| Vanguard S&P Small-Cap 600 Index Fund | |||
| Schedule of Investments (unaudited) | |||
| As of November 30, 2019 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.6%)1 | |||
| Communication Services (2.0%) | |||
| Cogent Communications Holdings Inc. | 128,403 | 8,048 | |
| * | Iridium Communications Inc. | 298,283 | 6,950 |
| * | Vonage Holdings Corp. | 700,819 | 5,543 |
| Shenandoah Telecommunications Co. | 143,615 | 5,393 | |
| Scholastic Corp. | 95,013 | 3,528 | |
| EW Scripps Co. Class A | 167,751 | 2,503 | |
| Gannett Co. Inc. | 379,385 | 2,413 | |
| * | QuinStreet Inc. | 141,689 | 2,230 |
| Marcus Corp. | 70,682 | 2,224 | |
| * | Glu Mobile Inc. | 354,596 | 1,961 |
| ATN International Inc. | 33,558 | 1,884 | |
| * | TechTarget Inc. | 70,284 | 1,864 |
| * | Care.com Inc. | 87,319 | 1,094 |
| * | Cincinnati Bell Inc. | 155,574 | 1,010 |
| Consolidated Communications Holdings Inc. | 221,435 | 804 | |
| Spok Holdings Inc. | 55,646 | 685 | |
| *,^ Frontier Communications Corp. | 318,047 | 214 | |
| 48,348 | |||
| Consumer Discretionary (13.9%) | |||
| * | TopBuild Corp. | 105,509 | 11,636 |
| Lithia Motors Inc. Class A | 68,978 | 11,076 | |
| Steven Madden Ltd. | 240,206 | 10,202 | |
| * | RH | 49,170 | 10,109 |
| Strategic Education Inc. | 67,510 | 9,569 | |
| LCI Industries | 77,119 | 8,210 | |
| Wolverine World Wide Inc. | 249,230 | 8,000 | |
| * | Fox Factory Holding Corp. | 118,309 | 7,800 |
| Monro Inc. | 102,374 | 7,514 | |
| * | Crocs Inc. | 214,401 | 7,483 |
| * | Meritage Homes Corp. | 110,635 | 7,362 |
| Wingstop Inc. | 90,565 | 7,245 | |
| * | Dorman Products Inc. | 89,805 | 6,674 |
| * | Asbury Automotive Group Inc. | 59,583 | 6,604 |
| Bloomin' Brands Inc. | 267,432 | 6,432 | |
| MDC Holdings Inc. | 152,546 | 6,036 | |
| Callaway Golf Co. | 290,000 | 6,026 | |
| * | Shake Shack Inc. Class A | 94,326 | 5,846 |
| Group 1 Automotive Inc. | 53,737 | 5,540 | |
| * | Cavco Industries Inc. | 26,392 | 5,279 |
| Kontoor Brands Inc. | 143,930 | 5,160 | |
| Winnebago Industries Inc. | 103,725 | 4,930 | |
| * | Installed Building Products Inc. | 65,524 | 4,698 |
| La-Z-Boy Inc. | 143,857 | 4,546 | |
| Cooper Tire & Rubber Co. | 154,412 | 4,450 | |
| * | LGI Homes Inc. | 61,458 | 4,442 |
| Dine Brands Global Inc. | 52,860 | 4,381 | |
| * | Stamps.com Inc. | 50,197 | 4,380 |
| * | Sleep Number Corp. | 90,054 | 4,347 |
| * | Gentherm Inc. | 100,952 | 4,225 |
| * | G-III Apparel Group Ltd. | 132,209 | 3,913 |
| Rent-A-Center Inc. | 150,079 | 3,907 | |
| Oxford Industries Inc. | 52,338 | 3,895 | |
| Dave & Buster's Entertainment Inc. | 94,890 | 3,813 | |
| Core-Mark Holding Co. Inc. | 140,964 | 3,799 | |
| *,^ iRobot Corp. | 86,807 | 3,781 | |
| * | M/I Homes Inc. | 85,180 | 3,771 |
| Office Depot Inc. | 1,682,984 | 3,753 | |
| * | Career Education Corp. | 215,127 | 3,588 |
| * | Boot Barn Holdings Inc. | 87,810 | 3,497 |
| ^ | Children's Place Inc. | 47,978 | 3,467 |
| * | American Axle & Manufacturing Holdings Inc. | 347,825 | 3,430 |
| Abercrombie & Fitch Co. | 195,127 | 3,116 | |
| Standard Motor Products Inc. | 61,455 | 3,095 | |
| Signet Jewelers Ltd. | 161,691 | 2,970 | |
| Caleres Inc. | 129,056 | 2,825 | |
| Designer Brands Inc. Class A | 170,633 | 2,815 | |
| * | Garrett Motion Inc. | 229,365 | 2,654 |
| Big Lots Inc. | 120,680 | 2,522 | |
| Guess? Inc. | 130,912 | 2,520 | |
| Sonic Automotive Inc. Class A | 74,970 | 2,455 | |
| Buckle Inc. | 88,095 | 2,451 | |
| BJ's Restaurants Inc. | 58,977 | 2,427 | |
| * | Shutterstock Inc. | 58,359 | 2,427 |
| * | Universal Electronics Inc. | 42,773 | 2,378 |
| Sturm Ruger & Co. Inc. | 51,088 | 2,327 | |
| * | Century Communities Inc. | 80,524 | 2,295 |
| * | William Lyon Homes Class A | 101,590 | 2,121 |
| * | Michaels Cos. Inc. | 248,165 | 2,030 |
| Ruth's Hospitality Group Inc. | 85,580 | 2,000 | |
| * | Zumiez Inc. | 62,652 | 1,851 |
| ^ | GameStop Corp. Class A | 277,568 | 1,760 |
| Chico's FAS Inc. | 363,416 | 1,734 | |
| * | Monarch Casino & Resort Inc. | 36,714 | 1,674 |
| * | Genesco Inc. | 44,182 | 1,641 |
| * | Hibbett Sports Inc. | 54,802 | 1,555 |
| * | Cooper-Standard Holdings Inc. | 52,457 | 1,491 |
| * | Vista Outdoor Inc. | 177,578 | 1,470 |
| * | Chuy's Holdings Inc. | 50,868 | 1,466 |
| ^ | PetMed Express Inc. | 61,842 | 1,412 |
| Ethan Allen Interiors Inc. | 75,975 | 1,358 | |
| Cato Corp. Class A | 67,251 | 1,282 | |
| * | Conn's Inc. | 58,394 | 1,281 |
| Tupperware Brands Corp. | 150,792 | 1,274 | |
| * | American Public Education Inc. | 49,401 | 1,223 |
| * | Regis Corp. | 75,102 | 1,211 |
| * | Motorcar Parts of America Inc. | 58,393 | 1,139 |
| Haverty Furniture Cos. Inc. | 56,195 | 1,130 | |
| * | MarineMax Inc. | 66,559 | 1,102 |
| * | Unifi Inc. | 44,912 | 1,094 |
| * | Red Robin Gourmet Burgers Inc. | 40,052 | 1,092 |
| * | Fossil Group Inc. | 142,836 | 1,070 |
| *,^ JC Penney Co. Inc. | 927,046 | 1,048 | |
| ^ | Shoe Carnival Inc. | 28,525 | 1,013 |
| Movado Group Inc. | 50,381 | 985 | |
| * | El Pollo Loco Holdings Inc. | 60,138 | 969 |
| * | Express Inc. | 208,614 | 820 |
| ^ | Tailored Brands Inc. | 153,768 | 813 |
| * | Vera Bradley Inc. | 73,049 | 806 |
| *,^ Lumber Liquidators Holdings Inc. | 89,092 | 794 | |
| * | Fiesta Restaurant Group Inc. | 65,785 | 651 |
| * | Barnes & Noble Education Inc. | 114,585 | 578 |
| * | Liquidity Services Inc. | 81,569 | 570 |
| * | Vitamin Shoppe Inc. | 46,344 | 300 |
| 329,901 | |||
| Consumer Staples (4.1%) | |||
| * | Darling Ingredients Inc. | 506,759 | 12,061 |
| J&J Snack Foods Corp. | 45,778 | 8,469 | |
| WD-40 Co. | 42,206 | 8,150 | |
| * | Avon Products Inc. | 1,365,440 | 6,267 |
| PriceSmart Inc. | 68,486 | 5,119 | |
| Vector Group Ltd. | 354,175 | 4,760 | |
| Calavo Growers Inc. | 50,462 | 4,501 | |
| Cal-Maine Foods Inc. | 93,143 | 4,055 | |
| Universal Corp. | 76,762 | 4,008 | |
| Coca-Cola Consolidated Inc. | 14,269 | 3,855 | |
| Inter Parfums Inc. | 54,177 | 3,819 | |
| ^ | B&G Foods Inc. | 201,538 | 3,337 |
| Medifast Inc. | 36,440 | 3,203 | |
| * | Central Garden & Pet Co. Class A | 127,161 | 3,180 |
| Fresh Del Monte Produce Inc. | 93,858 | 3,069 | |
| * | USANA Health Sciences Inc. | 39,615 | 2,916 |
| * | Chefs' Warehouse Inc. | 78,118 | 2,778 |
| John B Sanfilippo & Son Inc. | 26,996 | 2,639 | |
| Andersons Inc. | 100,482 | 2,321 | |
| MGP Ingredients Inc. | 40,679 | 1,856 | |
| *,^ National Beverage Corp. | 36,067 | 1,790 | |
| SpartanNash Co. | 111,556 | 1,580 | |
| * | United Natural Foods Inc. | 163,240 | 1,489 |
| * | Central Garden & Pet Co. | 32,151 | 848 |
| * | Seneca Foods Corp. Class A | 21,118 | 826 |
| 96,896 | |||
| Energy (3.3%) | |||
| * | Dril-Quip Inc. | 111,900 | 4,729 |
| * | PDC Energy Inc. | 181,477 | 4,125 |
| * | Oceaneering International Inc. | 302,903 | 4,062 |
| * | Helix Energy Solutions Group Inc. | 434,714 | 3,608 |
| Archrock Inc. | 393,586 | 3,310 | |
| * | Oil States International Inc. | 186,425 | 2,972 |
| * | Par Pacific Holdings Inc. | 112,936 | 2,811 |
| SM Energy Co. | 328,435 | 2,729 | |
| * | SRC Energy Inc. | 743,201 | 2,653 |
| *,^ Valaris plc Class A | 611,272 | 2,604 | |
| * | Callon Petroleum Co. | 706,815 | 2,580 |
| QEP Resources Inc. | 736,940 | 2,410 | |
| * | SEACOR Holdings Inc. | 54,166 | 2,293 |
| Range Resources Corp. | 645,159 | 2,252 | |
| * | ProPetro Holding Corp. | 255,203 | 2,200 |
| Nabors Industries Ltd. | 1,046,570 | 2,156 | |
| DMC Global Inc. | 45,172 | 2,082 | |
| * | Renewable Energy Group Inc. | 120,741 | 2,060 |
| * | Carrizo Oil & Gas Inc. | 284,466 | 1,823 |
| * | Matrix Service Co. | 83,101 | 1,740 |
| * | Newpark Resources Inc. | 279,195 | 1,636 |
| Green Plains Inc. | 104,053 | 1,587 | |
| * | REX American Resources Corp. | 17,148 | 1,575 |
| * | Talos Energy Inc. | 61,618 | 1,429 |
| * | Denbury Resources Inc. | 1,439,535 | 1,420 |
| * | Whiting Petroleum Corp. | 280,946 | 1,287 |
| * | Jagged Peak Energy Inc. | 183,209 | 1,222 |
| * | Laredo Petroleum Inc. | 553,293 | 1,195 |
| *,^ Diamond Offshore Drilling Inc. | 198,370 | 1,121 | |
| US Silica Holdings Inc. | 224,132 | 1,105 | |
| * | Gulfport Energy Corp. | 447,548 | 1,061 |
| * | CONSOL Energy Inc. | 79,714 | 1,017 |
| * | Bonanza Creek Energy Inc. | 57,262 | 1,000 |
| * | Penn Virginia Corp. | 41,384 | 999 |
| * | Noble Corp. plc | 765,233 | 811 |
| ^ | RPC Inc. | 155,006 | 598 |
| * | Geospace Technologies Corp. | 41,300 | 595 |
| * | Era Group Inc. | 59,422 | 569 |
| * | TETRA Technologies Inc. | 381,977 | 470 |
| * | Exterran Corp. | 86,615 | 466 |
| *,^ McDermott International Inc. | 557,069 | 446 | |
| * | HighPoint Resources Corp. | 327,834 | 410 |
| * | KLX Energy Services Holdings Inc. | 63,233 | 357 |
| * | Ring Energy Inc. | 185,282 | 356 |
| * | Unit Corp. | 167,126 | 143 |
| 78,074 | |||
| Financials (17.8%) | |||
| Glacier Bancorp Inc. | 263,537 | 11,556 | |
| RLI Corp. | 122,729 | 11,214 | |
| Community Bank System Inc. | 158,831 | 10,777 | |
| Old National Bancorp | 530,934 | 9,599 | |
| Simmons First National Corp. Class A | 350,586 | 9,084 | |
| Independent Bank Corp. | 105,956 | 8,921 | |
| Ameris Bancorp | 201,438 | 8,793 | |
| Columbia Banking System Inc. | 224,872 | 8,788 | |
| CVB Financial Corp. | 410,398 | 8,766 | |
| * | American Equity Investment Life Holding Co. | 280,313 | 8,331 |
| Apollo Commercial Real Estate Finance Inc. | 439,846 | 8,036 | |
| United Community Banks Inc. | 243,470 | 7,548 | |
| First Financial Bancorp | 302,194 | 7,349 | |
| First Midwest Bancorp Inc. | 338,230 | 7,292 | |
| Invesco Mortgage Capital Inc. | 439,163 | 7,132 | |
| First BanCorp | 669,406 | 7,029 | |
| * | NMI Holdings Inc. Class A | 208,247 | 6,991 |
| Cadence BanCorp Class A | 394,204 | 6,508 | |
| Kinsale Capital Group Inc. | 63,253 | 6,405 | |
| PennyMac Mortgage Investment Trust | 270,659 | 6,250 | |
| ProAssurance Corp. | 165,727 | 6,231 | |
| Great Western Bancorp Inc. | 174,475 | 5,997 | |
| Pacific Premier Bancorp Inc. | 185,865 | 5,955 | |
| Banner Corp. | 106,562 | 5,821 | |
| Walker & Dunlop Inc. | 87,974 | 5,775 | |
| * | eHealth Inc. | 61,658 | 5,689 |
| Hope Bancorp Inc. | 390,950 | 5,673 | |
| Redwood Trust Inc. | 344,770 | 5,578 | |
| New York Mortgage Trust Inc. | 886,579 | 5,523 | |
| Horace Mann Educators Corp. | 126,949 | 5,511 |
| Westamerica Bancorporation | 83,116 | 5,403 |
| NBT Bancorp Inc. | 134,834 | 5,393 |
| ServisFirst Bancshares Inc. | 142,036 | 5,164 |
| Northwest Bancshares Inc. | 308,565 | 5,135 |
| * PRA Group Inc. | 140,072 | 5,132 |
| * Axos Financial Inc. | 163,975 | 4,829 |
| Eagle Bancorp Inc. | 106,638 | 4,737 |
| * Seacoast Banking Corp. of Florida | 158,497 | 4,715 |
| Provident Financial Services Inc. | 186,988 | 4,548 |
| S&T Bancorp Inc. | 118,587 | 4,473 |
| Safety Insurance Group Inc. | 45,074 | 4,401 |
| First Commonwealth Financial Corp. | 304,168 | 4,322 |
| Berkshire Hills Bancorp Inc. | 134,784 | 4,252 |
| Employers Holdings Inc. | 98,086 | 4,215 |
| City Holding Co. | 50,527 | 4,016 |
| AMERISAFE Inc. | 59,372 | 4,014 |
| Flagstar Bancorp Inc. | 106,215 | 3,958 |
| Brookline Bancorp Inc. | 245,894 | 3,947 |
| Veritex Holdings Inc. | 149,815 | 3,897 |
| Meta Financial Group Inc. | 107,475 | 3,823 |
| James River Group Holdings Ltd. | 93,267 | 3,690 |
| FGL Holdings | 401,646 | 3,667 |
| Waddell & Reed Financial Inc. Class A | 224,766 | 3,630 |
| * Blucora Inc. | 150,673 | 3,547 |
| Piper Jaffray Cos. | 43,769 | 3,540 |
| National Bank Holdings Corp. Class A | 96,058 | 3,443 |
| Southside Bancshares Inc. | 97,768 | 3,433 |
| OFG Bancorp | 158,287 | 3,395 |
| Tompkins Financial Corp. | 38,173 | 3,312 |
| Heritage Financial Corp. | 114,011 | 3,144 |
| Stewart Information Services Corp. | 72,886 | 3,117 |
| ARMOUR Residential REIT Inc. | 179,967 | 3,106 |
| * Encore Capital Group Inc. | 84,838 | 3,094 |
| Granite Point Mortgage Trust Inc. | 169,328 | 3,077 |
| Boston Private Financial Holdings Inc. | 258,113 | 3,030 |
| * Ambac Financial Group Inc. | 140,492 | 2,925 |
| United Fire Group Inc. | 65,826 | 2,892 |
| Universal Insurance Holdings Inc. | 96,567 | 2,810 |
| * Triumph Bancorp Inc. | 73,750 | 2,645 |
| TrustCo Bank Corp. NY | 297,361 | 2,611 |
| Central Pacific Financial Corp. | 87,830 | 2,552 |
| * Enova International Inc. | 104,559 | 2,408 |
| * HomeStreet Inc. | 75,109 | 2,397 |
| Virtus Investment Partners Inc. | 20,167 | 2,376 |
| Preferred Bank | 42,771 | 2,359 |
| * Third Point Reinsurance Ltd. | 245,112 | 2,341 |
| Capstead Mortgage Corp. | 295,907 | 2,302 |
| Northfield Bancorp Inc. | 133,393 | 2,254 |
| Oritani Financial Corp. | 118,462 | 2,203 |
| * Allegiance Bancshares Inc. | 59,490 | 2,134 |
| Banc of California Inc. | 136,685 | 2,099 |
| * Customers Bancorp Inc. | 88,481 | 2,069 |
| * INTL. FCStone Inc. | 50,167 | 2,007 |
| Dime Community Bancshares Inc. | 95,506 | 1,925 |
| Hanmi Financial Corp. | 95,251 | 1,870 |
| WisdomTree Investments Inc. | 363,737 | 1,768 |
| Opus Bank | 67,352 | 1,732 | |
| * | World Acceptance Corp. | 17,056 | 1,620 |
| KKR Real Estate Finance Trust Inc. | 74,341 | 1,501 | |
| Franklin Financial Network Inc. | 40,901 | 1,396 | |
| * | Donnelley Financial Solutions Inc. | 95,975 | 964 |
| HCI Group Inc. | 20,244 | 937 | |
| *,^ EZCORP Inc. Class A | 162,283 | 831 | |
| United Insurance Holdings Corp. | 64,259 | 815 | |
| Greenhill & Co. Inc. | 45,823 | 779 | |
| 424,243 | |||
| Health Care (13.4%) | |||
| * | Arrowhead Pharmaceuticals Inc. | 293,373 | 21,419 |
| * | Medicines Co. | 227,202 | 19,130 |
| * | LHC Group Inc. | 91,137 | 12,158 |
| * | Neogen Corp. | 161,086 | 10,723 |
| * | Omnicell Inc. | 128,110 | 10,248 |
| CONMED Corp. | 87,031 | 9,858 | |
| * | AMN Healthcare Services Inc. | 143,835 | 8,554 |
| * | NeoGenomics Inc. | 319,198 | 8,239 |
| * | HMS Holdings Corp. | 268,483 | 8,108 |
| * | Integer Holdings Corp. | 100,580 | 7,629 |
| * | Emergent BioSolutions Inc. | 135,205 | 7,417 |
| * | Select Medical Holdings Corp. | 334,483 | 7,395 |
| Ensign Group Inc. | 154,692 | 6,718 | |
| * | Medpace Holdings Inc. | 83,604 | 6,410 |
| * | Cambrex Corp. | 103,783 | 6,224 |
| * | Xencor Inc. | 151,806 | 5,981 |
| * | Pacira BioSciences Inc. | 128,435 | 5,936 |
| * | Myriad Genetics Inc. | 227,704 | 5,861 |
| * | Magellan Health Inc. | 66,739 | 5,188 |
| * | Momenta Pharmaceuticals Inc. | 304,143 | 5,110 |
| * | Cardiovascular Systems Inc. | 108,612 | 4,948 |
| * | BioTelemetry Inc. | 103,823 | 4,808 |
| * | Merit Medical Systems Inc. | 170,281 | 4,768 |
| US Physical Therapy Inc. | 39,275 | 4,590 | |
| * | Covetrus Inc. | 299,600 | 4,287 |
| * | Inogen Inc. | 56,194 | 4,136 |
| * | Corcept Therapeutics Inc. | 315,741 | 4,051 |
| * | REGENXBIO Inc. | 96,404 | 4,035 |
| * | Addus HomeCare Corp. | 40,552 | 3,780 |
| * | Supernus Pharmaceuticals Inc. | 161,620 | 3,779 |
| * | Tactile Systems Technology Inc. | 58,246 | 3,740 |
| * | Varex Imaging Corp. | 118,366 | 3,544 |
| * | Natus Medical Inc. | 105,049 | 3,361 |
| * | Endo International plc | 618,298 | 3,141 |
| * | Enanta Pharmaceuticals Inc. | 49,236 | 3,134 |
| * | Spectrum Pharmaceuticals Inc. | 347,654 | 3,122 |
| * | Hanger Inc. | 115,251 | 3,020 |
| * | Tivity Health Inc. | 132,301 | 2,997 |
| Mesa Laboratories Inc. | 12,283 | 2,876 | |
| * | CryoLife Inc. | 114,965 | 2,843 |
| * | Innoviva Inc. | 205,348 | 2,768 |
| * | Vanda Pharmaceuticals Inc. | 164,298 | 2,749 |
| * | NextGen Healthcare Inc. | 148,855 | 2,742 |
| Luminex Corp. | 128,376 | 2,713 | |
| * | Tabula Rasa HealthCare Inc. | 60,679 | 2,707 |
| * | Orthofix Medical Inc. | 58,343 | 2,649 |
| * Lantheus Holdings Inc. | 120,798 | 2,525 |
| * RadNet Inc. | 128,081 | 2,454 |
| * Anika Therapeutics Inc. | 42,273 | 2,443 |
| * CorVel Corp. | 27,852 | 2,298 |
| * HealthStream Inc. | 78,637 | 2,291 |
| * Providence Service Corp. | 35,700 | 2,131 |
| * Amphastar Pharmaceuticals Inc. | 106,055 | 2,069 |
| * Heska Corp. | 21,521 | 2,055 |
| * Eagle Pharmaceuticals Inc. | 31,163 | 1,822 |
| * Pennant Group Inc. | 77,467 | 1,814 |
| LeMaitre Vascular Inc. | 49,901 | 1,775 |
| * AngioDynamics Inc. | 114,663 | 1,762 |
| * ANI Pharmaceuticals Inc. | 28,567 | 1,760 |
| * Cytokinetics Inc. | 180,135 | 1,742 |
| * Surmodics Inc. | 41,692 | 1,711 |
| * Cutera Inc. | 43,917 | 1,682 |
| * OraSure Technologies Inc. | 189,616 | 1,536 |
| Phibro Animal Health Corp. Class A | 62,344 | 1,512 |
| * Progenics Pharmaceuticals Inc. | 266,239 | 1,390 |
| * Cross Country Healthcare Inc. | 113,059 | 1,365 |
| Owens & Minor Inc. | 192,768 | 1,276 |
| Meridian Bioscience Inc. | 131,163 | 1,200 |
| * Community Health Systems Inc. | 360,382 | 1,153 |
| * AMAG Pharmaceuticals Inc. | 105,508 | 1,124 |
| * Akorn Inc. | 290,190 | 1,059 |
| Computer Programs & Systems Inc. | 38,664 | 1,028 |
| * Diplomat Pharmacy Inc. | 178,157 | 918 |
| Invacare Corp. | 104,319 | 911 |
| * Lannett Co. Inc. | 102,707 | 906 |
| * Acorda Therapeutics Inc. | 144,666 | 231 |
| * Exact Sciences Corp. | 1 | — |
| 317,537 | ||
| Industrials (17.2%) | ||
| John Bean Technologies Corp. | 97,389 | 10,669 |
| Simpson Manufacturing Co. Inc. | 125,092 | 10,157 |
| Exponent Inc. | 159,742 | 10,152 |
| * Aerojet Rocketdyne Holdings Inc. | 222,723 | 9,844 |
| SkyWest Inc. | 156,897 | 9,828 |
| UniFirst Corp. | 47,247 | 9,745 |
| Universal Forest Products Inc. | 188,756 | 9,362 |
| Barnes Group Inc. | 146,616 | 8,678 |
| Brady Corp. Class A | 152,097 | 8,670 |
| Moog Inc. Class A | 99,955 | 8,583 |
| Watts Water Technologies Inc. Class A | 85,035 | 8,245 |
| * Proto Labs Inc. | 82,497 | 7,993 |
| Albany International Corp. Class A | 94,376 | 7,897 |
| ABM Industries Inc. | 204,649 | 7,775 |
| Applied Industrial Technologies Inc. | 118,856 | 7,589 |
| * Saia Inc. | 79,713 | 7,565 |
| Hillenbrand Inc. | 228,147 | 7,214 |
| ESCO Technologies Inc. | 80,028 | 7,048 |
| Allegiant Travel Co. Class A | 40,578 | 6,887 |
| Korn Ferry | 172,396 | 6,772 |
| Franklin Electric Co. Inc. | 118,422 | 6,569 |
| * SPX Corp. | 135,629 | 6,480 |
| * SPX FLOW Inc. | 131,154 | 6,217 |
| AAON Inc. | 125,281 | 6,185 |
| Federal Signal Corp. | 185,805 | 6,120 |
| Forward Air Corp. | 87,197 | 6,106 |
| * Chart Industries Inc. | 110,240 | 6,085 |
| Arcosa Inc. | 148,961 | 5,841 |
| Comfort Systems USA Inc. | 113,465 | 5,798 |
| Cubic Corp. | 96,078 | 5,721 |
| * Harsco Corp. | 247,314 | 5,503 |
| Mueller Industries Inc. | 174,090 | 5,465 |
| Kaman Corp. | 85,811 | 5,458 |
| * Hub Group Inc. Class A | 102,937 | 5,257 |
| Mobile Mini Inc. | 137,676 | 5,226 |
| * Gibraltar Industries Inc. | 98,975 | 5,169 |
| Matson Inc. | 131,507 | 4,963 |
| * American Woodmark Corp. | 47,910 | 4,930 |
| AAR Corp. | 101,724 | 4,546 |
| Hawaiian Holdings Inc. | 145,070 | 4,394 |
| US Ecology Inc. | 78,363 | 4,309 |
| Triumph Group Inc. | 154,384 | 4,278 |
| EnPro Industries Inc. | 63,012 | 4,183 |
| Tennant Co. | 56,013 | 4,171 |
| Actuant Corp. Class A | 168,682 | 4,143 |
| * AeroVironment Inc. | 66,469 | 4,077 |
| * GMS Inc. | 128,155 | 3,968 |
| Viad Corp. | 62,486 | 3,930 |
| Raven Industries Inc. | 110,010 | 3,781 |
| Encore Wire Corp. | 64,387 | 3,756 |
| Matthews International Corp. Class A | 96,947 | 3,718 |
| Alamo Group Inc. | 29,862 | 3,428 |
| * Patrick Industries Inc. | 69,108 | 3,422 |
| Apogee Enterprises Inc. | 80,918 | 3,094 |
| Heartland Express Inc. | 144,254 | 3,089 |
| AZZ Inc. | 80,795 | 3,076 |
| Interface Inc. Class A | 179,274 | 3,010 |
| Lindsay Corp. | 33,313 | 3,006 |
| Standex International Corp. | 38,060 | 2,937 |
| * TrueBlue Inc. | 123,723 | 2,884 |
| Greenbrier Cos. Inc. | 99,929 | 2,812 |
| Griffon Corp. | 130,879 | 2,777 |
| * CIRCOR International Inc. | 61,080 | 2,710 |
| Wabash National Corp. | 167,685 | 2,641 |
| Astec Industries Inc. | 69,521 | 2,604 |
| * PGT Innovations Inc. | 180,095 | 2,590 |
| Marten Transport Ltd. | 119,236 | 2,519 |
| Pitney Bowes Inc. | 528,938 | 2,491 |
| * Vicor Corp. | 56,247 | 2,310 |
| ArcBest Corp. | 77,547 | 2,232 |
| Kelly Services Inc. Class A | 101,855 | 2,232 |
| * Atlas Air Worldwide Holdings Inc. | 80,097 | 2,090 |
| * Aegion Corp. Class A | 95,096 | 2,060 |
| Quanex Building Products Corp. | 102,141 | 1,988 |
| * DXP Enterprises Inc. | 49,580 | 1,910 |
| Heidrick & Struggles International Inc. | 58,557 | 1,816 |
| * MYR Group Inc. | 50,988 | 1,752 |
| * Echo Global Logistics Inc. | 84,533 | 1,693 |
| * Team Inc. | 93,723 | 1,516 |
| Resources Connection Inc. | 92,312 | 1,426 |
| National Presto Industries Inc. | 15,429 | 1,373 |
| Insteel Industries Inc. | 56,736 | 1,324 |
| Forrester Research Inc. | 32,821 | 1,311 |
| Powell Industries Inc. | 27,010 | 1,123 |
| * Lydall Inc. | 53,799 | 1,002 |
| Park Aerospace Corp. | 59,827 | 976 |
| RR Donnelley & Sons Co. | 218,289 | 867 |
| * Veritiv Corp. | 39,464 | 724 |
| Briggs & Stratton Corp. | 129,579 | 693 |
| Titan International Inc. | 152,588 | 447 |
| 408,975 | ||
| Information Technology (13.9%) | ||
| Cabot Microelectronics Corp. | 89,322 | 11,916 |
| * Viavi Solutions Inc. | 703,992 | 10,574 |
| Brooks Automation Inc. | 222,092 | 9,943 |
| * Qualys Inc. | 103,992 | 9,100 |
| * Itron Inc. | 107,995 | 8,648 |
| Power Integrations Inc. | 90,410 | 8,272 |
| * Anixter International Inc. | 92,501 | 7,940 |
| * Advanced Energy Industries Inc. | 118,061 | 7,581 |
| * LivePerson Inc. | 187,850 | 7,456 |
| * Rogers Corp. | 57,203 | 7,438 |
| * ExlService Holdings Inc. | 105,336 | 7,354 |
| * Insight Enterprises Inc. | 110,227 | 7,230 |
| * Fabrinet | 113,603 | 6,872 |
| * Plexus Corp. | 90,187 | 6,845 |
| * Sanmina Corp. | 214,491 | 6,823 |
| ManTech International Corp. Class A | 82,543 | 6,404 |
| * 8x8 Inc. | 305,947 | 6,278 |
| * SPS Commerce Inc. | 107,229 | 6,040 |
| EVERTEC Inc. | 184,067 | 5,967 |
| * Diodes Inc. | 126,887 | 5,855 |
| * Bottomline Technologies DE Inc. | 117,621 | 5,821 |
| CSG Systems International Inc. | 101,482 | 5,804 |
| * Knowles Corp. | 264,043 | 5,783 |
| Progress Software Corp. | 137,309 | 5,768 |
| Badger Meter Inc. | 89,645 | 5,558 |
| * FormFactor Inc. | 231,739 | 5,362 |
| * OSI Systems Inc. | 52,103 | 5,184 |
| * Onto Innovation Inc. | 150,263 | 5,043 |
| Kulicke & Soffa Industries Inc. | 194,676 | 4,884 |
| * Alarm.com Holdings Inc. | 111,945 | 4,883 |
| KEMET Corp. | 178,471 | 4,769 |
| * Cardtronics plc Class A | 112,935 | 4,768 |
| NIC Inc. | 205,679 | 4,667 |
| * Rambus Inc. | 341,295 | 4,454 |
| * Perficient Inc. | 100,882 | 4,265 |
| Methode Electronics Inc. | 113,522 | 4,224 |
| * Sykes Enterprises Inc. | 118,998 | 4,182 |
| * Virtusa Corp. | 93,177 | 4,164 |
| * TTM Technologies Inc. | 302,037 | 4,050 |
| Benchmark Electronics Inc. | 116,168 | 4,004 |
| * MaxLinear Inc. | 199,218 | 3,958 |
| * MicroStrategy Inc. Class A | 25,267 | 3,798 |
| * ePlus Inc. | 41,673 | 3,483 |
| * 3D Systems Corp. | 363,273 | 3,084 |
| TiVo Corp. | 387,758 | 3,028 |
| Xperi Corp. | 152,279 | 3,014 |
| Comtech Telecommunications Corp. | 74,019 | 2,797 | |
| * | ScanSource Inc. | 78,095 | 2,766 |
| CTS Corp. | 100,639 | 2,756 | |
| * | Ultra Clean Holdings Inc. | 121,754 | 2,708 |
| * | Extreme Networks Inc. | 372,147 | 2,616 |
| * | FARO Technologies Inc. | 53,321 | 2,598 |
| MTS Systems Corp. | 55,508 | 2,521 | |
| * | Photronics Inc. | 207,074 | 2,435 |
| * | NETGEAR Inc. | 95,395 | 2,395 |
| Ebix Inc. | 68,691 | 2,389 | |
| * | Harmonic Inc. | 275,632 | 2,277 |
| Cohu Inc. | 126,976 | 2,253 | |
| * | Ichor Holdings Ltd. | 69,359 | 2,188 |
| * | Axcelis Technologies Inc. | 98,613 | 2,114 |
| * | Veeco Instruments Inc. | 151,272 | 2,071 |
| TTEC Holdings Inc. | 44,390 | 2,039 | |
| * | OneSpan Inc. | 99,946 | 1,864 |
| * | Unisys Corp. | 158,458 | 1,803 |
| * | CEVA Inc. | 67,734 | 1,756 |
| * | Diebold Nixdorf Inc. | 236,622 | 1,720 |
| * | Agilysys Inc. | 62,190 | 1,575 |
| * | Digi International Inc. | 86,195 | 1,538 |
| ADTRAN Inc. | 148,220 | 1,362 | |
| * | PDF Solutions Inc. | 85,702 | 1,358 |
| * | SMART Global Holdings Inc. | 40,684 | 1,253 |
| * | CalAmp Corp. | 103,404 | 1,085 |
| * | DSP Group Inc. | 70,715 | 1,002 |
| * | Arlo Technologies Inc. | 232,330 | 804 |
| Daktronics Inc. | 115,579 | 712 | |
| *,^ Applied Optoelectronics Inc. | 59,111 | 632 | |
| Bel Fuse Inc. Class B | 31,636 | 524 | |
| 330,449 | |||
| Materials (4.8%) | |||
| Balchem Corp. | 99,519 | 9,915 | |
| HB Fuller Co. | 156,903 | 7,826 | |
| Innospec Inc. | 75,305 | 7,410 | |
| ^ | Cleveland-Cliffs Inc. | 831,887 | 6,647 |
| Stepan Co. | 61,824 | 5,991 | |
| Quaker Chemical Corp. | 39,728 | 5,929 | |
| Kaiser Aluminum Corp. | 49,374 | 5,410 | |
| Trinseo SA | 123,802 | 4,703 | |
| Boise Cascade Co. | 119,950 | 4,549 | |
| Schweitzer-Mauduit International Inc. | 95,250 | 4,178 | |
| Neenah Inc. | 51,977 | 3,783 | |
| * | GCP Applied Technologies Inc. | 166,043 | 3,714 |
| Materion Corp. | 62,900 | 3,702 | |
| * | Ferro Corp. | 252,391 | 3,639 |
| * | Livent Corp. | 450,594 | 3,515 |
| Warrior Met Coal Inc. | 159,139 | 3,267 | |
| * | AK Steel Holding Corp. | 966,855 | 2,669 |
| PH Glatfelter Co. | 136,292 | 2,433 | |
| * | Koppers Holdings Inc. | 63,731 | 2,361 |
| * | Kraton Corp. | 97,628 | 2,200 |
| * | US Concrete Inc. | 48,621 | 1,990 |
| Innophos Holdings Inc. | 60,692 | 1,936 | |
| Myers Industries Inc. | 108,516 | 1,796 | |
| * | AdvanSix Inc. | 86,020 | 1,740 |
| Tredegar Corp. | 75,413 | 1,624 | |
| Mercer International Inc. | 122,300 | 1,532 | |
| SunCoke Energy Inc. | 280,180 | 1,435 | |
| Haynes International Inc. | 38,490 | 1,413 | |
| American Vanguard Corp. | 81,713 | 1,316 | |
| Hawkins Inc. | 29,126 | 1,204 | |
| * | Clearwater Paper Corp. | 50,911 | 1,114 |
| * | Century Aluminum Co. | 153,504 | 1,082 |
| FutureFuel Corp. | 79,980 | 897 | |
| * | TimkenSteel Corp. | 124,046 | 722 |
| Rayonier Advanced Materials Inc. | 153,422 | 601 | |
| Olympic Steel Inc. | 27,334 | 458 | |
| * | LSB Industries Inc. | 65,821 | 261 |
| *,§ A Schulman Inc. CVR | 71,146 | 31 | |
| 114,993 | |||
| Real Estate (7.1%) | |||
| Agree Realty Corp. | 129,194 | 9,661 | |
| Lexington Realty Trust Class B | 762,543 | 8,449 | |
| Washington REIT | 246,654 | 7,664 | |
| Xenia Hotels & Resorts Inc. | 347,008 | 7,308 | |
| Acadia Realty Trust | 260,080 | 6,991 | |
| American Assets Trust Inc. | 146,777 | 6,976 | |
| Essential Properties Realty Trust Inc. | 249,472 | 6,509 | |
| Retail Opportunity Investments Corp. | 352,107 | 6,422 | |
| DiamondRock Hospitality Co. | 612,671 | 6,311 | |
| CareTrust REIT Inc. | 294,619 | 6,152 | |
| National Storage Affiliates Trust | 182,689 | 6,120 | |
| Four Corners Property Trust Inc. | 210,853 | 5,971 | |
| LTC Properties Inc. | 122,068 | 5,714 | |
| Global Net Lease Inc. | 275,465 | 5,617 | |
| Easterly Government Properties Inc. | 219,398 | 5,103 | |
| Kite Realty Group Trust | 258,401 | 5,000 | |
| Office Properties Income Trust | 148,363 | 4,949 | |
| Universal Health Realty Income Trust | 38,924 | 4,640 | |
| Independence Realty Trust Inc. | 277,387 | 4,144 | |
| Summit Hotel Properties Inc. | 323,578 | 3,922 | |
| ^ | Realogy Holdings Corp. | 353,014 | 3,696 |
| RPT Realty | 247,519 | 3,658 | |
| Getty Realty Corp. | 105,033 | 3,525 | |
| Armada Hoffler Properties Inc. | 163,398 | 2,951 | |
| Franklin Street Properties Corp. | 330,786 | 2,881 | |
| ^ | Innovative Industrial Properties Inc. | 34,726 | 2,688 |
| Community Healthcare Trust Inc. | 56,312 | 2,680 | |
| Chatham Lodging Trust | 145,072 | 2,655 | |
| * | Marcus & Millichap Inc. | 71,895 | 2,643 |
| ^ | Washington Prime Group Inc. | 570,652 | 2,374 |
| iStar Inc. | 181,175 | 2,354 | |
| Urstadt Biddle Properties Inc. Class A | 91,618 | 2,233 | |
| RE/MAX Holdings Inc. Class A | 54,721 | 2,099 | |
| Saul Centers Inc. | 36,288 | 1,928 | |
| Whitestone REIT | 124,410 | 1,747 | |
| Hersha Hospitality Trust Class A | 111,574 | 1,582 | |
| ^ | Pennsylvania REIT | 184,248 | 1,061 |
| ^ | CBL & Associates Properties Inc. | 537,376 | 774 |
| Cedar Realty Trust Inc. | 261,489 | 698 | |
| 167,850 | |||
| Utilities (2.1%) | ||||
| American States Water Co. | 113,207 | 9,655 | ||
| Avista Corp. | 203,355 | 9,615 | ||
| South Jersey Industries Inc. | 284,812 | 8,897 | ||
| El Paso Electric Co. | 125,479 | 8,510 | ||
| California Water Service Group | 148,231 | 7,619 | ||
| Northwest Natural Holding Co. | 93,742 | 6,447 | ||
| 50,743 | ||||
| Total Common Stocks (Cost $2,275,818) | 2,368,009 | |||
| Coupon | ||||
| Temporary Cash Investments (1.5%)1 | ||||
| Money Market Fund (1.5%) | ||||
| 2,3 Vanguard Market Liquidity Fund | 1.841% | 341,821 | 34,189 | |
| Face | ||||
| Maturity | Amount | |||
| Date | ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | ||||
| 4 United States Treasury Bill | 1.527%—1.541% | 4/30/20 | 290 | 288 |
| Total Temporary Cash Investments (Cost $34,471) | 34,477 | |||
| Total Investments (101.1%) (Cost $2,310,289) | 2,402,486 | |||
| Other Assets and Liabilities-Net (-1.1%)3,4 | (26,175) | |||
| Net Assets (100%) | 2,376,311 | |||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $24,820,000.
§ 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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Collateral of $27,724,000 was received for securities on loan, of which $27,705,000 is held in Vanguard Market
Liquidity Fund and $19,000 is held in cash.
4 Securities with a value of $219,000 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 | December 2019 | 116 | 9,418 | 235 |
S&P Small-Cap 600 Index Fund
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock
Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the
latest quoted sales prices or official closing prices taken from the primary market in which each
security trades; such securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not readily available, or
whose values have been materially affected by events occurring before the fund's pricing time but
after the close of the securities’ primary markets, are valued by methods deemed by the board of
trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that
fund's net asset value. Temporary cash investments are valued using the latest bid prices or using
valuations based on a matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of
maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs.
The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell
futures in response to cash outflows, thereby simulating a fully invested position in the underlying
index while maintaining a cash balance for liquidity. The primary risks associated with the use of
futures contracts are imperfect correlation between changes in market values of stocks held by the
fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk
involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the
clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an
exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered
into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin
representing changes in the market value of each contract. Any assets pledged as initial margin for
open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the
contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts
are recorded as an asset (liability).
C. Various inputs may be used to determine the value of the fund's investments. These inputs are
summarized in three broad levels for financial statement purposes. The inputs or methodologies used
to value securities are not necessarily an indication of the risk associated with investing in those
securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments). Any investments valued with significant unobservable inputs are noted
on the Schedule of Investments.
S&P Small-Cap 600 Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of November 30, 2019, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,367,978 | — | 31 |
| Temporary Cash Investments | 34,189 | 288 | — |
| Futures Contracts—Liabilities1 | (66) | — | — |
| Total | 2,402,101 | 288 | 31 |
| 1 Represents variation margin on the last day of the reporting period. | |||