Annual Report | August 31, 2020

Vanguard ESG U.S. Stock ETF

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents

Your Fund’s Performance at a Glance ...... 1

About Your Fund’s Expenses ...... 2

Performance Summary ...... 4

Financial Statements ...... 7

Trustees Approve Advisory Arrangements ...... 35

Liquidity Risk Management...... 37

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 ESG U.S. Stock ETF returned 27.60% for the 12 months ended August 31, 2020, roughly in line with the expense-free 27.71% return of its benchmark index. • A number of stock market indexes around the world climbed to record highs in February and then plummeted as the spread of the coronavirus beyond China led to lockdowns, the shuttering of nonessential businesses, and travel restrictions in many countries. However, the unprecedented scale of the response from policymakers, the start of trials for vaccines and treatments, and the easing of some pandemic-related restrictions helped lift investor sentiment. • U.S. stocks rebounded more strongly than both developed markets outside the United States and emerging markets. • For the fund’s benchmark, industry sector performances varied greatly over the 12 months. Technology, which accounts for the largest slice of the index, turned in a stellar performance of more than 60%. Consumer goods and consumer services also performed well. Utilities and oil and gas, the two smallest sectors, lagged, with returns in the red. Financials also turned in a negative performance.

Market Barometer Average Annual Total Returns Periods Ended August 31, 2020 One Year Three Years Five Years Stocks Russell 1000 Index (Large-caps) 22.50% 14.58% 14.31% Russell 2000 Index (Small-caps) 6.02 5.03 7.65 Russell 3000 Index (Broad U.S. market) 21.44 13.95 13.86 FTSE All-World ex US Index (International) 8.78 2.92 6.00

Bonds Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) 6.47% 5.09% 4.33% Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) 3.24 4.09 3.99 FTSE Three-Month U.S. Treasury Bill Index 1.18 1.67 1.15

CPI Consumer Price Index 1.31% 1.92% 1.75%

1 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.

2 Six Months Ended August 31, 2020 Beginning Ending Expenses Account Value Account Value Paid During ESG U.S. Stock ETF 2/29/2020 8/31/2020 Period Based on Actual Fund Return 1,000.00 1,239.20 0.68 Based on Hypothetical 5% Yearly Return 1,000.00 1,024.53 0.61 The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.12%. 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 (184/366).

3 ESG U.S. Stock 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: September 18, 2018,Through August 31, 2020 Initial Investment of $10,000

$16,000

13,194

6,000 2019 2020

Average Annual Total Returns Periods Ended August 31, 2020 Since Final Value One Inception ofa$10,000 Year (9/18/2018) Investment

ESG U.S. Stock ETF Net Asset Value 27.60% 15.26% $13,194 ESG U.S. Stock ETF Market Price 27.71 15.33 13,209

FTSE US All Cap Choice Index 27.71 15.39 13,223 Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 11.07 12,274 “Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

See Financial Highlights for dividend and capital gains information.

4 ESG U.S. Stock ETF

Cumulative Returns of ETF Shares: September 18, 2018,Through August 31, 2020

Since One Inception Year (9/18/2018) ESG U.S. Stock ETF Market Price 27.71% 32.09% ESG U.S. Stock ETF Net Asset Value 27.60 31.94 FTSE US All Cap Choice Index 27.71 32.23 ЉSince InceptionЉ performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. 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, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

5 ESG U.S. Stock ETF

Fund Allocation As of August 31, 2020

Basic Materials 2.0% Consumer Goods 8.7 Consumer Services 15.9 Financials 15.6 Health Care 13.7 Industrials 8.8 Oil & Gas 0.1 Technology 32.3 Telecommunications 1.9 Utilities 1.0 The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.

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

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

6 ESG U.S. Stock ETF

Financial Statements

Schedule of Investments As of August 31, 2020

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.

Market Market Value• Value• Shares ($000) Shares ($000) Common Stocks (99.8%) * Ingevity Corp. 2,976 167 * Basic Materials (2.0%) Element Solutions Inc. 15,286 164 Linde plc 35,491 8,864 Cabot Corp. 4,395 163 Air Products & NewMarket Corp. 438 163 Chemicals Inc. 14,892 4,352 W R Grace & Co. 3,854 157 Newmont Corp. 54,115 3,641 * Coeur Mining Inc. 16,408 139 DuPont de Nemours Inc. 49,766 2,775 Westlake Chemical Corp. 2,317 137 Dow Inc. 50,328 2,271 Compass Minerals Fastenal Co. 38,638 1,888 International Inc. 2,128 121 LyondellBasell Industries NV United States Steel Corp. 14,906 117 Class A 17,386 1,138 Innospec Inc. 1,500 112 International Paper Co. 27,040 981 Domtar Corp. 3,795 108 Nucor Corp. 20,697 941 Minerals Technologies Inc. 2,104 107 FMC Corp. 8,722 932 * GCP Applied International Flavors & Technologies Inc. 3,005 78 Fragrances Inc. 7,225 894 Kaiser Aluminum Corp. 1,030 66 Celanese Corp. Class A 7,767 786 * Ferro Corp. 4,354 54 RPM International Inc. 8,434 715 Trinseo SA 2,143 53 Eastman Chemical Co. 9,020 660 * Constellium SE Class A 6,520 52 Albemarle Corp. 7,163 652 Schweitzer-Mauduit Royal Gold Inc. 4,502 614 International Inc. 1,627 49 CF Industries Holdings Inc. 14,597 476 Tronox Holdings plc Class A 4,829 43 Scotts Miracle-Gro Co. 2,678 451 Neenah Inc. 871 39 Reliance Steel & Aluminum Orion Engineered Carbons Co. 4,214 442 SA 3,241 39 * Mosaic Co. 24,161 441 Century Aluminum Co. 3,626 36 * Steel Dynamics Inc. 13,638 403 Kraton Corp. 1,701 24 * Axalta Coating Systems Ltd. 14,398 343 Tredegar Corp. 1,326 22 Huntsman Corp. 13,907 301 Nexa Resources SA 2,107 17 Ashland Global Holdings Inc. 3,802 280 39,896 UFP Industries Inc. 4,463 265 Consumer Goods (8.7%) Valvoline Inc. 12,626 258 * Tesla Inc. 50,120 24,976 Balchem Corp. 2,235 218 Procter & Gamble Co. 165,005 22,825 Hecla Mining Co. 35,337 213 PepsiCo Inc. 93,933 13,156 * Univar Solutions Inc. 11,664 212 Coca-Cola Co. 262,059 12,980 * Alcoa Corp. 13,284 194 NIKE Inc. Class B 82,036 9,179 HB Fuller Co. 3,909 188 Mondelez International Inc. Cleveland-Cliffs Inc. 28,446 187 Class A 95,622 5,586 Sensient Technologies Corp. 3,197 177 Colgate-Palmolive Co. 56,973 4,516 Quaker Chemical Corp. 910 173 Activision Blizzard Inc. 51,604 4,310 Stepan Co. 1,497 173 Kimberly-Clark Corp. 22,918 3,616 Avient Corp. 6,672 170

7 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) Estee Lauder Cos. Inc. Hanesbrands Inc. 23,392 358 Class A 14,999 3,326 * Mohawk Industries Inc. 3,774 348 * Lululemon Athletica Inc. 7,708 2,896 Thor Industries Inc. 3,689 348 * Electronic Arts Inc. 19,284 2,690 * Darling Ingredients Inc. 10,617 339 General Mills Inc. 41,138 2,631 *,1 Herbalife Nutrition Ltd. 6,899 339 * Monster Beverage Corp. 24,985 2,095 Toll Brothers Inc. 7,829 331 Clorox Co. 8,499 1,900 Flowers Foods Inc. 13,297 325 Ford Motor Co. 263,775 1,799 * Freshpet Inc. 2,677 304 McCormick & Co. Inc. Harley-Davidson Inc. 10,537 292 (Non-Voting) 8,355 1,723 Tapestry Inc. 19,153 282 Stanley Black & Decker Inc. 10,500 1,694 * Tempur Sealy Church & Dwight Co. Inc. 16,700 1,600 International Inc. 3,285 281 DR Horton Inc. 22,328 1,594 * Nomad Foods Ltd. 11,379 281 Aptiv plc 18,225 1,570 PVH Corp. 4,990 278 Kraft Heinz Co. 43,944 1,540 * Fox Factory Holding Corp. 2,748 277 Hershey Co. 9,969 1,482 * Skechers U.S.A. Inc. Class A 9,023 269 Corteva Inc. 50,986 1,456 * YETI Holdings Inc. 5,175 266 VF Corp. 22,130 1,455 * Mattel Inc. 23,912 257 Lennar Corp. Class A 18,342 1,372 * Meritage Homes Corp. 2,634 253 * Take-Two Interactive Carter's Inc. 3,056 243 Software Inc. 7,529 1,289 Ralph Lauren Corp. Class A 3,296 227 Conagra Brands Inc. 32,808 1,258 Lancaster Colony Corp. 1,237 220 Tyson Foods Inc. Class A 19,482 1,223 KB Home 6,152 220 Kellogg Co. 16,986 1,204 * Taylor Morrison Home Corp. Garmin Ltd. 10,243 1,061 Class A 9,215 217 Tiffany & Co. 8,258 1,012 LCI Industries 1,892 215 Hormel Foods Corp. 18,904 964 Energizer Holdings Inc. 4,492 208 * NVR Inc. 220 917 WD-40 Co. 963 197 Genuine Parts Co. 9,460 893 * Hain Celestial Group Inc. 5,757 189 J M Smucker Co. 7,433 893 Spectrum Brands Pool Corp. 2,600 852 Holdings Inc. 3,049 182 PulteGroup Inc. 17,901 798 * Under Armour Inc. Class A 18,510 182 Fortune Brands Home & * Crocs Inc. 4,502 180 Security Inc. 9,405 791 Columbia Sportswear Co. 2,082 178 Keurig Dr Pepper Inc. 26,032 777 * TreeHouse Foods Inc. 4,002 171 Whirlpool Corp. 4,164 740 * LGI Homes Inc. 1,522 170 Hasbro Inc. 8,574 677 Nu Skin Enterprises Inc. * LKQ Corp. 20,124 639 Class A 3,561 168 Campbell Soup Co. 11,837 623 Goodyear Tire & Rubber Co. 17,296 166 Lamb Weston Holdings Inc. 9,839 618 Sanderson Farms Inc. 1,375 161 BorgWarner Inc. 13,957 566 J & J Snack Foods Corp. 1,174 160 Coca-Cola European Partners MDC Holdings Inc. 3,536 153 plc 13,726 565 * Capri Holdings Ltd. 9,637 153 * Zynga Inc. Class A 59,406 538 * iRobot Corp. 1,990 147 * Beyond Meat Inc. 3,659 497 * Dorman Products Inc. 1,705 144 Autoliv Inc. 6,013 471 * Visteon Corp. 1,890 143 Lear Corp. 4,093 466 B&G Foods Inc. 4,155 129 Gentex Corp. 16,387 443 * TRI Pointe Group Inc. 7,606 128 Bunge Ltd. 9,353 427 Callaway Golf Co. 6,073 127 Newell Brands Inc. 26,138 418 Winnebago Industries Inc. 2,322 125 * Deckers Outdoor Corp. 1,912 390 Medifast Inc. 765 124 * Post Holdings Inc. 4,411 388 Dana Inc. 8,427 118 Leggett & Platt Inc. 9,160 376 Wolverine World Wide Inc. 4,680 117 * Helen of Troy Ltd. 1,794 371 Cooper Tire & Rubber Co. 3,327 115 Ingredion Inc. 4,580 368 * Edgewell Personal Care Co. 3,881 111 * US Foods Holding Corp. 15,074 367 Steven Madden Ltd. 5,224 111

8 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Delphi Technologies plc 5,864 102 * Charter Communications Inc. * Cavco Industries Inc. 532 102 Class A 10,111 6,224 * Central Garden & Pet Co. CVS Health Corp. 88,451 5,495 Class A 2,706 101 * Booking Holdings Inc. 2,754 5,261 * Hostess Brands Inc. Class A 7,826 100 Target Corp. 33,781 5,108 * Adient plc 5,600 97 TJX Cos. Inc. 80,875 4,431 Reynolds Consumer * MercadoLibre Inc. 3,187 3,724 Products Inc. 2,900 96 Dollar General Corp. 17,006 3,433 Herman Miller Inc. 3,804 91 * Uber Technologies Inc. 92,463 3,110 Coca-Cola Consolidated Inc. 332 91 * Chipotle Mexican Grill Inc. * Sleep Number Corp. 1,895 91 Class A 1,919 2,514 * Cal-Maine Foods Inc. 2,199 85 * Spotify Technology SA 8,875 2,504 * Gentherm Inc. 1,876 85 eBay Inc. 45,188 2,475 * American Woodmark Corp. 952 83 * O'Reilly Automotive Inc. 4,918 2,290 * Knowles Corp. 5,464 82 Ross Stores Inc. 23,628 2,152 * Veoneer Inc. 5,910 82 Sysco Corp. 32,684 1,966 La-Z-Boy Inc. 2,438 79 Yum! Brands Inc. 20,278 1,944 HNI Corp. 2,453 78 Walgreens Boots Acushnet Holdings Corp. 2,065 73 Alliance Inc. 49,641 1,887 Kontoor Brands Inc. 3,288 73 * AutoZone Inc. 1,568 1,876 Coty Inc. Class A 16,932 61 Kroger Co. 52,221 1,863 * Under Armour Inc. Class C 6,936 61 Best Buy Co. Inc. 15,373 1,705 * USANA Health Sciences Inc. 722 57 McKesson Corp. 10,930 1,677 Calavo Growers Inc. 892 57 * Dollar Tree Inc. 15,898 1,531 Signet Jewelers Ltd. 2,884 50 * Copart Inc. 13,712 1,417 Steelcase Inc. Class A 4,831 50 Yum China Holdings Inc. 24,374 1,407 * National Beverage Corp. 593 48 * Wayfair Inc. Class A 4,532 1,344 Oxford Industries Inc. 941 47 * CarMax Inc. 10,975 1,174 * Pilgrim's Pride Corp. 2,937 47 Tractor Supply Co. 7,790 1,159 * American Axle & Domino's Pizza Inc. 2,605 1,065 Manufacturing ViacomCBS Inc. Class B 36,864 1,027 Holdings Inc. 5,865 46 AmerisourceBergen Corp. Inter Parfums Inc. 995 44 Class A 9,924 963 Fresh Del Monte * Etsy Inc. 7,999 957 Produce Inc. 1,720 40 Expedia Group Inc. 9,146 898 Knoll Inc. 2,738 35 FactSet Research ACCO Brands Corp. 5,086 33 Systems Inc. 2,477 868 Tootsie Roll Industries Inc. 950 30 * Burlington Stores Inc. 4,394 865 Andersons Inc. 1,643 29 * Ulta Beauty Inc. 3,668 852 * Tenneco Inc. Class A 3,284 27 Omnicom Group Inc. 14,501 784 * G-III Apparel Group Ltd. 2,485 27 Darden Restaurants Inc. 8,842 766 * Adecoagro SA 5,204 26 Advance Auto Parts Inc. 4,576 715 Interface Inc. Class A 3,346 25 Cable One Inc. 362 666 * 171,305 Chegg Inc. 8,301 612 * Consumer Services (15.8%) Altice USA Inc. Class A 21,932 605 * * Amazon.com Inc. 28,754 99,229 DISH Network Corp. Class A 16,859 599 * Home Depot Inc. 72,707 20,724 Liberty Media Corp.-Liberty Formula One Class C 15,103 589 Walt Disney Co. 122,482 16,152 Vail Resorts Inc. 2,689 585 * Netflix Inc. 28,815 15,259 * Liberty Global plc Class C 24,927 574 Comcast Corp. Class A 306,906 13,752 Rollins Inc. 10,267 566 McDonald's Corp. 50,505 10,784 Fox Corp. Class A 20,189 562 Costco Wholesale Corp. 29,870 10,385 Service Corp. International 12,158 555 Lowe's Cos. Inc. 51,164 8,426 * Live Nation Starbucks Corp. 79,348 6,703 Entertainment Inc. 9,553 543

9 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Bright Horizons Family Cracker Barrel Old Country Solutions Inc. 4,032 536 Store Inc. 1,698 227 * Liberty Media Corp.-Liberty Foot Locker Inc. 7,407 225 SiriusXM Class A 14,455 525 Gap Inc. 12,916 225 News Corp. Class A 32,625 493 Papa John's New YorkTimes Co. Class A 11,067 480 International Inc. 2,267 223 Sirius XM Holdings Inc. 81,222 477 * Madison Square Garden * Lyft Inc. Class A 16,064 477 Sports Corp. 1,297 213 * IAA Inc. 9,081 475 * National Vision Holdings Inc. 5,561 209 L Brands Inc. 16,120 474 H&R Block Inc. 13,662 198 Interpublic Group of Cos. * Grocery Outlet Holding Corp. 4,788 197 Inc. 26,575 472 TEGNA Inc. 15,477 194 Williams-Sonoma Inc. 5,208 457 * 2U Inc. 4,628 192 * Grubhub Inc. 6,225 450 * Sprouts Farmers Market Inc. 8,014 187 Casey's General Stores Inc. 2,516 447 * United Airlines Holdings Inc. 4,908 177 * Floor & Decor Holdings Inc. Strategic Education Inc. 1,611 165 Class A 5,847 428 Macy's Inc. 23,182 162 Aramark 15,499 427 Extended Stay America Inc. 12,870 161 Dunkin' Brands Group Inc. 5,598 426 TripAdvisor Inc. 6,768 158 * BJ's Wholesale Club KAR Auction Services Inc. 8,898 154 Holdings Inc. 9,253 411 * Cargurus Inc. Class A 6,002 146 * Five Below Inc. 3,718 407 * Asbury Automotive * Discovery Inc. Class A 18,153 401 Group Inc. 1,371 145 Southwest Airlines Co. 10,665 401 World Wrestling Lithia Motors Inc. Class A 1,551 386 Entertainment Inc. Class A 3,266 144 * SiteOne Landscape * Shake Shack Inc. Class A 2,113 144 Supply Inc. 3,038 380 Sabre Corp. 20,141 141 Fox Corp. Class B 13,412 373 Graham Holdings Co. Nielsen Holdings plc 24,290 371 Class B 320 137 * RH 1,118 370 * Simply Good Foods Co. 5,406 134 * ServiceMaster Global * Liberty Latin America Ltd. Holdings Inc. 9,031 360 Class C 13,052 125 * Ollie's Bargain Outlet Jack in the Box Inc. 1,489 123 Holdings Inc. 3,662 350 Brinker International Inc. 2,635 119 Delta Air Lines Inc. 11,177 345 Big Lots Inc. 2,491 117 Wingstop Inc. 2,042 334 * Hilton Grand Vacations Inc. 5,215 114 * Planet Fitness Inc. Class A 5,475 333 American Eagle * Performance Food Group Co. 8,880 324 Outfitters Inc. 8,623 109 * Liberty Global plc Class A 13,792 322 * Avis Budget Group Inc. 3,199 109 Dolby Laboratories Inc. Nordstrom Inc. 6,741 108 Class A 4,387 306 * Liberty Media Corp.-Liberty * Grand Canyon Education Inc. 3,090 291 SiriusXM Class C 2,897 104 Nexstar Media Group Inc. Core-Mark Holding Co. Inc. 3,105 104 Class A 2,954 284 * Yelp Inc. Class A 4,391 102 Texas Roadhouse Inc. Group 1 Automotive Inc. 1,184 102 Class A 4,500 283 Cinemark Holdings Inc. 6,894 101 * Stamps.com Inc. 1,104 275 Bed Bath & Beyond Inc. 8,315 101 * Discovery Inc. Class C 13,599 272 PriceSmart Inc. 1,498 99 Aaron's Inc. 4,799 268 American Airlines Group Inc. 7,490 98 * frontdoor Inc. 5,945 259 * Adtalem Global Wendy's Co. 12,332 258 Education Inc. 2,907 97 * LiveRamp Holdings Inc. 4,578 256 Six Flags Entertainment Dick's Sporting Goods Inc. 4,392 238 Corp. 4,425 96 Kohl's Corp. 11,040 236 Monro Inc. 2,061 95 * AutoNation Inc. 4,109 234 * Lions Gate Entertainment Morningstar Inc. 1,445 231 Corp. Class B 10,337 94

10 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Urban Outfitters Inc. 3,827 90 * Regis Corp. 1,950 14 Rush Enterprises Inc. * Houghton Mifflin Harcourt Class A 1,790 87 Co. 5,886 13 Rent-A-Center Inc. 2,771 85 Gannett Co. Inc. 6,395 11 * Upwork Inc. 5,566 85 * Liberty Media Corp.-Liberty Penske Automotive Braves Class A 435 9 Group Inc. 1,738 82 * Hertz Global Holdings Inc. 5,132 7 John Wiley & Sons Inc. * Liberty Latin America Ltd. Class A 2,532 80 Class A 449 4 * Laureate Education Inc. 312,556 Class A 6,262 78 Financials (15.6%) * Gray Television Inc. 4,975 77 Visa Inc. Class A 114,370 24,245 * WW International Inc. 3,210 75 Mastercard Inc. Class A 59,775 21,411 * Sally Beauty Holdings Inc. 6,538 73 JPMorgan Chase & Co. 205,044 20,543 Alaska Air Group Inc. 1,837 72 Bank of America Corp. 522,839 13,458 ODP Corp. 2,997 70 American Tower Corp. 29,870 7,442 * SeaWorld Entertainment Inc. 3,322 68 Citigroup Inc. 141,057 7,211 Cheesecake Factory Inc. 2,276 67 S&P Global Inc. 16,316 5,979 Bloomin' Brands Inc. 4,639 67 BlackRock Inc. 9,973 5,926 * Michaels Cos. Inc. 5,213 59 Prologis Inc. 49,901 5,083 * AMC Networks Inc. Class A 2,317 56 Equinix Inc. 5,906 4,664 Dine Brands Global Inc. 864 51 Goldman Sachs Group Inc. 22,425 4,594 Dave & Buster's Crown Castle International Entertainment Inc. 2,739 46 Corp. 28,057 4,580 * JetBlue Airways Corp. 3,921 45 American Express Co. 44,274 4,498 * IMAX Corp. 2,925 45 CME Group Inc. 23,999 4,221 Abercrombie & Fitch Co. Marsh & McLennan Cos. Class A 3,406 44 Inc. 34,304 3,942 * Liberty Media Corp.-Liberty Morgan Stanley 74,714 3,905 Braves Class C 2,161 42 Intercontinental * MakeMyTrip Ltd. 2,496 42 Exchange Inc. 36,627 3,891 * Groupon Inc. Class A 1,233 39 Chubb Ltd. 30,492 3,812 Allegiant Travel Co. Class A 283 36 Progressive Corp. 39,539 3,758 Matthews International Corp. Truist Financial Corp. 90,919 3,529 Class A 1,638 36 US Bancorp 91,488 3,330 Scholastic Corp. 1,547 35 Moody's Corp. 10,970 3,232 Meredith Corp. 2,344 33 PNC Financial Services BJ's Restaurants Inc. 1,021 32 Group Inc. 28,547 3,174 EW Scripps Co. Class A 2,870 32 Aon plc Class A 15,479 3,096 Buckle Inc. 1,669 31 Digital Realty Trust Inc. 18,018 2,805 Weis Markets Inc. 628 31 Charles Schwab Corp. 78,237 2,780 SkyWest Inc. 892 30 SBA Communications Corp. News Corp. Class B 1,976 30 Class A 7,466 2,285 * Cars.com Inc. 3,358 29 * CoStar Group Inc. 2,605 2,211 Guess? Inc. 2,538 29 Public Storage 10,305 2,189 Designer Brands Inc. Class A 3,597 25 IHS Markit Ltd. 26,712 2,135 * Lions Gate Entertainment Capital One Financial Corp. 30,921 2,134 Corp. Class A 2,342 23 T. Rowe Price Group Inc. 15,301 2,130 Caleres Inc. 2,899 23 MSCI Inc. Class A 5,664 2,114 * MSG Networks Inc. Class A 2,400 23 Bank of New York Mellon Copa Holdings SA Class A 435 23 Corp. 54,211 2,005 Viad Corp. 1,049 22 MetLife Inc. 51,963 1,999 * Spirit Airlines Inc. 1,137 20 Travelers Cos. Inc. 17,082 1,982 * Genesco Inc. 1,031 20 Allstate Corp. 21,233 1,975 Children's Place Inc. 818 16 Prudential Financial Inc. 26,852 1,820 Hawaiian Holdings Inc. 1,117 15 Willis Towers Watson plc 8,627 1,773

11 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) Aflac Inc. 47,935 1,741 Huntington Bancshares Inc. 68,152 641 American International CyrusOne Inc. 7,663 640 Group Inc. 58,311 1,699 Raymond James Welltower Inc. 28,282 1,627 Financial Inc. 8,270 626 State Street Corp. 23,781 1,619 RenaissanceRe Holdings AvalonBay Communities Inc. 9,539 1,508 Ltd. 3,304 607 Realty Income Corp. 23,298 1,445 Fidelity National Alexandria Real Estate Financial Inc. 18,379 603 Equities Inc. 8,417 1,417 Everest Re Group Ltd. 2,674 589 Equity Residential 24,768 1,398 Ally Financial Inc. 25,648 587 Arthur J Gallagher & Co. 12,744 1,342 Iron Mountain Inc. 19,254 579 Ameriprise Financial Inc. 8,323 1,305 Camden Property Trust 6,347 577 First Republic Bank 11,471 1,295 W R Berkley Corp. 9,301 577 MarketAxess Holdings Inc. 2,486 1,208 Globe Life Inc. 6,990 577 Discover Financial Services 20,939 1,111 Equitable Holdings Inc. 27,195 576 Broadridge Financial AGNC Investment Corp. 38,582 544 Solutions Inc. 7,784 1,070 Host Hotels & Resorts Inc. 47,670 535 Invitation Homes Inc. 36,908 1,057 Alleghany Corp. 965 535 Northern Trust Corp. 12,905 1,057 Americold Realty Trust 13,406 514 * CBRE Group Inc. Class A 22,292 1,048 American Homes 4 Rent Ventas Inc. 25,257 1,041 Class A 17,910 513 Nasdaq Inc. 7,720 1,038 VEREIT Inc. 73,408 493 * Markel Corp. 941 1,023 Assurant Inc. 3,979 484 Healthpeak Properties Inc. 36,861 1,019 Lincoln National Corp. 13,189 475 Fifth Third Bancorp 48,240 997 Omega Healthcare Sun Communities Inc. 6,629 988 Investors Inc. 15,173 470 Synchrony Financial 39,520 981 Kilroy Realty Corp. 7,837 459 Hartford Financial Services Regency Centers Corp. 11,270 448 Group Inc. 24,078 974 Voya Financial Inc. 8,455 439 Duke Realty Corp. 25,052 966 LPL Financial Holdings Inc. 5,319 437 Boston Properties Inc. 10,769 936 Vornado Realty Trust 11,907 427 Mid-America Apartment Reinsurance Group of Communities Inc. 7,789 912 America Inc. 4,599 422 M&T Bank Corp. 8,694 898 STORE Capital Corp. Class A 15,169 410 Extra Space Storage Inc. 8,382 893 National Retail * SVB Financial Group 3,465 885 Properties Inc. 11,484 407 * Arch Capital Group Ltd. 26,704 842 SEI Investments Co. 7,726 405 KeyCorp 66,022 813 CubeSmart 12,787 404 Cincinnati Financial Corp. 10,216 811 Lamar Advertising Co. WP Carey Inc. 11,663 809 Class A 5,766 399 E*TRADE Financial Corp. 14,794 800 Commerce Bancshares Inc. 6,633 395 * Zillow Group Inc. Class A 9,195 784 Federal Realty Investment Trust 4,975 394 Equity LifeStyle Properties Inc. 11,710 776 First American Financial Corp. 7,376 388 Principal Financial Group Inc. 18,299 771 Healthcare Trust of Regions Financial Corp. 64,651 747 America Inc. Class A 14,423 381 Citizens Financial Group Inc. 28,616 740 Rexford Industrial Realty Inc. 7,914 380 Brown & Brown Inc. 15,602 724 Comerica Inc. 9,593 379 Annaly Capital Franklin Resources Inc. 17,981 379 Management Inc. 97,847 719 First Horizon National Corp. 38,089 364 Credicorp Ltd. 5,500 718 Jones Lang LaSalle Inc. 3,510 362 UDR Inc. 19,973 695 Apartment Investment & Cboe Global Markets Inc. 7,395 679 Management Co. Class A 9,934 358 TD Ameritrade Holding Corp. 17,527 673 First Industrial Realty Medical Properties Trust Inc. 35,110 652 Trust Inc. 8,374 357 Western Union Co. 27,499 649 EastGroup Properties Inc. 2,606 347

12 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) East West Bancorp Inc. 9,409 346 Hudson Pacific Zions Bancorp NA 10,650 343 Properties Inc. 10,189 239 Signature Bank 3,483 338 Stifel Financial Corp. 4,675 237 STAG Industrial Inc. 10,466 338 Synovus Financial Corp. 10,726 235 Kimco Realty Corp. 28,114 337 JBG SMITH Properties 8,441 234 Kemper Corp. 4,332 336 Affiliated Managers Life Storage Inc. 3,185 336 Group Inc. 3,307 227 Prosperity Bancshares Inc. 6,100 333 Glacier Bancorp Inc. 6,453 226 * Zillow Group Inc. Class C 3,842 330 United Bankshares Inc. 8,663 226 American Financial Janus Henderson Group plc 10,897 226 Group Inc. 4,925 329 White Mountains Insurance Primerica Inc. 2,616 327 Group Ltd. 250 223 CoreSite Realty Corp. 2,652 325 Lazard Ltd. Class A 7,033 223 Douglas Emmett Inc. 11,431 319 PotlatchDeltic Corp. 4,828 222 Eaton Vance Corp. 7,675 315 Hannon Armstrong Kinsale Capital Group Inc. 1,517 314 Sustainable Infrastructure Capital Inc. 5,165 219 Old Republic International Corp. 19,379 312 Popular Inc. 5,846 217 * Redfin Corp. 6,495 309 Community Bank System Inc. 3,584 216 People's United Financial Inc. 28,353 300 Blackstone Mortgage Trust Inc. Class A 9,065 215 Cousins Properties Inc. 9,970 298 Valley National Bancorp 28,253 212 Starwood Property Trust Inc. 18,661 291 * Cannae Holdings Inc. 5,543 209 * Athene Holding Ltd. Class A 7,889 288 MGIC Investment Corp. 22,688 208 South State Corp. 5,112 285 * Brighthouse Financial Inc. 6,814 207 Rayonier Inc. 9,646 282 Radian Group Inc. 13,232 204 New York Community Bancorp Inc. 31,054 281 Bank OZK 8,738 201 TCF Financial Corp. 10,327 278 Lexington Realty Trust 17,627 200 First Financial National Health Bankshares Inc. 9,070 275 Investors Inc. 3,203 199 Axis Capital Holdings Ltd. 5,739 274 SLM Corp. 25,596 196 Cullen/Frost Bankers Inc. 3,922 272 FNB Corp. 25,851 194 Ares Management Corp. Corporate Office Properties Class A 6,641 269 Trust 7,785 192 Invesco Ltd. 26,265 268 Home BancShares Inc. 11,831 192 Essent Group Ltd. 7,440 266 Old National Bancorp 13,565 190 QTS Realty Trust Inc. Class A 3,910 265 UMB Financial Corp. 3,496 188 Terreno Realty Corp. 4,448 265 Evercore Inc. Class A 3,011 186 Highwoods Properties Inc. 7,074 264 Webster Financial Corp. 6,766 186 Healthcare Realty Trust Inc. 9,083 262 PS Business Parks Inc. 1,461 184 * Unum Group 14,078 260 WillScot Mobile Mini Holdings Corp. Class A 10,112 181 Spirit Realty Capital Inc. 7,309 260 EPR Properties 5,564 180 Hanover Insurance Group Inc. 2,521 258 Wintrust Financial Corp. 4,102 179 RLI Corp. 2,690 252 Outfront Media Inc. 10,521 178 SL Green Realty Corp. 5,354 250 CNO Financial Group Inc. 10,834 177 Interactive Brokers CVB Financial Corp. 9,444 172 Group Inc. Class A 4,701 249 Associated Banc-Corp 12,785 172 Selective Insurance Federated Hermes Inc. Group Inc. 4,147 248 Class B 7,095 170 Physicians Realty Trust 13,616 247 Houlihan Lokey Inc. Class A 2,852 167 Equity Commonwealth 7,788 244 First Citizens Agree Realty Corp. 3,613 242 BancShares Inc. Class A 423 166 * Brixmor Property Group Inc. 20,398 241 Howard Hughes Corp. 2,807 166 Western Alliance Bancorp 6,803 240 Bank of Hawaii Corp. 2,992 165

13 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) FirstCash Inc. 2,757 165 Horace Mann Educators Park Hotels & Resorts Inc. 17,315 164 Corp. 2,690 105 BankUnited Inc. 6,980 163 International Bancshares First Hawaiian Inc. 9,840 163 Corp. 3,253 103 BancorpSouth Bank 7,510 162 Pebblebrook Hotel Trust 8,199 103 Piedmont Office Realty Ameris Bancorp 4,190 103 Trust Inc. Class A 10,427 160 Independent Bank Cathay General Bancorp 6,451 159 Group Inc. 2,204 103 * Enstar Group Ltd. 889 159 PennyMac Mortgage Columbia Banking Investment Trust 5,975 102 System Inc. 5,659 158 Moelis & Co. Class A 3,152 101 Taubman Centers Inc. 4,106 157 * Encore Capital Group Inc. 2,178 100 Weingarten Realty Investors 8,824 154 Global Net Lease Inc. 5,742 100 Independent Bank Corp. 2,439 153 Walker & Dunlop Inc. 1,809 99 CIT Group Inc. 7,714 152 Virtu Financial Inc. Class A 3,741 97 National General Holdings Fulton Financial Corp. 9,770 96 Corp. 4,442 151 * Axos Financial Inc. 3,824 95 Washington REIT 6,720 147 * Cushman & Wakefield plc 8,175 95 American Equity Investment Hilltop Holdings Inc. 4,570 94 Life Holding Co. 6,144 147 RLJ Lodging Trust 9,972 94 Hancock Whitney Corp. 7,143 143 Trustmark Corp. 4,018 94 * PRA Group Inc. 3,036 142 WSFS Financial Corp. 3,195 94 Chimera Investment Corp. 15,827 141 * Genworth Financial Inc. Washington Federal Inc. 5,980 140 Class A 30,645 93 Sunstone Hotel Cohen & Steers Inc. 1,498 91 Investors Inc. 16,597 138 Westamerica Bancorp 1,473 90 Uniti Group Inc. 13,537 133 Paramount Group Inc. 11,988 89 Artisan Partners Asset Realogy Holdings Corp. 8,037 89 Management Inc. Class A 3,436 133 First Midwest Bancorp Inc. 7,102 89 National Storage Affiliates Apollo Commercial Real Trust 3,770 129 Estate Finance Inc. 9,861 88 Assured Guaranty Ltd. 5,984 128 SITE Centers Corp. 11,535 87 Kennedy-Wilson First Bancorp 15,161 87 Holdings Inc. 8,515 122 WesBanco Inc. 3,920 87 OneMain Holdings Inc. 4,188 122 First Merchants Corp. 3,371 86 PennyMac Financial First Financial Bancorp 6,106 84 Services Inc. 2,297 121 NBT Bancorp Inc. 2,771 84 Ryman Hospitality Columbia Property Trust Inc. 7,039 83 Properties Inc. 3,096 118 Retail Properties of CareTrust REIT Inc. 6,012 116 America Inc. Class A 13,184 83 Brandywine Realty Trust 10,367 115 United Community Pacific Premier Bancorp Inc. 5,109 115 Banks Inc. 4,575 83 Investors Bancorp Inc. 14,756 114 Banner Corp. 2,238 81 BOK Financial Corp. 1,980 111 Heartland Financial USA Inc. 2,311 80 * Texas Capital * NMI Holdings Inc. Class A 4,690 80 Bancshares Inc. 3,424 111 LTC Properties Inc. 2,153 79 Atlantic Union Bankshares Retail Opportunity Corp. 4,767 111 Investments Corp. 7,113 79 Four Corners Property Santander Consumer USA Trust Inc. 4,374 110 Holdings Inc. 4,605 79 ServisFirst Bancshares Inc. 3,006 110 Argo Group International * eHealth Inc. 1,702 107 Holdings Ltd. 2,121 79 Simmons First National Colony Capital Inc. 28,807 78 Corp. Class A 6,264 107 Urban Edge Properties 7,412 78 Essential Properties Realty Northwest Bancshares Inc. 7,717 78 Trust Inc. 6,246 106 Renasant Corp. 3,089 78 Navient Corp. 11,598 105

14 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) MFA Financial Inc. 28,593 77 American National American Assets Trust Inc. 3,016 77 Group Inc. 500 38 Piper Sandler Cos. 1,026 77 1st Source Corp. 1,086 37 Towne Bank 4,281 76 Newmark Group Inc. Class A 8,236 36 Cadence Bancorp Class A 7,883 75 ARMOUR Residential Flagstar Bancorp Inc. 2,368 74 REIT Inc. 3,571 35 Macerich Co. 9,197 73 * Marcus & Millichap Inc. 1,257 35 Bank of NT Butterfield & Son * Third Point Reinsurance Ltd. 4,039 35 Ltd. 2,902 73 Summit Hotel Properties Inc. 5,824 34 Capitol Federal Financial Inc. 7,716 72 TrustCo Bank Corp. 5,383 32 Mercury General Corp. 1,608 72 Invesco Mortgage Mack-Cali Realty Corp. 5,610 71 Capital Inc. 10,074 30 Nelnet Inc. Class A 1,013 66 United Fire Group Inc. 1,210 30 Sandy Spring Bancorp Inc. 2,776 66 * Columbia Financial Inc. 2,704 29 Hope Bancorp Inc. 7,675 65 * MBIA Inc. 3,581 29 Safety Insurance Group Inc. 864 63 Tanger Factory Outlet Provident Financial Centers Inc. 4,800 27 Services Inc. 4,670 62 Alexander's Inc. 107 27 Xenia Hotels & Resorts Inc. 6,755 61 RPT Realty 4,523 27 Acadia Realty Trust 5,295 60 Washington Trust Virtus Investment Bancorp Inc. 806 27 Partners Inc. 424 60 WisdomTree Waddell & Reed Investments Inc. 7,328 27 Financial Inc. Class A 3,771 59 Colony Credit Real DiamondRock Hospitality Estate Inc. 4,384 26 Co. 10,879 58 Boston Private Financial Employers Holdings Inc. 1,786 58 Holdings Inc. 4,238 25 Alexander & Baldwin Inc. 4,730 57 Front Yard Residential Corp. 2,530 25 ProAssurance Corp. 3,665 56 RMR Group Inc. Class A 891 25 Investors Real Estate Trust 789 56 Community Trust Bancorp Inc. 749 24 Kite Realty Group Trust 5,000 56 Franklin Street Properties City Holding Co. 856 55 Corp. 5,439 24 First Commonwealth FBL Financial Group Inc. Financial Corp. 6,656 55 Class A 613 23 S&T Bancorp Inc. 2,658 54 Berkshire Hills Bancorp Inc. 2,180 20 Getty Realty Corp. 1,826 53 Dime Community CNA Financial Corp. 1,634 53 Bancshares Inc. 1,490 19 Brookline Bancorp Inc. 5,453 52 * LendingClub Corp. 3,551 19 Brightsphere Investment Saul Centers Inc. 684 19 Group Inc. 3,693 51 State Auto Financial Corp. 1,014 16 Universal Health Realty Flushing Financial Corp. 1,260 15 Income Trust 745 50 Urstadt Biddle Eagle Bancorp Inc. 1,706 49 Properties Inc. Class A 1,622 15 Ladder Capital Corp. Class A 6,572 49 Republic Bancorp Inc. 1 Brookfield Property REIT Inc. Class A 448 14 Class A 4,069 47 CorePoint Lodging Inc. 2,228 13 Stock Yards Bancorp Inc. 1,092 47 1 Washington Prime * St. Joe Co. 1,911 44 Group Inc. 10,693 7 BancFirst Corp. 986 43 BGC Partners Inc. Class A 16,709 42 308,241 TFS Financial Corp. 2,736 42 Health Care (13.7%) Redwood Trust Inc. 6,005 42 UnitedHealth Group Inc. 63,898 19,971 Capstead Mortgage Corp. 6,290 39 Merck & Co. Inc. 171,217 14,600 Great Western Bancorp Inc. 2,822 39 Pfizer Inc. 376,862 14,242 Kearny Financial Corp. 4,949 38 Abbott Laboratories 117,053 12,814 Thermo Fisher Scientific Inc. 26,779 11,488

15 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) AbbVie Inc. 119,367 11,432 * Charles River Laboratories Amgen Inc. 39,872 10,100 International Inc. 3,360 736 Medtronic plc 90,998 9,780 * Bio-Rad Laboratories Inc. Bristol-Myers Squibb Co. 153,367 9,539 Class A 1,445 735 Danaher Corp. 42,358 8,746 * Molina Healthcare Inc. 3,955 732 Eli Lilly & Co. 57,085 8,471 * Sarepta Therapeutics Inc. 4,968 727 * Intuitive Surgical Inc. 7,814 5,711 * Neurocrine Biosciences Inc. 6,191 721 Gilead Sciences Inc. 85,126 5,682 * Avantor Inc. 30,146 680 Zoetis Inc. Class A 32,211 5,157 DENTSPLY SIRONA Inc. 14,721 661 * Vertex Pharmaceuticals Inc. 17,465 4,875 Bio-Techne Corp. 2,556 653 Anthem Inc. 17,063 4,804 * ICON plc 3,475 648 Stryker Corp. 23,404 4,638 * Henry Schein Inc. 9,594 637 Becton Dickinson & Co. 18,246 4,430 * Immunomedics Inc. 13,844 617 Cigna Corp. 24,479 4,342 * Mylan NV 35,209 577 * Regeneron * Novocure Ltd. 6,801 563 Pharmaceuticals Inc. 6,575 4,076 * Repligen Corp. 3,568 553 * Boston Scientific Corp. 94,882 3,892 Universal Health Humana Inc. 8,960 3,720 Services Inc. Class B 4,972 549 * Edwards Lifesciences Corp. 41,840 3,592 Chemed Corp. 1,040 538 * Illumina Inc. 9,955 3,556 * Amedisys Inc. 2,181 528 * Biogen Inc. 11,018 3,169 * Jazz Pharmaceuticals plc 3,828 514 Baxter International Inc. 34,462 3,001 Perrigo Co. plc 9,304 487 * DexCom Inc. 6,182 2,630 * DaVita Inc. 5,521 479 HCA Healthcare Inc. 17,957 2,437 * Guardant Health Inc. 5,012 479 * Centene Corp. 38,685 2,372 * Ionis Pharmaceuticals Inc. 8,763 478 * IDEXX Laboratories Inc. 5,720 2,237 * PRA Health Sciences Inc. 4,306 460 Zimmer Biomet * Penumbra Inc. 2,193 459 Holdings Inc. 13,984 1,970 * Exelixis Inc. 20,491 455 ResMed Inc. 9,653 1,745 * Tandem Diabetes Care Inc. 4,002 451 * Alexion Pharmaceuticals Inc. 14,368 1,641 * LHC Group Inc. 2,115 441 * Align Technology Inc. 5,242 1,557 * Quidel Corp. 2,502 440 West Pharmaceutical Encompass Health Corp. 6,591 430 Services Inc. 4,954 1,407 * Momenta * Seattle Genetics Inc. 8,174 1,294 Pharmaceuticals Inc. 8,125 424 Teleflex Inc. 3,202 1,258 Hill-Rom Holdings Inc. 4,484 421 * Incyte Corp. 12,290 1,184 * iRhythm Technologies Inc. 1,865 411 * Moderna Inc. 18,080 1,173 * MyoKardia Inc. 3,427 375 * Laboratory Corp. of America * Mirati Therapeutics Inc. 2,450 366 Holdings 6,603 1,160 * Emergent BioSolutions Inc. 3,155 360 * Varian Medical Systems Inc. 6,120 1,063 * Acceleron Pharma Inc. 3,371 329 * Teladoc Health Inc. 4,919 1,061 * Ultragenyx * Alnylam Pharmaceutical Inc. 3,846 327 Pharmaceuticals Inc. 7,812 1,036 * United Therapeutics Corp. 3,035 325 * Hologic Inc. 17,234 1,029 * CRISPR Therapeutics AG 3,378 316 Cooper Cos. Inc. 3,262 1,025 * Natera Inc. 4,801 306 Cardinal Health Inc. 20,042 1,017 * Nevro Corp. 2,218 305 Quest Diagnostics Inc. 9,046 1,006 * Haemonetics Corp. 3,396 304 * Horizon Therapeutics plc 13,191 991 * Iovance Biotherapeutics Inc. 8,983 299 * Catalent Inc. 10,410 963 Bruker Corp. 6,949 292 * BioMarin Pharmaceutical Inc. 12,249 956 * ACADIA * ABIOMED Inc. 2,986 919 Pharmaceuticals Inc. 7,379 292 STERIS plc 5,697 909 * Arrowhead PerkinElmer Inc. 7,323 862 Pharmaceuticals Inc. 6,808 288 * Elanco Animal Health Inc. 27,069 787 * HealthEquity Inc. 4,950 284 * Exact Sciences Corp. 10,113 761 * Arena Pharmaceuticals Inc. 4,011 280 * Masimo Corp. 3,343 749 * Halozyme Therapeutics Inc. 9,644 280

16 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * NeoGenomics Inc. 7,195 280 * Xencor Inc. 3,264 117 * Blueprint Medicines Corp. 3,594 278 * uniQure NV 2,653 108 * Neogen Corp. 3,618 276 * Kodiak Sciences Inc. 2,008 106 * Globus Medical Inc. Class A 4,864 275 * Magellan Health Inc. 1,388 105 * Invitae Corp. 7,881 275 * Ironwood * Syneos Health Inc. 4,273 270 Pharmaceuticals Inc. * FibroGen Inc. 5,964 267 Class A 10,128 102 * Bluebird Bio Inc. 4,420 262 * Avanos Medical Inc. 3,066 99 * Amicus Therapeutics Inc. 17,908 261 * MEDNAX Inc. 5,318 99 * Envista Holdings Corp. 10,877 261 * Intercept * ICU Medical Inc. 1,246 249 Pharmaceuticals Inc. 1,972 98 * Wright Medical Group NV 8,206 248 Healthcare Services Group Inc. 4,574 95 * Global Blood * Therapeutics Inc. 3,945 248 Ligand Pharmaceuticals Inc. 874 89 * * Integra LifeSciences OPKO Health Inc. 26,954 87 Holdings Corp. 5,008 239 * Aimmune Therapeutics Inc. 2,468 84 * Medpace Holdings Inc. 1,777 231 * BioTelemetry Inc. 2,062 82 Ensign Group Inc. 3,757 220 * Corcept Therapeutics Inc. 6,420 82 * PTC Therapeutics Inc. 4,409 218 * Evolent Health Inc. Class A 5,475 78 * Biohaven Pharmaceutical * Zogenix Inc. 3,300 78 Holding Co. Ltd. 3,264 207 * Heron Therapeutics Inc. 5,355 77 * Tenet Healthcare Corp. 7,116 200 Luminex Corp. 2,882 77 * Acadia Healthcare Co. Inc. 6,452 199 * Myriad Genetics Inc. 5,144 69 * Omnicell Inc. 2,958 197 * Pennant Group Inc. 1,870 69 * Sage Therapeutics Inc. 3,736 196 * Epizyme Inc. 5,266 68 * Insmed Inc. 6,894 194 * REGENXBIO Inc. 2,234 68 * Merit Medical Systems Inc. 3,934 193 * Intra-Cellular Therapies Inc. 3,597 66 * Alkermes plc 11,442 189 *,1 Esperion Therapeutics Inc. 1,657 60 * NuVasive Inc. 3,576 186 * Supernus * HMS Holdings Corp. 6,496 181 Pharmaceuticals Inc. 2,699 59 * Reata Pharmaceuticals Inc. * Madrigal Class A 1,667 175 Pharmaceuticals Inc. 538 58 * Agios Pharmaceuticals Inc. 4,240 174 * Enanta Pharmaceuticals Inc. 1,042 54 * Integer Holdings Corp. 2,423 168 * Tivity Health Inc. 3,054 50 Patterson Cos. Inc. 5,762 167 * Theravance Biopharma Inc. 2,679 49 * ChemoCentryx Inc. 3,092 165 * Atara Biotherapeutics Inc. 3,442 46 * LivaNova plc 3,471 163 * CorVel Corp. 543 45 * Pacira BioSciences Inc. 2,545 159 * Innoviva Inc. 3,512 41 CONMED Corp. 1,801 155 * Viela Bio Inc. 1,203 41 * Turning Point * Taro Pharmaceutical Therapeutics Inc. 1,916 150 Industries Ltd. 652 40 * Select Medical Holdings * 1Life Healthcare Inc. 1,300 38 Corp. 7,426 149 * Endo International plc 12,405 37 * PPD Inc. 4,300 148 * Natus Medical Inc. 1,838 33 Cantel Medical Corp. 2,685 141 * Inogen Inc. 1,025 31 * Allakos Inc. 1,559 140 * Precigen Inc. 5,156 31 * Axsome Therapeutics Inc. 1,870 137 * Radius Health Inc. 2,420 30 * Prestige Consumer * Orthofix Medical Inc. 932 28 Healthcare Inc. 3,661 133 * Amneal Pharmaceuticals Inc. 6,469 27 * Vir Biotechnology Inc. 3,163 128 * Brookdale Senior Living Inc. 9,530 26 * Denali Therapeutics Inc. 3,859 123 * Eagle Pharmaceuticals Inc. 649 26 * Glaukos Corp. 2,551 122 * Aerie Pharmaceuticals Inc. 2,257 25 * Allogene Therapeutics Inc. 3,358 120 * Varex Imaging Corp. 2,049 23 * Editas Medicine Inc. 3,355 118 * Axogen Inc. 1,811 21 * Deciphera *,1 TherapeuticsMD Inc. 11,844 17 Pharmaceuticals Inc. 2,600 117

17 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Tricida Inc. 1,144 12 * Trimble Inc. 16,716 876 *,2 Alder CH Robinson Worldwide Inc. 8,857 871 Biopharmaceuticals Inc. Jack Henry & Associates Inc. 5,253 869 CVR Exp. 12/31/2024 767 1 Martin Marietta 270,343 Materials Inc. 4,275 867 Industrials (8.8%) * Fair Isaac Corp. 1,946 819 * * PayPal Holdings Inc. 79,529 16,235 Ingersoll Rand Inc. 23,126 811 Accenture plc Class A 43,143 10,351 Westinghouse Air Brake Union Pacific Corp. 45,984 8,849 Technologies Corp. 12,154 809 United Parcel Service Inc. JB Hunt Transport Class B 47,777 7,817 Services Inc. 5,584 785 Fidelity National Information Cognex Corp. 11,262 779 Services Inc. 41,819 6,308 * Generac Holdings Inc. 4,081 775 Caterpillar Inc. 36,663 5,218 Nordson Corp. 3,790 707 Deere & Co. 21,204 4,454 * Crown Holdings Inc. 8,631 663 Illinois Tool Works Inc. 21,277 4,203 Lennox International Inc. 2,333 654 Automatic Data Graco Inc. 11,130 646 Processing Inc. 29,169 4,057 Avery Dennison Corp. 5,578 644 CSX Corp. 51,374 3,928 Allegion plc 6,190 640 * Square Inc. Class A 24,434 3,899 Packaging Corp. of America 6,263 634 Sherwin-Williams Co. 5,598 3,757 * StoneCo Ltd. Class A 12,052 615 * Fiserv Inc. 37,674 3,752 * Trex Co. Inc. 3,865 578 FedEx Corp. 16,414 3,608 Toro Co. 7,255 546 Global Payments Inc. 20,183 3,565 Watsco Inc. 2,229 546 Waste Management Inc. 28,584 3,259 * XPO Logistics Inc. 6,129 541 Agilent Technologies Inc. 20,861 2,095 Snap-on Inc. 3,635 539 Johnson Controls Genpact Ltd. 12,632 533 International plc 50,508 2,057 Westrock Co. 17,531 532 Verisk Analytics Inc. Class A 10,699 1,997 AptarGroup Inc. 4,250 503 Cintas Corp. 5,917 1,972 Owens Corning 7,416 502 PACCAR Inc. 22,792 1,956 Universal Display Corp. 2,826 496 TraneTechnologies plc 16,165 1,914 * Pagseguro Digital Ltd. Rockwell Automation Inc. 7,837 1,807 Class A 11,660 491 Paychex Inc. 21,696 1,659 * WEX Inc. 3,026 483 * Mettler-Toledo * Berry Global Group Inc. 8,899 459 International Inc. 1,565 1,519 Donaldson Co. Inc. 8,687 438 Fortive Corp. 20,123 1,451 A O Smith Corp. 8,857 434 * FleetCor Technologies Inc. 5,632 1,416 * HD Supply Holdings Inc. 10,769 427 Old Dominion Freight * Arrow Electronics Inc. 5,345 420 Line Inc. 6,656 1,346 Sealed Air Corp. 10,282 404 Republic Services Inc. Robert Half International Inc. 7,560 402 Class A 14,410 1,336 * Stericycle Inc. 6,228 399 * Keysight Technologies Inc. 12,599 1,241 * Flex Ltd. 34,853 379 Kansas City Southern 6,463 1,177 * Axon Enterprise Inc. 4,363 374 WW Grainger Inc. 3,064 1,120 Sonoco Products Co. 7,049 374 TransUnion 12,902 1,119 * Middleby Corp. 3,763 368 Vulcan Materials Co. 8,984 1,078 CoreLogic Inc. 5,365 356 Dover Corp. 9,765 1,073 * Euronet Worldwide Inc. 3,437 355 Masco Corp. 17,540 1,023 * TopBuild Corp. 2,247 346 * Zebra Technologies Corp. Landstar System Inc. 2,557 340 Class A 3,512 1,006 Brunswick Corp. 5,339 330 Expeditors International of MAXIMUS Inc. 4,193 325 Washington Inc. 11,155 986 MDU Resources Group Inc. 13,309 314 Xylem Inc. 12,112 971 MSA Safety Inc. 2,482 313 IDEX Corp. 5,067 913 Littelfuse Inc. 1,707 309 * Waters Corp. 4,196 907 AGCO Corp. 4,236 301

18 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) ManpowerGroup Inc. 3,998 293 * BMC Stock Holdings Inc. 4,154 166 Simpson Manufacturing Co. Ryder System Inc. 4,032 165 Inc. 2,958 291 * ExlService Holdings Inc. 2,590 165 * FTI Consulting Inc. 2,496 286 Vishay Intertechnology Inc. 10,285 164 Acuity Brands Inc. 2,587 283 * Advanced Disposal Regal Beloit Corp. 2,811 278 Services Inc. 5,160 155 Louisiana-Pacific Corp. 8,239 271 * WESCO International Inc. 3,260 153 * Proto Labs Inc. 1,840 271 * Rogers Corp. 1,351 153 Allison Transmission * Chart Industries Inc. 2,296 151 Holdings Inc. 7,400 265 Macquarie Infrastructure * ASGN Inc. 3,680 264 Corp. 5,362 150 Graphic Packaging Holding Alliance Data Systems Corp. 3,149 142 Co. 18,411 257 * Masonite International Corp. 1,531 140 * Builders FirstSource Inc. 8,385 257 Trinity Industries Inc. 6,695 137 * Novanta Inc. 2,380 255 EVERTEC Inc. 3,843 135 Armstrong World * Gibraltar Industries Inc. 2,106 132 Industries Inc. 3,312 244 * Sanmina Corp. 4,554 129 Eagle Materials Inc. 2,973 243 * Installed Building * Saia Inc. 1,806 242 Products Inc. 1,454 126 * ACI Worldwide Inc. 8,095 238 Federal Signal Corp. 3,833 123 John Bean Technologies * Dycom Industries Inc. 1,987 122 Corp. 2,313 237 * Hub Group Inc. Class A 2,259 122 * Clean Harbors Inc. 3,722 227 * Plexus Corp. 1,602 122 Air Lease Corp. Class A 7,180 223 * Summit Materials Inc. Rexnord Corp. 7,530 218 Class A 7,844 117 Franklin Electric Co. Inc. 3,547 211 * Beacon Roofing Supply Inc. 3,412 116 Avnet Inc. 7,477 206 O-I Glass Inc. 10,612 115 MSC Industrial Direct Co. Boise Cascade Co. 2,460 113 Inc. Class A 3,055 201 Badger Meter Inc. 1,804 111 nVent Electric plc 10,520 201 * Ambarella Inc. 2,110 111 Valmont Industries Inc. 1,566 199 Albany International Corp. Werner Enterprises Inc. 4,305 198 Class A 2,125 110 Advanced Drainage Comfort Systems USA Inc. 2,174 110 Systems Inc. 3,556 197 * Meritor Inc. 4,809 109 UniFirst Corp. 1,015 196 * Pluralsight Inc. Class A 5,628 108 * Fabrinet 2,793 195 * MACOM Technology * Casella Waste Systems Inc. Solutions Holdings Inc. 3,003 107 Class A 3,450 194 Triton International Ltd. 2,932 106 Watts Water * SPX Corp. 2,482 104 Technologies Inc. Class A 2,027 194 Schneider National Inc. * TriNet Group Inc. 2,850 193 Class B 3,754 102 * MasTec Inc. 4,062 188 * Cimpress plc 1,102 102 ESCO Technologies Inc. 2,078 187 Mueller Industries Inc. 3,375 100 Hillenbrand Inc. 5,814 184 McGrath RentCorp 1,510 100 Brady Corp. Class A 3,846 180 Otter Tail Corp. 2,581 100 * Green Dot Corp. Class A 3,422 178 * Bill.com Holdings Inc. 1,000 99 Insperity Inc. 2,645 178 * JELD-WEN Holding Inc. 4,635 98 Applied Industrial Korn Ferry 3,162 96 Technologies Inc. 2,916 176 Forward Air Corp. 1,633 96 Brink's Co. 3,630 176 Belden Inc. 2,729 92 GATX Corp. 2,637 176 * Sykes Enterprises Inc. 2,677 89 AAON Inc. 3,090 176 * Verra Mobility Corp. Class A 8,271 87 * Itron Inc. 2,942 175 Helios Technologies Inc. 2,077 85 * Kirby Corp. 4,134 175 Deluxe Corp. 2,964 84 * AMN Healthcare Terex Corp. 4,181 82 Services Inc. 3,181 171 Astec Industries Inc. 1,460 77

19 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * OSI Systems Inc. 959 76 Microsoft Corp. 507,208 114,392 US Ecology Inc. 1,998 74 * Facebook Inc. Class A 162,714 47,708 TTEC Holdings Inc. 1,270 72 * Alphabet Inc. Class C 21,834 35,681 Patrick Industries Inc. 1,258 71 * Alphabet Inc. Class A 18,520 30,179 Encore Wire Corp. 1,352 70 NVIDIA Corp. 39,981 21,389 Tennant Co. 1,046 70 * Adobe Inc. 32,532 16,702 * Welbilt Inc. 9,414 69 * salesforce.com Inc. 58,651 15,991 * CBIZ Inc. 2,822 69 Intel Corp. 287,111 14,628 * Huron Consulting Group Inc. 1,590 69 Cisco Systems Inc. 287,495 12,138 * FARO Technologies Inc. 1,192 67 Broadcom Inc. 26,468 9,188 ADT Inc. 6,030 64 QUALCOMM Inc. 76,275 9,084 Covanta Holding Corp. 6,811 64 Texas Instruments Inc. 62,148 8,834 Lindsay Corp. 628 63 Oracle Corp. 133,709 7,651 * TTM Technologies Inc. 5,406 62 International Business * Harsco Corp. 4,253 60 Machines Corp. 60,263 7,431 * TriMas Corp. 2,347 59 * Advanced Micro Devices Inc. 78,878 7,164 Primoris Services Corp. 3,014 57 * ServiceNow Inc. 12,837 6,188 Granite Construction Inc. 2,997 56 Intuit Inc. 17,113 5,911 Heartland Express Inc. 2,580 53 Applied Materials Inc. 61,791 3,806 * Herc Holdings Inc. 1,287 53 * Autodesk Inc. 14,849 3,648 Greif Inc. Class A 1,382 51 * Micron Technology Inc. 75,048 3,415 Atlas Corp. 5,916 51 Lam Research Corp. 9,834 3,308 SFL Corp. Ltd. 5,559 49 Analog Devices Inc. 24,891 2,909 AAR Corp. 2,383 48 * Workday Inc. Class A 11,613 2,784 Greenbrier Cos. Inc. 1,762 48 * DocuSign Inc. Class A 11,940 2,663 * Cardtronics plc Class A 2,062 45 * Veeva Systems Inc. Class A 9,072 2,561 Benchmark Electronics Inc. 1,989 39 Cognizant Technology CTS Corp. 1,750 37 Solutions Corp. Class A 36,598 2,447 * SEACOR Holdings Inc. 1,166 37 * Twilio Inc. Class A 9,047 2,440 Scorpio Tankers Inc. 3,099 37 * Splunk Inc. 10,780 2,364 Kelly Services Inc. Class A 1,864 35 NXP Semiconductors NV 18,800 2,364 H&E Equipment * Synopsys Inc. 10,170 2,251 Services Inc. 1,659 34 KLA Corp. 10,503 2,155 Myers Industries Inc. 2,223 34 * Twitter Inc. 52,259 2,121 * TrueBlue Inc. 1,941 33 * IQVIA Holdings Inc. 12,759 2,089 Apogee Enterprises Inc. 1,489 31 * Cadence Design * Conduent Inc. 8,867 30 Systems Inc. 18,657 2,069 * Tutor Perini Corp. 1,837 23 HP Inc. 96,611 1,889 Hyster-Yale Materials Motorola Solutions Inc. 11,509 1,781 Handling Inc. 512 21 Microchip Technology Inc. 15,979 1,753 Matson Inc. 519 21 Marvell Technology Group * Manitowoc Co. Inc. 1,800 17 Ltd. 44,517 1,726 GasLog Ltd. 2,965 9 Xilinx Inc. 16,512 1,720 * Okta Inc. Class A 7,848 1,690 173,974 * Palo Alto Networks Inc. 6,548 1,686 Oil & Gas (0.1%) Skyworks Solutions Inc. 11,338 1,642 * SolarEdge Technologies Inc. 3,283 726 * Atlassian Corp. plc Class A 8,420 1,615 * Enphase Energy Inc. 7,127 550 Cerner Corp. 20,545 1,507 * First Solar Inc. 5,624 431 * RingCentral Inc. Class A 5,134 1,493 Arcosa Inc. 3,590 166 * Coupa Software Inc. 4,543 1,489 * SunPower Corp. 4,070 45 * VeriSign Inc. 6,930 1,489 * Maxeon Solar Technologies * Yandex NV Class A 19,414 1,325 Ltd. 509 11 * Akamai Technologies Inc. 10,835 1,261 1,929 Maxim Integrated Technology (32.2%) Products Inc. 18,026 1,234 Apple Inc. 1,108,088 142,988 Citrix Systems Inc. 8,357 1,213

20 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Fortinet Inc. 9,075 1,198 CDK Global Inc. 8,390 391 * EPAM Systems Inc. 3,580 1,171 SYNNEX Corp. 2,954 376 CDW Corp. 9,713 1,104 * RealPage Inc. 5,915 370 * Paycom Software Inc. 3,395 1,017 * Inphi Corp. 3,152 359 * Qorvo Inc. 7,762 996 Pegasystems Inc. 2,783 358 * Pinterest Inc. Class A 27,035 995 DXC Technology Co. 17,889 357 * Wix.com Ltd. 3,247 957 * Dropbox Inc. Class A 16,551 350 Teradyne Inc. 11,034 938 * Nutanix Inc. Class A 12,073 347 * GoDaddy Inc. Class A 11,088 928 * Everbridge Inc. 2,270 337 * Check Point Software * Q2 Holdings Inc. 3,261 317 Technologies Ltd. 7,197 909 National Instruments Corp. 8,651 310 * Arista Networks Inc. 4,029 900 * Silicon Laboratories Inc. 3,014 309 NortonLifeLock Inc. 37,522 882 Cabot Microelectronics Corp. 1,966 299 Hewlett Packard Enterprise * Blackline Inc. 3,408 298 Co. 88,388 855 * Envestnet Inc. 3,563 296 Seagate Technology plc 17,421 836 * Varonis Systems Inc. 2,220 274 * HubSpot Inc. 2,776 832 * CyberArk Software Ltd. 2,461 272 * Slack Technologies Inc. * Lattice Semiconductor Corp. 9,479 271 Class A 25,146 826 Brooks Automation Inc. 5,167 267 * Black Knight Inc. 9,638 811 * LivePerson Inc. 4,393 262 * VMware Inc. Class A 5,438 785 * Semtech Corp. 4,438 260 Western Digital Corp. 20,390 783 * Pure Storage Inc. Class A 16,905 258 Monolithic Power * Sailpoint Technologies Systems Inc. 2,889 772 Holdings Inc. 6,446 253 * Gartner Inc. 5,882 764 * Qualys Inc. 2,364 251 * Avalara Inc. 5,463 723 * Cirrus Logic Inc. 4,129 250 * Zendesk Inc. 7,488 722 * Rapid7 Inc. 3,784 244 NetApp Inc. 15,024 712 * FireEye Inc. 15,737 231 * Zscaler Inc. 4,703 674 Blackbaud Inc. 3,591 229 * Dell Technologies Inc. * Viavi Solutions Inc. 17,170 229 Class C 10,122 669 Xerox Holdings Corp. 12,165 229 * MongoDB Inc. Class A 2,775 649 Power Integrations Inc. 4,092 229 * PTC Inc. 7,053 645 * J2 Global Inc. 3,182 223 * Guidewire Software Inc. 5,623 632 * Verint Systems Inc. 4,458 212 Entegris Inc. 9,178 614 * SVMK Inc. 8,364 208 * Ceridian HCM Holding Inc. 7,470 594 * Box Inc. Class A 10,491 206 * ON Semiconductor Corp. 27,674 591 * Advanced Energy * Aspen Technology Inc. 4,606 585 Industries Inc. 2,745 203 * Ciena Corp. 10,112 574 Cogent Communications * Nuance Holdings Inc. 3,003 202 Communications Inc. 18,690 560 * SPS Commerce Inc. 2,508 200 Juniper Networks Inc. 22,035 551 * Mimecast Ltd. 3,986 196 * Anaplan Inc. 8,858 543 * Alarm.com Holdings Inc. 3,207 192 * F5 Networks Inc. 4,062 538 * Synaptics Inc. 2,243 191 Amdocs Ltd. 8,706 533 * Cloudera Inc. 14,068 186 * Five9 Inc. 4,091 521 * Teradata Corp. 7,598 185 * Dynatrace Inc. 11,757 520 * NCR Corp. 8,900 182 * Cree Inc. 7,331 463 * Acacia Communications Inc. 2,678 181 MKS Instruments Inc. 3,748 448 * ViaSat Inc. 4,409 175 * Lumentum Holdings Inc. 5,106 439 * Tenable Holdings Inc. 4,504 170 * Alteryx Inc. Class A 3,584 433 * Covetrus Inc. 7,110 163 * Globant SA 2,405 427 * Diodes Inc. 3,222 157 * Proofpoint Inc. 3,764 413 * Cornerstone OnDemand Inc. 4,325 153 * Manhattan Associates Inc. 4,223 411 * CommScope Holding Co. * Smartsheet Inc. Class A 7,417 404 Inc. 14,566 150 * Elastic NV 3,670 398

21 ESG U.S. Stock ETF

Market Market Value• Value• Shares ($000) Shares ($000) * Bottomline Technologies Telephone & Data DE Inc. 3,078 147 Systems Inc. 7,870 182 * Premier Inc. Class A 4,309 141 * 8x8 Inc. 6,040 102 * Workiva Inc. Class A 2,313 136 ATN International Inc. 557 32 * Insight Enterprises Inc. 2,213 132 * United States Cellular Corp. 866 31 * Yext Inc. 6,208 123 *,1 GTT Communications Inc. 1,798 9 * CommVault Systems Inc. 2,762 119 37,108 * Cerence Inc. 2,203 117 Utilities (1.0%) * MaxLinear Inc. Class A 4,461 109 Sempra Energy 19,879 2,458 InterDigital Inc. 1,755 107 American Water Works Co. * NetScout Systems Inc. 4,518 105 Inc. 12,262 1,733 Kulicke & Soffa Consolidated Edison Inc. 22,729 1,621 Industries Inc. 4,305 103 PPL Corp. 51,908 1,434 * Allscripts Healthcare Edison International 24,083 1,264 Solutions Inc. 11,368 101 CMS Energy Corp. 19,164 1,159 Progress Software Corp. 2,666 101 Alliant Energy Corp. 16,577 898 * Avaya Holdings Corp. 6,391 99 Atmos Energy Corp. 8,203 819 CSG Systems AES Corp. 44,587 791 International Inc. 2,322 99 Essential Utilities Inc. 16,269 691 * Perficient Inc. 2,280 98 CenterPoint Energy Inc. 33,709 677 * Rambus Inc. 7,144 96 NiSource Inc. 24,989 554 NIC Inc. 4,461 95 UGI Corp. 14,159 489 * PROS Holdings Inc. 2,368 92 * Sunrun Inc. 7,918 448 Xperi Holding Corp. 6,862 86 OGE Energy Corp. 13,060 416 * Amkor Technology Inc. 6,724 82 IDACORP Inc. 3,326 299 * EchoStar Corp. Class A 2,745 81 ONE Gas Inc. 3,578 265 * Virtusa Corp. 2,037 81 Hawaiian Electric * MicroStrategy Inc. Class A 497 72 Industries Inc. 7,314 253 * NETGEAR Inc. 1,679 56 Southwest Gas Holdings Inc. 3,859 243 Pitney Bowes Inc. 9,620 53 Portland General Electric Co. 5,899 225 Shutterstock Inc. 1,058 53 New Jersey Resources Corp. 6,889 208 * SolarWinds Corp. 2,525 53 Spire Inc. 3,562 207 * Schrodinger Inc. 865 52 American States Water Co. 2,666 203 * NextGen Healthcare Inc. 3,132 42 Avangrid Inc. 4,098 197 * Stratasys Ltd. 2,784 41 NorthWestern Corp. 3,598 186 * ScanSource Inc. 1,396 34 Avista Corp. 4,868 179 * 3D Systems Corp. 6,276 34 MGE Energy Inc. 2,708 176 Ebix Inc. 1,336 31 Ormat Technologies Inc. 2,779 169 * Endurance International California Water Service Group Holdings Inc. 4,723 31 Group 3,709 168 * Blucora Inc. 2,524 30 Clearway Energy Inc. Plantronics Inc. 1,841 23 Class C 6,425 164 Loral Space & South Jersey Industries Inc. 7,081 157 Communications Inc. 924 22 Atlantica Sustainable * Forrester Research Inc. 569 20 Infrastructure plc 3,747 112 636,314 SJW Group 1,768 111 Telecommunications (1.9%) * Evoqua Water Technologies Verizon Communications Inc. 280,203 16,608 Corp. 5,109 105 AT&T Inc. 483,048 14,400 Northwest Natural Holding * T-Mobile US Inc. 37,001 4,317 Co. 1,950 100 CenturyLink Inc. 74,926 805 Clearway Energy Inc. * Iridium Communications Inc. 8,357 234 Class A 1,924 46 Shenandoah 19,225 Telecommunications Co. 3,539 196 Total Common Stocks * Vonage Holdings Corp. 16,734 192 (Cost $1,574,081) 1,970,891

22 ESG U.S. Stock ETF

Market Value• Shares ($000) Temporary Cash Investments (0.1%) Money Market Fund (0.1%) 3,4 Vanguard Market Liquidity Fund, 0.147% (Cost $1,828) 18,279 1,828 Total Investments (99.9%) (Cost $1,575,909) 1,972,719 Other Assets and Liabilities—Net (0.1%) 1,624 Net Assets (100%) 1,974,343 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 $318,000. 2 Security value determined using significant unobservable inputs. 3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. 4 Collateral of $335,000 was received for securities on loan. CVR—Contingent Value Rights. REIT—Real Estate Investment Trust.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts ($000) Value and Number of Unrealized Long (Short) Notional Appreciation Expiration Contracts Amount (Depreciation) Long Futures Contracts E-mini S&P 500 Index September 2020 17 2,974 219

See accompanying Notes, which are an integral part of the Financial Statements. 23 ESG U.S. Stock ETF

Statement of Assets and Liabilities As of August 31, 2020

($000s, except shares and per-share amounts) Amount Assets Investments in Securities, at Value Unaffiliated Issuers (Cost $1,574,081) 1,970,891 Affiliated Issuers (Cost $1,828) 1,828 Total Investments in Securities 1,972,719 Investment in Vanguard 76 Cash 9 Cash Collateral Pledged—Futures Contracts 205 Receivables for Investment Securities Sold 1 Receivables for Accrued Income 1,785 Total Assets 1,974,795 Liabilities Collateral for Securities on Loan 335 Payables to Vanguard 113 Variation Margin Payable—Futures Contracts 4 Total Liabilities 452 Net Assets 1,974,343

At August 31, 2020, net assets consisted of:

Paid-in Capital 1,595,940 Total Distributable Earnings (Loss) 378,403 Net Assets 1,974,343

Net Assets Applicable to 30,625,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,974,343 Net Asset Value Per Share $64.47

See accompanying Notes, which are an integral part of the Financial Statements. 24 ESG U.S. Stock ETF

Statement of Operations

Year Ended August 31, 2020 ($000) Investment Income Income Dividends 18,449 Interest1 14 Securities Lending—Net 32 Total Income 18,495 Expenses The Vanguard Group—Note B Investment Advisory Services 167 Management and Administrative 1,032 Marketing and Distribution 68 Custodian Fees 35 Auditing Fees 34 Shareholders’ Reports 15 Trustees’ Fees and Expenses 1 Total Expenses 1,352 Expenses Paid Indirectly (14) Net Expenses 1,338 Net Investment Income 17,157 Realized Net Gain (Loss) Investment Securities Sold1,2 (16,739) Futures Contracts 414 Realized Net Gain (Loss) (16,325) Change in Unrealized Appreciation (Depreciation) Investment Securities1 366,735 Futures Contracts 209 Change in Unrealized Appreciation (Depreciation) 366,944 Net Increase (Decrease) in Net Assets Resulting from Operations 367,776 1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $0, and $0, respectively. Purchases and sales are for temporary cash investment purposes. 2 Includes $5,025,000 of the net gain (loss) resulting from in-kind redemptions.

See accompanying Notes, which are an integral part of the Financial Statements. 25 ESG U.S. Stock ETF

Statement of Changes in Net Assets

September 18, Year Ended 20181 to August 31, August 31, 2020 2019 ($000) ($000) Increase (Decrease) in Net Assets Operations Net Investment Income 17,157 4,244 Realized Net Gain (Loss) (16,325) (2,051) Change in Unrealized Appreciation (Depreciation) 366,944 30,085 Net Increase (Decrease) in Net Assets Resulting from Operations 367,776 32,278 Distributions2 Total Distributions (14,177) (2,448) Capital Share Transactions Issued 1,046,350 564,704 Issued in Lieu of Cash Distributions — — Redeemed (20,140) — Net Increase (Decrease) from Capital Share Transactions 1,026,210 564,704 Total Increase (Decrease) 1,379,809 594,534 Net Assets Beginning of Period 594,534 — End of Period 1,974,343 594,534 1 Inception. 2 Certain prior period numbers have been reclassed to conform with current period presentation.

See accompanying Notes, which are an integral part of the Financial Statements. 26 ESG U.S. Stock ETF

Financial Highlights

Year September 18, Ended 20181 to For a Share Outstanding August 31, August 31, Throughout Each Period 2020 2019 Net Asset Value, Beginning of Period $51.25 $50.00 Investment Operations Net Investment Income2 .846 .792 Net Realized and Unrealized Gain (Loss) on Investments 13.146 .868 Total from Investment Operations 13.992 1.660 Distributions Dividends from Net Investment Income (.772) (.410) Distributions from Realized Capital Gains — — Total Distributions (.772) (.410) Net Asset Value, End of Period $64.47 $51.25

Total Return 27.60% 3.40%

Ratios/Supplemental Data Net Assets, End of Period (Millions) $1,974 $595 Ratio of Total Expenses to Average Net Assets 0.12% 0.12%3 Ratio of Net Investment Income to Average Net Assets 1.54% 1.67%3 Portfolio Turnover Rate 6% 6% 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized.

See accompanying Notes, which are an integral part of the Financial Statements. 27 ESG U.S. Stock ETF

Notes to Financial Statements

Vanguard ESG U.S. Stock ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZX Exchange; they can be purchased and sold through a broker. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus 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 materially 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 board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

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

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

During the year ended August 31, 2020, 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 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, which is

28 ESG U.S. Stock ETF

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 $4.3 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, 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; these fees 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 a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative 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

29 ESG U.S. Stock ETF

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

For the year ended August 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

7. Other: Dividend income is recorded on the ex-dividend date. 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 August 31, 2020, the fund had contributed to Vanguard capital in the amount of $76,000, representing less than 0.01% of the fund’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2020, custodian fee offset arrangements reduced the fund’s expenses by $14,000 (an annual rate of less than 0.01% of average net assets).

D. 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.

30 ESG U.S. Stock ETF

The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2020, based on the inputs used to value them:

Level 1 Level 2 Level 3 Tot al ($000) ($000) ($000) ($000) Investments Assets Common Stocks 1,970,890 — 1 1,970,891 Temporary Cash Investments 1,828 — — 1,828 Total 1,972,718 — 1 1,972,719 Derivative Financial Instruments Liabilities Futures Contracts1 4—— 4 1 Represents variation margin on the last day of the reporting period.

E. 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 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 in-kind redemptions and passive foreign investment companies were reclassified between the following accounts:

Amount ($000) Paid-in Capital 5,026 Total Distributable Earnings (Loss) (5,026)

Temporary differences between book-basis and tax-basis components of total distributable earnings (losses) 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; the recognition of unrealized gains or losses from certain derivative contracts; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (losses) are detailed in the table as follows:

Amount ($000) Undistributed Ordinary Income 4,781 Undistributed Long-Term Gains — Capital Loss Carryforwards (21,769) Qualified Late-Year Losses — Net Unrealized Gains (Losses) 395,391

31 ESG U.S. Stock ETF

The tax character of distributions paid was as follows:

Year Ended Period Ended August 31, 2020 August 31, 2019 Amount Amount ($000) ($000) Ordinary Income* 14,177 2,448 Long-Term Capital Gains — — Tot al 14,177 2,448 * Includes short-term capital gains, if any.

As of August 31, 2020, 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 1,577,328 Gross Unrealized Appreciation 454,928 Gross Unrealized Depreciation (59,537) Net Unrealized Appreciation (Depreciation) 395,391

F. During the year ended August 31, 2020, the fund purchased $1,113,727,000 of investment securities and sold $86,172,000 of investment securities, other than temporary cash investments. Purchases and sales include $856,802,000 and $18,717,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2020, such purchases and sales were $25,209,000 and $9,131,000, respectively; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

G. Capital shares issued and redeemed were:

Year Ended September 18, 20181 to August 31, 2020 August 31, 2019 Shares Shares (000) (000) Issued 19,400 11,600 Issued in Lieu of Cash Distributions — — Redeemed (375) — Net Increase (Decrease) in Shares Outstanding 19,025 11,600 1 Inception.

H. Management has determined that no events or transactions occurred subsequent to August 31, 2020, that would require recognition or disclosure in these financial statements.

32 Report of Independent Registered Public Accounting Firm To the Board of Trustees of Vanguard World Fund and Shareholders of Vanguard ESG U.S .Stock ETF Opinion on the Financial Statements We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard ESG U.S. Stock ETF (one of the funds constituting Vanguard World Fund, referred to hereafter as the "Fund”) as of August 31, 2020, the related statement of operations for the year ended August 31, 2020 and the statement of changes in net assets and the financial highlights for the year ended August 31, 2020 and for the period September 18, 2018 (inception) through August 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2020, the results of its operations for the year ended August 31, 2020, and the changes in its net assets and the financial highlights for the year ended August 31, 2020 and for the period September 18, 2018 (inception) through August 31, 2019 in conformity with accounting principles generally accepted in the United States of America. Basis for Opinion These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania October 19, 2020 We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

33 Special 2020 tax information (unaudited) for Vanguard ESG U.S. Stock ETF

This information for the fiscal year ended August 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $13,691,000 of qualified dividend income to shareholders during the fiscal year.

The fund distributed $228,000 of qualified business income to shareholders during the fiscal year.

For corporate shareholders, 94.3% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

34 Trustees Approve Advisory Arrangements

The board of trustees of Vanguard ESG U.S. Stock ETF has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services The board considered the quality of the investment management services provided to the fund since its inception in 2018 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

Investment performance The board considered the fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

Cost The board concluded that the fund’s estimated expense ratio for the current fiscal year was well below the average expense ratio charged by funds in its peer group and that the fund’s estimated advisory expenses for the current fiscal year were also well below the peer-group average.

35 The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

The benefit of economies of scale The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement again after a one-year period.

36 Liquidity Risk Management

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

The board of trustees of Vanguard World Fund approved the appointment of liquidity risk management program administrators responsible for administering Vanguard ESG U.S. Stock ETF’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

37 London Stock Exchange Group companies include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”). All rights reserved. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Indices or the fitness or suitability of the Indices for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies’ index values and the use of their indexes to create financial products require a license with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors.

38 The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1 Independent Trustees

Mortimer J. Buckley Emerson U. Fullwood Born in 1969. Trustee since January 2018. Principal Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other occupation(s) during the past five years and other experience: chairman of the board (2019–present) of experience: executive chief staff and marketing Vanguard and of each of the investment companies officer for North America and corporate vice president served by Vanguard; chief executive officer (retired 2008) of Xerox Corporation (document (2018–present) of Vanguard; chief executive officer, management products and services). Former president, and trustee (2018–present) of each of the president of the Worldwide Channels Group, Latin investment companies served by Vanguard; president America, andWorldwide Customer Service and and director (2017–present) of Vanguard; and executive chief staff officer of Developing Markets of president (2018–present) of Vanguard Marketing Xerox. Executive in residence and 2009–2010 Corporation. Chief investment officer (2013–2017), Distinguished Minett Professor at the Rochester managing director (2002–2017), head of the Retail Institute of Technology. Director of SPX FLOW, Inc. Investor Group (2006–2012), and chief information (multi-industry manufacturing). Director of the officer (2001–2006) of Vanguard. Chairman of the University of Rochester Medical Center, the Monroe board (2011–2017) and trustee (2009–2017) of the Community College Foundation, the United Way of Children’s Hospital of Philadelphia; and trustee Rochester, North Carolina A&T University, and (2018–present) and vice chair (2019–present) of The Roberts Wesleyan College. Trustee of the University Shipley School. of Rochester.

Amy Gutmann Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. 1 Mr. Buckley is considered “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. F. Joseph Loughrey Deanna Mulligan Born in 1949. Trustee since October 2009. Principal Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other occupation(s) during the past five years and other experience: president and chief operating officer experience: chief executive officer (2011–present) of (retired 2009) and vice chairman of the board The Guardian Life Insurance Company of America. (2008–2009) of Cummins Inc. (industrial machinery). President (2010–2019), chief operating officer Chairman of the board of Hillenbrand, Inc. (specialized (2010–2011), and executive vice president consumer services) and the Lumina Foundation. (2008–2010) of Individual Life and Disability of The Director of the V Foundation. Member of the advisory Guardian Life Insurance Company of America. council for the College of Arts and Letters and chair of Member of the board of The Guardian Life Insurance the advisory board to the Kellogg Institute for Company of America, the American Council of Life International Studies, both at the University of Notre Insurers, and the Economic Club of New York.Trustee Dame. of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, Mark Loughridge NewYork-Presbyterian Hospital, Catalyst, and the Born in 1953. Trustee since March 2012. Principal Bruce Museum (arts and science). Member of the occupation(s) during the past five years and other Advisory Council for the Stanford Graduate School of experience: senior vice president and chief financial Business. officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement André F. Perold Plan Committee (2004–2013), senior vice president Born in 1952. Trustee since December 2004. Principal and general manager (2002–2004) of IBM Global occupation(s) during the past five years and other Financing, vice president and controller (1998–2002) experience: George Gund Professor of Finance and of IBM, and a variety of other prior management roles Banking, Emeritus at the Harvard Business School at IBM. Member of the Council on Chicago Booth. (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private Scott C. Malpass investment firm). Member of the board of advisors Born in 1962. Trustee since March 2012. Principal and member of the investment committee of the occupation(s) during the past five years and other Museum of Fine Arts Boston. Member of the board experience: chief investment officer (retired June (2018–present) of RIT Capital Partners (investment 2020) and vice president (retired June 2020) of the firm). Member of the investment committee of University of Notre Dame. Assistant professor of Partners Health Care System. finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Sarah Bloom Raskin Dame 403(b) Investment Committee (retired June Born in 1961.Trustee since January 2018. Principal 2020). Member of the board of Catholic Investment occupation(s) during the past five years and other Services, Inc. (investment advisors) and the board of experience: deputy secretary (2014–2017) of the superintendence of the Institute for the Works of United States Department of the Treasury. Governor Religion. (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library. Peter F. Volanakis Thomas J. Higgins Born in 1955. Trustee since July 2009. Principal Born in 1957. Principal occupation(s) during the past occupation(s) during the past five years and other five years and other experience: principal of Vanguard. experience: president and chief operating officer Finance director (2019–present), chief financial officer (retired 2010) of Corning Incorporated (2008–2019), and treasurer (1998–2008) of each of (communications equipment) and director of Corning the investment companies served by Vanguard. Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation Peter Mahoney (multi-industry manufacturing). Overseer of the Amos Born in 1974. Principal occupation(s) during the past Tuck School of Business Administration, Dartmouth five years and other experience: principal of Vanguard. College (2001–2013). Chairman of the board of Controller (2015–present) of each of the investment trustees of Colby-Sawyer College. Member of the companies served by Vanguard. Head of International board of Hypertherm Inc. (industrial cutting systems, Fund Services (2008–2014) at Vanguard. software, and consumables). Anne E. Robinson Born in 1970. Principal occupation(s) during the past Executive Officers five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) John Bendl of Vanguard and of each of the investment companies Born in 1970. Principal occupation(s) during the past served by Vanguard. Managing director five years and other experience: principal of Vanguard. (2016–present) of Vanguard. Managing director and Chief financial officer (2019–present) of each of the general counsel of Global Cards and Consumer investment companies served by Vanguard. Chief Services (2014–2016) at Citigroup. Counsel accounting officer, treasurer, and controller of (2003–2014) at American Express. Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services). Michael Rollings Born in 1963. Principal occupation(s) during the past Glenn Booraem five years and other experience: finance director Born in 1967. Principal occupation(s) during the past (2017–present) and treasurer (2017) of each of the five years and other experience: principal of Vanguard. investment companies served by Vanguard. Investment stewardship officer (2017–present), Managing director (2016–present) of Vanguard. Chief treasurer (2015–2017), controller (2010–2015), and financial officer (2016–present) of Vanguard. Director assistant controller (2001–2010) of each of the (2016–present) of Vanguard Marketing Corporation. investment companies served by Vanguard. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group. Christine M. Buchanan Born in 1970. Principal occupation(s) during the past John E. Schadl five years and other experience: principal of Vanguard. Born in 1972. Principal occupation(s) during the past Treasurer (2017–present) of each of the investment five years and other experience: principal of Vanguard. companies served by Vanguard. Partner (2005–2017) Chief compliance officer (2019–present) of Vanguard at KPMG (audit, tax, and advisory services). and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of David Cermak Vanguard Marketing Corporation. Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the Vanguard Senior Management Team investment companies served by Vanguard. Managing director and head (2017–present) of Joseph Brennan Chris D. McIsaac Vanguard Investments Singapore. Managing director Mortimer J. Buckley James M. Norris and head (2017–2019) of Vanguard Investments Hong Gregory Davis Thomas M. Rampulla Kong. Representative director and head (2014–2017) John James Karin A. Risi of Vanguard Investments Japan. Martha G. King Anne E. Robinson JohnT. Marcante Michael Rollings Connect with Vanguard® > vanguard.com

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TextTelephone for People Who Are Deaf or Hard of Hearing > 800-749-7273 This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted. You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov. You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected]. Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor.

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