Semiannual Report   |   February 29, 2024
Vanguard U.S. Sector Index Funds
Vanguard Communication Services Index Fund
Vanguard Consumer Discretionary Index Fund
Vanguard Consumer Staples Index Fund
Vanguard Energy Index Fund
Vanguard Financials Index Fund
Vanguard Health Care Index Fund
Vanguard Industrials Index Fund
Vanguard Information Technology Index Fund
Vanguard Materials Index Fund
Vanguard Utilities Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund’s Expenses

1
Communication Services Index Fund

4
Consumer Discretionary Index Fund

15
Consumer Staples Index Fund

27
Energy Index Fund

38
Financials Index Fund

49
Health Care Index Fund

62
Industrials Index Fund

75
Information Technology Index Fund

87
Materials Index Fund

100
Utilities Index Fund

111

 

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 February 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,177.70 $0.54
Admiral™ Shares 1,000.00 1,177.80 0.54
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,107.50 $0.52
Admiral Shares 1,000.00 1,107.60 0.52
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,046.50 $0.51
Admiral Shares 1,000.00 1,046.60 0.51
Energy Index Fund      
ETF Shares $1,000.00 $979.00 $0.49
Admiral Shares 1,000.00 979.20 0.49
Financials Index Fund      
ETF Shares $1,000.00 $1,188.90 $0.54
Admiral Shares 1,000.00 1,189.10 0.54
Health Care Index Fund      
ETF Shares $1,000.00 $1,095.00 $0.52
Admiral Shares 1,000.00 1,095.00 0.52
Industrials Index Fund      
ETF Shares $1,000.00 $1,134.80 $0.53
Admiral Shares 1,000.00 1,134.90 0.53
Information Technology Index Fund      
ETF Shares $1,000.00 $1,169.70 $0.54
Admiral Shares 1,000.00 1,169.70 0.54
Materials Index Fund      
ETF Shares $1,000.00 $1,067.70 $0.51
Admiral Shares 1,000.00 1,067.80 0.51
Utilities Index Fund      
ETF Shares $1,000.00 $1,004.70 $0.50
Admiral Shares 1,000.00 1,004.60 0.50
2

 

Six Months Ended February 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Energy Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Financials Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Health Care Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Industrials Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Information Technology Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Materials Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
Utilities Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Admiral Shares 1,000.00 1,024.37 0.50
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: for the Communication Services Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Discretionary Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Staples Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Energy Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Financials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Health Care Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Industrials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Information Technology Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Materials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; and for the Utilities Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares. 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 (182/366).
3

 

Communication Services Index Fund
Fund Allocation
As of February 29, 2024
Diversified Telecommunication Services 10.4%
Entertainment 19.1
Interactive Media & Services 50.7
Media 16.6
Wireless Telecommunication Services 3.2
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
4

 

Communication Services Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.9%)
Diversified Telecommunication Services (10.3%)
  Verizon Communications Inc. 4,609,983   184,492
  AT&T Inc. 8,595,484   145,522
* Frontier Communications Parent Inc.   753,096    17,833
  Cogent Communications Holdings Inc.   178,828    14,469
* Liberty Global Ltd. Class C   752,688    13,962
  Iridium Communications Inc.   455,558    13,188
* Liberty Global Ltd. Class A   665,979    11,655
* Lumen Technologies Inc. 4,116,997     6,670
* Globalstar Inc. 3,101,467     4,838
  Shenandoah Telecommunications Co.   194,858     3,636
* Liberty Latin America Ltd. Class C   526,923     3,436
* IDT Corp. Class B    67,365     2,507
* Anterix Inc.    53,615     2,128
* Bandwidth Inc. Class A    96,650     1,985
  ATN International Inc.    44,052     1,477
* Consolidated Communications Holdings Inc.   308,195     1,328
* Liberty Latin America Ltd. Class A   142,455       916
              430,042
Entertainment (19.1%)
* Netflix Inc.   319,649   192,723
  Walt Disney Co. 1,672,568   186,625
  Electronic Arts Inc.   415,320    57,929
* Take-Two Interactive Software Inc.   316,930    46,566
* Warner Bros Discovery Inc. 4,601,370    40,446
* Live Nation Entertainment Inc.   400,288    38,820
* Roblox Corp. Class A   952,069    37,988
* Liberty Media Corp.-Liberty Formula One Class C   519,558    37,803
* Roku Inc.   432,957    27,354
  TKO Group Holdings Inc.   268,146    22,452
  Warner Music Group Corp. Class A   517,546    18,078
  Endeavor Group Holdings Inc. Class A   736,625    17,716
* Madison Square Garden Sports Corp.    63,456    11,942
* Cinemark Holdings Inc.   446,630     7,776
* Liberty Media Corp.-Liberty Live Class C   195,242     7,774
* Atlanta Braves Holdings Inc. Class C   193,112     7,555
* Madison Square Garden Entertainment Corp.   159,338     6,133
* Sphere Entertainment Co.   103,728     4,491
    Shares Market
Value

($000)
* Lions Gate Entertainment Corp. Class B   446,210     4,052
*,1 AMC Entertainment Holdings Inc. Class A   809,430     3,497
* IMAX Corp.   189,403     3,244
* Liberty Media Corp.-Liberty Live Class A    83,272     3,213
* Lions Gate Entertainment Corp. Class A   297,763     2,891
* Eventbrite Inc. Class A   329,376     1,844
* Vivid Seats Inc. Class A   273,195     1,645
  Marcus Corp.    95,418     1,400
* Atlanta Braves Holdings Inc. Class A    29,537     1,239
* Playstudios Inc.   359,857       853
*,1 Skillz Inc.    58,851       403
              794,452
Interactive Media & Services (50.7%)
  Meta Platforms Inc. Class A 1,971,809   966,443
* Alphabet Inc. Class A 3,688,926   510,769
* Alphabet Inc. Class C 2,926,960   409,131
* Pinterest Inc. Class A 1,221,618    44,833
* Snap Inc. Class A 3,033,705    33,432
* Match Group Inc.   862,173    31,073
* ZoomInfo Technologies Inc. 1,114,567    18,680
* IAC Inc.   310,738    17,650
* Ziff Davis Inc.   187,944    12,923
* TripAdvisor Inc.   436,815    11,715
* Yelp Inc.   265,984    10,224
* Cargurus Inc.   353,581     7,828
  Shutterstock Inc.   102,010     4,974
* Cars.com Inc.   256,745     4,709
* Bumble Inc. Class A   390,629     4,473
* ZipRecruiter Inc. Class A   264,273     3,362
* QuinStreet Inc.   211,583     3,096
* Vimeo Inc.   610,430     2,924
* fuboTV Inc. 1,194,854     2,473
* Taboola.com Ltd.   552,817     2,410
* Mediaalpha Inc. Class A    86,254     1,790
* Nextdoor Holdings Inc.   631,658     1,383
* Angi Inc.   330,059       947
* Outbrain Inc.   153,543       565
* System1 Inc.    53,535        89
            2,107,896
Media (16.6%)
  Comcast Corp. Class A 4,526,069   193,942
* Trade Desk Inc. Class A   702,819    60,042
* Charter Communications Inc. Class A   173,176    50,902
  Omnicom Group Inc.   453,184    40,057
  Interpublic Group of Cos. Inc. 1,068,300    33,545
  News Corp. Class A 1,207,640    32,461
  Fox Corp. Class A   953,284    28,398
  New York Times Co. Class A   634,949    28,116
    Shares Market
Value

($000)
* Liberty Broadband Corp. Class C   443,954    26,717
  Nexstar Media Group Inc.   138,609    23,033
* Liberty Media Corp.-Liberty SiriusXM Class C   671,894    19,471
  Paramount Global Class B 1,606,061    17,731
  Fox Corp. Class B   600,473    16,441
  News Corp. Class B   487,526    13,646
1 Sirius XM Holdings Inc. 3,061,523    13,532
  TEGNA Inc.   765,028    10,718
* Liberty Media Corp.-Liberty SiriusXM Class A   307,641     8,965
  Cable One Inc.    18,336     8,361
* Liberty Broadband Corp. Class A   112,968     6,795
* EchoStar Corp. Class A   485,816     6,369
* Magnite Inc.   506,318     6,086
  John Wiley & Sons Inc. Class A   177,726     5,927
  Scholastic Corp.   103,640     4,088
* PubMatic Inc. Class A   169,763     3,555
* TechTarget Inc.   104,360     3,309
* Integral Ad Science Holding Corp.   290,753     3,012
* Thryv Holdings Inc.   136,324     2,855
* Altice USA Inc. Class A   827,568     2,458
  Gray Television Inc.   338,279     1,976
* Stagwell Inc.   369,490     1,973
  Sinclair Inc.   129,730     1,926
* Clear Channel Outdoor Holdings Inc. 1,084,066     1,865
* Advantage Solutions Inc.   466,273     1,776
* Boston Omaha Corp. Class A    98,749     1,620
* AMC Networks Inc. Class A   117,794     1,524
* Gannett Co. Inc.   577,135     1,229
* Cardlytics Inc.   136,177     1,129
* iHeartMedia Inc. Class A   402,572     1,115
* EW Scripps Co. Class A   237,297       956
* WideOpenWest Inc.   204,776       819
              688,440
Other (0.0%)2
*,3 GCI Liberty Inc.   188,049        —
Wireless Telecommunication Services (3.2%)
  T-Mobile US Inc.   749,088   122,326
  Telephone and Data Systems Inc.   410,924     6,287
5

 

Communication Services Index Fund
    Shares Market
Value

($000)
* United States Cellular Corp.    63,656     2,221
* Gogo Inc.   262,885     2,145
              132,979
Total Common Stocks (Cost $4,152,558) 4,153,809
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
4,5 Vanguard Market Liquidity Fund, 5.400% (Cost$9,117)    91,209          9,120
Total Investments (100.1%) (Cost $4,161,675) 4,162,929
Other Assets and Liabilities—Net (-0.1%) (5,634)
Net Assets (100.0%) 4,157,295
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 $5,840,000.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Security value determined using significant unobservable inputs.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Collateral of $6,790,000 was received for securities on loan.

Derivative Financial Instruments Outstanding as of Period End

Over-the-Counter Total Return Swaps
Reference Entity Termination
Date
Counterparty Notional
Amount
($000)
Floating
Interest Rate
Received
(Paid)1
(%)
Value and
Unrealized
Appreciation
($000)
Value and
Unrealized
(Depreciation)
($000)
Paramount Global Class B 8/30/24 BANA 2,484 (5.326) (14)
Paramount Global Class B 8/30/24 BANA 1,822 (5.326) (10)
          (24)
1 Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
6

 

Communication Services Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,152,558) 4,153,809
Affiliated Issuers (Cost $9,117) 9,120
Total Investments in Securities 4,162,929
Investment in Vanguard 126
Cash Collateral Pledged—Over-the-Counter Swap Contracts 1,340
Receivables for Investment Securities Sold 128,203
Receivables for Accrued Income 2,302
Receivables for Capital Shares Issued 446
Total Assets 4,295,346
Liabilities  
Due to Custodian 1,387
Payables for Investment Securities Purchased 129,180
Collateral for Securities on Loan 6,790
Payables for Capital Shares Redeemed 511
Payables to Vanguard 159
Unrealized Depreciation—Over-the-Counter Swap Contracts 24
Total Liabilities 138,051
Net Assets 4,157,295
1 Includes $5,840,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 4,573,729
Total Distributable Earnings (Loss) (416,434)
Net Assets 4,157,295
 
ETF Shares—Net Assets  
Applicable to 30,953,605 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
3,965,418
Net Asset Value Per Share—ETF Shares $128.11
 
Admiral Shares—Net Assets  
Applicable to 2,939,161 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
191,877
Net Asset Value Per Share—Admiral Shares $65.28
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Communication Services Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends 19,059
Interest1 201
Securities Lending—Net 4,326
Total Income 23,586
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 41
Management and Administrative—
ETF Shares
1,490
Management and Administrative—
Admiral Shares
63
Marketing and Distribution—
ETF Shares
93
Marketing and Distribution—
Admiral Shares
4
Custodian Fees 6
Shareholders’ Reports—ETF Shares 106
Shareholders’ Reports—Admiral Shares
Trustees’ Fees and Expenses 1
Other Expenses 9
Total Expenses 1,813
Net Investment Income 21,773
Realized Net Gain (Loss)  
Investment Securities Sold1,2 161,949
Swap Contracts (800)
Realized Net Gain (Loss) 161,149
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 410,982
Swap Contracts 169
Change in Unrealized Appreciation (Depreciation) 411,151
Net Increase (Decrease) in Net Assets Resulting from Operations 594,073
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $201,000, $1,000, less than $1,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $223,121,000 of net gain (loss) resulting from in-kind redemptions.
  
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 21,773   33,642
Realized Net Gain (Loss) 161,149   (32,353)
Change in Unrealized Appreciation (Depreciation) 411,151   458,579
Net Increase (Decrease) in Net Assets Resulting from Operations 594,073   459,868
Distributions      
ETF Shares (19,631)   (27,514)
Admiral Shares (731)   (839)
Total Distributions (20,362)   (28,353)
Capital Share Transactions      
ETF Shares (8,176)   290,125
Admiral Shares 52,805   29,898
Net Increase (Decrease) from Capital Share Transactions 44,629   320,023
Total Increase (Decrease) 618,340   751,538
Net Assets      
Beginning of Period 3,538,955   2,787,417
End of Period 4,157,295   3,538,955
  
 
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Communication Services Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $109.41 $94.12 $149.87 $108.04 $87.24 $86.83
Investment Operations            
Net Investment Income1 .683 1.128 1.110 1.018 1.005 .917
Net Realized and Unrealized Gain (Loss) on Investments 18.654 15.127 (55.695) 41.708 20.743 .316
Total from Investment Operations 19.337 16.255 (54.585) 42.726 21.748 1.233
Distributions            
Dividends from Net Investment Income (.637) (.965) (1.165) (.896) (.948) (.823)
Distributions from Realized Capital Gains
Total Distributions (.637) (.965) (1.165) (.896) (.948) (.823)
Net Asset Value, End of Period $128.11 $109.41 $94.12 $149.87 $108.04 $87.24
Total Return 17.77% 17.46% -36.61% 39.75% 25.15% 1.47%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,965 $3,424 $2,717 $4,787 $2,914 $2,016
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%2 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.18% 1.19% 0.92% 0.80% 1.09% 1.09%
Portfolio Turnover Rate3 8% 15% 16% 15% 15% 33%
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 custody fee offset arrangements was 0.10%.
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.
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Communication Services Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $55.75 $47.97 $76.38 $55.06 $44.46 $44.25
Investment Operations            
Net Investment Income1 .340 .591 .572 .519 .512 .470
Net Realized and Unrealized Gain (Loss) on Investments 9.515 7.682 (28.388) 21.259 10.571 .157
Total from Investment Operations 9.855 8.273 (27.816) 21.778 11.083 .627
Distributions            
Dividends from Net Investment Income (.325) (.493) (.594) (.458) (.483) (.417)
Distributions from Realized Capital Gains
Total Distributions (.325) (.493) (.594) (.458) (.483) (.417)
Net Asset Value, End of Period $65.28 $55.75 $47.97 $76.38 $55.06 $44.46
Total Return2 17.78% 17.44% -36.61% 39.76% 25.16% 1.46%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $192 $115 $70 $124 $67 $50
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.14% 1.21% 0.93% 0.79% 1.10% 1.09%
Portfolio Turnover Rate4 8% 15% 16% 15% 15% 33%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements 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.
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Communication Services Index Fund
Notes to Financial Statements
Vanguard Communication Services Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
2.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 29, 2024, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three
11

 

Communication Services Index Fund
years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of
12

 

Communication Services Index Fund
trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $126,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 4,153,809 4,153,809
Temporary Cash Investments 9,120 9,120
Total 4,162,929 4,162,929
Derivative Financial Instruments        
Liabilities        
Swap Contracts 24 24
D. As of February 29, 2024, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 4,193,240
Gross Unrealized Appreciation 636,530
Gross Unrealized Depreciation (666,841)
Net Unrealized Appreciation (Depreciation) (30,311)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $556,630,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2024, the fund purchased $370,039,000 of investment securities and sold $299,574,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $716,737,000 and $738,629,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of
13

 

Communication Services Index Fund
trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $1,130,000 and sales were $14,096,000, resulting in net realized loss of $657,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 728,1931 6,1331   1,133,331 11,775
Issued in Lieu of Cash Distributions  
Redeemed (736,369)1 (6,475)1   (843,206) (9,350)
Net Increase (Decrease)—ETF Shares (8,176) (342)   290,125 2,425
Admiral Shares          
Issued 88,181 1,480   74,117 1,497
Issued in Lieu of Cash Distributions 598 11   687 14
Redeemed (35,974) (613)   (44,906) (909)
Net Increase (Decrease)—Admiral Shares 52,805 878   29,898 602
1 Includes unsettled in-kind transactions as of February 29, 2024 for 1,650,000 issued shares and 1,700,000 redeemed shares valued at $210,822,000 and $220,041,000, respectively, which settled shortly afterwards.
G. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
H. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
14

 

Consumer Discretionary Index Fund
Fund Allocation
As of February 29, 2024
Automobile Components 2.3%
Automobiles 13.3
Broadline Retail 25.2
Distributors 1.0
Diversified Consumer Services 1.6
Hotels, Restaurants & Leisure 22.0
Household Durables 5.8
Leisure Products 1.1
Specialty Retail 21.9
Textiles, Apparel & Luxury Goods 5.8
The table reflects the fund’s investments, except short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
15

 

Consumer Discretionary Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.8%)
Automobile Components (2.3%)
* Aptiv plc   346,762    27,564
  Autoliv Inc.   104,180    12,088
  Gentex Corp.   312,116    11,402
  Lear Corp.    78,313    10,756
  BorgWarner Inc. (XNYS)   320,814     9,987
* Modine Manufacturing Co.    78,386     7,032
* Goodyear Tire & Rubber Co.   448,344     5,326
  LCI Industries    41,411     5,217
* Adient plc   151,287     5,135
* Visteon Corp.    44,616     5,047
* Dorman Products Inc.    48,928     4,610
  Patrick Industries Inc.    37,624     4,513
* Gentherm Inc.    67,457     3,836
*,1 QuantumScape Corp.   608,626     3,816
* Fox Factory Holding Corp.    71,021     3,593
  Phinia Inc.   100,532     3,440
  Dana Inc.   259,294     3,241
* XPEL Inc.    51,767     2,722
* Garrett Motion Inc.   253,432     2,438
* American Axle & Manufacturing Holdings Inc.   313,169     2,167
*,1 Luminar Technologies Inc.   880,906     2,105
* Stoneridge Inc.   111,898     1,966
  Standard Motor Products Inc.    58,981     1,873
*,1 Atmus Filtration Technologies Inc.    77,309     1,845
* Holley Inc.   247,416     1,062
*,1 Solid Power Inc.   625,001     1,025
              143,806
Automobiles (13.3%)
* Tesla Inc. 3,324,387   671,127
  General Motors Co. 1,636,675    67,071
  Ford Motor Co. 4,678,756    58,204
* Rivian Automotive Inc. Class A   861,291     9,750
  Thor Industries Inc.    71,053     9,108
  Harley-Davidson Inc.   192,300     6,975
*,1 Lucid Group Inc. 1,457,869     4,811
  Winnebago Industries Inc.    55,055     3,949
*,1 Fisker Inc.   958,748       698
*,1 Workhorse Group Inc. 1,202,550       402
*,1 Canoo Inc. 3,666,795       386
*,1 Faraday Future Intelligent Electric Inc.   818,307        57
              832,538
Broadline Retail (25.2%)
* Amazon.com Inc. 8,106,868 1,432,970
* MercadoLibre Inc.    46,790    74,644
  eBay Inc.   641,161    30,314
* Etsy Inc.   158,133    11,337
* Ollie's Bargain Outlet Holdings Inc.    90,365     7,245
  Macy's Inc.   393,544     6,863
    Shares Market
Value

($000)
  Kohl's Corp.   181,708     5,064
  Nordstrom Inc.   195,495     4,100
  Dillard's Inc. Class A     7,736     3,208
* Qurate Retail Inc. Series A 1,657,816     2,337
*,1 Groupon Inc.    88,356     1,635
  Big Lots Inc.   134,692       730
* ContextLogic Inc. Class A    94,854       617
            1,581,064
Distributors (1.0%)
  Genuine Parts Co.   172,954    25,815
  Pool Corp.    48,590    19,345
  LKQ Corp.   339,672    17,761
               62,921
Diversified Consumer Services (1.6%)
  Service Corp. International   193,919    14,193
* Duolingo Inc.    43,250    10,337
  H&R Block Inc.   198,176     9,701
* Bright Horizons Family Solutions Inc.    80,446     9,240
* Grand Canyon Education Inc.    46,143     6,220
  Strategic Education Inc.    40,943     4,536
* Stride Inc.    73,599     4,397
  Graham Holdings Co. Class B     6,178     4,339
* frontdoor Inc.   136,809     4,290
* Adtalem Global Education Inc.    77,433     3,833
  Laureate Education Inc.   268,822     3,605
  ADT Inc.   466,769     3,389
* Coursera Inc.   202,253     3,250
  Perdoceo Education Corp.   160,343     2,856
* OneSpaWorld Holdings Ltd.   204,802     2,670
* Chegg Inc.   289,385     2,587
* Udemy Inc.   212,957     2,406
*,1 Mister Car Wash Inc.   270,681     2,244
* European Wax Center Inc. Class A   133,689     1,896
  Carriage Services Inc.    62,467     1,550
* WW International Inc.   366,568     1,144
* 2U Inc.   368,124       166
* Beachbody Co. Inc.    10,550        88
               98,937
Hotels, Restaurants & Leisure (22.0%)
  McDonald's Corp.   851,612   248,909
* Booking Holdings Inc.    42,831   148,573
  Starbucks Corp. 1,340,926   127,254
* Chipotle Mexican Grill Inc.    32,440    87,224
* Airbnb Inc. Class A   515,662    81,201
  Marriott International Inc. Class A   307,829    76,917
  Hilton Worldwide Holdings Inc.   312,216    63,792
  Yum! Brands Inc.   335,920    46,498
* DoorDash Inc. Class A   313,583    39,063
* Royal Caribbean Cruises Ltd.   294,901    36,376
  Las Vegas Sands Corp.   463,308    25,260
    Shares Market
Value

($000)
  Darden Restaurants Inc.   147,497    25,179
* Expedia Group Inc.   176,472    24,145
* DraftKings Inc. Class A   519,758    22,516
* Carnival Corp. 1,268,087    20,112
  Domino's Pizza Inc.    43,923    19,693
* MGM Resorts International   357,508    15,473
  Wynn Resorts Ltd.   131,831    13,869
  Wingstop Inc.    38,864    13,643
  Texas Roadhouse Inc.    87,367    13,050
* Caesars Entertainment Inc.   284,760    12,379
* Light & Wonder Inc.   120,864    12,148
  Vail Resorts Inc.    50,563    11,645
* Norwegian Cruise Line Holdings Ltd.   583,955    11,323
  Churchill Downs Inc.    90,256    11,000
  Aramark   336,785    10,215
  Hyatt Hotels Corp. Class A    62,347     9,576
  Wyndham Hotels & Resorts Inc.   114,963     8,800
* Planet Fitness Inc. Class A   121,232     7,522
  Boyd Gaming Corp.   108,403     7,169
* Shake Shack Inc. Class A    58,811     6,253
  Choice Hotels International Inc.    50,106     5,609
* Hilton Grand Vacations Inc.   120,966     5,429
  Travel & Leisure Co.   119,611     5,345
  Marriott Vacations Worldwide Corp.    56,380     5,254
  Wendy's Co.   283,312     5,131
  Red Rock Resorts Inc. Class A    82,731     4,798
* Penn Entertainment Inc.   237,050     4,338
  Papa John's International Inc.    58,120     4,178
* Dave & Buster's Entertainment Inc.    66,700     4,118
* Dutch Bros Inc. Class A   137,656     4,010
  Bloomin' Brands Inc.   146,516     3,982
* Brinker International Inc.    84,030     3,894
* SeaWorld Entertainment Inc.    75,681     3,886
*,1 Cava Group Inc.    66,462     3,882
* Six Flags Entertainment Corp.   139,960     3,547
  Cheesecake Factory Inc.    98,027     3,468
  Jack in the Box Inc.    42,239     3,083
  Cracker Barrel Old Country Store Inc.    43,709     2,890
* Sweetgreen Inc. Class A   223,002     2,841
* Everi Holdings Inc.   231,909     2,750
  Krispy Kreme Inc.   211,103     2,732
  Monarch Casino & Resort Inc.    38,195     2,687
* Playa Hotels & Resorts NV   278,763     2,562
* Portillo's Inc. Class A   171,857     2,497
* Life Time Group Holdings Inc.   181,683     2,496
* Sabre Corp.   914,556     2,424
16

 

Consumer Discretionary Index Fund
    Shares Market
Value

($000)
  Dine Brands Global Inc.    49,816     2,417
* Accel Entertainment Inc.   210,039     2,380
  Golden Entertainment Inc.    64,163     2,378
* First Watch Restaurant Group Inc.    91,420     2,290
* BJ's Restaurants Inc.    64,543     2,260
* Kura Sushi USA Inc. Class A    22,349     2,124
* Chuy's Holdings Inc.    61,491     2,080
* Denny's Corp.   216,014     1,994
  RCI Hospitality Holdings Inc.    35,376     1,994
* Target Hospitality Corp.   165,019     1,597
1 Bowlero Corp. Class A   127,544     1,588
* Bally's Corp.   137,075     1,541
* Lindblad Expeditions Holdings Inc.   161,408     1,496
* Soho House & Co. Inc.   156,956       913
* Vacasa Inc. Class A    29,190       276
*,1 Sonder Holdings Inc.    43,788       235
            1,382,171
Household Durables (5.8%)
  DR Horton Inc.   369,733    55,253
  Lennar Corp. Class A   299,797    47,521
* NVR Inc.     3,935    30,007
  PulteGroup Inc.   267,929    29,038
  Garmin Ltd.   189,487    26,026
* TopBuild Corp.    40,638    16,352
  Toll Brothers Inc.   135,803    15,568
  Tempur Sealy International Inc.   228,863    12,466
* Mohawk Industries Inc.    75,531     8,959
* Taylor Morrison Home Corp.   151,510     8,577
  Installed Building Products Inc.    35,126     8,393
  Whirlpool Corp.    77,218     8,292
  Meritage Homes Corp.    52,057     8,207
  KB Home   116,049     7,709
* Skyline Champion Corp.    81,701     6,846
  MDC Holdings Inc.    97,264     6,098
* M/I Homes Inc.    44,633     5,668
* Tri Pointe Homes Inc.   154,770     5,476
  Newell Brands Inc.   671,744     5,038
* Helen of Troy Ltd.    39,582     4,948
* Cavco Industries Inc.    12,692     4,729
  Leggett & Platt Inc.   228,805     4,672
  Century Communities Inc.    50,255     4,337
* LGI Homes Inc.    36,151     4,124
* Sonos Inc.   217,456     4,123
  Worthington Enterprises Inc.    61,433     3,816
* Green Brick Partners Inc.    63,831     3,734
  La-Z-Boy Inc.    88,281     3,354
* Dream Finders Homes Inc. Class A    73,730     2,885
* Beazer Homes USA Inc.    84,833     2,658
* Vizio Holding Corp. Class A   238,407     2,625
  Ethan Allen Interiors Inc.    73,233     2,448
* Lovesac Co.    68,357     1,575
*,1 iRobot Corp.   129,084     1,473
* GoPro Inc. Class A   581,536     1,361
  Cricut Inc. Class A   170,841       825
* Traeger Inc.   292,207       649
* Tupperware Brands Corp.   196,070       259
              366,089
    Shares Market
Value

($000)
Leisure Products (1.1%)
* Mattel Inc.   486,247     9,579
  Hasbro Inc.   181,822     9,144
  Brunswick Corp.    96,853     8,465
  Polaris Inc.    78,218     7,252
* YETI Holdings Inc.   138,346     5,678
  Acushnet Holdings Corp.    59,881     3,858
* Topgolf Callaway Brands Corp.   270,298     3,849
* Vista Outdoor Inc.   112,961     3,524
* Peloton Interactive Inc. Class A   700,811     3,168
* Malibu Boats Inc. Class A    54,588     2,382
  Sturm Ruger & Co. Inc.    54,616     2,366
  Smith & Wesson Brands Inc.   161,801     2,221
  Johnson Outdoors Inc. Class A    27,307     1,255
* Funko Inc. Class A   151,445     1,066
* AMMO Inc.   439,509     1,046
  Clarus Corp.   141,387       814
* Latham Group Inc.   189,934       644
* Solo Brands Inc. Class A   136,169       368
               66,679
Specialty Retail (21.8%)
  Home Depot Inc. 1,171,536   445,898
  Lowe's Cos. Inc.   691,879   166,515
  TJX Cos. Inc. 1,345,965   133,439
* O'Reilly Automotive Inc.    72,065    78,365
* AutoZone Inc.    21,564    64,822
  Ross Stores Inc.   402,012    59,884
  Tractor Supply Co.   131,575    33,462
* Ulta Beauty Inc.    59,418    32,594
  Best Buy Co. Inc.   244,859    19,804
  Williams-Sonoma Inc.    80,197    18,889
* Burlington Stores Inc.    82,383    16,897
* CarMax Inc.   203,643    16,088
* Floor & Decor Holdings Inc. Class A   130,689    15,829
* Five Below Inc.    71,764    14,402
  Dick's Sporting Goods Inc.    79,270    14,101
  Bath & Body Works Inc.   283,255    12,945
  Murphy USA Inc.    27,120    11,309
* Carvana Co.   145,969    11,083
  Lithia Motors Inc.    36,966    11,055
* Abercrombie & Fitch Co. Class A    76,574     9,783