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, 2021—November 30, 2022
Item 1: Reports to Shareholders
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• | Despite some relief toward the close of the period, the 12 months ended November 30, 2022, were a volatile, challenging period for financial markets. Vanguard Wellington Fund returned –8.36% for Admiral Shares and –8.43% for Investor Shares. It posted better results than the –10.80% return of its composite benchmark index, a mix of 65% U.S. stocks and 35% U.S. bonds that reflects the fund’s target asset allocation. |
• | The economic backdrop deteriorated early on as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
• | The stock portion of the fund’s portfolio outpaced the –9.21% return of the Standard & Poor’s 500 Index by almost 4 percentage points. The fund’s holdings in the consumer discretionary sector held up much better than those in the index. However, the fund’s energy stocks, while posting an impressive return of around 31%, did not keep pace with the 76% return of the index’s energy stocks. |
• | The bond portion just slightly lagged the –14.46% return of the Bloomberg U.S. Credit A or Better Bond Index. Relative to the bond index, the fund benefited from its underweight to duration and credit spread duration during this period of rising rates, but that was offset by its sector allocation and security selection. |
Average Annual Total Returns Periods Ended November 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -10.66% | 10.56% | 10.69% |
Russell 2000 Index (Small-caps) | -13.01 | 6.44 | 5.45 |
Russell 3000 Index (Broad U.S. market) | -10.80 | 10.28 | 10.33 |
FTSE All-World ex US Index (International) | -11.40 | 2.23 | 1.86 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -12.91% | -2.56% | 0.24% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.64 | -0.77 | 1.40 |
FTSE Three-Month U.S. Treasury Bill Index | 1.16 | 0.64 | 1.19 |
CPI | |||
Consumer Price Index | 7.11% | 5.00% | 3.83% |
Equity Portfolio Manager
Fixed Income Portfolio Manager
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended November 30, 2022 | |||
Beginning Account Value 5/31/2022 | Ending Account Value 11/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Wellington Fund | |||
Investor Shares | $1,000.00 | $993.20 | $1.25 |
Admiral™ Shares | 1,000.00 | 993.60 | 0.85 |
Based on Hypothetical 5% Yearly Return | |||
Wellington Fund | |||
Investor Shares | $1,000.00 | $1,023.81 | $1.27 |
Admiral Shares | 1,000.00 | 1,024.22 | 0.86 |
Average Annual Total Returns Periods Ended November 30, 2022 | |||||
One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
Wellington Fund Investor Shares | -8.43% | 6.82% | 8.77% | $23,185 | |
Wellington Composite Index | -10.80 | 7.49 | 9.30 | 24,324 | |
Bloomberg U.S. Aggregate Bond Index | -12.84 | 0.21 | 1.09 | 11,142 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -11.25 | 10.20 | 12.85 | 33,501 |
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | ||
Wellington Fund Admiral Shares | -8.36% | 6.91% | 8.86% | $116,836 | |
Wellington Composite Index | -10.80 | 7.49 | 9.30 | 121,619 | |
Bloomberg U.S. Aggregate Bond Index | -12.84 | 0.21 | 1.09 | 55,712 | |
Dow Jones U.S. Total Stock Market Float Adjusted Index | -11.25 | 10.20 | 12.85 | 167,503 |
Asset-Backed/Commercial Mortgage-Backed Securities | 0.8% |
Common Stocks | 67.2 |
Corporate Bonds | 21.1 |
Sovereign Bonds | 0.8 |
Taxable Municipal Bonds | 1.5 |
U.S. Government and Agency Obligations | 8.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (66.6%) | ||||||
Communication Services (4.0%) | ||||||
* | Alphabet Inc. Class A | 25,709,121 | 2,596,364 | |||
* | Meta Platforms Inc. Class A | 7,992,333 | 943,895 | |||
Electronic Arts Inc. | 5,330,819 | 697,164 | ||||
4,237,423 | ||||||
Consumer Discretionary (8.0%) | ||||||
* | Amazon.com Inc. | 16,684,699 | 1,610,741 | |||
McDonald's Corp. | 5,491,145 | 1,497,929 | ||||
TJX Cos. Inc. | 16,572,663 | 1,326,642 | ||||
Starbucks Corp. | 11,931,417 | 1,219,391 | ||||
Home Depot Inc. | 3,112,499 | 1,008,419 | ||||
Dollar General Corp. | 1,616,468 | 413,298 | ||||
NIKE Inc. Class B | 3,750,867 | 411,433 | ||||
Lennar Corp. Class A | 3,571,195 | 313,658 | ||||
* | Coupang Inc. Class A | 13,364,482 | 260,340 | |||
DR Horton Inc. | 2,757,635 | 237,157 | ||||
Ross Stores Inc. | 1,884,731 | 221,776 | ||||
8,520,784 | ||||||
Consumer Staples (5.0%) | ||||||
Coca-Cola Co. | 26,080,066 | 1,658,953 | ||||
Procter & Gamble Co. | 10,042,345 | 1,497,916 | ||||
Sysco Corp. | 16,325,216 | 1,412,294 | ||||
Nestle SA (Registered) | 6,296,295 | 749,408 | ||||
5,318,571 | ||||||
Energy (3.5%) | ||||||
Shell plc | 45,811,044 | 1,338,977 | ||||
ConocoPhillips | 9,040,664 | 1,116,612 | ||||
Cenovus Energy Inc. | 20,520,336 | 408,150 | ||||
Pioneer Natural Resources Co. | 1,034,536 | 244,140 | ||||
EQT Corp. | 4,849,314 | 205,659 | ||||
Coterra Energy Inc. | 6,825,779 | 190,508 | ||||
Chesapeake Energy Corp. | 1,840,156 | 190,456 | ||||
Shell plc (XLON) | 2,607,900 | 76,322 | ||||
3,770,824 | ||||||
Financials (8.4%) | ||||||
Charles Schwab Corp. | 36,040,991 | 2,974,823 | ||||
Progressive Corp. | 12,560,066 | 1,659,813 | ||||
JPMorgan Chase & Co. | 7,090,485 | 979,763 | ||||
Morgan Stanley | 10,487,264 | 976,050 | ||||
S&P Global Inc. | 1,830,635 | 645,848 | ||||
BlackRock Inc. | 873,109 | 625,146 |
Shares | Market Value• ($000) | |||||
Goldman Sachs Group Inc. | 1,149,051 | 443,706 | ||||
American Express Co. | 2,708,681 | 426,861 | ||||
Blackstone Inc. | 2,373,520 | 217,248 | ||||
8,949,258 | ||||||
Health Care (12.3%) | ||||||
UnitedHealth Group Inc. | 3,436,435 | 1,882,342 | ||||
HCA Healthcare Inc. | 6,722,628 | 1,614,910 | ||||
Humana Inc. | 2,705,645 | 1,487,834 | ||||
Pfizer Inc. | 29,679,466 | 1,487,832 | ||||
Elevance Health Inc. | 2,493,621 | 1,328,900 | ||||
AstraZeneca plc ADR | 19,183,174 | 1,303,880 | ||||
Novartis AG (Registered) | 13,679,233 | 1,216,830 | ||||
Becton Dickinson & Co. | 4,315,332 | 1,075,985 | ||||
Danaher Corp. | 2,419,321 | 661,467 | ||||
Baxter International Inc. | 6,942,900 | 392,482 | ||||
Johnson & Johnson | 1,721,064 | 306,349 | ||||
Zoetis Inc. Class A | 1,862,015 | 287,011 | ||||
13,045,822 | ||||||
Industrials (6.8%) | ||||||
Raytheon Technologies Corp. | 11,312,010 | 1,116,722 | ||||
Deere & Co. | 2,297,952 | 1,013,397 | ||||
Johnson Controls International plc | 14,933,551 | 992,185 | ||||
Honeywell International Inc. | 4,457,449 | 978,633 | ||||
Illinois Tool Works Inc. | 3,733,234 | 849,199 | ||||
Northrop Grumman Corp. | 1,459,327 | 778,244 | ||||
Fortive Corp. | 11,441,180 | 772,852 | ||||
Parker-Hannifin Corp. | 2,071,865 | 619,363 | ||||
Schneider Electric SE | 731,889 | 108,081 | ||||
Trane Technologies plc | 143,811 | 25,659 | ||||
7,254,335 | ||||||
Information Technology (13.3%) | ||||||
Microsoft Corp. | 19,134,649 | 4,882,014 | ||||
Apple Inc. | 17,630,702 | 2,609,873 | ||||
Texas Instruments Inc. | 8,675,094 | 1,565,507 | ||||
Mastercard Inc. Class A | 2,487,783 | 886,646 | ||||
Visa Inc. Class A | 3,999,109 | 867,807 | ||||
Accenture plc Class A | 2,068,988 | 622,621 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 7,386,175 | 612,905 | ||||
Global Payments Inc. | 5,740,338 | 595,732 | ||||
* | Salesforce Inc. | 2,698,442 | 432,425 | |||
Intel Corp. | 10,353,608 | 311,333 | ||||
Fidelity National Information Services Inc. | 4,080,905 | 296,192 | ||||
KLA Corp. | 661,963 | 260,251 | ||||
Marvell Technology Inc. | 5,549,560 | 258,166 | ||||
14,201,472 | ||||||
Materials (1.2%) | ||||||
Glencore plc | 133,147,787 | 908,616 | ||||
Anglo American plc | 9,320,031 | 387,481 | ||||
1,296,097 | ||||||
Real Estate (1.3%) | ||||||
Welltower Inc. | 6,816,940 | 484,207 | ||||
American Tower Corp. | 1,904,486 | 421,368 | ||||
VICI Properties Inc. | 8,830,111 | 301,990 | ||||
Prologis Inc. | 1,781,301 | 209,819 | ||||
1,417,384 |
Shares | Market Value• ($000) | |||||
Utilities (2.8%) | ||||||
Duke Energy Corp. | 11,586,602 | 1,157,849 | ||||
Exelon Corp. | 27,111,767 | 1,121,614 | ||||
Constellation Energy Corp. | 6,601,422 | 634,529 | ||||
American Electric Power Co. Inc. | 718,581 | 69,558 | ||||
2,983,550 | ||||||
Total Common Stocks (Cost $46,215,833) | 70,995,520 | |||||
Coupon | Maturity Date | Face Amount ($000) | ||||
U.S. Government and Agency Obligations (8.5%) | ||||||
U.S. Government Securities (7.7%) | ||||||
United States Treasury Note/Bond | 2.250% | 3/31/24 | 135,000 | 130,823 | ||
United States Treasury Note/Bond | 2.500% | 4/30/24 | 16,550 | 16,069 | ||
United States Treasury Note/Bond | 1.750% | 6/30/24 | 316,970 | 303,598 | ||
United States Treasury Note/Bond | 0.375% | 8/15/24 | 265,000 | 247,195 | ||
United States Treasury Note/Bond | 0.375% | 9/15/24 | 108,000 | 100,491 | ||
United States Treasury Note/Bond | 4.250% | 9/30/24 | 155,000 | 154,540 | ||
United States Treasury Note/Bond | 0.625% | 10/15/24 | 610,000 | 568,920 | ||
United States Treasury Note/Bond | 4.375% | 10/31/24 | 10,335 | 10,333 | ||
United States Treasury Note/Bond | 1.125% | ��� 1/15/25 | 155,000 | 144,973 | ||
United States Treasury Note/Bond | 2.000% | 2/15/25 | 190,065 | 180,859 | ||
United States Treasury Note/Bond | 1.125% | 2/28/25 | 198,905 | 185,572 | ||
United States Treasury Note/Bond | 1.750% | 3/15/25 | 340,000 | 321,513 | ||
United States Treasury Note/Bond | 2.625% | 4/15/25 | 303,280 | 292,191 | ||
United States Treasury Note/Bond | 0.250% | 5/31/25 | 522,710 | 474,114 | ||
United States Treasury Note/Bond | 0.250% | 7/31/25 | 145,975 | 131,788 | ||
United States Treasury Note/Bond | 2.000% | 8/15/25 | 61,860 | 58,458 | ||
United States Treasury Note/Bond | 3.125% | 8/15/25 | 400,000 | 389,562 | ||
United States Treasury Note/Bond | 0.250% | 8/31/25 | 125,010 | 112,470 | ||
United States Treasury Note/Bond | 3.500% | 9/15/25 | 5,480 | 5,392 | ||
United States Treasury Note/Bond | 0.375% | 11/30/25 | 78,000 | 69,908 | ||
United States Treasury Note/Bond | 0.375% | 1/31/26 | 639,150 | 569,842 | ||
United States Treasury Note/Bond | 0.750% | 3/31/26 | 107,000 | 96,216 | ||
United States Treasury Note/Bond | 0.750% | 4/30/26 | 89,000 | 79,752 | ||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 78,110 | 72,081 | ||
United States Treasury Note/Bond | 0.750% | 5/31/26 | 281,245 | 251,407 | ||
United States Treasury Note/Bond | 0.750% | 8/31/26 | 175,000 | 155,422 | ||
1 | United States Treasury Note/Bond | 0.875% | 9/30/26 | 254,100 | 226,308 | |
United States Treasury Note/Bond | 2.000% | 11/15/26 | 29,650 | 27,533 | ||
United States Treasury Note/Bond | 2.500% | 3/31/27 | 527,230 | 497,820 | ||
United States Treasury Note/Bond | 2.750% | 4/30/27 | 178,525 | 170,324 | ||
United States Treasury Note/Bond | 2.750% | 7/31/27 | 248,175 | 236,464 | ||
United States Treasury Note/Bond | 3.125% | 8/31/27 | 46,560 | 45,141 | ||
United States Treasury Note/Bond | 4.125% | 9/30/27 | 35,000 | 35,427 | ||
United States Treasury Note/Bond | 4.125% | 10/31/27 | 195,000 | 197,468 | ||
United States Treasury Note/Bond | 2.250% | 11/15/27 | 24,532 | 22,761 | ||
United States Treasury Note/Bond | 3.875% | 11/30/27 | 78,000 | 78,293 | ||
United States Treasury Note/Bond | 3.875% | 9/30/29 | 4,297 | 4,327 | ||
United States Treasury Note/Bond | 4.000% | 10/31/29 | 175,000 | 177,680 | ||
United States Treasury Note/Bond | 2.750% | 8/15/32 | 25,673 | 23,780 | ||
United States Treasury Note/Bond | 4.125% | 11/15/32 | 109,116 | 113,378 | ||
United States Treasury Note/Bond | 1.750% | 8/15/41 | 18,670 | 13,019 | ||
United States Treasury Note/Bond | 2.000% | 11/15/41 | 663,555 | 483,151 | ||
United States Treasury Note/Bond | 2.375% | 2/15/42 | 118,600 | 92,249 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Note/Bond | 3.250% | 5/15/42 | 20,950 | 18,806 | ||
United States Treasury Note/Bond | 3.375% | 8/15/42 | 322,299 | 294,904 | ||
United States Treasury Note/Bond | 4.000% | 11/15/42 | 57,500 | 57,761 | ||
United States Treasury Note/Bond | 2.250% | 2/15/52 | 4,890 | 3,530 | ||
United States Treasury Note/Bond | 2.875% | 5/15/52 | 52,829 | 43,906 | ||
United States Treasury Note/Bond | 3.000% | 8/15/52 | 180,522 | 154,516 | ||
United States Treasury Note/Bond | 4.000% | 11/15/52 | 21,542 | 22,390 | ||
8,164,425 | ||||||
Conventional Mortgage-Backed Securities (0.7%) | ||||||
2,3 | Fannie Mae Pool | 1.770% | 1/1/36 | 20,151 | 15,418 | |
2 | Ginnie Mae I Pool | 7.000% | 11/15/31–11/15/33 | 905 | 934 | |
2,3 | UMBS Pool | 2.500% | 9/1/27–4/1/38 | 26,657 | 23,547 | |
2,3,4 | UMBS Pool | 3.000% | 8/1/42–12/25/52 | 311,252 | 275,413 | |
2,3,4 | UMBS Pool | 3.500% | 11/1/45–12/25/52 | 51,654 | 47,312 | |
2,3,4 | UMBS Pool | 4.000% | 12/25/52 | 173,587 | 164,257 | |
2,3,4 | UMBS Pool | 4.500% | 9/1/52–12/25/52 | 142,495 | 138,913 | |
2,3,4 | UMBS Pool | 5.000% | 12/25/52–1/25/53 | 107,000 | 106,501 | |
772,295 | ||||||
Nonconventional Mortgage-Backed Securities (0.1%) | ||||||
2,3 | Fannie Mae REMICS | 1.500% | 8/25/41–11/25/42 | 4,219 | 3,871 | |
2,3 | Fannie Mae REMICS | 1.700% | 6/25/43 | 1,541 | 1,461 | |
2,3 | Fannie Mae REMICS | 2.000% | 6/25/44 | 471 | 456 | |
2,3 | Fannie Mae REMICS | 2.500% | 8/25/46 | 10,786 | 8,549 | |
2,3 | Fannie Mae REMICS | 3.000% | 12/25/39–9/25/57 | 41,497 | 37,618 | |
2,3 | Fannie Mae REMICS | 3.500% | 4/25/31–11/25/57 | 65,826 | 62,741 | |
2,3 | Fannie Mae REMICS | 4.000% | 7/25/53 | 2,465 | 2,405 | |
2,3 | Freddie Mac REMICS | 1.500% | 10/15/42 | 5,595 | 4,914 | |
2,3 | Freddie Mac REMICS | 3.000% | 6/15/44–7/15/45 | 8,507 | 7,579 | |
2,3 | Freddie Mac REMICS | 3.500% | 3/15/31–12/15/46 | 13,897 | 13,039 | |
2,3 | Freddie Mac REMICS | 4.000% | 12/15/30–2/15/31 | 4,756 | 4,595 | |
2 | Ginnie Mae REMICS | 1.700% | 10/20/45 | 863 | 850 | |
148,078 | ||||||
Total U.S. Government and Agency Obligations (Cost $9,730,833) | 9,084,798 | |||||
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%) | ||||||
2,5 | Aaset Trust Series 2019-1 | 3.844% | 5/15/39 | 7,636 | 5,072 | |
2,5 | Affirm Asset Securitization Trust Series 2021-B | 1.030% | 8/17/26 | 17,590 | 16,601 | |
2,5 | Affirm Asset Securitization Trust Series 2021-Z1 | 1.070% | 8/15/25 | 6,627 | 6,386 | |
2,5 | Affirm Asset Securitization Trust Series 2021-Z2 | 1.170% | 11/16/26 | 9,790 | 9,342 | |
2,5 | Aligned Data Centers Issuer LLC Series 2021-1A | 1.937% | 8/15/46 | 43,270 | 36,252 | |
2,5 | American Tower Trust | 3.070% | 3/15/23 | 43,000 | 42,643 | |
2,5 | Angel Oak Mortgage Trust Series 2019-5 | 2.593% | 10/25/49 | 1,921 | 1,859 | |
2,5 | Angel Oak Mortgage Trust Series 2019-6 | 2.620% | 11/25/59 | 4,508 | 4,322 | |
2,5 | Angel Oak Mortgage Trust Series 2021-6 | 1.458% | 9/25/66 | 24,198 | 19,430 | |
2,5 | Angel Oak Mortgage Trust I LLC Series 2019-4 | 2.993% | 7/26/49 | 703 | 699 | |
2,5,6 | BX Commercial Mortgage Trust Series 2021-VOLT, 1M USD LIBOR + 0.700% | 4.575% | 9/15/36 | 29,050 | 27,812 | |
2,5,6 | BX Trust Series 2021-ARIA, 1M USD LIBOR + 0.899% | 4.774% | 10/15/36 | 14,785 | 13,937 | |
2,5,6 | BXHPP Trust Series 2021-FILM, 1M USD LIBOR + 0.650% | 4.525% | 8/15/36 | 15,225 | 14,353 | |
2,5,6 | BXHPP Trust Series 2021-FILM, 1M USD LIBOR + 0.900% | 4.775% | 8/15/36 | 3,140 | 2,956 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2,5 | Castlelake Aircraft Structured Trust Series 2019-1A | 3.967% | 4/15/39 | 19,266 | 16,252 | |
2,5 | CF Hippolyta Issuer LLC Series 2021-1A | 1.530% | 3/15/61 | 23,444 | 20,149 | |
2,5 | Cloud Pass-Through Trust Series 2019-1A | 3.554% | 12/5/22 | 5 | 5 | |
2,5 | DB Master Finance LLC Series 2019-1A | 4.021% | 5/20/49 | 13,782 | 12,711 | |
2,5 | Domino's Pizza Master Issuer LLC Series 2021-1A | 2.662% | 4/25/51 | 13,549 | 11,023 | |
2,5 | Domino's Pizza Master Issuer LLC Series 2021-1A | 3.151% | 4/25/51 | 23,798 | 18,680 | |
2,5 | Enterprise Fleet Financing LLC Series 2019-2 | 2.290% | 2/20/25 | 1,099 | 1,097 | |
2,5 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 905 | 903 | |
2,3,6 | Fannie Mae Connecticut Avenue Securities Series 2016-C03, 1M USD LIBOR + 5.900% | 9.916% | 10/25/28 | 2,662 | 2,772 | |
2,5 | FirstKey Homes Trust Series 2021-SFR1 | 1.538% | 8/17/38 | 64,569 | 54,969 | |
2,3 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1512 | 3.059% | 4/25/34 | 6,000 | 5,125 | |
2,3 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1513 | 2.797% | 8/25/34 | 7,500 | 6,287 | |
2,3 | Freddie Mac Multifamily Structured Pass-Through Certificates Series K-1521 | 2.184% | 8/25/36 | 17,705 | 13,026 | |
2,5 | Home Partners of America Trust Series 2021-2 | 1.901% | 12/17/26 | 34,834 | 29,554 | |
2,5 | Horizon Aircraft Finance II Ltd. Series 2019-1 | 3.721% | 7/15/39 | 9,431 | 7,341 | |
2,5 | Horizon Aircraft Finance III Ltd. Series 2019-2 | 3.425% | 11/15/39 | 10,006 | 7,641 | |
2,5,6 | Life Mortgage Trust Series 2021-BMR, 1M USD LIBOR + 0.700% | 4.575% | 3/15/38 | 9,147 | 8,793 | |
2,5 | MACH 1 Cayman Ltd. Series 2019-1 | 3.474% | 10/15/39 | 9,220 | 8,094 | |
2,5,6 | Madison Park Funding XIII Ltd. Series 2014-13A, 3M USD LIBOR + 0.950% | 5.177% | 4/19/30 | 31,681 | 31,208 | |
2,5,6 | Magnetite VII Ltd. Series 2012-7A, 3M USD LIBOR + 0.800% | 4.879% | 1/15/28 | 24,088 | 23,668 | |
2,5 | MAPS Ltd. Series 2019-1A | 4.458% | 3/15/44 | 3,813 | 3,339 | |
2,5 | Mercury Financial Credit Card Master Trust Series 2021-1A | 1.540% | 3/20/26 | 33,270 | 31,561 | |
2,5 | New Economy Assets Phase 1 Sponsor LLC Series 2021-1 | 1.910% | 10/20/61 | 100,980 | 85,377 | |
2,5 | New Economy Assets Phase 1 Sponsor LLC Series 2021-1 | 2.410% | 10/20/61 | 10,325 | 8,502 | |
2,5 | OneMain Direct Auto Receivables Trust Series 2021-1A | 0.870% | 7/14/28 | 30,280 | 27,761 | |
2 | Seasoned Credit Risk Transfer Trust Series 2019-3 | 3.500% | 10/25/58 | 25,642 | 24,640 | |
2,5 | SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE | 4.144% | 1/5/43 | 27,300 | 20,089 | |
2,5 | SoFi Professional Loan Program Trust Series 2021-B | 1.140% | 2/15/47 | 16,117 | 12,559 | |
2,5 | Start II Ltd. Series 2019-1 | 4.089% | 3/15/44 | 10,044 | 8,560 | |
2,5,6 | Symphony CLO XIV Ltd. Series 2014-14A, 3M USD LIBOR + 0.950% | 4.961% | 7/14/26 | 1,754 | 1,750 | |
2,5 | Taco Bell Funding LLC Series 2021-1A | 1.946% | 8/25/51 | 19,275 | 16,045 | |
2,5 | Taco Bell Funding LLC Series 2021-1A | 2.294% | 8/25/51 | 35,655 | 28,534 | |
2,5 | Vantage Data Centers Issuer LLC Series 2019-1A | 3.188% | 7/15/44 | 10,570 | 9,938 | |
2,5 | Vantage Data Centers Issuer LLC Series 2020-1A | 1.645% | 9/15/45 | 29,505 | 25,647 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2,5 | Vantage Data Centers Issuer LLC Series 2021-1A | 2.165% | 10/15/46 | 48,430 | 40,870 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $948,831) | 826,134 | |||||
Corporate Bonds (21.0%) | ||||||
Communications (1.2%) | ||||||
America Movil SAB de CV | 3.625% | 4/22/29 | 26,990 | 24,768 | ||
America Movil SAB de CV | 6.125% | 3/30/40 | 7,380 | 7,624 | ||
AT&T Inc. | 4.300% | 12/15/42 | 35,590 | 30,023 | ||
AT&T Inc. | 3.650% | 6/1/51 | 8,341 | 6,117 | ||
AT&T Inc. | 3.500% | 9/15/53 | 13,515 | 9,543 | ||
AT&T Inc. | 3.850% | 6/1/60 | 26,704 | 19,447 | ||
Comcast Corp. | 3.375% | 2/15/25 | 2,540 | 2,472 | ||
Comcast Corp. | 3.400% | 4/1/30 | 4,940 | 4,532 | ||
Comcast Corp. | 4.250% | 1/15/33 | 42,890 | 40,755 | ||
Comcast Corp. | 4.200% | 8/15/34 | 30,890 | 29,023 | ||
Comcast Corp. | 5.650% | 6/15/35 | 4,725 | 4,971 | ||
Comcast Corp. | 4.400% | 8/15/35 | 32,325 | 30,709 | ||
Comcast Corp. | 6.500% | 11/15/35 | 945 | 1,050 | ||
Comcast Corp. | 3.969% | 11/1/47 | 8,452 | 6,884 | ||
Comcast Corp. | 4.000% | 3/1/48 | 12,180 | 10,027 | ||
Comcast Corp. | 3.999% | 11/1/49 | 23,162 | 18,864 | ||
Comcast Corp. | 2.887% | 11/1/51 | 56,240 | 37,527 | ||
Comcast Corp. | 2.450% | 8/15/52 | 13,355 | 8,165 | ||
Comcast Corp. | 4.049% | 11/1/52 | 10,339 | 8,454 | ||
Comcast Corp. | 2.937% | 11/1/56 | 210,578 | 135,545 | ||
Comcast Corp. | 2.987% | 11/1/63 | 95,407 | 60,363 | ||
5 | Cox Communications Inc. | 3.150% | 8/15/24 | 2,503 | 2,410 | |
5 | Cox Communications Inc. | 4.800% | 2/1/35 | 30,000 | 27,105 | |
Discovery Communications LLC | 4.125% | 5/15/29 | 14,172 | 12,484 | ||
Discovery Communications LLC | 3.625% | 5/15/30 | 20,000 | 16,927 | ||
Discovery Communications LLC | 5.300% | 5/15/49 | 5,000 | 3,929 | ||
Discovery Communications LLC | 4.000% | 9/15/55 | 24,992 | 15,982 | ||
NBCUniversal Media LLC | 4.450% | 1/15/43 | 6,331 | 5,637 | ||
5 | NTT Finance Corp. | 1.162% | 4/3/26 | 44,235 | 39,298 | |
5 | NTT Finance Corp. | 2.065% | 4/3/31 | 12,995 | 10,552 | |
5 | Ooredoo International Finance Ltd. | 2.625% | 4/8/31 | 23,430 | 20,204 | |
Orange SA | 9.000% | 3/1/31 | 20,280 | 25,143 | ||
5 | SK Telecom Co. Ltd. | 3.750% | 4/16/23 | 11,995 | 11,937 | |
5 | Sky Ltd. | 3.750% | 9/16/24 | 45,046 | 44,086 | |
5 | Sprint Spectrum Co. LLC | 4.738% | 3/20/25 | 27,041 | 26,648 | |
Telefonica Emisiones SA | 5.213% | 3/8/47 | 19,100 | 15,532 | ||
Telefonica Emisiones SA | 5.520% | 3/1/49 | 19,772 | 16,869 | ||
Time Warner Cable Enterprises LLC | 8.375% | 3/15/23 | 3,925 | 3,967 | ||
T-Mobile USA Inc. | 2.050% | 2/15/28 | 29,985 | 25,902 | ||
T-Mobile USA Inc. | 3.875% | 4/15/30 | 80,576 | 73,989 | ||
T-Mobile USA Inc. | 4.375% | 4/15/40 | 15,735 | 13,666 | ||
TWDC Enterprises 18 Corp. | 4.375% | 8/16/41 | 26,724 | 24,216 | ||
2 | TWDC Enterprises 18 Corp. | 4.125% | 6/1/44 | 14,185 | 12,417 | |
Verizon Communications Inc. | 4.329% | 9/21/28 | 23,335 | 22,695 | ||
Verizon Communications Inc. | 2.355% | 3/15/32 | 108,462 | 87,257 | ||
Verizon Communications Inc. | 4.812% | 3/15/39 | 85,963 | 80,783 | ||
Verizon Communications Inc. | 4.750% | 11/1/41 | 7,750 | 7,096 | ||
Verizon Communications Inc. | 2.987% | 10/30/56 | 9,247 | 5,853 | ||
Walt Disney Co. | 2.650% | 1/13/31 | 16,330 | 14,069 | ||
Walt Disney Co. | 3.500% | 5/13/40 | 50,260 | 41,420 | ||
Walt Disney Co. | 4.750% | 9/15/44 | 2,358 | 2,219 | ||
Walt Disney Co. | 4.750% | 11/15/46 | 14,000 | 13,075 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Walt Disney Co. | 2.750% | 9/1/49 | 16,835 | 11,425 | ||
Walt Disney Co. | 3.600% | 1/13/51 | 27,250 | 21,394 | ||
Walt Disney Co. | 3.800% | 5/13/60 | 28,415 | 22,535 | ||
1,275,584 | ||||||
Consumer Discretionary (0.9%) | ||||||
Amazon.com Inc. | 2.800% | 8/22/24 | 9,035 | 8,785 | ||
Amazon.com Inc. | 3.600% | 4/13/32 | 84,875 | 79,138 | ||
Amazon.com Inc. | 4.800% | 12/5/34 | 37,370 | 38,191 | ||
Amazon.com Inc. | 4.950% | 12/5/44 | 22,605 | 22,957 | ||
Amazon.com Inc. | 3.950% | 4/13/52 | 27,295 | 23,328 | ||
Amazon.com Inc. | 4.250% | 8/22/57 | 41,385 | 37,100 | ||
2 | American Honda Finance Corp. | 2.000% | 3/24/28 | 19,250 | 16,714 | |
5 | BMW US Capital LLC | 0.800% | 4/1/24 | 12,590 | 11,937 | |
5 | BMW US Capital LLC | 1.250% | 8/12/26 | 28,900 | 25,378 | |
2 | Duke University | 2.832% | 10/1/55 | 25,700 | 17,300 | |
2 | Emory University | 2.143% | 9/1/30 | 25,351 | 21,053 | |
General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 57,810 | 56,846 | ||
2 | Georgetown University | 4.315% | 4/1/49 | 5,405 | 4,426 | |
2 | Georgetown University | 2.943% | 4/1/50 | 9,430 | 5,925 | |
Home Depot Inc. | 3.900% | 12/6/28 | 10,250 | 9,958 | ||
Home Depot Inc. | 2.700% | 4/15/30 | 7,480 | 6,622 | ||
Home Depot Inc. | 3.250% | 4/15/32 | 44,440 | 40,188 | ||
Home Depot Inc. | 4.500% | 9/15/32 | 27,360 | 27,157 | ||
Home Depot Inc. | 3.300% | 4/15/40 | 18,410 | 14,942 | ||
Home Depot Inc. | 4.400% | 3/15/45 | 28,655 | 26,093 | ||
Home Depot Inc. | 4.250% | 4/1/46 | 25,000 | 22,174 | ||
Home Depot Inc. | 4.500% | 12/6/48 | 12,215 | 11,354 | ||
Home Depot Inc. | 3.125% | 12/15/49 | 2,490 | 1,823 | ||
Home Depot Inc. | 2.375% | 3/15/51 | 2,495 | 1,565 | ||
Home Depot Inc. | 2.750% | 9/15/51 | 19,955 | 13,497 | ||
Home Depot Inc. | 3.625% | 4/15/52 | 25,570 | 20,318 | ||
Home Depot Inc. | 4.950% | 9/15/52 | 36,582 | 35,934 | ||
5 | Hyundai Capital America | 0.800% | 4/3/23 | 91,160 | 89,700 | |
5 | Hyundai Capital America | 0.875% | 6/14/24 | 49,225 | 45,781 | |
5 | Hyundai Capital America | 1.650% | 9/17/26 | 36,480 | 31,364 | |
2 | Johns Hopkins University | 4.083% | 7/1/53 | 7,805 | 6,700 | |
2 | Johns Hopkins University | 2.813% | 1/1/60 | 6,420 | 4,131 | |
Leland Stanford Junior University | 6.875% | 2/1/24 | 13,685 | 14,024 | ||
2 | Leland Stanford Junior University | 7.650% | 6/15/26 | 29,000 | 31,333 | |
Lowe's Cos. Inc. | 3.100% | 5/3/27 | 8,700 | 8,173 | ||
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 13,301 | 14,423 | ||
Lowe's Cos. Inc. | 3.750% | 4/1/32 | 11,620 | 10,567 | ||
2 | McDonald's Corp. | 3.250% | 6/10/24 | 5,460 | 5,352 | |
2 | McDonald's Corp. | 4.875% | 7/15/40 | 10,000 | 9,502 | |
2 | Northeastern University | 2.894% | 10/1/50 | 6,995 | 4,635 | |
Stanley Black & Decker Inc. | 4.850% | 11/15/48 | 24,455 | 22,385 | ||
Thomas Jefferson University | 3.847% | 11/1/57 | 23,125 | 16,995 | ||
2 | University of Chicago | 2.761% | 4/1/45 | 5,825 | 4,405 | |
2 | University of Miami | 4.063% | 4/1/52 | 9,030 | 7,520 | |
VF Corp. | 2.800% | 4/23/27 | 17,615 | 16,064 | ||
VF Corp. | 2.950% | 4/23/30 | 37,015 | 31,097 | ||
974,854 | ||||||
Consumer Staples (0.7%) | ||||||
Altria Group Inc. | 4.500% | 5/2/43 | 5,945 | 4,526 | ||
Anheuser-Busch Cos. LLC | 6.500% | 1/1/28 | 19,550 | 20,913 | ||
2 | Anheuser-Busch Cos. LLC | 4.700% | 2/1/36 | 35,700 | 34,319 | |
2 | Anheuser-Busch Cos. LLC | 4.900% | 2/1/46 | 52,135 | 48,845 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 5,818 | 5,576 | ||
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 23,160 | 19,188 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.500% | 6/1/50 | 29,542 | 26,773 | ||
Anheuser-Busch InBev Worldwide Inc. | 4.600% | 6/1/60 | 14,600 | 13,158 | ||
Archer-Daniels-Midland Co. | 4.500% | 3/15/49 | 35,045 | 32,701 | ||
BAT Capital Corp. | 3.557% | 8/15/27 | 63,450 | 57,884 | ||
5 | Cargill Inc. | 6.875% | 5/1/28 | 19,355 | 20,830 | |
5 | Cargill Inc. | 2.125% | ���4/23/30 | 5,265 | 4,368 | |
5 | Cargill Inc. | 4.760% | 11/23/45 | 28,190 | 25,470 | |
5 | CK Hutchison International 20 Ltd. | 3.375% | 5/8/50 | 22,015 | 15,779 | |
5 | Coca-Cola Europacific Partners plc | 0.800% | 5/3/24 | 32,165 | 30,186 | |
2 | Colgate-Palmolive Co. | 7.600% | 5/19/25 | 13,920 | 14,785 | |
Conagra Brands Inc. | 4.600% | 11/1/25 | 7,855 | 7,777 | ||
Conagra Brands Inc. | 1.375% | 11/1/27 | 11,765 | 9,813 | ||
5 | Danone SA | 2.947% | 11/2/26 | 30,550 | 28,460 | |
Diageo Capital plc | 2.625% | 4/29/23 | 48,310 | 47,856 | ||
Diageo Capital plc | 2.375% | 10/24/29 | 20,000 | 17,181 | ||
Diageo Capital plc | 2.000% | 4/29/30 | 5,830 | 4,847 | ||
Diageo Capital plc | 2.125% | 4/29/32 | 1,845 | 1,489 | ||
Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 12,615 | 10,878 | ||
Hormel Foods Corp. | 1.700% | 6/3/28 | 8,125 | 7,045 | ||
Kroger Co. | 3.850% | 8/1/23 | 10,770 | 10,680 | ||
Kroger Co. | 4.000% | 2/1/24 | 22,290 | 22,059 | ||
McCormick & Co. Inc. | 2.500% | 4/15/30 | 3,205 | 2,699 | ||
Molson Coors Beverage Co. | 3.000% | 7/15/26 | 54,900 | 51,542 | ||
Philip Morris International Inc. | 3.600% | 11/15/23 | 7,000 | 6,911 | ||
Philip Morris International Inc. | 3.375% | 8/11/25 | 14,440 | 13,862 | ||
Philip Morris International Inc. | 5.125% | 11/17/27 | 39,385 | 39,474 | ||
Philip Morris International Inc. | 5.625% | 11/17/29 | 39,305 | 39,964 | ||
Philip Morris International Inc. | 5.750% | 11/17/32 | 50,815 | 52,339 | ||
Philip Morris International Inc. | 4.875% | 11/15/43 | 6,185 | 5,368 | ||
5 | Sigma Alimentos SA de CV | 4.125% | 5/2/26 | 14,750 | 13,969 | |
769,514 | ||||||
Energy (0.9%) | ||||||
BP Capital Markets America Inc. | 1.749% | 8/10/30 | 12,780 | 10,335 | ||
BP Capital Markets America Inc. | 2.721% | 1/12/32 | 42,755 | 36,319 | ||
BP Capital Markets America Inc. | 3.060% | 6/17/41 | 20,000 | 15,211 | ||
BP Capital Markets America Inc. | 2.772% | 11/10/50 | 11,870 | 7,900 | ||
BP Capital Markets America Inc. | 2.939% | 6/4/51 | 30,385 | 20,754 | ||
BP Capital Markets America Inc. | 3.001% | 3/17/52 | 68,790 | 47,158 | ||
BP Capital Markets America Inc. | 3.379% | 2/8/61 | 12,750 | 9,060 | ||
Eastern Gas Transmission & Storage Inc. | 3.000% | 11/15/29 | 19,580 | 17,101 | ||
2 | Eastern Gas Transmission & Storage Inc. | 4.800% | 11/1/43 | 4,185 | 3,610 | |
2 | Eastern Gas Transmission & Storage Inc. | 4.600% | 12/15/44 | 24,863 | 20,770 | |
5 | EIG Pearl Holdings Sarl | 3.545% | 8/31/36 | 43,005 | 35,879 | |
5 | EIG Pearl Holdings Sarl | 4.387% | 11/30/46 | 16,115 | 12,119 | |
Energy Transfer LP | 5.250% | 4/15/29 | 40,000 | 38,968 | ||
Energy Transfer LP | 5.350% | 5/15/45 | 3,500 | 3,044 | ||
Energy Transfer LP | 5.300% | 4/15/47 | 5,745 | 4,911 | ||
Energy Transfer LP | 5.400% | 10/1/47 | 750 | 649 | ||
Energy Transfer LP | 5.000% | 5/15/50 | 10,000 | 8,241 | ||
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 9,720 | 8,934 | ||
Enterprise Products Operating LLC | 3.700% | 1/31/51 | 5,935 | 4,408 | ||
Enterprise Products Operating LLC | 3.300% | 2/15/53 | 15,000 | 10,337 | ||
Exxon Mobil Corp. | 2.726% | 3/1/23 | 11,910 | 11,852 | ||
Exxon Mobil Corp. | 3.043% | 3/1/26 | 8,115 | 7,777 | ||
Exxon Mobil Corp. | 2.275% | 8/16/26 | 36,735 | 34,307 | ||
Exxon Mobil Corp. | 2.440% | 8/16/29 | 25,195 | 22,285 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Exxon Mobil Corp. | 2.610% | 10/15/30 | 35,925 | 31,720 | ||
Exxon Mobil Corp. | 4.114% | 3/1/46 | 12,060 | 10,574 | ||
5 | Galaxy Pipeline Assets Bidco Ltd. | 2.160% | 3/31/34 | 47,568 | 40,214 | |
5 | Galaxy Pipeline Assets Bidco Ltd. | 2.940% | 9/30/40 | 42,990 | 34,369 | |
Plains All American Pipeline LP | 3.850% | 10/15/23 | 36,775 | 36,276 | ||
5 | Schlumberger Holdings Corp. | 3.900% | 5/17/28 | 31,025 | 29,307 | |
Schlumberger Investment SA | 3.650% | 12/1/23 | 44,520 | 44,028 | ||
Shell International Finance BV | 3.250% | 5/11/25 | 11,051 | 10,750 | ||
Shell International Finance BV | 4.125% | 5/11/35 | 43,465 | 40,861 | ||
Shell International Finance BV | 5.500% | 3/25/40 | 12,990 | 13,548 | ||
Shell International Finance BV | 2.875% | 11/26/41 | 15,000 | 11,196 | ||
Shell International Finance BV | 4.375% | 5/11/45 | 96,700 | 86,811 | ||
Shell International Finance BV | 4.000% | 5/10/46 | 10,000 | 8,455 | ||
Shell International Finance BV | 3.000% | 11/26/51 | 52,435 | 36,971 | ||
Suncor Energy Inc. | 5.950% | 12/1/34 | 20,700 | 20,750 | ||
TotalEnergies Capital International SA | 2.700% | 1/25/23 | 36,510 | 36,380 | ||
TotalEnergies Capital International SA | 3.750% | 4/10/24 | 41,500 | 40,984 | ||
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 47,256 | 46,943 | ||
TransCanada PipeLines Ltd. | 4.100% | 4/15/30 | 7,125 | 6,664 | ||
978,730 | ||||||
Financials (8.9%) | ||||||
ACE Capital Trust II | 9.700% | 4/1/30 | 20,000 | 24,696 | ||
AerCap Ireland Capital DAC | 3.000% | 10/29/28 | 15,230 | 12,787 | ||
AerCap Ireland Capital DAC | 3.300% | 1/30/32 | 3,550 | 2,805 | ||
AerCap Ireland Capital DAC | 3.400% | 10/29/33 | 9,080 | 6,981 | ||
5 | AIA Group Ltd. | 3.600% | 4/9/29 | 50,475 | 46,330 | |
5 | AIA Group Ltd. | 3.375% | 4/7/30 | 12,460 | 11,116 | |
American International Group Inc. | 6.250% | 5/1/36 | 7,775 | 8,360 | ||
American International Group Inc. | 4.800% | 7/10/45 | 10,680 | 9,665 | ||
American International Group Inc. | 4.750% | 4/1/48 | 21,995 | 19,952 | ||
American International Group Inc. | 4.375% | 6/30/50 | 12,500 | 10,819 | ||
Ameriprise Financial Inc. | 4.500% | 5/13/32 | 11,845 | 11,668 | ||
Aon Corp. | 2.850% | 5/28/27 | 18,870 | 17,329 | ||
5 | Athene Global Funding | 1.000% | 4/16/24 | 22,095 | 20,667 | |
5 | Athene Global Funding | 1.985% | 8/19/28 | 290 | 236 | |
5 | Athene Global Funding | 2.717% | 1/7/29 | 33,350 | 27,758 | |
5 | Australia & New Zealand Banking Group Ltd. | 2.570% | 11/25/35 | 22,135 | 16,080 | |
5 | Aviation Capital Group LLC | 1.950% | 9/20/26 | 14,298 | 12,063 | |
5 | Avolon Holdings Funding Ltd. | 2.528% | 11/18/27 | 4,730 | 3,803 | |
Banco Santander SA | 3.125% | 2/23/23 | 28,400 | 28,253 | ||
Banco Santander SA | 3.848% | 4/12/23 | 16,400 | 16,312 | ||
Banco Santander SA | 1.849% | 3/25/26 | 14,000 | 12,362 | ||
Banco Santander SA | 2.749% | 12/3/30 | 15,600 | 11,717 | ||
Banco Santander SA | 2.958% | 3/25/31 | 10,000 | 7,900 | ||
2 | Bank of America Corp. | 3.500% | 4/19/26 | 10,000 | 9,592 | |
2 | Bank of America Corp. | 3.559% | 4/23/27 | 86,705 | 81,834 | |
2 | Bank of America Corp. | 3.593% | 7/21/28 | 47,950 | 44,469 | |
2 | Bank of America Corp. | 3.419% | 12/20/28 | 8,681 | 7,918 | |
2 | Bank of America Corp. | 4.271% | 7/23/29 | 74,365 | 69,992 | |
2 | Bank of America Corp. | 3.974% | 2/7/30 | 120,185 | 110,530 | |
2 | Bank of America Corp. | 3.194% | 7/23/30 | 35,285 | 30,778 | |
2 | Bank of America Corp. | 2.496% | 2/13/31 | 50,870 | 41,901 | |
Bank of America Corp. | 2.572% | 10/20/32 | 17,275 | 13,758 | ||
Bank of America Corp. | 5.015% | 7/22/33 | 25,000 | 24,154 | ||
Bank of America Corp. | 3.846% | 3/8/37 | 53,115 | 44,774 | ||
2 | Bank of America Corp. | 5.875% | 2/7/42 | 9,965 | 10,387 | |
Bank of America Corp. | 3.311% | 4/22/42 | 55,635 | 42,129 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Bank of America Corp. | 5.000% | 1/21/44 | 39,433 | 37,153 | |
2 | Bank of America Corp. | 3.946% | 1/23/49 | 5,380 | 4,343 | |
2 | Bank of America Corp. | 4.330% | 3/15/50 | 78,120 | 66,474 | |
Bank of America Corp. | 2.972% | 7/21/52 | 65,950 | 43,430 | ||
2 | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 27,990 | 27,042 | |
Bank of New York Mellon Corp. | 5.834% | 10/25/33 | 18,540 | 19,523 | ||
Bank of Nova Scotia | 2.700% | 8/3/26 | 63,160 | 58,786 | ||
Bank of Nova Scotia | 1.950% | 2/2/27 | 12,470 | 11,133 | ||
5 | Banque Federative du Credit Mutuel SA | 1.604% | 10/4/26 | 34,305 | 29,881 | |
2 | Barclays plc | 3.932% | 5/7/25 | 55,605 | 53,640 | |
2 | Barclays plc | 2.852% | 5/7/26 | 9,975 | 9,196 | |
Barclays plc | 2.279% | 11/24/27 | 14,930 | 12,857 | ||
Barclays plc | 2.667% | 3/10/32 | 44,170 | 33,822 | ||
Barclays plc | 2.894% | 11/24/32 | 20,000 | 15,317 | ||
Barclays plc | 3.330% | 11/24/42 | 37,170 | 25,734 | ||
6 | Barclays plc, 3M USD LIBOR + 1.380% | 6.024% | 5/16/24 | 36,385 | 36,126 | |
Berkshire Hathaway Finance Corp. | 2.875% | 3/15/32 | 9,700 | 8,570 | ||
BlackRock Inc. | 2.100% | 2/25/32 | 29,005 | 23,574 | ||
5 | Blackstone Holdings Finance Co. LLC | 2.550% | 3/30/32 | 22,680 | 18,163 | |
2 | BNP Paribas SA | 3.250% | 3/3/23 | 7,620 | 7,590 | |
5 | BNP Paribas SA | 3.800% | 1/10/24 | 25,780 | 25,334 | |
5 | BNP Paribas SA | 3.375% | 1/9/25 | 60,670 | 58,308 | |
5 | BNP Paribas SA | 2.819% | 11/19/25 | 45,685 | 42,976 | |
5 | BNP Paribas SA | 1.323% | 1/13/27 | 18,995 | 16,575 | |
5 | BNP Paribas SA | 3.500% | 11/16/27 | 69,325 | 63,164 | |
5 | BNP Paribas SA | 2.591% | 1/20/28 | 35,220 | 30,896 | |
5 | BNP Paribas SA | 2.159% | 9/15/29 | 31,165 | 25,408 | |
5 | BNP Paribas SA | 2.871% | 4/19/32 | 26,985 | 21,316 | |
5 | BPCE SA | 5.700% | 10/22/23 | 6,225 | 6,162 | |
BPCE SA | 4.000% | 4/15/24 | 30,615 | 30,090 | ||
5 | BPCE SA | 5.150% | 7/21/24 | 43,790 | 42,893 | |
5 | BPCE SA | 2.045% | 10/19/27 | 25,245 | 21,660 | |
5 | BPCE SA | 3.500% | 10/23/27 | 64,230 | 57,743 | |
5 | BPCE SA | 2.700% | 10/1/29 | 50,000 | 42,103 | |
5 | Brighthouse Financial Global Funding | 1.000% | 4/12/24 | 2,425 | 2,277 | |
5 | Brighthouse Financial Global Funding | 1.750% | 1/13/25 | 16,910 | 15,574 | |
5 | Brighthouse Financial Global Funding | 1.550% | 5/24/26 | 20,210 | 17,651 | |
5 | Brighthouse Financial Global Funding | 2.000% | 6/28/28 | 16,275 | 13,570 | |
5 | Canadian Imperial Bank of Commerce | 1.150% | 7/8/26 | 33,885 | 29,907 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 55,460 | 54,369 | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 24,185 | 23,246 | ||
Charles Schwab Corp. | 0.750% | 3/18/24 | 30,130 | 28,618 | ||
Charles Schwab Corp. | 3.200% | 3/2/27 | 19,665 | 18,596 | ||
Charles Schwab Corp. | 2.000% | 3/20/28 | 27,375 | 24,234 | ||
Charles Schwab Corp. | 2.900% | 3/3/32 | 50,765 | 43,626 | ||
Chubb Corp. | 6.000% | 5/11/37 | 50,000 | 53,650 | ||
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 22,345 | 21,926 | ||
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 29,835 | 26,481 | ||
Citigroup Inc. | 0.981% | 5/1/25 | 32,820 | 30,612 | ||
Citigroup Inc. | 1.462% | 6/9/27 | 66,630 | 58,005 | ||
2 | Citigroup Inc. | 3.070% | 2/24/28 | 65,000 | 59,133 | |
Citigroup Inc. | 4.125% | 7/25/28 | 14,550 | 13,755 | ||
2 | Citigroup Inc. | 3.520% | 10/27/28 | 72,550 | 66,599 | |
2 | Citigroup Inc. | 3.878% | 1/24/39 | 37,030 | 31,168 | |
Citigroup Inc. | 2.904% | 11/3/42 | 19,370 | 13,606 | ||
5 | CNO Global Funding | 1.650% | 1/6/25 | 8,725 | 8,083 | |
5 | CNO Global Funding | 2.650% | 1/6/29 | 12,585 | 10,689 | |
5 | Commonwealth Bank of Australia | 2.688% | 3/11/31 | 74,015 | 56,675 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Commonwealth Bank of Australia | 3.784% | 3/14/32 | 9,885 | 8,118 | |
5 | Cooperatieve Rabobank UA | 1.106% | 2/24/27 | 46,710 | 40,494 | |
5 | Cooperatieve Rabobank UA | 4.655% | 8/22/28 | 30,335 | 29,265 | |
5 | Corebridge Financial Inc. | 3.900% | 4/5/32 | 25,012 | 22,058 | |
5 | Corebridge Financial Inc. | 4.350% | 4/5/42 | 2,760 | 2,266 | |
5 | Corebridge Financial Inc. | 4.400% | 4/5/52 | 27,235 | 21,954 | |
5 | Credit Agricole SA | 3.750% | 4/24/23 | 31,675 | 31,472 | |
5 | Credit Agricole SA | 3.250% | 10/4/24 | 71,600 | 69,134 | |
Credit Suisse Group AG | 3.750% | 3/26/25 | 67,850 | 60,132 | ||
5 | Credit Suisse Group AG | 2.593% | 9/11/25 | 17,585 | 15,686 | |
5 | Credit Suisse Group AG | 1.305% | 2/2/27 | 14,940 | 11,866 | |
5 | Credit Suisse Group AG | 3.869% | 1/12/29 | 10,980 | 8,829 | |
5 | Credit Suisse Group AG | 3.091% | 5/14/32 | 59,185 | 40,207 | |
5 | Credit Suisse Group AG | 6.537% | 8/12/33 | 28,540 | 24,555 | |
5 | Danske Bank A/S | 3.875% | 9/12/23 | 46,290 | 45,612 | |
5 | Danske Bank A/S | 5.375% | 1/12/24 | 28,240 | 28,071 | |
5 | Danske Bank A/S | 1.621% | 9/11/26 | 28,990 | 25,211 | |
5 | Danske Bank A/S | 1.549% | 9/10/27 | 55,460 | 47,551 | |
5 | DNB Bank ASA | 1.535% | 5/25/27 | 44,030 | 38,387 | |
5 | DNB Bank ASA | 1.605% | 3/30/28 | 45,870 | 39,014 | |
5 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 10,395 | �� 9,417 | |
5 | Equitable Financial Life Global Funding | 1.300% | 7/12/26 | 26,755 | 23,422 | |
5 | Equitable Financial Life Global Funding | 1.700% | 11/12/26 | 12,440 | 10,964 | |
5 | Equitable Financial Life Global Funding | 1.400% | 8/27/27 | 18,220 | 15,402 | |
5 | Equitable Financial Life Global Funding | 1.800% | 3/8/28 | 28,220 | 23,720 | |
5 | Farmers Exchange Capital | 7.050% | 7/15/28 | 25,000 | 25,813 | |
Fifth Third Bancorp | 4.055% | 4/25/28 | 15,040 | 14,122 | ||
Fifth Third Bancorp | 4.337% | 4/25/33 | 40,175 | 36,569 | ||
5 | Five Corners Funding Trust | 4.419% | 11/15/23 | 5,935 | 5,883 | |
5 | Five Corners Funding Trust II | 2.850% | 5/15/30 | 30,000 | 25,406 | |
5 | GA Global Funding Trust | 1.000% | 4/8/24 | 21,750 | 20,327 | |
Globe Life Inc. | 7.875% | 5/15/23 | 45,000 | 45,443 | ||
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 35,320 | 35,256 | ||
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 17,545 | 17,059 | ||
2 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 46,260 | 44,549 | |
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 17,980 | 17,284 | ||
Goldman Sachs Group Inc. | 1.431% | 3/9/27 | 60,000 | 52,767 | ||
Goldman Sachs Group Inc. | 1.542% | 9/10/27 | 97,685 | 84,418 | ||
2 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 20,055 | 18,767 | |
2 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 23,795 | 21,903 | |
2 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 67,740 | 63,588 | |
Goldman Sachs Group Inc. | 3.800% | 3/15/30 | 23,040 | 20,966 | ||
Goldman Sachs Group Inc. | 1.992% | 1/27/32 | 30,600 | 23,649 | ||
Goldman Sachs Group Inc. | 2.615% | 4/22/32 | 88,125 | 71,191 | ||
Goldman Sachs Group Inc. | 2.383% | 7/21/32 | 67,160 | 53,121 | ||
Goldman Sachs Group Inc. | 2.650% | 10/21/32 | 14,050 | 11,276 | ||
Goldman Sachs Group Inc. | 3.102% | 2/24/33 | 58,620 | 48,689 | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 43,995 | 47,656 | ||
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 20,135 | 21,675 | ||
2 | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 25,675 | 23,703 | |
5 | Guardian Life Global Funding | 1.250% | 5/13/26 | 6,735 | 5,959 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 60,200 | 59,847 | ||
HSBC Holdings plc | 0.976% | 5/24/25 | 10,150 | 9,344 | ||
HSBC Holdings plc | 1.589% | 5/24/27 | 25,850 | 22,158 | ||
HSBC Holdings plc | 2.251% | 11/22/27 | 74,610 | 64,346 | ||
2 | HSBC Holdings plc | 4.041% | 3/13/28 | 21,805 | 20,007 | |
HSBC Holdings plc | 7.390% | 11/3/28 | 36,196 | 37,962 | ||
2 | HSBC Holdings plc | 4.583% | 6/19/29 | 40,480 | 37,231 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
HSBC Holdings plc | 2.206% | 8/17/29 | 53,960 | 43,590 | ||
2 | HSBC Holdings plc | 2.357% | 8/18/31 | 54,320 | 41,568 | |
HSBC Holdings plc | 2.804% | 5/24/32 | 50,910 | 39,426 | ||
HSBC Holdings plc | 2.871% | 11/22/32 | 52,995 | 40,466 | ||
HSBC Holdings plc | 6.500% | 5/2/36 | 25,000 | 25,149 | ||
HSBC Holdings plc | 6.100% | 1/14/42 | 40,665 | 41,948 | ||
HSBC Holdings plc | 5.250% | 3/14/44 | 13,210 | 11,576 | ||
6 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 5.674% | 5/18/24 | 26,340 | 26,147 | |
Huntington National Bank | 4.552% | 5/17/28 | 11,240 | 10,930 | ||
ING Groep NV | 3.950% | 3/29/27 | 44,565 | 42,268 | ||
ING Groep NV | 1.726% | 4/1/27 | 16,075 | 14,164 | ||
Intercontinental Exchange Inc. | 4.350% | 6/15/29 | 8,575 | 8,461 | ||
Intercontinental Exchange Inc. | 1.850% | 9/15/32 | 26,030 | 20,002 | ||
Intercontinental Exchange Inc. | 4.600% | 3/15/33 | 38,595 | 37,491 | ||
Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 5,860 | 4,188 | ||
Intercontinental Exchange Inc. | 3.000% | 6/15/50 | 55,205 | 38,581 | ||
Intercontinental Exchange Inc. | 4.950% | 6/15/52 | 74,200 | 71,565 | ||
5 | JAB Holdings BV | 2.200% | 11/23/30 | 9,385 | 7,101 | |
5 | JAB Holdings BV | 3.750% | 5/28/51 | 19,275 | 11,372 | |
5 | JAB Holdings BV | 4.500% | 4/8/52 | 31,940 | 21,597 | |
5 | Jackson National Life Global Funding | 3.250% | 1/30/24 | 24,070 | 23,460 | |
5 | Jackson National Life Global Funding | 1.750% | 1/12/25 | 18,915 | 17,544 | |
5 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 18,890 | 20,481 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 15,450 | 15,356 | ||
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 39,000 | 38,637 | ||
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 13,870 | 13,672 | ||
JPMorgan Chase & Co. | 2.069% | 6/1/29 | 42,085 | 35,423 | ||
2 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 64,735 | 61,523 | |
2 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 16,000 | 14,547 | |
JPMorgan Chase & Co. | 2.580% | 4/22/32 | 58,675 | 47,667 | ||
JPMorgan Chase & Co. | 4.586% | 4/26/33 | 30,000 | 28,231 | ||
JPMorgan Chase & Co. | 4.912% | 7/25/33 | 49,530 | 47,797 | ||
JPMorgan Chase & Co. | 5.717% | 9/14/33 | 10,140 | 9,996 | ||
2 | JPMorgan Chase & Co. | 3.109% | 4/22/41 | 19,440 | 14,545 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 96,000 | 98,616 | ||
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 18,035 | 18,237 | ||
JPMorgan Chase & Co. | 3.157% | 4/22/42 | 50,000 | 37,157 | ||
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 16,100 | 16,437 | ||
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 15,000 | 13,896 | ||
2 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 159,600 | 129,171 | |
2 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 19,885 | 13,768 | |
5 | Liberty Mutual Group Inc. | 4.250% | 6/15/23 | 3,160 | 3,131 | |
5 | Liberty Mutual Group Inc. | 4.569% | 2/1/29 | 14,170 | 13,238 | |
5 | Liberty Mutual Group Inc. | 5.500% | 6/15/52 | 26,870 | 24,160 | |
5 | Liberty Mutual Insurance Co. | 7.875% | 10/15/26 | 31,210 | 33,118 | |
5 | LSEGA Financing plc | 1.375% | 4/6/26 | 56,790 | 50,287 | |
5 | LSEGA Financing plc | 2.000% | 4/6/28 | 24,615 | 21,108 | |
5 | LSEGA Financing plc | 2.500% | 4/6/31 | 44,330 | 37,310 | |
5 | Macquarie Group Ltd. | 4.150% | 3/27/24 | 49,500 | 49,225 | |
5 | Macquarie Group Ltd. | 1.935% | 4/14/28 | 42,835 | 36,042 | |
5 | Macquarie Group Ltd. | 2.871% | 1/14/33 | 59,895 | 46,052 | |
2 | Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 24,685 | 23,646 | |
Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 23,405 | 22,845 | ||
Marsh & McLennan Cos. Inc. | 4.900% | 3/15/49 | 10,915 | 10,209 | ||
Marsh & McLennan Cos. Inc. | 2.900% | 12/15/51 | 20,255 | 13,313 | ||
5 | Massachusetts Mutual Life Insurance Co. | 3.200% | 12/1/61 | 30,000 | 18,611 | |
MetLife Inc. | 3.600% | 4/10/24 | 35,035 | 34,370 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
MetLife Inc. | 4.125% | 8/13/42 | 15,565 | 13,428 | ||
MetLife Inc. | 4.875% | 11/13/43 | 17,000 | 16,037 | ||
MetLife Inc. | 5.000% | 7/15/52 | 15,634 | 15,119 | ||
5 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 23,660 | 22,272 | |
5 | Metropolitan Life Global Funding I | 4.400% | 6/30/27 | 9,910 | 9,698 | |
5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 21,455 | 19,651 | |
5 | Metropolitan Life Global Funding I | 4.300% | 8/25/29 | 15,345 | 14,625 | |
5 | Metropolitan Life Global Funding I | 2.400% | 1/11/32 | 53,825 | 43,765 | |
Mitsubishi UFJ Financial Group Inc. | 5.017% | 7/20/28 | 31,915 | 31,324 | ||
2 | Morgan Stanley | 3.875% | 4/29/24 | 97,010 | 95,448 | |
2 | Morgan Stanley | 3.700% | 10/23/24 | 29,050 | 28,432 | |
Morgan Stanley | 0.790% | 5/30/25 | 42,545 | 39,404 | ||
2 | Morgan Stanley | 2.720% | 7/22/25 | 53,860 | 51,361 | |
2 | Morgan Stanley | 4.000% | 7/23/25 | 29,455 | 28,852 | |
Morgan Stanley | 2.630% | 2/18/26 | 61,765 | 58,097 | ||
2 | Morgan Stanley | 3.125% | 7/27/26 | 11,435 | 10,731 | |
2 | Morgan Stanley | 6.250% | 8/9/26 | 20,000 | 21,207 | |
Morgan Stanley | 3.625% | 1/20/27 | 60,000 | 57,060 | ||
2 | Morgan Stanley | 3.772% | 1/24/29 | 56,905 | 52,514 | |
2 | Morgan Stanley | 2.699% | 1/22/31 | 74,290 | 62,400 | |
2 | Morgan Stanley | 1.928% | 4/28/32 | 50,000 | 38,316 | |
2 | Morgan Stanley | 2.239% | 7/21/32 | 81,175 | 63,310 | |
2 | Morgan Stanley | 2.511% | 10/20/32 | 36,580 | 29,094 | |
Morgan Stanley | 2.943% | 1/21/33 | 31,555 | 25,861 | ||
Morgan Stanley | 2.484% | 9/16/36 | 43,080 | 31,962 | ||
Morgan Stanley | 4.300% | 1/27/45 | 18,360 | 15,897 | ||
Nasdaq Inc. | 3.950% | 3/7/52 | 18,120 | 14,273 | ||
National Australia Bank Ltd. | 3.905% | 6/9/27 | 33,500 | 32,392 | ||
5 | National Australia Bank Ltd. | 2.332% | 8/21/30 | 75,550 | 57,552 | |
5 | National Australia Bank Ltd. | 2.990% | 5/21/31 | 62,492 | 48,975 | |
5 | National Australia Bank Ltd. | 3.347% | 1/12/37 | 38,825 | 29,359 | |
5 | National Securities Clearing Corp. | 5.100% | 11/21/27 | 52,090 | 52,929 | |
5 | Nationwide Financial Services Inc. | 3.900% | 11/30/49 | 48,905 | 34,927 | |
5 | Nationwide Mutual Insurance Co. | 4.350% | 4/30/50 | 41,675 | 31,693 | |
NatWest Group plc | 1.642% | 6/14/27 | 29,040 | 24,944 | ||
5 | NatWest Markets plc | 0.800% | 8/12/24 | 22,050 | 20,374 | |
5 | NBK SPC Ltd. | 1.625% | 9/15/27 | 67,900 | 59,524 | |
5 | New York Life Global Funding | 2.900% | 1/17/24 | 29,050 | 28,403 | |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 55,395 | 57,503 | |
5 | New York Life Insurance Co. | 3.750% | 5/15/50 | 9,245 | 7,168 | |
5 | New York Life Insurance Co. | 4.450% | 5/15/69 | 15,270 | 12,737 | |
5 | Nordea Bank Abp | 1.500% | 9/30/26 | 65,800 | 56,948 | |
5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 30,684 | 23,897 | |
5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 9,324 | 6,567 | |
5 | Pacific Life Global Funding II | 1.375% | 4/14/26 | 27,085 | 24,031 | |
5 | Pacific LifeCorp | 5.400% | 9/15/52 | 18,030 | 17,278 | |
5 | Penske Truck Leasing Co. LP | 3.450% | 7/1/24 | 16,420 | 15,845 | |
5 | Penske Truck Leasing Co. LP | 2.700% | 11/1/24 | 10,220 | 9,638 | |
5 | Penske Truck Leasing Co. LP | 3.950% | 3/10/25 | 52,010 | 50,079 | |
5 | Penske Truck Leasing Co. LP | 4.450% | 1/29/26 | 16,450 | 15,909 | |
5 | Penske Truck Leasing Co. LP | 5.875% | 11/15/27 | 45,805 | 46,226 | |
2 | PNC Bank NA | 3.300% | 10/30/24 | 18,195 | 17,684 | |
2 | PNC Bank NA | 4.200% | 11/1/25 | 16,650 | 16,319 | |
2 | PNC Bank NA | 3.100% | 10/25/27 | 41,975 | 39,436 | |
2 | PNC Bank NA | 3.250% | 1/22/28 | 60,465 | 56,446 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 41,565 | 41,026 | ||
PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 54,405 | 46,243 | ||
PNC Financial Services Group Inc. | 6.037% | 10/28/33 | 3,550 | 3,730 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Principal Life Global Funding II | 2.500% | 9/16/29 | 25,000 | 21,173 | |
5 | Protective Life Global Funding | 4.714% | 7/6/27 | 18,335 | 17,915 | |
5 | RGA Global Funding | 2.700% | 1/18/29 | 14,330 | 12,277 | |
Santander Holdings USA Inc. | 3.400% | 1/18/23 | 20,375 | 20,341 | ||
5 | Standard Chartered plc | 1.214% | 3/23/25 | 6,465 | 6,045 | |
5 | Sumitomo Mitsui Trust Bank Ltd. | 0.850% | 3/25/24 | 58,195 | 54,898 | |
5 | Svenska Handelsbanken AB | 1.418% | 6/11/27 | 62,395 | 54,824 | |
5 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 32,380 | 30,021 | |
5 | Teachers Insurance & Annuity Association of America | 4.270% | 5/15/47 | 42,390 | 35,755 | |
Toronto-Dominion Bank | 4.456% | 6/8/32 | 13,271 | 12,707 | ||
2 | Truist Bank | 3.300% | 5/15/26 | 12,895 | 12,099 | |
2 | Truist Financial Corp. | 2.200% | 3/16/23 | 31,045 | 30,814 | |
2 | Truist Financial Corp. | 3.700% | 6/5/25 | 49,000 | 47,702 | |
2 | Truist Financial Corp. | 1.950% | 6/5/30 | 22,005 | 17,943 | |
5 | UBS AG | 1.250% | 6/1/26 | 36,125 | 31,643 | |
5 | UBS Group AG | 1.494% | 8/10/27 | 40,005 | 34,405 | |
5 | UBS Group AG | 3.126% | 8/13/30 | 16,000 | 13,641 | |
5 | UBS Group AG | 2.095% | 2/11/32 | 23,650 | 17,928 | |
5 | UBS Group AG | 2.746% | 2/11/33 | 37,160 | 29,042 | |
5 | UBS Group AG | 3.179% | 2/11/43 | 36,770 | 24,636 | |
5 | UniCredit SpA | 1.982% | 6/3/27 | 35,165 | 29,763 | |
5 | UniCredit SpA | 3.127% | 6/3/32 | 38,145 | 28,914 | |
2 | US Bancorp | 3.700% | 1/30/24 | 52,500 | 51,884 | |
2 | US Bancorp | 2.677% | 1/27/33 | 65,020 | 53,793 | |
US Bancorp | 4.967% | 7/22/33 | 27,955 | 26,636 | ||
US Bancorp | 2.491% | 11/3/36 | 64,150 | 49,733 | ||
Wells Fargo & Co. | 4.480% | 1/16/24 | 46,156 | 45,940 | ||
2 | Wells Fargo & Co. | 3.750% | 1/24/24 | 50,755 | 50,069 | |
2 | Wells Fargo & Co. | 3.550% | 9/29/25 | 32,170 | 31,168 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 39,405 | 37,053 | ||
2 | Wells Fargo & Co. | 3.196% | 6/17/27 | 60,555 | 56,375 | |
2 | Wells Fargo & Co. | 3.526% | 3/24/28 | 19,500 | 18,119 | |
2 | Wells Fargo & Co. | 2.879% | 10/30/30 | 15,000 | 12,914 | |
2 | Wells Fargo & Co. | 2.572% | 2/11/31 | 76,020 | 63,733 | |
2 | Wells Fargo & Co. | 3.350% | 3/2/33 | 7,970 | 6,815 | |
2 | Wells Fargo & Co. | 4.897% | 7/25/33 | 100,785 | 97,112 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 71,831 | 70,270 | ||
2 | Wells Fargo & Co. | 4.650% | 11/4/44 | 10,315 | 8,979 | |
2 | Wells Fargo & Co. | 4.900% | 11/17/45 | 19,160 | 16,908 | |
2 | Wells Fargo & Co. | 4.400% | 6/14/46 | 73,300 | 60,029 | |
2 | Wells Fargo & Co. | 4.750% | 12/7/46 | 23,150 | 19,874 | |
2 | Wells Fargo & Co. | 4.611% | 4/25/53 | 84,025 | 74,626 | |
9,464,500 | ||||||
Health Care (2.2%) | ||||||
AbbVie Inc. | 3.800% | 3/15/25 | 15,725 | 15,397 | ||
AbbVie Inc. | 4.300% | 5/14/36 | 5,120 | 4,745 | ||
AbbVie Inc. | 4.050% | 11/21/39 | 3,550 | 3,102 | ||
2 | AdventHealth Obligated Group | 2.795% | 11/15/51 | 30,030 | 19,321 | |
2 | Advocate Health & Hospitals Corp. | 2.211% | 6/15/30 | 7,210 | 5,971 | |
2 | Advocate Health & Hospitals Corp. | 3.008% | 6/15/50 | 8,980 | 6,082 | |
Aetna Inc. | 2.800% | 6/15/23 | 25,660 | 25,341 | ||
5 | Alcon Finance Corp. | 2.750% | 9/23/26 | 5,830 | 5,359 | |
5 | Alcon Finance Corp. | 2.600% | 5/27/30 | 5,665 | 4,786 | |
4,5 | Alcon Finance Corp. | 5.375% | 12/6/32 | 8,550 | 8,613 | |
5 | Alcon Finance Corp. | 3.800% | 9/23/49 | 22,830 | 17,288 | |
4,5 | Alcon Finance Corp. | 5.750% | 12/6/52 | 3,290 | 3,332 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
AmerisourceBergen Corp. | 0.737% | 3/15/23 | 24,926 | 24,615 | ||
2 | Ascension Health | 2.532% | 11/15/29 | 22,515 | 19,503 | |
2 | Ascension Health | 4.847% | 11/15/53 | 23,970 | 22,971 | |
AstraZeneca plc | 4.000% | 1/17/29 | 47,000 | 45,680 | ||
AstraZeneca plc | 6.450% | 9/15/37 | 23,385 | 26,662 | ||
Banner Health | 2.907% | 1/1/42 | 29,965 | 21,922 | ||
Baxter International Inc. | 2.272% | 12/1/28 | 27,495 | 23,761 | ||
Baxter International Inc. | 1.730% | 4/1/31 | 18,239 | 14,063 | ||
5 | Bayer US Finance II LLC | 4.250% | 12/15/25 | 46,665 | 45,256 | |
5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 33,220 | 32,136 | |
2 | Beth Israel Lahey Health Inc. | 3.080% | 7/1/51 | 8,555 | 5,472 | |
2 | Bon Secours Mercy Health Inc. | 4.302% | 7/1/28 | 20,339 | 19,666 | |
2 | Bon Secours Mercy Health Inc. | 3.464% | 6/1/30 | 17,085 | 15,425 | |
2 | Bon Secours Mercy Health Inc. | 2.095% | 6/1/31 | 11,305 | 8,958 | |
Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 4,553 | 4,535 | ||
Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 9,588 | 8,982 | ||
Bristol-Myers Squibb Co. | 2.950% | 3/15/32 | 3,970 | 3,521 | ||
Bristol-Myers Squibb Co. | 4.125% | 6/15/39 | 17,720 | 16,134 | ||
Bristol-Myers Squibb Co. | 3.550% | 3/15/42 | 41,245 | 34,391 | ||
Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 5,703 | 5,284 | ||
Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 20,963 | 18,662 | ||
Bristol-Myers Squibb Co. | 3.700% | 3/15/52 | 17,175 | 13,974 | ||
2 | Cedars-Sinai Health System | 2.288% | 8/15/31 | 43,795 | 35,577 | |
2 | Children's Hospital Corp. | 2.585% | 2/1/50 | 5,460 | 3,392 | |
2 | Cigna Corp. | 3.250% | 4/15/25 | 31,655 | 30,626 | |
Cigna Corp. | 4.375% | 10/15/28 | 18,600 | 18,135 | ||
CommonSpirit Health | 4.200% | 8/1/23 | 9,885 | 9,824 | ||
CommonSpirit Health | 2.760% | 10/1/24 | 29,395 | 28,137 | ||
CommonSpirit Health | 3.347% | 10/1/29 | 36,655 | 32,076 | ||
CommonSpirit Health | 2.782% | 10/1/30 | 21,827 | 17,587 | ||
2 | CommonSpirit Health | 4.350% | 11/1/42 | 28,315 | 23,683 | |
CommonSpirit Health | 4.187% | 10/1/49 | 51,788 | 39,875 | ||
CommonSpirit Health | 3.910% | 10/1/50 | 4,370 | 3,200 | ||
2 | Cottage Health Obligated Group | 3.304% | 11/1/49 | 9,875 | 7,090 | |
5 | CSL Finance plc | 4.250% | 4/27/32 | 31,340 | 29,814 | |
5 | CSL Finance plc | 4.750% | 4/27/52 | 3,605 | 3,283 | |
CVS Health Corp. | 4.300% | 3/25/28 | 953 | 926 | ||
CVS Health Corp. | 1.750% | 8/21/30 | 4,940 | 3,940 | ||
CVS Health Corp. | 4.875% | 7/20/35 | 6,900 | 6,619 | ||
CVS Health Corp. | 4.125% | 4/1/40 | 11,570 | 9,753 | ||
Dignity Health | 3.812% | 11/1/24 | 20,780 | 20,267 | ||
Elevance Health Inc. | 3.300% | 1/15/23 | 42,468 | 42,385 | ||
Elevance Health Inc. | 3.650% | 12/1/27 | 26,975 | 25,668 | ||
Elevance Health Inc. | 4.101% | 3/1/28 | 15,910 | 15,390 | ||
Elevance Health Inc. | 2.550% | 3/15/31 | 35,565 | 30,044 | ||
Elevance Health Inc. | 5.500% | 10/15/32 | 17,525 | 18,104 | ||
Elevance Health Inc. | 4.650% | 8/15/44 | 2,876 | 2,613 | ||
Elevance Health Inc. | 6.100% | 10/15/52 | 4,640 | 5,056 | ||
Gilead Sciences Inc. | 3.700% | 4/1/24 | 26,895 | 26,474 | ||
Gilead Sciences Inc. | 3.500% | 2/1/25 | 22,335 | 21,812 | ||
Gilead Sciences Inc. | 2.600% | 10/1/40 | 20,000 | 14,329 | ||
Gilead Sciences Inc. | 4.500% | 2/1/45 | 13,465 | 12,185 | ||
Gilead Sciences Inc. | 4.150% | 3/1/47 | 14,930 | 12,625 | ||
Gilead Sciences Inc. | 2.800% | 10/1/50 | 48,610 | 32,141 | ||
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 45,000 | 47,052 | ||
5 | HCA Inc. | 3.625% | 3/15/32 | 10,560 | 9,042 | |
2 | Indiana University Health Inc. Obligated Group | 2.852% | 11/1/51 | 12,370 | 8,055 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Inova Health System Foundation | 4.068% | 5/15/52 | 20,740 | 17,402 | ||
Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 14,823 | 13,975 | ||
2 | Kaiser Foundation Hospitals | 2.810% | 6/1/41 | 37,455 | 27,521 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 14,250 | 13,714 | ||
2 | Kaiser Foundation Hospitals | 3.002% | 6/1/51 | 36,720 | 25,417 | |
2 | Mass General Brigham Inc. | 3.192% | 7/1/49 | 12,361 | 8,790 | |
2 | Mass General Brigham Inc. | 3.342% | 7/1/60 | 32,045 | 21,465 | |
2 | Memorial Sloan-Kettering Cancer Center | 2.955% | 1/1/50 | 18,985 | 12,732 | |
Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 12,320 | 10,383 | ||
2 | Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 5,910 | 4,914 | |
Merck & Co. Inc. | 3.400% | 3/7/29 | 49,240 | 46,404 | ||
Merck & Co. Inc. | 4.150% | 5/18/43 | 22,090 | 20,122 | ||
Merck & Co. Inc. | 4.000% | 3/7/49 | 52,385 | 46,290 | ||
Novartis Capital Corp. | 3.400% | 5/6/24 | 16,695 | 16,436 | ||
Novartis Capital Corp. | 4.400% | 5/6/44 | 25,896 | 24,637 | ||
OhioHealth Corp. | 2.297% | 11/15/31 | 26,665 | 21,560 | ||
OhioHealth Corp. | 2.834% | 11/15/41 | 16,515 | 11,930 | ||
Pfizer Inc. | 3.450% | 3/15/29 | 70,335 | 66,691 | ||
Pfizer Inc. | 1.700% | 5/28/30 | 6,065 | 5,041 | ||
Pfizer Inc. | 4.100% | 9/15/38 | 53,995 | 50,062 | ||
Pfizer Inc. | 2.550% | 5/28/40 | 7,535 | 5,619 | ||
2 | Piedmont Healthcare Inc. | 2.044% | 1/1/32 | 8,825 | 6,926 | |
2 | Piedmont Healthcare Inc. | 2.719% | 1/1/42 | 8,830 | 6,092 | |
Piedmont Healthcare Inc. | 2.864% | 1/1/52 | 11,725 | 7,430 | ||
2 | Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 17,470 | 14,767 | |
2 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 11,805 | 9,245 | |
2 | Providence St. Joseph Health Obligated Group | 2.700% | 10/1/51 | 39,905 | 23,841 | |
5 | Roche Holdings Inc. | 2.607% | 12/13/51 | 8,330 | 5,591 | |
Royalty Pharma plc | 3.550% | 9/2/50 | 9,555 | 6,394 | ||
2 | Rush Obligated Group | 3.922% | 11/15/29 | 11,880 | 10,852 | |
2 | SSM Health Care Corp. | 3.823% | 6/1/27 | 34,910 | 33,184 | |
2 | Sutter Health | 2.294% | 8/15/30 | 18,345 | 15,128 | |
Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 30,355 | 25,044 | ||
Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 18,255 | 13,727 | ||
Thermo Fisher Scientific Inc. | 1.750% | 10/15/28 | 8,965 | 7,675 | ||
Thermo Fisher Scientific Inc. | 2.000% | 10/15/31 | 19,335 | 15,890 | ||
Thermo Fisher Scientific Inc. | 4.950% | 11/21/32 | 24,125 | 24,724 | ||
Toledo Hospital | 5.750% | 11/15/38 | 18,440 | 17,301 | ||
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 15,350 | 14,701 | ||
UnitedHealth Group Inc. | 3.850% | 6/15/28 | 34,565 | 33,368 | ||
UnitedHealth Group Inc. | 2.000% | 5/15/30 | 7,515 | 6,273 | ||
UnitedHealth Group Inc. | 2.300% | 5/15/31 | 14,960 | 12,527 | ||
UnitedHealth Group Inc. | 4.200% | 5/15/32 | 23,545 | 22,721 | ||
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 9,595 | 9,404 | ||
UnitedHealth Group Inc. | 3.500% | 8/15/39 | 7,480 | 6,207 | ||
UnitedHealth Group Inc. | 2.750% | 5/15/40 | 8,505 | 6,331 | ||
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 67,400 | 60,670 | ||
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 24,520 | 23,376 | ||
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 8,620 | 7,512 | ||
UnitedHealth Group Inc. | 3.750% | 10/15/47 | 4,985 | 4,064 | ||
UnitedHealth Group Inc. | 4.250% | 6/15/48 | 22,215 | 19,502 | ||
UnitedHealth Group Inc. | 4.450% | 12/15/48 | 4,970 | 4,500 | ||
UnitedHealth Group Inc. | 3.700% | 8/15/49 | 23,160 | 18,604 | ||
UnitedHealth Group Inc. | 2.900% | 5/15/50 | 55,870 | 38,774 | ||
UnitedHealth Group Inc. | 3.250% | 5/15/51 | 40,050 | 29,548 | ||
UnitedHealth Group Inc. | 4.750% | 5/15/52 | 7,175 | 6,785 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
UnitedHealth Group Inc. | 5.875% | 2/15/53 | 27,965 | 30,895 | ||
UnitedHealth Group Inc. | 3.875% | 8/15/59 | 19,125 | 15,359 | ||
UnitedHealth Group Inc. | 3.125% | 5/15/60 | 33,830 | 23,559 | ||
Wyeth LLC | 5.950% | 4/1/37 | 25,000 | 27,420 | ||
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 29,000 | 29,499 | ||
2,364,204 | ||||||
Industrials (1.0%) | ||||||
5 | Ashtead Capital Inc. | 2.450% | 8/12/31 | 17,915 | 13,916 | |
5 | BAE Systems Holdings Inc. | 3.850% | 12/15/25 | 11,010 | 10,617 | |
5 | BAE Systems plc | 3.400% | 4/15/30 | 7,335 | 6,554 | |
Boeing Co. | 1.433% | 2/4/24 | 15,490 | 14,779 | ||
Boeing Co. | 2.700% | 2/1/27 | 17,155 | 15,516 | ||
Boeing Co. | 3.625% | 2/1/31 | 24,800 | 21,871 | ||
Boeing Co. | 8.625% | 11/15/31 | 9,460 | 10,957 | ||
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 21,397 | 21,275 | ||
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 20,891 | 20,776 | ||
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 6,000 | 5,582 | ||
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 13,365 | 11,701 | ||
Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 2,715 | 2,334 | ||
Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 9,950 | 7,118 | ||
Burlington Northern Santa Fe LLC | 3.300% | 9/15/51 | 20,000 | 15,029 | ||
Burlington Northern Santa Fe LLC | 2.875% | 6/15/52 | 17,935 | 12,505 | ||
Burlington Northern Santa Fe LLC | 4.450% | 1/15/53 | 6,765 | 6,193 | ||
Canadian National Railway Co. | 2.450% | 5/1/50 | 6,870 | 4,410 | ||
Canadian Pacific Railway Co. | 2.450% | 12/2/31 | 8,735 | 7,294 | ||
Canadian Pacific Railway Co. | 3.100% | 12/2/51 | 31,340 | 22,024 | ||
Carrier Global Corp. | 2.722% | 2/15/30 | 15,418 | 13,160 | ||
Caterpillar Inc. | 3.400% | 5/15/24 | 14,200 | 13,974 | ||
CSX Corp. | 3.350% | 9/15/49 | 5,535 | 4,092 | ||
5 | Daimler Trucks Finance North America LLC | 3.650% | 4/7/27 | 17,489 | 16,263 | |
Deere & Co. | 7.125% | 3/3/31 | 17,500 | 20,454 | ||
Eaton Corp. | 4.150% | 3/15/33 | 25,860 | 24,414 | ||
Eaton Corp. | 4.700% | 8/23/52 | 5,205 | 4,853 | ||
5 | ERAC USA Finance LLC | 5.625% | 3/15/42 | 21,787 | 20,735 | |
Honeywell International Inc. | 5.000% | 2/15/33 | 81,464 | 83,968 | ||
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 52,955 | 52,311 | ||
2 | John Deere Capital Corp. | 3.450% | 3/13/25 | 43,145 | 42,183 | |
2 | Kansas City Southern | 4.950% | 8/15/45 | 16,985 | 15,549 | |
Lockheed Martin Corp. | 1.850% | 6/15/30 | 1,700 | 1,406 | ||
Lockheed Martin Corp. | 5.250% | 1/15/33 | 42,925 | 44,743 | ||
Lockheed Martin Corp. | 4.500% | 5/15/36 | 8,015 | 7,727 | ||
Lockheed Martin Corp. | 4.700% | 5/15/46 | 14,370 | 13,723 | ||
Lockheed Martin Corp. | 4.090% | 9/15/52 | 5,500 | 4,750 | ||
Lockheed Martin Corp. | 5.700% | 11/15/54 | 41,810 | 45,438 | ||
Raytheon Technologies Corp. | 4.125% | 11/16/28 | 16,675 | 16,155 | ||
Raytheon Technologies Corp. | 4.450% | 11/16/38 | 9,325 | 8,590 | ||
5 | Siemens Financieringsmaatschappij NV | 3.125% | 3/16/24 | 61,400 | 60,061 | |
5 | Siemens Financieringsmaatschappij NV | 1.700% | 3/11/28 | 20,360 | 17,494 | |
5 | Siemens Financieringsmaatschappij NV | 2.150% | 3/11/31 | 35,655 | 29,388 | |
5 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 34,365 | 31,239 | |
Teledyne Technologies Inc. | 2.250% | 4/1/28 | 37,435 | 32,383 | ||
Teledyne Technologies Inc. | 2.750% | 4/1/31 | 41,220 | 34,000 | ||
Union Pacific Corp. | 3.700% | 3/1/29 | 17,470 | 16,689 | ||
Union Pacific Corp. | 2.800% | 2/14/32 | 4,025 | 3,512 | ||
Union Pacific Corp. | 3.375% | 2/14/42 | 18,180 | 14,800 | ||
Union Pacific Corp. | 3.250% | 2/5/50 | 5,565 | 4,152 | ||
Union Pacific Corp. | 3.799% | 10/1/51 | 38,061 | 31,364 | ||
Union Pacific Corp. | 3.500% | 2/14/53 | 65,235 | 50,737 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Union Pacific Corp. | 3.839% | 3/20/60 | 29,365 | 23,264 | ||
Union Pacific Corp. | 2.973% | 9/16/62 | 22,015 | 14,604 | ||
Union Pacific Corp. | 3.750% | 2/5/70 | 13,510 | 10,091 | ||
2 | United Airlines Pass-Through Trust Class B Series 2018-1 | 4.600% | 3/1/26 | 4,923 | 4,434 | |
1,063,151 | ||||||
Real Estate (0.4%) | ||||||
American Tower Corp. | 5.000% | 2/15/24 | 2,770 | 2,767 | ||
American Tower Corp. | 4.400% | 2/15/26 | 7,315 | 7,147 | ||
American Tower Corp. | 3.800% | 8/15/29 | 33,804 | 30,946 | ||
Boston Properties LP | 3.125% | 9/1/23 | 13,275 | 13,046 | ||
Boston Properties LP | 3.800% | 2/1/24 | 1,750 | 1,716 | ||
Crown Castle Inc. | 3.650% | 9/1/27 | 10,215 | 9,550 | ||
Crown Castle Inc. | 3.800% | 2/15/28 | 8,435 | 7,882 | ||
Crown Castle Inc. | 2.100% | 4/1/31 | 45,000 | 35,720 | ||
CubeSmart LP | 2.250% | 12/15/28 | 12,135 | 10,046 | ||
Healthpeak Properties Inc. | 2.125% | 12/1/28 | 30,395 | 25,737 | ||
Healthpeak Properties Inc. | 3.000% | 1/15/30 | 31,475 | 27,161 | ||
Realty Income Corp. | 3.400% | 1/15/28 | 5,900 | 5,459 | ||
Realty Income Corp. | 2.200% | 6/15/28 | 24,400 | 21,003 | ||
Realty Income Corp. | 3.250% | 1/15/31 | 12,940 | 11,328 | ||
Realty Income Corp. | 2.850% | 12/15/32 | 16,610 | 13,732 | ||
5 | SBA Tower Trust | 3.448% | 3/15/23 | 23,770 | 23,656 | |
5 | SBA Tower Trust | 2.836% | 1/15/25 | 25,075 | 23,330 | |
5 | SBA Tower Trust | 1.884% | 1/15/26 | 8,960 | 7,850 | |
5 | SBA Tower Trust | 1.631% | 11/15/26 | 34,975 | 29,868 | |
5 | SBA Tower Trust | 1.840% | 4/15/27 | 54,190 | 45,409 | |
5 | SBA Tower Trust | 2.593% | 10/15/31 | 51,750 | 40,764 | |
5 | Scentre Group Trust 1 | 4.375% | 5/28/30 | 19,110 | 17,122 | |
Simon Property Group LP | 3.750% | 2/1/24 | 3,265 | 3,217 | ||
Simon Property Group LP | 3.375% | 10/1/24 | 10,055 | 9,779 | ||
Simon Property Group LP | 2.450% | 9/13/29 | 19,865 | 16,696 | ||
440,931 | ||||||
Technology (1.7%) | ||||||
Apple Inc. | 3.000% | 2/9/24 | 22,535 | 22,138 | ||
Apple Inc. | 3.450% | 5/6/24 | 39,950 | 39,349 | ||
Apple Inc. | 2.850% | 5/11/24 | 44,990 | 43,941 | ||
Apple Inc. | 3.250% | 2/23/26 | 37,631 | 36,432 | ||
Apple Inc. | 2.450% | 8/4/26 | 43,466 | 40,749 | ||
Apple Inc. | 3.350% | 2/9/27 | 55,925 | 54,120 | ||
Apple Inc. | 3.200% | 5/11/27 | 39,185 | 37,634 | ||
Apple Inc. | 2.900% | 9/12/27 | 55,355 | 52,360 | ||
Apple Inc. | 3.850% | 5/4/43 | 17,000 | 15,184 | ||
Apple Inc. | 4.450% | 5/6/44 | 5,075 | 4,968 | ||
Apple Inc. | 3.850% | 8/4/46 | 36,890 | 32,172 | ||
Apple Inc. | 2.650% | 5/11/50 | 17,660 | 12,201 | ||
Apple Inc. | 2.550% | 8/20/60 | 48,290 | 31,222 | ||
Broadcom Corp. | 3.875% | 1/15/27 | 11,385 | 10,787 | ||
Broadcom Inc. | 4.110% | 9/15/28 | 37,859 | 35,422 | ||
Broadcom Inc. | 4.150% | 11/15/30 | 24,480 | 22,016 | ||
5 | Broadcom Inc. | 2.600% | 2/15/33 | 24,680 | 18,640 | |
Cisco Systems Inc. | 2.500% | 9/20/26 | 15,676 | 14,858 | ||
Intel Corp. | 2.875% | 5/11/24 | 29,395 | 28,702 | ||
Intel Corp. | 2.000% | 8/12/31 | 3,635 | 2,927 | ||
Intel Corp. | 4.150% | 8/5/32 | 14,568 | 13,766 | ||
Intel Corp. | 4.100% | 5/19/46 | 51,605 | 42,914 | ||
Intel Corp. | 4.100% | 5/11/47 | 21,904 | 18,076 | ||
Intel Corp. | 3.734% | 12/8/47 | 8,096 | 6,256 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Intel Corp. | 3.250% | 11/15/49 | 19,400 | 13,622 | ||
Intel Corp. | 4.750% | 3/25/50 | 15,688 | 14,116 | ||
Intel Corp. | 3.050% | 8/12/51 | 43,925 | 29,604 | ||
Intel Corp. | 4.900% | 8/5/52 | 114,375 | 104,177 | ||
International Business Machines Corp. | 3.625% | 2/12/24 | 35,000 | 34,515 | ||
International Business Machines Corp. | 3.000% | 5/15/24 | 86,100 | 83,964 | ||
International Business Machines Corp. | 3.300% | 5/15/26 | 155,985 | 148,948 | ||
International Business Machines Corp. | 3.500% | 5/15/29 | 103,700 | 96,574 | ||
International Business Machines Corp. | 5.875% | 11/29/32 | 20,240 | 21,863 | ||
Microsoft Corp. | 3.125% | 11/3/25 | 17,700 | 17,227 | ||
Microsoft Corp. | 3.500% | 2/12/35 | 23,520 | 21,884 | ||
Microsoft Corp. | 3.450% | 8/8/36 | 31,097 | 28,445 | ||
Microsoft Corp. | 2.525% | 6/1/50 | 122,844 | 84,788 | ||
Microsoft Corp. | 2.921% | 3/17/52 | 123,829 | 91,933 | ||
Oracle Corp. | 2.950% | 11/15/24 | 79,830 | 76,824 | ||
Oracle Corp. | 1.650% | 3/25/26 | 17,300 | 15,529 | ||
Oracle Corp. | 3.250% | 11/15/27 | 57,075 | 52,589 | ||
QUALCOMM Inc. | 1.300% | 5/20/28 | 27,474 | 23,411 | ||
QUALCOMM Inc. | 2.150% | 5/20/30 | 29,475 | 25,125 | ||
QUALCOMM Inc. | 1.650% | 5/20/32 | 41,155 | 32,146 | ||
QUALCOMM Inc. | 4.250% | 5/20/32 | 8,865 | 8,629 | ||
QUALCOMM Inc. | 4.500% | 5/20/52 | 20,340 | 18,176 | ||
5 | S&P Global Inc. | 2.700% | 3/1/29 | 15,055 | 13,405 | |
5 | S&P Global Inc. | 2.900% | 3/1/32 | 7,355 | 6,346 | |
5 | S&P Global Inc. | 3.700% | 3/1/52 | 46,560 | 37,457 | |
1,738,131 | ||||||
Utilities (3.1%) | ||||||
2 | AEP Texas Inc. | 4.150% | 5/1/49 | 5,065 | 3,968 | |
2 | AEP Texas Inc. | 3.450% | 1/15/50 | 16,810 | 11,969 | |
2 | AEP Transmission Co. LLC | 4.500% | 6/15/52 | 9,195 | 8,232 | |
Alabama Power Co. | 5.700% | 2/15/33 | 15,000 | 15,475 | ||
Alabama Power Co. | 3.750% | 3/1/45 | 24,430 | ���19,215 | ||
2 | Alabama Power Co. | 4.300% | 7/15/48 | 28,015 | 23,764 | |
Ameren Illinois Co. | 3.800% | 5/15/28 | 22,215 | 21,261 | ||
Ameren Illinois Co. | 6.125% | 12/15/28 | 54,000 | 55,062 | ||
Ameren Illinois Co. | 3.700% | 12/1/47 | 5,045 | 4,060 | ||
American Water Capital Corp. | 2.950% | 9/1/27 | 9,975 | 9,251 | ||
American Water Capital Corp. | 4.450% | 6/1/32 | 22,115 | 21,353 | ||
American Water Capital Corp. | 3.750% | 9/1/47 | 1,435 | 1,133 | ||
American Water Capital Corp. | 4.200% | 9/1/48 | 30,403 | 25,823 | ||
American Water Capital Corp. | 4.150% | 6/1/49 | 850 | 715 | ||
American Water Capital Corp. | 3.450% | 5/1/50 | 2,280 | 1,698 | ||
Arizona Public Service Co. | 3.350% | 5/15/50 | 11,220 | 7,580 | ||
Baltimore Gas & Electric Co. | 4.250% | 9/15/48 | 5,000 | 4,277 | ||
Baltimore Gas & Electric Co. | 2.900% | 6/15/50 | 6,549 | 4,470 | ||
Baltimore Gas & Electric Co. | 4.550% | 6/1/52 | 2,510 | 2,274 | ||
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 41,185 | 43,979 | ||
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 830 | 871 | ||
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,715 | 10,290 | ||
Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 15,865 | 13,496 | ||
5 | Berkshire Hathaway Energy Co. | 4.600% | 5/1/53 | 62,750 | 56,865 | |
5 | Boston Gas Co. | 3.150% | 8/1/27 | 5,385 | 4,868 | |
5 | Boston Gas Co. | 3.001% | 8/1/29 | 5,970 | 5,113 | |
5 | Boston Gas Co. | 3.757% | 3/16/32 | 4,225 | 3,742 | |
5 | Brooklyn Union Gas Co. | 3.407% | 3/10/26 | 2,685 | 2,524 | |
5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 61,265 | 46,409 | |
CenterPoint Energy Resources Corp. | 4.000% | 4/1/28 | 8,068 | 7,722 | ||
Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 9,180 | 7,784 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Cleco Securitization I LLC | 4.646% | 9/1/42 | 27,070 | 24,816 | |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 13,610 | 11,788 | ||
Commonwealth Edison Co. | 3.650% | 6/15/46 | 6,365 | 4,936 | ||
2 | Commonwealth Edison Co. | 3.750% | 8/15/47 | 10,000 | 7,932 | |
Commonwealth Edison Co. | 4.000% | 3/1/48 | 17,455 | 14,613 | ||
2 | Commonwealth Edison Co. | 3.850% | 3/15/52 | 6,380 | 5,172 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 36,735 | 32,017 | ||
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 2,729 | 2,181 | ||
2 | Consolidated Edison Co. of New York Inc. | 4.125% | 5/15/49 | 4,105 | 3,355 | |
2 | Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 1,690 | 1,380 | |
Consolidated Edison Co. of New York Inc. | 3.200% | 12/1/51 | 27,865 | 19,741 | ||
Consolidated Edison Co. of New York Inc. | 6.150% | 11/15/52 | 21,575 | 23,753 | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 72,625 | 62,887 | ||
Consolidated Edison Co. of New York Inc. | 4.500% | 5/15/58 | 32,349 | 27,363 | ||
Consumers Energy Co. | 4.200% | 9/1/52 | 19,310 | 16,794 | ||
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 11,816 | 11,639 | ||
5 | Dominion Energy Inc. | 2.450% | 1/15/23 | 111,320 | 110,705 | |
2 | Dominion Energy Inc. | 5.250% | 8/1/33 | 5,706 | 5,633 | |
2 | Dominion Energy Inc. | 4.600% | 3/15/49 | 27,385 | 23,580 | |
Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 4,886 | 5,429 | ||
Dominion Energy South Carolina Inc. | 5.800% | 1/15/33 | 9,000 | 9,276 | ||
Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 1,438 | 1,466 | ||
Dominion Energy South Carolina Inc. | 6.050% | 1/15/38 | 44,155 | 46,975 | ||
Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 2,945 | 2,930 | ||
Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 7,251 | 6,500 | ||
Dominion Energy South Carolina Inc. | 5.100% | 6/1/65 | 29,850 | 28,229 | ||
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 3,404 | 3,569 | ||
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,000 | 4,238 | ||
Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 17,085 | 13,301 | ||
Duke Energy Corp. | 2.650% | 9/1/26 | 11,775 | 10,951 | ||
Duke Energy Corp. | 3.400% | 6/15/29 | 12,030 | 10,934 | ||
Duke Energy Corp. | 4.500% | 8/15/32 | 24,805 | 23,550 | ||
Duke Energy Corp. | 3.300% | 6/15/41 | 31,380 | 23,293 | ||
Duke Energy Corp. | 4.800% | 12/15/45 | 44,700 | 39,612 | ||
Duke Energy Corp. | 3.750% | 9/1/46 | 9,940 | 7,490 | ||
Duke Energy Corp. | 4.200% | 6/15/49 | 25,820 | 20,696 | ||
Duke Energy Corp. | 3.500% | 6/15/51 | 34,035 | 24,391 | ||
Duke Energy Corp. | 5.000% | 8/15/52 | 30,610 | 27,849 | ||
Duke Energy Florida LLC | 6.350% | 9/15/37 | 8,000 | 8,715 | ||
Duke Energy Florida LLC | 6.400% | 6/15/38 | 27,055 | 30,117 | ||
Duke Energy Florida LLC | 5.950% | 11/15/52 | 11,250 | 12,332 | ||
Duke Energy Progress LLC | 3.400% | 4/1/32 | 15,845 | 14,156 | ||
Duke Energy Progress LLC | 6.300% | 4/1/38 | 14,705 | 15,916 | ||
Duke Energy Progress LLC | 4.100% | 3/15/43 | 615 | 522 | ||
Duke Energy Progress LLC | 4.200% | 8/15/45 | 40,400 | 34,271 | ||
Duke Energy Progress LLC | 2.500% | 8/15/50 | 2,475 | 1,523 | ||
Duke Energy Progress LLC | 2.900% | 8/15/51 | 2,450 | 1,638 | ||
Duke Energy Progress LLC | 4.000% | 4/1/52 | 4,185 | 3,436 | ||
2 | Duke Energy Progress NC Storm Funding LLC | 2.387% | 7/1/37 | 34,870 | 28,223 | |
5 | East Ohio Gas Co. | 2.000% | 6/15/30 | 8,960 | 7,123 | |
5 | East Ohio Gas Co. | 3.000% | 6/15/50 | 13,050 | 8,563 | |
Eastern Energy Gas Holdings LLC | 3.550% | 11/1/23 | 21,445 | 21,179 | ||
Emera US Finance LP | 3.550% | 6/15/26 | 25,624 | 24,082 | ||
5 | Enel Finance International NV | 5.000% | 6/15/32 | 28,910 | 26,222 | |
Entergy Louisiana LLC | 3.120% | 9/1/27 | 14,935 | 13,877 | ||
Evergy Inc. | 2.450% | 9/15/24 | 10,420 | 9,897 | ||
Evergy Kansas Central Inc. | 3.250% | 9/1/49 | 9,000 | 6,354 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
2 | Evergy Metro Inc. | 2.250% | 6/1/30 | 5,680 | 4,726 | |
Evergy Metro Inc. | 4.200% | 3/15/48 | 3,419 | 2,791 | ||
2 | Eversource Energy | 2.900% | 10/1/24 | 17,450 | 16,781 | |
2 | Eversource Energy | 3.150% | 1/15/25 | 5,025 | 4,830 | |
2 | Eversource Energy | 3.300% | 1/15/28 | 14,410 | 13,297 | |
Eversource Energy | 3.375% | 3/1/32 | 5,495 | 4,830 | ||
5 | Exelon Corp. | 3.350% | 3/15/32 | 18,315 | 16,082 | |
Florida Power & Light Co. | 5.650% | 2/1/35 | 50,000 | 51,867 | ||
Florida Power & Light Co. | 4.950% | 6/1/35 | 10,000 | 9,888 | ||
Florida Power & Light Co. | 5.650% | 2/1/37 | 5,000 | 5,143 | ||
Florida Power & Light Co. | 5.950% | 2/1/38 | 39,215 | 41,877 | ||
Florida Power & Light Co. | 5.690% | 3/1/40 | 4,000 | 4,189 | ||
Florida Power & Light Co. | 3.700% | 12/1/47 | 17,370 | 14,129 | ||
Fortis Inc. | 3.055% | 10/4/26 | 28,565 | 26,632 | ||
Georgia Power Co. | 4.700% | 5/15/32 | 21,575 | 21,002 | ||
Georgia Power Co. | 5.400% | 6/1/40 | 6,665 | 6,218 | ||
2 | Georgia Power Co. | 4.750% | 9/1/40 | 34,703 | 32,033 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,934 | 8,651 | ||
Georgia Power Co. | 5.125% | 5/15/52 | 24,430 | 23,616 | ||
Indiana Michigan Power Co. | 4.250% | 8/15/48 | 14,980 | 12,347 | ||
5 | ITC Holdings Corp. | 4.950% | 9/22/27 | 2,425 | 2,409 | |
5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 25,345 | 22,795 | |
5 | Massachusetts Electric Co. | 5.900% | 11/15/39 | 21,565 | 21,360 | |
5 | Metropolitan Edison Co. | 4.300% | 1/15/29 | 6,572 | 6,201 | |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 1,050 | 931 | ||
MidAmerican Energy Co. | 4.250% | 5/1/46 | 5,485 | 4,669 | ||
MidAmerican Energy Co. | 4.250% | 7/15/49 | 11,545 | 10,028 | ||
MidAmerican Energy Co. | 3.150% | 4/15/50 | 45,450 | 32,755 | ||
5 | Mid-Atlantic Interstate Transmission LLC | 4.100% | 5/15/28 | 3,170 | 3,001 | |
5 | Monongahela Power Co. | 5.400% | 12/15/43 | 4,570 | 4,428 | |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 15,255 | 14,902 | ||
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 40,345 | 38,853 | ||
2 | Nevada Power Co. | 3.125% | 8/1/50 | 17,790 | 12,083 | |
NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 32,275 | 30,611 | ||
NextEra Energy Capital Holdings Inc. | 1.900% | 6/15/28 | 27,465 | 23,562 | ||
NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 14,165 | 13,005 | ||
NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 48,660 | 40,407 | ||
NextEra Energy Capital Holdings Inc. | 5.000% | 7/15/32 | 6,130 | 6,125 | ||
5 | Niagara Mohawk Power Corp. | 4.278% | 12/15/28 | 35,970 | 33,528 | |
5 | Niagara Mohawk Power Corp. | 3.025% | 6/27/50 | 14,840 | 9,275 | |
NiSource Inc. | 5.250% | 2/15/43 | 14,588 | 13,909 | ||
NiSource Inc. | 4.800% | 2/15/44 | 12,750 | 11,391 | ||
NiSource Inc. | 5.000% | 6/15/52 | 19,985 | 18,441 | ||
Northern States Power Co. | 2.250% | 4/1/31 | 4,940 | 4,153 | ||
Northern States Power Co. | 6.250% | 6/1/36 | 50,000 | 54,807 | ||
Northern States Power Co. | 4.500% | 6/1/52 | 4,320 | 3,978 | ||
5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 36,565 | 37,254 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 6,075 | 5,854 | ||
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,825 | 1,402 | ||
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 19,060 | 14,287 | ||
5 | Oglethorpe Power Corp. | 4.500% | 4/1/47 | 4,095 | 3,305 | |
Oglethorpe Power Corp. | 5.050% | 10/1/48 | 4,690 | 4,089 | ||
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 17,220 | 14,999 | ||
5 | Oncor Electric Delivery Co. LLC | 4.150% | 6/1/32 | 4,425 | 4,243 | |
5 | Oncor Electric Delivery Co. LLC | 4.550% | 9/15/32 | 27,810 | 27,505 | |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 10,735 | 9,959 | ||
Oncor Electric Delivery Co. LLC | 2.700% | 11/15/51 | 23,120 | 15,222 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
5 | Oncor Electric Delivery Co. LLC | 4.600% | 6/1/52 | 26,115 | 24,485 | |
5 | Oncor Electric Delivery Co. LLC | 4.950% | 9/15/52 | 14,880 | 14,698 | |
PacifiCorp | 2.950% | 6/1/23 | 29,675 | 29,348 | ||
PacifiCorp | 2.700% | 9/15/30 | 5,025 | 4,315 | ||
PacifiCorp | 5.900% | 8/15/34 | 12,500 | 12,632 | ||
PacifiCorp | 6.250% | 10/15/37 | 36,635 | 39,124 | ||
PacifiCorp | 4.125% | 1/15/49 | 3,611 | 3,003 | ||
PacifiCorp | 4.150% | 2/15/50 | 11,625 | 9,753 | ||
PacifiCorp | 3.300% | 3/15/51 | 11,806 | 8,581 | ||
PECO Energy Co. | 2.850% | 9/15/51 | 8,000 | 5,391 | ||
PECO Energy Co. | 4.600% | 5/15/52 | 12,845 | 11,865 | ||
2 | PG&E Energy Recovery Funding LLC | 2.280% | 1/15/36 | 3,775 | 2,878 | |
2 | PG&E Energy Recovery Funding LLC | 2.822% | 7/15/46 | 16,989 | 12,032 | |
2 | PG&E Wildfire Recovery Funding LLC | 5.212% | 12/1/47 | 25,815 | 25,109 | |
2 | PG&E Wildfire Recovery Funding LLC | 5.099% | 6/1/52 | 23,500 | 22,725 | |
Piedmont Natural Gas Co. Inc. | 5.050% | 5/15/52 | 9,130 | 8,351 | ||
Potomac Electric Power Co. | 6.500% | 11/15/37 | 25,000 | 27,647 | ||
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 3,600 | 3,778 | ||
2 | San Diego Gas & Electric Co. | 1.700% | 10/1/30 | 4,940 | 3,958 | |
2 | San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 5,390 | 4,241 | |
San Diego Gas & Electric Co. | 4.150% | 5/15/48 | 5,940 | 5,032 | ||
2 | San Diego Gas & Electric Co. | 2.950% | 8/15/51 | 714 | 497 | |
San Diego Gas & Electric Co. | 3.700% | 3/15/52 | 29,320 | 23,441 | ||
2 | SCE Recovery Funding LLC | 0.861% | 11/15/31 | 8,884 | 7,414 | |
2 | SCE Recovery Funding LLC | 1.942% | 5/15/38 | 3,655 | 2,606 | |
2 | SCE Recovery Funding LLC | 2.510% | 11/15/43 | 3,310 | 2,082 | |
Sempra Energy | 3.250% | 6/15/27 | 80,765 | 75,123 | ||
Sempra Energy | 3.700% | 4/1/29 | 2,295 | 2,101 | ||
Sempra Energy | 6.000% | 10/15/39 | 14,800 | 15,018 | ||
2 | Sierra Pacific Power Co. | 3.375% | 8/15/23 | 34,040 | 33,623 | |
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 7,857 | 7,371 | ||
2 | Southern California Edison Co. | 3.700% | 8/1/25 | 3,315 | 3,219 | |
Southern California Edison Co. | 5.950% | 11/1/32 | 30,370 | 32,181 | ||
Southern California Edison Co. | 6.000% | 1/15/34 | 7,695 | 8,080 | ||
2 | Southern California Edison Co. | 5.550% | 1/15/37 | 50,475 | 49,490 | |
2 | Southern California Edison Co. | 5.950% | 2/1/38 | 40,000 | 40,832 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,980 | 2,021 | ||
Southern California Edison Co. | 4.650% | 10/1/43 | 3,255 | 2,866 | ||
Southern California Edison Co. | 4.000% | 4/1/47 | 6,530 | 5,152 | ||
2 | Southern California Edison Co. | 4.125% | 3/1/48 | 11,495 | 9,267 | |
2 | Southern California Edison Co. | 4.875% | 3/1/49 | 2,985 | 2,639 | |
Southern California Edison Co. | 3.650% | 2/1/50 | 5,405 | 4,032 | ||
Southern California Gas Co. | 6.350% | 11/15/52 | 17,580 | 19,806 | ||
Southern Co. | 3.250% | 7/1/26 | 30,885 | 29,342 | ||
Southern Co. | 4.400% | ��� 7/1/46 | 41,137 | 34,843 | ||
Southwest Gas Corp. | 2.200% | 6/15/30 | 6,310 | 4,907 | ||
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 9,800 | 10,049 | ||
Southwestern Public Service Co. | 3.700% | 8/15/47 | 3,756 | 2,866 | ||
5 | Texas Electric Market Stabilization Funding N LLC | 4.966% | 2/1/42 | 39,235 | 37,283 | |
5 | Texas Electric Market Stabilization Funding N LLC | 5.057% | 8/1/46 | 18,860 | 18,058 | |
5 | Texas Electric Market Stabilization Funding N LLC | 5.167% | 2/1/50 | 17,640 | 17,538 | |
Union Electric Co. | 4.000% | 4/1/48 | 14,316 | 11,668 | ||
Union Electric Co. | 3.900% | 4/1/52 | 8,575 | 7,008 | ||
2 | Virginia Electric & Power Co. | 2.750% | 3/15/23 | 34,540 | 34,333 | |
2 | Virginia Electric & Power Co. | 3.500% | 3/15/27 | 16,025 | 15,266 | |
2 | Virginia Electric & Power Co. | 6.000% | 5/15/37 | 1,740 | 1,821 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 17,280 | 17,654 | ||
Wisconsin Public Service Corp. | 6.080% | 12/1/28 | 45,000 | 47,172 | ||
3,248,623 | ||||||
Total Corporate Bonds (Cost $25,127,483) | 22,318,222 | |||||
Sovereign Bonds (0.8%) | ||||||
2,5 | Bermuda | 2.375% | 8/20/30 | 18,130 | 14,938 | |
2,5 | Bermuda | 3.375% | 8/20/50 | 6,835 | 4,637 | |
2,5 | Corp. Nacional del Cobre de Chile | 3.700% | 1/30/50 | 20,705 | 15,472 | |
2,5 | Electricite de France SA | 4.875% | 9/21/38 | 69,680 | 57,819 | |
Equinor ASA | 2.450% | 1/17/23 | 15,017 | 14,973 | ||
Equinor ASA | 2.650% | 1/15/24 | 14,000 | 13,680 | ||
Equinor ASA | 3.700% | 3/1/24 | 25,320 | 25,034 | ||
Equinor ASA | 3.250% | 11/10/24 | 25,200 | 24,633 | ||
Equinor ASA | 2.875% | 4/6/25 | 4,775 | 4,594 | ||
Equinor ASA | 3.125% | 4/6/30 | 80,155 | 73,107 | ||
Equinor ASA | 2.375% | 5/22/30 | 7,585 | 6,544 | ||
2 | International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 40,000 | 42,360 | |
2,5 | NBN Co. Ltd. | 1.625% | 1/8/27 | 26,265 | 22,888 | |
2,5 | NBN Co. Ltd. | 2.625% | 5/5/31 | 37,954 | 30,702 | |
2,5 | NBN Co. Ltd. | 2.500% | 1/8/32 | 77,087 | 60,573 | |
2,5 | Qatar Energy | 2.250% | 7/12/31 | 31,765 | 26,569 | |
2,5 | Qatar Energy | 3.125% | 7/12/41 | 23,200 | 17,656 | |
2 | Republic of Chile | 2.550% | 1/27/32 | 18,800 | 15,849 | |
2 | Republic of Chile | 2.550% | 7/27/33 | 36,780 | 29,559 | |
2 | Republic of Chile | 3.500% | 1/31/34 | 20,300 | 17,723 | |
2 | Republic of Chile | 3.500% | 4/15/53 | 20,175 | 14,701 | |
2 | Republic of Chile | 3.100% | 1/22/61 | 13,390 | 8,635 | |
2,5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 28,670 | 26,686 | |
2,5 | State of Qatar | 3.875% | 4/23/23 | 56,160 | 55,974 | |
2,5 | State of Qatar | 3.375% | 3/14/24 | 3,360 | 3,301 | |
2,5 | State of Qatar | 4.400% | 4/16/50 | 14,035 | 12,853 | |
2,5 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 45,150 | 45,026 | |
2,5 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 36,800 | 35,616 | |
2,5 | Temasek Financial I Ltd. | 2.375% | 8/2/41 | 46,170 | 33,482 | |
2,5 | Temasek Financial I Ltd. | 2.250% | 4/6/51 | 39,210 | 25,357 | |
2,5 | Temasek Financial I Ltd. | 2.500% | 10/6/70 | 22,880 | 14,006 | |
2,5 | UAE International Government Bond | 4.951% | 7/7/52 | 13,725 | 13,635 | |
2 | United Mexican States | 4.400% | 2/12/52 | 35,725 | 27,623 | |
Total Sovereign Bonds (Cost $969,415) | 836,205 | |||||
Taxable Municipal Bonds (1.5%) | ||||||
Alabama Federal Aid Highway Finance Authority SO Revenue | 2.650% | 9/1/37 | 4,935 | 3,658 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 14,455 | 12,642 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 1,965 | 2,252 | ||
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 26,165 | 32,898 | ||
Broward County FL Airport System Revenue | 3.477% | 10/1/43 | 10,370 | 7,883 | ||
California GO | 7.350% | 11/1/39 | 56,970 | 70,597 | ||
California Health Facilities Financing Authority Revenue | 4.190% | 6/1/37 | 6,410 | 5,595 | ||
California State University Systemwide Revenue | 2.719% | 11/1/52 | 12,090 | 8,133 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
California State University Systemwide Revenue | 2.939% | 11/1/52 | 15,225 | 10,315 | ||
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 3,205 | 3,645 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 33,870 | 38,214 | ||
Chicago IL Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 57,835 | 65,252 | ||
Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.200% | 12/1/40 | 2,260 | 2,433 | ||
Dallas-Fort Worth TX International Airport Revenue | 3.089% | 11/1/40 | 7,405 | 5,753 | ||
Dallas-Fort Worth TX International Airport Revenue | 2.843% | 11/1/46 | 18,860 | 13,531 | ||
Dallas-Fort Worth TX International Airport Revenue | 4.087% | 11/1/51 | 2,695 | 2,258 | ||
Dallas-Fort Worth TX International Airport Revenue | 4.507% | 11/1/51 | 18,580 | 16,684 | ||
Florida State Board of Administration Finance Corp. Revenue | 1.705% | 7/1/27 | 29,555 | 25,522 | ||
Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 4.094% | 1/15/49 | 5,345 | 4,143 | ||
7 | Foothill-Eastern Transportation Corridor Agency CA Toll Road Revenue | 3.924% | 1/15/53 | 39,440 | 29,142 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 69,852 | 72,947 | ||
Golden State Tobacco Securitization Corp. California Revenue | 2.746% | 6/1/34 | 2,430 | 1,941 | ||
Golden State Tobacco Securitization Corp. California Revenue | 3.293% | 6/1/42 | 4,645 | 3,463 | ||
Golden State Tobacco Securitization Corp. California Revenue | 3.000% | 6/1/46 | 10,105 | 9,345 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 5.184% | 10/1/42 | 5,645 | 5,752 | ||
Grand Parkway Transportation Corp. Texas System Toll Revenue | 3.236% | 10/1/52 | 28,900 | 20,422 | ||
Great Lakes Michigan Water Authority Sewage Disposal System Revenue | 3.056% | 7/1/39 | 8,495 | 6,450 | ||
Houston TX GO | 6.290% | 3/1/32 | 14,840 | 15,536 | ||
Illinois GO | 5.100% | 6/1/33 | 146,970 | 141,674 | ||
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 29,200 | 31,850 | ||
Jobs Ohio Beverage System Statewide Liquor Profits Revenue | 2.833% | 1/1/38 | 5,480 | 4,287 | ||
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 7,745 | 7,334 | ||
8 | Kansas Development Finance Authority Revenue | 2.774% | 5/1/51 | 15,140 | 10,286 | |
7 | Kansas Development Finance Authority Revenue (Employees Retirement System) | 5.501% | 5/1/34 | 50,000 | 51,122 | |
Louisville & Jefferson County KY Metropolitan Sewer District Sewer & Drainage System Revenue | 6.250% | 5/15/43 | 19,000 | 21,478 | ||
Maryland Transportation Authority Facilities Projects Revenue | 5.888% | 7/1/43 | 18,985 | 20,622 | ||
Massachusetts GO | 2.514% | 7/1/41 | 8,175 | 5,795 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 1.753% | 8/15/30 | 27,675 | 22,447 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 22,105 | 22,796 | ||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 16,520 | 13,141 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
Massachusetts School Building Authority Dedicated Sales Tax Revenue | 2.950% | 5/15/43 | 21,350 | 15,194 | ||
Massachusetts SO Revenue | 4.110% | 7/15/31 | 19,740 | 19,209 | ||
Massachusetts Water Resources Authority Revenue | 2.823% | 8/1/41 | 24,550 | 18,301 | ||
Michigan Finance Authority Revenue (Trinity Health Credit Group) | 3.084% | 12/1/34 | 11,320 | 9,492 | ||
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 30,285 | 38,029 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.200% | 11/15/26 | 1,805 | 1,834 | ||
New York Metropolitan Transportation Authority Revenue (Build America Bonds) | 6.814% | 11/15/40 | 27,295 | 29,532 | ||
New York Metropolitan Transportation Authority Revenue (Climate Bond Certified) | 5.175% | 11/15/49 | 23,665 | 21,522 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 10,860 | 13,369 | ||
New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 16,085 | 17,515 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 21,260 | 16,744 | ||
New York State Dormitory Authority Revenue (Personal Income Tax) | 3.190% | 2/15/43 | 12,095 | 8,966 | ||
New York State Thruway Authority General Revenue | 2.900% | 1/1/35 | 16,730 | 13,754 | ||
New York State Thruway Authority General Revenue | 3.500% | 1/1/42 | 9,430 | 7,430 | ||
North Texas Tollway Authority System Revenue | 3.011% | 1/1/43 | 14,315 | 10,614 | ||
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 11,035 | 13,211 | ||
Oregon Department of Transportation Highway User Tax Revenue | 5.834% | 11/15/34 | 25,930 | 27,916 | ||
8 | Oregon GO | 3.424% | 3/1/60 | 28,000 | 19,656 | |
7 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 50,000 | 50,726 | |
9 | Philadelphia PA Authority for Industrial Development Revenue | 6.550% | 10/15/28 | 66,810 | 70,670 | |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,600 | 2,636 | ||
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 44,055 | 39,618 | ||
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 21,985 | 21,107 | ||
Riverside CA Pension Obligation Bonds Revenue | 3.857% | 6/1/45 | 8,775 | 7,381 | ||
Riverside County CA Pension Obligation Bonds Revenue | 3.818% | 2/15/38 | 9,585 | 8,287 | ||
Rutgers State University New Jersey Revenue | 3.270% | 5/1/43 | 11,960 | 9,067 | ||
Sales Tax Securitization Corp. Illinois Revenue | 3.238% | 1/1/42 | 34,905 | 26,981 | ||
San Antonio TX Electric & Gas Systems Revenue | 2.905% | 2/1/48 | 5,620 | 4,174 | ||
Texas Transportation Commission GO | 2.562% | 4/1/42 | 7,310 | 5,442 | ||
Texas Transportation Commission State Highway Revenue | 4.000% | 10/1/33 | 12,640 | 11,445 | ||
University of California Regents Medical Center Pooled Revenue | 4.132% | 5/15/32 | 17,265 | 16,277 | ||
University of California Regents Medical Center Pooled Revenue | 6.548% | 5/15/48 | 9,465 | 10,967 | ||
University of California Regents Medical Center Pooled Revenue | 6.583% | 5/15/49 | 15,150 | 17,537 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
University of California Regents Medical Center Pooled Revenue | 3.006% | 5/15/50 | 15,445 | 10,482 | ||
University of California Regents Medical Center Pooled Revenue | 4.563% | 5/15/53 | 46,830 | 42,188 | ||
University of California Regents Medical Center Pooled Revenue | 3.256% | 5/15/60 | 26,520 | 17,914 | ||
University of California Revenue | 1.316% | 5/15/27 | 13,075 | 11,356 | ||
University of California Revenue | 1.614% | 5/15/30 | 16,140 | 12,818 | ||
University of California Revenue | 4.601% | 5/15/31 | 21,975 | 21,554 | ||
University of California Revenue | 4.765% | 5/15/44 | 5,980 | 5,720 | ||
University of California Revenue | 3.931% | 5/15/45 | 22,370 | 20,039 | ||
University of Michigan Revenue | 3.504% | 4/1/52 | 7,445 | 5,869 | ||
University of Minnesota GO | 4.048% | 4/1/52 | 27,160 | 23,742 | ||
Utility Debt Securitization Authority NY Restructuring Bonds Revenue | 3.435% | 12/15/25 | 4,447 | 4,421 | ||
Total Taxable Municipal Bonds (Cost $1,831,148) | 1,629,944 | |||||
Shares | ||||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (0.0%) | ||||||
10 | Vanguard Market Liquidity Fund | 3.877% | 1,426 | 143 | ||
Maturity Date | Face Amount ($000) | |||||
Repurchase Agreements (0.5%) | ||||||
Bank of America Securities, LLC (Dated 11/30/22, Repurchase Value $2,100,000, collateralized by Ginnie Mae 2.500%–3.500%, 10/20/51–5/20/52, with a value of $2,142,000) | 3.800% | 12/1/22 | 2,100 | 2,100 | ||
Citigroup Global Markets Inc. (Dated 11/30/22, Repurchase Value $132,714,000, collateralized by U.S. Treasury Note/Bond 1.500%–6.125%, 7/31/29–2/15/30, with a value of $135,354,000) | 3.750% | 12/1/22 | 132,700 | 132,700 | ||
Credit Agricole Securities (USA) Inc. (Dated 11/30/22, Repurchase Value $22,802,000, collateralized by Treasury Inflation Indexed Note/Bond 0.250%–2.125%, 2/15/40–2/15/50, and U.S. Treasury Note/Bond 2.375%, 2/15/42, with a value of $23,256,000) | 3.760% | 12/1/22 | 22,800 | 22,800 | ||
Deutsche Bank Securities, Inc. (Dated 11/30/22, Repurchase Value $91,310,000, collateralized by Fannie Mae 2.000%–4.500%, 5/1/36–8/1/52, with a value of $93,126,000) | 3.790% | 12/1/22 | 91,300 | 91,300 | ||
HSBC Bank USA (Dated 11/30/22, Repurchase Value $147,715,000, collateralized by U.S. Treasury Note/Bond 0.125%–3.125%, 2/28/23–2/15/43, with a value of $150,654,000) | 3.770% | 12/1/22 | 147,700 | 147,700 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
HSBC Bank USA (Dated 11/30/22, Repurchase Value $20,002,000, collateralized by Fannie Mae 4.500%, 9/1/52, and Freddie Mac 2.500%, 9/1/51, with a value of $20,400,000) | 3.800% | 12/1/22 | 20,000 | 20,000 | ||
Nomura International plc (Dated 11/30/22, Repurchase Value $8,601,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 10/15/25–2/15/45, and U.S. Treasury Note/Bond 0.250%, 4/15/23, with a value of $8,772,000) | 3.800% | 12/1/22 | 8,600 | 8,600 | ||
RBC Capital Markets LLC (Dated 11/30/22, Repurchase Value $36,004,000, collateralized by Fannie Mae 3.500%–4.500%, 2/1/43–6/1/52, and U.S. Treasury Bill 0.000%, 2/21/23, with a value of $36,720,000) | 3.770% | 12/1/22 | 36,000 | 36,000 | ||
Societe Generale (Dated 11/30/22, Repurchase Value $3,000,000, collateralized by U.S. Treasury Note/Bond 1.250%, 8/15/31, with a value of $3,060,000) | 3.760% | 12/1/22 | 3,000 | 3,000 | ||
TD Securities (USA) LLC (Dated 11/30/22, Repurchase Value $53,206,000, collateralized by Ginnie Mae 4.000%, 6/20/52, with a value of $54,264,000) | 3.800% | 12/1/22 | 53,200 | 53,200 | ||
Wells Fargo & Co. (Dated 11/30/22, Repurchase Value $56,106,000, collateralized by Fannie Mae 3.000%–6.000%, 7/1/30–11/1/52, with a value of $57,222,000) | 3.810% | 12/1/22 | 56,100 | 56,100 | ||
573,500 | ||||||
U.S. Government and Agency Obligations (0.5%) | ||||||
United States Treasury Bill | 3.622% | 12/20/22 | 250,000 | 249,508 | ||
United States Treasury Bill | 0.686% | 12/29/22 | 120,000 | 119,642 |
Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
United States Treasury Bill | 2.852% | 3/23/23 | 10,000 | 9,867 | ||
United States Treasury Bill | 4.557% | 5/18/23 | 115,000 | 112,593 | ||
491,610 | ||||||
Total Temporary Cash Investments (Cost $1,065,621) | 1,065,253 | |||||
Total Investments (100.2%) (Cost $85,889,164) | 106,756,076 | |||||
Other Assets and Liabilities—Net (-0.2%) | (166,209) | |||||
Net Assets (100%) | 106,589,867 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Securities with a value of $9,360,000 have been segregated as initial margin for open futures contracts. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of November 30, 2022. |
5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2022, the aggregate value was $6,384,434,000, representing 6.0% of net assets. |
6 | Variable-rate security; rate shown is effective rate at period end. Certain variable-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. |
7 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
8 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
9 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month. | |
3M—3-month. | |
ADR—American Depositary Receipt. | |
CLO—Collateralized Loan Obligation. | |
DAC—Designated Activity Company. | |
GO—General Obligation Bond. | |
LIBOR—London Interbank Offered Rate. | |
REMICS—Real Estate Mortgage Investment Conduits. | |
SO—Special Obligation. | |
UMBS—Uniform Mortgage-Backed Securities. | |
USD—U.S. dollar. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
5-Year U.S. Treasury Note | March 2023 | 5,061 | 549,474 | 2,117 |
10-Year U.S. Treasury Note | March 2023 | 3,268 | 370,918 | 2,881 |
4,998 | ||||
Short Futures Contracts | ||||
Ultra 10-Year U.S. Treasury Note | March 2023 | (2,676) | (320,200) | (1,850) |
3,148 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $85,889,024) | 106,755,933 |
Affiliated Issuers (Cost $140) | 143 |
Total Investments in Securities | 106,756,076 |
Investment in Vanguard | 3,876 |
Cash | 6,665 |
Foreign Currency, at Value (Cost $1,593) | 1,537 |
Receivables for Investment Securities Sold | 588,660 |
Receivables for Accrued Income | 447,675 |
Receivables for Capital Shares Issued | 20,277 |
Variation Margin Receivable—Futures Contracts | 2,165 |
Total Assets | 107,826,931 |
Liabilities | |
Payables for Investment Securities Purchased | 1,135,821 |
Payables for Capital Shares Redeemed | 77,484 |
Payables to Investment Advisor | 18,019 |
Payables to Vanguard | 5,740 |
Total Liabilities | 1,237,064 |
Net Assets | 106,589,867 |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 79,637,973 |
Total Distributable Earnings (Loss) | 26,951,894 |
Net Assets | 106,589,867 |
Investor Shares—Net Assets | |
Applicable to 310,404,774 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,097,445 |
Net Asset Value Per Share—Investor Shares | $42.19 |
Admiral Shares—Net Assets | |
Applicable to 1,283,105,257 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 93,492,422 |
Net Asset Value Per Share—Admiral Shares | $72.86 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,328,663 |
Interest2 | 1,148,233 |
Securities Lending—Net | 30 |
Total Income | 2,476,926 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 85,595 |
Performance Adjustment | (13,745) |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 23,568 |
Management and Administrative—Admiral Shares | 93,804 |
Marketing and Distribution—Investor Shares | 838 |
Marketing and Distribution—Admiral Shares | 3,049 |
Custodian Fees | 370 |
Auditing Fees | 33 |
Shareholders’ Reports—Investor Shares | 371 |
Shareholders’ Reports—Admiral Shares | 374 |
Trustees’ Fees and Expenses | 41 |
Other Expenses | 1,040 |
Total Expenses | 195,338 |
Expenses Paid Indirectly | (141) |
Net Expenses | 195,197 |
Net Investment Income | 2,281,729 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | 6,205,253 |
Futures Contracts | (146,405) |
Swap Contracts | 6,401 |
Foreign Currencies | 3,124 |
Realized Net Gain (Loss) | 6,068,373 |
Statement of Operations (continued) | |
Year Ended November 30, 2022 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (18,642,567) |
Futures Contracts | (8,308) |
Foreign Currencies | (3,924) |
Change in Unrealized Appreciation (Depreciation) | (18,654,799) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (10,304,697) |
1 | Dividends are net of foreign withholding taxes of $3,332,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, ($2,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,281,729 | 2,092,722 |
Realized Net Gain (Loss) | 6,068,373 | 8,514,232 |
Change in Unrealized Appreciation (Depreciation) | (18,654,799) | 7,990,979 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (10,304,697) | 18,597,933 |
Distributions | ||
Investor Shares | (1,281,722) | (1,149,407) |
Admiral Shares | (9,066,000) | (7,140,083) |
Total Distributions | (10,347,722) | (8,289,490) |
Capital Share Transactions | ||
Investor Shares | 207,506 | (1,554,501) |
Admiral Shares | 3,179,261 | 3,457,185 |
Net Increase (Decrease) from Capital Share Transactions | 3,386,767 | 1,902,684 |
Total Increase (Decrease) | (17,265,652) | 12,211,127 |
Net Assets | ||
Beginning of Period | 123,855,519 | 111,644,392 |
End of Period | 106,589,867 | 123,855,519 |
Investor Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended November 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $50.15 | $46.10 | $43.72 | $41.86 | $43.45 |
Investment Operations | |||||
Net Investment Income1 | .857 | .811 | .966 | 1.098 | 1.083 |
Net Realized and Unrealized Gain (Loss) on Investments | (4.681) | 6.638 | 3.345 | 4.269 | .100 |
Total from Investment Operations | (3.824) | 7.449 | 4.311 | 5.367 | 1.183 |
Distributions | |||||
Dividends from Net Investment Income | (.828) | (.818) | (1.004) | (1.099) | (1.086) |
Distributions from Realized Capital Gains | (3.308) | (2.581) | (.927) | (2.408) | (1.687) |
Total Distributions | (4.136) | (3.399) | (1.931) | (3.507) | (2.773) |
Net Asset Value, End of Period | $42.19 | $50.15 | $46.10 | $43.72 | $41.86 |
Total Return2 | -8.43% | 17.16% | 10.41% | 14.22% | 2.80% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,097 | $15,469 | $15,635 | $17,209 | $16,438 |
Ratio of Total Expenses to Average Net Assets3 | 0.25%4 | 0.24% | 0.24% | 0.25% | 0.25% |
Ratio of Net Investment Income to Average Net Assets | 1.98% | 1.70% | 2.28% | 2.70% | 2.58% |
Portfolio Turnover Rate5 | 41% | 35% | 51% | 28% | 34% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of (0.01%), (0.02%), (0.02%), (0.00%), and (0.01%). |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset and broker commission abatement arrangements was 0.25%. |
5 | Includes 8%, 2%, 3%, 1%, and 2%, respectively, attributable to mortgage-dollar-roll activity. |
Admiral Shares | |||||
For a Share Outstanding Throughout Each Period | Year Ended November 30, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $86.61 | $79.62 | $75.51 | $72.29 | $75.04 |
Investment Operations | |||||
Net Investment Income1 | 1.540 | 1.464 | 1.720 | 1.954 | 1.929 |
Net Realized and Unrealized Gain (Loss) on Investments | (8.083) | 11.461 | 5.784 | 7.379 | .172 |
Total from Investment Operations | (6.543) | 12.925 | 7.504 | 9.333 | 2.101 |
Distributions | |||||
Dividends from Net Investment Income | (1.493) | (1.477) | (1.794) | (1.955) | (1.936) |
Distributions from Realized Capital Gains | (5.714) | (4.458) | (1.600) | (4.158) | (2.915) |
Total Distributions | (7.207) | (5.935) | (3.394) | (6.113) | (4.851) |
Net Asset Value, End of Period | $72.86 | $86.61 | $79.62 | $75.51 | $72.29 |
Total Return2 | -8.36% | 17.25% | 10.50% | 14.33% | 2.88% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $93,492 | $108,386 | $96,009 | $93,469 | $86,207 |
Ratio of Total Expenses to Average Net Assets3 | 0.17%4 | 0.16% | 0.16% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 2.06% | 1.77% | 2.35% | 2.78% | 2.66% |
Portfolio Turnover Rate5 | 41% | 35% | 51% | 28% | 34% |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Includes performance-based investment advisory fee increases (decreases) of (0.01%), (0.02%), (0.02%), (0.00%), and (0.01%). |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset and broker commission abatement arrangements was 0.17%. |
5 | Includes 8%, 2%, 3%, 1%, and 2%, respectively, attributable to mortgage-dollar-roll activity. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 66,209,805 | 4,785,715 | — | 70,995,520 |
U.S. Government and Agency Obligations | — | 9,084,798 | — | 9,084,798 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 826,134 | — | 826,134 |
Corporate Bonds | — | 22,318,222 | — | 22,318,222 |
Sovereign Bonds | — | 836,205 | — | 836,205 |
Taxable Municipal Bonds | — | 1,629,944 | — | 1,629,944 |
Temporary Cash Investments | 143 | 1,065,110 | — | 1,065,253 |
Total | 66,209,948 | 40,546,128 | — | 106,756,076 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,998 | — | — | 4,998 |
Liabilities | ||||
Futures Contracts1 | 1,850 | — | — | 1,850 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized Net Gain (Loss) on Derivatives | Interest Rate Contracts ($000) | Credit Contracts ($000) | Total ($000) |
Futures Contracts | (146,405) | — | (146,405) |
Swap Contracts | — | 6,401 | 6,401 |
Realized Net Gain (Loss) on Derivatives | (146,405) | 6,401 | (140,004) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | (8,308) | — | (8,308) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (8,308) | — | (8,308) |
Amount ($000) | |
Paid-in Capital | 462,037 |
Total Distributable Earnings (Loss) | (462,037) |
Amount ($000) | |
Undistributed Ordinary Income | 512,611 |
Undistributed Long-Term Gains | 5,726,451 |
Capital Loss Carryforwards | — |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 20,712,832 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 3,864,834 | 2,502,914 |
Long-Term Capital Gains | 6,482,888 | 5,786,576 |
Total | 10,347,722 | 8,289,490 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 86,043,145 |
Gross Unrealized Appreciation | 27,758,382 |
Gross Unrealized Depreciation | (7,045,451) |
Net Unrealized Appreciation (Depreciation) | 20,712,931 |
Year Ended November 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 1,286,082 | 29,118 | 1,621,764 | 34,004 | |
Issued in Lieu of Cash Distributions | 1,221,648 | 25,794 | 1,097,976 | 24,568 | |
Redeemed | (2,300,224) | (52,957) | (4,274,241) | (89,265) | |
Net Increase (Decrease)—Investor Shares | 207,506 | 1,955 | (1,554,501) | (30,693) |
Year Ended November 30, | |||||
2022 | 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 6,311,279 | 83,059 | 8,286,366 | 100,452 | |
Issued in Lieu of Cash Distributions | 8,395,579 | 102,747 | 6,612,568 | 85,613 | |
Redeemed | (11,527,597) | (154,162) | (11,441,749) | (140,499) | |
Net Increase (Decrease)—Admiral Shares | 3,179,261 | 31,644 | 3,457,185 | 45,566 |
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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 |
Your Fund’s Performance at a Glance | 1 |
Advisor's Report | 2 |
About Your Fund’s Expenses | 4 |
U.S. Minimum Volatility ETF | 6 |
U.S. Momentum Factor ETF | 20 |
U.S. Multifactor ETF | 38 |
U.S. Quality Factor ETF | 55 |
U.S. Value Factor ETF | 73 |
• | Vanguard’s five U.S. Factor ETFs posted returns ranging from about –7% to nearly 8% (based on net asset value) for the 12 months ended November 30, 2022. Despite a challenging economic and investment environment, all five ETFs beat the –10.80% return of their benchmark, the Russell 3000 Index. |
• | The economic backdrop deteriorated early on as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which increased fears of a recession. |
• | The U.S. Factor ETFs seek to provide long-term capital appreciation by investing in stocks that have lower or higher measures of certain factors relative to the broad U.S. equity market. |
• | Vanguard U.S. Value Factor ETF performed best among the group, returning 7.63% based on net asset value. Energy, information technology, and financials produced the strongest relative performance. Vanguard U.S. Quality Factor ETF had the lowest return, at –7.15% based on net asset value. |
Average Annual Total Returns Periods Ended November 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -10.66% | 10.56% | 10.69% |
Russell 2000 Index (Small-caps) | -13.01 | 6.44 | 5.45 |
Russell 3000 Index (Broad U.S. market) | -10.80 | 10.28 | 10.33 |
FTSE All-World ex US Index (International) | -11.40 | 2.23 | 1.86 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -12.91% | -2.56% | 0.24% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.64 | -0.77 | 1.40 |
FTSE Three-Month U.S. Treasury Bill Index | 1.16 | 0.64 | 1.19 |
CPI | |||
Consumer Price Index | 7.11% | 5.00% | 3.83% |
• | Vanguard U.S. Minimum Volatility ETF seeks to build a portfolio of stocks with lower volatility relative to the broad U.S. equity market. |
• | Vanguard U.S. Momentum Factor ETF seeks exposure to stocks with relatively strong recent performance as identified by measures such as returns over different periods. |
• | Vanguard U.S. Multifactor ETF seeks exposure to stocks with relatively strong recent performance, strong fundamentals, and low prices relative to fundamentals. |
• | Vanguard U.S. Quality Factor ETF seeks exposure to stocks with strong fundamentals as identified by measures such as profitability, earnings, and balance-sheet strength. |
• | Vanguard U.S. Value Factor ETF seeks exposure to stocks with lower prices |
• | The U.S. Minimum Volatility ETF benefited in particular from its positions in information technology, consumer discretionary, and health care. Energy was the only sector that detracted. |
• | The U.S. Momentum Factor ETF was aided most by an overweight position in energy, an underweight to communication services, and selection in consumer discretionary. Relative outperformance was somewhat offset by selection in a few sectors, most notably health care, industrials, and financials. |
• | The U.S. Multifactor ETF benefited most from its positions in energy, information technology, and communication services but was held back somewhat by its holdings in utilities. |
• | The U.S. Quality Factor ETF benefited most from its positions in information technology, consumer discretionary, and communication services. Several sectors detracted, including industrials, utilities, and health care. |
• | The U.S. Value Factor ETF was helped most by its positions in energy, information technology, and financials. Utilities and consumer staples detracted. |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended November 30, 2022 | |||
Beginning Account Value 5/31/2022 | Ending Account Value 11/30/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
U.S. Minimum Volatility ETF | $1,000.00 | $1,031.90 | $0.66 |
U.S. Momentum Factor ETF | $1,000.00 | $1,038.10 | $0.66 |
U.S. Multifactor ETF | $1,000.00 | $1,056.30 | $0.93 |
U.S. Quality Factor ETF | $1,000.00 | $1,047.30 | $0.67 |
U.S. Value Factor ETF | $1,000.00 | $1,017.90 | $0.66 |
Based on Hypothetical 5% Yearly Return | |||
U.S. Minimum Volatility ETF | $1,000.00 | $1,024.42 | $0.66 |
U.S. Momentum Factor ETF | $1,000.00 | $1,024.42 | $0.66 |
U.S. Multifactor ETF | $1,000.00 | $1,024.17 | $0.91 |
U.S. Quality Factor ETF | $1,000.00 | $1,024.42 | $0.66 |
U.S. Value Factor ETF | $1,000.00 | $1,024.42 | $0.66 |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/13/2018) | Final Value of a $10,000 Investment | ||
U.S. Minimum Volatility ETF Net Asset Value | 4.46% | 9.03% | $15,138 | |
U.S. Minimum Volatility ETF Market Price | 4.43 | 9.02 | 15,132 | |
Russell 3000 Index | -10.80 | 10.69 | 16,272 |
One Year | Since Inception (2/13/2018) | |
U.S. Minimum Volatility ETF Market Price | 4.43% | 51.32% |
U.S. Minimum Volatility ETF Net Asset Value | 4.46 | 51.38 |
Russell 3000 Index | -10.80 | 62.72 |
Basic Materials | 0.3% |
Consumer Discretionary | 11.4 |
Consumer Staples | 12.2 |
Energy | 2.5 |
Financials | 15.4 |
Health Care | 17.8 |
Industrials | 7.5 |
Real Estate | 1.5 |
Technology | 16.9 |
Telecommunications | 7.0 |
Utilities | 7.5 |
Shares | Market Value• ($000) | ||
Common Stocks (99.4%) | |||
Basic Materials (0.3%) | |||
Newmont Corp. | 2,828 | 134 | |
NewMarket Corp. | 230 | 73 | |
Fastenal Co. | 351 | 18 | |
225 | |||
Consumer Discretionary (11.3%) | |||
Dollar General Corp. | 3,880 | 992 | |
* | Grand Canyon Education Inc. | 8,419 | 952 |
Electronic Arts Inc. | 7,069 | 924 | |
* | Liberty Media Corp.- Liberty Braves Class C | 26,794 | 873 |
Service Corp. International | 11,105 | 793 | |
McDonald's Corp. | 2,646 | 722 | |
H&R Block Inc. | 14,466 | 632 | |
1 | Sirius XM Holdings Inc. | 97,081 | 630 |
Walmart Inc. | 3,481 | 531 | |
Madison Square Garden Sports Corp. | 2,677 | 436 | |
* | Liberty Media Corp.- Liberty Braves Class A | 9,750 | 323 |
* | Knowles Corp. | 18,141 | 283 |
World Wrestling Entertainment Inc. Class A | 3,046 | 243 | |
Laureate Education Inc. Class A | 18,854 | 198 | |
Scholastic Corp. | 4,726 | 194 | |
* | QuinStreet Inc. | 9,527 | 136 |
Domino's Pizza Inc. | 281 | 109 | |
Target Corp. | 495 | 83 | |
Hasbro Inc. | 709 | 45 | |
Johnson Outdoors Inc. Class A | 696 | 39 | |
* | Bright Horizons Family Solutions Inc. | 259 | 19 |
Costco Wholesale Corp. | 1 | 1 | |
9,158 | |||
Consumer Staples (12.1%) | |||
Church & Dwight Co. Inc. | 14,862 | 1,217 | |
Colgate-Palmolive Co. | 12,318 | 954 | |
Hershey Co. | 3,542 | 833 | |
Procter & Gamble Co. | 4,903 | 731 | |
Altria Group Inc. | 15,362 | 716 | |
Flowers Foods Inc. | 22,905 | 688 | |
PetMed Express Inc. | 33,148 | 656 | |
CVS Health Corp. | 5,774 | 588 | |
John B Sanfilippo & Son Inc. | 6,837 | 579 | |
Kimberly-Clark Corp. | 4,093 | 555 | |
McKesson Corp. | 1,183 | 452 |
Shares | Market Value• ($000) | ||
Kellogg Co. | 6,011 | 439 | |
Hormel Foods Corp. | 8,266 | 389 | |
Mondelez International Inc. Class A | 4,946 | 334 | |
Universal Corp. | 3,819 | 217 | |
Coca-Cola Co. | 2,670 | 170 | |
Lancaster Colony Corp. | 365 | 76 | |
PepsiCo Inc. | 369 | 68 | |
Kroger Co. | 1,257 | 62 | |
Weis Markets Inc. | 246 | 21 | |
* | USANA Health Sciences Inc. | 303 | 17 |
9,762 | |||
Energy (2.5%) | |||
Chevron Corp. | 6,526 | 1,196 | |
Williams Cos. Inc. | 16,608 | 576 | |
Kinder Morgan Inc. | 12,833 | 246 | |
2,018 | |||
Financials (15.3%) | |||
Safety Insurance Group Inc. | 13,083 | 1,200 | |
* | Enstar Group Ltd. | 5,337 | 1,163 |
First Financial Corp. | 23,410 | 1,125 | |
Northwest Bancshares Inc. | 62,237 | 952 | |
Westamerica BanCorp | 13,365 | 825 | |
White Mountains Insurance Group Ltd. | 460 | 625 | |
Waterstone Financial Inc. | 36,878 | 618 | |
* | Columbia Financial Inc. | 26,081 | 576 |
City Holding Co. | 5,561 | 567 | |
AMERISAFE Inc. | 8,473 | 503 | |
Broadridge Financial Solutions Inc. | 3,006 | 448 | |
Travelers Cos. Inc. | 1,856 | 352 | |
Intercontinental Exchange Inc. | 2,976 | 322 | |
CME Group Inc. | 1,795 | 317 | |
Great Southern Bancorp Inc. | 4,868 | 305 | |
Capitol Federal Financial Inc. | 29,679 | 248 | |
Camden National Corp. | 5,190 | 227 | |
Stock Yards Bancorp Inc. | 3,037 | 225 | |
Donegal Group Inc. Class A | 13,731 | 204 | |
* | Blue Foundry Bancorp | 14,743 | 193 |
Community Trust Bancorp Inc. | 3,920 | 188 | |
Mercury General Corp. | 4,933 | 179 | |
CVB Financial Corp. | 6,181 | 177 | |
TFS Financial Corp. | 11,102 | 152 | |
HarborOne Bancorp Inc. | 9,369 | 137 | |
Horace Mann Educators Corp. | 2,319 | 90 | |
HomeTrust Bancshares Inc. | 2,870 | 73 | |
Southside Bancshares Inc. | 1,733 | 63 |
Shares | Market Value• ($000) | ||
Bank of Marin Bancorp | 1,621 | 58 | |
TrustCo Bank Corp. NY | 1,300 | 51 | |
Employers Holdings Inc. | 936 | 44 | |
Farmers National Banc Corp. | 2,727 | 42 | |
Bank First Corp. | 409 | 39 | |
First of Long Island Corp. | 1,786 | 35 | |
Macatawa Bank Corp. | 3,052 | 34 | |
Lakeland Financial Corp. | 230 | 18 | |
BancFirst Corp. | 1 | — | |
Marsh & McLennan Cos. Inc. | 2 | — | |
12,375 | |||
Health Care (17.8%) | |||
Gilead Sciences Inc. | 15,037 | 1,321 | |
Merck & Co. Inc. | 11,950 | 1,316 | |
Amgen Inc. | 4,427 | 1,268 | |
Bristol-Myers Squibb Co. | 15,015 | 1,205 | |
Johnson & Johnson | 6,709 | 1,194 | |
AbbVie Inc. | 5,363 | 864 | |
* | Computer Programs and Systems Inc. | 25,709 | 761 |
* | NextGen Healthcare Inc. | 36,511 | 759 |
Becton Dickinson and Co. | 2,883 | 719 | |
* | HealthStream Inc. | 26,867 | 682 |
Eli Lilly & Co. | 1,715 | 636 | |
* | Vertex Pharmaceuticals Inc. | 1,905 | 603 |
Pfizer Inc. | 10,567 | 530 | |
* | Prestige Consumer Healthcare Inc. | 8,152 | 501 |
National HealthCare Corp. | 7,865 | 485 | |
* | Incyte Corp. | 5,648 | 450 |
Perrigo Co. plc | 11,166 | 360 | |
Baxter International Inc. | 3,676 | 208 | |
Chemed Corp. | 199 | 104 | |
* | Regeneron Pharmaceuticals Inc. | 123 | 93 |
Premier Inc. Class A | 2,673 | 89 | |
UnitedHealth Group Inc. | 117 | 64 | |
* | Anika Therapeutics Inc. | 1,777 | 56 |
Royalty Pharma plc Class A | 1,079 | 47 | |
* | United Therapeutics Corp. | 79 | 22 |
14,337 | |||
Industrials (7.5%) | |||
Lockheed Martin Corp. | 2,526 | 1,226 | |
* | FTI Consulting Inc. | 5,915 | 1,022 |
* | OSI Systems Inc. | 11,279 | 998 |
Heartland Express Inc. | 39,707 | 665 | |
Jack Henry & Associates Inc. | 2,950 | 559 | |
Cass Information Systems Inc. | 10,427 | 453 | |
Accenture plc Class A | 1,228 | 370 | |
Northrop Grumman Corp. | 331 | 176 | |
Argan Inc. | 3,985 | 151 | |
Ennis Inc. | 3,877 | 90 | |
* | PFSweb Inc. | 7,674 | 86 |
* | Huron Consulting Group Inc. | 847 | 66 |
Illinois Tool Works Inc. | 243 | 55 | |
* | Vishay Precision Group Inc. | 1,270 | 51 |
Werner Enterprises Inc. | 672 | 30 | |
MSC Industrial Direct Co. Inc. Class A | 344 | 29 | |
National Presto Industries Inc. | 378 | 26 | |
AptarGroup Inc. | 6 | 1 | |
Landstar System Inc. | 1 | — | |
Sonoco Products Co. | 2 | — | |
6,054 | |||
Real Estate (1.5%) | |||
Equity Commonwealth | 44,231 | 1,198 |
Shares | Market Value• ($000) | ||
Technology (16.8%) | |||
Roper Technologies Inc. | 2,940 | 1,290 | |
International Business Machines Corp. | 8,266 | 1,231 | |
Amdocs Ltd. | 12,791 | 1,137 | |
Texas Instruments Inc. | 6,034 | 1,089 | |
Dolby Laboratories Inc. Class A | 13,022 | 975 | |
Apple Inc. | 6,256 | 926 | |
* | Verint Systems Inc. | 21,532 | 847 |
Oracle Corp. | 8,374 | 695 | |
Microsoft Corp. | 2,535 | 647 | |
* | Super Micro Computer Inc. | 6,846 | 618 |
NetApp Inc. | 8,574 | 580 | |
Gen Digital Inc. | 24,628 | 565 | |
* | Rogers Corp. | 4,812 | 525 |
Leidos Holdings Inc. | 4,446 | 486 | |
* | TTM Technologies Inc. | 29,847 | 480 |
Hewlett Packard Enterprise Co. | 22,234 | 373 | |
* | Alphabet Inc. Class A | 2,854 | 288 |
* | Altair Engineering Inc. Class A | 4,808 | 236 |
* | Envestnet Inc. | 3,607 | 213 |
CSG Systems International Inc. | 1,397 | 86 | |
SS&C Technologies Holdings Inc. | 1,066 | 57 | |
Dell Technologies Inc. Class C | 1,090 | 49 | |
* | PC Connection Inc. | 877 | 49 |
* | Allscripts Healthcare Solutions Inc. | 2,444 | 46 |
* | CommVault Systems Inc. | 600 | 39 |
* | TrueCar Inc. | 12,999 | 32 |
* | Cirrus Logic Inc. | 264 | 20 |
Shutterstock Inc. | 278 | 15 | |
13,594 | |||
Telecommunications (6.9%) | |||
Verizon Communications Inc. | 30,814 | 1,201 | |
* | T-Mobile US Inc. | 6,135 | 929 |
AT&T Inc. | 47,749 | 921 | |
Comcast Corp. Class A | 14,601 | 535 | |
Cisco Systems Inc. | 9,603 | 478 | |
Shenandoah Telecommunications Co. | 22,541 | 439 | |
* | United States Cellular Corp. | 18,797 | 400 |
InterDigital Inc. | 6,215 | 312 | |
* | Anterix Inc. | 6,071 | 206 |
ATN International Inc. | 3,309 | 160 | |
Motorola Solutions Inc. | 85 | 23 | |
5,604 | |||
Utilities (7.4%) | |||
Chesapeake Utilities Corp. | 9,397 | 1,125 | |
Consolidated Edison Inc. | 8,899 | 873 | |
Spire Inc. | 10,132 | 751 | |
Avista Corp. | 16,866 | 696 | |
Duke Energy Corp. | 6,259 | 626 | |
WEC Energy Group Inc. | 5,279 | 523 | |
Northwest Natural Holding Co. | 8,617 | 432 | |
Waste Management Inc. | 1,678 | 282 | |
NorthWestern Corp. | 4,687 | 274 | |
ONE Gas Inc. | 1,725 | 150 | |
MGE Energy Inc. | 1,847 | 133 | |
CMS Energy Corp. | 1,022 | 62 | |
DTE Energy Co. | 364 | 42 | |
Eversource Energy | 184 | ��15 | |
American Water Works Co. Inc. | 3 | 1 | |
Ameren Corp. | 4 | — | |
American States Water Co. | 2 | — | |
PPL Corp. | 6 | — |
Shares | Market Value• ($000) | ||
Republic Services Inc. Class A | 2 | — | |
5,985 | |||
Total Common Stocks (Cost $73,133) | 80,310 | ||
Temporary Cash Investments (1.2%) | |||
Money Market Fund (1.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 3.877% (Cost $961) | 9,611 | 961 |
Total Investments (100.6%) (Cost $74,094) | 81,271 | ||
Other Assets and Liabilities—Net (-0.6%) | (483) | ||
Net Assets (100%) | 80,788 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $613,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $662,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | December 2022 | 16 | 327 | 8 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $73,133) | 80,310 |
Affiliated Issuers (Cost $961) | 961 |
Total Investments in Securities | 81,271 |
Investment in Vanguard | 3 |
Cash Collateral Pledged—Futures Contracts | 24 |
Receivables for Investment Securities Sold | 17 |
Receivables for Accrued Income | 130 |
Receivables for Capital Shares Issued | 4,632 |
Variation Margin Receivable—Futures Contracts | 10 |
Total Assets | 86,087 |
Liabilities | |
Due to Custodian | 17 |
Payables for Investment Securities Purchased | 4,616 |
Collateral for Securities on Loan | 662 |
Payables to Vanguard | 4 |
Total Liabilities | 5,299 |
Net Assets | 80,788 |
1 Includes $613 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 80,754 |
Total Distributable Earnings (Loss) | 34 |
Net Assets | 80,788 |
Net Assets | |
Applicable to 785,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 80,788 |
Net Asset Value Per Share | $102.91 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,369 |
Interest1 | 3 |
Securities Lending—Net | 17 |
Total Income | 1,389 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 13 |
Marketing and Distribution | — |
Custodian Fees | 2 |
Auditing Fees | 28 |
Shareholders’ Reports | 19 |
Trustees’ Fees and Expenses | — |
Professional Services | 16 |
Total Expenses | 78 |
Net Investment Income | 1,311 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 2,033 |
Futures Contracts | (3) |
Realized Net Gain (Loss) | 2,030 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (44) |
Futures Contracts | 1 |
Change in Unrealized Appreciation (Depreciation) | (43) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,298 |
1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,231,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,311 | 699 |
Realized Net Gain (Loss) | 2,030 | 6,386 |
Change in Unrealized Appreciation (Depreciation) | (43) | 896 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,298 | 7,981 |
Distributions | ||
Total Distributions | (1,062) | (905) |
Capital Share Transactions | ||
Issued | 42,084 | 1,451 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (10,661) | (18,000) |
Net Increase (Decrease) from Capital Share Transactions | 31,423 | (16,549) |
Total Increase (Decrease) | 33,659 | (9,473) |
Net Assets | ||
Beginning of Period | 47,129 | 56,602 |
End of Period | 80,788 | 47,129 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $100.28 | $87.08 | $91.10 | $81.69 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 2.160 | 1.374 | 1.779 | 2.632 | 1.887 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.231 | 13.497 | (3.776) | 8.996 | 5.677 |
Total from Investment Operations | 4.391 | 14.871 | (1.997) | 11.628 | 7.564 |
Distributions | |||||
Dividends from Net Investment Income | (1.761) | (1.671) | (2.023) | (2.218) | (.874) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.761) | (1.671) | (2.023) | (2.218) | (.874) |
Net Asset Value, End of Period | $102.91 | $100.28 | $87.08 | $91.10 | $81.69 |
Total Return | 4.46% | 17.22% | -1.99% | 14.58% | 10.07% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $81 | $47 | $57 | $91 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 2.18% | 1.43% | 2.14% | 3.05% | 2.90%3 |
Portfolio Turnover Rate | 32%4 | 46%4 | 83%4 | 23% | 5% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. |
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. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 1,231 |
Total Distributable Earnings (Loss) | (1,231) |
Amount ($000) | |
Undistributed Ordinary Income | 379 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (7,522) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 7,177 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 1,062 | 905 |
Long-Term Capital Gains | — | — |
Total | 1,062 | 905 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 74,094 |
Gross Unrealized Appreciation | 9,798 |
Gross Unrealized Depreciation | (2,621) |
Net Unrealized Appreciation (Depreciation) | 7,177 |
E. | During the year ended November 30, 2022, the fund purchased $61,268,000 of investment securities and sold $29,839,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $10,583,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 425 | 15 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (110) | (195) |
Net Increase (Decrease) in Shares Outstanding | 315 | (180) |
G. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/13/2018) | Final Value of a $10,000 Investment | ||
U.S. Momentum Factor ETF Net Asset Value | -6.27% | 11.71% | $17,002 | |
U.S. Momentum Factor ETF Market Price | -6.30 | 11.70 | 16,997 | |
Russell 3000 Index | -10.80 | 10.69 | 16,272 |
One Year | Since Inception (2/13/2018) | |
U.S. Momentum Factor ETF Market Price | -6.30% | 69.97% |
U.S. Momentum Factor ETF Net Asset Value | -6.27 | 70.02 |
Russell 3000 Index | -10.80 | 62.72 |
Basic Materials | 3.3% |
Consumer Discretionary | 9.8 |
Consumer Staples | 10.1 |
Energy | 20.0 |
Financials | 13.8 |
Health Care | 19.3 |
Industrials | 14.6 |
Real Estate | 0.1 |
Technology | 6.2 |
Telecommunications | 2.1 |
Utilities | 0.7 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (3.3%) | |||
Nucor Corp. | 6,932 | 1,039 | |
Steel Dynamics Inc. | 6,373 | 662 | |
* | RBC Bearings Inc. | 2,475 | 586 |
Commercial Metals Co. | 10,721 | 528 | |
* | Livent Corp. | 18,625 | 521 |
Albemarle Corp. | 1,845 | 513 | |
Sylvamo Corp. | 8,915 | 482 | |
CF Industries Holdings Inc. | 4,435 | 480 | |
Chemours Co. | 15,047 | 467 | |
Ryerson Holding Corp. | 15,748 | 464 | |
Olin Corp. | 7,965 | 454 | |
Sensient Technologies Corp. | 4,899 | 366 | |
Mosaic Co. | 7,107 | 365 | |
* | TimkenSteel Corp. | 17,937 | 335 |
* | LSB Industries Inc. | 20,299 | 313 |
Mueller Industries Inc. | 4,181 | 288 | |
* | Uranium Energy Corp. | 55,904 | 217 |
* | US Silica Holdings Inc. | 14,517 | 190 |
Timken Co. | 2,259 | 172 | |
Materion Corp. | 1,995 | 161 | |
* | Intrepid Potash Inc. | 3,724 | 134 |
* | Piedmont Lithium Inc. | 2,082 | 120 |
* | Energy Fuels Inc. | 14,685 | 102 |
* | Clearwater Paper Corp. | 2,306 | 90 |
Reliance Steel & Aluminum Co. | 391 | 83 | |
American Vanguard Corp. | 3,475 | 80 | |
UFP Industries Inc. | 901 | 74 | |
* | Origin Materials Inc. | 8,888 | 50 |
9,336 | |||
Consumer Discretionary (9.8%) | |||
* | AutoZone Inc. | 850 | 2,192 |
* | O'Reilly Automotive Inc. | 2,481 | 2,145 |
Dollar General Corp. | 5,128 | 1,311 | |
McDonald's Corp. | 4,677 | 1,276 | |
Costco Wholesale Corp. | 2,266 | 1,222 | |
H&R Block Inc. | 24,412 | 1,067 | |
Murphy USA Inc. | 3,355 | 992 | |
* | Chipotle Mexican Grill Inc. Class A | 494 | 804 |
TJX Cos. Inc. | 9,603 | 769 | |
* | Liberty Media Corp.-Liberty Formula One Class C | 10,769 | 656 |
* | BJ's Wholesale Club Holdings Inc. | 8,127 | 611 |
Yum! Brands Inc. | 4,583 | 590 |
Shares | Market Value• ($000) | ||
Genuine Parts Co. | 3,006 | 551 | |
* | Las Vegas Sands Corp. | 10,399 | 487 |
* | elf Beauty Inc. | 8,583 | 472 |
* | American Axle & Manufacturing Holdings Inc. | 41,314 | 430 |
* | Tesla Inc. | 2,209 | 430 |
* | Kura Sushi USA Inc. Class A | 5,613 | 369 |
Dillard's Inc. Class A | 1,006 | 362 | |
* | Mattel Inc. | 19,505 | 356 |
Rush Enterprises Inc. Class A | 6,711 | 346 | |
* | United Airlines Holdings Inc. | 7,789 | 344 |
* | Chico's FAS Inc. | 56,619 | 332 |
* | Ulta Beauty Inc. | 703 | 327 |
Designer Brands Inc. Class A | 19,194 | 294 | |
* | Trade Desk Inc. Class A | 5,636 | 294 |
* | Skyline Champion Corp. | 5,502 | 286 |
* | XPEL Inc. | 4,122 | 283 |
World Wrestling Entertainment Inc. Class A | 3,491 | 279 | |
Texas Roadhouse Inc. Class A | 2,770 | 275 | |
RCI Hospitality Holdings Inc. | 3,006 | 274 | |
* | Adtalem Global Education Inc. | 6,406 | 266 |
* | Green Brick Partners Inc. | 11,015 | 266 |
* | Dave & Buster's Entertainment Inc. | 6,654 | 264 |
* | Visteon Corp. | 1,742 | 256 |
Service Corp. International | 3,551 | 254 | |
* | Bowlero Corp. | 18,200 | 254 |
Laureate Education Inc. Class A | 23,442 | 246 | |
Dick's Sporting Goods Inc. | 2,050 | 245 | |
* | Copa Holdings SA Class A | 2,799 | 245 |
Harley-Davidson Inc. | 5,110 | 241 | |
Marriott International Inc. Class A | 1,444 | 239 | |
* | Instructure Holdings Inc. | 9,355 | 235 |
Wingstop Inc. | 1,417 | 234 | |
* | Xponential Fitness Inc. Class A | 10,405 | 230 |
* | TravelCenters of America Inc. | 4,436 | 227 |
* | Stride Inc. | 6,377 | 226 |
* | Dollar Tree Inc. | 1,450 | 218 |
* | Liberty Media Corp.- Liberty Formula One Class A | 3,643 | 200 |
Rollins Inc. | 4,663 | 189 | |
* | Deckers Outdoor Corp. | 464 | 185 |
Academy Sports & Outdoors Inc. | 3,673 | 185 | |
Bloomin' Brands Inc. | 8,049 | 181 |
Shares | Market Value• ($000) | ||
Oxford Industries Inc. | 1,498 | 169 | |
Scholastic Corp. | 4,078 | 168 | |
Caleres Inc. | 6,299 | 152 | |
Movado Group Inc. | 4,728 | 152 | |
A-Mark Precious Metals Inc. | 4,224 | 146 | |
* | Liberty Media Corp.- Liberty Braves Class C | 4,235 | 138 |
* | Destination XL Group Inc. | 20,358 | 136 |
Penske Automotive Group Inc. | 967 | 122 | |
* | Hyatt Hotels Corp. Class A | 1,178 | 118 |
* | Cavco Industries Inc. | 475 | 109 |
Nexstar Media Group Inc. Class A | 573 | 109 | |
Red Rock Resorts Inc. Class A | 2,250 | 101 | |
* | Lululemon Athletica Inc. | 236 | 90 |
* | Funko Inc. Class A | 9,400 | 89 |
Winmark Corp. | 350 | 84 | |
* | Monarch Casino & Resort Inc. | 966 | 82 |
* | Driven Brands Holdings Inc. | 2,160 | 66 |
* | Stoneridge Inc. | 2,683 | 63 |
Tractor Supply Co. | 263 | 59 | |
Churchill Downs Inc. | 250 | 55 | |
* | SeaWorld Entertainment Inc. | 882 | 50 |
* | Stagwell Inc. | 6,410 | 48 |
27,818 | |||
Consumer Staples (10.0%) | |||
McKesson Corp. | 7,989 | 3,049 | |
General Mills Inc. | 23,157 | 1,975 | |
Archer-Daniels-Midland Co. | 19,198 | 1,872 | |
Corteva Inc. | 26,934 | 1,809 | |
Hershey Co. | 7,504 | 1,765 | |
CVS Health Corp. | 16,420 | 1,673 | |
Coca-Cola Co. | 24,098 | 1,533 | |
Kellogg Co. | 16,255 | 1,186 | |
Hormel Foods Corp. | 25,105 | 1,180 | |
PepsiCo Inc. | 5,937 | 1,101 | |
Flowers Foods Inc. | 32,007 | 962 | |
Ingles Markets Inc. Class A | 9,132 | 923 | |
Weis Markets Inc. | 9,727 | 848 | |
* | Celsius Holdings Inc. | 6,719 | 748 |
Philip Morris International Inc. | 6,742 | 672 | |
SpartanNash Co. | 19,385 | 637 | |
Kroger Co. | 11,069 | 544 | |
Reynolds Consumer Products Inc. | 16,328 | 522 | |
Lamb Weston Holdings Inc. | 5,996 | 521 | |
* | Hostess Brands Inc. Class A | 19,358 | 511 |
AmerisourceBergen Corp. | 2,691 | 459 | |
MGP Ingredients Inc. | 3,407 | 426 | |
*,1 | Veru Inc. | 57,358 | 326 |
Edgewell Personal Care Co. | 6,694 | 289 | |
Cal-Maine Foods Inc. | 4,927 | 287 | |
Campbell Soup Co. | 5,306 | 285 | |
* | SunOpta Inc. | 29,907 | 280 |
* | Chefs' Warehouse Inc. | 6,172 | 240 |
Colgate-Palmolive Co. | 2,875 | 223 | |
* | United Natural Foods Inc. | 4,488 | 214 |
Brown-Forman Corp. Class B | 2,867 | 209 | |
* | Grocery Outlet Holding Corp. | 6,628 | 201 |
Mondelez International Inc. Class A | 2,637 | 178 | |
* | Post Holdings Inc. | 1,839 | 172 |
Coca-Cola Consolidated Inc. | 273 | 134 | |
Kimberly-Clark Corp. | 837 | 114 | |
Vector Group Ltd. | 8,592 | 95 |
Shares | Market Value• ($000) | ||
Andersons Inc. | 2,070 | 80 | |
* | TreeHouse Foods Inc. | 1,495 | 74 |
* | Sprouts Farmers Market Inc. | 1,911 | 66 |
J M Smucker Co. | 346 | 53 | |
28,436 | |||
Energy (19.9%) | |||
ConocoPhillips | 24,872 | 3,072 | |
Marathon Petroleum Corp. | 21,218 | 2,585 | |
Exxon Mobil Corp. | 22,519 | 2,507 | |
EOG Resources Inc. | 17,524 | 2,487 | |
Chevron Corp. | 11,814 | 2,166 | |
Valero Energy Corp. | 15,668 | 2,094 | |
Occidental Petroleum Corp. | 29,480 | 2,049 | |
Devon Energy Corp. | 28,803 | 1,974 | |
Schlumberger Ltd. | 34,721 | 1,790 | |
Phillips 66 | 16,431 | 1,782 | |
Pioneer Natural Resources Co. | 6,872 | 1,622 | |
HF Sinclair Corp. | 16,307 | 1,017 | |
Targa Resources Corp. | 13,460 | 1,001 | |
* | Enphase Energy Inc. | 3,042 | 975 |
Cheniere Energy Inc. | 5,435 | 953 | |
Marathon Oil Corp. | 23,750 | 727 | |
EQT Corp. | 16,014 | 679 | |
* | Nabors Industries Ltd. (XNYS) | 4,222 | 668 |
APA Corp. | 14,029 | 657 | |
Texas Pacific Land Corp. | 250 | 648 | |
Hess Corp. | 4,470 | 643 | |
Murphy Oil Corp. | 13,216 | 624 | |
Matador Resources Co. | 9,192 | 610 | |
* | Antero Resources Corp. | 16,624 | 608 |
PDC Energy Inc. | 7,954 | 591 | |
Ovintiv Inc. (XNYS) | 10,518 | 587 | |
* | First Solar Inc. | 3,362 | 580 |
ChampionX Corp. | 18,766 | 579 | |
Patterson-UTI Energy Inc. | 31,920 | 573 | |
NOV Inc. | 24,923 | 560 | |
Diamondback Energy Inc. | 3,759 | 556 | |
Williams Cos. Inc. | 15,412 | 535 | |
DTE Midstream LLC | 8,852 | 534 | |
SM Energy Co. | 12,344 | 532 | |
* | Southwestern Energy Co. | 76,468 | 529 |
Helmerich & Payne Inc. | 10,306 | 526 | |
CVR Energy Inc. | 13,114 | 483 | |
* | Tidewater Inc. | 15,501 | 471 |
Coterra Energy Inc. | 16,605 | 463 | |
* | Kosmos Energy Ltd. | 65,892 | 438 |
Range Resources Corp. | 15,146 | 437 | |
CONSOL Energy Inc. | 5,601 | 434 | |
Northern Oil and Gas Inc. | 11,227 | 409 | |
* | Denbury Inc. | 4,450 | 399 |
* | Peabody Energy Corp. | 12,442 | 397 |
* | Amplify Energy Corp. | 47,017 | 389 |
Warrior Met Coal Inc. | 10,386 | 382 | |
* | Weatherford International plc | 8,712 | 378 |
Alpha Metallurgical Resources Inc. | 2,152 | 369 | |
* | W&T Offshore Inc. | 53,633 | 368 |
* | Par Pacific Holdings Inc. | 15,426 | 361 |
1 | HighPeak Energy Inc. | 14,625 | 351 |
Arch Resources Inc. | 2,254 | 349 | |
New Fortress Energy Inc. Class A | 6,778 | 345 | |
Civitas Resources Inc. | 4,825 | 325 | |
Comstock Resources Inc. | 17,599 | 323 | |
* | SandRidge Energy Inc. | 15,841 | 323 |
*,1 | NextDecade Corp. | 59,070 | 321 |
Shares | Market Value• ($000) | ||
Chord Energy Corp. | 2,064 | 315 | |
* | TETRA Technologies Inc. | 81,573 | 311 |
* | Helix Energy Solutions Group Inc. | 46,539 | 297 |
* | NexTier Oilfield Solutions Inc. | 29,106 | 297 |
PBF Energy Inc. Class A | 7,412 | 295 | |
* | Laredo Petroleum Inc. | 4,134 | 264 |
* | Valaris Ltd. | 3,735 | 247 |
* | Earthstone Energy Inc. Class A | 14,967 | 237 |
Solaris Oilfield Infrastructure Inc. Class A | 21,435 | 235 | |
* | Borr Drilling Ltd. | 50,188 | 234 |
* | NOW Inc. | 18,606 | 232 |
* | Talos Energy Inc. | 11,825 | 232 |
* | Noble Corp. plc | 6,209 | 231 |
* | Ameresco Inc. Class A | 3,426 | 224 |
* | SilverBow Resources Inc. | 6,330 | 221 |
1 | Sitio Royalties Corp. | 6,954 | 219 |
Magnolia Oil & Gas Corp. Class A | 7,884 | 206 | |
* | CNX Resources Corp. | 11,747 | 204 |
* | Shoals Technologies Group Inc. Class A | 6,870 | 199 |
Permian resources Corp. Class A | 18,935 | 192 | |
Berry Corp. | 20,719 | 187 | |
SunCoke Energy Inc. | 21,507 | 182 | |
* | MRC Global Inc. | 15,311 | 180 |
* | Tellurian Inc. | 65,580 | 176 |
* | Golar LNG Ltd. | 6,917 | 173 |
* | Centrus Energy Corp. Class A | 4,351 | 165 |
Delek US Holdings Inc. | 5,159 | 160 | |
* | Expro Group Holdings NV | 8,738 | 152 |
VAALCO Energy Inc. | 29,113 | 151 | |
Kinetik Holdings Inc. Class A | 4,170 | 142 | |
* | Array Technologies Inc. | 6,635 | 139 |
* | REX American Resources Corp. | 4,095 | 121 |
* | Gulfport Energy Corp. | 1,491 | 121 |
Arcosa Inc. | 1,943 | 119 | |
California Resources Corp. | 2,108 | 96 | |
Cactus Inc. Class A | 1,577 | 86 | |
Select Energy Services Inc. Class A | 7,210 | 59 | |
56,436 | |||
Financials (13.7%) | |||
Unum Group | 47,785 | 2,016 | |
American Financial Group Inc. | 11,100 | 1,579 | |
Chubb Ltd. | 7,101 | 1,559 | |
Progressive Corp. | 11,760 | 1,554 | |
FNB Corp. | 107,728 | 1,519 | |
CVB Financial Corp. | 39,736 | 1,140 | |
Reinsurance Group of America Inc. | 6,675 | 964 | |
W R Berkley Corp. | 12,450 | 950 | |
M&T Bank Corp. | 5,108 | 868 | |
ServisFirst Bancshares Inc. | 11,423 | 866 | |
Safety Insurance Group Inc. | 8,699 | 798 | |
Aon plc Class A (XNYS) | 2,512 | 774 | |
American International Group Inc. | 11,457 | 723 | |
Assured Guaranty Ltd. | 10,378 | 691 | |
Kinsale Capital Group Inc. | 2,175 | 670 | |
Marsh & McLennan Cos. Inc. | 3,842 | 665 | |
* | Genworth Financial Inc. Class A | 125,560 | 632 |
Shares | Market Value• ($000) | ||
City Holding Co. | 5,912 | 603 | |
First BanCorp (XNYS) | 38,650 | 594 | |
Travelers Cos. Inc. | 3,118 | 592 | |
Employers Holdings Inc. | 12,287 | 571 | |
Hancock Whitney Corp. | 10,336 | 567 | |
Erie Indemnity Co. Class A | 1,946 | 550 | |
LPL Financial Holdings Inc. | 2,178 | 516 | |
Principal Financial Group Inc. | 5,659 | 507 | |
WesBanco Inc. | 12,334 | 499 | |
Globe Life Inc. | 4,140 | 497 | |
First Citizens BancShares Inc. Class A | 594 | 485 | |
Berkshire Hills Bancorp Inc. | 14,779 | 461 | |
White Mountains Insurance Group Ltd. | 320 | 435 | |
BancFirst Corp. | 4,023 | 410 | |
Bank OZK | 8,701 | 402 | |
Washington Federal Inc. | 10,691 | 377 | |
NBT Bancorp Inc. | 8,107 | 374 | |
* | EZCorp. Inc. Class A | 35,543 | 356 |
Towne Bank | 10,777 | 348 | |
* | Brighthouse Financial Inc. | 6,041 | 337 |
Nelnet Inc. Class A | 3,358 | 331 | |
Comerica Inc. | 4,398 | 316 | |
Hanmi Financial Corp. | 11,671 | 316 | |
Stock Yards Bancorp Inc. | 4,249 | 315 | |
Amalgamated Financial Corp. | 11,713 | 312 | |
Brown & Brown Inc. | 5,218 | 311 | |
* | StoneX Group Inc. | 3,052 | 310 |
* | Ryan Specialty Holdings Inc. | 7,254 | 292 |
* | Blucora Inc. | 11,441 | 287 |
East West Bancorp Inc. | 4,043 | 284 | |
Arthur J Gallagher & Co. | 1,407 | 280 | |
Federal Agricultural Mortgage Corp. Class C | 2,217 | 279 | |
Flushing Financial Corp. | 13,030 | 272 | |
Provident Financial Services Inc. | 11,987 | 270 | |
Heritage Financial Corp. | 8,103 | 267 | |
Banner Corp. | 3,763 | 266 | |
FactSet Research Systems Inc. | 570 | 263 | |
SouthState Corp. | 2,937 | 258 | |
United Bankshares Inc. | 5,831 | 250 | |
Cullen/Frost Bankers Inc. | 1,682 | 244 | |
1st Source Corp. | 3,980 | 227 | |
UMB Financial Corp. | 2,530 | 216 | |
Westamerica BanCorp | 3,454 | 213 | |
Washington Trust Bancorp Inc. | 4,143 | 206 | |
QCR Holdings Inc. | 3,804 | 200 | |
* | Ambac Financial Group Inc. | 12,162 | 198 |
* | Palomar Holdings Inc. | 3,095 | 194 |
OFG Bancorp | 6,565 | 190 | |
* | Berkshire Hathaway Inc. Class B | 557 | 177 |
Stellar Bancorp Inc. | 5,237 | 177 | |
Enterprise Financial Services Corp. | 3,334 | 174 | |
Horace Mann Educators Corp. | 4,387 | 169 | |
International Bancshares Corp. | 3,212 | 169 | |
United Fire Group Inc. | 5,461 | 167 | |
Raymond James Financial Inc. | 1,419 | 166 | |
RLI Corp. | 1,220 | 159 | |
* | Enova International Inc. | 3,719 | 150 |
Shares | Market Value• ($000) | ||
Cboe Global Markets Inc. | 1,136 | 144 | |
Lakeland Financial Corp. | 1,726 | 136 | |
Horizon Bancorp Inc. | 7,941 | 129 | |
TriCo Bancshares | 2,196 | 120 | |
Byline Bancorp Inc. | 5,125 | 117 | |
Hanover Insurance Group Inc. | 795 | 117 | |
Fulton Financial Corp. | 6,231 | 116 | |
CNA Financial Corp. | 2,672 | 114 | |
Northwest Bancshares Inc. | 7,400 | 113 | |
HarborOne Bancorp Inc. | 7,475 | 109 | |
Old Republic International Corp. | 3,978 | 97 | |
Preferred Bank | 1,235 | 93 | |
First Bancorp (XNGS) | 1,841 | 90 | |
* | Texas Capital Bancshares Inc. | 1,507 | 90 |
Commerce Bancshares Inc. | 1,136 | 85 | |
Univest Financial Corp. | 2,896 | 82 | |
Home BancShares Inc. | 3,185 | 81 | |
Southside Bancshares Inc. | 2,138 | 78 | |
Sandy Spring Bancorp Inc. | 2,216 | 77 | |
* | Nicolet Bankshares Inc. | 905 | 75 |
Trustmark Corp. | 1,914 | 70 | |
* | Mr Cooper Group Inc. | 1,525 | 69 |
Dime Community Bancshares Inc. | 1,920 | 68 | |
Central Pacific Financial Corp. | 3,166 | 67 | |
Ares Management Corp. Class A | 708 | 55 | |
Pinnacle Financial Partners Inc. | 613 | 51 | |
* | Encore Capital Group Inc. | 983 | 50 |
Bank of NT Butterfield & Son Ltd. | 1,362 | 47 | |
38,864 | |||
Health Care (19.2%) | |||
UnitedHealth Group Inc. | 5,311 | 2,909 | |
Merck & Co. Inc. | 22,527 | 2,481 | |
AbbVie Inc. | 15,173 | 2,446 | |
* | Vertex Pharmaceuticals Inc. | 7,550 | 2,389 |
Eli Lilly & Co. | 5,589 | 2,074 | |
Elevance Health Inc. | 3,512 | 1,872 | |
* | Regeneron Pharmaceuticals Inc. | 2,306 | 1,733 |
* | Centene Corp. | 19,729 | 1,717 |
Bristol-Myers Squibb Co. | 20,667 | 1,659 | |
Cigna Corp. | 4,754 | 1,564 | |
Amgen Inc. | 5,049 | 1,446 | |
Humana Inc. | 2,162 | 1,189 | |
Gilead Sciences Inc. | 10,258 | 901 | |
* | Sarepta Therapeutics Inc. | 5,532 | 679 |
* | Molina Healthcare Inc. | 1,875 | 631 |
* | Neurocrine Biosciences Inc. | 4,949 | 629 |
* | Alnylam Pharmaceuticals Inc. | 2,832 | 625 |
Thermo Fisher Scientific Inc. | 1,106 | 620 | |
* | Lantheus Holdings Inc. | 9,799 | 608 |
Cardinal Health Inc. | 7,547 | 605 | |
* | United Therapeutics Corp. | 2,094 | 586 |
* | Ionis Pharmaceuticals Inc. | 14,339 | 585 |
* | Apellis Pharmaceuticals Inc. | 11,145 | 556 |
* | Acadia Healthcare Co. Inc. | 6,225 | 554 |
* | Axsome Therapeutics Inc. | 7,593 | 549 |
* | Shockwave Medical Inc. | 1,947 | 494 |
* | ADMA Biologics Inc. | 145,865 | 487 |
* | CTI BioPharma Corp. | 78,818 | 474 |
* | TransMedics Group Inc. | 7,454 | 461 |
* | Catalyst Pharmaceuticals Inc. | 27,223 | 457 |
* | BioMarin Pharmaceutical Inc. | 4,197 | 424 |
Shares | Market Value• ($000) | ||
* | Karuna Therapeutics Inc. | 1,785 | 420 |
* | Geron Corp. (XNGS) | 180,609 | 419 |
* | UFP Technologies Inc. | 3,462 | 416 |
* | HealthEquity Inc. | 6,529 | 414 |
* | Theravance Biopharma Inc. | 36,446 | 392 |
* | Prometheus Biosciences Inc. | 9,327 | 383 |
* | Option Care Health Inc. | 11,926 | 359 |
* | Adicet Bio Inc. | 19,531 | 355 |
* | Cogent Biosciences Inc. | 27,955 | 352 |
* | Chinook Therapeutics Inc. | 15,458 | 350 |
* | Halozyme Therapeutics Inc. | 6,101 | 349 |
* | Revance Therapeutics Inc. | 16,039 | 348 |
* | Viridian Therapeutics Inc. | 13,731 | 347 |
* | Immunovant Inc. | 26,328 | 345 |
* | Evolent Health Inc. Class A | 11,211 | 323 |
* | Akero Therapeutics Inc. | 6,893 | 321 |
* | Ventyx Biosciences Inc. | 10,842 | 314 |
SIGA Technologies Inc. | 33,553 | 308 | |
* | Haemonetics Corp. | 3,493 | 298 |
* | Syndax Pharmaceuticals Inc. | 11,976 | 287 |
* | Kiniksa Pharmaceuticals Ltd. Class A | 16,939 | 285 |
* | Nuvalent Inc. Class A | 8,634 | 284 |
* | Krystal Biotech Inc. | 3,586 | 279 |
* | NextGen Healthcare Inc. | 13,259 | 276 |
* | Cytokinetics Inc. | 6,462 | 275 |
* | Sage Therapeutics Inc. | 6,638 | 272 |
* | Dyne Therapeutics Inc. | 23,191 | 271 |
* | Intra-Cellular Therapies Inc. | 4,883 | 265 |
* | Axonics Inc. | 3,829 | 262 |
* | Incyte Corp. | 3,226 | 257 |
* | Vaxcyte Inc. | 5,506 | 254 |
* | PTC Therapeutics Inc. | 6,078 | 252 |
* | iRhythm Technologies Inc. | 2,216 | 242 |
* | DICE Therapeutics Inc. | 6,900 | 240 |
* | Deciphera Pharmaceuticals Inc. | 14,563 | 232 |
* | PROCEPT BioRobotics Corp. | 5,417 | 232 |
* | IVERIC bio Inc. | 9,752 | 230 |
* | Cutera Inc. | 4,812 | 229 |
* | Relmada Therapeutics Inc. | 48,511 | 226 |
* | Glaukos Corp. | 4,784 | 223 |
Pfizer Inc. | 4,389 | 220 | |
* | Harmony Biosciences Holdings Inc. | 3,688 | 220 |
* | Day One Biopharmaceuticals Inc. | 10,372 | 220 |
* | Liquidia Corp. | 42,542 | 214 |
* | Mersana Therapeutics Inc. | 31,633 | 211 |
Royalty Pharma plc Class A | 4,697 | 207 | |
* | Corcept Therapeutics Inc. | 7,875 | 199 |
* | Jazz Pharmaceuticals plc | 1,265 | 198 |
* | FibroGen Inc. | 13,260 | 191 |
* | Gossamer Bio Inc. | 22,047 | 189 |
* | DocGo Inc. | 25,760 | 189 |
* | Prothena Corp. plc | 3,011 | 188 |
* | Addus HomeCare Corp. | 1,678 | 185 |
* | Cerevel Therapeutics Holdings Inc. | 6,308 | 183 |
* | Travere Thrapeutics Inc. | 9,077 | 183 |
* | CorVel Corp. | 1,179 | 180 |
* | Privia Health Group Inc. | 7,456 | 178 |
* | Amicus Therapeutics Inc. | 14,432 | 175 |
* | Amphastar Pharmaceuticals Inc. | 5,691 | 168 |
* | Point Biopharma Global Inc. | 24,676 | 168 |
* | Kezar Life Sciences Inc. | 20,187 | 158 |
Shares | Market Value• ($000) | ||
* | Design Therapeutics Inc. | 11,162 | 156 |
*,1 | Tricida Inc. | 644,295 | 155 |
* | Axogen Inc. | 14,075 | 154 |
* | Arcutis Biotherapeutics Inc. | 8,952 | 154 |
Ensign Group Inc. | 1,588 | 151 | |
* | Verve Therapeutics Inc. | 6,344 | 147 |
* | Crinetics Pharmaceuticals Inc. | 8,026 | 143 |
* | Treace Medical Concepts Inc. | 6,055 | 140 |
* | Esperion Therapeutics Inc. | 20,394 | 137 |
* | Biogen Inc. | 438 | 134 |
* | Dynavax Technologies Corp. | 10,736 | 133 |
Danaher Corp. | 484 | 132 | |
* | Silk Road Medical Inc. | 2,463 | 131 |
* | Supernus Pharmaceuticals Inc. | 3,487 | 128 |
* | Seres Therapeutics Inc. | 18,294 | 119 |
* | Intercept Pharmaceuticals Inc. | 7,864 | 117 |
*,1 | Cassava Sciences Inc. | 3,328 | 116 |
* | ImmunoGen Inc. | 21,595 | 112 |
* | Mirum Pharmaceuticals Inc. | 5,935 | 111 |
* | Avidity Biosciences Inc. | 9,355 | 109 |
* | Kura Oncology Inc. | 6,847 | 108 |
Becton Dickinson and Co. | 415 | 103 | |
* | AnaptysBio Inc. | 3,540 | 98 |
* | Nkarta Inc. | 11,110 | 94 |
* | Prestige Consumer Healthcare Inc. | 1,493 | 92 |
* | Evolus Inc. | 12,454 | 90 |
* | Rapt Therapeutics Inc. | 5,081 | 90 |
* | Cano Health Inc. | 46,377 | 88 |
* | agilon health Inc. | 4,891 | 86 |
* | Allogene Therapeutics Inc. | 8,443 | 83 |
* | Avid Bioservices Inc. | 5,281 | 83 |
* | BioCryst Pharmaceuticals Inc. | 5,699 | 76 |
* | ACADIA Pharmaceuticals Inc. | 4,546 | 71 |
Atrion Corp. | 99 | 60 | |
* | Paragon 28 Inc. | 2,767 | 57 |
* | Aclaris Therapeutics Inc. | 3,698 | 56 |
54,628 | |||
Industrials (14.6%) | |||
Northrop Grumman Corp. | 3,828 | 2,041 | |
Automatic Data Processing Inc. | 5,365 | 1,417 | |
General Dynamics Corp. | 5,510 | 1,391 | |
Lockheed Martin Corp. | 2,837 | 1,377 | |
Carlisle Cos. Inc. | 4,777 | 1,257 | |
Huntington Ingalls Industries Inc. | 4,750 | 1,102 | |
Valmont Industries Inc. | 2,821 | 955 | |
Jack Henry & Associates Inc. | 4,597 | 870 | |
* | Modine Manufacturing Co. | 40,868 | 865 |
Silgan Holdings Inc. | 14,445 | 764 | |
Griffon Corp. | 19,291 | 681 | |
* | O-I Glass Inc. | 41,400 | 679 |
* | FTI Consulting Inc. | 3,913 | 676 |
WW Grainger Inc. | 1,113 | 671 | |
EnPro Industries Inc. | 5,319 | 632 | |
* | ExlService Holdings Inc. | 3,333 | 624 |
L3Harris Technologies Inc. | 2,725 | 619 | |
Raytheon Technologies Corp. | 6,006 | 593 | |
* | Fiserv Inc. | 5,636 | 588 |
Schneider National Inc. Class B | 22,220 | 572 | |
* | WESCO International Inc. | 4,302 | 555 |
* | Huron Consulting Group Inc. | 7,066 | 550 |
Shares | Market Value• ($000) | ||
Applied Industrial Technologies Inc. | 4,073 | 540 | |
* | Chart Industries Inc. | 3,779 | 540 |
* | WillScot Mobile Mini Holdings Corp. | 10,994 | 530 |
Paychex Inc. | 4,241 | 526 | |
Hubbell Inc. Class B | 2,065 | 525 | |
Curtiss-Wright Corp. | 2,948 | 521 | |
Booz Allen Hamilton Holding Corp. Class A | 4,822 | 513 | |
* | Hudson Technologies Inc. | 44,980 | 508 |
* | Target Hospitality Corp. | 32,245 | 466 |
Advanced Drainage Systems Inc. | 4,671 | 454 | |
Triton International Ltd. | 6,485 | 438 | |
* | Cross Country Healthcare Inc. | 12,120 | 434 |
* | AMN Healthcare Services Inc. | 3,474 | 430 |
* | CBIZ Inc. | 8,538 | 424 |
* | Teekay Tankers Ltd. Class A | 11,807 | 398 |
International Seaways Inc. | 8,966 | 386 | |
1 | Flex LNG Ltd. | 9,622 | 362 |
* | Ardmore Shipping Corp. | 23,905 | 361 |
Quanta Services Inc. | 2,378 | 356 | |
Covenant Logistics Group Inc. Class A | 8,955 | 344 | |
McGrath RentCorp. | 3,509 | 344 | |
* | International Money Express Inc. | 15,765 | 342 |
Scorpio Tankers Inc. | 6,655 | 340 | |
* | Paylocity Holding Corp. | 1,526 | 332 |
CRA International Inc. | 2,637 | 325 | |
Frontline Ltd. | 23,302 | 322 | |
Encore Wire Corp. | 2,184 | 319 | |
nVent Electric plc | 7,959 | 318 | |
Cadre Holdings Inc. | 12,113 | 314 | |
ICF International Inc. | 2,808 | 304 | |
DHT Holdings Inc. | 29,933 | 303 | |
Nordic American Tankers Ltd. | 81,425 | 295 | |
SFL Corp. Ltd. | 29,220 | 286 | |
* | Fair Isaac Corp. | 451 | 280 |
* | Atkore Inc. | 2,276 | 278 |
* | Titan Machinery Inc. | 6,229 | 274 |
Cummins Inc. | 1,064 | 267 | |
* | NV5 Global Inc. | 1,825 | 264 |
* | Titan International Inc. | 18,316 | 263 |
* | ATI Inc. | 8,463 | 258 |
* | Dycom Industries Inc. | 2,792 | 255 |
* | Napco Security Technologies Inc. | 9,317 | 246 |
HEICO Corp. | 1,509 | 245 | |
Veritiv Corp. | 1,809 | 243 | |
Comfort Systems USA Inc. | 1,766 | 224 | |
* | Air Transport Services Group Inc. | 7,949 | 223 |
* | CoreCivic Inc. | 16,811 | 223 |
* | AAR Corp. | 4,755 | 221 |
Marten Transport Ltd. | 10,315 | 220 | |
* | GMS Inc. | 4,455 | 219 |
* | Donnelley Financial Solutions Inc. | 5,378 | 205 |
* | Energy Recovery Inc. | 8,718 | 202 |
Deere & Co. | 452 | 199 | |
* | BlueLinx Holdings Inc. | 2,836 | 197 |
* | Enovix Corp. | 14,975 | 195 |
Belden Inc. | 2,368 | 191 | |
Dorian LPG Ltd. | 9,363 | 182 |
Shares | Market Value• ($000) | ||
Eagle Bulk Shipping Inc. | 3,246 | 167 | |
* | MYR Group Inc. | 1,714 | 164 |
* | Aersale Corp. | 9,940 | 158 |
Golden Ocean Group Ltd. | 18,718 | 158 | |
Graphic Packaging Holding Co. | 6,819 | 157 | |
* | Verra Mobility Corp. Class A | 9,654 | 153 |
CH Robinson Worldwide Inc. | 1,468 | 147 | |
* | Fluor Corp. | 4,267 | 143 |
Resources Connection Inc. | 7,392 | 143 | |
Standex International Corp. | 1,341 | 141 | |
Wabash National Corp. | 5,482 | 137 | |
* | I3 Verticals Inc. Class A | 5,002 | 132 |
GATX Corp. | 1,163 | 131 | |
ArcBest Corp. | 1,560 | 129 | |
Moog Inc. Class A | 1,469 | 128 | |
MDU Resources Group Inc. | 3,910 | 123 | |
* | Kirby Corp. | 1,727 | 121 |
AECOM | 1,151 | 98 | |
Ryder System Inc. | 1,023 | 96 | |
Kforce Inc. | 1,551 | 92 | |
* | AeroVironment Inc. | 763 | 70 |
* | Franklin Covey Co. | 1,310 | 68 |
* | Payoneer Global Inc. | 11,387 | 62 |
* | PGT Innovations Inc. | 2,965 | 59 |
* | Babcock & Wilcox Enterprises Inc. | 12,458 | 57 |
Cintas Corp. | 124 | 57 | |
* | Hireright Holdings Corp. | 3,490 | 44 |
41,388 | |||
Real Estate (0.1%) | |||
* | GEO Group Inc. | 19,951 | 236 |
Technology (6.2%) | |||
* | Palo Alto Networks Inc. | 10,713 | 1,820 |
* | Cadence Design Systems Inc. | 8,189 | 1,409 |
* | Synopsys Inc. | 3,785 | 1,285 |
Apple Inc. | 5,212 | 772 | |
* | Lattice Semiconductor Corp. | 10,501 | 765 |
Amdocs Ltd. | 8,388 | 745 | |
* | Impinj Inc. | 5,086 | 649 |
* | ON Semiconductor Corp. | 7,530 | 566 |
International Business Machines Corp. | 3,491 | 520 | |
* | Qualys Inc. | 4,002 | 494 |
* | Gartner Inc. | 1,355 | 475 |
KBR Inc. | 8,233 | 425 | |
* | Rambus Inc. | 10,638 | 408 |
CTS Corp. | 9,282 | 395 | |
* | Photronics Inc. | 19,827 | 373 |
* | Pure Storage Inc. Class A | 12,782 | 373 |
* | Super Micro Computer Inc. | 4,052 | 366 |
* | Wolfspeed Inc. | 4,008 | 364 |
*,1 | GLOBALFOUNDRIES Inc. | 5,576 | 359 |
* | Sanmina Corp. | 4,965 | 328 |
* | Agilysys Inc. | 4,841 | 321 |
KLA Corp. | 759 | 298 | |
* | PDF Solutions Inc. | 8,930 | 280 |
* | Parsons Corp. | 5,535 | 274 |
Science Applications International Corp. | 2,399 | 264 | |
* | PTC Inc. | 2,053 | 261 |
CSG Systems International Inc. | 4,053 | 251 | |
* | Alpha & Omega Semiconductor Ltd. | 7,133 | 250 |
* | Box Inc. Class A | 9,053 | 249 |
Shares | Market Value• ($000) | ||
Adeia Inc. | 22,476 | 248 | |
* | GoDaddy Inc. Class A | 2,711 | 215 |
* | Paycor HCM Inc. | 6,834 | 198 |
* | Model N Inc. | 5,071 | 197 |
* | Xometry Inc. Class A | 4,615 | 195 |
A10 Networks Inc. | 9,959 | 186 | |
Hackett Group Inc. | 6,442 | 149 | |
* | DoubleVerify Holdings Inc. | 4,765 | 125 |
* | NetScout Systems Inc. | 2,865 | 107 |
* | Alteryx Inc. Class A | 2,027 | 91 |
Simulations Plus Inc. | 2,251 | 91 | |
* | CACI International Inc. Class A | 288 | 90 |
* | MACOM Technology Solutions Holdings Inc. Class H | 1,259 | 86 |
* | Avid Technology Inc. | 2,955 | 83 |
Leidos Holdings Inc. | 725 | 79 | |
* | SPS Commerce Inc. | 531 | 76 |
* | Edgio Inc. | 52,420 | 75 |
17,630 | |||
Telecommunications (2.1%) | |||
* | T-Mobile US Inc. | 8,406 | 1,273 |
* | Clearfield Inc. | 5,638 | 742 |
* | Arista Networks Inc. | 4,464 | 622 |
* | Iridium Communications Inc. | 10,173 | 540 |
* | Extreme Networks Inc. | 23,217 | 487 |
Motorola Solutions Inc. | 1,447 | 394 | |
* | Digi International Inc. | 8,621 | 366 |
* | CommScope Holding Co. Inc. | 34,124 | 303 |
* | Calix Inc. | 3,919 | 279 |
* | Lightwave Logic Inc. | 34,498 | 274 |
* | Harmonic Inc. | 16,334 | 251 |
Juniper Networks Inc. | 6,069 | 202 | |
* | Globalstar Inc. | 87,374 | 166 |
Ubiquiti Inc. | 195 | 58 | |
5,957 | |||
Utilities (0.7%) | |||
Waste Management Inc. | 5,934 | 995 | |
* | Clean Harbors Inc. | 2,188 | 263 |
*,1 | Vertex Energy Inc. | 27,551 | 228 |
*,1 | NuScale Power Corp. | 18,795 | 205 |
* | Casella Waste Systems Inc. Class A | 1,796 | 155 |
1,846 | |||
Total Common Stocks (Cost $245,449) | 282,575 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (1.2%) | |||
Money Market Fund (1.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 3.877% (Cost $3,414) | 34,147 | 3,414 |
Total Investments (100.8%) (Cost $248,863) | 285,989 | ||
Other Assets and Liabilities—Net (-0.8%) | (2,134) | ||
Net Assets (100%) | 283,855 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,930,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $2,465,000 was received for securities on loan. |
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 | December 2022 | 4 | 816 | 48 |
Micro E-mini S&P 500 Index | December 2022 | 18 | 367 | 7 |
55 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $245,449) | 282,575 |
Affiliated Issuers (Cost $3,414) | 3,414 |
Total Investments in Securities | 285,989 |
Investment in Vanguard | 10 |
Cash Collateral Pledged—Futures Contracts | 66 |
Receivables for Investment Securities Sold | 4 |
Receivables for Accrued Income | 419 |
Receivables for Capital Shares Issued | 609 |
Variation Margin Receivable—Futures Contracts | 35 |
Total Assets | 287,132 |
Liabilities | |
Due to Custodian | 4 |
Payables for Investment Securities Purchased | 793 |
Collateral for Securities on Loan | 2,465 |
Payables to Vanguard | 15 |
Total Liabilities | 3,277 |
Net Assets | 283,855 |
1 Includes $1,930 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 274,610 |
Total Distributable Earnings (Loss) | 9,245 |
Net Assets | 283,855 |
Net Assets | |
Applicable to 2,330,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 283,855 |
Net Asset Value Per Share | $121.83 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,805 |
Interest2 | 15 |
Securities Lending—Net | 40 |
Total Income | 3,860 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 124 |
Management and Administrative | 46 |
Marketing and Distribution | 11 |
Custodian Fees | 6 |
Auditing Fees | 28 |
Shareholders’ Reports | 36 |
Trustees’ Fees and Expenses | — |
Professional Services | 16 |
Total Expenses | 267 |
Net Investment Income | 3,593 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (15,000) |
Futures Contracts | 36 |
Realized Net Gain (Loss) | (14,964) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 5,283 |
Futures Contracts | 39 |
Change in Unrealized Appreciation (Depreciation) | 5,322 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,049) |
1 | Dividends are net of foreign withholding taxes of less than $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $15,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $9,093,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,593 | 1,153 |
Realized Net Gain (Loss) | (14,964) | 47 |
Change in Unrealized Appreciation (Depreciation) | 5,322 | 16,403 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,049) | 17,603 |
Distributions | ||
Total Distributions | (3,256) | (717) |
Capital Share Transactions | ||
Issued | 147,546 | 124,004 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (45,302) | (8,454) |
Net Increase (Decrease) from Capital Share Transactions | 102,244 | 115,550 |
Total Increase (Decrease) | 92,939 | 132,436 |
Net Assets | ||
Beginning of Period | 190,916 | 58,480 |
End of Period | 283,855 | 190,916 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $132.12 | $106.33 | $85.18 | $76.73 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 2.072 | 1.227 | .552 | .985 | .538 |
Net Realized and Unrealized Gain (Loss) on Investments | (10.460) | 25.325 | 21.279 | 8.336 | 1.489 |
Total from Investment Operations | (8.388) | 26.552 | 21.831 | 9.321 | 2.027 |
Distributions | |||||
Dividends from Net Investment Income | (1.902) | (.762) | (.681) | (.871) | (.297) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.902) | (.762) | (.681) | (.871) | (.297) |
Net Asset Value, End of Period | $121.83 | $132.12 | $106.33 | $85.18 | $76.73 |
Total Return | -6.27% | 25.01% | 25.91% | 12.25% | 2.67% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $284 | $191 | $58 | $32 | $33 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3 |
Ratio of Net Investment Income to Average Net Assets | 1.76% | 0.95% | 0.62% | 1.24% | 0.83%3 |
Portfolio Turnover Rate | 88%4 | 103%4 | 115%4 | 118% | 53% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. |
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. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 9,094 |
Total Distributable Earnings (Loss) | (9,094) |
Amount ($000) | |
Undistributed Ordinary Income | 870 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (28,741) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 37,116 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 3,256 | 717 |
Long-Term Capital Gains | — | — |
Total | 3,256 | 717 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 248,873 |
Gross Unrealized Appreciation | 42,817 |
Gross Unrealized Depreciation | (5,701) |
Net Unrealized Appreciation (Depreciation) | 37,116 |
E. | During the year ended November 30, 2022, the fund purchased $330,838,000 of investment securities and sold $228,519,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $45,116,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 1,260 | 960 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (375) | (65) |
Net Increase (Decrease) in Shares Outstanding | 885 | 895 |
G. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/13/2018) | Final Value of a $10,000 Investment | ||
U.S. Multifactor ETF Net Asset Value | 3.73% | 9.06% | $15,158 | |
U.S. Multifactor ETF Market Price | 3.70 | 9.06 | 15,157 | |
Russell 3000 Index | -10.80 | 10.69 | 16,272 |
One Year | Since Inception (2/13/2018) | |
U.S. Multifactor ETF Market Price | 3.70% | 51.57% |
U.S. Multifactor ETF Net Asset Value | 3.73 | 51.58 |
Russell 3000 Index | -10.80 | 62.72 |
Basic Materials | 4.9% |
Consumer Discretionary | 14.2 |
Consumer Staples | 8.3 |
Energy | 17.3 |
Financials | 18.5 |
Health Care | 14.0 |
Industrials | 12.8 |
Real Estate | 0.1 |
Technology | 8.7 |
Telecommunications | 1.2 |
Utilities | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (4.9%) | |||
Freeport-McMoRan Inc. | 29,541 | 1,176 | |
CF Industries Holdings Inc. | 5,600 | 606 | |
Steel Dynamics Inc. | 5,440 | 565 | |
Reliance Steel & Aluminum Co. | 2,658 | 562 | |
Nucor Corp. | 3,266 | 490 | |
Olin Corp. | 8,052 | 459 | |
UFP Industries Inc. | 5,047 | 413 | |
Boise Cascade Co. | 5,012 | 371 | |
Mosaic Co. | 5,865 | 301 | |
Dow Inc. | 5,788 | 295 | |
Chemours Co. | 8,962 | 278 | |
AdvanSix Inc. | 6,715 | 276 | |
LyondellBasell Industries NV Class A | 3,139 | 267 | |
Mueller Industries Inc. | 3,788 | 260 | |
Southern Copper Corp. | 3,712 | 226 | |
* | Clearwater Paper Corp. | 5,702 | 223 |
Commercial Metals Co. | 4,223 | 208 | |
Huntsman Corp. | 7,480 | 208 | |
* | US Silica Holdings Inc. | 14,808 | 194 |
* | Univar Solutions Inc. | 4,775 | 158 |
Cabot Corp. | 1,800 | 132 | |
Alcoa Corp. | 2,487 | 125 | |
Timken Co. | 1,636 | 124 | |
US Steel Corp. | 3,434 | 90 | |
American Vanguard Corp. | 3,699 | 85 | |
Westlake Corp. | 716 | 77 | |
Avient Corp. | 1,722 | 60 | |
Materion Corp. | 697 | 56 | |
Fastenal Co. | 944 | 49 | |
International Paper Co. | 677 | 25 | |
8,359 | |||
Consumer Discretionary (14.1%) | |||
H&R Block Inc. | 27,257 | 1,191 | |
* | AutoZone Inc. | 405 | 1,044 |
Lowe's Cos. Inc. | 4,231 | 899 | |
* | O'Reilly Automotive Inc. | 1,040 | 899 |
Costco Wholesale Corp. | 1,314 | 709 | |
Dillard's Inc. Class A | 1,684 | 606 | |
Scholastic Corp. | 13,575 | 558 | |
Dick's Sporting Goods Inc. | 3,912 | 468 | |
* | AutoNation Inc. | 3,727 | 462 |
* | Perdoceo Education Corp. | 30,470 | 437 |
LKQ Corp. | 7,514 | 408 | |
Genuine Parts Co. | 2,151 | 394 |
Shares | Market Value• ($000) | ||
* | American Axle & Manufacturing Holdings Inc. | 35,703 | 372 |
Ethan Allen Interiors Inc. | 13,010 | 370 | |
Lennar Corp. Class A | 4,155 | 365 | |
Omnicom Group Inc. | 4,395 | 351 | |
Boyd Gaming Corp. | 5,605 | 344 | |
Oxford Industries Inc. | 3,007 | 339 | |
Murphy USA Inc. | 1,111 | 329 | |
* | Capri Holdings Ltd. | 5,714 | 328 |
Ralph Lauren Corp. Class A | 2,862 | 324 | |
Nexstar Media Group Inc. Class A | 1,688 | 320 | |
Fox Corp. Class A | 9,449 | 307 | |
* | SeaWorld Entertainment Inc. | 5,145 | 294 |
* | BJ's Wholesale Club Holdings Inc. | 3,813 | 287 |
* | Cars.com Inc. | 18,649 | 276 |
Macy's Inc. | 11,476 | 270 | |
Movado Group Inc. | 8,396 | 270 | |
* | Monarch Casino & Resort Inc. | 3,173 | 269 |
Travel + Leisure Co. | 6,792 | 264 | |
Hibbett Inc. | 3,867 | 258 | |
International Game Technology plc | 10,458 | 257 | |
Penske Automotive Group Inc. | 1,970 | 249 | |
Service Corp. International | 3,393 | 242 | |
Haverty Furniture Cos. Inc. | 7,644 | 241 | |
Interpublic Group of Cos. Inc. | 7,028 | 241 | |
* | NVR Inc. | 51 | 237 |
Rush Enterprises Inc. Class A | 4,546 | 234 | |
* | ODP Corp. | 4,734 | 228 |
* | Bowlero Corp. | 16,057 | 224 |
Tapestry Inc. | 5,775 | 218 | |
BorgWarner Inc. (XNYS) | 4,986 | 212 | |
Williams-Sonoma Inc. | 1,746 | 204 | |
Thor Industries Inc. | 2,325 | 200 | |
Whirlpool Corp. | 1,346 | 197 | |
PulteGroup Inc. | 4,360 | 195 | |
* | Skyline Champion Corp. | 3,626 | 188 |
Signet Jewelers Ltd. | 2,892 | 188 | |
* | TravelCenters of America Inc. | 3,663 | 187 |
* | United Airlines Holdings Inc. | 4,214 | 186 |
* | Dave & Buster's Entertainment Inc. | 4,526 | 179 |
Academy Sports & Outdoors Inc. | 3,537 | 179 | |
* | Green Brick Partners Inc. | 7,304 | 177 |
Group 1 Automotive Inc. | 909 | 176 | |
Buckle Inc. | 3,682 | 162 |
Shares | Market Value• ($000) | ||
* | Cavco Industries Inc. | 695 | 160 |
Entravision Communications Corp. Class A | 28,838 | 160 | |
Advance Auto Parts Inc. | 1,051 | 159 | |
* | Deckers Outdoor Corp. | 398 | 159 |
* | Master Craft Boat Holdings Inc. | 5,782 | 149 |
Acushnet Holdings Corp. | 3,167 | 144 | |
Sonic Automotive Inc. Class A | 2,634 | 140 | |
eBay Inc. | 3,066 | 139 | |
Jack in the Box Inc. | 1,821 | 132 | |
* | Mattel Inc. | 7,250 | 132 |
Gentex Corp. | 4,311 | 125 | |
* | Chico's FAS Inc. | 20,658 | 121 |
Rent-A-Center Inc. | 4,782 | 115 | |
Strategic Education Inc. | 1,370 | 112 | |
* | MarineMax Inc. | 3,358 | 111 |
La-Z-Boy Inc. | 4,038 | 110 | |
* | Knowles Corp. | 6,977 | 109 |
* | Ulta Beauty Inc. | 230 | 107 |
* | American Airlines Group Inc. | 7,068 | 102 |
* | Brinker International Inc. | 3,020 | 101 |
Ford Motor Co. | 7,262 | 101 | |
* | Asbury Automotive Group Inc. | 511 | 96 |
* | Malibu Boats Inc. Class A | 1,597 | 92 |
Bloomin' Brands Inc. | 3,939 | 89 | |
Guess? Inc. | 4,272 | 89 | |
Shoe Carnival Inc. | 3,339 | 88 | |
* | Taylor Morrison Home Corp. Class A | 2,875 | 87 |
PVH Corp. | 1,274 | 86 | |
A-Mark Precious Metals Inc. | 2,480 | 86 | |
Harley-Davidson Inc. | 1,815 | 85 | |
News Corp. Class B | 4,351 | 85 | |
* | Genesco Inc. | 1,549 | 81 |
* | Golden Entertainment Inc. | 1,809 | 80 |
Dine Brands Global Inc. | 1,058 | 79 | |
Kontoor Brands Inc. | 1,776 | 77 | |
* | Thryv Holdings Inc. | 3,978 | 76 |
* | Funko Inc. Class A | 7,874 | 75 |
* | G-III Apparel Group Ltd. | 3,463 | 75 |
* | Stride Inc. | 2,101 | 74 |
Cato Corp. Class A | 6,681 | 69 | |
HNI Corp. | 2,378 | 69 | |
Matthews International Corp. Class A | 2,176 | 69 | |
Winnebago Industries Inc. | 1,139 | 67 | |
Caleres Inc. | 2,746 | 66 | |
Designer Brands Inc. Class A | 4,157 | 64 | |
Laureate Education Inc. Class A | 5,968 | 62 | |
* | Meritage Homes Corp. | 653 | 56 |
John Wiley & Sons Inc. Class A | 1,173 | 56 | |
Interface Inc. Class A | 4,943 | 53 | |
News Corp. Class A | 2,446 | 47 | |
Newell Brands Inc. | 3,270 | 42 | |
* | Copart Inc. | 618 | 41 |
* | Tri Pointe Homes Inc. | 2,041 | 38 |
Best Buy Co. Inc. | 361 | 31 | |
24,031 | |||
Consumer Staples (8.3%) | |||
Altria Group Inc. | 37,558 | 1,750 | |
McKesson Corp. | 3,937 | 1,503 | |
Philip Morris International Inc. | 11,756 | 1,172 | |
Kimberly-Clark Corp. | 7,154 | 970 | |
CVS Health Corp. | 8,945 | 911 | |
Kroger Co. | 14,944 | 735 |
Shares | Market Value• ($000) | ||
SpartanNash Co. | 20,323 | 668 | |
Colgate-Palmolive Co. | 8,567 | 664 | |
Ingles Markets Inc. Class A | 6,415 | 649 | |
Tyson Foods Inc. Class A | 9,653 | 640 | |
Weis Markets Inc. | 7,309 | 637 | |
Vector Group Ltd. | 47,001 | 522 | |
General Mills Inc. | 5,383 | 459 | |
Archer-Daniels-Midland Co. | 4,440 | 433 | |
Nu Skin Enterprises Inc. Class A | 6,941 | 290 | |
Kellogg Co. | 3,923 | 286 | |
Flowers Foods Inc. | 8,967 | 270 | |
Molson Coors Beverage Co. Class B | 4,841 | 267 | |
Cal-Maine Foods Inc. | 3,780 | 220 | |
PepsiCo Inc. | 1,132 | 210 | |
Coca-Cola Consolidated Inc. | 393 | 193 | |
AmerisourceBergen Corp. | 973 | 166 | |
Kraft Heinz Co. | 3,256 | 128 | |
* | Sprouts Farmers Market Inc. | 2,571 | 88 |
* | Pilgrim's Pride Corp. | 3,222 | 84 |
Casey's General Stores Inc. | 326 | 79 | |
Campbell Soup Co. | 1,368 | 73 | |
Edgewell Personal Care Co. | 1,488 | 64 | |
John B Sanfilippo & Son Inc. | 535 | 45 | |
14,176 | |||
Energy (17.2%) | |||
Exxon Mobil Corp. | 18,206 | 2,027 | |
Chevron Corp. | 10,802 | 1,980 | |
EOG Resources Inc. | 12,403 | 1,760 | |
Pioneer Natural Resources Co. | 5,523 | 1,303 | |
Occidental Petroleum Corp. | 17,239 | 1,198 | |
ConocoPhillips | 8,712 | 1,076 | |
Valero Energy Corp. | 7,140 | 954 | |
Cheniere Energy Inc. | 4,924 | 863 | |
Marathon Petroleum Corp. | 7,083 | 863 | |
Devon Energy Corp. | 12,423 | 851 | |
Marathon Oil Corp. | 23,649 | 724 | |
CONSOL Energy Inc. | 8,782 | 680 | |
Northern Oil and Gas Inc. | 15,961 | 581 | |
Civitas Resources Inc. | 8,440 | 569 | |
* | W&T Offshore Inc. | 65,184 | 448 |
PDC Energy Inc. | 5,916 | 440 | |
EQT Corp. | 9,942 | 422 | |
APA Corp. | 8,768 | 411 | |
Chord Energy Corp. | 2,664 | 406 | |
1 | Sitio Royalties Corp. | 12,861 | 406 |
Phillips 66 | 3,722 | 404 | |
SunCoke Energy Inc. | 47,024 | 398 | |
* | Antero Resources Corp. | 10,500 | 384 |
California Resources Corp. | 8,446 | 383 | |
* | Helix Energy Solutions Group Inc. | 56,706 | 362 |
Helmerich & Payne Inc. | 6,862 | 350 | |
* | ProPetro Holding Corp. | 31,075 | 341 |
Targa Resources Corp. | 4,533 | 337 | |
* | Southwestern Energy Co. | 48,377 | 335 |
ChampionX Corp. | 10,789 | 333 | |
Patterson-UTI Energy Inc. | 17,273 | 310 | |
Murphy Oil Corp. | 6,494 | 307 | |
Warrior Met Coal Inc. | 8,162 | 301 | |
RPC Inc. | 31,423 | 291 | |
Schlumberger Ltd. | 5,464 | 282 | |
Range Resources Corp. | 9,488 | 274 | |
CVR Energy Inc. | 7,049 | 260 | |
HF Sinclair Corp. | 4,136 | 258 | |
* | NexTier Oilfield Solutions Inc. | 24,680 | 251 |
Shares | Market Value• ($000) | ||
* | SandRidge Energy Inc. | 12,278 | 250 |
Ovintiv Inc. (XNYS) | 4,446 | 248 | |
Comstock Resources Inc. | 12,816 | 235 | |
SM Energy Co. | 5,320 | 229 | |
* | Talos Energy Inc. | 11,348 | 223 |
PBF Energy Inc. Class A | 5,388 | 214 | |
VAALCO Energy Inc. | 41,090 | 213 | |
Matador Resources Co. | 3,051 | 202 | |
* | NOW Inc. | 15,847 | 198 |
Coterra Energy Inc. | 6,911 | 193 | |
* | Kosmos Energy Ltd. | 27,545 | 183 |
Delek US Holdings Inc. | 5,797 | 180 | |
Diamondback Energy Inc. | 1,216 | 180 | |
* | Denbury Inc. | 1,920 | 172 |
Arch Resources Inc. | 1,076 | 166 | |
* | Par Pacific Holdings Inc. | 7,064 | 165 |
Antero Midstream Corp. | 14,477 | 164 | |
Texas Pacific Land Corp. | 60 | 156 | |
Magnolia Oil & Gas Corp. Class A | 5,907 | 154 | |
Liberty Energy Inc. Class A | 9,163 | 151 | |
* | REX American Resources Corp. | 4,493 | 133 |
* | Golar LNG Ltd. | 5,265 | 132 |
* | Earthstone Energy Inc. Class A | 7,347 | 116 |
* | Expro Group Holdings NV | 6,377 | 111 |
Berry Corp. | 11,528 | 104 | |
* | Noble Corp. plc | 2,789 | 104 |
* | Oceaneering International Inc. | 6,799 | 103 |
* | Oil States International Inc. | 15,097 | 102 |
Select Energy Services Inc. Class A | 12,369 | 101 | |
Kinetik Holdings Inc. Class A | 2,950 | 100 | |
* | SilverBow Resources Inc. | 2,396 | 84 |
Hess Corp. | 296 | 43 | |
* | Newpark Resources Inc. | 10,149 | 41 |
Baker Hughes Co. Class A | 1,074 | 31 | |
Solaris Oilfield Infrastructure Inc. Class A | 16 | — | |
29,304 | |||
Financials (18.5%) | |||
MetLife Inc. | 13,364 | 1,025 | |
Bank of New York Mellon Corp. | 21,224 | 974 | |
Wells Fargo & Co. | 19,689 | 944 | |
American International Group Inc. | 14,935 | 943 | |
Aon plc Class A (XNYS) | 2,689 | 829 | |
Morgan Stanley | 8,643 | 804 | |
First Financial Corp. | 13,152 | 632 | |
Unum Group | 14,103 | 595 | |
CNO Financial Group Inc. | 25,177 | 591 | |
Travelers Cos. Inc. | 3,065 | 582 | |
Associated Banc-Corp. | 20,268 | 499 | |
* | PRA Group Inc. | 14,155 | 487 |
First Financial Bancorp | 18,400 | 486 | |
Fidelity National Financial Inc. | 11,143 | 450 | |
Jefferies Financial Group Inc. | 11,544 | 439 | |
First BanCorp (XNYS) | 27,962 | 430 | |
MGIC Investment Corp. | 31,089 | 427 | |
Hope Bancorp Inc. | 30,896 | 421 | |
Allstate Corp. | 3,069 | 411 | |
Ameriprise Financial Inc. | 1,221 | 405 | |
First Commonwealth Financial Corp. | 27,408 | 403 | |
Hartford Financial Services Group Inc. | 5,053 | 386 | |
Principal Financial Group Inc. | 4,256 | 382 |
Shares | Market Value• ($000) | ||
OFG Bancorp | 12,933 | 375 | |
City Holding Co. | 3,673 | 374 | |
Northwest Bancshares Inc. | 23,620 | 361 | |
* | Enstar Group Ltd. | 1,614 | 352 |
Voya Financial Inc. | 5,219 | 344 | |
SLM Corp. | 19,568 | 342 | |
HarborOne Bancorp Inc. | 23,059 | 337 | |
Popular Inc. | 4,527 | 331 | |
* | Mr Cooper Group Inc. | 7,176 | 324 |
WesBanco Inc. | 7,879 | 319 | |
Dime Community Bancshares Inc. | 8,934 | 319 | |
*,1 | Credit Acceptance Corp. | 667 | 316 |
Nelnet Inc. Class A | 3,100 | 305 | |
Aflac Inc. | 4,226 | 304 | |
Radian Group Inc. | 15,273 | 299 | |
Central Pacific Financial Corp. | 13,978 | 296 | |
Heritage Financial Corp. | 8,954 | 295 | |
CNA Financial Corp. | 6,822 | 290 | |
* | Encore Capital Group Inc. | 5,664 | 285 |
HomeStreet Inc. | 10,433 | 285 | |
NBT Bancorp Inc. | 6,001 | 277 | |
Discover Financial Services | 2,517 | 273 | |
Comerica Inc. | 3,744 | 269 | |
Equitable Holdings Inc. | 8,480 | 269 | |
Navient Corp. | 16,036 | 266 | |
BOK Financial Corp. | 2,510 | 263 | |
Hanmi Financial Corp. | 9,576 | 259 | |
Washington Federal Inc. | 7,016 | 247 | |
Provident Financial Services Inc. | 10,847 | 244 | |
PennyMac Financial Services Inc. | 4,071 | 243 | |
Byline Bancorp Inc. | 10,460 | 238 | |
Employers Holdings Inc. | 5,106 | 237 | |
Fulton Financial Corp. | 12,663 | 235 | |
Kearny Financial Corp. | 23,313 | 225 | |
Assured Guaranty Ltd. | 3,295 | 219 | |
Great Southern Bancorp Inc. | 3,439 | 215 | |
Houlihan Lokey Inc. Class A | 2,138 | 210 | |
Midland States Bancorp Inc. | 7,602 | 205 | |
Sandy Spring Bancorp Inc. | 5,812 | 202 | |
Cathay General Bancorp | 4,315 | 201 | |
Flushing Financial Corp. | 9,594 | 200 | |
Bank of NT Butterfield & Son Ltd. | 5,711 | 199 | |
RLI Corp. | 1,519 | 198 | |
First American Financial Corp. | 3,603 | 197 | |
Federal Agricultural Mortgage Corp. Class C | 1,523 | 192 | |
LPL Financial Holdings Inc. | 805 | 191 | |
Piper Sandler Cos. | 1,311 | 188 | |
Safety Insurance Group Inc. | 1,995 | 183 | |
QCR Holdings Inc. | 3,341 | 176 | |
Chubb Ltd. | 779 | 171 | |
Commerce Bancshares Inc. | 2,223 | 167 | |
Federated Hermes Inc. | 4,406 | 167 | |
Southside Bancshares Inc. | 4,519 | 164 | |
* | NMI Holdings Inc. Class A | 7,372 | 159 |
Northfield Bancorp Inc. | 9,782 | 156 | |
White Mountains Insurance Group Ltd. | 112 | 152 | |
S&T Bancorp Inc. | 3,977 | 149 | |
American Equity Investment Life Holding Co. | 3,621 | 147 | |
Primerica Inc. | 974 | 145 | |
Hancock Whitney Corp. | 2,533 | 139 |
Shares | Market Value• ($000) | ||
TrustCo Bank Corp. NY | 3,526 | 137 | |
RenaissanceRe Holdings Ltd. | 704 | 133 | |
Amalgamated Financial Corp. | 4,789 | 128 | |
1st Source Corp. | 2,198 | 125 | |
Brookline Bancorp Inc. | 8,483 | 121 | |
Affiliated Managers Group Inc. | 728 | 117 | |
Virtu Financial Inc. Class A | 5,274 | 117 | |
Zions Bancorp NA | 2,232 | 116 | |
Preferred Bank | 1,521 | 115 | |
Globe Life Inc. | 930 | 112 | |
Park National Corp. | 708 | 107 | |
Assurant Inc. | 799 | 102 | |
Enact Holdings Inc. | 4,032 | 100 | |
OceanFirst Financial Corp. | 4,121 | 96 | |
ServisFirst Bancshares Inc. | 1,219 | 92 | |
Berkshire Hills Bancorp Inc. | 2,915 | 91 | |
Trustmark Corp. | 2,483 | 91 | |
Essent Group Ltd. | 2,258 | 91 | |
Reinsurance Group of America Inc. | 624 | 90 | |
OneMain Holdings Inc. | 2,267 | 89 | |
UMB Financial Corp. | 984 | 84 | |
Banner Corp. | 973 | 69 | |
Origin Bancorp Inc. | 1,647 | 67 | |
FNB Corp. | 4,663 | 66 | |
BankUnited Inc. | 1,743 | 64 | |
Washington Trust Bancorp Inc. | 1,190 | 59 | |
Ally Financial Inc. | 2,159 | 58 | |
BancFirst Corp. | 552 | 56 | |
Horizon Bancorp Inc. | 3,326 | 54 | |
Loews Corp. | 936 | 54 | |
Eagle Bancorp Inc. | 1,087 | 51 | |
Virtus Investment Partners Inc. | 257 | 50 | |
* | Arch Capital Group Ltd. | 793 | 48 |
Oppenheimer Holdings Inc. Class A | 1,130 | 47 | |
Stewart Information Services Corp. | 990 | 44 | |
Franklin Resources Inc. | 1,618 | 43 | |
KeyCorp | 1,838 | 35 | |
Independent Bank Corp. | 1,298 | 32 | |
31,386 | |||
Health Care (13.9%) | |||
Bristol-Myers Squibb Co. | 25,355 | 2,036 | |
Pfizer Inc. | 36,426 | 1,826 | |
* | Regeneron Pharmaceuticals Inc. | 2,108 | 1,585 |
AbbVie Inc. | 8,435 | 1,360 | |
Elevance Health Inc. | 2,414 | 1,287 | |
Gilead Sciences Inc. | 14,584 | 1,281 | |
Cigna Corp. | 2,975 | 978 | |
UnitedHealth Group Inc. | 1,737 | 951 | |
Amgen Inc. | 3,190 | 914 | |
* | Vertex Pharmaceuticals Inc. | 2,887 | 913 |
* | Moderna Inc. | 5,143 | 905 |
Merck & Co. Inc. | 7,803 | 859 | |
Johnson & Johnson | 3,555 | 633 | |
* | Hologic Inc. | 7,880 | 600 |
HCA Healthcare Inc. | 2,425 | 583 | |
* | Centene Corp. | 6,477 | 564 |
Humana Inc. | 944 | 519 | |
* | Catalyst Pharmaceuticals Inc. | 30,525 | 512 |
Cardinal Health Inc. | 6,085 | 488 | |
* | Molina Healthcare Inc. | 1,450 | 488 |
* | Biogen Inc. | 1,183 | 361 |
Organon & Co. | 13,789 | 359 | |
Quest Diagnostics Inc. | 2,245 | 341 |
Shares | Market Value• ($000) | ||
Premier Inc. Class A | 9,001 | 300 | |
* | Innoviva Inc. | 22,261 | 292 |
* | United Therapeutics Corp. | 1,001 | 280 |
* | Lantheus Holdings Inc. | 4,377 | 272 |
Eli Lilly & Co. | 588 | 218 | |
* | Medpace Holdings Inc. | 950 | 199 |
* | iTeos Therapeutics Inc. | 9,515 | 192 |
* | QuidelOrtho Corp. | 2,081 | 182 |
SIGA Technologies Inc. | 19,203 | 176 | |
* | CorVel Corp. | 773 | 118 |
Laboratory Corp. of America Holdings | 452 | 109 | |
Chemed Corp. | 195 | 101 | |
* | Shockwave Medical Inc. | 400 | 101 |
* | Jazz Pharmaceuticals plc | 620 | 97 |
* | NextGen Healthcare Inc. | 4,504 | 94 |
* | Amphastar Pharmaceuticals Inc. | 2,975 | 88 |
* | Corcept Therapeutics Inc. | 3,490 | 88 |
* | AbCellera Biologics Inc. | 6,831 | 88 |
* | Exelixis Inc. | 5,119 | 87 |
Patterson Cos. Inc. | 2,888 | 82 | |
* | Henry Schein Inc. | 653 | 53 |
Abbott Laboratories | 404 | 44 | |
* | Computer Programs and Systems Inc. | 1,438 | 43 |
* | AngioDynamics Inc. | 2,182 | 28 |
23,675 | |||
Industrials (12.7%) | |||
American Express Co. | 5,409 | 852 | |
Lockheed Martin Corp. | 969 | 470 | |
Louisiana-Pacific Corp. | 7,126 | 455 | |
* | Builders FirstSource Inc. | 6,688 | 428 |
* | Titan Machinery Inc. | 9,525 | 419 |
Covenant Logistics Group Inc. Class A | 10,255 | 394 | |
Paychex Inc. | 3,138 | 389 | |
Dorian LPG Ltd. | 19,310 | 376 | |
Snap-on Inc. | 1,536 | 370 | |
Resources Connection Inc. | 18,933 | 365 | |
Automatic Data Processing Inc. | 1,378 | 364 | |
Accenture plc Class A | 1,154 | 347 | |
General Dynamics Corp. | 1,366 | 345 | |
* | AMN Healthcare Services Inc. | 2,649 | 328 |
Schneider National Inc. Class B | 12,606 | 325 | |
Encore Wire Corp. | 2,166 | 316 | |
* | FTI Consulting Inc. | 1,808 | 312 |
Scorpio Tankers Inc. | 6,010 | 307 | |
* | Hub Group Inc. Class A | 3,621 | 305 |
SFL Corp. Ltd. | 31,041 | 304 | |
* | Ardmore Shipping Corp. | 19,506 | 294 |
Marten Transport Ltd. | 13,557 | 289 | |
Ryder System Inc. | 3,031 | 283 | |
* | ExlService Holdings Inc. | 1,461 | 273 |
* | United Rentals Inc. | 755 | 267 |
Owens Corning | 2,990 | 266 | |
ArcBest Corp. | 3,139 | 260 | |
* | Cross Country Healthcare Inc. | 7,244 | 259 |
Old Dominion Freight Line Inc. | 844 | 255 | |
* | Saia Inc. | 1,041 | 254 |
* | Teekay Tankers Ltd. Class A | 7,542 | 254 |
Crane Holdings Co. | 2,346 | 249 | |
L3Harris Technologies Inc. | 1,069 | 243 | |
Acuity Brands Inc. | 1,206 | 227 | |
Insperity Inc. | 1,894 | 224 | |
* | MYR Group Inc. | 2,317 | 221 |
Shares | Market Value• ($000) | ||
Moog Inc. Class A | 2,535 | 221 | |
AGCO Corp. | 1,660 | 220 | |
* | Modine Manufacturing Co. | 10,360 | 219 |
EMCOR Group Inc. | 1,311 | 203 | |
Jack Henry & Associates Inc. | 1,066 | 202 | |
Quanex Building Products Corp. | 8,496 | 202 | |
International Seaways Inc. | 4,696 | 202 | |
United Parcel Service Inc. Class B (XNYS) | 1,014 | 192 | |
McGrath RentCorp. | 1,944 | 191 | |
Advanced Drainage Systems Inc. | 1,957 | 190 | |
Kforce Inc. | 3,217 | 190 | |
ICF International Inc. | 1,726 | 187 | |
Apogee Enterprises Inc. | 3,695 | 178 | |
Heidrick & Struggles International Inc. | 6,004 | 178 | |
Triton International Ltd. | 2,586 | 174 | |
Cummins Inc. | 689 | 173 | |
Greif Inc. Class A | 2,442 | 172 | |
* | CoreCivic Inc. | 12,845 | 171 |
Simpson Manufacturing Co. Inc. | 1,832 | 170 | |
Insteel Industries Inc. | 5,730 | 169 | |
* | Atkore Inc. | 1,335 | 163 |
Werner Enterprises Inc. | 3,717 | 163 | |
Kronos Worldwide Inc. | 16,952 | 156 | |
Kelly Services Inc. Class A | 9,042 | 154 | |
Eagle Materials Inc. | 1,114 | 152 | |
Matson Inc. | 2,336 | 149 | |
Crown Holdings Inc. | 1,743 | 143 | |
* | AAR Corp. | 2,933 | 137 |
Belden Inc. | 1,666 | 134 | |
Textainer Group Holdings Ltd. | 4,358 | 133 | |
Genco Shipping & Trading Ltd. | 8,889 | 132 | |
* | TrueBlue Inc. | 6,004 | 130 |
* | GMS Inc. | 2,624 | 129 |
Wabash National Corp. | 5,056 | 127 | |
Knight-Swift Transportation Holdings Inc. | 2,223 | 123 | |
Expeditors International of Washington Inc. | 1,052 | 122 | |
Synchrony Financial | 3,183 | 120 | |
WW Grainger Inc. | 191 | 115 | |
CRA International Inc. | 910 | 112 | |
CSW Industrials Inc. | 914 | 111 | |
* | Aersale Corp. | 6,982 | 111 |
Myers Industries Inc. | 4,723 | 110 | |
Hubbell Inc. Class B | 429 | 109 | |
Nordic American Tankers Ltd. | 28,801 | 104 | |
DHT Holdings Inc. | 10,126 | 103 | |
Applied Industrial Technologies Inc. | 773 | 102 | |
* | TriNet Group Inc. | 1,366 | 99 |
Heartland Express Inc. | 5,862 | 98 | |
Landstar System Inc. | 566 | 98 | |
CH Robinson Worldwide Inc. | 954 | 96 | |
Watts Water Technologies Inc. Class A | 608 | 96 | |
* | Keysight Technologies Inc. | 523 | 95 |
Booz Allen Hamilton Holding Corp. Class A | 880 | 94 | |
H&E Equipment Services Inc. | 2,206 | 92 | |
Safe Bulkers Inc. | 32,289 | 92 | |
JB Hunt Transport Services Inc. | 484 | 89 | |
Franklin Electric Co. Inc. | 1,044 | 87 |
Shares | Market Value• ($000) | ||
* | O-I Glass Inc. | 5,283 | 87 |
Western Union Co. | 5,851 | 86 | |
* | Sterling Infrastructure Inc. | 2,591 | 85 |
Forward Air Corp. | 708 | 80 | |
1 | Flex LNG Ltd. | 2,127 | 80 |
Badger Meter Inc. | 673 | 78 | |
ManpowerGroup Inc. | 866 | 76 | |
Kadant Inc. | 387 | 75 | |
Berry Global Group Inc. | 1,263 | 74 | |
* | Conduent Inc. | 17,255 | 70 |
Westrock Co. | 1,858 | 70 | |
* | Air Transport Services Group Inc. | 2,338 | 66 |
Golden Ocean Group Ltd. | 7,868 | 66 | |
Watsco Inc. | 241 | 65 | |
Korn Ferry | 1,081 | 62 | |
Robert Half International Inc. | 766 | 60 | |
* | Beacon Roofing Supply Inc. | 1,000 | 58 |
Costamare Inc. | 5,931 | 57 | |
* | WESCO International Inc. | 357 | 46 |
Comfort Systems USA Inc. | 353 | 45 | |
Standex International Corp. | 397 | 42 | |
* | Masonite International Corp. | 548 | 41 |
ABM Industries Inc. | 874 | 41 | |
Packaging Corp. of America | 214 | 29 | |
* | XPO Logistics Inc. | 492 | 19 |
* | RXO Inc. | 492 | 9 |
21,640 | |||
Real Estate (0.1%) | |||
Newmark Group Inc. Class A | 9,197 | 78 | |
* | Anywhere Real Estate Inc. | 7,680 | 58 |
* | CBRE Group Inc. Class A | 527 | 42 |
178 | |||
Technology (8.7%) | |||
International Business Machines Corp. | 6,681 | 995 | |
Broadcom Inc. | 1,473 | 812 | |
Jabil Inc. | 10,367 | 748 | |
* | Cadence Design Systems Inc. | 3,844 | 661 |
HP Inc. | 15,827 | 475 | |
Cognizant Technology Solutions Corp. Class A | 7,573 | 471 | |
Amdocs Ltd. | 5,239 | 466 | |
* | ON Semiconductor Corp. | 6,135 | 461 |
KLA Corp. | 1,161 | 457 | |
* | Axcelis Technologies Inc. | 5,566 | 445 |
* | Photronics Inc. | 21,125 | 397 |
* | Onto Innovation Inc. | 4,640 | 371 |
Apple Inc. | 2,448 | 362 | |
* | Arrow Electronics Inc. | 3,275 | 356 |
Amkor Technology Inc. | 11,882 | 333 | |
*,1 | GLOBALFOUNDRIES Inc. | 5,062 | 326 |
QUALCOMM Inc. | 2,477 | 313 | |
Dell Technologies Inc. Class C | 6,832 | 306 | |
* | Alphabet Inc. Class C | 2,876 | 292 |
* | Gartner Inc. | 824 | 289 |
Gen Digital Inc. | 12,166 | 279 | |
* | DXC Technology Co. | 9,072 | 269 |
* | Sanmina Corp. | 3,840 | 254 |
* | Allscripts Healthcare Solutions Inc. | 13,379 | 253 |
CSG Systems International Inc. | 3,558 | 220 | |
* | Diodes Inc. | 2,320 | 214 |
Vishay Intertechnology Inc. | 9,242 | 213 | |
Applied Materials Inc. | 1,926 | 211 | |
A10 Networks Inc. | 10,328 | 193 |
Shares | Market Value• ($000) | ||
* | Cohu Inc. | 5,344 | 191 |
* | Box Inc. Class A | 6,535 | 179 |
Monolithic Power Systems Inc. | 467 | 178 | |
Texas Instruments Inc. | 793 | 143 | |
* | Qualys Inc. | 1,154 | 142 |
Kulicke & Soffa Industries Inc. | 2,768 | 133 | |
Adeia Inc. | 12,029 | 133 | |
* | Lattice Semiconductor Corp. | 1,751 | 128 |
* | SMART Global Holdings Inc. | 7,335 | 124 |
Teradyne Inc. | 1,316 | 123 | |
* | Avid Technology Inc. | 4,290 | 121 |
* | CACI International Inc. Class A | 381 | 119 |
* | Rambus Inc. | 2,793 | 107 |
Hewlett Packard Enterprise Co. | 6,277 | 105 | |
NetApp Inc. | 1,541 | 104 | |
* | Super Micro Computer Inc. | 1,115 | 101 |
* | Cirrus Logic Inc. | 1,291 | 97 |
CTS Corp. | 2,183 | 93 | |
* | NetScout Systems Inc. | 2,399 | 89 |
* | NCR Corp. | 3,610 | 86 |
* | Qorvo Inc. | 815 | 81 |
* | Alphabet Inc. Class A | 796 | 80 |
* | Consensus Cloud Solutions Inc. | 1,407 | 80 |
Methode Electronics Inc. | 1,619 | 74 | |
* | ePlus Inc. | 1,462 | 73 |
* | Pure Storage Inc. Class A | 2,389 | 70 |
* | Fabrinet | 516 | 69 |
* | Vivid Seats Inc. Class A | 8,079 | 63 |
* | PC Connection Inc. | 1,069 | 59 |
* | FormFactor Inc. | 2,263 | 52 |
Xperi Inc. | 4,811 | 52 | |
* | F5 Inc. | 308 | 48 |
Hackett Group Inc. | 1,696 | 39 | |
14,778 | |||
Telecommunications (1.2%) | |||
Cisco Systems Inc. | 13,688 | 681 | |
AT&T Inc. | 18,386 | 354 |
Shares | Market Value• ($000) | ||
* | Clearfield Inc. | 2,645 | 348 |
Juniper Networks Inc. | 6,067 | 202 | |
* | Extreme Networks Inc. | 5,016 | 105 |
Adtran Holdings Inc. | 4,889 | 99 | |
* | CommScope Holding Co. Inc. | 10,811 | 96 |
* | WideOpenWest Inc. | 4,345 | 45 |
* | Lumentum Holdings Inc. | 731 | 40 |
Lumen Technologies Inc. | 4,003 | 22 | |
1,992 | |||
Utilities (0.0%) | |||
* | Heritage-Crystal Clean Inc. | 1,335 | 42 |
Total Common Stocks (Cost $143,967) | 169,561 | ||
Temporary Cash Investments (0.7%) | |||
Money Market Fund (0.7%) | |||
2,3 | Vanguard Market Liquidity Fund, 3.877% (Cost $1,275) | 12,750 | 1,275 |
Total Investments (100.3%) (Cost $145,242) | 170,836 | ||
Other Assets and Liabilities—Net (-0.3%) | (579) | ||
Net Assets (100%) | 170,257 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $988,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $1,001,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | December 2022 | 29 | 592 | 54 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $143,967) | 169,561 |
Affiliated Issuers (Cost $1,275) | 1,275 |
Total Investments in Securities | 170,836 |
Investment in Vanguard | 6 |
Cash Collateral Pledged—Futures Contracts | 28 |
Receivables for Accrued Income | 369 |
Receivables for Capital Shares Issued | 6,306 |
Variation Margin Receivable—Futures Contracts | 17 |
Total Assets | 177,562 |
Liabilities | |
Payables for Investment Securities Purchased | 6,293 |
Collateral for Securities on Loan | 1,001 |
Payables to Vanguard | 11 |
Total Liabilities | 7,305 |
Net Assets | 170,257 |
1 Includes $988 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 163,073 |
Total Distributable Earnings (Loss) | 7,184 |
Net Assets | 170,257 |
Net Assets | |
Applicable to 1,620,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 170,257 |
Net Asset Value Per Share | $105.10 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,345 |
Interest2 | 6 |
Securities Lending—Net | — |
Total Income | 3,351 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 88 |
Management and Administrative | 83 |
Marketing and Distribution | 6 |
Custodian Fees | 4 |
Auditing Fees | 28 |
Shareholders’ Reports | 29 |
Trustees’ Fees and Expenses | — |
Professional Services | 16 |
Total Expenses | 254 |
Expenses Paid Indirectly | (1) |
Net Expenses | 253 |
Net Investment Income | 3,098 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 3,107 |
Futures Contracts | (39) |
Realized Net Gain (Loss) | 3,068 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 1,311 |
Futures Contracts | 51 |
Change in Unrealized Appreciation (Depreciation) | 1,362 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,528 |
1 | Dividends are net of foreign withholding taxes of $3,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,000, less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $6,398,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,098 | 1,364 |
Realized Net Gain (Loss) | 3,068 | 3,068 |
Change in Unrealized Appreciation (Depreciation) | 1,362 | 15,645 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,528 | 20,077 |
Distributions | ||
Total Distributions | (2,850) | (1,170) |
Capital Share Transactions | ||
Issued | 83,650 | 31,503 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (28,351) | (2,076) |
Net Increase (Decrease) from Capital Share Transactions | 55,299 | 29,427 |
Total Increase (Decrease) | 59,977 | 48,334 |
Net Assets | ||
Beginning of Period | 110,280 | 61,946 |
End of Period | 170,257 | 110,280 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $103.55 | $79.93 | $79.60 | $76.07 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 2.188 | 1.534 | 1.191 | 1.340 | 1.007 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.467 | 23.442 | .372 | 3.458 | .543 |
Total from Investment Operations | 3.655 | 24.976 | 1.563 | 4.798 | 1.550 |
Distributions | |||||
Dividends from Net Investment Income | (2.105) | (1.356) | (1.233) | (1.268) | (.480) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.105) | (1.356) | (1.233) | (1.268) | (.480) |
Net Asset Value, End of Period | $105.10 | $103.55 | $79.93 | $79.60 | $76.07 |
Total Return | 3.73% | 31.43% | 2.35% | 6.46% | 2.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $170 | $110 | $62 | $90 | $76 |
Ratio of Total Expenses to Average Net Assets | 0.18%3 | 0.18% | 0.19%3 | 0.19%3 | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 2.21% | 1.56% | 1.66% | 1.79% | 1.59%4 |
Portfolio Turnover Rate | 33%5 | 75%5 | 95%5 | 98% | 64% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.18%. |
4 | Annualized. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. |
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. |
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 year ended November 30, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 6,397 |
Total Distributable Earnings (Loss) | (6,397) |
Amount ($000) | |
Undistributed Ordinary Income | 697 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (19,107) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 25,594 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 2,850 | 1,170 |
Long-Term Capital Gains | — | — |
Total | 2,850 | 1,170 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 145,242 |
Gross Unrealized Appreciation | 30,736 |
Gross Unrealized Depreciation | (5,142) |
Net Unrealized Appreciation (Depreciation) | 25,594 |
F. | During the year ended November 30, 2022, the fund purchased $130,128,000 of investment securities and sold $74,713,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $28,301,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
G. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 840 | 315 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (285) | (25) |
Net Increase (Decrease) in Shares Outstanding | 555 | 290 |
H. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/13/2018) | Final Value of a $10,000 Investment | ||
U.S. Quality Factor ETF Net Asset Value | -7.15% | 10.13% | $15,883 | |
U.S. Quality Factor ETF Market Price | -7.21 | 10.13 | 15,883 | |
Russell 3000 Index | -10.80 | 10.69 | 16,272 |
One Year | Since Inception (2/13/2018) | |
U.S. Quality Factor ETF Market Price | -7.21% | 58.83% |
U.S. Quality Factor ETF Net Asset Value | -7.15 | 58.83 |
Russell 3000 Index | -10.80 | 62.72 |
Basic Materials | 3.4% |
Consumer Discretionary | 16.0 |
Consumer Staples | 5.6 |
Energy | 9.0 |
Financials | 16.2 |
Health Care | 14.6 |
Industrials | 17.2 |
Real Estate | 0.5 |
Technology | 15.9 |
Telecommunications | 1.6 |
Shares | Market Value• ($000) | ||
Common Stocks (99.5%) | |||
Basic Materials (3.4%) | |||
Freeport-McMoRan Inc. | 20,301 | 808 | |
Mueller Industries Inc. | 10,696 | 736 | |
Fastenal Co. | 12,475 | 643 | |
CF Industries Holdings Inc. | 5,762 | 623 | |
UFP Industries Inc. | 7,245 | 593 | |
US Steel Corp. | 15,660 | 412 | |
Olin Corp. | 5,507 | 314 | |
Sylvamo Corp. | 5,811 | 314 | |
Boise Cascade Co. | 4,193 | 311 | |
Ryerson Holding Corp. | 10,540 | 311 | |
Innospec Inc. | 2,644 | 293 | |
Steel Dynamics Inc. | 2,553 | 265 | |
Nucor Corp. | 1,750 | 262 | |
* | TimkenSteel Corp. | 12,264 | 229 |
Reliance Steel & Aluminum Co. | 1,062 | 224 | |
* | Clearwater Paper Corp. | 3,251 | 127 |
American Vanguard Corp. | 5,455 | 126 | |
* | Ingevity Corp. | 1,520 | 119 |
Alcoa Corp. | 1,800 | 90 | |
AdvanSix Inc. | 2,089 | 86 | |
Commercial Metals Co. | 448 | 22 | |
Orion Engineered Carbons SA | 708 | 13 | |
6,921 | |||
Consumer Discretionary (15.9%) | |||
Costco Wholesale Corp. | 4,149 | 2,237 | |
* | Booking Holdings Inc. | 1,030 | 2,142 |
* | Lululemon Athletica Inc. | 5,622 | 2,138 |
Walmart Inc. | 12,674 | 1,932 | |
Estee Lauder Cos. Inc. Class A | 7,115 | 1,678 | |
* | Airbnb Inc. Class A | 15,184 | 1,551 |
* | Tesla Inc. | 6,512 | 1,268 |
* | Grand Canyon Education Inc. | 6,849 | 774 |
* | PROG Holdings Inc. | 38,847 | 765 |
TJX Cos. Inc. | 9,241 | 740 | |
* | Deckers Outdoor Corp. | 1,678 | 669 |
Oxford Industries Inc. | 5,760 | 650 | |
* | Ulta Beauty Inc. | 1,370 | 637 |
* | Capri Holdings Ltd. | 9,387 | 538 |
* | Expedia Group Inc. | 4,944 | 528 |
* | Perdoceo Education Corp. | 34,779 | 499 |
Genuine Parts Co. | 2,574 | 472 | |
Rollins Inc. | 11,476 | 464 | |
Tapestry Inc. | 12,258 | 463 | |
* | Monarch Casino & Resort Inc. | 5,103 | 433 |
Macy's Inc. | 18,234 | 429 | |
Movado Group Inc. | 12,447 | 401 |
Shares | Market Value• ($000) | ||
Rent-A-Center Inc. | 15,015 | 362 | |
Signet Jewelers Ltd. | 5,358 | 348 | |
* | Master Craft Boat Holdings Inc. | 13,403 | 345 |
Ethan Allen Interiors Inc. | 12,017 | 342 | |
Lennar Corp. Class B | 4,678 | 340 | |
Ralph Lauren Corp. Class A | 2,978 | 337 | |
* | Skyline Champion Corp. | 5,784 | 301 |
Target Corp. | 1,708 | 285 | |
* | BJ's Wholesale Club Holdings Inc. | 3,736 | 281 |
Buckle Inc. | 6,058 | 266 | |
* | Under Armour Inc. Class A | 26,497 | 265 |
* | Chico's FAS Inc. | 45,030 | 264 |
Caleres Inc. | 10,571 | 255 | |
* | Knowles Corp. | 15,856 | 247 |
* | frontdoor Inc. | 10,390 | 243 |
Inter Parfums Inc. | 2,513 | 239 | |
* | Sonos Inc. | 13,554 | 238 |
Red Rock Resorts Inc. Class A | 5,227 | 236 | |
* | ODP Corp. | 4,728 | 228 |
* | NVR Inc. | 49 | 227 |
Omnicom Group Inc. | 2,731 | 218 | |
* | Coursera Inc. | 15,652 | 218 |
* | Thryv Holdings Inc. | 11,043 | 212 |
Designer Brands Inc. Class A | 13,466 | 206 | |
Garmin Ltd. | 2,080 | 193 | |
Scholastic Corp. | 4,644 | 191 | |
Hibbett Inc. | 2,839 | 189 | |
* | Golden Entertainment Inc. | 4,246 | 188 |
Best Buy Co. Inc. | 2,143 | 183 | |
Tilly's Inc. Class A | 18,913 | 180 | |
Build-A-Bear Workshop Inc. | 7,533 | 179 | |
* | Abercrombie & Fitch Co. Class A | 7,301 | 175 |
H&R Block Inc. | 3,683 | 161 | |
HNI Corp. | 5,386 | 156 | |
* | Children's Place Inc. | 4,287 | 152 |
* | Liquidity Services Inc. | 8,826 | 147 |
* | Malibu Boats Inc. Class A | 2,542 | 147 |
Acushnet Holdings Corp. | 3,219 | 146 | |
John Wiley & Sons Inc. Class A | 2,966 | 141 | |
* | Cars.com Inc. | 9,270 | 137 |
* | Zumiez Inc. | 5,433 | 126 |
* | Victoria's Secret & Co. | 2,599 | 120 |
Gentex Corp. | 4,084 | 118 | |
Advance Auto Parts Inc. | 773 | 117 | |
Steven Madden Ltd. | 3,013 | 104 | |
* | Destination XL Group Inc. | 15,279 | 102 |
Shares | Market Value• ($000) | ||
* | Duluth Holdings Inc. Class B | 11,319 | 99 |
Pool Corp. | 277 | 91 | |
Tempur Sealy International Inc. | 2,705 | 86 | |
Columbia Sportswear Co. | 885 | 79 | |
Rush Enterprises Inc. Class A | 1,449 | 75 | |
Entravision Communications Corp. Class A | 13,379 | 74 | |
Electronic Arts Inc. | 543 | 71 | |
* | MarineMax Inc. | 2,137 | 71 |
* | Cavco Industries Inc. | 289 | 66 |
* | Mattel Inc. | 3,582 | 65 |
* | Universal Electronics Inc. | 2,954 | 65 |
LKQ Corp. | 1,075 | 58 | |
Murphy USA Inc. | 195 | 58 | |
* | Gentherm Inc. | 790 | 57 |
Tractor Supply Co. | 239 | 54 | |
* | Dorman Products Inc. | 588 | 53 |
Interface Inc. Class A | 4,799 | 52 | |
Matthews International Corp. Class A | 1,616 | 51 | |
* | Visteon Corp. | 336 | 49 |
Group 1 Automotive Inc. | 230 | 45 | |
La-Z-Boy Inc. | 1,551 | 42 | |
* | AutoNation Inc. | 333 | 41 |
* | Accel Entertainment Inc. Class A | 4,080 | 35 |
NIKE Inc. Class B | 312 | 34 | |
* | American Axle & Manufacturing Holdings Inc. | 3,087 | 32 |
* | Dollar Tree Inc. | 124 | 19 |
* | elf Beauty Inc. | 328 | 18 |
Kontoor Brands Inc. | 398 | 17 | |
32,820 | |||
Consumer Staples (5.5%) | |||
Colgate-Palmolive Co. | 40,621 | 3,147 | |
Kimberly-Clark Corp. | 7,793 | 1,057 | |
PepsiCo Inc. | 5,055 | 938 | |
AmerisourceBergen Corp. | 3,761 | 642 | |
Procter & Gamble Co. | 4,056 | 605 | |
Nu Skin Enterprises Inc. Class A | 11,628 | 485 | |
Kroger Co. | 9,808 | 483 | |
Clorox Co. | 3,015 | 448 | |
Cal-Maine Foods Inc. | 6,937 | 404 | |
Flowers Foods Inc. | 13,168 | 396 | |
* | Monster Beverage Corp. | 3,320 | 342 |
SpartanNash Co. | 10,052 | 330 | |
Coca-Cola Consolidated Inc. | 663 | 326 | |
National Beverage Corp. | 6,274 | 323 | |
John B Sanfilippo & Son Inc. | 3,227 | 273 | |
* | USANA Health Sciences Inc. | 4,494 | 247 |
Brown-Forman Corp. Class B | 3,237 | 236 | |
Lancaster Colony Corp. | 1,115 | 231 | |
Ingles Markets Inc. Class A | 2,158 | 218 | |
Casey's General Stores Inc. | 369 | 90 | |
Tyson Foods Inc. Class A | 1,130 | 75 | |
Medifast Inc. | 552 | 70 | |
* | United Natural Foods Inc. | 355 | 17 |
11,383 | |||
Energy (9.0%) | |||
EOG Resources Inc. | 22,979 | 3,261 | |
Pioneer Natural Resources Co. | 9,743 | 2,299 | |
Texas Pacific Land Corp. | 597 | 1,548 | |
Devon Energy Corp. | 16,719 | 1,146 | |
Exxon Mobil Corp. | 9,177 | 1,022 | |
Occidental Petroleum Corp. | 10,529 | 732 |
Shares | Market Value• ($000) | ||
* | Denbury Inc. | 7,689 | 690 |
SM Energy Co. | 14,035 | 605 | |
PDC Energy Inc. | 6,904 | 513 | |
Marathon Oil Corp. | 14,514 | 445 | |
* | Talos Energy Inc. | 20,374 | 400 |
* | SandRidge Energy Inc. | 19,338 | 394 |
* | ProPetro Holding Corp. | 33,602 | 369 |
Warrior Met Coal Inc. | 9,943 | 366 | |
* | Gulfport Energy Corp. | 4,140 | 336 |
Comstock Resources Inc. | 17,069 | 313 | |
1 | Sitio Royalties Corp. | 9,674 | 305 |
Coterra Energy Inc. | 10,224 | 285 | |
VAALCO Energy Inc. | 52,738 | 273 | |
ChampionX Corp. | 8,612 | 266 | |
Alpha Metallurgical Resources Inc. | 1,543 | 264 | |
Permian resources Corp. Class A | 25,411 | 258 | |
* | Weatherford International plc | 5,930 | 257 |
Ovintiv Inc. (XNYS) | 4,374 | 244 | |
Chord Energy Corp. | 1,586 | 242 | |
SunCoke Energy Inc. | 23,848 | 202 | |
PBF Energy Inc. Class A | 4,980 | 198 | |
Arch Resources Inc. | 1,199 | 186 | |
CONSOL Energy Inc. | 2,315 | 179 | |
CVR Energy Inc. | 4,620 | 170 | |
Magnolia Oil & Gas Corp. Class A | 6,472 | 169 | |
* | Dril-Quip Inc. | 6,912 | 163 |
* | NOW Inc. | 10,185 | 127 |
Chevron Corp. | 682 | 125 | |
* | REX American Resources Corp. | 3,279 | 97 |
Ramaco Resources Inc. | 7,526 | 86 | |
RPC Inc. | 2,226 | 21 | |
18,556 | |||
Financials (16.2%) | |||
Aon plc Class A (XNYS) | 11,144 | 3,435 | |
American International Group Inc. | 35,856 | 2,263 | |
Equitable Holdings Inc. | 30,756 | 976 | |
OneMain Holdings Inc. | 23,972 | 943 | |
Ameriprise Financial Inc. | 2,798 | 929 | |
Virtus Investment Partners Inc. | 4,115 | 798 | |
Virtu Financial Inc. Class A | 33,304 | 739 | |
PennyMac Financial Services Inc. | 12,097 | 722 | |
OFG Bancorp | 24,401 | 707 | |
Affiliated Managers Group Inc. | 4,218 | 677 | |
SLM Corp. | 38,415 | 671 | |
Brightsphere Investment Group Inc. | 32,703 | 666 | |
Houlihan Lokey Inc. Class A | 6,694 | 658 | |
Evercore Inc. Class A | 5,639 | 649 | |
Ally Financial Inc. | 23,578 | 637 | |
Discover Financial Services | 5,841 | 633 | |
Principal Financial Group Inc. | 6,237 | 559 | |
Navient Corp. | 33,413 | 554 | |
* | Mr Cooper Group Inc. | 11,937 | 539 |
Federated Hermes Inc. | 14,109 | 536 | |
Dime Community Bancshares Inc. | 14,319 | 511 | |
City Holding Co. | 5,005 | 510 | |
* | Enova International Inc. | 11,941 | 482 |
WesBanco Inc. | 11,568 | 468 | |
Moody's Corp. | 1,510 | 450 | |
First BanCorp (XNYS) | 28,968 | 445 |
Shares | Market Value• ($000) | ||
Popular Inc. | 5,884 | 430 | |
Jackson Financial Inc. Class A | 11,478 | 429 | |
Allstate Corp. | 3,194 | 428 | |
Pathward Financial Inc. | 9,297 | 405 | |
* | Ryan Specialty Holdings Inc. | 9,080 | 366 |
Piper Sandler Cos. | 2,516 | 361 | |
Radian Group Inc. | 17,322 | 339 | |
Oppenheimer Holdings Inc. Class A | 8,057 | 336 | |
CNO Financial Group Inc. | 14,242 | 334 | |
First Financial Corp. | 6,626 | 318 | |
BankUnited Inc. | 8,587 | 315 | |
American Equity Investment Life Holding Co. | 7,208 | 292 | |
SEI Investments Co. | 4,652 | 290 | |
Fidelity National Financial Inc. | 7,138 | 288 | |
Central Pacific Financial Corp. | 12,945 | 274 | |
HomeStreet Inc. | 10,015 | 273 | |
Perella Weinberg Partners Class A | 27,809 | 266 | |
Cathay General Bancorp | 5,457 | 254 | |
Banner Corp. | 3,503 | 247 | |
Tompkins Financial Corp. | 2,924 | 244 | |
Lakeland Financial Corp. | 3,041 | 240 | |
BOK Financial Corp. | 2,260 | 237 | |
Trustmark Corp. | 6,208 | 227 | |
1st Source Corp. | 3,894 | 222 | |
Heritage Financial Corp. | 6,726 | 221 | |
Premier Financial Corp. | 7,430 | 217 | |
* | Bancorp Inc. | 6,269 | 188 |
Bank of NT Butterfield & Son Ltd. | 5,334 | 186 | |
FactSet Research Systems Inc. | 381 | 176 | |
Hanmi Financial Corp. | 6,384 | 173 | |
BancFirst Corp. | 1,678 | 171 | |
PJT Partners Inc. Class A | 2,217 | 171 | |
Kearny Financial Corp. | 17,534 | 170 | |
Washington Federal Inc. | 4,803 | 169 | |
* | Ambac Financial Group Inc. | 10,258 | 167 |
Berkshire Hills Bancorp Inc. | 5,301 | 165 | |
* | Open Lending Corp. Class A | 23,107 | 163 |
Regional Management Corp. | 4,848 | 143 | |
Jefferies Financial Group Inc. | 3,531 | 134 | |
Zions Bancorp NA | 2,481 | 129 | |
* | PRA Group Inc. | 3,717 | 128 |
HarborOne Bancorp Inc. | 7,824 | 114 | |
Employers Holdings Inc. | 2,260 | 105 | |
Byline Bancorp Inc. | 4,504 | 103 | |
Washington Trust Bancorp Inc. | 2,048 | 102 | |
Independent Bank Corp. | 4,026 | 99 | |
Southside Bancshares Inc. | 2,273 | 83 | |
Sandy Spring Bancorp Inc. | 2,126 | 74 | |
First Commonwealth Financial Corp. | 4,914 | 72 | |
Preferred Bank | 847 | 64 | |
Park National Corp. | 419 | 63 | |
Artisan Partners Asset Management Inc. Class A | 1,789 | 62 | |
Assured Guaranty Ltd. | 927 | 62 | |
First Hawaiian Inc. | 2,278 | 60 | |
Provident Financial Services Inc. | 2,568 | 58 | |
Commerce Bancshares Inc. | 734 | 55 | |
Northfield Bancorp Inc. | 3,450 | 55 | |
Associated Banc-Corp. | 2,164 | 53 | |
Hope Bancorp Inc. | 3,871 | 53 | |
Walker & Dunlop Inc. | 548 | 49 |
Shares | Market Value• ($000) | ||
* | Axos Financial Inc. | 1,186 | 48 |
Federal Agricultural Mortgage Corp. Class C | 332 | 42 | |
Atlantic Union Bankshares Corp. | 1,149 | 41 | |
Cohen & Steers Inc. | 615 | 41 | |
Curo Group Holdings Corp. | 11,123 | 40 | |
Primerica Inc. | 272 | 40 | |
Wells Fargo & Co. | 841 | 40 | |
LPL Financial Holdings Inc. | 153 | 36 | |
* | Brighthouse Financial Inc. | 528 | 29 |
Fifth Third Bancorp | 730 | 27 | |
Ameris Bancorp | 495 | 26 | |
First Financial Bancorp | 658 | 17 | |
Synovus Financial Corp. | 209 | 9 | |
33,265 | |||
Health Care (14.5%) | |||
* | Moderna Inc. | 11,542 | 2,030 |
* | Vertex Pharmaceuticals Inc. | 5,532 | 1,750 |
Johnson & Johnson | 9,510 | 1,693 | |
UnitedHealth Group Inc. | 2,926 | 1,603 | |
Gilead Sciences Inc. | 16,125 | 1,416 | |
* | Biogen Inc. | 4,259 | 1,300 |
* | Regeneron Pharmaceuticals Inc. | 1,548 | 1,164 |
Chemed Corp. | 2,097 | 1,090 | |
AbbVie Inc. | 6,367 | 1,026 | |
Abbott Laboratories | 9,324 | 1,003 | |
Amgen Inc. | 3,311 | 948 | |
* | Hologic Inc. | 11,193 | 853 |
Bristol-Myers Squibb Co. | 10,070 | 808 | |
Merck & Co. Inc. | 6,750 | 743 | |
Humana Inc. | 1,202 | 661 | |
Pfizer Inc. | 12,739 | 639 | |
* | Molina Healthcare Inc. | 1,844 | 621 |
* | Lantheus Holdings Inc. | 9,780 | 607 |
* | Corcept Therapeutics Inc. | 21,184 | 536 |
* | Vir Biotechnology Inc. | 17,815 | 503 |
* | CorVel Corp. | 3,116 | 477 |
Atrion Corp. | 782 | 473 | |
* | Medpace Holdings Inc. | 2,222 | 466 |
* | Exelixis Inc. | 26,889 | 459 |
Cardinal Health Inc. | 5,483 | 440 | |
* | iTeos Therapeutics Inc. | 21,701 | 437 |
* | Veeva Systems Inc. Class A | 2,056 | 391 |
* | Catalyst Pharmaceuticals Inc. | 22,531 | 378 |
* | Henry Schein Inc. | 4,340 | 351 |
* | NextGen Healthcare Inc. | 16,512 | 343 |
Bruker Corp. | 4,969 | 335 | |
Eli Lilly & Co. | 885 | 328 | |
* | Masimo Corp. | 2,148 | 311 |
* | Edwards Lifesciences Corp. | 3,980 | 308 |
* | Incyte Corp. | 3,251 | 259 |
Patterson Cos. Inc. | 8,974 | 255 | |
SIGA Technologies Inc. | 26,521 | 244 | |
ResMed Inc. | 1,055 | 243 | |
* | Horizon Therapeutics plc | 2,255 | 226 |
Agilent Technologies Inc. | 1,407 | 218 | |
Quest Diagnostics Inc. | 1,436 | 218 | |
* | AbCellera Biologics Inc. | 13,113 | 169 |
* | Align Technology Inc. | 747 | 147 |
* | Haemonetics Corp. | 1,698 | 145 |
* | Merit Medical Systems Inc. | 1,770 | 127 |
* | Shockwave Medical Inc. | 487 | 124 |
* | Vanda Pharmaceuticals Inc. | 10,979 | 120 |
LeMaitre Vascular Inc. | 2,211 | 104 | |
* | Joint Corp. | 6,829 | 102 |
Shares | Market Value• ($000) | ||
* | ACADIA Pharmaceuticals Inc. | 6,459 | 101 |
* | Emergent BioSolutions Inc. | 8,018 | 99 |
* | Alkermes plc | 3,639 | 90 |
* | Globus Medical Inc. Class A | 1,021 | 75 |
* | United Therapeutics Corp. | 214 | 60 |
* | Seagen Inc. | 479 | 58 |
iRadimed Corp. | 1,651 | 49 | |
West Pharmaceutical Services Inc. | 196 | 46 | |
* | HealthStream Inc. | 1,780 | 45 |
* | LivaNova plc | 795 | 44 |
* | Innoviva Inc. | 3,037 | 40 |
* | QuidelOrtho Corp. | 447 | 39 |
29,938 | |||
Industrials (17.1%) | |||
Paychex Inc. | 18,096 | 2,244 | |
American Express Co. | 12,768 | 2,012 | |
Automatic Data Processing Inc. | 6,778 | 1,790 | |
Accenture plc Class A | 4,528 | 1,363 | |
Landstar System Inc. | 6,625 | 1,146 | |
Synchrony Financial | 28,207 | 1,060 | |
* | Trex Co. Inc. | 21,153 | 971 |
Jack Henry & Associates Inc. | 5,001 | 947 | |
Badger Meter Inc. | 7,319 | 848 | |
Insperity Inc. | 6,989 | 829 | |
Bread Financial Holdings Inc. | 19,336 | 793 | |
Robert Half International Inc. | 8,556 | 674 | |
Expeditors International of Washington Inc. | 5,737 | 666 | |
Louisiana-Pacific Corp. | 10,440 | 666 | |
* | AMN Healthcare Services Inc. | 4,828 | 597 |
A O Smith Corp. | 8,203 | 498 | |
* | Franklin Covey Co. | 9,506 | 494 |
Mastercard Inc. Class A | 1,383 | 493 | |
Toro Co. | 4,398 | 488 | |
Western Union Co. | 30,158 | 442 | |
Cognex Corp. | 8,611 | 429 | |
* | Donnelley Financial Solutions Inc. | 10,657 | 407 |
Kforce Inc. | 6,618 | 391 | |
Barrett Business Services Inc. | 3,712 | 365 | |
Watts Water Technologies Inc. Class A | 2,275 | 360 | |
Apogee Enterprises Inc. | 7,409 | 357 | |
Capital One Financial Corp. | 3,351 | 346 | |
WW Grainger Inc. | 557 | 336 | |
* | ZipRecruiter Inc. Class A | 20,312 | 336 |
Marten Transport Ltd. | 15,570 | 332 | |
Graco Inc. | 4,580 | 320 | |
Lincoln Electric Holdings Inc. | 2,134 | 316 | |
Veritiv Corp. | 2,292 | 308 | |
Donaldson Co. Inc. | 5,016 | 306 | |
* | Forrester Research Inc. | 8,586 | 302 |
* | Aersale Corp. | 18,976 | 301 |
Brady Corp. Class A | 5,848 | 280 | |
Old Dominion Freight Line Inc. | 901 | 273 | |
* | TrueBlue Inc. | 12,620 | 272 |
Resources Connection Inc. | 13,946 | 269 | |
Encore Wire Corp. | 1,792 | 262 | |
Nordson Corp. | 1,063 | 251 | |
Covenant Logistics Group Inc. Class A | 6,449 | 248 | |
Crane Holdings Co. | 2,331 | 247 | |
* | MYR Group Inc. | 2,472 | 236 |
Heidrick & Struggles International Inc. | 7,905 | 235 |
Shares | Market Value• ($000) | ||
Allison Transmission Holdings Inc. | 5,107 | 229 | |
Acuity Brands Inc. | 1,142 | 215 | |
Myers Industries Inc. | 9,103 | 212 | |
CRA International Inc. | 1,692 | 209 | |
Illinois Tool Works Inc. | 894 | 203 | |
* | NV5 Global Inc. | 1,404 | 203 |
Exponent Inc. | 1,892 | 196 | |
Insteel Industries Inc. | 6,447 | 190 | |
EMCOR Group Inc. | 1,176 | 182 | |
* | Mettler-Toledo International Inc. | 124 | 182 |
Cintas Corp. | 386 | 178 | |
* | Titan Machinery Inc. | 4,031 | 177 |
Quanex Building Products Corp. | 7,405 | 176 | |
Snap-on Inc. | 721 | 173 | |
JB Hunt Transport Services Inc. | 933 | 172 | |
Albany International Corp. Class A | 1,623 | 165 | |
Deluxe Corp. | 8,339 | 161 | |
Sherwin-Williams Co. | 647 | 161 | |
* | ExlService Holdings Inc. | 852 | 160 |
* | FARO Technologies Inc. | 5,342 | 160 |
* | Builders FirstSource Inc. | 2,418 | 155 |
* | Cross Country Healthcare Inc. | 4,252 | 152 |
Hillenbrand Inc. | 3,019 | 151 | |
* | Proto Labs Inc. | 5,620 | 149 |
* | Napco Security Technologies Inc. | 5,627 | 148 |
Owens Corning | 1,629 | 145 | |
* | Keysight Technologies Inc. | 787 | 142 |
UniFirst Corp. | 730 | 141 | |
Watsco Inc. | 516 | 139 | |
* | Gibraltar Industries Inc. | 2,605 | 132 |
Forward Air Corp. | 1,168 | 131 | |
Matson Inc. | 1,970 | 126 | |
* | BlueLinx Holdings Inc. | 1,777 | 123 |
* | Saia Inc. | 502 | 122 |
* | Atkore Inc. | 993 | 121 |
ManpowerGroup Inc. | 1,388 | 121 | |
* | Modine Manufacturing Co. | 5,518 | 117 |
3M Co. | 927 | 117 | |
Schneider National Inc. Class B | 4,387 | 113 | |
* | Beacon Roofing Supply Inc. | 1,878 | 110 |
MSC Industrial Direct Co. Inc. Class A | 1,251 | 107 | |
Ryder System Inc. | 1,139 | 107 | |
Standex International Corp. | 935 | 98 | |
Enerpac Tool Group Corp. Class A | 3,895 | 98 | |
National Presto Industries Inc. | 1,400 | 97 | |
* | XPO Logistics Inc. | 2,243 | 87 |
REV Group Inc. | 6,180 | 86 | |
* | TriNet Group Inc. | 1,162 | 84 |
Simpson Manufacturing Co. Inc. | 806 | 75 | |
Tennant Co. | 1,154 | 73 | |
Cummins Inc. | 271 | 68 | |
* | Hub Group Inc. Class A | 779 | 66 |
CH Robinson Worldwide Inc. | 641 | 64 | |
Emerson Electric Co. | 652 | 62 | |
Applied Industrial Technologies Inc. | 453 | 60 | |
* | FTI Consulting Inc. | 324 | 56 |
* | Waters Corp. | 162 | 56 |
* | GMS Inc. | 1,074 | 53 |
Shares | Market Value• ($000) | ||
* | Dycom Industries Inc. | 573 | 52 |
Comfort Systems USA Inc. | 395 | 50 | |
* | Zebra Technologies Corp. Class A | 181 | 49 |
Franklin Electric Co. Inc. | 572 | 48 | |
H&E Equipment Services Inc. | 1,085 | 46 | |
* | Conduent Inc. | 10,421 | 42 |
* | Mohawk Industries Inc. | 413 | 42 |
Hubbell Inc. Class B | 161 | 41 | |
Kadant Inc. | 154 | 30 | |
AGCO Corp. | 174 | 23 | |
CSW Industrials Inc. | 142 | 17 | |
* | Vicor Corp. | 187 | 10 |
35,312 | |||
Real Estate (0.5%) | |||
Newmark Group Inc. Class A | 75,253 | 638 | |
Marcus & Millichap Inc. | 6,715 | 250 | |
* | Anywhere Real Estate Inc. | 23,813 | 180 |
1,068 | |||
Technology (15.8%) | |||
* | Cadence Design Systems Inc. | 13,968 | 2,403 |
* | Adobe Inc. | 6,688 | 2,307 |
* | Autodesk Inc. | 11,244 | 2,271 |
* | Fortinet Inc. | 40,679 | 2,162 |
Teradyne Inc. | 18,288 | 1,709 | |
Apple Inc. | 10,099 | 1,495 | |
Cognizant Technology Solutions Corp. Class A | 18,256 | 1,136 | |
* | Manhattan Associates Inc. | 7,327 | 923 |
* | Teradata Corp. | 26,437 | 903 |
* | MaxLinear Inc. | 23,463 | 859 |
* | Qualys Inc. | 5,984 | 738 |
KLA Corp. | 1,674 | 658 | |
* | Cargurus Inc. | 50,099 | 655 |
Power Integrations Inc. | 7,862 | 633 | |
* | Gartner Inc. | 1,717 | 602 |
* | Smartsheet Inc. Class A | 17,891 | 550 |
* | Synopsys Inc. | 1,587 | 539 |
Texas Instruments Inc. | 2,726 | 492 | |
* | CommVault Systems Inc. | 6,900 | 455 |
* | Axcelis Technologies Inc. | 5,584 | 446 |
NetApp Inc. | 6,439 | 435 | |
* | F5 Inc. | 2,785 | 431 |
* | Sprout Social Inc. Class A | 7,210 | 428 |
* | Alphabet Inc. Class A | 4,051 | 409 |
Hackett Group Inc. | 17,709 | 409 | |
* | EPAM Systems Inc. | 1,019 | 376 |
* | SPS Commerce Inc. | 2,348 | 334 |
* | Paycom Software Inc. | 959 | 325 |
A10 Networks Inc. | 16,192 | 303 | |
* | Photronics Inc. | 15,562 | 293 |
* | ePlus Inc. | 5,875 | 292 |
National Instruments Corp. | 7,125 | 292 | |
CTS Corp. | 6,838 | 291 | |
Dolby Laboratories Inc. Class A | 3,732 | 279 | |
* | Cirrus Logic Inc. | 3,716 | 278 |
* | Pinterest Inc. Class A | 10,780 | 274 |
* | PubMatic Inc. Class A | 16,489 | 258 |
* | OneSpan Inc. | 19,852 | 250 |
* | Yelp Inc. Class A | 7,525 | 233 |
Amdocs Ltd. | 2,519 | 224 | |
* | ON Semiconductor Corp. | 2,808 | 211 |
Advanced Energy Industries Inc. | 2,212 | 205 | |
Kulicke & Soffa Industries Inc. | 4,009 | 192 | |
Vishay Intertechnology Inc. | 7,473 | 172 |
Shares | Market Value• ($000) | ||
* | Sumo Logic Inc. | 21,948 | 167 |
Amkor Technology Inc. | 5,836 | 163 | |
* | DXC Technology Co. | 5,464 | 162 |
Monolithic Power Systems Inc. | 424 | 162 | |
* | Cohu Inc. | 4,454 | 160 |
* | Agilysys Inc. | 2,395 | 159 |
* | PC Connection Inc. | 2,849 | 158 |
* | Allscripts Healthcare Solutions Inc. | 7,840 | 148 |
* | Pure Storage Inc. Class A | 4,781 | 140 |
American Software Inc. Class A | 9,324 | 138 | |
* | Qorvo Inc. | 1,354 | 134 |
* | Vimeo Inc. | 29,874 | 128 |
* | Onto Innovation Inc. | 1,570 | 125 |
* | Yext Inc. | 22,389 | 119 |
Microsoft Corp. | 445 | 114 | |
Adeia Inc. | 10,272 | 113 | |
* | PDF Solutions Inc. | 3,477 | 109 |
CSG Systems International Inc. | 1,713 | 106 | |
* | Lattice Semiconductor Corp. | 1,461 | 106 |
Applied Materials Inc. | 950 | 104 | |
* | TrueCar Inc. | 31,592 | 79 |
Shutterstock Inc. | 1,446 | 78 | |
* | Brightcove Inc. | 13,082 | 72 |
* | SecureWorks Corp. Class A | 8,490 | 61 |
Jabil Inc. | 780 | 56 | |
QUALCOMM Inc. | 443 | 56 | |
* | Allegro MicroSystems Inc. | 1,687 | 52 |
Avnet Inc. | 1,128 | 51 | |
* | Arrow Electronics Inc. | 449 | 49 |
* | ScanSource Inc. | 1,645 | 49 |
Lam Research Corp. | 76 | 36 | |
Intuit Inc. | 58 | 24 | |
* | TechTarget Inc. | 310 | 14 |
*,2 | Yandex NV Class A | 1,459 | — |
32,522 | |||
Telecommunications (1.6%) | |||
Cisco Systems Inc. | 34,704 | 1,725 | |
* | IDT Corp. Class B | 15,162 | 424 |
* | Extreme Networks Inc. | 15,590 | 327 |
Adtran Holdings Inc. | 10,486 | 212 | |
* | Clearfield Inc. | 1,525 | 201 |
* | Arista Networks Inc. | 831 | 116 |
* | Cambium Networks Corp. | 4,350 | 93 |
* | Calix Inc. | 744 | 53 |
* | Ciena Corp. | 1,004 | 45 |
3,196 | |||
Total Common Stocks (Cost $187,145) | 204,981 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
3,4 | Vanguard Market Liquidity Fund, 3.877% (Cost $897) | 8,967 | 897 |
Total Investments (99.9%) (Cost $188,042) | 205,878 | ||
Other Assets and Liabilities—Net (0.1%) | 170 | ||
Net Assets (100%) | 206,048 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $62,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $63,000 was received for securities on loan. |
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 | December 2022 | 2 | 408 | 23 |
Micro E-mini S&P 500 Index | December 2022 | 26 | 531 | 22 |
45 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $187,145) | 204,981 |
Affiliated Issuers (Cost $897) | 897 |
Total Investments in Securities | 205,878 |
Investment in Vanguard | 8 |
Cash Collateral Pledged—Futures Contracts | 55 |
Receivables for Investment Securities Sold | 2 |
Receivables for Accrued Income | 272 |
Receivables for Capital Shares Issued | 560 |
Variation Margin Receivable—Futures Contracts | 27 |
Total Assets | 206,802 |
Liabilities | |
Due to Custodian | 2 |
Payables for Investment Securities Purchased | 678 |
Collateral for Securities on Loan | 63 |
Payables to Vanguard | 11 |
Total Liabilities | 754 |
Net Assets | 206,048 |
1 Includes $62 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 206,074 |
Total Distributable Earnings (Loss) | (26) |
Net Assets | 206,048 |
Net Assets | |
Applicable to 1,840,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 206,048 |
Net Asset Value Per Share | $111.98 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 2,884 |
Interest2 | 9 |
Securities Lending—Net | 9 |
Total Income | 2,902 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 116 |
Management and Administrative | 40 |
Marketing and Distribution | 10 |
Custodian Fees | 3 |
Auditing Fees | 28 |
Shareholders’ Reports | 28 |
Trustees’ Fees and Expenses | — |
Professional Services | 16 |
Total Expenses | 241 |
Net Investment Income | 2,661 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (6,444) |
Futures Contracts | (101) |
Realized Net Gain (Loss) | (6,545) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (9,124) |
Futures Contracts | 46 |
Change in Unrealized Appreciation (Depreciation) | (9,078) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (12,962) |
1 | Dividends are net of foreign withholding taxes of $4,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $11,684,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,661 | 1,098 |
Realized Net Gain (Loss) | (6,545) | 2,545 |
Change in Unrealized Appreciation (Depreciation) | (9,078) | 14,521 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (12,962) | 18,164 |
Distributions | ||
Total Distributions | (2,385) | (932) |
Capital Share Transactions | ||
Issued | 108,666 | 74,754 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (30,853) | (2,908) |
Net Increase (Decrease) from Capital Share Transactions | 77,813 | 71,846 |
Total Increase (Decrease) | 62,466 | 89,078 |
Net Assets | ||
Beginning of Period | 143,582 | 54,504 |
End of Period | 206,048 | 143,582 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $122.20 | $94.79 | $84.21 | $78.58 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 1.562 | 1.403 | 1.291 | 1.199 | .899 |
Net Realized and Unrealized Gain (Loss) on Investments | (10.356) | 27.292 | 10.428 | 5.559 | 3.266 |
Total from Investment Operations | (8.794) | 28.695 | 11.719 | 6.758 | 4.165 |
Distributions | |||||
Dividends from Net Investment Income | (1.426) | (1.285) | (1.139) | (1.128) | (.585) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.426) | (1.285) | (1.139) | (1.128) | (.585) |
Net Asset Value, End of Period | $111.98 | $122.20 | $94.79 | $84.21 | $78.58 |
Total Return | -7.15% | 30.42% | 14.29% | 8.75% | 5.52% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $206 | $144 | $55 | $21 | $18 |
Ratio of Total Expenses to Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13%3,4 |
Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.21% | 1.59% | 1.52% | 1.40%3 |
Portfolio Turnover Rate | 49%5 | 56%5 | 58% | 80% | 25% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Annualized. |
4 | The ratio of total expenses to average net assets before an expense reduction of 0.04% was 0.17%. 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. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. |
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. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 204,981 | — | — | 204,981 |
Temporary Cash Investments | 897 | — | — | 897 |
Total | 205,878 | — | — | 205,878 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 45 | — | — | 45 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts: |
Amount ($000) | |
Paid-in Capital | 11,685 |
Total Distributable Earnings (Loss) | (11,685) |
Amount ($000) | |
Undistributed Ordinary Income | 602 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (18,464) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 17,836 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 2,385 | 932 |
Long-Term Capital Gains | — | — |
Total | 2,385 | 932 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 188,042 |
Gross Unrealized Appreciation | 25,949 |
Gross Unrealized Depreciation | (8,113) |
Net Unrealized Appreciation (Depreciation) | 17,836 |
E. | During the year ended November 30, 2022, the fund purchased $198,457,000 of investment securities and sold $120,863,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $30,778,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 950 | 625 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (285) | (25) |
Net Increase (Decrease) in Shares Outstanding | 665 | 600 |
G. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/13/2018) | Final Value of a $10,000 Investment | ||
U.S. Value Factor ETF Net Asset Value | 7.63% | 9.52% | $15,464 | |
U.S. Value Factor ETF Market Price | 7.54 | 9.50 | 15,455 | |
Russell 3000 Index | -10.80 | 10.69 | 16,272 |
One Year | Since Inception (2/13/2018) | |
U.S. Value Factor ETF Market Price | 7.54% | 54.55% |
U.S. Value Factor ETF Net Asset Value | 7.63 | 54.64 |
Russell 3000 Index | -10.80 | 62.72 |
Basic Materials | 6.9% |
Consumer Discretionary | 16.4 |
Consumer Staples | 4.9 |
Energy | 11.7 |
Financials | 22.9 |
Health Care | 7.9 |
Industrials | 15.3 |
Real Estate | 0.5 |
Technology | 8.4 |
Telecommunications | 5.1 |
Utilities | 0.0 |
Shares | Market Value• ($000) | ||
Common Stocks (99.6%) | |||
Basic Materials (6.9%) | |||
Freeport-McMoRan Inc. | 85,313 | 3,395 | |
Reliance Steel & Aluminum Co. | 15,333 | 3,240 | |
Celanese Corp. Class A | 25,306 | 2,715 | |
Dow Inc. | 52,833 | 2,693 | |
US Steel Corp. | 88,786 | 2,334 | |
Tronox Holdings plc Class A | 162,070 | 2,290 | |
LyondellBasell Industries NV Class A | 24,464 | 2,080 | |
Mosaic Co. | 36,018 | 1,848 | |
Huntsman Corp. | 60,311 | 1,675 | |
Nucor Corp. | 10,361 | 1,554 | |
Boise Cascade Co. | 18,549 | 1,373 | |
Alcoa Corp. | 26,576 | 1,332 | |
AdvanSix Inc. | 31,997 | 1,317 | |
Olin Corp. | 23,045 | 1,313 | |
UFP Industries Inc. | 14,865 | 1,217 | |
Timken Co. | 15,825 | 1,202 | |
* | Intrepid Potash Inc. | 32,380 | 1,167 |
Westlake Corp. | 10,298 | 1,109 | |
Steel Dynamics Inc. | 10,341 | 1,075 | |
Ryerson Holding Corp. | 35,196 | 1,038 | |
Commercial Metals Co. | 20,655 | 1,017 | |
* | Clearwater Paper Corp. | 25,272 | 986 |
Koppers Holdings Inc. | 32,113 | 957 | |
* | US Silica Holdings Inc. | 70,396 | 921 |
* | TimkenSteel Corp. | 44,943 | 840 |
CF Industries Holdings Inc. | 7,133 | 772 | |
SSR Mining Inc. (XTSE) | 41,151 | 624 | |
Eastman Chemical Co. | 6,337 | 549 | |
Schnitzer Steel Industries Inc. Class A | 15,960 | 548 | |
* | LSB Industries Inc. | 34,180 | 527 |
* | Century Aluminum Co. | 53,673 | 484 |
Mueller Industries Inc. | 6,891 | 474 | |
Chemours Co. | 15,204 | 472 | |
FutureFuel Corp. | 44,024 | 389 | |
Element Solutions Inc. | 9,223 | 180 | |
Minerals Technologies Inc. | 2,430 | 147 | |
International Paper Co. | 3,911 | 145 | |
* | Arconic Corp. | 5,266 | 126 |
* | Univar Solutions Inc. | 1,019 | 34 |
46,159 | |||
Consumer Discretionary (16.3%) | |||
Ford Motor Co. | 479,847 | 6,670 | |
General Motors Co. | 143,788 | 5,832 |
Shares | Market Value• ($000) | ||
Toll Brothers Inc. | 117,509 | 5,630 | |
* | Taylor Morrison Home Corp. Class A | 131,567 | 3,998 |
Macy's Inc. | 157,806 | 3,708 | |
* | AMERCO | 56,781 | 3,587 |
Lennar Corp. Class A | 37,395 | 3,284 | |
* | Alaska Air Group Inc. | 63,664 | 3,020 |
Foot Locker Inc. | 72,667 | 2,892 | |
* | Asbury Automotive Group Inc. | 15,389 | 2,887 |
Fox Corp. Class B | 81,754 | 2,495 | |
* | JetBlue Airways Corp. | 307,990 | 2,452 |
* | Perdoceo Education Corp. | 150,263 | 2,156 |
Fox Corp. Class A | 60,507 | 1,963 | |
BorgWarner Inc. (XNYS) | 45,949 | 1,953 | |
* | Penn Entertainment Inc. | 54,022 | 1,901 |
Group 1 Automotive Inc. | 9,702 | 1,876 | |
Dana Inc. | 100,970 | 1,778 | |
Nexstar Media Group Inc. Class A | 8,856 | 1,679 | |
Tempur Sealy International Inc. | 49,938 | 1,587 | |
Rent-A-Center Inc. | 62,724 | 1,511 | |
* | Goodyear Tire & Rubber Co. | 131,630 | 1,477 |
* | Capri Holdings Ltd. | 24,307 | 1,394 |
MDC Holdings Inc. | 41,847 | 1,357 | |
* | United Airlines Holdings Inc. | 29,648 | 1,310 |
Signet Jewelers Ltd. | 19,765 | 1,285 | |
Bath & Body Works Inc. | 29,545 | 1,256 | |
Marriott Vacations Worldwide Corp. | 8,122 | 1,210 | |
Harley-Davidson Inc. | 24,354 | 1,148 | |
* | ODP Corp. | 22,981 | 1,106 |
* | Brinker International Inc. | 31,907 | 1,067 |
PVH Corp. | 14,604 | 981 | |
* | PROG Holdings Inc. | 48,710 | 959 |
* | Adtalem Global Education Inc. | 22,459 | 934 |
* | iHeartMedia Inc. Class A | 110,865 | 891 |
News Corp. Class A | 46,434 | 889 | |
* | EW Scripps Co. Class A | 55,219 | 827 |
La-Z-Boy Inc. | 30,287 | 825 | |
* | Cars.com Inc. | 54,171 | 801 |
Dine Brands Global Inc. | 10,697 | 798 | |
* | AMC Networks Inc. Class A | 39,607 | 791 |
Matthews International Corp. Class A | 24,614 | 779 | |
* | SeaWorld Entertainment Inc. | 13,551 | 773 |
* | OneWater Marine Inc. Class A | 22,943 | 750 |
Scholastic Corp. | 17,890 | 736 |
Shares | Market Value• ($000) | ||
* | American Axle & Manufacturing Holdings Inc. | 68,895 | 717 |
Sinclair Broadcast Group Inc. Class A | 38,028 | 706 | |
* | Allegiant Travel Co. | 8,528 | 705 |
Designer Brands Inc. Class A | 45,378 | 694 | |
* | Container Store Group Inc. | 138,591 | 658 |
* | Under Armour Inc. Class C | 71,144 | 620 |
Boyd Gaming Corp. | 10,094 | 619 | |
* | Tri Pointe Homes Inc. | 33,063 | 610 |
Tilly's Inc. Class A | 61,219 | 582 | |
Rush Enterprises Inc. Class A | 10,966 | 565 | |
Shoe Carnival Inc. | 21,245 | 561 | |
Strategic Education Inc. | 6,535 | 535 | |
* | M/I Homes Inc. | 11,568 | 523 |
Gray Television Inc. | 42,762 | 500 | |
* | Malibu Boats Inc. Class A | 8,502 | 491 |
* | Six Flags Entertainment Corp. | 19,185 | 462 |
* | Green Brick Partners Inc. | 18,915 | 457 |
* | TravelCenters of America Inc. | 8,775 | 449 |
Hibbett Inc. | 6,577 | 438 | |
* | Tupperware Brands Corp. | 94,062 | 436 |
LKQ Corp. | 7,668 | 417 | |
* | Vera Bradley Inc. | 106,227 | 404 |
AMERCO (XNGS) | 6,309 | 399 | |
Penske Automotive Group Inc. | 3,060 | 387 | |
* | Chegg Inc. | 12,770 | 381 |
* | MarineMax Inc. | 11,550 | 381 |
A-Mark Precious Metals Inc. | 10,750 | 371 | |
Movado Group Inc. | 11,273 | 363 | |
* | Sportsman's Warehouse Holdings Inc. | 36,937 | 363 |
Haverty Furniture Cos. Inc. | 11,296 | 356 | |
* | Hilton Grand Vacations Inc. | 7,595 | 334 |
Graham Holdings Co. Class B | 506 | 326 | |
* | Fossil Group Inc. | 67,088 | 320 |
Caleres Inc. | 12,926 | 312 | |
* | Lazydays Holdings Inc. | 21,255 | 294 |
* | Hovnanian Enterprises Inc. Class A | 6,074 | 292 |
* | Universal Electronics Inc. | 13,338 | 292 |
eBay Inc. | 5,700 | 259 | |
Build-A-Bear Workshop Inc. | 10,591 | 252 | |
Lennar Corp. Class B | 3,429 | 249 | |
Oxford Industries Inc. | 2,180 | 246 | |
* | Crocs Inc. | 2,396 | 242 |
Interpublic Group of Cos. Inc. | 7,054 | 242 | |
Buckle Inc. | 5,383 | 237 | |
1 | Big 5 Sporting Goods Corp. | 18,304 | 227 |
* | G-III Apparel Group Ltd. | 10,486 | 227 |
PulteGroup Inc. | 4,703 | 211 | |
* | VOXX International Corp. Class A | 19,054 | 209 |
* | Lands' End Inc. | 16,422 | 190 |
Ethan Allen Interiors Inc. | 6,338 | 180 | |
* | AutoZone Inc. | 68 | 175 |
Lear Corp. | 1,161 | 167 | |
Ralph Lauren Corp. Class A | 1,461 | 165 | |
* | Gannett Co. Inc. | 66,013 | 165 |
Aaron's Co. Inc. | 13,351 | 163 | |
Target Corp. | 945 | 158 | |
* | Chico's FAS Inc. | 26,003 | 153 |
Omnicom Group Inc. | 1,803 | 144 | |
* | Genesco Inc. | 2,748 | 143 |
* | Delta Air Lines Inc. | 3,773 | 133 |
Shares | Market Value• ($000) | ||
* | Meritage Homes Corp. | 1,512 | 131 |
* | Mesa Air Group Inc. | 76,502 | 96 |
* | Audacy Inc. Class A | 171,223 | 49 |
* | Destination XL Group Inc. | 5,041 | 34 |
RCI Hospitality Holdings Inc. | 357 | 32 | |
* | Stride Inc. | 874 | 31 |
109,433 | |||
Consumer Staples (4.8%) | |||
CVS Health Corp. | 79,990 | 8,149 | |
Altria Group Inc. | 115,456 | 5,378 | |
Kraft Heinz Co. | 67,708 | 2,664 | |
* | Herbalife Nutrition Ltd. | 100,748 | 1,765 |
Molson Coors Beverage Co. Class B | 28,630 | 1,578 | |
Walgreens Boots Alliance Inc. | 32,274 | 1,339 | |
Philip Morris International Inc. | 12,049 | 1,201 | |
General Mills Inc. | 13,899 | 1,186 | |
Archer-Daniels-Midland Co. | 11,872 | 1,158 | |
McKesson Corp. | 2,947 | 1,125 | |
Kroger Co. | 17,717 | 871 | |
Tyson Foods Inc. Class A | 12,386 | 821 | |
SpartanNash Co. | 24,035 | 790 | |
* | TreeHouse Foods Inc. | 15,918 | 787 |
Vector Group Ltd. | 55,060 | 611 | |
ACCO Brands Corp. | 81,644 | 455 | |
Fresh Del Monte Produce Inc. | 15,167 | 420 | |
Edgewell Personal Care Co. | 9,695 | 419 | |
Seaboard Corp. | 97 | 383 | |
* | Pilgrim's Pride Corp. | 11,571 | 303 |
* | United Natural Foods Inc. | 6,058 | 289 |
Ingredion Inc. | 2,207 | 216 | |
J M Smucker Co. | 1,114 | 172 | |
Universal Corp. | 2,407 | 137 | |
* | Hostess Brands Inc. Class A | 4,444 | 117 |
Ingles Markets Inc. Class A | 1,029 | 104 | |
* | US Foods Holding Corp. | 942 | 34 |
32,472 | |||
Energy (11.7%) | |||
Exxon Mobil Corp. | 60,670 | 6,755 | |
Marathon Petroleum Corp. | 54,973 | 6,696 | |
Phillips 66 | 43,625 | 4,731 | |
Valero Energy Corp. | 35,325 | 4,720 | |
Occidental Petroleum Corp. | 61,737 | 4,290 | |
Chevron Corp. | 20,743 | 3,802 | |
EOG Resources Inc. | 21,688 | 3,078 | |
ConocoPhillips | 21,384 | 2,641 | |
Civitas Resources Inc. | 32,387 | 2,182 | |
Pioneer Natural Resources Co. | 9,001 | 2,124 | |
PDC Energy Inc. | 27,809 | 2,067 | |
* | Callon Petroleum Co. | 45,650 | 1,914 |
Murphy Oil Corp. | 37,380 | 1,764 | |
SM Energy Co. | 37,824 | 1,631 | |
Coterra Energy Inc. | 57,493 | 1,605 | |
Diamondback Energy Inc. | 10,307 | 1,526 | |
Cheniere Energy Inc. | 8,663 | 1,519 | |
Ovintiv Inc. (XNYS) | 25,810 | 1,439 | |
* | Antero Resources Corp. | 38,012 | 1,389 |
* | W&T Offshore Inc. | 190,859 | 1,311 |
Devon Energy Corp. | 19,007 | 1,302 | |
Permian resources Corp. Class A | 127,139 | 1,292 | |
* | ProPetro Holding Corp. | 112,540 | 1,236 |
Kinder Morgan Inc. | 62,591 | 1,197 | |
* | Laredo Petroleum Inc. | 17,968 | 1,147 |
Matador Resources Co. | 15,828 | 1,050 |
Shares | Market Value• ($000) | ||
EQT Corp. | 23,976 | 1,017 | |
HF Sinclair Corp. | 15,335 | 956 | |
* | Liberty Energy Inc. Class A | 50,794 | 840 |
Berry Corp. | 91,731 | 827 | |
SunCoke Energy Inc. | 97,557 | 825 | |
* | Helix Energy Solutions Group Inc. | 124,461 | 794 |
Alpha Metallurgical Resources Inc. | 4,533 | 776 | |
Ramaco Resources Inc. | 66,814 | 765 | |
CONSOL Energy Inc. | 9,336 | 723 | |
Marathon Oil Corp. | 23,572 | 722 | |
Warrior Met Coal Inc. | 19,083 | 703 | |
* | Southwestern Energy Co. | 93,201 | 645 |
* | Bristow Group Inc. | 24,048 | 625 |
Equitrans Midstream Corp. | 70,501 | 592 | |
Range Resources Corp. | 20,125 | 581 | |
PBF Energy Inc. Class A | 10,470 | 416 | |
* | SandRidge Energy Inc. | 19,620 | 400 |
Comstock Resources Inc. | 21,666 | 398 | |
Antero Midstream Corp. | 26,582 | 301 | |
* | Talos Energy Inc. | 11,719 | 230 |
* | REX American Resources Corp. | 7,431 | 219 |
Archrock Inc. | 23,556 | 205 | |
* | Centrus Energy Corp. Class A | 4,396 | 167 |
Delek US Holdings Inc. | 4,893 | 152 | |
APA Corp. | 1,138 | 53 | |
Schlumberger Ltd. | 849 | 44 | |
* | Kosmos Energy Ltd. | 737 | 5 |
78,389 | |||
Financials (22.8%) | |||
Prudential Financial Inc. | 34,839 | 3,764 | |
MetLife Inc. | 46,578 | 3,573 | |
Bank of New York Mellon Corp. | 69,030 | 3,168 | |
Goldman Sachs Group Inc. | 7,750 | 2,993 | |
American International Group Inc. | 47,263 | 2,983 | |
Bank of America Corp. | 75,604 | 2,862 | |
PacWest Bancorp | 99,989 | 2,612 | |
PNC Financial Services Group Inc. | 15,415 | 2,594 | |
Truist Financial Corp. | 54,062 | 2,531 | |
Citigroup Inc. | 51,660 | 2,501 | |
Morgan Stanley | 25,681 | 2,390 | |
Essent Group Ltd. | 59,123 | 2,370 | |
Wells Fargo & Co. | 49,166 | 2,357 | |
OceanFirst Financial Corp. | 91,936 | 2,148 | |
Aflac Inc. | 27,489 | 1,977 | |
Heartland Financial USA Inc. | 40,100 | 1,956 | |
Chubb Ltd. | 8,748 | 1,921 | |
S&T Bancorp Inc. | 48,314 | 1,808 | |
* | Genworth Financial Inc. Class A | 358,966 | 1,806 |
OneMain Holdings Inc. | 44,483 | 1,751 | |
Prosperity Bancshares Inc. | 23,031 | 1,740 | |
WesBanco Inc. | 41,966 | 1,698 | |
Provident Financial Services Inc. | 73,471 | 1,655 | |
Renasant Corp. | 40,257 | 1,641 | |
Enterprise Financial Services Corp. | 30,405 | 1,591 | |
US Bancorp | 34,444 | 1,563 | |
JPMorgan Chase & Co. | 11,300 | 1,561 | |
FNB Corp. | 109,440 | 1,543 | |
MGIC Investment Corp. | 111,030 | 1,524 |
Shares | Market Value• ($000) | ||
Dime Community Bancshares Inc. | 42,680 | 1,522 | |
Washington Federal Inc. | 43,043 | 1,518 | |
Janus Henderson Group plc | 59,842 | 1,513 | |
Affiliated Managers Group Inc. | 9,262 | 1,486 | |
First Financial Bancorp | 55,560 | 1,468 | |
Radian Group Inc. | 70,955 | 1,389 | |
Lincoln National Corp. | 34,699 | 1,351 | |
Hancock Whitney Corp. | 24,407 | 1,338 | |
Reinsurance Group of America Inc. | 9,236 | 1,334 | |
Allstate Corp. | 9,868 | 1,321 | |
* | Brighthouse Financial Inc. | 23,265 | 1,297 |
Travelers Cos. Inc. | 6,765 | 1,284 | |
RenaissanceRe Holdings Ltd. | 6,798 | 1,284 | |
Jefferies Financial Group Inc. | 33,354 | 1,267 | |
Signature Bank | 8,711 | 1,215 | |
First Citizens BancShares Inc. Class A | 1,482 | 1,210 | |
PennyMac Financial Services Inc. | 19,798 | 1,181 | |
Everest Re Group Ltd. | 3,470 | 1,173 | |
Cadence Bank | 40,384 | 1,165 | |
Regions Financial Corp. | 48,932 | 1,136 | |
Webster Financial Corp. | 20,671 | 1,123 | |
Navient Corp. | 67,207 | 1,114 | |
Ameris Bancorp | 20,544 | 1,086 | |
Hope Bancorp Inc. | 79,751 | 1,086 | |
Axis Capital Holdings Ltd. | 18,708 | 1,077 | |
* | NMI Holdings Inc. Class A | 49,241 | 1,060 |
Towne Bank | 32,417 | 1,047 | |
Citizens Financial Group Inc. | 24,517 | 1,039 | |
Bank OZK | 22,268 | 1,028 | |
Charles Schwab Corp. | 11,984 | 989 | |
First Busey Corp. | 37,395 | 975 | |
Atlantic Union Bankshares Corp. | 27,199 | 970 | |
Nelnet Inc. Class A | 9,060 | 893 | |
Old Republic International Corp. | 36,242 | 888 | |
Jackson Financial Inc. Class A | 23,627 | 882 | |
Pinnacle Financial Partners Inc. | 10,363 | 869 | |
First Bancorp (XNGS) | 17,752 | 863 | |
Synovus Financial Corp. | 20,067 | 845 | |
Zions Bancorp NA | 16,184 | 839 | |
* | Berkshire Hathaway Inc. Class B | 2,606 | 830 |
First Financial Corp. | 16,908 | 813 | |
SouthState Corp. | 9,118 | 801 | |
Cathay General Bancorp | 17,217 | 800 | |
Eagle Bancorp Inc. | 16,567 | 781 | |
* | Enova International Inc. | 18,970 | 765 |
Univest Financial Corp. | 26,944 | 760 | |
Carlyle Group Inc. | 24,378 | 760 | |
CNA Financial Corp. | 17,737 | 755 | |
Peoples Bancorp Inc. | 25,127 | 754 | |
Stifel Financial Corp. | 11,715 | 753 | |
Old National Bancorp | 39,244 | 750 | |
American Equity Investment Life Holding Co. | 18,231 | 739 | |
Fulton Financial Corp. | 39,565 | 735 | |
TrustCo Bank Corp. NY | 18,882 | 733 | |
Fidelity National Financial Inc. | 18,065 | 729 | |
Globe Life Inc. | 6,048 | 725 | |
Huntington Bancshares Inc. | 46,491 | 720 |
Shares | Market Value• ($000) | ||
Premier Financial Corp. | 24,634 | 719 | |
United Bankshares Inc. | 16,625 | 713 | |
* | Enstar Group Ltd. | 3,204 | 698 |
ConnectOne Bancorp Inc. | 26,553 | 697 | |
NBT Bancorp Inc. | 14,952 | 690 | |
Trustmark Corp. | 18,653 | 682 | |
Flushing Financial Corp. | 32,384 | 676 | |
Associated Banc-Corp. | 27,345 | 673 | |
Raymond James Financial Inc. | 5,660 | 662 | |
BOK Financial Corp. | 6,234 | 653 | |
Heritage Financial Corp. | 19,388 | 638 | |
Valley National Bancorp | 48,197 | 610 | |
TriCo Bancshares | 11,059 | 603 | |
* | StoneX Group Inc. | 5,805 | 589 |
KeyCorp | 30,940 | 582 | |
Principal Financial Group Inc. | 6,465 | 580 | |
* | Customers Bancorp Inc. | 17,953 | 579 |
Selective Insurance Group Inc. | 6,026 | 579 | |
Popular Inc. | 7,847 | 573 | |
Pacific Premier Bancorp Inc. | 15,391 | 569 | |
OFG Bancorp | 19,227 | 557 | |
Hartford Financial Services Group Inc. | 7,145 | 546 | |
Franklin Resources Inc. | 19,964 | 535 | |
First American Financial Corp. | 9,761 | 533 | |
Western Alliance Bancorp | 7,674 | 526 | |
1st Source Corp. | 8,956 | 511 | |
Equitable Holdings Inc. | 15,709 | 499 | |
* | Nicolet Bankshares Inc. | 5,991 | 496 |
Pathward Financial Inc. | 10,799 | 470 | |
Universal Insurance Holdings Inc. | 42,079 | 462 | |
Primerica Inc. | 3,078 | 459 | |
Banc of California Inc. | 26,929 | 457 | |
Invesco Ltd. | 23,152 | 442 | |
Berkshire Hills Bancorp Inc. | 13,843 | 432 | |
First Commonwealth Financial Corp. | 27,641 | 407 | |
Banner Corp. | 5,679 | 401 | |
Comerica Inc. | 5,423 | 389 | |
* | Axos Financial Inc. | 9,664 | 388 |
Unum Group | 9,176 | 387 | |
Brookline Bancorp Inc. | 26,905 | 383 | |
Northfield Bancorp Inc. | 23,715 | 378 | |
M&T Bank Corp. | 2,193 | 373 | |
Horizon Bancorp Inc. | 18,917 | 308 | |
BGC Partners Inc. Class A | 65,976 | 284 | |
* | Arch Capital Group Ltd. | 4,624 | 277 |
Bank of NT Butterfield & Son Ltd. | 7,955 | 277 | |
Argo Group International Holdings Ltd. | 9,490 | 258 | |
Sandy Spring Bancorp Inc. | 7,339 | 256 | |
Discover Financial Services | 2,337 | 253 | |
* | Markel Corp. | 181 | 240 |
CNO Financial Group Inc. | 9,639 | 226 | |
Veritex Holdings Inc. | 6,906 | 226 | |
HarborOne Bancorp Inc. | 14,816 | 217 | |
Simmons First National Corp. Class A | 9,207 | 214 | |
SLM Corp. | 11,396 | 199 | |
Cullen/Frost Bankers Inc. | 1,282 | 186 | |
* | SiriusPoint Ltd. | 27,942 | 182 |
* | LendingClub Corp. | 17,125 | 177 |
State Street Corp. | 2,174 | 173 |
Shares | Market Value• ($000) | ||
East West Bancorp Inc. | 2,429 | 171 | |
Home BancShares Inc. | 6,708 | 171 | |
Employers Holdings Inc. | 3,634 | 169 | |
Federal Agricultural Mortgage Corp. Class C | 1,275 | 160 | |
Hanover Insurance Group Inc. | 1,077 | 159 | |
Stewart Information Services Corp. | 3,594 | 159 | |
First BanCorp (XNYS) | 9,649 | 148 | |
* | Mr Cooper Group Inc. | 3,235 | 146 |
* | Silvergate Capital Corp. Class A | 5,162 | 142 |
* | Texas Capital Bancshares Inc. | 2,210 | 133 |
Horace Mann Educators Corp. | 3,398 | 131 | |
Ally Financial Inc. | 4,701 | 127 | |
* | Oportun Financial Corp. | 23,012 | 127 |
Fifth Third Bancorp | 3,426 | 125 | |
Hanmi Financial Corp. | 4,560 | 123 | |
American Financial Group Inc. | 785 | 112 | |
Independent Bank Group Inc. | 1,644 | 108 | |
Central Pacific Financial Corp. | 5,021 | 106 | |
First Merchants Corp. | 2,222 | 98 | |
* | Sunlight Financial Holdings Inc. | 44,675 | 81 |
BlackRock Inc. | 107 | 77 | |
Assured Guaranty Ltd. | 761 | 51 | |
152,982 | |||
Health Care (7.9%) | |||
HCA Healthcare Inc. | 21,066 | 5,060 | |
Bristol-Myers Squibb Co. | 61,659 | 4,950 | |
* | Centene Corp. | 55,275 | 4,812 |
Cigna Corp. | 10,758 | 3,538 | |
Pfizer Inc. | 57,527 | 2,884 | |
* | Moderna Inc. | 16,365 | 2,879 |
* | Syneos Health Inc. | 79,476 | 2,804 |
* | Elanco Animal Health Inc. (XNYS) | 197,801 | 2,546 |
* | Regeneron Pharmaceuticals Inc. | 3,226 | 2,425 |
Universal Health Services Inc. Class B | 15,156 | 1,983 | |
* | QuidelOrtho Corp. | 22,484 | 1,970 |
Organon & Co. | 72,231 | 1,879 | |
Elevance Health Inc. | 3,454 | 1,841 | |
Gilead Sciences Inc. | 20,473 | 1,798 | |
DENTSPLY SIRONA Inc. | 50,350 | 1,524 | |
* | Jazz Pharmaceuticals plc | 9,474 | 1,487 |
Owens & Minor Inc. | 64,678 | 1,333 | |
Premier Inc. Class A | 28,343 | 945 | |
* | United Therapeutics Corp. | 2,472 | 692 |
* | Tenet Healthcare Corp. | 14,369 | 664 |
* | Emergent BioSolutions Inc. | 52,106 | 641 |
* | Sotera Health Co. | 63,137 | 527 |
* | Hologic Inc. | 5,244 | 399 |
* | Eagle Pharmaceuticals Inc. | 10,358 | 376 |
* | Avanos Medical Inc. | 13,443 | 362 |
* | Prestige Consumer Healthcare Inc. | 5,817 | 357 |
Quest Diagnostics Inc. | 2,042 | 310 | |
* | Amneal Pharmaceuticals Inc. | 108,979 | 279 |
* | Pediatrix Medical Group Inc. | 16,619 | 266 |
* | Biogen Inc. | 810 | 247 |
* | Computer Programs and Systems Inc. | 8,362 | 247 |
* | iTeos Therapeutics Inc. | 11,172 | 225 |
* | Horizon Therapeutics plc | 2,105 | 211 |
Shares | Market Value• ($000) | ||
Merck & Co. Inc. | 1,753 | 193 | |
* | PetIQ Inc. Class A | 11,737 | 139 |
AbbVie Inc. | 455 | 73 | |
52,866 | |||
Industrials (15.2%) | |||
Fidelity National Information Services Inc. | 133,734 | 9,706 | |
Ryder System Inc. | 43,305 | 4,049 | |
FedEx Corp. | 19,866 | 3,620 | |
Capital One Financial Corp. | 31,545 | 3,257 | |
Berry Global Group Inc. | 54,443 | 3,190 | |
* | Builders FirstSource Inc. | 48,569 | 3,105 |
* | Mohawk Industries Inc. | 27,700 | 2,807 |
* | Fiserv Inc. | 26,553 | 2,771 |
Knight-Swift Transportation Holdings Inc. | 44,124 | 2,446 | |
ManpowerGroup Inc. | 27,940 | 2,445 | |
Air Lease Corp. Class A | 62,734 | 2,423 | |
General Dynamics Corp. | 9,219 | 2,327 | |
Synchrony Financial | 60,492 | 2,273 | |
Bread Financial Holdings Inc. | 54,011 | 2,216 | |
* | Atkore Inc. | 17,768 | 2,170 |
MKS Instruments Inc. | 25,620 | 2,148 | |
* | GXO Logistics Inc. | 42,991 | 2,015 |
Triton International Ltd. | 26,225 | 1,769 | |
Genco Shipping & Trading Ltd. | 117,944 | 1,749 | |
Owens Corning | 18,240 | 1,620 | |
Matson Inc. | 24,746 | 1,578 | |
Louisiana-Pacific Corp. | 23,009 | 1,468 | |
* | Titan Machinery Inc. | 33,171 | 1,461 |
ArcBest Corp. | 16,286 | 1,348 | |
Schneider National Inc. Class B | 48,731 | 1,255 | |
Patrick Industries Inc. | 22,124 | 1,237 | |
MDU Resources Group Inc. | 37,524 | 1,182 | |
Global Payments Inc. | 10,164 | 1,055 | |
* | American Woodmark Corp. | 18,430 | 999 |
* | O-I Glass Inc. | 58,857 | 966 |
* | Alight Inc. Class A | 109,608 | 946 |
Moog Inc. Class A | 10,770 | 937 | |
Scorpio Tankers Inc. | 18,350 | 936 | |
* | PayPal Holdings Inc. | 11,148 | 874 |
* | CoreCivic Inc. | 64,259 | 853 |
* | BlueLinx Holdings Inc. | 11,997 | 833 |
L3Harris Technologies Inc. | 3,628 | 824 | |
Allison Transmission Holdings Inc. | 17,871 | 801 | |
Trinseo plc | 32,277 | 796 | |
Graphic Packaging Holding Co. | 33,903 | 779 | |
* | Conduent Inc. | 191,855 | 775 |
Quanex Building Products Corp. | 30,571 | 727 | |
Covenant Logistics Group Inc. Class A | 17,617 | 676 | |
* | XPO Logistics Inc. | 17,325 | 669 |
SFL Corp. Ltd. | 66,476 | 651 | |
* | Sterling Infrastructure Inc. | 19,578 | 641 |
Maxar Technologies Inc. | 26,251 | 635 | |
Textron Inc. | 8,751 | 625 | |
* | United Rentals Inc. | 1,744 | 616 |
* | AMN Healthcare Services Inc. | 4,876 | 603 |
Encore Wire Corp. | 3,980 | 581 | |
* | Repay Holdings Corp. Class A | 64,369 | 570 |
PACCAR Inc. | 5,284 | 560 | |
Brunswick Corp. | 7,225 | 536 | |
Greif Inc. Class A | 7,267 | 511 |
Shares | Market Value• ($000) | ||
* | JELD-WEN Holding Inc. | 48,058 | 497 |
* | Air Transport Services Group Inc. | 17,385 | 487 |
Westrock Co. | 12,817 | 486 | |
REV Group Inc. | 33,407 | 464 | |
* | Gates Industrial Corp. plc | 39,968 | 464 |
* | Manitowoc Co. Inc. | 44,686 | 439 |
* | BrightView Holdings Inc. | 61,189 | 422 |
Safe Bulkers Inc. | 141,597 | 404 | |
Korn Ferry | 7,007 | 400 | |
DHT Holdings Inc. | 37,473 | 380 | |
Raytheon Technologies Corp. | 3,819 | 377 | |
Dorian LPG Ltd. | 18,611 | 362 | |
Deluxe Corp. | 18,557 | 359 | |
Acuity Brands Inc. | 1,894 | 357 | |
* | Advantage Solutions Inc. | 138,526 | 344 |
Costamare Inc. | 35,522 | 342 | |
Griffon Corp. | 9,327 | 329 | |
Textainer Group Holdings Ltd. | 10,382 | 316 | |
* | Mirion Technologies Inc. | 49,252 | 314 |
* | Tutor Perini Corp. | 42,247 | 302 |
Johnson Controls International plc | 4,436 | 295 | |
Kelly Services Inc. Class A | 17,114 | 291 | |
Resources Connection Inc. | 14,635 | 282 | |
* | WESCO International Inc. | ���2,139 | 276 |
* | Green Dot Corp. Class A | 13,480 | 275 |
ADT Inc. | 27,296 | 255 | |
* | GMS Inc. | 5,083 | 250 |
Herc Holdings Inc. | 1,922 | 246 | |
* | Paysafe Ltd. | 170,862 | 243 |
* | DXP Enterprises Inc. | 8,453 | 218 |
EMCOR Group Inc. | 1,361 | 211 | |
* | MasTec Inc. | 2,325 | 211 |
Insteel Industries Inc. | 7,093 | 209 | |
* | First Advantage Corp. | 14,761 | 196 |
Norfolk Southern Corp. | 739 | 190 | |
* | Summit Materials Inc. Class A | 6,004 | 182 |
* | Hub Group Inc. Class A | 1,935 | 163 |
Kronos Worldwide Inc. | 17,404 | 160 | |
Werner Enterprises Inc. | 3,627 | 159 | |
Westinghouse Air Brake Technologies Corp. | 1,432 | 145 | |
3M Co. | 1,142 | 144 | |
* | Resideo Technologies Inc. | 7,991 | 129 |
DuPont de Nemours Inc. | 1,796 | 127 | |
AGCO Corp. | 927 | 123 | |
nVent Electric plc | 3,059 | 122 | |
Regal Rexnord Corp. | 890 | 117 | |
American Express Co. | 712 | 112 | |
* | Modine Manufacturing Co. | 2,917 | 62 |
GATX Corp. | 542 | 61 | |
101,909 | |||
Real Estate (0.5%) | |||
* | Anywhere Real Estate Inc. | 167,591 | 1,265 |
Newmark Group Inc. Class A | 124,571 | 1,056 | |
* | Jones Lang LaSalle Inc. | 3,440 | 579 |
* | GEO Group Inc. | 31,962 | 378 |
RE/MAX Holdings Inc. Class A | 7,813 | 163 | |
3,441 | |||
Technology (8.4%) | |||
Hewlett Packard Enterprise Co. | 256,043 | 4,296 | |
* | Magnite Inc. | 343,660 | 3,818 |
HP Inc. | 121,813 | 3,659 |
Shares | Market Value• ($000) | ||
Skyworks Solutions Inc. | 36,183 | 3,460 | |
* | Qorvo Inc. | 29,742 | 2,952 |
* | NCR Corp. | 118,880 | 2,838 |
* | DXC Technology Co. | 85,860 | 2,547 |
* | Synaptics Inc. | 23,909 | 2,534 |
* | Semtech Corp. | 79,471 | 2,443 |
* | Coherent Corp. | 61,982 | 2,273 |
Vishay Intertechnology Inc. | 80,315 | 1,850 | |
Xerox Holdings Corp. | 107,300 | 1,750 | |
* | TTM Technologies Inc. | 94,967 | 1,526 |
Amkor Technology Inc. | 50,155 | 1,405 | |
* | Alpha & Omega Semiconductor Ltd. | 37,899 | 1,329 |
Adeia Inc. | 107,463 | 1,187 | |
* | Ziff Davis Inc. | 11,655 | 1,075 |
Oracle Corp. | 12,604 | 1,046 | |
* | Ultra Clean Holdings Inc. | 28,364 | 1,011 |
International Business Machines Corp. | 6,405 | 954 | |
* | CACI International Inc. Class A | 3,026 | 945 |
Science Applications International Corp. | 8,416 | 927 | |
* | Digital Turbine Inc. | 50,356 | 919 |
Jabil Inc. | 12,400 | 895 | |
Micron Technology Inc. | 14,370 | 828 | |
* | Photronics Inc. | 40,081 | 754 |
* | Dropbox Inc. Class A | 30,047 | 708 |
Dell Technologies Inc. Class C | 13,536 | 606 | |
Amdocs Ltd. | 6,713 | 597 | |
* | Sanmina Corp. | 8,849 | 585 |
* | ScanSource Inc. | 16,933 | 506 |
SS&C Technologies Holdings Inc. | 8,200 | 441 | |
* | Cohu Inc. | 9,162 | 328 |
* | Kimball Electronics Inc. | 14,205 | 328 |
* | NetScout Systems Inc. | 8,080 | 301 |
* | Unisys Corp. | 69,995 | 301 |
* | Rimini Street Inc. | 70,418 | 296 |
Cognizant Technology Solutions Corp. Class A | 4,225 | 263 | |
* | Kyndryl Holdings Inc. | 22,022 | 258 |
* | Arrow Electronics Inc. | 2,260 | 246 |
Gen Digital Inc. | 9,573 | 220 | |
* | Upland Software Inc. | 27,665 | 209 |
* | Consensus Cloud Solutions Inc. | 2,988 | 170 |
Avnet Inc. | 3,545 | 160 | |
* | SolarWinds Corp. | 17,632 | 154 |
Shares | Market Value• ($000) | ||
Xperi Inc. | 11,286 | 121 | |
TD SYNNEX Corp. | 768 | 79 | |
56,098 | |||
Telecommunications (5.0%) | |||
Comcast Corp. Class A | 307,005 | 11,248 | |
AT&T Inc. | 524,329 | 10,109 | |
* | Charter Communications Inc. Class A | 10,202 | 3,992 |
Verizon Communications Inc. | 73,811 | 2,877 | |
* | DISH Network Corp. Class A | 173,283 | 2,781 |
* | Liberty Latin America Ltd. Class C | 127,442 | 993 |
* | CommScope Holding Co. Inc. | 52,110 | 463 |
* | United States Cellular Corp. | 20,227 | 430 |
Cisco Systems Inc. | 7,236 | 360 | |
* | Liberty Latin America Ltd. Class A | 39,394 | 305 |
* | Consolidated Communications Holdings Inc. | 38,786 | 179 |
33,737 | |||
Utilities (0.1%) | |||
* | Harsco Corp. | 41,822 | 313 |
Total Common Stocks (Cost $608,370) | 667,799 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 3.877% (Cost $1,770) | 17,704 | 1,770 |
Total Investments (99.8%) (Cost $610,140) | 669,569 | ||
Other Assets and Liabilities—Net (0.2%) | 1,112 | ||
Net Assets (100%) | 670,681 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $67,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $70,000 was received for securities on loan, of which $69,000 is held in Vanguard Market Liquidity Fund and $1,000 is held in cash. |
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 | December 2022 | 11 | 2,245 | 19 |
Micro E-mini S&P 500 Index | December 2022 | 16 | 327 | (4) |
15 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $608,370) | 667,799 |
Affiliated Issuers (Cost $1,770) | 1,770 |
Total Investments in Securities | 669,569 |
Investment in Vanguard | 26 |
Cash | 1 |
Cash Collateral Pledged—Futures Contracts | 138 |
Receivables for Accrued Income | 1,355 |
Variation Margin Receivable—Futures Contracts | 75 |
Total Assets | 671,164 |
Liabilities | |
Due to Custodian | 1 |
Payables for Investment Securities Purchased | 342 |
Collateral for Securities on Loan | 70 |
Payables for Capital Shares Redeemed | 34 |
Payables to Vanguard | 36 |
Total Liabilities | 483 |
Net Assets | 670,681 |
1 Includes $67 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 668,561 |
Total Distributable Earnings (Loss) | 2,120 |
Net Assets | 670,681 |
Net Assets | |
Applicable to 6,375,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 670,681 |
Net Asset Value Per Share | $105.20 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 14,735 |
Interest2 | 33 |
Securities Lending—Net | 39 |
Total Income | 14,807 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 349 |
Management and Administrative | 340 |
Marketing and Distribution | 34 |
Custodian Fees | 1 |
Auditing Fees | 28 |
Shareholders’ Reports | 51 |
Trustees’ Fees and Expenses | — |
Other Expenses | 17 |
Total Expenses | 820 |
Expenses Paid Indirectly | (1) |
Net Expenses | 819 |
Net Investment Income | 13,988 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 29,984 |
Futures Contracts | (116) |
Realized Net Gain (Loss) | 29,868 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | (11,692) |
Futures Contracts | (34) |
Change in Unrealized Appreciation (Depreciation) | (11,726) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 32,130 |
1 | Dividends are net of foreign withholding taxes of $6,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $32,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $79,674,000 of net gain (loss) resulting from in-kind redemptions. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 13,988 | 6,528 |
Realized Net Gain (Loss) | 29,868 | 7,659 |
Change in Unrealized Appreciation (Depreciation) | (11,726) | 52,714 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 32,130 | 66,901 |
Distributions | ||
Total Distributions | (12,731) | (5,430) |
Capital Share Transactions | ||
Issued | 413,815 | 273,133 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (210,797) | (19,466) |
Net Increase (Decrease) from Capital Share Transactions | 203,018 | 253,667 |
Total Increase (Decrease) | 222,417 | 315,138 |
Net Assets | ||
Beginning of Period | 448,264 | 133,126 |
End of Period | 670,681 | 448,264 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 13, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $99.84 | $73.96 | $75.51 | $74.35 | $75.00 |
Investment Operations | |||||
Net Investment Income2 | 2.220 | 1.923 | 1.689 | 1.671 | 1.276 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.212 | 25.644 | (1.634) | 1.053 | (1.295) |
Total from Investment Operations | 7.432 | 27.567 | .055 | 2.724 | (.019) |
Distributions | |||||
Dividends from Net Investment Income | (2.072) | (1.687) | (1.605) | (1.564) | (.631) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (2.072) | (1.687) | (1.605) | (1.564) | (.631) |
Net Asset Value, End of Period | $105.20 | $99.84 | $73.96 | $75.51 | $74.35 |
Total Return | 7.63% | 37.51% | 0.70% | 3.83% | -0.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $671 | $448 | $133 | $81 | $37 |
Ratio of Total Expenses to Average Net Assets | 0.13%3 | 0.13% | 0.14%3 | 0.14%3 | 0.13%4 |
Ratio of Net Investment Income to Average Net Assets | 2.22% | 1.98% | 2.68% | 2.32% | 2.05%4 |
Portfolio Turnover Rate | 64%5 | 43%5 | 52%5 | 73% | 16% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%. |
4 | Annualized. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. |
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. |
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 year ended November 30, 2022, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These |
Amount ($000) | |
Paid-in Capital | 79,675 |
Total Distributable Earnings (Loss) | (79,675) |
Amount ($000) | |
Undistributed Ordinary Income | 3,065 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (60,124) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 59,179 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 12,731 | 5,430 |
Long-Term Capital Gains | — | — |
Total | 12,731 | 5,430 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 610,390 |
Gross Unrealized Appreciation | 84,048 |
Gross Unrealized Depreciation | (24,869) |
Net Unrealized Appreciation (Depreciation) | 59,179 |
F. | During the year ended November 30, 2022, the fund purchased $801,611,000 of investment securities and sold $598,155,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $200,862,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
G. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 4,035 | 2,895 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (2,150) | (205) |
Net Increase (Decrease) in Shares Outstanding | 1,885 | 2,690 |
H. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
January 19, 2023
Fund | Percentage |
U.S. Minimum Volatility ETF | 98.8% |
U.S. Momentum Factor ETF | 97.3 |
U.S. Multifactor ETF | 99.1 |
U.S. Quality Factor ETF | 100.0 |
U.S. Value Factor ETF | 95.7 |
Fund | ($000) |
U.S. Minimum Volatility ETF | 1,062 |
U.S. Momentum Factor ETF | 3,256 |
U.S. Multifactor ETF | 2,850 |
U.S. Quality Factor ETF | 2,385 |
U.S. Value Factor ETF | 12,731 |
Fund | ($000) |
U.S. Minimum Volatility ETF | 1 |
U.S. Momentum Factor ETF | 5 |
U.S. Multifactor ETF | 2 |
U.S. Quality Factor ETF | 3 |
U.S. Value Factor ETF | 11 |
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Your Fund’s Performance at a Glance | 1 |
Advisor's Report | 2 |
About Your Fund’s Expenses | 4 |
Performance Summary | 6 |
Financial Statements | 8 |
• | The 12 months ended November 30, 2022, were a volatile, challenging period for financial markets. Despite these headwinds, Vanguard U.S. Multifactor Fund returned 4.43% for the 12 months ended November 30, 2022. It outpaced its benchmark, the Russell 3000 Index, which returned –10.80%. |
• | The economic backdrop deteriorated early on as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which increased fears of a recession. |
• | Ten of the fund’s 11 industry sectors contributed positively to relative performance. Our positions in energy, information technology, and communication services drove much of the fund’s outperformance. Consumer discretionary, health care, and financials also produced strong results. |
• | Utilities was the only sector that detracted. |
Average Annual Total Returns Periods Ended November 30, 2022 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | -10.66% | 10.56% | 10.69% |
Russell 2000 Index (Small-caps) | -13.01 | 6.44 | 5.45 |
Russell 3000 Index (Broad U.S. market) | -10.80 | 10.28 | 10.33 |
FTSE All-World ex US Index (International) | -11.40 | 2.23 | 1.86 |
Bonds | |||
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | -12.91% | -2.56% | 0.24% |
Bloomberg Municipal Bond Index (Broad tax-exempt market) | -8.64 | -0.77 | 1.40 |
FTSE Three-Month U.S. Treasury Bill Index | 1.16 | 0.64 | 1.19 |
CPI | |||
Consumer Price Index | 7.11% | 5.00% | 3.83% |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended November 30, 2022 | |||
U.S. Multifactor Fund | Beginning Account Value 5/31/2022 | Ending Account Value 11/30/2022 | Expenses Paid During Period |
Based on Actual Fund Return | $1,000.00 | $1,049.00 | $0.92 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.17 | 0.91 |
Average Annual Total Returns Periods Ended November 30, 2022 | ||||
One Year | Since Inception (2/15/2018) | Final Value of a $50,000 Investment | ||
U.S. Multifactor Fund | 4.43% | 8.22% | $72,989 | |
Russell 3000 Index | -10.80 | 10.10 | 79,255 |
Basic Materials | 4.6% |
Consumer Discretionary | 13.8 |
Consumer Staples | 8.1 |
Energy | 18.6 |
Financials | 18.2 |
Health Care | 14.3 |
Industrials | 13.5 |
Real Estate | 0.3 |
Technology | 7.9 |
Telecommunications | 0.6 |
Utilities | 0.1 |
Shares | Market Value• ($000) | ||
Common Stocks (98.3%) | |||
Basic Materials (4.5%) | |||
Steel Dynamics Inc. | 2,032 | 211 | |
Dow Inc. | 4,068 | 207 | |
CF Industries Holdings Inc. | 1,785 | 193 | |
Nucor Corp. | 1,270 | 190 | |
Reliance Steel & Aluminum Co. | 854 | 181 | |
Olin Corp. | 2,949 | 168 | |
Freeport-McMoRan Inc. | 3,642 | 145 | |
Commercial Metals Co. | 2,803 | 138 | |
Chemours Co. | 4,044 | 126 | |
Mueller Industries Inc. | 1,836 | 126 | |
LyondellBasell Industries NV Class A | 1,426 | 121 | |
UFP Industries Inc. | 1,477 | 121 | |
Mosaic Co. | 2,217 | 114 | |
Olympic Steel Inc. | 3,241 | 114 | |
* | Univar Solutions Inc. | 3,048 | 101 |
Boise Cascade Co. | 1,311 | 97 | |
AdvanSix Inc. | 2,026 | 83 | |
American Vanguard Corp. | 3,539 | 81 | |
* | Clearwater Paper Corp. | 2,008 | 78 |
Huntsman Corp. | 2,596 | 72 | |
* | US Silica Holdings Inc. | 4,899 | 64 |
Timken Co. | 823 | 63 | |
SSR Mining Inc. (XTSE) | 3,508 | 53 | |
Westlake Corp. | 416 | 45 | |
Fastenal Co. | 556 | 29 | |
* | Alto Ingredients Inc. | 6,460 | 23 |
Cabot Corp. | 208 | 15 | |
Element Solutions Inc. | 783 | 15 | |
Valvoline Inc. | 412 | 14 | |
Innospec Inc. | 115 | 13 | |
3,001 | |||
Consumer Discretionary (13.5%) | |||
H&R Block Inc. | 8,342 | 365 | |
* | AutoZone Inc. | 128 | 330 |
* | Perdoceo Education Corp. | 21,587 | 310 |
* | O'Reilly Automotive Inc. | 350 | 303 |
Target Corp. | 1,561 | 261 | |
* | AutoNation Inc. | 1,978 | 245 |
Scholastic Corp. | 5,728 | 236 | |
Dillard's Inc. Class A | 533 | 192 | |
Ethan Allen Interiors Inc. | 6,692 | 190 | |
* | Deckers Outdoor Corp. | 412 | 164 |
Dick's Sporting Goods Inc. | 1,339 | 160 | |
Macy's Inc. | 6,464 | 152 | |
* | Capri Holdings Ltd. | 2,630 | 151 |
Shares | Market Value• ($000) | ||
Omnicom Group Inc. | 1,870 | 149 | |
Signet Jewelers Ltd. | 2,266 | 147 | |
Murphy USA Inc. | 495 | 146 | |
eBay Inc. | 3,009 | 137 | |
Genuine Parts Co. | 734 | 135 | |
Walmart Inc. | 873 | 133 | |
* | United Airlines Holdings Inc. | 2,955 | 131 |
Oxford Industries Inc. | 1,143 | 129 | |
* | Cars.com Inc. | 8,659 | 128 |
Lennar Corp. Class A | 1,353 | 119 | |
* | Monarch Casino & Resort Inc. | 1,323 | 112 |
Movado Group Inc. | 3,434 | 111 | |
Nexstar Media Group Inc. Class A | 562 | 107 | |
LKQ Corp. | 1,936 | 105 | |
Group 1 Automotive Inc. | 537 | 104 | |
Lowe's Cos. Inc. | 486 | 103 | |
* | American Airlines Group Inc. | 6,933 | 100 |
Entravision Communications Corp. Class A | 18,021 | 100 | |
Acushnet Holdings Corp. | 2,169 | 99 | |
Whirlpool Corp. | 664 | 97 | |
* | American Axle & Manufacturing Holdings Inc. | 9,070 | 94 |
* | NVR Inc. | 20 | 93 |
* | Chico's FAS Inc. | 15,688 | 92 |
Thor Industries Inc. | 1,036 | 89 | |
Williams-Sonoma Inc. | 760 | 89 | |
Jack in the Box Inc. | 1,213 | 88 | |
* | BJ's Wholesale Club Holdings Inc. | 1,143 | 86 |
Hibbett Inc. | 1,270 | 85 | |
Tapestry Inc. | 2,204 | 83 | |
* | Stride Inc. | 2,346 | 83 |
Dine Brands Global Inc. | 1,094 | 82 | |
�� | Academy Sports & Outdoors Inc. | 1,612 | 81 |
Penske Automotive Group Inc. | 629 | 80 | |
* | TravelCenters of America Inc. | 1,559 | 80 |
PulteGroup Inc. | 1,747 | 78 | |
Buckle Inc. | 1,659 | 73 | |
Ford Motor Co. | 5,244 | 73 | |
* | Adtalem Global Education Inc. | 1,740 | 72 |
* | Asbury Automotive Group Inc. | 376 | 71 |
* | Brinker International Inc. | 2,112 | 71 |
* | Golden Entertainment Inc. | 1,587 | 70 |
Caleres Inc. | 2,800 | 68 | |
Designer Brands Inc. Class A | 4,347 | 67 | |
* | ODP Corp. | 1,370 | 66 |
Shares | Market Value• ($000) | ||
* | Bowlero Corp. | 4,712 | 66 |
La-Z-Boy Inc. | 2,404 | 65 | |
* | MarineMax Inc. | 1,976 | 65 |
* | Booking Holdings Inc. | 29 | 60 |
Gentex Corp. | 2,058 | 59 | |
* | Gentherm Inc. | 825 | 59 |
* | Green Brick Partners Inc. | 2,403 | 58 |
Best Buy Co. Inc. | 646 | 55 | |
* | Cavco Industries Inc. | 240 | 55 |
* | SeaWorld Entertainment Inc. | 971 | 55 |
Haverty Furniture Cos. Inc. | 1,719 | 54 | |
Nordstrom Inc. | 2,545 | 53 | |
* | Skyline Champion Corp. | 1,007 | 52 |
Bath & Body Works Inc. | 1,202 | 51 | |
Sonic Automotive Inc. Class A | 936 | 50 | |
Rush Enterprises Inc. Class A | 954 | 49 | |
Shoe Carnival Inc. | 1,771 | 47 | |
* | Malibu Boats Inc. Class A | 802 | 46 |
Boyd Gaming Corp. | 717 | 44 | |
* | Master Craft Boat Holdings Inc. | 1,709 | 44 |
Travel + Leisure Co. | 1,059 | 41 | |
* | Zumiez Inc. | 1,717 | 40 |
John Wiley & Sons Inc. Class A | 792 | 38 | |
* | Meritage Homes Corp. | 430 | 37 |
* | Crocs Inc. | 342 | 35 |
Century Communities Inc. | 698 | 34 | |
1 | Sirius XM Holdings Inc. | 5,313 | 34 |
Ralph Lauren Corp. Class A | 261 | 30 | |
Tractor Supply Co. | 125 | 28 | |
* | Tri Pointe Homes Inc. | 1,345 | 25 |
Rent-A-Center Inc. | 998 | 24 | |
Strategic Education Inc. | 289 | 24 | |
International Game Technology plc | 988 | 24 | |
* | Grand Canyon Education Inc. | 181 | 20 |
News Corp. Class B | 1,035 | 20 | |
BorgWarner Inc. (XNYS) | 439 | 19 | |
Garmin Ltd. | 205 | 19 | |
* | Genesco Inc. | 311 | 16 |
Guess? Inc. | 771 | 16 | |
Lithia Motors Inc. Class A | 63 | 15 | |
* | Mattel Inc. | 809 | 15 |
* | Central Garden & Pet Co. Class A | 344 | 13 |
* | Dave & Buster's Entertainment Inc. | 332 | 13 |
PriceSmart Inc. | 190 | 13 | |
9,045 | |||
Consumer Staples (8.0%) | |||
McKesson Corp. | 1,468 | 560 | |
Ingles Markets Inc. Class A | 5,013 | 507 | |
CVS Health Corp. | 4,252 | 433 | |
Altria Group Inc. | 8,985 | 419 | |
Philip Morris International Inc. | 3,444 | 343 | |
Kroger Co. | 5,555 | 273 | |
SpartanNash Co. | 7,091 | 233 | |
Archer-Daniels-Midland Co. | 2,233 | 218 | |
Weis Markets Inc. | 2,322 | 203 | |
Tyson Foods Inc. Class A | 2,976 | 197 | |
Kimberly-Clark Corp. | 1,374 | 186 | |
General Mills Inc. | 2,082 | 178 | |
Colgate-Palmolive Co. | 2,281 | 177 | |
PepsiCo Inc. | 870 | 161 | |
Molson Coors Beverage Co. Class B | 2,518 | 139 | |
Campbell Soup Co. | 2,409 | 129 |
Shares | Market Value• ($000) | ||
Flowers Foods Inc. | 4,280 | 129 | |
Nu Skin Enterprises Inc. Class A | 2,590 | 108 | |
Coca-Cola Consolidated Inc. | 200 | 98 | |
AmerisourceBergen Corp. | 534 | 91 | |
Kraft Heinz Co. | 2,206 | 87 | |
* | Sprouts Farmers Market Inc. | 2,539 | 87 |
Casey's General Stores Inc. | 332 | 81 | |
Kellogg Co. | 977 | 71 | |
Cal-Maine Foods Inc. | 1,169 | 68 | |
Vector Group Ltd. | 4,828 | 54 | |
Edgewell Personal Care Co. | 591 | 26 | |
* | Monster Beverage Corp. | 206 | 21 |
J M Smucker Co. | 131 | 20 | |
* | Darling Ingredients Inc. | 197 | 14 |
5,311 | |||
Energy (18.3%) | |||
EOG Resources Inc. | 7,071 | 1,004 | |
Exxon Mobil Corp. | 6,541 | 728 | |
ConocoPhillips | 5,554 | 686 | |
Valero Energy Corp. | 3,901 | 521 | |
Marathon Petroleum Corp. | 4,113 | 501 | |
Chevron Corp. | 2,668 | 489 | |
Cheniere Energy Inc. | 2,735 | 480 | |
Devon Energy Corp. | 6,923 | 474 | |
Occidental Petroleum Corp. | 6,749 | 469 | |
Pioneer Natural Resources Co. | 1,812 | 428 | |
Chord Energy Corp. | 2,262 | 345 | |
CONSOL Energy Inc. | 4,076 | 316 | |
Northern Oil and Gas Inc. | 7,679 | 279 | |
* | Antero Resources Corp. | 7,131 | 261 |
* | W&T Offshore Inc. | 35,864 | 246 |
Ovintiv Inc. (XNYS) | 4,236 | 236 | |
Phillips 66 | 1,747 | 189 | |
EQT Corp. | 3,977 | 169 | |
Marathon Oil Corp. | 5,522 | 169 | |
* | Southwestern Energy Co. | 22,565 | 156 |
* | Denbury Inc. | 1,669 | 150 |
Matador Resources Co. | 2,167 | 144 | |
Patterson-UTI Energy Inc. | 8,046 | 144 | |
PDC Energy Inc. | 1,887 | 140 | |
Range Resources Corp. | 4,853 | 140 | |
Coterra Energy Inc. | 4,890 | 136 | |
Diamondback Energy Inc. | 918 | 136 | |
APA Corp. | 2,892 | 136 | |
HF Sinclair Corp. | 2,183 | 136 | |
* | Helix Energy Solutions Group Inc. | 21,045 | 134 |
Civitas Resources Inc. | 1,887 | 127 | |
ChampionX Corp. | 4,050 | 125 | |
* | Par Pacific Holdings Inc. | 5,145 | 121 |
SunCoke Energy Inc. | 13,933 | 118 | |
SM Energy Co. | 2,680 | 116 | |
Murphy Oil Corp. | 2,321 | 110 | |
Targa Resources Corp. | 1,379 | 103 | |
Comstock Resources Inc. | 5,374 | 99 | |
* | SandRidge Energy Inc. | 4,772 | 97 |
Berry Corp. | 10,600 | 96 | |
Warrior Met Coal Inc. | 2,572 | 95 | |
Magnolia Oil & Gas Corp. Class A | 3,381 | 88 | |
* | Talos Energy Inc. | 4,472 | 88 |
* | NexTier Oilfield Solutions Inc. | 8,259 | 84 |
* | REX American Resources Corp. | 2,788 | 82 |
Solaris Oilfield Infrastructure Inc. Class A | 7,507 | 82 |
Shares | Market Value• ($000) | ||
* | ProPetro Holding Corp. | 7,264 | 80 |
* | SilverBow Resources Inc. | 2,297 | 80 |
California Resources Corp. | 1,713 | 78 | |
* | NOW Inc. | 6,182 | 77 |
Helmerich & Payne Inc. | 1,393 | 71 | |
PBF Energy Inc. Class A | 1,725 | 69 | |
Arch Resources Inc. | 420 | 65 | |
* | Expro Group Holdings NV | 3,578 | 62 |
* | Liberty Energy Inc. Class A | 3,460 | 57 |
CVR Energy Inc. | 1,484 | 55 | |
* | Dril-Quip Inc. | 1,841 | 43 |
RPC Inc. | 4,666 | 43 | |
* | Earthstone Energy Inc. Class A | 2,678 | 42 |
VAALCO Energy Inc. | 8,108 | 42 | |
Delek US Holdings Inc. | 1,324 | 41 | |
Kinetik Holdings Inc. Class A | 1,171 | 40 | |
* | TETRA Technologies Inc. | 7,077 | 27 |
* | Gulfport Energy Corp. | 323 | 26 |
* | Newpark Resources Inc. | 3,978 | 16 |
* | Noble Corp. plc | 331 | 12 |
12,199 | |||
Financials (17.9%) | |||
American International Group Inc. | 7,400 | 467 | |
Aon plc Class A (XNYS) | 1,437 | 443 | |
Wells Fargo & Co. | 7,761 | 372 | |
MetLife Inc. | 4,046 | 310 | |
* | PRA Group Inc. | 7,025 | 241 |
Jefferies Financial Group Inc. | 6,188 | 235 | |
Travelers Cos. Inc. | 1,180 | 224 | |
First Financial Corp. | 4,214 | 203 | |
Ameriprise Financial Inc. | 587 | 195 | |
First BanCorp (XNYS) | 12,671 | 195 | |
Navient Corp. | 11,280 | 187 | |
WesBanco Inc. | 4,621 | 187 | |
Allstate Corp. | 1,352 | 181 | |
Popular Inc. | 2,480 | 181 | |
HarborOne Bancorp Inc. | 11,630 | 170 | |
OFG Bancorp | 5,620 | 163 | |
American Equity Investment Life Holding Co. | 3,892 | 158 | |
Nelnet Inc. Class A | 1,563 | 154 | |
Dime Community Bancshares Inc. | 4,296 | 153 | |
CNO Financial Group Inc. | 6,439 | 151 | |
* | Mr Cooper Group Inc. | 3,294 | 149 |
Principal Financial Group Inc. | 1,657 | 149 | |
Provident Financial Services Inc. | 6,425 | 145 | |
Discover Financial Services | 1,244 | 135 | |
Great Southern Bancorp Inc. | 2,154 | 135 | |
Unum Group | 3,202 | 135 | |
Primerica Inc. | 894 | 133 | |
SLM Corp. | 7,503 | 131 | |
* | Arch Capital Group Ltd. | 2,188 | 131 |
Assured Guaranty Ltd. | 1,902 | 127 | |
City Holding Co. | 1,199 | 122 | |
MGIC Investment Corp. | 8,861 | 122 | |
Flushing Financial Corp. | 5,796 | 121 | |
LPL Financial Holdings Inc. | 495 | 117 | |
* | Encore Capital Group Inc. | 2,274 | 115 |
Employers Holdings Inc. | 2,451 | 114 | |
Voya Financial Inc. | 1,724 | 114 | |
Morgan Stanley | 1,215 | 113 | |
Chubb Ltd. | 513 | 113 | |
First Citizens BancShares Inc. Class A | 137 | 112 |
Shares | Market Value• ($000) | ||
Hartford Financial Services Group Inc. | 1,457 | 111 | |
OneMain Holdings Inc. | 2,798 | 110 | |
Comerica Inc. | 1,513 | 109 | |
Fidelity National Financial Inc. | 2,708 | 109 | |
TrustCo Bank Corp. NY | 2,707 | 105 | |
Essent Group Ltd. | 2,606 | 104 | |
1st Source Corp. | 1,745 | 100 | |
Associated Banc-Corp. | 4,006 | 99 | |
Radian Group Inc. | 5,054 | 99 | |
Hancock Whitney Corp. | 1,781 | 98 | |
Aflac Inc. | 1,349 | 97 | |
Hope Bancorp Inc. | 7,069 | 96 | |
Bank of New York Mellon Corp. | 2,065 | 95 | |
Kearny Financial Corp. | 9,698 | 94 | |
NBT Bancorp Inc. | 2,043 | 94 | |
Amalgamated Financial Corp. | 3,440 | 92 | |
Zions Bancorp NA | 1,738 | 90 | |
Enterprise Financial Services Corp. | 1,664 | 87 | |
S&T Bancorp Inc. | 2,280 | 85 | |
Berkshire Hills Bancorp Inc. | 2,648 | 83 | |
Federal Agricultural Mortgage Corp. Class C | 650 | 82 | |
* | NMI Holdings Inc. Class A | 3,807 | 82 |
Equitable Holdings Inc. | 2,592 | 82 | |
Stifel Financial Corp. | 1,260 | 81 | |
Washington Federal Inc. | 2,284 | 81 | |
International Bancshares Corp. | 1,491 | 79 | |
Affiliated Managers Group Inc. | 488 | 78 | |
Federated Hermes Inc. | 2,007 | 76 | |
Park National Corp. | 505 | 76 | |
Washington Trust Bancorp Inc. | 1,538 | 76 | |
Trustmark Corp. | 2,035 | 74 | |
* | Credit Acceptance Corp. | 151 | 72 |
Hanmi Financial Corp. | 2,664 | 72 | |
Premier Financial Corp. | 2,472 | 72 | |
BancFirst Corp. | 696 | 71 | |
BankUnited Inc. | 1,929 | 71 | |
PennyMac Financial Services Inc. | 1,087 | 65 | |
Byline Bancorp Inc. | 2,774 | 63 | |
Cathay General Bancorp | 1,333 | 62 | |
Heritage Financial Corp. | 1,878 | 62 | |
Raymond James Financial Inc. | 517 | 60 | |
BOK Financial Corp. | 567 | 59 | |
First Financial Bancorp | 2,249 | 59 | |
Preferred Bank | 779 | 59 | |
First Busey Corp. | 2,187 | 57 | |
Northwest Bancshares Inc. | 3,732 | 57 | |
Enact Holdings Inc. | 2,282 | 57 | |
First Commonwealth Financial Corp. | 3,659 | 54 | |
HomeStreet Inc. | 1,821 | 50 | |
Home BancShares Inc. | 1,919 | 49 | |
Loews Corp. | 772 | 45 | |
Bank of NT Butterfield & Son Ltd. | 1,190 | 41 | |
KeyCorp | 2,104 | 40 | |
Hanover Insurance Group Inc. | 268 | 39 | |
Regions Financial Corp. | 1,563 | 36 | |
ServisFirst Bancshares Inc. | 465 | 35 | |
East West Bancorp Inc. | 487 | 34 | |
White Mountains Insurance Group Ltd. | 25 | 34 | |
Walker & Dunlop Inc. | 373 | 33 | |
Assurant Inc. | 250 | 32 |
Shares | Market Value• ($000) | ||
Evercore Inc. Class A | 269 | 31 | |
Lakeland Financial Corp. | 396 | 31 | |
QCR Holdings Inc. | 595 | 31 | |
Ally Financial Inc. | 1,064 | 29 | |
Safety Insurance Group Inc. | 291 | 27 | |
* | Brighthouse Financial Inc. | 445 | 25 |
FNB Corp. | 1,557 | 22 | |
Oppenheimer Holdings Inc. Class A | 521 | 22 | |
Atlantic Union Bankshares Corp. | 587 | 21 | |
Diamond Hill Investment Group Inc. | 121 | 21 | |
Southside Bancshares Inc. | 584 | 21 | |
Sandy Spring Bancorp Inc. | 582 | 20 | |
Virtu Financial Inc. Class A | 837 | 19 | |
Banner Corp. | 262 | 18 | |
First Hawaiian Inc. | 698 | 18 | |
Tompkins Financial Corp. | 210 | 18 | |
Artisan Partners Asset Management Inc. Class A | 500 | 17 | |
Piper Sandler Cos. | 121 | 17 | |
UMB Financial Corp. | 194 | 17 | |
Bank OZK | 356 | 16 | |
Huntington Bancshares Inc. | 1,010 | 16 | |
WSFS Financial Corp. | 329 | 16 | |
First Bancorp (XNGS) | 279 | 14 | |
* | Axos Financial Inc. | 327 | 13 |
OceanFirst Financial Corp. | 561 | 13 | |
11,980 | |||
Health Care (14.0%) | |||
Bristol-Myers Squibb Co. | 8,470 | 680 | |
* | Regeneron Pharmaceuticals Inc. | 811 | 610 |
Elevance Health Inc. | 1,048 | 558 | |
AbbVie Inc. | 3,262 | 526 | |
Pfizer Inc. | 9,912 | 497 | |
Gilead Sciences Inc. | 5,569 | 489 | |
Cigna Corp. | 1,450 | 477 | |
Merck & Co. Inc. | 4,215 | 464 | |
* | Vertex Pharmaceuticals Inc. | 1,443 | 457 |
Humana Inc. | 795 | 437 | |
* | Moderna Inc. | 2,182 | 384 |
Amgen Inc. | 1,268 | 363 | |
Johnson & Johnson | 2,019 | 359 | |
UnitedHealth Group Inc. | 573 | 314 | |
HCA Healthcare Inc. | 1,132 | 272 | |
* | Centene Corp. | 2,600 | 226 |
Cardinal Health Inc. | 2,659 | 213 | |
* | Catalyst Pharmaceuticals Inc. | 12,131 | 203 |
* | Hologic Inc. | 2,627 | 200 |
Eli Lilly & Co. | 451 | 167 | |
* | United Therapeutics Corp. | 593 | 166 |
* | Molina Healthcare Inc. | 462 | 156 |
Premier Inc. Class A | 3,900 | 130 | |
* | Lantheus Holdings Inc. | 2,072 | 129 |
* | Henry Schein Inc. | 1,485 | 120 |
* | Incyte Corp. | 1,331 | 106 |
* | Jazz Pharmaceuticals plc | 637 | 100 |
Quest Diagnostics Inc. | 526 | 80 | |
SIGA Technologies Inc. | 7,618 | 70 | |
* | Medpace Holdings Inc. | 262 | 55 |
* | Biogen Inc. | 177 | 54 |
* | Corcept Therapeutics Inc. | 1,733 | 44 |
* | QuidelOrtho Corp. | 399 | 35 |
* | NextGen Healthcare Inc. | 1,577 | 33 |
Shares | Market Value• ($000) | ||
* | Computer Programs and Systems Inc. | 1,054 | 31 |
* | Tenet Healthcare Corp. | 582 | 27 |
* | Acadia Healthcare Co. Inc. | 259 | 23 |
West Pharmaceutical Services Inc. | 96 | 23 | |
* | AbCellera Biologics Inc. | 1,715 | 22 |
* | Exelixis Inc. | 1,127 | 19 |
Laboratory Corp. of America Holdings | 75 | 18 | |
LeMaitre Vascular Inc. | 359 | 17 | |
* | ModivCare Inc. | 213 | 16 |
9,370 | |||
Industrials (13.3%) | |||
American Express Co. | 2,235 | 352 | |
Northrop Grumman Corp. | 506 | 270 | |
Paychex Inc. | 1,769 | 219 | |
* | Builders FirstSource Inc. | 3,221 | 206 |
* | Atkore Inc. | 1,344 | 164 |
Louisiana-Pacific Corp. | 2,499 | 159 | |
Lockheed Martin Corp. | 326 | 158 | |
Ryder System Inc. | 1,583 | 148 | |
Carlisle Cos. Inc. | 543 | 143 | |
Automatic Data Processing Inc. | 515 | 136 | |
* | Titan Machinery Inc. | 3,063 | 135 |
United Parcel Service Inc. Class B (XNYS) | 708 | 134 | |
FedEx Corp. | 726 | 132 | |
Allison Transmission Holdings Inc. | 2,925 | 131 | |
Synchrony Financial | 3,490 | 131 | |
Moog Inc. Class A | 1,459 | 127 | |
Eaton Corp. plc | 761 | 124 | |
Resources Connection Inc. | 6,279 | 121 | |
Quanta Services Inc. | 782 | 117 | |
* | Hub Group Inc. Class A | 1,364 | 115 |
AGCO Corp. | 858 | 114 | |
Accenture plc Class A | 374 | 113 | |
Crane Holdings Co. | 1,052 | 111 | |
* | AMN Healthcare Services Inc. | 863 | 107 |
Cummins Inc. | 422 | 106 | |
Encore Wire Corp. | 715 | 105 | |
* | Saia Inc. | 430 | 105 |
Covenant Logistics Group Inc. Class A | 2,715 | 104 | |
* | Modine Manufacturing Co. | 4,846 | 103 |
Owens Corning | 1,128 | 100 | |
Genco Shipping & Trading Ltd. | 6,625 | 98 | |
Hubbell Inc. Class B | 383 | 97 | |
* | Cross Country Healthcare Inc. | 2,677 | 96 |
* | Ardmore Shipping Corp. | 6,332 | 96 |
Schneider National Inc. Class B | 3,667 | 94 | |
Deere & Co. | 200 | 88 | |
Regal Rexnord Corp. | 661 | 87 | |
Golden Ocean Group Ltd. | 10,304 | 87 | |
* | MYR Group Inc. | 896 | 86 |
* | United Rentals Inc. | 243 | 86 |
Scorpio Tankers Inc. | 1,661 | 85 | |
Badger Meter Inc. | 703 | 81 | |
* | Zebra Technologies Corp. Class A | 298 | 81 |
ArcBest Corp. | 970 | 80 | |
General Dynamics Corp. | 315 | 80 | |
Marten Transport Ltd. | 3,756 | 80 | |
Snap-on Inc. | 334 | 80 |
Shares | Market Value• ($000) | ||
Quanex Building Products Corp. | 3,255 | 77 | |
* | CoreCivic Inc. | 5,469 | 73 |
* | WEX Inc. | 433 | 73 |
* | AAR Corp. | 1,549 | 72 |
* | GMS Inc. | 1,455 | 71 |
JB Hunt Transport Services Inc. | 384 | 71 | |
* | Aersale Corp. | 4,412 | 70 |
Belden Inc. | 853 | 69 | |
Triton International Ltd. | 1,023 | 69 | |
Knight-Swift Transportation Holdings Inc. | 1,207 | 67 | |
Old Dominion Freight Line Inc. | 220 | 67 | |
Crown Holdings Inc. | 796 | 65 | |
Watts Water Technologies Inc. Class A | 380 | 60 | |
Kforce Inc. | 1,003 | 59 | |
Matson Inc. | 915 | 58 | |
WW Grainger Inc. | 94 | 57 | |
Textainer Group Holdings Ltd. | 1,852 | 56 | |
Brunswick Corp. | 739 | 55 | |
Acuity Brands Inc. | 288 | 54 | |
* | Beacon Roofing Supply Inc. | 902 | 53 |
Korn Ferry | 903 | 52 | |
Landstar System Inc. | 301 | 52 | |
Apogee Enterprises Inc. | 1,051 | 51 | |
Greif Inc. Class A | 675 | 47 | |
Simpson Manufacturing Co. Inc. | 508 | 47 | |
Expeditors International of Washington Inc. | 393 | 46 | |
Westrock Co. | 1,190 | 45 | |
Deluxe Corp. | 2,269 | 44 | |
* | TriNet Group Inc. | 608 | 44 |
Franklin Electric Co. Inc. | 516 | 43 | |
CRA International Inc. | 342 | 42 | |
Kadant Inc. | 215 | 42 | |
Graphic Packaging Holding Co. | 1,693 | 39 | |
Valmont Industries Inc. | 115 | 39 | |
Wabash National Corp. | 1,509 | 38 | |
Johnson Controls International plc | 578 | 38 | |
Packaging Corp. of America | 264 | 36 | |
Watsco Inc. | 132 | 36 | |
Werner Enterprises Inc. | 789 | 35 | |
nVent Electric plc | 876 | 35 | |
* | Teekay Tankers Ltd. Class A | 969 | 33 |
Ennis Inc. | 1,394 | 32 | |
Heartland Express Inc. | 1,937 | 32 | |
* | Franklin Covey Co. | 594 | 31 |
Berry Global Group Inc. | 510 | 30 | |
EMCOR Group Inc. | 195 | 30 | |
* | MasTec Inc. | 326 | 30 |
* | Masonite International Corp. | 380 | 29 |
* | O-I Glass Inc. | 1,739 | 29 |
* | Conduent Inc. | 6,666 | 27 |
Myers Industries Inc. | 1,162 | 27 | |
Textron Inc. | 373 | 27 | |
* | Sterling Infrastructure Inc. | 782 | 26 |
* | XPO Logistics Inc. | 664 | 26 |
Caterpillar Inc. | 107 | 25 | |
* | FTI Consulting Inc. | 146 | 25 |
Costamare Inc. | 2,586 | 25 | |
Zurn Elkay Water Solutions Corp. | 1,036 | 25 | |
Jack Henry & Associates Inc. | 129 | 24 |
Shares | Market Value• ($000) | ||
* | Construction Partners Inc. Class A | 762 | 22 |
* | Generac Holdings Inc. | 206 | 22 |
ITT Inc. | 264 | 22 | |
AECOM | 243 | 21 | |
Robert Half International Inc. | 266 | 21 | |
Primoris Services Corp. | 950 | 20 | |
Comfort Systems USA Inc. | 150 | 19 | |
H&E Equipment Services Inc. | 462 | 19 | |
* | TrueBlue Inc. | 869 | 19 |
ABM Industries Inc. | 403 | 19 | |
* | ASGN Inc. | 214 | 19 |
Shyft Group Inc. | 771 | 19 | |
Applied Industrial Technologies Inc. | 139 | 18 | |
* | Air Transport Services Group Inc. | 594 | 17 |
Sonoco Products Co. | 276 | 17 | |
Standex International Corp. | 161 | 17 | |
ManpowerGroup Inc. | 177 | 16 | |
Parker-Hannifin Corp. | 55 | 16 | |
Western Union Co. | 1,099 | 16 | |
McGrath RentCorp. | 153 | 15 | |
ADT Inc. | 1,640 | 15 | |
* | ExlService Holdings Inc. | 74 | 14 |
* | WESCO International Inc. | 111 | 14 |
8,869 | |||
Real Estate (0.3%) | |||
RE/MAX Holdings Inc. Class A | 2,989 | 62 | |
* | Anywhere Real Estate Inc. | 7,545 | 57 |
* | GEO Group Inc. | 4,482 | 53 |
St. Joe Co. | 779 | 30 | |
Newmark Group Inc. Class A | 2,539 | 22 | |
224 | |||
Technology (7.8%) | |||
International Business Machines Corp. | 2,497 | 372 | |
Broadcom Inc. | 454 | 250 | |
KLA Corp. | 541 | 213 | |
HP Inc. | 6,813 | 205 | |
Jabil Inc. | 2,670 | 193 | |
* | Cadence Design Systems Inc. | 1,091 | 188 |
Cognizant Technology Solutions Corp. Class A | 2,962 | 184 | |
* | ON Semiconductor Corp. | 2,376 | 179 |
Amdocs Ltd. | 1,944 | 173 | |
Apple Inc. | 1,040 | 154 | |
Amkor Technology Inc. | 5,085 | 142 | |
* | NetScout Systems Inc. | 3,806 | 142 |
*,1 | GLOBALFOUNDRIES Inc. | 2,052 | 132 |
Hackett Group Inc. | 5,319 | 123 | |
* | Cirrus Logic Inc. | 1,618 | 121 |
* | Photronics Inc. | 6,388 | 120 |
Vishay Intertechnology Inc. | 5,092 | 117 | |
* | Sanmina Corp. | 1,762 | 116 |
* | Onto Innovation Inc. | 1,392 | 111 |
Adeia Inc. | 9,707 | 107 | |
* | Arrow Electronics Inc. | 935 | 102 |
* | Axcelis Technologies Inc. | 1,268 | 101 |
* | Autodesk Inc. | 490 | 99 |
* | Consensus Cloud Solutions Inc. | 1,742 | 99 |
Texas Instruments Inc. | 534 | 96 | |
* | Alphabet Inc. Class C | 938 | 95 |
* | Cohu Inc. | 2,426 | 87 |
Oracle Corp. | 1,053 | 87 |
Shares | Market Value• ($000) | ||
Avnet Inc. | 1,759 | 79 | |
* | DXC Technology Co. | 2,609 | 77 |
CSG Systems International Inc. | 1,207 | 75 | |
Applied Materials Inc. | 661 | 72 | |
* | Pure Storage Inc. Class A | 2,433 | 71 |
* | PC Connection Inc. | 1,235 | 69 |
A10 Networks Inc. | 3,439 | 64 | |
* | Avid Technology Inc. | 1,947 | 55 |
TD SYNNEX Corp. | 494 | 51 | |
* | Qualys Inc. | 361 | 45 |
* | Rambus Inc. | 1,178 | 45 |
CTS Corp. | 887 | 38 | |
* | Semtech Corp. | 1,186 | 36 |
Methode Electronics Inc. | 734 | 34 | |
Xerox Holdings Corp. | 2,060 | 34 | |
* | ePlus Inc. | 558 | 28 |
* | Plexus Corp. | 250 | 28 |
* | Box Inc. Class A | 895 | 25 |
Hewlett Packard Enterprise Co. | 1,461 | 25 | |
* | Manhattan Associates Inc. | 192 | 24 |
* | TechTarget Inc. | 534 | 24 |
Microchip Technology Inc. | 205 | 16 | |
* | PDF Solutions Inc. | 507 | 16 |
Shutterstock Inc. | 302 | 16 | |
Concentrix Corp. | 126 | 15 | |
* | MaxLinear Inc. | 375 | 14 |
* | Western Digital Corp. | 391 | 14 |
* | Vivid Seats Inc. Class A | 1,467 | 11 |
5,209 | |||
Telecommunications (0.6%) | |||
AT&T Inc. | 5,496 | 106 | |
Cisco Systems Inc. | 1,308 | 65 | |
* | CommScope Holding Co. Inc. | 7,236 | 64 |
* | Extreme Networks Inc. | 2,009 | 42 |
Adtran Holdings Inc. | 1,270 | 26 |
Shares | Market Value• ($000) | ||
Telephone and Data Systems Inc. | 2,340 | 25 | |
* | Clearfield Inc. | 141 | 19 |
* | WideOpenWest Inc. | 1,752 | 18 |
* | Aviat Networks Inc. | 555 | 17 |
* | Lumentum Holdings Inc. | 237 | 13 |
395 | |||
Utilities (0.1%) | |||
* | Heritage-Crystal Clean Inc. | 1,352 | 43 |
* | Evoqua Water Technologies Corp. | 428 | 18 |
61 | |||
Total Common Stocks (Cost $51,685) | 65,664 | ||
Temporary Cash Investments (2.1%) | |||
Money Market Fund (2.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 3.877% (Cost $1,416) | 14,162 | 1,416 |
Total Investments (100.4%) (Cost $53,101) | 67,080 | ||
Other Assets and Liabilities—Net (-0.4%) | (271) | ||
Net Assets (100%) | 66,809 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $163,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $167,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
Micro E-mini S&P 500 Index | December 2022 | 53 | 1,082 | 52 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $51,685) | 65,664 |
Affiliated Issuers (Cost $1,416) | 1,416 |
Total Investments in Securities | 67,080 |
Investment in Vanguard | 2 |
Cash Collateral Pledged—Futures Contracts | 58 |
Receivables for Investment Securities Sold | 2 |
Receivables for Accrued Income | 130 |
Receivables for Capital Shares Issued | 300 |
Variation Margin Receivable—Futures Contracts | 29 |
Total Assets | 67,601 |
Liabilities | |
Due to Custodian | 2 |
Payables for Investment Securities Purchased | 550 |
Collateral for Securities on Loan | 167 |
Payables for Capital Shares Redeemed | 68 |
Payables to Vanguard | 5 |
Total Liabilities | 792 |
Net Assets | 66,809 |
1 Includes $163 of securities on loan. | |
At November 30, 2022, net assets consisted of: | |
Paid-in Capital | 58,153 |
Total Distributable Earnings (Loss) | 8,656 |
Net Assets | 66,809 |
Net Assets | |
Applicable to 1,979,456 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 66,809 |
Net Asset Value Per Share | $33.75 |
Year Ended November 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,197 |
Interest2 | 12 |
Securities Lending—Net | — |
Total Income | 1,209 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | — |
Management and Administrative | 23 |
Marketing and Distribution | — |
Custodian Fees | 4 |
Auditing Fees | 28 |
Shareholders’ Reports | 23 |
Trustees’ Fees and Expenses | — |
Professional Services | 16 |
Total Expenses | 94 |
Net Investment Income | 1,115 |
Realized Net Gain (Loss) | |
Investment Securities Sold2 | (2,978) |
Futures Contracts | (159) |
Realized Net Gain (Loss) | (3,137) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 4,704 |
Futures Contracts | 65 |
Change in Unrealized Appreciation (Depreciation) | 4,769 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,747 |
1 | Dividends are net of foreign withholding taxes of $1,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $12,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
Year Ended November 30, | ||
2022 ($000) | 2021 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,115 | 571 |
Realized Net Gain (Loss) | (3,137) | 3,018 |
Change in Unrealized Appreciation (Depreciation) | 4,769 | 4,974 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,747 | 8,563 |
Distributions | ||
Total Distributions | (1,031) | (509) |
Capital Share Transactions | ||
Issued | 33,547 | 30,399 |
Issued in Lieu of Cash Distributions | 854 | 417 |
Redeemed | (17,244) | (17,122) |
Net Increase (Decrease) from Capital Share Transactions | 17,157 | 13,694 |
Total Increase (Decrease) | 18,873 | 21,748 |
Net Assets | ||
Beginning of Period | 47,936 | 26,188 |
End of Period | 66,809 | 47,936 |
For a Share Outstanding Throughout Each Period | Year Ended November 30, | February 15, 20181 to November 30, 2018 | |||
2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $32.99 | $25.47 | $25.70 | $24.53 | $25.00 |
Investment Operations | |||||
Net Investment Income2 | .680 | .466 | .382 | .425 | .333 |
Net Realized and Unrealized Gain (Loss) on Investments | .725 | 7.485 | (.214) | 1.143 | (.598) |
Total from Investment Operations | 1.405 | 7.951 | .168 | 1.568 | (.265) |
Distributions | |||||
Dividends from Net Investment Income | (.645) | (.431) | (.398) | (.398) | (.205) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.645) | (.431) | (.398) | (.398) | (.205) |
Net Asset Value, End of Period | $33.75 | $32.99 | $25.47 | $25.70 | $24.53 |
Total Return3 | 4.43% | 31.39% | 0.97% | 6.54% | -1.11% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $67 | $48 | $26 | $33 | $36 |
Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18% | 0.18% | 0.18% | 0.18%4 |
Ratio of Net Investment Income to Average Net Assets | 2.13% | 1.48% | 1.66% | 1.76% | 1.64%4 |
Portfolio Turnover Rate | 55% | 62% | 74% | 96% | 58% |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. |
4 | Annualized. |
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. |
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. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Amount ($000) | |
Undistributed Ordinary Income | 249 |
Undistributed Long-Term Gains | — |
Capital Loss Carryforwards | (5,572) |
Qualified Late-Year Losses | — |
Net Unrealized Gains (Losses) | 13,979 |
Year Ended November 30, | ||
2022 Amount ($000) | 2021 Amount ($000) | |
Ordinary Income* | 1,031 | 509 |
Long-Term Capital Gains | — | — |
Total | 1,031 | 509 |
* | Includes short-term capital gains, if any. |
Amount ($000) | |
Tax Cost | 53,101 |
Gross Unrealized Appreciation | 14,636 |
Gross Unrealized Depreciation | (657) |
Net Unrealized Appreciation (Depreciation) | 13,979 |
E. | During the year ended November 30, 2022, the fund purchased $45,105,000 of investment securities and sold $28,500,000 of investment securities, other than temporary cash investments. |
F. | Capital shares issued and redeemed were: |
Year Ended November 30, | ||
2022 Shares (000) | 2021 Shares (000) | |
Issued | 1,038 | 960 |
Issued in Lieu of Cash Distributions | 27 | 14 |
Redeemed | (539) | (549) |
Net Increase (Decrease) in Shares Outstanding | 526 | 425 |
G. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Philadelphia, Pennsylvania
January 19, 2023
Matthew Benchener | Thomas M. Rampulla |
Joseph Brennan | Karin A. Risi |
Mortimer J. Buckley | Anne E. Robinson |
Gregory Davis | Michael Rollings |
John James | Nitin Tandon |
Chris D. Mclsaac | Lauren Valente |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended November 30, 2022: $250,000
Fiscal Year Ended November 30, 2021: $250,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended November 30, 2022: $10,494,508
Fiscal Year Ended November 30, 2021: $11,244,694
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended November 30, 2022: $2,757,764
Fiscal Year Ended November 30, 2021: $2,955,181
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended November 30, 2022: $5,202,689
Fiscal Year Ended November 30, 2021: $2,047,574
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended November 30, 2022: $298,000
Fiscal Year Ended November 30, 2021: $280,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended November 30, 2022: $5,500,689
Fiscal Year Ended November 30, 2021: $2,327,574
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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 the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Code of Ethics filed herewith. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
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: January 23, 2023
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: January 23, 2023
VANGUARD WELLINGTON FUND | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: January 23, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on October 11, 2022 (see File Number 333-11763), Incorporated by Reference.