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: 811-01027
| Name of Registrant: | Vanguard World Fund |
| Address of Registrant: | P.O. Box 2600 |
| Valley Forge, PA 19482 |
| Name and address of agent for service: | Anne E. Robinson, Esquire |
| P.O. Box 876 | |
| Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2019—February 29, 2020
Item 1: Reports to Shareholders
| Semiannual Report | February 29, 2020 | |
| Vanguard U.S. Growth Fund | |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. | |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
| Trustees Approve Advisory Arrangements | 21 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| U.S. Growth Fund | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,073.72 | $1.96 |
| Admiral™ Shares | 1,000.00 | 1,074.25 | 1.44 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,022.97 | $1.91 |
| Admiral Shares | 1,000.00 | 1,023.47 | 1.41 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.38% for Investor Shares and 0.28% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
U.S. Growth Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 12.5 | % | ||
| Consumer Discretionary | 17.3 | |||
| Consumer Staples | 3.3 | |||
| Energy | 0.2 | |||
| Financials | 5.5 | |||
| Health Care | 11.2 | |||
| Industrials | 7.6 | |||
| Information Technology | 39.4 | |||
| Materials | 1.0 | |||
| Other | 0.1 | |||
| Real Estate | 1.7 | |||
| Utilities | 0.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3
U.S. Growth Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (97.2%) | |||
| Communication Services (12.3%) | |||
| * | Alphabet Inc. Class C | 634,388 | 849,655 |
| * | Netflix Inc. | 1,774,078 | 654,688 |
| * | Facebook Inc. | 3,330,063 | 640,937 |
| * | Alphabet Inc. Class A | 407,020 | 545,101 |
| * | Charter Communications Inc. | 398,153 | 196,357 |
| * | Take-Two Interactive Software Inc. | 1,111,795 | 119,496 |
| *,^ | Roku Inc. | 907,327 | 103,136 |
| * | Zillow Group Inc. Class A | 885,658 | 49,305 |
| Activision Blizzard Inc. | 769,202 | 44,714 | |
| * | Zynga Inc. | 3,488,124 | 23,405 |
| * | Eventbrite Inc. Class A | 1,257,484 | 18,372 |
| * | Electronic Arts Inc. | 161,716 | 16,393 |
| *,^ | Match Group Inc. | 139,075 | 9,040 |
| * | Spotify Technology SA | 50,103 | 6,870 |
| Comcast Corp. | 77,490 | 3,133 | |
| * | T-Mobile US Inc. | 24,266 | 2,188 |
| 3,282,790 | |||
| Consumer Discretionary (17.1%) | |||
| * | Amazon.com Inc. | 883,002 | 1,663,355 |
| * | Tesla Inc. | 1,067,153 | 712,848 |
| * | Alibaba Group Holding Ltd. ADR | 1,515,128 | 315,147 |
| Home Depot Inc. | 1,138,330 | 247,974 | |
| NIKE Inc. | 2,118,536 | 189,355 | |
| Lululemon Athletica Inc. | 772,437 | 167,935 | |
| Domino’s Pizza Inc. | 376,700 | 127,875 | |
| adidas AG | 407,428 | 114,712 | |
| Kering SA | 189,825 | 107,044 | |
| *,^ | Wayfair Inc. | 1,654,941 | 104,609 |
| * | Chegg Inc. | 2,351,282 | 92,194 |
| * | Grubhub Inc. | 1,734,410 | 83,442 |
| Hilton Worldwide Holdings Inc. | 742,830 | 72,203 | |
| * | O’Reilly Automotive Inc. | 175,750 | 64,803 |
| * | Chewy Inc. | 1,966,218 | 58,200 |
| Ross Stores Inc. | 519,864 | 56,551 | |
| Hasbro Inc. | 614,154 | 47,443 | |
| *,^ | Stitch Fix Inc. Class A | 1,802,463 | 43,313 |
| * | Booking Holdings Inc. | 22,586 | 38,298 |
| TJX Cos. Inc. | 617,063 | 36,900 | |
| eBay Inc. | 707,919 | 24,522 | |
| H&R Block Inc. | 947,422 | 19,583 | |
| Target Corp. | 189,894 | 19,559 | |
| * | NVR Inc. | 5,001 | 18,340 |
| Las Vegas Sands Corp. | 309,373 | 18,040 | |
| Expedia Group Inc. | 178,315 | 17,585 | |
| Best Buy Co. Inc. | 204,197 | 15,447 | |
| * | Under Armour Inc. Class A | 1,010,164 | 14,334 |
| * | Norwegian Cruise Line Holdings Ltd. | 364,820 | 13,593 |
| Hanesbrands Inc. | 766,600 | 10,150 | |
| Starbucks Corp. | 98,503 | 7,726 | |
| * | Under Armour Inc. Class C | 591,621 | 7,383 |
| * | Planet Fitness Inc. | 107,287 | 7,241 |
| * | LKQ Corp. | 224,394 | 6,638 |
| Wyndham Destinations Inc. | 127,553 | 5,089 | |
| Polaris Inc. | 41,931 | 3,461 | |
| Gentex Corp. | 125,746 | 3,357 | |
| * | frontdoor Inc. | 78,340 | 3,322 |
| * | Etsy Inc. | 45,016 | 2,602 |
| Lowe’s Cos. Inc. | 19,986 | 2,130 | |
| 4,564,303 | |||
| Consumer Staples (3.0%) | |||
| Constellation Brands Inc. Class A | 1,561,523 | 269,175 | |
| Costco Wholesale Corp. | 594,131 | 167,034 | |
| Estee Lauder Cos. Inc. Class A | 782,494 | 143,666 | |
| * | Monster Beverage Corp. | 1,444,988 | 90,182 |
| Coca-Cola Co. | 536,626 | 28,704 | |
| Sysco Corp. | 382,526 | 25,495 | |
| Hershey Co. | 156,034 | 22,467 | |
| PepsiCo Inc. | 159,564 | 21,067 | |
| Campbell Soup Co. | 452,563 | 20,420 | |
| Procter & Gamble Co. | 168,107 | 19,035 | |
4
| U.S. Growth Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Casey’s General Stores Inc. | 19,572 | 3,191 | |
| * | Pilgrim’s Pride Corp. | 141,188 | 2,988 |
| 813,424 | |||
| Energy (0.0%) | |||
| ConocoPhillips | 99,198 | 4,803 | |
| Financials (5.1%) | |||
| MarketAxess Holdings Inc. | 571,676 | 185,412 | |
| CME Group Inc. | 756,877 | 150,482 | |
| KKR & Co. Inc. Class A | 5,250,197 | 150,156 | |
| S&P Global Inc. | 496,704 | 132,079 | |
| Progressive Corp. | 1,775,874 | 129,923 | |
| Charles Schwab Corp. | 3,122,709 | 127,250 | |
| First Republic Bank | 1,112,404 | 111,874 | |
| * | Markel Corp. | 91,373 | 107,966 |
| Marsh & McLennan Cos. Inc. | 616,359 | 64,447 | |
| MSCI Inc. | 170,390 | 50,340 | |
| Interactive Brokers Group Inc. | 953,568 | 48,727 | |
| * | Athene Holding Ltd. Class A | 486,561 | 20,071 |
| Discover Financial Services | 277,040 | 18,168 | |
| Synchrony Financial | 518,579 | 15,091 | |
| LPL Financial Holdings Inc. | 180,816 | 14,371 | |
| OneMain Holdings Inc | 362,102 | 13,307 | |
| CIT Group Inc. | 197,909 | 7,859 | |
| * | Arch Capital Group Ltd. | 159,777 | 6,460 |
| Lazard Ltd. | 105,444 | 3,777 | |
| Voya Financial Inc. | 61,213 | 3,222 | |
| Everest Re Group Ltd. | 7,334 | 1,818 | |
| 1,362,800 | |||
| Health Care (10.8%) | |||
| UnitedHealth Group Inc. | 1,257,062 | 320,501 | |
| * | Illumina Inc. | 1,193,016 | 316,949 |
| * | IQVIA Holdings Inc. | 1,430,334 | 199,517 |
| * | ABIOMED Inc. | 941,155 | 141,418 |
| AstraZeneca plc ADR | 3,136,341 | 137,372 | |
| * | Edwards Lifesciences Corp. | 652,509 | 133,660 |
| Intuitive Surgical Inc. | 244,589 | 130,601 | |
| * | Penumbra Inc. | 697,841 | 115,744 |
| Boston Scientific Corp. | 2,424,453 | 90,650 | |
| * | Novocure Ltd. | 1,238,715 | 90,117 |
| BioMarin Pharmaceutical Inc. | 978,409 | 88,419 | |
| Thermo Fisher Scientific Inc. | 298,104 | 86,689 | |
| * | Alnylam Pharmaceuticals Inc. | 656,199 | 77,208 |
| Vertex Pharmaceuticals Inc. | 322,912 | 72,342 | |
| * | Mettler-Toledo International Inc. | 99,352 | 69,715 |
| Zoetis Inc. | 506,694 | 67,507 | |
| *,^ | Teladoc Health Inc. | 483,712 | 60,445 |
| AbbVie Inc. | 659,864 | 56,557 | |
| * | Glaukos Corp. | 1,248,930 | 54,928 |
| Danaher Corp. | 308,053 | 44,538 | |
| Eli Lilly & Co. | 315,145 | 39,749 | |
| * | Seattle Genetics Inc. | 336,522 | 38,316 |
| Johnson & Johnson | 267,792 | 36,013 | |
| *,^ | Denali Therapeutics Inc. | 1,800,679 | 35,599 |
| Bristol-Myers Squibb Co. | 586,703 | 34,651 | |
| Merck & Co. Inc. | 406,640 | 31,132 | |
| *,^ | Moderna Inc. | 1,131,513 | 29,340 |
| * | Biogen Inc. | 94,790 | 29,232 |
| * | Veeva Systems Inc. | 177,049 | 25,136 |
| HCA Healthcare Inc. | 191,653 | 24,342 | |
| * | Align Technology Inc. | 101,750 | 22,217 |
| Humana Inc. | 68,800 | 21,994 | |
| * | Centene Corp. | 390,614 | 20,710 |
| * | PRA Health Sciences Inc. | 214,688 | 20,224 |
| AmerisourceBergen Corp. Class A | 219,370 | 18,497 | |
| * | Henry Schein Inc. | 227,189 | 13,845 |
| * | DexCom Inc. | 41,315 | 11,403 |
| * | Charles River Laboratories International Inc. | 73,242 | 11,394 |
| Amgen Inc. | 48,977 | 9,782 | |
| * | IDEXX Laboratories Inc. | 33,437 | 8,510 |
| Bruker Corp. | 158,088 | 6,886 | |
| Agilent Technologies Inc. | 77,202 | 5,950 | |
| STERIS plc | 35,295 | 5,598 | |
| Becton Dickinson and Co. | 22,692 | 5,397 | |
| Gilead Sciences Inc. | 76,984 | 5,340 | |
| McKesson Corp. | 37,514 | 5,247 | |
| Avantor Inc. | 232,577 | 3,663 | |
| Abbott Laboratories | 40,648 | 3,131 | |
| Stryker Corp. | 10,538 | 2,008 | |
| 2,880,183 | |||
| Industrials (7.3%) | |||
| * | Uber Technologies Inc. | 7,700,750 | 260,824 |
| Boeing Co. | 607,059 | 167,008 | |
| Lockheed Martin Corp. | 442,623 | 163,713 | |
| TransUnion | 1,603,349 | 142,570 | |
| IHS Markit Ltd. | 1,603,701 | 114,248 | |
| Safran SA | 794,448 | 109,975 | |
| Northrop Grumman Corp. | 311,108 | 102,305 | |
| * | CoStar Group Inc. | 149,505 | 99,808 |
| Equifax Inc. | 647,967 | 92,037 | |
| Airbus SE | 718,327 | 86,702 | |
| Union Pacific Corp. | 540,676 | 86,405 | |
| Watsco Inc. | 467,287 | 73,355 | |
5
| U.S. Growth Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Canadian National Railway Co. | 757,650 | 64,332 | |
| * | Copart Inc. | 680,333 | 57,475 |
| HEICO Corp. Class A | 508,922 | 44,953 | |
| Fortive Corp. | 639,478 | 44,226 | |
| Rockwell Automation Inc. | 133,182 | 24,439 | |
| * | Lyft Inc. Class A | 564,278 | 21,510 |
| Armstrong World Industries Inc. | 203,618 | 20,392 | |
| AMETEK Inc. | 222,689 | 19,151 | |
| Delta Air Lines Inc. | 391,040 | 18,039 | |
| Nielsen Holdings plc | 964,470 | 17,563 | |
| Spirit AeroSystems Holdings Inc. | 285,158 | 15,068 | |
| * | JetBlue Airways Corp. | 949,915 | 14,990 |
| Allison Transmission Holdings Inc. | 341,587 | 13,868 | |
| Illinois Tool Works Inc. | 71,027 | 11,917 | |
| WW Grainger Inc. | 41,440 | 11,501 | |
| Landstar System Inc. | 107,171 | 10,821 | |
| United Parcel Service Inc. | 115,189 | 10,423 | |
| Honeywell International Inc. | 47,373 | 7,683 | |
| Caterpillar Inc. | 44,128 | 5,482 | |
| Hubbell Inc. | 29,449 | 3,924 | |
| KAR Auction Services Inc. | 137,710 | 2,651 | |
| Alaska Air Group Inc. | 31,798 | 1,605 | |
| Acuity Brands Inc. | 15,056 | 1,549 | |
| 1,942,512 | |||
| Information Technology (39.1%) | |||
| Microsoft Corp. | 11,167,916 | 1,809,314 | |
| Apple Inc. | 4,195,817 | 1,146,969 | |
| Mastercard Inc. | 3,191,333 | 926,284 | |
| Visa Inc. | 3,961,298 | 720,006 | |
| * | salesforce.com Inc. | 3,010,302 | 512,955 |
| * | Shopify Inc. | 1,012,143 | 468,936 |
| * | Adobe Inc. | 1,268,561 | 437,806 |
| * | ServiceNow Inc. | 1,278,060 | 416,763 |
| * | PayPal Holdings Inc. | 3,805,048 | 410,907 |
| NVIDIA Corp. | 1,422,746 | 384,241 | |
| * | Workday Inc. | 1,865,827 | 323,255 |
| * | Autodesk Inc. | 1,335,243 | 254,871 |
| * | Trade Desk Inc. | 688,126 | 197,664 |
| * | FleetCor Technologies Inc. | 586,753 | 155,953 |
| * | Advanced Micro Devices Inc. | 3,331,276 | 151,506 |
| Fidelity National Information Services Inc. | 1,013,317 | 141,581 | |
| Global Payments Inc. | 654,798 | 120,463 | |
| 1 | Adyen NV | 132,144 | 116,307 |
| Coupa Software Inc. | 758,367 | 113,565 | |
| * | DocuSign Inc. Class A | 1,300,759 | 112,269 |
| SS&C Technologies Holdings Inc. | 1,979,516 | 109,863 | |
| Applied Materials Inc. | 1,828,705 | 106,284 | |
| ^ | Microchip Technology Inc. | 1,146,677 | 104,015 |
| * | Arista Networks Inc. | 443,036 | 85,559 |
| *,^ | Slack Technologies Inc. Class A | 3,147,609 | 85,048 |
| Broadcom Inc. | 305,222 | 83,210 | |
| * | Splunk Inc. | 563,180 | 82,973 |
| * | Zoom Video Communications Inc. Class A | 627,311 | 65,868 |
| CDW Corp. | 498,758 | 56,968 | |
| * | Tyler Technologies Inc. | 181,498 | 56,872 |
| Texas Instruments Inc. | 429,311 | 49,002 | |
| * | Ceridian HCM Holding Inc. | 680,437 | 48,127 |
| Accenture plc Class A | 255,450 | 46,132 | |
| * | Yext Inc. | 2,420,515 | 36,695 |
| *,^ | Appian Corp. Class A | 809,482 | 35,739 |
| * | Square Inc. | 347,654 | 28,970 |
| * | New Relic Inc. | 498,635 | 28,053 |
| * | Atlassian Corp. plc | ||
| Class A | 188,444 | 27,317 | |
| Lam Research Corp. | 91,991 | 26,993 | |
| Cisco Systems Inc. | 673,536 | 26,894 | |
| * | Cadence Design Systems Inc. | 398,317 | 26,345 |
| * | Fortinet Inc. | 246,115 | 25,118 |
| Booz Allen Hamilton Holding Corp. | 346,677 | 24,718 | |
| * | Synopsys Inc. | 178,908 | 24,677 |
| * | Paycom Software Inc. | 84,298 | 23,827 |
| Teradyne Inc. | 380,541 | 22,361 | |
| HP Inc. | 1,055,767 | 21,949 | |
| * | Manhattan Associates Inc. | 289,457 | 19,498 |
| * | 2U Inc. | 768,511 | 18,068 |
| Jabil Inc. | 522,768 | 16,755 | |
| * | Dell Technologies Inc. | 372,934 | 15,089 |
| * | Fair Isaac Corp. | 30,493 | 11,466 |
| Oracle Corp. | 224,897 | 11,123 | |
| * | VMware Inc. | 78,091 | 9,412 |
| * | Teradata Corp. | 431,745 | 8,609 |
| * | Paylocity Holding Corp. | 62,120 | 8,046 |
| * | ON Semiconductor Corp. | 417,959 | 7,799 |
| * | GoDaddy Inc. | 89,373 | 6,254 |
| QUALCOMM Inc. | 76,325 | 5,976 | |
| Sabre Corp. | 227,052 | 3,091 | |
| CoreLogic Inc. | 66,282 | 3,007 | |
| * | Euronet Worldwide Inc. | 22,066 | 2,737 |
| 10,428,122 | |||
6
| U.S. Growth Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Materials (0.9%) | |||
| Ball Corp. | 2,850,453 | 200,843 | |
| * | Element Solutions Inc. | 1,821,928 | 18,930 |
| Scotts Miracle-Gro Co. | 124,113 | 13,154 | |
| * | Axalta Coating Systems Ltd. | 165,291 | 4,119 |
| CF Industries Holdings Inc. | 48,451 | 1,786 | |
| Sealed Air Corp. | 56,882 | 1,724 | |
| 240,556 | |||
| Other (0.0%) | |||
| *,§,2 | The We Company | ||
| Class A PP | 19,046 | 125 | |
| Real Estate (1.6%) | |||
| American Tower Corp. | 612,092 | 138,823 | |
| * | Redfin Corp. | 2,915,252 | 78,887 |
| Crown Castle International Corp. | 495,381 | 70,983 | |
| Equinix Inc. | 117,598 | 67,360 | |
| Iron Mountain Inc. | 662,870 | 20,158 | |
| Simon Property Group Inc. | 154,426 | 19,007 | |
| American Homes 4 Rent | 716,502 | 18,550 | |
| Omega Healthcare Investors Inc. | 307,200 | 12,165 | |
| * | CBRE Group Inc. | 121,645 | 6,829 |
| 432,762 | |||
| Utilities (0.0%) | |||
| NRG Energy Inc. | 171,224 | 5,686 | |
| Total Common Stocks | |||
| (Cost $16,246,065) | 25,958,066 | ||
| Preferred Stocks (0.1%) | |||
| *,§,2,3 | Airbnb Inc., 8.000% | 128,123 | 16,738 |
| *,§,2,3 | The We Company Pfd. D1 PP | 260,418 | 2,901 |
| *,§,2,3 | The We Company Pfd. D2 PP | 204,614 | 2,280 |
| Total Preferred Stocks (Cost $19,671) | 21,919 | ||
| Temporary Cash Investments (4.2%) | |||
| Money Market Fund (4.0%) | |||
| 4,5 | Vanguard Market Liquidity Fund, 1.706% | 10,572,695 | 1,057,587 |
| Face | Market | ||
| Amount | Value• | ||
| ($000) | ($000) | ||
| Repurchase Agreement (0.1%) | |||
| Bank of America Securities, LLC 1.600%, 3/2/20 (Dated 2/28/20, Repurchase Value $21,903,000, collateralized by Federal Farm Credit Bank, 2.480%, 10/19/29 and Federal Home Loan Mortgage Corp. 0.000%, 7/15/32, with a value of $22,338,000) | 21,900 | 21,900 | |
| U.S. Government and Agency Obligations (0.1%) | |||
| 6 | United States Treasury Bill, 1.515%, 4/9/20 | 500 | 499 |
| 6 | United States Treasury Bill, 1.543%, 4/16/20 | 4,970 | 4,962 |
| 6 | United States Treasury Bill, 1.551%, 5/14/20 | 23,500 | 23,439 |
| 28,900 | |||
| Total Temporary Cash Investments | |||
| (Cost $1,108,123) | 1,108,387 | ||
| Total Investments (101.5%) | |||
| (Cost $17,373,859) | 27,088,372 | ||
| Other Assets and Liabilities—Net (-1.5%)5 | (396,268) | ||
| Net Assets (100%) | 26,692,104 | ||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. |
The total value of securities on loan is $293,846,000.
| § | Security value determined using significant unobservable inputs. |
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the value of this security represented 0.4% of net assets. |
| 2 | Restricted securities totaling $22,044,000, representing 0.1% of net assets. See Restricted Securities table for additional information. |
| 3 | Perpetual security with no stated maturity date. |
| 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 $309,816,000 was received for securities on loan. |
| 6 | Securities with a value of $27,345,000 have been segregated as initial margin for open futures contracts. |
ADR—American Depositary Receipt.
PP—Private Placement.
7
U.S. Growth Fund
Restricted Securities as of Period End
| Acquisition | ||||||||
| Acquisition | Cost | |||||||
| Security Name | Date | ($000) | ||||||
| The We Company Pfd. D1 PP | December 2014 | 4,336 | ||||||
| The We Company Pfd. D2 PP | December 2014 | 3,407 | ||||||
| The We Company Class A PP | December 2014 | 317 | ||||||
| Airbnb Inc. | June 2015 | 11,928 | ||||||
| Derivative Financial Instruments Outstanding as of Period End | ||||||||||||||||
| Futures Contracts | ||||||||||||||||
| ($000) | ||||||||||||||||
| Value and | ||||||||||||||||
| Number of | Unrealized | |||||||||||||||
| Long (Short) | Notional | Appreciation | ||||||||||||||
| Expiration | Contracts | Amount | (Depreciation) | |||||||||||||
| Long Futures Contracts | ||||||||||||||||
| E-mini S&P 500 Index | March 2020 | 3,519 | 519,246 | (54,578 | ) | |||||||||||
| E-mini S&P Mid-Cap 400 Index | March 2020 | 262 | 47,480 | (5,679 | ) | |||||||||||
| (60,257 | ) | |||||||||||||||
See accompanying Notes, which are an integral part of the Financial Statements.
8
U.S. Growth Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $16,316,522) | 26,030,785 |
| Affiliated Issuers (Cost $1,057,337) | 1,057,587 |
| Total Investments in Securities | 27,088,372 |
| Investment in Vanguard | 1,240 |
| Receivables for Investment Securities Sold | 39,322 |
| Receivables for Accrued Income | 22,352 |
| Receivables for Capital Shares Issued | 75,450 |
| Variation Margin Receivable—Futures Contracts | 1,076 |
| Total Assets | 27,227,812 |
| Liabilities | |
| Due to Custodian | 34,057 |
| Payables for Investment Securities Purchased | 39,746 |
| Collateral for Securities on Loan | 309,816 |
| Payables to Investment Advisor | 10,758 |
| Payables for Capital Shares Redeemed | 121,197 |
| Payables to Vanguard | 17,071 |
| Variation Margin Payable—Futures Contracts | 3,063 |
| Total Liabilities | 535,708 |
| Net Assets | 26,692,104 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 16,579,484 |
| Total Distributable Earnings (Loss) | 10,112,620 |
| Net Assets | 26,692,104 |
| Investor Shares—Net Assets | |
| Applicable to 211,783,712 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,963,036 |
| Net Asset Value Per Share—Investor Shares | $42.32 |
| Admiral Shares—Net Assets | |
| Applicable to 161,718,345 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,729,068 |
| Net Asset Value Per Share—Admiral Shares | $109.63 |
See accompanying Notes, which are an integral part of the Financial Statements.
9
U.S. Growth Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers1 | 89,180 |
| Dividends—Affiliated Issuers | 371 |
| Interest—Unaffiliated Issuers | 816 |
| Interest—Affiliated Issuers | 6,585 |
| Securities Lending—Net | 2,355 |
| Total Income | 99,307 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 18,712 |
| Performance Adjustment | 2,479 |
| The Vanguard Group—Note C | |
| Management and Administrative—Investor Shares | 9,826 |
| Management and Administrative—Admiral Shares | 10,590 |
| Marketing and Distribution—Investor Shares | 357 |
| Marketing and Distribution—Admiral Shares | 396 |
| Custodian Fees | 97 |
| Shareholders’ Reports—Investor Shares | 41 |
| Shareholders’ Reports—Admiral Shares | 25 |
| Trustees’ Fees and Expenses | 19 |
| Total Expenses | 42,542 |
| Expenses Paid Indirectly | (185) |
| Net Expenses | 42,357 |
| Net Investment Income | 56,950 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold—Unaffiliated Issuers | 568,852 |
| Investment Securities Sold—Affiliated Issuers | 15,270 |
| Futures Contracts | 39,801 |
| Foreign Currencies | (215) |
| Realized Net Gain (Loss) | 623,708 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers | 1,248,118 |
| Investment Securities—Affiliated Issuers | (5,412) |
| Futures Contracts | (62,333) |
| Foreign Currencies | 73 |
| Change in Unrealized Appreciation (Depreciation) | 1,180,446 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,861,104 |
| 1 | Dividends are net of foreign withholding taxes of $170,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
U.S. Growth Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||
| February 29, | August 31, | |||||
| 2020 | 2019 | |||||
| ($000 | ) | ($000 | ) | |||
| Increase (Decrease) in Net Assets | ||||||
| Operations | ||||||
| Net Investment Income | 56,950 | 84,993 | ||||
| Realized Net Gain (Loss) | 623,708 | 1,097,123 | ||||
| Change in Unrealized Appreciation (Depreciation) | 1,180,446 | (357,242 | ) | |||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,861,104 | 824,874 | ||||
| Distributions1 | ||||||
| Investor Shares | (357,080 | ) | (342,379 | ) | ||
| Admiral Shares | (704,479 | ) | (477,858 | ) | ||
| Total Distributions | (1,061,559 | ) | (820,237 | ) | ||
| Capital Share Transactions | ||||||
| Investor Shares | (146,570 | ) | 4,292,730 | |||
| Admiral Shares | 159,605 | 10,751,352 | ||||
| Net Increase (Decrease) from Capital Share Transactions | 13,035 | 15,044,082 | ||||
| Total Increase (Decrease) | 812,580 | 15,048,719 | ||||
| Net Assets | ||||||
| Beginning of Period | 25,879,524 | 10,830,805 | ||||
| End of Period | 26,692,104 | 25,879,524 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
11
U.S. Growth Fund
Financial Highlights
Investor Shares
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||||||||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||
| Net Asset Value, Beginning of Period | $41.02 | $43.31 | $35.62 | $30.32 | $30.89 | $31.03 | ||||||||||||
| Investment Operations | ||||||||||||||||||
| Net Investment Income | .077 | 1 | .176 | 1 | .134 | 1 | .151 | 1 | .151 | .169 | ||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 2.932 | .771 | 9.394 | 5.590 | 1.944 | 2.168 | ||||||||||||
| Total from Investment Operations | 3.009 | .947 | 9.528 | 5.741 | 2.095 | 2.337 | ||||||||||||
| Distributions | ||||||||||||||||||
| Dividends from Net Investment Income | (.119 | ) | (.132 | ) | (.146 | ) | (.121 | ) | (.147 | ) | (.194 | ) | ||||||
| Distributions from Realized Capital Gains | (1.590 | ) | (3.105 | ) | (1.692 | ) | (.320 | ) | (2.518 | ) | (2.283 | ) | ||||||
| Total Distributions | (1.709 | ) | (3.237 | ) | (1.838 | ) | (.441 | ) | (2.665 | ) | (2.477 | ) | ||||||
| Net Asset Value, End of Period | $42.32 | $41.02 | $43.31 | $35.62 | $30.32 | $30.89 | ||||||||||||
| Total Return2 | 7.37 | % | 3.70 | % | 27.64 | % | 19.24 | % | 6.89 | % | 7.96 | % | ||||||
| Ratios/Supplemental Data | ||||||||||||||||||
| Net Assets, End of Period (Millions) | $8,963 | $8,819 | $4,582 | $4,113 | $3,794 | $3,975 | ||||||||||||
| Ratio of Total Expenses to Average Net Assets3 | 0.38 | % | 0.39 | % | 0.42 | % | 0.43 | % | 0.46 | % | 0.47 | % | ||||||
| Ratio of Net Investment Income to Average Net Assets | 0.36 | % | 0.44 | % | 0.35 | % | 0.47 | % | 0.50 | % | 0.53 | % | ||||||
| Portfolio Turnover Rate | 16 | % | 41 | % | 33 | % | 27 | % | 32 | % | 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. |
| 3 | Includes performance-based investment advisory fee increases (decreases) of 0.02%, 0.01%, 0.01%, (0.01%), 0.02%, and 0.03%. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
U.S. Growth Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||||||||||||
| Ended | ||||||||||||||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||||||||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||
| Net Asset Value, Beginning of Period | $106.30 | $112.28 | $92.24 | $78.52 | $80.01 | $80.37 | ||||||||||||
| Investment Operations | ||||||||||||||||||
| Net Investment Income | .255 | 1 | .572 | 1 | .476 | 1 | .502 | 1 | .506 | .563 | ||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 7.596 | 1.963 | 24.323 | 14.480 | 5.018 | 5.607 | ||||||||||||
| Total from Investment Operations | 7.851 | 2.535 | 24.799 | 14.982 | 5.524 | 6.170 | ||||||||||||
| Distributions | ||||||||||||||||||
| Dividends from Net Investment Income | (.401 | ) | (.464 | ) | (.375 | ) | (.433 | ) | (.499 | ) | (.623 | ) | ||||||
| Distributions from Realized Capital Gains | (4.120 | ) | (8.051 | ) | (4.384 | ) | (.829 | ) | (6.515 | ) | (5.907 | ) | ||||||
| Total Distributions | (4.521 | ) | (8.515 | ) | (4.759 | ) | (1.262 | ) | (7.014 | ) | (6.530 | ) | ||||||
| Net Asset Value, End of Period | $109.63 | $106.30 | $112.28 | $92.24 | $78.52 | $80.01 | ||||||||||||
| Total Return2 | 7.42 | % | 3.80 | % | 27.78 | % | 19.42 | % | 7.03 | % | 8.12 | % | ||||||
| Ratios/Supplemental Data | ||||||||||||||||||
| Net Assets, End of Period (Millions) | $17,729 | $17,060 | $6,249 | $3,791 | $3,066 | $2,421 | ||||||||||||
| Ratio of Total Expenses to Average Net Assets3 | 0.28 | % | 0.28 | % | 0.30 | % | 0.30 | % | 0.32 | % | 0.33 | % | ||||||
| Ratio of Net Investment Income to Average Net Assets | 0.46 | % | 0.55 | % | 0.47 | % | 0.60 | % | 0.64 | % | 0.67 | % | ||||||
| Portfolio Turnover Rate | 16 | % | 41 | % | 33 | % | 27 | % | 32 | % | 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. |
| 3 | Includes performance-based investment advisory fee increases (decreases) of 0.02%, 0.01%, 0.01%, (0.01%), 0.02%, and 0.03%. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
U.S. Growth Fund
Notes to Financial Statements
Vanguard U.S. Growth Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
14
U.S. Growth Fund
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented 2% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
7. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund,
15
U.S. Growth Fund
and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
8. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
9. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The investment advisory firms Jennison Associates LLC, Wellington Management Company LLP, Baillie Gifford Overseas Ltd., and Jackson Square Partners, LLC, each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Jennison Associates LLC, Wellington Management
16
U.S. Growth Fund
Company LLP, and Jackson Square Partners, LLC, are subject to quarterly adjustments based on performance relative to the Russell 1000 Growth Index for the preceding three years. The basic fee of Baillie Gifford Overseas Ltd. is subject to quarterly adjustments based on performance relative to the S&P 500 Index for the preceding three years.
Vanguard provides investment advisory services to a portion of the fund as described below; the fund paid Vanguard advisory fees of $691,000 for the six months ended February 29, 2020.
For the six months ended February 29, 2020, the aggregate investment advisory fee paid to all advisors represented an effective annual basic rate of 0.14% of the fund’s average net assets, before a net increase of $2,479,000 (0.02%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $1,240,000, representing less than 0.01% of the fund’s net assets and 0.50% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the fund part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. The fund’s custodian bank has also agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, these arrangements reduced the fund’s management and administrative expenses by $182,000 and custodian fees by $3,000. The total expense reduction represented an effective annual rate of less than 0.01% of the fund’s average net assets.
E. 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.
17
U.S. Growth Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 25,423,201 | 534,740 | 125 | 25,958,066 |
| Preferred Stocks | — | — | 21,919 | 21,919 |
| Temporary Cash Investments | 1,057,587 | 50,800 | — | 1,108,387 |
| Total | 26,480,788 | 585,540 | 22,044 | 27,088,372 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 1,076 | — | — | 1,076 |
| Liabilities | ||||
| Futures Contracts1 | 3,063 | — | — | 3,063 |
1 Represents variation margin on the last day of the reporting period.
F. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 17,373,859 |
| Gross Unrealized Appreciation | 10,431,497 |
| Gross Unrealized Depreciation | (777,241) |
| Net Unrealized Appreciation (Depreciation) | 9,654,256 |
G. During the six months ended February 29, 2020, the fund purchased $4,019,144,000 of investment securities and sold $4,777,725,000 of investment securities, other than temporary cash investments.
18
U.S. Growth Fund
H. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||
| February 29, 2020 | August 31, 2019 | |||||
| Amount | Shares | Amount | Shares | |||
| ($000) | (000) | ($000) | (000) | |||
| Investor Shares | ||||||
| Issued | 560,907 | 12,821 | 975,070 | 24,941 | ||
| Issued in Connection with Acquisition of Vanguard Morgan Growth Fund | — | — | 4,276,013 | 107,224 | ||
| Issued in Lieu of Cash Distributions | 347,590 | 8,288 | 333,194 | 9,768 | ||
| Redeemed | (1,055,067) | (24,320) | (1,291,547) | (32,733) | ||
| Net Increase (Decrease)—Investor Shares | (146,570) | (3,211) | 4,292,730 | 109,200 | ||
| Admiral Shares | ||||||
| Issued | 1,368,197 | 12,001 | 2,236,862 | 21,975 | ||
| Issued in Connection with Acquisition of Vanguard Morgan Growth Fund | — | — | 10,459,067 | 101,244 | ||
| Issued in Lieu of Cash Distributions | 662,452 | 6,098 | 449,504 | 5,088 | ||
| Redeemed | (1,871,044) | (16,873) | (2,394,081) | (23,467) | ||
| Net Increase (Decrease)—Admiral Shares | 159,605 | 1,226 | 10,751,352 | 104,840 | ||
I. On April 5, 2019, the fund acquired all of the net assets of Vanguard Morgan Growth Fund pursuant to a plan of reorganization approved by the funds’ board of trustees in November 2018. The purpose of the transaction was to combine two funds with comparable investment objectives. The acquisition was accomplished by a tax-free exchange of 208 million shares of the fund for 275 million shares of Vanguard Morgan Growth Fund. Each class of shares for Vanguard Morgan Growth Fund was exchanged for the like share class of the fund. The fund’s net assets of $11.4 billion were combined with Vanguard Morgan Growth Fund’s net assets of $14.7 billion, including $4.5 billion of unrealized appreciation, resulting in combined net assets of $26.1 billion.
19
U.S. Growth Fund
Assuming that the acquisition had been completed on September 1, 2018, the beginning of the fund’s reporting period, the fund’s pro forma results of operations for the year ended August 31, 2019, would be:
| Amount | |
| ($000) | |
| Net Investment Income | 140,696 |
| Realized Net Gain (Loss) | 2,794,376 |
| Change in Unrealized Appreciation (Depreciation) | (2,051,846) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 883,226 |
Because the combined funds have been managed as a single integrated fund since the acquisition was completed, it is not practical to separate the results of operations of Vanguard Morgan Growth Fund that have been included in the fund’s operations since April 5, 2019.
J. Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows:
| Current Period Transactions | ||||||||
| Aug. 31, | Proceeds | Realized | Feb. 29, | |||||
| 2019 | from | Net | Change in | Capital Gain | 2020 | |||
| Market | Purchases | Securities | Gain | Unrealized | Distributions | Market | ||
| Value | at Cost | Sold | (Loss) | App. (Dep.) | Income | Received | Value | |
| ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | |
| Vanguard Growth ETF | 95,486 | — | 105,127 | 15,249 | (5,608) | 371 | — | — |
| Vanguard Market Liquidity Fund | 989,536 | NA1 | NA1 | 21 | 196 | 6,585 | — | 1,057,587 |
| Total | 1,085,022 | 15,270 | (5,412) | 6,956 | — | 1,057,587 | ||
1 Not applicable—purchases and sales are for temporary cash investment purposes.
K. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
20
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard U.S. Growth Fund has renewed the fund’s investment advisory arrangements with Baillie Gifford Overseas Ltd. (Baillie Gifford), Jackson Square Partners, LLC (Jackson Square), Jennison Associates LLC (Jennison), Wellington Management Company LLP (Wellington Management), and The Vanguard Group, Inc. (Vanguard), through its Quantitative Equity Group. Please note that in December 2018, the board approved the addition of Vanguard, through its Quantitative Equity Group, as an advisor to the fund and Vanguard began managing a portion of the fund in April 2019. The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
Baillie Gifford. Baillie Gifford—a unit of Baillie Gifford & Co., founded in 1908—is among the largest independently owned investment management firms in the United Kingdom. Baillie Gifford aims to deliver outstanding investment performance by identifying exceptional growth companies in the United States and investing in them long enough for the advantages of their business models and strength of their cultures to become the dominant drivers of their stock prices. This long-term horizon allows the advisor to harness the asymmetry inherent in equity markets to capture the disproportionate impact of successful investments in the portfolio. Baillie Gifford has managed a portion of the fund since 2014.
Jackson Square. Founded in 2014, Jackson Square invests primarily in common stocks of large-capitalization, growth-oriented companies that it believes have long-term capital appreciation potential and are expected to grow faster than the U.S. economy. Jackson Square uses a bottom-up approach, seeking companies that have large-end market potential, dominant business models, and strong free-cash-flow generation that is attractively priced compared with the intrinsic value of the securities. Jackson Square was founded by the same investment team that has managed a portion of the fund since 2010, previously as a part of Delaware Investments.
21
Jennison. Jennison, founded in 1969, is an indirect, wholly owned subsidiary of Prudential Financial Inc. Jennison uses internal fundamental research and a highly interactive stock selection process to identify companies that exhibit above-average growth in units, revenues, earnings, and cash flows. When analyzing a company for purchase or sale, Jennison focuses on the duration of the company’s growth opportunity and seeks to capture inflection points in its growth trajectory. Jennison has managed a portion of the fund since 2014.
Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The advisor employs a traditional, bottom-up fundamental research approach to identify companies with sustainable growth advantages and reasonable valuations. Wellington Management identifies companies that have demonstrated above-average growth in the past and follows up with a thorough review of each company’s business model and an assessment of its valuation. The goal of this review is to identify companies with high returns on capital, superior business management, and high-quality balance sheets. Wellington Management has managed a portion of the fund since 2010.
Vanguard. Vanguard has been managing investments for more than four decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth. Vanguard has managed a portion of the fund since 2019.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each advisor’s subportfolio, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.
The board did not consider the profitability of Baillie Gifford, Jackson Square, Jennison, or Wellington Management in determining whether to approve the advisory fees, because the advisors are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for Baillie Gifford, Jackson Square, Jennison, and Wellington Management. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase. The board also concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as the fund’s assets managed by Vanguard increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
22
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| © 2020 The Vanguard Group, Inc. | ||
| All rights reserved. | ||
| Vanguard Marketing Corporation, Distributor. | ||
| Q232 042020 |
| Semiannual Report | February 29, 2020 | |
| Vanguard International Growth Fund | |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. | |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
| Trustees Approve Advisory Arrangements | 22 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| International Growth Fund | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,095.69 | $2.29 |
| Admiral™ Shares | 1,000.00 | 1,096.29 | 1.72 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,022.68 | $2.21 |
| Admiral Shares | 1,000.00 | 1,023.22 | 1.66 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.44% for Investor Shares and 0.33% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
International Growth Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 10.7 | % | ||
| Consumer Discretionary | 36.1 | |||
| Consumer Staples | 5.2 | |||
| Energy | 0.8 | |||
| Financials | 11.6 | |||
| Health Care | 11.3 | |||
| Industrials | 8.3 | |||
| Information Technology | 11.6 | |||
| Materials | 3.3 | |||
| Other | 0.6 | |||
| Utilities | 0.5 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3
International Growth Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value● | |||||||||
| Shares | ($000) | ||||||||
| Common Stocks (98.1%) | |||||||||
| Austria (0.4%) | |||||||||
| Erste Group Bank AG | 4,933,241 | 168,883 | |||||||
| Belgium (1.2%) | |||||||||
| Umicore SA | 11,594,371 | 488,251 | |||||||
| Brazil (0.6%) | |||||||||
| B3 SA - Brasil Bolsa | |||||||||
| Balcao | 11,674,291 | 125,308 | |||||||
| Raia Drogasil SA | 4,032,510 | 108,119 | |||||||
| 233,427 | |||||||||
| Canada (0.8%) | |||||||||
| Toronto-Dominion Bank | 3,133,272 | 161,163 | |||||||
| Nutrien Ltd. | 3,665,128 | 148,134 | |||||||
| 309,297 | |||||||||
| China (19.1%) | |||||||||
| * | Alibaba Group Holding | ||||||||
| Ltd. ADR | 11,394,039 | 2,369,960 | |||||||
| Tencent Holdings Ltd. | 45,107,500 | 2,287,163 | |||||||
| * | TAL Education Group | ||||||||
| ADR | 18,485,132 | 1,005,406 | |||||||
| * | Meituan Dianping | ||||||||
| Class B | 39,299,430 | 507,041 | |||||||
| Ping An Insurance | |||||||||
| Group Co. of China | |||||||||
| Ltd. | 37,534,500 | 427,608 | |||||||
| * | Baidu Inc. ADR | 2,434,459 | 292,087 | ||||||
| * | Trip.com Group Ltd. | ||||||||
| ADR | 7,312,030 | 221,993 | |||||||
| China Mengniu Dairy | |||||||||
| Co. Ltd. | 33,524,000 | 122,520 | |||||||
| China Pacific Insurance | |||||||||
| Group Co. Ltd. | 28,807,200 | 96,638 | |||||||
| ^,* | NIO Inc. ADR | 17,591,617 | 72,653 | ||||||
| ^,* | iQIYI Inc. ADR | 2,918,602 | 65,464 | ||||||
| 7,468,533 | |||||||||
| Denmark (3.0%) | |||||||||
| * | Genmab A/S | 2,594,661 | 586,740 | ||||||
| Vestas Wind Systems | |||||||||
| A/S | 2,343,705 | 226,122 | |||||||
| ^ | Ambu A/S Class B | 5,449,774 | 124,115 | ||||||
| Novozymes A/S | 2,401,809 | 123,130 | |||||||
| Chr Hansen Holding | |||||||||
| A/S | 1,658,818 | 119,590 | |||||||
| 1,179,697 | |||||||||
| France (7.3%) | |||||||||
| Kering SA | 1,457,626 | 821,969 | |||||||
| L’Oreal SA | 2,310,130 | 620,932 | |||||||
| Schneider Electric SE | 5,203,061 | 528,633 | |||||||
| EssilorLuxottica SA | 1,942,580 | 266,291 | |||||||
| Danone SA | 3,081,319 | 217,477 | |||||||
| Vivendi SA | 6,504,608 | 166,189 | |||||||
| Total SA | 3,833,791 | 165,707 | |||||||
| Alstom SA | 1,245,851 | 61,510 | |||||||
| 2,848,708 | |||||||||
| Germany (6.7%) | |||||||||
| *,1 | Delivery Hero SE | 6,275,610 | 480,077 | ||||||
| *,1 | Zalando SE | 10,466,867 | 467,736 | ||||||
| *,2 | HelloFresh SE | 10,552,945 | 257,326 | ||||||
| Bayerische Motoren | |||||||||
| Werke AG | 3,606,936 | 237,998 | |||||||
| Infineon Technologies | |||||||||
| AG | 10,158,551 | 216,822 | |||||||
| SAP SE | 1,667,180 | 208,137 | |||||||
| adidas AG | 567,658 | 159,824 | |||||||
| Continental AG | 1,296,308 | 148,244 | |||||||
| GEA Group AG | 5,087,264 | 136,131 | |||||||
| Basf Se | 2,275,881 | 134,697 | |||||||
| * | MorphoSys AG | 664,989 | 71,678 | ||||||
| *,1 | Rocket Internet SE | 2,762,933 | 60,614 | ||||||
| ^,*,2 | Jumia Technologies | ||||||||
| AG ADR | 6,724,836 | 27,639 | |||||||
| *,2 | Home24 SE | 1,862,256 | 8,201 | ||||||
| 2,615,124 | |||||||||
4
International Growth Fund
| Market | |||||||||
| Value● | |||||||||
| Shares | ($000) | ||||||||
| Hong Kong (3.9%) | |||||||||
| AIA Group Ltd. | 104,493,600 | 1,047,281 | |||||||
| Hong Kong Exchanges | |||||||||
| & Clearing Ltd. | 9,052,130 | 302,848 | |||||||
| Jardine Matheson | |||||||||
| Holdings Ltd. | 3,239,027 | 177,216 | |||||||
| 1,527,345 | |||||||||
| India (1.7%) | |||||||||
| Housing Development | |||||||||
| Finance Corp. Ltd. | 11,680,736 | 354,420 | |||||||
| * | HDFC Bank Ltd. | 12,874,558 | 211,321 | ||||||
| Larsen & Toubro Ltd. | 3,123,055 | 51,854 | |||||||
| *,§,3 | ANI Technologies | 166,185 | 48,934 | ||||||
| 666,529 | |||||||||
| Indonesia (0.4%) | |||||||||
| Bank Central Asia | |||||||||
| Tbk PT | 66,399,100 | 146,670 | |||||||
| Israel (0.6%) | |||||||||
| * | Wix.com Ltd. | 917,880 | 123,023 | ||||||
| * | Check Point Software | ||||||||
| Technologies Ltd. | 1,003,311 | 104,144 | |||||||
| 227,167 | |||||||||
| Italy (2.3%) | |||||||||
| Ferrari NV | 4,745,012 | 747,431 | |||||||
| Fiat Chrysler | |||||||||
| Automobiles NV | 13,737,294 | 173,100 | |||||||
| 920,531 | |||||||||
| Japan (9.7%) | |||||||||
| M3 Inc. | 26,545,800 | 685,310 | |||||||
| SMC Corp. | 1,172,100 | 467,207 | |||||||
| SoftBank Group Corp. | 9,578,400 | 444,996 | |||||||
| Recruit Holdings Co. | |||||||||
| Ltd. | 7,609,700 | 266,132 | |||||||
| Nidec Corp. | 2,080,800 | 245,063 | |||||||
| Nintendo Co. Ltd. | 645,900 | 216,528 | |||||||
| Sony Corp. | 3,375,700 | 208,105 | |||||||
| Takeda Pharmaceutical | |||||||||
| Co. Ltd. | 5,032,400 | 173,787 | |||||||
| Keyence Corp. | 404,000 | 128,999 | |||||||
| Kubota Corp. | 8,488,000 | 119,017 | |||||||
| Murata Manufacturing | |||||||||
| Co. Ltd. | 2,240,300 | 117,363 | |||||||
| ORIX Corp. | 7,045,400 | 114,192 | |||||||
| Toyota Motor Corp. | 1,725,900 | 113,331 | |||||||
| Pigeon Corp. | 3,300,800 | 111,534 | |||||||
| Sekisui Chemical Co. | |||||||||
| Ltd. | 7,428,700 | 111,110 | |||||||
| Suzuki Motor Corp. | 2,605,000 | 104,815 | |||||||
| ^ | SBI Holdings Inc. | 4,470,400 | 90,174 | ||||||
| Bridgestone Corp. | 2,506,300 | 83,060 | |||||||
| 3,800,723 | |||||||||
| Netherlands (7.7%) | |||||||||
| ASML Holding NV | 7,358,957 | 2,040,607 | |||||||
| *,1 | Adyen NV | 462,877 | 407,403 | ||||||
| Exor NV | 3,303,396 | 235,925 | |||||||
| Koninklijke Philips NV | 4,557,391 | 195,168 | |||||||
| ^,* | Argenx SE | 901,391 | 126,346 | ||||||
| 3,005,449 | |||||||||
| Norway (0.7%) | |||||||||
| Dnb ASA | 8,741,639 | 146,416 | |||||||
| Norsk Hydro ASA | 38,345,698 | 111,672 | |||||||
| 258,088 | |||||||||
| Singapore (0.4%) | |||||||||
| Oversea-Chinese | |||||||||
| Banking Corp. Ltd. | 19,070,500 | 146,805 | |||||||
| South Korea (1.2%) | |||||||||
| Samsung Electronics | |||||||||
| Co. Ltd. | 7,380,761 | 332,218 | |||||||
| Samsung SDI Co. Ltd. | 596,623 | 145,021 | |||||||
| 477,239 | |||||||||
| Spain (2.8%) | |||||||||
| Industria de Diseno | |||||||||
| Textil SA | 21,245,632 | 662,847 | |||||||
| Banco Bilbao Vizcaya | |||||||||
| Argentaria SA | 51,899,765 | 248,565 | |||||||
| * | Iberdrola SA | 16,855,742 | 192,970 | ||||||
| 1,104,382 | |||||||||
| Sweden (3.6%) | |||||||||
| * | Spotify Technology | ||||||||
| SA | 4,839,569 | 663,602 | |||||||
| Atlas Copco AB | |||||||||
| Class A | 8,919,796 | 318,035 | |||||||
| * | Kinnevik AB | 10,340,628 | 210,596 | ||||||
| Assa Abloy AB | |||||||||
| Class B | 6,577,550 | 147,923 | |||||||
| ^ | Elekta AB Class B | 6,427,670 | 68,223 | ||||||
| 1,408,379 | |||||||||
| Switzerland (5.4%) | |||||||||
| Roche Holding AG | 1,956,391 | 629,046 | |||||||
| Nestle SA | 4,751,751 | 488,983 | |||||||
| Temenos AG | 1,611,775 | 230,447 | |||||||
| Lonza Group AG | 574,461 | 229,232 | |||||||
| Novartis AG | 2,634,439 | 221,617 | |||||||
| Cie Financiere | |||||||||
| Richemont SA | 2,311,487 | 158,455 | |||||||
| * | Alcon Inc. | 1,663,929 | 101,751 | ||||||
| Straumann Holding AG | 63,241 | 59,415 | |||||||
| 2,118,946 | |||||||||
| Taiwan (1.1%) | |||||||||
| Taiwan Semiconductor | |||||||||
| Manufacturing Co. Ltd. | 41,599,000 | 428,877 | |||||||
5
International Growth Fund
| Market | |||||||||
| Value● | |||||||||
| Shares | ($000) | ||||||||
| Thailand (0.2%) | |||||||||
| Kasikornbank PCL | |||||||||
| (Foreign) | 20,944,156 | 80,133 | |||||||
| Turkey (0.2%) | |||||||||
| * | Turkiye Garanti | ||||||||
| Bankasi AS | 39,634,985 | 60,677 | |||||||
| United Kingdom (5.7%) | |||||||||
| Rolls-Royce Holdings | |||||||||
| plc | 46,651,516 | 375,437 | |||||||
| Diageo plc | 9,490,097 | 338,607 | |||||||
| * | Ocado Group plc | 19,221,816 | 266,288 | ||||||
| GlaxoSmithKline plc | 9,564,058 | 192,999 | |||||||
| BHP Group plc | 8,794,634 | 160,731 | |||||||
| Burberry Group plc | 6,851,592 | 147,652 | |||||||
| Whitbread plc | 2,910,764 | 146,806 | |||||||
| Smith & Nephew plc | 6,481,401 | 145,415 | |||||||
| Royal Dutch Shell plc | |||||||||
| Class A | 6,669,211 | 145,344 | |||||||
| Lloyds Banking Group | |||||||||
| plc | 170,979,423 | 110,984 | |||||||
| Next plc | 1,327,095 | 104,598 | |||||||
| Bunzl plc | 3,607,328 | 86,621 | |||||||
| ^,*,1 | Aston Martin Lagonda | ||||||||
| Global Holdings plc | 6,130,091 | 26,890 | |||||||
| 2,248,372 | |||||||||
| United States (11.4%) | |||||||||
| * | Tesla Inc. | 2,241,608 | 1,497,372 | ||||||
| * | MercadoLibre Inc. | 1,888,555 | 1,163,406 | ||||||
| * | Amazon.com Inc. | 514,765 | 969,689 | ||||||
| * | Booking Holdings Inc. | 64,730 | 109,760 | ||||||
| * | Illumina Inc. | 2,734,956 | 726,596 | ||||||
| 4,466,823 | |||||||||
| Total Common Stocks | |||||||||
| (Cost $25,834,084) | 38,405,055 | ||||||||
| Preferred Stocks (0.4%) | |||||||||
| *,§,2,3,4 You & Mr. Jones | 44,800,000 | 143,808 | |||||||
| *,§,3,4 CureVac GmbH | 12,600 | 17,818 | |||||||
| Total Preferred Stocks | |||||||||
| (Cost $75,682) | 161,626 | ||||||||
| Temporary Cash Investments (2.5%) | |||||||||
| Money Market Fund (2.4%) | |||||||||
| 5,6 | Vanguard Market | ||||||||
| Liquidity Fund, | |||||||||
| 1.706% | 9,509,221 | 951,207 | |||||||
| Face Amount● ($000) | Market Value● ($000) | ||||||||
| U.S. Government and Agency Obligations (0.1%) | |||||||||
| 7 | United States Treasury | ||||||||
| Bill, 1.546%, 3/26/20 | 2,500 | 2,498 | |||||||
| 7 | United States Treasury | ||||||||
| Bill, 1.506%, 4/9/20 | 400 | 399 | |||||||
| 7 | United States Treasury | ||||||||
| Bill, 1.543%, 4/16/20 | 6,178 | 6,168 | |||||||
| 7 | United States Treasury | ||||||||
| Bill, 1.527%–1.541%, | |||||||||
| 4/30/20 | 4,000 | 3,991 | |||||||
| 7 | United States Treasury | ||||||||
| Bill, 1.551%, 5/14/20 | 17,000 | 16,956 | |||||||
| 30,012 | |||||||||
| Total Temporary Cash Investments | |||||||||
| (Cost $980,994) | 981,219 | ||||||||
| Total Investments (101.0%) | |||||||||
| (Cost $26,890,760) | 39,547,900 | ||||||||
| Other Assets and Liabilities— | |||||||||
| Net (-1.0%)6,8 | (400,479 | ) | |||||||
| Net Assets (100%) | 39,147,421 | ||||||||
Cost rounded to $000.
| ● | See Note A in Notes to Financial Statements. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $259,883,000. |
| * | Non-income-producing security. |
| § | Security value determined using significant unobservable inputs. |
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $1,442,720,000, representing 3.7% of net assets. |
| 2 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
| 3 | Restricted securities totaling $210,560,000, representing 0.5% of net assets. See Restricted Securities table for additional information. |
| 4 | Perpetual security with no stated maturity date. |
| 5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 6 | Collateral of $295,631,000 was received for securities on loan, of which $293,088,000 is held in Vanguard Market Liquidity Fund and $2,543,000 is held in cash. |
| 7 | Securities with a value of $19,288,000 have been segregated as initial margin for open futures contracts. |
| 8 | Cash of $7,470,000 has been segregated as collateral for open forward currency contracts. |
ADR—American Depositary Receipt.
6
International Growth Fund
| Restricted Securities as of Period End | ||||||||
| Acquisition | ||||||||
| Acquisition | Cost | |||||||
| Security Name | Date | ($000) | ||||||
| You & Mr. Jones | September 2015 | 44,800 | ||||||
| CureVac GmbH | October 2015 | 30,882 | ||||||
| ANI Technologies | December 2015 | 51,748 | ||||||
| Derivative Financial Instruments Outstanding as of Period End | ||||||||
| Futures Contracts |
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| Dow Jones EURO STOXX 50 Index | March 2020 | 4,547 | 166,353 | (15,072) |
| Topix Index | March 2020 | 832 | 115,667 | (12,242) |
| S&P ASX 200 Index | March 2020 | 804 | 83,462 | (5,252) |
| FTSE 100 Index | March 2020 | 647 | 54,158 | (5,406) |
| (37,972) |
| Forward Currency Contracts | |||||||||
| Contract | Unrealized | Unrealized | |||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | ||||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | ||||
| BNP Paribas | 4/2/20 | EUR | 89,870 | USD | 100,680 | — | (1,261) | ||
| Barclays Bank plc | 4/2/20 | JPY | 8,591,020 | USD | 79,605 | 194 | — | ||
| Toronto-Dominion Bank | 4/2/20 | GBP | 39,820 | USD | 53,308 | — | (2,204) | ||
| Barclays Bank plc | 4/2/20 | AUD | 38,186 | USD | 26,288 | — | (1,392) | ||
| BNP Paribas | 4/2/20 | AUD | 31,773 | USD | 21,880 | — | (1,165) | ||
| JPMorgan Chase Bank, N.A. | 4/2/20 | EUR | 10,100 | USD | 11,183 | — | (10) | ||
| Royal Bank of Canada | 4/2/20 | JPY | 415,200 | USD | 3,813 | 44 | — | ||
| Royal Bank of Canada | 4/2/20 | GBP | 2,827 | USD | 3,705 | — | (76) | ||
| Royal Bank of Canada | 4/2/20 | AUD | 4,747 | USD | 3,243 | — | (148) | ||
| 238 | (6,256) | ||||||||
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
7
International Growth Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $25,565,666) | 38,159,719 |
| Affiliated Issuers (Cost $1,325,094) | 1,388,181 |
| Total Investments in Securities | 39,547,900 |
| Investment in Vanguard | 1,770 |
| Cash | 1,780 |
| Foreign Currency, at Value (Cost $39,756) | 39,871 |
| Cash Collateral Pledged—Forward Currency Contracts | 7,470 |
| Receivables for Accrued Income | 47,827 |
| Receivables for Capital Shares Issued | 52,105 |
| Unrealized Appreciation—Forward Currency Contracts | 238 |
| Other Assets | 2,630 |
| Total Assets | 39,701,591 |
| Liabilities | |
| Payables for Investment Securities Purchased | 124,827 |
| Collateral for Securities on Loan | 295,631 |
| Payables for Capital Shares Redeemed | 84,256 |
| Payables to Investment Advisor | 10,758 |
| Payables to Vanguard | 30,470 |
| Variation Margin Payable—Futures Contracts | 1,972 |
| Unrealized Depreciation—Forward Currency Contracts | 6,256 |
| Total Liabilities | 554,170 |
| Net Assets | 39,147,421 |
8
International Growth Fund
| At February 29, 2020, net assets consisted of: | |
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 26,521,670 |
| Total Distributable Earnings (Loss) | 12,625,751 |
| Net Assets | 39,147,421 |
| Investor Shares—Net Assets | |
| Applicable to 238,448,878 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 7,302,878 |
| Net Asset Value Per Share—Investor Shares | $30.63 |
| Admiral Shares—Net Assets | |
| Applicable to 326,867,600 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 31,844,543 |
| Net Asset Value Per Share—Admiral Shares | $97.42 |
See accompanying Notes, which are an integral part of the Financial Statements.
9
International Growth Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers1 | 193,587 |
| Dividends—Affiliated Issuers | 397 |
| Interest—Unaffiliated Issuers | 183 |
| Interest—Affiliated Issuers | 5,002 |
| Securities Lending—Net | 14,863 |
| Total Income | 214,032 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 27,717 |
| Performance Adjustment | 7,458 |
| The Vanguard Group—Note C | |
| Management and Administrative—Investor Shares | 8,880 |
| Management and Administrative—Admiral Shares | 20,894 |
| Marketing and Distribution—Investor Shares | 453 |
| Marketing and Distribution—Admiral Shares | 1,082 |
| Custodian Fees | 1,839 |
| Shareholders’ Reports—Investor Shares | 64 |
| Shareholders’ Reports—Admiral Shares | 127 |
| Trustees’ Fees and Expenses | 27 |
| Total Expenses | 68,541 |
| Net Investment Income | 145,491 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold—Unaffiliated Issuers | 214,688 |
| Investment Securities Sold—Affiliated Issuers | 13,089 |
| Futures Contracts | 19,251 |
| Forward Currency Contracts | (1,388) |
| Foreign Currencies | (827) |
| Realized Net Gain (Loss) | 244,813 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers | 2,956,288 |
| Investment Securities—Affiliated Issuers | 82,971 |
| Futures Contracts | (36,661) |
| Forward Currency Contracts | (600) |
| Foreign Currencies | 1,025 |
| Change in Unrealized Appreciation (Depreciation) | 3,003,023 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,393,327 |
| 1 | Dividends are net of foreign withholding taxes of $17,172,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
International Growth Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 145,491 | 457,175 |
| Realized Net Gain (Loss) | 244,813 | (32,262) |
| Change in Unrealized Appreciation (Depreciation) | 3,003,023 | (2,156,633) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,393,327 | (1,731,720) |
| Distributions1 | ||
| Investor Shares | (94,219) | (336,132) |
| Admiral Shares | (424,749) | (1,277,967) |
| Total Distributions | (518,968) | (1,614,099) |
| Capital Share Transactions | ||
| Investor Shares | (336,560) | (284,833) |
| Admiral Shares | 1,004,423 | 1,992,089 |
| Net Increase (Decrease) from Capital Share Transactions | 667,863 | 1,707,256 |
| Total Increase (Decrease) | 3,542,222 | (1,638,563) |
| Net Assets | ||
| Beginning of Period | 35,605,199 | 37,243,762 |
| End of Period | 39,147,421 | 35,605,199 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
11
International Growth Fund
Financial Highlights
Investor Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $28.30 | $31.23 | $28.38 | $22.38 | $20.83 | $23.79 | ||
| Investment Operations | ||||||||
| Net Investment Income | .1031 | .3421 | .3811 | .2401 | .304 | .308 | ||
| Net Realized and Unrealized Gain (Loss) | ||||||||
| on Investments | 2.616 | (1.941) | 2.722 | 6.028 | 1.539 | (2.774) | ||
| Total from Investment Operations | 2.719 | (1.599) | 3.103 | 6.268 | 1.843 | (2.466) | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.389) | (.403) | (.253) | (.268) | (.293) | (.494) | ||
| Distributions from Realized Capital Gains | — | (.928) | — | — | — | — | ||
| Total Distributions | (.389) | (1.331) | (.253) | (.268) | (.293) | (.494) | ||
| Net Asset Value, End of Period | $30.63 | $28.30 | $31.23 | $28.38 | $22.38 | $20.83 | ||
| Total Return2 | 9.57% | -4.58% | 10.97% | 28.43% | 8.95% | -10.46% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $7,303 | $7,056 | $8,074 | $7,731 | $6,700 | $7,172 | ||
| Ratio of Total Expenses to | ||||||||
| Average Net Assets3 | 0.44% | 0.43% | 0.45% | 0.45% | 0.46% | 0.47% | ||
| Ratio of Net Investment Income to | ||||||||
| Average Net Assets | 0.67% | 1.23% | 1.25% | 1.01% | 1.47% | 1.34% | ||
| Portfolio Turnover Rate | 8% | 13% | 16% | 15% | 29% | 29% | ||
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 | Includes performance-based investment advisory fee increases (decreases) of 0.04%, 0.03%, 0.03%, 0.03%, 0.04%, and 0.03%. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
International Growth Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $90.05 | $99.45 | $90.24 | $71.19 | $66.28 | $75.70 | ||
| Investment Operations | ||||||||
| Net Investment Income | .3761 | 1.2031 | 1.3651 | .8791 | 1.062 | 1.088 | ||
| Net Realized and Unrealized Gain (Loss) | ||||||||
| on Investments | 8.332 | (6.230) | 8.652 | 19.127 | 4.877 | (8.821) | ||
| Total from Investment Operations | 8.708 | (5.027) | 10.017 | 20.006 | 5.939 | (7.733) | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (1.338) | (1.418) | (.807) | (.956) | (1.029) | (1.687) | ||
| Distributions from Realized Capital Gains | — | (2.955) | — | — | — | — | ||
| Total Distributions | (1.338) | (4.373) | (.807) | (.956) | (1.029) | (1.687) | ||
| Net Asset Value, End of Period | $97.42 | $90.05 | $99.45 | $90.24 | $71.19 | $66.28 | ||
| Total Return2 |
9.63% | -4.50% | 11.14% | 28.57% | 9.07% | -10.32% | ||
| Ratios/Supplemental Data |
||||||||
| Net Assets, End of Period (Millions) | $31,845 | $28,549 | $29,170 | $23,101 | $15,704 | $13,752 | ||
| Ratio of Total Expenses to | ||||||||
| Average Net Assets3 | 0.33% | 0.32% | 0.32% | 0.32% | 0.33% | 0.34% | ||
| Ratio of Net Investment Income to | ||||||||
| Average Net Assets | 0.77% | 1.34% | 1.38% | 1.14% | 1.60% | 1.47% | ||
| Portfolio Turnover Rate | 8% | 13% | 16% | 15% | 29% | 29% | ||
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 | Includes performance-based investment advisory fee increases (decreases) of 0.04%, 0.03%, 0.03%, 0.03%, 0.04%, and 0.03%. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
International Growth Fund
Notes to Financial Statements
Vanguard International Growth Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
14
International Growth Fund
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts or to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments.
The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended February 29, 2020, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
15
International Growth Fund
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
7. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
8. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
16
International Growth Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
9. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Withholding taxes on foreign dividends and capital gains have been provided for in accordance with the fund’s understanding of the applicable countries’ tax rules and rates. The fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Such tax reclaims received during the year, if any, are included in dividend income. No other amounts for additional tax reclaims are reflected in the financial statements due to their uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The investment advisory firms Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc. each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc. are subject to quarterly adjustments based on performance relative to the MSCI All Country World Index ex USA for the preceding three years.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended February 29, 2020, the aggregate investment advisory fee represented an effective annual basic rate of 0.14% of the fund’s average net assets, before an increase of $7,458,000 (0.04%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs);
17
International Growth Fund
the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $1,770,000, representing less than 0.01% of the fund’s net assets and 0.71% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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 and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks—North and South America | 5,009,547 | — | — | 5,009,547 |
| Common Stocks—Other | 4,945,971 | 28,400,603 | 48,934 | 33,395,508 |
| Preferred Stocks | — | — | 161,626 | 161,626 |
| Temporary Cash Investments | 951,207 | 30,012 | — | 981,219 |
| Total | 10,906,725 | 28,430,615 | 210,560 | 39,547,900 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Forward Currency Contracts | — | 238 | — | 238 |
| Liabilities | ||||
| Futures Contracts1 | 1,972 | — | — | 1,972 |
| Forward Currency Contracts | — | 6,256 | — | 6,256 |
| Total | 1,972 | 6,256 | — | 8,228 |
1 Represents variation margin on the last day of the reporting period.
18
International Growth Fund
E. At February 29, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | |||
| Equity | Exchange | ||
| Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) |
| Unrealized Appreciation—Forward Currency Contracts | — | 238 | 238 |
| Total Assets | — | 238 | 238 |
| Variation Margin Payable—Futures Contracts | 1,972 | — | 1,972 |
| Unrealized Depreciation—Forward Currency Contracts | — | 6,256 | 6,256 |
| Total Liabilities | 1,972 | 6,256 | 8,228 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2020, were:
| Foreign | |||
| Equity | Exchange | ||
| Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
| Futures Contracts | 19,251 | — | 19,251 |
| Forward Currency Contracts | — | (1,388) | (1,388) |
| Realized Net Gain (Loss) on Derivatives | 19,251 | (1,388) | 17,863 |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives |
|||
| Futures Contracts | (36,661) | — | (36,661) |
| Forward Currency Contracts | — | (600) | (600) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | (36,661) | (600) | (37,261) |
F. As of February 29, 2020, 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 | 26,911,097 |
| Gross Unrealized Appreciation | 14,984,333 |
| Gross Unrealized Depreciation | (2,391,520) |
| Net Unrealized Appreciation (Depreciation) | 12,592,813 |
G. During the six months ended February 29, 2020, the fund purchased $3,206,412,000 of investment securities and sold $3,109,983,000 of investment securities, other than temporary cash investments.
19
International Growth Fund
H. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||||
| February 29, 2020 | August 31, 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| Investor Shares | |||||
| Issued | 405,780 | 12,854 | 945,569 | 33,667 | |
| Issued in Lieu of Cash Distributions | 90,043 | 2,857 | 322,714 | 12,842 | |
| Redeemed | (832,383) | (26,636) | (1,553,116) | (55,661) | |
| Net Increase (Decrease)—Investor Shares | (336,560) | (10,925) | (284,833) | (9,152) | |
| Admiral Shares | |||||
| Issued | 2,644,916 | 26,488 | 5,613,299 | 63,290 | |
| Issued in Lieu of Cash Distributions | 382,469 | 3,816 | 1,174,401 | 14,695 | |
| Redeemed | (2,022,962) | (20,467) | (4,795,611) | (54,277) | |
| Net Increase (Decrease)—Admiral Shares | 1,004,423 | 9,837 | 1,992,089 | 23,708 | |
I. Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:
| Current Period Transactions | |||||||||
| Aug. 31, | Proceeds | Realized | Feb. 29, | ||||||
| 2019 | from | Net | Change in | Capital Gain | 2020 | ||||
| Market | Purchases | Securities | Gain | Unrealized | Distributions | Market | |||
| Value | at Cost | Sold | (Loss) | App. (Dep.) | Income | Received | Value | ||
| ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ||
| HelloFresh SE | 137,965 | — | — | — | 119,361 | — | — | 257,326 | |
| Home24 SE | 6,147 | — | — | — | 2,054 | — | — | 8,201 | |
| Jumia Technologies | |||||||||
| AG ADR | 74,982 | — | — | — | (47,343) | — | — | 27,639 | |
| Vanguard FTSE | |||||||||
| All-World ex-US ETF | 55,124 | — | 60,670 | 12,869 | (7,323) | 397 | — | — | |
| Vanguard Market | |||||||||
| Liquidity Fund | 1,243,718 | NA1 | NA1 | 220 | 94 | 5,002 | — | 951,207 | |
| You & Mr. Jones | 127,680 | — | — | — | 16,128 | — | — | 143,808 | |
| Total | 1,645,616 | — | 60,670 | 13,089 | 82,971 | 5,399 | — | 1,388,181 | |
1 Not applicable—purchases and sales are for temporary cash investment purposes.
20
International Growth Fund
J. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
21
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard International Growth Fund has renewed the fund’s investment advisory arrangements with Baillie Gifford Overseas Ltd. (Baillie Gifford) and Schroder Investment Management North America Inc. (Schroder Inc.), as well as the sub-advisory agreement with Schroder Investment Management North America Ltd. (Schroder Ltd.). The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
Baillie Gifford. Baillie Gifford—a unit of Baillie Gifford & Co., founded in 1908—is among the largest independently owned investment management firms in the United Kingdom. Baillie Gifford uses fundamental research to make long-term investments in companies that have above-average growth potential resulting from sustainable competitive advantages, special cultures and management, or competitive strength in underestimated technology shifts. Baillie Gifford believes that equities’ asymmetrical return pattern means that alpha is generated by focusing on the upside and the potential to earn exponential returns rather than being overly concerned with avoiding losing investments. The advisor takes a bottom-up, stock-driven approach to sector and country allocation. Baillie Gifford has advised a portion of the fund since 2003.
22
Schroder. Schroders plc, the parent company of Schroder Inc. and Schroder Ltd. (collectively, Schroder), was founded in 1804 in London, England. Schroder specializes in global equity and fixed income management and seeks to invest in securities of international companies where it has identified a significant growth gap, which is defined as forward earnings growth that is not yet recognized by the market. Schroder believes that market inefficiencies often drive material differences between underlying company fundamentals and market estimates. The advisor also believes that in-depth fundamental research, incorporating a comprehensive macroeconomic viewpoint and a robust framework of fundamental risk analysis, is the most reliable means of finding those companies and identifying the growth gap. Schroder Inc. has advised the fund since its inception in 1981, and its affiliate Schroder Ltd. has advised the fund since 2003.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each advisor’s subportfolio, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.
The board did not consider the profitability of Baillie Gifford or Schroder in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for Baillie Gifford and Schroder. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
23
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Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor.
Q812 042020 |
| Semiannual Report | February 29, 2020 |
| Vanguard FTSE Social Index Fund |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| FTSE Social Index Fund | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | |||
| Admiral™ Shares | $1,000.00 | $1,038.22 | $0.71 |
| Institutional Shares | 1,000.00 | 1,038.56 | 0.61 |
| Based on Hypothetical 5% Yearly Return | |||
| Admiral Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.27 | 0.60 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Admiral Shares and 0.12% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
FTSE Social Index Fund
Sector Diversification
As of February 29, 2020
| Basic Materials | 1.8 | % | ||
| Consumer Goods | 8.0 | |||
| Consumer Services | 9.1 | |||
| Financials | 21.1 | |||
| Health Care | 15.8 | |||
| Industrials | 9.2 | |||
| Oil & Gas | 2.2 | |||
| Technology | 31.5 | |||
| Telecommunications | 0.2 | |||
| Utilities | 1.1 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3
FTSE Social Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Common Stocks (99.9%) | |||
| Basic Materials (1.8%) | |||
| Linde plc | 200,727 | 38,341 | |
| Air Products & Chemicals Inc. | 82,133 | 18,037 | |
| Ecolab Inc. | 93,668 | 16,902 | |
| Newmont Corp. | 305,846 | 13,650 | |
| PPG Industries Inc. | 88,905 | 9,286 | |
| LyondellBasell Industries NV | 101,878 | 7,280 | |
| Nucor Corp. | 123,894 | 5,123 | |
| International Flavors & Fragrances Inc. | 40,519 | 4,853 | |
| FMC Corp. | 49,010 | 4,563 | |
| Avery Dennison Corp. | 31,040 | 3,554 | |
| Albemarle Corp. | 41,460 | 3,394 | |
| CF Industries Holdings Inc. | 85,439 | 3,149 | |
| Mosaic Co. | 144,554 | 2,462 | |
| Steel Dynamics Inc. | 86,800 | 2,312 | |
| Ashland Global Holdings Inc. | 23,558 | 1,685 | |
| Westlake Chemical Corp. | 5,400 | 302 | |
| 134,893 | |||
| Consumer Goods (8.0%) | |||
| Procter & Gamble Co. | 923,147 | 104,528 | |
| PepsiCo Inc. | 522,470 | 68,982 | |
| NIKE Inc. | 439,642 | 39,295 | |
| * | Tesla Inc. | 54,006 | 36,075 |
| Mondelez International Inc. | 529,017 | 27,932 | |
| Colgate-Palmolive Co. | 314,366 | 21,242 | |
| Kimberly-Clark Corp. | 126,400 | 16,582 | |
| Activision Blizzard Inc. | 283,129 | 16,458 | |
| Estee Lauder Cos. Inc. Class A | 81,531 | 14,969 | |
| General Motors Co. | 465,485 | 14,197 | |
| * | Electronic Arts Inc. | 108,335 | 10,982 |
| General Mills Inc. | 223,859 | 10,969 | |
| Ford Motor Co. | 1,468,447 | 10,220 | |
| * | Lululemon Athletica Inc. | 43,541 | 9,466 |
| * | Monster Beverage Corp. | 143,545 | 8,959 |
| VF Corp. | 115,343 | 8,305 | |
| Hershey Co. | 52,768 | 7,598 | |
| Aptiv plc | 96,551 | 7,542 | |
| Clorox Co. | 47,262 | 7,534 | |
| Tyson Foods Inc. | 107,554 | 7,295 | |
| DR Horton Inc. | 127,612 | 6,798 | |
| McCormick & Co. Inc. | 45,364 | 6,632 | |
| Lennar Corp. Class A | 106,241 | 6,411 | |
| Church & Dwight Co. Inc. | 91,796 | 6,382 | |
| Kraft Heinz Co. | 238,373 | 5,904 | |
| Kellogg Co. | 90,675 | 5,483 | |
| Garmin Ltd. | 55,528 | 4,908 | |
| Conagra Brands Inc. | 182,004 | 4,858 | |
| Genuine Parts Co. | 55,009 | 4,799 | |
| Lamb Weston Holdings Inc. | 54,318 | 4,720 | |
| * | Take-Two Interactive Software Inc. | 42,100 | 4,525 |
| JM Smucker Co. | 42,153 | 4,341 | |
| Hormel Foods Corp. | 102,825 | 4,278 | |
| PulteGroup Inc. | 96,580 | 3,882 | |
| * | LKQ Corp. | 118,691 | 3,511 |
| Coca-Cola European Partners plc | 65,098 | 3,317 | |
| Fortune Brands Home & Security Inc. | 52,431 | 3,238 | |
| Whirlpool Corp. | 24,718 | 3,160 | |
| Campbell Soup Co. | 62,908 | 2,838 | |
| Lear Corp. | 23,756 | 2,642 | |
| Bunge Ltd. | 55,999 | 2,629 | |
| BorgWarner Inc. | 83,090 | 2,626 | |
| Tapestry Inc. | 110,086 | 2,582 | |
| Gentex Corp. | 89,145 | 2,380 | |
| Newell Brands Inc. | 151,627 | 2,340 | |
| Autoliv Inc. | 33,745 | 2,252 | |
| * | Keurig Dr Pepper Inc. | 79,467 | 2,216 |
| PVH Corp. | 29,856 | 2,213 | |
| Ingredion Inc. | 25,946 | 2,161 | |
| Leggett & Platt Inc. | 54,179 | 2,149 | |
| Ralph Lauren Corp. | 19,437 | 2,051 | |
| Toll Brothers Inc. | 54,699 | 2,025 | |
| Hanesbrands Inc. | 148,760 | 1,970 | |
| Harley-Davidson Inc. | 60,881 | 1,855 | |
4
| FTSE Social Index Fund | |||
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Polaris Inc. | 22,190 | 1,831 | |
| * | Capri Holdings Ltd. | 61,818 | 1,596 |
| * | Herbalife Nutrition Ltd. | 42,529 | 1,376 |
| Coty Inc. | 118,300 | 1,092 | |
| * | Under Armour Inc. Class C | 81,937 | 1,023 |
| * | Under Armour Inc. Class A | 67,150 | 953 |
| * | Mohawk Industries Inc. | 6,543 | 793 |
| Goodyear Tire & Rubber Co. 4,900 | 47 | ||
| 581,917 | |||
| Consumer Services (9.0%) | |||
| Home Depot Inc. | 412,126 | 89,778 | |
| Walt Disney Co. | 654,051 | 76,949 | |
| * | Netflix Inc. | 158,181 | 58,374 |
| McDonald’s Corp. | 281,442 | 54,648 | |
| Starbucks Corp. | 441,254 | 34,608 | |
| Lowe’s Cos. Inc. | 289,212 | 30,821 | |
| CVS Health Corp. | 485,346 | 28,723 | |
| TJX Cos. Inc. | 453,352 | 27,110 | |
| * | Booking Holdings Inc. | 15,695 | 26,613 |
| Dollar General Corp. | 96,503 | 14,504 | |
| Ross Stores Inc. | 131,010 | 14,251 | |
| Sysco Corp. | 177,812 | 11,851 | |
| * | MercadoLibre Inc. | 17,000 | 10,473 |
| * | O’Reilly Automotive Inc. | 27,995 | 10,322 |
| Delta Air Lines Inc. | 211,559 | 9,759 | |
| McKesson Corp. | 67,704 | 9,469 | |
| * | AutoZone Inc. | 8,941 | 9,232 |
| Southwest Airlines Co. | 173,550 | 8,016 | |
| * | Dollar Tree Inc. | 90,676 | 7,529 |
| * | Chipotle Mexican Grill Inc. | 9,534 | 7,375 |
| Best Buy Co. Inc. | 84,723 | 6,409 | |
| * | Copart Inc. | 74,200 | 6,268 |
| Tiffany & Co. | 45,327 | 6,055 | |
| Yum China Holdings Inc. | 137,582 | 6,025 | |
| Omnicom Group Inc. | 81,733 | 5,663 | |
| * | Ulta Beauty Inc. | 21,539 | 5,538 |
| * | CarMax Inc. | 61,464 | 5,366 |
| * | United Airlines Holdings Inc. | 86,200 | 5,309 |
| Expedia Group Inc. | 53,590 | 5,285 | |
| Domino’s Pizza Inc. | 15,500 | 5,262 | |
| AmerisourceBergen Corp. Class A | 57,248 | 4,827 | |
| Darden Restaurants Inc. | 46,233 | 4,508 | |
| Fox Corp. Class A | 133,766 | 4,112 | |
| Tractor Supply Co. | 45,438 | 4,022 | |
| Advance Auto Parts Inc. | 25,725 | 3,421 | |
| Vail Resorts Inc. | 15,200 | 3,232 | |
| * | Discovery Communications Inc. | 127,898 | 3,210 |
| Aramark | 91,717 | 3,186 | |
| Interpublic Group of Cos. Inc. | 147,713 | 3,155 | |
| American Airlines Group Inc. | 156,450 | 2,980 | |
| Kohl’s Corp. | 65,266 | 2,555 | |
| Alaska Air Group Inc. | 43,454 | 2,193 | |
| Rollins Inc. | 56,700 | 2,123 | |
| Fox Corp. Class B | 65,672 | 2,000 | |
| L Brands Inc. | 91,139 | 1,974 | |
| Wyndham Hotels & Resorts Inc. | 36,700 | 1,870 | |
| H&R Block Inc. | 77,806 | 1,608 | |
| Foot Locker Inc. | 44,268 | 1,605 | |
| ^ | Nordstrom Inc. | 45,431 | 1,576 |
| ^,* | Discovery Inc. | 59,666 | 1,533 |
| Gap Inc. | 96,493 | 1,383 | |
| Nielsen Holdings plc | 17,959 | 327 | |
| Macy’s Inc. | 1,700 | 23 | |
| 655,008 | |||
| Financials (21.1%) | |||
| JPMorgan Chase & Co. | 1,163,278 | 135,068 | |
| Visa Inc. | 641,118 | 116,530 | |
| Mastercard Inc. | 331,542 | 96,230 | |
| Bank of America Corp. | 3,041,141 | 86,673 | |
| Wells Fargo & Co. | 1,426,565 | 58,275 | |
| Citigroup Inc. | 816,357 | 51,806 | |
| American Tower Corp. | 164,605 | 37,332 | |
| American Express Co. | 250,852 | 27,576 | |
| CME Group Inc. | 132,365 | 26,317 | |
| US Bancorp | 528,131 | 24,526 | |
| Chubb Ltd. | 168,037 | 24,370 | |
| S&P Global Inc. | 91,643 | 24,369 | |
| Goldman Sachs Group Inc. | 119,783 | 24,049 | |
| Truist Financial Corp. | 501,273 | 23,129 | |
| Prologis Inc. | 273,998 | 23,093 | |
| Crown Castle International Corp. | 155,494 | 22,281 | |
| BlackRock Inc. | 44,217 | 20,473 | |
| PNC Financial Services Group Inc. | 161,398 | 20,401 | |
| Marsh & McLennan Cos. Inc. | 188,401 | 19,699 | |
| Morgan Stanley | 436,986 | 19,678 | |
| Intercontinental Exchange Inc. | 204,632 | 18,257 | |
| Equinix Inc. | 31,751 | 18,187 | |
| Aon plc | 86,663 | 18,026 | |
| Charles Schwab Corp. | 432,826 | 17,638 | |
| Progressive Corp. | 218,770 | 16,005 | |
| Capital One Financial Corp. | 174,262 | 15,380 | |
| Moody’s Corp. | 61,180 | 14,685 | |
| Simon Property Group Inc. | 117,546 | 14,468 | |
| American International Group Inc. | 327,348 | 13,801 | |
| MetLife Inc. | 289,520 | 12,368 | |
| Allstate Corp. | 117,398 | 12,356 | |
5
| FTSE Social Index Fund | |||
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Bank of New York Mellon Corp. | 308,962 | 12,328 | |
| Prudential Financial Inc. | 154,685 | 11,671 | |
| Aflac Inc. | 270,482 | 11,590 | |
| Travelers Cos. Inc. | 96,605 | 11,574 | |
| Public Storage | 55,227 | 11,549 | |
| Welltower Inc. | 152,237 | 11,390 | |
| SBA Communications Corp. | 42,300 | 11,213 | |
| IHS Markit Ltd. | 146,729 | 10,453 | |
| AvalonBay Communities Inc. | 51,841 | 10,399 | |
| Equity Residential | 134,515 | 10,102 | |
| T. Rowe Price Group Inc. | 83,698 | 9,877 | |
| Digital Realty Trust Inc. | 78,596 | 9,440 | |
| State Street Corp. | 137,363 | 9,356 | |
| MSCI Inc. | 30,950 | 9,144 | |
| Realty Income Corp. | 122,162 | 8,843 | |
| Discover Financial Services | 118,777 | 7,789 | |
| Ventas Inc. | 141,198 | 7,592 | |
| Boston Properties Inc. | 57,467 | 7,410 | |
| Weyerhaeuser Co. | 283,365 | 7,362 | |
| * | CBRE Group Inc. | 126,074 | 7,078 |
| Synchrony Financial | 241,753 | 7,035 | |
| M&T Bank Corp. | 48,739 | 6,842 | |
| Hartford Financial Services Group Inc. | 133,725 | 6,680 | |
| Ameriprise Financial Inc. | 47,246 | 6,676 | |
| Arthur J Gallagher & Co. | 67,789 | 6,609 | |
| Equifax Inc. | 46,018 | 6,536 | |
| Northern Trust Corp. | 74,110 | 6,504 | |
| Alexandria Real Estate Equities Inc. | 42,500 | 6,455 | |
| Fifth Third Bancorp | 264,382 | 6,451 | |
| First Republic Bank | 62,637 | 6,299 | |
| KeyCorp | 369,473 | 6,041 | |
| Healthpeak Properties Inc. | 185,750 | 5,877 | |
| * | Markel Corp. | 4,952 | 5,851 |
| Invitation Homes Inc. | 197,741 | 5,673 | |
| * | Arch Capital Group Ltd. | 139,172 | 5,627 |
| Citizens Financial Group Inc. | 165,641 | 5,249 | |
| Annaly Capital Management Inc. | 591,333 | 5,239 | |
| Mid-America Apartment Communities Inc. | 40,126 | 5,187 | |
| Cincinnati Financial Corp. | 55,551 | 5,180 | |
| Regions Financial Corp. | 369,283 | 4,993 | |
| Huntington Bancshares Inc. | 393,437 | 4,828 | |
| UDR Inc. | 106,833 | 4,805 | |
| Principal Financial Group Inc. | 106,245 | 4,716 | |
| Duke Realty Corp. | 136,602 | 4,436 | |
| Loews Corp. | 95,455 | 4,356 | |
| TD Ameritrade Holding Corp. | 102,860 | 4,344 | |
| * | SVB Financial Group | 20,700 | 4,309 |
| Nasdaq Inc. | 41,856 | 4,292 | |
| E*TRADE Financial Corp. | 89,298 | 4,088 | |
| Host Hotels & Resorts Inc. | 280,900 | 4,068 | |
| Raymond James Financial Inc. | 47,566 | 3,978 | |
| Fidelity National Financial Inc. | 97,913 | 3,795 | |
| Regency Centers Corp. | 64,602 | 3,711 | |
| Ally Financial Inc. | 147,348 | 3,694 | |
| Everest Re Group Ltd. | 14,901 | 3,694 | |
| Lincoln National Corp. | 81,283 | 3,690 | |
| Brown & Brown Inc. | 85,500 | 3,677 | |
| VEREIT Inc | 416,494 | 3,607 | |
| Globe Life Inc. | 38,905 | 3,605 | |
| WR Berkley Corp. | 53,531 | 3,594 | |
| Western Union Co. | 158,027 | 3,538 | |
| AGNC Investment Corp. | 206,890 | 3,525 | |
| * | Alleghany Corp. | 5,168 | 3,474 |
| Vornado Realty Trust | 64,258 | 3,443 | |
| Iron Mountain Inc. | 113,024 | 3,437 | |
| * | Equitable Holdings Inc. | 157,911 | 3,379 |
| Comerica Inc. | 59,404 | 3,127 | |
| Kimco Realty Corp. | 157,944 | 2,740 | |
| RenaissanceRe Holdings Ltd. | 16,035 | 2,732 | |
| Zions Bancorp NA | 67,346 | 2,691 | |
| Assurant Inc. | 22,118 | 2,667 | |
| Voya Financial Inc. | 50,153 | 2,640 | |
| People’s United Financial Inc. | 187,025 | 2,617 | |
| * | Zillow Group Inc. Class C | 46,300 | 2,584 |
| SEI Investments Co. | 46,031 | 2,518 | |
| SL Green Realty Corp. | 31,818 | 2,496 | |
| Franklin Resources Inc. | 111,400 | 2,424 | |
| Invesco Ltd. | 157,941 | 2,274 | |
| Commerce Bancshares Inc. | 34,817 | 2,125 | |
| Old Republic International Corp. | 106,100 | 2,092 | |
| Unum Group | 85,698 | 1,998 | |
| Jefferies Financial Group Inc. | 100,800 | 1,987 | |
| New York Community Bancorp Inc. | 181,779 | 1,965 | |
| Park Hotels & Resorts Inc. | 106,100 | 1,937 | |
| Axis Capital Holdings Ltd. | 30,562 | 1,715 | |
| CIT Group Inc. | 41,100 | 1,632 | |
6
FTSE Social Index Fund
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Affiliated Managers Group Inc. | 21,500 | 1,617 | |
| Janus Henderson Group plc | 62,000 | 1,314 | |
| Service Properties Trust | 71,798 | 1,298 | |
| * | Zillow Group Inc. Class A | 22,050 | 1,228 |
| ^ | Santander Consumer USA Holdings Inc. | 38,498 | 939 |
| CNA Financial Corp. | 9,900 | 412 | |
| Macerich Co. | 3,100 | 63 | |
| 1,526,125 | |||
| Health Care (15.8%) | |||
| Johnson & Johnson | 994,461 | 133,735 | |
| UnitedHealth Group Inc. | 353,943 | 90,241 | |
| Merck & Co. Inc. | 954,665 | 73,089 | |
| Pfizer Inc. | 2,086,536 | 69,732 | |
| Bristol-Myers Squibb Co. | 876,296 | 51,754 | |
| Medtronic plc | 501,961 | 50,532 | |
| Abbott Laboratories | 645,194 | 49,699 | |
| AbbVie Inc. | 554,829 | 47,554 | |
| Amgen Inc. | 224,572 | 44,854 | |
| Eli Lilly & Co. | 318,733 | 40,202 | |
| Gilead Sciences Inc. | 478,841 | 33,212 | |
| Cigna Corp. | 137,546 | 25,163 | |
| Stryker Corp. | 129,210 | 24,626 | |
| Anthem Inc. | 95,275 | 24,494 | |
| Becton Dickinson and Co. | 100,793 | 23,971 | |
| Zoetis Inc. | 179,066 | 23,857 | |
| Allergan plc | 122,843 | 23,422 | |
| * | Intuitive Surgical Inc. | 43,169 | 23,051 |
| * | Vertex Pharmaceuticals Inc. | 96,410 | 21,599 |
| * | Biogen Inc. | 67,645 | 20,861 |
| * | Boston Scientific Corp. | 522,675 | 19,543 |
| * | Edwards Lifesciences Corp. | 78,013 | 15,980 |
| Humana Inc. | 49,696 | 15,887 | |
| Baxter International Inc. | 181,246 | 15,129 | |
| * | Illumina Inc. | 55,565 | 14,762 |
| * | Regeneron Pharmaceuticals Inc. | 30,815 | 13,699 |
| HCA Healthcare Inc. | 101,566 | 12,900 | |
| * | Centene Corp. | 217,988 | 11,558 |
| Zimmer Biomet Holdings Inc. | 76,972 | 10,480 | |
| * | IQVIA Holdings Inc. | 67,067 | 9,355 |
| ResMed Inc. | 52,324 | 8,317 | |
| * | IDEXX Laboratories Inc. | 32,091 | 8,168 |
| * | Alexion Pharmaceuticals Inc. | 81,298 | 7,644 |
| * | Align Technology Inc. | 29,748 | 6,495 |
| * | Laboratory Corp. of America Holdings | 36,057 | 6,335 |
| * | BioMarin Pharmaceutical Inc. | 68,414 | 6,183 |
| Cooper Cos. Inc. | 18,519 | 6,011 | |
| Cardinal Health Inc. | 113,313 | 5,906 | |
| Teleflex Inc. | 17,400 | 5,829 | |
| Quest Diagnostics Inc. | 49,197 | 5,218 | |
| * | Incyte Corp. | 67,756 | 5,109 |
| * | Hologic Inc. | 102,627 | 4,836 |
| * | Alnylam Pharmaceuticals Inc. | 40,688 | 4,787 |
| * | Varian Medical Systems Inc. | 35,463 | 4,361 |
| Dentsply Sirona Inc. | 84,399 | 4,156 | |
| Universal Health Services Inc. | 29,670 | 3,671 | |
| * | Mylan NV | 202,435 | 3,480 |
| * | Henry Schein Inc. | 54,554 | 3,325 |
| * | DaVita Inc. | 37,023 | 2,874 |
| Perrigo Co. plc | 49,108 | 2,489 | |
| * | Jazz Pharmaceuticals plc | 21,154 | 2,424 |
| * | ABIOMED Inc. | 1,980 | 298 |
| * | Alkermes plc | 1,400 | 29 |
| 1,142,886 | |||
| Industrials (9.2%) | |||
| * | PayPal Holdings Inc. | 441,467 | 47,674 |
| Accenture plc Class A | 237,313 | 42,856 | |
| Union Pacific Corp. | 260,759 | 41,672 | |
| Fidelity National Information Services Inc. | 228,707 | 31,955 | |
| Automatic Data Processing Inc. | 162,846 | 25,199 | |
| United Parcel Service Inc. | 261,649 | 23,677 | |
| * | Fiserv Inc. | 211,436 | 23,123 |
| Global Payments Inc. | 111,824 | 20,572 | |
| Illinois Tool Works Inc. | 117,934 | 19,787 | |
| CSX Corp. | 279,926 | 19,721 | |
| Deere & Co. | 118,196 | 18,495 | |
| Norfolk Southern Corp. | 98,293 | 17,924 | |
| Waste Management Inc. | 157,214 | 17,421 | |
| Sherwin-Williams Co. | 30,984 | 16,011 | |
| Eaton Corp. plc | 154,574 | 14,023 | |
| FedEx Corp. | 93,021 | 13,132 | |
| * | Square Inc. | 129,800 | 10,816 |
| Johnson Controls International plc | 291,469 | 10,659 | |
| Amphenol Corp. Class A | 108,400 | 9,938 | |
| Verisk Analytics Inc. | 59,815 | 9,278 | |
| * | CoStar Group Inc. | 13,600 | 9,079 |
| Willis Towers Watson plc | 47,946 | 9,074 | |
| Agilent Technologies Inc. | 116,825 | 9,004 | |
| * | FleetCor Technologies Inc. | 32,300 | 8,585 |
| Ball Corp. | 120,189 | 8,468 | |
| Cummins Inc. | 55,884 | 8,455 | |
| PACCAR Inc. | 125,679 | 8,408 | |
| Stanley Black & Decker Inc. | 57,605 | 8,278 | |
7
| FTSE Social Index Fund | |||
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Rockwell Automation Inc. | 43,568 | 7,995 | |
| Fortive Corp. | 111,976 | 7,744 | |
| Fastenal Co. | 216,486 | 7,408 | |
| Republic Services Inc. | 75,632 | 6,826 | |
| * | Keysight Technologies Inc. | 70,666 | 6,696 |
| * | Mettler-Toledo International Inc. | 9,087 | 6,376 |
| TransUnion | 70,600 | 6,278 | |
| Vulcan Materials Co. | 49,606 | 5,966 | |
| Kansas City Southern | 36,651 | 5,523 | |
| Dover Corp. | 53,018 | 5,447 | |
| Martin Marietta Materials Inc. | 23,390 | 5,322 | |
| Xylem Inc. | 67,753 | 5,240 | |
| * | Waters Corp. | 24,509 | 4,777 |
| Westinghouse Air Brake Technologies Corp. | 68,001 | 4,672 | |
| Old Dominion Freight Line Inc. | 24,050 | 4,661 | |
| WW Grainger Inc. | 16,347 | 4,537 | |
| Expeditors International of Washington Inc. | 64,387 | 4,534 | |
| Masco Corp. | 109,500 | 4,524 | |
| Broadridge Financial Solutions Inc. | 42,988 | 4,486 | |
| Arconic Inc. | 143,689 | 4,217 | |
| Allegion plc | 34,659 | 3,985 | |
| * | United Rentals Inc. | 29,309 | 3,883 |
| * | Trimble Inc. | 94,650 | 3,737 |
| ^ | CH Robinson Worldwide Inc. | 51,397 | 3,541 |
| Packaging Corp. of America | 35,420 | 3,210 | |
| JB Hunt Transport Services Inc. | 32,551 | 3,139 | |
| Snap-on Inc. | 20,019 | 2,898 | |
| * | XPO Logistics Inc. | 34,500 | 2,552 |
| * | Sensata Technologies Holding plc | 62,077 | 2,533 |
| Robert Half International Inc. | 46,107 | 2,324 | |
| * | Flex Ltd. | 199,000 | 2,211 |
| Xerox Holdings Corp. | 67,017 | 2,158 | |
| * | Arrow Electronics Inc. | 31,588 | 2,118 |
| MDU Resources Group Inc. | 74,815 | 2,075 | |
| Sealed Air Corp. | 61,737 | 1,871 | |
| ManpowerGroup Inc. | 23,911 | 1,816 | |
| Jabil Inc. | 56,155 | 1,800 | |
| Acuity Brands Inc. | 15,938 | 1,639 | |
| nVent Electric plc | 60,900 | 1,462 | |
| Avnet Inc. | 39,384 | 1,208 | |
| Alliance Data Systems Corp. | 700 | 60 | |
| 666,733 | |||
| Oil & Gas (2.2%) | |||
| ConocoPhillips | 423,228 | 20,493 | |
| Kinder Morgan Inc. | 757,165 | 14,515 | |
| EOG Resources Inc. | 228,829 | 14,476 | |
| Phillips 66 | 172,800 | 12,936 | |
| Marathon Petroleum Corp. | 246,948 | 11,710 | |
| Occidental Petroleum Corp. | 348,832 | 11,421 | |
| ONEOK Inc. | 160,881 | 10,734 | |
| Valero Energy Corp. | 157,815 | 10,455 | |
| Williams Cos. Inc. | 483,636 | 9,213 | |
| Pioneer Natural Resources Co. | 66,002 | 8,104 | |
| Hess Corp. | 107,300 | 6,028 | |
| Concho Resources Inc. | 81,959 | 5,575 | |
| Diamondback Energy Inc. | 68,250 | 4,231 | |
| Baker Hughes Co. | 256,612 | 4,129 | |
| Targa Resources Corp. | 102,321 | 3,315 | |
| Marathon Oil Corp. | 376,741 | 3,119 | |
| HollyFrontier Corp. | 63,560 | 2,141 | |
| Helmerich & Payne Inc. | 50,879 | 1,877 | |
| Murphy Oil Corp. | 73,299 | 1,381 | |
| Apache Corp. | 51,328 | 1,279 | |
| Devon Energy Corp. | 36,509 | 593 | |
| Cabot Oil & Gas Corp. | 7,100 | 99 | |
| 157,824 | |||
| Technology (31.5%) | |||
| Microsoft Corp. | 2,831,248 | 458,690 | |
| Apple Inc. | 1,664,295 | 454,952 | |
| * | Facebook Inc. | 895,317 | 172,322 |
| * | Alphabet Inc. Class C | 112,796 | 151,071 |
| * | Alphabet Inc. Class A | 111,651 | 149,529 |
| Intel Corp. | 1,628,497 | 90,414 | |
| Cisco Systems Inc. | 1,605,585 | 64,111 | |
| * | Adobe Inc. | 181,810 | 62,746 |
| NVIDIA Corp. | 218,589 | 59,034 | |
| * | salesforce.com Inc. | 315,201 | 53,710 |
| Texas Instruments Inc. | 349,575 | 39,900 | |
| Broadcom Inc. | 144,724 | 39,455 | |
| Oracle Corp. | 767,921 | 37,981 | |
| QUALCOMM Inc. | 428,049 | 33,516 | |
| Intuit Inc. | 92,938 | 24,708 | |
| * | ServiceNow Inc. | 69,893 | 22,791 |
| * | Micron Technology Inc. | 415,090 | 21,817 |
| Applied Materials Inc. | 344,412 | 20,017 | |
| * | Advanced Micro Devices Inc. | 385,161 | 17,517 |
| Lam Research Corp. | 53,771 | 15,778 | |
| * | Autodesk Inc. | 82,624 | 15,771 |
| Analog Devices Inc. | 138,300 | 15,082 | |
| Cognizant Technology Solutions Corp. | 207,937 | 12,670 | |
8
| FTSE Social Index Fund | |||
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| NXP Semiconductors NV | 104,248 | 11,852 | |
| HP Inc. | 553,687 | 11,511 | |
| * | Workday Inc. | 61,406 | 10,639 |
| Motorola Solutions Inc. | 63,486 | 10,518 | |
| * | Twitter Inc. | 286,999 | 9,528 |
| KLA Corp. | 59,550 | 9,153 | |
| * | Splunk Inc. | 58,458 | 8,613 |
| Cerner Corp. | 116,972 | 8,103 | |
| Xilinx Inc. | 96,475 | 8,055 | |
| Microchip Technology Inc. | 88,100 | 7,992 | |
| * | Synopsys Inc. | 56,015 | 7,726 |
| * | VeriSign Inc. | 40,039 | 7,597 |
| Corning Inc. | 292,305 | 6,974 | |
| * | Cadence Design Systems Inc. | 104,500 | 6,912 |
| * | Palo Alto Networks Inc. | 35,818 | 6,613 |
| Skyworks Solutions Inc. | 64,147 | 6,426 | |
| Hewlett Packard Enterprise Co. | 500,961 | 6,407 | |
| Western Digital Corp. | 112,423 | 6,246 | |
| CDW Corp. | 53,108 | 6,066 | |
| Maxim Integrated Products Inc. | 101,396 | 5,640 | |
| Marvell Technology Group Ltd. | 255,400 | 5,440 | |
| * | Akamai Technologies Inc. | 60,103 | 5,200 |
| Citrix Systems Inc. | 45,838 | 4,739 | |
| * | GoDaddy Inc. | 66,800 | 4,675 |
| Seagate Technology plc | 97,471 | 4,674 | |
| SS&C Technologies Holdings Inc. | 83,700 | 4,645 | |
| * | Yandex NV | 109,720 | 4,456 |
| * | Qorvo Inc. | 43,700 | 4,395 |
| * | Arista Networks Inc. | 22,642 | 4,373 |
| * | Check Point Software Technologies Ltd. | 42,058 | 4,366 |
| * | Gartner Inc. | 33,600 | 4,347 |
| NetApp Inc. | 92,465 | 4,320 | |
| NortonLifeLock Inc. | 216,083 | 4,112 | |
| * | VMware Inc. | 29,174 | 3,516 |
| Amdocs Ltd. | 48,525 | 3,093 | |
| * | PTC Inc. | 40,300 | 3,045 |
| * | F5 Networks Inc. | 23,444 | 2,812 |
| Juniper Networks Inc. | 129,625 | 2,751 | |
| DXC Technology Co. | 107,905 | 2,602 | |
| * | Dell Technologies Inc. | 58,253 | 2,357 |
| CDK Global Inc. | 47,850 | 2,202 | |
| 2,278,273 | |||
| Telecommunications (0.2%) | |||
| * | T-Mobile US Inc. | 117,014 | 10,550 |
| * | Sprint Corp. | 224,941 | 2,067 |
| 12,617 | |||
| Utilities (1.1%) | |||
| WEC Energy Group Inc. | 116,320 | 10,740 | |
| Eversource Energy | 120,484 | 10,417 | |
| Consolidated Edison Inc. | 124,025 | 9,776 | |
| PPL Corp. | 273,037 | 8,194 | |
| American Water Works Co. Inc. | 65,197 | 8,062 | |
| CMS Energy Corp. | 104,805 | 6,332 | |
| Evergy Inc. | 84,800 | 5,542 | |
| Alliant Energy Corp. | 88,400 | 4,607 | |
| CenterPoint Energy Inc. | 198,916 | 4,579 | |
| AES Corp. | 252,900 | 4,231 | |
| NiSource Inc. | 144,292 | 3,899 | |
| Avangrid Inc. | 20,659 | 1,026 | |
| 77,405 | |||
| Total Common Stocks (Cost $5,558,295) | 7,233,681 | ||
| Temporary Cash Investments (0.1%) | |||
| Money Market Fund (0.1%) | |||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 28,289 | 2,830 |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 3 | United States Treasury Bill, 1.527%–1.541%, 4/30/20 | 1,240 | 1,237 |
| Total Temporary Cash Investments (Cost $4,066) | 4,067 | ||
| Total Investments (100.0%) (Cost $5,562,361) | 7,237,748 | ||
| Other Assets and Liabilities—Net (0.0%)2 | 116 | ||
| Net Assets (100%) | 7,237,864 | ||
Cost rounded to $000.
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,642,000. |
| 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. |
| 2 | Collateral of $2,788,000 was received for securities on loan. |
| 3 | Securities with a value of $589,000 have been segregated as initial margin for open futures contracts. |
9
FTSE Social Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000 | ) | ||||
| Value and | |||||
| Number of | Unrealized | ||||
| Long (Short) | Notional | Appreciation | |||
| Expiration | Contracts | Amount | (Depreciation | ) | |
| Long Futures Contracts | |||||
| E-mini S&P 500 Index | March 2020 | 61 | 9,001 | (401 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
10
FTSE Social Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,559,532) | 7,234,918 |
| Affiliated Issuers (Cost $2,829) | 2,830 |
| Total Investments in Securities | 7,237,748 |
| Investment in Vanguard | 337 |
| Receivables for Investment Securities Sold | 19,626 |
| Receivables for Accrued Income | 11,071 |
| Receivables for Capital Shares Issued | 14,433 |
| Total Assets | 7,283,215 |
| Liabilities | |
| Due to Custodian | 8,531 |
| Payables for Investment Securities Purchased | 36 |
| Collateral for Securities on Loan | 2,788 |
| Payables for Capital Shares Redeemed | 32,867 |
| Payables to Vanguard | 1,043 |
| Variation Margin Payable—Futures Contracts | 86 |
| Total Liabilities | 45,351 |
| Net Assets | 7,237,864 |
|
At February 29, 2020, net assets consisted of: |
|
| Paid-in Capital | 5,596,464 |
| Total Distributable Earnings (Loss) | 1,641,400 |
| Net Assets | 7,237,864 |
| Admiral Shares—Net Assets | |
| Applicable to 147,151,805 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,130,942 |
| Net Asset Value Per Share—Admiral Shares | $28.07 |
| Institutional Shares—Net Assets | |
| Applicable to 153,743,565 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,106,922 |
| Net Asset Value Per Share—Institutional Shares | $20.21 |
See accompanying Notes, which are an integral part of the Financial Statements.
11
FTSE Social Index Fund
Statement of Operations
| Six Months Ended | |||
| February 29, 2020 | |||
| ($000 | ) | ||
| Investment Income | |||
| Income | |||
| Dividends | 63,679 | ||
| Interest1 | 175 | ||
| Securities Lending—Net | 23 | ||
| Total Income | 63,877 | ||
| Expenses | |||
| The Vanguard Group—Note B | |||
| Investment Advisory Services | 518 | ||
| Management and Administrative—Investor Shares | 9 | ||
| Management and Administrative—Admiral Shares | 2,392 | ||
| Management and Administrative—Institutional Shares | 1,521 | ||
| Marketing and Distribution—Admiral Shares | 94 | ||
| Marketing and Distribution—Institutional Shares | 69 | ||
| Custodian Fees | 34 | ||
| Shareholders’ Reports—Admiral Shares | 23 | ||
| Shareholders’ Reports—Institutional Shares | 20 | ||
| Trustees’ Fees and Expenses | 2 | ||
| Total Expenses | 4,682 | ||
| Net Investment Income | 59,195 | ||
| Realized Net Gain (Loss) | |||
| Investment Securities Sold1 | (18,191 | ) | |
| Futures Contracts | 535 | ||
| Realized Net Gain (Loss) | (17,656 | ) | |
| Change in Unrealized Appreciation (Depreciation) | |||
| Investment Securities1 | 149,228 | ||
| Futures Contracts | (560 | ) | |
| Change in Unrealized Appreciation (Depreciation) | 148,668 | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 190,207 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $171,000, $6,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
FTSE Social Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 59,195 | 86,372 | ||||||
| Realized Net Gain (Loss) | (17,656 | ) | 229,971 | |||||
| Change in Unrealized Appreciation (Depreciation) | 148,668 | (79,504 | ) | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 190,207 | 236,839 | ||||||
| Distributions1 | ||||||||
| Investor Shares | (124 | ) | (40,288 | ) | ||||
| Admiral Shares | (33,563 | ) | (8,771 | ) | ||||
| Institutional Shares | (26,193 | ) | (36,429 | ) | ||||
| Total Distributions | (59,880 | ) | (85,488 | ) | ||||
| Capital Share Transactions | ||||||||
| Investor Shares | (59,575 | ) | (2,824,591 | ) | ||||
| Admiral Shares | 581,925 | 3,456,334 | ||||||
| Institutional Shares | 348,045 | 288,120 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | 870,395 | 919,863 | ||||||
| Total Increase (Decrease) | 1,000,722 | 1,071,214 | ||||||
| Net Assets | ||||||||
| Beginning of Period | 6,237,142 | 5,165,928 | ||||||
| End of Period | 7,237,864 | 6,237,142 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
FTSE Social Index Fund
Financial Highlights
Investor Shares
| September 1, | |||||||
| 2019 to | Year Ended August 31, | ||||||
| For a Share Outstanding | November 7, | ||||||
| Throughout Each Period | 20191 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $19.62 | $19.27 | $16.14 | $13.95 | $12.99 | $12.74 | |
Investment Operations
| Net Investment Income | .0642 | .2932 | .2902 | .2562 | .241 | .183 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.140 | .362 | 3.108 | 2.175 | 1.025 | .231 | |
| Total from Investment Operations | 1.204 | .655 | 3.398 | 2.431 | 1.266 | .414 | |
| Distributions | |||||||
| Dividends from Net Investment Income | (.084) | (.305) | (.268) | (.241) | (.306) | (.164) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (.084) | (.305) | (.268) | (.241) | (.306) | (.164) | |
| Net Asset Value, End of Period | $20.741 | $19.62 | $19.27 | $16.14 | $13.95 | $12.99 | |
| Total Return3 | 6.15% | 3.53% | 21.27% | 17.61% | 9.95% | 3.25% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $— | $59 | $2,817 | $1,952 | $1,435 | $1,131 | |
| Ratio of Total Expenses to Average Net Assets | 0.18% | 0.18% | 0.18% | 0.20% | 0.22% | 0.25% | |
| Ratio of Net Investment Income to Average Net Assets | 1.71% | 1.43% | 1.65% | 1.71% | 1.87% | 1.63% | |
| Portfolio Turnover Rate | 2%4 | 11%5 | 8%5 | 11%5 | 16%5 | 20%5 |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Net asset value as of November 7, 2019, on which date the remaining Investor Shares were converted to Admiral Shares. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Reflects the fund’s portfolio turnover for the six months ended February 29, 2020. |
| 5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
FTSE Social Index Fund
Financial Highlights
Admiral Shares
| Six Months | Feb. 7, | |
| Ended | 20191 to | |
| Feb. 29, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2020 | 2019 |
| Net Asset Value, Beginning of Period | $27.27 | $25.00 |
| Investment Operations | ||
| Net Investment Income2 | .243 | .273 |
| Net Realized and Unrealized Gain (Loss) on Investments | .807 | 2.183 |
| Total from Investment Operations | 1.050 | 2.456 |
| Distributions | ||
| Dividends from Net Investment Income | (.250) | (.186) |
| Distributions from Realized Capital Gains | — | — |
| Total Distributions | (.250) | (.186) |
| Net Asset Value, End of Period | $28.07 | $27.27 |
| Total Return3 | 3.82% | 9.85% |
| Ratios/Supplemental Data | ||
| Net Assets, End of Period (Millions) | $4,131 | $3,478 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14%4 |
| Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.79%4 |
| Portfolio Turnover Rate | 2% | 11%5,6 |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Inception. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Annualized. |
| 5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
| 6 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
FTSE Social Index Fund
Financial Highlights
Institutional Shares
| Six Months | |||||||
| Ended | Year Ended August 31, | ||||||
| For a Share Outstanding | February 29, | ||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $19.63 | $19.28 | $16.15 | $13.96 | $13.00 | $12.75 | |
Investment Operations
| Net Investment Income | .1771 | .3141 | .3051 | .2711 | .254 | .193 | |
| Net Realized and Unrealized Gain (Loss) on Investments | .586 | .351 | 3.105 | 2.175 | 1.029 | .233 | |
| Total from Investment Operations | .763 | .665 | 3.410 | 2.446 | 1.283 | .426 | |
| Distributions | |||||||
| Dividends from Net Investment Income | (.183) | (.315) | (.280) | (.256) | (.323) | (.176) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (.183) | (.315) | (.280) | (.256) | (.323) | (.176) | |
| Net Asset Value, End of Period | $20.21 | $19.63 | $19.28 | $16.15 | $13.96 | $13.00 | |
| Total Return | 3.86% | 3.58% | 21.34% | 17.72% | 10.09% | 3.34% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $3,107 | $2,701 | $2,349 | $1,443 | $876 | $706 | |
| Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% | |
| Ratio of Net Investment Income to Average Net Assets | 1.65% | 1.49% | 1.71% | 1.79% | 1.97% | 1.73% | |
| Portfolio Turnover Rate | 2% | 11%2 | 8%2 | 11%2 | 16%2 | 20%2 |
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
FTSE Social Index Fund
Notes to Financial Statements
Vanguard FTSE Social Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Admiral Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. Prior to November 7, 2019, the fund offered Investor Shares. Effective at the close of business on November 7, 2019, the remaining Investor Shares were converted to Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 clearing-house imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
17
FTSE Social Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
18
FTSE Social Index Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $337,000, representing less than 0.01% of the fund’s net assets and 0.13% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
19
FTSE Social Index Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||
| Investments | ||||||||||||
| Assets | ||||||||||||
| Common Stocks | 7,233,681 | — | — | 7,233,681 | ||||||||
| Temporary Cash Investments | 2,830 | 1,237 | — | 4,067 | ||||||||
| Total | 7,236,511 | 1,237 | — | 7,237,748 | ||||||||
| Derivative Financial Instruments | ||||||||||||
| Liabilities | ||||||||||||
| Futures Contracts1 | 86 | — | — | 86 |
| 1 | Represents variation margin on the last day of the reporting period. |
D. As of February 29, 2020, 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 | 5,562,361 | ||
| Gross Unrealized Appreciation | 1,982,425 | ||
| Gross Unrealized Depreciation | (307,439 | ) | |
| Net Unrealized Appreciation (Depreciation) | 1,674,986 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $35,619,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $1,017,206,000 of investment securities and sold $138,723,000 of investment securities, other than temporary cash investments.
20
FTSE Social Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||
| Amount | Shares | Amount | Shares | |||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||
| Investor Shares | ||||||||||||
| Issued | 922 | 45 | 1,047,133 | 55,926 | ||||||||
| Issued in Lieu of Cash Distributions | 124 | 6 | 35,663 | 1,980 | ||||||||
| Redeemed1 | (60,621 | ) | (3,047 | ) | (3,907,387 | ) | (201,067 | ) | ||||
| Net Increase (Decrease)—Investor Shares | (59,575 | ) | (2,996 | ) | (2,824,591 | ) | (143,161 | ) | ||||
| Admiral Shares2 | ||||||||||||
| Issued1 | 842,100 | 28,435 | 3,569,059 | 131,708 | ||||||||
| Issued in Lieu of Cash Distributions | 29,420 | 1,013 | 7,410 | 274 | ||||||||
| Redeemed | (289,595 | ) | (9,818 | ) | (120,135 | ) | (4,460 | ) | ||||
| Net Increase (Decrease)—Admiral Shares | 581,925 | 19,630 | 3,456,334 | 127,522 | ||||||||
| Institutional Shares | ||||||||||||
| Issued | 532,746 | 24,875 | 1,010,600 | 53,651 | ||||||||
| Issued in Lieu of Cash Distributions | 25,522 | 1,221 | 35,748 | 1,947 | ||||||||
| Redeemed | (210,223 | ) | (9,934 | ) | (758,228 | ) | (39,850 | ) | ||||
| Net Increase (Decrease)—Institutional Shares | 348,045 | 16,162 | 288,120 | 15,748 | ||||||||
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019. Investor Shares—Redeemed and Admiral Shares—Issued include 68,000 and 49,000 shares, respectively, in the amount of $1,355,000 from the conversion during the six months ended February 29, 2020. Investor Shares—Redeemed and Admiral Shares—Issued include 160,408,000 and 115,388,000 shares, respectively, in the amount of $3,361,780,000 from the conversion during the year ended August 31, 2019. |
| 2 | Inception was February 7, 2019, for Admiral Shares. |
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management continues to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
21
London Stock Exchange Group companies include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”). All rights reserved. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Indices or the fitness or suitability of the Indices for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies’ index values and the use of their indexes to create financial products require a license with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors.
22
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| © 2020 The Vanguard Group,
Inc. All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q2132 042020 |
| Semiannual Report | February 29, 2020 |
| Vanguard U.S. Sector Index Funds |
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Vanguard Utilities Index Fund |
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If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Communication Services Index Fund | 3 |
| Consumer Discretionary Index Fund | 14 |
| Consumer Staples Index Fund | 26 |
| Energy Index Fund | 37 |
| Financials Index Fund | 48 |
| Health Care Index Fund | 61 |
| Industrials Index Fund | 73 |
| Information Technology Index Fund | 85 |
| Materials Index Fund | 98 |
| Utilities Index Fund | 109 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | ||
| Account Value | Account Value | Paid During | ||
| Index Fund | Share Class | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | ||||
| Communication Services | ETF | $1,000.00 | $1,028.46 | $0.50 |
| Admiral™ | 1,000.00 | 1,028.48 | 0.50 | |
| Consumer Discretionary | ETF | $1,000.00 | $998.41 | $0.50 |
| Admiral | 1,000.00 | 998.39 | 0.50 | |
| Consumer Staples | ETF | $1,000.00 | $965.22 | $0.49 |
| Admiral | 1,000.00 | 965.25 | 0.49 | |
| Energy | ETF | $1,000.00 | $822.32 | $0.45 |
| Admiral | 1,000.00 | 822.29 | 0.45 | |
| Financials | ETF | $1,000.00 | $995.09 | $0.50 |
| Admiral | 1,000.00 | 995.27 | 0.50 | |
| Health Care | ETF | $1,000.00 | $1,040.52 | $0.51 |
| Admiral | 1,000.00 | 1,040.45 | 0.51 | |
| Industrials | ETF | $1,000.00 | $982.96 | $0.49 |
| Admiral | 1,000.00 | 983.05 | 0.49 | |
| Information Technology | ETF | $1,000.00 | $1,109.61 | $0.52 |
| Admiral | 1,000.00 | 1,109.65 | 0.52 | |
| Materials | ETF | $1,000.00 | $939.22 | $0.48 |
| Admiral | 1,000.00 | 939.27 | $0.48 | |
| Utilities | ETF | $1,000.00 | $994.87 | $0.50 |
| Admiral | 1,000.00 | 995.06 | 0.50 | |
| Based on Hypothetical 5% Yearly Return | ||||
| Communication Services | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Consumer Discretionary | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Consumer Staples | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Energy | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Financials | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Health Care | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Industrials | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Information Technology | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Materials | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
| Utilities | ETF | $1,000.00 | $1,024.37 | $0.50 |
| Admiral | 1,000.00 | 1,024.37 | 0.50 | |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are 0.10% for the Communication Services Index Fund ETF Shares and 0.10% for Admiral Shares; 0.10% for the Consumer Discretionary Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Consumer Staples Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Energy Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Financials Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Health Care Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Industrials Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Information Technology Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Materials Index Fund ETF Shares and 0.10% for the Admiral Shares; 0.10% for the Utilities Index Fund ETF Shares and 0.10% for the Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
Communication Services Index Fund
Sector Diversification
As of February 29, 2020
| Advertising | 1.8 | % | ||
| Alternative Carriers | 3.5 | |||
| Broadcasting | 4.2 | |||
| Cable & Satellite | 13.0 | |||
| Integrated Telecommunication Services | 12.7 | |||
| Interactive Home Entertainment | 4.6 | |||
| Interactive Media & Services | 42.8 | |||
| Movies & Entertainment | 12.3 | |||
| Publishing | 1.7 | |||
| Wireless Telecommunication Services | 3.4 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3
Communication Services Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000 | ) | |||||||
| Common Stocks (99.7%) | |||||||||
| Diversified Telecommunication Services (16.2%) | |||||||||
| Alternative Carriers (3.5%) | |||||||||
| CenturyLink Inc. | 1,381,095 | 16,670 | |||||||
| * | Zayo Group Holdings Inc. | 448,981 | 15,710 | ||||||
| * | GCI Liberty Inc. Class A | 153,083 | 10,580 | ||||||
| Cogent Communications Holdings Inc. | 123,101 | 8,988 | |||||||
| * | Iridium Communications Inc. | 272,425 | 7,374 | ||||||
| * | Vonage Holdings Corp. | 639,163 | 5,727 | ||||||
| * | Bandwidth Inc. Class A | 47,132 | 2,964 | ||||||
| * | Anterix Inc. | 36,159 | 1,694 | ||||||
| * | ORBCOMM Inc. | 208,090 | 689 | ||||||
| *,^ | Globalstar Inc. | 1,616,905 | 660 | ||||||
| Integrated Telecommunication Services (12.7%) | |||||||||
| AT&T Inc. | 4,401,655 | 155,026 | |||||||
| Verizon Communications Inc. | 1,768,162 | 95,764 | |||||||
| ATN International Inc. | 31,528 | 1,699 | |||||||
| * | Cincinnati Bell Inc. | 128,229 | 1,673 | ||||||
| Consolidated Communications Holdings Inc. | 202,645 | 1,261 | |||||||
| 326,479 | |||||||||
| Entertainment (16.8%) | |||||||||
| Interactive Home Entertainment (4.5%) | |||||||||
| Activision Blizzard Inc. | 631,776 | 36,725 | |||||||
| * | Electronic Arts Inc. | 271,037 | 27,475 | ||||||
| * | Take-Two Interactive Software Inc. | 136,355 | 14,655 | ||||||
| * | Zynga Inc. | 1,529,180 | 10,261 | ||||||
| * | Glu Mobile Inc. | 328,012 | 2,336 | ||||||
| Movies & Entertainment (12.3%) | |||||||||
| * | Netflix Inc. | 257,998 | 95,209 | ||||||
| Walt Disney Co. | 737,345 | 86,749 | |||||||
| * | Live Nation Entertainment Inc. | 181,901 | 11,054 | ||||||
| * | Liberty Media Corp-Liberty Formula One Class C | 274,269 | 10,713 | ||||||
| * | Roku Inc. | 88,023 | 10,005 | ||||||
| * | Madison Square Garden Co. | 28,914 | 7,744 | ||||||
| Cinemark Holdings Inc. | 202,316 | 5,252 | |||||||
| World Wrestling Entertainment Inc. | 103,722 | 4,851 | |||||||
| * | Liberty Media Corp-Liberty Formula One Class A | 77,941 | 2,922 | ||||||
| * | Liberty Media Corp-Liberty Braves Class C | 100,995 | 2,624 | ||||||
| * | IMAX Corp. | 155,201 | 2,418 | ||||||
| * | Lions Gate Entertainment Corp. Class B | 299,118 | 2,213 | ||||||
| Marcus Corp. | 58,276 | 1,557 | |||||||
| * | Lions Gate Entertainment Corp. Class A | 185,386 | 1,474 | ||||||
| ^ | AMC Entertainment Holdings Inc. | 144,877 | 907 | ||||||
| * | Liberty Media Corp-Liberty Braves Class A | 24,510 | 638 | ||||||
| * | Reading International Inc. | 46,327 | 386 | ||||||
| 338,168 | |||||||||
| Interactive Media & Services (42.7%) | |||||||||
| Interactive Media & Services (42.7%) | |||||||||
| * | Facebook Inc. | 1,562,584 | 300,751 | ||||||
| * | Alphabet Inc. Class C | 169,728 | 227,322 | ||||||
| * | Alphabet Inc. Class A | 163,276 | 218,667 | ||||||
| * | Twitter Inc. | 647,284 | 21,490 | ||||||
| * | IAC/InterActiveCorp | 78,198 | 15,948 | ||||||
| *,^ | Zillow Group Inc. Class C | 220,773 | 12,321 | ||||||
| * | Snap Inc. | 821,914 | 11,647 | ||||||
| * | Zillow Group Inc. Class A | 166,966 | 9,295 | ||||||
| *,^ | Match Group Inc. | 121,254 | 7,881 | ||||||
| Pinterest Inc. Class A | 338,241 | 6,596 | |||||||
| * | Yelp Inc. | 192,154 | 6,009 | ||||||
| TripAdvisor Inc. | 218,936 | 5,134 | |||||||
| * | Cargurus Inc. | 176,069 | 4,488 | ||||||
| * | Eventbrite Inc. Class A | 138,521 | 2,024 | ||||||
| * | QuinStreet Inc. | 129,798 | 1,672 | ||||||
| * | Cars.com Inc. | 178,329 | 1,619 | ||||||
| *,^ | ANGI Homeservices Inc. | 216,172 | 1,541 | ||||||
| * | Meet Group Inc. | 190,816 | 973 | ||||||
| * | Liberty TripAdvisor Holdings Inc. | 204,472 | 890 | ||||||
| * | EverQuote Inc. Class A | 21,247 | 863 | ||||||
| * | TrueCar Inc. | 243,491 | 640 | ||||||
| 857,771 | |||||||||
| Media (20.7%) | |||||||||
| Advertising (1.8%) | |||||||||
| Omnicom Group Inc. | 222,251 | 15,398 | |||||||
| Interpublic Group of Cos. Inc. | 499,731 | 10,674 | |||||||
| * | Cardlytics Inc. | 53,939 | 4,282 | ||||||
| * | Clear Channel Outdoor Holdings Inc. | 1,048,137 | 2,170 | ||||||
| * | TechTarget Inc. | 67,060 | 1,551 | ||||||
| National CineMedia Inc. | 179,557 | 1,381 | |||||||
| * | comScore Inc. | 167,854 | 588 | ||||||
| Emerald Holding Inc. | 70,325 | 482 | |||||||
| * | Boston Omaha Corp. | 24,620 | 479 | ||||||
| Broadcasting (4.2%) | |||||||||
| ViacomCBS Inc. Class B | 613,557 | 15,100 | |||||||
| Fox Corp. Class A | 387,635 | 11,916 | |||||||
| * | Discovery Communications Inc. | 387,889 | 9,736 | ||||||
| Nexstar Media Group Inc. | 76,820 | 8,833 | |||||||
| *,^ | Discovery Inc. | 300,761 | 7,730 | ||||||
| Fox Corp. Class B | 238,187 | 7,253 | |||||||
| TEGNA Inc. | 472,637 | 6,768 | |||||||
| * | Gray Television Inc. | 261,921 | 4,955 | ||||||
| Sinclair Broadcast Group Inc. | 166,848 | 3,872 | |||||||
| * | AMC Networks Inc. | 122,731 | 3,805 | ||||||
| EW Scripps Co. | 136,210 | 1,621 | |||||||
| Entercom Communications Corp. Class A | 337,269 | 1,170 | |||||||
| * | Hemisphere Media Group Inc. | 51,398 | 649 | ||||||
| Entravision Communications Corp. Class A | 165,496 | 333 | |||||||
| Cable & Satellite (13.0%) | |||||||||
| Comcast Corp. | 2,213,247 | 89,481 | |||||||
| * | Charter Communications Inc. | 129,219 | 63,727 | ||||||
| * | Liberty Broadband Corp. Class C | 129,488 | 16,301 | ||||||
| Cable One Inc. | 7,960 | 12,521 | |||||||
| * | DISH Network Corp. | 346,450 | 11,613 | ||||||
| * | Liberty Media Corp-Liberty SiriusXM Class C | 247,822 | 11,058 | ||||||
| * | Liberty Global plc | 472,152 | 8,777 | ||||||
| Sirius XM Holdings Inc. | 1,367,865 | 8,672 | |||||||
| * | Liberty Broadband Corp. Class A | 69,710 | 8,622 | ||||||
| * | Liberty Media Corp-Liberty SiriusXM Class A | 185,739 | 8,297 | ||||||
| * | Altice USA Inc. | 246,056 | 6,363 | ||||||
| * | Liberty Global plc Class A | 287,551 | 5,613 | ||||||
| * | Liberty Latin America Ltd. | 319,388 | 4,851 | ||||||
| * | Liberty Latin America Ltd. Class A | 131,533 | 1,993 | ||||||
| * | MSG Networks Inc. | 124,590 | 1,575 | ||||||
| * | Loral Space & Communications Inc. | 33,377 | 1,037 | ||||||
| * | WideOpenWest Inc. | 70,367 | 443 | ||||||
| Publishing (1.7%) | |||||||||
| New York Times Co. | 246,563 | 9,236 | |||||||
| News Corp. Class A | 678,330 | 8,191 | |||||||
| John Wiley & Sons Inc. | 124,900 | 4,645 | |||||||
| News Corp. Class B | 361,550 | 4,498 | |||||||
| Meredith Corp. | 113,106 | 2,980 | |||||||
| Scholastic Corp. | 83,683 | 2,685 | |||||||
| * | Gannett Co. Inc. | 303,544 | 1,275 | ||||||
| Tribune Publishing Co. | 45,910 | 527 | |||||||
| 415,727 | |||||||||
| Wireless Telecommunication Services (3.3%) | |||||||||
| Wireless Telecommunication Services (3.3%) | |||||||||
| * | T-Mobile US Inc. | 366,229 | 33,019 | ||||||
| * | Sprint Corp. | 2,099,149 | 19,291 | ||||||
| Shenandoah Telecommunications Co. | 131,584 | 5,846 | |||||||
| Telephone & Data Systems Inc. | 282,973 | 5,699 | |||||||
| * | Boingo Wireless Inc. | 124,093 | 1,572 | ||||||
| * | United States Cellular Corp. | 37,359 | 1,174 | ||||||
| *,^ | Gogo Inc. | 162,903 | 588 | ||||||
| 67,189 | |||||||||
| Total Common Stocks (Cost $2,028,213) | 2,005,334 | ||||||||
4
Communication Services Index Fund
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000 | ) | |||||||
| Temporary Cash Investment (1.2%) | |||||||||
| Money Market Fund (1.2%) | |||||||||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | ||||||||
| (Cost $23,635) | 236,325 | 23,640 | |||||||
| Total Investments (100.9%) (Cost $2,051,848) | 2,028,974 | ||||||||
| Other Assets and Liabilities—Net (-0.9%)1,3 | (18,388 | ) | |||||||
| Net Assets (100%) | 2,010,586 | ||||||||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. * Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $17,905,000. |
| 1 | Collateral of $18,909,000 was received for securities on loan. |
| 2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 3 | Cash of $510,000 has been segregated as collateral for open over-the-counter swap contracts. |
| Derivative Financial Instruments Outstanding as of Period End | ||||||||||||||||||||||||
| Over-the-Counter Total Return Swaps | ||||||||||||||||||||||||
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Sirius XM Holdings Inc. | 2/2/21 | GSI | 4,706 | (1.647 | ) | — | (578 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
5
Communication Services Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $2,028,213) | 2,005,334 |
| Affiliated Issuers (Cost $23,635) | 23,640 |
| Total Investments in Securities | 2,028,974 |
| Investment in Vanguard | 97 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 510 |
| Receivables for Investment Securities Sold | 47,290 |
| Receivables for Accrued Income | 273 |
| Receivables for Capital Shares Issued | 140 |
| Total Assets | 2,077,284 |
| Liabilities | |
| Payables for Investment Securities Purchased | 46,710 |
| Collateral for Securities on Loan | 18,909 |
| Payables for Capital Shares Redeemed | 157 |
| Payables to Vanguard | 344 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 578 |
| Total Liabilities | 66,698 |
| Net Assets | 2,010,586 |
|
|
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 2,314,154 |
| Total Distributable Earnings (Loss) | (303,568) |
| Net Assets | 2,010,586 |
| ETF Shares—Net Assets | |
| Applicable to 21,991,985 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,961,675 |
| Net Asset Value Per Share—ETF Shares | $89.20 |
| Admiral Shares—Net Assets | |
| Applicable to 1,075,991 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 48,911 |
| Net Asset Value Per Share—Admiral Shares | $45.46 |
See accompanying Notes, which are an integral part of the Financial Statements.
6
Communication Services Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 11,611 | |||
| Interest1 | 33 | |||
| Securities Lending—Net | 194 | |||
| Total Income | 11,838 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 162 | |||
| Management and Administrative—ETF Shares | 750 | |||
| Management and Administrative—Admiral Shares | 19 | |||
| Marketing and Distribution—ETF Shares | 70 | |||
| Marketing and Distribution—Admiral Shares | 2 | |||
| Custodian Fees | 14 | |||
| Shareholders’ Reports—ETF Shares | 79 | |||
| Shareholders’ Reports—Admiral Shares | — | |||
| Trustees’ Fees and Expenses | 1 | |||
| Total Expenses | 1,097 | |||
| Net Investment Income | 10,741 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 65,961 | |||
| Swap Contracts | 801 | |||
| Realized Net Gain (Loss) | 66,762 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (26,537 | ) | ||
| Swap Contracts | (713 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (27,250 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 50,253 | |||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 33,000, $1,000, and $5,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $71,148,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 10,741 | 18,049 | ||||||
| Realized Net Gain (Loss) | 66,762 | 21,279 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (27,250 | ) | (5,789 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 50,253 | 33,539 | ||||||
| Distributions1 | ||||||||
| ETF Shares | (12,205 | ) | (14,813 | ) | ||||
| Admiral Shares | (301 | ) | (463 | ) | ||||
| Total Distributions | (12,506 | ) | (15,276 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (91,290 | ) | 983,508 | |||||
| Admiral Shares | (2,097 | ) | 3,352 | |||||
| Net Increase (Decrease) from Capital Share Transactions | (93,387 | ) | 986,860 | |||||
| Total Increase (Decrease) | (55,640 | ) | 1,005,123 | |||||
| Net Assets | ||||||||
| Beginning of Period | 2,066,226 | 1,061,103 | ||||||
| End of Period | 2,010,586 | 2,066,226 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
7
Communication Services Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $87.24 | $86.83 | $93.54 | $95.16 | $83.80 | $88.44 | ||
| Investment Operations | ||||||||
| Net Investment Income | .4501 | .9171 | 3.0671 | 3.1081 | 2.622 | 2.789 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | 2.036 | .316 | (6.297) | (1.587) | 12.811 | (5.178) | ||
| Total from Investment Operations | 2.486 | 1.233 | (3.230) | 1.521 | 15.433 | (2.389) | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.526) | (.823) | (3.480) | (3.141) | (4.073) | (2.251) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (.526) | (.823) | (3.480) | (3.141) | (4.073) | (2.251) | ||
| Net Asset Value, End of Period | $89.20 | $87.24 | $86.83 | $93.54 | $95.16 | $83.80 | ||
| Total Return | 2.85% | 1.47% | -3.50% | 1.62% | 19.14% | -2.72% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $1,962 | $2,016 | $1,015 | $1,388 | $1,483 | $795 | ||
| 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 | 0.95% | 1.09% | 3.48% | 3.26% | 3.10% | 3.20% | ||
| Portfolio Turnover Rate2 | 6% | 33% | 84% | 18% | 20% | 18% | ||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
8
Communication Services Index Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $44.46 | $44.25 | $47.67 | $48.50 | $42.71 | $45.07 | ||
| Investment Operations | ||||||||
| Net Investment Income | .2301 | .4701 | 1.5541 | 1.6011 | 1.337 | 1.419 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | 1.038 | .157 | (3.199) | (.829) | 6.529 | (2.637) | ||
| Total from Investment Operations | 1.268 | .627 | (1.645) | .772 | 7.866 | (1.218) | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.268) | (.417) | (1.775) | (1.602) | (2.076) | (1.142) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (.268) | (.417) | (1.775) | (1.602) | (2.076) | (1.142) | ||
| Net Asset Value, End of Period | $45.46 | $44.46 | $44.25 | $47.67 | $48.50 | $42.71 | ||
| Total Return2 | 2.85% | 1.46% | -3.48% | 1.61% | 19.14% | -2.66% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $49 | $50 | $46 | $50 | $65 | $24 | ||
| 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 | 0.95% | 1.09% | 3.48% | 3.26% | 3.10% | 3.20% | ||
| Portfolio Turnover Rate3 | 6% | 33% | 84% | 18% | 20% | 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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
9
Communication Services Index Fund
Notes to Financial Statements
Vanguard Communication Services Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
10
Communication Services Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
11
Communication Services Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $97,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 2,005,334 | — | — | 2,005,334 | ||||||||||||
| Temporary Cash Investments | 23,640 | — | — | 23,640 | ||||||||||||
| Total | 2,028,974 | — | — | 2,028,974 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 578 | — | 578 | ||||||||||||
D. As of February 29, 2020, 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 | 2,051,848 | |||
| Gross Unrealized Appreciation | 133,207 | |||
| Gross Unrealized Depreciation | (156,659 | ) | ||
| Net Unrealized Appreciation (Depreciation) | (23,452 | ) | ||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $350,254,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
12
Communication Services Index Fund
E. During the six months ended February 29, 2020, the fund purchased $566,385,000 of investment securities and sold $662,867,000 of investment securities, other than temporary cash investments. Purchases and sales include $415,644,000 and $527,574,000, 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 | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 436,747 | 4,727 | 1,833,068 | 21,800 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (528,037 | ) | (5,850 | ) | (849,560 | ) | (10,375 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (91,290 | ) | (1,123 | ) | 983,508 | 11,425 | ||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 11,508 | 243 | 27,900 | 653 | ||||||||||||
| Issued in Lieu of Cash Distributions | 246 | 5 | 387 | 9 | ||||||||||||
| Redeemed | (13,851 | ) | (292 | ) | (24,935 | ) | (584 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | (2,097 | ) | (44 | ) | 3,352 | 78 | ||||||||||
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
13
Consumer Discretionary Index Fund
Sector Diversification
As of February 29, 2020
| Apparel Retail | 5.3 | % | ||
| Apparel, Accessories & Luxury Goods | 3.3 | |||
| Auto Parts & Equipment | 2.4 | |||
| Automobile Manufacturers | 4.8 | |||
| Automotive Retail | 3.4 | |||
| Casinos & Gaming | 2.4 | |||
| Computer & Electronics Retail | 0.7 | |||
| Consumer Electronics | 0.5 | |||
| Department Stores | 0.6 | |||
| Distributors | 1.1 | |||
| Education Services | 1.1 | |||
| Footwear | 4.3 | |||
| General Merchandise Stores | 3.9 | |||
| Home Furnishings | 0.7 | |||
| Home Improvement Retail | 11.0 | |||
| Homebuilding | 3.2 | |||
| Homefurnishing Retail | 0.5 | |||
| Hotels, Resorts & Cruise Lines | 4.2 | |||
| Household Appliances | 0.5 | |||
| Housewares & Specialties | 0.2 | |||
| Internet & Direct Marketing Retail | 28.6 | |||
| Leisure Facilities | 0.6 | |||
| Leisure Products | 1.2 | |||
| Motorcycle Manufacturers | 0.2 | |||
| Other | 0.0 | |||
| Restaurants | 12.3 | |||
| Specialized Consumer Services | 0.9 | |||
| Specialty Stores | 2.0 | |||
| Tires & Rubber | 0.1 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
14
Consumer Discretionary Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (99.3%) | |||
| Auto Components (2.6%) | |||
| Aptiv plc | 264,623 | 20,670 | |
| Gentex Corp. | 270,878 | 7,232 | |
| BorgWarner Inc. | 221,966 | 7,014 | |
| Lear Corp. | 61,819 | 6,874 | |
| Autoliv Inc. | 89,600 | 5,979 | |
| * | Fox Factory Holding Corp. | 44,654 | 2,831 |
| LCI Industries | 29,149 | 2,814 | |
| Goodyear Tire & Rubber Co. | 272,203 | 2,636 | |
| * | Adient plc | 104,894 | 2,510 |
| Dana Inc. | 169,692 | 2,440 | |
| * | Visteon Corp. | 33,500 | 2,179 |
| * | Dorman Products Inc. | 33,719 | 2,045 |
| * | Gentherm Inc. | 42,324 | 1,726 |
| Cooper Tire & Rubber Co. | 65,901 | 1,680 | |
| *,^ | Veoneer Inc. | 135,247 | 1,665 |
| * | Delphi Technologies plc | 113,982 | 1,609 |
| Standard Motor Products Inc. | 28,507 | 1,254 | |
| * | American Axle & Manufacturing Holdings Inc. | 162,626 | 1,029 |
| * | Stoneridge Inc. | 41,967 | 928 |
| Tenneco Inc. | 93,215 | 855 | |
| * | Garrett Motion Inc. | 120,246 | 835 |
| * | Motorcar Parts of America Inc. | 40,839 | 684 |
| * | Modine Manufacturing Co. | 89,552 | 668 |
| * | Cooper-Standard Holdings Inc. | 27,764 | 480 |
| 78,637 | |||
| Automobiles (5.0%) | |||
| * | Tesla Inc. | 108,123 | 72,225 |
| General Motors Co. | 1,321,982 | 40,320 | |
| Ford Motor Co. | 4,016,034 | 27,952 | |
| Harley-Davidson Inc. | 169,041 | 5,151 | |
| Thor Industries Inc. | 60,879 | 4,591 | |
| Winnebago Industries Inc. | 39,277 | 2,038 | |
| 152,277 | |||
| Distributors (1.1%) | |||
| Genuine Parts Co. | 152,100 | 13,269 | |
| * | LKQ Corp. | 324,351 | 9,594 |
| Pool Corp. | 42,486 | 8,963 | |
| Core-Mark Holding Co. Inc. | 63,380 | 1,459 | |
| * | Funko Inc. | 63,294 | 513 |
| 33,798 | |||
| Diversified Consumer Services (2.0%) | |||
| * | Bright Horizons Family Solutions Inc. | 61,552 | 9,673 |
| Service Corp. International | 194,073 | 9,275 | |
| * | ServiceMaster Global Holdings Inc. | 149,100 | 5,333 |
| * | Chegg Inc. | 120,880 | 4,740 |
| H&R Block Inc. | 221,809 | 4,585 | |
| * | Grand Canyon Education Inc. | 53,816 | 4,342 |
| * | frontdoor Inc. | 95,171 | 4,035 |
| Strategic Education Inc. | 24,753 | 3,648 | |
| Graham Holdings Co. | 5,202 | 2,616 | |
| * | Laureate Education Inc. | 136,672 | 2,556 |
| * | Adtalem Global Education Inc. | 67,053 | 2,070 |
| * | WW International Inc. | 58,741 | 1,762 |
| * | Perdoceo Education Corp. | 95,170 | 1,421 |
| * | K12 Inc. | 63,739 | 1,267 |
| OneSpaWorld Holdings Ltd. | 73,854 | 902 | |
| * | Houghton Mifflin Harcourt Co. | 142,826 | 781 |
| * | American Public Education Inc. | 32,342 | 720 |
| Carriage Services Inc. Class A | 33,591 | 710 | |
| * | Regis Corp. | 54,531 | 696 |
| 61,132 | |||
| Hotels, Restaurants & Leisure (19.4%) | |||
| McDonald’s Corp. | 772,662 | 150,028 | |
| Starbucks Corp. | 1,230,366 | 96,498 | |
| Marriott International Inc. | 288,254 | 35,743 | |
| Yum! Brands Inc. | 311,902 | 27,837 | |
| Hilton Worldwide Holdings Inc. | 281,967 | 27,407 | |
| * | Chipotle Mexican Grill Inc. | 27,316 | 21,131 |
| Las Vegas Sands Corp. | 357,778 | 20,862 | |
| Royal Caribbean Cruises Ltd. | 185,071 | 14,882 | |
| Carnival Corp. | 438,716 | 14,679 | |
| Domino’s Pizza Inc. | 40,924 | 13,892 | |
| MGM Resorts International | 522,355 | 12,829 | |
| Darden Restaurants Inc. | 128,171 | 12,497 | |
| Wynn Resorts Ltd. | 101,389 | 10,948 | |
| Aramark | 263,533 | 9,155 | |
| Vail Resorts Inc. | 42,694 | 9,077 | |
| * | Norwegian Cruise Line Holdings Ltd. | 224,672 | 8,371 |
| * | Caesars Entertainment Corp. | 581,535 | 7,391 |
| Dunkin’ Brands Group Inc. | 89,652 | 5,964 | |
| * | Planet Fitness Inc. | 87,964 | 5,937 |
| Wyndham Hotels & Resorts Inc. | 103,709 | 5,284 | |
| Churchill Downs Inc. | 38,933 | 4,891 | |
| Texas Roadhouse Inc. | 73,588 | 4,137 | |
| Wyndham Destinations Inc. | 100,323 | 4,003 | |
| Marriott Vacations Worldwide Corp. | 39,945 | 3,866 | |
| Wendy’s Co. | 204,633 | 3,863 | |
| Choice Hotels International Inc. | 40,683 | 3,713 | |
| * | Eldorado Resorts Inc. | 73,300 | 3,678 |
| * | Penn National Gaming Inc. | 123,273 | 3,645 |
| Cracker Barrel Old Country Store Inc. | 23,221 | 3,328 | |
| Hyatt Hotels Corp. | 41,937 | 3,212 | |
| Wingstop Inc. | 33,927 | 2,865 | |
| * | Hilton Grand Vacations Inc. | 99,355 | 2,649 |
| Boyd Gaming Corp. | 96,711 | 2,583 | |
| Extended Stay America Inc. | 218,096 | 2,395 | |
| * | Shake Shack Inc. | 38,084 | 2,264 |
| Six Flags Entertainment Corp. | 88,392 | 2,235 | |
| Cheesecake Factory Inc. | 53,157 | 1,894 | |
| Bloomin’ Brands Inc. | 102,537 | 1,845 | |
| Jack in the Box Inc. | 26,341 | 1,814 | |
| Red Rock Resorts Inc. | 87,276 | 1,799 | |
| * | SeaWorld Entertainment Inc. | 63,519 | 1,728 |
| Dine Brands Global Inc. | 20,642 | 1,690 | |
| Brinker International Inc. | 47,964 | 1,648 | |
| Papa John’s International Inc. | 27,408 | 1,579 | |
| * | Denny’s Corp. | 79,411 | 1,383 |
| Dave & Buster’s Entertainment Inc. | 40,300 | 1,330 | |
| * | Scientific Games Corp. | 66,376 | 1,211 |
| * | Everi Holdings Inc. | 114,574 | 1,192 |
| BJ’s Restaurants Inc. | 29,347 | 967 | |
| Twin River Worldwide Holdings Inc. | 36,554 | 950 | |
| * | Monarch Casino & Resort Inc. | 19,931 | 942 |
| Ruth’s Hospitality Group Inc. | 47,162 | 902 | |
| * | Chuy’s Holdings Inc. | 33,105 | 710 |
| * | Habit Restaurants Inc. | 50,817 | 709 |
| * | Red Robin Gourmet Burgers Inc. | 25,041 | 689 |
| * | Lindblad Expeditions Holdings Inc. | 54,217 | 645 |
| * | El Pollo Loco Holdings Inc. | 49,223 | 635 |
| * | Playa Hotels & Resorts NV | 113,270 | 600 |
| * | Fiesta Restaurant Group Inc. | 61,239 | 592 |
| * | Golden Entertainment Inc | 34,117 | 555 |
| * | Del Taco Restaurants Inc. | 85,287 | 546 |
| * | PlayAGS Inc. | 53,420 | 518 |
| * | Carrols Restaurant Group Inc. | 117,428 | 484 |
| BBX Capital Corp. | 122,351 | 426 | |
| * | Biglari Holdings Inc. Class B | 3,801 | 401 |
| * | Target Hospitality Corp. | 61,846 | 289 |
| * | Biglari Holdings Inc. Class A | 251 | 151 |
| 594,563 | |||
| Household Durables (5.0%) | |||
| DR Horton Inc. | 363,054 | 19,340 | |
| Lennar Corp. Class A | 291,972 | 17,618 | |
| * | NVR Inc. | 3,677 | 13,484 |
| Garmin Ltd. | 139,753 | 12,353 | |
| PulteGroup Inc. | 270,888 | 10,890 | |
| Whirlpool Corp. | 67,069 | 8,575 | |
| * | Mohawk Industries Inc. | 65,030 | 7,878 |
| Newell Brands Inc. | 429,569 | 6,628 | |
| Leggett & Platt Inc. | 142,953 | 5,669 | |
| Toll Brothers Inc. | 144,522 | 5,352 | |
15
Consumer Discretionary Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Helen of Troy Ltd. | 27,700 | 4,559 |
| * | TopBuild Corp. | 38,011 | 3,839 |
| * | Tempur Sealy International Inc. | 51,220 | 3,829 |
| * | Taylor Morrison Home Corp. | 140,153 | 3,156 |
| KB Home | 91,153 | 2,971 | |
| * | Meritage Homes Corp. | 42,639 | 2,706 |
| * | TRI Pointe Group Inc. | 165,906 | 2,543 |
| MDC Holdings Inc. | 60,040 | 2,362 | |
| * | Cavco Industries Inc. | 10,635 | 2,145 |
| * | Installed Building Products Inc. | 28,243 | 1,865 |
| * | LGI Homes Inc. | 24,379 | 1,837 |
| *,^ | iRobot Corp. | 36,616 | 1,757 |
| La-Z-Boy Inc. | 59,579 | 1,707 | |
| * | Skyline Champion Corp. | 65,761 | 1,676 |
| * | M/I Homes Inc. | 38,183 | 1,422 |
| * | Century Communities Inc. | 37,827 | 1,261 |
| * | Universal Electronics Inc. | 23,323 | 985 |
| *,^ | GoPro Inc. | 228,068 | 866 |
| * | Beazer Homes USA Inc. | 57,604 | 706 |
| Ethan Allen Interiors Inc. | 52,966 | 699 | |
| * | Green Brick Partners Inc. | 58,799 | 643 |
| * | Sonos Inc. | 52,535 | 606 |
| Hooker Furniture Corp. | 29,535 | 556 | |
| * | Legacy Housing Corp. | 25,102 | 361 |
| Tupperware Brands Corp. | 121,319 | 346 | |
| * | Lovesac Co. | 30,320 | 263 |
| 153,453 | |||
| Internet & Direct Marketing Retail (28.4%) | |||
| * | Amazon.com Inc. | 367,882 | 692,998 |
| * | Booking Holdings Inc. | 43,992 | 74,595 |
| eBay Inc. | 843,409 | 29,216 | |
| * | MercadoLibre Inc. | 46,118 | 28,410 |
| Expedia Group Inc. | 145,206 | 14,320 | |
| * | Etsy Inc. | 128,183 | 7,410 |
| * | Grubhub Inc. | 100,831 | 4,851 |
| *,^ | Wayfair Inc. | 68,672 | 4,341 |
| * | Qurate Retail Group Inc. QVC Group Class A | 436,559 | 2,977 |
| * | Stamps.com Inc. | 20,926 | 2,953 |
| * | Chewy Inc. | 68,550 | 2,029 |
| *,^ | Stitch Fix Inc. Class A | 68,123 | 1,637 |
| * | Shutterstock Inc. | 29,658 | 1,143 |
| * | Quotient Technology Inc. | 120,272 | 1,076 |
| PetMed Express Inc. | 35,175 | 929 | |
| * | 1-800-Flowers.com Inc. | 48,303 | 871 |
| * | Groupon Inc. | 596,741 | 800 |
| * | RealReal Inc. | 48,836 | 683 |
| *,^ | Revolve Group Inc. | 34,699 | 566 |
| *,^ | Overstock.com Inc. | 75,167 | 486 |
| * | Lands’ End Inc. | 45,610 | 481 |
| *,^ | Duluth Holdings Inc. | 56,635 | 388 |
| 873,160 | |||
| Leisure Products (1.2%) | |||
| Hasbro Inc. | 136,577 | 10,551 | |
| Polaris Inc. | 63,459 | 5,237 | |
| Brunswick Corp. | 90,841 | 4,833 | |
| * | Mattel Inc. | 383,253 | 4,519 |
| * | YETI Holdings Inc. | 76,078 | 2,301 |
| Callaway Golf Co. | 111,448 | 1,892 | |
| * | Peloton Interactive Inc. Class A | 59,685 | 1,593 |
| * | Malibu Boats Inc. | 29,048 | 1,276 |
| Sturm Ruger & Co. Inc. | 25,661 | 1,233 | |
| Acushnet Holdings Corp. | 47,699 | 1,214 | |
| * | American Outdoor Brands Corp. | 95,447 | 951 |
| Johnson Outdoors Inc. | 12,543 | 783 | |
| * | Vista Outdoor Inc. | 102,346 | 752 |
| * | MasterCraft Boat Holdings Inc. | 34,341 | 555 |
| 37,690 | |||
| Multiline Retail (4.4%) | |||
| Target Corp. | 521,026 | 53,666 | |
| Dollar General Corp. | 264,322 | 39,728 | |
| * | Dollar Tree Inc. | 245,402 | 20,376 |
| Kohl’s Corp. | 171,447 | 6,712 | |
| Macy’s Inc. | 339,598 | 4,493 | |
| Nordstrom Inc. | 120,669 | 4,187 | |
| * | Ollie’s Bargain Outlet Holdings Inc. | 65,703 | 3,342 |
| ^ | Dillard’s Inc. Class A | 16,991 | 956 |
| Big Lots Inc. | 55,289 | 874 | |
| *,^ | JC Penney Co. Inc. | 892,506 | 616 |
| 134,950 | |||
| Other (0.0%)1 | |||
| *,§ | Media General Inc. CVR | 69,182 | 3 |
| Specialty Retail (22.7%) | |||
| Home Depot Inc. | 1,116,581 | 243,236 | |
| Lowe’s Cos. Inc. | 807,813 | 86,089 | |
| TJX Cos. Inc. | 1,237,383 | 73,996 | |
| Ross Stores Inc. | 373,978 | 40,681 | |
| * | O’Reilly Automotive Inc. | 79,742 | 29,403 |
| * | AutoZone Inc. | 25,093 | 25,909 |
| Best Buy Co. Inc. | 246,541 | 18,651 | |
| Tiffany & Co. | 112,965 | 15,091 | |
| * | Ulta Beauty Inc. | 58,324 | 14,995 |
| * | CarMax Inc. | 171,626 | 14,985 |
| * | Burlington Stores Inc. | 69,081 | 14,939 |
| Tractor Supply Co. | 124,747 | 11,041 | |
| Advance Auto Parts Inc. | 73,584 | 9,785 | |
| * | Five Below Inc. | 60,143 | 5,831 |
| L Brands Inc. | 255,943 | 5,544 | |
| Williams-Sonoma Inc. | 84,618 | 5,279 | |
| *,^ | Carvana Co. | 52,960 | 4,391 |
| Foot Locker Inc. | 119,042 | 4,315 | |
| * | Floor & Decor Holdings Inc. Class A | 79,706 | 4,069 |
| Gap Inc. | 250,989 | 3,597 | |
| * | Rh | 18,707 | 3,393 |
| * | Murphy USA Inc. | 33,652 | 3,281 |
| * | National Vision Holdings Inc. | 91,945 | 3,202 |
| Lithia Motors Inc. Class A | 26,173 | 3,119 | |
| Aaron’s Inc. | 75,634 | 2,975 | |
| Dick’s Sporting Goods Inc. | 74,254 | 2,704 | |
| * | AutoNation Inc. | 62,978 | 2,691 |
| American Eagle Outfitters Inc. | 191,387 | 2,465 | |
| Monro Inc. | 40,428 | 2,269 | |
| * | Asbury Automotive Group Inc. | 23,878 | 2,117 |
| Penske Automotive Group Inc. | 45,158 | 2,078 | |
| * | Urban Outfitters Inc. | 79,730 | 1,874 |
| Group 1 Automotive Inc. | 21,911 | 1,868 | |
| * | Sally Beauty Holdings Inc. | 148,343 | 1,845 |
| Bed Bath & Beyond Inc. | 164,043 | 1,773 | |
| Office Depot Inc. | 721,750 | 1,696 | |
| Signet Jewelers Ltd. | 68,494 | 1,597 | |
| * | Sleep Number Corp. | 36,259 | 1,597 |
| * | Boot Barn Holdings Inc. | 43,216 | 1,325 |
| Rent-A-Center Inc. | 61,474 | 1,309 | |
| Children’s Place Inc. | 21,542 | 1,241 | |
| Designer Brands Inc. Class A | 90,847 | 1,227 | |
| Abercrombie & Fitch Co. | 88,492 | 1,162 | |
| Guess? Inc. | 65,520 | 1,061 | |
| Buckle Inc. | 46,198 | 1,046 | |
| Sonic Automotive Inc. | 36,746 | 1,029 | |
| * | America’s Car-Mart Inc. | 9,636 | 990 |
| Winmark Corp. | 4,866 | 973 | |
| * | Genesco Inc. | 26,273 | 904 |
| Chico’s FAS Inc. | 220,714 | 885 | |
| * | Zumiez Inc. | 33,338 | 884 |
| Camping World Holdings Inc. | 60,216 | 824 | |
| Caleres Inc. | 70,090 | 808 | |
| * | Lumber Liquidators Holdings Inc. | 80,451 | 788 |
| * | Michaels Cos. Inc. | 176,939 | 759 |
| Cato Corp. Class A | 46,856 | 758 | |
| * | MarineMax Inc. | 41,694 | 706 |
| Shoe Carnival Inc. | 23,213 | 694 | |
| ^ | GameStop Corp. Class A | 191,157 | 688 |
| * | Hibbett Sports Inc. | 34,956 | 682 |
| Haverty Furniture Cos. Inc. | 37,228 | 626 | |
| * | Express Inc. | 157,371 | 582 |
| * | At Home Group Inc. | 109,965 | 550 |
| * | Conn’s Inc. | 61,914 | 505 |
| ^ | Tailored Brands Inc. | 150,933 | 494 |
| *,^ | Party City Holdco Inc. | 202,957 | 404 |
| 698,275 | |||
| Textiles, Apparel & Luxury Goods (7.5%) | |||
| NIKE Inc. | 1,273,345 | 113,812 | |
| VF Corp. | 350,690 | 25,250 | |
| * | Lululemon Athletica Inc. | 114,306 | 24,851 |
| Tapestry Inc. | 299,380 | 7,020 | |
| PVH Corp. | 80,322 | 5,953 | |
| Ralph Lauren Corp. | 54,341 | 5,733 | |
| * | Deckers Outdoor Corp. | 30,510 | 5,303 |
| Hanesbrands Inc. | 396,126 | 5,245 | |
| * | Skechers U.S.A. Inc. | 147,021 | 4,863 |
| Carter’s Inc. | 48,534 | 4,439 | |
| * | Capri Holdings Ltd. | 168,751 | 4,357 |
| * | Under Armour Inc. Class A | 213,947 | 3,036 |
| Steven Madden Ltd. | 92,014 | 3,009 | |
| Columbia Sportswear Co. | 35,360 | 2,875 | |
| * | Under Armour Inc. Class C | 228,052 | 2,846 |
| Wolverine World Wide Inc. | 95,223 | 2,503 | |
| Kontoor Brands Inc. | 59,725 | 2,015 | |
| * | Crocs Inc. | 73,626 | 1,927 |
| Oxford Industries Inc. | 23,344 | 1,410 | |
| * | G-III Apparel Group Ltd. | 56,942 | 1,273 |
| Levi Strauss & Co. Class A | 68,090 | 1,157 | |
| * | Unifi Inc. | 30,833 | 659 |
| Movado Group Inc. | 40,892 | 601 | |
| * | Vera Bradley Inc. | 65,616 | 542 |
| * | Fossil Group Inc. | 111,668 | 513 |
| Culp Inc. | 45,039 | 411 | |
| 231,603 | |||
| Total Common Stocks (Cost $2,805,606) | 3,049,541 | ||
16
Consumer Discretionary Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Temporary Cash Investment (1.0%) | |||
| 2,3 | Vanguard
Market Liquidity Fund, 1.706% (Cost $28,743) |
287,411 | 28,750 |
| Total Investments (100.3%) (Cost $2,834,349) | 3,078,291 | ||
| Other Assets and Liabilities—Net (-0.3%)2,4 | (7,893) | ||
| Net Assets (100%) | 3,070,398 | ||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $10,563,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | Collateral of $11,481,000 was received for securities on loan. |
| 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 | Cash of $5,400,000 has been segregated as collateral for open over-the-counter swap contracts. |
CVR—Contingent Value Rights.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Tesla Inc. | 2/2/21 | GSI | 25,752 | (1.647 | ) | — | (5,722 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Consumer Discretionary Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $2,805,606) | 3,049,541 |
| Affiliated Issuers (Cost $28,743) | 28,750 |
| Total Investments in Securities | 3,078,291 |
| Investment in Vanguard | 150 |
| Cash | 4 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 5,400 |
| Receivables for Investment Securities Sold | 55,722 |
| Receivables for Accrued Income | 4,230 |
| Receivables for Capital Shares Issued | 1,506 |
| Total Assets | 3,145,303 |
| Liabilities | |
| Payables for Investment Securities Purchased | 55,880 |
| Collateral for Securities on Loan | 11,481 |
| Payables for Capital Shares Redeemed | 1,303 |
| Payables to Vanguard | 519 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 5,722 |
| Total Liabilities | 74,905 |
| Net Assets | 3,070,398 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 2,707,997 |
| Total Distributable Earnings (Loss) | 362,401 |
| Net Assets | 3,070,398 |
| ETF Shares—Net Assets | |
| Applicable to 15,659,218 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,770,528 |
| Net Asset Value Per Share—ETF Shares | $176.93 |
| Admiral Shares—Net Assets | |
| Applicable to 3,274,424 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 299,870 |
| Net Asset Value Per Share—Admiral Shares | $91.58 |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Consumer Discretionary Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 21,728 | |||
| Interest1 | 90 | |||
| Securities Lending—Net | 388 | |||
| Total Income | 22,206 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 255 | |||
| Management and Administrative—ETF Shares | 1,169 | |||
| Management and Administrative—Admiral Shares | 123 | |||
| Marketing and Distribution—ETF Shares | 87 | |||
| Marketing and Distribution—Admiral Shares | 12 | |||
| Custodian Fees | 4 | |||
| Shareholders’ Reports—ETF Shares | 52 | |||
| Shareholders’ Reports—Admiral Shares | 2 | |||
| Trustees’ Fees and Expenses | 1 | |||
| Total Expenses | 1,705 | |||
| Expenses Paid Indirectly | (4 | ) | ||
| Net Expenses | 1,701 | |||
| Net Investment Income | 20,505 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 184,707 | |||
| Swap Contracts | 19,187 | |||
| Realized Net Gain (Loss) | 203,894 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (225,404 | ) | ||
| Swap Contracts | (6,017 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (231,421 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,022 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 90,000, $5,000, and $5,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $211,100,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 20,505 | 38,231 | ||||||
| Realized Net Gain (Loss) | 203,894 | 198,044 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (231,421 | ) | (297,760 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,022 | ) | (61,485 | ) | ||||
| Distributions1 | ||||||||
| ETF Shares | (22,316 | ) | (34,304 | ) | ||||
| Admiral Shares | (2,329 | ) | (3,668 | ) | ||||
| Total Distributions | (24,645 | ) | (37,972 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (248,918 | ) | (55,912 | ) | ||||
| Admiral Shares | (18,480 | ) | (1,729 | ) | ||||
| Net Increase (Decrease) from Capital Share Transactions | (267,398 | ) | (57,641 | ) | ||||
| Total Increase (Decrease) | (299,065 | ) | (157,098 | ) | ||||
| Net Assets | ||||||||
| Beginning of Period | 3,369,463 | 3,526,561 | ||||||
| End of Period | 3,070,398 | 3,369,463 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Consumer Discretionary Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $178.51 | $180.85 | $141.74 | $126.45 | $120.80 | $111.79 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | 1.1211 | 2.0521 | 2.0661 | 2.0681 | 1.875 | 1.542 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | (1.363) | (2.391) | 39.031 | 15.248 | 6.259 | 8.900 | ||||
| Total from Investment Operations | (.242) | (.339) | 41.097 | 17.316 | 8.134 | 10.442 | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (1.338) | (2.001) | (1.987) | (2.026) | (2.484) | (1.432) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (1.338) | (2.001) | (1.987) | (2.026) | (2.484) | (1.432) | ||||
| Net Asset Value, End of Period | $176.93 | $178.51 | $180.85 | $141.74 | $126.45 | $120.80 | ||||
| Total Return | -0.16% | -0.14% | 29.22% | 13.81% | 6.84% | 9.41% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $2,770 | $3,049 | $3,199 | $2,198 | $1,926 | $1,842 | ||||
| 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 | 1.21% | 1.20% | 1.28% | 1.53% | 1.54% | 1.31% | ||||
| Portfolio Turnover Rate2 | 4% | 9% | 28% | 6% | 7% | 6% | ||||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Consumer Discretionary Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $92.40 | $93.61 | $73.36 | $65.45 | $62.53 | $57.87 | |||
| Investment Operations | |||||||||
| Net Investment Income | .5781 | 1.0581 | 1.0731 | 1.0711 | .971 | .805 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (.705) | (1.232) | 20.205 | 7.890 | 3.239 | 4.595 | |||
| Total from Investment Operations | (.127) | (.174) | 21.278 | 8.961 | 4.210 | 5.400 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.693) | (1.036) | (1.028) | (1.051) | (1.290) | (.740) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.693) | (1.036) | (1.028) | (1.051) | (1.290) | (.740) | |||
| Net Asset Value, End of Period | $91.58 | $92.40 | $93.61 | $73.36 | $65.45 | $62.53 | |||
| Total Return2 | -0.16% | -0.14% | 29.24% | 13.81% | 6.83% | 9.43% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $300 | $321 | $328 | $204 | $169 | $139 | |||
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.09% | |||
| Ratio of Net Investment Income to Average Net Assets | 1.21% | 1.20% | 1.28% | 1.53% | 1.54% | 1.32% | |||
| Portfolio Turnover Rate3 | 4% | 9% | 28% | 6% | 7% | 6% | |||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Consumer Discretionary Index Fund
Notes to Financial Statements
Vanguard Consumer Discretionary Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
22
Consumer Discretionary Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
23
Consumer Discretionary Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $150,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $4,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 3,049,538 | — | 3 | 3,049,541 | ||||||||||||
| Temporary Cash Investments | 28,750 | — | — | 28,750 | ||||||||||||
| Total | 3,078,288 | — | 3 | 3,078,291 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 5,722 | — | 5,722 | ||||||||||||
E. As of February 29, 2020, 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 | 2,834,349 | |||
| Gross Unrealized Appreciation | 576,970 | |||
| Gross Unrealized Depreciation | (338,750 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 238,220 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $81,895,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
24
Consumer Discretionary Index Fund
F. During the six months ended February 29, 2020, the fund purchased $310,862,000 of investment securities and sold $581,053,000 of investment securities, other than temporary cash investments. Purchases and sales include $169,208,000 and $446,510,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 197,571 | 1,056 | 625,380 | 3,592 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (446,489 | ) | (2,475 | ) | (681,292 | ) | (4,200 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (248,918 | ) | (1,419 | ) | (55,912 | ) | (608 | ) | ||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 39,780 | 408 | 108,968 | 1,234 | ||||||||||||
| Issued in Lieu of Cash Distributions | 2,045 | 22 | 3,235 | 36 | ||||||||||||
| Redeemed | (60,305 | ) | (627 | ) | (113,932 | ) | (1,303 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | (18,480 | ) | (197 | ) | (1,729 | ) | (33 | ) | ||||||||
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
25
Consumer Staples Index Fund
Sector Diversification
As of February 29, 2020
| Agricultural Products | 2.3 | % | ||
| Brewers | 0.8 | |||
| Distillers & Vintners | 2.7 | |||
| Drug Retail | 2.1 | |||
| Food Distributors | 2.9 | |||
| Food Retail | 2.1 | |||
| Household Products | 23.2 | |||
| Hypermarkets & Super Centers | 12.6 | |||
| Packaged Foods & Meats | 16.9 | |||
| Personal Products | 3.4 | |||
| Soft Drinks | 22.2 | |||
| Tobacco | 8.8 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
26
Consumer Staples Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (99.7%) | |||
| Beverages (25.6%) | |||
| Coca-Cola Co. | 11,760,430 | 629,065 | |
| PepsiCo Inc. | 4,084,185 | 539,235 | |
| Constellation Brands Inc. Class A | 520,081 | 89,652 | |
| * | Monster Beverage Corp. | 1,263,879 | 78,879 |
| Brown-Forman Corp. | 973,181 | 59,763 | |
| Molson Coors Beverage Co. Class B | 613,669 | 30,444 | |
| * | Boston Beer Co. Inc. Class A | 39,127 | 14,508 |
| Coca-Cola Consolidated Inc. | 28,449 | 5,587 | |
| *,^ | National Beverage Corp. | 84,440 | 3,571 |
| MGP Ingredients Inc. | 80,518 | 2,316 | |
| *,^ | New Age Beverages Corp. | 700,074 | 1,414 |
| * | Primo Water Corp. | 43,452 | 608 |
| 1,455,042 | |||
| Food & Staples Retailing (19.7%) | |||
| Walmart Inc. | 4,149,917 | 446,863 | |
| Costco Wholesale Corp. | 883,028 | 248,254 | |
| Walgreens Boots Alliance Inc. | 2,526,221 | 115,600 | |
| Sysco Corp. | 1,611,810 | 107,427 | |
| Kroger Co. | 2,786,832 | 78,394 | |
| * | US Foods Holding Corp. | 719,984 | 24,220 |
| Casey’s General Stores Inc. | 136,398 | 22,236 | |
| * | Performance Food Group Co. | 381,019 | 16,155 |
| * | BJ’s Wholesale Club Holdings Inc. | 478,408 | 9,214 |
| * | Sprouts Farmers Market Inc. | 532,391 | 8,508 |
| * | Chefs’ Warehouse Inc. | 211,336 | 6,471 |
| PriceSmart Inc. | 116,169 | 6,469 | |
| ^ | Rite Aid Corp. | 446,426 | 6,080 |
| Ingles Markets Inc. | 124,054 | 4,437 | |
| Weis Markets Inc. | 114,663 | 4,271 | |
| SpartanNash Co. | 278,487 | 3,462 | |
| Andersons Inc. | 179,356 | 3,295 | |
| * | United Natural Foods Inc. | 376,301 | 2,435 |
| Village Super Market Inc. | 101,328 | 2,082 | |
| Grocery Outlet Holding Corp. | 33,107 | 1,048 | |
| 1,116,921 | |||
| Food Products (19.2%) | |||
| Mondelez International Inc. | 4,513,575 | 238,317 | |
| General Mills Inc. | 1,839,019 | 90,112 | |
| Archer-Daniels-Midland Co. | 1,805,157 | 67,964 | |
| Hershey Co. | 464,140 | 66,831 | |
| Tyson Foods Inc. | 934,214 | 63,368 | |
| McCormick & Co. Inc. | 384,470 | 56,206 | |
| Kraft Heinz Co. | 2,091,314 | 51,802 | |
| Kellogg Co. | 819,084 | 49,530 | |
| Conagra Brands Inc. | 1,608,548 | 42,932 | |
| Lamb Weston Holdings Inc. | 478,774 | 41,601 | |
| Hormel Foods Corp. | 946,655 | 39,381 | |
| JM Smucker Co. | 361,686 | 37,250 | |
| Bunge Ltd. | 472,413 | 22,180 | |
| * | Post Holdings Inc. | 216,781 | 21,951 |
| Ingredion Inc. | 234,997 | 19,575 | |
| Campbell Soup Co. | 419,366 | 18,922 | |
| * | Darling Ingredients Inc. | 734,603 | 18,879 |
| * | Freshpet Inc. | 282,830 | 18,797 |
| Flowers Foods Inc. | 685,747 | 14,764 | |
| Sanderson Farms Inc. | 94,773 | 11,710 | |
| Lancaster Colony Corp. | 78,555 | 11,347 | |
| J&J Snack Foods Corp. | 66,015 | 10,616 | |
| * | Hain Celestial Group Inc. | 387,911 | 9,205 |
| * | Simply Good Foods Co. | 401,092 | 8,848 |
| * | TreeHouse Foods Inc. | 212,091 | 8,083 |
| * | Hostess Brands Inc. | 606,984 | 7,715 |
| * | Pilgrim’s Pride Corp. | 316,525 | 6,698 |
| Calavo Growers Inc. | 90,774 | 6,577 | |
| Cal-Maine Foods Inc. | 152,643 | 5,326 | |
| Fresh Del Monte Produce Inc. | 182,753 | 5,011 | |
| Tootsie Roll Industries Inc. | 153,061 | 4,910 | |
| ^ | B&G Foods Inc. | 314,751 | 4,658 |
| John B Sanfilippo & Son Inc. | 58,359 | 4,096 | |
| * | Landec Corp. | 313,085 | 3,212 |
| * | Farmer Brothers Co. | 131,706 | 1,627 |
| * | Beyond Meat Inc. | 5,379 | 482 |
| 1,090,483 | |||
| Household Products (23.1%) | |||
| Procter & Gamble Co. | 7,351,370 | 832,395 | |
| Colgate-Palmolive Co. | 2,532,274 | 171,106 | |
| Kimberly-Clark Corp. | 1,083,535 | 142,149 | |
| Clorox Co. | 402,063 | 64,097 | |
| Church & Dwight Co. Inc. | 824,185 | 57,297 | |
| WD-40 Co. | 68,699 | 11,850 | |
| ^ | Energizer Holdings Inc. | 257,866 | 11,086 |
| Spectrum Brands Holdings Inc | 201,554 | 10,862 | |
| Central Garden & Pet Co. Class A | 277,021 | 7,011 | |
| * | Central Garden & Pet Co. | 126,165 | 3,379 |
| * | Reynolds Consumer Products Inc. | 13,999 | 404 |
| 1,311,636 | |||
| Personal Products (3.4%) | |||
| Estee Lauder Cos. Inc. Class A | 689,275 | 126,551 | |
| * | Herbalife Nutrition Ltd. | 432,345 | 13,991 |
| Coty Inc. | 1,096,481 | 10,120 | |
| Medifast Inc. | 109,304 | 9,084 | |
| Inter Parfums Inc. | 144,740 | 8,693 | |
| * | Edgewell Personal Care Co. | 241,461 | 7,331 |
| Nu Skin Enterprises Inc. | 234,799 | 5,757 | |
| * | USANA Health Sciences Inc. | 74,791 | 4,944 |
| * | elf Beauty Inc. | 262,441 | 4,189 |
| 190,660 | |||
| Tobacco (8.7%) | |||
| Philip Morris International Inc. | 3,253,474 | 266,362 | |
| Altria Group Inc. | 5,326,582 | 215,034 | |
| Vector Group Ltd. | 642,764 | 7,469 | |
| Universal Corp. | 124,802 | 6,159 | |
| Turning Point Brands Inc. | 18,966 | 496 | |
| 495,520 | |||
| Total Common Stocks (Cost $5,429,838) | 5,660,262 | ||
| Temporary Cash Investment (0.7%) | |||
| Money Market Fund (0.7%) | |||
| 1,2 | Vanguard
Market Liquidity Fund, 1.706% (Cost $38,895) |
388,898 | 38,901 |
| Total Investments (100.4%) (Cost $5,468,733) | 5,699,163 | ||
| Other Assets and Liabilities—Net (-0.4%)2,3 | (22,538) | ||
| Net Assets (100%) | 5,676,625 | ||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $21,166,000. |
| 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. |
| 2 | Collateral of $22,103,000 was received for securities on loan. |
| 3 | Cash of $1,370,000 has been segregated as collateral for open over-the-counter swap contracts. |
27
Consumer Staples Index Fund
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Campbell Soup Co. | 2/2/21 | GSI | 8,435 | (1.647 | ) | — | (542 | ) | ||||||||||||||||
| Coca-Cola Co. | 2/2/21 | GSI | 11,906 | (1.647 | ) | — | (1,212 | ) | ||||||||||||||||
| — | (1,754 | ) | ||||||||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Consumer Staples Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost 5,429,838) | 5,660,262 |
| Affiliated Issuers (Cost 38,895) | 38,901 |
| Total Investments in Securities | 5,699,163 |
| Investment in Vanguard | 277 |
| Cash | 9 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 1,370 |
| Receivables for Investment Securities Sold | 20,430 |
| Receivables for Accrued Income | 5,157 |
| Receivables for Capital Shares Issued | 1,489 |
| Total Assets | 5,727,895 |
| Liabilities | |
| Payables for Investment Securities Purchased | 20,592 |
| Collateral for Securities on Loan | 22,103 |
| Payables for Capital Shares Redeemed | 5,852 |
| Payables to Vanguard | 969 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,754 |
| Total Liabilities | 51,270 |
| Net Assets | 5,676,625 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 5,404,995 |
| Total Distributable Earnings (Loss) | 271,630 |
| Net Assets | 5,676,625 |
| ETF Shares—Net Assets | |
| Applicable to 33,736,155 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,969,930 |
| Net Asset Value Per Share—ETF Shares | $147.32 |
| Admiral Shares—Net Assets | |
| Applicable to 9,728,846 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 706,695 |
| Net Asset Value Per Share—Admiral Shares | $72.64 |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Consumer Staples Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 76,725 | |||
| Interest1 | 129 | |||
| Securities Lending—Net | 501 | |||
| Total Income | 77,355 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 468 | |||
| Management and Administrative—ETF Shares | 1,956 | |||
| Management and Administrative—Admiral Shares | 287 | |||
| Marketing and Distribution—ETF Shares | 166 | |||
| Marketing and Distribution—Admiral Shares | 28 | |||
| Shareholders’ Reports—ETF Shares | 194 | |||
| Shareholders’ Reports—Admiral Shares | 5 | |||
| Trustees’ Fees and Expenses | 2 | |||
| Total Expenses | 3,106 | |||
| Expenses Paid Indirectly | (1 | ) | ||
| Net Expenses | 3,105 | |||
| Net Investment Income | 74,250 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 145,165 | |||
| Swap Contracts | 2,289 | |||
| Realized Net Gain (Loss) | 147,454 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (435,511 | ) | ||
| Swap Contracts | (2,473 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (437,984 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (216,280 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 129,000, ( $1,000), and $ 6,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $141,514,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 74,250 | 141,158 | ||||||
| Realized Net Gain (Loss) | 147,454 | 115,413 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (437,984 | ) | 408,242 | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (216,280 | ) | 664,813 | |||||
| Distributions1 | ||||||||
| ETF Shares | (74,668 | ) | (116,549 | ) | ||||
| Admiral Shares | (10,190 | ) | (15,822 | ) | ||||
| Total Distributions | (84,858 | ) | (132,371 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (60,787 | ) | 844,523 | |||||
| Admiral Shares | 33,235 | 58,390 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | (27,552 | ) | 902,913 | |||||
| Total Increase (Decrease) | (328,690 | ) | 1,435,355 | |||||
| Net Assets | ||||||||
| Beginning of Period | 6,005,315 | 4,569,960 | ||||||
| End of Period | 5,676,625 | 6,005,315 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Consumer Staples Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $154.72 | $140.13 | $140.15 | $139.97 | $123.72 | $117.12 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | 1.8881 | 3.8961 | 3.6031 | 3.6511 | 3.189 | 2.903 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | (7.135) | 14.346 | (.033) | .212 | 17.752 | 6.114 | ||||
| Total from Investment Operations | (5.247) | 18.242 | 3.570 | 3.863 | 20.941 | 9.017 | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (2.153) | (3.652) | (3.590) | (3.683) | (4.691) | (2.417) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (2.153) | (3.652) | (3.590) | (3.683) | (4.691) | (2.417) | ||||
| Net Asset Value, End of Period | $147.32 | $154.72 | $140.13 | $140.15 | $139.97 | $123.72 | ||||
| Total Return | -3.48% | 13.24% | 2.60% | 2.83% | 17.36% | 7.67% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $4,970 | $5,296 | $3,983 | $3,780 | $3,518 | $2,393 | ||||
| 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 | 2.40% | 2.71% | 2.60% | 2.63% | 2.50% | 2.53% | ||||
| Portfolio Turnover Rate2 | 1% | 6% | 8% | 5% | 6% | 6% | ||||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
Consumer Staples Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $76.29 | $69.09 | $69.10 | $69.02 | $61.01 | $57.54 | |||
| Investment Operations | |||||||||
| Net Investment Income | .9291 | 1.9231 | 1.7761 | 1.7971 | 1.575 | 1.431 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (3.517) | 7.076 | (.018) | .101 | 8.752 | 3.025 | |||
| Total from Investment Operations | (2.588) | 8.999 | 1.758 | 1.898 | 10.327 | 4.456 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.062) | (1.799) | (1.768) | (1.818) | (2.317) | (1.186) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (1.062) | (1.799) | (1.768) | (1.818) | (2.317) | (1.186) | |||
| Net Asset Value, End of Period | $72.64 | $76.29 | $69.09 | $69.10 | $69.02 | $61.01 | |||
| Total Return2 | -3.47% | 13.24% | 2.59% | 2.81% | 17.37% | 7.73% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $707 | $710 | $587 | $742 | $728 | $319 | |||
| 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 | 2.39% | 2.71% | 2.60% | 2.63% | 2.50% | 2.53% | |||
| Portfolio Turnover Rate3 | 1% | 6% | 8% | 5% | 6% | 6% | |||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
32
Consumer Staples Index Fund
Notes to Financial Statements
Vanguard Consumer Staples Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
33
Consumer Staples Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
34
Consumer Staples Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $277,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 5,660,262 | — | — | 5,660,262 | ||||||||||||
| Temporary Cash Investments | 38,901 | — | — | 38,901 | ||||||||||||
| Total | 5,699,163 | — | — | 5,699,163 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 1,754 | — | 1,754 | ||||||||||||
E. As of February 29, 2020, 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 | 5,468,733 | |||
| Gross Unrealized Appreciation | 761,215 | |||
| Gross Unrealized Depreciation | (532,539 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 228,676 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $121,403,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
35
Consumer Staples Index Fund
F. During the six months ended February 29, 2020, the fund purchased $520,785,000 of investment securities and sold $553,546,000 of investment securities, other than temporary cash investments. Purchases and sales include $329,518,000 and $485,783,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 425,448 | 2,682 | 1,595,617 | 11,157 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (486,235 | ) | (3,175 | ) | (751,094 | ) | (5,350 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (60,787 | ) | (493 | ) | 844,523 | 5,807 | ||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 120,237 | 1,546 | 217,155 | 3,077 | ||||||||||||
| Issued in Lieu of Cash Distributions | 8,474 | 109 | 13,107 | 184 | ||||||||||||
| Redeemed | (95,476 | ) | (1,227 | ) | (171,872 | ) | (2,460 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | 33,235 | 428 | 58,390 | 801 | ||||||||||||
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
36
Energy Index Fund
Sector Diversification
As of February 29, 2020
| Coal & Consumable Fuels | 0.2 | % | ||
| Integrated Oil & Gas | 43.0 | |||
| Oil & Gas Drilling | 1.0 | |||
| Oil & Gas Equipment & Services | 9.7 | |||
| Oil & Gas Exploration & Production | 22.9 | |||
| Oil & Gas Refining & Marketing | 11.4 | |||
| Oil & Gas Storage & Transportation | 11.8 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
37
Energy Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Common Stocks (98.9%) | ||||
| Energy Equipment & Services (10.5%) | ||||
| Oil & Gas Drilling (0.9%) | ||||
| Helmerich & Payne Inc. | 333,774 | 12,313 | ||
| * | Transocean Ltd. | 1,633,035 | 5,471 | |
| Patterson-UTI Energy Inc. | 658,615 | 3,774 | ||
| *,^ | Valaris plc Class A | 677,496 | 2,500 | |
| Nabors Industries Ltd. | 1,224,479 | 2,155 | ||
| *,^ | Diamond Offshore Drilling Inc. | 266,017 | 811 | |
| * | Noble Corp. plc | 1,076,906 | 755 | |
| Oil & Gas Equipment & Services (9.6%) | ||||
| Schlumberger Ltd. | 4,132,943 | 111,961 | ||
| Halliburton Co. | 2,622,721 | 44,481 | ||
| Baker Hughes Co. | 1,896,449 | 30,514 | ||
| National Oilwell Varco Inc. | 1,167,086 | 21,836 | ||
| TechnipFMC plc | 1,287,051 | 19,100 | ||
| * | Apergy Corp. | 243,749 | 4,534 | |
| Cactus Inc. | 152,075 | 4,153 | ||
| * | Dril-Quip Inc. | 114,884 | 4,092 | |
| Core Laboratories NV | 140,733 | 3,777 | ||
| * | Oceaneering International Inc. | 323,017 | 3,405 | |
| * | Helix Energy Solutions Group Inc. | 468,946 | 3,147 | |
| Archrock Inc. | 428,684 | 3,022 | ||
| * | NexTier Oilfield Solutions Inc. | 603,542 | 2,812 | |
| * | ProPetro Holding Corp. | 283,463 | 2,483 | |
| * | SEACOR Holdings Inc. | 59,957 | 2,236 | |
| DMC Global Inc. | 52,344 | 1,888 | ||
| * | Tidewater Inc. | 129,171 | 1,794 | |
| * | Oil States International Inc. | 196,680 | 1,556 | |
| * | Select Energy Services Inc. | 218,333 | 1,419 | |
| * | Frank’s International NV | 353,110 | 1,384 | |
| Liberty Oilfield Services Inc. | 196,370 | 1,314 | ||
| * | Matrix Service Co. | 98,966 | 1,196 | |
| * | Newpark Resources Inc. | 317,024 | 1,113 | |
| US Silica Holdings Inc. | 236,198 | 1,084 | ||
| RPC Inc. | 251,489 | 865 | ||
| * | TETRA Technologies Inc. | 566,553 | 714 | |
| * | Exterran Corp. | 129,467 | 660 | |
| * | SEACOR Marine Holdings Inc. | 79,706 | 634 | |
| * | Covia Holdings Corp. | 291,624 | 449 | |
| * | Nine Energy Service Inc. | 95,699 | 389 | |
| * | Forum Energy Technologies Inc. | 453,024 | 353 | |
| * | KLX Energy Services Holdings Inc. | 88,813 | 215 | |
| * | FTS International Inc. | 202,795 | 188 | |
| Solaris Oilfield Infrastructure Inc. | 8,695 | 92 | ||
| 306,639 | ||||
| Oil, Gas & Consumable Fuels (88.4%) | ||||
| Coal & Consumable Fuels (0.2%) | ||||
| Arch Coal Inc. | 55,538 | 2,796 | ||
| Peabody Energy Corp. | 240,525 | 1,405 | ||
| * | CONSOL Energy Inc. | 101,823 | 579 | |
| * | Contura Energy Inc. | 66,434 | 378 | |
| Integrated Oil & Gas (42.6%) | ||||
| Exxon Mobil Corp. | 12,277,530 | 631,556 | ||
| Chevron Corp. | 5,660,537 | 528,355 | ||
| Occidental Petroleum Corp. | 2,412,867 | 78,997 | ||
| * | Unit Corp. | 272,624 | 96 | |
| Oil & Gas Exploration & Production (22.7%) | ||||
| ConocoPhillips | 2,922,776 | 141,521 | ||
| EOG Resources Inc. | 1,731,503 | 109,535 | ||
| Pioneer Natural Resources Co. | 507,880 | 62,358 | ||
| Hess Corp. | 818,376 | 45,976 | ||
| Concho Resources Inc. | 601,868 | 40,939 | ||
| Diamondback Energy Inc. | 469,113 | 29,085 | ||
| Apache Corp. | 1,140,065 | 28,410 | ||
| Noble Energy Inc. | 1,440,292 | 22,800 | ||
| Marathon Oil Corp. | 2,546,350 | 21,084 | ||
| Devon Energy Corp. | 1,234,789 | 20,053 | ||
| Cabot Oil & Gas Corp. | 1,314,994 | 18,318 | ||
| ^ | Texas Pacific Land Trust | 18,984 | 13,209 | |
| Parsley Energy Inc. | 941,490 | 12,616 | ||
| * | WPX Energy Inc. | 1,291,285 | 12,048 | |
| Cimarex Energy Co. | 311,040 | 10,280 | ||
| Murphy Oil Corp. | 508,694 | 9,589 | ||
| * | PDC Energy Inc. | 337,837 | 6,429 | |
| Continental Resources Inc. | 291,531 | 5,525 | ||
| EQT Corp. | 787,582 | 4,623 | ||
| * | Matador Resources Co. | 352,996 | 3,403 | |
| * | CNX Resources Corp. | 629,620 | 3,343 | |
| * | Callon Petroleum Co. | 1,329,010 | 3,017 | |
| Kosmos Energy Ltd. | 888,627 | 2,710 | ||
| * | Magnolia Oil & Gas Corp. Class A | 358,849 | 2,695 | |
| * | Southwestern Energy Co. | 1,807,660 | 2,567 | |
| SM Energy Co. | 355,315 | 2,334 | ||
| ^ | Range Resources Corp. | 740,939 | 2,052 | |
| QEP Resources Inc. | 795,109 | 1,789 | ||
| * | Oasis Petroleum Inc. | 976,429 | 1,596 | |
| Berry Corp. | 238,029 | 1,516 | ||
| * | Centennial Resource Development Inc. | 639,650 | 1,516 | |
| * | Antero Resources Corp. | 870,211 | 1,392 | |
| * | Denbury Resources Inc. | 1,730,628 | 1,302 | |
| * | Northern Oil and Gas Inc. | 834,419 | 1,210 | |
| * | Talos Energy Inc. | 83,096 | 1,180 | |
| *,^ | California Resources Corp. | 176,073 | 1,118 | |
| *,^ | Chesapeake Energy Corp. | 3,918,418 | 1,078 | |
| * | Gran Tierra Energy Inc. | 1,381,077 | 1,059 | |
| * | Bonanza Creek Energy Inc. | 61,896 | 1,008 | |
| * | W&T Offshore Inc. | 371,003 | 965 | |
| * | Penn Virginia Corp. | 43,115 | 686 | |
| Falcon Minerals Corp. | 171,260 | 684 | ||
| * | Laredo Petroleum Inc. | 580,657 | 627 | |
| *,^ | Tellurian Inc. | 346,484 | 624 | |
| *,^ | Montage Resources Corp. | 170,990 | 597 | |
| *,^ | Whiting Petroleum Corp. | 309,958 | 573 | |
| * | Ring Energy Inc. | 381,801 | 538 | |
| * | Gulfport Energy Corp. | 560,887 | 460 | |
| * | HighPoint Resources Corp. | 646,028 | 440 | |
| * | SandRidge Energy Inc. | 160,208 | 330 | |
| *,^ | Extraction Oil & Gas Inc. | 392,505 | 270 | |
| Brigham Minerals Inc. Class A | 7,778 | 124 | ||
| Viper Energy Partners LP | 3,936 | 70 | ||
| * | Sanchez Energy Corp. | 111 | — | |
| Oil & Gas Refining & Marketing (11.2%) | ||||
| Phillips 66 | 1,348,409 | 100,942 | ||
| Marathon Petroleum Corp. | 1,972,442 | 93,533 | ||
| Valero Energy Corp. | 1,249,320 | 82,767 | ||
| HollyFrontier Corp. | 498,855 | 16,801 | ||
| PBF Energy Inc. | 354,660 | 7,941 | ||
| World Fuel Services Corp. | 209,151 | 5,915 | ||
| Delek US Holdings Inc. | 239,813 | 5,127 | ||
| * | Renewable Energy Group Inc. | 142,484 | 3,769 | |
| CVR Energy Inc. | 97,935 | 2,783 | ||
| Green Plains Inc. | 164,430 | 1,971 | ||
| * | Par Pacific Holdings Inc. | 111,499 | 1,850 | |
| * | REX American Resources Corp. | 21,778 | 1,525 | |
| * | Clean Energy Fuels Corp. | 594,116 | 1,343 | |
| *,^ | New Fortress Energy LLC | 6,043 | 85 | |
| Oil & Gas Storage & Transportation (11.7%) | ||||
| Kinder Morgan Inc. | 5,379,776 | 103,130 | ||
| ONEOK Inc. | 1,233,212 | 82,280 | ||
| Williams Cos. Inc. | 3,620,903 | 68,978 | ||
| * | Cheniere Energy Inc. | 695,125 | 35,653 | |
| Targa Resources Corp. | 702,086 | 22,748 | ||
| Plains GP Holdings LP | 531,628 | 7,321 | ||
| Tallgrass Energy LP | 256,296 | 5,656 | ||
| Equitrans Midstream Corp. | 672,945 | 4,751 | ||
| EnLink Midstream LLC | 839,640 | 3,199 | ||
| Antero Midstream Corp. | 724,652 | 3,159 | ||
| * | International Seaways Inc. | 82,485 | 1,641 | |
| * | Altus Midstream Co. Class A | 280,550 | 410 | |
| Rattler Midstream LP | 6,541 | 82 | ||
| * | Diamond S Shipping Inc. | 7,665 | 79 | |
| 2,568,872 | ||||
| Total Common Stocks (Cost $5,066,117) | 2,875,511 | |||
38
Energy Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Temporary Cash Investment (0.8%) | |||
| Money Market Fund (0.8%) | |||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | ||
| (Cost $21,870) | 218,701 | 21,877 | |
| Total Investments (99.7%) (Cost $5,087,987) | 2,897,388 | ||
| Other Assets and Liabilities—Net (0.3%)2,3 | 8,739 | ||
| Net Assets (100%) | 2,906,127 | ||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $12,422,000. |
| 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. |
| 2 | Collateral of $15,628,000 was received for securities on loan. |
| 3 | Cash of $3,780,000 has been segregated as collateral for open over-the-counter swap contracts. |
CVR—Contingent Value Rights.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Kinder Morgan Inc. | 9/2/20 | BOANA | 14,609 | (1.662 | ) | — | (1,031 | ) | ||||||||||||||||
| Occidental Petroleum Corp. | 2/2/21 | GSI | 12,468 | (1.647 | ) | — | (2,651 | ) | ||||||||||||||||
| Tallgrass Energy LP Class A | 2/2/21 | GSI | 5,464 | (1.647 | ) | — | (58 | ) | ||||||||||||||||
| — | (3,740 | ) | ||||||||||||||||||||||
| 1 | Payment received/paid monthly. |
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Energy Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,066,117) | 2,875,511 |
| Affiliated Issuers (Cost $21,870) | 21,877 |
| Total Investments in Securities | 2,897,388 |
| Investment in Vanguard | 150 |
| Cash | 77 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 3,780 |
| Receivables for Investment Securities Sold | 3,311 |
| Receivables for Accrued Income | 26,132 |
| Receivables for Capital Shares Issued | 5,324 |
| Total Assets | 2,936,162 |
| Liabilities | |
| Payables for Investment Securities Purchased | 8,461 |
| Collateral for Securities on Loan | 15,628 |
| Payables for Capital Shares Redeemed | 969 |
| Payables to Vanguard | 1,237 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 3,740 |
| Total Liabilities | 30,035 |
| Net Assets | 2,906,127 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 5,849,211 |
| Total Distributable Earnings (Loss) | (2,943,084) |
| Net Assets | 2,906,127 |
| ETF Shares—Net Assets | |
| Applicable to 41,589,492 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,544,485 |
| Net Asset Value Per Share—ETF Shares | $61.18 |
| Admiral Shares—Net Assets | |
| Applicable to 11,832,489 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 361,642 |
| Net Asset Value Per Share—Admiral Shares | $30.56 |
See accompanying Notes, which are an integral part of the Financial Statements.
40
Energy Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 71,887 | |||
| Interest1 | 238 | |||
| Securities Lending—Net | 779 | |||
| Total Income | 72,904 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 267 | |||
| Management and Administrative—ETF Shares | 1,131 | |||
| Management and Administrative—Admiral Shares | 180 | |||
| Marketing and Distribution—ETF Shares | 100 | |||
| Marketing and Distribution—Admiral Shares | 18 | |||
| Custodian Fees | 1 | |||
| Shareholders’ Reports—ETF Shares | 72 | |||
| Shareholders’ Reports—Admiral Shares | 3 | |||
| Trustees’ Fees and Expenses | 1 | |||
| Total Expenses | 1,773 | |||
| Expenses Paid Indirectly | (2 | ) | ||
| Net Expenses | 1,771 | |||
| Net Investment Income | 71,133 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | (50,972 | ) | ||
| Swap Contracts | 1,776 | |||
| Realized Net Gain (Loss) | (49,196 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (665,389 | ) | ||
| Swap Contracts | (4,530 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (669,919 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (647,982 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 239,000, $4,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $3,762,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 71,133 | 131,015 | ||||||
| Realized Net Gain (Loss) | (49,196 | ) | (19,257 | ) | ||||
| Change in Unrealized Appreciation (Depreciation) | (669,919 | ) | (1,258,888 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (647,982 | ) | (1,147,130 | ) | ||||
| Distributions1 | ||||||||
| ETF Shares | (56,495 | ) | (112,343 | ) | ||||
| Admiral Shares | (8,786 | ) | (16,737 | ) | ||||
| Total Distributions | (65,281 | ) | (129,080 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | 140,370 | (148,483 | ) | |||||
| Admiral Shares | (18,339 | ) | (7,983 | ) | ||||
| Net Increase (Decrease) from Capital Share Transactions | 122,031 | (156,466 | ) | |||||
| Total Increase (Decrease) | (591,232 | ) | (1,432,676 | ) | ||||
| Net Assets | ||||||||
| Beginning of Period | 3,497,359 | 4,930,035 | ||||||
| End of Period | 2,906,127 | 3,497,359 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
41
Energy Index Fund
Financial Highlights
ETF Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $75.75 | $103.13 | $85.71 | $95.06 | $93.86 | $142.26 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.5531 | 2.7691 | 2.5191 | 2.8191,2 | 2.470 | 2.9531 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (14.694) | (27.449) | 17.837 | (9.801) | 2.587 | (49.144) | |||
| Total from Investment Operations | (13.141) | (24.680) | 20.356 | (6.982) | 5.057 | (46.191) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.429) | (2.700) | (2.936) | (2.368) | (3.857) | (2.209) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (1.429) | (2.700) | (2.936) | (2.368) | (3.857) | (2.209) | |||
| Net Asset Value, End of Period | $61.18 | $75.75 | $103.13 | $85.71 | $95.06 | $93.86 | |||
| Total Return | -17.77% | -24.34% | 24.06% | -7.55% | 5.82% | -32.70% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $2,544 | $3,029 | $4,288 | $3,656 | $3,944 | $3,736 | |||
| 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 | 4.03% | 3.15% | 2.56% | 2.93%2 | 2.86% | 2.65% | |||
| Portfolio Turnover Rate3 | 3% | 7% | 5% | 11% | 15% | 4% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.453 and 0.47%, respectively, from income received as a result of General Electric Co. and Baker Hughes Inc. merger in July 2017. |
| 3 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
Energy Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $37.84 | $51.52 | $42.82 | $47.49 | $46.89 | $71.06 | |||
| Investment Operations | |||||||||
| Net Investment Income | .7491 | 1.3881 | 1.2491 | 1.3751,2 | 1.234 | 1.4951 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (7.315) | (13.720) | 8.916 | (4.863) | 1.293 | (24.561) | |||
| Total from Investment Operations | (6.566) | (12.332) | 10.165 | (3.488) | 2.527 | (23.066) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.714) | (1.348) | (1.465) | (1.182) | (1.927) | (1.104) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.714) | (1.348) | (1.465) | (1.182) | (1.927) | (1.104) | |||
| Net Asset Value, End of Period | $30.56 | $37.84 | $51.52 | $42.82 | $47.49 | $46.89 | |||
| Total Return3 | -17.77% | -24.33% | 24.06% | -7.56% | 5.83% | -32.66% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $362 | $468 | $642 | $523 | $894 | $733 | |||
| 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 | 3.89% | 3.15% | 2.56% | 2.93%2 | 2.86% | 2.65% | |||
| Portfolio Turnover Rate4 | 3% | 7% | 5% | 11% | 15% | 4% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.228 and 0.47%, respectively, from income received as a result of General Electric Co. and Baker Hughes Inc. merger in July 2017. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Energy Index Fund
Notes to Financial Statements
Vanguard Energy Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
44
Energy Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
45
Energy Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $150,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 2,875,511 | — | — | 2,875,511 | ||||||||||||
| Temporary Cash Investments | 21,877 | — | — | 21,877 | ||||||||||||
| Total | 2,897,388 | — | — | 2,897,388 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 3,740 | — | 3,740 | ||||||||||||
E. As of February 29, 2020, 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 | 5,087,987 | |||
| Gross Unrealized Appreciation | 14,105 | |||
| Gross Unrealized Depreciation | (2,208,444 | ) | ||
| Net Unrealized Appreciation (Depreciation) | (2,194,339 | ) | ||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $729,136,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
46
Energy Index Fund
F. During the six months ended February 29, 2020, the fund purchased $652,502,000 of investment securities and sold $540,422,000 of investment securities, other than temporary cash investments. Purchases and sales include $472,830,000 and $424,382,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 564,925 | 7,503 | 743,090 | 8,685 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (424,555 | ) | (5,900 | ) | (891,573 | ) | (10,275 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | 140,370 | 1,603 | (148,483 | ) | (1,590 | ) | ||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 122,739 | 3,258 | 174,793 | 4,125 | ||||||||||||
| Issued in Lieu of Cash Distributions | 7,944 | 201 | 15,012 | 333 | ||||||||||||
| Redeemed | (149,022 | ) | (3,999 | ) | (197,788 | ) | (4,550 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | (18,339 | ) | (540 | ) | (7,983 | ) | (92 | ) | ||||||||
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
47
Financials Index Fund
Sector Diversification
As of February 29, 2020
| Asset Management & Custody Banks | 7.6 | % | ||
| Consumer Finance | 5.3 | |||
| Diversified Banks | 26.9 | |||
| Financial Exchanges & Data | 8.4 | |||
| Insurance Brokers | 4.4 | |||
| Investment Banking & Brokerage | 6.2 | |||
| Life & Health Insurance | 4.2 | |||
| Mortgage REITs | 2.0 | |||
| Multi-line Insurance | 2.0 | |||
| Multi-Sector Holdings | 7.7 | |||
| Other Diversified Financial Services | 0.5 | |||
| Property & Casualty Insurance | 8.6 | |||
| Regional Banks | 14.0 | |||
| Reinsurance | 1.0 | |||
| Thrifts & Mortgage Finance | 1.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
48
Financials Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Common Stocks (99.8%) | ||||
| Banks (40.8%) | ||||
| JPMorgan Chase & Co. | 6,145,252 | 713,525 | ||
| Bank of America Corp. | 16,735,120 | 476,951 | ||
| Wells Fargo & Co. | 7,866,894 | 321,363 | ||
| Citigroup Inc. | 4,275,527 | 271,325 | ||
| US Bancorp | 2,907,818 | 135,039 | ||
| Truist Financial Corp. | 2,629,344 | 121,318 | ||
| PNC Financial Services Group Inc. | 858,576 | 108,524 | ||
| M&T Bank Corp. | 245,427 | 34,453 | ||
| Fifth Third Bancorp | 1,390,178 | 33,920 | ||
| First Republic Bank | 329,810 | 33,169 | ||
| KeyCorp | 1,929,396 | 31,546 | ||
| Citizens Financial Group Inc. | 851,475 | 26,983 | ||
| Regions Financial Corp. | 1,888,925 | 25,538 | ||
| Huntington Bancshares Inc. | 2,023,746 | 24,831 | ||
| * | SVB Financial Group | 101,097 | 21,044 | |
| Comerica Inc. | 282,150 | 14,852 | ||
| Zions Bancorp NA | 333,715 | 13,332 | ||
| Signature Bank | 106,117 | 13,275 | ||
| People’s United Financial Inc. | 870,329 | 12,176 | ||
| Commerce Bancshares Inc. | 198,580 | 12,121 | ||
| Prosperity Bancshares Inc. | 184,971 | 11,949 | ||
| East West Bancorp Inc. | 285,479 | 11,059 | ||
| TCF Financial Corp. | 300,548 | 10,952 | ||
| Cullen/Frost Bankers Inc. | 116,399 | 9,125 | ||
| Popular Inc. | 189,681 | 9,101 | ||
| Western Alliance Bancorp | 190,984 | 8,793 | ||
| Synovus Financial Corp. | 286,720 | 8,321 | ||
| First Horizon National Corp. | 609,727 | 8,128 | ||
| Pinnacle Financial Partners Inc. | 142,586 | 7,506 | ||
| CIT Group Inc. | 185,784 | 7,377 | ||
| PacWest Bancorp | 231,587 | 7,327 | ||
| Valley National Bancorp | 751,936 | 6,993 | ||
| First Financial Bankshares Inc. | 239,568 | 6,885 | ||
| Webster Financial Corp. | 180,430 | 6,851 | ||
| Glacier Bancorp Inc. | 180,911 | 6,746 | ||
| Umpqua Holdings Corp. | 432,985 | 6,664 | ||
| Sterling Bancorp | 394,879 | 6,547 | ||
| FNB Corp. | 636,838 | 6,426 | ||
| Bank OZK | 252,035 | 6,399 | ||
| Community Bank System Inc. | 101,437 | 6,168 | ||
| IBERIABANK Corp. | 102,375 | 6,162 | ||
| First Hawaiian Inc. | 256,081 | 6,133 | ||
| Wintrust Financial Corp. | 111,950 | 5,979 | ||
| Bank of Hawaii Corp. | 79,030 | 5,881 | ||
| United Bankshares Inc. | 199,918 | 5,774 | ||
| Hancock Whitney Corp. | 170,686 | 5,718 | ||
| First Citizens BancShares Inc. | 12,373 | 5,609 | ||
| BankUnited Inc. | 185,558 | 5,511 | ||
| UMB Financial Corp. | 91,441 | 5,317 | ||
| Associated Banc-Corp | 311,177 | 5,268 | ||
| Home BancShares Inc. | 309,129 | 5,181 | ||
| BancorpSouth Bank | 202,399 | 4,953 | ||
| Investors Bancorp Inc. | 455,498 | 4,801 | ||
| Columbia Banking System Inc. | 141,508 | 4,698 | ||
| Old National Bancorp | 297,895 | 4,695 | ||
| * | Texas Capital Bancshares Inc. | 99,053 | 4,663 | |
| Fulton Financial Corp. | 319,316 | 4,614 | ||
| Cathay General Bancorp | 148,426 | 4,569 | ||
| BOK Financial Corp. | 62,986 | 4,560 | ||
| Independent Bank Corp. | 67,436 | 4,554 | ||
| South State Corp. | 66,745 | 4,547 | ||
| CenterState Bank Corp. | 220,473 | 4,460 | ||
| Ameris Bancorp | 129,688 | 4,433 | ||
| Atlantic Union Bankshares Corp. | 143,080 | 4,255 | ||
| Simmons First National Corp. | 191,295 | 4,090 | ||
| CVB Financial Corp. | 219,059 | 4,061 | ||
| First Financial Bancorp | 194,934 | 4,016 | ||
| First Midwest Bancorp Inc. | 215,368 | 3,909 | ||
| WesBanco Inc. | 127,453 | 3,901 | ||
| United Community Banks Inc. | 154,895 | 3,837 | ||
| First Merchants Corp. | 109,629 | 3,835 | ||
| International Bancshares Corp. | 108,957 | 3,715 | ||
| Cadence BanCorp Class A | 253,320 | 3,577 | ||
| First BanCorp | 430,317 | 3,417 | ||
| Towne Bank | 143,397 | 3,307 | ||
| Trustmark Corp. | 121,027 | 3,256 | ||
| Independent Bank Group Inc. | 67,164 | 3,109 | ||
| ServisFirst Bancshares Inc. | 89,372 | 3,088 | ||
| Westamerica Bancorporation | 53,038 | 3,067 | ||
| Hope Bancorp Inc. | 249,650 | 3,048 | ||
| Banner Corp. | 66,408 | 3,031 | ||
| Hilltop Holdings Inc. | 143,974 | 2,999 | ||
| Great Western Bancorp Inc. | 109,600 | 2,945 | ||
| NBT Bancorp Inc. | 86,066 | 2,900 | ||
| Heartland Financial USA Inc. | 65,085 | 2,789 | ||
| First Interstate BancSystem Inc. | 80,638 | 2,747 | ||
| Pacific Premier Bancorp Inc. | 104,447 | 2,698 | ||
| Renasant Corp. | 90,243 | 2,557 | ||
| * | Seacoast Banking Corp. of Florida | 101,904 | 2,537 | |
| Park National Corp. | 28,725 | 2,508 | ||
| S&T Bancorp Inc. | 74,654 | 2,454 | ||
| Eagle Bancorp Inc. | 63,074 | 2,360 | ||
| First Commonwealth Financial Corp. | 195,174 | 2,303 | ||
| City Holding Co. | 31,640 | 2,212 |
| Sandy Spring Bancorp Inc. | 70,544 | 2,170 | ||
| Brookline Bancorp Inc. | 154,531 | 2,143 | ||
| First Busey Corp. | 95,938 | 2,117 | ||
| Tompkins Financial Corp. | 26,616 | 2,115 | ||
| Lakeland Financial Corp. | 51,332 | 2,098 | ||
| Berkshire Hills Bancorp Inc. | 83,934 | 2,049 | ||
| Southside Bancshares Inc. | 63,341 | 2,041 | ||
| Veritex Holdings Inc. | 81,617 | 1,965 | ||
| Enterprise Financial Services Corp. | 50,117 | 1,918 | ||
| First Bancorp | 59,307 | 1,904 | ||
| BancFirst Corp. | 35,458 | 1,819 | ||
| TriCo Bancshares | 53,353 | 1,804 | ||
| National Bank Holdings Corp. | 58,822 | 1,799 | ||
| OFG Bancorp | 100,454 | 1,682 | ||
| Heritage Financial Corp. | 71,961 | 1,669 | ||
| * | Triumph Bancorp Inc. | 46,922 | 1,589 | |
| Boston Private Financial Holdings Inc. | 161,076 | 1,571 | ||
| German American Bancorp Inc. | 50,919 | 1,520 | ||
| Preferred Bank | 29,367 | 1,502 | ||
| 1st Source Corp. | 35,024 | 1,473 | ||
| Carolina Financial Corp. | 45,313 | 1,468 | ||
| Stock Yards Bancorp Inc. | 41,724 | 1,458 | ||
| Lakeland Bancorp Inc. | 96,684 | 1,393 | ||
| ConnectOne Bancorp Inc. | 65,454 | 1,375 | ||
| Banc of California Inc. | 87,407 | 1,340 | ||
| Univest Financial Corp. | 57,100 | 1,336 | ||
| Central Pacific Financial Corp. | 54,836 | 1,312 | ||
| Washington Trust Bancorp Inc. | 30,401 | 1,305 | ||
| Opus Bank | 55,062 | 1,303 | ||
| Bryn Mawr Bank Corp. | 38,674 | 1,286 | ||
| * | Bancorp Inc. | 103,191 | 1,256 | |
| Camden National Corp. | 30,070 | 1,233 | ||
| Community Trust Bancorp Inc. | 30,760 | 1,190 | ||
| Horizon Bancorp Inc. | 77,918 | 1,170 | ||
| QCR Holdings Inc. | 30,554 | 1,163 | ||
| * | Customers Bancorp Inc. | 56,998 | 1,156 | |
| * | Nicolet Bankshares Inc. | 17,300 | 1,150 | |
| Great Southern Bancorp Inc. | 22,262 | 1,142 | ||
| FB Financial Corp. | 34,244 | 1,115 | ||
| Heritage Commerce Corp. | 108,012 | 1,108 | ||
| Peoples Bancorp Inc. | 37,721 | 1,077 | ||
| Midland States Bancorp Inc. | 44,399 | 1,058 | ||
| First Foundation Inc. | 73,044 | 1,057 | ||
| First Bancshares Inc. | 35,218 | 1,051 | ||
| Origin Bancorp Inc. | 34,056 | 1,030 | ||
| First of Long Island Corp. | 48,965 | 1,014 | ||
| Dime Community Bancshares Inc. | 59,526 | 999 | ||
| CBTX Inc. | 37,490 | 935 | ||
| Bank of Marin Bancorp | 24,512 | 935 | ||
| Hanmi Financial Corp. | 59,537 | 929 |
49
Financials Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Flushing Financial Corp. | 51,121 | 928 | ||
| * | TriState Capital Holdings Inc. | 46,187 | 918 | |
| Franklin Financial Network Inc. | 27,039 | 906 | ||
| Peapack Gladstone Financial Corp. | 32,583 | 894 | ||
| Bridge Bancorp Inc. | 31,236 | 860 | ||
| Arrow Financial Corp. | 26,503 | 839 | ||
| First Community Bankshares Inc. | 32,056 | 839 | ||
| First Financial Corp. | 20,934 | 836 | ||
| * | Amerant Bancorp Inc. | 44,414 | 820 | |
| * | Atlantic Capital Bancshares Inc. | 45,111 | 818 | |
| Mercantile Bank Corp. | 28,433 | 816 | ||
| Financial Institutions Inc. | 30,272 | 815 | ||
| Live Oak Bancshares Inc. | 52,698 | 810 | ||
| MidWestOne Financial Group Inc. | 27,985 | 804 | ||
| Independent Bank Corp. | 40,213 | 787 | ||
| HomeTrust Bancshares Inc. | 33,064 | 786 | ||
| Farmers National Banc Corp. | 52,088 | 783 | ||
| People’s Utah Bancorp | 31,969 | 766 | ||
| * | Equity Bancshares Inc. | 28,709 | 752 | |
| Allegiance Bancshares Inc. | 22,144 | 735 | ||
| Bank First Corp. | 12,192 | 722 | ||
| First Mid Bancshares Inc. | 25,347 | 714 | ||
| Republic Bancorp Inc. | 19,386 | 693 | ||
| CNB Financial Corp. | 27,530 | 690 | ||
| Bar Harbor Bankshares | 31,231 | 638 | ||
| Capital City Bank Group Inc. | 23,840 | 635 | ||
| Sierra Bancorp | 26,217 | 624 | ||
| Byline Bancorp Inc. | 34,537 | 604 | ||
| West Bancorporation Inc. | 28,287 | 578 | ||
| Old Second Bancorp Inc. | 54,249 | 577 | ||
| RBB Bancorp | 32,782 | 553 | ||
| Southern National Bancorp of Virginia Inc. | 35,694 | 506 | ||
| Macatawa Bank Corp. | 51,849 | 500 | ||
| HarborOne Bancorp Inc. | 49,774 | 497 | ||
| Amalgamated Bank | 27,448 | 439 | ||
| Century Bancorp Inc. | 5,629 | 407 | ||
| * | Republic First Bancorp Inc. | 90,925 | 276 | |
| 2,919,667 | ||||
| Capital Markets (22.1%) | ||||
| CME Group Inc. | 702,612 | 139,693 | ||
| S&P Global Inc. | 479,119 | 127,403 | ||
| Goldman Sachs Group Inc. | 624,500 | 125,381 | ||
| Morgan Stanley | 2,378,402 | 107,099 | ||
| BlackRock Inc. | 226,949 | 105,080 | ||
| Intercontinental Exchange Inc. | 1,091,454 | 97,380 | ||
| Charles Schwab Corp. | 2,261,238 | 92,145 | ||
| Moody’s Corp. | 333,206 | 79,979 | ||
| Blackstone Group LP | 1,292,507 | 69,589 | ||
| Bank of New York Mellon Corp. | 1,626,097 | 64,881 | ||
| MSCI Inc. | 166,072 | 49,064 | ||
| State Street Corp. | 712,342 | 48,518 | ||
| T. Rowe Price Group Inc. | 358,083 | 42,257 | ||
| Ameriprise Financial Inc. | 248,079 | 35,054 | ||
| Northern Trust Corp. | 394,263 | 34,601 | ||
| KKR & Co. Inc. Class A | 971,515 | 27,785 | ||
| Cboe Global Markets Inc. | 217,292 | 24,771 | ||
| MarketAxess Holdings Inc. | 74,349 | 24,114 | ||
| Nasdaq Inc. | 224,879 | 23,061 | ||
| TD Ameritrade Holding Corp. | 529,279 | 22,351 | ||
| Raymond James Financial Inc. | 244,746 | 20,468 | ||
| E*TRADE Financial Corp. | 442,118 | 20,240 | ||
| FactSet Research Systems Inc. | 74,401 | 19,790 | ||
| SEI Investments Co. | 250,458 | 13,703 | ||
| Apollo Global Management LLC | 327,039 | 13,624 | ||
| Franklin Resources Inc. | 584,591 | 12,721 | ||
| LPL Financial Holdings Inc. | 157,932 | 12,552 | ||
| Invesco Ltd. | 755,577 | 10,880 | ||
| Eaton Vance Corp. | 221,815 | 9,152 | ||
| Legg Mason Inc. | 170,202 | 8,479 | ||
| Interactive Brokers Group Inc. | 142,931 | 7,304 | ||
| Stifel Financial Corp. | 133,859 | 7,287 | ||
| Affiliated Managers Group Inc. | 96,522 | 7,260 | ||
| Janus Henderson Group plc | 312,213 | 6,619 | ||
| Tradeweb Markets Inc. Class A | 124,912 | 6,023 | ||
| Ares Management Corp. Class A | 169,080 | 5,848 | ||
| Morningstar Inc. | 37,745 | 5,545 | ||
| Federated Hermes Inc. | 188,375 | 5,435 | ||
| Evercore Inc. | 76,657 | 5,107 | ||
| Houlihan Lokey Inc. | 82,009 | 4,200 | ||
| Moelis & Co. | 96,938 | 3,098 | ||
| Artisan Partners Asset Management Inc. | 104,934 | 2,999 | ||
| Cohen & Steers Inc. | 45,821 | 2,871 | ||
| Hamilton Lane Inc. | 41,027 | 2,549 | ||
| BGC Partners Inc. | 540,576 | 2,519 | ||
| Virtu Financial Inc. | 106,257 | 1,999 | ||
| Waddell & Reed Financial Inc. | 139,394 | 1,918 | ||
| Piper Sandler Cos. | 27,034 | 1,895 | ||
| PJT Partners Inc. | 41,286 | 1,856 | ||
| * | Blucora Inc. | 94,397 | 1,643 | |
| Virtus Investment Partners Inc. | 13,486 | 1,489 | ||
| * | INTL. FCStone Inc. | 31,363 | 1,429 | |
| * | Focus Financial Partners Inc. | 49,664 | 1,350 | |
| Brightsphere Investment Group Inc. | 142,203 | 1,330 | ||
| WisdomTree Investments Inc. | 238,656 | 969 | ||
| Sculptor Capital Management Inc. Class A | 35,830 | 813 | ||
| Diamond Hill Investment Group Inc. | 6,385 | 809 | ||
| Cowen Inc. | 51,128 | 765 | ||
| B. Riley Financial Inc. | 27,252 | 645 | ||
| Victory Capital Holdings Inc. Class A | 29,229 | 578 | ||
| * | Donnelley Financial Solutions Inc. | 62,516 | 544 | |
| Oppenheimer Holdings Inc. | 18,151 | 431 | ||
| Greenhill & Co. Inc. | 27,461 | 401 | ||
| Westwood Holdings Group Inc. | 14,764 | 375 | ||
| Associated Capital Group Inc. | 6,880 | 283 | ||
| Pzena Investment Management Inc. | 34,411 | 225 |
| GAMCO Investors Inc. Class A | 9,938 | 155 | ||
| 1,578,381 | ||||
| Consumer Finance (5.3%) | ||||
| American Express Co. | 1,362,893 | 149,823 | ||
| Capital One Financial Corp. | 912,853 | 80,568 | ||
| Discover Financial Services | 614,248 | 40,282 | ||
| Synchrony Financial | 1,139,064 | 33,147 | ||
| Ally Financial Inc. | 744,490 | 18,664 | ||
| SLM Corp. | 826,024 | 8,566 | ||
| * | Credit Acceptance Corp. | 20,217 | 8,152 | |
| FirstCash Inc. | 83,965 | 6,459 | ||
| OneMain Holdings Inc | 160,100 | 5,884 | ||
| ^ | Santander Consumer USA Holdings Inc. | 199,769 | 4,874 | |
| Navient Corp. | 389,823 | 4,378 | ||
| * | LendingTree Inc. | 15,355 | 4,235 | |
| * | PRA Group Inc. | 89,755 | 3,484 | |
| * | Green Dot Corp. | 96,294 | 3,289 | |
| Nelnet Inc. | 38,407 | 2,040 | ||
| * | Encore Capital Group Inc. | 50,625 | 1,881 | |
| LendingClub Corp. | 124,538 | 1,371 | ||
| * | Enova International Inc. | 65,022 | 1,250 | |
| * | World Acceptance Corp. | 11,625 | 908 | |
| * | EZCORP Inc. | 101,297 | 486 | |
| Curo Group Holdings Corp. | 27,111 | 250 | ||
| 379,991 | ||||
| Diversified Financial Services (8.1%) | ||||
| * | Berkshire Hathaway Inc. | 2,576,417 | 531,618 | |
| * | Equitable Holdings Inc. | 820,922 | 17,568 | |
| Voya Financial Inc. | 264,057 | 13,900 | ||
| Jefferies Financial Group Inc. | 499,897 | 9,853 | ||
| * | Cannae Holdings Inc. | 120,147 | 4,480 | |
| FGL Holdings | 326,533 | 3,735 | ||
| * | On Deck Capital Inc. | 102,463 | 358 | |
| 581,512 | ||||
| Equity Real Estate Investment Trusts (REITs) (0.0%) | ||||
| *,§ | Winthrop Realty Trust | 23,515 | — | |
| Insurance (20.2%) | ||||
| Chubb Ltd. | 888,364 | 128,839 | ||
| Marsh & McLennan Cos. Inc. | 989,287 | 103,440 | ||
| Aon plc | 458,889 | 95,449 | ||
| Progressive Corp. | 1,146,146 | 83,852 | ||
| American International Group Inc. | 1,705,660 | 71,911 | ||
| Allstate Corp. | 634,897 | 66,823 | ||
| MetLife Inc. | 1,531,876 | 65,442 | ||
| Aflac Inc. | 1,438,810 | 61,653 | ||
| Travelers Cos. Inc. | 506,003 | 60,624 | ||
| Prudential Financial Inc. | 788,242 | 59,473 | ||
| Willis Towers Watson plc | 252,009 | 47,693 | ||
| Arthur J Gallagher & Co. | 365,780 | 35,660 | ||
| Hartford Financial Services Group Inc. | 706,613 | 35,295 | ||
| * | Arch Capital Group Ltd. | 794,870 | 32,137 | |
| * | Markel Corp. | 27,111 | 32,034 | |
| Cincinnati Financial Corp. | 304,401 | 28,382 | ||
| Principal Financial Group Inc. | 544,384 | 24,165 | ||
| Loews Corp. | 523,987 | 23,910 | ||
50
Financials Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Fidelity National Financial Inc. | 539,311 | 20,904 | ||
| Brown & Brown Inc. | 469,579 | 20,197 | ||
| Everest Re Group Ltd. | 79,996 | 19,829 | ||
| WR Berkley Corp. | 288,077 | 19,341 | ||
| * | Alleghany Corp. | 28,290 | 19,018 | |
| Globe Life Inc. | 201,725 | 18,692 | ||
| Lincoln National Corp. | 388,760 | 17,646 | ||
| Reinsurance Group of America Inc. | 122,796 | 14,985 | ||
| RenaissanceRe Holdings Ltd. | 86,545 | 14,747 | ||
| Assurant Inc. | 118,086 | 14,240 | ||
| American Financial Group Inc. | 150,368 | 13,897 | ||
| First American Financial Corp. | 220,291 | 12,579 | ||
| * | Athene Holding Ltd. Class A | 281,860 | 11,627 | |
| Old Republic International Corp. | 565,565 | 11,153 | ||
| Unum Group | 403,175 | 9,398 | ||
| Axis Capital Holdings Ltd. | 164,588 | 9,237 | ||
| Hanover Insurance Group Inc. | 77,309 | 9,164 | ||
| Primerica Inc. | 80,912 | 9,009 | ||
| Kemper Corp. | 111,142 | 7,651 | ||
| Assured Guaranty Ltd. | 187,076 | 7,635 | ||
| * | Brighthouse Financial Inc. | 211,545 | 7,582 | |
| Erie Indemnity Co. | 49,866 | 7,127 | ||
| Selective Insurance Group Inc. | 116,459 | 6,496 | ||
| White Mountains Insurance Group Ltd. | 6,312 | 6,250 | ||
| RLI Corp. | 74,748 | 6,008 | ||
| Kinsale Capital Group Inc. | 41,336 | 5,021 | ||
| * | eHealth Inc. | 40,799 | 4,788 | |
| CNO Financial Group Inc. | 295,067 | 4,727 | ||
| American Equity Investment Life Holding Co. | 178,636 | 4,516 | ||
| * | Enstar Group Ltd. | 23,001 | 4,103 | |
| * | Genworth Financial Inc. | 988,726 | 3,856 | |
| Argo Group International Holdings Ltd. | 67,415 | 3,793 | ||
| Horace Mann Educators Corp. | 81,034 | 3,155 | ||
| ProAssurance Corp. | 106,021 | 2,878 | ||
| National General Holdings Corp. | 132,556 | 2,581 | ||
| AMERISAFE Inc. | 37,628 | 2,452 | ||
| James River Group Holdings Ltd. | 59,849 | 2,418 | ||
| Employers Holdings Inc. | 61,792 | 2,381 | ||
| Mercury General Corp. | 53,931 | 2,336 | ||
| Safety Insurance Group Inc. | 28,897 | 2,275 | ||
| *,^ | Trupanion Inc. | 57,488 | 1,767 | |
| * | Ambac Financial Group Inc. | 87,680 | 1,685 | |
| * | Palomar Holdings Inc. | 32,679 | 1,660 | |
| Stewart Information Services Corp. | 45,776 | 1,656 | ||
| American National Insurance Co. | 16,155 | 1,589 | ||
| United Fire Group Inc. | 41,169 | 1,578 | ||
| Goosehead Insurance Inc. | 24,781 | 1,344 | ||
| * | Third Point Reinsurance Ltd. | 145,480 | 1,298 | |
| Universal Insurance Holdings Inc. | 61,786 | 1,278 |
| * | MBIA Inc. | 145,343 | 1,134 | |
| National Western Life Group Inc. | 4,656 | 1,112 | ||
| FBL Financial Group Inc. Class A | 21,378 | 1,021 | ||
| * | Watford Holdings Ltd. | 38,959 | 889 | |
| State Auto Financial Corp. | 33,706 | 842 | ||
| Heritage Insurance Holdings Inc. | 52,075 | 581 | ||
| * | Citizens Inc. Class A | 97,519 | 569 | |
| Global Indemnity Ltd. | 17,850 | 567 | ||
| * | Health Insurance Innovations Inc. | 19,240 | 566 | |
| HCI Group Inc. | 13,129 | 558 | ||
| * | Greenlight Capital Re Ltd. | 55,516 | 469 | |
| United Insurance Holdings Corp. | 41,564 | 391 | ||
| Donegal Group Inc. | 24,803 | 354 | ||
| Protective Insurance Corp. | 18,744 | 267 | ||
| Crawford & Co. Class A | 32,262 | 240 | ||
| Crawford & Co. Class B | 19,130 | 131 | ||
| 1,446,020 | ||||
| Mortgage Real Estate Investment Trusts (REITs) (2.0%) | ||||
| Annaly Capital Management Inc. | 2,802,817 | 24,833 | ||
| AGNC Investment Corp. | 1,060,494 | 18,071 | ||
| New Residential Investment Corp. | 814,381 | 12,672 | ||
| Starwood Property Trust Inc. | 552,433 | 12,253 | ||
| ^ | Blackstone Mortgage Trust Inc. | 249,980 | 9,014 | |
| Two Harbors Investment Corp. | 535,170 | 7,251 | ||
| Chimera Investment Corp. | 367,208 | 7,216 | ||
| MFA Financial Inc. | 885,689 | 6,403 | ||
| Invesco Mortgage Capital Inc. | 318,643 | 5,124 | ||
| Apollo Commercial Real Estate Finance Inc. | 286,042 | 4,634 | ||
| New York Mortgage Trust Inc. | 730,278 | 4,162 | ||
| Redwood Trust Inc. | 221,257 | 3,779 | ||
| PennyMac Mortgage Investment Trust | 178,768 | 3,700 | ||
| Ladder Capital Corp. | 178,681 | 2,725 | ||
| Colony Credit Real Estate Inc. | 166,877 | 2,124 | ||
| ARMOUR Residential REIT Inc. | 114,748 | 2,075 | ||
| Arbor Realty Trust Inc. | 163,365 | 1,983 | ||
| Granite Point Mortgage Trust Inc. | 107,589 | 1,767 | ||
| TPG RE Finance Trust Inc. | 83,985 | 1,614 | ||
| Ellington Financial Inc. | 79,407 | 1,313 | ||
| Capstead Mortgage Corp. | 182,105 | 1,293 | ||
| Ready Capital Corp. | 76,381 | 1,107 | ||
| Western Asset Mortgage Capital Corp. | 102,188 | 1,024 | ||
| KKR Real Estate Finance Trust Inc. | 50,808 | 998 | ||
| AG Mortgage Investment Trust Inc. | 62,917 | 942 | ||
| Ares Commercial Real Estate Corp. | 60,295 | 920 | ||
| Dynex Capital Inc. | 47,173 | 807 | ||
| Exantas Capital Corp. | 61,579 | 706 | ||
| Orchid Island Capital Inc. | 120,541 | 691 | ||
| Anworth Mortgage Asset Corp. | 189,865 | 621 | ||
| 141,822 | ||||
| Other (0.0%)1 | ||||
| *,§ | NewStar Financial Inc. CVR | 42,593 | 10 | |
| *,§ | American International Group Inc. Warrants Exp. 01/19/2021 | 7,950 | — | |
| 10 | ||||
| Thrifts & Mortgage Finance (1.3%) | ||||
| New York Community Bancorp Inc. | 915,963 | 9,902 | ||
| Radian Group Inc. | 394,785 | 8,385 | ||
| MGIC Investment Corp. | 686,375 | 8,257 | ||
| Essent Group Ltd. | 183,164 | 7,993 | ||
| Washington Federal Inc. | 154,641 | 4,638 | ||
| PennyMac Financial Services Inc. | 123,076 | 4,340 | ||
| Walker & Dunlop Inc. | 56,873 | 3,688 | ||
| WSFS Financial Corp. | 97,375 | 3,355 | ||
| Capitol Federal Financial Inc. | 265,827 | 3,244 | ||
| * | NMI Holdings Inc. | 133,318 | 3,112 | |
| Northwest Bancshares Inc. | 198,821 | 2,762 | ||
| * | Axos Financial Inc. | 109,138 | 2,719 | |
| Provident Financial Services Inc. | 122,102 | 2,440 | ||
| OceanFirst Financial Corp. | 114,545 | 2,341 | ||
| Flagstar Bancorp Inc. | 73,041 | 2,329 | ||
| Meta Financial Group Inc. | 65,620 | 2,156 | ||
| * | Mr Cooper Group Inc. | 140,875 | 1,807 | |
| Kearny Financial Corp. | 160,182 | 1,748 | ||
| * | Columbia Financial Inc. | 111,364 | 1,728 | |
| Meridian Bancorp Inc. | 98,106 | 1,620 | ||
| TrustCo Bank Corp. NY | 196,627 | 1,349 | ||
| Federal Agricultural Mortgage Corp. | 17,662 | 1,326 | ||
| Northfield Bancorp Inc. | 87,142 | 1,231 | ||
| HomeStreet Inc. | 44,517 | 1,206 | ||
| First Defiance Financial Corp. | 37,514 | 897 | ||
| Waterstone Financial Inc. | 48,676 | 809 | ||
| PCSB Financial Corp. | 30,511 | 560 | ||
| * | Bridgewater Bancshares Inc. | 41,190 | 515 | |
| Home Bancorp Inc. | 15,094 | 499 | ||
| Hingham Institution for Savings | 2,634 | 482 | ||
| Luther Burbank Corp. | 38,046 | 397 | ||
| Merchants Bancorp | 16,612 | 299 | ||
| * | Ocwen Financial Corp. | 220,250 | 275 | |
| Sterling Bancorp Inc. | 30,407 | 213 | ||
| 88,622 | ||||
| Total Common Stocks (Cost $7,139,947) | 7,136,025 | |||
51
Financials Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Temporary Cash Investments (0.2%) | ||||
| 2,3 | Vanguard Market Liquidity Fund, 1.706% | |||
| (Cost $17,532) | 175,288 | 17,534 | ||
| Total Investments (100.0%) (Cost $7,157,479) | 7,153,559 | |||
| Other Assets and Liabilities—Net (0.0%)2,4 | 60 | |||
| Net Assets (100%) | 7,153,619 | |||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $12,092,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | Collateral of $12,896,000 was received for securities on loan. |
| 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 | Cash of $1,390,000 has been segregated as collateral for open over-the-counter swap contracts. |
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| T. Rowe Price Group Inc. | 9/2/20 | BOANA | 13,353 | (1.562 | ) | — | (1,566 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
BOANA—Bank of America, N.A.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Financials Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $7,139,947) | 7,136,025 |
| Affiliated Issuers (Cost $17,532) | 17,534 |
| Total Investments in Securities | 7,153,559 |
| Investment in Vanguard | 366 |
| Cash | 21 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 1,390 |
| Receivables for Investment Securities Sold | 44,711 |
| Receivables for Accrued Income | 13,454 |
| Receivables for Capital Shares Issued | 2,573 |
| Total Assets | 7,216,074 |
| Liabilities | |
| Payables for Investment Securities Purchased | 44,676 |
| Collateral for Securities on Loan | 12,896 |
| Payables for Capital Shares Redeemed | 2,244 |
| Payables to Vanguard | 1,073 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,566 |
| Total Liabilities | 62,455 |
| Net Assets | 7,153,619 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 6,907,291 |
| Total Distributable Earnings (Loss) | 246,328 |
| Net Assets | 7,153,619 |
| ETF Shares—Net Assets | |
| Applicable to 101,120,779 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,687,843 |
| Net Asset Value Per Share—ETF Shares | $66.14 |
| Admiral Shares—Net Assets | |
| Applicable to 14,052,383 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 465,776 |
| Net Asset Value Per Share—Admiral Shares | $33.15 |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Financials Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 99,454 | |||
| Interest1 | 48 | |||
| Securities Lending—Net | 109 | |||
| Total Income | 99,611 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 614 | |||
| Management and Administrative—ETF Shares | 2,871 | |||
| Management and Administrative—Admiral Shares | 200 | |||
| Marketing and Distribution—ETF Shares | 242 | |||
| Marketing and Distribution—Admiral Shares | 20 | |||
| Shareholders’ Reports—ETF Shares | 115 | |||
| Custodian Fees | 5 | |||
| Shareholders’ Reports—Admiral Shares | 3 | |||
| Trustees’ Fees and Expenses | 2 | |||
| Total Expenses | 4,072 | |||
| Expenses Paid Indirectly | (5 | ) | ||
| Net Expenses | 4,067 | |||
| Net Investment Income | 95,544 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 262,145 | |||
| Futures Contracts | (136 | ) | ||
| Swap Contracts | 2,355 | |||
| Realized Net Gain (Loss) | 264,364 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (392,170 | ) | ||
| Swap Contracts | (1,566 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (393,736 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (33,828 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 48,000, ($ 1,000), and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $285,646,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 95,544 | 182,504 | ||||||
| Realized Net Gain (Loss) | 264,364 | 453,254 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (393,736 | ) | (1,094,417 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (33,828 | ) | (458,659 | ) | ||||
| Distributions1 | ||||||||
| ETF Shares | (95,835 | ) | (165,401 | ) | ||||
| Admiral Shares | (6,609 | ) | (13,448 | ) | ||||
| Total Distributions | (102,444 | ) | (178,849 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (405,380 | ) | (697,070 | ) | ||||
| Admiral Shares | (16,970 | ) | (155,784 | ) | ||||
| Net Increase (Decrease) from Capital Share Transactions | (422,350 | ) | (852,854 | ) | ||||
| Total Increase (Decrease) | (558,622 | ) | (1,490,362 | ) | ||||
| Net Assets | ||||||||
| Beginning of Period | 7,712,241 | 9,202,603 | ||||||
| End of Period | 7,153,619 | 7,712,241 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
54
Financials Index Fund
Financial Highlights
ETF Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $67.31 | $71.60 | $62.26 | $50.81 | $47.70 | $47.32 | |||
| Investment Operations | |||||||||
| Net Investment Income | .8601 | 1.5391 | 1.2981 | 1.0351 | 1.108 | .917 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (1.107) | (4.338) | 9.307 | 11.387 | 3.070 | .349 | |||
| Total from Investment Operations | (.247) | (2.799) | 10.605 | 12.422 | 4.178 | 1.266 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.923) | (1.491) | (1.265) | (.972) | (1.068) | (.886) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.923) | (1.491) | (1.265) | (.972) | (1.068) | (.886) | |||
| Net Asset Value, End of Period | $66.14 | $67.31 | $71.60 | $62.26 | $50.81 | $47.70 | |||
| Total Return | -0.49% | -3.85% | 17.15% | 24.65% | 8.93% | 2.63% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $6,688 | $7,222 | $8,512 | $6,127 | $3,735 | $3,081 | |||
| 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 | 2.33% | 2.30% | 1.87% | 1.75% | 2.39% | 1.99% | |||
| Portfolio Turnover Rate2 | 2% | 5% | 3% | 5% | 21% | 4% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
55
Financials Index Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $33.73 | $35.88 | $31.20 | $25.47 | $23.91 | $23.72 | ||
Investment Operations
| Net Investment Income | .4311 | .7711 | .6511 | .5141 | .556 | .460 | |
| Net Realized and Unrealized Gain (Loss)on Investments | (.549) | (2.174) | 4.663 | 5.704 | 1.539 | .174 | |
| Total from Investment Operations | (.118) | (1.403) | 5.314 | 6.218 | 2.095 | .634 | |
| Distributions | |||||||
| Dividends from Net Investment Income | (.462) | (.747) | (.634) | (.488) | (.535) | (.444) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (.462) | (.747) | (.634) | (.488) | (.535) | (.444) | |
| Net Asset Value, End of Period | $33.15 | $33.73 | $35.88 | $31.20 | $25.47 | $23.91 | |
| Total Return2 | -0.47% | -3.87% | 17.16% | 24.62% | 8.96% | 2.64% | |
| Ratios/Supplemental Data | |||||||
| Net Assets, End of Period (Millions) | $466 | $490 | $690 | $518 | $244 | $204 | |
| 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 | 2.33% | 2.30% | 1.87% | 1.75% | 2.39% | 1.99% | |
| Portfolio Turnover Rate3 | 2% | 5% | 3% | 5% | 21% | 4% |
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
Financials Index Fund
Notes to Financial Statements
Vanguard Financials Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at February 29, 2020.
3. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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
57
Financials Index Fund
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
58
Financials Index Fund
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $366,000, representing 0.01% of the fund’s net assets and 0.15% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $5,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 7,136,015 | — | 10 | 7,136,025 | ||||||||||||
| Temporary Cash Investments | 17,534 | — | — | 17,534 | ||||||||||||
| Total | 7,153,549 | — | 10 | 7,153,559 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 1,566 | — | 1,566 | ||||||||||||
59
Financials Index Fund
E. As of February 29, 2020, 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 | 7,157,479 | |||
| Gross Unrealized Appreciation | 678,422 | |||
| Gross Unrealized Depreciation | (683,908 | ) | ||
| Net Unrealized Appreciation (Depreciation) | (5,486 | ) | ||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $44,257,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $838,801,000 of investment securities and sold $1,271,526,000 of investment securities, other than temporary cash investments. Purchases and sales include $584,913,000 and $1,110,853,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 712,555 | 9,692 | 1,423,985 | 21,039 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (1,117,935 | ) | (15,875 | ) | (2,121,055 | ) | (32,625 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (405,380 | ) | (6,183 | ) | (697,070 | ) | (11,586 | ) | ||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 65,975 | 1,777 | 147,528 | 4,455 | ||||||||||||
| Issued in Lieu of Cash Distributions | 5,591 | 153 | 11,597 | 349 | ||||||||||||
| Redeemed | (88,536 | ) | (2,405 | ) | (314,909 | ) | (9,513 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | (16,970 | ) | (475 | ) | (155,784 | ) | (4,709 | ) | ||||||||
At February 29, 2020, one shareholder was the record or beneficial owner of 29% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
60
Health Care Index Fund
Sector Diversification
As of February 29, 2020
| Biotechnology | 18.5 | % | ||
| Health Care Distributors | 1.6 | |||
| Health Care Equipment | 23.0 | |||
| Health Care Facilities | 1.7 | |||
| Health Care Services | 5.4 | |||
| Health Care Supplies | 2.0 | |||
| Health Care Technology | 1.6 | |||
| Life Sciences Tools & Services | 7.3 | |||
| Managed Health Care | 9.7 | |||
| Other | 0.0 | |||
| Pharmaceuticals | 29.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
61
Health Care Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (99.9%) | |||
| Biotechnology (18.5%) | |||
| AbbVie Inc. | 3,810,238 | 326,575 | |
| Amgen Inc. | 1,530,994 | 305,785 | |
| Gilead Sciences Inc. | 3,259,742 | 226,096 | |
| * | Vertex Pharmaceuticals Inc. | 662,316 | 148,379 |
| * | Biogen Inc. | 464,834 | 143,350 |
| * | Regeneron Pharmaceuticals Inc. | 208,548 | 92,714 |
| * | Alexion Pharmaceuticals Inc. | 570,518 | 53,646 |
| * | BioMarin Pharmaceutical Inc. | 463,115 | 41,852 |
| * | Incyte Corp. | 472,130 | 35,603 |
| * | Seattle Genetics Inc. | 309,430 | 35,232 |
| * | Alnylam Pharmaceuticals Inc. | 287,503 | 33,828 |
| * | Exact Sciences Corp. | 378,439 | 30,635 |
| * | Sarepta Therapeutics Inc. | 192,246 | 22,006 |
| * | Neurocrine Biosciences Inc. | 225,627 | 21,367 |
| * | Ionis Pharmaceuticals Inc. | 344,134 | 17,475 |
| * | Exelixis Inc. | 782,412 | 14,545 |
| * | ACADIA Pharmaceuticals Inc. | 298,180 | 12,744 |
| * | United Therapeutics Corp. | 113,178 | 11,653 |
| * | Bluebird Bio Inc. | 142,702 | 10,322 |
| * | Acceleron Pharma Inc. | 116,385 | 10,001 |
| * | Global Blood Therapeutics Inc. | 155,092 | 9,920 |
| * | Iovance Biotherapeutics Inc. | 276,703 | 9,106 |
| * | FibroGen Inc. | 202,584 | 8,468 |
| * | Momenta Pharmaceuticals Inc. | 292,818 | 8,284 |
| * | Ultragenyx Pharmaceutical Inc. | 141,573 | 7,939 |
| * | Arrowhead Pharmaceuticals Inc. | 222,155 | 7,855 |
| * | PTC Therapeutics Inc. | 143,209 | 7,854 |
| * | Agios Pharmaceuticals Inc. | 155,575 | 7,387 |
| * | Halozyme Therapeutics Inc. | 339,184 | 6,638 |
| * | Emergent BioSolutions Inc. | 113,105 | 6,637 |
| * | Blueprint Medicines Corp. | 120,291 | 6,511 |
| * | Immunomedics Inc. | 397,736 | 6,364 |
| * | Sage Therapeutics Inc. | 133,661 | 6,282 |
| * | Amicus Therapeutics Inc. | 657,465 | 6,275 |
| * | Alkermes plc | 298,732 | 6,226 |
| * | Intercept Pharmaceuticals Inc. | 67,688 | 6,223 |
| * | Mirati Therapeutics Inc. | 66,101 | 5,915 |
| * | Arena Pharmaceuticals Inc. | 128,891 | 5,749 |
| * | Insmed Inc. | 218,961 | 5,452 |
| * | Natera Inc. | 140,194 | 5,314 |
| * | Apellis Pharmaceuticals Inc. | 151,410 | 5,242 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 113,969 | 5,033 |
| *,^ | Invitae Corp. | 240,245 | 4,896 |
| * | Ironwood Pharmaceuticals Inc. | 403,893 | 4,863 |
| * | uniQure NV | 90,039 | 4,633 |
| * | Fate Therapeutics Inc. | 156,146 | 4,559 |
| * | ChemoCentryx Inc. | 98,184 | 4,394 |
| * | Xencor Inc. | 131,257 | 4,265 |
| * | Kodiak Sciences Inc. | 66,555 | 4,258 |
| * | Ligand Pharmaceuticals Inc. | 45,274 | 4,238 |
| * | Forty Seven Inc. | 72,562 | 4,209 |
| * | CRISPR Therapeutics AG | 77,628 | 4,149 |
| * | Heron Therapeutics Inc. | 221,390 | 4,129 |
| * | Epizyme Inc. | 186,932 | 4,006 |
| *,^ | Allakos Inc. | 62,295 | 3,883 |
| * | Principia Biopharma Inc. | 59,225 | 3,824 |
| * | Ra Pharmaceuticals Inc. | 79,038 | 3,696 |
| * | Deciphera Pharmaceuticals Inc. | 65,878 | 3,507 |
| * | REGENXBIO Inc. | 85,625 | 3,425 |
| * | Myriad Genetics Inc. | 190,672 | 3,360 |
| *,^ | Esperion Therapeutics Inc. | 63,244 | 3,193 |
| * | Denali Therapeutics Inc. | 161,039 | 3,184 |
| * | Veracyte Inc. | 119,497 | 2,950 |
| * | TG Therapeutics Inc. | 231,373 | 2,904 |
| * | Editas Medicine Inc. | 119,302 | 2,646 |
| * | Coherus Biosciences Inc. | 136,639 | 2,644 |
| * | Dicerna Pharmaceuticals Inc. | 131,203 | 2,590 |
| * | Sangamo Therapeutics Inc. | 299,373 | 2,554 |
| * | Radius Health Inc. | 113,288 | 2,386 |
| * | Karuna Therapeutics Inc. | 27,031 | 2,359 |
| *,^ | Aimmune Therapeutics Inc. | 98,208 | 2,338 |
| * | CareDx Inc. | 98,488 | 2,296 |
| Turning Point Therapeutics Inc. | 45,751 | 2,268 | |
| * | Twist Bioscience Corp. | 73,106 | 2,238 |
| * | Karyopharm Therapeutics Inc. | 127,928 | 2,090 |
| * | ImmunoGen Inc. | 438,212 | 1,950 |
| * | Enanta Pharmaceuticals Inc. | 38,218 | 1,945 |
| * | Portola Pharmaceuticals Inc. | 191,002 | 1,931 |
| * | Madrigal Pharmaceuticals Inc. | 21,921 | 1,889 |
| * | Cytokinetics Inc. | 129,572 | 1,806 |
| * | Akebia Therapeutics Inc. | 199,518 | 1,770 |
| * | Vericel Corp | 110,216 | 1,702 |
| *,^ | Allogene Therapeutics Inc. | 62,982 | 1,701 |
| *,^ | ZIOPHARM Oncology Inc. | 538,024 | 1,662 |
| * | Rocket Pharmaceuticals Inc. | 84,539 | 1,648 |
| * | Kadmon Holdings Inc. | 350,853 | 1,628 |
| * | Anika Therapeutics Inc. | 37,312 | 1,558 |
| * | Retrophin Inc. | 99,871 | 1,547 |
| * | Krystal Biotech Inc. | 28,787 | 1,539 |
| * | Atara Biotherapeutics Inc. | 125,886 | 1,530 |
| * | Rhythm Pharmaceuticals Inc. | 79,421 | 1,515 |
| * | Y-mAbs Therapeutics Inc. | 50,605 | 1,489 |
| * | Athenex Inc. | 119,697 | 1,463 |
| * | Vanda Pharmaceuticals Inc. | 122,001 | 1,346 |
| * | Avrobio Inc. | 69,600 | 1,343 |
| *,^ | Clovis Oncology Inc. | 177,034 | 1,333 |
| * | Flexion Therapeutics Inc. | 83,812 | 1,323 |
| NextCure Inc. | 31,454 | 1,314 | |
| * | Assembly Biosciences Inc. | 72,471 | 1,313 |
| * | Eagle Pharmaceuticals Inc. | 28,073 | 1,289 |
| * | G1 Therapeutics Inc. | 68,667 | 1,232 |
| * | BioCryst Pharmaceuticals Inc. | 398,343 | 1,195 |
| *,^ | Intellia Therapeutics Inc. | 88,485 | 1,181 |
| * | Prothena Corp. plc | 103,633 | 1,105 |
| * | Myovant Sciences Ltd. | 104,122 | 1,072 |
| * | Kura Oncology Inc. | 87,931 | 1,061 |
| * | Progenics Pharmaceuticals Inc. | 223,288 | 1,054 |
| * | MacroGenics Inc. | 119,999 | 1,052 |
| *,^ | Inovio Pharmaceuticals Inc. | 245,218 | 1,050 |
| * | PDL BioPharma Inc. | 294,393 | 1,001 |
| *,^ | Viking Therapeutics Inc. | 168,128 | 995 |
| * | Eidos Therapeutics Inc. | 19,568 | 990 |
| * | Rigel Pharmaceuticals Inc. | 425,690 | 902 |
| * | Arcus Biosciences Inc. | 59,201 | 901 |
| * | Puma Biotechnology Inc. | 81,188 | 873 |
| *,^ | Dynavax Technologies Corp. | 216,673 | 855 |
| * | Homology Medicines Inc. | 51,207 | 819 |
| * | Akcea Therapeutics Inc. | 47,380 | 805 |
| * | CytomX Therapeutics Inc. | 117,470 | 786 |
| * | Voyager Therapeutics Inc. | 71,137 | 775 |
| * | Agenus Inc. | 293,385 | 742 |
| *,^ | Corbus Pharmaceuticals Holdings Inc. | 150,688 | 714 |
| * | Stemline Therapeutics Inc. | 118,603 | 714 |
| * | OPKO Health Inc. | 474,331 | 711 |
| * | Scholar Rock Holding Corp. | 49,792 | 703 |
| *,^ | Rubius Therapeutics Inc. | 82,482 | 690 |
| * | Gossamer Bio Inc. | 51,191 | 672 |
| *,^ | Geron Corp. | 533,836 | 614 |
| *,^ | Sorrento Therapeutics Inc. | 282,297 | 613 |
| * | Minerva Neurosciences Inc. | 82,866 | 603 |
| * | MeiraGTx Holdings plc | 37,075 | 601 |
| * | Kiniksa Pharmaceuticals Ltd. | 32,238 | 595 |
| * | Crinetics Pharmaceuticals Inc. | 24,712 | 509 |
| Stoke Therapeutics Inc. | 20,500 | 507 | |
| * | Syros Pharmaceuticals Inc. | 85,511 | 500 |
| * | Spectrum Pharmaceuticals Inc. | 159,474 | 456 |
| * | AnaptysBio Inc. | 30,188 | 451 |
| * | MediciNova Inc. | 106,748 | 448 |
| * | KalVista Pharmaceuticals Inc. | 33,042 | 444 |
| * | Gritstone Oncology Inc. | 50,924 | 428 |
| * | Translate Bio Inc. | 52,832 | 400 |
| * | Replimune Group Inc. | 28,864 | 400 |
| * | Concert Pharmaceuticals Inc. | 46,217 | 391 |
| * | Lexicon Pharmaceuticals Inc. | 123,369 | 342 |
62
Health Care Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Prevail Therapeutics Inc. | 26,655 | 341 |
| * | GlycoMimetics Inc. | 89,944 | 326 |
| * | TCR2 Therapeutics Inc. | 27,399 | 325 |
| * | Akero Therapeutics Inc. | 14,644 | 319 |
| * | Five Prime Therapeutics Inc. | 80,003 | 306 |
| Morphic Holding Inc. | 14,525 | 229 | |
| * | Precision BioSciences Inc. | 26,013 | 208 |
| * | Calyxt Inc. | 30,023 | 189 |
| * | Solid Biosciences Inc. | 54,248 | 179 |
| * | Cyclerion Therapeutics Inc. | 39,485 | 169 |
| *,^ | Marker Therapeutics Inc. | 65,402 | 162 |
| * | AMAG Pharmaceuticals Inc. | 20,302 | 157 |
| * | Precigen Inc. | 38,394 | 146 |
| * | PhaseBio Pharmaceuticals Inc. | 32,952 | 139 |
| * | Acorda Therapeutics Inc. | 58,243 | 84 |
| * | Advaxis Inc. Warrants Exp. 09/11/2024 | 7,710 | — |
| 1,933,181 | |||
| Health Care Equipment & Supplies (25.0%) | |||
| Abbott Laboratories | 4,556,992 | 351,025 | |
| Medtronic plc | 3,454,168 | 347,731 | |
| Danaher Corp. | 1,612,477 | 233,132 | |
| Becton Dickinson and Co. | 696,829 | 165,720 | |
| Stryker Corp. | 868,159 | 165,462 | |
| * | Intuitive Surgical Inc. | 297,738 | 158,980 |
| * | Boston Scientific Corp. | 3,590,675 | 134,255 |
| * | Edwards Lifesciences Corp. | 537,314 | 110,063 |
| Baxter International Inc. | 1,249,725 | 104,315 | |
| Zimmer Biomet Holdings Inc. | 529,792 | 72,131 | |
| * | DexCom Inc. | 235,815 | 65,085 |
| ResMed Inc. | 370,689 | 58,925 | |
| * | IDEXX Laboratories Inc. | 221,145 | 56,284 |
| * | Align Technology Inc. | 192,999 | 42,141 |
| Cooper Cos. Inc. | 127,636 | 41,427 | |
| Teleflex Inc. | 119,356 | 39,987 | |
| STERIS plc | 218,592 | 34,673 | |
| * | Hologic Inc. | 691,323 | 32,575 |
| * | Insulet Corp. | 159,451 | 30,291 |
| * | Varian Medical Systems Inc. | 234,170 | 28,796 |
| West Pharmaceutical Services Inc. | 190,777 | 28,723 | |
| Dentsply Sirona Inc. | 573,358 | 28,232 | |
| * | Masimo Corp. | 131,300 | 21,445 |
| * | ABIOMED Inc. | 116,418 | 17,493 |
| Hill-Rom Holdings Inc. | 172,045 | 16,525 | |
| * | Novocure Ltd. | 204,165 | 14,853 |
| * | Haemonetics Corp. | 130,809 | 14,171 |
| * | Penumbra Inc. | 81,012 | 13,437 |
| * | Nevro Corp. | 79,959 | 10,407 |
| * | Tandem Diabetes Care Inc. | 137,146 | 10,239 |
| * | ICU Medical Inc. | 50,640 | 9,916 |
| * | Envista Holdings Corp. | 387,012 | 9,822 |
| * | Integra LifeSciences Holdings Corp. | 188,199 | 9,805 |
| * | Wright Medical Group NV | 311,057 | 9,410 |
| * | Globus Medical Inc. | 198,455 | 8,976 |
| * | NuVasive Inc. | 134,563 | 8,856 |
| * | LivaNova plc | 124,803 | 8,701 |
| * | Neogen Corp. | 135,310 | 8,220 |
| * | Integer Holdings Corp. | 84,445 | 7,614 |
| * | Quidel Corp. | 96,674 | 7,467 |
| CONMED Corp. | 73,165 | 6,924 | |
| Cantel Medical Corp. | 98,867 | 6,239 | |
| * | iRhythm Technologies Inc. | 68,214 | 5,933 |
| * | Merit Medical Systems Inc. | 142,372 | 5,127 |
| * | Glaukos Corp. | 100,538 | 4,422 |
| * | Avanos Medical Inc. | 123,629 | 4,007 |
| * | AtriCure Inc. | 102,222 | 3,927 |
| * | Cardiovascular Systems Inc. | 91,051 | 3,425 |
| * | STAAR Surgical Co. | 86,358 | 2,710 |
| * | CryoLife Inc. | 96,716 | 2,479 |
| Mesa Laboratories Inc. | 10,191 | 2,439 | |
| Atrion Corp. | 3,844 | 2,369 | |
| * | Natus Medical Inc. | 88,101 | 2,368 |
| * | Varex Imaging Corp. | 98,985 | 2,298 |
| * | Tactile Systems Technology Inc. | 44,082 | 2,222 |
| * | Inogen Inc. | 48,225 | 2,208 |
| * | Cerus Corp. | 409,360 | 2,104 |
| * | Silk Road Medical Inc. | 48,265 | 1,923 |
| * | Heska Corp. | 19,230 | 1,836 |
| * | Orthofix Medical Inc. | 49,140 | 1,737 |
| * | Lantheus Holdings Inc. | 101,285 | 1,575 |
| *,^ | CryoPort Inc. | 93,857 | 1,567 |
| *,^ | Axonics Modulation Technologies Inc. | 42,338 | 1,501 |
| * | OrthoPediatrics Corp. | 27,601 | 1,281 |
| LeMaitre Vascular Inc. | 43,370 | 1,236 | |
| * | Antares Pharma Inc. | 392,959 | 1,218 |
| * | Surmodics Inc. | 34,757 | 1,213 |
| * | Axogen Inc. | 91,724 | 1,136 |
| * | AngioDynamics Inc. | 97,029 | 1,115 |
| * | OraSure Technologies Inc. | 159,363 | 961 |
| * | Establishment Labs Holdings Inc. | 47,295 | 957 |
| * | Meridian Bioscience Inc. | 110,243 | 881 |
| * | ViewRay Inc. | 289,766 | 832 |
| * | Shockwave Medical Inc. | 20,076 | 806 |
| * | Accuray Inc. | 229,789 | 681 |
| Invacare Corp. | 86,851 | 658 | |
| * | SI-BONE Inc. | 25,822 | 499 |
| * | GenMark Diagnostics Inc. | 131,636 | 459 |
| * | TransMedics Group Inc. | 21,236 | 333 |
| * | Neuronetics Inc. | 21,832 | 63 |
| 2,622,979 | |||
| Health Care Providers & Services (18.3%) | |||
| UnitedHealth Group Inc. | 2,441,442 | 622,470 | |
| CVS Health Corp. | 3,352,370 | 198,393 | |
| Cigna Corp. | 962,015 | 175,991 | |
| Anthem Inc. | 653,360 | 167,972 | |
| Humana Inc. | 341,193 | 109,073 | |
| HCA Healthcare Inc. | 698,987 | 88,778 | |
| * | Centene Corp. | 1,504,064 | 79,745 |
| McKesson Corp. | 464,407 | 64,952 | |
| * | Laboratory Corp. of America Holdings | 250,351 | 43,984 |
| Cardinal Health Inc. | 753,959 | 39,296 | |
| Quest Diagnostics Inc. | 347,301 | 36,835 | |
| AmerisourceBergen Corp. Class A | 398,166 | 33,573 | |
| Universal Health Services Inc. | 207,095 | 25,626 | |
| * | Henry Schein Inc. | 378,972 | 23,095 |
| Encompass Health Corp. | 254,195 | 19,024 | |
| * | Molina Healthcare Inc. | 153,320 | 18,789 |
| * | DaVita Inc. | 233,562 | 18,129 |
| Chemed Corp. | 41,289 | 17,243 | |
| * | Amedisys Inc. | 83,169 | 14,472 |
| * | HealthEquity Inc. | 182,124 | 12,929 |
| * | LHC Group Inc. | 77,210 | 9,378 |
| * | AMN Healthcare Services Inc. | 120,277 | 8,852 |
| * | Guardant Health Inc. | 96,890 | 8,426 |
| * | Select Medical Holdings Corp. | 294,427 | 7,049 |
| * | Acadia Healthcare Co. Inc. | 228,444 | 6,762 |
| * | Tenet Healthcare Corp. | 226,980 | 5,965 |
| Ensign Group Inc. | 130,710 | 5,817 | |
| Patterson Cos. Inc. | 221,794 | 5,277 | |
| * | Premier Inc. | 171,472 | 5,046 |
| * | BioTelemetry Inc. | 87,739 | 3,748 |
| * | MEDNAX Inc. | 217,471 | 3,717 |
| * | Magellan Health Inc. | 59,970 | 3,599 |
| US Physical Therapy Inc. | 32,838 | 3,422 | |
| * | Covetrus Inc. | 260,288 | 2,892 |
| * | R1 RCM Inc. | 233,019 | 2,862 |
| * | Brookdale Senior Living Inc. | 430,963 | 2,831 |
| * | Addus HomeCare Corp. | 36,120 | 2,755 |
| * | RadNet Inc. | 109,973 | 2,247 |
| National HealthCare Corp. | 29,424 | 2,184 | |
| * | Hanger Inc. | 86,539 | 1,996 |
| * | Pennant Group Inc. | 68,298 | 1,856 |
| * | Providence Service Corp. | 29,943 | 1,850 |
| * | CorVel Corp. | 25,813 | 1,780 |
| National Research Corp. | 32,102 | 1,765 | |
| * | PetIQ Inc. | 51,401 | 1,599 |
| * | Tivity Health Inc. | 122,719 | 1,555 |
| Option Care Health Inc. | 90,236 | 1,331 | |
| * | Community Health Systems Inc. | 227,991 | 1,124 |
| * | Apollo Medical Holdings Inc. | 62,451 | 1,091 |
| * | Triple-S Management Corp. | 62,838 | 942 |
| * | Cross Country Healthcare Inc. | 95,193 | 902 |
| * | Surgery Partners Inc. | 51,175 | 840 |
| * | Avalon GloboCare Corp. | 64,502 | 92 |
| 1,921,921 | |||
| Health Care Technology (1.6%) | |||
| Cerner Corp. | 809,748 | 56,091 | |
| * | Veeva Systems Inc. | 338,715 | 48,087 |
| *,^ | Teladoc Health Inc. | 177,325 | 22,159 |
| * | Omnicell Inc. | 108,183 | 8,814 |
| * | HMS Holdings Corp. | 227,268 | 5,220 |
| * | Inovalon Holdings Inc. | 175,521 | 3,419 |
| * | Allscripts Healthcare Solutions Inc. | 419,163 | 3,161 |
| *,^ | Tabula Rasa HealthCare Inc. | 48,440 | 2,721 |
| * | Inspire Medical Systems Inc. | 31,183 | 2,678 |
| * | Vocera Communications Inc. | 81,033 | 1,976 |
| * | Evolent Health Inc. | 194,833 | 1,800 |
| *,^ | Change Healthcare Inc. | 127,553 | 1,733 |
| * | NextGen Healthcare Inc. | 125,113 | 1,636 |
| * | HealthStream Inc. | 66,213 | 1,610 |
| Simulations Plus Inc. | 31,588 | 1,029 | |
| Computer Programs & Systems Inc. | 35,763 | 958 | |
| * | Castlight Health Inc. | 231,194 | 210 |
| 163,302 | |||
| Life Sciences Tools & Services (7.3%) | |||
| Thermo Fisher Scientific Inc. | 1,033,194 | 300,453 | |
| * | Illumina Inc. | 378,655 | 100,597 |
| Agilent Technologies Inc. | 796,697 | 61,401 | |
| * | IQVIA Holdings Inc. | 425,156 | 59,305 |
| * | Mettler-Toledo International Inc. | 62,765 | 44,042 |
| * | Waters Corp. | 166,034 | 32,358 |
63
Health Care Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| PerkinElmer Inc. | 286,146 | 24,735 | |
| * | Bio-Rad Laboratories Inc. | 57,631 | 20,287 |
| * | Charles River Laboratories International Inc. | 125,910 | 19,588 |
| Bio-Techne Corp. | 98,263 | 18,561 | |
| * | PRA Health Sciences Inc. | 163,125 | 15,366 |
| Bruker Corp. | 278,111 | 12,115 | |
| Avantor Inc. | 735,377 | 11,582 | |
| * | Repligen Corp. | 120,828 | 10,343 |
| * | Syneos Health Inc. | 160,691 | 10,180 |
| * | NeoGenomics Inc. | 255,787 | 7,246 |
| * | Medpace Holdings Inc. | 74,322 | 6,685 |
| PPD Inc. | 174,819 | 4,874 | |
| Luminex Corp. | 104,536 | 2,588 | |
| * | Codexis Inc. | 143,355 | 1,670 |
| * | Pacific Biosciences of California Inc. | 335,478 | 1,141 |
| *,^ | Accelerate Diagnostics Inc. | 77,618 | 994 |
| * | Quanterix Corp. | 36,322 | 829 |
| * | Personalis Inc. | 24,301 | 212 |
| 767,152 | |||
| Other (0.0%)1 | |||
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 157,578 | 139 |
| *,§,^ | Corium CVR | 65,324 | 12 |
| *,§ | Clinical Data CVR | 8,685 | — |
| 151 | |||
| Pharmaceuticals (29.2%) | |||
| Johnson & Johnson | 6,782,350 | 912,090 | |
| Merck & Co. Inc. | 6,560,799 | 502,295 | |
| Pfizer Inc. | 14,030,596 | 468,903 | |
| Bristol-Myers Squibb Co. | 6,040,274 | 356,739 | |
| Eli Lilly & Co. | 2,226,739 | 280,859 | |
| Zoetis Inc. | 1,227,106 | 163,487 | |
| Allergan plc | 845,829 | 161,274 | |
| * | Elanco Animal Health Inc. | 1,020,236 | 27,954 |
| * | Mylan NV | 1,330,854 | 22,877 |
| * | Catalent Inc. | 377,222 | 19,438 |
| Perrigo Co. plc | 333,406 | 16,900 | |
| * | Jazz Pharmaceuticals plc | 145,804 | 16,706 |
| * | Horizon Therapeutics plc | 482,957 | 16,527 |
| * | Reata Pharmaceuticals Inc. | 56,127 | 10,931 |
| * | Nektar Therapeutics Class A | 453,631 | 9,440 |
| * | MyoKardia Inc. | 113,324 | 7,184 |
| * | Prestige Consumer Healthcare Inc. | 129,502 | 4,838 |
| * | Axsome Therapeutics Inc. | 61,949 | 4,832 |
| * | Pacira BioSciences Inc. | 97,328 | 4,222 |
| * | Corcept Therapeutics Inc. | 265,205 | 3,347 |
| * | Intra-Cellular Therapies Inc. | 150,467 | 3,175 |
| * | Endo International plc | 526,372 | 2,906 |
| * | Revance Therapeutics Inc. | 119,788 | 2,770 |
| * | Zogenix Inc. | 108,606 | 2,724 |
| * | Theravance Biopharma Inc. | 109,784 | 2,673 |
| * | Innoviva Inc. | 182,830 | 2,463 |
| * | Supernus Pharmaceuticals Inc. | 135,318 | 2,434 |
| * | Arvinas Inc. | 50,705 | 2,390 |
| *,^ | Aerie Pharmaceuticals Inc. | 113,541 | 1,987 |
| * | Intersect ENT Inc. | 81,289 | 1,940 |
| * | Collegium Pharmaceutical Inc. | 69,632 | 1,654 |
| * | Tricida Inc. | 51,802 | 1,646 |
| *,^ | Cara Therapeutics Inc. | 108,418 | 1,630 |
| *,^ | Omeros Corp. | 123,680 | 1,473 |
| * | Amphastar Pharmaceuticals Inc. | 90,798 | 1,397 |
| Phibro Animal Health Corp. | 52,294 | 1,320 | |
| * | ANI Pharmaceuticals Inc. | 23,345 | 1,121 |
| * | Odonate Therapeutics Inc. | 37,221 | 1,101 |
| *,^ | TherapeuticsMD Inc. | 624,542 | 1,055 |
| *,^ | Tilray Inc. | 64,939 | 937 |
| *,^ | Mallinckrodt plc | 216,949 | 929 |
| * | SIGA Technologies Inc. | 135,993 | 679 |
| * | Amneal Pharmaceuticals Inc. | 164,856 | 635 |
| *,^ | Evolus Inc. | 60,418 | 519 |
| * | WaVe Life Sciences Ltd. | 49,187 | 415 |
| * | Verrica Pharmaceuticals Inc. | 29,217 | 347 |
| * | Optinose Inc. | 55,728 | 337 |
| * | Xeris Pharmaceuticals Inc. | 80,973 | 288 |
| * | Akorn Inc. | 244,108 | 283 |
| *,^ | Kala Pharmaceuticals Inc. | 44,690 | 239 |
| * | Cymabay Therapeutics Inc. | 97,124 | 161 |
| * | Eloxx Pharmaceuticals Inc. | 26,213 | 82 |
| 3,054,553 | |||
| Total Common Stocks (Cost $8,925,534) | 10,463,239 | ||
| Temporary Cash Investment (0.5%) | |||
| 2,3 | Vanguard Market Liquidity Fund, 1.706% (Cost $54,098) |
540,943 | 54,111 |
| Total Investments (100.4%) (Cost $8,979,632) | 10,517,350 | ||
| Other Assets and Liabilities—Net (-0.4%)3,4 | (41,029) | ||
| Net Assets (100%) | 10,476,321 | ||
Cost rounded to $000.
| • | See Note A in Notes to the Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $51,002,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 $55,663,000 was received for securities on loan, of which $54,088,000 is held in Vanguard Market Liquidity Fund and $1,575,000 is held in cash. |
| 4 | Cash of $470,000 has been segregated as collateral for open over-the-counter swap contracts. |
CVR—Contingent Value Rights.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Pfizer Inc. | 2/2/21 | GSI | 8,354 | (1.647 | ) | — | (670 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
64
Health Care Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $8,925,534) | 10,463,239 |
| Affiliated Issuers (Cost $54,098) | 54,111 |
| Total Investments in Securities | 10,517,350 |
| Investment in Vanguard | 494 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 470 |
| Receivables for Investment Securities Sold | 50,339 |
| Receivables for Accrued Income | 18,441 |
| Receivables for Capital Shares Issued | 3,137 |
| Total Assets | 10,590,231 |
| Liabilities | |
| Due to Custodian | 11,609 |
| Payables for Investment Securities Purchased | 38,495 |
| Collateral for Securities on Loan | 55,663 |
| Payables for Capital Shares Redeemed | 5,878 |
| Payables to Vanguard | 1,595 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 670 |
| Total Liabilities | 113,910 |
| Net Assets | 10,476,321 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 8,760,983 |
| Total Distributable Earnings (Loss) | 1,715,338 |
| Net Assets | 10,476,321 |
| ETF Shares—Net Assets | |
| Applicable to 51,949,423 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,105,975 |
| Net Asset Value Per Share—ETF Shares | $175.29 |
| Admiral Shares—Net Assets | |
| Applicable to 15,628,586 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,370,346 |
| Net Asset Value Per Share—Admiral Shares | $87.68 |
See accompanying Notes, which are an integral part of the Financial Statements.
65
Health Care Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 82,361 | |||
| Interest1 | 42 | |||
| Securities Lending—Net | 1,518 | |||
| Total Income | 83,921 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 816 | |||
| Management and Administrative—ETF Shares | 3,628 | |||
| Management and Administrative—Admiral Shares | 543 | |||
| Marketing and Distribution—ETF Shares | 256 | |||
| Marketing and Distribution—Admiral Shares | 53 | |||
| Custodian Fees | 2 | |||
| Shareholders’ Reports—ETF Shares | 125 | |||
| Shareholders’ Reports—Admiral Shares | 4 | |||
| Trustees’ Fees and Expenses | 3 | |||
| Total Expenses | 5,430 | |||
| Expenses Paid Indirectly | (2 | ) | ||
| Net Expenses | 5,428 | |||
| Net Investment Income | 78,493 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 292,472 | |||
| Swap Contracts | 594 | |||
| Realized Net Gain (Loss) | 293,066 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | 8,656 | |||
| Swap Contracts | (994 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | 7,662 | |||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 379,221 | |||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 42,000, ($ 4,000), and $9,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $340,963,000 of net gain (loss resulting in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 78,493 | 216,225 | ||||||
| Realized Net Gain (Loss) | 293,066 | 426,803 | ||||||
| Change in Unrealized Appreciation (Depreciation) | 7,662 | (874,477 | ) | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 379,221 | (231,449 | ) | |||||
| Distributions1 | ||||||||
| ETF Shares | (70,348 | ) | (183,804 | ) | ||||
| Admiral Shares | (10,403 | ) | (26,640 | ) | ||||
| Total Distributions | (80,751 | ) | (210,444 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (51,015 | ) | 692,430 | |||||
| Admiral Shares | 14,608 | 121,577 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | (36,407 | ) | 814,007 | |||||
| Total Increase (Decrease) | 262,063 | 372,114 | ||||||
| Net Assets | ||||||||
| Beginning of Period | 10,214,258 | 9,842,144 | ||||||
| End of Period | 10,476,321 | 10,214,258 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
66
Health Care Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $169.74 | $177.07 | $151.13 | $133.25 | $132.34 | $117.17 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | 1.3151 | 3.6001,2 | 2.1941 | 1.9941 | 1.795 | 1.350 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | 5.585 | (7.457) | 25.846 | 17.846 | 1.559 | 15.105 | ||||
| Total from Investment Operations | 6.900 | (3.857) | 28.040 | 19.840 | 3.354 | 16.455 | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (1.350) | (3.473) | (2.100) | (1.960) | (2.444) | (1.285) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (1.350) | (3.473) | (2.100) | (1.960) | (2.444) | (1.285) | ||||
| Net Asset Value, End of Period | $175.29 | $169.74 | $177.07 | $151.13 | $133.25 | $132.34 | ||||
| Total Return | 4.05% | -2.22% | 18.75% | 15.06% | 2.61% | 14.08% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $9,106 | $8,899 | $8,594 | $7,002 | $5,708 | $5,826 | ||||
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.09% | ||||
| Ratio of Net Investment Income to Average Net Assets | 1.45% | 2.12%2 | 1.38% | 1.46% | 1.40% | 1.25% | ||||
| Portfolio Turnover Rate3 | 3% | 5% | 6% | 4% | 7% | 4% | ||||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $1.132 and 0.67%, respectively, resulting from a cash payment received in connection with the merger of Cigna Corp. and Express Scripts Holding Co. in December 2018. |
| 3 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
67
Health Care Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $84.91 | $88.57 | $75.60 | $66.65 | $66.20 | $58.61 | |||
| Investment Operations | |||||||||
| Net Investment Income | .6571 | 1.8041,2 | 1.1011 | .9961 | .898 | .676 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | 2.788 | (3.727) | 12.920 | 8.934 | .774 | 7.557 | |||
| Total from Investment Operations | 3.445 | (1.923) | 14.021 | 9.930 | 1.672 | 8.233 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.675) | (1.737) | (1.051) | (.980) | (1.222) | (.643) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.675) | (1.737) | (1.051) | (.980) | (1.222) | (.643) | |||
| Net Asset Value, End of Period | $87.68 | $84.91 | $88.57 | $75.60 | $66.65 | $66.20 | |||
| Total Return3 | 4.05% | -2.21% | 18.74% | 15.07% | 2.61% | 14.11% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $1,370 | $1,316 | $1,248 | $924 | $800 | $824 | |||
| 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 | 1.45% | 2.12%2 | 1.38% | 1.46% | 1.40% | 1.24% | |||
| Portfolio Turnover Rate4 | 3% | 5% | 6% | 4% | 7% | 4% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.566 and 0.67%, respectively, resulting from a cash payment received in connection with the merger of Cigna Corp. and Express Scripts Holding Co. in December 2018. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
68
Health Care Index Fund
Notes to Financial Statements
Vanguard Health Care Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
69
Health Care Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
70
Health Care Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $494,000, representing less than 0.01% of the fund’s net assets and 0.20% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 10,463,088 | — | 151 | 10,463,239 | ||||||||||||
| Temporary Cash Investments | 54,111 | — | — | 54,111 | ||||||||||||
| Total | 10,517,199 | — | 151 | 10,517,350 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 670 | — | 670 | ||||||||||||
D. As of February 29, 2020, 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 | 8,979,668 | |||
| Gross Unrealized Appreciation | 2,236,405 | |||
| Gross Unrealized Depreciation | (699,393 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 1,537,012 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $140,248,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
71
Health Care Index Fund
E. During the six months ended February 29, 2020, the fund purchased $1,115,326,000 of investment securities and sold $1,161,704,000 of investment securities, other than temporary cash investments. Purchases and sales include $708,088,000 and $831,609,000, 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 | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 788,451 | 4,250 | 1,841,149 | 10,713 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (839,466 | ) | (4,725 | ) | (1,148,719 | ) | (6,825 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (51,015 | ) | (475 | ) | 692,430 | 3,888 | ||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 184,244 | 1,998 | 463,889 | 5,465 | ||||||||||||
| Issued in Lieu of Cash Distributions | 9,182 | 103 | 23,415 | 269 | ||||||||||||
| Redeemed | (178,818 | ) | (1,968 | ) | (365,727 | ) | (4,327 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | 14,608 | 133 | 121,577 | 1,407 | ||||||||||||
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
72
Industrials Index Fund
Sector Diversification
As of February 29, 2020
| Aerospace & Defense | 23.4% |
| Agricultural & Farm Machinery | 2.1 |
| Air Freight & Logistics | 4.7 |
| Airlines | 3.1 |
| Airport Services | 0.1 |
| Building Products | 4.1 |
| Commercial Printing | 0.2 |
| Construction & Engineering | 1.7 |
| Construction Machinery & Heavy Trucks | 5.6 |
| Diversified Support Services | 2.1 |
| Electrical Components & Equipment | 5.7 |
| Environmental & Facilities Services | 4.4 |
| Heavy Electrical Equipment | 0.1 |
| Human Resource & Employment Services | 0.8 |
| Industrial Conglomerates | 12.2 |
| Industrial Machinery | 11.5 |
| Marine | 0.2 |
| Office Services & Supplies | 0.5 |
| Railroads | 7.9 |
| Research & Consulting Services | 4.6 |
| Security & Alarm Services | 0.2 |
| Trading Companies & Distributors | 3.2 |
| Trucking | 1.6 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
73
Industrials Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (99.9%) | |||
| Aerospace & Defense (23.5%) | |||
| Boeing Co. | 601,896 | 165,588 | |
| United Technologies Corp. | 923,072 | 120,544 | |
| Lockheed Martin Corp. | 285,726 | 105,681 | |
| Northrop Grumman Corp. | 180,249 | 59,273 | |
| Raytheon Co. | 313,517 | 59,117 | |
| L3Harris Technologies Inc. | 248,876 | 49,210 | |
| General Dynamics Corp. | 276,922 | 44,222 | |
| TransDigm Group Inc. | 54,225 | 30,247 | |
| * | Teledyne Technologies Inc. | 41,008 | 13,833 |
| Arconic Inc. | 438,961 | 12,883 | |
| Textron Inc. | 256,714 | 10,423 | |
| Huntington Ingalls Industries Inc. | 46,113 | 9,478 | |
| HEICO Corp. Class A | 85,910 | 7,588 | |
| Spirit AeroSystems Holdings Inc. | 116,488 | 6,155 | |
| Hexcel Corp. | 94,910 | 6,134 | |
| BWX Technologies Inc. | 107,139 | 5,875 | |
| Curtiss-Wright Corp. | 45,701 | 5,481 | |
| HEICO Corp. | 48,380 | 5,218 | |
| * | Axon Enterprise Inc. | 66,748 | 5,164 |
| * | Mercury Systems Inc. | 62,492 | 4,591 |
| * | Aerojet Rocketdyne Holdings Inc. | 79,669 | 3,926 |
| Moog Inc. | 36,274 | 2,797 | |
| Cubic Corp. | 33,574 | 1,828 | |
| * | Kratos Defense & Security Solutions Inc. | 102,256 | 1,663 |
| AAR Corp. | 37,301 | 1,289 | |
| * | AeroVironment Inc. | 24,121 | 1,240 |
| * | Parsons Corp. | 27,655 | 1,081 |
| Triumph Group Inc. | 55,770 | 1,060 | |
| Maxar Technologies Inc. | 67,885 | 1,033 | |
| * | Ducommun Inc. | 12,603 | 563 |
| * | Astronics Corp. | 25,955 | 526 |
| National Presto Industries Inc. | 5,541 | 435 | |
| Park Aerospace Corp. | 21,642 | 301 | |
| 744,447 | |||
| Air Freight & Logistics (4.7%) | |||
| United Parcel Service Inc. | 788,983 | 71,395 | |
| FedEx Corp. | 279,183 | 39,412 | |
| Expeditors International of Washington Inc. | 191,944 | 13,517 | |
| CH Robinson Worldwide Inc. | 152,171 | 10,485 | |
| * | XPO Logistics Inc. | 103,844 | 7,681 |
| Forward Air Corp. | 31,640 | 1,867 | |
| * | Hub Group Inc. | 37,671 | 1,741 |
| * | Air Transport Services Group Inc. | 67,472 | 1,208 |
| * | Atlas Air Worldwide Holdings Inc. | 29,479 | 788 |
| * | Echo Global Logistics Inc. | 30,664 | 566 |
| * | Radiant Logistics Inc. | 40,454 | 178 |
| 148,838 | |||
| Airlines (3.1%) | |||
| Delta Air Lines Inc. | 655,460 | 30,236 | |
| Southwest Airlines Co. | 533,214 | 24,629 | |
| * | United Airlines Holdings Inc. | 256,635 | 15,806 |
| American Airlines Group Inc. | 443,139 | 8,442 | |
| Alaska Air Group Inc. | 138,545 | 6,991 | |
| * | JetBlue Airways Corp. | 324,265 | 5,117 |
| SkyWest Inc. | 56,726 | 2,575 | |
| * | Spirit Airlines Inc. | 77,080 | 2,193 |
| Allegiant Travel Co. | 14,708 | 1,994 | |
| Hawaiian Holdings Inc. | 52,589 | 1,098 | |
| 99,081 | |||
| Building Products (4.1%) | |||
| Johnson Controls | |||
| International plc | 868,470 | 31,760 | |
| Masco Corp. | 320,058 | 13,225 | |
| Allegion plc | 104,535 | 12,021 | |
| Fortune Brands Home & Security Inc. | 156,494 | 9,664 | |
| Lennox International Inc. | 39,089 | 8,917 | |
| Owens Corning | 122,393 | 6,914 | |
| * | Trex Co. Inc. | 65,683 | 6,283 |
| AO Smith Corp. | 154,084 | 6,094 | |
| Armstrong World Industries Inc. | 51,793 | 5,187 | |
| Simpson Manufacturing Co. Inc. | 44,837 | 3,561 | |
| Universal Forest Products Inc. | 69,060 | 3,236 | |
| * | Builders FirstSource Inc. | 130,737 | 2,969 |
| AAON Inc. | 47,027 | 2,587 | |
| Advanced Drainage Systems Inc. | 57,680 | 2,415 | |
| * | Masonite International Corp. | 27,947 | 2,054 |
| * | Gibraltar Industries Inc. | 36,389 | 1,844 |
| * | Resideo Technologies Inc. | 138,726 | 1,491 |
| * | American Woodmark Corp. | 17,007 | 1,425 |
| * | JELD-WEN Holding Inc. | 73,741 | 1,386 |
| Patrick Industries Inc. | 25,445 | 1,344 | |
| CSW Industrials Inc. | 16,864 | 1,110 | |
| * | PGT Innovations Inc. | 65,206 | 989 |
| Apogee Enterprises Inc. | 28,633 | 864 | |
| Griffon Corp. | 42,577 | 741 | |
| Quanex Building Products Corp. | 37,730 | 634 | |
| * | Cornerstone Building Brands Inc. | 78,379 | 576 |
| Insteel Industries Inc. | 20,862 | 415 | |
| * | Armstrong Flooring Inc. | 24,201 | 64 |
| 129,770 | |||
| Commercial Services & Supplies (7.4%) | |||
| Waste Management Inc. | 477,714 | 52,936 | |
| Waste Connections Inc. | 296,718 | 28,630 | |
| Cintas Corp. | 99,034 | 26,416 | |
| Republic Services Inc. | 251,717 | 22,720 | |
| * | Copart Inc. | 235,571 | 19,901 |
| * | IAA Inc. | 150,224 | 6,418 |
| Rollins Inc. | 165,816 | 6,208 | |
| * | Stericycle Inc. | 102,533 | 5,889 |
| MSA Safety Inc. | 41,506 | 5,050 | |
| Tetra Tech Inc. | 61,528 | 4,976 | |
| Brink’s Co. | 56,217 | 4,401 | |
| * | Clean Harbors Inc. | 59,800 | 4,157 |
| UniFirst Corp. | 17,158 | 3,188 | |
| * | Advanced Disposal Services Inc. | 85,476 | 2,826 |
| KAR Auction Services Inc. | 144,668 | 2,785 | |
| Brady Corp. Class A | 56,092 | 2,655 | |
| * | Cimpress plc | 21,860 | 2,545 |
| ABM Industries Inc. | 74,828 | 2,463 | |
| * | Casella Waste Systems Inc. | 50,076 | 2,426 |
| Healthcare Services Group Inc. | 83,712 | 2,305 | |
| Herman Miller Inc. | 66,478 | 2,276 | |
| Mobile Mini Inc. | 49,728 | 1,939 | |
| McGrath RentCorp | 27,406 | 1,903 | |
| Covanta Holding Corp. | 132,234 | 1,767 | |
| Steelcase Inc. | 99,251 | 1,610 | |
| HNI Corp. | 48,307 | 1,586 | |
| Deluxe Corp. | 47,029 | 1,566 | |
| US Ecology Inc. | 30,202 | 1,270 | |
| Viad Corp. | 22,758 | 1,143 | |
| ^ | ADT Inc. | 168,651 | 1,078 |
| * | Harsco Corp. | 87,641 | 1,051 |
| Matthews International Corp. | 35,102 | 1,038 | |
| Knoll Inc. | 55,472 | 979 | |
| Interface Inc. | 66,502 | 970 | |
| * | SP Plus Corp. | 26,154 | 955 |
| ACCO Brands Corp. | 108,759 | 871 | |
| Kimball International Inc. | 41,043 | 664 | |
| Pitney Bowes Inc. | 190,113 | 650 | |
| Ennis Inc. | 29,295 | 589 | |
| * | BrightView Holdings Inc. | 36,066 | 505 |
| * | Heritage-Crystal Clean Inc. | 16,712 | 440 |
| * | Team Inc. | 32,082 | 408 |
| VSE Corp. | 9,850 | 290 | |
| Quad/Graphics Inc. | 36,520 | 175 | |
| * | Civeo Corp. | 149,211 | 175 |
| RR Donnelley & Sons Co. | 76,415 | 145 | |
| 234,938 | |||
| Construction & Engineering (1.7%) | |||
| Jacobs Engineering Group Inc. | 149,760 | 13,829 | |
| * | Aecom | 176,806 | 7,946 |
| Quanta Services Inc. | 160,177 | 6,107 | |
| EMCOR Group Inc. | 63,032 | 4,848 | |
| * | MasTec Inc. | 68,903 | 3,382 |
| Valmont Industries Inc. | 24,212 | 2,814 | |
| Arcosa Inc. | 48,792 | 2,096 | |
| Comfort Systems USA Inc. | 41,255 | 1,742 | |
| Fluor Corp. | 150,173 | 1,400 | |
| * | WillScot Corp. | 61,074 | 1,071 |
| Granite Construction Inc. | 52,444 | 1,066 | |
74
Industrials Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Dycom Industries Inc. | 35,635 | 1,053 |
| Primoris Services Corp. | 48,369 | 918 | |
| Argan Inc. | 15,993 | 667 | |
| * | Tutor Perini Corp. | 45,582 | 661 |
| * | Aegion Corp. | 34,071 | 614 |
| * | NV5 Global Inc. | 11,434 | 612 |
| * | Ameresco Inc. | 23,124 | 521 |
| * | MYR Group Inc. | 18,768 | 479 |
| * | Construction Partners Inc. Class A | 19,800 | 337 |
| * | IES Holdings Inc. | 9,953 | 232 |
| 52,395 | |||
| Electrical Equipment (5.7%) | |||
| Emerson Electric Co. | 686,191 | 43,992 | |
| Eaton Corp. plc | 465,617 | 42,241 | |
| Rockwell Automation Inc. | 130,168 | 23,886 | |
| AMETEK Inc. | 257,293 | 22,127 | |
| Hubbell Inc. | 61,215 | 8,156 | |
| * | Sensata Technologies Holding plc | 178,681 | 7,290 |
| * | Generac Holdings Inc. | 70,411 | 7,252 |
| Acuity Brands Inc. | 44,462 | 4,573 | |
| nVent Electric plc | 170,797 | 4,101 | |
| Regal Beloit Corp. | 46,078 | 3,578 | |
| EnerSys | 47,438 | 2,921 | |
| * | Atkore International Group Inc. | 52,934 | 1,954 |
| * | Sunrun Inc. | 86,404 | 1,671 |
| *,^ | Plug Power Inc. | 336,748 | 1,461 |
| Encore Wire Corp. | 23,386 | 1,145 | |
| AZZ Inc. | 29,607 | 1,092 | |
| * | Vicor Corp. | 21,020 | 909 |
| * | TPI Composites Inc. | 31,529 | 749 |
| *,^ | Bloom Energy Corp. Class A | 76,959 | 698 |
| GrafTech International Ltd. | 80,149 | 654 | |
| * | Thermon Group Holdings Inc. | 36,479 | 641 |
| * | Vivint Solar Inc. | 47,176 | 530 |
| Powell Industries Inc. | 10,219 | 342 | |
| Allied Motion Technologies Inc. | 8,549 | 329 | |
| 182,292 | |||
| Industrial Conglomerates (12.2%) | |||
| Honeywell International Inc. | 804,463 | 130,460 | |
| General Electric Co. | 9,832,542 | 106,978 | |
| 3M Co. | 647,457 | 96,626 | |
| Roper Technologies Inc. | 117,116 | 41,190 | |
| Carlisle Cos. Inc. | 63,796 | 9,269 | |
| Raven Industries Inc. | 40,107 | 1,151 | |
| 385,674 | |||
| Machinery (19.1%) | |||
| Caterpillar Inc. | 622,297 | 77,314 | |
| Illinois Tool Works Inc. | 361,936 | 60,726 | |
| Deere & Co. | 336,806 | 52,703 | |
| Ingersoll-Rand plc | 268,478 | 34,644 | |
| Parker-Hannifin Corp. | 144,575 | 26,713 | |
| PACCAR Inc. | 389,742 | 26,074 | |
| Cummins Inc. | 163,968 | 24,807 | |
| Stanley Black & Decker Inc. | 171,057 | 24,581 | |
| Fortive Corp. | 340,098 | 23,521 | |
| Dover Corp. | 163,446 | 16,792 | |
| Xylem Inc. | 202,614 | 15,670 | |
| Westinghouse Air Brake Technologies Corp. | 204,908 | 14,077 | |
| IDEX Corp. | 85,589 | 12,667 | |
| Graco Inc. | 187,678 | 9,256 | |
| Snap-on Inc. | 61,741 | 8,937 | |
| Toro Co. | 119,983 | 8,570 | |
| Nordson Corp. | 58,234 | 8,461 | |
| * | WABCO Holdings Inc. | 57,880 | 7,820 |
| Pentair plc | 179,685 | 7,078 | |
| * | Middleby Corp. | 63,225 | 7,069 |
| Woodward Inc. | 62,772 | 6,478 | |
| Donaldson Co. Inc. | 141,933 | 6,398 | |
| Flowserve Corp. | 147,405 | 5,924 | |
| ITT Inc. | 98,479 | 5,924 | |
| Oshkosh Corp. | 76,527 | 5,521 | |
| Lincoln Electric Holdings Inc. | 65,331 | 5,350 | |
| * | Gardner Denver Holdings Inc. | 158,472 | 5,196 |
| Allison Transmission Holdings Inc. | 127,432 | 5,174 | |
| * | RBC Bearings Inc. | 28,193 | 4,826 |
| AGCO Corp. | 72,228 | 4,365 | |
| Rexnord Corp. | 138,340 | 4,034 | |
| Crane Co. | 53,834 | 3,658 | |
| John Bean Technologies Corp. | 35,625 | 3,451 | |
| Timken Co. | 76,240 | 3,419 | |
| * | Colfax Corp. | 99,406 | 3,327 |
| Watts Water Technologies Inc. | 31,051 | 2,916 | |
| Barnes Group Inc. | 54,057 | 2,903 | |
| ESCO Technologies Inc. | 29,251 | 2,660 | |
| Kennametal Inc. | 93,336 | 2,595 | |
| * | Proto Labs Inc. | 28,735 | 2,518 |
| Trinity Industries Inc. | 117,153 | 2,384 | |
| Franklin Electric Co. Inc. | 44,558 | 2,303 | |
| Albany International Corp. | 34,549 | 2,214 | |
| Altra Industrial Motion Corp. | 72,727 | 2,191 | |
| * | Chart Industries Inc. | 38,269 | 2,178 |
| * | SPX Corp. | 49,689 | 2,083 |
| * | Welbilt Inc. | 151,214 | 1,999 |
| Federal Signal Corp. | 67,972 | 1,971 | |
| Hillenbrand Inc. | 83,710 | 1,959 | |
| Mueller Water Products Inc. | 177,471 | 1,943 | |
| * | Evoqua Water Technologies Corp. | 90,107 | 1,890 |
| * | Navistar International Corp. | 50,427 | 1,831 |
| * | Meritor Inc. | 78,883 | 1,790 |
| Terex Corp. | 80,636 | 1,775 | |
| * | SPX FLOW Inc. | 47,933 | 1,763 |
| Mueller Industries Inc. | 60,790 | 1,701 | |
| * | Enerpac Tool Group Corp. Class A | 68,120 | 1,456 |
| Tennant Co. | 19,601 | 1,402 | |
| * | TriMas Corp. | 50,844 | 1,289 |
| Helios Technologies Inc. | 32,238 | 1,281 | |
| Alamo Group Inc. | 11,292 | 1,251 | |
| EnPro Industries Inc. | 22,395 | 1,208 | |
| Lindsay Corp. | 12,193 | 1,208 | |
| Kadant Inc. | 12,767 | 1,160 | |
| Douglas Dynamics Inc. | 25,915 | 1,128 | |
| Astec Industries Inc. | 24,303 | 913 | |
| Greenbrier Cos. Inc. | 36,775 | 891 | |
| Standex International Corp. | 13,970 | 886 | |
| Columbus McKinnon Corp. | 25,019 | 778 | |
| *,^ | Gates Industrial Corp. plc | 65,345 | 684 |
| * | CIRCOR International Inc. | 18,714 | 673 |
| Wabash National Corp. | 61,258 | 673 | |
| Gorman-Rupp Co. | 20,453 | 654 | |
| * | Manitowoc Co. Inc. | 38,844 | 484 |
| * | Energy Recovery Inc. | 38,066 | 375 |
| NN Inc. | 46,439 | 360 | |
| Hyster-Yale Materials Handling Inc. | 7,376 | 355 | |
| * | Blue Bird Corp. | 15,789 | 282 |
| Omega Flex Inc. | 3,262 | 255 | |
| REV Group Inc. | 30,413 | 238 | |
| * | Lydall Inc. | 18,975 | 226 |
| Park-Ohio Holdings Corp. | 9,100 | 223 | |
| Briggs & Stratton Corp. | 46,216 | 147 | |
| Titan International Inc. | 56,345 | 125 | |
| 606,697 | |||
| Marine (0.2%) | |||
| * | Kirby Corp. | 64,076 | 4,085 |
| Matson Inc. | 48,491 | 1,610 | |
| Genco Shipping & Trading Ltd. | 18,010 | 138 | |
| *,^ | Eagle Bulk Shipping Inc. | 38,516 | 128 |
| 5,961 | |||
| Professional Services (5.4%) | |||
| IHS Markit Ltd. | 429,093 | 30,569 | |
| * | CoStar Group Inc. | 41,261 | 27,545 |
| Verisk Analytics Inc. | 175,189 | 27,174 | |
| Equifax Inc. | 136,250 | 19,353 | |
| TransUnion | 211,884 | 18,841 | |
| Nielsen Holdings plc | 400,425 | 7,292 | |
| Robert Half International Inc. | 130,527 | 6,580 | |
| ManpowerGroup Inc. | 66,299 | 5,035 | |
| * | FTI Consulting Inc. | 42,334 | 4,766 |
| Exponent Inc. | 58,350 | 4,297 | |
| * | ASGN Inc. | 59,398 | 3,012 |
| Insperity Inc. | 42,689 | 2,872 | |
| * | TriNet Group Inc. | 51,162 | 2,704 |
| Korn Ferry | 62,960 | 2,202 | |
| ICF International Inc. | 21,184 | 1,610 | |
| * | CBIZ Inc. | 58,713 | 1,529 |
| * | Huron Consulting Group Inc. | 25,629 | 1,521 |
| Kforce Inc. | 22,957 | 699 | |
| * | TrueBlue Inc. | 43,351 | 645 |
| Kelly Services Inc. | 36,254 | 602 | |
| * | Upwork Inc. | 61,817 | 536 |
| Barrett Business Services Inc. | 8,443 | 506 | |
| Heidrick & Struggles International Inc. | 22,214 | 495 | |
| * | Forrester Research Inc. | 12,573 | 453 |
| Resources Connection Inc. | 34,337 | 430 | |
| CRA International Inc. | 8,775 | 408 | |
| * | Willdan Group Inc. | 12,316 | 379 |
| * | Mistras Group Inc. | 20,269 | 159 |
| 172,214 | |||
| Road & Rail (9.5%) | |||
| Union Pacific Corp. | 781,444 | 124,883 | |
| CSX Corp. | 831,562 | 58,584 | |
| Norfolk Southern Corp. | 273,563 | 49,884 | |
| Kansas City Southern | 111,691 | 16,830 | |
| Old Dominion Freight Line Inc. | 71,854 | 13,925 | |
| JB Hunt Transport Services Inc. | 95,969 | 9,255 | |
| Knight-Swift Transportation Holdings Inc. | 144,129 | 4,604 | |
| Landstar System Inc. | 44,411 | 4,484 | |
75
Industrials Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Amerco | 9,902 | 3,194 | ||
| * | Saia Inc. | 29,107 | 2,541 | |
| * | Lyft Inc. Class A | 64,547 | 2,461 | |
| Ryder System Inc. | 60,110 | 2,287 | ||
| * | Avis Budget Group Inc. | 70,504 | 2,283 | |
| Werner Enterprises Inc. | 50,907 | 1,710 | ||
| * | Hertz Global Holdings Inc. | 96,706 | 1,237 | |
| Schneider National Inc. | 58,082 | 1,040 | ||
| Heartland Express Inc. | 50,553 | 905 | ||
| Marten Transport Ltd. | 45,607 | 891 | ||
| ArcBest Corp. | 28,743 | 569 | ||
| * | Covenant Transportation Group Inc. | 13,992 | 169 | |
| * | Daseke Inc. | 50,083 | 165 | |
| Universal Logistics Holdings Inc. | 9,344 | 144 | ||
| * | US Xpress Enterprises Inc. | 23,227 | 100 | |
| 302,145 | ||||
| Trading Companies & Distributors (3.2%) | ||||
| Fastenal Co. | 645,315 | 22,083 | ||
| WW Grainger Inc. | 51,617 | 14,326 | ||
| * | United Rentals Inc. | 84,781 | 11,232 | |
| * | HD Supply Holdings Inc. | 186,357 | 7,085 | |
| Watsco Inc. | 36,734 | 5,766 | ||
| Air Lease Corp. | 120,594 | 4,626 | ||
| * | SiteOne Landscape Supply Inc. | 44,237 | 4,391 | |
| MSC Industrial Direct Co. Inc. Class A | 50,682 | 3,133 | ||
| GATX Corp. | 37,419 | 2,677 | ||
| * | Univar Solutions Inc. | 151,855 | 2,580 | |
| Applied Industrial Technologies Inc. | 43,592 | 2,571 | ||
| * | Beacon Roofing Supply Inc. | 77,096 | 2,290 | |
| Aircastle Ltd. | 63,227 | 2,014 | ||
| Triton International Ltd. | 56,928 | 1,957 | ||
| * | BMC Stock Holdings Inc. | 75,121 | 1,843 | |
| * | WESCO International Inc. | 44,477 | 1,804 | |
| Kaman Corp. | 28,233 | 1,566 | ||
| Rush Enterprises Inc. Class A | 31,676 | 1,328 | ||
| * | NOW Inc. | 121,898 | 1,076 | |
| * | GMS Inc. | 47,085 | 1,076 | |
| * | Herc Holdings Inc. | 24,131 | 885 | |
| H&E Equipment Services Inc. | 36,628 | 870 | ||
| * | MRC Global Inc. | 93,302 | 812 | |
| * | DXP Enterprises Inc. | 19,140 | 543 | |
| * | CAI International Inc. | 18,376 | 455 | |
| * | Foundation Building Materials Inc. | 23,803 | 371 | |
| Systemax Inc. | 14,533 | 303 | ||
| * | Titan Machinery Inc. | 21,020 | 212 | |
| Rush Enterprises Inc. Class B | 4,126 | 173 | ||
| * | Veritiv Corp. | 13,830 | 167 | |
| * | General Finance Corp. | 17,626 | 137 | |
| * | EVI Industries Inc. | 4,488 | 99 | |
| 100,451 | ||||
| Transportation Infrastructure (0.1%) | ||||
| Macquarie Infrastructure Corp. | 82,445 | 3,236 | ||
| Total Common Stocks (Cost $3,128,859) | 3,168,139 | |||
| Temporary Cash Investment (0.1%) | ||||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | |||
| (Cost $3,665) | 36,650 | 3,666 | ||
| Total Investments (100.0%) (Cost $3,132,524) | 3,171,805 | |||
| Other Assets and Liabilities—Net (0.0%)2,3 | 285 | |||
| Net Assets (100%) | 3,172,090 | |||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,266,000. |
| 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. |
| 2 | Collateral of $3,663,000 was received for securities on loan. |
| 3 | Cash of $460,000 has been segregated as collateral for open over-the-counter swap contracts. |
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Norfolk Southern | 2/2/21 | GSI | 4,160 | (1.647 | ) | — | (496 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
76
Industrials Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $3,128,859) | 3,168,139 |
| Affiliated Issuers (Cost $3,665) | 3,666 |
| Total Investments in Securities | 3,171,805 |
| Investment in Vanguard | 164 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 460 |
| Receivables for Investment Securities Sold | 11,906 |
| Receivables for Accrued Income | 9,444 |
| Receivables for Capital Shares Issued | 302 |
| Total Assets | 3,194,081 |
| Liabilities | |
| Due to Custodian | 2,309 |
| Payables for Investment Securities Purchased | 14,345 |
| Collateral for Securities on Loan | 3,663 |
| Payables for Capital Shares Redeemed | 599 |
| Payables to Vanguard | 579 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 496 |
| Total Liabilities | 21,991 |
| Net Assets | 3,172,090 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 2,990,496 |
| Total Distributable Earnings (Loss) | 181,594 |
| Net Assets | 3,172,090 |
| ETF Shares—Net Assets | |
| Applicable to 21,438,022 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,975,630 |
| Net Asset Value Per Share—ETF Shares | $138.80 |
| Admiral Shares—Net Assets | |
| Applicable to 2,755,090 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 196,460 |
| Net Asset Value Per Share—Admiral Shares | $71.31 |
See accompanying Notes, which are an integral part of the Financial Statements.
77
Industrials Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 34,333 | |||
| Interest1 | 22 | |||
| Securities Lending—Net | 103 | |||
| Total Income | 34,458 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 285 | |||
| Management and Administrative—ETF Shares | 1,301 | |||
| Management and Administrative—Admiral Shares | 82 | |||
| Marketing and Distribution—ETF Shares | 104 | |||
| Marketing and Distribution—Admiral Shares | 8 | |||
| Custodian Fees | 9 | |||
| Shareholders’ Reports—ETF Shares | 104 | |||
| Shareholders’ Reports—Admiral Shares | 2 | |||
| Trustees’ Fees and Expenses | 1 | |||
| Total Expenses | 1,896 | |||
| Net Investment Income | 32,562 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 171,230 | |||
| Swap Contracts | 765 | |||
| Realized Net Gain (Loss) | 171,995 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (248,241 | ) | ||
| Swap Contracts | (597 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (248,838 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (44,281 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 22,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $174,334,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 32,562 | 69,081 | ||||||
| Realized Net Gain (Loss) | 171,995 | 268,524 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (248,838 | ) | (460,158 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (44,281 | ) | (122,553 | ) | ||||
| Distributions1 | ||||||||
| ETF Shares | (33,435 | ) | (62,999 | ) | ||||
| Admiral Shares | (2,000 | ) | (3,522 | ) | ||||
| Total Distributions | (35,435 | ) | (66,521 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (407,491 | ) | (317,178 | ) | ||||
| Admiral Shares | (110 | ) | (4,653 | ) | ||||
| Net Increase (Decrease) from Capital Share Transactions | (407,601 | ) | (321,831 | ) | ||||
| Total Increase (Decrease) | (487,317 | ) | (510,905 | ) | ||||
| Net Assets | ||||||||
| Beginning of Period | 3,659,407 | 4,170,312 | ||||||
| End of Period | 3,172,090 | 3,659,407 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
78
Industrials Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $142.53 | $146.12 | $128.70 | $111.57 | $99.23 | $103.95 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | 1.2981 | 2.5971 | 2.2631 | 2.3831 | 2.083 | 1.914 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | (3.627) | (3.754) | 17.412 | 16.998 | 13.204 | (4.961) | ||||
| Total from Investment Operations | (2.329) | (1.157) | 19.675 | 19.381 | 15.287 | (3.047) | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (1.401) | (2.433) | (2.255) | (2.251) | (2.947) | (1.673) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (1.401) | (2.433) | (2.255) | (2.251) | (2.947) | (1.673) | ||||
| Net Asset Value, End of Period | $138.80 | $142.53 | $146.12 | $128.70 | $111.57 | $99.23 | ||||
| Total Return | -1.70% | -0.73% | 15.41% | 17.55% | 15.78% | -3.03% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $2,976 | $3,457 | $3,957 | $3,202 | $2,338 | $1,898 | ||||
| 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 | 1.63% | 1.87% | 1.62% | 1.95% | 2.08% | 1.83% | ||||
| Portfolio Turnover Rate2 | 1% | 4% | 4% | 5% | 8% | 4% | ||||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
79
Industrials Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $73.22 | $75.07 | $66.12 | $57.32 | $50.98 | $53.40 | |||
| Investment Operations | |||||||||
| Net Investment Income | .6721 | 1.3401 | 1.1541 | 1.2371 | 1.069 | .982 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (1.862) | (1.941) | 8.955 | 8.721 | 6.783 | (2.541) | |||
| Total from Investment Operations | (1.190) | (.601) | 10.109 | 9.958 | 7.852 | (1.559) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.720) | (1.249) | (1.159) | (1.158) | (1.512) | (.861) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.720) | (1.249) | (1.159) | (1.158) | (1.512) | (.861) | |||
| Net Asset Value, End of Period | $71.31 | $73.22 | $75.07 | $66.12 | $57.32 | $50.98 | |||
| Total Return2 | -1.70% | -0.75% | 15.41% | 17.55% | 15.77% | -2.98% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $196 | $202 | $213 | $176 | $77 | $66 | |||
| 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 | 1.64% | 1.87% | 1.62% | 1.95% | 2.08% | 1.83% | |||
| Portfolio Turnover Rate3 | 1% | 4% | 4% | 5% | 8% | 4% | |||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
80
Industrials Index Fund
Notes to Financial Statements
Vanguard Industrials Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
81
Industrials Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
82
Industrials Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $164,000, representing less than 0.01% of the fund’s net assets and 0.07% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 3,168,139 | — | — | 3,168,139 | ||||||||||||
| Temporary Cash Investments | 3,666 | — | — | 3,666 | ||||||||||||
| Total | 3,171,805 | — | — | 3,171,805 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 496 | — | 496 | ||||||||||||
D. As of February 29, 2020, 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 | 3,132,929 | |||
| Gross Unrealized Appreciation | 496,948 | |||
| Gross Unrealized Depreciation | (458,568 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 38,380 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $42,411,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
83
Industrials Index Fund
E. During the six months ended February 29, 2020, the fund purchased $158,202,000 of investment securities and sold $568,655,000 of investment securities, other than temporary cash investments. Purchases and sales include $95,137,000 and $536,968,000, 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 | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 129,824 | 856 | 613,810 | 4,352 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (537,315 | ) | (3,675 | ) | (930,988 | ) | (7,175 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (407,491 | ) | (2,819 | ) | (317,178 | ) | (2,823 | ) | ||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 48,952 | 624 | 68,108 | 955 | ||||||||||||
| Issued in Lieu of Cash Distributions | 1,715 | 22 | 2,995 | 42 | ||||||||||||
| Redeemed | (50,777 | ) | (650 | ) | (75,756 | ) | (1,078 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | (110 | ) | (4 | ) | (4,653 | ) | (81 | ) | ||||||||
At February 29, 2020, one shareholder was the record or beneficial owner of 45% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
84
Information Technology Index Fund
Sector Diversification
As of February 29, 2020
| Application Software | 12.1% |
| Communications Equipment | 3.8 |
| Data Processing & Outsourced Services | 16.3 |
| Electronic Components | 1.0 |
| Electronic Equipment & Instruments | 1.1 |
| Electronic Manufacturing Services | 0.8 |
| Internet Services & Infrastructure | 1.2 |
| IT Consulting & Other Services | 5.0 |
| Semiconductor Equipment | 2.5 |
| Semiconductors | 15.0 |
| Systems Software | 21.1 |
| Technology Distributors | 0.6 |
| Technology Hardware, Storage & Peripherals | 19.5 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
85
Information Technology Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Common Stocks (99.6%) | ||||
| Communications Equipment (3.7%) | ||||
| Cisco Systems Inc. | 17,263,515 | 689,332 | ||
| Motorola Solutions Inc. | 697,138 | 115,502 | ||
| * | Arista Networks Inc. | 217,568 | 42,017 | |
| * | F5 Networks Inc. | 248,148 | 29,765 | |
| Juniper Networks Inc. | 1,366,703 | 29,001 | ||
| * | Lumentum Holdings Inc. | 313,955 | 24,432 | |
| * | Ciena Corp. | 634,183 | 24,384 | |
| * | Viavi Solutions Inc. | 945,778 | 12,475 | |
| * | ViaSat Inc. | 160,894 | 9,251 | |
| * | Acacia Communications Inc. | 133,240 | 9,128 | |
| * | CommScope Holding Co. Inc. | 785,745 | 8,651 | |
| * | NetScout Systems Inc. | 306,432 | 7,875 | |
| * | EchoStar Corp. | 208,258 | 7,272 | |
| InterDigital Inc. | 126,012 | 6,665 | ||
| Ubiquiti Inc. | 34,257 | 4,647 | ||
| * | Infinera Corp. | 652,124 | 4,435 | |
| Comtech Telecommunications Corp. | 96,656 | 2,708 | ||
| * | Extreme Networks Inc. | 486,249 | 2,446 | |
| * | NETGEAR Inc. | 125,317 | 2,365 | |
| * | Harmonic Inc. | 360,911 | 2,216 | |
| Plantronics Inc. | 135,306 | 1,858 | ||
| * | Calix Inc. | 199,672 | 1,797 | |
| ADTRAN Inc. | 191,153 | 1,538 | ||
| * | CalAmp Corp. | 133,358 | 1,283 | |
| * | Ribbon Communications Inc. | 218,841 | 707 | |
| ^,* | Applied Optoelectronics Inc. | 76,658 | 685 | |
| * | Casa Systems Inc. | 116,341 | 382 | |
| 1,042,817 | ||||
| Electronic Equipment, Instruments & Components (3.5%) | ||||
| TE Connectivity Ltd. | 1,361,878 | 112,859 | ||
| Amphenol Corp. Class A | 1,207,378 | 110,692 | ||
| Corning Inc. | 3,138,383 | 74,882 | ||
| * | Keysight Technologies Inc. | 763,869 | 72,384 | |
| CDW Corp. | 583,914 | 66,695 | ||
| * | Zebra Technologies Corp. | 219,394 | 46,286 | |
| * | Trimble Inc. | 1,014,381 | 40,048 | |
| Cognex Corp. | 698,149 | 31,096 | ||
| FLIR Systems Inc. | 547,948 | 23,271 | ||
| * | Flex Ltd. | 2,079,923 | 23,108 | |
| * | Arrow Electronics Inc. | 333,580 | 22,370 | |
| SYNNEX Corp. | 176,905 | 22,118 | ||
| * | Tech Data Corp. | 144,517 | 20,578 | |
| National Instruments Corp. | 510,317 | 20,556 | ||
| * | IPG Photonics Corp. | 150,417 | 19,199 | |
| Jabil Inc. | 553,253 | 17,732 | ||
| Dolby Laboratories Inc. | 259,858 | 17,073 | ||
| Littelfuse Inc. | 98,694 | 15,759 | ||
| Avnet Inc. | 414,127 | 12,705 | ||
| * | Coherent Inc. | 98,556 | 12,685 | |
| * | Novanta Inc. | 141,922 | 12,661 | |
| * | Anixter International Inc. | 129,467 | 12,624 | |
| * | Itron Inc. | 142,908 | 10,838 | |
| * | II-VI Inc. | 351,947 | 10,449 | |
| Vishay Intertechnology Inc. | 534,042 | 9,987 | ||
| * | Rogers Corp. | 75,068 | 8,708 | |
| * | Fabrinet | 148,995 | 8,213 | |
| * | Insight Enterprises Inc. | 143,971 | 7,931 | |
| * | Plexus Corp. | 117,549 | 7,799 | |
| * | Sanmina Corp. | 284,714 | 7,485 | |
| Belden Inc. | 182,941 | 7,305 | ||
| Badger Meter Inc. | 117,299 | 7,063 | ||
| * | Knowles Corp. | 378,754 | 6,295 | |
| * | OSI Systems Inc. | 72,985 | 5,931 | |
| * | Fitbit Inc. | 914,701 | 5,845 | |
| KEMET Corp. | 221,615 | 5,780 | ||
| * | TTM Technologies Inc. | 402,459 | 5,228 | |
| Methode Electronics Inc. | 148,582 | 4,555 | ||
| AVX Corp. | 203,584 | 4,426 | ||
| * | ePlus Inc. | 54,171 | 4,104 | |
| * | FARO Technologies Inc. | 69,395 | 3,972 | |
| Benchmark Electronics Inc. | 143,110 | 3,890 | ||
| CTS Corp. | 124,263 | 3,240 | ||
| MTS Systems Corp. | 77,339 | 3,104 | ||
| * | ScanSource Inc. | 101,264 | 2,879 | |
| PC Connection Inc. | 47,840 | 1,946 | ||
| * | nLight Inc. | 113,064 | 1,867 | |
| * | Kimball Electronics Inc. | 103,339 | 1,400 | |
| * | Vishay Precision Group Inc. | 42,619 | 1,171 | |
| * | Arlo Technologies Inc. | 301,330 | 988 | |
| Daktronics Inc. | 153,945 | 757 | ||
| 960,537 | ||||
| IT Services (22.4%) | ||||
| Visa Inc. | 6,469,535 | 1,175,903 | ||
| Mastercard Inc. | 3,653,232 | 1,060,351 | ||
| * | PayPal Holdings Inc. | 4,538,707 | 490,135 | |
| International Business Machines Corp. | 3,600,126 | 468,556 | ||
| Accenture plc Class A | 2,583,139 | 466,489 | ||
| Fidelity National Information Services Inc. | 2,497,774 | 348,989 | ||
| Automatic Data Processing Inc. | 1,759,725 | 272,300 | ||
| * | Fiserv Inc. | 2,349,455 | 256,936 | |
| Global Payments Inc. | 1,218,867 | 224,235 | ||
| Cognizant Technology Solutions Corp. | 2,227,119 | 135,698 | ||
| * | Square Inc. | 1,405,599 | 117,129 | |
| Paychex Inc. | 1,311,858 | 101,643 | ||
| * | FleetCor Technologies Inc. | 353,126 | 93,857 | |
| * | VeriSign Inc. | 430,815 | 81,747 | |
| * | Akamai Technologies Inc. | 658,753 | 56,989 | |
| Leidos Holdings Inc. | 548,125 | 56,265 | ||
| * | Okta Inc. | 434,568 | 55,651 | |
| * | Twilio Inc. | 478,976 | 53,952 | |
| * | EPAM Systems Inc. | 223,771 | 49,946 | |
| Broadridge Financial Solutions Inc. | 467,537 | 48,792 | ||
| * | GoDaddy Inc. | 695,724 | 48,687 | |
| Jack Henry & Associates Inc. | 313,269 | 47,535 | ||
| * | Gartner Inc. | 365,132 | 47,244 | |
| Booz Allen Hamilton Holding Corp. | 571,861 | 40,774 | ||
| * | Black Knight Inc. | 608,106 | 40,567 | |
| Western Union Co. | 1,706,882 | 38,217 | ||
| * | WEX Inc. | 176,285 | 33,008 | |
| ^,* | MongoDB Inc. | 192,309 | 29,327 | |
| * | Euronet Worldwide Inc. | 220,124 | 27,304 | |
| DXC Technology Co. | 1,044,467 | 25,182 | ||
| * | CACI International Inc. Class A | 101,911 | 24,970 | |
| Science Applications International Corp. | 210,330 | 16,854 | ||
| MAXIMUS Inc. | 261,331 | 16,469 | ||
| Sabre Corp. | 1,124,135 | 15,305 | ||
| Alliance Data Systems Corp. | 176,560 | 15,163 | ||
| KBR Inc. | 568,994 | 14,771 | ||
| Perspecta Inc. | 590,035 | 14,733 | ||
| CoreLogic Inc. | 323,583 | 14,681 | ||
| * | ExlService Holdings Inc. | 138,123 | 10,311 | |
| * | LiveRamp Holdings Inc. | 260,084 | 9,217 | |
| ManTech International Corp. | 108,497 | 8,126 | ||
| EVERTEC Inc. | 247,542 | 7,347 | ||
| * | Verra Mobility Corp. Class A | 415,835 | 6,298 | |
| CSG Systems International Inc. | 132,972 | 5,884 | ||
| * | Cardtronics plc | 156,224 | 5,666 | |
| * | Perficient Inc. | 132,481 | 5,428 | |
| * | Virtusa Corp. | 115,707 | 5,104 | |
| * | Sykes Enterprises Inc. | 158,815 | 5,031 | |
| NIC Inc. | 269,754 | 4,934 | ||
| * | Evo Payments Inc. | 165,989 | 4,196 | |
| * | Unisys Corp. | 251,019 | 3,898 | |
| Switch Inc. | 234,464 | 3,362 | ||
| TTEC Holdings Inc. | 65,520 | 2,452 | ||
| * | Conduent Inc. | 727,304 | 2,378 | |
| * | Limelight Networks Inc. | 468,436 | 2,363 | |
| Cass Information Systems Inc. | 50,234 | 2,359 | ||
| * | Tucows Inc. | 38,871 | 1,986 | |
| ^,* | GTT Communications Inc. | 125,664 | 1,903 | |
| ^,* | GreenSky Inc. Class A | 214,179 | 1,709 | |
| Hackett Group Inc. | 102,781 | 1,583 | ||
| * | Endurance International Group Holdings Inc. | 264,525 | 987 | |
| ^,* | Paysign Inc. | 115,927 | 931 | |
| * | International Money Express Inc. | 90,729 | 855 | |
| * | Exela Technologies Inc. | 237,336 | 61 | |
| 6,230,723 |
86
Information Technology Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| Semiconductors & Semiconductor | ||||
| Equipment (17.5%) | ||||
| Intel Corp. | 17,704,385 | 982,947 | ||
| NVIDIA Corp. | 2,355,154 | 636,056 | ||
| Broadcom Inc. | 1,614,588 | 440,169 | ||
| Texas Instruments Inc. | 3,799,528 | 433,678 | ||
| QUALCOMM Inc. | 4,645,676 | 363,756 | ||
| * | Micron Technology Inc. | 4,497,431 | 236,385 | |
| Applied Materials Inc. | 3,755,588 | 218,275 | ||
| * | Advanced Micro Devices Inc. | 4,241,786 | 192,916 | |
| Lam Research Corp. | 588,271 | 172,616 | ||
| Analog Devices Inc. | 1,498,177 | 163,376 | ||
| KLA Corp. | 643,355 | 98,890 | ||
| Microchip Technology Inc. | 973,158 | 88,275 | ||
| Xilinx Inc. | 1,022,765 | 85,391 | ||
| Skyworks Solutions Inc. | 694,904 | 69,616 | ||
| Maxim Integrated Products Inc. | 1,104,283 | 61,420 | ||
| Marvell Technology Group Ltd. | 2,574,748 | 54,842 | ||
| * | Qorvo Inc. | 473,561 | 47,631 | |
| Teradyne Inc. | 683,393 | 40,156 | ||
| Cypress Semiconductor Corp. | 1,508,700 | 34,836 | ||
| * | ON Semiconductor Corp. | 1,667,601 | 31,117 | |
| Entegris Inc. | 548,456 | 29,244 | ||
| Universal Display Corp. | 172,858 | 27,448 | ||
| Monolithic Power Systems Inc. | 168,058 | 26,661 | ||
| * | Mellanox Technologies Ltd. | 192,321 | 22,967 | |
| MKS Instruments Inc. | 222,731 | 22,315 | ||
| * | SolarEdge Technologies Inc. | 178,372 | 22,247 | |
| * | Cree Inc. | 438,037 | 19,593 | |
| * | Enphase Energy Inc. | 349,820 | 17,131 | |
| Cabot Microelectronics Corp. | 118,715 | 16,535 | ||
| * | Cirrus Logic Inc. | 234,866 | 16,121 | |
| * | Silicon Laboratories Inc. | 174,205 | 15,449 | |
| * | First Solar Inc. | 319,338 | 14,616 | |
| * | Inphi Corp. | 168,357 | 12,570 | |
| * | Semtech Corp. | 268,359 | 10,598 | |
| Power Integrations Inc. | 120,018 | 10,448 | ||
| Brooks Automation Inc. | 291,965 | 10,076 | ||
| * | Advanced Energy Industries Inc. | 154,637 | 9,197 | |
| * | Lattice Semiconductor Corp. | 510,546 | 9,164 | |
| * | Synaptics Inc. | 135,691 | 8,962 | |
| * | Diodes Inc. | 175,206 | 7,711 | |
| * | Ambarella Inc. | 117,980 | 7,014 | |
| * | FormFactor Inc. | 303,594 | 6,791 | |
| * | Rambus Inc. | 449,733 | 6,287 | |
| * | Onto Innovation Inc. | 201,212 | 6,151 | |
| Kulicke & Soffa Industries Inc. | 256,369 | 5,853 | ||
| * | MACOM Technology Solutions Holdings Inc. | 186,185 | 4,705 | |
| * | Amkor Technology Inc. | 433,237 | 4,521 | |
| * | MaxLinear Inc. | 273,438 | 4,227 | |
| Cohu Inc. | 166,477 | 3,408 | ||
| Xperi Corp. | 197,291 | 3,391 | ||
| * | Photronics Inc. | 269,256 | 3,352 | |
| * | Ultra Clean Holdings Inc. | 159,096 | 3,327 | |
| * | Axcelis Technologies Inc. | 131,004 | 3,143 | |
| * | SunPower Corp. | 364,215 | 3,121 | |
| * | Veeco Instruments Inc. | 197,388 | 2,643 | |
| * | Ichor Holdings Ltd. | 91,007 | 2,632 | |
| * | CEVA Inc. | 87,921 | 2,498 | |
| * | Impinj Inc. | 66,848 | 2,056 | |
| * | PDF Solutions Inc. | 110,385 | 1,616 | |
| * | SMART Global Holdings Inc. | 55,443 | 1,488 | |
| NVE Corp. | 19,368 | 1,225 | ||
| * | NeoPhotonics Corp. | 144,323 | 954 | |
| * | Alpha & Omega Semiconductor Ltd. | 77,198 | 837 | |
| 4,862,641 | ||||
| Software (33.1%) | ||||
| Microsoft Corp. | 29,468,030 | 4,774,115 | ||
| * | Adobe Inc. | 1,969,505 | 679,716 | |
| * | salesforce.com Inc. | 3,385,915 | 576,960 | |
| Oracle Corp. | 9,353,128 | 462,606 | ||
| Intuit Inc. | 1,058,044 | 281,281 | ||
| * | ServiceNow Inc. | 763,465 | 248,958 | |
| * | Autodesk Inc. | 890,527 | 169,984 | |
| * | Workday Inc. | 665,997 | 115,384 | |
| * | Splunk Inc. | 622,554 | 91,721 | |
| * | Synopsys Inc. | 612,033 | 84,418 | |
| * | ANSYS Inc. | 342,945 | 83,058 | |
| * | Cadence Design Systems Inc. | 1,143,279 | 75,616 | |
| * | Palo Alto Networks Inc. | 399,350 | 73,728 | |
| * | RingCentral Inc. | 305,751 | 72,081 | |
| * | Fortinet Inc. | 591,170 | 60,335 | |
| * | Paycom Software Inc. | 202,005 | 57,097 | |
| Citrix Systems Inc. | 529,736 | 54,769 | ||
| SS&C Technologies Holdings Inc. | 925,722 | 51,378 | ||
| * | Tyler Technologies Inc. | 158,212 | 49,576 | |
| NortonLifeLock Inc. | 2,532,408 | 48,192 | ||
| * | Fair Isaac Corp. | 117,805 | 44,298 | |
| * | Trade Desk Inc. | 152,173 | 43,712 | |
| * | VMware Inc. | 334,969 | 40,370 | |
| * | Coupa Software Inc. | 254,597 | 38,126 | |
| * | DocuSign Inc. Class A | 428,306 | 36,967 | |
| * | Guidewire Software Inc. | 336,008 | 36,830 | |
| * | Zendesk Inc. | 455,434 | 36,120 | |
| * | PTC Inc. | 447,322 | 33,795 | |
| * | HubSpot Inc. | 165,209 | 29,647 | |
| * | Aspen Technology Inc. | 277,156 | 29,520 | |
| * | Alteryx Inc. | 208,788 | 29,151 | |
| * | Ceridian HCM Holding Inc. | 358,521 | 25,358 | |
| * | Nuance Communications Inc. | 1,154,619 | 24,963 | |
| * | Proofpoint Inc. | 230,225 | 24,553 | |
| CDK Global Inc. | 493,236 | 22,699 | ||
| * | RealPage Inc. | 329,034 | 21,091 | |
| * | Dropbox Inc. Class A | 974,998 | 19,071 | |
| * | Paylocity Holding Corp. | 141,287 | 18,299 | |
| * | Anaplan Inc. | 403,689 | 18,142 | |
| * | Five9 Inc. | 248,243 | 18,129 | |
| * | Zoom Video Communications Inc. Class A | 172,644 | 18,128 | |
| * | Manhattan Associates Inc. | 259,853 | 17,504 | |
| * | Smartsheet Inc. Class A | 368,339 | 17,054 | |
| LogMeIn Inc. | 199,795 | 17,029 | ||
| * | Nutanix Inc. | 691,238 | 16,479 | |
| j2 Global Inc. | 187,563 | 16,380 | ||
| * | Envestnet Inc. | 212,791 | 16,061 | |
| * | Verint Systems Inc. | 270,892 | 14,867 | |
| Pegasystems Inc. | 162,091 | 14,669 | ||
| * | Everbridge Inc. | 131,781 | 13,924 | |
| ^,* | Zscaler Inc. | 259,261 | 13,479 | |
| Blackbaud Inc. | 197,576 | 13,396 | ||
| * | Q2 Holdings Inc. | 176,077 | 13,271 | |
| * | ACI Worldwide Inc. | 471,390 | 13,138 | |
| * | FireEye Inc. | 889,154 | 11,768 | |
| * | New Relic Inc. | 204,698 | 11,516 | |
| * | Qualys Inc. | 134,725 | 10,802 | |
| * | Varonis Systems Inc. | 122,763 | 9,848 | |
| * | Box Inc. | 582,216 | 9,752 | |
| * | Blackline Inc. | 155,687 | 9,741 | |
| * | Teradata Corp. | 461,113 | 9,195 | |
| * | Cornerstone OnDemand Inc. | 208,061 | 8,537 | |
| * | Elastic NV | 111,884 | 8,264 | |
| * | SailPoint Technologies Holding Inc. | 324,420 | 8,214 | |
| * | Cloudera Inc. | 904,058 | 8,046 | |
| * | Rapid7 Inc. | 172,335 | 7,979 | |
| * | Mimecast Ltd. | 200,021 | 7,919 | |
| * | Bottomline Technologies DE Inc. | 177,459 | 7,858 | |
| * | 8x8 Inc. | 413,533 | 7,650 | |
| * | CommVault Systems Inc. | 178,282 | 7,434 | |
| * | SPS Commerce Inc. | 141,158 | 7,425 | |
| * | Appfolio Inc. | 59,698 | 7,341 | |
| * | Alarm.com Holdings Inc. | 147,276 | 7,106 | |
| * | PROS Holdings Inc. | 151,885 | 6,955 | |
| Progress Software Corp. | 180,840 | 6,743 | ||
| * | LivePerson Inc. | 252,004 | 6,668 | |
| * | Instructure Inc. | 127,812 | 6,232 | |
| * | 2U Inc. | 254,659 | 5,987 | |
| * | Avaya Holdings Corp. | 448,292 | 5,810 | |
| * | Workiva Inc. | 129,051 | 5,516 | |
| * | Pluralsight Inc. Class A | 307,671 | 5,486 | |
| * | Altair Engineering Inc. | 145,189 | 5,053 | |
| * | ForeScout Technologies Inc. | 148,341 | 4,827 | |
| ^,* | Appian Corp. Class A | 104,987 | 4,635 | |
| * | MicroStrategy Inc. | 33,284 | 4,499 | |
| * | Zuora Inc. Class A | 328,748 | 4,353 | |
| TiVo Corp. | 505,838 | 3,829 | ||
| * | Yext Inc. | 249,215 | 3,778 | |
| * | Upland Software Inc. | 86,314 | 3,358 | |
| * | Tenable Holdings Inc. | 118,079 | 2,895 | |
| * | Model N Inc. | 99,605 | 2,889 | |
| Ebix Inc. | 98,964 | 2,617 | ||
| QAD Inc. | 47,219 | 2,316 | ||
| * | OneSpan Inc. | 130,268 | 2,151 | |
| American Software Inc. | 119,415 | 1,964 | ||
| * | SVMK Inc. | 107,587 | 1,961 | |
| * | Digital Turbine Inc. | 302,329 | 1,853 | |
| * | A10 Networks Inc. | 216,172 | 1,450 | |
| * | Benefitfocus Inc. | 105,096 | 1,312 | |
| * | PagerDuty Inc. | 61,193 | 1,261 | |
| * | ShotSpotter Inc. | 32,667 | 1,163 | |
| * | MobileIron Inc. | 262,375 | 1,063 | |
| * | Domo Inc. | 44,537 | 939 | |
| ^,* | Intelligent Systems Corp. | 21,547 | 790 | |
| 9,193,941 | ||||
| Technology Hardware, Storage & Peripherals (19.4%) | ||||
| Apple Inc. | 18,083,576 | 4,943,326 | ||
| HP Inc. | 6,014,530 | 125,042 | ||
| Hewlett Packard Enterprise Co. | 5,278,198 | 67,508 | ||
| Western Digital Corp. | 1,207,548 | 67,092 | ||
| Seagate Technology plc | 963,593 | 46,204 | ||
| NetApp Inc. | 930,414 | 43,469 | ||
87
Information Technology Index Fund
| Market | ||||
| Value• | ||||
| Shares | ($000) | |||
| * | Dell Technologies Inc. | 663,133 | 26,830 | |
| Xerox Holdings Corp. | 793,161 | 25,540 | ||
| * | Pure Storage Inc. | 941,828 | 14,372 | |
| * | NCR Corp. | 521,330 | 13,138 | |
| * | 3D Systems Corp. | 478,693 | 4,385 | |
| * | Diebold Nixdorf Inc. | 293,894 | 2,063 | |
| 5,378,969 | ||||
| Total Common Stocks (Cost $20,263,470) | 27,669,628 | |||
| Temporary Cash Investments (0.2%) | ||||
| Money Market Fund (0.2%) | ||||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 554,381 | 55,455 | |
| Face | Market | |||
| Amount | Value• | |||
| ($000 | ) | ($000) |
U.S. Government and Agency Obligations (0.0%)
| 3 | United States Treasury Bill, 1.546%, 3/26/20 | 1,000 | 999 | |
| 3 | United States Treasury Bill, 1.543%, 4/16/20 | 26 | 26 | |
| 1,025 | ||||
| Total Temporary Cash Investments (Cost $56,459) | 56,480 | |||
| Total Investments (99.8%) (Cost $20,319,929) | 27,726,108 | |||
| Other Assets and Liabilities—Net (0.2%)2,4 | 65,767 | |||
| Net Assets (100%) | 27,791,875 | |||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $15,966,000. |
| 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. |
| 2 | Collateral of $16,424,000 was received for securities on loan, of which $16,349,000 is held in Vanguard Market Liquidity Fund and $75,000 is held in cash. |
| 3 | Securities with a value of $228,000 have been segregated as initial margin for open futures contracts. |
| 4 | Cash of $9,440,000 has been segregated as collateral for open over-the-counter swap contracts. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000) | |||||||
| Value and | |||||||
| Number of | Unrealized | ||||||
| Long (Short) | Notional | Appreciation | |||||
| Expiration | Contracts | Amount | (Depreciation) | ||||
| Long Futures Contracts | |||||||
| E-mini S&P 500 Index | March 2020 | 136 | 20,067 | (168) | |||
| E-mini NASDAQ 100 Index | March 2020 | 29 | 4,903 | (448) | |||
| (616) | |||||||
| Over-the-Counter Total Return Swaps | |||||||
| Floating | |||||||
| Interest Rate | Value and | Value and | |||||
| Notional | Received | Unrealized | Unrealized | ||||
| Termination | Amount | (Paid)1 | Appreciation | (Depreciation) | |||
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | |
| Visa Inc. | 9/2/20 | BOANA | 99,485 | (1.562) | — | (8,559) | |
| 1 | Payment received/paid monthly. |
BOANA—Bank of America, N.A.
88
Information Technology Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $20,264,495) | 27,670,653 |
| Affiliated Issuers (Cost $55,434) | 55,455 |
| Total Investments in Securities | 27,726,108 |
| Investment in Vanguard | 1,323 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 9,440 |
| Receivables for Investment Securities Sold | 160,016 |
| Receivables for Accrued Income | 36,292 |
| Receivables for Capital Shares Issued | 14,794 |
| Variation Margin Receivable—Futures Contracts | 41 |
| Total Assets | 27,948,014 |
| Liabilities | |
| Due to Custodian | 79 |
| Payables for Investment Securities Purchased | 99,740 |
| Collateral for Securities on Loan | 16,424 |
| Payables for Capital Shares Redeemed | 28,309 |
| Payables to Vanguard | 2,860 |
| Variation Margin Payable—Futures Contracts | 168 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 8,559 |
| Total Liabilities | 156,139 |
| Net Assets | 27,791,875 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 19,935,137 |
| Total Distributable Earnings (Loss) | 7,856,738 |
| Net Assets | 27,791,875 |
| ETF Shares—Net Assets | |
| Applicable to 104,941,384 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 24,716,456 |
| Net Asset Value Per Share—ETF Shares | $235.53 |
| Admiral Shares—Net Assets | |
| Applicable to 25,500,591 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,075,419 |
| Net Asset Value Per Share—Admiral Shares | $120.60 |
See accompanying Notes, which are an integral part of the Financial Statements.
89
Information Technology Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 196,188 | |||
| Interest1 | 1,024 | |||
| Securities Lending—Net | 253 | |||
| Total Income | 197,465 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 1,446 | |||
| Management and Administrative—ETF Shares | 9,742 | |||
| Management and Administrative—Admiral Shares | 1,171 | |||
| Marketing and Distribution—ETF Shares | 637 | |||
| Marketing and Distribution—Admiral Shares | 109 | |||
| Custodian Fees | 20 | |||
| Shareholders’ Reports—ETF Shares | 386 | |||
| Shareholders’ Reports—Admiral Shares | 7 | |||
| Trustees’ Fees and Expenses | 7 | |||
| Total Expenses | 13,525 | |||
| Expenses Paid Indirectly | (19 | ) | ||
| Net Expenses | 13,506 | |||
| Net Investment Income | 183,959 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 481,167 | |||
| Futures Contracts | 4,070 | |||
| Swap Contracts | 8,547 | |||
| Realized Net Gain (Loss) | 493,784 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | 1,837,190 | |||
| Futures Contracts | (1,139 | ) | ||
| Swap Contracts | (8,559 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | 1,827,492 | |||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,505,235 | |||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 1,016,000, $12,000, and $10,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $512,266,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 183,959 | 288,885 | ||||||
| Realized Net Gain (Loss) | 493,784 | 2,703,211 | ||||||
| Change in Unrealized Appreciation (Depreciation) | 1,827,492 | (1,981,325 | ) | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,505,235 | 1,010,771 | ||||||
| Distributions1 | ||||||||
| ETF Shares | (149,698 | ) | (260,834 | ) | ||||
| Admiral Shares | (17,592 | ) | (26,967 | ) | ||||
| Total Distributions | (167,290 | ) | (287,801 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | 1,876,153 | (2,459,914 | ) | |||||
| Admiral Shares | 369,020 | 317,194 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | 2,245,173 | (2,142,720 | ) | |||||
| Total Increase (Decrease) | 4,583,118 | (1,419,750 | ) | |||||
| Net Assets | ||||||||
| Beginning of Period | 23,208,757 | 24,628,507 | ||||||
| End of Period | 27,791,875 | 23,208,757 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
90
Information Technology Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $213.66 | $202.82 | $151.19 | $117.82 | $102.35 | $101.41 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | 1.6091 | 2.5721 | 1.9211 | 1.6461 | 1.566 | 1.277 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | 21.747 | 10.792 | 51.430 | 33.329 | 16.049 | .834 | ||||
| Total from Investment Operations | 23.356 | 13.364 | 53.351 | 34.975 | 17.615 | 2.111 | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (1.486) | (2.524) | (1.721) | (1.605) | (2.145) | (1.171) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (1.486) | (2.524) | (1.721) | (1.605) | (2.145) | (1.171) | ||||
| Net Asset Value, End of Period | $235.53 | $213.66 | $202.82 | $151.19 | $117.82 | $102.35 | ||||
| Total Return | 10.96% | 6.70% | 35.52% | 29.93% | 17.48% | 2.05% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $24,716 | $20,738 | $22,595 | $14,638 | $9,429 | $7,259 | ||||
| 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 | 1.25% | 1.32% | 1.10% | 1.24% | 1.50% | 1.35% | ||||
| Portfolio Turnover Rate2 | 1% | 5% | 7% | 6% | 5% | 3% | ||||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
91
Information Technology Index Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||||
| Ended | Year Ended August 31, | |||||||||
| For a Share Outstanding | February 29, | |||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||
| Net Asset Value, Beginning of Period | $109.40 | $103.86 | $77.42 | $60.33 | $52.41 | $51.93 | ||||
| Investment Operations | ||||||||||
| Net Investment Income | .8301 | 1.3261 | 1.0011 | .8501 | .802 | .655 | ||||
| Net Realized and Unrealized Gain (Loss) on Investments | 11.131 | 5.509 | 26.324 | 17.062 | 8.216 | .426 | ||||
| Total from Investment Operations | 11.961 | 6.835 | 27.325 | 17.912 | 9.018 | 1.081 | ||||
| Distributions | ||||||||||
| Dividends from Net Investment Income | (.761) | (1.295) | (.885) | (.822) | (1.098) | (.601) | ||||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||||
| Total Distributions | (.761) | (1.295) | (.885) | (.822) | (1.098) | (.601) | ||||
| Net Asset Value, End of Period | $120.60 | $109.40 | $103.86 | $77.42 | $60.33 | $52.41 | ||||
| Total Return2 | 10.97% | 6.70% | 35.54% | 29.94% | 17.49% | 2.09% | ||||
| Ratios/Supplemental Data | ||||||||||
| Net Assets, End of Period (Millions) | $3,075 | $2,470 | $2,033 | $933 | $456 | $342 | ||||
| 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 | 1.26% | 1.32% | 1.10% | 1.24% | 1.50% | 1.35% | ||||
| Portfolio Turnover Rate3 | 1% | 5% | 7% | 6% | 5% | 3% | ||||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
92
Information Technology Index Fund
Notes to Financial Statements
Vanguard Information Technology Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
93
Information Technology Index Fund
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
94
Information Technology Index Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $1,323,000, representing less than 0.01% of the fund’s net assets and 0.53% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $19,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
95
Information Technology Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 27,669,628 | — | — | 27,669,628 | ||||||||||||
| Temporary Cash Investments | 55,455 | 1,025 | — | 56,480 | ||||||||||||
| Total | 27,725,083 | 1,025 | — | 27,726,108 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Assets | ||||||||||||||||
| Futures Contracts1 | 41 | — | — | 41 | ||||||||||||
| Liabilities | ||||||||||||||||
| Futures Contracts1 | 168 | — | — | 168 | ||||||||||||
| Swap Contracts | — | 8,559 | — | 8,559 | ||||||||||||
| Total | 168 | 8,559 | — | 8,727 | ||||||||||||
| 1 | Represents variation margin on the last day of the reporting period. |
E. As of February 29, 2020, 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 | 20,319,929 | |||
| Gross Unrealized Appreciation | 8,182,139 | |||
| Gross Unrealized Depreciation | (785,135 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 7,397,004 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $132,283,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $3,513,108,000 of investment securities and sold $1,244,388,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,629,963,000 and $899,338,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 2,780,914 | 11,703 | 2,875,252 | 14,358 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (904,761 | ) | (3,825 | ) | (5,335,166 | ) | (28,700 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | 1,876,153 | 7,878 | (2,459,914 | ) | (14,342 | ) | ||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 853,506 | 6,859 | 952,910 | 9,462 | ||||||||||||
| Issued in Lieu of Cash Distributions | 16,032 | 139 | 24,513 | 243 | ||||||||||||
| Redeemed | (500,518 | ) | (4,079 | ) | (660,229 | ) | (6,699 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | 369,020 | 2,919 | 317,194 | 3,006 | ||||||||||||
96
Information Technology Index Fund
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
97
Materials Index Fund
Sector Diversification
As of February 29, 2020
| Aluminum | 0.6 | % | ||
| Commodity Chemicals | 8.1 | |||
| Construction Materials | 4.7 | |||
| Copper | 1.8 | |||
| Diversified Chemicals | 1.9 | |||
| Diversified Metals & Mining | 0.3 | |||
| Fertilizers & Agricultural Chemicals | 6.6 | |||
| Forest Products | 0.6 | |||
| Gold | 5.7 | |||
| Industrial Gases | 19.4 | |||
| Metal & Glass Containers | 6.2 | |||
| Paper Packaging | 8.9 | |||
| Paper Products | 0.7 | |||
| Silver | 0.2 | |||
| Specialty Chemicals | 29.4 | |||
| Steel | 4.9 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
98
Materials Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (99.8%) | |||
| Chemicals (65.3%) | |||
| Linde plc | 1,406,272 | 268,612 | |
| Air Products & Chemicals Inc. | 577,074 | 126,731 | |
| Ecolab Inc. | 679,157 | 122,554 | |
| Sherwin-Williams Co. | 217,496 | 112,391 | |
| DuPont de Nemours Inc. | 1,939,488 | 83,204 | |
| Dow Inc. | 1,941,348 | 78,450 | |
| PPG Industries Inc. | 619,108 | 64,666 | |
| Corteva Inc. | 1,959,412 | 53,296 | |
| LyondellBasell Industries NV | 698,390 | 49,907 | |
| FMC Corp. | 339,341 | 31,593 | |
| Celanese Corp. | 316,489 | 29,668 | |
| International Flavors & Fragrances Inc. | 240,487 | 28,806 | |
| Albemarle Corp. | 277,573 | 22,719 | |
| Eastman Chemical Co. | 356,177 | 21,908 | |
| RPM International Inc. | 339,413 | 21,760 | |
| CF Industries Holdings Inc. | 569,133 | 20,978 | |
| Mosaic Co. | 942,247 | 16,046 | |
| * | Axalta Coating Systems Ltd. | 553,269 | 13,787 |
| Scotts Miracle-Gro Co. | 109,664 | 11,623 | |
| Ashland Global Holdings Inc. | 157,446 | 11,264 | |
| Huntsman Corp. | 531,062 | 10,058 | |
| Valvoline Inc. | 492,579 | 9,605 | |
| NewMarket Corp. | 23,433 | 9,106 | |
| WR Grace & Co. | 157,402 | 8,903 | |
| Balchem Corp. | 84,286 | 7,962 | |
| Olin Corp. | 418,290 | 6,772 | |
| Chemours Co. | 427,494 | 6,353 | |
| * | Element Solutions Inc. | 591,928 | 6,150 |
| PolyOne Corp. | 235,970 | 5,843 | |
| Westlake Chemical Corp. | 100,693 | 5,626 | |
| Cabot Corp. | 149,360 | 5,583 | |
| Innospec Inc. | 64,063 | 5,544 | |
| Quaker Chemical Corp. | 34,800 | 5,483 | |
| Sensient Technologies Corp. | 110,652 | 5,442 | |
| HB Fuller Co. | 133,305 | 5,230 | |
| * | Ingevity Corp. | 109,339 | 4,925 |
| Stepan Co. | 53,089 | 4,663 | |
| Minerals Technologies Inc. | 91,267 | 4,095 | |
| * | Livent Corp. | 381,520 | 3,407 |
| * | GCP Applied Technologies Inc. | 171,729 | 3,344 |
| * | Ferro Corp. | 203,395 | 2,363 |
| Trinseo SA | 102,212 | 2,236 | |
| Tronox Holdings plc Class A | 240,555 | 1,766 | |
| Chase Corp. | 19,805 | 1,758 | |
| * | OMNOVA Solutions Inc. | 118,286 | 1,196 |
| * | Koppers Holdings Inc. | 54,668 | 1,195 |
| Tredegar Corp. | 69,518 | 1,186 | |
| American Vanguard Corp. | 70,995 | 1,083 | |
| * | AdvanSix Inc. | 73,496 | 1,068 |
| Hawkins Inc. | 24,847 | 888 | |
| * | Kraton Corp. | 83,199 | 842 |
| FutureFuel Corp. | 68,484 | 696 | |
| Kronos Worldwide Inc. | 60,664 | 606 | |
| * | Intrepid Potash Inc. | 258,179 | 457 |
| Rayonier Advanced Materials Inc. | 161,761 | 396 | |
| * | Venator Materials plc | 143,390 | 383 |
| *,§ | A Schulman Inc. CVR | 108,962 | 47 |
| 1,332,223 | |||
| Construction Materials (4.7%) | |||
| Vulcan Materials Co. | 346,447 | 41,664 | |
| Martin Marietta Materials Inc. | 163,575 | 37,218 | |
| Eagle Materials Inc. | 109,037 | 8,606 | |
| * | Summit Materials Inc. | 293,613 | 5,737 |
| * | US Concrete Inc. | 41,234 | 1,107 |
| * | Forterra Inc. | 50,542 | 684 |
| 95,016 | |||
| Containers & Packaging (15.0%) | |||
| Ball Corp. | 813,495 | 57,319 | |
| Amcor plc | 4,241,489 | 39,531 | |
| International Paper Co. | 975,406 | 36,051 | |
| Avery Dennison Corp. | 218,602 | 25,028 | |
| * | Crown Holdings Inc. | 354,664 | 25,004 |
| Packaging Corp. of America | 247,728 | 22,449 | |
| Westrock Co. | 675,134 | 22,448 | |
| AptarGroup Inc. | 167,314 | 16,910 | |
| * | Berry Global Group Inc. | 345,970 | 13,133 |
| Sonoco Products Co. | 262,126 | 12,637 | |
| Sealed Air Corp. | 404,691 | 12,266 | |
| Graphic Packaging Holding Co. | 759,841 | 10,273 | |
| Silgan Holdings Inc. | 203,098 | 5,815 | |
| O-I Glass Inc. | 407,074 | 4,396 | |
| Greif Inc. Class A | 68,871 | 2,434 | |
| Myers Industries Inc. | 83,852 | 1,138 | |
| 306,832 | |||
| Metals & Mining (13.5%) | |||
| Newmont Corp. | 2,146,311 | 95,790 | |
| Freeport-McMoRan Inc. | 3,797,918 | 37,827 | |
| Nucor Corp. | 793,775 | 32,823 | |
| Reliance Steel & Aluminum Co. | 174,472 | 17,847 | |
| Royal Gold Inc. | 171,709 | 16,565 | |
| Steel Dynamics Inc. | 564,471 | 15,032 | |
| * | Alcoa Corp. | 485,232 | 6,730 |
| Commercial Metals Co. | 310,299 | 5,666 | |
| * | Allegheny Technologies Inc. | 329,629 | 5,633 |
| Compass Minerals International Inc. | 88,569 | 4,831 | |
| Carpenter Technology Corp. | 124,741 | 4,584 | |
| ^ | Cleveland-Cliffs Inc. | 706,635 | 4,106 |
| Kaiser Aluminum Corp. | 41,479 | 3,922 | |
| ^ | United States Steel Corp. | 445,981 | 3,577 |
| Hecla Mining Co. | 1,296,698 | 3,423 | |
| Worthington Industries Inc. | 102,483 | 3,259 | |
| * | Coeur Mining Inc. | 632,635 | 2,632 |
| Materion Corp. | 53,495 | 2,425 | |
| Warrior Met Coal Inc. | 121,103 | 2,146 | |
| * | AK Steel Holding Corp. | 828,629 | 1,914 |
| Schnitzer Steel Industries Inc. | 69,822 | 1,151 | |
| SunCoke Energy Inc. | 225,937 | 1,042 | |
| Haynes International Inc. | 33,165 | 839 | |
| * | Century Aluminum Co. | 138,333 | 802 |
| *,^ | McEwen Mining Inc. | 838,475 | 755 |
| * | TimkenSteel Corp. | 98,976 | 502 |
| * | Ryerson Holding Corp. | 45,393 | 378 |
| 276,201 | |||
| Paper & Forest Products (1.3%) | |||
| Louisiana-Pacific Corp. | 307,379 | 8,745 | |
| Domtar Corp. | 150,040 | 4,317 | |
| Boise Cascade Co. | 102,308 | 3,630 | |
| Schweitzer-Mauduit International Inc. | 81,045 | 2,733 | |
| Neenah Inc. | 43,993 | 2,541 | |
| PH Glatfelter Co. | 115,501 | 1,647 | |
| * | Verso Corp. | 91,169 | 1,487 |
| * | Clearwater Paper Corp. | 42,879 | 1,169 |
| Mercer International Inc. | 112,455 | 996 | |
| 27,265 | |||
| Total Common Stocks (Cost $2,464,152) | 2,037,537 | ||
| Temporary Cash Investment (0.4%) | |||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% (Cost $9,171) |
91,700 | 9,173 |
| Total Investments (100.2%) (Cost $2,473,323) | 2,046,710 | ||
| Other Assets and Liabilities—Net (-0.2%)2 | (4,667) | ||
| Net Assets (100%) | 2,042,043 | ||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Security value determined using significant unobservable inputs. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,317,000. |
| 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. |
| 2 | Collateral of $4,502,000 was received for securities on loan. |
| CVR—Contingent Value Rights. |
99
Materials Index Fund
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| International Flavors & Fragrances Inc. | 2/2/21 | GSI | 3,371 | (1.647 | ) | — | (378 | ) | ||||||||||||||||
| 1 | Payment received/paid monthly. |
GSI—Goldman Sachs International..
See accompanying Notes, which are an integral part of the Financial Statements.
100
Materials Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount | ||
| Assets | |||
| Investments in Securities, at Value | |||
| Unaffiliated Issuers (Cost $2,464,152) | 2,037,537 | ||
| Affiliated Issuers (Cost $9,171) | 9,173 | ||
| Total Investments in Securities | 2,046,710 | ||
| Investment in Vanguard | 106 | ||
| Receivables for Investment Securities Sold | 4,669 | ||
| Receivables for Accrued Income | 5,335 | ||
| Receivables for Capital Shares Issued | 2,163 | ||
| Total Assets | 2,058,983 | ||
| Liabilities | |||
| Payables for Investment Securities Purchased | 9,930 | ||
| Collateral for Securities on Loan | 4,502 | ||
| Payables for Capital Shares Redeemed | 1,620 | ||
| Payables to Vanguard | 510 | ||
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 378 | ||
| Total Liabilities | 16,940 | ||
| Net Assets | 2,042,043 | ||
| At February 29, 2020, net assets consisted of: | |||
| Paid-in Capital | 2,514,898 | ||
| Total Distributable Earnings (Loss) | (472,855 | ) | |
| Net Assets | 2,042,043 | ||
| ETF Shares—Net Assets | |||
| Applicable to 13,626,411 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,555,649 | ||
| Net Asset Value Per Share—ETF Shares | $114.16 | ||
| Admiral Shares—Net Assets | |||
| Applicable to 8,361,772 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 486,394 | ||
| Net Asset Value Per Share—Admiral Shares | $58.17 |
See accompanying Notes, which are an integral part of the Financial Statements.
101
Materials Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 24,113 | |||
| Interest1 | 22 | |||
| Securities Lending—Net | 80 | |||
| Total Income | 24,215 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 184 | |||
| Management and Administrative—ETF Shares | 665 | |||
| Management and Administrative—Admiral Shares | 195 | |||
| Marketing and Distribution—ETF Shares | 63 | |||
| Marketing and Distribution—Admiral Shares | 19 | |||
| Custodian Fees | 10 | |||
| Auditing Fees | — | |||
| Shareholders’ Reports—ETF Shares | 85 | |||
| Shareholders’ Reports—Admiral Shares | 2 | |||
| Trustees’ Fees and Expenses | 1 | |||
| Total Expenses | 1,224 | |||
| Net Investment Income | 22,991 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 22,904 | |||
| Futures Contracts | — | |||
| Swap Contracts | 614 | |||
| Realized Net Gain (Loss) | 23,518 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (186,650 | ) | ||
| Swap Contracts | (355 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (187,005 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (140,496 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $22,000, ( $1,000), and $ 1,000, respectively. Purchase and sales are for temporary cash investment purposes. |
| 2 | Includes $33,573,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 22,991 | 52,576 | ||||||
| Realized Net Gain (Loss) | 23,518 | 118,154 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (187,005 | ) | (439,986 | ) | ||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (140,496 | ) | (269,256 | ) | ||||
| Distributions1 | ||||||||
| ETF Shares | (19,951 | ) | (44,813 | ) | ||||
| Admiral Shares | (5,263 | ) | (9,048 | ) | ||||
| Total Distributions | (25,214 | ) | (53,861 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | (239,096 | ) | (545,088 | ) | ||||
| Admiral Shares | 43,366 | 70,433 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | (195,730 | ) | (474,655 | ) | ||||
| Total Increase (Decrease) | (361,440 | ) | (797,772 | ) | ||||
| Net Assets | ||||||||
| Beginning of Period | 2,403,483 | 3,201,255 | ||||||
| End of Period | 2,042,043 | 2,403,483 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
102
Materials Index Fund
Financial Highlights
ETF Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $122.80 | $134.33 | $124.29 | $108.16 | $96.39 | $113.50 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.2031 | 2.5011 | 2.2851 | 2.1751 | 1.980 | 2.126 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (8.518) | (11.541) | 9.961 | 16.072 | 12.770 | (17.344) | |||
| Total from Investment Operations | (7.315) | (9.040) | 12.246 | 18.247 | 14.750 | (15.218) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.325) | (2.490) | (2.206) | (2.117) | (2.980) | (1.892) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (1.325) | (2.490) | (2.206) | (2.117) | (2.980) | (1.892) | |||
| Net Asset Value, End of Period | $114.16 | $122.80 | $134.33 | $124.29 | $108.16 | $96.39 | |||
| Total Return | -6.08% | -6.73% | 9.91% | 17.06% | 15.83% | -13.56% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $1,556 | $1,921 | $2,749 | $1,913 | $1,448 | $1,022 | |||
| 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 | 1.89% | 2.04% | 1.71% | 1.87% | 2.06% | 1.86% | |||
| Portfolio Turnover Rate2 | 1% | 4% | 5% | 5% | 6% | 4% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
103
Materials Index Fund
Financial Highlights
Admiral Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $62.57 | $68.45 | $63.33 | $55.11 | $49.12 | $57.84 | |||
| Investment Operations | |||||||||
| Net Investment Income | .6191 | 1.2821 | 1.1591 | 1.1041 | 1.008 | 1.088 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (4.343) | (5.892) | 5.084 | 8.195 | 6.505 | (8.846) | |||
| Total from Investment Operations | (3.724) | (4.610) | 6.243 | 9.299 | 7.513 | (7.758) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.676) | (1.270) | (1.123) | (1.079) | (1.523) | (.962) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (.676) | (1.270) | (1.123) | (1.079) | (1.523) | (.962) | |||
| Net Asset Value, End of Period | $58.17 | $62.57 | $68.45 | $63.33 | $55.11 | $49.12 | |||
| Total Return2 | -6.07% | -6.74% | 9.91% | 17.06% | 15.80% | -13.54% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $486 | $482 | $452 | $372 | $235 | $193 | |||
| 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 | 1.88% | 2.04% | 1.71% | 1.87% | 2.06% | 1.86% | |||
| Portfolio Turnover Rate3 | 1% | 4% | 5% | 5% | 6% | 4% | |||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
104
Materials Index Fund
Notes to Financial Statements
Vanguard Materials Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. 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. The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Assets and Liabilities. 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
105
Materials Index Fund
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
106
Materials Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $106,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 2,037,490 | — | 47 | 2,037,537 | ||||||||||||
| Temporary Cash Investments | 9,173 | — | — | 9,173 | ||||||||||||
| Total | 2,046,663 | — | 47 | 2,046,710 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 378 | — | 378 | ||||||||||||
D. As of February 29, 2020, 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 | 2,473,323 | |||
| Gross Unrealized Appreciation | 167,430 | |||
| Gross Unrealized Depreciation | (594,421 | ) | ||
| Net Unrealized Appreciation (Depreciation) | (426,991 | ) | ||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $75,687,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $169,841,000 of investment securities and sold $367,284,000 of investment securities, other than temporary cash investments. Purchases and sales include $77,371,000 and $336,006,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
107
Materials Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 97,246 | 756 | 662,298 | 5,428 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (336,342 | ) | (2,775 | ) | (1,207,386 | ) | (10,250 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | (239,096 | ) | (2,019 | ) | (545,088 | ) | (4,822 | ) | ||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 94,203 | 1,436 | 165,502 | 2,647 | ||||||||||||
| Issued in Lieu of Cash Distributions | 4,852 | 74 | 8,315 | 131 | ||||||||||||
| Redeemed | (55,689 | ) | (855 | ) | (103,384 | ) | (1,673 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | 43,366 | 655 | 70,433 | 1,105 | ||||||||||||
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
108
Utilities Index Fund
Sector Diversification
As of February 29, 2020
| Electric Utilities | 58.3 | % | ||
| Gas Utilities | 4.5 | |||
| Independent Power Producers & Energy Traders | 3.0 | |||
| Multi-Utilities | 29.0 | |||
| Renewable Electricity | 1.0 | |||
| Water Utilities | 4.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
109
Utilities Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000 | ) | |||||||
| Common Stocks (99.6%) | |||||||||
| Electric Utilities (58.2%) | |||||||||
| NextEra Energy Inc. | 2,784,678 | 703,855 | |||||||
| Duke Energy Corp. | 4,173,003 | 382,664 | |||||||
| Southern Co. | 5,721,795 | 345,368 | |||||||
| American Electric Power Co. Inc. | 2,812,455 | 251,040 | |||||||
| Exelon Corp. | 5,535,001 | 238,614 | |||||||
| Xcel Energy Inc. | 2,987,514 | 186,182 | |||||||
| Eversource Energy | 1,843,506 | 159,390 | |||||||
| Edison International | 2,041,861 | 137,193 | |||||||
| FirstEnergy Corp. | 3,076,522 | 136,998 | |||||||
| Entergy Corp. | 1,133,718 | 132,543 | |||||||
| PPL Corp. | 4,116,934 | 123,549 | |||||||
| Evergy Inc. | 1,296,288 | 84,712 | |||||||
| Alliant Energy Corp. | 1,298,185 | 67,661 | |||||||
| Pinnacle West Capital Corp. | 640,055 | 57,278 | |||||||
| OGE Energy Corp. | 1,139,783 | 43,426 | |||||||
| IDACORP Inc. | 287,180 | 27,753 | |||||||
| Portland General Electric Co. | 509,270 | 27,709 | |||||||
| Hawaiian Electric Industries Inc. | 621,032 | 26,605 | |||||||
| PNM Resources Inc. | 452,971 | 21,326 | |||||||
| ALLETE Inc. | 293,806 | 20,270 | |||||||
| Avangrid Inc. | 351,458 | 17,464 | |||||||
| El Paso Electric Co. | 231,662 | 15,723 | |||||||
| MGE Energy Inc. | 197,156 | 14,065 | |||||||
| Otter Tail Corp. | 204,410 | 9,936 | |||||||
| Spark Energy Inc. | 66,336 | 568 | |||||||
| 3,231,892 | |||||||||
| Gas Utilities (4.5%) | |||||||||
| Atmos Energy Corp. | 679,851 | 70,195 | |||||||
| UGI Corp. | 1,190,250 | 42,896 | |||||||
| ONE Gas Inc. | 300,633 | 24,694 | |||||||
| Spire Inc. | 290,678 | 21,815 | |||||||
| Southwest Gas Holdings Inc. | 311,502 | 20,148 | |||||||
| New Jersey Resources Corp. | 512,820 | 18,108 | |||||||
| National Fuel Gas Co. | 443,473 | 16,235 | |||||||
| South Jersey Industries Inc. | 525,424 | 14,213 | |||||||
| Northwest Natural Holding Co. | 173,094 | 11,384 | |||||||
| Chesapeake Utilities Corp. | 93,156 | 7,965 | |||||||
| Star Group LP | 265,884 | 2,388 | |||||||
| 250,041 | |||||||||
| Independent Power and Renewable Electricity Producers (3.9%) | |||||||||
| AES Corp. | 3,780,493 | 63,248 | |||||||
| NRG Energy Inc. | 1,432,454 | 47,572 | |||||||
| Vistra Energy Corp. | 2,080,995 | 40,018 | |||||||
| ^ | NextEra Energy Partners LP | 346,754 | 19,997 | ||||||
| Ormat Technologies Inc. | 217,511 | 15,156 | |||||||
| Pattern Energy Group Inc. Class A | 502,771 | 13,600 | |||||||
| Clearway Energy Inc. | 358,564 | 7,544 | |||||||
| TerraForm Power Inc. | 388,289 | 7,296 | |||||||
| Clearway Energy Inc. Class A | 256,984 | 5,214 | |||||||
| 219,645 | |||||||||
| Multi-Utilities (28.9%) | |||||||||
| Dominion Energy Inc. | 4,686,672 | 366,404 | |||||||
| Sempra Energy | 1,606,387 | 224,541 | |||||||
| WEC Energy Group Inc. | 1,796,065 | 165,831 | |||||||
| Consolidated Edison Inc. | 1,892,907 | 149,199 | |||||||
| Public Service Enterprise Group Inc. | 2,879,549 | 147,750 | |||||||
| DTE Energy Co. | 1,095,477 | 122,332 | |||||||
| Ameren Corp. | 1,400,925 | 110,673 | |||||||
| CMS Energy Corp. | 1,616,348 | 97,660 | |||||||
| CenterPoint Energy Inc. | 2,859,662 | 65,829 | |||||||
| NiSource Inc. | 2,126,982 | 57,471 | |||||||
| MDU Resources Group Inc. | 1,142,170 | 31,672 | |||||||
| Black Hills Corp. | 350,257 | 25,288 | |||||||
| NorthWestern Corp. | 286,899 | 20,180 | |||||||
| Avista Corp. | 379,505 | 17,894 | |||||||
| Unitil Corp. | 84,696 | 4,772 | |||||||
| 1,607,496 | |||||||||
| Water Utilities (4.1%) | |||||||||
| American Water Works Co. Inc. | 1,029,524 | 127,311 | |||||||
| Essential Utilities Inc. | 1,229,146 | 52,866 | |||||||
| American States Water Co. | 209,536 | 16,048 | |||||||
| California Water Service Group | 273,823 | 13,132 | |||||||
| SJW Group | 137,575 | 8,417 | |||||||
| Middlesex Water Co. | 99,312 | 5,906 | |||||||
| York Water Co. | 73,817 | 3,122 | |||||||
| * | AquaVenture Holdings Ltd. | 107,666 | 2,911 | ||||||
| 229,713 | |||||||||
| Total Common Stocks (Cost $5,002,872) | 5,538,787 | ||||||||
| Temporary Cash Investment (0.1%) | |||||||||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | ||||||||
| (Cost $3,009) | 30,081 | 3,009 | |||||||
| Total Investments (99.7%) (Cost $5,005,881) | 5,541,796 | ||||||||
| Other Assets and Liabilities—Net (0.3%)2,3 | 15,676 | ||||||||
| Net Assets (100%) | 5,557,472 | ||||||||
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,872,000. |
| * | 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. |
| 2 | Collateral of $2,988,000 was received for securities on loan. |
| 3 | Cash of $2,260,000 has been segregated as collateral for open over-the-counter swap contracts. |
110
Utilities Index Fund
| Derivative Financial Instruments Outstanding as of Period End | ||||||||||||||||||||||||
| Over-the-Counter Total Return Swaps | ||||||||||||||||||||||||
| Floating | ||||||||||||||||||||||||
| Interest Rate | Value and | Value and | ||||||||||||||||||||||
| Notional | Received | Unrealized | Unrealized | |||||||||||||||||||||
| Termination | Amount | (Paid | )1 | Appreciation | (Depreciation | ) | ||||||||||||||||||
| Reference Entity | Date | Counterparty | ($000 | ) | (% | ) | ($000 | ) | ($000 | ) | ||||||||||||||
| Southern Co. | 9/2/20 | BOANA | 17,600 | (1.662% | ) | — | (2,375 | ) | ||||||||||||||||
| Alliant Energy Corp. | 2/2/21 | GSI | 5,776 | (1.647% | ) | — | (774 | ) | ||||||||||||||||
| — | (3,149 | ) | ||||||||||||||||||||||
| 1 | Payment received/paid monthly. |
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.
See accompanying Notes, which are an integral part of the Financial Statements.
111
Utilities Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,002,872) | 5,538,787 |
| Affiliated Issuers (Cost $3,009) | 3,009 |
| Total Investments in Securities | 5,541,796 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 2,260 |
| Investment in Vanguard | 274 |
| Receivables for Investment Securities Sold | 25,780 |
| Receivables for Accrued Income | 29,482 |
| Receivables for Capital Shares Issued | 10,698 |
| Total Assets | 5,610,290 |
| Liabilities | |
| Due to Custodian | 1,668 |
| Payables for Investment Securities Purchased | 32,824 |
| Collateral for Securities on Loan | 2,988 |
| Payables for Capital Shares Redeemed | 11,295 |
| Payables to Vanguard | 894 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 3,149 |
| Total Liabilities | 52,818 |
| Net Assets | 5,557,472 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 4,994,672 |
| Total Distributable Earnings (Loss) | 562,800 |
| Net Assets | 5,557,472 |
| ETF Shares—Net Assets | |
| Applicable to 30,614,744 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,174,380 |
| Net Asset Value Per Share—ETF Shares | $136.35 |
| Admiral Shares—Net Assets | |
| Applicable to 20,218,028 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,383,092 |
| Net Asset Value Per Share—Admiral Shares | $68.41 |
See accompanying Notes, which are an integral part of the Financial Statements.
112
Utilities Index Fund
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($000 | ) | |||
| Investment Income | ||||
| Income | ||||
| Dividends | 92,251 | |||
| Interest1 | 151 | |||
| Securities Lending—Net | 2 | |||
| Total Income | 92,404 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 436 | |||
| Management and Administrative—ETF Shares | 1,623 | |||
| Management and Administrative—Admiral Shares | 525 | |||
| Marketing and Distribution—ETF Shares | 147 | |||
| Marketing and Distribution—Admiral Shares | 53 | |||
| Custodian Fees | 28 | |||
| Shareholders’ Reports—ETF Shares | 78 | |||
| Shareholders’ Reports—Admiral Shares | 6 | |||
| Trustees’ Fees and Expenses | 2 | |||
| Total Expenses | 2,898 | |||
| Net Investment Income | 89,506 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1,2 | 133,806 | |||
| Futures Contracts | 50 | |||
| Swap Contracts | 3,453 | |||
| Realized Net Gain (Loss) | 137,309 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1 | (273,635 | ) | ||
| Swap Contracts | (3,230 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (276,865 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (50,050 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $ 151,000, $4,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $140,297,000 of net gain (loss) resulting from in-kind redemptions. |
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($000 | ) | ($000 | ) | |||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 89,506 | 142,287 | ||||||
| Realized Net Gain (Loss) | 137,309 | 122,862 | ||||||
| Change in Unrealized Appreciation (Depreciation) | (276,865 | ) | 585,241 | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (50,050 | ) | 850,390 | |||||
| Distributions1 | ||||||||
| ETF Shares | (65,116 | ) | (103,410 | ) | ||||
| Admiral Shares | (20,123 | ) | (31,297 | ) | ||||
| Total Distributions | (85,239 | ) | (134,707 | ) | ||||
| Capital Share Transactions | ||||||||
| ETF Shares | 169,000 | 749,411 | ||||||
| Admiral Shares | 150,403 | 230,614 | ||||||
| Net Increase (Decrease) from Capital Share Transactions | 319,403 | 980,025 | ||||||
| Total Increase (Decrease) | 184,114 | 1,695,708 | ||||||
| Net Assets | ||||||||
| Beginning of Period | 5,373,358 | 3,677,650 | ||||||
| End of Period | 5,557,472 | 5,373,358 | ||||||
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
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Utilities Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $139.09 | $119.32 | $120.75 | $107.35 | $91.41 | $94.61 | ||
| Investment Operations | ||||||||
| Net Investment Income | 2.2071 | 4.0871 | 3.7571 | 3.6971 | 3.355 | 3.337 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | (2.836) | 19.562 | (1.434) | 13.374 | 15.889 | (3.261) | ||
| Total from Investment Operations | (.629) | 23.649 | 2.323 | 17.071 | 19.244 | .076 | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (2.111) | (3.879) | (3.753) | (3.671) | (3.304) | (3.276) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (2.111) | (3.879) | (3.753) | (3.671) | (3.304) | (3.276) | ||
| Net Asset Value, End of Period | $136.35 | $139.09 | $119.32 | $120.75 | $107.35 | $91.41 | ||
| Total Return | -0.51% | 20.17% | 2.05% | 16.27% | 21.40% | -0.02% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $4,174 | $4,107 | $2,809 | $2,689 | $2,249 | $1,581 | ||
| 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 | 3.09% | 3.22% | 3.25% | 3.33% | 3.38% | 3.39% | ||
| Portfolio Turnover Rate2 | 1% | 4% | 4% | 4% | 3% | 7% | ||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
114
Utilities Index Fund
Financial Highlights
Admiral Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $69.78 | $59.86 | $60.58 | $53.86 | $45.86 | $47.47 | ||
| Investment Operations | ||||||||
| Net Investment Income | 1.1091 | 2.0381 | 1.8831 | 1.8631 | 1.683 | 1.676 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | (1.420) | 9.828 | (.719) | 6.698 | 7.974 | (1.641) | ||
| Total from Investment Operations | (.311) | 11.866 | 1.164 | 8.561 | 9.657 | .035 | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (1.059) | (1.946) | (1.884) | (1.841) | (1.657) | (1.645) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (1.059) | (1.946) | (1.884) | (1.841) | (1.657) | (1.645) | ||
| Net Asset Value, End of Period | $68.41 | $69.78 | $59.86 | $60.58 | $53.86 | $45.86 | ||
| Total Return2 | -0.49% | 20.19% | 2.04% | 16.24% | 21.42% | -0.01% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $1,383 | $1,266 | $868 | $845 | $704 | $447 | ||
| 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 | 3.10% | 3.22% | 3.25% | 3.33% | 3.38% | 3.39% | ||
| Portfolio Turnover Rate3 | 1% | 4% | 4% | 4% | 3% | 7% | ||
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 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
115
Utilities Index Fund
Notes to Financial Statements
Vanguard Utilities Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at February 29, 2020.
3. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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
116
Utilities Index Fund
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 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
117
Utilities Index Fund
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $274,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) | |||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 5,538,787 | — | — | 5,538,787 | ||||||||||||
| Temporary Cash Investments | 3,009 | — | — | 3,009 | ||||||||||||
| Total | 5,541,796 | — | — | 5,541,796 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Swap Contracts | — | 3,149 | — | 3,149 | ||||||||||||
118
Utilities Index Fund
D. As of February 29, 2020, 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 | 5,005,881 | |||
| Gross Unrealized Appreciation | 722,159 | |||
| Gross Unrealized Depreciation | (189,393 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 532,766 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $140,707,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $887,623,000 of investment securities and sold $576,315,000 of investment securities, other than temporary cash investments. Purchases and sales include $595,703,000 and $502,883,000, 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 | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 672,471 | 4,687 | 1,761,117 | 13,983 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (503,471 | ) | (3,600 | ) | (1,011,706 | ) | (8,000 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | 169,000 | 1,087 | 749,411 | 5,983 | ||||||||||||
| Admiral Shares | ||||||||||||||||
| Issued | 307,162 | 4,248 | 452,254 | 7,138 | ||||||||||||
| Issued in Lieu of Cash Distributions | 16,337 | 230 | 25,301 | 397 | ||||||||||||
| Redeemed | (173,096 | ) | (2,407 | ) | (246,941 | ) | (3,895 | ) | ||||||||
| Net Increase (Decrease)—Admiral Shares | 150,403 | 2,071 | 230,614 | 3,640 | ||||||||||||
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
119
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|
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
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Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. The prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with Vanguard and any related funds.
| © 2020 The Vanguard Group,
Inc. All rights reserved. | |
| U.S. Patent 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. | |
| Q4832 042020 |
| Semiannual Report | February 29, 2020 |
| Vanguard Extended Duration Treasury |
| Index Fund |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Extended Duration Treasury Index Fund | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | |||
| ETF Shares | $1,000.00 | $1,083.58 | $0.36 |
| Institutional Shares | 1,000.00 | 1,083.76 | 0.31 |
| Institutional Plus Shares | 1,000.00 | 1,083.80 | 0.21 |
| Based on Hypothetical 5% Yearly Return | |||
| ETF Shares | $1,000.00 | $1,024.52 | $0.35 |
| Institutional Shares | 1,000.00 | 1,024.56 | 0.30 |
| Institutional Plus Shares | 1,000.00 | 1,024.66 | 0.20 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.07% for ETF Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
Extended Duration Treasury Index Fund
Fund Allocation
As of February 29, 2020
| Treasury/Agency | 100.0% |
The table reflects the fund’s investments, except for short-term investments. The agency and mortgage backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith of the U.S. government.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
3
Extended Duration Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Face | Market | |||
| Maturity | Amount | Value· | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (100.0%) | ||||
| U.S. Government Securities (100.0%) | ||||
| United States Treasury Strip Coupon | 0.000% | 2/15/40 | 30,987 | 22,245 |
| United States Treasury Strip Coupon | 0.000% | 5/15/40 | 72,410 | 51,677 |
| United States Treasury Strip Coupon | 0.000% | 8/15/40 | 78,860 | 55,916 |
| United States Treasury Strip Coupon | 0.000% | 11/15/40 | 75,228 | 53,036 |
| United States Treasury Strip Coupon | 0.000% | 2/15/41 | 72,357 | 50,678 |
| United States Treasury Strip Coupon | 0.000% | 5/15/41 | 75,950 | 52,916 |
| United States Treasury Strip Coupon | 0.000% | 8/15/41 | 80,475 | 55,635 |
| United States Treasury Strip Coupon | 0.000% | 11/15/41 | 65,802 | 45,295 |
| United States Treasury Strip Coupon | 0.000% | 2/15/42 | 67,582 | 46,257 |
| United States Treasury Strip Coupon | 0.000% | 5/15/42 | 64,669 | 43,980 |
| United States Treasury Strip Coupon | 0.000% | 8/15/42 | 66,051 | 44,559 |
| United States Treasury Strip Coupon | 0.000% | 11/15/42 | 64,225 | 43,046 |
| United States Treasury Strip Coupon | 0.000% | 2/15/43 | 68,742 | 45,810 |
| United States Treasury Strip Coupon | 0.000% | 5/15/43 | 73,361 | 48,630 |
| United States Treasury Strip Coupon | 0.000% | 8/15/43 | 59,897 | 39,467 |
| United States Treasury Strip Coupon | 0.000% | 11/15/43 | 58,110 | 38,080 |
| United States Treasury Strip Coupon | 0.000% | 2/15/44 | 59,588 | 38,783 |
| United States Treasury Strip Coupon | 0.000% | 5/15/44 | 67,801 | 43,811 |
| United States Treasury Strip Coupon | 0.000% | 8/15/44 | 59,154 | 37,988 |
| United States Treasury Strip Coupon | 0.000% | 11/15/44 | 48,122 | 30,719 |
| United States Treasury Strip Coupon | 0.000% | 2/15/45 | 63,977 | 40,645 |
| United States Treasury Strip Coupon | 0.000% | 5/15/45 | 68,248 | 43,119 |
| United States Treasury Strip Coupon | 0.000% | 8/15/45 | 66,185 | 41,624 |
| United States Treasury Strip Coupon | 0.000% | 11/15/45 | 67,024 | 41,979 |
| United States Treasury Strip Coupon | 0.000% | 2/15/46 | 71,736 | 44,729 |
| United States Treasury Strip Coupon | 0.000% | 5/15/46 | 74,102 | 46,053 |
| United States Treasury Strip Coupon | 0.000% | 8/15/46 | 51,367 | 31,808 |
| United States Treasury Strip Coupon | 0.000% | 11/15/46 | 65,128 | 40,150 |
| United States Treasury Strip Coupon | 0.000% | 2/15/47 | 73,438 | 45,089 |
| United States Treasury Strip Coupon | 0.000% | 5/15/47 | 82,633 | 50,542 |
| United States Treasury Strip Coupon | 0.000% | 8/15/47 | 75,818 | 46,226 |
| United States Treasury Strip Coupon | 0.000% | 11/15/47 | 68,588 | 41,651 |
| United States Treasury Strip Coupon | 0.000% | 2/15/48 | 80,385 | 48,689 |
| United States Treasury Strip Coupon | 0.000% | 5/15/48 | 70,253 | 42,431 |
| United States Treasury Strip Coupon | 0.000% | 8/15/48 | 58,483 | 35,200 |
| United States Treasury Strip Coupon | 0.000% | 11/15/48 | 36,422 | 21,876 |
4
| Extended Duration Treasury Index Fund | ||||
| Face | Market | |||
| Maturity | Amount | Value· | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Strip Coupon | 0.000% | 2/15/49 | 31,427 | 18,778 |
| United States Treasury Strip Coupon | 0.000% | 5/15/49 | 41,815 | 24,923 |
| United States Treasury Strip Coupon | 0.000% | 8/15/49 | 27,090 | 16,108 |
| United States Treasury Strip Coupon | 0.000% | 11/15/49 | 1,451 | 860 |
| United States Treasury Strip Coupon | 0.000% | 2/15/50 | 50 | 30 |
| United States Treasury Strip Principal | 0.000% | 5/15/40 | 72,452 | 53,241 |
| United States Treasury Strip Principal | 0.000% | 8/15/40 | 67,917 | 49,457 |
| United States Treasury Strip Principal | 0.000% | 11/15/40 | 57,880 | 41,886 |
| United States Treasury Strip Principal | 0.000% | 2/15/41 | 58,816 | 42,370 |
| United States Treasury Strip Principal | 0.000% | 5/15/41 | 57,837 | 41,304 |
| United States Treasury Strip Principal | 0.000% | 8/15/41 | 31,956 | 22,624 |
| United States Treasury Strip Principal | 0.000% | 11/15/41 | 26,994 | 18,989 |
| United States Treasury Strip Principal | 0.000% | 2/15/42 | 43,219 | 30,243 |
| United States Treasury Strip Principal | 0.000% | 5/15/42 | 44,550 | 30,920 |
| United States Treasury Strip Principal | 0.000% | 8/15/42 | 59,069 | 40,665 |
| United States Treasury Strip Principal | 0.000% | 11/15/42 | 58,552 | 40,048 |
| United States Treasury Strip Principal | 0.000% | 2/15/43 | 72,672 | 49,354 |
| United States Treasury Strip Principal | 0.000% | 5/15/43 | 48,352 | 32,653 |
| United States Treasury Strip Principal | 0.000% | 8/15/43 | 68,282 | 45,888 |
| United States Treasury Strip Principal | 0.000% | 11/15/43 | 62,228 | 41,586 |
| United States Treasury Strip Principal | 0.000% | 2/15/44 | 51,422 | 34,123 |
| United States Treasury Strip Principal | 0.000% | 5/15/44 | 65,287 | 43,054 |
| United States Treasury Strip Principal | 0.000% | 8/15/44 | 63,315 | 41,471 |
| United States Treasury Strip Principal | 0.000% | 11/15/44 | 54,268 | 35,363 |
| United States Treasury Strip Principal | 0.000% | 2/15/45 | 55,173 | 35,785 |
| United States Treasury Strip Principal | 0.000% | 5/15/45 | 59,147 | 38,178 |
| United States Treasury Strip Principal | 0.000% | 8/15/45 | 59,970 | 38,526 |
| United States Treasury Strip Principal | 0.000% | 11/15/45 | 60,963 | 39,016 |
| United States Treasury Strip Principal | 0.000% | 2/15/46 | 57,228 | 36,451 |
| United States Treasury Strip Principal | 0.000% | 5/15/46 | 67,762 | 43,018 |
| United States Treasury Strip Principal | 0.000% | 8/15/46 | 73,987 | 46,855 |
| United States Treasury Strip Principal | 0.000% | 11/15/46 | 81,146 | 51,205 |
| United States Treasury Strip Principal | 0.000% | 2/15/47 | 102,655 | 64,601 |
| United States Treasury Strip Principal | 0.000% | 5/15/47 | 78,162 | 48,851 |
| United States Treasury Strip Principal | 0.000% | 8/15/47 | 94,340 | 58,705 |
| United States Treasury Strip Principal | 0.000% | 11/15/47 | 73,994 | 45,853 |
| United States Treasury Strip Principal | 0.000% | 2/15/48 | 102,580 | 63,335 |
| United States Treasury Strip Principal | 0.000% | 5/15/48 | 93,553 | 57,593 |
| United States Treasury Strip Principal | 0.000% | 8/15/48 | 19,847 | 12,178 |
| United States Treasury Strip Principal | 0.000% | 11/15/48 | 41,706 | 25,538 |
| United States Treasury Strip Principal | 0.000% | 2/15/49 | 77,003 | 46,966 |
| United States Treasury Strip Principal | 0.000% | 5/15/49 | 86,835 | 52,766 |
| United States Treasury Strip Principal | 0.000% | 8/15/49 | 111,815 | 67,735 |
| United States Treasury Strip Principal | 0.000% | 11/15/49 | 115,983 | 70,006 |
| United States Treasury Strip Principal | 0.000% | 2/15/50 | 100,050 | 60,085 |
| Total U.S. Government and Agency Obligations (Cost $2,617,021) | 3,349,523 | |||
5
| Extended Duration Treasury Index Fund | ||||
| Market | ||||
| Value· | ||||
| Coupon | Shares | ($000) | ||
| Temporary Cash Investment (0.0%) | ||||
| Money Market Fund (0.0%) | ||||
| 1 Vanguard Market Liquidity Fund (Cost $322) | 1.706% | 3,220 | 322 | |
| Total Investments (100.0%) (Cost $2,617,343) | 3,349,845 | |||
| Other Assets and Liabilities—Net (0.0%) | (282 | ) | ||
| Net Assets (100%) | 3,349,563 |
Cost rounded to $000.
| · | See Note A in Notes to Financial Statements. |
| 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
6
Extended Duration Treasury Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $2,617,021) | 3,349,523 |
| Affiliated Issuers (Cost $322) | 322 |
| Total Investments in Securities | 3,349,845 |
| Investment in Vanguard | 127 |
| Receivables for Investment Securities Sold | 86,393 |
| Receivables for Accrued Income | 1 |
| Receivables for Capital Shares Issued | 35,233 |
| Total Assets | 3,471,599 |
| Liabilities | |
| Payables for Investment Securities Purchased | 119,223 |
| Payables for Capital Shares Redeemed | 2,490 |
| Payables to Vanguard | 323 |
| Total Liabilities | 122,036 |
| Net Assets | 3,349,563 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 2,525,913 |
| Total Distributable Earnings (Loss) | 823,650 |
| Net Assets | 3,349,563 |
| ETF Shares—Net Assets | |
| Applicable to 10,000,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,552,155 |
| Net Asset Value Per Share—ETF Shares | $155.22 |
| Institutional Shares—Net Assets | |
| Applicable to 20,860,095 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 978,245 |
| Net Asset Value Per Share—Institutional Shares | $46.90 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 6,958,185 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 819,163 |
| Net Asset Value Per Share—Institutional Plus Shares | $117.73 |
See accompanying Notes, which are an integral part of the Financial Statements.
7
Extended Duration Treasury Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 33,588 |
| Total Income | 33,588 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 45 |
| Management and Administrative—ETF Shares | 338 |
| Management and Administrative—Institutional Shares | 219 |
| Management and Administrative—Institutional Plus Shares | 128 |
| Marketing and Distribution—ETF Shares | 39 |
| Marketing and Distribution—Institutional Shares | 13 |
| Marketing and Distribution—Institutional Plus Shares | 6 |
| Custodian Fees | 4 |
| Shareholders’ Reports—ETF Shares | 25 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—Institutional Plus Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 818 |
| Expenses Paid Indirectly | (3) |
| Net Expenses | 815 |
| Net Investment Income | 32,773 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 86,744 |
| Futures | — |
| Realized Net Gain (Loss) | 86,744 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | 123,380 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 242,897 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated companies of the fund were $10,000, $1,000, and $1,000, respectively. |
| 2 | Includes $50,610,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
8
Extended Duration Treasury Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | ||
| February 29, | August 31, | ||
| 2020 | 2019 | ||
| ($000) | ($000) | ||
| Increase (Decrease) in Net Assets | |||
| Operations | |||
| Net Investment Income | 32,773 | 63,738 | |
| Realized Net Gain (Loss) | 86,744 | 44,663 | |
| Change in Unrealized Appreciation (Depreciation) | 123,380 | 616,956 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 242,897 | 725,357 | |
| Distributions1 | |||
| ETF Shares | (25,015) | (23,240) | |
| Institutional Shares | (17,395) | (22,154) | |
| Institutional Plus Shares | (15,724) | (16,154) | |
| Total Distributions | (58,134) | (61,548) | |
| Capital Share Transactions | |||
| ETF Shares | 138,816 | 389,756 | |
| Institutional Shares | 58,991 | (129,112) | |
| Institutional Plus Shares | (7,774) | 72,452 | |
| Net Increase (Decrease) from Capital Share Transactions | 190,033 | 333,096 | |
| Total Increase (Decrease) | 374,796 | 996,905 | |
| Net Assets | |||
| Beginning of Period | 2,974,767 | 1,977,862 | |
| End of Period | 3,349,563 | 2,974,767 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
9
Extended Duration Treasury Index Fund
Financial Highlights
ETF Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $146.43 | $113.39 | $120.92 | $139.77 | $116.00 | $113.24 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.6221 | 3.3471 | 3.3531 | 3.3831 | 3.420 | 3.524 | |||
| Net Realized and Unrealized Gain (Loss) on Investments2 | 10.111 | 32.972 | (7.272) | (16.377) | 25.019 | 3.113 | |||
| Total from Investment Operations | 11.733 | 36.319 | (3.919) | (12.994) | 28.439 | 6.637 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.693) | (3.279) | (3.314) | (3.402) | (3.414) | (3.506) | |||
| Distributions from Realized Capital Gains | (1.250) | — | (.297) | (2.454) | (1.255) | (.371) | |||
| Total Distributions | (2.943) | (3.279) | (3.611) | (5.856) | (4.669) | (3.877) | |||
| Net Asset Value, End of Period | $155.22 | $146.43 | $113.39 | $120.92 | $139.77 | $116.00 | |||
| Total Return | 8.36% | 32.92% | -3.24% | -8.86% | 25.30% | 5.90% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $1,552 | $1,333 | $658 | $623 | $615 | $365 | |||
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.10% | |||
| Ratio of Net Investment Income to Average Net Assets | 2.37% | 2.87% | 2.93% | 2.90% | 2.77% | 2.93% | |||
| Portfolio Turnover Rate3 | 9% | 20% | 18% | 18% | 20% | 16% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Includes increases from purchase and redemption fees of $0.03, $0.04, $0.07, $0.16, $0.06, and $0.05. |
| 3 | 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
Extended Duration Treasury Index Fund
Financial Highlights
Institutional Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $44.24 | $34.25 | $36.52 | $42.20 | $35.02 | $34.18 | |||
| Investment Operations | |||||||||
| Net Investment Income | .4921 | 1.0151 | 1.0161 | 1.0241 | 1.036 | 1.069 | |||
| Net Realized and Unrealized Gain (Loss) on Investments2 | 3.060 | 9.967 | (2.191) | (4.934) | 7.558 | .947 | |||
| Total from Investment Operations | 3.552 | 10.982 | (1.175) | (3.910) | 8.594 | 2.016 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (.514) | (.992) | (1.005) | (1.030) | (1.035) | (1.064) | |||
| Distributions from Realized Capital Gains | (.378) | — | (.090) | (.740) | (.379) | (.112) | |||
| Total Distributions | (.892) | (.992) | (1.095) | (1.770) | (1.414) | (1.176) | |||
| Net Asset Value, End of Period | $46.90 | $44.24 | $34.25 | $36.52 | $42.20 | $35.02 | |||
| Total Return3 | 8.38% | 32.94% | -3.23% | -8.86% | 25.33% | 5.89% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $978 | $862 | $787 | $682 | $660 | $484 | |||
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.08% | |||
| Ratio of Net Investment Income to Average Net Assets | 2.38% | 2.88% | 2.94% | 2.91% | 2.78% | 2.95% | |||
| Portfolio Turnover Rate4 | 9% | 20% | 18% | 18% | 20% | 16% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Includes increases from purchase and redemption fees of $0.01, $0.01, $0.02, $0.05, $0.02, and $0.01. |
| 3 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
| 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
11
Extended Duration Treasury Index Fund
Financial Highlights
Institutional Plus Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $111.06 | $85.99 | $91.68 | $105.93 | $87.92 | $85.80 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.2451 | 2.5641 | 2.5681 | 2.5881 | 2.620 | 2.701 | |||
| Net Realized and Unrealized Gain (Loss) on Investments2 | 7.673 | 25.015 | (5.492) | (12.375) | 18.958 | 2.389 | |||
| Total from Investment Operations | 8.918 | 27.579 | (2.924) | (9.787) | 21.578 | 5.090 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.300) | (2.509) | (2.541) | (2.603) | (2.616) | (2.688) | |||
| Distributions from Realized Capital Gains | (.948) | — | (.225) | (1.860) | (.952) | (.282) | |||
| Total Distributions | (2.248) | (2.509) | (2.766) | (4.463) | (3.568) | (2.970) | |||
| Net Asset Value, End of Period | $117.73 | $111.06 | $85.99 | $91.68 | $105.93 | $87.92 | |||
| Total Return3 | 8.38% | 32.95% | -3.20% | -8.84% | 25.34% | 5.93% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $819 | $780 | $533 | $367 | $258 | $250 | |||
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.06% | |||
| Ratio of Net Investment Income to Average Net Assets | 2.40% | 2.90% | 2.96% | 2.93% | 2.80% | 2.97% | |||
| Portfolio Turnover Rate4 | 9% | 20% | 18% | 18% | 20% | 16% | |||
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Includes increases from purchase and redemption fees of $0.03, $0.03, $0.06, $0.12, $0.05, and $0.04. |
| 3 | Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. |
| 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Extended Duration Treasury Index Fund
Notes to Financial Statements
Vanguard Extended Duration Treasury Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at February 29, 2020.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
13
Extended Duration Treasury Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period
14
Extended Duration Treasury Index Fund
for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $127,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 3,349,523 | — | 3,349,523 |
| Temporary Cash Investments | 322 | — | — | 322 |
| Total | 322 | 3,349,523 | — | 3,349,845 |
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 2,617,343 |
| Gross Unrealized Appreciation | 733,203 |
| Gross Unrealized Depreciation | (701) |
| Net Unrealized Appreciation (Depreciation) | 732,502 |
15
Extended Duration Treasury Index Fund
F. During the six months ended February 29, 2020, the fund purchased $661,398,000 of investment securities and sold $529,769,000 of investment securities, other than temporary cash investments. Purchases and sales include $394,931,000 and $256,583,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. | Capital share transactions for each class of shares were: |
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued1 | 396,419 | 2,800 | 607,253 | 5,250 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (257,603 | ) | (1,900 | ) | (217,497 | ) | (1,950 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | 138,816 | 900 | 389,756 | 3,300 | ||||||||||||
| Institutional Shares | ||||||||||||||||
| Issued1 | 100,099 | 2,324 | 63,167 | 1,842 | ||||||||||||
| Issued in Lieu of Cash Distributions | 17,233 | 429 | 22,033 | 644 | ||||||||||||
| Redeemed | (58,341 | ) | (1,383 | ) | (214,312 | ) | (5,975 | ) | ||||||||
| Net Increase (Decrease)—Institutional Shares | 58,991 | 1,370 | (129,112 | ) | (3,489 | ) | ||||||||||
| Institutional Plus Shares | ||||||||||||||||
| Issued1 | 181 | — | 64,883 | 720 | ||||||||||||
| Issued in Lieu of Cash Distributions | 15,724 | 156 | 16,154 | 187 | ||||||||||||
| Redeemed | (23,679 | ) | (221 | ) | (8,585 | ) | (83 | ) | ||||||||
| Net Increase (Decrease)—Institutional Plus Shares | (7,774 | ) | (65 | ) | 72,452 | 824 | ||||||||||
1 Includes purchase fees for fiscal 2020 and 2019 of $686,000 and $716,000, respectively (fund totals).
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
16
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| © 2020 The Vanguard Group, Inc. | |
| All rights reserved. | |
| U.S. Patent 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. | |
| Q12752 042020 |
| Semiannual Report | February 29, 2020 |
| Vanguard Mega Cap Index Funds |
| Vanguard Mega Cap Index Fund |
| Vanguard Mega Cap Growth Index Fund |
| Vanguard Mega Cap Value Index Fund |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Mega Cap Index Fund | 3 |
| Mega Cap Growth Index Fund | 18 |
| Mega Cap Value Index Fund | 32 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2019 | 2/29/2020 | Period | |
| Based on Actual Fund Return | |||
| Mega Cap Index Fund | |||
| ETF Shares | $1,000.00 | $1,028.06 | $0.35 |
| Institutional Shares | 1,000.00 | 1,028.11 | 0.30 |
| Mega Cap Growth Index Fund | |||
| ETF Shares | $1,000.00 | $1,072.63 | $0.36 |
| Institutional Shares | 1,000.00 | 1,072.65 | 0.31 |
| Mega Cap Value Index Fund | |||
| ETF Shares | $1,000.00 | $985.23 | $0.35 |
| Institutional Shares | 1,000.00 | 985.18 | 0.30 |
| Based on Hypothetical 5% Yearly Return | |||
| Mega Cap Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.52 | $0.35 |
| Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
| Mega Cap Growth Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.52 | $0.35 |
| Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
| Mega Cap Value Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.52 | $0.35 |
| Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Mega Cap Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; for the Mega Cap Growth Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; and for the Mega Cap Value Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
Mega Cap Index Fund
Sector Diversification
As of February 29, 2020
| Basic Materials | 1.4 | % | ||
| Consumer Goods | 7.9 | |||
| Consumer Services | 14.3 | |||
| Financials | 17.2 | |||
| Health Care | 13.4 | |||
| Industrials | 11.1 | |||
| Oil & Gas | 3.4 | |||
| Technology | 26.2 | |||
| Telecommunications | 2.4 | |||
| Utilities | 2.7 |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3
Mega Cap Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000) | ||||||||
| Common Stocks (99.4%) | |||||||||
| Basic Materials (1.4%) | |||||||||
| Linde plc | 58,727 | 11,217 | |||||||
| Air Products & Chemicals Inc. | 24,156 | 5,305 | |||||||
| Ecolab Inc. | 28,245 | 5,097 | |||||||
| DuPont de Nemours Inc. | 80,856 | 3,469 | |||||||
| Dow Inc. | 81,135 | 3,279 | |||||||
| PPG Industries Inc. | 25,619 | 2,676 | |||||||
| LyondellBasell Industries NV | 27,843 | 1,989 | |||||||
| 33,032 | |||||||||
| Consumer Goods (7.9%) | |||||||||
| Procter & Gamble Co. | 272,370 | 30,840 | |||||||
| Coca-Cola Co. | 421,195 | 22,530 | |||||||
| PepsiCo Inc. | 152,544 | 20,140 | |||||||
| Philip Morris International Inc. | 169,962 | 13,915 | |||||||
| NIKE Inc. | 136,149 | 12,169 | |||||||
| * | Tesla Inc. | 15,781 | 10,542 | ||||||
| Mondelez International Inc. | 157,718 | 8,328 | |||||||
| Altria Group Inc. | 203,722 | 8,224 | |||||||
| Colgate-Palmolive Co. | 93,159 | 6,295 | |||||||
| Kimberly-Clark Corp. | 37,647 | 4,939 | |||||||
| Activision Blizzard Inc. | 83,937 | 4,879 | |||||||
| Estee Lauder Cos. Inc. Class A | 24,329 | 4,467 | |||||||
| General Motors Co. | 139,898 | 4,267 | |||||||
| General Mills Inc. | 66,425 | 3,255 | |||||||
| * | Electronic Arts Inc. | 31,856 | 3,229 | ||||||
| Ford Motor Co. | 425,887 | 2,964 | |||||||
| Constellation Brands Inc. Class A | 16,430 | 2,832 | |||||||
| VF Corp. | 37,033 | 2,666 | |||||||
| * | Monster Beverage Corp. | 41,064 | 2,563 | ||||||
| Hershey Co. | 16,397 | 2,361 | |||||||
| Archer-Daniels-Midland Co. | 61,293 | 2,308 | |||||||
| Brown-Forman Corp. | 32,340 | 1,986 | |||||||
| Kraft Heinz Co. | 72,991 | 1,808 | |||||||
| Kellogg Co. | 28,069 | 1,697 | |||||||
| Aptiv plc | 14,220 | 1,111 | |||||||
| Corteva Inc. | 40,790 | 1,109 | |||||||
| Tyson Foods Inc. | 16,298 | 1,105 | |||||||
| * | Keurig Dr Pepper Inc. | 30,231 | 843 | ||||||
| 183,372 | |||||||||
| Consumer Services (14.2%) | |||||||||
| * | Amazon.com Inc. | 46,076 | 86,796 | ||||||
| Home Depot Inc. | 119,209 | 25,968 | |||||||
| Walt Disney Co. | 196,924 | 23,168 | |||||||
| Comcast Corp. | 495,925 | 20,050 | |||||||
| * | Netflix Inc. | 47,869 | 17,665 | ||||||
| Walmart Inc. | 155,475 | 16,742 | |||||||
| McDonald’s Corp. | 82,293 | 15,979 | |||||||
| Costco Wholesale Corp. | 48,002 | 13,495 | |||||||
| Starbucks Corp. | 122,539 | 9,611 | |||||||
| Lowe’s Cos. Inc. | 84,271 | 8,981 | |||||||
| CVS Health Corp. | 142,128 | 8,411 | |||||||
| * | Charter Communications Inc. | 16,395 | 8,085 | ||||||
| * | Booking Holdings Inc. | 4,541 | 7,700 | ||||||
| TJX Cos. Inc. | 119,294 | 7,134 | |||||||
| Target Corp. | 55,394 | 5,706 | |||||||
| Ross Stores Inc. | 39,389 | 4,285 | |||||||
| Dollar General Corp. | 28,275 | 4,250 | |||||||
| Walgreens Boots Alliance Inc. | 82,809 | 3,789 | |||||||
| * | Uber Technologies Inc. | 111,849 | 3,788 | ||||||
| Marriott International Inc. | 28,557 | 3,541 | |||||||
| Sysco Corp. | 52,698 | 3,512 | |||||||
| * | O’Reilly Automotive Inc. | 8,214 | 3,029 | ||||||
| Hilton Worldwide Holdings Inc. | 30,784 | 2,992 | |||||||
| Yum! Brands Inc. | 33,079 | 2,952 | |||||||
| Delta Air Lines Inc. | 63,363 | 2,923 | |||||||
| eBay Inc. | 84,286 | 2,920 | |||||||
| McKesson Corp. | 19,682 | 2,753 | |||||||
| Las Vegas Sands Corp. | 42,305 | 2,467 | |||||||
| Kroger Co. | 87,529 | 2,462 | |||||||
| Southwest Airlines Co. | 51,888 | 2,397 | |||||||
| Carnival Corp. | 43,529 | 1,456 | |||||||
| * | AutoZone Inc. | 1,296 | 1,338 | ||||||
4
Mega Cap Index Fund
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000) | ||||||||
| Fox Corp. Class A | 39,639 | 1,218 | |||||||
| ^ | Sirius XM Holdings Inc. | 123,983 | 786 | ||||||
| * | United Airlines Holdings Inc. | 11,537 | 711 | ||||||
| ViacomCBS Inc. Class B | 28,758 | 708 | |||||||
| Fox Corp. Class B | 16,977 | 517 | |||||||
| ViacomCBS Inc. Class A | 900 | 27 | |||||||
| 330,312 | |||||||||
| Financials (17.1%) | |||||||||
| * | Berkshire Hathaway Inc. Class B | 205,685 | 42,441 | ||||||
| JPMorgan Chase & Co. | 325,603 | 37,806 | |||||||
| Visa Inc. | 187,207 | 34,027 | |||||||
| Mastercard Inc. | 98,127 | 28,481 | |||||||
| Bank of America Corp. | 884,685 | 25,214 | |||||||
| Wells Fargo & Co. | 415,916 | 16,990 | |||||||
| Citigroup Inc. | 238,474 | 15,134 | |||||||
| American Tower Corp. | 48,323 | 10,960 | |||||||
| CME Group Inc. | 39,201 | 7,794 | |||||||
| Goldman Sachs Group Inc. | 36,741 | 7,377 | |||||||
| American Express Co. | 67,067 | 7,373 | |||||||
| S&P Global Inc. | 26,898 | 7,152 | |||||||
| US Bancorp | 153,575 | 7,132 | |||||||
| Prologis Inc. | 80,621 | 6,795 | |||||||
| Truist Financial Corp. | 146,532 | 6,761 | |||||||
| Crown Castle International Corp. | 45,598 | 6,534 | |||||||
| Chubb Ltd. | 42,392 | 6,148 | |||||||
| Morgan Stanley | 132,398 | 5,962 | |||||||
| Marsh & McLennan Cos. Inc. | 55,351 | 5,788 | |||||||
| BlackRock Inc. | 11,834 | 5,479 | |||||||
| PNC Financial Services Group Inc. | 43,048 | 5,441 | |||||||
| Intercontinental Exchange Inc. | 60,962 | 5,439 | |||||||
| Aon plc | 25,486 | 5,301 | |||||||
| Equinix Inc. | 9,224 | 5,284 | |||||||
| Charles Schwab Corp. | 126,017 | 5,135 | |||||||
| Progressive Corp. | 63,633 | 4,655 | |||||||
| Capital One Financial Corp. | 50,797 | 4,483 | |||||||
| Moody’s Corp. | 17,599 | 4,224 | |||||||
| American International Group Inc. | 95,131 | 4,011 | |||||||
| Simon Property Group Inc. | 32,114 | 3,953 | |||||||
| Blackstone Group LP | 72,199 | 3,887 | |||||||
| Allstate Corp. | 35,216 | 3,706 | |||||||
| Bank of New York Mellon Corp. | 90,557 | 3,613 | |||||||
| Public Storage | 16,212 | 3,390 | |||||||
| Prudential Financial Inc. | 44,239 | 3,338 | |||||||
| Welltower Inc. | 44,446 | 3,325 | |||||||
| Aflac Inc. | 75,955 | 3,255 | |||||||
| MetLife Inc. | 75,080 | 3,207 | |||||||
| Travelers Cos. Inc. | 26,724 | 3,202 | |||||||
| Equity Residential | 40,550 | 3,045 | |||||||
| T. Rowe Price Group Inc. | 24,082 | 2,842 | |||||||
| State Street Corp. | 37,683 | 2,567 | |||||||
| Discover Financial Services | 34,173 | 2,241 | |||||||
| Boston Properties Inc. | 17,037 | 2,197 | |||||||
| Ventas Inc. | 40,823 | 2,195 | |||||||
| Northern Trust Corp. | 22,324 | 1,959 | |||||||
| Synchrony Financial | 66,948 | 1,948 | |||||||
| Fifth Third Bancorp | 77,179 | 1,883 | |||||||
| AvalonBay Communities Inc. | 7,727 | 1,550 | |||||||
| * | Berkshire Hathaway Inc. Class A | 5 | 1,545 | ||||||
| TD Ameritrade Holding Corp. | 29,735 | 1,256 | |||||||
| Weyerhaeuser Co. | 41,520 | 1,079 | |||||||
| Ameriprise Financial Inc. | 6,887 | 973 | |||||||
| Interactive Brokers Group Inc. | 3,921 | 200 | |||||||
| 397,677 | |||||||||
| Health Care (13.3%) | |||||||||
| Johnson & Johnson | 287,517 | 38,665 | |||||||
| UnitedHealth Group Inc. | 103,535 | 26,397 | |||||||
| Merck & Co. Inc. | 278,137 | 21,294 | |||||||
| Pfizer Inc. | 604,589 | 20,205 | |||||||
| Bristol-Myers Squibb Co. | 255,716 | 15,103 | |||||||
| Abbott Laboratories | 193,097 | 14,874 | |||||||
| Medtronic plc | 146,463 | 14,744 | |||||||
| AbbVie Inc. | 161,451 | 13,838 | |||||||
| Amgen Inc. | 64,868 | 12,956 | |||||||
| Thermo Fisher Scientific Inc. | 43,810 | 12,740 | |||||||
| Eli Lilly & Co. | 94,487 | 11,918 | |||||||
| Gilead Sciences Inc. | 138,426 | 9,601 | |||||||
| Cigna Corp. | 40,794 | 7,463 | |||||||
| Anthem Inc. | 27,765 | 7,138 | |||||||
| Becton Dickinson and Co. | 29,527 | 7,022 | |||||||
| Zoetis Inc. | 52,211 | 6,956 | |||||||
| * | Intuitive Surgical Inc. | 12,609 | 6,733 | ||||||
| Stryker Corp. | 34,704 | 6,614 | |||||||
| Allergan plc | 34,022 | 6,487 | |||||||
| * | Vertex Pharmaceuticals Inc. | 28,087 | 6,292 | ||||||
| * | Biogen Inc. | 19,693 | 6,073 | ||||||
| * | Boston Scientific Corp. | 152,175 | 5,690 | ||||||
| Baxter International Inc. | 55,967 | 4,672 | |||||||
| * | Edwards Lifesciences Corp. | 22,755 | 4,661 | ||||||
| Humana Inc. | 14,442 | 4,617 | |||||||
| * | Illumina Inc. | 16,083 | 4,273 | ||||||
| * | Regeneron Pharmaceuticals Inc. | 8,941 | 3,975 | ||||||
| HCA Healthcare Inc. | 29,507 | 3,748 | |||||||
5
Mega Cap Index Fund
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000) | ||||||||
| Zimmer Biomet Holdings Inc. | 22,642 | 3,083 | |||||||
| * | Alexion Pharmaceuticals Inc. | 23,391 | 2,200 | ||||||
| 310,032 | |||||||||
| Industrials (11.0%) | |||||||||
| Boeing Co. | 58,473 | 16,087 | |||||||
| * | PayPal Holdings Inc. | 128,326 | 13,858 | ||||||
| Honeywell International Inc. | 78,072 | 12,661 | |||||||
| Accenture plc Class A | 69,434 | 12,539 | |||||||
| United Technologies Corp. | 94,283 | 12,312 | |||||||
| Union Pacific Corp. | 75,843 | 12,121 | |||||||
| General Electric Co. | 954,234 | 10,382 | |||||||
| Danaher Corp. | 68,358 | 9,883 | |||||||
| Lockheed Martin Corp. | 26,225 | 9,700 | |||||||
| Fidelity National Information Services Inc. | 67,178 | 9,386 | |||||||
| 3M Co. | 62,733 | 9,362 | |||||||
| Caterpillar Inc. | 60,297 | 7,491 | |||||||
| United Parcel Service Inc. | 76,574 | 6,929 | |||||||
| * | Fiserv Inc. | 63,008 | 6,891 | ||||||
| Automatic Data Processing Inc. | 42,499 | 6,576 | |||||||
| Global Payments Inc. | 32,855 | 6,044 | |||||||
| Raytheon Co. | 30,426 | 5,737 | |||||||
| CSX Corp. | 81,195 | 5,720 | |||||||
| Northrop Grumman Corp. | 16,595 | 5,457 | |||||||
| Deere & Co. | 34,380 | 5,380 | |||||||
| Illinois Tool Works Inc. | 31,831 | 5,341 | |||||||
| Norfolk Southern Corp. | 28,499 | 5,197 | |||||||
| Waste Management Inc. | 46,445 | 5,147 | |||||||
| Sherwin-Williams Co. | 9,057 | 4,680 | |||||||
| General Dynamics Corp. | 26,902 | 4,296 | |||||||
| Emerson Electric Co. | 66,360 | 4,254 | |||||||
| Eaton Corp. plc | 45,001 | 4,083 | |||||||
| Roper Technologies Inc. | 11,291 | 3,971 | |||||||
| FedEx Corp. | 25,568 | 3,610 | |||||||
| Ingersoll-Rand plc | 26,026 | 3,358 | |||||||
| Johnson Controls International plc | 84,161 | 3,078 | |||||||
| TE Connectivity Ltd. | 36,820 | 3,051 | |||||||
| Paychex Inc. | 34,938 | 2,707 | |||||||
| Agilent Technologies Inc. | 33,935 | 2,615 | |||||||
| Parker-Hannifin Corp. | 14,050 | 2,596 | |||||||
| PACCAR Inc. | 38,045 | 2,545 | |||||||
| Cummins Inc. | 16,737 | 2,532 | |||||||
| Stanley Black & Decker Inc. | 16,640 | 2,391 | |||||||
| Fortive Corp. | 30,948 | 2,140 | |||||||
| Republic Services Inc. | 22,851 | 2,063 | |||||||
| * | Square Inc. | 18,750 | 1,563 | ||||||
| Rockwell Automation Inc. | 6,496 | 1,192 | |||||||
| 256,926 | |||||||||
| Oil & Gas (3.4%) | |||||||||
| Exxon Mobil Corp. | 462,148 | 23,773 | |||||||
| Chevron Corp. | 206,551 | 19,279 | |||||||
| ConocoPhillips | 119,775 | 5,800 | |||||||
| Schlumberger Ltd. | 151,304 | 4,099 | |||||||
| Kinder Morgan Inc. | 211,109 | 4,047 | |||||||
| EOG Resources Inc. | 63,629 | 4,025 | |||||||
| Phillips 66 | 48,481 | 3,629 | |||||||
| Marathon Petroleum Corp. | 70,872 | 3,361 | |||||||
| Occidental Petroleum Corp. | 98,146 | 3,213 | |||||||
| Valero Energy Corp. | 44,846 | 2,971 | |||||||
| Williams Cos. Inc. | 132,637 | 2,527 | |||||||
| Pioneer Natural Resources Co. | 18,074 | 2,219 | |||||||
| Baker Hughes Co. | 35,235 | 567 | |||||||
| 79,510 | |||||||||
| Technology (26.0%) | |||||||||
| Microsoft Corp. | 833,694 | 135,067 | |||||||
| Apple Inc. | 437,001 | 119,459 | |||||||
| * | Facebook Inc. | 262,970 | 50,614 | ||||||
| * | Alphabet Inc. Class A | 32,619 | 43,685 | ||||||
| * | Alphabet Inc. Class C | 32,042 | 42,915 | ||||||
| Intel Corp. | 475,201 | 26,383 | |||||||
| Cisco Systems Inc. | 463,466 | 18,506 | |||||||
| * | Adobe Inc. | 53,014 | 18,296 | ||||||
| NVIDIA Corp. | 63,559 | 17,165 | |||||||
| * | salesforce.com Inc. | 90,990 | 15,505 | ||||||
| International Business Machines Corp. | 96,776 | 12,595 | |||||||
| Texas Instruments Inc. | 101,979 | 11,640 | |||||||
| Oracle Corp. | 233,155 | 11,532 | |||||||
| Broadcom Inc. | 41,355 | 11,274 | |||||||
| QUALCOMM Inc. | 124,745 | 9,768 | |||||||
| Intuit Inc. | 27,043 | 7,189 | |||||||
| * | ServiceNow Inc. | 20,600 | 6,717 | ||||||
| * | Micron Technology Inc. | 120,902 | 6,355 | ||||||
| Applied Materials Inc. | 100,906 | 5,865 | |||||||
| L3Harris Technologies Inc. | 24,134 | 4,772 | |||||||
| Lam Research Corp. | 15,877 | 4,659 | |||||||
| * | Autodesk Inc. | 23,923 | 4,566 | ||||||
| Analog Devices Inc. | 40,382 | 4,404 | |||||||
| Cognizant Technology Solutions Corp. | 59,814 | 3,644 | |||||||
| HP Inc. | 161,946 | 3,367 | |||||||
| * | Workday Inc. | 17,910 | 3,103 | ||||||
| * | Advanced Micro Devices Inc. | 60,823 | 2,766 | ||||||
| Corning Inc. | 83,675 | 1,997 | |||||||
| * | VMware Inc. | 8,299 | 1,000 | ||||||
| * | Dell Technologies Inc. | 22,721 | 919 | ||||||
| Hewlett Packard Enterprise Co. | 69,611 | 890 | |||||||
| 606,617 | |||||||||
6
Mega Cap Index Fund
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000) | ||||||||
| Telecommunications (2.4%) | |||||||||
| AT&T Inc. | 797,983 | 28,105 | |||||||
| Verizon Communications Inc. | 451,593 | 24,458 | |||||||
| * | T-Mobile US Inc. | 32,826 | 2,960 | ||||||
| * | Sprint Corp. | 72,141 | 663 | ||||||
| 56,186 | |||||||||
| Utilities (2.7%) | |||||||||
| NextEra Energy Inc. | 53,297 | 13,471 | |||||||
| Duke Energy Corp. | 79,714 | 7,310 | |||||||
| Dominion Energy Inc. | 89,790 | 7,020 | |||||||
| Southern Co. | 114,202 | 6,893 | |||||||
| American Electric Power Co. Inc. | 54,238 | 4,841 | |||||||
| Exelon Corp. | 105,915 | 4,566 | |||||||
| Sempra Energy | 30,145 | 4,214 | |||||||
| Xcel Energy Inc. | 57,824 | 3,604 | |||||||
| Consolidated Edison Inc. | 36,562 | 2,882 | |||||||
| Public Service Enterprise Group Inc. | 55,298 | 2,837 | |||||||
| Edison International | 39,160 | 2,631 | |||||||
| PPL Corp. | 78,817 | 2,365 | |||||||
| 62,634 | |||||||||
| Total Common Stocks (Cost $1,622,922) | 2,316,298 | ||||||||
| Temporary Cash Investments (0.4%) | |||||||||
| Money Market Fund (0.4%) | |||||||||
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 86,951 | 8,698 | ||||||
| Face | |||||||||
| Amount | |||||||||
| ($000) | |||||||||
| U.S. Government and Agency Obligations (0.0%) | |||||||||
| 3 | United States Treasury Bill, 1.527%, 4/30/20 | 50 | 50 | ||||||
| 3 | United States Treasury Bill, 1.551%, 5/14/20 | 600 | 598 | ||||||
| 648 | |||||||||
| Total Temporary Cash Investments (Cost $9,344) | 9,346 | ||||||||
| Total Investments (99.8%) (Cost $1,632,266) | 2,325,644 | ||||||||
| Other Assets and Liabilities—Net (0.2%)2 | 4,119 | ||||||||
| Net Assets (100%) | 2,329,763 | ||||||||
Cost rounded to $000.
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $380,000. |
| 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. |
| 2 | Collateral of $420,000 was received for securities on loan. |
| 3 | Securities with a value of $601,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End | ||||
| Futures Contracts | ||||
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2020 | 89 | 13,132 | (1,243) |
See accompanying Notes, which are an integral part of the Financial Statements.
7
Mega Cap Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $1,623,570) | 2,316,946 |
| Affiliated Issuers (Cost $8,696) | 8,698 |
| Total Investments in Securities | 2,325,644 |
| Investment in Vanguard | 109 |
| Cash | 2 |
| Receivables for Accrued Income | 4,793 |
| Total Assets | 2,330,548 |
| Liabilities | |
| Payables for Investment Securities Purchased | 13 |
| Collateral for Securities on Loan | 420 |
| Payables to Vanguard | 326 |
| Variation Margin Payable—Futures Contracts | 26 |
| Total Liabilities | 785 |
| Net Assets | 2,329,763 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 1,635,348 |
| Total Distributable Earnings (Loss) | 694,415 |
| Net Assets | 2,329,763 |
| ETF Shares–Net Assets | |
| Applicable to 21,100,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,177,731 |
| Net Asset Value Per Share–ETF Shares | $103.21 |
| Institutional Shares–Net Assets | |
| Applicable to 747,096 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 152,032 |
| Net Asset Value Per Share–Institutional Shares | $203.50 |
See accompanying Notes, which are an integral part of the Financial Statements.
8
Mega Cap Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 22,459 |
| Interest1 | 87 |
| Securities Lending—Net | 13 |
| Total Income | 22,559 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 176 |
| Management and Administrative—ETF Shares | 506 |
| Management and Administrative—Institutional Shares | 33 |
| Marketing and Distribution—ETF Shares | 55 |
| Marketing and Distribution—Institutional Shares | 3 |
| Custodian Fees | 10 |
| Shareholders’ Reports—ETF Shares | 31 |
| Shareholders’ Reports—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 815 |
| Expenses Paid Indirectly | (6) |
| Net Expenses | 809 |
| Net Investment Income | 21,750 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 11,854 |
| Futures Contracts | 1,215 |
| Realized Net Gain (Loss) | 13,069 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 13,917 |
| Futures Contracts | (1,250) |
| Change in Unrealized Appreciation (Depreciation) | 12,667 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 47,486 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $81,000, $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $10,555,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
9
Mega Cap Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 21,750 | 37,926 |
| Realized Net Gain (Loss) | 13,069 | 17,415 |
| Change in Unrealized Appreciation (Depreciation) | 12,667 | 21,521 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 47,486 | 76,862 |
| Distributions1 | ||
| ETF Shares | (20,359) | (34,093) |
| Institutional Shares | (1,503) | (2,519) |
| Total Distributions | (21,862) | (36,612) |
| Capital Share Transactions | ||
| ETF Shares | 211,420 | 364,632 |
| Institutional Shares | (679) | 25,154 |
| Net Increase (Decrease) from Capital Share Transactions | 210,741 | 389,786 |
| Total Increase (Decrease) | 236,365 | 430,036 |
| Net Assets | ||
| Beginning of Period | 2,093,398 | 1,663,362 |
| End of Period | 2,329,763 | 2,093,398 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
Mega Cap Index Fund
Financial Highlights
ETF Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $101.36 | $100.26 | $85.02 | $74.19 | $67.35 | $68.69 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.0101 | 2.0451 | 1.7901 | 1.6761 | 1.582 | 1.399 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | 1.861 | 1.052 | 15.214 | 10.788 | 6.793 | (1.377) | |||
| Total from Investment Operations | 2.871 | 3.097 | 17.004 | 12.464 | 8.375 | .022 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.021) | (1.997) | (1.764) | (1.634) | (1.535) | (1.362) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (1.021) | (1.997) | (1.764) | (1.634) | (1.535) | (1.362) | |||
| Net Asset Value, End of Period | $103.21 | $101.36 | $100.26 | $85.02 | $74.19 | $67.35 | |||
| Total Return | 2.81% | 3.26% | 20.25% | 17.01% | 12.61% | -0.05% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $2,178 | $1,944 | $1,542 | $1,233 | $1,057 | $970 | |||
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.09% | |||
| Ratio of Net Investment Income to Average Net Assets | 1.86% | 2.10% | 1.93% | 2.12% | 2.23% | 2.02% | |||
| Portfolio Turnover Rate2 | 2% | 4% | 4% | 6% | 7% | 8% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
11
Mega Cap Index Fund
Financial Highlights
Institutional Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $199.84 | $197.68 | $167.62 | $146.25 | $132.77 | $135.41 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.9981 | 4.0531 | 3.5131 | 3.3621 | 3.117 | 2.798 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | 3.685 | 2.062 | 30.038 | 21.220 | 13.419 | (2.717) | |||
| Total from Investment Operations | 5.683 | 6.115 | 33.551 | 24.582 | 16.536 | .081 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (2.023) | (3.955) | (3.491) | (3.212) | (3.056) | (2.721) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (2.023) | (3.955) | (3.491) | (3.212) | (3.056) | (2.721) | |||
| Net Asset Value, End of Period | $203.50 | $199.84 | $197.68 | $167.62 | $146.25 | $132.77 | |||
| Total Return | 2.81% | 3.25% | 20.26% | 17.02% | 12.63% | -0.01% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $152 | $150 | $122 | $132 | $133 | $298 | |||
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | |||
| Ratio of Net Investment Income to Average Net Assets | 1.87% | 2.11% | 1.94% | 2.13% | 2.24% | 2.05% | |||
| Portfolio Turnover Rate2 | 2% | 4% | 4% | 6% | 7% | 8% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Mega Cap Index Fund
Notes to Financial Statements
Vanguard Mega Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 clearing-house imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
13
Mega Cap Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
14
Mega Cap Index Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $109,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $6,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
15
Mega Cap Index Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 2,316,298 | — | — | 2,316,298 |
| Temporary Cash Investments | 8,698 | 648 | — | 9,346 |
| Total | 2,324,996 | 648 | — | 2,325,644 |
| Derivative Financial Instruments | ||||
| Liabilities | ||||
| Futures Contracts1 | 26 | — | — | 26 |
| 1 | Represents variation margin on the last day of the reporting period. |
E. As of February 29, 2020, 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 | 1,632,266 |
| Gross Unrealized Appreciation | 790,496 |
| Gross Unrealized Depreciation | (98,361) |
| Net Unrealized Appreciation (Depreciation) | 692,135 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $18,267,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $260,285,000 of investment securities and sold $53,816,000 of investment securities, other than temporary cash investments. Purchases and sales include $213,399,000 and $17,581,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
16
Mega Cap Index Fund
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $15,748,000 and $11,721,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||||||
| February 29, 2020 | August 31, 2019 | ||||||
| Amount | Shares | Amount | Shares | ||||
| ($000) | (000) | ($000) | (000) | ||||
| ETF Shares | |||||||
| Issued | 229,354 | 2,100 | 389,257 | 4,050 | |||
| Issued in Lieu of Cash Distributions | — | — | — | — | |||
| Redeemed | (17,934) | (175 | ) | (24,625 | ) | (250 | ) |
| Net Increase (Decrease)—ETF Shares | 211,420 | 1,925 | 364,632 | 3,800 | |||
| Institutional Shares | |||||||
| Issued | 11,234 | 53 | 38,620 | 203 | |||
| Issued in Lieu of Cash Distributions | 664 | 3 | 753 | 4 | |||
| Redeemed | (12,577) | (59 | ) | (14,219 | ) | (73 | ) |
| Net Increase (Decrease)—Institutional Shares | (679) | (3 | ) | 25,154 | 134 | ||
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
17
Mega Cap Growth Index Fund
Sector Diversification
As of February 29, 2020
| Basic Materials | 1.4% |
| Consumer Goods | 4.2 |
| Consumer Services | 20.8 |
| Financials | 12.1 |
| Health Care | 6.4 |
| Industrials | 11.0 |
| Oil & Gas | 0.6 |
| Technology | 43.2 |
| Telecommunications | 0.3 |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
18
Mega Cap Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| Common Stocks (99.8%) | |||
| Basic Materials (1.4%) | |||
| Linde plc | 256,969 | 49,084 | |
| Ecolab Inc. | 124,058 | 22,386 | |
| 71,470 | |||
| Consumer Goods (4.2%) | |||
| NIKE Inc. | 595,997 | 53,270 | |
| * | Tesla Inc. | 69,012 | 46,099 |
| Colgate-Palmolive Co. | 409,927 | 27,699 | |
| Activision Blizzard Inc. | 367,541 | 21,365 | |
| Estee Lauder Cos. Inc. Class A | 106,440 | 19,542 | |
| * | Electronic Arts Inc. | 139,714 | 14,163 |
| * | Monster Beverage Corp. | 179,970 | 11,232 |
| Hershey Co. | 71,066 | 10,233 | |
| Brown-Forman Corp. | 140,179 | 8,608 | |
| Constellation Brands Inc. Class A | 36,169 | 6,235 | |
| * | Keurig Dr Pepper Inc. | 134,308 | 3,745 |
| 222,191 | |||
| Consumer Services (20.7%) | |||
| * | Amazon.com Inc. | 201,566 | 379,700 |
| Home Depot Inc. | 521,765 | 113,661 | |
| Comcast Corp. | 2,171,348 | 87,788 | |
| * | Netflix Inc. | 209,570 | 77,338 |
| McDonald’s Corp. | 360,142 | 69,929 | |
| Costco Wholesale Corp. | 210,349 | 59,137 | |
| Starbucks Corp. | 536,683 | 42,092 | |
| Lowe’s Cos. Inc. | 369,117 | 39,337 | |
| * | Charter Communications Inc. | 71,909 | 35,463 |
| * | Booking Holdings Inc. | 20,001 | 33,915 |
| TJX Cos. Inc. | 520,260 | 31,111 | |
| Ross Stores Inc. | 172,925 | 18,811 | |
| Dollar General Corp. | 122,875 | 18,468 | |
| * | Uber Technologies Inc. | 489,410 | 16,576 |
| Marriott International Inc. | 125,013 | 15,502 | |
| * | O’Reilly Automotive Inc. | 36,147 | 13,328 |
| Hilton Worldwide Holdings Inc. | 134,899 | 13,112 | |
| Yum! Brands Inc. | 144,523 | 12,899 | |
| * | AutoZone Inc. | 5,747 | 5,934 |
| Sirius XM Holdings Inc. | 531,166 | 3,368 | |
| 1,087,469 | |||
| Financials (12.1%) | |||
| Visa Inc. | 819,199 | 148,898 | |
| Mastercard Inc. | 429,404 | 124,634 | |
| American Tower Corp. | 211,904 | 48,060 | |
| S&P Global Inc. | 116,862 | 31,075 | |
| Prologis Inc. | 352,735 | 29,728 | |
| Crown Castle International Corp. | 198,794 | 28,485 | |
| Marsh & McLennan Cos. Inc. | 241,276 | 25,228 | |
| Intercontinental Exchange Inc. | 266,410 | 23,769 | |
| Equinix Inc. | 40,808 | 23,375 | |
| Aon plc | 111,974 | 23,291 | |
| Charles Schwab Corp. | 552,064 | 22,497 | |
| Moody’s Corp. | 76,787 | 18,431 | |
| Simon Property Group Inc. | 139,477 | 17,167 | |
| Blackstone Group LP | 315,441 | 16,983 | |
| Public Storage | 70,997 | 14,847 | |
| T. Rowe Price Group Inc. | 106,072 | 12,518 | |
| Boston Properties Inc. | 73,994 | 9,541 | |
| Welltower Inc. | 97,212 | 7,273 | |
| AvalonBay Communities Inc. | 33,251 | 6,670 | |
| TD Ameritrade Holding Corp. | 64,963 | 2,743 | |
| Interactive Brokers Group Inc. | 17,458 | 892 | |
| 636,105 | |||
| Health Care (6.4%) | |||
| Thermo Fisher Scientific Inc. | 191,798 | 55,775 | |
| Bristol-Myers Squibb Co. | 559,888 | 33,067 | |
| Becton Dickinson and Co. | 129,345 | 30,761 | |
| Zoetis Inc. | 227,790 | 30,348 | |
| * | Intuitive Surgical Inc. | 55,240 | 29,496 |
| Stryker Corp. | 152,171 | 29,002 | |
| * | Vertex Pharmaceuticals Inc. | 123,033 | 27,563 |
19
Mega Cap Growth Index Fund
| Market | |||
| Value· | |||
| Shares | ($000) | ||
| * | Boston Scientific Corp. | 666,769 | 24,931 |
| * | Edwards Lifesciences Corp. | 99,801 | 20,443 |
| * | Illumina Inc. | 70,357 | 18,692 |
| * | Regeneron Pharmaceuticals Inc. | 38,770 | 17,236 |
| Baxter International Inc. | 122,110 | 10,193 | |
| * | Alexion Pharmaceuticals Inc. | 100,462 | 9,446 |
| 336,953 | |||
| Industrials (11.0%) | |||
| Boeing Co. | 255,768 | 70,364 | |
| * | PayPal Holdings Inc. | 561,645 | 60,652 |
| Accenture plc Class A | 303,737 | 54,852 | |
| Union Pacific Corp. | 331,994 | 53,056 | |
| Lockheed Martin Corp. | 114,653 | 42,407 | |
| Fidelity National Information Services Inc. | 293,953 | 41,071 | |
| United Parcel Service Inc. | 335,204 | 30,333 | |
| * | Fiserv Inc. | 276,444 | 30,232 |
| Automatic Data Processing Inc. | 186,231 | 28,817 | |
| Global Payments Inc. | 143,771 | 26,449 | |
| Illinois Tool Works Inc. | 138,208 | 23,188 | |
| Danaher Corp. | 149,760 | 21,652 | |
| Sherwin-Williams Co. | 39,798 | 20,566 | |
| Roper Technologies Inc. | 49,793 | 17,512 | |
| Raytheon Co. | 66,560 | 12,551 | |
| Paychex Inc. | 154,235 | 11,950 | |
| Agilent Technologies Inc. | 147,770 | 11,389 | |
| Fortive Corp. | 136,760 | 9,458 | |
| * | Square Inc. | 83,003 | 6,917 |
| Rockwell Automation Inc. | 27,640 | 5,072 | |
| 578,488 | |||
| Oil & Gas (0.6%) | |||
| EOG Resources Inc. | 278,081 | 17,591 | |
| Pioneer Natural Resources Co. | 79,130 | 9,716 | |
| Baker Hughes Co. | 155,287 | 2,498 | |
| 29,805 | |||
| Technology (43.1%) | |||
| Microsoft Corp. | 3,649,132 | 591,196 | |
| Apple Inc. | 1,912,816 | 522,887 | |
| * | Facebook Inc. | 1,151,123 | 221,557 |
| * | Alphabet Inc. Class A | 143,136 | 191,695 |
| * | Alphabet Inc. Class C | 139,886 | 187,354 |
| * | Adobe Inc. | 231,592 | 79,927 |
| NVIDIA Corp. | 278,102 | 75,107 | |
| * | salesforce.com Inc. | 398,487 | 67,902 |
| Texas Instruments Inc. | 447,106 | 51,033 | |
| Broadcom Inc. | 180,231 | 49,135 | |
| Intuit Inc. | 118,338 | 31,460 | |
| * | ServiceNow Inc. | 90,192 | 29,411 |
| * | Micron Technology Inc. | 529,592 | 27,835 |
| Applied Materials Inc. | 441,788 | 25,677 | |
| L3Harris Technologies Inc. | 105,774 | 20,915 | |
| Lam Research Corp. | 69,462 | 20,382 | |
| * | Autodesk Inc. | 105,058 | 20,053 |
| Analog Devices Inc. | 176,208 | 19,215 | |
| * | Workday Inc. | 78,435 | 13,589 |
| * | Advanced Micro Devices Inc. | 266,281 | 12,110 |
| * | VMware Inc. | 36,814 | 4,437 |
| 2,262,877 | |||
| Telecommunications (0.3%) | |||
| * | T-Mobile US Inc. | 143,347 | 12,924 |
| Total Common Stocks (Cost $3,647,453) | 5,238,282 | ||
| Temporary Cash Investments (0.1%) | |||
| Money Market Fund (0.1%) | |||
| 1 | Vanguard Market Liquidity Fund , 1.706% | 73,633 | 7,365 |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 2 | United States Treasury Bill, 1.543%, 4/16/20 | 475 | 474 |
| Total Temporary Cash Investments (Cost $7,838) | 7,839 | ||
| Total Investments (99.9%) (Cost $3,655,291) | 5,246,121 | ||
| Other Assets and Liabilities—Net (0.1%)2 | 5,061 | ||
| Net Assets (100%) | 5,251,182 | ||
Cost rounded to $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. |
| 2 | Securities with a value of $474,000 and cash of $68,000 have been segregated as initial margin for open futures contracts. |
20
Mega Cap Growth Index Fund
Derivative Financial Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini NASDAQ 100 Index | March 2020 | 42 | 7,101 | (385) |
| E-mini S&P 500 Index | March 2020 | 33 | 4,869 | (478) |
| (863) |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Mega Cap Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $3,647,927) | 5,238,756 |
| Affiliated Issuers (Cost $7,364) | 7,365 |
| Total Investments in Securities | 5,246,121 |
| Investment in Vanguard | 244 |
| Cash Collateral Pledged—Futures Contracts | 68 |
| Receivables for Accrued Income | 5,302 |
| Variation Margin Receivable—Futures Contracts | 60 |
| Total Assets | 5,251,795 |
| Liabilities | |
| Payables for Investment Securities Purchased | 10 |
| Payables for Capital Shares Redeemed | 25 |
| Payables to Vanguard | 568 |
| Variation Margin Payable—Futures Contracts | 10 |
| Total Liabilities | 613 |
| Net Assets | 5,251,182 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 3,642,943 |
| Total Distributable Earnings (Loss) | 1,608,239 |
| Net Assets | 5,251,182 |
| ETF Shares—Net Assets | |
| Applicable to 36,914,005 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,207,549 |
| Net Asset Value Per Share—ETF Shares | $141.07 |
| Institutional Shares—Net Assets | |
| Applicable to 155,716 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 43,633 |
| Net Asset Value Per Share—Institutional Shares | $280.21 |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Mega Cap Growth Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 26,351 |
| Interest1 | 101 |
| Securities Lending—Net | 48 |
| Total Income | 26,500 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 378 |
| Management and Administrative—ETF Shares | 1,140 |
| Management and Administrative—Institutional Shares | 9 |
| Marketing and Distribution—ETF Shares | 121 |
| Marketing and Distribution—Institutional Shares | 1 |
| Custodian Fees | 9 |
| Shareholders’ Reports—ETF Shares | 99 |
| Shareholders’ Reports—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,758 |
| Net Investment Income | 24,742 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 154,929 |
| Futures Contracts | 1,625 |
| Realized Net Gain (Loss) | 156,554 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 120,840 |
| Futures Contracts | (846) |
| Change in Unrealized Appreciation (Depreciation) | 119,994 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 301,290 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $100,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $178,023,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Mega Cap Growth Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
2020 |
2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 24,742 | 53,105 |
| Realized Net Gain (Loss) | 156,554 | 150,409 |
| Change in Unrealized Appreciation (Depreciation) | 119,994 | (20,819) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 301,290 | 182,695 |
| Distributions1 | ||
| ETF Shares | (25,323) | (33,904) |
| Institutional Shares | (239) | (331) |
| Total Distributions | (25,562) | (34,235) |
| Capital Share Transactions | ||
| ETF Shares | 546,447 | 89,447 |
| Institutional Shares | (2,596) | (1,367) |
| Net Increase (Decrease) from Capital Share Transactions | 543,851 | 88,080 |
| Total Increase (Decrease) | 819,579 | 236,540 |
| Net Assets | ||
| Beginning of Period | 4,431,603 | 4,195,063 |
| End of Period | 5,251,182 | 4,431,603 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
24
Mega Cap Growth Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $132.22 | $127.79 | $104.09 | $87.15 | $80.22 | $79.16 | ||
| Investment Operations | ||||||||
| Net Investment Income | .7001 | 1.5881 | 1.4851 | 1.3511 | 1.269 | 1.148 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | 8.883 | 3.860 | 23.677 | 16.920 | 6.897 | 1.013 | ||
| Total from Investment Operations | 9.583 | 5.448 | 25.162 | 18.271 | 8.166 | 2.161 | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.733) | (1.018) | (1.462) | (1.331) | (1.236) | (1.101) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (.733) | (1.018) | (1.462) | (1.331) | (1.236) | (1.101) | ||
| Net Asset Value, End of Period | $141.07 | $132.22 | $127.79 | $104.09 | $87.15 | $80.22 | ||
| Total Return | 7.26% | 4.32% | 24.38% | 21.17% | 10.28% | 2.70% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $5,208 | $4,388 | $4,152 | $3,135 | $2,247 | $1,928 | ||
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.09% | ||
| Ratio of Net Investment Income to Average Net Assets | 0.99% | 1.30% | 1.29% | 1.43% | 1.55% | 1.43% | ||
| Portfolio Turnover Rate2 | 4% | 14% | 9% | 8% | 12% | 9% | ||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
25
Mega Cap Growth Index Fund
Financial Highlights
Institutional Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $262.63 | $253.80 | $206.74 | $173.07 | $159.31 | $157.21 | |||
| Investment Operations | |||||||||
| Net Investment Income | 1.3901 | 3.1841 | 2.9631 | 2.6991 | 2.528 | 2.293 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | 17.658 | 7.684 | 47.023 | 33.622 | 13.693 | 2.011 | |||
| Total from Investment Operations | 19.048 | 10.868 | 49.986 | 36.321 | 16.221 | 4.304 | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (1.468) | (2.038) | (2.926) | (2.651) | (2.461) | (2.204) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (1.468) | (2.038) | (2.926) | (2.651) | (2.461) | (2.204) | |||
| Net Asset Value, End of Period | $280.21 | $262.63 | $253.80 | $206.74 | $173.07 | $159.31 | |||
| Total Return | 7.26% | 4.34% | 24.39% | 21.20% | 10.28% | 2.71% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $44 | $43 | $43 | $35 | $30 | $35 | |||
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.08% | |||
| Ratio of Net Investment Income to | |||||||||
| Average Net Assets | 1.00% | 1.31% | 1.30% | 1.44% | 1.56% | 1.44% | |||
| Portfolio Turnover Rate2 | 4% | 14% | 9% | 8% | 12% | 9% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Mega Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mega Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
27
Mega Cap Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
28
Mega Cap Growth Index Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $244,000, representing less than 0.01% of the fund’s net assets and 0.10% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
29
Mega Cap Growth Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 5,238,282 | — | — | 5,238,282 |
| Temporary Cash Investments | 7,365 | 474 | — | 7,839 |
| Total | 5,245,647 | 474 | — | 5,246,121 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 60 | — | — | 60 |
| Liabilities | ||||
| Futures Contracts1 | 10 | — | — | 10 |
| 1 | Represents variation margin on the last day of the reporting period. |
D. As of February 29, 2020, 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 | 3,655,291 |
| Gross Unrealized Appreciation | 1,683,294 |
| Gross Unrealized Depreciation | (93,327) |
| Net Unrealized Appreciation (Depreciation) | 1,589,967 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $146,929,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $1,081,959,000 of investment securities and sold $540,028,000 of investment securities, other than temporary cash investments. Purchases and sales include $870,656,000 and $351,312,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $76,343,000 and $129,188,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
30
Mega Cap Growth Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||||||||||||||
| February 29, 2020 | August 31, 2019 | |||||||||||||||
| Amount | Shares | Amount | Shares | |||||||||||||
| ($000 | ) | (000 | ) | ($000 | ) | (000 | ) | |||||||||
| ETF Shares | ||||||||||||||||
| Issued | 905,216 | 6,300 | 602,968 | 4,900 | ||||||||||||
| Issued in Lieu of Cash Distributions | — | — | — | — | ||||||||||||
| Redeemed | (358,769 | ) | (2,575 | ) | (513,521 | ) | (4,200 | ) | ||||||||
| Net Increase (Decrease)—ETF Shares | 546,447 | 3,725 | 89,447 | 700 | ||||||||||||
| Institutional Shares | ||||||||||||||||
| Issued | 470 | 1 | 21,064 | 89 | ||||||||||||
| Issued in Lieu of Cash Distributions | 239 | 1 | 290 | 1 | ||||||||||||
| Redeemed | (3,305 | ) | (11 | ) | (22,721 | ) | (97 | ) | ||||||||
| Net Increase (Decrease)—Institutional Shares | (2,596 | ) | (9 | ) | (1,367 | ) | (7 | ) | ||||||||
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
31
Mega Cap Value Index Fund
Sector Diversification
As of February 29, 2020
| Basic Materials | 1.5% |
| Consumer Goods | 11.8 |
| Consumer Services | 7.3 |
| Financials | 22.5 |
| Health Care | 20.8 |
| Industrials | 11.2 |
| Oil & Gas | 6.5 |
| Technology | 8.1 |
| Telecommunications | 4.7 |
| Utilities | 5.6 |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
32
Mega Cap Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000 | ) | |||||||
| Common Stocks (99.8%) | |||||||||
| Basic Materials (1.5%) | |||||||||
| Air Products & Chemicals Inc. | 55,809 | 12,256 | |||||||
| DuPont de Nemours Inc. | 187,734 | 8,054 | |||||||
| Dow Inc. | 188,283 | 7,609 | |||||||
| PPG Industries Inc. | 59,781 | 6,244 | |||||||
| LyondellBasell Industries NV | 63,548 | 4,541 | |||||||
| 38,704 | |||||||||
| Consumer Goods (11.8%) | |||||||||
| Procter & Gamble Co. | 631,729 | 71,531 | |||||||
| Coca-Cola Co. | 976,676 | 52,242 | |||||||
| PepsiCo Inc. | 353,227 | 46,636 | |||||||
| Philip Morris International Inc. | 394,076 | 32,263 | |||||||
| Mondelez International Inc. | 364,674 | 19,255 | |||||||
| Altria Group Inc. | 473,236 | 19,104 | |||||||
| Kimberly-Clark Corp. | 86,826 | 11,391 | |||||||
| General Motors Co. | 325,799 | 9,937 | |||||||
| General Mills Inc. | 153,266 | 7,510 | |||||||
| Ford Motor Co. | 987,464 | 6,873 | |||||||
| VF Corp. | 85,793 | 6,177 | |||||||
| Archer-Daniels-Midland Co. | 140,744 | 5,299 | |||||||
| Kraft Heinz Co. | 169,556 | 4,200 | |||||||
| Kellogg Co. | 64,790 | 3,918 | |||||||
| Constellation Brands Inc. Class A | 19,043 | 3,283 | |||||||
| Corteva Inc. | 94,734 | 2,577 | |||||||
| Tyson Foods Inc. | 37,573 | 2,548 | |||||||
| Aptiv plc | 32,417 | 2,532 | |||||||
| 307,276 | |||||||||
| Consumer Services (7.3%) | |||||||||
| Walt Disney Co. | 456,585 | 53,717 | |||||||
| Walmart Inc. | 360,278 | 38,795 | |||||||
| CVS Health Corp. | 329,533 | 19,502 | |||||||
| Target Corp. | 128,331 | 13,218 | |||||||
| Walgreens Boots Alliance Inc. | 192,247 | 8,797 | |||||||
| Sysco Corp. | 122,830 | 8,187 | |||||||
| Delta Air Lines Inc. | 147,503 | 6,804 | |||||||
| eBay Inc. | 196,083 | 6,792 | |||||||
| McKesson Corp. | 45,750 | 6,399 | |||||||
| Kroger Co. | 202,483 | 5,696 | |||||||
| Las Vegas Sands Corp. | 97,277 | 5,672 | |||||||
| Southwest Airlines Co. | 120,175 | 5,551 | |||||||
| Carnival Corp. | 100,118 | 3,350 | |||||||
| Fox Corp. Class A | 89,929 | 2,764 | |||||||
| * | United Airlines Holdings Inc. | 27,195 | 1,675 | ||||||
| ViacomCBS Inc. Class B | 68,059 | 1,675 | |||||||
| Fox Corp. Class B | 40,442 | 1,232 | |||||||
| ViacomCBS Inc. Class A | 710 | 21 | |||||||
| 189,847 | |||||||||
| Financials (22.5%) | |||||||||
| * | Berkshire Hathaway Inc. Class B | 492,458 | 101,614 | ||||||
| JPMorgan Chase & Co. | 754,729 | 87,632 | |||||||
| Bank of America Corp. | 2,050,524 | 58,440 | |||||||
| Wells Fargo & Co. | 964,180 | 39,387 | |||||||
| Citigroup Inc. | 553,001 | 35,093 | |||||||
| CME Group Inc. | 90,736 | 18,040 | |||||||
| Goldman Sachs Group Inc. | 85,228 | 17,111 | |||||||
| American Express Co. | 155,487 | 17,093 | |||||||
| US Bancorp | 356,074 | 16,536 | |||||||
| Truist Financial Corp. | 339,721 | 15,675 | |||||||
| Chubb Ltd. | 97,557 | 14,149 | |||||||
| Morgan Stanley | 307,435 | 13,844 | |||||||
| BlackRock Inc. | 27,384 | 12,679 | |||||||
| PNC Financial Services Group Inc. | 99,832 | 12,619 | |||||||
| Progressive Corp. | 148,247 | 10,846 | |||||||
| Capital One Financial Corp. | 118,009 | 10,415 | |||||||
| American International Group Inc. | 220,039 | 9,277 | |||||||
| Allstate Corp. | 82,024 | 8,633 | |||||||
| Bank of New York Mellon Corp. | 210,316 | 8,392 | |||||||
| Prudential Financial Inc. | 101,856 | 7,685 | |||||||
33
| Mega Cap Value Index Fund | |||||||||
| Market | |||||||||
| Value· | |||||||||
| Shares | ($000 | ) | |||||||
| Aflac Inc. | 176,774 | 7,575 | |||||||
| MetLife Inc. | 174,823 | 7,468 | |||||||
| Travelers Cos. Inc. | 62,093 | 7,439 | |||||||
| Equity Residential | 94,155 | 7,071 | |||||||
| State Street Corp. | 87,322 | 5,947 | |||||||
| Discover Financial Services | 79,555 | 5,217 | |||||||
| Ventas Inc. | 94,563 | 5,085 | |||||||
| Synchrony Financial | 155,087 | 4,513 | |||||||
| Northern Trust Corp. | 51,112 | 4,486 | |||||||
| Fifth Third Bancorp | 180,213 | 4,397 | |||||||
| Welltower Inc. | 51,388 | 3,845 | |||||||
| Weyerhaeuser Co. | 94,105 | 2,445 | |||||||
| Ameriprise Financial Inc. | 16,011 | 2,262 | |||||||
| TD Ameritrade HoldingCorp. | 34,155 | 1,442 | |||||||
| * | Berkshire Hathaway Inc Class A | 1 | 309 | ||||||
| 584,661 | |||||||||
| Health Care (20.8%) | |||||||||
| Johnson & Johnson | 666,620 | 89,647 | |||||||
| UnitedHealth Group Inc. | 239,966 | 61,182 | |||||||
| Merck & Co. Inc. | 644,922 | 49,375 | |||||||
| Pfizer Inc. | 1,401,776 | 46,847 | |||||||
| Abbott Laboratories | 447,964 | 34,507 | |||||||
| Medtronic plc | 339,503 | 34,178 | |||||||
| AbbVie Inc. | 374,560 | 32,103 | |||||||
| Amgen Inc. | 150,458 | 30,051 | |||||||
| Eli Lilly & Co. | 218,906 | 27,611 | |||||||
| Gilead Sciences Inc. | 320,490 | 22,229 | |||||||
| Bristol-Myers Squibb Co. | 296,473 | 17,510 | |||||||
| Cigna Corp. | 94,571 | 17,301 | |||||||
| Anthem Inc. | 64,239 | 16,515 | |||||||
| Allergan plc | 79,039 | 15,070 | |||||||
| * | Biogen Inc. | 45,702 | 14,094 | ||||||
| Humana Inc. | 33,546 | 10,724 | |||||||
| HCA Healthcare Inc. | 68,741 | 8,731 | |||||||
| Zimmer Biomet Holdings Inc. | 52,192 | 7,106 | |||||||
| Baxter International Inc. | 64,558 | 5,389 | |||||||
| 540,170 | |||||||||
| Industrials (11.1%) | |||||||||
| Honeywell International Inc. | 181,030 | 29,358 | |||||||
| United Technologies Corp. | 218,632 | 28,551 | |||||||
| General Electric Co. | 2,212,099 | 24,068 | |||||||
| 3M Co. | 145,699 | 21,744 | |||||||
| Caterpillar Inc. | 139,989 | 17,392 | |||||||
| CSX Corp. | 188,200 | 13,259 | |||||||
| Northrop Grumman Corp. | 38,393 | 12,625 | |||||||
| Deere & Co. | 79,731 | 12,476 | |||||||
| Norfolk Southern Corp. | 66,010 | 12,037 | |||||||
| Waste Management Inc. | 107,413 | 11,902 | |||||||
| Danaher Corp. | 79,273 | 11,461 | |||||||
| General Dynamics Corp. | 62,337 | 9,955 | |||||||
| Emerson Electric Co. | 154,287 | 9,891 | |||||||
| Eaton Corp. plc | 104,699 | 9,498 | |||||||
| FedEx Corp. | 59,530 | 8,404 | |||||||
| Ingersoll-Rand plc | 60,689 | 7,831 | |||||||
| Johnson Controls International plc | 195,599 | 7,153 | |||||||
| TE Connectivity Ltd. | 84,765 | 7,025 | |||||||
| Raytheon Co. | 35,308 | 6,658 | |||||||
| Parker-Hannifin Corp. | 32,569 | 6,018 | |||||||
| Cummins Inc. | 38,854 | 5,878 | |||||||
| PACCAR Inc. | 87,492 | 5,853 | |||||||
| Stanley Black & Decker Inc. | 38,418 | 5,521 | |||||||
| Republic Services Inc. | 52,484 | 4,737 | |||||||
| 289,295 | |||||||||
| Oil & Gas (6.5%) | |||||||||
| Exxon Mobil Corp. | 1,071,615 | 55,124 | |||||||
| Chevron Corp. | 478,883 | 44,699 | |||||||
| ConocoPhillips | 277,891 | 13,456 | |||||||
| Schlumberger Ltd. | 350,578 | 9,497 | |||||||
| Kinder Morgan Inc. | 487,451 | 9,344 | |||||||
| Phillips 66 | 112,599 | 8,429 | |||||||
| Marathon Petroleum Corp. | 164,568 | 7,804 | |||||||
| Occidental Petroleum Corp. | 226,511 | 7,416 | |||||||
| Valero Energy Corp. | 104,146 | 6,900 | |||||||
| Williams Cos. Inc. | 307,108 | 5,850 | |||||||
| 168,519 | |||||||||
| Technology (8.0%) | |||||||||
| Intel Corp. | 1,101,840 | 61,174 | |||||||
| Cisco Systems Inc. | 1,074,534 | 42,906 | |||||||
| International Business Machines Corp. | 224,305 | 29,193 | |||||||
| Oracle Corp. | 540,414 | 26,729 | |||||||
| QUALCOMM Inc. | 289,259 | 22,649 | |||||||
| Cognizant Technology Solutions Corp. | 138,739 | 8,453 | |||||||
| HP Inc. | 375,703 | 7,811 | |||||||
| Corning Inc. | 194,374 | 4,638 | |||||||
| * | Dell Technologies Inc. | 52,653 | 2,130 | ||||||
| Hewlett Packard Enterprise Co. | 163,468 | 2,091 | |||||||
| 207,774 | |||||||||
| Telecommunications (4.7%) | |||||||||
| AT&T Inc. | 1,850,267 | 65,166 | |||||||
| Verizon Communications Inc. | 1,047,562 | 56,736 | |||||||
| * | Sprint Corp. | 156,249 | 1,436 | ||||||
| 123,338 | |||||||||
34
| Mega Cap Value Index Fund | ||||||||
| Market | ||||||||
| Value· | ||||||||
| Shares | ($000 | ) | ||||||
| Utilities (5.6%) | ||||||||
| NextEra Energy Inc. | 123,817 | 31,296 | ||||||
| Duke Energy Corp. | 184,691 | 16,936 | ||||||
| Dominion Energy Inc. | 208,530 | 16,303 | ||||||
| Southern Co. | 265,599 | 16,032 | ||||||
| American Electric Power Co. Inc. | 125,055 | 11,162 | ||||||
| Exelon Corp. | 245,657 | 10,590 | ||||||
| Sempra Energy | 69,547 | 9,721 | ||||||
| Xcel Energy Inc. | 135,918 | 8,471 | ||||||
| Consolidated Edison Inc. | 84,038 | 6,624 | ||||||
| Public Service Enterprise Group Inc. | 127,896 | 6,562 | ||||||
| Edison International | 91,022 | 6,116 | ||||||
| PPL Corp. | 182,919 | 5,489 | ||||||
| 145,302 | ||||||||
| Total Common Stocks (Cost $2,316,301) | 2,594,886 | |||||||
| Shares | ($000) | ||
| Temporary Cash Investments (0.0%) | |||
| Money Market Fund (0.0%) | |||
| 1 | Vanguard Market Liquidity Fund, 1.706% | 38 | 4 |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 2 | United States Treasury Bill, 1.551%, 5/14/20 | 450 | 449 |
| Total Temporary Cash Investments (Cost $452) | 453 | ||
| Total Investments (99.8%) (Cost $2,316,753) | 2,595,339 | ||
| Other Assets and Liabilities—Net (0.2%) | 4,079 | ||
| Net Assets (100%) | 2,599,418 | ||
Cost rounded to $000.
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
| 2 | Securities with a value of $201,000 have been segregated as initial margin for open futures contracts. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2020 | 30 | 4,427 | (476) |
See accompanying Notes, which are an integral part of the Financial Statements.
35
Mega Cap Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $2,316,749) | 2,595,335 |
| Affiliated Issuers (Cost $4) | 4 |
| Total Investments in Securities | 2,595,339 |
| Investment in Vanguard | 125 |
| Receivables for Accrued Income | 8,349 |
| Receivables for Capital Shares Issued | 89 |
| Total Assets | 2,603,902 |
| Liabilities | |
| Due to Custodian | 3,745 |
| Payables for Investment Securities Purchased | 2 |
| Payables for Capital Shares Redeemed | 381 |
| Payables to Vanguard | 347 |
| Variation Margin Payable—Futures Contracts | 9 |
| Total Liabilities | 4,484 |
| Net Assets | 2,599,418 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 2,318,355 |
| Total Distributable Earnings (Loss) | 281,063 |
| Net Assets | 2,599,418 |
| ETF Shares—Net Assets | |
| Applicable to 32,284,807 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,475,856 |
| Net Asset Value Per Share—ETF Shares | $76.69 |
| Institutional Shares—Net Assets | |
| Applicable to 812,550 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 123,562 |
| Net Asset Value Per Share—Institutional Shares | $152.07 |
See accompanying Notes, which are an integral part of the Financial Statements.
36
Mega Cap Value Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 39,200 |
| Interest1 | 33 |
| Securities Lending—Net | 4 |
| Total Income | 39,237 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 211 |
| Management and Administrative—ETF Shares | 607 |
| Management and Administrative—Institutional Shares | 28 |
| Marketing and Distribution—ETF Shares | 73 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 18 |
| Shareholders’ Reports—ETF Shares | 31 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 972 |
| Net Investment Income | 38,265 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 21,042 |
| Futures Contracts | 941 |
| Realized Net Gain (Loss) | 21,983 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (103,993) |
| Futures Contracts | (557) |
| Change in Unrealized Appreciation (Depreciation) | (104,550) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (44,302) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $30,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $31,412,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Mega Cap Value Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
2020 |
2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 38,265 | 69,674 |
| Realized Net Gain (Loss) | 21,983 | 194,851 |
| Change in Unrealized Appreciation (Depreciation) | (104,550) | (221,389) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (44,302) | 43,136 |
| Distributions1 | ||
| ETF Shares | (37,144) | (64,527) |
| Institutional Shares | (1,998) | (3,466) |
| Total Distributions | (39,142) | (67,993) |
| Capital Share Transactions | ||
| ETF Shares | 108,477 | 351,597 |
| Institutional Shares | (7,950) | 5,455 |
| Net Increase (Decrease) from Capital Share Transactions | 100,527 | 357,052 |
| Total Increase (Decrease) | 17,083 | 332,195 |
| Net Assets | ||
| Beginning of Period | 2,582,335 | 2,250,140 |
| End of Period | 2,599,418 | 2,582,335 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Mega Cap Value Index Fund
Financial Highlights
ETF Shares
| Six Months | ||||||||
| Ended | Year Ended August 31, | |||||||
| For a Share Outstanding | February 29, | |||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net Asset Value, Beginning of Period | $78.94 | $79.89 | $70.19 | $63.52 | $56.89 | $59.60 | ||
| Investment Operations | ||||||||
| Net Investment Income | 1.1501 | 2.2611 | 1.8931 | 1.8431 | 1.638 | 1.484 | ||
| Net Realized and Unrealized Gain (Loss) on Investments | (2.226) | (1.027) | 9.668 | 6.557 | 6.583 | (2.733) | ||
| Total from Investment Operations | (1.076) | 1.234 | 11.561 | 8.400 | 8.221 | (1.249) | ||
| Distributions | ||||||||
| Dividends from Net Investment Income | (1.174) | (2.184) | (1.861) | (1.730) | (1.591) | (1.461) | ||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | ||
| Total Distributions | (1.174) | (2.184) | (1.861) | (1.730) | (1.591) | (1.461) | ||
| Net Asset Value, End of Period | $76.69 | $78.94 | $79.89 | $70.19 | $63.52 | $56.89 | ||
| Total Return | -1.48% | 1.69% | 16.71% | 13.40% | 14.71% | -2.22% | ||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $2,476 | $2,448 | $2,120 | $1,717 | $1,322 | $957 | ||
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.09% | ||
| Ratio of Net Investment Income to Average Net Assets | 2.73% | 2.90% | 2.50% | 2.73% | 2.84% | 2.51% | ||
| Portfolio Turnover Rate2 | 4% | 10% | 8% | 8% | 8% | 5% | ||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
39
Mega Cap Value Index Fund
Financial Highlights
Institutional Shares
| Six Months | |||||||||
| Ended | Year Ended August 31, | ||||||||
| For a Share Outstanding | February 29, | ||||||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||
| Net Asset Value, Beginning of Period | $156.53 | $158.41 | $139.18 | $125.94 | $112.80 | $118.18 | |||
| Investment Operations | |||||||||
| Net Investment Income | 2.2841 | 4.4671 | 3.7431 | 3.5961 | 3.259 | 2.976 | |||
| Net Realized and Unrealized Gain (Loss) on Investments | (4.409) | (2.002) | 19.188 | 13.077 | 13.063 | (5.427) | |||
| Total from Investment Operations | (2.125) | 2.465 | 22.931 | 16.673 | 16.322 | (2.451) | |||
| Distributions | |||||||||
| Dividends from Net Investment Income | (2.335) | (4.345) | (3.701) | (3.433) | (3.182) | (2.929) | |||
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |||
| Total Distributions | (2.335) | (4.345) | (3.701) | (3.433) | (3.182) | (2.929) | |||
| Net Asset Value, End of Period | $152.07 | $156.53 | $158.41 | $139.18 | $125.94 | $112.80 | |||
| Total Return | -1.48% | 1.68% | 16.71% | 13.41% | 14.72% | -2.19% | |||
| Ratios/Supplemental Data | |||||||||
| Net Assets, End of Period (Millions) | $124 | $134 | $131 | $125 | $207 | $213 | |||
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | |||
| Ratio of Net Investment Income to Average Net Assets | 2.73% | 2.91% | 2.51% | 2.74% | 2.85% | 2.54% | |||
| Portfolio Turnover Rate2 | 4% | 10% | 8% | 8% | 8% | 5% | |||
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. |
See accompanying Notes, which are an integral part of the Financial Statements.
40
Mega Cap Value Index Fund
Notes to Financial Statements
Vanguard Mega Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
41
Mega Cap Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
42
Mega Cap Value Index Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $125,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
43
Mega Cap Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 2,594,886 | — | — | 2,594,886 |
| Temporary Cash Investments | 4 | 449 | — | 453 |
| Total | 2,594,890 | 449 | — | 2,595,339 |
| Derivative Financial Instruments | ||||
| Liabilities | ||||
| Futures Contracts1 | 9 | — | — | 9 |
| 1 | Represents variation margin on the last day of the reporting period. |
D. As of February 29, 2020, 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 | 2,316,753 |
| Gross Unrealized Appreciation | 452,352 |
| Gross Unrealized Depreciation | (174,242) |
| Net Unrealized Appreciation (Depreciation) | 278,110 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $31,808,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $301,964,000 of investment securities and sold $200,552,000 of investment securities, other than temporary cash investments. Purchases and sales include $145,864,000 and $78,532,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $68,082,000 and $30,772,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
44
Mega Cap Value Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||||
| February 29, 2020 | August 31, 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| ETF Shares | |||||
| Issued | 189,935 | 2,250 | 828,137 | 10,705 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (81,458) | (975) | (476,540) | (6,225) | |
| Net Increase (Decrease)—ETF Shares | 108,477 | 1,275 | 351,597 | 4,480 | |
| Institutional Shares | |||||
| Issued | 2,667 | 16 | 24,632 | 157 | |
| Issued in Lieu of Cash Distributions | 1,255 | 8 | 1,944 | 13 | |
| Redeemed | (11,872) | (70) | (21,121) | (136) | |
| Net Increase (Decrease)—Institutional Shares | (7,950) | (46) | 5,455 | 34 | |
At February 29, 2020, one shareholder was the record or beneficial owner of 27% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
45
|
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc. All rights reserved. U.S. Patent Nos. 6,879,964; 7,337,138; 7,720,749;
7,925,573; 8,090,646; 8,417,623; and 8,626,636.
Q8282 042020 |
| Semiannual Report | February 29, 2020 | |
| Vanguard Global Wellington™ Fund | |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. | |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
| Trustees Approve Advisory Arrangement | 33 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Global Wellington Fund | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,007.81 | $2.30 |
| Admiral™ Shares | 1,000.00 | 1,008.57 | 1.80 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,022.58 | $2.31 |
| Admiral Shares | 1,000.00 | 1,023.07 | 1.81 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for the period are 0.46% for Investor Shares and 0.36% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
Global Wellington Fund
Country Allocation
As of February 29, 2020
| United States | 54.1% |
| United Kingdom | 8.2 |
| Japan | 8.1 |
| France | 6.0 |
| Switzerland | 5.4 |
| Canada | 3.4 |
| Spain | 3.2 |
| Germany | 2.6 |
| China | 1.3 |
| Taiwan | 1.2 |
| Netherlands | 1.1 |
| South Korea | 1.0 |
| Sweden | 0.7 |
| Australia | 0.5 |
| Cayman Islands | 0.5 |
| Other | 2.7 |
The table reflects the fund’s investments, except for short-term investments and derivatives.
3
Global Wellington Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | ||||||||
| Value• | ||||||||
| Shares | ($000) | |||||||
| Common Stocks (64.2%) | ||||||||
| Canada (2.2%) | ||||||||
| Suncor Energy Inc. | 534,420 | 14,728 | ||||||
| Dollarama Inc. | 257,179 | 7,560 | ||||||
| Canadian National Railway Co. | 40,240 | 3,417 | ||||||
| 25,705 | ||||||||
| China (0.6%) | ||||||||
| Shandong Weigao Group Medical Polymer Co. Ltd. | 5,185,490 | 6,766 | ||||||
| France (4.4%) | ||||||||
| Vinci SA | 136,569 | 13,800 | ||||||
| Engie SA | 557,313 | 9,307 | ||||||
| Total SA | 195,528 | 8,451 | ||||||
| Arkema SA | 75,402 | 7,133 | ||||||
| BNP Paribas SA | 137,178 | 6,659 | ||||||
| Schneider Electric SE | 30,104 | 3,058 | ||||||
| Legrand SA | 38,850 | 2,982 | ||||||
| 51,390 | ||||||||
| Germany (0.6%) | ||||||||
| Bayerische Motoren Werke AG | 111,844 | 7,380 | ||||||
| Italy (0.1%) | ||||||||
| Assicurazioni Generali SPA | 71,819 | 1,297 | ||||||
| Japan (6.9%) | ||||||||
| Tokio Marine Holdings Inc. | 285,397 | 15,251 | ||||||
| Marui Group Co. Ltd. | 593,265 | 11,578 | ||||||
| Nippon Telegraph & Telephone Corp. | 352,044 | 8,213 | ||||||
| Mitsubishi UFJ Financial Group Inc. | 1,633,722 | 7,982 | ||||||
| Astellas Pharma Inc. | 488,700 | 7,660 | ||||||
| Honda Motor Co. Ltd. | 284,300 | 7,294 | ||||||
| Seven & i Holdings Co. Ltd. | 187,483 | 6,379 | ||||||
| Sumitomo Mitsui Financial Group Inc. | 197,801 | 6,276 | ||||||
| Isuzu Motors Ltd. | 619,914 | 5,800 | ||||||
| Daiwa House Industry Co. Ltd. | 135,102 | 3,728 | ||||||
| Takeda Pharmaceutical Co. Ltd. | 14,315 | 494 | ||||||
| 80,655 | ||||||||
| Netherlands (0.9%) | ||||||||
| ING Groep NV | 728,323 | 6,974 | ||||||
| Koninklijke Philips NV | 86,094 | 3,687 | ||||||
| 10,661 | ||||||||
4
| Global Wellington Fund | |||||||||
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| South Korea (1.0%) | |||||||||
| Samsung Electronics Co. Ltd. | 255,258 | 11,490 | |||||||
| Spain (1.9%) | |||||||||
| * | Iberdrola SA | 1,345,400 | 15,403 | ||||||
| CaixaBank SA | 2,657,128 | 6,829 | |||||||
| 22,232 | |||||||||
| Sweden (0.6%) | |||||||||
| Lundin Petroleum AB | 262,410 | 7,491 | |||||||
| Switzerland (5.0%) | |||||||||
| Nestle SA | 191,680 | 19,725 | |||||||
| Novartis AG | 222,039 | 18,679 | |||||||
| Zurich Insurance Group AG | 31,149 | 12,062 | |||||||
| * | Alcon Inc. | 80,887 | 4,946 | ||||||
| Julius Baer Group Ltd. | 64,387 | 2,709 | |||||||
| 58,121 | |||||||||
| Taiwan (1.2%) | |||||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. | 1,306,175 | 13,466 | |||||||
| United Kingdom (5.2%) | |||||||||
| Diageo plc | 342,387 | 12,216 | |||||||
| AstraZeneca plc ADR | 259,960 | 11,386 | |||||||
| BAE Systems plc | 1,288,187 | 10,190 | |||||||
| Derwent London plc | 194,627 | 9,845 | |||||||
| Prudential plc | 579,853 | 9,640 | |||||||
| Rotork plc | 1,849,241 | 6,762 | |||||||
| 60,039 | |||||||||
| United States (33.6%) | |||||||||
| Microsoft Corp. | 109,694 | 17,772 | |||||||
| Johnson & Johnson | 123,444 | 16,601 | |||||||
| Deere & Co. | 101,493 | 15,882 | |||||||
| Chubb Ltd. | 108,001 | 15,663 | |||||||
| Medtronic plc | 152,102 | 15,312 | |||||||
| Bank of America Corp. | 531,573 | 15,150 | |||||||
| McDonald’s Corp. | 77,909 | 15,128 | |||||||
| Cisco Systems Inc. | 367,634 | 14,680 | |||||||
| Merck & Co. Inc. | 173,450 | 13,279 | |||||||
| Lockheed Martin Corp. | 35,822 | 13,249 | |||||||
| Mondelez International Inc. | 245,168 | 12,945 | |||||||
| * | Alphabet Inc. Class A | 9,191 | 12,309 | ||||||
| General Dynamics Corp. | 76,396 | 12,200 | |||||||
| Linde plc | 59,605 | 11,487 | |||||||
| PepsiCo Inc. | 85,800 | 11,328 | |||||||
| Comcast Corp. | 261,601 | 10,577 | |||||||
| UnitedHealth Group Inc. | 39,867 | 10,165 | |||||||
| TJX Cos. Inc. | 159,467 | 9,536 | |||||||
| Union Pacific Corp. | 58,736 | 9,387 | |||||||
| Sempra Energy | 66,243 | 9,259 | |||||||
| General Motors Co. | 288,171 | 8,789 | |||||||
| United Parcel Service Inc. | 93,437 | 8,455 | |||||||
| American Tower Corp. | 36,146 | 8,198 | |||||||
| Honeywell International Inc. | 48,865 | 7,924 | |||||||
5
| Global Wellington Fund | |||||||||
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| Gilead Sciences Inc. | 111,618 | 7,742 | |||||||
| Verizon Communications Inc. | 137,329 | 7,438 | |||||||
| Texas Instruments Inc. | 64,594 | 7,373 | |||||||
| Autoliv Inc. | 105,788 | 7,059 | |||||||
| JPMorgan Chase & Co. | 50,396 | 5,851 | |||||||
| Accenture plc Class A | 31,733 | 5,731 | |||||||
| Schlumberger Ltd. | 209,929 | 5,687 | |||||||
| EOG Resources Inc. | 88,413 | 5,593 | |||||||
| PNC Financial Services Group Inc. | 41,368 | 5,229 | |||||||
| Caterpillar Inc. | 41,673 | 5,177 | |||||||
| United Technologies Corp. | 39,241 | 5,124 | |||||||
| KLA Corp. | 31,829 | 4,892 | |||||||
| Colgate-Palmolive Co. | 71,324 | 4,819 | |||||||
| Broadcom Inc. | 16,246 | 4,429 | |||||||
| Intel Corp. | 70,957 | 3,940 | |||||||
| American Express Co. | 32,713 | 3,596 | |||||||
| Abbott Laboratories | 43,262 | 3,332 | |||||||
| Marsh & McLennan Cos. Inc. | 22,723 | 2,376 | |||||||
| Chevron Corp. | 5,771 | 539 | |||||||
| 391,202 | |||||||||
| Total Common Stocks (Cost $725,109) | 747,895 | ||||||||
| Face | |||||||||||||||||
| Maturity | Amount | ||||||||||||||||
| Coupon | Date | ($000) | |||||||||||||||
| U.S. Government and Agency Obligations (4.2%) | |||||||||||||||||
| United States (4.2%) | |||||||||||||||||
| 1,2 | Fannie Mae Pool | 3.070 | % | 2/1/25 | 150 | 161 | |||||||||||
| 1,2 | Fannie Mae Pool | 2.780 | % | 6/1/26 | 330 | 354 | |||||||||||
| 1,2 | Fannie Mae Pool | 3.000 | % | 8/1/34–3/1/50 | 5,633 | 5,827 | |||||||||||
| 1,2 | Fannie Mae Pool | 4.000 | % | 12/1/48–12/1/49 | 1,155 | 1,218 | |||||||||||
| 1,2 | Fannie Mae Pool | 2.500 | % | 12/1/49 | 922 | 941 | |||||||||||
| 1,2 | Fannie Mae REMICS | 2.000 | % | 9/25/40 | 131 | 132 | |||||||||||
| 1,2 | Fannie Mae REMICS | 3.500 | % | 6/25/44–6/25/59 | 2,683 | 2,937 | |||||||||||
| 1,2 | Fannie Mae REMICS | 2.500 | % | 5/25/45–3/25/53 | 994 | 1,017 | |||||||||||
| 1,2 | Fannie Mae REMICS | 3.000 | % | 2/25/49 | 221 | 227 | |||||||||||
| 1,2 | Freddie Mac Gold Pool | 3.000 | % | 11/1/47–12/1/47 | 2,054 | 2,146 | |||||||||||
| 1,2 | Freddie Mac Gold Pool | 3.500 | % | 11/1/47–12/1/47 | 5,585 | 5,871 | |||||||||||
| 1,2 | Freddie Mac Gold Pool | 4.000 | % | 10/1/48–12/1/48 | 428 | 454 | |||||||||||
| 1,2 | Freddie Mac REMICS | 4.000 | % | 12/15/39–8/15/40 | 1,195 | 1,296 | |||||||||||
| 1,2 | Freddie Mac REMICS | 3.500 | % | 9/15/40–11/15/40 | 397 | 408 | |||||||||||
| 1,2 | Freddie Mac REMICS | 1.750 | % | 9/15/42 | 1,131 | 1,131 | |||||||||||
| 1 | Ginnie Mae REMICS | 2.750 | % | 9/20/44 | 228 | 236 | |||||||||||
| 1,2 | UMBS Pool | 2.500 | % | 4/1/48–12/1/49 | 9,108 | 9,305 | |||||||||||
| 1,2 | UMBS Pool | 3.000 | % | 12/1/49 | 2,956 | 3,049 | |||||||||||
| 1,2 | UMBS Pool | 4.000 | % | 12/1/49 | 354 | 373 | |||||||||||
| 1,2,3 | UMBS Pool | 2.500 | % | 3/1/35–3/1/50 | 1,200 | 1,232 | |||||||||||
| United States Treasury Note/Bond | 1.750 | % | 7/31/24 | 1,445 | 1,497 | ||||||||||||
| United States Treasury Note/Bond | 1.500 | % | 10/31/24 | 3,980 | 4,084 | ||||||||||||
| United States Treasury Note/Bond | 1.750 | % | 12/31/24 | 615 | 639 | ||||||||||||
| United States Treasury Note/Bond | 1.750 | % | 11/15/29 | 1,835 | 1,938 | ||||||||||||
| 4 | United States Treasury Note/Bond | 2.750 | % | 11/15/47 | 550 | 682 | |||||||||||
6
| Global Wellington Fund | |||||||||||||||||
| Face | Market | ||||||||||||||||
| Maturity | Amount | Value• | |||||||||||||||
| Coupon | Date | ($000) | ($000) | ||||||||||||||
| United States Treasury Note/Bond | 2.250 | % | 8/15/49 | 975 | 1,108 | ||||||||||||
| United States Treasury Strip Principal | 0.000 | % | 5/15/47 | 660 | 413 | ||||||||||||
| United States Treasury Strip Principal | 0.000 | % | 8/15/47 | 755 | 470 | ||||||||||||
| Total U.S. Government and Agency Obligations (Cost $47,195) | 49,146 | ||||||||||||||||
| Asset-Backed/Commercial Mortgage-Backed Securities (1.5%) | |||||||||||||||||
| Australia (0.1%) | |||||||||||||||||
| 5 | National Australia Bank Ltd. | 2.400 | % | 12/7/21 | 575 | 587 | |||||||||||
| Bermuda (0.0%) | |||||||||||||||||
| 1,5 | START Ireland | 4.089 | % | 3/15/44 | 234 | 239 | |||||||||||
| Canada (0.2%) | |||||||||||||||||
| 1,5 | Chesapeake Funding II LLC 2018-2A | 3.230 | % | 8/15/30 | 583 | 592 | |||||||||||
| 5,6 | Ford Auto Securitization Trust | 2.354 | % | 6/15/23 | 2,005 | 1,494 | |||||||||||
| 1,5,7 | Master Credit Card Trust II Series 2018-1A, | ||||||||||||||||
| 1M USD LIBOR + 0.490% | 2.129 | % | 7/21/24 | 765 | 767 | ||||||||||||
| 2,853 | |||||||||||||||||
| Cayman Islands (0.5%) | |||||||||||||||||
| 1,5,7 | Atlas Senior Loan Fund V Ltd., 3M USD | ||||||||||||||||
| LIBOR + 1.260% | 3.103 | % | 7/16/29 | 750 | 749 | ||||||||||||
| 1,5,7 | KKR CLO 16 Ltd., 3M USD LIBOR + 1.250% | 3.069 | % | 1/20/29 | 360 | 360 | |||||||||||
| 1,5,7 | KKR CLO 17 Ltd., 3M USD LIBOR + 1.340% | 3.171 | % | 4/15/29 | 730 | 732 | |||||||||||
| 1,5,7 | Madison Park Funding XVIII Ltd., 3M USD | ||||||||||||||||
| LIBOR + 1.190% | 3.009 | % | 10/21/30 | 730 | 729 | ||||||||||||
| 1,5,7 | Madison Park Funding XXX Ltd., 3M USD | ||||||||||||||||
| LIBOR + 0.750% | 2.581 | % | 4/15/29 | 1,400 | 1,392 | ||||||||||||
| 1,5,7 | Magnetite VII Ltd., 3M USD LIBOR + 0.800% | 2.631 | % | 1/15/28 | 1,375 | 1,372 | |||||||||||
| 1,5,7 | Race Point IX CLO Ltd., 3M USD | ||||||||||||||||
| LIBOR + 1.210% | 3.041 | % | 10/15/30 | 730 | 728 | ||||||||||||
| 6,062 | |||||||||||||||||
| Spain (0.1%) | |||||||||||||||||
| 8 | Bankia SA | 4.125 | % | 3/24/36 | 850 | 1,501 | |||||||||||
| United States (0.6%) | |||||||||||||||||
| 1,5 | Aaset 2019-1 Trust | 3.844 | % | 5/15/39 | 225 | 231 | |||||||||||
| 1,5 | Angel Oak Mortgage Trust I LLC 2018-3 | 3.649 | % | 9/25/48 | 388 | 395 | |||||||||||
| 1,5 | ARI Fleet Lease Trust 2018-A | 2.550 | % | 10/15/26 | 94 | 94 | |||||||||||
| 1,5 | Castlelake Aircraft Securitization Trust 2019-1 | 3.967 | % | 4/15/39 | 241 | 246 | |||||||||||
| 1,5 | Chesapeake Funding II LLC 2017-2A | 1.990 | % | 5/15/29 | 203 | 203 | |||||||||||
| 1,5 | COLT 2018-1 Mortgage Loan Trust | 2.930 | % | 2/25/48 | 71 | 71 | |||||||||||
| 1,5 | COLT 2018-3 Mortgage Loan Trust | 3.692 | % | 10/26/48 | 112 | 112 | |||||||||||
| 1,5 | DB Master Finance LLC | 3.787 | % | 5/20/49 | 144 | 149 | |||||||||||
| 1,5 | DB Master Finance LLC | 4.021 | % | 5/20/49 | 124 | 132 | |||||||||||
| 1,5 | Deephaven Residential Mortgage Trust 2018-1 | 2.976 | % | 12/25/57 | 140 | 140 | |||||||||||
| 1,5 | Enterprise Fleet Financing LLC Series 2018-1 | 2.870 | % | 10/20/23 | 365 | 368 | |||||||||||
| 1,5 | First Investors Auto Owner Trust | 2.410 | % | 12/15/22 | 76 | 77 | |||||||||||
| 1,5 | First Investors Auto Owner Trust 2016-1 | 3.410 | % | 4/18/22 | 226 | 227 | |||||||||||
| 1 | Ford Credit Floorplan Master Owner Trust A | 2.440 | % | 9/15/26 | 255 | 263 | |||||||||||
| 1,2 | Freddie Mac Multifamily Structured Pass | ||||||||||||||||
| Through Certificates | 2.282 | % | 7/25/26 | 285 | 297 | ||||||||||||
| 1,5 | GreatAmerica Leasing Receivables Funding | ||||||||||||||||
| LLC Series 2018-1 | 2.600 | % | 6/15/21 | 174 | 175 | ||||||||||||
7
| Global Wellington Fund | |||||||||||||||||
| Face | Market | ||||||||||||||||
| Maturity | Amount | Value• | |||||||||||||||
| Coupon | Date | ($000) | ($000) | ||||||||||||||
| 1,5 | GreatAmerica Leasing Receivables Funding | ||||||||||||||||
| LLC Series 2018-1 | 2.830 | % | 6/17/24 | 167 | 170 | ||||||||||||
| 1,5 | Horizon Aircraft Finance Ltd. | 3.721 | % | 7/15/39 | 239 | 244 | |||||||||||
| 1,5 | MMAF Equipment Finance LLC 2017-B | 2.210 | % | 10/17/22 | 117 | 118 | |||||||||||
| 1,2 | Seasoned Credit Risk Transfer Trust Series | ||||||||||||||||
| 2018-4 | 3.500 | % | 3/25/58 | 107 | 112 | ||||||||||||
| 1,2 | Seasoned Credit Risk Transfer Trust Series | ||||||||||||||||
| 2019-1 | 3.500 | % | 7/25/58 | 110 | 117 | ||||||||||||
| 1,2 | Seasoned Credit Risk Transfer Trust Series | ||||||||||||||||
| 2019-3 | 3.500 | % | 10/25/58 | 293 | 311 | ||||||||||||
| 1,5 | SoFi Consumer Loan Program 2019-3 Trust | 2.900 | % | 5/25/28 | 990 | 1,001 | |||||||||||
| 1,5 | Towd Point Mortgage Trust 2018-1 | 3.000 | % | 1/25/58 | 234 | 239 | |||||||||||
| 1,5 | Vantage Data Centers LLC 2018-1A | 4.072 | % | 2/16/43 | 294 | 307 | |||||||||||
| 1,5 | Vantage Data Centers LLC 2019-1A | 3.188 | % | 7/15/44 | 194 | 199 | |||||||||||
| 1,5 | Verus Securitization Trust 2019-2 | 3.211 | % | 5/25/59 | 289 | 294 | |||||||||||
| 1,5 | Westlake Automobile Receivables Trust | 2.980 | % | 1/18/22 | 184 | 184 | |||||||||||
| 6,476 | |||||||||||||||||
| Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $17,461) | 17,718 | ||||||||||||||||
| Corporate Bonds (23.9%) | |||||||||||||||||
| Australia (0.3%) | |||||||||||||||||
| 1,5 | Macquarie Group Ltd. | 4.150 | % | 3/27/24 | 1,025 | 1,095 | |||||||||||
| 1,5 | National Australia Bank Ltd. | 3.933 | % | 8/2/34 | 1,050 | 1,135 | |||||||||||
| 5 | WEA Finance LLC | 4.625 | % | 9/20/48 | 220 | 277 | |||||||||||
| 5 | WEA Finance LLC | 4.125 | % | 9/20/28 | 895 | 1,018 | |||||||||||
| 3,525 | |||||||||||||||||
| Belgium (0.3%) | |||||||||||||||||
| Anheuser-Busch Cos. LLC / Anheuser-Busch | |||||||||||||||||
| InBev Worldwide Inc. | 4.900 | % | 2/1/46 | 925 | 1,138 | ||||||||||||
| 9 | Anheuser-Busch InBev SA | 1.750 | % | 3/7/25 | 375 | 492 | |||||||||||
| Anheuser-Busch InBev Worldwide Inc. | 4.375 | % | 4/15/38 | 670 | 774 | ||||||||||||
| Anheuser-Busch InBev Worldwide Inc. | 4.600 | % | 4/15/48 | 765 | 914 | ||||||||||||
| 3,318 | |||||||||||||||||
| Canada (0.5%) | |||||||||||||||||
| Bank of Nova Scotia | 2.700 | % | 8/3/26 | 1,205 | 1,264 | ||||||||||||
| 6 | Bell Canada Inc. | 3.350 | % | 3/22/23 | 975 | 755 | |||||||||||
| 7 | Canadian Imperial Bank of Commerce, 3M | ||||||||||||||||
| USD LIBOR + 0.720% | 2.614 | % | 6/16/22 | 570 | 576 | ||||||||||||
| Emera US Finance LP | 2.700 | % | 6/15/21 | 400 | 407 | ||||||||||||
| Fortis Inc. | 3.055 | % | 10/4/26 | 775 | 811 | ||||||||||||
| Nutrien Ltd. | 4.125 | % | 3/15/35 | 650 | 721 | ||||||||||||
| 6 | Royal Bank of Canada | 2.949 | % | 5/1/23 | 1,875 | 1,449 | |||||||||||
| TransCanada PipeLines Ltd. | 4.875 | % | 1/15/26 | 400 | 453 | ||||||||||||
| 6,436 | |||||||||||||||||
| Chile (0.2%) | |||||||||||||||||
| 5 | Banco Santander Chile | 2.700 | % | 1/10/25 | 1,825 | 1,849 | |||||||||||
| China (0.3%) | |||||||||||||||||
| Alibaba Group Holding Ltd. | 3.125 | % | 11/28/21 | 825 | 847 | ||||||||||||
| Alibaba Group Holding Ltd. | 3.400 | % | 12/6/27 | 660 | 710 | ||||||||||||
| 5 | Tencent Holdings Ltd. | 3.595 | % | 1/19/28 | 1,035 | 1,117 | |||||||||||
| 5 | Tencent Holdings Ltd. | 3.975 | % | 4/11/29 | 445 | 498 | |||||||||||
| 3,172 | |||||||||||||||||
8
| Global Wellington Fund | |||||||||||||||||
| Face | Market | ||||||||||||||||
| Maturity | Amount | Value• | |||||||||||||||
| Coupon | Date | ($000) | ($000) | ||||||||||||||
| Denmark (0.2%) | |||||||||||||||||
| 1,8 | Danske Bank A/S | 0.500 | % | 8/27/25 | 1,675 | 1,833 | |||||||||||
| France (1.5%) | |||||||||||||||||
| 1,8 | AXA SA | 5.125 | % | 7/4/43 | 600 | 760 | |||||||||||
| 8 | Banque Federative du Credit Mutuel SA | 1.250 | % | 1/14/25 | 1,200 | 1,395 | |||||||||||
| 8 | BNP Paribas SA | 1.500 | % | 11/17/25 | 1,625 | 1,898 | |||||||||||
| 1,5 | BNP Paribas SA | 2.819 | % | 11/19/25 | 470 | 485 | |||||||||||
| 5 | BPCE SA | 5.700 | % | 10/22/23 | 400 | 448 | |||||||||||
| 8 | BPCE SA | 1.125 | % | 1/18/23 | 700 | 793 | |||||||||||
| 5 | BPCE SA | 3.250 | % | 1/11/28 | 525 | 560 | |||||||||||
| 8 | BPCE SA | 2.875 | % | 4/22/26 | 1,600 | 2,002 | |||||||||||
| 8 | Credit Mutuel Arkea SA | 1.625 | % | 4/15/26 | 2,200 | 2,568 | |||||||||||
| 5 | Danone SA | 2.947 | % | 11/2/26 | 555 | 589 | |||||||||||
| 8 | Orange SA | 1.000 | % | 5/12/25 | 1,300 | 1,499 | |||||||||||
| 8 | Orange SA | 2.000 | % | 1/15/29 | 500 | 628 | |||||||||||
| 8 | Orange SA | 0.500 | % | 9/4/32 | 1,000 | 1,077 | |||||||||||
| 8 | RCI Banque SA | 1.375 | % | 3/8/24 | 800 | 895 | |||||||||||
| 8 | RCI Banque SA | 0.750 | % | 9/26/22 | 500 | 554 | |||||||||||
| 8 | Societe Generale SA | 1.000 | % | 4/1/22 | 600 | 675 | |||||||||||
| 8 | Veolia Environnement SA | 1.590 | % | 1/10/28 | 400 | 488 | |||||||||||
| 17,314 | |||||||||||||||||
| Germany (2.0%) | |||||||||||||||||
| 5 | Bayer US Finance II LLC | 4.250 | % | 12/15/25 | 1,400 | 1,566 | |||||||||||
| 8 | Daimler AG | 0.875 | % | 1/12/21 | 2,575 | 2,868 | |||||||||||
| 8 | Deutsche Bank AG | 2.625 | % | 2/12/26 | 4,200 | 4,971 | |||||||||||
| 9 | Deutsche Telekom AG | 3.125 | % | 2/6/34 | 775 | 1,103 | |||||||||||
| 8 | Deutsche Telekom International Finance BV | 4.250 | % | 3/16/20 | 1,200 | 1,327 | |||||||||||
| 9 | E.ON International Finance BV | 5.875 | % | 10/30/37 | 250 | 481 | |||||||||||
| 8 | E.ON SE | 1.625 | % | 5/22/29 | 1,265 | 1,538 | |||||||||||
| 8 | E.ON SE | 0.375 | % | 8/23/21 | 1,800 | 1,999 | |||||||||||
| 9 | innogy Finance BV | 4.750 | % | 1/31/34 | 600 | 1,007 | |||||||||||
| 5 | Siemens Financieringsmaatschappij NV | 2.900 | % | 5/27/22 | 650 | 671 | |||||||||||
| 8 | Volkswagen Leasing GmbH | 2.625 | % | 1/15/24 | 425 | 507 | |||||||||||
| 8 | Volkswagen Leasing GmbH | 1.375 | % | 1/20/25 | 2,325 | 2,643 | |||||||||||
| 8 | Wintershall Dea Finance BV | 0.840 | % | 9/25/25 | 2,000 | 2,226 | |||||||||||
| 22,907 | |||||||||||||||||
| Italy (0.3%) | |||||||||||||||||
| 5 | Intesa Sanpaolo SPA | 4.000 | % | 9/23/29 | 1,250 | 1,324 | |||||||||||
| 1,8 | UniCredit SPA | 4.875 | % | 2/20/29 | 1,700 | 2,047 | |||||||||||
| 3,371 | |||||||||||||||||
| Japan (0.2%) | |||||||||||||||||
| 10 | Toyota Finance Australia Ltd. | 2.500 | % | 12/7/20 | 1,625 | 1,070 | |||||||||||
| 8 | Toyota Motor Credit Corp. | 1.800 | % | 7/23/20 | 1,250 | 1,391 | |||||||||||
| 2,461 | |||||||||||||||||
| Mexico (0.1%) | |||||||||||||||||
| America Movil SAB de CV | 6.375 | % | 3/1/35 | 350 | 502 | ||||||||||||
| America Movil SAB de CV | 3.625 | % | 4/22/29 | 275 | 305 | ||||||||||||
| 5 | Infraestructura Energetica Nova SAB de CV | 4.875 | % | 1/14/48 | 980 | 994 | |||||||||||
| 1,801 | |||||||||||||||||
9
| Global Wellington Fund | |||||||||||||||||
| Face | Market | ||||||||||||||||
| Maturity | Amount | Value• | |||||||||||||||
| Coupon | Date | ($000) | ($000) | ||||||||||||||
| Netherlands (0.2%) | |||||||||||||||||
| 8 | ABN AMRO Bank NV | 2.500 | % | 11/29/23 | 1,330 | 1,605 | |||||||||||
| 9 | Cooperatieve Rabobank UA | 4.625 | % | 5/23/29 | 200 | 309 | |||||||||||
| Shell International Finance BV | 4.000 | % | 5/10/46 | 475 | 562 | ||||||||||||
| 2,476 | |||||||||||||||||
| Norway (0.1%) | |||||||||||||||||
| 5 | Aker BP ASA | 3.750 | % | 1/15/30 | 950 | 957 | |||||||||||
| South Korea (0.0%) | |||||||||||||||||
| 5 | SK Telecom Co. Ltd. | 3.750 | % | 4/16/23 | 200 | 211 | |||||||||||
| Spain (1.0%) | |||||||||||||||||
| 8 | Banco de Sabadell SA | 1.625 | % | 3/7/24 | 2,300 | 2,642 | |||||||||||
| 8 | Banco de Sabadell SA | 1.750 | % | 5/10/24 | 1,800 | 2,020 | |||||||||||
| 8 | CaixaBank SA | 1.750 | % | 10/24/23 | 2,200 | 2,527 | |||||||||||
| 8 | Iberdrola International BV | 2.875 | % | 11/11/20 | 1,800 | 2,029 | |||||||||||
| Telefonica Emisiones SAU | 4.665 | % | 3/6/38 | 1,405 | 1,635 | ||||||||||||
| 8 | Telefonica Emisiones SAU | 2.242 | % | 5/27/22 | 700 | 814 | |||||||||||
| 11,667 | |||||||||||||||||
| Switzerland (0.3%) | |||||||||||||||||
| 1,8 | Credit Suisse Group AG | 1.250 | % | 7/17/25 | 675 | 768 | |||||||||||
| 1,5 | Credit Suisse Group AG | 2.593 | % | 9/11/25 | 500 | 509 | |||||||||||
| 5 | Roche Holdings Inc. | 2.625 | % | 5/15/26 | 1,100 | 1,167 | |||||||||||
| 1,5 | UBS Group AG | 3.126 | % | 8/13/30 | 1,230 | 1,301 | |||||||||||
| 3,745 | |||||||||||||||||
| United Kingdom (2.2%) | |||||||||||||||||
| AstraZeneca plc | 4.000 | % | 1/17/29 | 755 | 866 | ||||||||||||
| 1 | Barclays plc | 3.932 | % | 5/7/25 | 860 | 914 | |||||||||||
| BAT Capital Corp. | 3.222 | % | 8/15/24 | 575 | 603 | ||||||||||||
| BAT Capital Corp. | 3.557 | % | 8/15/27 | 925 | 975 | ||||||||||||
| BP Capital Markets plc | 3.814 | % | 2/10/24 | 475 | 514 | ||||||||||||
| 6 | BP Capital Markets plc | 3.470 | % | 5/15/25 | 1,350 | 1,072 | |||||||||||
| 9 | British Telecommunications plc | 3.125 | % | 11/21/31 | 1,950 | 2,691 | |||||||||||
| 5 | CK Hutchison International 17 II Ltd. | 2.750 | % | 3/29/23 | 1,275 | 1,317 | |||||||||||
| 9 | CPUK Finance Ltd. | 3.588 | % | 8/28/25 | 1,400 | 1,949 | |||||||||||
| 8 | FCE Bank plc | 0.869 | % | 9/13/21 | 1,800 | 1,997 | |||||||||||
| 1,9 | HSBC Holdings plc | 2.256 | % | 11/13/26 | 2,050 | 2,679 | |||||||||||
| 1 | HSBC Holdings plc | 4.041 | % | 3/13/28 | 1,160 | 1,259 | |||||||||||
| 7 | HSBC Holdings plc, 3M USD LIBOR + 1.000% | 2.692 | % | 5/18/24 | 245 | 248 | |||||||||||
| 8 | Imperial Brands Finance plc | 2.250 | % | 2/26/21 | 1,825 | 2,049 | |||||||||||
| 5 | Sky plc | 3.125 | % | 11/26/22 | 725 | 758 | |||||||||||
| 1,5 | Standard Chartered plc | 2.744 | % | 9/10/22 | 1,095 | 1,108 | |||||||||||
| Trinity Acquisition plc | 4.400 | % | 3/15/26 | 1,274 | 1,435 | ||||||||||||
| Vodafone Group plc | 5.250 | % | 5/30/48 | 400 | 505 | ||||||||||||
| Vodafone Group plc | 4.375 | % | 5/30/28 | 2,250 | 2,586 | ||||||||||||
| 25,525 | |||||||||||||||||
| United States (14.2%) | |||||||||||||||||
| Abbott Laboratories | 3.400 | % | 11/30/23 | 500 | 536 | ||||||||||||
| 5 | AbbVie Inc. | 4.050 | % | 11/21/39 | 275 | 303 | |||||||||||
| AbbVie Inc. | 4.450 | % | 5/14/46 | 475 | 545 | ||||||||||||
| Alabama Power Co. | 4.300 | % | 7/15/48 | 255 | 315 | ||||||||||||
| Allergan Funding SCS | 3.800 | % | 3/15/25 | 1,060 | 1,153 | ||||||||||||
| Allergan Funding SCS | 4.750 | % | 3/15/45 | 225 | 271 | ||||||||||||
10
| Global Wellington Fund | |||||
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 8 | Altria Group Inc. | 2.200% | 6/15/27 | 435 | 520 |
| Altria Group Inc. | 3.875% | 9/16/46 | 400 | 390 | |
| Altria Group Inc. | 5.800% | 2/14/39 | 560 | 688 | |
| Amazon.com Inc. | 4.800% | 12/5/34 | 300 | 397 | |
| American Electric Power Co. Inc. | 3.200% | 11/13/27 | 950 | 1,012 | |
| 8 | American Express Credit Corp. | 0.625% | 11/22/21 | 1,900 | 2,125 |
| 8 | American International Group Inc. | 1.500% | 6/8/23 | 975 | 1,120 |
| American International Group Inc. | 4.250% | 3/15/29 | 800 | 915 | |
| American International Group Inc. | 4.500% | 7/16/44 | 73 | 89 | |
| American International Group Inc. | 4.750% | 4/1/48 | 45 | 57 | |
| American Tower Corp. | 5.000% | 2/15/24 | 380 | 426 | |
| American Tower Corp. | 4.400% | 2/15/26 | 300 | 338 | |
| Amgen Inc. | 3.625% | 5/22/24 | 275 | 295 | |
| Amgen Inc. | 4.663% | 6/15/51 | 350 | 437 | |
| Anthem Inc. | 4.375% | 12/1/47 | 500 | 571 | |
| Anthem Inc. | 3.500% | 8/15/24 | 275 | 295 | |
| Anthem Inc. | 4.101% | 3/1/28 | 610 | 682 | |
| Apple Inc. | 2.750% | 1/13/25 | 780 | 823 | |
| AT&T Inc. | 4.125% | 2/17/26 | 800 | 889 | |
| 8 | AT&T Inc. | 1.875% | 12/4/20 | 2,450 | 2,733 |
| AT&T Inc. | 4.900% | 8/15/37 | 450 | 538 | |
| AT&T Inc. | 3.600% | 7/15/25 | 850 | 919 | |
| 8 | AT&T Inc. | 3.150% | 9/4/36 | 350 | 468 |
| 8 | AT&T Inc. | 2.450% | 3/15/35 | 730 | 904 |
| AutoZone Inc. | 3.125% | 4/21/26 | 1,525 | 1,616 | |
| Bank of America Corp. | 3.300% | 1/11/23 | 570 | 598 | |
| 1 | Bank of America Corp. | 3.593% | 7/21/28 | 1,885 | 2,052 |
| 1 | Bank of America Corp. | 4.271% | 7/23/29 | 1,640 | 1,884 |
| 7 | Bank of New York Mellon Corp., 3M USD LIBOR + 1.050% | 2.819% | 10/30/23 | 415 | 423 |
| 5 | Bayer US Finance LLC | 3.375% | 10/8/24 | 770 | 822 |
| BB&T Corp. | 2.200% | 3/16/23 | 875 | 891 | |
| Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10 | 13 | |
| Boeing Co. | 3.250% | 3/1/28 | 727 | 786 | |
| Boeing Co. | 3.450% | 11/1/28 | 230 | 250 | |
| Boeing Co. | 3.200% | 3/1/29 | 400 | 428 | |
| Boeing Co. | 2.950% | 2/1/30 | 173 | 181 | |
| Boeing Co. | 3.375% | 6/15/46 | 300 | 307 | |
| 5 | Boston Gas Co. | 3.001% | 8/1/29 | 130 | 140 |
| Boston Scientific Corp. | 4.000% | 3/1/29 | 60 | 69 | |
| Boston Scientific Corp. | 4.550% | 3/1/39 | 600 | 743 | |
| Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 890 | 971 | |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 1,190 | 1,246 | |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 915 | 960 | |
| 5 | Broadcom Inc. | 4.250% | 4/15/26 | 65 | 70 |
| 5 | Brooklyn Union Gas Co. | 4.273% | 3/15/48 | 965 | 1,182 |
| 8 | Capital One Financial Corp. | 1.650% | 6/12/29 | 1,900 | 2,218 |
| 5 | Cargill Inc. | 4.760% | 11/23/45 | 340 | 462 |
| 5 | Carrier Global Corp. | 2.722% | 2/15/30 | 173 | 175 |
| Charter Communications Operating LLC / Charter Communications Operating Capital | 6.384% | 10/23/35 | 355 | 468 | |
| 8 | Chubb INA Holdings Inc. | 1.400% | 6/15/31 | 525 | 616 |
11
| Global Wellington Fund | |||||
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 8 | Chubb INA Holdings Inc. | 0.875% | 6/15/27 | 1,455 | 1,655 |
| Cigna Corp. | 4.375% | 10/15/28 | 420 | 477 | |
| Cimarex Energy Co. | 4.375% | 6/1/24 | 1,040 | 1,097 | |
| Citigroup Inc. | 4.600% | 3/9/26 | 535 | 605 | |
| Citigroup Inc. | 2.700% | 3/30/21 | 345 | 348 | |
| 1 | Citigroup Inc. | 3.520% | 10/27/28 | 1,000 | 1,081 |
| 9 | Citigroup Inc. | 1.750% | 10/23/26 | 1,000 | 1,290 |
| Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 1,185 | 1,265 | |
| 5 | Cleco Corporate Holdings LLC | 3.375% | 9/15/29 | 325 | 339 |
| Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 660 | 797 | |
| Comcast Corp. | 6.500% | 11/15/35 | 885 | 1,334 | |
| Comcast Corp. | 3.999% | 11/1/49 | 120 | 141 | |
| Comcast Corp. | 4.049% | 11/1/52 | 20 | 24 | |
| Comcast Corp. | 4.000% | 3/1/48 | 40 | 47 | |
| Comcast Corp. | 4.600% | 10/15/38 | 255 | 321 | |
| Comcast Corp. | 3.950% | 10/15/25 | 250 | 280 | |
| 9 | Comcast Corp. | 1.500% | 2/20/29 | 630 | 806 |
| Comcast Corp. | 4.700% | 10/15/48 | 170 | 223 | |
| CommonSpirit Health | 4.200% | 8/1/23 | 770 | 832 | |
| CommonSpirit Health | 3.347% | 10/1/29 | 355 | 376 | |
| CommonSpirit Health | 4.187% | 10/1/49 | 435 | 478 | |
| Commonwealth Edison Co. | 3.650% | 6/15/46 | 35 | 40 | |
| Commonwealth Edison Co. | 4.000% | 3/1/48 | 245 | 295 | |
| Conagra Brands Inc. | 4.600% | 11/1/25 | 200 | 224 | |
| Conagra Brands Inc. | 5.300% | 11/1/38 | 600 | 731 | |
| Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 75 | 109 | |
| Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 290 | 384 | |
| Cottage Health Obligated Group | 3.304% | 11/1/49 | 290 | 314 | |
| 5 | Cox Communications Inc. | 4.600% | 8/15/47 | 800 | 936 |
| 5 | Cox Communications Inc. | 4.800% | 2/1/35 | 100 | 120 |
| CSX Corp. | 4.300% | 3/1/48 | 495 | 595 | |
| CVS Health Corp. | 2.875% | 6/1/26 | 1,455 | 1,511 | |
| CVS Health Corp. | 4.100% | 3/25/25 | 1,185 | 1,295 | |
| CVS Health Corp. | 5.050% | 3/25/48 | 125 | 153 | |
| Dignity Health | 4.500% | 11/1/42 | 166 | 195 | |
| Dignity Health | 3.812% | 11/1/24 | 594 | 643 | |
| Discover Bank | 4.200% | 8/8/23 | 575 | 617 | |
| Dominion Energy Gas Holdings LLC | 4.600% | 12/15/44 | 660 | 780 | |
| Dominion Energy Inc. | 2.715% | 8/15/21 | 140 | 142 | |
| Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 230 | 298 | |
| Dominion Energy South Carolina Inc. | 5.300% | 5/15/33 | 113 | 152 | |
| Dominion Energy South Carolina Inc. | 5.450% | 2/1/41 | 300 | 414 | |
| Dominion Energy South Carolina Inc. | 6.625% | 2/1/32 | 156 | 227 | |
| Duke Energy Progress LLC | 4.100% | 3/15/43 | 707 | 833 | |
| Energy Transfer Operating LP | 4.900% | 3/15/35 | 1,075 | 1,161 | |
| Energy Transfer Operating LP | 5.000% | 5/15/50 | 80 | 81 | |
| Enterprise Products Operating LLC | 3.900% | 2/15/24 | 535 | 578 | |
| Enterprise Products Operating LLC | 3.950% | 1/31/60 | 90 | 88 | |
| Enterprise Products Operating LLC | 3.700% | 1/31/51 | 130 | 129 | |
| EQM Midstream Partners LP | 4.750% | 7/15/23 | 504 | 464 | |
| 5 | ERAC USA Finance LLC | 4.500% | 2/15/45 | 765 | 916 |
| Evergy Inc. | 2.900% | 9/15/29 | 580 | 597 | |
| Exxon Mobil Corp. | 2.275% | 8/16/26 | 1,075 | 1,114 | |
| FedEx Corp. | 4.950% | 10/17/48 | 213 | 243 | |
12
| Global Wellington Fund | |||||
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| FedEx Corp. | 4.050% | 2/15/48 | 33 | 33 | |
| FedEx Corp. | 4.550% | 4/1/46 | 117 | 128 | |
| FedEx Corp. | 4.750% | 11/15/45 | 227 | 252 | |
| FedEx Corp. | 4.100% | 2/1/45 | 85 | 87 | |
| 8 | Fidelity National Information Services Inc. | 2.000% | 5/21/30 | 835 | 1,021 |
| 8 | Fidelity National Information Services Inc. | 1.500% | 5/21/27 | 1,820 | 2,132 |
| FirstEnergy Corp. | 3.900% | 7/15/27 | 1,025 | 1,133 | |
| Fiserv Inc. | 3.200% | 7/1/26 | 355 | 378 | |
| Florida Power & Light Co. | 3.700% | 12/1/47 | 275 | 325 | |
| 9 | Ford Motor Credit Co. LLC | 4.535% | 3/6/25 | 2,575 | 3,497 |
| Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 975 | 928 | |
| 5 | Fox Corp. | 4.030% | 1/25/24 | 160 | 173 |
| General Motors Co. | 4.200% | 10/1/27 | 475 | 501 | |
| General Motors Co. | 5.000% | 10/1/28 | 1,490 | 1,630 | |
| General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 1,310 | 1,343 | |
| Georgia Power Co. | 4.300% | 3/15/42 | 860 | 1,005 | |
| Georgia Power Co. | 3.700% | 1/30/50 | 255 | 283 | |
| Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 575 | 581 | |
| 1 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 1,375 | 1,450 |
| 1 | Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 335 | 368 |
| 1 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 1,000 | 1,134 |
| HCA Inc. | 5.250% | 6/15/49 | 575 | 670 | |
| Healthpeak Properties Inc. | 4.000% | 6/1/25 | 850 | 932 | |
| Healthpeak Properties Inc. | 3.000% | 1/15/30 | 420 | 441 | |
| Healthpeak Properties Inc. | 3.500% | 7/15/29 | 335 | 360 | |
| Hess Corp. | 7.300% | 8/15/31 | 555 | 739 | |
| Humana Inc. | 2.900% | 12/15/22 | 590 | 612 | |
| International Business Machines Corp. | 3.300% | 5/15/26 | 550 | 598 | |
| International Paper Co. | 4.350% | 8/15/48 | 605 | 669 | |
| John Deere Capital Corp. | 3.450% | 3/13/25 | 985 | 1,073 | |
| 1 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 1,890 | 2,091 |
| 1 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 975 | 1,168 |
| 8 | JPMorgan Chase & Co. | 3.875% | 9/23/20 | 1,300 | 1,468 |
| Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 45 | 61 | |
| 5 | KeySpan Gas East Corp. | 2.742% | 8/15/26 | 400 | 415 |
| 5 | L3Harris Technologies Inc. | 4.400% | 6/15/28 | 675 | 782 |
| Lockheed Martin Corp. | 4.700% | 5/15/46 | 253 | 337 | |
| Lockheed Martin Corp. | 4.090% | 9/15/52 | 97 | 124 | |
| Lowe’s Cos. Inc. | 4.550% | 4/5/49 | 525 | 641 | |
| Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 1,010 | 1,174 | |
| McDonald’s Corp. | 4.450% | 9/1/48 | 475 | 586 | |
| 8 | Medtronic Global Holdings SCA | 1.125% | 3/7/27 | 1,595 | 1,864 |
| 8 | Medtronic Global Holdings SCA | 1.625% | 3/7/31 | 1,135 | 1,395 |
| Memorial Sloan-Kettering Cancer Center | 4.125% | 7/1/52 | 150 | 192 | |
| Merck & Co. Inc. | 4.000% | 3/7/49 | 360 | 450 | |
| Merck & Co. Inc. | 3.400% | 3/7/29 | 545 | 609 | |
| Mercy Health | 3.555% | 8/1/27 | 410 | 446 | |
| Mercy Health | 4.302% | 7/1/28 | 370 | 432 | |
| 5 | Metropolitan Life Global Funding I | 3.000% | 9/19/27 | 775 | 834 |
| Microsoft Corp. | 3.700% | 8/8/46 | 1,125 | 1,365 | |
| MidAmerican Energy Co. | 4.250% | 5/1/46 | 10 | 12 | |
| Molson Coors Beverage Co. | 3.000% | 7/15/26 | 700 | 727 | |
| 6 | Molson Coors International LP | 2.840% | 7/15/23 | 1,875 | 1,423 |
| Morgan Stanley | 2.750% | 5/19/22 | 1,375 | 1,412 | |
13
| Global Wellington Fund | |||||
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| Morgan Stanley | 3.125% | 7/27/26 | 1,850 | 1,964 | |
| 1 | Morgan Stanley | 3.772% | 1/24/29 | 1,045 | 1,158 |
| MPLX LP | 4.125% | 3/1/27 | 875 | 938 | |
| MPLX LP | 4.000% | 3/15/28 | 220 | 233 | |
| 5 | MPLX LP | 3.500% | 12/1/22 | 1,405 | 1,461 |
| National Retail Properties Inc. | 3.900% | 6/15/24 | 805 | 873 | |
| National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 400 | 425 | |
| NextEra Energy Capital Holdings Inc. | 3.250% | 4/1/26 | 100 | 107 | |
| NextEra Energy Capital Holdings Inc. | 3.500% | 4/1/29 | 155 | 170 | |
| NextEra Energy Capital Holdings Inc. | 2.750% | 11/1/29 | 130 | 136 | |
| Noble Energy Inc. | 3.850% | 1/15/28 | 625 | 646 | |
| 5 | Northwestern Mutual Life Insurance Co. | 3.850% | 9/30/47 | 230 | 270 |
| 5 | Northwestern Mutual Life Insurance Co. | 3.625% | 9/30/59 | 36 | 40 |
| Occidental Petroleum Corp. | 7.500% | 5/1/31 | 145 | 189 | |
| Oglethorpe Power Corp. | 5.250% | 9/1/50 | 350 | 436 | |
| Oglethorpe Power Corp. | 5.050% | 10/1/48 | 161 | 203 | |
| 1,5 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 210 | 254 |
| Oracle Corp. | 3.400% | 7/8/24 | 575 | 618 | |
| Oracle Corp. | 4.000% | 11/15/47 | 220 | 266 | |
| 5 | Otis Worldwide Corp. | 3.362% | 2/15/50 | 335 | 347 |
| 5 | Otis Worldwide Corp. | 3.112% | 2/15/40 | 280 | 286 |
| 5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.250% | 1/17/23 | 1,405 | 1,508 |
| 5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.375% | 2/1/22 | 145 | 149 |
| 5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 1,120 | 1,224 |
| 5 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 170 | 176 |
| Philip Morris International Inc. | 2.500% | 11/2/22 | 575 | 591 | |
| 8 | Philip Morris International Inc. | 2.875% | 3/3/26 | 725 | 915 |
| Phillips 66 Partners LP | 3.750% | 3/1/28 | 500 | 538 | |
| PNC Bank NA | 3.250% | 1/22/28 | 910 | 1,008 | |
| PPL Capital Funding Inc. | 3.100% | 5/15/26 | 1,500 | 1,591 | |
| 1 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 225 | 275 |
| Santander Holdings USA Inc. | 3.700% | 3/28/22 | 2,400 | 2,485 | |
| 5 | SBA Tower Trust | 3.448% | 3/15/23 | 675 | 712 |
| 5 | SBA Tower Trust | 2.877% | 7/9/21 | 805 | 813 |
| Sempra Energy | 3.250% | 6/15/27 | 1,050 | 1,119 | |
| Sierra Pacific Power Co. | 2.600% | 5/1/26 | 149 | 155 | |
| Simon Property Group LP | 2.450% | 9/13/29 | 375 | 382 | |
| Southern California Edison Co. | 4.125% | 3/1/48 | 550 | 628 | |
| Southern California Edison Co. | 3.700% | 8/1/25 | 30 | 33 | |
| Southern Co. | 4.400% | 7/1/46 | 5 | 6 | |
| 1,5 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 3/20/25 | 805 | 863 |
| SSM Health Care Corp. | 3.823% | 6/1/27 | 320 | 355 | |
| Starbucks Corp. | 4.500% | 11/15/48 | 730 | 874 | |
| Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 400 | 445 | |
| Synchrony Bank | 3.000% | 6/15/22 | 450 | 462 | |
| 5 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 860 | 1,135 |
| 5 | Tennessee Gas Pipeline Co. LLC | 2.900% | 3/1/30 | 1,485 | 1,492 |
14
| Global Wellington Fund | ||||||
| Face | Market | |||||
| Maturity | Amount | Value• | ||||
| Coupon | Date | ($000) | ($000) | |||
| Toledo Hospital | 5.750% | 11/15/38 | 210 | 264 | ||
| Toledo Hospital | 5.325% | 11/15/28 | 555 | 647 | ||
| Truist Bank | 3.300% | 5/15/26 | 450 | 483 | ||
| Truist Financial Corp. | 3.200% | 9/3/21 | 510 | 523 | ||
| Truist Financial Corp. | 3.700% | 6/5/25 | 970 | 1,066 | ||
| Tyson Foods Inc. | 5.100% | 9/28/48 | 400 | 522 | ||
| Union Pacific Corp. | 3.700% | 3/1/29 | 210 | 237 | ||
| Union Pacific Corp. | 4.300% | 3/1/49 | 130 | 157 | ||
| Union Pacific Corp. | 3.750% | 2/5/70 | 675 | 708 | ||
| 1 | United Airlines 2018-1 Class B Pass Through Trust | 4.600% | 3/1/26 | 64 | 68 | |
| 8 | United Technologies Corp. | 1.150% | 5/18/24 | 380 | 436 | |
| United Technologies Corp. | 3.950% | 8/16/25 | 285 | 319 | ||
| United Technologies Corp. | 4.450% | 11/16/38 | 725 | 897 | ||
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 75 | 94 | ||
| UnitedHealth Group Inc. | 4.200% | 1/15/47 | 65 | 78 | ||
| UnitedHealth Group Inc. | 3.850% | 6/15/28 | 820 | 927 | ||
| Verizon Communications Inc. | 3.500% | 11/1/24 | 275 | 297 | ||
| Verizon Communications Inc. | 4.522% | 9/15/48 | 695 | 896 | ||
| Verizon Communications Inc. | 4.672% | 3/15/55 | 118 | 158 | ||
| 9 | Verizon Communications Inc. | 3.375% | 10/27/36 | 400 | 597 | |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 475 | 665 | ||
| ViacomCBS Inc. | 4.250% | 9/1/23 | 800 | 863 | ||
| Walt Disney Co. | 6.200% | 12/15/34 | 640 | 943 | ||
| Wells Fargo & Co. | 4.300% | 7/22/27 | 275 | 309 | ||
| Wells Fargo & Co. | 4.750% | 12/7/46 | 800 | 1,009 | ||
| 8 | Wells Fargo & Co. | 2.250% | 9/3/20 | 2,500 | 2,794 | |
| 6 | Wells Fargo & Co. | 2.975% | 5/19/26 | 625 | 483 | |
| Wells Fargo & Co. | 4.100% | 6/3/26 | 920 | 1,011 | ||
| 1 | Wells Fargo & Co. | 2.879% | 10/30/30 | 435 | 453 | |
| Welltower Inc. | 4.000% | 6/1/25 | 275 | 302 | ||
| Westar Energy Inc. | 3.250% | 9/1/49 | 525 | 568 | ||
| Western Midstream Operating LP | 4.050% | 2/1/30 | 1,270 | 1,248 | ||
| 165,980 | ||||||
| Total Corporate Bonds (Cost $267,367) | 278,548 | |||||
| Sovereign Bonds (4.1%) | ||||||
| Australia (0.2%) | ||||||
| 10 | Commonwealth of Australia | 2.250% | 11/21/22 | 1,260 | 860 | |
| 10 | Commonwealth of Australia | 2.750% | 11/21/27 | 135 | 101 | |
| 10 | Commonwealth of Australia | 2.250% | 5/21/28 | 1,195 | 873 | |
| 1,834 | ||||||
| Canada (0.4%) | ||||||
| 6 | City of Montreal | 3.150% | 12/1/36 | 750 | 616 | |
| 6 | City of Montreal | 3.500% | 12/1/38 | 410 | 357 | |
| 6 | City of Toronto | 3.200% | 8/1/48 | 1,000 | 878 | |
| 6 | Province of Ontario | 2.900% | 6/2/28 | 1,910 | 1,537 | |
| 11 | Province of Ontario | 0.250% | 6/28/29 | 985 | 1,094 | |
| 4,482 | ||||||
| Chile (0.1%) | ||||||
| Corp. Nacional del Cobre de Chile | 3.625% | 8/1/27 | 650 | 702 | ||
15
| Global Wellington Fund | ||||||
| Face | Market | |||||
| Maturity | Amount | Value• | ||||
| Coupon | Date | ($000) | ($000) | |||
| China (0.4%) | ||||||
| 5 | Sinopec Group Overseas Development 2017 Ltd. | 3.000% | 4/12/22 | 1,025 | 1,052 | |
| 5 | Sinopec Group Overseas Development 2018 Ltd. | 2.950% | 11/12/29 | 1,170 | 1,226 | |
| 5 | State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 2,135 | 2,183 | |
| 4,461 | ||||||
| Colombia (0.1%) | ||||||
| Republic of Colombia | 4.000% | 2/26/24 | 1,350 | 1,432 | ||
| Japan (0.8%) | ||||||
| 12 | Japan | 0.100% | 12/20/28 | 828,000 | 7,899 | |
| 12 | Japan | 0.100% | 3/20/29 | 158,800 | 1,515 | |
| 12 | Japan | 0.100% | 6/20/29 | 40,250 | 384 | |
| 9,798 | ||||||
| Panama (0.2%) | ||||||
| 1,5 | Empresa de Transmision Electrica SA | 5.125% | 5/2/49 | 470 | 558 | |
| 1 | Republic of Panama | 3.160% | 1/23/30 | 1,650 | 1,741 | |
| 2,299 | ||||||
| Qatar (0.2%) | ||||||
| 5 | State of Qatar | 2.375% | 6/2/21 | 1,400 | 1,406 | |
| 5 | State of Qatar | 3.875% | 4/23/23 | 550 | 583 | |
| 5 | State of Qatar | 4.000% | 3/14/29 | 515 | 584 | |
| 5 | State of Qatar | 5.103% | 4/23/48 | 255 | 340 | |
| 2,913 | ||||||
| Saudi Arabia (0.4%) | ||||||
| 5 | Kingdom of Saudi Arabia | 2.875% | 3/4/23 | 2,740 | 2,808 | |
| 5 | Saudi Arabian Oil Co. | 2.875% | 4/16/24 | 500 | 514 | |
| 5 | Saudi Arabian Oil Co. | 3.500% | 4/16/29 | 910 | 965 | |
| 4,287 | ||||||
| Singapore (0.1%) | ||||||
| 5 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 510 | 589 | |
| Spain (0.1%) | ||||||
| 5,8 | Kingdom of Spain | 0.600% | 10/31/29 | 1,050 | 1,198 | |
| Supranational (0.2%) | ||||||
| 8 | European Financial Stability Facility | 1.375% | 5/31/47 | 1,025 | 1,491 | |
| 8 | European Investment Bank | 0.050% | 10/13/34 | 1,050 | 1,182 | |
| 2,673 | ||||||
| Switzerland (0.1%) | ||||||
| 5 | Syngenta Finance NV | 5.182% | 4/24/28 | 550 | 620 | |
| United Arab Emirates (0.1%) | ||||||
| Emirate of Abu Dhabi | 3.125% | 10/11/27 | 1,235 | 1,325 | ||
| United Kingdom (0.7%) | ||||||
| 9 | United Kingdom | 1.500% | 1/22/21 | 1,015 | 1,313 | |
| 9 | United Kingdom | 0.500% | 7/22/22 | 430 | 554 | |
| 9 | United Kingdom | 0.750% | 7/22/23 | 1,210 | 1,575 | |
| 9 | United Kingdom | 0.625% | 6/7/25 | 700 | 912 | |
| 9 | United Kingdom | 1.250% | 7/22/27 | 155 | 212 | |
16
| Global Wellington Fund | ||||||
| Face | Market | |||||
| Maturity | Amount | Value• | ||||
| Coupon | Date | ($000) | ($000) | |||
| 9 | United Kingdom | 0.875% | 10/22/29 | 1,100 | 1,474 | |
| 9 | United Kingdom | 3.500% | 1/22/45 | 1,215 | 2,446 | |
| 8,486 | ||||||
| Total Sovereign Bonds (Cost $45,497) | 47,099 | |||||
| Taxable Municipal Bonds (0.9%) | ||||||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 2.574% | 4/1/31 | 230 | 243 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 6.907% | 10/1/50 | 75 | 140 | ||
| California GO | 7.550% | 4/1/39 | 180 | 309 | ||
| California GO | 7.350% | 11/1/39 | 140 | 228 | ||
| California GO | 7.625% | 3/1/40 | 20 | 34 | ||
| Chicago IL Transit Authority Sales Tax Receipts Revenue | 6.899% | 12/1/40 | 55 | 81 | ||
| Chicago IL Transit Authority Transfer Tax Receipts Revenue | 6.899% | 12/1/40 | 805 | 1,179 | ||
| Chicago IL Transit Authority | 6.300% | 12/1/21 | 40 | 42 | ||
| County of Broward FL Airport System Revenue | 3.477% | 10/1/43 | 100 | 108 | ||
| Foothill-Eastern Transportation Corridor Agency California Toll Road Revenue Taxable Refunding Bonds 2019A | 4.094% | 1/15/49 | 55 | 59 | ||
| 13 | Foothill-Eastern Transportation Corridor Agency California | 3.924% | 1/15/53 | 405 | 435 | |
| Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 757 | 1,140 | ||
| Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 94 | 145 | ||
| Grand Parkway Transportation Corp. Texas | 3.236% | 10/1/52 | 290 | 295 | ||
| Illinois GO | 5.100% | 6/1/33 | 660 | 772 | ||
| 13 | Kansas Development Finance Authority | 5.371% | 5/1/26 | 695 | 781 | |
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 3.395% | 10/15/40 | 175 | 187 | ||
| New York Metropolitan Transportation Authority Revenue (Transit Revenue) | 6.668% | 11/15/39 | 170 | 263 | ||
| New York State Dormitory Authority Revenue | 3.142% | 7/1/43 | 120 | 133 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 3.110% | 2/15/39 | 285 | 322 | ||
| North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 125 | 224 | ||
| 14 | Philadelphia PA Authority for Industrial Development | 6.550% | 10/15/28 | 635 | 849 | |
| Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 305 | 417 | ||
| Sales Tax Securitization Corp. Illinois Revenue | 4.787% | 1/1/48 | 650 | 873 | ||
| South Carolina Public Service Authority Revenue | 2.388% | 12/1/23 | 690 | 710 | ||
| State of Connecticut | 5.770% | 3/15/25 | 275 | 335 | ||
| Total Taxable Municipal Bonds (Cost $9,094) | 10,304 | |||||
17
| Global Wellington Fund | |||
| Market | |||
| Value• | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (2.4%) | |||
| Money Market Fund (2.4%) | |||
| 15 Vanguard Market Liquidity Fund (Cost $28,160) | 1.706% | 281,567 | 28,165 |
| Total Investments (101.2%) (Cost $1,139,883) | 1,178,875 | ||
| Other Assets and Liabilities—Net (-1.2%) | (13,735) | ||
| Net Assets (100%) | 1,165,140 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 29, 2020. |
| 4 | Securities with a value of $434,000 have been segregated as initial margin for open futures contracts. |
| 5 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $69,096,000, representing 5.9% of net assets. |
| 6 | Face amount denominated in Canadian dollars. |
| 7 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 8 | Face amount denominated in euro. |
| 9 | Face amount denominated in British pounds. |
| 10 | Face amount denominated in Australian dollars. |
| 11 | Face amount denominated in Swiss francs. |
| 12 | Face amount denominated in Japanese yen. |
| 13 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
| 14 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
| 15 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
ADR—American Depositary Receipt.
GO—General Obligation Bond.
LIBOR—London Interbank Offered Rate.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
18
Global Wellington Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000) | |||||||||
| Value and | |||||||||
| Number of | Unrealized | ||||||||
| Long (Short) | Notional | Appreciation | |||||||
| Expiration | Contracts | Amount | (Depreciation) | ||||||
| Long Futures Contracts | |||||||||
| Euro-Schatz | March 2020 | 51 | 6,324 | 20 | |||||
| Euro-Bund | March 2020 | 25 | 4,898 | 75 | |||||
| Euro-Buxl | March 2020 | 17 | 4,125 | 281 | |||||
| Euro-OAT | March 2020 | 14 | 2,607 | 74 | |||||
| Euro-BTP | March 2020 | 13 | 2,092 | 33 | |||||
| Euro-Bobl | March 2020 | 7 | 1,048 | 13 | |||||
| 496 | |||||||||
| Short Futures Contracts | |||||||||
| 10-Year U.S. Treasury Note | June 2020 | (81) | (10,915) | (134) | |||||
| Long Gilt | June 2020 | (14) | (2,430) | (22) | |||||
| (156) | |||||||||
| 340 | |||||||||
| Forward Currency Contracts | ||||||||||
| Contract | Unrealized | Unrealized | ||||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||||
| J.P. Morgan Securities LLC | 3/31/20 | USD | 85,398 | EUR | 78,525 | — | (1,461) | |||
| Goldman Sachs International | 3/31/20 | USD | 26,111 | GBP | 20,138 | 267 | — | |||
| J.P. Morgan Securities LLC | 3/31/20 | USD | 10,085 | CAD | 13,391 | 108 | — | |||
| J.P. Morgan Securities LLC | 3/31/20 | USD | 9,651 | JPY | 1,065,696 | — | (247) | |||
| J.P. Morgan Securities LLC | 3/31/20 | USD | 2,815 | AUD | 4,262 | 36 | — | |||
| J.P. Morgan Securities LLC | 3/31/20 | USD | 1,468 | CHF | 1,434 | — | (21) | |||
| 411 | (1,729) | |||||||||
AUD—Australian dollar.
CAD—Canadian dollar.
CHF—Swiss franc.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
At February 29, 2020, the counterparties had deposited in segregated accounts securities with a value of $762,000 in connection with open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Global Wellington Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $1,111,723) | 1,150,710 |
| Affiliated Issuers (Cost $28,160) | 28,165 |
| Total Investments in Securities | 1,178,875 |
| Investment in Vanguard | 53 |
| Cash | 40 |
| Foreign Currency, at Value (Cost $1,505) | 1,530 |
| Receivables for Investment Securities Sold | 21,586 |
| Receivables for Accrued Income | 5,234 |
| Receivables for Capital Shares Issued | 2,585 |
| Variation Margin Receivable—Futures Contracts | 8 |
| Unrealized Appreciation—Forward Currency Contracts | 411 |
| Total Assets | 1,210,322 |
| Liabilities | |
| Payables for Investment Securities Purchased | 37,255 |
| Payables for Capital Shares Redeemed | 5,528 |
| Payables to Investment Advisor | 463 |
| Payables to Vanguard | 117 |
| Variation Margin Payable—Futures Contracts | 90 |
| Unrealized Depreciation—Forward Currency Contracts | 1,729 |
| Total Liabilities | 45,182 |
| Net Assets | 1,165,140 |
| At February 29, 2020, net assets consisted of: | |
| Paid-in Capital | 1,119,938 |
| Total Distributable Earnings (Loss) | 45,202 |
| Net Assets | 1,165,140 |
| Investor Shares—Net Assets | |
| Applicable to 8,881,334 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 189,539 |
| Net Asset Value Per Share—Investor Shares | $21.34 |
| Admiral Shares—Net Assets | |
| Applicable to 36,561,332 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 975,601 |
| Net Asset Value Per Share—Admiral Shares | $26.68 |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Global Wellington Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 7,407 |
| Interest2 | 4,881 |
| Securities Lending—Net | 5 |
| Total Income | 12,293 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 852 |
| Performance Adjustment | 32 |
| The Vanguard Group—Note C | |
| Management and Administrative—Investor Shares | 259 |
| Management and Administrative—Admiral Shares | 883 |
| Marketing and Distribution—Investor Shares | 16 |
| Marketing and Distribution—Admiral Shares | 36 |
| Custodian Fees | 26 |
| Shareholders’ Reports—Investor Shares | 5 |
| Shareholders’ Reports—Admiral Shares | 8 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 2,118 |
| Expenses Paid Indirectly | (8) |
| Net Expenses | 2,110 |
| Net Investment Income | 10,183 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2 | 10,671 |
| Futures Contracts | (64) |
| Forward Currency Contracts | 2,868 |
| Foreign Currencies | 25 |
| Realized Net Gain (Loss) | 13,500 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | (18,653) |
| Futures Contracts | (228) |
| Forward Currency Contracts | (1,924) |
| Foreign Currencies | 53 |
| Change in Unrealized Appreciation (Depreciation) | (20,752) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,931 |
| 1 | Dividends are net of foreign withholding taxes of $330,000. |
| 2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $300,000, ($1,000), and $5,000, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Global Wellington Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |||
| February 29, | August 31, | |||
| 2020 | 2019 | |||
| ($000) | ($000) | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net Investment Income | 10,183 | 20,611 | ||
| Realized Net Gain (Loss) | 13,500 | (5,890) | ||
| Change in Unrealized Appreciation (Depreciation) | (20,752) | 49,342 | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,931 | 64,063 | ||
| Distributions1 | ||||
| Investor Shares | (2,061) | (3,787) | ||
| Admiral Shares | (10,568) | (17,340) | ||
| Total Distributions | (12,629) | (21,127) | ||
| Capital Share Transactions | ||||
| Investor Shares | 14,346 | (2,831) | ||
| Admiral Shares | 157,705 | 75,712 | ||
| Net Increase (Decrease) from Capital Share Transactions | 172,051 | 72,881 | ||
| Total Increase (Decrease) | 162,353 | 115,817 | ||
| Net Assets | ||||
| Beginning of Period | 1,002,787 | 886,970 | ||
| End of Period | 1,165,140 | 1,002,787 |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Global Wellington Fund
Financial Highlights
Investor Shares
| Six Months | Year | Oct. 18, | |
| Ended | Ended | 20171 to | |
| Feb. 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 |
| Net Asset Value, Beginning of Period | $21.41 | $20.51 | $20.00 |
| Investment Operations | |||
| Net Investment Income2 | .190 | .443 | .392 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.015) | .920 | .379 |
| Total from Investment Operations | .175 | 1.363 | .771 |
| Distributions | |||
| Dividends from Net Investment Income | (.210) | (.426) | (.261) |
| Distributions from Realized Capital Gains | (.035) | (.037) | — |
| Total Distributions | (.245) | (.463) | (.261) |
| Net Asset Value, End of Period | $21.34 | $21.41 | $20.51 |
| Total Return3 | 0.78% | 6.80% | 3.88% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $190 | $176 | $172 |
| Ratio of Total Expenses to Average Net Assets | 0.46%4 | 0.46%4 | 0.46%5,6 |
| Ratio of Net Investment Income to Average Net Assets | 1.72% | 2.19% | 2.32%6 |
| Portfolio Turnover Rate | 27%7 | 54% | 44% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $20.00. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Includes performance-based investment advisory fee increases (decreases) of 0.01% for 2020 and 0.01% for 2019. |
| 5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.45%. |
| 6 | Annualized. |
| 7 | Includes 5% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Global Wellington Fund
Financial Highlights
Admiral Shares
| Six Months | Year | Oct. 18, | |
| Ended | Ended | 20171 to | |
| Feb. 29, | Aug. 31, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 |
| Net Asset Value, Beginning of Period | $26.76 | $25.65 | $25.00 |
| Investment Operations | |||
| Net Investment Income2 | .251 | .583 | .511 |
| Net Realized and Unrealized Gain (Loss) on Investments | (.011) | 1.132 | .480 |
| Total from Investment Operations | .240 | 1.715 | .991 |
| Distributions | |||
| Dividends from Net Investment Income | (.276) | (.559) | (.341) |
| Distributions from Realized Capital Gains | (.044) | (.046) | — |
| Total Distributions | (.320) | (.605) | (.341) |
| Net Asset Value, End of Period | $26.68 | $26.76 | $25.65 |
| Total Return3 | 0.86% | 6.85% | 3.99% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $976 | $826 | $715 |
| Ratio of Total Expenses to Average Net Assets | 0.36%4 | 0.36%4 | 0.36%5,6 |
| Ratio of Net Investment Income to Average Net Assets | 1.82% | 2.29% | 2.42%6 |
| Portfolio Turnover Rate | 27%7 | 54% | 44% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $25.00. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Includes performance-based investment advisory fee increases (decreases) of 0.01% for 2020 and 0.01% for 2019. |
| 5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.35%. |
| 6 | Annualized. |
| 7 | Includes 5% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
24
Global Wellington Fund
Notes to Financial Statements
Vanguard Global Wellington Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
25
Global Wellington Fund
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented 2% and 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value
26
Global Wellington Fund
of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended February 29, 2020, the fund’s average investment in forward currency contracts represented 11% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
6. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
7. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2018–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
27
Global Wellington Fund
8. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
9. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
10. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
28
Global Wellington Fund
11. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. The basic fee is subject to quarterly adjustments based on the fund’s performance relative to the Global Wellington Composite Index, comprising of the FTSE Developed Index and the Bloomberg Barclays Fixed Income Composite Index, since December 1, 2017. For the six months ended February 29, 2020, the investment advisory fee represented an effective annual basic rate of 0.15% of the fund’s average net assets before an increase of $32,000 (0.01%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $53,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
E. 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.
29
Global Wellington Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 416,806 | 331,089 | — | 747,895 |
| U.S. Government and Agency Obligations | — | 49,146 | — | 49,146 |
| Asset-Backed/Commercial Mortgage-Backed | ||||
| Securities | — | 17,718 | — | 17,718 |
| Corporate Bonds | — | 278,548 | — | 278,548 |
| Sovereign Bonds | — | 47,099 | — | 47,099 |
| Taxable Municipal Bonds | — | 10,304 | — | 10,304 |
| Temporary Cash Investments | 28,165 | — | — | 28,165 |
| Total | 444,971 | 733,904 | — | 1,178,875 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 8 | — | — | 8 |
| Forward Currency Contracts | — | 411 | — | 411 |
| Total | 8 | 411 | — | 419 |
| Liabilities | ||||
| Futures Contracts1 | 90 | — | — | 90 |
| Forward Currency Contracts | — | 1,729 | — | 1,729 |
| Total | 90 | 1,729 | — | 1,819 |
1 Represents variation margin on the last day of the reporting period.
F. At February 29, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Interest Rate | Currency | ||
| Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) |
| Variation Margin Receivable—Futures Contracts | 8 | — | 8 |
| Unrealized Appreciation—Forward Currency Contracts | — | 411 | 411 |
| Total Assets | 8 | 411 | 419 |
| Variation Margin Payable—Futures Contracts | 90 | — | 90 |
| Unrealized Depreciation—Forward Currency Contracts | — | 1,729 | 1,729 |
| Total Liabilities | 90 | 1,729 | 1,819 |
30
Global Wellington Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2020, were:
| Interest Rate | Credit | ||
| Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
| Futures Contracts | (64) | — | (64) |
| Forward Currency Contracts | — | 2,868 | 2,868 |
| Realized Net Gain (Loss) on Derivatives | (64) | 2,868 | 2,804 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
| Futures Contracts | (228) | — | (228) |
| Forward Currency Contracts | — | (1,924) | (1,924) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | (228) | (1,924) | (2,152) |
G. As of February 29, 2020, 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 | $1,139,997 |
| Gross Unrealized Appreciation | $95,302 |
| Gross Unrealized Depreciation | (57,402) |
| Net Unrealized Appreciation (Depreciation) | $37,900 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $6,241,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
H. During the six months ended February 29, 2020, the fund purchased $336,162,000 of investment securities and sold $173,562,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $124,998,000 and $119,270,000, respectively.
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Global Wellington Fund
I. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | ||||
| February 29, 2020 | August 31, 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| Investor Shares | |||||
| Issued | 43,230 | 1,943 | 57,984 | 2,861 | |
| Issued in Lieu of Cash Distributions | 1,832 | 83 | 3,350 | 166 | |
| Redeemed | (30,716) | (1,383) | (64,165) | (3,183) | |
| Net Increase (Decrease)—Investor Shares | 14,346 | 643 | (2,831) | (156) | |
| Admiral Shares | |||||
| Issued | 268,198 | 9,666 | 372,819 | 14,761 | |
| Issued in Lieu of Cash Distributions | 9,201 | 333 | 14,816 | 586 | |
| Redeemed | (119,694) | (4,315) | (311,923) | (12,339) | |
| Net Increase (Decrease)—Admiral Shares | 157,705 | 5,684 | 75,712 | 3,008 | |
J. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
32
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Global Wellington Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services since its inception in 2017, and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional managers. For the equity portion of the fund, Wellington Management focuses on high-quality companies in out-of-favor industries that generate superior returns. The equity subportfolio includes large- and mid-capitalization stocks, with a valuation discount, premium dividend yield, and market-like earnings growth. The advisor primarily invests the fixed income portion of the fund in government and mortgage securities in addition to high-quality corporate bonds. The fund’s bond portion will maintain an intermediate-term duration. Wellington Management has advised the fund since its inception in 2017.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the performance of Wellington Management since the fund’s inception, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.
33
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.
The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee, because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the fund’s advisory fee schedule. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
34
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Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
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Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor.
Q15672 042020 |
| Semiannual Report | February 29, 2020 | |
| Vanguard Global Wellesley® Income Fund | |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. | |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
|
About Your Fund’s Expenses |
1 |
|
|
Financial Statements |
4 |
|
|
Trustees Approve Advisory Arrangement |
31 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
|
Beginning |
Ending |
Expenses |
|
Account Value |
Account Value |
Paid During |
Global Wellesley Income Fund |
8/31/2019 |
2/29/2020 |
Period |
|
Based on Actual Fund Return |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,012.45 |
$2.05 |
|
Admiral™ Shares |
1,000.00 |
1,013.14 |
1.55 |
|
Based on Hypothetical 5% Yearly Return |
|
|
|
|
Investor Shares |
$1,000.00 |
$1,022.82 |
$2.06 |
|
Admiral Shares |
1,000.00 |
1,023.32 |
1.56 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for the period are 0.41% for Investor Shares and 0.31% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2
Global Wellesley Income Fund
Country Allocation
As of February 29, 2020
|
United States |
50.1% |
|
United Kingdom |
7.5 |
|
France |
6.7 |
|
Canada |
5.8 |
|
Germany |
5.2 |
|
Japan |
4.4 |
|
Spain |
2.9 |
|
Switzerland |
2.8 |
|
Netherlands |
2.3 |
|
China |
1.7 |
|
Cayman Islands |
1.5 |
|
Taiwan |
1.1 |
|
Australia |
1.0 |
|
Sweden |
0.7 |
|
Portugal |
0.7 |
|
Hong Kong |
0.6 |
|
Greece |
0.6 |
|
Italy |
0.6 |
|
Belgium |
0.5 |
|
Saudi Arabia |
0.5 |
|
Supranational |
0.5 |
|
Other |
2.3 |
The table reflects the fund’s investments, except for short-term investments and derivatives.
3
Global Wellesley Income Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
|
U.S. Government and Agency Obligations (7.3%) |
|
|
|
||
|
United States (7.3%) |
|
|
|
|
|
1,2 |
Fannie Mae Pool |
3.070% |
2/1/25 |
125 |
135 |
1,2 |
Fannie Mae Pool |
2.780% |
6/1/26 |
275 |
295 |
1,2 |
Fannie Mae Pool |
3.000% |
12/1/47–3/1/50 |
1,943 |
2,018 |
1,2 |
Fannie Mae Pool |
4.000% |
12/1/49 |
185 |
196 |
1,2 |
Fannie Mae REMICS |
2.000% |
9/25/40 |
160 |
161 |
1,2 |
Fannie Mae REMICS |
3.500% |
6/25/44–6/25/59 |
2,034 |
2,215 |
1,2 |
Fannie Mae REMICS |
2.500% |
5/25/45–3/25/53 |
1,006 |
1,030 |
1,2 |
Fannie Mae REMICS |
3.000% |
2/25/49 |
162 |
167 |
1,2 |
Freddie Mac Gold Pool |
3.000% |
11/1/47–12/1/47 |
2,469 |
2,580 |
1,2 |
Freddie Mac Gold Pool |
3.500% |
11/1/47–12/1/47 |
4,298 |
4,517 |
1,2 |
Freddie Mac Gold Pool |
4.000% |
10/1/48–12/1/48 |
384 |
407 |
1,2 |
Freddie Mac REMICS |
4.000% |
12/15/39–8/15/40 |
1,440 |
1,561 |
1,2 |
Freddie Mac REMICS |
3.500% |
9/15/40–11/15/40 |
476 |
490 |
1,2 |
Freddie Mac REMICS |
1.750% |
9/15/42 |
1,331 |
1,332 |
1 |
Ginnie Mae REMICS |
2.750% |
9/20/44 |
271 |
280 |
¤,1,2 |
UMBS Pool |
2.500% |
11/1/49–3/1/50 |
3,271 |
3,338 |
1,2 |
UMBS Pool |
3.000% |
12/1/49–1/1/50 |
7,115 |
7,338 |
1,2 |
UMBS Pool |
4.000% |
12/1/49 |
1,259 |
1,329 |
|
United States Treasury Note/Bond |
1.125% |
2/28/25 |
2,600 |
2,626 |
|
United States Treasury Note/Bond |
1.750% |
11/15/29 |
1,265 |
1,336 |
3 |
United States Treasury Note/Bond |
2.875% |
5/15/49 |
370 |
474 |
|
United States Treasury Note/Bond |
2.250% |
8/15/49 |
1,355 |
1,540 |
|
United States Treasury Strip Principal |
0.000% |
8/15/47 |
1,260 |
784 |
|
Total U.S. Government and Agency Obligations (Cost $34,747) |
|
36,149 |
|||
|
Asset-Backed/Commercial Mortgage-Backed Securities (3.3%) |
|
|
|||
|
Bermuda (0.0%) |
|
|
|
|
|
1,4 |
START Ireland |
4.089% |
3/15/44 |
234 |
239 |
|
Canada (0.4%) |
|
|
|
|
|
1,4 |
Chesapeake Funding II LLC 2018-2A |
3.230% |
8/15/30 |
580 |
589 |
4,5 |
Ford Auto Securitization Trust |
2.354% |
6/15/23 |
1,820 |
1,355 |
|
|
|
|
|
1,944 |
|
Cayman Islands (1.4%) |
|
|
|
|
|
1,4,6 |
Atlas Senior Loan Fund V Ltd., 3M USD LIBOR + 1.260% |
3.103% |
7/16/29 |
900 |
899 |
1,4,6 |
KKR Clo 16 Ltd., 3M USD LIBOR + 1.250% |
3.069% |
1/20/29 |
435 |
435 |
1,4,6 |
KKR Clo 17 Ltd., 3M USD LIBOR + 1.340% |
3.171% |
4/15/29 |
875 |
877 |
1,4,6 |
Madison Park Funding XVIII Ltd., 3M USD LIBOR + 1.190% |
3.009% |
10/21/30 |
875 |
873 |
4
|
Global Wellesley Income Fund
|
|
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
1,4,6 |
Madison Park Funding XXX Ltd., 3M USD LIBOR + 0.750% |
2.581% |
4/15/29 |
1,570 |
1,561 |
1,4,6 |
Magnetite VII Ltd., 3M USD LIBOR + 0.800% |
2.631% |
1/15/28 |
1,510 |
1,507 |
1,4,6 |
Race Point IX CLO Ltd., 3M USD LIBOR + 1.210% |
3.041% |
10/15/30 |
870 |
868 |
|
|
|
|
|
7,020 |
|
Spain (0.2%) |
|
|
|
|
|
7 |
Bankia SA |
4.125% |
3/24/36 |
550 |
972 |
|
United States (1.3%) |
|
|
|
|
|
1,4 |
Angel Oak Mortgage Trust I LLC 2018-3 |
3.649% |
9/25/48 |
406 |
414 |
1,4 |
ARI Fleet Lease Trust 2018-A |
2.550% |
10/15/26 |
102 |
102 |
1,4 |
Castlelake Aircraft Securitization Trust 2019-1 |
3.967% |
4/15/39 |
223 |
228 |
1,4 |
Chesapeake Funding II LLC 2017-2A |
1.990% |
5/15/29 |
226 |
226 |
1,4 |
COLT 2018-1 Mortgage Loan Trust |
2.930% |
2/25/48 |
80 |
80 |
1,4 |
COLT 2018-3 Mortgage Loan Trust |
3.692% |
10/26/48 |
116 |
117 |
1,4 |
DB Master Finance LLC |
3.787% |
5/20/49 |
129 |
134 |
1,4 |
DB Master Finance LLC |
4.021% |
5/20/49 |
114 |
122 |
1,4 |
Deephaven Residential Mortgage Trust 2018-1 |
2.976% |
12/25/57 |
153 |
153 |
1,4 |
Enterprise Fleet Financing LLC Series 2018-1 |
2.870% |
10/20/23 |
399 |
402 |
1,4 |
First Investors Auto Owner Trust |
2.410% |
12/15/22 |
89 |
89 |
1,4 |
First Investors Auto Owner Trust 2016-1 |
3.410% |
4/18/22 |
206 |
207 |
1 |
Ford Credit Floorplan Master Owner Trust A |
2.440% |
9/15/26 |
210 |
217 |
1,2 |
Freddie Mac Multifamily Structured Pass Through Certificates |
2.282% |
7/25/26 |
235 |
245 |
1,4 |
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 |
2.600% |
6/15/21 |
174 |
175 |
1,4 |
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 |
2.830% |
6/17/24 |
183 |
186 |
1,4 |
MMAF Equipment Finance LLC 2017-B |
2.210% |
10/17/22 |
141 |
142 |
1,2 |
Seasoned Credit Risk Transfer Trust Series 2018-4 |
3.500% |
3/25/58 |
235 |
247 |
1,2 |
Seasoned Credit Risk Transfer Trust Series 2019-1 |
3.500% |
7/25/58 |
242 |
258 |
1,2 |
Seasoned Credit Risk Transfer Trust Series 2019-3 |
3.500% |
10/25/58 |
372 |
395 |
1,4 |
SoFi Consumer Loan Program 2019-3 Trust |
2.900% |
5/25/28 |
903 |
912 |
1,4 |
Towd Point Mortgage Trust 2018-1 |
3.000% |
1/25/58 |
254 |
260 |
1,4 |
Vantage Data Centers LLC 2018-1A |
4.072% |
2/16/43 |
323 |
337 |
1,4 |
Vantage Data Centers LLC 2019-1A |
3.188% |
7/15/44 |
139 |
143 |
1,4 |
Verus Securitization Trust 2019-2 |
3.211% |
5/25/59 |
262 |
267 |
1,4 |
Westlake Automobile Receivables Trust |
2.980% |
1/18/22 |
182 |
183 |
|
|
|
|
|
6,241 |
|
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $16,184) |
|
16,416 |
|||
|
Corporate Bonds (42.0%) |
|
|
|
|
|
|
Australia (0.6%) |
|
|
|
|
|
1,4 |
Macquarie Group Ltd. |
4.150% |
3/27/24 |
1,125 |
1,202 |
1,4 |
National Australia Bank Ltd. |
3.933% |
8/2/34 |
850 |
918 |
4 |
WEA Finance LLC |
4.125% |
9/20/28 |
610 |
694 |
4 |
WEA Finance LLC |
4.625% |
9/20/48 |
225 |
283 |
|
|
|
|
|
3,097 |
5
Global Wellesley Income Fund
|
|
|
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
|
Belgium (0.5%) |
|
|
|
|
|
|
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. |
4.900% |
2/1/46 |
700 |
862 |
8 |
Anheuser-Busch InBev SA/NV |
1.750% |
3/7/25 |
325 |
426 |
|
Anheuser-Busch InBev Worldwide Inc. |
4.600% |
4/15/48 |
540 |
645 |
|
Anheuser-Busch InBev Worldwide Inc. |
4.375% |
4/15/38 |
480 |
554 |
|
|
|
|
|
2,487 |
|
Canada (1.1%) |
|
|
|
|
|
|
Bank of Nova Scotia |
2.700% |
8/3/26 |
990 |
1,038 |
5 |
Bell Canada Inc. |
3.350% |
3/22/23 |
950 |
736 |
|
Fortis Inc. |
3.055% |
10/4/26 |
625 |
654 |
|
Nutrien Ltd. |
4.125% |
3/15/35 |
750 |
833 |
5 |
Royal Bank of Canada |
2.949% |
5/1/23 |
1,825 |
1,410 |
|
TransCanada PipeLines Ltd. |
4.875% |
1/15/26 |
475 |
538 |
|
|
|
|
|
5,209 |
|
Chile (0.2%) |
|
|
|
|
|
4 |
Banco Santander Chile |
2.700% |
1/10/25 |
1,050 |
1,064 |
|
China (0.4%) |
|
|
|
|
|
|
Alibaba Group Holding Ltd. |
3.400% |
12/6/27 |
690 |
743 |
4 |
Tencent Holdings Ltd. |
3.975% |
4/11/29 |
405 |
453 |
4 |
Tencent Holdings Ltd. |
3.595% |
1/19/28 |
690 |
744 |
|
|
|
|
|
1,940 |
|
Denmark (0.2%) |
|
|
|
|
|
1,7 |
Danske Bank A/S |
0.500% |
8/27/25 |
925 |
1,012 |
|
France (2.9%) |
|
|
|
|
|
1,7 |
AXA SA |
5.125% |
7/4/43 |
750 |
950 |
7 |
Banque Federative du Credit Mutuel SA |
1.250% |
1/14/25 |
1,100 |
1,278 |
7 |
BNP Paribas SA |
1.500% |
11/17/25 |
800 |
935 |
1,4 |
BNP Paribas SA |
2.819% |
11/19/25 |
360 |
372 |
4 |
BPCE SA |
3.250% |
1/11/28 |
500 |
533 |
7 |
BPCE SA |
1.125% |
1/18/23 |
900 |
1,019 |
4 |
BPCE SA |
5.700% |
10/22/23 |
400 |
448 |
7 |
BPCE SA |
2.875% |
4/22/26 |
1,300 |
1,626 |
7 |
Credit Mutuel Arkea SA |
1.625% |
4/15/26 |
1,700 |
1,985 |
4 |
Danone SA |
2.947% |
11/2/26 |
285 |
303 |
7 |
Orange SA |
1.000% |
5/12/25 |
1,200 |
1,384 |
7 |
Orange SA |
2.000% |
1/15/29 |
300 |
377 |
7 |
Orange SA |
0.500% |
9/4/32 |
700 |
754 |
7 |
RCI Banque SA |
0.750% |
9/26/22 |
625 |
692 |
7 |
RCI Banque SA |
1.375% |
3/8/24 |
575 |
643 |
7 |
Societe Generale SA |
1.000% |
4/1/22 |
600 |
675 |
7 |
Veolia Environnement SA |
1.590% |
1/10/28 |
400 |
488 |
|
|
|
|
|
14,462 |
|
Germany (3.5%) |
|
|
|
|
|
4 |
Bayer US Finance II LLC |
4.250% |
12/15/25 |
860 |
962 |
7 |
Daimler AG |
0.875% |
1/12/21 |
3,100 |
3,452 |
7 |
Deutsche Bank AG |
2.625% |
2/12/26 |
3,100 |
3,669 |
8 |
Deutsche Telekom AG |
3.125% |
2/6/34 |
675 |
961 |
8 |
E.ON International Finance BV |
5.875% |
10/30/37 |
200 |
385 |
7 |
E.ON SE |
1.625% |
5/22/29 |
550 |
669 |
7 |
E.ON SE |
0.375% |
8/23/21 |
1,775 |
1,971 |
6
Global Wellesley Income Fund
|
|
|
|
|
|
|
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
8 |
innogy Finance BV |
4.750% |
1/31/34 |
500 |
839 |
7 |
Volkswagen Leasing GmbH |
2.625% |
1/15/24 |
525 |
626 |
7 |
Volkswagen Leasing GmbH |
1.375% |
1/20/25 |
1,825 |
2,075 |
7 |
Wintershall Dea Finance BV |
0.840% |
9/25/25 |
1,500 |
1,669 |
|
|
|
|
|
17,278 |
|
Italy (0.5%) |
|
|
|
|
|
4 |
Intesa Sanpaolo SPA |
4.000% |
9/23/29 |
925 |
980 |
1,7 |
UniCredit SPA |
4.875% |
2/20/29 |
1,400 |
1,686 |
|
|
|
|
|
2,666 |
|
Japan (0.3%) |
|
|
|
|
|
9 |
Toyota Finance Australia Ltd. |
2.500% |
12/7/20 |
2,075 |
1,366 |
Mexico (0.3%) |
|
|
|
|
|
|
America Movil SAB de CV |
3.625% |
4/22/29 |
250 |
277 |
4 |
Infraestructura Energetica Nova SAB de CV |
4.875% |
1/14/48 |
1,090 |
1,105 |
|
|
|
|
|
1,382 |
|
Netherlands (0.4%) |
|
|
|
|
|
7 |
ABN AMRO Bank NV |
2.500% |
11/29/23 |
1,025 |
1,237 |
8 |
Cooperatieve Rabobank UA |
4.625% |
5/23/29 |
200 |
309 |
|
Shell International Finance BV |
4.000% |
5/10/46 |
425 |
503 |
|
|
|
|
|
2,049 |
|
Norway (0.1%) |
|
|
|
|
|
4 |
Aker BP ASA |
3.750% |
1/15/30 |
700 |
705 |
|
|
|
|
|
|
|
South Korea (0.0%) |
|
|
|
|
|
4 |
SK Telecom Co. Ltd. |
3.750% |
4/16/23 |
200 |
211 |
|
|
|
|
|
|
|
Spain (1.9%) |
|
|
|
|
|
7 |
Banco de Sabadell SA |
1.750% |
5/10/24 |
1,700 |
1,908 |
7 |
Banco de Sabadell SA |
1.625% |
3/7/24 |
1,200 |
1,379 |
7 |
CaixaBank SA |
1.750% |
10/24/23 |
1,700 |
1,953 |
7 |
Iberdrola International BV |
2.875% |
11/11/20 |
1,800 |
2,029 |
7 |
Telefonica Emisiones SAU |
2.242% |
5/27/22 |
800 |
930 |
|
Telefonica Emisiones SAU |
4.665% |
3/6/38 |
1,070 |
1,245 |
|
|
|
|
|
9,444 |
|
Switzerland (0.6%) |
|
|
|
|
|
1,7 |
Credit Suisse Group AG |
1.250% |
7/17/25 |
600 |
683 |
1,4 |
Credit Suisse Group AG |
2.593% |
9/11/25 |
410 |
417 |
4 |
Roche Holdings Inc. |
2.625% |
5/15/26 |
850 |
902 |
1,4 |
UBS Group AG |
3.126% |
8/13/30 |
885 |
936 |
|
|
|
|
|
2,938 |
|
United Kingdom (4.1%) |
|
|
|
|
|
|
AstraZeneca plc |
4.000% |
1/17/29 |
720 |
826 |
1 |
Barclays plc |
3.932% |
5/7/25 |
785 |
835 |
|
BAT Capital Corp. |
3.222% |
8/15/24 |
675 |
708 |
|
BAT Capital Corp. |
3.557% |
8/15/27 |
825 |
869 |
5 |
BP Capital Markets plc |
3.470% |
5/15/25 |
1,325 |
1,053 |
8 |
British Telecommunications plc |
3.125% |
11/21/31 |
1,475 |
2,036 |
4 |
CK Hutchison International 17 II Ltd. |
2.750% |
3/29/23 |
975 |
1,007 |
8 |
CPUK Finance Ltd. |
3.588% |
8/28/25 |
1,200 |
1,671 |
7 |
FCE Bank plc |
0.869% |
9/13/21 |
500 |
555 |
1,8 |
HSBC Holdings plc |
2.256% |
11/13/26 |
1,500 |
1,960 |
7
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
6 |
HSBC Holdings plc, 3M USD LIBOR + 1.000% |
2.692% |
5/18/24 |
255 |
258 |
7 |
Imperial Brands Finance plc |
2.250% |
2/26/21 |
2,525 |
2,834 |
4 |
Sky plc |
3.125% |
11/26/22 |
825 |
862 |
1,4 |
Standard Chartered plc |
2.744% |
9/10/22 |
905 |
915 |
|
Trinity Acquisition plc |
4.400% |
3/15/26 |
888 |
1,000 |
|
Vodafone Group plc |
4.375% |
5/30/28 |
2,600 |
2,988 |
|
|
|
|
|
20,377 |
|
United States (24.2%) |
|
|
|
|
|
|
AbbVie Inc. |
4.450% |
5/14/46 |
370 |
424 |
4 |
AbbVie Inc. |
4.050% |
11/21/39 |
210 |
231 |
|
Alabama Power Co. |
4.300% |
7/15/48 |
275 |
339 |
|
Allergan Funding SCS |
4.750% |
3/15/45 |
275 |
331 |
|
Allergan Funding SCS |
3.800% |
3/15/25 |
550 |
599 |
7 |
Altria Group Inc. |
2.200% |
6/15/27 |
385 |
460 |
|
Amazon.com Inc. |
4.800% |
12/5/34 |
150 |
199 |
7 |
American International Group Inc. |
1.500% |
6/8/23 |
875 |
1,005 |
|
American International Group Inc. |
4.250% |
3/15/29 |
650 |
744 |
|
American Tower Corp. |
4.400% |
2/15/26 |
325 |
366 |
|
American Tower Corp. |
5.000% |
2/15/24 |
200 |
224 |
|
Amgen Inc. |
4.663% |
6/15/51 |
350 |
437 |
|
Anthem Inc. |
4.101% |
3/1/28 |
665 |
743 |
|
Anthem Inc. |
3.500% |
8/15/24 |
325 |
349 |
|
Anthem Inc. |
4.375% |
12/1/47 |
290 |
331 |
|
Apple Inc. |
2.750% |
1/13/25 |
645 |
680 |
|
AT&T Inc. |
4.125% |
2/17/26 |
700 |
778 |
7 |
AT&T Inc. |
2.450% |
3/15/35 |
380 |
470 |
7 |
AT&T Inc. |
1.875% |
12/4/20 |
2,425 |
2,705 |
|
AT&T Inc. |
3.600% |
7/15/25 |
950 |
1,027 |
|
AT&T Inc. |
4.900% |
8/15/37 |
200 |
239 |
7 |
AT&T Inc. |
3.150% |
9/4/36 |
250 |
334 |
|
AutoZone Inc. |
3.125% |
4/21/26 |
425 |
451 |
1 |
Bank of America Corp. |
3.593% |
7/21/28 |
1,550 |
1,687 |
|
Bank of America Corp. |
3.300% |
1/11/23 |
700 |
735 |
1 |
Bank of America Corp. |
4.271% |
7/23/29 |
1,460 |
1,677 |
4 |
Bayer US Finance LLC |
3.375% |
10/8/24 |
765 |
817 |
|
Boeing Co. |
3.250% |
3/1/28 |
617 |
667 |
|
Boeing Co. |
3.450% |
11/1/28 |
175 |
190 |
|
Boeing Co. |
3.200% |
3/1/29 |
300 |
321 |
|
Boeing Co. |
2.950% |
2/1/30 |
128 |
134 |
|
Boeing Co. |
3.375% |
6/15/46 |
175 |
179 |
4 |
Boston Gas Co. |
3.001% |
8/1/29 |
105 |
113 |
|
Boston Scientific Corp. |
4.000% |
3/1/29 |
55 |
63 |
|
Boston Scientific Corp. |
4.550% |
3/1/39 |
550 |
681 |
|
Brandywine Operating Partnership LP |
3.950% |
11/15/27 |
800 |
873 |
|
Broadcom Corp. / Broadcom Cayman Finance Ltd. |
3.625% |
1/15/24 |
850 |
890 |
|
Broadcom Corp. / Broadcom Cayman Finance Ltd. |
3.875% |
1/15/27 |
665 |
698 |
4 |
Broadcom Inc. |
4.250% |
4/15/26 |
60 |
65 |
4 |
Brooklyn Union Gas Co. |
4.273% |
3/15/48 |
760 |
931 |
7 |
Capital One Financial Corp. |
1.650% |
6/12/29 |
1,425 |
1,664 |
4 |
Cargill Inc. |
4.760% |
11/23/45 |
275 |
373 |
4 |
Carrier Global Corp. |
2.722% |
2/15/30 |
130 |
132 |
8
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
|
Charter Communications Operating LLC / Charter Communications Operating Capital |
6.384% |
10/23/35 |
305 |
402 |
7 |
Chubb INA Holdings Inc. |
1.400% |
6/15/31 |
1,125 |
1,319 |
7 |
Chubb INA Holdings Inc. |
0.875% |
6/15/27 |
1,010 |
1,149 |
|
Cigna Corp. |
4.375% |
10/15/28 |
435 |
494 |
|
Cimarex Energy Co. |
4.375% |
6/1/24 |
859 |
906 |
1 |
Citigroup Inc. |
3.520% |
10/27/28 |
1,930 |
2,087 |
8 |
Citigroup Inc. |
1.750% |
10/23/26 |
375 |
484 |
4 |
Cleco Corporate Holdings LLC |
3.375% |
9/15/29 |
270 |
282 |
|
Cleco Corporate Holdings LLC |
4.973% |
5/1/46 |
395 |
477 |
|
Cleco Corporate Holdings LLC |
3.743% |
5/1/26 |
1,140 |
1,217 |
|
Comcast Corp. |
4.600% |
10/15/38 |
265 |
333 |
|
Comcast Corp. |
3.950% |
10/15/25 |
255 |
286 |
|
Comcast Corp. |
4.000% |
3/1/48 |
20 |
24 |
|
Comcast Corp. |
4.049% |
11/1/52 |
10 |
12 |
|
Comcast Corp. |
3.999% |
11/1/49 |
60 |
71 |
|
Comcast Corp. |
6.500% |
11/15/35 |
775 |
1,169 |
8 |
Comcast Corp. |
1.500% |
2/20/29 |
465 |
595 |
|
CommonSpirit Health |
3.347% |
10/1/29 |
145 |
154 |
|
CommonSpirit Health |
4.187% |
10/1/49 |
175 |
192 |
|
CommonSpirit Health |
4.200% |
8/1/23 |
895 |
968 |
|
Conagra Brands Inc. |
4.600% |
11/1/25 |
200 |
224 |
|
Conagra Brands Inc. |
5.300% |
11/1/38 |
345 |
420 |
|
Conagra Brands Inc. |
5.400% |
11/1/48 |
20 |
25 |
|
Cottage Health Obligated Group |
3.304% |
11/1/49 |
215 |
232 |
4 |
Cox Communications Inc. |
4.600% |
8/15/47 |
650 |
760 |
|
CSX Corp. |
4.300% |
3/1/48 |
405 |
487 |
|
CVS Health Corp. |
4.100% |
3/25/25 |
1,370 |
1,497 |
|
CVS Health Corp. |
2.875% |
6/1/26 |
1,000 |
1,038 |
|
Dignity Health |
4.500% |
11/1/42 |
202 |
237 |
|
Dignity Health |
3.812% |
11/1/24 |
659 |
713 |
|
Discover Bank |
4.200% |
8/8/23 |
700 |
751 |
|
Dominion Energy Gas Holdings LLC |
4.600% |
12/15/44 |
625 |
739 |
|
Dominion Energy Inc. |
2.715% |
8/15/21 |
125 |
127 |
|
Dominion Energy South Carolina Inc. |
4.600% |
6/15/43 |
280 |
363 |
|
Dominion Energy South Carolina Inc. |
6.625% |
2/1/32 |
156 |
227 |
|
Dominion Energy South Carolina Inc. |
5.450% |
2/1/41 |
250 |
345 |
|
Dominion Energy South Carolina Inc. |
5.300% |
5/15/33 |
129 |
173 |
|
Duke Energy Progress LLC |
4.200% |
8/15/45 |
350 |
430 |
|
Duke Energy Progress LLC |
4.100% |
3/15/43 |
725 |
854 |
|
Energy Transfer Operating LP |
4.900% |
3/15/35 |
975 |
1,053 |
|
Energy Transfer Operating LP |
5.000% |
5/15/50 |
60 |
60 |
|
Enterprise Products Operating LLC |
3.700% |
1/31/51 |
100 |
99 |
|
Enterprise Products Operating LLC |
3.950% |
1/31/60 |
65 |
64 |
|
EQM Midstream Partners LP |
4.750% |
7/15/23 |
554 |
510 |
4 |
ERAC USA Finance LLC |
4.500% |
2/15/45 |
575 |
689 |
|
Evergy Inc. |
2.900% |
9/15/29 |
480 |
494 |
|
Exxon Mobil Corp. |
2.275% |
8/16/26 |
865 |
897 |
|
FedEx Corp. |
4.100% |
2/1/45 |
65 |
67 |
|
FedEx Corp. |
4.750% |
11/15/45 |
187 |
208 |
|
FedEx Corp. |
4.550% |
4/1/46 |
95 |
104 |
|
FedEx Corp. |
4.050% |
2/15/48 |
28 |
28 |
|
FedEx Corp. |
4.950% |
10/17/48 |
175 |
200 |
7 |
Fidelity National Information Services Inc. |
2.000% |
5/21/30 |
645 |
788 |
9
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
7 |
Fidelity National Information Services Inc. |
1.500% |
5/21/27 |
1,405 |
1,646 |
|
FirstEnergy Corp. |
3.900% |
7/15/27 |
825 |
912 |
|
Fiserv Inc. |
3.200% |
7/1/26 |
320 |
340 |
|
Ford Motor Credit Co. LLC |
3.815% |
11/2/27 |
650 |
618 |
8 |
Ford Motor Credit Co. LLC |
4.535% |
3/6/25 |
2,125 |
2,886 |
4 |
Fox Corp. |
4.030% |
1/25/24 |
145 |
157 |
|
General Motors Co. |
5.000% |
10/1/28 |
1,095 |
1,198 |
|
General Motors Co. |
4.200% |
10/1/27 |
550 |
580 |
|
General Motors Financial Co. Inc. |
3.450% |
4/10/22 |
1,535 |
1,574 |
|
Georgia Power Co. |
4.300% |
3/15/42 |
940 |
1,099 |
|
Georgia Power Co. |
3.700% |
1/30/50 |
35 |
39 |
1 |
Goldman Sachs Group Inc. |
4.223% |
5/1/29 |
635 |
720 |
1 |
Goldman Sachs Group Inc. |
3.272% |
9/29/25 |
1,425 |
1,503 |
1 |
Goldman Sachs Group Inc. |
3.814% |
4/23/29 |
235 |
258 |
|
HCA Inc. |
5.250% |
6/15/49 |
300 |
350 |
|
Healthpeak Properties Inc. |
4.000% |
6/1/25 |
475 |
521 |
|
Healthpeak Properties Inc. |
3.000% |
1/15/30 |
315 |
330 |
|
Hess Corp. |
7.300% |
8/15/31 |
515 |
686 |
|
International Business Machines Corp. |
3.300% |
5/15/26 |
500 |
543 |
|
International Paper Co. |
4.350% |
8/15/48 |
475 |
525 |
|
John Deere Capital Corp. |
3.450% |
3/13/25 |
830 |
904 |
7 |
JPMorgan Chase & Co. |
3.875% |
9/23/20 |
1,400 |
1,581 |
1 |
JPMorgan Chase & Co. |
3.964% |
11/15/48 |
850 |
1,018 |
1 |
JPMorgan Chase & Co. |
3.782% |
2/1/28 |
1,200 |
1,328 |
|
Kaiser Foundation Hospitals |
4.875% |
4/1/42 |
55 |
75 |
4 |
KeySpan Gas East Corp. |
2.742% |
8/15/26 |
500 |
518 |
|
Lockheed Martin Corp. |
4.090% |
9/15/52 |
118 |
150 |
|
Lowe’s Cos. Inc. |
4.550% |
4/5/49 |
440 |
537 |
|
Marsh & McLennan Cos. Inc. |
4.375% |
3/15/29 |
705 |
819 |
|
McDonald’s Corp. |
4.450% |
9/1/48 |
250 |
308 |
7 |
Medtronic Global Holdings SCA |
1.125% |
3/7/27 |
1,275 |
1,490 |
7 |
Medtronic Global Holdings SCA |
1.625% |
3/7/31 |
760 |
934 |
|
Merck & Co. Inc. |
4.000% |
3/7/49 |
330 |
412 |
|
Merck & Co. Inc. |
3.400% |
3/7/29 |
500 |
559 |
|
Mercy Health |
3.555% |
8/1/27 |
535 |
582 |
4 |
Metropolitan Life Global Funding I |
3.000% |
9/19/27 |
700 |
753 |
|
Microsoft Corp. |
3.700% |
8/8/46 |
650 |
789 |
|
Molson Coors Beverage Co. |
3.000% |
7/15/26 |
425 |
441 |
5 |
Molson Coors International LP |
2.840% |
7/15/23 |
1,825 |
1,385 |
1 |
Morgan Stanley |
3.772% |
1/24/29 |
550 |
610 |
|
Morgan Stanley |
3.125% |
7/27/26 |
2,100 |
2,229 |
4 |
MPLX LP |
3.500% |
12/1/22 |
1,325 |
1,378 |
|
MPLX LP |
4.125% |
3/1/27 |
805 |
863 |
|
MPLX LP |
4.000% |
3/15/28 |
200 |
211 |
|
National Retail Properties Inc. |
3.900% |
6/15/24 |
400 |
434 |
|
NextEra Energy Capital Holdings Inc. |
3.250% |
4/1/26 |
90 |
96 |
|
NextEra Energy Capital Holdings Inc. |
3.500% |
4/1/29 |
140 |
153 |
|
NextEra Energy Capital Holdings Inc. |
2.750% |
11/1/29 |
255 |
267 |
4 |
Northwestern Mutual Life Insurance Co. |
3.850% |
9/30/47 |
280 |
328 |
4 |
Northwestern Mutual Life Insurance Co. |
3.625% |
9/30/59 |
12 |
13 |
|
Occidental Petroleum Corp. |
7.500% |
5/1/31 |
135 |
176 |
|
Oglethorpe Power Corp. |
4.550% |
6/1/44 |
20 |
22 |
|
Oglethorpe Power Corp. |
4.250% |
4/1/46 |
81 |
85 |
|
Oglethorpe Power Corp. |
5.250% |
9/1/50 |
250 |
311 |
10
Global Wellesley Income Fund
| Face | Market | ||||
| Maturity | Amount | Value● | |||
| Coupon | Date | ($000) | ($000) | ||
| 1,4 | Oglethorpe Power Corp. | 6.191% | 1/1/31 | 285 | 345 |
| Oracle Corp. | 4.000% | 11/15/47 | 265 | 321 | |
| 4 | Otis Worldwide Corp. | 3.112% | 2/15/40 | 205 | 210 |
| 4 | Otis Worldwide Corp. | 3.362% | 2/15/50 | 250 | 259 |
| 4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 4.250% | 1/17/23 | 1,125 | 1,207 |
| 4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 3.950% | 3/10/25 | 740 | 809 |
| 4 | Penske Truck Leasing Co. LP / PTL Finance Corp. | 2.700% | 11/1/24 | 180 | 187 |
| 7 | Philip Morris International Inc. | 2.875% | 3/3/26 | 500 | 631 |
| Phillips 66 Partners LP | 3.750% | 3/1/28 | 400 | 430 | |
| PNC Bank NA | 3.250% | 1/22/28 | 600 | 665 | |
| PPL Capital Funding Inc. | 3.100% | 5/15/26 | 1,125 | 1,193 | |
| 1 | Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 245 | 300 |
| Santander Holdings USA Inc. | 3.700% | 3/28/22 | 1,700 | 1,760 | |
| 4 | SBA Tower Trust | 3.448% | 3/15/23 | 755 | 796 |
| 4 | SBA Tower Trust | 2.877% | 7/9/21 | 885 | 894 |
| Sempra Energy | 3.250% | 6/15/27 | 1,000 | 1,066 | |
| Sierra Pacific Power Co. | 2.600% | 5/1/26 | 180 | 188 | |
| Simon Property Group LP | 2.450% | 9/13/29 | 310 | 316 | |
| Southern California Edison Co. | 3.700% | 8/1/25 | 30 | 33 | |
| Southern California Edison Co. | 4.125% | 3/1/48 | 475 | 542 | |
| 1,4 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | 4.738% | 3/20/25 | 1,100 | 1,179 |
| SSM Health Care Corp. | 3.823% | 6/1/27 | 380 | 422 | |
| Starbucks Corp. | 4.500% | 11/15/48 | 335 | 401 | |
| Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 175 | 195 | |
| Synchrony Bank | 3.000% | 6/15/22 | 550 | 565 | |
| 4 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 635 | 838 |
| 4 | Tennessee Gas Pipeline Co. LLC | 2.900% | 3/1/30 | 1,095 | 1,100 |
| Toledo Hospital | 5.325% | 11/15/28 | 410 | 478 | |
| Toledo Hospital | 5.750% | 11/15/38 | 155 | 195 | |
| Truist Bank | 3.300% | 5/15/26 | 975 | 1,048 | |
| Tyson Foods Inc. | 5.100% | 9/28/48 | 200 | 261 | |
| Union Pacific Corp. | 3.700% | 3/1/29 | 190 | 214 | |
| Union Pacific Corp. | 4.300% | 3/1/49 | 120 | 145 | |
| Union Pacific Corp. | 3.750% | 2/5/70 | 265 | 278 | |
| 1 | United Airlines 2018-1 Class B Pass Through Trust | 4.600% | 3/1/26 | 69 | 73 |
| United Technologies Corp. | 3.950% | 8/16/25 | 310 | 347 | |
| 7 | United Technologies Corp. | 1.150% | 5/18/24 | 395 | 454 |
| United Technologies Corp. | 4.450% | 11/16/38 | 550 | 680 | |
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 90 | 113 | |
| UnitedHealth Group Inc. | 3.850% | 6/15/28 | 415 | 469 | |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 675 | 870 | |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 250 | 350 | |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 144 | 193 | |
| 8 | Verizon Communications Inc. | 3.375% | 10/27/36 | 300 | 448 |
| Walt Disney Co. | 6.200% | 12/15/34 | 650 | 958 | |
| Wells Fargo & Co. | 4.750% | 12/7/46 | 700 | 883 | |
| Wells Fargo & Co. | 4.300% | 7/22/27 | 325 | 365 | |
| 5 | Wells Fargo & Co. | 2.975% | 5/19/26 | 600 | 464 |
11
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
|
Welltower Inc. |
4.000% |
6/1/25 |
325 |
357 |
|
Western Midstream Operating LP |
4.050% |
2/1/30 |
935 |
919 |
|
|
|
|
|
119,538 |
|
Total Corporate Bonds (Cost $198,500) |
|
|
|
207,225 |
|
|
Sovereign Bonds (6.7%) |
|
|
|
|
|
|
Australia (0.3%) |
|
|
|
|
|
9 |
Commonwealth of Australia |
2.250% |
11/21/22 |
1,185 |
809 |
9 |
Commonwealth of Australia |
2.750% |
11/21/27 |
160 |
120 |
9 |
Commonwealth of Australia |
2.250% |
5/21/28 |
870 |
635 |
|
|
|
|
|
1,564 |
|
Canada (0.7%) |
|
|
|
|
|
5 |
City of Montreal |
3.500% |
12/1/38 |
910 |
792 |
5 |
City of Toronto |
3.200% |
8/1/48 |
1,000 |
878 |
5 |
Province of Ontario |
2.900% |
6/2/28 |
815 |
656 |
10 |
Province of Ontario |
0.250% |
6/28/29 |
1,075 |
1,193 |
|
|
|
|
|
3,519 |
|
Chile (0.2%) |
|
|
|
|
|
|
Corp. Nacional del Cobre de Chile |
3.625% |
8/1/27 |
800 |
864 |
|
China (0.4%) |
|
|
|
|
|
| 4 |
Sinopec Group Overseas Development 2018 Ltd. |
2.950% |
11/12/29 |
845 |
886 |
4 |
State Grid Overseas Investment 2016 Ltd. |
2.750% |
5/4/22 |
1,110 |
1,135 |
|
|
|
|
|
2,021 |
|
Colombia (0.2%) |
|
|
|
|
|
|
Republic of Colombia |
4.000% |
2/26/24 |
1,045 |
1,108 |
|
Japan (1.5%) |
|
|
|
|
|
11 |
Japan |
0.100% |
12/20/28 |
699,850 |
6,677 |
11 |
Japan |
0.100% |
3/20/29 |
42,600 |
406 |
11 |
Japan |
0.100% |
6/20/29 |
12,000 |
115 |
|
|
|
|
|
7,198 |
|
Panama (0.3%) |
|
|
|
|
|
1,4 |
Empresa de Transmision Electrica SA |
5.125% |
5/2/49 |
415 |
493 |
1 |
Republic of Panama |
3.160% |
1/23/30 |
825 |
870 |
|
|
|
|
|
1,363 |
|
Qatar (0.4%) |
|
|
|
|
|
4 |
State of Qatar |
3.875% |
4/23/23 |
785 |
832 |
4 |
State of Qatar |
4.000% |
3/14/29 |
595 |
675 |
4 |
State of Qatar |
5.103% |
4/23/48 |
285 |
380 |
|
|
|
|
|
1,887 |
|
Saudi Arabia (0.5%) |
|
|
|
|
|
4 |
Kingdom of Saudi Arabia |
2.875% |
3/4/23 |
1,555 |
1,594 |
4 |
Saudi Arabian Oil Co. |
3.500% |
4/16/29 |
785 |
832 |
|
|
|
|
|
2,426 |
|
Singapore (0.1%) |
|
|
|
|
|
4 |
Temasek Financial I Ltd. |
3.625% |
8/1/28 |
530 |
612 |
12
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
|
Spain (0.2%) |
|
|
|
|
|
4,7 |
Kingdom of Spain |
0.600% |
10/31/29 |
775 |
885 |
|
Supranational (0.4%) |
|
|
|
|
|
7 |
European Financial Stability Facility |
1.375% |
5/31/47 |
900 |
1,309 |
7 |
European Investment Bank |
0.050% |
10/13/34 |
775 |
872 |
|
|
|
|
|
2,181 |
|
Switzerland (0.1%) |
|
|
|
|
|
4 |
Syngenta Finance NV |
5.182% |
4/24/28 |
400 |
451 |
|
United Arab Emirates (0.3%) |
|
|
|
|
|
|
Emirate of Abu Dhabi |
3.125% |
10/11/27 |
1,435 |
1,539 |
|
United Kingdom (1.1%) |
|
|
|
|
|
8 |
United Kingdom |
1.500% |
1/22/21 |
955 |
1,235 |
8 |
United Kingdom |
0.500% |
7/22/22 |
775 |
998 |
8 |
United Kingdom |
1.250% |
7/22/27 |
445 |
611 |
8 |
United Kingdom |
3.500% |
1/22/45 |
1,200 |
2,416 |
|
|
|
|
|
5,260 |
|
Total Sovereign Bonds (Cost $31,438) |
|
|
|
32,878 |
|
|
Taxable Municipal Bonds (1.7%) |
|
|
|
|
|
|
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) |
2.574% |
4/1/31 |
190 |
201 |
|
California GO |
7.550% |
4/1/39 |
260 |
446 |
|
California GO |
7.625% |
3/1/40 |
25 |
43 |
|
Chicago IL Transit Authority Sales Tax Receipts Revenue |
6.899% |
12/1/40 |
40 |
58 |
|
Chicago IL Transit Authority Transfer Tax Receipts Revenue |
6.899% |
12/1/40 |
645 |
944 |
|
Chicago IL Transit Authority |
6.300% |
12/1/21 |
45 |
47 |
|
County of Broward FL Airport System Revenue |
3.477% |
10/1/43 |
80 |
86 |
|
Foothill-Eastern CA Transportation Corridor Agency |
4.094% |
1/15/49 |
45 |
49 |
| 12 |
Foothill-Eastern CA Transportation Corridor Agency |
3.924% |
1/15/53 |
315 |
339 |
|
Georgia Municipal Electric Power Authority Revenue |
6.637% |
4/1/57 |
665 |
1,002 |
|
Georgia Municipal Electric Power Authority Revenue |
6.655% |
4/1/57 |
100 |
154 |
|
Grand Parkway Transportation Corp |
3.236% |
10/1/52 |
210 |
214 |
|
Illinois GO |
5.100% |
6/1/33 |
515 |
603 |
12 |
Kansas Development Finance Authority |
5.371% |
5/1/26 |
860 |
967 |
|
Massachusetts School Building Authority Dedicated Sales Tax Revenue |
3.395% |
10/15/40 |
135 |
144 |
|
New York Metropolitan Transportation Authority Revenue (Transit Revenue) |
6.668% |
11/15/39 |
155 |
239 |
|
New York State Dormitory Authority Revenue (Personal Income Tax) |
3.110% |
2/15/39 |
210 |
237 |
|
North Texas Tollway Authority System Revenue |
6.718% |
1/1/49 |
75 |
135 |
13
Global Wellesley Income Fund
|
|
|
|
|
||
|
|
|
|
Face |
Market |
|
|
|
Maturity |
Amount |
Value● |
|
|
Coupon |
Date |
($000) |
($000) |
| 13 |
Philadelphia PA Authority for Industrial Development |
6.550% |
10/15/28 |
525 |
702 |
|
Sales Tax Securitization Corp. Illinois Revenue |
4.787% |
1/1/48 |
545 |
732 |
|
South Carolina Public Service Authority Revenue |
2.388% |
12/1/23 |
770 |
793 |
|
State of Connecticut |
5.770% |
3/15/25 |
250 |
304 |
|
Total Taxable Municipal Bonds (Cost $7,447) |
|
|
|
8,439 |
|
|
|
|
|
Shares |
|
|
Common Stocks (35.0%) |
|
|
|
|
|
|
Canada (3.4%) |
|
|
|
|
|
|
TC Energy Corp. |
|
|
94,990 |
4,951 |
|
Bank of Nova Scotia |
|
|
94,349 |
4,936 |
^ |
Enbridge Inc. |
|
|
98,023 |
3,648 |
|
Royal Bank of Canada |
|
|
45,874 |
3,412 |
|
|
|
|
|
16,947 |
|
China (0.8%) |
|
|
|
|
|
|
ENN Energy Holdings Ltd. |
|
|
184,100 |
2,077 |
|
Guangdong Investment Ltd. |
|
|
1,074,000 |
2,039 |
|
|
|
|
|
4,116 |
|
France (3.5%) |
|
|
|
|
|
|
Axa SA |
|
|
206,414 |
4,798 |
|
Vinci SA |
|
|
44,445 |
4,491 |
|
Total SA |
|
|
98,927 |
4,276 |
|
Nexity SA |
|
|
85,524 |
3,957 |
|
|
|
|
|
17,522 |
|
Germany (1.4%) |
|
|
|
|
|
|
E.On Se |
|
|
354,414 |
4,117 |
|
Volkswagen AG Preference Shares |
|
|
18,153 |
3,014 |
|
|
|
|
|
7,131 |
|
Greece (0.5%) |
|
|
|
|
|
|
Hellenic Telecommunications Organization SA |
|
|
188,306 |
2,679 |
|
Hong Kong (0.6%) |
|
|
|
|
|
|
AIA Group Ltd. |
|
|
275,600 |
2,762 |
|
Japan (2.5%) |
|
|
|
|
|
|
Mitsubishi UFJ Financial Group Inc. |
|
|
853,400 |
4,170 |
|
Tokio Marine Holdings Inc. |
|
|
58,800 |
3,142 |
|
KDDI Corp. |
|
|
102,700 |
2,901 |
|
Isuzu Motors Ltd. |
|
|
223,900 |
2,095 |
|
|
|
|
|
12,308 |
|
Netherlands (1.8%) |
|
|
|
|
|
4 |
ABN AMRO Bank NV |
|
|
256,119 |
3,513 |
|
Koninklijke KPN NV |
|
|
1,256,847 |
3,048 |
|
Koninklijke Philips NV |
|
|
50,341 |
2,156 |
|
|
|
|
|
8,717 |
|
Portugal (0.6%) |
|
|
|
|
|
|
Galp Energia SGPS SA |
|
|
224,000 |
3,090 |
14
Global Wellesley Income Fund
|
|
||
|
|
Market |
|
|
|
Value● |
|
|
Shares |
($000) |
|
Spain (0.5%) |
|
|
|
| * |
Iberdrola SA |
198,683 |
2,275 |
Sweden (0.7%) |
|
|
|
|
Millicom International Cellular SA |
75,701 |
3,497 |
|
Switzerland (2.0%) |
|
|
|
|
UBS Group AG |
359,308 |
3,957 |
|
|
Novartis AG |
45,525 |
3,830 |
|
|
Nestle SA |
20,518 |
2,111 |
|
|
|
|
9,898 |
|
Taiwan (1.0%) |
|
|
|
|
Taiwan Semiconductor Manufacturing Co. Ltd. |
502,000 |
5,175 |
|
United Kingdom (2.0%) |
|
|
|
|
AstraZeneca plc |
39,578 |
3,474 |
|
|
Standard Chartered plc |
449,292 |
3,251 |
|
|
National Grid plc |
243,209 |
3,066 |
|
|
|
|
9,791 |
|
United States (13.5%) |
|
|
|
|
Philip Morris International Inc. |
65,463 |
5,359 |
|
|
Bank of America Corp. |
161,473 |
4,602 |
|
|
Progressive Corp. |
60,114 |
4,398 |
|
|
Verizon Communications Inc. |
80,366 |
4,353 |
|
|
Cisco Systems Inc. |
101,137 |
4,038 |
|
|
Comcast Corp. |
98,948 |
4,001 |
|
|
Pfizer Inc. |
116,184 |
3,883 |
|
|
Edison International |
46,914 |
3,152 |
|
|
Microsoft Corp. |
19,080 |
3,091 |
|
|
Home Depot Inc. |
14,067 |
3,064 |
|
|
Baxter International Inc. |
35,213 |
2,939 |
|
|
Anthem Inc. |
10,738 |
2,761 |
|
|
FMC Corp. |
29,482 |
2,745 |
|
|
Kellogg Co. |
44,657 |
2,700 |
|
|
Emerson Electric Co. |
39,237 |
2,516 |
|
|
Merck & Co. Inc. |
32,644 |
2,499 |
|
|
Boeing Co. |
8,834 |
2,430 |
|
|
Lockheed Martin Corp. |
6,491 |
2,401 |
|
|
Expedia Group Inc. |
21,671 |
2,137 |
|
|
TJX Cos. Inc. |
34,915 |
2,088 |
|
|
Accenture plc Class A |
9,723 |
1,756 |
|
|
|
|
66,913 |
|
Total Common Stocks (Cost $174,651) |
|
172,821 |
|
15
Global Wellesley Income Fund
|
|
|
|
|
|
|
|
Market |
|
|
|
Value● |
|
Coupon |
Shares |
($000) |
|
Temporary Cash Investment (6.0%) |
|
|
|
|
Money Market Fund (6.0%) |
|
|
|
|
14,15 Vanguard Market Liquidity Fund (Cost $29,554) |
1.706% |
295,509 |
29,560 |
|
Total Investments (101.9%) (Cost $492,521) |
|
|
503,488 |
|
Other Assets and Liabilities—Net (-1.9%) |
|
|
(9,601) |
|
Net Assets (100%) |
|
|
493,887 |
Cost rounded to $000.
|
● |
See Note A in Notes to Financial Statements. |
| ¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 29, 2020. |
|
^ |
Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,253,000. |
|
* |
Non-income-producing security. |
1 |
The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
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 |
Securities with a value of $429,000 have been segregated as initial margin for open futures contracts. |
4 |
Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $57,750,000, representing 11.7% of net assets. |
5 |
Face amount denominated in Canadian dollars. |
6 |
Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
7 |
Face amount denominated in euro. |
8 |
Face amount denominated in British pounds. |
9 |
Face amount denominated in Australian dollars. |
10 |
Face amount denominated in Swiss francs. |
11 |
Face amount denominated in Japanese yen. |
12 |
Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
13 |
Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
14 |
Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
15 |
Collateral of $3,496,000 was received for securities on loan. |
GO—General Obligation Bond.
LIBOR—London Interbank Offered Rate.
REIT—Real Estate Investment Trust.
REMICS—Real Estate Mortgage Investment Conduits.
TBA—To Be Announced.
UMBS—Uniform Mortgage-Backed Securities.
16
Global Wellesley Income Fund
|
Derivative Financial Instruments Outstanding as of Period End |
||||
|
|
||||
|
Futures Contracts |
||||
|
|
|
|
($000) |
|
|
|
|
Value and |
|
|
Number of |
|
Unrealized |
|
|
Long (Short) |
Notional |
Appreciation |
|
Expiration |
Contracts |
Amount |
(Depreciation) |
|
Long Futures Contracts |
|
|
|
|
|
Euro-Bund |
March 2020 |
24 |
4,702 |
72 |
|
Euro-Buxl |
March 2020 |
12 |
2,912 |
216 |
|
Euro-Schatz |
March 2020 |
22 |
2,728 |
9 |
|
Euro-OAT |
March 2020 |
10 |
1,862 |
53 |
|
Euro-BTP |
March 2020 |
10 |
1,609 |
25 |
|
Ultra Long U.S. Treasury Bond |
June 2020 |
1 |
208 |
9 |
|
|
|
|
|
384 |
|
|
|
|
|
|
|
Short Futures Contracts |
|
|
|
|
|
10-Year U.S. Treasury Note |
June 2020 |
(46) |
(6,198) |
(97) |
|
Long Gilt |
June 2020 |
(12) |
(2,083) |
(19) |
|
10-Year Canadian Government Bond |
June 2020 |
(8) |
(851) |
(12) |
|
Euro-Bobl |
March 2020 |
(5) |
(749) |
(5) |
|
|
|
|
|
(133) |
|
|
|
|
|
251 |
|
Forward Currency Contracts |
|
|
|
|
|
|
|
|
Contract |
|
|
|
|
Unrealized |
Unrealized |
Settlement |
|
Contract Amount (000) |
Appreciation | (Depreciation) |
|||
Counterparty |
Date |
|
Receive |
|
Deliver |
($000) |
($000) |
|
J.P. Morgan Securities LLC |
3/31/20 |
USD |
64,251 |
EUR |
59,080 |
— |
(1,099) |
|
Goldman Sachs International |
3/31/20 |
USD |
18,566 |
GBP |
14,319 |
190 |
— |
|
J.P. Morgan Securities LLC |
3/31/20 |
USD |
8,844 |
CAD |
11,743 |
95 |
— |
|
J.P. Morgan Securities LLC |
3/31/20 |
USD |
6,924 |
JPY |
764,587 |
— |
(177) |
|
J.P. Morgan Securities LLC |
3/31/20 |
USD |
2,845 |
AUD |
4,307 |
37 |
— |
|
J.P. Morgan Securities LLC |
3/31/20 |
USD |
1,077 |
CHF |
1,052 |
— |
(16) |
|
|
|
|
|
|
|
322 |
(1,292) |
AUD—Australian dollar.
CAD—Canadian dollar.
CHF—Swiss franc.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
At February 29, 2020, the counterparties had deposited in segregated accounts securities with a value of $658,000 in connection with open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Global Wellesley Income Fund
Statement of Assets and Liabilities
As of February 29, 2020
($000s, except shares and per-share amounts) |
Amount |
|
Assets |
|
|
Investments in Securities, at Value |
|
|
Unaffiliated Issuers (Cost $462,967) |
473,928 |
|
Affiliated Issuers (Cost $29,554) |
29,560 |
|
Total Investments in Securities |
503,488 |
|
Investment in Vanguard |
22 |
|
Cash |
29 |
|
Foreign Currency, at Value (Cost $629) |
635 |
|
Receivables for Investment Securities Sold |
10,768 |
|
Receivables for Accrued Income |
2,920 |
|
Receivables for Capital Shares Issued |
909 |
|
Variation Margin Receivable—Futures Contracts |
4 |
|
Unrealized Appreciation—Forward Currency Contracts |
322 |
|
Total Assets |
519,097 |
|
Liabilities |
|
|
Payables for Investment Securities Purchased |
18,504 |
|
Collateral for Securities on Loan |
3,496 |
|
Payables for Capital Shares Redeemed |
1,649 |
|
Payables to Investment Advisor |
142 |
|
Payables to Vanguard |
48 |
|
Variation Margin Payable—Futures Contracts |
79 |
|
Unrealized Depreciation—Forward Currency Contracts |
1,292 |
|
Total Liabilities |
25,210 |
|
Net Assets |
493,887 |
|
At February 29, 2020, net assets consisted of: |
|
|
|
|
|
Paid-in Capital |
494,281 |
|
Total Distributable Earnings (Loss) |
(394) |
|
Net Assets |
493,887 |
|
|
|
Investor Shares—Net Assets |
|
Applicable to 4,386,976 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
88,523 |
Net Asset Value Per Share—Investor Shares |
$20.18 |
|
|
Admiral Shares—Net Assets |
|
Applicable to 16,067,526 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
405,364 |
Net Asset Value Per Share—Admiral Shares |
$25.23 |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Global Wellesley Income Fund
Statement of Operations
|
Six Months Ended |
|
February 29, 2020 |
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Dividends1 |
1,985 |
|
Interest2 |
3,770 |
|
Securities Lending—Net |
10 |
|
Total Income |
5,765 |
|
Expenses |
|
|
Investment Advisory Fees—Note B |
|
|
Basic Fee |
291 |
|
Performance Adjustment |
(21) |
|
The Vanguard Group—Note C |
|
|
Management and Administrative—Investor Shares |
119 |
|
Management and Administrative—Admiral Shares |
371 |
|
Marketing and Distribution—Investor Shares |
7 |
|
Marketing and Distribution—Admiral Shares |
15 |
|
Custodian Fees |
16 |
|
Shareholders’ Reports—Investor Shares |
2 |
|
Shareholders’ Reports—Admiral Shares |
4 |
|
Total Expenses |
804 |
|
Expenses Paid Indirectly |
(8) |
|
Net Expenses |
796 |
|
Net Investment Income |
4,969 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold2 |
1,686 |
|
Futures Contracts |
(99) |
|
Forward Currency Contracts |
2,242 |
|
Foreign Currencies |
(11) |
|
Realized Net Gain (Loss) |
3,818 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities2 |
(1,434) |
|
Futures Contracts |
(153) |
|
Forward Currency Contracts |
(1,657) |
|
Foreign Currencies |
25 |
|
Change in Unrealized Appreciation (Depreciation) |
(3,219) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
5,568 |
| 1 | Dividends are net of foreign withholding taxes of $205,000. |
| 2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $154,000, ($1,000), and $5,000, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Global Wellesley Income Fund
Statement of Changes in Net Assets
|
Six Months Ended |
Year Ended |
|
|
February 29, |
August 31, |
|
|
2020 |
2019 |
|
|
($000) |
($000) |
|
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income |
4,969 |
12,355 |
|
|
Realized Net Gain (Loss) |
3,818 |
(14,891) |
|
|
Change in Unrealized Appreciation (Depreciation) |
(3,219) |
25,885 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
5,568 |
23,349 |
|
|
Distributions1 |
|
|
|
|
Investor Shares |
(976) |
(3,267) |
|
|
Admiral Shares |
(4,619) |
(14,576) |
|
|
Total Distributions |
(5,595) |
(17,843) |
|
|
Capital Share Transactions |
|
|
|
|
Investor Shares |
3,485 |
(8,902) |
|
|
Admiral Shares |
26,015 |
(33,414) |
|
|
Net Increase (Decrease) from Capital Share Transactions |
29,500 |
(42,316) |
|
|
Total Increase (Decrease) |
29,473 |
(36,810) |
|
|
Net Assets |
|
|
|
|
Beginning of Period |
464,414 |
501,224 |
|
|
End of Period |
493,887 |
464,414 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Global Wellesley Income Fund
Financial Highlights
|
Investor Shares |
|
|
|
|
Six Months |
Year |
Oct. 18, |
|
Ended |
Ended |
20171 to |
|
February 29, |
Aug. 31, |
Aug. 31, |
For a Share Outstanding Throughout Each Period |
2020 |
2019 |
2018 |
|
Net Asset Value, Beginning of Period |
$20.16 |
$19.87 |
$20.00 |
|
Investment Operations |
|
|
|
|
Net Investment Income2 |
.201 |
.513 |
.443 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
.051 |
.529 |
(.269) |
|
Total from Investment Operations |
.252 |
1.042 |
.174 |
|
Distributions |
|
|
|
|
Dividends from Net Investment Income |
(.232) |
(.473) |
(.304) |
|
Distributions from Realized Capital Gains |
— |
(.279) |
— |
|
Total Distributions |
(.232) |
(.752) |
(.304) |
|
Net Asset Value, End of Period |
$20.18 |
$20.16 |
$19.87 |
|
Total Return3 |
1.24% |
5.50% |
0.88% |
|
Ratios/Supplemental Data |
|
|
|
|
Net Assets, End of Period (Millions) |
$89 |
$85 |
$93 |
|
Ratio of Total Expenses to Average Net Assets |
0.41%4 |
0.42%4 |
0.43%5,6 |
|
Ratio of Net Investment Income to Average Net Assets |
1.99% |
2.63% |
2.68%6 |
|
Portfolio Turnover Rate |
33%7 |
90% |
39% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 |
Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $20.00. |
2 |
Calculated based on average shares outstanding. |
3 |
Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 |
Includes performance-based investment advisory fee increases (decreases) of (0.01%) and (0.01%). |
5 |
The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.42%. |
6 |
Annualized. |
7 |
Includes 7% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
Global Wellesley Income Fund
Financial Highlights
|
Admiral Shares |
|
|
|
|
Six Months |
Year |
Oct. 18, |
|
Ended |
Ended |
20171 to |
|
February 29, |
Aug. 31, |
Aug. 31, |
For a Share Outstanding Throughout Each Period |
2020 |
2019 |
2018 |
|
Net Asset Value, Beginning of Period |
$25.20 |
$24.84 |
$25.00 |
|
Investment Operations |
|
|
|
|
Net Investment Income2 |
.265 |
.666 |
.577 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
.067 |
.658 |
(.341) |
|
Total from Investment Operations |
.332 |
1.324 |
.236 |
Distributions |
|
|
|
|
Dividends from Net Investment Income |
(.302) |
(.616) |
(.396) |
|
Distributions from Realized Capital Gains |
— |
(.348) |
— |
|
Total Distributions |
.(302) |
(.964) |
(.396) |
|
Net Asset Value, End of Period |
$25.23 |
$25.20 |
$24.84 |
|
Total Return3 |
1.31% |
5.60% |
0.96% |
|
Ratios/Supplemental Data |
|
|
|
|
Net Assets, End of Period (Millions) |
$405 |
$379 |
$408 |
|
Ratio of Total Expenses to Average Net Assets |
0.31% |
0.32%4 |
0.33%5,6 |
|
Ratio of Net Investment Income to Average Net Assets |
2.09% |
2.73% |
2.78%6 |
|
Portfolio Turnover Rate |
33%7 |
90% |
39% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 |
Subscription period for the fund was October 18, 2017, to November 1, 2017, during which time all assets were held in cash. Performance measurement began November 2, 2017, the first business day after the subscription period, at a net asset value of $20.00. |
2 |
Calculated based on average shares outstanding. |
3 |
Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
4 |
Includes performance-based investment advisory fee increases (decreases) of (0.01%) and (0.01%). |
5 |
The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.32%. |
6 |
Annualized. |
7 |
Includes 7% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Global Wellesley Income Fund
Notes to Financial Statements
Vanguard Global Wellesley Income Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market-or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
23
Global Wellesley Income Fund
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented 3% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
24
Global Wellesley Income Fund
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended February 29, 2020, the fund’s average investment in forward currency contracts represented 22% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
6. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar- roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
25
Global Wellesley Income Fund
7. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2018–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
8. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
9. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
10. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
26
Global Wellesley Income Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
11. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. The basic fee is subject to quarterly adjustments based on the fund’s performance relative to the Global Wellesley Income Composite Index, comprising the FTSE Developed High Dividend Yield Index (net of tax) and the Bloomberg Barclays Fixed Income Composite index, since December 1, 2017. For the six months ended February 29, 2020, the investment advisory fee represented an effective annual basic rate of 0.12% of the fund’s average net assets before a decrease of $21,000 (0.01%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $22,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
27
Global Wellesley Income Fund
E. 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 and derivatives as of February 29, 2020, based on the inputs used to value them:
|
Level 1 |
Level 2 |
Level 3 |
Total |
|
($000) |
($000) |
($000) |
($000) |
|
Investments |
|
|
|
|
|
Assets |
|
|
|
|
|
U.S. Government and Agency Obligations |
— |
36,149 |
— |
36,149 |
|
Asset-Backed/Commercial Mortgage-Backed Securities |
— |
16,416 |
— |
16,416 |
|
Corporate Bonds |
— |
207,225 |
— |
207,225 |
|
Sovereign Bonds |
— |
32,878 |
— |
32,878 |
|
Taxable Municipal Bonds |
— |
8,439 |
— |
8,439 |
|
Common Stocks |
83,860 |
88,961 |
— |
172,821 |
|
Temporary Cash Investments |
29,560 |
— |
— |
29,560 |
|
Total |
113,420 |
390,068 |
— |
503,488 |
|
Derivative Financial Instruments |
|
|
|
|
|
Assets |
|
|
|
|
|
Futures Contracts1 |
4 |
— |
— |
4 |
|
Forward Currency Contracts |
— |
322 |
— |
322 |
|
Total |
4 |
322 |
— |
326 |
|
Liabilities |
|
|
|
|
|
Futures Contracts1 |
79 |
— |
— |
79 |
|
Forward Currency Contracts |
— |
1,292 |
— |
1,292 |
|
Total |
79 |
1,292 |
— |
1,371 |
| 1 | Represents variation margin on the last day of the reporting period. |
28
Global Wellesley Income Fund
F. At February 29, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
|
|
Foreign |
|
Interest Rate |
Exchange |
|
|
|
Contracts |
Contracts |
Total |
Statement of Assets and Liabilities Caption |
($000) |
($000) |
($000) |
|
Variation Margin Receivable—Futures Contracts |
4 |
— |
4 |
|
Unrealized Appreciation—Forward Currency Contracts |
— |
322 |
322 |
|
Total Assets |
4 |
322 |
326 |
|
|
|
|
|
|
Variation Margin Payable—Futures Contracts |
79 |
— |
79 |
|
Unrealized Depreciation—Forward Currency Contracts |
— |
1,292 |
1,292 |
|
Total Liabilities |
79 |
1,292 |
1,371 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2020, were:
|
|
Foreign |
|
Interest Rate |
Exchange |
|
|
|
Contracts |
Contracts |
Total |
Realized Net Gain (Loss) on Derivatives |
($000) |
($000) |
($000) |
|
Futures Contracts |
(99) |
— |
(99) |
|
Forward Currency Contracts |
— |
2,242 |
2,242 |
|
Realized Net Gain (Loss) on Derivatives |
(99) |
2,242 |
2,143 |
Change in Unrealized Appreciation (Depreciation) on Derivatives |
|
|
|
|
Futures Contracts |
(153) |
— |
(153) |
|
Forward Currency Contracts |
— |
(1,657) |
(1,657) |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives |
(153) |
(1,657) |
(1,810) |
G. As of February 29, 2020, 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 |
492,723 |
|
Gross Unrealized Appreciation |
24,371 |
|
Gross Unrealized Depreciation |
(14,325) |
|
Net Unrealized Appreciation (Depreciation) |
10,046 |
29
Global Wellesley Income Fund
H. During the six months ended February 29, 2020, the fund purchased $91,146,000 of investment securities and sold $76,890,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $85,185,000 and $78,022,000, respectively.
|
I. |
Capital share transactions for each class of shares were: |
|
Six Months Ended |
|
|
Year Ended |
|
|
February 29, 2020 |
|
August 31, 2019 |
||
|
Amount |
Shares |
|
Amount |
Shares |
|
($000) |
(000) |
|
($000) |
(000) |
|
Investor Shares |
|
|
|
|
|
|
Issued |
19,506 |
952 |
|
29,050 |
1,497 |
|
Issued in Lieu of Cash Distributions |
836 |
41 |
|
2,809 |
147 |
|
Redeemed |
(16,857) |
(824) |
|
(40,761) |
(2,103) |
|
Net Increase (Decrease)—Investor Shares |
3,485 |
169 |
|
(8,902) |
(459) |
|
Admiral Shares |
|
|
|
|
|
|
Issued |
83,644 |
3,267 |
|
143,988 |
5,941 |
|
Issued in Lieu of Cash Distributions |
3,927 |
155 |
|
12,597 |
527 |
|
Redeemed |
(61,556) |
(2,407) |
|
(189,999) |
(7,853) |
|
Net Increase (Decrease)—Admiral Shares |
26,015 |
1,015 |
|
(33,414) |
(1,385) |
J. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
30
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Global Wellesley Income Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services since its inception in 2017, and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional managers. For the equity portion of the fund, Wellington Management focuses on global companies whose stocks pay above-average levels of dividend income and are considered to have the potential for capital appreciation. The advisor primarily invests the fixed income portion of the fund in government and mortgage securities in addition to high-quality corporate bonds. The fund’s bond portion will maintain an intermediate-term duration. Wellington Management has advised the fund since its inception in 2017.
The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the performance of Wellington Management since the fund’s inception, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that that advisory arrangement should continue.
31
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.
The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee, because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the fund’s advisory fee schedule. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
32
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This material may be used in conjunction with the offering of shares of any Vanguard
You can obtain a free copy of Vanguard’s proxy voting
You can review information about your fund on the
|
|
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|
© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor.
Q14962 042020
|
|
Semiannual Report | February 29, 2020 |
|
| Vanguard ESG U.S. Stock ETF | |
|
|
|
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. | |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
|
About Your Fund’s Expenses |
1 |
|
Financial Statements |
4 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
|
|
Beginning |
|
|
Ending |
|
|
Expenses |
|
|||
|
|
Account Value |
|
|
Account Value |
|
|
Paid During |
|
|||
ESG U.S. Stock ETF |
|
8/31/2019 |
|
|
2/29/2020 |
|
|
Period |
|
|||
|
Based on Actual Fund Return |
|
$ |
1,000.00 |
|
|
$ |
1,029.72 |
|
|
$ |
0.61 |
|
|
Based on Hypothetical 5% Yearly Return |
|
|
1,000.00 |
|
|
|
1,024.27 |
|
|
|
0.60 |
|
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.12%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in that period, then divided by the number of days in the most recent 12-month period (182/366).
2
ESG U.S. Stock ETF
Sector Diversification
As of February 29, 2020
|
Basic Materials |
2.2 |
% |
|
Consumer Goods |
8.1 |
|
|
Consumer Services |
14.3 |
|
|
Financials |
19.2 |
|
|
Health Care |
13.7 |
|
|
Industrials |
9.8 |
|
|
Oil & Gas |
1.2 |
|
|
Technology |
28.0 |
|
|
Telecommunications |
2.3 |
|
|
Utilities |
1.2 |
|
|
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, at-tempting to remain fully invested and tracking their target index as closely as possible. |
||
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3
ESG U.S. Stock ETF
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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%) | ||||||||||
| Basic Materials (2.2%) | ||||||||||
| Linde plc | 22,295 | 4,259 | ||||||||
| Air Products & Chemicals Inc. | 9,112 | 2,001 | ||||||||
| Ecolab Inc. | 10,438 | 1,884 | ||||||||
| Newmont Corp. | 33,974 | 1,516 | ||||||||
| DuPont de Nemours Inc. | 30,596 | 1,313 | ||||||||
| Dow Inc. | 30,953 | 1,251 | ||||||||
| LyondellBasell Industries NV | 10,919 | 780 | ||||||||
| International Paper Co. | 16,237 | 600 | ||||||||
| Nucor Corp. | 13,029 | 539 | ||||||||
| International Flavors & Fragrances Inc. | 4,346 | 521 | ||||||||
| FMC Corp. | 5,312 | 495 | ||||||||
| Celanese Corp. | 5,079 | 476 | ||||||||
| Avery Dennison Corp. | 3,374 | 386 | ||||||||
| Albemarle Corp. | 4,370 | 358 | ||||||||
| Eastman Chemical Co. | 5,477 | 337 | ||||||||
| CF Industries Holdings Inc. | 8,927 | 329 | ||||||||
| RPM International Inc. | 5,095 | 327 | ||||||||
| Reliance Steel & Aluminum Co. | 2,742 | 280 | ||||||||
| Royal Gold Inc. | 2,734 | 264 | ||||||||
| Mosaic Co. | 14,718 | 251 | ||||||||
| Steel Dynamics Inc. | 8,969 | 239 | ||||||||
| * | Axalta Coating Systems Ltd. | 8,118 | 202 | |||||||
| Ashland Global Holdings Inc. | 2,726 | 195 | ||||||||
| Huntsman Corp. | 9,624 | 182 | ||||||||
| Scotts Miracle-Gro Co. | 1,623 | 172 | ||||||||
| Balchem Corp. | 1,546 | 146 | ||||||||
| WR Grace & Co. | 2,359 | 133 | ||||||||
| Cabot Corp. | 3,335 | 125 | ||||||||
| * | Alcoa Corp. | 8,516 | 118 | |||||||
| * | Univar Solutions Inc. | 6,899 | 117 | |||||||
| HB Fuller Co. | 2,855 | 112 | ||||||||
| * | Element Solutions Inc. | 10,535 | 109 | |||||||
| Sensient Technologies Corp. | 2,184 | 107 | ||||||||
| Commercial Metals Co. | 5,739 | 105 | ||||||||
| NewMarket Corp. | 260 | 101 | ||||||||
| PolyOne Corp. | 3,888 | 96 | ||||||||
| Stepan Co. | 1,026 | 90 | ||||||||
| * | Ingevity Corp. | 1,789 | 81 | |||||||
| Innospec Inc. | 931 | 81 | ||||||||
| Quaker Chemical Corp. | 473 | 74 | ||||||||
| Westlake Chemical Corp. | 1,288 | 72 | ||||||||
| Compass Minerals International Inc. | 1,234 | 67 | ||||||||
| Domtar Corp. | 2,148 | 62 | ||||||||
| * | Constellium SE Class A | 4,747 | 59 | |||||||
| Minerals Technologies Inc. | 1,255 | 56 | ||||||||
| Cleveland-Cliffs Inc. | 9,540 | 55 | ||||||||
| * | GCP Applied Technologies Inc. | 2,836 | 55 | |||||||
| Hecla Mining Co. | 20,741 | 55 | ||||||||
| United States Steel Corp. | 5,693 | 46 | ||||||||
| Kaiser Aluminum Corp. | 468 | 44 | ||||||||
| * | Coeur Mining Inc. | 8,742 | 36 | |||||||
| Schweitzer-Mauduit International Inc. | 1,003 | 34 | ||||||||
| Neenah Inc. | 527 | 30 | ||||||||
| * | Ferro Corp. | 2,485 | 29 | |||||||
| Trinseo SA | 1,118 | 24 | ||||||||
| Orion Engineered Carbons SA | 1,661 | 24 | ||||||||
| Tronox Holdings plc Class A | 2,971 | 22 | ||||||||
| Schnitzer Steel Industries Inc. 1,158 | 19 | |||||||||
| * | AdvanSix Inc. | 1,096 | 16 | |||||||
| * | Century Aluminum Co. | 2,267 | 13 | |||||||
| Tredegar Corp. | 757 | 13 | ||||||||
| * | Kraton Corp. | 1,008 | 10 | |||||||
| US Silica Holdings Inc. | 1,664 | 8 | ||||||||
| Nexa Resources SA | 997 | 7 | ||||||||
| 21,608 | ||||||||||
| Consumer Goods (8.1%) | ||||||||||
| Procter & Gamble Co. | 102,868 | 11,648 | ||||||||
| Coca-Cola Co. | 159,411 | 8,527 | ||||||||
| PepsiCo Inc. | 58,227 | 7,688 | ||||||||
| NIKE Inc. | 48,948 | 4,375 | ||||||||
| * | Tesla Inc. | 6,010 | 4,015 | |||||||
| Mondelez International Inc. | 59,069 | 3,119 | ||||||||
| Colgate-Palmolive Co. | 34,900 | 2,358 | ||||||||
| Kimberly-Clark Corp. | 14,178 | 1,860 | ||||||||
4
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Activision Blizzard Inc. | 31,393 | 1,825 | ||||||||
| Estee Lauder Cos. Inc. Class A | 9,020 | 1,656 | ||||||||
| * | Electronic Arts Inc. | 12,032 | 1,220 | |||||||
| General Mills Inc. | 24,718 | 1,211 | ||||||||
| Ford Motor Co. | 161,378 | 1,123 | ||||||||
| * | Lululemon Athletica Inc. | 4,821 | 1,048 | |||||||
| * | Monster Beverage Corp. | 15,817 | 987 | |||||||
| VF Corp. | 12,485 | 899 | ||||||||
| Hershey Co. | 6,032 | 869 | ||||||||
| Corteva Inc. | 31,115 | 846 | ||||||||
| Aptiv plc | 10,684 | 835 | ||||||||
| Clorox Co. | 5,143 | 820 | ||||||||
| Tyson Foods Inc. | 11,888 | 806 | ||||||||
| DR Horton Inc. | 14,310 | 762 | ||||||||
| McCormick & Co. Inc. | 5,120 | 748 | ||||||||
| Lennar Corp. Class A | 11,924 | 719 | ||||||||
| Church & Dwight Co. Inc. | 10,282 | 715 | ||||||||
| Kraft Heinz Co. | 25,868 | 641 | ||||||||
| Kellogg Co. | 10,295 | 623 | ||||||||
| Garmin Ltd. | 6,129 | 542 | ||||||||
| Conagra Brands Inc. | 19,994 | 534 | ||||||||
| Lamb Weston Holdings Inc. | 6,006 | 522 | ||||||||
| Genuine Parts Co. | 5,864 | 512 | ||||||||
| * | Take-Two Interactive Software Inc. | 4,727 | 508 | |||||||
| Hormel Foods Corp. | 11,653 | 485 | ||||||||
| JM Smucker Co. | 4,471 | 460 | ||||||||
| PulteGroup Inc. | 10,859 | 437 | ||||||||
| Hasbro Inc. | 5,269 | 407 | ||||||||
| Coca-Cola European Partners plc | 7,655 | 390 | ||||||||
| * | LKQ Corp. | 12,643 | 374 | |||||||
| Fortune Brands Home & Security Inc. | 6,018 | 372 | ||||||||
| Whirlpool Corp. | 2,665 | 341 | ||||||||
| Pool Corp. | 1,539 | 325 | ||||||||
| Campbell Soup Co. | 7,014 | 316 | ||||||||
| * | Mohawk Industries Inc. | 2,543 | 308 | |||||||
| * | US Foods Holding Corp. | 9,025 | 304 | |||||||
| Gentex Corp. | 11,012 | 294 | ||||||||
| Lear Corp. | 2,601 | 289 | ||||||||
| * | WABCO Holdings Inc. | 2,059 | 278 | |||||||
| * | Post Holdings Inc. | 2,740 | 277 | |||||||
| BorgWarner Inc. | 8,762 | 277 | ||||||||
| Tapestry Inc. | 11,703 | 274 | ||||||||
| * | Middleby Corp. | 2,441 | 273 | |||||||
| Bunge Ltd. | 5,561 | 261 | ||||||||
| Autoliv Inc. | 3,785 | 253 | ||||||||
| * | Keurig Dr Pepper Inc. | 8,890 | 248 | |||||||
| Newell Brands Inc. | 15,866 | 245 | ||||||||
| Ingredion Inc. | 2,855 | 238 | ||||||||
| Ralph Lauren Corp. | 2,211 | 233 | ||||||||
| * | Zynga Inc. | 34,318 | 230 | |||||||
| Toll Brothers Inc. | 6,118 | 227 | ||||||||
| PVH Corp. | 3,018 | 224 | ||||||||
| * | Deckers Outdoor Corp. | 1,262 | 219 | |||||||
| Leggett & Platt Inc. | 5,432 | 215 | ||||||||
| Harley-Davidson Inc. | 6,874 | 209 | ||||||||
| Brunswick Corp. | 3,708 | 197 | ||||||||
| Hanesbrands Inc. | 14,749 | 195 | ||||||||
| Thor Industries Inc. | 2,533 | 191 | ||||||||
| * | Darling Ingredients Inc. | 7,296 | 187 | |||||||
| * | Helen of Troy Ltd. | 1,113 | 183 | |||||||
| Flowers Foods Inc. | 8,407 | 181 | ||||||||
| * | Beyond Meat Inc. | 2,010 | 180 | |||||||
| Carter’s Inc. | 1,941 | 178 | ||||||||
| * | Skechers U.S.A. Inc. | 5,266 | 174 | |||||||
| * | Mattel Inc. | 14,598 | 172 | |||||||
| * | Wayfair Inc. | 2,657 | 168 | |||||||
| * | Capri Holdings Ltd. | 6,095 | 157 | |||||||
| Valvoline Inc. | 7,738 | 151 | ||||||||
| * | Herbalife Nutrition Ltd. | 4,540 | 147 | |||||||
| * | Nomad Foods Ltd. | 7,827 | 144 | |||||||
| * | Tempur Sealy International Inc. | 1,926 | 144 | |||||||
| KB Home | 4,041 | 132 | ||||||||
| Steven Madden Ltd. | 3,957 | 129 | ||||||||
| Energizer Holdings Inc. | 2,871 | 123 | ||||||||
| * | Under Armour Inc. Class C | 9,860 | 123 | |||||||
| WD-40 Co. | 704 | 121 | ||||||||
| Coty Inc. | 12,819 | 118 | ||||||||
| Lancaster Colony Corp. | 802 | 116 | ||||||||
| * | Taylor Morrison Home Corp. | 5,050 | 114 | |||||||
| * | Under Armour Inc. Class A | 7,816 | 111 | |||||||
| Columbia Sportswear Co. | 1,364 | 111 | ||||||||
| Wolverine World Wide Inc. | 4,011 | 105 | ||||||||
| * | TreeHouse Foods Inc. | 2,742 | 104 | |||||||
| J&J Snack Foods Corp. | 640 | 103 | ||||||||
| Goodyear Tire & Rubber Co. | 10,182 | 99 | ||||||||
| Dana Inc. | 6,737 | 97 | ||||||||
| * | Fox Factory Holding Corp. | 1,505 | 95 | |||||||
| Sanderson Farms Inc. | 766 | 95 | ||||||||
| Spectrum Brands Holdings Inc | 1,703 | 92 | ||||||||
| LCI Industries | 948 | 92 | ||||||||
| * | Adient plc | 3,421 | 82 | |||||||
| * | Meritage Homes Corp. | 1,237 | 78 | |||||||
| * | Crocs Inc. | 2,895 | 76 | |||||||
| * | Hain Celestial Group Inc. | 3,083 | 73 | |||||||
| Herman Miller Inc. | 2,010 | 69 | ||||||||
| * | YETI Holdings Inc. | 2,218 | 67 | |||||||
| * | Visteon Corp. | 1,017 | 66 | |||||||
| * | Edgewell Personal Care Co. | 2,150 | 65 | |||||||
| * | TRI Pointe Group Inc. | 4,252 | 65 | |||||||
| * | Welbilt Inc. | 4,849 | 64 | |||||||
| * | Meritor Inc. | 2,823 | 64 | |||||||
| MDC Holdings Inc. | 1,599 | 63 |
5
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Winnebago Industries Inc. | 1,160 | 60 | ||||||||
| * | Cavco Industries Inc. | 290 | 58 | |||||||
| * | Dorman Products Inc. | 961 | 58 | |||||||
| * | Fitbit Inc. | 8,980 | 57 | |||||||
| * | Hostess Brands Inc. | 4,447 | 57 | |||||||
| * | LGI Homes Inc. | 720 | 54 | |||||||
| Kontoor Brands Inc. | 1,484 | 50 | ||||||||
| Cooper Tire & Rubber Co. | 1,959 | 50 | ||||||||
| * | American Woodmark Corp. | 593 | 50 | |||||||
| Callaway Golf Co. | 2,730 | 46 | ||||||||
| Nu Skin Enterprises Inc. | 1,866 | 46 | ||||||||
| * | Veoneer Inc. | 3,618 | 45 | |||||||
| Steelcase Inc. | 2,730 | 44 | ||||||||
| Cal-Maine Foods Inc. | 1,252 | 44 | ||||||||
| Calavo Growers Inc. | 601 | 44 | ||||||||
| * | iRobot Corp. | 876 | 42 | |||||||
| * | Sleep Number Corp. | 946 | 42 | |||||||
| * | Gentherm Inc. | 993 | 40 | |||||||
| HNI Corp. | 1,215 | 40 | ||||||||
| La-Z-Boy Inc. | 1,354 | 39 | ||||||||
| * | Delphi Technologies plc | 2,717 | 38 | |||||||
| * | Pilgrim’s Pride Corp. | 1,784 | 38 | |||||||
| Oxford Industries Inc. | 620 | 37 | ||||||||
| Inter Parfums Inc. | 598 | 36 | ||||||||
| * | Central Garden & Pet Co. | 1,372 | 35 | |||||||
| Coca-Cola Consolidated Inc. | 166 | 33 | ||||||||
| * | G-III Apparel Group Ltd. | 1,440 | 32 | |||||||
| B&G Foods Inc. | 2,070 | 31 | ||||||||
| Medifast Inc. | 359 | 30 | ||||||||
| Interface Inc. | 2,023 | 30 | ||||||||
| * | USANA Health Sciences Inc. | 445 | 29 | |||||||
| Fresh Del Monte Produce Inc. | 1,061 | 29 | ||||||||
| * | Adecoagro SA | 4,108 | 27 | |||||||
| Acushnet Holdings Corp. | 968 | 25 | ||||||||
| Knoll Inc. | 1,305 | 23 | ||||||||
| ACCO Brands Corp. | 2,776 | 22 | ||||||||
| Tootsie Roll Industries Inc. | 689 | 22 | ||||||||
| * | American Axle & Manufacturing Holdings Inc. | 3,249 | 21 | |||||||
| * | National Beverage Corp. | 444 | 19 | |||||||
| Tenneco Inc. | 1,810 | 17 | ||||||||
| Andersons Inc. | 772 | 14 | ||||||||
| * | GoPro Inc. | 3,713 | 14 | |||||||
| Ethan Allen Interiors Inc. | 703 | 9 | ||||||||
| * | Cooper-Standard Holdings Inc. | 477 | 8 | |||||||
| * | Modine Manufacturing Co. | 1,018 | 8 | |||||||
| Tupperware Brands Corp. | 1,732 | 5 | ||||||||
| 81,103 | ||||||||||
| Consumer Services (14.3%) | ||||||||||
| * | Amazon.com Inc. | 17,195 | 32,391 | |||||||
| Home Depot Inc. | 45,831 | 9,984 | ||||||||
| Walt Disney Co. | 72,474 | 8,527 | ||||||||
| Comcast Corp. | 186,733 | 7,550 | ||||||||
| * | Netflix Inc. | 17,496 | 6,457 | |||||||
| McDonald’s Corp. | 31,350 | 6,087 | ||||||||
| Costco Wholesale Corp. | 18,270 | 5,136 | ||||||||
| Starbucks Corp. | 49,019 | 3,845 | ||||||||
| Lowe’s Cos. Inc. | 32,076 | 3,418 | ||||||||
| CVS Health Corp. | 53,859 | 3,187 | ||||||||
| * | Charter Communications Inc. | 6,349 | 3,131 | |||||||
| TJX Cos. Inc. | 50,409 | 3,014 | ||||||||
| * | Booking Holdings Inc. | 1,727 | 2,928 | |||||||
| Target Corp. | 20,695 | 2,132 | ||||||||
| Dollar General Corp. | 10,703 | 1,609 | ||||||||
| Ross Stores Inc. | 14,766 | 1,606 | ||||||||
| Walgreens Boots Alliance Inc. | 31,196 | 1,428 | ||||||||
| * | Uber Technologies Inc. | 39,042 | 1,322 | |||||||
| Sysco Corp. | 19,825 | 1,321 | ||||||||
| * | MercadoLibre Inc. | 1,941 | 1,196 | |||||||
| eBay Inc. | 32,583 | 1,129 | ||||||||
| * | O’Reilly Automotive Inc. | 3,058 | 1,128 | |||||||
| Yum! Brands Inc. | 12,599 | 1,124 | ||||||||
| McKesson Corp. | 7,505 | 1,050 | ||||||||
| * | AutoZone Inc. | 978 | 1,010 | |||||||
| Kroger Co. | 33,043 | 929 | ||||||||
| * | Dollar Tree Inc. | 9,842 | 817 | |||||||
| * | Chipotle Mexican Grill Inc. | 1,052 | 814 | |||||||
| Best Buy Co. Inc. | 9,412 | 712 | ||||||||
| * | Spotify Technology SA | 4,881 | 669 | |||||||
| Tiffany & Co. | 4,999 | 668 | ||||||||
| Yum China Holdings Inc. | 15,226 | 667 | ||||||||
| Omnicom Group Inc. | 8,970 | 621 | ||||||||
| * | CarMax Inc. | 6,915 | 604 | |||||||
| * | Ulta Beauty Inc. | 2,327 | 598 | |||||||
| * | Burlington Stores Inc. | 2,761 | 597 | |||||||
| Domino’s Pizza Inc. | 1,683 | 571 | ||||||||
| Expedia Group Inc. | 5,695 | 562 | ||||||||
| ViacomCBS Inc. Class B | 22,422 | 552 | ||||||||
| AmerisourceBergen Corp. Class A | 6,341 | 535 | ||||||||
| Darden Restaurants Inc. | 5,217 | 509 | ||||||||
| * | Trade Desk Inc. | 1,600 | 460 | |||||||
| Tractor Supply Co. | 4,900 | 434 | ||||||||
| Fox Corp. Class B | 13,447 | 409 | ||||||||
| FactSet Research Systems Inc. | 1,532 | 407 | ||||||||
| * | Bright Horizons Family Solutions Inc. | 2,463 | 387 | |||||||
| * | DISH Network Corp. | 11,541 | 387 | |||||||
| Advance Auto Parts Inc. | 2,842 | 378 | ||||||||
| Liberty Media Corp-Liberty SiriusXM Class A | 8,356 | 373 | ||||||||
| Sirius XM Holdings Inc. | 57,757 | 366 | ||||||||
| Aramark | 10,160 | 353 | ||||||||
| Service Corp. International | 7,252 | 347 | ||||||||
| Vail Resorts Inc. | 1,595 | 339 |
6
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Interpublic Group of Cos. Inc. | 15,762 | 337 | ||||||||
| * | Altice USA Inc. | 13,003 | 336 | |||||||
| * | Live Nation Entertainment Inc. | 5,382 | 327 | |||||||
| Delta Air Lines Inc. | 6,806 | 314 | ||||||||
| * | Discovery Communications Inc. | 12,499 | 314 | |||||||
| * | Liberty Global plc | 16,695 | 310 | |||||||
| Cable One Inc. | 195 | 307 | ||||||||
| * | Etsy Inc. | 4,859 | 281 | |||||||
| Fox Corp. Class A | 8,856 | 272 | ||||||||
| Nielsen Holdings plc | 14,593 | 266 | ||||||||
| Southwest Airlines Co. | 5,701 | 263 | ||||||||
| * | Liberty Media Corp-Liberty Formula One Class C | 6,675 | 261 | |||||||
| Kohl’s Corp. | 6,581 | 258 | ||||||||
| * | IAA Inc. | 5,693 | 243 | |||||||
| * | Planet Fitness Inc. | 3,537 | 239 | |||||||
| Casey’s General Stores Inc. | 1,460 | 238 | ||||||||
| New York Times Co. | 6,180 | 231 | ||||||||
| Rollins Inc. | 6,024 | 226 | ||||||||
| Dunkin’ Brands Group Inc. | 3,379 | 225 | ||||||||
| Nexstar Media Group Inc. | 1,951 | 224 | ||||||||
| * | Five Below Inc. | 2,231 | 216 | |||||||
| L Brands Inc. | 9,646 | 209 | ||||||||
| * | Madison Square Garden Co. | 769 | 206 | |||||||
| Williams-Sonoma Inc. | 3,250 | 203 | ||||||||
| * | ServiceMaster Global Holdings Inc. | 5,616 | 201 | |||||||
| * | Discovery Inc. | 7,734 | 199 | |||||||
| * | Performance Food Group Co. | 4,467 | 189 | |||||||
| * | Chegg Inc. | 4,826 | 189 | |||||||
| * | Grubhub Inc. | 3,893 | 187 | |||||||
| Macy’s Inc. | 13,823 | 183 | ||||||||
| H&R Block Inc. | 8,539 | 176 | ||||||||
| Dolby Laboratories Inc. | 2,674 | 176 | ||||||||
| * | United Airlines Holdings Inc. | 2,834 | 175 | |||||||
| Nordstrom Inc. | 4,983 | 173 | ||||||||
| Texas Roadhouse Inc. | 3,035 | 171 | ||||||||
| * | Liberty Global plc Class A | 8,616 | 168 | |||||||
| * | Grand Canyon Education Inc. | 2,070 | 167 | |||||||
| Foot Locker Inc. | 4,577 | 166 | ||||||||
| Sabre Corp. | 11,378 | 155 | ||||||||
| * | frontdoor Inc. | 3,626 | 154 | |||||||
| Strategic Education Inc. | 1,034 | 152 | ||||||||
| * | Floor & Decor Holdings Inc. Class A | 2,941 | 150 | |||||||
| Wendy’s Co. | 7,820 | 148 | ||||||||
| Cracker Barrel Old Country Store Inc. | 1,030 | 148 | ||||||||
| Gap Inc. | 10,223 | 146 | ||||||||
| TEGNA Inc. | 9,373 | 134 | ||||||||
| * | Liberty Media Corp-Liberty Formula One Class A | 3,551 | 133 | |||||||
| Cinemark Holdings Inc. | 4,952 | 129 | ||||||||
| Lithia Motors Inc. Class A | 1,063 | 127 | ||||||||
| * | Murphy USA Inc. | 1,289 | 126 | |||||||
| * | National Vision Holdings Inc. | 3,541 | 123 | |||||||
| * | Rh | 661 | 120 | |||||||
| KAR Auction Services Inc. | 6,151 | 118 | ||||||||
| * | Ollie’s Bargain Outlet Holdings Inc. | 2,324 | 118 | |||||||
| Morningstar Inc. | 798 | 117 | ||||||||
| TripAdvisor Inc. | 4,951 | 116 | ||||||||
| * | LiveRamp Holdings Inc. | 3,141 | 111 | |||||||
| Aaron’s Inc. | 2,810 | 110 | ||||||||
| Extended Stay America Inc. | 9,833 | 108 | ||||||||
| * | Sprouts Farmers Market Inc. | 6,738 | 108 | |||||||
| * | Liberty Latin America Ltd. | 6,917 | 105 | |||||||
| American Airlines Group Inc. | 5,296 | 101 | ||||||||
| * | Cargurus Inc. | 3,892 | 99 | |||||||
| * | Hilton Grand Vacations Inc. | 3,720 | 99 | |||||||
| * | BJ’s Wholesale Club Holdings Inc. | 5,099 | 98 | |||||||
| Wingstop Inc. | 1,162 | 98 | ||||||||
| Dick’s Sporting Goods Inc. | 2,693 | 98 | ||||||||
| Hillenbrand Inc. | 4,185 | 98 | ||||||||
| * | AutoNation Inc. | 2,189 | 94 | |||||||
| * | Stamps.com Inc. | 658 | 93 | |||||||
| Monro Inc. | 1,645 | 92 | ||||||||
| World Wrestling Entertainment Inc. | 1,925 | 90 | ||||||||
| * | Laureate Education Inc. | 4,601 | 86 | |||||||
| Six Flags Entertainment Corp. | 3,303 | 83 | ||||||||
| * | Yelp Inc. | 2,637 | 82 | |||||||
| * | Liberty Media Corp-Liberty SiriusXM Class C | 1,822 | 81 | |||||||
| * | Avis Budget Group Inc. | 2,274 | 74 | |||||||
| American Eagle Outfitters Inc. | 5,663 | 73 | ||||||||
| * | Simply Good Foods Co. | 3,302 | 73 | |||||||
| * | Shake Shack Inc. | 1,181 | 70 | |||||||
| Jack in the Box Inc. | 1,011 | 70 | ||||||||
| * | Asbury Automotive Group Inc. | 745 | 66 | |||||||
| Bloomin’ Brands Inc. | 3,638 | 65 | ||||||||
| * | Adtalem Global Education Inc. | 2,078 | 64 | |||||||
| Graham Holdings Co. | 127 | 64 | ||||||||
| * | Urban Outfitters Inc. | 2,689 | 63 | |||||||
| Dine Brands Global Inc. | 744 | 61 | ||||||||
| Group 1 Automotive Inc. | 689 | 59 | ||||||||
| Grocery Outlet Holding Corp. | 1,772 | 56 | ||||||||
| Viad Corp. | 1,107 | 56 | ||||||||
| * | Sally Beauty Holdings Inc. | 4,324 | 54 | |||||||
| * | WW International Inc. | 1,787 | 54 |
7
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Bed Bath & Beyond Inc. | 4,923 | 53 | ||||||||
| * | Hertz Global Holdings Inc. | 4,071 | 52 | |||||||
| * | Liberty Media Corp-Liberty Braves | 1,919 | 50 | |||||||
| Alaska Air Group Inc. | 963 | 49 | ||||||||
| * | 2U Inc. | 2,065 | 49 | |||||||
| Cheesecake Factory Inc. | 1,354 | 48 | ||||||||
| * | AMC Networks Inc. | 1,555 | 48 | |||||||
| Penske Automotive Group Inc. | 1,038 | 48 | ||||||||
| John Wiley & Sons Inc. | 1,245 | 46 | ||||||||
| * | SeaWorld Entertainment Inc. | 1,663 | 45 | |||||||
| Office Depot Inc. | 18,387 | 43 | ||||||||
| Signet Jewelers Ltd. | 1,833 | 43 | ||||||||
| Papa John’s International Inc. | 739 | 43 | ||||||||
| PriceSmart Inc. | 718 | 40 | ||||||||
| Brinker International Inc. | 1,160 | 40 | ||||||||
| Rent-A-Center Inc. | 1,811 | 39 | ||||||||
| * | MakeMyTrip Ltd. | 1,662 | 38 | |||||||
| * | Lions Gate Entertainment Corp. Class B | 5,082 | 38 | |||||||
| Dave & Buster’s Entertainment Inc. | 1,073 | 35 | ||||||||
| * | Lions Gate Entertainment Corp. Class A | 4,354 | 35 | |||||||
| * | JetBlue Airways Corp. | 2,137 | 34 | |||||||
| Core-Mark Holding Co. Inc. | 1,412 | 32 | ||||||||
| Buckle Inc. | 1,345 | 30 | ||||||||
| SkyWest Inc. | 663 | 30 | ||||||||
| * | Liberty Latin America Ltd. Class A | 1,904 | 29 | |||||||
| Meredith Corp. | 1,089 | 29 | ||||||||
| Designer Brands Inc. Class A | 2,069 | 28 | ||||||||
| Matthews International Corp. | 922 | 27 | ||||||||
| * | IMAX Corp. | 1,737 | 27 | |||||||
| Abercrombie & Fitch Co. | 2,009 | 26 | ||||||||
| Scholastic Corp. | 796 | 26 | ||||||||
| * | MSG Networks Inc. | 2,018 | 25 | |||||||
| Children’s Place Inc. | 427 | 25 | ||||||||
| Guess? Inc. | 1,480 | 24 | ||||||||
| * | Genesco Inc. | 692 | 24 | |||||||
| * | Herc Holdings Inc. | 602 | 22 | |||||||
| Big Lots Inc. | 1,313 | 21 | ||||||||
| Dillard’s Inc. Class A | 367 | 21 | ||||||||
| * | Groupon Inc. | 15,212 | 20 | |||||||
| * | Cars.com Inc. | 2,220 | 20 | |||||||
| Houghton Mifflin Harcourt Co. | 3,482 | 19 | ||||||||
| Weis Markets Inc. | 497 | 18 | ||||||||
| BJ’s Restaurants Inc. | 548 | 18 | ||||||||
| * | Regis Corp. | 1,391 | 18 | |||||||
| Allegiant Travel Co. | 125 | 17 | ||||||||
| Copa Holdings SA | 198 | 16 | ||||||||
| EW Scripps Co. | 1,379 | 16 | ||||||||
| ^ | GameStop Corp. Class A | 4,519 | 16 | |||||||
| Caleres Inc. | 1,372 | 16 | ||||||||
| * | Gannett Co. Inc. | 3,639 | 15 | |||||||
| * | Upwork Inc. | 1,638 | 14 | |||||||
| * | Spirit Airlines Inc. | 481 | 14 | |||||||
| * | TrueCar Inc. | 4,962 | 13 | |||||||
| * | Liberty TripAdvisor Holdings Inc. | 2,986 | 13 | |||||||
| * | Michaels Cos. Inc. | 2,985 | 13 | |||||||
| Hawaiian Holdings Inc. | 375 | 8 | ||||||||
| 142,617 | ||||||||||
| Financials (19.1%) | ||||||||||
| JPMorgan Chase & Co. | 129,289 | 15,012 | ||||||||
| Visa Inc. | 71,262 | 12,953 | ||||||||
| Mastercard Inc. | 36,880 | 10,704 | ||||||||
| Bank of America Corp. | 336,192 | 9,581 | ||||||||
| Citigroup Inc. | 89,905 | 5,705 | ||||||||
| American Tower Corp. | 18,270 | 4,144 | ||||||||
| American Express Co. | 27,756 | 3,051 | ||||||||
| CME Group Inc. | 14,732 | 2,929 | ||||||||
| Chubb Ltd. | 18,733 | 2,717 | ||||||||
| S&P Global Inc. | 10,207 | 2,714 | ||||||||
| US Bancorp | 58,359 | 2,710 | ||||||||
| Goldman Sachs Group Inc. | 13,163 | 2,643 | ||||||||
| Prologis Inc. | 30,333 | 2,556 | ||||||||
| Truist Financial Corp. | 54,698 | 2,524 | ||||||||
| Crown Castle International Corp. | 17,229 | 2,469 | ||||||||
| BlackRock Inc. | 4,897 | 2,267 | ||||||||
| PNC Financial Services Group Inc. | 17,790 | 2,249 | ||||||||
| Marsh & McLennan Cos. Inc. | 21,093 | 2,205 | ||||||||
| Morgan Stanley | 48,069 | 2,165 | ||||||||
| Equinix Inc. | 3,594 | 2,059 | ||||||||
| Intercontinental Exchange Inc. | 22,831 | 2,037 | ||||||||
| Aon plc | 9,757 | 2,029 | ||||||||
| Charles Schwab Corp. | 47,667 | 1,942 | ||||||||
| Progressive Corp. | 24,230 | 1,773 | ||||||||
| Capital One Financial Corp. | 19,228 | 1,697 | ||||||||
| Moody’s Corp. | 6,801 | 1,632 | ||||||||
| American International Group Inc. | 36,136 | 1,524 | ||||||||
| Allstate Corp. | 13,477 | 1,418 | ||||||||
| MetLife Inc. | 31,931 | 1,364 | ||||||||
| Bank of New York Mellon Corp. | 33,910 | 1,353 | ||||||||
| Aflac Inc. | 30,168 | 1,293 | ||||||||
| Public Storage | 6,161 | 1,288 | ||||||||
| Travelers Cos. Inc. | 10,719 | 1,284 | ||||||||
| Welltower Inc. | 17,069 | 1,277 | ||||||||
| Prudential Financial Inc. | 16,739 | 1,263 | ||||||||
| SBA Communications Corp. | 4,739 | 1,256 | ||||||||
8
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| IHS Markit Ltd. | 16,205 | 1,154 | ||||||||
| AvalonBay Communities Inc. | 5,750 | 1,153 | ||||||||
| Equity Residential | 15,067 | 1,132 | ||||||||
| T. Rowe Price Group Inc. | 9,354 | 1,104 | ||||||||
| Digital Realty Trust Inc. | 8,572 | 1,030 | ||||||||
| State Street Corp. | 15,109 | 1,029 | ||||||||
| MSCI Inc. | 3,442 | 1,017 | ||||||||
| Realty Income Corp. | 13,779 | 997 | ||||||||
| Discover Financial Services | 13,030 | 855 | ||||||||
| Boston Properties Inc. | 6,594 | 850 | ||||||||
| Ventas Inc. | 15,479 | 832 | ||||||||
| Synchrony Financial | 27,311 | 795 | ||||||||
| * | CBRE Group Inc. | 13,753 | 772 | |||||||
| M&T Bank Corp. | 5,372 | 754 | ||||||||
| Ameriprise Financial Inc. | 5,329 | 753 | ||||||||
| Alexandria Real Estate Equities Inc. | 4,934 | 749 | ||||||||
| Arthur J Gallagher & Co. | 7,620 | 743 | ||||||||
| Hartford Financial Services Group Inc. | 14,744 | 736 | ||||||||
| Fifth Third Bancorp | 29,806 | 727 | ||||||||
| * | Markel Corp. | 600 | 709 | |||||||
| Northern Trust Corp. | 8,064 | 708 | ||||||||
| First Republic Bank | 6,757 | 680 | ||||||||
| KeyCorp | 41,492 | 678 | ||||||||
| * | Arch Capital Group Ltd. | 16,145 | 653 | |||||||
| Healthpeak Properties Inc. | 20,548 | 650 | ||||||||
| Invitation Homes Inc. | 21,857 | 627 | ||||||||
| Sun Communities Inc. | 4,049 | 619 | ||||||||
| Mid-America Apartment Communities Inc. | 4,724 | 611 | ||||||||
| Cincinnati Financial Corp. | 6,455 | 602 | ||||||||
| WP Carey Inc. | 7,588 | 587 | ||||||||
| Citizens Financial Group Inc. | 18,328 | 581 | ||||||||
| Regions Financial Corp. | 40,806 | 552 | ||||||||
| UDR Inc. | 12,263 | 552 | ||||||||
| Annaly Capital Management Inc. | 61,728 | 547 | ||||||||
| Huntington Bancshares Inc. | 42,582 | 522 | ||||||||
| Cboe Global Markets Inc. | 4,554 | 519 | ||||||||
| Principal Financial Group Inc. | 11,660 | 518 | ||||||||
| MarketAxess Holdings Inc. | 1,527 | 495 | ||||||||
| Credicorp Ltd. | 2,728 | 495 | ||||||||
| Nasdaq Inc. | 4,772 | 489 | ||||||||
| Equity LifeStyle Properties Inc. | 7,038 | 481 | ||||||||
| TD Ameritrade Holding Corp. | 11,036 | 466 | ||||||||
| Duke Realty Corp. | 13,826 | 449 | ||||||||
| * | SVB Financial Group | 2,121 | 442 | |||||||
| E*TRADE Financial Corp. | 9,532 | 436 | ||||||||
| Medical Properties Trust Inc. | 19,986 | 422 | ||||||||
| Raymond James Financial Inc. | 5,023 | 420 | ||||||||
| Fidelity National Financial Inc. | 10,795 | 418 | ||||||||
| * | Alleghany Corp. | 618 | 415 | |||||||
| Host Hotels & Resorts Inc. | 28,450 | 412 | ||||||||
| Ally Financial Inc. | 16,061 | 403 | ||||||||
| Globe Life Inc. | 4,345 | 403 | ||||||||
| Brown & Brown Inc. | 9,248 | 398 | ||||||||
| Everest Re Group Ltd. | 1,602 | 397 | ||||||||
| Lincoln National Corp. | 8,654 | 393 | ||||||||
| WR Berkley Corp. | 5,828 | 391 | ||||||||
| VEREIT Inc | 44,589 | 386 | ||||||||
| Western Union Co. | 17,209 | 385 | ||||||||
| Camden Property Trust | 3,522 | 373 | ||||||||
| Vornado Realty Trust | 6,876 | 368 | ||||||||
| Regency Centers Corp. | 6,309 | 362 | ||||||||
| * | Equitable Holdings Inc. | 16,909 | 362 | |||||||
| Iron Mountain Inc. | 11,564 | 352 | ||||||||
| AGNC Investment Corp. | 20,278 | 346 | ||||||||
| National Retail Properties Inc. | 6,727 | 342 | ||||||||
| Omega Healthcare Investors Inc. | 8,610 | 341 | ||||||||
| Federal Realty Investment Trust | 2,836 | 330 | ||||||||
| Jones Lang LaSalle Inc. | 2,154 | 318 | ||||||||
| Comerica Inc. | 5,873 | 309 | ||||||||
| Reinsurance Group of America Inc. | 2,495 | 304 | ||||||||
| Assurant Inc. | 2,481 | 299 | ||||||||
| Lamar Advertising Co. | 3,548 | 297 | ||||||||
| RenaissanceRe Holdings Ltd. | 1,721 | 293 | ||||||||
| Kilroy Realty Corp. | 3,992 | 290 | ||||||||
| SEI Investments Co. | 5,151 | 282 | ||||||||
| Signature Bank | 2,221 | 278 | ||||||||
| Zions Bancorp NA | 6,948 | 278 | ||||||||
| Voya Financial Inc. | 5,234 | 276 | ||||||||
| CyrusOne Inc. | 4,543 | 275 | ||||||||
| Kimco Realty Corp. | 15,772 | 274 | ||||||||
| Healthcare Trust of America Inc. | 8,558 | 267 | ||||||||
| STORE Capital Corp. | 8,104 | 266 | ||||||||
| American Financial Group Inc. | 2,868 | 265 | ||||||||
| Franklin Resources Inc. | 12,103 | 263 | ||||||||
| LPL Financial Holdings Inc. | 3,307 | 263 | ||||||||
| SL Green Realty Corp. | 3,331 | 261 | ||||||||
| American Homes 4 Rent | 10,089 | 261 | ||||||||
| Douglas Emmett Inc. | 6,663 | 254 | ||||||||
| First American Financial Corp. | 4,400 | 251 | ||||||||
| Commerce Bancshares Inc. | 4,108 | 251 | ||||||||
| * | Athene Holding Ltd. Class A | 6,063 | 250 |
9
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| East West Bancorp Inc. | 6,206 | 240 | ||||||||
| Americold Realty Trust | 7,801 | 239 | ||||||||
| Prosperity Bancshares Inc. | 3,661 | 237 | ||||||||
| People’s United Financial Inc. | 16,780 | 235 | ||||||||
| CubeSmart | 7,742 | 234 | ||||||||
| Invesco Ltd. | 15,958 | 230 | ||||||||
| Old Republic International Corp. | 11,631 | 229 | ||||||||
| Starwood Property Trust Inc. | 10,239 | 227 | ||||||||
| Cousins Properties Inc. | 6,154 | 220 | ||||||||
| Unum Group | 9,270 | 216 | ||||||||
| Brixmor Property Group Inc. | 11,814 | 215 | ||||||||
| Life Storage Inc. | 1,986 | 214 | ||||||||
| TCF Financial Corp. | 5,724 | 209 | ||||||||
| Primerica Inc. | 1,863 | 207 | ||||||||
| New York Community Bancorp Inc. | 19,147 | 207 | ||||||||
| SLM Corp. | 19,689 | 204 | ||||||||
| Rexford Industrial Realty Inc. | 4,297 | 201 | ||||||||
| Legg Mason Inc. | 3,981 | 198 | ||||||||
| Highwoods Properties Inc. | 4,392 | 197 | ||||||||
| First Industrial Realty Trust Inc. | 5,110 | 197 | ||||||||
| EastGroup Properties Inc. | 1,550 | 195 | ||||||||
| Radian Group Inc. | 9,167 | 195 | ||||||||
| Hudson Pacific Properties Inc. | 5,923 | 191 | ||||||||
| EPR Properties | 3,222 | 191 | ||||||||
| Cullen/Frost Bankers Inc. | 2,408 | 189 | ||||||||
| Axis Capital Holdings Ltd. | 3,361 | 189 | ||||||||
| Popular Inc. | 3,929 | 189 | ||||||||
| Eaton Vance Corp. | 4,558 | 188 | ||||||||
| Western Alliance Bancorp | 4,068 | 187 | ||||||||
| Healthcare Realty Trust Inc. | 5,424 | 186 | ||||||||
| Hanover Insurance Group Inc. | 1,561 | 185 | ||||||||
| Synovus Financial Corp. | 6,371 | 185 | ||||||||
| Essent Group Ltd. | 4,194 | 183 | ||||||||
| Kemper Corp. | 2,652 | 183 | ||||||||
| MGIC Investment Corp. | 15,160 | 182 | ||||||||
| JBG SMITH Properties | 4,908 | 180 | ||||||||
| Park Hotels & Resorts Inc. | 9,643 | 176 | ||||||||
| CoreSite Realty Corp. | 1,688 | 175 | ||||||||
| * | Brighthouse Financial Inc. | 4,805 | 172 | |||||||
| * | Howard Hughes Corp. | 1,591 | 172 | |||||||
| Affiliated Managers Group Inc. | 2,260 | 170 | ||||||||
| Piedmont Office Realty Trust Inc. | 7,816 | 169 | ||||||||
| Spirit Realty Capital Inc. | 3,691 | 168 | ||||||||
| First Horizon National Corp. | 12,504 | 167 | ||||||||
| Invesco Mortgage Capital Inc. | 10,214 | 164 | ||||||||
| Interactive Brokers Group Inc. | 3,198 | 163 | |||||||
| Fulton Financial Corp. | 11,235 | 162 | |||||||
| Equity Commonwealth | 5,151 | 162 | |||||||
| Apollo Commercial Real Estate Finance Inc. | 9,955 | 161 | |||||||
| Assured Guaranty Ltd. | 3,924 | 160 | |||||||
| First Financial Bankshares Inc. | 5,558 | 160 | |||||||
| Agree Realty Corp. | 2,218 | 159 | |||||||
| CIT Group Inc. | 3,992 | 159 | |||||||
| Stifel Financial Corp. | 2,911 | 158 | |||||||
| Outfront Media Inc. | 6,016 | 158 | |||||||
| Physicians Realty Trust | 8,336 | 157 | |||||||
| Cathay General Bancorp | 5,090 | 157 | |||||||
| Janus Henderson Group plc | 7,336 | 156 | |||||||
| Webster Financial Corp. | 4,093 | 155 | |||||||
| STAG Industrial Inc. | 5,504 | 154 | |||||||
| Lazard Ltd. | 4,295 | 154 | |||||||
| Valley National Bancorp | 16,375 | 152 | |||||||
| Old National Bancorp | 9,616 | 152 | |||||||
| Rayonier Inc. | 5,705 | 151 | |||||||
| Home BancShares Inc. | 9,027 | 151 | |||||||
| Kennedy-Wilson Holdings Inc. | 7,419 | 150 | |||||||
| BankUnited Inc. | 4,986 | 148 | |||||||
| CNO Financial Group Inc. | 9,113 | 146 | |||||||
| QTS Realty Trust Inc. | 2,598 | 146 | |||||||
| Umpqua Holdings Corp. | 9,448 | 145 | |||||||
| South State Corp. | 2,127 | 145 | |||||||
| Terreno Realty Corp. | 2,627 | 144 | |||||||
| CVB Financial Corp. | 7,763 | 144 | |||||||
| Ryman Hospitality Properties Inc. | 2,063 | 143 | |||||||
| RLI Corp. | 1,779 | 143 | |||||||
| First Hawaiian Inc. | 5,958 | 143 | |||||||
| IBERIABANK Corp. | 2,366 | 142 | |||||||
| National Health Investors Inc. | 1,741 | 142 | |||||||
| Blackstone Mortgage Trust Inc. | 3,940 | 142 | |||||||
| Columbia Banking System Inc. | 4,273 | 142 | |||||||
| Hancock Whitney Corp. | 4,232 | 142 | |||||||
| Glacier Bancorp Inc. | 3,797 | 142 | |||||||
| UMB Financial Corp. | 2,412 | 140 | |||||||
| BancorpSouth Bank | 5,720 | 140 | |||||||
| Chimera Investment Corp. | 7,122 | 140 | |||||||
| FirstCash Inc. | 1,812 | 139 | |||||||
| Weingarten Realty Investors | 5,149 | 139 | |||||||
| CenterState Bank Corp. | 6,853 | 139 | |||||||
| Paramount Group Inc. | 11,398 | 138 | |||||||
| FNB Corp. | 13,574 | 137 | |||||||
| Columbia Property Trust Inc. | 7,240 | 137 | |||||||
| PS Business Parks Inc. | 916 | 136 | |||||||
| Wintrust Financial Corp. | 2,545 | 136 |
10
ESG U.S. Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Selective Insurance Group Inc. | 2,429 | 136 | ||||||||
| International Bancshares Corp. | 3,944 | 135 | ||||||||
| Community Bank System Inc. | 2,203 | 134 | ||||||||
| Sunstone Hotel Investors Inc. | 12,218 | 134 | ||||||||
| Bank OZK | 5,269 | 134 | ||||||||
| Corporate Office Properties Trust | 5,274 | 134 | ||||||||
| Brandywine Realty Trust | 9,839 | 134 | ||||||||
| RLJ Lodging Trust | 10,054 | 133 | ||||||||
| Washington Federal Inc. | 4,385 | 132 | ||||||||
| * | Texas Capital Bancshares Inc. | 2,774 | 131 | |||||||
| Bank of Hawaii Corp. | 1,715 | 128 | ||||||||
| Atlantic Union Bankshares Corp. | 4,288 | 128 | ||||||||
| Simmons First National Corp. | 5,901 | 126 | ||||||||
| First Citizens BancShares Inc. | 278 | 126 | ||||||||
| United Bankshares Inc. | 4,314 | 125 | ||||||||
| First Financial Bancorp | 6,034 | 124 | ||||||||
| Macerich Co. | 6,053 | 124 | ||||||||
| Federated Hermes Inc. | 4,283 | 124 | ||||||||
| Taubman Centers Inc. | 2,352 | 122 | ||||||||
| Navient Corp. | 10,645 | 120 | ||||||||
| Evercore Inc. | 1,794 | 120 | ||||||||
| American Equity Investment Life Holding Co. | 4,716 | 119 | ||||||||
| Ameris Bancorp | 3,461 | 118 | ||||||||
| Retail Properties of America Inc. | 11,297 | 118 | ||||||||
| MFA Financial Inc. | 16,236 | 117 | ||||||||
| White Mountains Insurance Group Ltd. | 118 | 117 | ||||||||
| Pebblebrook Hotel Trust | 5,641 | 114 | ||||||||
| OneMain Holdings Inc | 3,092 | 114 | ||||||||
| PotlatchDeltic Corp. | 3,078 | 113 | ||||||||
| BOK Financial Corp. | 1,557 | 113 | ||||||||
| Associated Banc-Corp | 6,655 | 113 | ||||||||
| Independent Bank Corp. | 1,654 | 112 | ||||||||
| First Merchants Corp. | 3,156 | 110 | ||||||||
| Washington REIT | 4,068 | 109 | ||||||||
| First Midwest Bancorp Inc. | 5,944 | 108 | ||||||||
| Acadia Realty Trust | 4,668 | 107 | ||||||||
| * | eHealth Inc. | 892 | 105 | |||||||
| Investors Bancorp Inc. | 9,809 | 103 | ||||||||
| * | Cannae Holdings Inc. | 2,729 | 102 | |||||||
| WesBanco Inc. | 3,304 | 101 | ||||||||
| Kinsale Capital Group Inc. | 831 | 101 | ||||||||
| * | Redfin Corp. | 3,554 | 96 | |||||||
| Colony Capital Inc. | 24,268 | 96 | ||||||||
| ^ | Santander Consumer USA Holdings Inc. | 3,755 | 92 | |||||||
| Xenia Hotels & Resorts Inc. | 5,831 | 87 | ||||||||
| Lexington Realty Trust Class B | 8,385 | 87 | ||||||||
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 2,487 | 84 | ||||||||
| * | LendingTree Inc. | 303 | 84 | |||||||
| PennyMac Mortgage Investment Trust | 4,034 | 84 | ||||||||
| * | Genworth Financial Inc. | 20,753 | 81 | |||||||
| Clearway Energy Inc. | 3,583 | 75 | ||||||||
| Four Corners Property Trust Inc. | 2,616 | 75 | ||||||||
| National Storage Affiliates Trust | 2,224 | 75 | ||||||||
| Westamerica Bancorporation | 1,290 | 75 | ||||||||
| DiamondRock Hospitality Co. | 8,086 | 74 | ||||||||
| Uniti Group Inc. | 7,500 | 73 | ||||||||
| Argo Group International Holdings Ltd. | 1,283 | 72 | ||||||||
| NBT Bancorp Inc. | 2,122 | 72 | ||||||||
| CareTrust REIT Inc. | 3,329 | 69 | ||||||||
| * | Green Dot Corp. | 1,996 | 68 | |||||||
| FGL Holdings | 5,843 | 67 | ||||||||
| Cadence BanCorp Class A | 4,712 | 67 | ||||||||
| American Assets Trust Inc. | 1,588 | 66 | ||||||||
| Walker & Dunlop Inc. | 1,006 | 65 | ||||||||
| * | Cushman & Wakefield plc | 3,501 | 64 | |||||||
| * | Enstar Group Ltd. | 340 | 61 | |||||||
| SITE Centers Corp. | 5,256 | 61 | ||||||||
| Horace Mann Educators Corp. | 1,537 | 60 | ||||||||
| Moelis & Co. | 1,863 | 60 | ||||||||
| Ladder Capital Corp. | 3,896 | 59 | ||||||||
| LTC Properties Inc. | 1,311 | 59 | ||||||||
| ServisFirst Bancshares Inc. | 1,695 | 59 | ||||||||
| Urban Edge Properties | 3,581 | 58 | ||||||||
| * | NMI Holdings Inc. | 2,467 | 58 | |||||||
| WSFS Financial Corp. | 1,609 | 55 | ||||||||
| * | PRA Group Inc. | 1,417 | 55 | |||||||
| United Community Banks Inc. | 2,176 | 54 | ||||||||
| BGC Partners Inc. | 11,374 | 53 | ||||||||
| Cohen & Steers Inc. | 832 | 52 | ||||||||
| Redwood Trust Inc. | 3,008 | 51 | ||||||||
| * | Axos Financial Inc. | 2,058 | 51 | |||||||
| Retail Opportunity Investments Corp. | 3,413 | 51 | ||||||||
| Mack-Cali Realty Corp. | 2,696 | 51 | ||||||||
| Artisan Partners Asset Management Inc. | 1,768 | 51 | ||||||||
| ARMOUR Residential REIT Inc. | 2,717 | 49 | ||||||||
| Virtu Financial Inc. | 2,595 | 49 |
11
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Office Properties Income Trust | 1,669 | 49 | ||||||||
| Independent Bank Group Inc. | 1,043 | 48 | ||||||||
| Hope Bancorp Inc. | 3,925 | 48 | ||||||||
| ProAssurance Corp. | 1,765 | 48 | ||||||||
| Global Net Lease Inc. | 2,589 | 48 | ||||||||
| Bank of NT Butterfield & Son Ltd. | 1,722 | 48 | ||||||||
| Trustmark Corp. | 1,764 | 47 | ||||||||
| First BanCorp | 5,891 | 47 | ||||||||
| Capitol Federal Financial Inc. | 3,803 | 46 | ||||||||
| Kite Realty Group Trust | 2,848 | 46 | ||||||||
| * | Encore Capital Group Inc. | 1,227 | 46 | |||||||
| National General Holdings Corp. | 2,304 | 45 | ||||||||
| Heartland Financial USA Inc. | 1,042 | 45 | ||||||||
| Universal Health Realty Income Trust | 395 | 43 | ||||||||
| Pacific Premier Bancorp Inc. | 1,634 | 42 | ||||||||
| Alexander & Baldwin Inc. | 2,231 | 42 | ||||||||
| ^ | Tanger Factory Outlet Centers Inc. | 3,474 | 42 | |||||||
| Colony Credit Real Estate Inc. | 3,242 | 41 | ||||||||
| Towne Bank | 1,787 | 41 | ||||||||
| Banner Corp. | 902 | 41 | ||||||||
| Great Western Bancorp Inc. | 1,502 | 40 | ||||||||
| Hilltop Holdings Inc. | 1,934 | 40 | ||||||||
| Mercury General Corp. | 906 | 39 | ||||||||
| Renasant Corp. | 1,380 | 39 | ||||||||
| S&T Bancorp Inc. | 1,185 | 39 | ||||||||
| Employers Holdings Inc. | 1,002 | 39 | ||||||||
| Realogy Holdings Corp. | 3,994 | 37 | ||||||||
| Brookfield Property REIT Inc. Class A | 2,263 | 37 | ||||||||
| Investors Real Estate Trust | 518 | 37 | ||||||||
| Northwest Bancshares Inc. | 2,619 | 36 | ||||||||
| Eagle Bancorp Inc. | 963 | 36 | ||||||||
| TFS Financial Corp. | 1,741 | 36 | ||||||||
| iStar Inc. | 2,314 | 35 | ||||||||
| CNA Financial Corp. | 838 | 35 | ||||||||
| Flagstar Bancorp Inc. | 1,078 | 34 | ||||||||
| Getty Realty Corp. | 1,203 | 34 | ||||||||
| * | MBIA Inc. | 4,343 | 34 | |||||||
| Clearway Energy Inc. Class A | 1,653 | 34 | ||||||||
| Waddell & Reed Financial Inc. | 2,389 | 33 | ||||||||
| Provident Financial Services Inc. | 1,617 | 32 | ||||||||
| First Commonwealth Financial Corp. | 2,659 | 31 | ||||||||
| RPT Realty | 2,417 | 31 | ||||||||
| United Fire Group Inc. | 812 | 31 | ||||||||
| Sandy Spring Bancorp Inc. | 1,004 | 31 | ||||||||
| Safety Insurance Group Inc. | 391 | 31 | ||||||||
| Capstead Mortgage Corp. | 4,248 | 30 | ||||||||
| Berkshire Hills Bancorp Inc. | 1,187 | 29 | ||||||||
| Brookline Bancorp Inc. | 2,026 | 28 | ||||||||
| State Auto Financial Corp. | 1,048 | 26 | ||||||||
| Alexander’s Inc. | 83 | 26 | ||||||||
| LendingClub Corp. | 2,315 | 25 | ||||||||
| Summit Hotel Properties Inc. | 2,723 | 25 | ||||||||
| City Holding Co. | 360 | 25 | ||||||||
| * | Columbia Financial Inc. | 1,609 | 25 | |||||||
| Nelnet Inc. | 469 | 25 | ||||||||
| Kearny Financial Corp. | 2,268 | 25 | ||||||||
| Franklin Street Properties Corp. | 3,453 | 25 | ||||||||
| Piper Sandler Cos. | 335 | 23 | ||||||||
| BancFirst Corp. | 457 | 23 | ||||||||
| Front Yard Residential Corp. | 1,844 | 23 | ||||||||
| * | Marcus & Millichap Inc. | 717 | 23 | |||||||
| RMR Group Inc. | 594 | 22 | ||||||||
| Virtus Investment Partners Inc. | 199 | 22 | ||||||||
| * | Third Point Reinsurance Ltd. | 2,408 | 21 | |||||||
| Stock Yards Bancorp Inc. | 551 | 19 | ||||||||
| Washington Prime Group Inc. | 6,905 | 19 | ||||||||
| Boston Private Financial Holdings Inc. | 1,886 | 18 | ||||||||
| Washington Trust Bancorp Inc. | 389 | 17 | ||||||||
| * | St. Joe Co. | 838 | 16 | |||||||
| Saul Centers Inc. | 376 | 16 | ||||||||
| Brightsphere Investment Group Inc. | 1,639 | 15 | ||||||||
| TrustCo Bank Corp. NY | 2,115 | 15 | ||||||||
| FBL Financial Group Inc. Class A | 285 | 14 | ||||||||
| Urstadt Biddle Properties Inc. | 637 | 13 | ||||||||
| WisdomTree Investments Inc. | 3,233 | 13 | ||||||||
| Flushing Financial Corp. | 660 | 12 | ||||||||
| Hersha Hospitality Trust Class A | 958 | 11 | ||||||||
| 1st Source Corp. | 255 | 11 | ||||||||
| Republic Bancorp Inc. | 252 | 9 | ||||||||
| Dime Community Bancshares Inc. | 507 | 9 | ||||||||
| Community Trust Bancorp Inc. | 215 | 8 | ||||||||
| CorePoint Lodging Inc. | 898 | 7 | ||||||||
| 191,099 | ||||||||||
| Health Care (13.7%) | ||||||||||
| UnitedHealth Group Inc. | 39,296 | 10,019 | ||||||||
| Merck & Co. Inc. | 106,013 | 8,116 | ||||||||
| Pfizer Inc. | 231,435 | 7,735 | ||||||||
| Bristol-Myers Squibb Co. | 97,168 | 5,739 | ||||||||
| Medtronic plc | 55,775 | 5,615 | ||||||||
| Abbott Laboratories | 71,513 | 5,509 | ||||||||
| AbbVie Inc. | 61,391 | 5,262 | ||||||||
12
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Amgen Inc. | 24,897 | 4,973 | ||||||||
| Thermo Fisher Scientific Inc. | 16,570 | 4,819 | ||||||||
| Eli Lilly & Co. | 35,389 | 4,464 | ||||||||
| Gilead Sciences Inc. | 52,966 | 3,674 | ||||||||
| Cigna Corp. | 15,142 | 2,770 | ||||||||
| Stryker Corp. | 14,219 | 2,710 | ||||||||
| Anthem Inc. | 10,536 | 2,709 | ||||||||
| Becton Dickinson and Co. | 11,125 | 2,646 | ||||||||
| Zoetis Inc. | 19,844 | 2,644 | ||||||||
| Allergan plc | 13,602 | 2,593 | ||||||||
| * | Intuitive Surgical Inc. | 4,744 | 2,533 | |||||||
| * | Vertex Pharmaceuticals Inc. | 10,625 | 2,380 | |||||||
| * | Biogen Inc. | 7,482 | 2,307 | |||||||
| * | Boston Scientific Corp. | 57,675 | 2,156 | |||||||
| * | Edwards Lifesciences Corp. | 8,607 | 1,763 | |||||||
| Humana Inc. | 5,478 | 1,751 | ||||||||
| Baxter International Inc. | 19,932 | 1,664 | ||||||||
| * | Illumina Inc. | 6,083 | 1,616 | |||||||
| * | Regeneron Pharmaceuticals Inc. | 3,431 | 1,525 | |||||||
| HCA Healthcare Inc. | 11,051 | 1,404 | ||||||||
| * | Centene Corp. | 23,961 | 1,270 | |||||||
| Zimmer Biomet Holdings Inc. | 8,560 | 1,165 | ||||||||
| * | DexCom Inc. | 3,767 | 1,040 | |||||||
| * | IQVIA Holdings Inc. | 7,306 | 1,019 | |||||||
| ResMed Inc. | 5,887 | 936 | ||||||||
| * | IDEXX Laboratories Inc. | 3,535 | 900 | |||||||
| * | Alexion Pharmaceuticals Inc. | 8,740 | 822 | |||||||
| * | Laboratory Corp. of America Holdings | 4,120 | 724 | |||||||
| * | Align Technology Inc. | 3,210 | 701 | |||||||
| * | BioMarin Pharmaceutical Inc. | 7,625 | 689 | |||||||
| Cooper Cos. Inc. | 2,035 | 660 | ||||||||
| Teleflex Inc. | 1,966 | 659 | ||||||||
| Cardinal Health Inc. | 12,159 | 634 | ||||||||
| Quest Diagnostics Inc. | 5,564 | 590 | ||||||||
| * | Incyte Corp. | 7,466 | 563 | |||||||
| * | Seattle Genetics Inc. | 4,816 | 548 | |||||||
| STERIS plc | 3,403 | 540 | ||||||||
| * | Alnylam Pharmaceuticals Inc. | 4,390 | 517 | |||||||
| * | Hologic Inc. | 10,956 | 516 | |||||||
| * | Insulet Corp. | 2,438 | 463 | |||||||
| * | Exact Sciences Corp. | 5,688 | 460 | |||||||
| * | Varian Medical Systems Inc. | 3,691 | 454 | |||||||
| * | Elanco Animal Health Inc. | 16,424 | 450 | |||||||
| West Pharmaceutical Services Inc. | 2,984 | 449 | ||||||||
| Dentsply Sirona Inc. | 9,123 | 449 | ||||||||
| Universal Health Services Inc. | 3,213 | 398 | ||||||||
| PerkinElmer Inc. | 4,503 | 389 | ||||||||
| * | Teladoc Health Inc. | 2,977 | 372 | |||||||
| * | Henry Schein Inc. | 6,078 | 370 | |||||||
| * | Neurocrine Biosciences Inc. | 3,813 | 361 | |||||||
| * | Mylan NV | 20,987 | 361 | |||||||
| * | ICON plc | 2,208 | 345 | |||||||
| * | Sarepta Therapeutics Inc. | 2,898 | 332 | |||||||
| * | Catalent Inc. | 6,383 | 329 | |||||||
| * | Masimo Corp. | 2,010 | 328 | |||||||
| * | Molina Healthcare Inc. | 2,669 | 327 | |||||||
| Encompass Health Corp. | 4,222 | 316 | ||||||||
| * | DaVita Inc. | 4,068 | 316 | |||||||
| * | Charles River Laboratories International Inc. | 2,006 | 312 | |||||||
| * | Bio-Rad Laboratories Inc. | 864 | 304 | |||||||
| Bio-Techne Corp. | 1,528 | 289 | ||||||||
| * | ABIOMED Inc. | 1,902 | 286 | |||||||
| * | Jazz Pharmaceuticals plc | 2,468 | 283 | |||||||
| * | Ionis Pharmaceuticals Inc. | 5,477 | 278 | |||||||
| Chemed Corp. | 658 | 275 | ||||||||
| * | Horizon Therapeutics plc | 7,885 | 270 | |||||||
| Perrigo Co. plc | 5,311 | 269 | ||||||||
| Hill-Rom Holdings Inc. | 2,742 | 263 | ||||||||
| * | Novocure Ltd. | 3,581 | 260 | |||||||
| * | PRA Health Sciences Inc. | 2,631 | 248 | |||||||
| * | Amedisys Inc. | 1,407 | 245 | |||||||
| * | Exelixis Inc. | 13,083 | 243 | |||||||
| * | Haemonetics Corp. | 2,127 | 230 | |||||||
| * | Penumbra Inc. | 1,333 | 221 | |||||||
| * | United Therapeutics Corp. | 2,117 | 218 | |||||||
| Avantor Inc. | 13,424 | 211 | ||||||||
| * | ACADIA Pharmaceuticals Inc. | 4,713 | 201 | |||||||
| * | HealthEquity Inc. | 2,819 | 200 | |||||||
| * | Repligen Corp. | 2,322 | 199 | |||||||
| Bruker Corp. | 4,188 | 182 | ||||||||
| * | Tandem Diabetes Care Inc. | 2,358 | 176 | |||||||
| * | Reata Pharmaceuticals Inc. | 889 | 173 | |||||||
| * | Iovance Biotherapeutics Inc. | 5,171 | 170 | |||||||
| * | LHC Group Inc. | 1,384 | 168 | |||||||
| * | Nevro Corp. | 1,288 | 168 | |||||||
| * | Global Blood Therapeutics Inc. | 2,592 | 166 | |||||||
| * | PTC Therapeutics Inc. | 3,023 | 166 | |||||||
| * | Wright Medical Group NV | 5,391 | 163 | |||||||
| * | Syneos Health Inc. | 2,567 | 163 | |||||||
| * | Integra LifeSciences Holdings Corp. | 3,086 | 161 | |||||||
| * | Acceleron Pharma Inc. | 1,871 | 161 | |||||||
| * | ICU Medical Inc. | 815 | 160 | |||||||
| * | Bluebird Bio Inc. | 2,182 | 158 | |||||||
| * | Omnicell Inc. | 1,881 | 153 | |||||||
| * | LivaNova plc | 2,124 | 148 | |||||||
| * | Globus Medical Inc. | 3,245 | 147 | |||||||
| * | Neogen Corp. | 2,368 | 144 | |||||||
| * | FibroGen Inc. | 3,410 | 143 |
13
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| * | Alkermes plc | 6,782 | 141 | |||||||
| * | Agios Pharmaceuticals Inc. | 2,937 | 139 | |||||||
| * | NuVasive Inc. | 2,109 | 139 | |||||||
| * | MyoKardia Inc. | 2,168 | 137 | |||||||
| * | Arrowhead Pharmaceuticals Inc. | 3,844 | 136 | |||||||
| * | Immunomedics Inc. | 7,991 | 128 | |||||||
| * | Quidel Corp. | 1,640 | 127 | |||||||
| * | Acadia Healthcare Co. Inc. | 4,237 | 125 | |||||||
| * | Guardant Health Inc. | 1,439 | 125 | |||||||
| CONMED Corp. | 1,314 | 124 | ||||||||
| * | Halozyme Therapeutics Inc. | 6,121 | 120 | |||||||
| * | Blueprint Medicines Corp. | 2,198 | 119 | |||||||
| * | Mirati Therapeutics Inc. | 1,327 | 119 | |||||||
| * | Ultragenyx Pharmaceutical Inc. | 2,089 | 117 | |||||||
| * | Tenet Healthcare Corp. | 4,444 | 117 | |||||||
| * | Emergent BioSolutions Inc. | 1,983 | 116 | |||||||
| * | Momenta Pharmaceuticals Inc. | 3,975 | 112 | |||||||
| * | Intercept Pharmaceuticals Inc. | 1,213 | 111 | |||||||
| Cantel Medical Corp. | 1,735 | 109 | ||||||||
| * | NeoGenomics Inc. | 3,846 | 109 | |||||||
| * | Natera Inc. | 2,709 | 103 | |||||||
| * | Amicus Therapeutics Inc. | 10,580 | 101 | |||||||
| * | Sage Therapeutics Inc. | 2,139 | 101 | |||||||
| * | Select Medical Holdings Corp. | 4,157 | 99 | |||||||
| * | Medpace Holdings Inc. | 1,079 | 97 | |||||||
| * | HMS Holdings Corp. | 4,044 | 93 | |||||||
| * | iRhythm Technologies Inc. | 1,037 | 90 | |||||||
| * | Insmed Inc. | 3,557 | 89 | |||||||
| Ensign Group Inc. | 1,949 | 87 | ||||||||
| * | Arena Pharmaceuticals Inc. | 1,905 | 85 | |||||||
| Healthcare Services Group Inc. | 2,946 | 81 | ||||||||
| * | MEDNAX Inc. | 4,682 | 80 | |||||||
| * | Merit Medical Systems Inc. | 2,203 | 79 | |||||||
| Patterson Cos. Inc. | 3,289 | 78 | ||||||||
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 1,721 | 76 | |||||||
| * | Prestige Consumer Healthcare Inc. | 2,021 | 75 | |||||||
| * | uniQure NV | 1,437 | 74 | |||||||
| * | Ironwood Pharmaceuticals Inc. | 5,933 | 71 | |||||||
| * | Pacira BioSciences Inc. | 1,613 | 70 | |||||||
| * | Glaukos Corp. | 1,545 | 68 | |||||||
| * | Invitae Corp. | 3,206 | 65 | |||||||
| * | Ligand Pharmaceuticals Inc. | 649 | 61 | |||||||
| * | Avanos Medical Inc. | 1,841 | 60 | |||||||
| * | Xencor Inc. | 1,645 | 53 | |||||||
| * | Heron Therapeutics Inc. | 2,821 | 53 | |||||||
| * | Esperion Therapeutics Inc. | 967 | 49 | |||||||
| * | BioTelemetry Inc. | 1,135 | 48 | |||||||
| * | Editas Medicine Inc. | 2,129 | 47 | |||||||
| * | Brookdale Senior Living Inc. | 7,011 | 46 | |||||||
| * | Endo International plc | 8,145 | 45 | |||||||
| * | Magellan Health Inc. | 749 | 45 | |||||||
| * | Myriad Genetics Inc. | 2,528 | 45 | |||||||
| * | Theravance Biopharma Inc. | 1,819 | 44 | |||||||
| * | Allogene Therapeutics Inc. | 1,634 | 44 | |||||||
| * | REGENXBIO Inc. | 1,101 | 44 | |||||||
| * | Corcept Therapeutics Inc. | 3,336 | 42 | |||||||
| * | Aimmune Therapeutics Inc. | 1,734 | 41 | |||||||
| * | Radius Health Inc. | 1,857 | 39 | |||||||
| * | Zogenix Inc. | 1,462 | 37 | |||||||
| * | Supernus Pharmaceuticals Inc. | 1,962 | 35 | |||||||
| Luminex Corp. | 1,385 | 34 | ||||||||
| * | Tricida Inc. | 1,053 | 33 | |||||||
| * | Intra-Cellular Therapies Inc. | 1,532 | 32 | |||||||
| * | Denali Therapeutics Inc. | 1,624 | 32 | |||||||
| * | Varex Imaging Corp. | 1,345 | 31 | |||||||
| * | Atara Biotherapeutics Inc. | 2,560 | 31 | |||||||
| * | Aerie Pharmaceuticals Inc. | 1,731 | 30 | |||||||
| * | Natus Medical Inc. | 1,111 | 30 | |||||||
| * | Innoviva Inc. | 2,031 | 27 | |||||||
| * | Inogen Inc. | 591 | 27 | |||||||
| * | Portola Pharmaceuticals Inc. | 2,544 | 26 | |||||||
| * | Taro Pharmaceutical Industries Ltd. | 362 | 24 | |||||||
| * | Eagle Pharmaceuticals Inc. | 518 | 24 | |||||||
| * | Pennant Group Inc. | 833 | 23 | |||||||
| * | CorVel Corp. | 313 | 22 | |||||||
| * | Orthofix Medical Inc. | 588 | 21 | |||||||
| * | Enanta Pharmaceuticals Inc. | 408 | 21 | |||||||
| * | Tivity Health Inc. | 1,466 | 19 | |||||||
| * | OPKO Health Inc. | 11,176 | 17 | |||||||
| * | Madrigal Pharmaceuticals Inc. | 179 | 15 | |||||||
| * | Amneal Pharmaceuticals Inc. | 3,851 | 15 | |||||||
| * | Axogen Inc. | 1,111 | 14 | |||||||
| * | Clovis Oncology Inc. | 1,665 | 13 | |||||||
| * | Mallinckrodt plc | 2,751 | 12 | |||||||
| *,^ | TherapeuticsMD Inc. | 6,948 | 12 | |||||||
| * | Spectrum Pharmaceuticals Inc. | 2,665 | 8 | |||||||
| * | Precigen Inc. | 1,728 | 7 | |||||||
| * | AnaptysBio Inc. | 373 | 6 | |||||||
| * | Lexicon Pharmaceuticals Inc. | 1,530 | 4 | |||||||
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 767 | 1 | |||||||
| 136,954 | ||||||||||
| Industrials (9.8%) | ||||||||||
| * | PayPal Holdings Inc. | 48,820 | 5,272 | |||||||
| Accenture plc Class A | 26,535 | 4,792 | ||||||||
| Union Pacific Corp. | 28,811 | 4,604 | ||||||||
14
ESG U.S. Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Danaher Corp. | 25,498 | 3,687 | ||||||||
| Fidelity National Information Services Inc. | 25,321 | 3,538 | ||||||||
| Automatic Data Processing Inc. | 18,082 | 2,798 | ||||||||
| Caterpillar Inc. | 22,159 | 2,753 | ||||||||
| United Parcel Service Inc. | 29,004 | 2,625 | ||||||||
| * | Fiserv Inc. | 23,414 | 2,561 | |||||||
| Global Payments Inc. | 12,310 | 2,265 | ||||||||
| Illinois Tool Works Inc. | 13,222 | 2,218 | ||||||||
| CSX Corp. | 31,167 | 2,196 | ||||||||
| Deere & Co. | 13,037 | 2,040 | ||||||||
| Waste Management Inc. | 17,592 | 1,949 | ||||||||
| Sherwin-Williams Co. | 3,427 | 1,771 | ||||||||
| FedEx Corp. | 9,939 | 1,403 | ||||||||
| Ingersoll-Rand plc | 9,934 | 1,282 | ||||||||
| Johnson Controls International plc | 32,699 | 1,196 | ||||||||
| * | Square Inc. | 14,147 | 1,179 | |||||||
| Paychex Inc. | 13,282 | 1,029 | ||||||||
| Willis Towers Watson plc | 5,421 | 1,026 | ||||||||
| Verisk Analytics Inc. | 6,596 | 1,023 | ||||||||
| * | CoStar Group Inc. | 1,479 | 987 | |||||||
| Agilent Technologies Inc. | 12,712 | 980 | ||||||||
| PACCAR Inc. | 14,174 | 948 | ||||||||
| * | FleetCor Technologies Inc. | 3,542 | 941 | |||||||
| Cintas Corp. | 3,513 | 937 | ||||||||
| Stanley Black & Decker Inc. | 6,318 | 908 | ||||||||
| Rockwell Automation Inc. | 4,869 | 893 | ||||||||
| Fortive Corp. | 12,300 | 851 | ||||||||
| Republic Services Inc. | 9,216 | 832 | ||||||||
| Fastenal Co. | 23,392 | 801 | ||||||||
| * | Keysight Technologies Inc. | 7,778 | 737 | |||||||
| * | Mettler-Toledo International Inc. | 991 | 695 | |||||||
| TransUnion | 7,796 | 693 | ||||||||
| Vulcan Materials Co. | 5,386 | 648 | ||||||||
| Dover Corp. | 6,189 | 636 | ||||||||
| Kansas City Southern | 4,166 | 628 | ||||||||
| Martin Marietta Materials Inc. | 2,632 | 599 | ||||||||
| Xylem Inc. | 7,590 | 587 | ||||||||
| * | Waters Corp. | 2,768 | 539 | |||||||
| WW Grainger Inc. | 1,918 | 532 | ||||||||
| Old Dominion Freight Line Inc. | 2,729 | 529 | ||||||||
| Westinghouse Air Brake Technologies Corp. | 7,547 | 519 | ||||||||
| Masco Corp. | 12,182 | 503 | ||||||||
| Expeditors International of Washington Inc. | 7,029 | 495 | ||||||||
| Broadridge Financial Solutions Inc. | 4,715 | 492 | ||||||||
| Jack Henry & Associates Inc. | 3,121 | 474 | ||||||||
| * | Fair Isaac Corp. | 1,251 | 470 | |||||||
| Arconic Inc. | 15,935 | 468 | ||||||||
| * | Zebra Technologies Corp. | 2,196 | 463 | |||||||
| IDEX Corp. | 3,069 | 454 | ||||||||
| Allegion plc | 3,859 | 444 | ||||||||
| * | Trimble Inc. | 10,571 | 417 | |||||||
| Booz Allen Hamilton Holding Corp. | 5,561 | 397 | ||||||||
| CH Robinson Worldwide Inc. | 5,514 | 380 | ||||||||
| * | Crown Holdings Inc. | 5,336 | 376 | |||||||
| * | WEX Inc. | 1,877 | 351 | |||||||
| Westrock Co. | 10,415 | 346 | ||||||||
| Graco Inc. | 6,976 | 344 | ||||||||
| Nordson Corp. | 2,360 | 343 | ||||||||
| JB Hunt Transport Services Inc. | 3,536 | 341 | ||||||||
| Packaging Corp. of America | 3,736 | 339 | ||||||||
| Snap-on Inc. | 2,286 | 331 | ||||||||
| Lennox International Inc. | 1,438 | 328 | ||||||||
| Toro Co. | 4,454 | 318 | ||||||||
| Cognex Corp. | 6,825 | 304 | ||||||||
| Genpact Ltd. | 7,741 | 298 | ||||||||
| * | XPO Logistics Inc. | 3,831 | 283 | |||||||
| Universal Display Corp. | 1,682 | 267 | ||||||||
| * | Sensata Technologies Holding plc | 6,530 | 266 | |||||||
| AptarGroup Inc. | 2,597 | 263 | ||||||||
| * | HD Supply Holdings Inc. | 6,837 | 260 | |||||||
| * | Generac Holdings Inc. | 2,519 | 259 | |||||||
| Owens Corning | 4,570 | 258 | ||||||||
| * | Euronet Worldwide Inc. | 2,066 | 256 | |||||||
| * | Pagseguro Digital Ltd. | 8,101 | 254 | |||||||
| Donaldson Co. Inc. | 5,468 | 247 | ||||||||
| * | Arrow Electronics Inc. | 3,655 | 245 | |||||||
| * | Trex Co. Inc. | 2,551 | 244 | |||||||
| Xerox Holdings Corp. | 7,439 | 240 | ||||||||
| * | Flex Ltd. | 21,449 | 238 | |||||||
| Robert Half International Inc. | 4,721 | 238 | ||||||||
| National Instruments Corp. | 5,790 | 233 | ||||||||
| AO Smith Corp. | 5,810 | 230 | ||||||||
| Armstrong World Industries Inc. | 2,259 | 226 | ||||||||
| Quanta Services Inc. | 5,877 | 224 | ||||||||
| * | Stericycle Inc. | 3,876 | 223 | |||||||
| MDU Resources Group Inc. | 7,445 | 206 | ||||||||
| * | Berry Global Group Inc. | 5,418 | 206 | |||||||
| Sonoco Products Co. | 4,248 | 205 | ||||||||
| Sealed Air Corp. | 6,628 | 201 | ||||||||
| MSA Safety Inc. | 1,616 | 197 | ||||||||
| * | Axon Enterprise Inc. | 2,526 | 195 | |||||||
| Watsco Inc. | 1,228 | 193 | ||||||||
| Allison Transmission Holdings Inc. | 4,748 | 193 | ||||||||
| * | Paylocity Holding Corp. | 1,431 | 185 |
15
ESG U.S. Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| ManpowerGroup Inc. | 2,413 | 183 | ||||||||
| Landstar System Inc. | 1,801 | 182 | ||||||||
| * | Gardner Denver Holdings Inc. | 5,464 | 179 | |||||||
| * | SiteOne Landscape Supply Inc. | 1,805 | 179 | |||||||
| MAXIMUS Inc. | 2,814 | 177 | ||||||||
| Brink’s Co. | 2,250 | 176 | ||||||||
| * | FTI Consulting Inc. | 1,548 | 174 | |||||||
| Littelfuse Inc. | 1,086 | 173 | ||||||||
| CoreLogic Inc. | 3,789 | 172 | ||||||||
| * | Mercury Systems Inc. | 2,297 | 169 | |||||||
| Acuity Brands Inc. | 1,625 | 167 | ||||||||
| Air Lease Corp. | 4,317 | 166 | ||||||||
| AGCO Corp. | 2,730 | 165 | ||||||||
| Simpson Manufacturing Co. Inc. | 2,070 | 164 | ||||||||
| Rexnord Corp. | 5,621 | 164 | ||||||||
| Graphic Packaging Holding Co. | 12,080 | 163 | ||||||||
| * | Clean Harbors Inc. | 2,340 | 163 | |||||||
| Louisiana-Pacific Corp. | 5,717 | 163 | ||||||||
| Regal Beloit Corp. | 2,041 | 158 | ||||||||
| * | TopBuild Corp. | 1,555 | 157 | |||||||
| Eagle Materials Inc. | 1,969 | 155 | ||||||||
| * | Integer Holdings Corp. | 1,709 | 154 | |||||||
| * | Kirby Corp. | 2,409 | 154 | |||||||
| Alliance Data Systems Corp. | 1,779 | 153 | ||||||||
| nVent Electric plc | 6,298 | 151 | ||||||||
| * | AMN Healthcare Services Inc. | 2,005 | 148 | |||||||
| Avnet Inc. | 4,682 | 144 | ||||||||
| * | Novanta Inc. | 1,560 | 139 | |||||||
| Valmont Industries Inc. | 1,196 | 139 | ||||||||
| Watts Water Technologies Inc. | 1,473 | 138 | ||||||||
| * | Anixter International Inc. | 1,351 | 132 | |||||||
| Universal Forest Products Inc. | 2,809 | 132 | ||||||||
| * | ExlService Holdings Inc. | 1,760 | 131 | |||||||
| GATX Corp. | 1,797 | 129 | ||||||||
| John Bean Technologies Corp. | 1,315 | 127 | ||||||||
| UniFirst Corp. | 673 | 125 | ||||||||
| Franklin Electric Co. Inc. | 2,408 | 125 | ||||||||
| * | MasTec Inc. | 2,535 | 124 | |||||||
| * | Builders FirstSource Inc. | 5,381 | 122 | |||||||
| * | Proto Labs Inc. | 1,376 | 121 | |||||||
| Insperity Inc. | 1,771 | 119 | ||||||||
| MSC Industrial Direct Co. Inc. Class A | 1,927 | 119 | ||||||||
| * | ASGN Inc. | 2,340 | 119 | |||||||
| Macquarie Infrastructure Corp. | 3,005 | 118 | ||||||||
| Vishay Intertechnology Inc. | 6,280 | 117 | ||||||||
| Brady Corp. Class A | 2,456 | 116 | ||||||||
| * | Itron Inc. | 1,518 | 115 | |||||||
| Korn Ferry | 3,114 | 109 | ||||||||
| Applied Industrial Technologies Inc. | 1,841 | 109 | ||||||||
| Trinity Industries Inc. | 5,109 | 104 | ||||||||
| * | WESCO International Inc. | 2,490 | 101 | |||||||
| Ryder System Inc. | 2,620 | 100 | ||||||||
| * | Cimpress plc | 824 | 96 | |||||||
| * | Summit Materials Inc. | 4,705 | 92 | |||||||
| * | Advanced Disposal Services Inc. | 2,687 | 89 | |||||||
| * | Casella Waste Systems Inc. | 1,779 | 86 | |||||||
| * | Saia Inc. | 986 | 86 | |||||||
| ESCO Technologies Inc. | 939 | 85 | ||||||||
| * | Rogers Corp. | 733 | 85 | |||||||
| AAON Inc. | 1,533 | 84 | ||||||||
| * | TriNet Group Inc. | 1,586 | 84 | |||||||
| * | Beacon Roofing Supply Inc. | 2,654 | 79 | |||||||
| Forward Air Corp. | 1,330 | 79 | ||||||||
| * | Fabrinet | 1,386 | 76 | |||||||
| Albany International Corp. | 1,186 | 76 | ||||||||
| * | Ambarella Inc. | 1,246 | 74 | |||||||
| * | SPX Corp. | 1,631 | 68 | |||||||
| O-I Glass Inc. | 6,289 | 68 | ||||||||
| Federal Signal Corp. | 2,336 | 68 | ||||||||
| Badger Meter Inc. | 1,120 | 67 | ||||||||
| EVERTEC Inc. | 2,238 | 66 | ||||||||
| Advanced Drainage Systems Inc. | 1,530 | 64 | ||||||||
| * | Masonite International Corp. | 869 | 64 | |||||||
| * | Plexus Corp. | 946 | 63 | |||||||
| Aircastle Ltd. | 1,967 | 63 | ||||||||
| Otter Tail Corp. | 1,278 | 62 | ||||||||
| Mobile Mini Inc. | 1,576 | 61 | ||||||||
| * | Sanmina Corp. | 2,180 | 57 | |||||||
| * | Hub Group Inc. | 1,190 | 55 | |||||||
| * | BMC Stock Holdings Inc. | 2,230 | 55 | |||||||
| McGrath RentCorp | 786 | 55 | ||||||||
| * | Kratos Defense & Security Solutions Inc. | 3,343 | 54 | |||||||
| Covanta Holding Corp. | 3,952 | 53 | ||||||||
| Boise Cascade Co. | 1,483 | 53 | ||||||||
| Deluxe Corp. | 1,559 | 52 | ||||||||
| Belden Inc. | 1,279 | 51 | ||||||||
| Mueller Industries Inc. | 1,821 | 51 | ||||||||
| Triton International Ltd. | 1,475 | 51 | ||||||||
| * | Installed Building Products Inc. | 746 | 49 | |||||||
| * | Cardtronics plc | 1,351 | 49 | |||||||
| * | Gibraltar Industries Inc. | 966 | 49 | |||||||
| Werner Enterprises Inc. | 1,403 | 47 | ||||||||
| * | OSI Systems Inc. | 571 | 46 | |||||||
| Comfort Systems USA Inc. | 1,085 | 46 | ||||||||
| * | Pluralsight Inc. Class A | 2,545 | 45 | |||||||
| * | Huron Consulting Group Inc. | 764 | 45 | |||||||
| Tennant Co. | 628 | 45 |
16
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Patrick Industries Inc. | 834 | 44 | ||||||||
| * | Knowles Corp. | 2,621 | 44 | |||||||
| * | CBIZ Inc. | 1,660 | 43 | |||||||
| AAR Corp. | 1,232 | 43 | ||||||||
| * | JELD-WEN Holding Inc. | 2,250 | 42 | |||||||
| Terex Corp. | 1,864 | 41 | ||||||||
| * | Atlas Corp. | 3,785 | 40 | |||||||
| * | MACOM Technology Solutions Holdings Inc. | 1,564 | 40 | |||||||
| SFL Corp. Ltd. | 3,234 | 39 | ||||||||
| * | TTM Technologies Inc. | 2,938 | 38 | |||||||
| * | Sykes Enterprises Inc. | 1,200 | 38 | |||||||
| Greif Inc. Class A | 1,048 | 37 | ||||||||
| Encore Wire Corp. | 748 | 37 | ||||||||
| Lindsay Corp. | 369 | 37 | ||||||||
| Helios Technologies Inc. | 910 | 36 | ||||||||
| AVX Corp. | 1,572 | 34 | ||||||||
| Raven Industries Inc. | 1,179 | 34 | ||||||||
| * | TriMas Corp. | 1,328 | 34 | |||||||
| Benchmark Electronics Inc. | 1,194 | 32 | ||||||||
| Rush Enterprises Inc. | 741 | 31 | ||||||||
| US Ecology Inc. | 710 | 30 | ||||||||
| Schneider National Inc. | 1,601 | 29 | ||||||||
| * | Dycom Industries Inc. | 964 | 29 | |||||||
| Scorpio Tankers Inc. | 1,438 | 28 | ||||||||
| Granite Construction Inc. | 1,384 | 28 | ||||||||
| * | FARO Technologies Inc. | 491 | 28 | |||||||
| * | Harsco Corp. | 2,319 | 28 | |||||||
| Heartland Express Inc. | 1,426 | 26 | ||||||||
| Quanex Building Products Corp. | 1,508 | 25 | ||||||||
| * | SEACOR Holdings Inc. | 665 | 25 | |||||||
| Primoris Services Corp. | 1,296 | 25 | ||||||||
| * | Evolent Health Inc. | 2,607 | 24 | |||||||
| Griffon Corp. | 1,291 | 22 | ||||||||
| * | Manitowoc Co. Inc. | 1,741 | 22 | |||||||
| H&E Equipment Services Inc. | 900 | 21 | ||||||||
| Astec Industries Inc. | 565 | 21 | ||||||||
| Greenbrier Cos. Inc. | 869 | 21 | ||||||||
| * | Tutor Perini Corp. | 1,416 | 21 | |||||||
| Myers Industries Inc. | 1,511 | 21 | ||||||||
| Apogee Enterprises Inc. | 669 | 20 | ||||||||
| CTS Corp. | 770 | 20 | ||||||||
| ADT Inc. | 3,119 | 20 | ||||||||
| Kelly Services Inc. | 1,114 | 19 | ||||||||
| TTEC Holdings Inc. | 458 | 17 | ||||||||
| * | Conduent Inc. | 5,177 | 17 | |||||||
| Hyster-Yale Materials Handling Inc. | 335 | 16 | ||||||||
| * | TrueBlue Inc. | 1,032 | 15 | |||||||
| GasLog Ltd. | 1,570 | 9 | ||||||||
| Matson Inc. | 260 | 9 | ||||||||
| Caesarstone Ltd. | 398 | 4 | ||||||||
| 97,618 | ||||||||||
| Oil & Gas (1.2%) | ||||||||||
| Schlumberger Ltd. | 57,357 | 1,554 | ||||||||
| Phillips 66 | 18,678 | 1,398 | ||||||||
| Marathon Petroleum Corp. | 26,867 | 1,274 | ||||||||
| ONEOK Inc. | 17,155 | 1,145 | ||||||||
| Valero Energy Corp. | 17,083 | 1,132 | ||||||||
| Williams Cos. Inc. | 50,324 | 959 | ||||||||
| Halliburton Co. | 36,300 | 616 | ||||||||
| * | Cheniere Energy Inc. | 9,769 | 501 | |||||||
| Baker Hughes Co. | 27,844 | 448 | ||||||||
| Targa Resources Corp. | 9,612 | 311 | ||||||||
| National Oilwell Varco Inc. | 16,074 | 301 | ||||||||
| HollyFrontier Corp. | 6,388 | 215 | ||||||||
| * | SolarEdge Technologies Inc. | 1,654 | 206 | |||||||
| * | Enphase Energy Inc. | 3,944 | 193 | |||||||
| Helmerich & Payne Inc. | 4,871 | 180 | ||||||||
| * | First Solar Inc. | 3,454 | 158 | |||||||
| PBF Energy Inc. | 5,264 | 118 | ||||||||
| * | Transocean Ltd. | 27,418 | 92 | |||||||
| * | Cosan Ltd. | 4,442 | 81 | |||||||
| Arcosa Inc. | 1,880 | 81 | ||||||||
| * | Apergy Corp. | 3,994 | 74 | |||||||
| * | Chart Industries Inc. | 1,275 | 73 | |||||||
| Equitrans Midstream Corp. | 8,432 | 60 | ||||||||
| Delek US Holdings Inc. | 2,488 | 53 | ||||||||
| Golar LNG Ltd. | 3,851 | 49 | ||||||||
| Core Laboratories NV | 1,668 | 45 | ||||||||
| * | Dril-Quip Inc. | 1,234 | 44 | |||||||
| Patterson-UTI Energy Inc. | 6,649 | 38 | ||||||||
| Archrock Inc. | 5,138 | 36 | ||||||||
| Antero Midstream Corp. | 8,140 | 35 | ||||||||
| * | NOW Inc. | 3,363 | 30 | |||||||
| * | Valaris plc Class A | 6,443 | 24 | |||||||
| CVR Energy Inc. | 817 | 23 | ||||||||
| * | MRC Global Inc. | 2,621 | 23 | |||||||
| Nabors Industries Ltd. | 11,299 | 20 | ||||||||
| * | ProPetro Holding Corp. | 2,187 | 19 | |||||||
| * | SunPower Corp. | 2,024 | 17 | |||||||
| * | Newpark Resources Inc. | 4,118 | 14 | |||||||
| * | Frank’s International NV | 3,600 | 14 | |||||||
| * | Oil States International Inc. | 1,455 | 11 | |||||||
| RPC Inc. | 3,251 | 11 | ||||||||
| * | Diamond Offshore Drilling Inc. | 1,569 | 5 | |||||||
| 11,681 | ||||||||||
| Technology (27.9%) | ||||||||||
| Microsoft Corp. | 314,568 | 50,963 | ||||||||
| Apple Inc. | 184,897 | 50,543 | ||||||||
| * | Facebook Inc. | 99,354 | 19,123 | |||||||
| * | Alphabet Inc. Class C | 13,041 | 17,466 | |||||||
| * | Alphabet Inc. Class A | 11,874 | 15,902 | |||||||
| Intel Corp. | 181,119 | 10,056 | ||||||||
| Cisco Systems Inc. | 177,954 | 7,106 | ||||||||
| * | Adobe Inc. | 20,197 | 6,970 | |||||||
17
ESG U.S. Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| NVIDIA Corp. | 24,247 | 6,548 | ||||||||
| * | salesforce.com Inc. | 34,935 | 5,953 | |||||||
| International Business Machines Corp. | 36,900 | 4,803 | ||||||||
| Texas Instruments Inc. | 39,015 | 4,453 | ||||||||
| Broadcom Inc. | 16,057 | 4,377 | ||||||||
| Oracle Corp. | 85,375 | 4,223 | ||||||||
| QUALCOMM Inc. | 47,461 | 3,716 | ||||||||
| Intuit Inc. | 10,324 | 2,745 | ||||||||
| * | ServiceNow Inc. | 7,720 | 2,517 | |||||||
| * | Micron Technology Inc. | 45,899 | 2,412 | |||||||
| Applied Materials Inc. | 38,246 | 2,223 | ||||||||
| * | Advanced Micro Devices Inc. | 42,740 | 1,944 | |||||||
| Lam Research Corp. | 5,979 | 1,754 | ||||||||
| * | Autodesk Inc. | 9,069 | 1,731 | |||||||
| Analog Devices Inc. | 15,305 | 1,669 | ||||||||
| Cognizant Technology Solutions Corp. | 22,829 | 1,391 | ||||||||
| NXP Semiconductors NV | 11,759 | 1,337 | ||||||||
| HP Inc. | 61,591 | 1,280 | ||||||||
| Motorola Solutions Inc. | 7,230 | 1,198 | ||||||||
| * | Workday Inc. | 6,790 | 1,176 | |||||||
| * | Twitter Inc. | 32,356 | 1,074 | |||||||
| KLA Corp. | 6,570 | 1,010 | ||||||||
| * | Splunk Inc. | 6,370 | 939 | |||||||
| Cerner Corp. | 12,883 | 892 | ||||||||
| Xilinx Inc. | 10,477 | 875 | ||||||||
| Microchip Technology Inc. | 9,529 | 864 | ||||||||
| * | Synopsys Inc. | 6,201 | 855 | |||||||
| * | VeriSign Inc. | 4,326 | 821 | |||||||
| * | Veeva Systems Inc. | 5,685 | 807 | |||||||
| Corning Inc. | 32,094 | 766 | ||||||||
| * | Cadence Design Systems Inc. | 11,469 | 759 | |||||||
| * | RingCentral Inc. | 3,185 | 751 | |||||||
| Skyworks Solutions Inc. | 7,216 | 723 | ||||||||
| * | Atlassian Corp. plc Class A | 4,976 | 721 | |||||||
| * | Palo Alto Networks Inc. | 3,878 | 716 | |||||||
| Hewlett Packard Enterprise Co. | 55,059 | 704 | ||||||||
| CDW Corp. | 5,953 | 680 | ||||||||
| Western Digital Corp. | 12,227 | 679 | ||||||||
| Maxim Integrated Products Inc. | 11,391 | 634 | ||||||||
| * | Fortinet Inc. | 5,864 | 598 | |||||||
| Marvell Technology Group Ltd. | 27,686 | 590 | ||||||||
| * | Akamai Technologies Inc. | 6,778 | 586 | |||||||
| * | Paycom Software Inc. | 2,063 | 583 | |||||||
| * | Twilio Inc. | 5,012 | 565 | |||||||
| * | DocuSign Inc. Class A | 6,393 | 552 | |||||||
| * | Okta Inc. | 4,301 | 551 | |||||||
| Seagate Technology plc | 11,001 | 528 | ||||||||
| Citrix Systems Inc. | 5,037 | 521 | ||||||||
| * | GoDaddy Inc. | 7,172 | 502 | |||||||
| * | Check Point Software Technologies Ltd. | 4,752 | 493 | |||||||
| * | Arista Networks Inc. | 2,528 | 488 | |||||||
| * | Yandex NV | 11,932 | 485 | |||||||
| * | Tyler Technologies Inc. | 1,531 | 480 | |||||||
| * | Qorvo Inc. | 4,765 | 479 | |||||||
| * | EPAM Systems Inc. | 2,144 | 479 | |||||||
| * | Gartner Inc. | 3,588 | 464 | |||||||
| NetApp Inc. | 9,914 | 463 | ||||||||
| NortonLifeLock Inc. | 23,874 | 454 | ||||||||
| Teradyne Inc. | 7,010 | 412 | ||||||||
| * | Black Knight Inc. | 5,895 | 393 | |||||||
| * | Coupa Software Inc. | 2,595 | 389 | |||||||
| * | VMware Inc. | 3,181 | 383 | |||||||
| * | Guidewire Software Inc. | 3,415 | 374 | |||||||
| Cypress Semiconductor Corp. | 15,230 | 352 | ||||||||
| * | Zendesk Inc. | 4,363 | 346 | |||||||
| Amdocs Ltd. | 5,400 | 344 | ||||||||
| * | PTC Inc. | 4,239 | 320 | |||||||
| * | ON Semiconductor Corp. | 16,995 | 317 | |||||||
| * | F5 Networks Inc. | 2,599 | 312 | |||||||
| Juniper Networks Inc. | 14,341 | 304 | ||||||||
| * | Aspen Technology Inc. | 2,838 | 302 | |||||||
| Entegris Inc. | 5,642 | 301 | ||||||||
| Monolithic Power Systems Inc. | 1,825 | 290 | ||||||||
| * | HubSpot Inc. | 1,610 | 289 | |||||||
| * | Ceridian HCM Holding Inc. | 3,848 | 272 | |||||||
| * | MongoDB Inc. | 1,779 | 271 | |||||||
| * | Alteryx Inc. | 1,930 | 269 | |||||||
| DXC Technology Co. | 10,714 | 258 | ||||||||
| * | Lumentum Holdings Inc. | 3,308 | 257 | |||||||
| * | InterXion Holding NV | 3,004 | 255 | |||||||
| * | Dell Technologies Inc. | 6,255 | 253 | |||||||
| * | Ciena Corp. | 6,506 | 250 | |||||||
| CDK Global Inc. | 5,234 | 241 | ||||||||
| * | Proofpoint Inc. | 2,247 | 240 | |||||||
| * | Mellanox Technologies Ltd. | 1,937 | 231 | |||||||
| SYNNEX Corp. | 1,821 | 228 | ||||||||
| MKS Instruments Inc. | 2,252 | 226 | ||||||||
| * | Tech Data Corp. | 1,551 | 221 | |||||||
| * | RealPage Inc. | 3,361 | 215 | |||||||
| * | Cree Inc. | 4,497 | 201 | |||||||
| * | Five9 Inc. | 2,641 | 193 | |||||||
| * | Wix.com Ltd. | 1,360 | 182 | |||||||
| * | Manhattan Associates Inc. | 2,704 | 182 | |||||||
| j2 Global Inc. | 2,073 | 181 | ||||||||
| * | Smartsheet Inc. Class A | 3,858 | 179 | |||||||
| * | Dropbox Inc. Class A | 9,096 | 178 | |||||||
| * | Nutanix Inc. | 7,460 | 178 | |||||||
| Cabot Microelectronics Corp. | 1,269 | 177 |
18
ESG U.S. Stock ETF
| Shares | Market Value• ($000) | |||||||||
| * | Avalara Inc. | 2,077 | 176 | |||||||
| LogMeIn Inc. | 2,061 | 176 | ||||||||
| * | Cirrus Logic Inc. | 2,524 | 173 | |||||||
| * | Silicon Laboratories Inc. | 1,866 | 165 | |||||||
| * | Verint Systems Inc. | 2,998 | 165 | |||||||
| * | Envestnet Inc. | 2,150 | 162 | |||||||
| * | Everbridge Inc. | 1,511 | 160 | |||||||
| Cogent Communications Holdings Inc. | 2,181 | 159 | ||||||||
| * | Pure Storage Inc. | 10,351 | 158 | |||||||
| * | CyberArk Software Ltd. | 1,495 | 157 | |||||||
| Pegasystems Inc. | 1,727 | 156 | ||||||||
| * | Anaplan Inc. | 3,414 | 153 | |||||||
| * | Globant SA | 1,348 | 152 | |||||||
| Blackbaud Inc. | 2,222 | 151 | ||||||||
| * | Q2 Holdings Inc. | 1,909 | 144 | |||||||
| * | Elastic NV | 1,938 | 143 | |||||||
| * | Inphi Corp. | 1,915 | 143 | |||||||
| Perspecta Inc. | 5,667 | 142 | ||||||||
| * | ACI Worldwide Inc. | 5,040 | 140 | |||||||
| * | ViaSat Inc. | 2,419 | 139 | |||||||
| * | NCR Corp. | 5,344 | 135 | |||||||
| * | Viavi Solutions Inc. | 10,128 | 134 | |||||||
| Pinterest Inc. Class A | 6,808 | 133 | ||||||||
| * | Zscaler Inc. | 2,525 | 131 | |||||||
| * | Qualys Inc. | 1,631 | 131 | |||||||
| * | Box Inc. | 7,375 | 124 | |||||||
| Power Integrations Inc. | 1,402 | 122 | ||||||||
| * | Semtech Corp. | 3,061 | 121 | |||||||
| * | FireEye Inc. | 8,844 | 117 | |||||||
| * | Cornerstone OnDemand Inc. | 2,775 | 114 | |||||||
| Brooks Automation Inc. | 3,191 | 110 | ||||||||
| * | Rapid7 Inc. | 2,369 | 110 | |||||||
| * | Advanced Energy Industries Inc. | 1,768 | 105 | |||||||
| * | Acacia Communications Inc. | 1,533 | 105 | |||||||
| * | Teradata Corp. | 5,139 | 102 | |||||||
| * | Blackline Inc. | 1,616 | 101 | |||||||
| * | CommScope Holding Co. Inc. | 9,089 | 100 | |||||||
| * | Cloudera Inc. | 10,617 | 95 | |||||||
| * | Varonis Systems Inc. | 1,160 | 93 | |||||||
| * | Lattice Semiconductor Corp. | 5,183 | 93 | |||||||
| * | Synaptics Inc. | 1,297 | 86 | |||||||
| * | SailPoint Technologies Holding Inc. | 3,197 | 81 | |||||||
| * | Bottomline Technologies DE Inc. | 1,669 | 74 | |||||||
| * | SPS Commerce Inc. | 1,391 | 73 | |||||||
| * | Premier Inc. | 2,435 | 72 | |||||||
| * | Insight Enterprises Inc. | 1,300 | 72 | |||||||
| * | Diodes Inc. | 1,605 | 71 | |||||||
| * | Alarm.com Holdings Inc. | 1,370 | 66 | |||||||
| * | NetScout Systems Inc. | 2,425 | 62 | |||||||
| InterDigital Inc. | 1,170 | 62 | ||||||||
| Progress Software Corp. | 1,613 | 60 | ||||||||
| * | Avaya Holdings Corp. | 4,604 | 60 | |||||||
| * | Workiva Inc. | 1,396 | 60 | |||||||
| * | LivePerson Inc. | 2,201 | 58 | |||||||
| * | SVMK Inc. | 3,151 | 57 | |||||||
| * | PROS Holdings Inc. | 1,249 | 57 | |||||||
| * | EchoStar Corp. | 1,611 | 56 | |||||||
| * | CommVault Systems Inc. | 1,265 | 53 | |||||||
| * | Rambus Inc. | 3,747 | 52 | |||||||
| * | Virtusa Corp. | 1,097 | 48 | |||||||
| * | Yext Inc. | 3,097 | 47 | |||||||
| Kulicke & Soffa Industries Inc. | 2,053 | 47 | ||||||||
| * | Perficient Inc. | 1,112 | 46 | |||||||
| CSG Systems International Inc. | 1,029 | 46 | ||||||||
| * | Tenable Holdings Inc. | 1,708 | 42 | |||||||
| NIC Inc. | 2,265 | 41 | ||||||||
| * | Mimecast Ltd. | 977 | 39 | |||||||
| * | Covetrus Inc. | 3,359 | 37 | |||||||
| TiVo Corp. | 4,911 | 37 | ||||||||
| * | Allscripts Healthcare Solutions Inc. | 4,743 | 36 | |||||||
| * | 3D Systems Corp. | 3,749 | 34 | |||||||
| * | MicroStrategy Inc. | 248 | 34 | |||||||
| * | Amkor Technology Inc. | 3,118 | 33 | |||||||
| * | SolarWinds Corp. | 1,697 | 31 | |||||||
| * | MaxLinear Inc. | 1,849 | 29 | |||||||
| * | Shutterstock Inc. | 707 | 27 | |||||||
| * | Blucora Inc. | 1,552 | 27 | |||||||
| Xperi Corp. | 1,366 | 24 | ||||||||
| * | Stratasys Ltd. | 1,455 | 23 | |||||||
| * | ScanSource Inc. | 752 | 21 | |||||||
| * | Loral Space & Communications Inc. | 674 | 21 | |||||||
| Ebix Inc. | 765 | 20 | ||||||||
| Pitney Bowes Inc. | 5,514 | 19 | ||||||||
| * | NextGen Healthcare Inc. | 1,356 | 18 | |||||||
| * | NETGEAR Inc. | 909 | 17 | |||||||
| * | Forrester Research Inc. | 405 | 15 | |||||||
| Plantronics Inc. | 1,011 | 14 | ||||||||
| ADTRAN Inc. | 1,484 | 12 | ||||||||
| * | Endurance International Group Holdings Inc. | 2,223 | 8 | |||||||
| 278,991 | ||||||||||
| Telecommunications (2.3%) | ||||||||||
| AT&T Inc. | 303,400 | 10,686 | ||||||||
| Verizon Communications Inc. | 172,018 | 9,316 | ||||||||
| * | T-Mobile US Inc. | 12,906 | 1,164 | |||||||
| CenturyLink Inc. | 45,669 | 551 | ||||||||
| * | Zayo Group Holdings Inc. | 8,739 | 306 | |||||||
| * | Sprint Corp. | 25,967 | 239 | |||||||
19
ESG U.S. Stock ETF
| Market | ||||||||||||
| Value• | ||||||||||||
| Shares | ($ 000) | |||||||||||
| Telephone & Data Systems Inc. | 5,401 | 109 | ||||||||||
| Shenandoah Telecommunications Co. | 2,253 | 100 | ||||||||||
| * | Iridium Communications Inc. | 3,628 | 98 | |||||||||
| * | Vonage Holdings Corp. | 9,320 | 84 | |||||||||
| * | 8x8 Inc. | 3,527 | 65 | |||||||||
| ATN International Inc. | 373 | 20 | ||||||||||
| *,^ | GTT Communications Inc. | 1,153 | 17 | |||||||||
| * | Intelsat SA | 2,121 | 8 | |||||||||
| * | United States Cellular Corp. | 245 | 8 | |||||||||
| 22,771 | ||||||||||||
| Utilities (1.2%) | ||||||||||||
| Sempra Energy | 11,645 | 1,628 | ||||||||||
| Consolidated Edison Inc. | 13,624 | 1,074 | ||||||||||
| Edison International | 14,502 | 974 | ||||||||||
| American Water Works Co. Inc. | 7,566 | 936 | ||||||||||
| PPL Corp. | 29,524 | 886 | ||||||||||
| CMS Energy Corp. | 12,583 | 760 | ||||||||||
| Atmos Energy Corp. | 4,842 | 500 | ||||||||||
| CenterPoint Energy Inc. | 20,582 | 474 | ||||||||||
| Alliant Energy Corp. | 9,003 | 469 | ||||||||||
| AES Corp. | 26,718 | 447 | ||||||||||
| NiSource Inc. | 14,473 | 391 | ||||||||||
| Essential Utilities Inc. | 8,524 | 367 | ||||||||||
| UGI Corp. | 8,500 | 306 | ||||||||||
| OGE Energy Corp. | 7,435 | 283 | ||||||||||
| IDACORP Inc. | 2,090 | 202 | ||||||||||
| Hawaiian Electric Industries Inc. | 4,495 | 193 | ||||||||||
| Portland General Electric Co. | 3,485 | 190 | ||||||||||
| ONE Gas Inc. | 2,298 | 189 | ||||||||||
| Spire Inc. | 2,274 | 171 | ||||||||||
| NorthWestern Corp. | 2,395 | 168 | ||||||||||
| Avangrid Inc. | 3,166 | 157 | ||||||||||
| Southwest Gas Holdings Inc. | 2,367 | 153 | ||||||||||
| Avista Corp. | 3,206 | 151 | ||||||||||
| California Water Service Group | 2,937 | 141 | ||||||||||
| New Jersey Resources Corp. | 3,978 | 140 | ||||||||||
| South Jersey Industries Inc. | 4,995 | 135 | ||||||||||
| American States Water Co. | 1,734 | 133 | ||||||||||
| MGE Energy Inc. | 1,826 | 130 | ||||||||||
| Ormat Technologies Inc. | 1,832 | 128 | ||||||||||
| El Paso Electric Co. | 1,583 | 107 | ||||||||||
| Pattern Energy Group Inc. Class A | 3,289 | 89 | ||||||||||
| * | Sunrun Inc. | 4,112 | 80 | |||||||||
| Northwest Natural Holding Co. | 1,085 | 71 | ||||||||||
| Atlantica Yield plc | 2,174 | 63 | ||||||||||
| * | Evoqua Water Technologies Corp. | 2,954 | 62 | |||||||||
| SJW Group | 954 | 58 | ||||||||||
| TerraForm Power Inc. | 3,018 | 57 |
| 12,463 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $982,760) | 996,905 | |||||||
| Temporary Cash Investment (0.1%) | ||||||||
| Money Market Fund (0.1%) | ||||||||
| 1,2 Vanguard Market | ||||||||
| Liquidity Fund, 1.706% | ||||||||
| (Cost $1,162) | 11,617 | 1,162 | ||||||
| Total Investments (99.9%) | ||||||||
| (Cost $983,922) | 998,067 | |||||||
| Other Assets and Liabilities—Net (0.1%)2,3 | 784 | |||||||
| Net Assets (100%) | 998,851 |
Cost rounded to $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $142,000.
§ Security value determined using significant unobservable inputs.
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.
2 Collateral of $156,000 was received for securities on loan.
3 Cash of $91,000 has been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
20
ESG U.S. Stock ETF
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($ 000) | ||||||||||||||||
| Value and | ||||||||||||||||
| Number of | Unrealized | |||||||||||||||
| Long (Short) | Notional | Appreciation | ||||||||||||||
| Expiration | Contracts | Amount | (Depreciation) | |||||||||||||
| Long Futures Contracts | ||||||||||||||||
| E-mini S&P 500 Index | March 2020 | 13 | 1,918 | (225 | ) | |||||||||||
See accompanying Notes, which are an integral part of the Financial Statements.
21
ESG U.S. Stock ETF
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount | |||
| Assets | ||||
| Investments in Securities, at Value | ||||
| Unaffiliated Issuers (Cost $982,760) | 996,905 | |||
| Affiliated Issuers (Cost $1,162) | 1,162 | |||
| Total Investment in Securities | 998,067 | |||
| Investment in Vanguard | 43 | |||
| Cash Collateral Pledged—Futures Contracts | 91 | |||
| Receivables for Accrued Income | 1,208 | |||
| Receivables for Capital Shares Issued | 3,927 | |||
| Total Assets | 1,003,336 | |||
| Liabilities | ||||
| Due to Custodian | 2 | |||
| Payables for Investment Securities Purchased | 4,266 | |||
| Collateral for Securities on Loan | 156 | |||
| Payables to Vanguard | 57 | |||
| Variation Margin Payable—Futures Contracts | 4 | |||
| Total Liabilities | 4,485 | |||
| Net Assets | 998,851 | |||
| At February 29, 2020, net assets consisted of: | ||||
| Paid-in Capital | 982,078 | |||
| Total Distributable Earnings (Loss) | 16,773 | |||
| Net Assets | 998,851 | |||
| Net Assets | ||||
| Applicable to 19,075,000 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 998,851 | |||
| Net Asset Value Per Shares | $ | 52.36 | ||
See accompanying Notes, which are an integral part of the Financial Statements.
22
ESG U.S. Stock ETF
Statement of Operations
| Six Months Ended | ||||
| February 29, 2020 | ||||
| ($ 000) | ||||
| Investment Income | ||||
| Income | ||||
| Dividends | 6,950 | |||
| Interest1 | 9 | |||
| Securities Lending—Net | 15 | |||
| Total Income | 6,974 | |||
| Expenses | ||||
| The Vanguard Group—Note B | ||||
| Investment Advisory Services | 59 | |||
| Management and Administrative | 393 | |||
| Marketing and Distribution | 27 | |||
| Custodian Fees | 13 | |||
| Shareholders’ Reports | 4 | |||
| Trustees’ Fees and Expenses | — | |||
| Total Expenses | 496 | |||
| Expenses Paid Indirectly | (12 | ) | ||
| Net Expenses | 484 | |||
| Net Investment Income | 6,490 | |||
| Realized Net Gain (Loss) | ||||
| Investment Securities Sold1 | 2,208 | |||
| Futures Contracts | 197 | |||
| Realized Net Gain (Loss) | 2,405 | |||
| Change in Unrealized Appreciation (Depreciation) | ||||
| Investment Securities1,2 | (15,930 | ) | ||
| Futures Contracts | (235 | ) | ||
| Change in Unrealized Appreciation (Depreciation) | (16,165 | ) | ||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,270 | ) | ||
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,000, $1,000, and $1,000 respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,262,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
ESG U.S. Stock ETF
Statement of Changes in Net Assets
| September 18, | ||||||||
| Six Months Ended | 20181 to | |||||||
| February 29, | August 31, | |||||||
| 2020 | 2019 | |||||||
| ($ 000) | ($ 000) | |||||||
| Increase (Decrease) in Net Assets | ||||||||
| Operations | ||||||||
| Net Investment Income | 6,490 | 4,244 | ||||||
| Realized Net Gain (Loss) | 2,405 | (2,051 | ) | |||||
| Change in Unrealized Appreciation (Depreciation) | (16,165 | ) | 30,085 | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (7,270 | ) | 32,278 | |||||
| Distributions2 | ||||||||
| Total Distributions | (5,787 | ) | (2,448 | ) | ||||
| Capital Share Transactions | ||||||||
| Issued | 429,174 | 564,704 | ||||||
| Issued in Lieu of Cash Distributions | — | — | ||||||
| Redeemed | (11,800 | ) | — | |||||
| Net Increase (Decrease) from Capital Share Transactions | 417,374 | 564,704 | ||||||
| Total Increase (Decrease) | 404,317 | 594,534 | ||||||
| Net Assets | ||||||||
| Beginning of Period | 594,534 | — | ||||||
| End of Period | 998,851 | 594,534 | ||||||
| 1 | Inception. |
| 2 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
24
ESG U.S. Stock ETF
Financial Highlights
| Six Months | Sept. 18, | |||||||
| Ended | 20181 to | |||||||
| Feb. 29, | Aug. 31, | |||||||
| For a Share Outstanding Throughout Each Period | 2020 | 2019 | ||||||
| Net Asset Value, Beginning of Period | $ | 51.25 | $ | 50.00 | ||||
| Investment Operations | ||||||||
| Net Investment Income2 | .444 | .792 | ||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 1.092 | .868 | ||||||
| Total from Investment Operations | 1.536 | 1.660 | ||||||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.426 | ) | (.410 | ) | ||||
| Distributions from Realized Capital Gains | — | — | ||||||
| Total Distributions | (.426 | ) | (.410 | ) | ||||
| Net Asset Value, End of Period | $ | 52.36 | $ | 51.25 | ||||
| Total Return | 2.97 | % | 3.40 | % | ||||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $ | 999 | $ | 595 | ||||
| Ratio of Total Expenses to Average Net Assets | 0.12 | % | 0.12 | %3 | ||||
| Ratio of Net Investment Income to Average Net Assets | 1.58 | % | 1.67 | %3 | ||||
| Portfolio Turnover Rate | 2 | % | 6 | % | ||||
The expense ratio and net investment income ratio for the period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
25
ESG U.S. Stock ETF
Notes to Financial Statements
Vanguard ESG U.S. Stock ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2019, and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
26
ESG U.S. Stock ETF
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
27
ESG U.S. Stock ETF
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $43,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $12,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ($ 000) | ($ 000) | ($ 000) | ($ 000) | |||||||||||||
| Investments | ||||||||||||||||
| Assets | ||||||||||||||||
| Common Stocks | 996,904 | — | 1 | 996,905 | ||||||||||||
| Temporary Cash Investments | 1,162 | — | — | 1,162 | ||||||||||||
| Total | 998,066 | — | 1 | 998,067 | ||||||||||||
| Derivative Financial Instruments | ||||||||||||||||
| Liabilities | ||||||||||||||||
| Futures Contracts1 | 4 | — | — | 4 | ||||||||||||
1 Represents variation margin on the last day of the reporting period.
28
ESG U.S. Stock ETF
E. As of February 29, 2020, 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 | 983,929 | |||
| Gross Unrealized Appreciation | 76,048 | |||
| Gross Unrealized Depreciation | (62,135 | ) | ||
| Net Unrealized Appreciation (Depreciation) | 13,913 | |||
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $2,040,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $445,808,000 of investment securities and sold $28,181,000 of investment securities, other than temporary cash investments. Purchases and sales include $318,350,000 and $10,765,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. | Capital shares issued and redeemed were: |
| Six Months Ended | September 18, 20181 to | |||||||
| February 29, 2020 | August 31, 2019 | |||||||
| Shares | Shares | |||||||
| (000 | ) | (000 | ) | |||||
| Issued | 7,700 | 11,600 | ||||||
| Issued in Lieu of Cash Distributions | — | — | ||||||
| Redeemed | (225 | ) | — | |||||
| Net Increase (Decrease) in Shares Outstanding | 7,475 | 11,600 | ||||||
| 1 Inception. | ||||||||
At February 29, 2020, one shareholder was the record or beneficial owner of 27% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
29
| | |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov. |
|
© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor . Q43932 042020 |
Semiannual Report | February 29, 2020
Vanguard ESG International Stock ETF
|
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the
intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| Financial Statements | 4 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1
Six Months Ended February 29, 2020
| Beginning | Ending | Expenses | ||||||||||
| Account Value | Account Value | Paid During | ||||||||||
| ESG International Stock ETF | 8/31/2019 | 2/29/2020 | Period | |||||||||
| Based on Actual Fund Return | $ | 1,000.00 | $ | 1,024.56 | $ | 0.81 | ||||||
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.07 | 0.81 | |||||||||
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.16%. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in that period, then divided by the number of days in the most recent 12-month period (182/366).
2
ESG International Stock ETF
Sector Diversification
As of February 29, 2020
| Basic Materials | 5.2 | % | ||
| Consumer Goods | 13.7 | |||
| Consumer Services | 10.3 | |||
| Financials | 29.1 | |||
| Health Care | 10.7 | |||
| Industrials | 12.0 | |||
| Oil & Gas | 1.7 | |||
| Technology | 11.2 | |||
| Telecommunications | 4.1 | |||
| Utilities | 2.0 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, at-tempting to remain fully invested and tracking their target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
3
ESG International Stock ETF
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
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.
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| Common Stocks (99.2%) | |||||||||
| Australia (4.8%) | |||||||||
| CSL Ltd. | 18,125 | 3,702 | |||||||
| Commonwealth Bank of Australia | 68,453 | 3,675 | |||||||
| Westpac Banking Corp. | 136,496 | 2,090 | |||||||
| Australia & New Zealand Banking Group Ltd. | 110,571 | 1,783 | |||||||
| National Australia Bank Ltd. | 106,721 | 1,756 | |||||||
| Macquarie Group Ltd. | 11,894 | 1,058 | |||||||
| Transurban Group | 101,708 | 992 | |||||||
| Goodman Group | 79,164 | 777 | |||||||
| Amcor plc | 63,235 | 601 | |||||||
| Newcrest Mining Ltd. | 35,412 | 581 | |||||||
| QBE Insurance Group Ltd. | 64,713 | 575 | |||||||
| Brambles Ltd. | 70,950 | 558 | |||||||
| ASX Ltd. | 10,775 | 526 | |||||||
| Scentre Group | 217,968 | 494 | |||||||
| Fortescue Metals Group Ltd. | 72,987 | 488 | |||||||
| Sonic Healthcare Ltd. | 23,806 | 452 | |||||||
| Dexus | 56,221 | 448 | |||||||
| James Hardie Industries plc | 23,484 | 439 | |||||||
| Insurance Australia Group Ltd. | 103,968 | 438 | |||||||
| Cochlear Ltd. | 3,083 | 422 | |||||||
| APA Group | 59,545 | 420 | |||||||
| Telstra Corp. Ltd. | 184,446 | 416 | |||||||
| Suncorp Group Ltd. | 55,674 | 416 | |||||||
| GPT Group | 106,698 | 403 | |||||||
| Ramsay Health Care Ltd. | 8,267 | 370 | |||||||
| Orica Ltd. | 28,085 | 367 | |||||||
| Lendlease Group | 30,755 | 358 | |||||||
| Northern Star Resources Ltd. | 37,508 | 328 | |||||||
| Sydney Airport | 61,272 | 313 | |||||||
| Medibank Pvt Ltd. | 160,484 | 300 | |||||||
| SEEK Ltd. | 21,595 | 296 | |||||||
| Caltex Australia Ltd. | 13,148 | 283 | |||||||
| Computershare Ltd. | 27,881 | 283 | |||||||
| Vicinity Centres | 192,507 | 273 | |||||||
| Bendigo & Adelaide Bank Ltd. | 43,244 | 261 | |||||||
| Alumina Ltd. | 191,647 | 245 | |||||||
| Incitec Pivot Ltd. | 134,083 | 241 | |||||||
| BlueScope Steel Ltd. | 30,125 | 236 | |||||||
| Mirvac Group | 112,990 | 225 | |||||||
| Boral Ltd. | 70,960 | 212 | |||||||
| * | Afterpay Ltd. | 9,076 | 202 | ||||||
| Challenger Ltd. | 33,100 | 199 | |||||||
| Bank of Queensland Ltd. | 40,461 | 199 | |||||||
| Orora Ltd. | 110,155 | 198 | |||||||
| * | AMP Ltd. | 177,707 | 196 | ||||||
| Downer EDI Ltd. | 49,937 | 189 | |||||||
| Stockland | 58,475 | 181 | |||||||
| Magellan Financial Group Ltd. | 4,279 | 158 | |||||||
| Atlas Arteria Ltd. | 24,033 | 127 | |||||||
| * | Xero Ltd. | 2,495 | 122 | ||||||
| Aurizon Holdings Ltd. | 31,417 | 100 | |||||||
| Charter Hall Group | 12,119 | 99 | |||||||
| * | Saracen Mineral Holdings Ltd. | 35,010 | 85 | ||||||
| JB Hi-Fi Ltd. | 2,954 | 71 | |||||||
| Evolution Mining Ltd. | 25,648 | 67 | |||||||
| Iluka Resources Ltd. | 10,611 | 58 | |||||||
| Ansell Ltd. | 2,932 | 57 | |||||||
| ALS Ltd. | 9,769 | 54 | |||||||
| REA Group Ltd. | 810 | 53 | |||||||
| Cleanaway Waste Management Ltd. | 33,140 | 50 | |||||||
| Shopping Centres Australasia Property Group | 24,723 | 49 | |||||||
| Domino’s Pizza Enterprises Ltd. | 1,210 | 44 | |||||||
| Appen Ltd. | 3,142 | 43 | |||||||
| Qube Holdings Ltd. | 22,597 | 43 | |||||||
| carsales.com Ltd. | 3,967 | 42 | |||||||
| Cromwell Property Group | 55,723 | 42 | |||||||
| Qantas Airways Ltd. | 10,685 | 39 | |||||||
| Steadfast Group Ltd. | 15,232 | 38 |
4
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| AusNet Services | 34,110 | 38 | |||||||
| IOOF Holdings Ltd. | 10,049 | 38 | |||||||
| Reliance Worldwide Corp. Ltd. | 16,544 | 37 | |||||||
| nib holdings Ltd. | 11,992 | 37 | |||||||
| Regis Resources Ltd. | 13,682 | 36 | |||||||
| Altium Ltd. | 1,715 | 35 | |||||||
| * | Nufarm Ltd. | 10,332 | 35 | ||||||
| IGO Ltd. | 9,793 | 34 | |||||||
| 1 | Viva Energy Group Ltd. | 29,194 | 34 | ||||||
| OZ Minerals Ltd. | 5,624 | 33 | |||||||
| * | NEXTDC Ltd. | 6,393 | 33 | ||||||
| IDP Education Ltd. | 2,294 | 32 | |||||||
| St. Barbara Ltd. | 20,175 | 31 | |||||||
| Pendal Group Ltd. | 5,946 | 29 | |||||||
| TPG Telecom Ltd. | 5,848 | 29 | |||||||
| CSR Ltd. | 10,256 | 28 | |||||||
| Breville Group Ltd. | 2,187 | 28 | |||||||
| * | PolyNovo Ltd. | 18,383 | 28 | ||||||
| Link Administration Holdings Ltd. | 8,893 | 28 | |||||||
| Harvey Norman Holdings Ltd. | 11,121 | 27 | |||||||
| Premier Investments Ltd. | 2,430 | 27 | |||||||
| IRESS Ltd. | 3,425 | 27 | |||||||
| CIMIC Group Ltd. | 1,699 | 27 | |||||||
| Metcash Ltd. | 16,281 | 26 | |||||||
| Mineral Resources Ltd. | 2,416 | 26 | |||||||
| Bapcor Ltd. | 6,578 | 25 | |||||||
| Bingo Industries Ltd. | 13,363 | 25 | |||||||
| * | Vocus Group Ltd. | 10,984 | 25 | ||||||
| Nine Entertainment Co. Holdings Ltd. | 22,766 | 24 | |||||||
| Ingenia Communities Group | 7,126 | 23 | |||||||
| Perpetual Ltd. | 906 | 23 | |||||||
| Monadelphous Group Ltd. | 2,354 | 22 | |||||||
| Flight Centre Travel Group Ltd. | 1,027 | 22 | |||||||
| WiseTech Global Ltd. | 2,129 | 21 | |||||||
| Credit Corp. Group Ltd. | 981 | 21 | |||||||
| * | GrainCorp Ltd. Class A | 4,098 | 21 | ||||||
| Sims Ltd. | 3,306 | 21 | |||||||
| Corporate Travel Management Ltd. | 2,207 | 20 | |||||||
| * | Perseus Mining Ltd. | 29,913 | 20 | ||||||
| IPH Ltd. | 3,562 | 20 | |||||||
| National Storage REIT | 13,356 | 20 | |||||||
| Super Retail Group Ltd. | 3,607 | 19 | |||||||
| * | Gold Road Resources Ltd. | 19,926 | 19 | ||||||
| Rural Funds Group | 14,574 | 18 | |||||||
| * | Silver Lake Resources Ltd. | 17,669 | 18 | ||||||
| * | Resolute Mining Ltd. | 27,652 | 18 | ||||||
| Abacus Property Group | 7,284 | 18 | |||||||
| Technology One Ltd. | 3,371 | 18 | |||||||
| GUD Holdings Ltd. | 2,503 | 18 | |||||||
| § | Bega Cheese Ltd. | 6,696 | 17 | ||||||
| Aventus Group | 9,152 | 17 | |||||||
| Adelaide Brighton Ltd. | 8,530 | 17 | |||||||
| * | Lynas Corp. Ltd. | 13,034 | 16 | ||||||
| IMF Bentham Ltd. | 4,918 | 14 | |||||||
| Healius Ltd. | 6,810 | 14 | |||||||
| NRW Holdings Ltd. | 8,414 | 13 | |||||||
| * | Nanosonics Ltd. | 2,892 | 13 | ||||||
| Genworth Mortgage Insurance Australia Ltd. | 6,053 | 13 | |||||||
| * | Perenti Global Ltd. | 14,365 | 13 | ||||||
| Platinum Asset Management Ltd. | 4,754 | 13 | |||||||
| Pro Medicus Ltd. | 946 | 13 | |||||||
| Webjet Ltd. | 1,973 | 12 | |||||||
| oOh!media Ltd. | 6,623 | 12 | |||||||
| Ramelius Resources Ltd. | 16,230 | 12 | |||||||
| Southern Cross Media Group Ltd. | 26,454 | 12 | |||||||
| Freedom Foods Group Ltd. | 4,398 | 12 | |||||||
| Costa Group Holdings Ltd. | 5,932 | 12 | |||||||
| EML Payments Ltd. | 4,702 | 11 | |||||||
| Select Harvests Ltd. | 2,684 | 11 | |||||||
| Vita Group Ltd. | 11,206 | 11 | |||||||
| InvoCare Ltd. | 1,072 | 10 | |||||||
| * | nearmap Ltd. | 8,760 | 10 | ||||||
| Domain Holdings Australia Ltd. | 4,494 | 9 | |||||||
| Clinuvel Pharmaceuticals Ltd. | 794 | 9 | |||||||
| BWX Ltd. | 3,321 | 9 | |||||||
| * | Mesoblast Ltd. | 5,919 | 9 | ||||||
| * | Westgold Resources Ltd. | 6,224 | 8 | ||||||
| SeaLink Travel Group Ltd. | 2,879 | 8 | |||||||
| Infigen Energy | 17,920 | 8 | |||||||
| Elders Ltd. | 1,368 | 7 | |||||||
| Mount Gibson Iron Ltd. | 15,479 | 7 | |||||||
| Collins Foods Ltd. | 1,100 | 6 | |||||||
| G8 Education Ltd. | 5,178 | 6 | |||||||
| *,§ | Dacian Gold Ltd. | 6,021 | 5 | ||||||
| Accent Group Ltd. | 4,783 | 5 | |||||||
| Western Areas Ltd. | 3,185 | 5 | |||||||
| Blackmores Ltd. | 119 | 5 | |||||||
| GWA Group Ltd. | 2,234 | 5 | |||||||
| * | Emeco Holdings Ltd. | 3,820 | 5 | ||||||
| Service Stream Ltd. | 3,335 | 5 | |||||||
| Lovisa Holdings Ltd. | 728 | 5 | |||||||
| * | Orocobre Ltd. | 2,419 | 4 | ||||||
| Netwealth Group Ltd. | 852 | 4 | |||||||
| Sigma Healthcare Ltd. | 11,549 | 4 | |||||||
| McMillan Shakespeare Ltd. | 588 | 4 | |||||||
| Aurelia Metals Ltd. | 15,765 | 4 | |||||||
| FlexiGroup Ltd. | 3,882 | 4 |
5
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| * | Eclipx Group Ltd. | 3,881 | 4 | ||||||
| * | Liquefied Natural Gas Ltd. | 46,898 | 3 | ||||||
| * | Myer Holdings Ltd. | 14,953 | 3 | ||||||
| * | Pilbara Minerals Ltd. | 19,643 | 3 | ||||||
| * | Pact Group Holdings Ltd. | 2,475 | 3 | ||||||
| * | Mayne Pharma Group Ltd. | 14,606 | 3 | ||||||
| Sandfire Resources Ltd. | 1,019 | 3 | |||||||
| * | Syrah Resources Ltd. | 6,123 | 2 | ||||||
| § | SpeedCast International Ltd. | 2,489 | 1 | ||||||
| § | Decmil Group Ltd. | 3,820 | 1 | ||||||
| * | Castile Resources Pty Ltd. | 1,410 | — | ||||||
| 32,662 | |||||||||
| Austria (0.2%) | |||||||||
| Erste Group Bank AG | 15,670 | 536 | |||||||
| Raiffeisen Bank International AG | 11,337 | 234 | |||||||
| Wienerberger AG | 2,733 | 70 | |||||||
| 1 | BAWAG Group AG | 1,599 | 69 | ||||||
| Andritz AG | 1,571 | 56 | |||||||
| CA Immobilien Anlagen AG | 1,176 | 48 | |||||||
| Verbund AG | 986 | 47 | |||||||
| Immofinanz AG | 1,648 | 43 | |||||||
| UNIQA Insurance Group AG | 4,150 | 37 | |||||||
| Oesterreichische Post AG | 888 | 28 | |||||||
| Telekom Austria AG | 3,162 | 24 | |||||||
| Lenzing AG | 258 | 17 | |||||||
| Do & Co AG | 177 | 15 | |||||||
| * | Zumtobel Group AG | 1,379 | 11 | ||||||
| Schoeller-Bleckmann Oilfield Equipment AG | 215 | 9 | |||||||
| 1,244 | |||||||||
| Belgium (0.6%) | |||||||||
| KBC Group NV | 12,469 | 831 | |||||||
| Ucb SA | 6,126 | 567 | |||||||
| Ageas | 10,158 | 473 | |||||||
| Solvay SA Class A | 4,139 | 378 | |||||||
| * | Argenx SE | 2,499 | 350 | ||||||
| Ackermans & van Haaren NV | 2,284 | 328 | |||||||
| Proximus SADP | 11,620 | 289 | |||||||
| KBC Ancora | 5,716 | 246 | |||||||
| Groupe Bruxelles Lambert SA | 1,327 | 121 | |||||||
| Aedifica SA | 618 | 80 | |||||||
| Cofinimmo SA | 409 | 65 | |||||||
| Elia Group SA/NV | 601 | 60 | |||||||
| Gimv NV | 870 | 50 | |||||||
| Barco NV | 159 | 34 | |||||||
| Ontex Group NV | 2,258 | 34 | |||||||
| Telenet Group Holding NV | 757 | 29 | |||||||
| Colruyt SA | 593 | 28 | |||||||
| D’ieteren SA/NV | 450 | 26 | |||||||
| Euronav NV | 2,786 | 25 | |||||||
| Melexis NV | 300 | 21 | |||||||
| * | AGFA-Gevaert NV | 3,906 | 17 | ||||||
| bpost SA | 1,995 | 16 | |||||||
| Kinepolis Group NV | 303 | 16 | |||||||
| Econocom Group SA/NV | 3,447 | 10 | |||||||
| * | Tessenderlo Chemie NV (Voting Shares) | 292 | 9 | ||||||
| * | Montea C.V.A | 69 | 7 | ||||||
| Bekaert SA | 209 | 5 | |||||||
| * | Mithra Pharmaceuticals SA | 173 | 4 | ||||||
| * | Ion Beam A pplications | 151 | 1 | ||||||
| 4,120 | |||||||||
| Brazil (1.8%) | |||||||||
| Itau Unibanco Holding SA Preference Shares | 173,785 | 1,244 | |||||||
| Banco Bradesco SA Preference Shares | 143,743 | 981 | |||||||
| B3 SA - Brasil Bolsa Balcao | 72,815 | 782 | |||||||
| Lojas Renner SA | 33,020 | 394 | |||||||
| Itausa - Investimentos Itau SA Preference Shares | 144,900 | 389 | |||||||
| Banco do Brasil SA | 30,077 | 315 | |||||||
| Magazine Luiza SA | 27,385 | 309 | |||||||
| Banco Bradesco SA | 42,920 | 262 | |||||||
| Localiza Rent a Car SA | 22,279 | 247 | |||||||
| Suzano SA | 28,003 | 239 | |||||||
| * | Natura & Co. Holding SA | 22,895 | 233 | ||||||
| Notre Dame Intermedica Participacoes SA | 15,930 | 225 | |||||||
| Weg SA | 23,300 | 225 | |||||||
| Raia Drogasil SA | 8,272 | 222 | |||||||
| IRB Brasil Resseguros S/A | 29,567 | 220 | |||||||
| BR Malls Participacoes SA | 57,100 | 209 | |||||||
| Lojas Americanas SA | 38,727 | 195 | |||||||
| * | Rumo SA | 37,900 | 179 | ||||||
| Cia de Saneamento Basico do Estado de Sao Paulo | 12,375 | 163 | |||||||
| BB Seguridade Participacoes SA | 22,200 | 158 | |||||||
| Telefonica Brasil SA Preference Shares | 13,200 | 158 | |||||||
| Equatorial Energia SA | 26,700 | 147 | |||||||
| Ccr SA | 38,693 | 141 | |||||||
| Cogna Educacao | 60,530 | 137 | |||||||
| Banco BTG Pactual SA | 8,995 | 136 | |||||||
| Petrobras Distribuidora SA | 22,814 | 133 | |||||||
| Lojas Americanas SA Preference Shares | 21,988 | 131 | |||||||
| * | Brf SA | 21,192 | 128 | ||||||
| Gerdau SA Preference Shares | 33,300 | 126 | |||||||
| Hypera SA | 16,400 | 126 | |||||||
| Ultrapar Participacoes SA | 29,400 | 125 | |||||||
6
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| Banco Santander Brasil SA | 13,040 | 116 | |||||||
| Cosan SA | 6,800 | 111 | |||||||
| Cia Energetica de Minas Gerais | 32,844 | 109 | |||||||
| * | B2W Cia Digital | 7,223 | 100 | ||||||
| * | YDUQS Part | 8,200 | 95 | ||||||
| Klabin SA | 21,400 | 92 | |||||||
| Cia Energetica de Minas Gerais Preference Shares | 29,400 | 92 | |||||||
| Sul America SA | 7,500 | 91 | |||||||
| Cia Brasileira de Distribuicao Grupo Pao de Acucar Preference Shares | 5,600 | 90 | |||||||
| TIM Participacoes SA | 24,200 | 87 | |||||||
| Azul SA Prior Preference Shares | 8,685 | 86 | |||||||
| Totvs SA | 5,247 | 83 | |||||||
| Qualicorp Consultoria e Corretora de Seguros SA | 9,300 | 71 | |||||||
| Energisa SA | 5,200 | 63 | |||||||
| Bradespar SA Preference Shares | 8,100 | 60 | |||||||
| Transmissora Alianca de Energia Eletrica SA | 8,900 | 60 | |||||||
| Cielo SA | 38,800 | 59 | |||||||
| Cia Energetica de Sao Paulo Preference Shares | 8,000 | 58 | |||||||
| AES Tiete Energia SA | 16,947 | 58 | |||||||
| * | Via Varejo SA | 18,575 | 57 | ||||||
| Cyrela Brazil Realty SA Empreendimentos e Participacoes | 8,400 | 56 | |||||||
| Cia Siderurgica Nacional SA | 20,921 | 52 | |||||||
| Anima Holding SA | 6,000 | 48 | |||||||
| Cia de Locacao das Americas | 10,003 | 47 | |||||||
| * | Marfrig Global Foods SA | 17,405 | 47 | ||||||
| MRV Engenharia e Participacoes SA | 10,600 | 46 | |||||||
| * | Grupo SBF SA | 4,700 | 46 | ||||||
| Alupar Investimento SA | 7,100 | 45 | |||||||
| Engie Brasil Energia SA | 4,200 | 45 | |||||||
| Light SA | 9,200 | 45 | |||||||
| Metalurgica Gerdau SA Preference Shares Class A | 24,900 | 44 | |||||||
| Cia Paranaense de Energia | 2,500 | 44 | |||||||
| Sao Martinho SA | 7,200 | 43 | |||||||
| Duratex SA | 10,400 | 40 | |||||||
| Wiz Solucoes e Corretagem de Seguros SA | 12,700 | 40 | |||||||
| Movida Participacoes SA | 9,900 | 40 | |||||||
| Construtora Tenda SA | 5,000 | 39 | |||||||
| Multiplan Empreendimentos Imobiliarios SA | 5,600 | 38 | |||||||
| Alpargatas SA Preference Shares | 5,400 | 38 | |||||||
| Linx SA | 5,300 | 37 | |||||||
| * | Omega Geracao SA | 4,200 | 36 | ||||||
| * | Minerva SA | 13,907 | 36 | ||||||
| Atacadao SA | 7,800 | 36 | |||||||
| Fleury SA | 5,400 | 36 | |||||||
| Cia de Saneamento do Parana Preference Shares | 8,100 | 36 | |||||||
| Porto Seguro SA | 2,600 | 35 | |||||||
| Randon Participacoes SA Preference Shares | 13,200 | 34 | |||||||
| Direcional Engenharia SA | 10,100 | 34 | |||||||
| * | BR Properties SA | 10,881 | 34 | ||||||
| Ez Tec Empreendimentos e Participacoes SA | 3,200 | 33 | |||||||
| * | Even Construtora e Incorporadora SA | 10,200 | 33 | ||||||
| * | Aliansce Sonae Shopping Centers sa | 3,192 | 33 | ||||||
| Cia Paranaense de Energia Preference Shares | 1,900 | 30 | |||||||
| Camil Alimentos SA | 16,000 | 30 | |||||||
| Neoenergia SA | 5,600 | 30 | |||||||
| EDP - Energias do Brasil SA | 6,300 | 29 | |||||||
| Iochpe Maxion SA | 6,600 | 29 | |||||||
| Marcopolo SA Preference Shares | 26,100 | 29 | |||||||
| M Dias Branco SA | 3,100 | 28 | |||||||
| Iguatemi Empresa de Shopping Centers SA | 2,500 | 28 | |||||||
| Odontoprev SA | 7,400 | 27 | |||||||
| Instituto Hermes P ardini SA | 4,200 | 27 | |||||||
| LOG Commercial Properties e Participacoes SA | 4,367 | 27 | |||||||
| Banco do Estado do Rio Grande do Sul SA Preference Shares | 6,400 | 26 | |||||||
| BK Brasil Operacao e Assessoria a Restaurantes SA | 7,700 | 25 | |||||||
| 1 | Ser Educacional SA | 4,000 | 23 | ||||||
| SLC Agricola SA | 5,100 | 23 | |||||||
| Braskem SA Preference Shares | 3,700 | 22 | |||||||
| * | Cosan Logistica SA | 5,400 | 22 | ||||||
| Mahle-Metal Leve SA | 3,600 | 22 | |||||||
| Cia de Transmissao de Energia Eletrica Paulista Preference Shares | 4,200 | 21 |
7
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| * | Gol Linhas Aereas Inteligentes SA Preference Shares | 3,600 | 21 | ||||||
| Cia de Saneamento de Minas Gerais-COPASA | 1,500 | 20 | |||||||
| Cia de Saneamento do Parana | 900 | 20 | |||||||
| * | EcoRodovias Infraestrutura e Logistica SA | 5,700 | 20 | ||||||
| Usinas Siderurgicas de Minas Gerais SA Preference Shares | 10,700 | 20 | |||||||
| Santos Brasil Participacoes SA | 14,700 | 20 | |||||||
| Tupy SA | 3,800 | 19 | |||||||
| Guararapes Confeccoes SA | 2,900 | 18 | |||||||
| 1 | Banco Inter SA Preference Shares | 4,800 | 16 | ||||||
| Arezzo Industria e Comercio SA | 1,200 | 16 | |||||||
| Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA | 4,800 | 16 | |||||||
| Smiles Fidelidade SA | 2,000 | 15 | |||||||
| Unipar Carbocloro SA Preference Shares | 2,383 | 14 | |||||||
| Alliar Medicos A Frente SA | 3,300 | 14 | |||||||
| Grendene SA | 6,400 | 14 | |||||||
| Cia Hering | 2,700 | 14 | |||||||
| Banco Inter SA | 1,000 | 10 | |||||||
| 12,398 | |||||||||
| Canada (7.3%) | |||||||||
| Royal Bank of Canada | 54,007 | 4,016 | |||||||
| Toronto-Dominion Bank | 68,882 | 3,543 | |||||||
| Enbridge Inc. | 78,090 | 2,907 | |||||||
| Bank of Nova Scotia | 45,607 | 2,386 | |||||||
| Canadian National Railway Co. | 27,387 | 2,322 | |||||||
| TC Energy C orp. | 38,219 | 1,992 | |||||||
| * | Shopify Inc. | 3,950 | 1,834 | ||||||
| Bank of Montreal | 23,263 | 1,581 | |||||||
| Canadian Pacific Railway Ltd. | 5,848 | 1,449 | |||||||
| Canadian Imperial Bank of Commerce | 16,767 | 1,276 | |||||||
| Manulife Financial Corp. | 75,339 | 1,266 | |||||||
| Waste Connections Inc. | 10,370 | 998 | |||||||
| ^ | Sun Life Financial Inc. | 22,794 | 985 | ||||||
| Alimentation Couche-Tard Inc. | 31,699 | 963 | |||||||
| Nutrien Ltd. | 23,051 | 932 | |||||||
| ^ | Pembina Pipeline Corp. | 25,863 | 932 | ||||||
| Franco-Nevada Corp. | 7,573 | 813 | |||||||
| * | CGI Inc. | 10,705 | 752 | ||||||
| Fortis Inc. | 17,540 | 710 | |||||||
| National Bank of Canada | 13,479 | 701 | |||||||
| Intact F inancial Corp. | 6,230 | 675 | |||||||
| Thomson Reuters Corp. | 8,398 | 624 | |||||||
| Wheaton Precious Metals Corp. | 21,119 | 601 | |||||||
| Rogers Communications Inc. Class B | 13,068 | 599 | |||||||
| Magna International Inc. | 13,056 | 594 | |||||||
| Open Text Corp. | 13,360 | 559 | |||||||
| Restaurant Brands International Inc. (XTSE) | 8,887 | 524 | |||||||
| Agnico Eagle Mines Ltd. | 10,782 | 512 | |||||||
| Algonquin Power & Utilities Corp. | 32,767 | 498 | |||||||
| Fairfax Financial Holdings Ltd. | 1,135 | 489 | |||||||
| Loblaw Cos. Ltd. | 8,800 | 436 | |||||||
| Canadian Apartment Properties REIT | 10,363 | 433 | |||||||
| Shaw Communications Inc. Class B | 24,259 | 420 | |||||||
| 1 | Hydro One Ltd. | 19,809 | 398 | ||||||
| RioCan REIT | 21,167 | 395 | |||||||
| BCE Inc. | 8,676 | 381 | |||||||
| CAE Inc. | 13,895 | 372 | |||||||
| H&R REIT | 24,999 | 361 | |||||||
| Dollarama Inc. | 12,234 | 360 | |||||||
| Granite REIT | 6,756 | 344 | |||||||
| Kirkland Lake Gold Ltd. | 10,658 | 344 | |||||||
| George Weston Ltd. | 4,502 | 339 | |||||||
| Saputo Inc. | 10,738 | 299 | |||||||
| * | Kinross Gold Corp. | 58,997 | 297 | ||||||
| ^ | Choice Properties REIT | 29,294 | 295 | ||||||
| Ritchie Bros Auctioneers Inc. | 6,775 | 269 | |||||||
| Canadian Tire Corp. Ltd. Class A | 2,636 | 259 | |||||||
| CCL Industries Inc. Class B | 7,738 | 255 | |||||||
| Atco Ltd. | 6,818 | 254 | |||||||
| CI Financial Corp. | 15,308 | 254 | |||||||
| Emera Inc. | 5,803 | 245 | |||||||
| Gildan Activewear Inc. | 9,637 | 233 | |||||||
| Canadian Utilities Ltd. Class A | 7,862 | 233 | |||||||
| Toromont Industries Ltd. | 4,679 | 231 | |||||||
| Lundin Mining Corp. | 44,950 | 229 | |||||||
| Empire Co. Ltd. | 10,218 | 228 | |||||||
| Chartwell Retirement Residences | 23,048 | 224 | |||||||
| Metro Inc. | 5,642 | 220 | |||||||
| First Quantum Minerals Ltd. | 29,097 | 215 | |||||||
8
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| iA Financial Corp. Inc. | 3,851 | 183 | |||||||
| ^ | Finning International Inc. | 11,264 | 167 | ||||||
| * | BlackBerry Ltd. | 30,455 | 157 | ||||||
| TELUS Corp. | 3,965 | 143 | |||||||
| Great-West Lifeco Inc. | 5,469 | 129 | |||||||
| Yamana Gold Inc. | 31,887 | 124 | |||||||
| TMX Group Ltd. | 1,410 | 117 | |||||||
| B2Gold Corp. | 29,010 | 116 | |||||||
| * | Canada Goose Holdings Inc. | 3,521 | 97 | ||||||
| Parkland Fuel C orp. | 3,072 | 97 | |||||||
| * | NovaGold Resources Inc. | 10,574 | 84 | ||||||
| * | Bombardier Inc. Class B | 102,549 | 73 | ||||||
| * | Air Canada Class B | 2,789 | 71 | ||||||
| FirstService Corp. | 689 | 68 | |||||||
| Alamos G old I nc. Class A | 11,053 | 64 | |||||||
| * | Boyd Group Services Inc. | 400 | 63 | ||||||
| * | Descartes Systems Group Inc. | 1,500 | 62 | ||||||
| SmartCentres REIT | 2,900 | 62 | |||||||
| Keyera Corp. | 2,589 | 62 | |||||||
| Element Fleet Management Corp. | 6,600 | 62 | |||||||
| Northview Apartment REIT | 2,200 | 59 | |||||||
| AltaGas Ltd. | 3,875 | 58 | |||||||
| Innergex Renewable Energy Inc. | 3,700 | 54 | |||||||
| West Fraser Timber Co. Ltd. 1,438 | 54 | ||||||||
| Methanex Corp. | 1,800 | 52 | |||||||
| First Capital REIT | 3,300 | 49 | |||||||
| Quebecor Inc. | 2,100 | 49 | |||||||
| Colliers International Group Inc. | 600 | 49 | |||||||
| * | SSR Mining Inc. | 2,845 | 44 | ||||||
| * | Ivanhoe Mines Ltd. | 18,703 | 44 | ||||||
| * | Kinaxis Inc. | 500 | 42 | ||||||
| Cominar REIT | 4,000 | 41 | |||||||
| * | IAMGOLD Corp. | 14,370 | 41 | ||||||
| Canadian Western Bank | 1,800 | 40 | |||||||
| IGM Financial Inc. | 1,500 | 40 | |||||||
| * | Alacer Gold Corp. | 8,555 | 39 | ||||||
| * | Pretium Resources Inc. | 5,159 | 37 | ||||||
| Premium Brands Holdings Corp. | 500 | 35 | |||||||
| * | First Majestic Silver Corp. | 4,633 | 35 | ||||||
| BRP Inc. | 836 | 34 | |||||||
| Boardwalk REIT | 1,000 | 34 | |||||||
| * | Torex Gold Resources Inc. | 2,499 | 33 | ||||||
| Gibson Energy Inc. | 1,700 | 32 | |||||||
| * | Eldorado Gold Corp. | 3,644 | 32 | ||||||
| Genworth MI Canada Inc. | 800 | 31 | |||||||
| Maple Leaf Foods Inc. | 1,800 | 30 | |||||||
| * | Endeavour Mining Corp. | 1,569 | 28 | ||||||
| Cineplex Inc. | 1,100 | 27 | |||||||
| OceanaGold Corp. | 18,452 | 27 | |||||||
| Superior Plus Corp. | 3,300 | 25 | |||||||
| Cogeco Communications Inc. | 300 | 24 | |||||||
| Laurentian Bank of Canada | 800 | 23 | |||||||
| Linamar Corp. | 805 | 22 | |||||||
| Norbord Inc. | 800 | 21 | |||||||
| Home Capital Group Inc. Class B | 1,000 | 21 | |||||||
| Osisko Gold Royalties Ltd. | 2,500 | 21 | |||||||
| Restaurant Brands International Inc. (XNYS) | 322 | 19 | |||||||
| NFI Group Inc. | 800 | 18 | |||||||
| Transcontinental Inc. Class A | 1,400 | 17 | |||||||
| ECN Capital Corp. | 3,629 | 15 | |||||||
| Corus Entertainment Inc. Class B | 4,379 | 14 | |||||||
| * | Celestica Inc. | 2,100 | 13 | ||||||
| Hudbay Minerals Inc. | 5,200 | 13 | |||||||
| * | SEMAFO Inc. | 5,600 | 11 | ||||||
| * | Canfor Corp. | 1,300 | 11 | ||||||
| Winpak Ltd. | 300 | 10 | |||||||
| Cascades Inc. | 1,000 | 8 | |||||||
| Pason Systems Inc. | 700 | 6 | |||||||
| Hudson’s Bay Co. | 774 | 6 | |||||||
| Martinrea International Inc. | 700 | 6 | |||||||
| Enerflex Ltd. | 1,000 | 5 | |||||||
| ShawCor Ltd. | 800 | 5 | |||||||
| * | Precision Drilling Corp. | 3,500 | 4 | ||||||
| Secure Energy Services Inc. | 1,400 | 4 | |||||||
| Mullen Group Ltd. | 700 | 4 | |||||||
| 50,373 | |||||||||
| Chile (0.2%) | |||||||||
| Enel Americas SA | 1,323,448 | 224 | |||||||
| Banco de Chile | 1,393,423 | 123 | |||||||
| Empresas COPEC SA | 15,413 | 120 | |||||||
| Banco Santander Chile | 2,574,608 | 115 | |||||||
| Sociedad Quimica y Minera de Chile SA Preference Shares Class B | 3,068 | 81 | |||||||
| Empresas CMPC SA | 38,923 | 79 | |||||||
| SACI Falabella | 21,855 | 73 | |||||||
| Enel Chile SA | 788,658 | 71 | |||||||
| Latam Airlines Group SA | 9,192 | 62 | |||||||
| Banco de Credito e Inversiones SA | 1,458 | 54 | |||||||
| Cencosud SA | 37,907 | 45 | |||||||
9
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| * | Cencosud Shopping SA | 22,751 | 43 | ||||||
| Parque Arauco SA | 19,322 | 40 | |||||||
| * | Cia Sud Americana de Vapores SA | 1,292,701 | 38 | ||||||
| Colbun SA | 257,569 | 33 | |||||||
| * | Empresa Nacional de Telecomunicaciones SA | 5,827 | 31 | ||||||
| Aguas Andinas SA | 88,671 | 30 | |||||||
| Itau CorpBanca | 7,595,147 | 28 | |||||||
| Engie Energia Chile SA | 21,235 | 28 | |||||||
| Cap SA | 4,116 | 24 | |||||||
| Sonda SA | 29,101 | 21 | |||||||
| Inversiones Aguas Metropolitanas SA | 20,849 | 18 | |||||||
| Empresas Tricot SA | 30,859 | 17 | |||||||
| Salfacorp SA | 33,800 | 16 | |||||||
| Besalco SA | 34,618 | 14 | |||||||
| Ripley Corp. SA | 34,664 | 14 | |||||||
| Embotelladora Andina SA Preference Shares | 4,544 | 11 | |||||||
| Smu SA | 63,232 | 10 | |||||||
| Inversiones La Construccion SA | 1,128 | 8 | |||||||
| Forus SA | 6,471 | 8 | |||||||
| 1,479 | |||||||||
| China (9.2%) | |||||||||
| * | Alibaba Group Holding Ltd. ADR | 67,472 | 14,034 | ||||||
| Tencent Holdings Ltd. | 222,300 | 11,272 | |||||||
| China Construction Bank Corp. | 3,724,000 | 3,062 | |||||||
| Ping An Insurance Group Co. of China Ltd. | 217,000 | 2,472 | |||||||
| Industrial & Commercial Bank of China Ltd. | 2,891,000 | 1,992 | |||||||
| China Mobile Ltd . | 212,500 | 1,691 | |||||||
| * | Baidu Inc. | 11,520 | 1,382 | ||||||
| * | JD.com Inc. ADR | 32,608 | 1,256 | ||||||
| Bank of China Ltd. | 2,714,000 | 1,085 | |||||||
| * | TAL Education Group | 15,019 | 817 | ||||||
| * | New Oriental Education & Technology Group Inc. | 5,953 | 761 | ||||||
| China Overseas Land & Investment Ltd. | 204,000 | 699 | |||||||
| Wuxi Biologics Cayman Inc. | 44,638 | 665 | |||||||
| China Merchants Bank Co. Ltd. | 133,500 | 642 | |||||||
| Sunac China Holdings Ltd. | 114,300 | 640 | |||||||
| China Life Insurance Co. Ltd. | 261,000 | 631 | |||||||
| China Resources Land Ltd. | 112,000 | 532 | |||||||
| Shenzhou International Group Holdings Ltd. | 41,300 | 523 | |||||||
| China Conch Venture Holdings Ltd. | 105,500 | 516 | |||||||
| Sunny Optical Technology G roup Co. Ltd. | 30,900 | 502 | |||||||
| Sino Biopharmaceutical Ltd. | 336,000 | 498 | |||||||
| Longfor Group Holdings Ltd. | 102,500 | 485 | |||||||
| ENN Energy Holdings Ltd. | 42,000 | 474 | |||||||
| Country Garden Holdings Co. Ltd. | 330,000 | 448 | |||||||
| Geely Automobile Holdings Ltd. | 239,000 | 437 | |||||||
| PICC Property & Casualty Co. Ltd. | 410,000 | 434 | |||||||
| CSPC Pharmaceutical Group Ltd. | 180,000 | 420 | |||||||
| China National Building Material Co. Ltd. | 344,000 | 409 | |||||||
| ZTO Express Cayman Inc. | 17,176 | 403 | |||||||
| Hengan International Group Co. Ltd. | 52,000 | 392 | |||||||
| Shimao Property Holdings Ltd. | 90,000 | 330 | |||||||
| ANTA Sports Products Ltd. | 40,000 | 326 | |||||||
| Agricultural Bank of China Ltd. | 780,000 | 317 | |||||||
| Sinopharm Group Co. Ltd. | 97,300 | 306 | |||||||
| China Unicom Hong Kong Ltd. | 362,000 | 291 | |||||||
| * | Vipshop Holdings Ltd. | 22,356 | 287 | ||||||
| * | 58.com Inc. | 5,145 | 284 | ||||||
| China Telecom Corp. Ltd. | 744,000 | 281 | |||||||
| China Evergrande Group | 122,000 | 279 | |||||||
| * | Alibaba Health Information Technology Ltd. | 142,000 | 277 | ||||||
| * | BeiGene Ltd. | 1,713 | 271 | ||||||
| Anhui Conch Cement Co. Ltd. | 32,000 | 240 | |||||||
| Far East Horizon Ltd. | 269,000 | 239 | |||||||
| Kingdee International Software Group Co. Ltd. | 181,000 | 238 | |||||||
| * | Autohome Inc. | 3,053 | 237 | ||||||
| China Taiping Insurance Holdings Co. Ltd. | 110,200 | 230 | |||||||
| Li Ning Co. Ltd. | 85,000 | 229 | |||||||
| China Cinda Asset Management Co. Ltd. | 1,079,000 | 229 |
10
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| China Pacific Insurance Group Co. Ltd. | 64,600 | 217 | |||||||
| 1 | China Resources Pharmaceutical Group Ltd. | 209,500 | 185 | ||||||
| * | JOYY Inc. ADR | 3,325 | 179 | ||||||
| Momo Inc. | 5,905 | 166 | |||||||
| Zhuzhou CRRC Times Electric Co. Ltd. | 45,100 | 160 | |||||||
| * | iQIYI Inc. | 7,051 | 158 | ||||||
| *,1 | Innovent Biologics Inc. | 34,000 | 156 | ||||||
| *,1 | 3SBio Inc. | 147,000 | 156 | ||||||
| 1 | People’s Insurance Co. Group of China Ltd. | 413,000 | 149 | ||||||
| China Vanke Co. Ltd. | 35,400 | 139 | |||||||
| *,^ | NIO Inc. ADR | 29,775 | 123 | ||||||
| Guangdong Investment Ltd. | 64,000 | 122 | |||||||
| China Jinmao Holdings Group Ltd. | 158,000 | 118 | |||||||
| Yihai International Holding Ltd. | 16,000 | 108 | |||||||
| Weichai Power Co. Ltd. | 53,000 | 106 | |||||||
| BYD Co. Ltd. | 17,000 | 106 | |||||||
| * | GDS Holdings Ltd. ADR | 1,766 | 102 | ||||||
| China Resources Gas Group Ltd. | 20,000 | 101 | |||||||
| Guangzhou Automobile Group Co. Ltd. | 84,000 | 95 | |||||||
| * | Kingsoft Corp. Ltd. | 28,000 | 93 | ||||||
| Haier Electronics Group Co. Ltd. | 31,000 | 90 | |||||||
| Shandong Weigao Group Medical Polymer Co. Ltd. | 60,000 | 78 | |||||||
| Zhongsheng Group Holdings Ltd. | 19,500 | 75 | |||||||
| Haitong Securities Co. Ltd. | 62,800 | 69 | |||||||
| * | GSX Techedu Inc. A DR | 1,663 | 67 | ||||||
| Brilliance China Automotive Holdings Ltd. | 76,000 | 66 | |||||||
| *,1 | Hansoh Pharmaceutical Group Co. Ltd. | 18,000 | 64 | ||||||
| * | Shang Gong Group Co. Ltd. Class B | 141,622 | 62 | ||||||
| * | China Aoyuan Group Ltd. | 42,000 | 62 | ||||||
| China Lesso Group Holdings Ltd. | 40,000 | 61 | |||||||
| Dongfeng Motor Group Co. Ltd. | 74,000 | 59 | |||||||
| * | Zai Lab Ltd. ADR | 1,076 | 59 | ||||||
| * | ZTE Corp. | 13,800 | 59 | ||||||
| Great Wall Motor Co. Ltd. | 78,500 | 58 | |||||||
| * | China Biologic Products Holdings Inc. | 500 | 58 | ||||||
| China Overseas Property Holdings Ltd. | 70,000 | 58 | |||||||
| BYD Electronic International Co. Ltd. | 28,500 | 55 | |||||||
| Seazen Group Ltd. | 51,360 | 54 | |||||||
| China CITIC Bank Corp. Ltd. | 103,000 | 54 | |||||||
| KWG Group Holdings Ltd. | 35,000 | 53 | |||||||
| TravelSky Technology Ltd. | 26,000 | 51 | |||||||
| Yangzijiang Shipbuilding Holdings Ltd. | 70,500 | 49 | |||||||
| China Resources Cement Holdings Ltd. | 38,000 | 49 | |||||||
| * | GOME Retail Holdings Ltd. | 463,000 | 48 | ||||||
| Chinasoft International Ltd. | 76,000 | 48 | |||||||
| Times China Holdings Ltd. | 25,000 | 48 | |||||||
| CITIC Securities Co. Ltd. | 21,500 | 47 | |||||||
| China Longyuan Power Group Corp. Ltd. | 90,000 | 47 | |||||||
| China Communications Services Corp. Ltd. | 60,000 | 47 | |||||||
| Yuexiu REIT | 73,000 | 47 | |||||||
| * | Genscript Biotech Corp. | 22,000 | 47 | ||||||
| * | 21Vianet Group Inc. ADR | 3,019 | 45 | ||||||
| * | Kama Co. Ltd. Class B | 104,900 | 45 | ||||||
| Bank of Communications Co. Ltd. | 67,000 | 44 | |||||||
| * | Daqo New Energy Corp. ADR | 662 | 43 | ||||||
| 1,* | Tongcheng-Elong Holdings Ltd. | 28,000 | 43 | ||||||
| Beijing Enterprises Water Group Ltd. | 92,000 | 43 | |||||||
| China Medical System Holdings Ltd. | 34,000 | 43 | |||||||
| 1 | A-Living Services Co. Ltd. | 9,250 | 42 | ||||||
| 1 | China Galaxy Securities Co. Ltd. | 75,000 | 42 | ||||||
| Anhui Expressway Co. Ltd. | 74,000 | 42 | |||||||
| Shenzhen International Holdings Ltd. | 21,500 | 42 | |||||||
| 1 | WuXi AppTec Co. Ltd. | 2,700 | 41 | ||||||
| Haitian International Holdings Ltd. | 20,000 | 40 | |||||||
| * | Canadian Solar Inc. | 1,951 | 40 | ||||||
| Nine Dragons Paper Holdings Ltd. | 33,000 | 40 | |||||||
| China Agri-Industries Holdings Ltd. | 72,000 | 40 | |||||||
| China Yongda Automobiles Services Holdings Ltd. | 38,500 | 38 | |||||||
| Sinotruk Hong Kong Ltd. | 19,500 | 38 |
11
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| Tiangong International Co. Ltd. | 106,000 | 38 | |||||||
| Yuexiu Transport Infrastructure Ltd. | 48,000 | 37 | |||||||
| Agile Group Holdings Ltd. | 26,000 | 37 | |||||||
| * | BEST Inc. | 6,851 | 37 | ||||||
| Huangshan Tourism Development Co. Ltd. Class B | 45,900 | 37 | |||||||
| *,1 | ZhongAn Online P&C Insurance Co. Ltd. | 8,500 | 36 | ||||||
| * | Baozun Inc. | 1,143 | 36 | ||||||
| Beijing Capital International Airport Co. Ltd. | 46,000 | 36 | |||||||
| Zhaojin Mining Industry Co. Ltd. | 30,500 | 36 | |||||||
| Zoomlion Heavy Industry Science and Technology Co. Ltd. | 42,600 | 36 | |||||||
| China Overseas Grand Oceans Group Ltd. | 51,000 | 36 | |||||||
| Digital China Holdings Ltd. | 69,000 | 35 | |||||||
| Logan Property Holdings Co. Ltd. | 20,000 | 35 | |||||||
| Hangzhou Steam Turbine Co. Ltd. | 32,100 | 35 | |||||||
| Sany Heavy Equipment International Holdings Co. Ltd. | 57,000 | 34 | |||||||
| Lonking Holdings Ltd. | 121,000 | 34 | |||||||
| * | Alibaba Group Holding Ltd. | 1,300 | 34 | ||||||
| 1 | Fu Shou Yuan International Group Ltd. | 38,000 | 33 | ||||||
| Ausnutria Dairy Corp. Ltd. | 20,000 | 33 | |||||||
| Shenzhen Expressway Co. Ltd. | 26,000 | 32 | |||||||
| China Minsheng Banking Corp. Ltd. | 46,000 | 31 | |||||||
| China Yuhua Education Corp. Ltd. | 40,000 | 31 | |||||||
| China SCE Group Holdings Ltd. | 56,000 | 31 | |||||||
| Greentown China Holdings Ltd. | 23,000 | 31 | |||||||
| China Everbright Ltd. | 18,000 | 31 | |||||||
| Zhejiang Expressway Co. Ltd. | 40,000 | 30 | |||||||
| China Suntien Green Energy Corp. Ltd. | 122,000 | 30 | |||||||
| Concord New Energy Group Ltd. | 680,000 | 30 | |||||||
| * | Luckin Coffee Inc. ADR | 754 | 30 | ||||||
| China Molybdenum Co. Ltd. | 78,000 | 30 | |||||||
| Kingboard Holdings Ltd. | 11,000 | 29 | |||||||
| NetDragon Websoft Holdings Ltd. | 10,500 | 29 | |||||||
| * | COSCO Shipping International Singapore Co. Ltd. | 150,600 | 29 | ||||||
| Sino-Ocean Group Holding Ltd. | 78,000 | 29 | |||||||
| * | Oshidori International Holdings Ltd. | 291,000 | 29 | ||||||
| Tianjin Port Development Holdings Ltd. | 316,000 | 28 | |||||||
| Shanghai Diesel Engine Co. Ltd. Class B | 70,300 | 28 | |||||||
| China State Construction International Holdings Ltd. | 34,000 | 28 | |||||||
| Greenland Hong Kong Holdings Ltd. | 70,000 | 28 | |||||||
| * | JinkoSolar Holding Co. Ltd. ADR | 1,209 | 28 | ||||||
| 1 | YiChang HEC ChangJiang Pharmaceutical Co. Ltd. | 4,400 | 27 | ||||||
| 1 | Huatai Securities Co. Ltd. | 15,400 | 27 | ||||||
| Greatview Aseptic Packaging Co. Ltd. | 69,000 | 27 | |||||||
| Lee & Man Paper Manufacturing Ltd. | 34,000 | 27 | |||||||
| Shougang Concord International Enterprises Co. Ltd. | 618,000 | 27 | |||||||
| Xingda International Holdings Ltd. | 90,000 | 27 | |||||||
| China Oriental Group Co. Ltd. | 78,000 | 27 | |||||||
| COSCO SHIPPING Ports Ltd. | 40,000 | 27 | |||||||
| 1 | Hua Hong Semiconductor Ltd. | 12,000 | 27 | ||||||
| Powerlong Real Estate Holdings Ltd. | 42,000 | 27 | |||||||
| China Hongqiao Group Ltd. | 48,500 | 27 | |||||||
| * | Sohu.com Ltd. | 2,756 | 26 | ||||||
| *,1 | China East Education Holdings Ltd. | 12,500 | 26 | ||||||
| * | Hi Sun Technology China Ltd. | 183,000 | 26 | ||||||
| China Traditional Chinese Medicine Holdings Co. Ltd. | 48,000 | 26 |
12
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| Bosideng International Holdings Ltd. | 86,000 | 25 | |||||||
| Yuzhou Properties Co. Ltd. | 50,000 | 25 | |||||||
| *,1 | China Literature Ltd. | 5,400 | 25 | ||||||
| 1 | Haidilao International Holding Ltd. | 6,000 | 25 | ||||||
| Comba Telecom Systems Holdings Ltd. | 60,000 | 25 | |||||||
| Yuexiu Property Co. Ltd. | 118,000 | 24 | |||||||
| China Everbright International Ltd. | 36,000 | 24 | |||||||
| Shandong Airlines Co. Ltd. Class B | 23,200 | 24 | |||||||
| 1 | China Huarong Asset Management Co. Ltd. | 175,000 | 24 | ||||||
| Xiamen International Port Co. Ltd. | 209,089 | 24 | |||||||
| Kingboard Laminates Holdings Ltd. | 23,500 | 24 | |||||||
| Vinda International Holdings Ltd. | 9,000 | 23 | |||||||
| Sichuan Expressway Co. Ltd. | 84,000 | 23 | |||||||
| 1 | Zhou Hei Ya International Holdings Co. Ltd. | 42,000 | 22 | ||||||
| Shenzhen Investment Ltd. | 66,000 | 22 | |||||||
| Fantasia Holdings Group Co. Ltd. | 114,000 | 22 | |||||||
| 1 | Luye Pharma Group Ltd. | 34,500 | 21 | ||||||
| * | Lifetech Scientific Corp. | 108,000 | 21 | ||||||
| China Reinsurance Group Corp. | 150,000 | 21 | |||||||
| * | Q Technology Group Co. Ltd. | 14,000 | 20 | ||||||
| 1 | CSC Financial Co. Ltd. | 22,500 | 20 | ||||||
| China Tian Lun Gas Holdings Ltd. | 24,500 | 20 | |||||||
| China Resources Medical Holdings Co. Ltd. | 38,500 | 20 | |||||||
| * | CAR Inc. | 32,000 | 20 | ||||||
| *,1 | China Metal Resources Utilization Ltd. | 52,000 | 20 | ||||||
| Air China Ltd. | 24,000 | 20 | |||||||
| Qingling Motors Co. Ltd. | 88,000 | 19 | |||||||
| * | COSCO SHIPPING Holdings Co. Ltd. | 56,500 | 19 | ||||||
| CPMC Holdings Ltd. | 49,000 | 19 | |||||||
| 1 | Genertec Universal Medical Group Co. Ltd. | 27,000 | 19 | ||||||
| China Merchants Land Ltd. | 124,000 | 19 | |||||||
| Jiangsu Expressway Co. Ltd. | 16,000 | 19 | |||||||
| Fufeng Group Ltd. | 46,000 | 18 | |||||||
| Jiangxi Copper Co. Ltd. | 15,000 | 18 | |||||||
| Chongqing Rural Commercial Bank Co. Ltd. | 39,000 | 18 | |||||||
| Sinosoft Technology Group Ltd. | 83,000 | 18 | |||||||
| Tong Ren Tang Technologies Co. Ltd. | 19,000 | 18 | |||||||
| INESA Intelligent Tech Inc. | 27,800 | 18 | |||||||
| Zhenro Properties Group Ltd. | 26,000 | 17 | |||||||
| O-Net Technologies G roup Ltd. | 31,000 | 17 | |||||||
| Shanghai Highly Group Co. Ltd. | 24,400 | 17 | |||||||
| *,1 | China Logistics Property Holdings Co. Ltd. | 43,000 | 17 | ||||||
| Tianneng Power International Ltd. | 22,000 | 16 | |||||||
| Fanhua Inc. ADR | 804 | 16 | |||||||
| China Maple Leaf Educational Systems Ltd. | 46,000 | 16 | |||||||
| Chaowei Power Holdings Ltd. | 51,000 | 16 | |||||||
| * | Shanghai Greencourt Investment Group Co. Ltd. Class B | 43,300 | 16 | ||||||
| Dongyue Group Ltd. | 30,000 | 16 | |||||||
| Ronshine China Holdings Ltd. | 14,000 | 16 | |||||||
| Shanghai Jin Jiang Capital Co. Ltd. | 88,000 | 15 | |||||||
| 1 | Sinopec Engineering Group Co. Ltd. | 31,000 | 15 | ||||||
| *,1 | Haichang Ocean Park Holdings Ltd. | 156,000 | 15 | ||||||
| Xinhua Winshare Publishing and Media Co. Ltd. | 22,000 | 15 | |||||||
| *,1 | Shandong Gold Mining Co. Ltd. | 6,250 | 15 | ||||||
| SOHO China Ltd. | 41,000 | 15 | |||||||
| 1 | Yadea Group Holdings Ltd. | 54,000 | 15 | ||||||
| PAX Global Technology Ltd. | 29,000 | 15 | |||||||
| So-Young International Inc. ADR | 1,203 | 14 | |||||||
| Skyfame Realty Holdings Ltd. | 110,000 | 14 | |||||||
| 1 | BAIC Motor Corp. Ltd. | 29,000 | 14 | ||||||
| Skyworth Group Ltd. | 56,000 | 14 | |||||||
| * | Bitauto Holdings Ltd. ADR | 959 | 14 |
13
ESG International Stock ETF
| Market | |||||||||
| Value• | |||||||||
| Shares | ($000) | ||||||||
| AviChina Industry & Technology Co. Ltd. | 32,000 | 14 | |||||||
| Consun Pharmaceutical Group Ltd. | 28,000 | 14 | |||||||
| *,1 | Cogobuy Group | 99,000 | 14 | ||||||
| * | Beijing Gas Blue Sky Holdings Ltd. | 560,000 | 14 | ||||||
| * | Zhuguang Holdings Group Co. Ltd. | 94,000 | 13 | ||||||
| Huaneng Power International Inc. | 32,000 | 13 | |||||||
| China Water Affairs Group Ltd. | 16,000 | 13 | |||||||
| China High Speed Transmission Equipment Group Co. Ltd. | 20,000 | 13 | |||||||
| TCL Electronics Holdings Ltd. | 22,000 | 12 | |||||||
| * | Ruhnn Holding Ltd. ADR | 1,795 | 12 | ||||||
| * | Shanghai Fudan Microelectronics Group Co. Ltd. | 16,000 | 12 | ||||||
| * | Bilibili Inc. ADR | 482 | 12 | ||||||
| Beijing North Star Co. Ltd. | 44,000 | 12 | |||||||
| Phoenix Media Investment Holdings Ltd. | 194,000 | 12 | |||||||
| West China Cement Ltd. | 72,000 | 12 | |||||||
| 1 | Qingdao Port International Co. Ltd. | 18,000 | 12 | ||||||
| Sinotrans Ltd. | 41,000 | 12 | |||||||
| China ZhengTong Auto Services Holdings Ltd. | 41,000 | 12 | |||||||
| Sinofert Holdings Ltd. | 114,000 | 12 | |||||||
| Xtep International Holdings Ltd. | 28,000 | 11 | |||||||
| * | Noah Holdings Ltd. | 402 | 11 | ||||||
| Health & Happiness H&H International Holdings Ltd. | 2,500 | 11 | |||||||
| * | DouYu International Holdings Ltd. ADR | 1,387 | 11 | ||||||
| * | China Modern Dairy Holdings Ltd. | 88,000 | 11 | ||||||
| *,1 | Yixin Group Ltd. | 49,000 | 11 | ||||||
| China Zhongwang Holdings Ltd. | 31,200 | 11 | |||||||
| Colour Life Services Group Co. Ltd. | 19,000 | 10 | |||||||
| * | Sogou Inc. ADR | 2,400 | 10 | ||||||
| *,1 | Tian Ge Interactive Holdings Ltd. | 45,000 | 10 | ||||||
| Xinjiang Goldwind Science & Technology Co. Ltd. | 9,800 | 10 | |||||||
| Dawnrays Pharmaceutical Holdings Ltd. | 58,000 | 10 | |||||||
| * | First Tractor Co. Ltd. | 48,000 | 10 | ||||||
| Central China Securities Co. Ltd. | 48,000 | 10 | |||||||
| Sihuan Pharmaceutical Holdings Group Ltd. | 80,000 | 10 | |||||||
| * | Shanghai Phoenix | ||||||||
| Enterprise Group Co. Ltd. | 23,400 | 10 | |||||||
| Weiqiao Textile Co. | 36,000 | 9 | |||||||
| 1 | China Everbright Greentech Ltd. | 19,000 | 9 | ||||||
| Shanghai Industrial Urban Development Group Ltd. | 80,000 | 9 | |||||||
| 1 | China Merchants Securities Co. Ltd. | 7,400 | 9 | ||||||
| China Fangda Group Co. Ltd. | 25,100 | 9 | |||||||
| China Shineway Pharmaceutical Group Ltd. | 10,000 | 9 | |||||||
| Jiayuan International Group Ltd. | 22,000 | 9 | |||||||
| 1 | Beijing Urban Construction Design & Development Group Co. Ltd. | 30,000 | 9 | ||||||
| China Power International Development Ltd. | 46,000 | 9 | |||||||
| Tianjin Development Holdings Ltd. | 34,000 | 9 | |||||||
| China Lilang Ltd. | 13,000 | 8 | |||||||
| Guorui Properties Ltd. | 47,000 | 8 | |||||||
| 1 | China Railway Signal & Communication Corp. Ltd. | 16,000 | 8 | ||||||
| * | Grand Baoxin Auto Group Ltd. | 50,000 | 8 | ||||||
| Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co. Ltd. | 14,000 | 8 | |||||||
| Wasion Holdings Ltd. | 20,000 | 8 | |||||||
| * | China Eastern Airlines Corp. Ltd. | 18,000 | 8 | ||||||
| *,1 | Jinxin Fertility Group Ltd. | 6,000 | 8 | ||||||
| * | HengTen Networks Group Ltd. | 600,000 | 8 | ||||||
| China Grand Pharmaceutical and Healthcare Holdings Ltd. | 12,000 | 8 | |||||||
| Greentown Service Group Co. Ltd. | 6,000 | 8 | |||||||
| * | GCL-Poly Energy Holdings Ltd. | 153,000 | 7 | ||||||
| Ajisen China Holdings Ltd. | 24,000 | 6 | |||||||
| Zhongyu Gas Holdings Ltd. | 7,000 | 6 |
14
ESG International Stock ETF
| Shares | Market Value• ($000) | |||||
| China Education Group Holdings Ltd. | 4,000 | 6 | ||||
| * | Kasen International Holdings Ltd. | 30,000 | 6 | |||
| * | Leyou Technologies Holdings Ltd. | 15,000 | 5 | |||
| Maoye International Holdings Ltd. | 79,000 | 5 | ||||
| Tongda Group Holdings Ltd. | 50,000 | 5 | ||||
| 1 | Redco Properties Group Ltd. | 10,000 | 5 | |||
| 1 | Shanghai Haohai Biological Technology Co. Ltd. | 800 | 4 | |||
| * | Times Neighborhood Holdings Ltd. | 5,000 | 4 | |||
| Shanghai Zhenhua Heavy | ||||||
| Industries Co. Ltd. Class B | 12,800 | 4 | ||||
| Texhong Textile Group Ltd. | 3,500 | 4 | ||||
| * | Wise Talent Information Technology Co. Ltd. | 1,400 | 3 | |||
| China BlueChemical Ltd. | 18,000 | 3 | ||||
| China Dongxiang Group Co. Ltd. | 34,000 | 3 | ||||
| Launch Tech Co. Ltd. | 13,800 | 3 | ||||
| JNBY Design Ltd. | 2,500 | 3 | ||||
| * | Qudian Inc. ADR | 900 | 2 | |||
| * | Beijing Enterprises Clean Energy Group Ltd. | 280,000 | 2 | |||
| * | China First Capital Group Ltd. | 60,000 | 2 | |||
| *,§ | Legend Holdings Corp. Rights | 207 | — | |||
| 63,310 | ||||||
| Colombia (0.1%) | ||||||
| Bancolombia SA Preference Shares | 26,690 | 319 | ||||
| Interconexion Electrica SA ESP | 12,561 | 66 | ||||
| Banco Davivienda SA Preference Shares | 5,148 | 62 | ||||
| Grupo de Inversiones Suramericana SA | 5,831 | 51 | ||||
| Bancolombia SA Grupo Aval Acciones y | 3,288 | 36 | ||||
| Valores Preference Shares | 73,540 | 30 | ||||
| Corp Financiera Colombiana SA | 2,832 | 26 | ||||
| 590 | ||||||
| Czech Republic (0.0%) | ||||||
| Komercni banka AS | 8,704 | 270 | ||||
| 1 | Moneta Money Bank AS | 8,738 | 29 | |||
| 299 | ||||||
| Denmark (1.4%) | ||||||
| Novo Nordisk A/S Class B | 65,233 | 3,822 | ||||
| Coloplast A/S Class B | 6,710 | 901 | ||||
| Dsv Panalpina A/S | 8,367 | 849 | ||||
| Vestas Wind Systems A/S | 8,685 | 838 | ||||
| * | Genmab A/S | 3,023 | 684 | |||
| Novozymes A/S | 9,843 | 505 | ||||
| GN Store Nord A/S | 8,208 | 458 | ||||
| Chr Hansen Holding A/S | 4,651 | 335 | ||||
| Ambu A/S Class B | 8,420 | 192 | ||||
| Pandora A/S | 4,160 | 187 | ||||
| Iss A/S | 10,276 | 183 | ||||
| SimCorp A/S | 611 | 59 | ||||
| * | Demant A/S | 1,573 | 48 | |||
| Tryg A/S | 1,641 | 46 | ||||
| Jyske Bank A/S | 1,228 | 42 | ||||
| Ringkjoebing Landbobank A/S | 620 | 41 | ||||
| Topdanmark A/S | 762 | 33 | ||||
| H Lundbeck A/S | 906 | 32 | ||||
| * | ALK-Abello A/S | 123 | 31 | |||
| Schouw & Co. A/S | 372 | 28 | ||||
| Matas A/S | 2,846 | 24 | ||||
| ROCKWOOL International A/S Class B | 101 | 23 | ||||
| Sydbank A/S | 1,250 | 23 | ||||
| *,1 | Netcompany Group A/S | 287 | 14 | |||
| Spar Nord Bank A/S | 1,580 | 13 | ||||
| * | Nkt A/S | 498 | 12 | |||
| * | Bavarian Nordic A/S | 232 | 8 | |||
| D/S Norden A/S | 511 | 6 | ||||
| *,^ | Bang & Olufsen A/S | 729 | 4 | |||
| 9,441 | ||||||
| Egypt (0.1%) | ||||||
| Commercial International | ||||||
| Bank Egypt SAE | 62,057 | 328 | ||||
| Oriental Weavers | 30,685 | 20 | ||||
| Six of October Development & Investment | 25,899 | 20 | ||||
| Egyptian Financial Group- | ||||||
| Hermes Holding Co. | 18,351 | 17 | ||||
| Orascom Construction plc | 2,961 | 17 | ||||
| * | Palm Hills Developments SAE | 156,950 | 14 | |||
| * | Medinet Nasr Housing | 33,720 | 9 | |||
| Heliopolis Housing | 15,858 | 6 | ||||
| 431 | ||||||
| Finland (0.8%) | ||||||
| Nordea Bank Abp | 117,643 | 927 | ||||
| Nokia Oyj | 225,309 | 861 | ||||
| ^ | Kone Oyj Class B | 15,002 | 850 | |||
| Sampo Oyj Class A | 16,686 | 682 | ||||
| Elisa Oyj | 8,608 | 496 | ||||
15
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Kesko Oyj | 5,262 | 358 | ||||||||
| Stora Enso Oyj | 29,546 | 350 | ||||||||
| Wartsila OYJ Abp | 23,911 | 250 | ||||||||
| Nokian R enkaat Oyj | 8,911 | 233 | ||||||||
| Orion Oyj Class B | 2,403 | 96 | ||||||||
| Huhtamaki Oyj | 2,258 | 93 | ||||||||
| Valmet Oyj | 2,585 | 62 | ||||||||
| TietoEVRY Oyj | 1,319 | 37 | ||||||||
| Kemira Oyj | 2,307 | 29 | ||||||||
| Cargotec Oyj Class B | 831 | 24 | ||||||||
| Metsa Board Oyj | 3,789 | 22 | ||||||||
| * | Outotec Oyj | 3,687 | 19 | |||||||
| Sanoma Oyj | 1,656 | 19 | ||||||||
| Ahlstrom-Munksjo Oyj | 869 | 12 | ||||||||
| YIT Oyj | 1,180 | 8 | ||||||||
| Uponor Oyj | 441 | 6 | ||||||||
| Finnair Oyj | 339 | 2 | ||||||||
| 5,436 | ||||||||||
| France (5.2%) | ||||||||||
| Sanofi | 41,294 | 3,851 | ||||||||
| L’Oreal SA | 9,018 | 2,424 | ||||||||
| Air Liquide SA | 17,365 | 2,365 | ||||||||
| BNP Paribas SA | 40,978 | 1,989 | ||||||||
| Kering SA | 2,875 | 1,621 | ||||||||
| Axa SA | 69,164 | 1,608 | ||||||||
| Danone SA | 22,403 | 1,581 | ||||||||
| EssilorLuxottica SA | 11,242 | 1,541 | ||||||||
| Orange SA | 68,975 | 928 | ||||||||
| Legrand SA | 12,006 | 922 | ||||||||
| Vivendi SA | 34,495 | 881 | ||||||||
| STMicroelectronics NV | 30,113 | 831 | ||||||||
| Societe Generale SA | 28,454 | 806 | ||||||||
| Cie Generale des Etablissements Michelin SCA | 7,413 | 794 | ||||||||
| Hermes International | 1,027 | 724 | ||||||||
| Veolia Environnement SA | 23,281 | 671 | ||||||||
| Teleperformance | 2,662 | 649 | ||||||||
| Edenred | 11,844 | 620 | ||||||||
| Credit Agricole SA | 48,432 | 582 | ||||||||
| Ingenico Group SA | 3,417 | 487 | ||||||||
| Gecina SA | 2,724 | 485 | ||||||||
| Carrefour SA | 27,512 | 475 | ||||||||
| Peugeot SA | 22,741 | 441 | ||||||||
| Getlink SE | 26,162 | 424 | ||||||||
| Arkema SA | 4,235 | 401 | ||||||||
| Worldline SA | 4,814 | 371 | ||||||||
| Orpea | 2,818 | 366 | ||||||||
| Suez | 22,348 | 355 | ||||||||
| Publicis Groupe SA | 9,079 | 353 | ||||||||
| 1 | Euronext NV | 3,892 | 325 | |||||||
| Covivio | 3,029 | 322 | ||||||||
| Rubis SCA | 5,902 | 320 | ||||||||
| Klepierre SA | 10,370 | 311 | ||||||||
| Scor Se | 8,337 | 302 | ||||||||
| Sodexo SA | 3,065 | 296 | ||||||||
| Valeo SA | 10,584 | 269 | ||||||||
| Eurofins Scientific SE | 527 | 266 | ||||||||
| Rexel SA | 21,201 | 262 | ||||||||
| Alstom SA | 5,279 | 261 | ||||||||
| Wendel SA | 2,036 | 252 | ||||||||
| Eurazeo SE | 3,700 | 249 | ||||||||
| Aeroports de Paris | 1,469 | 218 | ||||||||
| Seb SA | 1,602 | 213 | ||||||||
| * | Ubisoft Entertainment SA | 2,816 | 211 | |||||||
| Lagardere SCA | 12,058 | 210 | ||||||||
| Renault SA | 6,915 | 206 | ||||||||
| SES SA Class A | 16,913 | 194 | ||||||||
| Sodexo SA - French Loyalty Line | 1,731 | 167 | ||||||||
| Ipsen SA | 1,538 | 101 | ||||||||
| Natixis SA | 21,568 | 88 | ||||||||
| Faurecia SE | 1,886 | 86 | ||||||||
| BioMerieux | 685 | 64 | ||||||||
| Sartorius Stedim Biotech | 306 | 59 | ||||||||
| 1 | Amundi SA | 799 | 57 | |||||||
| Elis SA | 3,285 | 57 | ||||||||
| Casino Guichard Perrachon SA | 1,455 | 57 | ||||||||
| Icade | 548 | 55 | ||||||||
| Iliad SA | 380 | 53 | ||||||||
| * | Cgg SA | 19,045 | 53 | |||||||
| * | Soitec | 575 | 48 | |||||||
| Nexity SA | 875 | 41 | ||||||||
| Eutelsat Communications SA | 2,991 | 40 | ||||||||
| Sopra Steria Group | 234 | 38 | ||||||||
| Korian SA | 804 | 37 | ||||||||
| JCDecaux SA | 1,477 | 34 | ||||||||
| CNP Assurances | 2,067 | 33 | ||||||||
| Imerys SA | 768 | 30 | ||||||||
| Gaztransport Et Technigaz SA | 320 | 29 | ||||||||
| Societe BIC SA | 461 | 28 | ||||||||
| * | Virbac SA | 117 | 27 | |||||||
| * | Air France-KLM | 3,286 | 25 | |||||||
| 1 | Elior Group SA | 1,988 | 25 | |||||||
| 1 | Ald SA | 1,798 | 24 | |||||||
| Cie Plastic Omnium SA | 1,050 | 24 | ||||||||
| Metropole Television SA | 1,352 | 20 | ||||||||
| Mercialys SA | 1,640 | 19 | ||||||||
| Vicat SA | 393 | 15 | ||||||||
| * | Fnac Darty SA | 311 | 14 | |||||||
| Ipsos | 389 | 12 | ||||||||
| Tarkett SA | 706 | 11 | ||||||||
| 1 | Maisons du Monde SA | 858 | 11 | |||||||
| Albioma SA | 268 | 9 | ||||||||
| Television Francaise 1 | 1,071 | 8 |
16
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Rallye SA | 850 | 8 | ||||||||
| * | DBV Technologies SA | 384 | 8 | |||||||
| Trigano SA | 99 | 8 | ||||||||
| Coface SA | 676 | 7 | ||||||||
| Quadient | 340 | 7 | ||||||||
| Lisi | 162 | 5 | ||||||||
| Akka Technologies | 83 | 5 | ||||||||
| Rothschild & Co. | 174 | 4 | ||||||||
| Beneteau SA | 430 | 4 | ||||||||
| Altarea SCA | 21 | 4 | ||||||||
| Interparfums SA | 113 | 4 | ||||||||
| Eramet | 97 | 3 | ||||||||
| 1 | Europcar Mobility Group | 786 | 3 | |||||||
| *,1 | Smcp SA | 262 | 2 | |||||||
| * | Technicolor SA | 4,381 | 1 | |||||||
| 35,805 | ||||||||||
| Germany (5.6%) | ||||||||||
| SAP SE | 37,889 | 4,730 | ||||||||
| Allianz SE | 15,721 | 3,425 | ||||||||
| Bayer AG | 36,380 | 2,646 | ||||||||
| adidas AG | 7,698 | 2,167 | ||||||||
| Daimler AG | 32,295 | 1,359 | ||||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 5,203 | 1,348 | ||||||||
| Deutsche Post AG | 42,344 | 1,274 | ||||||||
| Deutsche Boerse AG | 7,368 | 1,159 | ||||||||
| Vonovia SE | 21,331 | 1,154 | ||||||||
| Infineon Technologies AG | 49,988 | 1,067 | ||||||||
| Fresenius SE & Co. KGaA | 16,990 | 806 | ||||||||
| Henkel AG & C o. KGaA | 9,077 | 776 | ||||||||
| Deutsche Bank AG | 86,762 | 762 | ||||||||
| Merck KGaA | 6,256 | 761 | ||||||||
| Fresenius Medical Care AG & Co. KGaA | 9,289 | 716 | ||||||||
| MTU Aero Engines AG | 2,593 | 642 | ||||||||
| Symrise AG Class A | 6,482 | 635 | ||||||||
| ^ | Wirecard AG | 4,608 | 594 | |||||||
| Bayerische Motoren Werke AG Preference Shares | 10,889 | 565 | ||||||||
| Continental AG | 4,720 | 540 | ||||||||
| Deutsche Wohnen SE | 12,690 | 518 | ||||||||
| Beiersdorf AG | 4,831 | 510 | ||||||||
| HeidelbergCement AG | 8,043 | 482 | ||||||||
| 1 | Scout24 AG | 7,114 | 468 | |||||||
| Hannover Rueck SE | 2,572 | 466 | ||||||||
| LEG Immobilien AG | 3,828 | 460 | ||||||||
| Sartorius AG Preference Shares | 1,910 | 446 | ||||||||
| Brenntag AG | 9,610 | 436 | ||||||||
| *,1 | Delivery Hero SE | 5,354 | 410 | |||||||
| Aroundtown SA | 44,067 | 383 | ||||||||
| Puma SE | 4,610 | 357 | ||||||||
| * | Qiagen NV | 9,425 | 348 | |||||||
| *,1 | Zalando SE | 7,387 | 330 | |||||||
| Lanxess AG | 6,024 | 321 | ||||||||
| 1 | Covestro AG | 8,200 | 318 | |||||||
| Commerzbank AG | 52,170 | 301 | ||||||||
| GEA Group AG | 9,578 | 256 | ||||||||
| KION Group AG | 4,429 | 239 | ||||||||
| Bayerische Motoren Werke AG | 3,576 | 236 | ||||||||
| Fuchs Petrolub Se | 6,204 | 220 | ||||||||
| * | OSRAM Licht AG | 4,074 | 210 | |||||||
| * | MorphoSys AG | 1,923 | 207 | |||||||
| Deutsche Lufthansa AG | 13,400 | 177 | ||||||||
| Hugo Boss AG | 3,922 | 175 | ||||||||
| ProSiebenSat.1 M edia SE | 14,184 | 173 | ||||||||
| Henkel AG & C o. KGaA Preference Shares | 1,397 | 130 | ||||||||
| * | HelloFresh SE | 5,055 | 123 | |||||||
| K&S AG | 14,280 | 118 | ||||||||
| Carl Zeiss Meditec AG | 999 | 106 | ||||||||
| United Internet AG | 3,494 | 106 | ||||||||
| 1 | Siemens Healthineers AG | 2,468 | 101 | |||||||
| * | Evotec SE | 3,865 | 94 | |||||||
| Bechtle AG | 521 | 69 | ||||||||
| CTS Eventim AG & Co. KGaA | 1,234 | 66 | ||||||||
| Nemetschek SE | 1,012 | 64 | ||||||||
| Evonik Industries AG | 2,533 | 63 | ||||||||
| 1 | Hapag-Lloyd AG | 790 | 63 | |||||||
| alstria office REIT-AG | 3,042 | 58 | ||||||||
| * | Dialog Semiconductor plc | 1,656 | 57 | |||||||
| Siltronic AG | 562 | 53 | ||||||||
| Aareal Bank AG | 1,828 | 51 | ||||||||
| TAG Immobilien AG | 1,874 | 46 | ||||||||
| Freenet AG | 2,264 | 45 | ||||||||
| Aurubis AG | 898 | 43 | ||||||||
| Grand City Properties SA | 1,805 | 43 | ||||||||
| 1 | Deutsche Pfandbriefbank AG | 2,681 | 38 | |||||||
| Gerresheimer AG | 499 | 36 | ||||||||
| * | Varta AG | 469 | 36 | |||||||
| Grenke AG | 379 | 35 | ||||||||
| Rational AG | 51 | 35 | ||||||||
| Software AG | 1,055 | 35 | ||||||||
| Fraport AG Frankfurt Airport Services Worldwide | 542 | 35 | ||||||||
| Stroeer SE & Co. KGaA | 451 | 34 | ||||||||
| Stabilus SA | 623 | 34 | ||||||||
| * | Hypoport AG | 99 | 34 | |||||||
| RTL Group SA | 776 | 33 | ||||||||
| Cancom Se | 620 | 31 | ||||||||
| Metro AG | 2,587 | 30 | ||||||||
| 1&1 Drillisch AG | 1,384 | 30 |
17
ESG International Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Norma Group SE | 908 | 30 | ||||||||
| Telefonica Deutschland Holding AG | 11,048 | 29 | ||||||||
| Talanx AG | 604 | 27 | ||||||||
| S&T AG | 1,207 | 27 | ||||||||
| RIB Software SE | 812 | 26 | ||||||||
| DIC Asset AG | 1,490 | 26 | ||||||||
| Pfeiffer Vacuum Technology AG | 172 | 26 | ||||||||
| Suedzucker AG | 1,658 | 26 | ||||||||
| CompuGroup Medical SE | 411 | 26 | ||||||||
| Duerr AG | 811 | 26 | ||||||||
| CropEnergies AG | 2,396 | 25 | ||||||||
| Patrizia AG | 1,016 | 24 | ||||||||
| Fuchs Petrolub SE Preference Shares | 620 | 24 | ||||||||
| TLG Immobilien AG | 776 | 22 | ||||||||
| Jenoptik AG | 927 | 22 | ||||||||
| Schaeffler AG Preference Shares | 2,248 | 20 | ||||||||
| Krones AG | 316 | 20 | ||||||||
| * | New Work SE | 68 | 18 | |||||||
| Jungheinrich AG Preference Shares | 905 | 18 | ||||||||
| Wacker Chemie AG | 251 | 18 | ||||||||
| 1 | Befesa SA | 525 | 17 | |||||||
| * | Aixtron SE | 1,618 | 17 | |||||||
| * | Nordex SE | 1,327 | 16 | |||||||
| 1 | ADO Properties SA | 530 | 16 | |||||||
| * | Encavis AG | 1,251 | 15 | |||||||
| * | Ceconomy AG | 2,885 | 14 | |||||||
| Deutz AG | 2,915 | 14 | ||||||||
| * | Zooplus AG | 116 | 12 | |||||||
| Isra Vision AG | 172 | 10 | ||||||||
| Koenig & Bauer AG | 378 | 9 | ||||||||
| *,1 | Rocket Internet SE | 409 | 9 | |||||||
| KWS Saat SE & Co. KGaA | 157 | 9 | ||||||||
| Wacker N euson S E | 574 | 8 | ||||||||
| Hornbach H olding AG &Co. KGaA | 99 | 6 | ||||||||
| Corestate Capital Holding SA | 123 | 6 | ||||||||
| Draegerwerk AG & Co.KGaA | 110 | 5 | ||||||||
| Washtec AG | 87 | 5 | ||||||||
| Kloeckner & Co. SE | 727 | 4 | ||||||||
| Takkt AG | 303 | 4 | ||||||||
| * | Heidelberger Druckmaschinen AG | 2,926 | 3 | |||||||
| 38,227 | ||||||||||
| Greece (0.1%) | ||||||||||
| * | Alpha Bank AE | 116,431 | 170 | |||||||
| * | Eurobank Ergasias SA | 192,919 | 123 | |||||||
| Fourlis Holdings SA | 11,757 | 65 | ||||||||
| Hellenic Telecommunications Organization SA | 3,868 | 55 | ||||||||
| * | National Bank of Greece SA | 17,538 | 40 | |||||||
| Jumbo SA | 2,220 | 35 | ||||||||
| Holding Co. ADMIE IPTO SA | 11,577 | 28 | ||||||||
| * | Piraeus Bank SA | 10,710 | 24 | |||||||
| Sarantis SA | 1,078 | 8 | ||||||||
| * | GEK Terna Holding Real Estate Construction SA | 1,145 | 8 | |||||||
| * | LAMDA Development SA | 930 | 7 | |||||||
| * | Ellaktor SA | 4,982 | 7 | |||||||
| Aegean Airlines SA | 945 | 7 | ||||||||
| 577 | ||||||||||
|
Hong Kong (2.6%) | ||||||||||
| AIA Group Ltd. | 481,000 | 4,821 | ||||||||
| Hong Kong Exchanges &Clearing Ltd. | 52,800 | 1,766 | ||||||||
| CK Asset Holdings Ltd. | 126,000 | 804 | ||||||||
| Sun Hung Kai Properties Ltd. | 54,500 | 788 | ||||||||
| Hang Seng Bank Ltd. | 36,100 | 761 | ||||||||
| Link REIT | 75,000 | 700 | ||||||||
| BOC Hong Kong Holdings Ltd. | 158,500 | 555 | ||||||||
| Techtronic Industries Co. Ltd. | 56,500 | 469 | ||||||||
| China Mengniu Dairy Co. Ltd. | 127,000 | 464 | ||||||||
| New World Development Co. Ltd. | 337,000 | 441 | ||||||||
| 1 | WH Group Ltd. | 397,500 | 417 | |||||||
| Hang Lung Properties Ltd. | 170,000 | 377 | ||||||||
| Sino Land Co. Ltd. | 228,000 | 315 | ||||||||
| PCCW Ltd. | 509,000 | 308 | ||||||||
| Lenovo Group Ltd. | 466,000 | 293 | ||||||||
| Hysan Development Co. Ltd. | 75,000 | 274 | ||||||||
| AAC Technologies Holdings Inc. | 39,500 | 264 | ||||||||
| ASM Pacific Technology Ltd. | 20,900 | 253 | ||||||||
| Wharf Holdings Ltd. | 109,000 | 233 | ||||||||
| Power Assets Holdings Ltd. | 32,500 | 233 | ||||||||
| Swire Properties Ltd. | 68,800 | 207 | ||||||||
| * | Semiconductor Manufacturing International Corp. | 102,000 | 202 | |||||||
| Bank of East Asia Ltd. | 90,400 | 193 | ||||||||
| Wheelock & Co. Ltd. | 24,000 | 184 | ||||||||
| MTR Corp. Ltd. | 28,500 | 163 | ||||||||
18
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| 1 | Samsonite International SA | 87,300 | 154 | |||||||
| NWS Holdings Ltd. | 113,000 | 140 | ||||||||
| Wharf Real Estate Investment Co. Ltd. | 29,000 | 134 | ||||||||
| CK Infrastructure Holdings Ltd. | 18,500 | 127 | ||||||||
| Hongkong Land Holdings Ltd. | 22,000 | 109 | ||||||||
| Tingyi Cayman Islands Holding Corp. | 54,000 | 99 | ||||||||
| Swire Pacific Ltd. Class A | 9,500 | 87 | ||||||||
| Henderson Land Development Co. Ltd. | 18,400 | 86 | ||||||||
| Vitasoy International Holdings Ltd. | 22,000 | 80 | ||||||||
| Sun Art Retail Group Ltd. | 57,000 | 74 | ||||||||
| Minth Group Ltd. | 20,000 | 71 | ||||||||
| Xinyi Solar Holdings Ltd. | 78,000 | 63 | ||||||||
| Hang Lung Group Ltd. | 19,000 | 48 | ||||||||
| Prada SpA | 12,200 | 40 | ||||||||
| Fortune REIT | 36,000 | 39 | ||||||||
| 1 | BOC Aviation Ltd. | 3,900 | 34 | |||||||
| Yue Yuen Industrial Holdings Ltd. | 13,500 | 33 | ||||||||
| Cafe de Coral Holdings Ltd. | 14,000 | 31 | ||||||||
| Kerry Properties Ltd. | 10,500 | 30 | ||||||||
| VTech Holdings Ltd. | 3,300 | 29 | ||||||||
| BOE Varitronix Ltd. | 89,000 | 29 | ||||||||
| SITC International Holdings Co. Ltd. | 24,000 | 28 | ||||||||
| HKBN Ltd. | 13,000 | 23 | ||||||||
| * | Hong Kong Television Network Ltd. | 40,000 | 23 | |||||||
| China Harmony New Energy Auto Holding Ltd. | 44,000 | 22 | ||||||||
| Cathay Pacific Airways Ltd. | 16,000 | 21 | ||||||||
| Johnson Electric Holdings Ltd. | 8,500 | 20 | ||||||||
| Uni-President China Holdings Ltd. | 19,000 | 20 | ||||||||
| Man Wah Holdings Ltd. | 26,400 | 20 | ||||||||
| Value Partners Group Ltd. | 32,000 | 18 | ||||||||
| Kerry Logistics Network Ltd. | 11,500 | 17 | ||||||||
| L’Occitane International SA | 9,250 | 16 | ||||||||
| 1 | CGN New Energy Holdings Co. Ltd. | 102,000 | 16 | |||||||
| Pou Sheng International Holdings Ltd. | 61,000 | 16 | ||||||||
| * | China Silver Group Ltd. | 154,000 | 15 | |||||||
| Haitong International Securities Group Ltd. | 50,000 | 15 | ||||||||
| * | FIH Mobile Ltd. | 91,000 | 14 | |||||||
| Inspur International Ltd. | 34,000 | 14 | ||||||||
| K Wah International Holdings Ltd. | 26,000 | 13 | ||||||||
| *,1 | Razer Inc. | 75,000 | 12 | |||||||
| China Travel International Investment Hong Kong Ltd. | 70,000 | 11 | ||||||||
| Canvest Environmental Protection Group Co. Ltd. | 22,000 | 11 | ||||||||
| Chow Tai Fook Jewellery Group Ltd. | 11,800 | 10 | ||||||||
| * | COFCO Meat Holdings Ltd. | 39,000 | 10 | |||||||
| Li & Fung Ltd. | 116,000 | 10 | ||||||||
| Henderson Investment Ltd. | 120,000 | 10 | ||||||||
| Ju Teng International Holdings Ltd. | 42,000 | 9 | ||||||||
| * | MMG Ltd. | 44,000 | 9 | |||||||
| Pacific Basin Shipping Ltd. | 61,000 | 9 | ||||||||
| Dairy Farm International Holdings Ltd. | 1,900 | 9 | ||||||||
| * | Esprit Holdings Ltd. | 52,700 | 9 | |||||||
| New World Department Store China Ltd. | 52,000 | 8 | ||||||||
| Lee’s Pharmaceutical Holdings Ltd. | 16,500 | 8 | ||||||||
| * | Parkson Retail Group Ltd. | 118,500 | 8 | |||||||
| EVA Precision Industrial Holdings Ltd. | 112,000 | 8 | ||||||||
| Gemdale Properties & Investment Corp. Ltd. | 44,000 | 8 | ||||||||
| 1 | IMAX China Holding Inc. | 4,100 | 8 | |||||||
| * | Lifestyle China Group Ltd. | 29,500 | 8 | |||||||
| Towngas China Co. Ltd. | 13,000 | 8 | ||||||||
| Nexteer Automotive Group Ltd. | 10,000 | 7 | ||||||||
| Asia Cement China Holdings Corp. | 5,500 | 7 | ||||||||
| IGG Inc. | 10,000 | 7 | ||||||||
| Luk Fook Holdings International Ltd. | 3,000 | 7 | ||||||||
| * | HC Group Inc. | 25,000 | 7 | |||||||
| * | Beijing Enterprises Medical | 330,000 | 6 | |||||||
| * | GCL New Energy Holdings Ltd. | 284,000 | 5 | |||||||
| CITIC Telecom International Holdings Ltd. | 12,000 | 4 | ||||||||
| Guotai Junan International Holdings Ltd. | 25,000 | 4 |
19
ESG International Stock ETF
| Shares | Market Value• ($000) | |||||||||
| * | Honghua Group Ltd. | 77,000 | 4 | |||||||
| Anton Oilfield Services Group | 40,000 | 4 | ||||||||
| * | Truly International Holdings Ltd. | 28,000 | 4 | |||||||
| * | NewOcean Energy Holdings Ltd. | 22,000 | 3 | |||||||
| 1 | Xiabuxiabu Catering Management China Holdings Co. Ltd. | 3,000 | 3 | |||||||
| Lifestyle International Holdings Ltd. | 3,000 | 3 | ||||||||
| SA Sa International Holdings Ltd. | 14,000 | 3 | ||||||||
| * | China LNG Group Ltd. | 42,000 | 2 | |||||||
| * | NOVA Group Holdings Ltd. | 10,000 | 2 | |||||||
| *,§ | Camsing International Holding Ltd. | 6,000 | 1 | |||||||
| 17,619 | ||||||||||
| Hungary (0.1%) | ||||||||||
| OTP Bank Nyrt | 11,836 | 519 | ||||||||
| Richter Gedeon Nyrt | 10,051 | 205 | ||||||||
| 724 | ||||||||||
| India (2.3%) | ||||||||||
| Housing Development Finance Corp. Ltd. | 63,822 | 1,937 | ||||||||
| Infosys Ltd. | 138,339 | 1,404 | ||||||||
| Hindustan Unilever Ltd. | 24,537 | 741 | ||||||||
| Axis Bank Ltd. | 71,160 | 693 | ||||||||
| * | Bharti Airtel Ltd. | 63,807 | 465 | |||||||
| Bajaj Finance Ltd. | 7,292 | 456 | ||||||||
| HCL Technologies Ltd. | 52,731 | 392 | ||||||||
| Maruti Suzuki India Ltd. | 4,202 | 367 | ||||||||
| Asian Paints Ltd. | 13,401 | 335 | ||||||||
| * | State Bank of India | 74,592 | 318 | |||||||
| UltraTech Cement Ltd. | 4,654 | 274 | ||||||||
| Bajaj Finserv Ltd. | 1,996 | 253 | ||||||||
| Titan Co. Ltd. | 13,609 | 238 | ||||||||
| Sun Pharmaceutical Industries Ltd. | 39,131 | 203 | ||||||||
| UPL Ltd. | 24,192 | 175 | ||||||||
| Hero MotoCorp Ltd. | 5,721 | 164 | ||||||||
| Wipro Ltd. | 52,570 | 162 | ||||||||
| Nestle India Ltd. | 731 | 160 | ||||||||
| Godrej Consumer Products Ltd. | 20,025 | 156 | ||||||||
| 1 | SBI Life Insurance Co. Ltd. | 12,575 | 156 | |||||||
| 1 | HDFC Life Insurance Co. Ltd. | 18,571 | 141 | |||||||
| *,1 | Avenue Supermarts Ltd. Zee Entertainment Enterprises Ltd. | 34,078 | 114 | |||||||
| Dabur India Ltd. | 16,469 | 114 | ||||||||
| Bajaj Auto Ltd. | 2,742 | 110 | ||||||||
| 1 | ICICI Lombard General Insurance Co. Ltd. | 6,338 | 109 | |||||||
| Shriram Transport Finance Co. Ltd. | 6,382 | 107 | ||||||||
| Eicher Motors Ltd. | 426 | 99 | ||||||||
| Bharti Infratel Ltd. | 33,048 | 99 | ||||||||
| 1 | AU Small Finance Bank Ltd. | 5,814 | 94 | |||||||
| Dr Reddy’s Laboratories Ltd. | 2,064 | 84 | ||||||||
| Info Edge India Ltd. | 2,280 | 82 | ||||||||
| Grasim Industries Ltd. | 8,539 | 82 | ||||||||
| Piramal Enterprises Ltd. | 4,355 | 80 | ||||||||
| 1 | Bandhan Bank Ltd. | 13,545 | 72 | |||||||
| Jubilant Foodworks Ltd. | 2,929 | 72 | ||||||||
| Apollo Hospitals Enterprise Ltd. | 2,885 | 70 | ||||||||
| Federal Bank Ltd. | 57,597 | 69 | ||||||||
| Petronet LNG Ltd. | 19,352 | 66 | ||||||||
| Welspun Corp. Ltd. | 23,678 | 62 | ||||||||
| Britannia Industries Ltd. | 1,483 | 61 | ||||||||
| 1 | HDFC Asset Management Co. Ltd. | 1,356 | 60 | |||||||
| Marico Ltd. | 14,286 | 59 | ||||||||
| * | Aavas Financiers Ltd. | 2,260 | 59 | |||||||
| 1 | ICICI Prudential Life Insurance Co. Ltd. | 8,799 | 58 | |||||||
| 1 | InterGlobe Aviation Ltd. | 3,063 | 56 | |||||||
| Karnataka Bank Ltd. | 55,236 | 54 | ||||||||
| Muthoot Finance Ltd. | 4,331 | 53 | ||||||||
| Mahindra & Mahindra Financial Services Ltd. | 10,678 | 51 | ||||||||
| City Union Bank Ltd. | 17,071 | 51 | ||||||||
| 1 | RBL Bank Ltd. | 12,366 | 50 | |||||||
| DLF Ltd. | 17,854 | 50 | ||||||||
| Indiabulls Housing Finance Ltd. | 12,306 | 49 | ||||||||
| Container Corp. Of India Ltd. | 6,776 | 48 | ||||||||
| V-Mart Retail Ltd. | 1,545 | 48 | ||||||||
| Pidilite Industries Ltd. | 2,261 | 48 | ||||||||
| Shree Cement Ltd. | 150 | 47 | ||||||||
| * | IDFC Bank | 90,552 | 47 | |||||||
| * | Max Financial Services Ltd. | 5,762 | 46 | |||||||
| * | Ambuja Cements Ltd. | 16,099 | 46 | |||||||
| Aurobindo Pharma Ltd. | 6,332 | 44 | ||||||||
| PI Industries Ltd. | 2,085 | 44 | ||||||||
| Lupin Ltd. | 4,857 | 43 | ||||||||
| Cipla Ltd. | 7,642 | 43 | ||||||||
| LIC Housing Finance Ltd. | 9,551 | 43 | ||||||||
| NMDC Ltd. | 33,248 | 43 | ||||||||
| Gujarat Gas Ltd. | 10,971 | 42 | ||||||||
| Motherson Sumi Systems Ltd. | 28,995 | 42 |
20
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Page Industries Ltd. | 136 | 42 | ||||||||
| Tata Consumer Products Ltd. | 8,617 | 42 | ||||||||
| Rajesh Exports Ltd. | 4,537 | 41 | ||||||||
| Berger Paints India Ltd. | 5,160 | 41 | ||||||||
| Phoenix Mills Ltd. | 3,378 | 40 | ||||||||
| Havells India Ltd. | 4,708 | 40 | ||||||||
| Crompton Greaves Consumer Electricals Ltd. | 9,995 | 39 | ||||||||
| * | Bajaj Consumer Care Ltd. | 14,146 | 38 | |||||||
| * | Adani Transmission Ltd. | 10,674 | 37 | |||||||
| South Indian Bank Ltd. | 286,528 | 37 | ||||||||
| Cholamandalam Investment and Finance Co. Ltd. | 8,637 | 37 | ||||||||
| Manappuram Finance Ltd. | 15,361 | 35 | ||||||||
| Yes Bank Ltd. | 72,063 | 35 | ||||||||
| Whirlpool of India Ltd. | 1,147 | 35 | ||||||||
| Biocon Ltd. | 8,655 | 35 | ||||||||
| NIIT Technologies Ltd. | 1,476 | 35 | ||||||||
| DCB Bank Ltd. | 14,646 | 33 | ||||||||
| Ashok Leyland Ltd. | 33,673 | 33 | ||||||||
| Indraprastha Gas Ltd. | 5,306 | 33 | ||||||||
| Raymond Ltd. | 4,638 | 33 | ||||||||
| Castrol India Ltd. | 15,821 | 32 | ||||||||
| * | Fortis Healthcare Ltd. | 15,031 | 32 | |||||||
| India Cements Ltd. | 23,758 | 32 | ||||||||
| Repco Home Finance Ltd. | 7,818 | 31 | ||||||||
| Ipca Laboratories Ltd. | 1,630 | 31 | ||||||||
| Gateway Distriparks Ltd. | 19,121 | 31 | ||||||||
| Colgate-Palmolive India Ltd. | 1,700 | 30 | ||||||||
| Bosch Ltd. | 180 | 30 | ||||||||
| Indian Hotels Co. Ltd. | 16,117 | 30 | ||||||||
| Ceat Ltd. | 2,090 | 30 | ||||||||
| Bajaj Holdings & Investment Ltd. | 630 | 30 | ||||||||
| 1 | Dr Lal PathLabs Ltd. | 1,291 | 29 | |||||||
| AIA Engineering Ltd. | 1,163 | 29 | ||||||||
| * | Future Retail Ltd. | 6,757 | 29 | |||||||
| REC Ltd. | 17,266 | 28 | ||||||||
| * | Bank of Baroda | 26,360 | 28 | |||||||
| Divi’s Laboratories Ltd. | 963 | 28 | ||||||||
| Karur Vysya Bank Ltd. | 47,313 | 28 | ||||||||
| * | Godrej Properties Ltd. | 1,973 | 28 | |||||||
| Varun Beverages Ltd. | 2,413 | 27 | ||||||||
| Mphasis Ltd. | 2,242 | 27 | ||||||||
| Great Eastern Shipping Co. Ltd. | 7,994 | 27 | ||||||||
| Torrent Power Ltd. | 6,333 | 27 | ||||||||
| * | Aditya Birla Capital Ltd. | 24,373 | 26 | |||||||
| Gillette India Ltd. | 322 | 26 | ||||||||
| * | Polycab India Ltd. | 1,680 | 25 | |||||||
| Power Grid Corp. of India Ltd. | 9,800 | 25 | ||||||||
| * | Aditya Birla Fashion and Retail Ltd. | 7,007 | 25 | |||||||
| 1 | Godrej Agrovet Ltd. | 3,739 | 24 | |||||||
| Coromandel International Ltd. | 2,824 | 24 | ||||||||
| 1 | Laurus Labs Ltd. | 4,179 | 24 | |||||||
| PVR Ltd. | 887 | 24 | ||||||||
| * | Just Dial Ltd. | 3,620 | 24 | |||||||
| PTC India Ltd. | 33,779 | 23 | ||||||||
| Astral Poly Technik Ltd. | 1,461 | 23 | ||||||||
| Redington India Ltd. | 15,136 | 23 | ||||||||
| Persistent Systems Ltd. | 2,379 | 23 | ||||||||
| *,1 | Quess Corp. Ltd. | 3,171 | 23 | |||||||
| Power Finance Corp. Ltd. | 14,555 | 22 | ||||||||
| Jindal Saw Ltd. | 20,589 | 22 | ||||||||
| Kajaria Ceramics Ltd. | 2,891 | 21 | ||||||||
| Mangalore Refinery & Petrochemicals Ltd. | 39,722 | 21 | ||||||||
| NHPC Ltd. | 73,521 | 21 | ||||||||
| Jubilant Life Sciences Ltd. | 2,971 | 21 | ||||||||
| Escorts Ltd. | 1,902 | 21 | ||||||||
| Minda Industries Ltd. | 3,994 | 21 | ||||||||
| SRF Ltd. | 382 | 21 | ||||||||
| JM Financial Ltd. | 13,905 | 21 | ||||||||
| Tata Communications Ltd. | 4,060 | 21 | ||||||||
| Symphony Ltd. | 1,144 | 20 | ||||||||
| Multi Commodity Exchange of India Ltd. | 1,119 | 20 | ||||||||
| Finolex Cables Ltd. | 4,410 | 20 | ||||||||
| * | Punjab National Bank | 31,189 | 20 | |||||||
| Alkem Laboratories Ltd. | 536 | 20 | ||||||||
| * | Equitas Holdings Ltd. | 12,964 | 20 | |||||||
| Prestige Estates Projects Ltd. | 4,801 | 19 | ||||||||
| Motilal Oswal Financial Services Ltd. | 1,862 | 19 | ||||||||
| Balrampur Chini Mills Ltd. | 9,537 | 19 | ||||||||
| Vakrangee Ltd. | 33,613 | 18 | ||||||||
| Oberoi Realty Ltd. | 2,530 | 18 | ||||||||
| Hexaware Technologies Ltd. | 3,550 | 18 | ||||||||
| V-Guard Industries Ltd. | 6,229 | 18 | ||||||||
| * | TeamLease Services Ltd. | 544 | 18 | |||||||
| GlaxoSmithKline Consumer Healthcare Ltd. | 134 | 18 | ||||||||
| Sundaram Finance Ltd. | 797 | 17 | ||||||||
| KRBL Ltd. | 4,936 | 17 | ||||||||
| IDFC Ltd. | 37,895 | 17 | ||||||||
| Indiabulls Ventures Ltd. | 7,104 | 17 | ||||||||
| * | Vodafone Idea Ltd. | 312,723 | 17 | |||||||
| EIH Ltd. | 8,912 | 16 | ||||||||
| Edelweiss Financial Services Ltd. | 12,887 | 16 |
21
ESG International Stock ETF
| Shares | Market Value• ($000) | |||||||||
| Kansai Nerolac Paints Ltd. | 2,283 | 16 | ||||||||
| Kaveri Seed Co. Ltd. | 2,626 | 16 | ||||||||
| * | Mahindra CIE Automotive Ltd. | 8,314 | 15 | |||||||
| Gujarat Pipavav Port Ltd. | 15,221 | 15 | ||||||||
| * | Canara Bank | 7,457 | 15 | |||||||
| Avanti Feeds Ltd. | 2,284 | 15 | ||||||||
| Thermax Ltd. | 1,148 | 15 | ||||||||
| Torrent Pharmaceuticals Ltd. | 493 | 15 | ||||||||
| * | Indian Overseas Bank | 121,202 | 15 | |||||||
| Rain Industries Ltd. | 10,064 | 15 | ||||||||
| National A luminium Co. Ltd. | 30,294 | 14 | ||||||||
| Sundram Fasteners Ltd. | 2,451 | 14 | ||||||||
| eClerx Services Ltd. | 1,853 | 14 | ||||||||
| Care Ratings Ltd. | 2,063 | 14 | ||||||||
| Voltas Ltd. | 1,414 | 13 | ||||||||
| 1 | Dilip Buildcon Ltd. | 3,182 | 13 | |||||||
| Century Textiles & Industries Ltd. | 1,877 | 13 | ||||||||
| TVS Motor Co. Ltd. | 2,114 | 13 | ||||||||
| Aarti Industries Ltd. | 939 | 13 | ||||||||
| Amara Raja Batteries Ltd. | 1,430 | 13 | ||||||||
| Glenmark Pharmaceuticals Ltd. | 3,207 | 12 | ||||||||
| 1 | PNB Housing Finance Ltd. | 2,417 | 12 | |||||||
| * | IFCI Ltd. | 159,540 | 12 | |||||||
| * | Vinati Organics Ltd. | 892 | 12 | |||||||
| * | Union Bank of India | 21,340 | 11 | |||||||
| Bayer CropScience Ltd. | 183 | 11 | ||||||||
| Mahanagar Gas Ltd. | 789 | 11 | ||||||||
| Cholamandalam Financial Holdings Ltd. | 1,545 | 11 | ||||||||
| Natco Pharma Ltd. | 1,306 | 11 | ||||||||
| Sobha Ltd. | 2,611 | 11 | ||||||||
| * | Oracle Financial Services Software Ltd. | 281 | 10 | |||||||
| Cadila Healthcare Ltd. | 2,846 | 10 | ||||||||
| * | Hindustan Zinc Ltd. | 4,257 | 10 | |||||||
| * | Oriental Bank of Commerce | 21,062 | 10 | |||||||
| * | TV18 Broadcast Ltd. | 31,831 | 10 | |||||||
| Supreme Industries Ltd. | 527 | 10 | ||||||||
| DCM Shriram Ltd. | 2,097 | 10 | ||||||||
| Balkrishna Industries Ltd. | 623 | 10 | ||||||||
| * | Jammu & Kashmir Bank Ltd. | 33,848 | 9 | |||||||
| Gujarat State Petronet Ltd. | 3,007 | 9 | ||||||||
| Pfizer Ltd. | 160 | 9 | ||||||||
| * | Bank of India | 12,538 | 9 | |||||||
| * | Future Consumer Ltd. | 52,332 | 9 | |||||||
| * | Sun Pharma Advanced Research Co. Ltd. | 4,241 | 9 | |||||||
| Ramco Cements Ltd. | 759 | 8 | ||||||||
| NCC Ltd. | 16,130 | 8 | ||||||||
| Bata India Ltd. | 334 | 8 | ||||||||
| * | Andhra Bank | 40,902 | 8 | |||||||
| * | VA Tech Wabag Ltd. | 2,896 | 8 | |||||||
| Apollo Tyres Ltd. | 3,748 | 7 | ||||||||
| * | Indian Bank | 7,109 | 7 | |||||||
| NBCC India Ltd. | 19,798 | 7 | ||||||||
| Chambal Fertilizers and Chemicals Ltd. | 3,702 | 7 | ||||||||
| Emami Ltd. | 2,023 | 7 | ||||||||
| Ajanta Pharma Ltd. | 367 | 7 | ||||||||
| WABCO India Ltd. | 74 | 7 | ||||||||
| Dalmia Bharat Ltd. | 621 | 7 | ||||||||
| Birlasoft Ltd. | 5,410 | 7 | ||||||||
| Alembic Pharmaceuticals Ltd. | 764 | 7 | ||||||||
| Bombay Burmah Trading Co. | 449 | 7 | ||||||||
| Thomas Cook India Ltd. | 10,185 | 7 | ||||||||
| * | Central Bank of India | 29,612 | 6 | |||||||
| * | Reliance Capital Ltd. | 69,928 | 6 | |||||||
| Exide Industries Ltd. | 2,696 | 6 | ||||||||
| * | Allahabad Bank | 38,741 | 6 | |||||||
| * | IRB Infrastructure Developers Ltd. | 5,170 | 6 | |||||||
| * | Dewan Housing Finance Corp. Ltd. | 31,200 | 6 | |||||||
| Sterlite Technologies Ltd. | 4,642 | 6 | ||||||||
| Godrej Industries Ltd. | 1,095 | 6 | ||||||||
| Graphite India Ltd. | 1,899 | 6 | ||||||||
| * | Suzlon Energy Ltd. | 157,392 | 6 | |||||||
| HEG Ltd. | 462 | 6 | ||||||||
| Strides Pharma Science Ltd. | 811 | 5 | ||||||||
| * | Corp Bank | 21,881 | 5 | |||||||
| Arvind Ltd. | 9,750 | 5 | ||||||||
| 1 | Syngene International Ltd. | 1,188 | 5 | |||||||
| * | Jain Irrigation Systems Ltd. | 61,581 | 5 | |||||||
| 1 | Endurance Technologies Ltd. | 331 | 5 | |||||||
| * | Indiabulls Real Estate Ltd. | 4,206 | 4 | |||||||
| Welspun India Ltd. | 7,618 | 4 | ||||||||
| * | PC Jeweller Ltd. | 19,763 | 4 | |||||||
| TTK Prestige Ltd. | 49 | 4 | ||||||||
| GE T&D India Ltd. | 1,935 | 3 | ||||||||
| * | Gujarat Fluorochemicals Ltd. | 424 | 3 | |||||||
| * | Housing Development & Infrastructure Ltd. | 82,456 | 3 | |||||||
| * | Dish TV India Ltd. | 22,499 | 3 | |||||||
| *,§ | Hemisphere Properties India Ltd. | 1,129 | 3 | |||||||
| * | Wockhardt Ltd. | 471 | 2 |
22
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| *,§ | ABB Power Products & Systems India Ltd. | 125 | 1 | |||||||
| * | Aarti Surfactants Ltd. | 26 | — | |||||||
| 15,479 | ||||||||||
| Indonesia (0.5%) | ||||||||||
| Bank Central Asia Tbk PT | 354,500 | 783 | ||||||||
| Bank Rakyat Indonesia Persero Tbk PT | 2,484,300 | 742 | ||||||||
| Telekomunikasi Indonesia Persero Tbk PT | 2,365,800 | 577 | ||||||||
| Bank Mandiri Persero Tbk PT | 936,200 | 487 | ||||||||
| Bank Negara Indonesia Persero Tbk PT | 602,400 | 302 | ||||||||
| Unilever Indonesia Tbk PT | 300,000 | 144 | ||||||||
| Charoen Pokphand Indonesia Tbk PT | 260,800 | 105 | ||||||||
| * | Barito Pacific Tbk PT | 685,300 | 48 | |||||||
| Indofood CBP Sukses Makmur Tbk PT | 55,300 | 40 | ||||||||
| Indofood Sukses Makmur Tbk PT | 81,400 | 38 | ||||||||
| Kalbe Farma Tbk PT | 344,000 | 30 | ||||||||
| Indah Kiat Pulp & Paper Corp. Tbk PT | 51,500 | 21 | ||||||||
| Ciputra Development Tbk PT | 294,200 | 20 | ||||||||
| Indocement Tunggal Prakarsa Tbk PT | 16,500 | 18 | ||||||||
| Summarecon Agung Tbk PT | 281,200 | 17 | ||||||||
| Tower Bersama Infrastructure Tbk PT | 205,300 | 16 | ||||||||
| Ace Hardware Indonesia Tbk PT | 148,900 | 16 | ||||||||
| Japfa Comfeed Indonesia Tbk PT | 134,000 | 13 | ||||||||
| Pakuwon Jati Tbk PT | 327,100 | 12 | ||||||||
| Jasa Marga Persero Tbk PT | 36,800 | 12 | ||||||||
| Media Nusantara Citra Tbk PT | 131,500 | 12 | ||||||||
| Bank Tabungan Negara Persero Tbk PT | 94,700 | 11 | ||||||||
| Matahari Department Store Tbk PT | 46,000 | 10 | ||||||||
| Surya Semesta Internusa Tbk PT | 209,500 | 9 | ||||||||
| * | XL Axiata Tbk PT | 40,000 | 7 | |||||||
| Wijaya Karya Persero Tbk PT | 39,500 | 5 | ||||||||
| * | Siloam International Hospitals Tbk PT | 11,600 | 5 | |||||||
| * | Sentul City Tbk PT | 1,413,700 | 5 | |||||||
| * | Agung Podomoro Land Tbk PT | 456,400 | 4 | |||||||
| * | Bumi Serpong Damai Tbk PT | 57,300 | 4 | |||||||
| Mitra Adiperkasa Tbk PT | 68,800 | 4 | ||||||||
| * | Panin Financial Tbk PT | 210,700 | 4 | |||||||
| * | Kresna Graha Investama Tbk PT | 112,700 | 4 | |||||||
| Surya Citra Media Tbk PT | 39,400 | 3 | ||||||||
| PP Persero Tbk PT | 36,200 | 3 | ||||||||
| Bekasi Fajar Industrial Estate Tbk PT | 319,100 | 3 | ||||||||
| Ramayana Lestari Sentosa Tbk PT | 41,400 | 3 | ||||||||
| Waskita Karya Persero Tbk PT | 38,300 | 3 | ||||||||
| * | Global Mediacom Tbk PT | 94,100 | 2 | |||||||
| *,§ | Trada Alam Minera Tbk PT | 477,100 | 2 | |||||||
| 3,544 | ||||||||||
| Ireland (0.2%) | ||||||||||
| Kerry Group plc | 6,258 | 795 | ||||||||
| Kingspan Group plc | 8,498 | 535 | ||||||||
| Bank of Ireland Group plc | 46,843 | 176 | ||||||||
| AIB Group plc | 18,524 | 43 | ||||||||
| Glanbia plc | 2,806 | 33 | ||||||||
| Cairn Homes plc | 15,088 | 20 | ||||||||
| Dalata Hotel Group plc | 4,099 | 19 | ||||||||
| Irish Continental Group plc | 1,849 | 8 | ||||||||
| 1,629 | ||||||||||
| Israel (0.4%) | ||||||||||
| * | Nice Ltd. | 3,566 | 583 | |||||||
| * | Teva Pharmaceutical Industries Ltd. | 39,980 | 464 | |||||||
| Bank Hapoalim BM | 51,201 | 398 | ||||||||
| Bank Leumi Le-Israel BM | 60,902 | 394 | ||||||||
| Israel Discount Bank Ltd. | 77,460 | 323 | ||||||||
| Israel Chemicals Ltd. | 36,015 | 131 | ||||||||
| Mizrahi Tefahot Bank Ltd . | 2,719 | 70 | ||||||||
| Azrieli Group Ltd. | 694 | 50 | ||||||||
| First International Bank Of Israel Ltd. | 1,727 | 46 | ||||||||
| * | Tower Semiconductor Ltd. | 2,151 | 41 | |||||||
| Strauss Group Ltd. | 1,339 | 41 | ||||||||
| Paz Oil Co. Ltd. | 330 | 36 | ||||||||
| Shikun & Binui Ltd. | 6,529 | 35 | ||||||||
| Reit 1 Ltd. | 4,750 | 28 | ||||||||
| * | Bezeq The Israeli Telecommunication Corp. Ltd. | 36,574 | 27 | |||||||
| * | Nova Measuring Instruments Ltd. | 680 | 23 | |||||||
23
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Sella Capital Real Estate Ltd. | 5,366 | 17 | ||||||||
| Gazit-Globe Ltd. | 1,409 | 16 | ||||||||
| Sapiens International Corp. NV | 623 | 15 | ||||||||
| FIBI Holdings Ltd. | 454 | 14 | ||||||||
| Electra Ltd. | 24 | 12 | ||||||||
| Shapir Engineering and Industry Ltd. | 1,653 | 11 | ||||||||
| Formula Systems 1985 Ltd. | 150 | 10 | ||||||||
| Matrix IT Ltd. | 529 | 10 | ||||||||
| Kenon Holdings Ltd. | 574 | 10 | ||||||||
| * | Allot Ltd. | 857 | 9 | |||||||
| AudioCodes Ltd. | 430 | 9 | ||||||||
| Delek Automotive Systems Ltd. | 1,676 | 9 | ||||||||
| Hilan Ltd. | 212 | 8 | ||||||||
| Harel Insurance Investments & Financial Services Ltd. | 1,042 | 6 | ||||||||
| * | Clal Insurance Enterprises Holdings Ltd. | 417 | 4 | |||||||
| 2,850 | ||||||||||
| Italy (1.5%) | ||||||||||
| Intesa Sanpaolo SPA (Registered) | 562,812 | 1,368 | ||||||||
| UniCredit SPA | 91,225 | 1,173 | ||||||||
| Ferrari NV | 5,504 | 867 | ||||||||
| Assicurazioni Generali SPA | 42,458 | 766 | ||||||||
| Snam SPA | 119,062 | 590 | ||||||||
| Fiat Chrysler Automobiles NV | 46,361 | 584 | ||||||||
| Terna Rete Elettrica Nazionale SPA | 82,561 | 546 | ||||||||
| Mediobanca Banca di Credito Finanziario SPA | 49,126 | 447 | ||||||||
| Telecom Italia SPA (Bearer) | 694,454 | 389 | ||||||||
| Moncler SPA | 9,768 | 384 | ||||||||
| FinecoBank Banca Fineco SPA | 35,666 | 374 | ||||||||
| Tenaris SA | 28,645 | 262 | ||||||||
| *,1 | Nexi SPA | 10,426 | 169 | |||||||
| * | Saipem SPA | 40,576 | 155 | |||||||
| Unione di Banche Italiane SPA | 31,046 | 128 | ||||||||
| 1 | doValue SPA | 10,050 | 126 | |||||||
| 1 | Poste Italiane SPA | 9,360 | 100 | |||||||
| * | Banco BPM SPA | 44,954 | 99 | |||||||
| Amplifon SPA | 2,999 | 86 | ||||||||
| Azimut Holding SPA | 3,683 | 79 | ||||||||
| Recordati SPA | 1,553 | 66 | ||||||||
| Banca Mediolanum SPA | 6,842 | 56 | ||||||||
| 1 | Infrastrutture Wireless Italiane SPA | 5,194 | 53 | |||||||
| * | Telecom Italia SPA (Registered) | 92,941 | 52 | |||||||
| Cerved G roup SPA | 5,400 | 51 | ||||||||
| Hera SPA | 11,818 | 51 | ||||||||
| 1 | Pirelli & C SPA | 10,475 | 50 | |||||||
| BPER Banca | 12,279 | 49 | ||||||||
| Interpump Group SPA | 1,596 | 48 | ||||||||
| Banca Popolare di Sondrio SCPA | 19,984 | 48 | ||||||||
| ASTM SPA | 1,840 | 46 | ||||||||
| Unipol Gruppo SPA | 9,078 | 45 | ||||||||
| Iren SPA | 14,352 | 44 | ||||||||
| Tamburi Investment Partners SPA | 6,237 | 44 | ||||||||
| Reply SPA | 552 | 42 | ||||||||
| Banca Generali SPA | 1,278 | 40 | ||||||||
| DiaSorin SPA | 325 | 37 | ||||||||
| Societa Cattolica di Assicurazioni SC | 5,056 | 37 | ||||||||
| Buzzi Unicem SPA | 1,643 | 36 | ||||||||
| A2A SPA | 19,170 | 33 | ||||||||
| Immobiliare Grande Distribuzione SIIQ SPA | 5,375 | 32 | ||||||||
| 1 | Technogym SPA | 2,955 | 31 | |||||||
| Autogrill SPA | 3,798 | 31 | ||||||||
| 1 | Enav SPA | 5,137 | 31 | |||||||
| Freni Brembo SPA | 2,943 | 30 | ||||||||
| 1 | Anima Holding SPA | 6,173 | 27 | |||||||
| Italgas SPA | 4,404 | 27 | ||||||||
| IMA Industria Macchine Automatiche SPA | 430 | 27 | ||||||||
| Falck Renewables S PA | 3,939 | 26 | ||||||||
| DeA Capital SPA | 16,523 | 25 | ||||||||
| Salvatore Ferragamo SPA | 1,402 | 22 | ||||||||
| Brunello Cucinelli SPA | 652 | 22 | ||||||||
| Italmobiliare SPA | 736 | 22 | ||||||||
| De’ Longhi SPA | 1,201 | 21 | ||||||||
| Cairo Communication SPA | 8,334 | 20 | ||||||||
| ERG SPA | 857 | 20 | ||||||||
| UnipolSai Assicurazioni SPA | 8,031 | 20 | ||||||||
| 1 | RAI Way SPA | 3,084 | 19 | |||||||
| Saras SPA | 15,485 | 18 | ||||||||
| Maire Tecnimont SPA | 6,121 | 16 | ||||||||
| Danieli & C Officine Meccaniche SPA | 1,043 | 16 | ||||||||
| * | Arnoldo Mondadori Editore SPA | 9,116 | 16 | |||||||
| Piaggio & C SPA | 6,297 | 15 | ||||||||
| Zignago Vetro SPA | 1,065 | 15 | ||||||||
| Credito Emiliano SPA | 2,712 | 14 | ||||||||
| * | Salini Impregilo SPA | 9,222 | 14 |
24
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| 1 | Carel Industries SPA | 1,027 | 13 | |||||||
| Biesse SPA | 905 | 12 | ||||||||
| 1 | Banca Farmafactoring SPA | 1,799 | 11 | |||||||
| Tod’s SPA | 291 | 10 | ||||||||
| * | Juventus Football Club SPA | 8,956 | 10 | |||||||
| Rizzoli Corriere Della Sera Mediagroup SPA | 8,503 | 8 | ||||||||
| Datalogic SPA | 523 | 8 | ||||||||
| MARR SPA | 335 | 6 | ||||||||
| CIR SpA-Compagnie Industriali | 11,016 | 6 | ||||||||
| * | Banca Monte dei Paschi di Siena SPA | 2,477 | 5 | |||||||
| *,1 | OVS SPA | 2,886 | 5 | |||||||
| Buzzi Unicem SPA Saving Shares | 265 | 4 | ||||||||
| Banca IFIS SPA | 199 | 3 | ||||||||
| 10,298 | ||||||||||
| Japan (17.7%) | ||||||||||
| Toyota Motor Corp. | 96,700 | 6,350 | ||||||||
| SoftBank Group Corp. | 65,000 | 3,020 | ||||||||
| Sony Corp. | 48,100 | 2,965 | ||||||||
| Mitsubishi UFJ Financial Group Inc. | 473,400 | 2,313 | ||||||||
| Takeda Pharmaceutical Co. Ltd. | 63,557 | 2,195 | ||||||||
| Keyence Corp. | 6,200 | 1,980 | ||||||||
| KDDI Corp. | 69,200 | 1,955 | ||||||||
| Recruit Holdings Co. Ltd. | 53,100 | 1,857 | ||||||||
| Honda Motor Co. Ltd. | 69,600 | 1,786 | ||||||||
| Shin-Etsu Chemical Co. Ltd. | 14,800 | 1,638 | ||||||||
| Daiichi Sankyo Co. Ltd. | 26,200 | 1,595 | ||||||||
| Sumitomo Mitsui Financial Group Inc. | 50,200 | 1,593 | ||||||||
| Kao Corp. | 21,300 | 1,550 | ||||||||
| Tokio Marine Holdings Inc. | 27,100 | 1,448 | ||||||||
| FANUC Corp. | 8,700 | 1,429 | ||||||||
| Astellas Pharma Inc. | 84,100 | 1,318 | ||||||||
| Murata Manufacturing Co. Ltd. | 24,600 | 1,289 | ||||||||
| Hoya Corp. | 14,400 | 1,277 | ||||||||
| Mizuho Financial Group Inc. | 937,200 | 1,268 | ||||||||
| Nidec Corp. | 10,700 | 1,260 | ||||||||
| Nintendo Co. Ltd. | 3,700 | 1,240 | ||||||||
| Seven & i Holdings Co. Ltd. | 35,100 | 1,194 | ||||||||
| NTT DOCOMO Inc. | 44,000 | 1,191 | ||||||||
| Chugai Pharmaceutical Co. Ltd. | 10,600 | 1,140 | ||||||||
| Nippon Telegraph & Telephone Corp. | 48,000 | 1,120 | ||||||||
| East Japan Railway Co. | 14,200 | 1,085 | ||||||||
| Oriental Land Co. Ltd. | 9,300 | 1,059 | ||||||||
| Tokyo Electron Ltd. | 4,900 | 1,024 | ||||||||
| Fujitsu Ltd. | 9,800 | 1,022 | ||||||||
| Canon Inc. | 38,700 | 974 | ||||||||
| Central Japan Railway Co. | 5,900 | 970 | ||||||||
| Panasonic Corp. | 99,700 | 946 | ||||||||
| Mitsui Fudosan Co. Ltd. | 40,800 | 936 | ||||||||
| Mitsubishi Estate Co. Ltd. | 52,200 | 891 | ||||||||
| Terumo Corp. | 27,500 | 883 | ||||||||
| ORIX Corp. | 54,400 | 882 | ||||||||
| Shiseido Co. Ltd. | 14,700 | 877 | ||||||||
| Fast Retailing Co. Ltd. | 1,700 | 839 | ||||||||
| Kyocera Corp. | 13,300 | 832 | ||||||||
| Olympus Corp. | 45,600 | 826 | ||||||||
| Eisai Co. Ltd. | 11,200 | 822 | ||||||||
| Softbank Corp. | 61,700 | 811 | ||||||||
| Secom Co. Ltd. | 9,600 | 761 | ||||||||
| Daiwa House Industry Co. Ltd. | 27,500 | 759 | ||||||||
| SMC Corp. | 1,900 | 757 | ||||||||
| Kubota Corp. | 51,200 | 718 | ||||||||
| Shionogi & Co. Ltd. | 13,100 | 705 | ||||||||
| Dai-ichi Life Holdings Inc. | 51,500 | 698 | ||||||||
| FUJIFILM Holdings Corp. | 14,100 | 685 | ||||||||
| West Japan Railway Co. | 9,600 | 678 | ||||||||
| Aeon Co. Ltd. | 35,400 | 662 | ||||||||
| Sysmex Corp. | 9,900 | 633 | ||||||||
| Nomura Holdings Inc. | 142,900 | 631 | ||||||||
| Suzuki Motor Corp. | 15,400 | 620 | ||||||||
| Bridgestone Corp. | 18,200 | 603 | ||||||||
| Denso Corp. | 15,500 | 596 | ||||||||
| M3 Inc. | 22,400 | 578 | ||||||||
| Omron Corp. | 10,400 | 557 | ||||||||
| Sekisui House Ltd. | 26,600 | 522 | ||||||||
| Bandai Namco Holdings Inc. | 10,300 | 516 | ||||||||
| Sompo Holdings I nc. | 13,800 | 510 | ||||||||
| Pan Pacific International Holdings Corp. | 30,800 | 509 | ||||||||
| MS&AD Insurance Group Holdings Inc. | 15,700 | 506 | ||||||||
| Toyota Industries Corp. | 9,400 | 490 | ||||||||
| Sumitomo Electric Industries Ltd. | 41,500 | 490 | ||||||||
| Ono Pharmaceutical Co. Ltd. | 23,800 | 482 | ||||||||
| Sumitomo Mitsui Trust Holdings Inc. | 14,200 | 482 | ||||||||
| Yamaha Corp. | 9,600 | 470 | ||||||||
| Nitto Denko Corp. | 9,400 | 467 | ||||||||
| Unicharm Corp. | 14,400 | 466 | ||||||||
| Advantest Corp. | 9,900 | 455 |
25
ESG International Stock ETF
| Shares | Market
Value• ($000) | |||||||||
| Sumitomo Realty & Development Co. Ltd. | 14,400 | 449 | ||||||||
| Kintetsu Group Holdings Co. Ltd. | 10,400 | 449 | ||||||||
| Nippon Paint Holdings C o. Ltd. | 9,800 | 443 | ||||||||
| Asahi Kasei Corp. | 53,400 | 437 | ||||||||
| Kyowa Kirin Co. Ltd. | 18,300 | 436 | ||||||||
| Japan Exchange Group Inc. | 25,600 | 428 | ||||||||
| NTT Data Corp. | 35,800 | 427 | ||||||||
| Ajinomoto Co. Inc. | 25,200 | 423 | ||||||||
| Resona Holdings I nc. | 113,100 | 421 | ||||||||
| Mitsubishi Chemical Holdings Corp. | 62,600 | 418 | ||||||||
| MINEBEA MITSUMI Inc. | 23,700 | 415 | ||||||||
| Santen Pharmaceutical Co. Ltd. | 25,300 | 406 | ||||||||
| Z Holdings Corp. | 111,400 | 404 | ||||||||
| Yaskawa Electric Corp. | 12,800 | 399 | ||||||||
| Yakult Honsha Co. Ltd. | 8,500 | 388 | ||||||||
| Daiwa Securities Group Inc. | 91,300 | 386 | ||||||||
| Toray Industries Inc. | 66,300 | 381 | ||||||||
| Tokyu Corp. | 24,800 | 380 | ||||||||
| Sekisui Chemical Co. Ltd. | 25,300 | 378 | ||||||||
| TOTO Ltd. | 9,700 | 364 | ||||||||
| Hamamatsu Photonics KK | 9,300 | 363 | ||||||||
| Tobu Railway Co. Ltd. | 12,100 | 361 | ||||||||
| Yamato Holdings Co. Ltd. | 22,600 | 357 | ||||||||
| Dai Nippon Printing C o.Ltd. | 14,500 | 349 | ||||||||
| Ricoh Co. Ltd. | 37,200 | 347 | ||||||||
| Aisin Seiki Co. Ltd. | 10,800 | 347 | ||||||||
| Sumitomo Chemical Co. Ltd. | 92,600 | 337 | ||||||||
| Nisshin Seifun G roup Inc. | 19,700 | 332 | ||||||||
| NEC Corp. | 8,800 | 330 | ||||||||
| AGC Inc. | 11,500 | 329 | ||||||||
| Keihan Holdings Co. Ltd. | 8,100 | 328 | ||||||||
| Azbil Corp. | 13,200 | 326 | ||||||||
| Kurita Water Industries Ltd. | 12,600 | 325 | ||||||||
| T&D Holdings Inc. | 33,400 | 324 | ||||||||
| Toyo Suisan Kaisha Ltd. | 8,100 | 322 | ||||||||
| Sohgo Security Services Co. Ltd. | 6,900 | 322 | ||||||||
| Hulic Co. Ltd. | 28,900 | 322 | ||||||||
| NH Foods Ltd. | 8,500 | 320 | ||||||||
| Shimadzu Corp. | 13,200 | 319 | ||||||||
| Brother Industries Ltd. | 18,000 | 319 | ||||||||
| Hisamitsu Pharmaceutical Co. Inc. | 7,200 | 319 | ||||||||
| Nagoya Railroad Co. Ltd. | 12,200 | 319 | ||||||||
| Sumitomo Metal Mining Co. Ltd. | 12,800 | 315 | ||||||||
| TDK Corp. | 3,300 | 315 | ||||||||
| Nexon Co. Ltd. | 19,700 | 312 | ||||||||
| Dentsu Group Inc. | 12,000 | 310 | ||||||||
| Concordia Financial Group Ltd. | 91,000 | 307 | ||||||||
| Shimano Inc. | 2,200 | 306 | ||||||||
| Yamada Denki Co. Ltd. | 63,100 | 303 | ||||||||
| Yamaha Motor Co. Ltd. | 19,100 | 301 | ||||||||
| Mitsubishi Materials Corp. | 13,200 | 299 | ||||||||
| Japan Post Holdings Co. Ltd. | 34,300 | 298 | ||||||||
| Oji Holdings Corp. | 62,800 | 297 | ||||||||
| Seiko Epson Corp. | 21,000 | 294 | ||||||||
| Nissan Motor Co. Ltd. | 68,200 | 292 | ||||||||
| NSK Ltd. | 38,400 | 291 | ||||||||
| Rohm Co. Ltd. | 4,400 | 288 | ||||||||
| Keikyu Corp. | 18,900 | 285 | ||||||||
| Konami Holdings Corp. | 7,900 | 285 | ||||||||
| Mazda Motor Corp. | 41,000 | 281 | ||||||||
| Teijin Ltd. | 17,000 | 279 | ||||||||
| Toho Co. Ltd. | 9,000 | 278 | ||||||||
| Haseko Corp. | 21,500 | 277 | ||||||||
| LIXIL Group Corp. | 18,600 | 277 | ||||||||
| Kaken Pharmaceutical Co. Ltd. | 5,700 | 275 | ||||||||
| Chiba Bank Ltd. | 56,700 | 275 | ||||||||
| SUMCO Corp. | 18,100 | 274 | ||||||||
| Stanley Electric Co. Ltd. | 11,200 | 270 | ||||||||
| FamilyMart Co. Ltd. | 12,300 | 268 | ||||||||
| Aozora Bank Ltd. | 10,700 | 266 | ||||||||
| Nitori Holdings Co. Ltd. | 1,900 | 264 | ||||||||
| Mitsui Chemicals Inc. | 12,200 | 263 | ||||||||
| Taiyo Yuden Co. Ltd. | 9,300 | 262 | ||||||||
| ^ | ANA Holdings Inc. | 9,600 | 258 | |||||||
| Shizuoka Bank Ltd. | 41,400 | 257 | ||||||||
| Odakyu Electric Railway Co. Ltd. | 13,300 | 256 | ||||||||
| Pigeon Corp. | 7,500 | 253 | ||||||||
| Taiheiyo Cement Corp. | 10,200 | 252 | ||||||||
| COMSYS Holdings Corp. | 10,200 | 251 | ||||||||
| SBI Holdings Inc. | 12,400 | 250 | ||||||||
| Coca-Cola Bottlers Japan Holdings Inc. | 10,800 | 249 | ||||||||
| Bank of Kyoto Ltd. | 7,500 | 249 | ||||||||
| Alps Alpine Co. Ltd. | 16,300 | 248 | ||||||||
| Kuraray Co. Ltd. | 23,800 | 247 | ||||||||
| Japan Airlines Co. Ltd. | 10,000 | 246 | ||||||||
| Marui Group Co. Ltd. | 12,500 | 244 | ||||||||
| Isuzu Motors Ltd. | 25,600 | 240 | ||||||||
| Nikon Corp. | 22,600 | 231 | ||||||||
| Showa Denko KK | 10,600 | 228 | ||||||||
| Makita Corp. | 6,700 | 227 | ||||||||
| Sinanen Holdings Co. Ltd. | 12,100 | 225 | ||||||||
| Air Water Inc. | 16,500 | 219 | ||||||||
| Lion Corp. | 13,000 | 217 |
26
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Alfresa Holdings Corp. | 11,900 | 207 | ||||||||
| NGK Spark Plug Co. Ltd. | 12,200 | 198 | ||||||||
| MEIJI Holdings Co. Ltd. | 3,000 | 178 | ||||||||
| Seibu Holdings Inc. | 12,400 | 176 | ||||||||
| Konica Minolta Inc. | 31,800 | 174 | ||||||||
| ^ | Anritsu Corp. | 10,300 | 170 | |||||||
| Fukuoka Financial Group Inc. | 11,200 | 168 | ||||||||
| Disco Corp. | 800 | 162 | ||||||||
| Hankyu Hanshin Holdings Inc. | 4,900 | 161 | ||||||||
| Nissan Chemical Corp. | 3,800 | 160 | ||||||||
| Sumitomo Dainippon Pharma Co. Ltd. | 10,800 | 154 | ||||||||
| Nomura Research Institute Ltd. | 6,500 | 143 | ||||||||
| Daito Trust Construction Co. Ltd. | 1,400 | 142 | ||||||||
| Sac’s Bar Holdings Inc. | 20,600 | 139 | ||||||||
| Kobayashi Pharmaceutical Co. Ltd. | 1,900 | 138 | ||||||||
| MISUMI Group Inc. | 6,200 | 131 | ||||||||
| Daifuku Co. Ltd. | 2,100 | 123 | ||||||||
| Hitachi Chemical Co. Ltd. | 2,900 | 123 | ||||||||
| CyberAgent Inc. | 3,100 | 117 | ||||||||
| Tokyo Rope Manufacturing Co. Ltd. | 15,700 | 117 | ||||||||
| TIS Inc. | 1,900 | 114 | ||||||||
| * | Renesas Electronics Corp. | 18,300 | 111 | |||||||
| Lasertec Corp. | 2,200 | 101 | ||||||||
| Otsuka Corp. | 2,300 | 99 | ||||||||
| Nihon M&A Center Inc. | 3,200 | 99 | ||||||||
| Cybozu Inc. | 5,700 | 96 | ||||||||
| Hikari Tsushin Inc. | 500 | 95 | ||||||||
| Nissin Foods Holdings Co. Ltd. | 1,200 | 94 | ||||||||
| Keio Corp. | 1,900 | 91 | ||||||||
| Ryohin Keikaku Co. Ltd. | 6,300 | 85 | ||||||||
| Nippon Shinyaku Co. Ltd. | 1,100 | 82 | ||||||||
| Hitachi High-Tech Corp. | 1,100 | 82 | ||||||||
| Casio Computer Co. Ltd. | 4,500 | 77 | ||||||||
| Hoshizaki Corp. | 900 | 76 | ||||||||
| GMO Payment Gateway Inc. | 1,200 | 74 | ||||||||
| Hirose Electric Co. Ltd. | 700 | 74 | ||||||||
| Shinsei Bank Ltd. | 5,495 | 72 | ||||||||
| Welcia Holdings Co. Ltd. | 1,200 | 72 | ||||||||
| Kose Corp. | 600 | 71 | ||||||||
| * | PeptiDream Inc. | 1,800 | 71 | |||||||
| SG Holdings Co. Ltd. | 3,300 | 65 | ||||||||
| Kansai Paint Co. Ltd. | 3,000 | 65 | ||||||||
| Tokyu Fudosan Holdings Corp. | 9,800 | 62 | ||||||||
| USS Co. Ltd. | 3,900 | 62 | ||||||||
| Miura Co. Ltd. | 1,900 | 62 | ||||||||
| Sugi Holdings Co. Ltd. | 1,300 | 61 | ||||||||
| JSR Corp. | 3,500 | 61 | ||||||||
| Goldwin Inc. | 1,000 | 61 | ||||||||
| Capcom Co. Ltd. | 2,200 | 60 | ||||||||
| Nabtesco Corp. | 2,200 | 58 | ||||||||
| Kakaku.com Inc. | 2,700 | 58 | ||||||||
| Nippon Express Co. Ltd. | 1,200 | 58 | ||||||||
| Rohto Pharmaceutical Co. Ltd. | 2,000 | 57 | ||||||||
| THK Co. Ltd. | 2,500 | 57 | ||||||||
| Asics Corp. | 5,200 | 56 | ||||||||
| MonotaRO Co. Ltd. | 2,500 | 56 | ||||||||
| Sony Financial Holdings Inc. | 2,700 | 54 | ||||||||
| Persol Holdings Co. Ltd. | 3,900 | 52 | ||||||||
| Koei Tecmo Holdings Co. Ltd. | 2,100 | 52 | ||||||||
| Kagome Co. Ltd. | 2,400 | 52 | ||||||||
| Tokyo Tatemono Co. Ltd. | 3,800 | 52 | ||||||||
| Koito Manufacturing Co. Ltd. | 1,300 | 51 | ||||||||
| Keisei Electric Railway Co. Ltd. | 1,600 | 51 | ||||||||
| Sumitomo Forestry Co. Ltd. | 3,400 | 50 | ||||||||
| Acom Co. Ltd. | 12,200 | 50 | ||||||||
| Nomura Real Estate Holdings Inc. | 2,300 | 50 | ||||||||
| Taisho Pharmaceutical Holdings Co. Ltd. | 800 | 49 | ||||||||
| Wacoal Holdings Corp. | 2,100 | 49 | ||||||||
| Nishi-Nippon Railroad Co. Ltd. | 2,200 | 48 | ||||||||
| Rinnai Corp. | 700 | 48 | ||||||||
| Mitsubishi UFJ Lease & Finance Co. Ltd. | 8,300 | 47 | ||||||||
| Maeda Road Construction Co. Ltd. | 1,600 | 47 | ||||||||
| Oracle Corp. Japan | 600 | 47 | ||||||||
| Benesse Holdings Inc. | 1,800 | 46 | ||||||||
| Iwatani Corp. | 1,400 | 46 | ||||||||
| Kewpie Corp. | 2,500 | 46 | ||||||||
| Sawai Pharmaceutical Co. Ltd. | 800 | 45 | ||||||||
| Nichirei Corp. | 1,800 | 45 | ||||||||
| Japan Post Insurance Co. Ltd. | 2,939 | 45 | ||||||||
| Unizo Holdings Co. Ltd. | 800 | 44 | ||||||||
| Nagase & Co. Ltd. | 3,700 | 44 | ||||||||
| ADEKA Corp. | 3,400 | 44 | ||||||||
| Ito En Ltd. | 1,000 | 44 | ||||||||
| Kyowa Exeo Corp. | 2,000 | 44 | ||||||||
| AEON Financial Service Co. Ltd. | 3,000 | 44 | ||||||||
| Suzuken Co. Ltd. | 1,300 | 43 | ||||||||
| Lawson Inc. | 800 | 43 |
27
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Matsumotokiyoshi HoldingsCo. Ltd. | 1,300 | 43 | ||||||||
| GS Yuasa Corp. | 2,400 | 42 | ||||||||
| Daicel Corp. | 4,900 | 42 | ||||||||
| Itochu Techno-Solutions Corp. | 1,500 | 42 | ||||||||
| Nankai Electric Railway Co. Ltd. | 1,900 | 42 | ||||||||
| Sharp Corp. | 3,600 | 42 | ||||||||
| SCSK Corp. | 800 | 42 | ||||||||
| Isetan Mitsukoshi Holdings Ltd. | 6,400 | 41 | ||||||||
| Ushio Inc. | 3,300 | 41 | ||||||||
| Kokuyo Co. Ltd. | 2,900 | 41 | ||||||||
| Hitachi Capital Corp. | 1,600 | 41 | ||||||||
| Hino Motors Ltd. | 5,000 | 41 | ||||||||
| Iyo Bank Ltd. | 9,200 | 41 | ||||||||
| Daiichikosho Co. Ltd. | 1,000 | 41 | ||||||||
| Yokohama Rubber Co. Ltd. | 2,500 | 41 | ||||||||
| Nippo Corp. | 1,800 | 41 | ||||||||
| Sumitomo Rubber Industries Ltd. | 3,900 | 40 | ||||||||
| Sanwa Holdings Corp. | 4,400 | 40 | ||||||||
| Toyobo Co. Ltd. | 3,200 | 40 | ||||||||
| Glory Ltd. | 1,500 | 40 | ||||||||
| MediPal Holdings Corp. | 2,200 | 40 | ||||||||
| Toyo Seikan Group Holdings Ltd. | 2,500 | 40 | ||||||||
| Chugoku Bank Ltd. | 5,100 | 40 | ||||||||
| Ibiden Co. Ltd. | 1,800 | 40 | ||||||||
| Hachijuni Bank Ltd. | 11,800 | 40 | ||||||||
| Taiyo Nippon Sanso Corp. | 2,200 | 39 | ||||||||
| Nihon Kohden Corp. | 1,300 | 39 | ||||||||
| Sotetsu Holdings Inc. | 1,700 | 38 | ||||||||
| Nippon Kayaku Co. Ltd. | 3,500 | 38 | ||||||||
| Calbee Inc. | 1,500 | 38 | ||||||||
| Hiroshima Bank Ltd. | 8,900 | 38 | ||||||||
| NET One Systems Co. Ltd. | 1,800 | 38 | ||||||||
| JTEKT Corp. | 3,900 | 38 | ||||||||
| Seven Bank Ltd. | 14,300 | 38 | ||||||||
| Nishimatsu Construction Co. Ltd. | 1,800 | 38 | ||||||||
| Tokyo Century Corp. | 900 | 37 | ||||||||
| Kurimoto Ltd. | 2,200 | 37 | ||||||||
| Ezaki Glico Co. Ltd. | 900 | 37 | ||||||||
| Tsumura & Co. | 1,600 | 37 | ||||||||
| Toyo Ink SC Holdings Co. Ltd. | 1,900 | 37 | ||||||||
| Nihon Unisys Ltd. | 1,200 | 36 | ||||||||
| Zeon Corp. | 3,800 | 36 | ||||||||
| J Front Retailing Co. Ltd. | 3,400 | 36 | ||||||||
| Sushiro Global Holdings Ltd. | 500 | 36 | ||||||||
| SCREEN Holdings Co. Ltd. | 700 | 36 | ||||||||
| Dowa Holdings Co. Ltd. | 1,100 | 36 | ||||||||
| Morinaga & Co. Ltd. | 900 | 36 | ||||||||
| Yamazaki Baking Co. Ltd. | 2,100 | 36 | ||||||||
| DIC Corp. | 1,500 | 35 | ||||||||
| House Foods Group Inc. | 1,200 | 35 | ||||||||
| Ain Holdings Inc. | 600 | 35 | ||||||||
| Nitto Boseki Co. Ltd. | 900 | 35 | ||||||||
| Toagosei Co. Ltd. | 3,500 | 34 | ||||||||
| Lintec Corp. | 1,600 | 34 | ||||||||
| TS Tech Co. Ltd. | 1,300 | 34 | ||||||||
| DeNA Co. Ltd. | 2,600 | 34 | ||||||||
| Shimamura Co. Ltd. | 500 | 33 | ||||||||
| NOK Corp. | 2,600 | 33 | ||||||||
| Citizen Watch Co. Ltd. | 8,300 | 33 | ||||||||
| Amada Holdings Co. Ltd. | 3,500 | 33 | ||||||||
| NHK Spring Co. Ltd. | 4,300 | 33 | ||||||||
| Fancl Corp. | 1,300 | 32 | ||||||||
| Daido Steel Co. Ltd. | 900 | 32 | ||||||||
| Mitsubishi Logistics Corp. | 1,400 | 32 | ||||||||
| Tokyo Seimitsu Co. Ltd. | 1,000 | 32 | ||||||||
| Hazama Ando Corp. | 4,300 | 31 | ||||||||
| Skylark Holdings Co. Ltd. | 2,100 | 31 | ||||||||
| Aeon Mall Co. Ltd. | 2,200 | 31 | ||||||||
| Paramount Bed Holdings Co. Ltd. | 800 | 31 | ||||||||
| K’s Holdings Corp. | 2,800 | 31 | ||||||||
| Sumitomo Osaka Cement Co. Ltd. | 900 | 31 | ||||||||
| Toyo Tire Corp. | 2,300 | 30 | ||||||||
| FP Corp. | 500 | 30 | ||||||||
| TechnoPro Holdings Inc. | 500 | 30 | ||||||||
| Nipro Corp. | 2,800 | 30 | ||||||||
| Shimachu Co. Ltd. | 1,200 | 30 | ||||||||
| Kaneka Corp. | 1,100 | 29 | ||||||||
| Organo Corp. | 500 | 29 | ||||||||
| Kyudenko Corp. | 1,100 | 29 | ||||||||
| Tokuyama Corp. | 1,300 | 29 | ||||||||
| Maruichi Steel Tube Ltd. | 1,200 | 29 | ||||||||
| Hokkan Holdings Ltd. | 2,000 | 29 | ||||||||
| Hakuhodo DY Holdings Inc. | 2,500 | 29 | ||||||||
| Fujikura Kasei Co. Ltd. | 6,600 | 28 | ||||||||
| Shinwa Co. Ltd. | 1,600 | 28 | ||||||||
| Morinaga Milk Industry Co. Ltd. | 800 | 28 | ||||||||
| Takashimaya Co. Ltd. | 3,000 | 28 | ||||||||
| Yoshinoya Holdings Co. Ltd. | 1,400 | 28 | ||||||||
| Shinko Electric Industries Co. Ltd. | 2,500 | 28 | ||||||||
| Colowide Co. Ltd. | 1,700 | 28 | ||||||||
| Fujitsu General Ltd. | 1,400 | 28 | ||||||||
| Nippon Light Metal Holdings Co. Ltd. | 15,900 | 28 | ||||||||
| Nippon Paper Industries Co. Ltd. | 1,900 | 27 | ||||||||
| DMG Mori Co. Ltd. | 2,200 | 27 |
28
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Miraca Holdings Inc. | 1,100 | 27 | ||||||||
| Nisshinbo Holdings Inc. | 3,200 | 27 | ||||||||
| NTN Corp. | 11,400 | 27 | ||||||||
| Nippon Electric Glass Co. Ltd. | 1,600 | 27 | ||||||||
| Toho Holdings Co. Ltd. | 1,400 | 26 | ||||||||
| Furukawa Electric Co. Ltd. | 1,200 | 26 | ||||||||
| Tokai Carbon Co. Ltd. | 2,900 | 26 | ||||||||
| NEC Networks & System Integration Corp. | 700 | 26 | ||||||||
| Yushiro Chemical Industry Co. Ltd. | 2,300 | 26 | ||||||||
| Japan Post Bank Co. Ltd. | 2,900 | 26 | ||||||||
| Nippon Shokubai Co. Ltd. | 500 | 25 | ||||||||
| TOKAI Holdings Corp. | 3,100 | 25 | ||||||||
| PC Depot Corp. | 5,300 | 25 | ||||||||
| Toyota Boshoku Corp. | 1,800 | 25 | ||||||||
| Tsubakimoto Chain Co. | 900 | 24 | ||||||||
| CKD Corp. | 1,600 | 24 | ||||||||
| Wellnet Corp. | 4,600 | 24 | ||||||||
| Aiphone Co. Ltd. | 1,700 | 24 | ||||||||
| Rengo Co. Ltd. | 3,500 | 24 | ||||||||
| Achilles Corp. | 1,500 | 24 | ||||||||
| Nihon Yamamura Glass Co. Ltd. | 2,400 | 23 | ||||||||
| Pola Orbis Holdings Inc. | 1,200 | 23 | ||||||||
| Sanrio Co. Ltd. | 1,500 | 23 | ||||||||
| Digital Garage Inc. | 700 | 22 | ||||||||
| Kiyo Bank Ltd. | 1,700 | 22 | ||||||||
| Okura Industrial Co. Ltd. | 1,600 | 22 | ||||||||
| Morita Holdings Corp. | 1,400 | 22 | ||||||||
| Mitsubishi Paper Mills Ltd. | 5,800 | 21 | ||||||||
| PALTAC Corp. | 500 | 21 | ||||||||
| Tokai Tokyo Financial Holdings Inc. | 8,000 | 21 | ||||||||
| Riken Technos Corp. | 5,300 | 21 | ||||||||
| Fuji Oil Holdings Inc. | 900 | 21 | ||||||||
| Totetsu Kogyo Co. Ltd. | 800 | 21 | ||||||||
| Ulvac Inc. | 700 | 20 | ||||||||
| North Pacific Bank Ltd. | 10,800 | 20 | ||||||||
| Awa Bank Ltd. | 1,000 | 20 | ||||||||
| Takamiya Co. Ltd. | 4,200 | 20 | ||||||||
| Fujikura Ltd. | 6,200 | 20 | ||||||||
| Mebuki Financial Group Inc. | 10,100 | 19 | ||||||||
| Fuso Pharmaceutical Industries Ltd. | 1,200 | 19 | ||||||||
| Takara Bio Inc. | 1,100 | 19 | ||||||||
| Ariake Japan Co. Ltd. | 300 | 19 | ||||||||
| * | Leopalace21 Corp. | 6,300 | 19 | |||||||
| Topcon Corp. | 1,900 | 19 | ||||||||
| Toho Co. Ltd. | 1,300 | 19 | ||||||||
| Itoham Yonekyu Holdings Inc. | 3,400 | 19 | ||||||||
| Zuiko Corp. | 500 | 19 | ||||||||
| Daito Pharmaceutical Co. Ltd. | 700 | 19 | ||||||||
| Nagaileben Co. Ltd. | 900 | 18 | ||||||||
| Nichi-iko Pharmaceutical Co. Ltd. | 1,700 | 18 | ||||||||
| Argo Graphics Inc. | 600 | 18 | ||||||||
| Nissin Corp. | 1,300 | 18 | ||||||||
| Hokkoku Bank Ltd. | 700 | 18 | ||||||||
| San-In Godo Bank Ltd. | 3,500 | 17 | ||||||||
| Noritake Co. Ltd. | 500 | 17 | ||||||||
| Kyushu Financial Group Inc. | 5,100 | 17 | ||||||||
| Nippon Suisan Kaisha Ltd. | 3,600 | 17 | ||||||||
| Sankyu Inc. | 400 | 17 | ||||||||
| Keihin Corp. | 700 | 17 | ||||||||
| Shizuoka Gas Co. Ltd. | 2,100 | 17 | ||||||||
| Joyful Honda Co. Ltd. | 1,600 | 17 | ||||||||
| Tocalo Co. Ltd. | 1,900 | 17 | ||||||||
| Fujita Kanko Inc. | 900 | 17 | ||||||||
| Kato Sangyo Co. Ltd. | 600 | 17 | ||||||||
| Marudai Food Co. Ltd. | 1,000 | 16 | ||||||||
| Fuji Seal International Inc. | 900 | 16 | ||||||||
| Sanyo Denki Co. Ltd. | 400 | 16 | ||||||||
| Mitsubishi Steel Manufacturing Co. Ltd. | 2,100 | 16 | ||||||||
| Mitsuuroko Group Holdings Co. Ltd. | 1,700 | 16 | ||||||||
| Mizuno Corp. | 800 | 16 | ||||||||
| Comture Corp. | 800 | 16 | ||||||||
| Kintetsu World Express Inc. | 1,000 | 16 | ||||||||
| * | Kawasaki Kisen Kaisha Ltd. | 1,400 | 16 | |||||||
| Senko Group Holdings Co. Ltd. | 2,100 | 15 | ||||||||
| Jafco Co. Ltd. | 400 | 15 | ||||||||
| Unipres Corp. | 1,400 | 15 | ||||||||
| Denka Co. Ltd. | 600 | 15 | ||||||||
| * | Right On Co. Ltd. | 3,400 | 15 | |||||||
| GMO internet Inc. | 900 | 15 | ||||||||
| Aichi Bank Ltd. | 500 | 15 | ||||||||
| Aica Kogyo Co. Ltd. | 500 | 15 | ||||||||
| Zensho Holdings Co. Ltd. | 800 | 15 | ||||||||
| * | M&A Capital Partners Co. Ltd. | 500 | 15 | |||||||
| Kadokawa Corp. | 1,100 | 14 | ||||||||
| Meiko Network Japan Co. Ltd. | 1,900 | 14 | ||||||||
| * | COOKPAD Inc. | 5,500 | 14 | |||||||
| cocokara fine Inc. | 300 | 14 | ||||||||
| Nitta Corp. | 600 | 13 | ||||||||
| Fukui Bank Ltd. | 1,000 | 13 | ||||||||
| Kita-Nippon Bank Ltd. | 800 | 13 | ||||||||
| Japan Lifeline Co. Ltd. | 1,100 | 13 | ||||||||
| WATAMI Co. Ltd. | 1,500 | 13 | ||||||||
| SBS Holdings Inc. | 900 | 13 | ||||||||
| World Co. Ltd. | 700 | 13 |
29
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Mitsui-Soko Holdings Co. Ltd. | 900 | 13 | ||||||||
| Duskin Co. Ltd. | 500 | 13 | ||||||||
| San-Ai Oil Co. Ltd. | 1,500 | 13 | ||||||||
| Autobacs Seven Co. Ltd. | 1,000 | 13 | ||||||||
| Shimizu Bank Ltd. | 800 | 13 | ||||||||
| Japan Transcity Corp. | 3,200 | 13 | ||||||||
| 77 Bank Ltd. | 1,000 | 13 | ||||||||
| Mitsubishi Logisnext Co. Ltd. | 1,000 | 13 | ||||||||
| Tsukuba Bank Ltd. | 7,900 | 12 | ||||||||
| Tomy Co. Ltd. | 1,400 | 12 | ||||||||
| Tochigi Bank Ltd. | 8,000 | 12 | ||||||||
| Maezawa Kasei Industries Co. Ltd. | 1,300 | 12 | ||||||||
| Tsugami Corp. | 1,500 | 12 | ||||||||
| BayCurrent Consulting Inc. | 200 | 12 | ||||||||
| Daiseki Co. Ltd. | 500 | 12 | ||||||||
| Systena Corp. | 900 | 12 | ||||||||
| * | RENOVA Inc. | 1,300 | 12 | |||||||
| Taikisha Ltd. | 400 | 11 | ||||||||
| Godo Steel Ltd. | 500 | 11 | ||||||||
| JP-Holdings Inc. | 4,500 | 11 | ||||||||
| Fuyo General Lease Co. Ltd. | 200 | 11 | ||||||||
| United Arrows Ltd. | 500 | 11 | ||||||||
| Maruzen Showa Unyu Co. Ltd. | 500 | 11 | ||||||||
| Create Restaurants Holdings Inc. | 1,400 | 11 | ||||||||
| Izumi Co. Ltd. | 400 | 11 | ||||||||
| * | Japan Display Inc. | 19,700 | 11 | |||||||
| Toshiba Machine Co. Ltd. | 400 | 11 | ||||||||
| KFC Holdings Japan Ltd. | 500 | 11 | ||||||||
| Nippon Koei Co. Ltd. | 400 | 11 | ||||||||
| Towa Bank Ltd. | 1,700 | 11 | ||||||||
| San ju San Financial Group Inc. | 800 | 11 | ||||||||
| Tokyo Ohka Kogyo Co. Ltd. | 300 | 11 | ||||||||
| Yaoko Co. Ltd. | 200 | 11 | ||||||||
| Gurunavi Inc. | 1,600 | 11 | ||||||||
| Takasago Thermal Engineering Co. Ltd. | 700 | 11 | ||||||||
| Toli Corp. | 4,500 | 11 | ||||||||
| Sumitomo Warehouse Co. Ltd. | 900 | 11 | ||||||||
| Teikoku Electric Manufacturing Co. Ltd. | 900 | 11 | ||||||||
| Daihen Corp. | 400 | 11 | ||||||||
| Jeol Ltd. | 400 | 10 | ||||||||
| Maruha Nichiro Corp. | 500 | 10 | ||||||||
| Shin Nippon Air Technologies Co. Ltd. | 600 | 10 | ||||||||
| Hodogaya Chemical Co. Ltd. | 300 | 10 | ||||||||
| Iriso Electronics Co. Ltd. | 300 | 10 | ||||||||
| Kureha Corp. | 200 | 10 | ||||||||
| Bank of Saga Ltd. | 800 | 10 | ||||||||
| Maruwa Unyu Kikan Co. Ltd. | 600 | 10 | ||||||||
| Milbon Co. Ltd. | 200 | 10 | ||||||||
| Matsuya Co. Ltd. | 1,600 | 9 | ||||||||
| Neturen Co. Ltd. | 1,500 | 9 | ||||||||
| Shima Seiki Manufacturing Ltd. | 600 | 9 | ||||||||
| Hirata Corp. | 200 | 9 | ||||||||
| JCU Corp. | 400 | 9 | ||||||||
| Anicom Holdings Inc. | 300 | 9 | ||||||||
| Asahi Holdings Inc. | 400 | 9 | ||||||||
| Uchida Yoko Co. Ltd. | 200 | 9 | ||||||||
| JCR Pharmaceuticals Co. Ltd. | 100 | 9 | ||||||||
| Sumitomo Bakelite Co. Ltd. | 300 | 9 | ||||||||
| Micronics Japan Co. Ltd. | 1,000 | 9 | ||||||||
| * | euglena Co. Ltd. | 1,200 | 9 | |||||||
| Nissin Electric Co. Ltd. | 900 | 9 | ||||||||
| Showa Corp. | 400 | 9 | ||||||||
| Mandom Corp. | 400 | 8 | ||||||||
| Noevir Holdings Co. Ltd. | 200 | 8 | ||||||||
| Nichiha Corp. | 400 | 8 | ||||||||
| Cosel Co. Ltd. | 900 | 8 | ||||||||
| en-japan Inc. | 300 | 8 | ||||||||
| Tonami Holdings Co. Ltd. | 200 | 8 | ||||||||
| Descente Ltd. | 600 | 8 | ||||||||
| Menicon Co. Ltd. | 200 | 8 | ||||||||
| Hitachi Transport System Ltd. | 300 | 8 | ||||||||
| Adastria Co. Ltd. | 500 | 8 | ||||||||
| SWCC Showa Holdings Co. Ltd. | 800 | 8 | ||||||||
| Shinmaywa Industries Ltd. | 700 | 8 | ||||||||
| Mirait Holdings Corp. | 600 | 8 | ||||||||
| KH Neochem Co. Ltd. | 400 | 8 | ||||||||
| Oki Electric Industry Co. Ltd. | 700 | 8 | ||||||||
| Central Glass Co. Ltd. | 400 | 8 | ||||||||
| Idec Corp. | 500 | 8 | ||||||||
| Mitsui High-Tec Inc. | 600 | 8 | ||||||||
| Toshiba TEC Corp. | 200 | 7 | ||||||||
| Dai-Dan Co. Ltd. | 300 | 7 | ||||||||
| MTI Ltd. | 1,400 | 7 | ||||||||
| DTS Corp. | 400 | 7 | ||||||||
| Sanken Electric Co. Ltd. | 300 | 7 | ||||||||
| Nojima Corp. | 400 | 7 | ||||||||
| Japan Material Co. Ltd. | 600 | 7 | ||||||||
| UACJ Corp. | 400 | 7 | ||||||||
| Canon Marketing Japan Inc. | 300 | 7 | ||||||||
| Modec Inc. | 400 | 7 | ||||||||
| J Trust Co. Ltd. | 2,100 | 7 | ||||||||
| Resorttrust Inc. | 500 | 7 | ||||||||
| Gree Inc. | 1,600 | 7 | ||||||||
| Fuji Soft Inc. | 200 | 7 | ||||||||
| Transcosmos Inc. | 300 | 7 | ||||||||
| Sumitomo Mitsui Construction Co. Ltd. | 1,300 | 7 | ||||||||
| Takuma Co. Ltd. | 600 | 7 |
30
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Eizo Corp. | 200 | 6 | ||||||||
| Maruwa Co. Ltd. | 100 | 6 | ||||||||
| Seiren Co. Ltd. | 500 | 6 | ||||||||
| Trancom Co. Ltd. | 100 | 6 | ||||||||
| Monogatari Corp. | 100 | 6 | ||||||||
| NS United Kaiun Kaisha Ltd. | 400 | 6 | ||||||||
| Gakken Holdings Co. Ltd. | 100 | 6 | ||||||||
| Computer Engineering & Consulting Ltd. | 400 | 6 | ||||||||
| Orient Corp. | 5,000 | 6 | ||||||||
| Toridoll Holdings Corp. | 300 | 6 | ||||||||
| Toyo Kanetsu KK | 300 | 6 | ||||||||
| Megmilk Snow Brand Co. Ltd. | 300 | 6 | ||||||||
| Kumiai Chemical Industry Co. Ltd. | 900 | 6 | ||||||||
| * | Vision Inc. | 600 | 6 | |||||||
| Noritsu Koki Co. Ltd. | 500 | 6 | ||||||||
| Towa Pharmaceutical Co. Ltd. | 300 | 6 | ||||||||
| Toa Corp. | 400 | 6 | ||||||||
| ASKUL Corp. | 200 | 6 | ||||||||
| Sinko Industries Ltd. | 400 | 6 | ||||||||
| Yokogawa Bridge Holdings Corp. | 300 | 5 | ||||||||
| Pacific Industrial Co. Ltd. | 500 | 5 | ||||||||
| H2O Retailing Corp. | 700 | 5 | ||||||||
| PAL GROUP Holdings Co. Ltd. | 400 | 5 | ||||||||
| Ohsho Food Service Corp. | 100 | 5 | ||||||||
| Eiken Chemical Co. Ltd. | 300 | 5 | ||||||||
| Daio Paper Corp. | 400 | 5 | ||||||||
| Nitto Kogyo Corp. | 300 | 5 | ||||||||
| * | KNT-CT Holdings Co. Ltd. | 600 | 5 | |||||||
| Earth Corp. | 100 | 5 | ||||||||
| KAWADA TECHNOLOGIES Inc. | 100 | 5 | ||||||||
| Nippon Soda Co. Ltd. | 200 | 5 | ||||||||
| Sankyo Tateyama Inc. | 500 | 5 | ||||||||
| Okamura Corp. | 600 | 5 | ||||||||
| Chiyoda Integre Co. Ltd. | 300 | 5 | ||||||||
| Keihanshin Building Co. Ltd. | 400 | 5 | ||||||||
| Chuetsu Pulp & Paper Co. Ltd. | 400 | 5 | ||||||||
| Shibuya Corp. | 200 | 5 | ||||||||
| Raito Kogyo Co. Ltd. | 400 | 5 | ||||||||
| Nextage Co. Ltd. | 600 | 5 | ||||||||
| Sanoh Industrial Co. Ltd. | 600 | 5 | ||||||||
| Sangetsu Corp. | 300 | 5 | ||||||||
| Solasto Corp. | 500 | 5 | ||||||||
| Hiday Hidaka Corp. | 300 | 5 | ||||||||
| Shoei Co. Ltd. | 100 | 4 | ||||||||
| Shiga Bank Ltd. | 200 | 4 | ||||||||
| Kanamoto Co. Ltd. | 200 | 4 | ||||||||
| Musashi Seimitsu Industry Co. Ltd. | 400 | 4 | ||||||||
| Nichicon Corp. | 600 | 4 | ||||||||
| Kanematsu Corp. | 400 | 4 | ||||||||
| * | Akebono Brake Industry Co. Ltd. | 2,700 | 4 | |||||||
| NichiiGakkan Co. Ltd. | 400 | 4 | ||||||||
| Fixstars Corp. | 400 | 4 | ||||||||
| Ichibanya Co. Ltd. | 100 | 4 | ||||||||
| Kameda Seika Co. Ltd. | 100 | 4 | ||||||||
| Kohnan Shoji Co. Ltd. | 200 | 4 | ||||||||
| CAC Holdings Corp. | 400 | 4 | ||||||||
| Seiko Holdings Corp. | 200 | 4 | ||||||||
| Nissha Co. Ltd. | 500 | 4 | ||||||||
| Shimojima Co. Ltd. | 400 | 4 | ||||||||
| Yahagi Construction Co. Ltd. | 500 | 4 | ||||||||
| Gunze Ltd. | 100 | 4 | ||||||||
| Sumida Corp. | 400 | 4 | ||||||||
| *,§ | Curves Holdings Co. Ltd. | 500 | 4 | |||||||
| LIFULL Co. Ltd. | 900 | 3 | ||||||||
| Taki Chemical Co. Ltd. | 100 | 3 | ||||||||
| * | ARTERIA Networks Corp. | 200 | 3 | |||||||
| IDOM Inc. | 700 | 3 | ||||||||
| Joshin Denki Co. Ltd. | 200 | 3 | ||||||||
| Feed One Co. Ltd. | 2,200 | 3 | ||||||||
| Macromill Inc. | 400 | 3 | ||||||||
| Belluna Co. Ltd. | 600 | 3 | ||||||||
| Tokyo Kiraboshi Financial Group Inc. | 300 | 3 | ||||||||
| Okamoto Industries Inc. | 100 | 3 | ||||||||
| Future Corp. | 200 | 3 | ||||||||
| * | Open Door Inc. | 300 | 3 | |||||||
| Press Kogyo Co. Ltd. | 1,000 | 3 | ||||||||
| Toho Zinc Co. Ltd. | 200 | 3 | ||||||||
| Riken Corp. | 100 | 3 | ||||||||
| Nissan Shatai Co. Ltd. | 300 | 3 | ||||||||
| Nippon Sheet Glass Co. Ltd. | 600 | 3 | ||||||||
| * | FDK Corp. | 400 | 3 | |||||||
| Futaba Industrial Co. Ltd. | 500 | 3 | ||||||||
| Obara Group Inc. | 100 | 3 | ||||||||
| Koshidaka Holdings Co. Ltd. | 500 | 3 | ||||||||
| Yamashin-Filter Corp. | 400 | 2 | ||||||||
| Ichikoh Industries Ltd. | 400 | 2 | ||||||||
| * | Sanden Holdings Corp. | 500 | 2 | |||||||
| Qol Holdings Co. Ltd. | 200 | 2 | ||||||||
| Tamron Co. Ltd. | 100 | 2 | ||||||||
| Saibu Gas Co. Ltd. | 100 | 2 | ||||||||
| Kenko Mayonnaise Co. Ltd. | 100 | 2 | ||||||||
| Nippon Thompson Co. Ltd. | 500 | 2 | ||||||||
| 121,625 | ||||||||||
| Kuwait (0.2%) | ||||||||||
| National Bank of Kuwait SAKP | 212,425 | 695 | ||||||||
| Kuwait Finance House KSCP | 115,199 | 291 | ||||||||
31
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Ahli United Bank BSC | 153,979 | 161 | ||||||||
| Agility Public Warehousing Co. KSC | 53,154 | 134 | ||||||||
| Mobile Telecommunications Co. KSC | 53,014 | 96 | ||||||||
| National Industries Group Holding SAK | 83,406 | 61 | ||||||||
| * | Warba Bank KSCP | 70,112 | 60 | |||||||
| Gulf Bank KSCP | 57,803 | 53 | ||||||||
| Kuwait International Bank KSCP | 38,119 | 34 | ||||||||
| * | Kuwait Projects Co. Holding KSCP | 42,008 | 28 | |||||||
| * | Burgan Bank SAK | 29,439 | 28 | |||||||
| Alimtiaz Investment Group KSC | 66,965 | 27 | ||||||||
| Mezzan Holding Co. KSCC | 14,181 | 21 | ||||||||
| Integrated Holding Co. KCSC | 8,798 | 15 | ||||||||
| 1,704 | ||||||||||
| Malaysia (0.7%) | ||||||||||
| Public Bank Bhd. (Local) | 103,900 | 423 | ||||||||
| Malayan Banking Bhd. | 188,800 | 378 | ||||||||
| Tenaga Nasional Bhd. | 124,448 | 359 | ||||||||
| CIMB Group Holdings Bhd. | 230,700 | 265 | ||||||||
| Maxis Bhd. | 147,300 | 192 | ||||||||
| Dialog Group Bhd. | 227,800 | 183 | ||||||||
| DiGi.Com Bhd. | 173,500 | 173 | ||||||||
| Axiata Group Bhd. | 160,500 | 161 | ||||||||
| AMMB Holdings Bhd. | 161,900 | 143 | ||||||||
| Sime Darby Plantation Bhd. | 111,300 | 132 | ||||||||
| PPB Group Bhd. | 27,800 | 121 | ||||||||
| IHH Healthcare Bhd. | 84,300 | 116 | ||||||||
| Petronas Chemicals Group Bhd. | 84,100 | 108 | ||||||||
| Petronas Gas Bhd. | 20,400 | 81 | ||||||||
| IOI Corp. Bhd. | 72,400 | 72 | ||||||||
| Hong Leong Bank Bhd. | 19,700 | 72 | ||||||||
| Yinson Holdings Bhd. | 40,300 | 68 | ||||||||
| Kuala Lumpur Kepong Bhd. | 12,000 | 63 | ||||||||
| Gamuda Bhd. | 78,300 | 62 | ||||||||
| RHB Bank Bhd. | 46,000 | 61 | ||||||||
| Press Metal Aluminium Holdings Bhd. | 53,800 | 60 | ||||||||
| Pavilion REIT | 139,100 | 59 | ||||||||
| Serba Dinamik Holdings Bhd. | 110,540 | 58 | ||||||||
| MISC Bhd. | 32,000 | 58 | ||||||||
| IJM Corp. Bhd. | 119,500 | 56 | ||||||||
| Top Glove Corp. Bhd. | 40,100 | 54 | ||||||||
| * | Frontken Corp. Bhd. | 96,400 | 53 | |||||||
| TIME dotCom Bhd. | 22,400 | 50 | ||||||||
| Malakoff Corp. Bhd. | 234,200 | 49 | ||||||||
| VS Industry Bhd. | 138,400 | 43 | ||||||||
| Alliance Bank Malaysia Bhd. | 76,900 | 42 | ||||||||
| Genting Plantations Bhd. | 17,300 | 42 | ||||||||
| Malaysia Airports Holdings Bhd. | 26,400 | 42 | ||||||||
| Sunway Construction Group Bhd. | 88,900 | 40 | ||||||||
| Petronas Dagangan Bhd. | 7,000 | 38 | ||||||||
| Inari Amertron Bhd. | 109,500 | 37 | ||||||||
| QL Resources Bhd. | 18,500 | 36 | ||||||||
| Hartalega Holdings Bhd. | 23,500 | 35 | ||||||||
| Telekom Malaysia Bhd. | 38,800 | 34 | ||||||||
| Bermaz Auto Bhd. | 78,400 | 33 | ||||||||
| Nestle Malaysia Bhd. | 900 | 31 | ||||||||
| * | FGV Holdings Bhd. | 111,200 | 30 | |||||||
| YTL Corp. Bhd. | 148,300 | 30 | ||||||||
| Muhibbah Engineering M Bhd. | 70,000 | 27 | ||||||||
| Bursa Malaysia Bhd. | 20,600 | 27 | ||||||||
| * | Velesto Energy Bhd. | 366,200 | 27 | |||||||
| Malaysia Building Society Bhd. | 145,400 | 27 | ||||||||
| Sime Darby Bhd. | 54,400 | 26 | ||||||||
| My EG Services Bhd. | 96,900 | 26 | ||||||||
| Hong Leong Financial Group Bhd. | 7,000 | 25 | ||||||||
| AEON Credit Service M Bhd. | 7,400 | 24 | ||||||||
| Padini Holdings Bhd. | 32,200 | 23 | ||||||||
| * | WCT Holdings Bhd. | 146,700 | 23 | |||||||
| Sime Darby Property Bhd. | 120,400 | 22 | ||||||||
| AirAsia Group Bhd. | 90,800 | 22 | ||||||||
| Malaysian Resources Corp. Bhd. | 157,800 | 21 | ||||||||
| Supermax Corp. Bhd. | 55,892 | 21 | ||||||||
| KPJ Healthcare Bhd. | 91,000 | 21 | ||||||||
| Westports Holdings Bhd. | 24,300 | 20 | ||||||||
| Sunway Bhd. | 45,500 | 19 | ||||||||
| * | UEM Sunrise Bhd. | 131,300 | 19 | |||||||
| IOI Properties Group Bhd. | 76,300 | 18 | ||||||||
| Cahya Mata Sarawak Bhd. | 36,800 | 17 | ||||||||
| SP Setia Bhd Group | 54,100 | 16 | ||||||||
| HAP Seng Consolidated Bhd. | 7,500 | 16 | ||||||||
| Scientex Bhd. | 7,300 | 16 | ||||||||
| Pos Malaysia Bhd. | 56,800 | 16 | ||||||||
| * | AirAsia X Bhd. | 604,900 | 15 | |||||||
| * | Bumi Armada Bhd. | 183,300 | 14 | |||||||
| 1 | Astro Malaysia Holdings Bhd. | 44,400 | 13 | |||||||
| UMW Holdings Bhd. | 16,500 | 13 | ||||||||
| Kossan Rubber Industries | 10,500 | 12 |
32
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| * | Leong Hup International Bhd. | 68,700 | 11 | |||||||
| * | Malayan Cement Bhd. | 10,900 | 8 | |||||||
| * | Serba Dinamik Holdings Bhd. Warrants Exp. 05/12/2024 | 14,640 | 1 | |||||||
| 4,849 | ||||||||||
| Mexico (0.8%) | ||||||||||
| America Movil SAB de CV | 1,261,041 | 994 | ||||||||
| Fomento Economico Mexicano SAB de CV | 98,900 | 800 | ||||||||
| Grupo Financiero Banorte SAB de CV | 125,500 | 680 | ||||||||
| Wal-Mart de Mexico SAB de CV | 150,500 | 422 | ||||||||
| Cemex SAB de CV | 873,500 | 281 | ||||||||
| Grupo Bimbo SAB de CV Class A | 185,734 | 280 | ||||||||
| Grupo Televisa SAB | 134,800 | 252 | ||||||||
| 1 | Macquarie Mexico Real Estate Management SA de CV | 170,163 | 226 | |||||||
| Fibra Uno Administracion SA de CV | 91,600 | 138 | ||||||||
| Grupo Aeroportuario del Pacifico SAB de CV Class B | 9,100 | 99 | ||||||||
| Grupo Elektra SAB de CV | 1,435 | 97 | ||||||||
| Grupo Aeroportuario del Sureste SAB de CV Class B | 3,785 | 62 | ||||||||
| Grupo Aeroportuario del Centro Norte SAB de CV | 9,400 | 62 | ||||||||
| Orbia Advance Corp. SAB de CV | 29,000 | 57 | ||||||||
| Grupo Financiero Inbursa SAB de CV | 52,700 | 56 | ||||||||
| Coca-Cola Femsa SAB de CV | 10,100 | 56 | ||||||||
| * | Controladora Vuela Cia de Aviacion SAB de CV | 49,600 | 50 | |||||||
| PLA Administradora Industrial S de RL de CV | 29,300 | 44 | ||||||||
| Arca Continental SAB de CV | 7,400 | 41 | ||||||||
| Kimberly-Clark de Mexico SAB de CV Class A | 19,400 | 37 | ||||||||
| Infraestructura Energetica Nova SAB de CV | 7,900 | 34 | ||||||||
| Gentera SAB de CV | 34,000 | 33 | ||||||||
| Regional SAB de CV | 5,700 | 32 | ||||||||
| Prologis Property Mexico SA de CV | 12,900 | 27 | ||||||||
| * | Alsea SAB de CV | 13,400 | 27 | |||||||
| Grupo Carso SAB de CV | 7,300 | 20 | ||||||||
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 14,300 | 18 | ||||||||
| 1 | Concentradora Fibra Hotelera Mexicana SA de CV | 48,900 | 18 | |||||||
| * | Genomma Lab Internacional SAB de CV | 17,800 | 18 | |||||||
| Credito Real SAB de CV SOFOM ER | 16,700 | 18 | ||||||||
| Gruma SAB de CV Class B | 1,840 | 18 | ||||||||
| * | La Comer SAB de CV | 13,200 | 16 | |||||||
| * | Telesites SAB de CV | 20,600 | 15 | |||||||
| Bolsa Mexicana de Valores SAB de CV | 7,100 | 15 | ||||||||
| Grupo Cementos de Chihuahua SAB de CV | 3,000 | 15 | ||||||||
| Industrias Penoles SAB de CV | 1,555 | 14 | ||||||||
| Grupo Herdez SAB de CV | 5,700 | 10 | ||||||||
| Grupo Comercial Chedraui SA de CV | 7,600 | 10 | ||||||||
| * | Grupo GICSA SAB de CV | 28,100 | 9 | |||||||
| Qualitas Controladora SAB de CV | 2,100 | 9 | ||||||||
| * | Axtel SAB de CV | 40,400 | 9 | |||||||
| * | Hoteles City Express SAB de CV | 14,100 | 9 | |||||||
| Grupo Rotoplas SAB de CV | 7,800 | 6 | ||||||||
| Corp Inmobiliaria Vesta SAB de CV | 3,500 | 6 | ||||||||
| Grupo Lala SAB de CV | 4,300 | 3 | ||||||||
| 5,143 | ||||||||||
| Netherlands (2.7%) | ||||||||||
| ASML Holding NV | 15,361 | 4,259 | ||||||||
| Unilever NV | 55,114 | 2,910 | ||||||||
| Koninklijke Philips NV | 36,956 | 1,583 | ||||||||
| ING Groep NV | 154,357 | 1,478 | ||||||||
| Koninklijke Ahold Delhaize NV | 44,740 | 1,045 | ||||||||
| Wolters Kluwer NV | 11,658 | 853 | ||||||||
| Koninklijke DSM NV | 7,467 | 842 | ||||||||
| *,1 | Adyen NV | 870 | 766 | |||||||
| Akzo Nobel NV | 9,528 | 762 | ||||||||
| Koninklijke KPN NV | 166,749 | 404 | ||||||||
| NN Group NV | 11,179 | 382 | ||||||||
| Randstad NV | 7,274 | 375 | ||||||||
| * | Galapagos NV | 1,658 | 349 | |||||||
33
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| ASR Nederland NV | 8,937 | 301 | ||||||||
| Aegon NV | 85,548 | 291 | ||||||||
| Imcd NV | 3,285 | 269 | ||||||||
| 1 | ABN AMRO Bank NV | 17,838 | 245 | |||||||
| SBM Offshore NV | 12,776 | 202 | ||||||||
| TKH Group NV | 4,267 | 193 | ||||||||
| ASM International NV | 1,322 | 152 | ||||||||
| 1 | Signify NV | 2,962 | 88 | |||||||
| *,1 | Just Eat Takeaway (XAMS) | 980 | 86 | |||||||
| * | Altice Europe NV Class B | 15,925 | 83 | |||||||
| Corbion NV | 1,456 | 53 | ||||||||
| BE SemiconductorIndustries NV | 1,317 | 51 | ||||||||
| 1 | Intertrust NV | 2,233 | 37 | |||||||
| Koninklijke Vopak NV | 712 | 34 | ||||||||
| Boskalis Westminster | 1,540 | 34 | ||||||||
| Aperam SA | 1,058 | 31 | ||||||||
| Sligro Food Group NV | 1,092 | 27 | ||||||||
| * | Oci NV | 1,487 | 25 | |||||||
| * | Altice Europe NV | 3,147 | 17 | |||||||
| Koninklijke Volkerwessels NV | 623 | 15 | ||||||||
| Wereldhave NV | 895 | 14 | ||||||||
| Eurocommercial Properties NV | 597 | 13 | ||||||||
| 1 | Flow Traders | 543 | 13 | |||||||
| PostNL NV | 8,456 | 13 | ||||||||
| * | TomTom NV | 1,235 | 13 | |||||||
| *,1 | Basic-Fit NV | 349 | 12 | |||||||
| Accell Group NV | 378 | 10 | ||||||||
| Nsi NV | 202 | 10 | ||||||||
| Vastned Retail NV | 142 | 4 | ||||||||
| 1 | GrandVision NV | 113 | 3 | |||||||
| 18,347 | ||||||||||
| New Zealand (0.4%) | ||||||||||
| Fisher & Paykel Healthcare Corp. Ltd. | 34,150 | 553 | ||||||||
| * | a2 Milk Co. Ltd. | 37,361 | 385 | |||||||
| Spark New Zealand Ltd. | 125,414 | 357 | ||||||||
| Auckland International Airport Ltd. | 62,670 | 310 | ||||||||
| Contact Energy Ltd. | 65,599 | 276 | ||||||||
| Meridian Energy Ltd. | 33,276 | 97 | ||||||||
| Ryman Healthcare Ltd. | 9,448 | 91 | ||||||||
| Fletcher Building Ltd. | 16,087 | 53 | ||||||||
| Infratil Ltd. | 14,663 | 47 | ||||||||
| Mercury NZ Ltd. | 11,981 | 36 | ||||||||
| Chorus Ltd. | 8,196 | 34 | ||||||||
| Mainfreight Ltd. | 1,339 | 32 | ||||||||
| Kiwi Property Group Ltd. | 31,736 | 29 | ||||||||
| Summerset Group Holdings Ltd. | 5,141 | 25 | ||||||||
| Precinct Properties New Zealand Ltd. | 19,911 | 24 | ||||||||
| Z Energy Ltd. | 9,115 | 23 | ||||||||
| Freightways Ltd. | 4,706 | 21 | ||||||||
| EBOS Group Ltd. | 1,392 | 20 | ||||||||
| Argosy Property Ltd. | 16,147 | 14 | ||||||||
| Goodman Property Trust | 8,559 | 12 | ||||||||
| * | Pushpay Holdings Ltd. | 4,800 | 12 | |||||||
| Kathmandu Holdings Ltd. | 5,898 | 11 | ||||||||
| Scales Corp. Ltd. | 3,089 | 8 | ||||||||
| Air New Zealand Ltd. | 4,685 | 7 | ||||||||
| * | Synlait Milk Ltd. | 1,759 | 7 | |||||||
| Tourism Holdings Ltd. | 1,445 | 2 | ||||||||
| 2,486 | ||||||||||
| Norway (0.5%) | ||||||||||
| Dnb ASA | 43,265 | 725 | ||||||||
| Telenor ASA | 28,842 | 467 | ||||||||
| Mowi ASA | 21,602 | 458 | ||||||||
| Yara International ASA | 9,253 | 340 | ||||||||
| Storebrand ASA | 40,836 | 262 | ||||||||
| Norsk Hydro ASA | 88,009 | 256 | ||||||||
| TOMRA Systems ASA | 3,281 | 105 | ||||||||
| Bakkafrost P/F | 1,192 | 76 | ||||||||
| 1 | Entra ASA | 4,047 | 64 | |||||||
| TGS NOPEC Geophysical Co. ASA | 2,713 | 63 | ||||||||
| Salmar ASA | 1,307 | 59 | ||||||||
| SpareBank 1 SMN | 5,532 | 55 | ||||||||
| Schibsted ASA Class B | 2,167 | 52 | ||||||||
| 1 | Scatec Solar ASA | 2,964 | 52 | |||||||
| * | Adevinta ASA | 4,622 | 48 | |||||||
| * | Norwegian Finans Holding ASA | 4,678 | 44 | |||||||
| Subsea 7 SA | 4,848 | 44 | ||||||||
| SpareBank 1 SR-Bank ASA | 4,383 | 42 | ||||||||
| Veidekke ASA | 3,082 | 38 | ||||||||
| Gjensidige Forsikring ASA | 1,826 | 37 | ||||||||
| Leroy Seafood Group ASA | 5,955 | 37 | ||||||||
| Schibsted ASA Class A | 1,314 | 33 | ||||||||
| 1 | BW LPG Ltd. | 4,579 | 29 | |||||||
| 1 | Sbanken ASA | 3,743 | 26 | |||||||
| Frontline Ltd. | 2,746 | 22 | ||||||||
| Atea ASA | 1,925 | 22 | ||||||||
| * | Pgs ASA | 13,832 | 20 | |||||||
| * | Nordic Semiconductor ASA | 3,513 | 19 | |||||||
| Grieg Seafood ASA | 1,064 | 14 | ||||||||
| Austevoll Seafood ASA | 1,525 | 13 | ||||||||
| * | BW Offshore Ltd. | 2,699 | 11 | |||||||
| Borregaard ASA | 780 | 8 | ||||||||
| 1 | Elkem ASA | 4,052 | 8 | |||||||
| *,1,^ | XXL ASA | 5,525 | 6 | |||||||
| * | Borr Drilling Ltd. | 2,637 | 6 | |||||||
| Hoegh LNG Holdings Ltd. | 1,642 | 4 | ||||||||
34
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| * | Seadrill Ltd. | 3,125 | 3 | |||||||
| * | Akastor ASA | 3,428 | 3 | |||||||
| * | Norwegian Air Shuttle ASA | 874 | 2 | |||||||
| 1,* | Aker Solutions ASA | 1,196 | 2 | |||||||
| * | BW Energy Ltd. | 550 | 1 | |||||||
| *,§ | XXL ASA Rights Exp. 03/11/2020 | 167 | — | |||||||
| 3,576 | ||||||||||
| Pakistan (0.0%) | ||||||||||
| * | SUI Southern Gas Co. Ltd. | 677,752 | 70 | |||||||
| Lucky Cement Ltd. | 16,400 | 52 | ||||||||
| Pakistan State Oil Co. Ltd. | 40,979 | 43 | ||||||||
| MCB Bank Ltd. | 25,800 | 33 | ||||||||
| Habib Bank Ltd. | 19,500 | 20 | ||||||||
| SUI Northern Gas Pipeline | 41,500 | 18 | ||||||||
| Searle Co. Ltd. | 10,300 | 12 | ||||||||
| Kot Addu Power Co. Ltd. | 77,500 | 12 | ||||||||
| Millat Tractors Ltd. | 2,300 | 10 | ||||||||
| * | Hub Power Co. Ltd. | 14,012 | 8 | |||||||
| Engro Corp. Ltd. | 2,420 | 5 | ||||||||
| Bank Alfalah Ltd. | 15,000 | 4 | ||||||||
| 287 | ||||||||||
| Peru (0.0%) | ||||||||||
| Cia de Minas Buenaventura SAA ADR | 5,921 | 66 | ||||||||
| Philippines (0.2%) | ||||||||||
| BDO Unibank Inc. | 95,060 | 260 | ||||||||
| Ayala Land Inc. | 313,900 | 242 | ||||||||
| Bank of the Philippine Islands | 119,170 | 173 | ||||||||
| International Container Terminal Services Inc. | 31,910 | 67 | ||||||||
| Ayala Corp. | 4,030 | 53 | ||||||||
| Cebu Air Inc. | 33,720 | 49 | ||||||||
| Wilcon Depot Inc. | 130,900 | 47 | ||||||||
| Security Bank Corp. | 13,830 | 42 | ||||||||
| * | Metropolitan Bank & Trust Co. | 35,357 | 39 | |||||||
| PLDT Inc. | 1,850 | 36 | ||||||||
| Jollibee Foods Corp. | 10,290 | 34 | ||||||||
| Century Pacific Food Inc. | 115,400 | 33 | ||||||||
| Manila Electric Co. | 4,610 | 24 | ||||||||
| Globe Telecom Inc. | 580 | 20 | ||||||||
| First Gen Corp. | 51,000 | 18 | ||||||||
| GT Capital Holdings Inc. | 1,080 | 15 | ||||||||
| San Miguel Food and Beverage Inc. | 10,320 | 15 | ||||||||
| Aboitiz Power Corp. | 18,100 | 10 | ||||||||
| Filinvest Land Inc. | 339,000 | 8 | ||||||||
| Manila Water Co. Inc. | 31,600 | 7 | ||||||||
| Robinsons Retail Holdings Inc. | 5,100 | 7 | ||||||||
| Puregold Price Club Inc. | 9,000 | 7 | ||||||||
| Nickel Asia Corp. | 144,000 | 6 | ||||||||
| *,1 | CEMEX Holdings Philippines Inc. | 186,933 | 5 | |||||||
| Vista Land & Lifescapes Inc. | 36,100 | 5 | ||||||||
| 1,222 | ||||||||||
| Poland (0.2%) | ||||||||||
| Powszechna Kasa Oszczednosci Bank Polski SA | 48,313 | 387 | ||||||||
| Bank Polska Kasa Opieki SA | 11,411 | 258 | ||||||||
| Powszechny Zaklad Ubezpieczen SA | 27,669 | 247 | ||||||||
| CD Projekt SA | 1,470 | 105 | ||||||||
| * | KGHM Polska Miedz SA | 4,047 | 74 | |||||||
| *,1 | Dino Polska SA | 1,370 | 50 | |||||||
| Santander Bank Polska SA | 655 | 42 | ||||||||
| * | Orange Polska SA | 17,084 | 27 | |||||||
| Lpp SA | 13 | 23 | ||||||||
| Budimex SA | 446 | 20 | ||||||||
| Kernel Holding SA | 1,327 | 15 | ||||||||
| * | mBank SA | 187 | 14 | |||||||
| * | Bank Millennium SA | 11,269 | 14 | |||||||
| Kruk SA | 302 | 11 | ||||||||
| * | Alior Bank SA | 1,967 | 10 | |||||||
| Ccc SA | 469 | 9 | ||||||||
| Asseco Poland SA | 557 | 9 | ||||||||
| Cyfrowy Polsat SA | 1,253 | 8 | ||||||||
| * | AmRest Holdings SE | 574 | 6 | |||||||
| * | Energa SA | 2,079 | 4 | |||||||
| PKP Cargo SA | 735 | 2 | ||||||||
| 1,335 | ||||||||||
| Portugal (0.0%) | ||||||||||
| Jeronimo Martins SGPS SA | 3,893 | 69 | ||||||||
| Banco Comercial Portugues SA | 233,478 | 42 | ||||||||
| CTT-Correios de Portugal SA | 11,496 | 30 | ||||||||
| EDP Renovaveis SA | 1,928 | 26 | ||||||||
| Nos Sgps SA | 4,992 | 20 | ||||||||
| Sonae SGPS SA | 24,793 | 19 | ||||||||
| REN - Redes Energeticas Nacionais SGPS SA | 6,873 | 19 | ||||||||
| Mota-Engil SGPS SA | 10,000 | 15 | ||||||||
| Navigator Co. SA | 4,298 | 13 | ||||||||
| Altri SGPS SA | 1,635 | 9 | ||||||||
| 262 | ||||||||||
| Qatar (0.3%) | ||||||||||
| Qatar National Bank QPSC | 160,963 | 822 | ||||||||
| * | Masraf Al Rayan QSC | 125,228 | 138 | |||||||
| Industries Qatar QSC | 49,484 | 122 | ||||||||
| Qatar Fuel QSC | 18,465 | 97 | ||||||||
35
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Commercial Bank PSQC | 74,240 | 90 | ||||||||
| * | Mesaieed Petrochemical Holding Co. | 168,227 | 80 | |||||||
| Qatar Gas Transport Co. Ltd. | 120,916 | 71 | ||||||||
| Qatar International Islamic Bank QSC | 30,001 | 69 | ||||||||
| Barwa Real Estate Co. | 70,000 | 59 | ||||||||
| Ooredoo QPSC | 27,917 | 48 | ||||||||
| Doha Bank QPSC | 74,983 | 47 | ||||||||
| Vodafone Qatar QSC | 109,533 | 31 | ||||||||
| * | United Development Co. QSC | 80,662 | 27 | |||||||
| Medicare Group | 9,591 | 17 | ||||||||
| * | Ezdan Holding Group QSC | 50,710 | 7 | |||||||
| 1,725 | ||||||||||
| Russia (0.4%) | ||||||||||
| Sberbank of Russia PJSC | 358,760 | 1,270 | ||||||||
| Mobile TeleSystems PJSC | 34,020 | 165 | ||||||||
| AK Transneft OAO Preference Shares | 54 | 123 | ||||||||
| Inter RAO UES PJSC | 1,083,000 | 85 | ||||||||
| 1 | Detsky Mir PJSC | 46,470 | 78 | |||||||
| Polyus PJSC | 617 | 78 | ||||||||
| Magnit PJSC | 1,538 | 74 | ||||||||
| VTB Bank PJSC (MISX) | 92,410,000 | 60 | ||||||||
| Moscow Exchange MICEX-RTS PJSC | 34,870 | 52 | ||||||||
| Sistema PJSFC | 198,900 | 49 | ||||||||
| Aeroflot PJSC | 33,650 | 48 | ||||||||
| TGC-1 PJSC | 209,400,000 | 45 | ||||||||
| Novolipetsk Steel PJSC | 22,270 | 42 | ||||||||
| VTB Bank PJSC (XLON) | 32,335 | 42 | ||||||||
| OGK-2 PJSC | 3,581,000 | 36 | ||||||||
| Polyus PJSC GDR | 557 | 35 | ||||||||
| M.Video PJSC | 4,770 | 35 | ||||||||
| Lenenergo PJSC Preference Shares | 14,320 | 30 | ||||||||
| TMK PJSC | 37,380 | 29 | ||||||||
| Enel Russia PJSC | 1,899,000 | 27 | ||||||||
| RusHydro PJSC | 2,707,000 | 26 | ||||||||
| PhosAgro PJSC | 732 | 26 | ||||||||
| Rosseti PJSC | 835,000 | 18 | ||||||||
| Rostelecom PJSC | 13,790 | 18 | ||||||||
| Federal Grid Co. Unified Energy System PJSC | 3,960,000 | 12 | ||||||||
| Mosenergo PJSC | 327,000 | 11 | ||||||||
| Unipro PJSC | 202,000 | 9 | ||||||||
| 2,523 | ||||||||||
| Saudi Arabia (0.3%) | ||||||||||
| Al Rajhi Bank | 31,841 | 519 | ||||||||
| Saudi Basic Industries Corp. | 21,633 | 450 | ||||||||
| National Commercial Bank | 36,961 | 430 | ||||||||
| Saudi Arabian Mining Co. | 8,364 | 83 | ||||||||
| Saudi Airlines Catering Co. | 3,366 | 81 | ||||||||
| Saudi Ground Services Co. | 9,489 | 80 | ||||||||
| * | Savola Group | 8,265 | 72 | |||||||
| Almarai Co. JSC | 5,676 | 69 | ||||||||
| * | Etihad Etisalat Co. | 10,003 | 60 | |||||||
| Abdullah Al Othaim Markets Co. | 2,306 | 50 | ||||||||
| * | Fawaz Abdulaziz Al Hokair & Co. | 6,736 | 50 | |||||||
| Yanbu Cement Co. | 4,686 | 46 | ||||||||
| Sahara International Petrochemical Co. | 9,166 | 37 | ||||||||
| * | Arabian Centres Co. Ltd. | 4,093 | 30 | |||||||
| * | Mobile Telecommunications Co. Saudi Arabia | 10,356 | 27 | |||||||
| National Industrialization Co. | 6,051 | 19 | ||||||||
| 2,103 | ||||||||||
| Singapore (1.0%) | ||||||||||
| DBS Group Holdings Ltd. | 78,200 | 1,367 | ||||||||
| Oversea-Chinese Banking Corp. Ltd. | 135,900 | 1,046 | ||||||||
| United Overseas Bank Ltd. | 53,900 | 962 | ||||||||
| Singapore Telecommunications Ltd. | 285,700 | 619 | ||||||||
| Singapore Exchange Ltd. | 58,900 | 364 | ||||||||
| Keppel Corp. Ltd. | 78,000 | 360 | ||||||||
| CapitaLand Ltd. | 131,700 | 337 | ||||||||
| City Developments Ltd. | 45,000 | 322 | ||||||||
| UOL Group Ltd. | 55,700 | 299 | ||||||||
| ComfortDelGro Corp. Ltd. | 174,100 | 247 | ||||||||
| Singapore Press Holdings Ltd. | 178,300 | 245 | ||||||||
| Wilmar International Ltd. | 80,100 | 231 | ||||||||
| Venture Corp. Ltd. | 5,700 | 69 | ||||||||
36
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Mapletree Industrial Trust | 32,100 | 62 | ||||||||
| Mapletree Logistics Trust | 44,800 | 60 | ||||||||
| NetLink NBN Trust | 80,700 | 57 | ||||||||
| Keppel DC REIT | 29,028 | 49 | ||||||||
| Manulife US REIT | 44,394 | 43 | ||||||||
| Keppel REIT | 46,800 | 41 | ||||||||
| Mapletree North Asia Commercial Trust | 44,900 | 36 | ||||||||
| Ascendas India Trust | 28,000 | 33 | ||||||||
| Sembcorp Industries Ltd. | 24,200 | 32 | ||||||||
| Ascott Residence Trust | 29,800 | 25 | ||||||||
| Golden Agri-Resources Ltd. | 168,800 | 24 | ||||||||
| Sabana Shari’ah Compliant | ||||||||||
| Industrial REIT | 61,100 | 20 | ||||||||
| Hutchison Port Holdings Trust | 129,400 | 19 | ||||||||
| Olam International Ltd. | 14,300 | 18 | ||||||||
| * | Sembcorp Marine Ltd. | 22,100 | 17 | |||||||
| Esr-Reit | 44,761 | 17 | ||||||||
| Raffles Medical Group Ltd. | 23,700 | 17 | ||||||||
| Eagle Hospitality Trust | 38,000 | 15 | ||||||||
| Frasers Commercial Trust | 12,400 | 15 | ||||||||
| CapitaLand Retail China Trust | 14,200 | 14 | ||||||||
| Far East Hospitality Trust | 30,500 | 13 | ||||||||
| Cache Logistics Trust | 19,000 | 9 | ||||||||
| Accordia Golf Trust | 20,100 | 9 | ||||||||
| Frasers Logistics &Industrial Trust | 9,800 | 9 | ||||||||
| Lippo Malls Indonesia Retail Trust | 32,400 | 5 | ||||||||
| StarHub Ltd. | 4,400 | 5 | ||||||||
| * | Yoma Strategic Holdings Ltd. | 20,000 | 5 | |||||||
| § | Best World International Ltd. | 3,000 | 3 | |||||||
| SATS Ltd. | 800 | 2 | ||||||||
| 7,142 | ||||||||||
| South Africa (1.3%) | ||||||||||
| Naspers Ltd. | 16,958 | 2,652 | ||||||||
| Standard Bank Group Ltd. | 54,313 | 522 | ||||||||
| FirstRand Ltd. | 129,188 | 461 | ||||||||
| Bid Corp. Ltd. | 17,791 | 322 | ||||||||
| Absa Group Ltd. | 36,587 | 315 | ||||||||
| Sanlam Ltd. | 73,172 | 307 | ||||||||
| Remgro Ltd. | 29,333 | 305 | ||||||||
| * | Impala Platinum Holdings Ltd. | 32,154 | 261 | |||||||
| Capitec Bank Holdings Ltd. | 2,949 | 250 | ||||||||
| Bidvest Group Ltd. | 20,907 | 244 | ||||||||
| RMB Holdings Ltd. | 52,108 | 239 | ||||||||
| Nedbank Group Ltd. | 20,242 | 231 | ||||||||
| Clicks Group Ltd. | 15,279 | 231 | ||||||||
| Gold Fields Ltd. | 37,849 | 230 | ||||||||
| PSG Group Ltd. | 16,222 | 197 | ||||||||
| SPAR Group Ltd. | 17,476 | 188 | ||||||||
| Old Mutual Ltd. | 179,940 | 183 | ||||||||
| Shoprite Holdings Ltd. | 24,328 | 177 | ||||||||
| Foschini Group Ltd. | 21,253 | 171 | ||||||||
| AVI Ltd. | 35,728 | 167 | ||||||||
| Vodacom Group Ltd. | 21,861 | 156 | ||||||||
| Growthpoint Properties Ltd. | 133,001 | 152 | ||||||||
| Redefine Properties Ltd. | 436,652 | 152 | ||||||||
| Mr Price Group Ltd. | 14,259 | 140 | ||||||||
| Tiger Brands Ltd. | 11,998 | 118 | ||||||||
| Anglo American Platinum Ltd. | 1,559 | 105 | ||||||||
| Discovery Ltd. | 12,499 | 78 | ||||||||
| * | Aspen Pharmacare Holdings Ltd. | 12,011 | 77 | |||||||
| * | Northam Platinum Ltd. | 8,434 | 61 | |||||||
| * | MultiChoice Group | 6,483 | 38 | |||||||
| NEPI Rockcastle plc | 4,932 | 37 | ||||||||
| Netcare Ltd. | 23,285 | 28 | ||||||||
| Pick n Pay Stores Ltd. | 7,522 | 27 | ||||||||
| * | Harmony Gold Mining Co. Ltd. | 7,711 | 27 | |||||||
| Pioneer Foods Group Ltd. | 3,809 | 27 | ||||||||
| Rand Merchant Investment Holdings Ltd. | 16,193 | 26 | ||||||||
| Fortress REIT Ltd. | 23,070 | 24 | ||||||||
| Truworths International Ltd. | 7,419 | 22 | ||||||||
| AECI Ltd. | 3,214 | 22 | ||||||||
| Woolworths Holdings Ltd. | 8,701 | 21 | ||||||||
| Barloworld Ltd. | 3,920 | 20 | ||||||||
| Motus Holdings Ltd. | 3,936 | 19 | ||||||||
| Investec Ltd. | 3,376 | 18 | ||||||||
| Liberty Holdings Ltd. | 2,847 | 17 | ||||||||
| JSE Ltd. | 2,651 | 17 | ||||||||
| Hyprop Investments Ltd. | 5,458 | 16 | ||||||||
| * | Sappi Ltd. | 7,124 | 13 | |||||||
| 1 | Dis-Chem Pharmacies Ltd. | 8,756 | 13 | |||||||
| Kumba Iron Ore Ltd. | 660 | 12 | ||||||||
| Momentum Metropolitan Holdings | 10,419 | 12 | ||||||||
| Coronation Fund Managers Ltd. | 4,546 | 12 | ||||||||
| Santam Ltd. | 637 | 10 | ||||||||
| KAP Industrial Holdings Ltd. | 42,829 | 8 | ||||||||
| Massmart Holdings Ltd. | 2,664 | 8 | ||||||||
| Telkom SA SOC Ltd. | 4,621 | 8 | ||||||||
| SA Corporate Real Estate Ltd. | 52,269 | 7 | ||||||||
| Resilient REIT Ltd. | 1,780 | 7 | ||||||||
| Assore Ltd. | 497 | 6 | ||||||||
| Astral Foods Ltd. | 453 | 5 | ||||||||
| * | Super Group Ltd. | 3,557 | 5 |
37
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Imperial Logistics Ltd. | 1,382 | 4 | ||||||||
| * | Nampak Ltd. | 14,448 | 3 | |||||||
| Lewis Group Ltd. | 1,258 | 2 | ||||||||
| * | PPC Ltd. | 14,109 | 1 | |||||||
| 9,234 | ||||||||||
| South Korea (3.2%) | ||||||||||
| Samsung Electronics Co. Ltd. | 163,318 | 7,351 | ||||||||
| Samsung Electronics Co. | ||||||||||
| Ltd. Preference Shares | 46,178 | 1,763 | ||||||||
| SK Hynix Inc. | 18,805 | 1,390 | ||||||||
| NAVER Corp. | 4,791 | 688 | ||||||||
| LG Chem Ltd. | 1,623 | 492 | ||||||||
| Hyundai Motor Co. | 4,945 | 472 | ||||||||
| Shinhan Financial Group Co. Ltd. | 17,277 | 462 | ||||||||
| KB Financial Group Inc. | 13,772 | 435 | ||||||||
| Samsung SDI Co. Ltd. | 1,775 | 431 | ||||||||
| Hyundai Mobis Co. Ltd. | 2,222 | 388 | ||||||||
| LG Household & Health Care Ltd. | 353 | 356 | ||||||||
| Hana Financial Group Inc. | 10,465 | 271 | ||||||||
| Samsung Electro-Mechanics Co. Ltd. | 1,933 | 204 | ||||||||
| Kakao Corp. | 1,343 | 193 | ||||||||
| Samsung Fire & Marine Insurance Co. Ltd. | 1,167 | 190 | ||||||||
| LG Electronics Inc. | 3,386 | 170 | ||||||||
| Woori Financial Group Inc. | 20,256 | 161 | ||||||||
| *,1 | Samsung Biologics Co. Ltd. | 411 | 158 | |||||||
| Samsung Securities Co. Ltd. | 5,613 | 154 | ||||||||
| Mirae Asset Daewoo Co. Ltd. | 29,017 | 153 | ||||||||
| BNK Financial Group Inc. | 27,574 | 140 | ||||||||
| Samsung SDS Co. Ltd. | 1,002 | 139 | ||||||||
| SK Telecom Co. Ltd. (XKRX) | 729 | 128 | ||||||||
| S-Oil Corp. | 2,228 | 124 | ||||||||
| Industrial Bank of Korea | 15,365 | 121 | ||||||||
| Amorepacific Corp. | 839 | 111 | ||||||||
| Amorepacific Corp. Preference Shares | 1,798 | 109 | ||||||||
| CJ CheilJedang Corp. | 509 | 102 | ||||||||
| Samsung Life Insurance Co. Ltd. | 2,043 | 98 | ||||||||
| * | LG Display Co. Ltd. | 8,432 | 96 | |||||||
| Coway Co. Ltd. | 1,634 | 93 | ||||||||
| Lotte Chemical Corp. | 538 | 84 | ||||||||
| DB Insurance Co. Ltd. | 2,259 | 81 | ||||||||
| SK Securities Co. Ltd. | 168,085 | 75 | ||||||||
| Hankook Tire & Technology Co. Ltd. | 3,490 | 73 | ||||||||
| Hyundai Motor Co. 2nd Preference Shares | 1,130 | 70 | ||||||||
| Hyundai Motor Co. Preference Shares | 1,144 | 63 | ||||||||
| Lotte Corp. | 2,544 | 61 | ||||||||
| Green Cross Corp. | 636 | 59 | ||||||||
| Fila Holdings Corp. | 1,837 | 58 | ||||||||
| Hyundai Department Store Co. Ltd. | 1,007 | 58 | ||||||||
| Hanjin Kal Corp. | 996 | 56 | ||||||||
| * | Samsung Engineering Co. Ltd. | 4,681 | 55 | |||||||
| Samchully Co. Ltd. | 817 | 53 | ||||||||
| LG Innotek Co. Ltd. | 473 | 51 | ||||||||
| Lotte Shopping Co. Ltd. | 626 | 50 | ||||||||
| KISCO Corp. | 14,830 | 47 | ||||||||
| Modetour Network Inc. | 3,999 | 46 | ||||||||
| LEENO Industrial Inc. | 690 | 46 | ||||||||
| SK Telecom Co. Ltd. (XNYS) | 2,400 | 46 | ||||||||
| AMOREPACIFIC Group | 846 | 43 | ||||||||
| * | Samsung Heavy Industries Co. Ltd. | 8,869 | 43 | |||||||
| LG Uplus Corp. | 3,887 | 42 | ||||||||
| Douzone Bizon Co. Ltd. | 578 | 42 | ||||||||
| Hankook Shell Oil Co. Ltd. | 192 | 41 | ||||||||
| DB HiTek Co. Ltd. | 1,889 | 38 | ||||||||
| Hyundai Marine & Fire Insurance Co. Ltd. | 2,048 | 38 | ||||||||
| LG Electronics Inc.Preference Shares | 1,903 | 38 | ||||||||
| Eo Technics Co. Ltd. | 486 | 36 | ||||||||
| Chong Kun Dang Pharmaceutical Corp. | 485 | 35 | ||||||||
| JB Financial Group Co. Ltd. | 8,231 | 34 | ||||||||
| WONIK IPS Co. Ltd. | 1,267 | 34 | ||||||||
| Hyundai Glovis Co. Ltd. | 321 | 33 | ||||||||
| * | Korea Line Corp. | 2,290 | 32 | |||||||
| E1 Corp. | 958 | 32 | ||||||||
| Posco ICT Co. Ltd. | 8,529 | 32 | ||||||||
| Koh Young Technology Inc. | 396 | 32 | ||||||||
| * | CUROCOM Co. Ltd. | 15,418 | 30 | |||||||
| * | HLB Life Science CO Ltd. | 1,542 | 30 | |||||||
| Samsung Card Co. Ltd. | 1,055 | 29 | ||||||||
| DGB Financial Group Inc. | 6,168 | 29 | ||||||||
| Cheil Worldwide Inc. | 1,797 | 29 | ||||||||
| * | Eusu Holdings Co. Ltd. | 5,670 | 28 | |||||||
| Interpark Holdings Corp. | 19,256 | 28 | ||||||||
| * | SFA Semicon Co. Ltd. | 5,895 | 28 | |||||||
| * | GemVax & Kael Co. Ltd. | 1,162 | 27 | |||||||
| Korea Asset In Trust Co. Ltd. | 13,066 | 27 | ||||||||
| * | Hyundai Merchant Marine Co. Ltd. | 9,710 | 26 | |||||||
| Hyundai Steel Co. | 1,316 | 26 | ||||||||
| Meritz Securities Co. Ltd. | 8,815 | 25 |
38
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Dae Han Flour Mills Co. Ltd. | 236 | 25 | ||||||||
| HS Industries Co. Ltd. | 2,693 | 24 | ||||||||
| DB Financial Investment Co. Ltd. | 8,159 | 24 | ||||||||
| NICE Information Service Co. Ltd. | 1,830 | 24 | ||||||||
| Hana Tour Service Inc. | 693 | 24 | ||||||||
| TK Corp. | 3,160 | 23 | ||||||||
| * | Innox Advanced Materials Co. Ltd. | 658 | 23 | |||||||
| * | Seobu T&D | 4,039 | 23 | |||||||
| It’s Hanbul Co. Ltd. | 1,850 | 23 | ||||||||
| * | Wonik Holdings Co. Ltd. | 6,264 | 23 | |||||||
| NICE Holdings Co. Ltd. | 1,308 | 22 | ||||||||
| Iljin Materials Co. Ltd. | 565 | 22 | ||||||||
| CJ Freshway Corp. | 1,235 | 22 | ||||||||
| NEPES Corp. | 891 | 22 | ||||||||
| * | Samsung Pharmaceutical Co. Ltd. | 7,549 | 22 | |||||||
| * | Komipharm International Co. Ltd. | 1,335 | 21 | |||||||
| Dong-A Socio Holdings Co. Ltd. | 303 | 21 | ||||||||
| * | SBS Media Holdings Co. Ltd. | 14,321 | 21 | |||||||
| Hanwha Solutions Corp. | 1,404 | 21 | ||||||||
| Sam Young Electronics Co. Ltd. | 3,282 | 21 | ||||||||
| NS Shopping Co. Ltd. | 3,459 | 21 | ||||||||
| * | KONA I Co. Ltd. | 1,364 | 21 | |||||||
| Mirae Asset Life Insurance Co. Ltd. | 6,228 | 21 | ||||||||
| Mando Corp. | 827 | 21 | ||||||||
| Yuhan Corp. | 116 | 21 | ||||||||
| * | BH Co. Ltd. | 1,372 | 20 | |||||||
| iMarketKorea Inc. | 2,649 | 20 | ||||||||
| Hansol Chemical Co. Ltd. | 261 | 20 | ||||||||
| * | Hansol Holdings Co. Ltd. | 8,018 | 20 | |||||||
| * | Mezzion Pharma Co. Ltd. | 166 | 20 | |||||||
| * | Humax Co. Ltd. | 5,470 | 20 | |||||||
| * | Duk San Neolux Co. Ltd. | 689 | 19 | |||||||
| Advanced Process Systems Corp. | 837 | 19 | ||||||||
| * | Able C&C Co. Ltd. | 2,269 | 19 | |||||||
| Soulbrain Co. Ltd. | 258 | 19 | ||||||||
| Samwha Capacitor Co. Ltd. | 380 | 19 | ||||||||
| * | Dongkuk Steel Mill Co. Ltd. | 4,757 | 19 | |||||||
| * | G-treeBNT Co. Ltd. | 926 | 18 | |||||||
| Seoul Semiconductor Co. Ltd. | 1,472 | 18 | ||||||||
| * | Hanall Biopharma Co. Ltd. | 930 | 18 | |||||||
| Sung Kwang Bend Co. Ltd. | 2,710 | 18 | ||||||||
| Ecopro Co. Ltd. | 957 | 18 | ||||||||
| KISWIRE Ltd. | 1,290 | 18 | ||||||||
| DoubleUGames Co. Ltd. | 531 | 18 | ||||||||
| F&F Co. Ltd. | 231 | 18 | ||||||||
| JYP Entertainment Corp. | 1,012 | 18 | ||||||||
| Binggrae Co. Ltd. | 388 | 17 | ||||||||
| Partron Co. Ltd. | 2,262 | 17 | ||||||||
| Ssangyong Cement Industrial Co. Ltd. | 4,172 | 17 | ||||||||
| Korean Air Lines Co. Ltd. | 935 | 17 | ||||||||
| * | DIO Corp. | 608 | 17 | |||||||
| Korea Real Estate Investment & Trust Co. Ltd. | 10,579 | 17 | ||||||||
| Hanon Systems | 1,909 | 17 | ||||||||
| Korea Electric Terminal Co. Ltd. | 619 | 17 | ||||||||
| GOLFZON Co. Ltd. | 418 | 17 | ||||||||
| POSCO Chemical Co. Ltd. | 357 | 16 | ||||||||
| COSMAX NBT Inc. | 3,541 | 16 | ||||||||
| Dongwon Industries Co. Ltd. | 100 | 16 | ||||||||
| SK Gas Ltd. | 252 | 16 | ||||||||
| * | Asiana Airlines Inc. | 4,657 | 16 | |||||||
| Shinsegae International Inc. | 106 | 16 | ||||||||
| DongKook Pharmaceutical Co. Ltd. | 225 | 16 | ||||||||
| Cosmax BTI Inc | 1,637 | 16 | ||||||||
| Com2uSCorp | 191 | 16 | ||||||||
| Silicon Works Co. Ltd. | 558 | 15 | ||||||||
| Jusung Engineering Co. Ltd. | 3,039 | 15 | ||||||||
| Cosmax Inc. | 247 | 15 | ||||||||
| * | Aprogen pharmaceuticals Inc. | 12,249 | 15 | |||||||
| Samyang Holdings Corp. | 378 | 15 | ||||||||
| YG Entertainment Inc. | 616 | 15 | ||||||||
| Ahnlab Inc. | 342 | 15 | ||||||||
| Young Poong Corp. | 31 | 15 | ||||||||
| * | SM Entertainment Co. Ltd. | 641 | 15 | |||||||
| * | COSON Co. Ltd. | 3,236 | 15 | |||||||
| KCC Corp. | 110 | 15 | ||||||||
| Toptec Co. Ltd. | 1,853 | 15 | ||||||||
| Hyundai Elevator Co. Ltd. | 329 | 15 | ||||||||
| * | Oscotec Inc. | 862 | 15 | |||||||
| * | Homecast Co. Ltd. | 4,311 | 15 | |||||||
| L&F Co. Ltd. | 807 | 15 | ||||||||
| ST Pharm Co. Ltd. | 603 | 15 | ||||||||
| Daea TI Co. Ltd. | 4,255 | 14 | ||||||||
| * | Coreana Cosmetics Co. Ltd. | 4,004 | 14 | |||||||
| Kolon Industries Inc. | 506 | 14 | ||||||||
| SKCKOLONPI Inc. | 497 | 14 | ||||||||
| Namyang Dairy Products Co. Ltd. | 45 | 14 | ||||||||
| LG Household & Health Care Ltd. Preference Shares | 23 | 14 | ||||||||
| Hansol Paper Co. Ltd. | 1,268 | 14 |
39
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Kolmar Korea Holdings Co. Ltd. | 763 | 14 | ||||||||
| Sungwoo Hitech Co. Ltd. | 5,271 | 13 | ||||||||
| ICD Co. Ltd. | 931 | 13 | ||||||||
| Maeil Dairies Co. Ltd. | 192 | 13 | ||||||||
| INTOPS Co. Ltd. | 1,295 | 13 | ||||||||
| * | KH Vatec Co. Ltd. | 759 | 13 | |||||||
| * | Telcon RF Pharmaceutical Inc. | 3,343 | 13 | |||||||
| KC Co. Ltd. | 1,095 | 13 | ||||||||
| Hyosung Chemical Corp. | 146 | 13 | ||||||||
| Samyang Corp. | 405 | 13 | ||||||||
| Youlchon Chemical Co. Ltd. | 1,220 | 12 | ||||||||
| TES Co. Ltd. | 687 | 12 | ||||||||
| * | Peptron Inc. | 949 | 12 | |||||||
| * | Insun ENT Co. Ltd. | 2,089 | 12 | |||||||
| Huons Global Co. Ltd. | 507 | 12 | ||||||||
| * | CJ Logistics Corp. | 108 | 12 | |||||||
| * | CMG Pharmaceutical Co. Ltd. | 3,943 | 12 | |||||||
| Kolmar Korea Co. Ltd. | 347 | 12 | ||||||||
| Huons Co. Ltd. | 315 | 12 | ||||||||
| * | Leaders Cosmetics Co. Ltd. | 3,390 | 11 | |||||||
| Sangsangin Co. Ltd. | 1,742 | 11 | ||||||||
| KC Tech Co. Ltd. | 745 | 11 | ||||||||
| Hanil Cement Co. Ltd. | 187 | 11 | ||||||||
| Hanjin Transportation Co. Ltd. | 434 | 11 | ||||||||
| Hanwha General Insurance Co. Ltd. | 6,091 | 11 | ||||||||
| Tongyang Inc. | 9,624 | 11 | ||||||||
| BGF retail Co. Ltd. | 88 | 11 | ||||||||
| Eugene Investment & Securities Co. Ltd. | 6,615 | 11 | ||||||||
| Daishin Securities Co. Ltd. | 1,382 | 11 | ||||||||
| * | Enzychem Lifesciences Corp. | 225 | 11 | |||||||
| * | Neowiz | 774 | 11 | |||||||
| * | Interflex Co. Ltd. | 1,048 | 11 | |||||||
| Vieworks Co. Ltd. | 424 | 11 | ||||||||
| * | Genexine Co. Ltd. | 211 | 11 | |||||||
| Dongjin Semichem Co. Ltd. | 839 | 11 | ||||||||
| * | Naturecell Co. Ltd. | 1,694 | 10 | |||||||
| Meritz Fire & Marine Insurance Co. Ltd. | 835 | 10 | ||||||||
| Korean Reinsurance Co. | 1,499 | 10 | ||||||||
| i-SENS Inc. | 589 | 10 | ||||||||
| Hyundai Construction Equipment Co. Ltd. | 572 | 10 | ||||||||
| Kumho Petrochemical Co. Ltd. | 196 | 10 | ||||||||
| * | Inscobee Inc. | 3,923 | 9 | |||||||
| * | Lumens Co. Ltd. | 5,378 | 9 | |||||||
| Daeduck Electronics Co. | 1,156 | 9 | ||||||||
| * | Hansol Technics Co. Ltd. | 1,554 | 9 | |||||||
| Cuckoo Homesys Co. Ltd. | 288 | 9 | ||||||||
| Chongkundang Holdings Corp. | 97 | 9 | ||||||||
| LOTTE Fine Chemical Co. Ltd. | 311 | 9 | ||||||||
| OCI Co. Ltd. | 207 | 8 | ||||||||
| * | Hugel Inc. | 27 | 8 | |||||||
| SK Materials Co. Ltd. | 68 | 8 | ||||||||
| LG Chem Ltd. Preference Shares | 52 | 8 | ||||||||
| * | Anterogen Co. Ltd. | 291 | 8 | |||||||
| * | Feelux Co. Ltd. | 1,807 | 8 | |||||||
| Foosung Co. Ltd. | 1,294 | 8 | ||||||||
| * | Ananti Inc. | 1,359 | 8 | |||||||
| Seegene Inc. | 251 | 8 | ||||||||
| * | ABLBio Inc. | 516 | 8 | |||||||
| Youngone Corp. | 290 | 8 | ||||||||
| * | Lotte Tour Development Co. Ltd. | 881 | 8 | |||||||
| * | Lutronic Corp. | 1,359 | 8 | |||||||
| * | Hyosung Heavy Industries Corp. | 457 | 7 | |||||||
| Byucksan Corp. | 5,036 | 7 | ||||||||
| * | Jenax Inc. | 1,050 | 6 | |||||||
| Dae Hwa Pharmaceutical Co. Ltd. | 783 | 6 | ||||||||
| Innocean Worldwide Inc. | 112 | 6 | ||||||||
| Songwon Industrial Co. Ltd. | 652 | 6 | ||||||||
| KTB Investment & Securities Co. Ltd. | 3,521 | 6 | ||||||||
| * | Eutilex Co. Ltd. | 140 | 6 | |||||||
| * | GNCO Co. Ltd. | 5,594 | 6 | |||||||
| * | Vidente Co. Ltd. | 1,044 | 6 | |||||||
| Lock&Lock Co. Ltd. | 549 | 5 | ||||||||
| KIWOOM Securities Co. Ltd. | 98 | 5 | ||||||||
| * | Webzen Inc. | 432 | 5 | |||||||
| LS Industrial Systems Co. Ltd. | 143 | 5 | ||||||||
| Taeyoung Engineering & Construction Co. Ltd. | 477 | 5 | ||||||||
| * | Hyosung Advanced | |||||||||
| Materials Corp. | 74 | 5 | ||||||||
| * | Medipost Co. Ltd. | 191 | 4 | |||||||
| Green Cross Holdings Corp. | 304 | 4 | ||||||||
| Sam Chun Dang Pharm Co. Ltd. | 130 | 4 | ||||||||
| * | Pharmicell Co. Ltd. | 671 | 4 | |||||||
| * | Osstem Implant Co. Ltd. | 154 | 4 | |||||||
| * | Binex Co. Ltd. | 705 | 4 | |||||||
| InBody Co. Ltd. | 250 | 4 | ||||||||
| Dong-A ST Co. Ltd. | 55 | 4 | ||||||||
| Taekwang Industrial Co. Ltd. | 6 | 4 | ||||||||
| Woongjin Thinkbig Co. Ltd. | 1,970 | 4 | ||||||||
| Halla Holdings Corp. | 135 | 4 | ||||||||
| * | Amicogen Inc. | 213 | 4 | |||||||
| * | Yuyang DNU Co. Ltd. | 2,639 | 4 |
40
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| * | LegoChem Biosciences Inc. | 101 | 4 | |||||||
| * | Esmo Corp. | 3,938 | 4 | |||||||
| * | Gamevil Inc. | 207 | 4 | |||||||
| * | CrystalGenomics Inc. | 405 | 4 | |||||||
| * | Cafe24 Corp. | 127 | 4 | |||||||
| Hyundai Greenfood Co. Ltd. | 509 | 4 | ||||||||
| Daekyo Co. Ltd. | 867 | 4 | ||||||||
| Hancom Inc. | 421 | 4 | ||||||||
| Sebang Global Battery Co. Ltd. | 134 | 3 | ||||||||
| SL Corp. | 274 | 3 | ||||||||
| *,§ | Cellumed Co. Ltd. | 685 | 3 | |||||||
| Daesang Corp. | 202 | 3 | ||||||||
| Bukwang Pharmaceutical Co. Ltd. | 308 | 3 | ||||||||
| Dentium Co. Ltd. | 91 | 3 | ||||||||
| GS Home Shopping Inc. | 31 | 3 | ||||||||
| Hyundai Home Shopping Network Corp. | 52 | 3 | ||||||||
| * | NKMax Co. Ltd. | 397 | 3 | |||||||
| Wemade Co. Ltd. | 118 | 3 | ||||||||
| Handsome Co. Ltd. | 146 | 3 | ||||||||
| CJ CGV Co. Ltd. | 146 | 3 | ||||||||
| Youngone Holdings Co. Ltd. | 84 | 3 | ||||||||
| Daewoong Pharmaceutical Co. Ltd. | 32 | 3 | ||||||||
| Hansae Co. Ltd. | 229 | 3 | ||||||||
| * | iNtRON Biotechnology Inc. | 283 | 3 | |||||||
| LF Corp. | 230 | 2 | ||||||||
| * | Stcube | 278 | 2 | |||||||
| * | KCC Glass Corp. | 103 | 2 | |||||||
| AK Holdings Inc. | 111 | 2 | ||||||||
| * | Agabang&Company | 560 | 2 | |||||||
| * | Ssangyong Motor Co. | 912 | 1 | |||||||
| Humedix Co. Ltd. | 87 | 1 | ||||||||
| * | Studio Dragon Corp. | 21 | 1 | |||||||
| Namhae Chemical Corp. | 198 | 1 | ||||||||
| Hanil Holdings Co. Ltd. | 38 | 1 | ||||||||
| Hyundai Livart Furniture Co. Ltd. | 55 | — | ||||||||
| 21,745 | ||||||||||
| Spain (1.6%) | ||||||||||
| Banco Santander SA (XMAD) | 619,784 | 2,291 | ||||||||
| Industria de Diseno Textil SA | 42,493 | 1,326 | ||||||||
| Banco Bilbao Vizcaya Argentaria SA | 258,379 | 1,238 | ||||||||
| Amadeus IT Group SA | 16,073 | 1,139 | ||||||||
| Telefonica SA | 171,943 | 1,023 | ||||||||
| 1 | Cellnex Telecom SA | 13,016 | 635 | |||||||
| CaixaBank SA | 158,921 | 409 | ||||||||
| 1 | Aena SME SA | 2,423 | 390 | |||||||
| Enagas SA | 13,806 | 358 | ||||||||
| Grifols SA Preference Shares | 13,719 | 298 | ||||||||
| Banco de Sabadell SA | 312,292 | 274 | ||||||||
| Bankinter SA | 45,479 | 269 | ||||||||
| Grifols SA | 8,294 | 267 | ||||||||
| Merlin Properties Socimi SA | 18,304 | 236 | ||||||||
| Bankia SA | 94,925 | 151 | ||||||||
| Bolsas y Mercados Espanoles SHMSF SA | 2,202 | 84 | ||||||||
| Viscofan SA | 911 | 49 | ||||||||
| Inmobiliaria Colonial Socimi SA | 3,756 | 48 | ||||||||
| * | Masmovil Ibercom SA | 2,383 | 47 | |||||||
| Faes Farma SA | 8,300 | 40 | ||||||||
| Banco Santander SA (XMEX) | 9,806 | 35 | ||||||||
| Mapfre SA | 13,921 | 31 | ||||||||
| Corp Financiera Alba SA | 679 | 30 | ||||||||
| Acerinox SA | 3,193 | 30 | ||||||||
| Prosegur Cia de Seguridad SA | 6,488 | 24 | ||||||||
| Zardoya Otis SA | 3,083 | 23 | ||||||||
| Neinor Homes SA | 1,895 | 22 | ||||||||
| Cia de Distribucion Integral Logista Holdings SA | 1,020 | 21 | ||||||||
| 1 | Unicaja Banco SA | 20,814 | 19 | |||||||
| * | Almirall SA | 1,397 | 18 | |||||||
| 1 | Prosegur Cash SA | 12,332 | 18 | |||||||
| * | Fluidra SA | 1,229 | 17 | |||||||
| Lar Espana Real Estate Socimi SA | 2,012 | 14 | ||||||||
| * | Pharma Mar SA | 3,177 | 14 | |||||||
| * | Sacyr SA | 3,614 | 10 | |||||||
| 1 | Metrovacesa SA | 937 | 9 | |||||||
| 1 | Euskaltel SA | 978 | 9 | |||||||
| * | Fomento de Construcciones y Contratas SA | 641 | 8 | |||||||
| Construcciones y Auxiliar de Ferrocarriles SA | 129 | 6 | ||||||||
| * | Promotora de Informaciones SA | 3,532 | 5 | |||||||
| 1 | Gestamp Automocion SA | 1,513 | 5 | |||||||
| Ence Energia y Celulosa SA | 1,476 | 5 | ||||||||
| 10,945 | ||||||||||
| Sweden (2.3%) | ||||||||||
| Atlas Copco AB Class A | 33,457 | 1,193 | ||||||||
| Telefonaktiebolaget LM Ericsson Class B | 125,312 | 1,005 | ||||||||
| Volvo AB Class B | 57,730 | 906 | ||||||||
| Assa Abloy AB | 37,960 | 854 | ||||||||
| Essity AB Class B | 23,849 | 719 | ||||||||
41
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Hennes & Mauritz AB | ||||||||||
| Class B | 39,499 | 717 | ||||||||
| Swedbank AB Class A | 41,673 | 633 | ||||||||
| Skandinaviska Enskilda | ||||||||||
| Banken AB Class A | 59,823 | 573 | ||||||||
| Svenska Handelsbanken | ||||||||||
| AB Class A | 53,626 | 542 | ||||||||
| Investor AB Class A | 10,024 | 501 | ||||||||
| Industrivarden AB Class A | 21,216 | 494 | ||||||||
| Investor AB Class B | 9,616 | 482 | ||||||||
| Skanska AB Class B | 21,373 | 471 | ||||||||
| SKF AB | 23,928 | 423 | ||||||||
| Tele2 AB | 27,768 | 404 | ||||||||
| Telia Co. AB | 99,406 | 394 | ||||||||
| Svenska Cellulosa AB SCA | ||||||||||
| Class B | 40,216 | 386 | ||||||||
| Castellum AB | 16,088 | 371 | ||||||||
| * | Boliden AB | 17,060 | 358 | |||||||
| * | Kinnevik AB | 16,175 | 329 | |||||||
| Trelleborg AB Class B | 19,541 | 305 | ||||||||
| Securitas AB Class B | 21,824 | 296 | ||||||||
| Electrolux AB Class B | 14,172 | 288 | ||||||||
| Epiroc AB Class A | 24,308 | 281 | ||||||||
| * | Swedish Orphan Biovitrum | |||||||||
| AB | 12,904 | 222 | ||||||||
| Elekta AB Class B | 19,761 | 210 | ||||||||
| Atlas Copco AB | 5,039 | 156 | ||||||||
| Fabege AB | 6,734 | 111 | ||||||||
| Getinge AB | 6,338 | 106 | ||||||||
| Nibe Industrier AB | 5,626 | 92 | ||||||||
| Epiroc AB Class B | 6,302 | 71 | ||||||||
| AAK AB | 3,992 | 69 | ||||||||
| Nordic Entertainment | ||||||||||
| Group AB Class B | 2,117 | 64 | ||||||||
| 1 | Dometic Group AB | 7,267 | 62 | |||||||
| Pandox AB Class B | 2,924 | 55 | ||||||||
| Kungsleden AB | 5,167 | 53 | ||||||||
| Holmen AB | 1,851 | 52 | ||||||||
| Wihlborgs Fastigheter AB | 2,704 | 52 | ||||||||
| ICA Gruppen AB | 1,361 | 51 | ||||||||
| Loomis AB Class B | 1,400 | 49 | ||||||||
| BillerudKorsnas AB | 3,952 | 48 | ||||||||
| NCC AB Class B | 2,731 | 48 | ||||||||
| Husqvarna AB | 6,867 | 46 | ||||||||
| JM AB | 1,606 | 44 | ||||||||
| 1 | Thule Group AB | 1,949 | 43 | |||||||
| SSAB AB Class B | 14,204 | 41 | ||||||||
| Axfood AB | 2,093 | 39 | ||||||||
| 1 | Bravida Holding AB | 3,873 | 35 | |||||||
| Wallenstam AB | 2,737 | 34 | ||||||||
| Hexpol AB | 4,265 | 32 | ||||||||
| * | Avanza Bank Holding AB | 3,189 | 32 | |||||||
| Vitrolife AB | 1,844 | 31 | ||||||||
| Intrum AB | 1,213 | 30 | ||||||||
| Beijer Ref AB | 1,086 | 30 | ||||||||
| Hufvudstaden AB Class A | 1,589 | 29 | ||||||||
| * | AddTech AB | 945 | 27 | |||||||
| Mycronic AB | 1,887 | 27 | ||||||||
| Peab AB Class B | 2,389 | 24 | ||||||||
| Investment AB Latour | 1,517 | 24 | ||||||||
| Nobia AB | 3,638 | 24 | ||||||||
| * | Sectra AB Class B | 631 | 23 | |||||||
| Klovern AB | 9,927 | 23 | ||||||||
| * | Nyfosa AB | 2,616 | 21 | |||||||
| * | Modern Times Group MTG AB Class B | 2,266 | 20 | |||||||
| Lindab International AB | 1,607 | 19 | ||||||||
| Bure Equity AB | 985 | 19 | ||||||||
| 1 | Scandic Hotels Group AB | 1,928 | 18 | |||||||
| Bonava AB | 2,184 | 17 | ||||||||
| Bilia AB | 1,704 | 16 | ||||||||
| Nolato AB Class B | 282 | 15 | ||||||||
| Svenska Handelsbanken AB | 1,415 | 15 | ||||||||
| Cloetta AB | 4,552 | 14 | ||||||||
| * | Mekonomen AB | 1,764 | 14 | |||||||
| * | Collector AB | 4,677 | 13 | |||||||
| Concentric AB | 909 | 13 | ||||||||
| Ratos AB | 4,064 | 13 | ||||||||
| Catena AB | 372 | 12 | ||||||||
| Klovern AB Preference Shares | 279 | 10 | ||||||||
| Clas Ohlson AB | 967 | 10 | ||||||||
| * | Adapteo Oyj | 805 | 9 | |||||||
| Arjo AB | 1,525 | 8 | ||||||||
| * | SAS AB | 6,747 | 7 | |||||||
| Munters Group AB | 1,379 | 6 | ||||||||
| 1 | Attendo AB | 1,249 | 6 | |||||||
| 1 | Resurs Holding AB | 1,152 | 6 | |||||||
| * | Samhallsbyggnadsbolaget i Norden AB | 1,467 | 4 | |||||||
| * | Hansa Biopharma AB | 352 | 3 | |||||||
| SkiStar AB | 284 | 3 | ||||||||
| 15,445 | ||||||||||
| Switzerland (6.1%) | ||||||||||
| Nestle SA | 111,703 | 11,495 | ||||||||
| Roche Holding AG | 26,683 | 8,580 | ||||||||
| Zurich Insurance Group AG | 5,337 | 2,067 | ||||||||
| Cie Financiere Richemont SA | 19,865 | 1,362 | ||||||||
| UBS Group AG | 117,560 | 1,295 | ||||||||
| Givaudan SA | 376 | 1,171 | ||||||||
| Lonza Group AG | 2,926 | 1,168 | ||||||||
| * | Alcon Inc. | 16,005 | 979 | |||||||
| Swiss Re AG | 10,109 | 962 | ||||||||
| Credit Suisse Group AG | 83,670 | 940 | ||||||||
| Geberit AG | 1,565 | 781 | ||||||||
| Swiss Life Holding AG | 1,539 | 707 | ||||||||
42
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Partners Group Holding AG | 743 | 645 | ||||||||
| Sonova Holding AG | 2,680 | 640 | ||||||||
| Swiss Prime Site AG | 4,475 | 540 | ||||||||
| Straumann Holding AG | 568 | 534 | ||||||||
| Swisscom AG | 967 | 516 | ||||||||
| Schindler Holding AG | 2,117 | 475 | ||||||||
| Adecco Group AG | 8,654 | 463 | ||||||||
| Julius Baer Group Ltd. | 10,316 | 434 | ||||||||
| Baloise Holding AG | 2,665 | 431 | ||||||||
| Vifor Pharma AG | 2,425 | 407 | ||||||||
| Temenos AG | 2,762 | 395 | ||||||||
| Kuehne & Nagel International AG | 2,630 | 385 | ||||||||
| Chocoladefabriken Lindt & Spruengli AG | 47 | 368 | ||||||||
| Cembra Money Bank AG | 2,988 | 336 | ||||||||
| Roche Holding AG (Bearer) | 1,040 | 330 | ||||||||
| Logitech International SA | 8,301 | 322 | ||||||||
| 1 | Galenica AG | 4,504 | 305 | |||||||
| Clariant AG | 14,277 | 303 | ||||||||
| Georg Fischer AG | 346 | 297 | ||||||||
| * | Helvetia Holding AG | 2,188 | 292 | |||||||
| Flughafen Zurich AG | 1,677 | 254 | ||||||||
| 1 | Sunrise Communications Group AG | 3,016 | 245 | |||||||
| Mobimo Holding AG | 811 | 244 | ||||||||
| Dufry AG | 2,629 | 193 | ||||||||
| Barry Callebaut AG | 77 | 159 | ||||||||
| * | ams AG | 4,012 | 139 | |||||||
| Allreal Holding AG | 433 | 93 | ||||||||
| PSP Swiss Property AG | 596 | 88 | ||||||||
| Chocoladefabriken Lindt & Spruengli AG (Registered) | 1 | 87 | ||||||||
| 1 | VAT Group AG | 640 | 87 | |||||||
| Belimo Holding AG | 10 | 65 | ||||||||
| SIG Combibloc Group AG | 4,370 | 65 | ||||||||
| Tecan Group AG | 216 | 60 | ||||||||
| Schindler Holding AG (Registered) | 272 | 59 | ||||||||
| Banque Cantonale Vaudoise | 68 | 55 | ||||||||
| * | Idorsia Ltd. | 1,727 | 46 | |||||||
| Vontobel Holding AG | 682 | 45 | ||||||||
| Bucher Industries AG | 144 | 45 | ||||||||
| Landis&Gyr Group AG | 446 | 37 | ||||||||
| Forbo Holding AG | 24 | 35 | ||||||||
| Siegfried Holding AG | 79 | 34 | ||||||||
| Valiant Holding AG | 342 | 34 | ||||||||
| dormakaba Holding AG | 56 | 33 | ||||||||
| Emmi AG | 38 | 33 | ||||||||
| SFS Group AG | 377 | 31 | ||||||||
| Conzzeta AG | 28 | 29 | ||||||||
| * | Aryzta AG | 31,013 | 27 | |||||||
| Daetwyler Holding AG | 164 | 26 | ||||||||
| Schweiter Technologies AG | 21 | 25 | ||||||||
| Valora Holding AG | 88 | 22 | ||||||||
| Inficon Holding AG | 30 | 21 | ||||||||
| Bachem Holding AG | 118 | 20 | ||||||||
| HBM Healthcare Investments AG | 83 | 19 | ||||||||
| Intershop Holding AG | 28 | 19 | ||||||||
| Burckhardt Compression Holding AG | 79 | 19 | ||||||||
| Komax Holding AG | 96 | 18 | ||||||||
| Ypsomed Holding AG | 120 | 17 | ||||||||
| Kardex AG | 107 | 17 | ||||||||
| Zehnder Group AG | 334 | 16 | ||||||||
| VZ Holding AG | 43 | 15 | ||||||||
| LEM Holding SA | 11 | 14 | ||||||||
| Vetropack Holding AG | 5 | 13 | ||||||||
| DKSH Holding AG | 181 | 10 | ||||||||
| Berner Kantonalbank AG | 42 | 10 | ||||||||
| Interroll Holding AG | 5 | 9 | ||||||||
| Implenia AG | 164 | 8 | ||||||||
| Comet Holding AG | 53 | 7 | ||||||||
| * | GAM Holding AG | 1,791 | 6 | |||||||
| u-blox Holding AG | 59 | 5 | ||||||||
| St. Galler Kantonalbank AG | 10 | 5 | ||||||||
| * | COSMO Pharmaceuticals NV | 59 | 4 | |||||||
| Ascom Holding AG | 373 | 3 | ||||||||
| * | Meyer Burger Technology AG | 7,432 | 2 | |||||||
| 42,597 | ||||||||||
| Taiwan (4.3%) | ||||||||||
| Taiwan Semiconductor | ||||||||||
| Manufacturing Co. Ltd. | 913,174 | 9,415 | ||||||||
| Hon Hai Precision Industry Co. Ltd. | 423,400 | 1,105 | ||||||||
| MediaTek Inc. | 53,104 | 617 | ||||||||
| Formosa Plastics Corp. | 161,000 | 481 | ||||||||
| Chunghwa Telecom Co. Ltd. | 127,000 | 450 | ||||||||
| Nan Ya Plastics Corp. | 192,000 | 429 | ||||||||
| Largan Precision Co. Ltd. | 3,000 | 424 | ||||||||
| E.Sun Financial Holding Co. Ltd. | 433,108 | 413 | ||||||||
| Uni-President Enterprises Corp. | 164,000 | 393 | ||||||||
| Cathay Financial Holding Co. Ltd. | 272,052 | 356 | ||||||||
| Mega Financial Holding Co. Ltd. | 331,000 | 351 | ||||||||
| China Steel Corp. | 458,000 | 347 | ||||||||
| Delta Electronics Inc. | 76,000 | 345 | ||||||||
| ASE Technology Holding Co. Ltd. | 139,000 | 322 | ||||||||
| First Financial Holding Co. Ltd. | 393,200 | 306 | ||||||||
43
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Taiwan Cement Corp. | 217,497 | 300 | ||||||||
| Hua Nan Financial Holdings Co. Ltd. | 409,366 | 290 | ||||||||
| Taiwan Cooperative Financial Holding Co. Ltd. | 417,720 | 287 | ||||||||
| Quanta Computer Inc. | 131,000 | 264 | ||||||||
| Formosa Chemicals & Fibre Corp. | 92,000 | 247 | ||||||||
| Taiwan Mobile Co. Ltd. | 65,000 | 224 | ||||||||
| Hotai Motor Co. Ltd. | 11,000 | 223 | ||||||||
| Yuanta Financial Holding Co. Ltd. | 354,000 | 221 | ||||||||
| Taishin Financial Holding Co. Ltd. | 472,983 | 220 | ||||||||
| United Microelectronics Corp. | 395,000 | 197 | ||||||||
| Pou Chen Corp. | 171,000 | 190 | ||||||||
| Foxconn Technology Co. Ltd. | 94,000 | 182 | ||||||||
| Yageo Corp. | 14,000 | 181 | ||||||||
| WPG Holdings Ltd. | 141,680 | 180 | ||||||||
| Lite-On Technology Corp. | 125,000 | 178 | ||||||||
| President Chain Store Corp. | 18,000 | 176 | ||||||||
| Catcher Technology Co. Ltd. | 22,000 | 165 | ||||||||
| Powertech Technology Inc. | 49,000 | 160 | ||||||||
| Ruentex Development Co. Ltd. | 118,000 | 159 | ||||||||
| Shin Kong Financial Holding Co. Ltd. | 514,206 | 153 | ||||||||
| Bank of Kaohsiung Co. Ltd. | 470,291 | 152 | ||||||||
| Chang Hwa Commercial Bank Ltd. | 197,560 | 151 | ||||||||
| * | AGV Products Corp. | 610,000 | 148 | |||||||
| Asustek Computer Inc. | 22,000 | 147 | ||||||||
| Far EasTone Telecommunications Co. Ltd. | 65,000 | 141 | ||||||||
| Synnex Technology International Corp. | 109,000 | 134 | ||||||||
| China Development Financial Holding Corp. | 439,000 | 132 | ||||||||
| SinoPac Financial Holdings Co. Ltd. | 296,000 | 125 | ||||||||
| Win Semiconductors Corp. | 14,000 | 122 | ||||||||
| Novatek Microelectronics Corp. | 18,000 | 113 | ||||||||
| Innolux Corp. | 427,000 | 110 | ||||||||
| Walsin Technology Corp. | 16,000 | 109 | ||||||||
| AU Optronics Corp. | 351,000 | 109 | ||||||||
| Cheng Shin Rubber Industry Co. Ltd. | 84,000 | 108 | ||||||||
| * | China Life Insurance Co. Ltd. | 132,278 | 104 | |||||||
| Pegatron Corp. | 48,000 | 98 | ||||||||
| Realtek Semiconductor Corp. | 12,000 | 87 | ||||||||
| Accton Technology Corp. | 16,000 | 84 | ||||||||
| Infortrend Technology Inc. | 208,000 | 84 | ||||||||
| Compal Electronics Inc. | 130,000 | 78 | ||||||||
| Airtac International Group | 5,000 | 78 | ||||||||
| Zhen Ding Technology Holding Ltd. | 20,000 | 75 | ||||||||
| Formosan Rubber Group Inc. | 116,000 | 70 | ||||||||
| Unimicron Technology Corp. | 52,000 | 67 | ||||||||
| Silergy Corp. | 2,000 | 66 | ||||||||
| Globalwafers Co. Ltd. | 5,000 | 65 | ||||||||
| Tripod Technology Corp. | 17,000 | 61 | ||||||||
| Chroma ATE Inc. | 13,000 | 60 | ||||||||
| Macronix International | 57,000 | 60 | ||||||||
| Hiwin Technologies Corp. | 6,120 | 59 | ||||||||
| Asia Cement Corp. | 39,000 | 57 | ||||||||
| ITEQ Corp. | 12,000 | 56 | ||||||||
| Phison Electronics Corp. | 5,000 | 53 | ||||||||
| Compeq Manufacturing Co. Ltd. | 42,000 | 53 | ||||||||
| Chicony Electronics Co. Ltd. | 19,000 | 51 | ||||||||
| Genius Electronic Optical Co. Ltd. | 3,158 | 50 | ||||||||
| Sheng Yu Steel Co. Ltd. | 79,000 | 50 | ||||||||
| Senao International Co. Ltd. | 47,000 | 48 | ||||||||
| Giant Manufacturing Co. Ltd. | 9,000 | 48 | ||||||||
| Taiwan Fertilizer Co. Ltd. | 30,000 | 47 | ||||||||
| Eclat Textile Co. Ltd. | 4,000 | 47 | ||||||||
| Simplo Technology Co. Ltd. | 5,000 | 46 | ||||||||
| Sonix Technology Co. Ltd. | 41,000 | 46 | ||||||||
| Lingsen Precision Industries Ltd. | 129,000 | 45 | ||||||||
| Far Eastern International Bank | 117,000 | 45 | ||||||||
| Nanya Technology Corp. | 18,000 | 45 | ||||||||
| Sampo Corp. | 73,000 | 45 | ||||||||
| Tong Hsing Electronic Industries Ltd. | 9,000 | 44 | ||||||||
| Sino-American Silicon Products Inc. | 13,000 | 44 | ||||||||
| FSP Technology Inc. | 65,000 | 44 | ||||||||
| Taiwan Business Bank | 110,200 | 43 | ||||||||
| Parade Technologies Ltd. | 2,000 | 43 | ||||||||
| Vanguard International Semiconductor Corp. | 18,000 | 43 | ||||||||
| * | Microbio Co. Ltd. | 90,000 | 42 |
44
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Feng TAY Enterprise Co. Ltd. | 7,500 | 41 | ||||||||
| Inventec Corp. | 55,000 | 41 | ||||||||
| Wistron Corp. | 46,000 | 40 | ||||||||
| Taiwan High Speed Rail Corp. | 35,000 | 39 | ||||||||
| TA Chen Stainless Pipe | 39,000 | 39 | ||||||||
| Hsin Kuang Steel Co. Ltd. | 41,000 | 39 | ||||||||
| International Games System Co. Ltd. | 2,000 | 39 | ||||||||
| Elite Semiconductor Memory Technology Inc. | 35,000 | 39 | ||||||||
| King Yuan Electronics Co. Ltd. | 37,000 | 39 | ||||||||
| Elite Material Co. Ltd. | 10,000 | 39 | ||||||||
| China Metal Products | 41,000 | 39 | ||||||||
| TXC Corp. | 25,000 | 39 | ||||||||
| King’s Town Bank Co. Ltd. | 32,000 | 39 | ||||||||
| Taiwan Union Technology Corp. | 9,000 | 38 | ||||||||
| Formosa Taffeta Co. Ltd. | 35,000 | 38 | ||||||||
| Taichung Commercial Bank Co. Ltd. | 94,404 | 38 | ||||||||
| Radiant Opto-Electronics Corp. | 12,000 | 38 | ||||||||
| YC INOX Co. Ltd. | 45,000 | 38 | ||||||||
| Taiwan Cogeneration Corp. | 34,000 | 38 | ||||||||
| Winbond Electronics Corp. | 73,000 | 37 | ||||||||
| * | Tatung Co. Ltd. | 54,000 | 37 | |||||||
| Tung Ho Steel Enterprise Corp. | 50,000 | 37 | ||||||||
| Test Rite International Co. Ltd. | 55,000 | 36 | ||||||||
| FLEXium Interconnect Inc. | 10,000 | 36 | ||||||||
| Yieh Phui Enterprise Co. Ltd. | 122,300 | 36 | ||||||||
| Syncmold Enterprise Corp. | 13,000 | 36 | ||||||||
| Taiwan Surface Mounting Technology Corp. | 12,000 | 36 | ||||||||
| Wah Lee Industrial Corp. | 20,000 | 36 | ||||||||
| Wowprime Corp. | 16,000 | 36 | ||||||||
| FocalTech Systems Co. Ltd. | 36,000 | 36 | ||||||||
| Micro-Star International Co. Ltd. | 12,000 | 35 | ||||||||
| Acer Inc. | 64,000 | 34 | ||||||||
| * | Silicon Integrated Systems Corp. | 141,000 | 34 | |||||||
| Taiyen Biotech Co. Ltd. | 32,000 | 34 | ||||||||
| Standard Foods Corp. | 15,000 | 33 | ||||||||
| Jentech Precision Industrial Co. Ltd. | 5,000 | 33 | ||||||||
| Gloria Material Technology Corp. | 59,000 | 33 | ||||||||
| Nan Kang Rubber Tire Co. Ltd. | 23,000 | 32 | ||||||||
| D-Link Corp. | 78,000 | 32 | ||||||||
| Great Wall Enterprise Co. Ltd. | 24,250 | 32 | ||||||||
| Tyntek Corp. | 76,000 | 32 | ||||||||
| Test Research Inc. | 19,000 | 32 | ||||||||
| Supreme Electronics Co. Ltd. | 31,000 | 31 | ||||||||
| Poya International Co. Ltd. | 2,000 | 31 | ||||||||
| * | Concord Securities Co. Ltd. | 133,000 | 31 | |||||||
| Chung-Hsin Electric & Machinery Manufacturing Corp. | 36,000 | 31 | ||||||||
| ASPEED Technology Inc. | 1,000 | 31 | ||||||||
| Firich Enterprises Co. Ltd. | 30,000 | 30 | ||||||||
| United Integrated Services Co. Ltd. | 5,000 | 30 | ||||||||
| Flytech Technology Co. Ltd. | 12,000 | 29 | ||||||||
| Walsin Lihwa Corp. | 64,000 | 29 | ||||||||
| China Electric Manufacturing Corp. | 70,600 | 29 | ||||||||
| Hu Lane Associate Inc. | 11,000 | 29 | ||||||||
| Far Eastern Department Stores Ltd. | 36,000 | 29 | ||||||||
| Ichia Technologies Inc. | 61,000 | 29 | ||||||||
| Visual Photonics Epitaxy Co. Ltd. | 9,000 | 28 | ||||||||
| A-DATA Technology Co. Ltd. | 13,000 | 28 | ||||||||
| Unitech Printed Circuit Board Corp. | 32,000 | 28 | ||||||||
| Chilisin Electronics Corp. | 8,000 | 27 | ||||||||
| Asia Optical Co. Inc. | 10,000 | 27 | ||||||||
| Foxsemicon Integrated Technology Inc. | 5,000 | 27 | ||||||||
| Kinik Co. | 13,000 | 26 | ||||||||
| KEE TAI Properties Co. Ltd. | 71,000 | 26 | ||||||||
| * | HannsTouch Solution Inc. | 73,000 | 26 | |||||||
| Chunghwa Precision Test Tech Co. Ltd. | 1,000 | 26 | ||||||||
| * | Etron Technology Inc. | 111,000 | 26 | |||||||
| Sinbon Electronics Co. Ltd. | 6,000 | 25 | ||||||||
| Cheng Uei Precision Industry Co. Ltd. | 21,000 | 25 | ||||||||
| Eternal Materials Co. Ltd. | 28,000 | 25 | ||||||||
| Chipbond Technology Corp. | 13,000 | 25 | ||||||||
| ASMedia Technology Inc. | 1,000 | 25 | ||||||||
| ITE Technology Inc. | 17,000 | 25 | ||||||||
| Tong-Tai Machine & Tool | ||||||||||
| Co. Ltd. | 47,000 | 24 |
45
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000) | |||||||||
| Sunplus Technology Co Ltd. | 69,000 | 24 | ||||||||
| Faraday Technology Corp. Ltd. | 17,000 | 24 | ||||||||
| Formosa International Hotels Corp. | 5,000 | 24 | ||||||||
| * | PChome Online Inc. | 7,000 | 24 | |||||||
| YFY Inc. | 53,000 | 24 | ||||||||
| Merida Industry Co. Ltd. | 5,000 | 24 | ||||||||
| Sercomm Corp. | 10,000 | 24 | ||||||||
| E Ink Holdings Inc. | 24,000 | 24 | ||||||||
| Advanced International Multitech Co. Ltd. | 20,000 | 24 | ||||||||
| Voltronic Power Technology Corp. | 1,050 | 24 | ||||||||
| China Petrochemical Development Corp. | 88,200 | 23 | ||||||||
| Cyberlink Corp. | 6,000 | 23 | ||||||||
| momo.com Inc. | 2,000 | 23 | ||||||||
| Epistar Corp. | 25,000 | 23 | ||||||||
| International CSRC Investment Holdings Co. | 25,990 | 23 | ||||||||
| TCI Co. Ltd. | 3,297 | 23 | ||||||||
| King Slide Works Co. Ltd. | 2,000 | 23 | ||||||||
| Taiwan Paiho Ltd. | 10,000 | 23 | ||||||||
| Ruentex Industries Ltd. | 10,200 | 22 | ||||||||
| Chaun-Choung Technology Corp. | 3,000 | 22 | ||||||||
| * | Yeong Guan Energy Technology Group Co. Ltd. | 11,000 | 22 | |||||||
| Ho Tung Chemical Corp. | 85,000 | 22 | ||||||||
| Global Unichip Corp. | 3,000 | 22 | ||||||||
| Grape King Bio Ltd. | 3,000 | 21 | ||||||||
| Qisda Corp. | 35,000 | 21 | ||||||||
| * | Dynamic Electronics Co. Ltd. | 44,000 | 21 | |||||||
| Clevo Co. | 21,000 | 21 | ||||||||
| Global Mixed Mode Technology Inc. | 6,000 | 21 | ||||||||
| Dynapack International Technology Corp. | 11,000 | 21 | ||||||||
| Sporton International Inc. | 3,000 | 21 | ||||||||
| Egis Technology Inc. | 3,000 | 21 | ||||||||
| eMemory Technology Inc. | 2,000 | 20 | ||||||||
| Goldsun Building Materials Co. Ltd. | 48,000 | 20 | ||||||||
| Topco Scientific Co. Ltd. | 6,000 | 20 | ||||||||
| Pan-International Industrial Corp. | 32,000 | 20 | ||||||||
| Charoen Pokphand Enterprise | 10,000 | 20 | ||||||||
| Advanced Wireless Semiconductor Co. | 7,000 | 20 | ||||||||
| Hong Pu Real Estate Development Co. Ltd. | 26,000 | 20 | ||||||||
| Huaku Development Co. Ltd. | 7,000 | 20 | ||||||||
| * | PharmaEssentia Corp. | 6,000 | 20 | |||||||
| AcBel Polytech Inc. | 26,000 | 20 | ||||||||
| Zinwell Corp. | 35,000 | 20 | ||||||||
| Evergreen International Storage & Transport Corp. | 42,000 | 19 | ||||||||
| Jess-Link Products Co. Ltd. | 20,000 | 19 | ||||||||
| Advanced Ceramic X Corp. | 2,000 | 19 | ||||||||
| Lotes Co. Ltd. | 2,000 | 19 | ||||||||
| Lien Hwa Industrial Holdings Corp. | 15,250 | 19 | ||||||||
| TA-I Technology Co. Ltd. | 8,000 | 19 | ||||||||
| Career Technology MFG.Co. Ltd. | 18,150 | 19 | ||||||||
| Nan Ya Printed Circuit Board Corp. | 11,000 | 19 | ||||||||
| Sitronix Technology Corp. | 4,000 | 19 | ||||||||
| Sincere Navigation Corp. | 41,900 | 18 | ||||||||
| Taiflex Scientific Co. Ltd. | 12,000 | 18 | ||||||||
| Adlink Technology Inc. | 10,000 | 18 | ||||||||
| CyberTAN Technology Inc. | 38,000 | 18 | ||||||||
| ChipMOS Technologies Inc. | 19,000 | 18 | ||||||||
| Merry Electronics Co. Ltd. | 4,000 | 18 | ||||||||
| * | Phihong Technology Co. Ltd. | 68,000 | 18 | |||||||
| * | Unizyx Holding Corp. | 36,000 | 18 | |||||||
| Nien Hsing Textile Co. Ltd. | 27,000 | 18 | ||||||||
| Elite Advanced Laser Corp. | 8,000 | 18 | ||||||||
| Weltrend Semiconductor | 25,000 | 18 | ||||||||
| Pixart Imaging Inc. | 3,000 | 18 | ||||||||
| Shin Zu Shing Co. Ltd. | 4,000 | 18 | ||||||||
| Taiwan PCB Techvest Co. Ltd. | 17,000 | 18 | ||||||||
| * | Gigastorage Corp. | 45,000 | 18 | |||||||
| * | Federal Corp. | 47,000 | 18 | |||||||
| * | TPK Holding Co. Ltd. | 12,000 | 17 | |||||||
| * | Unity Opto Technology Co. Ltd. | 90,000 | 17 | |||||||
| Center Laboratories Inc. | 10,299 | 17 | ||||||||
| WUS Printed Circuit Co. Ltd. | 16,600 | 17 | ||||||||
| Yulon Finance Corp. | 5,000 | 17 | ||||||||
| SDI Corp. | 9,000 | 17 | ||||||||
| * | XinTec Inc. | 6,000 | 17 | |||||||
| * | Via Technologies Inc. | 18,000 | 17 | |||||||
| Asia Polymer Corp. | 36,000 | 16 | ||||||||
| Vivotek Inc. | 6,000 | 16 | ||||||||
| Huang Hsiang Construction Corp. | 15,000 | 16 | ||||||||
| U-Ming Marine Transport Corp. | 17,000 | 16 | ||||||||
| HannStar Display Corp. | 75,000 | 16 | ||||||||
| Posiflex Technology Inc. | 5,000 | 16 |
46
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Ta Ya Electric Wire & Cable | 48,000 | 16 | ||||||||
| USI Corp. | 40,000 | 16 | ||||||||
| Alpha Networks Inc. | 23,000 | 16 | ||||||||
| Soft-World International Corp. | 6,000 | 16 | ||||||||
| Global Brands Manufacture Ltd. | 34,000 | 16 | ||||||||
| Nien Made Enterprise Co. Ltd. | 2,000 | 16 | ||||||||
| China Steel Chemical Corp. | 4,000 | 15 | ||||||||
| Kinpo Electronics | 35,000 | 15 | ||||||||
| WT Microelectronics Co. Ltd. | 12,000 | 15 | ||||||||
| * | Taiwan Land Developmen Corp. | 63,000 | 15 | |||||||
| Globe Union Industrial Corp. | 28,000 | 15 | ||||||||
| China Airlines Ltd. | 56,000 | 15 | ||||||||
| IEI Integration Corp. | 10,000 | 15 | ||||||||
| * | Gemtek Technology Corp. | 20,000 | 15 | |||||||
| Lite-On Semiconductor Corp. | 11,000 | 15 | ||||||||
| Swancor Holding Co. Ltd. | 6,000 | 15 | ||||||||
| Kuo Toong International Co. Ltd. | 24,330 | 15 | ||||||||
| Eva Airways Corp. | 36,932 | 15 | ||||||||
| Taiwan TEA Corp. | 28,000 | 15 | ||||||||
| * | Asia Pacific Telecom Co. Ltd. | 56,779 | 14 | |||||||
| Namchow Holdings Co. Ltd. | 9,000 | 14 | ||||||||
| Li Peng Enterprise Co. Ltd. | 67,000 | 14 | ||||||||
| Prince Housing & Development Corp. | 40,000 | 14 | ||||||||
| China General Plastics Corp. | 22,000 | 14 | ||||||||
| Aten International Co. Ltd. | 5,000 | 14 | ||||||||
| Taiwan Glass Industry Corp. | 42,000 | 14 | ||||||||
| Run Long Construction Co. Ltd. | 7,000 | 14 | ||||||||
| Capital Securities Corp. | 42,000 | 14 | ||||||||
| China Man-Made Fiber Corp. | 56,000 | 13 | ||||||||
| Chung Hwa Pulp Corp. | 44,000 | 13 | ||||||||
| Teco Electric and Machinery Co. Ltd. | 15,000 | 13 | ||||||||
| Arcadyan Technology Corp. | 5,123 | 13 | ||||||||
| Rich Development Co. Ltd. | 43,000 | 13 | ||||||||
| Concraft Holding Co. Ltd. | 3,000 | 13 | ||||||||
| St. Shine Optical Co. Ltd. | 1,000 | 13 | ||||||||
| CHC Healthcare Group | 11,000 | 13 | ||||||||
| * | Gold Circuit Electronics Ltd. | 27,000 | 13 | |||||||
| Holy Stone Enterprise Co. Ltd. | 4,000 | 13 | ||||||||
| Kindom Development Co. Ltd. | 15,000 | 13 | ||||||||
| * | Motech Industries Inc. | 56,000 | 13 | |||||||
| * | Orient Semiconductor Electronics Ltd. | 30,000 | 12 | |||||||
| Darwin Precisions Corp. | 29,000 | 12 | ||||||||
| Bizlink Holding Inc. | 2,000 | 12 | ||||||||
| Lealea Enterprise Co. Ltd. | 42,000 | 12 | ||||||||
| Coretronic Corp. | 10,000 | 12 | ||||||||
| Radium Life Tech Co. Ltd. | 36,200 | 12 | ||||||||
| * | Shining Building Business Co. Ltd. | 39,000 | 12 | |||||||
| * | Gigasolar Materials Corp. | 3,000 | 12 | |||||||
| Machvision Inc. | 1,000 | 12 | ||||||||
| Taiwan Secom Co. Ltd. | 4,000 | 12 | ||||||||
| Chin-Poon Industrial Co. Ltd. | 12,000 | 12 | ||||||||
| Iron Force Industrial Co. Ltd. | 4,000 | 12 | ||||||||
| Topkey Corp. | 3,000 | 12 | ||||||||
| Johnson Health Tech Co. Ltd. | 5,000 | 11 | ||||||||
| IBF Financial Holdings Co. Ltd. | 30,300 | 11 | ||||||||
| Wei Chuan Foods Corp. | 16,000 | 11 | ||||||||
| * | OBI Pharma Inc. | 3,000 | 11 | |||||||
| Yulon Motor Co. Ltd. | 16,000 | 11 | ||||||||
| Makalot Industrial Co. Ltd. | 2,100 | 10 | ||||||||
| HTC Corp. | 9,000 | 10 | ||||||||
| Brogent Technologies Inc. | 2,100 | 10 | ||||||||
| Kinsus Interconnect Technology Corp. | 6,000 | 10 | ||||||||
| Lextar Electronics Corp. | 20,000 | 10 | ||||||||
| Li Cheng Enterprise Co. Ltd. | 8,252 | 10 | ||||||||
| Pan Jit International Inc. | 12,400 | 10 | ||||||||
| Cathay Real Estate Development Co. Ltd. | 14,000 | 10 | ||||||||
| Everlight Electronics Co. Ltd. | 9,000 | 9 | ||||||||
| BES Engineering Corp. | 39,000 | 9 | ||||||||
| Sanyang Motor Co. Ltd. | 13,000 | 9 | ||||||||
| Toung Loong Textile Manufacturing | 7,000 | 9 | ||||||||
| OptoTech Corp. | 12,000 | 9 | ||||||||
| Pharmally International Holding Co. Ltd. | 1,282 | 9 | ||||||||
| LandMark Optoelectronics Corp. | 1,000 | 9 | ||||||||
| * | ALI Corp. | 15,000 | 8 | |||||||
| Elan Microelectronics Corp. | 3,000 | 8 | ||||||||
| Mercuries & Associates Holding Ltd. | 11,000 | 8 | ||||||||
| * | CMC Magnetics Corp. | 30,114 | 8 | |||||||
| Yungtay Engineering Co. Ltd. | 4,000 | 8 |
47
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| Mitac Holdings Corp. | 6,900 | 8 | ||||||||
| Sunny Friend Environmental Technology Co. Ltd. | 1,000 | 8 | ||||||||
| Hota Industrial Manufacturing Co. Ltd. | 2,000 | 7 | ||||||||
| Cheng Loong Corp. | 9,000 | 7 | ||||||||
| Cub Elecparts Inc. | 1,049 | 7 | ||||||||
| Hung Sheng Construction Ltd. | 10,000 | 7 | ||||||||
| Gigabyte Technology Co. Ltd. | 4,000 | 7 | ||||||||
| * | Mercuries Life Insurance Co. Ltd. | 17,000 | 7 | |||||||
| * | United Renewable Energy Co. Ltd. | 28,287 | 6 | |||||||
| Tong Yang Industry Co. Ltd. | 5,000 | 6 | ||||||||
| Gourmet Master Co. Ltd. | 2,000 | 6 | ||||||||
| Taiwan Styrene Monomer | 10,000 | 6 | ||||||||
| Chlitina Holding Ltd. | 1,000 | 6 | ||||||||
| Lung Yen Life Service Corp. | 3,000 | 6 | ||||||||
| Quanta Storage Inc. | 6,000 | 6 | ||||||||
| Ginko International Co. Ltd. | 1,000 | 6 | ||||||||
| Taiwan Semiconductor Co. Ltd. | 4,000 | 6 | ||||||||
| L&K Engineering Co. Ltd. | 6,000 | 6 | ||||||||
| UPC Technology Corp. | 17,000 | 6 | ||||||||
| Longchen Paper & Packaging Co. Ltd. | 9,308 | 6 | ||||||||
| Wafer Works Corp. | 5,000 | 6 | ||||||||
| Asia Vital Components Co. Ltd. | 5,000 | 5 | ||||||||
| Wan Hai Lines Ltd. | 9,000 | 5 | ||||||||
| TaiDoc Technology Corp. | 1,000 | 5 | ||||||||
| Getac Technology Corp. | 3,000 | 5 | ||||||||
| Shinkong Synthetic Fibers Corp. | 12,000 | 5 | ||||||||
| Primax Electronics Ltd. | 3,000 | 5 | ||||||||
| Ability Enterprise Co. Ltd. | 10,000 | 5 | ||||||||
| Wistron NeWeb Corp. | 2,000 | 5 | ||||||||
| Sigurd Microelectronics Corp. | 4,000 | 4 | ||||||||
| * | Grand Pacific Petrochemical | 7,000 | 4 | |||||||
| * | Medigen Biotechnology Corp. | 2,000 | 4 | |||||||
| China Motor Corp. | 3,200 | 4 | ||||||||
| * | Roo Hsing Co. Ltd. | 11,000 | 4 | |||||||
| Oriental Union Chemical Corp. | 5,000 | 3 | ||||||||
| * | Ritek Corp. | 18,000 | 3 | |||||||
| * | Lotus Pharmaceutical Co Ltd. | 1,000 | 3 | |||||||
| Everlight Chemical Industrial Corp. | 4,000 | 2 | ||||||||
| * | Tung Thih Electronic Co. Ltd. | 1,000 | 2 | |||||||
| Casetek Holdings Ltd. | 1,000 | 1 | ||||||||
| * | Elitegroup Computer Systems Co. Ltd. | 3,000 | 1 | |||||||
| 29,267 | ||||||||||
| Thailand (0.8%) | ||||||||||
| CP ALL PCL (Foreign) | 257,900 | 544 | ||||||||
| Airports of Thailand PCL (Foreign) | 227,900 | 439 | ||||||||
| Siam Cement PCL (Foreign) | 39,900 | 397 | ||||||||
| Siam Commercial Bank PCL (Foreign) | 140,700 | 395 | ||||||||
| Kasikornbank PCL (Foreign) | 92,800 | 355 | ||||||||
| Home Product Center PCL | 591,900 | 242 | ||||||||
| Energy Absolute PCL | 181,300 | 229 | ||||||||
| Advanced Info Service PCL (Foreign) | 32,700 | 210 | ||||||||
| Bangkok Dusit Medica Services PCL | 249,300 | 177 | ||||||||
| Gulf Energy Development PCL | 27,000 | 144 | ||||||||
| Central Pattana PCL | 73,600 | 126 | ||||||||
| Krung Thai Bank PCL (Foreign) | 270,700 | 121 | ||||||||
| Kiatnakin Bank PCL | 54,900 | 109 | ||||||||
| Carabao Group PCL | 43,500 | 100 | ||||||||
| Sino-Thai Engineering & Construction PCL | 195,400 | 94 | ||||||||
| * | Intouch Holdings | 53,100 | 92 | |||||||
| PTT Global Chemical PCL | 68,000 | 90 | ||||||||
| Kasikornbank PCL | 19,700 | 75 | ||||||||
| BTS Group Holdings PCL | 194,800 | 68 | ||||||||
| Charoen Pokphand Foods PCL (Foreign) | 76,900 | 66 | ||||||||
| Tisco Financial Group PCL (Foreign) | 18,000 | 57 | ||||||||
| Digital Telecommunications Infrastructure Fund | 109,863 | 55 | ||||||||
| Intouch Holdings PCL (Foreign) | 31,378 | 54 | ||||||||
| Electricity Generating PCL (Foreign) | 5,900 | 52 | ||||||||
| Bangkok Bank PCL (Foreign) | 12,200 | 51 | ||||||||
| * | Advanced Info Service PCL (Local) | 7,800 | 50 | |||||||
| Bangkok Expressway & Metro PCL | 159,600 | 47 | ||||||||
| Global Power Synergy PCL | 22,192 | 45 | ||||||||
| Indorama Ventures PCL | 52,100 | 44 | ||||||||
48
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($000) | |||||||||
| TMB Bank PCL | 1,232,924 | 43 | ||||||||
| Thanachart Capital PCL | 23,000 | 39 | ||||||||
| Krungthai Card PCL (Foreign) | 28,600 | 36 | ||||||||
| Osotspa PCL | 26,800 | 36 | ||||||||
| Srisawad Corp. PCL | 14,300 | 31 | ||||||||
| Thai Union Frozen Products PCL (Foreign) | 60,700 | 30 | ||||||||
| Muangthai Capital PCL | 14,700 | 27 | ||||||||
| Bumrungrad Hospital PCL (Foreign) | 6,400 | 27 | ||||||||
| WHA Premium GrowthFreehold & Leasehold Real Estate Investment Trust | 50,400 | 26 | ||||||||
| WHA Corp. PCL | 271,500 | 24 | ||||||||
| B Grimm Power PCL | 16,700 | 24 | ||||||||
| * | BEC World PCL (Foreign) | 165,600 | 23 | |||||||
| Supalai PCL | 42,200 | 22 | ||||||||
| True Corp. PCL | 197,700 | 21 | ||||||||
| IRPC PCL (Foreign) | 295,700 | 21 | ||||||||
| Thaicom PCL | 229,500 | 21 | ||||||||
| Thai Vegetable Oil PCL | 23,000 | 20 | ||||||||
| Jasmine International PCL | 114,300 | 18 | ||||||||
| Asian Property Development PCL (Foreign) | 88,200 | 17 | ||||||||
| * | Krungthai Card PCL | 13,300 | 17 | |||||||
| Total Access Communication PCL (Foreign) | 13,200 | 16 | ||||||||
| Jasmine Broadband Internet Infrastructure Fund | 54,472 | 15 | ||||||||
| PTG Energy PCL | 29,400 | 13 | ||||||||
| Bangkok Airways PCL | 88,100 | 13 | ||||||||
| Esso Thailand PCL | 65,700 | 13 | ||||||||
| * | Bangkok Land PCL | 387,600 | 13 | |||||||
| * | AEON Thana Sinsap Thailand PCL | 2,800 | 13 | |||||||
| Central Plaza Hotel PCL | 21,400 | 12 | ||||||||
| Gfpt Pcl | 36,300 | 12 | ||||||||
| KCE Electronics PCL | 16,900 | 12 | ||||||||
| Major Cineplex Group PCL | 18,300 | 11 | ||||||||
| Vgi Pcl | 51,200 | 11 | ||||||||
| Delta Electronics Thailand PCL | 6,700 | 11 | ||||||||
| Intouch Holdings NVDR | 5,900 | 10 | ||||||||
| Thoresen Thai Agencies PCL | 113,700 | 10 | ||||||||
| BTS Rail Mass Transit Growth Infrastructure Fund | 35,600 | 10 | ||||||||
| Chularat Hospital PCL | 122,800 | 10 | ||||||||
| Hana Microelectronics PCL (Foreign) | 8,700 | 9 | ||||||||
| Gunkul Engineering PCL | 111,400 | 9 | ||||||||
| CK Power PCL | 71,400 | 9 | ||||||||
| Tipco Asphalt PCL | 13,700 | 8 | ||||||||
| * | Group Lease PCL | 70,900 | 7 | |||||||
| Plan B Media PCL | 39,700 | 7 | ||||||||
| TOA Paint Thailand PCL | 6,800 | 7 | ||||||||
| Star Petroleum Refining PCL | 23,600 | 6 | ||||||||
| Siam Global House PCL | 11,100 | 5 | ||||||||
| Super Energy Corp. PCL | 387,600 | 5 | ||||||||
| Sri Trang Agro-Industry PCL | 12,400 | 5 | ||||||||
| Thaifoods Group PCL | 41,800 | 5 | ||||||||
| Beauty Community PCL | 84,600 | 5 | ||||||||
| * | Thai Airways International PCL (Foreign) | 33,800 | 4 | |||||||
| Univentures PCL | 37,700 | 4 | ||||||||
| * | Precious Shipping PCL | 24,700 | 4 | |||||||
| Taokaenoi Food & Marketing PCL | 15,700 | 4 | ||||||||
| Unique Engineering & Construction PCL | 17,300 | 4 | ||||||||
| Bcpg Pcl | 6,000 | 3 | ||||||||
| * | U City PCL | 64,000 | 3 | |||||||
| Workpoint Entertainment PCL | 3,100 | 1 | ||||||||
| * | BTS Group Holdings PCL Warrants Exp. 12/31/2021 | 15,059 | — | |||||||
| * | Minor International PCL Warrants Exp. 12/31/2021 | 3,645 | — | |||||||
| 5,370 | ||||||||||
| Turkey (0.2%) | ||||||||||
| * | Tat Gida Sanayi AS | 204,435 | 208 | |||||||
| * | Logo Yazilim Sanayi Ve Ticaret AS | 9,946 | 121 | |||||||
| * | Akbank T.A.S. | 65,889 | 71 | |||||||
| * | Turkiye Garanti Bankasi AS | 43,772 | 67 | |||||||
| Tupras Turkiye Petrol Rafinerileri AS | 3,123 | 51 | ||||||||
| * | Yatas Yatak ve Yorgan Sanayi ve Ticaret AS | 34,815 | 43 | |||||||
| * | Gubre Fabrikalari TAS | 12,258 | 33 | |||||||
| * | Aksa Enerji Uretim AS Class B | 55,252 | 32 | |||||||
| Eregli Demir ve Celik Fabrikalari TAS | 23,491 | 31 | ||||||||
| * | Konya Cimento Sanayii AS | 675 | 26 | |||||||
| * | Koza Anadolu Metal Madencilik Isletmeleri AS | 14,046 | 26 | |||||||
49
| ESG International Stock ETF | ||||||||||
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($ 000 | ) | ||||||||
| *,1 | Mavi Giyim Sanayi Ve Ticaret AS | 2,923 | 25 | |||||||
| Alarko Holding AS | 27,754 | 25 | ||||||||
| Haci Omer Sabanci Holding AS (Bearer) | 17,735 | 24 | ||||||||
| Coca-Cola Icecek AS | 3,293 | 24 | ||||||||
| * | Zorlu Enerji Elektrik Uretim AS | 109,551 | 24 | |||||||
| * | Koza Altin Isletmeleri AS | 1,798 | 21 | |||||||
| * | Turk Hava Yollari AO | 10,282 | 19 | |||||||
| EGE Endustri VE Ticaret AS | 181 | 19 | ||||||||
| * | Petkim Petrokimya Holding AS | 32,626 | 19 | |||||||
| * | Sok Marketler Ticaret AS | 13,618 | 19 | |||||||
| * | Yapi ve Kredi Bankasi AS | 48,161 | 18 | |||||||
| Aksigorta AS | 17,334 | 18 | ||||||||
| * | Pegasus Hava Tasimaciligi AS | 1,931 | 17 | |||||||
| Aygaz AS | 8,618 | 16 | ||||||||
| * | Is Gayrimenkul Yatirim Ortakligi AS | 58,322 | 15 | |||||||
| Aksa Akrilik Kimya Sanayii AS | 11,264 | 14 | ||||||||
| * | Turkiye Is Bankasi AS | 15,178 | 14 | |||||||
| * | Turk Traktor ve Ziraat Makineleri AS | 1,370 | 13 | |||||||
| * | Brisa Bridgestone Sabanci Sanayi ve Ticaret AS | 7,642 | 11 | |||||||
| * | Bera Holding AS | 17,692 | 10 | |||||||
| *,1 | MLP Saglik Hizmetleri AS | 3,921 | 9 | |||||||
| AG Anadolu Grubu Holding AS | 3,534 | 9 | ||||||||
| * | Torunlar Gayrimenkul Yatirim Ortakligi AS | 22,142 | 9 | |||||||
| Ford Otomotiv Sanayi AS | 719 | 9 | ||||||||
| * | Sekerbank Turk AS | 50,455 | 9 | |||||||
| Dogan Sirketler Grubu Holding AS | 31,140 | 9 | ||||||||
| Tekfen Holding AS | 3,446 | 8 | ||||||||
| * | Turkiye Vakiflar Bankas TAO | 8,334 | 7 | |||||||
| Tofas Turk Otomobil Fabrikasi AS | 1,547 | 7 | ||||||||
| TAV Havalimanlari Holding AS | 1,847 | 6 | ||||||||
| * | Ulker Biskuvi Sanayi AS | 1,628 | 5 | |||||||
| Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class A | 11,830 | 5 | ||||||||
| Turkiye Sise ve Cam Fabrikalari AS | 5,701 | 5 | ||||||||
| * | Arcelik AS | 1,329 | 4 | |||||||
| Soda Sanayii AS | 3,606 | 3 | ||||||||
| 1,178 | ||||||||||
| United Arab Emirates (0.2%) | ||||||||||
| First Abu Dhabi Bank PJSC | 142,146 | 546 | ||||||||
| Emirates Telecommunications Group Co. PJSC | 57,904 | 248 | ||||||||
| Abu Dhabi Commercial Bank PJSC | 99,212 | 190 | ||||||||
| Aldar Properties PJSC | 124,597 | 71 | ||||||||
| * | Air Arabia PJSC | 150,314 | 57 | |||||||
| DP World plc | 3,013 | 47 | ||||||||
| Abu Dhabi Islamic Bank PJSC | 27,292 | 40 | ||||||||
| * | Eshraq Investments PJSC | 398,693 | 33 | |||||||
| * | RAK Properties PJSC | 147,004 | 17 | |||||||
| * | Dubai Financial Market PJSC | 62,719 | 15 | |||||||
| * | DAMAC Properties Dubai Co. PJSC | 79,395 | 14 | |||||||
| * | DXB Entertainments PJSC | 265,832 | 12 | |||||||
| Arabtec Holding PJSC | 40,224 | 8 | ||||||||
| 1,298 | ||||||||||
| United Kingdom (8.8%) | ||||||||||
| AstraZeneca plc | 50,501 | 4,432 | ||||||||
| GlaxoSmithKline plc | 186,745 | 3,768 | ||||||||
| Unilever plc | 40,795 | 2,193 | ||||||||
| Reckitt Benckiser Group plc | 24,277 | 1,794 | ||||||||
| Vodafone Group plc | 1,017,601 | 1,779 | ||||||||
| Lloyds Banking Group plc | 2,696,512 | 1,750 | ||||||||
| RELX plc | 72,303 | 1,749 | ||||||||
| Prudential plc | 100,150 | 1,665 | ||||||||
| National Grid plc | 124,226 | 1,566 | ||||||||
| Compass Group plc | 63,562 | 1,400 | ||||||||
| ^ | Barclays plc | 663,547 | 1,272 | |||||||
| Experian plc | 36,518 | 1,215 | ||||||||
| Tesco plc | 401,108 | 1,195 | ||||||||
| London Stock Exchange Group plc | 12,077 | 1,186 | ||||||||
| CRH plc | 29,999 | 1,018 | ||||||||
| Smith & Nephew plc | 37,977 | 852 | ||||||||
| Ferguson plc | 9,675 | 843 | ||||||||
| Legal & General Group plc | 231,260 | 784 | ||||||||
| Standard Chartered plc | 107,620 | 779 | ||||||||
| Aviva plc | 144,958 | 664 | ||||||||
| Ashtead Group plc | 21,138 | 663 | ||||||||
| SSE plc | 32,365 | 636 | ||||||||
| BT Group plc | 334,576 | 614 | ||||||||
| 3i Group plc | 42,216 | 556 | ||||||||
| Rentokil Initial plc | 88,240 | 552 | ||||||||
50
ESG International Stock ETF
| Market | ||||||||||
| Value• | ||||||||||
| Shares | ($000) | |||||||||
| Persimmon plc | 14,500 | 536 | ||||||||
| Informa plc | 60,166 | 533 | ||||||||
| WPP plc | 54,429 | 523 | ||||||||
| Sage Group plc | 58,421 | 518 | ||||||||
| Segro plc | 48,380 | 513 | ||||||||
| Next plc | 6,332 | 499 | ||||||||
| Halma plc | 18,740 | 471 | ||||||||
| Spirax-Sarco Engineering plc | 4,239 | 464 | ||||||||
| Barratt Developments plc | 47,009 | 464 | ||||||||
| Smiths Group plc | 22,698 | 452 | ||||||||
| Royal Bank of Scotland Group plc | 185,779 | 430 | ||||||||
| Mondi plc | 20,969 | 426 | ||||||||
| Rightmove plc | 52,905 | 424 | ||||||||
| Taylor Wimpey plc | 159,617 | 422 | ||||||||
| Associated British Foods plc | 14,352 | 419 | ||||||||
| Smurfit Kappa Group plc | 12,162 | 411 | ||||||||
| Standard Life Aberdeen plc | 113,540 | 407 | ||||||||
| Bunzl plc | 16,722 | 402 | ||||||||
| St. James’s Place plc | 29,971 | 397 | ||||||||
| Intermediate Capital Group plc | 19,067 | 394 | ||||||||
| Burberry G roup plc | 17,622 | 380 | ||||||||
| Berkeley Group Holdings plc | 6,132 | 378 | ||||||||
| Croda International plc | 6,379 | 377 | ||||||||
| RSA Insurance Group plc | 55,431 | 371 | ||||||||
| United U tilities Group plc | 30,541 | 371 | ||||||||
| DCC plc | 5,156 | 369 | ||||||||
| Admiral Group plc | 13,122 | 360 | ||||||||
| Severn Trent plc | 11,255 | 357 | ||||||||
| 1 | Auto Trader Group plc | 52,452 | 353 | |||||||
| Bellway plc | 7,154 | 346 | ||||||||
| Direct Line Insurance Group plc | 83,092 | 331 | ||||||||
| Wm Morrison Supermarkets p lc | 147,667 | 331 | ||||||||
| Coca-Cola HBC AG | 10,228 | 326 | ||||||||
| ITV plc | 213,006 | 324 | ||||||||
| Howden J oinery Group plc | 38,833 | 321 | ||||||||
| Johnson Matthey plc | 9,744 | 319 | ||||||||
| Kingfisher plc | 129,758 | 318 | ||||||||
| Phoenix Group Holdings plc | 34,873 | 313 | ||||||||
| Derwent London plc | 6,173 | 312 | ||||||||
| British Land Co. plc | 47,253 | 306 | ||||||||
| Pennon Group plc | 21,857 | 306 | ||||||||
| DS Smith plc | 73,192 | 299 |
| * | Ocado Group plc | 21,364 | 296 | |||||||
| Tate & Lyle plc | 31,328 | 286 | ||||||||
| Spectris plc | 7,884 | 278 | ||||||||
| Pearson plc | 37,726 | 274 | ||||||||
| HomeServe plc | 17,793 | 271 | ||||||||
| *,1 | Just Eat Takeaway (XLON) | 3,014 | 264 | |||||||
| Hargreaves Lansdown plc | 12,773 | 256 | ||||||||
| Investec plc | 46,231 | 237 | ||||||||
| Britvic plc | 21,162 | 234 | ||||||||
| J Sainsbury plc | 90,760 | 230 | ||||||||
| SSP Group plc | 34,741 | 230 | ||||||||
| Beazley plc | 32,812 | 227 | ||||||||
| Hiscox Ltd. | 13,792 | 220 | ||||||||
| Marks & Spencer Group plc | 104,910 | 216 | ||||||||
| * | M&G plc | 74,232 | 194 | |||||||
| Micro Focus International plc | 15,671 | 149 | ||||||||
| Polymetal International plc | 8,171 | 126 | ||||||||
| International Consolidated Airlines Group SA (London Shares) | 19,686 | 121 | ||||||||
| Hammerson plc | 41,357 | 112 | ||||||||
| *,1 | Network International Holdings plc | 15,627 | 107 | |||||||
| Antofagasta plc | 9,232 | 91 | ||||||||
| UNITE Group plc | 6,267 | 91 | ||||||||
| 1 | Sophos G roup plc | 11,846 | 88 | |||||||
| JD Sports Fashion plc | 9,086 | 87 | ||||||||
| 1 | Quilter plc | 43,860 | 83 | |||||||
| * | Virgin Money UK p lc | 41,102 | 82 | |||||||
| Greggs plc | 2,888 | 78 | ||||||||
| *,1 | Trainline plc | 12,073 | 74 | |||||||
| easyJet plc | 5,103 | 74 | ||||||||
| B&M European Value Retail SA | 16,430 | 71 | ||||||||
| Games Workshop Group plc | 850 | 70 | ||||||||
| Dechra Pharmaceuticals plc | 1,986 | 68 | ||||||||
| Electrocomponents plc | 8,550 | 67 | ||||||||
| 1 | Avast plc | 12,883 | 66 | |||||||
| Vistry Group plc | 3,793 | 63 | ||||||||
| Schroders plc | 1,669 | 62 | ||||||||
| 1 | ConvaTec Group plc | 22,997 | 61 | |||||||
| Grafton Group plc | 5,218 | 58 | ||||||||
| OneSavings Bank plc | 10,337 | 54 | ||||||||
| IWG plc | 11,629 | 53 | ||||||||
| § | NMC Health plc | 4,208 | 51 | |||||||
| Inchcape plc | 6,654 | 50 | ||||||||
| Genus plc | 1,184 | 48 | ||||||||
| Cineworld Group plc | 23,636 | 48 |
51
ESG International Stock ETF
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| 1 | Countryside Properties plc | 7,827 | 48 |
| Grainger plc | 12,196 | 47 | |
| IG Group Holdings plc | 5,319 | 46 | |
| Great Portland Estates plc | 4,278 | 46 | |
| Centamin plc | 27,118 | 45 | |
| Royal Mail plc | 21,313 | 45 | |
| WH Smith plc | 1,779 | 45 | |
| Savills plc | 3,179 | 45 | |
| Man Group PLC | 23,179 | 44 | |
| Pets at Home Group plc | 13,109 | 44 | |
| Spirent Communications plc | 15,704 | 42 | |
| TP ICAP plc | 8,767 | 41 | |
| Moneysupermarket.com Group plc | 10,205 | 41 | |
| Hikma Pharmaceuticals plc | 1,750 | 41 | |
| Assura plc | 41,973 | 40 | |
| Hays plc | 22,154 | 40 | |
| Cranswick plc | 917 | 39 | |
| UDG Healthcare plc | 4,303 | 39 | |
| Dunelm G roup plc | 2,729 | 39 | |
| * | Signature Aviation plc | 10,681 | 39 |
| Pagegroup plc | 7,381 | 39 | |
| Aggreko plc | 4,403 | 38 | |
| Redrow plc | 3,915 | 38 | |
| Safestore Holdings plc | 3,724 | 37 | |
| Victrex plc | 1,337 | 36 | |
| National E xpress Group plc | 6,527 | 36 | |
| Close Brothers Group plc | 2,138 | 36 | |
| Lancashire Holdings Ltd. | 3,804 | 36 | |
| Big Yellow Group plc | 2,525 | 35 | |
| Shaftesbury plc | 3,356 | 35 | |
| LondonMetric Property plc | 12,832 | 34 | |
| St. Modwen Properties plc | 5,519 | 34 | |
| Domino’s Pizza Group plc | 8,858 | 34 | |
| Bodycote plc | 3,408 | 34 | |
| Paragon Banking Group plc | 5,679 | 33 | |
| 1 | Ascential plc | 7,348 | 33 |
| Workspace Group plc | 2,234 | 33 | |
| 1 | John Laing Group plc | 7,379 | 32 |
| * | Firstgroup plc | 21,078 | 32 |
| * | Just Group plc | 33,962 | 32 |
| Polypipe Group plc | 4,577 | 32 | |
| Ashmore Group plc | 5,163 | 31 | |
| Jupiter Fund Management plc | 7,940 | 31 | |
| Dixons Carphone plc | 19,305 | 31 | |
| Capital & Counties Properties plc | 11,716 | 30 | |
| Essentra plc | 6,453 | 30 | |
| 1 | Ibstock plc | 8,512 | 30 |
| Redde Northgate plc | 9,423 | 30 | |
| *,1 | Wizz Air Holdings plc | 671 | 30 |
| Brewin Dolphin Holdings plc | 7,324 | 29 | |
| Softcat plc | 2,041 | 28 | |
| Computacenter plc | 1,309 | 28 | |
| Plus500 Ltd. | 2,245 | 28 | |
| Crest Nicholson Holdings plc | 4,638 | 27 | |
| Synthomer plc | 7,267 | 26 | |
| Marshalls plc | 2,809 | 26 | |
| Mediclinic International plc | 5,961 | 26 | |
| Renishaw plc | 553 | 25 | |
| Vesuvius plc | 4,493 | 25 | |
| Rathbone Brothers plc | 1,068 | 23 | |
| Daily Mail & General Trust plc | 2,396 | 23 | |
| Greencore Group plc | 8,217 | 22 | |
| Coats Group plc | 28,249 | 22 | |
| Provident Financial plc | 4,090 | 21 | |
| Drax Group plc | 6,144 | 21 | |
| Rhi Magnesita NV | 546 | 21 | |
| Go-Ahead Group plc | 813 | 21 | |
| AG Barr plc | 2,978 | 21 | |
| TBC Bank Group plc | 1,188 | 20 | |
| IntegraFin Holdings plc | 3,144 | 20 | |
| Telecom Plus plc | 1,118 | 19 | |
| Fresnillo plc | 2,428 | 19 | |
| KAZ Minerals plc | 3,492 | 19 | |
| Sanne Group plc | 2,498 | 18 | |
| Restaurant Group plc | 13,183 | 18 | |
| Petrofac Ltd. | 4,258 | 18 | |
| * | Frasers Group plc | 3,477 | 17 |
| Bank of Georgia Group plc | 771 | 17 | |
| Stagecoach Group plc | 9,115 | 15 | |
| 1 | Hastings Group Holdings plc | 7,203 | 15 |
| 1 | Airtel Africa plc | 15,891 | 13 |
| Elementis plc | 9,763 | 13 | |
| NewRiver REIT plc | 5,722 | 11 | |
| Hochschild Mining plc | 5,483 | 11 | |
| SIG plc | 11,882 | 10 | |
| Redefine International plc | 5,397 | 8 | |
| Ferrexpo plc | 4,560 | 8 | |
| 1 | McCarthy & Stone plc | 4,086 | 7 |
| *,1 | Aston Martin Lagonda Global Holdings plc | 1,440 | 6 |
| Stobart Group Ltd. | 6,172 | 6 | |
| TalkTalk Telecom Group plc | 4,266 | 6 | |
| Keller Group plc | 717 | 6 | |
| * | Metro Bank plc | 2,707 | 6 |
| Hyve Group plc | 5,794 | 6 | |
| * | Vectura Group plc | 4,791 | 5 |
| 1 | Equiniti Group plc | 2,016 | 5 |
| Mitie Group plc | 2,929 | 5 |
52
ESG International Stock ETF
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Galliford Try Holdings plc | 2,290 | 5 |
| 1 | Spire Healthcare Group plc | 2,910 | 4 |
| * | Sirius Minerals plc | 71,585 | 4 |
| International Personal Finance plc | 2,012 | 4 | |
| Dignity plc | 520 | 4 | |
| AA plc | 6,577 | 4 | |
| Halfords Group plc | 1,656 | 3 | |
| Superdry plc | 736 | 3 | |
| Card Factory plc | 2,673 | 3 | |
| *,1 | Funding Circle Holdings plc | 2,197 | 2 |
| * | AO World plc | 1,847 | 1 |
| 60,139 | |||
| Total Common Stocks | |||
| (Cost $694,338) | 680,148 | ||
| Temporary Cash Investments (1.4%) | |||
| Money Market Fund (1.4%) | |||
| 2,3 | Vanguard Market | ||
| Liquidity Fund, | |||
| 1.706% | 93,353 | 9 ,338 | |
| Face | M arket | ||
| Amount | Value• | ||
| ($000) | ($000) | ||
| U.S. Government and Agency Obligations (0.0%) | |||
| 4 | United States Treasury Bill,1.527%–1.541%, 4/30/20 | 186 | 186 |
| 4 | United States Treasury Bill,1.551%, 5/14/20 | 150 | 150 |
| 336 | |||
| Total Temporary Cash Investments | |||
| (Cost $9,672) | 9,674 | ||
| Total Investments (100.6%) | |||
| (Cost $704,010) | 689,822 | ||
| Other Assets and Liabilities—Net (-0.6%)3 | (4,006) | ||
| Net Assets (100%) | 685,816 | ||
| Cost rounded to $000. | |||
| • | See Note A in Notes to the Financial Statements. | ||
| * Non-income-producing security. | |||
| § | Security value determined using significant unobservable inputs. | ||
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,748,000. | ||
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $13,374,000, representing 2.0% of net assets. | ||
| 2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. | ||
| 3 | Collateral of $5,793,000 was received for securities on loan. | ||
| 4 | Securities with a value of $301,000 have been segregated as initial margin for open futures contracts. | ||
| ADR—American Depositary Receipt. | |||
| GDR—Global Depositary Receipt. | |||
| NVDR—Non-Voting Depository Receipt. | |||
| REIT—Real Estate Investment Trust. | |||
53
ESG International Stock ETF
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000) | ||||||||
| Value and | ||||||||
| Number of | Unrealized | |||||||
| Long (Short) | Notional | Appreciation | ||||||
| Expiration | Contracts | Amount | (Depreciation) | |||||
| Long Futures Contracts | ||||||||
| MSCI Emerging Market Index | March 2020 | 68 | 3,430 | (129) | ||||
| MSCI EAFE Index | March 2020 | 25 | 2,270 | (223) | ||||
| (352) | ||||||||
| Forward Currency Contracts | ||||||||
| Contract | Unrealized | Unrealized | ||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||
| BNP Paribas | 4/2/20 | USD | 722 | JPY | 77,957 | — | (2) | |
JPY—Japanese Yen.
USD—U.S. dollar.
See accompanying Notes, which are an integral part of the Financial Statements.
54
ESG International Stock ETF
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $694,673) | 680,484 |
| Affiliated Issuers (Cost $9,337) | 9,338 |
| Total Investments in Securities | 689,822 |
| Investment in Vanguard | 30 |
| Cash | 3 |
| Foreign Currency, at Value (Cost $504) | 497 |
| Receivables for Investment Securities Sold | 8 |
| Receivables for Accrued Income | 1,359 |
| Total Assets | 691,719 |
| Liabilities | |
| Payables for Investment Securities Purchased | 4 |
| Collateral for Securities on Loan | 5,793 |
| Payables to Vanguard | 48 |
| Variation Margin Payable—Futures Contracts | 29 |
| Unrealized Depreciation—Forward Currency Contracts | 2 |
| Other Liabilities | 27 |
| Total Liabilities | 5,903 |
| Net Assets | 685,816 |
|
At February 29, 2020, net assets consisted of: |
|
| Paid-in Capital | 702,180 |
| Total Distributable Earnings (Loss) | (16,364) |
| Net Assets | 685,816 |
| Net Assets | |
| Applicable to 14,100,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 685,816 |
| Net Asset Value Per Share | $48.64 |
See accompanying Notes, which are an integral part of the Financial Statements.
55
ESG International Stock ETF
Statement of Operations
| Six Months Ended | |
| February 29, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 5,296 |
| Interest2 | 19 |
| Securities Lending—Net | 30 |
| Total Income | 5,345 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 42 |
| Management and Administrative | 325 |
| Marketing and Distribution | 19 |
| Custodian Fees | 56 |
| Shareholders’ Reports | 4 |
| Trustees’ Fees and Expenses | — |
| Total Expenses | 446 |
| Expenses Paid Indirectly | (23) |
| Net Expenses | 423 |
| Net Investment Income | 4,922 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2 | (269) |
| Futures Contracts | 128 |
| Forward Currency Contracts | 10 |
| Foreign Currencies | 18 |
| Realized Net Gain (Loss) | (113) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2,3 | (10,928) |
| Futures Contracts | (364) |
| Forward Currency Contracts | (2) |
| Foreign Currencies | (26) |
| Change in Unrealized Appreciation (Depreciation) | (11,320) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (6,511) |
| 1 | Dividends are net of foreign withholding taxes of $454,000. |
| 2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | The change in unrealized appreciation (depreciation) is net of deferred foreign capital gains taxes of $27,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
ESG International Stock ETF
Statement of Changes in Net Assets
| September 18, | |||
| Six Months Ended | 20181, to | ||
| February 29, | August 31, | ||
| 2020 | 2019 | ||
| ($000) | ($000) | ||
| Increase (Decrease) in Net Assets | |||
| Operations | |||
| Net Investment Income | 4,922 | 5,847 | |
| Realized Net Gain (Loss) | (113) | (1,830) | |
| Change in Unrealized Appreciation (Depreciation) | (11,320) | (3,271) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (6,511) | 746 | |
| Distributions2 | |||
| Total Distributions | (6,879) | (3,720) | |
| Capital Share Transactions | |||
| Issued | 280,792 | 421,388 | |
| Issued in Lieu of Cash Distributions | — | — | |
| Redeemed | — | — | |
| Net Increase (Decrease) from Capital Share Transactions | 280,792 | 421,388 | |
| Total Increase (Decrease) | 267,402 | 418,414 | |
| Net Assets | |||
| Beginning of Period | 418,414 | — | |
| End of Period | 685,816 | 418,414 | |
| 1 | Inception. |
| 2 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
57
ESG International Stock ETF
Financial Highlights
| Six Months | Sept. 18, | |||||||
| Ended | 20181 to | |||||||
| Feb. 29, | Aug. 31, | |||||||
| For a Share Outstanding Throughout Each Period | 2020 | 2019 | ||||||
| Net Asset Value, Beginning of Period | $ | 48.09 | $ | 50.00 | ||||
| Investment Operations | ||||||||
| Net Investment Income2 | .450 | 1.529 | ||||||
| Net Realized and Unrealized Gain (Loss) on Investments | .764 | (2.714 | ) | |||||
| Total from Investment Operations | 1.214 | (1.185 | ) | |||||
| Distributions | ||||||||
| Dividends from Net Investment Income | (.664 | ) | (.725 | ) | ||||
| Distributions from Realized Capital Gains | — | — | ||||||
| Total Distributions | (.664 | ) | (.725 | ) | ||||
| Net Asset Value, End of Period | $ | 48.64 | $ | 48.09 | ||||
| Total Return | 2.46 | % | -2.36 | % | ||||
| Ratios/Supplemental Data | ||||||||
| Net Assets, End of Period (Millions) | $ | 686 | $ | 418 | ||||
| Ratio of Total Expenses to Average Net Assets | 0.16 | %3 | 0.17 | %3,4 | ||||
| Ratio of Net Investment Income to Average Net Assets | 1.68 | % | 3.30 | %4 | ||||
| Portfolio Turnover Rate | 6 | % | 22 | % |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Inception. |
| 2 | Calculated based on average shares outstanding. |
| 3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.15%. |
| 4 | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
58
ESG International Stock ETF
Notes to Financial Statements
Vanguard ESG International Stock ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures and Forward Currency 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
59
ESG International Stock ETF
The fund also enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures or forward currency contracts.
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax year ended August 31, 2019, and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and
60
ESG International Stock ETF
settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Taxes on foreign dividends and capital gains have been provided for in accordance with the fund’s understanding of the applicable countries’ tax rules and rates. Foreign capital gains tax is accrued daily based upon net unrealized gains. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
61
ESG International Stock ETF
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees, and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $30,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $23,000 (an annual rate of 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives of February 29, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks—North and South America | 68,570 | 1,479 | — | 70,049 |
| Common Stocks—Other | 21,112 | 588,895 | 92 | 610,099 |
| Temporary Cash Investments | 9,338 | 336 | — | 9,674 |
| Total | 99,020 | 590,710 | 92 | 689,822 |
| Derivative Financial Instruments | ||||
| Liabilities | ||||
| Futures Contracts1 | 29 | — | — | 29 |
| Forward Currency Contracts | — | 2 | — | 2 |
| Total | 29 | 2 | — | 31 |
1 Represents variation margin on the last day of the reporting period.
62
ESG International Stock ETF
E. At February 29, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | |||
| Equity | Exchange | ||
| Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) |
| Variation Margin Payable—Futures Contracts | 29 | — | 29 |
| Unrealized Depreciation—Forward Currency Contracts | — | 2 | 2 |
| Total Liabilities | 29 | 2 | 31 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2020, were:
| Foreign | |||
| Equity | Exchange | ||
| Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
| Futures Contracts | 128 | — | 128 |
| Forward Currency Contracts | — | 10 | 10 |
| Realized Net Gain (Loss) on Derivatives | 128 | 10 | 138 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
| Futures Contracts | (364) | — | (364) |
| Forward Currency Contracts | — | (2) | (2) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | (364) | (2) | (366) |
F. As of February 29, 2020, 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 | 704,850 |
| Gross Unrealized Appreciation | 39,711 |
| Gross Unrealized Depreciation | (55,093) |
| Net Unrealized Appreciation (Depreciation) | (15,382) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $1,572,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
63
ESG International Stock ETF
G. During the six months ended February 29, 2020, the fund purchased $309,099,000 of investment securities and sold $34,563,000 of investment securities, other than temporary cash investments. Purchases and sales include $226,145,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| H. | Capital shares issued and redeemed were: |
| Six Months Ended | September 18, 20181 to | ||
| February 29, 2020 | August 31, 2019 | ||
| Shares | Shares | ||
| (000) | (000) | ||
| Issued | 5,400 | 8,700 | |
| Issued in Lieu of Cash Distributions | — | — | |
| Redeemed | — | — | |
| Net Increase (Decrease) in Shares Outstanding | 5,400 | 8,700 | |
| 1 Inception. |
At February 29, 2020, one shareholder was the record or beneficial owner of 34% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
I. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
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| © 2020 The Vanguard Group, Inc. | ||
| All rights reserved. | ||
| Vanguard Marketing Corporation, Distributor. | ||
| Q43942 042020 |
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 WORLD FUND
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
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 WORLD FUND
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
VANGUARD WORLD FUND
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: April 17, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.