Annual Report   |   November 30, 2021
Vanguard U.S. Factor ETFs
Vanguard U.S. Liquidity Factor ETF
Vanguard U.S. Minimum Volatility ETF
Vanguard U.S. Momentum Factor ETF
Vanguard U.S. Multifactor ETF
Vanguard U.S. Quality Factor ETF
Vanguard U.S. Value Factor ETF

Contents
Your Fund’s Performance at a Glance

1
Advisor’s Report

2
About Your Fund’s Expenses

4
U.S. Liquidity Factor ETF

6
U.S. Minimum Volatility ETF

25
U.S. Momentum Factor ETF

37
U.S. Multifactor ETF

56
U.S. Quality Factor ETF

73
U.S. Value Factor ETF

92
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

Your Fund’s Performance at a Glance
Vanguard’s six U.S. Factor ETFs posted returns ranging from about 17% to nearly 38% (based on net asset value) for the 12 months ended November 30, 2021. Three of the six ETFs beat the 26.34% return of their benchmark, the Russell 3000 Index.
The U.S. Factor ETFs seek to provide long-term capital appreciation by investing in stocks that have lower or higher measures of certain factors relative to the broad U.S. equity market.
Vanguard U.S. Value ETF performed best among the group, returning 37.51% based on net asset value.
Vanguard U.S. Minimum Volatility ETF produced the lowest returns, at 17.22% based on net asset value. Performance was held back as defensive sectors favored by this strategy underperformed as the market recovered over the past 12 months.
All six ETFs regularly use derivatives to hedge portfolio risks. On balance, the ETFs’ holdings in equity index futures contracts contributed to performance.
Market Barometer
  Average Annual Total Returns
Periods Ended November 30, 2021
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 26.67% 20.65% 17.93%
Russell 2000 Index (Small-caps) 22.03 14.22 12.14
Russell 3000 Index (Broad U.S. market) 26.34 20.20 17.51
FTSE All-World ex US Index (International) 9.63 10.38 9.56
Bonds      
Bloomberg U.S. Aggregate Bond Index
(Broad taxable market)
-1.15% 5.52% 3.65%
Bloomberg Municipal Bond Index
(Broad tax-exempt market)
1.97 5.09 4.38
FTSE Three-Month U.S. Treasury Bill Index 0.05 1.02 1.12
CPI      
Consumer Price Index 6.81% 3.32% 2.86%
1

Advisor’s Report
For the 12 months ended November 30, 2021, Vanguard’s six U.S. Factor ETFs posted returns (based on net asset value) ranging from about 17% for the U.S. Minimum Volatility ETF to nearly 38% for the U.S. Value Factor ETF. Three of the six ETFs outperformed their benchmark, the Russell 3000 Index, which returned approximately 26%.
The objective of each U.S. Factor ETF is to create a portfolio that has broad exposure to large-, mid-, and small-capitalization U.S. equities and that has the potential for long-term capital appreciation, subject to rules-based screens as follows:
Vanguard U.S. Liquidity Factor ETF seeks exposure to stocks with lower measures of trading liquidity, such as daily trading volume and its effect on the security’s price.
Vanguard U.S. Minimum Volatility ETF seeks to build a portfolio of stocks with lower volatility relative to the broad U.S. equity market.
Vanguard U.S. Momentum Factor ETF seeks exposure to stocks with relatively strong recent performance as identified by measures such as returns over different periods.
Vanguard U.S. Multifactor ETF seeks exposure to stocks with relatively strong recent performance, strong fundamentals, and low prices relative to fundamentals.
Vanguard U.S. Quality Factor ETF seeks exposure to stocks with strong fundamentals as identified by measures
such as profitability, earnings, and balance-sheet strength.
Vanguard U.S. Value Factor ETF seeks exposure to stocks with lower prices relative to fundamental measures of value such as book/price and earnings/price ratios.
The investment environment
The U.S. economy continued to heal during the fiscal year. COVID-19 vaccination programs started to be rolled out shortly after the beginning of the period. Some of the hardest-hit sectors like hospitality, leisure, and travel began to rebound, and more workers returned to the labor force.
Swift and extensive fiscal and monetary support from policymakers was another key to the rebound. Even amid concerns toward the end of the fiscal year about inflation and the prospect of less accommodative monetary policy, stock returns for the period were excellent. Bonds were hurt by the prospect of inflation being less transitory than expected and the Federal Reserve dialing back some of its monetary support.
For the 12 months, the FTSE Global All Cap Index returned 19.35%. The U.S. stock market returned 27.92%, as measured by the Standard & Poor’s 500 Index, outperforming developed markets outside the United States and especially emerging markets. Large-cap stocks bested small-caps, and growth stocks outpaced value.
 
2

The ETFs’ successes and shortfalls
The environment for small-cap and value stocks improved, which helped returns for most of the ETFs for the 12 months. Sector exposure affected the ETFs differently based on the factors each seeks to emphasize:
The U.S. Liquidity Factor ETF was held back on a relative basis by its positions in health care, technology, basic materials, and real estate but posted positive relative results in financials, industrials, telecommunications, and consumer staples.
The U.S. Minimum Volatility ETF was held back in particular by its positions in telecommunications, financials, and consumer discretionary but benefited from its selection in technology and industrials.
The U.S. Momentum Factor ETF was held back by its positions in technology, telecommunications, and financials but benefited most on a relative basis from its positions in consumer discretionary, industrials, and consumer staples.
The U.S. Multifactor ETF benefited most from its positions in consumer discretionary, industrials, and health care but was held back by holdings in technology and real estate.
The U.S. Quality Factor ETF benefited most from its positions in financials, industrials, and consumer discretionary but was held back by holdings in technology, energy, and consumer staples.
The U.S. Value Factor ETF was helped most by its positions in financials, energy, industrials, and consumer discretionary but was held back by holdings in technology, utilities, and telecommunications.
We expect our approach to portfolio construction to produce long-term capital appreciation that reflects the factors emphasized by each of the U.S. Factor ETF portfolios. Results will vary over different periods across the different factors. However, we believe that focusing on the risk-adjusted returns of each portfolio relative to its targeted factors and the benchmark will serve investors well over time.
We thank you for your investment and look forward to serving you in the period ahead.
Antonio Picca, Senior Portfolio Manager,
Head of Factor-Based Strategies
Vanguard Quantitative Equity Group
December 10, 2021
3

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.
4

Six Months Ended November 30, 2021      
  Beginning
Account Value
5/31/2021
Ending
Account Value
11/30/2021
Expenses
Paid During
Period
Based on Actual Fund Return      
U.S. Liquidity Factor ETF $1,000.00 $997.60 $0.65
U.S. Minimum Volatility ETF $1,000.00 $1,044.70 $0.67
U.S. Momentum Factor ETF $1,000.00 $1,027.10 $0.66
U.S. Multifactor ETF $1,000.00 $1,019.10 $0.91
U.S. Quality Factor ETF $1,000.00 $1,045.70 $0.67
U.S. Value Factor ETF $1,000.00 $987.80 $0.65
Based on Hypothetical 5% Yearly Return      
U.S. Liquidity Factor ETF $1,000.00 $1,024.42 $0.66
U.S. Minimum Volatility ETF $1,000.00 $1,024.42 $0.66
U.S. Momentum Factor ETF $1,000.00 $1,024.42 $0.66
U.S. Multifactor ETF $1,000.00 $1,024.17 $0.91
U.S. Quality Factor ETF $1,000.00 $1,024.42 $0.66
U.S. Value Factor ETF $1,000.00 $1,024.42 $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. Liquidity Factor ETF, 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 (183/365).
5

U.S. Liquidity Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2021
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended November 30, 2021
 
    One
Year
Since
Inception
(2/13/2018)
Final Value
of a $10,000
Investment
 U.S. Liquidity Factor ETF Net Asset Value 24.89% 12.27% $15,512
  U.S. Liquidity Factor ETF Market Price 24.88 12.28 15,517
 Russell 3000 Index 26.34 17.17 18,243
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2021
  One
Year
Since
Inception
(2/13/2018)
U.S. Liquidity Factor ETF Market Price 24.88% 55.17%
U.S. Liquidity Factor ETF Net Asset Value 24.89 55.12
Russell 3000 Index 26.34 82.43
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
6

U.S. Liquidity Factor ETF
Fund Allocation
As of November 30, 2021
Basic Materials 5.2%
Consumer Discretionary 8.5
Consumer Staples 3.3
Energy 2.2
Financials 24.6
Health Care 18.7
Industrials 22.7
Real Estate 0.9
Technology 10.5
Telecommunications 2.0
Utilities 1.4
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.
7

U.S. Liquidity Factor ETF
Financial Statements
Schedule of Investments
As of November 30, 2021
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 (99.5%)
Basic Materials (5.1%)
  Ecolab Inc.  1,908      423
  Air Products and Chemicals Inc.    892      256
  Dow Inc.  3,945      217
  Balchem Corp.  1,100      174
  Southern Copper Corp.  2,145      125
  Linde plc    351      112
* RBC Bearings Inc.    504      100
  UFP Industries Inc.  1,187       99
  AdvanSix Inc.  2,001       91
  Timken Co.  1,335       88
  Valvoline Inc.  2,403       82
  Reliance Steel & Aluminum Co.    526       78
  FutureFuel Corp.  9,610       72
  Glatfelter Corp.  3,885       64
  Ryerson Holding Corp.  2,225       52
  Huntsman Corp.  1,308       41
  Chemours Co.  1,336       40
  American Vanguard Corp.  2,694       38
  Royal Gold Inc.    373       37
  Mueller Industries Inc.    654       36
  Scotts Miracle-Gro Co.    242       35
  Stepan Co.    314       35
* Orion Engineered Carbons SA  1,744       31
  Ashland Global Holdings Inc.    287       29
* Clearwater Paper Corp.    690       28
* Energy Fuels Inc.  3,170       28
* Koppers Holdings Inc.    883       27
  Tredegar Corp.  2,431       27
* GCP Applied Technologies Inc.  1,077       25
  Minerals Technologies Inc.    371       24
* Rayonier Advanced Materials Inc.  4,307       24
  Avient Corp.    370       20
* Novagold Resources Inc.  2,580       17
  Avery Dennison Corp.     80       16
  Verso Corp. Class A    749       16
  Neenah Inc.    316       15
* Ur-Energy Inc.  6,068        9
         2,631
Consumer Discretionary (8.4%)
  Ross Stores Inc.  2,103      229
* Liberty Media Corp.- Liberty SiriusXM Class C  3,155      154
  AMERCO    212      149
* Terminix Global Holdings Inc.  3,494      130
    Shares Market
Value

($000)
* Golden Entertainment Inc.  2,713      125
  Pool Corp.    212      117
* Aptiv plc    698      112
* frontdoor Inc.  3,203      111
* Liberty Media Corp.-Liberty Formula One Class C  1,788      109
  Movado Group Inc.  2,212       99
  Churchill Downs Inc.    391       88
  Choice Hotels International Inc.    583       84
  Carriage Services Inc. Class A  1,605       83
* Houghton Mifflin Harcourt Co.  5,038       78
* Vera Bradley Inc.  8,103       77
  Fox Corp. Class B  2,074       70
  Franchise Group Inc.  1,456       70
  Haverty Furniture Cos. Inc.  2,214       66
  Johnson Outdoors Inc. Class A    612       64
* Stoneridge Inc.  2,864       63
  Acushnet Holdings Corp.  1,095       60
  Winmark Corp.    237       60
  ViacomCBS Inc. Class A  1,808       60
  Genuine Parts Co.    465       59
  Penske Automotive Group Inc.    577       57
  Rollins Inc.  1,641       55
* Liberty Media Corp.- Liberty Braves Class C  1,949       54
  News Corp. Class A  2,466       53
* Century Casinos Inc.  4,016       52
  Travel + Leisure Co.  1,024       50
* PlayAGS Inc.  6,745       49
  Service Corp. International    740       49
  EW Scripps Co. Class A  2,597       48
  Kimball International Inc. Class B  4,183       43
  National CineMedia Inc. 15,218       43
  Gentex Corp.  1,221       42
* Accel Entertainment Inc. Class A  3,265       42
* Noodles & Co. Class A  3,998       41
* Lands' End Inc.  1,759       40
* MarineMax Inc.    756       40
  Leggett & Platt Inc.    953       39
* Monarch Casino & Resort Inc.    582       39
  Tilly's Inc. Class A  2,593       39
  Cato Corp. Class A  2,280       38
  Global Industrial Co.    950       38
* Arlo Technologies Inc.  4,582       36
  Autoliv Inc.    372       36
* Cooper-Standard Holdings Inc.  1,492       34
* IAA Inc.    709       34
8

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
  Qurate Retail Inc. Series A  4,284       34
* Boston Omaha Corp. Class A  1,145       33
* Chuy's Holdings Inc.  1,141       33
* Duluth Holdings Inc. Class B  2,365       33
* Universal Electronics Inc.    843       31
  Wyndham Hotels & Resorts Inc.    388       31
* Lindblad Expeditions Holdings Inc.  2,135       30
  Del Taco Restaurants Inc.  3,836       29
  Ethan Allen Interiors Inc.  1,287       29
  Scholastic Corp.    768       29
* Mesa Air Group Inc.  4,027       28
* Floor & Decor Holdings Inc. Class A    208       27
  Inter Parfums Inc.    303       27
* Entercom Communications Corp. Class A 11,066       27
* Bright Horizons Family Solutions Inc.    213       26
* Fox Factory Holding Corp.    143       25
* Thryv Holdings Inc.    629       25
* Bally's Corp.    598       23
* Helen of Troy Ltd.     93       22
* OneSpaWorld Holdings Ltd.  2,344       22
* National Vision Holdings Inc.    439       21
* PROG Holdings Inc.    457       21
* Lovesac Co.    315       20
  Marriott Vacations Worldwide Corp.    131       20
* Motorcar Parts of America Inc.  1,275       20
* VOXX International Corp. Class A  1,958       20
  Lennar Corp. Class B    196       17
* Chicken Soup For The Soul Entertainment Inc.  1,275       17
* Lazydays Holdings Inc.    855       17
  Carrols Restaurant Group Inc.  5,330       15
* Liberty TripAdvisor Holdings Inc. Class A  6,765       15
* SiteOne Landscape Supply Inc.     62       15
  HNI Corp.    356       14
  Rocky Brands Inc.    391       14
* Clear Channel Outdoor Holdings Inc.  4,352       13
* El Pollo Loco Holdings Inc.  1,004       13
* Viad Corp.    316       13
* TravelCenters of America Inc.    252       13
  Estee Lauder Cos. Inc. Class A     36       12
* O'Reilly Automotive Inc.     18       11
* Clean Energy Fuels Corp.  1,405       10
* Grand Canyon Education Inc.    136       10
         4,313
Consumer Staples (3.2%)
  Flowers Foods Inc.  9,610      248
  Brown-Forman Corp. Class A  2,698      177
* Darling Ingredients Inc.  2,223      150
  Colgate-Palmolive Co.  1,839      138
  Philip Morris International Inc.  1,549      133
* Pilgrim's Pride Corp.  3,426       96
  Kimberly-Clark Corp.    643       84
  Weis Markets Inc.  1,325       83
  Seaboard Corp.     20       78
  Keurig Dr Pepper Inc.  2,193       75
  Casey's General Stores Inc.    284       55
  Brown-Forman Corp. Class B    596       42
  Sysco Corp.    583       41
    Shares Market
Value

($000)
  Andersons Inc.  1,031       35
  Ingredion Inc.    338       32
  ACCO Brands Corp.  3,700       31
  Altria Group Inc.    545       23
* Performance Food Group Co.    542       22
  SpartanNash Co.    885       21
* Mission Produce Inc.  1,202       21
* Post Holdings Inc.    201       19
* Freshpet Inc.    161       17
* Laird Superfood Inc.  1,207       16
  Lancaster Colony Corp.     88       13
  Fresh Del Monte Produce Inc.    512       13
         1,663
Energy (2.2%)
  New Fortress Energy Inc. Class A  3,214       80
* Select Energy Services Inc. Class A 12,094       69
* CONSOL Energy Inc.  3,049       67
  Berry Corp.  7,669       62
* Dril-Quip Inc.  3,205       61
  Solaris Oilfield Infrastructure Inc. Class A  8,445       58
* Liberty Oilfield Services Inc. Class A  6,171       57
* National Energy Services Reunited Corp.  5,641       56
* Expro Group Holdings NV  3,967       56
* Centrus Energy Corp. Class A    921       51
* RPC Inc. 12,545       51
  Civitas Resources Inc.  1,004       51
* Bristow Group Inc.  1,510       45
  Archrock Inc.  5,642       42
* Newpark Resources Inc. 13,490       37
* Oil States International Inc.  7,322       37
  Texas Pacific Land Corp.     30       36
  EOG Resources Inc.    407       35
  SunCoke Energy Inc.  5,664       34
* Talos Energy Inc.  2,881       29
* MRC Global Inc.  4,001       28
* FTS International Inc. Class A    745       20
* Comstock Resources Inc.  1,791       14
* Par Pacific Holdings Inc.  1,044       14
* DMC Global Inc.    266       10
* Contango Oil & Gas Co.  2,622        9
         1,109
Financials (24.5%)
  Marsh & McLennan Cos. Inc.  3,804      624
  Moody's Corp.  1,453      568
  T Rowe Price Group Inc.  2,154      431
  Blackstone Inc.  2,379      336
  Truist Financial Corp.  5,435      322
  Chubb Ltd.  1,652      296
  Intercontinental Exchange Inc.  2,188      286
  Progressive Corp.  2,759      256
  MSCI Inc. Class A    387      244
  Bank of New York Mellon Corp.  4,312      236
  US Bancorp  3,368      186
  BlackRock Inc.    196      177
  PNC Financial Services Group Inc.    860      169
  Prosperity Bancshares Inc.  2,345      167
  CME Group Inc.    744      164
  Erie Indemnity Co. Class A    882      164
  Aon plc Class A (XNYS)    529      156
  Axis Capital Holdings Ltd.  3,095      154
 
9

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
  Primerica Inc.    989      146
  First Citizens BancShares Inc. Class A    179      144
  Brown & Brown Inc.  2,150      138
  SouthState Corp.  1,681      131
* Customers Bancorp Inc.  2,214      128
  S&P Global Inc.    282      128
  East West Bancorp Inc.  1,647      127
  MetLife Inc.  2,153      126
  Morningstar Inc.    400      124
  RLI Corp.  1,182      121
  Stifel Financial Corp.  1,702      121
  American International Group Inc.  2,223      117
  Pinnacle Financial Partners Inc.  1,184      113
  Glacier Bancorp Inc.  1,958      106
  Hanmi Financial Corp.  4,715      106
  ConnectOne Bancorp Inc.  3,153      102
  Live Oak Bancshares Inc.  1,130      101
  Universal Insurance Holdings Inc.  6,664      100
  First Financial Bankshares Inc.  1,991       99
  Popular Inc.  1,265       98
  Selective Insurance Group Inc.  1,297       98
  United Bankshares Inc.  2,731       98
* Triumph Bancorp Inc.    759       97
  Berkshire Hills Bancorp Inc.  3,500       93
  Kemper Corp.  1,648       91
  Commerce Bancshares Inc.  1,293       90
  Premier Financial Corp.  2,847       84
  Valley National Bancorp  6,143       83
  United Fire Group Inc.  3,797       79
  Trustmark Corp.  2,424       74
  HCI Group Inc.    648       72
  Hanover Insurance Group Inc.    595       72
  Heritage Financial Corp.  3,071       72
* Enstar Group Ltd.    323       72
  Lazard Ltd. Class A  1,680       72
  Old Republic International Corp.  2,931       70
  Janus Henderson Group plc  1,538       66
  B Riley Financial Inc.    839       65
  Provident Financial Services Inc.  2,757       65
  Univest Financial Corp.  2,347       65
  BOK Financial Corp.    616       64
  Western Alliance Bancorp    576       63
  Synovus Financial Corp.  1,373       62
  Washington Trust Bancorp Inc.  1,133       61
  TFS Financial Corp.  3,337       60
* Markel Corp.     49       59
* Nicolet Bankshares Inc.    824       59
  TrustCo Bank Corp. NY  1,818       59
  First American Financial Corp.    782       58
  First Financial Bancorp  2,517       58
  Northfield Bancorp Inc.  3,466       58
  Hope Bancorp Inc.  3,976       57
  First Foundation Inc.  2,194       56
  Globe Life Inc.    643       56
  QCR Holdings Inc.  1,047       56
  ServisFirst Bancshares Inc.    678       54
* Bancorp Inc.  1,876       53
  Central Pacific Financial Corp.  1,965       53
  SLM Corp.  2,955       53
  Federal Agricultural Mortgage Corp. Class C    425       52
  Jefferies Financial Group Inc.  1,387       52
    Shares Market
Value

($000)
  Essent Group Ltd.  1,250       52
  First Commonwealth Financial Corp.  3,396       51
  Merchants Bancorp  1,126       51
* Assetmark Financial Holdings Inc.  1,983       50
  Cullen/Frost Bankers Inc.    392       49
  Lakeland Financial Corp.    693       49
  Stock Yards Bancorp Inc.    821       49
* Columbia Financial Inc.  2,615       48
  1st Source Corp.  1,009       47
  Tompkins Financial Corp.    605       47
  Cohen & Steers Inc.    510       46
  SEI Investments Co.    771       46
  HomeStreet Inc.    921       45
  Brightsphere Investment Group Inc.  1,508       45
* StoneX Group Inc.    800       45
  Heritage Commerce Corp.  3,998       44
  Nelnet Inc. Class A    505       44
  First Bancorp Inc. (XNMS)  1,112       43
  Park National Corp.    327       43
  Loews Corp.    785       42
  LPL Financial Holdings Inc.    260       41
  Equitable Holdings Inc.  1,317       41
  Interactive Brokers Group Inc. Class A    538       40
  First Bancorp (XNGS)    869       39
  Origin Bancorp Inc.    928       39
  TriCo Bancshares    922       39
  FB Financial Corp.    873       37
  Preferred Bank    537       37
  Towne Bank  1,210       37
  Banner Corp.    621       36
  MGIC Investment Corp.  2,522       36
  Peoples Bancorp Inc.  1,157       36
  Southside Bancshares Inc.    863       35
  Dime Community Bancshares Inc.  1,012       35
  American Financial Group Inc.    253       34
  Curo Group Holdings Corp.  2,029       34
  First Merchants Corp.    824       33
  Reinsurance Group of America Inc.    351       33
* EZCorp. Inc. Class A  4,150       31
  PJT Partners Inc. Class A    405       31
  ProAssurance Corp.  1,340       31
* Focus Financial Partners Inc. Class A    491       30
  Carlyle Group Inc.    542       30
  Atlantic Union Bankshares Corp.    887       29
  First Busey Corp.  1,136       29
* Finance of America Cos. Inc. Class A  7,173       29
  Northwest Bancshares Inc.  2,089       28
  Safety Insurance Group Inc.    359       28
  Sandy Spring Bancorp Inc.    589       28
  Bank of NT Butterfield & Son Ltd.    766       28
* Alleghany Corp.     40       26
* SiriusPoint Ltd.  3,340       26
  National Bank Holdings Corp. Class A    587       25
  OceanFirst Financial Corp.  1,201       25
  S&T Bancorp Inc.    839       25
  Unum Group  1,074       25
  Banc of California Inc.  1,226       24
 
10

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
* Enova International Inc.    639       24
  Hamilton Lane Inc. Class A    225       24
  City Holding Co.    271       21
  Kearny Financial Corp.  1,568       20
  Greenhill & Co. Inc.  1,125       19
* Arch Capital Group Ltd.    472       19
  BancFirst Corp.    279       18
  Bank OZK    409       18
  Enterprise Financial Services Corp.    392       18
  Heartland Financial USA Inc.    329       16
  Radian Group Inc.    766       16
* Credit Acceptance Corp.     22       14
  International Bancshares Corp.    327       14
  OFG Bancorp    583       14
  Byline Bancorp Inc.    492       13
  WisdomTree Investments Inc.  2,100       13
  Assured Guaranty Ltd.    275       13
  FNB Corp.    945       11
  Lakeland Bancorp Inc.    631       11
        12,535
Health Care (18.6%)
* Edwards Lifesciences Corp.  4,994      536
  Zoetis Inc.  2,099      466
* IDEXX Laboratories Inc.    639      389
* IQVIA Holdings Inc.  1,486      385
  HCA Healthcare Inc.  1,650      372
  Agilent Technologies Inc.  2,429      367
  Stryker Corp.  1,476      349
  Baxter International Inc.  2,045      152
* Veeva Systems Inc. Class A    479      135
  Ensign Group Inc.  1,697      130
* Neogen Corp.  2,980      120
  Premier Inc. Class A  3,127      116
  Bio-Techne Corp.    243      115
* Crinetics Pharmaceuticals Inc.  3,859      105
  Bruker Corp.  1,265      102
* Denali Therapeutics Inc.  2,071       96
* AngioDynamics Inc.  3,698       95
* Catalent Inc.    738       95
* Integra LifeSciences Holdings Corp.  1,483       95
  National HealthCare Corp.  1,474       95
* CureVac NV  1,977       95
* Syneos Health Inc.    941       91
* Acadia Healthcare Co. Inc.  1,537       86
* Charles River Laboratories International Inc.    221       81
* CorVel Corp.    431       81
  Chemed Corp.    168       78
  Becton Dickinson and Co.    313       74
* Hanger Inc.  4,415       74
* Acutus Medical Inc. 20,801       69
* Bridgebio Pharma Inc.  1,688       68
* Option Care Health Inc.  2,559       65
* Oak Street Health Inc.  2,073       64
* Stoke Therapeutics Inc.  2,462       61
* Globus Medical Inc. Class A    952       60
* Boston Scientific Corp.  1,560       59
* RadNet Inc.  2,177       59
* Morphic Holding Inc.  1,247       59
* Computer Programs and Systems Inc.  1,965       58
* Accelerate Diagnostics Inc. 11,323       57
* Aligos Therapeutics Inc.  3,715       57
* Inhibrx Inc.  1,395       56
* Ultragenyx Pharmaceutical Inc.    730       55
    Shares Market
Value

($000)
* Alnylam Pharmaceuticals Inc.    287       53
* CytoSorbents Corp. 10,764       53
  Atrion Corp.     73       52
* ModivCare Inc.    369       51
* Joint Corp.    629       50
* NGM Biopharmaceuticals Inc.  2,801       50
* Mirum Pharmaceuticals Inc.  3,547       50
* Pulse Biosciences Inc.  2,421       49
* Stereotaxis Inc.  8,197       48
* Taysha Gene Therapies Inc.  3,726       48
* Avid Bioservices Inc.  1,523       47
* Eiger BioPharmaceuticals Inc.  7,545       46
* Cogent Biosciences Inc.  5,839       46
* Affimed NV  6,510       44
* BioLife Solutions Inc.  1,121       43
* Blueprint Medicines Corp.    445       43
* Rapt Therapeutics Inc.  1,332       43
* Aspira Women's Health Inc. 20,849       43
* Exelixis Inc.  2,513       42
  LeMaitre Vascular Inc.    870       41
* Omnicell Inc.    233       41
* Kronos Bio Inc.  3,512       41
  Anthem Inc.     98       40
* Evelo Biosciences Inc.  4,586       40
* SOC Telemed Inc. Class A 19,715       40
* Applied Therapeutics Inc.  3,389       39
* 89bio Inc.  2,973       39
* Immunic Inc.  4,542       39
* NeoGenomics Inc.  1,099       38
* Surgery Partners Inc.    867       38
* Cue Biopharma Inc.  3,004       37
* Geron Corp. (XNGS) 25,120       37
* Rocket Pharmaceuticals Inc.  1,526       37
* Surmodics Inc.    844       37
* HealthEquity Inc.    660       36
* ICU Medical Inc.    157       36
* Novocure Ltd.    381       36
* Relmada Therapeutics Inc.  1,990       36
* iTeos Therapeutics Inc.  1,034       36
* Vaxcyte Inc.  1,752       36
* Align Technology Inc.     57       35
* Molecular Templates Inc.  8,694       35
* Passage Bio Inc.  4,858       35
* Allovir Inc.  2,023       35
* HealthStream Inc.  1,477       34
* Annexon Inc.  2,058       34
* Orthofix Medical Inc.  1,081       33
* Alphatec Holdings Inc.  2,905       32
* Axogen Inc.  3,340       32
* Heska Corp.    201       32
* Jounce Therapeutics Inc.  4,152       32
* MEI Pharma Inc.  9,512       32
* Arcus Biosciences Inc.    697       31
* MannKind Corp.  6,682       31
* OrthoPediatrics Corp.    564       31
* Ionis Pharmaceuticals Inc.  1,115       30
* Neoleukin Therapeutics Inc.  5,547       30
* ORIC Pharmaceuticals Inc.  2,188       30
* Praxis Precision Medicines Inc.  1,681       29
* Paratek Pharmaceuticals Inc.  6,538       28
* TransMedics Group Inc.  1,274       28
* Prothena Corp. plc    551       28
* Harpoon Therapeutics Inc.  4,575       28
* iCAD Inc.  3,790       28
* DarioHealth Corp.  1,811       28
* SpringWorks Therapeutics Inc.    370       27
 
11

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
* Arrowhead Pharmaceuticals Inc.    373       26
* Natera Inc.    287       26
* Accuray Inc.  5,168       25
* Athersys Inc. 23,540       25
* Fortress Biotech Inc.  8,817       25
* Gossamer Bio Inc.  2,314       25
* Quanterix Corp.    633       25
* SI-BONE Inc.  1,315       25
* Shattuck Labs Inc.  2,829       24
* Antares Pharma Inc.  7,030       23
* Marinus Pharmaceuticals Inc.  2,112       23
* DexCom Inc.     39       22
* Avidity Biosciences Inc.  1,008       22
* Keros Therapeutics Inc.    387       22
* Harmony Biosciences Holdings Inc.    654       22
* CryoLife Inc.  1,207       21
* Cymabay Therapeutics Inc.  6,332       21
* Lineage Cell Therapeutics Inc.  9,238       21
* Atreca Inc. Class A  5,721       21
* Spero Therapeutics Inc.  1,474       21
* Viemed Healthcare Inc.  4,102       21
* Cutera Inc.    567       20
* Haemonetics Corp.    384       20
* Ideaya Biosciences Inc.    921       20
* Amedisys Inc.    133       19
* SeaSpine Holdings Corp.  1,401       19
* Theravance Biopharma Inc.  2,269       19
* UroGen Pharma Ltd.  1,451       18
* Dyne Therapeutics Inc.  1,201       17
* Gemini Therapeutics Inc.  6,034       17
* Puma Biotechnology Inc.  5,027       16
* Sientra Inc.  3,975       16
* WaVe Life Sciences Ltd.  4,104       16
* Chinook Therapeutics Inc.    973       16
* Nuvation Bio Inc.  1,743       16
* Homology Medicines Inc.  2,925       15
* Natus Medical Inc.    653       15
*,1 PDL BioPharma Inc.  6,046       15
  PerkinElmer Inc.     80       15
* Poseida Therapeutics Inc.  2,126       15
* Rubius Therapeutics Inc.  1,097       14
* BeyondSpring Inc.  1,091       14
* Precigen Inc.  3,581       14
* Arcutis Biotherapeutics Inc.    847       14
* Generation Bio Co.    836       14
* Amphastar Pharmaceuticals Inc.    686       13
* BioDelivery Sciences International Inc.  4,544       13
* Inspire Medical Systems Inc.     59       13
* Rhythm Pharmaceuticals Inc.  1,442       13
* Rigel Pharmaceuticals Inc.  4,831       13
* MiMedx Group Inc.  1,833       13
* Satsuma Pharmaceuticals Inc.  2,759       13
* Olema Pharmaceuticals Inc.  1,521       13
* Meridian Bioscience Inc.    604       12
* Syros Pharmaceuticals Inc.  2,959       12
* Inotiv Inc.    233       12
* IntriCon Corp.    684       11
* Ocular Therapeutix Inc.  1,564       11
* ViewRay Inc.  2,229       11
* CorMedix Inc.  2,023       10
* GlycoMimetics Inc.  5,974       10
* Pliant Therapeutics Inc.    734       10
* Quotient Ltd.  4,713       10
    Shares Market
Value

($000)
* GT Biopharma Inc.  2,547       10
* Iovance Biotherapeutics Inc.    457        9
* Solid Biosciences Inc.  5,000        9
* Y-mAbs Therapeutics Inc.    499        9
* Biohaven Pharmaceutical Holding Co. Ltd.     84        9
  Perrigo Co. plc    242        9
* Akouos Inc.  1,145        9
* Avita Medical Inc.    646        9
* Ampio Pharmaceuticals Inc.  7,372        8
* Invacare Corp.  2,489        7
* Trevena Inc. 10,094        7
* TG Therapeutics Inc.    356        5
         9,524
Industrials (22.6%)
  Illinois Tool Works Inc.  2,698      626
  Eaton Corp. plc  2,587      419
  General Dynamics Corp.  2,015      381
  Capital One Financial Corp.  2,484      349
  Emerson Electric Co.  3,866      340
  HEICO Corp. Class A  1,966      244
  Trane Technologies plc  1,211      226
  Accenture plc Class A    613      219
  Automatic Data Processing Inc.    806      186
  Deere & Co.    504      174
  Exponent Inc.  1,492      174
  Helios Technologies Inc.  1,567      157
  Johnson Controls International plc  2,065      154
  Kronos Worldwide Inc. 10,276      144
* Donnelley Financial Solutions Inc.  2,937      137
* Cross Country Healthcare Inc.  5,148      135
* ASGN Inc.  1,110      135
  nVent Electric plc  3,841      134
  Tetra Tech Inc.    702      130
  Regal Rexnord Corp.    812      128
  Curtiss-Wright Corp.    978      123
  Sonoco Products Co.  2,047      119
  Donaldson Co. Inc.  2,080      117
* Paylocity Holding Corp.    465      117
  MSA Safety Inc.    791      113
  Norfolk Southern Corp.    419      111
  ArcBest Corp.  1,014      105
  Nordson Corp.    413      105
* MYR Group Inc.    929      103
  Littelfuse Inc.    335      100
* ACI Worldwide Inc.  3,379       99
  Lincoln Electric Holdings Inc.    734       99
* Cornerstone Building Brands Inc.  6,196       97
  John Bean Technologies Corp.    599       95
  Resources Connection Inc.  5,418       93
  Air Lease Corp. Class A  2,214       90
  Douglas Dynamics Inc.  2,192       87
  L3Harris Technologies Inc.    412       86
* Trimble Inc.    989       85
* AECOM  1,224       84
* Covenant Logistics Group Inc. Class A  3,304       83
  Crane Co.    859       83
  Graco Inc.  1,127       82
  Apogee Enterprises Inc.  1,969       81
  BWX Technologies Inc.  1,675       80
  Herc Holdings Inc.    437       75
* Textainer Group Holdings Ltd.  2,294       75
  Northrop Grumman Corp.    213       74
 
12

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
  Maximus Inc.    973       73
  TTEC Holdings Inc.    869       73
  Encore Wire Corp.    510       72
  AGCO Corp.    642       71
* Napco Security Technologies Inc.  1,494       69
  EMCOR Group Inc.    573       68
* Teledyne Technologies Inc.    160       67
* Vivint Smart Home Inc.  6,307       67
* BlueLinx Holdings Inc.    916       65
* Willdan Group Inc.  1,619       65
* Ducommun Inc.  1,500       64
* Gates Industrial Corp. plc  3,945       63
* Daseke Inc.  6,362       61
  Simpson Manufacturing Co. Inc.    521       60
  MKS Instruments Inc.    384       59
* Sterling Construction Co. Inc.  2,270       59
  CSW Industrials Inc.    484       58
  ITT Inc.    616       58
  REV Group Inc.  3,693       58
  Chase Corp.    579       57
  Valmont Industries Inc.    232       56
  Pactiv Evergreen Inc.  4,475       56
  Cognex Corp.    708       55
  Cass Information Systems Inc.  1,325       53
* DXP Enterprises Inc.  1,922       53
  AptarGroup Inc.    435       52
* Construction Partners Inc. Class A  1,506       52
  Griffon Corp.  1,977       52
* AerCap Holdings NV    923       52
  RPM International Inc.    531       48
* CBIZ Inc.  1,309       47
  Genpact Ltd.    947       46
  Genco Shipping & Trading Ltd.  2,972       46
* Teekay Corp. 13,958       46
  Kaman Corp.  1,215       45
  Myers Industries Inc.  2,305       45
  International Seaways Inc.