Vanguard Small-Cap Index Fund |
Vanguard Small-Cap Growth Index Fund |
Vanguard Small-Cap Value Index Fund |
• | 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. |
• | 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. |
Six Months Ended June 30, 2021 | |||
Beginning Account Value 12/31/2020 |
Ending Account Value 6/30/2021 |
Expenses Paid During Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,163.30 | $0.91 |
ETF Shares | 1,000.00 | 1,163.90 | 0.27 |
AdmiralTM Shares | 1,000.00 | 1,163.90 | 0.27 |
Institutional Shares | 1,000.00 | 1,163.90 | 0.21 |
Institutional Plus Shares | 1,000.00 | 1,164.00 | 0.16 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,084.60 | $0.98 |
ETF Shares | 1,000.00 | 1,085.40 | 0.36 |
Admiral Shares | 1,000.00 | 1,085.20 | 0.36 |
Institutional Shares | 1,000.00 | 1,085.30 | 0.31 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,230.30 | $1.05 |
ETF Shares | 1,000.00 | 1,231.00 | 0.39 |
Admiral Shares | 1,000.00 | 1,231.20 | 0.39 |
Institutional Shares | 1,000.00 | 1,231.00 | 0.33 |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,024.65 | 0.15 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Basic Materials | 4.1% |
Consumer Discretionary | 15.9 |
Consumer Staples | 3.2 |
Energy | 4.3 |
Financials | 13.7 |
Health Care | 14.2 |
Industrials | 18.5 |
Other | 0.0 |
Real Estate | 8.8 |
Technology | 13.1 |
Telecommunications | 1.4 |
Utilities | 2.8 |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Common Stocks | ||||||
Basic Materials | ||||||
Steel Dynamics Inc. | 4,994,495 | 297,672 | 0.22% | |||
† | Basic Materials—Other*,1 | 5,297,469 | 3.85% | |||
5,595,141 | 4.07% | |||||
Consumer Discretionary | ||||||
Pool Corp. | 948,446 | 435,014 | 0.32% | |||
Tapestry Inc.* | 6,941,632 | 301,822 | 0.22% | |||
Williams-Sonoma Inc. | 1,874,202 | 299,216 | 0.22% | |||
RH* | 418,202 | 283,959 | 0.21% | |||
Chegg Inc.* | 3,356,058 | 278,922 | 0.20% | |||
Floor & Decor Holdings Inc. Class A* | 2,611,902 | 276,078 | 0.20% | |||
† | Consumer Discretionary—Other*,1 | 19,888,326 | 14.45% | |||
21,763,337 | 15.82% | |||||
Consumer Staples | ||||||
Darling Ingredients Inc.* | 4,062,191 | 274,198 | 0.20% | |||
† | Consumer Staples —Other*,1 | 4,035,802 | 2.93% | |||
4,310,000 | 3.13% | |||||
Energy | ||||||
Diamondback Energy Inc. | 4,505,533 | 423,024 | 0.31% | |||
Enphase Energy Inc.* | 1,520,262 | 279,166 | 0.20% | |||
† | Energy—Other*,1 | 5,154,396 | 3.75% | |||
5,856,586 | 4.26% | |||||
Financials | ||||||
Signature Bank | 1,433,846 | 352,224 | 0.26% | |||
Apollo Global Management Inc. | 5,205,052 | 323,754 | 0.24% | |||
Brown & Brown Inc. | 5,962,465 | 316,845 | 0.23% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Invesco Ltd. | 10,339,327 | 276,370 | 0.20% | |||
† | Financials—Other*,1,2 | 17,467,514 | 12.69% | |||
18,736,707 | 13.62% | |||||
Health Care | ||||||
Charles River Laboratories International Inc.* | 1,251,206 | 462,846 | 0.34% | |||
Avantor Inc.* | 12,317,881 | 437,408 | 0.32% | |||
Bio-Techne Corp. | 968,271 | 435,974 | 0.32% | |||
PerkinElmer Inc. | 2,790,564 | 430,891 | 0.31% | |||
Novavax Inc.*,1 | 1,844,526 | 391,611 | 0.28% | |||
Molina Healthcare Inc.* | 1,453,789 | 367,896 | 0.27% | |||
Masimo Corp.* | 1,232,476 | 298,814 | 0.22% | |||
Guardant Health Inc.* | 2,391,570 | 297,009 | 0.22% | |||
† | Health Care—Other*,1,2 | 16,342,718 | 11.87% | |||
19,465,167 | 14.15% | |||||
Industrials | ||||||
IDEX Corp. | 1,890,302 | 415,961 | 0.30% | |||
Bill.com Holdings Inc.* | 1,967,876 | 360,476 | 0.26% | |||
Fair Isaac Corp.* | 680,579 | 342,113 | 0.25% | |||
Howmet Aerospace Inc.* | 9,731,016 | 335,428 | 0.24% | |||
Graco Inc. | 4,217,330 | 319,252 | 0.23% | |||
Quanta Services Inc. | 3,468,793 | 314,169 | 0.23% | |||
Allegion plc | 2,239,598 | 311,976 | 0.23% | |||
Lennox International Inc.1 | 846,207 | 296,849 | 0.22% | |||
Toro Co. | 2,678,969 | 294,365 | 0.21% | |||
Trex Co. Inc.* | 2,871,745 | 293,521 | 0.21% | |||
Booz Allen Hamilton Holding Corp. Class A | 3,370,743 | 287,120 | 0.21% | |||
RPM International Inc. | 3,224,202 | 285,922 | 0.21% | |||
Nordson Corp. | 1,301,333 | 285,656 | 0.21% | |||
Axon Enterprise Inc.* | 1,610,008 | 284,649 | 0.21% | |||
Pentair plc | 4,136,647 | 279,182 | 0.20% | |||
† | Industrials—Other*,1,3 | 20,556,656 | 14.95% | |||
25,263,295 | 18.37% | |||||
†Other*,2,4 | 59 | 0.00% | ||||
Real Estate | ||||||
VICI Properties Inc. | 13,370,659 | 414,758 | 0.30% | |||
Equity LifeStyle Properties Inc. | 4,085,356 | 303,583 | 0.22% | |||
Medical Properties Trust Inc. | 14,645,826 | 294,381 | 0.21% | |||
† | Real Estate—Other*,1,2 | 10,989,136 | 8.00% | |||
12,001,858 | 8.73% | |||||
Technology | ||||||
Entegris Inc. | 3,372,994 | 414,777 | 0.30% | |||
Nuance Communications Inc.* | 7,123,106 | 387,782 | 0.28% | |||
PTC Inc.* | 2,618,508 | 369,890 | 0.27% | |||
Ceridian HCM Holding Inc.* | 3,344,195 | 320,775 | 0.23% | |||
Avalara Inc.* | 1,942,807 | 314,346 | 0.23% | |||
Five9 Inc.* | 1,669,222 | 306,119 | 0.22% | |||
Dynatrace Inc.* | 4,934,533 | 288,275 | 0.21% | |||
Cree Inc.* | 2,874,760 | 281,525 | 0.20% | |||
† | Technology—Other*,1,2 | 15,163,493 | 11.03% | |||
17,846,982 | 12.97% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
†Telecommunications*,1 | 1,928,303 | 1.40% | ||||
Utilities | ||||||
Atmos Energy Corp. | 3,254,453 | 312,785 | 0.23% | |||
Essential Utilities Inc. | 6,117,284 | 279,560 | 0.20% | |||
† | Utilities—Other* | 3,286,888 | 2.39% | |||
3,879,233 | 2.82% | |||||
Total Common Stocks (Cost $88,662,578) | 136,646,668 | 99.34% | ||||
Coupon | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
Vanguard Market Liquidity Fund5,6 (Cost $3,099,342) |
0.056% | 30,997,404 | 3,099,741 | 2.25% | ||
Total Investments (Cost $91,761,920) | 139,746,409 | 101.59% | ||||
Other Assets and Liabilities—Net | (2,193,233) | (1.59%) | ||||
Net Assets | 137,553,176 | 100.00% |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
* | Includes non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,236,521,000. |
2 | Certain securities are valued using significant unobservable inputs. |
3 | Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the aggregate value of these securities was $73,256,000, representing 0.1% of net assets. |
4 | “Other” represents securities that are not classified by the fund’s benchmark index. |
5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
6 | Collateral of $2,342,714,000 was received for securities on loan, of which $2,323,711,000 is held in Vanguard Market Liquidity Fund and $19,003,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 3,204 | 369,710 | (3,074) |
E-mini S&P Mid-Cap 400 Index | September 2021 | 1,829 | 492,440 | (9,071) |
(12,145) |
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) |
Alcoa Corp. | 8/31/21 | BOANA | 13,488 | (0.586) | — | (969) |
Avalara Inc. | 8/31/21 | BOANA | 11,895 | (0.086) | 2,665 | — |
Bandwidth Inc. Class A | 8/31/21 | BOANA | 16,561 | (0.536) | 2,742 | — |
National Fuel Gas Co. | 8/31/21 | BOANA | 4,670 | (0.486) | 72 | — |
New York Community Bancorp Inc. | 8/31/21 | BOANA | 2,394 | (0.436) | — | (191) |
Ollie's Bargain Outlet Holdings Inc. | 1/31/22 | GSI | 26,403 | (0.082) | — | (1,165) |
Penn National Gaming Inc. | 8/31/21 | BOANA | 32,788 | (0.536) | — | (2,206) |
Popular Inc. | 8/31/21 | BOANA | 11,425 | (0.486) | — | (866) |
United Therapeutics Corp. | 8/31/21 | BOANA | 22,308 | (0.086) | — | (779) |
5,479 | (6,176) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $88,662,578) | 136,646,668 |
Affiliated Issuers (Cost $3,099,342) | 3,099,741 |
Total Investments in Securities | 139,746,409 |
Investment in Vanguard | 4,698 |
Cash | 19,003 |
Cash Collateral Pledged—Futures Contracts | 45,519 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 1,200 |
Receivables for Investment Securities Sold | 571,301 |
Receivables for Accrued Income | 105,731 |
Receivables for Capital Shares Issued | 35,238 |
Variation Margin Receivable—Futures Contracts | 988 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 5,479 |
Total Assets | 140,535,566 |
Liabilities | |
Due to Custodian | 304,917 |
Payables for Investment Securities Purchased | 202,826 |
Collateral for Securities on Loan | 2,342,714 |
Payables for Capital Shares Redeemed | 123,091 |
Payables to Vanguard | 2,666 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 6,176 |
Total Liabilities | 2,982,390 |
Net Assets | 137,553,176 |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 90,234,123 |
Total Distributable Earnings (Loss) | 47,319,053 |
Net Assets | 137,553,176 |
Investor Shares—Net Assets | |
Applicable
to 6,976,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
752,875 |
Net Asset Value Per Share—Investor Shares | $107.92 |
ETF Shares—Net Assets | |
Applicable
to 209,093,163 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
47,099,455 |
Net Asset Value Per Share—ETF Shares | $225.26 |
Admiral Shares—Net Assets | |
Applicable
to 515,744,189 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
55,668,104 |
Net Asset Value Per Share—Admiral Shares | $107.94 |
Institutional Shares—Net Assets | |
Applicable
to 207,660,777 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
22,413,608 |
Net Asset Value Per Share—Institutional Shares | $107.93 |
Institutional Plus Shares—Net Assets | |
Applicable
to 37,296,198 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
11,619,134 |
Net Asset Value Per Share—Institutional Plus Shares | $311.54 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 632,102 |
Interest1 | 323 |
Securities Lending—Net | 23,011 |
Total Income | 655,436 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,895 |
Management and Administrative—Investor Shares | 607 |
Management and Administrative—ETF Shares | 8,429 |
Management and Administrative—Admiral Shares | 11,184 |
Management and Administrative—Institutional Shares | 3,508 |
Management and Administrative—Institutional Plus Shares | 1,384 |
Marketing and Distribution—Investor Shares | 18 |
Marketing and Distribution—ETF Shares | 778 |
Marketing and Distribution—Admiral Shares | 751 |
Marketing and Distribution—Institutional Shares | 248 |
Marketing and Distribution—Institutional Plus Shares | 70 |
Custodian Fees | 435 |
Shareholders’ Reports—Investor Shares | 2 |
Shareholders’ Reports—ETF Shares | 890 |
Shareholders’ Reports—Admiral Shares | 251 |
Shareholders’ Reports—Institutional Shares | 89 |
Shareholders’ Reports—Institutional Plus Shares | 29 |
Trustees’ Fees and Expenses | 18 |
Total Expenses | 30,586 |
Net Investment Income | 624,850 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 6,382,455 |
Futures Contracts | 132,320 |
Swap Contracts | (4,061) |
Realized Net Gain (Loss) | 6,510,714 |
Statement of Operations (continued) | |
Six
Months Ended June 30, 2021 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 11,793,333 |
Futures Contracts | (25,843) |
Swap Contracts | (8,104) |
Change in Unrealized Appreciation (Depreciation) | 11,759,386 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 18,894,950 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $323,000, $12,000, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $4,495,802,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 624,850 | 1,296,033 | |
Realized Net Gain (Loss) | 6,510,714 | 3,870,929 | |
Change in Unrealized Appreciation (Depreciation) | 11,759,386 | 13,074,363 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 18,894,950 | 18,241,325 | |
Distributions | |||
Investor Shares | (3,438) | (8,214) | |
ETF Shares | (229,993) | (413,915) | |
Admiral Shares | (275,127) | (548,152) | |
Institutional Shares | (111,439) | (223,749) | |
Institutional Plus Shares | (59,915) | (122,453) | |
Total Distributions | (679,912) | (1,316,483) | |
Capital Share Transactions | |||
Investor Shares | (65,706) | (147,445) | |
ETF Shares | 3,631,351 | 4,228,769 | |
Admiral Shares | 853,560 | (1,839,081) | |
Institutional Shares | 438,987 | (1,146,922) | |
Institutional Plus Shares | (163,044) | (141,850) | |
Net Increase (Decrease) from Capital Share Transactions | 4,695,148 | 953,471 | |
Total Increase (Decrease) | 22,910,186 | 17,878,313 | |
Net Assets | |||
Beginning of Period | 114,642,990 | 96,764,677 | |
End of Period | 137,553,176 | 114,642,990 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $93.20 | $79.35 | $63.21 | $70.76 | $61.75 | $53.03 |
Investment Operations | ||||||
Net Investment Income | .4391 | .9281 | .8321 | .9671 | .8761 | .843 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.754 | 13.897 | 16.319 | (7.552) | 9.011 | 8.734 |
Total from Investment Operations | 15.193 | 14.825 | 17.151 | (6.585) | 9.887 | 9.577 |
Distributions | ||||||
Dividends from Net Investment Income | (.473) | (.975) | (1.011) | (.965) | (.877) | (.857) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.473) | (.975) | (1.011) | (.965) | (.877) | (.857) |
Net Asset Value, End of Period | $107.92 | $93.20 | $79.35 | $63.21 | $70.76 | $61.75 |
Total Return2 | 16.33% | 18.96% | 27.22% | -9.43% | 16.10% | 18.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $753 | $709 | $754 | $3,332 | $4,345 | $4,401 |
Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% |
Ratio of Net Investment Income to Average Net Assets | 0.88% | 1.26% | 1.14% | 1.34% | 1.36% | 1.55% |
Portfolio Turnover Rate3 | 9% | 22% | 16% | 15% | 15% | 14% |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $194.54 | $165.64 | $131.94 | $147.71 | $128.90 | $110.71 |
Investment Operations | ||||||
Net Investment Income | 1.0261 | 2.2621 | 2.2981 | 2.2391 | 2.0371 | 1.899 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.813 | 28.863 | 33.707 | (15.808) | 18.768 | 18.221 |
Total from Investment Operations | 31.839 | 31.125 | 36.005 | (13.569) | 20.805 | 20.120 |
Distributions | ||||||
Dividends from Net Investment Income | (1.119) | (2.225) | (2.305) | (2.201) | (1.995) | (1.930) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.119) | (2.225) | (2.305) | (2.201) | (1.995) | (1.930) |
Net Asset Value, End of Period | $225.26 | $194.54 | $165.64 | $131.94 | $147.71 | $128.90 |
Total Return | 16.39% | 19.08% | 27.37% | -9.30% | 16.24% | 18.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $47,099 | $37,492 | $27,442 | $20,914 | $21,605 | $16,153 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.98% | 1.47% | 1.49% | 1.46% | 1.48% | 1.67% |
Portfolio Turnover Rate2 | 9% | 22% | 16% | 15% | 15% | 14% |
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 June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $93.22 | $79.37 | $63.23 | $70.78 | $61.77 | $53.05 |
Investment Operations | ||||||
Net Investment Income | .4961 | 1.0291 | 1.1081 | 1.0671 | .9701 | .910 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.760 | 13.887 | 16.136 | (7.563) | 8.997 | 8.733 |
Total from Investment Operations | 15.256 | 14.916 | 17.244 | (6.496) | 9.967 | 9.643 |
Distributions | ||||||
Dividends from Net Investment Income | (.536) | (1.066) | (1.104) | (1.054) | (.957) | (.923) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.536) | (1.066) | (1.104) | (1.054) | (.957) | (.923) |
Net Asset Value, End of Period | $107.94 | $93.22 | $79.37 | $63.23 | $70.78 | $61.77 |
Total Return2 | 16.39% | 19.11% | 27.37% | -9.31% | 16.24% | 18.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $55,668 | $47,313 | $42,386 | $31,382 | $33,801 | $27,778 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.99% | 1.40% | 1.50% | 1.46% | 1.48% | 1.67% |
Portfolio Turnover Rate3 | 9% | 22% | 16% | 15% | 15% | 14% |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $93.22 | $79.37 | $63.22 | $70.78 | $61.77 | $53.05 |
Investment Operations | ||||||
Net Investment Income | .5011 | 1.0341 | 1.1011 | 1.0761 | .9751 | .915 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.750 | 13.889 | 16.161 | (7.575) | 8.998 | 8.734 |
Total from Investment Operations | 15.251 | 14.923 | 17.262 | (6.499) | 9.973 | 9.649 |
Distributions | ||||||
Dividends from Net Investment Income | (.541) | (1.073) | (1.112) | (1.061) | (.963) | (.929) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.541) | (1.073) | (1.112) | (1.061) | (.963) | (.929) |
Net Asset Value, End of Period | $107.93 | $93.22 | $79.37 | $63.22 | $70.78 | $61.77 |
Total Return | 16.39% | 19.12% | 27.40% | -9.32% | 16.25% | 18.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $22,414 | $18,957 | $17,337 | $14,454 | $15,352 | $13,030 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.00% | 1.41% | 1.49% | 1.47% | 1.49% | 1.68% |
Portfolio Turnover Rate2 | 9% | 22% | 16% | 15% | 15% | 14% |
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. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $269.07 | $229.09 | $182.49 | $204.30 | $178.28 | $153.11 |
Investment Operations | ||||||
Net Investment Income | 1.4651 | 2.9881 | 3.1861 | 3.1021 | 2.8351 | 2.660 |
Net Realized and Unrealized Gain (Loss) on Investments | 42.581 | 40.111 | 46.645 | (21.825) | 25.980 | 25.213 |
Total from Investment Operations | 44.046 | 43.099 | 49.831 | (18.723) | 28.815 | 27.873 |
Distributions | ||||||
Dividends from Net Investment Income | (1.576) | (3.119) | (3.231) | (3.087) | (2.795) | (2.703) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.576) | (3.119) | (3.231) | (3.087) | (2.795) | (2.703) |
Net Asset Value, End of Period | $311.54 | $269.07 | $229.09 | $182.49 | $204.30 | $178.28 |
Total Return | 16.40% | 19.13% | 27.40% | -9.30% | 16.27% | 18.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,619 | $10,172 | $8,846 | $7,866 | $9,531 | $8,080 |
Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.01% | 1.41% | 1.49% | 1.48% | 1.50% | 1.69% |
Portfolio Turnover Rate2 | 9% | 22% | 16% | 15% | 15% | 14% |
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. |
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. |
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. |
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 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 136,644,793 | — | 1,875 | 136,646,668 |
Temporary Cash Investments | 3,099,741 | — | — | 3,099,741 |
Total | 139,744,534 | — | 1,875 | 139,746,409 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 5,479 | — | 5,479 |
Liabilities | ||||
Futures Contracts1 | 12,145 | — | — | 12,145 |
Swap Contracts | — | 6,176 | — | 6,176 |
Total | 12,145 | 6,176 | — | 18,321 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, 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 | 92,055,550 |
Gross Unrealized Appreciation | 52,659,228 |
Gross Unrealized Depreciation | (4,981,211) |
Net Unrealized Appreciation (Depreciation) | 47,678,017 |
E. | During the six months ended June 30, 2021, the fund purchased $22,519,646,000 of investment securities and sold $17,791,269,000 of investment securities, other than temporary cash investments. Purchases and sales include $8,749,645,000 and $6,121,147,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 57,522 | 561 | 52,197 | 745 | |
Issued in Lieu of Cash Distributions | 3,438 | 33 | 8,214 | 109 | |
Redeemed | (126,666) | (1,221) | (207,856) | (2,748) | |
Net Increase (Decrease)—Investor Shares | (65,706) | (627) | (147,445) | (1,894) | |
ETF Shares | |||||
Issued | 9,393,196 | 42,746 | 16,291,928 | 103,198 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (5,761,845) | (26,375) | (12,063,159) | (76,150) | |
Net Increase (Decrease)—ETF Shares | 3,631,351 | 16,371 | 4,228,769 | 27,048 | |
Admiral Shares | |||||
Issued | 5,333,361 | 51,813 | 7,197,182 | 101,668 | |
Issued in Lieu of Cash Distributions | 245,642 | 2,388 | 488,424 | 6,445 | |
Redeemed | (4,725,443) | (45,975) | (9,524,687) | (134,614) | |
Net Increase (Decrease)—Admiral Shares | 853,560 | 8,226 | (1,839,081) | (26,501) | |
Institutional Shares | |||||
Issued | 2,949,087 | 28,561 | 3,037,642 | 42,453 | |
Issued in Lieu of Cash Distributions | 105,507 | 1,026 | 210,983 | 2,787 | |
Redeemed | (2,615,607) | (25,286) | (4,395,547) | (60,308) | |
Net Increase (Decrease)—Institutional Shares | 438,987 | 4,301 | (1,146,922) | (15,068) | |
Institutional Plus Shares | |||||
Issued | 1,313,683 | 4,419 | 1,822,548 | 8,480 | |
Issued in Lieu of Cash Distributions | 59,915 | 202 | 122,453 | 562 | |
Redeemed | (1,536,642) | (5,131) | (2,086,851) | (9,851) | |
Net Increase (Decrease)—Institutional Plus Shares | (163,044) | (510) | (141,850) | (809) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 1.7% |
Consumer Discretionary | 15.4 |
Consumer Staples | 2.9 |
Energy | 2.9 |
Financials | 4.0 |
Health Care | 23.8 |
Industrials | 16.7 |
Other | 0.0 |
Real Estate | 7.8 |
Technology | 21.7 |
Telecommunications | 1.7 |
Utilities | 1.4 |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Common Stocks | ||||||
†Basic Materials*,1 | 656,566 | 1.74% | ||||
Consumer Discretionary | ||||||
Pool Corp. | 599,882 | 275,142 | 0.73% | |||
RH* | 264,607 | 179,668 | 0.47% | |||
Chegg Inc.* | 2,124,412 | 176,560 | 0.47% | |||
Floor & Decor Holdings Inc. Class A* | 1,653,039 | 174,726 | 0.46% | |||
Zynga Inc. Class A* | 16,290,143 | 173,164 | 0.46% | |||
Five Below Inc.* | 882,092 | 170,482 | 0.45% | |||
Liberty Media Corp.-Liberty Formula One Class C* | 3,044,636 | 146,782 | 0.39% | |||
Liberty Media Corp.-Liberty Formula One Class A* | 386,186 | 16,463 | 0.04% | |||
† | Consumer Discretionary—Other*,1 | 4,505,849 | 11.91% | |||
5,818,836 | 15.38% | |||||
Consumer Staples | ||||||
Boston Beer Co. Inc. Class A* | 143,357 | 146,339 | 0.39% | |||
† | Consumer Staples —Other*,1 | 947,556 | 2.50% | |||
1,093,895 | 2.89% | |||||
Energy | ||||||
Enphase Energy Inc.* | 962,184 | 176,686 | 0.47% | |||
Texas Pacific Land Corp. | 97,753 | 156,379 | 0.41% | |||
† | Energy—Other*,1 | 747,846 | 1.98% | |||
1,080,911 | 2.86% | |||||
†Financials*,1 | 1,495,905 | 3.95% | ||||
Health Care | ||||||
Charles River Laboratories International Inc.* | 791,143 | 292,660 | 0.77% | |||
Avantor Inc.* | 7,792,662 | 276,717 | 0.73% | |||
Bio-Techne Corp. | 612,606 | 275,832 | 0.73% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
PerkinElmer Inc. | 1,765,488 | 272,609 | 0.72% | |||
Masimo Corp.* | 779,330 | 188,949 | 0.50% | |||
Guardant Health Inc.* | 1,513,816 | 188,001 | 0.50% | |||
Intellia Therapeutics Inc.* | 1,025,109 | 165,975 | 0.44% | |||
Repligen Corp.* | 821,936 | 164,075 | 0.43% | |||
Penumbra Inc.* | 546,133 | 149,673 | 0.40% | |||
Syneos Health Inc.* | 1,635,018 | 146,318 | 0.39% | |||
† | Health Care—Other*,1,2 | 6,828,054 | 18.05% | |||
8,948,863 | 23.66% | |||||
Industrials | ||||||
Fair Isaac Corp.* | 430,271 | 216,289 | 0.57% | |||
Bill.com Holdings Inc.* | 1,145,450 | 209,824 | 0.56% | |||
Graco Inc. | 2,666,950 | 201,888 | 0.53% | |||
Lennox International Inc. | 535,192 | 187,745 | 0.50% | |||
Toro Co. | 1,694,124 | 186,150 | 0.49% | |||
Trex Co. Inc.* | 1,817,195 | 185,736 | 0.49% | |||
Nordson Corp. | 822,942 | 180,644 | 0.48% | |||
Axon Enterprise Inc.* | 1,019,291 | 180,211 | 0.48% | |||
MKS Instruments Inc. | 872,332 | 155,231 | 0.41% | |||
A O Smith Corp. | 2,118,181 | 152,636 | 0.40% | |||
Watsco Inc. | 518,243 | 148,549 | 0.39% | |||
† | Industrials—Other*,1 | 4,272,429 | 11.29% | |||
6,277,332 | 16.59% | |||||
†Other*,2,3 | 30 | 0.00% | ||||
Real Estate | ||||||
Equity LifeStyle Properties Inc. | 2,582,815 | 191,929 | 0.51% | |||
American Homes 4 Rent Class A | 4,343,805 | 168,757 | 0.45% | |||
Americold Realty Trust | 3,976,199 | 150,499 | 0.40% | |||
CubeSmart | 3,173,041 | 146,975 | 0.39% | |||
† | Real Estate—Other* | 2,294,667 | 6.06% | |||
2,952,827 | 7.81% | |||||
Technology | ||||||
Entegris Inc. | 2,134,071 | 262,427 | 0.69% | |||
PTC Inc.* | 1,655,485 | 233,854 | 0.62% | |||
Avalara Inc.* | 1,286,677 | 208,184 | 0.55% | |||
Ceridian HCM Holding Inc.* | 2,115,543 | 202,923 | 0.54% | |||
Five9 Inc.* | 1,056,065 | 193,672 | 0.51% | |||
Dynatrace Inc.* | 3,121,338 | 182,349 | 0.48% | |||
Cree Inc.* | 1,819,566 | 178,190 | 0.47% | |||
MongoDB Inc. Class A* | 464,794 | 168,032 | 0.44% | |||
Proofpoint Inc.* | 902,792 | 156,869 | 0.41% | |||
Guidewire Software Inc.* | 1,318,485 | 148,620 | 0.39% | |||
Universal Display Corp. | 668,241 | 148,570 | 0.39% | |||
Aspen Technology Inc.* | 1,070,916 | 147,294 | 0.39% | |||
Manhattan Associates Inc.* | 1,001,712 | 145,088 | 0.38% | |||
† | Technology—Other*,1,2 | 5,812,395 | 15.38% | |||
8,188,467 | 21.64% | |||||
Telecommunications | ||||||
Cable One Inc. | 85,544 | 163,629 | 0.43% | |||
† | Telecommunications—Other*,1 | 493,545 | 1.31% | |||
657,174 | 1.74% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Utilities | ||||||
Sunrun Inc.* | 3,053,667 | 170,334 | 0.45% | |||
† | Utilities—Other* | 340,715 | 0.90% | |||
511,049 | 1.35% | |||||
Total Common Stocks (Cost $25,020,640) | 37,681,855 | 99.61% | ||||
Coupon | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
Vanguard Market Liquidity Fund4,5 (Cost $902,938) |
0.056% | 9,030,335 | 903,033 | 2.39% | ||
Total Investments (Cost $25,923,578) | 38,584,888 | 102.00% | ||||
Other Assets and Liabilities—Net | (754,819) | (2.00%) | ||||
Net Assets | 37,830,069 | 100.00% |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
* | Includes non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $733,508,000. |
2 | Certain securities are valued using significant unobservable inputs. |
3 | “Other” represents securities that are not classified by the fund’s benchmark index. |
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 $766,093,000 was received for securities on loan, of which $760,150,000 is held in Vanguard Market Liquidity Fund and $5,943,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 399 | 46,041 | 388 |
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) |
Bandwidth Inc. Class A | 8/31/21 | BOANA | 5,915 | (0.536) | 979 | — |
Beyond Meat Inc. | 8/31/21 | BOANA | 34,901 | (0.086) | 2,896 | — |
Bill.com Holdings Inc. | 8/31/21 | BOANA | 14,892 | (0.086) | 3,424 | — |
Invitae Corp. | 8/31/21 | BOANA | 10,361 | (0.086) | 1,782 | — |
Novocure Ltd. | 8/31/21 | BOANA | 36,720 | (0.086) | 3,204 | — |
12,285 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $25,020,640) | 37,681,855 |
Affiliated Issuers (Cost $902,938) | 903,033 |
Total Investments in Securities | 38,584,888 |
Investment in Vanguard | 1,256 |
Cash | 5,943 |
Cash Collateral Pledged—Futures Contracts | 2,600 |
Receivables for Investment Securities Sold | 187,198 |
Receivables for Accrued Income | 17,927 |
Receivables for Capital Shares Issued | 13,854 |
Variation Margin Receivable—Futures Contracts | 64 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 12,285 |
Total Assets | 38,826,015 |
Liabilities | |
Due to Custodian | 95,170 |
Payables for Investment Securities Purchased | 107,876 |
Collateral for Securities on Loan | 766,093 |
Payables for Capital Shares Redeemed | 25,738 |
Payables to Vanguard | 1,069 |
Total Liabilities | 995,946 |
Net Assets | 37,830,069 |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 25,007,909 |
Total Distributable Earnings (Loss) | 12,822,160 |
Net Assets | 37,830,069 |
Investor Shares—Net Assets | |
Applicable
to 2,207,276 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
179,830 |
Net Asset Value Per Share—Investor Shares | $81.47 |
ETF Shares—Net Assets | |
Applicable
to 55,535,866 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
16,087,098 |
Net Asset Value Per Share—ETF Shares | $289.67 |
Admiral Shares—Net Assets | |
Applicable
to 172,595,616 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
17,578,335 |
Net Asset Value Per Share—Admiral Shares | $101.85 |
Institutional Shares—Net Assets | |
Applicable
to 48,855,094 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
3,984,806 |
Net Asset Value Per Share—Institutional Shares | $81.56 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 62,937 |
Interest1 | 37 |
Securities Lending—Net | 6,508 |
Total Income | 69,482 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,276 |
Management and Administrative—Investor Shares | 175 |
Management and Administrative—ETF Shares | 4,116 |
Management and Administrative—Admiral Shares | 4,963 |
Management and Administrative—Institutional Shares | 921 |
Marketing and Distribution—Investor Shares | 6 |
Marketing and Distribution—ETF Shares | 281 |
Marketing and Distribution—Admiral Shares | 247 |
Marketing and Distribution—Institutional Shares | 48 |
Custodian Fees | 118 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 391 |
Shareholders’ Reports—Admiral Shares | 82 |
Shareholders’ Reports—Institutional Shares | 33 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 12,663 |
Net Investment Income | 56,819 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 2,603,062 |
Futures Contracts | 3,247 |
Swap Contracts | (2,664) |
Realized Net Gain (Loss) | 2,603,645 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 189,084 |
Futures Contracts | (188) |
Swap Contracts | 12,801 |
Change in Unrealized Appreciation (Depreciation) | 201,697 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,862,161 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $37,000, less than $1,000, and $0, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,878,936,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 56,819 | 144,245 | |
Realized Net Gain (Loss) | 2,603,645 | 2,982,774 | |
Change in Unrealized Appreciation (Depreciation) | 201,697 | 5,875,892 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,862,161 | 9,002,911 | |
Distributions | |||
Investor Shares | (212) | (736) | |
ETF Shares | (27,380) | (61,658) | |
Admiral Shares | (30,171) | (72,055) | |
Institutional Shares | (6,987) | (17,057) | |
Total Distributions | (64,750) | (151,506) | |
Capital Share Transactions | |||
Investor Shares | (44,728) | (12,462) | |
ETF Shares | 507,692 | 850,058 | |
Admiral Shares | 94,790 | (644,807) | |
Institutional Shares | 4,393 | (513,761) | |
Net Increase (Decrease) from Capital Share Transactions | 562,147 | (320,972) | |
Total Increase (Decrease) | 3,359,558 | 8,530,433 | |
Net Assets | |||
Beginning of Period | 34,470,511 | 25,940,078 | |
End of Period | 37,830,069 | 34,470,511 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $75.20 | $55.89 | $42.36 | $45.24 | $37.43 | $34.18 |
Investment Operations | ||||||
Net Investment Income | .0791 | .2411 | .1781 | .2741 | .3151 | .355 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.280 | 19.331 | 13.617 | (2.879) | 7.814 | 3.257 |
Total from Investment Operations | 6.359 | 19.572 | 13.795 | (2.605) | 8.129 | 3.612 |
Distributions | ||||||
Dividends from Net Investment Income | (.089) | (.262) | (.265) | (.275) | (.319) | (.362) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.089) | (.262) | (.265) | (.275) | (.319) | (.362) |
Net Asset Value, End of Period | $81.47 | $75.20 | $55.89 | $42.36 | $45.24 | $37.43 |
Total Return2 | 8.46% | 35.12% | 32.60% | -5.80% | 21.78% | 10.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $180 | $209 | $171 | $1,461 | $1,816 | $1,850 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 0.21% | 0.42% | 0.35% | 0.58% | 0.78% | 1.03% |
Portfolio Turnover Rate3 | 16% | 24% | 18% | 22% | 19% | 27% |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $267.36 | $198.68 | $150.57 | $160.81 | $133.07 | $121.53 |
Investment Operations | ||||||
Net Investment Income | .4341 | 1.1291 | 1.1751 | 1.2141 | 1.3201 | 1.416 |
Net Realized and Unrealized Gain (Loss) on Investments | 22.371 | 68.729 | 48.077 | (10.263) | 27.731 | 11.563 |
Total from Investment Operations | 22.805 | 69.858 | 49.252 | (9.049) | 29.051 | 12.979 |
Distributions | ||||||
Dividends from Net Investment Income | (.495) | (1.178) | (1.142) | (1.191) | (1.311) | (1.439) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.495) | (1.178) | (1.142) | (1.191) | (1.311) | (1.439) |
Net Asset Value, End of Period | $289.67 | $267.36 | $198.68 | $150.57 | $160.81 | $133.07 |
Total Return | 8.54% | 35.29% | 32.75% | -5.68% | 21.90% | 10.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,087 | $14,436 | $9,833 | $7,286 | $6,981 | $5,328 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.32% | 0.55% | 0.64% | 0.70% | 0.90% | 1.15% |
Portfolio Turnover Rate2 | 16% | 24% | 18% | 22% | 19% | 27% |
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 June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $94.02 | $69.87 | $52.95 | $56.55 | $46.79 | $42.73 |
Investment Operations | ||||||
Net Investment Income | .1531 | .3921 | .4191 | .4231 | .4651 | .496 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.851 | 24.172 | 16.902 | (3.605) | 9.755 | 4.069 |
Total from Investment Operations | 8.004 | 24.564 | 17.321 | (3.182) | 10.220 | 4.565 |
Distributions | ||||||
Dividends from Net Investment Income | (.174) | (.414) | (.401) | (.418) | (.460) | (.505) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.174) | (.414) | (.401) | (.418) | (.460) | (.505) |
Net Asset Value, End of Period | $101.85 | $94.02 | $69.87 | $52.95 | $56.55 | $46.79 |
Total Return2 | 8.52% | 35.30% | 32.76% | -5.68% | 21.92% | 10.73% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,578 | $16,149 | $12,717 | $8,560 | $8,729 | $6,648 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.32% | 0.54% | 0.65% | 0.70% | 0.90% | 1.15% |
Portfolio Turnover Rate3 | 16% | 24% | 18% | 22% | 19% | 27% |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $75.29 | $55.95 | $42.40 | $45.29 | $37.47 | $34.22 |
Investment Operations | ||||||
Net Investment Income | .1261 | .3191 | .3271 | .3351 | .3751 | .401 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.287 | 19.358 | 13.550 | (2.886) | 7.818 | 3.257 |
Total from Investment Operations | 6.413 | 19.677 | 13.877 | (2.551) | 8.193 | 3.658 |
Distributions | ||||||
Dividends from Net Investment Income | (.143) | (.337) | (.327) | (.339) | (.373) | (.408) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.143) | (.337) | (.327) | (.339) | (.373) | (.408) |
Net Asset Value, End of Period | $81.56 | $75.29 | $55.95 | $42.40 | $45.29 | $37.47 |
Total Return | 8.53% | 35.31% | 32.77% | -5.69% | 21.94% | 10.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,985 | $3,676 | $3,218 | $2,858 | $3,690 | $2,969 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.33% | 0.55% | 0.64% | 0.71% | 0.91% | 1.16% |
Portfolio Turnover Rate2 | 16% | 24% | 18% | 22% | 19% | 27% |
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. |
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. |
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. |
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 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 37,680,844 | — | 1,011 | 37,681,855 |
Temporary Cash Investments | 903,033 | — | — | 903,033 |
Total | 38,583,877 | — | 1,011 | 38,584,888 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 388 | — | — | 388 |
Swap Contracts | — | 12,285 | — | 12,285 |
Total | 388 | 12,285 | — | 12,673 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, 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 | 25,961,786 |
Gross Unrealized Appreciation | 13,924,562 |
Gross Unrealized Depreciation | (1,288,787) |
Net Unrealized Appreciation (Depreciation) | 12,635,775 |
E. | During the six months ended June 30, 2021, the fund purchased $9,302,354,000 of investment securities and sold $8,805,322,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,282,671,000 and $3,138,458,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 18,980 | 236 | 34,870 | 559 | |
Issued in Lieu of Cash Distributions | 212 | 3 | 736 | 12 | |
Redeemed | (63,920) | (811) | (48,068) | (856) | |
Net Increase (Decrease)—Investor Shares | (44,728) | (572) | (12,462) | (285) | |
ETF Shares | |||||
Issued | 3,709,864 | 13,041 | 6,364,154 | 29,978 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (3,202,172) | (11,500) | (5,514,096) | (25,475) | |
Net Increase (Decrease)—ETF Shares | 507,692 | 1,541 | 850,058 | 4,503 | |
Admiral Shares | |||||
Issued | 1,920,815 | 19,358 | 2,496,750 | 35,213 | |
Issued in Lieu of Cash Distributions | 27,089 | 277 | 65,017 | 860 | |
Redeemed | (1,853,114) | (18,813) | (3,206,574) | (46,325) | |
Net Increase (Decrease)—Admiral Shares | 94,790 | 822 | (644,807) | (10,252) | |
Institutional Shares | |||||
Issued | 440,924 | 5,565 | 658,957 | 11,461 | |
Issued in Lieu of Cash Distributions | 6,511 | 83 | 15,526 | 256 | |
Redeemed | (443,042) | (5,618) | (1,188,244) | (20,410) | |
Net Increase (Decrease)—Institutional Shares | 4,393 | 30 | (513,761) | (8,693) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.9% |
Consumer Discretionary | 16.4 |
Consumer Staples | 3.3 |
Energy | 5.4 |
Financials | 21.3 |
Health Care | 6.7 |
Industrials | 19.9 |
Real Estate | 9.5 |
Technology | 6.4 |
Telecommunications | 1.2 |
Utilities | 4.0 |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Common Stocks | ||||||
Basic Materials | ||||||
Steel Dynamics Inc. | 3,110,808 | 185,404 | 0.39% | |||
Mosaic Co. | 5,301,033 | 169,156 | 0.35% | |||
Cleveland-Cliffs Inc.*,1 | 6,972,292 | 150,323 | 0.31% | |||
Reliance Steel & Aluminum Co. | 987,557 | 149,022 | 0.31% | |||
† | Basic Materials—Other*,1 | 2,186,171 | 4.55% | |||
2,840,076 | 5.91% | |||||
Consumer Discretionary | ||||||
Tapestry Inc.* | 4,324,343 | 188,022 | 0.39% | |||
Williams-Sonoma Inc. | 1,167,535 | 186,397 | 0.39% | |||
Norwegian Cruise Line Holdings Ltd.* | 5,738,289 | 168,763 | 0.35% | |||
Newell Brands Inc. | 5,933,409 | 162,991 | 0.34% | |||
Lithia Motors Inc. Class A | 461,561 | 158,611 | 0.33% | |||
Gap Inc. | 4,361,772 | 146,774 | 0.31% | |||
† | Consumer Discretionary—Other*,1 | 6,853,481 | 14.26% | |||
7,865,039 | 16.37% | |||||
Consumer Staples | ||||||
Bunge Ltd. | 2,083,835 | 162,852 | 0.34% | |||
† | Consumer Staples —Other*,1 | 1,407,310 | 2.93% | |||
1,570,162 | 3.27% | |||||
Energy | ||||||
Diamondback Energy Inc. | 2,807,266 | 263,574 | 0.55% | |||
Marathon Oil Corp. | 12,225,426 | 166,510 | 0.35% | |||
Targa Resources Corp. | 3,545,959 | 157,618 | 0.33% | |||
Devon Energy Corp. | 5,249,223 | 153,225 | 0.32% | |||
† | Energy—Other*,1 | 1,843,137 | 3.83% | |||
2,584,064 | 5.38% | |||||
Financials | ||||||
Signature Bank | 893,190 | 219,412 | 0.46% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Apollo Global Management Inc. | 3,242,269 | 201,669 | 0.42% | |||
Brown & Brown Inc. | 3,713,746 | 197,348 | 0.41% | |||
Invesco Ltd. | 6,439,298 | 172,122 | 0.36% | |||
LPL Financial Holdings Inc. | 1,177,642 | 158,958 | 0.33% | |||
East West Bancorp Inc. | 2,199,461 | 157,679 | 0.33% | |||
Comerica Inc. | 2,164,893 | 154,443 | 0.32% | |||
Ares Management Corp. Class A | 2,391,112 | 152,051 | 0.32% | |||
First Horizon Corp. | 8,565,801 | 148,017 | 0.31% | |||
Assurant Inc. | 939,390 | 146,714 | 0.31% | |||
† | Financials—Other*,1,2 | 8,489,540 | 17.66% | |||
10,197,953 | 21.23% | |||||
Health Care | ||||||
Molina Healthcare Inc.* | 905,392 | 229,118 | 0.48% | |||
Novavax Inc.* | 999,024 | 212,103 | 0.44% | |||
Jazz Pharmaceuticals plc* | 894,247 | 158,854 | 0.33% | |||
† | Health Care—Other*,1,2 | 2,628,086 | 5.47% | |||
3,228,161 | 6.72% | |||||
Industrials | ||||||
IDEX Corp. | 1,177,247 | 259,053 | 0.54% | |||
Howmet Aerospace Inc.* | 6,061,554 | 208,942 | 0.43% | |||
Quanta Services Inc. | 2,161,168 | 195,737 | 0.41% | |||
Allegion plc | 1,394,709 | 194,283 | 0.40% | |||
Booz Allen Hamilton Holding Corp. Class A | 2,100,021 | 178,880 | 0.37% | |||
RPM International Inc. | 2,007,995 | 178,069 | 0.37% | |||
Pentair plc | 2,577,056 | 173,926 | 0.36% | |||
Owens Corning | 1,619,675 | 158,566 | 0.33% | |||
Carlisle Cos. Inc. | 809,242 | 154,873 | 0.32% | |||
Robert Half International Inc. | 1,661,586 | 147,831 | 0.31% | |||
AECOM* | 2,270,040 | 143,739 | 0.30% | |||
AptarGroup Inc. | 1,018,822 | 143,491 | 0.30% | |||
Sensata Technologies Holding plc* | 2,452,643 | 142,180 | 0.30% | |||
† | Industrials—Other*,1,3 | 7,238,434 | 15.07% | |||
9,518,004 | 19.81% | |||||
Real Estate | ||||||
VICI Properties Inc. | 8,327,310 | 258,313 | 0.54% | |||
Medical Properties Trust Inc. | 9,120,146 | 183,315 | 0.38% | |||
Gaming & Leisure Properties Inc. | 3,428,951 | 158,863 | 0.33% | |||
Jones Lang LaSalle Inc.* | 795,768 | 155,541 | 0.32% | |||
† | Real Estate—Other*,1,2 | 3,813,436 | 7.94% | |||
4,569,468 | 9.51% | |||||
Technology | ||||||
Nuance Communications Inc.* | 4,437,205 | 241,561 | 0.50% | |||
DXC Technology Co.* | 3,948,718 | 153,763 | 0.32% | |||
† | Technology—Other*,1 | 2,676,692 | 5.57% | |||
3,072,016 | 6.39% | |||||
†Telecommunications*,1 | 554,099 | 1.15% | ||||
Utilities | ||||||
Atmos Energy Corp. | 2,026,326 | 194,750 | 0.41% | |||
Essential Utilities Inc. | 3,809,864 | 174,111 | 0.36% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
UGI Corp. | 3,235,261 | 149,825 | 0.31% | |||
† | Utilities—Other* | 1,394,741 | 2.90% | |||
1,913,427 | 3.98% | |||||
Total Common Stocks (Cost $33,246,557) | 47,912,469 | 99.72% | ||||
Coupon | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
Vanguard Market Liquidity Fund4,5 (Cost $462,038) |
0.056% | 4,620,875 | 462,087 | 0.96% | ||
Total Investments (Cost $33,708,595) | 48,374,556 | 100.68% | ||||
Other Assets and Liabilities—Net | (325,523) | (0.68%) | ||||
Net Assets | 48,049,033 | 100.00% |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Includes non-income-producing security. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $415,462,000. |
2 | Certain securities are valued using significant unobservable inputs. |
3 | Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the aggregate value of these securities was $45,661,000, representing 0.1% of net assets. |
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 $439,320,000 was received for securities on loan, of which $425,425,000 is held in Vanguard Market Liquidity Fund and $13,895,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 762 | 87,927 | 245 |
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) |
Alcoa Corp. | 8/31/21 | BOANA | 7,736 | (0.586) | — | (554) |
Alliance Data Systems Corp. | 8/31/21 | BOANA | 24,210 | (0.086) | — | (3,332) |
Bridgebio Pharma Inc. | 8/31/21 | BOANA | 17,760 | (0.086) | 528 | — |
National Fuel Gas Co. | 8/31/21 | BOANA | 3,373 | (0.486) | 52 | — |
New York Community Bancorp Inc. | 8/31/21 | BOANA | 1,197 | (0.436) | — | (96) |
Novavax Inc. | 1/31/22 | GSI | 28,061 | (0.082) | 3,784 | — |
Popular Inc. | 8/31/21 | BOANA | 8,569 | (0.486) | — | (650) |
4,364 | (4,632) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $33,246,557) | 47,912,469 |
Affiliated Issuers (Cost $462,038) | 462,087 |
Total Investments in Securities | 48,374,556 |
Investment in Vanguard | 1,675 |
Cash | 13,895 |
Cash Collateral Pledged—Futures Contracts | 3,950 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 4,690 |
Receivables for Investment Securities Sold | 124,331 |
Receivables for Accrued Income | 47,723 |
Receivables for Capital Shares Issued | 21,758 |
Variation Margin Receivable—Futures Contracts | 92 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 4,364 |
Total Assets | 48,597,034 |
Liabilities | |
Due to Custodian | 43,410 |
Payables for Investment Securities Purchased | 34,631 |
Collateral for Securities on Loan | 439,320 |
Payables for Capital Shares Redeemed | 24,630 |
Payables to Vanguard | 1,378 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 4,632 |
Total Liabilities | 548,001 |
Net Assets | 48,049,033 |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 35,326,365 |
Total Distributable Earnings (Loss) | 12,722,668 |
Net Assets | 48,049,033 |
Investor Shares—Net Assets | |
Applicable
to 6,057,782 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
252,209 |
Net Asset Value Per Share—Investor Shares | $41.63 |
ETF Shares—Net Assets | |
Applicable
to 141,428,073 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
24,556,783 |
Net Asset Value Per Share—ETF Shares | $173.63 |
Admiral Shares—Net Assets | |
Applicable
to 249,431,190 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
18,609,767 |
Net Asset Value Per Share—Admiral Shares | $74.61 |
Institutional Shares—Net Assets | |
Applicable
to 111,029,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
4,630,274 |
Net Asset Value Per Share—Institutional Shares | $41.70 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 320,975 |
Interest1 | 35 |
Securities Lending—Net | 7,612 |
Total Income | 328,622 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,327 |
Management and Administrative—Investor Shares | 232 |
Management and Administrative—ETF Shares | 5,851 |
Management and Administrative—Admiral Shares | 4,971 |
Management and Administrative—Institutional Shares | 1,023 |
Marketing and Distribution—Investor Shares | 7 |
Marketing and Distribution—ETF Shares | 348 |
Marketing and Distribution—Admiral Shares | 265 |
Marketing and Distribution—Institutional Shares | 55 |
Custodian Fees | 310 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 785 |
Shareholders’ Reports—Admiral Shares | 93 |
Shareholders’ Reports—Institutional Shares | 31 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 15,305 |
Net Investment Income | 313,317 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,589,796 |
Futures Contracts | 7,185 |
Swap Contracts | 15,889 |
Realized Net Gain (Loss) | 1,612,870 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 6,648,378 |
Futures Contracts | (38) |
Swap Contracts | 1,780 |
Change in Unrealized Appreciation (Depreciation) | 6,650,120 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,576,307 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $35,000, $8,000, and ($9,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $821,366,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 313,317 | 620,314 | |
Realized Net Gain (Loss) | 1,612,870 | (634,360) | |
Change in Unrealized Appreciation (Depreciation) | 6,650,120 | 2,345,495 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,576,307 | 2,331,449 | |
Distributions | |||
Investor Shares | (1,915) | (3,847) | |
ETF Shares | (179,214) | (285,203) | |
Admiral Shares | (135,736) | (241,645) | |
Institutional Shares | (33,704) | (63,508) | |
Total Distributions | (350,569) | (594,203) | |
Capital Share Transactions | |||
Investor Shares | (33,671) | (25,540) | |
ETF Shares | 2,566,617 | 1,967,955 | |
Admiral Shares | 1,076,103 | (82,929) | |
Institutional Shares | 55,267 | (39,394) | |
Net Increase (Decrease) from Capital Share Transactions | 3,664,316 | 1,820,092 | |
Total Increase (Decrease) | 11,890,054 | 3,557,338 | |
Net Assets | |||
Beginning of Period | 36,158,979 | 32,601,641 | |
End of Period | 48,049,033 | 36,158,979 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $34.08 | $32.86 | $27.35 | $31.82 | $29.00 | $23.69 |
Investment Operations | ||||||
Net Investment Income | .2601 | .5501 | .5431 | .6031 | .5341 | .477 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.575 | 1.208 | 5.608 | (4.471) | 2.820 | 5.315 |
Total from Investment Operations | 7.835 | 1.758 | 6.151 | (3.868) | 3.354 | 5.792 |
Distributions | ||||||
Dividends from Net Investment Income | (.285) | (.538) | (.641) | (.602) | (.534) | (.482) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.285) | (.538) | (.641) | (.602) | (.534) | (.482) |
Net Asset Value, End of Period | $41.63 | $34.08 | $32.86 | $27.35 | $31.82 | $29.00 |
Total Return2 | 23.03% | 5.72% | 22.61% | -12.34% | 11.67% | 24.65% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $252 | $234 | $255 | $1,501 | $2,060 | $2,357 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.98% | 1.76% | 1.92% | 1.82% | 1.96% |
Portfolio Turnover Rate3 | 8% | 26% | 19% | 18% | 19% | 18% |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $142.13 | $137.05 | $114.05 | $132.71 | $120.95 | $98.81 |
Investment Operations | ||||||
Net Investment Income | 1.1691 | 2.5841 | 2.8401 | 2.7201 | 2.4271 | 2.119 |
Net Realized and Unrealized Gain (Loss) on Investments | 31.618 | 4.884 | 22.984 | (18.702) | 11.709 | 22.159 |
Total from Investment Operations | 32.787 | 7.468 | 25.824 | (15.982) | 14.136 | 24.278 |
Distributions | ||||||
Dividends from Net Investment Income | (1.287) | (2.388) | (2.824) | (2.678) | (2.376) | (2.138) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.287) | (2.388) | (2.824) | (2.678) | (2.376) | (2.138) |
Net Asset Value, End of Period | $173.63 | $142.13 | $137.05 | $114.05 | $132.71 | $120.95 |
Total Return | 23.10% | 5.82% | 22.76% | -12.22% | 11.79% | 24.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,557 | $17,837 | $14,808 | $11,560 | $12,650 | $10,042 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 2.23% | 2.19% | 2.04% | 1.94% | 2.08% |
Portfolio Turnover Rate2 | 8% | 26% | 19% | 18% | 19% | 18% |
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 June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $61.07 | $58.89 | $49.01 | $57.02 | $51.97 | $42.46 |
Investment Operations | ||||||
Net Investment Income | .5031 | 1.0581 | 1.2301 | 1.1651 | 1.0391 | .911 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.590 | 2.148 | 9.863 | (8.024) | 5.032 | 9.518 |
Total from Investment Operations | 14.093 | 3.206 | 11.093 | (6.859) | 6.071 | 10.429 |
Distributions | ||||||
Dividends from Net Investment Income | (.553) | (1.026) | (1.213) | (1.151) | (1.021) | (.919) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.553) | (1.026) | (1.213) | (1.151) | (1.021) | (.919) |
Net Asset Value, End of Period | $74.61 | $61.07 | $58.89 | $49.01 | $57.02 | $51.97 |
Total Return2 | 23.12% | 5.85% | 22.76% | -12.23% | 11.80% | 24.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $18,610 | $14,314 | $13,907 | $10,167 | $11,278 | $9,469 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 2.13% | 2.21% | 2.04% | 1.94% | 2.08% |
Portfolio Turnover Rate3 | 8% | 26% | 19% | 18% | 19% | 18% |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $34.14 | $32.92 | $27.39 | $31.87 | $29.05 | $23.73 |
Investment Operations | ||||||
Net Investment Income | .2831 | .5971 | .6841 | .6511 | .5871 | .510 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.588 | 1.199 | 5.527 | (4.485) | 2.808 | 5.324 |
Total from Investment Operations | 7.871 | 1.796 | 6.211 | (3.834) | 3.395 | 5.834 |
Distributions | ||||||
Dividends from Net Investment Income | (.311) | (.576) | (.681) | (.646) | (.575) | (.514) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.311) | (.576) | (.681) | (.646) | (.575) | (.514) |
Net Asset Value, End of Period | $41.70 | $34.14 | $32.92 | $27.39 | $31.87 | $29.05 |
Total Return | 23.10% | 5.86% | 22.81% | -12.23% | 11.80% | 24.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,630 | $3,774 | $3,632 | $3,077 | $3,649 | $2,882 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.46% | 2.14% | 2.20% | 2.05% | 1.95% | 2.09% |
Portfolio Turnover Rate2 | 8% | 26% | 19% | 18% | 19% | 18% |
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. |
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. |
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. |
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 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 47,912,379 | — | 90 | 47,912,469 |
Temporary Cash Investments | 462,087 | — | — | 462,087 |
Total | 48,374,466 | — | 90 | 48,374,556 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 245 | — | — | 245 |
Swap Contracts | — | 4,364 | — | 4,364 |
Total | 245 | 4,364 | — | 4,609 |
Liabilities | ||||
Swap Contracts | — | 4,632 | — | 4,632 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, 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 | 33,756,987 |
Gross Unrealized Appreciation | 16,021,391 |
Gross Unrealized Depreciation | (1,403,845) |
Net Unrealized Appreciation (Depreciation) | 14,617,546 |
E. | During the six months ended June 30, 2021, the fund purchased $8,470,511,000 of investment securities and sold $4,843,519,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,511,209,000 and $1,205,310,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 44,585 | 1,136 | 19,233 | 700 | |
Issued in Lieu of Cash Distributions | 1,915 | 48 | 3,847 | 138 | |
Redeemed | (80,171) | (1,989) | (48,620) | (1,724) | |
Net Increase (Decrease)—Investor Shares | (33,671) | (805) | (25,540) | (886) | |
ETF Shares | |||||
Issued | 3,681,583 | 22,505 | 4,997,914 | 43,220 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,114,966) | (6,575) | (3,029,959) | (25,775) | |
Net Increase (Decrease)—ETF Shares | 2,566,617 | 15,930 | 1,967,955 | 17,445 | |
Admiral Shares | |||||
Issued | 2,736,489 | 38,698 | 3,197,023 | 67,416 | |
Issued in Lieu of Cash Distributions | 117,985 | 1,654 | 210,169 | 4,208 | |
Redeemed | (1,778,371) | (25,313) | (3,490,121) | (73,393) | |
Net Increase (Decrease)—Admiral Shares | 1,076,103 | 15,039 | (82,929) | (1,769) | |
Institutional Shares | |||||
Issued | 653,471 | 16,451 | 884,087 | 33,455 | |
Issued in Lieu of Cash Distributions | 31,499 | 790 | 57,484 | 2,056 | |
Redeemed | (629,703) | (16,769) | (980,965) | (35,290) | |
Net Increase (Decrease)—Institutional Shares | 55,267 | 472 | (39,394) | 221 |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |