Vanguard® S&P Small-Cap 600 Growth Index Fund
Schedule of Investments (unaudited)
As of November 30, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (100.0%) | ||||||
Communication Services (1.3%) | ||||||
* | TechTarget Inc. | 30,220 | 2,920 | |||
Cogent Communications Holdings Inc. | 31,856 | 2,387 | ||||
Shenandoah Telecommunications Co. | 38,833 | 986 | ||||
* | QuinStreet Inc. | 58,748 | 899 | |||
* | Thryv Holdings Inc. | 10,866 | 425 | |||
7,617 | ||||||
Consumer Discretionary (12.7%) | ||||||
* | Meritage Homes Corp. | 44,895 | 5,067 | |||
LCI Industries | 30,144 | 4,590 | ||||
* | Dorman Products Inc. | 34,167 | 3,792 | |||
* | LGI Homes Inc. | 25,832 | 3,711 | |||
Installed Building Products Inc. | 27,979 | 3,612 | ||||
* | Shake Shack Inc. Class A | 46,668 | 3,406 | |||
Shutterstock Inc. | 27,946 | 3,186 | ||||
Rent-A-Center Inc. | 72,119 | 3,185 | ||||
* | Vista Outdoor Inc. | 68,412 | 2,988 | |||
* | Boot Barn Holdings Inc. | 21,121 | 2,584 | |||
* | iRobot Corp. | 33,441 | 2,538 | |||
Century Communities Inc. | 35,418 | 2,517 | ||||
* | Sleep Number Corp. | 28,150 | 2,246 | |||
* | Gentherm Inc. | 26,075 | 2,202 | |||
Patrick Industries Inc. | 26,796 | 2,138 | ||||
MDC Holdings Inc. | 39,720 | 1,900 | ||||
Big Lots Inc. | 41,262 | 1,790 | ||||
* | Cavco Industries Inc. | 5,921 | 1,761 | |||
Steven Madden Ltd. | 35,776 | 1,698 | ||||
Winnebago Industries Inc. | 20,476 | 1,479 | ||||
* | Dine Brands Global Inc. | 20,529 | 1,474 | |||
Hibbett Inc. | 17,916 | 1,397 | ||||
Kontoor Brands Inc. | 25,740 | 1,388 | ||||
* | MarineMax Inc. | 25,983 | 1,384 | |||
Wolverine World Wide Inc. | 37,345 | 1,163 | ||||
* | Brinker International Inc. | 29,529 | 1,022 | |||
Sturm Ruger & Co. Inc. | 13,052 | 936 | ||||
* | Tupperware Brands Corp. | 59,618 | 932 | |||
La-Z-Boy Inc. | 27,468 | 917 | ||||
* | Cheesecake Factory Inc. | 20,232 | 775 | |||
Buckle Inc. | 14,389 | 677 | ||||
* | Zumiez Inc. | 14,667 | 671 | |||
PetMed Express Inc. | 24,311 | 665 | ||||
* | Monarch Casino & Resort Inc. | 7,942 | 535 |
Shares | Market Value ($000) | |||||
* | Lumber Liquidators Holdings Inc. | 34,757 | 533 | |||
* | America's Car-Mart Inc. | 4,825 | 474 | |||
* | Liquidity Services Inc. | 20,844 | 473 | |||
* | WW International Inc. | 24,568 | 413 | |||
* | Fossil Group Inc. | 30,397 | 363 | |||
* | Perdoceo Education Corp. | 36,580 | 360 | |||
Haverty Furniture Cos. Inc. | 8,180 | 245 | ||||
* | Ruth's Hospitality Group Inc. | 14,114 | 240 | |||
* | Universal Electronics Inc. | 6,558 | 237 | |||
* | American Public Education Inc. | 12,419 | 235 | |||
* | El Pollo Loco Holdings Inc. | 11,982 | 151 | |||
74,050 | ||||||
Consumer Staples (4.7%) | ||||||
WD-40 Co. | 16,346 | 3,667 | ||||
* | Celsius Holdings Inc. | 45,286 | 3,098 | |||
Medifast Inc. | 13,987 | 2,878 | ||||
1 | B&G Foods Inc. | 77,257 | 2,328 | |||
* | United Natural Foods Inc. | 35,563 | 1,768 | |||
* | Simply Good Foods Co. | 45,153 | 1,669 | |||
National Beverage Corp. | 27,867 | 1,447 | ||||
Coca-Cola Consolidated Inc. | 2,379 | 1,357 | ||||
* | Central Garden & Pet Co. Class A | 29,327 | 1,271 | |||
Vector Group Ltd. | 77,903 | 1,211 | ||||
J & J Snack Foods Corp. | 7,648 | 1,044 | ||||
Cal-Maine Foods Inc. | 26,391 | 952 | ||||
* | USANA Health Sciences Inc. | 9,143 | 912 | |||
PriceSmart Inc. | 12,571 | 902 | ||||
* | elf Beauty Inc. | 29,511 | 889 | |||
Inter Parfums Inc. | 9,289 | 816 | ||||
MGP Ingredients Inc. | 7,885 | 615 | ||||
Calavo Growers Inc. | 8,602 | 349 | ||||
* | Central Garden & Pet Co. | 7,052 | 340 | |||
27,513 | ||||||
Energy (2.6%) | ||||||
* | Range Resources Corp. | 176,607 | 3,454 | |||
Civitas Resources Inc. | 58,729 | 3,002 | ||||
* | Renewable Energy Group Inc. | 59,905 | 2,862 | |||
Matador Resources Co. | 56,350 | 2,213 | ||||
* | Southwestern Energy Co. | 459,933 | 2,061 | |||
* | DMC Global Inc. | 22,386 | 817 | |||
Core Laboratories NV | 22,087 | 506 | ||||
Dorian LPG Ltd. | 18,794 | 231 | ||||
15,146 | ||||||
Financials (11.8%) | ||||||
* | Trupanion Inc. | 40,780 | 5,029 | |||
Walker & Dunlop Inc. | 34,909 | 4,911 | ||||
ServisFirst Bancshares Inc. | 58,171 | 4,676 | ||||
* | Mr Cooper Group Inc. | 102,760 | 4,035 | |||
* | Axos Financial Inc. | 63,651 | 3,603 | |||
* | Triumph Bancorp Inc. | 28,149 | 3,585 | |||
Virtus Investment Partners Inc. | 8,574 | 2,550 | ||||
* | Green Dot Corp. Class A | 65,134 | 2,338 | |||
* | PRA Group Inc. | 54,641 | 2,320 | |||
Community Bank System Inc. | 30,199 | 2,134 | ||||
Brightsphere Investment Group Inc. | 70,943 | 2,130 | ||||
* | Palomar Holdings Inc. | 28,724 | 2,099 | |||
* | NMI Holdings Inc. Class A | 102,118 | 2,002 |
Shares | Market Value ($000) | |||||
Flagstar Bancorp Inc. | 37,776 | 1,758 | ||||
Piper Sandler Cos. | 10,586 | 1,755 | ||||
Independent Bank Corp. (Massachusetts) | 20,418 | 1,614 | ||||
* | LendingTree Inc. | 13,683 | 1,551 | |||
Meta Financial Group Inc. | 21,357 | 1,277 | ||||
Park National Corp. | 9,559 | 1,244 | ||||
CVB Financial Corp. | 62,610 | 1,196 | ||||
* | StoneX Group Inc. | 20,128 | 1,131 | |||
B. Riley Financial Inc. | 12,955 | 1,003 | ||||
* | Bancorp Inc. | 35,447 | 1,002 | |||
National Bank Holdings Corp. Class A | 23,087 | 984 | ||||
* | Selectquote Inc. | 99,409 | 895 | |||
Lakeland Financial Corp. | 12,641 | 893 | ||||
Hilltop Holdings Inc. | 26,027 | 886 | ||||
HCI Group Inc. | 7,885 | 870 | ||||
Westamerica Bancorp | 14,714 | 791 | ||||
Great Western Bancorp Inc. | 22,391 | 751 | ||||
* | Donnelley Financial Solutions Inc. | 15,467 | 723 | |||
BancFirst Corp. | 11,095 | 706 | ||||
Two Harbors Investment Corp. | 119,504 | 703 | ||||
* | World Acceptance Corp. | 3,416 | 702 | |||
City Holding Co. | 8,435 | 662 | ||||
Redwood Trust Inc. | 50,067 | 642 | ||||
* | eHealth Inc. | 28,162 | 622 | |||
Berkshire Hills Bancorp Inc. | 18,578 | 496 | ||||
James River Group Holdings Ltd. | 17,755 | 469 | ||||
AMERISAFE Inc. | 8,601 | 457 | ||||
* | Blucora Inc. | 25,421 | 412 | |||
Invesco Mortgage Capital Inc. | 127,148 | 381 | ||||
WisdomTree Investments Inc. | 54,221 | 333 | ||||
* | Ambac Financial Group Inc. | 18,639 | 278 | |||
Greenhill & Co. Inc. | 10,216 | 174 | ||||
68,773 | ||||||
Health Care (18.0%) | ||||||
* | Omnicell Inc. | 51,830 | 9,174 | |||
* | NeoGenomics Inc. | 146,436 | 5,017 | |||
Ensign Group Inc. | 62,457 | 4,767 | ||||
* | AMN Healthcare Services Inc. | 35,503 | 4,048 | |||
* | Cytokinetics Inc. | 99,578 | 3,917 | |||
* | Merit Medical Systems Inc. | 60,369 | 3,795 | |||
* | Pacira BioSciences Inc. | 53,002 | 2,789 | |||
* | Apollo Medical Holdings Inc. | 28,262 | 2,647 | |||
* | Corcept Therapeutics Inc. | 124,381 | 2,612 | |||
CONMED Corp. | 19,463 | 2,559 | ||||
* | Xencor Inc. | 69,526 | 2,518 | |||
* | Emergent BioSolutions Inc. | 56,970 | 2,514 | |||
* | Allscripts Healthcare Solutions Inc. | 149,037 | 2,478 | |||
* | Fulgent Genetics Inc. | 22,866 | 2,138 | |||
* | Vericel Corp. | 55,562 | 2,067 | |||
* | Heska Corp. | 12,683 | 2,041 | |||
* | ModivCare Inc. | 14,672 | 2,011 | |||
Mesa Laboratories Inc. | 6,197 | 1,914 | ||||
* | Supernus Pharmaceuticals Inc. | 63,307 | 1,897 | |||
Owens & Minor Inc. | 46,748 | 1,870 | ||||
* | Community Health Systems Inc. | 147,876 | 1,779 | |||
Select Medical Holdings Corp. | 64,577 | 1,734 | ||||
* | Avanos Medical Inc. | 57,311 | 1,729 | |||
* | Ligand Pharmaceuticals Inc. | 10,324 | 1,672 |
Shares | Market Value ($000) | |||||
* | Addus HomeCare Corp. | 18,954 | 1,653 | |||
* | Glaukos Corp. | 35,604 | 1,532 | |||
* | REGENXBIO Inc. | 44,797 | 1,434 | |||
* | Coherus Biosciences Inc. | 75,858 | 1,409 | |||
* | Joint Corp. | 17,176 | 1,373 | |||
* | OptimizeRx Corp. | 21,052 | 1,368 | |||
* | CorVel Corp. | 7,219 | 1,357 | |||
* | Covetrus Inc. | 73,997 | 1,330 | |||
* | BioLife Solutions Inc. | 34,746 | 1,326 | |||
* | Avid Bioservices Inc. | 42,342 | 1,294 | |||
* | Integer Holdings Corp. | 15,771 | 1,258 | |||
* | Innoviva Inc. | 74,729 | 1,249 | |||
LeMaitre Vascular Inc. | 22,932 | 1,073 | ||||
* | Meridian Bioscience Inc. | 51,624 | 1,028 | |||
* | MEDNAX Inc. | 40,264 | 989 | |||
* | Endo International plc | 169,612 | 950 | |||
Simulations Plus Inc. | 18,767 | 882 | ||||
* | Tivity Health Inc. | 34,710 | 827 | |||
* | Enanta Pharmaceuticals Inc. | 9,032 | 797 | |||
* | Collegium Pharmaceutical Inc. | 42,298 | 744 | |||
US Physical Therapy Inc. | 8,482 | 729 | ||||
* | RadNet Inc. | 25,734 | 694 | |||
* | Pennant Group Inc. | 32,198 | 655 | |||
* | Harmony Biosciences Holdings Inc. | 17,187 | 586 | |||
* | Amphastar Pharmaceuticals Inc. | 28,727 | 562 | |||
* | Vanda Pharmaceuticals Inc. | 33,917 | 549 | |||
* | OraSure Technologies Inc. | 54,930 | 513 | |||
* | NextGen Healthcare Inc. | 31,753 | 492 | |||
* | Cardiovascular Systems Inc. | 24,555 | 491 | |||
* | Organogenesis Holdings Inc. Class A | 47,431 | 477 | |||
* | uniQure NV | 16,751 | 467 | |||
* | Surmodics Inc. | 10,585 | 465 | |||
* | Tactile Systems Technology Inc. | 23,636 | 461 | |||
* | Hanger Inc. | 26,803 | 452 | |||
* | Cara Therapeutics Inc. | 33,797 | 445 | |||
* | CryoLife Inc. | 24,897 | 428 | |||
* | AngioDynamics Inc. | 16,169 | 416 | |||
* | Inogen Inc. | 10,288 | 314 | |||
* | Tabula Rasa HealthCare Inc. | 27,434 | 312 | |||
* | Zynex Inc. | 23,527 | 301 | |||
* | Cutera Inc. | 8,522 | 297 | |||
* | Anika Therapeutics Inc. | 6,843 | 268 | |||
* | HealthStream Inc. | 11,380 | 264 | |||
* | Orthofix Medical Inc. | 8,410 | 257 | |||
* | Computer Programs & Systems Inc. | 8,168 | 241 | |||
* | Eagle Pharmaceuticals Inc. | 4,922 | 235 | |||
* | ANI Pharmaceuticals Inc. | 4,137 | 170 | |||
* | Spectrum Pharmaceuticals Inc. | 107,202 | 169 | |||
*,2 | Lantheus Holdings Inc. CVR | 35,713 | — | |||
105,270 | ||||||
Industrials (16.9%) | ||||||
* | Chart Industries Inc. | 42,468 | 7,413 | |||
Exponent Inc. | 62,074 | 7,232 | ||||
Matson Inc. | 51,833 | 4,226 | ||||
Comfort Systems USA Inc. | 43,296 | 4,107 | ||||
Franklin Electric Co. Inc. | 46,512 | 4,095 | ||||
Watts Water Technologies Inc. Class A | 21,365 | 4,032 | ||||
AAON Inc. | 49,361 | 3,850 |
Shares | Market Value ($000) | |||||
* | Vicor Corp. | 25,433 | 3,649 | |||
John Bean Technologies Corp. | 23,107 | 3,646 | ||||
Forward Air Corp. | 32,312 | 3,191 | ||||
UFP Industries Inc. | 37,615 | 3,133 | ||||
Federal Signal Corp. | 72,904 | 3,093 | ||||
Applied Industrial Technologies Inc. | 28,262 | 2,686 | ||||
* | Gibraltar Industries Inc. | 38,915 | 2,642 | |||
Hillenbrand Inc. | 57,470 | 2,563 | ||||
* | AeroVironment Inc. | 27,460 | 2,218 | |||
Korn Ferry | 26,514 | 1,929 | ||||
* | SPX Corp. | 31,307 | 1,820 | |||
UniFirst Corp. | 9,439 | 1,809 | ||||
Aerojet Rocketdyne Holdings Inc. | 40,036 | 1,683 | ||||
Alamo Group Inc. | 11,791 | 1,677 | ||||
* | Proto Labs Inc. | 33,053 | 1,657 | |||
Arcosa Inc. | 31,127 | 1,593 | ||||
SPX FLOW Inc. | 18,900 | 1,578 | ||||
Albany International Corp. Class A | 19,345 | 1,566 | ||||
ManTech International Corp. Class A | 22,268 | 1,513 | ||||
Mueller Industries Inc. | 27,317 | 1,511 | ||||
ESCO Technologies Inc. | 18,374 | 1,502 | ||||
* | PGT Innovations Inc. | 71,224 | 1,463 | |||
* | Allegiant Travel Co. | 7,912 | 1,370 | |||
* | MYR Group Inc. | 11,292 | 1,250 | |||
Marten Transport Ltd. | 71,324 | 1,147 | ||||
Lindsay Corp. | 7,821 | 1,138 | ||||
Brady Corp. Class A | 22,620 | 1,137 | ||||
*,2 | Raven Industries Inc. | 17,949 | 1,041 | |||
Astec Industries Inc. | 16,548 | 1,037 | ||||
Moog Inc. Class A | 13,308 | 920 | ||||
AZZ Inc. | 16,712 | 867 | ||||
Tennant Co. | 10,228 | 805 | ||||
* | Forrester Research Inc. | 13,247 | 748 | |||
* | American Woodmark Corp. | 10,607 | 654 | |||
Enerpac Tool Group Corp. Class A | 29,499 | 623 | ||||
* | US Ecology Inc. | 14,591 | 497 | |||
Heartland Express Inc. | 27,280 | 457 | ||||
* | Triumph Group Inc. | 27,114 | 454 | |||
* | Viad Corp. | 10,101 | 427 | |||
Insteel Industries Inc. | 9,414 | 397 | ||||
* | CIRCOR International Inc. | 8,648 | 233 | |||
* | Titan International Inc. | 27,344 | 188 | |||
Park Aerospace Corp. | 8,958 | 116 | ||||
98,583 | ||||||
Information Technology (20.5%) | ||||||
Power Integrations Inc. | 71,894 | 7,192 | ||||
* | Vonage Holdings Corp. | 300,307 | 6,192 | |||
* | SPS Commerce Inc. | 42,722 | 6,023 | |||
* | Diodes Inc. | 53,618 | 5,702 | |||
* | MaxLinear Inc. Class A | 83,889 | 5,648 | |||
* | Onto Innovation Inc. | 58,750 | 5,532 | |||
* | Perficient Inc. | 39,267 | 5,381 | |||
* | ExlService Holdings Inc. | 39,553 | 5,137 | |||
* | Alarm.com Holdings Inc. | 54,737 | 4,367 | |||
* | Viavi Solutions Inc. | 272,716 | 4,039 | |||
Advanced Energy Industries Inc. | 45,762 | 4,013 | ||||
* | FormFactor Inc. | 92,633 | 3,883 | |||
Badger Meter Inc. | 34,795 | 3,562 |
Shares | Market Value ($000) | |||||
* | Rogers Corp. | 11,838 | 3,227 | |||
* | Fabrinet | 27,267 | 3,015 | |||
EVERTEC Inc. | 71,220 | 2,991 | ||||
* | LivePerson Inc. | 77,363 | 2,991 | |||
* | Ultra Clean Holdings Inc. | 53,300 | 2,921 | |||
* | 8x8 Inc. | 133,577 | 2,879 | |||
Kulicke & Soffa Industries Inc. | 36,177 | 2,086 | ||||
* | Cohu Inc. | 57,891 | 1,909 | |||
TTEC Holdings Inc. | 21,820 | 1,841 | ||||
* | Itron Inc. | 28,011 | 1,734 | |||
Progress Software Corp. | 33,978 | 1,646 | ||||
* | Plexus Corp. | 19,239 | 1,619 | |||
* | Axcelis Technologies Inc. | 26,076 | 1,612 | |||
* | 3D Systems Corp. | 70,066 | 1,596 | |||
* | Rambus Inc. | 54,644 | 1,470 | |||
Xperi Holding Corp. | 78,865 | 1,413 | ||||
* | Bottomline Technologies DE Inc. | 28,194 | 1,264 | |||
* | CEVA Inc. | 27,418 | 1,209 | |||
CSG Systems International Inc. | 19,485 | 1,027 | ||||
* | Agilysys Inc. | 23,209 | 1,011 | |||
* | OSI Systems Inc. | 10,545 | 959 | |||
* | Extreme Networks Inc. | 66,412 | 897 | |||
* | Veeco Instruments Inc. | 32,981 | 877 | |||
* | FARO Technologies Inc. | 12,547 | 871 | |||
Ebix Inc. | 28,350 | 866 | ||||
* | Plantronics Inc. | 32,742 | 836 | |||
Methode Electronics Inc. | 18,650 | 829 | ||||
* | Ichor Holdings Ltd. | 16,944 | 811 | |||
* | Arlo Technologies Inc. | 99,129 | 768 | |||
* | Consensus Cloud Solutions Inc. | 12,063 | 756 | |||
CTS Corp. | 20,477 | 713 | ||||
* | OneSpan Inc. | 41,109 | 703 | |||
* | PDF Solutions Inc. | 21,609 | 647 | |||
* | Unisys Corp. | 35,378 | 642 | |||
* | Harmonic Inc. | 58,073 | 624 | |||
* | Digi International Inc. | 23,482 | 506 | |||
* | Photronics Inc. | 36,046 | 476 | |||
* | Diebold Nixdorf Inc. | 40,627 | 329 | |||
* | DSP Group Inc. | 14,032 | 309 | |||
* | CalAmp Corp. | 16,743 | 154 | |||
119,705 | ||||||
Materials (4.5%) | ||||||
Balchem Corp. | 38,602 | 6,099 | ||||
* | Livent Corp. | 192,636 | 5,835 | |||
Quaker Chemical Corp. | 15,990 | 3,643 | ||||
HB Fuller Co. | 31,935 | 2,336 | ||||
* | Arconic Corp. | 72,974 | 1,950 | |||
Stepan Co. | 13,772 | 1,552 | ||||
Innospec Inc. | 11,211 | 910 | ||||
Materion Corp. | 9,254 | 784 | ||||
* | GCP Applied Technologies Inc. | 33,221 | 776 | |||
* | Ferro Corp. | 34,479 | 728 | |||
* | Century Aluminum Co. | 35,947 | 476 | |||
Hawkins Inc. | 12,481 | 414 | ||||
Myers Industries Inc. | 16,737 | 326 | ||||
American Vanguard Corp. | 14,341 | 205 |
Shares | Market Value ($000) | |||||
FutureFuel Corp. | 12,861 | 97 | ||||
26,131 | ||||||
Real Estate (5.8%) | ||||||
Innovative Industrial Properties Inc. | 28,530 | 7,327 | ||||
Essential Properties Realty Trust Inc. | 141,000 | 3,811 | ||||
Agree Realty Corp. | 41,099 | 2,777 | ||||
Uniti Group Inc. | 178,037 | 2,363 | ||||
St. Joe Co. | 39,292 | 1,886 | ||||
Lexington Realty Trust | 119,068 | 1,792 | ||||
Independence Realty Trust Inc. | 61,311 | 1,502 | ||||
Four Corners Property Trust Inc. | 51,008 | 1,378 | ||||
CareTrust REIT Inc. | 59,156 | 1,196 | ||||
Community Healthcare Trust Inc. | 27,760 | 1,194 | ||||
NexPoint Residential Trust Inc. | 15,352 | 1,145 | ||||
Safehold Inc. | 15,933 | 1,140 | ||||
Centerspace | 9,528 | 974 | ||||
Easterly Government Properties Inc. Class A | 42,956 | 901 | ||||
Tanger Factory Outlet Centers Inc. | 43,320 | 858 | ||||
Industrial Logistics Properties Trust | 35,174 | 779 | ||||
Getty Realty Corp. | 21,783 | 665 | ||||
* | Marcus & Millichap Inc. | 13,665 | 586 | |||
LTC Properties Inc. | 18,376 | 584 | ||||
Universal Health Realty Income Trust | 6,996 | 389 | ||||
Saul Centers Inc. | 6,312 | 311 | ||||
RE/MAX Holdings Inc. Class A | 9,411 | 259 | ||||
33,817 | ||||||
Utilities (1.2%) | ||||||
California Water Service Group | 36,217 | 2,282 | ||||
American States Water Co. | 23,746 | 2,236 | ||||
Chesapeake Utilities Corp. | 10,707 | 1,364 | ||||
Middlesex Water Co. | 9,417 | 970 | ||||
6,852 | ||||||
Total Common Stocks (Cost $517,736) | 583,457 | |||||
Coupon | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
3,4 | Vanguard Market Liquidity Fund (Cost $2,403) | 0.077% | 24,029 | 2,403 | ||
Total Investments (100.4%) (Cost $520,139) | 585,860 | |||||
Other Assets and Liabilities—Net (-0.4%) | (2,334) | |||||
Net Assets (100%) | 583,526 |
Cost is in $000. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,507,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $1,550,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability). The fund had no open futures contracts at November 30, 2021.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments as of November 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 582,416 | — | 1,041 | 583,457 |
Temporary Cash Investments | 2,403 | — | — | 2,403 |
Total | 584,819 | — | 1,041 | 585,860 |