Vanguard Extended Market Index Fund |
Vanguard Mid-Cap Index Fund |
Vanguard Mid-Cap Growth Index Fund |
Vanguard Mid-Cap Value Index Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended June 30, 2021 | |||
Beginning Account Value 12/31/2020 |
Ending Account Value 6/30/2021 |
Expenses Paid During Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,153.80 | $1.01 |
ETF Shares | 1,000.00 | 1,154.40 | 0.32 |
AdmiralTM Shares | 1,000.00 | 1,154.50 | 0.32 |
Institutional Shares | 1,000.00 | 1,154.60 | 0.27 |
Institutional Plus Shares | 1,000.00 | 1,154.70 | 0.21 |
Institutional Select Shares | 1,000.00 | 1,154.80 | 0.11 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,152.50 | $0.91 |
ETF Shares | 1,000.00 | 1,153.20 | 0.21 |
Admiral Shares | 1,000.00 | 1,153.10 | 0.27 |
Institutional Shares | 1,000.00 | 1,153.10 | 0.21 |
Institutional Plus Shares | 1,000.00 | 1,153.20 | 0.16 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,115.50 | $1.00 |
ETF Shares | 1,000.00 | 1,116.30 | 0.37 |
Admiral Shares | 1,000.00 | 1,116.30 | 0.37 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,191.20 | $1.03 |
ETF Shares | 1,000.00 | 1,192.00 | 0.38 |
Admiral Shares | 1,000.00 | 1,192.10 | 0.38 |
Six Months Ended June 30, 2021 | |||
Beginning Account Value 12/31/2020 |
Ending Account Value 6/30/2021 |
Expenses Paid During Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.50 | 0.30 |
AdmiralTM Shares | 1,000.00 | 1,024.50 | 0.30 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Plus Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Select Shares | 1,000.00 | 1,024.70 | 0.10 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.60 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,024.65 | 0.15 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Communication Services | 6.3% |
Consumer Discretionary | 11.6 |
Consumer Staples | 2.7 |
Energy | 2.4 |
Financials | 13.5 |
Health Care | 15.5 |
Industrials | 13.4 |
Information Technology | 22.3 |
Materials | 3.7 |
Other | 0.0 |
Real Estate | 6.8 |
Utilities | 1.8 |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Common Stocks | ||||||
Communication Services | ||||||
Snap Inc. Class A* | 13,357,775 | 910,199 | 0.80% | |||
Match Group Inc.* | 3,836,407 | 618,621 | 0.54% | |||
Pinterest Inc. Class A* | 7,785,354 | 614,654 | 0.54% | |||
Roku Inc. Class A* | 1,314,678 | 603,766 | 0.53% | |||
Liberty Broadband Corp. Class C* | 2,429,645 | 421,932 | 0.37% | |||
AMC Entertainment Holdings Inc. Class A*,1 | 7,077,805 | 401,170 | 0.35% | |||
Zillow Group Inc. Class C* | 2,142,196 | 261,819 | 0.23% | |||
Zillow Group Inc. Class A* | 653,145 | 80,030 | 0.07% | |||
Liberty Broadband Corp. Class A* | 157,517 | 26,490 | 0.02% | |||
† | Communication Services—Other*,1,2 | 3,183,786 | 2.77% | |||
7,122,467 | 6.22% | |||||
Consumer Discretionary | ||||||
Lululemon Athletica Inc.* | 1,681,572 | 613,723 | 0.54% | |||
Peloton Interactive Inc. Class A* | 3,827,712 | 474,713 | 0.42% | |||
Airbnb Inc. Class A* | 2,087,180 | 319,631 | 0.28% | |||
Burlington Stores Inc.* | 939,474 | 302,501 | 0.26% | |||
Wayfair Inc. Class A* | 915,477 | 289,025 | 0.25% | |||
Carvana Co.* | 920,994 | 277,974 | 0.24% | |||
† | Consumer Discretionary—Other*,1,2 | 10,873,027 | 9.50% | |||
13,150,594 | 11.49% | |||||
Consumer Staples | ||||||
Keurig Dr Pepper Inc. | 8,182,390 | 288,347 | 0.25% | |||
† | Consumer Staples—Other*,1 | 2,739,829 | 2.40% | |||
3,028,176 | 2.65% | |||||
Energy | ||||||
Cheniere Energy Inc.* | 3,265,988 | 283,292 | 0.25% | |||
† | Energy—Other*,1,2 | 2,435,487 | 2.12% | |||
2,718,779 | 2.37% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Financials | ||||||
Blackstone Group Inc. | 9,686,293 | 940,927 | 0.82% | |||
KKR & Co. Inc. | 8,217,609 | 486,811 | 0.43% | |||
† | Financials—Other*,1,2 | 13,876,590 | 12.12% | |||
15,304,328 | 13.37% | |||||
Health Care | ||||||
Moderna Inc.* | 4,345,548 | 1,021,117 | 0.89% | |||
Veeva Systems Inc. Class A* | 1,885,773 | 586,381 | 0.51% | |||
Teladoc Health Inc.* | 1,859,060 | 309,143 | 0.27% | |||
Exact Sciences Corp.* | 2,431,784 | 302,295 | 0.26% | |||
Horizon Therapeutics plc* | 3,181,343 | 297,901 | 0.26% | |||
Alnylam Pharmaceuticals Inc.* | 1,666,295 | 282,470 | 0.25% | |||
Seagen Inc.* | 1,718,491 | 271,315 | 0.24% | |||
Novocure Ltd.* | 1,220,178 | 270,660 | 0.24% | |||
† | Health Care—Other*,1,2 | 14,216,196 | 12.42% | |||
17,557,478 | 15.34% | |||||
Industrials | ||||||
Uber Technologies Inc.* | 21,037,893 | 1,054,419 | 0.92% | |||
CoStar Group Inc.* | 5,585,352 | 462,579 | 0.40% | |||
TransUnion | 2,703,400 | 296,860 | 0.26% | |||
† | Industrials—Other*,1,2,3 | 13,376,905 | 11.69% | |||
15,190,763 | 13.27% | |||||
Information Technology | ||||||
Square Inc. Class A* | 5,580,220 | 1,360,458 | 1.19% | |||
Zoom Video Communications Inc. Class A* | 3,033,193 | 1,173,937 | 1.03% | |||
Twilio Inc. Class A* | 2,108,302 | 831,008 | 0.73% | |||
DocuSign Inc.* | 2,767,415 | 773,686 | 0.68% | |||
Crowdstrike Holdings Inc. Class A* | 2,835,643 | 712,625 | 0.62% | |||
Marvell Technology Inc. | 11,594,622 | 676,314 | 0.59% | |||
Workday Inc. Class A* | 2,538,399 | 606,017 | 0.53% | |||
Palo Alto Networks Inc.* | 1,378,069 | 511,332 | 0.45% | |||
Trade Desk Inc. Class A* | 6,131,278 | 474,316 | 0.41% | |||
Okta Inc. Class A* | 1,772,639 | 433,729 | 0.38% | |||
EPAM Systems Inc.* | 796,569 | 407,015 | 0.36% | |||
HubSpot Inc.* | 623,711 | 363,449 | 0.32% | |||
Dell Technologies Inc. Class C* | 3,519,886 | 350,827 | 0.31% | |||
Slack Technologies Inc. Class A* | 7,263,525 | 321,774 | 0.28% | |||
Datadog Inc. Class A* | 3,090,099 | 321,617 | 0.28% | |||
RingCentral Inc. Class A* | 1,096,700 | 318,679 | 0.28% | |||
Splunk Inc.* | 2,102,816 | 304,025 | 0.27% | |||
Cloudflare Inc. Class A* | 2,732,784 | 289,238 | 0.25% | |||
MongoDB Inc. Class A* | 757,873 | 273,986 | 0.24% | |||
Coupa Software Inc.* | 1,042,634 | 273,285 | 0.24% | |||
BM Technologies Inc. (Acquired 12/17/20, Cost $961)*,4 | 66,937 | 749 | 0.00% | |||
† | Information Technology—Other*,1,2 | 14,437,118 | 12.59% | |||
25,215,184 | 22.03% | |||||
†Materials*,1,2 | 4,209,534 | 3.68% | ||||
†Other*,2,5 | 225 | 0.00% | ||||
Real Estate | ||||||
Invitation Homes Inc. | 8,010,086 | 298,696 | 0.26% |
Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
Sun Communities Inc. | 1,590,005 | 272,527 | 0.24% | |||
† | Real Estate—Other*,1 | 7,168,832 | 6.26% | |||
7,740,055 | 6.76% | |||||
†Utilities*,1 | 2,026,675 | 1.77% | ||||
Total Common Stocks (Cost $70,199,705) | 113,264,258 | 98.95% | ||||
†Preferred Stocks (Cost $143) | 190 | 0.00% | ||||
Coupon | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
Vanguard Market Liquidity Fund6,7 (Cost $3,510,384) |
0.056% | 35,106,450 | 3,510,645 | 3.07% | ||
Total Investments (Cost $73,710,232) | 116,775,093 | 102.02% | ||||
Other Assets and Liabilities—Net | (2,307,311) | (2.02%) | ||||
Net Assets | 114,467,782 | 100.00% |
Cost is in $000. | |
• | See Note A in Notes to Financial Statements. |
* | Includes non-income-producing security. |
† | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,373,517,000. |
2 | Certain securities are valued using significant unobservable inputs. |
3 | Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the aggregate value of these securities was $45,527,000, representing 0.0% of net assets. |
4 | Restricted securities totaling $749,000, representing 0.0% of net assets. |
5 | “Other” represents securities that are not classified by the fund’s benchmark index. |
6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
7 | Collateral of $2,526,378,000 was received for securities on loan, of which $2,486,865,000 is held in Vanguard Market Liquidity Fund and $39,513,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 4,488 | 517,870 | (5,138) |
E-mini S&P 500 Index | September 2021 | 876 | 187,841 | 4,121 |
E-mini S&P Mid-Cap 400 Index | September 2021 | 110 | 29,616 | (589) |
(1,606) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date |
Counterparty | Notional Amount ($000) |
Floating Interest Rate Received (Paid)1 (%) |
Value
and Unrealized Appreciation ($000) |
Value
and Unrealized (Depreciation) ($000) |
Alcoa Corp. | 8/31/21 | BOANA | 7,736 | (0.586) | — | (555) |
Bandwidth Inc. Class A | 8/31/21 | BOANA | 8,280 | (0.536) | 1,371 | — |
New York Community Bancorp Inc. | 8/31/21 | BOANA | 1,197 | (0.436) | — | (96) |
RingCentral Inc. Class A | 8/31/21 | BOANA | 13,124 | (0.586) | 1,399 | — |
Roku Inc. Class A | 1/31/22 | GSI | 110,461 | (0.082) | 38,792 | — |
Seagen Inc. | 8/31/21 | BOANA | 11,651 | (0.086) | 189 | — |
Sirius XM Holdings Inc. | 1/31/22 | GSI | 26,520 | (0.082) | — | (361) |
Splunk Inc. | 8/31/21 | BOANA | 26,664 | (0.086) | 5,142 | — |
Twilio Inc. Class A | 8/31/21 | BOANA | 67,200 | (0.086) | 11,628 | — |
Veeva Systems Inc. Class A | 8/31/21 | BOANA | 18,937 | (0.086) | 1,273 | — |
Vistra Corp. | 8/31/21 | BOANA | 5,660 | (0.386) | 884 | — |
Wayfair Inc. Class A | 8/31/21 | BOANA | 39,850 | (0.086) | 1,189 | — |
Workday Inc. Class A | 8/31/21 | BOANA | 32,021 | (0.086) | 1,401 | — |
63,268 | (1,012) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $70,199,848) | 113,264,448 |
Affiliated Issuers (Cost $3,510,384) | 3,510,645 |
Total Investments in Securities | 116,775,093 |
Investment in Vanguard | 3,834 |
Cash | 39,513 |
Cash Collateral Pledged—Futures Contracts | 40,302 |
Receivables for Investment Securities Sold | 385,320 |
Receivables for Accrued Income | 75,224 |
Receivables for Capital Shares Issued | 137,747 |
Variation Margin Receivable—Futures Contracts | 1,036 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 63,268 |
Total Assets | 117,521,337 |
Liabilities | |
Due to Custodian | 280,170 |
Payables for Investment Securities Purchased | 35,891 |
Collateral for Securities on Loan | 2,526,378 |
Payables for Capital Shares Redeemed | 207,966 |
Payables to Vanguard | 2,138 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,012 |
Total Liabilities | 3,053,555 |
Net Assets | 114,467,782 |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 70,876,098 |
Total Distributable Earnings (Loss) | 43,591,684 |
Net Assets | 114,467,782 |
Investor Shares—Net Assets | |
Applicable
to 3,236,938 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
463,827 |
Net Asset Value Per Share—Investor Shares | $143.29 |
ETF Shares—Net Assets | |
Applicable
to 92,758,889 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
17,506,827 |
Net Asset Value Per Share—ETF Shares | $188.73 |
Admiral Shares—Net Assets | |
Applicable
to 214,464,816 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
30,710,281 |
Net Asset Value Per Share—Admiral Shares | $143.19 |
Institutional Shares—Net Assets | |
Applicable
to 154,156,962 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
22,072,875 |
Net Asset Value Per Share—Institutional Shares | $143.18 |
Institutional Plus Shares—Net Assets | |
Applicable
to 41,900,068 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
14,805,655 |
Net Asset Value Per Share—Institutional Plus Shares | $353.36 |
Institutional Select Shares—Net Assets | |
Applicable
to 125,642,517 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
28,908,317 |
Net Asset Value Per Share—Institutional Select Shares | $230.08 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 419,311 |
Interest1 | 403 |
Securities Lending—Net | 37,896 |
Total Income | 457,610 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,743 |
Management and Administrative—Investor Shares | 425 |
Management and Administrative—ETF Shares | 3,759 |
Management and Administrative—Admiral Shares | 7,590 |
Management and Administrative—Institutional Shares | 4,437 |
Management and Administrative—Institutional Plus Shares | 2,131 |
Management and Administrative—Institutional Select Shares | 2,048 |
Marketing and Distribution—Investor Shares | 11 |
Marketing and Distribution—ETF Shares | 292 |
Marketing and Distribution—Admiral Shares | 359 |
Marketing and Distribution—Institutional Shares | 244 |
Marketing and Distribution—Institutional Plus Shares | 73 |
Marketing and Distribution—Institutional Select Shares | — |
Custodian Fees | 824 |
Shareholders’ Reports—Investor Shares | 2 |
Shareholders’ Reports—ETF Shares | 290 |
Shareholders’ Reports—Admiral Shares | 92 |
Shareholders’ Reports—Institutional Shares | 86 |
Shareholders’ Reports—Institutional Plus Shares | 59 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 24,480 |
Net Investment Income | 433,130 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 2,951,786 |
Futures Contracts | 102,408 |
Swap Contracts | (5,940) |
Realized Net Gain (Loss) | 3,048,254 |
Statement of Operations (continued) | |
Six
Months Ended June 30, 2021 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 11,439,931 |
Futures Contracts | (15,124) |
Swap Contracts | 62,026 |
Change in Unrealized Appreciation (Depreciation) | 11,486,833 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,968,217 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $395,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $2,938,531,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 433,130 | 872,480 | |
Realized Net Gain (Loss) | 3,048,254 | 8,918,158 | |
Change in Unrealized Appreciation (Depreciation) | 11,486,833 | 13,654,329 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,968,217 | 23,444,967 | |
Distributions | |||
Investor Shares | (2,428) | (4,603) | |
ETF Shares | (92,946) | (137,503) | |
Admiral Shares | (169,332) | (294,052) | |
Institutional Shares | (123,317) | (203,836) | |
Institutional Plus Shares | (79,833) | (128,356) | |
Institutional Select Shares | (163,026) | (266,898) | |
Total Distributions | (630,882) | (1,035,248) | |
Capital Share Transactions | |||
Investor Shares | (55,588) | (104,325) | |
ETF Shares | 1,683,310 | 2,263,951 | |
Admiral Shares | (29,994) | (1,839,723) | |
Institutional Shares | 591,271 | (660,488) | |
Institutional Plus Shares | 1,368,342 | (518,910) | |
Institutional Select Shares | 777,212 | (297,897) | |
Net Increase (Decrease) from Capital Share Transactions | 4,334,553 | (1,157,392) | |
Total Increase (Decrease) | 18,671,888 | 21,252,327 | |
Net Assets | |||
Beginning of Period | 95,795,894 | 74,543,567 | |
End of Period | 114,467,782 | 95,795,894 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $124.83 | $95.66 | $75.74 | $84.80 | $72.76 | $63.61 |
Investment Operations | ||||||
Net Investment Income | .4611 | .9831 | .9621 | 1.1931 | .9161 | .919 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.696 | 29.401 | 20.089 | (9.104) | 12.074 | 9.182 |
Total from Investment Operations | 19.157 | 30.384 | 21.051 | (7.911) | 12.990 | 10.101 |
Distributions | ||||||
Dividends from Net Investment Income | (.697) | (1.214) | (1.131) | (1.149) | (.950) | (.951) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.697) | (1.214) | (1.131) | (1.149) | (.950) | (.951) |
Net Asset Value, End of Period | $143.29 | $124.83 | $95.66 | $75.74 | $84.80 | $72.76 |
Total Return2 | 15.38% | 32.04% | 27.87% | -9.47% | 17.94% | 15.99% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $464 | $454 | $455 | $1,139 | $1,548 | $2,021 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.21% | 0.21% |
Ratio of Net Investment Income to Average Net Assets | 0.68% | 1.04% | 1.09% | 1.38% | 1.24% | 1.48% |
Portfolio Turnover Rate3 | 6% | 19% | 13% | 10% | 11% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $164.43 | $126.02 | $99.77 | $111.72 | $95.86 | $83.80 |
Investment Operations | ||||||
Net Investment Income | .7101 | 1.5091 | 1.6361 | 1.7421 | 1.4201 | 1.324 |
Net Realized and Unrealized Gain (Loss) on Investments | 24.629 | 38.668 | 26.255 | (12.036) | 15.835 | 12.107 |
Total from Investment Operations | 25.339 | 40.177 | 27.891 | (10.294) | 17.255 | 13.431 |
Distributions | ||||||
Dividends from Net Investment Income | (1.039) | (1.767) | (1.641) | (1.656) | (1.395) | (1.371) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.039) | (1.767) | (1.641) | (1.656) | (1.395) | (1.371) |
Net Asset Value, End of Period | $188.73 | $164.43 | $126.02 | $99.77 | $111.72 | $95.86 |
Total Return | 15.44% | 32.20% | 28.04% | -9.37% | 18.10% | 16.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,507 | $13,761 | $8,119 | $6,095 | $5,711 | $4,387 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.79% | 1.20% | 1.40% | 1.50% | 1.37% | 1.61% |
Portfolio Turnover Rate2 | 6% | 19% | 13% | 10% | 11% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $124.75 | $95.61 | $75.70 | $84.76 | $72.72 | $63.58 |
Investment Operations | ||||||
Net Investment Income | .5431 | 1.1121 | 1.2361 | 1.3071 | 1.0711 | 1.005 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.684 | 29.367 | 19.918 | (9.111) | 12.026 | 9.175 |
Total from Investment Operations | 19.227 | 30.479 | 21.154 | (7.804) | 13.097 | 10.180 |
Distributions | ||||||
Dividends from Net Investment Income | (.787) | (1.339) | (1.244) | (1.256) | (1.057) | (1.040) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.787) | (1.339) | (1.244) | (1.256) | (1.057) | (1.040) |
Net Asset Value, End of Period | $143.19 | $124.75 | $95.61 | $75.70 | $84.76 | $72.72 |
Total Return2 | 15.45% | 32.21% | 28.03% | -9.36% | 18.11% | 16.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $30,710 | $26,784 | $22,391 | $17,644 | $19,712 | $15,830 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to Average Net Assets | 0.80% | 1.18% | 1.39% | 1.50% | 1.37% | 1.61% |
Portfolio Turnover Rate3 | 6% | 19% | 13% | 10% | 11% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $124.74 | $95.60 | $75.69 | $84.75 | $72.72 | $63.58 |
Investment Operations | ||||||
Net Investment Income | .5491 | 1.1251 | 1.2391 | 1.3191 | 1.0851 | 1.018 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.685 | 29.364 | 19.925 | (9.113) | 12.018 | 9.175 |
Total from Investment Operations | 19.234 | 30.489 | 21.164 | (7.794) | 13.103 | 10.193 |
Distributions | ||||||
Dividends from Net Investment Income | (.794) | (1.349) | (1.254) | (1.266) | (1.073) | (1.053) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.794) | (1.349) | (1.254) | (1.266) | (1.073) | (1.053) |
Net Asset Value, End of Period | $143.18 | $124.74 | $95.60 | $75.69 | $84.75 | $72.72 |
Total Return | 15.46% | 32.23% | 28.05% | -9.35% | 18.12% | 16.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $22,073 | $18,659 | $14,927 | $12,443 | $13,359 | $10,554 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.81% | 1.19% | 1.40% | 1.51% | 1.39% | 1.63% |
Portfolio Turnover Rate2 | 6% | 19% | 13% | 10% | 11% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $307.85 | $235.94 | $186.80 | $209.16 | $179.47 | $156.89 |
Investment Operations | ||||||
Net Investment Income | 1.3641 | 2.7981 | 3.0781 | 3.2081 | 2.6111 | 2.525 |
Net Realized and Unrealized Gain (Loss) on Investments | 46.123 | 72.466 | 49.178 | (22.426) | 29.741 | 22.668 |
Total from Investment Operations | 47.487 | 75.264 | 52.256 | (19.218) | 32.352 | 25.193 |
Distributions | ||||||
Dividends from Net Investment Income | (1.977) | (3.354) | (3.116) | (3.142) | (2.662) | (2.613) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.977) | (3.354) | (3.116) | (3.142) | (2.662) | (2.613) |
Net Asset Value, End of Period | $353.36 | $307.85 | $235.94 | $186.80 | $209.16 | $179.47 |
Total Return | 15.47% | 32.24% | 28.07% | -9.35% | 18.13% | 16.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,806 | $11,665 | $9,486 | $7,559 | $10,565 | $13,530 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 0.82% | 1.20% | 1.41% | 1.52% | 1.40% | 1.64% |
Portfolio Turnover Rate2 | 6% | 19% | 13% | 10% | 11% | 12% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Select Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | June 27, 20161 to December 31, 2016 | |||
2020 | 2019 | 2018 | 2017 | |||
Net Asset Value, Beginning of Period | $200.45 | $153.63 | $121.63 | $136.19 | $116.85 | $98.43 |
Investment Operations | ||||||
Net Investment Income | .9152 | 1.8552 | 2.0592 | 2.1842 | 1.8912 | 1.050 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.024 | 47.179 | 31.999 | (14.655) | 19.221 | 18.428 |
Total from Investment Operations | 30.939 | 49.034 | 34.058 | (12.471) | 21.112 | 19.478 |
Distributions | ||||||
Dividends from Net Investment Income | (1.309) | (2.214) | (2.058) | (2.089) | (1.772) | (1.058) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.309) | (2.214) | (2.058) | (2.089) | (1.772) | (1.058) |
Net Asset Value, End of Period | $230.08 | $200.45 | $153.63 | $121.63 | $136.19 | $116.85 |
Total Return | 15.48% | 32.27% | 28.09% | -9.32% | 18.17% | 19.81% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $28,908 | $24,472 | $19,166 | $13,390 | $12,250 | $5,227 |
Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.02%3 |
Ratio of Net Investment Income to Average Net Assets | 0.84% | 1.22% | 1.44% | 1.55% | 1.43% | 1.88%3 |
Portfolio Turnover Rate4 | 6% | 19% | 13% | 10% | 11% | 12%5 |
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. |
5 | Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 113,252,811 | 771 | 10,676 | 113,264,258 |
Preferred Stocks | 190 | — | — | 190 |
Temporary Cash Investments | 3,510,645 | — | — | 3,510,645 |
Total | 116,763,646 | 771 | 10,676 | 116,775,093 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,121 | — | — | 4,121 |
Swap Contracts | — | 63,268 | — | 63,268 |
Total | 4,121 | 63,268 | — | 67,389 |
Liabilities | ||||
Futures Contracts1 | 5,727 | — | — | 5,727 |
Swap Contracts | — | 1,012 | — | 1,012 |
Total | 5,727 | 1,012 | — | 6,739 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 73,930,233 |
Gross Unrealized Appreciation | 47,612,463 |
Gross Unrealized Depreciation | (4,706,953) |
Net Unrealized Appreciation (Depreciation) | 42,905,510 |
E. | During the six months ended June 30, 2021, the fund purchased $15,326,026,000 of investment securities and sold $11,337,913,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,184,689,000 and $4,600,417,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 25,956 | 189 | 22,830 | 247 | |
Issued in Lieu of Cash Distributions | 2,428 | 18 | 4,603 | 45 | |
Redeemed | (83,972) | (610) | (131,758) | (1,409) | |
Net Increase (Decrease)—Investor Shares | (55,588) | (403) | (104,325) | (1,117) | |
ETF Shares | |||||
Issued | 6,362,626 | 35,168 | 14,624,815 | 107,064 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (4,679,316) | (26,100) | (12,360,864) | (87,800) | |
Net Increase (Decrease)—ETF Shares | 1,683,310 | 9,068 | 2,263,951 | 19,264 | |
Admiral Shares | |||||
Issued | 2,386,649 | 17,506 | 3,059,775 | 34,243 | |
Issued in Lieu of Cash Distributions | 142,564 | 1,059 | 247,838 | 2,462 | |
Redeemed | (2,559,207) | (18,800) | (5,147,336) | (56,192) | |
Net Increase (Decrease)—Admiral Shares | (29,994) | (235) | (1,839,723) | (19,487) | |
Institutional Shares | |||||
Issued | 2,811,874 | 20,718 | 2,848,323 | 30,960 | |
Issued in Lieu of Cash Distributions | 115,418 | 857 | 191,072 | 1,896 | |
Redeemed | (2,336,021) | (16,993) | (3,699,883) | (39,412) | |
Net Increase (Decrease)—Institutional Shares | 591,271 | 4,582 | (660,488) | (6,556) | |
Institutional Plus Shares | |||||
Issued | 2,421,687 | 7,101 | 1,524,569 | 6,648 | |
Issued in Lieu of Cash Distributions | 76,028 | 229 | 122,184 | 493 | |
Redeemed | (1,129,373) | (3,322) | (2,165,663) | (9,455) | |
Net Increase (Decrease)—Institutional Plus Shares | 1,368,342 | 4,008 | (518,910) | (2,314) | |
Institutional Select Shares | |||||
Issued | 1,260,029 | 5,758 | 1,631,575 | 10,461 | |
Issued in Lieu of Cash Distributions | 163,026 | 753 | 266,898 | 1,647 | |
Redeemed | (645,843) | (2,955) | (2,196,370) | (14,775) | |
Net Increase (Decrease)—Institutional Select Shares | 777,212 | 3,556 | (297,897) | (2,667) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 3.3% |
Consumer Discretionary | 15.8 |
Consumer Staples | 3.8 |
Energy | 4.3 |
Financials | 11.2 |
Health Care | 11.8 |
Industrials | 14.6 |
Real Estate | 8.7 |
Technology | 18.7 |
Telecommunications | 2.2 |
Utilities | 5.6 |
Shares | Market Value• ($000) | |||||
Pinnacle West Capital Corp. | 1,255,360 | 102,902 | ||||
Avangrid Inc. | 1,723,595 | 88,644 | ||||
8,527,708 | ||||||
Total Common Stocks (Cost $87,730,938) |
153,024,446 | |||||
Temporary Cash Investments (1.2%) | ||||||
Money Market Fund (1.2%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.056% (Cost $1,832,128) |
18,323,399 | 1,832,340 | |||
Total Investments (100.5%) (Cost $89,563,066) |
154,856,786 | |||||
Other Assets and Liabilities—Net (-0.5%) | (744,529) | |||||
Net Assets (100%) | 154,112,257 |
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 $883,108,000. |
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 $911,072,000 was received for securities on loan, of which $866,001,000 is held in Vanguard Market Liquidity Fund and $45,071,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 130 | 15,001 | (49) |
E-mini S&P 500 Index | September 2021 | 1,742 | 373,537 | 4,178 |
E-mini S&P Mid-Cap 400 Index | September 2021 | 495 | 133,274 | (2,652) |
1,477 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date |
Counterparty | Notional Amount ($000) |
Floating Interest Rate Received (Paid)1 (%) |
Value
and Unrealized Appreciation ($000) |
Value
and Unrealized (Depreciation) ($000) |
Ameren Corp. | 1/31/22 | GSI | 1,292 | (0.082) | — | (83) |
Campbell Soup Co. | 1/31/22 | GSI | 45,370 | (0.082) | 219 | — |
Consolidated Edison Inc. | 8/31/21 | BOANA | 131,308 | (0.636) | — | (8,131) |
Consolidated Edison Inc. | 8/31/21 | BOANA | 46,344 | (0.486) | — | (2,865) |
Hormel Foods Corp. | 1/31/22 | GSI | 21,888 | (0.082) | — | (401) |
Match Group Inc. | 8/31/21 | BOANA | 21,507 | (0.086) | 2,679 | — |
RingCentral Inc. | 8/31/21 | BOANA | 22,310 | (0.586) | 2,379 | — |
Roku Inc. | 8/31/21 | BOANA | 62,408 | (0.086) | 20,253 | — |
State Street Corp. | 8/31/22 | BOANA | 165,262 | (0.586) | — | (8,018) |
Vistra Corp. | 8/31/21 | BOANA | 15,685 | (0.386) | 2,449 | — |
Williams Cos. Inc. | 8/31/21 | BOANA | 52,680 | (0.486) | 1,220 | — |
29,199 | (19,498) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $87,730,938) | 153,024,446 |
Affiliated Issuers (Cost $1,832,128) | 1,832,340 |
Total Investments in Securities | 154,856,786 |
Investment in Vanguard | 5,256 |
Cash | 45,071 |
Cash Collateral Pledged—Futures Contracts | 26,695 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 70 |
Receivables for Investment Securities Sold | 61,365 |
Receivables for Accrued Income | 144,264 |
Receivables for Capital Shares Issued | 39,953 |
Variation Margin Receivable—Futures Contracts | 724 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 29,199 |
Total Assets | 155,209,383 |
Liabilities | |
Due to Custodian | 60,884 |
Payables for Investment Securities Purchased | 12,903 |
Collateral for Securities on Loan | 911,072 |
Payables for Capital Shares Redeemed | 90,026 |
Payables to Vanguard | 2,743 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 19,498 |
Total Liabilities | 1,097,126 |
Net Assets | 154,112,257 |
Statement of Assets and Liabilities (continued)
| |
At June 30, 2021, net assets consisted of: | |
($000s, except shares and per-share amounts) | Amount |
Paid-in Capital | 91,699,513 |
Total Distributable Earnings (Loss) | 62,412,744 |
Net Assets | 154,112,257 |
Investor Shares—Net Assets | |
Applicable
to 12,998,687 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
842,331 |
Net Asset Value Per Share—Investor Shares | $64.80 |
ETF Shares—Net Assets | |
Applicable
to 210,218,678 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
49,890,262 |
Net Asset Value Per Share—ETF Shares | $237.33 |
Admiral Shares—Net Assets | |
Applicable
to 208,557,859 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
61,304,765 |
Net Asset Value Per Share—Admiral Shares | $293.95 |
Institutional Shares—Net Assets | |
Applicable
to 387,734,367 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
25,177,262 |
Net Asset Value Per Share—Institutional Shares | $64.93 |
Institutional Plus Shares—Net Assets | |
Applicable
to 52,765,073 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
16,897,637 |
Net Asset Value Per Share—Institutional Plus Shares | $320.24 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 779,424 |
Interest1 | 361 |
Securities Lending—Net | 6,542 |
Total Income | 786,327 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,990 |
Management and Administrative—Investor Shares | 681 |
Management and Administrative—ETF Shares | 6,847 |
Management and Administrative—Admiral Shares | 12,412 |
Management and Administrative—Institutional Shares | 4,044 |
Management and Administrative—Institutional Plus Shares | 2,013 |
Marketing and Distribution—Investor Shares | 18 |
Marketing and Distribution—ETF Shares | 776 |
Marketing and Distribution—Admiral Shares | 801 |
Marketing and Distribution—Institutional Shares | 259 |
Marketing and Distribution—Institutional Plus Shares | 79 |
Custodian Fees | 96 |
Shareholders’ Reports—Investor Shares | 3 |
Shareholders’ Reports—ETF Shares | 874 |
Shareholders’ Reports—Admiral Shares | 261 |
Shareholders’ Reports—Institutional Shares | 88 |
Shareholders’ Reports—Institutional Plus Shares | 41 |
Trustees’ Fees and Expenses | 20 |
Total Expenses | 31,303 |
Net Investment Income | 755,024 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 5,981,398 |
Futures Contracts | 72,373 |
Swap Contracts | 66,590 |
Realized Net Gain (Loss) | 6,120,361 |
Statement of Operations (continued) | |
Six
Months Ended June 30, 2021 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 13,401,964 |
Futures Contracts | (3,711) |
Swap Contracts | (5,445) |
Change in Unrealized Appreciation (Depreciation) | 13,392,808 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,268,193 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $359,000, $103,000, and ($104,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $4,595,403,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 755,024 | 1,785,629 | |
Realized Net Gain (Loss) | 6,120,361 | 1,159,065 | |
Change in Unrealized Appreciation (Depreciation) | 13,392,808 | 18,100,382 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,268,193 | 21,045,076 | |
Distributions | |||
Investor Shares | (4,410) | (12,175) | |
ETF Shares | (274,613) | (572,413) | |
Admiral Shares | (337,655) | (778,637) | |
Institutional Shares | (140,760) | (329,676) | |
Institutional Plus Shares | (93,644) | (231,416) | |
Total Distributions | (851,082) | (1,924,317) | |
Capital Share Transactions | |||
Investor Shares | (107,190) | (154,201) | |
ETF Shares | 2,184,280 | 5,989,817 | |
Admiral Shares | 191,005 | (1,686,781) | |
Institutional Shares | (350,656) | (1,236,767) | |
Institutional Plus Shares | (173,130) | (649,316) | |
Net Increase (Decrease) from Capital Share Transactions | 1,744,309 | 2,262,752 | |
Total Increase (Decrease) | 21,161,420 | 21,383,511 | |
Net Assets | |||
Beginning of Period | 132,950,837 | 111,567,326 | |
End of Period | 154,112,257 | 132,950,837 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $56.52 | $48.64 | $37.71 | $42.23 | $35.92 | $32.79 |
Investment Operations | ||||||
Net Investment Income | .2821 | .6981 | .5771 | .6401 | .5201 | .472 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.319 | 7.937 | 11.018 | (4.528) | 6.313 | 3.138 |
Total from Investment Operations | 8.601 | 8.635 | 11.595 | (3.888) | 6.833 | 3.610 |
Distributions | ||||||
Dividends from Net Investment Income | (.321) | (.755) | (.665) | (.632) | (.523) | (.480) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.321) | (.755) | (.665) | (.632) | (.523) | (.480) |
Net Asset Value, End of Period | $64.80 | $56.52 | $48.64 | $37.71 | $42.23 | $35.92 |
Total Return2 | 15.25% | 18.10% | 30.86% | -9.34% | 19.12% | 11.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $842 | $834 | $877 | $3,043 | $4,047 | $4,138 |
Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% |
Ratio of Net Investment Income to Average Net Assets | 0.94% | 1.49% | 1.31% | 1.49% | 1.34% | 1.42% |
Portfolio Turnover Rate3 | 10% | 26% | 15% | 16% | 14% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $207.00 | $178.14 | $138.08 | $154.65 | $131.55 | $120.07 |
Investment Operations | ||||||
Net Investment Income | 1.1761 | 2.7721 | 2.6631 | 2.5351 | 2.1121 | 1.877 |
Net Realized and Unrealized Gain (Loss) on Investments | 30.477 | 29.084 | 40.043 | (16.584) | 23.076 | 11.510 |
Total from Investment Operations | 31.653 | 31.856 | 42.706 | (14.049) | 25.188 | 13.387 |
Distributions | ||||||
Dividends from Net Investment Income | (1.323) | (2.996) | (2.646) | (2.521) | (2.088) | (1.907) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.323) | (2.996) | (2.646) | (2.521) | (2.088) | (1.907) |
Net Asset Value, End of Period | $237.33 | $207.00 | $178.14 | $138.08 | $154.65 | $131.55 |
Total Return | 15.32% | 18.22% | 31.04% | -9.21% | 19.25% | 11.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $49,890 | $41,587 | $29,014 | $21,261 | $21,937 | $16,544 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 1.61% | 1.62% | 1.62% | 1.46% | 1.54% |
Portfolio Turnover Rate2 | 10% | 26% | 15% | 16% | 14% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $256.40 | $220.66 | $171.04 | $191.55 | $162.94 | $148.72 |
Investment Operations | ||||||
Net Investment Income | 1.4411 | 3.4181 | 3.2961 | 3.1351 | 2.6061 | 2.325 |
Net Realized and Unrealized Gain (Loss) on Investments | 37.733 | 36.010 | 49.578 | (20.539) | 28.591 | 14.257 |
Total from Investment Operations | 39.174 | 39.428 | 52.874 | (17.404) | 31.197 | 16.582 |
Distributions | ||||||
Dividends from Net Investment Income | (1.624) | (3.688) | (3.254) | (3.106) | (2.587) | (2.362) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.624) | (3.688) | (3.254) | (3.106) | (2.587) | (2.362) |
Net Asset Value, End of Period | $293.95 | $256.40 | $220.66 | $171.04 | $191.55 | $162.94 |
Total Return2 | 15.31% | 18.24% | 31.03% | -9.23% | 19.25% | 11.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $61,305 | $53,301 | $47,640 | $34,754 | $37,778 | $29,854 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.06% | 1.61% | 1.62% | 1.61% | 1.46% | 1.54% |
Portfolio Turnover Rate3 | 10% | 26% | 15% | 16% | 14% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $56.64 | $48.74 | $37.78 | $42.32 | $35.99 | $32.85 |
Investment Operations | ||||||
Net Investment Income | .3211 | .7591 | .7271 | .6971 | .5801 | .516 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.331 | 7.961 | 10.957 | (4.547) | 6.325 | 3.148 |
Total from Investment Operations | 8.652 | 8.720 | 11.684 | (3.850) | 6.905 | 3.664 |
Distributions | ||||||
Dividends from Net Investment Income | (.362) | (.820) | (.724) | (.690) | (.575) | (.524) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.362) | (.820) | (.724) | (.690) | (.575) | (.524) |
Net Asset Value, End of Period | $64.93 | $56.64 | $48.74 | $37.78 | $42.32 | $35.99 |
Total Return | 15.31% | 18.26% | 31.04% | -9.24% | 19.29% | 11.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,177 | $22,291 | $20,425 | $16,524 | $18,222 | $14,540 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 1.62% | 1.62% | 1.62% | 1.47% | 1.55% |
Portfolio Turnover Rate2 | 10% | 26% | 15% | 16% | 14% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $279.34 | $240.40 | $186.34 | $208.69 | $177.51 | $162.03 |
Investment Operations | ||||||
Net Investment Income | 1.5981 | 3.7741 | 3.5981 | 3.4641 | 2.8561 | 2.564 |
Net Realized and Unrealized Gain (Loss) on Investments | 41.101 | 39.230 | 54.052 | (22.388) | 31.179 | 15.524 |
Total from Investment Operations | 42.699 | 43.004 | 57.650 | (18.924) | 34.035 | 18.088 |
Distributions | ||||||
Dividends from Net Investment Income | (1.799) | (4.064) | (3.590) | (3.426) | (2.855) | (2.608) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.799) | (4.064) | (3.590) | (3.426) | (2.855) | (2.608) |
Net Asset Value, End of Period | $320.24 | $279.34 | $240.40 | $186.34 | $208.69 | $177.51 |
Total Return | 15.32% | 18.27% | 31.06% | -9.21% | 19.28% | 11.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,898 | $14,937 | $13,612 | $11,426 | $12,749 | $11,415 |
Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 1.63% | 1.62% | 1.63% | 1.48% | 1.56% |
Portfolio Turnover Rate2 | 10% | 26% | 15% | 16% | 14% | 15% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 153,024,446 | — | — | 153,024,446 |
Temporary Cash Investments | 1,832,340 | — | — | 1,832,340 |
Total | 154,856,786 | — | — | 154,856,786 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,178 | — | — | 4,178 |
Swap Contracts | — | 29,199 | — | 29,199 |
Total | 4,178 | 29,199 | — | 33,377 |
Liabilities | ||||
Futures Contracts1 | 2,701 | — | — | 2,701 |
Swap Contracts | — | 19,498 | — | 19,498 |
Total | 2,701 | 19,498 | — | 22,199 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 89,619,343 |
Gross Unrealized Appreciation | 66,496,444 |
Gross Unrealized Depreciation | (1,247,823) |
Net Unrealized Appreciation (Depreciation) | 65,248,621 |
E. | During the six months ended June 30, 2021, the fund purchased $22,310,815,000 of investment securities and sold $20,840,756,000 of investment securities, other than temporary cash investments. Purchases and sales include $8,764,169,000 and $6,933,236,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 35,730 | 585 | 44,080 | 979 | |
Issued in Lieu of Cash Distributions | 4,410 | 72 | 12,175 | 263 | |
Redeemed | (147,330) | (2,417) | (210,456) | (4,509) | |
Net Increase (Decrease)—Investor Shares | (107,190) | (1,760) | (154,201) | (3,267) | |
ETF Shares | |||||
Issued | 9,090,715 | 39,995 | 15,531,899 | 91,028 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (6,906,435) | (30,675) | (9,542,082) | (53,000) | |
Net Increase (Decrease)—ETF Shares | 2,184,280 | 9,320 | 5,989,817 | 38,028 | |
Admiral Shares | |||||
Issued | 4,605,950 | 16,674 | 7,980,693 | 38,938 | |
Issued in Lieu of Cash Distributions | 292,124 | 1,044 | 681,716 | 3,239 | |
Redeemed | (4,707,069) | (17,043) | (10,349,190) | (50,192) | |
Net Increase (Decrease)—Admiral Shares | 191,005 | 675 | (1,686,781) | (8,015) | |
Institutional Shares | |||||
Issued | 2,320,029 | 37,889 | 3,188,268 | 69,770 | |
Issued in Lieu of Cash Distributions | 130,697 | 2,115 | 306,154 | 6,581 | |
Redeemed | (2,801,382) | (45,832) | (4,731,189) | (101,811) | |
Net Increase (Decrease)—Institutional Shares | (350,656) | (5,828) | (1,236,767) | (25,460) | |
Institutional Plus Shares | |||||
Issued | 833,049 | 2,703 | 2,101,329 | 9,035 | |
Issued in Lieu of Cash Distributions | 93,620 | 307 | 229,076 | 1,003 | |
Redeemed | (1,099,799) | (3,719) | (2,979,721) | (13,185) | |
Net Increase (Decrease)—Institutional Plus Shares | (173,130) | (709) | (649,316) | (3,147) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 1.0% |
Consumer Discretionary | 15.4 |
Consumer Staples | 1.5 |
Energy | 3.0 |
Financials | 5.3 |
Health Care | 16.9 |
Industrials | 17.4 |
Real Estate | 6.6 |
Technology | 30.0 |
Telecommunications | 2.0 |
Utilities | 0.9 |
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 | September 2021 | 96 | 20,585 | 55 |
E-mini S&P Mid-Cap 400 Index | September 2021 | 55 | 14,808 | (194) |
(139) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $14,133,843) | 23,282,227 |
Affiliated Issuers (Cost $47,070) | 47,072 |
Total Investments in Securities | 23,329,299 |
Investment in Vanguard | 768 |
Cash Collateral Pledged—Futures Contracts | 1,316 |
Receivables for Investment Securities Sold | 12,109 |
Receivables for Accrued Income | 5,201 |
Receivables for Capital Shares Issued | 18,638 |
Variation Margin Receivable—Futures Contracts | 35 |
Total Assets | 23,367,366 |
Liabilities | |
Due to Custodian | 11,859 |
Payables for Investment Securities Purchased | 2,002 |
Collateral for Securities on Loan | 30,083 |
Payables for Capital Shares Redeemed | 14,437 |
Payables to Vanguard | 664 |
Total Liabilities | 59,045 |
Net Assets | 23,308,321 |
At June 30, 2021, net assets consisted of: | |
Paid-in Capital | 13,928,804 |
Total Distributable Earnings (Loss) | 9,379,517 |
Net Assets | 23,308,321 |
Investor Shares—Net Assets | |
Applicable
to 894,610 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
83,121 |
Net Asset Value Per Share—Investor Shares | $92.91 |
ETF Shares—Net Assets | |
Applicable
to 47,645,978 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
11,257,786 |
Net Asset Value Per Share—ETF Shares | $236.28 |
Admiral Shares—Net Assets | |
Applicable
to 117,662,897 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
11,967,414 |
Net Asset Value Per Share—Admiral Shares | $101.71 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 39,368 |
Interest1 | 7 |
Securities Lending—Net | 825 |
Total Income | 40,200 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,179 |
Management and Administrative—Investor Shares | 69 |
Management and Administrative—ETF Shares | 2,642 |
Management and Administrative—Admiral Shares | 3,029 |
Marketing and Distribution—Investor Shares | 2 |
Marketing and Distribution—ETF Shares | 168 |
Marketing and Distribution—Admiral Shares | 185 |
Custodian Fees | 29 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 264 |
Shareholders’ Reports—Admiral Shares | 63 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 7,633 |
Net Investment Income | 32,567 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,483,682 |
Futures Contracts | 2,538 |
Realized Net Gain (Loss) | 1,486,220 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 884,574 |
Futures Contracts | (459) |
Change in Unrealized Appreciation (Depreciation) | 884,115 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,402,902 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $1,325,942,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 32,567 | 103,809 | |
Realized Net Gain (Loss) | 1,486,220 | 651,931 | |
Change in Unrealized Appreciation (Depreciation) | 884,115 | 4,547,237 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,402,902 | 5,302,977 | |
Distributions | |||
Investor Shares | (80) | (369) | |
ETF Shares | (16,749) | (54,537) | |
Admiral Shares | (17,929) | (59,779) | |
Total Distributions | (34,758) | (114,685) | |
Capital Share Transactions | |||
Investor Shares | (6,547) | (1,935) | |
ETF Shares | (32,901) | 649,823 | |
Admiral Shares | 22,855 | (111,739) | |
Net Increase (Decrease) from Capital Share Transactions | (16,593) | 536,149 | |
Total Increase (Decrease) | 2,351,551 | 5,724,441 | |
Net Assets | |||
Beginning of Period | 20,956,770 | 15,232,329 | |
End of Period | 23,308,321 | 20,956,770 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $83.37 | $62.43 | $47.02 | $50.21 | $41.52 | $39.22 |
Investment Operations | ||||||
Net Investment Income | .0791 | .3401 | .3451 | .3331 | .3041 | .290 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.547 | 20.984 | 15.485 | (3.193) | 8.692 | 2.299 |
Total from Investment Operations | 9.626 | 21.324 | 15.830 | (2.860) | 8.996 | 2.589 |
Distributions | ||||||
Dividends from Net Investment Income | (.086) | (.384) | (.420) | (.330) | (.306) | (.289) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.086) | (.384) | (.420) | (.330) | (.306) | (.289) |
Net Asset Value, End of Period | $92.91 | $83.37 | $62.43 | $47.02 | $50.21 | $41.52 |
Total Return2 | 11.55% | 34.32% | 33.72% | -5.74% | 21.72% | 6.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $83 | $81 | $63 | $405 | $495 | $460 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 0.19% | 0.51% | 0.62% | 0.64% | 0.67% | 0.74% |
Portfolio Turnover Rate3 | 15% | 22% | 18% | 25% | 23% | 21% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $212.00 | $158.76 | $119.58 | $127.67 | $105.60 | $99.75 |
Investment Operations | ||||||
Net Investment Income | .3271 | 1.0741 | 1.3861 | 1.0161 | .9321 | .863 |
Net Realized and Unrealized Gain (Loss) on Investments | 24.306 | 53.347 | 39.040 | (8.101) | 22.058 | 5.848 |
Total from Investment Operations | 24.633 | 54.421 | 40.426 | (7.085) | 22.990 | 6.711 |
Distributions | ||||||
Dividends from Net Investment Income | (.353) | (1.181) | (1.246) | (1.005) | (.920) | (.861) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.353) | (1.181) | (1.246) | (1.005) | (.920) | (.861) |
Net Asset Value, End of Period | $236.28 | $212.00 | $158.76 | $119.58 | $127.67 | $105.60 |
Total Return | 11.63% | 34.46% | 33.86% | -5.60% | 21.83% | 6.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,258 | $10,164 | $6,995 | $4,956 | $5,130 | $3,576 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.31% | 0.63% | 0.95% | 0.76% | 0.79% | 0.86% |
Portfolio Turnover Rate2 | 15% | 22% | 18% | 25% | 23% | 21% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $91.26 | $68.34 | $51.48 | $54.96 | $45.46 | $42.94 |
Investment Operations | ||||||
Net Investment Income | .1421 | .4611 | .6031 | .4371 | .4001 | .370 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.460 | 22.967 | 16.793 | (3.485) | 9.496 | 2.519 |
Total from Investment Operations | 10.602 | 23.428 | 17.396 | (3.048) | 9.896 | 2.889 |
Distributions | ||||||
Dividends from Net Investment Income | (.152) | (.508) | (.536) | (.432) | (.396) | (.369) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.152) | (.508) | (.536) | (.432) | (.396) | (.369) |
Net Asset Value, End of Period | $101.71 | $91.26 | $68.34 | $51.48 | $54.96 | $45.46 |
Total Return2 | 11.63% | 34.48% | 33.86% | -5.60% | 21.83% | 6.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,967 | $10,712 | $8,173 | $5,544 | $5,659 | $3,923 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.31% | 0.63% | 0.96% | 0.76% | 0.79% | 0.86% |
Portfolio Turnover Rate3 | 15% | 22% | 18% | 25% | 23% | 21% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of June 30, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 14,186,924 |
Gross Unrealized Appreciation | 9,346,083 |
Gross Unrealized Depreciation | (203,847) |
Net Unrealized Appreciation (Depreciation) | 9,142,236 |
E. | During the six months ended June 30, 2021, the fund purchased $5,496,047,000 of investment securities and sold $5,512,682,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,962,373,000 and $2,157,227,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 8,113 | 94 | 18,844 | 279 | |
Issued in Lieu of Cash Distributions | 80 | 1 | 369 | 6 | |
Redeemed | (14,740) | (170) | (21,148) | (332) | |
Net Increase (Decrease)—Investor Shares | (6,547) | (75) | (1,935) | (47) | |
ETF Shares | |||||
Issued | 2,138,449 | 9,652 | 2,610,129 | 14,482 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,171,350) | (9,950) | (1,960,306) | (10,600) | |
Net Increase (Decrease)—ETF Shares | (32,901) | (298) | 649,823 | 3,882 |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Admiral Shares | |||||
Issued | 1,335,130 | 14,135 | 2,288,238 | 31,674 | |
Issued in Lieu of Cash Distributions | 16,045 | 169 | 53,622 | 742 | |
Redeemed | (1,328,320) | (14,014) | (2,453,599) | (34,639) | |
Net Increase (Decrease)—Admiral Shares | 22,855 | 290 | (111,739) | (2,223) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
Basic Materials | 5.7% |
Consumer Discretionary | 16.2 |
Consumer Staples | 6.5 |
Energy | 5.7 |
Financials | 17.7 |
Health Care | 6.1 |
Industrials | 11.5 |
Real Estate | 10.8 |
Technology | 6.4 |
Telecommunications | 2.5 |
Utilities | 10.9 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.7%) | ||||||
Money Market Fund (0.7%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 0.056% (Cost $201,080) |
2,010,861 | 201,086 | |||
Total Investments (100.6%) (Cost $18,734,219) |
26,953,634 | |||||
Other Assets and Liabilities—Net (-0.6%) | (166,752) | |||||
Net Assets (100%) | 26,786,882 |
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 $208,817,000. |
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 $214,352,000 was received for securities on loan, of which $179,972,000 is held in Vanguard Market Liquidity Fund and $34,380,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number
of Long (Short) Contracts |
Notional Amount |
Value
and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 9 | 1,930 | 27 |
E-mini S&P Mid-Cap 400 Index | September 2021 | 145 | 39,040 | (777) |
(750) |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $18,533,139) | 26,752,548 |
Affiliated Issuers (Cost $201,080) | 201,086 |
Total Investments in Securities | 26,953,634 |
Investment in Vanguard | 946 |
Cash | 5,821 |
Cash Collateral Pledged—Futures Contracts | 2,060 |
Receivables for Investment Securities Sold | 28,775 |
Receivables for Accrued Income | 45,919 |
Receivables for Capital Shares Issued | 20,431 |
Variation Margin Receivable—Futures Contracts | 41 |
Total Assets | 27,057,627 |
Liabilities | |
Payables for Investment Securities Purchased | 29,131 |
Collateral for Securities on Loan | 214,352 |
Payables for Capital Shares Redeemed | 26,487 |
Payables to Vanguard | 775 |
Total Liabilities | 270,745 |
Net Assets | 26,786,882 |
At June 30, 2021, net assets consisted of: | |
Paid-in Capital | 21,297,185 |
Total Distributable Earnings (Loss) | 5,489,697 |
Net Assets | 26,786,882 |
Investor Shares—Net Assets | |
Applicable
to 1,009,904 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
55,860 |
Net Asset Value Per Share—Investor Shares | $55.31 |
ETF Shares—Net Assets | |
Applicable
to 102,647,830 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
14,420,565 |
Net Asset Value Per Share—ETF Shares | $140.49 |
Admiral Shares—Net Assets | |
Applicable
to 169,154,767 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
12,310,457 |
Net Asset Value Per Share—Admiral Shares | $72.78 |
Six
Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 228,112 |
Interest1 | 7 |
Securities Lending—Net | 1,192 |
Total Income | 229,311 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,199 |
Management and Administrative—Investor Shares | 43 |
Management and Administrative—ETF Shares | 3,036 |
Management and Administrative—Admiral Shares | 3,158 |
Marketing and Distribution—Investor Shares | 2 |
Marketing and Distribution—ETF Shares | 195 |
Marketing and Distribution—Admiral Shares | 200 |
Custodian Fees | 28 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 685 |
Shareholders’ Reports—Admiral Shares | 70 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 8,619 |
Net Investment Income | 220,692 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 656,940 |
Futures Contracts | 4,389 |
Realized Net Gain (Loss) | 661,329 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 3,228,152 |
Futures Contracts | (1,273) |
Change in Unrealized Appreciation (Depreciation) | 3,226,879 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,108,900 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,000, $7,000, and ($7,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $262,477,000 of net gain (loss) resulting from in-kind redemptions. |
Six
Months Ended June 30, 2021 |
Year
Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 220,692 | 499,306 | |
Realized Net Gain (Loss) | 661,329 | (1,007,235) | |
Change in Unrealized Appreciation (Depreciation) | 3,226,879 | 863,169 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,108,900 | 355,240 | |
Distributions | |||
Investor Shares | (448) | (1,066) | |
ETF Shares | (124,472) | (251,536) | |
Admiral Shares | (107,290) | (250,673) | |
Total Distributions | (232,210) | (503,275) | |
Capital Share Transactions | |||
Investor Shares | 4,688 | (7,436) | |
ETF Shares | 1,316,190 | 694,076 | |
Admiral Shares | 393,720 | (882,562) | |
Net Increase (Decrease) from Capital Share Transactions | 1,714,598 | (195,922) | |
Total Increase (Decrease) | 5,591,288 | (343,957) | |
Net Assets | |||
Beginning of Period | 21,195,594 | 21,539,551 | |
End of Period | 26,786,882 | 21,195,594 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $46.83 | $46.96 | $37.50 | $43.89 | $38.24 | $33.86 |
Investment Operations | ||||||
Net Investment Income | .4411 | 1.0481,2 | .8081 | 1.0011,3 | .7711 | .675 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.498 | (.122) | 9.566 | (6.415) | 5.646 | 4.396 |
Total from Investment Operations | 8.939 | .926 | 10.374 | (5.414) | 6.417 | 5.071 |
Distributions | ||||||
Dividends from Net Investment Income | (.459) | (1.056) | (.914) | (.976) | (.767) | (.691) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.459) | (1.056) | (.914) | (.976) | (.767) | (.691) |
Net Asset Value, End of Period | $55.31 | $46.83 | $46.96 | $37.50 | $43.89 | $38.24 |
Total Return4 | 19.12% | 2.43% | 27.82% | -12.53% | 16.91% | 15.11% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $56 | $43 | $52 | $508 | $682 | $666 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 1.69% | 2.58%2 | 1.90% | 2.29%3 | 1.92% | 2.02% |
Portfolio Turnover Rate5 | 8% | 39% | 17% | 17% | 17% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.142 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.111 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $118.93 | $119.27 | $95.22 | $111.47 | $97.12 | $85.99 |
Investment Operations | ||||||
Net Investment Income | 1.2021 | 2.7811,2 | 2.4971 | 2.6451,3 | 2.1161 | 1.822 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.600 | (.310) | 23.996 | (16.278) | 14.306 | 11.170 |
Total from Investment Operations | 22.802 | 2.471 | 26.493 | (13.633) | 16.422 | 12.992 |
Distributions | ||||||
Dividends from Net Investment Income | (1.242) | (2.811) | (2.443) | (2.617) | (2.072) | (1.862) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.242) | (2.811) | (2.443) | (2.617) | (2.072) | (1.862) |
Net Asset Value, End of Period | $140.49 | $118.93 | $119.27 | $95.22 | $111.47 | $97.12 |
Total Return | 19.20% | 2.50% | 27.98% | -12.41% | 17.05% | 15.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,421 | $11,061 | $10,339 | $7,898 | $8,355 | $6,383 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 2.69%2 | 2.26% | 2.41%3 | 2.04% | 2.14% |
Portfolio Turnover Rate4 | 8% | 39% | 17% | 17% | 17% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.362 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.282 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period |
Six Months Ended June 30, 2021 |
Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $61.61 | $61.79 | $49.33 | $57.74 | $50.31 | $44.54 |
Investment Operations | ||||||
Net Investment Income | .6211 | 1.4381,2 | 1.3031 | 1.3851,3 | 1.0961 | .942 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.192 | (.162) | 12.422 | (8.439) | 7.407 | 5.791 |
Total from Investment Operations | 11.813 | 1.276 | 13.725 | (7.054) | 8.503 | 6.733 |
Distributions | ||||||
Dividends from Net Investment Income | (.643) | (1.456) | (1.265) | (1.356) | (1.073) | (.963) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.643) | (1.456) | (1.265) | (1.356) | (1.073) | (.963) |
Net Asset Value, End of Period | $72.78 | $61.61 | $61.79 | $49.33 | $57.74 | $50.31 |
Total Return4 | 19.21% | 2.54% | 27.99% | -12.42% | 17.04% | 15.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,310 | $10,092 | $11,148 | $7,738 | $8,134 | $5,949 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 2.69%2 | 2.28% | 2.41%3 | 2.04% | 2.14% |
Portfolio Turnover Rate5 | 8% | 39% | 17% | 17% | 17% | 20% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.187 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.146 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
5 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
C. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
D. | As of June 30, 2021, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 18,758,677 |
Gross Unrealized Appreciation | 8,434,984 |
Gross Unrealized Depreciation | (240,777) |
Net Unrealized Appreciation (Depreciation) | 8,194,207 |
E. | During the six months ended June 30, 2021, the fund purchased $4,063,517,000 of investment securities and sold $2,345,997,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,713,137,000 and $456,006,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
Investor Shares | |||||
Issued | 10,060 | 188 | 8,255 | 208 | |
Issued in Lieu of Cash Distributions | 448 | 8 | 1,066 | 27 | |
Redeemed | (5,820) | (111) | (16,757) | (423) | |
Net Increase (Decrease)—Investor Shares | 4,688 | 85 | (7,436) | (188) |
Six Months Ended June 30, 2021 |
Year Ended December 31, 2020 | ||||
Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
ETF Shares | |||||
Issued | 1,788,357 | 13,021 | 3,661,867 | 35,714 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (472,167) | (3,375) | (2,967,791) | (29,400) | |
Net Increase (Decrease)—ETF Shares | 1,316,190 | 9,646 | 694,076 | 6,314 | |
Admiral Shares | |||||
Issued | 1,769,591 | 25,323 | 2,506,721 | 48,206 | |
Issued in Lieu of Cash Distributions | 94,804 | 1,343 | 222,711 | 4,318 | |
Redeemed | (1,470,675) | (21,314) | (3,611,994) | (69,151) | |
Net Increase (Decrease)—Admiral Shares | 393,720 | 5,352 | (882,562) | (16,627) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |