Semiannual Report   |   February 28, 2022
Vanguard U.S. Sector Index Funds
Vanguard Communication Services Index Fund
Vanguard Consumer Discretionary Index Fund
Vanguard Consumer Staples Index Fund
Vanguard Energy Index Fund
Vanguard Financials Index Fund
Vanguard Health Care Index Fund
Vanguard Industrials Index Fund
Vanguard Information Technology Index Fund
Vanguard Materials Index Fund
Vanguard Utilities Index Fund

 

Contents
About Your Fund’s Expenses

1
Communication Services Index Fund

4
Consumer Discretionary Index Fund

15
Consumer Staples Index Fund

26
Energy Index Fund

36
Financials Index Fund

47
Health Care Index Fund

60
Industrials Index Fund

74
Information Technology Index Fund

87
Materials Index Fund

100
Utilities Index Fund

111

 

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 February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $805.00 $0.45
Admiral™ Shares 1,000.00 804.90 0.45
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $929.70 $0.48
Admiral Shares 1,000.00 929.60 0.48
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,045.40 $0.51
Admiral Shares 1,000.00 1,045.40 0.51
Energy Index Fund      
ETF Shares $1,000.00 $1,478.30 $0.61
Admiral Shares 1,000.00 1,478.20 0.61
Financials Index Fund      
ETF Shares $1,000.00 $1,010.50 $0.50
Admiral Shares 1,000.00 1,010.30 0.50
Health Care Index Fund      
ETF Shares $1,000.00 $932.60 $0.48
Admiral Shares 1,000.00 932.70 0.48
Industrials Index Fund      
ETF Shares $1,000.00 $956.60 $0.49
Admiral Shares 1,000.00 956.70 0.49
Information Technology Index Fund      
ETF Shares $1,000.00 $950.90 $0.48
Admiral Shares 1,000.00 950.80 0.48
Materials Index Fund      
ETF Shares $1,000.00 $992.80 $0.49
Admiral Shares 1,000.00 992.80 0.49
Utilities Index Fund      
ETF Shares $1,000.00 $1,007.20 $0.50
Admiral Shares 1,000.00 1,007.40 0.50
2

 

Six Months Ended February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Energy Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Financials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Health Care Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Industrials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Information Technology Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Materials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Utilities Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
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 Communication Services Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Discretionary Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Staples Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Energy Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Financials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Health Care Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Industrials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Information Technology Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Materials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; and for the Utilities Index Fund, 0.10% for ETF Shares and 0.10% for Admiral 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).
3

 

Communication Services Index Fund
Fund Allocation
As of February 28, 2022
Diversified Telecommunication Services 12.6%
Entertainment 21.3
Interactive Media & Services 42.7
Media 20.7
Wireless Telecommunication Services 2.7
The table reflects the fund’s investments, except 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.
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.
4

 

Communication Services 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%)
Diversified Telecommunication Services (12.6%)
  Verizon Communications Inc. 3,333,715   178,920
  AT&T Inc. 7,437,441   176,193
  Lumen Technologies Inc. 2,127,525    22,041
* Liberty Global plc Class C   844,160    21,838
* Iridium Communications Inc.   466,065    18,452
* Frontier Communications Parent Inc.   618,515    17,040
* Liberty Global plc Class A   648,728    16,724
  Cogent Communications Holdings Inc.   168,354    10,674
* Liberty Latin America Ltd. Class C   617,582     6,231
* EchoStar Corp. Class A   147,048     3,579
* Globalstar Inc. 2,815,191     3,322
* Radius Global Infrastructure Inc. Class A (XNMS)   237,460     3,054
* Bandwidth Inc. Class A    86,387     2,639
* Anterix Inc.    46,219     2,463
* Consolidated Communications Holdings Inc.   290,748     2,070
* Liberty Latin America Ltd. Class A   169,324     1,702
  ATN International Inc.    43,615     1,454
              488,396
Entertainment (21.2%)
* Walt Disney Co. 1,806,747   268,230
* Netflix Inc.   440,440   173,762
  Activision Blizzard Inc.   999,897    81,492
  Electronic Arts Inc.   389,628    50,687
* Live Nation Entertainment Inc.   300,987    36,365
* Take-Two Interactive Software Inc.   199,614    32,337
* Zynga Inc. Class A 3,145,548    28,562
* Liberty Media Corp.-Liberty Formula One Class C   453,008    27,511
* Roku Inc.   177,144    24,717
  Warner Music Group Corp. Class A   479,707    17,375
*,1 AMC Entertainment Holdings Inc. Class A   870,933    16,426
  World Wrestling Entertainment Inc. Class A   177,184    10,500
* Madison Square Garden Sports Corp.    57,662     9,976
* Madison Square Garden Entertainment Corp.    95,724     7,501
* Cinemark Holdings Inc.   399,171     7,001
* Playtika Holding Corp.   321,454     6,622
* Lions Gate Entertainment Corp. Class A   340,304     5,227
* Lions Gate Entertainment Corp. Class B   349,612     4,982
    Shares Market
Value

($000)
* Imax Corp.   198,215     4,099
* Liberty Media Corp.- Liberty Braves Class C   153,287     3,786
* Marcus Corp.    85,885     1,561
*,1 Skillz Inc. Class A   393,369     1,223
* Liberty Media Corp.- Liberty Braves Class A    31,826       816
* CuriosityStream Inc.   113,061       414
              821,172
Interactive Media & Services (42.6%)
* Meta Platforms Inc. Class A 2,351,677   496,274
* Alphabet Inc. Class A   169,245   457,154
* Alphabet Inc. Class C   154,197   415,996
* Snap Inc. Class A 1,318,299    52,653
* Match Group Inc.   362,254    40,388
* Twitter Inc. 1,088,347    38,691
* ZoomInfo Technologies Inc. Class A   412,406    22,555
* IAC/InterActiveCorp.   191,774    22,008
* Pinterest Inc. Class A   761,724    20,376
* Ziff Davis Inc.   166,728    16,773
* Cargurus Inc.   315,666    15,294
* TripAdvisor Inc.   391,195     9,952
* Yelp Inc. Class A   288,785     9,787
* Vimeo Inc.   578,925     7,520
* Bumble Inc. Class A   278,420     7,136
* Cars.com Inc.   270,834     4,382
* Eventbrite Inc. Class A   281,819     4,258
* QuinStreet Inc.   201,648     2,269
* Angi Inc. Class A   271,637     1,872
*,1 fuboTV Inc.   194,667     1,664
* ZipRecruiter Inc. Class A    81,402     1,626
* Mediaalpha Inc. Class A    61,656       885
            1,649,513
Media (20.6%)
  Comcast Corp. Class A 3,702,420   173,125
* Charter Communications Inc. Class A   151,994    91,467
  Omnicom Group Inc.   429,547    36,035
* Liberty Broadband Corp. Class C   217,268    31,873
  Paramount Global Class B 1,028,001    31,467
  Interpublic Group of Cos. Inc.   813,886    29,951
  Fox Corp. Class A   694,963    29,070
* Discovery Inc. Class C   890,179    24,898
  Nexstar Media Group Inc. Class A   131,332    24,303
* Liberty Media Corp.- Liberty SiriusXM Class C   453,094    22,800
  News Corp. Class A 1,020,430    22,776
* DISH Network Corp. Class A   673,969    21,540
  New York Times Co. Class A   477,233    20,993
  Fox Corp. Class B   547,116    20,933
    Shares Market
Value

($000)
  Cable One Inc.    13,724    19,664
  TEGNA Inc.   824,362    18,894
* Discovery Inc. Class A   673,550    18,893
* Liberty Broadband Corp. Class A   115,274    16,693
1 Sirius XM Holdings Inc. 2,691,396    16,579
* Liberty Media Corp.- Liberty SiriusXM Class A   324,520    16,343
  News Corp. Class B   511,868    11,481
* iHeartMedia Inc. Class A   467,457    10,027
* Altice USA Inc. Class A   851,892     9,848
  John Wiley & Sons Inc. Class A   174,582     8,783
* TechTarget Inc.    99,478     7,797
* Cardlytics Inc.   129,696     7,522
  Gray Television Inc.   313,216     7,339
* Magnite Inc.   489,438     7,136
  Sinclair Broadcast Group Inc. Class A   192,792     5,784
* Clear Channel Outdoor Holdings Inc. 1,293,767     4,839
* EW Scripps Co. Class A   207,514     4,619
* AMC Networks Inc. Class A   108,530     4,499
  Scholastic Corp.   102,857     4,328
* WideOpenWest Inc.   205,001     3,483
* Gannett Co. Inc.   531,887     2,638
* Thryv Holdings Inc.    79,735     2,424
* Advantage Solutions Inc.   250,243     1,969
* Boston Omaha Corp. Class A    67,184     1,881
* Loyalty Ventures Inc.    77,121     1,851
* PubMatic Inc. Class A    35,056     1,073
              797,618
Wireless Telecommunication Services (2.8%)
* T-Mobile US Inc.   739,117    91,067
  Telephone and Data Systems Inc.   379,605     6,586
  Shenandoah Telecommunications Co.   186,271     4,163
* Gogo Inc.   193,774     2,759
* United States Cellular Corp.    52,735     1,451
              106,026
Total Common Stocks (Cost $3,860,683) 3,862,725
5

 

Communication Services Index Fund
    Shares Market
Value

($000)
Temporary Cash Investments (1.1%)
Money Market Fund (1.1%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost$43,143)   431,488          43,145
Total Investments (100.9%) (Cost $3,903,826) 3,905,870
Other Assets and Liabilities—Net (-0.9%) (35,459)
Net Assets (100.0%) 3,870,411
Cost is in $000.
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $31,114,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $33,570,000 was received for securities on loan.
6

 

Communication Services Index Fund

Derivative Financial Instruments Outstanding as of Period End

Over-the-Counter Total Return Swaps
Reference Entity  Termination
Date
Counterparty Notional
Amount
($000)
Floating
Interest Rate
Received
(Paid)1
(%)
Value and
Unrealized
Appreciation
($000)
Value and
Unrealized
(Depreciation)
($000)
Pinterest Inc. Class A 8/31/22 BANA 2,862 (0.070)
Sirius XM Holdings Inc. 1/31/23 GSI 4,030 (0.070) 151
          151
1 Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  BANA—Bank of America, N.A.
  GSI—Goldman Sachs International.
At February 28, 2022, the counterparties had deposited in segregated accounts securities with a value of $439,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Communication Services Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,860,683) 3,862,725
Affiliated Issuers (Cost $43,143) 43,145
Total Investments in Securities 3,905,870
Investment in Vanguard 135
Cash 227
Cash Collateral Pledged—Over-the-Counter Swap Contracts 240
Receivables for Investment Securities Sold 96,699
Receivables for Accrued Income 362
Receivables for Capital Shares Issued 19
Unrealized Appreciation—Over-the-Counter Swap Contracts 151
Total Assets 4,003,703
Liabilities  
Payables for Investment Securities Purchased 99,216
Collateral for Securities on Loan 33,570
Payables for Capital Shares Redeemed 368
Payables to Vanguard 138
Unrealized Depreciation—Over-the-Counter Swap Contracts
Total Liabilities 133,292
Net Assets 3,870,411
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 3,963,675
Total Distributable Earnings (Loss) (93,264)
Net Assets 3,870,411
 
ETF Shares—Net Assets  
Applicable to 31,495,524 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
3,776,831
Net Asset Value Per Share—ETF Shares $119.92
 
Admiral Shares—Net Assets  
Applicable to 1,531,333 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
93,580
Net Asset Value Per Share—Admiral Shares $61.11
  
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Communication Services Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends 21,707
Interest1 3
Securities Lending—Net 204
Total Income 21,914
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 215
Management and Administrative—
ETF Shares
1,763
Management and Administrative—
Admiral Shares
44
Marketing and Distribution—
ETF Shares
79
Marketing and Distribution—
Admiral Shares
3
Custodian Fees 7
Shareholders’ Reports—ETF Shares 77
Shareholders’ Reports—Admiral Shares 1
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 2,198
Net Investment Income 19,716
Realized Net Gain (Loss)  
Investment Securities Sold1,2 273,148
Swap Contracts (2,980)
Realized Net Gain (Loss) 270,168
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (1,239,760)
Swap Contracts 12
Change in Unrealized Appreciation (Depreciation) (1,239,748)
Net Increase (Decrease) in Net Assets Resulting from Operations (949,864)
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 $3,000, ($7,000), less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $278,925,000 of net gain (loss) resulting from in-kind redemptions.
  
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 19,716   29,060
Realized Net Gain (Loss) 270,168   376,670
Change in Unrealized Appreciation (Depreciation) (1,239,748)   803,415
Net Increase (Decrease) in Net Assets Resulting from Operations (949,864)   1,209,145
Distributions      
ETF Shares (26,156)   (24,537)
Admiral Shares (673)   (631)
Total Distributions (26,829)   (25,168)
Capital Share Transactions      
ETF Shares (58,441)   719,965
Admiral Shares (6,124)   26,851
Net Increase (Decrease) from Capital Share Transactions (64,565)   746,816
Total Increase (Decrease) (1,041,258)   1,930,793
Net Assets      
Beginning of Period 4,911,669   2,980,876
End of Period 3,870,411   4,911,669
  
 
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Communication Services Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $149.87 $108.04 $87.24 $86.83 $93.54 $95.16
Investment Operations            
Net Investment Income1 .606 1.018 1.005 .917 3.067 3.108
Net Realized and Unrealized Gain (Loss) on Investments (29.732) 41.708 20.743 .316 (6.297) (1.587)
Total from Investment Operations (29.126) 42.726 21.748 1.233 (3.230) 1.521
Distributions            
Dividends from Net Investment Income (.824) (.896) (.948) (.823) (3.480) (3.141)
Distributions from Realized Capital Gains
Total Distributions (.824) (.896) (.948) (.823) (3.480) (3.141)
Net Asset Value, End of Period $119.92 $149.87 $108.04 $87.24 $86.83 $93.54
Total Return -19.50% 39.75% 25.15% 1.47% -3.50% 1.62%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,777 $4,787 $2,914 $2,016 $1,015 $1,388
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 0.89% 0.80% 1.09% 1.09% 3.48% 3.26%
Portfolio Turnover Rate2 10% 15% 15% 33% 84% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $76.38 $55.06 $44.46 $44.25 $47.67 $48.50
Investment Operations            
Net Investment Income1 .313 .519 .512 .470 1.554 1.601
Net Realized and Unrealized Gain (Loss) on Investments (15.163) 21.259 10.571 .157 (3.199) (.829)
Total from Investment Operations (14.850) 21.778 11.083 .627 (1.645) .772
Distributions            
Dividends from Net Investment Income (.420) (.458) (.483) (.417) (1.775) (1.602)
Distributions from Realized Capital Gains
Total Distributions (.420) (.458) (.483) (.417) (1.775) (1.602)
Net Asset Value, End of Period $61.11 $76.38 $55.06 $44.46 $44.25 $47.67
Total Return2 -19.51% 39.76% 25.16% 1.46% -3.48% 1.61%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $94 $124 $67 $50 $46 $50
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 0.90% 0.79% 1.10% 1.09% 3.48% 3.26%
Portfolio Turnover Rate3 10% 15% 15% 33% 84% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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.
10

 

Communication Services Index Fund
Notes to Financial Statements
Vanguard Communication Services Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE ARCA; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2022, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
11

 

Communication Services Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. 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.
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, 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; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that 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.
For the six months ended February 28, 2022, 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.
12

 

Communication Services Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees 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 February 28, 2022, the fund had contributed to Vanguard capital in the amount of $135,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. 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.
The following table summarizes the market value of the fund’s investments and derivatives as of February 28, 2022, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 3,862,725 3,862,725
Temporary Cash Investments 43,145 43,145
Total 3,905,870 3,905,870
Derivative Financial Instruments        
Assets        
Swap Contracts 151 151
Liabilities        
Swap Contracts
D. As of February 28, 2022, 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 3,912,941
Gross Unrealized Appreciation 407,229
Gross Unrealized Depreciation (414,300)
Net Unrealized Appreciation (Depreciation) (7,071)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2021, the fund had available capital losses totaling $364,946,000 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 August 31, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
13

 

Communication Services Index Fund
E. During the six months ended February 28, 2022, the fund purchased $1,171,698,000 of investment securities and sold $1,243,623,000 of investment securities, other than temporary cash investments. Purchases and sales include $718,260,000 and $813,709,000, 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 February 28, 2022, such purchases were $7,430,000 and sales were $57,626,000, resulting in net realized gain of $10,572,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022
  Year Ended
August 31, 2021
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 755,849 5,753   1,693,617 12,776
Issued in Lieu of Cash Distributions  
Redeemed (814,290) (6,200)   (973,652) (7,800)
Net Increase (Decrease)—ETF Shares (58,441) (447)   719,965 4,976
Admiral Shares          
Issued 23,759 341   58,573 900
Issued in Lieu of Cash Distributions 564 8   544 9
Redeemed (30,447) (444)   (32,266) (504)
Net Increase (Decrease)—Admiral Shares (6,124) (95)   26,851 405
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
14

 

Consumer Discretionary Index Fund
Fund Allocation
As of February 28, 2022
Auto Components 2.5%
Automobiles 16.2
Distributors 1.0
Diversified Consumer Services 1.4
Hotels, Restaurants & Leisure 17.8
Household Durables 4.3
Internet & Direct Marketing Retail 25.6
Leisure Products 1.4
Multiline Retail 4.0
Other 0.0
Specialty Retail 19.2
Textiles, Apparel & Luxury Goods 6.6
The table reflects the fund’s investments, except short-term investments. 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.
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.
15

 

Consumer Discretionary 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 (100.0%)
Auto Components (2.5%)
* Aptiv plc   350,708    45,396
  BorgWarner Inc. (XNYS)   349,675    14,340
  Lear Corp.    82,846    13,035
  Autoliv Inc.   123,117    10,836
  Gentex Corp.   357,952    10,835
* Fox Factory Holding Corp.    65,050     7,677
* Goodyear Tire & Rubber Co.   479,412     7,426
* Adient plc   151,920     6,798
* Veoneer Inc.   186,680     6,618
* Visteon Corp.    46,693     5,611
* Gentherm Inc.    63,740     5,408
  LCI Industries    43,078     5,364
* Dorman Products Inc.    50,421     4,710
  Dana Inc.   249,158     4,639
* Tenneco Inc. Class A   220,641     4,254
* American Axle & Manufacturing Holdings Inc.   302,667     2,803
  Standard Motor Products Inc.    62,595     2,736
* Modine Manufacturing Co.   164,684     1,663
* Stoneridge Inc.    83,752     1,383
* XPEL Inc.     4,507       327
  Patrick Industries Inc.     4,356       311
* Luminar Technologies Inc. Class A    17,682       248
*,1 QuantumScape Corp. Class A    10,325       167
* XL Fleet Corp.    72,556       141
              162,726
Automobiles (16.2%)
* Tesla Inc. 1,009,049   878,307
  Ford Motor Co. 4,990,632    87,635
* General Motors Co. 1,664,120    77,748
  Harley-Davidson Inc.   233,134     9,628
  Thor Industries Inc.    83,488     7,556
  Winnebago Industries Inc.    62,744     4,020
*,1 Fisker Inc.    20,748       253
*,1 Lucid Group Inc.     7,387       214
*,1 Canoo Inc.    36,279       208
* Rivian Automotive Inc. Class A     2,858       193
*,1 Lordstown Motors Corp. Class A    68,103       175
* Workhorse Group Inc.    54,247       170
*,1 Electric Last Mile Solutions Inc.    41,618        91
            1,066,198
Distributors (1.0%)
  Pool Corp.    54,796    25,128
  Genuine Parts Co.   194,642    23,777
  LKQ Corp.   385,571    18,103
* Funko Inc. Class A    96,852     1,691
               68,699
    Shares Market
Value

($000)
Diversified Consumer Services (1.4%)
  Service Corp. International   244,263    14,863
* Bright Horizons Family Solutions Inc.    86,350    11,281
* Terminix Global Holdings Inc.   200,674     8,541
  H&R Block Inc.   311,005     7,716
* Grand Canyon Education Inc.    74,861     6,500
* Houghton Mifflin Harcourt Co.   293,424     6,147
* Chegg Inc.   176,719     5,526
  Graham Holdings Co. Class B     7,720     4,641
* frontdoor Inc.   137,251     4,124
* Stride Inc.   106,008     3,560
  Carriage Services Inc. Class A    65,416     3,219
* OneSpaWorld Holdings Ltd.   277,026     2,864
  Laureate Education Inc. Class A   236,858     2,568
  Strategic Education Inc.    43,175     2,548
* Adtalem Global Education Inc.   106,528     2,214
* Perdoceo Education Corp.   195,424     2,046
* WW International Inc.   114,569     1,168
* Mister Car Wash Inc.    20,131       323
*,1 Beachbody Co. Inc.   121,102       242
* Coursera Inc.    10,332       210
* Vivint Smart Home Inc.    27,824       200
* 2U Inc.    14,406       151
               90,652
Hotels, Restaurants & Leisure (17.8%)
  McDonald's Corp.   934,296   228,688
  Starbucks Corp. 1,476,782   135,554
* Booking Holdings Inc.    51,693   112,290
* Marriott International Inc. Class A   355,441    60,475
* Hilton Worldwide Holdings Inc.   360,107    53,606
* Chipotle Mexican Grill Inc. Class A    34,664    52,805
  Yum! Brands Inc.   382,349    46,868
* Expedia Group Inc.   185,227    36,325
  Darden Restaurants Inc.   176,516    25,634
* Royal Caribbean Cruises Ltd.   308,256    24,882
  MGM Resorts International   516,701    22,885
  Domino's Pizza Inc.    50,597    21,869
* Caesars Entertainment Inc.   256,570    21,601
* Las Vegas Sands Corp.   467,241    20,026
* Airbnb Inc. Class A   131,651    19,944
* Carnival Corp.   955,176    19,419
  Vail Resorts Inc.    56,852    14,813
  Churchill Downs Inc.    52,796    12,717
* Wynn Resorts Ltd.   144,987    12,544
  Aramark   334,532    12,364
    Shares Market
Value

($000)
  Wyndham Hotels & Resorts Inc.   141,628    12,238
* Penn National Gaming Inc.   230,511    11,837
* Norwegian Cruise Line Holdings Ltd.   554,848    10,814
* Planet Fitness Inc. Class A   124,852    10,566
  Marriott Vacations Worldwide Corp.    62,404    10,026
  Texas Roadhouse Inc. Class A   101,920     9,673
* Boyd Gaming Corp.   133,655     9,481
  Choice Hotels International Inc.    60,394     8,718
* Hyatt Hotels Corp. Class A    82,146     7,977
  Travel + Leisure Co.   137,310     7,696
* Hilton Grand Vacations Inc.   142,745     7,403
  Wendy's Co.   315,633     7,178
  Wingstop Inc.    47,436     6,895
* SeaWorld Entertainment Inc.    95,782     6,646
* Scientific Games Corp. Class A   104,784     6,593
  Red Rock Resorts Inc. Class A   121,568     6,112
* Six Flags Entertainment Corp.   133,384     5,824
  Papa John's International Inc.    53,098     5,672
  Cracker Barrel Old Country Store Inc.    38,686     5,194
* Everi Holdings Inc.   210,896     4,935
* Shake Shack Inc. Class A    56,899     4,251
* Dave & Buster's Entertainment Inc.    91,823     3,980
* Bloomin' Brands Inc.   153,966     3,789
* Golden Entertainment Inc.    64,651     3,681
* Cheesecake Factory Inc.    84,592     3,620
  Jack in the Box Inc.    41,502     3,580
* Brinker International Inc.    81,525     3,468
* Playa Hotels & Resorts NV   365,709     3,456
* Monarch Casino & Resort Inc.    41,410     3,226
  Dine Brands Global Inc.    38,087     3,193
* Denny's Corp.   175,473     2,776
  Ruth's Hospitality Group Inc.   109,737     2,723
* Accel Entertainment Inc. Class A   201,343     2,636
* Bally's Corp.    70,848     2,552
* Lindblad Expeditions Holdings Inc.   117,512     2,083
* Chuy's Holdings Inc.    60,528     1,973
* BJ's Restaurants Inc.    56,339     1,807
* El Pollo Loco Holdings Inc.    96,852     1,285
* Golden Nugget Online Gaming Inc.    26,216       225
* DraftKings Inc. Class A     9,305       220
* Rush Street Interactive Inc.    19,744       204
16

 

Consumer Discretionary Index Fund
    Shares Market
Value

($000)
* GAN Ltd.    29,652       198
            1,171,713
Household Durables (4.3%)
  DR Horton Inc.   446,947    38,169
  Lennar Corp. Class A   362,214    32,556
  Garmin Ltd.   196,091    21,656
  PulteGroup Inc.   361,329    17,944
  Whirlpool Corp.    86,702    17,450
  Newell Brands Inc.   568,247    13,496
* Mohawk Industries Inc.    85,208    11,996
* TopBuild Corp.    49,660    10,661
  Toll Brothers Inc.   182,311     9,892
  Tempur Sealy International Inc.   282,236     9,317
* Helen of Troy Ltd.    39,486     8,121
  Leggett & Platt Inc.   204,372     7,578
* Meritage Homes Corp.    65,733     6,480
* Skyline Champion Corp.    95,341     6,411
* Taylor Morrison Home Corp. Class A   211,632     6,243
  KB Home   139,633     5,391
* Tri Pointe Homes Inc.   237,142     5,305
* Cavco Industries Inc.    17,780     4,847
* LGI Homes Inc.    37,369     4,713
  MDC Holdings Inc.   104,142     4,618
* Sonos Inc.   157,051     4,302
  Installed Building Products Inc.    43,108     4,169
  Century Communities Inc.    62,504     3,983
* M/I Homes Inc.    64,842     3,196
* iRobot Corp.    48,741     3,030
  La-Z-Boy Inc.    97,325     2,840
* GoPro Inc. Class A   298,064     2,563
* Green Brick Partners Inc.   106,750     2,475
  Ethan Allen Interiors Inc.    87,413     2,278
* Tupperware Brands Corp.   110,151     2,008
* Beazer Homes USA Inc.   119,509     1,956
* Lovesac Co.    39,685     1,686
* Universal Electronics Inc.    44,541     1,480
* Dream Finders Homes Inc. Class A    19,382       390
* Purple Innovation Inc. Class A    27,026       163
*,1 Vuzix Corp.    25,752       146
              279,509
Internet & Direct Marketing Retail (25.6%)
* Amazon.com Inc.   489,899 1,504,607
* MercadoLibre Inc.    57,556    64,845
  eBay Inc.   816,142    44,553
* Etsy Inc.   166,112    25,729
* Wayfair Inc. Class A    89,063    12,546
*,1 Chewy Inc. Class A   110,370     5,203
  Shutterstock Inc.    42,668     3,863
* Overstock.com Inc.    66,820     3,802
  Qurate Retail Inc. Series A   613,073     3,378
* Revolve Group Inc.    67,730     3,212
  PetMed Express Inc.    66,492     1,792
* Groupon Inc. Class A    66,464     1,444
* Quotient Technology Inc.   203,024     1,348
* 1-800-Flowers.com Inc. Class A    81,734     1,265
* Stitch Fix Inc. Class A    92,401     1,160
* Lands' End Inc.    65,059     1,103
* RealReal Inc.    81,862       729
*,1 Xometry Inc. Class A     6,152       301
* Poshmark Inc. Class A    17,004       254
* BARK Inc.    60,599       191
* ContextLogic Inc. Class A    77,203       183
* DoorDash Inc. Class A     1,460       153
    Shares Market
Value

($000)
* ThredUP Inc. Class A    17,498       149
* Porch Group Inc.    15,750       128
            1,681,938
Leisure Products (1.4%)
  Hasbro Inc.   184,571    17,913
* Mattel Inc.   528,386    13,199
  Brunswick Corp.   116,989    11,175
  Polaris Inc.    87,015    10,573
* Peloton Interactive Inc. Class A   292,659     8,505
* YETI Holdings Inc.   115,129     7,087
* Vista Outdoor Inc.   117,873     4,296
* Callaway Golf Co.   169,457     4,192
  Acushnet Holdings Corp.    81,386     3,565
* Malibu Boats Inc. Class A    46,610     3,247
  Sturm Ruger & Co. Inc.    44,505     3,223
  Smith & Wesson Brands Inc.   153,674     2,709
  Johnson Outdoors Inc. Class A    18,755     1,547
  Clarus Corp.    12,076       275
* Latham Group Inc.    15,707       275
* AMMO Inc.    50,989       240
* Hayward Holdings Inc.    12,477       223
               92,244
Multiline Retail (4.0%)
  Target Corp.   604,491   120,759
  Dollar General Corp.   300,958    59,692
* Dollar Tree Inc.   296,126    42,073
  Kohl's Corp.   226,531    12,600
  Macy's Inc.   462,274    11,982
  Dillard's Inc. Class A    16,767     4,204
* Ollie's Bargain Outlet Holdings Inc.    89,802     3,878
* Nordstrom Inc.   184,760     3,832
  Big Lots Inc.    73,509     2,555
  Franchise Group Inc.     7,765       327
              261,902
Other (0.0%)2
*,3 Media General Inc. CVR    69,182         3
Specialty Retail (19.2%)
  Home Depot Inc. 1,298,925   410,240
  Lowe's Cos. Inc.   844,325   186,647
  TJX Cos. Inc. 1,523,562   100,707
* O'Reilly Automotive Inc.    86,939    56,444
* AutoZone Inc.    27,207    50,697
  Ross Stores Inc.   465,073    42,503
  Tractor Supply Co.   151,989    30,974
  Best Buy Co. Inc.   297,742    28,774
* Ulta Beauty Inc.    70,165    26,277
* CarMax Inc.   222,053    24,277
* Burlington Stores Inc.    89,738    20,271
  Bath & Body Works Inc.   364,881    19,474
  Advance Auto Parts Inc.    87,913    17,976
  Williams-Sonoma Inc.   108,018    15,648
  Lithia Motors Inc. Class A    42,164    14,370
* Carvana Co. Class A    86,950    13,083
* Five Below Inc.    79,745    13,047
* Floor & Decor Holdings Inc. Class A   122,009    11,667
*,1 GameStop Corp. Class A    86,048    10,613
1 Dick's Sporting Goods Inc.    99,926    10,492
* RH    22,726     9,133
* AutoNation Inc.    74,303     8,520
  Murphy USA Inc.    43,391     7,843
* Asbury Automotive Group Inc.    36,643     7,113
    Shares Market
Value

($000)
  Signet Jewelers Ltd.    95,667     6,745
* Victoria's Secret & Co.   123,157     6,605
  Penske Automotive Group Inc.    60,342     5,931
  Group 1 Automotive Inc.    32,378     5,891
* Boot Barn Holdings Inc.    61,804     5,378
  American Eagle Outfitters Inc.   250,362     5,278
  Gap Inc.   340,972     4,961
* National Vision Holdings Inc.   134,716     4,940
  Foot Locker Inc.   155,632     4,921
* Abercrombie & Fitch Co. Class A   123,235     4,693
* ODP Corp.   102,691     4,518
* Sally Beauty Holdings Inc.   228,847     3,954
*,1 Bed Bath & Beyond Inc.   208,536     3,522
*