Vanguard S&P Small-Cap 600 Index Fund |
Vanguard S&P Small-Cap 600 Value Index Fund |
Vanguard S&P Small-Cap 600 Growth Index Fund |
• | 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. |
• | 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. |
Six Months Ended February 28, 2023 | |||
Beginning Account Value 8/31/2022 |
Ending Account Value 2/28/2023 |
Expenses Paid During Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,063.60 | $0.51 |
Institutional Shares | 1,000.00 | 1,063.80 | 0.41 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,095.30 | $0.78 |
Institutional Shares | 1,000.00 | 1,095.90 | 0.42 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,031.70 | $0.76 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.30 | $0.50 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
Communication Services | 2.1% |
Consumer Discretionary | 13.6 |
Consumer Staples | 5.2 |
Energy | 4.7 |
Financials | 17.6 |
Health Care | 10.6 |
Industrials | 17.5 |
Information Technology | 13.6 |
Materials | 6.0 |
Real Estate | 6.9 |
Utilities | 2.2 |
Shares | Market Value• ($000) | |||||
Chesapeake Utilities Corp. | 82,809 | 10,607 | ||||
SJW Group | 124,942 | 9,551 | ||||
Northwest Natural Holding Co. | 163,452 | 7,901 | ||||
Middlesex Water Co. | 82,295 | 6,296 | ||||
Unitil Corp. | 74,686 | 4,057 | ||||
96,288 | ||||||
Total Common Stocks (Cost $4,225,928) |
4,362,705 | |||||
Temporary Cash Investments (0.1%) | ||||||
Money Market Fund (0.1%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 4.640% (Cost $6,377) |
63,790 | 6,379 | |||
Total Investments (100.0%) (Cost $4,232,305) |
4,369,084 | |||||
Other Assets and Liabilities—Net (0.0%) | (1,907) | |||||
Net Assets (100%) | 4,367,177 |
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 $5,947,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $6,366,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 39 | 3,703 | (70) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $4,225,928) | 4,362,705 |
Affiliated Issuers (Cost $6,377) | 6,379 |
Total Investments in Securities | 4,369,084 |
Investment in Vanguard | 155 |
Cash | 2,027 |
Cash Collateral Pledged—Futures Contracts | 230 |
Receivables for Investment Securities Sold | 11,945 |
Receivables for Accrued Income | 3,195 |
Receivables for Capital Shares Issued | 1,267 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 4,387,903 |
Liabilities | |
Payables for Investment Securities Purchased | 14,114 |
Collateral for Securities on Loan | 6,366 |
Payables for Capital Shares Redeemed | 103 |
Payables to Vanguard | 143 |
Total Liabilities | 20,726 |
Net Assets | 4,367,177 |
1 Includes $5,947,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: |
|
Paid-in Capital | 4,404,500 |
Total Distributable Earnings (Loss) | (37,323) |
Net Assets | 4,367,177 |
ETF Shares—Net Assets2 | |
Applicable
to 25,250,074 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
2,367,265 |
Net Asset Value Per Share—ETF Shares | $93.75 |
Institutional Shares—Net Assets | |
Applicable
to 5,302,765 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
1,999,912 |
Net Asset Value Per Share—Institutional Shares | $377.15 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six
Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 30,794 |
Interest2 | 33 |
Securities Lending—Net | 223 |
Total Income | 31,050 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 48 |
Management and Administrative—ETF Shares | 887 |
Management and Administrative—Institutional Shares | 652 |
Marketing and Distribution—ETF Shares | 63 |
Marketing and Distribution—Institutional Shares | 36 |
Custodian Fees | 87 |
Shareholders’ Reports—ETF Shares | 41 |
Shareholders’ Reports—Institutional Shares | 19 |
Trustees’ Fees and Expenses | 1 |
Other Expenses | 6 |
Total Expenses | 1,840 |
Net Investment Income | 29,210 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 10,252 |
Futures Contracts | (142) |
Realized Net Gain (Loss) | 10,110 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 218,789 |
Futures Contracts | 171 |
Change in Unrealized Appreciation (Depreciation) | 218,960 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 258,280 |
1 | Dividends are net of foreign withholding taxes of $32,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $94,986,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended February 28, 2023 |
Year
Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 29,210 | 51,655 | |
Realized Net Gain (Loss) | 10,110 | 269,098 | |
Change in Unrealized Appreciation (Depreciation) | 218,960 | (812,390) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 258,280 | (491,637) | |
Distributions | |||
ETF Shares | (32,040) | (22,040) | |
Institutional Shares | (27,853) | (23,304) | |
Total Distributions | (59,893) | (45,344) | |
Capital Share Transactions | |||
ETF Shares | 231,898 | 476,073 | |
Institutional Shares | (86,403) | 426,601 | |
Net Increase (Decrease) from Capital Share Transactions | 145,495 | 902,674 | |
Total Increase (Decrease) | 343,882 | 365,693 | |
Net Assets | |||
Beginning of Period | 4,023,295 | 3,657,602 | |
End of Period | 4,367,177 | 4,023,295 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 |
Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $89.49 | $103.20 | $67.80 | $69.05 | $82.34 | $62.92 |
Investment Operations | ||||||
Net Investment Income2 | .631 | 1.273 | 1.143 | .973 | .971 | .892 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.940 | (13.765) | 35.170 | (1.180) | (13.429) | 19.299 |
Total from Investment Operations | 5.571 | (12.492) | 36.313 | (.207) | (12.458) | 20.191 |
Distributions | ||||||
Dividends from Net Investment Income | (1.311) | (1.218) | (.913) | (1.043) | (.832) | (.771) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.311) | (1.218) | (.913) | (1.043) | (.832) | (.771) |
Net Asset Value, End of Period | $93.75 | $89.49 | $103.20 | $67.80 | $69.05 | $82.34 |
Total Return | 6.36% | -12.26% | 53.88% | -0.43% | -15.09% | 32.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,367 | $2,027 | $1,806 | $987 | $991 | $1,107 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10%3 | 0.10% | 0.10% | 0.10% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.31% | 1.25% | 1.46% | 1.36% | 1.23% |
Portfolio Turnover Rate4 | 8% | 12% | 18% | 15% | 9% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
3 | The ratio of expenses to average net assets for the period net of reduction from was 0.10%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended February 28, 2023 |
Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 | $252.98 |
Investment Operations | ||||||
Net Investment Income1 | 2.606 | 5.226 | 4.566 | 3.951 | 3.941 | 3.769 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.856 | (55.426) | 141.589 | (4.694) | (54.011) | 77.632 |
Total from Investment Operations | 22.462 | (50.200) | 146.155 | (.743) | (50.070) | 81.401 |
Distributions | ||||||
Dividends from Net Investment Income | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (5.312) | (4.960) | (3.705) | (4.227) | (3.510) | (3.121) |
Net Asset Value, End of Period | $377.15 | $360.00 | $415.16 | $272.71 | $277.68 | $331.26 |
Total Return | 6.38% | -12.21% | 53.93% | -0.41% | -15.09% | 32.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,000 | $1,996 | $1,852 | $1,377 | $1,186 | $1,019 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.53% | 1.34% | 1.26% | 1.47% | 1.38% | 1.30% |
Portfolio Turnover Rate3 | 8% | 12% | 18% | 15% | 9% | 13% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from was 0.08%. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 4,362,705 | — | — | 4,362,705 |
Temporary Cash Investments | 6,379 | — | — | 6,379 |
Total | 4,369,084 | — | — | 4,369,084 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 70 | — | — | 70 |
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. |
Amount ($000) | |
Tax Cost | 4,245,442 |
Gross Unrealized Appreciation | 707,072 |
Gross Unrealized Depreciation | (583,500) |
Net Unrealized Appreciation (Depreciation) | 123,572 |
Six Months Ended February 28, 2023 |
Year Ended August 31, 2022 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
ETF Shares1 | |||||
Issued | 524,269 | 5,850 | 1,313,147 | 13,800 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (292,371) | (3,250) | (837,074) | (8,650) | |
Net Increase (Decrease)—ETF Shares | 231,898 | 2,600 | 476,073 | 5,150 | |
Institutional Shares | |||||
Issued | 96,210 | 266 | 614,744 | 1,573 | |
Issued in Lieu of Cash Distributions | 24,779 | 72 | 20,984 | 53 | |
Redeemed | (207,392) | (580) | (209,127) | (541) | |
Net Increase (Decrease)—Institutional Shares | (86,403) | (242) | 426,601 | 1,085 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 2.6% |
Consumer Discretionary | 18.6 |
Consumer Staples | 4.5 |
Energy | 3.8 |
Financials | 19.1 |
Health Care | 8.3 |
Industrials | 16.5 |
Information Technology | 8.6 |
Materials | 5.5 |
Real Estate | 10.7 |
Utilities | 1.8 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 25 | 2,374 | 25 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $1,451,539) | 1,441,419 |
Affiliated Issuers (Cost $3,399) | 3,399 |
Total Investments in Securities | 1,444,818 |
Investment in Vanguard | 50 |
Cash | 950 |
Cash Collateral Pledged—Futures Contracts | 150 |
Receivables for Investment Securities Sold | 3,500 |
Receivables for Accrued Income | 1,053 |
Receivables for Capital Shares Issued | 14 |
Variation Margin Receivable—Futures Contracts | — |
Total Assets | 1,450,535 |
Liabilities | |
Payables for Investment Securities Purchased | 4,933 |
Collateral for Securities on Loan | 1,947 |
Payables to Vanguard | 76 |
Total Liabilities | 6,956 |
Net Assets | 1,443,579 |
1 Includes $1,825,000 of securities on loan. |
Statement of Assets and Liabilities (continued)
| |
At February 28, 2023, net assets consisted of: |
|
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 1,590,816 |
Total Distributable Earnings (Loss) | (147,237) |
Net Assets | 1,443,579 |
ETF Shares—Net Assets2 | |
Applicable
to 16,000,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
1,386,178 |
Net Asset Value Per Share—ETF Shares | $86.64 |
Institutional Shares—Net Assets | |
Applicable
to 158,264 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
57,401 |
Net Asset Value Per Share—Institutional Shares | $362.69 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six
Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 10,414 |
Interest2 | 13 |
Securities Lending—Net | 129 |
Total Income | 10,556 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 16 |
Management and Administrative—ETF Shares | 811 |
Management and Administrative—Institutional Shares | 18 |
Marketing and Distribution—ETF Shares | 36 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 29 |
Shareholders’ Reports—ETF Shares | 33 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 950 |
Net Investment Income | 9,606 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 2,976 |
Futures Contracts | (68) |
Realized Net Gain (Loss) | 2,908 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 93,265 |
Futures Contracts | 120 |
Change in Unrealized Appreciation (Depreciation) | 93,385 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 105,899 |
1 | Dividends are net of foreign withholding taxes of $2,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $11,000, $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $80,520,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended February 28, 2023 |
Year
Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,606 | 21,479 | |
Realized Net Gain (Loss) | 2,908 | 135,539 | |
Change in Unrealized Appreciation (Depreciation) | 93,385 | (276,947) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 105,899 | (119,929) | |
Distributions | |||
ETF Shares | (14,840) | (20,966) | |
Institutional Shares | (672) | (1,129) | |
Total Distributions | (15,512) | (22,095) | |
Capital Share Transactions | |||
ETF Shares | 50,434 | 56,993 | |
Institutional Shares | 333 | (8,610) | |
Net Increase (Decrease) from Capital Share Transactions | 50,767 | 48,383 | |
Total Increase (Decrease) | 141,154 | (93,641) | |
Net Assets | |||
Beginning of Period | 1,302,425 | 1,396,066 | |
End of Period | 1,443,579 | 1,302,425 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 |
Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $80.11 | $88.82 | $56.26 | $61.62 | $74.53 | $59.12 |
Investment Operations | ||||||
Net Investment Income2 | .596 | 1.372 | 1.296 | 1.091 | 1.071 | 1.044 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.907 | (8.648) | 32.307 | (5.393) | (12.906) | 15.296 |
Total from Investment Operations | 7.503 | (7.276) | 33.603 | (4.302) | (11.835) | 16.340 |
Distributions | ||||||
Dividends from Net Investment Income | (.973) | (1.434) | (1.043) | (1.058) | (1.075) | (.930) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.973) | (1.434) | (1.043) | (1.058) | (1.075) | (.930) |
Net Asset Value, End of Period | $86.64 | $80.11 | $88.82 | $56.26 | $61.62 | $74.53 |
Total Return | 9.53% | -8.28% | 60.19% | -7.08% | -15.93% | 27.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,386 | $1,250 | $1,328 | $501 | $373 | $410 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.59% | 1.61% | 1.90% | 1.66% | 1.54% |
Portfolio Turnover Rate3 | 30% | 36% | 30% | 46% | 39% | 34% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended February 28, 2023 |
Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 | $247.26 |
Investment Operations | ||||||
Net Investment Income1 | 2.662 | 5.824 | 5.457 | 4.805 | 4.609 | 4.630 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.819 | (36.009) | 135.457 | (22.489) | (53.914) | 64.065 |
Total from Investment Operations | 31.481 | (30.185) | 140.914 | (17.684) | (49.305) | 68.695 |
Distributions | ||||||
Dividends from Net Investment Income | (4.191) | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (4.191) | (6.255) | (4.544) | (4.536) | (4.755) | (4.205) |
Net Asset Value, End of Period | $362.69 | $335.40 | $371.84 | $235.47 | $257.69 | $311.75 |
Total Return | 9.59% | -8.20% | 60.32% | -6.94% | -15.87% | 28.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $57 | $53 | $68 | $42 | $35 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 1.73% | 1.61% | 1.67% | 2.00% | 1.73% | 1.66% |
Portfolio Turnover Rate2 | 30% | 36% | 30% | 46% | 39% | 34% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,441,419 | — | — | 1,441,419 |
Temporary Cash Investments | 3,399 | — | — | 3,399 |
Total | 1,444,818 | — | — | 1,444,818 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 25 | — | — | 25 |
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. |
Amount ($000) | |
Tax Cost | 1,458,938 |
Gross Unrealized Appreciation | 143,525 |
Gross Unrealized Depreciation | (157,620) |
Net Unrealized Appreciation (Depreciation) | (14,095) |
Six Months Ended February 28, 2023 |
Year Ended August 31, 2022 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
ETF Shares1 | |||||
Issued | 460,155 | 5,600 | 649,403 | 7,450 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (409,721) | (5,200) | (592,410) | (6,800) | |
Net Increase (Decrease)—ETF Shares | 50,434 | 400 | 56,993 | 650 | |
Institutional Shares | |||||
Issued | 6,402 | 19 | 30,070 | 83 | |
Issued in Lieu of Cash Distributions | 572 | 2 | 979 | 3 | |
Redeemed | (6,641) | (20) | (39,659) | (113) | |
Net Increase (Decrease)—Institutional Shares | 333 | 1 | (8,610) | (27) |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |
Communication Services | 1.6% |
Consumer Discretionary | 8.8 |
Consumer Staples | 5.9 |
Energy | 5.5 |
Financials | 16.3 |
Health Care | 12.8 |
Industrials | 18.4 |
Information Technology | 18.5 |
Materials | 6.4 |
Real Estate | 3.2 |
Utilities | 2.6 |
Shares | Market Value• ($000) | |||||
Unitil Corp. | 18,014 | 979 | ||||
Middlesex Water Co. | 12,676 | 970 | ||||
13,934 | ||||||
Total Common Stocks (Cost $494,048) |
534,139 | |||||
Temporary Cash Investments (1.0%) | ||||||
Money Market Fund (1.0%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 4.640% (Cost $5,037) |
50,378 | 5,038 | |||
Total Investments (100.9%) (Cost $499,085) |
539,177 | |||||
Other Assets and Liabilities—Net (-0.9%) | (4,642) | |||||
Net Assets (100%) | 534,535 |
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 $3,929,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $4,004,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | March 2023 | 4 | 380 | (3) |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $494,048) | 534,139 |
Affiliated Issuers (Cost $5,037) | 5,038 |
Total Investments in Securities | 539,177 |
Investment in Vanguard | 19 |
Cash Collateral Pledged—Futures Contracts | 80 |
Receivables for Investment Securities Sold | 2,078 |
Receivables for Accrued Income | 380 |
Receivables for Capital Shares Issued | 3 |
Total Assets | 541,737 |
Liabilities | |
Due to Custodian | 460 |
Payables for Investment Securities Purchased | 2,709 |
Collateral for Securities on Loan | 4,004 |
Payables to Vanguard | 29 |
Variation Margin Payable—Futures Contracts | — |
Total Liabilities | 7,202 |
Net Assets | 534,535 |
1 Includes $3,929,000 of securities on loan. | |
At February 28, 2023, net assets consisted of: |
|
Paid-in Capital | 661,620 |
Total Distributable Earnings (Loss) | (127,085) |
Net Assets | 534,535 |
ETF Shares—Net Assets2 | |
Applicable
to 5,400,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
534,535 |
Net Asset Value Per Share—ETF Shares | $98.99 |
2 | Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
Six
Months Ended February 28, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 3,463 |
Interest2 | 10 |
Securities Lending—Net | 14 |
Total Income | 3,487 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6 |
Management and Administrative | 311 |
Marketing and Distribution | 14 |
Custodian Fees | 13 |
Shareholders’ Reports | 21 |
Trustees’ Fees and Expenses | — |
Other Expenses | 6 |
Total Expenses | 371 |
Net Investment Income | 3,116 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (56,097) |
Futures Contracts | 54 |
Realized Net Gain (Loss) | (56,043) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 68,618 |
Futures Contracts | 6 |
Change in Unrealized Appreciation (Depreciation) | 68,624 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,697 |
1 | Dividends are net of foreign withholding taxes of $7,000. |
2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $10,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $8,948,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended February 28, 2023 |
Year
Ended August 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 3,116 | 4,673 | |
Realized Net Gain (Loss) | (56,043) | 19,847 | |
Change in Unrealized Appreciation (Depreciation) | 68,624 | (121,602) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,697 | (97,082) | |
Distributions | |||
Total Distributions | (3,674) | (5,133) | |
Capital Share Transactions | |||
Issued | 66,079 | 232,231 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (36,695) | (202,342) | |
Net Increase (Decrease) from Capital Share Transactions | 29,384 | 29,889 | |
Total Increase (Decrease) | 41,407 | (72,326) | |
Net Assets | |||
Beginning of Period | 493,128 | 565,454 | |
End of Period | 534,535 | 493,128 |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period1 | Six Months Ended February 28, 2023 |
Year Ended August 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $96.69 | $116.59 | $79.48 | $76.17 | $89.71 | $66.05 |
Investment Operations | ||||||
Net Investment Income2 | .596 | .927 | .813 | .732 | .738 | .611 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.411 | (19.803) | 36.946 | 3.323 | (13.572) | 23.644 |
Total from Investment Operations | 3.007 | (18.876) | 37.759 | 4.055 | (12.834) | 24.255 |
Distributions | ||||||
Dividends from Net Investment Income | (.707) | (1.024) | (.649) | (.745) | (.706) | (.595) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.707) | (1.024) | (.649) | (.745) | (.706) | (.595) |
Net Asset Value, End of Period | $98.99 | $96.69 | $116.59 | $79.48 | $76.17 | $89.71 |
Total Return | 3.17% | -16.27% | 47.68% | 5.37% | -14.32% | 36.92% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $535 | $493 | $565 | $326 | $392 | $547 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.16% | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 1.25% | 0.87% | 0.79% | 0.97% | 0.94% | 0.80% |
Portfolio Turnover Rate3 | 38% | 42% | 35% | 57% | 47% | 37% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details. |
2 | Calculated based on average shares outstanding. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 534,139 | — | — | 534,139 |
Temporary Cash Investments | 5,038 | — | — | 5,038 |
Total | 539,177 | — | — | 539,177 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 3 | — | — | 3 |
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. |
Amount ($000) | |
Tax Cost | 499,888 |
Gross Unrealized Appreciation | 71,092 |
Gross Unrealized Depreciation | (31,806) |
Net Unrealized Appreciation (Depreciation) | 39,286 |
Six
Months Ended February 28, 2023 |
Year
Ended August 31, 2022 | ||
Shares (000) |
Shares (000) | ||
ETF Shares1 | |||
Issued | 700 | 2,100 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (400) | (1,850) | |
Net Increase (Decrease) in Shares Outstanding—ETF Shares | 300 | 250 |
1 | Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023. |