0001752724-21-119818.txt : 20210601 0001752724-21-119818.hdr.sgml : 20210601 20210601131409 ACCESSION NUMBER: 0001752724-21-119818 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210331 FILED AS OF DATE: 20210601 PERIOD START: 20211231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INDEX FUNDS CENTRAL INDEX KEY: 0000036405 IRS NUMBER: 231999755 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02652 FILM NUMBER: 21984199 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX FUNDS/ DATE OF NAME CHANGE: 20011121 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INDEX INVESTMENT 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0.705537874553 Long EC CORP US N 1 N N N Copart Inc 549300KVYX3JWMYEHU61 COPART INC 217204106 1432091.00000000 NS USD 155539403.51000000 0.731394216553 Long EC CORP US N 1 N N N Altice USA Inc 54930064K3612MGCER95 ALTICE USA INC-A 02156K103 1548105.00000000 NS USD 50359855.65000000 0.236807563470 Long EC CORP US N 1 N N N KLA Corp 549300H0BF5JCG96TJ81 KLA CORP 482480100 518710.00000000 NS USD 171381784.00000000 0.805889972646 Long EC CORP US N 1 N N N Generac Holdings Inc 529900S2H2AHJHSFFI84 GENERAC HOLDINGS 368736104 211729.00000000 NS USD 69330661.05000000 0.326014137752 Long EC CORP US N 1 N N N IDEXX Laboratories Inc OGMTXK0LUU1HKV2P0J84 IDEXX LABS 45168D104 575212.00000000 NS USD 281456983.72000000 1.323497489741 Long EC CORP US N 1 N N N Crowdstrike Holdings Inc 549300YBY08K9KM4HX32 CROWDSTRIKE HO-A 22788C105 602170.00000000 NS USD 109902046.70000000 0.516793298224 Long EC CORP US N 1 N N N Alnylam Pharmaceuticals Inc 529900S3ZI14OWRJII50 ALNYLAM PHARMACE 02043Q107 787822.00000000 NS USD 111232588.18000000 0.523049914370 Long EC CORP US N 1 N N N Horizon Therapeutics Plc 529900P0GSQ79OOZEV53 HORIZON THERAPEU G46188101 754604.00000000 NS USD 69453752.16000000 0.326592950091 Long EC CORP US N 1 N N N Chewy Inc N/A CHEWY INC- CL A 16679L109 480734.00000000 NS USD 40722977.14000000 0.191491990382 Long EC CORP US N 1 N N MSCI Inc 549300HTIN2PD78UB763 MSCI INC 55354G100 528195.00000000 NS USD 221461599.60000000 1.041380701486 Long EC CORP US N 1 N N N Chipotle Mexican Grill Inc N/A CHIPOTLE MEXICAN 169656105 189498.00000000 NS USD 269242548.36000000 1.266061449874 Long EC CORP US N 1 N N N Veeva Systems Inc 549300YZEXPDB92M2F02 VEEVA SYSTEMS-A 922475108 918276.00000000 NS USD 239890422.24000000 1.128038705777 Long EC CORP US N 1 N N N Centene Corp 549300Z7JJ4TQSQGT333 CENTENE CORP 15135B101 3916130.00000000 NS USD 250279868.30000000 1.176893083446 Long EC CORP US N 1 N N N XPO Logistics Inc 54930096DB9LCLPN7H13 XPO LOGISTICS IN 983793100 137990.00000000 NS USD 17014167.00000000 0.080005857438 Long EC CORP US N 1 N N N Zillow Group Inc 2549002XEELQDIR6FU05 ZILLOW GROUP I-A 98954M101 288540.00000000 NS USD 37908385.20000000 0.178256911550 Long EC CORP US N 1 N N N Palantir Technologies Inc 549300UVN46B3BBDHO85 PALANTIR TECHN-A 69608A108 1179183.00000000 NS USD 27463172.07000000 0.129140299929 Long EC CORP US N 1 N N N Splunk Inc 549300XGDSGBP6UEI867 SPLUNK INC 848637104 1088950.00000000 NS USD 147530946.00000000 0.693735980928 Long EC CORP US N 1 N N N Mettler-Toledo International Inc 5493000BD5GJNUDIUG10 METTLER-TOLEDO 592688105 157622.00000000 NS USD 182162169.18000000 0.856582666555 Long EC CORP US N 1 N N N Oak Street Health Inc 2549007CJE6GSEURLA30 OAK STREET HEALT 67181A107 567518.00000000 NS USD 30799201.86000000 0.144827340252 Long EC CORP US N 1 N N N AMETEK Inc 549300WZDEF9KKE40E98 AMETEK INC 031100100 1552366.00000000 NS USD 198283709.18000000 0.932391116709 Long EC CORP US N 1 N N N Leidos Holdings Inc 549300IUTGTP6EJP8124 LEIDOS HOLDINGS 525327102 238852.00000000 NS USD 22996670.56000000 0.108137433139 Long EC CORP US N 1 N N N Wayfair Inc 54930027N9ZAVYFDHK53 WAYFAIR INC- A 94419L101 492654.00000000 NS USD 155062846.50000000 0.729153298605 Long EC CORP US N 1 N N N DocuSign Inc 549300Q7PVDWRZ39JG09 DOCUSIGN INC 256163106 1193348.00000000 NS USD 241593302.60000000 1.136046174101 Long EC CORP US N 1 N N N Zillow Group Inc 2549002XEELQDIR6FU05 ZILLOW GRO-C 98954M200 1049837.00000000 NS USD 136100868.68000000 0.639988234325 Long EC CORP US N 1 N N N Lyft Inc 549300H7I5VN334XVZ52 LYFT INC-A 55087P104 1724360.00000000 NS USD 108945064.80000000 0.512293274363 Long EC CORP US N 1 N N N Kansas City Southern 5493008C12PZMWP3WY03 KANSAS CITY SOUT 485170302 611698.00000000 NS USD 161439336.16000000 0.759137518384 Long EC CORP US N 1 N N N Zscaler Inc 529900MZ0RTK1BWRNF46 ZSCALER INC 98980G102 496948.00000000 NS USD 85311063.16000000 0.401158914044 Long EC CORP US N 1 N N N Cerner Corp 549300L4UJ40IEVVI304 CERNER CORP 156782104 2062560.00000000 NS USD 148256812.80000000 0.697149230352 Long EC CORP US N 1 N N N Etsy Inc 54930089Q7XT501AEA40 ETSY INC 29786A106 806557.00000000 NS USD 162658350.19000000 0.764869698085 Long EC CORP US N 1 N N N SBA Communications Corp 5299001HX8ZN8Y8QIT49 SBA COMM CORP 78410G104 739464.00000000 NS USD 205238233.20000000 0.965093432214 Long EC CORP US N 1 N N N Unity Software Inc N/A UNITY SOFTWARE I 91332U101 920935.00000000 NS USD 92378989.85000000 0.434394483858 Long EC CORP US N 1 N N Plug Power Inc 549300JPDKRSJ8JSM954 PLUG POWER INC 72919P202 3383563.00000000 NS USD 121266897.92000000 0.570234331600 Long EC CORP US N 1 N N N Jack Henry & Associates Inc 529900X1QS8C54W0JB21 JACK HENRY 426281101 255840.00000000 NS USD 38816044.80000000 0.182525006754 Long EC CORP US N 1 N N N Insulet Corp 549300TZTYD2PYN92D43 INSULET CORP 45784P101 444954.00000000 NS USD 116097397.68000000 0.545925748098 Long EC CORP US N 1 N N N Invitation Homes Inc N/A INVITATION HOMES 46187W107 3819137.00000000 NS USD 122174192.63000000 0.574500710978 Long EC CORP US N 1 N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 Vanguard Market Liquidity Fund N/A 789966.76000000 NS USD 78996676.00000000 0.371466719361 Long STIV CORP US N 1 N N Regency Centers Corp 529900053A7X7FJ97S58 REGENCY CENTERS 758849103 571409.00000000 NS USD 32404604.39000000 0.152376437775 Long EC CORP US N 1 N N N JB Hunt Transport Services Inc 549300XCD1MPI1C5GK90 HUNT (JB) TRANS 445658107 569420.00000000 NS USD 95702419.40000000 0.450022273968 Long EC CORP US N 1 N N N Lamb Weston Holdings Inc 5493005SMYID1D2OY946 LAMB WESTON 513272104 985689.00000000 NS USD 76371183.72000000 0.359120845416 Long EC CORP US N 1 N N N Bio-Rad Laboratories Inc 549300ZC1GPV35XYDK53 BIO-RAD LABS-A 090572207 70843.00000000 NS USD 40463396.31000000 0.190271361310 Long EC CORP US N 1 N N N Tractor Supply Co 549300OJ9VZHZRO6I137 TRACTOR SUPPLY 892356106 783078.00000000 NS USD 138667452.24000000 0.652057101311 Long EC CORP US N 1 N N N Dropbox Inc 549300JCDF7UAR6TJR51 DROPBOX INC-A 26210C104 2119233.00000000 NS USD 56498751.78000000 0.265674545239 Long EC CORP US N 1 N N N Arista Networks Inc 635400H1WKBLOQERUU95 ARISTA NETWORKS 040413106 385501.00000000 NS USD 116378896.89000000 0.547249444149 Long EC CORP US N 1 N N N SS&C Technologies Holdings Inc 529900POY8H7NPPNKK71 SS&C TECHNOLOGIE 78467J100 1464903.00000000 NS USD 102352772.61000000 0.481294284572 Long EC CORP US N 1 N N N RingCentral Inc 549300C8EH0H1614VE84 RINGCENTRAL IN-A 76680R206 540505.00000000 NS USD 161005629.40000000 0.757098095519 Long EC CORP US N 1 N N N Cheniere Energy Inc MIHC87W9WTYSYZWV1J40 CHENIERE ENERGY 16411R208 1536404.00000000 NS USD 110636452.04000000 0.520246698495 Long EC CORP US N 1 N N N Newmont Corp 549300VSP3RIX7FGDZ51 NEWMONT CORP 651639106 1347353.00000000 NS USD 81204965.31000000 0.381850776348 Long EC CORP US N 1 N N N Interactive Brokers Group Inc 5493004DT6DCDUZNDM53 INTERACTIVE BROK 45841N107 518970.00000000 NS USD 37905568.80000000 0.178243667969 Long EC CORP US N 1 N N N Akamai Technologies Inc OC1LZNN2LF5WTJ5RIL89 AKAMAI TECHNOLOG 00971T101 1096207.00000000 NS USD 111703493.30000000 0.525264255389 Long EC CORP US N 1 N N N 2021-05-28 VANGUARD INDEX FUNDS Christine M. Buchanan Christine M. Buchanan Treasurer XXXX NPORT-EX 2 vgmidcapgrowthindx033121.htm
Vanguard® Mid-Cap Growth Index Fund
Schedule of Investments (unaudited)
As of March 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value
($000)
Common Stocks (99.9%)
Basic Materials (1.5%)
  Fastenal Co. 3,876,823    194,927
  Newmont Corp. 1,350,617     81,402
  FMC Corp.   438,045     48,452
            324,781
Consumer Discretionary (15.1%)
* Chipotle Mexican Grill Inc. Class A   189,986    269,936
* Peloton Interactive Inc. Class A 1,690,681    190,100
* Trade Desk Inc. Class A   287,559    187,391
* Dollar Tree Inc. 1,587,666    181,724
* Etsy Inc.   808,614    163,073
* Expedia Group Inc.   933,871    160,738
* Copart Inc. 1,435,704    155,932
* Wayfair Inc. Class A 493,905 155,457
  Tractor Supply Co. 785,098 139,025
* Take-Two Interactive Software Inc. 777,507 137,385
* Burlington Stores Inc. 447,148 133,608
* Aptiv plc 911,463 125,691
* Lululemon Athletica Inc. 401,197 123,051
* Ulta Beauty Inc. 361,291 111,700
* NVR Inc. 23,608 111,216
* Lyft Inc. Class A 1,728,752 109,223
  Domino's Pizza Inc. 261,949 96,342
* Wynn Resorts Ltd. 702,376 88,057
* Live Nation Entertainment Inc. 952,656 80,642
* LKQ Corp. 1,741,784 73,730
* Carvana Co. Class A 264,384 69,374
* Caesars Entertainment Inc. 667,848 58,403
* DraftKings Inc. Class A 925,470 56,759
* Penn National Gaming Inc. 524,263 54,964
  Rollins Inc. 1,493,305 51,400
*,1 Chewy Inc. Class A 482,514 40,874
* Vail Resorts Inc. 135,853 39,623
  Warner Music Group Corp. Class A 599,704 20,588
*,1 QuantumScape Corp. Class A 445,930 19,955
1 Sirius XM Holdings Inc. 2,793,020 17,009
            3,222,970
Consumer Staples (1.9%)
  McCormick & Co. Inc. (Non-Voting) 1,680,607 149,843
  Church & Dwight Co. Inc. 1,654,475 144,518
  Lamb Weston Holdings Inc. 987,974 76,548

          Shares Market
Value
($000)
  Hormel Foods Corp.   911,291     43,542
            414,451
Energy (2.8%)
  Pioneer Natural Resources Co. 1,458,821    231,690
* Plug Power Inc. 3,392,163    121,575
* Cheniere Energy Inc. 1,540,323    110,919
  Hess Corp.   932,742     66,001
* Enphase Energy Inc.   391,925     63,554
            593,739
Financials (5.4%)
  MSCI Inc. Class A   529,539    222,025
  First Republic Bank 1,185,968    197,760
* SVB Financial Group   350,264    172,911
  MarketAxess Holdings Inc.   243,661    121,324
  Broadridge Financial Solutions Inc. 781,676 119,675
  FactSet Research Systems Inc. 256,367 79,112
  Cboe Global Markets Inc. 723,671 71,419
* Markel Corp. 46,517 53,012
  Interactive Brokers Group Inc. Class A 520,873 38,044
  SEI Investments Co. 436,600 26,602
*,1 Opendoor Technologies Inc. 1,171,292 24,820
  Tradeweb Markets Inc. Class A 291,472 21,569
            1,148,273
Health Care (16.4%)
* IDEXX Laboratories Inc. 576,664 282,167
* Centene Corp. 3,925,888 250,904
* IQVIA Holdings Inc. 1,294,402 250,001
* Veeva Systems Inc. Class A 920,528 240,479
* Dexcom Inc. 649,225 233,325
  ResMed Inc. 982,236 190,573
* Teladoc Health Inc. 912,966 165,932
* Exact Sciences Corp. 1,141,435 150,418
  Cerner Corp. 2,067,573 148,617
  West Pharmaceutical Services Inc. 500,223 140,953
  Teleflex Inc. 315,168 130,940
* Align Technology Inc. 239,523 129,709
  Cooper Cos. Inc. 331,736 127,416
* Seagen Inc. 917,195 127,362
* Insulet Corp. 446,055 116,385
* Alnylam Pharmaceuticals Inc. 789,776 111,508
* Varian Medical Systems Inc. 620,056 109,458
* Incyte Corp. 1,261,399 102,514
* ABIOMED Inc. 305,325 97,316
* BioMarin Pharmaceutical Inc. 1,225,383 92,529
* Horizon Therapeutics plc 756,198 69,600
* Catalent Inc. 574,552 60,506
* 10X Genomics Inc. Class A 246,892 44,687
* Bio-Rad Laboratories Inc. Class A 71,048 40,581
* PPD Inc. 827,481 31,312
* Oak Street Health Inc. 569,508 30,907
*,1 GoodRx Holdings Inc. Class A 259,294 10,118
            3,486,217
Industrials (17.1%)
  IHS Markit Ltd. 2,409,412 233,183
* TransDigm Group Inc. 350,710 206,189
  Cintas Corp. 602,635 205,685
  AMETEK Inc. 1,556,368 198,795

          Shares Market
Value
($000)
  Verisk Analytics Inc. Class A 1,098,885    194,162
* Mettler-Toledo International Inc.   158,017    182,619
* Zebra Technologies Corp. Class A   360,931    175,117
  Old Dominion Freight Line Inc.   710,441    170,797
  Kansas City Southern   613,266    161,853
* FleetCor Technologies Inc.   564,772    151,715
  Vulcan Materials Co.   894,737    150,987
  Equifax Inc.   821,129    148,731
  Martin Marietta Materials Inc.   420,458    141,198
* Trimble Inc. 1,688,800    131,372
  Xylem Inc. 1,216,640    127,966
  Expeditors International of Washington Inc. 1,143,346    123,127
* Waters Corp.   419,782    119,289
  TransUnion 1,287,258    115,853
  Masco Corp. 1,735,868 103,978
  JB Hunt Transport Services Inc. 570,833 95,940
  Westinghouse Air Brake Technologies Corp. 1,211,288 95,886
  Ball Corp. 1,106,865 93,796
* Generac Holdings Inc. 212,163 69,473
  HEICO Corp. Class A 492,190 55,913
  Cognex Corp. 564,763 46,870
  Fortune Brands Home & Security Inc. 468,011 44,845
  Jack Henry & Associates Inc. 256,745 38,953
  HEICO Corp. 292,828 36,838
* XPO Logistics Inc. 137,990 17,014
*,1 Affirm Holdings Inc. Class A 175,695 12,425
            3,650,569
Real Estate (7.0%)
  Digital Realty Trust Inc. 1,892,033 266,474
* CoStar Group Inc. 266,032 218,649
  SBA Communications Corp. Class A 741,324 205,754
  Alexandria Real Estate Equities Inc. 922,711 151,601
* Zillow Group Inc. Class C 1,049,837 136,101
  Invitation Homes Inc. 3,828,834 122,484
  Extra Space Storage Inc. 886,683 117,530
  Sun Communities Inc. 753,418 113,043
  Realty Income Corp. 1,260,105 80,017
* Zillow Group Inc. Class A 291,977 38,360
  Regency Centers Corp. 573,248 32,509
            1,482,522
Technology (30.0%)
  Microchip Technology Inc. 1,817,621 282,131
  Amphenol Corp. Class A 4,044,570 266,820
* Cadence Design Systems Inc. 1,883,202 257,980
* Synopsys Inc. 1,028,589 254,864
* DocuSign Inc. Class A 1,196,358 242,203
* Match Group Inc. 1,705,734 234,334
  Marvell Technology Group Ltd. 4,534,889 222,119
  Xilinx Inc. 1,655,698 205,141
  Skyworks Solutions Inc. 1,113,138 204,239
* Palo Alto Networks Inc. 623,608 200,839
* ANSYS Inc. 585,606 198,848
* Okta Inc. Class A 818,233 180,363
* Fortinet Inc. 936,371 172,686
  KLA Corp. 520,028 171,817
* Twitter Inc. 2,559,243 162,845
* RingCentral Inc. Class A 541,859 161,409

          Shares Market
Value
($000)
* Splunk Inc. 1,091,653    147,897
* EPAM Systems Inc.   359,812    142,734
  Teradyne Inc. 1,125,255    136,921
* HubSpot Inc.   297,147    134,967
* Pinterest Inc. Class A 1,797,059    133,036
* Slack Technologies Inc. Class A 3,216,033    130,668
* VeriSign Inc.   648,932    128,982
* Paycom Software Inc.   345,353    127,801
* Coupa Software Inc.   487,206    123,984
* Datadog Inc. Class A 1,420,966    118,423
  Citrix Systems Inc.   830,043    116,505
* Tyler Technologies Inc.   273,915    116,285
* IAC/InterActiveCorp   532,147    115,109
* Akamai Technologies Inc. 1,098,903    111,978
* Crowdstrike Holdings Inc. Class A 603,706 110,182
* Gartner Inc. 568,958 103,863
  SS&C Technologies Holdings Inc. 1,468,751 102,622
* Cloudflare Inc. Class A 1,436,193 100,907
*,1 Unity Software Inc. 923,217 92,608
* GoDaddy Inc. Class A 1,144,623 88,846
* Zscaler Inc. 498,212 85,528
* Black Knight Inc. 1,006,991 74,507
* ON Semiconductor Corp. 1,390,418 57,855
* Dropbox Inc. Class A 2,124,338 56,635
* Zendesk Inc. 397,639 52,735
  Monolithic Power Systems Inc. 145,138 51,264
* IPG Photonics Corp. 234,907 49,551
* MongoDB Inc. Class A 183,137 48,976
* ZoomInfo Technologies Inc. Class A 599,653 29,323
* Palantir Technologies Inc. Class A 1,183,944 27,574
* Bumble Inc. Class A 388,398 24,228
  Leidos Holdings Inc. 239,937 23,101
* Qualtrics International Inc. Class A 176,870 5,821
            6,390,054
Telecommunications (1.8%)
* Roku Inc. Class A 374,923 122,139
* Arista Networks Inc. 386,464 116,670
* Liberty Broadband Corp. Class C 532,739 79,991
* Altice USA Inc. Class A 1,552,275 50,495
* Liberty Broadband Corp. Class A 80,944 11,749
  Ubiquiti Inc. 21,080 6,288
            387,332
Utilities (0.9%)
  Waste Connections Inc. 1,770,227 191,149
Total Common Stocks (Cost $13,798,652) 21,292,057

      Coupon   Shares Market
Value
($000)
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
2,3 Vanguard Market Liquidity Fund
(Cost $106,089)
0.081%   1,060,905    106,091
Total Investments (100.4%) (Cost $13,904,741)   21,398,148
Other Assets and Liabilities—Net (-0.4%)   (92,134)
Net Assets (100%)   21,306,014
Cost is in $000.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $83,939,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $83,992,000 was received for securities on loan.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P Mid-Cap 400 Index June 2021 76 19,800 (267)

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 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.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At March 31, 2021, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.