Annual Report   |   November 30, 2022
Vanguard U.S. Factor ETFs
Vanguard U.S. Minimum Volatility ETF
Vanguard U.S. Momentum Factor ETF
Vanguard U.S. Multifactor ETF
Vanguard U.S. Quality Factor ETF
Vanguard U.S. Value Factor ETF
Contents
Your Fund’s Performance at a Glance
 1
Advisor's Report
 2
About Your Fund’s Expenses
 4
U.S. Minimum Volatility ETF
 6
U.S. Momentum Factor ETF
 20
U.S. Multifactor ETF
 38
U.S. Quality Factor ETF
 55
U.S. Value Factor ETF
 73
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
• Vanguard’s five U.S. Factor ETFs posted returns ranging from about –7% to nearly 8% (based on net asset value) for the 12 months ended November 30, 2022. Despite a challenging economic and investment environment, all five ETFs beat the –10.80% return of their benchmark, the Russell 3000 Index.
• The economic backdrop deteriorated early on as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which increased fears of a recession.
• The U.S. Factor ETFs seek to provide long-term capital appreciation by investing in stocks that have lower or higher measures of certain factors relative to the broad U.S. equity market.
• Vanguard U.S. Value Factor ETF performed best among the group, returning 7.63% based on net asset value. Energy, information technology, and financials produced the strongest relative performance. Vanguard U.S. Quality Factor ETF had the lowest return, at –7.15% based on net asset value.
Market Barometer
  Average Annual Total Returns
Periods Ended November 30, 2022
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) -10.66% 10.56% 10.69%
Russell 2000 Index (Small-caps) -13.01 6.44 5.45
Russell 3000 Index (Broad U.S. market) -10.80 10.28 10.33
FTSE All-World ex US Index (International) -11.40 2.23 1.86
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) 		-12.91% -2.56% 0.24%
Bloomberg Municipal Bond Index
(Broad tax-exempt market) 		-8.64 -0.77 1.40
FTSE Three-Month U.S. Treasury Bill Index 1.16 0.64 1.19
CPI      
Consumer Price Index 7.11% 5.00% 3.83%
1
Advisor’s Report
For the 12 months ended November 30, 2022, Vanguard’s five U.S. Factor ETFs posted returns (based on net asset value) ranging from –7.15% for the U.S. Quality Factor ETF to 7.63% for the U.S. Value Factor ETF. All five ETFs outpaced their benchmark, the Russell 3000 Index, which returned –10.80%.
The objective of each U.S. Factor ETF is to create a portfolio that has broad exposure to large-, mid-, and small-capitalization U.S. equities and that has the potential for long-term capital appreciation, subject to rules-based screens as follows:
• Vanguard U.S. Minimum Volatility ETF seeks to build a portfolio of stocks with lower volatility relative to the broad U.S. equity market.
• Vanguard U.S. Momentum Factor ETF seeks exposure to stocks with relatively strong recent performance as identified by measures such as returns over different periods.
• Vanguard U.S. Multifactor ETF seeks exposure to stocks with relatively strong recent performance, strong fundamentals, and low prices relative to fundamentals.
• Vanguard U.S. Quality Factor ETF seeks exposure to stocks with strong fundamentals as identified by measures such as profitability, earnings, and balance-sheet strength.
• Vanguard U.S. Value Factor ETF seeks exposure to stocks with lower prices
relative to fundamental measures of value such as book/price and earnings/price ratios.
The investment environment
Concerns that had been weighing on market sentiment in late 2021 carried into 2022. Supply-chain bottlenecks persisted, labor remained in short supply in some sectors of the economy as unemployment rates continued to fall, and year-on-year inflation readings—which had been accelerating—climbed to multidecade highs across much of the world.
In late February, Russia’s invasion of Ukraine injected more uncertainty into the markets. Oil headed north of $100 per barrel and staple food prices soared. While energy prices eventually began to cool amid slowing economic growth and the U.S. government’s release of some of its strategic oil reserves to boost supply, price increases broadened to other categories of goods and services, heightening concerns that inflation might remain stubbornly high.
In response, major central banks wound down their bond-purchasing programs and began raising short-term interest rates. The Federal Reserve was especially aggressive, raising the federal funds rate target by 3.75 percentage points over eight months.
That created a very challenging environment for stocks. For the 12 months, the FTSE Global All Cap Index returned –11.30%. The U.S. stock market returned –9.21%, as measured by the Standard & Poor’s 500 Index, holding up
 
2
better than developed markets outside the United States and emerging markets. Large-capitalization stocks did better than small-caps, and value stocks outpaced growth by a wide margin.
The ETFs’ successes and shortfalls
For the 12-month period, the market tended to reward strategies that favored companies with consistent earnings growth at attractive valuations. Sector exposure affected the ETFs differently based on the factors each seeks to emphasize:
• The U.S. Minimum Volatility ETF benefited in particular from its positions in information technology, consumer discretionary, and health care. Energy was the only sector that detracted.
• The U.S. Momentum Factor ETF was aided most by an overweight position in energy, an underweight to communication services, and selection in consumer discretionary. Relative outperformance was somewhat offset by selection in a few sectors, most notably health care, industrials, and financials.
• The U.S. Multifactor ETF benefited most from its positions in energy, information technology, and communication services but was held back somewhat by its holdings in utilities.
• The U.S. Quality Factor ETF benefited most from its positions in information technology, consumer discretionary, and communication services. Several sectors detracted, including industrials, utilities, and health care.
• The U.S. Value Factor ETF was helped most by its positions in energy, information technology, and financials. Utilities and consumer staples detracted.
We expect our approach to portfolio construction to produce long-term capital appreciation that reflects the factors emphasized by each of the U.S. Factor ETF portfolios. Results will vary over different periods and across factors. However, we believe that focusing on the risk-adjusted returns of each portfolio relative to its targeted factors and the benchmark will serve investors well over time.
We thank you for your investment and look forward to serving you in the period ahead.
John Ameriks, Ph.D.,
Principal and Global Head
of Vanguard Quantitative Equity Group
December 10, 2022
3
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.
4
Six Months Ended November 30, 2022      
  Beginning
Account Value
5/31/2022 		Ending
Account Value
11/30/2022 		Expenses
Paid During
Period
Based on Actual Fund Return      
U.S. Minimum Volatility ETF $1,000.00 $1,031.90 $0.66
U.S. Momentum Factor ETF $1,000.00 $1,038.10 $0.66
U.S. Multifactor ETF $1,000.00 $1,056.30 $0.93
U.S. Quality Factor ETF $1,000.00 $1,047.30 $0.67
U.S. Value Factor ETF $1,000.00 $1,017.90 $0.66
Based on Hypothetical 5% Yearly Return      
U.S. Minimum Volatility ETF $1,000.00 $1,024.42 $0.66
U.S. Momentum Factor ETF $1,000.00 $1,024.42 $0.66
U.S. Multifactor ETF $1,000.00 $1,024.17 $0.91
U.S. Quality Factor ETF $1,000.00 $1,024.42 $0.66
U.S. Value Factor ETF $1,000.00 $1,024.42 $0.66
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are 0.13% for the U.S. Minimum Volatility ETF, 0.13% for the U.S. Momentum Factor ETF, 0.18% for the U.S. Multifactor ETF,
0.13% for the U.S. Quality Factor ETF, and 0.13% for the U.S. Value Factor ETF. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/365).
5
U.S. Minimum Volatility ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2022
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended November 30, 2022 		 
    One
Year 		Since
Inception
(2/13/2018) 		Final Value
of a $10,000
Investment
U.S. Minimum Volatility ETF Net Asset Value 4.46% 9.03% $15,138
  U.S. Minimum Volatility ETF Market Price 4.43 9.02 15,132
Russell 3000 Index -10.80 10.69 16,272
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2022
  One
Year 		Since
Inception
(2/13/2018)
U.S. Minimum Volatility ETF Market Price 4.43% 51.32%
U.S. Minimum Volatility ETF Net Asset Value 4.46 51.38
Russell 3000 Index -10.80 62.72
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
6
U.S. Minimum Volatility ETF
Fund Allocation
As of November 30, 2022
Basic Materials 0.3%
Consumer Discretionary 11.4
Consumer Staples 12.2
Energy 2.5
Financials 15.4
Health Care 17.8
Industrials 7.5
Real Estate 1.5
Technology 16.9
Telecommunications 7.0
Utilities 7.5
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 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.
7
U.S. Minimum Volatility ETF
Financial Statements
Schedule of Investments
As of November 30, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value•

($000)
Common Stocks (99.4%)
Basic Materials (0.3%)
  Newmont Corp.  2,828      134
  NewMarket Corp.    230       73
  Fastenal Co.    351       18
           225
Consumer Discretionary (11.3%)
  Dollar General Corp.  3,880      992
* Grand Canyon Education Inc.  8,419      952
  Electronic Arts Inc.  7,069      924
* Liberty Media Corp.- Liberty Braves Class C 26,794      873
  Service Corp. International 11,105      793
  McDonald's Corp.  2,646      722
  H&R Block Inc. 14,466      632
1 Sirius XM Holdings Inc. 97,081      630
  Walmart Inc.  3,481      531
  Madison Square Garden Sports Corp.  2,677      436
* Liberty Media Corp.- Liberty Braves Class A  9,750      323
* Knowles Corp. 18,141      283
  World Wrestling Entertainment Inc. Class A  3,046      243
  Laureate Education Inc. Class A 18,854      198
  Scholastic Corp.  4,726      194
* QuinStreet Inc.  9,527      136
  Domino's Pizza Inc.    281      109
  Target Corp.    495       83
  Hasbro Inc.    709       45
  Johnson Outdoors Inc. Class A    696       39
* Bright Horizons Family Solutions Inc.    259       19
  Costco Wholesale Corp.      1        1
         9,158
Consumer Staples (12.1%)
  Church & Dwight Co. Inc. 14,862    1,217
  Colgate-Palmolive Co. 12,318      954
  Hershey Co.  3,542      833
  Procter & Gamble Co.  4,903      731
  Altria Group Inc. 15,362      716
  Flowers Foods Inc. 22,905      688
  PetMed Express Inc. 33,148      656
  CVS Health Corp.  5,774      588
  John B Sanfilippo & Son Inc.  6,837      579
  Kimberly-Clark Corp.  4,093      555
  McKesson Corp.  1,183      452
    Shares Market
Value•

($000)
  Kellogg Co.  6,011      439
  Hormel Foods Corp.  8,266      389
  Mondelez International Inc. Class A  4,946      334
  Universal Corp.  3,819      217
  Coca-Cola Co.  2,670      170
  Lancaster Colony Corp.    365       76
  PepsiCo Inc.    369       68
  Kroger Co.  1,257       62
  Weis Markets Inc.    246       21
* USANA Health Sciences Inc.    303       17
         9,762
Energy (2.5%)
  Chevron Corp.  6,526    1,196
  Williams Cos. Inc. 16,608      576
  Kinder Morgan Inc. 12,833      246
         2,018
Financials (15.3%)
  Safety Insurance Group Inc. 13,083    1,200
* Enstar Group Ltd.  5,337    1,163
  First Financial Corp. 23,410    1,125
  Northwest Bancshares Inc. 62,237      952
  Westamerica BanCorp 13,365      825
  White Mountains Insurance Group Ltd.    460      625
  Waterstone Financial Inc. 36,878      618
* Columbia Financial Inc. 26,081      576
  City Holding Co.  5,561      567
  AMERISAFE Inc.  8,473      503
  Broadridge Financial Solutions Inc.  3,006      448
  Travelers Cos. Inc.  1,856      352
  Intercontinental Exchange Inc.  2,976      322
  CME Group Inc.  1,795      317
  Great Southern Bancorp Inc.  4,868      305
  Capitol Federal Financial Inc. 29,679      248
  Camden National Corp.  5,190      227
  Stock Yards Bancorp Inc.  3,037      225
  Donegal Group Inc. Class A 13,731      204
* Blue Foundry Bancorp 14,743      193
  Community Trust Bancorp Inc.  3,920      188
  Mercury General Corp.  4,933      179
  CVB Financial Corp.  6,181      177
  TFS Financial Corp. 11,102      152
  HarborOne Bancorp Inc.  9,369      137
  Horace Mann Educators Corp.  2,319       90
  HomeTrust Bancshares Inc.  2,870       73
  Southside Bancshares Inc.  1,733       63
8
U.S. Minimum Volatility ETF
    Shares Market
Value•

($000)
  Bank of Marin Bancorp  1,621       58
  TrustCo Bank Corp. NY  1,300       51
  Employers Holdings Inc.    936       44
  Farmers National Banc Corp.  2,727       42
  Bank First Corp.    409       39
  First of Long Island Corp.  1,786       35
  Macatawa Bank Corp.  3,052       34
  Lakeland Financial Corp.    230       18
  BancFirst Corp.      1       —
  Marsh & McLennan Cos. Inc.      2       —
        12,375
Health Care (17.8%)
  Gilead Sciences Inc. 15,037    1,321
  Merck & Co. Inc. 11,950    1,316
  Amgen Inc.  4,427    1,268
  Bristol-Myers Squibb Co. 15,015    1,205
  Johnson & Johnson  6,709    1,194
  AbbVie Inc.  5,363      864
* Computer Programs and Systems Inc. 25,709      761
* NextGen Healthcare Inc. 36,511      759
  Becton Dickinson and Co.  2,883      719
* HealthStream Inc. 26,867      682
  Eli Lilly & Co.  1,715      636
* Vertex Pharmaceuticals Inc.  1,905      603
  Pfizer Inc. 10,567      530
* Prestige Consumer Healthcare Inc.  8,152      501
  National HealthCare Corp.  7,865      485
* Incyte Corp.  5,648      450
  Perrigo Co. plc 11,166      360
  Baxter International Inc.  3,676      208
  Chemed Corp.    199      104
* Regeneron Pharmaceuticals Inc.    123       93
  Premier Inc. Class A  2,673       89
  UnitedHealth Group Inc.    117       64
* Anika Therapeutics Inc.  1,777       56
  Royalty Pharma plc Class A  1,079       47
* United Therapeutics Corp.     79       22
        14,337
Industrials (7.5%)
  Lockheed Martin Corp.  2,526    1,226
* FTI Consulting Inc.  5,915    1,022
* OSI Systems Inc. 11,279      998
  Heartland Express Inc. 39,707      665
  Jack Henry & Associates Inc.  2,950      559
  Cass Information Systems Inc. 10,427      453
  Accenture plc Class A  1,228      370
  Northrop Grumman Corp.    331      176
  Argan Inc.  3,985      151
  Ennis Inc.  3,877       90
* PFSweb Inc.  7,674       86
* Huron Consulting Group Inc.    847       66
  Illinois Tool Works Inc.    243       55
* Vishay Precision Group Inc.  1,270       51
  Werner Enterprises Inc.    672       30
  MSC Industrial Direct Co. Inc. Class A    344       29
  National Presto Industries Inc.    378       26
  AptarGroup Inc.      6        1
  Landstar System Inc.      1       —
  Sonoco Products Co.      2       —
         6,054
Real Estate (1.5%)
  Equity Commonwealth 44,231    1,198
    Shares Market
Value•

($000)
Technology (16.8%)
  Roper Technologies Inc.  2,940    1,290
  International Business Machines Corp.  8,266    1,231
  Amdocs Ltd. 12,791    1,137
  Texas Instruments Inc.  6,034    1,089
  Dolby Laboratories Inc. Class A 13,022      975
  Apple Inc.  6,256      926
* Verint Systems Inc. 21,532      847
  Oracle Corp.  8,374      695
  Microsoft Corp.  2,535      647
* Super Micro Computer Inc.  6,846      618
  NetApp Inc.  8,574      580
  Gen Digital Inc. 24,628      565
* Rogers Corp.  4,812      525
  Leidos Holdings Inc.  4,446      486
* TTM Technologies Inc. 29,847      480
  Hewlett Packard Enterprise Co. 22,234      373
* Alphabet Inc. Class A  2,854      288
* Altair Engineering Inc. Class A  4,808      236
* Envestnet Inc.  3,607      213
  CSG Systems International Inc.  1,397       86
  SS&C Technologies Holdings Inc.  1,066       57
  Dell Technologies Inc. Class C  1,090       49
* PC Connection Inc.    877       49
* Allscripts Healthcare Solutions Inc.  2,444       46
* CommVault Systems Inc.    600       39
* TrueCar Inc. 12,999       32
* Cirrus Logic Inc.    264       20
  Shutterstock Inc.    278       15
        13,594
Telecommunications (6.9%)
  Verizon Communications Inc. 30,814    1,201
* T-Mobile US Inc.  6,135      929
  AT&T Inc. 47,749      921
  Comcast Corp. Class A 14,601      535
  Cisco Systems Inc.  9,603      478
  Shenandoah Telecommunications Co. 22,541      439
* United States Cellular Corp. 18,797      400
  InterDigital Inc.  6,215      312
* Anterix Inc.  6,071      206
  ATN International Inc.  3,309      160
  Motorola Solutions Inc.     85       23
         5,604
Utilities (7.4%)
  Chesapeake Utilities Corp.  9,397    1,125
  Consolidated Edison Inc.  8,899      873
  Spire Inc. 10,132      751
  Avista Corp. 16,866      696
  Duke Energy Corp.  6,259      626
  WEC Energy Group Inc.  5,279      523
  Northwest Natural Holding Co.  8,617      432
  Waste Management Inc.  1,678      282
  NorthWestern Corp.  4,687      274
  ONE Gas Inc.  1,725      150
  MGE Energy Inc.  1,847      133
  CMS Energy Corp.  1,022       62
  DTE Energy Co.    364       42
  Eversource Energy    184       15
  American Water Works Co. Inc.      3        1
  Ameren Corp.      4       —
  American States Water Co.      2       —
  PPL Corp.      6       —
 
9
U.S. Minimum Volatility ETF
    Shares Market
Value•

($000)
  Republic Services Inc. Class A      2       —
         5,985
Total Common Stocks (Cost $73,133) 80,310
Temporary Cash Investments (1.2%)
Money Market Fund (1.2%)
2,3 Vanguard Market Liquidity Fund, 3.877% (Cost $961)  9,611         961
Total Investments (100.6%) (Cost $74,094) 81,271
Other Assets and Liabilities—Net (-0.6%) (483)
Net Assets (100%) 80,788
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 $613,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $662,000 was received for securities on loan.
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        
Micro E-mini S&P 500 Index December 2022 16 327 8
  
See accompanying Notes, which are an integral part of the Financial Statements.
10
U.S. Minimum Volatility ETF
Statement of Assets and Liabilities
As of November 30, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $73,133) 80,310
Affiliated Issuers (Cost $961) 961
Total Investments in Securities 81,271
Investment in Vanguard 3
Cash Collateral Pledged—Futures Contracts 24
Receivables for Investment Securities Sold 17
Receivables for Accrued Income 130
Receivables for Capital Shares Issued 4,632
Variation Margin Receivable—Futures Contracts 10
Total Assets 86,087
Liabilities  
Due to Custodian 17
Payables for Investment Securities Purchased 4,616
Collateral for Securities on Loan 662
Payables to Vanguard 4
Total Liabilities 5,299
Net Assets 80,788
1 Includes $613 of securities on loan.  
At November 30, 2022, net assets consisted of:  
   
Paid-in Capital 80,754
Total Distributable Earnings (Loss) 34
Net Assets 80,788
 
Net Assets  
Applicable to 785,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		80,788
Net Asset Value Per Share $102.91
  
See accompanying Notes, which are an integral part of the Financial Statements.
11
U.S. Minimum Volatility ETF
Statement of Operations
  Year Ended
November 30, 2022
  ($000)
Investment Income  
Income  
Dividends 1,369
Interest1 3
Securities Lending—Net 17
Total Income 1,389
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services —
Management and Administrative 13
Marketing and Distribution —
Custodian Fees 2
Auditing Fees 28
Shareholders’ Reports 19
Trustees’ Fees and Expenses —
Professional Services 16
Total Expenses 78
Net Investment Income 1,311
Realized Net Gain (Loss)  
Investment Securities Sold1,2 2,033
Futures Contracts (3)
Realized Net Gain (Loss) 2,030
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (44)
Futures Contracts 1
Change in Unrealized Appreciation (Depreciation) (43)
Net Increase (Decrease) in Net Assets Resulting from Operations 3,298
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $1,231,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
12
U.S. Minimum Volatility ETF
Statement of Changes in Net Assets
  Year Ended November 30,
  2022
($000) 		2021
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,311 699
Realized Net Gain (Loss) 2,030 6,386
Change in Unrealized Appreciation (Depreciation) (43) 896
Net Increase (Decrease) in Net Assets Resulting from Operations 3,298 7,981
Distributions    
Total Distributions (1,062) (905)
Capital Share Transactions    
Issued 42,084 1,451
Issued in Lieu of Cash Distributions — —
Redeemed (10,661) (18,000)
Net Increase (Decrease) from Capital Share Transactions 31,423 (16,549)
Total Increase (Decrease) 33,659 (9,473)
Net Assets    
Beginning of Period 47,129 56,602
End of Period 80,788 47,129
  
See accompanying Notes, which are an integral part of the Financial Statements.
13
U.S. Minimum Volatility ETF
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Year Ended November 30, February 13,
20181 to
November 30,
2018
2022 2021 2020 2019  
Net Asset Value, Beginning of Period $100.28 $87.08 $91.10 $81.69 $75.00
Investment Operations          
Net Investment Income2 2.160 1.374 1.779 2.632 1.887
Net Realized and Unrealized Gain (Loss) on Investments 2.231 13.497 (3.776) 8.996 5.677
Total from Investment Operations 4.391 14.871 (1.997) 11.628 7.564
Distributions          
Dividends from Net Investment Income (1.761) (1.671) (2.023) (2.218) (.874)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.761) (1.671) (2.023) (2.218) (.874)
Net Asset Value, End of Period $102.91 $100.28 $87.08 $91.10 $81.69
Total Return 4.46% 17.22% -1.99% 14.58% 10.07%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $81 $47 $57 $91 $22
Ratio of Total Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13% 0.13%3
Ratio of Net Investment Income to Average Net Assets 2.18% 1.43% 2.14% 3.05% 2.90%3
Portfolio Turnover Rate 32%4 46%4 83%4 23% 5%
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.
14
U.S. Minimum Volatility ETF
Notes to Financial Statements
Vanguard U.S. Minimum Volatility 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, Inc.; 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 objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. 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 year ended November 30, 2022, 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,
15
U.S. Minimum Volatility 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
16
U.S. Minimum Volatility 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 year ended November 30, 2022, 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 November 30, 2022, the fund had contributed to Vanguard capital in the amount of $3,000, representing less than 0.01% of the fund’s net assets and less than 0.01% 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.
At November 30, 2022, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These
17
U.S. Minimum Volatility ETF
reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 1,231
Total Distributable Earnings (Loss) (1,231)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 379
Undistributed Long-Term Gains —
Capital Loss Carryforwards (7,522)
Qualified Late-Year Losses —
Net Unrealized Gains (Losses) 7,177
The tax character of distributions paid was as follows:
  Year Ended November 30,
  2022
Amount
($000) 		2021
Amount
($000)
Ordinary Income* 1,062 905
Long-Term Capital Gains — —
Total 1,062 905
* Includes short-term capital gains, if any.
As of November 30, 2022, 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 74,094
Gross Unrealized Appreciation 9,798
Gross Unrealized Depreciation (2,621)
Net Unrealized Appreciation (Depreciation) 7,177
E. During the year ended November 30, 2022, the fund purchased $61,268,000 of investment securities and sold $29,839,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $10,583,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
18
U.S. Minimum Volatility ETF
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 year ended November 30, 2022, such purchases were $0 and sales were $460,000, resulting in net realized gain of $120,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital shares issued and redeemed were:
    
  Year Ended November 30,
  2022
Shares
(000) 		2021
Shares
(000)
     
Issued 425 15
Issued in Lieu of Cash Distributions — —
Redeemed (110) (195)
Net Increase (Decrease) in Shares Outstanding 315 (180)
G. Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements.
19
U.S. Momentum Factor ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: February 13, 2018, Through November 30, 2022
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended November 30, 2022 		 
    One
Year 		Since
Inception
(2/13/2018) 		Final Value
of a $10,000
Investment
U.S. Momentum Factor ETF Net Asset Value -6.27% 11.71% $17,002
  U.S. Momentum Factor ETF Market Price -6.30 11.70 16,997
Russell 3000 Index -10.80 10.69 16,272
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: February 13, 2018, Through November 30, 2022
  One
Year 		Since
Inception
(2/13/2018)
U.S. Momentum Factor ETF Market Price -6.30% 69.97%
U.S. Momentum Factor ETF Net Asset Value -6.27 70.02
Russell 3000 Index -10.80 62.72
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
See Financial Highlights for dividend and capital gains information.
20
U.S. Momentum Factor ETF
Fund Allocation
As of November 30, 2022
Basic Materials 3.3%
Consumer Discretionary 9.8
Consumer Staples 10.1
Energy 20.0
Financials 13.8
Health Care 19.3
Industrials 14.6
Real Estate 0.1
Technology 6.2
Telecommunications 2.1
Utilities 0.7
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 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.
21
U.S. Momentum Factor ETF
Financial Statements
Schedule of Investments
As of November 30, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value•

($000)
Common Stocks (99.6%)
Basic Materials (3.3%)
  Nucor Corp.   6,932    1,039
  Steel Dynamics Inc.   6,373      662
* RBC Bearings Inc.   2,475      586
  Commercial Metals Co.  10,721      528
* Livent Corp.  18,625      521
  Albemarle Corp.   1,845      513
  Sylvamo Corp.   8,915      482
  CF Industries Holdings Inc.   4,435      480
  Chemours Co.  15,047      467
  Ryerson Holding Corp.  15,748      464
  Olin Corp.   7,965      454
  Sensient Technologies Corp.   4,899      366
  Mosaic Co.   7,107      365
* TimkenSteel Corp.  17,937      335
* LSB Industries Inc.  20,299      313
  Mueller Industries Inc.   4,181      288
* Uranium Energy Corp.  55,904      217
* US Silica Holdings Inc.  14,517      190
  Timken Co.   2,259      172
  Materion Corp.   1,995      161
* Intrepid Potash Inc.   3,724      134
* Piedmont Lithium Inc.   2,082      120
* Energy Fuels Inc.  14,685      102
* Clearwater Paper Corp.   2,306       90
  Reliance Steel & Aluminum Co.     391       83
  American Vanguard Corp.   3,475       80
  UFP Industries Inc.     901       74
* Origin Materials Inc.   8,888       50
         9,336
Consumer Discretionary (9.8%)
* AutoZone Inc.     850    2,192
* O'Reilly Automotive Inc.   2,481    2,145
  Dollar General Corp.   5,128    1,311
  McDonald's Corp.   4,677    1,276
  Costco Wholesale Corp.   2,266    1,222
  H&R Block Inc.  24,412    1,067
  Murphy USA Inc.   3,355      992
* Chipotle Mexican Grill Inc. Class A     494      804
  TJX Cos. Inc.   9,603      769
* Liberty Media Corp.-Liberty Formula One Class C  10,769      656
* BJ's Wholesale Club Holdings Inc.   8,127      611
  Yum! Brands Inc.   4,583      590
    Shares Market
Value•

($000)
  Genuine Parts Co.   3,006      551
* Las Vegas Sands Corp.  10,399      487
* elf Beauty Inc.   8,583      472
* American Axle & Manufacturing Holdings Inc.  41,314      430
* Tesla Inc.   2,209      430
* Kura Sushi USA Inc. Class A   5,613      369
  Dillard's Inc. Class A   1,006      362
* Mattel Inc.  19,505      356
  Rush Enterprises Inc. Class A   6,711      346
* United Airlines Holdings Inc.   7,789      344
* Chico's FAS Inc.  56,619      332
* Ulta Beauty Inc.     703      327
  Designer Brands Inc. Class A  19,194      294
* Trade Desk Inc. Class A   5,636      294
* Skyline Champion Corp.   5,502      286
* XPEL Inc.   4,122      283
  World Wrestling Entertainment Inc. Class A   3,491      279
  Texas Roadhouse Inc. Class A   2,770      275
  RCI Hospitality Holdings Inc.   3,006      274
* Adtalem Global Education Inc.   6,406      266
* Green Brick Partners Inc.  11,015      266
* Dave & Buster's Entertainment Inc.   6,654      264
* Visteon Corp.   1,742      256
  Service Corp. International   3,551      254
* Bowlero Corp.  18,200      254
  Laureate Education Inc. Class A  23,442      246
  Dick's Sporting Goods Inc.   2,050      245
* Copa Holdings SA Class A   2,799      245
  Harley-Davidson Inc.   5,110      241
  Marriott International Inc. Class A   1,444      239
* Instructure Holdings Inc.   9,355      235
  Wingstop Inc.   1,417      234
* Xponential Fitness Inc. Class A  10,405      230
* TravelCenters of America Inc.   4,436      227
* Stride Inc.   6,377      226
* Dollar Tree Inc.   1,450      218
* Liberty Media Corp.- Liberty Formula One Class A   3,643      200
  Rollins Inc.   4,663      189
* Deckers Outdoor Corp.     464      185
  Academy Sports & Outdoors Inc.   3,673      185
  Bloomin' Brands Inc.   8,049      181
22
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
  Oxford Industries Inc.   1,498      169
  Scholastic Corp.   4,078      168
  Caleres Inc.   6,299      152
  Movado Group Inc.   4,728      152
  A-Mark Precious Metals Inc.   4,224      146
* Liberty Media Corp.- Liberty Braves Class C   4,235      138
* Destination XL Group Inc.  20,358      136
  Penske Automotive Group Inc.     967      122
* Hyatt Hotels Corp. Class A   1,178      118
* Cavco Industries Inc.     475      109
  Nexstar Media Group Inc. Class A     573      109
  Red Rock Resorts Inc. Class A   2,250      101
* Lululemon Athletica Inc.     236       90
* Funko Inc. Class A   9,400       89
  Winmark Corp.     350       84
* Monarch Casino & Resort Inc.     966       82
* Driven Brands Holdings Inc.   2,160       66
* Stoneridge Inc.   2,683       63
  Tractor Supply Co.     263       59
  Churchill Downs Inc.     250       55
* SeaWorld Entertainment Inc.     882       50
* Stagwell Inc.   6,410       48
        27,818
Consumer Staples (10.0%)
  McKesson Corp.   7,989    3,049
  General Mills Inc.  23,157    1,975
  Archer-Daniels-Midland Co.  19,198    1,872
  Corteva Inc.  26,934    1,809
  Hershey Co.   7,504    1,765
  CVS Health Corp.  16,420    1,673
  Coca-Cola Co.  24,098    1,533
  Kellogg Co.  16,255    1,186
  Hormel Foods Corp.  25,105    1,180
  PepsiCo Inc.   5,937    1,101
  Flowers Foods Inc.  32,007      962
  Ingles Markets Inc. Class A   9,132      923
  Weis Markets Inc.   9,727      848
* Celsius Holdings Inc.   6,719      748
  Philip Morris International Inc.   6,742      672
  SpartanNash Co.  19,385      637
  Kroger Co.  11,069      544
  Reynolds Consumer Products Inc.  16,328      522
  Lamb Weston Holdings Inc.   5,996      521
* Hostess Brands Inc. Class A  19,358      511
  AmerisourceBergen Corp.   2,691      459
  MGP Ingredients Inc.   3,407      426
*,1 Veru Inc.  57,358      326
  Edgewell Personal Care Co.   6,694      289
  Cal-Maine Foods Inc.   4,927      287
  Campbell Soup Co.   5,306      285
* SunOpta Inc.  29,907      280
* Chefs' Warehouse Inc.   6,172      240
  Colgate-Palmolive Co.   2,875      223
* United Natural Foods Inc.   4,488      214
  Brown-Forman Corp. Class B   2,867      209
* Grocery Outlet Holding Corp.   6,628      201
  Mondelez International Inc. Class A   2,637      178
* Post Holdings Inc.   1,839      172
  Coca-Cola Consolidated Inc.     273      134
  Kimberly-Clark Corp.     837      114
  Vector Group Ltd.   8,592       95
    Shares Market
Value•

($000)
  Andersons Inc.   2,070       80
* TreeHouse Foods Inc.   1,495       74
* Sprouts Farmers Market Inc.   1,911       66
  J M Smucker Co.     346       53
        28,436
Energy (19.9%)
  ConocoPhillips  24,872    3,072
  Marathon Petroleum Corp.  21,218    2,585
  Exxon Mobil Corp.  22,519    2,507
  EOG Resources Inc.  17,524    2,487
  Chevron Corp.  11,814    2,166
  Valero Energy Corp.  15,668    2,094
  Occidental Petroleum Corp.  29,480    2,049
  Devon Energy Corp.  28,803    1,974
  Schlumberger Ltd.  34,721    1,790
  Phillips 66  16,431    1,782
  Pioneer Natural Resources Co.   6,872    1,622
  HF Sinclair Corp.  16,307    1,017
  Targa Resources Corp.  13,460    1,001
* Enphase Energy Inc.   3,042      975
  Cheniere Energy Inc.   5,435      953
  Marathon Oil Corp.  23,750      727
  EQT Corp.  16,014      679
* Nabors Industries Ltd. (XNYS)   4,222      668
  APA Corp.  14,029      657
  Texas Pacific Land Corp.     250      648
  Hess Corp.   4,470      643
  Murphy Oil Corp.  13,216      624
  Matador Resources Co.   9,192      610
* Antero Resources Corp.  16,624      608
  PDC Energy Inc.   7,954      591
  Ovintiv Inc. (XNYS)  10,518      587
* First Solar Inc.   3,362      580
  ChampionX Corp.  18,766      579
  Patterson-UTI Energy Inc.  31,920      573
  NOV Inc.  24,923      560
  Diamondback Energy Inc.   3,759      556
  Williams Cos. Inc.  15,412      535
  DTE Midstream LLC   8,852      534
  SM Energy Co.  12,344      532
* Southwestern Energy Co.  76,468      529
  Helmerich & Payne Inc.  10,306      526
  CVR Energy Inc.  13,114      483
* Tidewater Inc.  15,501      471
  Coterra Energy Inc.  16,605      463
* Kosmos Energy Ltd.  65,892      438
  Range Resources Corp.  15,146      437
  CONSOL Energy Inc.   5,601      434
  Northern Oil and Gas Inc.  11,227      409
* Denbury Inc.   4,450      399
* Peabody Energy Corp.  12,442      397
* Amplify Energy Corp.  47,017      389
  Warrior Met Coal Inc.  10,386      382
* Weatherford International plc   8,712      378
  Alpha Metallurgical Resources Inc.   2,152      369
* W&T Offshore Inc.  53,633      368
* Par Pacific Holdings Inc.  15,426      361
1 HighPeak Energy Inc.  14,625      351
  Arch Resources Inc.   2,254      349
  New Fortress Energy Inc. Class A   6,778      345
  Civitas Resources Inc.   4,825      325
  Comstock Resources Inc.  17,599      323
* SandRidge Energy Inc.  15,841      323
*,1 NextDecade Corp.  59,070      321
 
23
U.S. Momentum Factor ETF
    Shares Market
Value•

($000)
  Chord Energy Corp.   2,064      315
* TETRA Technologies Inc.  81,573      311
* Helix Energy Solutions Group Inc.  46,539      297
* NexTier Oilfield Solutions Inc.  29,106      297
  PBF Energy Inc. Class A   7,412      295
* Laredo Petroleum Inc.   4,134      264
* Valaris Ltd.   3,735      247
* Earthstone Energy Inc. Class A  14,967      237
  Solaris Oilfield Infrastructure Inc. Class A  21,435      235
* Borr Drilling Ltd.  50,188      234
* NOW Inc.  18,606      232
* Talos Energy Inc.  11,825      232
* Noble Corp. plc   6,209      231
* Ameresco Inc. Class A   3,426      224
* SilverBow Resources Inc.   6,330      221
1 Sitio Royalties Corp.   6,954      219
  Magnolia Oil & Gas Corp. Class A   7,884      206
* CNX Resources Corp.  11,747      204
* Shoals Technologies Group Inc. Class A   6,870      199
  Permian resources Corp. Class A  18,935      192
  Berry Corp.  20,719      187
  SunCoke Energy Inc.  21,507      182
* MRC Global Inc.  15,311      180
* Tellurian Inc.  65,580      176
* Golar LNG Ltd.   6,917      173
* Centrus Energy Corp. Class A   4,351      165
  Delek US Holdings Inc.   5,159      160
* Expro Group Holdings NV   8,738      152
  VAALCO Energy Inc.  29,113      151
  Kinetik Holdings Inc. Class A   4,170      142
* Array Technologies Inc.   6,635      139
* REX American Resources Corp.   4,095      121
* Gulfport Energy Corp.   1,491      121
  Arcosa Inc.   1,943      119
  California Resources Corp.   2,108       96
  Cactus Inc. Class A   1,577       86
  Select Energy Services Inc. Class A   7,210       59
        56,436
Financials (13.7%)
  Unum Group  47,785    2,016
  American Financial Group Inc.  11,100    1,579
  Chubb Ltd.   7,101    1,559
  Progressive Corp.  11,760    1,554
  FNB Corp. 107,728    1,519
  CVB Financial Corp.  39,736    1,140
  Reinsurance Group of America Inc.   6,675      964
  W R Berkley Corp.  12,450      950
  M&T Bank Corp.   5,108      868
  ServisFirst Bancshares Inc.  11,423      866
  Safety Insurance Group Inc.   8,699      798
  Aon plc Class A (XNYS)   2,512      774
  American International Group Inc.  11,457      723
  Assured Guaranty Ltd.  10,378      691
  Kinsale Capital Group Inc.   2,175      670
  Marsh & McLennan Cos. Inc.   3,842      665
* Genworth Financial Inc. Class A 125,560      632
    Shares Market
Value•

($000)
  City Holding Co.   5,912      603
  First BanCorp (XNYS)  38,650      594
  Travelers Cos. Inc.   3,118      592
  Employers Holdings Inc.  12,287      571