Vanguard® S&P Mid-Cap 400 Index Fund
Schedule of Investments (unaudited)
As of May 31, 2022
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 (99.8%) | ||||||
Communication Services (1.6%) | ||||||
Cable One Inc. | 6,503 | 8,474 | ||||
New York Times Co. Class A | 219,218 | 7,561 | ||||
* | Iridium Communications Inc. | 173,465 | 6,437 | |||
TEGNA Inc. | 290,340 | 6,358 | ||||
* | Ziff Davis Inc. | 63,301 | 4,832 | |||
World Wrestling Entertainment Inc. Class A | 57,297 | 3,826 | ||||
* | TripAdvisor Inc. | 129,703 | 3,222 | |||
John Wiley & Sons Inc. Class A | 56,999 | 3,019 | ||||
* | Yelp Inc. Class A | 89,902 | 2,644 | |||
46,373 | ||||||
Consumer Discretionary (14.0%) | ||||||
Service Corp. International | 216,244 | 15,144 | ||||
Williams-Sonoma Inc. | 95,688 | 12,240 | ||||
Lithia Motors Inc. Class A | 39,715 | 12,092 | ||||
* | Mattel Inc. | 459,509 | 11,543 | |||
Lear Corp. | 78,308 | 11,038 | ||||
*,1 | GameStop Corp. Class A | 81,125 | 10,120 | |||
Wyndham Hotels & Resorts Inc. | 122,186 | 9,791 | ||||
Gentex Corp. | 310,158 | 9,640 | ||||
* | Deckers Outdoor Corp. | 35,733 | 9,596 | |||
* | Five Below Inc. | 73,479 | 9,596 | |||
* | Capri Holdings Ltd. | 193,641 | 9,438 | |||
Macy's Inc. | 392,341 | 9,279 | ||||
Churchill Downs Inc. | 45,138 | 9,137 | ||||
* | TopBuild Corp. | 43,182 | 8,518 | |||
Marriott Vacations Worldwide Corp. | 55,861 | 8,252 | ||||
Polaris Inc. | 74,819 | 7,972 | ||||
Brunswick Corp. | 101,129 | 7,608 | ||||
H&R Block Inc. | 215,842 | 7,606 | ||||
Murphy USA Inc. | 30,072 | 7,492 | ||||
Toll Brothers Inc. | 147,439 | 7,441 | ||||
Kohl's Corp. | 182,563 | 7,361 | ||||
Texas Roadhouse Inc. Class A | 91,381 | 7,125 | ||||
Harley-Davidson Inc. | 201,875 | 7,102 | ||||
* | Skechers U.S.A. Inc. Class A | 177,003 | 6,974 | |||
Leggett & Platt Inc. | 175,007 | 6,855 | ||||
1 | Dick's Sporting Goods Inc. | 82,478 | 6,700 | |||
* | Light & Wonder Inc. | 126,633 | 6,686 | |||
Tempur Sealy International Inc. | 252,406 | 6,656 | ||||
* | RH | 22,801 | 6,614 | |||
Boyd Gaming Corp. | 107,618 | 6,325 |
Shares | Market Value ($000) | |||||
* | AutoNation Inc. | 52,427 | 6,268 | |||
* | Helen of Troy Ltd. | 31,651 | 5,861 | |||
Travel + Leisure Co. | 113,265 | 5,789 | ||||
Thor Industries Inc. | 72,941 | 5,541 | ||||
Choice Hotels International Inc. | 43,077 | 5,509 | ||||
Hanesbrands Inc. | 457,915 | 5,435 | ||||
* | YETI Holdings Inc. | 114,925 | 5,258 | |||
* | Goodyear Tire & Rubber Co. | 368,639 | 4,763 | |||
* | Taylor Morrison Home Corp. Class A | 160,945 | 4,663 | |||
* | Grand Canyon Education Inc. | 51,971 | 4,634 | |||
* | Fox Factory Holding Corp. | 55,230 | 4,530 | |||
* | Adient plc | 124,102 | 4,392 | |||
Wendy's Co. | 231,347 | 4,312 | ||||
* | Crocs Inc. | 77,188 | 4,304 | |||
Carter's Inc. | 55,338 | 4,264 | ||||
* | Visteon Corp. | 36,729 | 4,121 | |||
* | Victoria's Secret & Co. | 95,277 | 3,926 | |||
KB Home | 112,403 | 3,877 | ||||
Nordstrom Inc. | 146,383 | 3,869 | ||||
Foot Locker Inc. | 114,554 | 3,778 | ||||
Papa John's International Inc. | 42,488 | 3,739 | ||||
* | Ollie's Bargain Outlet Holdings Inc. | 76,890 | 3,612 | |||
Columbia Sportswear Co. | 45,256 | 3,520 | ||||
* | Callaway Golf Co. | 153,430 | 3,331 | |||
Graham Holdings Co. Class B | 5,221 | 3,201 | ||||
Cracker Barrel Old Country Store Inc. | 30,792 | 3,141 | ||||
Dana Inc. | 189,063 | 3,131 | ||||
Wingstop Inc. | 39,059 | 3,111 | ||||
Gap Inc. | 278,992 | 3,077 | ||||
* | Six Flags Entertainment Corp. | 101,328 | 2,974 | |||
1 | American Eagle Outfitters Inc. | 201,175 | 2,436 | |||
* | Urban Outfitters Inc. | 85,976 | 1,810 | |||
394,118 | ||||||
Consumer Staples (3.8%) | ||||||
* | Darling Ingredients Inc. | 212,185 | 16,990 | |||
* | BJ's Wholesale Club Holdings Inc. | 178,255 | 10,316 | |||
Casey's General Stores Inc. | 48,680 | 10,200 | ||||
* | Performance Food Group Co. | 203,070 | 8,801 | |||
Ingredion Inc. | 87,289 | 8,265 | ||||
Flowers Foods Inc. | 260,664 | 7,194 | ||||
* | Post Holdings Inc. | 74,687 | 6,142 | |||
Sanderson Farms Inc. | 27,818 | 5,550 | ||||
* | Boston Beer Co. Inc. Class A | 12,315 | 4,376 | |||
* | Grocery Outlet Holding Corp. | 114,415 | 4,376 | |||
* | Sprouts Farmers Market Inc. | 147,282 | 3,990 | |||
* | BellRing Brands Inc. | 146,203 | 3,823 | |||
* | Coty Inc. Class A | 451,386 | 3,200 | |||
Lancaster Colony Corp. | 25,958 | 3,164 | ||||
* | Hain Celestial Group Inc. | 119,770 | 3,156 | |||
Nu Skin Enterprises Inc. Class A | 65,334 | 3,048 | ||||
Energizer Holdings Inc. | 85,883 | 2,576 | ||||
* | Pilgrim's Pride Corp. | 63,907 | 2,129 | |||
107,296 | ||||||
Energy (4.5%) | ||||||
Targa Resources Corp. | 300,278 | 21,626 | ||||
EQT Corp. | 394,495 | 18,825 | ||||
* | Range Resources Corp. | 327,487 | 11,118 |
Shares | Market Value ($000) | |||||
NOV Inc. | 515,081 | 10,301 | ||||
PDC Energy Inc. | 127,737 | 10,109 | ||||
HF Sinclair Corp. | 196,013 | 9,624 | ||||
Matador Resources Co. | 144,674 | 8,811 | ||||
Murphy Oil Corp. | 190,471 | 8,080 | ||||
DT Midstream Inc. | 126,814 | 7,368 | ||||
ChampionX Corp. | 264,967 | 6,166 | ||||
* | CNX Resources Corp. | 265,751 | 5,772 | |||
Antero Midstream Corp. | 425,229 | 4,618 | ||||
Equitrans Midstream Corp. | 532,773 | 4,193 | ||||
126,611 | ||||||
Financials (14.6%) | ||||||
First Horizon Corp. | 700,152 | 15,984 | ||||
* | Alleghany Corp. | 17,961 | 14,976 | |||
East West Bancorp Inc. | 186,053 | 13,682 | ||||
American Financial Group Inc. | 86,809 | 12,266 | ||||
Webster Financial Corp. | 235,847 | 11,578 | ||||
Reinsurance Group of America Inc. | 88,116 | 11,089 | ||||
Commerce Bancshares Inc. | 144,890 | 10,023 | ||||
Unum Group | 268,201 | 9,776 | ||||
Voya Financial Inc. | 141,641 | 9,718 | ||||
Cullen/Frost Bankers Inc. | 74,721 | 9,339 | ||||
Old Republic International Corp. | 374,479 | 8,958 | ||||
RenaissanceRe Holdings Ltd. | 57,686 | 8,856 | ||||
Stifel Financial Corp. | 137,067 | 8,796 | ||||
Prosperity Bancshares Inc. | 120,876 | 8,764 | ||||
First American Financial Corp. | 143,973 | 8,723 | ||||
Jefferies Financial Group Inc. | 253,832 | 8,382 | ||||
Pinnacle Financial Partners Inc. | 99,857 | 8,130 | ||||
Synovus Financial Corp. | 190,200 | 8,112 | ||||
SEI Investments Co. | 137,997 | 8,063 | ||||
SLM Corp. | 365,926 | 7,168 | ||||
Affiliated Managers Group Inc. | 53,330 | 7,126 | ||||
Interactive Brokers Group Inc. Class A | 114,628 | 7,054 | ||||
Valley National Bancorp | 552,443 | 7,022 | ||||
First Financial Bankshares Inc. | 168,161 | 6,935 | ||||
Glacier Bancorp Inc. | 142,204 | 6,884 | ||||
Hanover Insurance Group Inc. | 46,670 | 6,842 | ||||
United Bankshares Inc. | 178,932 | 6,721 | ||||
Cadence Bank | 247,095 | 6,605 | ||||
Bank OZK | 158,611 | 6,578 | ||||
Wintrust Financial Corp. | 74,736 | 6,531 | ||||
Primerica Inc. | 51,812 | 6,528 | ||||
RLI Corp. | 52,246 | 6,328 | ||||
Selective Insurance Group Inc. | 78,920 | 6,258 | ||||
Janus Henderson Group plc | 221,622 | 6,230 | ||||
Essent Group Ltd. | 144,796 | 6,196 | ||||
Kinsale Capital Group Inc. | 28,125 | 6,184 | ||||
Old National Bancorp | 387,338 | 6,159 | ||||
New York Community Bancorp Inc. | 610,124 | 6,089 | ||||
MGIC Investment Corp. | 420,397 | 5,856 | ||||
Evercore Inc. Class A | 51,164 | 5,843 | ||||
Hancock Whitney Corp. | 113,854 | 5,674 | ||||
FNB Corp. | 446,163 | 5,421 | ||||
UMB Financial Corp. | 56,529 | 5,220 | ||||
* | Brighthouse Financial Inc. | 102,135 | 5,017 | |||
Umpqua Holdings Corp. | 284,095 | 5,014 | ||||
PacWest Bancorp | 156,854 | 4,953 |
Shares | Market Value ($000) | |||||
Home BancShares Inc. | 197,386 | 4,459 | ||||
Federated Hermes Inc. Class B | 126,891 | 4,310 | ||||
Bank of Hawaii Corp. | 52,806 | 4,197 | ||||
Kemper Corp. | 78,510 | 4,148 | ||||
Cathay General Bancorp | 99,379 | 4,085 | ||||
Associated Banc-Corp | 196,116 | 4,060 | ||||
FirstCash Holdings Inc. | 52,781 | 3,940 | ||||
* | Texas Capital Bancshares Inc. | 66,449 | 3,756 | |||
Fulton Financial Corp. | 211,212 | 3,348 | ||||
CNO Financial Group Inc. | 157,589 | 3,242 | ||||
Navient Corp. | 201,621 | 3,226 | ||||
International Bancshares Corp. | 69,689 | 2,922 | ||||
Washington Federal Inc. | 85,476 | 2,774 | ||||
Mercury General Corp. | 34,925 | 1,710 | ||||
413,828 | ||||||
Health Care (9.2%) | ||||||
* | United Therapeutics Corp. | 59,051 | 13,602 | |||
* | Jazz Pharmaceuticals plc | 80,599 | 12,064 | |||
* | Neurocrine Biosciences Inc. | 124,374 | 11,628 | |||
* | Repligen Corp. | 67,441 | 11,092 | |||
* | Syneos Health Inc. | 135,997 | 10,049 | |||
Chemed Corp. | 20,191 | 9,781 | ||||
* | Masimo Corp. | 66,639 | 9,358 | |||
* | Envista Holdings Corp. | 211,668 | 9,110 | |||
* | Tenet Healthcare Corp. | 140,514 | 9,093 | |||
Encompass Health Corp. | 130,498 | 8,553 | ||||
* | Halozyme Therapeutics Inc. | 184,664 | 8,491 | |||
* | Acadia Healthcare Co. Inc. | 117,963 | 8,395 | |||
Bruker Corp. | 133,258 | 8,326 | ||||
* | Exelixis Inc. | 415,010 | 7,607 | |||
Azenta Inc. | 98,276 | 7,532 | ||||
Perrigo Co. plc | 175,501 | 6,995 | ||||
* | LHC Group Inc. | 41,548 | 6,924 | |||
* | Globus Medical Inc. Class A | 103,681 | 6,905 | |||
* | HealthEquity Inc. | 109,603 | 6,859 | |||
* | Penumbra Inc. | 46,076 | 6,770 | |||
* | QuidelOrtho Corp. | 65,537 | 6,228 | |||
* | Integra LifeSciences Holdings Corp. | 95,510 | 5,983 | |||
* | Tandem Diabetes Care Inc. | 83,293 | 5,678 | |||
* | Option Care Health Inc. | 181,624 | 5,514 | |||
* | Medpace Holdings Inc. | 37,693 | 5,399 | |||
* | Amedisys Inc. | 42,752 | 4,955 | |||
* | LivaNova plc | 69,814 | 4,752 | |||
* | ICU Medical Inc. | 26,147 | 4,749 | |||
* | Arrowhead Pharmaceuticals Inc. | 138,304 | 4,614 | |||
* | Haemonetics Corp. | 67,018 | 4,240 | |||
* | STAAR Surgical Co. | 62,440 | 4,117 | |||
* | Enovis Corp. | 59,371 | 3,939 | |||
* | NuVasive Inc. | 67,741 | 3,889 | |||
* | R1 RCM Inc. | 175,058 | 3,759 | |||
* | Neogen Corp. | 141,089 | 3,733 | |||
Patterson Cos. Inc. | 113,844 | 3,596 | ||||
* | Progyny Inc. | 91,175 | 2,882 | |||
* | Inari Medical Inc. | 42,138 | 2,773 | |||
259,934 | ||||||
Industrials (18.5%) | ||||||
Carlisle Cos. Inc. | 68,553 | 17,442 |
Shares | Market Value ($000) | |||||
* | Builders FirstSource Inc. | 251,082 | 16,343 | |||
Graco Inc. | 222,842 | 14,106 | ||||
Hubbell Inc. Class B | 71,349 | 13,546 | ||||
AECOM | 185,373 | 12,948 | ||||
Owens Corning | 131,799 | 12,597 | ||||
Toro Co. | 137,604 | 11,351 | ||||
Regal Rexnord Corp. | 88,866 | 11,104 | ||||
Watsco Inc. | 43,312 | 11,072 | ||||
* | Middleby Corp. | 72,962 | 11,051 | |||
Knight-Swift Transportation Holdings Inc. Class A | 217,572 | 10,583 | ||||
Lincoln Electric Holdings Inc. | 77,402 | 10,513 | ||||
AGCO Corp. | 80,447 | 10,308 | ||||
* | Avis Budget Group Inc. | 52,571 | 10,003 | |||
* | Trex Co. Inc. | 150,996 | 9,621 | |||
Tetra Tech Inc. | 70,818 | 9,558 | ||||
Lennox International Inc. | 44,161 | 9,225 | ||||
KBR Inc. | 183,991 | 9,155 | ||||
* | Axon Enterprise Inc. | 89,807 | 9,103 | |||
* | CACI International Inc. Class A | 30,593 | 8,577 | |||
Donaldson Co. Inc. | 162,016 | 8,470 | ||||
Woodward Inc. | 82,723 | 8,405 | ||||
ITT Inc. | 112,275 | 8,288 | ||||
* | Chart Industries Inc. | 46,725 | 8,218 | |||
Oshkosh Corp. | 87,365 | 8,117 | ||||
Acuity Brands Inc. | 45,902 | 8,034 | ||||
nVent Electric plc | 220,673 | 7,812 | ||||
* | FTI Consulting Inc. | 44,974 | 7,556 | |||
Landstar System Inc. | 49,437 | 7,486 | ||||
EMCOR Group Inc. | 70,014 | 7,396 | ||||
Curtiss-Wright Corp. | 51,469 | 7,308 | ||||
MDU Resources Group Inc. | 266,738 | 7,303 | ||||
* | GXO Logistics Inc. | 133,475 | 7,244 | |||
Valmont Industries Inc. | 27,842 | 7,148 | ||||
* | Sunrun Inc. | 271,387 | 7,089 | |||
* | XPO Logistics Inc. | 129,326 | 6,911 | |||
* | IAA Inc. | 176,782 | 6,900 | |||
* | Univar Solutions Inc. | 224,130 | 6,885 | |||
* | Saia Inc. | 34,526 | 6,822 | |||
* | ASGN Inc. | 68,351 | 6,509 | |||
Science Applications International Corp. | 74,654 | 6,462 | ||||
* | MasTec Inc. | 77,160 | 6,450 | |||
ManpowerGroup Inc. | 71,162 | 6,377 | ||||
Hexcel Corp. | 110,000 | 6,320 | ||||
Crane Holdings Co. | 65,449 | 6,261 | ||||
Simpson Manufacturing Co. Inc. | 56,959 | 6,172 | ||||
* | Clean Harbors Inc. | 65,635 | 6,130 | |||
MSA Safety Inc. | 47,813 | 6,096 | ||||
* | Stericycle Inc. | 120,448 | 6,089 | |||
Ryder System Inc. | 70,398 | 5,633 | ||||
Timken Co. | 90,531 | 5,529 | ||||
Flowserve Corp. | 170,834 | 5,381 | ||||
* | Kirby Corp. | 78,830 | 5,323 | |||
MSC Industrial Direct Co. Inc. Class A | 61,814 | 5,250 | ||||
* | Fluor Corp. | 185,467 | 5,236 | |||
GATX Corp. | 46,557 | 5,026 | ||||
Watts Water Technologies Inc. Class A | 36,148 | 4,729 | ||||
Insperity Inc. | 46,769 | 4,680 | ||||
* | JetBlue Airways Corp. | 416,702 | 4,475 |
Shares | Market Value ($000) | |||||
* | Mercury Systems Inc. | 74,449 | 4,453 | |||
Brink's Co. | 64,480 | 3,922 | ||||
* | Dycom Industries Inc. | 39,516 | 3,679 | |||
EnerSys | 54,136 | 3,666 | ||||
Terex Corp. | 91,528 | 3,239 | ||||
Werner Enterprises Inc. | 78,530 | 3,186 | ||||
Kennametal Inc. | 108,781 | 3,018 | ||||
MillerKnoll Inc. | 99,338 | 3,000 | ||||
* | Esab Corp. | 59,433 | 2,972 | |||
Trinity Industries Inc. | 107,283 | 2,667 | ||||
* | Vicor Corp. | 28,123 | 1,893 | |||
521,421 | ||||||
Information Technology (13.0%) | ||||||
* | Fair Isaac Corp. | 34,461 | 14,113 | |||
Jabil Inc. | 188,113 | 11,573 | ||||
Cognex Corp. | 231,805 | 11,224 | ||||
* | Arrow Electronics Inc. | 89,274 | 10,771 | |||
* | Ciena Corp. | 203,148 | 10,324 | |||
* | Manhattan Associates Inc. | 82,847 | 10,019 | |||
* | WEX Inc. | 58,762 | 10,006 | |||
Genpact Ltd. | 223,577 | 9,920 | ||||
Western Union Co. | 516,640 | 9,372 | ||||
* | Lattice Semiconductor Corp. | 179,626 | 9,344 | |||
* | First Solar Inc. | 129,635 | 9,154 | |||
* | Paylocity Holding Corp. | 52,048 | 9,101 | |||
* | Wolfspeed Inc. | 120,027 | 9,030 | |||
MKS Instruments Inc. | 72,749 | 8,984 | ||||
* | Coherent Inc. | 32,477 | 8,800 | |||
Littelfuse Inc. | 32,310 | 8,730 | ||||
* | II-VI Inc. | 139,482 | 8,718 | |||
Concentrix Corp. | 56,276 | 8,717 | ||||
* | Euronet Worldwide Inc. | 69,340 | 8,401 | |||
CDK Global Inc. | 153,195 | 8,343 | ||||
* | Lumentum Holdings Inc. | 94,697 | 8,152 | |||
* | Sailpoint Technologies Holdings Inc. | 122,339 | 7,761 | |||
* | Synaptics Inc. | 51,843 | 7,679 | |||
* | Silicon Laboratories Inc. | 50,105 | 7,474 | |||
Universal Display Corp. | 56,872 | 7,183 | ||||
* | Aspen Technology Inc. | 36,857 | 7,131 | |||
CMC Materials Inc. | 37,460 | 6,628 | ||||
Power Integrations Inc. | 77,603 | 6,548 | ||||
Avnet Inc. | 129,845 | 6,291 | ||||
* | Cirrus Logic Inc. | 75,091 | 6,123 | |||
National Instruments Corp. | 172,911 | 6,107 | ||||
* | NCR Corp. | 173,078 | 6,004 | |||
Vontier Corp. | 221,823 | 5,949 | ||||
* | Qualys Inc. | 43,778 | 5,721 | |||
TD SYNNEX Corp. | 54,350 | 5,644 | ||||
* | Teradata Corp. | 142,278 | 5,468 | |||
* | Semtech Corp. | 84,563 | 5,420 | |||
Maximus Inc. | 81,278 | 5,274 | ||||
* | Envestnet Inc. | 71,651 | 4,773 | |||
* | SiTime Corp. | 19,656 | 4,187 | |||
* | ACI Worldwide Inc. | 154,082 | 4,105 | |||
* | Viasat Inc. | 97,588 | 3,854 | |||
* | Blackbaud Inc. | 58,651 | 3,733 | |||
Bread Financial Holdings Inc. | 65,190 | 3,592 | ||||
* | CommVault Systems Inc. | 58,333 | 3,559 |
Shares | Market Value ($000) | |||||
Vishay Intertechnology Inc. | 173,832 | 3,553 | ||||
Belden Inc. | 58,825 | 3,387 | ||||
* | Sabre Corp. | 423,466 | 3,180 | |||
Xerox Holdings Corp. | 160,731 | 3,025 | ||||
* | Digital Turbine Inc. | 115,525 | 2,938 | |||
* | Kyndryl Holdings Inc. | 234,791 | 2,897 | |||
Amkor Technology Inc. | 131,246 | 2,683 | ||||
* | Calix Inc. | 71,874 | 2,655 | |||
* | LiveRamp Holdings Inc. | 89,346 | 2,287 | |||
* | SunPower Corp. | 108,757 | 1,922 | |||
367,531 | ||||||
Materials (7.6%) | ||||||
Steel Dynamics Inc. | 247,216 | 21,107 | ||||
Reliance Steel & Aluminum Co. | 82,150 | 15,970 | ||||
RPM International Inc. | 170,029 | 14,979 | ||||
Alcoa Corp. | 241,398 | 14,899 | ||||
* | Cleveland-Cliffs Inc. | 626,926 | 14,532 | |||
Olin Corp. | 185,025 | 12,173 | ||||
Royal Gold Inc. | 86,088 | 9,735 | ||||
AptarGroup Inc. | 86,349 | 9,247 | ||||
Chemours Co. | 209,904 | 9,045 | ||||
United States Steel Corp. | 342,245 | 8,580 | ||||
Louisiana-Pacific Corp. | 115,334 | 7,965 | ||||
Valvoline Inc. | 235,259 | 7,872 | ||||
Sonoco Products Co. | 128,984 | 7,542 | ||||
Ashland Global Holdings Inc. | 69,436 | 7,431 | ||||
Eagle Materials Inc. | 51,795 | 6,762 | ||||
Commercial Metals Co. | 159,306 | 6,329 | ||||
Avient Corp. | 120,064 | 5,907 | ||||
Cabot Corp. | 74,231 | 5,613 | ||||
Scotts Miracle-Gro Co. | 53,217 | 5,035 | ||||
Silgan Holdings Inc. | 110,061 | 4,822 | ||||
Sensient Technologies Corp. | 55,113 | 4,819 | ||||
* | Ingevity Corp. | 51,434 | 3,584 | |||
NewMarket Corp. | 8,959 | 2,952 | ||||
Minerals Technologies Inc. | 43,642 | 2,892 | ||||
Greif Inc. Class A | 34,740 | 2,066 | ||||
Worthington Industries Inc. | 42,766 | 1,995 | ||||
213,853 | ||||||
Real Estate (9.3%) | ||||||
Medical Properties Trust Inc. | 782,616 | 14,541 | ||||
Rexford Industrial Realty Inc. | 210,076 | 13,418 | ||||
* | Jones Lang LaSalle Inc. | 66,172 | 13,057 | |||
Life Storage Inc. | 107,523 | 12,554 | ||||
American Campus Communities Inc. | 182,433 | 11,858 | ||||
Lamar Advertising Co. Class A | 113,819 | 11,149 | ||||
National Retail Properties Inc. | 230,383 | 10,206 | ||||
Brixmor Property Group Inc. | 390,662 | 9,524 | ||||
Omega Healthcare Investors Inc. | 313,501 | 9,333 | ||||
Apartment Income REIT Corp. Class A | 205,900 | 9,237 | ||||
First Industrial Realty Trust Inc. | 170,863 | 9,081 | ||||
STORE Capital Corp. | 321,939 | 8,882 | ||||
EastGroup Properties Inc. | 53,355 | 8,619 | ||||
Kilroy Realty Corp. | 137,786 | 8,364 | ||||
Rayonier Inc. | 190,679 | 7,860 | ||||
Spirit Realty Capital Inc. | 167,520 | 7,034 | ||||
Independence Realty Trust Inc. | 289,301 | 6,801 |
Shares | Market Value ($000) | |||||
Cousins Properties Inc. | 195,057 | 6,739 | ||||
Douglas Emmett Inc. | 230,244 | 6,509 | ||||
Kite Realty Group Trust | 287,160 | 6,019 | ||||
National Storage Affiliates Trust | 107,451 | 5,636 | ||||
Healthcare Realty Trust Inc. | 193,475 | 5,624 | ||||
Park Hotels & Resorts Inc. | 310,112 | 5,601 | ||||
Highwoods Properties Inc. | 137,675 | 5,409 | ||||
Physicians Realty Trust | 289,122 | 5,363 | ||||
SL Green Realty Corp. | 84,067 | 5,193 | ||||
EPR Properties | 98,098 | 5,027 | ||||
PS Business Parks Inc. | 26,376 | 4,949 | ||||
PotlatchDeltic Corp. | 90,584 | 4,752 | ||||
Sabra Health Care REIT Inc. | 299,722 | 4,208 | ||||
Corporate Office Properties Trust | 147,056 | 4,065 | ||||
Hudson Pacific Properties Inc. | 199,745 | 3,977 | ||||
Pebblebrook Hotel Trust | 172,191 | 3,876 | ||||
JBG SMITH Properties | 149,635 | 3,862 | ||||
Macerich Co. | 279,618 | 3,286 | ||||
261,613 | ||||||
Utilities (3.7%) | ||||||
Essential Utilities Inc. | 301,590 | 13,951 | ||||
UGI Corp. | 275,068 | 11,756 | ||||
OGE Energy Corp. | 262,412 | 10,838 | ||||
National Fuel Gas Co. | 119,917 | 8,817 | ||||
Southwest Gas Holdings Inc. | 86,405 | 8,047 | ||||
IDACORP Inc. | 66,219 | 7,219 | ||||
Black Hills Corp. | 83,678 | 6,415 | ||||
Hawaiian Electric Industries Inc. | 143,322 | 6,187 | ||||
ONE Gas Inc. | 70,261 | 6,114 | ||||
New Jersey Resources Corp. | 126,059 | 5,789 | ||||
PNM Resources Inc. | 112,557 | 5,350 | ||||
Spire Inc. | 67,864 | 5,314 | ||||
ALLETE Inc. | 73,156 | 4,537 | ||||
NorthWestern Corp. | 70,947 | 4,347 | ||||
104,681 | ||||||
Total Common Stocks (Cost $2,437,077) | 2,817,259 | |||||
Coupon | ||||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.7%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $20,671) | 0.854% | 206,737 | 20,672 | ||
Total Investments (100.5%) (Cost $2,457,748) | 2,837,931 | |||||
Other Assets and Liabilities—Net (-0.5%) | (15,116) | |||||
Net Assets (100%) | 2,822,815 |
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 $14,929,000. |
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 $16,695,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P Mid-Cap 400 Index | June 2022 | 11 | 2,765 | 56 |
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) |
Wolfspeed Inc. | 8/31/22 | BANA | 3,852 | (0.787) | — | (695) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
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).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily
to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of May 31, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 2,817,259 | — | — | 2,817,259 |
Temporary Cash Investments | 20,672 | — | — | 20,672 |
Total | 2,837,931 | — | — | 2,837,931 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 56 | — | — | 56 |
Liabilities | ||||
Swap Contracts | — | 695 | — | 695 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |