Vanguard Institutional Total Stock Market Index Fund Annual Report

Annual Report | December 31, 2016

Vanguard Institutional Total Stock Market Index Fund

A new format, unwavering commitment As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients. Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period. In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights. We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information. At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.

Contents Your Fund’s Performance at a Glance. . . . . . . . . . . . . . . . . . 1 Chairman’s Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Fund Profile. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6 Performance Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7 Financial Statements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . 56 Glossary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

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. See the Glossary for definitions of investment terms used in this report. About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.

Your Fund’s Performance at a Glance • Vanguard Institutional Total Stock Market Index Fund returned nearly 13% for the 12 months ended December 31, 2016. The fund closely tracked its target index, the CRSP US Total Market Index, and exceeded the average return of its multicapitalization core fund peers. • The fund offers investors exposure to every segment, size, and style of the U.S. equity market. • Small-cap stocks outperformed their large- and mid-cap counterparts, while value stocks outpaced growth. • The fund recorded positive returns in nine of the ten market sectors. Returns surpassed 20% in four sectors and 10% in seven. The fund’s largest sector, financials, contributed most to the outcome. Only health care stocks declined. • Over the past ten years, the fund posted an average annual return of about 7%, in line with its benchmark and more than 1 percentage point higher than its peer-fund average.

Total Returns: Fiscal Year Ended December 31, 2016 Total Returns Vanguard Institutional Total Stock Market Index Fund Institutional Shares

12.75%

Institutional Plus Shares

12.77

CRSP US Total Market Index

12.68

Multi-Cap Core Funds Average

10.19

Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.

Total Returns: Ten Years Ended December 31, 2016 Average Annual Return Institutional Total Stock Market Index Fund Institutional Shares

7.29%

Spliced Institutional Total Stock Market Index

7.23

Multi-Cap Core Funds Average

5.51

For a benchmark description, see the Glossary. Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. The figures shown represent past performance, which is not a guarantee of future results. (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.

1

Chairman’s Perspective Dear Shareholder, If you’re like most investors, a big question on your mind is: What’s in store for the markets and the economy in 2017?

Bill McNabb Chairman and Chief Executive Officer

At Vanguard, we’re just as curious about the immediate future. But our curiosity is tempered by our belief that forecasts should give a range of possible outcomes, not pinpoint predictions. After all, there are bound to be occurrences the experts won’t see coming.

What really matters for investors In 2016, we saw two cases in point: The United Kingdom’s June vote to exit the European Union and the November election of Donald Trump as U.S. president. Both unexpected outcomes triggered swift market reactions. But despite some short-term volatility, the markets’ 12-month performance as of December 31, 2016, proved to be less dramatic. U.S. stocks posted healthy returns, and U.S. bonds provided returns close to their long-term averages. International stocks and bonds also advanced, although returns for U.S. investors were reduced by the strength of the U.S. dollar. The surprises of 2016 remind us to be skeptical of overly precise short-term predictions about 2017. At the cusp of a new year, market prognosticators forecast where the Standard & Poor’s 500 Index or the yield on the 10-year Treasury note will end up in 12 months. Such predictions can be attention-getting. They can also be dead wrong.

2

Investors are better off taking note of long-term trends that stand to influence our economies and markets. We’re watching these trends closely, and we discuss our latest assessment in our 2017 economic and market outlook, which you can read at vanguard.com/research.

Our global economic outlook: Expect stabilization, not stagnation One phenomenon in particular that we’re watching is the low-growth, low-interestrate environment that has marked the global economy since the 2008–09 financial crisis. We don’t think this economic backdrop is simply the result of cyclically weak demand or long-term stagnation. Instead, certain structural forces are contributing: Falling technology costs are restraining the amounts businesses are spending on

capital investment, an aging population is weighing on growth in the developed world, and the free movement of capital and products across the globe has restrained prices and wages. In the near term, these forces will continue to dampen growth, inflation, and interest rates. They also make it unlikely that further monetary stimulus from central banks will do much to spur growth. I realize this all may sound gloomy, but that’s not how we see it. We expect global growth to stabilize at more modest levels, not stagnate. The world isn’t headed for Japanese-style deflation, in which a widespread sustained drop in prices puts economic activity into hibernation.

Market Barometer Average Annual Total Returns Periods Ended December 31, 2016 One Year

Three Years

Five Years

Stocks Russell 1000 Index (Large-caps)

12.05%

8.59%

14.69%

Russell 2000 Index (Small-caps)

21.31

6.74

14.46

Russell 3000 Index (Broad U.S. market)

12.74

8.43

14.67

4.80

-1.16

5.52

2.65%

3.03%

2.23%

FTSE All-World ex US Index (International) Bonds Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)

0.25

4.14

3.28

Citigroup Three-Month U.S. Treasury Bill Index

0.27

0.09

0.08

2.07%

1.18%

1.36%

CPI Consumer Price Index

3

In fact, we believe that global growth could pick up modestly over time. Our expectation is based on a potential rebound in productivity as new digital technologies are used more effectively. We also anticipate a slight recovery in the labor force as the baby boom generation finishes its transition to retirement, nudging up demand for workers.

Put expansion in perspective Looking to the United States, the world’s largest economy remains firmly on a longterm-growth path of about 2% per year. That’s lower than the historical average of 3.25% since 1950. We see such growth at this level as fundamentally sound, rather than abnormally low. Our evaluation takes into account lower U.S. population growth

and the reality that the economic expansion from the 1980s until the financial crisis was fueled by debt, distorting the numbers. Turning to prices, we think that core U.S. inflation should modestly exceed 2% in 2017. That, in turn, will support further interest rate hikes by the Federal Reserve, similar to the one at the end of 2016. We expect the Fed to raise rates in 2017 before taking an extended pause, and we see the federal funds rate staying below 2% through at least 2018.

Prepare for muted returns And what about prospects for the markets? Vanguard’s outlook for global stocks and bonds remains the most guarded in ten years, given fairly high stock valuations

Expect more modest returns, rely on time-tested principles In Vanguard’s economic and market outlook for 2017, Global Chief Economist Joseph Davis and his team offer a projection of more modest returns from the global stock and bond markets. They caution that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages. The team’s simulations indicate that for the decade ending in 2026, the average annualized return of a 60% stock/40% bond portfolio is likely to be centered in the 3%–5% range after inflation. That’s below the actual average after-inflation return of 6% for the same portfolio for the nine decades since 1926. Ultimately, our global market outlook points toward a somewhat more challenging environment, yet one in which, over time, investors with an appropriate level of discipline, diversification, and patience are likely to be rewarded with reasonable inflation-adjusted returns. For more information about our expectations and the probability of various outcomes, see 2017 Economic and Market Outlook: Stabilization, Not Stagnation, available at vanguard.com/research.

IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model® (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from the VCMM are derived from 10,000 simulations for each modeled asset class. Simulations as of September 30, 2016. Results from the model may vary with each use and over time. For more information, see the note at the end of this letter. 4

and the low-interest-rate environment. We don’t expect global bond yields to increase materially from year-end 2016 levels. Our outlook for global equities is annualized returns of 5%–8% over the next decade. This outlook isn’t bearish, but is actually fairly positive when you take into account the current low-rate environment. (See the box titled Expect more modest returns, rely on time-tested principles for more.)

Focus on the four keys to investment success Significant trends often happen gradually. Like shifting tides, they’re sometimes barely noticeable at first but ultimately can change the landscape entirely. Other times, apparent trends can end up receding before they have much of a long-term impact. Given the future’s inherent unpredictability, it’s not reasonable to expect a surefire blockbuster revelation from any prognosticator or investment firm.

What to conclude, then? No matter what scenario plays out, we believe investors have the best chance for success if they stay focused on what they can control: their goals, asset allocation, and investment costs, along with the discipline to stick to a plan. As Tim Buckley, our chief investment officer, likes to say, this can be easy to say but harder to do, especially in times of uncertainty. Investors who can stay focused on those four keys will find themselves well-positioned to weather any market. As always, thank you for investing with Vanguard. Sincerely,

F. William McNabb III Chairman and Chief Executive Officer January 16, 2017

IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time. The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based. The VCMM is a proprietary financial simulation tool developed and maintained by Vanguard’s Investment Strategy Group. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time. 5

Institutional Total Stock Market Index Fund Fund Profile

As of December 31, 2016

Volatility Measures

Share-Class Characteristics Institutional Shares


Institutional Plus Shares

Ticker Symbol

VITNX

VITPX

Expense Ratio1

0.04%

0.02%

30-Day SEC Yield

1.98%

2.00%

R-Squared

1.00

Beta

1.00

These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.

Portfolio Characteristics

Fund


3,162

3,589

Median Market Cap

$54.1B

$54.1B

Price/Earnings Ratio

24.4x

24.4x

Number of Stocks

Price/Book Ratio Return on Equity Earnings Growth Rate

2.8x

2.8x

16.6%

16.4%

8.0%

8.3%

Dividend Yield

2.0%

2.0%

Foreign Holdings

0.0%

0.0%

8%

—

-0.1%

—

Turnover Rate Short-Term Reserves

Ten Largest Holdings (% of total net assets) Apple Inc.

Computer Hardware

Alphabet Inc.

Internet

2.5% 2.0

Microsoft Corp.

Software

2.0

Exxon Mobil Corp.

Integrated Oil & Gas

1.6

Berkshire Hathaway Inc. Reinsurance

1.3

Johnson & Johnson

1.3

Pharmaceuticals

JPMorgan Chase & Co. Banks

1.3

Amazon.com Inc.

Broadline Retailers

1.3

General Electric Co.

Diversified Industrials

1.2

Facebook Inc.

Internet

1.1 15.6%

Top Ten

The holdings listed exclude any temporary cash investments and equity index products.

Sector Diversification (% of equity exposure) CRSP US Total Market Fund Index Basic Materials Consumer Goods Consumer Services

2.6%

2.6%

9.6

9.6

13.1

13.0

Financials

20.6

20.7

Health Care

12.2

12.3

Industrials

13.0

12.9

Oil & Gas

7.0

7.0

Technology

16.3

16.3

Telecommunications

2.4

2.4

Utilities

3.2

3.2

Investment Focus Style Market Cap

Value Blend Growth Large

Medium

Small

1 The expense ratios shown are from the prospectus dated April 27, 2016. For the fiscal year ended December 31, 2016, the expense ratios were 0.04% for Institutional Shares and 0.02% for Institutional Plus Shares. 6

Institutional Total Stock Market Index Fund

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: December 31, 2006, Through December 31, 2016 Initial Investment of $100,000,000

$250,000,000 202,032,947

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

40,000,000

Average Annual Total Returns Periods Ended December 31, 2016 One Year

Five Years

Ten Years

Final Value of a $100,000,000 Investment

Institutional Total Stock Market Index Fund*Institutional Shares

12.75%

14.70%

7.29%

$202,032,947


12.68

14.66

7.23

201,071,331

– – – – Multi-Cap Core Funds Average

10.19

12.37

5.51

170,984,908

• • • • • • • •

For a benchmark description, see the Glossary. Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.

One Year

Five Years

Ten Years

Final Value of a $200,000,000 Investment $404,957,855

Institutional Total Stock Market Index Fund Institutional Plus Shares

12.77%

14.72%

7.31%


12.68

14.66

7.23

402,142,661

See Financial Highlights for dividend and capital gains information. 7


Fiscal-Year Total Returns (%): December 31, 2006, Through December 31, 2016 2007

2008

2010

2009 28.84

2012

5.59

17.28

16.47 1.09

16.44

1.08

–36.90 –37.04

Institutional Total Stock Market Index Fund Institutional Shares Spliced Institutional Total Stock Market Index For a benchmark description, see the Glossary.

8

2013 33.64

17.28 5.60

2011

28.76

2014

2015

2016

33.61 12.60

12.75

12.58 0.45

0.40

12.68


Financial Statements Statement of Net Assets As of December 31, 2016

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).

Shares

Market Value• ($000)

Common Stocks (99.5%)1 Basic Materials (2.6%) Dow Chemical Co. 1,779,339 EI du Pont de Nemours & Co. 1,380,713 Praxair Inc. 452,941 Air Products & Chemicals Inc. 344,702 Ecolab Inc. 416,731 LyondellBasell Industries NV Class A 517,843 PPG Industries Inc. 418,053 International Paper Co. 653,059 Nucor Corp. 505,424 Newmont Mining Corp. 842,459 * Freeport-McMoRan Inc. 1,943,257 Celanese Corp. Class A 229,874 Eastman Chemical Co. 221,406 Mosaic Co. 556,378 Albemarle Corp. 178,585 International Flavors & Fragrances Inc. 113,509 Steel Dynamics Inc. 367,682 Arconic Inc. 697,032 FMC Corp. 212,949 CF Industries Holdings Inc. 370,094 RPM International Inc. 212,176 Ashland Global Holdings Inc. 98,797 Avery Dennison Corp. 141,383 * Axalta Coating Systems Ltd. 342,456 United States Steel Corp. 273,459 Reliance Steel & Aluminum Co. 109,634 * Alcoa Corp. 289,854 WR Grace & Co. 111,855 US Silica Holdings Inc. 126,664

101,814 101,344 53,080 49,575 48,849 44,421 39,615 34,651 30,083 28,703 25,632 18,100 16,652 16,319 15,373 13,375 13,082 12,923 12,044 11,651 11,421 10,798 9,928 9,315 9,027 8,720 8,139 7,566 7,179

* *

*

* *

*

*

*

*

*

* *

Scotts Miracle-Gro Co. Class A Olin Corp. Royal Gold Inc. NewMarket Corp. Chemours Co. Huntsman Corp. Sensient Technologies Corp. AK Steel Holding Corp. Versum Materials Inc. CONSOL Energy Inc. Cabot Corp. PolyOne Corp. Minerals Technologies Inc. Balchem Corp. Compass Minerals International Inc. Commercial Metals Co. Domtar Corp. HB Fuller Co. Univar Inc. Ingevity Corp. Westlake Chemical Corp. Chemtura Corp. Worthington Industries Inc. Hecla Mining Co. Stillwater Mining Co. KapStone Paper and Packaging Corp. Platform Specialty Products Corp. GCP Applied Technologies Inc. Fairmount Santrol Holdings Inc. Neenah Paper Inc. Cliffs Natural Resources Inc. Cambrex Corp. Allegheny Technologies Inc.

Shares


72,479 262,763 103,827 15,117 288,674 322,128

6,925 6,729 6,577 6,407 6,377 6,146

71,190 496,328 172,874 255,481 89,557 133,741 55,422 50,532

5,594 5,067 4,853 4,657 4,526 4,285 4,281 4,241

53,870 183,130 99,656 80,068 131,731 67,061 61,767 100,526 70,227 614,600 193,687

4,221 3,989 3,890 3,868 3,737 3,679 3,458 3,337 3,332 3,220 3,120

138,583

3,056

309,618

3,037

113,341

3,032

247,255 33,910 339,661 51,913 174,512

2,915 2,889 2,857 2,801 2,780

9


*

*

* *

* *

* *

*

*

*

*

* *

^

* * *

*,^

*

*,^ * * * * * *

10

Coeur Mining Inc. Carpenter Technology Corp. Innospec Inc. Quaker Chemical Corp. Clearwater Paper Corp. Innophos Holdings Inc. Kaiser Aluminum Corp. Stepan Co. Arch Coal Inc. Class A Kraton Corp. Aceto Corp. Calgon Carbon Corp. PH Glatfelter Co. SunCoke Energy Inc. Century Aluminum Co. Haynes International Inc. Ferro Corp. Westmoreland Coal Co. American Vanguard Corp. Chase Corp. Koppers Holdings Inc. Deltic Timber Corp. AdvanSix Inc. A Schulman Inc. Tronox Ltd. Class A Hallador Energy Co. Hawkins Inc. Veritiv Corp. Tredegar Corp. Ampco-Pittsburgh Corp. Resolute Forest Products Inc. OMNOVA Solutions Inc. Cloud Peak Energy Inc. KMG Chemicals Inc. Kronos Worldwide Inc. Olympic Steel Inc. Rayonier Advanced Materials Inc. FutureFuel Corp. CSW Industrials Inc. Ryerson Holding Corp. Codexis Inc. Gold Resource Corp. LSB Industries Inc. Friedman Industries Inc. Universal Stainless & Alloy Products Inc. Golden Minerals Co. Real Industry Inc. Uranium Energy Corp. Handy & Harman Ltd. General Moly Inc. Senomyx Inc. Ikonics Corp.

Shares


298,156 74,310 37,286 19,910 37,923 42,440 27,745 23,373 24,211 62,734 81,245 104,616 69,738 132,960 154,821 30,361 91,050 70,819 64,678 14,675 30,343 15,223 48,538 31,811 102,871 113,025 18,122 16,578 36,672 48,960

2,710 2,688 2,554 2,547 2,486 2,218 2,155 1,904 1,890 1,787 1,785 1,778 1,666 1,508 1,325 1,305 1,305 1,251 1,239 1,226 1,223 1,173 1,075 1,064 1,061 1,027 978 891 880 820

140,309 73,095 127,884 17,785 52,615 21,873

751 731 717 692 628 530

20,736 21,815 7,613 20,819 50,575 52,189 26,149 30,651

321 303 281 278 233 227 220 204

10,736 243,316 22,749 110,492 4,280 384,371 66,934 3,253

145 141 139 124 109 96 64 37

*

* * *

* * * *

*

Solitario Exploration & Royalty Corp. Synalloy Corp. NL Industries Inc. Northern Technologies International Corp. United-Guardian Inc. Pershing Gold Corp. AgroFresh Solutions Inc. Comstock Mining Inc. TOR Minerals International Inc. Rentech Inc.

Shares


56,237 1,703 2,169

36 19 18

1,269 950 4,000 3,000 21,959

17 15 13 8 6

682 200

4 — 963,888

Consumer Goods (9.6%) Procter & Gamble Co. Coca-Cola Co. PepsiCo Inc. Philip Morris International Inc. Altria Group Inc. NIKE Inc. Class B Mondelez International Inc. Class A Colgate-Palmolive Co. Kraft Heinz Co. Reynolds American Inc. Ford Motor Co. Monsanto Co. General Motors Co. Kimberly-Clark Corp. General Mills Inc. Archer-Daniels-Midland Co. Constellation Brands Inc. Class A *,^ Tesla Motors Inc. Activision Blizzard Inc. * Electronic Arts Inc. Newell Brands Inc. * Monster Beverage Corp. Delphi Automotive plc Kellogg Co. Tyson Foods Inc. Class A Conagra Brands Inc. Stanley Black & Decker Inc. Estee Lauder Cos. Inc. Class A Molson Coors Brewing Co. Class B Dr Pepper Snapple Group Inc. Clorox Co. VF Corp.

4,243,058 6,154,765 2,274,061

356,756 255,177 237,935

2,459,840 3,093,359 2,122,519

225,051 209,173 107,888

2,329,847 1,407,689 966,835 1,359,783 6,197,527 694,872 2,058,152 567,214 939,436

103,282 92,119 84,424 76,202 75,176 73,107 71,706 64,730 58,029

913,706

41,711

267,207 191,633 1,059,531 453,677 765,587 680,174 433,071 389,631 462,191 695,042

40,965 40,950 38,260 35,732 34,183 30,159 29,167 28,720 28,508 27,489

238,819

27,390

352,467

26,960

277,040

26,959

294,309 205,757 427,189

26,685 24,695 22,791


*

*

*

*

*

* *

* *

*,^

^

*

* * *

Hershey Co. JM Smucker Co. Whirlpool Corp. Genuine Parts Co. Mead Johnson Nutrition Co. Mohawk Industries Inc. Campbell Soup Co. Church & Dwight Co. Inc. McCormick & Co. Inc. Harley-Davidson Inc. Bunge Ltd. Snap-on Inc. WhiteWave Foods Co. Class A DR Horton Inc. Coach Inc. Mattel Inc. Lear Corp. Hormel Foods Corp. Ingredion Inc. LKQ Corp. Hasbro Inc. BorgWarner Inc. Lennar Corp. Class A Coty Inc. Class A Hanesbrands Inc. Goodyear Tire & Rubber Co. Brown-Forman Corp. Class B Harman International Industries Inc. Leucadia National Corp. Middleby Corp. PVH Corp. Michael Kors Holdings Ltd. Leggett & Platt Inc. Pinnacle Foods Inc. Lululemon Athletica Inc. NVR Inc. Gentex Corp. WABCO Holdings Inc. Lamb Weston Holdings Inc. PulteGroup Inc. Under Armour Inc. Class A Ralph Lauren Corp. Class A Polaris Industries Inc. Thor Industries Inc. Post Holdings Inc. Brunswick Corp. Under Armour Inc. Toll Brothers Inc. Edgewell Personal Care Co.

Shares


218,129 175,680 119,820 224,692

22,561 22,498 21,780 21,467

293,335 100,130 318,696 409,185 182,703 284,046 221,526 92,386

20,756 19,994 19,272 18,082 17,052 16,571 16,003 15,823

281,494 572,657 443,122 541,015 112,377 420,892 114,846 463,552 179,289 337,750 304,424 711,248 600,277

15,651 15,651 15,518 14,905 14,875 14,651 14,351 14,208 13,947 13,321 13,069 13,023 12,948

417,594

12,891

285,729

12,835

*

110,975 516,234 91,532 128,416 254,883 212,729 187,733 151,640 5,881 456,292 84,252 232,124 471,379 291,680 89,673 96,804 79,289 97,711 143,540 296,740 237,851 93,778

12,336 12,002 11,790 11,588 10,955 10,398 10,034 9,855 9,815 8,984 8,943 8,786 8,664 8,473 8,099 7,976 7,933 7,855 7,829 7,469 7,373 6,845

*

Shares *

* *

*,^

* *

*,^

*

* *

*

*

*

*

* * *

*

* *

Take-Two Interactive Software Inc. 136,812 Pool Corp. 63,673 Carter’s Inc. 75,792 TreeHouse Foods Inc. 90,165 Hain Celestial Group Inc. 164,506 Flowers Foods Inc. 296,174 Tempur Sealy International Inc. 78,987 Tenneco Inc. 85,734 Skechers U.S.A. Inc. Class A 212,656 Herbalife Ltd. 103,082 Snyder’s-Lance Inc. 122,642 Spectrum Brands Holdings Inc. 37,912 B&G Foods Inc. 105,589 Energizer Holdings Inc. 98,495 Dana Inc. 229,971 Visteon Corp. 54,088 Lancaster Colony Corp. 30,622 Manitowoc Foodservice Inc. 218,540 Nu Skin Enterprises Inc. Class A 84,508 Drew Industries Inc. 37,289 HNI Corp. 71,127 Kate Spade & Co. 205,100 Dorman Products Inc. 52,265 CalAtlantic Group Inc. 110,259 Helen of Troy Ltd. 44,230 Vista Outdoor Inc. 95,918 Vector Group Ltd. 155,238 Avon Products Inc. 697,814 Blue Buffalo Pet Products Inc. 141,606 Tupperware Brands Corp. 64,608 Darling Ingredients Inc. 262,093 Cooper Tire & Rubber Co. 86,609 Wolverine World Wide Inc. 150,824 Herman Miller Inc. 95,464 Fresh Del Monte Produce Inc. 53,231 J&J Snack Foods Corp. 23,854 Steven Madden Ltd. 88,130 Dean Foods Co. 144,654 iRobot Corp. 53,568 Zynga Inc. Class A 1,162,087 ACCO Brands Corp. 227,683 Sanderson Farms Inc. 30,857 Cooper-Standard Holdings Inc. 28,027 La-Z-Boy Inc. 92,466 Deckers Outdoor Corp. 51,212 TRI Pointe Group Inc. 234,558 KB Home 164,939

Market Value• ($000) 6,743 6,644 6,548 6,509 6,421 5,915 5,393 5,356 5,227 4,962 4,702 4,638 4,625 4,394 4,365 4,345 4,330 4,224 4,038 4,018 3,977 3,829 3,818 3,750 3,735 3,539 3,530 3,517 3,404 3,400 3,384 3,365 3,311 3,265 3,227 3,183 3,151 3,151 3,131 2,987 2,971 2,908 2,897 2,871 2,837 2,693 2,608

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Universal Corp. 40,583 Columbia Sportswear Co. 44,338 WD-40 Co. 21,713 Central Garden & Pet Co. Class A 78,407 Boston Beer Co. Inc. Class A 14,101 Nutrisystem Inc. 68,222 Andersons Inc. 52,860 Knoll Inc. 82,527 Steelcase Inc. Class A 128,318 Schweitzer-Mauduit International Inc. 50,099 Interface Inc. Class A 122,526 Meritage Homes Corp. 63,258 American Axle & Manufacturing Holdings Inc. 114,026 Ethan Allen Interiors Inc. 59,579 Briggs & Stratton Corp. 98,473 Standard Motor Products Inc. 40,303 Cal-Maine Foods Inc. 45,671 Cavco Industries Inc. 20,153 Gentherm Inc. 58,575 Pilgrim’s Pride Corp. 103,335 Coca-Cola Bottling Co. Consolidated 10,682 Select Comfort Corp. 84,456 G-III Apparel Group Ltd. 62,526 MDC Holdings Inc. 71,899 Fossil Group Inc. 66,446 Fitbit Inc. Class A 224,635 John B Sanfilippo & Son Inc. 23,145 US Foods Holding Corp. 58,067 Unifi Inc. 46,571 Inter Parfums Inc. 44,624 Callaway Golf Co. 132,693 Seaboard Corp. 360 Nautilus Inc. 76,570 Medifast Inc. 33,570 Winnebago Industries Inc. 43,831 Movado Group Inc. 47,938 USANA Health Sciences Inc. 22,430 Beazer Homes USA Inc. 99,426 Central Garden & Pet Co. 39,824 Calavo Growers Inc. 21,145 Oxford Industries Inc. 21,579 Modine Manufacturing Co. 86,477 Wayfair Inc. 35,345 Tootsie Roll Industries Inc. 30,613 Flexsteel Industries Inc. 19,486 Motorcar Parts of America Inc. 43,131

Market Value• ($000) 2,587 2,585 2,538 *

2,423

* *

2,395 2,364 2,363 2,305 2,297

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2,281 2,273 2,201

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2,201 2,195 2,192 2,145 2,018 2,012 1,983 1,962 1,910 1,910 1,848 1,845 1,718 1,644 1,629 1,596 1,520 1,461 1,454 1,423 1,417 1,398 1,387 1,378 1,373 1,322 1,318 1,298 1,298 1,288 1,239 1,217 1,202

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Bassett Furniture Industries Inc. Culp Inc. Crocs Inc. Farmer Brothers Co. Universal Electronics Inc. Perry Ellis International Inc. Superior Industries International Inc. Iconix Brand Group Inc. M/I Homes Inc. Omega Protein Corp. Federal-Mogul Holdings Corp. Lennar Corp. Class B National Beverage Corp. Taylor Morrison Home Corp. Class A Jamba Inc. GoPro Inc. Class A Hooker Furniture Corp. Stoneridge Inc. Eastman Kodak Co. Arctic Cat Inc. Revlon Inc. Class A Libbey Inc. National Presto Industries Inc. Primo Water Corp. MGP Ingredients Inc. Alico Inc. Cherokee Inc. Alliance One International Inc. Fox Factory Holding Corp. Tower International Inc. Phibro Animal Health Corp. Class A Vera Bradley Inc. Glu Mobile Inc. Weyco Group Inc. Core Molding Technologies Inc. AdvancePierre Foods Holdings Inc. Marine Products Corp. JAKKS Pacific Inc. Valvoline Inc. Hovnanian Enterprises Inc. Class A Lifeway Foods Inc. Nutraceutical International Corp. ZAGG Inc. LGI Homes Inc.

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37,767 29,737 149,814 27,582 15,679 39,234

1,148 1,105 1,028 1,012 1,012 977

35,606 96,145 32,976 32,711

938 898 830 819

78,601 22,644 14,858

810 781 759

39,288 72,175 83,003 17,970 35,053 39,871 39,401 19,900 25,544

757 743 723 682 620 618 592 580 497

4,575 38,032 9,343 16,932 42,923

487 467 467 460 451

22,690 15,684 15,061

436 435 427

13,665 34,158 199,352 11,573

400 400 387 362

20,725

355

11,630 22,403 53,883 12,819

346 311 277 276

91,200 19,531

249 225

6,285 30,892 7,514

220 219 216


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Strattec Security Corp. Lifevantage Corp. Oil-Dri Corp. of America Lifetime Brands Inc. Johnson Outdoors Inc. Class A Shiloh Industries Inc. Limoneira Co. Camping World Holdings Inc. Class A Inventure Foods Inc. Sequential Brands Group Inc. Escalade Inc. Dixie Group Inc. Craft Brew Alliance Inc. Nature’s Sunshine Products Inc. Mannatech Inc. Black Diamond Inc. Natural Alternatives International Inc. Coffee Holding Co. Inc. S&W Seed Co. Orchids Paper Products Co. elf Beauty Inc. William Lyon Homes Class A Delta Apparel Inc. Acushnet Holdings Corp. LS Starrett Co. Class A WCI Communities Inc. Rocky Brands Inc. Seneca Foods Corp. Class A Malibu Boats Inc. Class A US Auto Parts Network Inc. Titan International Inc. Superior Uniform Group Inc. Female Health Co. Summer Infant Inc. Amplify Snack Brands Inc. Zedge Inc. Class B Emerson Radio Corp. Acme United Corp. Crown Crafts Inc. Skyline Corp. Freshpet Inc. Vuzix Corp. Lakeland Industries Inc. MCBC Holdings Inc. CompX International Inc. Century Communities Inc. Stanley Furniture Co. Inc. Willamette Valley Vineyards Inc. DS Healthcare Group Inc.

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5,352 24,901 5,275 11,235

216 203 202 199

5,006 28,486 9,066

199 197 195

5,805 18,959 39,641 13,847 49,812 10,411

189 187 186 183 179 176

10,016 7,199 27,241

150 146 146

12,166 27,694 27,184 4,683 4,051 6,000 5,153 5,367 11,175 3,707 6,414 1,806 3,100 16,787 4,544 2,555 52,315 22,600 5,173 14,082 37,808 1,375 4,278 2,012 3,032 3,300 1,900 1,211 1,065 789 15,291

137 129 125 123 117 114 107 106 104 87 74 72 59 59 51 50 48 46 46 44 40 35 33 31 31 22 20 18 17 17 14

1,400 11,481

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Crystal Rock Holdings Inc. Cyanotech Corp.

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7,780 997

6 4 3,575,954

Consumer Services (13.0%) * Amazon.com Inc. Comcast Corp. Class A Home Depot Inc. Walt Disney Co. Wal-Mart Stores Inc. McDonald’s Corp. CVS Health Corp. Starbucks Corp. Walgreens Boots Alliance Inc. * Priceline Group Inc. Time Warner Inc. Costco Wholesale Corp. Lowe’s Cos. Inc. * Charter Communications Inc. Class A * Netflix Inc. TJX Cos. Inc. Target Corp. Delta Air Lines Inc. Kroger Co. McKesson Corp. * eBay Inc. Southwest Airlines Co. Twenty-First Century Fox Inc. Class A Sysco Corp. * O’Reilly Automotive Inc. Ross Stores Inc. Marriott International Inc. Class A CBS Corp. Class B American Airlines Group Inc. Cardinal Health Inc. * AutoZone Inc. Yum! Brands Inc. Las Vegas Sands Corp. Dollar General Corp. Omnicom Group Inc. * United Continental Holdings Inc. Carnival Corp. * Dollar Tree Inc. Hilton Worldwide Holdings Inc. L Brands Inc. * Ulta Salon Cosmetics & Fragrance Inc. Nielsen Holdings plc

640,412 3,779,461 1,931,728 2,271,162 2,452,361 1,316,820 1,693,263 2,192,333

480,226 260,972 259,006 236,701 169,507 160,283 133,615 121,718

1,461,000 78,242 1,163,661 693,204 1,389,400

120,912 114,707 112,328 110,989 98,814

322,643 646,661 990,030 892,275 1,189,127 1,495,284 358,297 1,686,215 974,941

92,895 80,057 74,381 64,449 58,493 51,602 50,323 50,064 48,591

1,678,625 781,932 150,090 628,010

47,069 43,296 41,787 41,197

464,485 602,312

38,404 38,319

781,878 505,857 45,843 553,552 630,923 447,576 375,701

36,506 36,407 36,206 35,056 33,698 33,152 31,976

435,117 597,804 355,407

31,711 31,122 27,430

942,869 387,984

25,646 25,545

94,080 567,786

23,985 23,819

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Royal Caribbean Cruises Ltd. 273,391 MGM Resorts International 772,836 Expedia Inc. 195,971 AmerisourceBergen Corp. Class A 262,199 Viacom Inc. Class B 567,305 DISH Network Corp. Class A 341,711 CarMax Inc. 304,161 Advance Auto Parts Inc. 111,132 Best Buy Co. Inc. 427,010 Macy’s Inc. 489,634 Chipotle Mexican Grill Inc. Class A 46,253 Alaska Air Group Inc. 195,549 Twenty-First Century Fox Inc. 633,161 Tractor Supply Co. 212,321 Whole Foods Market Inc. 506,430 Tiffany & Co. 198,392 Foot Locker Inc. 215,021 Interpublic Group of Cos. Inc. 636,729 Darden Restaurants Inc. 195,169 Kohl’s Corp. 284,413 Aramark 387,571 Rite Aid Corp. 1,666,615 Liberty Interactive Corp. QVC Group Class A 674,099 Wyndham Worldwide Corp. 174,814 Domino’s Pizza Inc. 76,772 Sirius XM Holdings Inc. 2,710,688 JetBlue Airways Corp. 515,046 Signet Jewelers Ltd. 119,713 Wynn Resorts Ltd. 129,227 Norwegian Cruise Line Holdings Ltd. 253,004 FactSet Research Systems Inc. 64,595 Discovery Communications Inc. 360,501 Liberty Media Corp-Liberty SiriusXM 283,610 Burlington Stores Inc. 113,488 Bed Bath & Beyond Inc. 233,410 Staples Inc. 1,035,146 KAR Auction Services Inc. 219,472 Vail Resorts Inc. 57,436 Nordstrom Inc. 192,735 Scripps Networks Interactive Inc. Class A 128,597 News Corp. Class A 792,618

Market Value• ($000) *

22,429

* *

22,281 22,200

*

20,501 19,912 19,795 19,585 18,795 18,221 17,534

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17,452 17,351 *

17,254 16,096 15,578 15,362 15,243 14,906 14,193 14,044 13,844 13,733

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13,469 13,351 12,225 12,063 11,547 11,284 11,179

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10,760 10,557

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9,654

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9,620 9,618 9,486 9,368 9,354 9,265 9,238

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9,178 9,083

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Copart Inc. VCA Inc. TripAdvisor Inc. Service Corp. International ServiceMaster Global Holdings Inc. H&R Block Inc. Gap Inc. Sabre Corp. Dunkin’ Brands Group Inc. Casey’s General Stores Inc. TEGNA Inc. Panera Bread Co. Class A Six Flags Entertainment Corp. Dick’s Sporting Goods Inc. Dun & Bradstreet Corp. Discovery Communications Inc. Class A Spirit Airlines Inc. Cinemark Holdings Inc. Cracker Barrel Old Country Store Inc. Williams-Sonoma Inc. Sally Beauty Holdings Inc. Jack in the Box Inc. CST Brands Inc. Live Nation Entertainment Inc. AutoNation Inc. Madison Square Garden Co. Class A Rollins Inc. GrubHub Inc. Cabela’s Inc. AMC Networks Inc. Class A Bright Horizons Family Solutions Inc. Texas Roadhouse Inc. Class A Liberty Media Corp-Liberty SiriusXM Avis Budget Group Inc. Hawaiian Holdings Inc. Pandora Media Inc. Cable One Inc. Buffalo Wild Wings Inc. Grand Canyon Education Inc. Beacon Roofing Supply Inc. Cheesecake Factory Inc. Tribune Media Co. Class A Yelp Inc. Class A

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156,474 122,231 179,523 292,617

8,670 8,391 8,324 8,310

215,555 351,646 347,520 309,644 145,859 62,261 340,918 35,407

8,120 8,084 7,798 7,726 7,649 7,402 7,292 7,262

118,166 132,997 57,671

7,085 7,062 6,997

240,067 111,563 166,383

6,580 6,455 6,382

38,152 127,666 232,908 51,938 120,365

6,371 6,178 6,153 5,798 5,796

209,965 113,693

5,585 5,531

31,052 156,835 135,879 86,894

5,326 5,298 5,112 5,088

95,337

4,990

70,200

4,915

100,812

4,863

138,319 130,005 81,052 349,657 7,270 29,190

4,775 4,769 4,620 4,560 4,520 4,507

75,210 95,352 72,967 122,509 111,991

4,396 4,393 4,369 4,285 4,270


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Sprouts Farmers Market Inc. GameStop Corp. Class A Wendy’s Co. Lions Gate Entertainment Corp. Class B Brinker International Inc. John Wiley & Sons Inc. Class A American Eagle Outfitters Inc. Chemed Corp. Office Depot Inc. JC Penney Co. Inc. United Natural Foods Inc. Dolby Laboratories Inc. Class A Dave & Buster’s Entertainment Inc. Papa John’s International Inc. Matthews International Corp. Class A Aaron’s Inc. Murphy USA Inc. Sinclair Broadcast Group Inc. Class A Michaels Cos. Inc. Meredith Corp. Big Lots Inc. Allegiant Travel Co. Class A Regal Entertainment Group Class A Five Below Inc. Hillenbrand Inc. AMERCO Urban Outfitters Inc. Lithia Motors Inc. Class A Graham Holdings Co. Class B Liberty Expedia Holdings Inc. Class A Media General Inc. ILG Inc. Bloomin’ Brands Inc. Churchill Downs Inc. Acxiom Corp. Core-Mark Holding Co. Inc. Choice Hotels International Inc. Sotheby’s Caesars Acquisition Co. Class A Children’s Place Inc.

Market Value• ($000) ^

224,486 165,399 305,222

4,247 4,178 4,127

165,785 81,696

4,068 4,046

73,498

4,006

260,237 24,537 865,612 464,619 80,120

3,948 3,936 3,913 3,861 3,823

83,557

3,776

67,043

3,775

43,913

3,758

48,758 115,978 59,375

3,747 3,710 3,650

108,916 177,072 60,313 70,678 21,061

3,632 3,621 3,568 3,549 3,505

169,517 87,015 90,492 9,370 121,533 35,542

3,492 3,477 3,470 3,463 3,461 3,442

6,698

3,429

86,148 175,639 180,023 179,023 21,072 116,961 70,612

3,417 3,307 3,271 3,228 3,170 3,135 3,041

53,638 74,925

3,006 2,987

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220,831 29,124

2,981 2,940

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Nexstar Broadcasting Group Inc. Class A Chico’s FAS Inc. WebMD Health Corp. SkyWest Inc. DeVry Education Group Inc. Caleres Inc. Monro Muffler Brake Inc. Penske Automotive Group Inc. Extended Stay America Inc. Stamps.com Inc. Marriott Vacations Worldwide Corp. Hyatt Hotels Corp. Class A Time Inc. New York Times Co. Class A PriceSmart Inc. Shutterfly Inc. Group 1 Automotive Inc. Boyd Gaming Corp. SpartanNash Co. Scholastic Corp. Hertz Global Holdings Inc. Popeyes Louisiana Kitchen Inc. DSW Inc. Class A Belmond Ltd. Class A Bob Evans Farms Inc. Morningstar Inc. AMC Entertainment Holdings Inc. Capella Education Co. Asbury Automotive Group Inc. Groupon Inc. Class A Liberty Media Corp-Liberty Media Genesco Inc. Denny’s Corp. comScore Inc. Houghton Mifflin Harcourt Co. MSG Networks Inc. SeaWorld Entertainment Inc. DineEquity Inc. La Quinta Holdings Inc. Lions Gate Entertainment Corp. Class A SUPERVALU Inc. Sonic Corp. BJ’s Restaurants Inc. Dillard’s Inc. Class A

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46,317 201,641 57,864 78,309 90,573 85,980 49,197

2,932 2,902 2,868 2,854 2,826 2,822 2,814

53,872 172,543 24,046

2,793 2,787 2,757

32,384 49,553 152,752

2,748 2,738 2,727

204,589 31,908 52,212 33,607 126,137 64,202 53,246 115,112

2,721 2,664 2,620 2,619 2,544 2,539 2,529 2,482

40,820 108,336 182,921 45,295 32,488

2,469 2,454 2,442 2,410 2,390

70,325 26,813

2,366 2,354

37,651 684,575

2,323 2,273

71,712 36,165 169,423 67,995

2,247 2,246 2,174 2,147

197,353 98,437

2,141 2,116

111,293 27,069 144,752

2,107 2,084 2,057

76,320 436,635 75,867 50,479 31,576

2,053 2,039 2,011 1,984 1,980

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Tailored Brands Inc. RH Gannett Co. Inc. Rush Enterprises Inc. Class A Ascena Retail Group Inc. HSN Inc. Ingles Markets Inc. Class A Strayer Education Inc. Liberty TripAdvisor Holdings Inc. Class A Barnes & Noble Inc. Isle of Capri Casinos Inc. Francesca’s Holdings Corp. Cato Corp. Class A Hibbett Sports Inc. International Speedway Corp. Class A Gray Television Inc. Red Rock Resorts Inc. Class A PetMed Express Inc. Herc Holdings Inc. Ollie’s Bargain Outlet Holdings Inc. Blue Nile Inc. Finish Line Inc. Class A Carriage Services Inc. Class A Express Inc. National CineMedia Inc. Pinnacle Entertainment Inc. Scientific Games Corp. Class A Pier 1 Imports Inc. EW Scripps Co. Class A Abercrombie & Fitch Co. Penn National Gaming Inc. Chuy’s Holdings Inc. Fred’s Inc. Class A Etsy Inc. GNC Holdings Inc. Class A Regis Corp. Bankrate Inc. XO Group Inc. Weis Markets Inc. Guess? Inc. Red Robin Gourmet Burgers Inc. Liberty Media Corp-Liberty Media Class A Biglari Holdings Inc. Angie’s List Inc. Vitamin Shoppe Inc.

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76,841 62,206 188,911

1,963 1,910 1,834

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55,398 285,108 51,149 35,942 21,396

1,767 1,765 1,754 1,729 1,725

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111,154 146,361 64,523 87,071 51,937 41,737

1,673 1,632 1,593 1,570 1,562 1,557

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42,171 141,697

1,552 1,537

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64,527 64,090 36,441

1,496 1,479 1,463

51,336 35,269 75,425

1,461 1,433 1,419

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48,444 128,172 92,869 93,841

1,387 1,379 1,368 1,361

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96,960 158,628 69,228 109,443 95,162 40,257 68,608 107,271 110,276 83,425 108,362 61,388 17,604 95,638

1,357 1,355 1,338 1,313 1,312 1,306 1,273 1,264 1,217 1,211 1,197 1,194 1,177 1,157

20,390

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36,679 2,345 132,903 45,439

1,150 1,110 1,094 1,079

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Buckle Inc. 46,518 1-800-Flowers.com Inc. Class A 99,071 Performance Food Group Co. 43,827 Liberty Media Corp-Liberty Braves 50,943 American Public Education Inc. 42,464 America’s Car-Mart Inc. 23,137 Diplomat Pharmacy Inc. 78,299 Entercom Communications Corp. Class A 62,778 Clean Energy Fuels Corp. 332,841 Planet Fitness Inc. Class A 47,353 Marcus Corp. 30,097 Rent-A-Center Inc. 83,791 Fiesta Restaurant Group Inc. 31,524 ClubCorp Holdings Inc. 65,409 Big 5 Sporting Goods Corp. 51,159 Sonic Automotive Inc. Class A 38,208 Haverty Furniture Cos. Inc. 36,631 Build-A-Bear Workshop Inc. 60,373 Tuesday Morning Corp. 145,725 Apollo Education Group Inc. 78,150 CSS Industries Inc. 27,703 FTD Cos. Inc. 31,088 Autobytel Inc. 54,556 New Media Investment Group Inc. 45,883 Weight Watchers International Inc. 62,187 Overstock.com Inc. 40,464 Lumber Liquidators Holdings Inc. 44,129 Ruth’s Hospitality Group Inc. 36,923 Century Casinos Inc. 81,651 Quotient Technology Inc. 62,461 MarineMax Inc. 34,378 Wingstop Inc. 22,210 Clear Channel Outdoor Holdings Inc. Class A 129,972 Entravision Communications Corp. Class A 92,516 Sears Holdings Corp. 68,808 Liquidity Services Inc. 65,391 Citi Trends Inc. 33,553 K12 Inc. 36,165 Carrols Restaurant Group Inc. 40,549

Market Value• ($000) 1,061 1,060 1,052 1,049 1,042 1,012 987 961 952 952 948 943 941 939 888 875 868 830 787 774 750 741 734 734 712 708 695 676 672 671 665 657 656

648 639 638 632 621 618


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World Wrestling Entertainment Inc. Class A 33,116 Party City Holdco Inc. 40,872 Titan Machinery Inc. 39,377 A H Belo Corp. Class A 90,301 Barnes & Noble Education Inc. 49,703 Conn’s Inc. 44,330 Caesars Entertainment Corp. 62,293 Kirkland’s Inc. 31,646 Zumiez Inc. 22,035 Shoe Carnival Inc. 17,467 Collectors Universe Inc. 22,039 Monarch Casino & Resort Inc. 17,984 Del Frisco’s Restaurant Group Inc. 26,814 Ascent Capital Group Inc. Class A 27,699 Speedway Motorsports Inc. 20,587 Tile Shop Holdings Inc. 22,642 Lands’ End Inc. 28,589 Career Education Corp. 42,462 Shake Shack Inc. Class A 11,690 Leaf Group Ltd. 62,994 Chefs’ Warehouse Inc. 25,911 Bridgepoint Education Inc. 38,451 Ruby Tuesday Inc. 114,376 SiteOne Landscape Supply Inc. 10,400 Destination XL Group Inc. 82,862 Providence Service Corp. 8,902 Lee Enterprises Inc. 116,251 MDC Partners Inc. Class A 50,807 J Alexander’s Holdings Inc. 30,023 Reading International Inc. Class A 19,360 RetailMeNot Inc. 34,075 SP Plus Corp. 11,236 Daily Journal Corp. 1,275 Liberty Media Corp-Liberty Braves 14,955 Zoe’s Kitchen Inc. 12,695 Cambium Learning Group Inc. 58,356 Gaia Inc. Class A 33,386 Christopher & Banks Corp. 122,373 Marchex Inc. Class B 103,454 Eldorado Resorts Inc. 15,423 TrueCar Inc. 20,600 Natural Grocers by Vitamin Cottage Inc. 19,620 Smart & Final Stores Inc. 16,517 RealNetworks Inc. 42,363


609 580 574 573 570 561 529 491 481 471 468

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464 456

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361 352 339 337 333 323

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321 317 316 308

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291 289 286 274 261 258

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Global Eagle Entertainment Inc. Care.com Inc. Bon-Ton Stores Inc. tronc Inc. Town Sports International Holdings Inc. Stein Mart Inc. Saga Communications Inc. Class A Stage Stores Inc. Bravo Brio Restaurant Group Inc. TheStreet Inc. Luby’s Inc. McClatchy Co. Class A Harte-Hanks Inc. Famous Dave’s of America Inc. Rubicon Project Inc. EVINE Live Inc. West Marine Inc. RCI Hospitality Holdings Inc. Chegg Inc. QuinStreet Inc. Del Taco Restaurants Inc. Ark Restaurants Corp. Village Super Market Inc. Class A Destination Maternity Corp. Avid Technology Inc. Potbelly Corp. hhgregg Inc. Boot Barn Holdings Inc. Red Lion Hotels Corp. CBS Corp. Class A New York & Co. Inc. Radio One Inc. Rave Restaurant Group Inc. Noodles & Co. Class A Salem Media Group Inc. Class A bebe stores inc Dover Downs Gaming & Entertainment Inc. Liberty Tax Inc. Diversified Restaurant Holdings Inc. Cumulus Media Inc. Class A Spark Networks Inc. El Pollo Loco Holdings Inc. News Corp. Class B TechTarget Inc. Fogo De Chao Inc.

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31,525 23,499 129,935 12,900

204 201 191 179

65,935 29,959

165 164

3,223 36,773

162 161

41,392 181,048 35,510 11,484 95,721

157 154 152 151 145

25,956 16,169 78,989 11,266 6,664 14,854 27,046 7,200 3,854

128 120 118 118 114 110 102 102 93

3,022 17,667 20,459 6,657 57,211 6,517 9,601 1,214 34,183 25,730 39,164 17,000

93 91 90 86 82 82 80 78 78 75 74 70

10,229 12,463

64 63

52,774 4,055

54 54

34,766

49

44,781 53,035 3,512 3,627 5,000 2,919

46 45 43 43 43 42

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WeCast Network Inc. Container Store Group Inc. Natural Health Trends Corp. Bojangles’ Inc. Golden Entertainment Inc. Insignia Systems Inc. Digital Turbine Inc. Trade Desk Inc. Class A Papa Murphy’s Holdings Inc. National American University Holdings Inc. Educational Development Corp. Gordmans Stores Inc. Flanigan’s Enterprises Inc. Tilly’s Inc. Class A Emmis Communications Corp. Class A Gaming Partners International Corp. MaxPoint Interactive Inc. Radio One Inc. Class A PCM Inc. Profire Energy Inc. SPAR Group Inc. Universal Travel Group

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23,900

29

4,572

29

1,000 1,200 1,523 7,050 24,819 511

25 22 18 17 17 14

3,000

13

5,908

12

1,122 12,763 329 603

11 9 8 8

2,200

7

609 1,134 1,680 63 171 29 118

7 7 5 1 — — — 4,851,604

Financials (20.5%) JPMorgan Chase & Co. 5,673,746 * Berkshire Hathaway Inc. Class B 2,982,496 Wells Fargo & Co. 7,167,071 Bank of America Corp. 16,022,581 Citigroup Inc. 4,518,530 Visa Inc. Class A 2,961,252 Mastercard Inc. Class A 1,526,261 Goldman Sachs Group Inc. 566,790 US Bancorp 2,560,324 American International Group Inc. 1,631,567 Morgan Stanley 2,231,239 Chubb Ltd. 701,618 American Express Co. 1,235,825 PNC Financial Services Group Inc. 772,840 Simon Property Group Inc. 498,960 Bank of New York Mellon Corp. 1,594,852 MetLife Inc. 1,396,096 Charles Schwab Corp. 1,890,667

18

489,588 486,087 394,977 354,099 268,536 231,037 157,586 135,718 131,524 106,558 94,270 92,698 91,550 90,391 88,650 75,564 75,236 74,625

Shares American Tower Corporation 675,593 Prudential Financial Inc. 683,042 Capital One Financial Corp. 766,120 BlackRock Inc. 166,831 BB&T Corp. 1,285,025 CME Group Inc. 511,097 Travelers Cos. Inc. 451,269 Marsh & McLennan Cos. Inc. 816,476 Intercontinental Exchange Inc. 946,177 Public Storage 234,070 Crown Castle International Corp. 572,861 Synchrony Financial 1,311,210 Aon plc 417,710 Aflac Inc. 650,419 Discover Financial 626,526 Services S&P Global Inc. 411,603 Prologis Inc. 833,862 Allstate Corp. 583,166 State Street Corp. 552,128 SunTrust Banks Inc. 779,847 Equinix Inc. 112,861 AvalonBay Communities Inc. 218,031 Welltower Inc. 574,885 Equity Residential 580,517 Weyerhaeuser Co. 1,189,051 Ventas Inc. 561,493 M&T Bank Corp. 220,935 Progressive Corp. 924,136 Fifth Third Bancorp 1,200,373 KeyCorp 1,718,271 Boston Properties Inc. 243,995 Northern Trust Corp. 341,934 Citizens Financial Group Inc. 810,649 Hartford Financial Services Group Inc. 598,228 Vornado Realty Trust 269,965 Regions Financial Corp. 1,957,023 Ameriprise Financial Inc. 252,970 T. Rowe Price Group Inc. 369,561 Principal Financial Group Inc. 456,596 Willis Towers Watson plc 208,211 Digital Realty Trust Inc. 252,476 General Growth Properties Inc. 984,937 Moody’s Corp. 259,626 Lincoln National Corp. 366,577 Essex Property Trust Inc. 104,092

Market Value• ($000) 71,397 71,077 66,836 63,486 60,422 58,955 55,244 55,186 53,383 52,315 49,707 47,558 46,587 45,269 45,166 44,264 44,020 43,224 42,911 42,775 40,338 38,624 38,477 37,362 35,779 35,105 34,561 32,807 32,374 31,393 30,690 30,449 28,883 28,506 28,176 28,103 28,064 27,813 26,419 25,460 24,808 24,604 24,475 24,293 24,201


*

*

*

*

*

* * *

*

Realty Income Corp. Huntington Bancshares Inc. First Republic Bank Equifax Inc. Host Hotels & Resorts Inc. HCP Inc. Franklin Resources Inc. Loews Corp. IHS Markit Ltd. Invesco Ltd. Markel Corp. Comerica Inc. Cincinnati Financial Corp. Mid-America Apartment Communities Inc. SL Green Realty Corp. Liberty Broadband Corp. Western Union Co. TD Ameritrade Holding Corp. Unum Group Federal Realty Investment Trust Kimco Realty Corp. Annaly Capital Management Inc. Arch Capital Group Ltd. XL Group Ltd. UDR Inc. Macerich Co. E*TRADE Financial Corp. Duke Realty Corp. Extra Space Storage Inc. Arthur J Gallagher & Co. CBRE Group Inc. Class A SVB Financial Group Alleghany Corp. FNF Group Raymond James Financial Inc. Zions Bancorporation Alexandria Real Estate Equities Inc. CIT Group Inc. Ally Financial Inc. Torchmark Corp. VEREIT Inc. Berkshire Hathaway Inc. Class A Iron Mountain Inc. Reinsurance Group of America Inc. Class A

Shares


410,929

23,620

1,722,634 243,622 189,477

22,773 22,447 22,402

1,179,580 743,112 540,445 455,222 568,924 651,215 21,109 276,218 248,352

22,223 22,085 21,391 21,318 20,146 19,758 19,093 18,813 18,813

180,654 160,740 230,187 774,822

17,690 17,288 17,050 16,829

376,277 372,737

16,406 16,374

113,448 640,248

16,122 16,109

1,615,588 185,230 426,097 424,320 216,706 434,820 562,482 190,158 281,637 455,413 82,753 23,300 414,180

16,107 15,983 15,876 15,479 15,351 15,067 14,940 14,688 14,634 14,341 14,205 14,169 14,066

202,529 325,587

14,029 14,013

125,961 320,925 709,477 180,781 1,533,667

13,998 13,697 13,494 13,334 12,975

53 397,329

12,938 12,905

101,905

12,823

*

*

Affiliated Managers Group Inc. Nasdaq Inc. Signature Bank Voya Financial Inc. Brixmor Property Group Inc. MSCI Inc. Class A New York Community Bancorp Inc. Camden Property Trust East West Bancorp Inc. Regency Centers Corp. SEI Investments Co. Apartment Investment & Management Co. Everest Re Group Ltd. Kilroy Realty Corp. PacWest Bancorp National Retail Properties Inc. American Campus Communities Inc. WP Carey Inc. WR Berkley Corp. American Financial Group Inc. Bank of the Ozarks Inc. Omega Healthcare Investors Inc. People’s United Financial Inc. CBOE Holdings Inc. AGNC Investment Corp. Gaming and Leisure Properties Inc. Endurance Specialty Holdings Ltd. Axis Capital Holdings Ltd. Liberty Property Trust Starwood Property Trust Inc. RenaissanceRe Holdings Ltd. Lamar Advertising Co. Class A Equity LifeStyle Properties Inc. Lazard Ltd. Class A Assurant Inc. MarketAxess Holdings Inc. Douglas Emmett Inc. Spirit Realty Capital Inc. Hospitality Properties Trust Forest City Realty Trust Inc. Class A

Shares


87,013 184,340 82,290 308,229 484,333 149,323

12,643 12,373 12,360 12,089 11,827 11,764

736,406 139,076 229,354 166,289 231,050

11,716 11,692 11,658 11,466 11,405

249,188 51,334 146,762 190,802

11,326 11,109 10,746 10,387

233,805

10,334

207,591 168,249 146,509

10,332 9,942 9,744

110,487 183,003

9,736 9,624

307,717

9,619

494,971 129,247 526,627

9,583 9,550 9,548

309,611

9,480

102,032 144,165 233,297

9,428 9,410 9,215

407,141

8,937

65,258

8,889

131,662

8,853

122,081 206,419 90,228 56,842 228,099 763,148 258,527

8,802 8,482 8,379 8,351 8,339 8,288 8,206

384,289

8,009

19


*

*

*

*

20

Highwoods Properties Inc. Brown & Brown Inc. Assured Guaranty Ltd. Sun Communities Inc. Commerce Bancshares Inc. Webster Financial Corp. Navient Corp. Cullen/Frost Bankers Inc. Synovus Financial Corp. CubeSmart Prosperity Bancshares Inc. DDR Corp. Old Republic International Corp. SLM Corp. First Horizon National Corp. Western Alliance Bancorp EPR Properties Jones Lang LaSalle Inc. Popular Inc. Eaton Vance Corp. Senior Housing Properties Trust American Homes 4 Rent Class A Allied World Assurance Co. Holdings AG Weingarten Realty Investors DCT Industrial Trust Inc. Hudson Pacific Properties Inc. Taubman Centers Inc. Validus Holdings Ltd. Umpqua Holdings Corp. Healthcare Trust of America Inc. Class A Apple Hospitality REIT Inc. PrivateBancorp Inc. Howard Hughes Corp. Investors Bancorp Inc. First American Financial Corp. Life Storage Inc. New Residential Investment Corp. Medical Properties Trust Inc. BankUnited Inc. Hanover Insurance Group Inc. Gramercy Property Trust Radian Group Inc. Texas Capital Bancshares Inc.

Shares


156,874 177,963 210,541 103,682 137,040 145,776 479,960 88,852 186,117 285,182 105,234 494,675

8,002 7,983 7,952 7,943 7,922 7,913 7,886 7,839 7,646 7,634 7,554 7,554

396,604 680,781 369,160 150,381 101,182 71,850 164,991 171,696

7,535 7,502 7,387 7,325 7,262 7,260 7,230 7,191

377,863

7,153

340,346

7,140

132,231

7,102

193,214 143,447

6,915 6,868

195,603 91,269 121,606 351,339

6,803 6,748 6,690 6,598

224,761 326,039 120,091 57,026 465,258

6,543 6,514 6,508 6,507 6,490

174,474 73,757

6,391 6,289

398,499

6,264

507,843 165,638

6,246 6,243

68,007 673,081 341,067

6,189 6,179 6,132

77,899

6,107

*

*

*

*

*

Chemical Financial Corp. Bank of Hawaii Corp. Equity Commonwealth STORE Capital Corp. Realogy Holdings Corp. Zillow Group Inc. Wintrust Financial Corp. MB Financial Inc. Communications Sales & Leasing Inc. Associated Banc-Corp IBERIABANK Corp. Retail Properties of America Inc. Hancock Holding Co. CyrusOne Inc. United Bankshares Inc. Healthcare Realty Trust Inc. MGIC Investment Corp. LaSalle Hotel Properties Tanger Factory Outlet Centers Inc. Outfront Media Inc. FNB Corp. CNO Financial Group Inc. Home BancShares Inc. DuPont Fabros Technology Inc. Aspen Insurance Holdings Ltd. Sunstone Hotel Investors Inc. First Industrial Realty Trust Inc. Rayonier Inc. Fulton Financial Corp. UMB Financial Corp. Primerica Inc. Stifel Financial Corp. Washington Federal Inc. Education Realty Trust Inc. White Mountains Insurance Group Ltd. Empire State Realty Trust Inc. Piedmont Office Realty Trust Inc. Class A Pinnacle Financial Partners Inc. Chimera Investment Corp. Two Harbors Investment Corp. TCF Financial Corp. Cousins Properties Inc. Liberty Ventures Class A

Shares


111,894 68,192 199,671 243,813 233,903 163,632 82,145 125,950

6,061 6,048 6,038 6,025 6,018 5,968 5,961 5,949

233,273 239,284 70,268

5,927 5,910 5,885

377,749 131,141 126,131 121,883 184,744 543,532 179,826

5,791 5,652 5,642 5,637 5,601 5,539 5,479

152,831 219,443 334,278 278,855 190,370

5,468 5,458 5,358 5,340 5,287

120,191

5,280

95,809

5,269

344,530

5,254

185,863 195,432 275,299 66,981 73,958 100,051 143,913 116,547

5,213 5,198 5,176 5,166 5,114 4,998 4,943 4,930

5,880

4,916

242,757

4,901

231,884

4,849

69,734 283,696

4,833 4,829

552,960 245,678 561,375 129,072

4,822 4,813 4,777 4,759


*

ProAssurance Corp. Corporate Office Properties Trust Sterling Bancorp RLJ Lodging Trust Brandywine Realty Trust Equity One Inc. CoreCivic Inc. Cathay General Bancorp Erie Indemnity Co. Class A First Financial Bankshares Inc. MFA Financial Inc. Valley National Bancorp LPL Financial Holdings Inc. Paramount Group Inc. Hope Bancorp Inc. Legg Mason Inc. Glacier Bancorp Inc. National Health Investors Inc. Ryman Hospitality Properties Inc. First Citizens BancShares Inc. Class A NorthStar Realty Finance Corp. Urban Edge Properties Community Bank System Inc. CoreSite Realty Corp. GEO Group Inc. NorthStar Asset Management Group Inc. Blackstone Mortgage Trust Inc. Class A Columbia Property Trust Inc. BancorpSouth Inc. RLI Corp. Federated Investors Inc. Class B Acadia Realty Trust Columbia Banking System Inc. Great Western Bancorp Inc. Physicians Realty Trust American National Insurance Co. Selective Insurance Group Inc. Old National Bancorp Washington REIT CVB Financial Corp. Mack-Cali Realty Corp.

Shares


84,566

4,753

150,752 198,014 188,854 278,500 149,087 186,902 119,524 40,351

4,706 4,634 4,625 4,598 4,575 4,572 4,545 4,537

100,117 590,488 385,779 127,454 280,500 204,826 148,425 121,304

4,525 4,505 4,490 4,488 4,485 4,484 4,439 4,395

59,164

4,388

69,280

4,365

12,295

4,365

287,836 158,101

4,361 4,349

70,311 54,185 119,453

4,345 4,301 4,292

286,651

4,277

141,958

4,269

196,358 135,414 66,230

4,241 4,205 4,181

147,615 126,988

4,175 4,150

92,469 93,811 214,831

4,132 4,089 4,073

Shares

*

*

^

^

32,228

4,016

92,009 215,000 117,617 163,250 128,540

3,961 3,902 3,845 3,743 3,730

Interactive Brokers Group Inc. DiamondRock Hospitality Co. EastGroup Properties Inc. Retail Opportunity Investments Corp. Trustmark Corp. International Bancshares Corp. Evercore Partners Inc. Class A Essent Group Ltd. Independent Bank Corp. BGC Partners Inc. Class A PS Business Parks Inc. First Midwest Bancorp Inc. Hilltop Holdings Inc. Colony Starwood Homes Colony Capital Inc. Class A FirstCash Inc. Kemper Corp. First Financial Bancorp Pebblebrook Hotel Trust Astoria Financial Corp. Blackhawk Network Holdings Inc. BOK Financial Corp. Care Capital Properties Inc. Provident Financial Services Inc. Xenia Hotels & Resorts Inc. Alexander & Baldwin Inc. EverBank Financial Corp. Lexington Realty Trust Park National Corp. Capitol Federal Financial Inc. South State Corp. First Merchants Corp. United Community Banks Inc. QTS Realty Trust Inc. Class A Kite Realty Group Trust CBL & Associates Properties Inc. Westamerica Bancorporation Janus Capital Group Inc. Washington Prime Group Inc. Financial Engines Inc. Renasant Corp.


101,600

3,709

320,165 49,929

3,691 3,687

173,503 102,370

3,666 3,649

89,158

3,638

52,764 111,728 50,748 348,274 30,215 139,472 117,802 120,907 171,418 73,226 77,660 120,084 114,751 182,628

3,625 3,617 3,575 3,563 3,521 3,519 3,510 3,483 3,471 3,442 3,440 3,416 3,414 3,406

89,981 40,439 134,280

3,390 3,358 3,357

118,210 172,157 74,149 169,396 303,878 27,166

3,345 3,343 3,327 3,295 3,282 3,251

196,894 36,855 85,424

3,241 3,221 3,216

106,934

3,167

63,299 133,684

3,143 3,139

272,016

3,128

49,448 233,620

3,112 3,100

296,576 83,995 72,330

3,087 3,087 3,054

21


Shares

* *

*

*

*

* *

*

*,^

*

*

22

LegacyTexas Financial Group Inc. PRA Group Inc. Genworth Financial Inc. Class A HealthEquity Inc. Ameris Bancorp Argo Group International Holdings Ltd. Eagle Bancorp Inc. AmTrust Financial Services Inc. LendingClub Corp. LTC Properties Inc. Towne Bank Kennedy-Wilson Holdings Inc. Zillow Group Inc. Class A Liberty Broadband Corp. Class A MBIA Inc. Monogram Residential Trust Inc. American Equity Investment Life Holding Co. Boston Private Financial Holdings Inc. NBT Bancorp Inc. STAG Industrial Inc. Banner Corp. WesBanco Inc. Credit Acceptance Corp. Northwest Bancshares Inc. Enstar Group Ltd. First Commonwealth Financial Corp. HRG Group Inc. Potlatch Corp. Employers Holdings Inc. New York REIT Inc. Mercury General Corp. Simmons First National Corp. Class A American Assets Trust Inc. Apollo Commercial Real Estate Finance Inc. Invesco Mortgage Capital Inc. Horace Mann Educators Corp. CenterState Banks Inc. Lakeland Financial Corp. Sabra Health Care REIT Inc. Select Income REIT


70,914 78,015

3,054 3,050

793,838 74,533 69,203

3,025 3,020 3,017

45,670 48,497

3,010 2,956

107,954 562,682 62,877 88,831

2,956 2,954 2,954 2,954

*

143,504 79,994

2,942 2,916

*

40,183 271,707

2,912 2,907

267,686

2,896

*,^

128,273

2,891

173,147 68,324 119,869 51,126 66,237 12,961 155,375 14,134

2,866 2,861 2,861 2,853 2,852 2,819 2,801 2,794

196,480 177,228 65,772 68,907 266,621 44,566

2,786 2,758 2,739 2,729 2,698 2,683

43,066 62,106

2,677 2,676

158,827

2,640

179,964

2,627

60,920 103,174 54,319 105,337 100,545

2,607 2,597 2,573 2,572 2,534

*

^

* * ^

*

*

*

S&T Bancorp Inc. AMERISAFE Inc. Brookline Bancorp Inc. Chesapeake Lodging Trust Waddell & Reed Financial Inc. Class A CYS Investments Inc. Berkshire Hills Bancorp Inc. Hanmi Financial Corp. TFS Financial Corp. BofI Holding Inc. First Busey Corp. Cardinal Financial Corp. Agree Realty Corp. Quality Care Properties Inc. City Holding Co. Capital Bank Financial Corp. Santander Consumer USA Holdings Inc. Customers Bancorp Inc. National General Holdings Corp. Central Pacific Financial Corp. Capstead Mortgage Corp. Government Properties Income Trust Beneficial Bancorp Inc. Global Net Lease Inc. Heartland Financial USA Inc. Ramco-Gershenson Properties Trust WisdomTree Investments Inc. Redwood Trust Inc. Franklin Street Properties Corp. FNFV Group St. Joe Co. Banc of California Inc. Flushing Financial Corp. National Bank Holdings Corp. Class A FCB Financial Holdings Inc. Class A Community Trust Bancorp Inc. Pennsylvania REIT Ambac Financial Group Inc. ARMOUR Residential REIT Inc. FelCor Lodging Trust Inc. First BanCorp

Shares


64,554 40,392 153,231 97,045

2,520 2,518 2,513 2,510

128,342 323,897 67,810 71,279 128,087 84,059 76,883 71,857 51,072 149,545 33,975 58,360

2,504 2,504 2,499 2,488 2,439 2,400 2,366 2,356 2,352 2,318 2,297 2,291

169,523 63,863

2,289 2,288

89,976

2,248

70,701 216,699

2,221 2,208

114,044 117,810 274,124

2,174 2,168 2,146

44,517

2,137

128,608

2,132

190,214 138,408

2,119 2,105

162,059 151,779 108,696 118,426 69,341

2,100 2,079 2,065 2,055 2,038

63,489

2,025

42,325

2,019

40,660 105,301 88,544

2,017 1,997 1,992

91,252 246,768 296,021

1,979 1,977 1,957


Shares

*

*

^

*

*

* *

*

FBL Financial Group Inc. Class A 24,985 Northfield Bancorp Inc. 97,589 Piper Jaffray Cos. 26,811 BancFirst Corp. 20,861 OneMain Holdings Inc. Class A 87,667 Bryn Mawr Bank Corp. 45,734 ServisFirst Bancshares Inc. 50,306 Camden National Corp. 42,357 Enterprise Financial Services Corp. 43,240 Navigators Group Inc. 15,351 CoBiz Financial Inc. 105,784 HFF Inc. Class A 59,056 First Interstate BancSystem Inc. Class A 41,678 Virtus Investment Partners Inc. 15,019 Ashford Hospitality Trust Inc. 228,196 Yadkin Financial Corp. 51,386 PennyMac Mortgage Investment Trust 107,504 WSFS Financial Corp. 37,921 Artisan Partners Asset Management Inc. Class A 58,384 Great Southern Bancorp Inc. 31,425 Nelnet Inc. Class A 33,736 Union Bankshares Corp. 47,817 Saul Centers Inc. 25,622 Dime Community Bancshares Inc. 84,654 Rexford Industrial Realty Inc. 72,978 Alexander’s Inc. 3,929 Oritani Financial Corp. 89,345 Infinity Property & Casualty Corp. 19,042 Four Corners Property Trust Inc. 81,180 BNC Bancorp 50,860 OFG Bancorp 121,633 Arrow Financial Corp. 38,876 Flagstar Bancorp Inc. 57,324 Sandy Spring Bancorp Inc. 38,337 Encore Capital Group Inc. 53,231 Anworth Mortgage Asset Corp. 293,584 MTGE Investment Corp. 96,232 Parkway Inc. 66,660 Federal Agricultural Mortgage Corp. 25,805 Summit Hotel Properties Inc. 91,527 iStar Inc. 118,122

Market Value• ($000) 1,953 1,949 1,944 1,941 1,941 1,928 1,883 1,883

*

1,859 1,808 1,787 1,786 1,773 1,773 1,771 1,760 1,760 1,758

*

1,737 1,717 1,712 1,709 1,707 1,702 1,692 1,677 1,675

*,^

1,674 1,666 1,622 1,593 1,574 1,544 1,533 1,525 1,518 1,511 1,483

^

*

1,478

*

1,467 1,461

*

Diamond Hill Investment Group Inc. Bank Mutual Corp. Blue Hills Bancorp Inc. Bank of Marin Bancorp Cedar Realty Trust Inc. Greenlight Capital Re Ltd. Class A Chatham Lodging Trust Tompkins Financial Corp. Bridge Bancorp Inc. Kearny Financial Corp. Sierra Bancorp Ares Commercial Real Estate Corp. Terreno Realty Corp. Southside Bancshares Inc. 1st Source Corp. American National Bankshares Inc. Lakeland Bancorp Inc. United Fire Group Inc. Greenhill & Co. Inc. World Acceptance Corp. New Senior Investment Group Inc. Maiden Holdings Ltd. Ames National Corp. Hersha Hospitality Trust Class A TrustCo Bank Corp. NY Cowen Group Inc. Class A BankFinancial Corp. Stewart Information Services Corp. Citizens Inc. Class A Safety Insurance Group Inc. Meridian Bancorp Inc. Arbor Realty Trust Inc. Cohen & Steers Inc. First Community Bancshares Inc. Athene Holding Ltd. Class A Investment Technology Group Inc. NRG Yield Inc. State Bank Financial Corp. Seritage Growth Properties Class A Green Dot Corp. Class A Ocwen Financial Corp. Altisource Residential Corp. Forestar Group Inc. ConnectOne Bancorp Inc.

Shares


6,935 154,266 77,553 20,396 217,101

1,459 1,458 1,454 1,423 1,418

61,879 67,619 14,340 34,346 83,357 48,620

1,411 1,390 1,356 1,302 1,296 1,293

93,581 43,977 32,628 27,472

1,285 1,253 1,229 1,227

34,849 61,607 24,431 43,271 18,636

1,213 1,201 1,201 1,199 1,198

119,219 66,530 35,023

1,167 1,161 1,156

53,498 130,769 71,895 74,414

1,150 1,144 1,114 1,103

23,495 108,990 14,299 55,744 139,630 30,959

1,083 1,070 1,054 1,054 1,042 1,040

34,489

1,039

21,500

1,032

52,124 64,387 37,618

1,029 1,017 1,010

23,358 41,411 179,745 86,731 71,427 36,476

998 975 969 958 950 947

23


Shares

* *

^

*

* *

*

*

* *

*

24

OceanFirst Financial Corp. 30,546 First Defiance Financial Corp. 18,005 EZCORP Inc. Class A 85,614 Global Indemnity Ltd. 23,860 Getty Realty Corp. 35,714 NRG Yield Inc. Class A 58,024 Investors Real Estate Trust 124,679 Armada Hoffler Properties Inc. 59,285 Preferred Apartment Communities Inc. Class A 57,927 Arlington Asset Investment Corp. Class A 57,887 Republic Bancorp Inc. Class A 21,600 Universal Insurance Holdings Inc. 29,855 Access National Corp. 30,164 First Potomac Realty Trust 75,837 Independent Bank Group Inc. 13,285 Ashford Hospitality Prime Inc. 60,647 Bar Harbor Bankshares 17,170 Consolidated-Tomoka Land Co. 15,179 First Bancorp 29,795 AV Homes Inc. 50,969 Ladder Capital Corp. Class A 58,361 RE/MAX Holdings Inc. Class A 14,260 CareTrust REIT Inc. 51,438 Walker & Dunlop Inc. 25,091 eHealth Inc. 72,522 Dynex Capital Inc. 112,992 Nationstar Mortgage Holdings Inc. 42,658 Black Knight Financial Services Inc. Class A 20,339 KCG Holdings Inc. Class A 57,936 LendingTree Inc. 7,519 Century Bancorp Inc. Class A 12,640 National Storage Affiliates Trust 32,973 Stock Yards Bancorp Inc. 15,419 Capital City Bank Group Inc. 35,031 Hannon Armstrong Sustainable Infrastructure Capital Inc. 37,489 NMI Holdings Inc. Class A 66,797 Monmouth Real Estate Investment Corp. 46,546

Market Value• ($000) 917 914 912 912 910 891 889

*

* *

864 864 *

858 854 *

848 837 832 829

*

828 813 ^

811 809 805

*

*

801 *,^

799 788 783 772 771 770 769 768 762 758 728 724 717

712 711 709

*

Altisource Portfolio Solutions SA United Financial Bancorp Inc. National Western Life Group Inc. Class A INTL. FCStone Inc. Pacific Premier Bancorp Inc. Calamos Asset Management Inc. Class A ESSA Bancorp Inc. Donegal Group Inc. Class A HomeStreet Inc. Tier REIT Inc. Opus Bank Baldwin & Lyons Inc. Enova International Inc. Marlin Business Services Corp. Universal Health Realty Income Trust Third Point Reinsurance Ltd. InfraREIT Inc. AG Mortgage Investment Trust Inc. New York Mortgage Trust Inc. PICO Holdings Inc. HCI Group Inc. Atlas Financial Holdings Inc. Virtu Financial Inc. Class A Health Insurance Innovations Inc. Class A EMC Insurance Group Inc. Meta Financial Group Inc. First of Long Island Corp. Univest Corp. of Pennsylvania Investors Title Co. Washington Trust Bancorp Inc. MainSource Financial Group Inc. RMR Group Inc. Class A Silver Bay Realty Trust Corp. ESCROW WINTHROP REALTYTRUST Ladenburg Thalmann Financial Services Inc. Urstadt Biddle Properties Inc. Class A GAIN Capital Holdings Inc. Charter Financial Corp. United Insurance Holdings Corp.

Shares


26,484

704

38,602

701

2,253 17,562 19,430

700 695 687

79,128 42,936 38,486 21,036 37,486 21,428 24,477 49,086

677 675 673 665 652 644 617 616

29,378

614

9,291 52,128 33,062

609 602 592

34,494

590

89,250 38,623 14,582 31,682 34,431

589 585 576 572 549

28,139 16,312 4,721 16,954

502 490 486 484

15,282 2,979

472 471

8,385

470

13,175 11,403 26,016

453 450 446

55,387

444

181,479

443

18,094 65,128 25,666

436 429 428

27,714

420


Shares

*

*

*

*

*

*

*

*

*

James River Group Holdings Ltd. C&F Financial Corp. German American Bancorp Inc. Easterly Government Properties Inc. Associated Capital Group Inc. Class A BSB Bancorp Inc. Heritage Financial Corp. Marcus & Millichap Inc. TriCo Bancshares First Hawaiian Inc. First Connecticut Bancorp Inc. GAMCO Investors Inc. Class A FBR & Co. NewStar Financial Inc. Guaranty Bancorp Franklin Financial Network Inc. Federated National Holding Co. Republic First Bancorp Inc. State National Cos. Inc. Suffolk Bancorp Reis Inc. First Financial Corp. Waterstone Financial Inc. Citizens & Northern Corp. Clifton Bancorp Inc. Moelis & Co. Class A Financial Institutions Inc. Walter Investment Management Corp. OneBeacon Insurance Group Ltd. Class A Merchants Bancshares Inc. State Auto Financial Corp. Tejon Ranch Co. CNB Financial Corp. First Financial Northwest Inc. Resource Capital Corp. Preferred Bank Ellington Residential Mortgage REIT MedEquities Realty Trust Inc. Safeguard Scientifics Inc. Independence Realty Trust Inc.


10,081 8,306

419 414

7,670

404

19,481

390

*

*

11,870 13,328 14,857 14,298 10,953 10,287

390 386 383 382 374 358

15,736

356

11,529 26,642 37,235 13,986

356 346 344 338

7,876

330

17,478 38,554 22,747 7,349 13,938 5,856 16,559 11,534 17,235 8,564 8,415

327 322 315 315 310 309 305 302 292 290 288

58,239

277

16,989 4,988 9,937 10,334 9,770

273 270 266 263 261

*

*

*

*

*

* *

*

12,993 30,512 4,780

256 254 251

18,917

246

21,964 17,824

244 240

*

26,514

236

*

*

* *

Atlantic Capital Bancshares Inc. Asta Funding Inc. Western New England Bancorp Inc. Pzena Investment Management Inc. Class A Allegiance Bancshares Inc. Gladstone Commercial Corp. Bancorp Inc. Premier Financial Bancorp Inc. UMH Properties Inc. Seacoast Banking Corp. of Florida Western Asset Mortgage Capital Corp. Consumer Portfolio Services Inc. Heritage Insurance Holdings Inc. Drive Shack Inc. One Liberty Properties Inc. Mercantile Bank Corp. Southwest Bancorp Inc. Old Second Bancorp Inc. Oppenheimer Holdings Inc. Class A RAIT Financial Trust West Bancorporation Inc. Ashford Inc. Fidelity & Guaranty Life Peoples Bancorp Inc. American River Bankshares National Bankshares Inc. Horizon Bancorp Intersections Inc. Hallmark Financial Services Inc. Fidelity Southern Corp. Heritage Commerce Corp. Westwood Holdings Group Inc. WMIH Corp. First NBC Bank Holding Co. Xenith Bankshares Inc. First Foundation Inc. Maui Land & Pineapple Co. Inc. US Global Investors Inc. Class A FRP Holdings Inc. Stonegate Bank First Acceptance Corp.

Shares


12,311 23,859

234 234

24,792

232

20,734 6,350 11,405 29,147

230 230 229 229

11,291 14,866

227 224

10,091

223

21,923

221

41,851

214

13,600 56,426 7,940 5,064 5,843 13,938

213 212 199 191 169 154

8,231 41,189 5,505 3,035 5,600 4,038 8,076 2,789 4,280 29,386

153 138 136 134 133 131 122 121 120 117

9,970 4,549 7,357

116 108 106

1,737 67,015 14,134 3,625 3,564

104 104 103 102 102

12,826

93

67,397 2,385 2,012 79,063

92 90 84 82

25


Shares

*

*

* *

*

*

* *

*

* *

*

*

26

Peapack Gladstone Financial Corp. QCR Holdings Inc. United Community Financial Corp. Provident Financial Holdings Inc. Carolina Bank Holdings Inc. Farmers Capital Bank Corp. CU Bancorp Park Sterling Corp. Five Oaks Investment Corp. CatchMark Timber Trust Inc. Class A FB Financial Corp. Cascade Bancorp Territorial Bancorp Inc. Independence Holding Co. Federal Agricultural Mortgage Corp. Class A First Internet Bancorp Nicolet Bankshares Inc. Atlantic American Corp. Macatawa Bank Corp. Institutional Financial Markets Inc. Bear State Financial Inc. Jernigan Capital Inc. HopFed Bancorp Inc. Northrim BanCorp Inc. FXCM Inc. Class A Pacific Continental Corp. Conifer Holdings Inc. Regional Management Corp. California First National Bancorp PJT Partners Inc. Kinsale Capital Group Inc. Performant Financial Corp. Northeast Bancorp Kingstone Cos. Inc. Manning & Napier Inc. On Deck Capital Inc. HomeTrust Bancshares Inc. First Bancorp Inc. Middleburg Financial Corp. Blue Capital Reinsurance Holdings Ltd. Bay Bancorp Inc. Eagle Bancorp Montana Inc. Altisource Asset Management Corp. Penns Woods Bancorp Inc. MutualFirst Financial Inc.


2,544 1,800

79 78

8,716

78

3,696 2,826 1,726 2,025 6,702 13,706

75 73 73 72 72 68

6,000 2,525 8,045 1,980 3,224

68 66 65 65 63

*

*

*

*

*

1,021 1,900 1,192 13,780 4,802

62 61 57 56 50

39,632 4,605 2,148 3,323 1,390 6,070 1,900 4,822 1,415

47 47 45 45 44 43 42 39 37

2,366 1,135 1,024 14,420 2,506 2,352 4,280 6,956 1,176 902 859

37 35 35 34 33 32 32 32 30 30 30

*

*

* *

*

*

*

Medley Management Inc. Class A CB Financial Services Inc. Home Bancorp Inc. Anchor Bancorp Inc. Central Valley Community Bancorp Parke Bancorp Inc. FS Bancorp Inc. WVS Financial Corp. Entegra Financial Corp. First Bancshares Inc. Coastway Bancorp Inc. MidSouth Bancorp Inc. Wheeler REIT Inc. Gyrodyne LLC Hingham Institution for Savings Atlantic Coast Financial Corp. Jason Industries Inc. Bank of Commerce Holdings MidWestOne Financial Group Inc. AmeriServ Financial Inc. Bankwell Financial Group Inc. Pathfinder Bancorp Inc. Old Line Bancshares Inc. Village Bank and Trust Financial Corp. United Bancorp Inc. Unico American Corp. Melrose Bancorp Inc. Sun Bancorp Inc. Sotherly Hotels Inc. National Holdings Corp. Independent Bank Corp. Bancorp of New Jersey Inc. Porter Bancorp Inc. Equitable Financial Corp. SI Financial Group Inc. Vestin Realty Mortgage II Inc.

Shares


1,751 661 343 404

17 17 13 11

509 490 270 623 447 325 497 520 3,900 323

10 10 10 9 9 9 8 7 7 6

27

5

761 2,757

5 5

500

5

100 887

4 3

100 234 117

3 3 3

100 197 241 152 92 300 454 53

3 3 3 3 2 2 1 1

68 57 68 31

1 1 1 —

15

— 7,652,402

1,567 4,284 1,015

29 28 21

400 414 544

21 21 18

Health Care (12.2%) Johnson & Johnson Pfizer Inc. Merck & Co. Inc. UnitedHealth Group Inc. Amgen Inc. AbbVie Inc. Medtronic plc

4,313,684 9,621,955 4,371,729 1,509,397 1,179,635 2,577,671 2,191,279

496,980 312,521 257,364 241,564 172,474 161,414 156,085


* *

*

*

* *

*

*

*

*

* *

* * *

*

*

*

* * * *

*

Bristol-Myers Squibb Co. Gilead Sciences Inc. Celgene Corp. Allergan plc Eli Lilly & Co. Biogen Inc. Abbott Laboratories Thermo Fisher Scientific Inc. Aetna Inc. Express Scripts Holding Co. Anthem Inc. Stryker Corp. Becton Dickinson and Co. Cigna Corp. Humana Inc. Boston Scientific Corp. Regeneron Pharmaceuticals Inc. Zoetis Inc. Alexion Pharmaceuticals Inc. Intuitive Surgical Inc. St. Jude Medical Inc. HCA Holdings Inc. Baxter International Inc. Zimmer Biomet Holdings Inc. Edwards Lifesciences Corp. Illumina Inc. Vertex Pharmaceuticals Inc. CR Bard Inc. Mylan NV Incyte Corp. BioMarin Pharmaceutical Inc. Dentsply Sirona Inc. Laboratory Corp. of America Holdings Quest Diagnostics Inc. Henry Schein Inc. Perrigo Co. plc Quintiles IMS Holdings Inc. Hologic Inc. IDEXX Laboratories Inc. Waters Corp. DaVita Inc. Universal Health Services Inc. Class B Centene Corp. ResMed Inc.

Shares


2,649,923 2,089,044 1,229,171 594,726 1,577,726 345,339 2,334,503

154,862 149,596 142,277 124,898 116,042 97,931 89,668

626,086 557,084

88,341 69,084

979,442 417,798 475,478 338,085 407,426 236,696 2,160,961

67,376 60,067 56,967 55,970 54,347 48,293 46,742

123,114 786,017

45,194 42,075

*

338,197 61,438 452,403 476,142 777,276

41,378 38,962 36,278 35,244 34,464

*

318,146

32,833

337,958 232,725

31,667 29,798

393,434 116,641 679,986 253,669

28,984 26,205 25,941 25,435

273,199 370,361

22,632 21,381

*

162,502 220,816 127,393 216,186

20,862 20,293 19,327 17,993

*

234,583 440,762 142,222 121,733 250,807

17,840 17,683 16,678 16,360 16,102

143,275 257,683 223,885

15,242 14,562 13,892

* *

* * * *

*

* * * *,^ *

*

*

*

* * * *

* *,^ *

*,^

*

*

* *

*

Cooper Cos. Inc. Alkermes plc Varian Medical Systems Inc. Envision Healthcare Corp. Teleflex Inc. Align Technology Inc. Jazz Pharmaceuticals plc MEDNAX Inc. United Therapeutics Corp. West Pharmaceutical Services Inc. WellCare Health Plans Inc. STERIS plc Ionis Pharmaceuticals Inc. Mallinckrodt plc DexCom Inc. TESARO Inc. Seattle Genetics Inc. ABIOMED Inc. Exelixis Inc. Bio-Techne Corp. Bio-Rad Laboratories Inc. Class A Charles River Laboratories International Inc. HealthSouth Corp. PAREXEL International Corp. Patterson Cos. Inc. NuVasive Inc. Alere Inc. Catalent Inc. Neurocrine Biosciences Inc. Hill-Rom Holdings Inc. Endo International plc OPKO Health Inc. Masimo Corp. Team Health Holdings Inc. ACADIA Pharmaceuticals Inc. Prestige Brands Holdings Inc. Alnylam Pharmaceuticals Inc. Healthcare Services Group Inc. INC Research Holdings Inc. Class A Cantel Medical Corp. Horizon Pharma plc Ultragenyx Pharmaceutical Inc. Integra LifeSciences Holdings Corp.

Shares


77,071 240,786

13,482 13,383

148,583 186,645 69,953 114,640 91,466 148,854 69,055

13,340 11,813 11,273 11,020 9,973 9,923 9,905

116,505 70,421 137,013 192,257 171,302 134,105 59,492 145,640 65,420 454,996 59,196

9,883 9,653 9,233 9,196 8,534 8,006 8,000 7,685 7,372 6,784 6,087

32,831

5,984

75,429 136,046

5,747 5,611

84,117 134,064 80,123 138,347 198,465 138,008 93,997 318,825 532,884 70,564 106,161

5,528 5,501 5,397 5,391 5,351 5,341 5,277 5,251 4,956 4,756 4,613

152,359

4,394

84,185

4,386

115,953

4,341

109,444

4,287

80,973 53,025 256,817

4,259 4,176 4,155

58,309

4,100

47,696

4,092

27


* * * * * * * *

*

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* * * * *

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* * * * * *

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* * * * * * * * *

* * * * *,^

28

Bluebird Bio Inc. Acadia Healthcare Co. Inc. LifePoint Health Inc. Wright Medical Group NV Neogen Corp. Brookdale Senior Living Inc. Molina Healthcare Inc. Medicines Co. Bruker Corp. PRA Health Sciences Inc. Owens & Minor Inc. Insulet Corp. ARIAD Pharmaceuticals Inc. VWR Corp. ICU Medical Inc. Haemonetics Corp. Ironwood Pharmaceuticals Inc. Class A Array BioPharma Inc. Akorn Inc. Ligand Pharmaceuticals Inc. Magellan Health Inc. Nektar Therapeutics Class A Kite Pharma Inc. Nevro Corp. Intercept Pharmaceuticals Inc. Halyard Health Inc. Globus Medical Inc. AMAG Pharmaceuticals Inc. Penumbra Inc. Amedisys Inc. HMS Holdings Corp. Abaxis Inc. CONMED Corp. Juno Therapeutics Inc. Exact Sciences Corp. Cynosure Inc. Class A Analogic Corp. Emergent BioSolutions Inc. FibroGen Inc. Clovis Oncology Inc. Radius Health Inc. Sarepta Therapeutics Inc. Agios Pharmaceuticals Inc. Intrexon Corp. Acorda Therapeutics Inc. Momenta Pharmaceuticals Inc. NxStage Medical Inc. Air Methods Corp. Tenet Healthcare Corp. Myriad Genetics Inc. Innoviva Inc.

Shares


64,038 118,564 68,279 164,428 56,849 297,048 67,888 106,567 167,014 63,908 99,215 91,037 275,234 136,172 23,060 81,758

3,951 3,924 3,878 3,779 3,752 3,689 3,684 3,617 3,537 3,523 3,501 3,430 3,424 3,408 3,398 3,287

206,636 353,785 140,991 30,091 39,205

3,159 3,110 3,078 3,058 2,950

238,685 63,366 38,851

2,929 2,841 2,823

25,587 74,931 110,474 76,408 39,989 57,946 135,662 45,997 53,963 126,178 171,861 50,349 27,521 69,359 105,484 50,632 58,332 80,528 52,674 85,008 107,788

2,780 2,771 2,741 2,659 2,551 2,470 2,464 2,427 2,384 2,378 2,296 2,296 2,283 2,278 2,257 2,249 2,218 2,209 2,198 2,066 2,026

129,926 73,634 60,094 127,635 113,178 174,920

1,955 1,930 1,914 1,894 1,887 1,872

* * * * *

* * * * * * *,^ * * * *

* * * * * * * *

* * * *,^ *

* * *

*,^

*,^ * *

* *

* * * * *

*,^

Atrion Corp. Theravance Biopharma Inc. Depomed Inc. Pacira Pharmaceuticals Inc. Anika Therapeutics Inc. Select Medical Holdings Corp. Sage Therapeutics Inc. BioTelemetry Inc. Zeltiq Aesthetics Inc. Portola Pharmaceuticals Inc. Natus Medical Inc. CryoLife Inc. TherapeuticsMD Inc. Healthways Inc. Halozyme Therapeutics Inc. Impax Laboratories Inc. Albany Molecular Research Inc. AngioDynamics Inc. Genomic Health Inc. ANI Pharmaceuticals Inc. Cardiovascular Systems Inc. AtriCure Inc. Five Prime Therapeutics Inc. Surgical Care Affiliates Inc. Inogen Inc. Ensign Group Inc. Aimmune Therapeutics Inc. Puma Biotechnology Inc. Almost Family Inc. MiMedx Group Inc. Lexicon Pharmaceuticals Inc. Omnicell Inc. Aduro Biotech Inc. SciClone Pharmaceuticals Inc. Keryx Biopharmaceuticals Inc. Inovio Pharmaceuticals Inc. Spark Therapeutics Inc. BioCryst Pharmaceuticals Inc. Spectranetics Corp. Achillion Pharmaceuticals Inc. Merit Medical Systems Inc. MacroGenics Inc. Lannett Co. Inc. Capital Senior Living Corp. BioSpecifics Technologies Corp. Adamas Pharmaceuticals Inc.

Shares


3,675 58,054 102,495 56,909 37,105

1,864 1,851 1,847 1,838 1,817

136,539 34,441 78,222 40,167 76,634 49,020 85,538 278,616 70,473 161,641 118,333

1,809 1,759 1,748 1,748 1,720 1,706 1,638 1,608 1,603 1,597 1,568

82,906 89,581 51,208 24,459 61,192 74,512 28,402 30,259 20,636 62,162 66,883 44,498 29,984 147,560

1,555 1,511 1,505 1,483 1,481 1,458 1,423 1,400 1,386 1,381 1,368 1,366 1,322 1,307

94,126 38,177 109,849

1,302 1,294 1,252

115,683

1,249

212,648 177,301 24,527

1,246 1,230 1,224

189,267 48,777

1,198 1,195

289,237 45,056 58,105 53,758 73,140

1,195 1,194 1,188 1,185 1,174

20,996

1,169

68,948

1,165


* * * * * * *

* *,^ *

* * * * *

*,^

*

* * * * * *

* * * *

* * * * * *

*,^ * *,^ * * *,^ *,^

*

* *

Addus HomeCare Corp. Antares Pharma Inc. Aerie Pharmaceuticals Inc. CorVel Corp. Accuray Inc. Corcept Therapeutics Inc. Amphastar Pharmaceuticals Inc. Cerus Corp. Amicus Therapeutics Inc. Supernus Pharmaceuticals Inc. Cutera Inc. Repligen Corp. Arena Pharmaceuticals Inc. Curis Inc. ChemoCentryx Inc. Kindred Healthcare Inc. Meridian Bioscience Inc. Bellicum Pharmaceuticals Inc. Community Health Systems Inc. PharMerica Corp. Coherus Biosciences Inc. BioTime Inc. Enanta Pharmaceuticals Inc. Agenus Inc. Alder Biopharmaceuticals Inc. Epizyme Inc. Advaxis Inc. Xencor Inc. Intra-Cellular Therapies Inc. Class A Exactech Inc. Insmed Inc. Ardelyx Inc. LHC Group Inc. Luminex Corp. Synergy Pharmaceuticals Inc. ZIOPHARM Oncology Inc. Quidel Corp. Accelerate Diagnostics Inc. Eagle Pharmaceuticals Inc. Vascular Solutions Inc. Geron Corp. Organovo Holdings Inc. Invacare Corp. US Physical Therapy Inc. Triple-S Management Corp. Class B Orthofix International NV Foundation Medicine Inc.

Shares


33,061 491,967 30,261 31,140 247,686 154,053

1,159 1,146 1,145 1,140 1,139 1,118

60,453 255,186 221,355

1,114 1,110 1,100

43,080 62,240 33,527 717,132 330,318 137,290 129,330 56,423

1,088 1,080 1,033 1,018 1,017 1,016 1,015 999

* * *,^ *,^

*,^ *

* * *,^ * * * * * * *

*,^

72,429

986

175,808 38,359 34,116 264,388 28,391 230,098

983 965 960 954 951 948

44,932 75,161 122,146 33,121

935 909 875 872

57,556 31,757 65,207 60,523 18,115 40,835

869 867 863 859 828 826

133,294 150,044 36,876 36,827 9,535 13,048 344,353 210,185 54,591 10,058

812 803 790 764 757 732 713 713 712 706

34,096 19,133 39,025

706 692 691

* * * * * * *

*

* * * *,^ * *

* * * * *

*,^

* * * *

* *

Acceleron Pharma Inc. Dermira Inc. Omeros Corp. Insys Therapeutics Inc. PDL BioPharma Inc. Athersys Inc. AcelRx Pharmaceuticals Inc. OraSure Technologies Inc. Akebia Therapeutics Inc. Fortress Biotech Inc. Celldex Therapeutics Inc. Retrophin Inc. Novavax Inc. Enzo Biochem Inc. ArQule Inc. PTC Therapeutics Inc. Applied Genetic Technologies Corp. Immunomedics Inc. National HealthCare Corp. Teligent Inc. Cytokinetics Inc. HealthStream Inc. NeoGenomics Inc. Durect Corp. Avexis Inc. Merrimack Pharmaceuticals Inc. Digirad Corp. Concert Pharmaceuticals Inc. Vanda Pharmaceuticals Inc. Lion Biotechnologies Inc. NewLink Genetics Corp. Heron Therapeutics Inc. Glaukos Corp. Progenics Pharmaceuticals Inc. LeMaitre Vascular Inc. Endologix Inc. Achaogen Inc. Surmodics Inc. Universal American Corp. Spectrum Pharmaceuticals Inc. BioDelivery Sciences International Inc. Biolase Inc. BioScrip Inc. Zogenix Inc. Adeptus Health Inc. Class A Idera Pharmaceuticals Inc. Atara Biotherapeutics Inc.

Shares


26,239 21,948 66,886 70,234 300,478 396,648

670 666 664 646 637 607

231,950 68,155 57,461 220,938 164,167 29,647 434,798 78,444 423,717 48,199

603 598 598 597 581 561 548 544 534 526

55,878 140,822 6,716 73,976 40,055 19,098 55,230 351,206 9,716

522 517 509 489 487 478 473 471 464

112,613 91,586

459 458

44,390 28,216 64,346 42,836 33,125 11,989

457 450 447 440 434 411

47,450 16,127 71,251 31,274 15,789 39,523

410 409 408 407 401 393

86,758

384

211,102 262,172 340,420 29,056

369 367 354 353

45,478 229,955 23,655

347 345 336

29


* * * * * * *,^

* * *,^

*,^

*

* *

* * *,^ * *

* * * * * *

* * * * * *

*,^ * *,^ * * * * *

* *,^

* * * *

30

Quorum Health Corp. AAC Holdings Inc. ImmunoGen Inc. Chimerix Inc. Revance Therapeutics Inc. Abeona Therapeutics Inc. Dynavax Technologies Corp. Sangamo BioSciences Inc. AVEO Pharmaceuticals Inc. Arrowhead Pharmaceuticals Inc. Catalyst Pharmaceuticals Inc. Collegium Pharmaceutical Inc. GenMark Diagnostics Inc. Alliance HealthCare Services Inc. Aratana Therapeutics Inc. ConforMIS Inc. MannKind Corp. Aclaris Therapeutics Inc. Juniper Pharmaceuticals Inc. Rockwell Medical Inc. Ophthotech Corp. STAAR Surgical Co. Heska Corp. CTI BioPharma Corp. Pacific Biosciences of California Inc. Endocyte Inc. K2M Group Holdings Inc. Infinity Pharmaceuticals Inc. Blueprint Medicines Corp. Otonomy Inc. Karyopharm Therapeutics Inc. Ampio Pharmaceuticals Inc. Derma Sciences Inc. Osiris Therapeutics Inc. Flexion Therapeutics Inc. RTI Surgical Inc. Bovie Medical Corp. Cempra Inc. Editas Medicine Inc. Psychemedics Corp. Alimera Sciences Inc. Anthera Pharmaceuticals Inc. Harvard Bioscience Inc. Mirati Therapeutics Inc. SeaSpine Holdings Corp. Civitas Solutions Inc.

Shares


46,058 46,115 160,496 68,906 15,092 64,235

335 334 327 317 312 312

*

77,354 99,926 557,183

306 305 301

*

192,824

299

277,769

292

Shares * * *

*

* * * *

*,^

18,707 23,082

291 283

28,506 38,081 33,724 427,851 9,968

274 273 273 272 271

* * *

* * *,^

*

47,982 38,438 51,069 21,256 3,134 556,803

269 252 247 231 224 224

58,716 86,057 10,300 152,248 7,072 12,454

223 219 206 206 198 198

20,202 205,812 35,606 35,327 8,700 50,534 45,545 57,533 9,527 5,861 130,300

190 185 185 173 165 164 164 161 155 145 141

216,629 45,022 28,400 16,795 6,665

141 137 135 133 133

* * * * * * *

* * * * *

*,^ * * * *,^ * * * *

*,^ * *

* * *

MyoKardia Inc. 10,058 RadNet Inc. 19,852 Alphatec Holdings Inc. 39,700 CoLucid Pharmaceuticals Inc. 3,360 Cumberland Pharmaceuticals Inc. 22,092 Adverum Biotechnologies Inc. 38,121 Entellus Medical Inc. 5,448 Dicerna Pharmaceuticals Inc. 35,621 Oncocyte Corp. 14,374 Navidea Biopharmaceuticals Inc. 158,410 XBiotech Inc. 9,598 Versartis Inc. 6,517 Paratek Pharmaceuticals Inc. 6,304 Sucampo Pharmaceuticals Inc. Class A 7,058 Aptevo Therapeutics Inc. 38,844 Seres Therapeutics Inc. 9,511 Actinium Pharmaceuticals Inc. 106,660 Stemline Therapeutics Inc. 8,700 ARCA biopharma Inc. 32,141 Cara Therapeutics Inc. 9,848 AxoGen Inc. 10,130 Genesis Healthcare Inc. 21,297 MEI Pharma Inc. 61,287 InfuSystem Holdings Inc. 34,480 OncoMed Pharmaceuticals Inc. 10,900 La Jolla Pharmaceutical Co. 4,200 TG Therapeutics Inc. 15,500 iBio Inc. 177,100 Intersect ENT Inc. 5,700 Wright Medical Group Inc. CVR 50,806 Nobilis Health Corp. 31,760 Aldeyra Therapeutics Inc. 12,121 Novan Inc. 2,317 Calithera Biosciences Inc. 18,562 Obalon Therapeutics Inc. 6,357 Ra Pharmaceuticals Inc. 3,570 iRhythm Technologies Inc. 1,788 Five Star Quality Care Inc. 19,810 Eiger BioPharmaceuticals Inc. 4,210 KalVista Pharmaceuticals Inc. 6,589 Avinger Inc. 12,064 vTv Therapeutics Inc. Class A 9,072 CytRx Corp. 117,384 Invitae Corp. 5,410 OvaScience Inc. 27,700

Market Value• ($000) 130 128 127 122 122 111 103 103 101 100 97 97 97 96 95 94 93 93 92 91 91 91 88 88 84 74 72 70 69 67 67 65 63 60 56 54 54 53 49 47 45 44 44 43 42


* * *

*

* *

* * * * * * *,^ *

^ * * * *,^ *

* * *,^

* *,^ * * * * * * * * * * * * *

*

* *

* * * *,^

AdCare Health Systems Inc. Galena Biopharma Inc. Catabasis Pharmaceuticals Inc. Corbus Pharmaceuticals Holdings Inc. Novocure Ltd. Cascadian Therapeutics Inc. GTx Inc. CorMedix Inc. Loxo Oncology Inc. REGENXBIO Inc. Regulus Therapeutics Inc. Acura Pharmaceuticals Inc. Asterias Biotherapeutics Inc. Orexigen Therapeutics Inc. Peregrine Pharmaceuticals Inc. Novelion Therapeutics Inc. Pain Therapeutics Inc. ADMA Biologics Inc. Flex Pharma Inc. Apricus Biosciences Inc. Vericel Corp. Sonoma Pharmaceuticals Inc. Vical Inc. MGC Diagnostics Corp. Adamis Pharmaceuticals Corp. Cymabay Therapeutics Inc. Teladoc Inc. Medpace Holdings Inc. MediciNova Inc. Assembly Biosciences Inc. Argos Therapeutics Inc. Veracyte Inc. Alliqua BioMedical Inc. Agile Therapeutics Inc. Tandem Diabetes Care Inc. CytoSorbents Corp. Chiasma Inc. Vital Therapies Inc. Presbia plc Clearside Biomedical Inc. Diversicare Healthcare Services Inc. InVivo Therapeutics Holdings Corp. Esperion Therapeutics Inc. Tetraphase Pharmaceuticals Inc. Ocular Therapeutix Inc. Ohr Pharmaceutical Inc. Cerulean Pharma Inc. Biocept Inc.

Shares


28,860 20,884

42 41

*

*

10,960

40 *

4,620 4,691 8,542 6,969 23,800 1,127 1,817 14,100 41,356 6,720 17,540

39 37 37 37 36 36 34 32 32 31 31

98,096 3,477 51,137 5,316 5,140 18,858 8,106 4,719 9,624 2,800

30 29 29 27 27 25 24 24 22 22

6,605 11,957 1,215 553 3,300 1,600 3,850 2,228 22,830 2,300 6,010 2,200 6,057 2,600 3,100 1,200

21 21 20 20 20 19 19 17 13 13 13 12 12 11 11 11

913

9

2,160 675

9 8

2,000 910 5,000 10,400 9,360

8 8 7 7 7

*

*

* * * *

* * * * * * *

* * * *

* * * * *

Second Sight Medical Products Inc. CAS Medical Systems Inc. Corindus Vascular Robotics Inc. Threshold Pharmaceuticals Inc. Fibrocell Science Inc. Pernix Therapeutics Holdings Inc. Nivalis Therapeutics Inc. Neos Therapeutics Inc. Aethlon Medical Inc. Caladrius Biosciences Inc. Utah Medical Products Inc. Cytori Therapeutics Inc. Cancer Genetics Inc. Windtree Therapeutics Inc. CEL-SCI Corp. Amedica Corp. Cidara Therapeutics Inc. BioLife Solutions Inc. Daxor Corp. Aviragen Therapeutics Inc. CytomX Therapeutics Inc. BioPharmX Corp. Asterias Biotherapeutics Inc. Warrants Exp. 2/15/17 Hemispherx Biopharma Inc. CASI Pharmaceuticals Inc. Unilife Corp. Repros Therapeutics Inc. Celsion Corp.

Shares


3,600

7

4,100

7

8,802

6

13,478 9,200

6 6

2,880 2,432 912 1,232 1,820 68 3,275 3,500 3,527 51,277 5,026 281 1,215 161 917 100 2,553

6 5 5 5 5 5 5 5 4 3 3 3 2 1 1 1 1

1,344 894 200 49 66 127

1 1 — — — — 4,545,651

Industrials (12.9%) General Electric Co. 14,026,828 3M Co. 953,715 Boeing Co. 929,651 Honeywell International Inc. 1,208,328 Union Pacific Corp. 1,306,726 United Technologies Corp. 1,175,088 United Parcel Service Inc. Class B 1,093,527 Accenture plc Class A 984,069 Lockheed Martin Corp. 394,397 Caterpillar Inc. 927,791 Danaher Corp. 986,951 * PayPal Holdings Inc. 1,820,896 General Dynamics Corp. 409,915 FedEx Corp. 379,422 Automatic Data Processing Inc. 678,760

443,248 170,305 144,728 139,985 135,481 128,813 125,362 115,264 98,576 86,043 76,824 71,871 70,776 70,648 69,763

31


Shares

*

*

*

*

32

Raytheon Co. 464,966 Northrop Grumman Corp. 279,996 Illinois Tool Works Inc. 500,266 Johnson Controls International plc 1,485,907 Emerson Electric Co. 1,021,812 CSX Corp. 1,487,164 Norfolk Southern Corp. 462,283 Waste Management Inc. 702,368 Deere & Co. 474,066 Eaton Corp. plc 715,281 Fidelity National Information Services Inc. 520,579 TE Connectivity Ltd. 564,620 Fiserv Inc. 346,954 Cummins Inc. 267,715 PACCAR Inc. 556,667 Sherwin-Williams Co. 125,222 Amphenol Corp. Class A 490,236 Paychex Inc. 515,311 Ingersoll-Rand plc 409,616 Parker-Hannifin Corp. 211,210 Roper Technologies Inc. 160,900 Rockwell Automation Inc. 205,412 Fortive Corp. 493,901 Vulcan Materials Co. 211,481 Agilent Technologies Inc. 516,865 Martin Marietta Materials Inc. 100,721 Waste Connections Inc. 278,625 Republic Services Inc. Class A 381,415 Fastenal Co. 459,050 FleetCor Technologies Inc. 147,430 Ball Corp. 276,637 WestRock Co. 399,520 Alliance Data Systems Corp. 88,332 TransDigm Group Inc. 80,390 Verisk Analytics Inc. Class A 241,586 Rockwell Collins Inc. 206,386 WW Grainger Inc. 81,594 Textron Inc. 385,263 Dover Corp. 246,519 AMETEK Inc. 369,218 Mettler-Toledo International Inc. 42,078 Global Payments Inc. 244,156 L-3 Communications Holdings Inc. 110,517 CH Robinson Worldwide Inc. 226,659 Masco Corp. 524,539 Acuity Brands Inc. 69,724


Shares

66,025 65,121 61,263 *

61,204 56,966 53,434 49,959 49,805 48,848 47,988 39,377 39,117 36,874 36,589 35,571 33,652 32,944 31,372 30,738 29,569 29,458 27,607 26,488 26,467 23,548

*

*

*

*

22,313 21,897 21,760 21,566 20,864 20,767 20,284

*

*

20,184 20,014

* *

19,610 19,144 18,950 18,708 18,472 17,944

* *

17,612 16,947 16,811 *

16,605 16,586 16,096

Cintas Corp. 132,427 Expeditors International of Washington Inc. 287,653 Vantiv Inc. Class A 251,196 Kansas City Southern 171,425 Pentair plc 258,860 Sealed Air Corp. 312,479 Xylem Inc. 284,672 United Rentals Inc. 133,379 JB Hunt Transport Services Inc. 143,203 Huntington Ingalls Industries Inc. 74,434 HD Supply Holdings Inc. 319,238 Fortune Brands Home & Security Inc. 244,482 Total System Services Inc. 262,830 Packaging Corp. of America 149,929 Broadridge Financial Solutions Inc. 188,215 Trimble Inc. 396,598 Xerox Corp. 1,368,500 Valspar Corp. 113,486 Crown Holdings Inc. 222,263 Fluor Corp. 221,522 Carlisle Cos. Inc. 102,799 Wabtec Corp. 136,167 Spirit AeroSystems Holdings Inc. Class A 192,635 AO Smith Corp. 235,943 Jack Henry & Associates Inc. 125,511 Jacobs Engineering Group Inc. 193,264 IDEX Corp. 121,080 Sensata Technologies Holding NV 271,902 Stericycle Inc. 135,334 Arrow Electronics Inc. 145,099 Hubbell Inc. Class B 88,049 Macquarie Infrastructure Corp. 123,349 Lennox International Inc. 65,710 Flowserve Corp. 207,446 Keysight Technologies Inc. 270,816 CoStar Group Inc. 51,821 Allegion plc 152,574 B/E Aerospace Inc. 161,157 ManpowerGroup Inc. 109,122 Avnet Inc. 202,550 Old Dominion Freight Line Inc. 111,908 Robert Half International Inc. 196,656

Market Value• ($000) 15,303 15,234 14,976 14,545 14,514 14,168 14,097 14,082 13,901 13,710 13,571 13,070 12,887 12,717 12,479 11,957 11,947 11,758 11,684 11,634 11,338 11,305 11,240 11,172 11,143 11,016 10,904 10,591 10,426 10,346 10,275 10,078 10,065 9,968 9,904 9,768 9,765 9,700 9,698 9,643 9,601 9,593


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Berry Plastics Group Inc. Owens Corning Toro Co. PerkinElmer Inc. MDU Resources Group Inc. Donaldson Co. Inc. AECOM Nordson Corp. Sonoco Products Co. Cognex Corp. Orbital ATK Inc. Booz Allen Hamilton Holding Corp. Class A First Data Corp. Class A Quanta Services Inc. Allison Transmission Holdings Inc. FLIR Systems Inc. XPO Logistics Inc. Hexcel Corp. Oshkosh Corp. Lincoln Electric Holdings Inc. Graco Inc. AptarGroup Inc. Bemis Co. Inc. Eagle Materials Inc. EMCOR Group Inc. Zebra Technologies Corp. WEX Inc. Genesee & Wyoming Inc. Class A Trinity Industries Inc. MSC Industrial Direct Co. Inc. Class A CLARCOR Inc. AGCO Corp. Graphic Packaging Holding Co. Ryder System Inc. Curtiss-Wright Corp. Jabil Circuit Inc. Teledyne Technologies Inc. Woodward Inc. Watsco Inc. BWX Technologies Inc. MAXIMUS Inc. Landstar System Inc. Euronet Worldwide Inc. Crane Co. HEICO Corp. Class A National Instruments Corp. Deluxe Corp. ITT Inc. Littelfuse Inc.

Shares


193,316 182,620 166,302 174,039 310,509 211,683 244,600 76,958 159,347 128,608 93,090

9,420 9,416 9,305 9,076 8,933 8,908 8,894 8,623 8,398 8,182 8,167

225,166 566,310 229,418

8,122 8,036 7,995

236,052 218,214 176,125 147,105 116,788

7,953 7,897 7,602 7,567 7,546

96,440 88,509 100,065 150,646 73,024 96,687 79,719 61,162

7,394 7,354 7,350 7,204 7,195 6,842 6,837 6,826

97,353 242,452

6,757 6,730

71,847 77,504 109,898

6,638 6,392 6,359

* *

*

*

*

*

*

* * *

* * * * *

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*

*

507,517 85,064 63,539 258,425 49,552 87,973 41,007 147,998 103,217 67,138 78,679 78,936 83,670 184,068 77,537 142,959 35,778

6,334 6,332 6,250 6,117 6,095 6,075 6,074 5,876 5,758 5,727 5,699 5,693 5,681 5,673 5,552 5,514 5,430

*

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*

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IPG Photonics Corp. Kirby Corp. EnerSys Genpact Ltd. Air Lease Corp. Class A Coherent Inc. Chicago Bridge & Iron Co. NV CoreLogic Inc. Terex Corp. World Fuel Services Corp. WESCO International Inc. Belden Inc. Regal Beloit Corp. Colfax Corp. Valmont Industries Inc. Clean Harbors Inc. TransUnion Owens-Illinois Inc. Timken Co. Joy Global Inc. Sanmina Corp. Louisiana-Pacific Corp. Generac Holdings Inc. WageWorks Inc. Esterline Technologies Corp. MasTec Inc. USG Corp. GATX Corp. Kennametal Inc. Tetra Tech Inc. Cardtronics plc Class A Barnes Group Inc. Itron Inc. John Bean Technologies Corp. KLX Inc. KBR Inc. Universal Display Corp. Mueller Industries Inc. Anixter International Inc. Summit Materials Inc. Class A UniFirst Corp. MSA Safety Inc. Applied Industrial Technologies Inc. Vishay Intertechnology Inc. Granite Construction Inc. Silgan Holdings Inc. Cimpress NV ABM Industries Inc. Moog Inc. Class A On Assignment Inc.

Shares


54,877 81,383 68,905 220,673 155,411 38,672

5,417 5,412 5,381 5,371 5,335 5,313

164,421 140,866 164,075 112,395 77,009 66,915 71,154 136,942 34,303 82,567 145,295 257,833 112,154 156,671 117,563 226,137 104,730 58,157

5,220 5,188 5,173 5,160 5,125 5,003 4,927 4,920 4,833 4,595 4,494 4,489 4,452 4,387 4,309 4,281 4,267 4,216

46,940 104,820 138,729 64,618 127,269 91,602 72,230 81,341 60,694

4,187 4,009 4,006 3,979 3,978 3,953 3,942 3,857 3,815

44,226 84,197 226,969 67,196 91,068 44,886

3,801 3,798 3,788 3,783 3,639 3,638

149,097 24,493 50,723

3,547 3,518 3,517

58,943 214,336 63,082 67,607 37,747 84,448 52,030 76,499

3,501 3,472 3,469 3,460 3,458 3,449 3,417 3,378

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Convergys Corp. Knight Transportation Inc. RBC Bearings Inc. Mueller Water Products Inc. Class A LifeLock Inc. Masonite International Corp. Rexnord Corp. Universal Forest Products Inc. CEB Inc. Swift Transportation Co. G&K Services Inc. Class A FTI Consulting Inc. Trex Co. Inc. Apogee Enterprises Inc. AMN Healthcare Services Inc. Brink’s Co. ESCO Technologies Inc. Covanta Holding Corp. NeuStar Inc. Class A Plexus Corp. Watts Water Technologies Inc. Class A Simpson Manufacturing Co. Inc. DigitalGlobe Inc. Astec Industries Inc. Albany International Corp. AAON Inc. Brady Corp. Class A Armstrong World Industries Inc. Ambarella Inc. Headwaters Inc. Comfort Systems USA Inc. Navistar International Corp. Exponent Inc. AZZ Inc. ExlService Holdings Inc. Insperity Inc. Hub Group Inc. Class A Aircastle Ltd. Methode Electronics Inc. Greif Inc. Class A Matson Inc. EnPro Industries Inc. Franklin Electric Co. Inc. Korn/Ferry International Standex International Corp. Atlas Air Worldwide Holdings Inc. Knowles Corp. II-VI Inc.

Shares


137,265 101,769 36,070

3,371 3,363 3,348

244,770 134,808 48,661 162,948

3,258 3,225 3,202 3,192

30,610 51,298 126,857 31,482 67,228 46,779 55,749

3,128 3,109 3,090 3,036 3,031 3,013 2,986

77,162 71,296 51,890 187,896 86,972 53,728

2,967 2,941 2,940 2,931 2,905 2,903

44,263

2,886

65,941 99,670 42,129 61,229 85,610 74,469

2,885 2,856 2,842 2,835 2,829 2,796

66,746 49,955 114,855 80,772 85,619 44,152 41,346 50,746 35,609 57,428 119,684 60,105 48,423 69,159 36,304 62,814 82,390 27,528

2,790 2,704 2,701 2,690 2,686 2,662 2,642 2,560 2,526 2,512 2,495 2,485 2,485 2,448 2,445 2,443 2,425 2,418

45,995 140,350 78,979

2,399 2,345 2,342

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Badger Meter Inc. Forward Air Corp. TopBuild Corp. OSI Systems Inc. CIRCOR International Inc. Argan Inc. American Woodmark Corp. Mobile Mini Inc. Advisory Board Co. Griffon Corp. Altra Industrial Motion Corp. TASER International Inc. AAR Corp. Triumph Group Inc. General Cable Corp. US Ecology Inc. Tutor Perini Corp. Air Transport Services Group Inc. Proto Labs Inc. Aerojet Rocketdyne Holdings Inc. Heartland Express Inc. Alamo Group Inc. Materion Corp. Otter Tail Corp. SPX FLOW Inc. Aegion Corp. Class A Harsco Corp. Smith & Wesson Holding Corp. Fabrinet CBIZ Inc. Huron Consulting Group Inc. RR Donnelley & Sons Co. CTS Corp. EVERTEC Inc. Veeco Instruments Inc. Greenbrier Cos. Inc. Werner Enterprises Inc. Schnitzer Steel Industries Inc. Rogers Corp. MACOM Technology Solutions Holdings Inc. Actuant Corp. Class A TriMas Corp. Imperva Inc. Sturm Ruger & Co. Inc. Benchmark Electronics Inc. Federal Signal Corp. Kaman Corp. Raven Industries Inc. Meritor Inc.

Shares


63,361 49,319 64,170 29,815 34,818 31,925 29,603 72,263 65,615 83,168 58,402 88,467 64,371 80,279 111,569 41,077 72,041

2,341 2,337 2,284 2,269 2,259 2,252 2,228 2,186 2,182 2,179 2,155 2,144 2,127 2,127 2,125 2,019 2,017

126,042 38,325

2,012 1,968

108,992 96,065 25,513 48,953 47,477 59,837 80,308 139,303

1,956 1,956 1,942 1,939 1,937 1,918 1,903 1,895

88,871 46,405 135,676

1,873 1,870 1,859

36,622 111,755 81,005 101,794 61,261 42,148 64,060

1,855 1,824 1,814 1,807 1,786 1,751 1,726

65,911 21,832

1,694 1,677

35,763 63,750 69,729 42,538 30,622 52,808 102,155 32,301 62,669 124,168

1,655 1,654 1,639 1,633 1,614 1,611 1,595 1,580 1,579 1,542


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Quanex Building Products Corp. 75,415 Team Inc. 38,783 Lydall Inc. 24,569 FARO Technologies Inc. 41,719 Builders FirstSource Inc. 135,812 TimkenSteel Corp. 95,379 MYR Group Inc. 39,111 Barrett Business Services Inc. 22,967 Babcock & Wilcox Enterprises Inc. 88,739 Navigant Consulting Inc. 55,902 Tennant Co. 20,523 Cross Country Healthcare Inc. 92,361 Wesco Aircraft Holdings Inc. 96,247 PHH Corp. 94,386 Gibraltar Industries Inc. 34,293 Integer Holdings Corp. 48,258 Marten Transport Ltd. 60,709 ArcBest Corp. 50,454 SPX Corp. 58,387 Kadant Inc. 22,164 TeleTech Holdings Inc. 44,020 AVX Corp. 85,741 US Concrete Inc. 20,352 Essendant Inc. 63,746 Insteel Industries Inc. 37,303 Sykes Enterprises Inc. 44,869 Astronics Corp. 38,080 American Railcar Industries Inc. 28,442 Cubic Corp. 26,806 TriNet Group Inc. 49,676 Daktronics Inc. 117,522 H&E Equipment Services Inc. 53,659 Heidrick & Struggles International Inc. 51,388 Saia Inc. 28,070 LSC Communications Inc. 41,755 Patrick Industries Inc. 15,866 CRA International Inc. 33,014 ManTech International Corp. Class A 28,131 Manitowoc Co. Inc. 198,721 Ennis Inc. 67,365 McGrath RentCorp 29,584 BMC Stock Holdings Inc. 59,333 MTS Systems Corp. 20,104 TrueBlue Inc. 45,845 TTM Technologies Inc. 80,537 Era Group Inc. 63,164

Market Value• ($000) 1,531 1,522 1,520 1,502 1,490 1,476 1,474

*

*

1,472 *

1,472 1,463 1,461

*

1,442

*

*

*

1,439 1,431 1,428 1,421 1,415 1,395 1,385 1,356 1,343 1,340 1,333 1,332 1,329 1,295 1,289

*

*

* *

*

*

1,288 1,285 1,273 1,257

*

*

1,248 1,241 1,239 1,239 1,211 1,208

*

*

*

1,189 1,188 1,169 1,159 1,157 1,140 1,130 1,098 1,072

*

* *

Primoris Services Corp. Lindsay Corp. Boise Cascade Co. Multi-Color Corp. Park-Ohio Holdings Corp. Myers Industries Inc. Franklin Covey Co. Columbus McKinnon Corp. Cass Information Systems Inc. Wabash National Corp. Acacia Research Corp. Donnelley Financial Solutions Inc. Gorman-Rupp Co. Bazaarvoice Inc. Ducommun Inc. Resources Connection Inc. Triton International Ltd. DHI Group Inc. Encore Wire Corp. DMC Global Inc. ICF International Inc. CECO Environmental Corp. Kimball International Inc. Class B Energy Recovery Inc. Continental Building Products Inc. Engility Holdings Inc. Powell Industries Inc. Sun Hydraulics Corp. PGT Innovations Inc. Casella Waste Systems Inc. Class A Lionbridge Technologies Inc. Crawford & Co. Class B AEP Industries Inc. Kforce Inc. Covenant Transportation Group Inc. Class A ARC Document Solutions Inc. NN Inc. GP Strategies Corp. Horizon Global Corp. Black Box Corp. Quad/Graphics Inc. Armstrong Flooring Inc. EnerNOC Inc. NACCO Industries Inc. Class A Viad Corp.

Shares


46,967 14,325 47,499 13,710 24,831 73,394 50,401 37,453

1,070 1,069 1,069 1,064 1,058 1,050 1,016 1,013

13,746 62,957 149,994

1,011 996 975

41,689 30,523 194,361 36,739 47,887 57,826 143,669 20,611 56,197 16,136 62,648

958 945 943 939 922 914 898 893 891 891 874

49,604 84,102

871 870

37,225 25,480 21,617 20,927 72,570

860 859 843 836 831

66,208

822

141,212 64,367 6,927 34,650

819 808 804 800

41,348

800

153,797 40,683 26,686 31,118 47,995 26,926 35,783 118,353

781 775 763 747 732 724 712 710

7,828 15,925

709 702

35


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Inovalon Holdings Inc. Class A 67,666 Landec Corp. 50,064 Aerovironment Inc. 25,328 Kelly Services Inc. Class A 29,434 Kemet Corp. 100,973 DXP Enterprises Inc. 19,247 Crawford & Co. Class A 70,163 Miller Industries Inc. 24,863 Information Services Group Inc. 178,070 Advanced Drainage Systems Inc. 31,243 Landauer Inc. 13,262 Bel Fuse Inc. Class B 20,434 Layne Christensen Co. 57,548 Paylocity Holding Corp. 20,768 United States Lime & Minerals Inc. 8,096 CyberOptics Corp. 23,480 Installed Building Products Inc. 14,815 Kimball Electronics Inc. 32,302 NCI Building Systems Inc. 36,330 Hyster-Yale Materials Handling Inc. 8,749 Thermon Group Holdings Inc. 27,045 Echo Global Logistics Inc. 20,028 PAM Transportation Services Inc. 18,743 Celadon Group Inc. 67,068 Kratos Defense & Security Solutions Inc. 63,913 Ply Gem Holdings Inc. 29,049 Spartan Motors Inc. 51,015 HEICO Corp. 5,877 Park Electrochemical Corp. 24,128 NVE Corp. 6,264 RPX Corp. 41,091 Graham Corp. 19,985 Lawson Products Inc. 18,270 Astronics Corp. Class B 12,266 Vishay Precision Group Inc. 21,317 Vicor Corp. 25,998 Douglas Dynamics Inc. 11,652 Electro Scientific Industries Inc. 64,830 Eastern Co. 18,360 Global Brass & Copper Holdings Inc. 10,919 Great Lakes Dredge & Dock Corp. 88,787 Novanta Inc. 17,361 LSI Industries Inc. 37,390


Shares *,^

697 691 680 675 669 669 664 658

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*

648 *

644 638 631 626 623

* * * * * *

613 613

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*

612 588 569

* *

*

558 *

516 502 *

487 480 *

473 472 472 453 450 447 444 443 435 413 403 393 392

* *

*

*

* * * * * *

384 384

*

375

*

373 365 364

*

*

*

CUI Global Inc. 51,891 Commercial Vehicle Group Inc. 64,688 Northwest Pipe Co. 20,617 Ameresco Inc. Class A 64,346 Heritage-Crystal Clean Inc. 21,897 InnerWorkings Inc. 34,750 Hardinge Inc. 30,403 Control4 Corp. 32,844 Mesa Laboratories Inc. 2,725 Houston Wire & Cable Co. 50,932 CDI Corp. 43,830 Goldfield Corp. 62,224 Ballantyne Strong Inc. 39,388 Orion Group Holdings Inc. 31,178 YRC Worldwide Inc. 23,127 Everi Holdings Inc. 140,729 Arotech Corp. 86,685 ServiceSource International Inc. 51,463 Maxwell Technologies Inc. 56,916 Intevac Inc. 30,977 Roadrunner Transportation Systems Inc. 25,355 American Superconductor Corp. 35,215 CAI International Inc. 28,929 Allied Motion Technologies Inc. 11,315 Mistras Group Inc. 9,290 Hurco Cos. Inc. 6,859 LB Foster Co. Class A 16,557 Sterling Construction Co. Inc. 25,390 Cenveo Inc. 30,439 ModusLink Global Solutions Inc. 142,643 Advanced Disposal Services Inc. 9,337 Milacron Holdings Corp. 10,582 BlueLinx Holdings Inc. 25,879 PRGX Global Inc. 32,040 TRC Cos. Inc. 17,053 ClearSign Combustion Corp. 50,569 Willis Lease Finance Corp. 6,584 IES Holdings Inc. 8,711 Evolent Health Inc. Class A 11,157 UFP Technologies Inc. 5,749 Cotiviti Holdings Inc. 4,020 International Seaways Inc. 9,665 StarTek Inc. 15,981 National Research Corp. Class B 3,096 Broadwind Energy Inc. 31,113 Echelon Corp. 26,683

Market Value• ($000) 360 358 355 354 344 342 337 335 334 331 324 317 315 310 307 305 303 292 291 265 263 260 251 242 239 227 225 215 213 208 207 197 193 189 181 172 168 167 165 146 138 136 135 129 126 125


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Universal Technical Institute Inc. Sparton Corp. VSE Corp. Overseas Shipholding Group Inc. Class A Radiant Logistics Inc. Supreme Industries Inc. Class A Hill International Inc. AMCON Distributing Co. Innovative Solutions & Support Inc. FreightCar America Inc. Nuvectra Corp. Fuel Tech Inc. LMI Aerospace Inc. Asure Software Inc. Frequency Electronics Inc. USA Truck Inc. Hudson Global Inc. Perma-Fix Environmental Services Lincoln Educational Services Corp. Air T Inc. Synthesis Energy Systems Inc. GMS Inc. Aspen Aerogels Inc. Twin Disc Inc. Xerium Technologies Inc. Key Technology Inc. Richardson Electronics Ltd. Ultralife Corp. IEC Electronics Corp. Hudson Technologies Inc. National Research Corp. Class A Multi Packaging Solutions International Ltd. MINDBODY Inc. Class A Bel Fuse Inc. Class A Omega Flex Inc. NV5 Global Inc. Gencor Industries Inc. Textainer Group Holdings Ltd. Orion Energy Systems Inc. American Electric Technologies Inc. Mattersight Corp. Capstone Turbine Corp. MicroVision Inc. Applied DNA Sciences Inc.

40,610 4,933 2,950

Market Value• ($000) 118 118 115

* *

*

28,997 28,000

111 109

6,861 24,339 900

108 106 104

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31,038 6,512 18,420 71,059 9,475 9,398 7,273 8,258 48,253

103 97 93 82 82 80 79 72 66

*

15,311

60

30,118 2,500

58 57

55,859 1,900 13,412 3,509 8,965 4,289 7,894 9,678 13,361 5,527

56 56 55 51 50 50 50 48 48 44

2,202

42

2,900 1,814 1,477 666 1,100 2,175

41 39 37 37 37 34

4,245 13,216

32 29

17,847 6,659 35,895 17,717 11,980

28 25 24 22 22

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Greif Inc. Class B AeroCentury Corp. Revolution Lighting Technologies Inc. Patriot Transportation Holding Inc. Turtle Beach Corp. Digital Ally Inc. Power Solutions International Inc. Industrial Services of America Inc. Art’s-Way Manufacturing Co. Inc. Energy Focus Inc. Research Frontiers Inc. Eagle Bulk Shipping Inc. Universal Logistics Holdings Inc. Rand Logistics Inc. Odyssey Marine Exploration Inc. Ecology and Environment Inc. Sharps Compliance Corp. American DG Energy Inc. Rubicon Technology Inc. Wireless Telecom Group Inc. Sypris Solutions Inc. Chicago Rivet & Machine Co. CTPartners Executive Search Inc.

Shares


318 2,175

21 21

3,385

19

794 11,768 3,600

18 15 15

1,862

14

5,080

9

2,553 1,890 4,224 1,145

9 8 8 7

360 6,796

6 6

1,433

5

450 1,172 15,120 6,096

5 4 4 4

1,403 1,594

3 1

28

1

74,003

— 4,817,213

Oil & Gas (7.0%) Exxon Mobil Corp. Chevron Corp. Schlumberger Ltd. ConocoPhillips EOG Resources Inc. Occidental Petroleum Corp. Halliburton Co. Kinder Morgan Inc. Anadarko Petroleum Corp. Phillips 66 Valero Energy Corp. Pioneer Natural Resources Co. Spectra Energy Corp. Baker Hughes Inc. Marathon Petroleum Corp. Apache Corp. Williams Cos. Inc.

6,574,966 2,993,265 2,206,058 1,966,561 915,715

593,456 352,307 185,199 98,603 92,579

1,212,966 1,302,154 3,013,192 886,234 701,081 719,051

86,400 70,434 62,403 61,797 60,580 49,126

269,286 1,113,439 672,526 839,561 602,548 1,192,107

48,490 45,751 43,694 42,272 38,244 37,122

37


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Devon Energy Corp. 789,733 Concho Resources Inc. 232,041 Hess Corp. 452,491 Noble Energy Inc. 682,168 Marathon Oil Corp. 1,345,321 National Oilwell Varco Inc. 600,210 Cimarex Energy Co. 150,887 EQT Corp. 274,373 Cabot Oil & Gas Corp. 738,891 Tesoro Corp. 188,627 Targa Resources Corp. 272,916 Diamondback Energy Inc. 140,650 Range Resources Corp. 392,546 Cheniere Energy Inc. 318,769 Newfield Exploration Co. 315,699 FMC Technologies Inc. 359,085 Helmerich & Payne Inc. 163,266 OGE Energy Corp. 317,783 Chesapeake Energy Corp. 1,408,985 HollyFrontier Corp. 280,740 Parsley Energy Inc. Class A 255,418 Energen Corp. 154,356 Transocean Ltd. 579,523 Southwestern Energy Co. 785,066 Core Laboratories NV 70,134 Antero Resources Corp. 349,058 Murphy Oil Corp. 260,199 WPX Energy Inc. 547,827 Weatherford International plc 1,555,501 Continental Resources Inc. 148,917 RSP Permian Inc. 161,064 Nabors Industries Ltd. 428,270 QEP Resources Inc. 381,226 PDC Energy Inc. 89,296 Patterson-UTI Energy Inc. 223,259 Oasis Petroleum Inc. 374,782 Rice Energy Inc. 257,047 Whiting Petroleum Corp. 450,889 Gulfport Energy Corp. 245,256 SM Energy Co. 153,098 Western Refining Inc. 129,850 Callon Petroleum Co. 319,204 PBF Energy Inc. Class A 171,750 Ensco plc Class A 480,932 Oceaneering International Inc. 156,557 SemGroup Corp. Class A 104,967 Superior Energy Services Inc. 242,436 First Solar Inc. 121,870 Rowan Cos. plc Class A 199,588 Carrizo Oil & Gas Inc. 98,577

Market Value• ($000) 36,067 30,769 28,186 25,963 23,288 22,472 20,506 17,944 17,260 16,495 15,302 14,214 13,488 13,207 12,786 12,758 12,637 10,630 9,891 9,197 9,001 8,902 8,542 8,494 8,419 8,255 8,100 7,982

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*

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7,762

* *

7,675 7,187 7,024 7,018 6,481 6,010 5,674 5,488 5,420 5,307 5,279 4,915 4,906 4,788 4,675

*

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4,416 4,382 4,092 3,911 3,770 3,682

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Matador Resources Co. Dril-Quip Inc. NOW Inc. Laredo Petroleum Inc. Oil States International Inc. MRC Global Inc. McDermott International Inc. Denbury Resources Inc. Synergy Resources Corp. RPC Inc. SEACOR Holdings Inc. Green Plains Inc. Delek US Holdings Inc. Noble Corp. plc Forum Energy Technologies Inc. Pattern Energy Group Inc. Class A California Resources Corp. Archrock Inc. Clayton Williams Energy Inc. Chart Industries Inc. Diamond Offshore Drilling Inc. REX American Resources Corp. Newpark Resources Inc. Exterran Corp. Unit Corp. Centennial Resource Development Inc. Class A Bristow Group Inc. Matrix Service Co. Atwood Oceanics Inc. Abraxas Petroleum Corp. Renewable Energy Group Inc. Alon USA Energy Inc. CVR Energy Inc. Bill Barrett Corp. Natural Gas Services Group Inc. Flotek Industries Inc. Dawson Geophysical Co. Green Brick Partners Inc. Helix Energy Solutions Group Inc. Par Pacific Holdings Inc. Gulf Island Fabrication Inc. ION Geophysical Corp. TETRA Technologies Inc. Pacific Ethanol Inc.

Shares


142,165 59,772 162,708 229,618 82,535 146,400

3,662 3,589 3,331 3,247 3,219 2,966

396,541 750,644 302,707 121,757 33,168 84,876 97,917 395,310

2,930 2,762 2,697 2,412 2,364 2,364 2,357 2,340

102,406

2,253

110,923 96,624 139,341

2,106 2,057 1,839

14,884 49,196

1,775 1,772

100,021

1,770

16,413 214,220 67,209 53,972

1,621 1,607 1,606 1,450

72,180 68,889 60,169 102,452 516,613

1,423 1,411 1,366 1,345 1,328

130,165 108,928 48,792 169,565

1,263 1,240 1,239 1,185

34,346 116,731 121,498 89,224

1,104 1,096 977 897

99,301 57,959 62,370 110,920 129,247 65,334

876 843 742 666 649 621


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Independence Contract Drilling Inc. Adams Resources & Energy Inc. Parker Drilling Co. SunPower Corp. Class A Northern Oil and Gas Inc. Tesco Corp. Hornbeck Offshore Services Inc. EXCO Resources Inc. Approach Resources Inc. Cobalt International Energy Inc. Resolute Energy Corp. Extraction Oil & Gas Inc. Eclipse Resources Corp. Evolution Petroleum Corp. Contango Oil & Gas Co. EP Energy Corp. Class A Gastar Exploration Inc. Jones Energy Inc. Class A Panhandle Oil and Gas Inc. Class A VAALCO Energy Inc. Sanchez Energy Corp. PHI Inc. Trecora Resources Plug Power Inc. Bonanza Creek Energy Inc. Amyris Inc. TerraVia Holdings Inc. Ring Energy Inc. Harvest Natural Resources Inc. Mitcham Industries Inc. PetroQuest Energy Inc. Mammoth Energy Services Inc. Enphase Energy Inc. FuelCell Energy Inc. CARBO Ceramics Inc. Geospace Technologies Corp. Pioneer Energy Services Corp. Comstock Resources Inc. Rex Energy Corp. Zion Oil & Gas Inc. Stone Energy Corp. MagneGas Corp. Torchlight Energy Resources Inc. PHI Inc. Ideal Power Inc.


91,619

614

15,381 229,846 87,857 192,810 61,537

610 598 581 530 508

69,410 534,834 136,662

501 467 458

365,830 10,570 20,802 155,327 40,190 42,562 56,584 210,656 64,443

446 435 417 415 402 398 371 327 322

13,637 280,966 30,640 15,304 18,796 201,234 234,426 300,384 162,737 13,495

321 292 277 276 260 241 239 219 187 175

27,858 41,316 46,985

172 171 156

* *

7,140 90,916 47,468 6,000

109 92 83 63

1,988

40

3,900 2,299 19,900 6,828 1,167 17,025

27 23 9 9 8 8

3,977 229 791

5 4 3

* *

Yuma Energy Inc. Aemetis Inc. Willbros Group Inc. PrimeEnergy Corp. Triangle Petroleum Corp.

Shares


637 1,072 190 10 600

2 1 1 1 — 2,611,315

Other (0.0%)2 * Leap Wireless International Inc. CVR * Dyax Corp CVR Expire 12/31/2019 * Adolor Corp. Rights Exp. 07/01/2019 * Tobira Therapeutics Inc. CV Rights * Chelsea Therapeutics International Ltd. CVR * Ambit Biosciences Corp. CVR Rights * Alexza Pharmaceuticals Inc CVR Bagger Dave’s Burger Tavern Inc. * Durata Therapeutics Inc CVR Expire 12/31/2018 * Clinical Data Contingent Value Rights * Gerber Scientific Inc. CVR *,^ Biosante Pharmaceutical Inc CVR ClearSign Combustion Corp Rights Expire 1/13/2017 * Cubist Pharmaceuticals, Inc. CVR * Allen Organ Co. Escrow Shares

134,187

338

266,416

295

126,930

66

4,500

62

288,407

32

29,736

18

80,591

3

34,766

2

800

1

29,879 53,384

— —

156,953

—

50,569

—

16,200

—

283

— 817

Technology (16.2%) Apple Inc. Microsoft Corp. * Facebook Inc. Class A * Alphabet Inc. Class A * Alphabet Inc. Intel Corp. Cisco Systems Inc. International Business Machines Corp. Oracle Corp. QUALCOMM Inc. Texas Instruments Inc. Broadcom Ltd. NVIDIA Corp. * Adobe Systems Inc.

8,032,158 11,712,171 3,711,680 469,480 465,102 7,513,570 7,959,309

930,285 727,794 427,029 372,039 358,975 272,517 240,530

1,356,995 4,882,424 2,340,702 1,585,711 598,562 811,962 787,424

225,248 187,729 152,614 115,709 105,808 86,669 81,065

39


*

*

*

*

*

*

*

*

*

*

*

*

* *

*

*

* * *

*

*

* *

40

salesforce.com Inc. Hewlett Packard Enterprise Co. Applied Materials Inc. Cognizant Technology Solutions Corp. Class A Yahoo! Inc. Intuit Inc. HP Inc. Corning Inc. Micron Technology Inc. Analog Devices Inc. Western Digital Corp. Lam Research Corp. Autodesk Inc. Xilinx Inc. Linear Technology Corp. Symantec Corp. Cerner Corp. Skyworks Solutions Inc. Motorola Solutions Inc. Microchip Technology Inc. Citrix Systems Inc. Harris Corp. Red Hat Inc. KLA-Tencor Corp. Dell Technologies Inc. Class V ServiceNow Inc. Seagate Technology plc Akamai Technologies Inc. Maxim Integrated Products Inc. Palo Alto Networks Inc. Juniper Networks Inc. CA Inc. NetApp Inc. F5 Networks Inc. Twitter Inc. CDK Global Inc. Advanced Micro Devices Inc. Synopsys Inc. CDW Corp. Computer Sciences Corp. ANSYS Inc. Workday Inc. Class A Gartner Inc. Leidos Holdings Inc. Cadence Design Systems Inc. CommScope Holding Co. Inc. VeriSign Inc. Splunk Inc.

Shares


1,051,349

71,975

* *

2,638,816 1,716,253

61,062 55,383

963,830 1,360,161 386,016 2,716,172 1,510,991 1,648,710 488,302 452,716 258,279 333,768 402,660 380,975 988,567 482,525 297,617 264,811 342,116 235,025 198,135 287,691 247,775

54,003 52,597 44,241 40,308 36,672 36,140 35,460 30,762 27,308 24,702 24,309 23,754 23,617 22,857 22,220 21,950 21,947 20,990 20,303 20,052 19,495

354,211 250,121 466,407 263,674

19,471 18,594 17,803 17,582

450,402 138,199 578,065 499,214 442,056 105,267 899,460 238,516

17,372 17,282 16,336 15,860 15,591 15,234 14,661 14,237

1,249,253 240,409 259,478 223,110 138,739 193,774 124,890 238,860

14,167 14,150 13,516 13,257 12,832 12,807 12,623 12,215

*

465,263

11,734

*

306,968 144,319 211,437

11,419 10,978 10,815

*

* *

* *,^

*

*

* * * * *

* * *

*

*

* * * *

*

*

*

Qorvo Inc. Microsemi Corp. ARRIS International plc PTC Inc. Marvell Technology Group Ltd. ON Semiconductor Corp. VMware Inc. Class A CSRA Inc. Teradyne Inc. Garmin Ltd. NCR Corp. Brocade Communications Systems Inc. Ultimate Software Group Inc. SS&C Technologies Holdings Inc. IAC/InterActiveCorp Tyler Technologies Inc. Fortinet Inc. Aspen Technology Inc. Nuance Communications Inc. athenahealth Inc. Arista Networks Inc. Cavium Inc. Mentor Graphics Corp. Veeva Systems Inc. Class A Manhattan Associates Inc. j2 Global Inc. Fair Isaac Corp. SYNNEX Corp. Guidewire Software Inc. Teradata Corp. Cirrus Logic Inc. ViaSat Inc. Cypress Semiconductor Corp. DST Systems Inc. Ciena Corp. Finisar Corp. MKS Instruments Inc. InterDigital Inc. EPAM Systems Inc. Blackbaud Inc. CACI International Inc. Class A Intersil Corp. Class A Integrated Device Technology Inc. Tech Data Corp. Science Applications International Corp.

Shares


203,516 180,068 303,206 182,955

10,731 9,718 9,136 8,465

608,143 661,037 106,322 260,133 321,877 165,205 196,945

8,435 8,435 8,371 8,283 8,176 8,011 7,988

639,073

7,982

43,716

7,972

271,831 117,283 52,121 233,541 127,087

7,774 7,599 7,441 7,034 6,949

456,328 62,537 66,040 100,954 170,140

6,799 6,577 6,391 6,304 6,276

152,546 113,848 72,603 49,221 47,394 115,277 207,442 99,382 84,720

6,209 6,037 5,939 5,868 5,736 5,687 5,636 5,619 5,610

486,095 51,881 219,679 175,174 85,431 54,751 76,872 75,549

5,561 5,559 5,362 5,303 5,075 5,001 4,944 4,835

38,806 216,223

4,824 4,822

202,989 56,186

4,782 4,758

55,994

4,748


Shares

* * * * * * * * * *

* *

* * *

* * * * * * * *

* * *

*

* *

* *

*

*

Monolithic Power Systems Inc. Pitney Bowes Inc. Proofpoint Inc. NetScout Systems Inc. Medidata Solutions Inc. Cree Inc. Ellie Mae Inc. Silicon Laboratories Inc. Entegris Inc. TiVo Corp. Dycom Industries Inc. Tableau Software Inc. Class A LogMeIn Inc. Verint Systems Inc. Advanced Energy Industries Inc. Tessera Holding Corp. Square Inc. ACI Worldwide Inc. Cornerstone OnDemand Inc. EchoStar Corp. Class A Lumentum Holdings Inc. CommVault Systems Inc. Semtech Corp. Paycom Software Inc. Electronics For Imaging Inc. Synaptics Inc. VeriFone Systems Inc. CSG Systems International Inc. Progress Software Corp. Insight Enterprises Inc. Viavi Solutions Inc. Allscripts Healthcare Solutions Inc. Power Integrations Inc. MicroStrategy Inc. Class A NIC Inc. Cabot Microelectronics Corp. GoDaddy Inc. Class A FireEye Inc. Plantronics Inc. Zendesk Inc. Ubiquiti Networks Inc. Ebix Inc. Cogent Communications Holdings Inc. NETGEAR Inc. Diebold Nixdorf Inc. BroadSoft Inc.


57,938 295,366 63,470 139,129 86,784 160,646 49,751 62,803 225,442 185,726 47,554

4,747 4,487 4,484 4,383 4,311 4,239 4,163 4,082 4,035 3,882 3,818

90,518 38,221 98,971

3,815 3,690 3,489

63,081 77,691 250,979 187,102

3,454 3,434 3,421 3,396

80,239 65,950 85,304 63,886 103,997 71,724 74,294 58,682 177,230

3,395 3,389 3,297 3,284 3,281 3,263 3,259 3,144 3,142

64,458 97,216 75,998 372,798

3,120 3,104 3,073 3,049

298,145 43,850 15,002 122,699

3,044 2,975 2,961 2,933

46,241 83,277 243,455 52,858 134,620 48,625 48,686

2,921 2,911 2,897 2,895 2,854 2,811 2,778

* *

* *,^ *

* *

* * * * * * * * * *

* * *

* * * * * * *

*

* * * * * * * * *

*

66,421 50,144 108,053 63,213

2,747 2,725 2,718 2,608

*

*

Synchronoss Technologies Inc. Rambus Inc. HubSpot Inc. Brooks Automation Inc. Gigamon Inc. 3D Systems Corp. Premier Inc. Class A Pegasystems Inc. Amkor Technology Inc. Bottomline Technologies de Inc. ADTRAN Inc. Callidus Software Inc. Diodes Inc. Infinera Corp. RealPage Inc. FormFactor Inc. CEVA Inc. SPS Commerce Inc. Envestnet Inc. Inphi Corp. Lattice Semiconductor Corp. InvenSense Inc. Applied Micro Circuits Corp. ScanSource Inc. Inteliquent Inc. Web.com Group Inc. Blucora Inc. Intralinks Holdings Inc. Ixia Oclaro Inc. Axcelis Technologies Inc. Boingo Wireless Inc. West Corp. Box Inc. Hackett Group Inc. Actua Corp. PROS Holdings Inc. 2U Inc. Cray Inc. Carbonite Inc. MaxLinear Inc. CalAmp Corp. Super Micro Computer Inc. Mercury Systems Inc. American Software Inc. Class A Alpha & Omega Semiconductor Ltd. RingCentral Inc. Class A Syntel Inc. Forrester Research Inc. Harmonic Inc.

Shares


64,979 176,528 50,761 135,614 50,562 170,940 73,539 61,494 202,226

2,489 2,431 2,386 2,315 2,303 2,272 2,233 2,214 2,133

82,259 91,954 120,578 78,721 230,377 64,220 170,109 56,631 27,120 52,441 41,388

2,058 2,055 2,026 2,021 1,956 1,927 1,905 1,900 1,895 1,849 1,847

247,837 136,293 210,860 42,205 74,285 77,686 110,358 115,740 93,151 165,576 100,792 119,567 58,298 103,926 77,701 96,675 61,578 43,851 62,701 78,275 57,114 84,164 42,061 38,058

1,824 1,743 1,740 1,703 1,703 1,643 1,628 1,565 1,500 1,482 1,467 1,458 1,443 1,440 1,372 1,353 1,325 1,322 1,298 1,284 1,245 1,220 1,180 1,150

107,424

1,110

51,990 53,665 54,526 23,827 200,460

1,106 1,105 1,079 1,023 1,002

41


* * * *,^ * * * *

* * * * * *

*

* ^

* * * *

* * * * * *,^ *,^ * * * * * * * * * * * *

* *

* *

42

Cohu Inc. Digi International Inc. Shutterstock Inc. AXT Inc. Gogo Inc. Unisys Corp. Qualys Inc. Quality Systems Inc. RigNet Inc. Monotype Imaging Holdings Inc. EMCORE Corp. Exar Corp. New Relic Inc. Extreme Networks Inc. Brightcove Inc. Virtusa Corp. Loral Space & Communications Inc. Endurance International Group Holdings Inc. Calix Inc. Computer Programs & Systems Inc. Concurrent Computer Corp. Perficient Inc. CommerceHub Inc. Limelight Networks Inc. Ultratech Inc. IXYS Corp. Photronics Inc. Agilysys Inc. LivePerson Inc. Guidance Software Inc. iPass Inc. Acacia Communications Inc. Nutanix Inc. Q2 Holdings Inc. DSP Group Inc. Immersion Corp. ChannelAdvisor Corp. Xcerra Corp. MeetMe Inc. A10 Networks Inc. Benefitfocus Inc. ePlus Inc. Aware Inc. Alarm.com Holdings Inc. VASCO Data Security International Inc. Match Group Inc. VOXX International Corp. Class A Tangoe Inc. Vectrus Inc.

Shares


70,602 69,803 20,021 197,793 99,596 60,831 28,095 67,426 37,974

981 960 951 949 918 909 889 887 879

43,699 99,258 79,738 28,985 160,328 97,508 31,059

867 864 860 819 806 785 780

18,879

775

83,287 95,551

775 736

30,079 130,334 39,401 45,197 268,583 28,022 55,443 56,556 61,616 82,442 87,223 366,728 9,646 22,355 20,364 44,399 53,846 39,553 70,672 109,230 64,299 17,739 4,524 81,777 17,650

710 697 689 679 677 672 660 639 638 622 618 605 596 594 587 579 572 568 540 539 534 527 521 499 491

33,228 26,395

454 451

95,985 55,766 17,781

451 439 424

* * * *,^ * * * * * * * * * * * * * * * * *

*

*

* *

* * * * *

* * * * * * *

*

* * * *

*

Comtech Telecommunications Corp. Nimble Storage Inc. Pure Storage Inc. Class A Nanometrics Inc. Twilio Inc. Class A KVH Industries Inc. Datalink Corp. Digimarc Corp. Jive Software Inc. Aviat Networks Inc. Barracuda Networks Inc. CommerceHub Inc. Class A PC Connection Inc. Mitek Systems Inc. Edgewater Technology Inc. PDF Solutions Inc. Rudolph Technologies Inc. Amtech Systems Inc. Rightside Group Ltd. Kopin Corp. KEYW Holding Corp. ShoreTel Inc. QAD Inc. Class A Internap Corp. Great Elm Capital Group Inc. Zix Corp. Computer Task Group Inc. Rosetta Stone Inc. Amber Road Inc. LRAD Corp. Quantum Corp. Icad Inc. Clearfield Inc. BSQUARE Corp. Castlight Health Inc. Class B Five9 Inc. Vocera Communications Inc. Sigma Designs Inc. Telenav Inc. Ciber Inc. NeoPhotonics Corp. GSI Technology Inc. Preformed Line Products Co. Simulations Plus Inc. Lantronix Inc. Systemax Inc. Park City Group Inc. Pendrell Corp. Varonis Systems Inc. Covisint Corp. PC-Tel Inc. Exa Corp.

Shares


35,703 52,704 35,973 16,014 13,720 32,929 33,446 12,033 82,246 25,444 16,189 22,717 11,879 53,920 43,518 14,264 12,420 67,173 34,384 98,044 22,339 34,733 8,141 157,326 64,026 45,518 51,182 24,171 23,001 119,396 242,388 60,331 9,367 32,490

423 417 407 401 396 389 377 361 358 353 347 341 334 332 326 322 290 285 284 278 263 248 247 242 240 225 215 215 209 204 202 195 194 190

38,089 13,269 10,161 30,522 25,963 268,615 15,454 26,114

189 188 188 183 183 170 167 162

2,778 16,404 89,562 17,314 11,753 21,573 5,433 74,854 25,151 8,672

161 158 152 152 149 146 146 142 135 133


Shares * *

* *

* * *,^ * * *

* *

* *,^ * * * * * *

* * * * * * * * * *

* * * *

* * *

* * * *

* *

Datawatch Corp. 21,298 Silver Spring Networks Inc. 8,015 NCI Inc. Class A 7,496 eGain Corp. 49,676 Aerohive Networks Inc. 17,209 Evolving Systems Inc. 21,792 Imation Corp. 98,843 CVD Equipment Corp. 8,553 FalconStor Software Inc. 164,416 Hortonworks Inc. 8,899 Synacor Inc. 23,769 Support.com Inc. 80,043 ClearOne Inc. 5,669 RELM Wireless Corp. 13,400 Apptio Inc. Class A 3,213 MobileIron Inc. 15,800 CSP Inc. 5,391 Everbridge Inc. 3,071 VirnetX Holding Corp. 25,600 GigPeak Inc. 21,882 Impinj Inc. 1,520 NetSol Technologies Inc. 9,891 GSE Systems Inc. 14,462 Appfolio Inc. 2,120 Quantenna Communications Inc. 2,550 QuickLogic Corp. 32,504 Pixelworks Inc. 15,645 PAR Technology Corp. 7,772 Seachange International Inc. 18,579 Mastech Digital Inc. 5,931 Coupa Software Inc. 1,530 Identiv Inc. 11,839 ID Systems Inc. 6,809 Inuvo Inc. 17,600 ADDvantage Technologies Group Inc. 14,730 Intermolecular Inc. 25,996 Numerex Corp. Class A 3,305 Ultra Clean Holdings Inc. 2,430 Blackline Inc. 762 QAD Inc. Class B 597 Rapid7 Inc. 1,210 DASAN Zhone Solutions Inc. 13,100 Westell Technologies Inc. Class A 18,333 TransAct Technologies Inc. 1,540 Workiva Inc. 646 TransEnterix Inc. 6,030 Key Tronic Corp. 850 Smith Micro Software Inc. 3,520 Communications Systems Inc. 1,077 MoSys Inc. 19,562 inTEST Corp. 900

Market Value• ($000) 117 107 105 104 98 89 81 74 74 74 74 69 65 64 60 59 57 57 56 55 54 51 51 51 46 45 44 43 43 40 38 38 37 29 26 25 24 24 21 15 15 13 12 10 9 8 7 6 5 4 4

* * * * *

ARC Group Worldwide Inc. ParkerVision Inc. ARI Network Services Inc. Rocket Fuel Inc. Netlist Inc.

Shares


579 1,083 100 228 100

3 2 1 — — 6,034,111

Telecommunications (2.4%) AT&T Inc. 9,737,171 Verizon Communications Inc. 6,463,968 * T-Mobile US Inc. 457,252 * Level 3 Communications Inc. 456,681 CenturyLink Inc. 867,403 * SBA Communications Corp. Class A 197,924 *,^ Sprint Corp. 949,457 * Zayo Group Holdings Inc. 231,756 ^ Frontier Communications Corp. 1,866,115 Telephone & Data Systems Inc. 146,886 * 8x8 Inc. 178,080 Cincinnati Bell Inc. 101,003 Shenandoah Telecommunications Co. 74,708 ATN International Inc. 24,843 Consolidated Communications Holdings Inc. 72,284 EarthLink Holdings Corp. 277,387 * Vonage Holdings Corp. 214,781 Spok Holdings Inc. 68,038 * General Communication Inc. Class A 72,138 * United States Cellular Corp. 30,674 Windstream Holdings Inc. 168,418 * Globalstar Inc. 674,680 * Iridium Communications Inc. 77,040 IDT Corp. Class B 39,436 *,^ Straight Path Communications Inc. Class B 20,258 * FairPoint Communications Inc. 33,280 * Alaska Communications Systems Group Inc. 357,788 * GTT Communications Inc. 16,588 * Lumos Networks Corp. 26,673 * ORBCOMM Inc. 33,489 * HC2 Holdings Inc. 32,201 * Hawaiian Telcom Holdco Inc. 6,486

414,122 345,047 26,297 25,738 20,627 20,438 7,994 7,615 6,307 4,241 2,547 2,257 2,039 1,991

1,941 1,564 1,471 1,412 1,403 1,341 1,234 1,066 740 731

687 622 587 477 417 277 191 161

43


* *

pdvWireless Inc. Pareteum Corp.

Shares


5,800 214,438

131 26 903,739

Utilities (3.1%) NextEra Energy Inc. Duke Energy Corp. Southern Co. Dominion Resources Inc. Exelon Corp. American Electric Power Co. Inc. PG&E Corp. Sempra Energy Edison International PPL Corp. Consolidated Edison Inc. Public Service Enterprise Group Inc. Xcel Energy Inc. WEC Energy Group Inc. DTE Energy Co. Eversource Energy FirstEnergy Corp. Entergy Corp. American Water Works Co. Inc. Ameren Corp. ONEOK Inc. CMS Energy Corp. CenterPoint Energy Inc. SCANA Corp. Pinnacle West Capital Corp. Alliant Energy Corp. Westar Energy Inc. Class A UGI Corp. Atmos Energy Corp. AES Corp. NiSource Inc. Great Plains Energy Inc. Aqua America Inc. National Fuel Gas Co. Vectren Corp. * Calpine Corp. IDACORP Inc. WGL Holdings Inc. NRG Energy Inc.

44

761,296 1,094,053 1,554,291 993,773 1,463,498

90,944 84,920 76,456 76,113 51,940

780,884 801,818 396,645 517,413 1,076,847 483,447

49,164 48,727 39,918 37,249 36,667 35,620

803,427 806,704 501,605 285,159 503,744 675,527 284,334

35,254 32,833 29,419 28,091 27,822 20,921 20,890

282,620 385,439 334,314 444,553 650,074 204,317

20,450 20,220 19,193 18,502 16,018 14,972

* *

*

176,903 361,159

13,804 13,684

225,572 275,696 165,239 1,048,944 512,699 341,418 282,015 128,379 131,775 571,225 80,163 81,206 501,472

12,711 12,704 12,253 12,189 11,351 9,338 8,472 7,271 6,872 6,529 6,457 6,194 6,148

*,^

* * *

* *,^

Portland General Electric Co. Hawaiian Electric Industries Inc. Southwest Gas Corp. ONE Gas Inc. Black Hills Corp. ALLETE Inc. New Jersey Resources Corp. Spire Inc. NorthWestern Corp. PNM Resources Inc. South Jersey Industries Inc. Avista Corp. Avangrid Inc. MGE Energy Inc. Ormat Technologies Inc. El Paso Electric Co. American States Water Co. Northwest Natural Gas Co. California Water Service Group Empire District Electric Co. SJW Group Chesapeake Utilities Corp. Dynegy Inc. TerraForm Power Inc. Class A Connecticut Water Service Inc. Atlantic Power Corp. Middlesex Water Co. Unitil Corp. Cadiz Inc. York Water Co. Artesian Resources Corp. Class A Delta Natural Gas Co. Inc. Genie Energy Ltd. Class B US Geothermal Inc. Pure Cycle Corp. Sunrun Inc. Gas Natural Inc. AquaVenture Holdings Ltd. Vivint Solar Inc.

Shares


141,459

6,129

172,610 71,770 83,054 83,503 78,840

5,708 5,499 5,312 5,122 5,061

137,031 69,225 76,851 126,862 126,340 101,689 98,447 55,268 63,198 64,573 59,155 44,136

4,865 4,469 4,371 4,351 4,256 4,067 3,729 3,609 3,389 3,003 2,695 2,639

77,717 70,092 35,328 25,269 190,182

2,635 2,389 1,978 1,692 1,609

108,165

1,386

23,109 323,254 15,707 14,773 38,851 12,418

1,291 808 674 670 486 474

10,299 8,602 41,816 45,031 27,648 16,950 4,059 1,715 13,200

329 252 240 184 152 90 51 42 34 1,174,020

Total Common Stocks (Cost $22,408,631)

37,130,714


Coupon

Maturity Date

Face Amount ($000)


0.000%

2/19/18

24

15

Convertible Bonds (0.0%) Catalyst Biosciences Inc. Cvt. Total Convertible Bonds (Cost $0)

15 Shares

Temporary Cash Investments (0.6%)1 Money Market Fund (0.6%) 3,4 Vanguard Market Liquidity Fund, 0.823%

2,186,783

218,700

Face Amount ($000) U.S. Government and Agency Obligations (0.0%) United States Treasury Bill, 0.320%, 1/26/17 5 United States Treasury Bill, 0.310%, 2/2/17 5 United States Treasury Bill, 0.462%, 2/9/17 5

2,100 4,000 6,200

2,099 3,999 6,197 12,295

Total Temporary Cash Investments (Cost $230,987) Total Investments (100.1%) (Cost $22,639,618)

230,995 37,361,724

Other Assets and Liabilities (-0.1%) Other Assets Receivables for Investment Securities Sold Receivables for Accrued Income Receivables for Capital Shares Issued Other Assets

250 48,536 46,216 1,487

Total Other Assets

96,489

Liabilities Payables for Investment Securities Purchased Collateral for Securities on Loan Payables for Capital Shares Redeemed Payables to Vanguard Other Liabilities

(43,158) (93,795) (7,324) (376) (786)

Total Liabilities Net Assets (100%)

(145,439) 37,312,774

45


At December 31, 2016, net assets consisted of: Amount ($000) Paid-in Capital Undistributed Net Investment Income Accumulated Net Realized Gains Unrealized Appreciation (Depreciation) Investment Securities Futures Contracts

22,562,735 5,162 24,303

Net Assets

37,312,774

14,722,106 (1,532)

Institutional Shares—Net Assets Applicable to 13,198,452 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share— Institutional Shares

664,432 $50.34

Institutional Plus Shares—Net Assets Applicable to 727,936,853 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 36,648,342 Net Asset Value Per Share— Institutional Plus Shares

$50.35

• See Note A in Notes to Financial Statements. * Non-income-producing security. ^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $87,559,000. 1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets. 2 “Other” represents securities that are not classified by the fund’s benchmark index. 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 Includes $93,795,000 of collateral received for securities on loan. 5 Securities with a value of $7,936,000 have been segregated as initial margin for open futures contracts. CVR—Contingent Value Rights. REIT—Real Estate Investment Trust. See accompanying Notes, which are an integral part of the Financial Statements.

46


Statement of Operations Year Ended December 31, 2016 ($000) Investment Income Income Dividends Interest1 Securities Lending—Net Total Income

816,298 716 8,043 825,057

Expenses The Vanguard Group—Note B Management and Administrative—Institutional Shares Management and Administrative—Institutional Plus Shares Marketing and Distribution—Institutional Shares Marketing and Distribution—Institutional Plus Shares Shareholders’ Reports—Institutional Shares Shareholders’ Reports—Institutional Plus Shares Total Expenses Net Investment Income

445 7,566 — — — — 8,011 817,046

Realized Net Gain (Loss) Investment Securities Sold1 Futures Contracts Realized Net Gain (Loss)

3,838,746 21,281 3,860,027

Change in Unrealized Appreciation (Depreciation) Investment Securities Futures Contracts Change in Unrealized Appreciation (Depreciation) Net Increase (Decrease) in Net Assets Resulting from Operations

111,385 (3,368) 108,017 4,785,090

1 Interest income and realized net gain (loss) from an affiliated company of the fund were $666,000 and $5,000, respectively.

See accompanying Notes, which are an integral part of the Financial Statements. 47


Statement of Changes in Net Assets Year Ended December 31, 2016 ($000)

2015 ($000)

817,046

936,355

Increase (Decrease) in Net Assets Operations Net Investment Income Realized Net Gain (Loss) Change in Unrealized Appreciation (Depreciation) Net Increase (Decrease) in Net Assets Resulting from Operations

3,860,027

453,318

108,017

(1,067,346)

4,785,090

322,327

Distributions Net Investment Income Institutional Shares Institutional Plus Shares

(21,773)

(42,019)

(801,892)

(889,380)

Realized Capital Gain1 Institutional Shares Institutional Plus Shares Total Distributions

(5,003)

—

(274,217)

—

(1,102,885)

(931,399)

(733,956)

(1,283,293)

Capital Share Transactions Institutional Shares Institutional Plus Shares

(4,754,242)

(481,766)

Net Increase (Decrease) from Capital Share Transactions

(5,488,198)

(1,765,059)

Total Increase (Decrease)

(1,805,993)

(2,374,131)

Beginning of Period

39,118,767

41,492,898

End of Period2

37,312,774

39,118,767

Net Assets

1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $25,796,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $5,162,000 and $11,465,000.



Financial Highlights Institutional Shares For a Share Outstanding Throughout Each Period Net Asset Value, Beginning of Period

Year Ended December 31, 2016

2015

2014

2013

2012

$45.94

$46.78

$42.32

$32.27

$28.32

Investment Operations Net Investment Income

1.009

1.0531

Net Realized and Unrealized Gain (Loss) on Investments

4.789

(.847)

4.457

10.051

3.950

Total from Investment Operations

5.798

.206

5.295

10.777

4.644

(1.016)

(1.046)

(.727)

(.694)

.838

.726

.694

Distributions Dividends from Net Investment Income Distributions from Realized Capital Gains Total Distributions

(.382) (1.398)

— (1.046)

(.835) — (.835)

— (.727)

— (.694)

Net Asset Value, End of Period

$50.34

$45.94

$46.78

$42.32

$32.27

Total Return

12.75%

0.45%

12.60%

33.64%

16.47%

Ratios/Supplemental Data $664

$1,297

$2,590

$3,290

$3,001

Ratio of Total Expenses to Average Net Assets

Net Assets, End of Period (Millions)

0.04%

0.04%

0.04%

0.04%

0.04%

Ratio of Net Investment Income to Average Net Assets

2.08%

2.24%1

1.90%

1.96%

2.25%

8%

9%

5%

9%

8%

Portfolio Turnover

Rate2

1 Net investment income per share and the ratio of net investment income to average net assets include $.140 and 0.31%, respectively, resulting from income received from Medtronic plc in January 2015. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.



Financial Highlights Institutional Plus Shares For a Share Outstanding Throughout Each Period Net Asset Value, Beginning of Period

Year Ended December 31, 2016

2015

2014

2013

2012

$45.95

$46.79

$42.32

$32.28

$28.32

Investment Operations Net Investment Income

1.021

1.0641

.847

.734

.701

Net Realized and Unrealized Gain (Loss) on Investments

4.788

(.846)

4.466

10.041

3.959

Total from Investment Operations

5.809

.218

5.313

10.775

4.660

Dividends from Net Investment Income

(1.027)

(1.058)

Distributions from Realized Capital Gains

(.382)

Distributions

Total Distributions

—

(1.409)

(1.058)

(.843) — (.843)

(.735) — (.735)

(.700) — (.700)

Net Asset Value, End of Period

$50.35

$45.95

$46.79

$42.32

$32.28

Total Return

12.77%

0.48%

12.64%

33.63%

16.53%

Ratios/Supplemental Data Net Assets, End of Period (Millions)

$36,648

$37,822

$38,903

$33,201

$20,731

Ratio of Total Expenses to Average Net Assets

0.02%

0.02%

0.02%

0.02%

0.02%

Ratio of Net Investment Income to Average Net Assets

2.10%

2.26%1

1.92%

1.98%

2.27%

8%

9%

5%

9%

8%

Portfolio Turnover

Rate2

1 Net investment income per share and the ratio of net investment income to average net assets include $.140 and 0.31%, respectively, resulting from income received from Medtronic plc in January 2015. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.



Notes to Financial Statements Vanguard Institutional Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Institutional Shares and Institutional Plus Shares, to investors who meet certain administrative, service, and account-size criteria. 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. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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. 2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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. Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses). During the year ended December 31, 2016, the fund’s average investments in long and short futures contracts each represented less than 1% and 0%, respectively, of net assets, based on the average of aggregate settlement values 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. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2013–2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements. 51


4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. 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 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 absence 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread. The fund had no borrowings outstanding at December 31, 2016, or at any time during the period then ended. 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. In accordance with the terms of a services agreement, Vanguard provides to the fund investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses (except taxes) for a fee calculated at an annual percentage rate of the

52


average net assets of the fund (or, with respect to shareholder services, the average net assets of each class of shares). The fund’s trustees and officers are also directors and employees, respectively, of Vanguard. C. Various inputs may be used to determine the value of the fund’s investments. 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). The following table summarizes the market value of the fund’s investments as of December 31, 2016, based on the inputs used to value them: Level 1 ($000)

Investments Common Stocks Convertible Bonds Temporary Cash Investments Futures Contracts—Liabilities1 Total

Level 2 ($000)

Level 3 ($000)

37,129,445

—

1,269

—

15

—

218,700

12,295

—

(725)

—

—

37,347,420

12,310

1,269

1 Represents variation margin on the last day of the reporting period.

D. At December 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were: ($000) Aggregate Settlement Value Long (Short)

Unrealized Appreciation (Depreciation) (909)

Expiration

Number of Long (Short) Contracts

E-mini S&P 500 Index

March 2017

1,360

152,062

E-mini Russell 2000 Index

March 2017

420

28,495

Futures Contracts

(623) (1,532)

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. 53


During the year ended December 31, 2016, the fund realized $3,403,494,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $74,261,000 from accumulated net realized gains to paid-in capital. For tax purposes, at December 31, 2016, the fund had $20,594,000 of ordinary income and $8,229,000 of long-term capital gains available for distribution. The fund used capital loss carryforwards of $76,597,000 to offset taxable capital gains realized during the year ended December 31, 2016. At December 31, 2016, the cost of investment securities for tax purposes was $22,640,509,000. Net unrealized appreciation of investment securities for tax purposes was $14,721,215,000, consisting of unrealized gains of $15,585,419,000 on securities that had risen in value since their purchase and $864,204,000 in unrealized losses on securities that had fallen in value since their purchase. F. During the year ended December 31, 2016, the fund purchased $3,067,876,000 of investment securities and sold $8,708,123,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $5,446,182,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. G. Capital share transactions for each class of shares were: Year Ended December 31, 2016

2015

Amount ($000)

Shares (000)

Amount ($000)

Shares (000)

293,621

6,425

266,666

5,798

22,494

470

36,893

795

(1,050,071)

(21,925)

(1,586,852)

(33,724)

(733,956)

(15,030)

(1,283,293)

(27,131)

3,716,206

80,225

5,475,151

117,871

996,994

20,508

823,108

17,835

Redeemed

(9,467,442)

(195,981)

(6,780,025)

(144,011)

Net Increase (Decrease)—Institutional Plus Shares

(4,754,242)

(95,248)

(481,766)

(8,305)

Institutional Shares Issued Issued in Lieu of Cash Distributions Redeemed Net Increase (Decrease)—Institutional Shares Institutional Plus Shares Issued Issued in Lieu of Cash Distributions

H. Management has determined that no material events or transactions occurred subsequent to December 31, 2016, that would require recognition or disclosure in these financial statements.

54

Report of Independent Registered Public Accounting Firm To the Board of Trustees of Vanguard Institutional Index Funds and the Shareholders of Vanguard Institutional Total Stock Market Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Institutional Index Funds, hereafter referred to as the “Fund”) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2016 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 17, 2017

Special 2016 tax information (unaudited) for Vanguard Institutional Total Stock Market Index Fund This information for the fiscal year ended December 31, 2016, is included pursuant to provisions of the Internal Revenue Code. The fund distributed $317,767,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year. For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains. The fund distributed $754,889,000 of qualified dividend income to shareholders during the fiscal year. For corporate shareholders, 82.1% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. 55

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.

56

Six Months Ended December 31, 2016


Beginning Account Value 6/30/2016

Ending Account Value 12/31/2016

Expenses Paid During Period

$1,000.00

$1,087.21

$0.21

1,000.00

1,087.57

0.10

$1,000.00

$1,024.94

$0.20

1,000.00

1,025.04

0.10

Based on Actual Fund Return Institutional Shares Institutional Plus Shares Based on Hypothetical 5% Yearly Return Institutional Shares Institutional Plus Shares

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.04% for Institutional Shares and 0.02% for Institutional Plus Shares. 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).

57

Glossary 30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield. Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments. Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded. Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities. Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States. Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date. Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it. Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.

58

Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth. R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index. Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.

Benchmark Information Spliced Institutional Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 8, 2005; MSCI US Broad Market Index through January 14, 2013; CRSP US Total Market Index thereafter.

59

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 on an at-cost basis. 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 198 Vanguard funds. The following table provides information for each trustee and executive officer of the fund. 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 F. William McNabb III Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).

Independent Trustees Emerson U. Fullwood Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.

Rajiv L. Gupta Born 1945. Trustee Since December 2001. 2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International plc (diversified manufacturing and services), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital. Amy Gutmann Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President 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; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues. JoAnn Heffernan Heisen Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/consumer products); Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.

F. Joseph Loughrey Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame. Mark Loughridge Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth. Scott C. Malpass Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors). André F. Perold Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston. Peter F. Volanakis Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center.

Executive Officers Glenn Booraem Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010). Thomas J. Higgins Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008). Peter Mahoney Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014). Anne E. Robinson Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).

Vanguard Senior Management Team Mortimer J. Buckley Martha G. King John T. Marcante Chris D. McIsaac James M. Norris

Thomas M. Rampulla Glenn W. Reed Karin A. Risi Michael Rollings

Chairman Emeritus and Senior Advisor John J. Brennan Chairman, 1996–2009 Chief Executive Officer and President, 1996–2008

Founder John C. Bogle Chairman and Chief Executive Officer, 1974–1996

1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. 2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.

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Vanguard Institutional Total Stock Market Index Fund Annual Report

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