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: 811-07043
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Name of Registrant: |
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Vanguard Admiral Funds |
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Address of Registrant: |
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P.O. Box 2600 |
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Valley Forge, PA 19482 |
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Name and address of agent for service: |
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Anne E. Robinson, Esquire |
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P.O. Box 876 |
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Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2018—August 31, 2019
Item 1: Reports to Shareholders
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Annual Report | August 31, 2019
Vanguard Money Market Funds
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Vanguard Prime Money Market Fund Vanguard Federal Money Market Fund Vanguard Treasury Money Market Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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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.
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Contents |
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A Note From Our Chairman |
1 |
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Your Fund’s Performance at a Glance |
2 |
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Advisor’s Report |
3 |
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About Your Fund’s Expenses |
6 |
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Prime Money Market Fund |
8 |
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Federal Money Market Fund |
31 |
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Treasury Money Market Fund |
47 |
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Trustees Approve Advisory Arrangements |
59 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets— affecting stocks, bonds, and commodities— has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they should reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
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Sincerely, |
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Mortimer J. Buckley |
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Chairman and Chief Executive Officer |
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October 1, 2019 |
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Your Fund’s Performance at a Glance
· For the 12 months ended August 31, 2019, Vanguard Prime Money Market Fund returned 2.36% for Investor Shares and 2.42% for Admiral Shares. Vanguard Federal Money Market Fund returned 2.26% and Vanguard Treasury Fund returned 2.25% over the same period. All three funds surpassed the average returns of their peers.
· With Brexit and trade tensions adding to worries about slowing growth at home and abroad, the Federal Reserve pivoted from raising rates twice in the second half of 2018 to cutting them in August and September 2019 and scheduling an end to its balance sheet unwind.
· The funds’ low expense ratios continued to be a key support for delivering competitive returns, although the advisor’s primary focus is on principal preservation and liquidity. Risk mitigation for the U.S. government potentially defaulting on its debt was a headwind, but the advisor’s use of floating-rate notes and repurchase agreements helped.
Market Barometer
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Average Annual Total Returns | ||
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Periods Ended August 31, 2019 | ||
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One Year |
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Three Years |
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Five Years |
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Stocks |
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Russell 1000 Index (Large-caps) |
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2.49% |
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12.57% |
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9.85% |
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Russell 2000 Index (Small-caps) |
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-12.89 |
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7.89 |
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6.41 |
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Russell 3000 Index (Broad U.S. market) |
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1.31 |
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12.24 |
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9.60 |
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FTSE All-World ex US Index (International) |
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-3.18 |
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5.97 |
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1.71 |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) |
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10.17% |
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3.09% |
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3.35% |
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Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) |
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8.72 |
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3.30 |
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3.85 |
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FTSE Three-Month U.S. Treasury Bill Index |
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2.36 |
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1.47 |
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0.91 |
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CPI |
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Consumer Price Index |
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1.75% |
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2.13% |
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1.53% |
Advisor’s Report
For the 12 months ended August 31, 2019, Vanguard Prime Money Market Fund returned 2.36% for Investor Shares and 2.42% for Admiral Shares. Vanguard Federal Money Market Fund returned 2.26% and Vanguard Treasury Money Market Fund returned 2.25%. All three funds surpassed the average returns of their peers.
The investment environment
Macroeconomic sentiment deteriorated significantly over the 12 months. The U.S. economy initially looked to be in good shape even as prospects for the global economy dimmed. U.S. GDP clocked in at about 3.5% for the third quarter of 2018 on an annualized basis, well above trend. Inflation was picking up a little, the unemployment rate was at a multi-decade low, and wages finally showed some signs of acceleration. Solid corporate earnings, boosted by previous tax cuts, added to the optimistic mood.
The U.S. Federal Reserve, citing strong job gains and near-target inflation, raised short-term interest rates in September and again in early December, pushing the federal funds rate up to a range of 2.25%—2.50%. Although still historically very low, that was the highest level in more than a decade.
Given the buoyant outlook, the bellwether U.S. 10-year Treasury note hit a high for the period of 3.24% in early November.
Toward the end of 2018, however, investors grew skittish about the prospect of further monetary tightening by the Fed, especially as the U.S. economy began to show signs of slowing growth. Additional concerns included a flare-up in the ongoing trade dispute with China, heightened tensions with Iran, and a lack of agreement in the United Kingdom on how to exit the European Union. Greater risk aversion led to a sell-off in stocks and lower-quality corporate bonds and a boost in demand for safer assets, including government bonds.
As the economic outlook flagged at home and abroad, a number of major central banks pivoted from a tightening to a loosening monetary policy bias. In March, the Fed announced that it would end its balance sheet tapering later in the year, and at the beginning of August it lowered the fed funds target range to 2.00%—2.25%, the first cut in more than a decade. (It made a second cut just after the close of the period.)
That pivot, along with declining growth prospects and subdued inflation, contributed to Treasury yields falling, especially for intermediate-term securities. The result was an inversion in parts of the yield curve much of the time from late May through the end of the funds’ fiscal year. The yield of the 10-year U.S. Treasury note finished at 1.50%, below the yield of the 3-month Treasury bill, which ended at 1.98%.
Management of the funds
We manage the funds with an emphasis on safety and liquidity above all else, resulting in a bias toward high-quality assets. Our funds are nevertheless able to achieve
competitive returns over the long run because of the persistent advantage of their low operating costs compared with those of their peer groups.
During the fiscal year, some concern arose that the federal government might not vote to raise its borrowing limit in time to avert defaulting on its debt. The timing of when it might run out of money would depend on cash flows and tax receipts but looked like it might occur early this fall. Treasuries with the shortest maturities would be the most affected, as their principal repayment could be delayed.
Our view in the first part of 2019 was that rates might not fall as much as the market was pricing in, which made longer-dated Treasury notes attractive, but we passed on adding any maturing in September or October out of an abundance of caution.
Holding floating rate notes in all three funds added value. The yields they pay reset periodically, often monthly, to reflect prevailing interest rates. In a rising-rate environment, these securities can help a fund’s yield adjust upward more quickly than if it held only fixed-rate instruments. They can also perform well relative to fixed-rate notes if the market prices in a steeper rate drop than actually occurs, essentially allowing us not to lock in lower rates.
Treasury bills were attractively priced at the beginning of the period. Because we viewed that as a function of high supply and nothing systemic, we took it as a buying opportunity. That tactical move played out well when issuance slowed and demand rose as cash poured into money market funds in the first half of this year, resulting in compressed bill spreads.
In the Prime Money Market Fund, exposure to Canadian, Australian, and Northern European bank debt provided some international diversification.
The outlook
We anticipate a soft landing in the United States. Growth will probably continue slowing through the end of the year with less support from fiscal policy, a global growth slowdown, and ongoing trade disputes taking a toll on business confidence and capital spending. A full-blown trade war with China is not our base case scenario, but further tensions are likely regarding tariffs as well as non-tariff measures such as quantitative restrictions and currency exchange rates.
While we believe a recession is some time off, the U.S. labor market should cool as employment growth falls and structural factors such as technology and globalization continue to hold down inflationary pressures. Higher wages will probably not funnel through to higher consumer prices; in fact, inflation may weaken from current levels, which are near the Federal Reserve’s 2% target for the end of 2019.
The Fed has recently cut rates twice, and the deteriorating backdrop could prompt it to lower rates further. This may contribute to the Treasury yield curve returning to an upward slope.
Bouts of volatility related to inflation and interest rate expectations are likely. Other potential triggers include an intensification of trade disputes, flare-ups in geopolitical tensions, the United Kingdom making a disorderly exit from the European Union, and missteps by central banks.
Whatever the markets may bring, our experienced team of portfolio managers, credit analysts, and traders will continue to seek out opportunities to produce competitive returns.
John C. Lanius, Portfolio Manager
Nafis T. Smith, Portfolio Manager
Vanguard Fixed Income Group
September 18, 2019
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.
Six Months Ended August 31, 2019
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Beginning |
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Ending |
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Expenses |
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Account Value |
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Account Value |
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Paid During |
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2/28/2019 |
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8/31/2019 |
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Period |
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Based on Actual Fund Return |
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Prime Money Market Fund |
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Investor Shares |
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$1,000.00 |
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$1,011.93 |
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$0.81 |
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Admiral™ Shares |
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1,000.00 |
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1,012.23 |
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0.51 |
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Federal Money Market Fund |
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$1,000.00 |
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$1,011.59 |
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$0.56 |
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Treasury Money Market Fund |
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$1,000.00 |
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$1,011.50 |
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$0.46 |
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Based on Hypothetical 5% Yearly Return |
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Prime Money Market Fund |
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Investor Shares |
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$1,000.00 |
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$1,024.40 |
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$0.82 |
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Admiral Shares |
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1,000.00 |
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1,024.70 |
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0.51 |
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Federal Money Market Fund |
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$1,000.00 |
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$1,024.65 |
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$0.56 |
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Treasury Money Market Fund |
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$1,000.00 |
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$1,024.75 |
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$0.46 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; and for the Treasury Money Market Fund, 0.09%. 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 (184/365).
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. The fund is only available to retail investors (natural persons). You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. The fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
Cumulative Performance: August 31, 2009, Through August 31, 2019
Initial Investment of $10,000
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Average Annual Total Returns |
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Periods Ended August 31, 2019 |
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Final Value | ||||
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One |
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Five |
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Ten |
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of a $10,000 |
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Year |
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Years |
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Years |
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Investment |
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Prime Money Market Fund Investor Shares |
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2.36% |
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1.02% |
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0.53% |
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10,544 |
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Money Market Funds Average |
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1.98 |
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0.72 |
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0.36 |
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10,366 |
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FTSE Three-Month U.S. Treasury Bill Index |
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2.36 |
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0.91 |
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0.49 |
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10,524 |
7-day SEC yield (8/31/2019): 2.12%
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
See Financial Highlights for dividend information.
Prime Money Market Fund
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Average Annual Total Returns |
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Periods Ended August 31, 2019 |
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Final Value |
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One |
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Five |
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Ten |
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of a $5,000,000 |
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Year |
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Years |
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Years |
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Investment |
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Prime Money Market Fund Admiral Shares |
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2.42% |
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1.08% |
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0.60% |
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$5,309,370 |
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Money Market Funds Average |
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1.98 |
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0.72 |
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0.36 |
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5,183,160 |
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FTSE Three-Month U.S. Treasury Bill Index |
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2.36 |
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0.91 |
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0.49 |
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5,262,120 |
7-day SEC yield (8/31/2019): 2.18%
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Prime Money Market Fund
Sector Diversification
As of August 31, 2019
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Certificates of Deposit |
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7.0% |
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U.S. Commercial Paper |
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3.9 |
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Repurchase Agreements |
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0.3 |
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U.S. Government Obligations |
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11.6 |
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U.S. Treasury Bills |
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18.4 |
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Yankee/Foreign |
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58.8 |
The table reflects the fund’s market exposure. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
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Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
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U.S. Government and Agency Obligations (30.0%) |
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Federal Home Loan Bank Discount Notes |
2.031%–2.228% |
9/4/19 |
1,504,991 |
1,504,713 | |
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Federal Home Loan Bank Discount Notes |
2.162% |
9/11/19 |
2,000,000 |
1,998,803 | |
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Federal Home Loan Bank Discount Notes |
2.154% |
9/13/19 |
901,000 |
900,355 | |
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Federal Home Loan Bank Discount Notes |
2.147% |
9/16/19 |
275,770 |
275,524 | |
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Federal Home Loan Bank Discount Notes |
2.149%–2.157% |
9/18/19 |
1,185,855 |
1,184,655 | |
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Federal Home Loan Bank Discount Notes |
2.152% |
9/20/19 |
1,000,000 |
998,868 | |
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Federal Home Loan Bank Discount Notes |
2.127% |
9/25/19 |
1,500,000 |
1,497,880 | |
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Federal Home Loan Bank Discount Notes |
2.097%–2.098% |
9/27/19 |
481,000 |
480,274 | |
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Federal Home Loan Bank Discount Notes |
2.057% |
10/2/19 |
1,400,000 |
1,397,529 | |
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Federal Home Loan Bank Discount Notes |
2.006%–2.011% |
10/11/19 |
1,500,000 |
1,496,666 | |
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Federal Home Loan Bank Discount Notes |
1.986% |
10/16/19 |
1,250,000 |
1,246,906 | |
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Federal Home Loan Bank Discount Notes |
2.016% |
10/18/19 |
376,215 |
375,228 | |
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United States Treasury Bill |
2.162% |
9/3/19 |
3,000,000 |
2,999,641 | |
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United States Treasury Bill |
2.057% |
10/8/19 |
17,600 |
17,563 | |
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United States Treasury Bill |
1.991% |
10/22/19 |
1,500,000 |
1,495,782 | |
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United States Treasury Bill |
2.051% |
10/24/19 |
2,000,000 |
1,993,993 | |
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United States Treasury Bill |
1.996% |
10/29/19 |
3,000,000 |
2,990,713 | |
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United States Treasury Bill |
2.081% |
10/31/19 |
1,000,000 |
996,550 | |
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United States Treasury Bill |
2.000% |
11/7/19 |
1,000,000 |
996,296 | |
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United States Treasury Bill |
1.970% |
11/14/19 |
1,290,800 |
1,285,599 | |
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United States Treasury Bill |
1.960% |
11/29/19 |
2,000,000 |
1,990,358 | |
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United States Treasury Bill |
2.061% |
1/2/20 |
3,000,000 |
2,979,090 | |
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United States Treasury Bill |
2.031% |
1/16/20 |
2,000,000 |
1,984,702 | |
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United States Treasury Bill |
2.031%–2.041% |
1/23/20 |
1,000,000 |
991,947 | |
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United States Treasury Bill |
1.857% |
2/20/20 |
1,000,000 |
991,209 | |
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United States Treasury Bill |
1.857% |
2/27/20 |
1,000,900 |
991,743 | |
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United States Treasury Note/Bond |
1.250% |
10/31/19 |
500,000 |
499,333 | |
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United States Treasury Note/Bond |
1.500% |
10/31/19 |
477,000 |
476,572 | |
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Total U.S. Government and Agency Obligations (Cost $37,038,492) |
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37,038,492 | ||||
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Commercial Paper (37.0%) |
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Bank Holding Company (0.2%) |
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2 |
ABN Amro Funding USA LLC |
2.410%–2.415% |
10/7/19 |
248,000 |
247,406 | |
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MUFG Bank Ltd. (New York Branch) |
2.375% |
9/18/19 |
21,000 |
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20,977 |
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268,383 | |
Prime Money Market Fund
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Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
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Finance — Auto (1.2%) |
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American Honda Finance Corp. |
2.530% |
9/9/19 |
64,000 |
63,964 | |
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American Honda Finance Corp. |
2.333%–2.343% |
9/10/19 |
82,300 |
82,252 | |
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American Honda Finance Corp. |
2.509% |
9/12/19 |
119,000 |
118,910 | |
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American Honda Finance Corp. |
2.396%–2.438% |
9/26/19 |
76,450 |
76,323 | |
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American Honda Finance Corp. |
2.247% |
11/8/19 |
29,250 |
29,127 | |
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American Honda Finance Corp. |
2.101% |
11/13/19 |
75,000 |
74,682 | |
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3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.100% |
2.245% |
12/18/19 |
198,000 |
198,000 | |
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3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.110% |
2.321% |
12/9/19 |
121,000 |
121,000 | |
|
3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.120% |
2.302% |
1/14/20 |
126,000 |
126,000 | |
|
3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.150% |
2.332% |
2/12/20 |
130,000 |
130,000 | |
|
3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.150% |
2.332% |
2/13/20 |
130,000 |
130,000 | |
|
3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.180% |
2.350% |
2/19/20 |
162,000 |
162,000 | |
|
3 |
Toyota Motor Credit Corp., 1M USD LIBOR + 0.180% |
2.350% |
2/20/20 |
162,000 |
|
162,000 |
|
|
|
|
|
|
1,474,258 | |
|
Foreign Banks (24.9%) |
|
|
|
| ||
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.080% |
2.309% |
1/6/20 |
495,000 |
495,000 | |
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130% |
2.327% |
2/18/20 |
248,000 |
248,000 | |
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130% |
2.297% |
2/20/20 |
89,000 |
88,999 | |
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130% |
2.302% |
2/20/20 |
166,000 |
166,000 | |
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.210% |
2.377% |
8/20/20 |
169,000 |
169,000 | |
|
2,3 |
Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.340% |
2.509% |
11/21/19 |
600,000 |
600,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.090% |
2.260% |
11/22/19 |
125,000 |
125,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.100% |
2.267% |
10/23/19 |
184,000 |
184,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.100% |
2.267% |
12/23/19 |
151,000 |
151,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.100% |
2.269% |
1/21/20 |
158,000 |
158,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.110% |
2.280% |
11/22/19 |
216,000 |
216,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.110% |
2.304% |
1/13/20 |
397,000 |
397,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.110% |
2.292% |
1/17/20 |
75,000 |
75,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.110% |
2.292% |
1/17/20 |
225,000 |
225,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.120% |
2.344% |
12/2/19 |
400,000 |
400,000 | |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.120% |
2.348% |
12/6/19 |
180,000 |
180,000 | |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.120% |
2.331% |
12/9/19 |
121,500 |
121,500 |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.130% |
2.325% |
2/14/20 |
130,000 |
130,000 |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.130% |
2.312% |
2/18/20 |
200,000 |
200,000 |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.160% |
2.383% |
3/9/20 |
255,000 |
255,000 |
|
2,3 |
Bank of Nova Scotia, 1M USD LIBOR + 0.170% |
2.315% |
3/27/20 |
155,000 |
155,000 |
|
2,3 |
Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.120% |
2.321% |
11/12/19 |
163,000 |
163,000 |
|
2,3 |
Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.130% |
2.331% |
2/11/20 |
550,000 |
550,000 |
|
2,3 |
Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.170% |
2.393% |
3/5/20 |
340,000 |
340,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.100% |
2.282% |
9/18/19 |
62,000 |
62,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.100% |
2.282% |
9/19/19 |
62,000 |
62,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% |
2.388% |
6/4/20 |
127,000 |
126,990 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% |
2.404% |
6/5/20 |
148,000 |
147,997 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% |
2.325% |
4/24/20 |
91,000 |
90,998 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.210% |
2.438% |
9/6/19 |
90,000 |
90,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.210% |
2.404% |
9/13/19 |
98,750 |
98,750 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.210% |
2.407% |
9/16/19 |
64,000 |
64,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.300% |
2.528% |
11/4/19 |
135,000 |
135,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.320% |
2.533% |
11/8/19 |
247,000 |
247,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.330% |
2.558% |
9/6/19 |
150,000 |
150,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.330% |
2.541% |
9/9/19 |
150,000 |
150,000 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.340% |
2.510% |
11/22/19 |
135,000 |
134,998 |
|
2,3 |
Commonwealth Bank of Australia, 1M USD LIBOR + 0.340% |
2.485% |
11/25/19 |
198,000 |
197,998 |
|
2 |
DBS Bank Ltd. |
2.425% |
9/3/19 |
120,000 |
119,984 |
|
2 |
DBS Bank Ltd. |
2.374%–2.415% |
9/10/19 |
191,500 |
191,386 |
|
2 |
DBS Bank Ltd. |
2.375% |
9/16/19 |
100,000 |
99,902 |
|
2 |
DBS Bank Ltd. |
2.360% |
9/17/19 |
127,000 |
126,868 |
|
2 |
DBS Bank Ltd. |
2.625% |
9/25/19 |
99,000 |
98,829 |
|
2 |
DBS Bank Ltd. |
2.615% |
9/27/19 |
200,000 |
199,627 |
|
2 |
DBS Bank Ltd. |
2.328% |
10/17/19 |
56,000 |
55,835 |
|
2 |
DBS Bank Ltd. |
2.582% |
10/18/19 |
200,000 |
199,334 |
|
2 |
DBS Bank Ltd. |
2.329% |
10/24/19 |
63,000 |
62,786 |
|
2 |
DBS Bank Ltd. |
2.593% |
11/1/19 |
99,000 |
98,570 |
|
2 |
DBS Bank Ltd. |
2.276% |
11/5/19 |
131,000 |
130,465 |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) |
|
2 |
DBS Bank Ltd. |
2.223% |
11/6/19 |
66,000 |
65,733 |
|
2 |
DBS Bank Ltd. |
2.162% |
11/7/19 |
99,000 |
98,604 |
|
2 |
DBS Bank Ltd. |
2.552% |
11/15/19 |
198,000 |
196,960 |
|
2 |
DBS Bank Ltd. |
2.511% |
11/18/19 |
59,500 |
59,180 |
|
2 |
DBS Bank Ltd. |
2.533% |
11/26/19 |
99,000 |
98,409 |
|
2 |
DBS Bank Ltd. |
2.092% |
12/6/19 |
68,000 |
67,623 |
|
2 |
DNB Bank ASA |
2.557% |
9/24/19 |
250,000 |
249,597 |
|
2 |
DNB Bank ASA |
2.441% |
10/9/19 |
590,000 |
588,493 |
|
2 |
DNB Bank ASA |
2.328% |
10/17/19 |
360,000 |
358,937 |
|
2,3 |
HSBC Bank plc, 1M USD LIBOR + 0.110% |
2.354% |
10/3/19 |
300,000 |
300,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.100% |
2.313% |
10/8/19 |
607,000 |
607,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.100% |
2.295% |
11/14/19 |
301,000 |
301,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.110% |
2.282% |
3/20/20 |
250,000 |
250,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.120% |
2.289% |
2/21/20 |
211,000 |
211,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.130% |
2.374% |
2/4/20 |
303,000 |
303,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.130% |
2.324% |
2/13/20 |
120,000 |
120,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.150% |
2.361% |
2/11/20 |
544,000 |
544,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.150% |
2.332% |
4/16/20 |
327,000 |
327,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.200% |
2.444% |
5/1/20 |
500,000 |
500,000 |
|
2,3 |
National Australia Bank Ltd., 1M USD LIBOR + 0.330% |
2.558% |
9/6/19 |
300,000 |
300,000 |
|
2 |
Nederlandse Waterschapsbank NV |
2.334% |
9/18/19 |
94,500 |
94,396 |
|
2 |
Nederlandse Waterschapsbank NV |
2.258% |
10/18/19 |
323,000 |
322,053 |
|
2 |
Nederlandse Waterschapsbank NV |
2.126% |
11/12/19 |
149,000 |
148,370 |
|
2 |
Nederlandse Waterschapsbank NV |
2.126% |
11/15/19 |
495,000 |
492,819 |
|
2 |
Nederlandse Waterschapsbank NV |
2.081% |
11/26/19 |
495,000 |
492,552 |
|
2 |
Nederlandse Waterschapsbank NV |
2.226% |
11/27/19 |
321,000 |
319,286 |
|
2 |
Nederlandse Waterschapsbank NV |
2.081% |
12/9/19 |
250,000 |
248,620 |
|
2 |
Nordea Bank ABP |
2.588% |
9/20/19 |
350,000 |
349,528 |
|
2 |
NRW Bank |
2.121%–2.481% |
9/3/19 |
417,500 |
417,447 |
|
2 |
NRW Bank |
2.121%–2.482% |
9/4/19 |
721,000 |
720,865 |
|
2 |
NRW Bank |
2.121%–2.425% |
9/6/19 |
1,020,000 |
1,019,690 |
|
2 |
NRW Bank |
2.426% |
9/9/19 |
297,000 |
296,841 |
|
2 |
NRW Bank |
2.421% |
9/10/19 |
51,000 |
50,969 |
|
2 |
NRW Bank |
2.343% |
9/13/19 |
157,000 |
156,878 |
|
2 |
NRW Bank |
2.344%–2.349% |
9/16/19 |
165,500 |
165,339 |
|
2 |
NRW Bank |
2.334% |
9/17/19 |
127,000 |
126,869 |
|
2 |
NRW Bank |
2.344% |
9/18/19 |
143,000 |
142,843 |
|
2 |
NRW Bank |
2.278% |
10/10/19 |
134,706 |
134,375 |
|
2 |
NRW Bank |
2.279% |
10/15/19 |
162,000 |
161,551 |
|
2 |
NRW Bank |
2.140% |
10/31/19 |
297,000 |
295,946 |
|
2 |
NRW Bank |
2.131% |
11/6/19 |
246,000 |
245,044 |
|
2 |
NRW Bank |
2.131% |
11/7/19 |
112,500 |
112,056 |
|
2 |
NRW Bank |
2.126% |
11/14/19 |
99,000 |
98,570 |
|
2 |
NRW Bank |
2.127% |
11/15/19 |
99,000 |
98,564 |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
|
2 |
NRW Bank |
2.090% |
11/21/19 |
149,000 |
148,303 | |
|
2 |
NRW Bank |
2.081% |
11/26/19 |
387,000 |
385,086 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.180% |
2.381% |
3/12/20 |
165,000 |
165,000 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.180% |
2.375% |
4/14/20 |
290,000 |
290,000 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.180% |
2.362% |
6/17/20 |
560,000 |
560,000 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.190% |
2.387% |
3/16/20 |
250,000 |
250,000 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.240% |
2.352% |
7/31/20 |
450,000 |
450,000 | |
|
2,3 |
Royal Bank of Canada, 1M USD LIBOR + 0.240% |
2.385% |
8/26/20 |
183,000 |
183,000 | |
|
|
Santander UK plc |
2.425% |
9/3/19 |
152,605 |
152,585 | |
|
|
Santander UK plc |
2.374% |
9/10/19 |
161,000 |
160,905 | |
|
|
Santander UK plc |
2.370% |
9/16/19 |
160,000 |
159,843 | |
|
|
Santander UK plc |
2.369% |
10/11/19 |
160,000 |
159,582 | |
|
|
Santander UK plc |
2.295% |
10/31/19 |
94,500 |
94,141 | |
|
2 |
Skandinaviska Enskilda Banken AB |
2.342% |
9/5/19 |
48,501 |
48,488 | |
|
2 |
Skandinaviska Enskilda Banken AB |
2.314% |
9/19/19 |
300,000 |
299,655 | |
|
2 |
Skandinaviska Enskilda Banken AB |
2.329% |
9/20/19 |
316,000 |
315,614 | |
|
2 |
Skandinaviska Enskilda Banken AB |
2.563% |
9/27/19 |
85,000 |
84,845 | |
|
2 |
Skandinaviska Enskilda Banken AB |
2.284% |
10/22/19 |
345,000 |
343,890 | |
|
2 |
Societe Generale SA |
2.141%–2.151% |
9/5/19 |
965,000 |
964,770 | |
|
2 |
Societe Generale SA |
2.141% |
9/9/19 |
963,000 |
962,542 | |
|
2 |
Svenska Handelsbanken AB |
2.584% |
9/26/19 |
300,000 |
299,469 | |
|
2,3 |
Toronto-Dominion Bank, 1M USD LIBOR + 0.100% |
2.272% |
12/20/19 |
460,000 |
460,000 | |
|
2,3 |
Toronto-Dominion Bank, 1M USD LIBOR + 0.120% |
2.348% |
12/6/19 |
470,000 |
470,000 | |
|
2,3 |
Toronto-Dominion Bank, 1M USD LIBOR + 0.180% |
2.377% |
6/16/20 |
35,000 |
35,000 | |
|
2,3 |
Toronto-Dominion Bank, 1M USD LIBOR + 0.180% |
2.325% |
6/23/20 |
200,000 |
200,000 | |
|
2,3 |
Toronto-Dominion Bank, 1M USD LIBOR + 0.370% |
2.593% |
11/7/19 |
500,000 |
500,000 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.150% |
2.266% |
5/29/20 |
150,000 |
149,985 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.160% |
2.404% |
6/5/20 |
111,000 |
110,992 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.160% |
2.404% |
6/5/20 |
100,000 |
99,996 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.200% |
2.394% |
9/13/19 |
324,250 |
324,250 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.210% |
2.392% |
9/19/19 |
170,000 |
170,000 | |
|
2,3,4 |
Westpac Banking Corp., 1M USD LIBOR + 0.210% |
2.382% |
9/20/19 |
25,000 |
25,000 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.300% |
2.440% |
10/28/19 |
395,000 |
394,997 | |
|
2,3 |
Westpac Banking Corp., 1M USD LIBOR + 0.320% |
2.533% |
11/8/19 |
215,000 |
|
214,998 |
|
|
|
|
|
|
30,824,759 | |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
|
Foreign Governments (4.9%) |
|
|
|
| ||
|
2 |
Alberta (Province Of) |
2.425% |
9/3/19 |
250,000 |
249,967 | |
|
2 |
Alberta (Province Of) |
2.425% |
9/4/19 |
50,000 |
49,990 | |
|
2 |
Alberta (Province Of) |
2.573% |
10/7/19 |
99,000 |
98,749 | |
|
2 |
Alberta (Province Of) |
2.542% |
11/5/19 |
79,276 |
78,917 | |
|
2 |
Alberta (Province Of) |
2.378% |
12/5/19 |
45,500 |
45,218 | |
|
|
BNG Bank NV |
2.116%–2.121% |
9/3/19 |
1,159,000 |
1,158,864 | |
|
|
BNG Bank NV |
2.111% |
9/4/19 |
570,000 |
569,900 | |
|
|
BNG Bank NV |
2.121% |
9/5/19 |
616,000 |
615,855 | |
|
|
BNG Bank NV |
2.151% |
9/6/19 |
201,650 |
201,590 | |
|
2 |
CDP Financial Inc. |
2.557% |
9/5/19 |
49,000 |
48,986 | |
|
2 |
CDP Financial Inc. |
2.459% |
9/24/19 |
15,750 |
15,725 | |
|
2 |
CDP Financial Inc. |
2.358% |
10/1/19 |
16,000 |
15,969 | |
|
2 |
CDP Financial Inc. |
2.204%–2.215% |
1/24/20 |
64,000 |
63,437 | |
|
4 |
CPPIB Capital Inc. |
2.365% |
9/16/19 |
25,000 |
24,976 | |
|
4 |
CPPIB Capital Inc. |
2.366% |
9/19/19 |
7,000 |
6,992 | |
|
4 |
CPPIB Capital Inc. |
2.481% |
10/1/19 |
30,000 |
29,939 | |
|
4 |
CPPIB Capital Inc. |
2.526% |
10/11/19 |
15,000 |
14,958 | |
|
4 |
CPPIB Capital Inc. |
2.527% |
10/15/19 |
15,000 |
14,954 | |
|
4 |
CPPIB Capital Inc. |
2.445% |
11/1/19 |
15,000 |
14,938 | |
|
4 |
CPPIB Capital Inc. |
2.445% |
11/4/19 |
30,000 |
29,871 | |
|
4 |
CPPIB Capital Inc. |
2.445% |
11/5/19 |
15,000 |
14,934 | |
|
4 |
CPPIB Capital Inc. |
2.445% |
11/7/19 |
15,000 |
14,932 | |
|
4 |
CPPIB Capital Inc. |
2.431% |
12/12/19 |
30,000 |
29,796 | |
|
|
Export Development Canada |
2.549% |
9/23/19 |
371,500 |
370,928 | |
|
|
Export Development Canada |
2.529% |
10/29/19 |
99,000 |
98,601 | |
|
|
Export Development Canada |
2.468% |
11/12/19 |
31,094 |
30,942 | |
|
|
Export Development Canada |
2.346% |
11/29/19 |
96,000 |
95,449 | |
|
2 |
Hydro-Quebec |
2.365% |
9/13/19 |
150,000 |
149,882 | |
|
2 |
Hydro-Quebec |
2.549% |
9/19/19 |
65,000 |
64,918 | |
|
2 |
Hydro-Quebec |
2.410% |
10/7/19 |
128,000 |
127,694 | |
|
2 |
Landesbank Hessen-Thueringen Girozentrale |
2.151% |
9/4/19 |
421 |
421 | |
|
4 |
Omers Finance Trust |
2.394% |
9/4/19 |
36,115 |
36,108 | |
|
4 |
Omers Finance Trust |
2.374% |
9/12/19 |
41,000 |
40,970 | |
|
4 |
Omers Finance Trust |
2.375% |
9/17/19 |
48,000 |
47,950 | |
|
4 |
Ontario Teachers’ Finance Trust |
2.520% |
11/4/19 |
49,500 |
49,281 | |
|
2,4 |
Ontario Teachers’ Finance Trust |
2.471% |
12/2/19 |
31,350 |
31,155 | |
|
3,4 |
Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.120% |
2.348% |
3/6/20 |
82,000 |
82,000 | |
|
2,3 |
Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.200% |
2.345% |
8/24/20 |
95,000 |
95,000 | |
|
2 |
Province of Quebec |
2.410%–2.542% |
10/8/19 |
563,000 |
561,555 | |
|
4 |
PSP Capital Inc. |
2.498% |
9/3/19 |
120,000 |
119,983 | |
|
4 |
PSP Capital Inc. |
2.344% |
9/17/19 |
76,000 |
75,921 | |
|
4 |
PSP Capital Inc. |
2.344% |
9/19/19 |
126,500 |
126,353 | |
|
4 |
PSP Capital Inc. |
2.481% |
10/1/19 |
24,500 |
24,450 | |
|
4 |
PSP Capital Inc. |
2.273% |
10/8/19 |
29,250 |
29,182 | |
|
4 |
PSP Capital Inc. |
2.263%–2.527% |
10/15/19 |
128,000 |
127,639 | |
|
4 |
PSP Capital Inc. |
2.403% |
10/28/19 |
95,000 |
94,642 | |
|
4 |
PSP Capital Inc. |
2.205% |
1/27/20 |
64,000 |
63,426 | |
|
4 |
PSP Capital Inc. |
2.205% |
1/28/20 |
64,500 |
|
63,918 |
|
|
|
|
|
|
6,017,825 | |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | ||
|
Foreign Industrial (3.1%) |
|
|
| ||||
|
2 |
BASF SE |
2.292% |
9/23/19 |
734,000 |
732,977 | ||
|
2 |
BASF SE |
2.293% |
9/27/19 |
126,000 |
125,792 | ||
|
2 |
Nestle Capital Corp. |
2.614% |
9/12/19 |
128,000 |
127,899 | ||
|
2 |
Nestle Capital Corp. |
2.573% |
9/23/19 |
198,000 |
197,693 | ||
|
2 |
Nestle Capital Corp. |
2.420% |
10/3/19 |
172,000 |
171,633 | ||
|
2 |
Nestle Capital Corp. |
2.589% |
10/23/19 |
393,100 |
391,652 | ||
|
2 |
Nestle Capital Corp. |
2.589% |
10/31/19 |
196,000 |
195,167 | ||
|
2 |
Nestle Capital Corp. |
2.589% |
11/6/19 |
322,000 |
320,495 | ||
|
|
Nestle Finance International Ltd. |
2.334% |
9/13/19 |
21,250 |
21,234 | ||
|
|
Nestle Finance International Ltd. |
2.420% |
10/4/19 |
200,000 |
199,560 | ||
|
|
Nestle Finance International Ltd. |
2.262% |
10/11/19 |
131,000 |
130,672 | ||
|
|
Nestle Finance International Ltd. |
2.262% |
10/15/19 |
65,500 |
65,320 | ||
|
|
Nestle Finance International Ltd. |
2.263% |
10/16/19 |
65,500 |
65,316 | ||
|
|
Nestle Finance International Ltd. |
2.589% |
11/4/19 |
99,000 |
98,551 | ||
|
|
Nestle Finance International Ltd. |
2.588% |
11/7/19 |
65,000 |
64,692 | ||
|
2 |
Siemens Capital Co. LLC |
2.283% |
9/26/19 |
246,557 |
246,168 | ||
|
2 |
Total Capital Canada Ltd. |
2.263% |
10/18/19 |
252,000 |
251,260 | ||
|
2 |
Total Capital Canada Ltd. |
2.205% |
11/21/19 |
165,000 |
164,187 | ||
|
2 |
Total Capital SA |
2.110% |
9/3/19 |
206,800 |
206,776 | ||
|
3 |
Toyota Credit Canada Inc., 1M USD LIBOR + 0.130% |
2.341% |
12/9/19 |
30,000 |
30,000 | ||
|
3 |
Toyota Credit Canada Inc., 1M USD LIBOR + 0.130% |
2.359% |
12/27/19 |
99,000 |
|
99,000 | |
|
|
|
|
|
|
3,906,044 | ||
|
Industrial (2.7%) |
|
|
|
| |||
|
2 |
Apple Inc. |
2.419% |
10/2/19 |
25,000 |
24,948 | ||
|
2 |
Apple Inc. |
2.419% |
10/3/19 |
25,000 |
24,947 | ||
|
2 |
Apple Inc. |
2.554%–2.565% |
10/7/19 |
171,000 |
170,568 | ||
|
2 |
Apple Inc. |
2.404% |
11/4/19 |
25,000 |
24,894 | ||
|
2 |
Chevron Corp. |
2.323% |
9/13/19 |
74,000 |
73,943 | ||
|
|
Exxon Mobil Corp. |
2.384% |
9/4/19 |
700,000 |
699,862 | ||
|
|
Exxon Mobil Corp. |
2.353% |
9/5/19 |
172,000 |
171,955 | ||
|
|
Exxon Mobil Corp. |
2.367% |
9/26/19 |
253,000 |
252,587 | ||
|
|
Exxon Mobil Corp. |
2.367% |
9/27/19 |
253,000 |
252,571 | ||
|
|
Exxon Mobil Corp. |
2.393% |
9/30/19 |
220,000 |
219,579 | ||
|
|
Exxon Mobil Corp. |
2.317% |
10/11/19 |
443,000 |
441,868 | ||
|
|
Exxon Mobil Corp. |
2.307% |
10/16/19 |
235,000 |
234,327 | ||
|
2 |
Henkel of America Inc. |
2.415% |
9/6/19 |
56,000 |
55,981 | ||
|
2 |
Henkel of America Inc. |
2.161% |
11/5/19 |
51,950 |
51,748 | ||
|
2 |
Pfizer Inc. |
2.333% |
9/9/19 |
115,600 |
115,541 | ||
|
2 |
Pfizer Inc. |
2.323% |
9/10/19 |
300,000 |
299,827 | ||
|
2 |
Pfizer Inc. |
2.333% |
9/11/19 |
186,000 |
|
185,880 | |
|
|
|
|
|
|
3,301,026 | ||
|
Total Commercial Paper (Cost $45,792,295) |
|
|
|
45,792,295 | |||
|
Certificates of Deposit (34.0%) |
|
|
|
| |||
|
Domestic Banks (6.1%) |
|
|
|
| |||
|
|
Citibank NA |
2.620% |
9/12/19 |
618,000 |
618,000 | ||
|
|
Citibank NA |
2.570% |
10/21/19 |
208,000 |
208,000 | ||
|
|
Citibank NA |
2.560% |
11/1/19 |
426,000 |
426,000 | ||
|
|
Citibank NA |
2.220% |
1/6/20 |
195,000 |
195,000 | ||
|
|
HSBC Bank USA NA |
2.160% |
9/6/19 |
290,000 |
290,000 | ||
|
|
HSBC Bank USA NA |
2.260% |
10/28/19 |
161,500 |
161,500 | ||
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
|
3 |
HSBC Bank USA NA, 1M USD LIBOR + 0.130% |
2.246% |
10/29/19 |
182,000 |
182,000 | |
|
3 |
HSBC Bank USA NA, 1M USD LIBOR + 0.130% |
2.242% |
10/30/19 |
49,500 |
49,500 | |
|
3 |
State Street Bank & Trust Co., 1M USD LIBOR + 0.100% |
2.294% |
9/13/19 |
528,000 |
528,000 | |
|
3 |
State Street Bank & Trust Co., 1M USD LIBOR + 0.100% |
2.272% |
9/20/19 |
600,000 |
600,000 | |
|
3 |
State Street Bank & Trust Co., 1M USD LIBOR + 0.100% |
2.344% |
10/4/19 |
653,000 |
653,000 | |
|
|
Wells Fargo Bank NA |
2.000% |
2/12/20 |
388,000 |
388,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.090% |
2.319% |
12/6/19 |
213,000 |
213,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.090% |
2.235% |
12/27/19 |
130,000 |
130,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.090% |
2.235% |
12/27/19 |
130,000 |
130,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.100% |
2.294% |
9/13/19 |
293,000 |
293,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.100% |
2.212% |
9/30/19 |
148,500 |
148,500 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.100% |
2.313% |
11/8/19 |
255,000 |
255,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.100% |
2.295% |
11/15/19 |
238,000 |
238,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.160% |
2.355% |
2/13/20 |
671,000 |
671,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.160% |
2.355% |
2/14/20 |
579,000 |
579,000 | |
|
3 |
Wells Fargo Bank NA, 1M USD LIBOR + 0.190% |
2.362% |
3/19/20 |
650,000 |
|
650,000 |
|
|
|
|
|
|
7,606,500 | |
|
Yankee Certificates of Deposit (27.9%) |
|
|
|
| ||
|
3 |
Australia & New Zealand Banking Group, Ltd. (New York Branch), 1M USD LIBOR + 0.180% |
2.292% |
6/1/20 |
67,000 |
67,000 | |
|
3 |
Australia & New Zealand Banking Group, Ltd. (New York Branch), 1M USD LIBOR + 0.310% |
2.505% |
11/15/19 |
101,000 |
101,000 | |
|
|
Bank of Montreal (Chicago Branch) |
2.370% |
9/17/19 |
235,000 |
235,000 | |
|
|
Bank of Montreal (Chicago Branch) |
2.300% |
9/24/19 |
200,000 |
200,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100% |
2.323% |
10/7/19 |
260,000 |
260,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100% |
2.313% |
10/8/19 |
130,500 |
130,500 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100% |
2.282% |
10/17/19 |
150,000 |
150,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100% |
2.270% |
10/22/19 |
150,000 |
150,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.110% |
2.354% |
9/3/19 |
495,000 |
495,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.110% |
2.255% |
1/27/20 |
225,000 |
225,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.120% |
2.265% |
11/25/19 |
308,000 |
308,000 | |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.130% |
2.325% |
2/14/20 |
350,000 |
350,000 | |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.150% |
2.295% |
1/24/20 |
319,000 |
319,000 |
|
3 |
Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.170% |
2.394% |
3/2/20 |
250,000 |
250,000 |
|
3 |
Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.130% |
2.374% |
9/4/19 |
153,000 |
153,000 |
|
3 |
Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.170% |
2.365% |
3/16/20 |
103,000 |
103,000 |
|
|
Bayerische Landesbank (New York Branch) |
2.160% |
9/3/19 |
656,000 |
656,000 |
|
|
Bayerische Landesbank (New York Branch) |
2.160% |
9/4/19 |
742,000 |
742,000 |
|
|
Bayerische Landesbank (New York Branch) |
2.160% |
9/5/19 |
72,000 |
72,000 |
|
|
Bayerische Landesbank (New York Branch) |
2.160% |
9/6/19 |
492,000 |
492,000 |
|
|
Bayerische Landesbank (New York Branch) |
2.160% |
9/9/19 |
504,000 |
504,000 |
|
|
Canadian Imperial Bank of Commerce (New York Branch) |
2.550% |
10/1/19 |
248,000 |
248,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.090% |
2.320% |
10/1/19 |
350,000 |
350,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.090% |
2.291% |
12/10/19 |
387,000 |
387,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120% |
2.364% |
11/5/19 |
162,000 |
162,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120% |
2.265% |
11/25/19 |
459,000 |
459,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120% |
2.265% |
11/26/19 |
61,000 |
61,000 |
|
3 |
Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120% |
2.364% |
2/5/20 |
355,000 |
355,000 |
|
|
Commonwealth Bank of Australia (New York Branch) |
2.420% |
9/6/19 |
157,000 |
157,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100% |
2.344% |
9/3/19 |
69,000 |
69,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100% |
2.245% |
1/27/20 |
66,000 |
66,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100% |
2.239% |
1/28/20 |
65,000 |
65,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160% |
2.305% |
2/25/20 |
130,000 |
130,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160% |
2.384% |
7/2/20 |
174,000 |
174,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170% |
2.337% |
4/23/20 |
162,000 |
162,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.220% |
2.365% |
9/24/19 |
128,000 |
128,000 |
|
3 |
Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.280% |
2.462% |
10/18/19 |
100,000 |
100,000 |
|
|
Cooperatieve Rabobank UA (New York Branch) |
2.120% |
9/5/19 |
774,000 |
774,000 |
|
|
Cooperatieve Rabobank UA (New York Branch) |
2.120% |
9/6/19 |
831,000 |
831,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.080% |
2.262% |
12/19/19 |
126,000 |
126,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.090% |
2.319% |
12/6/19 |
198,000 |
198,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.130% |
2.331% |
2/11/20 |
324,000 |
324,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.160% |
2.305% |
2/27/20 |
99,000 |
99,000 |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% |
2.399% |
3/6/20 |
198,000 |
198,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% |
2.393% |
3/9/20 |
165,000 |
165,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% |
2.315% |
3/27/20 |
198,000 |
198,000 |
|
3 |
Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% |
2.282% |
4/1/20 |
169,000 |
169,000 |
|
|
Credit Suisse AG (New York Branch) |
2.330% |
9/16/19 |
32,000 |
32,000 |
|
|
Credit Suisse AG (New York Branch) |
2.300% |
10/1/19 |
1,424,000 |
1,424,000 |
|
|
DNB Bank ASA (New York Branch) |
2.460% |
10/1/19 |
80,000 |
80,000 |
|
3 |
DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.090% |
2.285% |
11/14/19 |
300,000 |
299,997 |
|
3 |
DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.090% |
2.285% |
11/15/19 |
450,000 |
449,995 |
|
3 |
DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.100% |
2.344% |
9/5/19 |
580,000 |
580,000 |
|
3 |
DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.160% |
2.404% |
2/5/20 |
455,000 |
455,000 |
|
3 |
DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.180% |
2.320% |
2/28/20 |
590,000 |
590,000 |
|
|
KBC Bank NV (New York Branch) |
2.150% |
9/3/19 |
495,000 |
495,000 |
|
|
KBC Bank NV (New York Branch) |
2.150% |
9/5/19 |
493,000 |
493,000 |
|
|
KBC Bank NV (New York Branch) |
2.150% |
9/6/19 |
300,000 |
300,000 |
|
|
Landesbank Hessen-Thueringen Girozentrale |
2.130% |
9/3/19 |
374,000 |
374,000 |
|
|
Landesbank Hessen-Thueringen Girozentrale |
2.130% |
9/5/19 |
297,000 |
297,000 |
|
|
Landesbank Hessen-Thueringen Girozentrale |
2.130% |
9/6/19 |
342,000 |
342,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.510% |
9/16/19 |
120,000 |
120,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.520% |
9/16/19 |
174,000 |
174,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.510% |
9/19/19 |
198,000 |
198,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.510% |
9/20/19 |
121,000 |
121,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.510% |
9/23/19 |
121,000 |
121,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.500% |
9/24/19 |
125,000 |
125,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.510% |
9/24/19 |
124,000 |
124,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.500% |
9/25/19 |
198,000 |
198,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.480% |
9/30/19 |
125,000 |
125,000 |
|
|
MUFG Bank Ltd. (New York Branch) |
2.500% |
9/30/19 |
133,000 |
133,000 |
|
|
Natixis (New York Branch) |
2.130% |
9/3/19 |
399,000 |
399,000 |
|
|
Natixis (New York Branch) |
2.130% |
9/3/19 |
1,558,000 |
1,558,000 |
|
3 |
Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100% |
2.329% |
9/6/19 |
250,000 |
250,000 |
|
3 |
Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100% |
2.344% |
10/4/19 |
500,000 |
500,000 |
|
3 |
Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100% |
2.311% |
10/9/19 |
125,000 |
125,000 |
|
3 |
Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.210% |
2.411% |
9/11/19 |
420,000 |
420,000 |
|
3 |
Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.220% |
2.464% |
10/4/19 |
500,000 |
500,000 |
|
|
Skandinaviska Enskilda Banken AB (New York Branch) |
2.260% |
10/29/19 |
300,000 |
300,000 |
|
|
Skandinaviska Enskilda Banken AB (New York Branch) |
2.110% |
11/29/19 |
1,000,000 |
1,000,000 |
|
3 |
Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.120% |
2.265% |
9/27/19 |
147,000 |
147,000 |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) |
|
|
Sumitomo Mitsui Banking Corp. (New York Branch) |
2.390% |
9/9/19 |
97,000 |
97,000 |
|
|
Sumitomo Mitsui Banking Corp. (New York Branch) |
2.540% |
9/11/19 |
250,000 |
250,000 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.100% |
2.344% |
9/3/19 |
850,000 |
850,000 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.100% |
2.301% |
9/11/19 |
121,000 |
121,000 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.110% |
2.333% |
11/7/19 |
325,000 |
324,997 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% |
2.295% |
12/20/19 |
495,000 |
494,992 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% |
2.322% |
12/20/19 |
315,000 |
314,991 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.170% |
2.400% |
12/3/19 |
255,000 |
255,000 |
|
3 |
Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.170% |
2.399% |
12/6/19 |
250,000 |
249,997 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.100% |
2.272% |
12/20/19 |
297,000 |
297,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.100% |
2.212% |
12/30/19 |
248,000 |
248,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.120% |
2.265% |
11/25/19 |
200,000 |
200,020 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.140% |
2.307% |
1/23/20 |
89,500 |
89,499 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% |
2.355% |
6/15/20 |
159,000 |
159,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% |
2.342% |
6/19/20 |
495,000 |
495,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% |
2.272% |
6/30/20 |
395,000 |
395,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.180% |
2.375% |
7/15/20 |
250,000 |
250,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.190% |
2.434% |
5/5/20 |
350,000 |
350,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.200% |
2.382% |
5/19/20 |
250,000 |
250,000 |
|
3 |
Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.325% |
2.519% |
11/13/19 |
650,000 |
650,000 |
|
|
Swedbank AB (New York Branch) |
2.100% |
9/3/19 |
500,000 |
500,000 |
|
|
Toronto-Dominion Bank (New York Branch) |
2.460% |
10/1/19 |
130,000 |
130,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.200% |
2.413% |
7/7/20 |
540,000 |
540,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.210% |
2.434% |
5/4/20 |
135,000 |
135,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.220% |
2.415% |
5/14/20 |
368,000 |
368,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% |
2.362% |
7/30/20 |
200,000 |
200,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% |
2.362% |
7/31/20 |
325,000 |
325,000 |
|
3 |
Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% |
2.445% |
8/13/20 |
300,000 |
300,000 |
Prime Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
Market Value· ($000) | |
|
3 |
Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% |
2.394% |
6/5/20 |
50,000 |
49,993 | |
|
3 |
Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% |
2.361% |
6/12/20 |
75,000 |
74,997 | |
|
3 |
Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% |
2.384% |
7/2/20 |
500,000 |
499,979 | |
|
3 |
Westpac Banking Corp. (New York Branch), 3M USD LIBOR + 0.040% |
2.327% |
2/3/20 |
40,000 |
|
40,004 |
|
|
|
|
|
|
34,471,961 | |
|
Total Certificates of Deposit (Cost $42,078,461) |
|
|
42,078,461 | |||
|
Other Notes (1.2%) |
|
|
|
| ||
|
3 |
Bank of America NA, 1M USD LIBOR + 0.090% |
2.320% |
10/1/19 |
248,000 |
248,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.090% |
2.314% |
10/2/19 |
248,000 |
248,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.100% |
2.330% |
11/1/19 |
152,000 |
152,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.100% |
2.344% |
11/5/19 |
152,000 |
152,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.100% |
2.301% |
11/12/19 |
90,000 |
90,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.110% |
2.321% |
12/9/19 |
180,000 |
180,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.110% |
2.311% |
1/10/20 |
192,000 |
192,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.150% |
2.320% |
2/21/20 |
102,000 |
102,000 | |
|
3 |
Bank of America NA, 1M USD LIBOR + 0.150% |
2.320% |
2/24/20 |
102,000 |
102,000 | |
|
Total Other Notes (Cost $1,466,000) |
|
|
|
1,466,000 | ||
|
Repurchase Agreements (0.3%) |
|
|
|
| ||
|
|
JP Morgan Securities LLC |
|
|
|
| |
|
|
(Dated 8/30/19, Repurchase Value |
|
|
|
| |
|
|
$325,078,000, collateralized by U.S. |
|
|
|
| |
|
|
Treasury Note/Bond 1.750%–5.375%, |
|
|
|
| |
|
|
9/30/19–11/15/41, with a value of |
|
|
|
| |
|
|
$331,500,000) (Cost $325,000) |
2.160% |
9/3/19 |
325,000 |
325,000 | |
|
Taxable Municipal Bonds (0.0%) |
|
|
|
| ||
|
5 |
Greene County GA Development Authority |
|
|
|
| |
|
|
Revenue VRDO (Cost $6,250) |
2.130% |
9/6/19 |
6,250 |
6,250 | |
|
Total Investments (102.5%) (Cost $126,706,498) |
|
|
126,706,498 | |||
Prime Money Market Fund
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (-2.5%) |
|
|
|
|
Other Assets |
|
|
|
|
Investment in Vanguard |
|
5,820 |
|
|
Receivables for Accrued Income |
|
100,702 |
|
|
Receivables for Capital Shares Issued |
|
230,922 |
|
|
Other Assets |
|
51,663 |
|
|
Total Other Assets |
|
389,107 |
|
|
Liabilities |
|
|
|
|
Payables for Investment Securities Purchased |
|
(3,239,333 |
) |
|
Payables for Capital Shares Redeemed |
|
(199,447 |
) |
|
Payables for Distributions |
|
(15,465 |
) |
|
Payables to Vanguard |
|
(9,163 |
) |
|
Other Liabilities |
|
(923 |
) |
|
Total Liabilities |
|
(3,464,331 |
) |
|
Net Assets (100%) |
|
123,631,274 |
|
|
|
|
|
|
|
|
|
|
|
|
At August 31, 2019, net assets consisted of: |
|
|
|
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
123,627,686 |
|
|
Total Distributable Earnings (Loss) |
|
3,588 |
|
|
Net Assets |
|
123,631,274 |
|
|
|
|
|
|
|
Investor Shares–Net Assets |
|
|
|
|
Applicable to 104,696,420,176 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
104,708,532 |
|
|
Net Asset Value Per Share–Investor Shares |
|
$1.00 |
|
|
|
|
|
|
|
Admiral Shares–Net Assets |
|
|
|
|
Applicable to 18,920,702,055 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
18,922,742 |
|
|
Net Asset Value Per Share–Admiral Shares |
|
$1.00 |
|
· See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At August 31, 2019, the aggregate value of these securities was $36,202,668,000, representing 29.3% of net assets.
3 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2019, the aggregate value of these securities was $1,234,268,000, representing 1.0% of net assets.
5 Scheduled principal and interest payments are guaranteed by bank letter of credit.
LIBOR—London Interbank Offered Rate.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Operations
|
|
Year Ended |
|
|
August 31, 2019 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest |
2,954,873 |
|
Total Income |
2,954,873 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
4,212 |
|
Management and Administrative—Investor Shares |
141,363 |
|
Management and Administrative—Admiral Shares |
15,855 |
|
Marketing and Distribution—Investor Shares |
15,302 |
|
Marketing and Distribution—Admiral Shares |
1,106 |
|
Custodian Fees |
449 |
|
Auditing Fees |
33 |
|
Shareholders’ Reports—Investor Shares |
561 |
|
Shareholders’ Reports—Admiral Shares |
44 |
|
Trustees’ Fees and Expenses |
77 |
|
Total Expenses |
179,002 |
|
Net Investment Income |
2,775,871 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
(80) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
2,775,791 |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Changes in Net Assets
|
|
Year Ended August 31, | ||
|
|
2019 |
|
2018 |
|
|
($000 |
) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income |
2,775,871 |
|
1,581,192 |
|
Realized Net Gain (Loss) |
(80 |
) |
(4,203) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
2,775,791 |
|
1,576,989 |
|
Distributions |
|
|
|
|
Net Investment Income |
|
|
|
|
Investor Shares |
(2,351,823 |
) |
(1,363,449) |
|
Admiral Shares |
(424,095 |
) |
(217,801) |
|
Realized Capital Gain |
|
|
|
|
Investor Shares |
— |
|
— |
|
Admiral Shares |
— |
|
— |
|
Total Distributions |
(2,775,918 |
) |
(1,581,250) |
|
Capital Share Transactions (at $1.00 per share) |
|
|
|
|
Investor Shares |
11,810,567 |
|
8,015,413 |
|
Admiral Shares |
2,805,143 |
|
4,121,058 |
|
Net Increase (Decrease) from Capital Share Transactions |
14,615,710 |
|
12,136,471 |
|
Total Increase (Decrease) |
14,615,583 |
|
12,132,210 |
|
Net Assets |
|
|
|
|
Beginning of Period |
109,015,691 |
|
96,883,481 |
|
End of Period |
123,631,274 |
|
109,015,691 |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Investor Shares
|
For a Share Outstanding |
|
|
|
|
|
Year Ended August 31, | ||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 | |
|
Net Asset Value, Beginning of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
.0231 |
|
.0161 |
|
.0081 |
|
.0032 |
|
.0002 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total from Investment Operations |
|
.023 |
|
.016 |
|
.008 |
|
.0032 |
|
.0002 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(.023) |
|
(.016) |
|
(.008) |
|
(.0032) |
|
(.0002) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total Distributions |
|
(.023) |
|
(.016) |
|
(.008) |
|
(.0032) |
|
(.0002) |
|
Net Asset Value, End of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
|
2.36% |
|
1.59% |
|
0.83% |
|
0.32% |
|
0.02% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$104,709 |
|
$92,898 |
|
$84,886 |
|
$100,210 |
|
$105,820 |
|
Ratio of Total Expenses to Average Net Assets3 |
|
0.16% |
|
0.16% |
|
0.16% |
|
0.16% |
|
0.15% |
|
Ratio of Net Investment Income to Average Net Assets |
|
2.33% |
|
1.59% |
|
0.82% |
|
0.32% |
|
0.02% |
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016 and 0.16% for 2015. For the years ended August 31, 2019, 2018, and 2017, there were no expense reductions.
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Admiral Shares
|
For a Share Outstanding |
|
|
|
|
|
Year Ended August 31, | ||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 | |
|
Net Asset Value, Beginning of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
.0241 |
|
.0161 |
|
.0091 |
|
.004 |
|
.001 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total from Investment Operations |
|
.024 |
|
.016 |
|
.009 |
|
.004 |
|
.001 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(.024) |
|
(.016) |
|
(.009) |
|
(.004) |
|
(.001) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total Distributions |
|
(.024) |
|
(.016) |
|
(.009) |
|
(.004) |
|
(.001) |
|
Net Asset Value, End of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
|
2.42% |
|
1.66% |
|
0.89% |
|
0.38% |
|
0.07% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$18,923 |
|
$16,118 |
|
$11,997 |
|
$16,429 |
|
$28,988 |
|
Ratio of Total Expenses to Average Net Assets |
|
0.10% |
|
0.10% |
|
0.10% |
|
0.10% |
|
0.10% |
|
Ratio of Net Investment Income to Average Net Assets |
|
2.39% |
|
1.65% |
|
0.88% |
|
0.38% |
|
0.07% |
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
Prime Money Market Fund
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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 August 31, 2019, the fund had contributed to Vanguard capital in the amount of $5,820,000, representing less than 0.01% of the fund’s net assets and 2.33% 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 Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Prime Money Market Fund
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
23,336 |
|
|
Undistributed Long-term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(4,284 |
) |
|
Net Unrealized Gains (Losses) |
|
— |
|
As of August 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
126,706,498 |
|
|
Gross Unrealized Appreciation |
|
— |
|
|
Gross Unrealized Depreciation |
|
— |
|
|
Net Unrealized Appreciation (Depreciation) |
|
— |
|
E. Capital share transactions for each class of shares were:
|
|
|
|
|
Year Ended August 31, |
| ||||
|
|
|
2019 |
|
2018 |
| ||||
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000) |
|
($000 |
) |
(000 |
) |
|
Investor Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
67,073,536 |
|
67,073,695 |
|
57,734,205 |
|
57,734,439 |
|
|
Issued in Lieu of Cash Distributions |
|
2,176,642 |
|
2,176,642 |
|
1,273,993 |
|
1,273,993 |
|
|
Redeemed |
|
(57,439,611 |
) |
(57,439,611) |
|
(50,992,785 |
) |
(50,992,785 |
) |
|
Net Increase (Decrease)—Investor Shares |
|
11,810,567 |
|
11,810,726 |
|
8,015,413 |
|
8,015,647 |
|
|
Admiral Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
12,655,596 |
|
12,655,436 |
|
11,041,702 |
|
11,041,469 |
|
|
Issued in Lieu of Cash Distributions |
|
392,879 |
|
392,879 |
|
202,222 |
|
202,222 |
|
|
Redeemed |
|
(10,243,332 |
) |
(10,243,332) |
|
(7,122,866 |
) |
(7,122,866 |
) |
|
Net Increase (Decrease)—Admiral Shares |
|
2,805,143 |
|
2,804,983 |
|
4,121,058 |
|
4,120,825 |
|
F. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Federal Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
Cumulative Performance: August 31, 2009, Through August 31, 2019
Initial Investment of $10,000
|
|
|
Average Annual Total Returns |
|
| |||||
|
|
|
Periods Ended August 31, 2019 |
|
| |||||
|
|
|
|
|
|
|
|
|
Final Value | |
|
|
|
One |
|
Five |
|
Ten |
|
of a $10,000 | |
|
|
|
Year |
|
Years |
|
Years |
|
Investment | |
|
|
Federal Money Market Fund Investor Shares |
|
2.26% |
|
0.89% |
|
0.46% |
|
10,464 |
|
|
Government Money Market Funds Average |
|
1.71 |
|
0.55 |
|
0.28 |
|
10,280 |
|
|
FTSE Three-Month U.S. Treasury Bill Index |
|
2.36 |
|
0.91 |
|
0.49 |
|
10,524 |
7-day SEC yield (8/31/2019): 2.08%
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
See Financial Highlights for dividend information.
Federal Money Market Fund
Sector Diversification
As of August 31, 2019
|
Repurchase Agreements |
|
20.1 |
% |
|
U.S. Government Obligations |
|
49.9 |
|
|
U.S. Treasury Bills |
|
30.0 |
|
The table reflects the fund’s market exposure. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
|
|
|
Yield1 |
Maturity |
Face Amount ($000 |
) |
Market Value· ($000) |
|
U.S. Government and Agency Obligations (81.4%) |
|
|
|
| ||
|
2 |
Fannie Mae Discount Notes |
2.303% |
9/4/19 |
54,485 |
|
54,475 |
|
2 |
Fannie Mae Discount Notes |
2.212% |
9/18/19 |
137,500 |
|
137,357 |
|
2 |
Fannie Mae Discount Notes |
2.152%–2.162% |
9/25/19 |
133,497 |
|
133,306 |
|
2 |
Fannie Mae Discount Notes |
2.191%–2.212% |
10/2/19 |
134,000 |
|
133,748 |
|
2 |
Fannie Mae Discount Notes |
2.099% |
10/4/19 |
200,000 |
|
199,617 |
|
2 |
Fannie Mae Discount Notes |
2.099% |
10/7/19 |
200,000 |
|
199,582 |
|
2 |
Fannie Mae Discount Notes |
2.182% |
10/9/19 |
190,909 |
|
190,472 |
|
2 |
Fannie Mae Discount Notes |
2.111% |
10/16/19 |
166,250 |
|
165,814 |
|
2 |
Fannie Mae Discount Notes |
2.081% |
10/23/19 |
243,958 |
|
243,229 |
|
2 |
Fannie Mae Discount Notes |
1.948% |
11/1/19 |
2,500,000 |
|
2,491,782 |
|
2 |
Fannie Mae Discount Notes |
1.949%–1.960% |
11/13/19 |
265,242 |
|
264,196 |
|
|
Federal Home Loan Bank Discount Notes |
2.413% |
9/3/19 |
250,000 |
|
249,967 |
|
|
Federal Home Loan Bank Discount Notes |
2.432% |
9/5/19 |
1,000,000 |
|
999,732 |
|
|
Federal Home Loan Bank Discount Notes |
2.006%–2.432% |
9/6/19 |
892,567 |
|
892,269 |
|
|
Federal Home Loan Bank Discount Notes |
2.414% |
9/9/19 |
250,000 |
|
249,867 |
|
|
Federal Home Loan Bank Discount Notes |
2.423% |
9/10/19 |
2,250,000 |
|
2,248,650 |
|
|
Federal Home Loan Bank Discount Notes |
2.423% |
9/11/19 |
400,000 |
|
399,733 |
|
|
Federal Home Loan Bank Discount Notes |
2.222%–2.232% |
9/13/19 |
983,984 |
|
983,259 |
|
|
Federal Home Loan Bank Discount Notes |
2.439% |
9/17/19 |
750,000 |
|
749,195 |
|
|
Federal Home Loan Bank Discount Notes |
2.232%–2.243% |
9/18/19 |
2,279,000 |
|
2,276,612 |
|
|
Federal Home Loan Bank Discount Notes |
2.176% |
9/25/19 |
250,000 |
|
249,639 |
|
|
Federal Home Loan Bank Discount Notes |
2.172% |
10/2/19 |
1,280,000 |
|
1,277,619 |
|
|
Federal Home Loan Bank Discount Notes |
2.185%–2.429% |
10/4/19 |
1,225,000 |
|
1,222,513 |
|
|
Federal Home Loan Bank Discount Notes |
2.202%–2.422% |
10/9/19 |
1,885,000 |
|
1,880,624 |
|
|
Federal Home Loan Bank Discount Notes |
2.425% |
10/15/19 |
1,000,000 |
|
997,073 |
|
|
Federal Home Loan Bank Discount Notes |
2.147% |
10/16/19 |
423,000 |
|
421,871 |
|
|
Federal Home Loan Bank Discount Notes |
2.126% |
10/18/19 |
1,000,000 |
|
997,239 |
|
|
Federal Home Loan Bank Discount Notes |
2.104%–2.111% |
10/23/19 |
1,400,000 |
|
1,395,765 |
|
|
Federal Home Loan Bank Discount Notes |
2.110%–2.470% |
10/25/19 |
710,000 |
|
707,746 |
|
|
Federal Home Loan Bank Discount Notes |
2.114% |
10/30/19 |
195,000 |
|
194,328 |
|
|
Federal Home Loan Bank Discount Notes |
2.096%–2.101% |
11/1/19 |
883,000 |
|
879,875 |
|
|
Federal Home Loan Bank Discount Notes |
2.093% |
11/7/19 |
80,000 |
|
79,690 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
Federal Home Loan Bank Discount Notes |
2.375% |
11/22/19 |
24,200 |
|
24,071 |
|
|
Federal Home Loan Bank Discount Notes |
2.084% |
11/26/19 |
166,250 |
|
165,428 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR + 0.000% |
2.195% |
7/15/20 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR + 0.550% |
2.146% |
3/12/20 |
180,000 |
|
179,964 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.010% |
2.135% |
3/25/20 |
1,000,000 |
|
999,945 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.010% |
2.135% |
3/25/20 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.152% |
12/20/19 |
235,000 |
|
235,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
12/24/19 |
1,500,000 |
|
1,500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
12/24/19 |
250,000 |
|
250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
12/24/19 |
300,000 |
|
300,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
12/24/19 |
2,250,000 |
|
2,250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.204% |
1/2/20 |
750,000 |
|
750,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.204% |
1/2/20 |
550,000 |
|
550,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
1/24/20 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.125% |
1/27/20 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.152% |
3/20/20 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.224% |
4/3/20 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.020% |
2.224% |
4/3/20 |
850,000 |
|
850,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.147% |
12/20/19 |
250,000 |
|
250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.147% |
12/20/19 |
1,250,000 |
|
1,250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.147% |
12/20/19 |
750,000 |
|
750,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.142% |
12/23/19 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.169% |
1/13/20 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.025% |
2.147% |
4/20/20 |
750,000 |
|
750,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.030% |
2.183% |
11/8/19 |
1,475,000 |
|
1,475,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.030% |
2.171% |
11/12/19 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.035% |
2.166% |
1/10/20 |
750,000 |
|
750,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.035% |
2.077% |
1/30/20 |
930,000 |
|
930,000 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.171% |
10/9/19 |
300,000 |
|
300,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.142% |
10/17/19 |
300,000 |
|
300,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.155% |
11/15/19 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.105% |
11/25/19 |
150,000 |
|
150,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.105% |
11/26/19 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.105% |
11/26/19 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.040% |
2.130% |
1/22/20 |
750,000 |
|
750,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.050% |
2.119% |
1/21/20 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.060% |
2.122% |
9/19/19 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.060% |
2.107% |
9/23/19 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.100% |
2.130% |
11/1/19 |
500,000 |
|
500,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.100% |
2.144% |
11/4/19 |
250,000 |
|
250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.100% |
2.123% |
11/7/19 |
250,000 |
|
250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.100% |
2.123% |
11/7/19 |
250,000 |
|
250,000 |
|
3 |
Federal Home Loan Banks, 1M USD LIBOR - 0.400% |
2.171% |
9/9/19 |
1,000,000 |
|
1,000,000 |
|
3 |
Federal Home Loan Banks, SOFR + 0.050% |
2.125% |
10/10/19 |
750 |
|
750 |
|
2 |
Federal Home Loan Mortgage Corp. |
1.250% |
10/2/19 |
85,771 |
|
85,691 |
|
2 |
Freddie Mac Discount Notes |
2.397% |
9/4/19 |
1,050,000 |
|
1,049,792 |
|
2 |
Freddie Mac Discount Notes |
2.397% |
9/5/19 |
550,000 |
|
549,855 |
|
2 |
Freddie Mac Discount Notes |
2.412% |
9/10/19 |
850,000 |
|
849,492 |
|
2 |
Freddie Mac Discount Notes |
2.453%–2.483% |
9/18/19 |
1,880,000 |
|
1,877,845 |
|
2 |
Freddie Mac Discount Notes |
2.450% |
9/24/19 |
183,679 |
|
183,395 |
|
2 |
Freddie Mac Discount Notes |
2.419% |
10/1/19 |
166,510 |
|
166,178 |
|
2 |
Freddie Mac Discount Notes |
2.318%–2.323% |
10/4/19 |
394,147 |
|
393,314 |
|
2 |
Freddie Mac Discount Notes |
2.419% |
10/7/19 |
487,002 |
|
485,838 |
|
2 |
Freddie Mac Discount Notes |
2.393%–2.438% |
10/10/19 |
634,810 |
|
633,166 |
|
2 |
Freddie Mac Discount Notes |
2.368% |
10/17/19 |
500,000 |
|
498,502 |
|
2 |
Freddie Mac Discount Notes |
2.418%–2.429% |
10/29/19 |
379,476 |
|
378,012 |
|
2 |
Freddie Mac Discount Notes |
2.419% |
11/4/19 |
275,000 |
|
273,832 |
|
2 |
Freddie Mac Discount Notes |
2.053%–2.085% |
11/5/19 |
265,893 |
|
264,906 |
|
2 |
Freddie Mac Discount Notes |
2.104% |
11/6/19 |
800,000 |
|
796,935 |
|
2 |
Freddie Mac Discount Notes |
2.386%–2.396% |
11/8/19 |
384,889 |
|
383,168 |
|
2 |
Freddie Mac Discount Notes |
2.180%–2.190% |
11/12/19 |
51,668 |
|
51,444 |
|
2 |
Freddie Mac Discount Notes |
2.075%–2.180% |
11/13/19 |
339,522 |
|
338,053 |
|
2 |
Freddie Mac Discount Notes |
2.037%–2.378% |
11/19/19 |
1,547,629 |
|
1,540,309 |
|
2 |
Freddie Mac Discount Notes |
2.348% |
11/29/19 |
491,700 |
|
488,880 |
|
2 |
Freddie Mac Discount Notes |
2.075% |
12/3/19 |
166,430 |
|
165,544 |
|
2 |
Freddie Mac Discount Notes |
2.055%–2.105% |
12/18/19 |
198,000 |
|
196,775 |
|
|
United States Treasury Bill |
2.083%–2.162% |
9/3/19 |
1,460,449 |
|
1,460,276 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
United States Treasury Bill |
2.313% |
9/5/19 |
3,900,000 |
|
3,899,003 |
|
|
United States Treasury Bill |
2.253% |
9/12/19 |
4,000,000 |
|
3,997,262 |
|
|
United States Treasury Bill |
2.182% |
9/19/19 |
1,050,000 |
|
1,048,861 |
|
|
United States Treasury Bill |
2.063% |
10/1/19 |
700,000 |
|
698,919 |
|
|
United States Treasury Bill |
2.057% |
10/8/19 |
1,000,000 |
|
997,893 |
|
|
United States Treasury Bill |
2.051% |
10/24/19 |
2,000,000 |
|
1,993,993 |
|
|
United States Treasury Bill |
1.996% |
10/29/19 |
1,500,000 |
|
1,495,357 |
|
|
United States Treasury Bill |
2.081% |
10/31/19 |
3,000,000 |
|
2,989,650 |
|
|
United States Treasury Bill |
1.990%–2.000% |
11/7/19 |
5,850,000 |
|
5,828,340 |
|
|
United States Treasury Bill |
1.970% |
11/14/19 |
3,500,000 |
|
3,485,899 |
|
|
United States Treasury Bill |
1.907%–1.932% |
11/21/19 |
1,500,000 |
|
1,493,559 |
|
|
United States Treasury Bill |
1.960%–2.348% |
11/29/19 |
3,749,625 |
|
3,730,863 |
|
|
United States Treasury Bill |
2.281% |
12/5/19 |
1,000,000 |
|
994,049 |
|
|
United States Treasury Bill |
2.163% |
12/12/19 |
1,400,000 |
|
1,391,511 |
|
|
United States Treasury Bill |
2.031% |
1/16/20 |
2,000,000 |
|
1,984,702 |
|
|
United States Treasury Bill |
1.966%–1.968% |
2/6/20 |
500,000 |
|
495,726 |
|
|
United States Treasury Bill |
1.903%–1.905% |
2/13/20 |
1,050,000 |
|
1,040,924 |
|
|
United States Treasury Bill |
1.857% |
2/27/20 |
750,000 |
|
743,138 |
|
3 |
United States Treasury Floating Rate Note, 3M US T-Bill + 0.139% |
2.099% |
4/30/21 |
2,417,950 |
|
2,415,400 |
|
3 |
United States Treasury Floating Rate Note, 3M US T-Bill + 0.220% |
2.180% |
7/31/21 |
2,000,000 |
|
1,999,565 |
|
|
United States Treasury Note/Bond |
1.500% |
10/31/19 |
200,000 |
|
199,820 |
|
|
United States Treasury Note/Bond |
1.250% |
10/31/19 |
250,000 |
|
249,666 |
|
Total U.S. Government and Agency Obligations (Cost $108,312,304) |
|
|
108,312,304 | |||
|
Repurchase Agreements (20.1%) |
|
|
| |||
|
|
Bank of Montreal |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $1,000,239,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.375%, 1/15/20–2/15/48, U.S. Treasury Bill 0.000%, 9/12/19–1/30/20, and U.S. Treasury Note/Bond 1.625%–8.750%, 5/15/20–11/15/48, with a value of $1,020,000,000) |
2.150% |
9/3/19 |
1,000,000 |
|
1,000,000 |
|
|
Bank of Montreal |
|
|
|
|
|
|
|
(Dated 8/22/19, Repurchase Value $500,416,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 1/15/20–2/15/42, U.S. Treasury Bill 0.000%, 12/5/19–1/2/20, and U.S. Treasury Note/Bond 0.875%–8.750%, 9/15/19–5/15/49, with a value of $510,000,000) |
2.140% |
9/5/19 |
500,000 |
|
500,000 |
|
|
Bank of Montreal |
|
|
|
|
|
|
|
(Dated 8/15/19, Repurchase Value $501,458,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/20–2/15/46, U.S. Treasury Bill 0.000%, 9/12/19–12/5/19, and U.S. Treasury Note/Bond 1.125%–6.250%, 5/31/20–8/15/49, with a value of $510,000,000) |
2.100% |
10/4/19 |
500,000 |
|
500,000 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
Bank of Montreal |
|
|
|
|
|
|
|
(Dated 8/23/19, Repurchase Value $751,154,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 1/15/20–2/15/44, U.S. Treasury Bill 0.000%, 12/5/19–6/18/20, and U.S. Treasury Note/Bond 1.125%–8.750%, 3/31/20–11/15/48, with a value of $765,000,000) |
2.130% |
9/18/19 |
750,000 |
|
750,000 |
|
|
Bank of Montreal |
|
|
|
|
|
|
|
(Dated 8/13/19, Repurchase Value $250,510,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–2.500%, 1/15/20–2/15/40, U.S. Treasury Bill 0.000%, 12/5/19–6/18/20, and U.S. Treasury Note/Bond 1.125%–8.750%, 2/29/20–2/15/49, with a value of $255,000,000) |
2.160% |
9/16/19 |
250,000 |
|
250,000 |
|
|
Bank of Nova Scotia |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $2,150,514,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–2.500%, 4/15/20–2/15/48, U.S. Treasury Bill 0.000%, 9/12/19–7/16/20, and U.S. Treasury Note/Bond 1.000%–8.750%, 9/30/19–8/15/49, with a value of $2,193,000,000) |
2.150% |
9/3/19 |
2,150,000 |
|
2,150,000 |
|
|
Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
(Dated 8/6/19, Repurchase Value $871,566,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 4/15/21–1/15/49 and U.S. Treasury Note/Bond 1.125%–3.125%, 12/31/20–5/15/47, with a value of $887,400,000) |
2.160% |
9/5/19 |
870,000 |
|
870,000 |
|
|
Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
(Dated 8/22/19, Repurchase Value $501,581,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 4/15/22–2/15/48 and U.S. Treasury Note/Bond 1.250%–4.250%, 2/15/22–5/15/45, with a value of $510,000,000) |
2.070% |
10/16/19 |
500,000 |
|
500,000 |
|
|
Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
(Dated 8/12/19, Repurchase Value $1,202,160,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 4/15/22–2/15/48 and U.S. Treasury Note/Bond 1.250%–3.625%, 12/31/20–8/15/45, with a value of $1,224,000,000) |
2.160% |
9/11/19 |
1,200,000 |
|
1,200,000 |
|
|
Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
(Dated 8/15/19, Repurchase Value $931,953,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 4/15/22–2/15/48 and U.S. Treasury Note/Bond 1.625%–3.625%, 12/31/20–5/15/47, with a value of $948,600,000) |
2.160% |
9/19/19 |
930,000 |
|
930,000 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
Credit Agricole Corporate & Investment |
|
|
|
|
|
|
|
Bank NY Branch (Dated 8/30/19, Repurchase Value $250,059,000, collateralized by Treasury Inflation Indexed Note/Bond 0.375%, 7/15/27 with a value of $255,000,000) |
2.140% |
9/3/19 |
250,000 |
|
250,000 |
|
|
Credit Agricole Corporate & Investment |
|
|
|
|
|
|
|
Bank NY Branch (Dated 8/27/19, Repurchase Value $750,321,000, collateralized by U.S. Treasury Note/Bond 2.125%–4.375%, 8/31/23–5/15/40, with a value of $765,000,000) |
2.200% |
9/3/19 |
750,000 |
|
750,000 |
|
|
Credit Agricole Corporate & Investment |
|
|
|
|
|
|
|
Bank NY Branch (Dated 8/28/19, Repurchase Value $1,350,580,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%, 7/15/22 and U.S. Treasury Note/Bond 1.500%–3.375%, 12/15/21–11/15/48, with a value of $1,377,000,000) |
2.210% |
9/4/19 |
1,350,000 |
|
1,350,000 |
|
|
Credit Agricole Corporate & Investment |
|
|
|
|
|
|
|
Bank NY Branch (Dated 8/30/19, Repurchase Value $1,300,543,000, collateralized by U.S. Treasury Note/Bond 1.625%–3.000%, 10/31/21–5/15/45, with a value of $1,326,000,000) |
2.150% |
9/6/19 |
1,300,000 |
|
1,300,000 |
|
|
Goldman Sachs & Co. |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $3,001,254,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.125%, 4/15/20–1/15/29, U.S. Treasury Bill 0.000%, 9/10/19–9/17/19, and U.S. Treasury Note/Bond 2.000%–4.500%, 2/15/20–5/15/49, with a value of $3,060,000,000) |
2.150% |
9/6/19 |
3,000,000 |
|
3,000,000 |
|
|
JP Morgan Securities LLC |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $500,120,000, collateralized by U.S. Treasury Note/Bond 3.000%, 5/15/45, with a value of $510,000,000) |
2.160% |
9/3/19 |
500,000 |
|
500,000 |
|
|
JP Morgan Securities LLC |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $3,001,254,000, collateralized by Treasury Inflation Indexed Note/Bond 0.625%, 1/15/26 and U.S. Treasury Note/Bond 1.750%–3.375%, 2/28/22–8/15/45, with a value of $3,060,000,000) |
2.150% |
9/6/19 |
3,000,000 |
|
3,000,000 |
|
|
Mizuho Securities (USA) Inc. |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $500,119,000, collateralized by U.S. Treasury Bill 0.000%, 11/29/19–8/13/20 and U.S. Treasury Note/Bond 1.125%–1.250%, 6/30/21–7/31/23, with a value of $510,000,000) |
2.150% |
9/3/19 |
500,000 |
|
500,000 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
Nomura International PLC |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $1,500,627,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/20–2/15/46, U.S. Treasury Bill 0.000%, 9/12/19–3/26/20, and U.S. Treasury Note/Bond 1.125%–8.750%, 9/30/19–11/15/48, with a value of $1,530,000,000) |
2.150% |
9/6/19 |
1,500,000 |
|
1,500,000 |
|
|
RBC Capital Markets LLC NY Branch |
|
|
|
|
|
|
|
(Dated 8/6/19, Repurchase Value $1,102,046,000, collateralized by Treasury Inflation Indexed Note/Bond 0.500%–1.125%, 1/15/21–1/15/29 and U.S. Treasury Note/Bond 1.250%–7.625%, 12/31/20–2/15/26, with a value of $1,122,000,000) |
2.160% |
9/6/19 |
1,100,000 |
|
1,100,000 |
|
|
RBC Capital Markets LLC NY Branch |
|
|
|
|
|
|
|
(Dated 8/16/19, Repurchase Value $1,728,639,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/20–2/15/40, U.S. Treasury Bill 0.000%, 2/13/20, and U.S. Treasury Note/Bond 1.125%–4.375%, 2/29/20–8/15/48, with a value of $1,759,500,000) |
2.170% |
9/20/19 |
1,725,000 |
|
1,725,000 |
|
|
RBC Capital Markets LLC NY Branch |
|
|
|
|
|
|
|
(Dated 8/16/19, Repurchase Value $1,728,535,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/20–4/15/29, U.S. Treasury Bill 0.000%, 8/13/20, and U.S. Treasury Note/Bond 1.125%–3.625%, 5/15/20–11/15/46, with a value of $1,759,500,000) |
2.170% |
9/19/19 |
1,725,000 |
|
1,725,000 |
|
|
RBC Dominion Securities Inc. |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $450,188,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.125%, 4/15/20–4/15/23 and U.S. Treasury Note/Bond 1.750%–6.500%, 9/30/19–11/15/48, with a value of $459,000,000) |
2.150% |
9/6/19 |
450,000 |
|
450,000 |
|
|
Societe Generale |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $500,119,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/20–2/15/46, U.S. Treasury Bill 0.000%, 11/7/19, and U.S. Treasury Note/Bond 0.875%–4.625%, 9/15/19–8/15/47, with a value of $510,000,000) |
2.140% |
9/3/19 |
500,000 |
|
500,000 |
|
|
TD Securities (USA) LLC |
|
|
|
|
|
|
|
(Dated 8/28/19, Repurchase Value $200,086,000, collateralized by U.S. Treasury Note/Bond 2.000%–2.375%, 2/28/21–8/15/24, with a value of $204,000,000) |
2.220% |
9/4/19 |
200,000 |
|
200,000 |
Federal Money Market Fund
|
|
|
Yield1 |
Maturity |
Face Amount ($000) |
|
Market Value· ($000) |
|
|
TD Securities (USA) LLC |
|
|
|
|
|
|
|
(Dated 8/30/19, Repurchase Value $200,084,000, collateralized by U.S. Treasury Note/Bond 2.625%, 2/15/29, with a value of $204,000,000) |
2.170% |
9/6/19 |
200,000 |
|
200,000 |
|
Total Repurchase Agreements (Cost $26,700,000) |
|
|
|
26,700,000 | ||
|
Total Investments (101.5%) (Cost $135,012,304) |
|
|
|
135,012,304 | ||
|
|
Amount |
|
|
($000) |
|
Other Assets and Liabilities (-1.5%) |
|
|
Other Assets |
|
|
Investment in Vanguard |
6,091 |
|
Receivables for Accrued Income |
48,088 |
|
Receivables for Capital Shares Issued |
249,942 |
|
Other Assets |
8,892 |
|
Total Other Assets |
313,013 |
|
Liabilities |
|
|
Payables for Investment Securities Purchased |
(2,194,275) |
|
Payables for Capital Shares Redeemed |
(154,682) |
|
Payables for Distributions |
(3,308) |
|
Payables to Vanguard |
(7,140) |
|
Total Liabilities |
(2,359,405) |
|
Net Assets (100%) |
|
|
Applicable to 132,967,489,376 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
132,965,912 |
|
Net Asset Value Per Share |
$1.00 |
At August 31, 2019, net assets consisted of:
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
132,968,003 |
|
Total Distributable Earnings (Loss) |
(2,091) |
|
Net Assets |
132,965,912 |
· See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
LIBOR—London Interbank Offered Rate.
SOFR—Secured Overnight Financing Rate.
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Operations
|
|
Year Ended |
|
|
August 31, 2019 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest |
2,745,439 |
|
Total Income |
2,745,439 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
4,174 |
|
Management and Administrative |
103,452 |
|
Marketing and Distribution |
17,728 |
|
Custodian Fees |
380 |
|
Auditing Fees |
32 |
|
Shareholders’ Reports |
2,766 |
|
Trustees’ Fees and Expenses |
128 |
|
Total Expenses |
128,660 |
|
Net Investment Income |
2,616,779 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
596 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
2,617,375 |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Changes in Net Assets
|
|
Year Ended August 31, | ||
|
|
2019 |
|
2018 |
|
|
($000 |
) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income |
2,616,779 |
|
1,281,437 |
|
Realized Net Gain (Loss) |
596 |
|
(2,178) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
2,617,375 |
|
1,279,259 |
|
Distributions |
|
|
|
|
Net Investment Income |
(2,616,749 |
) |
(1,281,485) |
|
Realized Capital Gain |
— |
|
— |
|
Total Distributions |
(2,616,749 |
) |
(1,281,485) |
|
Capital Share Transactions (at $1.00 per share) |
|
|
|
|
Issued |
92,160,373 |
|
80,892,899 |
|
Issued in Lieu of Cash Distributions |
2,571,034 |
|
1,259,244 |
|
Redeemed |
(62,052,929 |
) |
(61,314,694) |
|
Net Increase (Decrease) from Capital Share Transactions |
32,678,478 |
|
20,837,449 |
|
Total Increase (Decrease) |
32,679,104 |
|
20,835,223 |
|
Net Assets |
|
|
|
|
Beginning of Period |
100,286,808 |
|
79,451,585 |
|
End of Period |
132,965,912 |
|
100,286,808 |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Financial Highlights
|
For a Share Outstanding |
|
|
|
|
|
Year Ended August 31, | |||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
.0221 |
|
.0141 |
|
.0061 |
|
.0022 |
|
.0001 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total from Investment Operations |
|
.022 |
|
.014 |
|
.006 |
|
.0022 |
|
.0001 |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(.022) |
|
(.014) |
|
(.006) |
|
(.0022) |
|
(.0001 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(.022) |
|
(.014) |
|
(.006) |
|
(.0022) |
|
(.0001 |
) |
|
Net Asset Value, End of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
|
2.26% |
|
1.42% |
|
0.57% |
|
0.23% |
|
0.01% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$132,966 |
|
$100,287 |
|
$79,452 |
|
$38,804 |
|
$3,325 |
|
|
Ratio of Total Expenses to Average Net Assets3 |
|
0.11% |
|
0.11% |
|
0.11% |
|
0.11% |
|
0.10% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
2.24% |
|
1.43% |
|
0.60% |
|
0.27% |
|
0.01% |
|
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2016 and 0.11% for 2015. For the years ended August 31, 2019, 2018, and 2017, there were no expense reductions.
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
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. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
Federal Money Market Fund
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
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 August 31, 2019, the fund had contributed to Vanguard capital in the amount of $6,091,000, representing less than 0.01% of the fund’s net assets and 2.44% 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 Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
Federal Money Market Fund
The differences are primarily related to the tax deferral on wash sales and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
3,395 |
|
|
Undistributed Long-term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring)* |
|
(2,178 |
) |
|
Net Unrealized Gains (Losses) |
|
— |
|
* The fund used capital loss carryforwards of $596,000 to offset taxable gains realized during the year ended August 31, 2019.
As of August 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
135,012,304 |
|
|
Gross Unrealized Appreciation |
|
— |
|
|
Gross Unrealized Depreciation |
|
— |
|
|
Net Unrealized Appreciation (Depreciation) |
|
— |
|
E. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
Cumulative Performance: August 31, 2009, Through August 31, 2019
Initial Investment of $50,000
|
|
|
Average Annual Total Returns |
|
| |||||
|
|
|
Periods Ended August 31, 2019 |
|
| |||||
|
|
|
|
|
|
|
|
|
Final Value | |
|
|
|
One |
|
Five |
|
Ten |
|
of a $50,000 | |
|
|
|
Year |
|
Years |
|
Years |
|
Investment | |
|
|
Treasury Money Market Fund Investor Shares |
|
2.25% |
|
0.88% |
|
0.45% |
|
52,274 |
|
|
iMoneyNet Money Fund Report’s 100% Treasury Funds Average |
|
1.76 |
|
0.57 |
|
0.29 |
|
51,450 |
|
|
FTSE Three-Month U.S. Treasury Bill Index |
|
2.36 |
|
0.91 |
|
0.49 |
|
52,499 |
7-day SEC yield (8/31/2019): 2.02%
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
See Financial Highlights for dividend information.
Treasury Money Market Fund
Sector Diversification
As of August 31, 2019
|
U.S. Treasury Bills |
|
100.0% |
The table reflects the fund’s market exposure. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
|
|
|
Yield1 |
Maturity |
Face Amount ($000 |
) |
Market Value· ($000) |
|
U.S. Government and Agency Obligations (102.5%) |
|
|
|
| ||
|
|
United States Treasury Bill |
1.951%—2.205% |
9/3/19 |
789,713 |
|
789,619 |
|
|
United States Treasury Bill |
2.284%—2.313% |
9/5/19 |
1,548,516 |
|
1,548,120 |
|
|
United States Treasury Bill |
2.112%—2.148% |
9/10/19 |
1,387,650 |
|
1,386,913 |
|
|
United States Treasury Bill |
2.080%—2.253% |
9/12/19 |
1,969,467 |
|
1,968,121 |
|
|
United States Treasury Bill |
2.091%—2.182% |
9/19/19 |
2,280,933 |
|
2,278,467 |
|
|
United States Treasury Bill |
2.063% |
9/24/19 |
1,208,000 |
|
1,206,410 |
|
|
United States Treasury Bill |
2.060%—2.063% |
10/1/19 |
318,497 |
|
317,987 |
|
|
United States Treasury Bill |
2.024%—2.073% |
10/8/19 |
1,935,278 |
|
1,931,245 |
|
|
United States Treasury Bill |
1.956% |
10/15/19 |
1,542,000 |
|
1,538,325 |
|
|
United States Treasury Bill |
2.044%—2.068% |
10/24/19 |
1,480,000 |
|
1,475,549 |
|
|
United States Treasury Bill |
1.996% |
10/29/19 |
500,000 |
|
498,452 |
|
|
United States Treasury Bill |
2.022%—2.081% |
10/31/19 |
2,087,010 |
|
2,079,814 |
|
|
United States Treasury Bill |
1.986%—2.000% |
11/7/19 |
2,594,000 |
|
2,584,393 |
|
|
United States Treasury Bill |
1.921%—1.970% |
11/14/19 |
950,636 |
|
946,810 |
|
|
United States Treasury Bill |
1.889%—1.952% |
11/21/19 |
2,011,872 |
|
2,003,293 |
|
|
United States Treasury Bill |
1.957%—2.054% |
11/29/19 |
1,792,813 |
|
1,784,096 |
|
|
United States Treasury Bill |
2.281% |
12/5/19 |
300,000 |
|
298,215 |
|
|
United States Treasury Bill |
2.163% |
12/12/19 |
300,000 |
|
298,181 |
|
|
United States Treasury Bill |
2.051% |
12/26/19 |
290,000 |
|
288,103 |
|
|
United States Treasury Bill |
2.061% |
1/2/20 |
300,000 |
|
297,909 |
|
|
United States Treasury Bill |
2.097% |
1/9/20 |
303,000 |
|
300,730 |
|
|
United States Treasury Bill |
2.031% |
1/16/20 |
300,000 |
|
297,705 |
|
|
United States Treasury Bill |
2.031% |
1/23/20 |
300,000 |
|
297,588 |
|
|
United States Treasury Bill |
1.839% |
2/20/20 |
350,000 |
|
346,953 |
|
2 |
United States Treasury Floating Rate Note, 3M US T-Bill + 0.000% |
1.960% |
1/31/20 |
500,000 |
|
500,000 |
|
2 |
United States Treasury Floating Rate Note, 3M US T-Bill + 0.139% |
2.099% |
4/30/21 |
750,000 |
|
749,412 |
|
2 |
United States Treasury Floating Rate Note, 3M US T-Bill + 0.220% |
2.180% |
7/31/21 |
800,000 |
|
799,896 |
|
|
United States Treasury Note/Bond |
1.500% |
10/31/19 |
73,000 |
|
72,934 |
|
|
United States Treasury Note/Bond |
1.250% |
10/31/19 |
26,974 |
|
26,938 |
|
|
United States Treasury Note/Bond |
1.000% |
11/15/19 |
100,000 |
|
99,783 |
|
|
United States Treasury Note/Bond |
3.375% |
11/15/19 |
130,000 |
|
130,328 |
|
Total U.S. Government and Agency Obligations (Cost $29,142,289) |
|
|
29,142,289 | |||
|
Total Investments (102.5%) (Cost $29,142,289) |
|
|
|
29,142,289 | ||
Treasury Money Market Fund
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (-2.5%) |
|
|
|
|
Other Assets |
|
|
|
|
Investment in Vanguard |
|
1,310 |
|
|
Receivables for Investment Securities Sold |
|
26,724 |
|
|
Receivables for Accrued Income |
|
5,938 |
|
|
Receivables for Capital Shares Issued |
|
97,257 |
|
|
Other Assets |
|
4,617 |
|
|
Total Other Assets |
|
135,846 |
|
|
Liabilities |
|
|
|
|
Payables for Investment Securities Purchased |
|
(816,439 |
) |
|
Payables for Capital Shares Redeemed |
|
(28,792 |
) |
|
Payables for Distributions |
|
(3,507 |
) |
|
Payables to Vanguard |
|
(1,253 |
) |
|
Total Liabilities |
|
(849,991 |
) |
|
Net Assets (100%) |
|
|
|
|
Applicable to 28,425,708,036 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
28,428,144 |
|
|
Net Asset Value Per Share |
|
$1.00 |
|
|
At August 31, 2019, net assets consisted of: |
|
|
|
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
28,428,748 |
|
|
Total Distributable Earnings (Loss) |
|
(604 |
) |
|
Net Assets |
|
28,428,144 |
|
· See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Operations
|
|
Year Ended |
|
|
August 31, 2019 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Interest |
561,867 |
|
Total Income |
561,867 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
868 |
|
Management and Administrative |
17,079 |
|
Marketing and Distribution |
3,656 |
|
Custodian Fees |
87 |
|
Auditing Fees |
28 |
|
Shareholders’ Reports |
66 |
|
Trustees’ Fees and Expenses |
12 |
|
Total Expenses |
21,796 |
|
Net Investment Income |
540,071 |
|
Realized Net Gain (Loss) on Investment Securities Sold |
306 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
540,377 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Changes in Net Assets
|
|
Year Ended August 31, | ||
|
|
2019 |
|
2018 |
|
|
($000 |
) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
Operations |
|
|
|
|
Net Investment Income |
540,071 |
|
237,330 |
|
Realized Net Gain (Loss) |
306 |
|
(480) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
540,377 |
|
236,850 |
|
Distributions |
|
|
|
|
Net Investment Income |
(540,070 |
) |
(237,338) |
|
Realized Capital Gain |
— |
|
— |
|
Total Distributions |
(540,070 |
) |
(237,338) |
|
Capital Share Transactions (at $1.00 per share) |
|
|
|
|
Issued |
24,578,573 |
|
11,971,071 |
|
Issued in Lieu of Cash Distributions |
502,686 |
|
227,052 |
|
Redeemed |
(15,564,718 |
) |
(8,925,092) |
|
Net Increase (Decrease) from Capital Share Transactions |
9,516,541 |
|
3,273,031 |
|
Total Increase (Decrease) |
9,516,848 |
|
3,272,543 |
|
Net Assets |
|
|
|
|
Beginning of Period |
18,911,296 |
|
15,638,753 |
|
End of Period |
28,428,144 |
|
18,911,296 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Financial Highlights
|
For a Share Outstanding |
|
|
|
|
|
Year Ended August 31, | |||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
.0221 |
|
.0141 |
|
.0051 |
|
.0017 |
|
.0001 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total from Investment Operations |
|
.022 |
|
.014 |
|
.005 |
|
.0017 |
|
.0001 |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(.022) |
|
(.014) |
|
(.005) |
|
(.0017) |
|
(.0001 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(.022) |
|
(.014) |
|
(.005) |
|
(.0017) |
|
(.0001 |
) |
|
Net Asset Value, End of Period |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
$1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return2 |
|
2.25% |
|
1.43% |
|
0.54% |
|
0.17% |
|
0.01% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$28,428 |
|
$18,911 |
|
$15,639 |
|
$12,803 |
|
$9,388 |
|
|
Ratio of Total Expenses to Average Net Assets3 |
|
0.09% |
|
0.09% |
|
0.09% |
|
0.09% |
|
0.04% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
2.23% |
|
1.43% |
|
0.55% |
|
0.18% |
|
0.01% |
|
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016 and 0.09% for 2015. For the years ended August 31, 2019, 2018, and 2017, there were no expense reductions.
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Notes to Financial Statements
Vanguard Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
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. Securities are valued at amortized cost, which approximates market value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
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.
Treasury Money Market Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $1,310,000, representing less than 0.01% of the fund’s net assets and 0.52% 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 Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
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Amount |
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($000) |
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Undistributed Ordinary Income |
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3,519 |
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Undistributed Long-Term Gains |
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— |
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Capital Loss Carryforwards (Non-expiring)* |
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(616) |
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Net Unrealized Gains (Losses) |
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— |
* The fund used capital loss carryforwards of $307,000 to offset taxable gains realized during the year ended August 31, 2019.
Treasury Money Market Fund
As of August 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
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Amount |
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($000) |
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Tax Cost |
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29,142,289 |
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Gross Unrealized Appreciation |
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— |
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Gross Unrealized Depreciation |
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— |
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Net Unrealized Appreciation (Depreciation) |
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— |
E. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Boards of Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and Shareholders of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Treasury Money Market Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard Prime Money Market Fund and Vanguard Federal Money Market Fund (constituting Vanguard Money Market Reserves) and Vanguard Treasury Money Market Fund (one of the funds constituting Vanguard Admiral Funds) (hereafter collectively referred to as the “Funds”) as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard Prime Money Market Fund
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 64.1% of income dividends are interest-related dividends.
Special 2019 tax information (unaudited) for Vanguard Federal Money Market Fund
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
Special 2019 tax information (unaudited) for Vanguard Treasury Money Market Fund
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund, and Vanguard Treasury Money Market Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each 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 through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each 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 Fixed Income 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 each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each 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 each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also 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 each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
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Joseph Brennan |
Chris D. McIsaac |
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Mortimer J. Buckley |
James M. Norris |
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Gregory Davis |
Thomas M. Rampulla |
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John James |
Karin A. Risi |
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Martha G. King |
Anne E. Robinson |
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John T. Marcante |
Michael Rollings |
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P.O. Box 2600 |
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Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
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© 2019 The Vanguard Group, Inc. |
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All rights reserved. |
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Vanguard Marketing Corporation, Distributor. |
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Q300 102019 |
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Annual Report | August 31, 2019
Vanguard S&P Mid-Cap 400 Index Funds
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Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 Growth Index Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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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.
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Contents |
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A Note From Our Chairman |
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1 |
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Your Fund’s Performance at a Glance |
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About Your Fund’s Expenses |
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3 |
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S&P Mid-Cap 400 Index Fund |
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5 |
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S&P Mid-Cap 400 Value Index Fund |
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24 |
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S&P Mid-Cap 400 Growth Index Fund |
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41 |
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Trustees Approve Advisory Arrangements |
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60 |
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Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they should reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
October 1, 2019
Your Fund’s Performance at a Glance
· In a challenging year for mid-capitalization stocks, growth companies fared a bit better than their value counterparts. For the 12 months ended August 31, 2019, returns for the three Vanguard S&P Mid-Cap 400 Index Funds ranged from about –5% to about –8%. Each fund closely tracked its target index.
· Market sentiment was dampened by signs of decelerating global growth, flare-ups in trade disputes, heightened tensions with Iran, and a lack of agreement in the United Kingdom on how to exit the European Union.
· Five of 11 sectors mitigated losses for the Growth Index Fund, compared with four for the Index Fund and three for the Value Index Fund.
· Utilities and information technology stocks gave the Index Fund and Value Index Fund their biggest lifts; real estate stocks did the same for the Growth Index Fund.
· The energy sector took the biggest hit on a total return basis, detracting from returns for all three funds.
Market Barometer
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Average Annual Total Returns | ||
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Periods Ended August 31, 2019 | ||
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One Year |
Three Years |
Five Years | |
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Stocks |
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Russell 1000 Index (Large-caps) |
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2.49% |
12.57% |
9.85% | |
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Russell 2000 Index (Small-caps) |
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-12.89 |
7.89 |
6.41 | |
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Russell 3000 Index (Broad U.S. market) |
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1.31 |
12.24 |
9.60 | |
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FTSE All-World ex US Index (International) |
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-3.18 |
5.97 |
1.71 | |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index |
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10.17% |
3.09% |
3.35% | |
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Bloomberg Barclays Municipal Bond Index |
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(Broad tax-exempt market) |
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8.72 |
3.30 |
3.85 | |
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FTSE Three-Month U.S. Treasury Bill Index |
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2.36 |
1.47 |
0.91 | |
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CPI |
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Consumer Price Index |
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1.75% |
2.13% |
1.53% | |
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.
Six Months Ended August 31, 2019
|
|
Beginning |
Ending |
Expenses |
|
|
Account Value |
Account Value |
Paid During |
|
|
2/28/2019 |
8/31/2019 |
Period |
|
Based on Actual Fund Return |
|
|
|
|
S&P Mid-Cap 400 Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$993.09 |
$0.25 |
|
Institutional Shares |
1,000.00 |
992.99 |
0.40 |
|
S&P Mid-Cap 400 Value Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$962.81 |
$0.54 |
|
Institutional Shares |
1,000.00 |
962.89 |
0.40 |
|
S&P Mid-Cap 400 Growth Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$1,022.04 |
$0.56 |
|
Institutional Shares |
1,000.00 |
1,022.13 |
0.41 |
|
Based on Hypothetical 5% Yearly Return |
|
|
|
|
S&P Mid-Cap 400 Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$1,024.95 |
$0.26 |
|
Institutional Shares |
1,000.00 |
1,024.80 |
0.41 |
|
S&P Mid-Cap 400 Value Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$1,024.45 |
$0.56 |
|
Institutional Shares |
1,000.00 |
1,024.80 |
0.41 |
|
S&P Mid-Cap 400 Growth Index Fund |
|
|
|
|
ETF Shares |
$1,000.00 |
$1,024.65 |
$0.56 |
|
Institutional Shares |
1,000.00 |
1,024.80 |
0.41 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.05% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.11% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.11% for ETF Shares and 0.08% 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 (184/365).
S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
|
Periods Ended August 31, 2019 |
|
| ||||
|
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
Investment |
|
|
|
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value |
|
-6.50% |
|
7.10% |
|
12.27% |
|
$28,275 |
|
|
|
S&P Mid-Cap 400 Index Fund ETF Shares Market Price |
|
-6.54 |
|
7.10 |
|
12.27 |
|
28,270 |
|
|
|
S&P MidCap 400 Index |
|
-6.43 |
|
7.22 |
|
12.42 |
|
28,606 |
|
|
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $5,000,000 |
|
|
|
|
|
Year |
|
Years |
|
(3/28/2011) |
|
Investment |
|
S&P Mid-Cap 400 Index Fund Institutional Shares |
|
-6.49% |
|
7.16% |
|
9.85% |
|
$11,037,987 | ||
|
S&P MidCap 400 Index |
|
-6.43 |
|
7.22 |
|
9.92 |
|
11,095,666 | ||
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
11.90 |
|
12,901,521 | ||
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
Since |
|
|
One |
Five |
Inception |
|
|
Year |
Years |
(9/7/2010) |
|
S&P Mid-Cap 400 Index Fund ETF Shares Market Price |
-6.54% |
40.90% |
182.70% |
|
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value |
-6.50 |
40.88 |
182.75 |
|
S&P MidCap 400 Index |
-6.43 |
41.74 |
186.06 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Mid-Cap 400 Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
|
2.5% |
|
Consumer Discretionary |
|
13.0 |
|
Consumer Staples |
|
2.7 |
|
Energy |
|
2.3 |
|
Financials |
|
16.3 |
|
Health Care |
|
9.9 |
|
Industrials |
|
15.5 |
|
Information Technology |
|
15.3 |
|
Materials |
|
6.3 |
|
Real Estate |
|
11.2 |
|
Utilities |
|
5.0 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.8%)1 |
|
|
|
|
| ||
|
Communication Services (2.5%) |
|
|
|
|
| ||
|
* |
|
Live Nation Entertainment Inc. |
|
179,515 |
|
12,478 |
|
|
|
|
Cable One Inc. |
|
6,372 |
|
8,269 |
|
|
|
|
New York Times Co. Class A |
|
182,439 |
|
5,327 |
|
|
|
|
Cinemark Holdings Inc. |
|
136,870 |
|
5,223 |
|
|
|
|
World Wrestling Entertainment Inc. Class A |
|
56,114 |
|
4,008 |
|
|
|
|
TEGNA Inc. |
|
278,131 |
|
3,980 |
|
|
|
|
Telephone & Data Systems Inc. |
|
120,289 |
|
3,032 |
|
|
* |
|
Yelp Inc. Class A |
|
84,429 |
|
2,829 |
|
|
* |
|
AMC Networks Inc. Class A |
|
58,053 |
|
2,816 |
|
|
|
|
John Wiley & Sons Inc. Class A |
|
57,688 |
|
2,567 |
|
|
|
|
Meredith Corp. |
|
51,308 |
|
2,246 |
|
|
* |
|
Cars.com Inc. |
|
78,699 |
|
701 |
|
|
|
|
|
|
|
|
53,476 |
|
|
Consumer Discretionary (13.0%) |
|
|
|
|
| ||
|
* |
|
NVR Inc. |
|
4,336 |
|
15,605 |
|
|
|
|
Domino’s Pizza Inc. |
|
52,818 |
|
11,981 |
|
|
|
|
Service Corp. International |
|
233,632 |
|
10,817 |
|
|
|
|
Pool Corp. |
|
51,129 |
|
10,041 |
|
|
* |
|
Five Below Inc. |
|
71,774 |
|
8,819 |
|
|
|
|
Dunkin’ Brands Group Inc. |
|
105,994 |
|
8,738 |
|
|
|
|
Gentex Corp. |
|
327,784 |
|
8,719 |
|
|
* |
|
Caesars Entertainment Corp. |
|
750,590 |
|
8,639 |
|
|
* |
|
GrubHub Inc. |
|
117,000 |
|
6,943 |
|
|
|
|
Williams-Sonoma Inc. |
|
101,127 |
|
6,654 |
|
|
|
|
Wyndham Hotels & Resorts Inc. |
|
124,885 |
|
6,417 |
|
|
|
|
Toll Brothers Inc. |
|
169,456 |
|
6,133 |
|
|
|
|
Polaris Inc. |
|
73,703 |
|
6,045 |
|
|
|
|
Churchill Downs Inc. |
|
45,419 |
|
5,598 |
|
|
|
|
Aaron’s Inc. |
|
86,898 |
|
5,571 |
|
|
* |
|
Deckers Outdoor Corp. |
|
37,415 |
|
5,517 |
|
|
* |
|
Skechers U.S.A. Inc. Class A |
|
172,543 |
|
5,463 |
|
|
|
|
Six Flags Entertainment Corp. |
|
91,975 |
|
5,442 |
|
|
|
|
Wyndham Destinations Inc. |
|
120,238 |
|
5,331 |
|
|
|
|
Carter’s Inc. |
|
58,055 |
|
5,311 |
|
|
|
|
Foot Locker Inc. |
|
144,144 |
|
5,217 |
|
|
|
|
Brunswick Corp. |
|
111,854 |
|
5,212 |
|
|
|
|
Wendy’s Co. |
|
234,652 |
|
5,162 |
|
|
^ |
|
Cracker Barrel Old Country Store Inc. |
|
30,964 |
|
5,121 |
|
|
|
|
Marriott Vacations Worldwide Corp. |
|
50,102 |
|
4,940 |
|
|
* |
|
Helen of Troy Ltd. Shares |
|
32,136 |
|
4,933 |
|
|
* |
|
Tempur Sealy International Inc. |
|
58,857 |
|
4,539 |
|
|
|
|
Texas Roadhouse Inc. Class A |
|
85,831 |
|
4,417 |
|
|
*,^ |
|
Mattel Inc. |
|
442,138 |
|
4,333 |
|
|
|
|
Graham Holdings Co. Class B |
|
5,603 |
|
3,945 |
|
|
* |
|
Ollie’s Bargain Outlet Holdings Inc. |
|
66,848 |
|
3,707 |
|
|
|
|
American Eagle Outfitters Inc. |
|
210,451 |
|
3,540 |
|
|
* |
|
AutoNation Inc. |
|
73,071 |
|
3,468 |
|
|
* |
|
Murphy USA Inc. |
|
38,616 |
|
3,452 |
|
|
|
|
Goodyear Tire & Rubber Co. |
|
297,763 |
|
3,415 |
|
|
*,^ |
|
Eldorado Resorts Inc. |
|
83,287 |
|
3,207 |
|
|
* |
|
Adtalem Global Education Inc. |
|
72,450 |
|
3,095 |
|
|
|
|
Thor Industries Inc. |
|
67,340 |
|
3,092 |
|
|
|
|
KB Home |
|
108,711 |
|
3,054 |
|
|
|
|
Dick’s Sporting Goods Inc. |
|
86,437 |
|
2,942 |
|
|
|
|
Jack in the Box Inc. |
|
33,201 |
|
2,833 |
|
|
* |
|
Penn National Gaming Inc. |
|
137,268 |
|
2,631 |
|
|
* |
|
TRI Pointe Group Inc. |
|
183,005 |
|
2,562 |
|
|
* |
|
Visteon Corp. |
|
36,422 |
|
2,512 |
|
|
|
|
Boyd Gaming Corp. |
|
102,375 |
|
2,461 |
|
S&P Mid-Cap 400 Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Sotheby’s |
|
42,339 |
|
2,445 |
|
|
|
|
Dana Inc. |
|
184,337 |
|
2,347 |
|
|
|
|
Adient plc |
|
111,256 |
|
2,244 |
|
|
* |
|
Urban Outfitters Inc. |
|
87,904 |
|
2,058 |
|
|
|
|
Cheesecake Factory Inc. |
|
53,258 |
|
2,023 |
|
|
* |
|
Sally Beauty Holdings Inc. |
|
154,362 |
|
1,888 |
|
|
|
|
Brinker International Inc. |
|
48,008 |
|
1,824 |
|
|
^ |
|
Bed Bath & Beyond Inc. |
|
168,982 |
|
1,634 |
|
|
* |
|
Weight Watchers International Inc. |
|
49,742 |
|
1,492 |
|
|
^ |
|
Delphi Technologies plc |
|
112,482 |
|
1,488 |
|
|
|
|
Papa John’s International Inc. |
|
28,878 |
|
1,437 |
|
|
|
|
International Speedway Corp. Class A |
|
30,629 |
|
1,379 |
|
|
^ |
|
Dillard’s Inc. Class A |
|
22,843 |
|
1,337 |
|
|
* |
|
Scientific Games Corp. |
|
71,346 |
|
1,318 |
|
|
|
|
Signet Jewelers Ltd. |
|
66,878 |
|
819 |
|
|
|
|
Tupperware Brands Corp. |
|
62,231 |
|
810 |
|
|
* |
|
Michaels Cos. Inc. |
|
115,557 |
|
655 |
|
|
|
|
|
|
|
|
274,772 |
|
|
Consumer Staples (2.7%) |
|
|
|
|
| ||
|
* |
|
Post Holdings Inc. |
|
85,580 |
|
8,531 |
|
|
|
|
Casey’s General Stores Inc. |
|
46,963 |
|
7,883 |
|
|
|
|
Ingredion Inc. |
|
85,593 |
|
6,614 |
|
|
|
|
Flowers Foods Inc. |
|
236,824 |
|
5,400 |
|
|
* |
|
Boston Beer Co. Inc. Class A |
|
11,231 |
|
4,924 |
|
|
|
|
Sanderson Farms Inc. |
|
24,954 |
|
3,734 |
|
|
|
|
Lancaster Colony Corp. |
|
25,199 |
|
3,676 |
|
|
* |
|
TreeHouse Foods Inc. |
|
71,865 |
|
3,640 |
|
|
|
|
Energizer Holdings Inc. |
|
81,415 |
|
3,134 |
|
|
|
|
Nu Skin Enterprises Inc. Class A |
|
71,446 |
|
2,902 |
|
|
* |
|
Sprouts Farmers Market Inc. |
|
151,692 |
|
2,723 |
|
|
* |
|
Hain Celestial Group Inc. |
|
114,638 |
|
2,184 |
|
|
* |
|
Edgewell Personal Care Co. |
|
69,319 |
|
1,930 |
|
|
^ |
|
Tootsie Roll Industries Inc. |
|
24,214 |
|
888 |
|
|
|
|
|
|
|
|
58,163 |
|
|
Energy (2.3%) |
|
|
|
|
| ||
|
* |
|
WPX Energy Inc. |
|
511,294 |
|
5,501 |
|
|
|
|
PBF Energy Inc. Class A |
|
153,417 |
|
3,636 |
|
|
|
|
Murphy Oil Corp. |
|
198,379 |
|
3,616 |
|
|
|
|
Equitrans Midstream Corp. |
|
261,174 |
|
3,523 |
|
|
|
|
EQT Corp. |
|
326,997 |
|
3,326 |
|
|
|
|
World Fuel Services Corp. |
|
86,082 |
|
3,306 |
|
|
* |
|
Transocean Ltd. |
|
650,266 |
|
2,959 |
|
|
* |
|
Apergy Corp. |
|
99,060 |
|
2,574 |
|
|
|
|
Patterson-UTI Energy Inc. |
|
266,974 |
|
2,309 |
|
|
|
|
Core Laboratories NV |
|
56,770 |
|
2,248 |
|
|
* |
|
Matador Resources Co. |
|
132,935 |
|
2,080 |
|
|
* |
|
CNX Resources Corp. |
|
250,560 |
|
1,997 |
|
|
*,^ |
|
Chesapeake Energy Corp. |
|
1,338,129 |
|
1,927 |
|
|
* |
|
Oceaneering International Inc. |
|
127,784 |
|
1,656 |
|
|
* |
|
Callon Petroleum Co. |
|
291,591 |
|
1,198 |
|
|
*,^ |
|
Valaris plc Class A |
|
251,491 |
|
1,172 |
|
|
* |
|
McDermott International Inc. |
|
232,944 |
|
1,099 |
|
|
* |
|
Southwestern Energy Co. |
|
693,425 |
|
1,096 |
|
|
|
|
QEP Resources Inc. |
|
304,221 |
|
1,083 |
|
|
* |
|
Oasis Petroleum Inc. |
|
345,334 |
|
1,077 |
|
|
|
|
Range Resources Corp. |
|
266,513 |
|
949 |
|
|
|
|
|
|
|
|
48,332 |
|
|
Financials (16.3%) |
|
|
|
|
| ||
|
* |
|
Alleghany Corp. |
|
18,521 |
|
13,878 |
|
|
|
|
FactSet Research Systems Inc. |
|
49,057 |
|
13,348 |
|
|
|
|
WR Berkley Corp. |
|
185,637 |
|
13,227 |
|
|
|
|
Reinsurance Group of America Inc. Class A |
|
80,383 |
|
12,377 |
|
|
|
|
Brown & Brown Inc. |
|
300,097 |
|
11,071 |
|
|
|
|
RenaissanceRe Holdings Ltd. |
|
56,773 |
|
10,250 |
|
|
|
|
SEI Investments Co. |
|
164,262 |
|
9,447 |
|
|
|
|
American Financial Group Inc. |
|
90,885 |
|
9,177 |
|
|
|
|
Old Republic International Corp. |
|
365,265 |
|
8,533 |
|
|
|
|
First American Financial Corp. |
|
143,777 |
|
8,404 |
|
|
|
|
Signature Bank |
|
70,672 |
|
8,244 |
|
|
|
|
East West Bancorp Inc. |
|
186,882 |
|
7,686 |
|
|
|
|
TCF Financial Corp. |
|
198,729 |
|
7,663 |
|
|
|
|
Commerce Bancshares Inc. |
|
127,237 |
|
7,261 |
|
|
|
|
Synovus Financial Corp. |
|
201,715 |
|
7,169 |
|
|
|
|
Hanover Insurance Group Inc. |
|
52,237 |
|
6,955 |
|
|
|
|
New York Community Bancorp Inc. |
|
599,753 |
|
6,921 |
|
|
|
|
Cullen/Frost Bankers Inc. |
|
80,799 |
|
6,707 |
|
|
|
|
Primerica Inc. |
|
54,524 |
|
6,498 |
|
|
|
|
First Horizon National Corp. |
|
404,881 |
|
6,409 |
|
|
|
|
Eaton Vance Corp. |
|
146,445 |
|
6,315 |
|
|
|
|
Kemper Corp. |
|
80,449 |
|
5,630 |
|
|
|
|
Prosperity Bancshares Inc. |
|
84,973 |
|
5,516 |
|
|
|
|
First Financial Bankshares Inc. |
|
174,300 |
|
5,337 |
|
|
|
|
Webster Financial Corp. |
|
118,375 |
|
5,298 |
|
|
* |
|
Brighthouse Financial Inc. |
|
148,744 |
|
5,245 |
|
|
|
|
PacWest Bancorp |
|
152,148 |
|
5,185 |
|
|
|
|
Sterling Bancorp |
|
268,328 |
|
5,117 |
|
S&P Mid-Cap 400 Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Pinnacle Financial Partners Inc. |
|
92,856 |
|
4,891 |
|
|
|
|
Stifel Financial Corp. |
|
90,607 |
|
4,840 |
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
United Bankshares Inc. |
|
130,757 |
|
4,822 |
|
|
|
|
SLM Corp. |
|
558,081 |
|
4,710 |
|
|
|
|
Wintrust Financial Corp. |
|
72,781 |
|
4,573 |
|
|
|
|
Interactive Brokers Group Inc. |
|
96,757 |
|
4,567 |
|
|
|
|
FNB Corp. |
|
417,303 |
|
4,486 |
|
|
|
|
Valley National Bancorp |
|
426,225 |
|
4,480 |
|
|
|
|
Umpqua Holdings Corp. |
|
282,382 |
|
4,436 |
|
|
|
|
Bank of Hawaii Corp. |
|
52,482 |
|
4,339 |
|
|
|
|
Evercore Inc. Class A |
|
52,570 |
|
4,193 |
|
|
|
|
Legg Mason Inc. |
|
111,761 |
|
4,112 |
|
|
|
|
Janus Henderson Group plc |
|
211,498 |
|
4,042 |
|
|
|
|
Associated Banc-Corp |
|
209,946 |
|
4,039 |
|
|
|
|
Bank OZK |
|
154,770 |
|
3,993 |
|
|
|
|
Federated Investors Inc. Class B |
|
123,080 |
|
3,943 |
|
|
|
|
Hancock Whitney Corp. |
|
110,148 |
|
3,867 |
|
|
|
|
Washington Federal Inc. |
|
103,412 |
|
3,681 |
|
|
|
|
UMB Financial Corp. |
|
56,556 |
|
3,525 |
|
|
|
|
Home BancShares Inc. |
|
198,596 |
|
3,519 |
|
|
|
|
Navient Corp. |
|
273,023 |
|
3,478 |
|
|
* |
|
Texas Capital Bancshares Inc. |
|
64,399 |
|
3,470 |
|
|
|
|
Fulton Financial Corp. |
|
216,251 |
|
3,449 |
|
|
|
|
BancorpSouth Bank |
|
118,549 |
|
3,271 |
|
|
|
|
Cathay General Bancorp |
|
97,856 |
|
3,248 |
|
|
|
|
CNO Financial Group Inc. |
|
206,233 |
|
2,986 |
|
|
* |
|
LendingTree Inc. |
|
9,600 |
|
2,977 |
|
|
* |
|
Genworth Financial Inc. Class A |
|
644,350 |
|
2,854 |
|
|
|
|
Trustmark Corp. |
|
82,916 |
|
2,710 |
|
|
|
|
International Bancshares Corp. |
|
69,809 |
|
2,485 |
|
|
* |
|
Green Dot Corp. Class A |
|
61,286 |
|
1,874 |
|
|
|
|
Mercury General Corp. |
|
34,722 |
|
1,858 |
|
|
|
|
|
|
|
|
344,586 |
|
|
Health Care (9.9%) |
|
|
|
|
| ||
|
|
|
STERIS plc |
|
108,461 |
|
16,746 |
|
|
|
|
West Pharmaceutical Services Inc. |
|
94,380 |
|
13,729 |
|
|
* |
|
Molina Healthcare Inc. |
|
80,288 |
|
10,460 |
|
|
* |
|
Catalent Inc. |
|
186,863 |
|
9,855 |
|
|
* |
|
Masimo Corp. |
|
62,945 |
|
9,646 |
|
|
|
|
Bio-Techne Corp. |
|
48,565 |
|
9,304 |
|
|
|
|
Hill-Rom Holdings Inc. |
|
85,643 |
|
9,222 |
|
|
|
|
Chemed Corp. |
|
20,434 |
|
8,775 |
|
|
* |
|
Haemonetics Corp. |
|
65,657 |
|
8,767 |
|
|
* |
|
Bio-Rad Laboratories Inc. Class A |
|
25,768 |
|
8,702 |
|
|
* |
|
Charles River Laboratories International Inc. |
|
62,528 |
|
8,204 |
|
|
|
|
Encompass Health Corp. |
|
126,834 |
|
7,710 |
|
|
* |
|
Exelixis Inc. |
|
387,099 |
|
7,684 |
|
|
* |
|
PRA Health Sciences Inc. |
|
75,807 |
|
7,493 |
|
|
* |
|
Medidata Solutions Inc. |
|
79,872 |
|
7,315 |
|
|
* |
|
Integra LifeSciences Holdings Corp. |
|
91,093 |
|
5,467 |
|
|
* |
|
HealthEquity Inc. |
|
89,213 |
|
5,296 |
|
|
* |
|
Globus Medical Inc. |
|
98,324 |
|
5,021 |
|
|
* |
|
Amedisys Inc. |
|
37,463 |
|
4,822 |
|
|
* |
|
LivaNova plc |
|
62,078 |
|
4,819 |
|
|
* |
|
United Therapeutics Corp. |
|
56,302 |
|
4,648 |
|
|
|
|
Cantel Medical Corp. |
|
46,701 |
|
4,293 |
|
|
* |
|
NuVasive Inc. |
|
66,680 |
|
4,236 |
|
|
* |
|
Syneos Health Inc. |
|
78,684 |
|
4,133 |
|
|
* |
|
ICU Medical Inc. |
|
21,377 |
|
3,458 |
|
|
* |
|
Acadia Healthcare Co. Inc. |
|
114,111 |
|
3,019 |
|
|
* |
|
MEDNAX Inc. |
|
110,798 |
|
2,336 |
|
|
* |
|
Tenet Healthcare Corp. |
|
106,877 |
|
2,314 |
|
|
* |
|
Ligand Pharmaceuticals Inc. |
|
25,068 |
|
2,279 |
|
|
* |
|
Prestige Consumer Healthcare Inc. |
|
66,291 |
|
2,113 |
|
|
* |
|
Avanos Medical Inc. |
|
60,803 |
|
2,018 |
|
|
* |
|
Allscripts Healthcare Solutions Inc. |
|
213,236 |
|
1,936 |
|
|
|
|
Patterson Cos. Inc. |
|
106,061 |
|
1,773 |
|
|
* |
|
Covetrus Inc. |
|
122,906 |
|
1,634 |
|
|
* |
|
Inogen Inc. |
|
23,014 |
|
1,067 |
|
|
* |
|
Mallinckrodt plc |
|
106,958 |
|
277 |
|
|
|
|
|
|
|
|
210,571 |
|
|
Industrials (15.4%) |
|
|
|
|
| ||
|
* |
|
Teledyne Technologies Inc. |
|
46,485 |
|
14,345 |
|
|
|
|
Old Dominion Freight Line Inc. |
|
83,232 |
|
13,630 |
|
|
|
|
Lennox International Inc. |
|
45,361 |
|
11,512 |
|
|
|
|
Carlisle Cos. Inc. |
|
73,370 |
|
10,636 |
|
|
|
|
Toro Co. |
|
136,871 |
|
9,856 |
|
|
|
|
Graco Inc. |
|
213,500 |
|
9,729 |
|
|
|
|
Hubbell Inc. Class B |
|
69,940 |
|
9,172 |
|
|
|
|
Nordson Corp. |
|
66,305 |
|
9,015 |
|
|
* |
|
XPO Logistics Inc. |
|
117,957 |
|
8,358 |
|
|
* |
|
Genesee & Wyoming Inc. Class A |
|
72,484 |
|
8,037 |
|
|
|
|
Donaldson Co. Inc. |
|
163,605 |
|
7,912 |
|
|
|
|
Woodward Inc. |
|
71,699 |
|
7,733 |
|
|
* |
|
AECOM |
|
201,933 |
|
7,165 |
|
|
|
|
Watsco Inc. |
|
41,361 |
|
6,765 |
|
|
|
|
Curtiss-Wright Corp. |
|
54,909 |
|
6,734 |
|
|
* |
|
JetBlue Airways Corp. |
|
386,097 |
|
6,687 |
|
|
|
|
Lincoln Electric Holdings Inc. |
|
80,623 |
|
6,656 |
|
|
|
|
Acuity Brands Inc. |
|
51,213 |
|
6,423 |
|
S&P Mid-Cap 400 Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Trex Co. Inc. |
|
75,074 |
|
6,421 |
|
|
|
|
ITT Inc. |
|
112,724 |
|
6,416 |
|
|
|
|
Oshkosh Corp. |
|
89,724 |
|
6,305 |
|
|
|
|
EMCOR Group Inc. |
|
72,019 |
|
6,297 |
|
|
|
|
ManpowerGroup Inc. |
|
76,769 |
|
6,275 |
|
|
|
|
Landstar System Inc. |
|
51,570 |
|
5,751 |
|
|
|
|
AGCO Corp. |
|
82,798 |
|
5,723 |
|
|
|
|
Tetra Tech Inc. |
|
70,407 |
|
5,711 |
|
|
|
|
Knight-Swift Transportation Holdings Inc. |
|
160,071 |
|
5,465 |
|
|
* |
|
Kirby Corp. |
|
69,235 |
|
5,095 |
|
|
* |
|
MasTec Inc. |
|
79,373 |
|
4,990 |
|
|
|
|
Crane Co. |
|
65,390 |
|
4,985 |
|
|
* |
|
Stericycle Inc. |
|
109,930 |
|
4,935 |
|
|
|
|
Brink’s Co. |
|
64,063 |
|
4,821 |
|
|
* |
|
Clean Harbors Inc. |
|
65,277 |
|
4,801 |
|
|
|
|
MSA Safety Inc. |
|
45,351 |
|
4,790 |
|
|
|
|
Insperity Inc. |
|
48,227 |
|
4,777 |
|
|
* |
|
Axon Enterprise Inc. |
|
75,953 |
|
4,555 |
|
|
* |
|
ASGN Inc. |
|
67,584 |
|
4,222 |
|
|
|
|
nVent Electric plc |
|
205,162 |
|
4,157 |
|
|
|
|
MSC Industrial Direct Co. Inc. Class A |
|
57,565 |
|
3,893 |
|
|
|
|
Regal Beloit Corp. |
|
54,820 |
|
3,887 |
|
|
|
|
Valmont Industries Inc. |
|
27,973 |
|
3,790 |
|
|
|
|
Timken Co. |
|
87,690 |
|
3,523 |
|
|
|
|
GATX Corp. |
|
46,345 |
|
3,440 |
|
|
* |
|
Colfax Corp. |
|
123,324 |
|
3,354 |
|
|
|
|
Ryder System Inc. |
|
68,582 |
|
3,304 |
|
|
|
|
Herman Miller Inc. |
|
75,294 |
|
3,183 |
|
|
|
|
Fluor Corp. |
|
179,144 |
|
3,165 |
|
|
|
|
Kennametal Inc. |
|
105,465 |
|
3,152 |
|
|
|
|
EnerSys |
|
54,871 |
|
3,073 |
|
|
|
|
Trinity Industries Inc. |
|
166,213 |
|
2,904 |
|
|
|
|
Deluxe Corp. |
|
55,899 |
|
2,576 |
|
|
* |
|
Resideo Technologies Inc. |
|
157,085 |
|
2,165 |
|
|
|
|
Healthcare Services Group Inc. |
|
94,771 |
|
2,137 |
|
|
* |
|
Avis Budget Group Inc. |
|
81,700 |
|
2,024 |
|
|
|
|
Terex Corp. |
|
80,207 |
|
1,991 |
|
|
|
|
Werner Enterprises Inc. |
|
55,476 |
|
1,813 |
|
|
* |
|
Dycom Industries Inc. |
|
40,295 |
|
1,793 |
|
|
|
|
HNI Corp. |
|
55,517 |
|
1,732 |
|
|
|
|
Granite Construction Inc. |
|
59,937 |
|
1,705 |
|
|
* |
|
NOW Inc. |
|
139,355 |
|
1,657 |
|
|
|
|
|
|
|
|
327,118 |
|
|
Information Technology (15.3%) |
|
|
|
|
| ||
|
* |
|
Zebra Technologies Corp. |
|
69,355 |
|
14,220 |
|
|
* |
|
Fair Isaac Corp. |
|
37,152 |
|
13,104 |
|
|
* |
|
Tyler Technologies Inc. |
|
49,254 |
|
12,636 |
|
|
* |
|
Trimble Inc. |
|
323,524 |
|
12,139 |
|
|
|
|
Teradyne Inc. |
|
219,732 |
|
11,639 |
|
|
* |
|
WEX Inc. |
|
55,471 |
|
11,347 |
|
|
|
|
Universal Display Corp. |
|
54,455 |
|
11,189 |
|
|
|
|
Cypress Semiconductor Corp. |
|
469,090 |
|
10,794 |
|
|
|
|
Cognex Corp. |
|
219,798 |
|
9,908 |
|
|
* |
|
PTC Inc. |
|
132,837 |
|
8,697 |
|
|
|
|
Sabre Corp. |
|
352,337 |
|
8,329 |
|
|
|
|
Monolithic Power Systems Inc. |
|
50,849 |
|
7,656 |
|
|
* |
|
Arrow Electronics Inc. |
|
108,807 |
|
7,529 |
|
|
* |
|
Ciena Corp. |
|
183,600 |
|
7,515 |
|
|
|
|
Versum Materials Inc. |
|
140,139 |
|
7,287 |
|
|
* |
|
CACI International Inc. Class A |
|
31,913 |
|
7,094 |
|
|
* |
|
Manhattan Associates Inc. |
|
82,882 |
|
6,849 |
|
|
|
|
CDK Global Inc. |
|
156,083 |
|
6,737 |
|
|
|
|
MAXIMUS Inc. |
|
81,897 |
|
6,301 |
|
|
* |
|
Silicon Laboratories Inc. |
|
55,647 |
|
6,065 |
|
|
* |
|
First Solar Inc. |
|
97,359 |
|
6,043 |
|
|
|
|
National Instruments Corp. |
|
143,846 |
|
6,042 |
|
|
* |
|
ViaSat Inc. |
|
73,112 |
|
5,800 |
|
|
* |
|
Cree Inc. |
|
134,991 |
|
5,795 |
|
|
|
|
Science Applications International Corp. |
|
65,347 |
|
5,751 |
|
|
|
|
Blackbaud Inc. |
|
63,141 |
|
5,744 |
|
|
|
|
Avnet Inc. |
|
136,457 |
|
5,716 |
|
|
* |
|
Lumentum Holdings Inc. |
|
98,100 |
|
5,470 |
|
|
|
|
MKS Instruments Inc. |
|
69,797 |
|
5,464 |
|
|
|
|
Jabil Inc. |
|
179,149 |
|
5,161 |
|
|
|
|
j2 Global Inc. |
|
59,515 |
|
5,035 |
|
|
* |
|
CoreLogic Inc. |
|
103,946 |
|
5,031 |
|
|
|
|
Littelfuse Inc. |
|
31,747 |
|
4,955 |
|
|
* |
|
NCR Corp. |
|
154,291 |
|
4,862 |
|
|
|
|
Perspecta Inc. |
|
179,829 |
|
4,667 |
|
|
* |
|
Teradata Corp. |
|
150,455 |
|
4,645 |
|
|
|
|
KBR Inc. |
|
181,088 |
|
4,621 |
|
|
* |
|
Coherent Inc. |
|
31,069 |
|
4,504 |
|
|
|
|
SYNNEX Corp. |
|
53,543 |
|
4,487 |
|
|
* |
|
Tech Data Corp. |
|
47,029 |
|
4,361 |
|
|
|
|
LogMeIn Inc. |
|
63,768 |
|
4,262 |
|
|
* |
|
ACI Worldwide Inc. |
|
141,502 |
|
4,214 |
|
|
* |
|
Cirrus Logic Inc. |
|
74,676 |
|
4,006 |
|
|
* |
|
LiveRamp Holdings Inc. |
|
88,685 |
|
3,757 |
|
|
* |
|
Semtech Corp. |
|
85,352 |
|
3,582 |
|
|
|
|
Vishay Intertechnology Inc. |
|
169,516 |
|
2,683 |
|
|
|
|
Belden Inc. |
|
49,457 |
|
2,256 |
|
|
* |
|
CommVault Systems Inc. |
|
49,163 |
|
2,132 |
|
|
|
|
InterDigital Inc. |
|
40,662 |
|
1,999 |
|
|
* |
|
NetScout Systems Inc. |
|
89,262 |
|
1,977 |
|
|
* |
|
Synaptics Inc. |
|
44,213 |
|
1,416 |
|
|
|
|
Plantronics Inc. |
|
42,042 |
|
1,306 |
|
|
|
|
|
|
324,779 |
| ||
|
Materials (6.3%) |
|
|
|
|
| ||
|
|
|
RPM International Inc. |
|
168,068 |
|
11,373 |
|
|
|
|
Royal Gold Inc. |
|
84,000 |
|
11,204 |
|
|
|
|
AptarGroup Inc. |
|
81,034 |
|
9,904 |
|
S&P Mid-Cap 400 Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Reliance Steel & Aluminum Co. |
|
86,272 |
|
8,388 |
|
|
|
|
Steel Dynamics Inc. |
|
285,317 |
|
7,704 |
|
|
|
|
Sonoco Products Co. |
|
128,379 |
|
7,343 |
|
|
|
|
Ashland Global Holdings Inc. |
|
80,562 |
|
5,900 |
|
|
|
|
Valvoline Inc. |
|
241,658 |
|
5,462 |
|
|
|
|
Scotts Miracle-Gro Co. |
|
50,563 |
|
5,376 |
|
|
|
|
NewMarket Corp. |
|
11,200 |
|
5,317 |
|
|
|
|
Eagle Materials Inc. |
|
56,853 |
|
4,786 |
|
|
* |
|
Ingevity Corp. |
|
53,778 |
|
4,096 |
|
|
|
|
Louisiana-Pacific Corp. |
|
159,234 |
|
3,828 |
|
|
|
|
Olin Corp. |
|
212,136 |
|
3,602 |
|
|
|
|
Sensient Technologies Corp. |
|
54,161 |
|
3,538 |
|
|
* |
|
Allegheny Technologies Inc. |
|
163,310 |
|
3,237 |
|
|
|
|
PolyOne Corp. |
|
99,586 |
|
3,188 |
|
|
|
|
Cabot Corp. |
|
74,811 |
|
2,992 |
|
|
|
|
Chemours Co. |
|
209,825 |
|
2,973 |
|
|
|
|
Silgan Holdings Inc. |
|
99,666 |
|
2,966 |
|
|
|
|
Carpenter Technology Corp. |
|
60,678 |
|
2,951 |
|
|
|
|
Domtar Corp. |
|
80,741 |
|
2,660 |
|
|
|
|
United States Steel Corp. |
|
220,611 |
|
2,442 |
|
|
|
|
Commercial Metals Co. |
|
150,852 |
|
2,364 |
|
|
|
|
Minerals Technologies Inc. |
|
45,116 |
|
2,175 |
|
|
|
|
Compass Minerals International Inc. |
|
43,674 |
|
2,172 |
|
|
|
|
Owens-Illinois Inc. |
|
199,961 |
|
2,034 |
|
|
|
|
Worthington Industries Inc. |
|
49,821 |
|
1,729 |
|
|
|
|
Greif Inc. Class A |
|
34,038 |
|
1,198 |
|
|
|
|
|
|
|
|
132,902 |
|
|
Real Estate (11.1%) |
|
|
|
|
| ||
|
|
|
Camden Property Trust |
|
124,199 |
|
13,445 |
|
|
|
|
National Retail Properties Inc. |
|
208,562 |
|
11,711 |
|
|
|
|
Omega Healthcare Investors Inc. |
|
275,032 |
|
11,188 |
|
|
|
|
CyrusOne Inc. |
|
145,119 |
|
10,660 |
|
|
|
|
Medical Properties Trust Inc. |
|
563,426 |
|
10,474 |
|
|
|
|
Kilroy Realty Corp. |
|
129,505 |
|
10,083 |
|
|
|
|
Liberty Property Trust |
|
190,147 |
|
9,910 |
|
|
|
|
Jones Lang LaSalle Inc. |
|
66,348 |
|
8,894 |
|
|
|
|
Douglas Emmett Inc. |
|
207,548 |
|
8,759 |
|
|
|
|
Lamar Advertising Co. Class A |
|
109,750 |
|
8,412 |
|
|
|
|
American Campus Communities Inc. |
|
176,021 |
|
8,181 |
|
|
|
|
EPR Properties |
|
96,879 |
|
7,581 |
|
|
|
|
Brixmor Property Group Inc. |
|
382,310 |
|
7,046 |
|
|
|
|
Cousins Properties Inc. |
|
186,528 |
|
6,473 |
|
|
|
|
Life Storage Inc. |
|
59,859 |
|
6,343 |
|
|
|
|
First Industrial Realty Trust Inc. |
|
162,411 |
|
6,326 |
|
|
|
|
JBG SMITH Properties |
|
154,989 |
|
5,930 |
|
|
|
|
EastGroup Properties Inc. |
|
47,167 |
|
5,873 |
|
|
|
|
Highwoods Properties Inc. |
|
133,143 |
|
5,753 |
|
|
|
|
CoreSite Realty Corp. |
|
47,497 |
|
5,518 |
|
|
|
|
Healthcare Realty Trust Inc. |
|
165,905 |
|
5,513 |
|
|
|
|
Spirit Realty Capital Inc. |
|
112,457 |
|
5,391 |
|
|
|
|
Sabra Health Care REIT Inc. |
|
243,336 |
|
5,261 |
|
|
|
|
Hospitality Properties Trust |
|
211,259 |
|
5,100 |
|
|
|
|
PS Business Parks Inc. |
|
25,704 |
|
4,617 |
|
|
|
|
Pebblebrook Hotel Trust |
|
167,413 |
|
4,515 |
|
|
|
|
Rayonier Inc. |
|
167,084 |
|
4,478 |
|
|
|
|
Corporate Office Properties Trust |
|
143,567 |
|
4,148 |
|
|
|
|
Weingarten Realty Investors |
|
153,242 |
|
4,059 |
|
|
|
|
PotlatchDeltic Corp. |
|
86,533 |
|
3,330 |
|
|
|
|
Taubman Centers Inc. |
|
78,321 |
|
3,058 |
|
|
|
|
Urban Edge Properties |
|
155,070 |
|
2,715 |
|
|
|
|
GEO Group Inc. |
|
155,182 |
|
2,663 |
|
|
|
|
CoreCivic Inc. |
|
152,395 |
|
2,583 |
|
|
|
|
Senior Housing Properties Trust |
|
304,242 |
|
2,583 |
|
|
|
|
Mack-Cali Realty Corp. |
|
115,580 |
|
2,354 |
|
|
|
|
Alexander & Baldwin Inc. |
|
86,885 |
|
1,989 |
|
|
|
|
Uniti Group Inc. |
|
235,408 |
|
1,740 |
|
|
^ |
|
Tanger Factory Outlet Centers Inc. |
|
120,330 |
|
1,702 |
|
|
|
|
|
|
|
|
236,359 |
|
|
Utilities (5.0%) |
|
|
|
|
| ||
|
|
|
UGI Corp. |
|
268,256 |
|
13,056 |
|
|
|
|
Aqua America Inc. |
|
276,646 |
|
12,253 |
|
|
|
|
OGE Energy Corp. |
|
256,750 |
|
11,007 |
|
|
|
|
IDACORP Inc. |
|
64,688 |
|
7,103 |
|
|
|
|
MDU Resources Group Inc. |
|
254,331 |
|
6,839 |
|
|
|
|
Southwest Gas Holdings Inc. |
|
68,417 |
|
6,242 |
|
|
|
|
Hawaiian Electric Industries Inc. |
|
139,903 |
|
6,212 |
|
|
|
|
ONE Gas Inc. |
|
67,641 |
|
6,197 |
|
|
|
|
ALLETE Inc. |
|
66,133 |
|
5,670 |
|
|
|
|
Spire Inc. |
|
65,199 |
|
5,535 |
|
|
|
|
Black Hills Corp. |
|
69,580 |
|
5,337 |
|
|
|
|
New Jersey Resources Corp. |
|
114,323 |
|
5,229 |
|
|
|
|
PNM Resources Inc. |
|
102,320 |
|
5,219 |
|
|
|
|
National Fuel Gas Co. |
|
110,769 |
|
5,177 |
|
|
|
|
NorthWestern Corp. |
|
64,639 |
|
4,682 |
|
|
|
|
|
|
|
|
105,758 |
|
S&P Mid-Cap 400 Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Total Common Stocks |
|
|
|
2,116,816 |
| ||
|
Temporary Cash Investments (0.7%)1 |
|
|
|
|
| ||
|
Money Market Fund (0.7%) |
|
|
|
|
| ||
|
2,3 |
|
Vanguard Market Liquidity Fund, 2.249% |
|
149,643 |
|
14,966 |
|
|
|
|
|
|
Face |
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
($000) |
|
|
|
|
U.S. Government and Agency Obligations (0.0%) |
|
|
|
|
| ||
|
4 |
|
United States Treasury Bill, 1.954%, 11/7/19 |
|
800 |
|
797 |
|
|
Total Temporary Cash Investments |
|
|
|
|
| ||
|
(Cost $15,762) |
|
|
|
15,763 |
| ||
|
Total Investments (100.5%) |
|
|
|
|
| ||
|
(Cost $2,087,458) |
|
|
|
2,132,579 |
| ||
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (-0.5%) |
|
|
|
|
| ||
|
Other Assets |
|
|
|
|
| ||
|
Investment in Vanguard |
|
|
|
108 |
| ||
|
Receivables for Accrued Income |
|
|
|
2,281 |
| ||
|
Receivables for Capital Shares Issued |
|
|
|
885 |
| ||
|
Variation Margin Receivable—Futures Contracts |
|
|
|
10 |
| ||
|
Total Other Assets |
|
|
|
3,284 |
| ||
|
Liabilities |
|
|
|
|
| ||
|
Payables for Investment Securities Purchased |
|
|
|
(1,512 |
) | ||
|
Collateral for Securities on Loan |
|
|
|
(12,355 |
) | ||
|
Payables for Capital Shares Redeemed |
|
|
|
(478 |
) | ||
|
Payables to Vanguard |
|
|
|
(227 |
) | ||
|
Other Liabilities |
|
|
|
(5 |
) | ||
|
Total Liabilities |
|
|
|
(14,577 |
) | ||
|
Net Assets (100%) |
|
|
|
2,121,286 |
| ||
At August 31, 2019, net assets consisted of:
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
|
|
2,126,152 |
| ||
|
Total Distributable Earnings (Loss) |
|
|
|
(4,866 |
) | ||
|
Net Assets |
|
|
|
2,121,286 |
| ||
|
|
|
|
|
|
| ||
|
ETF Shares—Net Assets |
|
|
|
|
| ||
|
Applicable to 7,226,158 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
919,032 |
| ||
|
Net Asset Value Per Share—ETF Shares |
|
|
|
$127.18 |
| ||
|
|
|
|
|
|
| ||
|
Institutional Shares—Net Assets |
|
|
|
|
| ||
|
Applicable to 4,740,717 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
1,202,254 |
| ||
|
Net Asset Value Per Share—Institutional Shares |
|
|
|
$253.60 |
| ||
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $11,486,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.5%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $12,355,000 of collateral received for securities on loan.
4 Securities with a value of $349,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
S&P Mid-Cap 400 Index Fund
|
Derivative Financial Instruments Outstanding as of Period End | |||||||||
|
Futures Contracts | |||||||||
|
|
|
|
|
|
|
|
|
($000
|
) |
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration
|
|
Contracts
|
|
Amount
|
|
(Depreciation
|
) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini S&P Mid-Cap 400 Index |
|
September 2019 |
|
26 |
|
4,892 |
|
(129 |
) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Statement of Operations
|
|
Year Ended |
|
|
|
August 31, 2019 |
|
|
|
($000 |
) |
|
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
33,763 |
|
|
Interest1 |
176 |
|
|
Securities Lending—Net |
72 |
|
|
Total Income |
34,011 |
|
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
324 |
|
|
Management and Administrative—ETF Shares |
640 |
|
|
Management and Administrative—Institutional Shares |
727 |
|
|
Marketing and Distribution—ETF Shares |
82 |
|
|
Marketing and Distribution—Institutional Shares |
41 |
|
|
Custodian Fees |
19 |
|
|
Auditing Fees |
32 |
|
|
Shareholders’ Reports—ETF Shares |
33 |
|
|
Shareholders’ Reports—Institutional Shares |
12 |
|
|
Trustees’ Fees and Expenses |
1 |
|
|
Total Expenses |
1,911 |
|
|
Net Investment Income |
32,100 |
|
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1,2 |
164,166 |
|
|
Futures Contracts |
(1,072 |
) |
|
Realized Net Gain (Loss) |
163,094 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
(338,965 |
) |
|
Futures Contracts |
(252 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
(339,217 |
) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
(144,023 |
) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $159,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $186,838,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
32,100 |
|
30,239 |
|
|
Realized Net Gain (Loss) |
|
163,094 |
|
105,087 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(339,217 |
) |
244,311 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(144,023 |
) |
379,637 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(13,297 |
) |
(11,281 |
) |
|
Institutional Shares |
|
(18,459 |
) |
(17,636 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(31,756 |
) |
(28,917 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
22,987 |
|
106,083 |
|
|
Institutional Shares |
|
(118,752 |
) |
90,717 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
|
(95,765 |
) |
196,800 |
|
|
Total Increase (Decrease) |
|
(271,544 |
) |
547,520 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
2,392,830 |
|
1,845,310 |
|
|
End of Period |
|
2,121,286 |
|
2,392,830 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding Throughout Each Period |
|
Year Ended August 31, |
| ||||||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$138.01 |
|
$116.74 |
|
$105.51 |
|
$95.87 |
|
$97.19 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
1.880 |
1 |
1.778 |
1 |
1.510 |
1 |
1.393 |
|
1.330 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(10.864 |
) |
21.199 |
|
11.294 |
|
10.091 |
|
(1.425 |
) |
|
Total from Investment Operations |
|
(8.984 |
) |
22.977 |
|
12.804 |
|
11.484 |
|
(.095 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(1.846 |
) |
(1.707 |
) |
(1.574 |
) |
(1.844 |
) |
(1.225 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(1.846 |
) |
(1.707 |
) |
(1.574 |
) |
(1.844 |
) |
(1.225 |
) |
|
Net Asset Value, End of Period |
|
$127.18 |
|
$138.01 |
|
$116.74 |
|
$105.51 |
|
$95.87 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-6.50% |
|
19.82% |
|
12.22% |
|
12.19% |
|
-0.12% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$919 |
|
$973 |
|
$727 |
|
$485 |
|
$379 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.10% |
|
0.15% |
|
0.15% |
|
0.15% |
|
0.15% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.47% |
|
1.38% |
|
1.34% |
|
1.56% |
|
1.45% |
|
|
Portfolio Turnover Rate2 |
|
10% |
|
12% |
|
13% |
|
11% |
|
12% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares
|
For a Share Outstanding Throughout Each Period |
|
Year Ended August 31, |
| ||||||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$275.26 |
|
$232.82 |
|
$210.40 |
|
$191.51 |
|
$194.13 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
3.786 |
1 |
3.711 |
1 |
3.176 |
1 |
3.171 |
|
2.794 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(21.653 |
) |
42.301 |
|
22.516 |
|
19.869 |
|
(2.844 |
) |
|
Total from Investment Operations |
|
(17.867 |
) |
46.012 |
|
25.692 |
|
23.040 |
|
(.050 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(3.793 |
) |
(3.572 |
) |
(3.272 |
) |
(4.150 |
) |
(2.570 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(3.793 |
) |
(3.572 |
) |
(3.272 |
) |
(4.150 |
) |
(2.570 |
) |
|
Net Asset Value, End of Period |
|
$253.60 |
|
$275.26 |
|
$232.82 |
|
$210.40 |
|
$191.51 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-6.49% |
|
19.92% |
|
12.31% |
|
12.26% |
|
-0.04% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$1,202 |
|
$1,420 |
|
$1,119 |
|
$848 |
|
$665 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.49% |
|
1.45% |
|
1.41% |
|
1.63% |
|
1.52% |
|
|
Portfolio Turnover Rate2 |
|
10% |
|
12% |
|
13% |
|
11% |
|
12% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
S&P Mid-Cap 400 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $108,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2019, based on the inputs used to value them:
|
|
Level 1 |
Level 2 |
Level 3 |
|
Investments |
($000) |
($000) |
($000) |
|
Common Stocks |
2,116,816 |
— |
— |
|
Temporary Cash Investments |
14,966 |
797 |
— |
|
Futures Contracts—Assets1 |
10 |
— |
— |
|
Total |
2,131,792 |
797 |
— |
1 Represents variation margin on the last day of the reporting period.
S&P Mid-Cap 400 Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
186,946 |
|
Total Distributable Earnings (Loss) |
(186,946) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
Amount |
|
|
($000) |
|
Undistributed Ordinary Income |
6,906 |
|
Undistributed Long-Term Gains |
— |
|
Capital Loss Carryforwards (Non-expiring) |
(56,724) |
|
Net Unrealized Gains (Losses) |
45,121 |
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
Amount |
|
|
($000) |
|
Tax Cost |
2,087,458 |
|
Gross Unrealized Appreciation |
342,093 |
|
Gross Unrealized Depreciation |
(296,972) |
|
Net Unrealized Appreciation (Depreciation) |
45,121 |
S&P Mid-Cap 400 Index Fund
E. During the year ended August 31, 2019, the fund purchased $703,258,000 of investment securities and sold $796,144,000 of investment securities, other than temporary cash investments. Purchases and sales include $281,425,000 and $577,313,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $95,265,000 and $48,523,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
|
|
|
|
Year Ended August 31, | ||
|
|
|
2019 |
|
|
2018 |
|
|
Amount |
Shares |
|
Amount |
Shares |
|
|
($000) |
(000) |
|
($000) |
(000) |
|
ETF Shares |
|
|
|
|
|
|
Issued |
629,748 |
4,876 |
|
403,161 |
3,125 |
|
Issued in Lieu of Cash Distributions |
— |
— |
|
— |
— |
|
Redeemed |
(606,761) |
(4,700) |
|
(297,078) |
(2,300) |
|
Net Increase (Decrease)—ETF Shares |
22,987 |
176 |
|
106,083 |
825 |
|
Institutional Shares |
|
|
|
|
|
|
Issued |
219,611 |
887 |
|
252,609 |
985 |
|
Issued in Lieu of Cash Distributions |
17,884 |
70 |
|
17,178 |
68 |
|
Redeemed |
(356,247) |
(1,375) |
|
(179,070) |
(699) |
|
Net Increase (Decrease)—Institutional Shares |
(118,752) |
(418) |
|
90,717 |
354 |
G. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
Average Annual Total Returns |
| ||
|
|
|
Periods Ended August 31, 2019 |
| ||
|
|
|
|
|
Since |
Final Value |
|
|
|
One |
Five |
Inception |
of a $10,000 |
|
|
|
Year |
Years |
(9/7/2010) |
Investment |
|
|
S&P Mid-Cap 400 Value Index Fund |
|
|
|
|
|
|
ETF Shares Net Asset Value |
-8.04% |
5.58% |
11.50% |
$26,590 |
|
|
S&P Mid-Cap 400 Value Index Fund |
|
|
|
|
|
|
ETF Shares Market Price |
-8.13 |
5.58 |
11.50 |
26,576 |
|
|
S&P MidCap 400 Value Index |
-7.96 |
5.75 |
11.70 |
27,018 |
|
|
Dow Jones U.S. Total Stock Market |
|
|
|
|
|
|
Float Adjusted Index |
1.23 |
9.55 |
13.72 |
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
|
|
Since |
Final Value |
|
|
One |
Five |
Inception |
of a $5,000,000 |
|
|
Year |
Years |
(11/2/2010) |
Investment |
|
S&P Mid-Cap 400 Value Index Fund Institutional Shares |
-7.99% |
5.69% |
10.65% |
$12,216,662 |
|
S&P MidCap 400 Value Index |
-7.96 |
5.75 |
10.72 |
12,285,861 |
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
1.23 |
9.55 |
12.73 |
14,397,847 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
Since |
|
|
One |
Five |
Inception |
|
|
Year |
Years |
(9/7/2010) |
|
S&P Mid-Cap 400 Value Index Fund ETF Shares |
|
|
|
|
Market Price |
-8.13% |
31.17% |
165.76% |
|
S&P Mid-Cap 400 Value Index Fund ETF Shares |
|
|
|
|
Net Asset Value |
-8.04 |
31.21 |
165.90 |
|
S&P MidCap 400 Value Index |
-7.96 |
32.25 |
170.18 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Mid-Cap 400 Value Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
1.8% |
|
Consumer Discretionary |
12.3 |
|
Consumer Staples |
3.4 |
|
Energy |
2.7 |
|
Financials |
24.2 |
|
Health Care |
3.6 |
|
Industrials |
17.8 |
|
Information Technology |
11.2 |
|
Materials |
8.1 |
|
Real Estate |
9.5 |
|
Utilities |
5.4 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.7%)1 |
|
|
|
|
| ||
|
Communication Services (1.8%) |
|
|
|
|
| ||
|
|
|
TEGNA Inc. |
|
235,336 |
|
3,368 |
|
|
|
|
Cable One Inc. |
|
2,050 |
|
2,660 |
|
|
|
|
Telephone & Data Systems Inc. |
|
102,208 |
|
2,576 |
|
|
|
|
Cinemark Holdings Inc. |
|
63,753 |
|
2,433 |
|
|
|
|
Meredith Corp. |
|
43,587 |
|
1,908 |
|
|
* |
|
AMC Networks Inc. Class A |
|
25,142 |
|
1,219 |
|
|
|
|
John Wiley & Sons Inc. Class A |
|
17,642 |
|
785 |
|
|
* |
|
Cars.com Inc. |
|
34,037 |
|
303 |
|
|
|
|
|
|
|
|
15,252 |
|
|
Consumer Discretionary (12.3%) |
|
|
|
|
| ||
|
* |
|
Caesars Entertainment Corp. |
|
636,621 |
|
7,328 |
|
|
* |
|
NVR Inc. |
|
1,468 |
|
5,283 |
|
|
|
|
Toll Brothers Inc. |
|
143,976 |
|
5,211 |
|
|
|
|
Polaris Inc. |
|
62,444 |
|
5,122 |
|
|
* |
|
Skechers U.S.A. Inc. Class A |
|
146,178 |
|
4,628 |
|
|
|
|
Brunswick Corp. |
|
94,718 |
|
4,414 |
|
|
|
|
Marriott Vacations Worldwide Corp. |
|
42,423 |
|
4,183 |
|
|
|
|
Graham Holdings Co. Class B |
|
4,733 |
|
3,332 |
|
|
|
|
Dunkin’ Brands Group Inc. |
|
36,855 |
|
3,038 |
|
|
|
|
American Eagle Outfitters Inc. |
|
177,970 |
|
2,993 |
|
|
* |
|
AutoNation Inc. |
|
62,104 |
|
2,947 |
|
|
* |
|
Murphy USA Inc. |
|
32,544 |
|
2,909 |
|
|
|
|
Goodyear Tire & Rubber Co. |
|
252,870 |
|
2,900 |
|
|
|
|
Williams-Sonoma Inc. |
|
41,148 |
|
2,708 |
|
|
|
|
Thor Industries Inc. |
|
56,901 |
|
2,612 |
|
|
|
|
KB Home |
|
91,965 |
|
2,583 |
|
|
|
|
Dick’s Sporting Goods Inc. |
|
73,461 |
|
2,501 |
|
|
|
|
Six Flags Entertainment Corp. |
|
41,287 |
|
2,443 |
|
|
|
|
Foot Locker Inc. |
|
62,304 |
|
2,255 |
|
|
|
|
Aaron’s Inc. |
|
34,600 |
|
2,218 |
|
|
|
|
Carter’s Inc. |
|
24,096 |
|
2,204 |
|
|
* |
|
TRI Pointe Group Inc. |
|
154,692 |
|
2,166 |
|
|
*,^ |
|
Visteon Corp. |
|
30,754 |
|
2,121 |
|
|
|
|
Boyd Gaming Corp. |
|
86,914 |
|
2,089 |
|
|
|
|
Gentex Corp. |
|
75,062 |
|
1,997 |
|
|
|
|
Dana Inc. |
|
156,542 |
|
1,993 |
|
|
|
|
Cracker Barrel Old Country Store Inc. |
|
11,768 |
|
1,946 |
|
|
|
|
Adient plc |
|
94,618 |
|
1,908 |
|
|
*,^ |
|
Mattel Inc. |
|
191,625 |
|
1,878 |
|
|
* |
|
Tempur Sealy International Inc. |
|
22,005 |
|
1,697 |
|
|
|
|
Wyndham Destinations Inc. |
|
35,640 |
|
1,580 |
|
|
^ |
|
Bed Bath & Beyond Inc. |
|
143,662 |
|
1,389 |
|
|
|
|
Texas Roadhouse Inc. Class A |
|
25,432 |
|
1,309 |
|
|
|
|
Delphi Technologies plc |
|
95,675 |
|
1,266 |
|
|
* |
|
GrubHub Inc. |
|
20,828 |
|
1,236 |
|
|
^ |
|
Dillard’s Inc. Class A |
|
19,379 |
|
1,134 |
|
|
* |
|
Sotheby’s |
|
19,075 |
|
1,102 |
|
|
* |
|
Penn National Gaming Inc. |
|
48,710 |
|
934 |
|
|
|
|
Jack in the Box Inc. |
|
10,391 |
|
887 |
|
|
|
|
Cheesecake Factory Inc. |
|
22,631 |
|
860 |
|
|
|
|
Signet Jewelers Ltd. |
|
56,800 |
|
695 |
|
|
|
|
International Speedway Corp. Class A |
|
13,503 |
|
608 |
|
|
|
|
Papa John’s International Inc. |
|
12,033 |
|
599 |
|
|
* |
|
Sally Beauty Holdings Inc. |
|
48,502 |
|
593 |
|
|
* |
|
Michaels Cos. Inc. |
|
98,036 |
|
556 |
|
|
|
|
Tupperware Brands Corp. |
|
34,958 |
|
455 |
|
|
|
|
|
|
|
|
106,810 |
|
|
Consumer Staples (3.4%) |
|
|
|
|
| ||
|
|
|
Casey’s General Stores Inc. |
|
39,845 |
|
6,688 |
|
|
|
|
Ingredion Inc. |
|
72,539 |
|
5,605 |
|
|
|
|
Sanderson Farms Inc. |
|
21,206 |
|
3,173 |
|
|
* |
|
TreeHouse Foods Inc. |
|
61,065 |
|
3,093 |
|
|
|
|
Nu Skin Enterprises Inc. Class A |
|
60,355 |
|
2,452 |
|
S&P Mid-Cap 400 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Sprouts Farmers Market Inc. |
|
128,306 |
|
2,303 |
|
|
|
|
Flowers Foods Inc. |
|
100,057 |
|
2,281 |
|
|
* |
|
Hain Celestial Group Inc. |
|
97,428 |
|
1,856 |
|
|
|
|
Energizer Holdings Inc. |
|
33,884 |
|
1,305 |
|
|
* |
|
Edgewell Personal Care Co. |
|
30,038 |
|
836 |
|
|
|
|
|
|
|
|
29,592 |
|
|
Energy (2.7%) |
|
|
|
|
| ||
|
* |
|
WPX Energy Inc. |
|
431,769 |
|
4,646 |
|
|
|
|
EQT Corp. |
|
277,931 |
|
2,827 |
|
|
|
|
World Fuel Services Corp. |
|
73,155 |
|
2,809 |
|
|
|
|
Patterson-UTI Energy Inc. |
|
226,851 |
|
1,962 |
|
|
|
|
PBF Energy Inc. Class A |
|
70,400 |
|
1,668 |
|
|
* |
|
Oceaneering International Inc. |
|
107,605 |
|
1,395 |
|
|
* |
|
Transocean Ltd. |
|
298,179 |
|
1,357 |
|
|
* |
|
Apergy Corp. |
|
41,244 |
|
1,072 |
|
|
* |
|
McDermott International Inc. |
|
197,514 |
|
932 |
|
|
* |
|
Oasis Petroleum Inc. |
|
294,068 |
|
917 |
|
|
|
|
Core Laboratories NV |
|
21,242 |
|
841 |
|
|
*,^ |
|
Chesapeake Energy Corp. |
|
580,331 |
|
836 |
|
|
|
|
Range Resources Corp. |
|
226,675 |
|
807 |
|
|
* |
|
Matador Resources Co. |
|
40,620 |
|
636 |
|
|
* |
|
Southwestern Energy Co. |
|
317,985 |
|
502 |
|
|
|
|
|
|
|
|
23,207 |
|
|
Financials (24.2%) |
|
|
|
|
| ||
|
* |
|
Alleghany Corp. |
|
15,710 |
|
11,772 |
|
|
|
|
WR Berkley Corp. |
|
157,358 |
|
11,212 |
|
|
|
|
Reinsurance Group of America Inc. Class A |
|
68,050 |
|
10,478 |
|
|
|
|
RenaissanceRe Holdings Ltd. |
|
48,035 |
|
8,673 |
|
|
|
|
American Financial Group Inc. |
|
77,069 |
|
7,782 |
|
|
|
|
Old Republic International Corp. |
|
309,761 |
|
7,236 |
|
|
|
|
First American Financial Corp. |
|
121,936 |
|
7,127 |
|
|
|
|
TCF Financial Corp. |
|
168,574 |
|
6,500 |
|
|
|
|
Synovus Financial Corp. |
|
171,323 |
|
6,089 |
|
|
|
|
New York Community Bancorp Inc. |
|
508,361 |
|
5,866 |
|
|
|
|
Cullen/Frost Bankers Inc. |
|
68,630 |
|
5,697 |
|
|
|
|
First Horizon National Corp. |
|
343,033 |
|
5,430 |
|
|
|
|
Prosperity Bancshares Inc. |
|
72,193 |
|
4,687 |
|
|
|
|
Webster Financial Corp. |
|
100,228 |
|
4,486 |
|
|
* |
|
Brighthouse Financial Inc. |
|
125,973 |
|
4,442 |
|
|
|
|
PacWest Bancorp |
|
129,261 |
|
4,405 |
|
|
|
|
Pinnacle Financial Partners Inc. |
|
78,689 |
|
4,144 |
|
|
|
|
Stifel Financial Corp. |
|
76,974 |
|
4,112 |
|
|
|
|
United Bankshares Inc. |
|
111,079 |
|
4,097 |
|
|
|
|
Wintrust Financial Corp. |
|
61,636 |
|
3,873 |
|
|
|
|
Valley National Bancorp |
|
360,860 |
|
3,793 |
|
|
|
|
Umpqua Holdings Corp. |
|
239,831 |
|
3,768 |
|
|
|
|
SEI Investments Co. |
|
62,712 |
|
3,606 |
|
|
|
|
Legg Mason Inc. |
|
94,199 |
|
3,466 |
|
|
|
|
Associated Banc-Corp |
|
178,285 |
|
3,430 |
|
|
|
|
Hanover Insurance Group Inc. |
|
25,677 |
|
3,419 |
|
|
|
|
Janus Henderson Group plc |
|
178,314 |
|
3,408 |
|
|
|
|
Bank OZK |
|
131,493 |
|
3,392 |
|
|
|
|
Hancock Whitney Corp. |
|
93,243 |
|
3,274 |
|
|
|
|
East West Bancorp Inc. |
|
79,158 |
|
3,256 |
|
|
|
|
Washington Federal Inc. |
|
87,501 |
|
3,115 |
|
|
|
|
Navient Corp. |
|
231,673 |
|
2,951 |
|
|
* |
|
Texas Capital Bancshares Inc. |
|
54,685 |
|
2,946 |
|
|
|
|
Fulton Financial Corp. |
|
183,622 |
|
2,929 |
|
|
|
|
Signature Bank |
|
23,972 |
|
2,796 |
|
|
|
|
Cathay General Bancorp |
|
83,067 |
|
2,757 |
|
|
|
|
Kemper Corp. |
|
38,748 |
|
2,712 |
|
|
|
|
CNO Financial Group Inc. |
|
174,039 |
|
2,520 |
|
|
|
|
Trustmark Corp. |
|
70,420 |
|
2,301 |
|
|
|
|
Commerce Bancshares Inc. |
|
38,514 |
|
2,198 |
|
|
|
|
Sterling Bancorp |
|
113,976 |
|
2,173 |
|
|
|
|
International Bancshares Corp. |
|
59,267 |
|
2,109 |
|
|
|
|
Eaton Vance Corp. |
|
48,390 |
|
2,087 |
|
|
|
|
FNB Corp. |
|
190,754 |
|
2,051 |
|
|
|
|
Evercore Inc. Class A |
|
24,568 |
|
1,959 |
|
|
|
|
Bank of Hawaii Corp. |
|
23,629 |
|
1,954 |
|
|
|
|
Federated Investors Inc. Class B |
|
54,389 |
|
1,743 |
|
|
|
|
Home BancShares Inc. |
|
92,466 |
|
1,638 |
|
|
|
|
BancorpSouth Bank |
|
52,018 |
|
1,435 |
|
|
* |
|
Genworth Financial Inc. Class A |
|
301,065 |
|
1,334 |
|
|
|
|
Interactive Brokers Group Inc. |
|
26,132 |
|
1,233 |
|
|
|
|
Mercury General Corp. |
|
15,941 |
|
853 |
|
|
|
|
|
|
|
|
210,714 |
|
|
Health Care (3.6%) |
|
|
|
|
| ||
|
* |
|
United Therapeutics Corp. |
|
47,655 |
|
3,934 |
|
|
* |
|
Catalent Inc. |
|
68,155 |
|
3,595 |
|
|
* |
|
Exelixis Inc. |
|
160,840 |
|
3,193 |
|
|
* |
|
Charles River Laboratories International Inc. |
|
23,334 |
|
3,061 |
|
|
* |
|
Acadia Healthcare Co. Inc. |
|
96,484 |
|
2,553 |
|
|
* |
|
Medidata Solutions Inc. |
|
27,089 |
|
2,481 |
|
|
* |
|
MEDNAX Inc. |
|
94,129 |
|
1,984 |
|
|
|
|
Cantel Medical Corp. |
|
20,948 |
|
1,926 |
|
S&P Mid-Cap 400 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Prestige Consumer Healthcare Inc. |
|
56,342 |
|
1,796 |
|
|
* |
|
Allscripts Healthcare Solutions Inc. |
|
181,041 |
|
1,644 |
|
|
|
|
Patterson Cos. Inc. |
|
90,060 |
|
1,506 |
|
|
* |
|
Syneos Health Inc. |
|
27,965 |
|
1,469 |
|
|
* |
|
Tenet Healthcare Corp. |
|
49,996 |
|
1,082 |
|
|
* |
|
Covetrus Inc. |
|
57,467 |
|
764 |
|
|
* |
|
Inogen Inc. |
|
8,612 |
|
399 |
|
|
|
|
|
|
|
|
31,387 |
|
|
Industrials (17.7%) |
|
|
|
|
| ||
|
* |
|
Teledyne Technologies Inc. |
|
20,102 |
|
6,203 |
|
|
* |
|
AECOM |
|
171,151 |
|
6,072 |
|
|
|
|
Watsco Inc. |
|
35,056 |
|
5,733 |
|
|
* |
|
JetBlue Airways Corp. |
|
327,352 |
|
5,670 |
|
|
|
|
Acuity Brands Inc. |
|
43,409 |
|
5,444 |
|
|
|
|
Oshkosh Corp. |
|
76,052 |
|
5,344 |
|
|
|
|
EMCOR Group Inc. |
|
61,016 |
|
5,335 |
|
|
|
|
ManpowerGroup Inc. |
|
65,070 |
|
5,319 |
|
|
|
|
AGCO Corp. |
|
70,160 |
|
4,849 |
|
|
|
|
Knight-Swift Transportation Holdings Inc. |
|
135,584 |
|
4,629 |
|
|
|
|
Nordson Corp. |
|
32,059 |
|
4,359 |
|
|
* |
|
MasTec Inc. |
|
67,211 |
|
4,226 |
|
|
* |
|
Stericycle Inc. |
|
93,088 |
|
4,179 |
|
|
* |
|
XPO Logistics Inc. |
|
58,014 |
|
4,111 |
|
|
|
|
Old Dominion Freight Line Inc. |
|
23,245 |
|
3,807 |
|
|
|
|
nVent Electric plc |
|
172,892 |
|
3,503 |
|
|
* |
|
Genesee & Wyoming Inc. Class A |
|
30,738 |
|
3,408 |
|
|
|
|
Graco Inc. |
|
74,264 |
|
3,384 |
|
|
|
|
Toro Co. |
|
45,152 |
|
3,251 |
|
|
|
|
Carlisle Cos. Inc. |
|
22,344 |
|
3,239 |
|
|
|
|
Valmont Industries Inc. |
|
23,776 |
|
3,222 |
|
|
|
|
Hubbell Inc. Class B |
|
23,125 |
|
3,033 |
|
|
|
|
Timken Co. |
|
74,520 |
|
2,994 |
|
|
* |
|
Colfax Corp. |
|
103,579 |
|
2,817 |
|
|
|
|
Ryder System Inc. |
|
57,977 |
|
2,793 |
|
|
|
|
Herman Miller Inc. |
|
63,975 |
|
2,705 |
|
|
|
|
Fluor Corp. |
|
152,207 |
|
2,690 |
|
|
|
|
Lincoln Electric Holdings Inc. |
|
32,106 |
|
2,651 |
|
|
|
|
Tetra Tech Inc. |
|
30,437 |
|
2,469 |
|
|
|
|
Trinity Industries Inc. |
|
141,232 |
|
2,467 |
|
|
* |
|
Kirby Corp. |
|
32,253 |
|
2,374 |
|
|
|
|
Donaldson Co. Inc. |
|
48,552 |
|
2,348 |
|
|
|
|
Deluxe Corp. |
|
47,468 |
|
2,187 |
|
|
|
|
Brink’s Co. |
|
25,496 |
|
1,919 |
|
|
* |
|
Trex Co. Inc. |
|
22,273 |
|
1,905 |
|
|
* |
|
Resideo Technologies Inc. |
|
133,468 |
|
1,839 |
|
|
|
|
Landstar System Inc. |
|
15,727 |
|
1,754 |
|
|
|
|
Crane Co. |
|
22,702 |
|
1,731 |
|
|
* |
|
Avis Budget Group Inc. |
|
69,362 |
|
1,718 |
|
|
* |
|
Clean Harbors Inc. |
|
23,227 |
|
1,708 |
|
|
|
|
Terex Corp. |
|
68,154 |
|
1,692 |
|
|
|
|
GATX Corp. |
|
22,050 |
|
1,637 |
|
|
|
|
Regal Beloit Corp. |
|
22,356 |
|
1,585 |
|
|
|
|
MSC Industrial Direct Co. Inc. Class A |
|
22,993 |
|
1,555 |
|
|
|
|
Werner Enterprises Inc. |
|
47,133 |
|
1,540 |
|
|
* |
|
Dycom Industries Inc. |
|
34,245 |
|
1,524 |
|
|
|
|
HNI Corp. |
|
47,143 |
|
1,470 |
|
|
|
|
Granite Construction Inc. |
|
50,924 |
|
1,448 |
|
|
|
|
EnerSys |
|
15,378 |
|
861 |
|
|
|
|
Healthcare Services Group Inc. |
|
36,239 |
|
817 |
|
|
* |
|
NOW Inc. |
|
65,054 |
|
773 |
|
|
|
|
|
|
|
|
154,291 |
|
|
Information Technology (11.1%) |
|
|
|
|
| ||
|
* |
|
Arrow Electronics Inc. |
|
92,154 |
|
6,377 |
|
|
* |
|
CACI International Inc. Class A |
|
27,053 |
|
6,014 |
|
|
* |
|
First Solar Inc. |
|
82,510 |
|
5,121 |
|
|
|
|
Science Applications International Corp. |
|
55,361 |
|
4,872 |
|
|
|
|
Avnet Inc. |
|
115,623 |
|
4,844 |
|
|
|
|
MKS Instruments Inc. |
|
59,126 |
|
4,629 |
|
|
|
|
Jabil Inc. |
|
151,326 |
|
4,360 |
|
|
|
|
Cognex Corp. |
|
95,063 |
|
4,285 |
|
|
* |
|
NCR Corp. |
|
130,638 |
|
4,116 |
|
|
|
|
Perspecta Inc. |
|
152,227 |
|
3,950 |
|
|
* |
|
Coherent Inc. |
|
26,314 |
|
3,815 |
|
|
|
|
SYNNEX Corp. |
|
45,127 |
|
3,782 |
|
|
|
|
Teradyne Inc. |
|
70,844 |
|
3,753 |
|
|
* |
|
Tech Data Corp. |
|
39,688 |
|
3,680 |
|
|
|
|
LogMeIn Inc. |
|
54,195 |
|
3,622 |
|
|
* |
|
Cirrus Logic Inc. |
|
63,215 |
|
3,391 |
|
|
|
|
CDK Global Inc. |
|
78,060 |
|
3,369 |
|
|
|
|
Universal Display Corp. |
|
15,714 |
|
3,229 |
|
|
* |
|
ViaSat Inc. |
|
30,979 |
|
2,458 |
|
|
|
|
Vishay Intertechnology Inc. |
|
143,949 |
|
2,279 |
|
|
* |
|
Lumentum Holdings Inc. |
|
39,890 |
|
2,224 |
|
|
|
|
KBR Inc. |
|
81,555 |
|
2,081 |
|
|
|
|
Belden Inc. |
|
42,015 |
|
1,916 |
|
|
|
|
Versum Materials Inc. |
|
36,835 |
|
1,915 |
|
|
|
|
Blackbaud Inc. |
|
20,330 |
|
1,849 |
|
|
* |
|
Manhattan Associates Inc. |
|
21,781 |
|
1,800 |
|
|
* |
|
NetScout Systems Inc. |
|
75,834 |
|
1,680 |
|
|
|
|
InterDigital Inc. |
|
14,152 |
|
696 |
|
|
* |
|
Synaptics Inc. |
|
16,520 |
|
529 |
|
|
|
|
Plantronics Inc. |
|
14,995 |
|
466 |
|
|
|
|
|
|
|
|
97,102 |
|
|
Materials (8.1%) |
|
|
|
|
| ||
|
|
|
Reliance Steel & Aluminum Co. |
|
73,135 |
|
7,111 |
|
|
|
|
Steel Dynamics Inc. |
|
241,747 |
|
6,527 |
|
|
|
|
Sonoco Products Co. |
|
108,824 |
|
6,225 |
|
S&P Mid-Cap 400 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Ashland Global Holdings Inc. |
|
68,231 |
|
4,997 |
|
|
|
|
AptarGroup Inc. |
|
30,930 |
|
3,780 |
|
|
|
|
Royal Gold Inc. |
|
25,656 |
|
3,422 |
|
|
|
|
Olin Corp. |
|
179,328 |
|
3,045 |
|
|
|
|
PolyOne Corp. |
|
84,645 |
|
2,710 |
|
|
|
|
Valvoline Inc. |
|
118,731 |
|
2,683 |
|
|
|
|
Silgan Holdings Inc. |
|
84,624 |
|
2,518 |
|
|
|
|
Carpenter Technology Corp. |
|
51,545 |
|
2,507 |
|
|
|
|
Domtar Corp. |
|
68,638 |
|
2,262 |
|
|
^ |
|
United States Steel Corp. |
|
187,519 |
|
2,076 |
|
|
|
|
Commercial Metals Co. |
|
128,268 |
|
2,010 |
|
|
|
|
Eagle Materials Inc. |
|
23,515 |
|
1,980 |
|
|
|
|
Minerals Technologies Inc. |
|
38,327 |
|
1,847 |
|
|
|
|
Louisiana-Pacific Corp. |
|
76,537 |
|
1,840 |
|
|
|
|
Compass Minerals International Inc. |
|
36,855 |
|
1,833 |
|
|
|
|
Owens-Illinois Inc. |
|
168,851 |
|
1,717 |
|
|
|
|
Scotts Miracle-Gro Co. |
|
15,423 |
|
1,640 |
|
|
|
|
Sensient Technologies Corp. |
|
24,398 |
|
1,594 |
|
|
|
|
NewMarket Corp. |
|
3,227 |
|
1,532 |
|
|
* |
|
Ingevity Corp. |
|
19,573 |
|
1,491 |
|
|
|
|
Worthington Industries Inc. |
|
42,393 |
|
1,471 |
|
|
|
|
Cabot Corp. |
|
27,975 |
|
1,119 |
|
|
|
|
Greif Inc. Class A |
|
15,728 |
|
553 |
|
|
|
|
|
|
|
|
70,490 |
|
|
Real Estate (9.5%) |
|
|
|
|
| ||
|
|
|
Kilroy Realty Corp. |
|
109,836 |
|
8,552 |
|
|
|
|
Jones Lang LaSalle Inc. |
|
56,272 |
|
7,543 |
|
|
|
|
Camden Property Trust |
|
43,117 |
|
4,667 |
|
|
|
|
Sabra Health Care REIT Inc. |
|
206,090 |
|
4,456 |
|
|
|
|
Hospitality Properties Trust |
|
178,870 |
|
4,318 |
|
|
|
|
Liberty Property Trust |
|
72,581 |
|
3,783 |
|
|
|
|
Douglas Emmett Inc. |
|
84,464 |
|
3,564 |
|
|
|
|
Corporate Office Properties Trust |
|
121,737 |
|
3,517 |
|
|
|
|
Brixmor Property Group Inc. |
|
165,311 |
|
3,047 |
|
|
|
|
Lamar Advertising Co. Class A |
|
38,162 |
|
2,925 |
|
|
|
|
PotlatchDeltic Corp. |
|
73,519 |
|
2,829 |
|
|
|
|
Cousins Properties Inc. |
|
80,614 |
|
2,797 |
|
|
|
|
Highwoods Properties Inc. |
|
58,653 |
|
2,534 |
|
|
|
|
Senior Housing Properties Trust |
|
258,591 |
|
2,196 |
|
|
^ |
|
EPR Properties |
|
27,922 |
|
2,185 |
|
|
|
|
Pebblebrook Hotel Trust |
|
75,311 |
|
2,031 |
|
|
|
|
Spirit Realty Capital Inc. |
|
40,851 |
|
1,958 |
|
|
|
|
Healthcare Realty Trust Inc. |
|
57,627 |
|
1,915 |
|
|
|
|
First Industrial Realty Trust Inc. |
|
48,155 |
|
1,876 |
|
|
|
|
CoreSite Realty Corp. |
|
16,055 |
|
1,865 |
|
|
|
|
Alexander & Baldwin Inc. |
|
73,760 |
|
1,688 |
|
|
|
|
PS Business Parks Inc. |
|
9,361 |
|
1,681 |
|
|
|
|
Rayonier Inc. |
|
57,816 |
|
1,550 |
|
|
|
|
JBG SMITH Properties |
|
39,383 |
|
1,507 |
|
|
|
|
Weingarten Realty Investors |
|
53,357 |
|
1,414 |
|
|
|
|
GEO Group Inc. |
|
76,463 |
|
1,312 |
|
|
|
|
Urban Edge Properties |
|
65,471 |
|
1,146 |
|
|
|
|
CoreCivic Inc. |
|
67,337 |
|
1,141 |
|
|
|
|
Taubman Centers Inc. |
|
27,273 |
|
1,065 |
|
|
^ |
|
Tanger Factory Outlet Centers Inc. |
|
59,391 |
|
840 |
|
|
|
|
Mack-Cali Realty Corp. |
|
34,392 |
|
701 |
|
|
|
|
|
|
|
|
82,603 |
|
|
Utilities (5.3%) |
|
|
|
|
| ||
|
|
|
MDU Resources Group Inc. |
|
215,466 |
|
5,794 |
|
|
|
|
Aqua America Inc. |
|
126,722 |
|
5,613 |
|
|
|
|
Southwest Gas Holdings Inc. |
|
58,083 |
|
5,299 |
|
|
|
|
ALLETE Inc. |
|
56,154 |
|
4,814 |
|
|
|
|
New Jersey Resources Corp. |
|
97,052 |
|
4,439 |
|
|
|
|
PNM Resources Inc. |
|
86,644 |
|
4,420 |
|
|
|
|
OGE Energy Corp. |
|
95,806 |
|
4,107 |
|
|
|
|
Hawaiian Electric Industries Inc. |
|
60,434 |
|
2,683 |
|
|
|
|
Spire Inc. |
|
30,911 |
|
2,624 |
|
|
|
|
IDACORP Inc. |
|
23,566 |
|
2,588 |
|
|
|
|
ONE Gas Inc. |
|
27,509 |
|
2,520 |
|
|
|
|
NorthWestern Corp. |
|
23,044 |
|
1,669 |
|
|
|
|
|
|
|
|
46,570 |
|
|
Total Common Stocks |
|
|
|
|
| ||
|
(Cost $855,503) |
|
|
|
868,018 |
| ||
|
Temporary Cash Investment (0.6%)1 |
|
|
|
|
| ||
|
Money Market Fund (0.6%) |
|
|
|
|
| ||
|
2,3 |
|
Vanguard Market Liquidity Fund, 2.249% |
|
|
|
|
|
|
|
|
(Cost $5,471) |
|
54,706 |
|
5,471 |
|
|
Total Investments (100.3%) |
|
|
|
|
| ||
|
(Cost $860,974) |
|
|
|
873,489 |
| ||
S&P Mid-Cap 400 Value Index Fund
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000
|
)
|
|
Other Assets and Liabilities (-0.3%) |
|
|
|
|
|
|
Other Assets |
|
|
|
|
|
|
Investment in Vanguard |
|
|
|
44 |
|
|
Receivables for Accrued Income |
|
|
|
1,169 |
|
|
Receivables for Capital Shares Issued |
|
|
|
9 |
|
|
Variation Margin Receivable—Futures Contracts |
|
|
|
5 |
|
|
Other Assets4 |
|
|
|
1,206 |
|
|
Total Other Assets |
|
|
|
2,433 |
|
|
Liabilities |
|
|
|
|
|
|
Payables for Investment Securities Purchased |
|
|
|
(3 |
) |
|
Collateral for Securities on Loan |
|
|
|
(4,851 |
) |
|
Payables for Capital Shares Redeemed |
|
|
|
(52 |
) |
|
Payables to Vanguard |
|
|
|
(93 |
) |
|
Total Liabilities |
|
|
|
(4,999 |
) |
|
Net Assets (100%) |
|
|
|
870,923 |
|
At August 31, 2019, net assets consisted of:
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000
|
)
|
|
Paid-in Capital |
|
|
|
941,206 |
|
|
Total Distributable Earnings (Loss) |
|
|
|
(70,283 |
) |
|
Net Assets |
|
|
|
870,923 |
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000
|
)
|
|
ETF Shares—Net Assets |
|
|
|
|
|
|
Applicable to 5,825,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
684,597 |
|
|
Net Asset Value Per Share—ETF Shares |
|
|
|
$117.53 |
|
|
|
|
|
|
|
|
|
Institutional Shares—Net Assets |
|
|
|
|
|
|
Applicable to 790,777 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
186,326 |
|
|
Net Asset Value Per Share— Institutional Shares |
|
|
|
$235.62 |
|
|
· See Note A in Notes to Financial Statements. * Non-income-producing security. ^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,430,000. 1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. 2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. 3 Includes $4,851,000 of collateral received for securities on loan, of which $3,753,000 is held in Vanguard Market Liquidity Fund and $1,098,000 is held in cash. 4 Cash of $108,000 has been segregated as initial margin for open futures contracts. REIT—Real Estate Investment Trust. |
|
Derivative Financial Instruments Outstanding as of Period End | |||||||||
|
Futures Contracts | |||||||||
|
|
|
|
|
|
|
|
|
($000
|
) |
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration
|
|
Contracts
|
|
Amount
|
|
(Depreciation
|
) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini S&P Mid-Cap 400 Index |
|
09/30/2019 |
|
14 |
|
2,634 |
|
(74 |
) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
|
|
Year Ended |
|
|
|
August 31, 2019 |
|
|
|
($000 |
) |
|
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
16,896 |
|
|
Interest1 |
41 |
|
|
Securities Lending—Net |
38 |
|
|
Total Income |
16,975 |
|
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
136 |
|
|
Management and Administrative—ETF Shares |
858 |
|
|
Management and Administrative—Institutional Shares |
116 |
|
|
Marketing and Distribution—ETF Shares |
31 |
|
|
Marketing and Distribution—Institutional Shares |
7 |
|
|
Custodian Fees |
32 |
|
|
Auditing Fees |
32 |
|
|
Shareholders’ Reports—ETF Shares |
19 |
|
|
Shareholders’ Reports—Institutional Shares |
— |
|
|
Trustees’ Fees and Expenses |
— |
|
|
Total Expenses |
1,231 |
|
|
Expenses Paid Indirectly |
(15 |
) |
|
Net Expenses |
1,216 |
|
|
Net Investment Income |
15,759 |
|
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1,2 |
(1,948 |
) |
|
Futures Contracts |
(101 |
) |
|
Realized Net Gain (Loss) |
(2,049 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
(90,951 |
) |
|
Futures Contracts |
(114 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
(91,065 |
) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
(77,355 |
) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $39,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $45,520,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
15,759 |
|
14,932 |
|
|
Realized Net Gain (Loss) |
|
(2,049 |
) |
56,396 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(91,065 |
) |
66,902 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(77,355 |
) |
138,230 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(11,232 |
) |
(10,667 |
) |
|
Institutional Shares |
|
(3,982 |
) |
(2,513 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(15,214 |
) |
(13,180 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
23,432 |
|
5,142 |
|
|
Institutional Shares |
|
(30,211 |
) |
48,891 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
|
(6,779 |
) |
54,033 |
|
|
Total Increase (Decrease) |
|
(99,348 |
) |
179,083 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
970,271 |
|
791,188 |
|
|
End of Period |
|
870,923 |
|
970,271 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding Throughout Each Period |
|
Year Ended August 31, |
| ||||||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$130.06 |
|
$112.31 |
|
$101.70 |
|
$91.40 |
|
$96.78 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
2.061 |
1 |
2.090 |
1 |
1.767 |
1 |
1.891 |
1 |
1.600 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(12.629 |
) |
17.548 |
|
10.344 |
|
9.880 |
|
(5.563 |
) |
|
Total from Investment Operations |
|
(10.568 |
) |
19.638 |
|
12.111 |
|
11.771 |
|
(3.963 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(1.962 |
) |
(1.888 |
) |
(1.501 |
) |
(1.471 |
) |
(1.417 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(1.962 |
) |
(1.888 |
) |
(1.501 |
) |
(1.471 |
) |
(1.417 |
) |
|
Net Asset Value, End of Period |
|
$117.53 |
|
$130.06 |
|
$112.31 |
|
$101.70 |
|
$91.40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-8.04% |
|
17.60% |
|
11.91% |
|
13.13% |
|
-4.17% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$685 |
|
$735 |
|
$632 |
|
$460 |
|
$103 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.15% |
|
0.20% |
|
0.20% |
|
0.20% |
|
0.20% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.72% |
|
1.72% |
|
1.61% |
|
1.97% |
|
1.75% |
|
|
Portfolio Turnover Rate2 |
|
38% |
|
36% |
|
39% |
|
26% |
|
47% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares
|
For a Share Outstanding Throughout Each Period |
|
Year Ended August 31, |
| ||||||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
| |
|
Net Asset Value, Beginning of Period |
|
$260.90 |
|
$225.05 |
|
$203.65 |
|
$182.92 |
|
$193.66 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
4.332 |
1 |
4.454 |
1 |
3.866 |
1 |
3.774 |
1 |
3.420 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(25.380 |
) |
35.198 |
|
20.656 |
|
20.020 |
|
(11.127 |
) |
|
Total from Investment Operations |
|
(21.048 |
) |
39.652 |
|
24.522 |
|
23.794 |
|
(7.707 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(4.232 |
) |
(3.802 |
) |
(3.122 |
) |
(3.064 |
) |
(3.033 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(4.232 |
) |
(3.802 |
) |
(3.122 |
) |
(3.064 |
) |
(3.033 |
) |
|
Net Asset Value, End of Period |
|
$235.62 |
|
$260.90 |
|
$225.05 |
|
$203.65 |
|
$182.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-7.99% |
|
17.75% |
|
12.05% |
|
13.25% |
|
-4.05% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$186 |
|
$235 |
|
$159 |
|
$147 |
|
$143 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.79% |
|
1.84% |
|
1.73% |
|
2.09% |
|
1.87% |
|
|
Portfolio Turnover Rate2 |
|
38% |
|
36% |
|
39% |
|
26% |
|
47% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
S&P Mid-Cap 400 Value Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $44,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $15,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
S&P Mid-Cap 400 Value Index Fund
At August 31, 2019, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
45,520 |
|
|
Total Distributable Earnings (Loss) |
|
(45,520 |
) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
9,689 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(92,425 |
) |
|
Net Unrealized Gains (Losses) |
|
12,515 |
|
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
860,974 |
|
|
Gross Unrealized Appreciation |
|
113,265 |
|
|
Gross Unrealized Depreciation |
|
(100,750 |
) |
|
Net Unrealized Appreciation (Depreciation) |
|
12,515 |
|
S&P Mid-Cap 400 Value Index Fund
F. During the year ended August 31, 2019, the fund purchased $552,432,000 of investment securities and sold $558,042,000 of investment securities, other than temporary cash investments. Purchases and sales include $151,818,000 and $209,961,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $269,020,000 and $190,609,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31, |
| ||||||
|
|
|
|
|
2019 |
|
|
|
2018 |
|
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000 |
) |
($000 |
) |
(000 |
) |
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
236,869 |
|
2,075 |
|
242,257 |
|
1,975 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(213,437 |
) |
(1,900 |
) |
(237,115 |
) |
(1,950 |
) |
|
Net Increase (Decrease)—ETF Shares |
|
23,432 |
|
175 |
|
5,142 |
|
25 |
|
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
54,644 |
|
241 |
|
72,997 |
|
295 |
|
|
Issued in Lieu of Cash Distributions |
|
2,478 |
|
11 |
|
1,572 |
|
6 |
|
|
Redeemed |
|
(87,333 |
) |
(364 |
) |
(25,678 |
) |
(107 |
) |
|
Net Increase (Decrease)—Institutional Shares |
|
(30,211 |
) |
(112 |
) |
48,891 |
|
194 |
|
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
S&P Mid-Cap 400 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
Investment |
|
|
|
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value |
|
-5.08% |
|
8.24% |
|
12.78% |
|
$29,456 |
|
|
|
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price |
|
-5.09 |
|
8.24 |
|
12.78 |
|
29,445 |
|
|
|
S&P MidCap 400 Growth Index |
|
-4.95 |
|
8.42 |
|
12.98 |
|
29,912 |
|
|
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
One |
|
Five |
|
Inception |
|
of a $5,000,000 |
|
|
|
Year |
|
Years |
|
(3/28/2011) |
|
Investment |
|
S&P Mid-Cap 400 Growth Index Fund Institutional Shares |
|
-5.02% |
|
8.35% |
|
10.21% |
|
$11,348,385 |
|
S&P MidCap 400 Growth Index |
|
-4.95 |
|
8.42 |
|
10.28 |
|
11,404,090 |
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
11.90 |
|
12,901,521 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
|
|
|
Since |
|
|
|
One |
|
Five |
|
Inception |
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price |
|
-5.09% |
|
48.55% |
|
194.45% |
|
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value |
|
-5.08 |
|
48.57 |
|
194.56 |
|
S&P MidCap 400 Growth Index |
|
-4.95 |
|
49.82 |
|
199.12 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Mid-Cap 400 Growth Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
|
3.2 |
% |
|
Consumer Discretionary |
|
13.6 |
|
|
Consumer Staples |
|
2.1 |
|
|
Energy |
|
1.9 |
|
|
Financials |
|
8.8 |
|
|
Health Care |
|
15.9 |
|
|
Industrials |
|
13.3 |
|
|
Information Technology |
|
19.2 |
|
|
Materials |
|
4.6 |
|
|
Real Estate |
|
12.7 |
|
|
Utilities |
|
4.7 |
|
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.8%)1 |
|
|
|
|
| ||
|
Communication Services (3.2%) |
|
|
|
|
| ||
|
* |
|
Live Nation Entertainment Inc. |
|
154,120 |
|
10,713 |
|
|
|
|
New York Times Co. Class A |
|
156,762 |
|
4,578 |
|
|
|
|
Cable One Inc. |
|
3,394 |
|
4,404 |
|
|
|
|
World Wrestling Entertainment Inc. Class A |
|
48,174 |
|
3,441 |
|
|
* |
|
Yelp Inc. Class A |
|
72,222 |
|
2,420 |
|
|
|
|
Cinemark Holdings Inc. |
|
52,911 |
|
2,019 |
|
|
|
|
John Wiley & Sons Inc. Class A |
|
31,820 |
|
1,416 |
|
|
* |
|
AMC Networks Inc. Class A |
|
24,510 |
|
1,189 |
|
|
* |
|
Cars.com Inc. |
|
33,155 |
|
295 |
|
|
|
|
|
|
|
|
30,475 |
|
|
Consumer Discretionary (13.6%) |
|
|
|
|
| ||
|
|
|
Domino’s Pizza Inc. |
|
45,356 |
|
10,289 |
|
|
|
|
Service Corp. International |
|
201,091 |
|
9,311 |
|
|
|
|
Pool Corp. |
|
43,886 |
|
8,618 |
|
|
* |
|
NVR Inc. |
|
2,235 |
|
8,044 |
|
|
* |
|
Five Below Inc. |
|
61,748 |
|
7,587 |
|
|
|
|
Wyndham Hotels & Resorts Inc. |
|
107,357 |
|
5,516 |
|
|
|
|
Gentex Corp. |
|
205,872 |
|
5,476 |
|
|
|
|
Churchill Downs Inc. |
|
39,035 |
|
4,812 |
|
|
* |
|
Deckers Outdoor Corp. |
|
32,156 |
|
4,741 |
|
|
* |
|
GrubHub Inc. |
|
79,478 |
|
4,716 |
|
|
|
|
Dunkin’ Brands Group Inc. |
|
53,805 |
|
4,436 |
|
|
|
|
Wendy’s Co. |
|
201,104 |
|
4,424 |
|
|
* |
|
Helen of Troy Ltd. |
|
27,602 |
|
4,237 |
|
|
* |
|
Ollie’s Bargain Outlet Holdings Inc. |
|
57,439 |
|
3,185 |
|
|
|
|
Wyndham Destinations Inc. |
|
67,146 |
|
2,977 |
|
|
|
|
Williams-Sonoma Inc. |
|
45,218 |
|
2,975 |
|
|
*,^ |
|
Eldorado Resorts Inc. |
|
71,807 |
|
2,765 |
|
|
* |
|
Adtalem Global Education Inc. |
|
62,433 |
|
2,667 |
|
|
|
|
Aaron’s Inc. |
|
39,579 |
|
2,537 |
|
|
|
|
Texas Roadhouse Inc. Class A |
|
47,912 |
|
2,466 |
|
|
^ |
|
Cracker Barrel Old Country Store Inc. |
|
14,592 |
|
2,414 |
|
|
|
|
Carter’s Inc. |
|
25,442 |
|
2,328 |
|
|
|
|
Six Flags Entertainment Corp. |
|
37,143 |
|
2,198 |
|
|
|
|
Foot Locker Inc. |
|
60,723 |
|
2,198 |
|
|
* |
|
Tempur Sealy International Inc. |
|
28,408 |
|
2,191 |
|
|
*,^ |
|
Mattel Inc. |
|
186,762 |
|
1,830 |
|
|
* |
|
Urban Outfitters Inc. |
|
75,644 |
|
1,771 |
|
|
|
|
Brinker International Inc. |
|
41,377 |
|
1,572 |
|
|
|
|
Jack in the Box Inc. |
|
17,943 |
|
1,531 |
|
|
* |
|
Penn National Gaming Inc. |
|
68,226 |
|
1,308 |
|
|
* |
|
Weight Watchers International Inc. |
|
42,878 |
|
1,286 |
|
|
* |
|
Scientific Games Corp. |
|
61,525 |
|
1,137 |
|
|
* |
|
Sally Beauty Holdings Inc. |
|
83,862 |
|
1,026 |
|
|
* |
|
Sotheby’s |
|
17,167 |
|
991 |
|
|
|
|
Cheesecake Factory Inc. |
|
22,934 |
|
871 |
|
|
|
|
Papa John’s International Inc. |
|
12,688 |
|
631 |
|
|
|
|
International Speedway Corp. Class A |
|
12,647 |
|
569 |
|
|
|
|
Tupperware Brands Corp. |
|
18,282 |
|
238 |
|
|
|
|
|
|
|
|
127,869 |
|
|
Consumer Staples (2.1%) |
|
|
|
|
| ||
|
* |
|
Post Holdings Inc. |
|
73,607 |
|
7,338 |
|
|
* |
|
Boston Beer Co. Inc. Class A |
|
9,654 |
|
4,233 |
|
|
|
|
Lancaster Colony Corp. |
|
21,548 |
|
3,144 |
|
|
|
|
Flowers Foods Inc. |
|
101,499 |
|
2,314 |
|
|
|
|
Energizer Holdings Inc. |
|
35,786 |
|
1,378 |
|
|
* |
|
Edgewell Personal Care Co. |
|
29,250 |
|
814 |
|
|
^ |
|
Tootsie Roll Industries Inc. |
|
20,884 |
|
766 |
|
|
|
|
|
|
|
|
19,987 |
|
|
Energy (1.9%) |
|
|
|
|
| ||
|
|
|
Murphy Oil Corp. |
|
168,332 |
|
3,069 |
|
|
|
|
Equitrans Midstream Corp. |
|
225,100 |
|
3,037 |
|
|
* |
|
CNX Resources Corp. |
|
215,668 |
|
1,719 |
|
|
|
|
PBF Energy Inc. Class A |
|
60,831 |
|
1,442 |
|
S&P Mid-Cap 400 Growth Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Transocean Ltd. |
|
257,715 |
|
1,173 |
|
|
* |
|
Matador Resources Co. |
|
73,295 |
|
1,147 |
|
|
* |
|
Apergy Corp. |
|
43,548 |
|
1,131 |
|
|
|
|
Core Laboratories NV |
|
27,409 |
|
1,085 |
|
|
* |
|
Callon Petroleum Co. |
|
251,494 |
|
1,034 |
|
|
*,^ |
|
Valaris plc Class A |
|
217,282 |
|
1,012 |
|
|
|
|
QEP Resources Inc. |
|
262,702 |
|
935 |
|
|
*,^ |
|
Chesapeake Energy Corp. |
|
564,908 |
|
813 |
|
|
* |
|
Southwestern Energy Co. |
|
274,806 |
|
434 |
|
|
|
|
|
|
|
|
18,031 |
|
|
Financials (8.8%) |
|
|
|
|
| ||
|
|
|
FactSet Research Systems Inc. |
|
42,195 |
|
11,481 |
|
|
|
|
Brown & Brown Inc. |
|
258,307 |
|
9,529 |
|
|
|
|
Primerica Inc. |
|
46,721 |
|
5,568 |
|
|
|
|
First Financial Bankshares Inc. |
|
149,739 |
|
4,585 |
|
|
|
|
SEI Investments Co. |
|
77,754 |
|
4,471 |
|
|
|
|
Signature Bank |
|
36,476 |
|
4,255 |
|
|
|
|
SLM Corp. |
|
476,605 |
|
4,022 |
|
|
|
|
Commerce Bancshares Inc. |
|
69,459 |
|
3,964 |
|
|
|
|
Eaton Vance Corp. |
|
76,778 |
|
3,311 |
|
|
|
|
East West Bancorp Inc. |
|
80,299 |
|
3,303 |
|
|
|
|
UMB Financial Corp. |
|
48,727 |
|
3,037 |
|
|
|
|
Interactive Brokers Group Inc. |
|
56,338 |
|
2,659 |
|
|
* |
|
LendingTree Inc. |
|
8,243 |
|
2,556 |
|
|
|
|
Hanover Insurance Group Inc. |
|
18,863 |
|
2,511 |
|
|
|
|
Sterling Bancorp |
|
115,620 |
|
2,205 |
|
|
|
|
Kemper Corp. |
|
29,651 |
|
2,075 |
|
|
|
|
FNB Corp. |
|
164,832 |
|
1,772 |
|
|
|
|
Bank of Hawaii Corp. |
|
21,259 |
|
1,758 |
|
|
|
|
Federated Investors Inc. Class B |
|
50,929 |
|
1,632 |
|
|
|
|
Evercore Inc. Class A |
|
20,390 |
|
1,626 |
|
|
* |
|
Green Dot Corp. Class A |
|
52,788 |
|
1,614 |
|
|
|
|
Home BancShares Inc. |
|
76,745 |
|
1,360 |
|
|
|
|
BancorpSouth Bank |
|
48,707 |
|
1,344 |
|
|
* |
|
Genworth Financial Inc. Class A |
|
249,981 |
|
1,107 |
|
|
|
|
Mercury General Corp. |
|
13,774 |
|
737 |
|
|
|
|
|
|
|
|
82,482 |
|
|
Health Care (15.9%) |
|
|
|
|
| ||
|
|
|
STERIS plc |
|
93,297 |
|
14,405 |
|
|
|
|
West Pharmaceutical Services Inc. |
|
81,085 |
|
11,795 |
|
|
* |
|
Molina Healthcare Inc. |
|
69,096 |
|
9,002 |
|
|
* |
|
Masimo Corp. |
|
54,163 |
|
8,300 |
|
|
|
|
Bio-Techne Corp. |
|
41,791 |
|
8,006 |
|
|
|
|
Hill-Rom Holdings Inc. |
|
73,679 |
|
7,934 |
|
|
|
|
Chemed Corp. |
|
17,588 |
|
7,553 |
|
|
* |
|
Haemonetics Corp. |
|
56,502 |
|
7,545 |
|
|
* |
|
Bio-Rad Laboratories Inc. Class A |
|
22,105 |
|
7,465 |
|
|
|
|
Encompass Health Corp. |
|
109,075 |
|
6,631 |
|
|
* |
|
PRA Health Sciences Inc. |
|
65,209 |
|
6,445 |
|
|
* |
|
Catalent Inc. |
|
91,647 |
|
4,833 |
|
|
* |
|
Integra LifeSciences Holdings Corp. |
|
78,283 |
|
4,699 |
|
|
* |
|
HealthEquity Inc. |
|
76,660 |
|
4,551 |
|
|
* |
|
Globus Medical Inc. |
|
84,468 |
|
4,314 |
|
|
* |
|
Amedisys Inc. |
|
32,176 |
|
4,141 |
|
|
* |
|
LivaNova plc |
|
53,318 |
|
4,139 |
|
|
* |
|
Charles River Laboratories International Inc. |
|
30,125 |
|
3,952 |
|
|
* |
|
Medidata Solutions Inc. |
|
41,220 |
|
3,775 |
|
|
* |
|
NuVasive Inc. |
|
57,252 |
|
3,637 |
|
|
* |
|
Exelixis Inc. |
|
169,817 |
|
3,371 |
|
|
* |
|
ICU Medical Inc. |
|
18,423 |
|
2,980 |
|
|
* |
|
Syneos Health Inc. |
|
39,175 |
|
2,058 |
|
|
* |
|
Ligand Pharmaceuticals Inc. |
|
21,625 |
|
1,966 |
|
|
* |
|
Avanos Medical Inc. |
|
52,417 |
|
1,739 |
|
|
|
|
Cantel Medical Corp. |
|
18,845 |
|
1,732 |
|
|
* |
|
Tenet Healthcare Corp. |
|
41,496 |
|
898 |
|
|
* |
|
Covetrus Inc. |
|
47,706 |
|
634 |
|
|
* |
|
Inogen Inc. |
|
11,115 |
|
515 |
|
|
* |
|
Mallinckrodt plc |
|
92,531 |
|
240 |
|
|
|
|
|
|
|
|
149,255 |
|
|
Industrials (13.3%) |
|
|
|
|
| ||
|
|
|
Lennox International Inc. |
|
38,946 |
|
9,884 |
|
|
|
|
Old Dominion Freight Line Inc. |
|
47,875 |
|
7,840 |
|
|
|
|
Woodward Inc. |
|
61,688 |
|
6,653 |
|
|
* |
|
Teledyne Technologies Inc. |
|
19,592 |
|
6,046 |
|
|
|
|
Carlisle Cos. Inc. |
|
40,295 |
|
5,841 |
|
|
|
|
Curtiss-Wright Corp. |
|
47,197 |
|
5,788 |
|
|
|
|
ITT Inc. |
|
96,881 |
|
5,514 |
|
|
|
|
Toro Co. |
|
71,639 |
|
5,159 |
|
|
|
|
Graco Inc. |
|
108,406 |
|
4,940 |
|
|
|
|
Hubbell Inc. Class B |
|
36,688 |
|
4,811 |
|
|
|
|
Donaldson Co. Inc. |
|
91,464 |
|
4,423 |
|
|
|
|
Insperity Inc. |
|
41,425 |
|
4,104 |
|
|
|
|
MSA Safety Inc. |
|
38,847 |
|
4,103 |
|
|
* |
|
Axon Enterprise Inc. |
|
65,243 |
|
3,913 |
|
|
* |
|
ASGN Inc. |
|
58,259 |
|
3,639 |
|
|
* |
|
Trex Co. Inc. |
|
41,958 |
|
3,589 |
|
|
* |
|
Genesee & Wyoming Inc. Class A |
|
31,182 |
|
3,457 |
|
|
|
|
Nordson Corp. |
|
24,532 |
|
3,335 |
|
|
|
|
Landstar System Inc. |
|
28,362 |
|
3,163 |
|
|
|
|
Lincoln Electric Holdings Inc. |
|
36,725 |
|
3,032 |
|
|
* |
|
XPO Logistics Inc. |
|
42,616 |
|
3,020 |
|
|
|
|
Kennametal Inc. |
|
90,908 |
|
2,717 |
|
|
|
|
Crane Co. |
|
33,139 |
|
2,527 |
|
|
|
|
Tetra Tech Inc. |
|
29,664 |
|
2,406 |
|
|
* |
|
Clean Harbors Inc. |
|
32,539 |
|
2,393 |
|
S&P Mid-Cap 400 Growth Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Brink’s Co. |
|
29,164 |
|
2,195 |
|
|
* |
|
Kirby Corp. |
|
26,769 |
|
1,970 |
|
|
|
|
MSC Industrial Direct Co. Inc. Class A |
|
26,305 |
|
1,779 |
|
|
|
|
EnerSys |
|
31,683 |
|
1,774 |
|
|
|
|
Regal Beloit Corp. |
|
24,568 |
|
1,742 |
|
|
|
|
GATX Corp. |
|
17,578 |
|
1,305 |
|
|
^ |
|
Healthcare Services Group Inc. |
|
44,965 |
|
1,014 |
|
|
* |
|
NOW Inc. |
|
54,006 |
|
642 |
|
|
|
|
|
|
|
|
124,718 |
|
|
Information Technology (19.2%) |
|
|
|
|
| ||
|
* |
|
Zebra Technologies Corp. |
|
59,560 |
|
12,211 |
|
|
* |
|
Fair Isaac Corp. |
|
31,989 |
|
11,283 |
|
|
* |
|
Tyler Technologies Inc. |
|
42,308 |
|
10,854 |
|
|
* |
|
Trimble Inc. |
|
277,649 |
|
10,417 |
|
|
* |
|
WEX Inc. |
|
47,723 |
|
9,762 |
|
|
|
|
Cypress Semiconductor Corp. |
|
403,780 |
|
9,291 |
|
|
* |
|
PTC Inc. |
|
114,245 |
|
7,480 |
|
|
|
|
Sabre Corp. |
|
303,122 |
|
7,166 |
|
|
|
|
Monolithic Power Systems Inc. |
|
43,710 |
|
6,581 |
|
|
* |
|
Ciena Corp. |
|
157,923 |
|
6,464 |
|
|
|
|
Universal Display Corp. |
|
30,942 |
|
6,358 |
|
|
|
|
Teradyne Inc. |
|
117,255 |
|
6,211 |
|
|
|
|
MAXIMUS Inc. |
|
70,412 |
|
5,417 |
|
|
* |
|
Silicon Laboratories Inc. |
|
47,824 |
|
5,213 |
|
|
|
|
National Instruments Corp. |
|
123,677 |
|
5,194 |
|
|
* |
|
Cree Inc. |
|
116,132 |
|
4,985 |
|
|
|
|
j2 Global Inc. |
|
51,300 |
|
4,340 |
|
|
|
|
Versum Materials Inc. |
|
83,172 |
|
4,325 |
|
|
* |
|
CoreLogic Inc. |
|
89,031 |
|
4,309 |
|
|
|
|
Littelfuse Inc. |
|
27,284 |
|
4,258 |
|
|
|
|
Cognex Corp. |
|
92,649 |
|
4,177 |
|
|
* |
|
Manhattan Associates Inc. |
|
49,181 |
|
4,064 |
|
|
* |
|
Teradata Corp. |
|
129,210 |
|
3,989 |
|
|
* |
|
ACI Worldwide Inc. |
|
121,996 |
|
3,633 |
|
|
* |
|
LiveRamp Holdings Inc. |
|
76,105 |
|
3,224 |
|
|
* |
|
Semtech Corp. |
|
73,571 |
|
3,088 |
|
|
|
|
Blackbaud Inc. |
|
33,650 |
|
3,061 |
|
|
* |
|
ViaSat Inc. |
|
31,427 |
|
2,493 |
|
|
* |
|
Lumentum Holdings Inc. |
|
43,835 |
|
2,444 |
|
|
|
|
CDK Global Inc. |
|
55,027 |
|
2,375 |
|
|
|
|
KBR Inc. |
|
73,365 |
|
1,872 |
|
|
* |
|
CommVault Systems Inc. |
|
42,338 |
|
1,836 |
|
|
|
|
InterDigital Inc. |
|
20,657 |
|
1,016 |
|
|
* |
|
Synaptics Inc. |
|
21,324 |
|
683 |
|
|
|
|
Plantronics Inc. |
|
21,007 |
|
653 |
|
|
|
|
|
|
|
|
180,727 |
|
|
Materials (4.5%) |
|
|
|
|
| ||
|
|
|
RPM International Inc. |
|
144,630 |
|
9,787 |
|
|
|
|
Royal Gold Inc. |
|
46,269 |
|
6,171 |
|
|
|
|
AptarGroup Inc. |
|
38,351 |
|
4,687 |
|
|
|
|
NewMarket Corp. |
|
6,356 |
|
3,018 |
|
|
|
|
Scotts Miracle-Gro Co. |
|
27,813 |
|
2,957 |
|
|
* |
|
Allegheny Technologies Inc. |
|
139,065 |
|
2,756 |
|
|
|
|
Chemours Co. |
|
180,919 |
|
2,564 |
|
|
|
|
Eagle Materials Inc. |
|
24,827 |
|
2,090 |
|
|
* |
|
Ingevity Corp. |
|
26,318 |
|
2,005 |
|
|
|
|
Valvoline Inc. |
|
87,216 |
|
1,971 |
|
|
|
|
Cabot Corp. |
|
36,127 |
|
1,445 |
|
|
|
|
Sensient Technologies Corp. |
|
21,946 |
|
1,434 |
|
|
|
|
Louisiana-Pacific Corp. |
|
58,575 |
|
1,408 |
|
|
|
|
Greif Inc. Class A |
|
13,028 |
|
458 |
|
|
|
|
|
|
|
|
42,751 |
|
|
Real Estate (12.7%) |
|
|
|
|
| ||
|
|
|
National Retail Properties Inc. |
|
179,504 |
|
10,079 |
|
|
|
|
Omega Healthcare Investors Inc. |
|
236,711 |
|
9,629 |
|
|
|
|
CyrusOne Inc. |
|
124,877 |
|
9,174 |
|
|
|
|
Medical Properties Trust Inc. |
|
484,869 |
|
9,014 |
|
|
|
|
American Campus Communities Inc. |
|
151,453 |
|
7,040 |
|
|
|
|
Camden Property Trust |
|
62,940 |
|
6,813 |
|
|
|
|
Life Storage Inc. |
|
51,455 |
|
5,452 |
|
|
|
|
EastGroup Properties Inc. |
|
40,553 |
|
5,050 |
|
|
|
|
Liberty Property Trust |
|
89,987 |
|
4,690 |
|
|
|
|
EPR Properties |
|
54,979 |
|
4,302 |
|
|
|
|
Lamar Advertising Co. Class A |
|
55,707 |
|
4,270 |
|
|
|
|
Douglas Emmett Inc. |
|
92,821 |
|
3,917 |
|
|
|
|
JBG SMITH Properties |
|
93,214 |
|
3,566 |
|
|
|
|
First Industrial Realty Trust Inc. |
|
90,717 |
|
3,534 |
|
|
|
|
Brixmor Property Group Inc. |
|
161,109 |
|
2,969 |
|
|
|
|
CoreSite Realty Corp. |
|
24,427 |
|
2,838 |
|
|
|
|
Healthcare Realty Trust Inc. |
|
84,117 |
|
2,795 |
|
|
|
|
Cousins Properties Inc. |
|
78,567 |
|
2,726 |
|
|
|
|
Spirit Realty Capital Inc. |
|
54,931 |
|
2,633 |
|
|
|
|
Highwoods Properties Inc. |
|
54,919 |
|
2,373 |
|
|
|
|
Rayonier Inc. |
|
84,392 |
|
2,262 |
|
|
|
|
PS Business Parks Inc. |
|
12,589 |
|
2,261 |
|
|
|
|
Weingarten Realty Investors |
|
77,885 |
|
2,063 |
|
|
|
|
Pebblebrook Hotel Trust |
|
67,742 |
|
1,827 |
|
|
|
|
Taubman Centers Inc. |
|
39,818 |
|
1,555 |
|
|
|
|
Uniti Group Inc. |
|
203,197 |
|
1,502 |
|
|
|
|
Mack-Cali Realty Corp. |
|
64,789 |
|
1,320 |
|
|
|
|
Urban Edge Properties |
|
66,443 |
|
1,164 |
|
|
|
|
CoreCivic Inc. |
|
63,080 |
|
1,069 |
|
|
|
|
GEO Group Inc. |
|
56,191 |
|
964 |
|
|
^ |
|
Tanger Factory Outlet Centers Inc. |
|
43,638 |
|
617 |
|
|
|
|
|
|
|
|
119,468 |
|
S&P Mid-Cap 400 Growth Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
Utilities (4.6%) |
|
|
|
|
| |
|
|
UGI Corp. |
|
229,944 |
|
11,191 |
|
|
|
OGE Energy Corp. |
|
123,692 |
|
5,303 |
|
|
|
Aqua America Inc. |
|
109,505 |
|
4,850 |
|
|
|
Black Hills Corp. |
|
59,950 |
|
4,599 |
|
|
|
National Fuel Gas Co. |
|
95,231 |
|
4,451 |
|
|
|
IDACORP Inc. |
|
31,690 |
|
3,480 |
|
|
|
ONE Gas Inc. |
|
30,229 |
|
2,769 |
|
|
|
Hawaiian Electric Industries Inc. |
|
58,901 |
|
2,615 |
|
|
|
NorthWestern Corp. |
|
32,281 |
|
2,338 |
|
|
|
Spire Inc. |
|
24,637 |
|
2,092 |
|
|
|
|
|
|
|
43,688 |
|
|
Total Common Stocks |
|
|
|
939,451 |
| |
|
Temporary Cash Investment (0.6%)1 |
|
|
|
|
| |
|
Money Market Fund (0.6%) |
|
|
|
|
| |
|
2,3 |
Vanguard Market Liquidity Fund, 2.249% |
|
58,976 |
|
5,898 |
|
|
Total Investments (100.4%) |
|
|
|
945,349 |
| |
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000
|
)
|
|
Other Assets and Liabilities (-0.4%) |
|
|
|
|
|
|
Other Assets |
|
|
|
|
|
|
Investment in Vanguard |
|
|
|
46 |
|
|
Receivables for Accrued Income |
|
|
|
725 |
|
|
Receivables for Capital Shares Issued |
|
|
|
7 |
|
|
Variation Margin Receivable—Future Contracts |
|
|
|
3 |
|
|
Other Assets4 |
|
|
|
62 |
|
|
Total Other Assets |
|
|
|
843 |
|
|
Liabilities |
|
|
|
|
|
|
Payables for Investment Securities Purchased |
|
|
|
(3 |
) |
|
Collateral for Securities on Loan |
|
|
|
(4,803 |
) |
|
Payables for Capital Shares Redeemed |
|
|
|
(33 |
) |
|
Payables to Vanguard |
|
|
|
(135 |
) |
|
Total Liabilities |
|
|
|
(4,974 |
) |
|
Net Assets (100%) |
|
|
|
941,218 |
|
At August 31, 2019, net assets consisted of:
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000
|
)
|
|
Paid-in Capital |
|
|
|
1,021,546 |
|
|
Total Distributable Earnings (Loss) |
|
|
|
(80,328 |
) |
|
Net Assets |
|
|
|
941,218 |
|
|
|
|
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
|
|
|
Applicable to 5,350,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
736,680 |
|
|
Net Asset Value Per Share—ETF Shares |
|
|
|
$137.70 |
|
|
|
|
|
|
|
|
|
Institutional Shares—Net Assets |
|
|
|
|
|
|
Applicable to 745,452 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
204,538 |
|
|
Net Asset Value Per Share—Institutional Shares |
|
|
|
$274.38 |
|
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,461,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.4%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $4,803,000 of collateral received for securities on loan.
4 Cash of $62,000 has been segregated as initial margin for open futures contracts. |
S&P Mid-Cap 400 Growth Index Fund
|
Derivative Financial Instruments Outstanding as of Period End | |||||||||
|
Futures Contracts | |||||||||
|
|
|
|
|
|
|
|
|
($000
|
) |
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration
|
|
Contracts
|
|
Amount
|
|
(Depreciation
|
) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini S&P Mid-Cap 400 Index |
|
September 2019 |
|
8 |
|
1,505 |
|
(23 |
) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
|
|
Year Ended
| |
|
|
|
August 31, 2019
|
|
|
|
($000)
|
|
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
|
12,353 |
|
Interest1 |
|
40 |
|
Securities Lending—Net |
|
20 |
|
Total Income |
|
12,413 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
|
148 |
|
Management and Administrative—ETF Shares |
|
924 |
|
Management and Administrative—Institutional Shares |
|
130 |
|
Marketing and Distribution—ETF Shares |
|
42 |
|
Marketing and Distribution—Institutional Shares |
|
9 |
|
Custodian Fees |
|
14 |
|
Auditing Fees |
|
32 |
|
Shareholders’ Reports—ETF Shares |
|
23 |
|
Shareholders’ Reports—Institutional Shares |
|
1 |
|
Trustees’ Fees and Expenses |
|
1 |
|
Total Expenses |
|
1,324 |
|
Expenses Paid Indirectly |
|
(15) |
|
Net Expenses |
|
1,309 |
|
Net Investment Income |
|
11,104 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1,2 |
|
(36,222) |
|
Futures Contracts |
|
51 |
|
Realized Net Gain (Loss) |
|
(36,171) |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
|
(36,348) |
|
Futures Contracts |
|
(45) |
|
Change in Unrealized Appreciation (Depreciation) |
|
(36,393) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(61,460) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $37,000, $2,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $69,359,000 of net gain (loss) resulting from in-kind redemption; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
11,104 |
|
10,466 |
|
|
Realized Net Gain (Loss) |
|
(36,171 |
) |
192,693 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(36,393 |
) |
15,213 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(61,460 |
) |
218,372 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(6,629 |
) |
(8,531 |
) |
|
Institutional Shares |
|
(2,658 |
) |
(1,904 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(9,287 |
) |
(10,435 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
(40,742 |
) |
(11,997 |
) |
|
Institutional Shares |
|
(48,958 |
) |
(99,600 |
) |
|
Net Increase (Decrease) from Capital Share Transactions |
|
(89,700 |
) |
(111,597 |
) |
|
Total Increase (Decrease) |
|
(160,447 |
) |
96,340 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
1,101,665 |
|
1,005,325 |
|
|
End of Period |
|
941,218 |
|
1,101,665 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding |
Year Ended August 31, | ||||
|
Throughout Each Period |
2019 |
2018 |
2017 |
2016 |
2015 |
|
Net Asset Value, Beginning of Period |
$146.46 |
$121.33 |
$109.76 |
$99.88 |
$97.18 |
|
Investment Operations |
|
|
|
|
|
|
Net Investment Income |
1.5191 |
1.2681 |
1.1521 |
.954 |
1.036 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(9.084) |
25.098 |
11.576 |
9.960 |
2.456 |
|
Total from Investment Operations |
(7.565) |
26.366 |
12.728 |
10.914 |
3.492 |
|
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income |
(1.195) |
(1.236) |
(1.158) |
(1.034) |
(.792) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
— |
— |
|
Total Distributions |
(1.195) |
(1.236) |
(1.158) |
(1.034) |
(.792) |
|
Net Asset Value, End of Period |
$137.70 |
$146.46 |
$121.33 |
$109.76 |
$99.88 |
|
|
|
|
|
|
|
|
Total Return |
-5.08% |
21.83% |
11.67% |
11.04% |
3.60% |
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$737 |
$831 |
$686 |
$513 |
$377 |
|
Ratio of Total Expenses to Average Net Assets |
0.15% |
0.20% |
0.20% |
0.20% |
0.20% |
|
Ratio of Net Investment Income to Average Net Assets |
1.13% |
0.94% |
0.99% |
1.08% |
1.08% |
|
Portfolio Turnover Rate2 |
40% |
43% |
40% |
38% |
47% |
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares
|
For a Share Outstanding |
Year Ended August 31, | ||||
|
Throughout Each Period |
2019 |
2018 |
2017 |
2016 |
2015 |
|
Net Asset Value, Beginning of Period |
$292.07 |
$241.68 |
$218.61 |
$198.85 |
$193.45 |
|
Investment Operations |
|
|
|
|
|
|
Net Investment Income |
3.2421 |
2.8941 |
2.6041 |
2.094 |
2.271 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
(18.167) |
49.971 |
23.011 |
19.906 |
4.900 |
|
Total from Investment Operations |
(14.925) |
52.865 |
25.615 |
22.000 |
7.171 |
|
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income |
(2.765) |
(2.475) |
(2.545) |
(2.240) |
(1.771) |
|
Distributions from Realized Capital Gains |
— |
— |
— |
— |
— |
|
Total Distributions |
(2.765) |
(2.475) |
(2.545) |
(2.240) |
(1.771) |
|
Net Asset Value, End of Period |
$274.38 |
$292.07 |
$241.68 |
$218.61 |
$198.85 |
|
|
|
|
|
|
|
|
Total Return |
-5.02% |
21.97% |
11.80% |
11.18% |
3.72% |
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
$205 |
$271 |
$320 |
$170 |
$96 |
|
Ratio of Total Expenses to Average Net Assets |
0.08% |
0.08% |
0.08% |
0.08% |
0.08% |
|
Ratio of Net Investment Income to Average Net Assets |
1.20% |
1.06% |
1.11% |
1.20% |
1.20% |
|
Portfolio Turnover Rate2 |
40% |
43% |
40% |
38% |
47% |
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
S&P Mid-Cap 400 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $46,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $15,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
S&P Mid-Cap 400 Growth Index Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
77,242 |
|
Total Distributable Earnings (Loss) |
(77,242) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
Amount |
|
|
($000) |
|
Undistributed Ordinary Income |
6,890 |
|
Undistributed Long-Term Gains |
— |
|
Capital Loss Carryforwards (Non-expiring) |
(160,033) |
|
Net Unrealized Gains (Losses) |
72,912 |
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
Amount |
|
|
($000) |
|
Tax Cost |
872,437 |
|
Gross Unrealized Appreciation |
148,053 |
|
Gross Unrealized Depreciation |
(75,141) |
|
Net Unrealized Appreciation (Depreciation) |
72,912 |
F. During the year ended August 31, 2019, the fund purchased $619,782,000 of investment securities and sold $704,677,000 of investment securities, other than temporary cash investments. Purchases and sales include $163,811,000 and $319,577,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
S&P Mid-Cap 400 Growth Index Fund
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $207,410,000 and $205,757,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31, |
| ||||||
|
|
|
2019 |
|
2018 |
| ||||
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000) |
|
($000 |
) |
(000 |
) |
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
292,561 |
|
2,150 |
|
786,398 |
|
5,825 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(333,303 |
) |
(2,475) |
|
(798,395 |
) |
(5,800 |
) |
|
Net Increase (Decrease)—ETF Shares |
|
(40,742 |
) |
(325) |
|
(11,997 |
) |
25 |
|
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
37,712 |
|
144 |
|
75,872 |
|
277 |
|
|
Issued in Lieu of Cash Distributions |
|
2,069 |
|
8 |
|
1,315 |
|
5 |
|
|
Redeemed |
|
(88,739 |
) |
(333) |
|
(176,787 |
) |
(679 |
) |
|
Net Increase (Decrease)—Institutional Shares |
|
(48,958 |
) |
(181) |
|
(99,600 |
) |
(397 |
) |
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
|
Fund |
($000) |
|
S&P Mid-Cap 400 Index Fund |
26,981 |
|
S&P Mid-Cap 400 Value Index Fund |
12,822 |
|
S&P Mid-Cap 400 Growth Index Fund |
9,287 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
|
Fund |
Percentage |
|
S&P Mid-Cap 400 Index Fund |
81.7% |
|
S&P Mid-Cap 400 Value Index Fund |
89.0 |
|
S&P Mid-Cap 400 Growth Index Fund |
78.6 |
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each 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 through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services provided to the funds since their inception in 2010, 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 Equity Index 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 each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also 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 each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund particularly or the ability of the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund into consideration in determining, composing or calculating the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. There is no assurance that investment products based on the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P MID-CAP 400 INDEX FUND, VANGUARD S&P MID-CAP 400 VALUE INDEX FUND, AND VANGUARD S&P MID-CAP 400 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
|
Joseph Brennan |
Chris D. McIsaac |
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Mortimer J. Buckley |
James M. Norris |
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Gregory Davis |
Thomas M. Rampulla |
|
John James |
Karin A. Risi |
|
Martha G. King |
Anne E. Robinson |
|
John T. Marcante |
Michael Rollings |
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P.O. Box 2600 |
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|
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
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© 2019 The Vanguard Group, Inc. |
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All rights reserved. |
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U.S. Patent Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
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Vanguard Marketing Corporation, Distributor. |
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Q18420 102019 |
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Annual Report | August 31, 2019
Vanguard S&P 500 Value and Growth Index Funds
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Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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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.
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Contents |
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A Note From Our Chairman |
1 |
|
Your Fund’s Performance at a Glance |
2 |
|
About Your Fund’s Expenses |
3 |
|
S&P 500 Value Index Fund |
5 |
|
S&P 500 Growth Index Fund |
23 |
|
Trustees Approve Advisory Arrangements |
44 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they should reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
October 1, 2019
Your Fund’s Performance at a Glance
· Large-capitalization growth stocks outpaced their value counterparts for the 12 months ended August 31, 2019. Vanguard S&P 500 Growth Index Fund returned well above 3% and Vanguard S&P 500 Value Index Fund returned more than 2%. Both funds closely tracked their target indexes.
· Market sentiment was dampened by signs of decelerating global growth, flare-ups in trade disputes, heightened tensions with Iran, and a lack of agreement in the United Kingdom on how to exit the European Union.
· Information technology stocks became the Value Index Fund’s second-largest sector on strong gains. Three of the fund’s largest sectors—financials, health care, and, most notably, energy—all declined.
· For the Growth Index Fund, consumer staples stocks added most to returns while its largest sectors—information technology and health care—contributed modestly.
Market Barometer
|
|
|
Average Annual Total Returns |
| ||||
|
|
|
Periods Ended August 31, 2019 |
| ||||
|
|
|
One Year |
|
Three Years |
|
Five Years |
|
|
Stocks |
|
|
|
|
|
|
|
|
Russell 1000 Index (Large-caps) |
|
2.49% |
|
12.57% |
|
9.85% |
|
|
Russell 2000 Index (Small-caps) |
|
-12.89 |
|
7.89 |
|
6.41 |
|
|
Russell 3000 Index (Broad U.S. market) |
|
1.31 |
|
12.24 |
|
9.60 |
|
|
FTSE All-World ex US Index (International) |
|
-3.18 |
|
5.97 |
|
1.71 |
|
|
|
|
|
|
|
|
|
|
|
Bonds |
|
|
|
|
|
|
|
|
Bloomberg Barclays U.S. Aggregate Bond Index |
|
|
|
|
|
|
|
|
(Broad taxable market) |
|
10.17% |
|
3.09% |
|
3.35% |
|
|
Bloomberg Barclays Municipal Bond Index |
|
|
|
|
|
|
|
|
(Broad tax-exempt market) |
|
8.72 |
|
3.30 |
|
3.85 |
|
|
FTSE Three-Month U.S. Treasury Bill Index |
|
2.36 |
|
1.47 |
|
0.91 |
|
|
|
|
|
|
|
|
|
|
|
CPI |
|
|
|
|
|
|
|
|
Consumer Price Index |
|
1.75% |
|
2.13% |
|
1.53% |
|
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.
Six Months Ended August 31, 2019
|
|
|
Beginning |
|
Ending |
|
Expenses |
|
|
|
Account Value |
|
Account Value |
|
Paid During |
|
|
|
2/28/2019 |
|
8/31/2019 |
|
Period |
|
Based on Actual Fund Return |
|
|
|
|
|
|
|
S&P 500 Value Index Fund |
|
|
|
|
|
|
|
ETF Shares |
|
$1,000.00 |
|
$1,041.88 |
|
$0.26 |
|
Institutional Shares |
|
1,000.00 |
|
1,041.72 |
|
0.41 |
|
S&P 500 Growth Index Fund |
|
|
|
|
|
|
|
ETF Shares |
|
$1,000.00 |
|
$1,078.55 |
|
$0.31 |
|
Institutional Shares (Since inception: 4/5/2019) |
|
1,000.00 |
|
1,032.23 |
|
0.33 |
|
Based on Hypothetical 5% Yearly Return |
|
|
|
|
|
|
|
S&P 500 Value Index Fund |
|
|
|
|
|
|
|
ETF Shares |
|
$1,000.00 |
|
$1,024.95 |
|
$0.26 |
|
Institutional Shares |
|
1,000.00 |
|
1,024.80 |
|
0.41 |
|
S&P 500 Growth Index Fund |
|
|
|
|
|
|
|
ETF Shares |
|
$1,000.00 |
|
$1,024.90 |
|
$0.31 |
|
Institutional Shares (Since inception: 4/5/2019) |
|
1,000.00 |
|
1,024.88 |
|
0.33 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P 500 Value Index Fund, 0.05% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.06% for ETF Shares and 0.08% for Institutional Shares (since inception). 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 (184/365 for S&P 500 Value ETF Shares, S&P 500 Value Institutional Shares, and S&P 500 Growth ETF Shares. 149/365 for S&P 500 Growth Institutional Shares).
S&P 500 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
Periods Ended August 31, 2019
|
|
| ||||
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
Investment
|
|
|
S&P 500 Value Index Fund ETF |
|
|
|
|
|
|
|
|
|
Shares Net Asset Value
|
|
2.05% |
|
7.17% |
|
11.77% |
|
$27,160 | |
|
|
S&P 500 Value Index Fund ETF |
|
|
|
|
|
|
|
|
|
|
Shares Market Price
|
|
2.01 |
|
7.15 |
|
11.76 |
|
27,149 |
|
|
S&P 500 Value Index
|
|
2.14 |
|
7.30 |
|
11.93 |
|
27,505 |
|
|
Dow Jones U.S. Total Stock Market |
|
|
|
|
|
|
|
|
|
Float Adjusted Index
|
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 | |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
|
|
|
Since |
|
Final Value |
|
|
|
One |
|
Inception |
|
of a $5,000,000 |
|
|
|
Year |
|
(3/3/2015) |
|
Investment |
|
S&P 500 Value Index Fund Institutional |
|
|
|
|
|
|
|
Shares
|
|
2.07% |
|
7.19% |
|
$6,832,649 |
|
S&P 500 Value Index
|
|
2.14 |
|
7.26 |
|
6,852,033 |
|
Dow Jones U.S. Total Stock Market Float |
|
|
|
|
|
|
|
Adjusted Index
|
|
1.23 |
|
9.21 |
|
7,431,179 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
S&P 500 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
|
|
|
Since |
|
|
|
One |
|
Five |
|
Inception |
|
|
|
Year |
|
Years
|
|
(9/7/2010) |
|
S&P 500 Value Index Fund ETF Shares Market Price |
|
2.01% |
|
41.24% |
|
171.49% |
|
S&P 500 Value Index Fund ETF Shares Net Asset Value |
|
2.05 |
|
41.34 |
|
171.60 |
|
S&P 500 Value Index |
|
2.14 |
|
42.25 |
|
175.05 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P 500 Value Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
6.1% |
|
Consumer Discretionary |
7.4 |
|
Consumer Staples |
9.8 |
|
Energy |
6.5 |
|
Financials |
21.4 |
|
Health Care |
10.8 |
|
Industrials |
10.1 |
|
Information Technology |
16.3 |
|
Materials |
3.3 |
|
Real Estate |
3.0 |
|
Utilities |
5.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
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 |
) |
|
Common Stocks (99.8%)1 |
|
|
|
|
| |
|
Communication Services (6.1%) |
|
|
|
|
| |
|
|
AT&T Inc. |
|
701,493 |
|
24,735 |
|
|
|
Comcast Corp. Class A |
|
235,102 |
|
10,406 |
|
|
|
Walt Disney Co. |
|
73,816 |
|
10,132 |
|
|
* |
Charter Communications Inc. Class A |
|
9,426 |
|
3,861 |
|
|
|
Activision Blizzard Inc. |
|
73,629 |
|
3,726 |
|
|
* |
T-Mobile US Inc. |
|
22,789 |
|
1,779 |
|
|
|
Omnicom Group Inc. |
|
21,161 |
|
1,609 |
|
|
|
CBS Corp. Class B |
|
33,827 |
|
1,423 |
|
|
* |
Electronic Arts Inc. |
|
14,827 |
|
1,389 |
|
|
|
CenturyLink Inc. |
|
92,208 |
|
1,049 |
|
|
* |
Discovery Communications Inc. |
|
34,714 |
|
904 |
|
|
|
Viacom Inc. Class B |
|
33,986 |
|
849 |
|
|
* |
DISH Network Corp. Class A |
|
22,177 |
|
744 |
|
|
|
Interpublic Group of Cos. Inc. |
|
37,190 |
|
739 |
|
|
|
Fox Corp. Class A |
|
18,479 |
|
613 |
|
|
|
News Corp. Class A |
|
40,188 |
|
553 |
|
|
* |
Discovery Communications Inc. Class A |
|
15,117 |
|
417 |
|
|
|
Fox Corp. Class B |
|
8,336 |
|
273 |
|
|
|
News Corp. Class B |
|
8,795 |
|
124 |
|
|
* |
TripAdvisor Inc. |
|
3,255 |
|
124 |
|
|
|
|
|
|
|
65,449 |
|
|
Consumer Discretionary (7.4%) |
|
|
|
|
| |
|
|
Home Depot Inc. |
|
57,108 |
|
13,015 |
|
|
|
Starbucks Corp. |
|
57,049 |
|
5,509 |
|
|
|
Target Corp. |
|
49,242 |
|
5,271 |
|
|
|
NIKE Inc. Class B |
|
59,181 |
|
5,001 |
|
|
|
General Motors Co. |
|
126,796 |
|
4,703 |
|
|
|
Lowe’s Cos. Inc. |
|
40,634 |
|
4,559 |
|
|
* |
Booking Holdings Inc. |
|
2,164 |
|
4,255 |
|
|
|
Ford Motor Co. |
|
376,656 |
|
3,454 |
|
|
* |
Dollar Tree Inc. |
|
22,832 |
|
2,318 |
|
|
|
Marriott International Inc. Class A |
|
15,939 |
|
2,009 |
|
|
|
eBay Inc. |
|
48,822 |
|
1,967 |
|
|
|
Royal Caribbean Cruises Ltd. |
|
16,523 |
|
1,723 |
|
|
|
Carnival Corp. |
|
38,483 |
|
1,696 |
|
|
|
DR Horton Inc. |
|
32,637 |
|
1,615 |
|
|
|
Ross Stores Inc. |
|
15,180 |
|
1,609 |
|
|
|
Best Buy Co. Inc. |
|
22,326 |
|
1,421 |
|
|
|
Lennar Corp. Class A |
|
27,145 |
|
1,384 |
|
|
|
MGM Resorts International |
|
49,052 |
|
1,376 |
|
|
|
Genuine Parts Co. |
|
14,032 |
|
1,267 |
|
|
* |
Norwegian Cruise Line Holdings Ltd. |
|
20,701 |
|
1,051 |
|
|
|
Wynn Resorts Ltd. |
|
9,313 |
|
1,026 |
|
|
|
Whirlpool Corp. |
|
6,087 |
|
847 |
|
|
|
PulteGroup Inc. |
|
24,498 |
|
828 |
|
|
|
Aptiv plc |
|
9,666 |
|
804 |
|
|
* |
LKQ Corp. |
|
30,162 |
|
792 |
|
|
|
Kohl’s Corp. |
|
15,564 |
|
736 |
|
|
* |
CarMax Inc. |
|
8,781 |
|
731 |
|
|
* |
Mohawk Industries Inc. |
|
5,915 |
|
703 |
|
|
|
Expedia Group Inc. |
|
5,063 |
|
659 |
|
|
|
BorgWarner Inc. |
|
19,915 |
|
650 |
|
|
|
PVH Corp. |
|
7,194 |
|
545 |
|
|
|
Hasbro Inc. |
|
4,784 |
|
529 |
|
|
|
Harley-Davidson Inc. |
|
15,284 |
|
488 |
|
|
|
Tiffany & Co. |
|
5,717 |
|
485 |
|
|
|
Leggett & Platt Inc. |
|
12,633 |
|
470 |
|
|
|
Ralph Lauren Corp. Class A |
|
5,009 |
|
443 |
|
|
|
Darden Restaurants Inc. |
|
3,546 |
|
429 |
|
|
* |
Capri Holdings Ltd. |
|
14,544 |
|
384 |
|
|
|
L Brands Inc. |
|
22,079 |
|
365 |
|
|
|
Garmin Ltd. |
|
4,431 |
|
361 |
|
|
|
Advance Auto Parts Inc. |
|
2,410 |
|
332 |
|
|
|
Gap Inc. |
|
20,456 |
|
323 |
|
|
|
Newell Brands Inc. |
|
18,017 |
|
299 |
|
|
|
Hanesbrands Inc. |
|
19,531 |
|
267 |
|
|
|
Macy’s Inc. |
|
17,275 |
|
255 |
|
|
|
Tapestry Inc. |
|
9,205 |
|
190 |
|
|
|
H&R Block Inc. |
|
7,444 |
|
180 |
|
|
|
Nordstrom Inc. |
|
5,209 |
|
151 |
|
|
* |
Under Armour Inc. Class A |
|
6,447 |
|
120 |
|
|
* |
Under Armour Inc. Class C |
|
6,411 |
|
108 |
|
S&P 500 Value Index Fund
|
|
|
|
Shares |
|
Market |
) |
|
|
Lennar Corp. Class B |
|
363 |
|
15 |
|
|
|
Foot Locker Inc. |
|
56 |
|
2 |
|
|
|
|
|
|
|
79,720 |
|
|
Consumer Staples (9.8%) |
|
|
|
|
| |
|
|
Walmart Inc. |
|
134,456 |
|
15,363 |
|
|
|
Procter & Gamble Co. |
|
106,088 |
|
12,755 |
|
|
|
Costco Wholesale Corp. |
|
42,273 |
|
12,460 |
|
|
|
Coca-Cola Co. |
|
177,150 |
|
9,750 |
|
|
|
Altria Group Inc. |
|
179,831 |
|
7,866 |
|
|
|
Mondelez International Inc. Class A |
|
138,459 |
|
7,646 |
|
|
|
PepsiCo Inc. |
|
52,552 |
|
7,185 |
|
|
|
Philip Morris International Inc. |
|
73,277 |
|
5,283 |
|
|
|
Walgreens Boots Alliance Inc. |
|
74,697 |
|
3,824 |
|
|
|
General Mills Inc. |
|
57,554 |
|
3,096 |
|
|
|
Tyson Foods Inc. Class A |
|
28,337 |
|
2,636 |
|
|
|
Colgate-Palmolive Co. |
|
35,484 |
|
2,631 |
|
|
|
Kimberly-Clark Corp. |
|
15,201 |
|
2,145 |
|
|
|
Archer-Daniels-Midland Co. |
|
53,838 |
|
2,049 |
|
|
|
Kroger Co. |
|
77,532 |
|
1,836 |
|
|
|
Kraft Heinz Co. |
|
59,793 |
|
1,526 |
|
|
|
Estee Lauder Cos. Inc. Class A |
|
6,745 |
|
1,335 |
|
|
|
Conagra Brands Inc. |
|
46,703 |
|
1,325 |
|
|
|
Sysco Corp. |
|
16,815 |
|
1,250 |
|
|
|
JM Smucker Co. |
|
10,932 |
|
1,150 |
|
|
|
Molson Coors Brewing Co. Class B |
|
18,047 |
|
927 |
|
|
|
Campbell Soup Co. |
|
18,522 |
|
833 |
|
|
|
Hershey Co. |
|
5,222 |
|
828 |
|
|
|
Coty Inc. Class A |
|
28,882 |
|
276 |
|
|
|
|
|
|
|
105,975 |
|
|
Energy (6.5%) |
|
|
|
|
| |
|
|
Chevron Corp. |
|
183,102 |
|
21,555 |
|
|
|
Exxon Mobil Corp. |
|
178,946 |
|
12,254 |
|
|
|
Schlumberger Ltd. |
|
133,127 |
|
4,317 |
|
|
|
EOG Resources Inc. |
|
55,780 |
|
4,138 |
|
|
|
Phillips 66 |
|
40,146 |
|
3,960 |
|
|
|
Kinder Morgan Inc. |
|
187,126 |
|
3,793 |
|
|
|
Marathon Petroleum Corp. |
|
63,688 |
|
3,134 |
|
|
|
Valero Energy Corp. |
|
40,103 |
|
3,019 |
|
|
|
Williams Cos. Inc. |
|
116,467 |
|
2,749 |
|
|
|
Pioneer Natural Resources Co. |
|
16,188 |
|
1,998 |
|
|
|
Halliburton Co. |
|
83,988 |
|
1,582 |
|
|
|
ONEOK Inc. |
|
17,059 |
|
1,216 |
|
|
|
Baker Hughes a GE Co. Class A |
|
49,490 |
|
1,073 |
|
|
|
Noble Energy Inc. |
|
45,962 |
|
1,038 |
|
|
|
TechnipFMC plc |
|
40,479 |
|
1,006 |
|
|
|
National Oilwell Varco Inc. |
|
37,113 |
|
758 |
|
|
|
Hess Corp. |
|
11,024 |
|
694 |
|
|
|
Concho Resources Inc. |
|
8,676 |
|
635 |
|
|
|
Helmerich & Payne Inc. |
|
10,643 |
|
400 |
|
|
|
Cabot Oil & Gas Corp. |
|
12,635 |
|
216 |
|
|
|
Cimarex Energy Co. |
|
4,308 |
|
184 |
|
|
|
|
|
|
|
69,719 |
|
|
Financials (21.4%) |
|
|
|
|
| |
|
|
JPMorgan Chase & Co. |
|
311,815 |
|
34,256 |
|
|
|
Bank of America Corp. |
|
849,964 |
|
23,382 |
|
|
* |
Berkshire Hathaway Inc. Class B |
|
96,860 |
|
19,702 |
|
|
|
Wells Fargo & Co. |
|
388,797 |
|
18,106 |
|
|
|
Citigroup Inc. |
|
222,276 |
|
14,303 |
|
|
|
CME Group Inc. |
|
34,409 |
|
7,477 |
|
|
|
Chubb Ltd. |
|
44,012 |
|
6,878 |
|
|
|
Goldman Sachs Group Inc. |
|
32,704 |
|
6,669 |
|
|
|
PNC Financial Services Group Inc. |
|
43,392 |
|
5,595 |
|
|
|
Morgan Stanley |
|
122,891 |
|
5,099 |
|
|
|
BlackRock Inc. |
|
11,437 |
|
4,833 |
|
|
|
American International Group Inc. |
|
83,600 |
|
4,351 |
|
|
|
MetLife Inc. |
|
91,346 |
|
4,047 |
|
|
|
American Express Co. |
|
32,913 |
|
3,962 |
|
|
|
Capital One Financial Corp. |
|
45,137 |
|
3,910 |
|
|
|
Travelers Cos. Inc. |
|
25,174 |
|
3,700 |
|
|
|
Aflac Inc. |
|
71,654 |
|
3,596 |
|
|
|
Bank of New York Mellon Corp. |
|
84,674 |
|
3,561 |
|
|
|
BB&T Corp. |
|
73,615 |
|
3,508 |
|
|
|
Allstate Corp. |
|
32,017 |
|
3,278 |
|
|
|
Prudential Financial Inc. |
|
39,022 |
|
3,125 |
|
|
|
SunTrust Banks Inc. |
|
42,657 |
|
2,624 |
|
|
|
Willis Towers Watson plc |
|
12,423 |
|
2,459 |
|
|
|
Charles Schwab Corp. |
|
54,818 |
|
2,098 |
|
|
|
Hartford Financial Services Group Inc. |
|
34,745 |
|
2,025 |
|
|
|
Progressive Corp. |
|
26,382 |
|
2,000 |
|
|
|
Synchrony Financial |
|
60,953 |
|
1,954 |
|
|
|
M&T Bank Corp. |
|
13,130 |
|
1,920 |
|
|
|
Fifth Third Bancorp |
|
69,881 |
|
1,848 |
|
|
|
State Street Corp. |
|
35,866 |
|
1,840 |
|
|
|
Marsh & McLennan Cos. Inc. |
|
18,187 |
|
1,817 |
|
|
|
Moody’s Corp. |
|
8,087 |
|
1,743 |
|
|
|
Aon plc |
|
8,555 |
|
1,667 |
|
|
|
KeyCorp |
|
96,893 |
|
1,608 |
|
|
|
Citizens Financial Group Inc. |
|
44,046 |
|
1,486 |
|
|
|
Regions Financial Corp. |
|
97,354 |
|
1,423 |
|
|
|
Huntington Bancshares Inc. |
|
100,542 |
|
1,332 |
|
S&P 500 Value Index Fund
|
|
|
|
Shares |
|
Market |
) |
|
|
Principal Financial Group Inc. |
|
24,896 |
|
1,325 |
|
|
|
T. Rowe Price Group Inc. |
|
11,366 |
|
1,257 |
|
|
|
Loews Corp. |
|
25,790 |
|
1,240 |
|
|
|
Lincoln National Corp. |
|
19,444 |
|
1,028 |
|
|
|
Raymond James Financial Inc. |
|
12,143 |
|
953 |
|
|
|
Everest Re Group Ltd. |
|
3,914 |
|
923 |
|
|
|
Discover Financial Services |
|
10,890 |
|
871 |
|
|
|
Northern Trust Corp. |
|
9,833 |
|
865 |
|
|
|
Cincinnati Financial Corp. |
|
7,584 |
|
853 |
|
|
|
Ameriprise Financial Inc. |
|
5,920 |
|
764 |
|
|
|
Franklin Resources Inc. |
|
28,292 |
|
743 |
|
|
|
Assurant Inc. |
|
5,914 |
|
727 |
|
|
|
Zions Bancorp NA |
|
17,508 |
|
719 |
|
|
|
Invesco Ltd. |
|
38,479 |
|
604 |
|
|
|
People’s United Financial Inc. |
|
38,161 |
|
548 |
|
|
|
Arthur J Gallagher & Co. |
|
5,875 |
|
533 |
|
|
|
Unum Group |
|
20,351 |
|
517 |
|
|
|
Comerica Inc. |
|
8,008 |
|
494 |
|
|
* |
Globe Life Inc. |
|
5,362 |
|
479 |
|
|
|
Jefferies Financial Group Inc. |
|
24,332 |
|
454 |
|
|
|
E*TRADE Financial Corp. |
|
9,637 |
|
402 |
|
|
|
Affiliated Managers Group Inc. |
|
4,918 |
|
377 |
|
|
|
Nasdaq Inc. |
|
3,345 |
|
334 |
|
|
|
|
|
|
|
230,192 |
|
|
Health Care (10.7%) |
|
|
|
|
| |
|
|
UnitedHealth Group Inc. |
|
91,348 |
|
21,375 |
|
|
|
Johnson & Johnson |
|
104,635 |
|
13,431 |
|
|
|
Gilead Sciences Inc. |
|
122,221 |
|
7,766 |
|
|
|
CVS Health Corp. |
|
124,869 |
|
7,607 |
|
|
|
Anthem Inc. |
|
24,722 |
|
6,465 |
|
|
|
Allergan plc |
|
29,618 |
|
4,731 |
|
|
|
AbbVie Inc. |
|
68,205 |
|
4,484 |
|
|
|
Amgen Inc. |
|
19,933 |
|
4,158 |
|
|
|
Danaher Corp. |
|
26,647 |
|
3,786 |
|
|
|
Bristol-Myers Squibb Co. |
|
77,039 |
|
3,703 |
|
|
* |
Celgene Corp. |
|
35,930 |
|
3,478 |
|
|
|
Stryker Corp. |
|
12,206 |
|
2,693 |
|
|
|
Zoetis Inc. |
|
20,706 |
|
2,618 |
|
|
|
McKesson Corp. |
|
18,259 |
|
2,525 |
|
|
|
Becton Dickinson and Co. |
|
9,593 |
|
2,436 |
|
|
|
Cigna Corp. |
|
15,684 |
|
2,415 |
|
|
|
Baxter International Inc. |
|
25,995 |
|
2,286 |
|
|
* |
Biogen Inc. |
|
8,573 |
|
1,884 |
|
|
* |
Centene Corp. |
|
39,731 |
|
1,852 |
|
|
* |
Laboratory Corp. of America Holdings |
|
9,468 |
|
1,586 |
|
|
|
Quest Diagnostics Inc. |
|
12,915 |
|
1,322 |
|
|
|
Cardinal Health Inc. |
|
28,647 |
|
1,236 |
|
|
|
AmerisourceBergen Corp. Class A |
|
14,949 |
|
1,230 |
|
|
|
Dentsply Sirona Inc. |
|
22,489 |
|
1,173 |
|
|
|
Agilent Technologies Inc. |
|
14,273 |
|
1,015 |
|
|
* |
Mylan NV |
|
49,542 |
|
965 |
|
|
* |
Regeneron Pharmaceuticals Inc. |
|
3,099 |
|
899 |
|
|
|
Cooper Cos. Inc. |
|
2,711 |
|
840 |
|
|
* |
Incyte Corp. |
|
8,896 |
|
728 |
|
|
* |
IQVIA Holdings Inc. |
|
4,095 |
|
635 |
|
|
* |
Align Technology Inc. |
|
3,429 |
|
628 |
|
|
* |
Hologic Inc. |
|
11,593 |
|
572 |
|
|
* |
Waters Corp. |
|
2,671 |
|
566 |
|
|
* |
Mettler-Toledo International Inc. |
|
858 |
|
564 |
|
|
|
Perrigo Co. plc |
|
12,024 |
|
562 |
|
|
|
Universal Health Services Inc. Class B |
|
3,425 |
|
495 |
|
|
* |
Henry Schein Inc. |
|
7,883 |
|
486 |
|
|
|
PerkinElmer Inc. |
|
5,127 |
|
424 |
|
|
* |
Nektar Therapeutics Class A |
|
16,751 |
|
294 |
|
|
|
|
|
|
|
115,913 |
|
|
Industrials (10.1%) |
|
|
|
|
| |
|
|
General Electric Co. |
|
838,243 |
|
6,916 |
|
|
|
Caterpillar Inc. |
|
54,968 |
|
6,541 |
|
|
|
Northrop Grumman Corp. |
|
16,321 |
|
6,004 |
|
|
|
Honeywell International Inc. |
|
34,977 |
|
5,758 |
|
|
|
United Technologies Corp. |
|
40,543 |
|
5,280 |
|
|
|
General Dynamics Corp. |
|
26,101 |
|
4,992 |
|
|
|
Deere & Co. |
|
30,469 |
|
4,720 |
|
|
|
3M Co. |
|
27,149 |
|
4,391 |
|
|
|
United Parcel Service Inc. Class B |
|
33,524 |
|
3,978 |
|
|
|
Lockheed Martin Corp. |
|
9,452 |
|
3,631 |
|
|
|
Emerson Electric Co. |
|
59,076 |
|
3,520 |
|
|
|
Delta Air Lines Inc. |
|
57,262 |
|
3,313 |
|
|
|
Johnson Controls International plc |
|
76,493 |
|
3,265 |
|
|
|
Raytheon Co. |
|
15,261 |
|
2,828 |
|
|
|
Illinois Tool Works Inc. |
|
17,284 |
|
2,590 |
|
|
|
Southwest Airlines Co. |
|
46,980 |
|
2,458 |
|
|
|
PACCAR Inc. |
|
33,298 |
|
2,183 |
|
|
|
L3Harris Technologies Inc. |
|
10,215 |
|
2,160 |
|
|
|
Cummins Inc. |
|
13,926 |
|
2,079 |
|
|
|
Parker-Hannifin Corp. |
|
12,329 |
|
2,044 |
|
|
|
FedEx Corp. |
|
12,673 |
|
2,010 |
|
|
|
Fortive Corp. |
|
28,342 |
|
2,009 |
|
|
|
Stanley Black & Decker Inc. |
|
14,564 |
|
1,935 |
|
|
* |
United Airlines Holdings Inc. |
|
21,246 |
|
1,791 |
|
|
|
Eaton Corp. plc |
|
21,147 |
|
1,707 |
|
S&P 500 Value Index Fund
|
|
|
|
Shares |
|
Market |
) |
|
|
Norfolk Southern Corp. |
|
7,925 |
|
1,379 |
|
|
|
Dover Corp. |
|
13,967 |
|
1,309 |
|
|
|
CH Robinson Worldwide Inc. |
|
13,124 |
|
1,109 |
|
|
|
Republic Services Inc. Class A |
|
11,806 |
|
1,054 |
|
|
|
Textron Inc. |
|
22,369 |
|
1,007 |
|
|
|
American Airlines Group Inc. |
|
38,050 |
|
1,001 |
|
|
|
Arconic Inc. |
|
38,377 |
|
992 |
|
|
|
Jacobs Engineering Group Inc. |
|
11,029 |
|
980 |
|
|
|
Rockwell Automation Inc. |
|
5,688 |
|
869 |
|
|
|
Huntington Ingalls Industries Inc. |
|
3,993 |
|
835 |
|
|
|
Snap-on Inc. |
|
5,323 |
|
791 |
|
|
|
Verisk Analytics Inc. Class A |
|
4,881 |
|
788 |
|
|
|
Nielsen Holdings plc |
|
34,161 |
|
709 |
|
|
|
Alaska Air Group Inc. |
|
11,868 |
|
709 |
|
|
|
Fortune Brands Home & Security Inc. |
|
13,442 |
|
686 |
|
|
|
Kansas City Southern |
|
5,414 |
|
681 |
|
|
|
Equifax Inc. |
|
4,530 |
|
663 |
|
|
|
Wabtec Corp. |
|
9,448 |
|
654 |
|
|
|
AO Smith Corp. |
|
13,553 |
|
630 |
|
|
|
Masco Corp. |
|
14,952 |
|
609 |
|
|
|
Pentair plc |
|
15,302 |
|
550 |
|
|
* |
Copart Inc. |
|
6,206 |
|
468 |
|
|
|
Quanta Services Inc. |
|
13,625 |
|
462 |
|
|
|
Allegion plc |
|
4,424 |
|
426 |
|
|
* |
United Rentals Inc. |
|
3,559 |
|
401 |
|
|
|
Robert Half International Inc. |
|
6,146 |
|
329 |
|
|
|
JB Hunt Transport Services Inc. |
|
2,753 |
|
297 |
|
|
|
Flowserve Corp. |
|
5,926 |
|
253 |
|
|
|
|
|
|
|
108,744 |
|
|
Information Technology (16.3%) |
|
|
|
|
| |
|
|
Apple Inc. |
|
420,146 |
|
87,701 |
|
|
|
International Business Machines Corp. |
|
85,224 |
|
11,550 |
|
|
|
Intel Corp. |
|
142,011 |
|
6,733 |
|
|
|
Accenture plc Class A |
|
33,109 |
|
6,561 |
|
|
|
Oracle Corp. |
|
116,624 |
|
6,071 |
|
|
* |
Micron Technology Inc. |
|
106,375 |
|
4,816 |
|
|
|
NVIDIA Corp. |
|
27,513 |
|
4,609 |
|
|
|
QUALCOMM Inc. |
|
56,089 |
|
4,362 |
|
|
|
Applied Materials Inc. |
|
89,980 |
|
4,321 |
|
|
|
Texas Instruments Inc. |
|
30,663 |
|
3,795 |
|
|
|
Cognizant Technology Solutions Corp. Class A |
|
54,718 |
|
3,359 |
|
|
|
Lam Research Corp. |
|
14,411 |
|
3,034 |
|
|
|
TE Connectivity Ltd. |
|
32,380 |
|
2,954 |
|
|
|
HP Inc. |
|
144,786 |
|
2,648 |
|
|
|
Corning Inc. |
|
75,425 |
|
2,101 |
|
|
|
Analog Devices Inc. |
|
16,350 |
|
1,796 |
|
|
|
Hewlett Packard Enterprise Co. |
|
128,716 |
|
1,779 |
|
|
|
Western Digital Corp. |
|
28,162 |
|
1,613 |
|
|
|
Amphenol Corp. Class A |
|
17,803 |
|
1,558 |
|
|
|
Symantec Corp. |
|
59,421 |
|
1,382 |
|
|
|
KLA Corp. |
|
6,991 |
|
1,034 |
|
|
* |
FleetCor Technologies Inc. |
|
3,314 |
|
989 |
|
|
|
Microchip Technology Inc. |
|
11,206 |
|
967 |
|
|
|
Paychex Inc. |
|
11,683 |
|
954 |
|
|
* |
Synopsys Inc. |
|
6,197 |
|
879 |
|
|
|
DXC Technology Co. |
|
25,784 |
|
857 |
|
|
* |
Qorvo Inc. |
|
11,452 |
|
818 |
|
|
|
Juniper Networks Inc. |
|
33,090 |
|
766 |
|
|
* |
Cadence Design Systems Inc. |
|
11,077 |
|
759 |
|
|
|
Total System Services Inc. |
|
5,008 |
|
672 |
|
|
|
FLIR Systems Inc. |
|
13,013 |
|
641 |
|
|
|
Maxim Integrated Products Inc. |
|
10,473 |
|
571 |
|
|
|
Jack Henry & Associates Inc. |
|
3,857 |
|
559 |
|
|
|
Xerox Holdings Corp. |
|
18,782 |
|
544 |
|
|
|
Western Union Co. |
|
23,997 |
|
531 |
|
|
|
Skyworks Solutions Inc. |
|
6,476 |
|
487 |
|
|
|
Seagate Technology plc |
|
8,716 |
|
438 |
|
|
* |
IPG Photonics Corp. |
|
3,430 |
|
424 |
|
|
|
|
|
|
|
175,633 |
|
|
Materials (3.3%) |
|
|
|
|
| |
|
|
DuPont de Nemours Inc. |
|
71,973 |
|
4,889 |
|
|
|
Linde plc |
|
17,218 |
|
3,253 |
|
|
|
Newmont Goldcorp Corp. |
|
78,785 |
|
3,143 |
|
|
|
Dow Inc. |
|
71,976 |
|
3,068 |
|
|
|
Corteva Inc. |
|
71,978 |
|
2,110 |
|
|
|
LyondellBasell Industries NV Class A |
|
26,416 |
|
2,044 |
|
|
|
Sherwin-Williams Co. |
|
2,968 |
|
1,563 |
|
|
|
International Paper Co. |
|
38,188 |
|
1,493 |
|
|
|
Nucor Corp. |
|
29,292 |
|
1,435 |
|
|
|
PPG Industries Inc. |
|
12,256 |
|
1,358 |
|
|
|
International Flavors & Fragrances Inc. |
|
9,742 |
|
1,069 |
|
|
|
Vulcan Materials Co. |
|
6,603 |
|
933 |
|
|
|
Packaging Corp. of America |
|
9,080 |
|
913 |
|
|
|
Ball Corp. |
|
10,622 |
|
854 |
|
|
|
Westrock Co. |
|
24,701 |
|
844 |
|
|
|
Amcor plc |
|
79,569 |
|
781 |
|
|
|
Freeport-McMoRan Inc. |
|
76,682 |
|
705 |
|
|
|
Martin Marietta Materials Inc. |
|
2,582 |
|
655 |
|
|
|
Celanese Corp. Class A |
|
5,720 |
|
649 |
|
S&P 500 Value Index Fund
|
|
|
|
Shares |
|
Market |
) |
|
|
Albemarle Corp. |
|
10,183 |
|
629 |
|
|
|
FMC Corp. |
|
7,087 |
|
612 |
|
|
|
Sealed Air Corp. |
|
14,964 |
|
596 |
|
|
|
CF Industries Holdings Inc. |
|
12,111 |
|
584 |
|
|
|
Avery Dennison Corp. |
|
4,462 |
|
516 |
|
|
|
Eastman Chemical Co. |
|
6,117 |
|
400 |
|
|
|
Mosaic Co. |
|
18,076 |
|
332 |
|
|
|
|
|
|
|
35,428 |
|
|
Real Estate (3.0%) |
|
|
|
|
| |
|
|
Prologis Inc. |
|
60,633 |
|
5,070 |
|
|
|
Crown Castle International Corp. |
|
23,578 |
|
3,423 |
|
|
|
Ventas Inc. |
|
35,504 |
|
2,606 |
|
|
|
Weyerhaeuser Co. |
|
71,580 |
|
1,883 |
|
|
|
Equinix Inc. |
|
3,233 |
|
1,798 |
|
|
|
Alexandria Real Estate Equities Inc. |
|
10,854 |
|
1,626 |
|
|
* |
CBRE Group Inc. Class A |
|
30,062 |
|
1,571 |
|
|
|
Simon Property Group Inc. |
|
9,798 |
|
1,459 |
|
|
|
SBA Communications Corp. Class A |
|
4,573 |
|
1,200 |
|
|
|
Digital Realty Trust Inc. |
|
8,808 |
|
1,089 |
|
|
|
Equity Residential |
|
11,392 |
|
966 |
|
|
|
AvalonBay Communities Inc. |
|
4,286 |
|
911 |
|
|
|
Boston Properties Inc. |
|
6,979 |
|
896 |
|
|
|
Iron Mountain Inc. |
|
27,563 |
|
878 |
|
|
|
Kimco Realty Corp. |
|
40,532 |
|
745 |
|
|
|
SL Green Realty Corp. |
|
8,118 |
|
651 |
|
|
|
Mid-America Apartment Communities Inc. |
|
4,819 |
|
611 |
|
|
|
Host Hotels & Resorts Inc. |
|
37,722 |
|
605 |
|
|
|
Realty Income Corp. |
|
8,166 |
|
603 |
|
|
|
UDR Inc. |
|
12,177 |
|
587 |
|
|
|
Regency Centers Corp. |
|
8,825 |
|
569 |
|
|
|
Essex Property Trust Inc. |
|
1,642 |
|
528 |
|
|
|
Extra Space Storage Inc. |
|
4,165 |
|
508 |
|
|
|
Vornado Realty Trust |
|
8,187 |
|
495 |
|
|
|
Federal Realty Investment Trust |
|
3,738 |
|
483 |
|
|
|
Duke Realty Corp. |
|
11,401 |
|
379 |
|
|
|
Macerich Co. |
|
10,303 |
|
294 |
|
|
|
|
|
|
|
32,434 |
|
|
Utilities (5.2%) |
|
|
|
|
| |
|
|
Duke Energy Corp. |
|
69,980 |
|
6,490 |
|
|
|
Southern Co. |
|
100,048 |
|
5,829 |
|
|
|
Exelon Corp. |
|
93,325 |
|
4,410 |
|
|
|
American Electric Power Co. Inc. |
|
47,431 |
|
4,323 |
|
|
|
Sempra Energy |
|
26,374 |
|
3,735 |
|
|
|
Dominion Energy Inc. |
|
40,871 |
|
3,173 |
|
|
|
Public Service Enterprise Group Inc. |
|
48,577 |
|
2,937 |
|
|
|
Consolidated Edison Inc. |
|
31,436 |
|
2,795 |
|
|
|
Edison International |
|
34,008 |
|
2,458 |
|
|
|
DTE Energy Co. |
|
17,608 |
|
2,283 |
|
|
|
FirstEnergy Corp. |
|
48,523 |
|
2,232 |
|
|
|
Entergy Corp. |
|
18,254 |
|
2,060 |
|
|
|
PPL Corp. |
|
69,363 |
|
2,050 |
|
|
|
Xcel Energy Inc. |
|
27,209 |
|
1,747 |
|
|
|
Evergy Inc. |
|
23,460 |
|
1,525 |
|
|
|
WEC Energy Group Inc. |
|
15,765 |
|
1,510 |
|
|
|
CenterPoint Energy Inc. |
|
48,257 |
|
1,336 |
|
|
|
Eversource Energy |
|
13,890 |
|
1,113 |
|
|
|
NiSource Inc. |
|
35,851 |
|
1,059 |
|
|
|
AES Corp. |
|
63,781 |
|
978 |
|
|
|
American Water Works Co. Inc. |
|
6,422 |
|
818 |
|
|
|
CMS Energy Corp. |
|
11,992 |
|
756 |
|
|
|
Atmos Energy Corp. |
|
4,655 |
|
513 |
|
|
|
Alliant Energy Corp. |
|
9,757 |
|
512 |
|
|
|
|
|
|
|
56,642 |
|
|
Total Common Stocks |
|
|
|
1,075,849 |
| |
|
Temporary Cash Investment (0.0%)1 |
|
|
|
|
| |
|
Money Market Fund (0.0%) |
|
|
|
|
| |
|
2 |
Vanguard Market Liquidity Fund, 2.249% (Cost $2) |
|
16 |
|
2 |
|
|
Total Investments (99.8%) (Cost $991,575) |
|
|
|
1,075,851 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (0.2%) |
|
|
|
|
| |
|
Other Assets |
|
|
|
|
| |
|
Investment in Vanguard |
|
|
|
53 |
| |
|
Receivables for Accrued Income |
|
|
|
2,574 |
| |
|
Receivables for Capital Shares Issued |
|
|
|
6,500 |
| |
|
Other Assets3 |
|
|
|
88 |
| |
|
Total Other Assets |
|
|
|
9,215 |
| |
|
Liabilities |
|
|
|
|
| |
|
Payables for Investment Securities Purchased |
|
|
|
(6,872 |
) | |
|
Payables to Vanguard |
|
|
|
(85 |
) | |
|
Variation Margin Payable—Futures Contracts |
|
|
|
(1 |
) | |
|
Other Liabilities |
|
|
|
(245 |
) | |
|
Total Liabilities |
|
|
|
(7,203 |
) | |
|
Net Assets (100%) |
|
|
|
1,077,863 |
| |
S&P 500 Value Index Fund
At August 31, 2019, net assets consisted of:
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
|
|
1,048,347 |
|
|
Total Distributable Earnings (Loss) |
|
|
|
29,516 |
|
|
Net Assets |
|
|
|
1,077,863 |
|
|
|
|
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
|
|
|
Applicable to 8,825,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
983,645 |
| ||
|
Net Asset Value Per Share— ETF Shares |
|
|
|
$111.46 |
|
|
Institutional Shares—Net Assets |
|
|
|
|
|
|
Applicable to 385,515 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
94,218 |
| ||
|
Net Asset Value Per Share— Institutional Shares |
|
|
|
$244.40 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Cash of $88,000 has been segregated as initial margin for open futures contracts.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
($000) |
|
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration |
|
Contracts |
|
Amount |
|
(Depreciation) |
|
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini S&P 500 Index |
|
September 2019 |
|
14 |
|
2,047 |
|
4 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Statement of Operations
|
|
Year Ended |
|
|
August 31, 2019 |
|
|
($000) |
|
Investment Income |
|
|
Income |
|
|
Dividends |
26,205 |
|
Interest1 |
33 |
|
Securities Lending—Net |
9 |
|
Total Income |
26,247 |
|
Expenses |
|
|
The Vanguard Group—Note B |
|
|
Investment Advisory Services |
151 |
|
Management and Administrative—ETF Shares |
639 |
|
Management and Administrative—Institutional Shares |
82 |
|
Marketing and Distribution—ETF Shares |
49 |
|
Marketing and Distribution—Institutional Shares |
2 |
|
Custodian Fees |
26 |
|
Auditing Fees |
32 |
|
Shareholders’ Reports—ETF Shares |
20 |
|
Shareholders’ Reports—Institutional Shares |
— |
|
Total Expenses |
1,001 |
|
Expenses Paid Indirectly |
(14) |
|
Net Expenses |
987 |
|
Net Investment Income |
25,260 |
|
Realized Net Gain (Loss) |
|
|
Investment Securities Sold1,2 |
15,755 |
|
Futures Contracts |
(132) |
|
Realized Net Gain (Loss) |
15,623 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Investment Securities1 |
(18,070) |
|
Futures Contracts |
(73) |
|
Change in Unrealized Appreciation (Depreciation) |
(18,143) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
22,740 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $26,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $60,144,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
25,260 |
|
20,545 |
|
|
Realized Net Gain (Loss) |
|
15,623 |
|
45,518 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(18,143 |
) |
38,047 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
22,740 |
|
104,110 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(22,989 |
) |
(19,005 |
) |
|
Institutional Shares |
|
(2,133 |
) |
(803 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(25,122 |
) |
(19,808 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
112,784 |
|
24,724 |
|
|
Institutional Shares |
|
5,791 |
|
81,379 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
|
118,575 |
|
106,103 |
|
|
Total Increase (Decrease) |
|
116,193 |
|
190,405 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
961,670 |
|
771,265 |
|
|
End of Period |
|
1,077,863 |
|
961,670 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding |
|
Year Ended August 31, |
| ||||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$111.93 |
|
$101.33 |
|
$92.41 |
|
$83.75 |
|
$88.54 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
2.694 |
1 |
2.558 |
1 |
2.422 |
1 |
2.125 |
|
1.932 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(.511 |
) |
10.535 |
|
8.726 |
|
8.605 |
|
(4.838 |
) |
|
Total from Investment Operations |
|
2.183 |
|
13.093 |
|
11.148 |
|
10.730 |
|
(2.906 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(2.653 |
) |
(2.493 |
) |
(2.228 |
) |
(2.070 |
) |
(1.884 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(2.653 |
) |
(2.493 |
) |
(2.228 |
) |
(2.070 |
) |
(1.884 |
) |
|
Net Asset Value, End of Period |
|
$111.46 |
|
$111.93 |
|
$101.33 |
|
$92.41 |
|
$83.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
2.05% |
|
13.08% |
|
12.19% |
|
13.03% |
|
-3.41% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$984 |
|
$873 |
|
$768 |
|
$487 |
|
$274 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.10% |
|
0.15% |
|
0.15% |
|
0.15% |
|
0.15% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
2.48% |
|
2.38% |
|
2.46% |
|
2.64% |
|
2.37% |
|
|
Portfolio Turnover Rate2 |
|
28% |
|
20% |
|
16% |
|
22% |
|
23% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Financial Highlights
Institutional Shares
|
|
|
|
|
|
|
|
|
|
|
March 3, |
|
|
|
|
|
|
|
|
|
|
|
|
20151 to |
|
|
For a Share Outstanding |
|
Year Ended August 31, |
|
Aug. 31, |
| ||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$245.49 |
|
$222.23 |
|
$202.64 |
|
$183.75 |
|
$199.34 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
5.950 |
2 |
6.077 |
2 |
5.202 |
2 |
4.765 |
|
2.352 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(1.115 |
) |
22.813 |
|
19.393 |
|
18.875 |
|
(15.830 |
) |
|
Total from Investment Operations |
|
4.835 |
|
28.890 |
|
24.595 |
|
23.640 |
|
(13.478 |
) |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(5.925 |
) |
(5.630 |
) |
(5.005 |
) |
(4.750 |
) |
(2.112 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(5.925 |
) |
(5.630 |
) |
(5.005 |
) |
(4.750 |
) |
(2.112 |
) |
|
Net Asset Value, End of Period |
|
$244.40 |
|
$245.49 |
|
$222.23 |
|
$202.64 |
|
$183.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
2.07% |
|
13.18% |
|
12.27% |
|
13.09% |
|
-6.84% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$94 |
|
$89 |
|
$4 |
|
$7 |
|
$11 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08%3 |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
2.50% |
|
2.45% |
|
2.53% |
|
2.71% |
|
2.44%3 |
|
|
Portfolio Turnover Rate4 |
|
28% |
|
20% |
|
16% |
|
22% |
|
23% |
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P 500 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
S&P 500 Value Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $53,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $14,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
S&P 500 Value Index Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
60,146 |
|
|
Total Distributable Earnings (Loss) |
|
(60,146 |
) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
5,000 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(59,693 |
) |
|
Net Unrealized Gains (Losses) |
|
84,276 |
|
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
991,575 |
|
|
Gross Unrealized Appreciation |
|
149,869 |
|
|
Gross Unrealized Depreciation |
|
(65,593 |
) |
|
Net Unrealized Appreciation (Depreciation) |
|
84,276 |
|
F. During the year ended August 31, 2019, the fund purchased $714,202,000 of investment securities and sold $593,942,000 of investment securities, other than temporary cash investments. Purchases and sales include $402,305,000 and $314,195,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $193,989,000 and $169,405,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P 500 Value Index Fund
G. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31,
|
| ||||||
|
|
|
|
|
2019 |
|
2018 |
| ||
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000 |
) |
($000 |
) |
(000
|
) |
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
429,712 |
|
4,150 |
|
243,004 |
|
2,225 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(316,928 |
) |
(3,125 |
) |
(218,280 |
) |
(2,000 |
) |
|
Net Increase (Decrease)—ETF Shares |
|
112,784 |
|
1,025 |
|
24,724 |
|
225 |
|
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
10,110 |
|
43 |
|
82,685 |
|
349 |
|
|
Issued in Lieu of Cash Distributions |
|
1,835 |
|
8 |
|
732 |
|
3 |
|
|
Redeemed |
|
(6,154 |
) |
(26 |
) |
(2,038 |
) |
(8 |
) |
|
Net Increase (Decrease)—Institutional Shares |
|
5,791 |
|
25 |
|
81,379 |
|
344 |
|
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
S&P 500 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
Periods Ended August 31, 2019
|
|
| ||||
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
Year |
|
Years |
|
(9/7/2010)
|
|
Investment |
|
|
S&P 500 Growth Index Fund ETF Shares Net Asset Value |
|
3.60% |
|
12.35% |
|
15.58% |
|
$36,716 |
|
|
S&P 500 Growth Index Fund ETF Shares Market Price |
|
3.56 |
|
12.34 |
|
15.58 |
|
36,704 |
|
|
S&P 500 Growth Index |
|
3.70 |
|
12.51 |
|
15.76 |
|
37,214 |
|
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
Since |
Final Value |
|
|
Inception |
of a $5,000,000 |
|
|
(4/5/2019)1 |
Investment
|
|
S&P 500 Growth Index Fund Institutional Shares |
3.22% |
$5,161,128 |
|
S&P 500 Growth Index |
3.27 |
5,163,295 |
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
1.30 |
5,065,075 |
1 Institutional Shares commenced operations on October 17, 2018, and on December 13, 2018, all outstanding shares were redeemed; the return for this period was -5.47%. On April 5, 2019, the class recommenced operations. The total returns shown for both the fund and its comparative standards are based on the period beginning April 5, 2019.
See Financial Highlights for dividend and capital gains information.
S&P 500 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
Since |
|
|
One |
Five |
Inception |
|
|
Year |
Years |
(9/7/2010) |
|
S&P 500 Growth Index Fund ETF Shares Market Price |
3.56% |
78.96% |
267.04% |
|
S&P 500 Growth Index Fund ETF Shares Net Asset Value |
3.60 |
79.02 |
267.16 |
|
S&P 500 Growth Index |
3.70 |
80.29 |
272.14 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P 500 Growth Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
14.2% |
|
Consumer Discretionary |
12.5 |
|
Consumer Staples |
5.7 |
|
Energy |
2.7 |
|
Financials |
5.4 |
|
Health Care |
16.5 |
|
Industrials |
8.5 |
|
Information Technology |
26.9 |
|
Materials |
2.2 |
|
Real Estate |
3.5 |
|
Utilities |
1.9 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.9%)1 |
|
|
|
|
| |
|
Communication Services (14.2%) |
|
|
|
|
| |
|
* |
Facebook Inc. Class A |
|
503,157 |
|
93,421 |
|
|
* |
Alphabet Inc. Class C |
|
64,183 |
|
76,256 |
|
|
* |
Alphabet Inc. Class A |
|
62,710 |
|
74,658 |
|
|
|
Verizon Communications Inc. |
|
866,127 |
|
50,374 |
|
|
|
Walt Disney Co. |
|
204,742 |
|
28,103 |
|
|
* |
Netflix Inc. |
|
91,567 |
|
26,898 |
|
|
|
Comcast Corp. Class A |
|
436,344 |
|
19,313 |
|
|
* |
Twitter Inc. |
|
152,925 |
|
6,522 |
|
|
* |
Charter Communications Inc. Class A |
|
15,492 |
|
6,345 |
|
|
* |
Take-Two Interactive Software Inc. |
|
23,568 |
|
3,110 |
|
|
* |
Electronic Arts Inc. |
|
29,823 |
|
2,794 |
|
|
* |
T-Mobile US Inc. |
|
16,563 |
|
1,293 |
|
|
|
Fox Corp. Class A |
|
34,136 |
|
1,132 |
|
|
* |
TripAdvisor Inc. |
|
14,438 |
|
549 |
|
|
|
Fox Corp. Class B |
|
15,646 |
|
513 |
|
|
|
|
|
|
|
391,281 |
|
|
Consumer Discretionary (12.5%) |
|
|
|
|
| |
|
* |
Amazon.com Inc. |
|
86,611 |
|
153,846 |
|
|
|
McDonald’s Corp. |
|
159,909 |
|
34,855 |
|
|
|
Home Depot Inc. |
|
105,996 |
|
24,157 |
|
|
|
TJX Cos. Inc. |
|
253,958 |
|
13,960 |
|
|
|
Starbucks Corp. |
|
129,367 |
|
12,492 |
|
|
|
NIKE Inc. Class B |
|
134,222 |
|
11,342 |
|
|
* |
Booking Holdings Inc. |
|
4,352 |
|
8,558 |
|
|
|
Lowe’s Cos. Inc. |
|
75,423 |
|
8,462 |
|
|
|
Dollar General Corp. |
|
54,102 |
|
8,445 |
|
|
|
Yum! Brands Inc. |
|
64,080 |
|
7,483 |
|
|
* |
O’Reilly Automotive Inc. |
|
16,392 |
|
6,291 |
|
|
* |
AutoZone Inc. |
|
5,137 |
|
5,659 |
|
|
|
Hilton Worldwide Holdings Inc. |
|
60,959 |
|
5,631 |
|
|
|
VF Corp. |
|
68,198 |
|
5,589 |
|
|
|
Ross Stores Inc. |
|
43,861 |
|
4,650 |
|
|
* |
Chipotle Mexican Grill Inc. Class A |
|
5,108 |
|
4,283 |
|
|
|
Marriott International Inc. Class A |
|
23,155 |
|
2,919 |
|
|
* |
Ulta Beauty Inc. |
|
11,630 |
|
2,765 |
|
|
|
Aptiv plc |
|
32,955 |
|
2,741 |
|
|
|
eBay Inc. |
|
65,232 |
|
2,628 |
|
|
|
Tractor Supply Co. |
|
25,283 |
|
2,576 |
|
|
|
Expedia Group Inc. |
|
17,947 |
|
2,335 |
|
|
|
Darden Restaurants Inc. |
|
18,000 |
|
2,178 |
|
|
|
Hasbro Inc. |
|
13,805 |
|
1,525 |
|
|
|
Advance Auto Parts Inc. |
|
9,772 |
|
1,348 |
|
|
* |
CarMax Inc. |
|
15,655 |
|
1,304 |
|
|
|
Garmin Ltd. |
|
15,738 |
|
1,284 |
|
|
|
Tiffany & Co. |
|
10,209 |
|
866 |
|
|
|
Tapestry Inc. |
|
40,810 |
|
843 |
|
|
|
Newell Brands Inc. |
|
42,208 |
|
701 |
|
|
|
H&R Block Inc. |
|
26,527 |
|
642 |
|
|
* |
Under Armour Inc. Class A |
|
25,966 |
|
483 |
|
|
|
Hanesbrands Inc. |
|
33,116 |
|
452 |
|
|
* |
Under Armour Inc. Class C |
|
26,209 |
|
443 |
|
|
|
Macy’s Inc. |
|
27,010 |
|
399 |
|
|
|
Nordstrom Inc. |
|
10,729 |
|
311 |
|
|
|
Foot Locker Inc. |
|
34 |
|
1 |
|
|
|
|
|
|
|
344,447 |
|
|
Consumer Staples (5.6%) |
|
|
|
|
| |
|
|
Procter & Gamble Co. |
|
294,177 |
|
35,369 |
|
|
|
PepsiCo Inc. |
|
179,085 |
|
24,486 |
|
|
|
Coca-Cola Co. |
|
418,138 |
|
23,014 |
|
|
|
Philip Morris International Inc. |
|
166,173 |
|
11,980 |
|
|
|
Colgate-Palmolive Co. |
|
102,486 |
|
7,599 |
|
|
|
Constellation Brands Inc. Class A |
|
35,019 |
|
7,156 |
|
|
|
Estee Lauder Cos. Inc. Class A |
|
31,227 |
|
6,183 |
|
|
|
Kimberly-Clark Corp. |
|
38,881 |
|
5,487 |
|
|
* |
Monster Beverage Corp. |
|
81,969 |
|
4,809 |
|
|
|
Sysco Corp. |
|
62,383 |
|
4,637 |
|
|
|
Clorox Co. |
|
26,674 |
|
4,219 |
|
|
|
McCormick & Co. Inc. |
|
25,647 |
|
4,177 |
|
|
|
Church & Dwight Co. Inc. |
|
51,566 |
|
4,114 |
|
|
|
Kellogg Co. |
|
52,060 |
|
3,269 |
|
|
|
Hershey Co. |
|
17,796 |
|
2,820 |
|
S&P 500 Growth Index Fund
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
Hormel Foods Corp. |
|
57,066 |
|
2,432 |
|
|
|
Lamb Weston Holdings Inc. |
|
30,587 |
|
2,153 |
|
|
|
Brown-Forman Corp. Class B |
|
34,790 |
|
2,052 |
|
|
|
|
|
|
|
155,956 |
|
|
Energy (2.7%) |
|
|
|
|
| |
|
|
Exxon Mobil Corp. |
|
496,245 |
|
33,983 |
|
|
|
ConocoPhillips |
|
236,716 |
|
12,352 |
|
|
|
Occidental Petroleum Corp. |
|
187,524 |
|
8,154 |
|
|
|
ONEOK Inc. |
|
49,288 |
|
3,513 |
|
|
|
Diamondback Energy Inc. |
|
32,426 |
|
3,180 |
|
|
|
Marathon Oil Corp. |
|
171,069 |
|
2,025 |
|
|
|
Devon Energy Corp. |
|
86,862 |
|
1,910 |
|
|
|
Hess Corp. |
|
29,333 |
|
1,847 |
|
|
|
Apache Corp. |
|
78,764 |
|
1,699 |
|
|
|
Concho Resources Inc. |
|
23,112 |
|
1,691 |
|
|
|
HollyFrontier Corp. |
|
32,912 |
|
1,460 |
|
|
|
Cabot Oil & Gas Corp. |
|
61,229 |
|
1,048 |
|
|
|
Cimarex Energy Co. |
|
11,828 |
|
506 |
|
|
|
|
|
|
|
73,368 |
|
|
Financials (5.4%) |
|
|
|
|
| |
|
* |
Berkshire Hathaway Inc. Class B |
|
194,797 |
|
39,624 |
|
|
|
US Bancorp |
|
313,432 |
|
16,515 |
|
|
|
S&P Global Inc. |
|
51,537 |
|
13,409 |
|
|
|
Intercontinental Exchange Inc. |
|
118,091 |
|
11,039 |
|
|
|
American Express Co. |
|
71,702 |
|
8,631 |
|
|
|
Marsh & McLennan Cos. Inc. |
|
67,473 |
|
6,740 |
|
|
|
Aon plc |
|
31,738 |
|
6,184 |
|
|
|
Charles Schwab Corp. |
|
129,399 |
|
4,952 |
|
|
|
Progressive Corp. |
|
64,826 |
|
4,914 |
|
|
|
MSCI Inc. Class A |
|
17,736 |
|
4,161 |
|
|
|
Moody’s Corp. |
|
16,928 |
|
3,649 |
|
|
|
Discover Financial Services |
|
44,068 |
|
3,524 |
|
|
|
MarketAxess Holdings Inc. |
|
7,895 |
|
3,139 |
|
|
|
First Republic Bank |
|
34,513 |
|
3,097 |
|
|
|
Cboe Global Markets Inc. |
|
23,399 |
|
2,788 |
|
|
|
T. Rowe Price Group Inc. |
|
24,774 |
|
2,740 |
|
|
|
Arthur J Gallagher & Co. |
|
25,952 |
|
2,354 |
|
|
* |
SVB Financial Group |
|
10,944 |
|
2,130 |
|
|
|
Northern Trust Corp. |
|
24,130 |
|
2,122 |
|
|
|
Ameriprise Financial Inc. |
|
15,147 |
|
1,954 |
|
|
|
Cincinnati Financial Corp. |
|
15,223 |
|
1,712 |
|
|
|
Nasdaq Inc. |
|
16,975 |
|
1,695 |
|
|
|
E*TRADE Financial Corp. |
|
30,226 |
|
1,262 |
|
|
|
Comerica Inc. |
|
14,878 |
|
917 |
|
|
* |
Globe Life Inc. |
|
9,554 |
|
853 |
|
|
|
|
|
|
|
150,105 |
|
|
Health Care (16.5%) |
|
|
|
|
| |
|
|
Merck & Co. Inc. |
|
539,199 |
|
46,624 |
|
|
|
Johnson & Johnson |
|
328,063 |
|
42,110 |
|
|
|
Pfizer Inc. |
|
1,162,696 |
|
41,334 |
|
|
|
Abbott Laboratories |
|
369,469 |
|
31,523 |
|
|
|
Medtronic plc |
|
280,777 |
|
30,293 |
|
|
|
Thermo Fisher Scientific Inc. |
|
83,762 |
|
24,045 |
|
|
|
Eli Lilly & Co. |
|
180,953 |
|
20,442 |
|
|
|
Amgen Inc. |
|
84,307 |
|
17,588 |
|
|
* |
Boston Scientific Corp. |
|
291,242 |
|
12,445 |
|
|
* |
Intuitive Surgical Inc. |
|
24,179 |
|
12,364 |
|
|
|
AbbVie Inc. |
|
160,994 |
|
10,584 |
|
|
|
Danaher Corp. |
|
73,889 |
|
10,499 |
|
|
* |
Edwards Lifesciences Corp. |
|
43,666 |
|
9,687 |
|
|
* |
Vertex Pharmaceuticals Inc. |
|
53,640 |
|
9,656 |
|
|
|
Becton Dickinson and Co. |
|
35,589 |
|
9,037 |
|
|
* |
Illumina Inc. |
|
30,785 |
|
8,661 |
|
|
|
Stryker Corp. |
|
38,265 |
|
8,443 |
|
|
|
Bristol-Myers Squibb Co. |
|
174,707 |
|
8,398 |
|
|
|
Humana Inc. |
|
28,276 |
|
8,008 |
|
|
|
Cigna Corp. |
|
45,289 |
|
6,973 |
|
|
|
Zoetis Inc. |
|
55,134 |
|
6,970 |
|
|
* |
Celgene Corp. |
|
69,419 |
|
6,720 |
|
|
|
HCA Healthcare Inc. |
|
55,904 |
|
6,720 |
|
|
|
Zimmer Biomet Holdings Inc. |
|
42,891 |
|
5,970 |
|
|
* |
IDEXX Laboratories Inc. |
|
18,012 |
|
5,219 |
|
|
* |
Biogen Inc. |
|
21,928 |
|
4,819 |
|
|
* |
Alexion Pharmaceuticals Inc. |
|
46,963 |
|
4,732 |
|
|
|
Cerner Corp. |
|
68,146 |
|
4,696 |
|
|
|
ResMed Inc. |
|
30,031 |
|
4,183 |
|
|
|
Baxter International Inc. |
|
42,726 |
|
3,758 |
|
|
* |
IQVIA Holdings Inc. |
|
24,118 |
|
3,742 |
|
|
|
Teleflex Inc. |
|
9,666 |
|
3,518 |
|
|
* |
WellCare Health Plans Inc. |
|
10,579 |
|
2,864 |
|
|
* |
Regeneron Pharmaceuticals Inc. |
|
9,719 |
|
2,819 |
|
|
|
Agilent Technologies Inc. |
|
35,109 |
|
2,497 |
|
|
* |
Mettler-Toledo International Inc. |
|
3,329 |
|
2,186 |
|
|
* |
Varian Medical Systems Inc. |
|
19,020 |
|
2,015 |
|
|
* |
Waters Corp. |
|
8,726 |
|
1,849 |
|
|
* |
ABIOMED Inc. |
|
9,440 |
|
1,823 |
|
|
* |
Hologic Inc. |
|
30,834 |
|
1,522 |
|
|
* |
Incyte Corp. |
|
17,869 |
|
1,462 |
|
|
|
Universal Health Services Inc. Class B |
|
9,887 |
|
1,429 |
|
S&P 500 Growth Index Fund
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
Align Technology Inc. |
|
7,779 |
|
1,424 |
|
|
|
Cooper Cos. Inc. |
|
4,457 |
|
1,380 |
|
|
*,^ |
DaVita Inc. |
|
21,960 |
|
1,238 |
|
|
|
PerkinElmer Inc. |
|
12,093 |
|
1,000 |
|
|
* |
Henry Schein Inc. |
|
14,080 |
|
868 |
|
|
|
|
|
|
|
456,137 |
|
|
Industrials (8.5%) |
|
|
|
|
| |
|
|
Boeing Co. |
|
109,582 |
|
39,898 |
|
|
|
Union Pacific Corp. |
|
148,237 |
|
24,009 |
|
|
|
Honeywell International Inc. |
|
76,202 |
|
12,544 |
|
|
|
Lockheed Martin Corp. |
|
30,886 |
|
11,864 |
|
|
|
CSX Corp. |
|
160,981 |
|
10,789 |
|
|
|
United Technologies Corp. |
|
81,536 |
|
10,619 |
|
|
|
3M Co. |
|
61,567 |
|
9,957 |
|
|
|
Waste Management Inc. |
|
81,824 |
|
9,766 |
|
|
|
United Parcel Service Inc. Class B |
|
73,036 |
|
8,666 |
|
|
|
Roper Technologies Inc. |
|
21,747 |
|
7,976 |
|
|
|
Norfolk Southern Corp. |
|
38,431 |
|
6,689 |
|
|
|
Ingersoll-Rand plc |
|
50,501 |
|
6,115 |
|
|
|
TransDigm Group Inc. |
|
10,246 |
|
5,516 |
|
|
|
L3Harris Technologies Inc. |
|
24,111 |
|
5,097 |
|
|
* |
IHS Markit Ltd. |
|
76,179 |
|
4,998 |
|
|
|
Cintas Corp. |
|
17,740 |
|
4,680 |
|
|
|
Raytheon Co. |
|
25,083 |
|
4,648 |
|
|
|
AMETEK Inc. |
|
47,711 |
|
4,100 |
|
|
|
Verisk Analytics Inc. Class A |
|
23,647 |
|
3,820 |
|
|
|
Illinois Tool Works Inc. |
|
25,103 |
|
3,762 |
|
|
|
Fastenal Co. |
|
119,834 |
|
3,669 |
|
|
|
FedEx Corp. |
|
22,588 |
|
3,583 |
|
|
|
Eaton Corp. plc |
|
42,530 |
|
3,433 |
|
|
|
Xylem Inc. |
|
37,687 |
|
2,887 |
|
|
|
IDEX Corp. |
|
15,860 |
|
2,612 |
|
|
|
WW Grainger Inc. |
|
9,411 |
|
2,575 |
|
|
|
Expeditors International of Washington Inc. |
|
36,048 |
|
2,563 |
|
|
|
Equifax Inc. |
|
15,456 |
|
2,262 |
|
|
* |
Copart Inc. |
|
28,667 |
|
2,161 |
|
|
|
Rockwell Automation Inc. |
|
12,393 |
|
1,894 |
|
|
|
Republic Services Inc. Class A |
|
19,403 |
|
1,732 |
|
|
|
JB Hunt Transport Services Inc. |
|
12,203 |
|
1,318 |
|
|
|
Wabtec Corp. |
|
17,554 |
|
1,215 |
|
|
|
Masco Corp. |
|
28,903 |
|
1,177 |
|
|
|
Kansas City Southern |
|
9,272 |
|
1,166 |
|
|
|
Rollins Inc. |
|
30,907 |
|
1,014 |
|
|
* |
United Rentals Inc. |
|
8,739 |
|
984 |
|
|
|
Allegion plc |
|
10,049 |
|
967 |
|
|
|
Flowserve Corp. |
|
14,634 |
|
625 |
|
|
|
Robert Half International Inc. |
|
11,355 |
|
607 |
|
|
|
|
|
|
|
233,957 |
|
|
Information Technology (26.9%) |
|
|
|
|
| |
|
|
Microsoft Corp. |
|
1,604,793 |
|
221,237 |
|
|
|
Visa Inc. Class A |
|
364,188 |
|
65,853 |
|
|
|
Mastercard Inc. Class A |
|
188,228 |
|
52,962 |
|
|
|
Cisco Systems Inc. |
|
896,497 |
|
41,965 |
|
|
|
Intel Corp. |
|
628,185 |
|
29,782 |
|
|
* |
Adobe Inc. |
|
102,188 |
|
29,074 |
|
|
* |
salesforce.com Inc. |
|
178,883 |
|
27,918 |
|
|
* |
PayPal Holdings Inc. |
|
246,062 |
|
26,833 |
|
|
|
Broadcom Inc. |
|
82,900 |
|
23,431 |
|
|
|
Fidelity National Information Services Inc. |
|
128,349 |
|
17,484 |
|
|
|
Texas Instruments Inc. |
|
129,674 |
|
16,047 |
|
|
|
Intuit Inc. |
|
54,291 |
|
15,655 |
|
|
|
Automatic Data Processing Inc. |
|
91,147 |
|
15,480 |
|
|
|
Oracle Corp. |
|
254,078 |
|
13,227 |
|
|
* |
Fiserv Inc. |
|
119,340 |
|
12,762 |
|
|
|
Accenture plc Class A |
|
61,445 |
|
12,177 |
|
|
|
NVIDIA Corp. |
|
67,596 |
|
11,323 |
|
|
|
QUALCOMM Inc. |
|
132,390 |
|
10,296 |
|
|
* |
Autodesk Inc. |
|
45,993 |
|
6,569 |
|
|
|
Motorola Solutions Inc. |
|
34,509 |
|
6,243 |
|
|
* |
Advanced Micro Devices Inc. |
|
185,743 |
|
5,842 |
|
|
|
Xilinx Inc. |
|
53,176 |
|
5,534 |
|
|
|
Global Payments Inc. |
|
32,815 |
|
5,447 |
|
|
|
Analog Devices Inc. |
|
41,811 |
|
4,592 |
|
|
* |
VeriSign Inc. |
|
21,964 |
|
4,477 |
|
|
* |
Keysight Technologies Inc. |
|
39,408 |
|
3,817 |
|
|
* |
ANSYS Inc. |
|
17,575 |
|
3,630 |
|
|
|
Paychex Inc. |
|
41,528 |
|
3,393 |
|
|
* |
FleetCor Technologies Inc. |
|
10,830 |
|
3,232 |
|
|
|
Broadridge Financial Solutions Inc. |
|
24,321 |
|
3,148 |
|
|
|
Total System Services Inc. |
|
23,185 |
|
3,112 |
|
|
* |
Akamai Technologies Inc. |
|
34,366 |
|
3,063 |
|
|
|
KLA Corp. |
|
18,623 |
|
2,754 |
|
|
|
Leidos Holdings Inc. |
|
30,202 |
|
2,638 |
|
|
* |
Synopsys Inc. |
|
17,907 |
|
2,539 |
|
|
* |
Gartner Inc. |
|
18,881 |
|
2,524 |
|
|
* |
Arista Networks Inc. |
|
11,080 |
|
2,511 |
|
|
|
NetApp Inc. |
|
51,773 |
|
2,488 |
|
|
|
Citrix Systems Inc. |
|
26,217 |
|
2,438 |
|
|
* |
Fortinet Inc. |
|
30,423 |
|
2,409 |
|
|
* |
Cadence Design Systems Inc. |
|
34,755 |
|
2,380 |
|
|
|
Microchip Technology Inc. |
|
25,451 |
|
2,197 |
|
|
|
Amphenol Corp. Class A |
|
23,740 |
|
2,078 |
|
|
|
Maxim Integrated Products Inc. |
|
34,224 |
|
1,867 |
|
S&P 500 Growth Index Fund
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
Seagate Technology plc |
|
33,717 |
|
1,693 |
|
|
|
Skyworks Solutions Inc. |
|
22,059 |
|
1,660 |
|
|
* |
F5 Networks Inc. |
|
12,500 |
|
1,609 |
|
|
|
Jack Henry & Associates Inc. |
|
7,763 |
|
1,125 |
|
|
*,^ |
Alliance Data Systems Corp. |
|
8,305 |
|
1,021 |
|
|
|
Western Union Co. |
|
37,977 |
|
840 |
|
|
|
|
|
|
|
742,376 |
|
|
Materials (2.2%) |
|
|
|
|
| |
|
|
Linde plc |
|
76,158 |
|
14,387 |
|
|
|
Ecolab Inc. |
|
53,120 |
|
10,959 |
|
|
|
Air Products & Chemicals Inc. |
|
46,100 |
|
10,415 |
|
|
|
Sherwin-Williams Co. |
|
10,548 |
|
5,556 |
|
|
|
Ball Corp. |
|
46,969 |
|
3,777 |
|
|
|
PPG Industries Inc. |
|
22,769 |
|
2,522 |
|
|
|
Martin Marietta Materials Inc. |
|
7,452 |
|
1,891 |
|
|
|
Vulcan Materials Co. |
|
13,279 |
|
1,876 |
|
|
|
Amcor plc |
|
166,500 |
|
1,635 |
|
|
|
Celanese Corp. Class A |
|
14,036 |
|
1,591 |
|
|
|
Freeport-McMoRan Inc. |
|
136,680 |
|
1,256 |
|
|
|
FMC Corp. |
|
12,143 |
|
1,048 |
|
|
|
Eastman Chemical Co. |
|
15,615 |
|
1,021 |
|
|
|
CF Industries Holdings Inc. |
|
19,936 |
|
961 |
|
|
|
Avery Dennison Corp. |
|
7,970 |
|
921 |
|
|
|
Mosaic Co. |
|
35,108 |
|
646 |
|
|
|
|
|
|
|
60,462 |
|
|
Real Estate (3.5%) |
|
|
|
|
| |
|
|
American Tower Corp. |
|
92,572 |
|
21,309 |
|
|
|
Public Storage |
|
31,433 |
|
8,322 |
|
|
|
Welltower Inc. |
|
84,811 |
|
7,596 |
|
|
|
Simon Property Group Inc. |
|
43,357 |
|
6,458 |
|
|
|
Equinix Inc. |
|
10,564 |
|
5,877 |
|
|
|
Crown Castle International Corp. |
|
35,699 |
|
5,182 |
|
|
|
Equity Residential |
|
52,768 |
|
4,473 |
|
|
|
AvalonBay Communities Inc. |
|
19,855 |
|
4,220 |
|
|
|
SBA Communications Corp. Class A |
|
13,757 |
|
3,610 |
|
|
|
Realty Income Corp. |
|
48,137 |
|
3,553 |
|
|
|
HCP Inc. |
|
100,114 |
|
3,475 |
|
|
|
Essex Property Trust Inc. |
|
10,186 |
|
3,272 |
|
|
|
Digital Realty Trust Inc. |
|
24,429 |
|
3,020 |
|
|
|
Boston Properties Inc. |
|
17,126 |
|
2,199 |
|
|
|
Extra Space Storage Inc. |
|
17,589 |
|
2,144 |
|
|
|
Mid-America Apartment Communities Inc. |
|
13,373 |
|
1,694 |
|
|
|
Duke Realty Corp. |
|
50,444 |
|
1,678 |
|
|
|
Apartment Investment & Management Co. |
|
31,180 |
|
1,590 |
|
|
|
UDR Inc. |
|
32,411 |
|
1,562 |
|
|
|
Host Hotels & Resorts Inc. |
|
72,931 |
|
1,170 |
|
|
|
Vornado Realty Trust |
|
18,581 |
|
1,124 |
|
|
|
Regency Centers Corp. |
|
15,763 |
|
1,017 |
|
|
|
Federal Realty Investment Trust |
|
7,538 |
|
974 |
|
|
|
|
|
|
|
95,519 |
|
|
Utilities (1.9%) |
|
|
|
|
| |
|
|
NextEra Energy Inc. |
|
100,301 |
|
21,974 |
|
|
|
Dominion Energy Inc. |
|
78,981 |
|
6,131 |
|
|
|
Ameren Corp. |
|
51,437 |
|
3,968 |
|
|
|
Xcel Energy Inc. |
|
48,499 |
|
3,115 |
|
|
|
WEC Energy Group Inc. |
|
31,712 |
|
3,037 |
|
|
|
American Water Works Co. Inc. |
|
23,825 |
|
3,033 |
|
|
|
Eversource Energy |
|
36,985 |
|
2,964 |
|
|
|
Pinnacle West Capital Corp. |
|
23,511 |
|
2,241 |
|
|
|
CMS Energy Corp. |
|
33,283 |
|
2,099 |
|
|
|
NRG Energy Inc. |
|
52,916 |
|
1,926 |
|
|
|
Atmos Energy Corp. |
|
14,433 |
|
1,591 |
|
|
|
Alliant Energy Corp. |
|
28,258 |
|
1,482 |
|
|
|
|
|
|
|
53,561 |
|
|
Total Common Stocks (Cost $2,043,218) |
|
|
|
2,757,169 |
| |
|
Temporary Cash Investments (0.0%)1 |
|
|
|
|
| |
|
Money Market Fund (0.0%) |
|
|
|
|
| |
|
2,3 |
Vanguard Market Liquidity Fund, 2.249% |
|
6,625 |
|
663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Face |
|
|
|
|
|
|
|
Amount |
|
|
|
|
|
|
|
($000 |
) |
|
|
|
U.S. Government and Agency Obligations (0.0%) |
|
|
|
|
| |
|
4 |
United States Treasury Bill, 1.997%, 12/26/19 |
|
500 |
|
497 |
|
|
Total Temporary Cash Investments (Cost $1,159) |
|
|
|
1,160 |
| |
|
Total Investments (99.9%) (Cost $2,044,377) |
|
|
|
2,758,329 |
| |
S&P 500 Growth Index Fund
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (0.1%) |
|
|
|
|
Other Assets |
|
|
|
|
Investment in Vanguard |
|
132 |
|
|
Receivables for Investment Securities Sold |
|
254 |
|
|
Receivables for Accrued Income |
|
4,333 |
|
|
Receivables for Capital Shares Issued |
|
6,450 |
|
|
Other Assets |
|
5 |
|
|
Total Other Assets |
|
11,174 |
|
|
Liabilities |
|
|
|
|
Payables for Investment Securities Purchased |
|
(7,502 |
) |
|
Collateral for Securities on Loan |
|
(437 |
) |
|
Payables to Vanguard |
|
(170 |
) |
|
Variation Margin Payable—Futures Contracts
|
|
(7 |
) |
|
Total Liabilities |
|
(8,116 |
) |
|
Net Assets (100%)
|
|
2,761,387 |
|
At August 31, 2019, net assets consisted of:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
2,143,712 |
|
|
Total Distributable Earnings (Loss) |
|
617,675 |
|
|
Net Assets |
|
2,761,387
|
|
|
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
|
Applicable to 17,025,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)
|
|
2,754,813
|
|
|
Net Asset Value Per Share—ETF Shares |
|
$161.81 |
|
|
|
|
|
|
|
Institutional Shares—Net Assets |
|
|
|
|
Applicable to 17,862 outstanding $.001 par value shares of beneficial interest (unlimited authorization)
|
|
6,574
|
|
|
Net Asset Value Per Share—Institutional Shares |
|
$368.04 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $427,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $437,000 of collateral received for securities on loan.
4 Securities with a value of $497,000 have been segregated as initial margin for open futures contracts.
S&P 500 Growth Index Fund
|
Derivative Financial Instruments Outstanding as of Period End |
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($000)
|
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
Long (Short) |
|
Notional |
|
Appreciation |
|
|
|
Expiration |
|
Contracts |
|
Amount |
|
(Depreciation) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
E-mini NASDAQ 100 Index |
|
September 2019 |
|
14 |
|
2,153 |
|
11 |
|
E-mini S&P 500 Index |
|
September 2019 |
|
14 |
|
2,047 |
|
15 |
|
|
|
|
|
|
|
|
|
26 |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Statement of Operations
|
|
|
Year Ended |
|
|
|
August 31, 2019 |
|
|
|
($000) |
|
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
|
36,478 |
|
Interest1 |
|
233 |
|
Securities Lending—Net |
|
62 |
|
Total Income |
|
36,773 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
|
362 |
|
Management and Administrative—ETF Shares |
|
1,854 |
|
Management and Administrative—Institutional Shares |
|
— |
|
Marketing and Distribution—ETF Shares |
|
108 |
|
Marketing and Distribution—Institutional Shares |
|
— |
|
Custodian Fees |
|
16 |
|
Auditing Fees |
|
34 |
|
Shareholders’ Reports—ETF Shares |
|
58 |
|
Shareholders’ Reports—Institutional Shares |
|
— |
|
Trustees’ Fees and Expenses |
|
1 |
|
Total Expenses |
|
2,433 |
|
Expenses Paid Indirectly |
|
(18) |
|
Net Expenses |
|
2,415 |
|
Net Investment Income |
|
34,358 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1,2 |
|
61,350 |
|
Futures Contracts |
|
(683) |
|
Swap Contracts |
|
(3,008) |
|
Realized Net Gain (Loss) |
|
57,659 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
|
(4,137) |
|
Futures Contracts |
|
(290) |
|
Swap Contracts |
|
149 |
|
Change in Unrealized Appreciation (Depreciation) |
|
(4,278) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
87,739 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $221,000, ($1,000), and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $129,870,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, | ||
|
|
|
2019 |
|
2018 |
|
|
|
($000 |
) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Operations |
|
|
|
|
|
Net Investment Income |
|
34,358 |
|
25,526 |
|
Realized Net Gain (Loss) |
|
57,659 |
|
56,177 |
|
Change in Unrealized Appreciation (Depreciation) |
|
(4,278 |
) |
367,332 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
87,739 |
|
449,035 |
|
Distributions |
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
ETF Shares |
|
(32,295 |
) |
(24,577) |
|
Institutional Shares |
|
(15 |
) |
— |
|
Realized Capital Gain |
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
Institutional Shares |
|
— |
|
— |
|
Total Distributions |
|
(32,310 |
) |
(24,577) |
|
Capital Share Transactions |
|
|
|
|
|
ETF Shares |
|
372,536 |
|
237,714 |
|
Institutional Shares |
|
6,862 |
|
— |
|
Net Increase (Decrease) from Capital Share Transactions |
|
379,398 |
|
237,714 |
|
Total Increase (Decrease) |
|
434,827 |
|
662,172 |
|
Net Assets |
|
|
|
|
|
Beginning of Period |
|
2,326,560 |
|
1,664,388 |
|
End of Period |
|
2,761,387 |
|
2,326,560 |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding |
|
Year Ended August 31, | ||||||||
|
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 | |
|
Net Asset Value, Beginning of Period |
|
$158.27 |
|
$127.78 |
|
$109.12 |
|
$99.21 |
|
$96.99 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
2.1561 |
|
1.8331 |
|
1.8411 |
|
1.565 |
|
1.523 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
3.437 |
|
30.442 |
|
18.527 |
|
9.857 |
|
2.193 |
|
Total from Investment Operations |
|
5.593 |
|
32.275 |
|
20.368 |
|
11.422 |
|
3.716 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(2.053) |
|
(1.785) |
|
(1.708) |
|
(1.512) |
|
(1.496) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total Distributions |
|
(2.053) |
|
(1.785) |
|
(1.708) |
|
(1.512) |
|
(1.496) |
|
Net Asset Value, End of Period |
|
$161.81 |
|
$158.27 |
|
$127.78 |
|
$109.12 |
|
$99.21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
3.60% |
|
25.48% |
|
18.85% |
|
11.62% |
|
3.80% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$2,755 |
|
$2,327 |
|
$1,664 |
|
$1,031 |
|
$570 |
|
Ratio of Total Expenses to Average Net Assets |
|
0.10% |
|
0.15% |
|
0.15% |
|
0.15% |
|
0.15% |
|
Ratio of Net Investment Income to Average Net Assets |
|
1.41% |
|
1.29% |
|
1.57% |
|
1.59% |
|
1.62% |
|
Portfolio Turnover Rate2 |
|
23% |
|
18% |
|
19% |
|
20% |
|
21% |
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Financial Highlights
Institutional Shares
|
|
|
April 5, |
|
Oct. 17, |
|
|
|
|
20191 to |
|
20181 to |
|
|
|
|
August 31, |
|
Dec. 13, |
|
|
For a Share Outstanding Throughout Each Period |
|
2019 |
|
2018 |
|
|
Net Asset Value, Beginning of Period |
|
$356.55 |
|
$343.28 |
|
|
Investment Operations |
|
|
|
|
|
|
Net Investment Income2 |
|
3.777 |
|
.856 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
7.713 |
|
(19.628) |
|
|
Total from Investment Operations |
|
11.490 |
|
(18.772) |
|
|
Distributions |
|
|
|
|
|
|
Dividends from Net Investment Income |
|
— |
|
(.938) |
|
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
|
Total Distributions |
|
— |
|
(.938) |
|
|
Net Asset Value, End of Period |
|
$368.04 |
|
$323.57 |
|
|
|
|
|
|
|
|
|
Total Return |
|
3.22% |
|
-5.47% |
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$7 |
|
— |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08%3 |
|
0.08%3 |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
2.52%3 |
|
1.64%3 |
|
|
Portfolio Turnover Rate4 |
|
23%5 |
|
23%5 |
|
1 The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
5 Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares commenced operations on October 17, 2018, and on December 13, 2018, all outstanding shares were redeemed; on April 5, 2019, the class recommenced operations.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P 500 Growth Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counter-parties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the year ended August 31, 2019, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The fund had no open swap contracts at August 31, 2019.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and 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 and may differ from net investment income and realized capital gains for financial reporting purposes.
S&P 500 Growth Index Fund
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 Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
S&P 500 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $132,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $18,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as and derivatives of August 31, 2019, based on the inputs used to value them:
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Investments |
|
($000) |
|
($000) |
|
($000) |
|
Common Stocks |
|
2,757,169 |
|
— |
|
— |
|
Temporary Cash Investments |
|
663 |
|
497 |
|
— |
|
Futures Contracts—Liabilities1 |
|
(7) |
|
— |
|
— |
|
Total |
|
2,757,825 |
|
497 |
|
— |
1 Represents variation margin on the last day of the reporting period.
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and swap agreements were reclassified between the following accounts:
S&P 500 Growth Index Fund
|
|
|
Amount |
|
|
|
|
($000) |
|
|
Paid-in Capital |
|
129,877 |
|
|
Total Distributable Earnings (Loss) |
|
(129,877) |
|
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000) |
|
|
Undistributed Ordinary Income |
|
8,050 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(104,199) |
|
|
Net Unrealized Gains (Losses) |
|
713,952 |
|
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000) |
|
|
Tax Cost |
|
2,044,377 |
|
|
Gross Unrealized Appreciation |
|
755,883 |
|
|
Gross Unrealized Depreciation |
|
(41,931) |
|
|
Net Unrealized Appreciation (Depreciation) |
|
713,952 |
|
F. During the year ended August 31, 2019, the fund purchased $1,324,831,000 of investment securities and sold $926,459,000 of investment securities, other than temporary cash investments. Purchases and sales include $750,634,000 and $408,211,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $217,202,000 and $255,283,000, respectively.
S&P 500 Growth Index Fund
G. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31, |
| ||||||
|
|
|
|
|
2019 |
|
|
|
2018 |
|
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000) |
|
(000) |
|
($000) |
|
(000) |
|
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
790,253 |
|
5,350 |
|
397,973 |
|
2,825 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(417,717) |
|
(3,025) |
|
(160,259) |
|
(1,150) |
|
|
Net Increase (Decrease)—ETF Shares |
|
372,536 |
|
2,325 |
|
237,714 |
|
1,675 |
|
|
Institutional Shares1 |
|
|
|
|
|
|
|
|
|
|
Issued |
|
11,977 |
|
34 |
|
— |
|
— |
|
|
Issued in Lieu of Cash Distributions |
|
15 |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(5,130) |
|
(16) |
|
— |
|
— |
|
|
Net Increase (Decrease)—Institutional Shares |
|
6,862 |
|
18 |
|
— |
|
— |
|
1 The table reflects all Institutional transactions beginning October 17, 2018.
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (two of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard S&P 500 Index Funds
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
|
Fund |
|
($000) |
|
|
S&P 500 Value Index |
|
25,121 |
|
|
S&P 500 Growth Index |
|
32,137 |
|
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
|
Fund |
|
Percentage |
|
|
S&P 500 Value Index |
|
96.9% |
|
|
S&P 500 Growth Index |
|
100.0 |
|
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each 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 through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of investment management services provided to the funds since their inception in 2010, 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 Equity Index 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 each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also 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 each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
The S&P 500 Value Index and S&P 500 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund particularly or the ability of the S&P 500 Value Index and S&P 500 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Value Index and S&P 500 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Value Index and S&P 500 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund into consideration in determining, composing or calculating the S&P 500 Value Index and S&P 500 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. There is no assurance that investment products based on the S&P 500 Value Index and S&P 500 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P 500 VALUE INDEX FUND AND VANGUARD S&P 500 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
|
Joseph Brennan |
Chris D. McIsaac |
|
Mortimer J. Buckley |
James M. Norris |
|
Gregory Davis |
Thomas M. Rampulla |
|
John James |
Karin A. Risi |
|
Martha G. King |
Anne E. Robinson |
|
John T. Marcante |
Michael Rollings |
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P.O. Box 2600 |
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Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
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© 2019 The Vanguard Group, Inc. |
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All rights reserved. |
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U.S. Patent Nos. 6,879,964; 7,337,138; |
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7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
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Vanguard Marketing Corporation, Distributor. |
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Q18400 102019 |
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Annual Report | August 31, 2019
Vanguard S&P Small-Cap 600 Index Funds
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Vanguard S&P Small-Cap 600 Index Fund
Vanguard S&P Small-Cap 600 Value Index Fund
Vanguard S&P Small-Cap 600 Growth Index Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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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.
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Contents |
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A Note From Our Chairman |
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1 |
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Your Fund’s Performance at a Glance |
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2 |
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About Your Fund’s Expenses |
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3 |
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S&P Small-Cap 600 Index Fund |
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5 |
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S&P Small-Cap 600 Value Index Fund |
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26 |
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S&P Small-Cap 600 Growth Index Fund |
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45 |
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Trustees Approve Advisory Arrangements |
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63 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets— affecting stocks, bonds, and commodities— has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they should reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
October 1, 2019
Your Fund’s Performance at a Glance
· Small-capitalization stocks fared poorly during the 12 months ended August 31, 2019, as reflected in returns for the Vanguard S&P Small-Cap 600 Index Funds of about – 14% to nearly – 16%. All three funds closely tracked their target indexes.
· Market sentiment was dampened by signs of decelerating global growth, flare-ups in trade disputes, heightened tensions with Iran, and a lack of agreement in the United Kingdom on how to exit the European Union.
· Utilities stocks generated positive returns for all three funds. Real estate stocks were also positive for Vanguard S&P Small-Cap 600 Growth Index Fund.
· All other sectors had negative returns for the three funds. Energy stocks detracted most from the returns of Vanguard S&P Small-Cap 600 Index and S&P Small-Cap 600 Value Index Funds; health care and industrials, the Growth Index Fund’s largest sectors, took the biggest bite from its returns.
Market Barometer
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Average Annual Total Returns | ||
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Periods Ended August 31, 2019 | ||
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One Year |
Three Years |
Five Years | |
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Stocks |
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Russell 1000 Index (Large-caps) |
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2.49% |
12.57% |
9.85% | |
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Russell 2000 Index (Small-caps) |
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-12.89 |
7.89 |
6.41 | |
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Russell 3000 Index (Broad U.S. market) |
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1.31 |
12.24 |
9.60 | |
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FTSE All-World ex US Index (International) |
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-3.18 |
5.97 |
1.71 | |
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Bonds |
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Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) |
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10.17% |
3.09% |
3.35% | |
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Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) |
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8.72 |
3.30 |
3.85 | |
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FTSE Three-Month U.S. Treasury Bill Index |
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2.36 |
1.47 |
0.91 | |
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CPI |
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Consumer Price Index |
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1.75% |
2.13% |
1.53% | |
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.
Six Months Ended August 31, 2019
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Beginning |
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Ending |
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Expenses |
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Account Value |
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Account Value |
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Paid During |
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2/28/2019 |
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8/31/2019 |
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Period |
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Based on Actual Fund Return |
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S&P Small-Cap 600 Index Fund |
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ETF Shares |
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$1,000.00 |
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$951.03 |
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$0.25 |
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Institutional Shares |
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1,000.00 |
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950.93 |
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0.39 |
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S&P Small-Cap 600 Value Index Fund |
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ETF Shares |
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$1,000.00 |
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$933.28 |
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$0.54 |
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Institutional Shares |
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1,000.00 |
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933.51 |
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0.39 |
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S&P Small-Cap 600 Growth Index Fund |
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ETF Shares |
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$1,000.00 |
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$967.74 |
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$0.55 |
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Based on Hypothetical 5% Yearly Return |
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S&P Small-Cap 600 Index Fund |
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ETF Shares |
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$1,000.00 |
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$1,024.95 |
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$0.26 |
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Institutional Shares |
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1,000.00 |
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1,024.80 |
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0.41 |
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S&P Small-Cap 600 Value Index Fund |
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ETF Shares |
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$1,000.00 |
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$1,024.65 |
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$0.56 |
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Institutional Shares |
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1,000.00 |
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1,024.80 |
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0.41 |
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S&P Small-Cap 600 Growth Index Fund |
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ETF Shares |
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$1,000.00 |
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$1,024.65 |
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$0.56 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Small-Cap 600 Index Fund, 0.05% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.11% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.11% for ETF 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 (184/365).
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
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Average Annual Total Returns |
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Periods Ended August 31, 2019 |
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Since |
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Final Value |
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One |
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Five |
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Inception |
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of a $10,000 |
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Year |
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Years |
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(9/7/2010) |
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Investment |
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S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value |
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-15.09% |
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7.91% |
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13.19% |
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$30,414 |
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S&P Small-Cap 600 Index Fund ETF Shares Market Price |
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-15.17 |
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7.91 |
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13.17 |
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30,382 |
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S&P SmallCap 600 Index |
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-15.06 |
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7.97 |
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13.31 |
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30,710 |
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Dow Jones U.S. Total Stock Market Float Adjusted Index |
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1.23 |
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9.55 |
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13.72 |
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31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
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Since |
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Final Value |
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One |
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Five |
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Inception |
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of a $5,000,000 |
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Year |
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Years |
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(4/1/2011) |
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Investment |
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S&P Small-Cap 600 Index Fund Institutional Shares |
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-15.09% |
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7.97% |
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10.32% |
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$11,427,351 |
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S&P SmallCap 600 Index |
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-15.06 |
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7.97 |
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10.37 |
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11,471,017 |
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Dow Jones U.S. Total Stock Market Float Adjusted Index |
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1.23 |
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9.55 |
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11.66 |
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12,648,470 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
See Financial Highlights for dividend and capital gains information.
S&P Small-Cap 600 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
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Since |
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One |
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Five |
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Inception |
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Year |
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Years |
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(9/7/2010) |
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S&P Small-Cap 600 Index Fund ETF Shares Market Price |
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-15.17% |
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46.30% |
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203.82% |
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S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value |
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-15.09 |
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46.33 |
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204.14 |
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S&P SmallCap 600 Index |
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-15.06 |
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46.74 |
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207.10 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Small-Cap 600 Index Fund
Sector Diversification
As of August 31, 2019
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Communication Services |
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2.1% |
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Consumer Discretionary |
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13.8 |
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Consumer Staples |
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3.8 |
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Energy |
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3.2 |
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Financials |
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17.9 |
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Health Care |
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12.6 |
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Industrials |
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18.1 |
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Information Technology |
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14.9 |
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Materials |
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4.1 |
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Real Estate |
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7.1 |
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Utilities |
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2.4 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Small-Cap 600 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
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.
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Market |
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Value· |
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Shares
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($000
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Common Stocks (99.5%)1 |
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Communication Services (2.0%) |
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* |
Vonage Holdings Corp. |
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676,882 |
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8,948 |
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Cogent Communications Holdings Inc. |
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126,783 |
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7,720 |
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* |
Iridium Communications Inc. |
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291,963 |
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7,060 |
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Gannett Co. Inc. |
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349,146 |
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3,673 |
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Scholastic Corp. |
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85,239 |
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2,989 |
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Marcus Corp. |
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66,904 |
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2,245 |
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EW Scripps Co. Class A |
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172,616 |
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2,133 |
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ATN International Inc. |
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33,842 |
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1,923 |
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* |
TechTarget Inc. |
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66,664 |
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1,583 |
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^ |
New Media Investment Group Inc. |
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176,302 |
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1,548 |
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* |
QuinStreet Inc. |
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118,553 |
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1,357 |
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^ |
Consolidated Communications Holdings Inc. |
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208,670 |
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841 |
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* |
Care.com Inc. |
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83,407 |
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825 |
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* |
Cincinnati Bell Inc. |
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149,326 |
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811 |
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Spok Holdings Inc. |
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57,589 |
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677 |
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*,^ |
Frontier Communications Corp. |
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314,521 |
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252 |
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44,585 |
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Consumer Discretionary (13.7%) |
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Strategic Education Inc. |
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66,833 |
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11,310 |
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* |
TopBuild Corp. |
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104,973 |
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9,723 |
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Wingstop Inc. |
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89,577 |
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8,973 |
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Lithia Motors Inc. Class A |
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68,010 |
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8,914 |
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* |
Fox Factory Holding Corp. |
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116,103 |
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8,364 |
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* |
Shake Shack Inc. Class A |
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79,692 |
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7,902 |
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Steven Madden Ltd. |
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236,516 |
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7,857 |
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Monro Inc. |
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100,593 |
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7,818 |
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* |
Meritage Homes Corp. |
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109,367 |
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7,146 |
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* |
RH |
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49,035 |
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7,024 |
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Wolverine World Wide Inc. |
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268,745 |
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6,974 |
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LCI Industries |
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76,053 |
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6,445 |
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* |
Dorman Products Inc. |
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88,120 |
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6,264 |
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MDC Holdings Inc. |
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149,401 |
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5,777 |
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* |
Asbury Automotive Group Inc. |
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59,090 |
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5,572 |
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* |
Shutterfly Inc. |
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104,386 |
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5,311 |
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*,^ |
iRobot Corp. |
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85,069 |
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5,258 |
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* |
Kontoor Brands Inc. |
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140,818 |
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4,822 |
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Callaway Golf Co. |
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269,311 |
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4,783 |
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* |
Cavco Industries Inc. |
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25,993 |
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4,769 |
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Dave & Buster’s Entertainment Inc. |
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110,671 |
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4,764 |
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Bloomin’ Brands Inc. |
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263,658 |
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4,756 |
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* |
LGI Homes Inc. |
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57,235 |
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4,665 |
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La-Z-Boy Inc. |
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142,093 |
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4,529 |
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Core-Mark Holding Co. Inc. |
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139,214 |
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4,509 |
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* |
Crocs Inc. |
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198,238 |
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4,421 |
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* |
Career Education Corp. |
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213,264 |
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4,374 |
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^ |
Children’s Place Inc. |
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48,342 |
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4,218 |
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Group 1 Automotive Inc. |
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53,518 |
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3,999 |
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* |
Sleep Number Corp. |
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91,628 |
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3,834 |
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Dine Brands Global Inc. |
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53,192 |
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3,753 |
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* |
Gentherm Inc. |
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101,966 |
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3,742 |
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* |
Installed Building Products Inc. |
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63,751 |
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3,628 |
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Oxford Industries Inc. |
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51,945 |
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3,625 |
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Cooper Tire & Rubber Co. |
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152,471 |
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3,582 |
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* |
Rent-A-Center Inc. |
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136,556 |
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3,486 |
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* |
Stamps.com Inc. |
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49,539 |
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3,188 |
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|
* |
M/I Homes Inc. |
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83,598 |
|
3,021 |
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|
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Abercrombie & Fitch Co. |
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202,973 |
|
2,967 |
|
|
* |
Boot Barn Holdings Inc. |
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86,528 |
|
2,964 |
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|
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Designer Brands Inc. Class A |
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176,466 |
|
2,910 |
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|
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Winnebago Industries Inc. |
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88,111 |
|
2,821 |
|
|
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Big Lots Inc. |
|
121,985 |
|
2,775 |
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|
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Guess? Inc. |
|
153,576 |
|
2,775 |
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|
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Standard Motor Products Inc. |
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61,109 |
|
2,708 |
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Caleres Inc. |
|
130,879 |
|
2,637 |
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* |
G-III Apparel Group Ltd. |
|
126,905 |
|
2,603 |
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|
* |
Century Communities Inc. |
|
84,592 |
|
2,384 |
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|
|
BJ’s Restaurants Inc. |
|
63,687 |
|
2,321 |
|
|
* |
Garrett Motion Inc. |
|
227,265 |
|
2,236 |
|
|
* |
American Axle & Manufacturing Holdings Inc. |
|
344,556 |
|
2,184 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
Office Depot Inc. |
|
1,677,178 |
|
2,180 |
|
|
|
Sturm Ruger & Co. Inc. |
|
53,024 |
|
2,175 |
|
|
* |
Shutterstock Inc. |
|
57,076 |
|
2,004 |
|
|
|
Sonic Automotive Inc. Class A |
|
72,693 |
|
1,956 |
|
|
* |
Genesco Inc. |
|
53,518 |
|
1,910 |
|
|
* |
Universal Electronics Inc. |
|
42,208 |
|
1,906 |
|
|
* |
Cooper-Standard Holdings Inc. |
|
50,209 |
|
1,880 |
|
|
* |
William Lyon Homes Class A |
|
101,145 |
|
1,787 |
|
|
* |
Fossil Group Inc. |
|
139,597 |
|
1,787 |
|
|
|
Buckle Inc. |
|
88,030 |
|
1,725 |
|
|
|
Ruth’s Hospitality Group Inc. |
|
86,126 |
|
1,675 |
|
|
* |
Monarch Casino & Resort Inc. |
|
35,774 |
|
1,588 |
|
|
* |
Conn’s Inc. |
|
76,865 |
|
1,550 |
|
|
* |
Zumiez Inc. |
|
58,617 |
|
1,523 |
|
|
* |
Regis Corp. |
|
89,824 |
|
1,452 |
|
|
* |
Red Robin Gourmet Burgers Inc. |
|
39,525 |
|
1,324 |
|
|
* |
Chuy’s Holdings Inc. |
|
51,552 |
|
1,308 |
|
|
|
Ethan Allen Interiors Inc. |
|
75,802 |
|
1,304 |
|
|
|
Cato Corp. Class A |
|
75,367 |
|
1,291 |
|
|
* |
American Public Education Inc. |
|
50,593 |
|
1,226 |
|
|
|
Haverty Furniture Cos. Inc. |
|
59,051 |
|
1,131 |
|
|
|
Movado Group Inc. |
|
50,883 |
|
1,095 |
|
|
|
Chico’s FAS Inc. |
|
346,535 |
|
1,081 |
|
|
^ |
GameStop Corp. Class A |
|
272,071 |
|
1,080 |
|
|
* |
Vista Outdoor Inc. |
|
181,702 |
|
1,016 |
|
|
* |
MarineMax Inc. |
|
65,591 |
|
948 |
|
|
^ |
Shoe Carnival Inc. |
|
30,687 |
|
943 |
|
|
^ |
PetMed Express Inc. |
|
59,242 |
|
936 |
|
|
* |
Hibbett Sports Inc. |
|
56,343 |
|
932 |
|
|
* |
Unifi Inc. |
|
46,056 |
|
886 |
|
|
* |
Motorcar Parts of America Inc. |
|
58,551 |
|
851 |
|
|
^ |
Tailored Brands Inc. |
|
146,630 |
|
795 |
|
|
*,^ |
Lumber Liquidators Holdings Inc. |
|
83,162 |
|
783 |
|
|
* |
El Pollo Loco Holdings Inc. |
|
68,205 |
|
696 |
|
|
*,^ |
JC Penney Co. Inc. |
|
930,228 |
|
692 |
|
|
* |
Vera Bradley Inc. |
|
64,678 |
|
685 |
|
|
* |
Liquidity Services Inc. |
|
83,293 |
|
631 |
|
|
* |
Fiesta Restaurant Group Inc. |
|
69,074 |
|
597 |
|
|
* |
Express Inc. |
|
183,806 |
|
390 |
|
|
* |
Barnes & Noble Education Inc. |
|
99,337 |
|
387 |
|
|
* |
Vitamin Shoppe Inc. |
|
55,689 |
|
359 |
|
|
|
Tile Shop Holdings Inc. |
|
107,970 |
|
290 |
|
|
|
Superior Industries International Inc. |
|
61,985 |
|
170 |
|
|
* |
Ascena Retail Group Inc. |
|
489,435 |
|
122 |
|
|
* |
Nautilus Inc. |
|
76,925 |
|
107 |
|
|
* |
Kirkland’s Inc. |
|
32,616 |
|
48 |
|
|
|
|
|
|
|
298,587 |
|
|
Consumer Staples (3.8%) |
|
|
|
|
| |
|
* |
Darling Ingredients Inc. |
|
500,771 |
|
9,314 |
|
|
|
J&J Snack Foods Corp. |
|
45,859 |
|
8,854 |
|
|
|
WD-40 Co. |
|
42,005 |
|
7,658 |
|
|
* |
Avon Products Inc. |
|
1,347,933 |
|
5,864 |
|
|
|
Coca-Cola Consolidated Inc. |
|
14,123 |
|
4,754 |
|
|
|
Calavo Growers Inc. |
|
47,593 |
|
4,219 |
|
|
|
Vector Group Ltd. |
|
331,584 |
|
3,873 |
|
|
|
Universal Corp. |
|
75,779 |
|
3,793 |
|
|
|
Cal-Maine Foods Inc. |
|
92,220 |
|
3,739 |
|
|
|
Medifast Inc. |
|
36,203 |
|
3,619 |
|
|
^ |
B&G Foods Inc. |
|
199,353 |
|
3,375 |
|
|
|
Inter Parfums Inc. |
|
52,472 |
|
3,373 |
|
|
* |
Central Garden & Pet Co. Class A |
|
121,698 |
|
2,928 |
|
|
* |
USANA Health Sciences Inc. |
|
40,499 |
|
2,753 |
|
|
* |
Chefs’ Warehouse Inc. |
|
70,438 |
|
2,717 |
|
|
|
John B Sanfilippo & Son Inc. |
|
26,807 |
|
2,482 |
|
|
|
MGP Ingredients Inc. |
|
38,895 |
|
1,874 |
|
|
|
Andersons Inc. |
|
81,610 |
|
1,870 |
|
|
|
National Beverage Corp. |
|
36,926 |
|
1,510 |
|
|
* |
United Natural Foods Inc. |
|
166,720 |
|
1,340 |
|
|
|
SpartanNash Co. |
|
105,343 |
|
1,135 |
|
|
* |
Central Garden & Pet Co. |
|
35,313 |
|
933 |
|
|
* |
Seneca Foods Corp. Class A |
|
20,912 |
|
575 |
|
|
^ |
Dean Foods Co. |
|
257,148 |
|
260 |
|
|
|
|
|
|
|
82,812 |
|
|
Energy (3.2%) |
|
|
|
|
| |
|
* |
PDC Energy Inc. |
|
189,600 |
|
6,039 |
|
|
* |
Dril-Quip Inc. |
|
110,388 |
|
5,061 |
|
|
|
Archrock Inc. |
|
389,274 |
|
3,780 |
|
|
* |
SRC Energy Inc. |
|
744,247 |
|
3,736 |
|
|
* |
Helix Energy Solutions Group Inc. |
|
427,423 |
|
3,095 |
|
|
|
SM Energy Co. |
|
318,409 |
|
3,019 |
|
|
* |
Oil States International Inc. |
|
187,305 |
|
2,583 |
|
|
* |
SEACOR Holdings Inc. |
|
53,232 |
|
2,500 |
|
|
* |
ProPetro Holding Corp. |
|
225,671 |
|
2,403 |
|
|
^ |
US Silica Holdings Inc. |
|
225,409 |
|
2,293 |
|
|
* |
Carrizo Oil & Gas Inc. |
|
263,094 |
|
2,181 |
|
|
* |
Par Pacific Holdings Inc. |
|
91,711 |
|
1,994 |
|
|
|
DMC Global Inc. |
|
43,117 |
|
1,873 |
|
|
* |
Whiting Petroleum Corp. |
|
280,728 |
|
1,861 |
|
|
* |
Newpark Resources Inc. |
|
278,661 |
|
1,842 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
Nabors Industries Ltd. |
|
1,011,378 |
|
1,699 |
|
|
* |
C&J Energy Services Inc. |
|
176,646 |
|
1,689 |
|
|
* |
Matrix Service Co. |
|
82,042 |
|
1,630 |
|
|
* |
Denbury Resources Inc. |
|
1,419,448 |
|
1,533 |
|
|
* |
CONSOL Energy Inc. |
|
85,387 |
|
1,431 |
|
|
* |
Renewable Energy Group Inc. |
|
116,535 |
|
1,418 |
|
|
*,^ |
Diamond Offshore Drilling Inc. |
|
204,218 |
|
1,325 |
|
|
* |
Noble Corp. plc |
|
793,496 |
|
1,270 |
|
|
* |
Bonanza Creek Energy Inc. |
|
54,484 |
|
1,229 |
|
|
* |
REX American Resources Corp. |
|
17,403 |
|
1,195 |
|
|
* |
Laredo Petroleum Inc. |
|
475,872 |
|
1,180 |
|
|
* |
Penn Virginia Corp. |
|
39,392 |
|
1,123 |
|
|
* |
Exterran Corp. |
|
100,875 |
|
1,064 |
|
|
* |
Gulfport Energy Corp. |
|
422,640 |
|
1,014 |
|
|
^ |
RPC Inc. |
|
183,652 |
|
975 |
|
|
|
Green Plains Inc. |
|
111,656 |
|
917 |
|
|
* |
KLX Energy Services Holdings Inc. |
|
71,709 |
|
719 |
|
|
* |
Era Group Inc. |
|
66,782 |
|
633 |
|
|
* |
TETRA Technologies Inc. |
|
352,139 |
|
585 |
|
|
* |
Unit Corp. |
|
180,651 |
|
547 |
|
|
* |
Geospace Technologies Corp. |
|
37,954 |
|
465 |
|
|
* |
HighPoint Resources Corp. |
|
324,056 |
|
379 |
|
|
* |
Ring Energy Inc. |
|
161,317 |
|
236 |
|
|
* |
Gulf Island Fabrication Inc. |
|
27,235 |
|
172 |
|
|
* |
Superior Energy Services Inc. |
|
430,769 |
|
144 |
|
|
|
|
|
|
|
68,832 |
|
|
Financials (17.9%) |
|
|
|
|
| |
|
|
Selective Insurance Group Inc. |
|
180,930 |
|
14,407 |
|
|
|
FirstCash Inc. |
|
131,521 |
|
12,985 |
|
|
|
RLI Corp. |
|
119,966 |
|
10,985 |
|
|
|
Glacier Bancorp Inc. |
|
261,071 |
|
10,362 |
|
|
|
Community Bank System Inc. |
|
157,198 |
|
9,587 |
|
|
|
Apollo Commercial Real Estate Finance Inc. |
|
417,478 |
|
7,744 |
|
|
|
Columbia Banking System Inc. |
|
222,996 |
|
7,696 |
|
|
|
Old National Bancorp |
|
452,929 |
|
7,609 |
|
|
|
Independent Bank Corp. |
|
104,108 |
|
7,039 |
|
|
|
First Financial Bancorp |
|
299,319 |
|
7,010 |
|
|
|
Simmons First National Corp. Class A |
|
291,113 |
|
6,987 |
|
|
|
First Midwest Bancorp Inc. |
|
339,077 |
|
6,510 |
|
|
|
Invesco Mortgage Capital Inc. |
|
431,772 |
|
6,490 |
|
|
|
CVB Financial Corp. |
|
310,421 |
|
6,385 |
|
|
|
ProAssurance Corp. |
|
162,954 |
|
6,367 |
|
|
|
United Community Banks Inc. |
|
240,308 |
|
6,347 |
|
|
|
First BanCorp |
|
659,486 |
|
6,318 |
|
|
|
Ameris Bancorp |
|
175,799 |
|
6,186 |
|
|
|
American Equity Investment Life Holding Co. |
|
276,302 |
|
5,954 |
|
|
* |
NMI Holdings Inc. Class A |
|
205,275 |
|
5,817 |
|
|
|
LegacyTexas Financial Group Inc. |
|
137,421 |
|
5,552 |
|
|
|
PennyMac Mortgage Investment Trust |
|
254,531 |
|
5,539 |
|
|
|
Horace Mann Educators Corp. |
|
124,910 |
|
5,480 |
|
|
|
Great Western Bancorp Inc. |
|
173,343 |
|
5,171 |
|
|
|
Banner Corp. |
|
94,833 |
|
5,112 |
|
|
|
Northwest Bancshares Inc. |
|
323,159 |
|
5,109 |
|
|
|
Westamerica Bancorporation |
|
82,392 |
|
5,076 |
|
|
|
Hope Bancorp Inc. |
|
367,162 |
|
4,924 |
|
|
* |
eHealth Inc. |
|
58,043 |
|
4,836 |
|
|
|
Redwood Trust Inc. |
|
291,252 |
|
4,835 |
|
|
|
Walker & Dunlop Inc. |
|
86,232 |
|
4,817 |
|
|
* |
PRA Group Inc. |
|
138,146 |
|
4,716 |
|
|
|
NBT Bancorp Inc. |
|
133,349 |
|
4,663 |
|
|
|
James River Group Holdings Ltd. |
|
91,947 |
|
4,531 |
|
|
|
Provident Financial Services Inc. |
|
186,221 |
|
4,434 |
|
|
|
Safety Insurance Group Inc. |
|
44,550 |
|
4,296 |
|
|
|
New York Mortgage Trust Inc. |
|
692,379 |
|
4,258 |
|
|
* |
Axos Financial Inc. |
|
163,695 |
|
4,241 |
|
|
|
ServisFirst Bancshares Inc. |
|
139,457 |
|
4,239 |
|
|
|
Employers Holdings Inc. |
|
97,607 |
|
4,210 |
|
|
|
Berkshire Hills Bancorp Inc. |
|
139,090 |
|
4,079 |
|
|
|
Pacific Premier Bancorp Inc. |
|
137,836 |
|
4,061 |
|
|
|
AMERISAFE Inc. |
|
58,814 |
|
4,040 |
|
|
|
Eagle Bancorp Inc. |
|
96,301 |
|
3,923 |
|
|
|
City Holding Co. |
|
49,996 |
|
3,717 |
|
|
|
First Commonwealth Financial Corp. |
|
298,805 |
|
3,696 |
|
|
|
Waddell & Reed Financial Inc. Class A |
|
228,138 |
|
3,689 |
|
|
* |
Seacoast Banking Corp. of Florida |
|
156,049 |
|
3,642 |
|
|
|
S&T Bancorp Inc. |
|
103,907 |
|
3,556 |
|
|
|
Brookline Bancorp Inc. |
|
241,329 |
|
3,388 |
|
|
* |
Blucora Inc. |
|
146,687 |
|
3,312 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
Veritex Holdings Inc. |
|
138,637 |
|
3,272 |
|
|
|
Flagstar Bancorp Inc. |
|
87,412 |
|
3,177 |
|
|
|
Southside Bancshares Inc. |
|
95,937 |
|
3,159 |
|
|
|
Piper Jaffray Cos. |
|
42,918 |
|
3,123 |
|
|
|
Tompkins Financial Corp. |
|
37,573 |
|
2,972 |
|
|
|
Granite Point Mortgage Trust Inc. |
|
161,159 |
|
2,948 |
|
|
|
United Fire Group Inc. |
|
64,959 |
|
2,934 |
|
|
* |
Encore Capital Group Inc. |
|
78,239 |
|
2,887 |
|
|
|
ARMOUR Residential REIT Inc. |
|
172,065 |
|
2,825 |
|
|
|
Boston Private Financial Holdings Inc. |
|
257,066 |
|
2,730 |
|
|
|
OFG Bancorp |
|
132,358 |
|
2,716 |
|
|
|
Heritage Financial Corp. |
|
101,015 |
|
2,645 |
|
|
|
Meta Financial Group Inc. |
|
84,355 |
|
2,607 |
|
|
|
National Bank Holdings Corp. Class A |
|
79,047 |
|
2,580 |
|
|
|
Stewart Information Services Corp. |
|
71,600 |
|
2,565 |
|
|
* |
Ambac Financial Group Inc. |
|
141,015 |
|
2,544 |
|
|
* |
World Acceptance Corp. |
|
19,118 |
|
2,541 |
|
|
* |
Enova International Inc. |
|
102,762 |
|
2,456 |
|
|
|
Universal Insurance Holdings Inc. |
|
96,900 |
|
2,422 |
|
|
|
Central Pacific Financial Corp. |
|
86,812 |
|
2,415 |
|
|
|
Virtus Investment Partners Inc. |
|
21,469 |
|
2,291 |
|
|
|
TrustCo Bank Corp. NY |
|
296,193 |
|
2,272 |
|
|
* |
Triumph Bancorp Inc. |
|
75,447 |
|
2,263 |
|
|
|
Northfield Bancorp Inc. |
|
143,537 |
|
2,228 |
|
|
* |
Third Point Reinsurance Ltd. |
|
229,946 |
|
2,166 |
|
|
|
Preferred Bank |
|
42,450 |
|
2,121 |
|
|
|
Capstead Mortgage Corp. |
|
291,029 |
|
2,116 |
|
|
|
Oritani Financial Corp. |
|
115,980 |
|
1,987 |
|
|
* |
HomeStreet Inc. |
|
73,900 |
|
1,949 |
|
|
|
Banc of California Inc. |
|
132,438 |
|
1,930 |
|
|
* |
INTL. FCStone Inc. |
|
48,936 |
|
1,919 |
|
|
|
Dime Community Bancshares Inc. |
|
94,187 |
|
1,868 |
|
|
|
WisdomTree Investments Inc. |
|
362,097 |
|
1,742 |
|
|
|
Hanmi Financial Corp. |
|
95,269 |
|
1,706 |
|
|
* |
Customers Bancorp Inc. |
|
87,618 |
|
1,655 |
|
|
|
Opus Bank |
|
67,140 |
|
1,394 |
|
|
* |
EZCORP Inc. Class A |
|
162,296 |
|
1,277 |
|
|
|
Franklin Financial Network Inc. |
|
38,351 |
|
1,109 |
|
|
* |
Donnelley Financial Solutions Inc. |
|
101,754 |
|
1,082 |
|
|
|
HCI Group Inc. |
|
21,032 |
|
820 |
|
|
|
United Insurance Holdings Corp. |
|
67,886 |
|
796 |
|
|
|
Greenhill & Co. Inc. |
|
55,366 |
|
777 |
|
|
|
|
|
|
|
388,913 |
|
|
Health Care (12.6%) |
|
|
|
|
| |
|
* |
Repligen Corp. |
|
135,945 |
|
12,617 |
|
|
* |
Neogen Corp. |
|
158,594 |
|
11,184 |
|
|
* |
LHC Group Inc. |
|
89,000 |
|
10,546 |
|
|
* |
Arrowhead Pharmaceuticals Inc. |
|
288,695 |
|
9,865 |
|
|
* |
HMS Holdings Corp. |
|
265,139 |
|
9,686 |
|
|
* |
Omnicell Inc. |
|
125,244 |
|
8,993 |
|
|
* |
Medicines Co. |
|
212,372 |
|
8,911 |
|
|
* |
AMN Healthcare Services Inc. |
|
141,572 |
|
8,268 |
|
|
|
CONMED Corp. |
|
79,200 |
|
7,981 |
|
|
* |
NeoGenomics Inc. |
|
311,968 |
|
7,793 |
|
|
|
Ensign Group Inc. |
|
151,674 |
|
7,569 |
|
|
* |
Integer Holdings Corp. |
|
91,145 |
|
6,599 |
|
|
* |
Medpace Holdings Inc. |
|
79,501 |
|
6,432 |
|
|
* |
Cambrex Corp. |
|
102,095 |
|
6,119 |
|
|
* |
Emergent BioSolutions Inc. |
|
137,483 |
|
6,022 |
|
|
* |
Merit Medical Systems Inc. |
|
166,746 |
|
5,799 |
|
|
* |
Xencor Inc. |
|
145,430 |
|
5,422 |
|
|
* |
Select Medical Holdings Corp. |
|
328,805 |
|
5,333 |
|
|
* |
Myriad Genetics Inc. |
|
223,385 |
|
5,256 |
|
|
|
US Physical Therapy Inc. |
|
38,720 |
|
5,170 |
|
|
* |
Cardiovascular Systems Inc. |
|
105,890 |
|
5,128 |
|
|
* |
Genomic Health Inc. |
|
65,363 |
|
5,011 |
|
|
* |
Magellan Health Inc. |
|
73,076 |
|
4,605 |
|
|
* |
Supernus Pharmaceuticals Inc. |
|
159,488 |
|
4,311 |
|
|
* |
BioTelemetry Inc. |
|
102,909 |
|
4,080 |
|
|
* |
Corcept Therapeutics Inc. |
|
316,832 |
|
3,995 |
|
|
* |
Momenta Pharmaceuticals Inc. |
|
301,126 |
|
3,803 |
|
|
* |
Enanta Pharmaceuticals Inc. |
|
48,585 |
|
3,428 |
|
|
* |
REGENXBIO Inc. |
|
93,886 |
|
3,238 |
|
|
* |
Tabula Rasa HealthCare Inc. |
|
55,529 |
|
3,154 |
|
|
* |
Varex Imaging Corp. |
|
116,144 |
|
3,060 |
|
|
* |
Orthofix Medical Inc. |
|
57,889 |
|
2,943 |
|
|
* |
Natus Medical Inc. |
|
103,373 |
|
2,861 |
|
|
* |
CryoLife Inc. |
|
104,594 |
|
2,803 |
|
|
* |
Addus HomeCare Corp. |
|
30,880 |
|
2,717 |
|
|
* |
Tivity Health Inc. |
|
146,097 |
|
2,668 |
|
|
* |
Tactile Systems Technology Inc. |
|
51,992 |
|
2,622 |
|
|
|
Mesa Laboratories Inc. |
|
11,852 |
|
2,622 |
|
|
|
Luminex Corp. |
|
127,263 |
|
2,609 |
|
|
* |
Lantheus Holdings Inc. |
|
117,810 |
|
2,564 |
|
|
* |
Cytokinetics Inc. |
|
176,261 |
|
2,476 |
|
|
* |
Anika Therapeutics Inc. |
|
43,392 |
|
2,463 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
* |
Amphastar Pharmaceuticals Inc. |
|
107,607 |
|
2,417 |
|
|
* |
Spectrum Pharmaceuticals Inc. |
|
327,856 |
|
2,406 |
|
|
* |
Innoviva Inc. |
|
206,413 |
|
2,392 |
|
|
* |
CorVel Corp. |
|
27,470 |
|
2,314 |
|
|
* |
Vanda Pharmaceuticals Inc. |
|
161,614 |
|
2,277 |
|
|
* |
AngioDynamics Inc. |
|
113,715 |
|
2,089 |
|
|
* |
NextGen Healthcare Inc. |
|
146,654 |
|
2,084 |
|
|
* |
HealthStream Inc. |
|
77,731 |
|
1,964 |
|
|
* |
Surmodics Inc. |
|
41,198 |
|
1,939 |
|
|
* |
Providence Service Corp. |
|
33,835 |
|
1,902 |
|
|
* |
Eagle Pharmaceuticals Inc. |
|
31,692 |
|
1,787 |
|
|
* |
ANI Pharmaceuticals Inc. |
|
25,688 |
|
1,683 |
|
|
|
LeMaitre Vascular Inc. |
|
48,717 |
|
1,542 |
|
|
* |
Heska Corp. |
|
21,434 |
|
1,504 |
|
|
* |
Endo International plc |
|
616,476 |
|
1,461 |
|
|
|
Phibro Animal Health Corp. Class A |
|
62,178 |
|
1,284 |
|
|
* |
Cutera Inc. |
|
42,799 |
|
1,236 |
|
|
* |
OraSure Technologies Inc. |
|
184,105 |
|
1,215 |
|
|
|
Meridian Bioscience Inc. |
|
130,934 |
|
1,209 |
|
|
* |
Cross Country Healthcare Inc. |
|
114,060 |
|
1,169 |
|
|
* |
Progenics Pharmaceuticals Inc. |
|
263,952 |
|
1,161 |
|
|
|
Owens & Minor Inc. |
|
220,507 |
|
1,120 |
|
|
* |
AMAG Pharmaceuticals Inc. |
|
100,101 |
|
1,093 |
|
|
* |
Lannett Co. Inc. |
|
102,337 |
|
1,054 |
|
|
* |
Diplomat Pharmacy Inc. |
|
166,700 |
|
969 |
|
|
*,^ |
Community Health Systems Inc. |
|
347,468 |
|
865 |
|
|
* |
Akorn Inc. |
|
294,951 |
|
852 |
|
|
|
Computer Programs & Systems Inc. |
|
37,259 |
|
788 |
|
|
|
Invacare Corp. |
|
109,095 |
|
528 |
|
|
* |
Acorda Therapeutics Inc. |
|
113,870 |
|
368 |
|
|
* |
Assertio Therapeutics Inc. |
|
188,688 |
|
272 |
|
|
|
|
|
|
|
273,670 |
|
|
Industrials (18.0%) |
|
|
|
|
| |
|
* |
Mercury Systems Inc. |
|
168,706 |
|
14,446 |
|
|
* |
FTI Consulting Inc. |
|
116,100 |
|
12,555 |
|
|
* |
Aerojet Rocketdyne Holdings Inc. |
|
220,716 |
|
11,528 |
|
|
|
Exponent Inc. |
|
158,434 |
|
11,231 |
|
|
|
John Bean Technologies Corp. |
|
96,242 |
|
9,847 |
|
|
|
UniFirst Corp. |
|
46,766 |
|
9,162 |
|
|
|
SkyWest Inc. |
|
155,747 |
|
8,918 |
|
|
|
Moog Inc. Class A |
|
98,780 |
|
8,026 |
|
|
|
Simpson Manufacturing Co. Inc. |
|
121,893 |
|
7,826 |
|
|
|
Watts Water Technologies Inc. Class A |
|
84,676 |
|
7,759 |
|
|
* |
Proto Labs Inc. |
|
81,545 |
|
7,726 |
|
|
|
Albany International Corp. Class A |
|
92,799 |
|
7,630 |
|
|
|
ABM Industries Inc. |
|
201,906 |
|
7,523 |
|
|
|
Universal Forest Products Inc. |
|
186,415 |
|
7,289 |
|
|
|
Brady Corp. Class A |
|
149,727 |
|
7,069 |
|
|
* |
Chart Industries Inc. |
|
108,511 |
|
6,819 |
|
|
* |
Saia Inc. |
|
78,750 |
|
6,736 |
|
|
|
Korn Ferry |
|
171,399 |
|
6,698 |
|
|
|
Barnes Group Inc. |
|
142,914 |
|
6,410 |
|
|
|
Applied Industrial Technologies Inc. |
|
116,797 |
|
6,236 |
|
|
|
Cubic Corp. |
|
87,119 |
|
6,035 |
|
|
|
ESCO Technologies Inc. |
|
79,135 |
|
6,025 |
|
|
|
AAON Inc. |
|
123,889 |
|
5,943 |
|
|
|
Allegiant Travel Co. Class A |
|
39,140 |
|
5,557 |
|
|
|
Federal Signal Corp. |
|
183,993 |
|
5,466 |
|
|
|
Forward Air Corp. |
|
87,586 |
|
5,457 |
|
|
|
Franklin Electric Co. Inc. |
|
116,770 |
|
5,354 |
|
|
|
Hillenbrand Inc. |
|
189,920 |
|
5,211 |
|
|
* |
SPX Corp. |
|
133,820 |
|
5,078 |
|
|
|
Kaman Corp. |
|
84,552 |
|
4,937 |
|
|
|
Arcosa Inc. |
|
146,461 |
|
4,758 |
|
|
|
Matson Inc. |
|
129,690 |
|
4,608 |
|
|
|
Mueller Industries Inc. |
|
172,112 |
|
4,537 |
|
|
* |
Hub Group Inc. Class A |
|
103,404 |
|
4,453 |
|
|
* |
SPX FLOW Inc. |
|
129,195 |
|
4,355 |
|
|
* |
Harsco Corp. |
|
243,242 |
|
4,354 |
|
|
|
Comfort Systems USA Inc. |
|
111,652 |
|
4,316 |
|
|
|
Mobile Mini Inc. |
|
137,455 |
|
4,297 |
|
|
|
AAR Corp. |
|
98,966 |
|
4,252 |
|
|
|
Actuant Corp. Class A |
|
187,069 |
|
4,155 |
|
|
|
US Ecology Inc. |
|
67,197 |
|
4,070 |
|
|
|
Viad Corp. |
|
61,467 |
|
3,973 |
|
|
* |
Gibraltar Industries Inc. |
|
97,932 |
|
3,944 |
|
|
|
EnPro Industries Inc. |
|
63,078 |
|
3,928 |
|
|
|
Tennant Co. |
|
55,241 |
|
3,778 |
|
|
* |
American Woodmark Corp. |
|
45,712 |
|
3,765 |
|
|
|
Hawaiian Holdings Inc. |
|
146,135 |
|
3,567 |
|
|
|
Encore Wire Corp. |
|
63,404 |
|
3,423 |
|
|
|
Alamo Group Inc. |
|
29,285 |
|
3,344 |
|
|
* |
AeroVironment Inc. |
|
64,857 |
|
3,342 |
|
|
|
Navigant Consulting Inc. |
|
119,814 |
|
3,339 |
|
|
|
AZZ Inc. |
|
79,477 |
|
3,280 |
|
|
|
Raven Industries Inc. |
|
109,690 |
|
3,200 |
|
|
|
Triumph Group Inc. |
|
151,623 |
|
3,151 |
|
|
|
Apogee Enterprises Inc. |
|
81,196 |
|
2,999 |
|
|
|
Heartland Express Inc. |
|
144,059 |
|
2,963 |
|
|
* |
GMS Inc. |
|
98,610 |
|
2,905 |
|
|
|
Lindsay Corp. |
|
32,843 |
|
2,899 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
* |
PGT Innovations Inc. |
|
178,832 |
|
2,861 |
|
|
|
Matthews International Corp. Class A |
|
97,094 |
|
2,846 |
|
|
|
Standex International Corp. |
|
38,842 |
|
2,670 |
|
|
* |
Patrick Industries Inc. |
|
69,435 |
|
2,509 |
|
|
* |
TrueBlue Inc. |
|
122,103 |
|
2,370 |
|
|
|
ArcBest Corp. |
|
78,316 |
|
2,319 |
|
|
|
Greenbrier Cos. Inc. |
|
99,322 |
|
2,313 |
|
|
|
Marten Transport Ltd. |
|
117,388 |
|
2,309 |
|
|
|
Wabash National Corp. |
|
168,921 |
|
2,304 |
|
|
|
Kelly Services Inc. Class A |
|
94,302 |
|
2,283 |
|
|
* |
CIRCOR International Inc. |
|
61,005 |
|
2,097 |
|
|
|
Interface Inc. Class A |
|
185,673 |
|
2,052 |
|
|
* |
Atlas Air Worldwide Holdings Inc. |
|
78,368 |
|
2,026 |
|
|
|
Astec Industries Inc. |
|
69,569 |
|
1,920 |
|
|
* |
Aegion Corp. Class A |
|
96,432 |
|
1,904 |
|
|
|
Pitney Bowes Inc. |
|
520,347 |
|
1,852 |
|
|
|
Griffon Corp. |
|
105,685 |
|
1,844 |
|
|
|
Quanex Building Products Corp. |
|
101,722 |
|
1,752 |
|
|
* |
Echo Global Logistics Inc. |
|
85,173 |
|
1,707 |
|
|
* |
DXP Enterprises Inc. |
|
48,932 |
|
1,588 |
|
|
* |
Team Inc. |
|
94,026 |
|
1,550 |
|
|
|
Heidrick & Struggles International Inc. |
|
58,297 |
|
1,548 |
|
|
* |
Vicor Corp. |
|
49,822 |
|
1,519 |
|
|
|
Resources Connection Inc. |
|
90,497 |
|
1,498 |
|
|
* |
MYR Group Inc. |
|
50,372 |
|
1,444 |
|
|
|
National Presto Industries Inc. |
|
15,479 |
|
1,327 |
|
|
* |
Lydall Inc. |
|
54,126 |
|
1,088 |
|
|
|
Forrester Research Inc. |
|
31,187 |
|
1,087 |
|
|
|
Insteel Industries Inc. |
|
53,929 |
|
1,008 |
|
|
|
Park Aerospace Corp. |
|
59,167 |
|
1,000 |
|
|
|
Powell Industries Inc. |
|
27,268 |
|
990 |
|
|
* |
Veritiv Corp. |
|
41,054 |
|
680 |
|
|
|
RR Donnelley & Sons Co. |
|
226,443 |
|
548 |
|
|
|
Briggs & Stratton Corp. |
|
115,784 |
|
500 |
|
|
|
Titan International Inc. |
|
143,260 |
|
372 |
|
|
|
LSC Communications Inc. |
|
88,889 |
|
116 |
|
|
|
|
|
|
|
392,253 |
|
|
Information Technology (14.8%) |
|
|
|
|
| |
|
* |
SolarEdge Technologies Inc. |
|
135,916 |
|
11,134 |
|
|
|
Cabot Microelectronics Corp. |
|
88,552 |
|
11,038 |
|
|
* |
Viavi Solutions Inc. |
|
694,841 |
|
9,651 |
|
|
*,^ |
Finisar Corp. |
|
367,370 |
|
8,306 |
|
|
* |
Qualys Inc. |
|
102,642 |
|
8,172 |
|
|
|
Power Integrations Inc. |
|
89,169 |
|
7,938 |
|
|
* |
Rogers Corp. |
|
56,378 |
|
7,466 |
|
|
|
Brooks Automation Inc. |
|
219,244 |
|
7,307 |
|
|
* |
LivePerson Inc. |
|
181,426 |
|
7,210 |
|
|
* |
8x8 Inc. |
|
292,922 |
|
7,121 |
|
|
* |
ExlService Holdings Inc. |
|
104,395 |
|
7,068 |
|
|
* |
Itron Inc. |
|
101,704 |
|
7,063 |
|
|
* |
II-VI Inc. |
|
181,218 |
|
6,797 |
|
|
|
EVERTEC Inc. |
|
182,567 |
|
6,364 |
|
|
* |
Sanmina Corp. |
|
209,468 |
|
6,054 |
|
|
* |
Advanced Energy Industries Inc. |
|
116,235 |
|
6,002 |
|
|
|
ManTech International Corp. Class A |
|
81,128 |
|
5,702 |
|
|
* |
Fabrinet |
|
111,973 |
|
5,653 |
|
|
* |
Knowles Corp. |
|
276,549 |
|
5,608 |
|
|
* |
SPS Commerce Inc. |
|
109,104 |
|
5,514 |
|
|
|
CSG Systems International Inc. |
|
101,193 |
|
5,452 |
|
|
* |
OSI Systems Inc. |
|
51,449 |
|
5,403 |
|
|
* |
Anixter International Inc. |
|
87,834 |
|
5,267 |
|
|
* |
Plexus Corp. |
|
91,405 |
|
5,229 |
|
|
* |
Insight Enterprises Inc. |
|
108,629 |
|
5,221 |
|
|
|
Progress Software Corp. |
|
135,427 |
|
5,116 |
|
|
* |
Alarm.com Holdings Inc. |
|
107,407 |
|
5,113 |
|
|
* |
Bottomline Technologies DE Inc. |
|
114,829 |
|
4,736 |
|
|
|
Badger Meter Inc. |
|
88,633 |
|
4,572 |
|
|
* |
Diodes Inc. |
|
121,561 |
|
4,443 |
|
|
* |
Cray Inc. |
|
125,513 |
|
4,384 |
|
|
|
NIC Inc. |
|
204,338 |
|
4,254 |
|
|
* |
Rambus Inc. |
|
333,858 |
|
4,187 |
|
|
|
Kulicke & Soffa Industries Inc. |
|
197,498 |
|
4,114 |
|
|
* |
FormFactor Inc. |
|
227,095 |
|
3,881 |
|
|
* |
MaxLinear Inc. |
|
195,426 |
|
3,873 |
|
|
* |
Perficient Inc. |
|
100,216 |
|
3,692 |
|
|
|
Methode Electronics Inc. |
|
113,230 |
|
3,594 |
|
|
* |
MicroStrategy Inc. Class A |
|
24,890 |
|
3,566 |
|
|
* |
Sykes Enterprises Inc. |
|
119,751 |
|
3,473 |
|
|
* |
ePlus Inc. |
|
41,417 |
|
3,385 |
|
|
* |
Cardtronics plc Class A |
|
113,917 |
|
3,374 |
|
|
* |
NETGEAR Inc. |
|
96,027 |
|
3,334 |
|
|
|
MTS Systems Corp. |
|
54,701 |
|
3,111 |
|
|
|
Benchmark Electronics Inc. |
|
117,329 |
|
3,107 |
|
|
* |
TTM Technologies Inc. |
|
287,237 |
|
3,062 |
|
|
* |
Virtusa Corp. |
|
84,507 |
|
3,054 |
|
|
|
KEMET Corp. |
|
176,159 |
|
2,951 |
|
|
|
CTS Corp. |
|
99,767 |
|
2,846 |
|
|
|
TiVo Corp. |
|
374,971 |
|
2,824 |
|
|
|
Xperi Corp. |
|
150,161 |
|
2,751 |
|
|
* |
Diebold Nixdorf Inc. |
|
233,059 |
|
2,613 |
|
|
* |
FARO Technologies Inc. |
|
52,991 |
|
2,609 |
|
|
*,^ |
3D Systems Corp. |
|
356,816 |
|
2,498 |
|
|
|
Monotype Imaging Holdings Inc. |
|
126,377 |
|
2,496 |
|
|
* |
Extreme Networks Inc. |
|
361,662 |
|
2,416 |
|
|
^ |
Ebix Inc. |
|
67,069 |
|
2,376 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
* |
ScanSource Inc. |
|
78,622 |
|
2,222 |
|
|
* |
Photronics Inc. |
|
203,908 |
|
2,202 |
|
|
* |
CEVA Inc. |
|
66,826 |
|
2,099 |
|
|
* |
Rudolph Technologies Inc. |
|
94,449 |
|
2,077 |
|
|
* |
Nanometrics Inc. |
|
75,005 |
|
2,047 |
|
|
|
TTEC Holdings Inc. |
|
42,747 |
|
2,005 |
|
|
|
Comtech Telecommunications Corp. |
|
74,607 |
|
1,996 |
|
|
* |
Harmonic Inc. |
|
269,695 |
|
1,777 |
|
|
* |
Axcelis Technologies Inc. |
|
100,910 |
|
1,545 |
|
|
|
Cohu Inc. |
|
126,560 |
|
1,509 |
|
|
|
ADTRAN Inc. |
|
146,186 |
|
1,501 |
|
|
* |
Agilysys Inc. |
|
53,955 |
|
1,470 |
|
|
* |
Ichor Holdings Ltd. |
|
68,076 |
|
1,447 |
|
|
* |
Ultra Clean Holdings Inc. |
|
120,016 |
|
1,433 |
|
|
* |
Veeco Instruments Inc. |
|
149,505 |
|
1,384 |
|
|
* |
OneSpan Inc. |
|
96,453 |
|
1,302 |
|
|
* |
SMART Global Holdings Inc. |
|
38,808 |
|
1,103 |
|
|
* |
Digi International Inc. |
|
86,057 |
|
1,100 |
|
|
* |
Unisys Corp. |
|
156,150 |
|
1,021 |
|
|
* |
PDF Solutions Inc. |
|
85,884 |
|
1,006 |
|
|
* |
CalAmp Corp. |
|
96,502 |
|
926 |
|
|
|
Daktronics Inc. |
|
123,346 |
|
892 |
|
|
* |
DSP Group Inc. |
|
59,677 |
|
826 |
|
|
* |
Arlo Technologies Inc. |
|
229,222 |
|
720 |
|
|
*,^ |
Applied Optoelectronics Inc. |
|
55,129 |
|
491 |
|
|
|
Bel Fuse Inc. Class B |
|
29,869 |
|
329 |
|
|
* |
Kopin Corp. |
|
167,478 |
|
155 |
|
|
|
|
|
|
|
322,130 |
|
|
Materials (4.1%) |
|
|
|
|
| |
|
|
Balchem Corp. |
|
98,100 |
|
8,710 |
|
|
|
HB Fuller Co. |
|
154,583 |
|
6,587 |
|
|
|
Quaker Chemical Corp. |
|
39,120 |
|
6,215 |
|
|
|
Innospec Inc. |
|
74,433 |
|
6,191 |
|
|
|
Stepan Co. |
|
61,848 |
|
5,900 |
|
|
|
Trinseo SA |
|
124,229 |
|
4,359 |
|
|
|
Kaiser Aluminum Corp. |
|
48,988 |
|
4,332 |
|
|
|
Boise Cascade Co. |
|
118,701 |
|
3,727 |
|
|
|
Materion Corp. |
|
61,756 |
|
3,634 |
|
|
|
Neenah Inc. |
|
51,221 |
|
3,267 |
|
|
|
Schweitzer-Mauduit International Inc. |
|
93,924 |
|
3,150 |
|
|
* |
Livent Corp. |
|
441,165 |
|
2,713 |
|
|
* |
Kraton Corp. |
|
98,190 |
|
2,694 |
|
|
* |
Ferro Corp. |
|
250,025 |
|
2,548 |
|
|
* |
AK Steel Holding Corp. |
|
972,469 |
|
2,101 |
|
|
* |
US Concrete Inc. |
|
48,428 |
|
1,962 |
|
|
* |
AdvanSix Inc. |
|
86,759 |
|
1,938 |
|
|
|
PH Glatfelter Co. |
|
134,746 |
|
1,938 |
|
|
|
Myers Industries Inc. |
|
107,942 |
|
1,817 |
|
|
|
Innophos Holdings Inc. |
|
61,364 |
|
1,724 |
|
|
* |
SunCoke Energy Inc. |
|
275,221 |
|
1,717 |
|
|
* |
Koppers Holdings Inc. |
|
63,452 |
|
1,682 |
|
|
|
Mercer International Inc. |
|
131,520 |
|
1,583 |
|
|
|
Tredegar Corp. |
|
78,863 |
|
1,364 |
|
|
|
Hawkins Inc. |
|
29,429 |
|
1,305 |
|
|
|
Haynes International Inc. |
|
39,262 |
|
1,173 |
|
|
|
American Vanguard Corp. |
|
82,066 |
|
1,163 |
|
|
|
FutureFuel Corp. |
|
79,132 |
|
853 |
|
|
* |
Clearwater Paper Corp. |
|
51,771 |
|
829 |
|
|
* |
Century Aluminum Co. |
|
142,254 |
|
784 |
|
|
* |
TimkenSteel Corp. |
|
107,620 |
|
562 |
|
|
|
Rayonier Advanced Materials Inc. |
|
151,333 |
|
531 |
|
|
|
Olympic Steel Inc. |
|
33,681 |
|
362 |
|
|
* |
LSB Industries Inc. |
|
57,189 |
|
267 |
|
|
|
|
|
|
|
89,682 |
|
|
Other (0.0%)2 |
|
|
|
|
| |
|
*,§ |
A Schulman Inc. CVR |
|
71,146 |
|
31 |
|
|
|
|
|
|
|
|
|
|
Real Estate (7.0%) |
|
|
|
|
| |
|
|
Agree Realty Corp. |
|
127,731 |
|
9,540 |
|
|
|
Xenia Hotels & Resorts Inc. |
|
342,338 |
|
6,919 |
|
|
|
CareTrust REIT Inc. |
|
290,696 |
|
6,916 |
|
|
|
Acadia Realty Trust |
|
250,424 |
|
6,849 |
|
|
|
American Assets Trust Inc. |
|
143,069 |
|
6,704 |
|
|
|
Lexington Realty Trust |
|
633,027 |
|
6,577 |
|
|
|
Washington REIT |
|
243,300 |
|
6,445 |
|
|
|
Retail Opportunity Investments Corp. |
|
346,616 |
|
6,069 |
|
|
|
Four Corners Property Trust Inc. |
|
207,889 |
|
5,923 |
|
|
|
LTC Properties Inc. |
|
120,608 |
|
5,886 |
|
|
|
DiamondRock Hospitality Co. |
|
614,323 |
|
5,818 |
|
|
|
National Storage Affiliates Trust |
|
173,030 |
|
5,789 |
|
|
|
Global Net Lease Inc. |
|
256,956 |
|
4,928 |
|
|
|
Easterly Government Properties Inc. |
|
237,245 |
|
4,875 |
|
|
|
Chesapeake Lodging Trust |
|
184,960 |
|
4,763 |
|
|
|
Office Properties Income Trust |
|
147,668 |
|
4,003 |
|
|
|
Independence Realty Trust Inc. |
|
272,222 |
|
3,787 |
|
|
|
Kite Realty Group Trust |
|
260,323 |
|
3,720 |
|
|
|
Universal Health Realty Income Trust |
|
38,401 |
|
3,713 |
|
|
|
Summit Hotel Properties Inc. |
|
321,972 |
|
3,593 |
|
|
|
Getty Realty Corp. |
|
102,346 |
|
3,250 |
|
|
^ |
Innovative Industrial Properties Inc. |
|
33,869 |
|
3,020 |
|
S&P Small-Cap 600 Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
RPT Realty |
|
248,462 |
|
2,957 |
|
|
|
Armada Hoffler Properties Inc. |
|
159,128 |
|
2,759 |
|
|
|
NorthStar Realty Europe Corp. |
|
153,046 |
|
2,591 |
|
|
|
iStar Inc. |
|
196,163 |
|
2,511 |
|
|
|
Franklin Street Properties Corp. |
|
330,939 |
|
2,505 |
|
|
|
Chatham Lodging Trust |
|
144,369 |
|
2,395 |
|
|
|
Community Healthcare Trust Inc. |
|
54,729 |
|
2,334 |
|
|
* |
Marcus & Millichap Inc. |
|
64,515 |
|
2,328 |
|
|
|
Urstadt Biddle Properties Inc. Class A |
|
90,597 |
|
1,902 |
|
|
^ |
Washington Prime Group Inc. |
|
555,160 |
|
1,793 |
|
|
|
Saul Centers Inc. |
|
35,394 |
|
1,778 |
|
|
^ |
Realogy Holdings Corp. |
|
353,500 |
|
1,690 |
|
|
|
Hersha Hospitality Trust Class A |
|
113,217 |
|
1,574 |
|
|
|
Whitestone REIT |
|
125,201 |
|
1,555 |
|
|
|
RE/MAX Holdings Inc. Class A |
|
55,146 |
|
1,416 |
|
|
^ |
Pennsylvania REIT |
|
172,376 |
|
886 |
|
|
|
Cedar Realty Trust Inc. |
|
242,330 |
|
574 |
|
|
^ |
CBL & Associates Properties Inc. |
|
497,259 |
|
452 |
|
|
|
|
|
|
|
153,087 |
|
|
Utilities (2.4%) |
|
|
|
|
| |
|
|
American States Water Co. |
|
112,667 |
|
10,425 |
|
|
|
Avista Corp. |
|
199,887 |
|
9,374 |
|
|
|
South Jersey Industries Inc. |
|
280,697 |
|
9,078 |
|
|
|
California Water Service Group |
|
147,089 |
|
8,302 |
|
|
|
El Paso Electric Co. |
|
123,524 |
|
8,239 |
|
|
|
Northwest Natural Holding Co. |
|
92,015 |
|
6,566 |
|
|
|
|
|
|
|
51,984 |
|
|
Total Common Stocks |
|
|
|
|
| |
|
(Cost $2,210,027) |
|
|
|
2,166,566 |
| |
|
Temporary Cash Investments (1.6%)1 |
|
|
|
|
| |
|
Money Market Fund (1.6%) |
|
|
|
|
| |
|
3,4 Vanguard Market Liquidity |
|
|
|
|
| |
|
Fund, 2.249% |
|
340,865 |
|
34,090 |
| |
|
|
|
|
|
|
| |
|
|
|
Face |
|
|
| |
|
|
|
Amount |
|
|
| |
|
|
|
($000 |
) |
|
| |
|
U.S. Government and Agency Obligations (0.0%) |
|
|
|
|
| |
|
5 United States Treasury |
|
|
|
|
| |
|
Bill, 2.048%, 11/21/19 |
|
300 |
|
299 |
| |
|
Total Temporary Cash Investments |
|
|
|
|
| |
|
(Cost $34,386) |
|
|
|
34,389 |
| |
|
Total Investments (101.1%) |
|
|
|
|
| |
|
(Cost $2,244,413) |
|
|
|
2,200,955 |
| |
|
|
Amount |
|
|
($000) |
|
|
|
|
Other Assets and Liabilities (-1.1%) |
|
|
Other Assets |
|
|
Investment in Vanguard |
110 |
|
Receivables for Accrued Income |
1,672 |
|
Receivables for Capital Shares Issued |
527 |
|
Other Assets5 |
140 |
|
Total Other Assets |
2,449 |
|
Liabilities |
|
|
Payables for Investment |
|
|
Securities Purchased |
(6,605) |
|
Collateral for Securities on Loan |
(19,372) |
|
Payables for Capital Shares Redeemed |
(64) |
|
Payables to Vanguard |
(147) |
|
Variation Margin Payable— |
|
|
Futures Contracts |
(22) |
|
Other Liabilities |
(131) |
|
Total Liabilities |
(26,341) |
|
Net Assets (100%) |
2,177,063 |
S&P Small-Cap 600 Index Fund
At August 31, 2019, net assets consisted of:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
2,254,452 |
|
|
Total Distributable Earnings (Loss) |
|
(77,389 |
) |
|
Net Assets |
|
2,177,063 |
|
|
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
|
Applicable to 7,175,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
990,783 |
|
|
Net Asset Value Per Share—ETF Shares |
|
$138.09 |
|
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Institutional Shares—Net Assets |
|
|
|
|
Applicable to 4,272,153 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
1,186,280 |
|
|
Net Asset Value Per Share—Institutional Shares |
|
$277.68 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $17,409,000.
§ Security value determined using significant unobservable inputs.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.1%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Includes $19,372,000 of collateral received for securities on loan.
5 Securities with a value of $299,000 and cash of $140,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
|
Derivative Financial Instruments Outstanding as of Period End |
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
($000 |
) |
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration |
|
Contracts |
|
Amount |
|
(Depreciation |
) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini Russell 2000 Index |
|
September 2019 |
|
134 |
|
10,011 |
|
(438 |
) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Statement of Operations
|
|
|
Year Ended |
|
|
|
|
August 31, 2019 |
|
|
|
|
($000 |
) |
|
Investment Income |
|
|
|
|
Income |
|
|
|
|
Dividends |
|
30,080 |
|
|
Interest1 |
|
145 |
|
|
Securities Lending—Net |
|
440 |
|
|
Total Income |
|
30,665 |
|
|
Expenses |
|
|
|
|
The Vanguard Group—Note B |
|
|
|
|
Investment Advisory Services |
|
310 |
|
|
Management and Administrative—ETF Shares |
|
734 |
|
|
Management and Administrative—Institutional Shares |
|
583 |
|
|
Marketing and Distribution—ETF Shares |
|
59 |
|
|
Marketing and Distribution—Institutional Shares |
|
41 |
|
|
Custodian Fees |
|
61 |
|
|
Auditing Fees |
|
32 |
|
|
Shareholders’ Reports—ETF Shares |
|
44 |
|
|
Shareholders’ Reports—Institutional Shares |
|
19 |
|
|
Trustees’ Fees and Expenses |
|
1 |
|
|
Total Expenses |
|
1,884 |
|
|
Net Investment Income |
|
28,781 |
|
|
Realized Net Gain (Loss) |
|
|
|
|
Investment Securities Sold1,2 |
|
118,765 |
|
|
Futures Contracts |
|
440 |
|
|
Realized Net Gain (Loss) |
|
119,205 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
|
Investment Securities1 |
|
(464,588 |
) |
|
Futures Contracts |
|
(552 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
|
(465,140 |
) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(317,154 |
) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $139,000, ($3,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $155,271,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
28,781 |
|
21,613 |
|
|
Realized Net Gain (Loss) |
|
119,205 |
|
133,795 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(465,140 |
) |
321,704 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(317,154 |
) |
477,112 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(11,931 |
) |
(8,287 |
) |
|
Institutional Shares |
|
(11,102 |
) |
(9,557 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(23,033 |
) |
(17,844 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
62,679 |
|
198,555 |
|
|
Institutional Shares |
|
328,261 |
|
113,603 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
|
390,940 |
|
312,158 |
|
|
Total Increase (Decrease) |
|
50,753 |
|
771,426 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
2,126,310 |
|
1,354,884 |
|
|
End of Period |
|
2,177,063 |
|
2,126,310 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding |
|
Year Ended August 31, |
| ||||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$164.67 |
|
$125.83 |
|
$112.23 |
|
$100.42 |
|
$99.81 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
1.941 |
1 |
1.784 |
1 |
1.573 |
1 |
1.375 |
1 |
1.204 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(26.858 |
) |
38.598 |
|
13.212 |
|
11.683 |
|
.497 |
|
|
Total from Investment Operations |
|
(24.917 |
) |
40.382 |
|
14.785 |
|
13.058 |
|
1.701 |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(1.663 |
) |
(1.542 |
) |
(1.185 |
) |
(1.248 |
) |
(1.091 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(1.663 |
) |
(1.542 |
) |
(1.185 |
) |
(1.248 |
) |
(1.091 |
) |
|
Net Asset Value, End of Period |
|
$138.09 |
|
$164.67 |
|
$125.83 |
|
$112.23 |
|
$100.42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-15.09% |
|
32.32% |
|
13.18% |
|
13.17% |
|
1.69% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$991 |
|
$1,107 |
|
$683 |
|
$342 |
|
$206 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.10% |
|
0.15% |
|
0.15% |
|
0.15% |
|
0.15% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.36% |
|
1.23% |
|
1.27% |
|
1.36% |
|
1.27% |
|
|
Portfolio Turnover Rate2 |
|
9% |
|
13% |
|
22% |
|
15% |
|
11% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares
|
For a Share Outstanding |
|
Year Ended August 31, |
| ||||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$331.26 |
|
$252.98 |
|
$225.56 |
|
$201.83 |
|
$200.56 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
3.941 |
1 |
3.769 |
1 |
3.303 |
1 |
2.925 |
1 |
2.545 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(54.011 |
) |
77.632 |
|
26.605 |
|
23.454 |
|
1.019 |
|
|
Total from Investment Operations |
|
(50.070 |
) |
81.401 |
|
29.908 |
|
26.379 |
|
3.564 |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(3.510 |
) |
(3.121 |
) |
(2.488 |
) |
(2.649 |
) |
(2.294 |
) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(3.510 |
) |
(3.121 |
) |
(2.488 |
) |
(2.649 |
) |
(2.294 |
) |
|
Net Asset Value, End of Period |
|
$277.68 |
|
$331.26 |
|
$252.98 |
|
$225.56 |
|
$201.83 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-15.09% |
|
32.39% |
|
13.26% |
|
13.22% |
|
1.77% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$1,186 |
|
$1,019 |
|
$672 |
|
$331 |
|
$238 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.38% |
|
1.30% |
|
1.34% |
|
1.43% |
|
1.34% |
|
|
Portfolio Turnover Rate2 |
|
9% |
|
13% |
|
22% |
|
15% |
|
11% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date
S&P Small-Cap 600 Index Fund
securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $110,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2019, based on the inputs used to value them:
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Investments |
|
($000 |
) |
($000 |
) |
($000 |
) |
|
Common Stocks |
|
2,166,535 |
|
— |
|
31 |
|
|
Temporary Cash Investments |
|
34,090 |
|
299 |
|
— |
|
|
Futures Contracts—Liabilities1 |
|
(22 |
) |
— |
|
— |
|
|
Total |
|
2,200,603 |
|
299 |
|
31 |
|
1 Represents variation margin on the last day of the reporting period.
S&P Small-Cap 600 Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
155,333 |
|
|
Total Distributable Earnings (Loss) |
|
(155,333 |
) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
19,300 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(53,140 |
) |
|
Net Unrealized Gains (Losses) |
|
(43,458 |
) |
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
2,244,413 |
|
|
Gross Unrealized Appreciation |
|
316,180 |
|
|
Gross Unrealized Depreciation |
|
(359,638 |
) |
|
Net Unrealized Appreciation (Depreciation) |
|
(43,458 |
) |
E. During the year ended August 31, 2019, the fund purchased $1,035,362,000 of investment securities and sold $640,014,000 of investment securities, other than temporary cash investments. Purchases and sales include $417,152,000 and $460,855,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
S&P Small-Cap 600 Index Fund
F. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31, |
| ||||||
|
|
|
|
|
2019 |
|
2018 |
| ||
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000 |
) |
($000 |
) |
(000 |
) |
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
569,862 |
|
4,000 |
|
542,381 |
|
3,700 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(507,183 |
) |
(3,550 |
) |
(343,826 |
) |
(2,400 |
) |
|
Net Increase (Decrease)—ETF Shares |
|
62,679 |
|
450 |
|
198,555 |
|
1,300 |
|
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
485,086 |
|
1,747 |
|
243,583 |
|
861 |
|
|
Issued in Lieu of Cash Distributions |
|
8,867 |
|
33 |
|
7,621 |
|
27 |
|
|
Redeemed |
|
(165,692 |
) |
(584 |
) |
(137,601 |
) |
(469 |
) |
|
Net Increase (Decrease)—Institutional Shares |
|
328,261 |
|
1,196 |
|
113,603 |
|
419 |
|
G. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
S&P Small-Cap 600 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
Periods Ended August 31, 2019 |
|
| ||||
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
Investment |
|
|
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value |
|
-15.93% |
|
6.10% |
|
12.05% |
|
$27,779 |
|
|
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price |
|
-15.95 |
|
6.11 |
|
12.04 |
|
27,766 |
|
|
S&P SmallCap 600 Value Index |
|
-15.82 |
|
6.24 |
|
12.23 |
|
28,188 |
|
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
|
|
|
|
|
Since |
|
Final Value |
|
|
|
One |
|
Inception |
|
of a $5,000,000 |
|
|
|
Year |
|
(11/19/2014) |
|
Investment |
|
S&P Small-Cap 600 Value Index Fund Institutional Shares |
|
-15.87% |
|
6.56% |
|
$6,773,799 |
|
S&P SmallCap 600 Value Index |
|
-15.82 |
|
6.58 |
|
6,779,343 |
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.56 |
|
7,737,630 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on November 19, 2014. The total returns shown are based on the period beginning November 19, 2014.
See Financial Highlights for dividend and capital gains information.
S&P Small-Cap 600 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
|
|
|
Since |
|
|
|
One |
|
Five |
|
Inception |
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price |
|
-15.95% |
|
34.50% |
|
177.66% |
|
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value |
|
-15.93 |
|
34.46 |
|
177.79 |
|
S&P SmallCap 600 Value Index |
|
-15.82 |
|
35.37 |
|
181.88 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Small-Cap 600 Value Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
1.7% |
|
Consumer Discretionary |
14.5 |
|
Consumer Staples |
3.9 |
|
Energy |
4.5 |
|
Financials |
21.5 |
|
Health Care |
4.3 |
|
Industrials |
19.0 |
|
Information Technology |
15.7 |
|
Materials |
5.5 |
|
Real Estate |
6.9 |
|
Utilities |
2.5 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.8%)1 |
|
|
|
|
| ||
|
Communication Services (1.7%) |
|
|
|
|
| ||
|
* |
|
Vonage Holdings Corp. |
|
136,547 |
|
1,805 |
|
|
|
|
Gannett Co. Inc. |
|
132,298 |
|
1,392 |
|
|
|
|
Scholastic Corp. |
|
32,181 |
|
1,129 |
|
|
|
|
Cogent Communications Holdings Inc. |
|
15,918 |
|
969 |
|
|
|
|
New Media Investment Group Inc. |
|
62,852 |
|
552 |
|
|
* |
|
Cincinnati Bell Inc. |
|
58,017 |
|
315 |
|
|
|
|
Spok Holdings Inc. |
|
20,576 |
|
242 |
|
|
* |
|
TechTarget Inc. |
|
8,842 |
|
210 |
|
|
|
|
Consolidated Communications Holdings Inc. |
|
37,465 |
|
151 |
|
|
*,^ |
|
Frontier Communications Corp. |
|
121,806 |
|
97 |
|
|
|
|
|
|
|
|
6,862 |
|
|
Consumer Discretionary (14.5%) |
|
|
|
|
| ||
|
* |
|
TopBuild Corp. |
|
39,763 |
|
3,683 |
|
|
|
|
Lithia Motors Inc. Class A |
|
25,816 |
|
3,384 |
|
|
* |
|
Meritage Homes Corp. |
|
41,545 |
|
2,715 |
|
|
|
|
LCI Industries |
|
28,888 |
|
2,448 |
|
|
|
|
MDC Holdings Inc. |
|
56,847 |
|
2,198 |
|
|
|
|
Bloomin’ Brands Inc. |
|
100,297 |
|
1,809 |
|
|
* |
|
LGI Homes Inc. |
|
21,714 |
|
1,770 |
|
|
|
|
La-Z-Boy Inc. |
|
53,890 |
|
1,717 |
|
|
|
|
Core-Mark Holding Co. Inc. |
|
52,982 |
|
1,716 |
|
|
|
|
Steven Madden Ltd. |
|
47,804 |
|
1,588 |
|
|
|
|
Group 1 Automotive Inc. |
|
20,317 |
|
1,518 |
|
|
* |
|
Installed Building Products Inc. |
|
24,268 |
|
1,381 |
|
|
* |
|
RH |
|
9,520 |
|
1,364 |
|
|
|
|
Cooper Tire & Rubber Co. |
|
57,926 |
|
1,361 |
|
|
* |
|
Rent-A-Center Inc. |
|
51,838 |
|
1,323 |
|
|
* |
|
M/I Homes Inc. |
|
31,855 |
|
1,151 |
|
|
* |
|
Asbury Automotive Group Inc. |
|
11,955 |
|
1,127 |
|
|
|
|
Abercrombie & Fitch Co. |
|
76,965 |
|
1,125 |
|
|
|
|
Winnebago Industries Inc. |
|
33,510 |
|
1,073 |
|
|
|
|
Big Lots Inc. |
|
46,114 |
|
1,049 |
|
|
|
|
Wolverine World Wide Inc. |
|
38,977 |
|
1,011 |
|
|
* |
|
G-III Apparel Group Ltd. |
|
48,065 |
|
986 |
|
|
|
|
Caleres Inc. |
|
48,729 |
|
982 |
|
|
* |
|
Century Communities Inc. |
|
31,891 |
|
899 |
|
|
* |
|
Garrett Motion Inc. |
|
86,190 |
|
848 |
|
|
* |
|
American Axle & Manufacturing Holdings Inc. |
|
129,979 |
|
824 |
|
|
|
|
Office Depot Inc. |
|
631,397 |
|
821 |
|
|
* |
|
Shutterfly Inc. |
|
15,072 |
|
767 |
|
|
|
|
Sonic Automotive Inc. Class A |
|
27,653 |
|
744 |
|
|
* |
|
Universal Electronics Inc. |
|
16,028 |
|
724 |
|
|
* |
|
Genesco Inc. |
|
20,059 |
|
716 |
|
|
* |
|
Cooper-Standard Holdings Inc. |
|
18,848 |
|
706 |
|
|
* |
|
Fossil Group Inc. |
|
52,734 |
|
675 |
|
|
* |
|
William Lyon Homes Class A |
|
38,054 |
|
672 |
|
|
|
|
Buckle Inc. |
|
32,937 |
|
646 |
|
|
* |
|
Conn’s Inc. |
|
28,350 |
|
572 |
|
|
* |
|
Zumiez Inc. |
|
21,971 |
|
571 |
|
|
|
|
Callaway Golf Co. |
|
31,666 |
|
562 |
|
|
|
|
Standard Motor Products Inc. |
|
11,613 |
|
515 |
|
|
* |
|
Red Robin Gourmet Burgers Inc. |
|
14,965 |
|
501 |
|
|
|
|
Designer Brands Inc. Class A |
|
29,857 |
|
492 |
|
|
|
|
Ethan Allen Interiors Inc. |
|
28,548 |
|
491 |
|
|
|
|
Cato Corp. Class A |
|
26,500 |
|
454 |
|
|
|
|
Oxford Industries Inc. |
|
6,482 |
|
452 |
|
|
* |
|
Gentherm Inc. |
|
12,033 |
|
442 |
|
|
|
|
Chico’s FAS Inc. |
|
136,540 |
|
426 |
|
|
|
|
Haverty Furniture Cos. Inc. |
|
21,747 |
|
416 |
|
|
^ |
|
GameStop Corp. Class A |
|
104,495 |
|
415 |
|
|
* |
|
Vista Outdoor Inc. |
|
66,547 |
|
372 |
|
|
* |
|
Shutterstock Inc. |
|
10,573 |
|
371 |
|
|
^ |
|
PetMed Express Inc. |
|
23,180 |
|
366 |
|
|
* |
|
MarineMax Inc. |
|
25,022 |
|
362 |
|
|
* |
|
Hibbett Sports Inc. |
|
21,299 |
|
352 |
|
|
* |
|
Boot Barn Holdings Inc. |
|
9,809 |
|
336 |
|
|
* |
|
Unifi Inc. |
|
16,798 |
|
323 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Motorcar Parts of America Inc. |
|
21,746 |
|
316 |
|
|
*,^ |
|
Lumber Liquidators Holdings Inc. |
|
33,069 |
|
311 |
|
|
|
|
Sturm Ruger & Co. Inc. |
|
7,234 |
|
297 |
|
|
* |
|
Monarch Casino & Resort Inc. |
|
6,317 |
|
280 |
|
|
*,^ |
|
JC Penney Co. Inc. |
|
365,060 |
|
272 |
|
|
* |
|
Vera Bradley Inc. |
|
24,241 |
|
257 |
|
|
* |
|
Chuy’s Holdings Inc. |
|
6,837 |
|
173 |
|
|
* |
|
Express Inc. |
|
77,495 |
|
164 |
|
|
* |
|
Barnes & Noble Education Inc. |
|
40,263 |
|
157 |
|
|
|
|
Mova do Group Inc. |
|
6,111 |
|
132 |
|
|
* |
|
Fiesta Restaurant Group Inc. |
|
13,876 |
|
120 |
|
|
|
|
Tile Shop Holdings Inc. |
|
44,058 |
|
119 |
|
|
* |
|
Vitamin Shoppe Inc. |
|
18,094 |
|
117 |
|
|
|
|
Superior Industries International Inc. |
|
27,008 |
|
74 |
|
|
* |
|
Nautilus Inc. |
|
34,753 |
|
48 |
|
|
* |
|
Kirkland’s Inc. |
|
16,750 |
|
25 |
|
|
|
|
|
|
|
|
59,174 |
|
|
Consumer Staples (3.9%) |
|
|
|
|
| ||
|
* |
|
Darling Ingredients Inc. |
|
190,302 |
|
3,540 |
|
|
|
|
Coca-Cola Consolidated Inc. |
|
5,362 |
|
1,805 |
|
|
|
|
Universal Corp. |
|
28,865 |
|
1,445 |
|
|
|
|
J&J Snack Foods Corp. |
|
6,783 |
|
1,309 |
|
|
* |
|
Central Garden & Pet Co. Class A |
|
47,698 |
|
1,148 |
|
|
|
|
Vector Group Ltd. |
|
77,783 |
|
908 |
|
|
|
|
Cal-Maine Foods Inc. |
|
19,963 |
|
809 |
|
|
|
|
Andersons Inc. |
|
30,365 |
|
696 |
|
|
|
|
Calavo Growers Inc. |
|
5,962 |
|
529 |
|
|
|
|
John B Sanfilippo & Son Inc. |
|
5,588 |
|
517 |
|
|
* |
|
United Natural Foods Inc. |
|
60,783 |
|
489 |
|
|
|
|
SpartanNash Co. |
|
42,020 |
|
453 |
|
|
^ |
|
B&G Foods Inc. |
|
26,395 |
|
447 |
|
|
* |
|
Chefs’ Warehouse Inc. |
|
11,206 |
|
432 |
|
|
* |
|
Central Garden & Pet Co. |
|
12,005 |
|
317 |
|
|
|
|
MGP Ingredients Inc. |
|
5,439 |
|
262 |
|
|
|
|
National Beverage Corp. |
|
6,200 |
|
254 |
|
|
* |
|
USANA Health Sciences Inc. |
|
3,698 |
|
251 |
|
|
* |
|
Seneca Foods Corp. Class A |
|
7,648 |
|
210 |
|
|
|
|
Dean Foods Co. |
|
105,902 |
|
107 |
|
|
|
|
|
|
|
|
15,928 |
|
|
Energy (4.5%) |
|
|
|
|
| ||
|
* |
|
PDC Energy Inc. |
|
72,329 |
|
2,304 |
|
|
* |
|
Dril-Quip Inc. |
|
41,834 |
|
1,918 |
|
|
* |
|
SRC Energy Inc. |
|
281,183 |
|
1,412 |
|
|
* |
|
Helix Energy Solutions Group Inc. |
|
161,594 |
|
1,170 |
|
|
|
|
SM Energy Co. |
|
119,294 |
|
1,131 |
|
|
* |
|
Oil States International Inc. |
|
69,858 |
|
963 |
|
|
* |
|
SEACOR Holdings Inc. |
|
20,132 |
|
946 |
|
|
^ |
|
US Silica Holdings Inc. |
|
84,998 |
|
864 |
|
|
* |
|
Par Pacific Holdings Inc. |
|
34,952 |
|
760 |
|
|
* |
|
Newpark Resources Inc. |
|
104,660 |
|
692 |
|
|
* |
|
C&J Energy Services Inc. |
|
71,063 |
|
679 |
|
|
* |
|
Matrix Service Co. |
|
30,969 |
|
615 |
|
|
* |
|
Diamond Offshore Drilling Inc. |
|
74,657 |
|
485 |
|
|
* |
|
REX American Resources Corp. |
|
6,514 |
|
447 |
|
|
* |
|
Laredo Petroleum Inc. |
|
177,852 |
|
441 |
|
|
* |
|
Gulfport Energy Corp. |
|
167,280 |
|
401 |
|
|
* |
|
Exterran Corp. |
|
36,445 |
|
384 |
|
|
|
|
Green Plains Inc. |
|
41,470 |
|
340 |
|
|
|
|
Nabors Industries Ltd. |
|
194,380 |
|
327 |
|
|
* |
|
CONSOL Energy Inc. |
|
18,500 |
|
310 |
|
|
* |
|
Noble Corp. plc |
|
163,748 |
|
262 |
|
|
* |
|
TETRA Technologies Inc. |
|
144,812 |
|
240 |
|
|
|
|
RPC Inc. |
|
44,200 |
|
235 |
|
|
* |
|
Bonanza Creek Energy Inc. |
|
10,382 |
|
234 |
|
|
* |
|
Geospace Technologies Corp. |
|
15,712 |
|
192 |
|
|
* |
|
Whiting Petroleum Corp. |
|
23,223 |
|
154 |
|
|
* |
|
Era Group Inc. |
|
12,628 |
|
120 |
|
|
* |
|
Unit Corp. |
|
35,843 |
|
109 |
|
|
* |
|
Gulf Island Fabrication Inc. |
|
16,013 |
|
101 |
|
|
* |
|
Ring Energy Inc. |
|
68,911 |
|
101 |
|
|
* |
|
Superior Energy Services Inc. |
|
181,437 |
|
61 |
|
|
|
|
|
|
|
|
18,398 |
|
|
Financials (21.4%) |
|
|
|
|
| ||
|
|
|
Apollo Commercial Real Estate Finance Inc. |
|
159,030 |
|
2,950 |
|
|
|
|
Columbia Banking System Inc. |
|
84,966 |
|
2,932 |
|
|
|
|
First Financial Bancorp |
|
113,896 |
|
2,667 |
|
|
|
|
Simmons First National Corp. Class A |
|
110,737 |
|
2,658 |
|
|
|
|
Invesco Mortgage Capital Inc. |
|
164,601 |
|
2,474 |
|
|
|
|
ProAssurance Corp. |
|
62,073 |
|
2,425 |
|
|
|
|
United Community Banks Inc. |
|
91,297 |
|
2,411 |
|
|
|
|
Ameris Bancorp |
|
66,827 |
|
2,352 |
|
|
|
|
PennyMac Mortgage Investment Trust |
|
97,513 |
|
2,122 |
|
|
|
|
Horace Mann Educators Corp. |
|
47,536 |
|
2,085 |
|
|
|
|
Banner Corp. |
|
36,105 |
|
1,946 |
|
|
|
|
Northwest Bancshares Inc. |
|
122,703 |
|
1,940 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Selective Insurance Group Inc. |
|
23,950 |
|
1,907 |
|
|
|
|
Hope Bancorp Inc. |
|
138,964 |
|
1,863 |
|
|
|
|
Walker & Dunlop Inc. |
|
32,674 |
|
1,825 |
|
|
* |
|
PRA Group Inc. |
|
52,418 |
|
1,790 |
|
|
|
|
NBT Bancorp Inc. |
|
50,552 |
|
1,768 |
|
|
|
|
James River Group Holdings Ltd. |
|
34,845 |
|
1,717 |
|
|
|
|
Provident Financial Services Inc. |
|
70,940 |
|
1,689 |
|
|
|
|
Safety Insurance Group Inc. |
|
16,882 |
|
1,628 |
|
|
|
|
Employers Holdings Inc. |
|
37,021 |
|
1,597 |
|
|
|
|
Berkshire Hills Bancorp Inc. |
|
52,578 |
|
1,542 |
|
|
|
|
Pacific Premier Bancorp Inc. |
|
52,129 |
|
1,536 |
|
|
|
|
Eagle Bancorp Inc. |
|
36,703 |
|
1,495 |
|
|
|
|
First Commonwealth Financial Corp. |
|
113,763 |
|
1,407 |
|
|
|
|
CVB Financial Corp. |
|
62,578 |
|
1,287 |
|
|
|
|
Flagstar Bancorp Inc. |
|
33,284 |
|
1,210 |
|
|
|
|
Southside Bancshares Inc. |
|
36,615 |
|
1,206 |
|
|
|
|
American Equity Investment Life Holding Co. |
|
55,647 |
|
1,199 |
|
|
|
|
Piper Jaffray Cos. |
|
16,439 |
|
1,196 |
|
|
|
|
First BanCorp |
|
123,042 |
|
1,179 |
|
|
* |
|
NMI Holdings Inc. Class A |
|
41,360 |
|
1,172 |
|
|
|
|
First Midwest Bancorp Inc. |
|
58,024 |
|
1,114 |
|
|
* |
|
Encore Capital Group Inc. |
|
29,699 |
|
1,096 |
|
|
|
|
Great Western Bancorp Inc. |
|
35,529 |
|
1,060 |
|
|
|
|
Boston Private Financial Holdings Inc. |
|
96,820 |
|
1,028 |
|
|
|
|
Meta Financial Group Inc. |
|
31,921 |
|
987 |
|
|
|
|
Stewart Information Services Corp. |
|
27,392 |
|
981 |
|
|
* |
|
Ambac Financial Group Inc. |
|
52,611 |
|
949 |
|
|
* |
|
Enova International Inc. |
|
38,979 |
|
932 |
|
|
|
|
ServisFirst Bancshares Inc. |
|
30,318 |
|
922 |
|
|
|
|
New York Mortgage Trust Inc. |
|
142,387 |
|
876 |
|
|
|
|
Northfield Bancorp Inc. |
|
54,672 |
|
849 |
|
|
* |
|
Axos Financial Inc. |
|
31,798 |
|
824 |
|
|
* |
|
Third Point Reinsurance Ltd. |
|
86,113 |
|
811 |
|
|
|
|
Capstead Mortgage Corp. |
|
109,123 |
|
793 |
|
|
|
|
Oritani Financial Corp. |
|
44,202 |
|
757 |
|
|
* |
|
INTL. FCStone Inc. |
|
18,532 |
|
727 |
|
|
|
|
Banc of California Inc. |
|
49,513 |
|
721 |
|
|
|
|
Dime Community Bancshares Inc. |
|
35,347 |
|
701 |
|
|
|
|
Waddell & Reed Financial Inc. Class A |
|
43,316 |
|
700 |
|
|
|
|
Hanmi Financial Corp. |
|
35,769 |
|
641 |
|
|
* |
|
Customers Bancorp Inc. |
|
33,046 |
|
624 |
|
|
|
|
S&T Bancorp Inc. |
|
17,820 |
|
610 |
|
|
|
|
Brookline Bancorp Inc. |
|
43,256 |
|
607 |
|
|
|
|
Tompkins Financial Corp. |
|
7,589 |
|
600 |
|
|
|
|
Granite Point Mortgage Trust Inc. |
|
31,645 |
|
579 |
|
|
|
|
OFG Bancorp |
|
27,189 |
|
558 |
|
|
|
|
Opus Bank |
|
24,924 |
|
517 |
|
|
|
|
AMERISAFE Inc. |
|
7,344 |
|
505 |
|
|
* |
|
EZCORP Inc. Class A |
|
60,600 |
|
477 |
|
|
|
|
Preferred Bank |
|
8,863 |
|
443 |
|
|
|
|
Central Pacific Financial Corp. |
|
15,886 |
|
442 |
|
|
|
|
Heritage Financial Corp. |
|
16,872 |
|
442 |
|
|
* |
|
World Acceptance Corp. |
|
3,285 |
|
437 |
|
|
|
|
ARMOUR Residential REIT Inc. |
|
26,582 |
|
436 |
|
|
|
|
Veritex Holdings Inc. |
|
17,870 |
|
422 |
|
|
|
|
TrustCo Bank Corp. NY |
|
54,861 |
|
421 |
|
|
* |
|
Donnelley Financial Solutions Inc. |
|
39,446 |
|
419 |
|
|
|
|
Franklin Financial Network Inc. |
|
14,298 |
|
414 |
|
|
|
|
Virtus Investment Partners Inc. |
|
3,787 |
|
404 |
|
|
|
|
National Bank Holdings Corp. Class A |
|
12,347 |
|
403 |
|
|
* |
|
HomeStreet Inc. |
|
14,097 |
|
372 |
|
|
|
|
United Insurance Holdings Corp. |
|
24,933 |
|
292 |
|
|
|
|
WisdomTree Investments Inc. |
|
48,934 |
|
235 |
|
|
|
|
Greenhill & Co. Inc. |
|
8,028 |
|
113 |
|
|
|
|
|
|
|
|
87,416 |
|
|
Health Care (4.3%) |
|
|
|
|
| ||
|
* |
|
Select Medical Holdings Corp. |
|
125,112 |
|
2,029 |
|
|
* |
|
Magellan Health Inc. |
|
27,771 |
|
1,750 |
|
|
* |
|
LHC Group Inc. |
|
12,177 |
|
1,443 |
|
|
* |
|
Myriad Genetics Inc. |
|
39,833 |
|
937 |
|
|
* |
|
Anika Therapeutics Inc. |
|
16,421 |
|
932 |
|
|
* |
|
Emergent BioSolutions Inc. |
|
20,391 |
|
893 |
|
|
* |
|
Medicines Co. |
|
20,142 |
|
845 |
|
|
* |
|
Providence Service Corp. |
|
12,828 |
|
721 |
|
|
* |
|
Cambrex Corp. |
|
11,288 |
|
676 |
|
|
* |
|
Momenta Pharmaceuticals Inc. |
|
38,726 |
|
489 |
|
|
* |
|
Varex Imaging Corp. |
|
17,698 |
|
466 |
|
|
* |
|
Genomic Health Inc. |
|
5,950 |
|
456 |
|
|
* |
|
Natus Medical Inc. |
|
16,467 |
|
456 |
|
|
* |
|
Cross Country Healthcare Inc. |
|
42,472 |
|
435 |
|
|
* |
|
Cytokinetics Inc. |
|
30,745 |
|
432 |
|
|
* |
|
AMAG Pharmaceuticals Inc. |
|
38,925 |
|
425 |
|
|
*,^ |
|
Lannett Co. Inc. |
|
39,615 |
|
408 |
|
|
* |
|
Orthofix Medical Inc. |
|
7,714 |
|
392 |
|
|
* |
|
Diplomat Pharmacy Inc. |
|
65,726 |
|
382 |
|
|
|
|
Owens & Minor Inc. |
|
72,593 |
|
369 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Lantheus Holdings Inc. |
|
15,276 |
|
332 |
|
|
* |
|
HealthStream Inc. |
|
12,685 |
|
321 |
|
|
* |
|
OraSure Technologies Inc. |
|
39,351 |
|
260 |
|
|
|
|
Phibro Animal Health Corp. Class A |
|
12,436 |
|
257 |
|
|
* |
|
Cutera Inc. |
|
8,599 |
|
248 |
|
|
|
|
LeMaitre Vascular Inc. |
|
7,344 |
|
233 |
|
|
* |
|
Community Health Systems Inc. |
|
77,917 |
|
194 |
|
|
* |
|
Akorn Inc. |
|
65,580 |
|
190 |
|
|
|
|
Invacare Corp. |
|
39,014 |
|
189 |
|
|
|
|
Computer Programs & Systems Inc. |
|
7,334 |
|
155 |
|
|
* |
|
Assertio Therapeutics Inc. |
|
74,053 |
|
107 |
|
|
* |
|
Acorda Therapeutics Inc. |
|
24,953 |
|
81 |
|
|
|
|
|
|
|
|
17,503 |
|
|
Industrials (18.9%) |
|
|
|
|
| ||
|
|
|
SkyWest Inc. |
|
59,169 |
|
3,388 |
|
|
|
|
Moog Inc. Class A |
|
37,513 |
|
3,048 |
|
|
|
|
ABM Industries Inc. |
|
76,651 |
|
2,856 |
|
|
|
|
Universal Forest Products Inc. |
|
70,859 |
|
2,771 |
|
|
* |
|
Saia Inc. |
|
29,896 |
|
2,557 |
|
|
* |
|
FTI Consulting Inc. |
|
22,832 |
|
2,469 |
|
|
* |
|
Mercury Systems Inc. |
|
25,572 |
|
2,190 |
|
|
|
|
Arcosa Inc. |
|
55,845 |
|
1,814 |
|
|
|
|
John Bean Technologies Corp. |
|
17,533 |
|
1,794 |
|
|
|
|
Mueller Industries Inc. |
|
65,393 |
|
1,724 |
|
|
* |
|
SPX FLOW Inc. |
|
49,116 |
|
1,656 |
|
|
|
|
Watts Water Technologies Inc. Class A |
|
16,633 |
|
1,524 |
|
|
|
|
Simpson Manufacturing Co. Inc. |
|
23,676 |
|
1,520 |
|
|
|
|
Viad Corp. |
|
23,428 |
|
1,514 |
|
|
|
|
EnPro Industries Inc. |
|
23,953 |
|
1,492 |
|
|
* |
|
American Woodmark Corp. |
|
17,341 |
|
1,428 |
|
|
* |
|
Chart Industries Inc. |
|
22,321 |
|
1,403 |
|
|
|
|
Barnes Group Inc. |
|
31,128 |
|
1,396 |
|
|
|
|
Encore Wire Corp. |
|
24,137 |
|
1,303 |
|
|
|
|
Alamo Group Inc. |
|
11,134 |
|
1,271 |
|
|
|
|
Hillenbrand Inc. |
|
41,967 |
|
1,152 |
|
|
|
|
Apogee Enterprises Inc. |
|
30,731 |
|
1,135 |
|
|
* |
|
GMS Inc. |
|
37,348 |
|
1,100 |
|
|
|
|
Cubic Corp. |
|
15,568 |
|
1,078 |
|
|
|
|
Matthews International Corp. Class A |
|
36,661 |
|
1,074 |
|
|
|
|
Applied Industrial Technologies Inc. |
|
20,070 |
|
1,071 |
|
|
|
|
Kaman Corp. |
|
17,762 |
|
1,037 |
|
|
|
|
Korn Ferry |
|
26,085 |
|
1,019 |
|
|
|
|
Standex International Corp. |
|
14,625 |
|
1,005 |
|
|
* |
|
Hub Group Inc. Class A |
|
22,078 |
|
951 |
|
|
* |
|
Patrick Industries Inc. |
|
26,176 |
|
946 |
|
|
|
|
Federal Signal Corp. |
|
30,666 |
|
911 |
|
|
* |
|
TrueBlue Inc. |
|
46,412 |
|
901 |
|
|
|
|
Marten Transport Ltd. |
|
44,826 |
|
882 |
|
|
|
|
Wabash National Corp. |
|
64,066 |
|
874 |
|
|
|
|
Kelly Services Inc. Class A |
|
36,042 |
|
873 |
|
|
|
|
Greenbrier Cos. Inc. |
|
37,457 |
|
872 |
|
|
|
|
ArcBest Corp. |
|
29,348 |
|
869 |
|
|
|
|
Brady Corp. Class A |
|
18,234 |
|
861 |
|
|
|
|
AAR Corp. |
|
19,609 |
|
842 |
|
|
* |
|
CIRCOR International Inc. |
|
23,006 |
|
791 |
|
|
|
|
AAON Inc. |
|
16,409 |
|
787 |
|
|
* |
|
Atlas Air Worldwide Holdings Inc. |
|
29,889 |
|
773 |
|
|
|
|
Interface Inc. Class A |
|
69,189 |
|
764 |
|
|
|
|
Actuant Corp. Class A |
|
34,095 |
|
757 |
|
|
|
|
Tennant Co. |
|
10,894 |
|
745 |
|
|
|
|
Forward Air Corp. |
|
11,950 |
|
744 |
|
|
|
|
Hawaiian Holdings Inc. |
|
30,479 |
|
744 |
|
|
|
|
Comfort Systems USA Inc. |
|
19,157 |
|
741 |
|
|
|
|
Astec Industries Inc. |
|
25,985 |
|
717 |
|
|
* |
|
Aegion Corp. Class A |
|
36,254 |
|
716 |
|
|
|
|
Pitney Bowes Inc. |
|
197,428 |
|
703 |
|
|
|
|
Griffon Corp. |
|
40,051 |
|
699 |
|
|
|
|
Triumph Group Inc. |
|
33,472 |
|
695 |
|
|
|
|
Quanex Building Products Corp. |
|
38,195 |
|
658 |
|
|
* |
|
Echo Global Logistics Inc. |
|
32,173 |
|
645 |
|
|
|
|
Navigant Consulting Inc. |
|
22,233 |
|
620 |
|
|
|
|
Lindsay Corp. |
|
6,850 |
|
605 |
|
|
|
|
Resources Connection Inc. |
|
34,768 |
|
575 |
|
|
* |
|
Team Inc. |
|
34,883 |
|
575 |
|
|
* |
|
Gibraltar Industries Inc. |
|
14,140 |
|
569 |
|
|
* |
|
MYR Group Inc. |
|
19,158 |
|
549 |
|
|
* |
|
PGT Innovations Inc. |
|
30,980 |
|
496 |
|
|
|
|
Heartland Express Inc. |
|
21,992 |
|
452 |
|
|
* |
|
Lydall Inc. |
|
20,268 |
|
408 |
|
|
|
|
Powell Industries Inc. |
|
10,165 |
|
369 |
|
|
|
|
AZZ Inc. |
|
8,764 |
|
362 |
|
|
|
|
Heidrick & Struggles International Inc. |
|
10,379 |
|
276 |
|
|
* |
|
Veritiv Corp. |
|
14,899 |
|
247 |
|
|
|
|
Briggs & Stratton Corp. |
|
48,563 |
|
210 |
|
|
|
|
RR Donnelley & Sons Co. |
|
82,200 |
|
199 |
|
|
|
|
Park Aerospace Corp. |
|
10,811 |
|
183 |
|
|
|
|
Insteel Industries Inc. |
|
9,515 |
|
178 |
|
|
|
|
Titan International Inc. |
|
57,946 |
|
151 |
|
|
|
|
LSC Communications Inc. |
|
38,494 |
|
50 |
|
|
|
|
|
|
|
|
77,324 |
|
|
Information Technology (15.7%) |
|
|
|
|
| ||
|
* |
|
Finisar Corp. |
|
135,990 |
|
3,075 |
|
|
* |
|
Itron Inc. |
|
38,631 |
|
2,683 |
|
|
* |
|
II-VI Inc. |
|
68,963 |
|
2,587 |
|
|
* |
|
Sanmina Corp. |
|
79,694 |
|
2,303 |
|
|
|
|
ManTech International Corp. Class A |
|
30,835 |
|
2,167 |
|
|
* |
|
Anixter International Inc. |
|
33,447 |
|
2,006 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
* |
|
Plexus Corp. |
|
34,767 |
|
1,989 |
|
|
* |
|
Insight Enterprises Inc. |
|
41,303 |
|
1,985 |
|
|
* |
|
Rambus Inc. |
|
127,109 |
|
1,594 |
|
|
|
|
Kulicke & Soffa Industries Inc. |
|
75,097 |
|
1,564 |
|
|
* |
|
ExlService Holdings Inc. |
|
23,010 |
|
1,558 |
|
|
* |
|
FormFactor Inc. |
|
86,150 |
|
1,472 |
|
|
* |
|
SolarEdge Technologies Inc. |
|
17,537 |
|
1,437 |
|
|
|
|
Methode Electronics Inc. |
|
42,732 |
|
1,356 |
|
|
* |
|
Advanced Energy Industries Inc. |
|
25,623 |
|
1,323 |
|
|
* |
|
Sykes Enterprises Inc. |
|
45,587 |
|
1,322 |
|
|
* |
|
NETGEAR Inc. |
|
36,383 |
|
1,263 |
|
|
* |
|
Qualys Inc. |
|
15,172 |
|
1,208 |
|
|
|
|
Benchmark Electronics Inc. |
|
44,555 |
|
1,180 |
|
|
|
|
CSG Systems International Inc. |
|
21,880 |
|
1,179 |
|
|
* |
|
OSI Systems Inc. |
|
11,088 |
|
1,164 |
|
|
* |
|
TTM Technologies Inc. |
|
108,442 |
|
1,156 |
|
|
|
|
Power Integrations Inc. |
|
12,854 |
|
1,144 |
|
|
|
|
TiVo Corp. |
|
144,323 |
|
1,087 |
|
|
|
|
Xperi Corp. |
|
56,949 |
|
1,043 |
|
|
* |
|
Knowles Corp. |
|
50,426 |
|
1,023 |
|
|
* |
|
LivePerson Inc. |
|
24,820 |
|
986 |
|
|
* |
|
Rogers Corp. |
|
7,074 |
|
937 |
|
|
* |
|
Diodes Inc. |
|
24,038 |
|
879 |
|
|
|
|
EVERTEC Inc. |
|
24,952 |
|
870 |
|
|
|
|
NIC Inc. |
|
41,772 |
|
870 |
|
|
* |
|
ScanSource Inc. |
|
29,704 |
|
839 |
|
|
* |
|
Fabrinet |
|
16,606 |
|
838 |
|
|
* |
|
Photronics Inc. |
|
77,354 |
|
835 |
|
|
|
|
Badger Meter Inc. |
|
15,819 |
|
816 |
|
|
* |
|
Alarm.com Holdings Inc. |
|
16,317 |
|
777 |
|
|
|
|
TTEC Holdings Inc. |
|
16,021 |
|
752 |
|
|
|
|
Comtech Telecommunications Corp. |
|
27,911 |
|
747 |
|
|
* |
|
Cray Inc. |
|
19,950 |
|
697 |
|
|
|
|
MTS Systems Corp. |
|
11,628 |
|
661 |
|
|
* |
|
MicroStrategy Inc. Class A |
|
4,454 |
|
638 |
|
|
* |
|
ePlus Inc. |
|
7,705 |
|
630 |
|
|
|
|
Progress Software Corp. |
|
16,419 |
|
620 |
|
|
* |
|
MaxLinear Inc. |
|
28,903 |
|
573 |
|
|
|
|
ADTRAN Inc. |
|
55,149 |
|
566 |
|
|
* |
|
Ichor Holdings Ltd. |
|
25,813 |
|
549 |
|
|
* |
|
Ultra Clean Holdings Inc. |
|
45,367 |
|
542 |
|
|
* |
|
Diebold Nixdorf Inc. |
|
47,705 |
|
535 |
|
|
* |
|
Veeco Instruments Inc. |
|
56,137 |
|
520 |
|
|
* |
|
FARO Technologies Inc. |
|
9,592 |
|
472 |
|
|
* |
|
Extreme Networks Inc. |
|
68,617 |
|
458 |
|
|
* |
|
CEVA Inc. |
|
14,233 |
|
447 |
|
|
* |
|
Rudolph Technologies Inc. |
|
19,324 |
|
425 |
|
|
* |
|
Digi International Inc. |
|
32,408 |
|
414 |
|
|
|
|
Ebix Inc. |
|
11,153 |
|
395 |
|
|
* |
|
PDF Solutions Inc. |
|
32,271 |
|
378 |
|
|
|
|
Daktronics Inc. |
|
45,996 |
|
333 |
|
|
|
|
Monotype Imaging Holdings Inc. |
|
15,795 |
|
312 |
|
|
|
|
Cohu Inc. |
|
26,129 |
|
311 |
|
|
* |
|
Axcelis Technologies Inc. |
|
20,154 |
|
309 |
|
|
*,^ |
|
Applied Optoelectronics Inc. |
|
21,834 |
|
194 |
|
|
* |
|
OneSpan Inc. |
|
11,963 |
|
162 |
|
|
* |
|
DSP Group Inc. |
|
11,468 |
|
159 |
|
|
* |
|
Arlo Technologies Inc. |
|
49,910 |
|
157 |
|
|
* |
|
CalAmp Corp. |
|
15,044 |
|
144 |
|
|
|
|
Bel Fuse Inc. Class B |
|
11,672 |
|
128 |
|
|
* |
|
SMART Global Holdings Inc. |
|
4,205 |
|
119 |
|
|
* |
|
Kopin Corp. |
|
32,716 |
|
30 |
|
|
|
|
|
|
|
|
63,892 |
|
|
Materials (5.5%) |
|
|
|
|
| ||
|
|
|
HB Fuller Co. |
|
58,755 |
|
2,503 |
|
|
|
|
Stepan Co. |
|
23,504 |
|
2,242 |
|
|
|
|
Balchem Corp. |
|
16,805 |
|
1,492 |
|
|
|
|
Boise Cascade Co. |
|
45,022 |
|
1,414 |
|
|
|
|
Trinseo SA |
|
35,744 |
|
1,254 |
|
|
|
|
Neenah Inc. |
|
19,485 |
|
1,243 |
|
|
|
|
Schweitzer-Mauduit International Inc. |
|
35,693 |
|
1,197 |
|
|
* |
|
Livent Corp. |
|
168,665 |
|
1,037 |
|
|
* |
|
Kraton Corp. |
|
36,999 |
|
1,015 |
|
|
* |
|
US Concrete Inc. |
|
18,253 |
|
740 |
|
|
|
|
PH Glatfelter Co. |
|
50,818 |
|
731 |
|
|
* |
|
AdvanSix Inc. |
|
32,710 |
|
731 |
|
|
|
|
Myers Industries Inc. |
|
40,898 |
|
688 |
|
|
|
|
Innophos Holdings Inc. |
|
22,702 |
|
638 |
|
|
* |
|
Koppers Holdings Inc. |
|
23,887 |
|
633 |
|
|
* |
|
Ferro Corp. |
|
61,591 |
|
628 |
|
|
|
|
Mercer International Inc. |
|
49,978 |
|
602 |
|
|
|
|
Tredegar Corp. |
|
29,509 |
|
510 |
|
|
|
|
Materion Corp. |
|
8,219 |
|
484 |
|
|
|
|
Haynes International Inc. |
|
14,471 |
|
432 |
|
|
|
|
American Vanguard Corp. |
|
30,254 |
|
429 |
|
|
* |
|
Century Aluminum Co. |
|
57,500 |
|
317 |
|
|
* |
|
AK Steel Holding Corp. |
|
145,758 |
|
315 |
|
|
* |
|
Clearwater Paper Corp. |
|
19,030 |
|
305 |
|
|
* |
|
TimkenSteel Corp. |
|
45,452 |
|
237 |
|
|
|
|
Rayonier Advanced Materials Inc. |
|
57,568 |
|
202 |
|
|
|
|
FutureFuel Corp. |
|
14,675 |
|
158 |
|
|
|
|
Olympic Steel Inc. |
|
10,527 |
|
113 |
|
|
* |
|
LSB Industries Inc. |
|
23,677 |
|
110 |
|
|
|
|
|
|
|
|
22,400 |
|
|
Other (0.0%)2 |
|
|
|
|
| ||
|
*,§ |
|
A Schulman Inc. CVR |
|
29,338 |
|
13 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate (6.9%) |
|
|
|
|
| ||
|
|
|
Xenia Hotels & Resorts Inc. |
|
130,102 |
|
2,629 |
|
|
|
|
Lexington Realty Trust |
|
241,439 |
|
2,509 |
|
|
|
|
Retail Opportunity Investments Corp. |
|
132,031 |
|
2,312 |
|
|
|
|
Chesapeake Lodging Trust |
|
70,176 |
|
1,807 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
|
|
Independence Realty Trust Inc. |
|
103,792 |
|
1,444 |
|
|
|
|
Kite Realty Group Trust |
|
96,936 |
|
1,385 |
|
|
|
|
Summit Hotel Properties Inc. |
|
121,374 |
|
1,354 |
|
|
|
|
Washington REIT |
|
50,846 |
|
1,347 |
|
|
|
|
Acadia Realty Trust |
|
41,121 |
|
1,125 |
|
|
|
|
American Assets Trust Inc. |
|
23,971 |
|
1,123 |
|
|
|
|
Global Net Lease Inc. |
|
56,187 |
|
1,078 |
|
|
|
|
iStar Inc. |
|
74,768 |
|
957 |
|
|
|
|
Franklin Street Properties Corp. |
|
123,931 |
|
938 |
|
|
|
|
Chatham Lodging Trust |
|
53,828 |
|
893 |
|
|
|
|
DiamondRock Hospitality Co. |
|
86,173 |
|
816 |
|
|
|
|
LTC Properties Inc. |
|
14,666 |
|
716 |
|
|
|
|
Office Properties Income Trust |
|
25,588 |
|
694 |
|
|
|
|
Realogy Holdings Corp. |
|
132,074 |
|
631 |
|
|
|
|
Hersha Hospitality Trust Class A |
|
41,601 |
|
578 |
|
|
|
|
Whitestone REIT |
|
46,005 |
|
571 |
|
|
|
|
RE/MAX Holdings Inc. Class A |
|
20,553 |
|
528 |
|
|
|
|
Getty Realty Corp. |
|
16,495 |
|
524 |
|
|
|
|
Universal Health Realty Income Trust |
|
5,402 |
|
522 |
|
|
|
|
RPT Realty |
|
34,373 |
|
409 |
|
|
^ |
|
Pennsylvania REIT |
|
68,811 |
|
354 |
|
|
|
|
Saul Centers Inc. |
|
5,115 |
|
257 |
|
|
|
|
Cedar Realty Trust Inc. |
|
98,998 |
|
235 |
|
|
|
|
NorthStar Realty Europe Corp. |
|
12,783 |
|
216 |
|
|
|
|
CBL & Associates Properties Inc. |
|
200,485 |
|
182 |
|
|
|
|
|
|
|
|
28,134 |
|
|
Utilities (2.5%) |
|
|
|
|
| ||
|
|
|
South Jersey Industries Inc. |
|
106,715 |
|
3,451 |
|
|
|
|
Avista Corp. |
|
40,251 |
|
1,888 |
|
|
|
|
El Paso Electric Co. |
|
22,052 |
|
1,471 |
|
|
|
|
California Water Service Group |
|
23,920 |
|
1,350 |
|
|
|
|
American States Water Co. |
|
13,611 |
|
1,260 |
|
|
|
|
Northwest Natural Holding Co. |
|
11,958 |
|
853 |
|
|
|
|
|
|
|
|
10,273 |
|
|
Total Common Stocks |
|
|
|
|
| ||
|
(Cost $428,498) |
|
|
|
407,317 |
| ||
|
Temporary Cash Investment (0.9%)1 |
|
|
|
|
| ||
|
Money Market Fund (0.9%) |
|
|
|
|
| ||
|
3,4 |
|
Vanguard Market Liquidity Fund, 2.249% |
|
|
|
|
|
|
|
|
(Cost $3,723) |
|
37,224 |
|
3,723 |
|
|
Total Investments (100.7%) |
|
|
|
|
| ||
|
(Cost $432,221) |
|
|
|
411,040 |
| ||
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000 |
) |
|
Other Assets and Liabilities (-0.7%) |
|
|
|
|
|
|
Other Assets |
|
|
|
|
|
|
Investment in Vanguard |
|
|
|
20 |
|
|
Receivables for Accrued Income |
|
|
|
374 |
|
|
Receivables for Capital Shares Issued |
|
|
|
9 |
|
|
Other Assets5 |
|
|
|
38 |
|
|
Total Other Assets |
|
|
|
441 |
|
|
Liabilities |
|
|
|
|
|
|
Payables for Investment Securities Purchased |
|
|
|
(1,253 |
) |
|
Collateral for Securities on Loan |
|
|
|
(2,186 |
) |
|
Payables for Capital Shares Redeemed |
|
|
|
(1 |
) |
|
Payables to Vanguard |
|
|
|
(32 |
) |
|
Variation Margin Payable—Futures Contracts |
|
|
|
(2 |
) |
|
Total Liabilities |
|
|
|
(3,474 |
) |
|
Net Assets (100%) |
|
|
|
408,007 |
|
At August 31, 2019, net assets consisted of:
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
|
|
472,285 |
|
|
Total Distributable Earnings (Loss) |
|
|
|
(64,278 |
) |
|
Net Assets |
|
|
|
408,007 |
|
|
|
|
|
|
|
|
|
ETF Shares—Net Assets |
|
|
|
|
|
|
Applicable to 3,025,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
372,784 |
|
|
Net Asset Value Per Share—ETF Shares |
|
|
|
$123.23 |
|
S&P Small-Cap 600 Value Index Fund
|
|
|
|
|
Amount |
|
|
|
|
|
|
($000 |
) |
|
Institutional Shares—Net Assets |
|
|
|
|
|
|
Applicable to 136,687 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
|
|
|
35,223 |
|
|
Net Asset Value Per Share—Institutional Shares |
|
|
|
$257.69 |
|
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers.
The total value of securities on loan is $1,939,000.
§ Security value determined using significant unobservable inputs.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.7%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Includes $2,186,000 of collateral received for securities on loan.
5 Cash of $36,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
|
Derivative Financial Instruments Outstanding as of Period End |
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
($000 |
) |
|
|
|
|
|
|
|
|
|
Value and |
|
|
|
|
|
|
Number of |
|
|
|
Unrealized |
|
|
|
|
|
|
Long (Short |
) |
Notional |
|
Appreciation |
|
|
|
|
Expiration |
|
Contracts |
|
Amount |
|
(Depreciation |
) |
|
Long Futures Contracts |
|
|
|
|
|
|
|
|
|
|
E-mini Russell 2000 Index |
|
September 2019 |
|
11 |
|
822 |
|
(1 |
) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Statement of Operations
|
|
|
Year Ended |
|
|
|
|
August 31, 2019 |
|
|
|
|
($000 |
) |
|
Investment Income |
|
|
|
|
Income |
|
|
|
|
Dividends |
|
7,287 |
|
|
Interest1 |
|
21 |
|
|
Securities Lending—Net |
|
102 |
|
|
Total Income |
|
7,410 |
|
|
Expenses |
|
|
|
|
The Vanguard Group—Note B |
|
|
|
|
Investment Advisory Services |
|
61 |
|
|
Management and Administrative—ETF Shares |
|
441 |
|
|
Management and Administrative—Institutional Shares |
|
17 |
|
|
Marketing and Distribution—ETF Shares |
|
21 |
|
|
Marketing and Distribution—Institutional Shares |
|
1 |
|
|
Custodian Fees |
|
15 |
|
|
Auditing Fees |
|
32 |
|
|
Shareholders’ Reports—ETF Shares |
|
20 |
|
|
Shareholders’ Reports—Institutional Shares |
|
— |
|
|
Trustees’ Fees and Expenses |
|
— |
|
|
Total Expenses |
|
608 |
|
|
Expenses Paid Indirectly |
|
(16 |
) |
|
Net Expenses |
|
592 |
|
|
Net Investment Income |
|
6,818 |
|
|
Realized Net Gain (Loss) |
|
|
|
|
Investment Securities Sold1,2 |
|
(16,968 |
) |
|
Futures Contracts |
|
(96 |
) |
|
Realized Net Gain (Loss) |
|
(17,064 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
|
Investment Securities1 |
|
(59,662 |
) |
|
Futures Contracts |
|
(35 |
) |
|
Change in Unrealized Appreciation (Depreciation) |
|
(59,697 |
) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(69,943 |
) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $19,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $14,040,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
($000 |
) |
($000 |
) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
Net Investment Income |
|
6,818 |
|
4,855 |
|
|
Realized Net Gain (Loss) |
|
(17,064 |
) |
36,261 |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
(59,697 |
) |
33,817 |
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(69,943 |
) |
74,933 |
|
|
Distributions |
|
|
|
|
|
|
Net Investment Income |
|
|
|
|
|
|
ETF Shares |
|
(6,228 |
) |
(3,976 |
) |
|
Institutional Shares |
|
(546 |
) |
(197 |
) |
|
Realized Capital Gain |
|
|
|
|
|
|
ETF Shares |
|
— |
|
— |
|
|
Institutional Shares |
|
— |
|
— |
|
|
Total Distributions |
|
(6,774 |
) |
(4,173 |
) |
|
Capital Share Transactions |
|
|
|
|
|
|
ETF Shares |
|
34,893 |
|
132,869 |
|
|
Institutional Shares |
|
7,713 |
|
16,900 |
|
|
Net Increase (Decrease) from Capital Share Transactions |
|
42,606 |
|
149,769 |
|
|
Total Increase (Decrease) |
|
(34,111 |
) |
220,529 |
|
|
Net Assets |
|
|
|
|
|
|
Beginning of Period |
|
442,118 |
|
221,589 |
|
|
End of Period |
|
408,007 |
|
442,118 |
|
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Financial Highlights
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a Share Outstanding |
|
Year Ended August 31, |
| ||||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$149.05 |
|
$118.23 |
|
$106.98 |
|
$94.66 |
|
$98.93 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
2.1411 |
|
2.0871 |
|
1.7491 |
|
1.352 |
|
1.337 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(25.811) |
|
30.593 |
|
11.165 |
|
12.736 |
|
(4.323) |
|
|
Total from Investment Operations |
|
(23.670) |
|
32.680 |
|
12.914 |
|
14.088 |
|
(2.986) |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(2.150) |
|
(1.860) |
|
(1.664) |
|
(1.768) |
|
(1.284) |
|
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(2.150) |
|
(1.860) |
|
(1.664) |
|
(1.768) |
|
(1.284) |
|
|
Net Asset Value, End of Period |
|
$123.23 |
|
$149.05 |
|
$118.23 |
|
$106.98 |
|
$94.66 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-15.93% |
|
27.84% |
|
12.11% |
|
15.14% |
|
-3.09% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$373 |
|
$410 |
|
$210 |
|
$126 |
|
$95 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.15% |
|
0.20% |
|
0.20% |
|
0.20% |
|
0.20% |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.66% |
|
1.54% |
|
1.49% |
|
1.49% |
|
1.43% |
|
|
Portfolio Turnover Rate2 |
|
39% |
|
34% |
|
46% |
|
42% |
|
43% |
|
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Financial Highlights
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nov. 19, |
|
|
|
|
|
|
|
|
|
|
|
|
20141 to |
|
|
For a Share Outstanding |
|
Year Ended August 31, |
|
Aug. 31, |
| ||||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
|
Net Asset Value, Beginning of Period |
|
$311.75 |
|
$247.26 |
|
$223.74 |
|
$198.02 |
|
$206.40 |
|
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
4.6092 |
|
4.6302 |
|
3.8292 |
|
3.057 |
|
2.201 |
|
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(53.914) |
|
64.065 |
|
23.461 |
|
26.649 |
|
(7.820) |
|
|
Total from Investment Operations |
|
(49.305) |
|
68.695 |
|
27.290 |
|
29.706 |
|
(5.619) |
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(4.755) |
|
(4.205) |
|
(3.770) |
|
(3.986) |
|
(2.761) |
|
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Total Distributions |
|
(4.755) |
|
(4.205) |
|
(3.770) |
|
(3.986) |
|
(2.761) |
|
|
Net Asset Value, End of Period |
|
$257.69 |
|
$311.75 |
|
$247.26 |
|
$223.74 |
|
$198.02 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-15.87% |
|
28.01% |
|
12.25% |
|
15.28% |
|
-2.79% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$35 |
|
$32 |
|
$12 |
|
$35 |
|
$15 |
|
|
Ratio of Total Expenses to Average Net Assets |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08% |
|
0.08%3 |
|
|
Ratio of Net Investment Income to Average Net Assets |
|
1.73% |
|
1.66% |
|
1.61% |
|
1.61% |
|
1.55%3 |
|
|
Portfolio Turnover Rate4 |
|
39% |
|
34% |
|
46% |
|
42% |
|
43% |
|
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on November 19, 2014. The Financial Highlights included in these financial statements are based on activity of the Institutional Shares since November 19, 2014.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
S&P Small-Cap 600 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $20,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $16,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2019, based on the inputs used to value them:
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Investments |
|
($000 |
) |
($000 |
) |
($000 |
) |
|
Common Stocks |
|
407,304 |
|
— |
|
13 |
|
|
Temporary Cash Investments |
|
3,723 |
|
— |
|
— |
|
|
Futures Contracts—Liabilities1 |
|
(2 |
) |
— |
|
— |
|
|
Total |
|
411,025 |
|
— |
|
13 |
|
1 Represents variation margin on the last day of the reporting period.
S&P Small-Cap 600 Value Index Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
14,040 |
|
|
Total Distributable Earnings (Loss) |
|
(14,040 |
) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
1,438 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(44,517 |
) |
|
Net Unrealized Gains (Losses) |
|
(21,181 |
) |
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
432,221 |
|
|
Gross Unrealized Appreciation |
|
51,340 |
|
|
Gross Unrealized Depreciation |
|
(72,521 |
) |
|
Net Unrealized Appreciation (Depreciation) |
|
(21,181 |
) |
F. During the year ended August 31, 2019, the fund purchased $276,908,000 of investment securities and sold $232,290,000 of investment securities, other than temporary cash investments. Purchases and sales include $102,037,000 and $71,677,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $106,089,000 and $89,391,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P Small-Cap 600 Value Index Fund
G. Capital share transactions for each class of shares were:
|
|
|
Year Ended August 31, |
| ||||||
|
|
|
|
|
2019 |
|
|
|
2018 |
|
|
|
|
Amount |
|
Shares |
|
Amount |
|
Shares |
|
|
|
|
($000 |
) |
(000 |
) |
($000 |
) |
(000 |
) |
|
ETF Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
111,667 |
|
925 |
|
272,189 |
|
2,025 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
— |
|
— |
|
|
Redeemed |
|
(76,774 |
) |
(650 |
) |
(139,320 |
) |
(1,050 |
) |
|
Net Increase (Decrease)—ETF Shares |
|
34,893 |
|
275 |
|
132,869 |
|
975 |
|
|
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
Issued |
|
19,429 |
|
76 |
|
19,113 |
|
64 |
|
|
Issued in Lieu of Cash Distributions |
|
498 |
|
2 |
|
197 |
|
1 |
|
|
Redeemed |
|
(12,214 |
) |
(45 |
) |
(2,410 |
) |
(9 |
) |
|
Net Increase (Decrease)—Institutional Shares |
|
7,713 |
|
33 |
|
16,900 |
|
56 |
|
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
S&P Small-Cap 600 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2019
Initial Investment of $10,000
|
|
|
|
|
Average Annual Total Returns |
|
| ||||
|
|
|
|
|
Periods Ended August 31, 2019 |
|
| ||||
|
|
|
|
|
|
|
|
|
Since |
|
Final Value |
|
|
|
|
|
One |
|
Five |
|
Inception |
|
of a $10,000 |
|
|
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
Investment |
|
|
|
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value |
|
-14.32% |
|
9.54% |
|
14.20% |
|
$32,959 |
|
|
|
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price |
|
-14.39 |
|
9.55 |
|
14.19 |
|
32,939 |
|
|
|
S&P SmallCap 600 Growth Index |
|
-14.21 |
|
9.72 |
|
14.41 |
|
33,488 |
|
|
|
Dow Jones U.S. Total Stock Market Float Adjusted Index |
|
1.23 |
|
9.55 |
|
13.72 |
|
31,730 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
S&P Small-Cap 600 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2019
|
|
|
|
|
|
|
Since |
|
|
|
One |
|
Five |
|
Inception |
|
|
|
Year |
|
Years |
|
(9/7/2010) |
|
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price |
|
-14.39% |
|
57.75% |
|
229.39% |
|
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value |
|
-14.32 |
|
57.71 |
|
229.59 |
|
S&P SmallCap 600 Growth Index |
|
-14.21 |
|
59.04 |
|
234.88 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
S&P Small-Cap 600 Growth Index Fund
Sector Diversification
As of August 31, 2019
|
Communication Services |
|
2.4% |
|
Consumer Discretionary |
|
13.0 |
|
Consumer Staples |
|
3.7 |
|
Energy |
|
1.9 |
|
Financials |
|
14.5 |
|
Health Care |
|
20.8 |
|
Industrials |
|
17.3 |
|
Information Technology |
|
14.1 |
|
Materials |
|
2.8 |
|
Real Estate |
|
7.2 |
|
Utilities |
|
2.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
|
|
|
|
|
|
|
Market |
|
|
|
|
|
|
|
|
Value· |
|
|
|
|
|
|
Shares |
|
($000 |
) |
|
Common Stocks (99.8%)1 |
|
|
|
|
| ||
|
Communication Services (2.4%) |
|
|
|
|
| ||
|
* |
|
Iridium Communications Inc. |
|
104,818 |
|
2,535 |
|
|
|
|
Cogent Communications Holdings Inc. |
|
30,489 |
|
1,856 |
|
|
* |
|
Vonage Holdings Corp. |
|
114,333 |
|
1,511 |
|
|
|
|
Marcus Corp. |
|
23,833 |
|
800 |
|
|
|
|
EW Scripps Co. Class A |
|
61,725 |
|
763 |
|
|
|
|
ATN International Inc. |
|
11,894 |
|
676 |
|
|
* |
|
QuinStreet Inc. |
|
42,543 |
|
487 |
|
|
* |
|
TechTarget Inc. |
|
15,411 |
|
366 |
|
|
* |
|
Care.com Inc. |
|
28,962 |
|
286 |
|
|
|
|
Consolidated Communications Holdings Inc. |
|
43,057 |
|
174 |
|
|
|
|
|
|
|
|
9,454 |
|
|
Consumer Discretionary (13.0%) |
|
|
|
|
| ||
|
|
|
Strategic Education Inc. |
|
23,917 |
|
4,048 |
|
|
|
|
Wingstop Inc. |
|
32,063 |
|
3,212 |
|
|
* |
|
Fox Factory Holding Corp. |
|
41,626 |
|
2,999 |
|
|
* |
|
Shake Shack Inc. Class A |
|
28,505 |
|
2,827 |
|
|
|
|
Monro Inc. |
|
36,184 |
|
2,812 |
|
|
* |
|
Dorman Products Inc. |
|
31,608 |
|
2,247 |
|
|
*,^ |
|
iRobot Corp. |
|
30,598 |
|
1,891 |
|
|
* |
|
Kontoor Brands Inc. |
|
50,657 |
|
1,735 |
|
|
* |
|
Cavco Industries Inc. |
|
9,328 |
|
1,711 |
|
|
|
|
Dave & Buster’s Entertainment Inc. |
|
39,706 |
|
1,709 |
|
|
* |
|
Crocs Inc. |
|
71,315 |
|
1,590 |
|
|
* |
|
Career Education Corp. |
|
76,457 |
|
1,568 |
|
|
|
|
Wolverine World Wide Inc. |
|
60,014 |
|
1,557 |
|
|
|
|
Children’s Place Inc. |
|
17,286 |
|
1,508 |
|
|
* |
|
Sleep Number Corp. |
|
32,952 |
|
1,379 |
|
|
|
|
Dine Brands Global Inc. |
|
19,127 |
|
1,349 |
|
|
|
|
Steven Madden Ltd. |
|
40,040 |
|
1,330 |
|
|
* |
|
RH |
|
8,637 |
|
1,237 |
|
|
|
|
Callaway Golf Co. |
|
66,548 |
|
1,182 |
|
|
* |
|
Shutterfly Inc. |
|
23,205 |
|
1,181 |
|
|
* |
|
Stamps.com Inc. |
|
17,763 |
|
1,143 |
|
|
|
|
Guess? Inc. |
|
54,821 |
|
991 |
|
|
* |
|
Asbury Automotive Group Inc. |
|
10,020 |
|
945 |
|
|
* |
|
Gentherm Inc. |
|
25,376 |
|
931 |
|
|
|
|
Oxford Industries Inc. |
|
12,460 |
|
869 |
|
|
|
|
BJ’s Restaurants Inc. |
|
22,657 |
|
826 |
|
|
* |
|
Boot Barn Holdings Inc. |
|
21,702 |
|
743 |
|
|
|
|
Ruth’s Hospitality Group Inc. |
|
30,832 |
|
600 |
|
|
|
|
Designer Brands Inc. Class A |
|
34,320 |
|
566 |
|
|
* |
|
Regis Corp. |
|
32,077 |
|
519 |
|
|
|
|
Sturm Ruger & Co. Inc. |
|
12,152 |
|
498 |
|
|
|
|
Standard Motor Products Inc. |
|
10,942 |
|
485 |
|
|
* |
|
American Public Education Inc. |
|
18,038 |
|
437 |
|
|
* |
|
Shutterstock Inc. |
|
10,354 |
|
364 |
|
|
|
|
Shoe Carnival Inc. |
|
10,585 |
|
325 |
|
|
* |
|
Monarch Casino & Resort Inc. |
|
6,972 |
|
309 |
|
|
* |
|
Chuy’s Holdings Inc. |
|
11,945 |
|
303 |
|
|
|
|
Tailored Brands Inc. |
|
54,575 |
|
296 |
|
|
|
|
Movado Group Inc. |
|
12,175 |
|
262 |
|
|
* |
|
El Pollo Loco Holdings Inc. |
|
23,827 |
|
243 |
|
|
* |
|
Liquidity Services Inc. |
|
29,005 |
|
220 |
|
|
* |
|
Fiesta Restaurant Group Inc. |
|
12,610 |
|
109 |
|
|
* |
|
Ascena Retail Group Inc. |
|
185,980 |
|
46 |
|
|
|
|
|
|
|
|
51,102 |
|
|
Consumer Staples (3.7%) |
|
|
|
|
| ||
|
|
|
WD-40 Co. |
|
15,045 |
|
2,743 |
|
|
* |
|
Avon Products Inc. |
|
483,376 |
|
2,103 |
|
|
|
|
J&J Snack Foods Corp. |
|
10,014 |
|
1,933 |
|
|
|
|
Medifast Inc. |
|
12,976 |
|
1,297 |
|
|
|
|
Inter Parfums Inc. |
|
18,871 |
|
1,213 |
|
|
|
|
Calavo Growers Inc. |
|
11,457 |
|
1,016 |
|
|
^ |
|
B&G Foods Inc. |
|
46,399 |
|
786 |
|
|
* |
|
USANA Health Sciences Inc. |
|
11,053 |
|
751 |
|
|
|
|
Cal-Maine Foods Inc. |
|
14,163 |
|
574 |
|
|
* |
|
Chefs’ Warehouse Inc. |
|
14,541 |
|
561 |
|
|
|
|
Vector Group Ltd. |
|
44,855 |
|
524 |
|
S&P Small-Cap 600 Growth Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
MGP Ingredients Inc. |
|
8,743 |
|
421 |
|
|
|
John B Sanfilippo & Son Inc. |
|
4,303 |
|
398 |
|
|
|
National Beverage Corp. |
|
7,385 |
|
302 |
|
|
|
|
|
|
|
14,622 |
|
|
Energy (1.9%) |
|
|
|
|
| |
|
|
Archrock Inc. |
|
139,376 |
|
1,353 |
|
|
* |
ProPetro Holding Corp. |
|
81,175 |
|
865 |
|
|
* |
Carrizo Oil & Gas Inc. |
|
94,017 |
|
779 |
|
|
|
DMC Global Inc. |
|
15,570 |
|
676 |
|
|
* |
Denbury Resources Inc. |
|
501,490 |
|
542 |
|
|
* |
Whiting Petroleum Corp. |
|
77,413 |
|
513 |
|
|
* |
Renewable Energy Group Inc. |
|
40,902 |
|
498 |
|
|
* |
Penn Virginia Corp. |
|
14,616 |
|
417 |
|
|
|
Nabors Industries Ltd. |
|
176,075 |
|
296 |
|
|
* |
KLX Energy Services Holdings Inc. |
|
25,166 |
|
252 |
|
|
* |
Bonanza Creek Energy Inc. |
|
10,655 |
|
240 |
|
|
* |
CONSOL Energy Inc. |
|
12,597 |
|
211 |
|
|
* |
Noble Corp. plc |
|
116,763 |
|
187 |
|
|
* |
HighPoint Resources Corp. |
|
121,352 |
|
142 |
|
|
|
RPC Inc. |
|
21,625 |
|
115 |
|
|
* |
Era Group Inc. |
|
10,393 |
|
99 |
|
|
* |
Unit Corp. |
|
26,720 |
|
81 |
|
|
|
|
|
|
|
7,266 |
|
|
Financials (14.5%) |
|
|
|
|
| |
|
|
FirstCash Inc. |
|
47,049 |
|
4,645 |
|
|
|
RLI Corp. |
|
42,743 |
|
3,914 |
|
|
|
Glacier Bancorp Inc. |
|
93,400 |
|
3,707 |
|
|
|
Community Bank System Inc. |
|
56,187 |
|
3,427 |
|
|
|
Selective Insurance Group Inc. |
|
41,970 |
|
3,342 |
|
|
|
Old National Bancorp |
|
163,170 |
|
2,741 |
|
|
|
Independent Bank Corp. |
|
37,420 |
|
2,530 |
|
|
|
LegacyTexas Financial Group Inc. |
|
49,407 |
|
1,996 |
|
|
|
Westamerica Bancorporation |
|
29,365 |
|
1,809 |
|
|
|
Redwood Trust Inc. |
|
105,695 |
|
1,755 |
|
|
* |
eHealth Inc. |
|
20,748 |
|
1,729 |
|
|
|
City Holding Co. |
|
17,977 |
|
1,337 |
|
|
* |
Seacoast Banking Corp. of Florida |
|
56,089 |
|
1,309 |
|
|
|
First Midwest Bancorp Inc. |
|
66,980 |
|
1,286 |
|
|
* |
Blucora Inc. |
|
52,803 |
|
1,192 |
|
|
|
First BanCorp |
|
120,956 |
|
1,159 |
|
|
|
CVB Financial Corp. |
|
52,436 |
|
1,079 |
|
|
|
United Fire Group Inc. |
|
23,385 |
|
1,056 |
|
|
|
American Equity Investment Life Holding Co. |
|
46,633 |
|
1,005 |
|
|
* |
NMI Holdings Inc. Class A |
|
34,656 |
|
982 |
|
|
|
AMERISAFE Inc. |
|
14,102 |
|
969 |
|
|
|
Universal Insurance Holdings Inc. |
|
34,827 |
|
871 |
|
|
|
Great Western Bancorp Inc. |
|
28,616 |
|
854 |
|
|
* |
Triumph Bancorp Inc. |
|
26,850 |
|
805 |
|
|
|
Veritex Holdings Inc. |
|
32,883 |
|
776 |
|
|
* |
Axos Financial Inc. |
|
28,894 |
|
749 |
|
|
|
S&T Bancorp Inc. |
|
20,654 |
|
707 |
|
|
|
New York Mortgage Trust Inc. |
|
114,744 |
|
706 |
|
|
|
Waddell & Reed Financial Inc. Class A |
|
40,839 |
|
660 |
|
|
|
ServisFirst Bancshares Inc. |
|
21,519 |
|
654 |
|
|
|
Brookline Bancorp Inc. |
|
46,261 |
|
649 |
|
|
|
National Bank Holdings Corp. Class A |
|
16,704 |
|
545 |
|
|
|
Heritage Financial Corp. |
|
20,224 |
|
529 |
|
|
|
ARMOUR Residential REIT Inc. |
|
31,918 |
|
524 |
|
|
|
Granite Point Mortgage Trust Inc. |
|
28,643 |
|
524 |
|
|
* |
World Acceptance Corp. |
|
3,786 |
|
503 |
|
|
|
Tompkins Financial Corp. |
|
6,340 |
|
501 |
|
|
|
Central Pacific Financial Corp. |
|
16,193 |
|
450 |
|
|
|
OFG Bancorp |
|
21,827 |
|
448 |
|
|
|
Virtus Investment Partners Inc. |
|
4,027 |
|
430 |
|
|
|
TrustCo Bank Corp. NY |
|
53,704 |
|
412 |
|
|
|
WisdomTree Investments Inc. |
|
82,014 |
|
394 |
|
|
* |
HomeStreet Inc. |
|
13,267 |
|
350 |
|
|
|
Preferred Bank |
|
6,825 |
|
341 |
|
|
|
HCI Group Inc. |
|
7,315 |
|
285 |
|
|
|
Greenhill & Co. Inc. |
|
11,874 |
|
167 |
|
|
|
|
|
|
|
56,803 |
|
|
Health Care (20.8%) |
|
|
|
|
| |
|
* |
Repligen Corp. |
|
48,711 |
|
4,521 |
|
|
* |
Neogen Corp. |
|
56,842 |
|
4,009 |
|
|
* |
Arrowhead Pharmaceuticals Inc. |
|
103,397 |
|
3,533 |
|
|
* |
HMS Holdings Corp. |
|
94,984 |
|
3,470 |
|
|
* |
Omnicell Inc. |
|
44,954 |
|
3,228 |
|
|
* |
AMN Healthcare Services Inc. |
|
50,839 |
|
2,969 |
|
|
|
CONMED Corp. |
|
28,325 |
|
2,854 |
|
|
* |
NeoGenomics Inc. |
|
111,742 |
|
2,791 |
|
|
|
Ensign Group Inc. |
|
54,339 |
|
2,712 |
|
|
* |
LHC Group Inc. |
|
20,436 |
|
2,422 |
|
|
* |
Medicines Co. |
|
57,099 |
|
2,396 |
|
|
* |
Integer Holdings Corp. |
|
32,733 |
|
2,370 |
|
S&P Small-Cap 600 Growth Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
* |
Medpace Holdings Inc. |
|
28,513 |
|
2,307 |
|
|
* |
Merit Medical Systems Inc. |
|
59,994 |
|
2,087 |
|
|
* |
Xencor Inc. |
|
52,238 |
|
1,947 |
|
|
|
US Physical Therapy Inc. |
|
13,915 |
|
1,858 |
|
|
* |
Cardiovascular Systems Inc. |
|
37,981 |
|
1,839 |
|
|
* |
Cambrex Corp. |
|
26,058 |
|
1,562 |
|
|
* |
Supernus Pharmaceuticals Inc. |
|
57,131 |
|
1,544 |
|
|
* |
BioTelemetry Inc. |
|
36,867 |
|
1,462 |
|
|
* |
Corcept Therapeutics Inc. |
|
113,987 |
|
1,437 |
|
|
* |
Genomic Health Inc. |
|
17,824 |
|
1,366 |
|
|
* |
Emergent BioSolutions Inc. |
|
30,101 |
|
1,318 |
|
|
* |
Enanta Pharmaceuticals Inc. |
|
17,382 |
|
1,226 |
|
|
* |
REGENXBIO Inc. |
|
33,585 |
|
1,158 |
|
|
* |
Tabula Rasa HealthCare Inc. |
|
19,908 |
|
1,131 |
|
|
* |
CryoLife Inc. |
|
37,499 |
|
1,005 |
|
|
* |
Myriad Genetics Inc. |
|
42,460 |
|
999 |
|
|
* |
Addus HomeCare Corp. |
|
11,084 |
|
975 |
|
|
* |
Tivity Health Inc. |
|
52,101 |
|
951 |
|
|
* |
Tactile Systems Technology Inc. |
|
18,709 |
|
944 |
|
|
|
Mesa Laboratories Inc. |
|
4,264 |
|
943 |
|
|
|
Luminex Corp. |
|
45,681 |
|
937 |
|
|
* |
Momenta Pharmaceuticals Inc. |
|
71,085 |
|
898 |
|
|
* |
Amphastar Pharmaceuticals Inc. |
|
38,565 |
|
866 |
|
|
* |
Innoviva Inc. |
|
74,135 |
|
859 |
|
|
* |
Spectrum Pharmaceuticals Inc. |
|
116,025 |
|
852 |
|
|
* |
CorVel Corp. |
|
9,904 |
|
834 |
|
|
* |
Vanda Pharmaceuticals Inc. |
|
57,870 |
|
815 |
|
|
* |
AngioDynamics Inc. |
|
40,683 |
|
747 |
|
|
* |
NextGen Healthcare Inc. |
|
52,315 |
|
743 |
|
|
* |
Surmodics Inc. |
|
14,570 |
|
686 |
|
|
* |
Orthofix Medical Inc. |
|
13,478 |
|
685 |
|
|
* |
Varex Imaging Corp. |
|
24,990 |
|
659 |
|
|
* |
Eagle Pharmaceuticals Inc. |
|
11,205 |
|
632 |
|
|
* |
Lantheus Holdings Inc. |
|
27,864 |
|
606 |
|
|
* |
ANI Pharmaceuticals Inc. |
|
9,163 |
|
600 |
|
|
* |
Natus Medical Inc. |
|
21,449 |
|
594 |
|
|
* |
Heska Corp. |
|
7,586 |
|
533 |
|
|
* |
Endo International plc |
|
218,912 |
|
519 |
|
|
* |
Cytokinetics Inc. |
|
33,897 |
|
476 |
|
|
|
Meridian Bioscience Inc. |
|
46,359 |
|
428 |
|
|
* |
Progenics Pharmaceuticals Inc. |
|
93,049 |
|
409 |
|
|
* |
HealthStream Inc. |
|
15,860 |
|
401 |
|
|
|
LeMaitre Vascular Inc. |
|
10,397 |
|
329 |
|
|
|
Phibro Animal Health Corp. Class A |
|
10,374 |
|
214 |
|
|
* |
Cutera Inc. |
|
7,244 |
|
209 |
|
|
* |
OraSure Technologies Inc. |
|
30,363 |
|
200 |
|
|
* |
Community Health Systems Inc. |
|
55,229 |
|
138 |
|
|
|
Computer Programs & Systems Inc. |
|
6,380 |
|
135 |
|
|
* |
Akorn Inc. |
|
41,339 |
|
120 |
|
|
* |
Acorda Therapeutics Inc. |
|
19,847 |
|
64 |
|
|
|
|
|
|
|
81,522 |
|
|
Industrials (17.2%) |
|
|
|
|
| |
|
* |
Aerojet Rocketdyne Holdings Inc. |
|
78,913 |
|
4,122 |
|
|
|
Exponent Inc. |
|
56,595 |
|
4,012 |
|
|
|
UniFirst Corp. |
|
16,743 |
|
3,280 |
|
|
* |
Mercury Systems Inc. |
|
36,216 |
|
3,101 |
|
|
* |
Proto Labs Inc. |
|
29,286 |
|
2,775 |
|
|
|
Albany International Corp. Class A |
|
33,224 |
|
2,732 |
|
|
|
ESCO Technologies Inc. |
|
28,328 |
|
2,157 |
|
|
* |
FTI Consulting Inc. |
|
19,894 |
|
2,151 |
|
|
|
Allegiant Travel Co. Class A |
|
14,031 |
|
1,992 |
|
|
|
Franklin Electric Co. Inc. |
|
42,008 |
|
1,926 |
|
|
|
John Bean Technologies Corp. |
|
17,939 |
|
1,836 |
|
|
* |
SPX Corp. |
|
47,841 |
|
1,816 |
|
|
|
Brady Corp. Class A |
|
36,549 |
|
1,725 |
|
|
|
Matson Inc. |
|
46,714 |
|
1,660 |
|
|
* |
Harsco Corp. |
|
87,467 |
|
1,566 |
|
|
|
Mobile Mini Inc. |
|
49,065 |
|
1,534 |
|
|
|
US Ecology Inc. |
|
24,096 |
|
1,459 |
|
|
|
Korn Ferry |
|
36,940 |
|
1,444 |
|
|
|
AAON Inc. |
|
28,819 |
|
1,382 |
|
|
|
Simpson Manufacturing Co. Inc. |
|
21,481 |
|
1,379 |
|
|
|
Watts Water Technologies Inc. Class A |
|
14,498 |
|
1,328 |
|
|
|
Forward Air Corp. |
|
20,040 |
|
1,248 |
|
|
|
Applied Industrial Technologies Inc. |
|
23,167 |
|
1,237 |
|
|
* |
AeroVironment Inc. |
|
23,239 |
|
1,198 |
|
|
|
Cubic Corp. |
|
16,578 |
|
1,148 |
|
|
|
Raven Industries Inc. |
|
39,312 |
|
1,147 |
|
|
* |
Chart Industries Inc. |
|
17,962 |
|
1,129 |
|
|
|
Federal Signal Corp. |
|
36,850 |
|
1,095 |
|
|
|
Barnes Group Inc. |
|
22,193 |
|
995 |
|
|
* |
Gibraltar Industries Inc. |
|
21,810 |
|
878 |
|
|
|
Comfort Systems USA Inc. |
|
22,178 |
|
857 |
|
|
|
AZZ Inc. |
|
20,272 |
|
837 |
|
|
|
Kaman Corp. |
|
13,674 |
|
798 |
|
|
|
Hillenbrand Inc. |
|
28,602 |
|
785 |
|
|
|
Actuant Corp. Class A |
|
34,728 |
|
771 |
|
|
|
AAR Corp. |
|
17,115 |
|
735 |
|
|
* |
Hub Group Inc. Class A |
|
16,412 |
|
707 |
|
|
|
Tennant Co. |
|
9,540 |
|
652 |
|
S&P Small-Cap 600 Growth Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
|
Heartland Express Inc. |
|
31,026 |
|
638 |
|
|
|
Navigant Consulting Inc. |
|
21,823 |
|
608 |
|
|
|
Hawaiian Holdings Inc. |
|
23,512 |
|
574 |
|
|
* |
DXP Enterprises Inc. |
|
17,409 |
|
565 |
|
|
* |
PGT Innovations Inc. |
|
34,262 |
|
548 |
|
|
* |
Vicor Corp. |
|
17,669 |
|
539 |
|
|
|
Triumph Group Inc. |
|
22,794 |
|
474 |
|
|
|
National Presto Industries Inc. |
|
5,477 |
|
469 |
|
|
|
Lindsay Corp. |
|
5,279 |
|
466 |
|
|
|
Forrester Research Inc. |
|
11,229 |
|
392 |
|
|
|
Heidrick & Struggles International Inc. |
|
11,019 |
|
293 |
|
|
|
Insteel Industries Inc. |
|
10,985 |
|
205 |
|
|
|
Park Aerospace Corp. |
|
11,011 |
|
186 |
|
|
|
|
|
|
|
67,551 |
|
|
Information Technology (14.0%) |
|
|
|
|
| |
|
|
Cabot Microelectronics Corp. |
|
31,688 |
|
3,950 |
|
|
* |
Viavi Solutions Inc. |
|
249,393 |
|
3,464 |
|
|
* |
SolarEdge Technologies Inc. |
|
32,136 |
|
2,633 |
|
|
|
Brooks Automation Inc. |
|
78,668 |
|
2,622 |
|
|
* |
8x8 Inc. |
|
105,031 |
|
2,553 |
|
|
* |
SPS Commerce Inc. |
|
39,078 |
|
1,975 |
|
|
* |
Rogers Corp. |
|
13,552 |
|
1,795 |
|
|
* |
Qualys Inc. |
|
22,408 |
|
1,784 |
|
|
|
Power Integrations Inc. |
|
19,784 |
|
1,761 |
|
|
* |
Bottomline Technologies DE Inc. |
|
41,257 |
|
1,702 |
|
|
* |
LivePerson Inc. |
|
41,651 |
|
1,655 |
|
|
|
EVERTEC Inc. |
|
41,844 |
|
1,459 |
|
|
* |
Perficient Inc. |
|
35,937 |
|
1,324 |
|
|
|
Progress Software Corp. |
|
33,016 |
|
1,247 |
|
|
* |
Fabrinet |
|
24,514 |
|
1,238 |
|
|
* |
Cardtronics plc Class A |
|
40,932 |
|
1,212 |
|
|
* |
Alarm.com Holdings Inc. |
|
23,106 |
|
1,100 |
|
|
* |
Virtusa Corp. |
|
30,275 |
|
1,094 |
|
|
* |
ExlService Holdings Inc. |
|
15,743 |
|
1,066 |
|
|
|
KEMET Corp. |
|
63,306 |
|
1,060 |
|
|
* |
Knowles Corp. |
|
51,598 |
|
1,046 |
|
|
|
CTS Corp. |
|
35,867 |
|
1,023 |
|
|
* |
Cray Inc. |
|
26,087 |
|
911 |
|
|
* |
Advanced Energy Industries Inc. |
|
17,544 |
|
906 |
|
|
* |
3D Systems Corp. |
|
127,479 |
|
892 |
|
|
|
Badger Meter Inc. |
|
16,858 |
|
870 |
|
|
* |
MaxLinear Inc. |
|
42,823 |
|
849 |
|
|
|
CSG Systems International Inc. |
|
15,609 |
|
841 |
|
|
* |
OSI Systems Inc. |
|
7,910 |
|
831 |
|
|
* |
Diodes Inc. |
|
20,980 |
|
767 |
|
|
* |
Nanometrics Inc. |
|
26,825 |
|
732 |
|
|
|
NIC Inc. |
|
33,476 |
|
697 |
|
|
* |
MicroStrategy Inc. Class A |
|
4,729 |
|
678 |
|
|
* |
Harmonic Inc. |
|
96,567 |
|
636 |
|
|
* |
ePlus Inc. |
|
7,549 |
|
617 |
|
|
|
Monotype Imaging Holdings Inc. |
|
30,148 |
|
595 |
|
|
* |
Agilysys Inc. |
|
19,165 |
|
522 |
|
|
|
MTS Systems Corp. |
|
8,659 |
|
492 |
|
|
* |
FARO Technologies Inc. |
|
9,799 |
|
483 |
|
|
|
Ebix Inc. |
|
13,386 |
|
474 |
|
|
* |
Extreme Networks Inc. |
|
64,571 |
|
431 |
|
|
* |
Diebold Nixdorf Inc. |
|
38,316 |
|
430 |
|
|
* |
Unisys Corp. |
|
56,298 |
|
368 |
|
|
* |
Rudolph Technologies Inc. |
|
15,520 |
|
341 |
|
|
* |
CEVA Inc. |
|
10,518 |
|
330 |
|
|
* |
OneSpan Inc. |
|
22,855 |
|
309 |
|
|
* |
SMART Global Holdings Inc. |
|
9,736 |
|
277 |
|
|
* |
Axcelis Technologies Inc. |
|
16,834 |
|
258 |
|
|
|
Cohu Inc. |
|
20,070 |
|
239 |
|
|
* |
CalAmp Corp. |
|
22,361 |
|
215 |
|
|
* |
DSP Group Inc. |
|
10,749 |
|
149 |
|
|
* |
Arlo Technologies Inc. |
|
34,179 |
|
107 |
|
|
* |
Kopin Corp. |
|
43,497 |
|
40 |
|
|
|
|
|
|
|
55,050 |
|
|
Materials (2.8%) |
|
|
|
|
| |
|
|
Quaker Chemical Corp. |
|
14,069 |
|
2,235 |
|
|
|
Innospec Inc. |
|
26,704 |
|
2,221 |
|
|
|
Balchem Corp. |
|
19,399 |
|
1,722 |
|
|
|
Kaiser Aluminum Corp. |
|
17,598 |
|
1,556 |
|
|
|
Materion Corp. |
|
14,455 |
|
851 |
|
|
* |
SunCoke Energy Inc. |
|
97,753 |
|
610 |
|
|
|
Hawkins Inc. |
|
10,399 |
|
461 |
|
|
* |
AK Steel Holding Corp. |
|
206,405 |
|
446 |
|
|
|
Trinseo SA |
|
10,647 |
|
374 |
|
|
* |
Ferro Corp. |
|
31,181 |
|
318 |
|
|
|
FutureFuel Corp. |
|
14,353 |
|
155 |
|
|
|
|
|
|
|
10,949 |
|
|
Real Estate (7.2%) |
|
|
|
|
| |
|
|
Agree Realty Corp. |
|
45,754 |
|
3,417 |
|
|
|
CareTrust REIT Inc. |
|
104,196 |
|
2,479 |
|
|
|
Four Corners Property Trust Inc. |
|
74,542 |
|
2,124 |
|
|
|
National Storage Affiliates Trust |
|
62,016 |
|
2,075 |
|
|
|
Easterly Government Properties Inc. |
|
85,574 |
|
1,759 |
|
|
|
LTC Properties Inc. |
|
29,468 |
|
1,438 |
|
|
|
Acadia Realty Trust |
|
51,449 |
|
1,407 |
|
|
|
American Assets Trust Inc. |
|
28,797 |
|
1,349 |
|
|
|
DiamondRock Hospitality Co. |
|
138,428 |
|
1,311 |
|
S&P Small-Cap 600 Growth Index Fund
|
|
|
|
|
Market |
| |
|
|
|
|
|
Value· |
| |
|
|
|
Shares
|
|
($000
|
)
| |
|
^ |
Innovative Industrial Properties Inc. |
|
12,117 |
|
1,080 |
|
|
|
Washington REIT |
|
39,316 |
|
1,042 |
|
|
|
Armada Hoffler Properties Inc. |
|
57,233 |
|
992 |
|
|
* |
Marcus & Millichap Inc. |
|
23,466 |
|
847 |
|
|
|
Universal Health Realty Income Trust |
|
8,706 |
|
842 |
|
|
|
Community Healthcare Trust Inc. |
|
19,580 |
|
835 |
|
|
|
Office Properties Income Trust |
|
28,384 |
|
770 |
|
|
|
Global Net Lease Inc. |
|
38,498 |
|
738 |
|
|
|
NorthStar Realty Europe Corp. |
|
42,909 |
|
726 |
|
|
|
Urstadt Biddle Properties Inc. Class A |
|
32,705 |
|
686 |
|
|
|
Getty Realty Corp. |
|
21,464 |
|
682 |
|
|
|
RPT Realty |
|
55,051 |
|
655 |
|
|
^ |
Washington Prime Group Inc. |
|
202,811 |
|
655 |
|
|
|
Saul Centers Inc. |
|
7,840 |
|
394 |
|
|
|
|
|
|
|
28,303 |
|
|
Utilities (2.3%) |
|
|
|
|
| |
|
|
American States Water Co. |
|
27,275 |
|
2,524 |
|
|
|
California Water Service Group |
|
29,909 |
|
1,688 |
|
|
|
Avista Corp. |
|
33,695 |
|
1,580 |
|
|
|
El Paso Electric Co. |
|
23,469 |
|
1,565 |
|
|
|
Northwest Natural Holding Co. |
|
21,899 |
|
1,563 |
|
|
|
|
|
|
|
8,920 |
|
|
Total Common Stocks |
|
|
|
|
| |
|
(Cost $368,233) |
|
|
|
391,542 |
| |
|
Temporary Cash Investment (1.2%)1 |
|
|
|
|
| |
|
Money Market Fund (1.2%) |
|
|
|
|
| |
|
2,3 |
Vanguard Market Liquidity Fund, 2.249% |
|
46,144 |
|
4,615 |
|
|
Total Investments (101.0%) |
|
|
|
|
| |
|
(Cost $372,848) |
|
|
|
396,157 |
| |
|
|
Amount |
|
|
($000) |
|
Other Assets and Liabilities (-1.0%) |
|
|
Other Assets |
|
|
Investment in Vanguard |
19 |
|
Receivables for Accrued Income |
239 |
|
Receivables for Capital Shares Issued |
2 |
|
Other Assets4 |
33 |
|
Total Other Assets |
293 |
|
Liabilities |
|
|
Payables for Investment Securities Purchased |
(1,538) |
|
Collateral for Securities on Loan |
(2,626) |
|
Payables to Vanguard |
(27) |
|
Variation Margin Payable—Futures Contracts |
(2) |
|
Total Liabilities |
(4,193) |
|
Net Assets (100%) |
392,257 |
At August 31, 2019, net assets consisted of:
|
|
Amount |
|
|
($000) |
|
Paid-in Capital |
430,737 |
|
Total Distributable Earnings (Loss) |
(38,480) |
|
Net Assets |
392,257 |
|
|
|
|
ETF Shares—Net Assets |
|
|
Applicable to 2,575,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
392,257 |
|
Net Asset Value Per Share—ETF Shares |
$152.33 |
· See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,344,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $2,626,000 of collateral received for securities on loan.
4 Cash of $33,000 has been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
S&P Small-Cap 600 Growth Index Fund
|
Derivative Financial Instruments Outstanding as of Period End | ||||
|
|
|
|
|
|
|
Futures Contracts |
|
|
|
|
|
|
|
|
|
($000) |
|
|
|
|
|
Value and |
|
|
|
Number of |
|
Unrealized |
|
|
|
Long (Short) |
Notional |
Appreciation |
|
|
Expiration |
Contracts |
Amount |
(Depreciation) |
|
Long Futures Contracts |
|
|
|
|
|
E-mini Russell 2000 Index |
September 2019 |
10 |
747 |
(40) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
|
|
Year Ended
| |
|
|
|
August 31, 2019
|
|
|
|
($000)
|
|
Investment Income |
|
|
|
Income |
|
|
|
Dividends |
|
4,710 |
|
Interest1 |
|
29 |
|
Securities Lending—Net |
|
64 |
|
Total Income |
|
4,803 |
|
Expenses |
|
|
|
The Vanguard Group—Note B |
|
|
|
Investment Advisory Services |
|
67 |
|
Management and Administrative |
|
516 |
|
Marketing and Distribution |
|
23 |
|
Custodian Fees |
|
26 |
|
Auditing Fees |
|
32 |
|
Shareholders’ Reports |
|
22 |
|
Trustees’ Fees and Expenses |
|
— |
|
Total Expenses |
|
686 |
|
Expenses Paid Indirectly |
|
(13) |
|
Net Expenses |
|
673 |
|
Net Investment Income |
|
4,130 |
|
Realized Net Gain (Loss) |
|
|
|
Investment Securities Sold1,2 |
|
2,606 |
|
Futures Contracts |
|
(415) |
|
Realized Net Gain (Loss) |
|
2,191 |
|
Change in Unrealized Appreciation (Depreciation) |
|
|
|
Investment Securities1 |
|
(87,641) |
|
Futures Contracts |
|
(47) |
|
Change in Unrealized Appreciation (Depreciation) |
|
(87,688) |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(81,367) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $52,348,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
|
|
|
Year Ended August 31, | ||
|
|
|
2019 |
|
2018 |
|
|
|
($000 |
) |
($000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
Operations |
|
|
|
|
|
Net Investment Income |
|
4,130 |
|
2,789 |
|
Realized Net Gain (Loss) |
|
2,191 |
|
23,214 |
|
Change in Unrealized Appreciation (Depreciation) |
|
(87,688 |
) |
89,593 |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
|
(81,367 |
) |
115,596 |
|
Distributions |
|
|
|
|
|
Net Investment Income |
|
(4,022 |
) |
(2,573) |
|
Realized Capital Gain |
|
— |
|
— |
|
Total Distributions |
|
(4,022 |
) |
(2,573) |
|
Capital Share Transactions |
|
|
|
|
|
Issued |
|
143,774 |
|
254,547 |
|
Issued in Lieu of Distributions |
|
— |
|
— |
|
Redeemed |
|
(213,358 |
) |
(84,535) |
|
Net Increase (Decrease) from Capital Share Transactions |
|
(69,584 |
) |
170,012 |
|
Total Increase (Decrease) |
|
(154,973 |
) |
283,035 |
|
Net Assets |
|
|
|
|
|
Beginning of Period |
|
547,230 |
|
264,195 |
|
End of Period |
|
392,257 |
|
547,230 |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares
|
For a Share Outstanding |
|
|
|
|
|
Year Ended August 31, | ||||
|
Throughout Each Period |
|
2019 |
|
2018 |
|
2017 |
|
2016 |
|
2015 |
|
Net Asset Value, Beginning of Period |
|
$179.42 |
|
$132.10 |
|
$117.25 |
|
$106.99 |
|
$101.36 |
|
Investment Operations |
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
|
1.4751 |
|
1.2221 |
|
1.2221 |
|
1.180 |
|
1.043 |
|
Net Realized and Unrealized Gain (Loss) on Investments |
|
(27.154 |
) |
47.288 |
|
14.762 |
|
10.685 |
|
5.345 |
|
Total from Investment Operations |
|
(25.679 |
) |
48.510 |
|
15.984 |
|
11.865 |
|
6.388 |
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
Dividends from Net Investment Income |
|
(1.411 |
) |
(1.190 |
) |
(1.134 |
) |
(1.605 |
) |
(.758) |
|
Distributions from Realized Capital Gains |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total Distributions |
|
(1.411 |
) |
(1.190 |
) |
(1.134 |
) |
(1.605 |
) |
(.758) |
|
Net Asset Value, End of Period |
|
$152.33 |
|
$179.42 |
|
$132.10 |
|
$117.25 |
|
$106.99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
-14.32% |
|
36.92% |
|
13.67% |
|
11.24% |
|
6.32% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
Net Assets, End of Period (Millions) |
|
$392 |
|
$547 |
|
$264 |
|
$132 |
|
$75 |
|
Ratio of Total Expenses to Average Net Assets |
|
0.16% |
|
0.20% |
|
0.20% |
|
0.20% |
|
0.20% |
|
Ratio of Net Investment Income to Average Net Assets |
|
0.94% |
|
0.80% |
|
0.95% |
|
1.15% |
|
0.98% |
|
Portfolio Turnover Rate2 |
|
47% |
|
37% |
|
48% |
|
48% |
|
63% |
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. The fund has not issued any Institutional Shares as of August 31, 2019.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2019, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
S&P Small-Cap 600 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2019, the fund had contributed to Vanguard capital in the amount of $19,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $13,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
At August 31, 2019, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified to the following accounts:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Paid-in Capital |
|
52,345 |
|
|
Total Distributable Earnings (Loss) |
|
(52,345 |
) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future.
S&P Small-Cap 600 Growth Index Fund
The differences are primarily related to the tax deferral on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Undistributed Ordinary Income |
|
839 |
|
|
Undistributed Long-Term Gains |
|
— |
|
|
Capital Loss Carryforwards (Non-expiring) |
|
(62,615 |
) |
|
Net Unrealized Gains (Losses) |
|
23,309 |
|
As of August 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
Amount |
|
|
|
|
($000 |
) |
|
Tax Cost |
|
372,848 |
|
|
Gross Unrealized Appreciation |
|
62,589 |
|
|
Gross Unrealized Depreciation |
|
(39,280 |
) |
|
Net Unrealized Appreciation (Depreciation) |
|
23,309 |
|
F. During the year ended August 31, 2019, the fund purchased $315,767,000 of investment securities and sold $385,721,000 of investment securities, other than temporary cash investments. Purchases and sales include $103,535,000 and $181,567,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2019, such purchases and sales were $95,898,000 and $110,095,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital shares issued and redeemed were:
|
|
|
Year Ended August 31, |
| ||
|
|
|
2019 |
|
2018 |
|
|
|
|
Shares |
|
Shares |
|
|
|
|
(000 |
) |
(000 |
) |
|
Issued |
|
900 |
|
1,600 |
|
|
Issued in Lieu of Cash Distributions |
|
— |
|
— |
|
|
Redeemed |
|
(1,375 |
) |
(550 |
) |
|
Net Increase (Decrease) in Shares Outstanding |
|
(475 |
) |
1,050 |
|
H. Management has determined that no events or transactions occurred subsequent to August 31, 2019, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
|
|
Special 2019 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds
This information for the fiscal year ended August 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
|
Fund |
|
($000 |
) |
|
S&P Small-Cap 600 Index Fund |
|
18,096 |
|
|
S&P Small-Cap 600 Value Index Fund |
|
5,366 |
|
|
S&P Small-Cap 600 Growth Index Fund |
|
3,450 |
|
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
|
Fund |
|
Percentage | |
|
S&P Small-Cap 600 Index Fund |
|
75.7 |
% |
|
S&P Small-Cap 600 Value Index Fund |
|
78.8 |
|
|
S&P Small-Cap 600 Growth Index Fund |
|
79.5 |
|
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each 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 through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services provided to the funds since their inception in 2010, 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 Equity Index 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 each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also 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 each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
The S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund particularly or the ability of the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund into consideration in determining, composing or calculating the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund. There is no assurance that investment products based on the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P SMALL-CAP 600 INDEX FUND, VANGUARD S&P SMALL-CAP 600 VALUE INDEX FUND, AND VANGUARD S&P SMALL-CAP 600 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation.
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
|
Joseph Brennan |
Chris D. McIsaac |
|
Mortimer J. Buckley |
James M. Norris |
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Gregory Davis |
Thomas M. Rampulla |
|
John James |
Karin A. Risi |
|
Martha G. King |
Anne E. Robinson |
|
John T. Marcante |
Michael Rollings |
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P.O. Box 2600 |
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|
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
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.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
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© 2019 The Vanguard Group, Inc. |
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All rights reserved. |
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U.S. Patent Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
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Vanguard Marketing Corporation, Distributor. |
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Q18450 102019 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended August 31, 2019: $286,000
Fiscal Year Ended August 31, 2018: $295,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2019: $9,568,215
Fiscal Year Ended August 31, 2018: $9,734,277
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2019: $3,012,031
Fiscal Year Ended August 31, 2018: $5,581,336
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2019: $357,238
Fiscal Year Ended August 31, 2018: $347,985
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2019: $0
Fiscal Year Ended August 31, 2018: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2019: $357,238
Fiscal Year Ended August 31, 2018: $347,985
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
Not applicable.
Item 13: Exhibits.
(a) Code of Ethics.
(b) 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.
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VANGUARD ADMIRAL FUNDS |
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BY: |
/s/ MORTIMER J. BUCKLEY* |
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MORTIMER J. BUCKLEY |
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CHIEF EXECUTIVE OFFICER |
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Date: October 21, 2019
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.
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VANGUARD ADMIRAL FUNDS |
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BY: |
/s/ MORTIMER J. BUCKLEY* |
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MORTIMER J. BUCKLEY |
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CHIEF EXECUTIVE OFFICER |
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Date: October 21, 2019
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VANGUARD ADMIRAL FUNDS |
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BY: |
/s/ JOHN BENDL* |
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JOHN BENDL |
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CHIEF FINANCIAL OFFICER |
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Date: October 21, 2019
* 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.