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: 811-22114
Name of Registrant: | Vanguard Montgomery Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2020—June 30, 2020
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2020 |
Vanguard Market Neutral 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 | 20 |
Liquidity Risk Management | 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 June 30, 2020
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Market Neutral Fund | 12/31/2019 | 6/30/2020 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $949.88 | $5.62 |
Institutional Shares | 1,000.00 | 949.88 | 5.33 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,019.10 | $5.82 |
Institutional Shares | 1,000.00 | 1,019.39 | 5.52 |
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 1.16% for Investor Shares and 1.10% 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
Market Neutral Fund
Fund Allocation
As of June 30, 2020
Long | Short | ||||
Portfolio1 | Portfolio2 | ||||
Communication Services | 2.8 | % | 2.8 | % | |
Consumer Discretionary | 15.4 | 15.2 | |||
Consumer Staples | 5.1 | 5.0 | |||
Energy | 1.2 | 1.1 | |||
Financials | 11.7 | 12.0 | |||
Health Care | 14.5 | 14.7 | |||
Industrials | 16.8 | 16.6 | |||
Information Technology | 20.5 | 20.5 | |||
Materials | 2.6 | 2.5 | |||
Real Estate | 6.2 | 6.2 | |||
Utilities | 3.2 | 3.4 |
1 Percentage of investments in long portfolio.
2 Percentage of investments in short portfolio.
The table reflects the fund’s investments, except for short-term investments. 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
Market Neutral Fund
Financial Statements (unaudited)
Schedule of Investments
As of June 30, 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–Long Positions (99.4%) | ||||
Communication Services (2.8%) | ||||
*,† | Discovery Inc. Class A | 113,003 | 2,384 | |
† | CenturyLink Inc. | 193,985 | 1,946 | |
* | Glu Mobile Inc. | 109,648 | 1,016 | |
* | Zynga Inc. | 76,126 | 726 | |
*,† | MSG Networks Inc. | 67,551 | 672 | |
Interpublic Group of Cos. Inc. | 30,409 | 522 | ||
* | Vonage Holdings Corp. | 50,285 | 506 | |
*,† | EverQuote Inc. Class A | 7,233 | 421 | |
*,† | Take-Two Interactive Software Inc. | 2,542 | 355 | |
* | Liberty Media Corp-Liberty SiriusXM | 10,249 | 354 | |
* | Cardlytics Inc. | 4,785 | 335 | |
9,237 | ||||
Consumer Discretionary (15.3%) | ||||
† | eBay Inc. | 55,018 | 2,886 | |
† | Best Buy Co. Inc. | 33,017 | 2,881 | |
† | Brunswick Corp. | 44,898 | 2,874 | |
† | Rent-A-Center Inc. | 88,608 | 2,465 | |
Lowe’s Cos. Inc. | 18,234 | 2,464 | ||
† | Kontoor Brands Inc. | 133,648 | 2,380 | |
*,† | Meritage Homes Corp. | 30,753 | 2,341 | |
† | Wingstop Inc. | 16,739 | 2,326 | |
*,† | Adient plc | 135,809 | 2,230 | |
*,† | Asbury Automotive Group Inc. | 28,518 | 2,205 | |
† | Newell Brands Inc. | 128,607 | 2,042 | |
*,† | Skyline Champion Corp. | 81,184 | 1,976 | |
*,† | frontdoor Inc. | 44,444 | 1,970 | |
*,† | Gentherm Inc. | 48,063 | 1,870 | |
† | Whirlpool Corp. | 13,615 | 1,764 | |
* | Murphy USA Inc. | 11,636 | 1,310 | |
Home Depot Inc. | 4,949 | 1,240 | ||
* | Malibu Boats Inc. Class A | 21,302 | 1,107 | |
ODP Corp. | 465,184 | 1,093 | ||
* | Laureate Education Inc. Class A | 107,580 | 1,072 | |
Lear Corp. | 9,426 | 1,028 | ||
*,† | 1-800-Flowers.com Inc. Class A | 47,895 | 959 | |
Yum China Holdings Inc. | 18,181 | 874 | ||
Lennar Corp. Class A | 14,153 | 872 | ||
* | American Axle & Manufacturing Holdings Inc. | 108,217 | 822 | |
* | Tesla Inc. | 747 | 807 | |
† | MGM Resorts International | 39,292 | 660 | |
Aaron’s Inc. | 12,815 | 582 | ||
Yum! Brands Inc. | 6,201 | 539 | ||
Darden Restaurants Inc. | 6,576 | 498 | ||
Group 1 Automotive Inc. | 6,742 | 445 | ||
Kohl’s Corp. | 18,494 | 384 | ||
L Brands Inc. | 23,766 | 356 | ||
Camping World Holdings Inc. Class A | 12,994 | 353 | ||
† | Hanesbrands Inc. | 30,555 | 345 | |
Target Corp. | 2,852 | 342 | ||
*,† | AutoNation Inc. | 7,536 | 283 | |
* | Planet Fitness Inc. Class A | 4,262 | 258 | |
50,903 | ||||
Consumer Staples (5.1%) | ||||
† | Campbell Soup Co. | 56,846 | 2,821 | |
*,† | Edgewell Personal Care Co. | 89,706 | 2,795 | |
Coca-Cola Consolidated Inc. | 11,363 | 2,604 | ||
* | TreeHouse Foods Inc. | 39,813 | 1,744 | |
Procter & Gamble Co. | 9,858 | 1,179 | ||
* | Hain Celestial Group Inc. | 33,287 | 1,049 | |
* | BJ’s Wholesale Club Holdings Inc. | 21,320 | 795 | |
Altria Group Inc. | 17,185 | 675 | ||
† | Ingles Markets Inc. Class A | 15,266 | 657 | |
John B Sanfilippo & Son Inc. | 7,212 | 615 | ||
† | Fresh Del Monte Produce Inc. | 21,773 | 536 | |
*,† | elf Beauty Inc. | 20,453 | 390 | |
† | Medifast Inc. | 2,636 | 366 | |
Reynolds Consumer Products Inc. | 9,746 | 339 | ||
* | Beyond Meat Inc. | 2,325 | 311 | |
16,876 |
4
Market Neutral Fund
Market | ||||
Value• | ||||
Shares | ($000 | ) | ||
Energy (1.2%) | ||||
DHT Holdings Inc. | 157,260 | 807 | ||
Devon Energy Corp. | 69,104 | 783 | ||
Apache Corp. | 56,287 | 760 | ||
† | Kinder Morgan Inc. | 28,144 | 427 | |
† | National Oilwell Varco Inc. | 27,022 | 331 | |
† | World Fuel Services Corp. | 12,849 | 331 | |
† | Schlumberger Ltd. | 16,536 | 304 | |
*,† | Dorian LPG Ltd. | 37,342 | 289 | |
4,032 | ||||
Financials (11.6%) | ||||
Brightsphere Investment Group Inc. | 231,325 | 2,882 | ||
Ameriprise Financial Inc. | 16,595 | 2,490 | ||
† | Primerica Inc. | 21,208 | 2,473 | |
† | MetLife Inc. | 64,954 | 2,372 | |
Allstate Corp. | 23,251 | 2,255 | ||
† | Hilltop Holdings Inc. | 91,680 | 1,692 | |
† | Lazard Ltd. Class A | 56,027 | 1,604 | |
† | Universal Insurance Holdings Inc. | 82,253 | 1,460 | |
† | PennyMac Financial Services Inc. | 33,333 | 1,393 | |
† | National General Holdings Corp. | 63,504 | 1,372 | |
Equitable Holdings Inc. | 67,493 | 1,302 | ||
† | LPL Financial Holdings Inc. | 15,122 | 1,186 | |
† | Navient Corp. | 151,163 | 1,063 | |
† | MGIC Investment Corp. | 128,365 | 1,051 | |
First Interstate BancSystem Inc. Class A | 32,299 | 1,000 | ||
SLM Corp. | 129,263 | 909 | ||
*,† | Mr Cooper Group Inc. | 72,162 | 898 | |
First Horizon National Corp. | 89,086 | 887 | ||
CNO Financial Group Inc. | 55,915 | 871 | ||
Intercontinental Exchange Inc. | 9,245 | 847 | ||
† | Great Western Bancorp Inc. | 58,099 | 799 | |
CME Group Inc. | 3,718 | 604 | ||
† | Stifel Financial Corp. | 12,679 | 601 | |
Hanover Insurance Group Inc. | 5,861 | 594 | ||
First Midwest Bancorp Inc. | 42,953 | 573 | ||
Assured Guaranty Ltd. | 23,259 | 568 | ||
† | First Hawaiian Inc. | 32,869 | 567 | |
Cullen/Frost Bankers Inc. | 7,280 | 544 | ||
* | Brighthouse Financial Inc. | 19,145 | 533 | |
Prosperity Bancshares Inc. | 8,647 | 513 | ||
Virtu Financial Inc. Class A | 20,433 | 482 | ||
† | Citigroup Inc. | 9,381 | 479 | |
† | Unum Group | 28,503 | 473 | |
FNB Corp. | 47,601 | 357 | ||
*,† | Enova International Inc. | 23,156 | 344 | |
S&P Global Inc. | 1,025 | 338 | ||
† | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 5,329 | 152 | |
38,528 | ||||
Health Care (14.4%) | ||||
*,† | Medpace Holdings Inc. | 30,896 | 2,874 | |
*,† | DaVita Inc. | 35,251 | 2,790 | |
*,† | Alkermes plc | 132,784 | 2,577 | |
*,† | Quidel Corp. | 11,362 | 2,542 | |
*,† | Novocure Ltd. | 41,898 | 2,485 | |
*,† | Integer Holdings Corp. | 32,071 | 2,343 | |
Cardinal Health Inc. | 43,974 | 2,295 | ||
*,† | Prestige Consumer Healthcare Inc. | 59,976 | 2,253 | |
* | Sarepta Therapeutics Inc. | 13,013 | 2,086 | |
*,† | Syneos Health Inc. | 35,662 | 2,077 | |
*,† | PRA Health Sciences Inc. | 19,055 | 1,854 | |
*,† | Tenet Healthcare Corp. | 102,040 | 1,848 | |
*,† | Lantheus Holdings Inc. | 103,968 | 1,487 | |
*,^ | Precigen Inc. | 294,212 | 1,468 | |
* | Allscripts Healthcare Solutions Inc. | 208,049 | 1,408 | |
*,† | Henry Schein Inc. | 21,700 | 1,267 | |
Cigna Corp. | 6,595 | 1,238 | ||
† | AbbVie Inc. | 11,119 | 1,092 | |
*,† | Enanta Pharmaceuticals Inc. | 20,143 | 1,011 | |
McKesson Corp. | 5,792 | 889 | ||
* | Amneal Pharmaceuticals Inc. | 181,560 | 864 | |
* | Schrodinger Inc. | 8,959 | 820 | |
*,† | BioTelemetry Inc. | 18,139 | 820 | |
AmerisourceBergen Corp. Class A | 7,898 | 796 | ||
*,† | Biohaven Pharmaceutical Holding Co. Ltd. | 9,883 | 723 | |
* | MEDNAX Inc. | 39,405 | 674 | |
* | Retrophin Inc. | 28,001 | 571 | |
* | Bluebird Bio Inc. | 9,027 | 551 | |
* | Magellan Health Inc. | 7,017 | 512 | |
* | BioCryst Pharmaceuticals Inc. | 97,207 | 463 | |
* | Veeva Systems Inc. Class A | 1,875 | 439 | |
* | Eidos Therapeutics Inc. | 9,172 | 437 | |
* | Xencor Inc. | 13,452 | 436 | |
* | Deciphera Pharmaceuticals Inc. | 7,268 | 434 | |
* | Nektar Therapeutics Class A | 17,509 | 405 | |
* | Omnicell Inc. | 5,588 | 395 | |
*,† | Surgery Partners Inc. | 31,619 | 366 | |
*,† | STAAR Surgical Co. | 5,822 | 358 | |
47,948 |
5
Market Neutral Fund
Market | ||||
Value• | ||||
Shares | ($000 | ) | ||
Industrials (16.7%) | ||||
*,† | GMS Inc. | 119,295 | 2,933 | |
† | Masco Corp. | 57,968 | 2,911 | |
† | Johnson Controls International plc | 83,929 | 2,865 | |
General Electric Co. | 356,918 | 2,438 | ||
*,† | BMC Stock Holdings Inc. | 96,482 | 2,426 | |
† | TransUnion | 27,770 | 2,417 | |
Lockheed Martin Corp. | 6,502 | 2,373 | ||
*,† | Foundation Building Materials Inc. | 149,465 | 2,333 | |
*,† | MasTec Inc. | 51,814 | 2,325 | |
*,† | Atkore International Group Inc. | 79,502 | 2,174 | |
† | Steelcase Inc. Class A | 179,396 | 2,163 | |
Rockwell Automation Inc. | 9,916 | 2,112 | ||
† | Kforce Inc. | 71,342 | 2,087 | |
† | UFP Industries Inc. | 39,101 | 1,936 | |
† | Triton International Ltd. | 63,812 | 1,930 | |
*,† | Colfax Corp. | 66,539 | 1,856 | |
*,† | Builders FirstSource Inc. | 84,034 | 1,739 | |
† | Deluxe Corp. | 68,192 | 1,605 | |
Landstar System Inc. | 14,251 | 1,600 | ||
*,† | Gibraltar Industries Inc. | 24,299 | 1,167 | |
*,† | Herc Holdings Inc. | 37,864 | 1,164 | |
ADT Inc. | 130,109 | 1,038 | ||
† | Enerpac Tool Group Corp. Class A | 52,162 | 918 | |
† | Triumph Group Inc. | 96,177 | 867 | |
* | American Woodmark Corp. | 11,342 | 858 | |
* | Univar Solutions Inc. | 45,963 | 775 | |
Costamare Inc. | 133,975 | 745 | ||
United Parcel Service Inc. Class B | 6,551 | 728 | ||
Northrop Grumman Corp. | 2,057 | 632 | ||
† | Rush Enterprises Inc. Class A | 14,405 | 597 | |
* | Atlas Air Worldwide Holdings Inc. | 13,398 | 576 | |
* | United Rentals Inc. | 3,752 | 559 | |
Schneider National Inc. Class B | 21,390 | 528 | ||
† | Copa Holdings SA Class A | 10,058 | 509 | |
American Airlines Group Inc. | 29,455 | 385 | ||
*,† | Echo Global Logistics Inc. | 17,424 | 377 | |
† | Kaman Corp. | 8,475 | 353 | |
Westinghouse Air Brake Technologies Corp. | 5,898 | 340 | ||
* | TriNet Group Inc. | 5,455 | 332 | |
55,671 | ||||
Information Technology (20.4%) | ||||
*,† | Amkor Technology Inc. | 237,478 | 2,923 | |
*,† | Autodesk Inc. | 12,030 | 2,877 | |
*,† | Synopsys Inc. | 14,704 | 2,867 | |
† | Jabil Inc. | 89,270 | 2,864 | |
*,† | Cadence Design Systems Inc. | 29,837 | 2,863 | |
*,† | Atlassian Corp. plc Class A | 15,468 | 2,788 | |
† | Avnet Inc. | 99,913 | 2,786 | |
† | Seagate Technology plc | 55,887 | 2,706 | |
*,† | Workiva Inc. | 50,448 | 2,699 | |
*,† | Square Inc. | 25,050 | 2,629 | |
Microsoft Corp. | 12,781 | 2,601 | ||
† | SYNNEX Corp. | 19,492 | 2,335 | |
† | ManTech International Corp. Class A | 32,373 | 2,217 | |
*,† | CACI International Inc. Class A | 10,139 | 2,199 | |
*,† | Sykes Enterprises Inc. | 73,931 | 2,045 | |
*,† | Synaptics Inc. | 33,785 | 2,031 | |
† | Western Digital Corp. | 45,477 | 2,008 | |
† | Booz Allen Hamilton Holding Corp. Class A | 25,731 | 2,002 | |
* | Fortinet Inc. | 13,088 | 1,797 | |
*,† | Advanced Micro Devices Inc. | 30,972 | 1,629 | |
* | Domo Inc. | 50,023 | 1,609 | |
* | Manhattan Associates Inc. | 15,636 | 1,473 | |
† | Perspecta Inc. | 56,098 | 1,303 | |
* | Ciena Corp. | 23,167 | 1,255 | |
* | Infinera Corp. | 206,347 | 1,222 | |
† | HP Inc. | 68,539 | 1,195 | |
* | SunPower Corp. | 152,400 | 1,167 | |
* | GoDaddy Inc. Class A | 14,893 | 1,092 | |
*,† | Cardtronics plc Class A | 43,872 | 1,052 | |
* | Zoom Video Communications Inc. Class A | 3,440 | 872 | |
* | MACOM Technology Solutions Holdings Inc. | 25,335 | 870 | |
* | Dropbox Inc. Class A | 28,350 | 617 | |
Xperi Holding Corp. | 37,946 | 560 | ||
*,† | Avaya Holdings Corp. | 45,180 | 558 | |
*,† | Nutanix Inc. | 22,940 | 544 | |
† | Plantronics Inc. | 36,009 | 529 | |
DXC Technology Co. | 31,282 | 516 | ||
Oracle Corp. | 7,819 | 432 | ||
* | Teradata Corp. | 19,314 | 402 | |
*,† | TTM Technologies Inc. | 31,254 | 371 | |
* | Zendesk Inc. | 4,090 | 362 | |
Apple Inc. | 932 | 340 | ||
*,† | Virtusa Corp. | 9,333 | 303 | |
† | Benchmark Electronics Inc. | 13,864 | 299 | |
67,809 | ||||
Materials (2.6%) | ||||
*,† | Element Solutions Inc. | 247,998 | 2,691 | |
† | Commercial Metals Co. | 56,895 | 1,161 |
6
Market Neutral Fund
Market | ||||
Value• | ||||
Shares | ($000 | ) | ||
† | PolyOne Corp. | 33,300 | 873 | |
Chemours Co. | 53,302 | 818 | ||
† | Boise Cascade Co. | 21,728 | 817 | |
Linde plc | 3,121 | 662 | ||
O-I Glass Inc. | 56,121 | 504 | ||
* | Coeur Mining Inc. | 81,934 | 416 | |
* | Koppers Holdings Inc. | 19,295 | 364 | |
Corteva Inc. | 12,168 | 326 | ||
8,632 | ||||
Real Estate (6.1%) | ||||
† | Sabra Health Care REIT Inc. | 168,567 | 2,433 | |
Equinix Inc. | 3,359 | 2,359 | ||
Iron Mountain Inc. | 87,922 | 2,295 | ||
† | CyrusOne Inc. | 29,525 | 2,148 | |
† | SL Green Realty Corp. | 37,817 | 1,864 | |
† | Office Properties Income Trust | 66,999 | 1,740 | |
Uniti Group Inc. | 185,660 | 1,736 | ||
† | GEO Group Inc. | 141,173 | 1,670 | |
† | CoreCivic Inc. | 153,963 | 1,441 | |
Independence Realty Trust Inc. | 58,420 | 671 | ||
Diversified Healthcare Trust | 147,833 | 654 | ||
Gaming and Leisure Properties Inc. | 17,639 | 610 | ||
Innovative Industrial Properties Inc. | 4,753 | 418 | ||
† | Kennedy-Wilson Holdings Inc. | 20,146 | 307 | |
20,346 | ||||
Utilities (3.2%) | ||||
† | Vistra Energy Corp. | 142,259 | 2,649 | |
† | AES Corp. | 130,474 | 1,891 | |
† | Hawaiian Electric Industries Inc. | 46,440 | 1,675 | |
Evergy Inc. | 25,679 | 1,522 | ||
*,† | PG&E Corp. | 144,131 | 1,278 | |
Dominion Energy Inc. | 10,409 | 845 | ||
American States Water Co. | 5,068 | 398 | ||
Unitil Corp. | 8,403 | 377 | ||
10,635 | ||||
Total Common Stocks–Long Positions (Cost $314,009) | 330,617 | |||
Common Stocks Sold Short (-99.3%) | ||||
Communication Services (-2.7%) | ||||
* | GCI Liberty Inc. Class A | (30,171) | (2,146 | ) |
* | Cargurus Inc. | (79,136) | (2,006 | ) |
World Wrestling Entertainment Inc. Class A | (23,256) | (1,010 | ) | |
Cinemark Holdings Inc. | (65,903) | (761 | ) | |
Sinclair Broadcast Group Inc. Class A | (35,429) | (654 | ) | |
TEGNA Inc. | (42,914) | (478 | ) | |
* | Iridium Communications Inc. | (14,059) | (358 | ) |
EW Scripps Co. Class A | (40,734) | (356 | ) | |
* | Netflix Inc. | (775) | (353 | ) |
ViacomCBS Inc. Class B | (14,758) | (344 | ) | |
* | T-Mobile US Inc. | (3,132) | (326 | ) |
Marcus Corp. | (22,719) | (302 | ) | |
(9,094 | ) | |||
Consumer Discretionary (-15.1%) | ||||
* | Burlington Stores Inc. | (13,643) | (2,687 | ) |
Ross Stores Inc. | (29,563) | (2,520 | ) | |
* | Chegg Inc. | (34,516) | (2,322 | ) |
TJX Cos. Inc. | (45,591) | (2,305 | ) | |
* | Skechers USA Inc. Class A | (72,860) | (2,286 | ) |
* | Urban Outfitters Inc. | (148,684) | (2,263 | ) |
Oxford Industries Inc. | (50,296) | (2,214 | ) | |
Callaway Golf Co. | (117,167) | (2,052 | ) | |
American Eagle Outfitters Inc. | (182,435) | (1,989 | ) | |
* | Five Below Inc. | (18,462) | (1,974 | ) |
* | Lululemon Athletica Inc. | (6,116) | (1,908 | ) |
Cracker Barrel Old Country Store Inc. | (16,396) | (1,818 | ) | |
* | Dorman Products Inc. | (21,989) | (1,475 | ) |
Hasbro Inc. | (17,864) | (1,339 | ) | |
Columbia Sportswear Co. | (16,131) | (1,300 | ) | |
* | Capri Holdings Ltd. | (81,131) | (1,268 | ) |
Thor Industries Inc. | (11,862) | (1,264 | ) | |
Monro Inc. | (22,941) | (1,260 | ) | |
Goodyear Tire & Rubber Co. | (138,224) | (1,236 | ) | |
* | Fox Factory Holding Corp. | (14,940) | (1,234 | ) |
Ralph Lauren Corp. Class A | (15,497) | (1,124 | ) | |
* | Ulta Beauty Inc. | (5,116) | (1,041 | ) |
Ford Motor Co. | (148,422) | (902 | ) | |
* | Etsy Inc. | (8,357) | (888 | ) |
Expedia Group Inc. | (10,243) | (842 | ) | |
Wyndham Hotels & Resorts Inc. | (19,559) | (834 | ) | |
La-Z-Boy Inc. | (27,907) | (755 | ) | |
* | Taylor Morrison Home Corp. Class A | (38,888) | (750 | ) |
BJ’s Restaurants Inc. | (33,419) | (700 | ) | |
Tapestry Inc. | (50,943) | (677 | ) | |
Vail Resorts Inc. | (3,624) | (660 | ) | |
Wynn Resorts Ltd. | (8,700) | (648 | ) | |
* | Crocs Inc. | (13,739) | (506 | ) |
* | Shake Shack Inc. Class A | (9,060) | (480 | ) |
7
Market Neutral Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Floor & Decor Holdings Inc. Class A | (7,086) | (408) |
Gap Inc. | (31,924) | (403) | |
VF Corp. | (6,436) | (392) | |
Starbucks Corp. | (4,879) | (359) | |
LCI Industries | (3,048) | (350) | |
* | Carvana Co. | (2,806) | (337) |
* | RealReal Inc. | (24,582) | (314) |
(50,084) | |||
Consumer Staples (-5.0%) | |||
* | Cal-Maine Foods Inc. | (64,662) | (2,876) |
Estee Lauder Cos. Inc. Class A | (14,549) | (2,745) | |
* | Freshpet Inc. | (29,966) | (2,507) |
* | Boston Beer Co. Inc. Class A | (3,876) | (2,080) |
Archer-Daniels-Midland Co. | (45,619) | (1,820) | |
Nu Skin Enterprises Inc. Class A | (31,263) | (1,195) | |
WD-40 Co. | (4,673) | (927) | |
* | Performance Food Group Co. | (26,083) | (760) |
Universal Corp. | (10,840) | (461) | |
* | Hostess Brands Inc. Class A | (36,279) | (443) |
* | BellRing Brands Inc. Class A | (18,579) | (371) |
PriceSmart Inc. | (5,620) | (339) | |
(16,524) | |||
Energy (-1.1%) | |||
Occidental Petroleum Corp. | (94,738) | (1,734) | |
* | PDC Energy Inc. | (126,839) | (1,578) |
* | Dril-Quip Inc. | (16,266) | (484) |
(3,796) | |||
Financials (-11.9%) | |||
Pinnacle Financial Partners Inc. | (64,146) | (2,693) | |
Invesco Ltd. | (243,771) | (2,623) | |
RenaissanceRe Holdings Ltd. | (13,766) | (2,354) | |
Capital One Financial Corp. | (37,575) | (2,352) | |
* | PRA Group Inc. | (58,511) | (2,262) |
Hamilton Lane Inc. Class A | (32,365) | (2,180) | |
* | Athene Holding Ltd. Class A | (68,594) | (2,139) |
Ares Management Corp. Class A | (50,829) | (2,018) | |
* | Markel Corp. | (2,157) | (1,991) |
Independent Bank Group Inc. | (47,726) | (1,934) | |
Loews Corp. | (50,027) | (1,715) | |
New York Community Bancorp Inc. | (153,790) | (1,569) | |
* | Arch Capital Group Ltd. | (49,845) | (1,428) |
* | Ambac Financial Group Inc. | (85,950) | (1,231) |
Apollo Global Management LLC | (24,145) | (1,205) | |
* | Palomar Holdings Inc. | (12,660) | (1,086) |
Cadence BanCorp Class A | (115,639) | (1,025) | |
Argo Group International Holdings Ltd. | (26,095) | (909) | |
Hancock Whitney Corp. | (41,291) | (875) | |
Kearny Financial Corp. | (104,133) | (852) | |
Eagle Bancorp Inc. | (25,695) | (842) | |
First Republic Bank | (5,891) | (624) | |
Santander Consumer USA Holdings Inc. | (29,498) | (543) | |
American International Group Inc. | (14,786) | (461) | |
* | Triumph Bancorp Inc. | (16,342) | (397) |
WisdomTree Investments Inc. | (108,917) | (378) | |
Piper Sandler Cos. | (6,044) | (358) | |
Houlihan Lokey Inc. Class A | (6,168) | (343) | |
Banc of California Inc. | (30,296) | (328) | |
* | Axos Financial Inc. | (13,660) | (302) |
* | Seacoast Banking Corp. of Florida | (14,465) | (295) |
* | LendingClub Corp. | (57,705) | (263) |
(39,575) | |||
Health Care (-14.6%) | |||
* | ABIOMED Inc. | (11,702) | (2,827) |
* | AtriCure Inc. | (57,235) | (2,573) |
* | Glaukos Corp. | (65,978) | (2,535) |
* | iRhythm Technologies Inc. | (21,863) | (2,534) |
* | Boston Scientific Corp. | (69,284) | (2,433) |
* | Turning Point Therapeutics Inc. | (34,791) | (2,247) |
* | Repligen Corp. | (16,157) | (1,997) |
* | Centene Corp. | (29,305) | (1,862) |
* | Madrigal Pharmaceuticals Inc. | (15,647) | (1,772) |
* | Twist Bioscience Corp. | (37,527) | (1,700) |
* | Globus Medical Inc. | (33,051) | (1,577) |
* | Cardiovascular Systems Inc. | (47,326) | (1,493) |
* | Guardant Health Inc. | (17,305) | (1,404) |
* | 10X Genomics Inc. Class A | (14,942) | (1,334) |
* | Intercept Pharmaceuticals Inc. | (27,645) | (1,324) |
* | Waters Corp. | (7,265) | (1,311) |
* | Exact Sciences Corp. | (14,752) | (1,283) |
* | Penumbra Inc. | (7,061) | (1,263) |
* | Mirati Therapeutics Inc. | (10,832) | (1,237) |
* | Insmed Inc. | (43,896) | (1,209) |
8
Market Neutral Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Bridgebio Pharma Inc. | (35,744) | (1,166) |
* | NeoGenomics Inc. | (37,391) | (1,158) |
* | Inogen Inc. | (27,764) | (986) |
* | HealthEquity Inc. | (15,067) | (884) |
* | Insulet Corp. | (4,522) | (878) |
* | Change Healthcare Inc. | (73,545) | (824) |
* | Arrowhead Pharmaceuticals Inc. | (19,000) | (821) |
* | Adaptive Biotechnologies Corp. | (15,670) | (758) |
* | Tricida Inc. | (23,958) | (658) |
* | AMN Healthcare Services Inc. | (13,112) | (593) |
* | Ultragenyx Pharmaceutical Inc. | (6,863) | (537) |
Cantel Medical Corp. | (10,663) | (472) | |
* | Bio-Rad Laboratories Inc. Class A | (872) | (394) |
* | Amicus Therapeutics Inc. | (24,019) | (362) |
* | Pacira BioSciences Inc. | (6,864) | (360) |
* | ViewRay Inc. | (157,402) | (353) |
* | Avantor Inc. | (20,363) | (346) |
* | Envista Holdings Corp. | (16,379) | (345) |
* | Fate Therapeutics Inc. | (9,743) | (334) |
* | Cerus Corp. | (50,361) | (332) |
* | Collegium Pharmaceutical Inc. | (14,879) | (260) |
(48,736) | |||
Industrials (-16.5%) | |||
Hillenbrand Inc. | (108,281) | (2,931) | |
Cubic Corp. | (60,603) | (2,911) | |
Fortive Corp. | (42,186) | (2,854) | |
Alamo Group Inc. | (27,286) | (2,801) | |
US Ecology Inc. | (81,689) | (2,768) | |
Parker-Hannifin Corp. | (15,081) | (2,764) | |
Toro Co. | (41,480) | (2,752) | |
Quanta Services Inc. | (69,466) | (2,725) | |
Armstrong World Industries Inc. | (32,441) | (2,529) | |
* | IAA Inc. | (65,376) | (2,521) |
* | Chart Industries Inc. | (51,953) | (2,519) |
Rollins Inc. | (57,827) | (2,451) | |
* | Ingersoll Rand Inc. | (83,921) | (2,360) |
Greenbrier Cos. Inc. | (100,143) | (2,278) | |
L3Harris Technologies Inc. | (12,796) | (2,171) | |
Boeing Co. | (9,344) | (1,713) | |
Kadant Inc. | (14,652) | (1,460) | |
* | Casella Waste Systems Inc. Class A | (27,893) | (1,454) |
* | Welbilt Inc. | (231,201) | (1,408) |
Advanced Drainage Systems Inc. | (24,902) | (1,230) | |
Forward Air Corp. | (24,441) | (1,218) | |
Allegiant Travel Co. | (10,540) | (1,151) | |
Air Lease Corp. Class A | (32,079) | (940) | |
Spirit AeroSystems Holdings Inc. Class A | (37,998) | (910) | |
AMETEK Inc. | (7,177) | (641) | |
* | Lyft Inc. Class A | (18,507) | (611) |
Heartland Express Inc. | (21,649) | (451) | |
ICF International Inc. | (6,673) | (433) | |
* | JetBlue Airways Corp. | (39,386) | (429) |
* | Harsco Corp. | (25,937) | (350) |
Southwest Airlines Co. | (9,907) | (339) | |
Knight-Swift Transportation Holdings Inc. | (7,983) | (333) | |
Macquarie Infrastructure Corp. | (10,792) | (331) | |
(54,737) | |||
Information Technology (-20.3%) | |||
* | Trimble Inc. | (66,081) | (2,854) |
* | Yext Inc. | (167,919) | (2,789) |
* | F5 Networks Inc. | (19,982) | (2,787) |
* | RingCentral Inc. Class A | (9,678) | (2,758) |
* | Q2 Holdings Inc. | (32,103) | (2,754) |
Cognex Corp. | (46,099) | (2,753) | |
Fidelity National Information Services Inc. | (20,515) | (2,751) | |
* | Fiserv Inc. | (27,200) | (2,655) |
Global Payments Inc. | (15,306) | (2,596) | |
* | Aspen Technology Inc. | (23,636) | (2,449) |
* | Splunk Inc. | (12,108) | (2,406) |
* | salesforce.com Inc. | (12,194) | (2,284) |
* | Onto Innovation Inc. | (64,127) | (2,183) |
FLIR Systems Inc. | (52,856) | (2,144) | |
* | ViaSat Inc. | (54,620) | (2,096) |
Paychex Inc. | (27,114) | (2,054) | |
* | II-VI Inc. | (36,820) | (1,739) |
MKS Instruments Inc. | (14,557) | (1,649) | |
InterDigital Inc. | (24,868) | (1,408) | |
* | 2U Inc. | (36,803) | (1,397) |
Monolithic Power Systems Inc. | (5,880) | (1,394) | |
* | Appfolio Inc. | (8,193) | (1,333) |
Switch Inc. | (71,987) | (1,283) | |
* | Black Knight Inc. | (17,578) | (1,276) |
* | ANSYS Inc. | (4,329) | (1,263) |
* | Ambarella Inc. | (27,476) | (1,258) |
Broadridge Financial Solutions Inc. | (9,536) | (1,203) | |
Hewlett Packard Enterprise Co. | (112,311) | (1,093) | |
* | 8x8 Inc. | (63,618) | (1,018) |
* | LiveRamp Holdings Inc. | (23,933) | (1,016) |
* | Coupa Software Inc. | (3,293) | (912) |
* | Repay Holdings Corp. Class A | (36,084) | (889) |
* | EchoStar Corp. Class A | (31,724) | (887) |
9
Market Neutral Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Elastic NV | (9,504) | (876) |
* | Envestnet Inc. | (10,841) | (797) |
* | Pluralsight Inc. Class A | (42,730) | (771) |
Marvell Technology Group Ltd. | (20,208) | (709) | |
Skyworks Solutions Inc. | (3,996) | (511) | |
* | RealPage Inc. | (7,216) | (469) |
Entegris Inc. | (6,715) | (397) | |
* | ACI Worldwide Inc. | (14,495) | (391) |
* | First Solar Inc. | (7,708) | (382) |
* | Alteryx Inc. Class A | (2,029) | (333) |
* | Trade Desk Inc. Class A | (810) | (329) |
Cabot Microelectronics Corp. | (2,243) | (313) | |
(67,609) | |||
Materials (-2.5%) | |||
Quaker Chemical Corp. | (14,490) | (2,690) | |
* | Livent Corp. | (217,120) | (1,337) |
* | Century Aluminum Co. | (101,353) | (723) |
Freeport-McMoRan Inc. | (62,059) | (718) | |
Eagle Materials Inc. | (9,130) | (641) | |
Nucor Corp. | (14,840) | (615) | |
Westlake Chemical Corp. | (10,613) | (569) | |
Amcor plc | (43,998) | (449) | |
* | Ferro Corp. | (27,315) | (326) |
* | Ingevity Corp. | (5,659) | (298) |
(8,366) | |||
Real Estate (-6.2%) | |||
Americold Realty Trust | (77,666) | (2,819) | |
UDR Inc. | (63,420) | (2,371) | |
* | Redfin Corp. | (49,374) | (2,069) |
Lamar Advertising Co. Class A | (27,896) | (1,862) | |
Rexford Industrial Realty Inc. | (41,471) | (1,718) | |
Cousins Properties Inc. | (43,607) | (1,301) | |
PotlatchDeltic Corp. | (29,532) | (1,123) | |
Prologis Inc. | (12,013) | (1,121) | |
Agree Realty Corp. | (13,034) | (856) | |
Essential Properties Realty Trust Inc. | (55,645) | (826) | |
National Storage Affiliates Trust | (27,917) | (800) | |
Service Properties Trust | (92,780) | (658) | |
Apple Hospitality REIT Inc. | (63,702) | (615) | |
CubeSmart | (20,778) | (561) | |
Park Hotels & Resorts Inc. | (50,019) | (495) | |
NexPoint Residential Trust Inc. | (10,651) | (376) | |
DiamondRock Hospitality Co. | (65,227) | (361) | |
EastGroup Properties Inc. | (2,916) | (346) | |
Washington REIT | (15,117) | (336) | |
(20,614) | |||
Utilities (-3.4%) | |||
UGI Corp. | (85,934) | (2,733) | |
New Jersey Resources Corp. | (78,151) | (2,552) | |
Essential Utilities Inc. | (55,705) | (2,353) | |
Edison International | (38,283) | (2,079) | |
Atmos Energy Corp. | (12,297) | (1,224) | |
SJW Group | (6,732) | (418) | |
(11,359) | |||
Total Common Stocks Sold Short (Proceeds $325,722) |
(330,494) | ||
Temporary Cash Investment (0.5%) | |||
Money Market Fund (0.5%) | |||
1,2 | Vanguard Market Liquidity Fund,
0.227% (Cost $1,775) |
17,750 | 1,775 |
Other Assets and Other Liabilities—Net (99.4%) | 330,771 | ||
Net Assets (100%) | 332,669 |
Cost is in $000.
· | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
† | Long security positions with a value of $204,401,000 and cash of $304,331,000 are held in a segregated account at the fund’s custodian bank and pledged to a broker-dealer as collateral for the fund’s obligation to return borrowed securities. For so long as such obligations continue, the fund’s access to these assets is subject to authorization from the broker-dealer. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,768,000. |
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 $1,772,000 was received for securities on loan. REIT—Real Estate Investment Trust. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
Market Neutral Fund
Statement of Assets and Liabilities
As of June 30, 2020
($000s, except shares and per-share amounts) | Amount | |
Assets | ||
Investments in Securities | ||
Long Positions, at Value | ||
Unaffiliated Issuers (Cost $314,009) | 330,617 | |
Affiliated Issuers (Cost $1,775) | 1,775 | |
Total Long Positions | 332,392 | |
Investment in Vanguard | 15 | |
Cash | 23,608 | |
Cash Segregated for Short Positions | 304,331 | |
Receivables for Investment Securities Sold | 37,118 | |
Receivables for Accrued Income | 242 | |
Receivables for Capital Shares Issued | 2,481 | |
Total Assets | 700,187 | |
Liabilities | ||
Securities Sold Short, at Value (Proceeds $325,722) | 330,494 | |
Due to Custodian | 1,287 | |
Payables for Investment Securities Purchased | 33,377 | |
Collateral for Securities on Loan | 1,772 | |
Payables for Capital Shares Redeemed | 383 | |
Payables to Vanguard | 32 | |
Accrued Dividend Expense on Securities Sold Short | 173 | |
Total Liabilities | 367,518 | |
Net Assets | 332,669 | |
At June 30, 2020, net assets consisted of: | ||
Paid-in Capital | 560,158 | |
Total Distributable Earnings (Loss) | (227,489 | ) |
Net Assets | 332,669 | |
Investor Shares—Net Assets | ||
Applicable to 26,256,361 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 253,588 | |
Net Asset Value Per Share—Investor Shares | $9.66 | |
Institutional Shares—Net Assets | ||
Applicable to 8,222,345 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 79,081 | |
Net Asset Value Per Share—Institutional Shares | $9.62 |
See accompanying Notes, which are an integral part of the Financial Statements.
11
Market Neutral Fund
Statement of Operations
Six Months Ended | ||
June 30, 2020 | ||
($000 | ) | |
Investment Income | ||
Income | ||
Dividends | 2,164 | |
Interest1 | 1,493 | |
Securities Lending—Net | 145 | |
Total Income | 3,802 | |
Expenses | ||
The Vanguard Group—Note B | ||
Investment Advisory Services | 185 | |
Management and Administrative—Investor Shares | 105 | |
Management and Administrative—Institutional Shares | 10 | |
Marketing and Distribution—Investor Shares | 20 | |
Marketing and Distribution—Institutional Shares | 2 | |
Custodian Fees | 47 | |
Shareholders’ Reports—Investor Shares | 7 | |
Shareholders’ Reports—Institutional Shares | — | |
Trustees’ Fees and Expenses | — | |
Dividend Expense on Securities Sold Short | 1,944 | |
Total Expenses | 2,320 | |
Net Investment Income (Loss) | 1,482 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold—Long Positions1 | (34,497 | ) |
Investment Securities Sold Short | 18,644 | |
Foreign Currencies | — | |
Realized Net Gain (Loss) | (15,853 | ) |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities—Long Positions1 | (35,517 | ) |
Investment Securities Sold Short | 27,268 | |
Foreign Currencies | — | |
Change in Unrealized Appreciation (Depreciation) | (8,249 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (22,620 | ) |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, $5,000, 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
Market Neutral Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | ||||
June 30, | December 31, | ||||
2020 | 2019 | ||||
($000 | ) | ($000 | ) | ||
Increase (Decrease) in Net Assets | |||||
Operations | |||||
Net Investment Income (Loss) | 1,482 | 20,508 | |||
Realized Net Gain (Loss) | (15,853 | ) | 34,391 | ||
Change in Unrealized Appreciation (Depreciation) | (8,249 | ) | (184,393 | ) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (22,620 | ) | (129,494 | ) | |
Distributions1 | |||||
Investor Shares | (562 | ) | (15,919 | ) | |
Institutional Shares | (186 | ) | (4,991 | ) | |
Total Distributions | (748 | ) | (20,910 | ) | |
Capital Share Transactions | |||||
Investor Shares | (136,642 | ) | (685,147 | ) | |
Institutional Shares | (57,474 | ) | (168,947 | ) | |
Net Increase (Decrease) from Capital Share Transactions | (194,116 | ) | (854,094 | ) | |
Total Increase (Decrease) | (217,484 | ) | (1,004,498 | ) | |
Net Assets | |||||
Beginning of Period | 550,153 | 1,554,651 | |||
End of Period | 332,669 | 550,153 |
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
Market Neutral Fund
Financial Highlights
Investor Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | June 30, | Year Ended December 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $10.19 | $11.62 | $11.66 | $12.39 | $12.12 | $11.50 | |
Investment Operations | |||||||
Net Investment Income (Loss) | .0351 | .2061 | .1081 | .1111 | .050 | .0021 | |
Net Realized and Unrealized Gain (Loss) on Investments | (.546) | (1.314) | (.038) | (.717) | .267 | .620 | |
Total from Investment Operations | (.511) | (1.108) | .070 | (.606) | .317 | .622 | |
Distributions | |||||||
Dividends from Net Investment Income | (.019) | (.322) | (.110) | (.124) | (.047) | (.002) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.019) | (.322) | (.110) | (.124) | (.047) | (.002) | |
Net Asset Value, End of Period | $9.66 | $10.19 | $11.62 | $11.66 | $12.39 | $12.12 | |
Total Return | -5.01% | -9.57% | 0.59% | -4.89% | 2.62% | 5.41% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $254 | $408 | $1,209 | $1,368 | $1,760 | $650 | |
Ratio of Total Expenses to Average Net Assets | |||||||
Based on Total Expenses2,3 | 1.16% | 1.46% | 1.80% | 1.54% | 1.60% | 1.46% | |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.20% | 0.20% | 0.20% | 0.22% | 0.22% | 0.25% | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.00% | 1.90% | 0.93% | 0.94% | 0.48% | 0.01% | |
Portfolio Turnover Rate | 100% | 141% | 110% | 79% | 64% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 0.96%, 1.26%, 1.60%, 1.32%, 1.38%, and 1.06%, respectively. |
3 | Includes borrowing expense on securities sold short of 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.15%, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Market Neutral Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | June 30, | Year Ended December 31, | |||||
Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
Net Asset Value, Beginning of Period | $10.15 | $11.57 | $11.61 | $12.34 | $12.07 | $11.45 | |
Investment Operations | |||||||
Net Investment Income (Loss) | .0371 | .2131 | .1191 | .1231 | .061 | .0111 | |
Net Realized and Unrealized Gain (Loss) on Investments | (.546) | (1.305) | (.043) | (.719) | .265 | .621 | |
Total from Investment Operations | (.509) | (1.092) | .076 | (.596) | .326 | .632 | |
Distributions | |||||||
Dividends from Net Investment Income | (.021) | (.328) | (.116) | (.134) | (.056) | (.012) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.021) | (.328) | (.116) | (.134) | (.056) | (.012) | |
Net Asset Value, End of Period | $9.62 | $10.15 | $11.57 | $11.61 | $12.34 | $12.07 | |
Total Return | -5.01% | -9.48% | 0.65% | -4.83% | 2.70% | 5.52% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $79 | $142 | $346 | $332 | $338 | $102 | |
Ratio of Total Expenses to Average Net Assets | |||||||
Based on Total Expenses2,3 | 1.10% | 1.40% | 1.74% | 1.46% | 1.52% | 1.36% | |
Net of Dividend and Borrowing Expense on Securities Sold Short | 0.14% | 0.14% | 0.14% | 0.14% | 0.14% | 0.15% | |
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.06% | 1.96% | 0.99% | 1.02% | 0.56% | 0.11% | |
Portfolio Turnover Rate | 100% | 141% | 110% | 79% | 64% | 68% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 | Calculated based on average shares outstanding. |
2 | Includes dividend expense on securities sold short of 0.96%, 1.26%, 1.60%, 1.32%, 1.38%, and 1.06%, respectively. |
3 | Includes borrowing expense on securities sold short of 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.15%, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Market Neutral Fund
Notes to Financial Statements
Vanguard Market Neutral 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 Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
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.
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 at their fair values calculated according to procedures adopted by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
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. Short Sales: Short sales are the sales of securities that the fund does not own. The fund sells a security it does not own in anticipation of a decline in the value of that security. In order to deliver the security to the purchaser, the fund borrows the security from a broker-dealer. The fund must segregate, as collateral for its obligation to return the borrowed security, an amount of cash and long security positions at least equal to the market value of the security sold short. In the absence of a default, the collateral segregated by the fund cannot be repledged, resold, or rehypothecated. This results in the fund holding a significant portion of its assets in cash. The fund later closes out the position by returning the security to the lender, typically by purchasing the security in the open market. A gain, limited to the price at which the fund sold the security short, or a loss, theoretically unlimited in size, is recognized upon the termination of the short sale. The fund may receive a portion of the income from the investment of collateral, or be charged a fee on borrowed securities, based on the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The net amounts of income or fees are recorded as interest income (for net income received) or borrowing expense on securities sold short (for net fees charged) in the Statement of Operations. Dividends on securities sold short are reported as an expense in the Statement of Operations. Cash collateral segregated for securities sold short is recorded as an asset in the Statement of Assets and Liabilities. Long security positions segregated as collateral are shown in the Schedule of Investments.
16
Market Neutral Fund
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 (December 31, 2016–2019), and for the period ended June 30, 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. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. 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 Facilities 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
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
17
Market Neutral Fund
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 June 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend income (or dividend expense on short positions) 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 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 June 30, 2020, the fund had contributed to Vanguard capital in the amount of $15,000, 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. 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.
At June 30, 2020, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
18
Market Neutral Fund
D. As of June 30, 2020, gross unrealized appreciation and depreciation for investments and securities sold short based on cost for U.S. federal income tax purposes were as follows:
Amount | ||
($000 | ) | |
Tax Cost | 315,784 | |
Gross Unrealized Appreciation | 85,988 | |
Gross Unrealized Depreciation | (74,152 | ) |
Net Unrealized Appreciation (Depreciation) | 11,836 |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2019, the fund had available capital losses totaling $223,478,000 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 December 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 June 30, 2020, the fund purchased $325,825,000 of investment securities and sold $459,642,000 of investment securities, other than temporary cash investments. The proceeds of short sales and the cost of purchases to cover short sales were $336,036,000 and $495,422,000, respectively.
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | ||||||||||||
June 30, 2020 | December 31, 2019 | ||||||||||||
Amount | Shares | Amount | Shares | ||||||||||
($000 | ) | (000 | ) | ($000 | ) | (000 | ) | ||||||
Investor Shares | |||||||||||||
Issued | 47,792 | 4,833 | 143,089 | 13,108 | |||||||||
Issued in Lieu of Cash Distributions | 514 | 53 | 14,208 | 1,375 | |||||||||
Redeemed | (184,948 | ) | (18,694 | ) | (842,444 | ) | (78,478 | ) | |||||
Net Increase (Decrease)—Investor Shares | (136,642 | ) | (13,808 | ) | (685,147 | ) | (63,995 | ) | |||||
Institutional Shares | |||||||||||||
Issued | 1,160 | 114 | 46,192 | 4,228 | |||||||||
Issued in Lieu of Cash Distributions | 104 | 11 | 3,397 | 329 | |||||||||
Redeemed | (58,738 | ) | (5,871 | ) | (218,536 | ) | (20,483 | ) | |||||
Net Increase (Decrease)—Institutional Shares | (57,474 | ) | (5,746 | ) | (168,947 | ) | (15,926 | ) |
At June 30, 2020, one shareholder was the record or beneficial owner of 25% 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. Management has determined that no events or transactions occurred subsequent to June 30, 2020, that would require recognition or disclosure in these financial statements.
19
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Market Neutral Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Quantitative Equity Group. The board determined that continuing the fund’s internalized management structure 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 over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that 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.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short-and long-term performance of the fund, 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.
20
Cost
The board concluded that the fund’s expense ratio was reasonable compared with the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were well below the peer-group average.
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 arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
21
Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short-and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Montgomery Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Market Neutral Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.
22
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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. | |
Q6342 082020 |
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 the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a) | 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 MONTGOMERY FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER |
Date: August 19, 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 MONTGOMERY FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER |
Date: August 19, 2020
VANGUARD MONTGOMERY FUNDS | ||
BY: | /s/ JOHN BENDL* | |
JOHN BENDL CHIEF FINANCIAL OFFICER |
Date: August 19, 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.
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Montgomery Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 19, 2020
/s/ Mortimer J. Buckley
Mortimer J. Buckley
Chief Executive Officer
CERTIFICATIONS
I, John Bendl, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Montgomery Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 19, 2020
/s/ John Bendl
John Bendl
Chief Financial Officer
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Montgomery Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 19, 2020
/s/ Mortimer J. Buckley
Mortimer J. Buckley
Chief Executive Officer
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Montgomery Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 19, 2020
/s/ John Bendl
John Bendl
Chief Financial Officer