
6 | Walt Disney Co. |
| 3.000% |
| 9/15/22 |
| 11,891 |
| 12,086 |
|
| Walt Disney Co. |
| 4.125% |
| 6/1/44 |
| 23,115 |
| 25,197 |
|
| Warner Media LLC |
| 3.600% |
| 7/15/25 |
| 22,350 |
| 22,507 |
|
| Consumer Cyclical (1.1%) |
|
|
|
|
|
|
|
|
|
| Alibaba Group Holding Ltd. |
| 2.500% |
| 11/28/19 |
| 12,965 |
| 12,960 |
|
| Alibaba Group Holding Ltd. |
| 3.125% |
| 11/28/21 |
| 2,515 |
| 2,541 |
|
| Alibaba Group Holding Ltd. |
| 3.600% |
| 11/28/24 |
| 39,860 |
| 40,661 |
|
| Alibaba Group Holding Ltd. |
| 3.400% |
| 12/6/27 |
| 85,240 |
| 84,205 |
|
| Amazon.com Inc. |
| 2.500% |
| 11/29/22 |
| 34,760 |
| 34,914 |
|
| Amazon.com Inc. |
| 2.800% |
| 8/22/24 |
| 26,480 |
| 26,855 |
|
| Amazon.com Inc. |
| 4.800% |
| 12/5/34 |
| 37,370 |
| 44,182 |
|
| Amazon.com Inc. |
| 4.950% |
| 12/5/44 |
| 22,605 |
| 27,642 |
|
| Amazon.com Inc. |
| 4.250% |
| 8/22/57 |
| 51,360 |
| 56,304 |
|
| AutoZone Inc. |
| 3.700% |
| 4/15/22 |
| 46,136 |
| 47,394 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
6 | BMW US Capital LLC |
| 2.000% |
| 4/11/21 |
| 21,300 |
| 21,057 |
|
6 | BMW US Capital LLC |
| 2.800% |
| 4/11/26 |
| 5,805 |
| 5,675 |
|
6 | Daimler Finance North America LLC |
| 2.250% |
| 7/31/19 |
| 73,100 |
| 73,025 |
|
6 | Daimler Finance North America LLC |
| 2.200% |
| 5/5/20 |
| 16,565 |
| 16,480 |
|
6 | Daimler Finance North America LLC |
| 2.450% |
| 5/18/20 |
| 8,340 |
| 8,314 |
|
6 | Daimler Finance North America LLC |
| 2.300% |
| 2/12/21 |
| 34,470 |
| 34,189 |
|
6 | Daimler Finance North America LLC |
| 3.875% |
| 9/15/21 |
| 3,961 |
| 4,051 |
|
6 | Daimler Finance North America LLC |
| 3.250% |
| 8/1/24 |
| 5,870 |
| 5,926 |
|
| Ford Motor Credit Co. LLC |
| 3.157% |
| 8/4/20 |
| 26,655 |
| 26,644 |
|
| Ford Motor Credit Co. LLC |
| 5.113% |
| 5/3/29 |
| 14,295 |
| 14,038 |
|
| General Motors Financial Co. Inc. |
| 3.550% |
| 4/9/21 |
| 16,395 |
| 16,522 |
|
| General Motors Financial Co. Inc. |
| 3.950% |
| 4/13/24 |
| 57,810 |
| 57,488 |
|
| Home Depot Inc. |
| 2.700% |
| 4/1/23 |
| 31,170 |
| 31,479 |
|
| Home Depot Inc. |
| 3.900% |
| 12/6/28 |
| 10,250 |
| 11,044 |
|
| Home Depot Inc. |
| 4.400% |
| 3/15/45 |
| 28,655 |
| 32,007 |
|
| Home Depot Inc. |
| 4.500% |
| 12/6/48 |
| 12,215 |
| 13,704 |
|
6 | Hyundai Capital America |
| 2.550% |
| 4/3/20 |
| 28,910 |
| 28,823 |
|
6 | Hyundai Capital America |
| 3.529% |
| 7/8/21 |
| 50,400 |
| 50,434 |
|
| Lowe’s Cos. Inc. |
| 3.100% |
| 5/3/27 |
| 68,700 |
| 67,717 |
|
| Lowe’s Cos. Inc. |
| 6.500% |
| 3/15/29 |
| 13,301 |
| 16,399 |
|
| Lowe’s Cos. Inc. |
| 4.550% |
| 4/5/49 |
| 8,485 |
| 8,662 |
|
| McDonald’s Corp. |
| 2.625% |
| 1/15/22 |
| 7,805 |
| 7,815 |
|
| McDonald’s Corp. |
| 3.250% |
| 6/10/24 |
| 5,460 |
| 5,613 |
|
| McDonald’s Corp. |
| 4.875% |
| 12/9/45 |
| 9,940 |
| 10,969 |
|
| Starbucks Corp. |
| 4.500% |
| 11/15/48 |
| 36,060 |
| 37,615 |
|
6 | Volkswagen Group of America Finance LLC |
| 2.450% |
| 11/20/19 |
| 16,935 |
| 16,887 |
|
| Walmart Inc. |
| 2.550% |
| 4/11/23 |
| 38,325 |
| 38,504 |
|
| Walmart Inc. |
| 3.550% |
| 6/26/25 |
| 56,910 |
| 59,807 |
|
| Walmart Inc. |
| 3.625% |
| 12/15/47 |
| 14,215 |
| 14,510 |
|
| Consumer Noncyclical (3.8%) |
|
|
|
|
|
|
|
|
|
| Allergan Funding SCS |
| 3.450% |
| 3/15/22 |
| 18,695 |
| 18,793 |
|
| Allergan Funding SCS |
| 3.800% |
| 3/15/25 |
| 15,725 |
| 15,820 |
|
| Allergan Funding SCS |
| 4.850% |
| 6/15/44 |
| 18,000 |
| 17,536 |
|
| Altria Group Inc. |
| 4.750% |
| 5/5/21 |
| 23,376 |
| 24,247 |
|
| Altria Group Inc. |
| 2.850% |
| 8/9/22 |
| 18,810 |
| 18,802 |
|
| Altria Group Inc. |
| 4.800% |
| 2/14/29 |
| 26,500 |
| 27,684 |
|
| Altria Group Inc. |
| 4.500% |
| 5/2/43 |
| 10,705 |
| 9,751 |
|
| Altria Group Inc. |
| 3.875% |
| 9/16/46 |
| 22,775 |
| 19,064 |
|
| AmerisourceBergen Corp. |
| 3.500% |
| 11/15/21 |
| 12,320 |
| 12,514 |
|
| Amgen Inc. |
| 3.875% |
| 11/15/21 |
| 13,315 |
| 13,702 |
|
| Amgen Inc. |
| 5.150% |
| 11/15/41 |
| 36,380 |
| 40,408 |
|
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. |
| 4.700% |
| 2/1/36 |
| 74,700 |
| 76,768 |
|
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. |
| 6.500% |
| 1/1/28 |
| 19,550 |
| 23,418 |
|
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. |
| 4.900% |
| 2/1/46 |
| 61,085 |
| 63,001 |
|
| Anheuser-Busch InBev Finance Inc. |
| 3.300% |
| 2/1/23 |
| 67,769 |
| 68,960 |
|
| Anheuser-Busch InBev Worldwide Inc. |
| 2.500% |
| 7/15/22 |
| 117,831 |
| 117,290 |
|
| Anheuser-Busch InBev Worldwide Inc. |
| 4.950% |
| 1/15/42 |
| 4,100 |
| 4,359 |
|
| Anheuser-Busch InBev Worldwide Inc. |
| 3.750% |
| 7/15/42 |
| 19,610 |
| 17,504 |
|
| Anheuser-Busch InBev Worldwide Inc. |
| 4.600% |
| 4/15/48 |
| 14,225 |
| 14,152 |
|
| Archer-Daniels-Midland Co. |
| 4.500% |
| 3/15/49 |
| 35,045 |
| 39,965 |
|
3 | Ascension Health |
| 4.847% |
| 11/15/53 |
| 44,750 |
| 54,814 |
|
| AstraZeneca plc |
| 1.950% |
| 9/18/19 |
| 12,065 |
| 12,037 |
|
| AstraZeneca plc |
| 2.375% |
| 11/16/20 |
| 44,480 |
| 44,412 |
|
| AstraZeneca plc |
| 4.000% |
| 1/17/29 |
| 50,410 |
| 53,120 |
|
| AstraZeneca plc |
| 6.450% |
| 9/15/37 |
| 23,385 |
| 30,114 |
|
| BAT Capital Corp. |
| 3.557% |
| 8/15/27 |
| 63,450 |
| 60,741 |
|
6 | BAT International Finance plc |
| 2.750% |
| 6/15/20 |
| 21,250 |
| 21,241 |
|
6 | Bayer US Finance II LLC |
| 4.250% |
| 12/15/25 |
| 85,455 |
| 87,721 |
|
6 | Bayer US Finance LLC |
| 2.375% |
| 10/8/19 |
| 7,510 |
| 7,505 |
|
6 | Bayer US Finance LLC |
| 3.000% |
| 10/8/21 |
| 46,850 |
| 46,800 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
6 | Bayer US Finance LLC |
| 3.375% |
| 10/8/24 |
| 33,220 |
| 32,985 |
|
| Biogen Inc. |
| 2.900% |
| 9/15/20 |
| 21,115 |
| 21,185 |
|
| Boston Scientific Corp. |
| 4.000% |
| 3/1/29 |
| 6,810 |
| 7,109 |
|
6 | Bristol-Myers Squibb Co. |
| 3.400% |
| 7/26/29 |
| 31,020 |
| 31,722 |
|
6 | Bristol-Myers Squibb Co. |
| 4.125% |
| 6/15/39 |
| 17,720 |
| 18,491 |
|
6 | Bristol-Myers Squibb Co. |
| 4.250% |
| 10/26/49 |
| 27,275 |
| 28,805 |
|
| Cardinal Health Inc. |
| 2.400% |
| 11/15/19 |
| 27,350 |
| 27,293 |
|
| Cardinal Health Inc. |
| 3.200% |
| 3/15/23 |
| 13,035 |
| 13,104 |
|
| Cardinal Health Inc. |
| 3.079% |
| 6/15/24 |
| 12,670 |
| 12,552 |
|
| Cardinal Health Inc. |
| 3.500% |
| 11/15/24 |
| 24,705 |
| 25,183 |
|
| Cardinal Health Inc. |
| 4.500% |
| 11/15/44 |
| 28,805 |
| 26,006 |
|
6 | Cargill Inc. |
| 4.307% |
| 5/14/21 |
| 60,532 |
| 62,639 |
|
6 | Cargill Inc. |
| 6.875% |
| 5/1/28 |
| 19,355 |
| 24,070 |
|
6 | Cargill Inc. |
| 4.760% |
| 11/23/45 |
| 28,190 |
| 32,671 |
|
3 | Catholic Health Initiatives |
| 4.350% |
| 11/1/42 |
| 22,115 |
| 22,234 |
|
| Celgene Corp. |
| 3.250% |
| 8/15/22 |
| 16,250 |
| 16,600 |
|
| Celgene Corp. |
| 3.550% |
| 8/15/22 |
| 24,575 |
| 25,321 |
|
| Celgene Corp. |
| 2.750% |
| 2/15/23 |
| 4,553 |
| 4,543 |
|
| Celgene Corp. |
| 3.250% |
| 2/20/23 |
| 7,830 |
| 7,970 |
|
| Celgene Corp. |
| 4.000% |
| 8/15/23 |
| 1,500 |
| 1,564 |
|
6 | Cigna Corp. |
| 4.375% |
| 10/15/28 |
| 18,600 |
| 19,467 |
|
6 | Cigna Corp. |
| 4.800% |
| 8/15/38 |
| 26,415 |
| 26,994 |
|
6 | Cigna Corp. |
| 4.900% |
| 12/15/48 |
| 18,300 |
| 18,697 |
|
| Coca-Cola Co. |
| 4.500% |
| 9/1/21 |
| 8,430 |
| 8,694 |
|
| Coca-Cola European Partners plc |
| 3.500% |
| 9/15/20 |
| 9,900 |
| 10,020 |
|
| Coca-Cola Femsa SAB de CV |
| 3.875% |
| 11/26/23 |
| 34,200 |
| 35,545 |
|
| Colgate-Palmolive Co. |
| 7.600% |
| 5/19/25 |
| 13,920 |
| 17,738 |
|
| CommonSpirit Health |
| 2.950% |
| 11/1/22 |
| 18,735 |
| 18,708 |
|
| CommonSpirit Health |
| 4.200% |
| 8/1/23 |
| 9,885 |
| 10,309 |
|
| Conagra Brands Inc. |
| 4.600% |
| 11/1/25 |
| 7,855 |
| 8,372 |
|
| Conagra Brands Inc. |
| 5.300% |
| 11/1/38 |
| 23,500 |
| 24,708 |
|
| Constellation Brands Inc. |
| 2.700% |
| 5/9/22 |
| 2,385 |
| 2,383 |
|
| CVS Health Corp. |
| 2.750% |
| 12/1/22 |
| 40,255 |
| 39,918 |
|
| CVS Health Corp. |
| 4.875% |
| 7/20/35 |
| 6,900 |
| 7,057 |
|
| CVS Health Corp. |
| 5.125% |
| 7/20/45 |
| 51,200 |
| 52,324 |
|
| CVS Health Corp. |
| 5.050% |
| 3/25/48 |
| 22,120 |
| 22,517 |
|
| Diageo Capital plc |
| 2.625% |
| 4/29/23 |
| 48,310 |
| 48,459 |
|
| Diageo Investment Corp. |
| 2.875% |
| 5/11/22 |
| 26,991 |
| 27,272 |
|
| Dignity Health |
| 2.637% |
| 11/1/19 |
| 5,595 |
| 5,594 |
|
| Dignity Health |
| 3.812% |
| 11/1/24 |
| 20,780 |
| 21,730 |
|
| Eli Lilly & Co. |
| 3.700% |
| 3/1/45 |
| 24,450 |
| 24,954 |
|
6 | EMD Finance LLC |
| 2.950% |
| 3/19/22 |
| 23,660 |
| 23,734 |
|
6 | Forest Laboratories Inc. |
| 4.875% |
| 2/15/21 |
| 4,184 |
| 4,298 |
|
| Gilead Sciences Inc. |
| 2.550% |
| 9/1/20 |
| 26,330 |
| 26,329 |
|
| Gilead Sciences Inc. |
| 3.700% |
| 4/1/24 |
| 26,895 |
| 28,004 |
|
| Gilead Sciences Inc. |
| 3.500% |
| 2/1/25 |
| 22,335 |
| 23,002 |
|
| Gilead Sciences Inc. |
| 4.500% |
| 2/1/45 |
| 32,375 |
| 33,666 |
|
| Gilead Sciences Inc. |
| 4.750% |
| 3/1/46 |
| 7,340 |
| 7,888 |
|
| GlaxoSmithKline Capital Inc. |
| 2.800% |
| 3/18/23 |
| 31,740 |
| 31,987 |
|
| GlaxoSmithKline Capital Inc. |
| 5.375% |
| 4/15/34 |
| 45,000 |
| 55,492 |
|
| GlaxoSmithKline Capital plc |
| 2.850% |
| 5/8/22 |
| 28,930 |
| 29,238 |
|
6 | Imperial Tobacco Finance plc |
| 3.750% |
| 7/21/22 |
| 34,745 |
| 35,170 |
|
| Kaiser Foundation Hospitals |
| 3.500% |
| 4/1/22 |
| 10,611 |
| 10,915 |
|
| Kaiser Foundation Hospitals |
| 3.150% |
| 5/1/27 |
| 17,935 |
| 18,178 |
|
| Kaiser Foundation Hospitals |
| 4.875% |
| 4/1/42 |
| 14,250 |
| 17,056 |
|
| Kraft Heinz Foods Co. |
| 3.000% |
| 6/1/26 |
| 19,550 |
| 18,463 |
|
| Kraft Heinz Foods Co. |
| 5.000% |
| 7/15/35 |
| 8,940 |
| 8,996 |
|
| Kraft Heinz Foods Co. |
| 4.375% |
| 6/1/46 |
| 86,215 |
| 75,886 |
|
| Kroger Co. |
| 3.850% |
| 8/1/23 |
| 10,770 |
| 11,150 |
|
| Kroger Co. |
| 4.000% |
| 2/1/24 |
| 22,290 |
| 23,221 |
|
| McKesson Corp. |
| 2.700% |
| 12/15/22 |
| 7,710 |
| 7,637 |
|
| McKesson Corp. |
| 2.850% |
| 3/15/23 |
| 7,620 |
| 7,611 |
|
| Medtronic Inc. |
| 3.150% |
| 3/15/22 |
| 72,005 |
| 73,521 |
|
| Medtronic Inc. |
| 3.625% |
| 3/15/24 |
| 10,350 |
| 10,836 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Medtronic Inc. |
| 3.500% |
| 3/15/25 |
| 43,250 |
| 45,036 |
|
| Memorial Sloan-Kettering Cancer Center |
| 4.125% |
| 7/1/52 |
| 12,320 |
| 13,687 |
|
| Memorial Sloan-Kettering Cancer Center |
| 4.200% |
| 7/1/55 |
| 10,630 |
| 12,143 |
|
| Merck & Co. Inc. |
| 2.350% |
| 2/10/22 |
| 30,760 |
| 30,827 |
|
| Merck & Co. Inc. |
| 2.800% |
| 5/18/23 |
| 54,775 |
| 55,605 |
|
| Merck & Co. Inc. |
| 2.750% |
| 2/10/25 |
| 47,090 |
| 47,350 |
|
| Merck & Co. Inc. |
| 3.400% |
| 3/7/29 |
| 49,240 |
| 51,001 |
|
| Merck & Co. Inc. |
| 4.150% |
| 5/18/43 |
| 22,090 |
| 24,016 |
|
| Merck & Co. Inc. |
| 4.000% |
| 3/7/49 |
| 67,385 |
| 71,960 |
|
| Mercy Health |
| 4.302% |
| 7/1/28 |
| 20,339 |
| 22,282 |
|
| Molson Coors Brewing Co. |
| 3.500% |
| 5/1/22 |
| 16,525 |
| 16,821 |
|
| Mylan NV |
| 3.950% |
| 6/15/26 |
| 60,095 |
| 56,403 |
|
| New York & Presbyterian Hospital |
| 4.024% |
| 8/1/45 |
| 28,410 |
| 30,731 |
|
| Novartis Capital Corp. |
| 3.400% |
| 5/6/24 |
| 16,695 |
| 17,319 |
|
| Novartis Capital Corp. |
| 4.400% |
| 5/6/44 |
| 25,896 |
| 29,305 |
|
| Partners Healthcare System |
| 3.443% |
| 7/1/21 |
| 1,950 |
| 1,993 |
|
| PepsiCo Inc. |
| 2.750% |
| 3/1/23 |
| 29,800 |
| 30,212 |
|
| PepsiCo Inc. |
| 4.000% |
| 3/5/42 |
| 51,391 |
| 54,217 |
|
| Pfizer Inc. |
| 3.000% |
| 6/15/23 |
| 47,025 |
| 47,974 |
|
| Pfizer Inc. |
| 3.450% |
| 3/15/29 |
| 70,335 |
| 73,198 |
|
| Pfizer Inc. |
| 4.100% |
| 9/15/38 |
| 53,995 |
| 57,784 |
|
| Philip Morris International Inc. |
| 4.500% |
| 3/26/20 |
| 8,250 |
| 8,376 |
|
| Philip Morris International Inc. |
| 4.125% |
| 5/17/21 |
| 43,025 |
| 44,329 |
|
| Philip Morris International Inc. |
| 2.500% |
| 8/22/22 |
| 21,645 |
| 21,500 |
|
| Philip Morris International Inc. |
| 2.625% |
| 3/6/23 |
| 46,850 |
| 46,868 |
|
| Philip Morris International Inc. |
| 3.375% |
| 8/11/25 |
| 14,440 |
| 14,813 |
|
| Philip Morris International Inc. |
| 4.875% |
| 11/15/43 |
| 6,185 |
| 6,766 |
|
3 | Procter & Gamble - Esop |
| 9.360% |
| 1/1/21 |
| 13,899 |
| 14,686 |
|
3 | Providence St. Joseph Health Obligated Group |
| 3.930% |
| 10/1/48 |
| 11,805 |
| 12,382 |
|
6 | Roche Holdings Inc. |
| 2.875% |
| 9/29/21 |
| 33,000 |
| 33,245 |
|
| Sanofi |
| 4.000% |
| 3/29/21 |
| 44,090 |
| 45,343 |
|
6 | Sigma Alimentos SA de CV |
| 4.125% |
| 5/2/26 |
| 14,750 |
| 14,650 |
|
6 | South Carolina Electric & Gas Co. |
| 3.250% |
| 6/7/22 |
| 58,280 |
| 58,840 |
|
6 | South Carolina Electric & Gas Co. |
| 3.500% |
| 6/15/22 |
| 8,980 |
| 9,111 |
|
| SSM Health Care Corp. |
| 3.823% |
| 6/1/27 |
| 34,910 |
| 36,718 |
|
| Stanford Health Care |
| 3.795% |
| 11/15/48 |
| 8,465 |
| 8,983 |
|
| Teva Pharmaceutical Finance Netherlands III BV |
| 2.800% |
| 7/21/23 |
| 37,215 |
| 31,168 |
|
| Unilever Capital Corp. |
| 4.250% |
| 2/10/21 |
| 95,235 |
| 98,172 |
|
| Wyeth LLC |
| 5.950% |
| 4/1/37 |
| 25,000 |
| 32,002 |
|
| Zeneca Wilmington Inc. |
| 7.000% |
| 11/15/23 |
| 29,000 |
| 33,702 |
|
| Energy (1.1%) |
|
|
|
|
|
|
|
|
|
6 | BG Energy Capital plc |
| 4.000% |
| 10/15/21 |
| 5,000 |
| 5,145 |
|
6 | BG Energy Capital plc |
| 5.125% |
| 10/15/41 |
| 19,400 |
| 22,379 |
|
| BP Capital Markets America Inc. |
| 4.500% |
| 10/1/20 |
| 16,000 |
| 16,421 |
|
| BP Capital Markets America Inc. |
| 3.245% |
| 5/6/22 |
| 35,000 |
| 35,791 |
|
| BP Capital Markets plc |
| 2.315% |
| 2/13/20 |
| 5,855 |
| 5,845 |
|
| BP Capital Markets plc |
| 3.062% |
| 3/17/22 |
| 43,130 |
| 43,811 |
|
| BP Capital Markets plc |
| 2.500% |
| 11/6/22 |
| 22,000 |
| 21,951 |
|
| BP Capital Markets plc |
| 3.994% |
| 9/26/23 |
| 16,185 |
| 16,970 |
|
| BP Capital Markets plc |
| 3.814% |
| 2/10/24 |
| 38,938 |
| 40,745 |
|
| BP Capital Markets plc |
| 3.506% |
| 3/17/25 |
| 50,285 |
| 52,000 |
|
| Chevron Corp. |
| 3.191% |
| 6/24/23 |
| 49,470 |
| 50,894 |
|
| ConocoPhillips Co. |
| 4.950% |
| 3/15/26 |
| 4,385 |
| 4,910 |
|
| Dominion Energy Gas Holdings LLC |
| 3.550% |
| 11/1/23 |
| 21,445 |
| 21,952 |
|
| Dominion Energy Gas Holdings LLC |
| 4.800% |
| 11/1/43 |
| 4,185 |
| 4,655 |
|
| Dominion Energy Gas Holdings LLC |
| 4.600% |
| 12/15/44 |
| 24,863 |
| 26,893 |
|
| Energy Transfer Operating LP |
| 5.250% |
| 4/15/29 |
| 40,000 |
| 43,204 |
|
| Enterprise Products Operating LLC |
| 4.250% |
| 2/15/48 |
| 26,420 |
| 25,809 |
|
| EOG Resources Inc. |
| 5.625% |
| 6/1/19 |
| 23,100 |
| 23,098 |
|
| Exxon Mobil Corp. |
| 2.726% |
| 3/1/23 |
| 11,910 |
| 12,038 |
|
| Exxon Mobil Corp. |
| 3.043% |
| 3/1/26 |
| 8,115 |
| 8,252 |
|
| Exxon Mobil Corp. |
| 4.114% |
| 3/1/46 |
| 12,060 |
| 13,210 |
|
| Noble Energy Inc. |
| 4.150% |
| 12/15/21 |
| 15,961 |
| 16,423 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Occidental Petroleum Corp. |
| 2.700% |
| 2/15/23 |
| 10,750 |
| 10,690 |
|
| Occidental Petroleum Corp. |
| 3.400% |
| 4/15/26 |
| 8,035 |
| 8,022 |
|
| Plains All American Pipeline LP / PAA Finance Corp. |
| 3.850% |
| 10/15/23 |
| 36,775 |
| 37,067 |
|
6 | Schlumberger Holdings Corp. |
| 3.900% |
| 5/17/28 |
| 31,025 |
| 31,452 |
|
6 | Schlumberger Investment SA |
| 2.400% |
| 8/1/22 |
| 23,925 |
| 23,774 |
|
| Schlumberger Investment SA |
| 3.650% |
| 12/1/23 |
| 44,520 |
| 46,248 |
|
| Shell International Finance BV |
| 3.250% |
| 5/11/25 |
| 11,051 |
| 11,360 |
|
| Shell International Finance BV |
| 4.125% |
| 5/11/35 |
| 43,465 |
| 46,970 |
|
| Shell International Finance BV |
| 5.500% |
| 3/25/40 |
| 12,990 |
| 16,335 |
|
| Shell International Finance BV |
| 4.375% |
| 5/11/45 |
| 96,700 |
| 106,289 |
|
| Suncor Energy Inc. |
| 5.950% |
| 12/1/34 |
| 20,700 |
| 25,594 |
|
| Sunoco Logistics Partners Operations LP |
| 4.400% |
| 4/1/21 |
| 30,900 |
| 31,749 |
|
| Total Capital International SA |
| 2.700% |
| 1/25/23 |
| 36,510 |
| 36,690 |
|
| Total Capital International SA |
| 3.750% |
| 4/10/24 |
| 41,500 |
| 43,551 |
|
| TransCanada PipeLines Ltd. |
| 3.800% |
| 10/1/20 |
| 47,125 |
| 47,879 |
|
| TransCanada PipeLines Ltd. |
| 4.875% |
| 1/15/26 |
| 47,256 |
| 51,420 |
|
| Other Industrial (0.1%) |
|
|
|
|
|
|
|
|
|
3 | Johns Hopkins University |
| 4.083% |
| 7/1/53 |
| 26,970 |
| 30,422 |
|
6 | SBA Tower Trust |
| 3.168% |
| 4/11/22 |
| 48,960 |
| 49,319 |
|
6 | SBA Tower Trust |
| 3.448% |
| 3/15/23 |
| 23,770 |
| 24,158 |
|
3,6 | SBA Tower Trust |
| 2.898% |
| 10/15/44 |
| 46,310 |
| 46,295 |
|
| Technology (2.0%) |
|
|
|
|
|
|
|
|
|
| Apple Inc. |
| 3.000% |
| 2/9/24 |
| 22,535 |
| 22,974 |
|
| Apple Inc. |
| 3.450% |
| 5/6/24 |
| 39,950 |
| 41,553 |
|
| Apple Inc. |
| 2.850% |
| 5/11/24 |
| 44,990 |
| 45,480 |
|
| Apple Inc. |
| 2.750% |
| 1/13/25 |
| 21,495 |
| 21,555 |
|
| Apple Inc. |
| 3.250% |
| 2/23/26 |
| 37,631 |
| 38,582 |
|
| Apple Inc. |
| 2.450% |
| 8/4/26 |
| 43,466 |
| 42,293 |
|
| Apple Inc. |
| 3.350% |
| 2/9/27 |
| 55,925 |
| 57,452 |
|
| Apple Inc. |
| 3.200% |
| 5/11/27 |
| 39,185 |
| 39,856 |
|
| Apple Inc. |
| 2.900% |
| 9/12/27 |
| 55,355 |
| 55,073 |
|
| Apple Inc. |
| 3.850% |
| 5/4/43 |
| 17,000 |
| 17,265 |
|
| Apple Inc. |
| 4.450% |
| 5/6/44 |
| 5,075 |
| 5,559 |
|
| Apple Inc. |
| 3.850% |
| 8/4/46 |
| 36,890 |
| 37,239 |
|
| Broadcom Corp. / Broadcom Cayman Finance Ltd. |
| 3.625% |
| 1/15/24 |
| 35,975 |
| 35,589 |
|
| Cisco Systems Inc. |
| 2.500% |
| 9/20/26 |
| 15,676 |
| 15,457 |
|
| Intel Corp. |
| 2.875% |
| 5/11/24 |
| 29,395 |
| 29,739 |
|
| Intel Corp. |
| 4.100% |
| 5/19/46 |
| 51,605 |
| 53,890 |
|
| International Business Machines Corp. |
| 8.375% |
| 11/1/19 |
| 25,000 |
| 25,592 |
|
| International Business Machines Corp. |
| 3.375% |
| 8/1/23 |
| 70,925 |
| 72,817 |
|
| International Business Machines Corp. |
| 3.625% |
| 2/12/24 |
| 35,000 |
| 36,207 |
|
| International Business Machines Corp. |
| 3.000% |
| 5/15/24 |
| 86,100 |
| 86,671 |
|
| International Business Machines Corp. |
| 3.300% |
| 5/15/26 |
| 155,985 |
| 157,598 |
|
| International Business Machines Corp. |
| 3.500% |
| 5/15/29 |
| 103,700 |
| 105,351 |
|
| International Business Machines Corp. |
| 5.875% |
| 11/29/32 |
| 20,240 |
| 25,197 |
|
| Microsoft Corp. |
| 3.625% |
| 12/15/23 |
| 16,000 |
| 16,828 |
|
| Microsoft Corp. |
| 2.875% |
| 2/6/24 |
| 70,885 |
| 72,477 |
|
| Microsoft Corp. |
| 3.125% |
| 11/3/25 |
| 31,615 |
| 32,746 |
|
| Microsoft Corp. |
| 2.400% |
| 8/8/26 |
| 53,545 |
| 52,724 |
|
| Microsoft Corp. |
| 3.500% |
| 2/12/35 |
| 23,520 |
| 24,259 |
|
| Microsoft Corp. |
| 3.450% |
| 8/8/36 |
| 65,320 |
| 67,027 |
|
| Microsoft Corp. |
| 4.100% |
| 2/6/37 |
| 45,385 |
| 50,281 |
|
| Microsoft Corp. |
| 4.450% |
| 11/3/45 |
| 14,250 |
| 16,473 |
|
| Microsoft Corp. |
| 3.700% |
| 8/8/46 |
| 61,115 |
| 63,456 |
|
| Microsoft Corp. |
| 4.250% |
| 2/6/47 |
| 91,700 |
| 104,398 |
|
| Oracle Corp. |
| 2.500% |
| 5/15/22 |
| 46,930 |
| 46,938 |
|
| Oracle Corp. |
| 2.950% |
| 11/15/24 |
| 79,830 |
| 80,588 |
|
| Oracle Corp. |
| 2.950% |
| 5/15/25 |
| 13,635 |
| 13,701 |
|
| Oracle Corp. |
| 3.250% |
| 11/15/27 |
| 111,485 |
| 113,244 |
|
| Oracle Corp. |
| 4.000% |
| 11/15/47 |
| 32,175 |
| 32,657 |
|
| QUALCOMM Inc. |
| 2.600% |
| 1/30/23 |
| 26,010 |
| 25,793 |
|
| QUALCOMM Inc. |
| 2.900% |
| 5/20/24 |
| 37,735 |
| 37,667 |
|
6 | Tencent Holdings Ltd. |
| 3.575% |
| 4/11/26 |
| 6,595 |
| 6,708 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
6 | Tencent Holdings Ltd. |
| 3.595% |
| 1/19/28 |
| 57,300 |
| 56,512 |
|
6 | Tencent Holdings Ltd. |
| 3.975% |
| 4/11/29 |
| 32,420 |
| 32,678 |
|
| Transportation (0.5%) |
|
|
|
|
|
|
|
|
|
| Burlington Northern Santa Fe LLC |
| 3.050% |
| 3/15/22 |
| 7,595 |
| 7,730 |
|
| Burlington Northern Santa Fe LLC |
| 3.000% |
| 3/15/23 |
| 21,397 |
| 21,793 |
|
| Burlington Northern Santa Fe LLC |
| 3.850% |
| 9/1/23 |
| 20,891 |
| 21,995 |
|
| Burlington Northern Santa Fe LLC |
| 3.250% |
| 6/15/27 |
| 8,090 |
| 8,400 |
|
3 | Continental Airlines 2007-1 Class A Pass Through Trust |
| 5.983% |
| 10/19/23 |
| 20,971 |
| 22,174 |
|
| CSX Corp. |
| 4.300% |
| 3/1/48 |
| 16,150 |
| 16,819 |
|
6 | ERAC USA Finance LLC |
| 2.350% |
| 10/15/19 |
| 27,135 |
| 27,109 |
|
6 | ERAC USA Finance LLC |
| 4.500% |
| 8/16/21 |
| 9,295 |
| 9,648 |
|
6 | ERAC USA Finance LLC |
| 7.000% |
| 10/15/37 |
| 32,995 |
| 44,175 |
|
6 | ERAC USA Finance LLC |
| 5.625% |
| 3/15/42 |
| 21,787 |
| 25,980 |
|
3 | Federal Express Corp. 1998 Pass Through Trust |
| 6.720% |
| 1/15/22 |
| 11,048 |
| 11,550 |
|
| FedEx Corp. |
| 2.700% |
| 4/15/23 |
| 23,430 |
| 23,293 |
|
| FedEx Corp. |
| 5.100% |
| 1/15/44 |
| 8,340 |
| 8,808 |
|
| Kansas City Southern |
| 4.950% |
| 8/15/45 |
| 16,985 |
| 18,741 |
|
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. |
| 3.450% |
| 7/1/24 |
| 16,420 |
| 16,624 |
|
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. |
| 3.950% |
| 3/10/25 |
| 52,010 |
| 53,410 |
|
6 | Penske Truck Leasing Co. LP / PTL Finance Corp. |
| 4.450% |
| 1/29/26 |
| 16,450 |
| 17,235 |
|
3 | Southwest Airlines Co. 2007-1 Pass Through Trust |
| 6.150% |
| 2/1/24 |
| 11,055 |
| 11,653 |
|
| Union Pacific Corp. |
| 3.700% |
| 3/1/29 |
| 17,470 |
| 18,215 |
|
| Union Pacific Corp. |
| 4.300% |
| 3/1/49 |
| 22,015 |
| 23,306 |
|
| Union Pacific Corp. |
| 3.799% |
| 10/1/51 |
| 23,191 |
| 22,545 |
|
3 | United Airlines 2018-1 Class B Pass Through Trust |
| 4.600% |
| 3/1/26 |
| 7,519 |
| 7,730 |
|
| United Parcel Service Inc. |
| 2.450% |
| 10/1/22 |
| 17,950 |
| 18,119 |
|
| United Parcel Service Inc. |
| 4.875% |
| 11/15/40 |
| 4,925 |
| 5,636 |
|
|
|
|
|
|
|
|
|
| 11,073,106 |
|
Utilities (2.5%) |
|
|
|
|
|
|
|
|
| |
| Electric (2.2%) |
|
|
|
|
|
|
|
|
|
| AEP Texas Inc. |
| 4.150% |
| 5/1/49 |
| 5,065 |
| 5,275 |
|
| Alabama Power Co. |
| 5.700% |
| 2/15/33 |
| 15,000 |
| 18,552 |
|
| Alabama Power Co. |
| 3.750% |
| 3/1/45 |
| 24,430 |
| 24,694 |
|
| Alabama Power Co. |
| 4.300% |
| 7/15/48 |
| 28,015 |
| 30,457 |
|
| Ameren Illinois Co. |
| 3.800% |
| 5/15/28 |
| 22,215 |
| 23,731 |
|
| Ameren Illinois Co. |
| 6.125% |
| 12/15/28 |
| 54,000 |
| 63,359 |
|
| Ameren Illinois Co. |
| 3.700% |
| 12/1/47 |
| 5,045 |
| 5,099 |
|
| Berkshire Hathaway Energy Co. |
| 6.125% |
| 4/1/36 |
| 41,995 |
| 54,162 |
|
| Berkshire Hathaway Energy Co. |
| 5.150% |
| 11/15/43 |
| 10,715 |
| 12,679 |
|
| CenterPoint Energy Houston Electric LLC |
| 4.250% |
| 2/1/49 |
| 7,015 |
| 7,741 |
|
| Commonwealth Edison Co. |
| 4.350% |
| 11/15/45 |
| 8,130 |
| 8,908 |
|
| Commonwealth Edison Co. |
| 3.650% |
| 6/15/46 |
| 6,365 |
| 6,287 |
|
| Commonwealth Edison Co. |
| 4.000% |
| 3/1/48 |
| 17,455 |
| 18,320 |
|
| Consolidated Edison Co. of New York Inc. |
| 4.500% |
| 12/1/45 |
| 36,735 |
| 39,960 |
|
| Consolidated Edison Co. of New York Inc. |
| 3.850% |
| 6/15/46 |
| 2,729 |
| 2,706 |
|
| Consolidated Edison Co. of New York Inc. |
| 4.625% |
| 12/1/54 |
| 66,625 |
| 73,373 |
|
| Consolidated Edison Co. of New York Inc. |
| 4.500% |
| 5/15/58 |
| 24,220 |
| 26,416 |
|
| Delmarva Power & Light Co. |
| 3.500% |
| 11/15/23 |
| 11,816 |
| 12,239 |
|
| Dominion Energy Inc. |
| 2.962% |
| 7/1/19 |
| 18,210 |
| 18,210 |
|
| Dominion Energy Inc. |
| 5.200% |
| 8/15/19 |
| 19,250 |
| 19,334 |
|
| Dominion Energy Inc. |
| 2.579% |
| 7/1/20 |
| 23,655 |
| 23,597 |
|
| Dominion Energy Inc. |
| 5.250% |
| 8/1/33 |
| 5,706 |
| 6,617 |
|
| Dominion Energy Inc. |
| 4.600% |
| 3/15/49 |
| 31,250 |
| 33,683 |
|
| Dominion Energy South Carolina Inc. |
| 4.350% |
| 2/1/42 |
| 1,600 |
| 1,717 |
|
| Dominion Energy South Carolina Inc. |
| 4.600% |
| 6/15/43 |
| 7,251 |
| 8,204 |
|
| DTE Energy Co. |
| 3.800% |
| 3/15/27 |
| 9,550 |
| 9,916 |
|
| Duke Energy Carolinas LLC |
| 3.900% |
| 6/15/21 |
| 50,025 |
| 51,341 |
|
| Duke Energy Carolinas LLC |
| 6.050% |
| 4/15/38 |
| 4,000 |
| 5,286 |
|
| Duke Energy Carolinas LLC |
| 3.700% |
| 12/1/47 |
| 17,085 |
| 16,989 |
|
| Duke Energy Corp. |
| 2.650% |
| 9/1/26 |
| 11,775 |
| 11,365 |
|
| Duke Energy Corp. |
| 4.800% |
| 12/15/45 |
| 44,700 |
| 49,067 |
|
| Duke Energy Corp. |
| 3.750% |
| 9/1/46 |
| 9,940 |
| 9,294 |
|
| Duke Energy Florida LLC |
| 6.350% |
| 9/15/37 |
| 8,000 |
| 10,785 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Duke Energy Florida LLC |
| 6.400% |
| 6/15/38 |
| 27,055 |
| 37,052 |
|
| Duke Energy Progress LLC |
| 6.300% |
| 4/1/38 |
| 14,705 |
| 19,737 |
|
| Duke Energy Progress LLC |
| 4.100% |
| 3/15/43 |
| 5,615 |
| 5,941 |
|
| Duke Energy Progress LLC |
| 4.200% |
| 8/15/45 |
| 40,400 |
| 42,841 |
|
| Emera US Finance LP |
| 3.550% |
| 6/15/26 |
| 34,050 |
| 34,121 |
|
| Entergy Louisiana LLC |
| 3.120% |
| 9/1/27 |
| 14,935 |
| 15,101 |
|
| Eversource Energy |
| 4.500% |
| 11/15/19 |
| 3,535 |
| 3,562 |
|
| Eversource Energy |
| 2.900% |
| 10/1/24 |
| 17,450 |
| 17,500 |
|
| Eversource Energy |
| 3.150% |
| 1/15/25 |
| 5,025 |
| 5,111 |
|
| Eversource Energy |
| 3.300% |
| 1/15/28 |
| 14,410 |
| 14,604 |
|
| Florida Power & Light Co. |
| 5.650% |
| 2/1/35 |
| 50,000 |
| 62,238 |
|
| Florida Power & Light Co. |
| 4.950% |
| 6/1/35 |
| 10,000 |
| 11,651 |
|
| Florida Power & Light Co. |
| 5.650% |
| 2/1/37 |
| 5,000 |
| 6,342 |
|
| Florida Power & Light Co. |
| 5.950% |
| 2/1/38 |
| 39,215 |
| 51,743 |
|
| Florida Power & Light Co. |
| 5.690% |
| 3/1/40 |
| 4,000 |
| 5,137 |
|
| Florida Power & Light Co. |
| 3.700% |
| 12/1/47 |
| 17,370 |
| 17,639 |
|
| Fortis Inc. |
| 3.055% |
| 10/4/26 |
| 28,565 |
| 27,827 |
|
| Georgia Power Co. |
| 5.400% |
| 6/1/40 |
| 6,665 |
| 7,443 |
|
| Georgia Power Co. |
| 4.750% |
| 9/1/40 |
| 25,858 |
| 28,217 |
|
| Georgia Power Co. |
| 4.300% |
| 3/15/42 |
| 29,264 |
| 30,202 |
|
| Indiana Michigan Power Co. |
| 4.250% |
| 8/15/48 |
| 14,980 |
| 15,722 |
|
6 | Massachusetts Electric Co. |
| 5.900% |
| 11/15/39 |
| 21,565 |
| 26,861 |
|
| MidAmerican Energy Co. |
| 4.250% |
| 5/1/46 |
| 5,485 |
| 5,941 |
|
| MidAmerican Energy Co. |
| 4.250% |
| 7/15/49 |
| 11,545 |
| 12,640 |
|
| National Rural Utilities Cooperative Finance Corp. |
| 2.950% |
| 2/7/24 |
| 15,255 |
| 15,529 |
|
| National Rural Utilities Cooperative Finance Corp. |
| 2.850% |
| 1/27/25 |
| 40,345 |
| 40,798 |
|
| NextEra Energy Capital Holdings Inc. |
| 3.250% |
| 4/1/26 |
| 9,260 |
| 9,398 |
|
| NextEra Energy Capital Holdings Inc. |
| 3.550% |
| 5/1/27 |
| 32,275 |
| 33,205 |
|
| NextEra Energy Capital Holdings Inc. |
| 3.500% |
| 4/1/29 |
| 14,165 |
| 14,449 |
|
6 | Niagara Mohawk Power Corp. |
| 4.278% |
| 12/15/28 |
| 35,970 |
| 39,070 |
|
| Northern States Power Co. |
| 6.250% |
| 6/1/36 |
| 50,000 |
| 66,922 |
|
| Oglethorpe Power Corp. |
| 5.950% |
| 11/1/39 |
| 6,075 |
| 7,454 |
|
| Oglethorpe Power Corp. |
| 4.550% |
| 6/1/44 |
| 1,825 |
| 1,877 |
|
| Oglethorpe Power Corp. |
| 4.250% |
| 4/1/46 |
| 19,060 |
| 18,932 |
|
| Oglethorpe Power Corp. |
| 5.250% |
| 9/1/50 |
| 17,220 |
| 20,682 |
|
| Oncor Electric Delivery Co. LLC |
| 4.550% |
| 12/1/41 |
| 2,675 |
| 3,028 |
|
| PacifiCorp |
| 2.950% |
| 6/1/23 |
| 29,675 |
| 30,229 |
|
| PacifiCorp |
| 5.900% |
| 8/15/34 |
| 12,500 |
| 15,547 |
|
| PacifiCorp |
| 6.250% |
| 10/15/37 |
| 36,635 |
| 48,445 |
|
| Potomac Electric Power Co. |
| 3.050% |
| 4/1/22 |
| 3,765 |
| 3,823 |
|
| Potomac Electric Power Co. |
| 6.500% |
| 11/15/37 |
| 25,000 |
| 33,704 |
|
| San Diego Gas & Electric Co. |
| 6.000% |
| 6/1/26 |
| 3,600 |
| 4,140 |
|
| San Diego Gas & Electric Co. |
| 4.150% |
| 5/15/48 |
| 4,500 |
| 4,529 |
|
| Sierra Pacific Power Co. |
| 3.375% |
| 8/15/23 |
| 34,040 |
| 35,144 |
|
| Sierra Pacific Power Co. |
| 2.600% |
| 5/1/26 |
| 7,857 |
| 7,691 |
|
| South Carolina Electric & Gas Co. |
| 4.250% |
| 8/15/28 |
| 24,800 |
| 27,135 |
|
| South Carolina Electric & Gas Co. |
| 6.625% |
| 2/1/32 |
| 4,886 |
| 6,317 |
|
| South Carolina Electric & Gas Co. |
| 5.800% |
| 1/15/33 |
| 9,000 |
| 10,712 |
|
| South Carolina Electric & Gas Co. |
| 5.300% |
| 5/15/33 |
| 1,438 |
| 1,684 |
|
| South Carolina Electric & Gas Co. |
| 6.050% |
| 1/15/38 |
| 44,155 |
| 56,008 |
|
| South Carolina Electric & Gas Co. |
| 5.450% |
| 2/1/41 |
| 2,945 |
| 3,573 |
|
| South Carolina Electric & Gas Co. |
| 5.100% |
| 6/1/65 |
| 29,850 |
| 36,495 |
|
| Southern California Edison Co. |
| 2.400% |
| 2/1/22 |
| 4,295 |
| 4,238 |
|
| Southern California Edison Co. |
| 3.700% |
| 8/1/25 |
| 3,315 |
| 3,395 |
|
| Southern California Edison Co. |
| 6.000% |
| 1/15/34 |
| 7,695 |
| 9,112 |
|
| Southern California Edison Co. |
| 5.550% |
| 1/15/37 |
| 50,475 |
| 56,269 |
|
| Southern California Edison Co. |
| 5.950% |
| 2/1/38 |
| 40,000 |
| 46,866 |
|
| Southern California Edison Co. |
| 6.050% |
| 3/15/39 |
| 1,980 |
| 2,335 |
|
| Southern California Edison Co. |
| 4.050% |
| 3/15/42 |
| 15,662 |
| 15,274 |
|
| Southern California Edison Co. |
| 3.900% |
| 3/15/43 |
| 8,716 |
| 8,160 |
|
| Southern California Edison Co. |
| 4.650% |
| 10/1/43 |
| 16,640 |
| 17,404 |
|
| Southern California Edison Co. |
| 3.600% |
| 2/1/45 |
| 3,560 |
| 3,184 |
|
| Southern California Edison Co. |
| 4.000% |
| 4/1/47 |
| 257 |
| 248 |
|
| Southern California Edison Co. |
| 4.125% |
| 3/1/48 |
| 3,837 |
| 3,750 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Southern Co. |
| 2.950% |
| 7/1/23 |
| 48,400 |
| 48,617 |
|
| Southern Co. |
| 3.250% |
| 7/1/26 |
| 30,885 |
| 30,698 |
|
| Southern Co. |
| 4.400% |
| 7/1/46 |
| 15,635 |
| 16,049 |
|
| Southwestern Electric Power Co. |
| 6.200% |
| 3/15/40 |
| 9,800 |
| 12,566 |
|
| Southwestern Public Service Co. |
| 3.700% |
| 8/15/47 |
| 3,756 |
| 3,756 |
|
| Virginia Electric & Power Co. |
| 2.750% |
| 3/15/23 |
| 34,540 |
| 34,822 |
|
| Virginia Electric & Power Co. |
| 3.500% |
| 3/15/27 |
| 16,025 |
| 16,644 |
|
| Virginia Electric & Power Co. |
| 6.000% |
| 5/15/37 |
| 1,740 |
| 2,217 |
|
| Wisconsin Electric Power Co. |
| 5.700% |
| 12/1/36 |
| 17,280 |
| 21,799 |
|
| Wisconsin Public Service Corp. |
| 6.080% |
| 12/1/28 |
| 45,000 |
| 54,119 |
|
| Natural Gas (0.3%) |
|
|
|
|
|
|
|
|
|
6 | Boston Gas Co. |
| 3.150% |
| 8/1/27 |
| 5,385 |
| 5,363 |
|
6 | Brooklyn Union Gas Co. |
| 4.273% |
| 3/15/48 |
| 61,265 |
| 65,351 |
|
| CenterPoint Energy Resources Corp. |
| 4.500% |
| 1/15/21 |
| 3,820 |
| 3,917 |
|
| CenterPoint Energy Resources Corp. |
| 4.000% |
| 4/1/28 |
| 12,248 |
| 12,836 |
|
6 | Infraestructura Energetica Nova SAB de CV |
| 4.875% |
| 1/14/48 |
| 16,565 |
| 14,166 |
|
6 | KeySpan Gas East Corp. |
| 2.742% |
| 8/15/26 |
| 25,345 |
| 24,545 |
|
| NiSource Finance Corp. |
| 5.250% |
| 2/15/43 |
| 14,588 |
| 16,843 |
|
| NiSource Finance Corp. |
| 4.800% |
| 2/15/44 |
| 10,370 |
| 11,084 |
|
| Sempra Energy |
| 2.875% |
| 10/1/22 |
| 27,530 |
| 27,557 |
|
| Sempra Energy |
| 3.250% |
| 6/15/27 |
| 80,765 |
| 78,943 |
|
| Other Utility (0.0%) |
|
|
|
|
|
|
|
|
|
| American Water Capital Corp. |
| 2.950% |
| 9/1/27 |
| 9,975 |
| 9,807 |
|
| American Water Capital Corp. |
| 4.200% |
| 9/1/48 |
| 29,180 |
| 30,486 |
|
|
|
|
|
|
|
|
|
| 2,523,476 |
|
Total Corporate Bonds (Cost $21,383,333) |
|
|
|
|
|
|
| 22,377,174 |
| |
Sovereign Bonds (1.7%) |
|
|
|
|
|
|
|
|
| |
6 | CDP Financial Inc. |
| 4.400% |
| 11/25/19 |
| 40,000 |
| 40,358 |
|
6 | Electricite de France SA |
| 4.600% |
| 1/27/20 |
| 50,000 |
| 50,645 |
|
6 | Electricite de France SA |
| 4.875% |
| 9/21/38 |
| 84,000 |
| 86,940 |
|
6 | Electricite de France SA |
| 4.875% |
| 1/22/44 |
| 1,775 |
| 1,865 |
|
6 | Electricite de France SA |
| 4.950% |
| 10/13/45 |
| 15,100 |
| 16,031 |
|
| Equinor ASA |
| 2.250% |
| 11/8/19 |
| 22,515 |
| 22,490 |
|
| Equinor ASA |
| 2.900% |
| 11/8/20 |
| 57,210 |
| 57,551 |
|
| Equinor ASA |
| 2.750% |
| 11/10/21 |
| 32,860 |
| 33,158 |
|
| Equinor ASA |
| 2.450% |
| 1/17/23 |
| 15,017 |
| 14,975 |
|
| Equinor ASA |
| 2.650% |
| 1/15/24 |
| 14,000 |
| 14,024 |
|
| Equinor ASA |
| 3.700% |
| 3/1/24 |
| 25,320 |
| 26,576 |
|
| Equinor ASA |
| 3.250% |
| 11/10/24 |
| 29,975 |
| 30,878 |
|
| International Bank for Reconstruction & Development |
| 4.750% |
| 2/15/35 |
| 40,000 |
| 51,104 |
|
| Japan Bank for International Cooperation |
| 2.250% |
| 2/24/20 |
| 52,670 |
| 52,646 |
|
| Japan Bank for International Cooperation |
| 2.125% |
| 6/1/20 |
| 32,682 |
| 32,635 |
|
| Japan Bank for International Cooperation |
| 2.125% |
| 7/21/20 |
| 40,250 |
| 40,179 |
|
8 | Japan Treasury Discount Bill |
| 0.000% |
| 8/19/19 |
| 13,300,000 |
| 122,788 |
|
6 | Kingdom of Saudi Arabia |
| 2.375% |
| 10/26/21 |
| 31,330 |
| 30,978 |
|
6 | Kingdom of Saudi Arabia |
| 2.875% |
| 3/4/23 |
| 40,225 |
| 40,125 |
|
| Korea Development Bank |
| 2.500% |
| 3/11/20 |
| 78,800 |
| 78,813 |
|
| Province of Ontario |
| 4.000% |
| 10/7/19 |
| 56,415 |
| 56,713 |
|
| Province of Ontario |
| 4.400% |
| 4/14/20 |
| 50,000 |
| 50,953 |
|
| Province of Ontario |
| 2.500% |
| 4/27/26 |
| 40,160 |
| 40,320 |
|
| Province of Quebec |
| 2.500% |
| 4/20/26 |
| 145,430 |
| 146,375 |
|
6 | Saudi Arabian Oil Co. |
| 3.500% |
| 4/16/29 |
| 61,150 |
| 60,310 |
|
6 | Sinopec Group Overseas Development 2015 Ltd. |
| 2.500% |
| 4/28/20 |
| 62,500 |
| 62,299 |
|
6 | Sinopec Group Overseas Development 2015 Ltd. |
| 3.250% |
| 4/28/25 |
| 62,500 |
| 62,476 |
|
6 | Sinopec Group Overseas Development 2017 Ltd. |
| 3.000% |
| 4/12/22 |
| 31,000 |
| 31,117 |
|
6 | State Grid Overseas Investment 2016 Ltd. |
| 2.750% |
| 5/4/22 |
| 62,480 |
| 62,391 |
|
6 | State Grid Overseas Investment 2016 Ltd. |
| 3.500% |
| 5/4/27 |
| 28,630 |
| 28,972 |
|
6 | State of Kuwait |
| 2.750% |
| 3/20/22 |
| 4,255 |
| 4,279 |
|
6 | State of Qatar |
| 5.250% |
| 1/20/20 |
| 53,430 |
| 54,239 |
|
6 | State of Qatar |
| 2.375% |
| 6/2/21 |
| 55,190 |
| 54,797 |
|
6 | State of Qatar |
| 3.875% |
| 4/23/23 |
| 71,330 |
| 74,131 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
6 | State of Qatar |
| 4.000% |
| 3/14/29 |
| 28,200 |
| 29,676 |
|
6 | State of Qatar |
| 5.103% |
| 4/23/48 |
| 29,730 |
| 34,130 |
|
6 | Temasek Financial I Ltd. |
| 2.375% |
| 1/23/23 |
| 45,150 |
| 45,050 |
|
6 | Temasek Financial I Ltd. |
| 3.625% |
| 8/1/28 |
| 36,800 |
| 39,330 |
|
Total Sovereign Bonds (Cost $1,742,368) |
|
|
|
|
|
|
| 1,782,317 |
| |
Taxable Municipal Bonds (1.7%) |
|
|
|
|
|
|
|
|
| |
| Atlanta GA Downtown Development Authority Revenue |
| 6.875% |
| 2/1/21 |
| 2,935 |
| 3,091 |
|
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) |
| 6.263% |
| 4/1/49 |
| 33,765 |
| 49,973 |
|
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) |
| 7.043% |
| 4/1/50 |
| 33,915 |
| 54,633 |
|
| California GO |
| 5.700% |
| 11/1/21 |
| 11,700 |
| 12,689 |
|
| California GO |
| 7.550% |
| 4/1/39 |
| 30,325 |
| 47,521 |
|
| California GO |
| 7.300% |
| 10/1/39 |
| 11,800 |
| 17,636 |
|
| California GO |
| 7.350% |
| 11/1/39 |
| 66,875 |
| 100,544 |
|
| California GO |
| 7.625% |
| 3/1/40 |
| 1,275 |
| 1,998 |
|
| California GO |
| 7.600% |
| 11/1/40 |
| 29,920 |
| 47,765 |
|
| Chicago IL Metropolitan Water Reclamation District GO |
| 5.720% |
| 12/1/38 |
| 8,545 |
| 11,081 |
|
| Chicago IL O’Hare International Airport Revenue |
| 6.845% |
| 1/1/38 |
| 25,680 |
| 26,293 |
|
| Chicago IL O’Hare International Airport Revenue |
| 6.395% |
| 1/1/40 |
| 5,125 |
| 7,185 |
|
| Chicago IL Transit Authority Sales Tax Receipts Revenue |
| 6.200% |
| 12/1/40 |
| 2,260 |
| 2,928 |
|
| Chicago IL Transit Authority Sales Tax Receipts Revenue |
| 6.899% |
| 12/1/40 |
| 54,480 |
| 73,351 |
|
| Chicago IL Transit Authority Transfer Tax Receipts Revenue |
| 6.899% |
| 12/1/40 |
| 29,855 |
| 40,196 |
|
| Dallas TX Area Rapid Transit Revenue |
| 5.999% |
| 12/1/44 |
| 29,925 |
| 41,931 |
|
| Georgetown University |
| 4.315% |
| 4/1/49 |
| 7,355 |
| 8,546 |
|
| Georgia Municipal Electric Power Authority Revenue |
| 6.637% |
| 4/1/57 |
| 63,166 |
| 75,740 |
|
| Georgia Municipal Electric Power Authority Revenue |
| 6.655% |
| 4/1/57 |
| 7,895 |
| 10,199 |
|
| Grand Parkway Transportation Corp. Texas System Toll Revenue |
| 5.184% |
| 10/1/42 |
| 40,435 |
| 50,518 |
|
| Houston TX GO |
| 6.290% |
| 3/1/32 |
| 17,310 |
| 21,100 |
|
| Illinois GO |
| 5.100% |
| 6/1/33 |
| 35,560 |
| 36,690 |
|
| Illinois Toll Highway Authority Revenue |
| 6.184% |
| 1/1/34 |
| 29,200 |
| 38,960 |
|
| Kansas Development Finance Authority Revenue |
| 4.927% |
| 4/15/45 |
| 7,745 |
| 9,358 |
|
9 | Kansas Development Finance Authority Revenue (Public Employees Retirement System) |
| 5.501% |
| 5/1/34 |
| 50,000 |
| 60,110 |
|
| Los Angeles CA Community College District GO |
| 6.750% |
| 8/1/49 |
| 13,625 |
| 21,426 |
|
| Los Angeles CA Unified School District GO |
| 5.750% |
| 7/1/34 |
| 24,525 |
| 31,297 |
|
| Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue |
| 6.250% |
| 5/15/43 |
| 19,000 |
| 27,024 |
|
| Maryland Transportation Authority Facilities Projects Revenue |
| 5.888% |
| 7/1/43 |
| 21,685 |
| 28,662 |
|
| Massachusetts School Building Authority Dedicated Sales Tax Revenue |
| 5.715% |
| 8/15/39 |
| 22,105 |
| 28,669 |
|
| New Jersey Turnpike Authority Revenue |
| 7.414% |
| 1/1/40 |
| 35,285 |
| 54,258 |
|
| New Jersey Turnpike Authority Revenue |
| 7.102% |
| 1/1/41 |
| 4,000 |
| 5,980 |
|
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue |
| 5.790% |
| 6/15/41 |
| 2,030 |
| 2,103 |
|
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue |
| 5.882% |
| 6/15/44 |
| 3,295 |
| 4,651 |
|
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) |
| 6.814% |
| 11/15/40 |
| 1,895 |
| 2,684 |
|
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) |
| 7.336% |
| 11/15/39 |
| 10,860 |
| 16,708 |
|
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) |
| 6.089% |
| 11/15/40 |
| 16,085 |
| 21,545 |
|
| New York State Urban Development Corp. Revenue |
| 2.100% |
| 3/15/22 |
| 84,785 |
| 84,578 |
|
| North Texas Tollway Authority System Revenue |
| 6.718% |
| 1/1/49 |
| 58,615 |
| 91,155 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| Oregon Department of Transportation Highway User Tax Revenue |
| 5.834% |
| 11/15/34 |
| 25,930 |
| 34,204 |
|
8 | Oregon School Boards Association GO |
| 5.528% |
| 6/30/28 |
| 50,000 |
| 58,916 |
|
| Port Authority of New York & New Jersey Revenue |
| 5.859% |
| 12/1/24 |
| 12,735 |
| 15,014 |
|
| Port Authority of New York & New Jersey Revenue |
| 6.040% |
| 12/1/29 |
| 10,455 |
| 13,556 |
|
| Port Authority of New York & New Jersey Revenue |
| 4.458% |
| 10/1/62 |
| 44,055 |
| 52,021 |
|
| Port Authority of New York & New Jersey Revenue |
| 4.810% |
| 10/15/65 |
| 21,985 |
| 27,578 |
|
| Regents of the University of California Revenue |
| 3.063% |
| 7/1/25 |
| 49,360 |
| 51,175 |
|
| Sales Tax Securitization Corp. Illinois Revenue |
| 4.787% |
| 1/1/48 |
| 21,830 |
| 24,693 |
|
| San Antonio TX Electric & Gas Systems Revenue |
| 5.985% |
| 2/1/39 |
| 11,890 |
| 16,336 |
|
| Stanford University |
| 6.875% |
| 2/1/24 |
| 13,685 |
| 16,455 |
|
| Stanford University |
| 7.650% |
| 6/15/26 |
| 29,000 |
| 38,296 |
|
| University of California |
| 3.349% |
| 7/1/29 |
| 21,335 |
| 22,510 |
|
| University of California Regents Medical Center Revenue |
| 6.548% |
| 5/15/48 |
| 18,650 |
| 26,749 |
|
| University of California Regents Medical Center Revenue |
| 6.583% |
| 5/15/49 |
| 21,260 |
| 30,472 |
|
| University of California Revenue |
| 4.601% |
| 5/15/31 |
| 21,975 |
| 25,203 |
|
| University of California Revenue |
| 5.770% |
| 5/15/43 |
| 24,325 |
| 32,473 |
|
| University of California Revenue |
| 4.765% |
| 5/15/44 |
| 5,980 |
| 6,396 |
|
| University of California Revenue |
| 3.931% |
| 5/15/45 |
| 22,370 |
| 24,088 |
|
Total Taxable Municipal Bonds (Cost $1,488,408) |
|
|
|
|
| 1,786,911 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
|
Temporary Cash Investments (2.5%) |
|
|
|
|
|
|
|
|
| |
Money Market Fund (0.3%) |
|
|
|
|
|
|
|
|
| |
10,11 | Vanguard Market Liquidity Fund |
| 2.527% |
|
|
| 2,661 |
| 266,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Face |
|
|
|
|
|
|
|
|
|
| Amount |
|
|
|
|
|
|
|
|
|
| ($000 | ) |
|
|
Repurchase Agreements (2.0%) |
|
|
|
|
|
|
|
|
| |
| Bank of America Securities, LLC (Dated 5/31/19, Repurchase Value $64,713,000 collateralized by Federal Home Loan Mortgage Corp. 4.000%, 6/1/48, with a value of $65,994,000) |
| 2.500% |
| 6/3/19 |
| 64,700 |
| 64,700 |
|
| Citigroup Global Markets Inc. (Dated 5/31/19, Repurchase Value $272,356,000 collateralized by U.S. Treasury Bill/Note 0.000%-2.000%, 6/11/19-1/31/20, with a value of $277,746,000) |
| 2.480% |
| 6/3/19 |
| 272,300 |
| 272,300 |
|
| Deutsche Bank Securities, Inc. (Dated 5/31/19, Repuchase Value $64,013,000 collateralized by U.S. Treasury Note 2.750%, 2/15/28, with a value of $65,280,000) |
| 2.490% |
| 6/3/19 |
| 64,000 |
| 64,000 |
|
| HSBC Bank USA (Dated 5/31/19, Repurchase Value $166,334,000 collateralized by U.S. Treasury Note 1.000%-2.875%, 11/30/19-7/31/25, with a value of $169,626,000) |
| 2.480% |
| 6/3/19 |
| 166,300 |
| 166,300 |
|
| HSBC Bank USA (Dated 5/31/19, Repurchase Value $106,922,000 collateralized by Federal National Mortgage Assn. 3.500%-5.000%, 5/1/26-10/1/48, Federal Home Loan Mortgage Corp. 4.000%-5.000%, 9/1/31-4/1/49, with a value of $109,038,000) |
| 2.490% |
| 6/3/19 |
| 106,900 |
| 106,900 |
|
| Nomura International plc (Dated 5/31/19, Repurchase Value $394,882,000 collateralized by U.S. Treasury Bill/Note/Bond 0.000%-8.125%, 6/20/19-11/15/48, with a value of $402,696,000) |
| 2.480% |
| 6/3/19 |
| 394,800 |
| 394,800 |
|
Vanguard® Wellington Fund
Schedule of Investments
May 31, 2019
|
|
| Coupon |
| Maturity |
| Face | ) | Market | ) |
| RBC Capital Markets LLC (Dated 5/31/19, Repurchase Value $14,003,000 collateralized by Federal National Mortgage Assn. 4.000%, 2/1/41, Federal Home Loan Mortgage Corp. 3.500%-6.500%, 9/1/39-3/1/48, with a value of $14,280,000) |
| 2.480% |
| 6/3/19 |
| 14,000 |
| 14,000 |
|
| TD Securities (USA) LLC (Dated 5/31/19, Repurchase Value $206,443,000 collateralized by Federal National Mortgage Assn. 4.000%-5.000%, 5/1/47-9/1/48, with a value of $210,528,000) |
| 2.490% |
| 6/3/19 |
| 206,400 |
| 206,400 |
|
| Wells Fargo & Co. (Dated 5/31/19, Repurchase Value $720,049,000 collateralized by Federal National Mortgage Assn. 3.000%-4.000%, 12/1/48-5/1/49, Federal Home Loan Mortgage Corp. 3.500%, 7/1/48, with a value of $734,298,000) |
| 2.490% |
| 6/3/19 |
| 719,900 |
| 719,900 |
|
|
|
|
|
|
|
|
|
| 2,009,300 |
|
U.S. Government and Agency Obligations (0.2%) |
|
|
|
|
|
|
|
|
| |
| United States Treasury Bill |
| 2.327% |
| 6/18/19 |
| 54,500 |
| 54,448 |
|
| United States Treasury Bill |
| 2.287% |
| 7/16/19 |
| 129,000 |
| 128,647 |
|
|
|
|
|
|
|
|
|
| 183,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Market |
|
|
|
|
|
|
|
|
|
| Value |
|
|
|
| Coupon |
|
|
| Shares |
| ($000 | ) |
Commercial Paper (0.0%) |
|
|
|
|
|
|
|
|
| |
| Ford Motor Credit Co. LLC |
| 3.680% |
|
|
| 38,000 |
| 36,712 |
|
Total Temporary Cash Investments (Cost $2,495,234) |
|
|
|
|
| 2,495,254 |
| |||
Total Investments (100.4%) (Cost $80,118,150) |
|
|
|
|
| 102,249,356 |
| |||
Other Assets and Liabilities—Net (-0.4%) |
|
|
|
|
|
|
| (431,500 | ) | |
Net Assets (100%) |
|
|
|
|
|
|
| 101,817,856 |
|
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $247,954,000. |
1 | Securities with a value of $6,407,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $982,000 have been segregated as collateral for open forward currency contracts. |
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 | 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. |
5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2019. |
6 | 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 May 31, 2019, the aggregate value of these securities was $5,988,044,000, representing 5.9% of net assets. |
7 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
8 | Face amount denominated in Japanese yen. |
9 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
10 | Includes $266,070,000 of collateral received for securities on loan. |
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. |
| ADR—American Depositary Receipt. |
| GDR—Global Depositary Receipt. |
| GO—General Obligation Bond. |
| LIBOR—London Interbank Offered Rate. |
| REMICS—Real Estate Mortgage Investment Conduits. |
| TBA—To Be Announced. |
This page intentionally left blank.
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| SNA212 072019 |
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) 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 | |
|
| |
BY: | /s/ MORTIMER J. BUCKLEY* |
|
|
|
|
| MORTIMER J. BUCKLEY |
|
| CHIEF EXECUTIVE OFFICER |
|
Date: July 18, 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 | |
|
| |
BY: | /s/ MORTIMER J. BUCKLEY* |
|
|
|
|
| MORTIMER J. BUCKLEY |
|
| CHIEF EXECUTIVE OFFICER |
|
| ||
Date: July 18, 2019 | ||
| ||
| VANGUARD WELLINGTON FUND | |
|
| |
BY: | /s/ THOMAS J. HIGGINS* |
|
|
|
|
| THOMAS J. HIGGINS |
|
| CHIEF FINANCIAL OFFICER |
|
|
| |
Date: July 18, 2019 |
|
* 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.