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%

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.

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

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.

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).

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.

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.

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

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

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

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

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

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.