Contents

About Your Fund’s Expenses	1
U.S. Minimum Volatility ETF	3
U.S. Momentum Factor ETF	15
U.S. Multifactor ETF	31
U.S. Quality Factor ETF	46
U.S. Value Factor ETF	62
Trustees Approve Advisory Arrangements	78
Liquidity Risk Management	80

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

•

Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“

•

Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

1

Six Months Ended May 31, 2023
	Beginning Account Value 11/30/2022	Ending Account Value 5/31/2023	Expenses Paid During Period
Based on Actual Fund Return
U.S. Minimum Volatility ETF	$1,000.00	$952.50	$0.63
U.S. Momentum Factor ETF	$1,000.00	$927.00	$0.62
U.S. Multifactor ETF	$1,000.00	$917.30	$0.86
U.S. Quality Factor ETF	$1,000.00	$948.40	$0.63
U.S. Value Factor ETF	$1,000.00	$884.60	$0.61
Based on Hypothetical 5% Yearly Return
U.S. Minimum Volatility ETF	$1,000.00	$1,024.28	$0.66
U.S. Momentum Factor ETF	$1,000.00	$1,024.28	$0.66
U.S. Multifactor ETF	$1,000.00	$1,024.03	$0.91
U.S. Quality Factor ETF	$1,000.00	$1,024.28	$0.66
U.S. Value Factor ETF	$1,000.00	$1,024.28	$0.66

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 0.13% for the U.S. Minimum Volatility ETF, 0.13% for the U.S. Momentum Factor ETF, 0.18% for the U.S. Multifactor ETF,

0.13% for the U.S. Quality Factor ETF, and 0.13% for the U.S. Value Factor ETF. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/365).

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U.S. Minimum Volatility ETF

Fund Allocation

As of May 31, 2023

Consumer Discretionary	12.1%
Consumer Staples	12.2
Energy	3.0
Financials	12.7
Health Care	16.1
Industrials	11.1
Real Estate	1.5
Technology	19.8
Telecommunications	6.3
Utilities	5.2

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.

The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.

3

U.S. Minimum Volatility ETF

Financial Statements (unaudited)

Schedule of Investments

As of May 31, 2023

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 (99.3%)
Consumer Discretionary (12.0%)
	Electronic Arts Inc.	11,089	1,419
	McDonald's Corp.	4,745	1,353
*	Liberty Media Corp.- Liberty Braves Class C	24,421	896
*	Grand Canyon Education Inc.	7,454	781
	Walmart Inc.	5,258	772
*	O'Reilly Automotive Inc.	800	723
	Service Corp. International	10,919	695
	Madison Square Garden Sports Corp.	2,436	430
*	QuinStreet Inc.	44,363	409
*	Liberty Media Corp.- Liberty Braves Class A	10,252	383
*	AutoZone Inc.	150	358
*	Instructure Holdings Inc.	13,428	330
*	Adtalem Global Education Inc.	6,517	271
	Rollins Inc.	6,508	256
*	Stride Inc.	6,343	256
	Laureate Education Inc.	18,536	224
	H&R Block Inc.	3,763	112
	Ermenegildo Zegna NV	8,708	99
	Graham Holdings Co. Class B	139	79
*	Knowles Corp.	2,273	41
*	Cars.com Inc.	1,820	32
			9,919
Consumer Staples (12.0%)
	Church & Dwight Co. Inc.	14,473	1,338
	McKesson Corp.	3,249	1,270
	Procter & Gamble Co.	5,994	854
	Colgate-Palmolive Co.	11,422	850
	Hershey Co.	2,612	678
	Hormel Foods Corp.	16,912	647
	John B Sanfilippo & Son Inc.	5,029	585
	Flowers Foods Inc.	22,518	563
	Altria Group Inc.	11,887	528
	Kellogg Co.	7,259	485
	Kimberly-Clark Corp.	3,244	436
	Mondelez International Inc. Class A	4,862	357
	CVS Health Corp.	5,046	343
	Universal Corp.	4,837	249
	Weis Markets Inc.	3,559	212
1	PetMed Express Inc.	13,578	201
	Coca-Cola Co.	1,837	110
	Lancaster Colony Corp.	358	70
	PepsiCo Inc.	363	66

		Shares	Market Value• ($000)
	Reynolds Consumer Products Inc.	2,198	60
	J M Smucker Co.	405	59
			9,961
Energy (3.0%)
	Exxon Mobil Corp.	9,682	989
	Chevron Corp.	5,423	817
	Williams Cos. Inc.	16,329	468
	Kinder Morgan Inc.	12,617	203
			2,477
Financials (12.6%)
	City Holding Co.	12,077	1,041
	Safety Insurance Group Inc.	14,286	1,040
	First Financial Corp.	28,780	934
	White Mountains Insurance Group Ltd.	640	867
*	Enstar Group Ltd.	3,576	842
*	Columbia Financial Inc.	41,929	677
	AMERISAFE Inc.	11,059	565
	Westamerica BanCorp	13,575	514
	Waterstone Financial Inc.	36,257	490
	Northwest Bancshares Inc.	37,538	394
	Travelers Cos. Inc.	2,225	377
	Intercontinental Exchange Inc.	3,080	326
	CME Group Inc.	1,765	315
	Great Southern Bancorp Inc.	6,007	292
	Progressive Corp.	1,600	205
	Donegal Group Inc. Class A	13,137	189
	Community Trust Bancorp Inc.	5,564	187
	Cboe Global Markets Inc.	1,357	180
*	Blue Foundry Bancorp	16,353	152
	Camden National Corp.	5,103	151
	TFS Financial Corp.	11,847	134
	Horace Mann Educators Corp.	3,515	106
	Stock Yards Bancorp Inc.	2,383	100
	Southside Bancshares Inc.	2,296	61
	Capitol Federal Financial Inc.	9,829	59
	HarborOne Bancorp Inc.	7,024	58
	CVB Financial Corp.	3,441	41
*	FVCBankcorp Inc.	3,952	40
	Bank of Marin Bancorp	2,173	35
	Employers Holdings Inc.	921	33
	HomeTrust Bancshares Inc.	1,243	24
			10,429
Health Care (16.0%)
	Johnson & Johnson	8,555	1,326
	Merck & Co. Inc.	12,011	1,326
	AbbVie Inc.	8,527	1,176

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U.S. Minimum Volatility ETF

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U.S. Minimum Volatility ETF

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	June 2023	1	210	12
Micro E-mini S&P 500 Index	June 2023	7	147	2
				14

  

See accompanying Notes, which are an integral part of the Financial Statements.

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U.S. Minimum Volatility ETF

Statement of Assets and Liabilities

As of May 31, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $81,702)	82,011
Affiliated Issuers (Cost $496)	496
Total Investments in Securities	82,507
Investment in Vanguard	3
Cash Collateral Pledged—Futures Contracts	24
Receivables for Investment Securities Sold	8
Receivables for Accrued Income	141
Total Assets	82,683
Liabilities
Due to Custodian	8
Payables for Investment Securities Purchased	2
Collateral for Securities on Loan	117
Payables to Vanguard	5
Variation Margin Payable—Futures Contracts	2
Total Liabilities	134
Net Assets	82,549
1 Includes $116,000 of securities on loan.
At May 31, 2023, net assets consisted of:
Paid-in Capital	87,906
Total Distributable Earnings (Loss)	(5,357)
Net Assets	82,549
Net Assets
Applicable to 855,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	82,549
Net Asset Value Per Share	$96.55

  

See accompanying Notes, which are an integral part of the Financial Statements.

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U.S. Minimum Volatility ETF

Statement of Operations

	Six Months Ended May 31, 2023
	($000)
Investment Income
Income
Dividends	1,194
Interest1	10
Securities Lending—Net	20
Total Income	1,224
Expenses
The Vanguard Group—Note B
Investment Advisory Services	—
Management and Administrative	36
Marketing and Distribution	—
Custodian Fees	—
Shareholders’ Reports	13
Trustees’ Fees and Expenses	—
Professional Services	6
Total Expenses	55
Net Investment Income	1,169
Realized Net Gain (Loss)
Investment Securities Sold1,2	1,505
Futures Contracts	3
Realized Net Gain (Loss)	1,508
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	(6,868)
Futures Contracts	6
Change in Unrealized Appreciation (Depreciation)	(6,862)
Net Increase (Decrease) in Net Assets Resulting from Operations	(4,185)

1	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $10,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $2,524,000 of net gain (loss) resulting from in-kind redemptions.

  

See accompanying Notes, which are an integral part of the Financial Statements.

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U.S. Minimum Volatility ETF

Statement of Changes in Net Assets

	Six Months Ended May 31, 2023		Year Ended November 30, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,169		1,311
Realized Net Gain (Loss)	1,508		2,030
Change in Unrealized Appreciation (Depreciation)	(6,862)		(43)
Net Increase (Decrease) in Net Assets Resulting from Operations	(4,185)		3,298
Distributions
Total Distributions	(1,206)		(1,062)
Capital Share Transactions
Issued	21,383		42,084
Issued in Lieu of Cash Distributions	—		—
Redeemed	(14,231)		(10,661)
Net Increase (Decrease) from Capital Share Transactions	7,152		31,423
Total Increase (Decrease)	1,761		33,659
Net Assets
Beginning of Period	80,788		47,129
End of Period	82,549		80,788

  

See accompanying Notes, which are an integral part of the Financial Statements.

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U.S. Minimum Volatility ETF

Financial Highlights

For a Share Outstanding Throughout Each Period	Six Months Ended May 31, 2023	February 13, 20181 to November 30, 2018	Year Ended November 30,
			2022	2021	2020	2019
Net Asset Value, Beginning of Period	$102.91	$100.28	$87.08	$91.10	$81.69	$75.00
Investment Operations
Net Investment Income2	1.363	2.160	1.374	1.779	2.632	1.887
Net Realized and Unrealized Gain (Loss) on Investments	(6.257)	2.231	13.497	(3.776)	8.996	5.677
Total from Investment Operations	(4.894)	4.391	14.871	(1.997)	11.628	7.564
Distributions
Dividends from Net Investment Income	(1.466)	(1.761)	(1.671)	(2.023)	(2.218)	(.874)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.466)	(1.761)	(1.671)	(2.023)	(2.218)	(.874)
Net Asset Value, End of Period	$96.55	$102.91	$100.28	$87.08	$91.10	$81.69
Total Return	-4.75%	4.46%	17.22%	-1.99%	14.58%	10.07%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$83	$81	$47	$57	$91	$22
Ratio of Total Expenses to Average Net Assets	0.13%	0.13%	0.13%	0.13%	0.13%	0.13%3
Ratio of Net Investment Income to Average Net Assets	2.40%	2.18%	1.43%	2.14%	3.05%	2.90%3
Portfolio Turnover Rate	5%4	32%4	46%4	83%4	23%	5%
The expense ratio and net investment income ratio for the current period have been annualized.

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.

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U.S. Minimum Volatility ETF

Notes to Financial Statements

Vanguard U.S. Minimum Volatility ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; 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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities 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 gains (losses) on futures contracts.

During the six months ended May 31, 2023, 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.

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

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U.S. Minimum Volatility ETF

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

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 Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 

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U.S. Minimum Volatility ETF

For the six months ended May 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

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 May 31, 2023, the fund had contributed to Vanguard capital in the amount of $3,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.

Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.

At May 31, 2023, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.

D.	As of May 31, 2023, 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	82,198
Gross Unrealized Appreciation	7,070
Gross Unrealized Depreciation	(6,747)
Net Unrealized Appreciation (Depreciation)	323

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2022, the fund had available capital losses totaling $7,522,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30,

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U.S. Minimum Volatility ETF

2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

E.

During the six months ended May 31, 2023, the fund purchased $25,822,000 of investment securities and sold $18,757,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $14,148,000, 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 six months ended May 31, 2023, such purchases were $385,000 and sales were $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

F.	Capital shares issued and redeemed were:

    

	Six Months Ended May 31, 2023		Year Ended November 30, 2022
	Shares (000)		Shares (000)
Issued	215		425
Issued in Lieu of Cash Distributions	—		—
Redeemed	(145)		(110)
Net Increase (Decrease) in Shares Outstanding	70		315

G.

Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.

To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.

The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.

H.	Management has determined that no events or transactions occurred subsequent to May 31, 2023, that would require recognition or disclosure in these financial statements.

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U.S. Momentum Factor ETF

Fund Allocation

As of May 31, 2023

Basic Materials	3.2%
Consumer Discretionary	23.6
Consumer Staples	5.1
Energy	3.2
Financials	6.7
Health Care	21.4
Industrials	18.4
Real Estate	0.2
Technology	16.3
Telecommunications	1.8
Utilities	0.1

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.

The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.

15

U.S. Momentum Factor ETF

Financial Statements (unaudited)

Schedule of Investments

As of May 31, 2023

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 (99.6%)
Basic Materials (3.2%)
	Air Products and Chemicals Inc.	7,255	1,953
	Nucor Corp.	6,932	915
	Timken Co.	12,769	914
	Commercial Metals Co.	14,790	632
	Ryerson Holding Corp.	15,748	535
	Southern Copper Corp.	7,973	532
	Steel Dynamics Inc.	5,576	512
*	RBC Bearings Inc.	2,475	491
	Sylvamo Corp.	8,915	351
	Orion Engineered Carbons SA	13,560	314
	Mueller Industries Inc.	4,181	311
	Carpenter Technology Corp.	5,670	259
	Olympic Steel Inc.	5,663	237
	Materion Corp.	1,995	200
	Worthington Industries Inc.	3,519	198
	Linde plc	561	198
*	Rayonier Advanced Materials Inc.	45,754	156
	Haynes International Inc.	3,450	150
	Koppers Holdings Inc.	4,437	129
	Freeport-McMoRan Inc.	3,429	118
	Reliance Steel & Aluminum Co.	391	92
*	Clearwater Paper Corp.	2,306	70
	UFP Industries Inc.	901	70
*	Piedmont Lithium Inc.	1,100	60
			9,397
Consumer Discretionary (23.5%)
*	O'Reilly Automotive Inc.	3,561	3,217
*	Netflix Inc.	7,658	3,027
*	Chipotle Mexican Grill Inc. Class A	1,415	2,938
	Starbucks Corp.	28,539	2,787
	TJX Cos. Inc.	29,257	2,247
*	Uber Technologies Inc.	56,974	2,161
*	AutoZone Inc.	892	2,129
*	Booking Holdings Inc.	706	1,771
	Lennar Corp. Class A	13,398	1,435
	McDonald's Corp.	4,677	1,333
*	NVR Inc.	238	1,322
	BorgWarner Inc. (XNYS)	27,923	1,238
*	Deckers Outdoor Corp.	2,600	1,235
	PulteGroup Inc.	18,551	1,226
	DR Horton Inc.	10,858	1,160
*	elf Beauty Inc.	11,142	1,159

		Shares	Market Value• ($000)
	Tempur Sealy International Inc.	31,315	1,116
	Churchill Downs Inc.	7,845	1,065
*	Spotify Technology SA	7,148	1,064
*	Crocs Inc.	8,673	974
*	Skechers USA Inc. Class A	18,894	971
*	Las Vegas Sands Corp.	15,784	870
*	Five Below Inc.	5,006	864
	Wynn Resorts Ltd.	8,631	852
	Wingstop Inc.	3,971	792
	Tapestry Inc.	19,061	763
*	United Airlines Holdings Inc.	15,618	741
*	Green Brick Partners Inc.	15,394	737
*	Roblox Corp. Class A	16,507	691
	Dick's Sporting Goods Inc.	5,241	668
*	Visteon Corp.	4,970	664
	Academy Sports & Outdoors Inc.	13,269	650
	PVH Corp.	7,493	644
*	Liberty Media Corp.-Liberty Formula One Class C	8,381	590
	Yum! Brands Inc.	4,583	590
*	M/I Homes Inc.	8,335	589
*	DraftKings Inc. Class A	25,231	589
*	Asbury Automotive Group Inc.	2,767	579
	Toll Brothers Inc.	8,453	572
*	Coty Inc. Class A	51,552	559
	Inter Parfums Inc.	4,296	540
*	Ulta Beauty Inc.	1,308	536
*	Royal Caribbean Cruises Ltd.	6,586	533
	Meritage Homes Corp.	4,515	521
*	BJ's Wholesale Club Holdings Inc.	8,127	509
*	Light & Wonder Inc.	8,571	500
*	Fox Factory Holding Corp.	5,232	465
*	Copart Inc.	5,217	457
*	Integral Ad Science Holding Corp.	23,983	453
	Genuine Parts Co.	3,006	448
	Ross Stores Inc.	4,245	440
*	Floor & Decor Holdings Inc. Class A	4,651	425
	Hyatt Hotels Corp. Class A	3,869	416
*	Life Time Group Holdings Inc.	21,776	414
*	Cars.com Inc.	23,086	407
*	Taylor Morrison Home Corp. Class A	9,515	404
*	Etsy Inc.	4,753	385
*,1	Instructure Holdings Inc.	15,346	377

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U.S. Momentum Factor ETF

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U.S. Momentum Factor ETF