Semiannual Report  |  February 28, 2022
Vanguard ESG U.S. Stock ETF

Contents

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Table of Contents
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.
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Table of Contents
Six Months Ended February 28, 2022      
ESG U.S. Stock ETF Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $ 938.90 $0.43
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.35 0.45
The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratio for that period is 0.09%. 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).
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Table of Contents
ESG U.S. Stock ETF
Fund Allocation
As of February 28, 2022
Basic Materials 2.1%
Consumer Discretionary 16.5
Consumer Staples 4.5
Energy 0.2
Financials 11.3
Health Care 13.8
Industrials 10.7
Real Estate 3.9
Technology 32.5
Telecommunications 3.3
Utilities 1.2
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
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Table of Contents
ESG U.S. Stock ETF
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (2.1%)
Linde plc    87,311    25,603
Newmont Corp.   136,080     9,009
Air Products and Chemicals Inc.    37,556     8,874
Dow Inc.   126,665     7,468
Nucor Corp.    48,241     6,349
International Flavors & Fragrances Inc.    42,995     5,718
Fastenal Co.    96,492     4,965
LyondellBasell Industries NV Class A    44,739     4,350
Albemarle Corp.    19,892     3,897
Mosaic Co.    62,985     3,302
CF Industries Holdings Inc.    36,465     2,961
International Paper Co.    65,238     2,840
Eastman Chemical Co.    22,795     2,701
Celanese Corp.    18,274     2,545
FMC Corp.    21,682     2,542
Avery Dennison Corp.    13,922     2,453
Alcoa Corp.    32,107     2,419
Steel Dynamics Inc.    31,574     2,229
Reliance Steel & Aluminum Co.    10,515     2,007
* Cleveland-Cliffs Inc.    78,091     1,746
Huntsman Corp.    35,223     1,424
Royal Gold Inc.    11,442     1,387
United States Steel Corp.    46,772     1,273
Scotts Miracle-Gro Co.     7,121       997
Valvoline Inc.    30,643       991
Element Solutions Inc.    39,099       961
* Univar Solutions Inc.    29,736       913
* Livent Corp.    38,517       907
UFP Industries Inc.    10,460       897
Ashland Global Holdings Inc.     9,208       850
Avient Corp.    16,219       850
Balchem Corp.     5,735       793
Cabot Corp.     9,822       719
*,1 MP Materials Corp.    13,895       634
          Shares Market
Value

($000)
Sensient Technologies Corp.     7,550       620
Westlake Corp.     5,467       603
* Arconic Corp.    19,111       587
Mueller Industries Inc.     9,781       558
Boise Cascade Co.     6,783       542
Hecla Mining Co.    90,013       518
Quaker Chemical Corp.     2,338       434
Tronox Holdings plc Class A    20,215       410
* Ingevity Corp.     5,863       400
NewMarket Corp.     1,214       386
* Constellium SE Class A    19,120       372
Innospec Inc.     3,884       371
Minerals Technologies Inc.     4,904       343
Stepan Co.     3,297       342
Compass Minerals International Inc.     5,628       330
Trinseo plc     6,043       314
Kaiser Aluminum Corp.     2,630       254
* GCP Applied Technologies Inc.     7,905       250
* Kraton Corp.     4,501       208
* Coeur Mining Inc.    47,019       202
* Sylvamo Corp.     4,991       174
* Century Aluminum Co.     6,526       154
* Piedmont Lithium Inc.     2,823       148
Schweitzer-Mauduit International Inc.     4,127       129
Orion Engineered Carbons SA     7,841       122
Neenah Inc.     2,144        84
                    126,429
Consumer Discretionary (16.4%)
* Amazon.com Inc.    73,763   226,545
* Tesla Inc.   137,339   119,544
Home Depot Inc.   180,134    56,892
* Walt Disney Co.   308,095    45,740
Costco Wholesale Corp.    74,998    38,943
McDonald's Corp.   126,371    30,932
* Netflix Inc.    73,533    29,010
NIKE Inc. Class B   209,860    28,656
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Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
Lowe's Cos. Inc.   117,495    25,973
Starbucks Corp.   199,772    18,337
Target Corp.    82,927    16,566
* Booking Holdings Inc.     6,948    15,093
TJX Cos. Inc.   204,148    13,494
Ford Motor Co.   662,847    11,640
Estee Lauder Cos. Inc. Class A    38,890    11,524
Activision Blizzard Inc.   132,140    10,769
* Uber Technologies Inc.   280,925    10,122
* MercadoLibre Inc.     8,322     9,376
Dollar General Corp.    39,503     7,835
* Chipotle Mexican Grill Inc.     4,913     7,484
* O'Reilly Automotive Inc.    11,306     7,340
* AutoZone Inc.     3,515     6,550
Electronic Arts Inc.    47,899     6,231
* Lululemon Athletica Inc.    19,290     6,172
Yum! Brands Inc.    49,740     6,097
* Aptiv plc    45,897     5,941
eBay Inc.   106,297     5,803
Ross Stores Inc.    59,385     5,427
* Dollar Tree Inc.    37,839     5,376
* Expedia Group Inc.    24,675     4,839
Lennar Corp. Class A    47,542     4,273
Best Buy Co. Inc.    41,614     4,022
Tractor Supply Co.    19,238     3,920
* Spotify Technology SA    24,265     3,790
* Etsy Inc.    24,354     3,772
Yum China Holdings Inc.    72,200     3,756
* Ulta Beauty Inc.     9,009     3,374
VF Corp.    55,195     3,202
Darden Restaurants Inc.    22,002     3,195
Paramount Global Class B   103,985     3,183
* Take-Two Interactive Software Inc.    19,454     3,152
Pool Corp.     6,694     3,070
* CarMax Inc.    27,697     3,028
Omnicom Group Inc.    35,252     2,957
Genuine Parts Co.    23,821     2,910
Garmin Ltd.    25,661     2,834
* Live Nation Entertainment Inc.    23,304     2,816
Fox Corp. Class A    65,872     2,755
Domino's Pizza Inc.     6,099     2,636
* Burlington Stores Inc.    11,282     2,548
* NVR Inc.       510     2,529
Interpublic Group of Cos. Inc.    66,180     2,435
* Liberty Media Corp.-Liberty Formula One Class C    37,074     2,251
Bath & Body Works Inc.    41,002     2,188
LKQ Corp.    46,577     2,187
Advance Auto Parts Inc.    10,545     2,156
Hasbro Inc.    21,861     2,122
* Lyft Inc. Class A    54,122     2,107
          Shares Market
Value

($000)
PulteGroup Inc.    42,250     2,098
Whirlpool Corp.    10,039     2,021
Tapestry Inc.    47,981     1,962
Williams-Sonoma Inc.    12,482     1,808
* Liberty Media Corp.-Liberty SiriusXM Class A    35,261     1,776
Vail Resorts Inc.     6,683     1,741
Lithia Motors Inc. Class A     5,028     1,714
* Zynga Inc. Class A   187,607     1,703
* Carvana Co.    11,229     1,690
* Capri Holdings Ltd.    24,899     1,687
* Floor & Decor Holdings Inc. Class A    17,500     1,673
BorgWarner Inc.    40,705     1,669
Kohl's Corp.    29,803     1,658
Service Corp. International    26,670     1,623
Lear Corp.    10,283     1,618
Newell Brands Inc.    66,376     1,576
* Five Below Inc.     9,566     1,565
* Wayfair Inc. Class A    10,919     1,538
Macy's Inc.    57,644     1,494
* Discovery Inc. Class A    51,865     1,455
Aramark    39,172     1,448
* BJ's Wholesale Club Holdings Inc.    22,898     1,440
* Deckers Outdoor Corp.     4,693     1,355
* Bright Horizons Family Solutions Inc.    10,320     1,348
Autoliv Inc.    14,575     1,283
* Avis Budget Group Inc.     6,901     1,266
* SiteOne Landscape Supply Inc.     7,298     1,258
Nexstar Media Group Inc. Class A     6,695     1,239
New York Times Co. Class A    28,054     1,234
Rollins Inc.    37,651     1,229
* Planet Fitness Inc. Class A    14,449     1,223
Gentex Corp.    40,239     1,218
* Delta Air Lines Inc.    29,910     1,194
PVH Corp.    12,190     1,193
* RH     2,965     1,192
Texas Roadhouse Inc. Class A    12,334     1,171
Dick's Sporting Goods Inc.    10,722     1,126
* Southwest Airlines Co.    25,697     1,126
Ralph Lauren Corp.     8,337     1,101
*,1 QuantumScape Corp. Class A    67,384     1,088
Nielsen Holdings plc    62,100     1,082
Harley-Davidson Inc.    26,046     1,076
Tempur Sealy International Inc.    31,952     1,055
* Skechers U.S.A. Inc. Class A    22,796     1,048
 
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Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
Toll Brothers Inc.    19,266     1,045
* Luminar Technologies Inc. Class A    70,586       990
* YETI Holdings Inc.    16,073       989
* Peloton Interactive Inc. Class A    33,977       987
* GameStop Corp. Class A     7,845       968
1 Sirius XM Holdings Inc.   154,305       951
Hanesbrands Inc.    60,472       934
* Discovery Inc. Class C    33,239       930
TEGNA Inc.    40,518       929
* Terminix Global Holdings Inc.    20,749       883
* Helen of Troy Ltd.     4,239       872
Leggett & Platt Inc.    23,436       869
Thor Industries Inc.     9,548       864
* Fox Factory Holding Corp.     7,276       859
* IAA Inc.    22,916       842
* AutoNation Inc.     7,061       810
* Crocs Inc.     9,670       810
* Asbury Automotive Group Inc.     4,101       796
* Hilton Grand Vacations Inc.    15,282       793
H&R Block Inc.    31,925       792
* Under Armour Inc. Class C    49,251       770
* Sabre Corp.    69,250       757
* Adient plc    16,549       741
* Cardlytics Inc.    12,585       730
* Goodyear Tire & Rubber Co.    46,662       723
* Victoria's Secret & Co.    13,425       720
* Farfetch Ltd. Class A    37,760       719
Wingstop Inc.     4,936       717
Carter's Inc.     7,389       714
* Nordstrom Inc.    34,362       713
Wendy's Co.    29,886       680
American Eagle Outfitters Inc.    31,852       671
Gap Inc.    45,970       669
* United Airlines Holdings Inc.    15,000       666
* Dave & Buster's Entertainment Inc.    14,942       648
* Taylor Morrison Home Corp. Class A    21,971       648
* Cinemark Holdings Inc.    36,694       644
Signet Jewelers Ltd.     9,113       642
* Meritage Homes Corp.     6,501       641
* Veoneer Inc.    17,912       635
* Madison Square Garden Sports Corp.     3,646       631
Steven Madden Ltd.    14,575       622
* Grand Canyon Education Inc.     7,157       621
Columbia Sportswear Co.     6,592       611
* Skyline Champion Corp.     8,982       604
          Shares Market
Value

($000)
*,1 Fisker Inc.    49,456       603
* Visteon Corp.     4,996       600
* Six Flags Entertainment Corp.    13,705       598
* SeaWorld Entertainment Inc.     8,614       598
Papa John's International Inc.     5,414       578
Group 1 Automotive Inc.     3,066       558
KB Home    14,338       554
* TripAdvisor Inc.    21,754       553
* Callaway Golf Co.    22,111       547
Fox Corp. Class B    14,212       544
LCI Industries     4,227       526
* National Vision Holdings Inc.    13,945       511
Dana Inc.    27,342       509
Foot Locker Inc.    15,790       499
* Coty Inc. Class A    54,337       498
MillerKnoll Inc.    12,694       494
Cracker Barrel Old Country Store Inc.     3,660       491
Penske Automotive Group Inc.     4,703       462
* Frontdoor Inc.    15,118       454
* Cavco Industries Inc.     1,632       445
* Leslie's Inc.    20,592       439
* Gentherm Inc.     5,142       436
* Abercrombie & Fitch Co. Class A    11,306       431
* LGI Homes Inc.     3,400       429
* American Airlines Group Inc.    24,700       426
* Brinker International Inc.     9,862       420
* Playtika Holding Corp.    19,500       402
Graham Holdings Co. Class B       666       400
* Liberty Media Corp.-Liberty SiriusXM Class C     7,915       398
* Tri Pointe Homes Inc.    17,806       398
World Wrestling Entertainment Inc. Class A     6,627       393
Kontoor Brands Inc.     7,888       391
* Academy Sports & Outdoors Inc.    11,889       385
* Children's Place Inc.     6,091       383
* Chegg Inc.    12,120       379
* Under Armour Inc. Class A    21,058       377
* Dorman Products Inc.     4,005       374
MDC Holdings Inc.     8,398       372
* iHeartMedia Inc. Class A    17,200       369
* iRobot Corp.     5,868       365
* KAR Auction Services Inc.    19,057       352
John Wiley & Sons Inc. Class A     6,932       349
 
6

Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
* PROG Holdings Inc.    11,306       346
* ODP Corp.     7,800       343
Rush Enterprises Inc. Class A     6,585       342
* MakeMyTrip Ltd.    12,163       342
* Bloomin' Brands Inc.    13,739       338
Big Lots Inc.     9,468       329
Strategic Education Inc.     5,561       328
* Knowles Corp.    14,864       324
Gray Television Inc.    13,675       320
Rent-A-Center Inc.    10,848       308
* Lions Gate Entertainment Corp. Class B    21,472       306
* Cheesecake Factory Inc.     7,127       305
* Urban Outfitters Inc.    11,027       303
* Sally Beauty Holdings Inc.    17,538       303
Winnebago Industries Inc.     4,724       303
* Driven Brands Holdings Inc.    10,300       302
* Alaska Air Group Inc.     5,337       300
* AMC Networks Inc. Class A     7,200       298
HNI Corp.     6,953       283
PriceSmart Inc.     3,798       276
* Central Garden & Pet Co. Class A     6,206       273
Wolverine World Wide Inc.    11,580       267
* Sleep Number Corp.     3,929       258
Jack in the Box Inc.     2,957       255
Monro Inc.     5,461       255
Inter Parfums Inc.     2,695       250
Dine Brands Global Inc.     2,864       240
Acushnet Holdings Corp.     5,465       239
La-Z-Boy Inc.     8,038       235
Guess? Inc.    10,338       226
Oxford Industries Inc.     2,441       216
* Ollie's Bargain Outlet Holdings Inc.     4,638       200
* Sonos Inc.     7,208       197
* Adtalem Global Education Inc.     9,362       195
* EW Scripps Co. Class A     8,770       195
* WW International Inc.    18,800       192
* G-III Apparel Group Ltd.     6,785       188
* Spirit Airlines Inc.     7,356       184
Buckle Inc.     4,769       172
* Petco Health & Wellness Co. Inc. Class A     9,500       166
* JetBlue Airways Corp.    10,721       164
* American Axle & Manufacturing Holdings Inc.    16,965       157
Scholastic Corp.     3,651       154
* IMAX Corp.     7,088       147
Laureate Education Inc. Class A    13,355       145
          Shares Market
Value

($000)
Steelcase Inc. Class A    11,401       139
Matthews International Corp. Class A     3,938       131
* Copa Holdings SA Class A     1,435       122
* Allegiant Travel Co.       683       119
* Liberty Media Corp.-Liberty Braves Class C     4,761       118
* Bed Bath & Beyond Inc.     6,317       107
* Shake Shack Inc. Class A     1,341       100
* Lions Gate Entertainment Corp. Class A     5,342        82
Qurate Retail Inc. Class A    13,976        77
Aaron's Co. Inc.     3,594        75
* SkyWest Inc.     1,729        49
* Liberty Media Corp.-Liberty Braves Class A     1,135        29
* Overstock.com Inc.        65         4
                  1,007,242
Consumer Staples (4.5%)
Procter & Gamble Co.   406,479    63,366
PepsiCo Inc.   233,422    38,221
CVS Health Corp.   222,997    23,114
Mondelez International Inc. Class A   236,060    15,457
Colgate-Palmolive Co.   141,188    10,864
Sysco Corp.    86,953     7,574
Kimberly-Clark Corp.    57,458     7,478
McKesson Corp.    25,854     7,109
General Mills Inc.   103,225     6,960
Corteva Inc.   123,705     6,436
Kroger Co.   125,496     5,873
Walgreens Boots Alliance Inc.   121,959     5,621
* Monster Beverage Corp.    63,457     5,356
Hershey Co.    24,526     4,961
Kraft Heinz Co.   117,887     4,624
Keurig Dr Pepper Inc.   119,381     4,616
Tyson Foods Inc. Class A    48,333     4,479
Church & Dwight Co. Inc.    42,068     4,116
McCormick & Co. Inc. (Non-Voting)    42,192     4,015
AmerisourceBergen Corp.    25,249     3,599
Clorox Co.    21,068     3,071
Kellogg Co.    42,816     2,738
Conagra Brands Inc.    78,220     2,735
Bunge Ltd.    23,291     2,435
J M Smucker Co.    17,883     2,410
Hormel Foods Corp.    48,497     2,310
* Darling Ingredients Inc.    28,453     2,062
Lamb Weston Holdings Inc.    24,561     1,632
Campbell Soup Co.    33,246     1,495
* US Foods Holding Corp.    38,161     1,492
 
7

Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
* Performance Food Group Co.    25,897     1,451
Casey's General Stores Inc.     6,424     1,208
* Post Holdings Inc.    10,443     1,098
Ingredion Inc.    11,606     1,030
Flowers Foods Inc.    32,989       904
Albertsons Cos. Inc. Class A    27,294       796
Spectrum Brands Holdings Inc.     7,469       693
* Nomad Foods Ltd.    25,823       650
* Simply Good Foods Co.    15,811       627
* Herbalife Nutrition Ltd.    17,329       617
Sanderson Farms Inc.     3,347       598
* Hain Celestial Group Inc.    15,955       580
Lancaster Colony Corp.     3,397       571
* Sprouts Farmers Market Inc.    19,191       547
WD-40 Co.     2,411       511
* Hostess Brands Inc. Class A    21,006       452
Medifast Inc.     2,265       421
J & J Snack Foods Corp.     2,306       378
* Grocery Outlet Holding Corp.    13,350       371
Coca-Cola Consolidated Inc.       732       364
Nu Skin Enterprises Inc. Class A     7,739       359
Energizer Holdings Inc.    10,404       347
* Freshpet Inc.     3,600       343
* TreeHouse Foods Inc.     8,254       324
Edgewell Personal Care Co.     8,451       302
B&G Foods Inc.     9,555       283
Cal-Maine Foods Inc.     6,279       278
Reynolds Consumer Products Inc.     8,900       265
*,1 Beyond Meat Inc.     4,495       210
* USANA Health Sciences Inc.     2,222       196
National Beverage Corp.     4,186       184
Calavo Growers Inc.     4,148       177
* Celsius Holdings Inc.     2,244       143
Weis Markets Inc.     2,128       131
Fresh Del Monte Produce Inc.     4,291       111
ACCO Brands Corp.    11,986       103
Tootsie Roll Industries Inc.     2,078        70
                    273,912
Energy (0.2%)
* Enphase Energy Inc.    22,985     3,832
* Plug Power Inc.   132,207     3,344
* SolarEdge Technologies Inc.     9,124     2,914
          Shares Market
Value

($000)
* First Solar Inc.    18,101     1,363
* Renewable Energy Group Inc.     7,536       463
*,1 Maxeon Solar Technologies Ltd.    40,000       434
Arcosa Inc.     7,400       390
* ChargePoint Holdings Inc.    14,127       205
* SunPower Corp.     5,865       105
                     13,050
Financials (11.3%)
JPMorgan Chase & Co.   496,926    70,464
Bank of America Corp. 1,219,719    53,912
S&P Global Inc.    58,535    21,992
Charles Schwab Corp.   255,487    21,578
Morgan Stanley   227,327    20,628
Citigroup Inc.   335,835    19,891
Goldman Sachs Group Inc.    55,471    18,932
BlackRock Inc.    24,249    18,039
Chubb Ltd.    72,695    14,804
CME Group Inc.    60,744    14,368
PNC Financial Services Group Inc.    71,703    14,287
Truist Financial Corp.   226,425    14,088
Marsh & McLennan Cos. Inc.    85,489    13,286
US Bancorp   226,656    12,815
Intercontinental Exchange Inc.    93,971    12,040
Aon plc Class A    36,943    10,793
Progressive Corp.    99,013    10,488
Moody's Corp.    27,437     8,836
American International Group Inc.   140,791     8,622
MetLife Inc.   120,814     8,161
Prudential Financial Inc.    64,096     7,157
Travelers Cos. Inc.    41,510     7,133
MSCI Inc.    13,636     6,841
Bank of New York Mellon Corp.   128,045     6,806
Aflac Inc.   110,676     6,761
Discover Financial Services    49,953     6,166
Allstate Corp.    48,149     5,891
* SVB Financial Group     9,550     5,787
Ameriprise Financial Inc.    18,973     5,688
KKR & Co. Inc.    94,370     5,674
Fifth Third Bancorp   114,834     5,494
T. Rowe Price Group Inc.    37,969     5,489
Arthur J Gallagher & Co.    34,509     5,459
State Street Corp.    61,630     5,259
First Republic Bank    29,893     5,179
Willis Towers Watson plc    20,991     4,666
Hartford Financial Services Group Inc.    57,600     4,002
Northern Trust Corp.    34,963     3,982
M&T Bank Corp.    21,675     3,950
Regions Financial Corp.   161,868     3,916
 
8

Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
KeyCorp   156,054     3,912
Huntington Bancshares Inc.   243,507     3,779
Citizens Financial Group Inc.    71,467     3,746
Signature Bank     9,894     3,412
Raymond James Financial Inc.    30,954     3,394
Nasdaq Inc.    19,773     3,384
Principal Financial Group Inc.    43,726     3,089
Cincinnati Financial Corp.    25,139     3,087
Ally Financial Inc.    58,778     2,933
* Markel Corp.     2,355     2,927
* Arch Capital Group Ltd.    61,756     2,909
Broadridge Financial Solutions Inc.    19,477     2,848
Brown & Brown Inc.    38,794     2,623
FactSet Research Systems Inc.     6,371     2,587
MarketAxess Holdings Inc.     6,580     2,510
LPL Financial Holdings Inc.    13,683     2,476
Fidelity National Financial Inc.    45,789     2,181
First Horizon Corp.    91,284     2,143
Cboe Global Markets Inc.    18,177     2,132
Comerica Inc.    22,191     2,119
East West Bancorp Inc.    23,918     2,094
Lincoln National Corp.    30,926     2,085
W R Berkley Corp.    22,811     2,060
Equitable Holdings Inc.    62,422     2,039
Ares Management Corp. Class A    24,066     1,951
Everest Re Group Ltd.     6,468     1,929
* XP Inc. Class A    59,545     1,926
Zions Bancorp NA    25,772     1,827
Webster Financial Corp.    30,263     1,822
Credicorp Ltd.    11,548     1,747
Globe Life Inc.    16,740     1,690
First Citizens BancShares Inc. Class A     2,050     1,616
Western Alliance Bancorp    17,055     1,599
Assurant Inc.     9,377     1,591
Annaly Capital Management Inc.   228,650     1,591
American Financial Group Inc.    11,433     1,548
People's United Financial Inc.    72,637     1,531
* Alleghany Corp.     2,312     1,530
Tradeweb Markets Inc. Class A    17,934     1,515
Franklin Resources Inc.    48,264     1,435
Cullen/Frost Bankers Inc.     9,520     1,340
Synovus Financial Corp.    25,360     1,335
Commerce Bancshares Inc.    18,563     1,332
          Shares Market
Value

($000)
Invesco Ltd.    62,075     1,318
Reinsurance Group of America Inc.    11,707     1,298
Stifel Financial Corp.    17,573     1,292
Pinnacle Financial Partners Inc.    12,655     1,279
Voya Financial Inc.    18,124     1,221
Old Republic International Corp.    45,413     1,197
Popular Inc.    13,008     1,195
First American Financial Corp.    17,765     1,191
Starwood Property Trust Inc.    49,869     1,189
RenaissanceRe Holdings Ltd.     7,685     1,159
AGNC Investment Corp.    87,730     1,133
Morningstar Inc.     3,992     1,120
Prosperity Bancshares Inc.    14,802     1,102
Unum Group    38,909     1,086
Glacier Bancorp Inc.    19,218     1,065
SouthState Corp.    11,826     1,064
SEI Investments Co.    18,055     1,058
First Financial Bankshares Inc.    21,976     1,053
Cadence Bank    33,246     1,051
* Silvergate Capital Corp. Class A     8,171     1,047
OneMain Holdings Inc.    19,405       989
SLM Corp.    50,102       987
Janus Henderson Group plc    29,333       985
Wintrust Financial Corp.     9,868       980
Affiliated Managers Group Inc.     7,063       977
PacWest Bancorp    19,749       976
Bank OZK    20,237       952
Hanover Insurance Group Inc.     6,686       933
Valley National Bancorp    66,734       932
Blackstone Mortgage Trust Inc. Class A    28,956       920
Selective Insurance Group Inc.    11,052       919
Old National Bancorp    49,834       911
Interactive Brokers Group Inc. Class A    13,697       906
New York Community Bancorp Inc.    78,490       906
United Bankshares Inc.    24,736       906
Primerica Inc.     6,865       892
Houlihan Lokey Inc. Class A     8,669       892
Hancock Whitney Corp.    15,914       886
* Trupanion Inc.     9,874       885
MGIC Investment Corp.    55,871       848
Evercore Inc. Class A     6,621       841
 
9

Table of Contents
ESG U.S. Stock ETF
          Shares Market
Value

($000)
Umpqua Holdings Corp.    39,043       834
Essent Group Ltd.    18,852       833
FNB Corp.    60,822       817
UMB Financial Corp.     7,797       794
Kinsale Capital Group Inc.     3,758       788
Axis Capital Holdings Ltd.    14,418       787
Radian Group Inc.    32,702       782
* Brighthouse Financial Inc.    14,791       773
ServisFirst Bancshares Inc.     8,790       768
BankUnited Inc.    17,071       755
RLI Corp.     7,347       746
Community Bank System Inc.    10,186       743
Assured Guaranty Ltd.    11,881       736
Walker & Dunlop Inc.     5,284       731
First Hawaiian Inc.    25,009       727
* Upstart Holdings Inc.     4,599       727
United Community Banks Inc.    18,756       725
Investors Bancorp Inc.    43,051       721
Independent Bank Corp. (Massachusetts)     8,221       707
Cathay General Bancorp    14,629       688
Associated Banc-Corp    28,215       688
Pacific Premier Bancorp Inc.    17,745       687
Eastern Bankshares Inc.    31,377       686
Home BancShares Inc.    29,099       681
Bank of Hawaii Corp.     7,901       681
Lazard Ltd. Class A    17,839       617
Ameris Bancorp    12,398       614
Simmons First National Corp. Class A    21,416       611
* Axos Financial Inc.    10,840       593
* Enstar Group Ltd.     2,072       591
Kemper Corp.    10,968       586
American Equity Investment Life Holding Co.    15,284       576
CNO Financial Group Inc.    23,806       575
WSFS Financial Corp.    11,228       571
* Texas Capital Bancshares Inc.     8,420       561
Federated Hermes Inc. Class B    16,992       555
Moelis & Co. Class A    11,230       541
Atlantic Union Bankshares Corp.    13,259       539
Chimera Investment Corp.    43,534       530
* Focus Financial Partners Inc. Class A    10,474       524
* Mr Cooper Group Inc.    10,300       524
Artisan Partners Asset Management Inc. Class A    13,136       501
Virtu Financial Inc. Class A    14,241       500
BOK Financial Corp.     4,858       499
          Shares Market
Value

($000)
Hamilton Lane Inc. Class A     6,319       493
Columbia Banking System Inc.    13,297       487
White Mountains Insurance Group Ltd.       450       473
Fulton Financial Corp.    25,644       462
CVB Financial Corp.    19,212       453
Independent Bank Group Inc.     5,824       449
Navient Corp.    25,360       447
FirstCash Holdings Inc.     6,139       442
Jackson Financial Inc. Class A    10,600       433
First Bancorp    30,321       428
Piper Sandler Cos.     2,778       411
* Cannae Holdings Inc.    14,634       393
Flagstar Bancorp Inc.     8,547       390
First Merchants Corp.     8,571       375
WesBanco Inc.    10,120       370
First Financial Bancorp    14,806       364
International Bancshares Corp.     8,253       355
Towne Bank    11,071       345
Banner Corp.     5,538       341
Washington Federal Inc.     9,526       339
Hope Bancorp Inc.    19,275       327
Live Oak Bancshares Inc.     5,100       326
*