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.  3,091       45
* Great Lakes Dredge & Dock Corp.  2,978       44
  Kelly Services Inc. Class A  2,626       44
* Atlanticus Holdings Corp.    744       44
  Carrier Global Corp.    785       43
  Franklin Electric Co. Inc.    477       42
  Textron Inc.    593       42
  Woodward Inc.    396       42
* Axon Enterprise Inc.    245       41
* BrightView Holdings Inc.  3,045       41
  EnPro Industries Inc.    399       41
  Xylem Inc.    341       41
* International Money Express Inc.  2,698       41
  Columbus McKinnon Corp.    888       40
  Kforce Inc.    515       40
  Zurn Water Solutions Corp.  1,142       40
  Ennis Inc.  2,030       39
* Thermon Group Holdings Inc.  2,248       39
* US Xpress Enterprises Inc. Class A  4,920       39
  Wabash National Corp.  2,315       39
* Euronet Worldwide Inc.    369       37
* Vectrus Inc.    873       37
  Pentair plc    503       37
* Advantage Solutions Inc.  5,162       37
  Kadant Inc.    155       36
    Shares Market
Value•

($000)
  AAON Inc.    455       36
  Barrett Business Services Inc.    493       35
* FARO Technologies Inc.    510       35
* Sensata Technologies Holding plc    634       35
* CIRCOR International Inc.  1,247       34
  Hubbell Inc. Class B    175       34
* Modine Manufacturing Co.  3,300       34
* Tutor Perini Corp.  2,593       33
* Byrna Technologies Inc.  2,231       33
  Astec Industries Inc.    507       32
* IES Holdings Inc.    667       32
  Marten Transport Ltd.  1,974       32
  TriMas Corp.    958       32
  Carlisle Cos. Inc.    139       31
  Landstar System Inc.    179       30
  Quanex Building Products Corp.  1,398       30
  Tennant Co.    365       29
* Gibraltar Industries Inc.    411       28
  Watsco Inc.     96       28
* ExlService Holdings Inc.    208       27
  Eagle Materials Inc.    168       26
* Franklin Covey Co.    600       26
* Forrester Research Inc.    438       25
  ManpowerGroup Inc.    273       25
* Astronics Corp.  2,253       24
* Manitowoc Co. Inc.  1,277       24
  McGrath RentCorp.    315       24
* AMN Healthcare Services Inc.    214       24
  Sealed Air Corp.    373       23
* Energy Recovery Inc.  1,054       22
* Ranpak Holdings Corp. Class A    534       21
* SP Plus Corp.    788       21
* Blue Bird Corp.  1,001       20
  DuPont de Nemours Inc.    275       20
  Toro Co.    196       20
  Acuity Brands Inc.     96       19
* Veritiv Corp.    153       19
  Heidrick & Struggles International Inc.    409       18
* Air Transport Services Group Inc.    677       17
* Titan International Inc.  2,504       17
  Advanced Drainage Systems Inc.    122       15
* Commercial Vehicle Group Inc.  1,789       15
  Sherwin-Williams Co.     45       15
  Standex International Corp.    143       15
* TopBuild Corp.     57       15
  Primoris Services Corp.    622       14
  Armstrong World Industries Inc.    117       12
  Mueller Water Products Inc. Class A    873       12
  Park Aerospace Corp.    897       12
* GreenBox POS  2,067       11
* Huron Consulting Group Inc.    220       10
* BM Technologies Inc. (XASE)    367        4
        11,580
Real Estate (0.9%)
  Newmark Group Inc. Class A  6,612      106
  St. Joe Co.  1,732       83
* Cushman & Wakefield plc  4,444       79
* CBRE Group Inc. Class A    472       45
  RE/MAX Holdings Inc. Class A  1,182       33
* Fathom Holdings Inc.  1,315       31
 
13
U.S. Liquidity Factor ETF
    Shares Market
Value•

($000)
* Forestar Group Inc.  1,431       28
* Marcus & Millichap Inc.    624       27
  RMR Group Inc. Class A    429       14
           446
Technology (10.5%)
  Amphenol Corp. Class A  7,407      597
* Synopsys Inc.  1,294      441
  Roper Technologies Inc.    804      373
* Cadence Design Systems Inc.  1,936      344
  Cognizant Technology Solutions Corp. Class A  2,202      172
  TE Connectivity Ltd.    942      145
* Novanta Inc.    750      121
  National Instruments Corp.  2,814      117
* Manhattan Associates Inc.    663      104
  Monolithic Power Systems Inc.    173       96
  Pegasystems Inc.    792       91
  Analog Devices Inc.    473       85
* EPAM Systems Inc.    139       85
  Dolby Laboratories Inc. Class A    971       81
  Science Applications International Corp.    971       81
* Clarivate plc  3,105       72
* Axcelis Technologies Inc.  1,136       70
* Agilysys Inc.  1,577       69
  CDK Global Inc.  1,794       69
* Digimarc Corp.  1,542       66
* Avid Technology Inc.  2,033       65
* Tucows Inc. Class A    795       65
* Grid Dynamics Holdings Inc.  1,651       65
  A10 Networks Inc.  4,155       64
* Globant SA    243       64
  American Software Inc. Class A  2,779       63
* Cohu Inc.  1,910       63
* MaxLinear Inc.    908       61
* Alarm.com Holdings Inc.    723       58
* Ceridian HCM Holding Inc.    524       57
  TD SYNNEX Corp.    544       56
  Sapiens International Corp. NV  1,472       52
* Arrow Electronics Inc.    417       51
* Black Knight Inc.    699       50
* CACI International Inc. Class A    187       49
  CMC Materials Inc.    370       49
* PDF Solutions Inc.  1,567       47
  Power Integrations Inc.    474       47
  PC Connection Inc.  1,047       46
* CEVA Inc.  1,006       44
  Amkor Technology Inc.  1,973       43
* Quantum Corp.  7,909       43
  CTS Corp.  1,216       42
* NCR Corp.  1,041       41
  KLA Corp.     96       39
  Brooks Automation Inc.    333       38
* Veeco Instruments Inc.  1,430       38
  Jabil Inc.    623       36
  Bentley Systems Inc. Class B    742       36
* SPS Commerce Inc.    247       35
* Envestnet Inc.    433       33
  Hackett Group Inc.  1,615       33
  Intuit Inc.     50       33
* comScore Inc.  8,938       31
  Entegris Inc.    215       31
* OneSpan Inc.  1,662       28
* Q2 Holdings Inc.    349       28
* Rimini Street Inc.  4,224       28
* ScanSource Inc.    910       28
    Shares Market
Value•

($000)
  Simulations Plus Inc.    585       28
* Mitek Systems Inc.  1,431       25
* Photronics Inc.  1,798       24
* Mediaalpha Inc. Class A  1,554       24
* eGain Corp.  2,080       22
  Methode Electronics Inc.    482       21
* FormFactor Inc.    445       19
* Kimball Electronics Inc.    913       19
* VirnetX Holding Corp.  6,166       19
* ePlus Inc.    169       18
* IPG Photonics Corp.    108       18
* nLight Inc.    698       17
* Autodesk Inc.     63       16
* SecureWorks Corp. Class A    798       14
* Smith Micro Software Inc.  2,429       13
* TrueCar Inc.  2,756        9
         5,365
Telecommunications (2.0%)
* Liberty Broadband Corp. Class A    967      147
* Liberty Latin America Ltd. Class A  7,641       87
* WideOpenWest Inc.  3,888       72
* US Cellular Corp.  2,290       67
* Iridium Communications Inc.  1,719       66
* Harmonic Inc.  6,088       65
* Clearfield Inc.    963       62
* Liberty Broadband Corp. Class C    395       61
* Telesat Corp.  1,783       55
* Ooma Inc.  2,583       49
  Cable One Inc.     26       46
* Consolidated Communications Holdings Inc.  5,876       44
  ADTRAN Inc.  2,093       43
* Digi International Inc.  1,993       43
  Ubiquiti Inc.    109       33
  ATN International Inc.    713       27
* Ribbon Communications Inc.  2,986       16
* CalAmp Corp.  1,066       10
* Casa Systems Inc.  2,014       10
         1,003
Utilities (1.5%)
  Waste Management Inc.  3,653      587
* Stericycle Inc.  1,775      100
* Clean Harbors Inc.    573       58
           745
Total Common Stocks (Cost $38,245) 50,914
 
14
U.S. Liquidity Factor ETF
    Shares Market
Value•

($000)
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
2 Vanguard Market Liquidity Fund 0.077% (Cost $188)  1,880         188
Total Investments (99.9%) (Cost $38,433) 51,102
Other Assets and Liabilities—Net (0.1%) 60
Net Assets (100%) 51,162
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Security value determined using significant unobservable inputs.
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.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
Micro E-mini S&P 500 Index December 2021 10 228 2
  
See accompanying Notes, which are an integral part of the Financial Statements.
15
U.S. Liquidity Factor ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $38,245) 50,914
Affiliated Issuers (Cost $188) 188
Total Investments in Securities 51,102
Investment in Vanguard 2
Cash 1
Cash Collateral Pledged—Futures Contracts 20
Receivables for Accrued Income 45
Total Assets 51,170
Liabilities  
Payables to Vanguard 4
Variation Margin Payable—Futures Contracts 4
Total Liabilities 8
Net Assets 51,162
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 39,426
Total Distributable Earnings (Loss) 11,736
Net Assets 51,162
 
Net Assets  
Applicable to 465,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		51,162
Net Asset Value Per Share $110.02
  
See accompanying Notes, which are an integral part of the Financial Statements.
16
U.S. Liquidity Factor ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends 702
Interest1 —
Securities Lending—Net —
Total Income 702
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services —
Management and Administrative 27
Marketing and Distribution —
Custodian Fees 5
Auditing Fees 32
Shareholders’ Reports 1
Trustees’ Fees and Expenses —
Total Expenses 65
Net Investment Income 637
Realized Net Gain (Loss)  
Investment Securities Sold1,2 1,794
Futures Contracts 52
Realized Net Gain (Loss) 1,846
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 7,658
Futures Contracts (10)
Change in Unrealized Appreciation (Depreciation) 7,648
Net Increase (Decrease) in Net Assets Resulting from Operations 10,131
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $337,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
17
U.S. Liquidity Factor ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 637 688
Realized Net Gain (Loss) 1,846 (1,914)
Change in Unrealized Appreciation (Depreciation) 7,648 2,528
Net Increase (Decrease) in Net Assets Resulting from Operations 10,131 1,302
Distributions    
Total Distributions (661) (690)
Capital Share Transactions    
Issued 6,433 2,195
Issued in Lieu of Cash Distributions — —
Redeemed (4,935) (3,670)
Net Increase (Decrease) from Capital Share Transactions 1,498 (1,475)
Total Increase (Decrease) 10,968 (863)
Net Assets    
Beginning of Period 40,194 41,057
End of Period 51,162 40,194
  
See accompanying Notes, which are an integral part of the Financial Statements.
18
U.S. Liquidity Factor ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $89.32 $86.44 $78.25 $75.00
Investment Operations        
Net Investment Income2 1.374 1.436 1.310 1.010
Net Realized and Unrealized Gain (Loss) on Investments 20.757 2.882 8.047 2.834
Total from Investment Operations 22.131 4.318 9.357 3.844
Distributions        
Dividends from Net Investment Income (1.431) (1.438) (1.167) (.594)
Distributions from Realized Capital Gains — — — —
Total Distributions (1.431) (1.438) (1.167) (.594)
Net Asset Value, End of Period $110.02 $89.32 $86.44 $78.25
Total Return 24.89% 5.38% 12.14% 5.09%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $51 $40 $41 $16
Ratio of Total Expenses to Average Net Assets 0.13% 0.13% 0.14%3 0.13%4,5
Ratio of Net Investment Income to Average Net Assets 1.28% 1.83% 1.62% 1.58%4
Portfolio Turnover Rate 64%6 54%6 49% 20%
1 Inception.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%.
4 Annualized.
5 The ratio of total expenses to average net assets before an expense reduction of 0.02% was 0.15%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard.
6 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.
19
U.S. Liquidity Factor ETF
Notes to Financial Statements
Vanguard U.S. Liquidity Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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.
20
U.S. Liquidity Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
21
U.S. Liquidity Factor ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $2,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of November 30, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 50,899 — 15 50,914
Temporary Cash Investments 188 — — 188
Total 51,087 — 15 51,102
Derivative Financial Instruments         
Assets        
Futures Contracts1 2 — — 2
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
22
U.S. Liquidity Factor ETF
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 337
Total Distributable Earnings (Loss) (337)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; the recognition of unrealized gains from passive foreign investment companies; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 153
Undistributed Long-Term Gains —
Capital Loss Carryforwards (1,086)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 12,669
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 661 690
Long-Term Capital Gains — —
Total 661 690
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 38,432
Gross Unrealized Appreciation 14,230
Gross Unrealized Depreciation (1,561)
Net Unrealized Appreciation (Depreciation) 12,669
23
U.S. Liquidity Factor ETF
E. During the year ended November 30, 2021, the fund purchased $33,968,000 of investment securities and sold $32,426,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $1,081,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 60 25
Issued in Lieu of Cash Distributions — —
Redeemed (45) (50)
Net Increase (Decrease) in Shares Outstanding 15 (25)
At November 30, 2021, one shareholder, a subsidiary of Vanguard, was the record or beneficial owner of 46% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
24
U.S. Minimum Volatility 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. Minimum Volatility ETF Net Asset Value 17.22% 10.27% $14,491
  U.S. Minimum Volatility ETF Market Price 17.21 10.27 14,490
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. Minimum Volatility ETF Market Price 17.21% 44.90%
U.S. Minimum Volatility ETF Net Asset Value 17.22 44.91
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.
25
U.S. Minimum Volatility ETF
Fund Allocation
As of November 30, 2021
Basic Materials 1.8%
Consumer Discretionary 12.7
Consumer Staples 6.9
Energy 1.9
Financials 9.1
Health Care 17.2
Industrials 7.2
Real Estate 1.5
Technology 23.9
Telecommunications 8.8
Utilities 9.0
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.
26
U.S. Minimum Volatility 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 (1.8%)
  Newmont Corp.  8,236      452
  Fastenal Co.  4,340      257
  Balchem Corp.    786      124
           833
Consumer Discretionary (12.7%)
  Costco Wholesale Corp.  1,547      834
  Dollar General Corp.  3,341      739
  Service Corp. International 10,111      669
* Amazon.com Inc.    189      663
  Walmart Inc.  4,295      604
  Electronic Arts Inc.  4,768      592
  Domino's Pizza Inc.  1,076      564
* Walt Disney Co.  1,872      271
* Terminix Global Holdings Inc.  6,395      239
  Target Corp.    937      228
  Murphy USA Inc.    783      136
  Laureate Education Inc. Class A 13,474      135
* Madison Square Garden Sports Corp.    545       94
* QuinStreet Inc.  6,132       94
  Hasbro Inc.    745       72
* Dollar Tree Inc.    184       25
         5,959
Consumer Staples (6.9%)
  Procter & Gamble Co.  5,059      731
  Hershey Co.  3,645      647
  Flowers Foods Inc. 24,762      639
  Colgate-Palmolive Co.  5,196      390
  Mondelez International Inc. Class A  5,089      300
  Church & Dwight Co. Inc.  2,909      260
  Hormel Foods Corp.  5,462      226
  Lancaster Colony Corp.    375       55
  John B Sanfilippo & Son Inc.    117       10
         3,258
Energy (1.9%)
  Williams Cos. Inc. 28,567      766
  Cheniere Energy Inc.  1,270      133
           899
Financials (9.1%)
  Marsh & McLennan Cos. Inc.  4,806      788
  Intercontinental Exchange Inc.  5,945      777
  Broadridge Financial Solutions Inc.  3,094      522
  CME Group Inc.  1,847      407
    Shares Market
Value•

($000)
* Columbia Financial Inc. 21,545      393
  Waterstone Financial Inc. 18,268      379
  Stock Yards Bancorp Inc.  4,179      250
  Houlihan Lokey Inc. Class A  1,576      171
  Westamerica BanCorp.  2,915      157
  Arthur J Gallagher & Co.    916      149
  HarborOne Bancorp Inc.  7,498      104
  AMERISAFE Inc.  1,163       62
  Bank First Corp.    700       49
  Eastern Bankshares Inc.  1,815       37
* Blue Foundry Bancorp  1,270       18
  Hingham Institution for Savings     30       12
         4,275
Health Care (17.1%)
  Eli Lilly & Co.  3,013      747
  Gilead Sciences Inc. 10,322      711
  Cerner Corp.  9,713      684
  Johnson & Johnson  4,290      669
  Pfizer Inc. 12,443      669
  Merck & Co. Inc.  8,606      645
  Baxter International Inc.  8,416      628
* Regeneron Pharmaceuticals Inc.    984      626
  Amgen Inc.  2,896      576
* HealthStream Inc. 23,872      554
  AbbVie Inc.  3,908      451
  Becton Dickinson and Co.  1,341      318
  Danaher Corp.    955      307
  Bristol-Myers Squibb Co.  3,023      162
  Zoetis Inc.    474      105
* Veeva Systems Inc. Class A    357      101
* Vertex Pharmaceuticals Inc.    534      100
         8,053
Industrials (7.1%)
  Expeditors International of Washington Inc.  6,176      751
  Accenture plc Class A  1,553      555
  Landstar System Inc.  2,729      460
  Illinois Tool Works Inc.  1,721      400
  Jack Henry & Associates Inc.  1,965      298
  Graco Inc.  3,598      262
  Sonoco Products Co.  4,460      259
* FTI Consulting Inc.  1,019      149
  AptarGroup Inc.  1,228      147
  Toro Co.    792       80
         3,361
Real Estate (1.5%)
* Equity Commonwealth 27,855      709
27
U.S. Minimum Volatility ETF
    Shares Market
Value•

($000)
Technology (23.8%)
* Adobe Inc.  1,242      832
  Apple Inc.  4,957      819
  Microsoft Corp.  2,432      804
* Alphabet Inc. Class A    277      786
  Oracle Corp.  8,616      782
* Tyler Technologies Inc.  1,501      779
  Texas Instruments Inc.  3,765      724
* TTM Technologies Inc. 51,610      711
* Cadence Design Systems Inc.  3,581      636
* Verint Systems Inc. 11,433      544
  Intuit Inc.    817      533
  Shutterstock Inc.  3,796      433
* Meta Platforms Inc. Class A  1,225      398
* Altair Engineering Inc. Class A  5,252      391
* Super Micro Computer Inc.  9,100      377
* Black Knight Inc.  5,037      360
  Amdocs Ltd.  4,198      293
* Cirrus Logic Inc.  3,398      273
  Citrix Systems Inc.  3,273      263
* PDF Solutions Inc.  2,577       77
  Dolby Laboratories Inc. Class A    856       71
  Analog Devices Inc.    361       65
* Dell Technologies Inc. Class C  1,121       63
  VMware Inc. Class A    493       58
  American Software Inc. Class A  2,452       56
* Rambus Inc.  1,834       49
  NortonLifeLock Inc.  1,606       40
  Intel Corp.    246       12
        11,229
Telecommunications (8.7%)
  Verizon Communications Inc. 15,024      755
* T-Mobile US Inc.  6,689      728
  AT&T Inc. 30,117      688
* Charter Communications Inc. Class A    751      485
  Comcast Corp. Class A  8,090      404
  Cable One Inc.    219      388
* Liberty Broadband Corp. Class A  2,152      326
  Cisco Systems Inc.  3,774      207
* Liberty Broadband Corp. Class C    654      101
    Shares Market
Value•

($000)
  Motorola Solutions Inc.     85       22
  Shenandoah Telecommunications Co.    351        9
         4,113
Utilities (8.9%)
  Republic Services Inc. Class A  6,160      815
  Consolidated Edison Inc.  9,156      711
  WEC Energy Group Inc.  7,372      641
  American Water Works Co. Inc.  3,149      531
  Duke Energy Corp.  4,820      467
  Waste Management Inc.  1,726      277
  CMS Energy Corp.  2,331      137
  American Electric Power Co. Inc.  1,613      131
  NextEra Energy Inc.  1,339      116
  Eversource Energy  1,342      110
  Xcel Energy Inc.  1,474       94
  Ameren Corp.    770       63
  Dominion Energy Inc.    588       42
  DTE Energy Co.    320       35
  American States Water Co.    305       29
         4,199
Total Common Stocks (Cost $39,666) 46,888
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
1 Vanguard Market Liquidity Fund 0.077% (Cost $180)  1,796         179
Total Investments (99.9%) (Cost $39,846) 47,067
Other Assets and Liabilities—Net (0.1%) 62
Net Assets (100%) 47,129
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
Micro E-mini S&P 500 Index December 2021 8 183 7
  
See accompanying Notes, which are an integral part of the Financial Statements.
28
U.S. Minimum Volatility ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $39,666) 46,888
Affiliated Issuers (Cost $180) 179
Total Investments in Securities 47,067
Investment in Vanguard 2
Cash Collateral Pledged—Futures Contracts 14
Receivables for Accrued Income 52
Total Assets 47,135
Liabilities  
Payables to Vanguard 3
Variation Margin Payable—Futures Contracts 3
Total Liabilities 6
Net Assets 47,129
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 48,100
Total Distributable Earnings (Loss) (971)
Net Assets 47,129
 
Net Assets  
Applicable to 470,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		47,129
Net Asset Value Per Share $100.28
  
See accompanying Notes, which are an integral part of the Financial Statements.
29
U.S. Minimum Volatility ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends 762
Interest1 —
Securities Lending—Net 1
Total Income 763
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services —
Management and Administrative 26
Marketing and Distribution —
Custodian Fees 5
Auditing Fees 28
Shareholders’ Reports 5
Trustees’ Fees and Expenses —
Total Expenses 64
Net Investment Income 699
Realized Net Gain (Loss)  
Investment Securities Sold1,2 6,328
Futures Contracts 58
Realized Net Gain (Loss) 6,386
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 903
Futures Contracts (7)
Change in Unrealized Appreciation (Depreciation) 896
Net Increase (Decrease) in Net Assets Resulting from Operations 7,981
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $3,441,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
30
U.S. Minimum Volatility ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 699 1,847
Realized Net Gain (Loss) 6,386 (7,471)
Change in Unrealized Appreciation (Depreciation) 896 688
Net Increase (Decrease) in Net Assets Resulting from Operations 7,981 (4,936)
Distributions    
Total Distributions (905) (2,094)
Capital Share Transactions    
Issued 1,451 29,188
Issued in Lieu of Cash Distributions — —
Redeemed (18,000) (56,656)
Net Increase (Decrease) from Capital Share Transactions (16,549) (27,468)
Total Increase (Decrease) (9,473) (34,498)
Net Assets    
Beginning of Period 56,602 91,100
End of Period 47,129 56,602
  
See accompanying Notes, which are an integral part of the Financial Statements.
31
U.S. Minimum Volatility ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $87.08 $91.10 $81.69 $75.00
Investment Operations        
Net Investment Income2 1.374 1.779 2.632 1.887
Net Realized and Unrealized Gain (Loss) on Investments 13.497 (3.776) 8.996 5.677
Total from Investment Operations 14.871 (1.997) 11.628 7.564
Distributions        
Dividends from Net Investment Income (1.671) (2.023) (2.218) (.874)
Distributions from Realized Capital Gains — — — —
Total Distributions (1.671) (2.023) (2.218) (.874)
Net Asset Value, End of Period $100.28 $87.08 $91.10 $81.69
Total Return 17.22% -1.99% 14.58% 10.07%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $47 $57 $91 $22
Ratio of Total Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13%3
Ratio of Net Investment Income to Average Net Assets 1.43% 2.14% 3.05% 2.90%3
Portfolio Turnover Rate 46%4 83%4 23% 5%
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
32
U.S. Minimum Volatility ETF
Notes to Financial Statements
Vanguard U.S. Minimum Volatility ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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.
33
U.S. Minimum Volatility ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
34
U.S. Minimum Volatility ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $2,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At November 30, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 3,441
Total Distributable Earnings (Loss) (3,441)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales and the recognition
35
U.S. Minimum Volatility ETF
of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 131
Undistributed Long-Term Gains —
Capital Loss Carryforwards (8,322)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 7,220
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 905 2,094
Long-Term Capital Gains — —
Total 905 2,094
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 39,847
Gross Unrealized Appreciation 8,693
Gross Unrealized Depreciation (1,473)
Net Unrealized Appreciation (Depreciation) 7,220
E. During the year ended November 30, 2021, the fund purchased $24,805,000 of investment securities and sold $40,427,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $17,977,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 15 350
Issued in Lieu of Cash Distributions — —
Redeemed (195) (700)
Net Increase (Decrease) in Shares Outstanding (180) (350)
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
36
U.S. Momentum 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. Momentum Factor ETF Net Asset Value 25.01% 16.99% $18,140
  U.S. Momentum Factor ETF Market Price 24.99 16.99 18,140
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. Momentum Factor ETF Market Price 24.99% 81.40%
U.S. Momentum Factor ETF Net Asset Value 25.01 81.40
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.
37
U.S. Momentum Factor ETF
Fund Allocation
As of November 30, 2021
Basic Materials 3.6%
Consumer Discretionary 14.4
Consumer Staples 1.8
Energy 11.6
Financials 22.5
Health Care 16.0
Industrials 14.1
Real Estate 0.7
Technology 13.2
Telecommunications 1.6
Utilities 0.5
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.
38
U.S. Momentum 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 (3.5%)
  Nucor Corp.   7,952      845
  Steel Dynamics Inc.  13,050      780
  Olin Corp.   9,136      497
  Albemarle Corp.   1,657      442
  Ryerson Holding Corp.  12,918      303
* TimkenSteel Corp.  20,561      294
  Mosaic Co.   8,164      279
  Verso Corp. Class A  13,057      276
  AdvanSix Inc.   6,056      274
  Avery Dennison Corp.   1,326      272
  Schnitzer Steel Industries Inc. Class A   5,465      263
* Intrepid Potash Inc.   5,699      234
*,1 Meta Materials Inc.  57,033      209
* Energy Fuels Inc.  23,908      208
* Cleveland-Cliffs Inc.   8,356      170
* Ur-Energy Inc. 112,849      168
* Uranium Energy Corp.  37,067      145
  Freeport-McMoRan Inc.   3,862      143
  Southern Copper Corp.   2,301      135
  US Steel Corp.   5,668      128
  Tronox Holdings plc Class A   5,639      124
  CF Industries Holdings Inc.   1,813      110
  Chemours Co.   2,543       76
  Hecla Mining Co.  12,473       69
* Amyris Inc.   9,356       64
  Celanese Corp. Class A     355       54
  Commercial Metals Co.   1,709       53
  Scotts Miracle-Gro Co.     349       51
  Valvoline Inc.   1,173       40
  Balchem Corp.     242       38
  Olympic Steel Inc.   1,449       30
         6,774
Consumer Discretionary (14.3%)
* Tesla Inc.   1,411    1,615
  Target Corp.   6,224    1,518
  Ford Motor Co.  69,240    1,329
  eBay Inc.  12,724      858
* Chipotle Mexican Grill Inc. Class A     476      782
  Macy's Inc.  22,775      649
* Avis Budget Group Inc.   2,317      636
* Crocs Inc.   3,594      590
  Interpublic Group of Cos. Inc.  17,585      584
  Lowe's Cos. Inc.   2,079      509
    Shares Market
Value•

($000)
  Tempur Sealy International Inc.  11,169      479
  Dick's Sporting Goods Inc.   3,619      425
* Boot Barn Holdings Inc.   3,456      423
  H&R Block Inc.  16,108      381
  Bath & Body Works Inc.   5,023      377
  AMERCO     527      371
  MGM Resorts International   9,231      365
  Estee Lauder Cos. Inc. Class A   1,063      353
* AutoNation Inc.   2,807      348
* RH     550      321
* Scientific Games Corp. Class A   4,972      318
  Costco Wholesale Corp.     568      306
* Caesars Entertainment Inc.   3,385      305
* Etsy Inc.   1,108      304
  Williams-Sonoma Inc.   1,546      301
* Genesco Inc.   4,404      278
  Signet Jewelers Ltd.   2,793      271
  Dillard's Inc. Class A     983      269
  Clarus Corp.   9,884      261
* Houghton Mifflin Harcourt Co.  16,757      261
* Boyd Gaming Corp.   4,442      260
* Chico's FAS Inc.  43,536      249
  Movado Group Inc.   5,432      244
  Shoe Carnival Inc.   6,186      242
* Thryv Holdings Inc.   6,140      240
* BJ's Wholesale Club Holdings Inc.   3,618      239
* Golden Entertainment Inc.   5,141      236
* Revolve Group Inc.   2,899      221
* Liquidity Services Inc.   9,692      220
  RCI Hospitality Holdings Inc.   3,458      219
  Entravision Communications Corp. Class A  28,940      215
* iHeartMedia Inc. Class A  10,817      212
* Trade Desk Inc. Class A   2,018      209
* Carvana Co. Class A     732      205
  Fox Corp. Class A   5,563      199
* Capri Holdings Ltd.   3,257      193
  Papa John's International Inc.   1,556      190
* SiteOne Landscape Supply Inc.     755      181
  International Game Technology plc   6,665      180
  A-Mark Precious Metals Inc.   2,585      179
* Clear Channel Outdoor Holdings Inc.  57,416      176
  Scholastic Corp.   4,674      176
39
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
* Gannett Co. Inc.  32,686      167
  Dollar General Corp.     734      162
* Full House Resorts Inc.  18,110      162
* Citi Trends Inc.   1,888      160
* Conn's Inc.   7,239      158
1 Big 5 Sporting Goods Corp.   6,002      142
* O'Reilly Automotive Inc.     222      142
* Lovesac Co.   2,229      141
* Everi Holdings Inc.   6,728      140
* Deckers Outdoor Corp.     327      133
* AutoZone Inc.      72      131
* Dave & Buster's Entertainment Inc.   4,029      131
  Cato Corp. Class A   7,915      130
  Carriage Services Inc. Class A   2,497      129
  Red Rock Resorts Inc. Class A   2,691      128
* YETI Holdings Inc.   1,348      124
* Hovnanian Enterprises Inc. Class A   1,279      122
* General Motors Co.   2,077      120
* Floor & Decor Holdings Inc. Class A     909      117
  Caleres Inc.   4,921      116
* Barnes & Noble Education Inc.  15,811      111
* Century Casinos Inc.   8,222      107
* Lululemon Athletica Inc.     236      107
* Children's Place Inc.   1,193      103
  Hibbett Inc.   1,304      102
  Toll Brothers Inc.   1,607      102
* XPEL Inc.   1,414      102
* Mattel Inc.   4,756      101
  Camping World Holdings Inc. Class A   2,258       99
* MarineMax Inc.   1,830       98
  Nexstar Media Group Inc. Class A     653       98
  Century Communities Inc.   1,355       96
  Thor Industries Inc.     838       89
  Pool Corp.     158       88
  Global Industrial Co.   2,173       87
* Turtle Beach Corp.   3,040       82
* Penn National Gaming Inc.   1,545       79
  John Wiley & Sons Inc. Class A   1,503       78
* Monarch Casino & Resort Inc.   1,117       75
  Franchise Group Inc.   1,545       74
* Fox Factory Holding Corp.     417       73
* Clean Energy Fuels Corp.  10,006       72
* Master Craft Boat Holdings Inc.   2,592       71
  Lennar Corp. Class A     666       70
  Hanesbrands Inc.   4,271       69
  Buckle Inc.   1,441       68
  Activision Blizzard Inc.   1,149       67
* Green Brick Partners Inc.   2,664       66
  Winnebago Industries Inc.     902       65
  Rocky Brands Inc.   1,767       63
* Bally's Corp.   1,615       62
* National Vision Holdings Inc.   1,229       59
  Tractor Supply Co.     263       59
* SeaWorld Entertainment Inc.     975       58
* Wayfair Inc. Class A     234       58
  Interface Inc. Class A   4,017       57
  Churchill Downs Inc.     250       56
* ODP Corp.   1,483       56
    Shares Market
Value•

($000)
* LGI Homes Inc.     370       53
* Malibu Boats Inc. Class A     768       53
* Abercrombie & Fitch Co. Class A   1,423       51
  Group 1 Automotive Inc.     260       51
  KB Home   1,280       51
  Kontoor Brands Inc.     951       51
* Coty Inc. Class A   5,172       50
* M/I Homes Inc.     901       50
  Best Buy Co. Inc.     440       47
* Fossil Group Inc.   3,894       47
* Tri Pointe Homes Inc.   1,726       43
* Duluth Holdings Inc. Class B   2,995       42
* AMMO Inc.   6,745       42
* Meritage Homes Corp.     360       41
* Academy Sports & Outdoors Inc.     923       41
* Adient plc     939       40
* Five Below Inc.     191       39
* Sonos Inc.   1,157       37
* Entercom Communications Corp. Class A  14,832       37
* Mesa Air Group Inc.   4,892       35
  Qurate Retail Inc. Series A   4,347       35
  Haverty Furniture Cos. Inc.   1,149       34
  Lithia Motors Inc. Class A     117       34
* CarParts.com Inc.   2,470       31
* Party City Holdco Inc.   5,245       29
        27,318
Consumer Staples (1.8%)
  Albertsons Cos. Inc. Class A  15,228      536
  Philip Morris International Inc.   5,007      430
  Ingles Markets Inc. Class A   5,184      398
* United Natural Foods Inc.   7,184      357
  Coca-Cola Consolidated Inc.     414      236
* Celsius Holdings Inc.   3,308      226
* Pilgrim's Pride Corp.   7,443      209
* Beauty Health Co.   4,871      127
* Hostess Brands Inc. Class A   7,437      126
* PLBY Group Inc.   3,187      122
* Freshpet Inc.     852       92
  National Beverage Corp.   1,681       87
  MGP Ingredients Inc.   1,043       81
* Whole Earth Brands Inc.   6,169       65
* 22nd Century Group Inc.  24,075       61
  Medifast Inc.     282       58
  Fresh Del Monte Produce Inc.   2,157       54
  Bunge Ltd.     531       46
* Hain Celestial Group Inc.   1,135       45
* Darling Ingredients Inc.     475       32
         3,388
Energy (11.5%)
  ConocoPhillips  24,491    1,718
  EOG Resources Inc.  18,538    1,613
  Schlumberger NV  40,180    1,152
  Exxon Mobil Corp.  16,598      993
  Targa Resources Corp.  15,455      798
  ONEOK Inc.  12,316      737
  Devon Energy Corp.  16,313      686
  Cheniere Energy Inc.   6,224      652
  Williams Cos. Inc.  18,991      509
* Denbury Inc.   6,042      481
  Diamondback Energy Inc.   4,303      459
  Ovintiv Inc. (XNYS)  12,077      420
  Continental Resources Inc.   9,277      411
 
40
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
  Pioneer Natural Resources Co.   2,173      387
* Enphase Energy Inc.   1,494      374
  Occidental Petroleum Corp.  12,025      357
* Range Resources Corp.  17,608      344
  Marathon Oil Corp.  21,929      340
  Marathon Petroleum Corp.   5,467      333
* Antero Resources Corp.  18,420      323
  Civitas Resources Inc.   5,529      283
  SM Energy Co.   9,648      280
  Northern Oil and Gas Inc.  12,871      262
  Murphy Oil Corp.   9,729      259
  Patterson-UTI Energy Inc.  36,618      259
* Aemetis Inc.  13,015      244
* Peabody Energy Corp.  24,510      244
  Baker Hughes Co. Class A  10,337      241
  Arch Resources Inc.   2,906      225
  Matador Resources Co.   5,713      224
* Whiting Petroleum Corp.   3,443      223
* CONSOL Energy Inc.   9,952      218
* ChampionX Corp.  10,472      214
  Oasis Petroleum Inc.   1,748      210
* Nabors Industries Ltd. (XNYS)   2,569      209
  Brigham Minerals Inc. Class A   9,949      207
* Centrus Energy Corp. Class A   3,734      207
  Altus Midstream Co. Class A   3,249      206
* Callon Petroleum Co.   4,048      206
  Antero Midstream Corp.  19,718      191
* Laredo Petroleum Inc.   3,233      190
  APA Corp.   7,123      184
  California Resources Corp.   4,537      177
* Earthstone Energy Inc. Class A  17,164      175
  PDC Energy Inc.   3,452      174
  Magnolia Oil & Gas Corp. Class A   9,052      172
* Centennial Resource Development Inc. Class A  27,147      169
* Tellurian Inc.  51,618      168
* Plug Power Inc.   4,197      167
* Comstock Resources Inc.  20,180      163
* W&T Offshore Inc.  46,379      160
* TETRA Technologies Inc.  60,958      159
  Hess Corp.   2,108      157
  Berry Corp.  19,029      155
  Cactus Inc. Class A   4,080      149
* Newpark Resources Inc.  50,914      139
  Helmerich & Payne Inc.   5,961      134
* Ameresco Inc. Class A   1,334      121
* Green Plains Inc.   2,989      116
* Oceaneering International Inc.  10,689      114
* Southwestern Energy Co.  25,243      113
  Halliburton Co.   4,939      107
* Contango Oil & Gas Co.  30,529      106
* NexTier Oilfield Solutions Inc.  27,455       99
* Oil States International Inc.  19,439       98
* Gevo Inc.  16,343       94
* RPC Inc.  22,858       92
* FTS International Inc. Class A   3,438       91
* FuelCell Energy Inc.  10,168       88
  Equitrans Midstream Corp.   8,733       84
* National Energy Services Reunited Corp.   6,569       65
* SunPower Corp.   1,805       52
* Renewable Energy Group Inc.     785       38
  Coterra Energy Inc.   1,693       34
    Shares Market
Value•

($000)
* Liberty Oilfield Services Inc. Class A   3,091       28
        22,031
Financials (22.4%)
  Blackstone Inc.  14,215    2,011
  Morgan Stanley  19,872    1,884
  Charles Schwab Corp.  23,445    1,814
  Wells Fargo & Co.  37,624    1,798
  American Financial Group Inc.  12,744    1,703
  American International Group Inc.  30,264    1,592
  PNC Financial Services Group Inc.   7,336    1,445
  MSCI Inc. Class A   2,129    1,340
  Goldman Sachs Group Inc.   3,014    1,148
  Pinnacle Financial Partners Inc.  11,270    1,075
  T Rowe Price Group Inc.   5,367    1,073
  ServisFirst Bancshares Inc.  13,107    1,054
  Aon plc Class A (XNYS)   3,264      965
  Hartford Financial Services Group Inc.  12,594      832
  First Republic Bank   3,871      812
* Customers Bancorp Inc.  12,703      732
  Berkshire Hills Bancorp Inc.  26,550      709
  Western Alliance Bancorp   5,815      638
  Signature Bank   2,063      624
* SVB Financial Group     844      584
  Ally Financial Inc.  12,477      572
  Marsh & McLennan Cos. Inc.   3,378      554
* Credit Acceptance Corp.     863      539
  Old Republic International Corp.  20,127      482
  Affiliated Managers Group Inc.   2,716      462
  Bank OZK   9,989      447
  Nasdaq Inc.   2,140      435
  Comerica Inc.   5,036      416
  Citizens Financial Group Inc.   8,386      396
  Chubb Ltd.   2,144      385
  Invesco Ltd.  16,901      377
* Silvergate Capital Corp. Class A   1,820      372
* Bancorp Inc.  12,746      360
  HCI Group Inc.   3,253      359
  East West Bancorp Inc.   4,627      356
  PacWest Bancorp   7,959      356
  Bank of America Corp.   7,964      354
  Bank of New York Mellon Corp.   6,277      344
  Evercore Inc. Class A   2,478      344
  Flushing Financial Corp.  14,516      343
  Assured Guaranty Ltd.   6,699      328
  KKR & Co. Inc.   4,372      325
* Triumph Bancorp Inc.   2,407      307
* Encore Capital Group Inc.   5,212      304
  Navient Corp.  15,386      304
  UMB Financial Corp.   2,912      293
  Jefferies Financial Group Inc.   7,762      292
  Eagle Bancorp Inc.   4,787      270
  BlackRock Inc.     296      268
  Meta Financial Group Inc.   4,471      267
* LendingClub Corp.   8,144      266
* Marathon Digital Holdings Inc.   5,147      263
  Northfield Bancorp Inc.  14,771      249
* World Acceptance Corp.   1,201      247
 
41
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
  Cullen/Frost Bankers Inc.   1,924      242
  Janus Henderson Group plc   5,632      241
* Metropolitan Bank Holding Corp.   2,312      219
* MBIA Inc.  18,497      218
  Live Oak Bancshares Inc.   2,393      213
  Towne Bank   6,902      211
  Discover Financial Services   1,950      210
  Tradeweb Markets Inc. Class A   2,159      207
  Prudential Financial Inc.   1,863      191
* EZCorp. Inc. Class A  25,487      189
  Hancock Whitney Corp.   3,906      187
  Regional Management Corp.   3,255      184
* Enova International Inc.   4,263      163
  ConnectOne Bancorp Inc.   4,941      161
  Raymond James Financial Inc.   1,621      159
  BankUnited Inc.   3,943      156
  Byline Bancorp Inc.   6,017      156
  Hanmi Financial Corp.   6,756      152
  Sculptor Capital Management Inc. Class A   7,838      142
  Fifth Third Bancorp   3,309      139
  Houlihan Lokey Inc. Class A   1,216      132
  Cohen & Steers Inc.   1,438      129
  Ares Management Corp. Class A   1,577      128
  Kearny Financial Corp.   9,359      119
  Sandy Spring Bancorp Inc.   2,529      119
  Cincinnati Financial Corp.   1,021      116
  Brightsphere Investment Group Inc.   3,762      113
  Curo Group Holdings Corp.   6,543      109
  Cowen Inc. Class A   2,965      105
  First Citizens BancShares Inc. Class A     127      102
  Federal Agricultural Mortgage Corp. Class C     819      100
  Preferred Bank   1,462      100
  S&P Global Inc.     217       99
  First Bancorp (XNGS)   2,112       94
* Mr Cooper Group Inc.   2,340       92
  Central Pacific Financial Corp.   2,983       80
  Morningstar Inc.     254       79
  QCR Holdings Inc.   1,417       76
  First Financial Bancorp   3,250       75
  Dime Community Bancshares Inc.   2,193       75
  Arthur J Gallagher & Co.     452       74
  Goosehead Insurance Inc. Class A     556       73
  Carlyle Group Inc.   1,270       69
  Kinsale Capital Group Inc.     320       67
  PennyMac Financial Services Inc.     923       58
  MetLife Inc.     964       57
  Hamilton Lane Inc. Class A     529       56
  JPMorgan Chase & Co.     355       56
  HarborOne Bancorp Inc.   3,948       55
  OneMain Holdings Inc.   1,070       53
  US Bancorp     966       53
  Univest Financial Corp.   1,923       53
  Intercontinental Exchange Inc.     378       49
  B Riley Financial Inc.     592       46
  Origin Bancorp Inc.   1,067       45
    Shares Market
Value•

($000)
  Virtus Investment Partners Inc.     134       40
  SLM Corp.   2,074       37
  FirstCash Inc.     435       28
        42,820
Health Care (16.0%)
* Moderna Inc.   7,644    2,694
  HCA Healthcare Inc.   8,128    1,834
  Eli Lilly & Co.   6,083    1,509
* DexCom Inc.   2,554    1,437
  Bruker Corp.   9,817      795
* IDEXX Laboratories Inc.   1,296      788
  Danaher Corp.   2,216      713
* Edwards Lifesciences Corp.   5,659      607
* Shockwave Medical Inc.   3,343      603
* Repligen Corp.   1,960      562
* Inotiv Inc.  10,296      535
* Tenet Healthcare Corp.   6,918      504
* Prestige Consumer Healthcare Inc.   8,305      465
* OptimizeRx Corp.   6,566      427
* Omnicell Inc.   2,332      413
  Agilent Technologies Inc.   2,481      374
* Align Technology Inc.     590      361
* Intellia Therapeutics Inc.   3,114      358
  Pfizer Inc.   6,612      355
* Biohaven Pharmaceutical Holding Co. Ltd.   3,090      347
* CorVel Corp.   1,753      330
* Apollo Medical Holdings Inc.   3,123      293
*,1 Senseonics Holdings Inc.  92,186      289
  Bio-Techne Corp.     610      288
* Avantor Inc.   7,125      281
* Horizon Therapeutics plc   2,595      269
* Laboratory Corp. of America Holdings     923      263
  ResMed Inc.     992      253
* Joint Corp.   3,111      249
* IQVIA Holdings Inc.     947      245
* Cerevel Therapeutics Holdings Inc.   7,846      245
* Avid Bioservices Inc.   7,912      242
* Zentalis Pharmaceuticals Inc.   2,955      242
* Prothena Corp. plc   4,681      235
* Charles River Laboratories International Inc.     637      233
*,1 Cassava Sciences Inc.   4,347      232
* Dynavax Technologies Corp.  14,305      231
* Anavex Life Sciences Corp.  11,870      230
* Gritstone bio Inc.  17,331      229
  Anthem Inc.     556      226
* Atossa Therapeutics Inc.  97,060      220
* Innoviva Inc.  12,681      212
* Celldex Therapeutics Inc.   5,489      209
* Oramed Pharmaceuticals Inc.  10,361      199
* BioCryst Pharmaceuticals Inc.  16,360      197
* Intuitive Surgical Inc.     606      197
* Ocugen Inc.  30,814      195
* AngioDynamics Inc.   7,168      185
* Acadia Healthcare Co. Inc.   3,141      176
* Surgery Partners Inc.   3,944      175
* IVERIC bio Inc.  11,868      173
  West Pharmaceutical Services Inc.     384      170
* Morphic Holding Inc.   3,536      169
  Owens & Minor Inc.   4,115      165
* Varex Imaging Corp.   5,721      163
 
42
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
* EyePoint Pharmaceuticals Inc.  10,249      162
* Arvinas Inc.   1,950      147
* Alnylam Pharmaceuticals Inc.     785      144
*,1 Cortexyme Inc.  10,990      143
* PAVmed Inc.  38,559      141
* Cytokinetics Inc.   3,541      139
* Novavax Inc.     665      139
* Fulgent Genetics Inc.   1,491      139
* Brooklyn ImmunoTherapeutics Inc.  23,288      139
* Fulcrum Therapeutics Inc.   9,533      138
* Enanta Pharmaceuticals Inc.   1,557      137
* Lexicon Pharmaceuticals Inc.  29,980      137
* Lantheus Holdings Inc.   4,987      134
* STAAR Surgical Co.   1,397      133
* Asensus Surgical Inc.  97,419      131
  Select Medical Holdings Corp.   4,675      126
* Veeva Systems Inc. Class A     440      124
* Evolent Health Inc. Class A   4,625      120
*,1 Greenwich Lifesciences Inc.   3,745      118
* Curis Inc.  23,703      116
* ViewRay Inc.  22,597      116
* DaVita Inc.   1,221      115
*,1 Citius Pharmaceuticals Inc.  67,528      114
* Inspire Medical Systems Inc.     506      113
* Intra-Cellular Therapies Inc.   2,780      113
* VistaGen Therapeutics Inc.  58,490      113
* Natera Inc.   1,165      107
* Beam Therapeutics Inc.   1,322      105
* Catalent Inc.     810      104
* Alkermes plc   4,624      101
* MannKind Corp.  21,693      100
* Aclaris Therapeutics Inc.   7,632       98
* Tandem Diabetes Care Inc.     734       94
* Community Health Systems Inc.   7,759       93
* Insulet Corp.     323       93
* Fate Therapeutics Inc.   1,658       91
* Inhibrx Inc.   2,199       89
  LeMaitre Vascular Inc.   1,861       87
* Heska Corp.     521       84
* Ideaya Biosciences Inc.   3,714       82
* Myriad Genetics Inc.   3,116       81
* Pacific Biosciences of California Inc.   3,450       80
* Alector Inc.   3,610       75
* Masimo Corp.     266       74
* Twist Bioscience Corp.     772       74
* Brookdale Senior Living Inc.  12,205       71
* Rigel Pharmaceuticals Inc.  24,604       66
* Kodiak Sciences Inc.     695       64
* AtriCure Inc.     998       63
* R1 RCM Inc.   2,602       62
* RadNet Inc.   2,275       61
* Affimed NV   8,913       61
* MEDNAX Inc.   2,329       57
* Medpace Holdings Inc.     270       56
* Outlook Therapeutics Inc.  37,327       56
* Castle Biosciences Inc.   1,298       54
* SpringWorks Therapeutics Inc.     727       52
* Meridian Bioscience Inc.   2,545       51
* Penumbra Inc.     204       50
* United Therapeutics Corp.     266       50
  Zoetis Inc.     225       50
* ImmunoGen Inc.   7,737       48
    Shares Market
Value•

($000)
* Rubius Therapeutics Inc.   3,708       46
* Veracyte Inc.   1,112       46
* Novocure Ltd.     489       46
*,1 Retractable Technologies Inc.   5,156       45
  STERIS plc     199       43
* HealthStream Inc.   1,796       42
* Crinetics Pharmaceuticals Inc.   1,492       41
* TG Therapeutics Inc.   2,650       40
  Thermo Fisher Scientific Inc.      63       40
* Option Care Health Inc.   1,565       40
  Abbott Laboratories     299       38
* Quanterix Corp.     962       38
* LHC Group Inc.     327       37
* Verastem Inc.  13,868       37
* Ampio Pharmaceuticals Inc.  31,519       36
* Marinus Pharmaceuticals Inc.   3,223       36
* Lineage Cell Therapeutics Inc.  15,558       35
* Cutera Inc.     879       31
* Vericel Corp.     811       30
* ClearPoint Neuro Inc.   2,176       30
* Seelos Therapeutics Inc.  16,831       29
        30,472
Industrials (14.1%)
  Johnson Controls International plc  33,706    2,520
  Capital One Financial Corp.  11,918    1,675
  Carrier Global Corp.  18,163      983
  Deere & Co.   2,619      905
  Eaton Corp. plc   4,462      723
  Automatic Data Processing Inc.   3,113      719
* Square Inc. Class A   3,161      659
  American Express Co.   4,123      628
  General Electric Co.   5,344      508
* Waters Corp.   1,484      487
  Eagle Materials Inc.   3,024      466
  Equifax Inc.   1,658      462
* Generac Holdings Inc.   1,057      445
* Cross Country Healthcare Inc.  16,571      433
* PayPal Holdings Inc.   2,256      417
  Zurn Water Solutions Corp.  11,855      415
  Northrop Grumman Corp.   1,128      393
* Veritiv Corp.   2,997      378
* AMN Healthcare Services Inc.   3,303      377
* Bill.Com Holdings Inc.   1,339      376
* Aspen Aerogels Inc.   6,279      359
* Chart Industries Inc.   2,003      350
  United Parcel Service Inc. Class B   1,722      342
  nVent Electric plc   9,127      318
  General Dynamics Corp.   1,678      317
* WESCO International Inc.   2,557      317
  Pentair plc   4,242      313
  Sealed Air Corp.   4,928      306
  Watts Water Technologies Inc. Class A   1,619      306
* Atkore Inc.   2,817      300
* Donnelley Financial Solutions Inc.   6,315      295
  Robert Half International Inc.   2,646      294
* Trex Co. Inc.   2,131      283
  CRA International Inc.   3,030      279
  Acuity Brands Inc.   1,312      264
  Quanta Services Inc.   2,227      253
  Synchrony Financial   5,602      251
  Herc Holdings Inc.   1,404      239
* Safe Bulkers Inc.  65,656      238
 
43
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
  Accenture plc Class A     659      236
  Genco Shipping & Trading Ltd.  14,794      228
* Ranpak Holdings Corp. Class A   5,613      222
  Norfolk Southern Corp.     828      220
* MYR Group Inc.   1,959      217
  Shyft Group Inc.   4,309      209
  EnPro Industries Inc.   1,978      202
* BlueLinx Holdings Inc.   2,534      179
  Eagle Bulk Shipping Inc.   4,428      177
  Korn Ferry   2,392      174
  Regal Rexnord Corp.   1,084      171
* TopBuild Corp.     622      168
* Atlanticus Holdings Corp.   2,679      159
  Helios Technologies Inc.   1,577      158
  Costamare Inc.  12,930      155
  Valmont Industries Inc.     638      152
  Carlisle Cos. Inc.     662      149
  Kforce Inc.   1,944      149
  Fortune Brands Home & Security Inc.   1,354      136
* Saia Inc.     410      136
* ExlService Holdings Inc.   1,039      135
* Keysight Technologies Inc.     694      135
  Old Dominion Freight Line Inc.     375      133
  Textron Inc.   1,831      130
  Kadant Inc.     479      112
  ArcBest Corp.   1,074      111
  Heidrick & Struggles International Inc.   2,516      109
  Trane Technologies plc     585      109
* NV5 Global Inc.     822      108
  Advanced Drainage Systems Inc.     846      105
* Middleby Corp.     591      103
* Textainer Group Holdings Ltd.   3,137      102
* Builders FirstSource Inc.   1,450      101
  Greenbrier Cos. Inc.   2,493      100
  Maxar Technologies Inc.   3,610       99
* CryoPort Inc.   1,475       98
* Axon Enterprise Inc.     562       95
  AGCO Corp.     751       83
* Paylocity Holding Corp.     317       80
* Cornerstone Building Brands Inc.   4,859       76
* Energy Recovery Inc.   3,545       75
  Ryder System Inc.     877       73
* XPO Logistics Inc.     992       72
* API Group Corp.   3,078       72
* Masonite International Corp.     655       70
* MasTec Inc.     764       70
  Cintas Corp.     162       68
  Mastercard Inc. Class A     214       67
  Pitney Bowes Inc.   9,481       65
  Installed Building Products Inc.     488       63
* Triumph Group Inc.   3,400       57
  Brunswick Corp.     597       56
  MKS Instruments Inc.     359       55
* TrueBlue Inc.   2,130       55
* Construction Partners Inc. Class A   1,466       51
  EMCOR Group Inc.     428       51
* Resideo Technologies Inc.   1,918       50
  Franklin Electric Co. Inc.     535       47
    Shares Market
Value•

($000)
* Montrose Environmental Group Inc.     642       47
* Titan Machinery Inc.   1,346       45
* Mohawk Industries Inc.     262       44
  Patrick Industries Inc.     558       44
  Exponent Inc.     353       41
* Zebra Technologies Corp. Class A      70       41
* Titan International Inc.   5,223       36
* Teekay Corp.  10,401       35
  Cognex Corp.     429       33
* Commercial Vehicle Group Inc.   3,666       31
* GreenBox POS   5,490       29
        26,857
Real Estate (0.7%)
* Jones Lang LaSalle Inc.   2,528      594
  Newmark Group Inc. Class A  13,001      209
* Radius Global Infrastructure Inc. Class A (XNMS)   8,491      140
  eXp World Holdings Inc.   2,495       92
* Redfin Corp.   2,073       84
* Zillow Group Inc. Class C   1,287       70
* CoStar Group Inc.     736       57
* Realogy Holdings Corp.   3,022       46
* CBRE Group Inc. Class A     400       38
         1,330
Technology (13.1%)
  Oracle Corp.  20,146    1,828
  NVIDIA Corp.   4,728    1,545
* Alphabet Inc. Class C     468    1,333
  Microsoft Corp.   3,682    1,217
  Intuit Inc.   1,844    1,203
  Apple Inc.   6,181    1,022
* Alphabet Inc. Class A     312      885
  Applied Materials Inc.   4,819      709
* Synaptics Inc.   2,371      669
* Fortinet Inc.   1,943      645
* Atlassian Corp. plc Class A   1,712      644
* Cloudflare Inc. Class A   2,907      547
* Gartner Inc.   1,687      527
* Crowdstrike Holdings Inc. Class A   2,211      480
* Asana Inc. Class A   4,315      449
* HubSpot Inc.     535      432
* Perficient Inc.   2,959      405
* Advanced Micro Devices Inc.   2,434      385
* Palantir Technologies Inc. Class A  17,993      372
* EPAM Systems Inc.     581      354
* Rapid7 Inc.   2,715      337
* Teradata Corp.   7,692      334
  Lam Research Corp.     463      315
* Palo Alto Networks Inc.     566      310
* Workiva Inc. Class A   2,218      309
  Entegris Inc.   2,074      303
* Grid Dynamics Holdings Inc.   6,861      269
* Arrow Electronics Inc.   2,081      253
* MicroStrategy Inc. Class A     348      251
* Ziff Davis Inc.   2,167      247
* Zscaler Inc.     705      245
* MongoDB Inc. Class A     484      241
* Rimini Street Inc.  34,798      230
  NortonLifeLock Inc.   9,132      227
* Identiv Inc.   8,554      197
* Digital Turbine Inc.   3,548      188
 
44
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
* DocuSign Inc. Class A     751      185
* Dropbox Inc. Class A   6,969      171
* Datadog Inc. Class A     910      162
* SPS Commerce Inc.   1,108      156
  Teradyne Inc.   1,014      155
* Cadence Design Systems Inc.     870      154
* Ultra Clean Holdings Inc.   2,733      150
* Sitime Corp.     495      148
* Veritone Inc.   5,538      142
* MACOM Technology Solutions Holdings Inc. Class H   1,915      138
  KLA Corp.     334      136
* Globant SA     496      131
* Twitter Inc.   2,885      127
* Lattice Semiconductor Corp.   1,629      124
* 3D Systems Corp.   5,450      124
* Avid Technology Inc.   3,824      123
* Mimecast Ltd.   1,514      123
* DXC Technology Co.   4,054      122
  Monolithic Power Systems Inc.     197      109
* Box Inc. Class A   4,559      107
* FormFactor Inc.   2,473      104
  Vertiv Holdings Co. Class A   3,978      102
* IAC/InterActiveCorp.     754      101
* Paycom Software Inc.     226       99
* Atomera Inc.   4,064       98
* Coupa Software Inc.     482       95
  Shutterstock Inc.     827       94
* Sprout Social Inc. Class A     829       93
  Broadcom Inc.     154       85
* Okta Inc.     393       85
* RingCentral Inc. Class A     393       85
  Bentley Systems Inc. Class B   1,738       83
  NetApp Inc.     913       81
* Upwork Inc.   2,046       76
* Domo Inc. Class B   1,034       75
* Manhattan Associates Inc.     476       74
* Ambarella Inc.     386       69
* Qorvo Inc.     446       65
* TechTarget Inc.     674       65
* SecureWorks Corp. Class A   3,472       62
* Avaya Holdings Corp.   3,013       59
* II-VI Inc.     911       57
* Synopsys Inc.     158       54
  Skyworks Solutions Inc.     349       53
* Cerence Inc.     669       50
* Novanta Inc.     298       48
  KBR Inc.   1,052       46
* Unisys Corp.   2,526       46
* Agilysys Inc.     984       43
* CEVA Inc.     935       41
  TD SYNNEX Corp.     355       37
* Magnite Inc.   1,920       34
* LivePerson Inc.     790       30
* Everbridge Inc.     259       29
        25,012
    Shares Market
Value•

($000)
Telecommunications (1.6%)
  Cisco Systems Inc.   7,506      412
  Motorola Solutions Inc.   1,286      326
* WideOpenWest Inc.  13,361      248
* Calix Inc.   3,583      240
* Arista Networks Inc.   1,899      236
* Charter Communications Inc. Class A     351      227
* IDT Corp. Class B   3,963      215
* Anterix Inc.   3,523      212
* Extreme Networks Inc.  11,912      161
* Globalstar Inc. 104,932      146
* T-Mobile US Inc.   1,223      133
* Gogo Inc.   8,866      114
* Clearfield Inc.   1,328       86
  Ubiquiti Inc.     249       74
* Consolidated Communications Holdings Inc.   9,242       69
* Aviat Networks Inc.   1,721       54
  Cable One Inc.      27       48
* Infinera Corp.   5,709       46
* Roku Inc.     137       31
         3,078
Utilities (0.5%)
  Waste Management Inc.   5,264      846
* Evoqua Water Technologies Corp.   1,097       49
           895
Total Common Stocks (Cost $158,132) 189,975
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
2,3 Vanguard Market Liquidity Fund, 0.077% (Cost $1,908)  19,077         1,908
Total Investments (100.5%) (Cost $160,040) 191,883
Other Assets and Liabilities—Net (-0.5%) (967)
Net Assets (100%) 190,916
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 $1,042,000.
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 $1,151,000 was received for securities on loan.
 
45
U.S. Momentum Factor ETF
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index December 2021 3 685 12
Micro E-mini S&P 500 Index December 2021 4 91 4
        16
  
See accompanying Notes, which are an integral part of the Financial Statements.
46
U.S. Momentum Factor ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $158,132) 189,975
Affiliated Issuers (Cost $1,908) 1,908
Total Investments in Securities 191,883
Investment in Vanguard 6
Cash 156
Cash Collateral Pledged—Futures Contracts 46
Receivables for Accrued Income 167
Receivables for Capital Shares Issued 3,303
Total Assets 195,561
Liabilities  
Payables for Investment Securities Purchased 3,469
Collateral for Securities on Loan 1,151
Payables to Vanguard 11
Variation Margin Payable—Futures Contracts 14
Total Liabilities 4,645
Net Assets 190,916
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 163,272
Total Distributable Earnings (Loss) 27,644
Net Assets 190,916
 
Net Assets  
Applicable to 1,445,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		190,916
Net Asset Value Per Share $132.12
  
See accompanying Notes, which are an integral part of the Financial Statements.
47
U.S. Momentum Factor ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends 1,282
Interest1 —
Securities Lending—Net 29
Total Income 1,311
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 85
Management and Administrative 21
Marketing and Distribution 3
Custodian Fees 13
Auditing Fees 31
Shareholders’ Reports 5
Trustees’ Fees and Expenses —
Total Expenses 158
Net Investment Income 1,153
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (49)
Futures Contracts 96
Realized Net Gain (Loss) 47
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 16,403
Futures Contracts —
Change in Unrealized Appreciation (Depreciation) 16,403
Net Increase (Decrease) in Net Assets Resulting from Operations 17,603
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $2,683,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
48
U.S. Momentum Factor ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,153 278
Realized Net Gain (Loss) 47 4,610
Change in Unrealized Appreciation (Depreciation) 16,403 10,414
Net Increase (Decrease) in Net Assets Resulting from Operations 17,603 15,302
Distributions    
Total Distributions (717) (299)
Capital Share Transactions    
Issued 124,004 25,852
Issued in Lieu of Cash Distributions — —
Redeemed (8,454) (14,317)
Net Increase (Decrease) from Capital Share Transactions 115,550 11,535
Total Increase (Decrease) 132,436 26,538
Net Assets    
Beginning of Period 58,480 31,942
End of Period 190,916 58,480
  
See accompanying Notes, which are an integral part of the Financial Statements.
49
U.S. Momentum Factor ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $106.33 $85.18 $76.73 $75.00
Investment Operations        
Net Investment Income2 1.227 .552 .985 .538
Net Realized and Unrealized Gain (Loss) on Investments 25.325 21.279 8.336 1.489
Total from Investment Operations 26.552 21.831 9.321 2.027
Distributions        
Dividends from Net Investment Income (.762) (.681) (.871) (.297)
Distributions from Realized Capital Gains — — — —
Total Distributions (.762) (.681) (.871) (.297)
Net Asset Value, End of Period $132.12 $106.33 $85.18 $76.73
Total Return 25.01% 25.91% 12.25% 2.67%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $191 $58 $32 $33
Ratio of Total Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13%3
Ratio of Net Investment Income to Average Net Assets 0.95% 0.62% 1.24% 0.83%3
Portfolio Turnover Rate 103%4 115%4 118% 53%
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
50
U.S. Momentum Factor ETF
Notes to Financial Statements
Vanguard U.S. Momentum Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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.
51
U.S. Momentum Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
52
U.S. Momentum Factor ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $6,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At November 30, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 2,683
Total Distributable Earnings (Loss) (2,683)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of
53
U.S. Momentum Factor ETF
unrealized gains or losses from certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 523
Undistributed Long-Term Gains —
Capital Loss Carryforwards (4,512)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 31,633
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 717 299
Long-Term Capital Gains — —
Total 717 299
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 160,251
Gross Unrealized Appreciation 37,044
Gross Unrealized Depreciation (5,411)
Net Unrealized Appreciation (Depreciation) 31,633
E. During the year ended November 30, 2021, the fund purchased $248,422,000 of investment securities and sold $132,757,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $8,433,000, 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 year ended November 30, 2021, such purchases were $25,000 and sales were $0, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
54
U.S. Momentum Factor ETF
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 960 325
Issued in Lieu of Cash Distributions — —
Redeemed (65) (150)
Net Increase (Decrease) in Shares Outstanding 895 175
At November 30, 2021, one shareholder was a record or beneficial owner of 27% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
55
U.S. Multifactor 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. Multifactor ETF Net Asset Value 31.43% 10.51% $14,612
  U.S. Multifactor ETF Market Price 31.32 10.52 14,616
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. Multifactor ETF Market Price 31.32% 46.16%
U.S. Multifactor ETF Net Asset Value 31.43 46.12
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.
56
U.S. Multifactor ETF
Fund Allocation
As of November 30, 2021
Basic Materials 4.2%
Consumer Discretionary 19.0
Consumer Staples 5.9
Energy 9.1
Financials 24.6
Health Care 10.6
Industrials 16.0
Real Estate 0.1
Technology 9.2
Telecommunications 1.3
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.
57
U.S. Multifactor 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 (4.1%)
  Freeport-McMoRan Inc. 21,106      783
  Reliance Steel & Aluminum Co.  2,590      385
  Olin Corp.  6,556      356
  UFP Industries Inc.  3,831      319
  Boise Cascade Co.  4,406      286
  Southern Copper Corp.  4,184      245
  Schnitzer Steel Industries Inc. Class A  4,055      195
  Nucor Corp.  1,746      186
  Celanese Corp. Class A  1,190      180
  AdvanSix Inc.  3,926      178
  Verso Corp. Class A  8,134      172
  Steel Dynamics Inc.  2,825      169
  CF Industries Holdings Inc.  2,358      143
  Timken Co.  1,840      121
  International Paper Co.  2,467      112
  Dow Inc.  1,986      109
  Materion Corp.    917       78
  Commercial Metals Co.  2,443       75
  Stepan Co.    631       71
  US Steel Corp.  3,156       71
  Fastenal Co.  1,076       64
  Tredegar Corp.  5,775       63
  LyondellBasell Industries NV Class A    644       56
  Cabot Corp.    908       48
  Olympic Steel Inc.  2,219       45
  Valvoline Inc.  1,053       36
  Worthington Industries Inc.    551       26
         4,572
Consumer Discretionary (19.0%)
  Target Corp.  4,519    1,102
  Ford Motor Co. 34,054      653
  Lowe's Cos. Inc.  2,599      636
  Bath & Body Works Inc.  7,803      586
  eBay Inc.  8,591      580
* AutoNation Inc.  4,199      520
  Dick's Sporting Goods Inc.  4,418      519
  Dillard's Inc. Class A  1,888      517
  Williams-Sonoma Inc.  1,980      386
  Fox Corp. Class A 10,641      380
  H&R Block Inc. 15,743      373
  Macy's Inc. 12,935      369
  Hibbett Inc.  4,349      339
  Omnicom Group Inc.  4,964      334
  Movado Group Inc.  7,137      320
    Shares Market
Value•

($000)
  Signet Jewelers Ltd.  3,262      317
  Scholastic Corp.  8,407      316
* Etsy Inc.  1,115      306
  Travel + Leisure Co.  6,043      297
* Citi Trends Inc.  3,210      272
  International Game Technology plc  9,667      261
  Whirlpool Corp.  1,106      241
  Rent-A-Center Inc.  5,390      238
  Lennar Corp. Class A  2,193      230
* Crocs Inc.  1,398      229
* Abercrombie & Fitch Co. Class A  6,195      223
* Deckers Outdoor Corp.    536      217
* Liquidity Services Inc.  9,521      216
* Lululemon Athletica Inc.    453      206
* MarineMax Inc.  3,796      202
  Group 1 Automotive Inc.  1,011      197
  Buckle Inc.  4,154      195
  Hanesbrands Inc. 12,094      195
* BJ's Wholesale Club Holdings Inc.  2,904      192
  Interpublic Group of Cos. Inc.  5,662      188
* Turtle Beach Corp.  6,663      179
  Lithia Motors Inc. Class A    601      175
  Nexstar Media Group Inc. Class A  1,147      171
  Qurate Retail Inc. Series A 21,007      168
  Gentex Corp.  4,851      167
  PVH Corp.  1,504      161
* Helen of Troy Ltd.    655      158
* Sleep Number Corp.  1,903      152
  Shoe Carnival Inc.  3,830      150
  PulteGroup Inc.  2,974      149
  Lear Corp.    884      148
* O'Reilly Automotive Inc.    232      148
* Gentherm Inc.  1,622      137
  Century Communities Inc.  1,914      136
* NVR Inc.     26      136
  Sonic Automotive Inc. Class A  2,970      133
  Garmin Ltd.    985      132
* Conn's Inc.  5,895      129
* XPEL Inc.  1,784      128
  Costco Wholesale Corp.    233      126
* Malibu Boats Inc. Class A  1,801      125
  Best Buy Co. Inc.  1,111      119
  Tapestry Inc.  2,962      119
  Johnson Outdoors Inc. Class A  1,139      118
* Zumiez Inc.  2,583      118
58
U.S. Multifactor ETF
    Shares Market
Value•

($000)
* ODP Corp.  3,138      118
* GoPro Inc. Class A 11,609      116
  Laureate Education Inc. Class A 11,399      114
* RH    191      111
* Central Garden & Pet Co. Class A  2,518      109
* Master Craft Boat Holdings Inc.  3,978      109
  Kontoor Brands Inc.  2,010      108
* Take-Two Interactive Software Inc.    652      108
  HNI Corp.  2,684      106
  News Corp. Class B  4,900      106
* 1-800-Flowers.com Inc. Class A  3,576      106
  Penske Automotive Group Inc.  1,051      105
  Tractor Supply Co.    463      104
  Activision Blizzard Inc.  1,751      103
  Dana Inc.  4,754      102
  Acushnet Holdings Corp.  1,854      101
* Vera Bradley Inc. 10,671      101
  Rush Enterprises Inc. Class A  1,894       97
* Asbury Automotive Group Inc.    579       95
  Foot Locker Inc.  2,076       95
  Estee Lauder Cos. Inc. Class A    285       95
* Clean Energy Fuels Corp. 13,136       94
  Polaris Inc.    815       91
  LKQ Corp.  1,603       90
* YETI Holdings Inc.    976       90
  Matthews International Corp. Class A  2,448       85
  Walmart Inc.    587       83
  Entravision Communications Corp. Class A 11,020       82
* Beazer Homes USA Inc.  4,105       81
* Duluth Holdings Inc. Class B  5,843       81
  Haverty Furniture Cos. Inc.  2,706       81
* Meritage Homes Corp.    721       81
  Toll Brothers Inc.  1,263       80
  Newell Brands Inc.  3,678       79
  Advance Auto Parts Inc.    342       75
  Kohl's Corp.  1,427       73
  Ethan Allen Interiors Inc.  3,207       72
  Rocky Brands Inc.  1,992       71
  John Wiley & Sons Inc. Class A  1,309       68
  TEGNA Inc.  3,329       66
* Perdoceo Education Corp.  6,651       66
* Cars.com Inc.  3,878       65
* Boot Barn Holdings Inc.    511       63
* Callaway Golf Co.  2,252       61
* Copart Inc.    420       61
* Tri Pointe Homes Inc.  2,423       61
* Goodyear Tire & Rubber Co.  2,975       60
  News Corp. Class A  2,752       59
  Oxford Industries Inc.    609       58
* General Motors Co.    976       56
* Skyline Champion Corp.    702       55
* Universal Electronics Inc.  1,446       52
* PROG Holdings Inc.  1,109       50
  Murphy USA Inc.    257       45
  Genuine Parts Co.    342       44
* American Axle & Manufacturing Holdings Inc.  4,580       41
  La-Z-Boy Inc.  1,113       37
* Revolve Group Inc.    480       37
  Global Industrial Co.    912       37
* Lands' End Inc.  1,495       34
    Shares Market
Value•

($000)
  Tilly's Inc. Class A  2,291       34
  Steven Madden Ltd.    575       27
  Gap Inc.  1,554       26
* iRobot Corp.    320       24
* AMC Networks Inc. Class A    595       23
* Lazydays Holdings Inc.  1,055       21
  ViacomCBS Inc. Class A    556       19
  Aaron's Co. Inc.    869       19
        20,901
Consumer Staples (5.8%)
  Philip Morris International Inc. 16,157    1,388
  Tyson Foods Inc. Class A  8,771      693
  Kroger Co. 15,632      649
  CVS Health Corp.  6,334      564
  Ingles Markets Inc. Class A  7,227      555
  SpartanNash Co. 12,479      299
  Weis Markets Inc.  4,195      264
  Altria Group Inc.  5,435      232
  McKesson Corp.    892      193
  Albertsons Cos. Inc. Class A  5,384      189
* Monster Beverage Corp.  2,054      172
  Flowers Foods Inc.  5,529      143
* Darling Ingredients Inc.  2,099      142
  AmerisourceBergen Corp. Class A  1,105      128
  Kraft Heinz Co.  3,664      123
* PLBY Group Inc.  2,667      102
* BellRing Brands Inc. Class A  4,579       99
  Lancaster Colony Corp.    642       94
  Coca-Cola Consolidated Inc.    163       93
* Hain Celestial Group Inc.  2,112       83
  Edgewell Personal Care Co.  1,688       72
  Casey's General Stores Inc.    360       70
* USANA Health Sciences Inc.    542       54
  John B Sanfilippo & Son Inc.    603       50
         6,451
Energy (9.1%)
  EOG Resources Inc. 13,665    1,189
  Exxon Mobil Corp. 18,940    1,133
  ConocoPhillips  9,826      689
  Civitas Resources Inc.  9,553      488
  Cheniere Energy Inc.  4,626      485
  Marathon Oil Corp. 27,230      422
  Northern Oil and Gas Inc. 17,999      367
  Schlumberger NV 11,284      324
* Centrus Energy Corp. Class A  5,178      287
  PDC Energy Inc.  5,008      253
* CONSOL Energy Inc. 10,749      236
  Oasis Petroleum Inc.  1,902      228
* W&T Offshore Inc. 64,381      221
  Continental Resources Inc.  4,908      218
* Range Resources Corp. 10,941      214
* Southwestern Energy Co. 47,625      213
* ChampionX Corp.  9,702      198
  Targa Resources Corp.  3,751      194
  Antero Midstream Corp. 19,230      187
  SunCoke Energy Inc. 29,470      179
  Occidental Petroleum Corp.  5,895      175
  Ovintiv Inc. (XNYS)  5,020      174
* Comstock Resources Inc. 21,045      170
* Antero Resources Corp.  9,326      164
  Coterra Energy Inc.  7,791      156
  Chevron Corp.  1,134      128
  Magnolia Oil & Gas Corp. Class A  6,656      126
* Renewable Energy Group Inc.  2,470      118
 
59
U.S. Multifactor ETF
    Shares Market
Value•

($000)
  Berry Corp. 12,988      106
  Marathon Petroleum Corp.  1,504       91
  California Resources Corp.  2,340       91
* Earthstone Energy Inc. Class A  8,291       85
  Diamondback Energy Inc.    700       75
  Pioneer Natural Resources Co.    395       70
  Valero Energy Corp.  1,017       68
* Talos Energy Inc.  6,598       66
  Murphy Oil Corp.  2,457       65
* National Energy Services Reunited Corp.  6,144       61
* FTS International Inc. Class A  2,247       59
* Contango Oil & Gas Co. 14,926       52
* Bristow Group Inc.  1,584       47
  Equitrans Midstream Corp.  4,218       41
  Arch Resources Inc.    369       29
  Hess Corp.    330       25
  Texas Pacific Land Corp.     18       22
         9,989
Financials (24.5%)
  JPMorgan Chase & Co.  9,938    1,579
  Bank of America Corp. 28,260    1,257
  Goldman Sachs Group Inc.  2,526      962
  US Bancorp 17,181      951
* Berkshire Hathaway Inc. Class B  3,425      948
  MetLife Inc. 15,062      884
  Allstate Corp.  7,628      829
  Bank of New York Mellon Corp. 13,478      739
  T Rowe Price Group Inc.  3,581      716
  Aon plc Class A (XNYS)  2,013      595
  Wells Fargo & Co. 12,283      587
  Affiliated Managers Group Inc.  2,817      479
  First Commonwealth Financial Corp. 30,905      465
  First BanCorp. (XNYS) 31,527      419
  Ameriprise Financial Inc.  1,387      402
  Jefferies Financial Group Inc. 10,602      398
  Popular Inc.  5,101      397
  HomeStreet Inc.  7,523      371
  Comerica Inc.  4,216      348
  Associated Banc-Corp. 14,988      328
  Eagle Bancorp Inc.  5,343      301
  HarborOne Bancorp Inc. 21,630      300
  Virtus Investment Partners Inc.  1,009      300
  BOK Financial Corp.  2,821      291
  B Riley Financial Inc.  3,742      290
* Enstar Group Ltd.  1,296      289
  FNB Corp. 24,427      285
  HCI Group Inc.  2,540      280
  S&P Global Inc.    614      280
  Simmons First National Corp. Class A  9,399      274
  Old Republic International Corp. 10,842      260
  Hilltop Holdings Inc.  7,624      259
* Mr Cooper Group Inc.  6,557      258
  Aflac Inc.  4,766      258
  Washington Federal Inc.  7,901      257
  SLM Corp. 14,326      255
  Stifel Financial Corp.  3,576      254
  First Citizens BancShares Inc. Class A    311      250
  Hanmi Financial Corp. 10,882      245
* Credit Acceptance Corp.    387      242
  Bank of NT Butterfield & Son Ltd.  6,431      237
    Shares Market
Value•

($000)
  CNO Financial Group Inc. 10,181      231
  Western Alliance Bancorp  2,051      225
  Hope Bancorp Inc. 15,335      220
  Moody's Corp.    558      218
  Fidelity National Financial Inc.  4,008      196
  First Financial Bancorp  8,275      190
  Northfield Bancorp Inc. 11,032      186
  WSFS Financial Corp.  3,567      177
  Nelnet Inc. Class A  1,950      168
  Primerica Inc.  1,110      163
  Evercore Inc. Class A  1,154      160
  Lazard Ltd. Class A  3,736      159
  Zions Bancorp NA  2,504      158
  Kearny Financial Corp. 12,292      156
  Voya Financial Inc.  2,513      156
  Citigroup Inc.  2,370      151
  Janus Henderson Group plc  3,416      146
  Provident Financial Services Inc.  5,822      137
  First American Financial Corp.  1,776      132
  Hartford Financial Services Group Inc.  1,976      131
  Stewart Information Services Corp.  1,831      130
  Federal Agricultural Mortgage Corp. Class C  1,055      128
  City Holding Co.  1,568      123
  Home BancShares Inc.  5,106      122
  UMB Financial Corp.  1,198      121
  Preferred Bank  1,721      117
* SVB Financial Group    166      115
  1st Source Corp.  2,470      114
  Oppenheimer Holdings Inc. Class A  2,255      111
  ServisFirst Bancshares Inc.  1,385      111
  OceanFirst Financial Corp.  5,156      106
  Park National Corp.    810      105
  Peoples Bancorp Inc.  3,323      103
  Raymond James Financial Inc.  1,020      100
  Equitable Holdings Inc.  3,160       99
  Ameris Bancorp  1,954       95
  Safety Insurance Group Inc.  1,232       95
  TriCo Bancshares  2,243       95
  Employers Holdings Inc.  2,386       92
  First Bancorp (XNGS)  2,048       91
  First Interstate BancSystem Inc. Class A  2,225       91
  QCR Holdings Inc.  1,686       91
  Commerce Bancshares Inc.  1,233       86
  Northwest Bancshares Inc.  6,454       86
  Morgan Stanley    862       82
* Columbia Financial Inc.  4,460       81
  Sandy Spring Bancorp Inc.  1,731       81
  Cathay General Bancorp  1,874       79
  OFG Bancorp  3,238       78
  Origin Bancorp Inc.  1,851       78
  BankUnited Inc.  1,953       77
  Byline Bancorp Inc.  2,937       76
  Cohen & Steers Inc.    805       72
  Blackstone Inc.    510       72
  Washington Trust Bancorp Inc.  1,326       71
  PacWest Bancorp  1,545       69
  Central Pacific Financial Corp.  2,541       68
  Banner Corp.  1,109       64
  Fulton Financial Corp.  3,927       62
  Franklin Resources Inc.  1,822       59
  NBT Bancorp Inc.  1,641       59
 
60
U.S. Multifactor ETF
    Shares Market
Value•

($000)
  State Street Corp.    593       53
  KeyCorp  2,076       47
  WesBanco Inc.  1,411       46
  Walker & Dunlop Inc.    306       43
  Artisan Partners Asset Management Inc. Class A    881       39
  Citizens Financial Group Inc.    816       39
  First Financial Corp.    842       37
  TrustCo Bank Corp. NY  1,041       34
  Hanover Insurance Group Inc.    247       30
  Morningstar Inc.     93       29
  Lakeland Financial Corp.    319       23
  Assured Guaranty Ltd.    446       22
  Towne Bank    699       21
        26,997
Health Care (10.6%)
  Pfizer Inc. 25,688    1,380
* Moderna Inc.  3,696    1,303
  Gilead Sciences Inc. 15,506    1,069
  HCA Healthcare Inc.  3,354      757
  Anthem Inc.  1,815      737
* Regeneron Pharmaceuticals Inc.    881      561
  AbbVie Inc.  4,483      517
* Align Technology Inc.    822      503
  Eli Lilly & Co.  2,030      503
  Johnson & Johnson  2,471      385
  Quest Diagnostics Inc.  1,921      286
  UnitedHealth Group Inc.    621      276
* Laboratory Corp. of America Holdings    958      273
  West Pharmaceutical Services Inc.    613      271
* Medpace Holdings Inc.  1,157      240
* Tenet Healthcare Corp.  3,042      222
* United Therapeutics Corp.  1,137      215
  PerkinElmer Inc.  1,061      193
* Community Health Systems Inc. 13,231      159
* Molina Healthcare Inc.    528      151
* AngioDynamics Inc.  5,236      135
* Masimo Corp.    479      133
  ResMed Inc.    511      130
* Corcept Therapeutics Inc.  5,998      126
* Quidel Corp.    819      121
* Catalyst Pharmaceuticals Inc. 16,308      114
* Vanda Pharmaceuticals Inc.  6,574      106
  Patterson Cos. Inc.  3,258      103
  Agilent Technologies Inc.    643       97
* DaVita Inc.  1,023       97
* ModivCare Inc.    681       93
* Innoviva Inc.  5,016       84
  Bruker Corp.    931       75
* Computer Programs and Systems Inc.  2,391       70
* Edwards Lifesciences Corp.    581       62
* Meridian Bioscience Inc.  1,928       38
* Amneal Pharmaceuticals Inc.  7,082       30
* CorVel Corp.    120       23
*,1 Retractable Technologies Inc.  2,372       21
        11,659
Industrials (15.9%)
  Northrop Grumman Corp.  2,228      777
  American Express Co.  3,745      570
  Johnson Controls International plc  7,560      565
    Shares Market
Value•

($000)
  Old Dominion Freight Line Inc.    946      336
* TopBuild Corp.  1,110      299
  General Dynamics Corp.  1,536      290
  Eaton Corp. plc  1,771      287
  Accenture plc Class A    784      280
  Kforce Inc.  3,625      278
  3M Co.  1,597      272
  Acuity Brands Inc.  1,348      271
* Saia Inc.    815      270
* Zebra Technologies Corp. Class A    450      265
  Louisiana-Pacific Corp.  4,044      264
  Regal Rexnord Corp.  1,622      256
  Insteel Industries Inc.  5,737      242
  Simpson Manufacturing Co. Inc.  2,070      239
* Generac Holdings Inc.    543      229
* Trex Co. Inc.  1,712      227
  Fortune Brands Home & Security Inc.  2,161      217
  Encore Wire Corp.  1,528      215
  Matson Inc.  2,638      215
  Crown Holdings Inc.  1,977      209
  Heidrick & Struggles International Inc.  4,789      207
  Ryder System Inc.  2,497      207
  AGCO Corp.  1,864      205
* United Rentals Inc.    588      199
  Eagle Materials Inc.  1,250      193
  L3Harris Technologies Inc.    918      192
  Werner Enterprises Inc.  4,189      189
  Brunswick Corp.  1,913      180
  EMCOR Group Inc.  1,481      177
  Dover Corp.  1,065      174
  Snap-on Inc.    830      171
  Emerson Electric Co.  1,930      170
  Illinois Tool Works Inc.    729      169
* AMN Healthcare Services Inc.  1,476      168
  Cummins Inc.    787      165
* Textainer Group Holdings Ltd.  4,907      160
* CoreCivic Inc. 14,475      156
* Great Lakes Dredge & Dock Corp. 10,521      155
  ITT Inc.  1,641      155
* TriNet Group Inc.  1,536      154
  CSW Industrials Inc.  1,256      151
  Watts Water Technologies Inc. Class A    789      149
* MYR Group Inc.  1,291      143
  Huntington Ingalls Industries Inc.    787      140
  Pentair plc  1,874      138
  ArcBest Corp.  1,308      135
* Hub Group Inc. Class A  1,734      135
  ManpowerGroup Inc.  1,487      133
* Keysight Technologies Inc.    679      132
  Quanta Services Inc.  1,116      127
* Titan Machinery Inc.  3,755      125
  Owens Corning  1,403      119
* Teekay Corp. 35,729      119
  Shyft Group Inc.  2,427      118
* API Group Corp.  5,075      118
  Quanex Building Products Corp.  5,478      117
  Automatic Data Processing Inc.    495      114
* FTI Consulting Inc.    772      113
  Westrock Co.  2,602      113
 
61
U.S. Multifactor ETF
    Shares Market
Value•

($000)
  Franklin Electric Co. Inc.  1,262      111
  Landstar System Inc.    634      107
  Oshkosh Corp.    985      106
  JB Hunt Transport Services Inc.    552      105
  Myers Industries Inc.  5,331      104
  Argan Inc.  2,585      102
* Safe Bulkers Inc. 28,156      102
  Robert Half International Inc.    909      101
* Construction Partners Inc. Class A  2,884      100
* Berry Global Group Inc.  1,433       99
* Cross Country Healthcare Inc.  3,790       99
  Kadant Inc.    421       99
* Atlas Air Worldwide Holdings Inc.  1,117       98
  Deere & Co.    281       97
  Hubbell Inc. Class B    497       97
  Resources Connection Inc.  5,652       97
* TrueBlue Inc.  3,684       96
  CRA International Inc.  1,012       93
  WW Grainger Inc.    191       92
  DHT Holdings Inc. 16,347       91
  Crane Co.    937       90
  Triton International Ltd.  1,587       89
  Federal Signal Corp.  2,002       85
* Modine Manufacturing Co.  7,899       82
  Costamare Inc.  6,680       80
  Badger Meter Inc.    746       76
* Sterling Construction Co. Inc.  2,947       76
  Zurn Water Solutions Corp.  2,149       75
  Ennis Inc.  3,816       73
  Watsco Inc.    241       71
  United Parcel Service Inc. Class B    348       69
  EVERTEC Inc.  1,604       67
* Mohawk Industries Inc.    399       67
  Genco Shipping & Trading Ltd.  4,354       67
* Masonite International Corp.    616       66
* Covenant Logistics Group Inc. Class A  2,579       65
* Atkore Inc.    559       60
  REV Group Inc.  3,804       60
  SFL Corp. Ltd.  7,183       60
  MSA Safety Inc.    415       59
* Beacon Roofing Supply Inc.  1,136       57
  Columbus McKinnon Corp.  1,264       56
  Knight-Swift Transportation Holdings Inc.    948       54
* Gibraltar Industries Inc.    778       53
* MasTec Inc.    551       51
  Apogee Enterprises Inc.  1,181       49
  Caterpillar Inc.    256       49
* WESCO International Inc.    391       49
  Standex International Corp.    461       47
  Greenbrier Cos. Inc.  1,146       46
  Primoris Services Corp.  2,005       45
  ABM Industries Inc.    976       44
  Barrett Business Services Inc.    587       41
* XPO Logistics Inc.    560       41
* Vectrus Inc.    919       38
  Comfort Systems USA Inc.    387       37
  Exponent Inc.    314       37
* Vicor Corp.    227       33
  Packaging Corp. of America    214       28
  SPX FLOW Inc.    337       28
  Sealed Air Corp.    446       28
  ADT Inc.  3,257       27
    Shares Market
Value•

($000)
  Hillenbrand Inc.    582       26
* Blue Bird Corp.  1,222       25
  Maximus Inc.    291       22
        17,502
Real Estate (0.1%)
* CBRE Group Inc. Class A    683       65
* Jones Lang LaSalle Inc.    176       42
           107
Technology (9.1%)
* Alphabet Inc. Class C    308      878
  International Business Machines Corp.  7,211      844
  Applied Materials Inc.  3,739      550
  KLA Corp.  1,191      486
  NVIDIA Corp.  1,172      383
* Synaptics Inc.  1,324      374
* Alphabet Inc. Class A    130      369
  Apple Inc.  1,872      309
* Diodes Inc.  2,622      279
  Oracle Corp.  2,989      271
  Teradyne Inc.  1,716      262
  Jabil Inc.  4,461      261
  NortonLifeLock Inc.  9,507      236
  Texas Instruments Inc.  1,029      198
* Dropbox Inc. Class A  7,993      197
* Arrow Electronics Inc.  1,594      194
  Microsoft Corp.    584      193
  Shutterstock Inc.  1,645      188
* Lattice Semiconductor Corp.  2,449      186
* Dell Technologies Inc. Class C  3,084      174
* Meta Platforms Inc. Class A    520      169
  Intel Corp.  3,377      166
* TechTarget Inc.  1,709      165
* Ziff Davis Inc.  1,395      159
  NetApp Inc.  1,769      157
* Avid Technology Inc.  4,830      155
  Amdocs Ltd.  2,035      142
  Cognizant Technology Solutions Corp. Class A  1,716      134
* Qorvo Inc.    917      134
  Skyworks Solutions Inc.    749      114
  Vishay Intertechnology Inc.  5,573      114
* Perficient Inc.    827      113
* Gartner Inc.    358      112
* FormFactor Inc.  2,541      107
* Fortinet Inc.    304      101
  TD SYNNEX Corp.    912       94
  HP Inc.  2,564       90
* Photronics Inc.  6,808       90
* ePlus Inc.    831       88
  VMware Inc. Class A    732       85
* Rimini Street Inc. 12,213       81
* F5 Inc.    342       78
* Fabrinet    672       74
* Mitek Systems Inc.  3,936       67
* Sanmina Corp.  1,804       66
* Plexus Corp.    624       52
* Onto Innovation Inc.    386       36
* EMCORE Corp.  4,596       34
* IAC/InterActiveCorp.    258       34
* Cadence Design Systems Inc.    173       31
* NCR Corp.    782       30
  Hewlett Packard Enterprise Co.  1,999       29
* Consensus Cloud Solutions Inc.    464       29
  Vertiv Holdings Co. Class A  1,033       26
 
62
U.S. Multifactor ETF
    Shares Market
Value•

($000)
  CDW Corp.    130       25
* Manhattan Associates Inc.    154       24
  Amkor Technology Inc.  1,007       22
* Kyndryl Holdings Inc.  1,243       20
        10,079
Telecommunications (1.3%)
  Cisco Systems Inc. 11,361      623
  Lumen Technologies Inc. 33,188      410
* WideOpenWest Inc. 11,384      212
* Calix Inc.  1,733      116
* Charter Communications Inc. Class A    112       72
* NETGEAR Inc.  1,433       38
         1,471
Total Common Stocks (Cost $85,446) 109,728
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
2,3 Vanguard Market Liquidity Fund, 0.077% (Cost $341)  3,414         342
Total Investments (99.8%) (Cost $85,787) 110,070
Other Assets and Liabilities—Net (0.2%) 210
Net Assets (100%) 110,280
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 $19,000.
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 $22,000 was received for securities on loan.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
Micro E-mini S&P 500 Index December 2021 22 502 3
  
See accompanying Notes, which are an integral part of the Financial Statements.
63
U.S. Multifactor ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $85,446) 109,728
Affiliated Issuers (Cost $341) 342
Total Investments in Securities 110,070
Investment in Vanguard 4
Cash 3
Cash Collateral Pledged—Futures Contracts 28
Receivables for Accrued Income 217
Total Assets 110,322
Liabilities  
Payables for Investment Securities Purchased 2
Collateral for Securities on Loan 22
Payables to Vanguard 9
Variation Margin Payable—Futures Contracts 9
Total Liabilities 42
Net Assets 110,280
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 101,377
Total Distributable Earnings (Loss) 8,903
Net Assets 110,280
 
Net Assets  
Applicable to 1,065,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		110,280
Net Asset Value Per Share $103.55
  
See accompanying Notes, which are an integral part of the Financial Statements.
64
U.S. Multifactor ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends1 1,516
Interest2 —
Securities Lending—Net 6
Total Income 1,522
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 32
Management and Administrative 87
Marketing and Distribution —
Custodian Fees 4
Auditing Fees 31
Shareholders’ Reports 4
Trustees’ Fees and Expenses —
Total Expenses 158
Net Investment Income 1,364
Realized Net Gain (Loss)  
Investment Securities Sold2,3 2,994
Futures Contracts 74
Realized Net Gain (Loss) 3,068
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 15,647
Futures Contracts (2)
Change in Unrealized Appreciation (Depreciation) 15,645
Net Increase (Decrease) in Net Assets Resulting from Operations 20,077
1 Dividends are net of foreign withholding taxes of $2,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, $0, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $444,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
65
U.S. Multifactor ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,364 1,134
Realized Net Gain (Loss) 3,068 (10,370)
Change in Unrealized Appreciation (Depreciation) 15,645 1,583
Net Increase (Decrease) in Net Assets Resulting from Operations 20,077 (7,653)
Distributions    
Total Distributions (1,170) (1,209)
Capital Share Transactions    
Issued 31,503 12,089
Issued in Lieu of Cash Distributions — —
Redeemed (2,076) (30,826)
Net Increase (Decrease) from Capital Share Transactions 29,427 (18,737)
Total Increase (Decrease) 48,334 (27,599)
Net Assets    
Beginning of Period 61,946 89,545
End of Period 110,280 61,946
  
See accompanying Notes, which are an integral part of the Financial Statements.
66
U.S. Multifactor ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $79.93 $79.60 $76.07 $75.00
Investment Operations        
Net Investment Income2 1.534 1.191 1.340 1.007
Net Realized and Unrealized Gain (Loss) on Investments 23.442 .372 3.458 .543
Total from Investment Operations 24.976 1.563 4.798 1.550
Distributions        
Dividends from Net Investment Income (1.356) (1.233) (1.268) (.480)
Distributions from Realized Capital Gains — — — —
Total Distributions (1.356) (1.233) (1.268) (.480)
Net Asset Value, End of Period $103.55 $79.93 $79.60 $76.07
Total Return 31.43% 2.35% 6.46% 2.03%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $110 $62 $90 $76
Ratio of Total Expenses to Average Net Assets 0.18% 0.19%3 0.19%3 0.18%4
Ratio of Net Investment Income to Average Net Assets 1.56% 1.66% 1.79% 1.59%4
Portfolio Turnover Rate 75%5 95%5 98% 64%
1 Inception.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.18%.
4 Annualized.
5 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.
67
U.S. Multifactor ETF
Notes to Financial Statements
Vanguard U.S. Multifactor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its 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.
68
U.S. Multifactor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
69
U.S. Multifactor ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $4,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At November 30, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 444
Total Distributable Earnings (Loss) (444)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales;
70
U.S. Multifactor ETF
the recognition of unrealized gains or losses from certain derivative contracts; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 446
Undistributed Long-Term Gains —
Capital Loss Carryforwards (15,829)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 24,286
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 1,170 1,209
Long-Term Capital Gains — —
Total 1,170 1,209
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 85,784
Gross Unrealized Appreciation 26,179
Gross Unrealized Depreciation (1,893)
Net Unrealized Appreciation (Depreciation) 24,286
E. During the year ended November 30, 2021, the fund purchased $96,088,000 of investment securities and sold $66,646,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $2,076,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 315 150
Issued in Lieu of Cash Distributions — —
Redeemed (25) (500)
Net Increase (Decrease) in Shares Outstanding 290 (350)
71
U.S. Multifactor ETF
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
72
U.S. Quality 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. Quality Factor ETF Net Asset Value 30.42% 15.20% $17,105
  U.S. Quality Factor ETF Market Price 30.46 15.22 17,117
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. Quality Factor ETF Market Price 30.46% 71.17%
U.S. Quality Factor ETF Net Asset Value 30.42 71.05
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.
73
U.S. Quality Factor ETF
Fund Allocation
As of November 30, 2021
Basic Materials 2.7%
Consumer Discretionary 22.2
Consumer Staples 4.5
Energy 2.3
Financials 16.4
Health Care 14.0
Industrials 17.4
Real Estate 0.4
Technology 19.0
Telecommunications 1.0
Utilities 0.1
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
74
U.S. Quality 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 (99.6%)
Basic Materials (2.7%)
  Freeport-McMoRan Inc. 27,896    1,034
  Fastenal Co.  7,780      460
  Alcoa Corp.  4,968      231
  Tredegar Corp. 20,445      225
  Reliance Steel & Aluminum Co.  1,315      195
  Southern Copper Corp.  3,154      185
  Boise Cascade Co.  2,352      152
* Clearwater Paper Corp.  3,633      146
  CF Industries Holdings Inc.  2,228      135
  UFP Industries Inc.  1,449      121
  Balchem Corp.    693      110
  Avery Dennison Corp.    466       96
  Mueller Industries Inc.  1,218       67
  Ryerson Holding Corp.  2,844       67
  Verso Corp. Class A  3,057       65
* Orion Engineered Carbons SA  3,706       65
  Compass Minerals International Inc.  1,057       51
  Materion Corp.    575       49
  Commercial Metals Co.  1,505       47
  Innospec Inc.    583       47
  Steel Dynamics Inc.    773       46
  Sensient Technologies Corp.    453       44
* Univar Solutions Inc.  1,437       37
  Ecolab Inc.    136       30
  Olin Corp.    550       30
  Worthington Industries Inc.    618       30
  Cabot Corp.    541       28
* GCP Applied Technologies Inc.  1,110       26
* TimkenSteel Corp.  1,822       26
* RBC Bearings Inc.    126       25
         3,870
Consumer Discretionary (22.1%)
  Walmart Inc.  9,802    1,378
  Costco Wholesale Corp.  2,542    1,371
* Lululemon Athletica Inc.  2,959    1,345
  Lowe's Cos. Inc.  5,105    1,249
  Target Corp.  4,837    1,179
  TJX Cos. Inc. 14,259      990
  NIKE Inc. Class B  5,799      981
  Ross Stores Inc.  8,853      966
* O'Reilly Automotive Inc.  1,464      934
  Estee Lauder Cos. Inc. Class A  1,792      595
  Genuine Parts Co.  3,511      448
  Best Buy Co. Inc.  3,781      404
  Williams-Sonoma Inc.  1,991      388
    Shares Market
Value•

($000)
* YETI Holdings Inc.  4,099      378
* Ulta Beauty Inc.    980      376
  Rollins Inc. 10,063      335
  Movado Group Inc.  7,377      331
* Perdoceo Education Corp. 32,878      324
* Deckers Outdoor Corp.    790      320
* Under Armour Inc. Class A 13,078      309
  New York Times Co. Class A  6,405      304
  Buckle Inc.  6,245      294
  Columbia Sportswear Co.  2,828      276
  Dick's Sporting Goods Inc.  2,345      276
  Acushnet Holdings Corp.  4,852      264
* Amazon.com Inc.     72      252
* Turtle Beach Corp.  9,341      250
* Citi Trends Inc.  2,853      242
  HNI Corp.  6,015      238
  Signet Jewelers Ltd.  2,398      233
  Macy's Inc.  8,154      232
  Polaris Inc.  2,073      232
  Carter's Inc.  2,223      225
  Ralph Lauren Corp. Class A  1,936      225
* Burlington Stores Inc.    765      224
* Kirkland's Inc. 10,370      224
  Dillard's Inc. Class A    810      222
* PROG Holdings Inc.  4,900      221
* Zumiez Inc.  4,801      220
* Genesco Inc.  3,414      216
  Group 1 Automotive Inc.  1,091      212
* AutoNation Inc.  1,695      210
* Etsy Inc.    721      198
  Gentex Corp.  5,630      194
  Shoe Carnival Inc.  4,936      193
  Advance Auto Parts Inc.    856      189
  Ethan Allen Interiors Inc.  8,301      187
  Hanesbrands Inc. 11,128      180
* Sonos Inc.  5,703      180
* BJ's Wholesale Club Holdings Inc.  2,697      178
  Kontoor Brands Inc.  3,285      177
* MarineMax Inc.  3,312      176
* iRobot Corp.  2,300      175
* GoPro Inc. Class A 17,356      174
* Liquidity Services Inc.  7,668      174
* Bed Bath & Beyond Inc.  9,361      172
* Revolve Group Inc.  2,238      170
1 Big 5 Sporting Goods Corp.  6,998      166
* Cars.com Inc.  9,840      164
* Duluth Holdings Inc. Class B 11,712      162
* NVR Inc.     31      162
75
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
  Kohl's Corp.  3,120      160
  La-Z-Boy Inc.  4,588      153
  Pool Corp.    277      153
* Lumber Liquidators Holdings Inc.  9,923      152
  Tempur Sealy International Inc.  3,506      150
* National Vision Holdings Inc.  3,104      149
* Under Armour Inc. Class C  7,401      149
* Children's Place Inc.  1,708      148
  Scholastic Corp.  3,941      148
* Lovesac Co.  2,288      145
  Tapestry Inc.  3,602      145
  American Eagle Outfitters Inc.  5,557      144
* Master Craft Boat Holdings Inc.  4,895      134
* Crocs Inc.    802      132
* XPEL Inc.  1,840      132
  Oxford Industries Inc.  1,364      130
* Skyline Champion Corp.  1,633      128
  Standard Motor Products Inc.  2,539      127
  Tractor Supply Co.    561      126
  Caleres Inc.  5,202      123
* Lands' End Inc.  5,259      121
* Abercrombie & Fitch Co. Class A  3,296      119
  Aaron's Co. Inc.  5,380      119
  Gap Inc.  7,121      118
* Gentherm Inc.  1,396      118
  Johnson Outdoors Inc. Class A  1,134      118
  Garmin Ltd.    885      118
* Container Store Group Inc.  9,547      111
  Entravision Communications Corp. Class A 14,934      111
* Nordstrom Inc.  5,204      110
  Tilly's Inc. Class A  7,318      110
  Hibbett Inc.  1,385      108
* ODP Corp.  2,863      108
  LKQ Corp.  1,887      105
* Helen of Troy Ltd.    432      104
* Take-Two Interactive Software Inc.    624      103
  Qurate Retail Inc. Series A 12,711      102
* Cavco Industries Inc.    325       97
* Sally Beauty Holdings Inc.  4,885       96
* Vera Bradley Inc. 10,077       96
  H&R Block Inc.  4,013       95
  Wolverine World Wide Inc.  3,055       95
* Lazydays Holdings Inc.  4,637       94
* Universal Electronics Inc.  2,581       93
  Global Industrial Co.  2,287       92
* Conn's Inc.  4,009       88
* Mattel Inc.  4,006       85
  Rush Enterprises Inc. Class A  1,624       83
* Gannett Co. Inc. 16,190       83
* Fossil Group Inc.  6,790       81
* Party City Holdco Inc. 14,195       78
  World Wrestling Entertainment Inc. Class A  1,574       78
  Sonic Automotive Inc. Class A  1,708       77
* Dorman Products Inc.    684       76
  Whirlpool Corp.    344       75
  eBay Inc.  1,099       74
* Visteon Corp.    703       74
  Rent-A-Center Inc.  1,661       73
* Noodles & Co. Class A  6,816       70
* Asbury Automotive Group Inc.    423       69
  Inter Parfums Inc.    775       68
* Copart Inc.    463       67
    Shares Market
Value•

($000)
* Bloomin' Brands Inc.  3,743       66
* Houghton Mifflin Harcourt Co.  4,242       66
  News Corp. Class A  3,071       66
* elf Beauty Inc.  2,168       65
* Malibu Boats Inc. Class A    921       64
  Matthews International Corp. Class A  1,807       63
* Academy Sports & Outdoors Inc.  1,421       63
* Skechers USA Inc. Class A  1,350       61
  Steven Madden Ltd.  1,262       60
* Adtalem Global Education Inc.  1,972       59
* American Axle & Manufacturing Holdings Inc.  6,604       59
  Omnicom Group Inc.    879       59
* SiteOne Landscape Supply Inc.    246       59
  Haverty Furniture Cos. Inc.  1,935       58
* 1-800-Flowers.com Inc. Class A  1,732       52
  John Wiley & Sons Inc. Class A  1,003       52
  Guess? Inc.  2,240       51
  OneWater Marine Inc. Class A    975       50
  MillerKnoll Inc.  1,245       47
  Murphy USA Inc.    263       46
  PVH Corp.    402       43
* Tenneco Inc. Class A  3,944       41
* Dollar Tree Inc.    295       39
  International Game Technology plc  1,341       36
  Interface Inc. Class A  2,440       35
* American Public Education Inc.  1,707       32
  Camping World Holdings Inc. Class A    688       30
* Everi Holdings Inc.  1,343       28
* G-III Apparel Group Ltd.    959       28
* Capri Holdings Ltd.    468       28
  PriceSmart Inc.    379       27
  Cato Corp. Class A  1,559       26
  VF Corp.    355       25
* Funko Inc. Class A  1,423       23
  Interpublic Group of Cos. Inc.    686       23
* VOXX International Corp. Class A  2,226       23
* CarParts.com Inc.  1,765       22
* Fluent Inc. 10,907       20
* Nautilus Inc.  2,331       16
        31,763
Consumer Staples (4.5%)
  Colgate-Palmolive Co.  9,197      690
  Sysco Corp.  7,720      541
* Monster Beverage Corp.  5,060      424
  Procter & Gamble Co.  2,919      422
* Boston Beer Co. Inc. Class A    716      323
  Flowers Foods Inc. 10,946      283
  PetMed Express Inc. 10,266      281
  Altria Group Inc.  6,276      268
  Clorox Co.  1,617      263
  National Beverage Corp.  4,963      258
  Kroger Co.  6,183      257
  John B Sanfilippo & Son Inc.  2,797      230
  Albertsons Cos. Inc. Class A  5,613      197
  Ingles Markets Inc. Class A  2,388      183
  Medifast Inc.    853      175
  SpartanNash Co.  6,608      158
  Weis Markets Inc.  2,218      140
* United Natural Foods Inc.  2,717      135
* USANA Health Sciences Inc.  1,318      131
 
76
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
  WD-40 Co.    564      127
  J & J Snack Foods Corp.    905      124
  Hershey Co.    627      111
  Coca-Cola Consolidated Inc.    176      100
  Tyson Foods Inc. Class A  1,269      100
  AmerisourceBergen Corp. Class A    853       99
  Casey's General Stores Inc.    464       90
* Veru Inc. 10,411       78
  McKesson Corp.    255       55
  Lancaster Colony Corp.    349       51
  MGP Ingredients Inc.    498       39
  Nu Skin Enterprises Inc. Class A    820       36
* Sprouts Farmers Market Inc.  1,119       30
  Brown-Forman Corp. Class A    408       27
* Hain Celestial Group Inc.    661       26
* Rite Aid Corp.  2,114       26
         6,478
Energy (2.2%)
  EOG Resources Inc. 12,534    1,091
* ProPetro Holding Corp. 31,453      259
* Whiting Petroleum Corp.  2,799      181
* Talos Energy Inc. 16,292      162
* Dril-Quip Inc.  7,713      147
* Denbury Inc.  1,806      144
* Enphase Energy Inc.    495      124
  SM Energy Co.  4,287      124
* NOW Inc. 14,283      119
  Coterra Energy Inc.  5,162      104
* FTS International Inc. Class A  3,240       85
  Civitas Resources Inc.  1,548       79
  Magnolia Oil & Gas Corp. Class A  4,108       78
* CONSOL Energy Inc.  3,528       77
  Continental Resources Inc.  1,537       68
* Array Technologies Inc.  3,414       62
  World Fuel Services Corp.  1,715       43
* Kosmos Energy Ltd. 11,340       42
  Cactus Inc. Class A  1,102       40
* RPC Inc.  7,961       32
* DMC Global Inc.    854       31
* MRC Global Inc.  3,959       27
* Renewable Energy Group Inc.    493       24
  Texas Pacific Land Corp.     20       24
* TETRA Technologies Inc.  8,484       22
* Expro Group Holdings NV  1,477       21
         3,210
Financials (16.4%)
  Aon plc Class A (XNYS)  4,531    1,340
  Voya Financial Inc. 11,822      735
  Moody's Corp.  1,757      686
* Berkshire Hathaway Inc. Class B  2,313      640
  S&P Global Inc.  1,344      613
  Discover Financial Services  4,060      438
  SLM Corp. 24,595      437
  Ameriprise Financial Inc.  1,419      411
  Allstate Corp.  3,560      387
  Evercore Inc. Class A  2,399      333
  JPMorgan Chase & Co.  1,995      317
  First BanCorp. (XNYS) 22,513      299
  PennyMac Financial Services Inc.  4,728      299
  HomeStreet Inc.  6,044      298
  Affiliated Managers Group Inc.  1,722      293
    Shares Market
Value•

($000)
  Fidelity National Financial Inc.  5,935      290
  BankUnited Inc.  7,186      285
* Enstar Group Ltd.  1,262      282
* Credit Acceptance Corp.    449      281
  Federated Hermes Inc.  8,293      280
  OneMain Holdings Inc.  5,398      269
  BOK Financial Corp.  2,523      260
* World Acceptance Corp.  1,225      252
  Hilltop Holdings Inc.  7,279      248
  OFG Bancorp 10,310      248
  Navient Corp. 12,516      247
  Comerica Inc.  2,978      246
  Meta Financial Group Inc.  3,831      229
  Washington Federal Inc.  6,914      225
  Banner Corp.  3,916      224
  FactSet Research Systems Inc.    478      224
  WSFS Financial Corp.  4,500      224
  Bank of NT Butterfield & Son Ltd.  5,852      216
  First Citizens BancShares Inc. Class A    268      215
  Brightsphere Investment Group Inc.  7,162      215
* Encore Capital Group Inc.  3,667      214
  Virtu Financial Inc. Class A  7,555      213
  Regional Management Corp.  3,731      211
  WesBanco Inc.  6,417      209
  SEI Investments Co.  3,368      201
* Bancorp Inc.  6,998      198
  City Holding Co.  2,485      195
* Triumph Bancorp Inc.  1,530      195
  Popular Inc.  2,499      194
  FNB Corp. 16,537      193
  Primerica Inc.  1,302      192
  Atlantic Union Bankshares Corp.  5,835      190
* Nicolet Bankshares Inc.  2,664      190
  Cathay General Bancorp  4,428      186
* Mr Cooper Group Inc.  4,740      186
  Assured Guaranty Ltd.  3,802      186
  CNO Financial Group Inc.  7,932      180
* PRA Group Inc.  4,155      176
  First American Financial Corp.  2,356      175
  American Financial Group Inc.  1,276      171
  LPL Financial Holdings Inc.  1,043      164
* Axos Financial Inc.  2,883      163
  Curo Group Holdings Corp.  9,792      162
  WisdomTree Investments Inc. 26,361      162
  Jefferies Financial Group Inc.  3,944      148
  QCR Holdings Inc.  2,632      142
  Associated Banc-Corp.  6,344      139
  Lakeland Financial Corp.  1,954      138
  Cboe Global Markets Inc.  1,004      129
  Equitable Holdings Inc.  4,100      129
  First Commonwealth Financial Corp.  8,451      127
  Marsh & McLennan Cos. Inc.    772      127
  Premier Financial Corp.  4,267      125
  Washington Trust Bancorp Inc.  2,281      123
* Columbia Financial Inc.  6,683      122
  TriCo Bancshares  2,892      122
  1st Source Corp.  2,625      121
  Lazard Ltd. Class A  2,816      120
  First Bancorp (XNGS)  2,659      118
  Veritex Holdings Inc.  2,929      116
  First Financial Bancorp  4,980      115
  Park National Corp.    883      115
 
77
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
  First Merchants Corp.  2,862      114
  Fifth Third Bancorp  2,564      108
  Southside Bancshares Inc.  2,536      103
  Oppenheimer Holdings Inc. Class A  2,073      102
  Employers Holdings Inc.  2,523       97
  Eagle Bancorp Inc.  1,650       93
  T Rowe Price Group Inc.    465       93
  Ally Financial Inc.  1,926       88
  Walker & Dunlop Inc.    620       87
  First Hawaiian Inc.  3,259       86
  FirstCash Inc.  1,333       85
  Hope Bancorp Inc.  5,762       83
  Kearny Financial Corp.  6,501       83
  State Street Corp.    902       80
  First Financial Corp.  1,806       79
  PJT Partners Inc. Class A  1,027       78
  B Riley Financial Inc.    980       76
  Synovus Financial Corp.  1,686       76
  Cadence Bank  2,590       76
  First Interstate BancSystem Inc. Class A  1,821       74
  First Foundation Inc.  2,818       72
  Janus Henderson Group plc  1,662       71
* Customers Bancorp Inc.  1,217       70
  Wells Fargo & Co.  1,468       70
  Federal Agricultural Mortgage Corp. Class C    564       69
  Houlihan Lokey Inc. Class A    596       65
  Northfield Bancorp Inc.  3,852       65
  UMB Financial Corp.    650       65
  Cohen & Steers Inc.    714       64
  Hanmi Financial Corp.  2,862       64
  Ameris Bancorp  1,287       63
* Markel Corp.     51       61
  Heritage Financial Corp.  2,538       59
  Simmons First National Corp. Class A  2,023       59
  Tompkins Financial Corp.    739       58
* Brighthouse Financial Inc.  1,179       57
  Commerce Bancshares Inc.    819       57
* SVB Financial Group     83       57
  Bank of New York Mellon Corp.    961       53
  Northern Trust Corp.    455       53
  Wintrust Financial Corp.    605       53
  Zions Bancorp NA    823       52
  Mercury General Corp.    963       49
  Central Pacific Financial Corp.  1,702       46
  Home BancShares Inc.  1,903       46
  KeyCorp  2,058       46
  Radian Group Inc.  2,227       45
  Diamond Hill Investment Group Inc.    226       43
  HarborOne Bancorp Inc.  3,082       43
  US Bancorp    780       43
  Artisan Partners Asset Management Inc. Class A    949       42
* Enova International Inc.  1,087       41
  Hanover Insurance Group Inc.    312       38
  Morningstar Inc.    114       35
  BancFirst Corp.    505       32
  Stewart Information Services Corp.    450       32
  United Community Banks Inc.    931       32
  Westamerica BanCorp.    576       31
  Berkshire Hills Bancorp Inc.  1,114       30
  Byline Bancorp Inc.  1,145       30
    Shares Market
Value•

($000)
  Brookline Bancorp Inc.  1,860       29
* Focus Financial Partners Inc. Class A    471       29
  OceanFirst Financial Corp.  1,422       29
  Preferred Bank    431       29
  Provident Financial Services Inc.  1,229       29
  Columbia Banking System Inc.    855       28
  Fulton Financial Corp.  1,767       28
  Greenhill & Co. Inc.  1,665       28
  MarketAxess Holdings Inc.     79       28
  Origin Bancorp Inc.    665       28
  Towne Bank    923       28
  Safety Insurance Group Inc.    352       27
  Trustmark Corp.    889       27
  Universal Insurance Holdings Inc.  1,812       27
  Independent Bank Group Inc.    353       25
        23,509
Health Care (14.0%)
* Moderna Inc.  5,839    2,058
* Veeva Systems Inc. Class A  3,870    1,094
  Abbott Laboratories  8,037    1,011
  Johnson & Johnson  6,061      945
* Regeneron Pharmaceuticals Inc.  1,450      923
  Eli Lilly & Co.  3,298      818
  Merck & Co. Inc.  9,506      712
  AbbVie Inc.  5,968      688
* Align Technology Inc.  1,103      674
* Vertex Pharmaceuticals Inc.  3,594      672
* Edwards Lifesciences Corp.  4,698      504
  Gilead Sciences Inc.  6,913      476
  Cerner Corp.  6,507      458
  Chemed Corp.    869      404
* IDEXX Laboratories Inc.    618      376
  Humana Inc.    881      370
* Seagen Inc.  2,141      343
* Incyte Corp.  4,933      334
  ResMed Inc.  1,212      309
* Molina Healthcare Inc.  1,063      303
* Amedisys Inc.  2,066      288
* ABIOMED Inc.    913      287
  Agilent Technologies Inc.  1,767      267
  Amgen Inc.  1,302      259
  Atrion Corp.    329      234
* Quidel Corp.  1,558      230
* Masimo Corp.    786      219
* ICU Medical Inc.    892      202
  Bruker Corp.  2,468      200
* STAAR Surgical Co.  2,050      195
* CorVel Corp.  1,005      189
* Globus Medical Inc. Class A  2,876      180
* Catalyst Pharmaceuticals Inc. 25,401      178
* BioDelivery Sciences International Inc. 63,228      176
* Natus Medical Inc.  7,596      172
* Fulgent Genetics Inc.  1,689      158
* NextGen Healthcare Inc.  9,871      153
  Owens & Minor Inc.  3,707      148
* Eagle Pharmaceuticals Inc.  3,049      145
  West Pharmaceutical Services Inc.    306      135
  Anthem Inc.    324      132
* Medpace Holdings Inc.    626      130
* Merit Medical Systems Inc.  1,981      124
* Orthofix Medical Inc.  4,037      124
 
78
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
* Vanda Pharmaceuticals Inc.  7,635      124
* Henry Schein Inc.  1,736      123
* Exelixis Inc.  7,067      119
  LeMaitre Vascular Inc.  2,388      112
* Meridian Bioscience Inc.  5,522      110
  Quest Diagnostics Inc.    678      101
* Tivity Health Inc.  4,228      101
* Sage Therapeutics Inc.  2,514       98
* Stereotaxis Inc. 15,881       93
* Hologic Inc.  1,222       91
* Inari Medical Inc.  1,103       91
  Healthcare Services Group Inc.  4,612       81
* Computer Programs and Systems Inc.  2,547       75
* AngioDynamics Inc.  2,547       66
* Corcept Therapeutics Inc.  3,149       66
* ModivCare Inc.    476       65
* Myriad Genetics Inc.  2,418       62
  Patterson Cos. Inc.  1,952       61
* Surmodics Inc.  1,292       57
* Joint Corp.    597       48
*,1 Retractable Technologies Inc.  5,264       46
  Cardinal Health Inc.    823       38
* Ovid therapeutics Inc. 11,234       38
* DaVita Inc.    380       36
* Akebia Therapeutics Inc. 10,727       29
* United Therapeutics Corp.    138       26
* Cutera Inc.    730       25
* Biogen Inc.    103       24
  Phibro Animal Health Corp. Class A  1,151       22
        20,025
Industrials (17.4%)
  American Express Co.  7,441    1,133
  Sherwin-Williams Co.  3,242    1,074
  Accenture plc Class A  2,644      945
  Automatic Data Processing Inc.  3,075      710
  Paychex Inc.  4,754      567
  A O Smith Corp.  6,572      520
  Synchrony Financial 11,361      509
  Jack Henry & Associates Inc.  3,295      500
  Capital One Financial Corp.  2,869      403
  Robert Half International Inc.  3,419      380
  Graco Inc.  5,107      372
  WW Grainger Inc.    747      360
* Zebra Technologies Corp. Class A    595      350
  Lincoln Electric Holdings Inc.  2,392      323
  Louisiana-Pacific Corp.  4,620      302
  ManpowerGroup Inc.  3,274      293
  Watsco Inc.    975      285
  Acuity Brands Inc.  1,411      284
* TriNet Group Inc.  2,814      282
* AMN Healthcare Services Inc.  2,477      282
  Heartland Express Inc. 16,130      270
  Kforce Inc.  3,519      270
* Donnelley Financial Solutions Inc.  5,594      261
  Cognex Corp.  3,320      256
* MYR Group Inc.  2,255      250
* Keysight Technologies Inc.  1,252      244
  3M Co.  1,434      244
  Brunswick Corp.  2,584      243
  EMCOR Group Inc.  2,031      242
  Simpson Manufacturing Co. Inc.  2,078      240
* Veritiv Corp.  1,905      240
    Shares Market
Value•

($000)
  Astec Industries Inc.  3,807      239
  Landstar System Inc.  1,395      235
  Illinois Tool Works Inc.  1,002      233
  Badger Meter Inc.  2,015      206
* NV5 Global Inc.  1,559      205
  Snap-on Inc.    991      204
* Saia Inc.    610      202
  JB Hunt Transport Services Inc.  1,041      199
* Napco Security Technologies Inc.  4,121      192
  Heidrick & Struggles International Inc.  4,389      189
  AAON Inc.  2,383      186
* Covenant Logistics Group Inc. Class A  7,203      181
  Emerson Electric Co.  1,992      175
  John Bean Technologies Corp.  1,068      169
  Watts Water Technologies Inc. Class A    868      164
  Western Union Co. 10,286      163
* ASGN Inc.  1,327      161
  Rockwell Automation Inc.    469      158
  Crane Co.  1,611      156
  Pentair plc  2,122      156
  Marten Transport Ltd.  9,638      155
  AGCO Corp.  1,380      152
  Insperity Inc.  1,305      151
  Hillenbrand Inc.  3,371      150
* Mettler-Toledo International Inc.     96      145
* Conduent Inc. 28,545      144
  Ennis Inc.  7,573      144
* Generac Holdings Inc.    342      144
  Expeditors International of Washington Inc.  1,161      141
* Trex Co. Inc.  1,057      140
  CH Robinson Worldwide Inc.  1,465      139
  MSC Industrial Direct Co. Inc. Class A  1,767      139
  Insteel Industries Inc.  3,229      136
* Franklin Covey Co.  3,007      132
  Cintas Corp.    297      125
  Encore Wire Corp.    886      124
  Schneider National Inc. Class B  4,908      121
  Apogee Enterprises Inc.  2,909      120
  Nordson Corp.    473      120
  Enerpac Tool Group Corp. Class A  5,676      120
  Trane Technologies plc    635      119
  Argan Inc.  2,858      112
  Kadant Inc.    476      112
  Old Dominion Freight Line Inc.    312      111
* TrueBlue Inc.  4,284      111
  CSW Industrials Inc.    901      108
* Builders FirstSource Inc.  1,506      105
  Quanex Building Products Corp.  4,904      105
  Donaldson Co. Inc.  1,840      104
  Quanta Services Inc.    918      104
* GMS Inc.  1,804      101
  Werner Enterprises Inc.  2,226      100
  Exponent Inc.    852       99
* Cross Country Healthcare Inc.  3,748       98
  MKS Instruments Inc.    641       98
  Toro Co.    970       98
* Vicor Corp.    672       96
  H&E Equipment Services Inc.  2,256       95
 
79
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
  Resources Connection Inc.  5,447       94
  Comfort Systems USA Inc.    980       93
  MSA Safety Inc.    629       90
* Dycom Industries Inc.    943       88
* Energy Recovery Inc.  4,094       87
  EVERTEC Inc.  2,071       87
  Allison Transmission Holdings Inc.  2,450       85
  Cummins Inc.    406       85
  ABM Industries Inc.  1,835       83
  Myers Industries Inc.  4,156       81
  Franklin Electric Co. Inc.    903       80
  PPG Industries Inc.    517       80
* TopBuild Corp.    297       80
  Ryder System Inc.    939       78
  Terex Corp.  1,787       76
* Mohawk Industries Inc.    449       75
  Xylem Inc.    623       75
  Dover Corp.    450       74
* OSI Systems Inc.    793       72
  Valmont Industries Inc.    302       72
  Matson Inc.    866       71
  Applied Industrial Technologies Inc.    735       70
* Sterling Construction Co. Inc.  2,660       69
  Pitney Bowes Inc.  9,256       63
* DXP Enterprises Inc.  2,241       62
  Barrett Business Services Inc.    862       61
  CRA International Inc.    645       59
  Allegion plc    477       59
  Hubbell Inc. Class B    295       58
  Advanced Drainage Systems Inc.    454       56
  Shyft Group Inc.  1,162       56
  ICF International Inc.    555       54
* FTI Consulting Inc.    361       53
* FARO Technologies Inc.    760       53
* Waters Corp.    162       53
  ITT Inc.    540       51
  McGrath RentCorp.    648       50
* Modine Manufacturing Co.  4,843       50
* ShotSpotter Inc.  1,400       49
  UniFirst Corp.    257       49
  Albany International Corp. Class A    587       48
* Masonite International Corp.    445       48
* Hub Group Inc. Class A    590       46
  Owens Corning    540       46
  Wabash National Corp.  2,760       46
  AZZ Inc.    849       44
* Construction Partners Inc. Class A  1,252       43
* United Rentals Inc.    126       43
  Brady Corp. Class A    780       39
  Maximus Inc.    521       39
* ExlService Holdings Inc.    294       38
  Regal Rexnord Corp.    243       38
  Flowserve Corp.  1,222       37
  AptarGroup Inc.    297       36
  Deluxe Corp.  1,065       36
  Forward Air Corp.    368       36
  Littelfuse Inc.    122       36
  Packaging Corp. of America    279       36
* Cornerstone Building Brands Inc.  2,164       34
  Huntington Ingalls Industries Inc.    193       34
    Shares Market
Value•

($000)
* Axalta Coating Systems Ltd.  1,095       33
  Mastercard Inc. Class A     97       31
  Fortune Brands Home & Security Inc.    295       30
  Hyster-Yale Materials Handling Inc.    772       30
  Kelly Services Inc. Class A  1,756       30
  Helios Technologies Inc.    275       28
  SPX FLOW Inc.    334       28
  Granite Construction Inc.    692       27
* Daseke Inc.  2,586       25
  Alamo Group Inc.    165       23
* JELD-WEN Holding Inc.    910       22
* O-I Glass Inc.  1,929       21
* BM Technologies Inc. (XASE)    194        2
        24,939
Real Estate (0.3%)
  Simon Property Group Inc.  1,913      293
  Iron Mountain Inc.  1,920       87
  Lamar Advertising Co. Class A    526       58
  Empire State Realty Trust Inc. Class A  3,644       33
  Urban Edge Properties  1,520       26
           497
Technology (18.9%)
* Advanced Micro Devices Inc.  9,894    1,567
* Alphabet Inc. Class C    508    1,447
  Texas Instruments Inc.  6,053    1,164
* Zoom Video Communications Inc. Class A  5,327    1,126
* Cadence Design Systems Inc.  6,105    1,083
  Applied Materials Inc.  7,255    1,068
  KLA Corp.  2,237      913
* Adobe Inc.  1,243      833
  QUALCOMM Inc.  3,898      704
* Synopsys Inc.  1,781      607
  Teradyne Inc.  3,534      540
* Fortinet Inc.  1,436      477
  NetApp Inc.  4,999      444
* Meta Platforms Inc. Class A  1,328      431
  Apple Inc.  2,439      403
  VMware Inc. Class A  3,407      398
* Manhattan Associates Inc.  2,494      389
* Gartner Inc.  1,164      363
  Intuit Inc.    539      352
  NVIDIA Corp.  1,076      352
  Monolithic Power Systems Inc.    603      334
* Cirrus Logic Inc.  4,154      333
* Alphabet Inc. Class A    109      309
* Allegro MicroSystems Inc.  9,887      309
  Intel Corp.  6,138      302
* Teradata Corp.  6,860      298
* Yelp Inc. Class A  8,398      288
* Qualys Inc.  2,161      282
* Anaplan Inc.  5,875      252
* CommVault Systems Inc.  4,009      252
  Skyworks Solutions Inc.  1,575      239
  Lam Research Corp.    348      237
* Atlassian Corp. plc Class A    608      229
  Microsoft Corp.    691      228
* Synaptics Inc.    796      225
  National Instruments Corp.  5,305      220
  Advanced Energy Industries Inc.  2,470      217
* Lattice Semiconductor Corp.  2,858      217
  TE Connectivity Ltd.  1,401      216
 
80
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
  A10 Networks Inc. 13,817      213
* Agilysys Inc.  4,894      213
* Elastic NV  1,362      212
* EPAM Systems Inc.    342      208
  Xperi Holding Corp. 11,475      206
* Digital Turbine Inc.  3,715      197
* ON Semiconductor Corp.  3,138      193
  Shutterstock Inc.  1,621      185
* Appian Corp. Class A  2,427      180
* Onto Innovation Inc.  1,761      166
* TrueCar Inc. 50,227      165
  CTS Corp.  4,532      158
  Cognizant Technology Solutions Corp. Class A  1,980      154
* eGain Corp. 14,434      152
* F5 Inc.    662      151
* Paycom Software Inc.    336      147
* Upwork Inc.  3,737      139
  Universal Display Corp.    897      128
* FormFactor Inc.  2,837      119
  International Business Machines Corp.    997      117
* PDF Solutions Inc.  3,879      116
* Veritone Inc.  4,328      111
* Sprout Social Inc. Class A    984      110
* Yandex NV Class A  1,514      109
  American Software Inc. Class A  4,751      108
* IPG Photonics Corp.    646      106
* TechTarget Inc.  1,101      106
  Vertiv Holdings Co. Class A  4,008      103
* ChannelAdvisor Corp.  4,062      102
  CSG Systems International Inc.  1,904      100
* MaxLinear Inc.  1,456       98
* OneSpan Inc.  5,350       91
* CyberOptics Corp.  2,106       91
* ePlus Inc.    855       90
  Amdocs Ltd.  1,278       89
* Dropbox Inc. Class A  3,570       88
* Alpha & Omega Semiconductor Ltd.  1,783       88
* ScanSource Inc.  2,778       87
* Groupon Inc. Class A  4,147       86
* Novanta Inc.    519       84
* Box Inc. Class A  3,537       83
  Dolby Laboratories Inc. Class A    945       79
* SPS Commerce Inc.    556       78
* Cargurus Inc.  2,040       76
* 3D Systems Corp.  3,200       73
* Cohu Inc.  2,116       70
  Jabil Inc.  1,206       70
* Crowdstrike Holdings Inc. Class A    313       68
  CDW Corp.    352       67
* Appfolio Inc. Class A    538       65
* Brightcove Inc.  6,471       62
* Mimecast Ltd.    764       62
* Arrow Electronics Inc.    496       60
  Kulicke & Soffa Industries Inc.  1,027       59
  Vishay Intertechnology Inc.  2,831       58
  Power Integrations Inc.    566       57
* Diodes Inc.    522       56
* SecureWorks Corp. Class A  3,180       56
  Concentrix Corp.    331       55
* Avaya Holdings Corp.  2,776       54
  PC Connection Inc.  1,147       50
* Perficient Inc.    367       50
    Shares Market
Value•

($000)
* Jamf Holding Corp.  1,476       48
  Simulations Plus Inc.    987       46
  Avnet Inc.  1,253       45
  Amkor Technology Inc.  2,050       44
* MACOM Technology Solutions Holdings Inc. Class H    609       44
  Brooks Automation Inc.    378       43
* Axcelis Technologies Inc.    675       42
* Blackbaud Inc.    554       42
* SMART Global Holdings Inc.    688       39
* Alarm.com Holdings Inc.    474       38
* Semtech Corp.    447       38
  Hackett Group Inc.  1,711       35
* II-VI Inc.    555       35
  TD SYNNEX Corp.    331       34
* Altair Engineering Inc. Class A    422       31
* Verint Systems Inc.    662       31
* Mitek Systems Inc.  1,640       28
* comScore Inc.  6,966       24
* Nutanix Inc. Class A    727       24
* Pinterest Inc. Class A    490       20
* Kyndryl Holdings Inc.    199        3
        27,156
Telecommunications (1.0%)
  Cisco Systems Inc.  4,920      270
* Calix Inc.  2,581      173
* Clearfield Inc.  2,421      157
* IDT Corp. Class B  2,533      137
  Ubiquiti Inc.    342      102
* Ciena Corp.  1,350       81
* Arista Networks Inc.    644       80
* Digi International Inc.  3,080       66
* Extreme Networks Inc.  4,641       63
* Ooma Inc.  3,259       61
* Cambium Networks Corp.  1,828       50
* NETGEAR Inc.  1,831       49
* Viavi Solutions Inc.  2,655       39
* Consolidated Communications Holdings Inc.  4,522       34
  ADTRAN Inc.  1,417       29
* Aviat Networks Inc.    826       26
* CommScope Holding Co. Inc.  2,368       24
         1,441
Utilities (0.1%)
* Clean Harbors Inc.    683       69
Total Common Stocks (Cost $115,997) 142,957
 
81
U.S. Quality Factor ETF
    Shares Market
Value•

($000)
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
2,3 Vanguard Market Liquidity Fund, 0.077% (Cost $734)  7,338         734
Total Investments (100.1%) (Cost $116,731) 143,691
Other Assets and Liabilities—Net (-0.1%) (109)
Net Assets (100%) 143,582
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 $200,000.
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 $222,000 was received for securities on loan.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
Micro E-mini S&P 500 Index December 2021 24 548 (1)
  
See accompanying Notes, which are an integral part of the Financial Statements.
82
U.S. Quality Factor ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $115,997) 142,957
Affiliated Issuers (Cost $734) 734
Total Investments in Securities 143,691
Investment in Vanguard 4
Cash Collateral Pledged—Futures Contracts 35
Receivables for Investment Securities Sold 2
Receivables for Accrued Income 146
Total Assets 143,878
Liabilities  
Due to Custodian 56
Collateral for Securities on Loan 222
Payables to Vanguard 8
Variation Margin Payable—Futures Contracts 10
Total Liabilities 296
Net Assets 143,582
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 116,576
Total Distributable Earnings (Loss) 27,006
Net Assets 143,582
 
Net Assets  
Applicable to 1,175,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		143,582
Net Asset Value Per Share $122.20
  
See accompanying Notes, which are an integral part of the Financial Statements.
83
U.S. Quality Factor ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends 1,209
Interest1 —
Securities Lending—Net 8
Total Income 1,217
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 43
Management and Administrative 39
Marketing and Distribution 1
Custodian Fees 3
Auditing Fees 31
Shareholders’ Reports 2
Trustees’ Fees and Expenses —
Total Expenses 119
Net Investment Income 1,098
Realized Net Gain (Loss)  
Investment Securities Sold1,2 2,470
Futures Contracts 75
Realized Net Gain (Loss) 2,545
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 14,528
Futures Contracts (7)
Change in Unrealized Appreciation (Depreciation) 14,521
Net Increase (Decrease) in Net Assets Resulting from Operations 18,164
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $1,239,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
84
U.S. Quality Factor ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,098 595
Realized Net Gain (Loss) 2,545 (1,375)
Change in Unrealized Appreciation (Depreciation) 14,521 10,696
Net Increase (Decrease) in Net Assets Resulting from Operations 18,164 9,916
Distributions    
Total Distributions (932) (495)
Capital Share Transactions    
Issued 74,754 26,166
Issued in Lieu of Cash Distributions — —
Redeemed (2,908) (2,136)
Net Increase (Decrease) from Capital Share Transactions 71,846 24,030
Total Increase (Decrease) 89,078 33,451
Net Assets    
Beginning of Period 54,504 21,053
End of Period 143,582 54,504
  
See accompanying Notes, which are an integral part of the Financial Statements.
85
U.S. Quality Factor ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $94.79 $84.21 $78.58 $75.00
Investment Operations        
Net Investment Income2 1.403 1.291 1.199 .899
Net Realized and Unrealized Gain (Loss) on Investments 27.292 10.428 5.559 3.266
Total from Investment Operations 28.695 11.719 6.758 4.165
Distributions        
Dividends from Net Investment Income (1.285) (1.139) (1.128) (.585)
Distributions from Realized Capital Gains — — — —
Total Distributions (1.285) (1.139) (1.128) (.585)
Net Asset Value, End of Period $122.20 $94.79 $84.21 $78.58
Total Return 30.42% 14.29% 8.75% 5.52%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $144 $55 $21 $18
Ratio of Total Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13%3,4
Ratio of Net Investment Income to Average Net Assets 1.21% 1.59% 1.52% 1.40%3
Portfolio Turnover Rate 56%5 58% 80% 25%
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 The ratio of total expenses to average net assets before an expense reduction of 0.04% was 0.17%. The fund incurred higher than anticipated expenses, in which Vanguard voluntarily agreed to assume payment of certain expenses. The fund is not obligated to repay this amount to Vanguard.
5 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.
86
U.S. Quality Factor ETF
Notes to Financial Statements
Vanguard U.S. Quality Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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.
87
U.S. Quality Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
88
U.S. Quality Factor ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $4,000, representing less than 0.01% of the fund’s net assets and less than 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At November 30, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 1,239
Total Distributable Earnings (Loss) (1,239)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of
89
U.S. Quality Factor ETF
unrealized gains or losses from certain derivative contracts; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 340
Undistributed Long-Term Gains —
Capital Loss Carryforwards (281)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 26,947
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 932 495
Long-Term Capital Gains — —
Total 932 495
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 116,744
Gross Unrealized Appreciation 31,275
Gross Unrealized Depreciation (4,328)
Net Unrealized Appreciation (Depreciation) 26,947
E. During the year ended November 30, 2021, the fund purchased $125,609,000 of investment securities and sold $53,889,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $2,907,000, 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 year ended November 30, 2021, such purchases were $61,000 and sales were $0, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
90
U.S. Quality Factor ETF
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 625 350
Issued in Lieu of Cash Distributions — —
Redeemed (25) (25)
Net Increase (Decrease) in Shares Outstanding 600 325
At November 30, 2021, one shareholder was a record or beneficial owner of 37% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
91
U.S. Value 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. Value Factor ETF Net Asset Value 37.51% 10.02% $14,367
  U.S. Value Factor ETF Market Price 37.48 10.03 14,371
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. Value Factor ETF Market Price 37.48% 43.71%
U.S. Value Factor ETF Net Asset Value 37.51 43.67
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.
92
U.S. Value Factor ETF
Fund Allocation
As of November 30, 2021
Basic Materials 6.7%
Consumer Discretionary 17.0
Consumer Staples 5.9
Energy 9.5
Financials 22.1
Health Care 10.8
Industrials 15.3
Real Estate 0.4
Technology 7.3
Telecommunications 4.5
Utilities 0.5
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.
93
U.S. Value 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 (6.6%)
  Dow Inc.  75,330    4,138
  Newmont Corp.  49,247    2,705
  International Paper Co.  42,527    1,936
  Freeport-McMoRan Inc.  51,358    1,904
  LyondellBasell Industries NV Class A  20,613    1,796
  Nucor Corp.  11,235    1,194
  Mosaic Co.  30,827    1,055
  Reliance Steel & Aluminum Co.   6,838    1,016
  Steel Dynamics Inc.  13,487      807
  US Steel Corp.  33,820      765
  Westlake Chemical Corp.   7,457      693
* Alto Ingredients Inc. 130,153      678
  UFP Industries Inc.   7,517      626
  AdvanSix Inc.  12,618      571
* Koppers Holdings Inc.  18,217      550
  Glatfelter Corp.  31,618      521
  GrafTech International Ltd.  43,824      511
  Huntsman Corp.  15,614      495
* Cleveland-Cliffs Inc.  23,972      488
  Ashland Global Holdings Inc.   4,458      451
* TimkenSteel Corp.  30,464      436
* Clearwater Paper Corp.  10,284      414
  Chemours Co.  13,714      407
  Tronox Holdings plc Class A  18,100      398
  Schnitzer Steel Industries Inc. Class A   7,778      374
  Worthington Industries Inc.   7,485      359
  Commercial Metals Co.  10,598      328
  Olin Corp.   5,498      299
  Boise Cascade Co.   4,587      297
  Eastman Chemical Co.   2,802      292
* Univar Solutions Inc.  11,270      292
* Intrepid Potash Inc.   7,006      288
  CF Industries Holdings Inc.   3,764      228
  Hecla Mining Co.  40,697      225
  Valvoline Inc.   6,447      220
  Trinseo plc   4,277      202
  Schweitzer-Mauduit International Inc.   6,452      185
  Element Solutions Inc.   7,931      181
  Timken Co.   2,473      163
  Olympic Steel Inc.   7,848      160
  Verso Corp. Class A   7,529      159
  FutureFuel Corp.  20,961      158
    Shares Market
Value•

($000)
* Rayonier Advanced Materials Inc.  22,109      121
  Cabot Corp.   2,246      118
  Minerals Technologies Inc.   1,803      118
  Celanese Corp. Class A     761      115
  Haynes International Inc.   2,677      107
* Orion Engineered Carbons SA   5,886      103
        29,647
Consumer Discretionary (16.9%)
  Ford Motor Co. 233,234    4,476
* General Motors Co.  56,013    3,241
* Discovery Inc. Class C  70,066    1,591
  Macy's Inc.  49,106    1,399
* AutoZone Inc.     718    1,305
* Taylor Morrison Home Corp. Class A  41,081    1,276
  Penske Automotive Group Inc.  12,480    1,243
* Meritage Homes Corp.  10,518    1,187
  Bath & Body Works Inc.  15,775    1,185
  Whirlpool Corp.   5,252    1,144
  Dick's Sporting Goods Inc.   8,498      999
* SkyWest Inc.  24,835      973
  Toll Brothers Inc.  15,305      971
  Century Communities Inc.  13,421      954
  Kohl's Corp.  18,595      953
  Target Corp.   3,895      950
  Qurate Retail Inc. Series A 114,705      918
  eBay Inc.  13,559      915
  Gray Television Inc.  43,956      906
  Lennar Corp. Class A   8,298      872
  Nexstar Media Group Inc. Class A   5,692      851
  Lithia Motors Inc. Class A   2,901      845
  ViacomCBS Inc. Class B  26,149      809
  PVH Corp.   7,514      802
* Perdoceo Education Corp.  81,474      802
  Lear Corp.   4,763      799
* Cars.com Inc.  47,554      793
  Fox Corp. Class B  23,486      789
* TravelCenters of America Inc.  14,604      763
  AMERCO   1,062      748
* AutoNation Inc.   5,981      741
  Nielsen Holdings plc  38,105      730
* Genesco Inc.  11,012      696
  PulteGroup Inc.  13,652      683
* KAR Auction Services Inc.  45,272      679
  Signet Jewelers Ltd.   6,915      672
  Harley-Davidson Inc.  18,328      671
94
U.S. Value Factor ETF
    Shares Market
Value•

($000)
* Tri Pointe Homes Inc.  26,845      670
* Avis Budget Group Inc.   2,337      642
  Walmart Inc.   4,512      634
  Rush Enterprises Inc. Class A  12,360      630
  Omnicom Group Inc.   9,245      622
* Goodyear Tire & Rubber Co.  30,517      614
  LKQ Corp.  10,947      612
* Capri Holdings Ltd.   9,932      588
  Strategic Education Inc.  10,874      582
* JetBlue Airways Corp.  42,109      565
  Standard Motor Products Inc.  11,158      558
  Travel + Leisure Co.  11,270      555
  Fox Corp. Class A  14,715      525
* MarineMax Inc.   9,731      518
* Conn's Inc.  22,828      499
* Container Store Group Inc.  42,235      491
  La-Z-Boy Inc.  14,642      489
  Movado Group Inc.  10,681      479
  Thor Industries Inc.   4,330      458
* WW International Inc.  26,867      452
* Dine Brands Global Inc.   6,206      446
  Murphy USA Inc.   2,571      446
  Activision Blizzard Inc.   7,567      443
  TEGNA Inc.  21,667      428
* Adtalem Global Education Inc.  14,387      427
* Tupperware Brands Corp.  27,327      427
* American Axle & Manufacturing Holdings Inc.  48,026      425
  EW Scripps Co. Class A  22,815      423
* Fossil Group Inc.  34,911      417
* Lazydays Holdings Inc.  20,321      411
* Grand Canyon Education Inc.   5,602      406
* Mesa Air Group Inc.  57,268      404
* G-III Apparel Group Ltd.  13,604      403
* Tenneco Inc. Class A  38,315      402
* Zumiez Inc.   8,766      401
* Brinker International Inc.  11,421      395
* Discovery Inc. Class A  16,976      395
* Alaska Air Group Inc.   7,897      384
  H&R Block Inc.  16,231      384
  Leggett & Platt Inc.   9,184      371
* Bed Bath & Beyond Inc.  20,053      368
* Adient plc   8,518      362
* Nautilus Inc.  52,667      361
  Laureate Education Inc. Class A  34,968      350
* Dollar Tree Inc.   2,554      342
* Knowles Corp.  15,501      337
  OneWater Marine Inc. Class A   6,430      329
* Lumber Liquidators Holdings Inc.  21,289      327
  Group 1 Automotive Inc.   1,635      318
  Hibbett Inc.   4,024      314
  Caleres Inc.  12,955      306
* Entercom Communications Corp. Class A 121,340      300
  Shoe Carnival Inc.   7,565      296
  Lennar Corp. Class B   3,407      292
  Cato Corp. Class A  17,515      288
  Haverty Furniture Cos. Inc.   9,503      284
* Beazer Homes USA Inc.  14,255      280
* ODP Corp.   7,378      279
  Interpublic Group of Cos. Inc.   8,338      277
  Hasbro Inc.   2,829      274
1 Big 5 Sporting Goods Corp.  11,439      271
    Shares Market
Value•

($000)
  Scholastic Corp.   7,179      270
  KB Home   6,702      268
  Newell Brands Inc.  12,485      268
* AMC Networks Inc. Class A   6,895      266
1 Sirius XM Holdings Inc.  42,339      258
  DR Horton Inc.   2,612      255
* Vera Bradley Inc.  25,431      242
  Matthews International Corp. Class A   6,805      236
  Carter's Inc.   2,254      228
* Penn National Gaming Inc.   4,444      228
  Dillard's Inc. Class A     819      224
  Dana Inc.  10,244      220
* Kirkland's Inc.  10,055      217
* Green Brick Partners Inc.   7,838      196
* Asbury Automotive Group Inc.   1,171      192
* Fluent Inc. 101,385      189
  Big Lots Inc.   4,270      185
  Foot Locker Inc.   3,987      182
  Aaron's Co. Inc.   8,158      181
  Rent-A-Center Inc.   4,068      180
* Sleep Number Corp.   2,188      175
* Lions Gate Entertainment Corp. Class B  12,555      171
  International Game Technology plc   6,320      171
  HNI Corp.   4,267      169
  ViacomCBS Inc. Class A   4,940      165
  Winnebago Industries Inc.   2,277      164
  Del Taco Restaurants Inc.  21,007      161
* NVR Inc.      30      157
  Interface Inc. Class A  10,924      156
* Stride Inc.   4,509      154
* M/I Homes Inc.   2,719      152
  Tilly's Inc. Class A  10,146      152
* Universal Electronics Inc.   4,180      151
* PROG Holdings Inc.   3,280      148
  Sonic Automotive Inc. Class A   3,275      147
* Boyd Gaming Corp.   2,490      146
  Best Buy Co. Inc.   1,314      140
* Abercrombie & Fitch Co. Class A   3,860      139
* Funko Inc. Class A   8,199      134
* iHeartMedia Inc. Class A   6,742      132
  Guess? Inc.   5,794      131
* VOXX International Corp. Class A  12,737      131
* Victoria's Secret & Co.   2,348      127
* Central Garden & Pet Co. Class A   2,811      122
  Graham Holdings Co. Class B     207      117
  Tapestry Inc.   2,923      117
  MillerKnoll Inc.   2,998      114
  Buckle Inc.   2,350      111
* Lakeland Industries Inc.   5,778      111
  Carriage Services Inc. Class A   2,014      104
  Ethan Allen Interiors Inc.   4,382       99
  Jack in the Box Inc.   1,177       97
  BorgWarner Inc. (XNYS)   2,099       91
  Advance Auto Parts Inc.     406       90
* 1-800-Flowers.com Inc. Class A   2,921       87
  Gap Inc.   5,177       86
  Marriott Vacations Worldwide Corp.     560       85
* Lands' End Inc.   3,551       82
 
95
U.S. Value Factor ETF
    Shares Market
Value•

($000)
  Rocky Brands Inc.   2,234       79
        75,857
Consumer Staples (5.9%)
  CVS Health Corp.  43,106    3,839
  Molson Coors Beverage Co. Class B  42,463    1,887
  Kraft Heinz Co.  54,597    1,835
  McKesson Corp.   6,709    1,454
  Philip Morris International Inc.  14,067    1,209
  Tyson Foods Inc. Class A  14,384    1,136
  Walgreens Boots Alliance Inc.  23,007    1,031
  Archer-Daniels-Midland Co.  14,909      928
* Herbalife Nutrition Ltd.  24,571      918
  SpartanNash Co.  38,210      914
  Kroger Co.  21,714      902
  Conagra Brands Inc.  28,023      856
  J M Smucker Co.   5,882      744
  Ingredion Inc.   7,874      733
  ACCO Brands Corp.  87,878      726
  Weis Markets Inc.  10,512      662
  Edgewell Personal Care Co.  15,454      656
  General Mills Inc.  10,370      641
  Ingles Markets Inc. Class A   6,663      512
* United Natural Foods Inc.   9,337      464
  Altria Group Inc.  10,612      453
  Flowers Foods Inc.  16,150      417
  Universal Corp.   8,685      404
* Pilgrim's Pride Corp.  12,980      365
  AmerisourceBergen Corp. Class A   2,989      346
* Darling Ingredients Inc.   4,412      298
  Nu Skin Enterprises Inc. Class A   6,800      298
  Fresh Del Monte Produce Inc.  10,229      253
  Corteva Inc.   5,610      252
  Andersons Inc.   7,056      240
  Keurig Dr Pepper Inc.   6,533      222
  Seaboard Corp.      52      202
* US Foods Holding Corp   6,143      193
* Hostess Brands Inc. Class A  10,591      180
* Sprouts Farmers Market Inc.   5,243      139
  Vector Group Ltd.   6,775      105
* Rite Aid Corp.   7,988       98
        26,512
Energy (9.4%)
  ConocoPhillips  37,457    2,627
  Exxon Mobil Corp.  34,079    2,039
  Chevron Corp.  17,806    2,010
  APA Corp.  57,218    1,474
  EOG Resources Inc.  15,368    1,337
  Schlumberger NV  43,616    1,251
  Diamondback Energy Inc.  11,276    1,203
  Kinder Morgan Inc.  77,563    1,199
  Ovintiv Inc. (XNYS)  28,976    1,007
  SM Energy Co.  33,583      974
* CONSOL Energy Inc.  44,072      967
* EQT Corp.  46,842      910
  Marathon Oil Corp.  54,755      848
* Whiting Petroleum Corp.  12,981      840
  Equitrans Midstream Corp.  85,730      825
* Range Resources Corp.  42,037      822
* Antero Resources Corp.  42,342      744
* Comstock Resources Inc.  89,953      728
  HollyFrontier Corp.  22,358      723
  Coterra Energy Inc.  35,757      718
  Devon Energy Corp.  15,573      655
    Shares Market
Value•

($000)
  Civitas Resources Inc.  12,325      630
  Murphy Oil Corp.  23,006      611
* Centennial Resource Development Inc. Class A  92,125      574
  Baker Hughes Co. Class A  24,546      573
  Pioneer Natural Resources Co.   3,148      561
* Kosmos Energy Ltd. 151,982      556
  PDC Energy Inc.  10,980      554
  Continental Resources Inc.  12,330      547
* Callon Petroleum Co.  10,560      537
  Archrock Inc.  65,261      482
  Northern Oil and Gas Inc.  23,349      476
* Bristow Group Inc.  15,710      467
* Southwestern Energy Co. 103,602      464
  SunCoke Energy Inc.  75,576      460
* CNX Resources Corp.  33,530      457
* Peabody Energy Corp.  45,239      451
* Laredo Petroleum Inc.   7,435      438
  Phillips 66   6,094      422
* National Energy Services Reunited Corp.  42,480      421
* Delek US Holdings Inc.  26,201      411
  Warrior Met Coal Inc.  19,130      411
  Halliburton Co.  18,812      406
* Newpark Resources Inc. 147,286      402
* Helix Energy Solutions Group Inc. 129,926      395
  ONEOK Inc.   6,275      375
  Williams Cos. Inc.  13,830      370
  Matador Resources Co.   9,291      365
* Centrus Energy Corp. Class A   6,349      352
  Arch Resources Inc.   4,292      333
  Antero Midstream Corp.  33,987      330
* PBF Energy Inc. Class A  25,100      314
* Nabors Industries Ltd. (XNYS)   3,829      312
  Occidental Petroleum Corp.  10,490      311
  Cheniere Energy Inc.   2,911      305
  Valero Energy Corp.   4,559      305
  World Fuel Services Corp.  11,654      291
  Targa Resources Corp.   5,419      280
  Magnolia Oil & Gas Corp. Class A  13,955      265
  Altus Midstream Co. Class A   4,115      261
* Golar LNG Ltd.  21,029      248
* W&T Offshore Inc.  71,876      247
* Talos Energy Inc.  22,053      220
* Oil States International Inc.  35,489      180
* First Solar Inc.   1,709      177
  Brigham Minerals Inc. Class A   7,754      161
  Berry Corp.  19,687      160
* NOV Inc.  11,815      141
  Arcosa Inc.   2,592      133
* Renewable Energy Group Inc.   2,431      116
* REX American Resources Corp.   1,041       95
        42,254
Financials (22.0%)
  Citigroup Inc.  43,526    2,773
  Truist Financial Corp.  43,271    2,566
  Goldman Sachs Group Inc.   6,681    2,545
  American International Group Inc.  47,226    2,484
  JPMorgan Chase & Co.  13,969    2,219
  Wells Fargo & Co.  43,854    2,095
  MetLife Inc.  35,555    2,086
 
96
U.S. Value Factor ETF
    Shares Market
Value•

($000)
  Bank of New York Mellon Corp.  36,843    2,019
  Chubb Ltd.  11,222    2,014
  Morgan Stanley  20,508    1,945
  Bank of America Corp.  37,659    1,675
  PNC Financial Services Group Inc.   7,049    1,389
  Essent Group Ltd.  31,264    1,300
  US Bancorp  23,368    1,293
  Hope Bancorp Inc.  89,507    1,284
  Regions Financial Corp.  54,960    1,250
  Radian Group Inc.  59,494    1,212
  Allstate Corp.  11,083    1,205
  Citizens Financial Group Inc.  25,382    1,200
  Zions Bancorp NA  18,161    1,146
* Berkshire Hathaway Inc. Class B   3,909    1,082
  BlackRock Inc.   1,168    1,057
  Axis Capital Holdings Ltd.  21,021    1,044
  Prudential Financial Inc.  10,176    1,041
  FNB Corp.  84,597      986
  Reinsurance Group of America Inc.  10,376      985
  KeyCorp  43,303      972
  MGIC Investment Corp.  61,962      874
  Unum Group  37,595      868
  Heartland Financial USA Inc.  18,241      866
  Travelers Cos. Inc.   5,719      840
  New York Community Bancorp Inc.  69,865      837
  First American Financial Corp.  10,705      794
  Aflac Inc.  14,268      772
* Customers Bancorp Inc.  13,219      762
  American Equity Investment Life Holding Co.  21,784      733
  Jefferies Financial Group Inc.  19,463      731
  Popular Inc.   9,107      709
  Everest Re Group Ltd.   2,743      703
* Genworth Financial Inc. Class A 175,524      670
  Principal Financial Group Inc.   9,713      666
  RenaissanceRe Holdings Ltd.   4,251      655
  OFG Bancorp  26,356      635
  Fidelity National Financial Inc.  12,968      634
  Globe Life Inc.   7,323      634
  Raymond James Financial Inc.   6,376      627
  CNA Financial Corp.  13,915      579
  Associated Banc-Corp.  26,174      573
  Affiliated Managers Group Inc.   3,266      556
  Voya Financial Inc.   8,881      552
* Mr Cooper Group Inc.  13,975      549
  T Rowe Price Group Inc.   2,625      525
  Valley National Bancorp  39,083      525
  Comerica Inc.   6,333      523
  Universal Insurance Holdings Inc.  34,453      519
  Old National Bancorp  29,215      516
* Encore Capital Group Inc.   8,736      510
  CNO Financial Group Inc.  22,388      507
  Horace Mann Educators Corp.  13,671      507
  PacWest Bancorp  11,097      496
  PennyMac Financial Services Inc.   7,832      496
  Lakeland Bancorp Inc.  27,693      495
  Bank OZK  10,698      478
    Shares Market
Value•

($000)
  BOK Financial Corp.   4,592      474
* Brighthouse Financial Inc.   9,604      467
* Credit Acceptance Corp.     737      461
  Hanmi Financial Corp.  20,471      460
  Lincoln National Corp.   6,789      450
  Western Alliance Bancorp   4,068      447
* SiriusPoint Ltd.  57,693      444
  Hancock Whitney Corp.   9,266      443
  Navient Corp.  22,340      441
* Arch Capital Group Ltd.  10,932      441
  Nelnet Inc. Class A   5,033      434
  M&T Bank Corp.   2,905      426
  Banner Corp.   7,311      419
  Charles Schwab Corp.   5,419      419
  Ally Financial Inc.   8,765      402
  Stifel Financial Corp.   5,579      396
  State Street Corp.   4,400      391
  Old Republic International Corp.  16,120      386
  First Busey Corp.  14,545      374
* Alleghany Corp.     577      373
  ConnectOne Bancorp Inc.  11,313      368
* MoneyGram International Inc.  61,571      365
  Ameriprise Financial Inc.   1,244      360
  SouthState Corp.   4,554      356
  Atlantic Union Bankshares Corp.  10,676      347
  SLM Corp.  19,457      346
  Franklin Resources Inc.  10,544      342
* NMI Holdings Inc. Class A  17,457      342
  Hartford Financial Services Group Inc.   5,124      339
* Enstar Group Ltd.   1,473      329
  Heritage Financial Corp.  13,871      325
  Hilltop Holdings Inc.   9,455      322
* Bancorp Inc.  11,200      317
  Invesco Ltd.  14,131      316
  First Commonwealth Financial Corp.  20,339      306
  United Bankshares Inc.   8,526      305
  Park National Corp.   2,313      301
  CVB Financial Corp.  15,715      300
  Signature Bank     989      299
  Flushing Financial Corp.  12,605      298
  Equitable Holdings Inc.   9,476      298
  Columbia Banking System Inc.   8,875      292
* GoHealth Inc. Class A  82,407      292
  Stewart Information Services Corp.   4,078      290
  Assurant Inc.   1,903      289
  Eagle Bancorp Inc.   5,113      288
  HarborOne Bancorp Inc.  20,509      285
  Northern Trust Corp.   2,429      281
  UMB Financial Corp.   2,775      279
  Fifth Third Bancorp   6,513      274
  Pinnacle Financial Partners Inc.   2,816      269
  Cowen Inc. Class A   7,586      268
  First BanCorp. (XNYS)  20,103      267
  Prosperity Bancshares Inc.   3,690      263
  American Financial Group Inc.   1,955      261
* Enova International Inc.   6,754      257
* PRA Group Inc.   5,960      253
  Enterprise Financial Services Corp.   5,346      248
  OneMain Holdings Inc.   4,895      244
 
97
U.S. Value Factor ETF
    Shares Market
Value•

($000)
  Progressive Corp.   2,620      243
  Cullen/Frost Bankers Inc.   1,923      242
  1st Source Corp.   5,238      242
  Southside Bancshares Inc.   5,913      241
  Wintrust Financial Corp.   2,745      240
* StoneX Group Inc.   4,160      234
  Simmons First National Corp. Class A   8,007      233
  Sandy Spring Bancorp Inc.   4,940      232
  East West Bancorp Inc.   2,997      231
  First Financial Bancorp  10,038      231
  Synovus Financial Corp.   5,021      227
* Triumph Bancorp Inc.   1,745      222
* Nicolet Bankshares Inc.   3,094      221
  Webster Financial Corp.   4,076      220
  First Bancorp (XNGS)   4,921      219
  Meta Financial Group Inc.   3,490      209
  Berkshire Hills Bancorp Inc.   7,673      205
  Independent Bank Group Inc.   2,847      198
  First Horizon Corp.  12,088      195
  S&T Bancorp Inc.   6,461      193
  Washington Trust Bancorp Inc.   3,558      191
  Assured Guaranty Ltd.   3,894      191
  First Merchants Corp.   4,741      189
  Northfield Bancorp Inc.  11,095      187
  Argo Group International Holdings Ltd.   3,447      187
  Ameris Bancorp   3,811      185
  Central Pacific Financial Corp.   6,629      177
  HomeStreet Inc.   3,559      176
  Fulton Financial Corp.  11,083      175
  Dime Community Bancshares Inc.   5,067      174
  Univest Financial Corp.   6,162      170
  NBT Bancorp Inc.   4,667      169
  Towne Bank   5,493      168
  Banc of California Inc.   8,500      166
  Brookline Bancorp Inc.  10,415      161
  Virtus Investment Partners Inc.     537      160
  OceanFirst Financial Corp.   7,358      152
  Veritex Holdings Inc.   3,842      152
  Walker & Dunlop Inc.   1,080      152
  Discover Financial Services   1,401      151
  Washington Federal Inc.   4,634      151
* World Acceptance Corp.     734      151
  First Hawaiian Inc.   5,639      148
  Safety Insurance Group Inc.   1,914      148
  BGC Partners Inc. Class A  32,668      146
  Mercury General Corp.   2,805      143
  Premier Financial Corp.   4,803      141
  Cathay General Bancorp   3,323      139
  Trustmark Corp.   4,534      139
  WSFS Financial Corp.   2,784      138
  Preferred Bank   2,013      137
  Hanover Insurance Group Inc.   1,117      136
  Federal Agricultural Mortgage Corp. Class C   1,109      135
  First Interstate BancSystem Inc. Class A   3,255      133
* SVB Financial Group     189      131
  Huntington Bancshares Inc.   8,697      129
  Northwest Bancshares Inc.   9,703      129
  TrustCo Bank Corp. NY   3,939      129
  Bank of NT Butterfield & Son Ltd.   3,470      128
    Shares Market
Value•

($000)
  Pacific Premier Bancorp Inc.   3,135      121
  TriCo Bancshares   2,832      119
* eHealth Inc.   5,138      113
  Cadence Bank   3,864      113
  Renasant Corp.   3,075      112
  First Foundation Inc.   4,267      108
  Kearny Financial Corp.   8,076      103
* Markel Corp.      83       99
  WesBanco Inc.   3,032       99
  Provident Financial Services Inc.   4,063       96
  Employers Holdings Inc.   2,474       95
  BankUnited Inc.   2,350       93
  Tompkins Financial Corp.   1,186       93
  Federated Hermes Inc.   2,730       92
  Intercontinental Exchange Inc.     696       91
  Heritage Commerce Corp.   8,204       90
  FB Financial Corp.   2,079       89
  National Bank Holdings Corp. Class A   2,095       89
  Selective Insurance Group Inc.   1,181       89
        98,558
Health Care (10.8%)
  Bristol-Myers Squibb Co.  82,405    4,419
  Gilead Sciences Inc.  63,074    4,348
  Cigna Corp.  18,423    3,535
* Centene Corp.  39,655    2,832
  Pfizer Inc.  51,359    2,760
* Moderna Inc.   7,662    2,700
  Anthem Inc.   6,376    2,590
* Regeneron Pharmaceuticals Inc.   3,056    1,945
  Becton Dickinson and Co.   6,913    1,639
  Merck & Co. Inc.  16,851    1,262
  AbbVie Inc.   9,867    1,138
  Cardinal Health Inc.  24,251    1,121
* Biogen Inc.   4,527    1,067
* Jazz Pharmaceuticals plc   8,687    1,041
  HCA Healthcare Inc.   4,522    1,020
* Emergent BioSolutions Inc.  22,853    1,008
  Johnson & Johnson   5,590      872
* Quidel Corp.   4,915      725
* Innoviva Inc.  41,983      702
  Quest Diagnostics Inc.   4,635      689
  Universal Health Services Inc. Class B   5,441      646
* Multiplan Corp. 152,277      615
* Endo International plc 109,031      611
* Prestige Consumer Healthcare Inc.   9,595      537
  Royalty Pharma plc Class A  13,073      520
  Encompass Health Corp.   8,983      518
  PerkinElmer Inc.   2,824      514
* United Therapeutics Corp.   2,596      492
* Hologic Inc.   5,922      443
* Fulgent Genetics Inc.   4,545      425
* Community Health Systems Inc.  34,580      416
* Tenet Healthcare Corp.   5,572      406
* Laboratory Corp. of America Holdings   1,395      398
* Catalyst Pharmaceuticals Inc.  48,845      342
  National HealthCare Corp.   5,027      324
  Humana Inc.     757      318
 
98
U.S. Value Factor ETF
    Shares Market
Value•

($000)
* Collegium Pharmaceutical Inc.  16,947      298
* Syneos Health Inc.   2,879      280
  Viatris Inc.  19,078      235
* Computer Programs and Systems Inc.   7,184      212
* Atea Pharmaceuticals Inc.  25,374      205
  UnitedHealth Group Inc.     456      203
* Eagle Pharmaceuticals Inc.   4,029      192
* Acadia Healthcare Co. Inc.   3,205      180
  Thermo Fisher Scientific Inc.     280      177
* BioDelivery Sciences International Inc.  48,753      136
  Owens & Minor Inc.   3,330      133
* ANI Pharmaceuticals Inc.   3,163      130
  Select Medical Holdings Corp.   4,767      128
* Co-Diagnostics Inc.  12,980      125
* DaVita Inc.   1,314      124
* Ovid therapeutics Inc.  33,745      113
* MEDNAX Inc.   4,576      112
* Supernus Pharmaceuticals Inc.   3,619      109
* Amneal Pharmaceuticals Inc.  23,490       98
  Amgen Inc.     446       89
        48,217
Industrials (15.2%)
  FedEx Corp.  19,008    4,379
  Global Payments Inc.  23,174    2,759
  Fidelity National Information Services Inc.  25,115    2,625
  Capital One Financial Corp.  13,206    1,856
  General Dynamics Corp.   9,755    1,843
  Northrop Grumman Corp.   4,329    1,510
  L3Harris Technologies Inc.   7,113    1,487
  Lockheed Martin Corp.   3,911    1,304
  Knight-Swift Transportation Holdings Inc.  22,200    1,271
* Atlas Air Worldwide Holdings Inc.  14,379    1,260
* Fiserv Inc.  11,701    1,129
* Veritiv Corp.   7,993    1,007
  Allison Transmission Holdings Inc.  28,955    1,002
  Westrock Co.  22,081      958
  Alliance Data Systems Corp.  13,768      938
  ManpowerGroup Inc.  10,451      937
  Triton International Ltd.  15,872      888
  Johnson Controls International plc  11,554      864
* Meritor Inc.  33,330      843
* Berry Global Group Inc.  12,180      841
  PACCAR Inc.   9,344      779
  Air Lease Corp. Class A  19,141      777
  ArcBest Corp.   7,302      753
* WESCO International Inc.   6,054      751
  Louisiana-Pacific Corp.  11,217      733
* BlueLinx Holdings Inc.  10,350      730
  Graphic Packaging Holding Co.  36,213      715
  SFL Corp. Ltd.  84,050      701
  Ryder System Inc.   8,367      695
* Tutor Perini Corp.  48,284      621
  Costamare Inc.  51,381      617
* Textainer Group Holdings Ltd.  18,224      595
  Herc Holdings Inc.   3,465      591
  Owens Corning   6,930      588
    Shares Market
Value•

($000)
  Acuity Brands Inc.   2,768      557
* GMS Inc.   9,790      547
* US Xpress Enterprises Inc. Class A  68,820      541
* Sterling Construction Co. Inc.  20,758      535
  Kelly Services Inc. Class A  31,092      524
  International Seaways Inc.  35,873      524
  Genco Shipping & Trading Ltd.  33,301      513
* Frontline Ltd.  74,544      511
  Wabash National Corp.  29,828      498
* Titan Machinery Inc.  14,693      488
  nVent Electric plc  13,892      484
* United Rentals Inc.   1,427      483
  Raytheon Technologies Corp.   5,898      477
* CoreCivic Inc.  44,047      474
* Air Transport Services Group Inc.  18,447      455
  Dorian LPG Ltd.  34,243      422
  Hillenbrand Inc.   9,338      416
  MKS Instruments Inc.   2,728      415
* American Woodmark Corp.   6,707      413
  Quanta Services Inc.   3,547      404
* JELD-WEN Holding Inc.  16,461      399
* Conduent Inc.  76,472      385
  DuPont de Nemours Inc.   5,175      383
* BrightView Holdings Inc.  27,542      375
* Covenant Logistics Group Inc. Class A  14,932      374
* Infrastructure and Energy Alternatives Inc.  38,089      360
* DXP Enterprises Inc.  12,945      358
  Sonoco Products Co.   6,068      353
  Synchrony Financial   7,825      350
  REV Group Inc.  21,531      338
  ADT Inc.  39,799      331
* MYR Group Inc.   2,924      324
* Teekay Corp.  96,385      320
* XPO Logistics Inc.   4,345      315
  Scorpio Tankers Inc.  22,120      308
  DHT Holdings Inc.  55,264      307
  Textron Inc.   4,225      299
  Crane Co.   3,060      295
* Kirby Corp.   5,492      287
  3M Co.   1,645      280
  Kaman Corp.   7,500      278
  Curtiss-Wright Corp.   2,157      271
* TrueBlue Inc.  10,172      265
  Argan Inc.   6,173      243
  AGCO Corp.   2,192      242
  Primoris Services Corp.  10,751      241
  EMCOR Group Inc.   1,984      237
  Resources Connection Inc.  13,774      237
  Greif Inc. Class A   3,869      235
  Matson Inc.   2,810      229
  Oshkosh Corp.   2,119      228
* MasTec Inc.   2,419      223
* Colfax Corp.   4,751      221
  Schneider National Inc. Class B   8,719      214
* Modine Manufacturing Co.  20,403      211
  Flowserve Corp.   6,977      209
* Mohawk Industries Inc.   1,244      209
* Donnelley Financial Solutions Inc.   4,417      206
  Quanex Building Products Corp.   9,609      205
* O-I Glass Inc.  18,455      204
 
99
U.S. Value Factor ETF
    Shares Market
Value•

($000)
* FTI Consulting Inc.   1,383      202
  Norfolk Southern Corp.     756      201
  Westinghouse Air Brake Technologies Corp.   2,257      200
* Beacon Roofing Supply Inc.   3,992      199
* Gates Industrial Corp. plc  12,172      195
  Deluxe Corp.   5,717      193
  Kronos Worldwide Inc.  13,692      192
  Regal Rexnord Corp.   1,215      192
* ASGN Inc.   1,563      190
* Builders FirstSource Inc.   2,618      182
* AAR Corp.   5,478      179
* Manitowoc Co. Inc.   9,253      176
  HB Fuller Co.   2,390      175
  Moog Inc. Class A   2,531      175
* Summit Materials Inc. Class A   4,604      172
  Apogee Enterprises Inc.   4,137      171
* Ducommun Inc.   3,984      169
* Hub Group Inc. Class A   2,178      169
* API Group Corp.   7,134      166
  American Express Co.   1,076      164
* Cornerstone Building Brands Inc.  10,342      163
* Resideo Technologies Inc.   6,244      163
  Carlisle Cos. Inc.     703      158
* Fluor Corp.   7,039      156
  GATX Corp.   1,575      155
  ABM Industries Inc.   3,387      152
  Emerson Electric Co.   1,641      144
  Brunswick Corp.   1,521      143
  Werner Enterprises Inc.   3,049      138
  Trinity Industries Inc.   5,157      137
  Huntington Ingalls Industries Inc.     725      129
* Vectrus Inc.   3,043      127
* Great Lakes Dredge & Dock Corp.   8,524      126
  Maxar Technologies Inc.   4,551      125
* Safe Bulkers Inc.  34,170      124
  Greenbrier Cos. Inc.   2,986      119
* Thermon Group Holdings Inc.   6,705      116
  Sealed Air Corp.   1,852      115
* AECOM   1,642      113
  Silgan Holdings Inc.   2,670      111
  Ennis Inc.   5,626      107
  Heidrick & Struggles International Inc.   2,466      106
  Otter Tail Corp.   1,624      106
  Griffon Corp.   3,993      105
* PGT Innovations Inc.   5,112      105
  Packaging Corp. of America     804      105
  Altra Industrial Motion Corp.   1,883       99
  Belden Inc.   1,585       98
  Snap-on Inc.     472       97
  Marten Transport Ltd.   5,910       95
* Ardmore Shipping Corp.  25,636       94
  Deere & Co.     265       92
  MDU Resources Group Inc.   3,347       91
  Eagle Bulk Shipping Inc.   2,261       91
* Loyalty Ventures Inc.   2,511       72
* BM Technologies Inc. (XASE)   1,618       20
        68,236
Real Estate (0.4%)
  Newmark Group Inc. Class A  23,411      376
* Jones Lang LaSalle Inc.   1,380      324
* Realogy Holdings Corp.  20,856      317
    Shares Market
Value•

($000)
  RE/MAX Holdings Inc. Class A   6,051      166
  Preferred Apartment Communities Inc. Class A  11,947      157
  EPR Properties   3,103      143
  VICI Properties Inc.   5,059      138
  Brixmor Property Group Inc.   4,905      112
  STORE Capital Corp.   3,180      105
         1,838
Technology (7.3%)
  Micron Technology Inc.  48,380    4,064
  International Business Machines Corp.  24,842    2,909
  HP Inc.  63,565    2,243
  QUALCOMM Inc.   9,684    1,749
  Hewlett Packard Enterprise Co. 111,643    1,602
* Arrow Electronics Inc.  11,873    1,444
  Cognizant Technology Solutions Corp. Class A  15,087    1,176
* TTM Technologies Inc.  80,252    1,106
  Vishay Intertechnology Inc.  47,327      964
* Western Digital Corp.  15,396      891
* CACI International Inc. Class A   2,972      771
  Amkor Technology Inc.  33,590      724
  Jabil Inc.  11,421      668
* II-VI Inc.  10,583      662
* ScanSource Inc.  20,638      645
* Photronics Inc.  46,537      615
* Sanmina Corp.  16,544      605
  Broadcom Inc.   1,037      574
  Amdocs Ltd.   7,298      510
  Xperi Holding Corp.  27,951      501
* Alpha & Omega Semiconductor Ltd.   9,307      457
* DXC Technology Co.  14,685      440
  Ebix Inc.  12,909      394
  Science Applications International Corp.   4,670      392
  Xerox Holdings Corp.  20,321      374
  Corning Inc.   9,163      340
  Concentrix Corp.   2,034      338
  Benchmark Electronics Inc.  14,081      332
* NCR Corp.   7,939      309
* Ultra Clean Holdings Inc.   5,003      274
* Ziff Davis Inc.   2,368      270
* Ichor Holdings Ltd.   5,624      269
  NortonLifeLock Inc.  10,788      268
  Oracle Corp.   2,937      267
  TD SYNNEX Corp.   2,543      263
  SolarWinds Corp.  17,890      258
* NetScout Systems Inc.   8,332      249
  Intel Corp.   4,742      233
* Dell Technologies Inc. Class C   3,913      221
  Methode Electronics Inc.   4,979      221
* Parsons Corp.   6,460      214
  Avnet Inc.   5,845      212
  Applied Materials Inc.   1,367      201
  VMware Inc. Class A   1,724      201
* Insight Enterprises Inc.   1,939      191
* Synaptics Inc.     569      161
* SMART Global Holdings Inc.   2,757      157
* Allscripts Healthcare Solutions Inc.   8,335      139
* VirnetX Holding Corp.  40,786      122
* Cohu Inc.   3,563      117
 
100
U.S. Value Factor ETF
    Shares Market
Value•

($000)
* Qorvo Inc.     768      112
* Super Micro Computer Inc.   2,602      108
  NXP Semiconductors NV     475      106
  KBR Inc.   2,114       93
* Kyndryl Holdings Inc.   2,513       40
        32,766
Telecommunications (4.5%)
  Verizon Communications Inc. 128,892    6,479
  Comcast Corp. Class A  60,344    3,016
  AT&T Inc.  69,608    1,589
* Altice USA Inc. Class A  80,051    1,268
* DISH Network Corp. Class A  33,173    1,037
  Cisco Systems Inc.  15,912      873
  Lumen Technologies Inc.  69,191      854
  Telephone and Data Systems Inc.  44,165      781
* Charter Communications Inc. Class A   1,093      706
* T-Mobile US Inc.   4,601      501
* EchoStar Corp. Class A  16,497      451
* Liberty Latin America Ltd. Class C  37,261      419
* Lumentum Holdings Inc.   4,812      418
* US Cellular Corp.  13,975      407
  Juniper Networks Inc.  12,679      395
* WideOpenWest Inc.  17,876      332
* Consolidated Communications Holdings Inc.  20,143      151
* Liberty Latin America Ltd. Class A  12,267      139
* Liberty Global plc Class C   4,008      107
        19,923
Utilities (0.5%)
  UGI Corp.   9,943      410
  Public Service Enterprise Group Inc.   6,529      408
    Shares Market
Value•

($000)
  Southern Co.   5,090      311
  National Fuel Gas Co.   5,304      307
  Exelon Corp.   3,897      206
  Avangrid Inc.   3,440      174
  FirstEnergy Corp.   3,676      138
  ALLETE Inc.   2,120      124
  Evergy Inc.   1,470       93
  Hawaiian Electric Industries Inc.   2,346       89
         2,260
Total Common Stocks (Cost $374,947) 446,068
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
2,3 Vanguard Market Liquidity Fund, 0.077% (Cost $1,870)  18,696         1,870
Total Investments (99.9%) (Cost $376,817) 447,938
Other Assets and Liabilities—Net (0.1%) 326
Net Assets (100%) 448,264
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 $481,000.
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 $540,000 was received for securities on loan.
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index December 2021 7 1,598 45
Micro E-mini S&P 500 Index December 2021 9 205 4
        49
  
See accompanying Notes, which are an integral part of the Financial Statements.
101
U.S. Value Factor ETF
Statement of Assets and Liabilities
As of November 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $374,947) 446,068
Affiliated Issuers (Cost $1,870) 1,870
Total Investments in Securities 447,938
Investment in Vanguard 14
Cash Collateral Pledged—Futures Contracts 98
Receivables for Investment Securities Sold 10
Receivables for Accrued Income 815
Total Assets 448,875
Liabilities  
Due to Custodian 13
Collateral for Securities on Loan 540
Payables to Vanguard 25
Variation Margin Payable—Futures Contracts 33
Total Liabilities 611
Net Assets 448,264
At November 30, 2021, net assets consisted of:  
   
Paid-in Capital 385,868
Total Distributable Earnings (Loss) 62,396
Net Assets 448,264
 
Net Assets  
Applicable to 4,490,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		448,264
Net Asset Value Per Share $99.84
  
See accompanying Notes, which are an integral part of the Financial Statements.
102
U.S. Value Factor ETF
Statement of Operations
  Year Ended
November 30, 2021
  ($000)
Investment Income  
Income  
Dividends1 6,947
Interest2 1
Securities Lending—Net 9
Total Income 6,957
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 296
Management and Administrative 77
Marketing and Distribution 13
Custodian Fees 4
Auditing Fees 31
Shareholders’ Reports 8
Trustees’ Fees and Expenses —
Total Expenses 429
Net Investment Income 6,528
Realized Net Gain (Loss)  
Investment Securities Sold2,3 7,456
Futures Contracts 203
Realized Net Gain (Loss) 7,659
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 52,678
Futures Contracts 36
Change in Unrealized Appreciation (Depreciation) 52,714
Net Increase (Decrease) in Net Assets Resulting from Operations 66,901
1 Dividends are net of foreign withholding taxes of $2,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $8,033,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
103
U.S. Value Factor ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2021
($000) 		2020
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 6,528 2,769
Realized Net Gain (Loss) 7,659 (5,254)
Change in Unrealized Appreciation (Depreciation) 52,714 17,857
Net Increase (Decrease) in Net Assets Resulting from Operations 66,901 15,372
Distributions    
Total Distributions (5,430) (2,473)
Capital Share Transactions    
Issued 273,133 63,070
Issued in Lieu of Cash Distributions — —
Redeemed (19,466) (24,015)
Net Increase (Decrease) from Capital Share Transactions 253,667 39,055
Total Increase (Decrease) 315,138 51,954
Net Assets    
Beginning of Period 133,126 81,172
End of Period 448,264 133,126
  
See accompanying Notes, which are an integral part of the Financial Statements.
104
U.S. Value Factor ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $73.96 $75.51 $74.35 $75.00
Investment Operations        
Net Investment Income2 1.923 1.689 1.671 1.276
Net Realized and Unrealized Gain (Loss) on Investments 25.644 (1.634) 1.053 (1.295)
Total from Investment Operations 27.567 .055 2.724 (.019)
Distributions        
Dividends from Net Investment Income (1.687) (1.605) (1.564) (.631)
Distributions from Realized Capital Gains — — — —
Total Distributions (1.687) (1.605) (1.564) (.631)
Net Asset Value, End of Period $99.84 $73.96 $75.51 $74.35
Total Return 37.51% 0.70% 3.83% -0.08%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $448 $133 $81 $37
Ratio of Total Expenses to Average Net Assets 0.13% 0.14%3 0.14%3 0.13%4
Ratio of Net Investment Income to Average Net Assets 1.98% 2.68% 2.32% 2.05%4
Portfolio Turnover Rate 43%5 52%5 73% 16%
1 Inception.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%.
4 Annualized.
5 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.
105
U.S. Value Factor ETF
Notes to Financial Statements
Vanguard U.S. Value Factor ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange, Inc.; they can be purchased and sold through a broker. 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. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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.
106
U.S. Value Factor ETF
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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.
107
U.S. Value Factor ETF
For the year ended November 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2021, the fund had contributed to Vanguard capital in the amount of $14,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At November 30, 2021, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and passive foreign investment companies were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 8,034
Total Distributable Earnings (Loss) (8,034)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in future. The differences are primarily related to the deferral of losses from wash sales; the recognition of
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U.S. Value Factor ETF
unrealized gains or losses from certain dervatives contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 1,813
Undistributed Long-Term Gains —
Capital Loss Carryforwards (10,521)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 71,104
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2021
Amount
($000) 		2020
Amount
($000)
Ordinary Income* 5,430 2,473
Long-Term Capital Gains — —
Total 5,430 2,473
* Includes short-term capital gains, if any.
As of November 30, 2021, 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 376,835
Gross Unrealized Appreciation 85,903
Gross Unrealized Depreciation (14,799)
Net Unrealized Appreciation (Depreciation) 71,104
E. During the year ended November 30, 2021, the fund purchased $410,283,000 of investment securities and sold $157,000,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $19,381,000, 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 year ended November 30, 2021, such purchases were $152,000 and sales were $291,000, resulting in net realized loss of $44,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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U.S. Value Factor ETF
F. Capital share transactions for each class of shares were:
    
  Year Ended November 30,
  2021
Shares
(000) 		2020
Shares
(000)
     
Issued 2,895 1,150
Issued in Lieu of Cash Distributions — —
Redeemed (205) (425)
Net Increase (Decrease) in Shares Outstanding 2,690 725
At November 30, 2021, one shareholder was a record or beneficial owner of 28% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to November 30, 2021, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Wellington Fund and Shareholders of 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 and Vanguard U.S. Value Factor ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of 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 and Vanguard U.S. Value Factor ETF (six of the funds constituting Vanguard Wellington Fund, hereafter collectively referred to as the "Funds") as of November 30, 2021, the related statements of operations for the year ended November 30, 2021, the statements of changes in net assets for each of the two years in the period ended November 30, 2021, including the related notes, and the financial highlights for each of the three years in the period ended November 30, 2021 and for the period February 13, 2018 (inception) through November 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of November 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended November 30, 2021 and each of the financial highlights for each of the three years in the period ended November 30, 2021 and for the period February 13, 2018 (inception) through November 30, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from the transfer agent or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 19, 2022
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Special 2021 tax information (unaudited) for Vanguard U.S. Factor ETFs
This information for the fiscal year ended November 30, 2021, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund ($000)
U.S. Liquidity Factor ETF 647
U.S. Minimum Volatility ETF 839
U.S. Momentum Factor ETF 717
U.S. Multifactor ETF 1,170
U.S. Quality Factor ETF 932
U.S. Value Factor ETF 5,430
The funds distributed qualified business income to shareholders during the fiscal year as follows:
Fund ($000)
U.S. Liquidity Factor ETF 13
U.S. Minimum Volatility ETF 66
U.S. Momentum Factor ETF —
U.S. Multifactor ETF —
U.S. Quality Factor ETF —
U.S. Value Factor ETF —
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund Percentage
U.S. Liquidity Factor ETF 100.0%
U.S. Minimum Volatility ETF 100.0
U.S. Momentum Factor ETF 100.0
U.S. Multifactor ETF 100.0
U.S. Quality Factor ETF 100.0
U.S. Value Factor ETF 99.7
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 217 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal (2002–2006), the advisory board of the University of California, Berkeley School of
Engineering (2020–present), and the advisory board of Santa Clara University’s Leavey School of Business (2018–present).
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of
 
1  Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor (retired June 2020) of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, and the
Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Professor (2020–present), Distinguished Fellow of the Global Financial Markets Center (2020–present), and Rubenstein Fellow (2017–2020) at Duke University. Trustee (2017–present) of Amherst College and member of Amherst College Investment Committee (2019–present). Member of the Regenerative Crisis Response Committee (2020–present).
David A. Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company (2013–present). Trustee of Common Fund (2019–present).
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the BMW Group Mobility Council.
Executive Officers
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
John T. Marcante Lauren Valente
Chris D. Mclsaac  
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected].
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