• | 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, 2022 | |||
Beginning Account Value 12/31/2021 |
Ending Account Value 6/30/2022 |
Expenses Paid During Period | |
Based on Actual Fund Return | |||
Total Stock Market Index Fund | |||
Investor Shares | $1,000.00 | $785.70 | $0.62 |
ETF Shares | 1,000.00 | 786.20 | 0.13 |
Admiral™ Shares | 1,000.00 | 786.20 | 0.18 |
Institutional Shares | 1,000.00 | 786.10 | 0.13 |
Institutional Plus Shares | 1,000.00 | 786.20 | 0.09 |
Institutional Select Shares | 1,000.00 | 786.30 | 0.04 |
Based on Hypothetical 5% Yearly Return | |||
Total Stock Market Index Fund | |||
Investor Shares | $1,000.00 | $1,024.10 | $0.70 |
ETF Shares | 1,000.00 | 1,024.65 | 0.15 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Shares | 1,000.00 | 1,024.65 | 0.15 |
Institutional Plus Shares | 1,000.00 | 1,024.70 | 0.10 |
Institutional Select Shares | 1,000.00 | 1,024.75 | 0.05 |
Basic Materials | 2.1% |
Consumer Discretionary | 13.8 |
Consumer Staples | 5.8 |
Energy | 4.5 |
Financials | 11.2 |
Health Care | 14.3 |
Industrials | 12.7 |
Real Estate | 3.7 |
Technology | 25.8 |
Telecommunications | 2.7 |
Utilities | 3.4 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (1.1%) | ||||||
Money Market Fund (1.1%) | ||||||
5,6 | Vanguard Market Liquidity Fund, 1.417% (Cost $12,109,820) |
121,130,856 | 12,109,452 | |||
Total Investments (100.4%) (Cost $623,658,504) |
1,115,027,901 | |||||
Other Assets and Liabilities—Net (-0.4%) | (4,681,518) | |||||
Net Assets (100%) | 1,110,346,383 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $4,548,138,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
4 | Perpetual security with no stated maturity date. |
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 $5,110,848,000 was received for securities on loan. |
CVR—Contingent Value Rights. | |
REIT—Real Estate Investment Trust. |
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 2022 | 3,874 | 330,840 | (17,998) |
E-mini S&P 500 Index | September 2022 | 35,175 | 6,664,783 | (71,448) |
E-mini S&P Mid-Cap 400 Index | September 2022 | 240 | 54,432 | (3,148) |
(92,594) |
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) |
ACI Worldwide Inc. | 8/31/22 | BANA | 1,998 | (1.643) | — | (59) |
DXC Technology Co. | 8/31/22 | BANA | 6,136 | (1.967) | — | (77) |
Goldman Sachs Group Inc. | 8/31/23 | BANA | 142,180 | (1.822) | — | (12,305) |
Popular Inc. | 8/31/22 | BANA | 17,976 | (1.634) | — | (965) |
Signature Bank | 8/31/23 | BANA | 64,881 | (1.942) | — | (11,216) |
State Street Corp. | 8/31/23 | BANA | 186,662 | (1.803) | — | (26,706) |
VICI Properties Inc. | 8/31/22 | BANA | 36,020 | (2.127) | 1,648 | — |
VICI Properties Inc. | 8/31/22 | BANA | 104,510 | (2.119) | 966 | — |
Visa Inc. Class A | 8/31/22 | BANA | 47,738 | (1.136) | — | (3,394) |
2,614 | (54,722) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $611,539,860) | 1,102,911,050 |
Affiliated Issuers (Cost $12,118,644) | 12,116,851 |
Total Investments in Securities | 1,115,027,901 |
Investment in Vanguard | 43,355 |
Cash Collateral Pledged—Futures Contracts | 393,890 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 47,620 |
Receivables for Investment Securities Sold | 437,544 |
Receivables for Accrued Income | 899,614 |
Receivables for Capital Shares Issued | 1,645,241 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,614 |
Total Assets | 1,118,497,779 |
Liabilities | |
Due to Custodian | 377,038 |
Payables for Investment Securities Purchased | 1,837,096 |
Collateral for Securities on Loan | 5,110,848 |
Payables for Capital Shares Redeemed | 699,365 |
Payables for Distributions | 1 |
Payables to Vanguard | 13,357 |
Variation Margin Payable—Futures Contracts | 58,969 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 54,722 |
Total Liabilities | 8,151,396 |
Net Assets | 1,110,346,383 |
1 Includes $4,548,138 of securities on loan. |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2022, net assets consisted of: |
|
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 633,164,131 |
Total Distributable Earnings (Loss) | 477,182,252 |
Net Assets | 1,110,346,383 |
Investor Shares—Net Assets | |
Applicable
to 201,413,512 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
18,480,197 |
Net Asset Value Per Share—Investor Shares | $91.75 |
ETF Shares—Net Assets | |
Applicable
to 1,297,014,705 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
244,501,034 |
Net Asset Value Per Share—ETF Shares | $188.51 |
Admiral Shares—Net Assets | |
Applicable
to 2,935,965,724 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
269,421,480 |
Net Asset Value Per Share—Admiral Shares | $91.77 |
Institutional Shares—Net Assets | |
Applicable
to 714,483,641 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
65,575,204 |
Net Asset Value Per Share—Institutional Shares | $91.78 |
Institutional Plus Shares—Net Assets | |
Applicable
to 2,734,702,386 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
470,696,509 |
Net Asset Value Per Share—Institutional Plus Shares | $172.12 |
Institutional Select Shares—Net Assets | |
Applicable
to 230,732,788 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
41,671,959 |
Net Asset Value Per Share—Institutional Select Shares | $180.61 |
Six
Months Ended June 30, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers1 | 8,697,624 |
Dividends—Affiliated Issuers | — |
Interest—Unaffiliated Issuers | 10 |
Interest—Affiliated Issuers | 14,038 |
Securities Lending—Net | 89,234 |
Total Income | 8,800,906 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 8,820 |
Management and Administrative—Investor Shares | 27,612 |
Management and Administrative—ETF Shares | 34,640 |
Management and Administrative—Admiral Shares | 53,645 |
Management and Administrative—Institutional Shares | 12,233 |
Management and Administrative—Institutional Plus Shares | 34,292 |
Management and Administrative—Institutional Select Shares | 1,857 |
Marketing and Distribution—Investor Shares | 1,508 |
Marketing and Distribution—ETF Shares | 3,641 |
Marketing and Distribution—Admiral Shares | 5,100 |
Marketing and Distribution—Institutional Shares | 1,968 |
Marketing and Distribution—Institutional Plus Shares | 5,958 |
Marketing and Distribution—Institutional Select Shares | 291 |
Custodian Fees | 1,168 |
Shareholders’ Reports—Investor Shares | 480 |
Shareholders’ Reports—ETF Shares | 1,192 |
Shareholders’ Reports—Admiral Shares | 535 |
Shareholders’ Reports—Institutional Shares | 1,189 |
Shareholders’ Reports—Institutional Plus Shares | 848 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 317 |
Other Expenses | 68 |
Total Expenses | 197,362 |
Expenses Paid Indirectly | (25) |
Net Expenses | 197,337 |
Net Investment Income | 8,603,569 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers2 | (397,037) |
Investment Securities Sold—Affiliated Issuers | (1,799) |
Statement of Operations (continued) | |
Six
Months Ended June 30, 2022 | |
($000) | |
Futures Contracts | (1,043,990) |
Swap Contracts | (59,169) |
Realized Net Gain (Loss) | (1,501,995) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | (303,366,470) |
Investment Securities—Affiliated Issuers | (2,655) |
Futures Contracts | (193,642) |
Swap Contracts | (88,006) |
Change in Unrealized Appreciation (Depreciation) | (303,650,773) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (296,549,199) |
1 | Dividends are net of foreign withholding taxes of $644,000. |
2 | Includes $9,842,360,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2022 |
Year
Ended December 31, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 8,603,569 | 16,173,398 | |
Realized Net Gain (Loss) | (1,501,995) | 25,405,131 | |
Change in Unrealized Appreciation (Depreciation) | (303,650,773) | 238,495,999 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (296,549,199) | 280,074,528 | |
Distributions | |||
Investor Shares | (129,235) | (1,676,741) | |
ETF Shares | (1,870,034) | (3,403,927) | |
Admiral Shares | (2,058,027) | (4,103,816) | |
Institutional Shares | (508,333) | (2,969,898) | |
Institutional Plus Shares | (3,584,115) | (3,559,330) | |
Institutional Select Shares | (323,852) | (647,913) | |
Total Distributions | (8,473,596) | (16,361,625) | |
Capital Share Transactions | |||
Investor Shares | (103,928,345) | (51,574,306) | |
ETF Shares | 12,527,436 | 44,386,309 | |
Admiral Shares | 2,971,393 | 1,876,942 | |
Institutional Shares | (155,519,309) | 22,144,976 | |
Institutional Plus Shares | 285,505,129 | 14,016,596 | |
Institutional Select Shares | 400,022 | (1,862,868) | |
Net Increase (Decrease) from Capital Share Transactions | 41,956,326 | 28,987,649 | |
Total Increase (Decrease) | (263,066,469) | 292,700,552 | |
Net Assets | |||
Beginning of Period | 1,373,412,852 | 1,080,712,300 | |
End of Period | 1,110,346,383 | 1,373,412,852 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $117.53 | $94.71 | $79.66 | $62.08 | $66.70 | $56.06 |
Investment Operations | ||||||
Net Investment Income1 | .613 | 1.284 | 1.284 | 1.279 | 1.275 | 1.086 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (25.748) | 22.837 | 15.026 | 17.634 | (4.703) | 10.630 |
Total from Investment Operations | (25.135) | 24.121 | 16.310 | 18.913 | (3.428) | 11.716 |
Distributions | ||||||
Dividends from Net Investment Income | (.645) | (1.301) | (1.260) | (1.333) | (1.192) | (1.076) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.645) | (1.301) | (1.260) | (1.333) | (1.192) | (1.076) |
Net Asset Value, End of Period | $91.75 | $117.53 | $94.71 | $79.66 | $62.08 | $66.70 |
Total Return3 | -21.43% | 25.59% | 20.87% | 30.65% | -5.26% | 21.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $18,480 | $133,977 | $153,845 | $139,686 | $121,266 | $126,766 |
Ratio of Total Expenses to Average Net Assets | 0.14%4 | 0.14% | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 1.17% | 1.20% | 1.62% | 1.78% | 1.86% | 1.77% |
Portfolio Turnover Rate5 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | 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. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.14%. |
5 | 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, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $241.49 | $194.61 | $163.70 | $127.56 | $137.06 | $115.21 |
Investment Operations | ||||||
Net Investment Income1 | 1.490 | 2.912 | 2.831 | 2.809 | 2.781 | 2.361 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (53.013) | 46.898 | 30.848 | 36.236 | (9.676) | 21.832 |
Total from Investment Operations | (51.523) | 49.810 | 33.679 | 39.045 | (6.895) | 24.193 |
Distributions | ||||||
Dividends from Net Investment Income | (1.457) | (2.930) | (2.769) | (2.905) | (2.605) | (2.343) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.457) | (2.930) | (2.769) | (2.905) | (2.605) | (2.343) |
Net Asset Value, End of Period | $188.51 | $241.49 | $194.61 | $163.70 | $127.56 | $137.06 |
Total Return | -21.38% | 25.72% | 20.95% | 30.80% | -5.13% | 21.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $244,501 | $299,088 | $202,075 | $138,067 | $94,809 | $91,862 |
Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.31% | 1.73% | 1.89% | 1.97% | 1.87% |
Portfolio Turnover Rate4 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $117.56 | $94.74 | $79.69 | $62.09 | $66.72 | $56.08 |
Investment Operations | ||||||
Net Investment Income1 | .720 | 1.402 | 1.364 | 1.360 | 1.344 | 1.148 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (25.806) | 22.833 | 15.025 | 17.646 | (4.711) | 10.633 |
Total from Investment Operations | (25.086) | 24.235 | 16.389 | 19.006 | (3.367) | 11.781 |
Distributions | ||||||
Dividends from Net Investment Income | (.704) | (1.415) | (1.339) | (1.406) | (1.263) | (1.141) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.704) | (1.415) | (1.339) | (1.406) | (1.263) | (1.141) |
Net Asset Value, End of Period | $91.77 | $117.56 | $94.74 | $79.69 | $62.09 | $66.72 |
Total Return3 | -21.38% | 25.71% | 20.99% | 30.80% | -5.17% | 21.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $269,421 | $341,733 | $273,622 | $252,536 | $185,102 | $190,099 |
Ratio of Total Expenses to Average Net Assets | 0.04%4 | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.41% | 1.30% | 1.72% | 1.88% | 1.96% | 1.87% |
Portfolio Turnover Rate5 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | 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. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
5 | 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, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $117.58 | $94.75 | $79.70 | $62.10 | $66.73 | $56.09 |
Investment Operations | ||||||
Net Investment Income1 | .692 | 1.416 | 1.374 | 1.365 | 1.354 | 1.153 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (25.782) | 22.841 | 15.024 | 17.649 | (4.715) | 10.630 |
Total from Investment Operations | (25.090) | 24.257 | 16.398 | 19.014 | (3.361) | 11.783 |
Distributions | ||||||
Dividends from Net Investment Income | (.710) | (1.427) | (1.348) | (1.414) | (1.269) | (1.143) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.710) | (1.427) | (1.348) | (1.414) | (1.269) | (1.143) |
Net Asset Value, End of Period | $91.78 | $117.58 | $94.75 | $79.70 | $62.10 | $66.73 |
Total Return | -21.39% | 25.73% | 21.00% | 30.81% | -5.16% | 21.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $65,575 | $249,282 | $180,586 | $152,716 | $115,115 | $113,557 |
Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03% | 0.03% | 0.03% | 0.03% | 0.035% |
Ratio of Net Investment Income to Average Net Assets | 1.33% | 1.31% | 1.73% | 1.89% | 1.97% | 1.87% |
Portfolio Turnover Rate4 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $220.49 | $177.69 | $149.47 | $116.46 | $125.14 | $105.18 |
Investment Operations | ||||||
Net Investment Income1 | 1.396 | 2.672 | 2.591 | 2.575 | 2.555 | 2.182 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (48.428) | 42.823 | 28.172 | 33.100 | (8.842) | 19.938 |
Total from Investment Operations | (47.032) | 45.495 | 30.763 | 35.675 | (6.287) | 22.120 |
Distributions | ||||||
Dividends from Net Investment Income | (1.338) | (2.695) | (2.543) | (2.665) | (2.393) | (2.160) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.338) | (2.695) | (2.543) | (2.665) | (2.393) | (2.160) |
Net Asset Value, End of Period | $172.12 | $220.49 | $177.69 | $149.47 | $116.46 | $125.14 |
Total Return | -21.38% | 25.74% | 21.02% | 30.82% | -5.15% | 21.19% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $470,697 | $296,554 | $226,288 | $188,188 | $135,641 | $126,130 |
Ratio of Total Expenses to Average Net Assets | 0.02%3 | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.47% | 1.32% | 1.74% | 1.90% | 1.98% | 1.89% |
Portfolio Turnover Rate4 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.02%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Select Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2022 |
Year Ended December 31, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $231.36 | $186.45 | $156.83 | $122.20 | $131.31 | $110.37 |
Investment Operations | ||||||
Net Investment Income1 | 1.448 | 2.821 | 2.772 | 2.709 | 2.704 | 2.311 |
Capital Gain Distributions Received1 | — | .0002 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (50.788) | 44.937 | 29.532 | 34.731 | (9.290) | 20.908 |
Total from Investment Operations | (49.340) | 47.758 | 32.304 | 37.440 | (6.586) | 23.219 |
Distributions | ||||||
Dividends from Net Investment Income | (1.410) | (2.848) | (2.684) | (2.810) | (2.524) | (2.279) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.410) | (2.848) | (2.684) | (2.810) | (2.524) | (2.279) |
Net Asset Value, End of Period | $180.61 | $231.36 | $186.45 | $156.83 | $122.20 | $131.31 |
Total Return | -21.37% | 25.75% | 21.03% | 30.84% | -5.14% | 21.20% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $41,672 | $52,780 | $44,296 | $26,431 | $20,262 | $14,163 |
Ratio of Total Expenses to Average Net Assets | 0.01%3 | 0.01% | 0.01% | 0.01% | 0.01% | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 1.33% | 1.76% | 1.91% | 1.99% | 1.90% |
Portfolio Turnover Rate4 | 2% | 4% | 8% | 4% | 3% | 3% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Distribution was less than $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.01%. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,102,905,714 | 151 | 7,239 | 1,102,913,104 |
Preferred Stocks | 5,345 | — | — | 5,345 |
Temporary Cash Investments | 12,109,452 | — | — | 12,109,452 |
Total | 1,115,020,511 | 151 | 7,239 | 1,115,027,901 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 2,614 | — | 2,614 |
Liabilities | ||||
Futures Contracts1 | 92,594 | — | — | 92,594 |
Swap Contracts | — | 54,722 | — | 54,722 |
Total | 92,594 | 54,722 | — | 147,316 |
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. |
Amount ($000) | |
Tax Cost | 625,810,110 |
Gross Unrealized Appreciation | 546,946,357 |
Gross Unrealized Depreciation | (57,873,268) |
Net Unrealized Appreciation (Depreciation) | 489,073,089 |
Six Months Ended June 30, 2022 |
Year Ended December 31, 2021 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 3,807,296 | 35,379 | 496,590 | 4,799 | |
Issued in Lieu of Cash Distributions | 129,235 | 1,300 | 1,676,741 | 15,550 | |
Redeemed | (107,864,876) | (975,210) | (53,747,637) | (504,787) | |
Net Increase (Decrease)—Investor Shares | (103,928,345) | (938,531) | (51,574,306) | (484,438) | |
ETF Shares | |||||
Issued | 25,914,934 | 122,613 | 69,095,066 | 308,260 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (13,387,498) | (64,100) | (24,708,757) | (108,100) | |
Net Increase (Decrease)—ETF Shares | 12,527,436 | 58,513 | 44,386,309 | 200,160 | |
Admiral Shares | |||||
Issued | 18,385,152 | 175,157 | 37,025,893 | 347,554 | |
Issued in Lieu of Cash Distributions | 1,713,156 | 17,207 | 3,424,237 | 31,536 | |
Redeemed | (17,126,915) | (163,359) | (38,573,188) | (360,387) | |
Net Increase (Decrease)—Admiral Shares | 2,971,393 | 29,005 | 1,876,942 | 18,703 | |
Institutional Shares | |||||
Issued | 5,089,166 | 48,221 | 44,920,917 | 425,435 | |
Issued in Lieu of Cash Distributions | 416,444 | 4,179 | 2,799,517 | 25,726 | |
Redeemed | (161,024,919) | (1,458,108) | (25,575,458) | (236,871) | |
Net Increase (Decrease)—Institutional Shares | (155,519,309) | (1,405,708) | 22,144,976 | 214,290 | |
Institutional Plus Shares | |||||
Issued | 293,292,292 | 1,428,530 | 27,268,129 | 137,022 | |
Issued in Lieu of Cash Distributions | 3,554,411 | 19,055 | 3,498,917 | 17,171 | |
Redeemed | (11,341,574) | (57,849) | (16,750,450) | (82,739) | |
Net Increase (Decrease)—Institutional Plus Shares | 285,505,129 | 1,389,736 | 14,016,596 | 71,454 |
Six Months Ended June 30, 2022 |
Year Ended December 31, 2021 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Institutional Select Shares | |||||
Issued | 3,210,912 | 15,897 | 5,779,241 | 28,270 | |
Issued in Lieu of Cash Distributions | 323,852 | 1,651 | 647,913 | 3,034 | |
Redeemed | (3,134,742) | (14,943) | (8,290,022) | (40,759) | |
Net Increase (Decrease)—Institutional Select Shares | 400,022 | 2,605 | (1,862,868) | (9,455) |
Current Period Transactions | ||||||||
Dec.
31, 2021 Market Value ($000) |
Purchases at Cost ($000) |
Proceeds from Securities Sold ($000) |
Realized Net Gain (Loss) ($000) |
Change
in Unrealized App. (Dep.) ($000) |
Income ($000) |
Capital
Gain Distributions Received ($000) |
Jun.
30, 2022 Market Value ($000) | |
Asure Software Inc. | NA1 | 4,124 | 1,412 | (707) | (1,939) | — | — | 7,399 |
Vanguard Market Liquidity Fund | 8,612,238 | NA2 | NA2 | (1,092) | (716) | 14,038 | — | 12,109,452 |
Total | 8,612,238 | 4,124 | 1,412 | (1,799) | (2,655) | 14,038 | — | 12,116,851 |
1 | Not applicable—at December 31, 2021, the issuer was not an affiliated company of the fund. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |