About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

•

Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“

•

Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

Table of Contents

ESG U.S. Stock ETF

Fund Allocation

As of February 28, 2023

Basic Materials	2.0%
Consumer Discretionary	16.2
Consumer Staples	5.8
Energy	0.3
Financials	12.1
Health Care	15.1
Industrials	11.3
Real Estate	3.9
Technology	29.8
Telecommunications	2.9
Utilities	0.6

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.

The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.

The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.

Table of Contents

ESG U.S. Stock ETF

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 2023

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

		Shares	Market Value• ($000)
Common Stocks (99.5%)
Basic Materials (2.0%)
	Linde plc	92,286	32,150
	Air Products and Chemicals Inc.	41,324	11,818
	Nucor Corp.	47,788	8,002
	Newmont Corp.	148,449	6,474
	Albemarle Corp.	21,872	5,562
	Fastenal Co.	107,430	5,539
	LyondellBasell Industries NV Class A	47,983	4,606
	International Flavors & Fragrances Inc.	47,588	4,435
	Steel Dynamics Inc.	31,076	3,919
	Mosaic Co.	63,458	3,375
	CF Industries Holdings Inc.	36,515	3,136
	FMC Corp.	23,499	3,035
	Avery Dennison Corp.	15,199	2,769
	Reliance Steel & Aluminum Co.	10,903	2,702
	International Paper Co.	66,226	2,410
	Royal Gold Inc.	12,298	1,461
	United States Steel Corp.	43,238	1,324
	Valvoline Inc.	32,984	1,161
^*	Univar Solutions Inc.	29,932	1,040
	Huntsman Corp.	34,064	1,000
	Ashland Inc.	9,457	963
	UFP Industries Inc.	11,116	951
	Element Solutions Inc.	42,146	866
	Cabot Corp.	10,303	819
	Balchem Corp.	5,893	766
	Avient Corp.	17,070	745
	Westlake Corp.	6,156	733
^*	Livent Corp.	29,946	702
	Scotts Miracle-Gro Co.	7,456	615
^*	MP Materials Corp.	16,990	595
	Sensient Technologies Corp.	7,820	590
^*	Ingevity Corp.	6,963	575
	Hecla Mining Co.	103,278	532
	Boise Cascade Co.	7,341	507
	Innospec Inc.	4,560	499

		Shares	Market Value• ($000)
^*	Arconic Corp.	18,811	497
	Quaker Chemical Corp.	2,466	483
	Stepan Co.	3,977	414
	NewMarket Corp.	1,114	383
^*	Constellium SE Class A	23,500	376
	Minerals Technologies Inc.	6,066	369
	Tronox Holdings plc	21,815	340
	Sylvamo Corp.	6,597	325
	Orion Engineered Carbons SA	11,041	282
	Compass Minerals International Inc.	6,228	240
	Kaiser Aluminum Corp.	2,930	232
^*	Piedmont Lithium Inc.	3,123	203
^*	Coeur Mining Inc.	51,619	161
^*	Century Aluminum Co.	9,132	110
^*,1	Amyris Inc.	37,100	46
			120,837
Consumer Discretionary (16.1%)
^*	Amazon.com Inc.	1,660,466	156,466
^*	Tesla Inc.	482,778	99,312
	Home Depot Inc.	193,061	57,250
	Costco Wholesale Corp.	82,734	40,058
	McDonald's Corp.	138,032	36,428
^*	Walt Disney Co.	340,396	33,907
	NIKE Inc. Class B	228,869	27,187
^*	Netflix Inc.	81,769	26,340
	Lowe's Cos. Inc.	116,031	23,873
	Starbucks Corp.	214,259	21,874
^*	Booking Holdings Inc.	7,228	18,243
	TJX Cos. Inc.	216,812	16,608
	Target Corp.	86,531	14,580
^*	Uber Technologies Inc.	358,524	11,924
	Activision Blizzard Inc.	145,008	11,057
^*	MercadoLibre Inc.	8,683	10,593
	Estee Lauder Cos. Inc. Class A	42,906	10,428
^*	O'Reilly Automotive Inc.	11,544	9,583
	Dollar General Corp.	42,127	9,112
	Ford Motor Co.	736,211	8,886
^*	AutoZone Inc.	3,504	8,713
^*	Airbnb Inc. Class A	70,092	8,641

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Marriott International Inc. Class A	49,603	8,395
^*	Chipotle Mexican Grill Inc. Class A	5,236	7,807
	Hilton Worldwide Holdings Inc.	49,711	7,184
	Ross Stores Inc.	63,693	7,041
^*	Warner Bros Discovery Inc.	440,295	6,877
	Yum! Brands Inc.	52,625	6,692
^*	Lululemon Athletica Inc.	20,824	6,439
^*	Aptiv plc	50,445	5,866
^*	Dollar Tree Inc.	39,672	5,764
	Electronic Arts Inc.	51,680	5,733
^*	Copart Inc.	79,549	5,605
^*	Ulta Beauty Inc.	9,376	4,864
	Tractor Supply Co.	20,594	4,804
	Lennar Corp. Class A	49,039	4,744
	eBay Inc.	101,347	4,652
	Genuine Parts Co.	25,931	4,586
^*	Trade Desk Inc. Class A	81,624	4,568
	Omnicom Group Inc.	38,028	3,444
^*	Take-Two Interactive Software Inc.	30,482	3,339
	Best Buy Co. Inc.	37,526	3,119
^*	Expedia Group Inc.	28,204	3,073
^*	Spotify Technology SA	26,159	3,042
^*	Coupang Inc. Class A	187,413	2,907
^*	Royal Caribbean Cruises Ltd.	41,083	2,902
^*	Etsy Inc.	23,370	2,837
	Garmin Ltd.	28,741	2,820
^*	NVR Inc.	540	2,794
^*	Liberty Media Corp.-Liberty Formula One Class C	39,700	2,694
	LKQ Corp.	46,650	2,673
^*	Burlington Stores Inc.	12,338	2,643
	Interpublic Group of Cos. Inc.	72,468	2,576
	Pool Corp.	7,072	2,524
^*	ROBLOX Corp. Class A	67,783	2,484
	Fox Corp. Class A	67,474	2,363
	PulteGroup Inc.	42,342	2,315
¹	Paramount Global Class B	107,675	2,306
	BorgWarner Inc.	43,596	2,192
^*	Live Nation Entertainment Inc.	29,174	2,102
^*	Five Below Inc.	10,171	2,078
^*	Deckers Outdoor Corp.	4,960	2,065
^*	CarMax Inc.	29,437	2,032
	Tapestry Inc.	45,144	1,964
^*	Carnival Corp.	182,236	1,935
	Domino's Pizza Inc.	6,577	1,934
	Service Corp. International	27,909	1,885
^*	Rivian Automotive Inc. Class A	97,159	1,875

		Shares	Market Value• ($000)
^*	BJ's Wholesale Club Holdings Inc.	25,010	1,796
^*	Floor & Decor Holdings Inc. Class A	19,269	1,769
^*	Grab Holdings Ltd. Class A	546,218	1,753
	Bath & Body Works Inc.	42,746	1,747
	Vail Resorts Inc.	7,461	1,742
	Advance Auto Parts Inc.	11,233	1,628
	VF Corp.	65,126	1,616
	News Corp. Class A	93,254	1,599
	Aramark	43,176	1,589
	Lear Corp.	11,048	1,543
	Williams-Sonoma Inc.	12,338	1,541
	Rollins Inc.	43,279	1,523
	Autoliv Inc.	16,303	1,509
^*	Crocs Inc.	11,272	1,372
	Whirlpool Corp.	9,906	1,367
	Hasbro Inc.	24,515	1,349
	Tempur Sealy International Inc.	31,408	1,342
	Lithia Motors Inc. Class A	5,106	1,303
	Nexstar Media Group Inc. Class A	6,813	1,267
^*	Planet Fitness Inc. Class A	15,594	1,264
	Gentex Corp.	43,874	1,253
	Wyndham Hotels & Resorts Inc.	16,207	1,248
^*	SiteOne Landscape Supply Inc.	8,311	1,233
	Harley-Davidson Inc.	25,087	1,193
	Toll Brothers Inc.	19,773	1,185
	New York Times Co. Class A	30,394	1,170
^*	Capri Holdings Ltd.	23,478	1,164
^*	Norwegian Cruise Line Holdings Ltd.	78,196	1,159
^*	Delta Air Lines Inc.	30,023	1,151
^*	Skechers USA Inc. Class A	24,912	1,109
	Marriott Vacations Worldwide Corp.	7,046	1,078
	H&R Block Inc.	29,003	1,067
^*	RH	3,554	1,063
^*	Avis Budget Group Inc.	4,775	1,049
	Newell Brands Inc.	70,490	1,035
	Macy's Inc.	50,347	1,030
^*	Hyatt Hotels Corp. Class A	8,839	1,027
^*	IAA Inc.	25,071	1,026
^*	Liberty Media Corp.-Liberty SiriusXM Class A	31,380	1,016
	Murphy USA Inc.	3,917	999
	PVH Corp.	12,127	973
^*,1	GameStop Corp. Class A	49,949	961
	Wingstop Inc.	5,510	939
	Southwest Airlines Co.	27,747	932
^*	Asbury Automotive Group Inc.	4,079	926

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	Fox Factory Holding Corp.	7,844	922
^*,1	Lucid Group Inc.	99,139	905
	Ralph Lauren Corp. Class A	7,597	898
	Thor Industries Inc.	9,686	881
^*	AutoNation Inc.	6,332	864
	Leggett & Platt Inc.	24,840	857
^*	Visteon Corp.	5,128	857
^*	Bright Horizons Family Solutions Inc.	10,711	844
	U-Haul Holding Co.	14,816	824
^*	United Airlines Holdings Inc.	15,417	801
^*	Hilton Grand Vacations Inc.	15,933	761
^*	Adient plc	17,592	752
^*	Coty Inc. Class A	65,973	745
^*	Meritage Homes Corp.	6,808	744
^*	Peloton Interactive Inc. Class A	57,423	742
	TEGNA Inc.	41,363	720
	Choice Hotels International Inc.	5,986	708
	Wendy's Co.	31,816	699
	Penske Automotive Group Inc.	4,843	698
^*	Taylor Morrison Home Corp. Class A	19,419	696
^*,1	AMC Entertainment Holdings Inc. Class A	96,510	689
	Madison Square Garden Sports Corp.	3,602	688
^*	Skyline Champion Corp.	9,949	681
^*	Ollie's Bargain Outlet Holdings Inc.	11,680	672
	World Wrestling Entertainment Inc. Class A	7,971	670
	Foot Locker Inc.	15,048	658
^*	Grand Canyon Education Inc.	5,684	644
	Travel + Leisure Co.	14,938	627
^*	YETI Holdings Inc.	16,049	626
	Signet Jewelers Ltd.	8,552	612
	Kohl's Corp.	21,760	610
^*	Topgolf Callaway Brands Corp.	26,171	607
^*	Victoria's Secret & Co.	15,157	601
^*	Wayfair Inc. Class A	14,737	597
^*	Lyft Inc. Class A	59,432	594
^*	Goodyear Tire & Rubber Co.	51,551	586
	Columbia Sportswear Co.	6,706	585
¹	Sirius XM Holdings Inc.	130,245	572
	Group 1 Automotive Inc.	2,535	560
^*	National Vision Holdings Inc.	14,641	547
	Kontoor Brands Inc.	10,288	537
	Carter's Inc.	7,010	528

		Shares	Market Value• ($000)
	Steven Madden Ltd.	14,367	522
	LCI Industries	4,617	521
	Papa John's International Inc.	6,109	513
	KB Home	14,353	506
^*	Helen of Troy Ltd.	4,398	496
^*	American Airlines Group Inc.	30,062	480
^*	SeaWorld Entertainment Inc.	7,374	476
	Gap Inc.	36,424	474
^*	Cavco Industries Inc.	1,632	465
^*	Sonos Inc.	23,785	462
^*	Dorman Products Inc.	4,913	457
^*,1	QuantumScape Corp. Class A	47,640	456
	Fox Corp. Class B	13,912	449
	Cracker Barrel Old Country Store Inc.	4,091	446
^*	Tri Pointe Homes Inc.	18,606	444
	Rush Enterprises Inc. Class A	7,685	436
^*	Frontdoor Inc.	15,296	432
^*	Boot Barn Holdings Inc.	5,396	418
^*,1	Luminar Technologies Inc. Class A	46,418	415
^*	TripAdvisor Inc.	19,033	411
	American Eagle Outfitters Inc.	28,176	405
	Nordstrom Inc.	20,668	403
^*	LGI Homes Inc.	3,821	399
	Graham Holdings Co. Class B	635	398
	Inter Parfums Inc.	3,295	397
	MDC Holdings Inc.	10,598	392
^*	Gentherm Inc.	6,142	390
^*	Duolingo Inc. Class A	4,300	390
^*	Shake Shack Inc. Class A	6,841	382
	Dana Inc.	23,867	378
^*	Leslie's Inc.	29,928	377
^*	Under Armour Inc. Class C	42,238	372
^*	Liberty Media Corp.-Liberty SiriusXM Class C	11,494	370
^*	Chegg Inc.	23,246	369
	Hanesbrands Inc.	64,666	367
^*	Six Flags Entertainment Corp.	13,849	366
	Strategic Education Inc.	4,161	355
	John Wiley & Sons Inc. Class A	7,936	353
	Winnebago Industries Inc.	5,524	351
	MillerKnoll Inc.	14,018	335
	Oxford Industries Inc.	2,841	334
^*	ODP Corp.	7,306	331
^*	Adtalem Global Education Inc.	8,368	327

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	Driven Brands Holdings Inc.	11,600	324
	PriceSmart Inc.	4,579	319
^*	Urban Outfitters Inc.	11,827	319
	Century Communities Inc.	5,200	311
^*	Sally Beauty Holdings Inc.	19,344	311
	Jack in the Box Inc.	3,957	310
^*	Brinker International Inc.	8,100	308
^*	Under Armour Inc. Class A	30,861	306
^*	Sabre Corp.	60,230	305
^*	Farfetch Ltd. Class A	58,758	301
	Laureate Education Inc.	24,800	294
	Acushnet Holdings Corp.	6,065	293
	Monro Inc.	5,761	291
^*	Madison Square Garden Entertainment Corp.	4,800	291
^*	Central Garden & Pet Co. Class A	7,502	288
^*	KAR Auction Services Inc.	19,969	285
^*	Cinemark Holdings Inc.	20,200	275
^*	Alaska Air Group Inc.	5,733	274
^*	Abercrombie & Fitch Co. Class A	8,906	262
	La-Z-Boy Inc.	8,038	260
	Scholastic Corp.	5,551	253
	Dillard's Inc. Class A	700	249
	Upbound Group Inc.	9,048	243
^*,1	Fisker Inc. Class A	32,698	243
	HNI Corp.	7,653	239
^*	Coursera Inc.	21,200	239
	Wolverine World Wide Inc.	14,180	238
^*	Liberty Media Corp.-Liberty Braves Class C	7,061	236
^*	PROG Holdings Inc.	9,206	228
	Buckle Inc.	5,569	227
^*	Lions Gate Entertainment Corp. Class B	22,572	225
^*	Figs Inc. Class A	24,212	223
	Matthews International Corp. Class A	5,638	215
	Dine Brands Global Inc.	2,764	212
^*	iRobot Corp.	4,968	204
^*	American Axle & Manufacturing Holdings Inc.	20,365	179
	Gray Television Inc.	14,975	175
	Krispy Kreme Inc.	13,000	169
^*	iHeartMedia Inc. Class A	22,306	162
^*	Playtika Holding Corp.	16,818	161
^*,1	Carvana Co. Class A	16,933	159
^*	Petco Health & Wellness Co. Inc. Class A	15,400	159
^*	Sleep Number Corp.	3,929	157
^*	IMAX Corp.	8,488	157
^*	Overstock.com Inc.	7,877	153
^*	Mister Car Wash Inc.	15,000	138

		Shares	Market Value• ($000)
^*	Qurate Retail Inc. Class A	62,576	132
^*	EW Scripps Co. Class A	10,470	132
^*	2U Inc.	14,600	131
^*	G-III Apparel Group Ltd.	7,885	131
^*	JetBlue Airways Corp.	15,321	127
	Steelcase Inc. Class A	16,101	127
^*	AMC Networks Inc. Class A	5,600	125
	Guess? Inc.	5,738	121
	Sinclair Broadcast Group Inc. Class A	7,300	119
	U-Haul Holding Co.	1,773	114
^*	Lions Gate Entertainment Corp. Class A	9,196	98
	Spirit Airlines Inc.	5,056	93
^*	Allegiant Travel Co.	883	91
^*	Liberty Media Corp.-Liberty Formula One Class A	1,373	83
	Big Lots Inc.	5,168	74
^*	Liberty Media Corp.-Liberty Braves Class A	1,835	63
^*	SkyWest Inc.	2,329	44
^*	Cardlytics Inc.	5,485	30
			953,440
Consumer Staples (5.7%)
	Procter & Gamble Co.	441,000	60,664
	PepsiCo Inc.	258,292	44,821
	Coca-Cola Co.	729,378	43,405
	CVS Health Corp.	244,904	20,459
	Mondelez International Inc. Class A	254,659	16,599
	Colgate-Palmolive Co.	154,616	11,333
	McKesson Corp.	26,466	9,258
	General Mills Inc.	111,190	8,841
	Corteva Inc.	133,566	8,320
	Archer-Daniels-Midland Co.	102,095	8,127
	Kimberly-Clark Corp.	62,887	7,864
	Sysco Corp.	94,865	7,074
^*	Monster Beverage Corp.	68,357	6,956
	Hershey Co.	27,273	6,500
	Keurig Dr Pepper Inc.	160,106	5,532
	Kroger Co.	122,426	5,281
	Kraft Heinz Co.	130,447	5,080
	Walgreens Boots Alliance Inc.	133,814	4,754
	AmerisourceBergen Corp.	29,006	4,512
	Church & Dwight Co. Inc.	45,312	3,796
	Clorox Co.	23,021	3,578
	McCormick & Co. Inc. (Non-Voting)	46,797	3,478
	Conagra Brands Inc.	87,963	3,203
	Tyson Foods Inc. Class A	53,263	3,155
	Kellogg Co.	47,582	3,138
	J M Smucker Co.	19,188	2,838

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Lamb Weston Holdings Inc.	26,944	2,712
	Bunge Ltd.	25,838	2,468
	Hormel Foods Corp.	53,511	2,375
	Coca-Cola Europacific Partners plc	37,674	2,072
	Campbell Soup Co.	36,101	1,896
^*	Darling Ingredients Inc.	29,854	1,889
^*	US Foods Holding Corp.	37,702	1,415
	Ingredion Inc.	12,286	1,221
	Flowers Foods Inc.	34,977	975
^*	Celsius Holdings Inc.	10,313	936
^*	Post Holdings Inc.	10,183	916
^*	BellRing Brands Inc.	24,394	753
	Lancaster Colony Corp.	3,675	706
^*	Simply Good Foods Co.	16,492	631
	Albertsons Cos. Inc. Class A	31,663	629
^*	Hostess Brands Inc. Class A	24,813	613
^*	Sprouts Farmers Market Inc.	19,705	597
^*	Freshpet Inc.	8,454	526
^*	Nomad Foods Ltd.	26,035	467
	Coca-Cola Consolidated Inc.	832	463
	Spectrum Brands Holdings Inc.	7,213	462
^*	TreeHouse Foods Inc.	9,475	462
	Energizer Holdings Inc.	12,495	453
^*	Grocery Outlet Holding Corp.	16,549	448
^*	United Natural Foods Inc.	10,712	436
	WD-40 Co.	2,469	428
	Edgewell Personal Care Co.	9,563	408
	J & J Snack Foods Corp.	2,824	399
	Cal-Maine Foods Inc.	6,979	396
	Nu Skin Enterprises Inc. Class A	9,151	365
^*	Herbalife Nutrition Ltd.	17,853	345
^*	Hain Celestial Group Inc.	16,590	296
	Reynolds Consumer Products Inc.	10,200	280
	Weis Markets Inc.	3,028	231
^*	Beauty Health Co.	17,836	225
	Medifast Inc.	1,965	220
^*	National Beverage Corp.	4,386	205
^*,1	Beyond Meat Inc.	11,012	196
	Fresh Del Monte Produce Inc.	5,491	172
	B&G Foods Inc.	13,155	167
^*	USANA Health Sciences Inc.	2,122	129
^*	Olaplex Holdings Inc.	23,100	114

		Shares	Market Value• ($000)
	Calavo Growers Inc.	3,148	102
	ACCO Brands Corp.	17,286	98
			339,863
Energy (0.3%)
^*	Enphase Energy Inc.	24,408	5,138
^*	First Solar Inc.	19,835	3,355
^*	SolarEdge Technologies Inc.	10,291	3,272
^*,1	Plug Power Inc.	96,825	1,440
	Arcosa Inc.	8,977	544
^*,1	ChargePoint Holdings Inc.	47,033	534
^*	Array Technologies Inc.	27,739	520
^*	Ameresco Inc. Class A	5,806	255
^*	FuelCell Energy Inc.	75,690	253
^*	SunPower Corp.	14,971	225
^*	Stem Inc.	26,806	219
			15,755
Financials (12.1%)
	JPMorgan Chase & Co.	544,870	78,107
	Bank of America Corp.	1,312,033	45,003
	Morgan Stanley	230,326	22,226
	Charles Schwab Corp.	283,944	22,125
	Goldman Sachs Group Inc.	61,302	21,557
	S&P Global Inc.	60,871	20,769
	BlackRock Inc.	28,061	19,346
	Citigroup Inc.	361,589	18,329
	Chubb Ltd.	77,581	16,371
	Progressive Corp.	109,069	15,654
	Marsh & McLennan Cos. Inc.	92,523	15,002
	CME Group Inc.	66,965	12,413
	US Bancorp	250,624	11,962
	Blackstone Inc.	130,804	11,877
	PNC Financial Services Group Inc.	75,199	11,875
	Truist Financial Corp.	248,350	11,660
	Aon plc Class A	38,232	11,624
	Intercontinental Exchange Inc.	103,043	10,490
	MetLife Inc.	123,340	8,847
	Moody's Corp.	29,838	8,657
	American International Group Inc.	138,745	8,479
	Travelers Cos. Inc.	43,656	8,082
	Aflac Inc.	115,037	7,840
	MSCI Inc. Class A	14,546	7,595
	Arthur J Gallagher & Co.	38,865	7,281
	Bank of New York Mellon Corp.	137,043	6,973
	Prudential Financial Inc.	68,790	6,879
	Ameriprise Financial Inc.	19,807	6,791
	Apollo Global Management Inc.	90,227	6,397
	Allstate Corp.	49,367	6,357
	State Street Corp.	68,499	6,074

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	KKR & Co. Inc.	106,811	6,019
	Discover Financial Services	50,949	5,706
	M&T Bank Corp.	32,091	4,983
	Willis Towers Watson plc	20,097	4,710
	Hartford Financial Services Group Inc.	59,251	4,638
^*	Arch Capital Group Ltd.	66,163	4,631
	Fifth Third Bancorp	127,258	4,619
	T. Rowe Price Group Inc.	41,126	4,618
	First Republic Bank	33,966	4,178
	Huntington Bancshares Inc.	267,956	4,105
	Regions Financial Corp.	174,523	4,070
	Principal Financial Group Inc.	45,182	4,046
	Raymond James Financial Inc.	36,318	3,939
	Citizens Financial Group Inc.	91,147	3,806
	LPL Financial Holdings Inc.	14,822	3,699
	Northern Trust Corp.	38,331	3,652
	Nasdaq Inc.	64,164	3,597
	Cincinnati Financial Corp.	28,634	3,456
^*	Markel Corp.	2,494	3,317
	KeyCorp	173,494	3,173
^*	SVB Financial Group	10,916	3,145
	Broadridge Financial Solutions Inc.	21,798	3,069
	FactSet Research Systems Inc.	7,049	2,922
	Everest Re Group Ltd.	7,246	2,782
	W R Berkley Corp.	38,396	2,541
	Cboe Global Markets Inc.	19,813	2,500
	Brown & Brown Inc.	44,179	2,477
	First Horizon Corp.	98,645	2,443
	MarketAxess Holdings Inc.	6,958	2,376
	Ares Management Corp. Class A	28,675	2,312
	Equitable Holdings Inc.	68,695	2,158
	Globe Life Inc.	16,695	2,032
	East West Bancorp Inc.	26,401	2,012
^*	Coinbase Global Inc. Class A	29,795	1,932
	Fidelity National Financial Inc.	48,433	1,931
	Reinsurance Group of America Inc.	12,500	1,806
	Annaly Capital Management Inc.	87,090	1,801
	RenaissanceRe Holdings Ltd.	7,984	1,716
	Webster Financial Corp.	32,228	1,712
	Comerica Inc.	24,367	1,708
	American Financial Group Inc.	12,619	1,692
	Ally Financial Inc.	55,643	1,672
	Unum Group	36,976	1,647

		Shares	Market Value• ($000)
	Credicorp Ltd.	12,704	1,619
	Franklin Resources Inc.	53,163	1,567
	First Citizens BancShares Inc. Class A	2,039	1,496
	Interactive Brokers Group Inc. Class A	17,342	1,493
	Western Alliance Bancorp	19,737	1,465
	Cullen/Frost Bankers Inc.	10,871	1,433
	Tradeweb Markets Inc. Class A	20,144	1,428
	Commerce Bancshares Inc.	21,096	1,396
	Zions Bancorp NA	27,460	1,390
	Old Republic International Corp.	52,118	1,374
	Voya Financial Inc.	18,141	1,351
	Signature Bank	11,549	1,329
	Primerica Inc.	6,891	1,323
	Stifel Financial Corp.	19,324	1,291
	Kinsale Capital Group Inc.	4,047	1,290
	Assurant Inc.	9,969	1,270
	Invesco Ltd.	69,464	1,227
	Prosperity Bancshares Inc.	16,270	1,196
	AGNC Investment Corp.	106,610	1,159
	SEI Investments Co.	19,175	1,155
	Selective Insurance Group Inc.	11,069	1,124
	Synovus Financial Corp.	26,840	1,122
	SouthState Corp.	13,891	1,121
	Affiliated Managers Group Inc.	6,995	1,115
	New York Community Bancorp Inc.	124,633	1,107
	First American Financial Corp.	18,815	1,068
^*	Robinhood Markets Inc. Class A	104,566	1,053
	Pinnacle Financial Partners Inc.	14,049	1,041
	Starwood Property Trust Inc.	54,307	1,041
	Wintrust Financial Corp.	11,135	1,026
	Lincoln National Corp.	31,721	1,006
	RLI Corp.	7,288	1,005
^*,1	SoFi Technologies Inc.	151,037	997
	United Bankshares Inc.	24,110	983
	Glacier Bancorp Inc.	20,552	974
	Bank OZK	20,856	960
	Old National Bancorp	54,137	957
	Popular Inc.	13,253	946
	FNB Corp.	65,495	935
	OneMain Holdings Inc.	21,424	923
	Valley National Bancorp	79,622	922
	Hanover Insurance Group Inc.	6,597	920
	Cadence Bank	33,782	897
	Evercore Inc. Class A	6,814	894

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Houlihan Lokey Inc. Class A	9,336	893
	First Financial Bankshares Inc.	24,141	885
	Axis Capital Holdings Ltd.	14,461	878
	Home BancShares Inc.	34,898	841
	Essent Group Ltd.	19,537	839
	Hancock Whitney Corp.	15,984	785
	MGIC Investment Corp.	54,856	755
^*	Brighthouse Financial Inc.	12,832	742
	UMB Financial Corp.	8,135	738
^*	XP Inc. Class A	59,311	737
	Kemper Corp.	11,925	735
	Rithm Capital Corp.	80,300	731
	Umpqua Holdings Corp.	40,332	712
	Janus Henderson Group plc	25,534	701
	ServisFirst Bancshares Inc.	9,166	678
	Independent Bank Corp.	8,486	676
	Assured Guaranty Ltd.	10,769	672
	SLM Corp.	46,644	671
	Blackstone Mortgage Trust Inc. Class A	31,431	665
	First Hawaiian Inc.	23,968	656
	United Community Banks Inc.	19,719	653
	White Mountains Insurance Group Ltd.	450	650
	Associated Banc-Corp	27,829	644
	Radian Group Inc.	29,378	627
	Jackson Financial Inc. Class A	13,806	627
^*	Texas Capital Bancshares Inc.	9,262	613
	PacWest Bancorp	21,811	605
	Community Bank System Inc.	9,868	602
^*	Mr Cooper Group Inc.	12,865	597
	CVB Financial Corp.	24,619	589
	Ameris Bancorp	12,278	588
	First Interstate BancSystem Inc. Class A	16,500	586
	Lazard Ltd. Class A	15,482	578
	Cathay General Bancorp	13,370	574
	WSFS Financial Corp.	11,399	569
	Pacific Premier Bancorp Inc.	17,516	568
^*	Genworth Financial Inc. Class A	90,845	566
	BOK Financial Corp.	5,358	561
	American Equity Investment Life Holding Co.	13,318	555
	Bank of Hawaii Corp.	7,395	554
^*	Focus Financial Partners Inc. Class A	10,686	554
	CNO Financial Group Inc.	21,286	545

		Shares	Market Value• ($000)
^*	Credit Acceptance Corp.	1,200	533
	Fulton Financial Corp.	30,409	523
^*	Enstar Group Ltd.	2,137	523
	Atlantic Union Bankshares Corp.	13,971	523
	Hamilton Lane Inc. Class A	6,668	519
	BankUnited Inc.	14,535	515
^*	Axos Financial Inc.	10,745	509
	Simmons First National Corp. Class A	22,751	506
	Moelis & Co. Class A	11,754	503
	Walker & Dunlop Inc.	5,699	497
	First Bancorp	33,938	492
	International Bancshares Corp.	9,957	483
	Piper Sandler Cos.	3,178	480
	Arbor Realty Trust Inc.	30,781	464
	Eastern Bankshares Inc.	29,017	455
	Columbia Banking System Inc.	14,683	437
	First Merchants Corp.	10,668	437
	First Financial Bancorp	17,498	431
^*	Trupanion Inc.	7,231	429
	Washington Federal Inc.	12,008	421
	Banner Corp.	6,346	400
	Independent Bank Group Inc.	6,609	389
	Heartland Financial USA Inc.	7,735	382
	WesBanco Inc.	10,526	381
	Towne Bank	12,532	380
	Artisan Partners Asset Management Inc. Class A	11,217	370
	Renasant Corp.	10,222	368
	Navient Corp.	19,772	357
^*	NMI Holdings Inc. Class A	15,190	355
	Cohen & Steers Inc.	4,721	342
	Bank of NT Butterfield & Son Ltd.	9,305	336
	BancFirst Corp.	3,686	333
	Trustmark Corp.	11,129	327
	Virtu Financial Inc. Class A	17,747	326
	Provident Financial Services Inc.	13,730	321
	NBT Bancorp Inc.	7,635	310
	Stock Yards Bancorp Inc.	5,292	310
^*	PRA Group Inc.	7,236	308
	Hilltop Holdings Inc.	9,170	304
	Northwest Bancshares Inc.	21,565	298
	PennyMac Financial Services Inc.	4,897	296
	Chimera Investment Corp.	43,927	285
	BGC Partners Inc. Class A	58,309	283
	Hope Bancorp Inc.	21,769	279
	First Commonwealth Financial Corp.	17,429	279

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Horace Mann Educators Corp.	7,544	279
	S&T Bancorp Inc.	7,435	277
	Sandy Spring Bancorp Inc.	8,210	271
^*	Palomar Holdings Inc.	4,500	270
	City Holding Co.	2,726	268
	Two Harbors Investment Corp.	16,175	268
	Westamerica Bancorp	4,758	262
	Eagle Bancorp Inc.	5,903	259
	Virtus Investment Partners Inc.	1,224	258
^*	Triumph Financial Inc.	4,200	256
	Nelnet Inc. Class A	2,713	255
^*	Avantax Inc.	8,824	252
^*,1	Upstart Holdings Inc.	13,339	247
	Ladder Capital Corp. Class A	21,300	241
	Berkshire Hills Bancorp Inc.	8,085	235
	Employers Holdings Inc.	5,084	226
^*	Encore Capital Group Inc.	4,375	226
	CNA Financial Corp.	5,034	220
	PennyMac Mortgage Investment Trust	16,744	218
^*,1	Freedom Holding Corp.	3,000	218
	Live Oak Bancshares Inc.	6,200	214
	Safety Insurance Group Inc.	2,608	210
	MFA Financial Inc.	19,023	204
	Capitol Federal Financial Inc.	24,023	202
	ProAssurance Corp.	9,985	199
	Brookline Bancorp Inc.	13,653	177
	Argo Group International Holdings Ltd.	5,738	167
	Redwood Trust Inc.	20,905	159
	1st Source Corp.	3,089	154
^*,1	Marathon Digital Holdings Inc.	21,682	154
	Brightsphere Investment Group Inc.	6,093	153
	WisdomTree Inc.	24,328	145
^*	Open Lending Corp. Class A	20,112	142
^*	Lemonade Inc.	8,400	137
	TFS Financial Corp.	9,336	135
	ARMOUR Residential REIT Inc.	24,354	132
	Washington Trust Bancorp Inc.	3,131	132
^*	Columbia Financial Inc.	6,104	129
	BrightSpire Capital Inc. Class A	17,242	127
	Community Trust Bancorp Inc.	2,820	121
^*	SiriusPoint Ltd.	17,039	121

		Shares	Market Value• ($000)
	Kearny Financial Corp.	11,041	111
	iStar Inc.	12,900	99
^*,1	Silvergate Capital Corp. Class A	5,741	80
	Republic Bancorp Inc. Class A	1,648	73
	F&G Annuities & Life Inc.	3,329	68
			714,124
Health Care (15.0%)
	UnitedHealth Group Inc.	174,759	83,175
	AbbVie Inc.	330,132	50,807
	Merck & Co. Inc.	472,633	50,213
	Eli Lilly & Co.	157,436	48,997
	Pfizer Inc.	1,055,842	42,835
	Thermo Fisher Scientific Inc.	73,129	39,618
	Abbott Laboratories	320,327	32,584
	Danaher Corp.	120,919	29,931
	Bristol-Myers Squibb Co.	397,847	27,436
	Amgen Inc.	99,781	23,115
	Elevance Health Inc.	45,004	21,137
	Medtronic plc	249,667	20,672
	Gilead Sciences Inc.	234,415	18,877
	Stryker Corp.	65,588	17,242
	Cigna Group	55,925	16,336
^*	Intuitive Surgical Inc.	65,791	15,092
^*	Regeneron Pharmaceuticals Inc.	19,346	14,711
	Zoetis Inc. Class A	87,992	14,695
^*	Vertex Pharmaceuticals Inc.	47,772	13,868
^*	Boston Scientific Corp.	266,498	12,451
	Becton Dickinson & Co.	53,058	12,445
	Humana Inc.	23,612	11,688
	HCA Healthcare Inc.	40,331	9,819
^*	Edwards Lifesciences Corp.	115,318	9,276
^*	Moderna Inc.	61,984	8,604
^*	Dexcom Inc.	71,978	7,990
	Agilent Technologies Inc.	55,229	7,841
^*	Centene Corp.	106,169	7,262
^*	IDEXX Laboratories Inc.	15,300	7,241
^*	Biogen Inc.	26,763	7,222
^*	IQVIA Holdings Inc.	34,588	7,211
^*	Illumina Inc.	29,360	5,848
	ResMed Inc.	26,941	5,738
	Zimmer Biomet Holdings Inc.	39,185	4,854
^*	Seagen Inc.	25,372	4,559
^*	Align Technology Inc.	14,669	4,540
^*	Horizon Therapeutics plc	41,332	4,525
^*	Alnylam Pharmaceuticals Inc.	22,964	4,396
	West Pharmaceutical Services Inc.	13,798	4,374

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	Veeva Systems Inc. Class A	26,033	4,313
	Laboratory Corp. of America Holdings	16,517	3,953
	Baxter International Inc.	93,980	3,754
	Cardinal Health Inc.	48,959	3,707
^*	Hologic Inc.	45,898	3,655
^*	Insulet Corp.	12,824	3,544
	STERIS plc	18,675	3,511
^*	BioMarin Pharmaceutical Inc.	34,422	3,428
^*	ICON plc	15,064	3,399
	Cooper Cos. Inc.	9,043	2,957
	PerkinElmer Inc.	23,574	2,937
^*	Molina Healthcare Inc.	10,663	2,936
	Quest Diagnostics Inc.	21,149	2,926
^*	Avantor Inc.	113,877	2,775
^*	Incyte Corp.	34,046	2,621
	Viatris Inc.	226,533	2,582
	Royalty Pharma plc Class A	69,435	2,489
^*	Catalent Inc.	33,413	2,279
	Bio-Techne Corp.	29,032	2,109
	Teleflex Inc.	8,775	2,090
^*	Charles River Laboratories International Inc.	9,449	2,073
^*	United Therapeutics Corp.	8,340	2,052
^*	Exact Sciences Corp.	32,638	2,034
^*	Henry Schein Inc.	25,167	1,971
^*	Sarepta Therapeutics Inc.	15,748	1,923
^*	Bio-Rad Laboratories Inc. Class A	3,981	1,902
^*	Neurocrine Biosciences Inc.	17,721	1,827
^*	Repligen Corp.	10,376	1,809
^*	Penumbra Inc.	6,658	1,731
^*	Jazz Pharmaceuticals plc	11,495	1,614
	Universal Health Services Inc. Class B	11,572	1,546
	DENTSPLY SIRONA Inc.	40,098	1,527
^*	Novocure Ltd.	19,316	1,487
^*	Masimo Corp.	8,851	1,481
	Chemed Corp.	2,676	1,396
	Bruker Corp.	20,034	1,381
^*	Inspire Medical Systems Inc.	5,204	1,353
^*	Shockwave Medical Inc.	6,616	1,259
^*	Acadia Healthcare Co. Inc.	16,601	1,204
^*	Halozyme Therapeutics Inc.	24,668	1,184
^*	Envista Holdings Corp.	30,480	1,178
^*	Tenet Healthcare Corp.	19,910	1,165
	Organon & Co.	47,309	1,159
^*	Apellis Pharmaceuticals Inc.	17,379	1,138
^*	Karuna Therapeutics Inc.	5,571	1,111
	Encompass Health Corp.	18,170	1,027
^*	HealthEquity Inc.	15,514	1,011

		Shares	Market Value• ($000)
^*	Exelixis Inc.	59,054	1,009
^*	Elanco Animal Health Inc.	83,303	955
	Perrigo Co. plc	25,113	946
^*	Ionis Pharmaceuticals Inc.	26,319	945
^*	Lantheus Holdings Inc.	12,672	937
^*	Medpace Holdings Inc.	4,722	915
	Ensign Group Inc.	9,990	894
^*	Option Care Health Inc.	29,016	890
^*	Natera Inc.	18,310	889
^*	DaVita Inc.	10,372	853
^*	Intra-Cellular Therapies Inc.	16,988	833
^*	Globus Medical Inc. Class A	14,216	829
^*	10X Genomics Inc. Class A	17,088	812
^*	Alkermes plc	30,291	810
^*	Teladoc Health Inc.	30,070	797
^*	QuidelOrtho Corp.	9,067	788
^*	Oak Street Health Inc.	21,994	779
^*	Syneos Health Inc.	19,147	770
^*	Integra LifeSciences Holdings Corp.	13,568	755
^*	agilon health Inc.	35,142	745
^*	Merit Medical Systems Inc.	10,364	731
^*	Haemonetics Corp.	9,390	730
^*	Neogen Corp.	40,186	711
	Premier Inc. Class A	22,027	709
^*	Amicus Therapeutics Inc.	51,245	676
^*	Cytokinetics Inc.	15,401	668
^*	iRhythm Technologies Inc.	5,588	658
^*	ICU Medical Inc.	3,825	653
^*	CRISPR Therapeutics AG	13,034	643
^*	Madrigal Pharmaceuticals Inc.	2,368	642
^*	Intellia Therapeutics Inc.	15,806	635
^*	Arrowhead Pharmaceuticals Inc.	19,266	622
^*	Azenta Inc.	13,759	604
^*	PTC Therapeutics Inc.	13,073	571
^*	Guardant Health Inc.	18,281	565
^*	Prestige Consumer Healthcare Inc.	9,190	554
^*	Ultragenyx Pharmaceutical Inc.	12,450	554
^*	Denali Therapeutics Inc.	20,205	549
^*	Amedisys Inc.	5,949	547
^*	Axonics Inc.	9,107	547
^*	Evolent Health Inc. Class A	15,258	534
^*	Progyny Inc.	14,060	528
	Select Medical Holdings Corp.	19,403	528
	CONMED Corp.	5,387	518
^*	Insmed Inc.	25,185	513
^*	Inmode Ltd.	14,441	510
^*	Inari Medical Inc.	8,962	504
^*	STAAR Surgical Co.	8,827	489

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	Beam Therapeutics Inc.	11,803	475
^*	Blueprint Medicines Corp.	11,157	473
^*	LivaNova plc	9,942	470
^*	Integer Holdings Corp.	6,161	462
^*	ACADIA Pharmaceuticals Inc.	22,234	460
^*	Omnicell Inc.	8,303	452
^*	Signify Health Inc. Class A	15,000	432
^*	Tandem Diabetes Care Inc.	11,938	428
	Patterson Cos. Inc.	16,117	427
^*	NuVasive Inc.	9,709	420
^*	Axsome Therapeutics Inc.	6,018	410
^*	Sage Therapeutics Inc.	9,623	401
^*	NeoGenomics Inc.	23,488	396
^*	Glaukos Corp.	8,345	394
^*	TG Therapeutics Inc.	24,624	394
^*	Certara Inc.	21,566	391
^*	R1 RCM Inc.	27,465	390
^*	Mirati Therapeutics Inc.	8,248	378
^*	Pacific Biosciences of California Inc.	41,565	377
^*	REVOLUTION Medicines Inc.	13,897	372
^*	FibroGen Inc.	16,106	358
^*	Pacira BioSciences Inc.	8,285	353
^*	Supernus Pharmaceuticals Inc.	9,199	346
^*	Xencor Inc.	10,589	340
	Embecta Corp.	10,652	340
^*	Phreesia Inc.	9,200	339
^*	Corcept Therapeutics Inc.	15,744	328
^*	AtriCure Inc.	8,469	326
^*	Veracyte Inc.	13,102	322
^*	Surgery Partners Inc.	9,206	308
^*	BioCryst Pharmaceuticals Inc.	34,441	305
^*	Vir Biotechnology Inc.	13,375	305
^*	Sotera Health Co.	18,130	303
^*	Maravai LifeSciences Holdings Inc. Class A	20,350	300
^*	CorVel Corp.	1,643	296
^*	Ironwood Pharmaceuticals Inc. Class A	25,628	289
^*	Cerevel Therapeutics Holdings Inc.	10,612	283
^*	Myriad Genetics Inc.	14,462	274
^*	Arvinas Inc.	8,884	272
^*	Agios Pharmaceuticals Inc.	10,088	255
^*	Relay Therapeutics Inc.	15,718	254
^*	Pediatrix Medical Group Inc.	15,418	243
^*	Avanos Medical Inc.	8,522	239
^*	Ginkgo Bioworks Holdings Inc. Class A	159,691	235
^*	Privia Health Group Inc.	8,300	232
^*,1	Myovant Sciences Ltd.	8,500	229

		Shares	Market Value• ($000)
^*	Bridgebio Pharma Inc.	19,512	223
^*	Aurinia Pharmaceuticals Inc.	24,060	219
^*	SpringWorks Therapeutics Inc.	6,800	217
^*	AdaptHealth Corp. Class A	13,400	214
^*	Kymera Therapeutics Inc.	6,806	214
^*	Harmony Biosciences Holdings Inc.	4,800	211
^*	Recursion Pharmaceuticals Inc. Class A	25,730	210
^*	Owens & Minor Inc.	13,655	209
^*	Iovance Biotherapeutics Inc.	28,158	205
^*	Nevro Corp.	6,466	203
^*	Twist Bioscience Corp.	10,447	203
^*	Ligand Pharmaceuticals Inc.	2,774	200
^*	NextGen Healthcare Inc.	10,504	190
^*	Rocket Pharmaceuticals Inc.	9,900	190
	Healthcare Services Group Inc.	13,674	181
^*	Alignment Healthcare Inc.	18,206	181
^*	Biohaven Ltd.	11,703	179
^*	Adaptive Biotechnologies Corp.	20,606	176
^*,1	Cassava Sciences Inc.	7,026	174
^*	Arcus Biosciences Inc.	9,512	173
^*	Enanta Pharmaceuticals Inc.	3,542	172
^*	uniQure NV	8,200	172
^*	REGENXBIO Inc.	7,439	166
^*	Zentalis Pharmaceuticals Inc.	8,712	165
^*	CareDx Inc.	9,492	160
^*	Reata Pharmaceuticals Inc. Class A	5,106	159
^*	Innoviva Inc.	11,312	137
^*,1	Novavax Inc.	14,669	136
^*	Enhabit Inc.	8,823	135
^*	Theravance Biopharma Inc.	12,406	134
^*	Fulgent Genetics Inc.	4,000	131
^*	Varex Imaging Corp.	6,888	122
^*	Editas Medicine Inc. Class A	12,906	117
^*	Emergent BioSolutions Inc.	9,353	116
^*	American Well Corp. Class A	41,400	115
^*	Brookdale Senior Living Inc.	35,410	114
^*	Alector Inc.	11,500	98
^*	Fate Therapeutics Inc.	15,328	94
^*	Scilex Holding Co.	12,014	94
^*	Allogene Therapeutics Inc.	14,600	93

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	NanoString Technologies Inc.	9,206	90
^*,1	CureVac NV	10,412	90
^*	OPKO Health Inc.	76,136	87
^*	Atara Biotherapeutics Inc.	17,142	69
^*	Multiplan Corp.	67,250	68
^*,1	Sana Biotechnology Inc.	17,500	64
^*	OmniAb Inc.	13,592	57
^*	Taro Pharmaceutical Industries Ltd.	1,552	47
^*	Nektar Therapeutics Class A	33,400	46
^*,2	OmniAb Inc. 12.5 Earnout	1,051	—
^*,2	OmniAb Inc. 15 Earnout	1,051	—
			888,873
Industrials (11.3%)
	Visa Inc. Class A	307,572	67,647
	Mastercard Inc. Class A	158,944	56,471
	Accenture plc Class A	118,373	31,434
	United Parcel Service Inc. Class B	137,353	25,066
	Union Pacific Corp.	114,799	23,796
	Caterpillar Inc.	97,268	23,301
	Deere & Co.	51,488	21,586
	American Express Co.	112,482	19,571
	Automatic Data Processing Inc.	77,983	17,142
^*	PayPal Holdings Inc.	212,973	15,675
	Illinois Tool Works Inc.	57,074	13,307
^*	Fiserv Inc.	109,987	12,658
	CSX Corp.	392,282	11,961
	Sherwin-Williams Co.	44,673	9,888
	FedEx Corp.	44,843	9,113
	Johnson Controls International plc	128,587	8,065
	Trane Technologies plc	42,941	7,943
	Capital One Financial Corp.	71,097	7,755
^*	Block Inc. Class A	100,111	7,682
	Cintas Corp.	16,197	7,102
	Fidelity National Information Services Inc.	110,669	7,013
	PACCAR Inc.	95,520	6,897
	DuPont de Nemours Inc.	93,609	6,836
	Paychex Inc.	60,212	6,647
	Rockwell Automation Inc.	21,500	6,341
	Old Dominion Freight Line Inc.	18,542	6,291
^*	Mettler-Toledo International Inc.	4,114	5,898
	Global Payments Inc.	50,141	5,626
^*	Keysight Technologies Inc.	33,480	5,355
	Verisk Analytics Inc. Class A	29,023	4,966
	Equifax Inc.	22,750	4,608
	Vulcan Materials Co.	24,667	4,463
	Ingersoll Rand Inc.	75,779	4,400

		Shares	Market Value• ($000)
	Martin Marietta Materials Inc.	11,636	4,187
	Dover Corp.	26,082	3,910
	Westinghouse Air Brake Technologies Corp.	33,817	3,528
	Xylem Inc.	33,475	3,436
^*	Waters Corp.	10,998	3,419
	IDEX Corp.	14,181	3,190
	Expeditors International of Washington Inc.	29,625	3,098
^*	Fair Isaac Corp.	4,542	3,077
	Synchrony Financial	83,833	2,994
^*	FleetCor Technologies Inc.	13,445	2,888
^*	Zebra Technologies Corp. Class A	9,620	2,888
	JB Hunt Transport Services Inc.	15,368	2,778
^*	Axon Enterprise Inc.	12,646	2,533
	Carlisle Cos. Inc.	9,629	2,486
	Snap-on Inc.	9,843	2,448
^*	Trimble Inc.	46,009	2,395
	Stanley Black & Decker Inc.	27,538	2,358
	TransUnion	35,954	2,352
	Nordson Corp.	10,698	2,350
	Packaging Corp. of America	16,996	2,324
^*	Builders FirstSource Inc.	27,127	2,300
	Jack Henry & Associates Inc.	13,614	2,236
	Masco Corp.	41,995	2,202
	Graco Inc.	31,305	2,177
	CH Robinson Worldwide Inc.	21,697	2,169
	Toro Co.	19,468	2,150
	RPM International Inc.	23,836	2,113
	Regal Rexnord Corp.	12,374	1,951
^*	WillScot Mobile Mini Holdings Corp.	37,915	1,949
	Watsco Inc.	6,133	1,869
	Crown Holdings Inc.	21,477	1,858
	Allegion plc	16,348	1,843
	Owens Corning	17,384	1,700
	Knight-Swift Transportation Holdings Inc. Class A	29,141	1,656
	AGCO Corp.	11,570	1,629
	Genpact Ltd.	33,599	1,604
	Robert Half International Inc.	19,768	1,594
^*	WEX Inc.	8,134	1,568
^*	BILL Holdings Inc.	18,498	1,565
^*	Middleby Corp.	9,962	1,549
	Cognex Corp.	32,472	1,540
	A O Smith Corp.	23,336	1,532
	Lennox International Inc.	6,005	1,530
^*	AerCap Holdings NV	24,498	1,530

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Fortune Brands Innovations Inc.	24,135	1,495
	Westrock Co.	47,279	1,485
	Donaldson Co. Inc.	23,009	1,455
	Berry Global Group Inc.	23,401	1,453
^*	Paylocity Holding Corp.	7,473	1,439
	AptarGroup Inc.	12,263	1,431
	nVent Electric plc	30,926	1,418
^*	Generac Holdings Inc.	11,596	1,392
^*	WESCO International Inc.	8,299	1,374
	Graphic Packaging Holding Co.	57,008	1,357
^*	Saia Inc.	4,948	1,340
	Sealed Air Corp.	27,283	1,327
	Valmont Industries Inc.	3,903	1,239
^*	TopBuild Corp.	5,919	1,229
^*	Axalta Coating Systems Ltd.	41,023	1,222
	Landstar System Inc.	6,629	1,198
	Brunswick Corp.	13,489	1,179
	Littelfuse Inc.	4,495	1,163
	Acuity Brands Inc.	5,959	1,156
^*	FTI Consulting Inc.	6,237	1,146
^*	Atkore Inc.	7,667	1,120
^*	MasTec Inc.	11,343	1,108
	Sonoco Products Co.	18,114	1,070
	Advanced Drainage Systems Inc.	11,971	1,062
^*	Trex Co. Inc.	20,632	1,055
^*	Chart Industries Inc.	7,878	1,052
	MKS Instruments Inc.	10,762	1,043
	Applied Industrial Technologies Inc.	7,099	1,014
^*	Mohawk Industries Inc.	9,831	1,011
^*	ExlService Holdings Inc.	6,042	994
^*	GXO Logistics Inc.	19,767	980
	Eagle Materials Inc.	6,880	965
^*	Euronet Worldwide Inc.	8,839	962
	Comfort Systems USA Inc.	6,582	957
	Western Union Co.	71,791	930
	MSA Safety Inc.	6,894	926
	Maximus Inc.	11,239	922
^*	API Group Corp.	38,696	909
	Watts Water Technologies Inc. Class A	5,118	897
	Ryder System Inc.	9,060	887
	Simpson Manufacturing Co. Inc.	7,946	857
	Air Lease Corp. Class A	19,376	839
	Insperity Inc.	6,731	835
	Franklin Electric Co. Inc.	8,626	824
^*	Kirby Corp.	11,270	817
^*	ASGN Inc.	9,107	809
	ManpowerGroup Inc.	9,416	799
	Louisiana-Pacific Corp.	13,257	776
	Vontier Corp.	29,563	774

		Shares	Market Value• ($000)
	Triton International Ltd.	10,802	745
	AAON Inc.	8,156	742
	MSC Industrial Direct Co. Inc. Class A	8,630	729
	Terex Corp.	12,303	728
^*	Bloom Energy Corp. Class A	33,499	727
^*	AMN Healthcare Services Inc.	8,070	726
	GATX Corp.	6,561	716
	HB Fuller Co.	9,877	689
	Armstrong World Industries Inc.	8,522	672
	Herc Holdings Inc.	4,651	668
	Belden Inc.	7,894	666
	Badger Meter Inc.	5,425	660
^*	Summit Materials Inc. Class A	22,091	653
	John Bean Technologies Corp.	5,879	652
^*	O-I Glass Inc.	28,979	644
^*	XPO Inc.	19,219	641
	Encore Wire Corp.	3,250	627
^*	Beacon Roofing Supply Inc.	9,501	618
	Hillenbrand Inc.	12,863	606
^*	Alight Inc. Class A	63,100	606
^*	Shift4 Payments Inc. Class A	9,382	605
	Federal Signal Corp.	11,160	589
^*	SPX Technologies Inc.	8,258	582
^*	TriNet Group Inc.	6,905	572
	Brink's Co.	8,463	552
^*	Hub Group Inc. Class A	6,013	552
	Korn Ferry	9,866	551
	Werner Enterprises Inc.	11,795	548
	UniFirst Corp.	2,784	546
^*	Affirm Holdings Inc. Class A	39,952	544
^*	ACI Worldwide Inc.	20,718	536
	Scorpio Tankers Inc.	8,829	533
	Zurn Elkay Water Solutions Corp.	22,973	528
^*	Atlas Air Worldwide Holdings Inc.	5,200	524
	Forward Air Corp.	5,008	517
	Installed Building Products Inc.	4,378	505
^*	AZEK Co. Inc. Class A	20,528	495
	Kadant Inc.	2,204	473
	Brady Corp. Class A	8,539	471
^*	Marqeta Inc. Class A	80,766	468
	McGrath RentCorp	4,510	464
^*	Itron Inc.	8,294	463
^*	Dycom Industries Inc.	5,396	454
^*	Verra Mobility Corp. Class A	26,101	450

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	CBIZ Inc.	8,822	442
^*	StoneCo Ltd. Class A	51,268	436
	ArcBest Corp.	4,500	433
	Trinity Industries Inc.	15,180	424
	EVERTEC Inc.	11,267	415
	Helios Technologies Inc.	5,999	406
^*	RXO Inc.	19,018	391
	Bread Financial Holdings Inc.	9,312	382
^*	Masonite International Corp.	4,078	362
¹	ZIM Integrated Shipping Services Ltd.	15,100	357
	Granite Construction Inc.	8,197	354
	H&E Equipment Services Inc.	5,959	331
^*	Pagseguro Digital Ltd. Class A	36,241	314
^*	Core & Main Inc. Class A	13,200	308
^*	Gibraltar Industries Inc.	5,706	305
	Lindsay Corp.	2,028	305
	ADT Inc.	39,028	294
^*	Dlocal Ltd. Class A	19,268	288
	Schneider National Inc. Class B	9,954	279
^*	Gates Industrial Corp. plc	19,800	278
^*	OSI Systems Inc.	2,959	274
	Primoris Services Corp.	9,814	270
^*	Flywire Corp.	10,502	260
^*	Huron Consulting Group Inc.	3,676	258
^*,1	Virgin Galactic Holdings Inc.	44,736	257
	Tennant Co.	3,447	244
¹	Golden Ocean Group Ltd.	22,800	237
^*	Masterbrand Inc.	24,207	236
	TriMas Corp.	7,762	233
¹	Star Bulk Carriers Corp.	9,200	225
	SFL Corp. Ltd.	21,019	217
^*	Vivint Smart Home Inc.	17,500	197
^*	JELD-WEN Holding Inc.	14,938	196
	Astec Industries Inc.	4,260	192
^*	Kornit Digital Ltd.	9,294	191
	Greenbrier Cos. Inc.	5,862	188
^*	Enovix Corp.	20,418	188
	Apogee Enterprises Inc.	4,045	185
^*	CryoPort Inc.	8,100	175
^*	Proto Labs Inc.	5,100	160
^*	Green Dot Corp. Class A	8,401	159
^*	American Woodmark Corp.	3,062	156
^*	Hayward Holdings Inc.	12,500	154
	Trinseo plc	6,543	152
	Deluxe Corp.	8,064	149
^*	Legalzoom.com Inc.	17,500	143
	TTEC Holdings Inc.	3,470	140
	Heartland Express Inc.	8,511	137

		Shares	Market Value• ($000)
	Ardagh Metal Packaging SA	26,900	130
^*	Cimpress plc	3,228	113
^*	TrueBlue Inc.	5,741	107
	Matson Inc.	1,519	101
^*	FARO Technologies Inc.	3,492	95
^*,1	Desktop Metal Inc. Class A	47,900	73
^*	Forrester Research Inc.	2,169	71
^*	TuSimple Holdings Inc. Class A	26,206	50
^*,1	Arrival SA	15,900	4
			668,107
Real Estate (3.8%)
	Prologis Inc.	171,911	21,214
	American Tower Corp.	86,712	17,170
	Equinix Inc.	17,286	11,897
	Crown Castle Inc.	80,520	10,528
	Public Storage	29,193	8,727
	Realty Income Corp.	117,169	7,493
	Simon Property Group Inc.	60,926	7,438
	Welltower Inc.	88,287	6,544
	Digital Realty Trust Inc.	53,579	5,585
^*	CoStar Group Inc.	75,316	5,322
	SBA Communications Corp. Class A	19,882	5,156
^*	CBRE Group Inc. Class A	58,761	5,003
	Alexandria Real Estate Equities Inc.	30,225	4,527
	AvalonBay Communities Inc.	26,075	4,499
	Equity Residential	69,136	4,322
	Extra Space Storage Inc.	24,768	4,078
	Ventas Inc.	74,519	3,625
	Invitation Homes Inc.	113,900	3,561
	Mid-America Apartment Communities Inc.	21,439	3,432
	Sun Communities Inc.	22,710	3,251
	WP Carey Inc.	38,435	3,119
	Iron Mountain Inc.	53,788	2,837
	Essex Property Trust Inc.	12,099	2,759
	UDR Inc.	60,558	2,594
	Healthpeak Properties Inc.	100,492	2,418
	Kimco Realty Corp.	112,577	2,320
	Equity LifeStyle Properties Inc.	33,110	2,268
	Host Hotels & Resorts Inc.	132,366	2,224
	Camden Property Trust	19,350	2,221
	Rexford Industrial Realty Inc.	34,290	2,073
	Regency Centers Corp.	32,016	2,014
	CubeSmart	41,708	1,960
	Boston Properties Inc.	29,211	1,913
	Life Storage Inc.	15,672	1,889
	American Homes 4 Rent Class A	57,393	1,780

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
	Lamar Advertising Co. Class A	16,134	1,687
	Federal Realty Investment Trust	15,001	1,602
^*	Jones Lang LaSalle Inc.	8,924	1,557
	National Retail Properties Inc.	33,266	1,508
	Americold Realty Trust Inc.	50,132	1,474
	Healthcare Realty Trust Inc. Class A	70,746	1,380
	First Industrial Realty Trust Inc.	24,575	1,296
	Brixmor Property Group Inc.	55,464	1,256
	EastGroup Properties Inc.	7,687	1,255
^*	Zillow Group Inc. Class C	28,629	1,202
	Omega Healthcare Investors Inc.	43,830	1,174
	Agree Realty Corp.	16,201	1,147
	Medical Properties Trust Inc.	110,673	1,140
	STAG Industrial Inc.	33,417	1,124
	Spirit Realty Capital Inc.	26,040	1,072
	Apartment Income REIT Corp. Class A	27,892	1,054
	Ryman Hospitality Properties Inc.	9,978	926
	Terreno Realty Corp.	14,655	912
	Rayonier Inc.	27,090	910
	Kite Realty Group Trust	40,244	874
	Kilroy Realty Corp.	21,690	781
	Independence Realty Trust Inc.	41,488	751
	Cousins Properties Inc.	28,275	692
	PotlatchDeltic Corp.	14,744	681
	Essential Properties Realty Trust Inc.	26,188	675
	National Storage Affiliates Trust	15,948	675
	Apple Hospitality REIT Inc.	39,986	660
	Vornado Realty Trust	33,115	655
	Physicians Realty Trust	42,129	625
	Broadstone Net Lease Inc.	32,337	574
	Park Hotels & Resorts Inc.	41,679	573
^*	Howard Hughes Corp.	6,862	570
	EPR Properties	13,907	568
	Corporate Office Properties Trust	20,994	534
	LXP Industrial Trust	50,556	527
	Highwoods Properties Inc.	19,394	514
	Hannon Armstrong Sustainable Infrastructure Capital Inc.	16,026	503
	SITE Centers Corp.	36,369	486
	Macerich Co.	40,055	479
	Outfront Media Inc.	27,173	474
^*	Zillow Group Inc. Class A	11,238	465

		Shares	Market Value• ($000)
	Innovative Industrial Properties Inc.	5,185	458
	Douglas Emmett Inc.	31,437	444
	National Health Investors Inc.	7,786	428
	Four Corners Property Trust Inc.	15,474	420
	Equity Commonwealth	19,365	411
	Sunstone Hotel Investors Inc.	38,877	411
	SL Green Realty Corp.	12,082	411
^*	Cushman & Wakefield plc	29,300	379
	Kennedy-Wilson Holdings Inc.	22,036	368
	DigitalBridge Group Inc.	29,431	361
	Tanger Factory Outlet Centers Inc.	18,800	355
	CareTrust REIT Inc.	17,931	353
	Pebblebrook Hotel Trust	24,397	348
	JBG SMITH Properties	20,008	345
	DiamondRock Hospitality Co.	38,909	339
	RLJ Lodging Trust	29,929	339
	Urban Edge Properties	21,375	329
	Retail Opportunity Investments Corp.	22,600	322
	Elme Communities	16,377	305
	Xenia Hotels & Resorts Inc.	21,138	297
	St. Joe Co.	6,511	279
	Getty Realty Corp.	8,013	275
	Global Net Lease Inc.	19,042	269
	LTC Properties Inc.	7,353	263
^*	Veris Residential Inc.	15,914	257
	Acadia Realty Trust	17,518	255
	Alexander & Baldwin Inc.	13,599	254
	Uniti Group Inc.	44,198	243
	Hudson Pacific Properties Inc.	25,911	239
	American Assets Trust Inc.	9,328	235
	Apartment Investment & Management Co. Class A	27,900	209
	Piedmont Office Realty Trust Inc. Class A	22,371	205
	Newmark Group Inc. Class A	24,936	200
	Paramount Group Inc.	35,404	187
	Brandywine Realty Trust	31,193	184
	Empire State Realty Trust Inc. Class A	24,900	182
	Centerspace	2,789	175
	RPT Realty	15,423	165
	Marcus & Millichap Inc.	4,757	164
¹	eXp World Holdings Inc.	13,200	159
^*	Redfin Corp.	19,731	146
	Summit Hotel Properties Inc.	19,124	142

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	Opendoor Technologies Inc.	89,975	130
	Universal Health Realty Income Trust	2,431	129
^*	Anywhere Real Estate Inc.	19,737	114
	Orion Office REIT Inc.	10,800	92
	Saul Centers Inc.	2,184	86
^*,1	WeWork Inc.	39,708	46
			227,480
Technology (29.7%)
	Apple Inc.	2,807,855	413,906
	Microsoft Corp.	1,397,852	348,652
	NVIDIA Corp.	449,889	104,446
^*	Alphabet Inc. Class C	1,086,929	98,150
^*	Alphabet Inc. Class A	1,033,242	93,054
^*	Meta Platforms Inc. Class A	420,062	73,486
	Broadcom Inc.	73,790	43,853
^*	Salesforce Inc.	179,764	29,411
	Texas Instruments Inc.	169,491	29,059
^*	Adobe Inc.	86,720	28,093
	QUALCOMM Inc.	209,258	25,850
	Oracle Corp.	285,478	24,951
^*	Advanced Micro Devices Inc.	301,743	23,711
	Intuit Inc.	51,493	20,967
	Intel Corp.	764,445	19,058
	Applied Materials Inc.	160,412	18,632
^*	ServiceNow Inc.	37,381	16,155
	Lam Research Corp.	25,538	12,412
	Micron Technology Inc.	202,781	11,725
^*	Synopsys Inc.	28,433	10,343
^*	Palo Alto Networks Inc.	54,898	10,341
	KLA Corp.	26,465	10,040
^*	Cadence Design Systems Inc.	50,919	9,824
^*	Snowflake Inc. Class A	57,237	8,836
	NXP Semiconductors NV	48,330	8,626
^*	Autodesk Inc.	40,581	8,063
	Microchip Technology Inc.	99,342	8,050
^*	Fortinet Inc.	120,427	7,158
	Marvell Technology Inc.	158,386	7,151
^*	Workday Inc. Class A	37,276	6,914
^*	ON Semiconductor Corp.	81,005	6,271
	Cognizant Technology Solutions Corp. Class A	95,826	6,002
	HP Inc.	187,953	5,548
	CDW Corp.	25,207	5,102
	Corning Inc.	140,848	4,782
^*	Crowdstrike Holdings Inc. Class A	39,224	4,734
^*	Gartner Inc.	14,280	4,681
^*	Atlassian Corp. Class A	26,783	4,401
^*	VMware Inc. Class A	38,945	4,289
	Monolithic Power Systems Inc.	8,431	4,083

		Shares	Market Value• ($000)
^*	Datadog Inc. Class A	49,490	3,787
	Hewlett Packard Enterprise Co.	239,952	3,746
^*	Zoom Video Communications Inc. Class A	47,147	3,517
^*	VeriSign Inc.	17,318	3,409
^*	HubSpot Inc.	8,655	3,348
	Skyworks Solutions Inc.	29,979	3,345
^*	Cloudflare Inc. Class A	52,801	3,169
^*	EPAM Systems Inc.	10,288	3,165
^*	Splunk Inc.	30,395	3,115
	Teradyne Inc.	29,255	2,959
^*	Paycom Software Inc.	9,603	2,776
^*	Pinterest Inc. Class A	108,717	2,730
^*	Palantir Technologies Inc. Class A	343,535	2,693
	NetApp Inc.	40,523	2,616
^*	MongoDB Inc. Class A	12,431	2,605
^*	DoorDash Inc. Class A	46,732	2,554
^*	PTC Inc.	19,669	2,465
^*	Tyler Technologies Inc.	7,662	2,461
	SS&C Technologies Holdings Inc.	41,203	2,419
	Entegris Inc.	27,657	2,357
	Seagate Technology Holdings plc	36,027	2,326
^*	Check Point Software Technologies Ltd.	18,682	2,311
^*	Western Digital Corp.	59,326	2,283
^*	DocuSign Inc. Class A	36,932	2,266
^*	GoDaddy Inc. Class A	29,256	2,215
^*	Twilio Inc. Class A	32,532	2,186
^*	Lattice Semiconductor Corp.	25,348	2,154
^*	Match Group Inc.	51,868	2,148
^*	Akamai Technologies Inc.	28,850	2,094
	Amdocs Ltd.	22,535	2,064
^*	Zscaler Inc.	15,730	2,063
	Jabil Inc.	24,526	2,036
	Gen Digital Inc.	104,365	2,036
^*	Okta Inc. Class A	28,202	2,011
^*	Flex Ltd.	84,949	1,933
^*	Qorvo Inc.	18,867	1,903
^*	Ceridian HCM Holding Inc.	25,589	1,866
^*	Black Knight Inc.	28,877	1,721
^*	Wolfspeed Inc.	22,991	1,701
^*	Dynatrace Inc.	39,919	1,698
^*	Manhattan Associates Inc.	11,531	1,658
^*	F5 Inc.	11,057	1,581
^*	Pure Storage Inc. Class A	52,413	1,496
^*,1	Unity Software Inc.	46,222	1,407
^*	Arrow Electronics Inc.	11,379	1,343
^*	Globant SA	7,546	1,246
	National Instruments Corp.	24,591	1,242

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	ZoomInfo Technologies Inc. Class A	51,206	1,238
^*	Nutanix Inc. Class A	42,816	1,210
^*	DXC Technology Co.	42,945	1,191
^*	Coupa Software Inc.	14,058	1,139
	Universal Display Corp.	8,111	1,102
^*	Silicon Laboratories Inc.	6,151	1,098
^*	CyberArk Software Ltd.	7,581	1,097
	Concentrix Corp.	7,920	1,084
^*	Aspen Technology Inc.	5,065	1,074
^*	Guidewire Software Inc.	15,290	1,073
^*	Cirrus Logic Inc.	10,226	1,051
^*	Smartsheet Inc. Class A	23,780	1,047
^*	UiPath Inc. Class A	70,465	1,046
^*	Novanta Inc.	6,570	1,031
^*	Dropbox Inc. Class A	49,972	1,019
^*	SPS Commerce Inc.	6,688	1,007
	Dolby Laboratories Inc. Class A	11,356	934
^*	Wix.com Ltd.	10,306	933
^*	Tenable Holdings Inc.	20,817	921
	Vertiv Holdings Co. Class A	56,454	917
^*	Toast Inc. Class A	47,586	900
^*	Clarivate plc	88,331	895
^*	Procore Technologies Inc.	13,332	893
^*	Rambus Inc.	19,868	879
^*	Box Inc. Class A	26,100	870
^*	Synaptics Inc.	7,368	867
	Power Integrations Inc.	10,499	864
^*	Five9 Inc.	13,076	863
^*	Elastic NV	14,416	851
	TD SYNNEX Corp.	8,747	844
^*	Qualys Inc.	7,126	842
^*	Super Micro Computer Inc.	8,578	840
^*	Fabrinet	6,837	833
^*	Workiva Inc. Class A	8,895	793
^*	Teradata Corp.	19,195	782
^*	Insight Enterprises Inc.	5,818	779
^*,1	GLOBALFOUNDRIES Inc.	11,816	772
^*	Onto Innovation Inc.	9,259	764
^*	Diodes Inc.	8,283	759
	Avnet Inc.	16,930	757
^*	Alteryx Inc. Class A	11,295	738
^*	New Relic Inc.	9,917	724
^*	Blackline Inc.	10,275	702
^*	Ziff Davis Inc.	8,461	668
	Advanced Energy Industries Inc.	7,053	656
^*	Envestnet Inc.	10,293	643
^*	Ambarella Inc.	6,786	640
^*	Altair Engineering Inc. Class A	9,804	628
^*	NCR Corp.	23,708	605
^*	Confluent Inc. Class A	23,345	569
	Dun & Bradstreet Holdings Inc.	47,060	565

		Shares	Market Value• ($000)
	Kulicke & Soffa Industries Inc.	10,526	561
^*	Varonis Systems Inc. Class B	20,395	552
^*	Allegro MicroSystems Inc.	12,300	537
^*	RingCentral Inc. Class A	15,948	527
^*	Sprout Social Inc. Class A	8,641	527
^*	Rogers Corp.	3,502	515
	Vishay Intertechnology Inc.	24,146	513
^*	Rapid7 Inc.	10,632	503
^*	CommVault Systems Inc.	8,317	490
	Amkor Technology Inc.	18,824	485
^*	Blackbaud Inc.	8,618	480
^*	PagerDuty Inc.	16,018	478
^*	Appfolio Inc. Class A	3,600	475
^*	MaxLinear Inc. Class A	13,425	459
^*,1	MicroStrategy Inc. Class A	1,746	458
	Progress Software Corp.	7,966	458
^*	Alarm.com Holdings Inc.	8,914	453
^*	Perficient Inc.	6,314	447
^*	Verint Systems Inc.	11,699	437
^*	Global-e Online Ltd.	15,231	431
^*	FormFactor Inc.	14,277	430
^*	DigitalOcean Holdings Inc.	12,793	409
^*	Gitlab Inc. Class A	9,106	401
^*	Bumble Inc. Class A	16,002	387
^*	Yelp Inc. Class A	12,536	376
^*	SiTime Corp.	3,013	374
^*	Semtech Corp.	12,003	370
^*	NetScout Systems Inc.	12,757	363
^*	DoubleVerify Holdings Inc.	13,506	355
	Pegasystems Inc.	7,642	354
^*	nCino Inc.	12,900	352
	Xerox Holdings Corp.	21,168	349
^*	Monday.com Ltd.	2,200	340
^*	Veradigm Inc.	20,086	334
	Shutterstock Inc.	4,358	328
^*	Q2 Holdings Inc.	10,124	327
	CSG Systems International Inc.	5,801	326
	Methode Electronics Inc.	6,700	326
^*	Cargurus Inc. Class A	18,925	323
^*	Appian Corp. Class A	7,455	309
^*	Fastly Inc. Class A	21,440	298
^*	LiveRamp Holdings Inc.	12,247	289
^*	CCC Intelligent Solutions Holdings Inc.	32,200	289
^*	JFrog Ltd.	12,400	285
^*	Magnite Inc.	24,506	273
^*	Duck Creek Technologies Inc.	14,300	271
^*	Jamf Holding Corp.	12,306	261
	Adeia Inc.	26,500	261
^*	Upwork Inc.	22,413	254
^*	Paycor HCM Inc.	10,200	253
	CTS Corp.	5,738	249

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
^*	C3.ai Inc. Class A	10,800	244
^*	Everbridge Inc.	7,400	242
^*	E2open Parent Holdings Inc.	37,524	233
^*	3D Systems Corp.	23,663	232
^*	Fiverr International Ltd.	5,753	228
^*	Schrodinger Inc.	9,700	211
^*	Asana Inc. Class A	13,651	202
^*	Cerence Inc.	7,256	199
^*	PROS Holdings Inc.	7,568	197
^*	Digital Turbine Inc.	17,342	186
^*	TechTarget Inc.	4,900	185
^*	Momentive Global Inc.	23,886	165
^*	Stratasys Ltd.	12,376	160
^*	Yext Inc.	21,047	154
^*	N-able Inc.	12,937	153
^*	ScanSource Inc.	4,696	146
^*	Consensus Cloud Solutions Inc.	3,507	144
^*	LivePerson Inc.	13,006	132
^*	Matterport Inc.	42,900	131
^*	Thoughtworks Holding Inc.	15,300	113
^*	BigCommerce Holdings Inc.	11,500	109
^*	IonQ Inc.	21,984	104
^*,1	MicroVision Inc.	31,500	81
^*	SolarWinds Corp.	8,638	74
^*,2	Yandex NV Class A	54,882	—
			1,759,958
Telecommunications (2.9%)
	Cisco Systems Inc.	767,785	37,176
	Verizon Communications Inc.	785,276	30,477
	Comcast Corp. Class A	801,578	29,795
	AT&T Inc.	1,337,464	25,291
^*	T-Mobile US Inc.	111,341	15,830
	Motorola Solutions Inc.	30,752	8,082
^*	Charter Communications Inc. Class A	20,048	7,370
^*	Arista Networks Inc.	45,961	6,375
	Juniper Networks Inc.	59,631	1,835
^*	Roku Inc. Class A	22,783	1,474
^*	Ciena Corp.	27,542	1,328
	Frontier Communications Parent Inc.	45,662	1,249
^*	Liberty Global plc Class C	41,777	888
^*	Liberty Global plc Class A	38,074	780
	Cable One Inc.	1,116	771
^*	Lumentum Holdings Inc.	12,635	680
	Lumen Technologies Inc.	191,077	650
^*	Calix Inc.	10,680	546
^*	DISH Network Corp. Class A	46,523	531
	Cogent Communications Holdings Inc.	8,045	521
^*	Viavi Solutions Inc.	42,049	460

		Shares	Market Value• ($000)
	InterDigital Inc.	5,455	398
^*	CommScope Holding Co. Inc.	37,903	274
	Telephone & Data Systems Inc.	18,869	239
^*	Liberty Latin America Ltd. Class C	26,426	232
	Ubiquiti Inc.	800	215
	Shenandoah Telecommunications Co.	8,700	170
^*	EchoStar Corp. Class A	6,100	122
^*	8x8 Inc.	21,456	114
^*	Liberty Latin America Ltd. Class A	7,448	66
^*	Xperi Inc.	1,120	13
			173,952
Utilities (0.6%)
	Waste Management Inc.	76,648	11,479
	Republic Services Inc. Class A	38,464	4,959
	American Water Works Co. Inc.	34,027	4,777
	Atmos Energy Corp.	25,694	2,899
	Essential Utilities Inc.	43,140	1,846
^*	Clean Harbors Inc.	9,524	1,258
^*	Sunrun Inc.	38,898	935
	New Jersey Resources Corp.	17,836	910
^*	Stericycle Inc.	17,204	820
	ONE Gas Inc.	10,031	804
	Southwest Gas Holdings Inc.	12,464	785
	Ormat Technologies Inc.	9,138	772
^*	Casella Waste Systems Inc. Class A	9,201	716
	Spire Inc.	9,508	669
	California Water Service Group	10,131	580
	SJW Group	4,968	380
^*	Sunnova Energy International Inc.	18,306	326
	Northwest Natural Holding Co.	6,400	309
^*	Harsco Corp.	14,734	125
			35,349
Total Common Stocks (Cost $5,969,088)			5,897,738

Table of Contents

ESG U.S. Stock ETF

		Shares	Market Value• ($000)
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
^3,4	Vanguard Market Liquidity Fund, 4.640% (Cost $32,608)	326,136	32,611
Total Investments (100.1%) (Cost $6,001,696)			5,930,349
Other Assets and Liabilities—Net (-0.1%)			(5,811)
Net Assets (100%)			5,924,538

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 $11,368,000.
2	Security value determined using significant unobservable inputs.
3	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4	Collateral of $12,083,000 was received for securities on loan.

REIT—Real Estate Investment Trust.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2023	140	27,829	(267)

See accompanying Notes, which are an integral part of the Financial Statements.

Table of Contents

ESG U.S. Stock ETF

Statement of Assets and Liabilities

As of February 28, 2023


($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value¹
Unaffiliated Issuers (Cost $5,969,088)	5,897,738
Affiliated Issuers (Cost $32,608)	32,611
Total Investments in Securities	5,930,349
Investment in Vanguard	217
Cash Collateral Pledged—Futures Contracts	1,403
Receivables for Investment Securities Sold	348
Receivables for Accrued Income	6,017
Total Assets	5,938,334
Liabilities
Due to Custodian	1,379
Payables for Investment Securities Purchased	58
Collateral for Securities on Loan	12,083
Payables for Capital Shares Redeemed	2
Payables to Vanguard	193
Variation Margin Payable—Futures Contracts	81
Total Liabilities	13,796
Net Assets	5,924,538
1 Includes $11,368,000 of securities on loan.
At February 28, 2023, net assets consisted of:

Paid-in Capital	6,024,192
Total Distributable Earnings (Loss)	(99,654)
Net Assets	5,924,538

Net Assets
Applicable to 85,125,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	5,924,538
Net Asset Value Per Share	$69.60

See accompanying Notes, which are an integral part of the Financial Statements.

Table of Contents

ESG U.S. Stock ETF

Statement of Operations


	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends¹	41,164
Interest²	223
Securities Lending—Net	503
Total Income	41,890
Expenses
The Vanguard Group—Note B
Investment Advisory Services	70
Management and Administrative	2,248
Marketing and Distribution	157
Custodian Fees	24
Shareholders’ Reports	67
Trustees’ Fees and Expenses	1
Other Expenses	6
Total Expenses	2,573
Net Investment Income	39,317
Realized Net Gain (Loss)
Investment Securities Sold^2,3	62,562
Futures Contracts	(523)
Realized Net Gain (Loss)	62,039
Change in Unrealized Appreciation (Depreciation)
Investment Securities²	(52,401)
Futures Contracts	311
Change in Unrealized Appreciation (Depreciation)	(52,090)
Net Increase (Decrease) in Net Assets Resulting from Operations	49,266

1	Dividends are net of foreign withholding taxes of $27,000.
2	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $210,000, $1,000, less than $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
3	Includes $83,457,000 of net gain (loss) resulting from in-kind redemptions.

See accompanying Notes, which are an integral part of the Financial Statements.

Table of Contents

ESG U.S. Stock ETF

Statement of Changes in Net Assets


	Six Months Ended February 28, 2023	Year Ended August 31, 2022
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	39,317	69,924
Realized Net Gain (Loss)	62,039	21,517
Change in Unrealized Appreciation (Depreciation)	(52,090)	(1,199,724)
Net Increase (Decrease) in Net Assets Resulting from Operations	49,266	(1,108,283)
Distributions
Total Distributions	(46,316)	(64,814)
Capital Share Transactions
Issued	268,460	2,042,647
Issued in Lieu of Cash Distributions	—	—
Redeemed	(247,130)	(228,692)
Net Increase (Decrease) from Capital Share Transactions	21,330	1,813,955
Total Increase (Decrease)	24,280	640,858
Net Assets
Beginning of Period	5,900,258	5,259,400
End of Period	5,924,538	5,900,258

See accompanying Notes, which are an integral part of the Financial Statements.

Table of Contents

ESG U.S. Stock ETF

Financial Highlights

For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,			September 18, 2018¹ to August 31, 2019
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	2022	2021	2020	September 18, 2018¹ to August 31, 2019
Net Asset Value, Beginning of Period	$69.60	$84.42	$64.47	$51.25	$50.00
Investment Operations
Net Investment Income²	.463	.921	.873	.846	.792
Net Realized and Unrealized Gain (Loss) on Investments	.084	(14.856)	19.844	13.146	.868
Total from Investment Operations	.547	(13.935)	20.717	13.992	1.660
Distributions
Dividends from Net Investment Income	(.547)	(.885)	(.767)	(.772)	(.410)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(.547)	(.885)	(.767)	(.772)	(.410)
Net Asset Value, End of Period	$69.60	$69.60	$84.42	$64.47	$51.25
Total Return	0.82%	-16.61%	32.41%	27.60%	3.40%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$5,925	$5,900	$5,259	$1,974	$595
Ratio of Total Expenses to Average Net Assets	0.09%	0.09%	0.09%	0.12%	0.12%³
Ratio of Net Investment Income to Average Net Assets	1.38%	1.18%	1.18%	1.54%	1.67%³
Portfolio Turnover Rate⁴	2%	7%	6%	6%	6%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Inception.
2	Calculated based on average shares outstanding.
3	Annualized.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

Table of Contents

ESG U.S. Stock ETF

Notes to Financial Statements

Vanguard ESG U.S. Stock ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations,

Table of Contents

ESG U.S. Stock ETF

which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and

Table of Contents

ESG U.S. Stock ETF

borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $217,000, representing less than 0.01% of the fund’s net assets and 0.09% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.

Table of Contents

ESG U.S. Stock ETF

The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	5,897,644	94	—	5,897,738
Temporary Cash Investments	32,611	—	—	32,611
Total	5,930,255	94	—	5,930,349

Derivative Financial Instruments
Liabilities
Futures Contracts¹	267	—	—	267

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 February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	6,004,623
Gross Unrealized Appreciation	715,504
Gross Unrealized Depreciation	(790,045)
Net Unrealized Appreciation (Depreciation)	(74,541)

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $95,408,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

E. During the six months ended February 28, 2023, the fund purchased $360,100,000 of investment securities and sold $354,714,000 of investment securities, other than temporary cash investments. Purchases and sales include $259,612,000 and $247,026,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $26,039,000 and sales were $14,640,000, resulting in net realized loss of $6,131,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

Table of Contents

Connect with Vanguard^®>vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected].

Q43932 042023

Six Months Ended February 28, 2023
ESG U.S. Stock ETF	Beginning Account Value 8/31/2022	Ending Account Value 2/28/2023	Expenses Paid During Period
Based on Actual Fund Return	$1,000.00	$1,008.20	$0.45
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.35	0.45

	Six Months Ended February 28, 2023	Year Ended August 31, 2022
	Shares (000)	Shares (000)
Issued	4,025	25,425
Issued in Lieu of Cash Distributions	—	—
Redeemed	(3,675)	(2,950)
Net Increase (Decrease) in Shares Outstanding	350	22,475