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: 811-07043
Name of Registrant: | Vanguard Admiral Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2020—February 28, 2021
Item 1: Reports to Shareholders
Vanguard Cash Reserves Federal Money Market Fund |
Vanguard Federal Money Market Fund |
Vanguard Treasury Money Market Fund |
About Your Fund’s Expenses | 1 |
Cash Reserves Federal Money Market Fund | 3 |
Federal Money Market Fund | 18 |
Treasury Money Market Fund | 31 |
• | 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 February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Cash Reserves Federal Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.10 | $0.60 |
Admiral™ Shares | 1,000.00 | 1,000.10 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,000.15 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,000.20 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Cash Reserves Federal Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.20 | $0.60 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,024.25 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,024.35 | $0.45 |
1 - 7 Days | 23.6% |
8 - 30 Days | 14.4 |
31 - 60 Days | 22.4 |
61 - 90 Days | 18.2 |
91 - 180 Days | 21.4 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (100.1%) | |||||
2 | Fannie Mae Discount Notes | 0.096% | 6/2/21 | 351,000 | 350,914 |
2 | Fannie Mae Discount Notes | 0.086% | 6/9/21 | 180,000 | 179,958 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.045% | 3/1/21 | 183,000 | 182,996 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.045% | 3/1/21 | 35,000 | 34,996 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 0.050% | 3/1/21 | 194,000 | 193,977 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.060% | 3/1/21 | 82,000 | 82,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 69,125 | 69,140 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 59,000 | 59,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 36,000 | 36,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.055% | 0.075% | 3/1/21 | 351,000 | 350,981 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 225,000 | 224,983 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 158,000 | 157,995 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 80,000 | 80,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 60,000 | 60,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 45,000 | 45,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.090% | 3/1/21 | 246,000 | 245,987 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.100% | 3/1/21 | 122,000 | 122,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.100% | 3/1/21 | 98,000 | 98,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 0.110% | 3/1/21 | 117,000 | 117,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.100% | 0.120% | 3/1/21 | 99,000 | 99,067 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.040% | 0.070% | 3/2/21 | 61,000 | 60,997 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.065% | 0.095% | 3/2/21 | 148,000 | 147,993 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.065% | 0.095% | 3/2/21 | 91,000 | 90,994 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.070% | 0.100% | 3/2/21 | 123,000 | 122,991 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.070% | 0.100% | 3/2/21 | 41,000 | 40,997 |
Federal Home Loan Banks | 0.100% | 3/1/21 | 500,000 | 500,000 | |
Federal Home Loan Banks | 0.110% | 3/1/21 | 138,000 | 138,000 | |
Federal Home Loan Banks | 0.080% | 3/2/21 | 500,000 | 500,000 | |
Federal Home Loan Banks | 0.080% | 3/10/21 | 500,000 | 499,999 | |
Federal Home Loan Banks | 0.080% | 3/16/21 | 181,000 | 181,000 | |
Federal Home Loan Banks | 0.110% | 4/26/21 | 181,000 | 180,998 | |
Federal Home Loan Banks | 0.045% | 6/17/21 | 88,000 | 87,999 | |
Federal Home Loan Banks | 0.045% | 6/28/21 | 277,000 | 276,995 | |
Federal Home Loan Banks | 0.050% | 8/25/21 | 875,000 | 874,977 | |
Federal Home Loan Banks Discount Notes | 0.095% | 3/2/21 | 272,000 | 271,999 | |
Federal Home Loan Banks Discount Notes | 0.096% | 3/3/21 | 169,000 | 168,999 | |
Federal Home Loan Banks Discount Notes | 0.086%–0.096% | 3/5/21 | 382,000 | 381,996 | |
Federal Home Loan Banks Discount Notes | 0.090% | 3/10/21 | 38,000 | 37,999 | |
Federal Home Loan Banks Discount Notes | 0.051%–0.090% | 3/12/21 | 527,710 | 527,696 | |
Federal Home Loan Banks Discount Notes | 0.090%–0.091% | 3/17/21 | 389,500 | 389,484 | |
Federal Home Loan Banks Discount Notes | 0.061% | 3/22/21 | 124,000 | 123,995 | |
Federal Home Loan Banks Discount Notes | 0.061% | 3/23/21 | 124,000 | 123,995 | |
Federal Home Loan Banks Discount Notes | 0.095%–0.097% | 3/26/21 | 142,000 | 141,990 | |
Federal Home Loan Banks Discount Notes | 0.064% | 3/31/21 | 152,000 | 151,992 | |
Federal Home Loan Banks Discount Notes | 0.030%–0.122% | 4/5/21 | 676,000 | 675,965 | |
Federal Home Loan Banks Discount Notes | 0.096%–0.127% | 4/7/21 | 177,000 | 176,981 | |
Federal Home Loan Banks Discount Notes | 0.101%–0.132% | 4/9/21 | 101,120 | 101,107 | |
Federal Home Loan Banks Discount Notes | 0.095%–0.122% | 4/14/21 | 129,000 | 128,984 | |
Federal Home Loan Banks Discount Notes | 0.028%–0.122% | 4/16/21 | 780,498 | 780,450 | |
Federal Home Loan Banks Discount Notes | 0.034% | 4/19/21 | 312,000 | 311,985 | |
Federal Home Loan Banks Discount Notes | 0.035%–0.122% | 4/21/21 | 715,000 | 714,917 | |
Federal Home Loan Banks Discount Notes | 0.112%–0.117% | 4/23/21 | 319,500 | 319,446 | |
Federal Home Loan Banks Discount Notes | 0.068% | 4/27/21 | 750,000 | 749,917 | |
Federal Home Loan Banks Discount Notes | 0.068%–0.075% | 4/28/21 | 1,041,000 | 1,040,877 | |
Federal Home Loan Banks Discount Notes | 0.071%–0.112% | 4/30/21 | 503,000 | 502,931 | |
Federal Home Loan Banks Discount Notes | 0.065%–0.111% | 5/5/21 | 246,000 | 245,958 | |
Federal Home Loan Banks Discount Notes | 0.065% | 5/6/21 | 750,000 | 749,911 | |
Federal Home Loan Banks Discount Notes | 0.040%–0.112% | 5/7/21 | 1,018,000 | 1,017,899 | |
Federal Home Loan Banks Discount Notes | 0.065% | 5/11/21 | 87,000 | 86,989 | |
Federal Home Loan Banks Discount Notes | 0.043%–0.049% | 5/12/21 | 605,000 | 604,942 | |
Federal Home Loan Banks Discount Notes | 0.029% | 5/13/21 | 500,000 | 499,970 | |
Federal Home Loan Banks Discount Notes | 0.050% | 5/14/21 | 35,000 | 34,996 | |
Federal Home Loan Banks Discount Notes | 0.038% | 5/18/21 | 1,000,000 | 999,913 | |
Federal Home Loan Banks Discount Notes | 0.040%–0.050% | 5/19/21 | 1,019,600 | 1,019,500 | |
Federal Home Loan Banks Discount Notes | 0.038% | 5/21/21 | 152,000 | 151,986 | |
Federal Home Loan Banks Discount Notes | 0.036% | 5/25/21 | 500,000 | 499,953 | |
Federal Home Loan Banks Discount Notes | 0.045%–0.096% | 5/26/21 | 145,556 | 145,532 | |
Federal Home Loan Banks Discount Notes | 0.038%–0.132% | 5/28/21 | 797,029 | 796,920 | |
Federal Home Loan Banks Discount Notes | 0.096%–0.101% | 6/2/21 | 114,000 | 113,971 | |
Federal Home Loan Banks Discount Notes | 0.096% | 6/4/21 | 139,000 | 138,965 | |
Federal Home Loan Banks Discount Notes | 0.096% | 6/9/21 | 196,000 | 195,948 | |
Federal Home Loan Banks Discount Notes | 0.086%–0.093% | 6/16/21 | 429,500 | 429,387 | |
Federal Home Loan Banks Discount Notes | 0.091% | 6/18/21 | 503,000 | 502,863 | |
Federal Home Loan Banks Discount Notes | 0.093% | 6/25/21 | 35,000 | 34,989 | |
Federal Home Loan Banks Discount Notes | 0.055% | 8/27/21 | 750,000 | 749,792 | |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 257,000 | 257,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 21,000 | 21,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 400,000 | 400,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 272,000 | 272,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 219,000 | 219,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 124,000 | 124,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/1/21 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.050% | 3/1/21 | 313,000 | 313,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/1/21 | 109,000 | 109,000 |
3 | Federal Home Loan Banks, SOFR + 0.035% | 0.055% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.040% | 0.060% | 3/19/21 | 375,000 | 375,000 |
3 | Federal Home Loan Banks, SOFR + 0.045% | 0.065% | 3/1/21 | 65,000 | 65,001 |
3 | Federal Home Loan Banks, SOFR + 0.045% | 0.065% | 3/29/21 | 60,000 | 60,000 |
3 | Federal Home Loan Banks, SOFR + 0.050% | 0.070% | 3/1/21 | 152,000 | 152,000 |
3 | Federal Home Loan Banks, SOFR + 0.050% | 0.070% | 3/1/21 | 75,000 | 75,003 |
3 | Federal Home Loan Banks, SOFR + 0.055% | 0.075% | 3/1/21 | 243,000 | 242,974 |
3 | Federal Home Loan Banks, SOFR + 0.070% | 0.090% | 3/1/21 | 551,000 | 551,000 |
3 | Federal Home Loan Banks, SOFR + 0.075% | 0.095% | 3/1/21 | 107,000 | 106,986 |
3 | Federal Home Loan Banks, SOFR + 0.075% | 0.095% | 3/1/21 | 88,000 | 88,012 |
3 | Federal Home Loan Banks, SOFR + 0.080% | 0.100% | 3/1/21 | 569,000 | 569,000 |
3 | Federal Home Loan Banks, SOFR + 0.080% | 0.100% | 3/4/21 | 141,000 | 141,000 |
3 | Federal Home Loan Banks, SOFR + 0.085% | 0.105% | 3/1/21 | 10,000 | 10,000 |
3 | Federal Home Loan Banks, SOFR + 0.095% | 0.115% | 3/1/21 | 82,000 | 82,000 |
3 | Federal Home Loan Banks, SOFR + 0.115% | 0.135% | 3/12/21 | 801,000 | 800,998 |
3 | Federal Home Loan Banks, SOFR + 0.120% | 0.140% | 3/1/21 | 550,000 | 550,000 |
3 | Federal Home Loan Banks, SOFR + 0.130% | 0.150% | 3/1/21 | 196,000 | 196,003 |
3 | Federal Home Loan Banks, SOFR + 0.130% | 0.150% | 3/11/21 | 707,000 | 707,000 |
3 | Federal Home Loan Banks, SOFR + 0.135% | 0.155% | 3/1/21 | 210,000 | 210,003 |
3 | Federal Home Loan Banks, SOFR + 0.135% | 0.155% | 3/10/21 | 134,000 | 134,001 |
3 | Federal Home Loan Banks, SOFR + 0.140% | 0.160% | 3/1/21 | 143,000 | 143,000 |
3 | Federal Home Loan Banks, SOFR + 0.160% | 0.180% | 3/1/21 | 460,200 | 460,236 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.050% | 0.070% | 3/5/21 | 30,000 | 30,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.115% | 3/1/21 | 350,000 | 350,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.115% | 3/1/21 | 178,000 | 178,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.100% | 0.120% | 3/1/21 | 350,000 | 350,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.140% | 0.160% | 3/1/21 | 100,000 | 99,992 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.145% | 0.165% | 3/1/21 | 578,000 | 578,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.145% | 0.165% | 3/1/21 | 325,000 | 325,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.150% | 0.170% | 3/1/21 | 71,500 | 71,482 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.180% | 0.200% | 3/1/21 | 429,000 | 429,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.210% | 3/1/21 | 870,000 | 870,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.200% | 0.220% | 3/1/21 | 53,000 | 53,011 |
2,3 | Federal National Mortgage Association, SOFR + 0.075% | 0.095% | 3/1/21 | 226,000 | 225,974 |
2,3 | Federal National Mortgage Association, SOFR + 0.100% | 0.120% | 3/1/21 | 190,000 | 189,966 |
2,3 | Federal National Mortgage Association, SOFR + 0.100% | 0.120% | 3/11/21 | 286,000 | 285,998 |
2,3 | Federal National Mortgage Association, SOFR + 0.110% | 0.130% | 3/1/21 | 23,000 | 22,986 |
2,3 | Federal National Mortgage Association, SOFR + 0.120% | 0.140% | 3/1/21 | 73,000 | 73,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.120% | 0.140% | 3/16/21 | 57,000 | 57,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.130% | 0.150% | 3/1/21 | 833,000 | 833,019 |
2,3 | Federal National Mortgage Association, SOFR + 0.140% | 0.160% | 3/1/21 | 219,000 | 219,009 |
2,3 | Federal National Mortgage Association, SOFR + 0.150% | 0.170% | 3/1/21 | 94,000 | 93,995 |
2,3 | Federal National Mortgage Association, SOFR + 0.180% | 0.200% | 3/1/21 | 350,000 | 350,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.190% | 0.210% | 3/1/21 | 177,000 | 176,989 |
2,3 | Federal National Mortgage Association, SOFR + 0.220% | 0.240% | 3/1/21 | 10,000 | 10,013 |
U. S. Treasury Note/Bond | 2.250% | 3/31/21 | 200,000 | 200,352 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Cash Management Bill | 0.115% | 4/15/21 | 3,250,000 | 3,249,533 | |
U.S. Cash Management Bill | 0.088% | 5/4/21 | 2,250,000 | 2,249,640 | |
U.S. Cash Management Bill | 0.088% | 5/11/21 | 2,000,000 | 1,999,645 | |
U.S. Cash Management Bill | 0.088% | 5/18/21 | 750,000 | 749,854 | |
U.S. Cash Management Bill | 0.088% | 6/22/21 | 500,000 | 499,859 | |
U.S. Cash Management Bill | 0.054% | 7/20/21 | 2,000,000 | 1,999,569 | |
U.S. Treasury Bill | 0.047%–0.098% | 3/2/21 | 1,550,000 | 1,549,997 | |
U.S. Treasury Bill | 0.110%–0.115% | 3/4/21 | 4,500,000 | 4,499,957 | |
U.S. Treasury Bill | 0.079% | 3/9/21 | 2,500,000 | 2,499,953 | |
U.S. Treasury Bill | 0.120% | 3/18/21 | 2,500,000 | 2,499,858 | |
U.S. Treasury Bill | 0.088%–0.105% | 3/25/21 | 3,500,000 | 3,499,770 | |
U.S. Treasury Bill | 0.061% | 3/30/21 | 2,400,000 | 2,399,874 | |
U.S. Treasury Bill | 0.103% | 4/1/21 | 918,000 | 917,920 | |
U.S. Treasury Bill | 0.082% | 4/6/21 | 2,361,000 | 2,360,799 | |
U.S. Treasury Bill | 0.110% | 4/8/21 | 2,265,000 | 2,264,737 | |
U.S. Treasury Bill | 0.086% | 4/20/21 | 2,250,000 | 2,249,719 | |
U.S. Treasury Bill | 0.084%–0.115% | 4/22/21 | 3,000,000 | 2,999,610 | |
U.S. Treasury Bill | 0.088% | 4/27/21 | 1,125,000 | 1,124,840 | |
U.S. Treasury Bill | 0.079%–0.095% | 4/29/21 | 3,866,000 | 3,865,456 | |
U.S. Treasury Bill | 0.064%–0.110% | 5/6/21 | 1,584,000 | 1,583,729 | |
U.S. Treasury Bill | 0.110% | 5/13/21 | 1,750,000 | 1,749,610 | |
U.S. Treasury Bill | 0.090%–0.100% | 5/20/21 | 4,250,000 | 4,249,117 | |
U.S. Treasury Bill | 0.090% | 6/3/21 | 500,000 | 499,883 | |
U.S. Treasury Bill | 0.040%–0.090% | 6/10/21 | 2,500,000 | 2,499,579 | |
U.S. Treasury Bill | 0.085% | 6/17/21 | 2,450,000 | 2,449,375 | |
U.S. Treasury Bill | 0.100% | 7/1/21 | 3,000,000 | 2,998,983 | |
U.S. Treasury Bill | 0.090% | 7/8/21 | 2,300,000 | 2,299,258 | |
U.S. Treasury Bill | 0.090% | 7/15/21 | 1,250,000 | 1,249,575 | |
U.S. Treasury Bill | 0.095% | 7/22/21 | 500,000 | 499,811 | |
U.S. Treasury Bill | 0.085% | 7/29/21 | 1,000,000 | 999,646 | |
U.S. Treasury Bill | 0.070% | 8/5/21 | 584,000 | 583,822 | |
U.S. Treasury Bill | 0.060% | 8/19/21 | 500,000 | 499,858 | |
U.S. Treasury Bill | 0.045% | 8/26/21 | 2,500,000 | 2,499,444 | |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.049% | 0.079% | 3/2/21 | 800,000 | 800,039 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.055% | 0.085% | 3/2/21 | 1,249,000 | 1,248,948 |
Total U.S. Government and Agency Obligations (Cost $108,536,293) | 108,536,293 | ||||
Repurchase Agreements (1.1%) | |||||
Bank of Montreal (Dated 1/12/21, Repurchase Value $88,014,000, collateralized by U.S. Treasury Bill 0.000% 3/25/21, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 1/15/26–2/15/51 and U.S. Treasury Note/Bond 0.250%–3.125%, 6/15/23–8/15/46, with a value of $89,760,000) | 0.100% | 3/11/21 | 88,000 | 88,000 | |
DNB Bank ASA (Dated 2/26/21, Repurchase Value $184,000,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 4/15/21–7/15/26, with a value of $187,680,000) | 0.020% | 3/1/21 | 184,000 | 184,000 | |
Fixed Income Clearing Corp. (Dated 2/26/21, Repurchase Value $205,000,000, collateralized by U.S. Treasury Note/Bond 1.125%–1.625%, 8/31/21–12/15/22, with a value of $209,100,000) | 0.010% | 3/1/21 | 205,000 | 205,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
RBC Dominion Securities Inc. (Dated 2/4/21, Repurchase Value $349,017,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.875%, 7/15/24–2/15/50 and U.S. Treasury Note/Bond 0.125%–6.000%, 10/31/21–5/15/50, with a value of $355,980,000) | 0.060% | 3/5/21 | 349,000 | 349,000 | |
RBC Dominion Securities Inc. (Dated 2/17/21, Repurchase Value $105,003,000, collateralized by U.S. Treasury Bill 0.000% 4/6/21, U.S. Treasury Inflation Indexed Note/Bond 0.750%, 2/15/45 and U.S. Treasury Note/Bond 0.250%–3.375%, 10/31/22–11/15/20, with a value of $107,100,000) | 0.050% | 3/12/21 | 105,000 | 105,000 | |
RBC Dominion Securities Inc. (Dated 2/12/21, Repurchase Value $261,012,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 7/15/24–2/15/45 and U.S. Treasury Note/Bond 0.125%–4.250%, 6/30/22–8/15/47, with a value of $266,220,000) | 0.050% | 3/18/21 | 261,000 | 261,000 | |
Total Repurchase Agreements (Cost $1,192,000) | 1,192,000 | ||||
Total Investments (101.2%) (Cost $109,728,293) | 109,728,293 | ||||
Other Assets and Liabilities—Net (-1.2%) | (1,339,463) | ||||
Net Assets (100%) | 108,388,830 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | 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. |
3 | 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. |
3M—3-month. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $109,728,293) | 109,728,293 |
Investment in Vanguard | 4,231 |
Receivables for Accrued Income | 7,019 |
Receivables for Capital Shares Issued | 201,422 |
Other Assets | 30,973 |
Total Assets | 109,971,938 |
Liabilities | |
Due to Custodian | 121 |
Payables for Investment Securities Purchased | 1,299,739 |
Payables for Capital Shares Redeemed | 278,700 |
Payables for Distributions | 56 |
Payables to Vanguard | 4,492 |
Total Liabilities | 1,583,108 |
Net Assets | 108,388,830 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 108,380,595 |
Total Distributable Earnings (Loss) | 8,235 |
Net Assets | 108,388,830 |
Investor Shares—Net Assets | |
Applicable to 68,403,741,194 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 68,417,462 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Admiral Shares—Net Assets | |
Applicable to 39,963,370,058 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 39,971,368 |
Net Asset Value Per Share—Admiral Shares | $1.00 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest | 74,064 |
Total Income | 74,064 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,288 |
Management and Administrative—Investor Shares | 56,257 |
Management and Administrative—Admiral Shares | 16,643 |
Marketing and Distribution—Investor Shares | 4,801 |
Marketing and Distribution—Admiral Shares | 1,029 |
Custodian Fees | 280 |
Shareholders’ Reports—Investor Shares | 421 |
Shareholders’ Reports—Admiral Shares | 81 |
Trustees’ Fees and Expenses | 23 |
Total Expenses | 80,823 |
Expense Reduction—Note B | (16,213) |
Net Expenses | 64,610 |
Net Investment Income | 9,454 |
Realized Net Gain (Loss) on Investment Securities Sold | 99 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,553 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,454 | 1,453,568 | |
Realized Net Gain (Loss) | 99 | 7,454 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,553 | 1,461,022 | |
Distributions | |||
Investor Shares | (4,272) | (1,217,407) | |
Admiral Shares | (5,229) | (236,100) | |
Total Distributions | (9,501) | (1,453,507) | |
Capital Share Transactions (at $1.00 per share) | |||
Investor Shares | (29,268,637) | (7,024,352) | |
Admiral Shares | 14,262,644 | 6,780,334 | |
Net Increase (Decrease) from Capital Share Transactions | (15,005,993) | (244,018) | |
Total Increase (Decrease) | (15,005,941) | (236,503) | |
Net Assets | |||
Beginning of Period | 123,394,771 | 123,631,274 | |
End of Period | 108,388,830 | 123,394,771 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income | .00011 | .0111 | .0231 | .0161 | .0081 | .0032 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0001 | .011 | .023 | .016 | .008 | .0032 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.011) | (.023) | (.016) | (.008) | (.0032) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0001) | (.011) | (.023) | (.016) | (.008) | (.0032) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 1.15% | 2.36% | 1.59% | 0.83% | 0.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $68,417 | $97,691 | $104,709 | $92,898 | $84,886 | $100,210 |
Ratio of Total Expenses to Average Net Assets3 | 0.12% | 0.16% | 0.16% | 0.16% | 0.16% | 0.16% |
Ratio of Net Investment Income to Average Net Assets | 0.01% | 1.15% | 2.33% | 1.59% | 0.82% | 0.32% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2021 and 0.16% for 2016. For the years ended August 31, 2020, 2019, 2018 and 2017, there were no expense reductions. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income | .00011 | .0121 | .0241 | .0161 | .0091 | .004 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0001 | .012 | .024 | .016 | .009 | .004 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.012) | (.024) | (.016) | (.009) | (.004) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0001) | (.012) | (.024) | (.016) | (.009) | (.004) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 1.21% | 2.42% | 1.66% | 0.89% | 0.38% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $39,971 | $25,704 | $18,923 | $16,118 | $11,997 | $16,429 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to Average Net Assets | 0.03% | 1.20% | 2.39% | 1.65% | 0.88% | 0.38% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
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. 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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 109,728,298 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | (5) |
Net Unrealized Appreciation (Depreciation) | (5) |
E. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 11,146,846 | 11,146,846 | 69,563,942 | 69,564,252 | |
Issued in Lieu of Cash Distributions | 3,879 | 3,879 | 1,121,946 | 1,121,946 | |
Redeemed1 | (40,419,362) | (40,419,362) | (77,710,240) | (77,710,240) | |
Net Increase (Decrease)—Investor Shares | (29,268,637) | (29,268,637) | (7,024,352) | (7,024,042) | |
Admiral Shares | |||||
Issued1 | 29,644,820 | 29,644,820 | 22,243,645 | 22,243,335 | |
Issued in Lieu of Cash Distributions | 4,777 | 4,777 | 216,326 | 216,326 | |
Redeemed | (15,386,953) | (15,386,953) | (15,679,637) | (15,679,637) | |
Net Increase (Decrease)—Admiral Shares | 14,262,644 | 14,262,644 | 6,780,334 | 6,780,024 |
1 | In August 2020, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, the outstanding Investor Shares will be converted to Admiral Shares beginning in October 2020 and continuing through 2021. Investor Shares—Redeemed and Admiral Shares—Issued include $8,614,121,000 and 8,614,121,000 shares from the conversion during the period ended February 28, 2021. |
F. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 20.5% |
8 - 30 Days | 20.2 |
31 - 60 Days | 18.6 |
61 - 90 Days | 18.2 |
91 - 180 Days | 22.5 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (99.2%) | |||||
2 | Fannie Mae Discount Notes | 0.096% | 6/2/21 | 224,000 | 223,945 |
2 | Fannie Mae Discount Notes | 0.086% | 6/9/21 | 320,000 | 319,924 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.045% | 3/1/21 | 337,000 | 336,993 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.025% | 0.045% | 3/1/21 | 64,000 | 63,993 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.030% | 0.050% | 3/1/21 | 341,000 | 340,959 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.040% | 0.060% | 3/1/21 | 140,000 | 139,993 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 129,000 | 129,028 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 111,000 | 111,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.050% | 0.070% | 3/1/21 | 61,000 | 61,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 268,000 | 267,992 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 109,000 | 109,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 80,000 | 80,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.060% | 0.080% | 3/1/21 | 45,000 | 45,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.070% | 0.090% | 3/1/21 | 404,000 | 403,979 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.100% | 3/1/21 | 166,000 | 166,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.080% | 0.100% | 3/1/21 | 127,000 | 127,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.085% | 0.105% | 3/1/21 | 85,000 | 85,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.090% | 0.110% | 3/1/21 | 193,000 | 193,000 |
3 | Federal Farm Credit Banks Funding Corp., SOFR + 0.100% | 0.120% | 3/1/21 | 181,000 | 181,121 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.040% | 0.070% | 3/2/21 | 114,000 | 113,994 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.065% | 0.095% | 3/2/21 | 159,000 | 158,989 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.070% | 0.100% | 3/2/21 | 194,000 | 193,986 |
3 | Federal Farm Credit Banks Funding Corp., U.S. Treasury 3M Bill Money Market Yield + 0.070% | 0.100% | 3/2/21 | 58,000 | 57,996 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
Federal Home Loan Banks | 0.080% | 3/10/21 | 600,000 | 599,999 | |
Federal Home Loan Banks | 0.080% | 3/16/21 | 319,000 | 318,999 | |
Federal Home Loan Banks | 0.045% | 6/17/21 | 162,000 | 161,998 | |
Federal Home Loan Banks | 0.045% | 6/28/21 | 516,995 | 516,986 | |
Federal Home Loan Banks Discount Notes | 0.051%–0.096% | 3/3/21 | 327,551 | 327,549 | |
Federal Home Loan Banks Discount Notes | 0.086%–0.096% | 3/5/21 | 329,000 | 328,997 | |
Federal Home Loan Banks Discount Notes | 0.351% | 3/9/21 | 1,050,000 | 1,049,918 | |
Federal Home Loan Banks Discount Notes | 0.061%–0.090% | 3/10/21 | 71,214 | 71,212 | |
Federal Home Loan Banks Discount Notes | 0.051% | 3/12/21 | 50,000 | 49,999 | |
Federal Home Loan Banks Discount Notes | 0.041% | 3/17/21 | 50,677 | 50,676 | |
Federal Home Loan Banks Discount Notes | 0.051% | 3/19/21 | 50,151 | 50,150 | |
Federal Home Loan Banks Discount Notes | 0.095%–0.097% | 3/26/21 | 258,000 | 257,982 | |
Federal Home Loan Banks Discount Notes | 0.064% | 3/31/21 | 282,500 | 282,485 | |
Federal Home Loan Banks Discount Notes | 0.096%–0.127% | 4/7/21 | 316,000 | 315,966 | |
Federal Home Loan Banks Discount Notes | 0.101%–0.132% | 4/9/21 | 126,395 | 126,379 | |
Federal Home Loan Banks Discount Notes | 0.095% | 4/14/21 | 187,000 | 186,978 | |
Federal Home Loan Banks Discount Notes | 0.122% | 4/16/21 | 124,000 | 123,981 | |
Federal Home Loan Banks Discount Notes | 0.075% | 4/28/21 | 90,000 | 89,989 | |
Federal Home Loan Banks Discount Notes | 0.112% | 4/30/21 | 274,500 | 274,450 | |
Federal Home Loan Banks Discount Notes | 0.065%–0.111% | 5/5/21 | 445,600 | 445,524 | |
Federal Home Loan Banks Discount Notes | 0.112% | 5/7/21 | 32,000 | 31,993 | |
Federal Home Loan Banks Discount Notes | 0.065% | 5/11/21 | 163,000 | 162,979 | |
Federal Home Loan Banks Discount Notes | 0.046%–0.049% | 5/12/21 | 355,000 | 354,965 | |
Federal Home Loan Banks Discount Notes | 0.050% | 5/14/21 | 65,000 | 64,993 | |
Federal Home Loan Banks Discount Notes | 0.045%–0.050% | 5/19/21 | 545,000 | 544,944 | |
Federal Home Loan Banks Discount Notes | 0.045%–0.096% | 5/26/21 | 252,000 | 251,958 | |
Federal Home Loan Banks Discount Notes | 0.096%–0.132% | 5/28/21 | 70,955 | 70,937 | |
Federal Home Loan Banks Discount Notes | 0.096%–0.101% | 6/2/21 | 114,000 | 113,971 | |
Federal Home Loan Banks Discount Notes | 0.096% | 6/4/21 | 69,000 | 68,983 | |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 643,000 | 643,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 110,000 | 110,000 |
3 | Federal Home Loan Banks, SOFR + 0.010% | 0.030% | 3/1/21 | 39,000 | 39,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 600,000 | 600,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 478,000 | 478,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 387,000 | 387,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 219,000 | 219,000 |
3 | Federal Home Loan Banks, SOFR + 0.015% | 0.035% | 3/1/21 | 200,000 | 200,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/1/21 | 1,250,000 | 1,250,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/1/21 | 191,000 | 191,000 |
3 | Federal Home Loan Banks, SOFR + 0.020% | 0.040% | 3/30/21 | 557,000 | 557,000 |
3 | Federal Home Loan Banks, SOFR + 0.030% | 0.050% | 3/1/21 | 500,000 | 500,000 |
3 | Federal Home Loan Banks, SOFR + 0.045% | 0.065% | 3/1/21 | 110,000 | 110,002 |
3 | Federal Home Loan Banks, SOFR + 0.045% | 0.065% | 3/29/21 | 95,000 | 95,000 |
3 | Federal Home Loan Banks, SOFR + 0.050% | 0.070% | 3/1/21 | 248,000 | 248,000 |
3 | Federal Home Loan Banks, SOFR + 0.050% | 0.070% | 3/1/21 | 127,000 | 127,006 |
3 | Federal Home Loan Banks, SOFR + 0.055% | 0.075% | 3/1/21 | 54,000 | 53,993 |
3 | Federal Home Loan Banks, SOFR + 0.075% | 0.095% | 3/1/21 | 149,000 | 149,021 |
3 | Federal Home Loan Banks, SOFR + 0.080% | 0.100% | 3/1/21 | 970,000 | 970,000 |
3 | Federal Home Loan Banks, SOFR + 0.085% | 0.105% | 3/1/21 | 250,000 | 250,000 |
3 | Federal Home Loan Banks, SOFR + 0.095% | 0.115% | 3/1/21 | 130,000 | 130,000 |
3 | Federal Home Loan Banks, SOFR + 0.160% | 0.180% | 3/1/21 | 59,000 | 59,004 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.050% | 0.070% | 3/5/21 | 48,000 | 48,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.115% | 3/1/21 | 287,000 | 287,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.095% | 0.115% | 3/1/21 | 200,000 | 200,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.100% | 0.120% | 3/1/21 | 150,000 | 150,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.120% | 0.140% | 3/1/21 | 46,800 | 46,799 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.140% | 0.160% | 3/1/21 | 100,000 | 100,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.160% | 0.180% | 3/1/21 | 290,000 | 290,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.180% | 0.200% | 3/1/21 | 568,000 | 568,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.190% | 0.210% | 3/1/21 | 500,000 | 500,000 |
2,3 | Federal Home Loan Mortgage Corp., SOFR + 0.260% | 0.280% | 3/1/21 | 1,500,000 | 1,500,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2,3 | Federal National Mortgage Association, SOFR + 0.075% | 0.095% | 3/1/21 | 205,500 | 205,476 |
2,3 | Federal National Mortgage Association, SOFR + 0.100% | 0.120% | 3/11/21 | 1,800,000 | 1,799,995 |
2,3 | Federal National Mortgage Association, SOFR + 0.120% | 0.140% | 3/1/21 | 157,000 | 157,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.120% | 0.140% | 3/16/21 | 400,000 | 400,002 |
2,3 | Federal National Mortgage Association, SOFR + 0.130% | 0.150% | 3/1/21 | 285,000 | 285,008 |
2,3 | Federal National Mortgage Association, SOFR + 0.290% | 0.310% | 3/1/21 | 1,000,000 | 1,000,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.300% | 0.320% | 3/1/21 | 525,000 | 525,000 |
2,3 | Federal National Mortgage Association, SOFR + 0.300% | 0.320% | 3/1/21 | 425,000 | 425,000 |
U.S. Cash Management Bill | 0.085%–0.115% | 4/15/21 | 3,100,000 | 3,099,648 | |
U.S. Cash Management Bill | 0.086%–0.089% | 5/4/21 | 2,291,000 | 2,290,633 | |
U.S. Cash Management Bill | 0.072%–0.088% | 5/18/21 | 3,500,000 | 3,499,383 | |
U.S. Cash Management Bill | 0.088% | 5/25/21 | 750,000 | 749,841 | |
U.S. Cash Management Bill | 0.088% | 6/8/21 | 4,500,000 | 4,498,886 | |
U.S. Cash Management Bill | 0.088% | 6/15/21 | 3,000,000 | 2,999,205 | |
U.S. Cash Management Bill | 0.078% | 7/6/21 | 500,000 | 499,859 | |
U.S. Treasury Bill | 0.098% | 3/2/21 | 500,000 | 499,999 | |
U.S. Treasury Bill | 0.083%–0.115% | 3/4/21 | 6,750,000 | 6,749,943 | |
U.S. Treasury Bill | 0.026%–0.103% | 3/9/21 | 4,418,000 | 4,417,917 | |
U.S. Treasury Bill | 0.099%–0.125% | 3/11/21 | 4,000,000 | 3,999,875 | |
U.S. Treasury Bill | 0.026%–0.082% | 3/16/21 | 3,363,277 | 3,363,162 | |
U.S. Treasury Bill | 0.048%–0.095% | 3/18/21 | 6,650,000 | 6,649,742 | |
U.S. Treasury Bill | 0.022%–0.082% | 3/23/21 | 3,500,000 | 3,499,855 | |
U.S. Treasury Bill | 0.034%–0.105% | 3/25/21 | 4,868,535 | 4,868,296 | |
U.S. Treasury Bill | 0.061%–0.112% | 3/30/21 | 7,600,000 | 7,599,437 | |
U.S. Treasury Bill | 0.090%–0.105% | 4/1/21 | 3,800,000 | 3,799,667 | |
U.S. Treasury Bill | 0.026%–0.082% | 4/6/21 | 5,500,000 | 5,499,636 | |
U.S. Treasury Bill | 0.080%–0.110% | 4/8/21 | 4,281,150 | 4,280,735 | |
U.S. Treasury Bill | 0.033%–0.103% | 4/13/21 | 5,600,000 | 5,599,549 | |
U.S. Treasury Bill | 0.028%–0.086% | 4/20/21 | 3,500,000 | 3,499,729 | |
U.S. Treasury Bill | 0.090%–0.115% | 4/22/21 | 3,500,000 | 3,499,513 | |
U.S. Treasury Bill | 0.086%–0.088% | 4/27/21 | 3,450,000 | 3,449,508 | |
U.S. Treasury Bill | 0.095%–0.110% | 4/29/21 | 4,000,000 | 3,999,365 | |
U.S. Treasury Bill | 0.064%–0.110% | 5/6/21 | 9,000,000 | 8,998,524 | |
U.S. Treasury Bill | 0.034%–0.110% | 5/13/21 | 8,303,840 | 8,302,424 | |
U.S. Treasury Bill | 0.040%–0.090% | 5/20/21 | 5,500,000 | 5,499,178 | |
U.S. Treasury Bill | 0.029%–0.089% | 5/27/21 | 5,500,000 | 5,499,094 | |
U.S. Treasury Bill | 0.060%–0.090% | 6/3/21 | 4,250,000 | 4,249,178 | |
U.S. Treasury Bill | 0.040%–0.090% | 6/10/21 | 4,900,000 | 4,899,198 | |
U.S. Treasury Bill | 0.050% | 6/17/21 | 2,500,000 | 2,499,625 | |
U.S. Treasury Bill | 0.090% | 6/24/21 | 992,000 | 991,715 | |
U.S. Treasury Bill | 0.043% | 6/29/21 | 500,000 | 499,926 | |
U.S. Treasury Bill | 0.100% | 7/1/21 | 3,000,000 | 2,998,983 | |
U.S. Treasury Bill | 0.090% | 7/8/21 | 1,500,000 | 1,499,516 | |
U.S. Treasury Bill | 0.090% | 7/15/21 | 2,000,000 | 1,999,320 | |
U.S. Treasury Bill | 0.095% | 7/22/21 | 3,000,000 | 2,998,868 | |
U.S. Treasury Bill | 0.085% | 7/29/21 | 4,000,000 | 3,998,583 | |
U.S. Treasury Bill | 0.070% | 8/5/21 | 2,500,000 | 2,499,237 | |
U.S. Treasury Bill | 0.050% | 8/12/21 | 2,000,000 | 1,999,544 | |
U.S. Treasury Bill | 0.060% | 8/19/21 | 1,500,000 | 1,499,573 | |
U.S. Treasury Bill | 0.045% | 8/26/21 | 4,000,000 | 3,999,110 | |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.049% | 0.079% | 3/2/21 | 1,250,000 | 1,250,058 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.055% | 0.085% | 3/2/21 | 2,017,000 | 2,016,911 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.055% | 0.085% | 3/2/21 | 1,340,950 | 1,340,928 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.139% | 0.169% | 3/2/21 | 2,417,950 | 2,417,698 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.154% | 0.184% | 3/2/21 | 1,500,000 | 1,499,078 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.220% | 0.250% | 3/2/21 | 4,500,000 | 4,499,179 |
3 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.300% | 0.330% | 3/2/21 | 3,329,600 | 3,329,951 |
Total U.S. Government and Agency Obligations (Cost $201,507,920) | 201,507,920 | ||||
Repurchase Agreements (1.1%) | |||||
Bank of Montreal (Dated 1/12/21, Repurchase Value $162,026,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/23–2/15/43 and U.S. Treasury Note/Bond 0.125%–3.125%, 9/30/22–2/15/51, with a value of $165,240,000) | 0.100% | 3/11/21 | 162,000 | 162,000 | |
DNB Bank ASA (Dated 2/26/21, Repurchase Value $91,000,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%, 4/15/21 and U.S. Treasury Note/Bond 2.000%–2.125%, 5/15/22–8/15/25, with a value of $92,820,000) | 0.020% | 3/1/21 | 91,000 | 91,000 | |
Fixed Income Clearing Corp. (Dated 2/26/21, Repurchase Value $102,000,000, collateralized by U.S. Treasury Bill 0.000%, 2/24/22, with a value of $104,040,000) | 0.010% | 3/1/21 | 102,000 | 102,000 | |
RBC Dominion Securities Inc. (Dated 2/4/21, Repurchase Value $651,031,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.875%, 4/15/22–7/15/29 and U.S. Treasury Note/Bond 0.125%–6.000%, 2/28/21–5/15/50, with a value of $664,020,000) | 0.060% | 3/5/21 | 651,000 | 651,000 | |
RBC Dominion Securities Inc. (Dated 2/9/21, Repurchase Value $334,014,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 7/15/24–2/15/51 and U.S. Treasury Note/Bond 0.250%–6.250%, 4/30/21–11/15/48, with a value of $340,680,000) | 0.050% | 3/11/21 | 334,000 | 334,000 | |
RBC Dominion Securities Inc. (Dated 2/9/21, Repurchase Value $250,010,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 7/15/24–2/15/50 and U.S. Treasury Note/Bond 0.125%–6.000%, 10/31/22–2/15/46, with a value of $255,000,000) | 0.050% | 3/11/21 | 250,000 | 250,000 | |
RBC Dominion Securities Inc. (Dated 2/17/21, Repurchase Value $195,006,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.750%, 4/15/22–2/15/51 and U.S. Treasury Note/Bond 1.125%–6.000%, 2/15/26–11/15/50, with a value of $198,900,000) | 0.050% | 3/12/21 | 195,000 | 195,000 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
RBC Dominion Securities Inc. (Dated 2/12/21, Repurchase Value $489,023,000, collateralized by U.S. Treasury Bill 0.000%, 4/15/21, U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.875%, 1/15/23–2/15/45 and U.S. Treasury Note/Bond 0.250%–6.250%, 4/30/21–8/15/49, with a value of $498,780,000) | 0.050% | 3/18/21 | 489,000 | 489,000 | |
Total Repurchase Agreements (Cost $2,274,000) | 2,274,000 | ||||
Total Investments (100.3%) (Cost $203,781,920) | 203,781,920 | ||||
Other Assets and Liabilities—Net (-0.3%) | (587,773) | ||||
Net Assets (100%) | 203,194,147 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | 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. |
3 | 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. |
3M—3-month. | |
SOFR—Secured Overnight Financing Rate. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $203,781,920) | 203,781,920 |
Investment in Vanguard | 7,840 |
Cash | 1 |
Receivables for Accrued Income | 6,913 |
Receivables for Capital Shares Issued | 200,620 |
Other Assets | 7,569 |
Total Assets | 204,004,863 |
Liabilities | |
Payables for Investment Securities Purchased | 499,926 |
Payables for Capital Shares Redeemed | 301,698 |
Payables for Distributions | 82 |
Payables to Vanguard | 9,010 |
Total Liabilities | 810,716 |
Net Assets | 203,194,147 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 203,195,623 |
Total Distributable Earnings (Loss) | (1,476) |
Net Assets | 203,194,147 |
Net Assets | |
Applicable to 203,195,113,455 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 203,194,147 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest | 138,414 |
Total Income | 138,414 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,283 |
Management and Administrative | 94,846 |
Marketing and Distribution | 12,623 |
Custodian Fees | 519 |
Shareholders’ Reports | 618 |
Trustees’ Fees and Expenses | 62 |
Total Expenses | 110,951 |
Expense Reduction—Note B | (1,895) |
Net Expenses | 109,056 |
Net Investment Income | 29,358 |
Realized Net Gain (Loss) on Investment Securities Sold | 254 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,612 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 29,358 | 1,544,028 | |
Realized Net Gain (Loss) | 254 | 447 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,612 | 1,544,475 | |
Distributions | |||
Total Distributions | (29,368) | (1,544,104) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 62,315,463 | 142,987,799 | |
Issued in Lieu of Cash Distributions | 27,455 | 1,518,401 | |
Redeemed | (56,673,623) | (79,947,875) | |
Net Increase (Decrease) from Capital Share Transactions | 5,669,295 | 64,558,325 | |
Total Increase (Decrease) | 5,669,539 | 64,558,696 | |
Net Assets | |||
Beginning of Period | 197,524,608 | 132,965,912 | |
End of Period | 203,194,147 | 197,524,608 |
For a Share Outstanding Throughout Each Period | Six Months, Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income | .00011 | .0101 | .0221 | .0141 | .0061 | .0022 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0001 | .010 | .022 | .014 | .006 | .0022 |
Distributions | ||||||
Dividends from Net Investment Income | (.0001) | (.010) | (.022) | (.014) | (.006) | (.0022) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0001) | (.010) | (.022) | (.014) | (.006) | (.0022) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 1.03% | 2.26% | 1.42% | 0.57% | 0.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $203,194 | $197,525 | $132,966 | $100,287 | $79,452 | $38,804 |
Ratio of Total Expenses to Average Net Assets3 | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to Average Net Assets | 0.03% | 0.93% | 2.24% | 1.43% | 0.60% | 0.27% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2021 and 0.11% for 2016. For the years ended August 31, 2020, 2019, 2018 and 2017, there were no expense reductions. |
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. 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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 203,781,924 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | (4) |
Net Unrealized Appreciation (Depreciation) | (4) |
E. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
1 - 7 Days | 22.9% |
8 - 30 Days | 20.3 |
31 - 60 Days | 21.1 |
61 - 90 Days | 14.2 |
91 - 180 Days | 21.5 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
U.S. Government and Agency Obligations (102.1%) | |||||
U.S. Cash Management Bill | 0.085%–0.115% | 4/15/21 | 1,317,000 | 1,316,835 | |
U.S. Cash Management Bill | 0.053% | 5/25/21 | 694,000 | 693,910 | |
U.S. Cash Management Bill | 0.088% | 6/22/21 | 267,000 | 266,925 | |
U.S. Cash Management Bill | 0.043%–0.088% | 6/29/21 | 839,000 | 838,875 | |
U.S. Treasury Bill | 0.079%–0.098% | 3/2/21 | 839,706 | 839,704 | |
U.S. Treasury Bill | 0.083%–0.115% | 3/4/21 | 2,047,249 | 2,047,233 | |
U.S. Treasury Bill | 0.086%–0.103% | 3/9/21 | 1,914,000 | 1,913,956 | |
U.S. Treasury Bill | 0.079% | 3/11/21 | 1,336,000 | 1,335,970 | |
U.S. Treasury Bill | 0.082% | 3/16/21 | 1,048,000 | 1,047,963 | |
U.S. Treasury Bill | 0.074% | 3/18/21 | 1,167,000 | 1,166,959 | |
U.S. Treasury Bill | 0.082% | 3/23/21 | 400,000 | 399,979 | |
U.S. Treasury Bill | 0.088%–0.105% | 3/25/21 | 2,146,000 | 2,145,863 | |
U.S. Treasury Bill | 0.093%–0.102% | 4/1/21 | 3,000,000 | 2,999,752 | |
U.S. Treasury Bill | 0.103% | 4/6/21 | 685,000 | 684,928 | |
U.S. Treasury Bill | 0.110% | 4/8/21 | 450,000 | 449,948 | |
U.S. Treasury Bill | 0.028%–0.098% | 4/20/21 | 328,290 | 328,252 | |
U.S. Treasury Bill | 0.115% | 4/22/21 | 505,000 | 504,916 | |
U.S. Treasury Bill | 0.086% | 4/27/21 | 200,000 | 199,971 | |
U.S. Treasury Bill | 0.079% | 4/29/21 | 1,875,000 | 1,874,754 | |
U.S. Treasury Bill | 0.064%–0.110% | 5/6/21 | 1,882,000 | 1,881,725 | |
U.S. Treasury Bill | 0.110% | 5/13/21 | 250,000 | 249,944 | |
U.S. Treasury Bill | 0.040% | 5/20/21 | 1,345,000 | 1,344,880 | |
U.S. Treasury Bill | 0.029%–0.089% | 5/27/21 | 1,459,000 | 1,458,822 | |
U.S. Treasury Bill | 0.090% | 6/10/21 | 500,000 | 499,874 | |
U.S. Treasury Bill | 0.043%–0.088% | 6/29/21 | 406,000 | 405,878 | |
U.S. Treasury Bill | 0.100% | 7/1/21 | 694,000 | 693,765 | |
U.S. Treasury Bill | 0.090% | 7/8/21 | 858,000 | 857,723 | |
U.S. Treasury Bill | 0.090% | 7/15/21 | 888,000 | 887,698 | |
U.S. Treasury Bill | 0.095% | 7/22/21 | 822,000 | 821,690 | |
U.S. Treasury Bill | 0.085% | 7/29/21 | 500,000 | 499,823 | |
U.S. Treasury Bill | 0.070% | 8/5/21 | 650,000 | 649,802 | |
U.S. Treasury Bill | 0.050% | 8/12/21 | 818,000 | 817,814 | |
U.S. Treasury Bill | 0.060% | 8/19/21 | 750,000 | 749,786 | |
U.S. Treasury Bill | 0.045% | 8/26/21 | 500,000 | 499,889 | |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.049% | 0.079% | 3/2/21 | 400,000 | 400,015 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.055% | 0.085% | 3/2/21 | 869,706 | 869,689 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.055% | 0.085% | 3/2/21 | 711,000 | 710,991 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.114% | 0.144% | 3/2/21 | 350,000 | 350,060 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.139% | 0.169% | 3/2/21 | 900,000 | 899,932 |
Yield1 | Maturity Date | Face Amount ($000) | Market Value• ($000) | ||
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.154% | 0.184% | 3/2/21 | 700,000 | 699,570 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.220% | 0.250% | 3/2/21 | 1,075,000 | 1,074,861 |
2 | U.S. Treasury Floating Rate Note, U.S. Treasury 3M Bill Money Market Yield + 0.300% | 0.330% | 3/2/21 | 1,152,280 | 1,152,476 |
Total U.S. Government and Agency Obligations (Cost $39,533,400) | 39,533,400 | ||||
Total Investments (102.1%) (Cost $39,533,400) | 39,533,400 | ||||
Other Assets and Liabilities—Net (-2.1%) | (797,036) | ||||
Net Assets (100%) | 38,736,364 | ||||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
2 | 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. |
3M—3-month. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Unaffiliated Issuers (Cost $39,533,400) | 39,533,400 |
Investment in Vanguard | 1,479 |
Receivables for Accrued Income | 1,000 |
Receivables for Capital Shares Issued | 127,559 |
Other Assets | 3,298 |
Total Assets | 39,666,736 |
Liabilities | |
Payables for Investment Securities Purchased | 838,875 |
Payables for Capital Shares Redeemed | 89,824 |
Payables for Distributions | 46 |
Payables to Vanguard | 1,627 |
Total Liabilities | 930,372 |
Net Assets | 38,736,364 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 38,736,422 |
Total Distributable Earnings (Loss) | (58) |
Net Assets | 38,736,364 |
Net Assets | |
Applicable to 38,733,382,129 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 38,736,364 |
Net Asset Value Per Share | $1.00 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Interest | 26,040 |
Total Income | 26,040 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 439 |
Management and Administrative | 14,514 |
Marketing and Distribution | 2,425 |
Custodian Fees | 58 |
Shareholders’ Reports | 37 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 17,478 |
Net Investment Income | 8,562 |
Realized Net Gain (Loss) on Investment Securities Sold | 51 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,613 |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 8,562 | 331,186 | |
Realized Net Gain (Loss) | 51 | 507 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,613 | 331,693 | |
Distributions | |||
Total Distributions | (8,563) | (331,197) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 12,579,375 | 36,588,228 | |
Issued in Lieu of Cash Distributions | 7,866 | 302,542 | |
Redeemed | (12,397,892) | (26,772,445) | |
Net Increase (Decrease) from Capital Share Transactions | 189,349 | 10,118,325 | |
Total Increase (Decrease) | 189,399 | 10,118,821 | |
Net Assets | |||
Beginning of Period | 38,546,965 | 28,428,144 | |
End of Period | 38,736,364 | 38,546,965 |
For a Share Outstanding Throughout Each Period | Six Months, Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | ||||||
Net Investment Income | .00021 | .0101 | .0221 | .0141 | .0051 | .0017 |
Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
Total from Investment Operations | .0002 | .010 | .022 | .014 | .005 | .0017 |
Distributions | ||||||
Dividends from Net Investment Income | (.0002) | (.010) | (.022) | (.014) | (.005) | (.0017) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.0002) | (.010) | (.022) | (.014) | (.005) | (.0017) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.02% | 1.05% | 2.25% | 1.43% | 0.54% | 0.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $38,736 | $38,547 | $28,428 | $18,911 | $15,639 | $12,803 |
Ratio of Total Expenses to Average Net Assets3 | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to Average Net Assets | 0.04% | 0.95% | 2.23% | 1.43% | 0.55% | 0.18% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016. For the six months ended February 28, 2021, and the years ended August 31, 2020, 2019, 2018, and 2017, there were no expense reductions. |
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. 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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 39,533,400 |
Gross Unrealized Appreciation | — |
Gross Unrealized Depreciation | — |
Net Unrealized Appreciation (Depreciation) | — |
E. | Management has determined that no other events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Mid-Cap 400 Index Fund |
Vanguard S&P Mid-Cap 400 Value Index Fund |
Vanguard S&P Mid-Cap 400 Growth Index Fund |
• | 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 February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,304.20 | $0.57 |
Institutional Shares | 1,000.00 | 1,304.30 | 0.46 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,363.10 | $0.88 |
Institutional Shares | 1,000.00 | 1,363.60 | 0.47 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,251.90 | $0.84 |
Institutional Shares | 1,000.00 | 1,252.50 | 0.45 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 1.9% |
Consumer Discretionary | 15.8 |
Consumer Staples | 3.6 |
Energy | 1.3 |
Financials | 15.6 |
Health Care | 11.2 |
Industrials | 17.9 |
Information Technology | 14.7 |
Materials | 5.9 |
Real Estate | 8.9 |
Utilities | 3.2 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (1.9%) | ||||||
Cable One Inc. | 6,577 | 12,594 | ||||
New York Times Co. Class A | 175,639 | 8,987 | ||||
* | TripAdvisor Inc. | 116,654 | 5,788 | |||
* | Iridium Communications Inc. | 142,424 | 5,456 | |||
TEGNA Inc. | 265,993 | 4,849 | ||||
* | Yelp Inc. Class A | 84,321 | 3,180 | |||
Cinemark Holdings Inc. | 130,197 | 2,923 | ||||
World Wrestling Entertainment Inc. Class A | 56,596 | 2,796 | ||||
John Wiley & Sons Inc. Class A | 52,870 | 2,785 | ||||
Telephone & Data Systems Inc. | 120,494 | 2,156 | ||||
51,514 | ||||||
Consumer Discretionary (15.8%) | ||||||
* | Caesars Entertainment Inc. | 252,616 | 23,604 | |||
* | Penn National Gaming Inc. | 178,970 | 20,721 | |||
* | Five Below Inc. | 67,765 | 12,612 | |||
Williams-Sonoma Inc. | 92,891 | 12,196 | ||||
Lithia Motors Inc. Class A | 31,685 | 11,849 | ||||
* | Deckers Outdoor Corp. | 34,062 | 11,108 | |||
Lear Corp. | 66,269 | 11,007 | ||||
Kohl's Corp. | 191,227 | 10,565 | ||||
Gentex Corp. | 297,214 | 10,515 | ||||
Service Corp. International | 209,527 | 10,007 | ||||
Churchill Downs Inc. | 43,070 | 9,933 | ||||
* | RH | 18,934 | 9,285 | |||
* | Capri Holdings Ltd. | 182,722 | 8,528 | |||
* | Mattel Inc. | 422,115 | 8,527 | |||
* | Marriott Vacations Worldwide Corp. | 49,807 | 8,453 | |||
Brunswick Corp. | 95,018 | 8,397 | ||||
Polaris Inc. | 70,344 | 8,284 | ||||
Thor Industries Inc. | 67,155 | 7,861 | ||||
Tempur Sealy International Inc. | 232,753 | 7,776 | ||||
* | TopBuild Corp. | 40,054 | 7,627 | |||
Toll Brothers Inc. | 139,272 | 7,440 | ||||
Wyndham Hotels & Resorts Inc. | 113,005 | 7,377 |
Shares | Market Value• ($000) | |||||
* | Grubhub Inc. | 112,505 | 7,208 | |||
Texas Roadhouse Inc. Class A | 79,221 | 7,200 | ||||
* | Helen of Troy Ltd. | 30,749 | 6,666 | |||
Harley-Davidson Inc. | 185,917 | 6,632 | ||||
* | Fox Factory Holding Corp. | 50,597 | 6,433 | |||
Travel + Leisure Co. | 104,156 | 6,294 | ||||
* | YETI Holdings Inc. | 90,831 | 6,246 | |||
Foot Locker Inc. | 126,619 | 6,089 | ||||
* | Skechers U.S.A. Inc. Class A | 164,460 | 6,019 | |||
* | Grand Canyon Education Inc. | 56,842 | 5,951 | |||
* | Boyd Gaming Corp. | 97,406 | 5,718 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 68,989 | 5,704 | |||
Dick's Sporting Goods Inc. | 79,727 | 5,690 | ||||
* | AutoNation Inc. | 71,398 | 5,356 | |||
Wingstop Inc. | 36,005 | 4,902 | ||||
Nordstrom Inc. | 131,968 | 4,810 | ||||
* | Goodyear Tire & Rubber Co. | 282,856 | 4,755 | |||
American Eagle Outfitters Inc. | 181,429 | 4,663 | ||||
Cracker Barrel Old Country Store Inc. | 28,776 | 4,457 | ||||
Wendy's Co. | 217,350 | 4,440 | ||||
Carter's Inc. | 52,946 | 4,419 | ||||
* | Taylor Morrison Home Corp. Class A | 157,621 | 4,336 | |||
KB Home | 106,836 | 4,314 | ||||
* | Visteon Corp. | 33,743 | 4,291 | |||
H&R Block Inc. | 222,542 | 4,279 | ||||
* | Adient plc | 113,899 | 4,223 | |||
* | Dana Inc. | 175,228 | 4,172 | |||
Six Flags Entertainment Corp. | 91,753 | 4,092 | ||||
Murphy USA Inc. | 32,223 | 4,017 | ||||
Columbia Sportswear Co. | 36,905 | 3,804 | ||||
Choice Hotels International Inc. | 34,978 | 3,668 | ||||
Papa John's International Inc. | 39,972 | 3,605 | ||||
* | Scientific Games Corp. | 68,109 | 3,190 | |||
Graham Holdings Co. Class B | 4,911 | 2,951 |
Shares | Market Value• ($000) | |||||
* | Tri Pointe Homes Inc. | 153,856 | 2,923 | |||
* | Urban Outfitters Inc. | 83,255 | 2,822 | |||
Jack in the Box Inc. | 27,534 | 2,818 | ||||
Strategic Education Inc. | 29,581 | 2,690 | ||||
* | Adtalem Global Education Inc. | 63,046 | 2,478 | |||
* | WW International Inc. | 56,825 | 1,676 | |||
419,673 | ||||||
Consumer Staples (3.5%) | ||||||
* | Darling Ingredients Inc. | 196,570 | 12,392 | |||
* | Boston Beer Co. Inc. Class A | 11,086 | 11,404 | |||
Casey's General Stores Inc. | 44,803 | 9,048 | ||||
Ingredion Inc. | 81,260 | 7,330 | ||||
* | Post Holdings Inc. | 74,317 | 7,139 | |||
* | BJ's Wholesale Club Holdings Inc. | 166,522 | 6,691 | |||
Flowers Foods Inc. | 238,692 | 5,192 | ||||
* | Hain Celestial Group Inc. | 100,106 | 4,222 | |||
Lancaster Colony Corp. | 23,713 | 4,142 | ||||
* | Grocery Outlet Holding Corp. | 103,835 | 3,737 | |||
Sanderson Farms Inc. | 24,014 | 3,662 | ||||
* | TreeHouse Foods Inc. | 68,556 | 3,429 | |||
Nu Skin Enterprises Inc. Class A | 61,882 | 3,167 | ||||
* | Sprouts Farmers Market Inc. | 143,118 | 3,021 | |||
Energizer Holdings Inc. | 70,781 | 2,959 | ||||
* | Coty Inc. Class A | 342,767 | 2,629 | |||
Edgewell Personal Care Co. | 66,128 | 2,023 | ||||
* | Pilgrim's Pride Corp. | 58,926 | 1,319 | |||
Tootsie Roll Industries Inc. | 21,049 | 649 | ||||
94,155 | ||||||
Energy (1.3%) | ||||||
Cimarex Energy Co. | 123,721 | 7,175 | ||||
* | EQT Corp. | 334,314 | 5,947 | |||
* | ChampionX Corp. | 225,464 | 4,796 | |||
Equitrans Midstream Corp. | 493,247 | 3,566 | ||||
* | CNX Resources Corp. | 271,981 | 3,430 | |||
Antero Midstream Corp. | 346,812 | 3,059 | ||||
Murphy Oil Corp. | 174,865 | 2,856 | ||||
World Fuel Services Corp. | 76,948 | 2,391 | ||||
33,220 | ||||||
Financials (15.6%) | ||||||
Signature Bank | 69,218 | 15,113 | ||||
FactSet Research Systems Inc. | 46,079 | 14,004 | ||||
Brown & Brown Inc. | 285,920 | 13,124 | ||||
East West Bancorp Inc. | 171,697 | 12,390 | ||||
Alleghany Corp. | 17,359 | 11,221 | ||||
First Horizon Corp. | 672,929 | 10,902 | ||||
RenaissanceRe Holdings Ltd. | 61,626 | 10,290 | ||||
Reinsurance Group of America Inc. | 82,405 | 10,072 | ||||
Commerce Bancshares Inc. | 127,831 | 9,463 | ||||
American Financial Group Inc. | 85,321 | 9,104 |
Shares | Market Value• ($000) | |||||
TCF Financial Corp. | 184,957 | 8,290 | ||||
Prosperity Bancshares Inc. | 112,255 | 8,247 | ||||
SEI Investments Co. | 145,531 | 8,150 | ||||
Affiliated Managers Group Inc. | 55,019 | 7,701 | ||||
First Financial Bankshares Inc. | 172,338 | 7,697 | ||||
Stifel Financial Corp. | 124,937 | 7,631 | ||||
Synovus Financial Corp. | 179,278 | 7,585 | ||||
Pinnacle Financial Partners Inc. | 91,993 | 7,467 | ||||
Jefferies Financial Group Inc. | 250,986 | 7,289 | ||||
SLM Corp. | 455,184 | 7,187 | ||||
First American Financial Corp. | 135,415 | 7,115 | ||||
Interactive Brokers Group Inc. Class A | 97,984 | 7,093 | ||||
Cullen/Frost Bankers Inc. | 67,846 | 7,083 | ||||
New York Community Bancorp Inc. | 562,754 | 6,871 | ||||
Primerica Inc. | 47,667 | 6,732 | ||||
Old Republic International Corp. | 343,035 | 6,631 | ||||
Glacier Bancorp Inc. | 115,719 | 6,272 | ||||
Janus Henderson Group plc | 208,181 | 6,085 | ||||
Webster Financial Corp. | 109,417 | 6,052 | ||||
Bank OZK | 146,629 | 6,044 | ||||
Valley National Bancorp | 489,998 | 6,003 | ||||
Evercore Inc. Class A | 49,286 | 5,903 | ||||
United Bankshares Inc. | 157,411 | 5,816 | ||||
Kemper Corp. | 74,572 | 5,639 | ||||
Essent Group Ltd. | 136,358 | 5,622 | ||||
CIT Group Inc. | 119,515 | 5,420 | ||||
Hanover Insurance Group Inc. | 45,185 | 5,212 | ||||
Wintrust Financial Corp. | 69,902 | 5,149 | ||||
Sterling Bancorp | 235,749 | 5,146 | ||||
PacWest Bancorp | 141,685 | 5,135 | ||||
RLI Corp. | 48,087 | 5,017 | ||||
MGIC Investment Corp. | 410,691 | 5,002 | ||||
Selective Insurance Group Inc. | 72,575 | 4,923 | ||||
* | Texas Capital Bancshares Inc. | 61,203 | 4,664 | |||
FNB Corp. | 391,527 | 4,632 | ||||
Umpqua Holdings Corp. | 266,828 | 4,555 | ||||
Kinsale Capital Group Inc. | 25,850 | 4,551 | ||||
Home BancShares Inc. | 184,322 | 4,505 | ||||
UMB Financial Corp. | 52,438 | 4,424 | ||||
* | Brighthouse Financial Inc. | 108,587 | 4,332 | |||
Bank of Hawaii Corp. | 48,598 | 4,252 | ||||
PROG Holdings Inc. | 81,872 | 4,094 | ||||
CNO Financial Group Inc. | 168,635 | 4,057 | ||||
Hancock Whitney Corp. | 104,841 | 3,958 | ||||
Associated Banc-Corp | 185,928 | 3,747 | ||||
* | LendingTree Inc. | 13,213 | 3,553 |
Shares | Market Value• ($000) | |||||
BancorpSouth Bank | 116,972 | 3,516 | ||||
Cathay General Bancorp | 90,972 | 3,424 | ||||
FirstCash Inc. | 50,172 | 3,177 | ||||
Federated Hermes Inc. Class B | 114,274 | 3,053 | ||||
Fulton Financial Corp. | 196,852 | 3,041 | ||||
International Bancshares Corp. | 67,516 | 2,942 | ||||
Navient Corp. | 225,688 | 2,794 | ||||
Washington Federal Inc. | 91,879 | 2,777 | ||||
Trustmark Corp. | 77,120 | 2,326 | ||||
* | Genworth Financial Inc. Class A | 613,810 | 1,915 | |||
Mercury General Corp. | 32,162 | 1,878 | ||||
415,059 | ||||||
Health Care (11.2%) | ||||||
* | Charles River Laboratories International Inc. | 60,330 | 17,263 | |||
Bio-Techne Corp. | 46,827 | 16,937 | ||||
* | Molina Healthcare Inc. | 71,925 | 15,590 | |||
* | Masimo Corp. | 61,432 | 15,403 | |||
* | Repligen Corp. | 61,046 | 12,966 | |||
* | Penumbra Inc. | 40,960 | 11,650 | |||
* | PRA Health Sciences Inc. | 77,806 | 11,469 | |||
* | Jazz Pharmaceuticals plc | 67,576 | 11,355 | |||
* | Amedisys Inc. | 39,796 | 10,094 | |||
* | Arrowhead Pharmaceuticals Inc. | 124,633 | 9,928 | |||
Encompass Health Corp. | 120,604 | 9,701 | ||||
* | United Therapeutics Corp. | 53,901 | 9,011 | |||
Hill-Rom Holdings Inc. | 81,038 | 8,644 | ||||
Chemed Corp. | 19,348 | 8,614 | ||||
* | HealthEquity Inc. | 99,283 | 8,176 | |||
* | Exelixis Inc. | 376,301 | 8,151 | |||
* | Haemonetics Corp. | 61,588 | 7,791 | |||
* | Quidel Corp. | 46,432 | 7,627 | |||
* | Syneos Health Inc. | 92,083 | 7,123 | |||
* | Halozyme Therapeutics Inc. | 154,126 | 6,974 | |||
* | LHC Group Inc. | 38,318 | 6,963 | |||
* | Tenet Healthcare Corp. | 127,988 | 6,530 | |||
* | Acadia Healthcare Co. Inc. | 107,942 | 5,963 | |||
* | Integra LifeSciences Holdings Corp. | 85,864 | 5,868 | |||
* | STAAR Surgical Co. | 55,928 | 5,817 | |||
* | Globus Medical Inc. Class A | 92,474 | 5,780 | |||
* | Medpace Holdings Inc. | 33,407 | 5,426 | |||
* | Neogen Corp. | 64,333 | 5,270 | |||
* | Emergent BioSolutions Inc. | 54,641 | 5,246 | |||
* | Nektar Therapeutics Class A | 217,628 | 4,938 | |||
* | ICU Medical Inc. | 23,663 | 4,910 | |||
* | LivaNova plc | 58,951 | 4,571 | |||
* | NuVasive Inc. | 62,196 | 3,752 | |||
* | Cantel Medical Corp. | 45,599 | 3,387 | |||
Patterson Cos. Inc. | 105,232 | 3,269 |
Shares | Market Value• ($000) | |||||
* | Ligand Pharmaceuticals Inc. | 19,507 | 2,891 | |||
* | Avanos Medical Inc. | 57,979 | 2,666 | |||
297,714 | ||||||
Industrials (17.9%) | ||||||
* | Generac Holdings Inc. | 76,219 | 25,119 | |||
Graco Inc. | 203,183 | 14,091 | ||||
Toro Co. | 130,127 | 13,113 | ||||
* | XPO Logistics Inc. | 110,878 | 12,928 | |||
* | Trex Co. Inc. | 140,431 | 12,869 | |||
* | Axon Enterprise Inc. | 77,079 | 12,756 | |||
Nordson Corp. | 65,461 | 12,595 | ||||
* | Sunrun Inc. | 189,271 | 11,845 | |||
Lennox International Inc. | 42,259 | 11,823 | ||||
Hubbell Inc. Class B | 65,785 | 11,677 | ||||
* | Builders FirstSource Inc. | 248,801 | 10,764 | |||
Owens Corning | 131,272 | 10,636 | ||||
* | AECOM | 182,871 | 10,586 | |||
* | Middleby Corp. | 67,452 | 9,876 | |||
Watsco Inc. | 39,809 | 9,678 | ||||
AGCO Corp. | 74,492 | 9,645 | ||||
* | IAA Inc. | 163,093 | 9,562 | |||
Carlisle Cos. Inc. | 64,751 | 9,405 | ||||
Tetra Tech Inc. | 65,229 | 9,026 | ||||
Donaldson Co. Inc. | 153,104 | 9,019 | ||||
Oshkosh Corp. | 82,714 | 8,768 | ||||
ITT Inc. | 104,791 | 8,696 | ||||
Lincoln Electric Holdings Inc. | 72,127 | 8,519 | ||||
Woodward Inc. | 70,830 | 8,090 | ||||
CoreLogic Inc. | 94,332 | 7,986 | ||||
Landstar System Inc. | 46,560 | 7,456 | ||||
* | Stericycle Inc. | 111,049 | 7,204 | |||
MSA Safety Inc. | 43,938 | 7,074 | ||||
* | JetBlue Airways Corp. | 381,493 | 7,031 | |||
Regal Beloit Corp. | 49,241 | 6,730 | ||||
ManpowerGroup Inc. | 69,788 | 6,591 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 152,445 | 6,586 | ||||
EMCOR Group Inc. | 66,634 | 6,488 | ||||
Timken Co. | 82,262 | 6,445 | ||||
Valmont Industries Inc. | 25,782 | 6,098 | ||||
* | ASGN Inc. | 64,165 | 5,965 | |||
* | MasTec Inc. | 68,098 | 5,907 | |||
Curtiss-Wright Corp. | 50,349 | 5,563 | ||||
Acuity Brands Inc. | 44,684 | 5,510 | ||||
* | Hexcel Corp. | 101,332 | 5,448 | |||
* | Colfax Corp. | 122,135 | 5,417 | |||
nVent Electric plc | 206,252 | 5,416 | ||||
* | Clean Harbors Inc. | 61,655 | 5,250 | |||
Simpson Manufacturing Co. Inc. | 52,665 | 5,133 | ||||
Crane Co. | 59,921 | 5,025 | ||||
* | FTI Consulting Inc. | 43,245 | 4,954 | |||
MSC Industrial Direct Co. Inc. Class A | 55,499 | 4,780 | ||||
EnerSys | 51,630 | 4,661 |
Shares | Market Value• ($000) | |||||
Brink's Co. | 59,916 | 4,603 | ||||
* | Kirby Corp. | 72,839 | 4,557 | |||
* | Mercury Systems Inc. | 67,924 | 4,439 | |||
Ryder System Inc. | 65,312 | 4,426 | ||||
* | Univar Solutions Inc. | 205,142 | 4,084 | |||
GATX Corp. | 42,460 | 4,052 | ||||
Insperity Inc. | 43,263 | 3,837 | ||||
Kennametal Inc. | 101,026 | 3,774 | ||||
* | Avis Budget Group Inc. | 62,425 | 3,468 | |||
Terex Corp. | 84,078 | 3,462 | ||||
Trinity Industries Inc. | 102,489 | 3,290 | ||||
Werner Enterprises Inc. | 70,407 | 3,022 | ||||
* | Dycom Industries Inc. | 38,641 | 2,959 | |||
Herman Miller Inc. | 71,356 | 2,737 | ||||
* | Fluor Corp. | 151,740 | 2,604 | |||
Healthcare Services Group Inc. | 90,207 | 2,566 | ||||
KAR Auction Services Inc. | 157,003 | 2,184 | ||||
475,868 | ||||||
Information Technology (14.7%) | ||||||
* | SolarEdge Technologies Inc. | 62,113 | 18,529 | |||
Cognex Corp. | 211,809 | 17,493 | ||||
* | PTC Inc. | 127,350 | 17,439 | |||
* | Fair Isaac Corp. | 35,293 | 16,148 | |||
* | Cree Inc. | 133,831 | 15,185 | |||
* | Ceridian HCM Holding Inc. | 157,758 | 14,145 | |||
* | WEX Inc. | 53,527 | 11,152 | |||
MKS Instruments Inc. | 66,876 | 11,028 | ||||
Universal Display Corp. | 51,989 | 11,006 | ||||
* | II-VI Inc. | 125,810 | 10,606 | |||
* | Ciena Corp. | 187,189 | 9,766 | |||
* | Manhattan Associates Inc. | 77,051 | 9,473 | |||
* | Arrow Electronics Inc. | 91,628 | 9,187 | |||
* | Paylocity Holding Corp. | 45,399 | 8,680 | |||
* | First Solar Inc. | 102,832 | 8,332 | |||
* | Silicon Laboratories Inc. | 53,160 | 8,279 | |||
* | Lumentum Holdings Inc. | 91,580 | 8,242 | |||
Littelfuse Inc. | 29,566 | 7,694 | ||||
Brooks Automation Inc. | 89,556 | 7,448 | ||||
CDK Global Inc. | 147,612 | 7,401 | ||||
* | Coherent Inc. | 29,645 | 7,172 | |||
National Instruments Corp. | 159,199 | 7,068 | ||||
Jabil Inc. | 163,275 | 7,049 | ||||
* | CACI International Inc. Class A | 30,588 | 6,770 | |||
* | Sailpoint Technologies Holdings Inc. | 110,274 | 6,217 | |||
* | Concentrix Corp. | 49,967 | 6,171 | |||
Science Applications International Corp. | 70,623 | 6,083 | ||||
MAXIMUS Inc. | 74,541 | 6,059 | ||||
CMC Materials Inc. | 35,276 | 6,015 | ||||
* | J2 Global Inc. | 51,984 | 5,790 | |||
* | Semtech Corp. | 78,846 | 5,780 | |||
* | Cirrus Logic Inc. | 70,308 | 5,750 |
Shares | Market Value• ($000) | |||||
Sabre Corp. | 384,656 | 5,651 | ||||
* | Synaptics Inc. | 41,848 | 5,609 | |||
Alliance Data Systems Corp. | 57,837 | 5,581 | ||||
* | NCR Corp. | 156,368 | 5,435 | |||
* | ACI Worldwide Inc. | 141,631 | 5,419 | |||
KBR Inc. | 172,895 | 5,360 | ||||
* | Teradata Corp. | 132,576 | 5,316 | |||
* | LiveRamp Holdings Inc. | 80,433 | 5,080 | |||
Perspecta Inc. | 165,968 | 4,846 | ||||
Avnet Inc. | 119,853 | 4,563 | ||||
SYNNEX Corp. | 49,981 | 4,456 | ||||
* | Blackbaud Inc. | 60,130 | 4,138 | |||
* | Viasat Inc. | 77,830 | 3,980 | |||
* | Qualys Inc. | 40,703 | 3,955 | |||
Vishay Intertechnology Inc. | 160,719 | 3,836 | ||||
* | CommVault Systems Inc. | 57,119 | 3,640 | |||
Amkor Technology Inc. | 129,242 | 3,088 | ||||
* | NetScout Systems Inc. | 89,167 | 2,516 | |||
Belden Inc. | 53,999 | 2,387 | ||||
InterDigital Inc. | 37,303 | 2,364 | ||||
390,377 | ||||||
Materials (5.9%) | ||||||
RPM International Inc. | 157,591 | 12,551 | ||||
Scotts Miracle-Gro Co. | 49,352 | 10,519 | ||||
Reliance Steel & Aluminum Co. | 77,333 | 10,223 | ||||
AptarGroup Inc. | 78,495 | 10,210 | ||||
Steel Dynamics Inc. | 242,419 | 10,080 | ||||
Royal Gold Inc. | 79,573 | 8,253 | ||||
Cleveland-Cliffs Inc. | 555,069 | 7,405 | ||||
Sonoco Products Co. | 121,816 | 7,257 | ||||
Eagle Materials Inc. | 50,720 | 6,359 | ||||
Louisiana-Pacific Corp. | 132,596 | 6,313 | ||||
Valvoline Inc. | 224,723 | 5,609 | ||||
Ashland Global Holdings Inc. | 66,139 | 5,564 | ||||
Olin Corp. | 172,256 | 5,330 | ||||
United States Steel Corp. | 318,315 | 5,287 | ||||
Avient Corp. | 110,926 | 4,794 | ||||
Chemours Co. | 199,541 | 4,695 | ||||
Sensient Technologies Corp. | 51,390 | 4,001 | ||||
Commercial Metals Co. | 145,878 | 3,669 | ||||
Silgan Holdings Inc. | 95,214 | 3,576 | ||||
* | Ingevity Corp. | 50,079 | 3,479 | |||
Cabot Corp. | 68,684 | 3,381 | ||||
NewMarket Corp. | 8,875 | 3,363 | ||||
Minerals Technologies Inc. | 41,215 | 2,936 | ||||
Worthington Industries Inc. | 43,444 | 2,776 | ||||
Compass Minerals International Inc. | 41,128 | 2,595 | ||||
Domtar Corp. | 67,071 | 2,485 | ||||
* | O-I Glass Inc. | 190,276 | 2,222 | |||
Greif Inc. Class A | 31,992 | 1,545 | ||||
156,477 | ||||||
Real Estate (8.9%) | ||||||
Medical Properties Trust Inc. | 688,885 | 14,873 |
Shares | Market Value• ($000) | |||||
Camden Property Trust | 118,119 | 12,302 | ||||
* | Jones Lang LaSalle Inc. | 62,226 | 10,826 | |||
Omega Healthcare Investors Inc. | 275,334 | 10,226 | ||||
CyrusOne Inc. | 146,054 | 9,585 | ||||
STORE Capital Corp. | 286,647 | 9,585 | ||||
National Retail Properties Inc. | 210,717 | 9,238 | ||||
Lamar Advertising Co. Class A | 104,826 | 9,077 | ||||
Kilroy Realty Corp. | 127,210 | 8,073 | ||||
Rexford Industrial Realty Inc. | 158,291 | 7,554 | ||||
Life Storage Inc. | 88,406 | 7,417 | ||||
Apartment Income REIT Corp. | 180,549 | 7,381 | ||||
Brixmor Property Group Inc. | 359,623 | 7,077 | ||||
American Campus Communities Inc. | 166,932 | 6,838 | ||||
First Industrial Realty Trust Inc. | 156,499 | 6,684 | ||||
Douglas Emmett Inc. | 199,964 | 6,549 | ||||
EastGroup Properties Inc. | 47,973 | 6,530 | ||||
CoreSite Realty Corp. | 51,871 | 6,313 | ||||
Park Hotels & Resorts Inc. | 285,811 | 6,216 | ||||
Cousins Properties Inc. | 180,200 | 6,044 | ||||
Spirit Realty Capital Inc. | 138,594 | 5,962 | ||||
Rayonier Inc. | 165,574 | 5,404 | ||||
Highwoods Properties Inc. | 126,058 | 5,037 | ||||
Healthcare Realty Trust Inc. | 165,024 | 4,763 | ||||
Hudson Pacific Properties Inc. | 184,514 | 4,722 | ||||
Sabra Health Care REIT Inc. | 250,836 | 4,319 | ||||
Physicians Realty Trust | 252,535 | 4,293 | ||||
JBG SMITH Properties | 134,964 | 4,285 | ||||
PotlatchDeltic Corp. | 81,113 | 4,116 | ||||
EPR Properties | 90,512 | 4,089 | ||||
Weingarten Realty Investors | 146,142 | 3,711 | ||||
Pebblebrook Hotel Trust | 158,819 | 3,599 | ||||
Corporate Office Properties Trust | 136,062 | 3,538 | ||||
PS Business Parks Inc. | 24,338 | 3,526 | ||||
Service Properties Trust | 200,450 | 2,574 | ||||
Urban Edge Properties | 132,805 | 2,191 | ||||
1 | Macerich Co. | 136,209 | 1,760 | |||
236,277 |
Shares | Market Value• ($000) | |||||
Utilities (3.2%) | ||||||
Essential Utilities Inc. | 270,702 | 11,386 | ||||
UGI Corp. | 252,794 | 9,684 | ||||
OGE Energy Corp. | 242,619 | 7,101 | ||||
MDU Resources Group Inc. | 243,209 | 6,834 | ||||
IDACORP Inc. | 61,203 | 5,278 | ||||
National Fuel Gas Co. | 110,347 | 5,014 | ||||
PNM Resources Inc. | 96,583 | 4,637 | ||||
Hawaiian Electric Industries Inc. | 132,369 | 4,628 | ||||
New Jersey Resources Corp. | 116,478 | 4,576 | ||||
Black Hills Corp. | 76,116 | 4,503 | ||||
ONE Gas Inc. | 64,411 | 4,314 | ||||
Southwest Gas Holdings Inc. | 68,949 | 4,299 | ||||
Spire Inc. | 62,630 | 4,160 | ||||
ALLETE Inc. | 63,055 | 3,918 | ||||
NorthWestern Corp. | 61,332 | 3,587 | ||||
83,919 | ||||||
Total Common Stocks (Cost $2,043,555) | 2,654,253 | |||||
Temporary Cash Investments (0.0%) | ||||||
Money Market Fund (0.0%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $1,800) | 18,008 | 1,801 | |||
Total Investments (99.9%) (Cost $2,045,355) | 2,656,054 | |||||
Other Assets and Liabilities—Net (0.1%) | 1,364 | |||||
Net Assets (100%) | 2,657,418 |
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 $1,658,000. |
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 $1,796,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2021 | 8 | 1,996 | 5 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,043,555) | 2,654,253 |
Affiliated Issuers (Cost $1,800) | 1,801 |
Total Investments in Securities | 2,656,054 |
Investment in Vanguard | 95 |
Receivables for Investment Securities Sold | 10,249 |
Receivables for Accrued Income | 1,996 |
Receivables for Capital Shares Issued | 738 |
Variation Margin Receivable—Futures Contracts | 5 |
Total Assets | 2,669,137 |
Liabilities | |
Due to Custodian | 2,381 |
Payables for Investment Securities Purchased | 7,406 |
Collateral for Securities on Loan | 1,796 |
Payables for Capital Shares Redeemed | 24 |
Payables to Vanguard | 112 |
Total Liabilities | 11,719 |
Net Assets | 2,657,418 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 2,162,623 |
Total Distributable Earnings (Loss) | 494,795 |
Net Assets | 2,657,418 |
ETF Shares—Net Assets | |
Applicable to 7,351,158 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,239,152 |
Net Asset Value Per Share—ETF Shares | $168.57 |
Institutional Shares—Net Assets | |
Applicable to 4,218,410 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,418,266 |
Net Asset Value Per Share—Institutional Shares | $336.21 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 14,769 |
Interest1 | 1 |
Securities Lending—Net | 76 |
Total Income | 14,846 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 174 |
Management and Administrative—ETF Shares | 397 |
Management and Administrative—Institutional Shares | 382 |
Marketing and Distribution—ETF Shares | 25 |
Marketing and Distribution—Institutional Shares | 17 |
Custodian Fees | 27 |
Shareholders’ Reports—ETF Shares | 3 |
Shareholders’ Reports—Institutional Shares | 4 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,029 |
Net Investment Income | 13,817 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 70,089 |
Futures Contracts | 735 |
Realized Net Gain (Loss) | 70,824 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 544,229 |
Futures Contracts | 10 |
Change in Unrealized Appreciation (Depreciation) | 544,239 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 628,880 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, $2,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $106,993,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 13,817 | 32,257 | |
Realized Net Gain (Loss) | 70,824 | 41,164 | |
Change in Unrealized Appreciation (Depreciation) | 544,239 | 21,473 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 628,880 | 94,894 | |
Distributions | |||
ETF Shares | (8,095) | (14,643) | |
Institutional Shares | (10,410) | (18,508) | |
Total Distributions | (18,505) | (33,151) | |
Capital Share Transactions | |||
ETF Shares | 76,678 | (54,436) | |
Institutional Shares | (82,668) | (75,560) | |
Net Increase (Decrease) from Capital Share Transactions | (5,990) | (129,996) | |
Total Increase (Decrease) | 604,385 | (68,253) | |
Net Assets | |||
Beginning of Period | 2,053,033 | 2,121,286 | |
End of Period | 2,657,418 | 2,053,033 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $130.31 | $127.18 | $138.01 | $116.74 | $105.51 | $95.87 |
Investment Operations | ||||||
Net Investment Income | .8521 | 1.9591 | 1.8801 | 1.7781 | 1.5101 | 1.393 |
Net Realized and Unrealized Gain (Loss) on Investments | 38.575 | 3.205 | (10.864) | 21.199 | 11.294 | 10.091 |
Total from Investment Operations | 39.427 | 5.164 | (8.984) | 22.977 | 12.804 | 11.484 |
Distributions | ||||||
Dividends from Net Investment Income | (1.167) | (2.034) | (1.846) | (1.707) | (1.574) | (1.844) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.167) | (2.034) | (1.846) | (1.707) | (1.574) | (1.844) |
Net Asset Value, End of Period | $168.57 | $130.31 | $127.18 | $138.01 | $116.74 | $105.51 |
Total Return | 30.42% | 4.11% | -6.50% | 19.82% | 12.22% | 12.19% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,239 | $890 | $919 | $973 | $727 | $485 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.27% | 1.57% | 1.47% | 1.38% | 1.34% | 1.56% |
Portfolio Turnover Rate2 | 9% | 17% | 10% | 12% | 13% | 11% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $259.90 | $253.60 | $275.26 | $232.82 | $210.40 | $191.51 |
Investment Operations | ||||||
Net Investment Income | 1.7691 | 3.9591 | 3.7861 | 3.7111 | 3.1761 | 3.171 |
Net Realized and Unrealized Gain (Loss) on Investments | 76.893 | 6.384 | (21.653) | 42.301 | 22.516 | 19.869 |
Total from Investment Operations | 78.662 | 10.343 | (17.867) | 46.012 | 25.692 | 23.040 |
Distributions | ||||||
Dividends from Net Investment Income | (2.352) | (4.043) | (3.793) | (3.572) | (3.272) | (4.150) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.352) | (4.043) | (3.793) | (3.572) | (3.272) | (4.150) |
Net Asset Value, End of Period | $336.21 | $259.90 | $253.60 | $275.26 | $232.82 | $210.40 |
Total Return | 30.43% | 4.14% | -6.49% | 19.92% | 12.31% | 12.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,418 | $1,164 | $1,202 | $1,420 | $1,119 | $848 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.33% | 1.59% | 1.49% | 1.45% | 1.41% | 1.63% |
Portfolio Turnover Rate2 | 9% | 17% | 10% | 12% | 13% | 11% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,050,837 |
Gross Unrealized Appreciation | 703,869 |
Gross Unrealized Depreciation | (98,647) |
Net Unrealized Appreciation (Depreciation) | 605,222 |
E. | During the six months ended February 28, 2021, the fund purchased $476,872,000 of investment securities and sold $483,922,000 of investment securities, other than temporary cash investments. Purchases and sales include $267,821,000 and $226,230,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 307,900 | 2,150 | 513,113 | 4,275 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (231,222) | (1,625) | (567,549) | (4,675) | |
Net Increase (Decrease)—ETF Shares | 76,678 | 525 | (54,436) | (400) |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 84,207 | 297 | 151,527 | 634 | |
Issued in Lieu of Cash Distributions | 10,007 | 35 | 17,876 | 71 | |
Redeemed | (176,882) | (591) | (244,963) | (969) | |
Net Increase (Decrease)—Institutional Shares | (82,668) | (259) | (75,560) | (264) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Communication Services | 1.4% |
Consumer Discretionary | 14.6 |
Consumer Staples | 4.0 |
Energy | 1.3 |
Financials | 22.8 |
Health Care | 4.5 |
Industrials | 15.7 |
Information Technology | 9.7 |
Materials | 7.1 |
Real Estate | 13.2 |
Utilities | 5.7 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.4%) | ||||||
Communication Services (1.4%) | ||||||
* | TripAdvisor Inc. | 41,467 | 2,058 | |||
Cinemark Holdings Inc. | 73,915 | 1,659 | ||||
TEGNA Inc. | 90,486 | 1,650 | ||||
John Wiley & Sons Inc. Class A | 30,016 | 1,581 | ||||
Telephone & Data Systems Inc. | 68,500 | 1,225 | ||||
* | Iridium Communications Inc. | 31,376 | 1,202 | |||
* | Yelp Inc. Class A | 23,331 | 880 | |||
World Wrestling Entertainment Inc. Class A | 13,424 | 663 | ||||
10,918 | ||||||
Consumer Discretionary (14.6%) | ||||||
Lear Corp. | 37,479 | 6,225 | ||||
Kohl's Corp. | 108,118 | 5,974 | ||||
* | Caesars Entertainment Inc. | 60,004 | 5,607 | |||
* | Capri Holdings Ltd. | 103,344 | 4,823 | |||
* | Marriott Vacations Worldwide Corp. | 28,189 | 4,784 | |||
* | Penn National Gaming Inc. | 40,492 | 4,688 | |||
Thor Industries Inc. | 37,979 | 4,446 | ||||
Foot Locker Inc. | 71,678 | 3,447 | ||||
* | Skechers U.S.A. Inc. Class A | 93,096 | 3,407 | |||
Dick's Sporting Goods Inc. | 45,045 | 3,215 | ||||
* | AutoNation Inc. | 40,430 | 3,033 | |||
Nordstrom Inc. | 74,739 | 2,724 | ||||
* | Goodyear Tire & Rubber Co. | 159,810 | 2,686 | |||
American Eagle Outfitters Inc. | 102,509 | 2,634 | ||||
Cracker Barrel Old Country Store Inc. | 16,258 | 2,518 | ||||
Carter's Inc. | 29,915 | 2,497 | ||||
Gentex Corp. | 70,579 | 2,497 | ||||
Polaris Inc. | 21,064 | 2,481 | ||||
* | Taylor Morrison Home Corp. Class A | 89,073 | 2,450 | |||
KB Home | 60,390 | 2,439 | ||||
H&R Block Inc. | 125,692 | 2,417 | ||||
* | Adient plc | 64,362 | 2,387 | |||
* | Dana Inc. | 99,054 | 2,358 |
Shares | Market Value• ($000) | |||||
Toll Brothers Inc. | 44,059 | 2,354 | ||||
Murphy USA Inc. | 18,202 | 2,269 | ||||
Service Corp. International | 47,372 | 2,263 | ||||
Travel + Leisure Co. | 35,898 | 2,169 | ||||
Brunswick Corp. | 24,209 | 2,139 | ||||
* | Grand Canyon Education Inc. | 20,234 | 2,118 | |||
Wyndham Hotels & Resorts Inc. | 29,454 | 1,923 | ||||
Graham Holdings Co. Class B | 2,779 | 1,670 | ||||
* | Tri Pointe Homes Inc. | 87,146 | 1,656 | |||
* | Urban Outfitters Inc. | 46,849 | 1,588 | |||
Strategic Education Inc. | 16,728 | 1,521 | ||||
* | Boyd Gaming Corp. | 25,294 | 1,485 | |||
Six Flags Entertainment Corp. | 32,104 | 1,432 | ||||
* | Adtalem Global Education Inc. | 35,829 | 1,408 | |||
* | Visteon Corp. | 9,958 | 1,266 | |||
Harley-Davidson Inc. | 35,137 | 1,253 | ||||
Columbia Sportswear Co. | 12,093 | 1,246 | ||||
Choice Hotels International Inc. | 9,276 | 973 | ||||
* | Scientific Games Corp. | 16,141 | 756 | |||
* | WW International Inc. | 19,667 | 580 | |||
111,806 | ||||||
Consumer Staples (4.0%) | ||||||
Ingredion Inc. | 45,928 | 4,143 | ||||
* | Post Holdings Inc. | 42,066 | 4,041 | |||
* | BJ's Wholesale Club Holdings Inc. | 94,175 | 3,784 | |||
Casey's General Stores Inc. | 15,696 | 3,170 | ||||
Sanderson Farms Inc. | 13,607 | 2,075 | ||||
* | TreeHouse Foods Inc. | 38,748 | 1,938 | |||
Flowers Foods Inc. | 82,471 | 1,794 | ||||
* | Sprouts Farmers Market Inc. | 80,819 | 1,706 | |||
* | Coty Inc. Class A | 194,989 | 1,496 | |||
Edgewell Personal Care Co. | 37,396 | 1,144 | ||||
Lancaster Colony Corp. | 5,618 | 981 | ||||
* | Hain Celestial Group Inc. | 21,443 | 904 | |||
Energizer Holdings Inc. | 21,127 | 883 | ||||
* | Grocery Outlet Holding Corp. | 22,435 | 807 |
Shares | Market Value• ($000) | |||||
Nu Skin Enterprises Inc. Class A | 15,717 | 804 | ||||
* | Pilgrim's Pride Corp. | 33,343 | 747 | |||
Tootsie Roll Industries Inc. | 7,128 | 220 | ||||
30,637 | ||||||
Energy (1.3%) | ||||||
Cimarex Energy Co. | 36,395 | 2,111 | ||||
* | EQT Corp. | 117,394 | 2,088 | |||
Murphy Oil Corp. | 99,325 | 1,622 | ||||
* | ChampionX Corp. | 75,085 | 1,597 | |||
World Fuel Services Corp. | 43,680 | 1,358 | ||||
Equitrans Midstream Corp. | 153,032 | 1,106 | ||||
9,882 | ||||||
Financials (22.6%) | ||||||
East West Bancorp Inc. | 97,113 | 7,008 | ||||
Alleghany Corp. | 9,816 | 6,345 | ||||
First Horizon Corp. | 380,439 | 6,163 | ||||
Reinsurance Group of America Inc. | 46,577 | 5,693 | ||||
Signature Bank | 25,446 | 5,556 | ||||
American Financial Group Inc. | 48,285 | 5,152 | ||||
TCF Financial Corp. | 104,584 | 4,687 | ||||
Prosperity Bancshares Inc. | 63,496 | 4,665 | ||||
Affiliated Managers Group Inc. | 31,096 | 4,353 | ||||
Synovus Financial Corp. | 101,473 | 4,293 | ||||
Pinnacle Financial Partners Inc. | 52,075 | 4,227 | ||||
Jefferies Financial Group Inc. | 142,055 | 4,125 | ||||
First American Financial Corp. | 76,568 | 4,023 | ||||
Cullen/Frost Bankers Inc. | 38,403 | 4,009 | ||||
New York Community Bancorp Inc. | 318,502 | 3,889 | ||||
Old Republic International Corp. | 194,190 | 3,754 | ||||
Janus Henderson Group plc | 117,666 | 3,439 | ||||
Webster Financial Corp. | 61,958 | 3,427 | ||||
Bank OZK | 83,018 | 3,422 | ||||
Valley National Bancorp | 276,868 | 3,392 | ||||
United Bankshares Inc. | 89,140 | 3,294 | ||||
Kemper Corp. | 42,220 | 3,193 | ||||
CIT Group Inc. | 67,538 | 3,063 | ||||
Hanover Insurance Group Inc. | 25,585 | 2,951 | ||||
Wintrust Financial Corp. | 39,502 | 2,910 | ||||
Sterling Bancorp | 133,214 | 2,908 | ||||
MGIC Investment Corp. | 232,572 | 2,833 | ||||
Selective Insurance Group Inc. | 41,111 | 2,789 | ||||
Commerce Bancshares Inc. | 37,562 | 2,781 | ||||
* | Texas Capital Bancshares Inc. | 34,582 | 2,635 | |||
FNB Corp. | 220,884 | 2,613 | ||||
Home BancShares Inc. | 104,143 | 2,545 |
Shares | Market Value• ($000) | |||||
RenaissanceRe Holdings Ltd. | 15,015 | 2,507 | ||||
Stifel Financial Corp. | 40,954 | 2,501 | ||||
UMB Financial Corp. | 29,631 | 2,500 | ||||
Bank of Hawaii Corp. | 27,457 | 2,402 | ||||
CNO Financial Group Inc. | 95,225 | 2,291 | ||||
SEI Investments Co. | 40,282 | 2,256 | ||||
Hancock Whitney Corp. | 59,232 | 2,236 | ||||
Associated Banc-Corp | 105,178 | 2,119 | ||||
PacWest Bancorp | 57,601 | 2,087 | ||||
BancorpSouth Bank | 66,090 | 1,987 | ||||
Cathay General Bancorp | 51,299 | 1,931 | ||||
FirstCash Inc. | 28,403 | 1,798 | ||||
Glacier Bancorp Inc. | 32,798 | 1,778 | ||||
Fulton Financial Corp. | 111,121 | 1,717 | ||||
International Bancshares Corp. | 38,282 | 1,668 | ||||
Essent Group Ltd. | 38,641 | 1,593 | ||||
Navient Corp. | 128,133 | 1,586 | ||||
Washington Federal Inc. | 52,147 | 1,576 | ||||
First Financial Bankshares Inc. | 35,015 | 1,564 | ||||
Umpqua Holdings Corp. | 85,978 | 1,468 | ||||
Trustmark Corp. | 43,410 | 1,309 | ||||
PROG Holdings Inc. | 24,978 | 1,249 | ||||
Evercore Inc. Class A | 10,291 | 1,233 | ||||
RLI Corp. | 11,125 | 1,161 | ||||
* | Genworth Financial Inc. Class A | 346,934 | 1,082 | |||
Mercury General Corp. | 18,187 | 1,062 | ||||
Federated Hermes Inc. Class B | 38,118 | 1,019 | ||||
173,817 | ||||||
Health Care (4.5%) | ||||||
* | Molina Healthcare Inc. | 18,715 | 4,057 | |||
* | Tenet Healthcare Corp. | 72,441 | 3,696 | |||
* | United Therapeutics Corp. | 17,670 | 2,954 | |||
Hill-Rom Holdings Inc. | 26,554 | 2,832 | ||||
* | LivaNova plc | 33,309 | 2,583 | |||
Encompass Health Corp. | 30,057 | 2,418 | ||||
* | NuVasive Inc. | 35,145 | 2,120 | |||
* | Acadia Healthcare Co. Inc. | 37,807 | 2,089 | |||
* | Haemonetics Corp. | 15,666 | 1,982 | |||
Patterson Cos. Inc. | 59,497 | 1,848 | ||||
* | Nektar Therapeutics Class A | 76,500 | 1,736 | |||
* | Integra LifeSciences Holdings Corp. | 24,331 | 1,663 | |||
* | ICU Medical Inc. | 6,578 | 1,365 | |||
* | Neogen Corp. | 14,518 | 1,189 | |||
* | Cantel Medical Corp. | 13,373 | 993 | |||
* | Ligand Pharmaceuticals Inc. | 5,291 | 784 | |||
34,309 | ||||||
Industrials (15.6%) | ||||||
Owens Corning | 74,243 | 6,015 | ||||
* | AECOM | 103,361 | 5,984 |
Shares | Market Value• ($000) | |||||
Oshkosh Corp. | 46,748 | 4,955 | ||||
* | JetBlue Airways Corp. | 215,976 | 3,980 | |||
ManpowerGroup Inc. | 39,501 | 3,730 | ||||
EMCOR Group Inc. | 37,718 | 3,673 | ||||
* | XPO Logistics Inc. | 30,125 | 3,513 | |||
* | MasTec Inc. | 38,556 | 3,345 | |||
AGCO Corp. | 24,412 | 3,161 | ||||
Acuity Brands Inc. | 25,295 | 3,119 | ||||
* | Builders FirstSource Inc. | 71,854 | 3,109 | |||
* | Hexcel Corp. | 57,255 | 3,078 | |||
* | Colfax Corp. | 69,164 | 3,067 | |||
nVent Electric plc | 116,495 | 3,059 | ||||
Crane Co. | 33,834 | 2,837 | ||||
Lennox International Inc. | 9,795 | 2,740 | ||||
ITT Inc. | 32,564 | 2,702 | ||||
Nordson Corp. | 13,721 | 2,640 | ||||
Hubbell Inc. Class B | 14,863 | 2,638 | ||||
* | Kirby Corp. | 41,152 | 2,574 | |||
Donaldson Co. Inc. | 43,268 | 2,549 | ||||
Ryder System Inc. | 36,933 | 2,503 | ||||
* | Stericycle Inc. | 38,271 | 2,483 | |||
* | Univar Solutions Inc. | 115,899 | 2,308 | |||
GATX Corp. | 23,984 | 2,289 | ||||
Carlisle Cos. Inc. | 15,357 | 2,231 | ||||
Woodward Inc. | 19,268 | 2,201 | ||||
* | Middleby Corp. | 14,900 | 2,181 | |||
Kennametal Inc. | 57,251 | 2,139 | ||||
Watsco Inc. | 8,573 | 2,084 | ||||
Valmont Industries Inc. | 8,597 | 2,033 | ||||
Curtiss-Wright Corp. | 17,912 | 1,979 | ||||
* | Avis Budget Group Inc. | 35,456 | 1,970 | |||
Regal Beloit Corp. | 13,945 | 1,906 | ||||
Trinity Industries Inc. | 58,094 | 1,865 | ||||
* | Clean Harbors Inc. | 21,315 | 1,815 | |||
* | Dycom Industries Inc. | 21,923 | 1,679 | |||
Brink's Co. | 21,079 | 1,619 | ||||
Landstar System Inc. | 9,766 | 1,564 | ||||
Herman Miller Inc. | 40,519 | 1,554 | ||||
* | Fluor Corp. | 86,050 | 1,477 | |||
Healthcare Services Group Inc. | 51,148 | 1,455 | ||||
MSC Industrial Direct Co. Inc. Class A | 15,750 | 1,357 | ||||
EnerSys | 14,879 | 1,343 | ||||
KAR Auction Services Inc. | 88,561 | 1,232 | ||||
Terex Corp. | 29,408 | 1,211 | ||||
Werner Enterprises Inc. | 21,452 | 921 | ||||
119,867 | ||||||
Information Technology (9.7%) | ||||||
* | Arrow Electronics Inc. | 51,832 | 5,197 | |||
Jabil Inc. | 92,287 | 3,984 | ||||
* | Ciena Corp. | 66,771 | 3,483 | |||
* | Ceridian HCM Holding Inc. | 36,619 | 3,283 | |||
Alliance Data Systems Corp. | 32,718 | 3,157 | ||||
* | NCR Corp. | 88,546 | 3,078 |
Shares | Market Value• ($000) | |||||
KBR Inc. | 97,687 | 3,028 | ||||
* | Coherent Inc. | 11,080 | 2,681 | |||
* | WEX Inc. | 12,705 | 2,647 | |||
Avnet Inc. | 67,737 | 2,579 | ||||
SYNNEX Corp. | 28,257 | 2,519 | ||||
* | Viasat Inc. | 43,987 | 2,250 | |||
National Instruments Corp. | 49,464 | 2,196 | ||||
* | CACI International Inc. Class A | 9,849 | 2,180 | |||
Vishay Intertechnology Inc. | 90,916 | 2,170 | ||||
Science Applications International Corp. | 24,334 | 2,096 | ||||
CDK Global Inc. | 41,722 | 2,092 | ||||
Sabre Corp. | 139,600 | 2,051 | ||||
* | Silicon Laboratories Inc. | 12,351 | 1,924 | |||
* | Teradata Corp. | 47,203 | 1,893 | |||
* | Cirrus Logic Inc. | 22,636 | 1,851 | |||
* | Concentrix Corp. | 14,723 | 1,818 | |||
Perspecta Inc. | 58,307 | 1,703 | ||||
* | Synaptics Inc. | 12,295 | 1,648 | |||
* | NetScout Systems Inc. | 50,394 | 1,422 | |||
* | ACI Worldwide Inc. | 36,762 | 1,407 | |||
Belden Inc. | 30,681 | 1,356 | ||||
* | LiveRamp Holdings Inc. | 21,346 | 1,348 | |||
InterDigital Inc. | 21,192 | 1,343 | ||||
MAXIMUS Inc. | 15,983 | 1,299 | ||||
* | Blackbaud Inc. | 18,665 | 1,285 | |||
Amkor Technology Inc. | 51,147 | 1,222 | ||||
* | J2 Global Inc. | 10,850 | 1,208 | |||
* | CommVault Systems Inc. | 16,451 | 1,048 | |||
74,446 | ||||||
Materials (7.0%) | ||||||
Reliance Steel & Aluminum Co. | 43,747 | 5,783 | ||||
Steel Dynamics Inc. | 137,090 | 5,700 | ||||
Sonoco Products Co. | 68,955 | 4,108 | ||||
Olin Corp. | 97,401 | 3,014 | ||||
United States Steel Corp. | 179,821 | 2,987 | ||||
Avient Corp. | 62,702 | 2,710 | ||||
RPM International Inc. | 33,913 | 2,701 | ||||
AptarGroup Inc. | 17,324 | 2,253 | ||||
Commercial Metals Co. | 82,301 | 2,070 | ||||
Ashland Global Holdings Inc. | 23,923 | 2,012 | ||||
Royal Gold Inc. | 18,881 | 1,958 | ||||
Cabot Corp. | 38,811 | 1,911 | ||||
Minerals Technologies Inc. | 23,394 | 1,666 | ||||
Louisiana-Pacific Corp. | 33,857 | 1,612 | ||||
Chemours Co. | 62,192 | 1,463 | ||||
Domtar Corp. | 37,779 | 1,400 | ||||
Eagle Materials Inc. | 10,877 | 1,364 | ||||
Valvoline Inc. | 50,705 | 1,266 | ||||
* | O-I Glass Inc. | 107,578 | 1,256 | |||
NewMarket Corp. | 3,123 | 1,184 | ||||
Sensient Technologies Corp. | 15,075 | 1,174 | ||||
Silgan Holdings Inc. | 30,097 | 1,130 |
Shares | Market Value• ($000) | |||||
* | Ingevity Corp. | 14,410 | 1,001 | |||
Greif Inc. Class A | 18,098 | 874 | ||||
Compass Minerals International Inc. | 12,084 | 762 | ||||
Worthington Industries Inc. | 10,343 | 661 | ||||
54,020 | ||||||
Real Estate (13.1%) | ||||||
* | Jones Lang LaSalle Inc. | 35,184 | 6,121 | |||
Omega Healthcare Investors Inc. | 155,652 | 5,781 | ||||
National Retail Properties Inc. | 119,287 | 5,230 | ||||
Medical Properties Trust Inc. | 237,585 | 5,129 | ||||
Kilroy Realty Corp. | 71,882 | 4,562 | ||||
Apartment Income REIT Corp. | 102,181 | 4,177 | ||||
Brixmor Property Group Inc. | 203,576 | 4,006 | ||||
Douglas Emmett Inc. | 112,932 | 3,698 | ||||
Camden Property Trust | 35,435 | 3,691 | ||||
Park Hotels & Resorts Inc. | 161,499 | 3,513 | ||||
STORE Capital Corp. | 102,269 | 3,420 | ||||
Cousins Properties Inc. | 101,827 | 3,415 | ||||
Spirit Realty Capital Inc. | 78,470 | 3,376 | ||||
Highwoods Properties Inc. | 71,175 | 2,844 | ||||
Hudson Pacific Properties Inc. | 104,221 | 2,667 | ||||
Lamar Advertising Co. Class A | 29,610 | 2,564 | ||||
Sabra Health Care REIT Inc. | 142,223 | 2,449 | ||||
Physicians Realty Trust | 142,681 | 2,426 | ||||
JBG SMITH Properties | 76,238 | 2,421 | ||||
American Campus Communities Inc. | 57,700 | 2,363 | ||||
EPR Properties | 51,259 | 2,316 | ||||
Weingarten Realty Investors | 82,478 | 2,094 | ||||
Pebblebrook Hotel Trust | 89,974 | 2,039 | ||||
Life Storage Inc. | 23,972 | 2,011 | ||||
Corporate Office Properties Trust | 76,870 | 1,999 | ||||
First Industrial Realty Trust Inc. | 43,325 | 1,850 | ||||
Rayonier Inc. | 56,290 | 1,837 | ||||
Rexford Industrial Realty Inc. | 36,672 | 1,750 | ||||
Healthcare Realty Trust Inc. | 56,124 | 1,620 | ||||
EastGroup Properties Inc. | 11,421 | 1,554 | ||||
Service Properties Trust | 112,860 | 1,449 | ||||
PotlatchDeltic Corp. | 28,525 | 1,448 | ||||
CoreSite Realty Corp. | 10,590 | 1,289 |
Shares | Market Value• ($000) | |||||
Urban Edge Properties | 75,084 | 1,239 | ||||
PS Business Parks Inc. | 7,415 | 1,074 | ||||
1 | Macerich Co. | 77,046 | 995 | |||
100,417 | ||||||
Utilities (5.6%) | ||||||
UGI Corp. | 142,924 | 5,475 | ||||
OGE Energy Corp. | 137,134 | 4,014 | ||||
MDU Resources Group Inc. | 137,625 | 3,867 | ||||
Essential Utilities Inc. | 76,602 | 3,222 | ||||
IDACORP Inc. | 34,588 | 2,983 | ||||
National Fuel Gas Co. | 62,501 | 2,840 | ||||
Hawaiian Electric Industries Inc. | 74,993 | 2,622 | ||||
New Jersey Resources Corp. | 65,875 | 2,588 | ||||
Black Hills Corp. | 43,005 | 2,544 | ||||
ONE Gas Inc. | 36,468 | 2,442 | ||||
Southwest Gas Holdings Inc. | 38,939 | 2,428 | ||||
Spire Inc. | 35,359 | 2,349 | ||||
ALLETE Inc. | 35,636 | 2,214 | ||||
NorthWestern Corp. | 34,652 | 2,027 | ||||
PNM Resources Inc. | 33,406 | 1,604 | ||||
43,219 | ||||||
Total Common Stocks (Cost $671,396) | 763,338 | |||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.099% (Cost $4,523) | 45,233 | 4,523 | |||
Total Investments (100.0%) (Cost $675,919) | 767,861 | |||||
Other Assets and Liabilities—Net (0.0%) | 197 | |||||
Net Assets (100%) | 768,058 |
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 $885,000. |
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 $959,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2021 | 8 | 1,996 | (14) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Harley-Davidson Inc. | 9/2/21 | BOANA | 2,806 | (0.120) | — | (310) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $671,396) | 763,338 |
Affiliated Issuers (Cost $4,523) | 4,523 |
Total Investments in Securities | 767,861 |
Investment in Vanguard | 26 |
Cash Collateral Pledged—Futures Contracts | 113 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 570 |
Receivables for Investment Securities Sold | 69 |
Receivables for Accrued Income | 784 |
Receivables for Capital Shares Issued | 1 |
Total Assets | 769,424 |
Liabilities | |
Due to Custodian | 34 |
Collateral for Securities on Loan | 959 |
Payables for Capital Shares Redeemed | 13 |
Payables to Vanguard | 48 |
Variation Margin Payable—Futures Contracts | 2 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 310 |
Total Liabilities | 1,366 |
Net Assets | 768,058 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 806,194 |
Total Distributable Earnings (Loss) | (38,136) |
Net Assets | 768,058 |
ETF Shares—Net Assets | |
Applicable to 4,125,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 601,519 |
Net Asset Value Per Share—ETF Shares | $145.82 |
Institutional Shares—Net Assets | |
Applicable to 569,672 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 166,539 |
Net Asset Value Per Share—Institutional Shares | $292.34 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,003 |
Interest1 | 2 |
Securities Lending—Net | 39 |
Total Income | 6,044 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 50 |
Management and Administrative—ETF Shares | 325 |
Management and Administrative—Institutional Shares | 43 |
Marketing and Distribution—ETF Shares | 12 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 11 |
Shareholders’ Reports—ETF Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 444 |
Net Investment Income | 5,600 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 10,882 |
Futures Contracts | 191 |
Swap Contracts | 1,014 |
Realized Net Gain (Loss) | 12,087 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 187,070 |
Futures Contracts | (20) |
Swap Contracts | (310) |
Change in Unrealized Appreciation (Depreciation) | 186,740 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 204,427 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, $3,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $31,912,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 5,600 | 16,839 | |
Realized Net Gain (Loss) | 12,087 | 17,712 | |
Change in Unrealized Appreciation (Depreciation) | 186,740 | (107,563) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 204,427 | (73,012) | |
Distributions | |||
ETF Shares | (12,813) | (13,478) | |
Institutional Shares | (3,807) | (3,799) | |
Total Distributions | (16,620) | (17,277) | |
Capital Share Transactions | |||
ETF Shares | (44,242) | (104,441) | |
Institutional Shares | (36,596) | (15,104) | |
Net Increase (Decrease) from Capital Share Transactions | (80,838) | (119,545) | |
Total Increase (Decrease) | 106,969 | (209,834) | |
Net Assets | |||
Beginning of Period | 661,089 | 870,923 | |
End of Period | 768,058 | 661,089 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $109.60 | $117.53 | $130.06 | $112.31 | $101.70 | $91.40 |
Investment Operations | ||||||
Net Investment Income1 | 1.034 | 2.423 | 2.061 | 2.090 | 1.767 | 1.891 |
Net Realized and Unrealized Gain (Loss) on Investments | 38.369 | (8.078) | (12.629) | 17.548 | 10.344 | 9.880 |
Total from Investment Operations | 39.403 | (5.655) | (10.568) | 19.638 | 12.111 | 11.771 |
Distributions | ||||||
Dividends from Net Investment Income | (3.183) | (2.275) | (1.962) | (1.888) | (1.501) | (1.471) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.183) | (2.275) | (1.962) | (1.888) | (1.501) | (1.471) |
Net Asset Value, End of Period | $145.82 | $109.60 | $117.53 | $130.06 | $112.31 | $101.70 |
Total Return | 36.31% | -5.10% | -8.04% | 17.60% | 11.91% | 13.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $602 | $501 | $685 | $735 | $632 | $460 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.84% | 2.13% | 1.72% | 1.72% | 1.61% | 1.97% |
Portfolio Turnover Rate2 | 34% | 51% | 38% | 36% | 39% | 26% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $219.78 | $235.62 | $260.90 | $225.05 | $203.65 | $182.92 |
Investment Operations | ||||||
Net Investment Income1 | 2.173 | 5.011 | 4.332 | 4.454 | 3.866 | 3.774 |
Net Realized and Unrealized Gain (Loss) on Investments | 76.920 | (16.157) | (25.380) | 35.198 | 20.656 | 20.020 |
Total from Investment Operations | 79.093 | (11.146) | (21.048) | 39.652 | 24.522 | 23.794 |
Distributions | ||||||
Dividends from Net Investment Income | (6.533) | (4.694) | (4.232) | (3.802) | (3.122) | (3.064) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (6.533) | (4.694) | (4.232) | (3.802) | (3.122) | (3.064) |
Net Asset Value, End of Period | $292.34 | $219.78 | $235.62 | $260.90 | $225.05 | $203.65 |
Total Return | 36.36% | -5.01% | -7.99% | 17.75% | 12.05% | 13.25% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $167 | $160 | $186 | $235 | $159 | $147 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.92% | 2.21% | 1.79% | 1.84% | 1.73% | 2.09% |
Portfolio Turnover Rate2 | 34% | 51% | 38% | 36% | 39% | 26% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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 | 763,338 | — | — | 763,338 |
Temporary Cash Investments | 4,523 | — | — | 4,523 |
Total | 767,861 | — | — | 767,861 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 14 | — | — | 14 |
Swap Contracts | — | 310 | — | 310 |
Total | 14 | 310 | — | 324 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 678,342 |
Gross Unrealized Appreciation | 121,655 |
Gross Unrealized Depreciation | (32,460) |
Net Unrealized Appreciation (Depreciation) | 89,195 |
E. | During the six months ended February 28, 2021, the fund purchased $313,925,000 of investment securities and sold $401,204,000 of investment securities, other than temporary cash investments. Purchases and sales include $93,804,000 and $160,112,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 116,330 | 900 | 354,917 | 2,800 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (160,572) | (1,350) | (459,358) | (4,050) | |
Net Increase (Decrease)—ETF Shares | (44,242) | (450) | (104,441) | (1,250) | |
Institutional Shares | |||||
Issued | 11,402 | 46 | 21,310 | 91 | |
Issued in Lieu of Cash Distributions | 3,181 | 12 | 2,932 | 11 | |
Redeemed | (51,179) | (214) | (39,346) | (167) | |
Net Increase (Decrease)—Institutional Shares | (36,596) | (156) | (15,104) | (65) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Communication Services | 2.5% |
Consumer Discretionary | 16.7 |
Consumer Staples | 3.1 |
Energy | 1.2 |
Financials | 8.3 |
Health Care | 18.2 |
Industrials | 20.3 |
Information Technology | 19.9 |
Materials | 4.7 |
Real Estate | 4.5 |
Utilities | 0.6 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (2.5%) | ||||||
Cable One Inc. | 5,439 | 10,415 | ||||
New York Times Co. Class A | 145,242 | 7,432 | ||||
* | Iridium Communications Inc. | 71,768 | 2,750 | |||
* | TripAdvisor Inc. | 35,729 | 1,773 | |||
TEGNA Inc. | 88,052 | 1,605 | ||||
World Wrestling Entertainment Inc. Class A | 27,211 | 1,344 | ||||
* | Yelp Inc. Class A | 35,642 | 1,344 | |||
26,663 | ||||||
Consumer Discretionary (16.7%) | ||||||
* | Caesars Entertainment Inc. | 121,179 | 11,323 | |||
* | Five Below Inc. | 56,047 | 10,431 | |||
* | Penn National Gaming Inc. | 88,813 | 10,283 | |||
Williams-Sonoma Inc. | 76,829 | 10,087 | ||||
Lithia Motors Inc. Class A | 26,206 | 9,800 | ||||
* | Deckers Outdoor Corp. | 28,171 | 9,187 | |||
Churchill Downs Inc. | 35,619 | 8,215 | ||||
* | RH | 15,660 | 7,679 | |||
* | Mattel Inc. | 349,135 | 7,052 | |||
Tempur Sealy International Inc. | 192,514 | 6,432 | ||||
* | TopBuild Corp. | 33,128 | 6,308 | |||
* | Grubhub Inc. | 93,042 | 5,961 | |||
Texas Roadhouse Inc. Class A | 65,515 | 5,954 | ||||
* | Helen of Troy Ltd. | 25,433 | 5,514 | |||
* | Fox Factory Holding Corp. | 41,845 | 5,321 | |||
* | YETI Holdings Inc. | 75,125 | 5,166 | |||
Gentex Corp. | 142,564 | 5,044 | ||||
Service Corp. International | 103,968 | 4,965 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 57,051 | 4,717 | |||
Wingstop Inc. | 29,774 | 4,054 | ||||
Brunswick Corp. | 43,223 | 3,820 | ||||
Wendy's Co. | 179,810 | 3,673 | ||||
Wyndham Hotels & Resorts Inc. | 50,458 | 3,294 | ||||
Polaris Inc. | 27,343 | 3,220 | ||||
Papa John's International Inc. | 33,052 | 2,981 | ||||
Toll Brothers Inc. | 50,679 | 2,707 | ||||
* | Boyd Gaming Corp. | 43,501 | 2,553 |
Shares | Market Value• ($000) | |||||
Jack in the Box Inc. | 22,795 | 2,333 | ||||
Travel + Leisure Co. | 33,604 | 2,031 | ||||
* | Grand Canyon Education Inc. | 17,401 | 1,822 | |||
* | Visteon Corp. | 13,413 | 1,706 | |||
Choice Hotels International Inc. | 15,347 | 1,609 | ||||
* | Scientific Games Corp. | 32,713 | 1,532 | |||
Columbia Sportswear Co. | 12,851 | 1,325 | ||||
Six Flags Entertainment Corp. | 28,767 | 1,283 | ||||
* | WW International Inc. | 18,324 | 540 | |||
179,922 | ||||||
Consumer Staples (3.1%) | ||||||
* | Darling Ingredients Inc. | 162,571 | 10,248 | |||
* | Boston Beer Co. Inc. Class A | 9,169 | 9,432 | |||
Casey's General Stores Inc. | 14,075 | 2,843 | ||||
* | Hain Celestial Group Inc. | 51,330 | 2,165 | |||
Lancaster Colony Corp. | 11,378 | 1,987 | ||||
* | Grocery Outlet Holding Corp. | 53,307 | 1,919 | |||
Flowers Foods Inc. | 77,040 | 1,676 | ||||
Nu Skin Enterprises Inc. Class A | 28,192 | 1,443 | ||||
Energizer Holdings Inc. | 27,399 | 1,145 | ||||
Tootsie Roll Industries Inc. | 7,162 | 221 | ||||
33,079 | ||||||
Energy (1.2%) | ||||||
Cimarex Energy Co. | 49,076 | 2,846 | ||||
* | CNX Resources Corp. | 225,195 | 2,840 | |||
Antero Midstream Corp. | 286,816 | 2,530 | ||||
* | EQT Corp. | 105,106 | 1,870 | |||
* | ChampionX Corp. | 76,510 | 1,627 | |||
Equitrans Midstream Corp. | 183,776 | 1,328 | ||||
13,041 | ||||||
Financials (8.3%) | ||||||
FactSet Research Systems Inc. | 38,111 | 11,582 | ||||
Brown & Brown Inc. | 236,515 | 10,856 | ||||
SLM Corp. | 376,414 | 5,944 | ||||
Interactive Brokers Group Inc. Class A | 81,033 | 5,866 | ||||
Primerica Inc. | 39,425 | 5,568 | ||||
RenaissanceRe Holdings Ltd. | 29,051 | 4,851 | ||||
Signature Bank | 20,035 | 4,375 |
Shares | Market Value• ($000) | |||||
First Financial Bankshares Inc. | 91,231 | 4,074 | ||||
Kinsale Capital Group Inc. | 21,382 | 3,765 | ||||
Commerce Bancshares Inc. | 50,752 | 3,757 | ||||
* | Brighthouse Financial Inc. | 89,755 | 3,580 | |||
SEI Investments Co. | 61,385 | 3,438 | ||||
Evercore Inc. Class A | 25,675 | 3,075 | ||||
* | LendingTree Inc. | 10,925 | 2,938 | |||
Stifel Financial Corp. | 43,392 | 2,650 | ||||
Glacier Bancorp Inc. | 47,845 | 2,593 | ||||
RLI Corp. | 23,464 | 2,448 | ||||
Essent Group Ltd. | 56,386 | 2,325 | ||||
Umpqua Holdings Corp. | 95,051 | 1,623 | ||||
PROG Holdings Inc. | 31,204 | 1,560 | ||||
PacWest Bancorp | 32,765 | 1,187 | ||||
Federated Hermes Inc. Class B | 38,778 | 1,036 | ||||
89,091 | ||||||
Health Care (18.2%) | ||||||
* | Charles River Laboratories International Inc. | 49,901 | 14,279 | |||
Bio-Techne Corp. | 38,731 | 14,009 | ||||
* | Masimo Corp. | 50,810 | 12,740 | |||
* | Repligen Corp. | 50,490 | 10,724 | |||
* | Penumbra Inc. | 33,875 | 9,635 | |||
* | PRA Health Sciences Inc. | 64,351 | 9,486 | |||
* | Jazz Pharmaceuticals plc | 55,886 | 9,391 | |||
* | Amedisys Inc. | 32,915 | 8,348 | |||
* | Arrowhead Pharmaceuticals Inc. | 103,079 | 8,211 | |||
Chemed Corp. | 16,002 | 7,124 | ||||
* | Molina Healthcare Inc. | 32,122 | 6,963 | |||
* | HealthEquity Inc. | 82,118 | 6,762 | |||
* | Exelixis Inc. | 311,201 | 6,741 | |||
* | Quidel Corp. | 38,402 | 6,308 | |||
* | Syneos Health Inc. | 76,153 | 5,890 | |||
* | Halozyme Therapeutics Inc. | 127,468 | 5,768 | |||
* | LHC Group Inc. | 31,692 | 5,759 | |||
* | STAAR Surgical Co. | 46,254 | 4,811 | |||
* | Globus Medical Inc. Class A | 76,479 | 4,780 | |||
Encompass Health Corp. | 55,853 | 4,493 | ||||
* | Medpace Holdings Inc. | 27,631 | 4,488 | |||
* | Emergent BioSolutions Inc. | 45,189 | 4,338 | |||
* | Haemonetics Corp. | 28,014 | 3,544 | |||
* | United Therapeutics Corp. | 18,721 | 3,130 | |||
Hill-Rom Holdings Inc. | 28,147 | 3,002 | ||||
* | Neogen Corp. | 31,922 | 2,615 | |||
* | Integra LifeSciences Holdings Corp. | 35,502 | 2,426 | |||
* | Avanos Medical Inc. | 47,989 | 2,206 | |||
* | ICU Medical Inc. | 9,984 | 2,072 | |||
* | Acadia Healthcare Co. Inc. | 33,947 | 1,875 | |||
* | Nektar Therapeutics Class A | 68,460 | 1,553 | |||
* | Cantel Medical Corp. | 18,133 | 1,347 | |||
* | Ligand Pharmaceuticals Inc. | 8,399 | 1,245 | |||
196,063 |
Shares | Market Value• ($000) | |||||
Industrials (20.2%) | ||||||
* | Generac Holdings Inc. | 63,039 | 20,775 | |||
Graco Inc. | 168,079 | 11,656 | ||||
Toro Co. | 107,640 | 10,847 | ||||
* | Trex Co. Inc. | 116,153 | 10,644 | |||
* | Axon Enterprise Inc. | 63,749 | 10,550 | |||
* | Sunrun Inc. | 156,539 | 9,796 | |||
* | IAA Inc. | 134,884 | 7,908 | |||
Tetra Tech Inc. | 53,943 | 7,464 | ||||
Lincoln Electric Holdings Inc. | 59,658 | 7,046 | ||||
CoreLogic Inc. | 78,026 | 6,606 | ||||
Nordson Corp. | 34,110 | 6,563 | ||||
MSA Safety Inc. | 36,339 | 5,850 | ||||
Hubbell Inc. Class B | 32,642 | 5,794 | ||||
Lennox International Inc. | 20,622 | 5,770 | ||||
* | XPO Logistics Inc. | 47,683 | 5,560 | |||
Knight-Swift Transportation Holdings Inc. Class A | 126,069 | 5,446 | ||||
Timken Co. | 68,030 | 5,330 | ||||
* | Middleby Corp. | 34,029 | 4,982 | |||
Watsco Inc. | 20,414 | 4,963 | ||||
* | ASGN Inc. | 53,065 | 4,934 | |||
Carlisle Cos. Inc. | 31,051 | 4,510 | ||||
* | Builders FirstSource Inc. | 100,828 | 4,362 | |||
Simpson Manufacturing Co. Inc. | 43,554 | 4,245 | ||||
* | FTI Consulting Inc. | 35,772 | 4,098 | |||
Landstar System Inc. | 24,259 | 3,885 | ||||
Donaldson Co. Inc. | 63,322 | 3,730 | ||||
* | Mercury Systems Inc. | 56,172 | 3,671 | |||
Woodward Inc. | 30,457 | 3,479 | ||||
AGCO Corp. | 25,876 | 3,350 | ||||
ITT Inc. | 38,998 | 3,236 | ||||
Insperity Inc. | 35,775 | 3,173 | ||||
Regal Beloit Corp. | 20,360 | 2,783 | ||||
* | Stericycle Inc. | 35,815 | 2,323 | |||
Valmont Industries Inc. | 8,743 | 2,068 | ||||
MSC Industrial Direct Co. Inc. Class A | 22,961 | 1,978 | ||||
EnerSys | 20,938 | 1,890 | ||||
Curtiss-Wright Corp. | 15,414 | 1,703 | ||||
* | Clean Harbors Inc. | 19,898 | 1,694 | |||
Brink's Co. | 18,867 | 1,450 | ||||
Werner Enterprises Inc. | 26,724 | 1,147 | ||||
Terex Corp. | 26,382 | 1,087 | ||||
218,346 | ||||||
Information Technology (19.8%) | ||||||
* | SolarEdge Technologies Inc. | 51,372 | 15,325 | |||
Cognex Corp. | 175,182 | 14,468 | ||||
* | PTC Inc. | 105,324 | 14,423 | |||
* | Fair Isaac Corp. | 29,188 | 13,355 | |||
* | Cree Inc. | 110,687 | 12,559 | |||
MKS Instruments Inc. | 55,309 | 9,120 | ||||
Universal Display Corp. | 42,999 | 9,102 | ||||
* | II-VI Inc. | 104,051 | 8,772 |
Shares | Market Value• ($000) | |||||
* | Manhattan Associates Inc. | 63,723 | 7,835 | |||
* | Paylocity Holding Corp. | 37,545 | 7,178 | |||
* | Ceridian HCM Holding Inc. | 76,977 | 6,902 | |||
* | First Solar Inc. | 85,046 | 6,890 | |||
* | Lumentum Holdings Inc. | 75,732 | 6,816 | |||
Littelfuse Inc. | 24,450 | 6,362 | ||||
Brooks Automation Inc. | 74,061 | 6,159 | ||||
* | WEX Inc. | 25,673 | 5,349 | |||
* | Sailpoint Technologies Holdings Inc. | 91,194 | 5,142 | |||
CMC Materials Inc. | 29,171 | 4,974 | ||||
* | Semtech Corp. | 65,205 | 4,780 | |||
* | Silicon Laboratories Inc. | 25,937 | 4,039 | |||
* | Qualys Inc. | 33,656 | 3,270 | |||
MAXIMUS Inc. | 38,214 | 3,106 | ||||
CDK Global Inc. | 61,024 | 3,060 | ||||
* | J2 Global Inc. | 27,081 | 3,016 | |||
* | Ciena Corp. | 57,265 | 2,988 | |||
National Instruments Corp. | 59,236 | 2,630 | ||||
* | Concentrix Corp. | 19,837 | 2,450 | |||
* | ACI Worldwide Inc. | 63,247 | 2,420 | |||
* | CACI International Inc. Class A | 10,877 | 2,408 | |||
* | Synaptics Inc. | 16,622 | 2,228 | |||
* | LiveRamp Holdings Inc. | 35,261 | 2,227 | |||
* | Cirrus Logic Inc. | 25,009 | 2,045 | |||
* | Coherent Inc. | 8,338 | 2,017 | |||
Science Applications International Corp. | 22,787 | 1,963 | ||||
Sabre Corp. | 114,689 | 1,685 | ||||
* | Teradata Corp. | 40,603 | 1,628 | |||
* | Blackbaud Inc. | 22,399 | 1,541 | |||
Perspecta Inc. | 52,216 | 1,525 | ||||
* | CommVault Systems Inc. | 23,194 | 1,478 | |||
Amkor Technology Inc. | 32,124 | 767 | ||||
214,002 | ||||||
Materials (4.7%) | ||||||
Scotts Miracle-Gro Co. | 40,817 | 8,700 | ||||
RPM International Inc. | 80,809 | 6,436 | ||||
Cleveland-Cliffs Inc. | 460,663 | 6,145 | ||||
AptarGroup Inc. | 39,602 | 5,151 | ||||
Royal Gold Inc. | 38,167 | 3,958 | ||||
Eagle Materials Inc. | 26,006 | 3,261 | ||||
Louisiana-Pacific Corp. | 60,301 | 2,871 | ||||
Valvoline Inc. | 111,486 | 2,783 | ||||
Chemours Co. | 74,305 | 1,748 | ||||
Ashland Global Holdings Inc. | 19,705 | 1,657 | ||||
Sensient Technologies Corp. | 20,414 | 1,589 | ||||
* | Ingevity Corp. | 20,318 | 1,412 | |||
Worthington Industries Inc. | 20,908 | 1,336 |
Shares | Market Value• ($000) | |||||
Silgan Holdings Inc. | 34,710 | 1,304 | ||||
NewMarket Corp. | 2,783 | 1,055 | ||||
Compass Minerals International Inc. | 16,330 | 1,030 | ||||
50,436 | ||||||
Real Estate (4.5%) | ||||||
CyrusOne Inc. | 120,799 | 7,928 | ||||
Medical Properties Trust Inc. | 222,186 | 4,797 | ||||
Camden Property Trust | 45,914 | 4,782 | ||||
Lamar Advertising Co. Class A | 43,346 | 3,753 | ||||
Rexford Industrial Realty Inc. | 77,246 | 3,686 | ||||
CoreSite Realty Corp. | 27,456 | 3,342 | ||||
Life Storage Inc. | 38,021 | 3,190 | ||||
EastGroup Properties Inc. | 23,013 | 3,132 | ||||
STORE Capital Corp. | 87,702 | 2,933 | ||||
First Industrial Realty Trust Inc. | 66,014 | 2,819 | ||||
American Campus Communities Inc. | 53,849 | 2,206 | ||||
Rayonier Inc. | 54,811 | 1,789 | ||||
Healthcare Realty Trust Inc. | 54,642 | 1,577 | ||||
PS Business Parks Inc. | 9,273 | 1,343 | ||||
PotlatchDeltic Corp. | 25,436 | 1,291 | ||||
48,568 | ||||||
Utilities (0.6%) | ||||||
Essential Utilities Inc. | 111,928 | 4,708 | ||||
PNM Resources Inc. | 31,201 | 1,498 | ||||
6,206 | ||||||
Total Common Stocks (Cost $825,000) | 1,075,417 | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.099% (Cost $1,581) | 15,807 | 1,581 | |||
Total Investments (100.0%) (Cost $826,581) | 1,076,998 | |||||
Other Assets and Liabilities—Net (0.0%) | 484 | |||||
Net Assets (100%) | 1,077,482 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | March 2021 | 7 | 1,746 | 1 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $825,000) | 1,075,417 |
Affiliated Issuers (Cost $1,581) | 1,581 |
Total Investments in Securities | 1,076,998 |
Investment in Vanguard | 40 |
Cash Collateral Pledged—Futures Contracts | 99 |
Receivables for Investment Securities Sold | 8,352 |
Receivables for Accrued Income | 501 |
Receivables for Capital Shares Issued | 10 |
Total Assets | 1,086,000 |
Liabilities | |
Payables for Investment Securities Purchased | 8,444 |
Payables for Capital Shares Redeemed | 2 |
Payables to Vanguard | 71 |
Variation Margin Payable—Futures Contracts | 1 |
Total Liabilities | 8,518 |
Net Assets | 1,077,482 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 937,258 |
Total Distributable Earnings (Loss) | 140,224 |
Net Assets | 1,077,482 |
ETF Shares—Net Assets | |
Applicable to 4,625,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 876,639 |
Net Asset Value Per Share—ETF Shares | $189.54 |
Institutional Shares—Net Assets | |
Applicable to 531,729 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 200,843 |
Net Asset Value Per Share—Institutional Shares | $377.72 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,689 |
Interest1 | 1 |
Securities Lending—Net | 7 |
Total Income | 3,697 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 75 |
Management and Administrative—ETF Shares | 503 |
Management and Administrative—Institutional Shares | 60 |
Marketing and Distribution—ETF Shares | 18 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 11 |
Shareholders’ Reports—ETF Shares | 2 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 672 |
Net Investment Income | 3,025 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 79,020 |
Futures Contracts | 388 |
Realized Net Gain (Loss) | 79,408 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 135,588 |
Futures Contracts | (23) |
Change in Unrealized Appreciation (Depreciation) | 135,565 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 217,998 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $92,813,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 3,025 | 9,073 | |
Realized Net Gain (Loss) | 79,408 | 46,572 | |
Change in Unrealized Appreciation (Depreciation) | 135,565 | 41,964 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 217,998 | 97,609 | |
Distributions | |||
ETF Shares | (6,040) | (9,255) | |
Institutional Shares | (1,545) | (2,652) | |
Total Distributions | (7,585) | (11,907) | |
Capital Share Transactions | |||
ETF Shares | (67,028) | (25,872) | |
Institutional Shares | (53,207) | (13,744) | |
Net Increase (Decrease) from Capital Share Transactions | (120,235) | (39,616) | |
Total Increase (Decrease) | 90,178 | 46,086 | |
Net Assets | |||
Beginning of Period | 987,304 | 941,218 | |
End of Period | 1,077,482 | 987,304 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $152.52 | $137.70 | $146.46 | $121.33 | $109.76 | $99.88 |
Investment Operations | ||||||
Net Investment Income | .5031 | 1.3591 | 1.5191 | 1.2681 | 1.1521 | .954 |
Net Realized and Unrealized Gain (Loss) on Investments | 37.837 | 15.183 | (9.084) | 25.098 | 11.576 | 9.960 |
Total from Investment Operations | 38.340 | 16.542 | (7.565) | 26.366 | 12.728 | 10.914 |
Distributions | ||||||
Dividends from Net Investment Income | (1.320) | (1.722) | (1.195) | (1.236) | (1.158) | (1.034) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.320) | (1.722) | (1.195) | (1.236) | (1.158) | (1.034) |
Net Asset Value, End of Period | $189.54 | $152.52 | $137.70 | $146.46 | $121.33 | $109.76 |
Total Return | 25.19% | 12.08% | -5.08% | 21.83% | 11.67% | 11.04% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $877 | $774 | $737 | $831 | $686 | $513 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.70% | 0.98% | 1.13% | 0.94% | 0.99% | 1.08% |
Portfolio Turnover Rate2 | 32% | 49% | 40% | 43% | 40% | 38% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $303.97 | $274.38 | $292.07 | $241.68 | $218.61 | $198.85 |
Investment Operations | ||||||
Net Investment Income | 1.1221 | 2.9251 | 3.2421 | 2.8941 | 2.6041 | 2.094 |
Net Realized and Unrealized Gain (Loss) on Investments | 75.428 | 30.247 | (18.167) | 49.971 | 23.011 | 19.906 |
Total from Investment Operations | 76.550 | 33.172 | (14.925) | 52.865 | 25.615 | 22.000 |
Distributions | ||||||
Dividends from Net Investment Income | (2.800) | (3.582) | (2.765) | (2.475) | (2.545) | (2.240) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.800) | (3.582) | (2.765) | (2.475) | (2.545) | (2.240) |
Net Asset Value, End of Period | $377.72 | $303.97 | $274.38 | $292.07 | $241.68 | $218.61 |
Total Return | 25.25% | 12.17% | -5.02% | 21.97% | 11.80% | 11.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $201 | $213 | $205 | $271 | $320 | $170 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.77% | 1.06% | 1.20% | 1.06% | 1.11% | 1.20% |
Portfolio Turnover Rate2 | 32% | 49% | 40% | 43% | 40% | 38% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 827,118 |
Gross Unrealized Appreciation | 268,419 |
Gross Unrealized Depreciation | (18,538) |
Net Unrealized Appreciation (Depreciation) | 249,881 |
E. | During the six months ended February 28, 2021, the fund purchased $466,673,000 of investment securities and sold $590,719,000 of investment securities, other than temporary cash investments. Purchases and sales include $143,445,000 and $274,285,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 214,936 | 1,300 | 279,461 | 1,975 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (281,964) | (1,750) | (305,333) | (2,250) | |
Net Increase (Decrease)—ETF Shares | (67,028) | (450) | (25,872) | (275) |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 6,715 | 19 | 20,460 | 79 | |
Issued in Lieu of Cash Distributions | 1,545 | 4 | 2,444 | 9 | |
Redeemed | (61,467) | (193) | (36,648) | (131) | |
Net Increase (Decrease)—Institutional Shares | (53,207) | (170) | (13,744) | (43) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749;
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Vanguard Marketing Corporation, Distributor.
Index Funds
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
• | 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 February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,164.30 | $0.54 |
Institutional Shares | 1,000.00 | 1,164.40 | 0.43 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,049.20 | $0.51 |
Institutional Shares | 1,000.00 | 1,049.30 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Communication Services | 7.2% |
Consumer Discretionary | 7.7 |
Consumer Staples | 8.7 |
Energy | 5.9 |
Financials | 20.5 |
Health Care | 14.5 |
Industrials | 11.6 |
Information Technology | 11.7 |
Materials | 3.5 |
Real Estate | 4.0 |
Utilities | 4.7 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.6%) | ||||||
Communication Services (7.2%) | ||||||
* | Walt Disney Co. | 224,841 | 42,504 | |||
Verizon Communications Inc. | 513,953 | 28,422 | ||||
AT&T Inc. | 884,968 | 24,682 | ||||
Comcast Corp. Class A | 317,521 | 16,740 | ||||
ViacomCBS Inc. Class B | 70,132 | 4,523 | ||||
Activision Blizzard Inc. | 39,353 | 3,762 | ||||
* | T-Mobile US Inc. | 22,480 | 2,697 | |||
Electronic Arts Inc. | 16,575 | 2,220 | ||||
Omnicom Group Inc. | 26,724 | 1,837 | ||||
* | Discovery Inc. Class C | 36,553 | 1,645 | |||
* | Live Nation Entertainment Inc. | 17,787 | 1,580 | |||
Lumen Technologies Inc. | 122,552 | 1,506 | ||||
Fox Corp. Class A | 42,101 | 1,402 | ||||
Interpublic Group of Cos. Inc. | 48,436 | 1,265 | ||||
News Corp. Class A | 49,243 | 1,155 | ||||
* | Discovery Inc. Class A | 19,990 | 1,060 | |||
* | DISH Network Corp. Class A | 30,770 | 970 | |||
Fox Corp. Class B | 19,053 | 608 | ||||
News Corp. Class B | 14,521 | 333 | ||||
138,911 | ||||||
Consumer Discretionary (7.6%) | ||||||
McDonald's Corp. | 55,506 | 11,442 | ||||
TJX Cos. Inc. | 149,097 | 9,839 | ||||
Home Depot Inc. | 37,436 | 9,671 | ||||
General Motors Co. | 156,412 | 8,029 | ||||
NIKE Inc. Class B | 56,100 | 7,561 | ||||
* | Booking Holdings Inc. | 3,148 | 7,330 | |||
Starbucks Corp. | 61,226 | 6,614 | ||||
* | Ford Motor Co. | 485,353 | 5,679 | |||
Ross Stores Inc. | 44,216 | 5,157 | ||||
* | Marriott International Inc. Class A | 33,053 | 4,894 | |||
Lowe's Cos. Inc. | 26,388 | 4,216 | ||||
Target Corp. | 21,164 | 3,882 | ||||
VF Corp. | 39,709 | 3,142 | ||||
* | Dollar Tree Inc. | 29,196 | 2,867 | |||
Lennar Corp. Class A | 33,858 | 2,809 |
Shares | Market Value• ($000) | |||||
* | Hilton Worldwide Holdings Inc. | 21,713 | 2,686 | |||
* | Carnival Corp. | 99,077 | 2,650 | |||
Las Vegas Sands Corp. | 40,812 | 2,555 | ||||
* | CarMax Inc. | 20,369 | 2,434 | |||
Darden Restaurants Inc. | 16,173 | 2,221 | ||||
Yum! Brands Inc. | 21,362 | 2,212 | ||||
Royal Caribbean Cruises Ltd. | 23,156 | 2,160 | ||||
MGM Resorts International | 50,877 | 1,923 | ||||
* | NVR Inc. | 421 | 1,895 | |||
Genuine Parts Co. | 17,927 | 1,889 | ||||
Expedia Group Inc. | 10,786 | 1,737 | ||||
* | Wynn Resorts Ltd. | 12,916 | 1,701 | |||
* | Aptiv plc | 11,061 | 1,657 | |||
Hasbro Inc. | 15,811 | 1,482 | ||||
Whirlpool Corp. | 7,780 | 1,479 | ||||
* | AutoZone Inc. | 1,265 | 1,467 | |||
Tapestry Inc. | 34,481 | 1,453 | ||||
Best Buy Co. Inc. | 14,299 | 1,435 | ||||
* | LKQ Corp. | 34,833 | 1,372 | |||
BorgWarner Inc. | 30,357 | 1,366 | ||||
Advance Auto Parts Inc. | 8,412 | 1,349 | ||||
* | Mohawk Industries Inc. | 7,418 | 1,298 | |||
* | O'Reilly Automotive Inc. | 2,881 | 1,289 | |||
DR Horton Inc. | 16,511 | 1,269 | ||||
* | Norwegian Cruise Line Holdings Ltd. | 39,285 | 1,161 | |||
* | Ulta Beauty Inc. | 3,435 | 1,107 | |||
Newell Brands Inc. | 46,933 | 1,087 | ||||
Garmin Ltd. | 8,172 | 1,014 | ||||
PVH Corp. | 8,817 | 881 | ||||
Hanesbrands Inc. | 43,234 | 765 | ||||
PulteGroup Inc. | 16,294 | 735 | ||||
Leggett & Platt Inc. | 16,461 | 712 | ||||
Ralph Lauren Corp. Class A | 5,981 | 700 | ||||
* | L Brands Inc. | 12,715 | 695 | |||
* | Gap Inc. | 25,563 | 638 | |||
* | Under Armour Inc. Class A | 23,575 | 516 | |||
* | Under Armour Inc. Class C | 24,003 | 437 | |||
Lennar Corp. Class B | 362 | 24 | ||||
146,583 |
Shares | Market Value• ($000) | |||||
Consumer Staples (8.7%) | ||||||
Procter & Gamble Co. | 160,150 | 19,783 | ||||
Walmart Inc. | 142,184 | 18,473 | ||||
Philip Morris International Inc. | 193,398 | 16,249 | ||||
Coca-Cola Co. | 312,204 | 15,295 | ||||
PepsiCo Inc. | 99,552 | 12,861 | ||||
Altria Group Inc. | 230,767 | 10,061 | ||||
Mondelez International Inc. Class A | 177,611 | 9,442 | ||||
Costco Wholesale Corp. | 25,747 | 8,522 | ||||
Sysco Corp. | 63,273 | 5,038 | ||||
Constellation Brands Inc. Class A | 21,049 | 4,507 | ||||
Walgreens Boots Alliance Inc. | 89,288 | 4,280 | ||||
General Mills Inc. | 75,959 | 4,179 | ||||
Archer-Daniels-Midland Co. | 69,061 | 3,907 | ||||
Colgate-Palmolive Co. | 51,131 | 3,845 | ||||
Estee Lauder Cos. Inc. Class A | 12,380 | 3,539 | ||||
Kimberly-Clark Corp. | 26,179 | 3,360 | ||||
Kroger Co. | 96,122 | 3,096 | ||||
Kraft Heinz Co. | 80,461 | 2,927 | ||||
Tyson Foods Inc. Class A | 36,522 | 2,471 | ||||
Conagra Brands Inc. | 60,685 | 2,059 | ||||
Kellogg Co. | 31,609 | 1,824 | ||||
Hormel Foods Corp. | 34,910 | 1,619 | ||||
J M Smucker Co. | 14,190 | 1,589 | ||||
Hershey Co. | 10,792 | 1,572 | ||||
McCormick & Co. Inc. (Non-Voting) | 17,312 | 1,459 | ||||
Campbell Soup Co. | 25,099 | 1,142 | ||||
Molson Coors Beverage Co. Class B | 23,362 | 1,038 | ||||
Clorox Co. | 5,167 | 936 | ||||
Lamb Weston Holdings Inc. | 11,432 | 912 | ||||
Brown-Forman Corp. Class B | 11,301 | 809 | ||||
Church & Dwight Co. Inc. | 10,153 | 800 | ||||
167,594 | ||||||
Energy (5.8%) | ||||||
Exxon Mobil Corp. | 525,144 | 28,552 | ||||
Chevron Corp. | 239,092 | 23,909 | ||||
ConocoPhillips | 168,242 | 8,750 | ||||
Schlumberger NV | 172,789 | 4,823 | ||||
EOG Resources Inc. | 72,417 | 4,675 | ||||
Phillips 66 | 54,273 | 4,507 | ||||
Marathon Petroleum Corp. | 80,773 | 4,412 | ||||
Valero Energy Corp. | 50,631 | 3,898 | ||||
Pioneer Natural Resources Co. | 25,098 | 3,729 | ||||
Kinder Morgan Inc. | 241,689 | 3,553 | ||||
Williams Cos. Inc. | 150,667 | 3,441 | ||||
Occidental Petroleum Corp. | 104,086 | 2,770 | ||||
ONEOK Inc. | 55,206 | 2,445 | ||||
Halliburton Co. | 109,836 | 2,398 |
Shares | Market Value• ($000) | |||||
Baker Hughes Co. Class A | 84,837 | 2,077 | ||||
Devon Energy Corp. | 73,579 | 1,585 | ||||
Diamondback Energy Inc. | 19,633 | 1,360 | ||||
Marathon Oil Corp. | 97,875 | 1,086 | ||||
Hess Corp. | 15,928 | 1,044 | ||||
Apache Corp. | 46,836 | 924 | ||||
Cabot Oil & Gas Corp. | 49,406 | 915 | ||||
NOV Inc. | 48,342 | 730 | ||||
HollyFrontier Corp. | 18,544 | 702 | ||||
112,285 | ||||||
Financials (20.5%) | ||||||
* | Berkshire Hathaway Inc. Class B | 241,711 | 58,134 | |||
JPMorgan Chase & Co. | 378,568 | 55,714 | ||||
Bank of America Corp. | 945,424 | 32,816 | ||||
Wells Fargo & Co. | 513,452 | 18,572 | ||||
Citigroup Inc. | 258,552 | 17,033 | ||||
Morgan Stanley | 186,348 | 14,325 | ||||
Goldman Sachs Group Inc. | 42,734 | 13,653 | ||||
Charles Schwab Corp. | 185,268 | 11,435 | ||||
American Express Co. | 80,992 | 10,955 | ||||
Truist Financial Corp. | 167,408 | 9,536 | ||||
Chubb Ltd. | 56,048 | 9,112 | ||||
CME Group Inc. | 44,584 | 8,903 | ||||
PNC Financial Services Group Inc. | 52,621 | 8,859 | ||||
US Bancorp | 170,222 | 8,511 | ||||
Capital One Financial Corp. | 56,805 | 6,827 | ||||
MetLife Inc. | 95,014 | 5,473 | ||||
American International Group Inc. | 107,043 | 4,705 | ||||
Travelers Cos. Inc. | 31,471 | 4,579 | ||||
Bank of New York Mellon Corp. | 101,290 | 4,270 | ||||
Prudential Financial Inc. | 49,165 | 4,264 | ||||
Allstate Corp. | 37,784 | 4,028 | ||||
Aflac Inc. | 81,090 | 3,883 | ||||
Marsh & McLennan Cos. Inc. | 32,106 | 3,699 | ||||
BlackRock Inc. | 5,284 | 3,670 | ||||
Discover Financial Services | 38,050 | 3,579 | ||||
Intercontinental Exchange Inc. | 32,052 | 3,536 | ||||
Willis Towers Watson plc | 16,004 | 3,531 | ||||
Ameriprise Financial Inc. | 14,658 | 3,243 | ||||
State Street Corp. | 43,811 | 3,188 | ||||
Aon plc Class A | 13,628 | 3,103 | ||||
Fifth Third Bancorp | 88,486 | 3,070 | ||||
Synchrony Financial | 67,429 | 2,608 | ||||
Regions Financial Corp. | 119,339 | 2,462 | ||||
Northern Trust Corp. | 25,837 | 2,458 | ||||
KeyCorp | 121,317 | 2,443 | ||||
M&T Bank Corp. | 15,944 | 2,407 | ||||
Citizens Financial Group Inc. | 53,061 | 2,305 | ||||
Hartford Financial Services Group Inc. | 44,519 | 2,257 |
Shares | Market Value• ($000) | |||||
Progressive Corp. | 26,183 | 2,250 | ||||
Huntington Bancshares Inc. | 126,453 | 1,940 | ||||
T. Rowe Price Group Inc. | 11,259 | 1,825 | ||||
Cincinnati Financial Corp. | 18,558 | 1,816 | ||||
Principal Financial Group Inc. | 31,751 | 1,796 | ||||
Raymond James Financial Inc. | 15,142 | 1,768 | ||||
First Republic Bank | 10,162 | 1,674 | ||||
Arthur J Gallagher & Co. | 13,630 | 1,633 | ||||
Moody's Corp. | 5,610 | 1,542 | ||||
Loews Corp. | 29,007 | 1,387 | ||||
Lincoln National Corp. | 22,580 | 1,284 | ||||
W R Berkley Corp. | 17,473 | 1,211 | ||||
Everest Re Group Ltd. | 4,953 | 1,198 | ||||
Comerica Inc. | 17,295 | 1,178 | ||||
Globe Life Inc. | 11,966 | 1,118 | ||||
Zions Bancorp NA | 20,406 | 1,085 | ||||
Invesco Ltd. | 46,705 | 1,047 | ||||
People's United Financial Inc. | 52,693 | 945 | ||||
Assurant Inc. | 7,377 | 909 | ||||
Franklin Resources Inc. | 33,760 | 883 | ||||
Nasdaq Inc. | 4,971 | 687 | ||||
Unum Group | 25,290 | 670 | ||||
Cboe Global Markets Inc. | 6,570 | 650 | ||||
393,642 | ||||||
Health Care (14.5%) | ||||||
Johnson & Johnson | 196,171 | 31,085 | ||||
Pfizer Inc. | 690,316 | 23,119 | ||||
Medtronic plc | 167,155 | 19,552 | ||||
UnitedHealth Group Inc. | 56,557 | 18,789 | ||||
Merck & Co. Inc. | 163,400 | 11,866 | ||||
CVS Health Corp. | 162,550 | 11,075 | ||||
Abbott Laboratories | 90,250 | 10,810 | ||||
Gilead Sciences Inc. | 155,680 | 9,559 | ||||
Cigna Corp. | 44,855 | 9,415 | ||||
Anthem Inc. | 30,884 | 9,364 | ||||
Becton Dickinson & Co. | 36,026 | 8,688 | ||||
Bristol-Myers Squibb Co. | 134,718 | 8,262 | ||||
Amgen Inc. | 36,154 | 8,132 | ||||
Eli Lilly & Co. | 38,462 | 7,880 | ||||
* | Boston Scientific Corp. | 177,842 | 6,897 | |||
AbbVie Inc. | 57,019 | 6,143 | ||||
HCA Healthcare Inc. | 32,779 | 5,639 | ||||
Danaher Corp. | 25,124 | 5,519 | ||||
Stryker Corp. | 20,718 | 5,028 | ||||
Baxter International Inc. | 63,462 | 4,930 | ||||
* | Centene Corp. | 72,028 | 4,217 | |||
Zimmer Biomet Holdings Inc. | 25,749 | 4,199 | ||||
* | Illumina Inc. | 9,065 | 3,983 | |||
McKesson Corp. | 19,960 | 3,384 | ||||
* | Intuitive Surgical Inc. | 4,376 | 3,224 | |||
Humana Inc. | 7,890 | 2,995 |
Shares | Market Value• ($000) | |||||
* | Laboratory Corp. of America Holdings | 12,084 | 2,899 | |||
* | Edwards Lifesciences Corp. | 33,277 | 2,765 | |||
Zoetis Inc. Class A | 15,942 | 2,475 | ||||
* | Biogen Inc. | 8,987 | 2,452 | |||
* | Viatris Inc. | 149,821 | 2,225 | |||
Quest Diagnostics Inc. | 16,736 | 1,934 | ||||
Cardinal Health Inc. | 36,447 | 1,878 | ||||
AmerisourceBergen Corp. Class A | 18,279 | 1,850 | ||||
* | IQVIA Holdings Inc. | 8,569 | 1,652 | |||
Cerner Corp. | 21,717 | 1,501 | ||||
DENTSPLY SIRONA Inc. | 27,104 | 1,438 | ||||
Cooper Cos. Inc. | 3,597 | 1,389 | ||||
Agilent Technologies Inc. | 10,630 | 1,298 | ||||
Teleflex Inc. | 3,060 | 1,218 | ||||
* | Universal Health Services Inc. Class B | 9,640 | 1,208 | |||
* | Alexion Pharmaceuticals Inc. | 7,324 | 1,119 | |||
* | Henry Schein Inc. | 17,729 | 1,097 | |||
* | Waters Corp. | 3,475 | 952 | |||
STERIS plc | 4,560 | 797 | ||||
* | Varian Medical Systems Inc. | 4,305 | 755 | |||
Perrigo Co. plc | 16,922 | 683 | ||||
* | Incyte Corp. | 8,530 | 671 | |||
* | Hologic Inc. | 8,941 | 645 | |||
278,655 | ||||||
Industrials (11.5%) | ||||||
Honeywell International Inc. | 87,141 | 17,633 | ||||
* | Boeing Co. | 65,902 | 13,972 | |||
General Electric Co. | 1,087,829 | 13,641 | ||||
Raytheon Technologies Corp. | 188,592 | 13,577 | ||||
3M Co. | 71,639 | 12,541 | ||||
Union Pacific Corp. | 43,509 | 8,961 | ||||
Caterpillar Inc. | 35,754 | 7,719 | ||||
Eaton Corp. plc | 49,507 | 6,445 | ||||
Northrop Grumman Corp. | 19,250 | 5,614 | ||||
Lockheed Martin Corp. | 16,521 | 5,456 | ||||
Johnson Controls International plc | 89,920 | 5,017 | ||||
General Dynamics Corp. | 28,888 | 4,722 | ||||
Norfolk Southern Corp. | 17,354 | 4,374 | ||||
Southwest Airlines Co. | 73,272 | 4,259 | ||||
United Parcel Service Inc. Class B | 26,638 | 4,204 | ||||
CSX Corp. | 45,571 | 4,172 | ||||
Illinois Tool Works Inc. | 20,031 | 4,050 | ||||
PACCAR Inc. | 43,039 | 3,916 | ||||
Emerson Electric Co. | 44,543 | 3,826 | ||||
* | Delta Air Lines Inc. | 79,194 | 3,797 | |||
Stanley Black & Decker Inc. | 19,903 | 3,480 | ||||
Deere & Co. | 9,718 | 3,393 | ||||
Waste Management Inc. | 29,446 | 3,265 | ||||
Fortive Corp. | 41,861 | 2,755 | ||||
FedEx Corp. | 10,795 | 2,747 |
Shares | Market Value• ($000) | |||||
Cummins Inc. | 10,490 | 2,656 | ||||
Trane Technologies plc | 16,103 | 2,468 | ||||
Republic Services Inc. Class A | 26,129 | 2,328 | ||||
Roper Technologies Inc. | 5,990 | 2,262 | ||||
Dover Corp. | 17,904 | 2,207 | ||||
Parker-Hannifin Corp. | 7,684 | 2,205 | ||||
* | Ingersoll Rand Inc. | 46,188 | 2,140 | |||
L3Harris Technologies Inc. | 11,230 | 2,043 | ||||
* | United Airlines Holdings Inc. | 36,386 | 1,917 | |||
AMETEK Inc. | 14,587 | 1,721 | ||||
Westinghouse Air Brake Technologies Corp. | 22,227 | 1,610 | ||||
* | American Airlines Group Inc. | 76,008 | 1,592 | |||
* | TransDigm Group Inc. | 2,713 | 1,565 | |||
Otis Worldwide Corp. | 24,312 | 1,549 | ||||
Rockwell Automation Inc. | 6,347 | 1,544 | ||||
CH Robinson Worldwide Inc. | 16,895 | 1,535 | ||||
IHS Markit Ltd. | 16,214 | 1,462 | ||||
Textron Inc. | 28,405 | 1,430 | ||||
Snap-on Inc. | 6,725 | 1,366 | ||||
* | Howmet Aerospace Inc. | 48,546 | 1,365 | |||
Carrier Global Corp. | 36,393 | 1,329 | ||||
Equifax Inc. | 7,548 | 1,222 | ||||
Kansas City Southern | 5,708 | 1,212 | ||||
Xylem Inc. | 12,058 | 1,201 | ||||
Cintas Corp. | 3,701 | 1,200 | ||||
Pentair plc | 20,676 | 1,156 | ||||
Robert Half International Inc. | 14,135 | 1,100 | ||||
IDEX Corp. | 5,172 | 1,009 | ||||
A O Smith Corp. | 16,857 | 1,001 | ||||
* | Alaska Air Group Inc. | 15,335 | 997 | |||
Nielsen Holdings plc | 44,259 | 992 | ||||
Masco Corp. | 18,235 | 970 | ||||
Huntington Ingalls Industries Inc. | 5,008 | 881 | ||||
* | Teledyne Technologies Inc. | 2,334 | 866 | |||
Fastenal Co. | 17,823 | 826 | ||||
WW Grainger Inc. | 2,187 | 815 | ||||
Allegion plc | 6,614 | 720 | ||||
Jacobs Engineering Group Inc. | 6,094 | 701 | ||||
Expeditors International of Washington Inc. | 7,370 | 677 | ||||
JB Hunt Transport Services Inc. | 4,247 | 624 | ||||
Fortune Brands Home & Security Inc. | 7,400 | 615 | ||||
Quanta Services Inc. | 7,270 | 610 | ||||
Flowserve Corp. | 16,172 | 598 | ||||
221,823 | ||||||
Information Technology (11.6%) | ||||||
Intel Corp. | 508,939 | 30,933 | ||||
Cisco Systems Inc. | 524,764 | 23,546 | ||||
Visa Inc. Class A | 84,242 | 17,892 |
Shares | Market Value• ($000) | |||||
International Business Machines Corp. | 110,655 | 13,160 | ||||
* | Micron Technology Inc. | 138,254 | 12,654 | |||
Mastercard Inc. Class A | 34,964 | 12,372 | ||||
Fidelity National Information Services Inc. | 77,065 | 10,635 | ||||
Texas Instruments Inc. | 53,580 | 9,230 | ||||
Accenture plc Class A | 34,619 | 8,686 | ||||
Broadcom Inc. | 16,075 | 7,553 | ||||
Global Payments Inc. | 37,183 | 7,362 | ||||
Oracle Corp. | 106,014 | 6,839 | ||||
HP Inc. | 170,623 | 4,943 | ||||
Automatic Data Processing Inc. | 27,686 | 4,818 | ||||
Analog Devices Inc. | 26,142 | 4,073 | ||||
TE Connectivity Ltd. | 25,460 | 3,311 | ||||
* | Fiserv Inc. | 22,842 | 2,635 | |||
Western Digital Corp. | 37,796 | 2,590 | ||||
Cognizant Technology Solutions Corp. Class A | 32,560 | 2,393 | ||||
Hewlett Packard Enterprise Co. | 159,890 | 2,328 | ||||
Motorola Solutions Inc. | 11,572 | 2,031 | ||||
Seagate Technology plc | 27,735 | 2,031 | ||||
Corning Inc. | 50,319 | 1,924 | ||||
Amphenol Corp. Class A | 14,130 | 1,776 | ||||
Skyworks Solutions Inc. | 9,917 | 1,763 | ||||
NetApp Inc. | 27,780 | 1,739 | ||||
Paychex Inc. | 18,681 | 1,701 | ||||
* | FleetCor Technologies Inc. | 5,913 | 1,640 | |||
CDW Corp. | 9,947 | 1,561 | ||||
Leidos Holdings Inc. | 16,628 | 1,471 | ||||
NortonLifeLock Inc. | 73,576 | 1,436 | ||||
* | VeriSign Inc. | 7,238 | 1,404 | |||
* | Keysight Technologies Inc. | 9,896 | 1,401 | |||
Microchip Technology Inc. | 9,043 | 1,380 | ||||
Maxim Integrated Products Inc. | 13,292 | 1,238 | ||||
Western Union Co. | 51,078 | 1,186 | ||||
Broadridge Financial Solutions Inc. | 7,163 | 1,021 | ||||
Juniper Networks Inc. | 41,021 | 955 | ||||
* | Gartner Inc. | 5,209 | 933 | |||
* | Zebra Technologies Corp. Class A | 1,785 | 892 | |||
FLIR Systems Inc. | 16,257 | 868 | ||||
* | F5 Networks Inc. | 4,281 | 813 | |||
DXC Technology Co. | 31,536 | 795 | ||||
Jack Henry & Associates Inc. | 4,934 | 732 | ||||
Citrix Systems Inc. | 5,337 | 713 | ||||
* | Akamai Technologies Inc. | 7,279 | 688 | |||
* | Vontier Corp. | 20,877 | 656 | |||
* | IPG Photonics Corp. | 2,441 | 555 | |||
Xerox Holdings Corp. | 20,750 | 529 | ||||
223,785 |
Shares | Market Value• ($000) | |||||
Materials (3.5%) | ||||||
Linde plc | 27,375 | 6,687 | ||||
DuPont de Nemours Inc. | 66,618 | 4,685 | ||||
International Flavors & Fragrances Inc. | 30,871 | 4,183 | ||||
Corteva Inc. | 92,588 | 4,180 | ||||
PPG Industries Inc. | 29,343 | 3,956 | ||||
Air Products and Chemicals Inc. | 14,816 | 3,787 | ||||
Ecolab Inc. | 16,648 | 3,485 | ||||
LyondellBasell Industries NV Class A | 31,939 | 3,293 | ||||
Dow Inc. | 46,985 | 2,787 | ||||
Martin Marietta Materials Inc. | 7,736 | 2,606 | ||||
Newmont Corp. | 44,919 | 2,443 | ||||
International Paper Co. | 48,821 | 2,424 | ||||
* | Freeport-McMoRan Inc. | 68,587 | 2,326 | |||
Nucor Corp. | 37,513 | 2,244 | ||||
Sherwin-Williams Co. | 3,139 | 2,136 | ||||
Amcor plc | 194,866 | 2,132 | ||||
Celanese Corp. Class A | 14,518 | 2,017 | ||||
Eastman Chemical Co. | 16,832 | 1,839 | ||||
Vulcan Materials Co. | 9,558 | 1,596 | ||||
Packaging Corp. of America | 11,798 | 1,557 | ||||
Westrock Co. | 32,571 | 1,420 | ||||
Mosaic Co. | 42,868 | 1,260 | ||||
Ball Corp. | 14,613 | 1,248 | ||||
CF Industries Holdings Inc. | 26,598 | 1,204 | ||||
Avery Dennison Corp. | 5,996 | 1,050 | ||||
Sealed Air Corp. | 6,537 | 274 | ||||
66,819 | ||||||
Real Estate (4.0%) | ||||||
Prologis Inc. | 91,801 | 9,095 | ||||
American Tower Corp. | 27,026 | 5,841 | ||||
Digital Realty Trust Inc. | 34,809 | 4,690 | ||||
Simon Property Group Inc. | 40,744 | 4,601 | ||||
Welltower Inc. | 51,804 | 3,517 | ||||
Crown Castle International Corp. | 21,413 | 3,335 | ||||
* | CBRE Group Inc. Class A | 41,659 | 3,157 | |||
Weyerhaeuser Co. | 92,680 | 3,139 | ||||
AvalonBay Communities Inc. | 17,330 | 3,046 | ||||
Equinix Inc. | 4,651 | 3,015 | ||||
Equity Residential | 42,530 | 2,782 | ||||
Realty Income Corp. | 43,578 | 2,626 | ||||
Public Storage | 10,763 | 2,518 | ||||
Ventas Inc. | 46,526 | 2,461 | ||||
Alexandria Real Estate Equities Inc. | 15,379 | 2,456 | ||||
Essex Property Trust Inc. | 8,113 | 2,067 | ||||
Healthpeak Properties Inc. | 66,893 | 1,946 | ||||
Mid-America Apartment Communities Inc. | 14,222 | 1,916 | ||||
Boston Properties Inc. | 17,591 | 1,744 | ||||
UDR Inc. | 36,576 | 1,506 |
Shares | Market Value• ($000) | |||||
Host Hotels & Resorts Inc. | 87,545 | 1,452 | ||||
Iron Mountain Inc. | 35,795 | 1,245 | ||||
SBA Communications Corp. Class A | 4,823 | 1,230 | ||||
Regency Centers Corp. | 19,646 | 1,076 | ||||
Duke Realty Corp. | 27,208 | 1,068 | ||||
Extra Space Storage Inc. | 8,343 | 1,049 | ||||
Kimco Realty Corp. | 53,605 | 983 | ||||
Federal Realty Investment Trust | 8,539 | 864 | ||||
Vornado Realty Trust | 19,465 | 836 | ||||
SL Green Realty Corp. | 8,978 | 620 | ||||
75,881 | ||||||
Utilities (4.7%) | ||||||
NextEra Energy Inc. | 138,688 | 10,191 | ||||
Duke Energy Corp. | 91,411 | 7,824 | ||||
Southern Co. | 131,184 | 7,441 | ||||
Dominion Energy Inc. | 101,312 | 6,922 | ||||
Exelon Corp. | 121,185 | 4,678 | ||||
American Electric Power Co. Inc. | 61,671 | 4,616 | ||||
Sempra Energy | 35,836 | 4,156 | ||||
Xcel Energy Inc. | 65,222 | 3,821 | ||||
Eversource Energy | 42,559 | 3,383 | ||||
Public Service Enterprise Group Inc. | 62,796 | 3,380 | ||||
WEC Energy Group Inc. | 39,163 | 3,158 | ||||
DTE Energy Co. | 24,023 | 2,828 | ||||
Consolidated Edison Inc. | 42,468 | 2,788 | ||||
Edison International | 47,002 | 2,538 | ||||
PPL Corp. | 95,482 | 2,501 | ||||
FirstEnergy Corp. | 67,401 | 2,234 | ||||
Entergy Corp. | 24,880 | 2,160 | ||||
Ameren Corp. | 30,724 | 2,159 | ||||
CMS Energy Corp. | 35,589 | 1,926 | ||||
American Water Works Co. Inc. | 11,267 | 1,598 | ||||
Evergy Inc. | 28,196 | 1,512 | ||||
Alliant Energy Corp. | 30,961 | 1,429 | ||||
AES Corp. | 51,167 | 1,359 | ||||
Atmos Energy Corp. | 15,652 | 1,324 | ||||
CenterPoint Energy Inc. | 67,575 | 1,314 | ||||
NiSource Inc. | 47,630 | 1,029 | ||||
Pinnacle West Capital Corp. | 13,993 | 978 | ||||
NRG Energy Inc. | 12,448 | 454 | ||||
89,701 | ||||||
Total Common Stocks (Cost $1,723,688) | 1,915,679 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.2%) | ||||||
Money Market Fund (0.2%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.099% (Cost $4,438) | 44,382 | 4,438 | |||
Total Investments (99.8%) (Cost $1,728,126) | 1,920,117 | |||||
Other Assets and Liabilities—Net (0.2%) | 3,043 | |||||
Net Assets (100%) | 1,923,160 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
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 | March 2021 | 20 | 3,809 | (48) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Walmart Inc. | 9/2/21 | BOANA | 4,215 | (0.120) | — | (318) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $1,723,688) | 1,915,679 |
Affiliated Issuers (Cost $4,438) | 4,438 |
Total Investments in Securities | 1,920,117 |
Investment in Vanguard | 67 |
Cash Collateral Pledged—Futures Contracts | 225 |
Receivables for Accrued Income | 3,875 |
Receivables for Capital Shares Issued | 6 |
Total Assets | 1,924,290 |
Liabilities | |
Due to Custodian | 27 |
Payables for Investment Securities Purchased | 679 |
Payables to Vanguard | 87 |
Variation Margin Payable—Futures Contracts | 19 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 318 |
Total Liabilities | 1,130 |
Net Assets | 1,923,160 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 1,793,590 |
Total Distributable Earnings (Loss) | 129,570 |
Net Assets | 1,923,160 |
ETF Shares—Net Assets | |
Applicable to 13,800,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,780,092 |
Net Asset Value Per Share—ETF Shares | $128.99 |
Institutional Shares—Net Assets | |
Applicable to 505,717 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 143,068 |
Net Asset Value Per Share—Institutional Shares | $282.90 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 19,886 |
Interest1 | 3 |
Securities Lending—Net | 3 |
Total Income | 19,892 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 121 |
Management and Administrative—ETF Shares | 561 |
Management and Administrative—Institutional Shares | 38 |
Marketing and Distribution—ETF Shares | 35 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 23 |
Shareholders’ Reports—ETF Shares | 7 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 786 |
Net Investment Income | 19,106 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 12,420 |
Futures Contracts | 71 |
Swap Contracts | 362 |
Realized Net Gain (Loss) | 12,853 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 216,401 |
Futures Contracts | (67) |
Swap Contracts | (318) |
Change in Unrealized Appreciation (Depreciation) | 216,016 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 247,975 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $36,297,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 19,106 | 33,056 | |
Realized Net Gain (Loss) | 12,853 | 115,227 | |
Change in Unrealized Appreciation (Depreciation) | 216,016 | (108,671) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 247,975 | 39,612 | |
Distributions | |||
ETF Shares | (19,371) | (28,680) | |
Institutional Shares | (1,649) | (2,468) | |
Total Distributions | (21,020) | (31,148) | |
Capital Share Transactions | |||
ETF Shares | 327,353 | 252,592 | |
Institutional Shares | 23,133 | 6,800 | |
Net Increase (Decrease) from Capital Share Transactions | 350,486 | 259,392 | |
Total Increase (Decrease) | 577,441 | 267,856 | |
Net Assets | |||
Beginning of Period | 1,345,719 | 1,077,863 | |
End of Period | 1,923,160 | 1,345,719 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $112.29 | $111.46 | $111.93 | $101.33 | $92.41 | $83.75 |
Investment Operations | ||||||
Net Investment Income | 1.4161 | 2.9841 | 2.6941 | 2.5581 | 2.4221 | 2.125 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.851 | .683 | (.511) | 10.535 | 8.726 | 8.605 |
Total from Investment Operations | 18.267 | 3.667 | 2.183 | 13.093 | 11.148 | 10.730 |
Distributions | ||||||
Dividends from Net Investment Income | (1.567) | (2.837) | (2.653) | (2.493) | (2.228) | (2.070) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.567) | (2.837) | (2.653) | (2.493) | (2.228) | (2.070) |
Net Asset Value, End of Period | $128.99 | $112.29 | $111.46 | $111.93 | $101.33 | $92.41 |
Total Return | 16.43% | 3.33% | 2.05% | 13.08% | 12.19% | 13.03% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,780 | $1,244 | $984 | $873 | $768 | $487 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.39% | 2.66% | 2.48% | 2.38% | 2.46% | 2.64% |
Portfolio Turnover Rate2 | 21% | 31% | 28% | 20% | 16% | 22% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $246.27 | $244.40 | $245.49 | $222.23 | $202.64 | $183.75 |
Investment Operations | ||||||
Net Investment Income | 3.1351 | 6.5961 | 5.9501 | 6.0771 | 5.2021 | 4.765 |
Net Realized and Unrealized Gain (Loss) on Investments | 36.954 | 1.491 | (1.115) | 22.813 | 19.393 | 18.875 |
Total from Investment Operations | 40.089 | 8.087 | 4.835 | 28.890 | 24.595 | 23.640 |
Distributions | ||||||
Dividends from Net Investment Income | (3.459) | (6.217) | (5.925) | (5.630) | (5.005) | (4.750) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.459) | (6.217) | (5.925) | (5.630) | (5.005) | (4.750) |
Net Asset Value, End of Period | $282.90 | $246.27 | $244.40 | $245.49 | $222.23 | $202.64 |
Total Return | 16.44% | 3.39% | 2.07% | 13.18% | 12.27% | 13.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $143 | $102 | $94 | $89 | $4 | $7 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 2.42% | 2.68% | 2.50% | 2.45% | 2.53% | 2.71% |
Portfolio Turnover Rate2 | 21% | 31% | 28% | 20% | 16% | 22% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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 | 1,915,679 | — | — | 1,915,679 |
Temporary Cash Investments | 4,438 | — | — | 4,438 |
Total | 1,920,117 | — | — | 1,920,117 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 48 | — | — | 48 |
Swap Contracts | — | 318 | — | 318 |
Total | 48 | 318 | — | 366 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 1,731,680 |
Gross Unrealized Appreciation | 257,101 |
Gross Unrealized Depreciation | (69,030) |
Net Unrealized Appreciation (Depreciation) | 188,071 |
E. | During the six months ended February 28, 2021, the fund purchased $797,429,000 of investment securities and sold $450,140,000 of investment securities, other than temporary cash investments. Purchases and sales include $424,544,000 and $124,588,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 452,360 | 3,750 | 710,246 | 6,150 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (125,007) | (1,025) | (457,654) | (3,900) | |
Net Increase (Decrease)—ETF Shares | 327,353 | 2,725 | 252,592 | 2,250 | |
Institutional Shares | |||||
Issued | 25,967 | 103 | 11,610 | 47 | |
Issued in Lieu of Cash Distributions | 1,382 | 5 | 1,990 | 8 | |
Redeemed | (4,216) | (16) | (6,800) | (27) | |
Net Increase (Decrease)—Institutional Shares | 23,133 | 92 | 6,800 | 28 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Communication Services | 14.7% |
Consumer Discretionary | 16.8 |
Consumer Staples | 3.3 |
Energy | 0.1 |
Financials | 2.7 |
Health Care | 11.8 |
Industrials | 5.5 |
Information Technology | 41.8 |
Materials | 1.8 |
Real Estate | 1.0 |
Utilities | 0.5 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.8%) | ||||||
Communication Services (14.6%) | ||||||
* | Facebook Inc. Class A | 716,620 | 184,616 | |||
* | Alphabet Inc. Class A | 89,623 | 181,210 | |||
* | Alphabet Inc. Class C | 86,529 | 176,247 | |||
* | Netflix Inc. | 131,698 | 70,965 | |||
Comcast Corp. Class A | 598,847 | 31,571 | ||||
* | Charter Communications Inc. Class A | 43,494 | 26,680 | |||
* | Twitter Inc. | 237,084 | 18,270 | |||
* | T-Mobile US Inc. | 119,995 | 14,396 | |||
Activision Blizzard Inc. | 135,930 | 12,996 | ||||
* | Take-Two Interactive Software Inc. | 34,263 | 6,320 | |||
Electronic Arts Inc. | 46,681 | 6,254 | ||||
729,525 | ||||||
Consumer Discretionary (16.8%) | ||||||
* | Amazon.com Inc. | 127,136 | 393,223 | |||
* | Tesla Inc. | 226,054 | 152,699 | |||
Home Depot Inc. | 231,059 | 59,692 | ||||
NIKE Inc. Class B | 239,385 | 32,264 | ||||
Lowe's Cos. Inc. | 155,071 | 24,773 | ||||
Starbucks Corp. | 202,911 | 21,920 | ||||
McDonald's Corp. | 88,836 | 18,313 | ||||
Target Corp. | 98,524 | 18,073 | ||||
Dollar General Corp. | 73,031 | 13,802 | ||||
* | Chipotle Mexican Grill Inc. Class A | 8,344 | 12,032 | |||
eBay Inc. | 195,299 | 11,019 | ||||
* | Booking Holdings Inc. | 4,635 | 10,793 | |||
* | Etsy Inc. | 37,590 | 8,280 | |||
* | Aptiv plc | 53,973 | 8,087 | |||
* | O'Reilly Automotive Inc. | 14,699 | 6,575 | |||
Tractor Supply Co. | 34,762 | 5,526 | ||||
DR Horton Inc. | 59,327 | 4,560 | ||||
* | AutoZone Inc. | 3,861 | 4,478 | |||
Domino's Pizza Inc. | 11,745 | 4,070 | ||||
Pool Corp. | 11,981 | 4,011 | ||||
Yum! Brands Inc. | 38,704 | 4,007 | ||||
* | Hilton Worldwide Holdings Inc. | 30,627 | 3,788 |
Shares | Market Value• ($000) | |||||
Best Buy Co. Inc. | 34,366 | 3,449 | ||||
Garmin Ltd. | 24,901 | 3,088 | ||||
* | Ulta Beauty Inc. | 8,577 | 2,765 | |||
Expedia Group Inc. | 14,549 | 2,342 | ||||
* | L Brands Inc. | 38,894 | 2,126 | |||
PulteGroup Inc. | 40,673 | 1,835 | ||||
837,590 | ||||||
Consumer Staples (3.2%) | ||||||
Procter & Gamble Co. | 354,838 | 43,833 | ||||
Costco Wholesale Corp. | 69,710 | 23,074 | ||||
PepsiCo Inc. | 173,028 | 22,353 | ||||
Coca-Cola Co. | 403,502 | 19,767 | ||||
Estee Lauder Cos. Inc. Class A | 37,799 | 10,805 | ||||
Colgate-Palmolive Co. | ���132,842 | 9,990 | ||||
* | Monster Beverage Corp. | 110,116 | 9,662 | |||
Kimberly-Clark Corp. | 38,485 | 4,939 | ||||
Clorox Co. | 25,203 | 4,563 | ||||
Church & Dwight Co. Inc. | 49,601 | 3,906 | ||||
McCormick & Co. Inc. (Non-Voting) | 32,651 | 2,752 | ||||
Hershey Co. | 18,005 | 2,622 | ||||
Brown-Forman Corp. Class B | 27,168 | 1,945 | ||||
Lamb Weston Holdings Inc. | 16,192 | 1,292 | ||||
161,503 | ||||||
Energy (0.1%) | ||||||
Hess Corp. | 43,151 | 2,828 | ||||
Financials (2.7%) | ||||||
S&P Global Inc. | 71,717 | 23,621 | ||||
BlackRock Inc. | 29,596 | 20,554 | ||||
MSCI Inc. Class A | 24,712 | 10,244 | ||||
Intercontinental Exchange Inc. | 90,398 | 9,972 | ||||
Progressive Corp. | 111,709 | 9,601 | ||||
Moody's Corp. | 34,649 | 9,525 | ||||
Marsh & McLennan Cos. Inc. | 74,059 | 8,533 | ||||
Aon plc Class A | 35,434 | 8,069 | ||||
* | SVB Financial Group | 15,436 | 7,801 | |||
T. Rowe Price Group Inc. | 40,485 | 6,564 | ||||
MarketAxess Holdings Inc. | 11,322 | 6,294 |
Shares | Market Value• ($000) | |||||
First Republic Bank | 27,506 | 4,532 | ||||
Nasdaq Inc. | 22,245 | 3,076 | ||||
Arthur J Gallagher & Co. | 24,672 | 2,956 | ||||
Cboe Global Markets Inc. | 16,356 | 1,618 | ||||
132,960 | ||||||
Health Care (11.8%) | ||||||
Thermo Fisher Scientific Inc. | 118,150 | 53,177 | ||||
Johnson & Johnson | 313,901 | 49,741 | ||||
UnitedHealth Group Inc. | 147,075 | 48,861 | ||||
AbbVie Inc. | 389,454 | 41,960 | ||||
Abbott Laboratories | 311,717 | 37,337 | ||||
Eli Lilly & Co. | 144,376 | 29,581 | ||||
Danaher Corp. | 128,158 | 28,152 | ||||
Merck & Co. Inc. | 362,009 | 26,289 | ||||
Bristol-Myers Squibb Co. | 350,276 | 21,482 | ||||
Amgen Inc. | 86,772 | 19,517 | ||||
* | Intuitive Surgical Inc. | 24,527 | 18,071 | |||
* | Vertex Pharmaceuticals Inc. | 77,519 | 16,477 | |||
Zoetis Inc. Class A | 103,420 | 16,055 | ||||
* | Regeneron Pharmaceuticals Inc. | 31,260 | 14,085 | |||
* | IDEXX Laboratories Inc. | 25,425 | 13,225 | |||
* | Align Technology Inc. | 21,393 | 12,132 | |||
Stryker Corp. | 47,740 | 11,586 | ||||
* | DexCom Inc. | 28,626 | 11,387 | |||
* | Illumina Inc. | 21,759 | 9,561 | |||
* | Edwards Lifesciences Corp. | 105,837 | 8,795 | |||
ResMed Inc. | 43,223 | 8,332 | ||||
Agilent Technologies Inc. | 65,641 | 8,013 | ||||
* | Mettler-Toledo International Inc. | 7,096 | 7,919 | |||
Humana Inc. | 20,506 | 7,785 | ||||
* | Alexion Pharmaceuticals Inc. | 47,601 | 7,271 | |||
* | IQVIA Holdings Inc. | 36,600 | 7,056 | |||
* | Biogen Inc. | 24,336 | 6,641 | |||
West Pharmaceutical Services Inc. | 22,039 | 6,185 | ||||
* | Catalent Inc. | 49,110 | 5,584 | |||
* | ABIOMED Inc. | 13,489 | 4,378 | |||
PerkinElmer Inc. | 33,409 | 4,213 | ||||
* | Hologic Inc. | 55,120 | 3,974 | |||
* | Bio-Rad Laboratories Inc. Class A | 6,403 | 3,743 | |||
* | Varian Medical Systems Inc. | 16,871 | 2,957 | |||
* | Waters Corp. | 10,191 | 2,791 | |||
* | Incyte Corp. | 34,917 | 2,747 | |||
Cerner Corp. | 39,221 | 2,712 | ||||
Teleflex Inc. | 6,522 | 2,597 | ||||
STERIS plc | 14,509 | 2,536 | ||||
Cooper Cos. Inc. | 6,010 | 2,321 | ||||
* | DaVita Inc. | 22,049 | 2,252 | |||
589,478 | ||||||
Industrials (5.5%) | ||||||
Deere & Co. | 70,053 | 24,457 |
Shares | Market Value• ($000) | |||||
United Parcel Service Inc. Class B | 149,238 | 23,554 | ||||
Union Pacific Corp. | 96,421 | 19,859 | ||||
Caterpillar Inc. | 76,083 | 16,425 | ||||
FedEx Corp. | 46,083 | 11,728 | ||||
Lockheed Martin Corp. | 33,751 | 11,146 | ||||
CSX Corp. | 118,529 | 10,851 | ||||
Norfolk Southern Corp. | 34,054 | 8,584 | ||||
Verisk Analytics Inc. Class A | 48,448 | 7,938 | ||||
Illinois Tool Works Inc. | 37,782 | 7,639 | ||||
* | Copart Inc. | 61,959 | 6,764 | |||
IHS Markit Ltd. | 72,193 | 6,509 | ||||
L3Harris Technologies Inc. | 35,731 | 6,500 | ||||
* | United Rentals Inc. | 21,518 | 6,399 | |||
Roper Technologies Inc. | 16,888 | 6,377 | ||||
Old Dominion Freight Line Inc. | 28,694 | 6,163 | ||||
Emerson Electric Co. | 71,273 | 6,122 | ||||
Fastenal Co. | 128,360 | 5,952 | ||||
Parker-Hannifin Corp. | 19,950 | 5,725 | ||||
Carrier Global Corp. | 155,337 | 5,675 | ||||
* | TransDigm Group Inc. | 9,740 | 5,617 | |||
Cintas Corp. | 17,303 | 5,612 | ||||
Trane Technologies plc | 32,905 | 5,042 | ||||
Waste Management Inc. | 45,208 | 5,013 | ||||
Cummins Inc. | 18,960 | 4,801 | ||||
Rockwell Automation Inc. | 19,394 | 4,718 | ||||
Otis Worldwide Corp. | 63,151 | 4,023 | ||||
AMETEK Inc. | 33,632 | 3,968 | ||||
WW Grainger Inc. | 8,197 | 3,055 | ||||
Kansas City Southern | 14,223 | 3,020 | ||||
Expeditors International of Washington Inc. | 32,790 | 3,011 | ||||
Equifax Inc. | 18,155 | 2,939 | ||||
Jacobs Engineering Group Inc. | 23,993 | 2,761 | ||||
Xylem Inc. | 24,740 | 2,463 | ||||
Rollins Inc. | 65,791 | 2,182 | ||||
JB Hunt Transport Services Inc. | 14,692 | 2,158 | ||||
Quanta Services Inc. | 24,004 | 2,013 | ||||
* | Teledyne Technologies Inc. | 5,375 | 1,994 | |||
IDEX Corp. | 10,177 | 1,986 | ||||
Fortune Brands Home & Security Inc. | 23,682 | 1,969 | ||||
Masco Corp. | 34,291 | 1,825 | ||||
Allegion plc | 11,480 | 1,249 | ||||
275,786 | ||||||
Information Technology (41.8%) | ||||||
Apple Inc. | 4,764,110 | 577,696 | ||||
Microsoft Corp. | 2,253,772 | 523,732 | ||||
NVIDIA Corp. | 184,527 | 101,228 | ||||
* | PayPal Holdings Inc. | 349,281 | 90,761 | |||
* | Adobe Inc. | 143,002 | 65,734 | |||
Visa Inc. Class A | 303,275 | 64,413 |
Shares | Market Value• ($000) | |||||
Mastercard Inc. Class A | 178,324 | 63,100 | ||||
* | salesforce.com Inc. | 252,758 | 54,722 | |||
QUALCOMM Inc. | 337,159 | 45,918 | ||||
Broadcom Inc. | 81,998 | 38,528 | ||||
Applied Materials Inc. | 272,257 | 32,178 | ||||
* | ServiceNow Inc. | 58,161 | 31,027 | |||
Intuit Inc. | 78,321 | 30,556 | ||||
* | Advanced Micro Devices Inc. | 358,542 | 30,300 | |||
Accenture plc Class A | 105,755 | 26,534 | ||||
Texas Instruments Inc. | 145,041 | 24,986 | ||||
Lam Research Corp. | 42,928 | 24,348 | ||||
Oracle Corp. | 310,988 | 20,062 | ||||
* | Autodesk Inc. | 65,546 | 18,091 | |||
KLA Corp. | 46,041 | 14,329 | ||||
* | Fiserv Inc. | 116,531 | 13,444 | |||
* | Cadence Design Systems Inc. | 83,186 | 11,737 | |||
* | Synopsys Inc. | 45,492 | 11,155 | |||
Automatic Data Processing Inc. | 61,384 | 10,682 | ||||
Xilinx Inc. | 73,043 | 9,517 | ||||
* | ANSYS Inc. | 25,596 | 8,728 | |||
Microchip Technology Inc. | 55,892 | 8,531 | ||||
Analog Devices Inc. | 47,398 | 7,386 | ||||
Amphenol Corp. Class A | 55,337 | 6,955 | ||||
* | Fortinet Inc. | 40,174 | 6,783 | |||
* | Enphase Energy Inc. | 37,639 | 6,627 | |||
Teradyne Inc. | 49,522 | 6,369 | ||||
Cognizant Technology Solutions Corp. Class A | 81,352 | 5,978 | ||||
* | Qorvo Inc. | 34,010 | 5,943 | |||
* | Zebra Technologies Corp. Class A | 11,614 | 5,800 | |||
* | Tyler Technologies Inc. | 12,029 | 5,574 | |||
* | Trimble Inc. | 74,573 | 5,529 | |||
* | Paycom Software Inc. | 14,614 | 5,469 | |||
TE Connectivity Ltd. | 37,424 | 4,866 | ||||
Monolithic Power Systems Inc. | 12,553 | 4,701 | ||||
Paychex Inc. | 50,480 | 4,597 | ||||
Skyworks Solutions Inc. | 25,779 | 4,584 | ||||
* | Arista Networks Inc. | 16,255 | 4,549 | |||
* | Keysight Technologies Inc. | 31,496 | 4,457 | |||
Maxim Integrated Products Inc. | 47,774 | 4,451 | ||||
Corning Inc. | 107,081 | 4,095 | ||||
Motorola Solutions Inc. | 22,754 | 3,993 | ||||
Citrix Systems Inc. | 23,837 | 3,184 | ||||
* | FleetCor Technologies Inc. | 10,692 | 2,965 | |||
CDW Corp. | 18,772 | 2,945 | ||||
* | Akamai Technologies Inc. | 31,094 | 2,938 | |||
* | Gartner Inc. | 14,080 | 2,521 | |||
Broadridge Financial Solutions Inc. | 17,274 | 2,461 | ||||
* | VeriSign Inc. | 12,578 | 2,441 | |||
Jack Henry & Associates Inc. | 10,939 | 1,624 |
Shares | Market Value• ($000) | |||||
* | F5 Networks Inc. | 8,048 | 1,529 | |||
* | IPG Photonics Corp. | 4,801 | 1,091 | |||
2,084,442 | ||||||
Materials (1.8%) | ||||||
Linde plc | 90,736 | 22,164 | ||||
Sherwin-Williams Co. | 16,802 | 11,431 | ||||
* | Freeport-McMoRan Inc. | 268,562 | 9,107 | |||
Air Products and Chemicals Inc. | 30,287 | 7,742 | ||||
Newmont Corp. | 131,598 | 7,156 | ||||
Ecolab Inc. | 34,078 | 7,135 | ||||
Dow Inc. | 108,392 | 6,429 | ||||
Albemarle Corp. | 34,417 | 5,411 | ||||
Ball Corp. | 62,465 | 5,334 | ||||
FMC Corp. | 38,690 | 3,934 | ||||
Vulcan Materials Co. | 16,596 | 2,771 | ||||
Avery Dennison Corp. | 10,477 | 1,836 | ||||
Sealed Air Corp. | 30,385 | 1,273 | ||||
91,723 | ||||||
Real Estate (1.0%) | ||||||
American Tower Corp. | 67,523 | 14,594 | ||||
Crown Castle International Corp. | 77,126 | 12,012 | ||||
Equinix Inc. | 15,405 | 9,988 | ||||
SBA Communications Corp. Class A | 21,549 | 5,498 | ||||
Public Storage | 19,497 | 4,561 | ||||
Extra Space Storage Inc. | 18,508 | 2,326 | ||||
Duke Realty Corp. | 45,552 | 1,788 | ||||
50,767 | ||||||
Utilities (0.5%) | ||||||
NextEra Energy Inc. | 251,105 | 18,451 | ||||
American Water Works Co. Inc. | 27,028 | 3,835 | ||||
AES Corp. | 75,145 | 1,996 | ||||
NRG Energy Inc. | 43,082 | 1,573 | ||||
25,855 | ||||||
Total Common Stocks (Cost $3,327,693) | 4,982,457 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.099% (Cost $3,985) | 39,853 | 3,985 | |||
Total Investments (99.9%) (Cost $3,331,678) | 4,986,442 | |||||
Other Assets and Liabilities—Net (0.1%) | 2,976 | |||||
Net Assets (100%) | 4,989,418 |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | March 2021 | 5 | 1,291 | (69) |
E-mini S&P 500 Index | March 2021 | 3 | 571 | (15) |
(84) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
salesforce.com Inc. | 9/2/21 | BOANA | 4,807 | (0.107) | — | (478) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $3,327,693) | 4,982,457 |
Affiliated Issuers (Cost $3,985) | 3,985 |
Total Investments in Securities | 4,986,442 |
Investment in Vanguard | 187 |
Cash Collateral Pledged—Futures Contracts | 120 |
Receivables for Accrued Income | 3,629 |
Receivables for Capital Shares Issued | 2 |
Variation Margin Receivable—Futures Contracts | 5 |
Total Assets | 4,990,385 |
Liabilities | |
Due to Custodian | 248 |
Payables for Capital Shares Redeemed | 1 |
Payables to Vanguard | 240 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 478 |
Total Liabilities | 967 |
Net Assets | 4,989,418 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 3,262,170 |
Total Distributable Earnings (Loss) | 1,727,248 |
Net Assets | 4,989,418 |
ETF Shares—Net Assets | |
Applicable to 21,750,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,981,328 |
Net Asset Value Per Share—ETF Shares | $229.03 |
Institutional Shares—Net Assets | |
Applicable to 15,529 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,090 |
Net Asset Value Per Share—Institutional Shares | $520.99 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 21,743 |
Interest1 | 4 |
Total Income | 21,747 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 350 |
Management and Administrative—ETF Shares | 1,850 |
Management and Administrative—Institutional Shares | 3 |
Marketing and Distribution—ETF Shares | 84 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 5 |
Shareholders’ Reports—ETF Shares | 20 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,313 |
Net Investment Income | 19,434 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 170,107 |
Futures Contracts | 1,802 |
Realized Net Gain (Loss) | 171,909 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 28,274 |
Futures Contracts | (752) |
Swap Contracts | (478) |
Change in Unrealized Appreciation (Depreciation) | 27,044 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 218,387 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $184,375,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 19,434 | 39,621 | |
Realized Net Gain (Loss) | 171,909 | 233,544 | |
Change in Unrealized Appreciation (Depreciation) | 27,044 | 913,180 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 218,387 | 1,186,345 | |
Distributions | |||
ETF Shares | (21,460) | (40,288) | |
Institutional Shares | (40) | (94) | |
Total Distributions | (21,500) | (40,382) | |
Capital Share Transactions | |||
ETF Shares | 299,776 | 586,807 | |
Institutional Shares | (882) | (520) | |
Net Increase (Decrease) from Capital Share Transactions | 298,894 | 586,287 | |
Total Increase (Decrease) | 495,781 | 1,732,250 | |
Net Assets | |||
Beginning of Period | 4,493,637 | 2,761,387 | |
End of Period | 4,989,418 | 4,493,637 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $219.32 | $161.81 | $158.27 | $127.78 | $109.12 | $99.21 |
Investment Operations | ||||||
Net Investment Income | .9251 | 2.1111 | 2.1561 | 1.8331 | 1.8411 | 1.565 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.812 | 57.589 | 3.437 | 30.442 | 18.527 | 9.857 |
Total from Investment Operations | 10.737 | 59.700 | 5.593 | 32.275 | 20.368 | 11.422 |
Distributions | ||||||
Dividends from Net Investment Income | (1.027) | (2.190) | (2.053) | (1.785) | (1.708) | (1.512) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.027) | (2.190) | (2.053) | (1.785) | (1.708) | (1.512) |
Net Asset Value, End of Period | $229.03 | $219.32 | $161.81 | $158.27 | $127.78 | $109.12 |
Total Return | 4.92% | 37.29% | 3.60% | 25.48% | 18.85% | 11.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,981 | $4,485 | $2,755 | $2,327 | $1,664 | $1,031 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 0.83% | 1.20% | 1.41% | 1.29% | 1.57% | 1.59% |
Portfolio Turnover Rate2 | 13% | 24% | 23% | 18% | 19% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | April 5, 20191 to August 31, 2019 | October 17, 20181 to December 13, 2018 |
Net Asset Value, Beginning of Period | $498.89 | $368.04 | $356.55 | $343.28 |
Investment Operations | ||||
Net Investment Income2 | 2.157 | 4.861 | 3.777 | .856 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.314 | 131.012 | 7.713 | (19.628) |
Total from Investment Operations | 24.471 | 135.873 | 11.490 | (18.772) |
Distributions | ||||
Dividends from Net Investment Income | (2.371) | (5.023) | — | (.938) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (2.371) | (5.023) | — | (.938) |
Net Asset Value, End of Period | $520.99 | $498.89 | $368.04 | $323.57 |
Total Return | 4.93% | 37.35% | 3.22% | -5.47% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $8 | $9 | $7 | — |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08%3 | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 0.85% | 1.22% | 2.52%3 | 1.64%3 |
Portfolio Turnover Rate4 | 13% | 24% | 23%5 | 23%5 |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per-share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations. |
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. |
5 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
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 | 4,982,457 | — | — | 4,982,457 |
Temporary Cash Investments | 3,985 | — | — | 3,985 |
Total | 4,986,442 | — | — | 4,986,442 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 84 | — | — | 84 |
Swap Contracts | — | 478 | — | 478 |
Total | 84 | 478 | — | 562 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 3,332,761 |
Gross Unrealized Appreciation | 1,696,445 |
Gross Unrealized Depreciation | (43,326) |
Net Unrealized Appreciation (Depreciation) | 1,653,119 |
E. | During the six months ended February 28, 2021, the fund purchased $1,360,995,000 of investment securities and sold $1,062,320,000 of investment securities, other than temporary cash investments. Purchases and sales include $740,465,000 and $479,058,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 785,239 | 3,475 | 1,279,912 | 7,500 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (485,463) | (2,175) | (693,105) | (4,075) | |
Net Increase (Decrease)—ETF Shares | 299,776 | 1,300 | 586,807 | 3,425 | |
Institutional Shares | |||||
Issued | 34 | 1 | 965 | 2 | |
Issued in Lieu of Cash Distributions | 4 | — | 5 | — | |
Redeemed | (920) | (2) | (1,490) | (3) | |
Net Increase (Decrease)—Institutional Shares | (882) | (1) | (520) | (1) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Who Are Deaf or Hard of Hearing > 800-749-7273
All rights reserved.
U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749;
7,925,573; 8,090,646; 8,417,623; and 8,626,636.
Vanguard Marketing Corporation, Distributor.
Vanguard S&P Small-Cap 600 Index Fund |
Vanguard S&P Small-Cap 600 Value Index Fund |
Vanguard S&P Small-Cap 600 Growth Index Fund |
• | 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 February 28, 2021 | |||
Beginning Account Value 8/31/2020 | Ending Account Value 2/28/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,431.60 | $0.60 |
Institutional Shares | 1,000.00 | 1,431.90 | 0.48 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,483.20 | $0.92 |
Institutional Shares | 1,000.00 | 1,483.70 | 0.49 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,381.00 | $0.89 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Communication Services | 2.1% |
Consumer Discretionary | 15.3 |
Consumer Staples | 3.9 |
Energy | 3.9 |
Financials | 17.2 |
Health Care | 11.8 |
Industrials | 17.7 |
Information Technology | 14.3 |
Materials | 4.8 |
Other | 0.0 |
Real Estate | 7.6 |
Utilities | 1.4 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.7%) | ||||||
Communication Services (2.1%) | ||||||
* | Vonage Holdings Corp. | 798,485 | 10,556 | |||
Cogent Communications Holdings Inc. | 143,831 | 8,608 | ||||
Shenandoah Telecommunications Co. | 170,596 | 7,566 | ||||
* | TechTarget Inc. | 80,826 | 6,760 | |||
* | AMC Networks Inc. Class A | 101,662 | 6,668 | |||
* | Glu Mobile Inc. | 505,466 | 6,308 | |||
* | QuinStreet Inc. | 166,562 | 3,979 | |||
EW Scripps Co. Class A | 195,052 | 3,671 | ||||
* | Meredith Corp. | 138,636 | 3,435 | |||
Scholastic Corp. | 102,375 | 2,948 | ||||
* | Cincinnati Bell Inc. | 173,853 | 2,657 | |||
* | Gannett Co. Inc. | 449,085 | 2,223 | |||
ATN International Inc. | 37,521 | 1,827 | ||||
* | Marcus Corp. | 79,247 | 1,556 | |||
* | Consolidated Communications Holdings Inc. | 248,467 | 1,307 | |||
Spok Holdings Inc. | 59,977 | 643 | ||||
70,712 | ||||||
Consumer Discretionary (15.2%) | ||||||
*,1 | GameStop Corp. Class A | 187,113 | 19,037 | |||
* | Crocs Inc. | 230,726 | 17,701 | |||
Macy's Inc. | 1,060,816 | 16,135 | ||||
* | Shake Shack Inc. Class A | 121,866 | 14,439 | |||
* | Sleep Number Corp. | 94,893 | 13,013 | |||
LCI Industries | 86,005 | 12,122 | ||||
* | iRobot Corp. | 96,165 | 11,935 | |||
Bed Bath & Beyond Inc. | 430,778 | 11,571 | ||||
* | Stamps.com Inc. | 62,349 | 11,343 | |||
* | Asbury Automotive Group Inc. | 65,925 | 11,171 | |||
* | Meritage Homes Corp. | 128,548 | 10,838 | |||
Brinker International Inc. | 154,827 | 10,620 | ||||
MDC Holdings Inc. | 175,294 | 9,916 | ||||
Cooper Tire & Rubber Co. | 172,399 | 9,868 | ||||
Wolverine World Wide Inc. | 280,637 | 9,808 | ||||
* | Dorman Products Inc. | 98,270 | 9,798 |
Shares | Market Value• ($000) | |||||
Steven Madden Ltd. | 264,496 | 9,784 | ||||
Rent-A-Center Inc. | 166,793 | 9,634 | ||||
Callaway Golf Co. | 322,065 | 9,002 | ||||
Group 1 Automotive Inc. | 58,867 | 8,974 | ||||
* | Signet Jewelers Ltd. | 179,129 | 8,917 | |||
* | Installed Building Products Inc. | 77,484 | 8,474 | |||
* | LGI Homes Inc. | 75,562 | 8,255 | |||
Winnebago Industries Inc. | 115,492 | 8,038 | ||||
* | Gentherm Inc. | 111,662 | 7,905 | |||
Cheesecake Factory Inc. | 143,250 | 7,872 | ||||
Big Lots Inc. | 122,280 | 7,770 | ||||
Monro Inc. | 113,774 | 7,053 | ||||
* | ODP Corp. | 180,247 | 6,898 | |||
Kontoor Brands Inc. | 160,293 | 6,772 | ||||
* | Bloomin' Brands Inc. | 272,333 | 6,765 | |||
La-Z-Boy Inc. | 157,758 | 6,722 | ||||
Shutterstock Inc. | 75,496 | 6,661 | ||||
* | Dave & Buster's Entertainment Inc. | 162,178 | 6,586 | |||
* | Vista Outdoor Inc. | 198,909 | 6,288 | |||
* | Sally Beauty Holdings Inc. | 385,465 | 6,206 | |||
* | Cavco Industries Inc. | 29,205 | 6,160 | |||
* | Boot Barn Holdings Inc. | 98,643 | 5,960 | |||
Patrick Industries Inc. | 75,076 | 5,926 | ||||
Abercrombie & Fitch Co. Class A | 213,237 | 5,836 | ||||
* | Century Communities Inc. | 99,147 | 5,486 | |||
* | Tupperware Brands Corp. | 168,095 | 5,139 | |||
Core-Mark Holding Co. Inc. | 153,634 | 5,005 | ||||
* | M/I Homes Inc. | 98,244 | 4,902 | |||
Dine Brands Global Inc. | 56,161 | 4,443 | ||||
Oxford Industries Inc. | 57,726 | 4,401 | ||||
* | G-III Apparel Group Ltd. | 148,948 | 4,288 | |||
* | BJ's Restaurants Inc. | 76,491 | 4,248 | |||
Sturm Ruger & Co. Inc. | 59,882 | 4,084 | ||||
* | Michaels Cos. Inc. | 252,970 | 3,795 | |||
* | American Axle & Manufacturing Holdings Inc. | 387,751 | 3,788 | |||
Buckle Inc. | 98,088 | 3,770 |
Shares | Market Value• ($000) | |||||
Sonic Automotive Inc. Class A | 81,197 | 3,744 | ||||
* | Hibbett Sports Inc. | 56,821 | 3,651 | |||
* | Children's Place Inc. | 49,850 | 3,452 | |||
* | MarineMax Inc. | 75,698 | 3,380 | |||
Guess? Inc. | 128,295 | 3,234 | ||||
* | Zumiez Inc. | 71,331 | 3,216 | |||
* | Perdoceo Education Corp. | 237,483 | 3,056 | |||
* | Monarch Casino & Resort Inc. | 43,861 | 2,968 | |||
Standard Motor Products Inc. | 68,875 | 2,893 | ||||
* | America's Car-Mart Inc. | 20,979 | 2,832 | |||
* | Chuy's Holdings Inc. | 67,359 | 2,762 | |||
* | Universal Electronics Inc. | 46,916 | 2,730 | |||
* | Aaron's Co. Inc. | 114,970 | 2,525 | |||
Designer Brands Inc. Class A | 201,235 | 2,513 | ||||
Ruth's Hospitality Group Inc. | 109,042 | 2,487 | ||||
* | Lumber Liquidators Holdings Inc. | 98,641 | 2,443 | |||
* | Fossil Group Inc. | 160,058 | 2,423 | |||
PetMed Express Inc. | 69,374 | 2,408 | ||||
* | Genesco Inc. | 48,745 | 2,191 | |||
* | Cooper-Standard Holdings Inc. | 57,924 | 2,075 | |||
Haverty Furniture Cos. Inc. | 57,167 | 2,068 | ||||
Caleres Inc. | 129,496 | 2,054 | ||||
Ethan Allen Interiors Inc. | 74,803 | 1,916 | ||||
* | Red Robin Gourmet Burgers Inc. | 52,965 | 1,625 | |||
* | American Public Education Inc. | 50,894 | 1,498 | |||
Shoe Carnival Inc. | 29,340 | 1,436 | ||||
* | Liquidity Services Inc. | 89,266 | 1,393 | |||
* | Motorcar Parts of America Inc. | 65,483 | 1,393 | |||
Movado Group Inc. | 56,391 | 1,286 | ||||
* | Unifi Inc. | 51,349 | 1,280 | |||
* | El Pollo Loco Holdings Inc. | 64,696 | 1,186 | |||
Chico's FAS Inc. | 409,651 | 1,102 | ||||
* | Regis Corp. | 82,833 | 973 | |||
* | Conn's Inc. | 65,741 | 933 | |||
* | Fiesta Restaurant Group Inc. | 60,034 | 916 | |||
Cato Corp. Class A | 66,619 | 822 | ||||
* | Vera Bradley Inc. | 75,375 | 715 | |||
* | Barnes & Noble Education Inc. | 103,523 | 670 | |||
511,371 | ||||||
Consumer Staples (3.9%) | ||||||
WD-40 Co. | 46,729 | 14,568 | ||||
Medifast Inc. | 40,244 | 10,181 | ||||
* | Simply Good Foods Co. | 288,056 | 8,403 | |||
J & J Snack Foods Corp. | 51,228 | 8,133 |
Shares | Market Value• ($000) | |||||
PriceSmart Inc. | 79,772 | 7,694 | ||||
1 | B&G Foods Inc. | 219,441 | 6,656 | |||
Vector Group Ltd. | 434,803 | 5,935 | ||||
* | Central Garden & Pet Co. Class A | 133,093 | 5,525 | |||
* | Celsius Holdings Inc. | 90,691 | 5,399 | |||
* | United Natural Foods Inc. | 191,520 | 5,066 | |||
* | Cal-Maine Foods Inc. | 127,940 | 4,874 | |||
Inter Parfums Inc. | 60,415 | 4,420 | ||||
Calavo Growers Inc. | 56,803 | 4,274 | ||||
Universal Corp. | 83,624 | 4,250 | ||||
Coca-Cola Consolidated Inc. | 15,884 | 4,077 | ||||
* | USANA Health Sciences Inc. | 41,092 | 3,988 | |||
1 | National Beverage Corp. | 79,783 | 3,802 | |||
* | Chefs' Warehouse Inc. | 111,253 | 3,464 | |||
* | elf Beauty Inc. | 131,032 | 3,361 | |||
MGP Ingredients Inc. | 45,092 | 2,880 | ||||
Andersons Inc. | 104,547 | 2,733 | ||||
Fresh Del Monte Produce Inc. | 103,608 | 2,667 | ||||
John B Sanfilippo & Son Inc. | 30,178 | 2,609 | ||||
SpartanNash Co. | 122,743 | 2,238 | ||||
* | Central Garden & Pet Co. | 33,304 | 1,519 | |||
* | Seneca Foods Corp. Class A | 23,000 | 1,253 | |||
129,969 | ||||||
Energy (3.9%) | ||||||
* | PDC Energy Inc. | 340,649 | 11,906 | |||
Helmerich & Payne Inc. | 368,568 | 10,589 | ||||
* | Renewable Energy Group Inc. | 134,479 | 10,458 | |||
* | Southwestern Energy Co. | 2,208,477 | 8,944 | |||
* | Range Resources Corp. | 876,555 | 8,450 | |||
* | Matador Resources Co. | 375,205 | 7,838 | |||
Core Laboratories NV | 152,065 | 5,404 | ||||
SM Energy Co. | 363,746 | 5,042 | ||||
Patterson-UTI Energy Inc. | 640,490 | 4,740 | ||||
* | PBF Energy Inc. Class A | 328,192 | 4,660 | |||
Archrock Inc. | 440,101 | 4,537 | ||||
* | Dril-Quip Inc. | 120,165 | 4,081 | |||
* | Oceaneering International Inc. | 339,268 | 4,003 | |||
* | Green Plains Inc. | 140,473 | 3,557 | |||
* | Callon Petroleum Co. | 135,818 | 3,473 | |||
US Silica Holdings Inc. | 252,679 | 3,363 | ||||
DMC Global Inc. | 50,446 | 3,178 | ||||
* | ProPetro Holding Corp. | 275,923 | 3,165 | |||
QEP Resources Inc. | 828,869 | 2,851 | ||||
Nabors Industries Ltd. | 22,004 | 2,443 | ||||
* | Par Pacific Holdings Inc. | 136,680 | 2,415 | |||
* | Helix Energy Solutions Group Inc. | 483,039 | 2,367 | |||
* | Bristow Group Inc. Class A | 79,060 | 2,105 |
Shares | Market Value• ($000) | |||||
* | Bonanza Creek Energy Inc. | 63,199 | 2,018 | |||
* | REX American Resources Corp. | 18,093 | 1,702 | |||
* | Oil States International Inc. | 210,907 | 1,546 | |||
* | Dorian LPG Ltd. | 114,621 | 1,427 | |||
* | RPC Inc. | 197,235 | 1,252 | |||
* | CONSOL Energy Inc. | 101,451 | 1,097 | |||
* | Laredo Petroleum Inc. | 30,714 | 1,001 | |||
* | Talos Energy Inc. | 80,466 | 852 | |||
* | Penn Virginia Corp. | 51,954 | 761 | |||
* | Exterran Corp. | 86,131 | 471 | |||
131,696 | ||||||
Financials (17.2%) | ||||||
Community Bank System Inc. | 183,017 | 13,029 | ||||
Pacific Premier Bancorp Inc. | 322,597 | 13,001 | ||||
BankUnited Inc. | 315,781 | 12,691 | ||||
First Hawaiian Inc. | 447,032 | 12,468 | ||||
Assured Guaranty Ltd. | 276,066 | 12,208 | ||||
Ameris Bancorp | 237,537 | 11,316 | ||||
Simmons First National Corp. Class A | 372,105 | 10,895 | ||||
Columbia Banking System Inc. | 244,784 | 10,841 | ||||
* | Trupanion Inc. | 111,914 | 10,829 | |||
Investors Bancorp Inc. | 777,385 | 10,370 | ||||
Old National Bancorp | 565,246 | 10,248 | ||||
Walker & Dunlop Inc. | 99,290 | 9,895 | ||||
United Community Banks Inc. | 296,143 | 9,790 | ||||
Independent Bank Corp. | 112,738 | 9,640 | ||||
CVB Financial Corp. | 435,521 | 9,324 | ||||
WSFS Financial Corp. | 171,636 | 9,121 | ||||
Cadence Bancorp Class A | 430,884 | 8,842 | ||||
Independent Bank Group Inc. | 125,747 | 8,763 | ||||
American Equity Investment Life Holding Co. | 314,792 | 8,698 | ||||
* | Green Dot Corp. Class A | 182,894 | 8,644 | |||
* | Axos Financial Inc. | 175,879 | 8,138 | |||
ServisFirst Bancshares Inc. | 160,555 | 7,957 | ||||
First Bancorp | 745,662 | 7,822 | ||||
First Midwest Bancorp Inc. | 390,983 | 7,734 | ||||
* | Mr Cooper Group Inc. | 245,678 | 7,727 | |||
Renasant Corp. | 191,984 | 7,541 | ||||
First Financial Bancorp | 335,073 | 7,516 | ||||
Hilltop Holdings Inc. | 222,040 | 7,336 | ||||
Flagstar Bancorp Inc. | 161,604 | 7,012 | ||||
* | Seacoast Banking Corp. of Florida | 188,541 | 6,778 | |||
* | NMI Holdings Inc. Class A | 289,805 | 6,625 | |||
PennyMac Mortgage Investment Trust | 337,654 | 6,405 | ||||
* | Palomar Holdings Inc. | 74,080 | 6,306 |
Shares | Market Value• ($000) | |||||
Banner Corp. | 120,233 | 6,226 | ||||
Northwest Bancshares Inc. | 436,976 | 6,170 | ||||
Virtus Investment Partners Inc. | 24,453 | 6,135 | ||||
Park National Corp. | 48,509 | 6,015 | ||||
* | Triumph Bancorp Inc. | 77,284 | 5,928 | |||
Capitol Federal Financial Inc. | 441,269 | 5,873 | ||||
Apollo Commercial Real Estate Finance Inc. | 441,436 | 5,867 | ||||
* | PRA Group Inc. | 155,812 | 5,743 | |||
Hope Bancorp Inc. | 423,227 | 5,570 | ||||
Westamerica Bancorp | 91,865 | 5,522 | ||||
Horace Mann Educators Corp. | 141,593 | 5,457 | ||||
NBT Bancorp Inc. | 149,175 | 5,405 | ||||
Eagle Bancorp Inc. | 110,223 | 5,389 | ||||
New York Mortgage Trust Inc. | 1,291,884 | 5,387 | ||||
Waddell & Reed Financial Inc. Class A | 213,803 | 5,364 | ||||
*,1 | eHealth Inc. | 88,533 | 5,261 | |||
Meta Financial Group Inc. | 114,390 | 5,066 | ||||
Great Western Bancorp Inc. | 188,149 | 5,048 | ||||
Provident Financial Services Inc. | 249,354 | 5,044 | ||||
Piper Sandler Cos. | 47,021 | 4,999 | ||||
Veritex Holdings Inc. | 169,967 | 4,943 | ||||
James River Group Holdings Ltd. | 104,692 | 4,806 | ||||
ProAssurance Corp. | 184,396 | 4,564 | ||||
FB Financial Corp. | 106,566 | 4,519 | ||||
First Commonwealth Financial Corp. | 329,025 | 4,412 | ||||
Stewart Information Services Corp. | 91,407 | 4,314 | ||||
BancFirst Corp. | 63,762 | 4,073 | ||||
City Holding Co. | 54,047 | 4,065 | ||||
National Bank Holdings Corp. Class A | 104,565 | 4,052 | ||||
First Bancorp (XNGS) | 98,016 | 3,947 | ||||
S&T Bancorp Inc. | 134,233 | 3,877 | ||||
AMERISAFE Inc. | 66,162 | 3,872 | ||||
Boston Private Financial Holdings Inc. | 280,851 | 3,864 | ||||
Brookline Bancorp Inc. | 269,647 | 3,837 | ||||
Safety Insurance Group Inc. | 48,439 | 3,831 | ||||
Redwood Trust Inc. | 383,265 | 3,771 | ||||
* | Enova International Inc. | 122,104 | 3,749 | |||
Brightsphere Investment Group Inc. | 205,102 | 3,712 | ||||
Southside Bancshares Inc. | 107,347 | 3,712 | ||||
* | Encore Capital Group Inc. | 107,323 | 3,587 | |||
Dime Community Bancshares Inc. | 119,706 | 3,521 |
Shares | Market Value• ($000) | |||||
Berkshire Hills Bancorp Inc. | 174,422 | 3,516 | ||||
OFG Bancorp | 175,230 | 3,384 | ||||
Employers Holdings Inc. | 99,422 | 3,310 | ||||
* | StoneX Group Inc. | 55,722 | 3,215 | |||
HomeStreet Inc. | 74,686 | 3,208 | ||||
Tompkins Financial Corp. | 41,320 | 3,195 | ||||
Heritage Financial Corp. | 122,425 | 3,170 | ||||
* | Third Point Reinsurance Ltd. | 290,546 | 2,966 | |||
Banc of California Inc. | 151,558 | 2,813 | ||||
Preferred Bank | 46,463 | 2,693 | ||||
ARMOUR Residential REIT Inc. | 221,416 | 2,672 | ||||
* | Blucora Inc. | 164,403 | 2,663 | |||
* | Customers Bancorp Inc. | 99,330 | 2,660 | |||
* | Ambac Financial Group Inc. | 156,098 | 2,646 | |||
* | Donnelley Financial Solutions Inc. | 101,532 | 2,639 | |||
Allegiance Bancshares Inc. | 64,372 | 2,424 | ||||
1 | Invesco Mortgage Capital Inc. | 621,347 | 2,417 | |||
TrustCo Bank Corp. | 330,466 | 2,274 | ||||
Northfield Bancorp Inc. | 163,878 | 2,243 | ||||
Central Pacific Financial Corp. | 96,539 | 2,185 | ||||
United Fire Group Inc. | 73,263 | 2,158 | ||||
Granite Point Mortgage Trust Inc. | 189,292 | 2,112 | ||||
WisdomTree Investments Inc. | 381,068 | 2,020 | ||||
Capstead Mortgage Corp. | 328,163 | 1,880 | ||||
Ready Capital Corp. | 139,530 | 1,831 | ||||
Hanmi Financial Corp. | 105,242 | 1,802 | ||||
* | World Acceptance Corp. | 13,623 | 1,724 | |||
KKR Real Estate Finance Trust Inc. | 93,374 | 1,721 | ||||
Universal Insurance Holdings Inc. | 97,684 | 1,455 | ||||
HCI Group Inc. | 21,169 | 1,225 | ||||
* | EZCORP Inc. Class A | 179,026 | 859 | |||
Greenhill & Co. Inc. | 48,410 | 730 | ||||
United Insurance Holdings Corp. | 70,379 | 438 | ||||
578,255 | ||||||
Health Care (11.8%) | ||||||
* | NeoGenomics Inc. | 379,582 | 19,347 | |||
* | Omnicell Inc. | 144,648 | 18,356 | |||
* | Glaukos Corp. | 153,713 | 14,535 | |||
Ensign Group Inc. | 174,319 | 14,298 | ||||
* | Covetrus Inc. | 338,829 | 12,591 | |||
CONMED Corp. | 97,796 | 12,035 | ||||
* | AMN Healthcare Services Inc. | 160,802 | 11,718 | |||
* | Select Medical Holdings Corp. | 368,869 | 11,675 |
Shares | Market Value• ($000) | |||||
* | HMS Holdings Corp. | 302,806 | 11,139 | |||
* | R1 RCM Inc. | 398,909 | 11,026 | |||
* | Pacira BioSciences Inc. | 148,562 | 10,919 | |||
* | Integer Holdings Corp. | 112,429 | 9,915 | |||
* | Xencor Inc. | 196,506 | 9,682 | |||
* | Merit Medical Systems Inc. | 167,139 | 9,313 | |||
* | Corcept Therapeutics Inc. | 357,603 | 8,994 | |||
Owens & Minor Inc. | 251,617 | 8,557 | ||||
* | Allscripts Healthcare Solutions Inc. | 540,312 | 8,337 | |||
* | Myriad Genetics Inc. | 257,415 | 7,849 | |||
* | Magellan Health Inc. | 78,002 | 7,279 | |||
* | MEDNAX Inc. | 292,978 | 7,157 | |||
* | Prestige Consumer Healthcare Inc. | 171,150 | 7,139 | |||
* | Endo International plc | 788,250 | 6,251 | |||
* | Heska Corp. | 30,368 | 5,721 | |||
* | Cardiovascular Systems Inc. | 137,114 | 5,663 | |||
* | Addus HomeCare Corp. | 51,303 | 5,519 | |||
* | ModivCare Inc. | 42,247 | 5,419 | |||
US Physical Therapy Inc. | 43,913 | 5,148 | ||||
* | Supernus Pharmaceuticals Inc. | 180,107 | 4,839 | |||
Luminex Corp. | 147,963 | 4,812 | ||||
* | REGENXBIO Inc. | 116,878 | 4,781 | |||
* | Pennant Group Inc. | 86,743 | 4,578 | |||
*,1 | Fulgent Genetics Inc. | 44,896 | 4,546 | |||
* | Cytokinetics Inc. | 241,937 | 4,531 | |||
Mesa Laboratories Inc. | 16,629 | 4,522 | ||||
* | Lantheus Holdings Inc. | 229,096 | 4,280 | |||
Simulations Plus Inc. | 51,880 | 3,721 | ||||
* | NextGen Healthcare Inc. | 188,953 | 3,533 | |||
* | Coherus Biosciences Inc. | 217,184 | 3,527 | |||
* | Vanda Pharmaceuticals Inc. | 186,913 | 3,486 | |||
* | Tactile Systems Technology Inc. | 66,320 | 3,370 | |||
* | CryoLife Inc. | 133,069 | 3,360 | |||
* | Inogen Inc. | 62,910 | 3,302 | |||
* | Community Health Systems Inc. | 384,969 | 3,295 | |||
* | CorVel Corp. | 31,268 | 3,174 | |||
* | Meridian Bioscience Inc. | 147,548 | 3,110 | |||
* | Orthofix Medical Inc. | 66,064 | 3,073 | |||
* | Varex Imaging Corp. | 133,708 | 3,066 | |||
* | Tivity Health Inc. | 127,889 | 3,044 | |||
*,1 | Tabula Rasa HealthCare Inc. | 74,286 | 3,012 | |||
* | Enanta Pharmaceuticals Inc. | 60,919 | 3,005 | |||
* | Natus Medical Inc. | 115,790 | 3,000 | |||
LeMaitre Vascular Inc. | 57,878 | 2,974 | ||||
* | Hanger Inc. | 130,626 | 2,871 | |||
* | Collegium Pharmaceutical Inc. | 118,021 | 2,784 |
Shares | Market Value• ($000) | |||||
* | AngioDynamics Inc. | 129,706 | 2,717 | |||
* | RadNet Inc. | 146,423 | 2,700 | |||
* | OraSure Technologies Inc. | 244,668 | 2,593 | |||
* | Innoviva Inc. | 214,285 | 2,449 | |||
* | Surmodics Inc. | 46,724 | 2,437 | |||
* | Amphastar Pharmaceuticals Inc. | 125,258 | 2,196 | |||
* | Cutera Inc. | 60,352 | 2,132 | |||
* | HealthStream Inc. | 86,586 | 2,017 | |||
* | Anika Therapeutics Inc. | 48,763 | 1,790 | |||
* | Eagle Pharmaceuticals Inc. | 39,611 | 1,763 | |||
* | Spectrum Pharmaceuticals Inc. | 500,214 | 1,716 | |||
Phibro Animal Health Corp. Class A | 69,121 | 1,491 | ||||
Computer Programs & Systems Inc. | 43,404 | 1,365 | ||||
* | Cross Country Healthcare Inc. | 119,657 | 1,329 | |||
Invacare Corp. | 117,376 | 1,068 | ||||
*,1 | Zynex Inc. | 66,592 | 967 | |||
* | ANI Pharmaceuticals Inc. | 32,645 | 950 | |||
* | Lannett Co. Inc. | 116,593 | 707 | |||
395,565 | ||||||
Industrials (17.6%) | ||||||
* | Saia Inc. | 89,500 | 17,947 | |||
* | Chart Industries Inc. | 120,660 | 17,265 | |||
Exponent Inc. | 176,668 | 17,043 | ||||
John Bean Technologies Corp. | 108,560 | 16,020 | ||||
* | Proto Labs Inc. | 91,451 | 13,323 | |||
UFP Industries Inc. | 209,177 | 12,760 | ||||
UniFirst Corp. | 52,059 | 12,613 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 245,722 | 12,598 | |||
Hillenbrand Inc. | 255,637 | 11,877 | ||||
* | Resideo Technologies Inc. | 480,305 | 11,537 | |||
Korn Ferry | 185,120 | 11,394 | ||||
Applied Industrial Technologies Inc. | 132,543 | 11,315 | ||||
* | Allegiant Travel Co. Class A | 44,829 | 11,305 | |||
AAON Inc. | 139,302 | 10,740 | ||||
Watts Water Technologies Inc. Class A | 93,827 | 10,705 | ||||
Matson Inc. | 147,274 | 10,202 | ||||
ABM Industries Inc. | 228,054 | 9,847 | ||||
Franklin Electric Co. Inc. | 131,145 | 9,844 | ||||
* | Gibraltar Industries Inc. | 111,189 | 9,712 | |||
SkyWest Inc. | 171,285 | 9,655 | ||||
ESCO Technologies Inc. | 89,072 | 9,412 | ||||
Arcosa Inc. | 165,091 | 9,366 | ||||
* | SPX FLOW Inc. | 144,410 | 8,890 | |||
Brady Corp. Class A | 165,806 | 8,690 | ||||
* | SPX Corp. | 153,204 | 8,517 | |||
Barnes Group Inc. | 159,380 | 8,344 |
Shares | Market Value• ($000) | |||||
Albany International Corp. Class A | 105,040 | 8,303 | ||||
* | AeroVironment Inc. | 75,134 | 8,271 | |||
Forward Air Corp. | 94,134 | 8,074 | ||||
Mueller Industries Inc. | 195,038 | 7,926 | ||||
Moog Inc. Class A | 100,471 | 7,803 | ||||
Comfort Systems USA Inc. | 124,347 | 7,702 | ||||
Federal Signal Corp. | 206,783 | 7,529 | ||||
* | Meritor Inc. | 247,025 | 7,502 | |||
Cubic Corp. | 107,754 | 7,483 | ||||
* | Vicor Corp. | 72,175 | 7,109 | |||
Boise Cascade Co. | 134,012 | 6,693 | ||||
* | Hub Group Inc. Class A | 114,475 | 6,591 | |||
Lindsay Corp. | 37,132 | 5,950 | ||||
Deluxe Corp. | 143,203 | 5,661 | ||||
EnPro Industries Inc. | 70,244 | 5,643 | ||||
Granite Construction Inc. | 159,845 | 5,495 | ||||
* | American Woodmark Corp. | 58,105 | 5,428 | |||
* | GMS Inc. | 145,975 | 5,343 | |||
Greenbrier Cos. Inc. | 112,242 | 5,281 | ||||
Astec Industries Inc. | 77,307 | 5,251 | ||||
HNI Corp. | 145,830 | 5,190 | ||||
Alamo Group Inc. | 33,715 | 5,146 | ||||
ArcBest Corp. | 86,857 | 5,124 | ||||
Enerpac Tool Group Corp. Class A | 204,611 | 5,054 | ||||
Pitney Bowes Inc. | 591,693 | 5,018 | ||||
* | Atlas Air Worldwide Holdings Inc. | 89,390 | 4,928 | |||
Tennant Co. | 63,192 | 4,815 | ||||
Raven Industries Inc. | 122,644 | 4,808 | ||||
* | PGT Innovations Inc. | 201,672 | 4,757 | |||
Encore Wire Corp. | 70,607 | 4,627 | ||||
Kaman Corp. | 94,649 | 4,606 | ||||
AZZ Inc. | 89,214 | 4,558 | ||||
AAR Corp. | 113,545 | 4,517 | ||||
* | Harsco Corp. | 269,896 | 4,415 | |||
* | Hawaiian Holdings Inc. | 157,413 | 4,222 | |||
Standex International Corp. | �� 42,382 | 4,156 | ||||
* | US Ecology Inc. | 107,828 | 4,120 | |||
* | NOW Inc. | 373,568 | 3,971 | |||
Matthews International Corp. Class A | 108,839 | 3,886 | ||||
Griffon Corp. | 153,709 | 3,781 | ||||
Apogee Enterprises Inc. | 90,118 | 3,370 | ||||
* | MYR Group Inc. | 57,082 | 3,365 | |||
Marten Transport Ltd. | 201,079 | 3,253 | ||||
Heartland Express Inc. | 168,213 | 3,061 | ||||
Wabash National Corp. | 180,800 | 2,998 | ||||
CoreCivic Inc. | 409,816 | 2,942 | ||||
Viad Corp. | 69,809 | 2,921 | ||||
* | SEACOR Holdings Inc. | 65,202 | 2,772 | |||
Quanex Building Products Corp. | 112,323 | 2,733 | ||||
* | Aegion Corp. Class A | 105,260 | 2,721 | |||
* | Triumph Group Inc. | 178,236 | 2,597 |
Shares | Market Value• ($000) | |||||
* | Echo Global Logistics Inc. | 91,090 | 2,538 | |||
* | TrueBlue Inc. | 121,053 | 2,522 | |||
Interface Inc. Class A | 200,621 | 2,492 | ||||
* | CIRCOR International Inc. | 68,495 | 2,439 | |||
Heidrick & Struggles International Inc. | 66,274 | 2,379 | ||||
* | Kelly Services Inc. Class A | 113,771 | 2,369 | |||
Insteel Industries Inc. | 66,105 | 2,041 | ||||
* | Lydall Inc. | 57,412 | 2,000 | |||
National Presto Industries Inc. | 17,812 | 1,823 | ||||
* | Forrester Research Inc. | 37,623 | 1,700 | |||
* | DXP Enterprises Inc. | 56,168 | 1,687 | |||
Titan International Inc. | 171,254 | 1,416 | ||||
Resources Connection Inc. | 104,036 | 1,327 | ||||
* | Matrix Service Co. | 90,151 | 1,223 | |||
* | Team Inc. | 104,637 | 1,160 | |||
* | Veritiv Corp. | 42,105 | 1,001 | |||
Powell Industries Inc. | 30,449 | 948 | ||||
Park Aerospace Corp. | 63,559 | 883 | ||||
592,339 | ||||||
Information Technology (14.2%) | ||||||
* | MicroStrategy Inc. Class A | 24,795 | 18,606 | |||
Power Integrations Inc. | 204,962 | 18,112 | ||||
* | Itron Inc. | 138,084 | 16,189 | |||
* | 3D Systems Corp. | 424,396 | 15,210 | |||
* | LivePerson Inc. | 212,676 | 13,956 | |||
Advanced Energy Industries Inc. | 130,830 | 13,665 | ||||
* | Alarm.com Holdings Inc. | 152,801 | 13,428 | |||
* | Viavi Solutions Inc. | 782,990 | 12,673 | |||
* | 8x8 Inc. | 363,498 | 12,435 | |||
* | SPS Commerce Inc. | 120,743 | 12,162 | |||
* | FormFactor Inc. | 264,599 | 12,005 | |||
* | Rogers Corp. | 63,856 | 11,589 | |||
* | Diodes Inc. | 144,155 | 11,319 | |||
* | Fabrinet | 126,301 | 11,156 | |||
Badger Meter Inc. | 99,561 | 10,811 | ||||
Kulicke & Soffa Industries Inc. | 212,108 | 10,576 | ||||
* | Onto Innovation Inc. | 166,982 | 10,430 | |||
* | Insight Enterprises Inc. | 120,045 | 10,035 | |||
* | ExlService Holdings Inc. | 115,571 | 9,780 | |||
* | MaxLinear Inc. Class A | 230,874 | 9,182 | |||
* | Plexus Corp. | 98,445 | 8,267 | |||
* | Rambus Inc. | 389,772 | 8,177 | |||
NIC Inc. | 229,406 | 7,963 | ||||
EVERTEC Inc. | 204,267 | 7,946 | ||||
* | Sanmina Corp. | 222,281 | 7,918 | |||
Xperi Holding Corp. | 361,859 | 7,635 | ||||
ManTech International Corp. Class A | 92,988 | 7,268 | ||||
Progress Software Corp. | 154,081 | 6,555 | ||||
* | Knowles Corp. | 313,342 | 6,514 | |||
* | Ultra Clean Holdings Inc. | 138,368 | 6,417 |
Shares | Market Value• ($000) | |||||
* | Perficient Inc. | 113,038 | 6,295 | |||
* | Cohu Inc. | 143,372 | 6,230 | |||
* | Bottomline Technologies DE Inc. | 134,085 | 6,018 | |||
* | FARO Technologies Inc. | 60,971 | 5,698 | |||
* | Sykes Enterprises Inc. | 135,237 | ��� 5,526 | |||
* | OSI Systems Inc. | 56,983 | 5,392 | |||
* | Unisys Corp. | 215,473 | 5,290 | |||
TTEC Holdings Inc. | 62,287 | 5,241 | ||||
CSG Systems International Inc. | 112,626 | 5,198 | ||||
* | Plantronics Inc. | 128,332 | 5,196 | |||
Methode Electronics Inc. | 128,351 | 4,997 | ||||
* | TTM Technologies Inc. | 339,614 | 4,795 | |||
* | Cardtronics plc Class A | 121,721 | 4,692 | |||
* | CEVA Inc. | 76,099 | 4,660 | |||
* | ePlus Inc. | 46,224 | 4,371 | |||
* | Axcelis Technologies Inc. | 114,367 | 4,217 | |||
* | NETGEAR Inc. | 103,628 | 4,145 | |||
* | Agilysys Inc. | 69,322 | 4,131 | |||
* | Extreme Networks Inc. | 421,061 | 3,861 | |||
* | Diebold Nixdorf Inc. | 265,845 | 3,860 | |||
MTS Systems Corp. | 65,988 | 3,851 | ||||
* | Veeco Instruments Inc. | 169,902 | 3,653 | |||
CTS Corp. | 110,724 | 3,562 | ||||
Benchmark Electronics Inc. | 124,352 | 3,532 | ||||
* | Ichor Holdings Ltd. | 79,031 | 3,379 | |||
ADTRAN Inc. | 164,488 | 2,770 | ||||
* | OneSpan Inc. | 116,659 | 2,725 | |||
* | Photronics Inc. | 224,452 | 2,673 | |||
* | Harmonic Inc. | 333,517 | 2,583 | |||
* | ScanSource Inc. | 86,860 | 2,470 | |||
* | Digi International Inc. | 99,688 | 2,329 | |||
Comtech Telecommunications Corp. | 85,571 | 2,300 | ||||
* | SMART Global Holdings Inc. | 47,613 | 2,223 | |||
Ebix Inc. | 80,262 | 1,957 | ||||
* | Arlo Technologies Inc. | 269,874 | 1,878 | |||
* | PDF Solutions Inc. | 100,139 | 1,839 | |||
PC Connection Inc. | 37,635 | 1,732 | ||||
* | CalAmp Corp. | 120,247 | 1,343 | |||
* | DSP Group Inc. | 74,437 | 1,159 | |||
Daktronics Inc. | 124,849 | 675 | ||||
* | Applied Optoelectronics Inc. | 71,621 | 668 | |||
Bel Fuse Inc. Class B | 34,594 | 614 | ||||
* | BM Technologies Inc. | 14,717 | 167 | |||
477,874 | ||||||
Materials (4.8%) | ||||||
Balchem Corp. | 110,565 | 13,197 | ||||
Quaker Chemical Corp. | 45,100 | 12,735 | ||||
HB Fuller Co. | 176,906 | 9,919 | ||||
* | Livent Corp. | 500,281 | 9,315 |
Shares | Market Value• ($000) | |||||
Stepan Co. | 72,971 | 8,807 | ||||
* | Allegheny Technologies Inc. | 433,091 | 8,515 | |||
Trinseo SA | 130,892 | 8,470 | ||||
Innospec Inc. | 83,985 | 8,436 | ||||
* | Arconic Corp. | 332,389 | 7,286 | |||
Carpenter Technology Corp. | 164,263 | 6,679 | ||||
Kaiser Aluminum Corp. | 54,061 | 6,168 | ||||
Schweitzer-Mauduit International Inc. | 107,455 | 5,018 | ||||
Materion Corp. | 69,562 | 4,764 | ||||
* | Ferro Corp. | 281,672 | 4,470 | |||
* | GCP Applied Technologies Inc. | 164,517 | 4,078 | |||
* | Kraton Corp. | 108,805 | 4,046 | |||
Warrior Met Coal Inc. | 174,519 | 3,346 | ||||
Neenah Inc. | 57,318 | 3,171 | ||||
* | US Concrete Inc. | 54,171 | 2,788 | |||
Myers Industries Inc. | 122,516 | 2,712 | ||||
* | AdvanSix Inc. | 95,932 | 2,667 | |||
Glatfelter Corp. | 152,059 | 2,441 | ||||
* | Koppers Holdings Inc. | 72,035 | 2,407 | |||
* | Century Aluminum Co. | 171,539 | 2,355 | |||
Mercer International Inc. | 134,583 | 2,069 | ||||
Hawkins Inc. | 32,541 | 2,037 | ||||
* | Rayonier Advanced Materials Inc. | 217,533 | 2,012 | |||
* | Clearwater Paper Corp. | 56,757 | 1,987 | |||
SunCoke Energy Inc. | 283,990 | 1,815 | ||||
American Vanguard Corp. | 91,286 | 1,782 | ||||
Tredegar Corp. | 87,771 | 1,338 | ||||
FutureFuel Corp. | 88,524 | 1,300 | ||||
Haynes International Inc. | 43,445 | 1,213 | ||||
* | TimkenSteel Corp. | 130,631 | 1,055 | |||
Olympic Steel Inc. | 31,051 | 554 | ||||
Cleveland-Cliffs Inc. | 6,726 | 90 | ||||
161,042 | ||||||
Other (0.0%)2 | ||||||
*,3 | Lantheus Holdings Inc. CVR | 276,566 | — | |||
Real Estate (7.6%) | ||||||
Innovative Industrial Properties Inc. | 75,812 | 14,783 | ||||
Agree Realty Corp. | 199,625 | 12,888 | ||||
Lexington Realty Trust | 947,161 | 10,154 | ||||
Uniti Group Inc. | 795,903 | 9,479 | ||||
Essential Properties Realty Trust Inc. | 358,073 | 8,307 | ||||
National Storage Affiliates Trust | 213,020 | 8,212 | ||||
Xenia Hotels & Resorts Inc. | 388,748 | 7,763 | ||||
Retail Properties of America Inc. Class A | 733,310 | 7,722 | ||||
CareTrust REIT Inc. | 327,667 | 7,268 |
Shares | Market Value• ($000) | |||||
Brandywine Realty Trust | 582,722 | 7,127 | ||||
* | DiamondRock Hospitality Co. | 681,734 | 6,899 | |||
SITE Centers Corp. | 515,157 | 6,872 | ||||
Four Corners Property Trust Inc. | 251,445 | 6,812 | ||||
Retail Opportunity Investments Corp. | 403,205 | 6,375 | ||||
Washington REIT | 281,492 | 6,339 | ||||
Easterly Government Properties Inc. | 277,584 | 6,101 | ||||
* | Realogy Holdings Corp. | 394,373 | 5,947 | |||
Global Net Lease Inc. | 305,940 | 5,684 | ||||
Acadia Realty Trust | 294,923 | 5,577 | ||||
Kite Realty Group Trust | 287,872 | 5,519 | ||||
LTC Properties Inc. | 134,173 | 5,489 | ||||
St. Joe Co. | 106,662 | 5,368 | ||||
American Assets Trust Inc. | 171,052 | 5,316 | ||||
1 | Tanger Factory Outlet Centers Inc. | 319,553 | 5,030 | |||
Industrial Logistics Properties Trust | 223,448 | 4,753 | ||||
Independence Realty Trust Inc. | 324,711 | 4,559 | ||||
iStar Inc. | 253,057 | 4,484 | ||||
Alexander & Baldwin Inc. | 247,518 | 4,324 | ||||
Office Properties Income Trust | 165,407 | 4,183 | ||||
Mack-Cali Realty Corp. | 294,797 | 4,118 | ||||
* | Summit Hotel Properties Inc. | 361,866 | 3,745 | |||
Safehold Inc. | 49,057 | 3,741 | ||||
Diversified Healthcare Trust | 812,959 | 3,658 | ||||
Getty Realty Corp. | 123,159 | 3,446 | ||||
Community Healthcare Trust Inc. | 75,437 | 3,306 | ||||
* | Marcus & Millichap Inc. | 82,006 | 3,106 | |||
NexPoint Residential Trust Inc. | 75,422 | 3,095 | ||||
Centerspace | 44,461 | 3,051 | ||||
RPT Realty | 277,199 | 3,041 | ||||
1 | GEO Group Inc. | 413,729 | 2,979 | |||
Universal Health Realty Income Trust | 43,656 | 2,705 | ||||
RE/MAX Holdings Inc. Class A | 63,312 | 2,641 | ||||
Armada Hoffler Properties Inc. | 198,557 | 2,563 | ||||
* | Chatham Lodging Trust | 160,983 | 2,243 | |||
Urstadt Biddle Properties Inc. Class A | 102,013 | 1,644 | ||||
Franklin Street Properties Corp. | 328,619 | 1,630 | ||||
Saul Centers Inc. | 43,840 | 1,553 |
Shares | Market Value• ($000) | |||||
* | Hersha Hospitality Trust Class A | 124,415 | 1,384 | |||
Whitestone REIT | 135,896 | 1,271 | ||||
254,254 | ||||||
Utilities (1.4%) | ||||||
Avista Corp. | 235,053 | 9,451 | ||||
California Water Service Group | 170,409 | 9,364 | ||||
American States Water Co. | 126,133 | 9,214 | ||||
South Jersey Industries Inc. | 343,975 | 8,637 | ||||
Chesapeake Utilities Corp. | 59,666 | 6,309 | ||||
Northwest Natural Holding Co. | 104,581 | 5,019 | ||||
47,994 | ||||||
Total Common Stocks (Cost $2,699,809) | 3,351,071 | |||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $50,916) | 509,252 | 50,925 | |||
Total Investments (101.2%) (Cost $2,750,725) | 3,401,996 | |||||
Other Assets and Liabilities—Net (-1.2%) | (41,609) | |||||
Net Assets (100%) | 3,360,387 |
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 $37,229,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $39,818,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2021 | 97 | 10,666 | (394) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $2,699,809) | 3,351,071 |
Affiliated Issuers (Cost $50,916) | 50,925 |
Total Investments in Securities | 3,401,996 |
Investment in Vanguard | 118 |
Cash Collateral Pledged—Futures Contracts | 815 |
Receivables for Investment Securities Sold | 652 |
Receivables for Accrued Income | 1,682 |
Receivables for Capital Shares Issued | 15,921 |
Variation Margin Receivable—Futures Contracts | 1 |
Total Assets | 3,421,185 |
Liabilities | |
Due to Custodian | 642 |
Payables for Investment Securities Purchased | 15,825 |
Collateral for Securities on Loan | 39,818 |
Payables for Capital Shares Redeemed | 4,373 |
Payables to Vanguard | 140 |
Total Liabilities | 60,798 |
Net Assets | 3,360,387 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 2,699,935 |
Total Distributable Earnings (Loss) | 660,452 |
Net Assets | 3,360,387 |
ETF Shares—Net Assets | |
Applicable to 7,550,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,449,819 |
Net Asset Value Per Share—ETF Shares | $192.03 |
Institutional Shares—Net Assets | |
Applicable to 4,947,172 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,910,568 |
Net Asset Value Per Share—Institutional Shares | $386.19 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 14,629 |
Interest1 | 4 |
Securities Lending—Net | 720 |
Total Income | 15,353 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 203 |
Management and Administrative—ETF Shares | 433 |
Management and Administrative—Institutional Shares | 446 |
Marketing and Distribution—ETF Shares | 27 |
Marketing and Distribution—Institutional Shares | 23 |
Custodian Fees | 42 |
Shareholders’ Reports—ETF Shares | 5 |
Shareholders’ Reports—Institutional Shares | 9 |
Trustees’ Fees and Expenses | — |
Total Expenses | 1,188 |
Net Investment Income | 14,165 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 133,853 |
Futures Contracts | 3,622 |
Realized Net Gain (Loss) | 137,475 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 838,126 |
Futures Contracts | (593) |
Change in Unrealized Appreciation (Depreciation) | 837,533 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 989,173 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,000, $0, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $163,536,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 14,165 | 31,873 | |
Realized Net Gain (Loss) | 137,475 | 111,777 | |
Change in Unrealized Appreciation (Depreciation) | 837,533 | (142,760) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 989,173 | 890 | |
Distributions | |||
ETF Shares | (13,235) | (15,071) | |
Institutional Shares | (18,167) | (18,355) | |
Total Distributions | (31,402) | (33,426) | |
Capital Share Transactions | |||
ETF Shares | 54,301 | 8,344 | |
Institutional Shares | (14,850) | 210,294 | |
Net Increase (Decrease) from Capital Share Transactions | 39,451 | 218,638 | |
Total Increase (Decrease) | 997,222 | 186,102 | |
Net Assets | |||
Beginning of Period | 2,363,165 | 2,177,063 | |
End of Period | 3,360,387 | 2,363,165 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $135.61 | $138.09 | $164.67 | $125.83 | $112.23 | $100.42 |
Investment Operations | ||||||
Net Investment Income1 | .816 | 1.946 | 1.941 | 1.784 | 1.573 | 1.375 |
Net Realized and Unrealized Gain (Loss) on Investments | 57.430 | (2.340) | (26.858) | 38.598 | 13.212 | 11.683 |
Total from Investment Operations | 58.246 | (.394) | (24.917) | 40.382 | 14.785 | 13.058 |
Distributions | ||||||
Dividends from Net Investment Income | (1.826) | (2.086) | (1.663) | (1.542) | (1.185) | (1.248) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.826) | (2.086) | (1.663) | (1.542) | (1.185) | (1.248) |
Net Asset Value, End of Period | $192.03 | $135.61 | $138.09 | $164.67 | $125.83 | $112.23 |
Total Return | 43.16% | -0.43% | -15.09% | 32.32% | 13.18% | 13.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,450 | $987 | $991 | $1,107 | $683 | $342 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.15% | 1.46% | 1.36% | 1.23% | 1.27% | 1.36% |
Portfolio Turnover Rate2 | 4% | 15% | 9% | 13% | 22% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $272.71 | $277.68 | $331.26 | $252.98 | $225.56 | $201.83 |
Investment Operations | ||||||
Net Investment Income1 | 1.689 | 3.951 | 3.941 | 3.769 | 3.303 | 2.925 |
Net Realized and Unrealized Gain (Loss) on Investments | 115.496 | (4.694) | (54.011) | 77.632 | 26.605 | 23.454 |
Total from Investment Operations | 117.185 | (.743) | (50.070) | 81.401 | 29.908 | 26.379 |
Distributions | ||||||
Dividends from Net Investment Income | (3.705) | (4.227) | (3.510) | (3.121) | (2.488) | (2.649) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.705) | (4.227) | (3.510) | (3.121) | (2.488) | (2.649) |
Net Asset Value, End of Period | $386.19 | $272.71 | $277.68 | $331.26 | $252.98 | $225.56 |
Total Return | 43.19% | -0.41% | -15.09% | 32.39% | 13.26% | 13.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,911 | $1,377 | $1,186 | $1,019 | $672 | $331 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.19% | 1.47% | 1.38% | 1.30% | 1.34% | 1.43% |
Portfolio Turnover Rate2 | 4% | 15% | 9% | 13% | 22% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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 | 3,350,904 | 167 | — | 3,351,071 |
Temporary Cash Investments | 50,925 | — | — | 50,925 |
Total | 3,401,829 | 167 | — | 3,401,996 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 394 | — | — | 394 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,763,104 |
Gross Unrealized Appreciation | 851,560 |
Gross Unrealized Depreciation | (213,062) |
Net Unrealized Appreciation (Depreciation) | 638,498 |
E. | During the six months ended February 28, 2021, the fund purchased $588,801,000 of investment securities and sold $562,285,000 of investment securities, other than temporary cash investments. Purchases and sales include $320,160,000 and $446,834,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 522,621 | 3,350 | 637,530 | 4,725 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (468,320) | (3,075) | (629,186) | (4,625) | |
Net Increase (Decrease)—ETF Shares | 54,301 | 275 | 8,344 | 100 | |
Institutional Shares | |||||
Issued | 159,401 | 478 | 452,335 | 1,707 | |
Issued in Lieu of Cash Distributions | 15,606 | 47 | 15,647 | 52 | |
Redeemed | (189,857) | (626) | (257,688) | (983) | |
Net Increase (Decrease)—Institutional Shares | (14,850) | (101) | 210,294 | 776 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Communication Services | 1.7% |
Consumer Discretionary | 14.6 |
Consumer Staples | 3.1 |
Energy | 5.8 |
Financials | 24.7 |
Health Care | 6.4 |
Industrials | 17.6 |
Information Technology | 8.6 |
Materials | 5.7 |
Other | 0.0 |
Real Estate | 9.8 |
Utilities | 2.0 |
Shares | Market Value• ($000) | |||||
Common Stocks (99.9%) | ||||||
Communication Services (1.7%) | ||||||
* | AMC Networks Inc. Class A | 58,871 | 3,862 | |||
EW Scripps Co. Class A | 113,022 | 2,127 | ||||
* | Meredith Corp. | 80,097 | 1,985 | |||
Cogent Communications Holdings Inc. | 30,768 | 1,841 | ||||
Scholastic Corp. | 59,241 | 1,706 | ||||
Shenandoah Telecommunications Co. | 34,499 | 1,530 | ||||
* | Gannett Co. Inc. | 259,244 | 1,283 | |||
ATN International Inc. | 21,643 | 1,054 | ||||
* | Marcus Corp. | 45,582 | 895 | |||
* | Consolidated Communications Holdings Inc. | 145,527 | 766 | |||
Spok Holdings Inc. | 35,109 | 376 | ||||
17,425 | ||||||
Consumer Discretionary (14.6%) | ||||||
Macy's Inc. | 613,929 | 9,338 | ||||
Bed Bath & Beyond Inc. | 249,303 | 6,696 | ||||
* | Asbury Automotive Group Inc. | 38,159 | 6,466 | |||
*,1 | GameStop Corp. Class A | 57,393 | 5,839 | |||
Cooper Tire & Rubber Co. | 99,662 | 5,705 | ||||
Group 1 Automotive Inc. | 34,062 | 5,192 | ||||
* | Signet Jewelers Ltd. | 103,554 | 5,155 | |||
Monro Inc. | 65,903 | 4,085 | ||||
* | ODP Corp. | 104,221 | 3,989 | |||
* | Bloomin' Brands Inc. | 157,659 | 3,916 | |||
* | Dave & Buster's Entertainment Inc. | 93,882 | 3,813 | |||
* | Sally Beauty Holdings Inc. | 223,230 | 3,594 | |||
Wolverine World Wide Inc. | 100,671 | 3,518 | ||||
Steven Madden Ltd. | 93,369 | 3,454 | ||||
Abercrombie & Fitch Co. Class A | 123,458 | 3,379 | ||||
Cheesecake Factory Inc. | 53,927 | 2,963 | ||||
Core-Mark Holding Co. Inc. | 88,888 | 2,896 | ||||
* | M/I Homes Inc. | 56,889 | 2,839 | |||
Brinker International Inc. | 41,216 | 2,827 | ||||
Oxford Industries Inc. | 33,391 | 2,546 |
Shares | Market Value• ($000) | |||||
* | G-III Apparel Group Ltd. | 86,116 | 2,479 | |||
* | BJ's Restaurants Inc. | 44,151 | 2,452 | |||
MDC Holdings Inc. | 41,514 | 2,348 | ||||
Winnebago Industries Inc. | 32,725 | 2,278 | ||||
* | Michaels Cos. Inc. | 146,077 | 2,191 | |||
* | American Axle & Manufacturing Holdings Inc. | 224,073 | 2,189 | |||
Callaway Golf Co. | 78,262 | 2,187 | ||||
Sonic Automotive Inc. Class A | 46,933 | 2,164 | ||||
Kontoor Brands Inc. | 51,047 | 2,157 | ||||
* | Children's Place Inc. | 28,841 | 1,997 | |||
La-Z-Boy Inc. | 44,743 | 1,907 | ||||
Guess? Inc. | 74,285 | 1,873 | ||||
Standard Motor Products Inc. | 39,962 | 1,679 | ||||
* | Chuy's Holdings Inc. | 38,960 | 1,597 | |||
* | Gentherm Inc. | 21,983 | 1,556 | |||
* | Cavco Industries Inc. | 7,103 | 1,498 | |||
* | Aaron's Co. Inc. | 66,351 | 1,457 | |||
Designer Brands Inc. Class A | 116,311 | 1,453 | ||||
* | Boot Barn Holdings Inc. | 22,826 | 1,379 | |||
Buckle Inc. | 33,391 | 1,284 | ||||
* | Genesco Inc. | 28,164 | 1,266 | |||
* | Cooper-Standard Holdings Inc. | 33,361 | 1,195 | |||
Caleres Inc. | 74,786 | 1,186 | ||||
Ethan Allen Interiors Inc. | 43,041 | 1,103 | ||||
* | Perdoceo Education Corp. | 76,504 | 985 | |||
* | Red Robin Gourmet Burgers Inc. | 30,907 | 949 | |||
* | Universal Electronics Inc. | 16,094 | 937 | |||
Ruth's Hospitality Group Inc. | 39,704 | 905 | ||||
Sturm Ruger & Co. Inc. | 13,184 | 899 | ||||
Shoe Carnival Inc. | 17,128 | 839 | ||||
* | Monarch Casino & Resort Inc. | 12,386 | 838 | |||
* | Zumiez Inc. | 18,197 | 820 | |||
* | Motorcar Parts of America Inc. | 37,925 | 807 | |||
Movado Group Inc. | 32,726 | 746 |
Shares | Market Value• ($000) | |||||
* | Unifi Inc. | 29,499 | 735 | |||
Haverty Furniture Cos. Inc. | 18,113 | 655 | ||||
* | Fossil Group Inc. | 42,525 | 644 | |||
Chico's FAS Inc. | 236,009 | 635 | ||||
* | America's Car-Mart Inc. | 4,348 | 587 | |||
* | Conn's Inc. | 37,751 | 536 | |||
* | Fiesta Restaurant Group Inc. | 34,088 | 520 | |||
Cato Corp. Class A | 38,648 | 477 | ||||
* | Vera Bradley Inc. | 44,113 | 419 | |||
* | Barnes & Noble Education Inc. | 60,323 | 390 | |||
* | American Public Education Inc. | 13,059 | 384 | |||
* | Regis Corp. | 31,587 | 371 | |||
* | El Pollo Loco Holdings Inc. | 18,181 | 333 | |||
* | Liquidity Services Inc. | 17,865 | 279 | |||
146,775 | ||||||
Consumer Staples (3.1%) | ||||||
J & J Snack Foods Corp. | 16,883 | 2,680 | ||||
* | Simply Good Foods Co. | 91,624 | 2,673 | |||
PriceSmart Inc. | 25,827 | 2,491 | ||||
Universal Corp. | 48,511 | 2,465 | ||||
* | Chefs' Warehouse Inc. | 64,268 | 2,001 | |||
Vector Group Ltd. | 125,746 | 1,716 | ||||
Andersons Inc. | 60,694 | 1,587 | ||||
Fresh Del Monte Produce Inc. | 59,979 | 1,544 | ||||
John B Sanfilippo & Son Inc. | 17,449 | 1,509 | ||||
Calavo Growers Inc. | 19,370 | 1,458 | ||||
Inter Parfums Inc. | 19,544 | 1,430 | ||||
* | United Natural Foods Inc. | 52,030 | 1,376 | |||
Coca-Cola Consolidated Inc. | 5,230 | 1,342 | ||||
SpartanNash Co. | 70,847 | 1,292 | ||||
* | Central Garden & Pet Co. Class A | 29,897 | 1,241 | |||
* | Cal-Maine Foods Inc. | 30,219 | 1,151 | |||
* | elf Beauty Inc. | 36,433 | 935 | |||
* | USANA Health Sciences Inc. | 8,536 | 828 | |||
MGP Ingredients Inc. | 12,347 | 789 | ||||
* | Seneca Foods Corp. Class A | 13,295 | 724 | |||
* | Central Garden & Pet Co. | 7,673 | 350 | |||
31,582 | ||||||
Energy (5.7%) | ||||||
* | PDC Energy Inc. | 197,130 | 6,890 | |||
Helmerich & Payne Inc. | 212,886 | 6,116 | ||||
SM Energy Co. | 210,822 | 2,922 | ||||
Patterson-UTI Energy Inc. | 370,983 | 2,745 | ||||
* | PBF Energy Inc. Class A | 190,144 | 2,700 | |||
Archrock Inc. | 254,185 | 2,621 | ||||
* | Matador Resources Co. | 123,867 | 2,588 | |||
* | Dril-Quip Inc. | 69,432 | 2,358 | |||
* | Oceaneering International Inc. | 196,412 | 2,318 | |||
* | Southwestern Energy Co. | 549,480 | 2,225 | |||
* | Range Resources Corp. | 218,091 | 2,102 |
Shares | Market Value• ($000) | |||||
* | Green Plains Inc. | 81,331 | 2,059 | |||
* | Callon Petroleum Co. | 78,655 | 2,011 | |||
US Silica Holdings Inc. | 146,324 | 1,948 | ||||
Core Laboratories NV | 52,823 | 1,877 | ||||
* | ProPetro Holding Corp. | 159,728 | 1,832 | |||
QEP Resources Inc. | 479,271 | 1,649 | ||||
Nabors Industries Ltd. | 12,700 | 1,410 | ||||
* | Par Pacific Holdings Inc. | 78,887 | 1,394 | |||
* | Helix Energy Solutions Group Inc. | 278,932 | 1,367 | |||
* | Bristow Group Inc. Class A | 45,760 | 1,218 | |||
* | REX American Resources Corp. | 10,477 | 985 | |||
* | Oil States International Inc. | 121,273 | 889 | |||
* | RPC Inc. | 114,596 | 728 | |||
* | CONSOL Energy Inc. | 59,175 | 640 | |||
* | Laredo Petroleum Inc. | 17,703 | 577 | |||
* | Talos Energy Inc. | 45,913 | 486 | |||
* | Penn Virginia Corp. | 29,795 | 436 | |||
* | Dorian LPG Ltd. | 28,972 | 361 | |||
* | Exterran Corp. | 49,717 | 272 | |||
57,724 | ||||||
Financials (24.7%) | ||||||
Pacific Premier Bancorp Inc. | 186,743 | 7,526 | ||||
BankUnited Inc. | 182,789 | 7,346 | ||||
First Hawaiian Inc. | 258,760 | 7,217 | ||||
Assured Guaranty Ltd. | 159,732 | 7,063 | ||||
Ameris Bancorp | 137,487 | 6,550 | ||||
Simmons First National Corp. Class A | 215,355 | 6,306 | ||||
Columbia Banking System Inc. | 141,670 | 6,275 | ||||
Investors Bancorp Inc. | 449,995 | 6,003 | ||||
Old National Bancorp | 327,111 | 5,931 | ||||
United Community Banks Inc. | 171,376 | 5,666 | ||||
WSFS Financial Corp. | 99,722 | 5,299 | ||||
Cadence Bancorp Class A | 249,254 | 5,115 | ||||
Independent Bank Group Inc. | 72,732 | 5,069 | ||||
American Equity Investment Life Holding Co. | 182,043 | 5,030 | ||||
First Bancorp | 431,785 | 4,529 | ||||
First Midwest Bancorp Inc. | 226,180 | 4,474 | ||||
Renasant Corp. | 111,188 | 4,367 | ||||
First Financial Bancorp | 193,950 | 4,350 | ||||
Community Bank System Inc. | 56,138 | 3,996 | ||||
* | Seacoast Banking Corp. of Florida | 109,149 | 3,924 | |||
PennyMac Mortgage Investment Trust | 195,483 | 3,708 | ||||
Banner Corp. | 69,564 | 3,602 | ||||
Northwest Bancshares Inc. | 252,888 | 3,571 | ||||
Independent Bank Corp. | 41,740 | 3,569 | ||||
Capitol Federal Financial Inc. | 255,385 | 3,399 |
Shares | Market Value• ($000) | |||||
Apollo Commercial Real Estate Finance Inc. | 255,458 | 3,395 | ||||
Hope Bancorp Inc. | 243,959 | 3,210 | ||||
CVB Financial Corp. | 148,681 | 3,183 | ||||
Horace Mann Educators Corp. | 81,917 | 3,157 | ||||
NBT Bancorp Inc. | 86,314 | 3,127 | ||||
Eagle Bancorp Inc. | 63,782 | 3,118 | ||||
New York Mortgage Trust Inc. | 747,468 | 3,117 | ||||
Waddell & Reed Financial Inc. Class A | 123,658 | 3,103 | ||||
Provident Financial Services Inc. | 144,264 | 2,918 | ||||
Veritex Holdings Inc. | 98,270 | 2,858 | ||||
Hilltop Holdings Inc. | 83,478 | 2,758 | ||||
ProAssurance Corp. | 106,613 | 2,639 | ||||
FB Financial Corp. | 61,631 | 2,614 | ||||
First Commonwealth Financial Corp. | 190,249 | 2,551 | ||||
Stewart Information Services Corp. | 52,857 | 2,495 | ||||
First Bancorp (XNGS) | 56,650 | 2,281 | ||||
S&T Bancorp Inc. | 77,796 | 2,247 | ||||
Boston Private Financial Holdings Inc. | 162,704 | 2,239 | ||||
Brookline Bancorp Inc. | 156,451 | 2,226 | ||||
Safety Insurance Group Inc. | 27,985 | 2,213 | ||||
* | Enova International Inc. | 70,568 | 2,166 | |||
Southside Bancshares Inc. | 62,165 | 2,150 | ||||
* | Encore Capital Group Inc. | 62,017 | 2,073 | |||
Dime Community Bancshares Inc. | 69,255 | 2,037 | ||||
OFG Bancorp | 101,609 | 1,962 | ||||
Great Western Bancorp Inc. | 71,845 | 1,928 | ||||
Employers Holdings Inc. | 57,404 | 1,911 | ||||
HomeStreet Inc. | 43,116 | 1,852 | ||||
Tompkins Financial Corp. | 23,930 | 1,850 | ||||
Heritage Financial Corp. | 71,063 | 1,840 | ||||
Westamerica Bancorp | 28,668 | 1,723 | ||||
* | Third Point Reinsurance Ltd. | 168,445 | 1,720 | |||
James River Group Holdings Ltd. | 36,303 | 1,667 | ||||
Banc of California Inc. | 87,639 | 1,627 | ||||
Flagstar Bancorp Inc. | 37,447 | 1,625 | ||||
Park National Corp. | 12,637 | 1,567 | ||||
Preferred Bank | 26,825 | 1,554 | ||||
ARMOUR Residential REIT Inc. | 128,146 | 1,547 | ||||
* | Customers Bancorp Inc. | 57,539 | 1,541 | |||
AMERISAFE Inc. | 24,072 | 1,409 | ||||
Allegiance Bancshares Inc. | 37,229 | 1,402 | ||||
Berkshire Hills Bancorp Inc. | 68,356 | 1,378 | ||||
Redwood Trust Inc. | 139,870 | 1,376 | ||||
TrustCo Bank Corp. | 190,462 | 1,310 | ||||
Northfield Bancorp Inc. | 94,423 | 1,293 |
Shares | Market Value• ($000) | |||||
Meta Financial Group Inc. | 29,044 | 1,286 | ||||
City Holding Co. | 16,833 | 1,266 | ||||
Central Pacific Financial Corp. | 55,628 | 1,259 | ||||
United Fire Group Inc. | 42,583 | 1,254 | ||||
Granite Point Mortgage Trust Inc. | 108,883 | 1,215 | ||||
BancFirst Corp. | 18,737 | 1,197 | ||||
Piper Sandler Cos. | 10,378 | 1,103 | ||||
Capstead Mortgage Corp. | 190,491 | 1,092 | ||||
Ready Capital Corp. | 80,882 | 1,061 | ||||
Hanmi Financial Corp. | 60,541 | 1,036 | ||||
* | Ambac Financial Group Inc. | 60,004 | 1,017 | |||
KKR Real Estate Finance Trust Inc. | 53,599 | 988 | ||||
1 | Invesco Mortgage Capital Inc. | 226,170 | 880 | |||
National Bank Holdings Corp. Class A | 22,409 | 868 | ||||
* | Blucora Inc. | 53,319 | 864 | |||
* | Donnelley Financial Solutions Inc. | 32,889 | 855 | |||
Universal Insurance Holdings Inc. | 56,765 | 845 | ||||
WisdomTree Investments Inc. | 127,975 | 678 | ||||
* | EZCORP Inc. Class A | 102,209 | 491 | |||
* | World Acceptance Corp. | 2,550 | 323 | |||
United Insurance Holdings Corp. | 41,371 | 257 | ||||
Greenhill & Co. Inc. | 11,492 | 173 | ||||
247,850 | ||||||
Health Care (6.4%) | ||||||
* | Myriad Genetics Inc. | 148,790 | 4,537 | |||
* | Magellan Health Inc. | 45,094 | 4,208 | |||
* | Prestige Consumer Healthcare Inc. | 99,102 | 4,134 | |||
* | Integer Holdings Corp. | 39,022 | 3,441 | |||
* | Select Medical Holdings Corp. | 104,526 | 3,308 | |||
CONMED Corp. | 24,897 | 3,064 | ||||
* | Glaukos Corp. | 32,023 | 3,028 | |||
* | Covetrus Inc. | 78,441 | 2,915 | |||
* | MEDNAX Inc. | 103,316 | 2,524 | |||
* | AMN Healthcare Services Inc. | 34,429 | 2,509 | |||
* | Lantheus Holdings Inc. | 132,301 | 2,471 | |||
Owens & Minor Inc. | 69,816 | 2,374 | ||||
* | Varex Imaging Corp. | 77,558 | 1,778 | |||
* | Natus Medical Inc. | 66,975 | 1,735 | |||
* | Cardiovascular Systems Inc. | 38,831 | 1,604 | |||
* | Endo International plc | 177,686 | 1,409 | |||
US Physical Therapy Inc. | 11,436 | 1,341 | ||||
* | Orthofix Medical Inc. | 24,582 | 1,143 | |||
* | Inogen Inc. | 20,983 | 1,101 | |||
* | NextGen Healthcare Inc. | 58,350 | 1,091 |
Shares | Market Value• ($000) | |||||
* | AngioDynamics Inc. | 48,955 | 1,026 | |||
* | Enanta Pharmaceuticals Inc. | 20,612 | 1,017 | |||
* | Vanda Pharmaceuticals Inc. | 53,172 | 992 | |||
* | CryoLife Inc. | 36,255 | 915 | |||
Phibro Animal Health Corp. Class A | 40,396 | 871 | ||||
* | RadNet Inc. | 43,262 | 798 | |||
* | Cross Country Healthcare Inc. | 68,997 | 767 | |||
* | HealthStream Inc. | 31,064 | 724 | |||
* | Cutera Inc. | 19,504 | 689 | |||
* | CorVel Corp. | 6,484 | 658 | |||
* | Eagle Pharmaceuticals Inc. | 14,650 | 652 | |||
* | Hanger Inc. | 29,299 | 644 | |||
* | Anika Therapeutics Inc. | 16,827 | 618 | |||
Invacare Corp. | 67,720 | 616 | ||||
* | Tivity Health Inc. | 25,061 | 596 | |||
* | OraSure Technologies Inc. | 50,789 | 538 | |||
* | Surmodics Inc. | 9,756 | 509 | |||
* | Spectrum Pharmaceuticals Inc. | 128,720 | 442 | |||
* | Amphastar Pharmaceuticals Inc. | 25,101 | 440 | |||
* | Lannett Co. Inc. | 68,402 | 415 | |||
Computer Programs & Systems Inc. | 13,090 | 412 | ||||
* | ANI Pharmaceuticals Inc. | 12,347 | 359 | |||
64,413 | ||||||
Industrials (17.6%) | ||||||
* | Resideo Technologies Inc. | 277,963 | 6,677 | |||
ABM Industries Inc. | 131,936 | 5,697 | ||||
SkyWest Inc. | 99,190 | 5,591 | ||||
Barnes Group Inc. | 92,134 | 4,823 | ||||
* | Meritor Inc. | 143,072 | 4,345 | |||
* | Aerojet Rocketdyne Holdings Inc. | 78,190 | 4,009 | |||
Korn Ferry | 64,274 | 3,956 | ||||
Boise Cascade Co. | 77,567 | 3,874 | ||||
* | Hub Group Inc. Class A | 66,254 | 3,815 | |||
* | Allegiant Travel Co. Class A | 14,524 | 3,663 | |||
UFP Industries Inc. | 59,325 | 3,619 | ||||
John Bean Technologies Corp. | 24,482 | 3,613 | ||||
UniFirst Corp. | 14,462 | 3,504 | ||||
Deluxe Corp. | 82,891 | 3,277 | ||||
EnPro Industries Inc. | 40,634 | 3,265 | ||||
* | SPX FLOW Inc. | 51,785 | 3,188 | |||
Granite Construction Inc. | 92,483 | 3,180 | ||||
* | GMS Inc. | 84,454 | 3,091 | |||
Brady Corp. Class A | 58,503 | 3,066 | ||||
Greenbrier Cos. Inc. | 64,950 | 3,056 | ||||
HNI Corp. | 84,520 | 3,008 | ||||
ArcBest Corp. | 50,268 | 2,965 | ||||
Pitney Bowes Inc. | 342,500 | 2,904 | ||||
* | Atlas Air Worldwide Holdings Inc. | 51,721 | 2,851 |
Shares | Market Value• ($000) | |||||
Moog Inc. Class A | 36,004 | 2,796 | ||||
Mueller Industries Inc. | 67,762 | 2,754 | ||||
Encore Wire Corp. | 40,838 | 2,676 | ||||
Kaman Corp. | 54,751 | 2,664 | ||||
AAR Corp. | 65,649 | 2,612 | ||||
Applied Industrial Technologies Inc. | 29,912 | 2,554 | ||||
* | Harsco Corp. | 156,142 | 2,554 | |||
Arcosa Inc. | 43,924 | 2,492 | ||||
* | Hawaiian Holdings Inc. | 91,011 | 2,441 | |||
Standex International Corp. | 24,497 | 2,402 | ||||
Albany International Corp. Class A | 30,370 | 2,401 | ||||
Hillenbrand Inc. | 50,312 | 2,337 | ||||
* | NOW Inc. | 216,432 | 2,301 | |||
Matthews International Corp. Class A | 62,879 | 2,245 | ||||
ESCO Technologies Inc. | 21,118 | 2,232 | ||||
Griffon Corp. | 88,846 | 2,186 | ||||
Watts Water Technologies Inc. Class A | 18,993 | 2,167 | ||||
Cubic Corp. | 30,558 | 2,122 | ||||
* | SPX Corp. | 37,214 | 2,069 | |||
Apogee Enterprises Inc. | 52,219 | 1,953 | ||||
Wabash National Corp. | 104,789 | 1,737 | ||||
Enerpac Tool Group Corp. Class A | 69,839 | 1,725 | ||||
CoreCivic Inc. | 236,742 | 1,700 | ||||
Raven Industries Inc. | 41,149 | 1,613 | ||||
* | SEACOR Holdings Inc. | 37,915 | 1,612 | |||
Quanex Building Products Corp. | 64,928 | 1,580 | ||||
* | Aegion Corp. Class A | 60,875 | 1,574 | |||
Tennant Co. | 19,737 | 1,504 | ||||
* | American Woodmark Corp. | 15,802 | 1,476 | |||
* | TrueBlue Inc. | 70,153 | 1,461 | |||
* | US Ecology Inc. | 38,033 | 1,453 | |||
Interface Inc. Class A | 116,002 | 1,441 | ||||
Lindsay Corp. | 8,588 | 1,376 | ||||
Heidrick & Struggles International Inc. | 38,296 | 1,374 | ||||
* | Kelly Services Inc. Class A | 65,976 | 1,374 | |||
Astec Industries Inc. | 17,522 | 1,190 | ||||
AZZ Inc. | 22,614 | 1,155 | ||||
National Presto Industries Inc. | 10,255 | 1,049 | ||||
Viad Corp. | 23,880 | 999 | ||||
* | Triumph Group Inc. | 67,186 | 979 | |||
* | DXP Enterprises Inc. | 32,230 | 968 | |||
Heartland Express Inc. | 49,829 | 907 | ||||
* | CIRCOR International Inc. | 25,344 | 902 | |||
* | MYR Group Inc. | 14,592 | 860 | |||
Resources Connection Inc. | 60,613 | 773 | ||||
* | Echo Global Logistics Inc. | 25,745 | 717 | |||
* | Matrix Service Co. | 52,580 | 713 | |||
Insteel Industries Inc. | 22,495 | 695 |
Shares | Market Value• ($000) | |||||
* | Team Inc. | 60,419 | 670 | |||
* | Lydall Inc. | 17,915 | 624 | |||
* | Veritiv Corp. | 24,383 | 580 | |||
Powell Industries Inc. | 17,342 | 540 | ||||
Titan International Inc. | 54,233 | 448 | ||||
Park Aerospace Corp. | 22,913 | 318 | ||||
177,082 | ||||||
Information Technology (8.6%) | ||||||
* | Insight Enterprises Inc. | 69,430 | 5,804 | |||
* | 3D Systems Corp. | 130,171 | 4,665 | |||
* | Sanmina Corp. | 128,708 | 4,585 | |||
* | Itron Inc. | 38,359 | 4,497 | |||
* | Knowles Corp. | 181,332 | 3,770 | |||
* | Sykes Enterprises Inc. | 78,256 | 3,198 | |||
* | Rogers Corp. | 17,364 | 3,151 | |||
Kulicke & Soffa Industries Inc. | 62,556 | 3,119 | ||||
* | TTM Technologies Inc. | 196,341 | 2,772 | |||
* | Rambus Inc. | 130,596 | 2,740 | |||
* | Cardtronics plc Class A | 70,395 | 2,714 | |||
* | ePlus Inc. | 26,716 | 2,526 | |||
* | Fabrinet | 27,760 | 2,452 | |||
* | NETGEAR Inc. | 59,922 | 2,397 | |||
MTS Systems Corp. | 38,138 | 2,226 | ||||
* | Plexus Corp. | 24,509 | 2,058 | |||
Benchmark Electronics Inc. | 72,155 | 2,049 | ||||
* | Unisys Corp. | 69,830 | 1,714 | |||
Methode Electronics Inc. | 43,798 | 1,705 | ||||
Xperi Holding Corp. | 77,367 | 1,633 | ||||
ADTRAN Inc. | 94,905 | 1,598 | ||||
CSG Systems International Inc. | 32,569 | 1,503 | ||||
* | OSI Systems Inc. | 15,486 | 1,465 | |||
* | ScanSource Inc. | 50,180 | 1,427 | |||
* | Bottomline Technologies DE Inc. | 31,015 | 1,392 | |||
* | FARO Technologies Inc. | 14,783 | 1,382 | |||
ManTech International Corp. Class A | 17,263 | 1,349 | ||||
Comtech Telecommunications Corp. | 49,447 | 1,329 | ||||
Progress Software Corp. | 31,187 | 1,327 | ||||
* | SMART Global Holdings Inc. | 27,509 | 1,284 | |||
* | Extreme Networks Inc. | 136,032 | 1,247 | |||
* | Diebold Nixdorf Inc. | 81,769 | 1,187 | |||
* | Plantronics Inc. | 26,076 | 1,056 | |||
PC Connection Inc. | 21,645 | 996 | ||||
* | Ichor Holdings Ltd. | 22,989 | 983 | |||
CTS Corp. | 30,138 | 970 | ||||
* | Veeco Instruments Inc. | 44,335 | 953 | |||
* | Axcelis Technologies Inc. | 23,245 | 857 | |||
* | Photronics Inc. | 66,322 | 790 | |||
* | Harmonic Inc. | 100,041 | 775 | |||
* | Digi International Inc. | 24,164 | 565 | |||
* | CalAmp Corp. | 41,208 | 460 |
Shares | Market Value• ($000) | |||||
* | PDF Solutions Inc. | 22,604 | 415 | |||
Daktronics Inc. | 73,758 | 399 | ||||
* | Applied Optoelectronics Inc. | 41,384 | 386 | |||
Bel Fuse Inc. Class B | 20,434 | 363 | ||||
* | DSP Group Inc. | 21,127 | 329 | |||
* | BM Technologies Inc. | 9,643 | 109 | |||
86,671 | ||||||
Materials (5.7%) | ||||||
* | Allegheny Technologies Inc. | 250,917 | 4,933 | |||
Trinseo SA | 75,806 | 4,905 | ||||
Carpenter Technology Corp. | 95,022 | 3,864 | ||||
Kaiser Aluminum Corp. | 31,293 | 3,571 | ||||
Innospec Inc. | 30,160 | 3,030 | ||||
Schweitzer-Mauduit International Inc. | 61,969 | 2,894 | ||||
HB Fuller Co. | 50,182 | 2,814 | ||||
* | Kraton Corp. | 63,066 | 2,345 | |||
Stepan Co. | 19,424 | 2,344 | ||||
Warrior Met Coal Inc. | 101,293 | 1,942 | ||||
* | Arconic Corp. | 84,585 | 1,854 | |||
Neenah Inc. | 33,236 | 1,839 | ||||
Materion Corp. | 24,911 | 1,706 | ||||
* | Ferro Corp. | 105,876 | 1,680 | |||
* | US Concrete Inc. | 31,359 | 1,614 | |||
* | AdvanSix Inc. | 55,473 | 1,542 | |||
Glatfelter Corp. | 87,732 | 1,408 | ||||
* | Koppers Holdings Inc. | 41,667 | 1,392 | |||
Mercer International Inc. | 78,442 | 1,206 | ||||
* | Rayonier Advanced Materials Inc. | 124,823 | 1,155 | |||
* | Clearwater Paper Corp. | 32,758 | 1,147 | |||
* | GCP Applied Technologies Inc. | 45,631 | 1,131 | |||
SunCoke Energy Inc. | 163,289 | 1,043 | ||||
Myers Industries Inc. | 43,332 | 959 | ||||
Tredegar Corp. | 51,033 | 778 | ||||
Haynes International Inc. | 24,932 | 696 | ||||
* | TimkenSteel Corp. | 74,566 | 602 | |||
American Vanguard Corp. | 28,885 | 564 | ||||
* | Century Aluminum Co. | 39,484 | 542 | |||
Hawkins Inc. | 8,403 | 526 | ||||
FutureFuel Corp. | 29,322 | 430 | ||||
Olympic Steel Inc. | 18,165 | 324 | ||||
56,780 | ||||||
Other (0.0%)2 | ||||||
*,3 | Lantheus Holdings Inc. CVR | 75,410 | — | |||
Real Estate (9.8%) | ||||||
Xenia Hotels & Resorts Inc. | 225,016 | 4,494 | ||||
Retail Properties of America Inc. Class A | 423,901 | 4,464 | ||||
Brandywine Realty Trust | 337,523 | 4,128 | ||||
* | DiamondRock Hospitality Co. | 394,752 | 3,995 | |||
SITE Centers Corp. | 298,183 | 3,978 |
Shares | Market Value• ($000) | |||||
Lexington Realty Trust | 350,681 | 3,759 | ||||
Agree Realty Corp. | 57,739 | 3,728 | ||||
Retail Opportunity Investments Corp. | 233,474 | 3,691 | ||||
Washington REIT | 162,982 | 3,670 | ||||
* | Realogy Holdings Corp. | 228,420 | 3,445 | |||
Global Net Lease Inc. | 177,083 | 3,290 | ||||
Acadia Realty Trust | 170,688 | 3,228 | ||||
Kite Realty Group Trust | 166,608 | 3,194 | ||||
American Assets Trust Inc. | 98,998 | 3,077 | ||||
iStar Inc. | 146,371 | 2,594 | ||||
Alexander & Baldwin Inc. | 143,158 | 2,501 | ||||
Office Properties Income Trust | 95,633 | 2,419 | ||||
Mack-Cali Realty Corp. | 170,518 | 2,382 | ||||
* | Summit Hotel Properties Inc. | 209,150 | 2,165 | |||
Diversified Healthcare Trust | 471,443 | 2,121 | ||||
CareTrust REIT Inc. | 92,816 | 2,059 | ||||
Easterly Government Properties Inc. | 91,606 | 2,013 | ||||
Uniti Group Inc. | 165,784 | 1,974 | ||||
LTC Properties Inc. | 47,366 | 1,938 | ||||
1 | Tanger Factory Outlet Centers Inc. | 120,198 | 1,892 | |||
National Storage Affiliates Trust | 48,053 | 1,852 | ||||
RPT Realty | 160,212 | 1,758 | ||||
Four Corners Property Trust Inc. | 63,935 | 1,732 | ||||
GEO Group Inc. | 240,060 | 1,728 | ||||
Industrial Logistics Properties Trust | 71,081 | 1,512 | ||||
Armada Hoffler Properties Inc. | 114,579 | 1,479 | ||||
Independence Realty Trust Inc. | 95,600 | 1,342 | ||||
* | Chatham Lodging Trust | 92,822 | 1,293 | |||
Getty Realty Corp. | 37,895 | 1,060 | ||||
* | Marcus & Millichap Inc. | 25,726 | 974 | |||
Urstadt Biddle Properties Inc. Class A | 59,442 | 958 | ||||
Franklin Street Properties Corp. | 190,139 | 943 | ||||
RE/MAX Holdings Inc. Class A | 21,348 | 891 | ||||
Universal Health Realty Income Trust | 13,608 | 843 | ||||
* | Hersha Hospitality Trust Class A | 72,139 | 802 |
Shares | Market Value• ($000) | |||||
NexPoint Residential Trust Inc. | 18,647 | 765 | ||||
Centerspace | 11,047 | 758 | ||||
Whitestone REIT | 78,580 | 735 | ||||
Saul Centers Inc. | 14,931 | 529 | ||||
98,153 | ||||||
Utilities (2.0%) | ||||||
Avista Corp. | 136,001 | 5,469 | ||||
South Jersey Industries Inc. | 199,023 | 4,997 | ||||
Northwest Natural Holding Co. | 60,487 | 2,903 | ||||
American States Water Co. | 33,569 | 2,452 | ||||
California Water Service Group | 40,428 | 2,222 | ||||
Chesapeake Utilities Corp. | 16,925 | 1,789 | ||||
19,832 | ||||||
Total Common Stocks (Cost $827,087) | 1,004,287 | |||||
Temporary Cash Investments (0.9%) | ||||||
Money Market Fund (0.9%) | ||||||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $8,682) | 86,839 | 8,684 | |||
Total Investments (100.8%) (Cost $835,769) | 1,012,971 | |||||
Other Assets and Liabilities—Net (-0.8%) | (7,862) | |||||
Net Assets (100%) | 1,005,109 |
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 $8,127,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $8,682,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2021 | 10 | 1,100 | (1) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $827,087) | 1,004,287 |
Affiliated Issuers (Cost $8,682) | 8,684 |
Total Investments in Securities | 1,012,971 |
Investment in Vanguard | 34 |
Cash | 60 |
Cash Collateral Pledged—Futures Contracts | 10 |
Receivables for Investment Securities Sold | 6,355 |
Receivables for Accrued Income | 778 |
Receivables for Capital Shares Issued | 22 |
Variation Margin Receivable—Futures Contracts | 1 |
Total Assets | 1,020,231 |
Liabilities | |
Payables for Investment Securities Purchased | 6,374 |
Collateral for Securities on Loan | 8,682 |
Payables to Vanguard | 66 |
Total Liabilities | 15,122 |
Net Assets | 1,005,109 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 864,017 |
Total Distributable Earnings (Loss) | 141,092 |
Net Assets | 1,005,109 |
ETF Shares—Net Assets | |
Applicable to 5,650,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 933,918 |
Net Asset Value Per Share—ETF Shares | $165.30 |
Institutional Shares—Net Assets | |
Applicable to 205,765 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 71,191 |
Net Asset Value Per Share—Institutional Shares | $345.98 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 5,484 |
Interest1 | — |
Securities Lending—Net | 259 |
Total Income | 5,743 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 54 |
Management and Administrative—ETF Shares | 395 |
Management and Administrative—Institutional Shares | 15 |
Marketing and Distribution—ETF Shares | 15 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 28 |
Shareholders’ Reports—ETF Shares | 6 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 514 |
Net Investment Income | 5,229 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 39,924 |
Futures Contracts | 168 |
Realized Net Gain (Loss) | 40,092 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 249,028 |
Futures Contracts | 3 |
Change in Unrealized Appreciation (Depreciation) | 249,031 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 294,352 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $72,351,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 5,229 | 8,521 | |
Realized Net Gain (Loss) | 40,092 | 33,085 | |
Change in Unrealized Appreciation (Depreciation) | 249,031 | (50,648) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 294,352 | (9,042) | |
Distributions | |||
ETF Shares | (5,797) | (7,104) | |
Institutional Shares | (488) | (761) | |
Total Distributions | (6,285) | (7,865) | |
Capital Share Transactions | |||
ETF Shares | 168,084 | 138,867 | |
Institutional Shares | 6,550 | 12,441 | |
Net Increase (Decrease) from Capital Share Transactions | 174,634 | 151,308 | |
Total Increase (Decrease) | 462,701 | 134,401 | |
Net Assets | |||
Beginning of Period | 542,408 | 408,007 | |
End of Period | 1,005,109 | 542,408 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $112.51 | $123.23 | $149.05 | $118.23 | $106.98 | $94.66 |
Investment Operations | ||||||
Net Investment Income | .9691 | 2.1821 | 2.1411 | 2.0871 | 1.7491 | 1.352 |
Net Realized and Unrealized Gain (Loss) on Investments | 53.003 | (10.786) | (25.811) | 30.593 | 11.165 | 12.736 |
Total from Investment Operations | 53.972 | (8.604) | (23.670) | 32.680 | 12.914 | 14.088 |
Distributions | ||||||
Dividends from Net Investment Income | (1.182) | (2.116) | (2.150) | (1.860) | (1.664) | (1.768) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.182) | (2.116) | (2.150) | (1.860) | (1.664) | (1.768) |
Net Asset Value, End of Period | $165.30 | $112.51 | $123.23 | $149.05 | $118.23 | $106.98 |
Total Return | 48.32% | -7.08% | -15.93% | 27.84% | 12.11% | 15.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $934 | $501 | $373 | $410 | $210 | $126 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.90% | 1.66% | 1.54% | 1.49% | 1.49% |
Portfolio Turnover Rate2 | 31% | 46% | 39% | 34% | 46% | 42% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $235.47 | $257.69 | $311.75 | $247.26 | $223.74 | $198.02 |
Investment Operations | ||||||
Net Investment Income | 2.1571 | 4.8051 | 4.6091 | 4.6301 | 3.8291 | 3.057 |
Net Realized and Unrealized Gain (Loss) on Investments | 110.899 | (22.489) | (53.914) | 64.065 | 23.461 | 26.649 |
Total from Investment Operations | 113.056 | (17.684) | (49.305) | 68.695 | 27.290 | 29.706 |
Distributions | ||||||
Dividends from Net Investment Income | (2.546) | (4.536) | (4.755) | (4.205) | (3.770) | (3.986) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.546) | (4.536) | (4.755) | (4.205) | (3.770) | (3.986) |
Net Asset Value, End of Period | $345.98 | $235.47 | $257.69 | $311.75 | $247.26 | $223.74 |
Total Return | 48.37% | -6.94% | -15.87% | 28.01% | 12.25% | 15.28% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $71 | $42 | $35 | $32 | $12 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.70% | 2.00% | 1.73% | 1.66% | 1.61% | 1.61% |
Portfolio Turnover Rate2 | 31% | 46% | 39% | 34% | 46% | 42% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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 | 1,004,178 | 109 | — | 1,004,287 |
Temporary Cash Investments | 8,684 | — | — | 8,684 |
Total | 1,012,862 | 109 | — | 1,012,971 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 1 | — | — | 1 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 837,938 |
Gross Unrealized Appreciation | 203,658 |
Gross Unrealized Depreciation | (28,626) |
Net Unrealized Appreciation (Depreciation) | 175,032 |
E. | During the six months ended February 28, 2021, the fund purchased $587,468,000 of investment securities and sold $412,196,000 of investment securities, other than temporary cash investments. Purchases and sales include $319,703,000 and $190,641,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
ETF Shares | |||||
Issued | 366,244 | 2,650 | 381,520 | 3,375 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (198,160) | (1,450) | (242,653) | (1,950) | |
Net Increase (Decrease)—ETF Shares | 168,084 | 1,200 | 138,867 | 1,425 | |
Institutional Shares | |||||
Issued | 15,047 | 57 | 25,956 | 102 | |
Issued in Lieu of Cash Distributions | 425 | 2 | 598 | 2 | |
Redeemed | (8,922) | (30) | (14,113) | (64) | |
Net Increase (Decrease)—Institutional Shares | 6,550 | 29 | 12,441 | 40 |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
Communication Services | 2.5% |
Consumer Discretionary | 16.0 |
Consumer Staples | 4.7 |
Energy | 2.0 |
Financials | 9.3 |
Health Care | 17.6 |
Industrials | 17.7 |
Information Technology | 20.3 |
Materials | 3.9 |
Other | 0.0 |
Real Estate | 5.2 |
Utilities | 0.8 |
Shares | Market Value• ($000) | |||||
Common Stocks (100.0%) | ||||||
Communication Services (2.5%) | ||||||
* | Vonage Holdings Corp. | 253,548 | 3,352 | |||
* | TechTarget Inc. | 25,641 | 2,144 | |||
* | Glu Mobile Inc. | 160,660 | 2,005 | |||
Cogent Communications Holdings Inc. | 28,779 | 1,722 | ||||
Shenandoah Telecommunications Co. | 35,199 | 1,561 | ||||
* | QuinStreet Inc. | 52,844 | 1,263 | |||
* | Cincinnati Bell Inc. | 55,005 | 841 | |||
12,888 | ||||||
Consumer Discretionary (15.9%) | ||||||
* | Crocs Inc. | 73,314 | 5,625 | |||
* | Shake Shack Inc. Class A | 38,718 | 4,587 | |||
* | Sleep Number Corp. | 30,149 | 4,134 | |||
LCI Industries | 27,320 | 3,851 | ||||
* | iRobot Corp. | 30,552 | 3,792 | |||
* | Stamps.com Inc. | 19,806 | 3,603 | |||
* | Meritage Homes Corp. | 40,857 | 3,445 | |||
* | Dorman Products Inc. | 31,212 | 3,112 | |||
Rent-A-Center Inc. | 52,958 | 3,059 | ||||
*,1 | GameStop Corp. Class A | 27,941 | 2,843 | |||
* | Installed Building Products Inc. | 24,605 | 2,691 | |||
* | LGI Homes Inc. | 23,995 | 2,621 | |||
Big Lots Inc. | 38,802 | 2,466 | ||||
Shutterstock Inc. | 23,999 | 2,117 | ||||
* | Vista Outdoor Inc. | 63,257 | 2,000 | |||
Patrick Industries Inc. | 23,852 | 1,883 | ||||
MDC Holdings Inc. | 32,849 | 1,858 | ||||
Brinker International Inc. | 26,564 | 1,822 | ||||
* | Century Communities Inc. | 31,521 | 1,744 | |||
* | Gentherm Inc. | 23,436 | 1,659 | |||
Callaway Golf Co. | 59,335 | 1,658 | ||||
* | Tupperware Brands Corp. | 53,413 | 1,633 | |||
Dine Brands Global Inc. | 17,833 | 1,411 | ||||
Winnebago Industries Inc. | 18,696 | 1,301 | ||||
Steven Madden Ltd. | 32,767 | 1,212 | ||||
Wolverine World Wide Inc. | 33,862 | 1,183 | ||||
* | Hibbett Sports Inc. | 18,020 | 1,158 |
Shares | Market Value• ($000) | |||||
* | Boot Barn Holdings Inc. | 18,804 | 1,136 | |||
* | Cavco Industries Inc. | 5,381 | 1,135 | |||
La-Z-Boy Inc. | 25,537 | 1,088 | ||||
* | MarineMax Inc. | 23,954 | 1,070 | |||
Kontoor Brands Inc. | 22,900 | 968 | ||||
Cheesecake Factory Inc. | 15,911 | 874 | ||||
Sturm Ruger & Co. Inc. | 11,769 | 803 | ||||
* | Lumber Liquidators Holdings Inc. | 31,298 | 775 | |||
PetMed Express Inc. | 22,000 | 764 | ||||
* | America's Car-Mart Inc. | 4,276 | 577 | |||
* | Zumiez Inc. | 12,664 | 571 | |||
Buckle Inc. | 12,805 | 492 | ||||
* | Monarch Casino & Resort Inc. | 7,103 | 481 | |||
* | Perdoceo Education Corp. | 33,207 | 427 | |||
* | Fossil Group Inc. | 27,538 | 417 | |||
* | Universal Electronics Inc. | 6,081 | 354 | |||
Haverty Furniture Cos. Inc. | 8,194 | 296 | ||||
* | Liquidity Services Inc. | 18,821 | 294 | |||
Ruth's Hospitality Group Inc. | 12,817 | 292 | ||||
* | American Public Education Inc. | 9,016 | 265 | |||
* | El Pollo Loco Holdings Inc. | 10,768 | 197 | |||
* | Regis Corp. | 9,427 | 111 | |||
81,855 | ||||||
Consumer Staples (4.7%) | ||||||
WD-40 Co. | 14,843 | 4,627 | ||||
Medifast Inc. | 12,786 | 3,235 | ||||
1 | B&G Foods Inc. | 69,794 | 2,117 | |||
* | Celsius Holdings Inc. | 28,796 | 1,714 | |||
National Beverage Corp. | 25,318 | 1,207 | ||||
* | Simply Good Foods Co. | 41,150 | 1,200 | |||
J & J Snack Foods Corp. | 6,985 | 1,109 | ||||
PriceSmart Inc. | 11,127 | 1,073 | ||||
* | Central Garden & Pet Co. Class A | 25,759 | 1,069 | |||
Vector Group Ltd. | 69,036 | 942 | ||||
* | Cal-Maine Foods Inc. | 23,914 | 911 | |||
* | United Natural Foods Inc. | 32,206 | 852 | |||
* | USANA Health Sciences Inc. | 8,358 | 811 | |||
Inter Parfums Inc. | 8,422 | 616 |
Shares | Market Value• ($000) | |||||
Calavo Growers Inc. | 7,371 | 555 | ||||
Coca-Cola Consolidated Inc. | 2,162 | 555 | ||||
* | elf Beauty Inc. | 21,551 | 553 | |||
MGP Ingredients Inc. | 7,636 | 488 | ||||
* | Central Garden & Pet Co. | 6,508 | 297 | |||
23,931 | ||||||
Energy (2.0%) | ||||||
* | Renewable Energy Group Inc. | 42,720 | 3,322 | |||
* | Southwestern Energy Co. | 399,821 | 1,619 | |||
* | Range Resources Corp. | 158,683 | 1,530 | |||
* | Matador Resources Co. | 51,247 | 1,071 | |||
DMC Global Inc. | 16,043 | 1,011 | ||||
Core Laboratories NV | 19,285 | 685 | ||||
* | Bonanza Creek Energy Inc. | 20,166 | 644 | |||
* | Dorian LPG Ltd. | 20,879 | 260 | |||
10,142 | ||||||
Financials (9.3%) | ||||||
* | Trupanion Inc. | 35,553 | 3,440 | |||
Walker & Dunlop Inc. | 31,541 | 3,143 | ||||
* | Green Dot Corp. Class A | 58,088 | 2,745 | |||
* | Axos Financial Inc. | 55,795 | 2,582 | |||
ServisFirst Bancshares Inc. | 50,942 | 2,525 | ||||
* | Mr Cooper Group Inc. | 77,965 | 2,452 | |||
* | NMI Holdings Inc. Class A | 92,107 | 2,106 | |||
* | Palomar Holdings Inc. | 23,560 | 2,006 | |||
Virtus Investment Partners Inc. | 7,773 | 1,950 | ||||
Community Bank System Inc. | 27,327 | 1,945 | ||||
* | Triumph Bancorp Inc. | 24,564 | 1,884 | |||
* | PRA Group Inc. | 49,508 | 1,825 | |||
* | eHealth Inc. | 28,126 | 1,671 | |||
Flagstar Bancorp Inc. | 30,828 | 1,338 | ||||
CVB Financial Corp. | 56,692 | 1,214 | ||||
Brightsphere Investment Group Inc. | 65,057 | 1,177 | ||||
Independent Bank Corp. | 12,884 | 1,102 | ||||
Park National Corp. | 8,476 | 1,051 | ||||
* | StoneX Group Inc. | 17,655 | 1,018 | |||
Piper Sandler Cos. | 9,251 | 984 | ||||
Meta Financial Group Inc. | 20,321 | 900 | ||||
Hilltop Holdings Inc. | 24,636 | 814 | ||||
National Bank Holdings Corp. Class A | 20,893 | 810 | ||||
Westamerica Bancorp | 13,454 | 809 | ||||
BancFirst Corp. | 9,934 | 635 | ||||
James River Group Holdings Ltd. | 13,351 | 613 | ||||
City Holding Co. | 7,861 | 591 | ||||
Great Western Bancorp Inc. | 20,256 | 543 | ||||
AMERISAFE Inc. | 7,775 | 455 | ||||
Redwood Trust Inc. | 45,114 | 444 | ||||
HCI Group Inc. | 6,711 | 388 | ||||
* | Blucora Inc. | 23,040 | 373 |
Shares | Market Value• ($000) | |||||
* | Donnelley Financial Solutions Inc. | 14,222 | 370 | |||
* | World Acceptance Corp. | 2,926 | 370 | |||
Berkshire Hills Bancorp Inc. | 17,758 | 358 | ||||
* | Ambac Financial Group Inc. | 16,946 | 287 | |||
Invesco Mortgage Capital Inc. | 73,105 | 284 | ||||
WisdomTree Investments Inc. | 50,911 | 270 | ||||
Greenhill & Co. Inc. | 9,400 | 142 | ||||
47,614 | ||||||
Health Care (17.6%) | ||||||
* | NeoGenomics Inc. | 120,594 | 6,147 | |||
* | Omnicell Inc. | 45,956 | 5,832 | |||
Ensign Group Inc. | 55,385 | 4,543 | ||||
* | HMS Holdings Corp. | 96,192 | 3,538 | |||
* | R1 RCM Inc. | 126,738 | 3,503 | |||
* | Pacira BioSciences Inc. | 47,189 | 3,468 | |||
* | Xencor Inc. | 62,401 | 3,074 | |||
* | Merit Medical Systems Inc. | 53,093 | 2,958 | |||
* | Glaukos Corp. | 31,253 | 2,955 | |||
* | Corcept Therapeutics Inc. | 113,570 | 2,856 | |||
* | Allscripts Healthcare Solutions Inc. | 171,611 | 2,648 | |||
* | Covetrus Inc. | 64,593 | 2,400 | |||
* | AMN Healthcare Services Inc. | 32,185 | 2,345 | |||
CONMED Corp. | 17,396 | 2,141 | ||||
* | Select Medical Holdings Corp. | 59,741 | 1,891 | |||
* | Heska Corp. | 9,653 | 1,819 | |||
* | Addus HomeCare Corp. | 16,318 | 1,755 | |||
* | ModivCare Inc. | 13,407 | 1,720 | |||
* | Supernus Pharmaceuticals Inc. | 57,223 | 1,538 | |||
Luminex Corp. | 46,990 | 1,528 | ||||
* | REGENXBIO Inc. | 37,106 | 1,518 | |||
* | Pennant Group Inc. | 27,560 | 1,455 | |||
* | Fulgent Genetics Inc. | 14,237 | 1,442 | |||
* | Cytokinetics Inc. | 76,872 | 1,440 | |||
Mesa Laboratories Inc. | 5,282 | 1,436 | ||||
Owens & Minor Inc. | 41,522 | 1,412 | ||||
* | Integer Holdings Corp. | 14,281 | 1,259 | |||
* | Endo International plc | 152,576 | 1,210 | |||
Simulations Plus Inc. | 16,447 | 1,180 | ||||
* | Coherus Biosciences Inc. | 68,798 | 1,117 | |||
* | Tactile Systems Technology Inc. | 21,084 | 1,071 | |||
* | Community Health Systems Inc. | 122,020 | 1,044 | |||
* | Meridian Bioscience Inc. | 46,736 | 985 | |||
* | Tabula Rasa HealthCare Inc. | 23,518 | 954 | |||
LeMaitre Vascular Inc. | 18,324 | 942 | ||||
* | Cardiovascular Systems Inc. | 22,197 | 917 | |||
US Physical Therapy Inc. | 7,664 | 899 |
Shares | Market Value• ($000) | |||||
* | Collegium Pharmaceutical Inc. | 37,515 | 885 | |||
* | MEDNAX Inc. | 36,203 | 884 | |||
* | Innoviva Inc. | 68,180 | 779 | |||
* | CorVel Corp. | 6,321 | 642 | |||
* | Tivity Health Inc. | 26,745 | 637 | |||
* | CryoLife Inc. | 22,397 | 566 | |||
* | Vanda Pharmaceuticals Inc. | 30,236 | 564 | |||
* | Hanger Inc. | 25,142 | 553 | |||
* | OraSure Technologies Inc. | 50,063 | 531 | |||
* | NextGen Healthcare Inc. | 28,149 | 526 | |||
* | Surmodics Inc. | 9,545 | 498 | |||
* | Amphastar Pharmaceuticals Inc. | 25,870 | 453 | |||
* | Inogen Inc. | 8,407 | 441 | |||
* | RadNet Inc. | 22,854 | 421 | |||
* | Enanta Pharmaceuticals Inc. | 8,178 | 403 | |||
* | Orthofix Medical Inc. | 7,601 | 354 | |||
* | Zynex Inc. | 21,147 | 307 | |||
* | AngioDynamics Inc. | 14,498 | 304 | |||
* | Cutera Inc. | 8,475 | 299 | |||
* | Spectrum Pharmaceuticals Inc. | 87,235 | 299 | |||
* | HealthStream Inc. | 10,463 | 244 | |||
* | Anika Therapeutics Inc. | 6,230 | 229 | |||
Computer Programs & Systems Inc. | 6,456 | 203 | ||||
* | Eagle Pharmaceuticals Inc. | 4,548 | 202 | |||
* | ANI Pharmaceuticals Inc. | 3,764 | 110 | |||
90,274 | ||||||
Industrials (17.7%) | ||||||
* | Saia Inc. | 28,410 | 5,697 | |||
* | Chart Industries Inc. | 38,341 | 5,486 | |||
Exponent Inc. | 56,081 | 5,410 | ||||
* | Proto Labs Inc. | 29,058 | 4,233 | |||
AAON Inc. | 44,262 | 3,413 | ||||
Matson Inc. | 46,787 | 3,241 | ||||
Franklin Electric Co. Inc. | 41,651 | 3,126 | ||||
John Bean Technologies Corp. | 21,021 | 3,102 | ||||
* | Gibraltar Industries Inc. | 35,324 | 3,086 | |||
* | AeroVironment Inc. | 23,824 | 2,623 | |||
Forward Air Corp. | 29,875 | 2,562 | ||||
Hillenbrand Inc. | 53,607 | 2,491 | ||||
Comfort Systems USA Inc. | 39,527 | 2,448 | ||||
Federal Signal Corp. | 65,736 | 2,393 | ||||
* | Vicor Corp. | 22,936 | 2,259 | |||
Watts Water Technologies Inc. Class A | 19,372 | 2,210 | ||||
Applied Industrial Technologies Inc. | 25,682 | 2,192 | ||||
UniFirst Corp. | 8,602 | 2,084 | ||||
UFP Industries Inc. | 33,892 | 2,067 | ||||
* | Aerojet Rocketdyne Holdings Inc. | 35,132 | 1,801 | |||
ESCO Technologies Inc. | 16,685 | 1,763 |
Shares | Market Value• ($000) | |||||
Alamo Group Inc. | 10,709 | 1,635 | ||||
Arcosa Inc. | 28,303 | 1,606 | ||||
* | Allegiant Travel Co. Class A | 6,264 | 1,580 | |||
* | SPX Corp. | 28,209 | 1,568 | |||
* | PGT Innovations Inc. | 64,041 | 1,511 | |||
Korn Ferry | 23,526 | 1,448 | ||||
Albany International Corp. Class A | 16,670 | 1,318 | ||||
Cubic Corp. | 17,456 | 1,212 | ||||
Lindsay Corp. | 7,075 | 1,134 | ||||
Brady Corp. Class A | 20,519 | 1,075 | ||||
* | SPX FLOW Inc. | 17,414 | 1,072 | |||
Marten Transport Ltd. | 63,699 | 1,031 | ||||
Astec Industries Inc. | 14,964 | 1,016 | ||||
Mueller Industries Inc. | 24,787 | 1,007 | ||||
Moog Inc. Class A | 12,104 | 940 | ||||
* | American Woodmark Corp. | 9,772 | 913 | |||
AZZ Inc. | 15,848 | 810 | ||||
Tennant Co. | 9,253 | 705 | ||||
Enerpac Tool Group Corp. Class A | 26,595 | 657 | ||||
Raven Industries Inc. | 16,325 | 640 | ||||
* | MYR Group Inc. | 10,217 | 602 | |||
* | Forrester Research Inc. | 11,965 | 541 | |||
* | US Ecology Inc. | 13,365 | 511 | |||
Heartland Express Inc. | 26,339 | 479 | ||||
* | Echo Global Logistics Inc. | 14,780 | 412 | |||
Viad Corp. | 9,050 | 379 | ||||
* | Lydall Inc. | 8,431 | 294 | |||
* | Triumph Group Inc. | 19,851 | 289 | |||
* | CIRCOR International Inc. | 7,821 | 278 | |||
Insteel Industries Inc. | 8,655 | 267 | ||||
Titan International Inc. | 24,570 | 203 | ||||
Park Aerospace Corp. | 8,028 | 112 | ||||
90,932 | ||||||
Information Technology (20.3%) | ||||||
* | MicroStrategy Inc. Class A | 7,878 | 5,912 | |||
Power Integrations Inc. | 65,018 | 5,746 | ||||
* | LivePerson Inc. | 67,562 | 4,433 | |||
Advanced Energy Industries Inc. | 41,570 | 4,342 | ||||
* | Alarm.com Holdings Inc. | 48,543 | 4,266 | |||
* | Viavi Solutions Inc. | 248,774 | 4,026 | |||
* | 8x8 Inc. | 115,480 | 3,951 | |||
* | SPS Commerce Inc. | 38,355 | 3,864 | |||
* | FormFactor Inc. | 84,055 | 3,814 | |||
* | Diodes Inc. | 45,787 | 3,595 | |||
Badger Meter Inc. | 31,628 | 3,435 | ||||
* | Onto Innovation Inc. | 53,037 | 3,313 | |||
* | ExlService Holdings Inc. | 36,727 | 3,108 | |||
* | MaxLinear Inc. Class A | 73,305 | 2,915 | |||
* | Itron Inc. | 22,816 | 2,675 | |||
NIC Inc. | 72,813 | 2,527 | ||||
EVERTEC Inc. | 64,838 | 2,522 | ||||
* | 3D Systems Corp. | 63,373 | 2,271 |
Shares | Market Value• ($000) | |||||
* | Fabrinet | 24,878 | 2,197 | |||
* | Ultra Clean Holdings Inc. | 43,988 | 2,040 | |||
* | Perficient Inc. | 35,858 | 1,997 | |||
* | Cohu Inc. | 45,577 | 1,980 | |||
* | Rogers Corp. | 10,751 | 1,951 | |||
TTEC Holdings Inc. | 19,803 | 1,666 | ||||
Kulicke & Soffa Industries Inc. | 33,011 | 1,646 | ||||
ManTech International Corp. Class A | 20,077 | 1,569 | ||||
Xperi Holding Corp. | 72,330 | 1,526 | ||||
* | Plexus Corp. | 17,848 | 1,499 | |||
* | CEVA Inc. | 24,166 | 1,480 | |||
Progress Software Corp. | 31,846 | 1,355 | ||||
* | Agilysys Inc. | 22,035 | 1,313 | |||
* | Bottomline Technologies DE Inc. | 25,542 | 1,146 | |||
* | Rambus Inc. | 51,935 | 1,090 | |||
* | Plantronics Inc. | 26,478 | 1,072 | |||
* | FARO Technologies Inc. | 11,229 | 1,049 | |||
* | OSI Systems Inc. | 9,586 | 907 | |||
* | Axcelis Technologies Inc. | 23,619 | 871 | |||
* | OneSpan Inc. | 37,021 | 865 | |||
CSG Systems International Inc. | 17,879 | 825 | ||||
* | Unisys Corp. | 30,051 | 738 | |||
Methode Electronics Inc. | 16,647 | 648 | ||||
* | Veeco Instruments Inc. | 29,557 | 635 | |||
Ebix Inc. | 25,659 | 626 | ||||
* | Arlo Technologies Inc. | 86,087 | 599 | |||
CTS Corp. | 18,507 | 595 | ||||
* | Diebold Nixdorf Inc. | 39,570 | 575 | |||
* | Ichor Holdings Ltd. | 12,593 | 539 | |||
* | Extreme Networks Inc. | 58,570 | 537 | |||
* | Digi International Inc. | 18,328 | 428 | |||
* | Photronics Inc. | 35,025 | 417 | |||
* | Harmonic Inc. | 51,134 | 396 | |||
* | PDF Solutions Inc. | 19,465 | 357 | |||
* | DSP Group Inc. | 12,422 | 193 | |||
* | CalAmp Corp. | 15,356 | 172 | |||
104,214 | ||||||
Materials (3.9%) | ||||||
Balchem Corp. | 35,137 | 4,194 | ||||
Quaker Chemical Corp. | 14,332 | 4,047 | ||||
* | Livent Corp. | 158,893 | 2,959 | |||
HB Fuller Co. | 28,650 | 1,606 | ||||
Stepan Co. | 12,513 | 1,510 | ||||
* | Arconic Corp. | 59,072 | 1,295 | |||
Innospec Inc. | 10,137 | 1,018 | ||||
* | GCP Applied Technologies Inc. | 27,290 | 677 | |||
Materion Corp. | 8,406 | 576 | ||||
* | Ferro Corp. | 31,316 | 497 | |||
* | Century Aluminum Co. | 32,800 | 450 | |||
Hawkins Inc. | 5,635 | 353 |
Shares | Market Value• ($000) | |||||
Myers Industries Inc. | 15,278 | 338 | ||||
American Vanguard Corp. | 13,070 | 255 | ||||
FutureFuel Corp. | 11,879 | 174 | ||||
19,949 | ||||||
Other (0.0%)2 | ||||||
*,3 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
Real Estate (5.2%) | ||||||
Innovative Industrial Properties Inc. | 24,086 | 4,697 | ||||
Essential Properties Realty Trust Inc. | 113,687 | 2,638 | ||||
Agree Realty Corp. | 31,708 | 2,047 | ||||
Uniti Group Inc. | 161,812 | 1,927 | ||||
St. Joe Co. | 33,892 | 1,706 | ||||
National Storage Affiliates Trust | 41,274 | 1,591 | ||||
Four Corners Property Trust Inc. | 44,669 | 1,210 | ||||
Safehold Inc. | 15,567 | 1,187 | ||||
CareTrust REIT Inc. | 53,015 | 1,176 | ||||
Lexington Realty Trust | 108,276 | 1,161 | ||||
Community Healthcare Trust Inc. | 23,902 | 1,048 | ||||
Easterly Government Properties Inc. | 37,891 | 833 | ||||
Independence Realty Trust Inc. | 50,321 | 706 | ||||
Industrial Logistics Properties Trust | 31,992 | 680 | ||||
LTC Properties Inc. | 16,570 | 678 | ||||
Tanger Factory Outlet Centers Inc. | 35,612 | 560 | ||||
NexPoint Residential Trust Inc. | 13,651 | 560 | ||||
Centerspace | 7,996 | 549 | ||||
Getty Realty Corp. | 18,430 | 516 | ||||
* | Marcus & Millichap Inc. | 12,031 | 456 | |||
Universal Health Realty Income Trust | 6,413 | 397 | ||||
RE/MAX Holdings Inc. Class A | 8,480 | 354 | ||||
Saul Centers Inc. | 5,741 | 203 | ||||
26,880 | ||||||
Utilities (0.9%) | ||||||
California Water Service Group | 31,944 | 1,756 | ||||
American States Water Co. | 21,642 | 1,581 | ||||
Chesapeake Utilities Corp. | 9,668 | 1,022 | ||||
4,359 | ||||||
Total Common Stocks (Cost $423,187) | 513,038 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
4,5 | Vanguard Market Liquidity Fund, 0.099% (Cost $7,267) | 72,671 | 7,267 | |||
Total Investments (101.4%) (Cost $430,454) | 520,305 | |||||
Other Assets and Liabilities—Net (-1.4%) | (7,026) | |||||
Net Assets (100%) | 513,279 |
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 $4,620,000. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
3 | Security value determined using significant unobservable inputs. |
4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
5 | Collateral of $4,969,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2021 | 7 | 770 | (30) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $423,187) | 513,038 |
Affiliated Issuers (Cost $7,267) | 7,267 |
Total Investments in Securities | 520,305 |
Investment in Vanguard | 17 |
Cash Collateral Pledged—Futures Contracts | 150 |
Receivables for Investment Securities Sold | 3,254 |
Receivables for Accrued Income | 112 |
Receivables for Capital Shares Issued | 3 |
Total Assets | 523,841 |
Liabilities | |
Due to Custodian | 1,050 |
Collateral for Securities on Loan | 4,969 |
Payables for Capital Shares Redeemed | 4,504 |
Payables to Vanguard | 37 |
Variation Margin Payable—Futures Contracts | 2 |
Total Liabilities | 10,562 |
Net Assets | 513,279 |
At February 28, 2021, net assets consisted of: | |
Paid-in Capital | 464,678 |
Total Distributable Earnings (Loss) | 48,601 |
Net Assets | 513,279 |
ETF Shares—Net Assets | |
Applicable to 2,350,009 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 513,279 |
Net Asset Value Per Share—ETF Shares | $218.42 |
Six Months Ended February 28, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,380 |
Interest1 | — |
Securities Lending—Net | 43 |
Total Income | 1,423 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 29 |
Management and Administrative | 243 |
Marketing and Distribution | 9 |
Custodian Fees | 14 |
Shareholders’ Reports | — |
Trustees’ Fees and Expenses | — |
Total Expenses | 295 |
Net Investment Income | 1,128 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 29,563 |
Futures Contracts | 113 |
Realized Net Gain (Loss) | 29,676 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 89,771 |
Futures Contracts | (31) |
Change in Unrealized Appreciation (Depreciation) | 89,740 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 120,544 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $0, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $36,379,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended February 28, 2021 | Year Ended August 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,128 | 3,355 | |
Realized Net Gain (Loss) | 29,676 | 31,473 | |
Change in Unrealized Appreciation (Depreciation) | 89,740 | (23,188) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 120,544 | 11,640 | |
Distributions | |||
Total Distributions | (1,914) | (3,615) | |
Capital Share Transactions | |||
Issued | 245,843 | 157,186 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (177,071) | (231,591) | |
Net Increase (Decrease) from Capital Share Transactions | 68,772 | (74,405) | |
Total Increase (Decrease) | 187,402 | (66,380) | |
Net Assets | |||
Beginning of Period | 325,877 | 392,257 | |
End of Period | 513,279 | 325,877 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended February 28, 2021 | Year Ended August 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $158.96 | $152.33 | $179.42 | $132.10 | $117.25 | $106.99 |
Investment Operations | ||||||
Net Investment Income | .5271 | 1.4641 | 1.4751 | 1.2221 | 1.2221 | 1.180 |
Net Realized and Unrealized Gain (Loss) on Investments | 59.851 | 6.656 | (27.154) | 47.288 | 14.762 | 10.685 |
Total from Investment Operations | 60.378 | 8.120 | (25.679) | 48.510 | 15.984 | 11.865 |
Distributions | ||||||
Dividends from Net Investment Income | (.918) | (1.490) | (1.411) | (1.190) | (1.134) | (1.605) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.918) | (1.490) | (1.411) | (1.190) | (1.134) | (1.605) |
Net Asset Value, End of Period | $218.42 | $158.96 | $152.33 | $179.42 | $132.10 | $117.25 |
Total Return | 38.10% | 5.37% | -14.32% | 36.92% | 13.67% | 11.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $513 | $326 | $392 | $547 | $264 | $132 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.16% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.65% | 0.97% | 0.94% | 0.80% | 0.95% | 1.15% |
Portfolio Turnover Rate2 | 34% | 57% | 47% | 37% | 48% | 48% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
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 | 513,038 | — | — | 513,038 |
Temporary Cash Investments | 7,267 | — | — | 7,267 |
Total | 520,305 | — | — | 520,305 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 30 | — | — | 30 |
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. | As of February 28, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 431,007 |
Gross Unrealized Appreciation | 102,194 |
Gross Unrealized Depreciation | (12,926) |
Net Unrealized Appreciation (Depreciation) | 89,268 |
E. | During the six months ended February 28, 2021, the fund purchased $367,838,000 of investment securities and sold $298,876,000 of investment securities, other than temporary cash investments. Purchases and sales include $225,074,000 and $166,759,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital shares issued and redeemed were: |
Six Months Ended February 28, 2021 Shares (000) | Year Ended August 31, 2020 Shares (000) | |||
ETF Shares | ||||
Issued | 1,325 | 1,075 | ||
Issued in Lieu of Cash Distributions | — | — | ||
Redeemed | (1,025) | (1,600) | ||
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 300 | (525) |
G. | Management has determined that no events or transactions occurred subsequent to February 28, 2021, that would require recognition or disclosure in these financial statements. |
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U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749;
7,925,573; 8,090,646; 8,417,623; and 8,626,636.
Vanguard Marketing Corporation, Distributor.
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a) | Certifications. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 20, 2021
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 ADMIRAL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 20, 2021
VANGUARD ADMIRAL FUNDS
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: April 20, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on December 18, 2020 (see File Number 33-64845), Incorporated by Reference