Semiannual Report  |  February 28, 2022
Vanguard S&P Small-Cap 600 Index Funds
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

 

Contents

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Table of Contents
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.
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Table of Contents
Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $968.10 $0.49
Institutional Shares 1,000.00 968.50 0.39
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,005.90 $0.75
Institutional Shares 1,000.00 1,006.50 0.40
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $930.20 $0.72
Based on Hypothetical 5% Yearly Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
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, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.15% 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 (181/365).
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Table of Contents
S&P Small-Cap 600 Index Fund
Fund Allocation
As of February 28, 2022
Communication Services 1.8%
Consumer Discretionary 11.9
Consumer Staples 4.8
Energy 5.7
Financials 18.9
Health Care 11.7
Industrials 16.6
Information Technology 13.0
Materials 5.5
Real Estate 8.1
Utilities 2.0
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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Table of Contents
S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value

($000)
Common Stocks (99.8%)
Communication Services (1.8%)
Cogent Communications Holdings Inc.   176,420    11,185
* TechTarget Inc.   107,850     8,453
* Cinemark Holdings Inc.   442,678     7,765
Telephone & Data Systems Inc.   410,753     7,127
Scholastic Corp.   126,659     5,330
* EW Scripps Co. Class A   237,751     5,292
* AMC Networks Inc. Class A   121,534     5,038
Shenandoah Telecommunications Co.   207,755     4,643
* Cars.com Inc.   270,083     4,370
* Gannett Co. Inc.   591,782     2,935
* QuinStreet Inc.   207,491     2,334
* Thryv Holdings Inc.    70,617     2,147
* Consolidated Communications Holdings Inc.   299,750     2,134
* Loyalty Ventures Inc.    82,850     1,988
* Marcus Corp.    90,897     1,653
ATN International Inc.    45,401     1,513
                     73,907
Consumer Discretionary (11.9%)
* Asbury Automotive Group Inc.    96,198    18,673
Signet Jewelers Ltd.   220,607    15,553
* Meritage Homes Corp.   155,138    15,294
Group 1 Automotive Inc.    75,262    13,692
Steven Madden Ltd.   318,121    13,571
LCI Industries   105,082    13,085
* Shake Shack Inc. Class A   162,743    12,160
* Gentherm Inc.   138,162    11,722
* LGI Homes Inc.    88,814    11,202
* Dorman Products Inc.   118,342    11,056
* Boot Barn Holdings Inc.   123,112    10,713
MDC Holdings Inc.   235,101    10,424
Kontoor Brands Inc.   197,806     9,799
* Cavco Industries Inc.    35,487     9,675
          Shares Market
Value

($000)
Installed Building Products Inc.    97,580     9,436
* Abercrombie & Fitch Co. Class A   245,657     9,355
Winnebago Industries Inc.   139,124     8,914
Shutterstock Inc.    97,259     8,805
* Vista Outdoor Inc.   238,230     8,683
* Cheesecake Factory Inc.   201,731     8,632
* ODP Corp.   190,850     8,397
* Bloomin' Brands Inc.   337,689     8,311
* Sally Beauty Holdings Inc.   469,982     8,121
* Brinker International Inc.   188,841     8,033
Wolverine World Wide Inc.   342,485     7,887
Century Communities Inc.   123,530     7,871
Jack in the Box Inc.    90,111     7,774
Rent-A-Center Inc.   251,473     7,144
*,1 Bed Bath & Beyond Inc.   420,195     7,097
* iRobot Corp.   112,090     6,968
* Dave & Buster's Entertainment Inc.   160,515     6,957
Patrick Industries Inc.    93,442     6,666
Monro Inc.   139,460     6,510
* Sleep Number Corp.    94,162     6,186
Dine Brands Global Inc.    71,588     6,002
* M/I Homes Inc.   120,994     5,964
Oxford Industries Inc.    66,033     5,837
Strategic Education Inc.    94,098     5,554
La-Z-Boy Inc.   184,292     5,378
Sturm Ruger & Co. Inc.    73,166     5,298
* G-III Apparel Group Ltd.   181,739     5,041
* XPEL Inc.    68,891     5,001
Big Lots Inc.   135,354     4,705
Sonic Automotive Inc. Class A    86,275     4,634
Buckle Inc.   122,122     4,396
* American Axle & Manufacturing Holdings Inc.   474,251     4,392
* Adtalem Global Education Inc.   206,919     4,300
* Monarch Casino & Resort Inc.    54,537     4,248
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Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
* MarineMax Inc.    90,413     4,137
* Zumiez Inc.    88,933     3,957
* Genesco Inc.    59,053     3,788
* Tupperware Brands Corp.   203,238     3,705
* Children's Place Inc.    58,148     3,661
Guess? Inc.   162,049     3,549
Standard Motor Products Inc.    79,581     3,478
* Designer Brands Inc. Class A   255,090     3,329
Caleres Inc.   159,114     3,303
Ruth's Hospitality Group Inc.   131,949     3,274
* BJ's Restaurants Inc.    96,897     3,107
* Perdoceo Education Corp.   291,491     3,052
Hibbett Inc.    62,580     2,821
Aaron's Co. Inc.   130,903     2,748
Movado Group Inc.    68,631     2,705
* Chuy's Holdings Inc.    82,335     2,684
* Fossil Group Inc.   197,303     2,668
* America's Car-Mart Inc.    25,278     2,431
* Chico's FAS Inc.   509,203     2,393
Ethan Allen Interiors Inc.    91,374     2,381
PetMed Express Inc.    87,073     2,347
* WW International Inc.   221,265     2,255
Shoe Carnival Inc.    72,794     2,123
* LL Flooring Holdings Inc.   120,941     1,942
* Liquidity Services Inc.   110,518     1,904
* Universal Electronics Inc.    54,478     1,810
Haverty Furniture Cos. Inc.    61,861     1,757
* American Public Education Inc.    77,331     1,544
* Conn's Inc.    79,680     1,461
Cato Corp. Class A    81,207     1,429
* Golden Entertainment Inc.    24,064     1,370
* Motorcar Parts of America Inc.    79,852     1,290
* Red Robin Gourmet Burgers Inc.    65,342     1,147
* Unifi Inc.    57,783     1,085
* El Pollo Loco Holdings Inc.    80,576     1,069
* Cooper-Standard Holdings Inc.    70,648       899
* Barnes & Noble Education Inc.   150,145       823
* Vera Bradley Inc.   106,093       802
* Fiesta Restaurant Group Inc.    71,253       718
Macy's Inc.       100         3
                    496,065
Consumer Staples (4.8%)
* Simply Good Foods Co.   350,660    13,897
* Hostess Brands Inc. Class A   575,348    12,393
WD-40 Co.    56,999    12,078
* Celsius Holdings Inc.   158,649    10,136
          Shares Market
Value

($000)
J & J Snack Foods Corp.    61,828    10,122
Coca-Cola Consolidated Inc.    19,300     9,591
* United Natural Foods Inc.   234,297     9,426
* TreeHouse Foods Inc.   231,942     9,104
Medifast Inc.    48,298     8,983
Edgewell Personal Care Co.   226,034     8,065
1 B&G Foods Inc.   269,828     7,987
* Central Garden & Pet Co. Class A   167,007     7,355
PriceSmart Inc.   100,032     7,274
Cal-Maine Foods Inc.   155,704     6,893
Inter Parfums Inc.    73,891     6,863
Vector Group Ltd.   544,125     6,100
Andersons Inc.   128,710     5,869
Universal Corp.   102,312     5,536
* elf Beauty Inc.   199,050     5,261
* Chefs' Warehouse Inc.   135,466     4,450
* USANA Health Sciences Inc.    48,553     4,273
National Beverage Corp.    97,007     4,269
SpartanNash Co.   149,446     4,205
MGP Ingredients Inc.    52,057     4,144
Fresh Del Monte Produce Inc.   138,387     3,581
Calavo Growers Inc.    73,524     3,139
John B Sanfilippo & Son Inc.    36,894     2,934
Tootsie Roll Industries Inc.    71,958     2,429
* Central Garden & Pet Co.    40,524     1,918
* Seneca Foods Corp. Class A    26,083     1,298
                    199,573
Energy (5.7%)
Matador Resources Co.   458,604    22,747
* Range Resources Corp.   985,608    22,620
* Southwestern Energy Co. 4,220,198    21,059
SM Energy Co.   505,082    17,935
Helmerich & Payne Inc.   448,636    16,254
Civitas Resources Inc.   299,684    15,125
Patterson-UTI Energy Inc.   894,420    12,906
* Renewable Energy Group Inc.   209,020    12,855
* Callon Petroleum Co.   197,389    11,125
World Fuel Services Corp.   262,656     7,444
* Green Plains Inc.   222,849     7,296
* PBF Energy Inc. Class A   394,975     6,564
* Oceaneering International Inc.   414,964     6,075
Core Laboratories NV   192,474     5,305
Archrock Inc.   557,256     4,653
* Laredo Petroleum Inc.    59,625     4,565
* ProPetro Holding Corp.   352,448     4,501
* US Silica Holdings Inc.   310,063     4,483
* Dril-Quip Inc.   147,129     4,243
 
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Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
* CONSOL Energy Inc.   131,896     4,054
* Nabors Industries Ltd.    32,209     4,044
* Bristow Group Inc. Class A    96,374     3,194
* Ranger Oil Corp.    87,683     2,960
* Talos Energy Inc.   170,222     2,674
* RPC Inc.   296,012     2,596
* Par Pacific Holdings Inc.   190,207     2,587
* Helix Energy Solutions Group Inc.   589,728     2,388
* DMC Global Inc.    77,858     2,289
* REX American Resources Corp.    21,849     2,064
Dorian LPG Ltd.   115,153     1,587
* Oil States International Inc.   255,180     1,335
* Nabors Industries Ltd. Warrants Exp. 6/11/26     8,451       118
                    239,645
Financials (18.9%)
Assured Guaranty Ltd.   290,245    17,987
ServisFirst Bancshares Inc.   202,864    17,726
Independent Bank Corp. (Massachusetts)   197,551    16,991
Walker & Dunlop Inc.   122,555    16,956
United Community Banks Inc.   435,130    16,822
BankUnited Inc.   370,415    16,372
Community Bank System Inc.   224,232    16,356
* Mr Cooper Group Inc.   312,354    15,877
Investors Bancorp Inc.   937,336    15,691
First Hawaiian Inc.   535,601    15,570
Pacific Premier Bancorp Inc.   392,306    15,186
WSFS Financial Corp.   272,254    13,839
Simmons First National Corp. Class A   477,424    13,616
Ameris Bancorp   275,047    13,615
American Equity Investment Life Holding Co.   342,353    12,903
* Trupanion Inc.   142,671    12,788
CVB Financial Corp.   529,653    12,489
* Axos Financial Inc.   222,638    12,187
First Bancorp   855,022    12,073
Independent Bank Group Inc.   153,527    11,845
Columbia Banking System Inc.   323,205    11,839
Flagstar Bancorp Inc.   219,801    10,019
* Triumph Bancorp Inc.    98,194     9,851
First Financial Bancorp   389,786     9,581
Seacoast Banking Corp. of Florida   242,601     8,891
Banner Corp.   142,408     8,774
Piper Sandler Cos.    58,688     8,686
          Shares Market
Value

($000)
* Genworth Financial Inc. Class A 2,109,668     8,565
Hope Bancorp Inc.   499,733     8,476
Renasant Corp.   231,772     8,462
Lakeland Financial Corp.   105,185     8,437
Veritex Holdings Inc.   204,956     8,327
* NMI Holdings Inc. Class A   356,524     8,250
Trustmark Corp.   259,644     8,176
* PRA Group Inc.   181,341     8,093
Park National Corp.    60,022     8,047
Eagle Bancorp Inc.   132,825     7,959
Hilltop Holdings Inc.   252,788     7,816
* Customers Bancorp Inc.   123,984     7,631
Provident Financial Services Inc.   321,100     7,620
Stewart Information Services Corp.   111,810     7,590
Northwest Bancshares Inc.   526,159     7,408
Meta Financial Group Inc.   131,678     7,294
Two Harbors Investment Corp. 1,429,898     7,235
Horace Mann Educators Corp.   172,500     7,174
Virtus Investment Partners Inc.    29,657     7,136
Apollo Commercial Real Estate Finance Inc.   546,775     7,135
* Bancorp Inc.   236,916     6,942
NBT Bancorp Inc.   180,234     6,916
* Encore Capital Group Inc.   103,103     6,804
Westamerica Bancorp   111,700     6,626
FB Financial Corp.   148,784     6,612
* Green Dot Corp. Class A   227,367     6,514
* Palomar Holdings Inc.   100,390     6,468
First Bancorp (XNGS)   143,555     6,443
First Commonwealth Financial Corp.   394,681     6,374
Berkshire Hills Bancorp Inc.   202,312     6,292
PennyMac Mortgage Investment Trust   403,342     6,292
* Enova International Inc.   151,435     6,174
BancFirst Corp.    78,548     6,137
Capitol Federal Financial Inc.   536,834     5,862
OFG Bancorp   207,251     5,840
* LendingTree Inc.    47,682     5,770
Southside Bancshares Inc.   134,197     5,595
National Bank Holdings Corp. Class A   125,969     5,591
New York Mortgage Trust Inc. 1,577,083     5,536
Brookline Bancorp Inc.   322,797     5,533
ProAssurance Corp.   224,467     5,410
* StoneX Group Inc.    70,038     5,284
S&T Bancorp Inc.   163,603     5,086
City Holding Co.    62,852     5,007
 
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Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
Redwood Trust Inc.   476,818     4,954
Safety Insurance Group Inc.    59,178     4,938
Dime Community Bancshares Inc.   137,917     4,688
Employers Holdings Inc.   116,275     4,518
Preferred Bank    56,998     4,473
Banc of California Inc.   224,921     4,420
HomeStreet Inc.    85,024     4,375
James River Group Holdings Ltd.   155,048     4,124
* Blucora Inc.   202,569     4,031
Ellington Financial Inc.   226,832     4,008
KKR Real Estate Finance Trust Inc.   184,625     3,964
B. Riley Financial Inc.    66,489     3,959
Tompkins Financial Corp.    49,368     3,905
* Donnelley Financial Solutions Inc.   121,271     3,893
Heritage Financial Corp.   146,201     3,833
AMERISAFE Inc.    80,514     3,792
Ready Capital Corp.   244,793     3,635
Brightsphere Investment Group Inc.   149,045     3,558
* World Acceptance Corp.    17,549     3,448
Central Pacific Financial Corp.   116,267     3,394
Allegiance Bancshares Inc.    78,306     3,355
Hanmi Financial Corp.   126,427     3,302
1 ARMOUR Residential REIT Inc.   372,863     3,031
Northfield Bancorp Inc.   181,329     2,847
Invesco Mortgage Capital Inc. 1,296,130     2,826
TrustCo Bank Corp.    79,915     2,731
* SiriusPoint Ltd.   363,608     2,687
WisdomTree Investments Inc.   452,583     2,548
Granite Point Mortgage Trust Inc.   223,663     2,510
United Fire Group Inc.    89,685     2,476
* Ambac Financial Group Inc.   192,518     2,470
Franklin BSP Realty Trust Inc.   182,774     2,413
HCI Group Inc.    33,243     2,070
* Selectquote Inc.   518,098     1,611
* eHealth Inc.    98,743     1,534
Universal Insurance Holdings Inc.   116,630     1,348
* EZCORP Inc. Class A   220,722     1,322
Greenhill & Co. Inc.    57,672     1,020
Old National Bancorp     1,448        26
                    790,506
Health Care (11.6%)
* Omnicell Inc.   182,711    23,621
          Shares Market
Value

($000)
* AMN Healthcare Services Inc.   196,567    20,864
Ensign Group Inc.   218,259    18,342
CONMED Corp.   121,607    17,774
Owens & Minor Inc.   313,740    13,852
* Merit Medical Systems Inc.   211,273    13,739
* Lantheus Holdings Inc.   281,455    13,459
* Prestige Consumer Healthcare Inc.   208,329    12,402
* Pacira BioSciences Inc.   185,209    12,352
* Cytokinetics Inc.   348,782    12,319
* Integer Holdings Corp.   137,288    11,514
* NeoGenomics Inc.   511,931    10,960
* Glaukos Corp.   194,966    10,784
Select Medical Holdings Corp.   440,633    10,201
* Allscripts Healthcare Solutions Inc.   509,640     9,918
* Corcept Therapeutics Inc.   394,614     8,796
* MEDNAX Inc.   359,464     8,437
* Emergent BioSolutions Inc.   199,087     8,238
* Myriad Genetics Inc.   332,035     8,095
* Vericel Corp.   194,653     8,022
* Nektar Therapeutics   767,371     7,858
* Covetrus Inc.   429,668     7,614
* Xencor Inc.   243,168     7,614
*,1 Apollo Medical Holdings Inc.   157,060     7,558
* Avanos Medical Inc.   200,353     7,090
* Supernus Pharmaceuticals Inc.   221,125     7,065
* Ligand Pharmaceuticals Inc.    69,487     7,033
* Heska Corp.    44,537     6,324
* CorVel Corp.    39,050     6,211
* ModivCare Inc.    51,227     6,045
* Addus HomeCare Corp.    66,222     5,631
Mesa Laboratories Inc.    21,726     5,547
* Community Health Systems Inc.   516,340     5,427
* Enanta Pharmaceuticals Inc.    74,810     5,268
* Avid Bioservices Inc.   255,053     5,223
*,1 Fulgent Genetics Inc.    80,620     5,023
* Tivity Health Inc.   184,109     5,022
* Innoviva Inc.   260,049     4,996
US Physical Therapy Inc.    53,689     4,938
* NextGen Healthcare Inc.   238,855     4,665
* Meridian Bioscience Inc.   180,259     4,561
* RadNet Inc.   184,416     4,550
* Amphastar Pharmaceuticals Inc.   153,195     4,245
* REGENXBIO Inc.   156,490     4,102
* Natus Medical Inc.   142,002     3,950
* Varex Imaging Corp.   163,820     3,873
 
7

 

Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
LeMaitre Vascular Inc.    79,908     3,793
* Harmony Biosciences Holdings Inc.    94,817     3,789
* AngioDynamics Inc.   160,702     3,781
* Cardiovascular Systems Inc.   168,603     3,551
* OptimizeRx Corp.    73,884     3,346
* Cross Country Healthcare Inc.   146,957     3,282
* Artivion Inc.   163,529     3,197
* Coherus Biosciences Inc.   264,992     3,124
* Endo International plc   971,584     3,022
* iTeos Therapeutics Inc.    83,449     3,015
* Inogen Inc.    85,036     2,967
* BioLife Solutions Inc.   121,841     2,863
* Collegium Pharmaceutical Inc.   143,734     2,798
* Orthofix Medical Inc.    82,097     2,790
* Hanger Inc.   152,906     2,771
* Vanda Pharmaceuticals Inc.   231,647     2,631
* Cutera Inc.    67,943     2,606
* Surmodics Inc.    57,680     2,589
Simulations Plus Inc.    65,343     2,574
* uniQure NV   149,838     2,546
* Joint Corp.    59,928     2,457
* OraSure Technologies Inc.   299,521     2,336
* Eagle Pharmaceuticals Inc.    47,253     2,239
* HealthStream Inc.   104,993     2,151
* Anika Therapeutics Inc.    60,030     1,951
* Organogenesis Holdings Inc. Class A   262,096     1,950
* Computer Programs & Systems Inc.    60,905     1,875
* Pennant Group Inc.   112,484     1,828
* Cara Therapeutics Inc.   175,599     1,821
Phibro Animal Health Corp. Class A    84,570     1,801
* ANI Pharmaceuticals Inc.    45,002     1,685
* Tactile Systems Technology Inc.    82,418     1,678
1 Zynex Inc.    90,970       572
* Tabula Rasa HealthCare Inc.    44,989       256
*,2 Lantheus Holdings Inc. CVR   276,566        —
                    486,757
Industrials (16.5%)
UFP Industries Inc.   257,325    22,066
* Chart Industries Inc.   148,112    21,387
Exponent Inc.   216,677    20,532
Matson Inc.   174,767    19,359
Applied Industrial Technologies Inc.   159,904    16,166
* Resideo Technologies Inc.   600,348    15,453
Korn Ferry   226,631    15,017
SPX FLOW Inc.   174,507    14,988
          Shares Market
Value

($000)
John Bean Technologies Corp.   132,088    14,975
Hillenbrand Inc.   303,685    14,489
Franklin Electric Co. Inc.   162,172    13,713
Mueller Industries Inc.   238,528    13,608
Boise Cascade Co.   163,534    13,073
Comfort Systems USA Inc.   149,855    12,885
ABM Industries Inc.   279,582    12,534
Aerojet Rocketdyne Holdings Inc.   311,282    12,062
* Hub Group Inc. Class A   141,238    11,920
Albany International Corp. Class A   134,633    11,823
Forward Air Corp.   112,092    11,566
UniFirst Corp.    63,310    11,475
* Allegiant Travel Co.    63,177    10,998
Arcosa Inc.   200,953    10,584
* Meritor Inc.   291,649    10,386
Moog Inc. Class A   121,730    10,117
AAON Inc.   172,215    10,085
ArcBest Corp.   106,310     9,853
Encore Wire Corp.    84,224     9,805
* GMS Inc.   179,407     9,733
* SPX Corp.   188,825     9,573
ManTech International Corp. Class A   114,602     9,554
EnPro Industries Inc.    85,673     9,462
* KAR Auction Services Inc.   503,743     9,299
Brady Corp. Class A   201,779     9,298
Federal Signal Corp.   253,933     9,170
Barnes Group Inc.   193,664     8,996
* Atlas Air Worldwide Holdings Inc.   112,245     8,796
ESCO Technologies Inc.   108,358     7,538
HNI Corp.   181,118     7,370
* AeroVironment Inc.    95,941     6,817
* Triumph Group Inc.   268,650     6,727
* Gibraltar Industries Inc.   135,882     6,566
* Proto Labs Inc.   114,717     6,451
* MYR Group Inc.    70,144     6,295
* AAR Corp.   138,635     6,230
* US Ecology Inc.   131,020     6,216
* Veritiv Corp.    57,642     6,177
Tennant Co.    77,075     6,072
Greenbrier Cos. Inc.   135,320     6,012
Lindsay Corp.    45,356     5,951
* SkyWest Inc.   209,479     5,888
Granite Construction Inc.   190,537     5,768
Alamo Group Inc.    41,153     5,725
Deluxe Corp.   177,155     5,511
Standex International Corp.    50,768     5,378
* PGT Innovations Inc.   247,932     5,333
* NV5 Global Inc.    49,244     5,281
AZZ Inc.   103,282     5,085
Kaman Corp.   115,799     5,027
 
8

 

Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
Healthcare Services Group Inc.   309,919     4,903
Apogee Enterprises Inc.   105,344     4,748
Astec Industries Inc.    94,655     4,714
Griffon Corp.   197,955     4,563
* CoreCivic Inc.   500,137     4,556
Matthews International Corp. Class A   131,450     4,362
Enerpac Tool Group Corp. Class A   250,691     4,324
* NOW Inc.   459,696     4,294
Marten Transport Ltd.   248,313     4,283
* Hawaiian Holdings Inc.   212,939     4,084
* TrueBlue Inc.   147,532     4,013
* Harsco Corp.   329,329     3,922
* American Woodmark Corp.    68,890     3,691
Wabash National Corp.   205,718     3,505
Heidrick & Struggles International Inc.    81,461     3,482
Pitney Bowes Inc.   688,127     3,427
Interface Inc. Class A   245,560     3,205
Quanex Building Products Corp.   139,386     3,186
Kelly Services Inc. Class A   149,813     3,179
* GEO Group Inc.   509,478     3,036
Insteel Industries Inc.    80,696     2,995
* Viad Corp.    85,365     2,983
Heartland Express Inc.   193,575     2,780
* Forrester Research Inc.    46,238     2,401
* Titan International Inc.   212,689     2,382
* CIRCOR International Inc.    84,234     2,269
Resources Connection Inc.   129,710     2,153
* DXP Enterprises Inc.    71,039     2,040
National Presto Industries Inc.    21,077     1,676
Park Aerospace Corp.    80,822     1,121
Powell Industries Inc.    37,431       791
* Matrix Service Co.       262         2
                    691,288
Information Technology (13.0%)
* Vonage Holdings Corp. 1,049,760    21,331
* Rogers Corp.    77,877    21,260
* SPS Commerce Inc.   149,537    19,417
* MaxLinear Inc. Class A   293,534    18,008
* Onto Innovation Inc.   204,894    17,664
* Diodes Inc.   187,181    16,770
* ExlService Holdings Inc.   138,474    16,726
* Viavi Solutions Inc.   988,274    16,208
* Fabrinet   153,918    15,412
* Insight Enterprises Inc.   145,055    15,086
* Perficient Inc.   136,953    13,956
Kulicke & Soffa Industries Inc.   257,663    13,460
Advanced Energy Industries Inc.   156,628    13,447
* FormFactor Inc.   325,184    13,167
          Shares Market
Value

($000)
* Alarm.com Holdings Inc.   191,497    12,606
* Rambus Inc.   454,730    12,278
Badger Meter Inc.   121,621    12,090
* Sanmina Corp.   267,675    10,648
EVERTEC Inc.   248,377    10,025
* Axcelis Technologies Inc.   138,510     9,588
* Plexus Corp.   117,462     9,570
* NetScout Systems Inc.   307,165     9,562
* 3D Systems Corp.   531,087     9,464
* Bottomline Technologies DE Inc.   160,813     9,108
* Itron Inc.   188,238     8,973
* Ultra Clean Holdings Inc.   186,692     8,552
CSG Systems International Inc.   135,740     8,378
* Knowles Corp.   383,948     8,362
InterDigital Inc.   127,559     8,217
Progress Software Corp.   182,296     8,036
Xperi Holding Corp.   434,626     7,528
Methode Electronics Inc.   158,714     7,244
* Cohu Inc.   202,444     6,312
* Extreme Networks Inc.   540,028     6,205
* 8x8 Inc.   473,790     6,140
TTEC Holdings Inc.    76,198     6,058
* Veeco Instruments Inc.   209,991     5,999
* Unisys Corp.   279,216     5,967
* OSI Systems Inc.    69,378     5,597
* LivePerson Inc.   273,629     5,549
* TTM Technologies Inc.   433,897     5,454
* SMART Global Holdings Inc.   192,578     5,286
* ePlus Inc.   112,333     5,268
CTS Corp.   133,994     5,084
* Plantronics Inc.   177,676     5,005
* Photronics Inc.   254,260     4,683
ADTRAN Inc.   202,405     4,168
* Ichor Holdings Ltd.   118,133     4,162
* FARO Technologies Inc.    75,694     4,144
* Harmonic Inc.   426,470     3,970
* CEVA Inc.    95,526     3,895
Benchmark Electronics Inc.   146,454     3,828
* Consensus Cloud Solutions Inc.    66,731     3,714
* PDF Solutions Inc.   124,228     3,399
* Agilysys Inc.    80,845     3,398
* ScanSource Inc.   106,159     3,353
* Arlo Technologies Inc.   350,509     3,253
* NETGEAR Inc.   121,677     3,238
*,1 Corsair Gaming Inc.   137,292     3,169
Ebix Inc.    99,067     2,923
* Digi International Inc.   141,837     2,848
* Diebold Nixdorf Inc.   302,991     2,636
Comtech Telecommunications Corp.   109,551     2,255
PC Connection Inc.    45,774     2,233
 
9

 

Table of Contents
S&P Small-Cap 600 Index Fund
          Shares Market
Value

($000)
* OneSpan Inc.   142,915     1,969
* CalAmp Corp.   149,194     1,053
                    544,356
Materials (5.5%)
Balchem Corp.   134,641    18,626
* Livent Corp.   671,818    15,821
HB Fuller Co.   218,502    14,939
* Allegheny Technologies Inc.   529,087    13,619
* Arconic Corp.   442,767    13,593
Quaker Chemical Corp.    55,802    10,357
Innospec Inc.   102,480     9,787
Stepan Co.    88,546     9,175
Trinseo plc   161,480     8,391
* O-I Glass Inc.   652,074     8,334
Compass Minerals International Inc.   141,528     8,296
Carpenter Technology Corp.   200,357     7,692
* Ferro Corp.   344,034     7,476
Materion Corp.    84,987     7,101
* GCP Applied Technologies Inc.   223,111     7,046
Warrior Met Coal Inc.   213,764     6,734
Kaiser Aluminum Corp.    65,957     6,365
* Kraton Corp.   133,667     6,169
* Sylvamo Corp.   146,710     5,120
* Century Aluminum Co.   209,858     4,957
AdvanSix Inc.   116,970     4,686
Schweitzer-Mauduit International Inc.   130,797     4,083
Hawkins Inc.    78,132     3,536
* TimkenSteel Corp.   170,992     3,083
SunCoke Energy Inc.   345,442     2,739
Neenah Inc.    69,682     2,714
Glatfelter Corp.   185,135     2,544
* Koppers Holdings Inc.    88,592     2,536
Myers Industries Inc.   150,687     2,504
Mercer International Inc.   167,497     2,239
* Clearwater Paper Corp.    69,390     2,001
Haynes International Inc.    52,759     1,929
American Vanguard Corp.   111,897     1,686
* Rayonier Advanced Materials Inc.   265,011     1,556
Tredegar Corp.   106,625     1,227
Olympic Steel Inc.    38,688     1,036
FutureFuel Corp.   107,357       790
                    230,487
Real Estate (8.1%)
Innovative Industrial Properties Inc.    99,492    18,750
Agree Realty Corp.   290,131    18,612
LXP Industrial Trust 1,175,931    18,180
Essential Properties Realty Trust Inc.   505,494    12,779
          Shares Market
Value

($000)
Uniti Group Inc.   981,576    12,731
SITE Centers Corp.   746,490    11,608
Independence Realty Trust Inc.   434,738    10,986
Brandywine Realty Trust   711,513     9,484
Retail Opportunity Investments Corp.   504,868     9,168
* Realogy Holdings Corp.   484,765     8,813
* Xenia Hotels & Resorts Inc.   474,882     8,804