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.

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).

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.

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

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

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

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

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

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