Semiannual Report   |   February 28, 2023
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

 

Contents
About Your Fund’s Expenses

1
Communication Services Index Fund

4
Consumer Discretionary Index Fund

14
Consumer Staples Index Fund

25
Energy Index Fund

35
Financials Index Fund

45
Health Care Index Fund

57
Industrials Index Fund

69
Information Technology Index Fund

80
Materials Index Fund

93
Utilities Index Fund

103

 

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 28, 2023      
  Beginning
Account Value
8/31/2022
Ending
Account Value
2/28/2023
Expenses
Paid During
Period
Based on Actual Fund Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $969.90 $0.49
Admiral™ Shares 1,000.00 969.80 0.49
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $967.70 $0.49
Admiral Shares 1,000.00 967.70 0.49
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,005.70 $0.50
Admiral Shares 1,000.00 1,005.70 0.50
Energy Index Fund      
ETF Shares $1,000.00 $1,052.60 $0.51
Admiral Shares 1,000.00 1,053.20 0.51
Financials Index Fund      
ETF Shares $1,000.00 $1,089.30 $0.52
Admiral Shares 1,000.00 1,089.40 0.52
Health Care Index Fund      
ETF Shares $1,000.00 $1,022.40 $0.50
Admiral Shares 1,000.00 1,022.50 0.50
Industrials Index Fund      
ETF Shares $1,000.00 $1,101.20 $0.52
Admiral Shares 1,000.00 1,101.20 0.52
Information Technology Index Fund      
ETF Shares $1,000.00 $1,013.40 $0.50
Admiral Shares 1,000.00 1,013.30 0.50
Materials Index Fund      
ETF Shares $1,000.00 $1,103.90 $0.52
Admiral Shares 1,000.00 1,103.90 0.52
Utilities Index Fund      
ETF Shares $1,000.00 $895.90 $0.47
Admiral Shares 1,000.00 896.00 0.47
2

 

Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022
Ending
Account Value
2/28/2023
Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Energy Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Financials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Health Care Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Industrials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Information Technology Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Materials Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 0.50
Utilities Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Admiral Shares 1,000.00 1,024.30 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 (181/365).
3

 

Communication Services Index Fund
Fund Allocation
As of February 28, 2023
Diversified Telecommunication Services 13.0%
Entertainment 23.5
Interactive Media & Services 41.0
Media 18.5
Wireless Telecommunication Services 4.0
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 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.6%)
Diversified Telecommunication Services (13.0%)
  Verizon Communications Inc. 3,174,206   123,191
  AT&T Inc. 6,450,135   121,972
* Iridium Communications Inc.   303,179    18,606
* Liberty Global plc Class C   793,179    16,855
* Frontier Communications Parent Inc.   583,507    15,965
* Liberty Global plc Class A   583,573    11,957
  Cogent Communications Holdings Inc.   158,865    10,285
  Lumen Technologies Inc. 2,006,703     6,823
* Liberty Latin America Ltd. Class C   553,811     4,862
* Radius Global Infrastructure Inc. Class A (XNMS)   302,351     4,121
* Globalstar Inc. 2,679,358     3,430
* EchoStar Corp. Class A   125,972     2,514
* IDT Corp. Class B    73,249     2,228
  ATN International Inc.    41,380     1,740
* Anterix Inc.    49,306     1,489
* Bandwidth Inc. Class A    87,519     1,392
* Liberty Latin America Ltd. Class A   143,555     1,266
* Consolidated Communications Holdings Inc.   280,690       851
* Charge Enterprises Inc.   430,363       486
              350,033
Entertainment (23.2%)
* Walt Disney Co. 1,677,262   167,072
* Netflix Inc.   360,398   116,095
  Activision Blizzard Inc.   882,627    67,300
* Warner Bros Discovery Inc. 2,964,420    46,304
  Electronic Arts Inc.   356,827    39,586
* Take-Two Interactive Software Inc.   246,210    26,972
* Liberty Media Corp.-Liberty Formula One Class C   354,302    24,047
* Live Nation Entertainment Inc.   283,953    20,462
* Roblox Corp. Class A   486,039    17,809
  Warner Music Group Corp. Class A   452,570    14,283
  World Wrestling Entertainment Inc. Class A   161,111    13,533
* Roku Inc.   202,562    13,104
*,1 AMC Entertainment Holdings Inc. Class A 1,703,635    12,164
  Madison Square Garden Sports Corp.    54,403    10,399
* Endeavor Group Holdings Inc. Class A   317,352     7,080
* Madison Square Garden Entertainment Corp.    91,666     5,549
    Shares Market
Value

($000)
* Cinemark Holdings Inc.   403,721     5,495
* Liberty Media Corp.- Liberty Braves Class C   146,998     4,920
* Lions Gate Entertainment Corp. Class B   398,352     3,964
* Imax Corp.   167,431     3,087
* Lions Gate Entertainment Corp. Class A   276,950     2,938
* Playtika Holding Corp.   150,240     1,442
  Marcus Corp.    82,477     1,327
* Liberty Media Corp.- Liberty Braves Class A    29,009       994
* Skillz Inc. Class A   924,684       578
*,1 Vivid Seats Inc. Class A    70,298       539
              627,043
Interactive Media & Services (40.9%)
* Meta Platforms Inc. Class A 2,109,957   369,116
* Alphabet Inc. Class A 3,539,743   318,789
* Alphabet Inc. Class C 3,071,533   277,360
* Pinterest Inc. Class A   845,039    21,219
* Snap Inc. Class A 1,613,070    16,373
* Match Group Inc.   374,957    15,531
* Ziff Davis Inc.   157,298    12,423
* ZoomInfo Technologies Inc. Class A   389,037     9,403
* IAC Inc.   180,886     9,395
* TripAdvisor Inc.   372,522     8,035
* Yelp Inc. Class A   262,828     7,890
  Shutterstock Inc.    94,165     7,083
* Bumble Inc. Class A   265,329     6,416
* Cargurus Inc.   324,108     5,526
* Cars.com Inc.   241,083     4,629
* QuinStreet Inc.   189,294     3,212
* Eventbrite Inc. Class A   300,642     2,634
* ZipRecruiter Inc. Class A   137,363     2,343
* Vimeo Inc.   556,938     2,133
* Mediaalpha Inc. Class A    87,061     1,318
*,1 fuboTV Inc.   660,674     1,262
* Nextdoor Holdings Inc.   347,197       715
* Angi Inc. Class A   274,588       703
*,1 System1 Inc.    87,075       383
* Outbrain Inc.    41,257       182
            1,104,073
Media (18.5%)
  Comcast Corp. Class A 3,184,950   118,385
* Charter Communications Inc. Class A   133,130    48,940
  Omnicom Group Inc.   319,042    28,896
* Trade Desk Inc. Class A   467,373    26,154
  Interpublic Group of Cos. Inc.   682,778    24,266
  Fox Corp. Class A   604,428    21,167
* Liberty Broadband Corp. Class C   220,272    19,091
  Nexstar Media Group Inc. Class A    94,235    17,518
    Shares Market
Value

($000)
  New York Times Co. Class A   450,071    17,328
1 Paramount Global Inc. Class B   804,773    17,238
  News Corp. Class A   966,905    16,582
  Fox Corp. Class B   480,238    15,488
* Liberty Media Corp.- Liberty SiriusXM Class C   426,877    13,754
  TEGNA Inc.   729,773    12,698
  Cable One Inc.    12,946     8,941
* Liberty Media Corp.- Liberty SiriusXM Class A   275,319     8,918
1 Sirius XM Holdings Inc. 2,015,250     8,847
  News Corp. Class B   474,227     8,185
  John Wiley & Sons Inc. Class A   165,146     7,347
* DISH Network Corp. Class A   635,704     7,253
* Liberty Broadband Corp. Class A    72,281     6,269
  Scholastic Corp.   109,339     4,987
* Magnite Inc.   442,008     4,920
* TechTarget Inc.   104,443     3,941
  Gray Television Inc.   287,641     3,365
* Altice USA Inc. Class A   807,585     3,198
* iHeartMedia Inc. Class A   431,550     3,133
  Sinclair Broadcast Group Inc. Class A   163,263     2,656
* EW Scripps Co. Class A   201,009     2,537
* AMC Networks Inc. Class A   106,092     2,372
* PubMatic Inc. Class A   151,233     2,296
* Clear Channel Outdoor Holdings Inc. 1,249,748     2,212
* WideOpenWest Inc.   197,369     2,157
* Thryv Holdings Inc.    77,348     1,844
* Boston Omaha Corp. Class A    75,192     1,811
* Gannett Co. Inc.   520,841     1,578
* Quotient Technology Inc.   195,110       738
* Cardlytics Inc.   123,785       675
* Advantage Solutions Inc.   299,771       659
              498,344
Wireless Telecommunication Services (4.0%)
* T-Mobile US Inc.   666,772    94,802
  Telephone and Data Systems Inc.   378,267     4,800
* Gogo Inc.   216,374     3,562
  Shenandoah Telecommunications Co.   177,582     3,466
5

 

Communication Services Index Fund
    Shares Market
Value

($000)
* United States Cellular Corp.    58,897     1,421
              108,051
Total Common Stocks (Cost $3,614,877) 2,687,544
Preferred Stock (0.2%)
Entertainment (0.2%)
2 AMC Entertainment Holdings Inc. Class A, 0.000% (Cost $10,007) 1,931,010     3,997
Temporary Cash Investments (1.2%)
Money Market Fund (1.2%)
3,4 Vanguard Market Liquidity Fund, 4.640% (Cost$33,815)   338,234          33,820
Total Investments (101.0%) (Cost $3,658,699) 2,725,361
Other Assets and Liabilities—Net (-1.0%) (28,049)
Net Assets (100.0%) 2,697,312
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 $25,159,000.
2 Perpetual security with no stated maturity date.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $28,190,000 was received for securities on loan, of which $28,133,000 is held in Vanguard Market Liquidity Fund and $57,000 is held in cash.

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 8/31/23 BANA 3,534 (4.569) (14)
Sirius XM Holdings Inc. 1/31/24 GSI 3,049 (4.573) (184)
          (198)
1 Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  BANA—Bank of America, N.A.
  GSI—Goldman Sachs International.
  
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 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $3,624,884) 2,691,541
Affiliated Issuers (Cost $33,815) 33,820
Total Investments in Securities 2,725,361
Investment in Vanguard 100
Cash 57
Cash Collateral Pledged—Over-the-Counter Swap Contracts 50
Receivables for Investment Securities Sold 133,947
Receivables for Accrued Income 755
Receivables for Capital Shares Issued 10
Total Assets 2,860,280
Liabilities  
Due to Custodian 2,023
Payables for Investment Securities Purchased 41,692
Collateral for Securities on Loan 28,190
Payables for Capital Shares Redeemed 90,764
Payables to Vanguard 101
Unrealized Depreciation—Over-the-Counter Swap Contracts 198
Total Liabilities 162,968
Net Assets 2,697,312
1 Includes $25,159,000 of securities on loan.  
At February 28, 2023, net assets consisted of:  
   
Paid-in Capital 4,127,533
Total Distributable Earnings (Loss) (1,430,221)
Net Assets 2,697,312
 
ETF Shares—Net Assets  
Applicable to 28,820,890 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,618,910
Net Asset Value Per Share—ETF Shares $90.87
 
Admiral Shares—Net Assets  
Applicable to 1,693,092 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
78,402
Net Asset Value Per Share—Admiral Shares $46.31
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Communication Services Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends 15,260
Interest1 115
Securities Lending—Net 1,684
Total Income 17,059
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 31
Management and Administrative—
ETF Shares
1,090
Management and Administrative—
Admiral Shares
29
Marketing and Distribution—
ETF Shares
73
Marketing and Distribution—
Admiral Shares
2
Shareholders’ Reports—ETF Shares 64
Shareholders’ Reports—Admiral Shares 1
Trustees’ Fees and Expenses 1
Other Expenses 6
Total Expenses 1,297
Net Investment Income 15,762
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (42,679)
Swap Contracts (1,692)
Realized Net Gain (Loss) (44,371)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (65,270)
Swap Contracts 234
Change in Unrealized Appreciation (Depreciation) (65,036)
Net Increase (Decrease) in Net Assets Resulting from Operations (93,645)
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 $115,000, $3,000, less than $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $56,464,000 of net gain (loss) resulting from in-kind redemptions.
  
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023
  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 15,762   35,113
Realized Net Gain (Loss) (44,371)   301,906
Change in Unrealized Appreciation (Depreciation) (65,036)   (2,110,443)
Net Increase (Decrease) in Net Assets Resulting from Operations (93,645)   (1,773,424)
Distributions      
ETF Shares (11,174)   (36,456)
Admiral Shares (285)   (937)
Total Distributions (11,459)   (37,393)
Capital Share Transactions      
ETF Shares 3,833   (303,025)
Admiral Shares 11,166   (10,410)
Net Increase (Decrease) from Capital Share Transactions 14,999   (313,435)
Total Increase (Decrease) (90,105)   (2,124,252)
Net Assets      
Beginning of Period 2,787,417   4,911,669
End of Period 2,697,312   2,787,417
  
 
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 28,
2023
Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $94.12 $149.87 $108.04 $87.24 $86.83 $93.54
Investment Operations            
Net Investment Income1 .529 1.110 1.018 1.005 .917 3.067
Net Realized and Unrealized Gain (Loss) on Investments (3.394) (55.695) 41.708 20.743 .316 (6.297)
Total from Investment Operations (2.865) (54.585) 42.726 21.748 1.233 (3.230)
Distributions            
Dividends from Net Investment Income (.385) (1.165) (.896) (.948) (.823) (3.480)
Distributions from Realized Capital Gains
Total Distributions (.385) (1.165) (.896) (.948) (.823) (3.480)
Net Asset Value, End of Period $90.87 $94.12 $149.87 $108.04 $87.24 $86.83
Total Return -3.01% -36.61% 39.75% 25.15% 1.47% -3.50%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,619 $2,717 $4,787 $2,914 $2,016 $1,015
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.20% 0.92% 0.80% 1.09% 1.09% 3.48%
Portfolio Turnover Rate2 10% 16% 15% 15% 33% 84%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2023
Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $47.97 $76.38 $55.06 $44.46 $44.25 $47.67
Investment Operations            
Net Investment Income1 .271 .572 .519 .512 .470 1.554
Net Realized and Unrealized Gain (Loss) on Investments (1.735) (28.388) 21.259 10.571 .157 (3.199)
Total from Investment Operations (1.464) (27.816) 21.778 11.083 .627 (1.645)
Distributions            
Dividends from Net Investment Income (.196) (.594) (.458) (.483) (.417) (1.775)
Distributions from Realized Capital Gains
Total Distributions (.196) (.594) (.458) (.483) (.417) (1.775)
Net Asset Value, End of Period $46.31 $47.97 $76.38 $55.06 $44.46 $44.25
Total Return2 -3.02% -36.61% 39.76% 25.16% 1.46% -3.48%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $78 $70 $124 $67 $50 $46
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.20% 0.93% 0.79% 1.10% 1.09% 3.48%
Portfolio Turnover Rate3 10% 16% 15% 15% 33% 84%
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 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
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.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), 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.
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 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 28, 2023, 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.
10

 

Communication Services Index Fund
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 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 $4.4 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 28, 2023, 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.
11

 

Communication Services Index Fund
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 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 28, 2023, the fund had contributed to Vanguard capital in the amount of $100,000, representing less than 0.01% of the fund’s net assets and 0.04% 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 28, 2023, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 2,687,544 2,687,544
Preferred Stock 3,997 3,997
Temporary Cash Investments 33,820 33,820
Total 2,725,361 2,725,361
Derivative Financial Instruments        
Liabilities        
Swap Contracts 198 198
D. As of February 28, 2023, 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 3,694,712
Gross Unrealized Appreciation 28,406
Gross Unrealized Depreciation (997,757)
Net Unrealized Appreciation (Depreciation) (969,351)
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, 2022, the fund had available capital losses totaling $450,224,000 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, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
12

 

Communication Services Index Fund
E. During the six months ended February 28, 2023, the fund purchased $851,307,000 of investment securities and sold $833,713,000 of investment securities, other than temporary cash investments. Purchases and sales include $572,498,000 and $586,579,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $4,017,000 and sales were $589,000, resulting in net realized loss of $245,000; 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 28, 2023
  Year Ended
August 31, 2022
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 592,154 6,725   1,584,130 13,653
Issued in Lieu of Cash Distributions  
Redeemed (588,321) (6,775)   (1,887,155) (16,725)
Net Increase (Decrease)—ETF Shares 3,833 (50)   (303,025) (3,072)
Admiral Shares          
Issued 26,620 578   39,208 630
Issued in Lieu of Cash Distributions 238 6   787 12
Redeemed (15,692) (350)   (50,405) (809)
Net Increase (Decrease)—Admiral Shares 11,166 234   (10,410) (167)
G. Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
13

 

Consumer Discretionary Index Fund
Fund Allocation
As of February 28, 2023
Auto Components 2.4%
Automobiles 15.8
Distributors 1.3
Diversified Consumer Services 1.1
Hotels, Restaurants & Leisure 20.6
Household Durables 4.2
Internet & Direct Marketing Retail 22.6
Leisure Products 1.0
Multiline Retail 4.1
Specialty Retail 20.7
Textiles, Apparel & Luxury Goods 6.2
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.
14

 

Consumer Discretionary Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
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%)
Auto Components (2.4%)
* Aptiv plc   289,885    33,708
  BorgWarner Inc. (XNYS)   250,438    12,592
  Lear Corp.    63,210     8,827
  Autoliv Inc.    88,143     8,160
  Gentex Corp.   250,745     7,159
* Fox Factory Holding Corp.    45,343     5,328
* Visteon Corp.    30,035     5,017
* Adient plc   101,258     4,326
* Goodyear Tire & Rubber Co.   302,168     3,433
  LCI Industries    27,154     3,063
*,1 QuantumScape Corp. Class A   286,380     2,741
* Dorman Products Inc.    28,528     2,654
* Gentherm Inc.    35,649     2,264
  Dana Inc.   137,426     2,177
*,1 Luminar Technologies Inc. Class A   227,635     2,037
  Patrick Industries Inc.    23,204     1,690
* XPEL Inc.    20,652     1,380
* American Axle & Manufacturing Holdings Inc.   122,283     1,076
  Standard Motor Products Inc.    20,566       801
* Stoneridge Inc.    29,177       695
*,1 Solid Power Inc.   111,933       378
* Holley Inc.    50,393       110
              109,616
Automobiles (15.7%)
* Tesla Inc. 2,871,307   590,657
  General Motors Co. 1,519,784    58,876
  Ford Motor Co. 4,225,354    51,000
  Harley-Davidson Inc.   148,590     7,065
* Rivian Automotive Inc. Class A   342,247     6,605
  Thor Industries Inc.    57,424     5,225
*,1 Lucid Group Inc.   449,769     4,106
  Winnebago Industries Inc.    31,022     1,972
*,1 Fisker Inc.   193,067     1,435
* Workhorse Group Inc.   174,902       360
*,1 Canoo Inc.   325,047       243
*,1 Lordstown Motors Corp. Class A   175,671       183
*,1 Faraday Future Intelligent Electric Inc.   269,821       144
              727,871
Distributors (1.2%)
  Genuine Parts Co.   151,060    26,716
  LKQ Corp.   271,461    15,552
  Pool Corp.    41,781    14,910
* Funko Inc. Class A    37,454       405
               57,583
Diversified Consumer Services (1.1%)
  Service Corp. International   164,620    11,117
  H&R Block Inc.   166,335     6,121
    Shares Market
Value

($000)
* Bright Horizons Family Solutions Inc.    61,893     4,880
* Grand Canyon Education Inc.    33,262     3,768
  Graham Holdings Co. Class B     4,123     2,584
* frontdoor Inc.    87,026     2,459
* Chegg Inc.   134,507     2,137
  Strategic Education Inc.    24,709     2,106
* Adtalem Global Education Inc.    48,284     1,889
* Stride Inc.    43,825     1,861
* Duolingo Inc.    20,114     1,826
  Laureate Education Inc.   150,624     1,786
  ADT Inc.   184,982     1,395
* Perdoceo Education Corp.    72,345       997
* OneSpaWorld Holdings Ltd.    71,403       828
*,1 Mister Car Wash Inc.    81,352       751
* 2U Inc.    82,837       742
* Coursera Inc.    62,387       703
  European Wax Center Inc. Class A    31,674       585
* Vivint Smart Home Inc.    45,523       512
  Carriage Services Inc. Class A    14,102       478
* Rover Group Inc. Class A    78,212       327
* WW International Inc.    53,564       196
*,1 Beachbody Co. Inc.   116,708        75
               50,123
Hotels, Restaurants & Leisure (20.6%)
  McDonald's Corp.   783,477   206,767
  Starbucks Corp. 1,227,812   125,347
* Booking Holdings Inc.    41,492   104,726
* Airbnb Inc. Class A   404,811    49,905
  Marriott International Inc. Class A   287,799    48,707
* Chipotle Mexican Grill Inc. Class A    29,653    44,215
  Hilton Worldwide Holdings Inc.   289,311    41,808
  Yum! Brands Inc.   301,307    38,314
* Las Vegas Sands Corp.   367,856    21,141
  Darden Restaurants Inc.   130,981    18,729
* Expedia Group Inc.   161,075    17,552
* Royal Caribbean Cruises Ltd.   245,696    17,356
  MGM Resorts International   328,371    14,123
* Wynn Resorts Ltd.   115,272    12,492
* Caesars Entertainment Inc.   229,556    11,652
* Carnival Corp. 1,071,672    11,381
  Domino's Pizza Inc.    37,869    11,134
  Vail Resorts Inc.    43,137    10,072
  Aramark   249,040     9,165
  Churchill Downs Inc.    35,998     8,848
* DraftKings Inc. Class A   408,218     7,699
  Wyndham Hotels & Resorts Inc.    94,500     7,278
* Planet Fitness Inc. Class A    89,239     7,233
    Shares Market
Value

($000)
  Texas Roadhouse Inc. Class A    67,993     6,904
* Norwegian Cruise Line Holdings Ltd.   451,023     6,684
* Hyatt Hotels Corp. Class A    51,342     5,968
* Light & Wonder Inc.    95,203     5,961
  Marriott Vacations Worldwide Corp.    38,929     5,956
  Wingstop Inc.    32,074     5,464
  Boyd Gaming Corp.    83,710     5,452
* Penn Entertainment Inc.   165,962     5,067
* Hilton Grand Vacations Inc.    92,317     4,407
  Choice Hotels International Inc.    37,070     4,388
  Wendy's Co.   193,237     4,243
  Travel + Leisure Co.    86,990     3,649
  Papa John's International Inc.    35,875     3,012
* SeaWorld Entertainment Inc.    44,514     2,876
  Cracker Barrel Old Country Store Inc.    22,558     2,458
  Red Rock Resorts Inc. Class A    56,001     2,446
  Bloomin' Brands Inc.    89,651     2,340
* Shake Shack Inc. Class A    39,781     2,219
* Six Flags Entertainment Corp.    79,837     2,108
  Cheesecake Factory Inc.    49,535     1,855
* Everi Holdings Inc.    95,599     1,815
* Brinker International Inc.    46,890     1,782
  Jack in the Box Inc.    22,168     1,738
* Dave & Buster's Entertainment Inc.    41,182     1,648
*,1 Dutch Bros Inc. Class A    39,031     1,302
* Playa Hotels & Resorts NV   138,814     1,238
  Dine Brands Global Inc.    15,901     1,219
  Monarch Casino & Resort Inc.    15,351     1,130
* Portillo's Inc. Class A    43,623       991
1 Krispy Kreme Inc.    71,605       932
* Golden Entertainment Inc.    19,789       813
* BJ's Restaurants Inc.    25,011       800
  RCI Hospitality Holdings Inc.     8,888       745
* Denny's Corp.    61,750       721
* Chuy's Holdings Inc.    19,324       691
*,1 Bally's Corp.    33,234       656
* Bowlero Corp.    41,563       639
  Ruth's Hospitality Group Inc.    34,196       638
* Life Time Group Holdings Inc.    31,083       562
* Accel Entertainment Inc. Class A    59,772       547
* Target Hospitality Corp.    31,172       462
* Sweetgreen Inc. Class A    51,719       451
* Lindblad Expeditions Holdings Inc.    36,788       316
15

 

Consumer Discretionary Index Fund
    Shares Market
Value

($000)
* Kura Sushi USA Inc. Class A     4,627       290
* First Watch Restaurant Group Inc.    18,937       289
*,1 Membership Collective Group Inc.    30,084       201
* Sonder Holdings Inc.   164,993       170
*,1 Vacasa Inc.   115,183       167
* F45 Training Holdings Inc.    36,598        76
              952,130
Household Durables (4.2%)
  DR Horton Inc.   349,920    32,361
  Lennar Corp. Class A   272,529    26,364
* NVR Inc.     3,248    16,804
  Garmin Ltd.   164,073    16,100
  PulteGroup Inc.   243,626    13,319
  Whirlpool Corp.    58,341     8,050
  Tempur Sealy International Inc.   173,767     7,427
* TopBuild Corp.    34,217     7,103
  Toll Brothers Inc.   115,120     6,900
  Newell Brands Inc.   420,575     6,178
* Mohawk Industries Inc.    54,492     5,605
  Leggett & Platt Inc.   141,627     4,885
* Meritage Homes Corp.    39,018     4,262
* Skyline Champion Corp.    57,936     3,963
* Taylor Morrison Home Corp. Class A   110,396     3,955
  Installed Building Products Inc.    26,062     3,007
  KB Home    82,448     2,908
* Helen of Troy Ltd.    25,587     2,883
* Sonos Inc.   135,940     2,641
* Tri Pointe Homes Inc.   108,337     2,583
* Cavco Industries Inc.     9,017     2,570
* LGI Homes Inc.    22,347     2,331
  MDC Holdings Inc.    60,723     2,247
  Century Communities Inc.    30,558     1,828
* M/I Homes Inc.    29,188     1,688
  La-Z-Boy Inc.    45,894     1,486
* iRobot Corp.    29,084     1,195
* Green Brick Partners Inc.    32,007       999
  Ethan Allen Interiors Inc.    24,421       722
* GoPro Inc. Class A   138,236       717
* Beazer Homes USA Inc.    31,426       469
* Lovesac Co.    14,518       418
1 Cricut Inc. Class A    28,288       302
*,1 Dream Finders Homes Inc. Class A    21,271       256
* Traeger Inc.    56,805       226
* Snap One Holdings Corp.    15,940       186
* Tupperware Brands Corp.    45,032       185
              195,123
Internet & Direct Marketing Retail (22.6%)
* Amazon.com Inc. 9,821,797   925,508
* MercadoLibre Inc.    41,622    50,779
  eBay Inc.   580,604    26,650
* Etsy Inc.   134,465    16,325
* DoorDash Inc. Class A   250,422    13,688
*,1 Chewy Inc. Class A   101,437     4,113
*,1 Wayfair Inc. Class A    78,439     3,176
* Revolve Group Inc.    43,519     1,179
* Overstock.com Inc.    48,845       946
* Qurate Retail Inc. Series A   379,278       800
*,1 Xometry Inc. Class A    14,300       435
* Stitch Fix Inc. Class A    92,512       431
1 PetMed Express Inc.    21,274       400
* ContextLogic Inc. Class A   586,396       285
    Shares Market
Value

($000)
* 1-800-Flowers.com Inc. Class A    21,810       216
*,1 Groupon Inc. Class A    17,718       133
* BARK Inc.    86,808       117
* ThredUP Inc. Class A    71,502       114
* Lands' End Inc.    14,201       108
            1,045,403
Leisure Products (1.0%)
  Hasbro Inc.   140,429     7,725
* Mattel Inc.   379,200     6,822
  Brunswick Corp.    77,557     6,780
  Polaris Inc.    58,898     6,700
* Peloton Interactive Inc. Class A   318,839     4,119
* YETI Holdings Inc.    92,104     3,590
* Topgolf Callaway Brands Corp.   148,088     3,433
  Acushnet Holdings Corp.    37,824     1,825
* Vista Outdoor Inc.    60,356     1,724
* Malibu Boats Inc. Class A    21,890     1,308
  Sturm Ruger & Co. Inc.    18,860     1,099
  Smith & Wesson Brands Inc.    48,731       533
  Johnson Outdoors Inc. Class A     6,192       402
  Clarus Corp.    26,016       257
*,1 AMMO Inc.    96,937       189
* Latham Group Inc.    48,391       154
               46,660
Multiline Retail (4.1%)
  Target Corp.   492,427    82,974
  Dollar General Corp.   241,309    52,195
* Dollar Tree Inc.   236,620    34,376
  Macy's Inc.   290,090     5,935
  Kohl's Corp.   124,836     3,500
* Ollie's Bargain Outlet Holdings Inc.    60,094     3,458
  Nordstrom Inc.   119,373     2,325
1 Dillard's Inc. Class A     5,624     2,005
  Franchise Group Inc.    28,687       798
  Big Lots Inc.    29,305       421
              187,987
Specialty Retail (20.7%)
  Home Depot Inc. 1,090,241   323,300
  Lowe's Cos. Inc.   646,853   133,090
  TJX Cos. Inc. 1,241,990    95,136
* O'Reilly Automotive Inc.    66,940    55,567
* AutoZone Inc.    20,305    50,489
  Ross Stores Inc.   371,265    41,040
* Ulta Beauty Inc.    54,792    28,426
  Tractor Supply Co.   118,121    27,553
  Best Buy Co. Inc.   216,785    18,017
* Burlington Stores Inc.    69,739    14,942
* Five Below Inc.    59,382    12,132
* CarMax Inc.   169,072    11,673
* Floor & Decor Holdings Inc. Class A   113,538    10,424
  Bath & Body Works Inc.   244,324     9,986
  Advance Auto Parts Inc.    63,405     9,191
  Williams-Sonoma Inc.    71,207     8,895