Semiannual Report   |   May 31, 2022
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
About Your Fund’s Expenses

1
U.S. Liquidity Factor ETF

3
U.S. Minimum Volatility ETF

20
U.S. Momentum Factor ETF

32
U.S. Multifactor ETF

47
U.S. Quality Factor ETF

62
U.S. Value Factor ETF

78
Trustees Approve Advisory Arrangements

95
Liquidity Risk Management

97

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
1

 

Six Months Ended May 31, 2022      
  Beginning
Account Value
11/30/2021
Ending
Account Value
5/31/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
U.S. Liquidity Factor ETF $1,000.00 $878.50 $0.61
U.S. Minimum Volatility ETF $1,000.00 $1,012.40 $0.65
U.S. Momentum Factor ETF $1,000.00 $902.90 $0.62
U.S. Multifactor ETF $1,000.00 $982.00 $0.89
U.S. Quality Factor ETF $1,000.00 $886.60 $0.61
U.S. Value Factor ETF $1,000.00 $1,057.40 $0.67
Based on Hypothetical 5% Yearly Return      
U.S. Liquidity Factor ETF $1,000.00 $1,024.28 $0.66
U.S. Minimum Volatility ETF $1,000.00 $1,024.28 $0.66
U.S. Momentum Factor ETF $1,000.00 $1,024.28 $0.66
U.S. Multifactor ETF $1,000.00 $1,024.03 $0.91
U.S. Quality Factor ETF $1,000.00 $1,024.28 $0.66
U.S. Value Factor ETF $1,000.00 $1,024.28 $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 (182/365).
2

 

U.S. Liquidity Factor ETF
Fund Allocation
As of May 31, 2022
Basic Materials 5.0%
Consumer Discretionary 7.5
Consumer Staples 2.9
Energy 2.4
Financials 25.0
Health Care 18.2
Industrials 23.9
Real Estate 0.6
Technology 11.0
Telecommunications 1.9
Utilities 1.6
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.
3

 

U.S. Liquidity Factor ETF
Financial Statements (unaudited)
Schedule of Investments
As of May 31, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.7%)
Basic Materials (5.0%)
  Ecolab Inc.  1,976      324
  Dow Inc.  4,112      280
  Air Products and Chemicals Inc.    892      220
  Balchem Corp.  1,100      137
  Southern Copper Corp.  1,822      113
  UFP Industries Inc.  1,332      103
  Reliance Steel & Aluminum Co.    526      102
* RBC Bearings Inc.    504       94
  Valvoline Inc.  2,782       93
  Timken Co.  1,335       81
  American Vanguard Corp.  3,193       79
  Avient Corp.  1,562       77
  Chemours Co.  1,621       70
  FutureFuel Corp.  9,610       69
  Orion Engineered Carbons SA  2,443       47
  Royal Gold Inc.    373       42
* Clearwater Paper Corp.  1,092       37
  Minerals Technologies Inc.    543       36
  Stepan Co.    314       35
  Ryerson Holding Corp.  1,057       32
  Ashland Global Holdings Inc.    287       31
* Novagold Resources Inc.  4,660       26
  Koppers Holdings Inc.    883       24
* Rayonier Advanced Materials Inc.  6,282       24
  Materion Corp.    129       11
  Element Solutions Inc.    478       10
  Hexcel Corp.    175       10
  Schweitzer-Mauduit International Inc.    386       10
* Univar Solutions Inc.    337       10
  Ecovyst Inc.  1,019       10
         2,237
Consumer Discretionary (7.5%)
* Liberty Media Corp.- Liberty SiriusXM Class C  3,155      130
  AMERCO    233      114
* Liberty Media Corp.-Liberty Formula One Class C  1,788      111
* Fox Factory Holding Corp.  1,273      104
  Lennar Corp. Class B  1,529      103
* Noodles & Co. Class A 14,799       98
  Churchill Downs Inc.    447       90
  Fox Corp. Class B  2,413       79
  Movado Group Inc.  2,295       78
  Carriage Services Inc. Class A  1,897       77
    Shares Market
Value

($000)
  Choice Hotels International Inc.    583       74
* Accel Entertainment Inc. Class A  6,836       74
  Franchise Group Inc.  1,755       70
* Duluth Holdings Inc. Class B  5,525       69
* Vera Bradley Inc. 10,021       68
  Genuine Parts Co.    465       64
  Service Corp. International    914       64
* El Pollo Loco Holdings Inc.  6,008       62
* Universal Electronics Inc.  2,301       62
* Cooper-Standard Holdings Inc. 10,752       60
* Liberty Media Corp.- Liberty Braves Class C  2,406       59
* Stoneridge Inc.  2,864       59
  Rollins Inc.  1,641       58
  Acushnet Holdings Corp.  1,374       56
* Adient plc  1,547       55
  News Corp. Class A  3,045       53
* EW Scripps Co. Class A  3,260       52
  Travel + Leisure Co.  1,024       52
  Johnson Outdoors Inc. Class A    765       50
  Leggett & Platt Inc.  1,268       50
* Monarch Casino & Resort Inc.    745       50
* Full House Resorts Inc.  6,789       48
  Arko Corp.  5,171       47
  Wyndham Hotels & Resorts Inc.    522       42
  Scholastic Corp.  1,086       41
  Gentex Corp.  1,221       38
* Boston Omaha Corp. Class A  1,677       37
* Lands' End Inc.  3,223       37
  OneWater Marine Inc. Class A  1,071       37
* Chuy's Holdings Inc.  1,611       36
* Stagwell Inc.  4,558       36
  Inter Parfums Inc.    458       34
* Arlo Technologies Inc.  4,582       32
* Neogames SA  2,452       32
  Marriott Vacations Worldwide Corp.    211       31
* Barnes & Noble Education Inc. 11,963       30
* Mesa Air Group Inc.  9,948       30
* PlayAGS Inc.  5,118       30
  RCI Hospitality Holdings Inc.    524       30
* QuinStreet Inc.  2,622       29
* American Public Education Inc.  1,708       24
* O'Reilly Automotive Inc.     37       24
  National CineMedia Inc. 19,012       23
  Tilly's Inc. Class A  2,593       21
* TravelCenters of America Inc.    539       21
4

 

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
* Viad Corp.    683       20
* Liquidity Services Inc.  1,397       19
* Scientific Games Corp. Class A    359       19
* Helen of Troy Ltd.     93       17
* Audacy Inc. Class A 10,058       17
  Rocky Brands Inc.    391       15
* Clear Channel Outdoor Holdings Inc.  8,953       14
  HNI Corp.    356       14
* Liberty TripAdvisor Holdings Inc. Class A 11,315       12
* Hilton Grand Vacations Inc.    234       11
  Matthews International Corp. Class A    334       11
* Driven Brands Holdings Inc.    369       11
  Aramark    281       10
  Clarus Corp.    456       10
* Dorman Products Inc.    104       10
* Master Craft Boat Holdings Inc.    413       10
* Mattel Inc.    384       10
  Murphy USA Inc.     42       10
  New York Times Co. Class A    282       10
  Newell Brands Inc.    452       10
  A-Mark Precious Metals Inc.    136       10
* Bright Horizons Family Solutions Inc.     97        9
* Lululemon Athletica Inc.     30        9
  Aaron's Co. Inc.    482        9
         3,332
Consumer Staples (2.9%)
  Flowers Foods Inc.  7,232      200
  Philip Morris International Inc.  1,671      178
  Brown-Forman Corp. Class A  2,698      170
  Colgate-Palmolive Co.  1,839      145
  Kimberly-Clark Corp.    643       85
  Seaboard Corp.     20       83
  Casey's General Stores Inc.    284       59
  Altria Group Inc.    761       41
  Andersons Inc.  1,031       39
  Brown-Forman Corp. Class B    596       39
* Whole Earth Brands Inc.  5,731       39
* Mission Produce Inc.  2,932       39
  Ingredion Inc.    338       32
* Post Holdings Inc.    355       29
  ACCO Brands Corp.  3,700       28
  Albertsons Cos. Inc. Class A    853       26
* Vital Farms Inc.  1,730       17
  Fresh Del Monte Produce Inc.    512       13
  National Beverage Corp.    235       12
  John B Sanfilippo & Son Inc.    139       11
* Duckhorn Portfolio Inc.    540       11
* USANA Health Sciences Inc.    142       10
         1,306
Energy (2.4%)
  Solaris Oilfield Infrastructure Inc. Class A  8,445      114
* Select Energy Services Inc. Class A 10,939       93
  Berry Corp.  7,669       85
* RPC Inc.  7,857       73
  EOG Resources Inc.    501       69
  ChampionX Corp.  2,618       61
  Texas Pacific Land Corp.     38       59
* Newpark Resources Inc. 13,490       58
  Archrock Inc.  5,642       57
* Oil States International Inc.  7,322       57
    Shares Market
Value

($000)
* Expro Group Holdings NV  3,967       54
* Bristow Group Inc.  1,510       48
* MRC Global Inc.  4,001       45
* REX American Resources Corp.    441       38
* Par Pacific Holdings Inc.  1,850       30
  SunCoke Energy Inc.  3,558       29
* American Superconductor Corp.  5,301       28
* Centrus Energy Corp. Class A    921       24
* Dril-Quip Inc.    739       23
  Kinetik Holdings Inc.    164       14
  Brigham Minerals Inc. Class A    383       12
  PDC Energy Inc.    139       11
         1,082
Financials (24.9%)
  Marsh & McLennan Cos. Inc.  3,652      584
  Moody's Corp.  1,446      436
  Chubb Ltd.  1,707      361
  Progressive Corp.  2,861      342
  T Rowe Price Group Inc.  2,243      285
  Truist Financial Corp.  5,662      282
  Intercontinental Exchange Inc.  2,188      224
  Bank of New York Mellon Corp.  4,568      213
  US Bancorp  3,368      179
  MSCI Inc. Class A    373      165
  PNC Financial Services Group Inc.    926      162
  Erie Indemnity Co. Class A    949      159
  RLI Corp.  1,280      155
  CME Group Inc.    744      148
  SouthState Corp.  1,824      147
  MetLife Inc.  2,153      145
  American International Group Inc.  2,406      141
  Brown & Brown Inc.  2,345      139
  First Citizens BancShares Inc. Class A    196      137
  Primerica Inc.  1,077      136
  BlackRock Inc.    196      131
* Brighthouse Financial Inc.  2,547      125
  Prosperity Bancshares Inc.  1,707      124
  East West Bancorp Inc.  1,647      121
  Stifel Financial Corp.  1,877      120
  United Bankshares Inc.  3,052      115
  Selective Insurance Group Inc.  1,440      114
  Hanmi Financial Corp.  4,715      110
  Glacier Bancorp Inc.  2,199      106
  Prudential Financial Inc.    990      105
  Morningstar Inc.    400      103
  Popular Inc.  1,265      103
  Hanover Insurance Group Inc.    672       99
  ConnectOne Bancorp Inc.  3,555       98
  Pinnacle Financial Partners Inc.  1,184       96
  Commerce Bancshares Inc.  1,357       94
  First Financial Bankshares Inc.  2,261       93
  Lazard Ltd. Class A  2,598       92
  Berkshire Hills Bancorp Inc.  3,500       91
  Valley National Bancorp  7,068       90
  Premier Financial Corp.  3,272       89
  Universal Insurance Holdings Inc.  6,664       86
  Old Republic International Corp.  3,434       82
  Heritage Financial Corp.  3,071       80
* Markel Corp.     58       79
* Nicolet Bankshares Inc.    962       77
 
5

 

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
  Globe Life Inc.    758       74
  SLM Corp.  3,629       71
* StoneX Group Inc.    950       71
  QCR Holdings Inc.  1,257       70
  TrustCo Bank Corp. NY  2,183       70
  Washington Trust Bancorp Inc.  1,368       69
* Columbia Financial Inc.  3,203       67
  Essent Group Ltd.  1,529       65
  Blackstone Inc.    546       64
  Provident Financial Services Inc.  2,757       63
  Univest Financial Corp.  2,347       62
  Stock Yards Bancorp Inc.  1,027       61
  Central Pacific Financial Corp.  2,425       59
  First American Financial Corp.    969       59
  First Commonwealth Financial Corp.  4,217       59
  Synovus Financial Corp.  1,373       59
  Northfield Bancorp Inc.  4,356       58
  Reinsurance Group of America Inc.    455       57
  SEI Investments Co.    972       57
  Federal Agricultural Mortgage Corp. Class C    534       56
  Janus Henderson Group plc  1,955       55
* Assetmark Financial Holdings Inc.  2,567       54
  TriCo Bancshares  1,199       54
  BOK Financial Corp.    616       53
  First Financial Bancorp  2,517       53
  Park National Corp.    421       52
  Loews Corp.    785       51
  First Foundation Inc.  2,194       50
  TFS Financial Corp.  3,337       50
  Cullen/Frost Bankers Inc.    392       49
  FB Financial Corp.  1,159       49
* Enstar Group Ltd.    213       49
  Banner Corp.    825       48
  HomeStreet Inc.  1,202       48
* Oportun Financial Corp.  4,266       48
  American Financial Group Inc.    330       47
  1st Source Corp.  1,009       47
  MGIC Investment Corp.  3,379       47
  Towne Bank  1,606       47
  Western Alliance Bancorp    576       47
  First Merchants Corp.  1,108       46
  Jefferies Financial Group Inc.  1,387       46
  Tompkins Financial Corp.    605       46
  Peoples Bancorp Inc.  1,563       45
  First Bancorp (XNGS)  1,165       44
  Atlantic Union Bankshares Corp.  1,210       43
* EZCorp. Inc. Class A  5,651       43
  Nelnet Inc. Class A    505       43
  Dime Community Bancshares Inc.  1,358       43
  ProAssurance Corp.  1,810       40
  Cohen & Steers Inc.    510       39
  Affiliated Managers Group Inc.    281       38
  BancFirst Corp.    412       37
  Preferred Bank    537       37
  Sandy Spring Bancorp Inc.    874       37
  National Bank Holdings Corp. Class A    883       36
  OceanFirst Financial Corp.  1,798       36
  S&T Bancorp Inc.  1,231       36
  Southside Bancshares Inc.    863       35
    Shares Market
Value

($000)
  Bank of NT Butterfield & Son Ltd.  1,109       35
  City Holding Co.    411       34
  First Bancorp Inc. (XNMS)  1,112       34
* Arch Capital Group Ltd.    718       34
  Interactive Brokers Group Inc. Class A    538       33
  Safety Insurance Group Inc.    359       33
  Carlyle Group Inc.    837       32
  Kinsale Capital Group Inc.    139       31
  OFG Bancorp    990       28
  Radian Group Inc.  1,294       28
  First Busey Corp.  1,136       27
  International Bancshares Corp.    599       25
  ServisFirst Bancshares Inc.    294       25
  Banc of California Inc.  1,226       24
  Byline Bancorp Inc.    966       24
  Charles Schwab Corp.    281       20
  Kearny Financial Corp.  1,568       19
  Curo Group Holdings Corp.  2,029       18
  Enterprise Financial Services Corp.    392       18
  Bank OZK    409       17
  Heartland Financial USA Inc.    329       15
* Palomar Holdings Inc.    190       12
  Amerant Bancorp Inc.    361       11
  AMERISAFE Inc.    214       11
  Flushing Financial Corp.    453       11
  Hancock Whitney Corp.    213       11
  Northern Trust Corp.     95       11
  Oppenheimer Holdings Inc. Class A    307       11
  Sculptor Capital Management Inc. Class A    877       11
  Ares Management Corp. Class A    146       10
  Cboe Global Markets Inc.     91       10
  CNA Financial Corp.    223       10
  HarborOne Bancorp Inc.    725       10
  Horace Mann Educators Corp.    255       10
  Horizon Bancorp Inc.    565       10
  Houlihan Lokey Inc. Class A    118       10
  Independent Bank Corp.    507       10
  Lakeland Bancorp Inc.    631       10
  Midland States Bancorp Inc.    380       10
  NBT Bancorp Inc.    277       10
  Principal Financial Group Inc.    142       10
  Raymond James Financial Inc.    102       10
  Regional Management Corp.    213       10
  Renasant Corp.    329       10
  Seacoast Banking Corp. of Florida    293       10
  Tradeweb Markets Inc. Class A    154       10
  UMB Financial Corp.    111       10
  Webster Financial Corp.    203       10
  WesBanco Inc.    304       10
  Westamerica BanCorp.    172       10
  Wintrust Financial Corp.    115       10
  Argo Group International Holdings Ltd.    242       10
  Everest Re Group Ltd.     36       10
  Cadence Bank    389       10
* Metropolitan Bank Holding Corp.    110        9
        11,104
 
6

 

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
Health Care (18.2%)
* Edwards Lifesciences Corp.  4,994      504
  Stryker Corp.  1,523      357
  HCA Healthcare Inc.  1,650      347
* IQVIA Holdings Inc.  1,539      331
  Zoetis Inc.  1,920      328
  Agilent Technologies Inc.  2,523      322
* IDEXX Laboratories Inc.    668      262
  Baxter International Inc.  2,045      156
  Ensign Group Inc.  1,843      150
  Premier Inc. Class A  3,434      128
* Acadia Healthcare Co. Inc.  1,697      121
* Integra LifeSciences Holdings Corp.  1,672      105
* STAAR Surgical Co.  1,449       96
  Chemed Corp.    191       93
  Bruker Corp.  1,453       91
* Halozyme Therapeutics Inc.  1,918       88
* Selecta Biosciences Inc. 97,732       86
* Mirum Pharmaceuticals Inc.  3,648       85
* Hanger Inc.  5,106       81
* Syneos Health Inc.  1,096       81
* Pennant Group Inc.  4,223       81
  Becton Dickinson and Co.    313       80
* Surmodics Inc.  1,976       78
* Axogen Inc.  7,936       77
* Design Therapeutics Inc.  6,184       77
* Agiliti Inc.  3,923       76
* Boston Scientific Corp.  1,828       75
* CorVel Corp.    506       75
* Globus Medical Inc. Class A  1,120       75
* VistaGen Therapeutics Inc. 65,529       75
* AngioDynamics Inc.  3,698       73
* HealthEquity Inc.  1,163       73
* ORIC Pharmaceuticals Inc. 20,856       70
* Bioventus Inc. Class A  7,135       70
* ICU Medical Inc.    380       69
* Crinetics Pharmaceuticals Inc.  4,056       68
* LivaNova plc    981       67
* Personalis Inc. 16,708       66
* QIAGEN NV  1,417       65
* Annexon Inc. 20,775       65
* Arrowhead Pharmaceuticals Inc.  1,933       64
* Denali Therapeutics Inc.  2,632       64
* Ionis Pharmaceuticals Inc.  1,749       64
* Computer Programs and Systems Inc.  1,965       63
* Medpace Holdings Inc.    438       63
* Neogen Corp.  2,317       61
* Penumbra Inc.    405       60
* Aldeyra Therapeutics Inc. 19,137       59
* Aveanna Healthcare Holdings Inc. 19,212       59
  Atrion Corp.     91       57
* Chinook Therapeutics Inc.  3,693       56
* Edgewise Therapeutics Inc.  8,939       56
* Alignment Healthcare Inc.  5,249       56
* Exelixis Inc.  3,015       55
* Illumina Inc.    221       53
* Phathom Pharmaceuticals Inc.  7,404       53
* Vaxcyte Inc.  2,207       53
* Silverback Therapeutics Inc. 15,196       53
  LeMaitre Vascular Inc.  1,134       52
* Neuronetics Inc. 19,228       52
* Verastem Inc. 40,719       52
* NGM Biopharmaceuticals Inc.  3,743       52
    Shares Market
Value

($000)
* Centene Corp.    624       51
* Ultragenyx Pharmaceutical Inc.  1,098       51
  Anthem Inc.     98       50
* Treace Medical Concepts Inc.  2,977       50
* Akero Therapeutics Inc.  5,605       48
* RadNet Inc.  2,177       45
* HealthStream Inc.  2,104       43
* Novocure Ltd.    522       42
* Shockwave Medical Inc.    251       41
* Kinnate Biopharma Inc.  5,173       41
* Orthofix Medical Inc.  1,444       40
* DexCom Inc.    130       39
* TCR2 Therapeutics Inc. 16,790       39
* Omnicell Inc.    333       37
* Alnylam Pharmaceuticals Inc.    287       36
* Blueprint Medicines Corp.    630       35
* Artivion Inc.  1,795       35
* ModivCare Inc.    369       35
* MeiraGTx Holdings plc  4,019       34
* Forma Therapeutics Holdings Inc.  6,058       34
* Dyne Therapeutics Inc.  6,644       32
* Sutro Biopharma Inc.  7,107       31
* ViewRay Inc. 10,502       30
* Inspire Medical Systems Inc.    166       29
* CytomX Therapeutics Inc. 16,586       27
* Marinus Pharmaceuticals Inc.  5,390       26
* Amphastar Pharmaceuticals Inc.    686       25
* Alphatec Holdings Inc.  2,905       22
* Chimerix Inc. 11,879       22
* Keros Therapeutics Inc.    608       21
* Heska Corp.    201       20
* SI-BONE Inc.  1,315       20
* Precision BioSciences Inc. 12,055       20
* Rocket Pharmaceuticals Inc.  1,526       18
* Morphic Holding Inc.    770       18
* Rigel Pharmaceuticals Inc.  9,455       17
* Olema Pharmaceuticals Inc.  5,436       16
* Puma Biotechnology Inc.  7,804       15
* Tactile Systems Technology Inc.  1,397       14
* Kronos Bio Inc.  3,273       12
* Anika Therapeutics Inc.    490       11
  Cigna Corp.     40       11
  Danaher Corp.     40       11
* Eagle Pharmaceuticals Inc.    233       11
  Eli Lilly & Co.     34       11
* Neurocrine Biosciences Inc.    120       11
  US Physical Therapy Inc.     98       11
* Alkermes plc    364       11
  Organon & Co.    288       11
  Abbott Laboratories     89       10
* ABIOMED Inc.     37       10
* Aclaris Therapeutics Inc.    800       10
* Amneal Pharmaceuticals Inc.  2,833       10
* Cardiovascular Systems Inc.    643       10
* Collegium Pharmaceutical Inc.    646       10
  CONMED Corp.     82       10
* Intuitive Surgical Inc.     43       10
  iRadimed Corp.    308       10
* NextGen Healthcare Inc.    530       10
* Henry Schein Inc.    121       10
  Medtronic plc     96       10
  Royalty Pharma plc Class A    246       10
* Aligos Therapeutics Inc.  8,054       10
* Enovis Corp.    154       10
* AnaptysBio Inc.    470        9
 
7

 

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
* DaVita Inc.     94        9
*,1 PDL BioPharma Inc.  6,046        9
* Replimune Group Inc.    643        9
* Xencor Inc.    411        9
* Immunovant Inc.  2,236        9
* Kiniksa Pharmaceuticals Ltd. Class A  1,095        8
* Kezar Life Sciences Inc.  1,583        8
* KalVista Pharmaceuticals Inc.    837        7
* Epizyme Inc. 15,193        6
         8,117
Industrials (23.8%)
  Illinois Tool Works Inc.  2,709      564
  General Dynamics Corp.  2,015      453
  Eaton Corp. plc  2,587      359
  Emerson Electric Co.  3,200      284
  Capital One Financial Corp.  2,124      272
  HEICO Corp. Class A  1,966      230
  Trane Technologies plc  1,590      220
  Accenture plc Class A    613      183
  Automatic Data Processing Inc.    806      180
  Kronos Worldwide Inc.  9,300      177
  Carrier Global Corp.  4,332      170
  Exponent Inc.  1,618      146
  Curtiss-Wright Corp.    978      139
  nVent Electric plc  3,900      138
  Sonoco Products Co.  2,235      131
  Donaldson Co. Inc.  2,302      120
* ASGN Inc.  1,209      115
  Johnson Controls International plc  2,065      113
  MSA Safety Inc.    882      112
  Lincoln Electric Holdings Inc.    817      111
  Norfolk Southern Corp.    464      111
  Helios Technologies Inc.  1,569      107
  Tetra Tech Inc.    787      106
  Regal Rexnord Corp.    839      105
  Simpson Manufacturing Co. Inc.    964      104
  Littelfuse Inc.    380      103
  Nordson Corp.    466      102
  Northrop Grumman Corp.    213      100
  Resources Connection Inc.  5,418      100
  L3Harris Technologies Inc.    412       99
  BWX Technologies Inc.  1,900       97
  Apogee Enterprises Inc.  2,231       93
* Paylocity Holding Corp.    524       92
  AECOM  1,224       86
* Donnelley Financial Solutions Inc.  2,698       84
  John Bean Technologies Corp.    693       84
  Air Lease Corp. Class A  2,214       83
* ExlService Holdings Inc.    586       83
  Crane Holdings Co.    859       82
  Douglas Dynamics Inc.  2,560       80
* Trimble Inc.  1,169       80
* API Group Corp.  4,438       77
  Covenant Logistics Group Inc. Class A  3,304       75
  International Seaways Inc.  3,091       75
* DXP Enterprises Inc.  2,417       74
  Maximus Inc.  1,138       74
  EMCOR Group Inc.    681       72
  Graco Inc.  1,127       71
  Valmont Industries Inc.    278       71
* Modine Manufacturing Co.  5,905       70
  TTEC Holdings Inc.  1,036       70
    Shares Market
Value

($000)
  Myers Industries Inc.  2,823       67
* International Money Express Inc.  3,239       67
* CBIZ Inc.  1,589       65
  Hyster-Yale Materials Handling Inc.  1,723       64
  Kelly Services Inc. Class A  3,219       64
  CSW Industrials Inc.    592       63
  Griffon Corp.  1,977       63
* Napco Security Technologies Inc.  3,219       63
* Gates Industrial Corp. plc  4,813       61
  MKS Instruments Inc.    479       59
  RPM International Inc.    665       59
  AptarGroup Inc.    537       58
* Daseke Inc.  7,701       58
* Titan International Inc.  3,204       58
  Pactiv Evergreen Inc.  5,611       58
  ITT Inc.    769       57
* Advantage Solutions Inc. 13,233       57
* Euronet Worldwide Inc.    463       56
* Sterling Construction Co. Inc.  2,270       56
  Genpact Ltd.  1,241       55
* BrightView Holdings Inc.  3,971       52
  Gorman-Rupp Co.  1,737       52
  Woodward Inc.    505       51
  Global Payments Inc.    380       50
  Barrett Business Services Inc.    639       48
  Wabash National Corp.  3,091       47
  Marten Transport Ltd.  2,597       46
* Astronics Corp.  4,284       45
* Construction Partners Inc. Class A  1,946       45
* CIRCOR International Inc.  2,253       44
* Great Lakes Dredge & Dock Corp.  2,978       44
  Kaman Corp.  1,215       44
  Kforce Inc.    670       44
  Zurn Water Solutions Corp.  1,524       44
  Cognex Corp.    894       43
* BTRS Holdings Inc. Class A  8,715       43
  Sensata Technologies Holding plc    882       42
  Columbus McKinnon Corp.  1,206       41
  Kadant Inc.    215       40
  Quanex Building Products Corp.  1,975       40
  Textron Inc.    593       39
  TriMas Corp.  1,373       39
* Tutor Perini Corp.  3,799       39
  EnPro Industries Inc.    399       38
  Landstar System Inc.    253       38
  McGrath RentCorp.    457       38
* Axon Enterprise Inc.    361       37
  AAON Inc.    693       37
  ManpowerGroup Inc.    397       36
  Watsco Inc.    140       36
  Carlisle Cos. Inc.    139       35
  Eagle Materials Inc.    267       35
  Franklin Electric Co. Inc.    477       35
  REV Group Inc.  2,887       35
* Energy Recovery Inc.  1,670       34
* Forrester Research Inc.    655       34
* Franklin Covey Co.    888       34
  Tennant Co.    549       34
  Hubbell Inc. Class B    175       33
* AMN Healthcare Services Inc.    335       32
 
8

 

U.S. Liquidity Factor ETF
    Shares Market
Value

($000)
* Vectrus Inc.    873       31
  Armstrong World Industries Inc.    359       30
  Xylem Inc.    341       29
* Gibraltar Industries Inc.    674       28
* Manitowoc Co. Inc.  2,167       28
  Toro Co.    334       28
* FARO Technologies Inc.    830       27
  Advanced Drainage Systems Inc.    234       26
* Huron Consulting Group Inc.    431       26
* SP Plus Corp.    788       25
  Pentair plc    503       25
  Astec Industries Inc.    507       24
* Paya Holdings Inc.  4,056       24
  Sealed Air Corp.    373       23
* TopBuild Corp.    116       23
* I3 Verticals Inc. Class A    868       20
* Transcat Inc.    280       18
  Acuity Brands Inc.     96       17
* Ranpak Holdings Corp. Class A  1,299       16
  Heidrick & Struggles International Inc.    409       14
  Standex International Corp.    143       13
* Diversey Holdings Ltd.  1,277       13
  Sherwin-Williams Co.     45       12
  Argan Inc.    276       11
  Honeywell International Inc.     58       11
  Moog Inc. Class A    131       11
* PGT Innovations Inc.    571       11
* SPX Corp.    221       11
* Titan Machinery Inc.    422       11
* WEX Inc.     62       11
  Amcor plc    803       11
  Alamo Group Inc.     83       10
  American Express Co.     60       10
* Atkore Inc.     90       10
* Berry Global Group Inc.    176       10
  Booz Allen Hamilton Holding Corp. Class A    118       10
  Brunswick Corp.    128       10
* Evo Payments Inc. Class A    442       10
* FTI Consulting Inc.     62       10
  Federal Signal Corp.    295       10
  Fidelity National Information Services Inc.    100       10
* Fiserv Inc.    101       10
  Heartland Express Inc.    727       10
  Huntington Ingalls Industries Inc.     46       10
  IDEX Corp.     53       10
  Jacobs Engineering Group Inc.     73       10
  Oshkosh Corp.    107       10
  United Parcel Service Inc. Class B     56       10
  Westinghouse Air Brake Technologies Corp.    110       10
  Enerpac Tool Group Corp. Class A    486       10
* WillScot Mobile Mini Holdings Corp.    293       10
  Vontier Corp.    371       10
* Babcock & Wilcox Enterprises Inc.  1,328        9
  CSX Corp.    293        9
  Deluxe Corp.    376        9
  Insteel Industries Inc.    223        9
  Lindsay Corp.     75        9
    Shares Market
Value

($000)
  Mesa Laboratories Inc.     44        9
* TrueBlue Inc.    392        9
  Shyft Group Inc.    418        9
        10,648
Real Estate (0.6%)
  St. Joe Co.  1,962       99
  RE/MAX Holdings Inc. Class A  1,670       41
  Marcus & Millichap Inc.    890       37
* Zillow Group Inc. Class A    814       32
  RMR Group Inc. Class A    851       26
  Kennedy-Wilson Holdings Inc.    464       10
           245
Technology (10.9%)
  Amphenol Corp. Class A  7,568      536
* Synopsys Inc.  1,334      426
  Roper Technologies Inc.    829      367
* Cadence Design Systems Inc.  2,011      309
  Cognizant Technology Solutions Corp. Class A  2,202      165
* Sprout Social Inc. Class A  2,687      137
  National Instruments Corp.  3,143      111
  Science Applications International Corp.  1,105       96
* SPS Commerce Inc.    884       95
* Novanta Inc.    750       92
* Manhattan Associates Inc.    752       91
  Pegasystems Inc.  1,839       91
* Procore Technologies Inc.  1,983       90
  Dolby Laboratories Inc. Class A  1,120       87
* Alkami Technology Inc.  5,706       80
* Q2 Holdings Inc.  1,504       79
* Agilysys Inc.  1,884       77
* Fortinet Inc.    234       69
  Concentrix Corp.    407       63
  American Software Inc. Class A  3,469       59
  TD SYNNEX Corp.    544       57
* Lattice Semiconductor Corp.  1,053       55
* CACI International Inc. Class A    187       52
  Power Integr