Vanguard Total Stock Market Index Fund

Semiannual Report | June 30, 2017

Vanguard 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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Fund Profile. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7 Performance Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8 Financial Statements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . 28 Trustees Approve Advisory Arrangement. . . . . . . . . . . . . . 30 Glossary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

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 Total Stock Market Index Fund returned almost 9% for the six months ended June 30, 2017. 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. • Large-cap stocks outperformed their small- and mid-cap counterparts. Growth stocks outpaced value, reversing a trend from 2016. • Eight of the fund’s ten market sectors recorded positive returns, with technology, health care, and financials contributing most to the overall return. • The two sectors posting negative returns were oil and gas and telecommunications.

Total Returns: Six Months Ended June 30, 2017 Total Returns Vanguard Total Stock Market Index Fund Investor Shares

8.94%

ETF Shares Market Price

8.96

Net Asset Value

8.99

Admiral™ Shares

8.99

Institutional Shares

9.00

Institutional Plus Shares

9.01

Institutional Select Shares

9.01

CRSP US Total Market Index

9.00

Multi-Cap Core Funds Average

8.35

Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623. For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.

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Expense Ratios Your Fund Compared With Its Peer Group Investor Shares

ETF Shares

0.15%

0.04%

Total Stock Market Index Fund

Admiral Institutional Institutional Shares Shares Plus Shares 0.04%

0.035%

0.02%

Institutional Peer Group Select Shares Average 0.01%

1.12%

The fund expense ratios shown are from the prospectus dated April 27, 2017, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2017, the fund’s annualized expense ratios were 0.14% for Investor Shares, 0.04% for ETF Shares, 0.04% for Admiral Shares, 0.035% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2016. Peer group: Multi-Cap Core Funds.

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Chairman’s Perspective Dear Shareholder, More than a decade ago, the eminent investor and commentator Howard Marks published a memo to his clients titled simply “Risk.” In it, Howard distilled the relationship between investors and risk. “When you boil it all down, it’s the investor’s job to intelligently bear risk for profit,” he wrote. Bill McNabb Chairman and Chief Executive Officer

It’s not surprising, then, that everyone from portfolio managers to behavioral economists avidly studies how investors’ reactions to risk influence not only individual investment decisions but also the broader financial markets. I’m a big fan of some of the behavioral finance work being done, which includes studies by our own investment strategists and analysts.

A lens on investor behavior For example, Vanguard’s Investment Strategy Group introduced a “risk speedometers” report in January to look at how investors are reacting to market developments. This lens on real-world behavior measures the risk investors are taking in a given period by calculating the difference between net cash flows into higher-risk assets, such as stocks, and net cash flows into lower-risk assets, such as Treasuries. The measures are then compared with long-term averages. In the spring, the risk speedometer spiked. The spike was fueled by investors’ decisions to direct more of their equity

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that investors are especially prone to lose sight of risk when markets have been buoyant.

dollars to international investments in developed and emerging markets, and their bond dollars to riskier credit categories.

How I manage risk in my own portfolio A spiking speedometer seems a fitting analogy for what can happen. I consider myself a responsible driver. Still, when the highway is clear and the weather is nice, I might glance down at the speedometer and find that my right foot has gotten a little heavy.

Rebalancing—periodically adjusting your asset allocation so it stays in line with your goals and risk tolerance—is one of the best ways I know of to help manage risk. Without rebalancing, your portfolio may end up potentially riskier than you intended and no longer aligned with your goals.

The same phenomenon is possible with our investment portfolios. Just as our attention can drift from our speed— and the risk level on the road—we can neglect the risk level of our portfolio’s asset allocation. Experience teaches

I have a ritual I perform every June and again each December, between Christmas and New Year’s, as I prepare for a series of annual meetings with the Vanguard crew. I’ll set aside some time, review my

Market Barometer Total Returns Periods Ended June 30, 2017 Six Months

One Year

Five Years (Annualized)

Stocks Russell 1000 Index (Large-caps)

9.27%

18.03%

14.67%

Russell 2000 Index (Small-caps)

4.99

24.60

13.70

8.93

18.51

14.58

13.95

20.53

7.68

Russell 3000 Index (Broad U.S. market) FTSE All-World ex US Index (International) Bonds Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)

2.27%

-0.31%

2.21%

Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)

3.57

-0.49

3.26

Citigroup Three-Month U.S. Treasury Bill Index

0.30

0.46

0.13

1.46%

1.63%

1.31%

CPI Consumer Price Index

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If you choose to rebalance on your own, use your target asset allocation as your guidepost. Don’t be afraid to buy into bad news. In a sense, don’t worry about the noise of the marketplace. If you work with an advisor, make sure he or she understands the importance you place on your rebalancing ritual.

investment portfolio, and, if necessary, rebalance back to my target asset allocation. My own portfolio is a mix of equity and fixed income funds, and I invest in both actively managed funds and index funds. Most years, I’ll make a minor adjustment to get back to the appropriate asset allocation for my own longer-term goals and risk tolerance. It’s not all that complicated, although my portfolio is a little more complex than some because I own more funds than we’d typically suggest. As chairman of Vanguard’s funds, I feel I should own a significant number of them.

And remember, the goal of rebalancing is to manage risk, not to avoid it altogether. Risk is inherent in investing—we just want to bear that risk intelligently. In that insightful memo on risk, Howard Marks included a saying often attributed to Will Rogers: “You’ve got to go out on a limb sometimes because that’s where the fruit is.”

Consider your options You should consider rebalancing if your target allocation is off by 5 percentage points or more. Admittedly, this is often easier said than done. When an investment has performed exceptionally well, people have a hard time trimming it. They can be led astray by that old (and none-too-helpful) investing saw: Let your winners run.

Tim Buckley chosen as Vanguard’s next CEO In closing, I’ll note senior leadership changes that we announced in July. Our board of directors has elected Vanguard Chief Investment Officer Tim Buckley as president and director of Vanguard. Under the planned transition, Tim will succeed me as Vanguard’s chief executive officer on January 1, 2018.

Fortunately, in recent years we’ve seen all sorts of investors take steps to rebalance. Many of the endowments, foundations, and traditional pension plans that Vanguard serves have good processes built into their investment guidelines to make sure rebalancing takes place on a regular basis. And among investors in defined contribution retirement plans, more and more are using target-date funds, where rebalancing happens automatically.

I’m delighted with our board’s selection of Tim. We first met in 1991 when Tim was interviewing for a job at Vanguard. In the decades since, we’ve worked closely together, and he’s always impressed me as a man of tremendous character and an outstanding leader with a passion for serving our clients. During the transition

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my life at Vanguard, I have come to know many fabulous crew members who are incredibly dedicated to Vanguard’s mission. Please be assured that Tim and the rest of the team will serve you and our other clients extremely well as Vanguard prepares for its next chapter.

period, I will work closely with Tim in managing the firm and overseeing its operations. Replacing Tim as chief investment officer is Greg Davis, who had been global head of Vanguard Fixed Income Group. And succeeding Greg as our fixed income leader is John Hollyer, who most recently served as our global head of investment risk management. I know Greg and John will both do a superb job in their new roles.

As always, thank you for investing with Vanguard. Sincerely,

As with past successions, I will remain as chairman for a period of time determined by the board. On a personal note, it has been an honor and a privilege to lead Vanguard. Having spent more than half

F. William McNabb III Chairman and Chief Executive Officer July 14, 2017

Vanguard fund shareholders encouraged to vote in proxy campaign This summer you will be asked to vote on the election of trustees for all U.S.-domiciled Vanguard funds. Shareholders will also be asked to vote on several fund policy proposals that we believe are in the best interests of all shareholders. Vanguard filed a preliminary proxy statement on July 13, 2017, with the U.S. Securities and Exchange Commission (SEC). Following the SEC’s review, we expect to provide the proxy materials to Vanguard fund shareholders beginning in late August 2017. That’s when you can begin to vote online, by phone, or by mail. A shareholder meeting is scheduled to be held in Scottsdale, Arizona, on November 15, 2017, when voting will conclude. We encourage you to vote promptly. Please visit vanguard.com for updates.

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Total Stock Market Index Fund Fund Profile As of June 30, 2017

Share-Class Characteristics Investor Shares ETF Shares

Admiral Institutional Institutional Shares Shares Plus Shares


Ticker Symbol

VTSMX

VTI

VTSAX

VITSX

VSMPX

Expense Ratio1

0.15%

0.04%

0.04%

0.035%

0.02%

0.01%

30-Day SEC Yield

1.78%

1.86%

1.86%

1.88%

1.88%

1.89%

Volatility Measures

Portfolio Characteristics

Fund Number of Stocks



3,606

3,598

Median Market Cap

$59.8B

$59.8B

Price/Earnings Ratio

21.2x

21.2x

2.9x

2.9x

Price/Book Ratio

VSTSX

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.

Return on Equity

16.1%

16.0%

Earnings Growth Rate

10.0%

10.0%

Dividend Yield

1.9%

1.9%

Apple Inc.

Computer Hardware

2.7%

Foreign Holdings

0.0%

0.0%

Alphabet Inc.

Internet

2.2

4%

—

Microsoft Corp.

Software

2.1

0.1%

—

Amazon.com Inc.

Broadline Retailers

1.6

Turnover Rate (Annualized) Short-Term Reserves

Ten Largest Holdings (% of total net assets)

Sector Diversification (% of equity exposure)

Facebook Inc.

Internet

1.4

Johnson & Johnson

Pharmaceuticals

1.4

Exxon Mobil Corp.

Integrated Oil & Gas

1.4

CRSP US Total Market Fund Index

Berkshire Hathaway Inc. Reinsurance

1.3

JPMorgan Chase & Co. Banks

1.3

Basic Materials

2.5%

2.6%

Wells Fargo & Co.

Consumer Goods

9.7

9.7

Top Ten

Consumer Services

13.0

13.0

Financials

20.5

20.5

Health Care

13.1

13.1

Industrials

13.0

13.0

Oil & Gas

5.6

5.6

17.4

17.4

Telecommunications

2.0

1.9

Utilities

3.2

3.2

Technology

Banks

1.0 16.4%

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

Investment Focus Style Market Cap

Value Blend Growth Large

Medium

Small

1 The expense ratios shown are from the prospectus dated April 27, 2017, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2017, the annualized expense ratios were 0.14% for Investor Shares, 0.04% for ETF Shares, 0.04% for Admiral Shares, 0.035% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. 7


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.

Fiscal-Year Total Returns (%): December 31, 2006, Through June 30, 2017 2007

2008

2009

2010

2012

2011

2013

17.09 17.28 5.49

2014

2015

2016

2017

33.35 33.51

28.70 28.76 5.59

16.25 16.44 0.96

12.53 12.68

12.43 12.58

1.08

0.29

0.40

8.94

9.00

–37.04 –37.04

Total Stock Market Index Fund Investor Shares Spliced Total Stock Market Index For a benchmark description, see the Glossary. Note: For 2017, performance data reflect the six months ended June 30, 2017.

Average Annual Total Returns: Periods Ended June 30, 2017 Inception Date

One Year

Five Years

Ten Years

Investor Shares

4/27/1992

18.35%

14.42%

7.26%

ETF Shares

5/24/2001 7.39

Market Price

18.49

14.55

Net Asset Value

18.49

14.55

7.38

11/13/2000

18.47

14.54

7.37

7/7/1997

18.50

14.55

7.38


4/28/2015

18.51

—

8.261


6/27/2016

18.51

—

24.361

Admiral Shares Institutional Shares

1 Return since inception.

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Financial Statements (unaudited) Statement of Net Assets—Investments Summary As of June 30, 2017

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category. 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 complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. 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 Percentage of Net Value • ($000) Assets

Common Stocks Basic Materials † Consumer Goods Procter & Gamble Co. Philip Morris International Inc. Coca-Cola Co. PepsiCo Inc. Altria Group Inc. Consumer Goods—Other †

58,939,340 35,780,975 88,612,244 32,956,942 44,516,118

Consumer Services * Amazon.com Inc. Comcast Corp. Class A Home Depot Inc. Walt Disney Co. McDonald’s Corp. Wal-Mart Stores Inc. * Priceline Group Inc. Consumer Services—Other †

9,355,374 108,903,675 27,528,391 34,173,760 18,761,824 34,917,465 1,129,489

Financials JPMorgan Chase & Co. * Berkshire Hathaway Inc. Class B Wells Fargo & Co. Bank of America Corp. Citigroup Inc.

81,849,498 43,189,943 103,615,142 229,168,479 63,394,487

9

14,799,532

2.5%

5,136,563 4,202,475 3,974,259 3,806,197 3,315,115 35,398,244

0.9% 0.7% 0.7% 0.6% 0.6% 6.1%

55,832,853

9.6%

9,056,002 4,238,531 4,222,855 3,630,962 2,873,561 2,642,554 2,112,732 46,557,697

1.6% 0.7% 0.7% 0.6% 0.5% 0.5% 0.4% 8.0%

75,334,894

13.0%

7,481,044 7,315,081 5,741,315 5,559,627 4,239,823

1.3% 1.3% 1.0% 1.0% 0.7%


Shares

*

Visa Inc. Class A Mastercard Inc. Class A Berkshire Hathaway Inc. Class A Financials—Other †

42,493,554 21,900,088 981

Health Care Johnson & Johnson Pfizer Inc. UnitedHealth Group Inc. Merck & Co. Inc. Amgen Inc. Medtronic plc AbbVie Inc. * Celgene Corp. Gilead Sciences Inc. Bristol-Myers Squibb Co. Health Care—Other †

62,059,387 137,428,989 22,193,256 62,996,595 16,927,358 31,568,346 36,634,667 17,968,099 30,072,798 37,936,672

Industrials General Electric Co. 3M Co. Boeing Co. Honeywell International Inc. United Technologies Corp. Union Pacific Corp. Industrials—Other †

200,001,087 13,773,479 13,214,972 17,574,727 16,623,150 18,602,489

Oil & Gas Exxon Mobil Corp. Chevron Corp. Schlumberger Ltd. Oil & Gas—Other †

1Other

97,608,070 43,636,886 32,006,897

†

Technology Apple Inc. Microsoft Corp. * Facebook Inc. Class A * Alphabet Inc. Class A * Alphabet Inc. Class C Intel Corp. Cisco Systems Inc. Oracle Corp. International Business Machines Corp. Broadcom Ltd. Technology—Other †

108,093,912 177,774,267 54,439,512 6,900,772 6,740,405 108,442,405 115,073,238 70,998,449 20,536,688 9,246,345

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Market Percentage of Net Value • ($000) Assets 3,985,045 2,659,766 249,861 81,061,399

0.7% 0.5% 0.0% 13.9%

118,292,961

20.4%

8,209,836 4,616,240 4,115,074 4,037,452 2,915,399 2,801,691 2,656,380 2,333,517 2,128,553 2,113,831 40,074,832

1.4% 0.8% 0.7% 0.7% 0.5% 0.5% 0.4% 0.4% 0.4% 0.4% 6.9%

76,002,805

13.1%

5,402,029 2,867,501 2,613,261 2,342,535 2,029,853 2,025,997 58,027,686

0.9% 0.5% 0.5% 0.4% 0.4% 0.3% 10.0%

75,308,862

13.0%

7,879,900 4,552,636 2,107,334 17,680,978

1.3% 0.8% 0.4% 3.0%

32,220,848

5.5%

14,855

0.0%

15,567,685 12,253,980 8,219,278 6,415,510 6,125,208 3,658,847 3,601,792 3,559,862 3,159,159 2,154,861 35,658,805

2.7% 2.1% 1.4% 1.1% 1.1% 0.6% 0.6% 0.6% 0.6% 0.4% 6.1%

100,374,987

17.3%


Shares Telecommunications AT&T Inc. Verizon Communications Inc. Telecommunications—Other †

141,546,385 93,920,728

Utilities † Total Common Stocks (Cost $383,575,329)

Market Percentage of Net Value • ($000) Assets 5,340,545 4,194,500 1,789,383

0.9% 0.8% 0.3%

11,324,428

2.0%

18,285,866

3.1%

577,792,891

99.5%2

Coupon Temporary Cash Investments Money Market Fund 3,4 Vanguard Market Liquidity Fund 5U.S.

1.181%

Government and Agency Obligations †

Total Temporary Cash Investments (Cost $6,548,067) 6 Total

Investments (Cost $390,123,396)

63,822,793

6,383,556

1.1%

165,198

0.0%

6,548,754 584,341,645

1.1%2 100.6%

Amount ($000) Other Assets and Liabilities Other Assets Investment in Vanguard Receivables for Investment Securities Sold Receivables for Accrued Income Receivables for Capital Shares Issued Other Assets 4,7

37,853 11,393 612,538 334,618 19,588

Total Other Assets

1,015,990

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

0.2%

(1,059,171) (2,869,824) (192,293) (207,863) (354)

Total Liabilities

(4,329,505)

Net Assets

581,028,130

(0.8%) 100.0%

At June 30, 2017, net assets consisted of: Amount ($000) Paid-in Capital Overdistributed Net Investment Income Accumulated Net Realized Losses Unrealized Appreciation (Depreciation) Investment Securities Futures Contracts Swap Contracts

388,361,506 (278,292) (1,264,998)

Net Assets

581,028,130

194,218,249 (11,537) 3,202

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Amount ($000) Investor Shares—Net Assets Applicable to 1,917,637,051 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—Investor Shares

116,116,153 $60.55

ETF Shares—Net Assets Applicable to 641,883,319 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—ETF Shares

79,868,757 $124.43

Admiral Shares—Net Assets Applicable to 2,807,842,015 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—Admiral Shares

170,071,182 $60.57

Institutional Shares—Net Assets Applicable to 1,575,739,893 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—Institutional Shares

95,459,460 $60.58

Institutional Plus Shares—Net Assets Applicable to 950,011,818 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—Institutional Plus Shares

107,928,320 $113.61

Institutional Select Shares—Net Assets Applicable to 97,178,300 outstanding $.001 par value shares of beneficial interest (unlimited authorization) Net Asset Value Per Share—Institutional Select Shares

11,584,258 $119.21

• See Note A in Notes to Financial Statements. * Non-income-producing security. † Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. 1 “Other” represents securities that are not classified by the fund’s benchmark index. 2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.6%, respectively, of net assets. 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 $2,869,824,000 of collateral received for securities on loan, of which $4,245,000 is held in cash. 5 Securities with a value of $115,846,000 have been segregated as initial margin for open futures contracts. 6 The total value of securities on loan is $2,692,354,000. 7 Cash with a value of $520,000 has been segregated as collateral for open over-the-counter swap contracts. See accompanying Notes, which are an integral part of the Financial Statements.

12


Statement of Operations Six Months Ended June 30, 2017 ($000) Investment Income Income Dividends

4,966,938

Interest1

14,430

Securities Lending—Net

43,639

Total Income

5,025,007

Expenses The Vanguard Group—Note B Investment Advisory Services

9,531

Management and Administrative—Investor Shares

65,930

Management and Administrative—ETF Shares

12,341

Management and Administrative—Admiral Shares

26,433

Management and Administrative—Institutional Shares

11,581

Management and Administrative—Institutional Plus Shares

6,919

Management and Administrative—Institutional Select Shares Marketing and Distribution—Investor Shares

256 7,988

Marketing and Distribution—ETF Shares

1,735

Marketing and Distribution—Admiral Shares

4,965

Marketing and Distribution—Institutional Shares

1,229

Marketing and Distribution—Institutional Plus Shares

671

Marketing and Distribution—Institutional Select Shares

1

Custodian Fees

2,476

Shareholders’ Reports—Investor Shares

1,671

Shareholders’ Reports—ETF Shares

1,157

Shareholders’ Reports—Admiral Shares

1,229

Shareholders’ Reports—Institutional Shares

542

Shareholders’ Reports—Institutional Plus Shares

6

Shareholders’ Reports—Institutional Select Shares

—

Trustees’ Fees and Expenses

170

Total Expenses

156,831

Net Investment Income

4,868,176

Realized Net Gain (Loss) 1,810,294

Investment Securities Sold1 Futures Contracts

206,831

Swap Contracts

(5,636)

Realized Net Gain (Loss)

2,011,489

Change in Unrealized Appreciation (Depreciation) Investment Securities

39,398,734

Futures Contracts

8,621

Swap Contracts

3,701

Change in Unrealized Appreciation (Depreciation)

39,411,056

Net Increase (Decrease) in Net Assets Resulting from Operations

46,290,721

1 Interest income and realized net gain (loss) from an affiliated company of the fund were $13,831,000 and $166,000, respectively. See accompanying Notes, which are an integral part of the Financial Statements. 13


Statement of Changes in Net Assets Six Months Ended June 30, 2017

Year Ended December 31, 2016

($000)

($000)


4,868,176

9,073,422

Realized Net Gain (Loss)

2,011,489

4,014,156

Change in Unrealized Appreciation (Depreciation)

39,411,056

42,114,142

Net Increase (Decrease) in Net Assets Resulting from Operations

46,290,721

55,201,720

Investor Shares

(970,338)

(1,930,782)

ETF Shares

(708,189)

(1,282,510)

(1,506,839)

(2,820,690)

Increase (Decrease) in Net Assets Operations

Distributions Net Investment Income

Admiral Shares Institutional Shares

(837,294)

(1,428,815)


(937,389)

(1,567,690)

(94,894)

(66,263)

Institutional Select Shares Realized Capital Gain Investor Shares

—

—

ETF Shares

—

—

Admiral Shares

—

—


—

—


—

—


—

—

(5,054,943)

(9,096,750)

(2,633,123)

Total Distributions Capital Share Transactions Investor Shares

3,697,436

ETF Shares

4,255,317

6,156,065

Admiral Shares

6,156,713

11,172,716

9,334,807

14,683,001

15,567,800

13,965,811

Institutional Shares Institutional Plus Shares Institutional Select Shares

2,328,347

8,351,435

Net Increase (Decrease) from Capital Share Transactions

41,340,420

51,695,905

Total Increase (Decrease)

82,576,198

97,800,875

Net Assets Beginning of Period

498,451,932

400,651,057

End of Period1

581,028,130

498,451,932

1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($278,292,000) and ($85,889,000).

See accompanying Notes, which are an integral part of the Financial Statements. 14


Financial Highlights Investor Shares

For a Share Outstanding Throughout Each Period

Six Months Ended June 30, 2017

Net Asset Value, Beginning of Period

$56.06


2015

2014

2013

2012

$50.78

$51.58

$46.67

$35.64

$31.29

Investment Operations Net Investment Income

.497

1.022

.954

.854

.757

.720

4.506

5.282

(.807)

4.907

11.038

4.350

5.003

6.304

.147

5.761

11.795

5.070

(1.024)

(.947)

(.851)

(.765)

(.720)

—

—

—

(.851)

(.765)

(.720)

Net Realized and Unrealized Gain (Loss) on Investments Total from Investment Operations

(.513)

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

—

—

(.513)

—

(1.024)

(.947)

Net Asset Value, End of Period

$60.55

$56.06

$50.78

$51.58

$46.67

$35.64

Total Return1

8.94%

12.53%

0.29%

12.43%

33.35%

16.25%

$116,116 $103,932

$96,323

$117,966 $105,008

$78,936

Ratios/Supplemental Data Net Assets, End of Period (Millions) Ratio of Total Expenses to Average Net Assets

0.14%

0.15%

0.16%

0.17%

0.17%

0.17%

Ratio of Net Investment Income to Average Net Assets

1.75%

1.98%

1.85%

1.77%

1.84%

2.11%

4%

4%

3%

3%

4%

3%

Portfolio Turnover Rate2

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.



Financial Highlights ETF Shares




$115.21


2015

2014

2013

2012

$104.34

$106.00

$95.91

$73.24

$64.29

Investment Operations Net Investment Income Net Realized and Unrealized Gain (Loss) on Investments Total from Investment Operations

1.077

2.214

2.082

1.874

1.657

1.564

9.260

10.871

(1.675)

10.085

22.686

8.949

10.337

13.085

.407

11.959

24.343

10.513

(1.117)

(2.215)

(2.067)

(1.869)

(1.673)

—

—

(1.117)

(2.215)

Distributions Dividends from Net Investment Income Distributions from Realized Capital Gains Total Distributions Net Asset Value, End of Period Total Return

— (2.067)

— (1.869)

(1.563)

— (1.673)

— (1.563)

$124.43

$115.21

$104.34

$106.00

$95.91

$73.24

8.99%

12.68%

0.40%

12.56%

33.51%

16.41%

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

$79,869

$69,889

$57,434

$50,886

$39,165

$24,270

Ratio of Total Expenses to Average Net Assets

0.04%

0.04%

0.05%

0.05%

0.05%

0.05%


1.85%

2.09%

1.96%

1.89%

1.96%

2.23%

4%

4%

3%

3%

4%

3%


The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.



Financial Highlights Admiral Shares




$56.08


2015

2014

2013

2012

$50.79

$51.60

$46.69

$35.65

$31.30


.524

1.077

1.013

.912

.807

.761

4.510

5.291

(.818)

4.908

11.047

4.350

5.034

6.368

.195

5.820

11.854

5.111

(1.078)

(1.005)

(.910)

(.814)

—

—

—

(.910)

(.814)

(.761)


(.544) —

—

(.544)

(1.078)

— (1.005)

(.761)


$60.57

$56.08

$50.79

$51.60

$46.69

$35.65

Total Return1

8.99%

12.66%

0.39%

12.56%

33.52%

16.38%

$151,612 $126,363

$117,476

$86,541

$59,771


$170,071


0.04%

0.04%

0.05%

0.05%

0.05%

0.05%


1.85%

2.09%

1.96%

1.89%

1.96%

2.23%

4%

4%

3%

3%

4%

3%


The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.



Financial Highlights Institutional Shares




$56.09


2015

2014

2013

2012

$50.80

$51.60

$46.69

$35.66

$31.30


.527

1.082

1.017

.915

.808

4.509

5.291

5.036

6.373

(1.083)

.763

(.808)

4.908

11.038

4.359

.209

5.823

11.846

5.122

(1.009)

(.913)

(.816)

—

—

—

(.913)

(.816)

(.762)


(.546) —

—

(.546)

—

(1.083)

(1.009)

(.762)


$60.58

$56.09

$50.80

$51.60

$46.69

$35.66

Total Return

9.00%

12.67%

0.42%

12.56%

33.49%

16.42%

Net Assets, End of Period (Millions)

$95,459

$79,443

$57,438

$96,674

$65,738

$39,367


0.035%

0.03%

0.04%

0.04%

0.04%

0.04%

1.86%

2.10%

1.97%

1.90%

1.97%

2.24%

4%

4%

3%

3%

4%

3%

Ratios/Supplemental Data

Ratio of Net Investment Income to Average Net Assets Portfolio Turnover Rate1

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.



Financial Highlights Institutional Plus Shares

For a Share Outstanding Throughout Each Period Net Asset Value, Beginning of Period


Year Ended Dec. 31, 2016

April 28, 20151 to Dec. 31, 2015

$105.18

$95.26

$100.00

Investment Operations .996

2.042

1.335

Net Realized and Unrealized Gain (Loss) on Investments


8.466

9.924

(4.631)

Total from Investment Operations

9.462

11.966

(3.296)

(1.032)

(2.046)

(1.444)

Distributions Dividends from Net Investment Income Distributions from Realized Capital Gains

—

Total Distributions

(1.032)

Net Asset Value, End of Period Total Return

— (2.046)

— (1.444)

$113.61

$105.18

$95.26

9.01%

12.69%

-3.28%


$107,928

$85,031

$63,093


0.02%

0.02%

0.02%2


1.87%

2.11%

1.99%2

4%

4%

3%4

Portfolio Turnover

Rate 3

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 4 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2015.



Financial Highlights Institutional Select Shares

For a Share Outstanding Throughout Each Period Net Asset Value, Beginning of Period


June 27, 20161 to Dec. 31, 2016

$110.37

$97.70

Investment Operations Net Investment Income

1.052

1.181

Net Realized and Unrealized Gain (Loss) on Investments

8.877

12.718

Total from Investment Operations

9.929

13.899

(1.089)

(1.229)

Distributions Dividends from Net Investment Income Distributions from Realized Capital Gains

—

Total Distributions

(1.089)

Net Asset Value, End of Period Total Return

— (1.229)

$119.21

$110.37

9.01%

14.24%


$11,584

$8,545


0.01%

0.01%2


1.88%

2.15%2

4%

4%4

Portfolio Turnover

Rate 3

The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. 4 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016.



Notes to Financial Statements Vanguard 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 six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are designed for 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. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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. 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).

21


During the six months ended June 30, 2017, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. 3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on shortterm interest rates, applied to the notional amount. At the same time, the fund invests an amount approximating the notional amount of the swap in high-quality temporary cash investments. The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days. During the six months ended June 30, 2017, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. 4. 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 for the period ended June 30, 2017, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

22


5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. 6. 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 event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of 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. 7. 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 June 30, 2017, or at any time during the period then ended. 8. 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. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution

23


expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and 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 Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2017, the fund had contributed to Vanguard capital in the amount of $37,853,000, representing 0.01% of the fund’s net assets and 15.14% of Vanguard’s capitalization. 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 June 30, 2017, based on the inputs used to value them: Level 1 ($000)

Investments Common Stocks Temporary Cash Investments Futures Contracts—Assets1 Futures Contracts—Liabilities1 Swap Contracts—Assets Swap Contracts—Liabilities Total 1 Represents variation margin on the last day of the reporting period.

24

Level 2 ($000)

Level 3 ($000)

577,778,717

54

14,120

6,383,556

165,198

—

1,186

—

—

(354)

—

—

—

3,627

—

—

(425)

—

584,163,105

168,454

14,120


D. At June 30, 2017, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were: ($000) Aggregate Settlement Unrealized Value Appreciation Long (Short) (Depreciation)

Expiration

Number of Long (Short) Contracts

E-mini S&P 500 Index

September 2017

24,727

2,993,080

(10,633)

E-mini Russell 2000 Index

September 2017

1,914

135,349

(642)

E-mini S&P Mid-Cap 400 Index

September 2017

240

41,906

Futures Contracts

(262) (11,537)

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. At June 30, 2017, the fund had the following open total return swap contracts:

Reference Entity

Termination Date

Ambac Financial Group Inc. Gaming and Leisure Properties Inc.

Counterparty

Notional Amount ($000)

Floating Unrealized Interest Rate Appreciation Received (Depreciation) (Paid) ($000)

7/6/17

GSCM

9,525

(1.612%)

621

9/21/17

GSCM

11,301

(1.776%)

(310) (115)

Gaming and Leisure Properties Inc.

9/21/17

GSCM

4,897

(1.774%)

Gaming and Leisure Properties Inc.

9/21/17

GSCM

1,883

(0.550%)

4

SLM Corp.

8/22/17

GSI

38,583

(1.612%)

3,002 3,202

GSCM—Goldman Sachs Capital Management. GSI—Goldman Sachs International.

At June 30, 2017, the counterparty had deposited in segregated accounts securities with a value of $2,560,000 in connection with amounts due to the fund for open swap contracts. 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.

25


During the six months ended June 30, 2017, the fund realized $2,835,002,000 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 losses to paid-in capital. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $463,562,000 during the period from November 1, 2016, through December 31, 2016, which are deferred and will be treated as realized for tax purposes in fiscal 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2017. At June 30, 2017, the cost of investment securities for tax purposes was $390,132,731,000. Net unrealized appreciation of investment securities for tax purposes was $194,208,914,000, consisting of unrealized gains of $206,073,706,000 on securities that had risen in value since their purchase and $11,864,792,000 in unrealized losses on securities that had fallen in value since their purchase. F. During the six months ended June 30, 2017, the fund purchased $53,812,955,000 of investment securities and sold $12,977,306,000 of investment securities, other than temporary cash investments. Purchases and sales include $10,043,403,000 and $2,020,228,000, 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: Six Months Ended June 30, 2017


Amount ($000)

Shares (000)

Amount ($000)

Shares (000)

8,029,510

136,064

11,360,219

224,105

964,668

16,172

1,919,404

36,018

Redeemed

(5,296,742)

(88,495)

(15,912,746)

(303,219)

Net Increase (Decrease)—Investor Shares

3,697,436

63,741

(2,633,123)

(43,096)

8,264,880

67,843

12,651,306

117,794

—

—

—

—

(4,009,563)

(32,600)

(6,495,241)

(61,600)

4,255,317

35,243

6,156,065

56,194

14,029,179

238,015

23,021,975

443,481

1,293,767

21,687

2,437,517

45,667

(9,166,233)

(155,332)

(14,286,776)

(273,567)

6,156,713

104,370

11,172,716

215,581

Investor Shares Issued Issued in Lieu of Cash Distributions

ETF Shares Issued Issued in Lieu of Cash Distributions Redeemed Net Increase (Decrease)—ETF Shares Admiral Shares Issued Issued in Lieu of Cash Distributions Redeemed Net Increase (Decrease)—Admiral Shares

26




Amount ($000)

Shares (000)

Amount ($000)

Shares (000)

13,539,880

230,586

23,023,849

445,440

775,648

12,995

1,314,828

24,590

Redeemed

(4,980,721)

(84,198)

(9,655,676)

(184,350)

Net Increase (Decrease)—Institutional Shares

9,334,807

159,383

14,683,001

285,680

18,147,684

165,040

17,424,884

181,141

930,234

8,310

1,561,503

15,576

(3,510,118)

(31,732)

(5,020,576)

(50,622)

15,567,800

141,618

13,965,811

146,095

2,410,928

20,473

8,412,782

78,011

94,893

807

66,262

600

(177,474)

(1,527)

(127,609)

(1,185)

Net Increase (Decrease)—Institutional Select Shares 2,328,347

19,753

8,351,435

77,426

Institutional Shares Issued Issued in Lieu of Cash Distributions

Institutional Plus Shares Issued Issued in Lieu of Cash Distributions Redeemed Net Increase (Decrease)—Institutional Plus Shares Institutional Select Shares1 Issued Issued in Lieu of Cash Distributions Redeemed

1 Inception was June 27, 2016, for Institutional Select Shares.

H. Management has determined that no material events or transactions occurred subsequent to June 30, 2017, that would require recognition or disclosure in these financial statements.

27

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.

28



Beginning Account Value 12/31/2016

Ending Account Value 6/30/2017

Expenses Paid During Period

Based on Actual Fund Return Investor Shares

$1,000.00

$1,089.40

$0.73

ETF Shares

1,000.00

1,089.90

0.21

Admiral Shares

1,000.00

1,089.94

0.21


1,000.00

1,089.96

0.18


1,000.00

1,090.14

0.10


1,000.00

1,090.14

0.05

$0.70

Based on Hypothetical 5% Yearly Return Investor Shares

$1,000.00

$1,024.10

ETF Shares

1,000.00

1,024.60

0.20

Admiral Shares

1,000.00

1,024.60

0.20


1,000.00

1,024.62

0.18


1,000.00

1,024.70

0.10


1,000.00

1,024.70

0.05

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 0.14% for Investor Shares, 0.04% for ETF Shares, 0.04% for Admiral Shares, 0.035% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select 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 (181/365).

29

Trustees Approve Advisory Arrangement The board of trustees of Vanguard Total Stock Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders. The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics. The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics. In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report. Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision. Nature, extent, and quality of services The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth. The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement. Investment performance The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.

30

Cost The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders. The benefit of economies of scale The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase. The board will consider whether to renew the advisory arrangement again after a one-year period.

31

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.

32

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 Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 22, 2005; MSCI US Broad Market Index through June 2, 2013; and CRSP US Total Market Index thereafter.

33

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 197 Vanguard funds. Information for each trustee and executive officer of the fund appears below. 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; Trustee of the University of Rochester. 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 Arconic Inc.

(diversified manufacturer), 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. JoAnn Heffernan Heisen Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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), Oxfam America, and the Lumina

Foundation for Education; Director of the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair 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.

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: Principal of 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).

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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).

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).

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 Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.

Michael Rollings Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).

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 Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).

Executive Officers Glenn Booraem Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.

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

James M. Norris Thomas M. Rampulla Glenn W. Reed Karin A. Risi

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.

P.O. Box 2600 Valley Forge, PA 19482-2600

Connect with Vanguard® > vanguard.com

Fund Information > 800-662-7447 Direct Investor Account Services > 800-662-2739 Institutional Investor Services > 800-523-1036 Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus. All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted. You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov. You can review and copy information about your fund at the SEC’s Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 202-551-8090. Information about your fund is also available on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request in either of two ways: via email addressed to [email protected] or via regular mail addressed to the Public Reference Section, Securities and Exchange Commission, Washington, DC 20549-1520. © 2017 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q852 082017

Vanguard® Total Stock Market Index Fund Schedule of Investments June 30, 2017

Shares

Market Value ($000)

28,110,619 19,964,585 6,561,472 6,036,720 4,999,917 5,903,515 7,398,885 9,475,021 7,336,174 12,291,815 29,980,604 3,235,527 2,582,034 3,187,319 1,818,102 10,131,485 3,075,889 5,298,701 8,043,737 2,029,330 3,059,252 4,239,207 4,980,060 5,345,700 4,226,616 4,631,578 1,509,554 1,582,996 3,793,180 1,574,825 221,162 1,416,707 1,025,753 3,997,669 1,033,097 2,505,405 1,882,223 1,284,343 1,851,200 2,233,665 1,177,504 808,079 883,911 4,560,591 734,740 1,450,201 968,005 3,678,251 1,027,936 2,652,537 770,357 1,628,531 7,236,180 6,755,174 9,151,124 741,990 2,499,968 286,606 1,969,989 465,268 1,075,150

1,772,937 1,611,342 869,723 801,375 715,288 649,151 624,392 536,381 424,544 398,132 360,067 307,181 272,508 267,703 245,444 229,478 224,694 189,746 183,639 179,332 166,882 160,751 159,561 149,466 137,999 119,680 118,002 115,258 114,857 113,403 101,841 93,375 91,764 88,508 83,195 81,426 72,917 68,622 65,699 65,223 60,182 59,151 58,524 57,828 57,097 55,717 55,563 54,953 51,623 51,539 50,304 49,670 47,542 46,746 46,671 44,334 42,524 41,624 40,641 40,543 40,243

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Common Stocks (99.5%)1 Basic Materials (2.5%) Dow Chemical Co. EI du Pont de Nemours & Co. Praxair Inc. Ecolab Inc. Air Products & Chemicals Inc. PPG Industries Inc. LyondellBasell Industries NV Class A International Paper Co. Nucor Corp. Newmont Mining Corp. * Freeport-McMoRan Inc. Celanese Corp. Class A Albemarle Corp. Eastman Chemical Co. International Flavors & Fragrances Inc. Arconic Inc. FMC Corp. Steel Dynamics Inc. Mosaic Co. Avery Dennison Corp. RPM International Inc. Chemours Co. * Axalta Coating Systems Ltd. CF Industries Holdings Inc. * Alcoa Corp. Huntsman Corp. Royal Gold Inc. Reliance Steel & Aluminum Co. Olin Corp. WR Grace & Co. NewMarket Corp. Ashland Global Holdings Inc. Scotts Miracle-Gro Co. ^ United States Steel Corp. Sensient Technologies Corp. Versum Materials Inc. PolyOne Corp. Cabot Corp. US Silica Holdings Inc. * Univar Inc. HB Fuller Co. Minerals Technologies Inc. Westlake Chemical Corp. * Platform Specialty Products Corp. Balchem Corp. Domtar Corp. * Ingevity Corp. * CONSOL Energy Inc. Worthington Industries Inc. Commercial Metals Co. ^ Compass Minerals International Inc. * GCP Applied Technologies Inc. *,^ AK Steel Holding Corp. *,^ Cliffs Natural Resources Inc. Hecla Mining Co. * Cambrex Corp. ^ Allegheny Technologies Inc. Quaker Chemical Corp. KapStone Paper and Packaging Corp. Stepan Co. Carpenter Technology Corp.

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

1


Shares

Market Value ($000)

4,187,418 537,785 1,897,791 484,135 371,767 373,022 1,018,462 701,550 689,305 1,367,483 635,523 994,376 436,736 253,456 1,199,077 383,971 1,112,718 161,416 1,531,394 452,597 968,863 3,573,418 357,242 255,789 305,972 620,443 670,872 218,745 647,317 200,495 996,797 532,122 539,444 844,592 1,888,047 370,925 1,119,739 1,284,961 1,325,577 2,343,082 506,145 3,087,367 225,013 499,693 795,449 364,153 455,612 201,425 144,198 3,850,766 569,641 191,382 438,736 637,189 63,670 343,291 107,187 124,749 21,458 105,718 643,987 1,217,492 27,515 89,678

35,928 35,252 34,711 33,066 32,909 29,935 24,901 24,161 21,534 20,676 20,337 19,430 19,146 18,923 18,106 17,951 17,336 17,223 16,692 16,361 15,231 13,936 13,807 11,510 11,110 10,703 10,365 10,139 9,872 9,758 9,719 9,695 8,140 7,010 6,665 6,354 6,103 5,654 5,408 5,295 5,228 4,909 4,383 3,883 3,731 3,605 3,271 2,971 2,812 2,415 2,176 2,172 2,137 1,848 1,016 958 756 755 674 600 535 465 425 377

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

*

* ^

*,^ * *

* *

* *

*,^ * *

*

* *

* *

*,^ *,^ *,^

* * *

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

* *,^

*

Coeur Mining Inc. Innospec Inc. Ferro Corp. Arch Coal Inc. Class A Kaiser Aluminum Corp. Neenah Paper Inc. Peabody Energy Corp. Kraton Corp. AdvanSix Inc. Tronox Ltd. Class A A Schulman Inc. PH Glatfelter Co. Innophos Holdings Inc. Deltic Timber Corp. Calgon Carbon Corp. Clearwater Paper Corp. Century Aluminum Co. Chase Corp. SunCoke Energy Inc. Koppers Holdings Inc. Rayonier Advanced Materials Inc. Fairmount Santrol Holdings Inc. CSW Industrials Inc. Veritiv Corp. Haynes International Inc. American Vanguard Corp. Aceto Corp. Hawkins Inc. Tredegar Corp. KMG Chemicals Inc. OMNOVA Solutions Inc. Kronos Worldwide Inc. FutureFuel Corp. Nexeo Solutions Inc. Cloud Peak Energy Inc. Warrior Met Coal Inc. Codexis Inc. Resolute Forest Products Inc. Gold Resource Corp. Intrepid Potash Inc. LSB Industries Inc. Uranium Energy Corp. Olympic Steel Inc. Hallador Energy Co. Verso Corp. Ryerson Holding Corp. AgroFresh Solutions Inc. Ampco-Pittsburgh Corp. Universal Stainless & Alloy Products Inc. Ur-Energy Inc. ChromaDex Corp. Synalloy Corp. Westmoreland Coal Co. Real Industry Inc. Northern Technologies International Corp. Pershing Gold Corp. NL Industries Inc. Ramaco Resources Inc. Handy & Harman Ltd. Friedman Industries Inc. Senomyx Inc. Uni-Pixel Inc. United-Guardian Inc. Centrus Energy Corp. Class A

2


Shares

Market Value ($000)

514,972 1,807,876 826,813 491,286 176,690 158,073 152,312 6,410 25,983 2,580 5,300 6,800 200

345 330 305 276 228 191 69 57 39 21 8 3 ___________1

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

Solitario Exploration & Royalty Corp. Comstock Mining Inc. General Moly Inc. Golden Minerals Co. Marrone Bio Innovations Inc. Dynasil Corp. of America Rentech Inc. Ikonics Corp. Uranium Resources Inc. TOR Minerals International Inc. Paramount Gold Nevada Corp. US Antimony Corp. Senestech Inc.

14,799,532 Consumer Goods (9.6%) Procter & Gamble Co. Philip Morris International Inc. Coca-Cola Co. PepsiCo Inc. Altria Group Inc. NIKE Inc. Class B Colgate-Palmolive Co. Mondelez International Inc. Class A Reynolds American Inc. Kraft Heinz Co. Monsanto Co. Kimberly-Clark Corp. General Motors Co. *,^ Tesla Inc. Ford Motor Co. Activision Blizzard Inc. General Mills Inc. * Electronic Arts Inc. Constellation Brands Inc. Class A Newell Brands Inc. Archer-Daniels-Midland Co. Delphi Automotive plc Stanley Black & Decker Inc. Estee Lauder Cos. Inc. Class A * Monster Beverage Corp. Tyson Foods Inc. Class A Clorox Co. Kellogg Co. Dr Pepper Snapple Group Inc. Conagra Brands Inc. * Mohawk Industries Inc. VF Corp. Molson Coors Brewing Co. Class B Hershey Co. Whirlpool Corp. Church & Dwight Co. Inc. Coach Inc. Genuine Parts Co. JM Smucker Co. Hasbro Inc. DR Horton Inc. McCormick & Co. Inc. Lennar Corp. Class A Bunge Ltd. Campbell Soup Co. Lear Corp. * LKQ Corp. Harley-Davidson Inc. Snap-on Inc.

58,939,340 35,780,975 88,612,244 32,956,942 44,516,118 30,387,385 20,335,163 33,178,575 19,725,963 14,004,845 10,101,139 8,178,346 29,443,723 2,836,742 89,687,054 16,447,709 13,295,936 6,769,768 3,566,162 11,127,379 13,120,192 6,170,927 3,517,630 5,141,819 9,828,363 6,610,662 2,946,548 5,617,698 4,221,481 9,943,014 1,452,873 6,061,807 4,020,460 3,136,885 1,709,560 5,927,455 6,432,521 3,238,313 2,533,911 2,584,865 8,166,922 2,597,945 4,614,853 3,221,584 4,574,592 1,596,481 6,694,438 4,037,290 1,326,606

3

5,136,563 4,202,475 3,974,259 3,806,197 3,315,115 1,792,856 1,507,446 1,432,983 1,282,977 1,199,375 1,195,571 1,055,906 1,028,469 1,025,794 1,003,598 946,895 736,595 715,700 690,873 596,650 542,914 540,882 495,036 493,512 488,273 414,026 392,598 390,205 384,619 355,562 351,145 349,160 347,127 336,807 327,586 307,516 304,516 300,386 299,838 288,238 282,330 253,326 246,064 240,330 238,565 226,828 220,582 218,094 209,604


Shares

Market Value ($000)

1,812,642 4,894,272 6,076,407 5,777,665 81,988 4,062,318 1,643,406 8,444,135 7,426,648 10,317,592 2,374,725 7,866,111 2,717,780 1,321,033 6,525,663 3,038,084 1,191,482 3,336,235 3,532,998 2,182,534 3,549,223 2,043,386 1,370,319 6,627,913 1,146,871 4,687,909 1,422,288 1,497,096 1,302,080 898,064 1,318,338 1,286,978 1,048,690 2,391,302 4,227,140 3,049,031 3,276,113 4,282,250 748,956 4,311,912 1,184,950 3,298,566 947,281 1,251,858 1,414,209 537,739 18,044,409 929,190 1,793,943 760,691 1,764,177 3,820,856 2,141,964 3,166,268 622,093 1,084,037 539,376 2,932,791 439,703 1,508,523 460,721 601,656 728,058 1,242,049

207,547 207,321 207,266 201,987 197,641 197,429 195,910 195,566 194,281 193,558 174,257 169,357 161,436 160,519 160,074 159,591 151,926 146,928 139,589 130,232 128,659 128,182 126,385 125,731 119,871 111,197 110,441 106,788 106,367 105,585 100,220 94,979 93,281 92,830 91,983 89,946 89,176 86,330 76,438 74,639 74,462 73,657 72,827 72,395 67,910 67,239 65,682 65,257 63,416 62,962 61,076 60,140 59,996 59,684 58,539 57,877 55,232 54,227 53,916 53,703 53,282 50,623 49,697 49,620

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PVH Corp. BorgWarner Inc. Hormel Foods Corp. Goodyear Tire & Rubber Co. NVR Inc. Brown-Forman Corp. Class B Ingredion Inc. Hanesbrands Inc. Leucadia National Corp. Coty Inc. Class A Take-Two Interactive Software Inc. Mattel Inc. Pinnacle Foods Inc. Middleby Corp. PulteGroup Inc. Leggett & Platt Inc. WABCO Holdings Inc. Lamb Weston Holdings Inc. Toll Brothers Inc. Lululemon Athletica Inc. Michael Kors Holdings Ltd. Brunswick Corp. Polaris Industries Inc. Gentex Corp. Thor Industries Inc. Valvoline Inc. Post Holdings Inc. Herbalife Ltd. TreeHouse Foods Inc. Pool Corp. Edgewell Personal Care Co. Ralph Lauren Corp. Class A Carter's Inc. Hain Celestial Group Inc. Under Armour Inc. Class A Skechers U.S.A. Inc. Class A US Foods Holding Corp. Under Armour Inc. Visteon Corp. Flowers Foods Inc. Nu Skin Enterprises Inc. Class A Dana Inc. Wayfair Inc. Tenneco Inc. Energizer Holdings Inc. Spectrum Brands Holdings Inc. Zynga Inc. Class A Tupperware Brands Corp. CalAtlantic Group Inc. Dorman Products Inc. Snyder's-Lance Inc. Darling Ingredients Inc. Wolverine World Wide Inc. Welbilt Inc. Helen of Troy Ltd. Tempur Sealy International Inc. LCI Industries Kate Spade & Co. Lancaster Colony Corp. B&G Foods Inc. Sanderson Farms Inc. iRobot Corp. Deckers Outdoor Corp. Steven Madden Ltd.

4


Shares

Market Value ($000)

2,075,517 2,204,783 3,509,199 1,881,059 339,744 1,206,278 1,367,969 405,090 1,012,407 763,958 10,057,591 1,582,830 652,904 581,328 886,256 1,111,301 679,067 977,573 2,034,790 305,565 934,026 830,317 1,998,683 1,598,227 1,365,040 2,509,081 1,857,332 805,702 210,863 2,140,206 1,228,928 6,676 199,610 652,731 688,983 728,582 1,806,418 363,738 267,844 106,178 459,472 947,267 896,708 322,965 344,919 1,039,534 581,648 3,726,219 604,630 1,150,131 603,832 588,359 262,005 2,015,834 437,127 396,632 501,358 433,221 900,009 618,377 770,303 286,821 399,505 1,830,465

47,343 47,006 46,286 45,089 44,870 43,547 41,586 40,861 40,365 38,893 38,219 38,004 37,908 37,612 37,400 36,117 35,345 34,694 34,591 33,719 32,999 32,216 32,179 31,405 30,727 29,231 28,974 28,683 27,866 27,352 26,938 26,671 25,879 25,848 25,651 25,500 25,290 25,116 25,059 24,301 23,994 22,829 22,373 21,590 21,554 20,843 19,863 19,786 19,530 19,035 18,127 16,798 16,795 16,389 16,196 15,937 15,467 15,098 15,021 14,928 14,751 14,677 14,642 14,113

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Blue Buffalo Pet Products Inc. Vector Group Ltd. TRI Pointe Group Inc. KB Home J&J Snack Foods Corp. Cooper Tire & Rubber Co. Herman Miller Inc. Cooper-Standard Holdings Inc. HNI Corp. Fresh Del Monte Produce Inc. Avon Products Inc. Taylor Morrison Home Corp. Class A Columbia Sportswear Co. Universal Corp. Meritage Homes Corp. La-Z-Boy Inc. Nutrisystem Inc. Select Comfort Corp. Dean Foods Co. WD-40 Co. MDC Holdings Inc. Gentherm Inc. Hostess Brands Inc. Class A Interface Inc. Class A Vista Outdoor Inc. ACCO Brands Corp. American Axle & Manufacturing Holdings Inc. Fox Factory Holding Corp. Boston Beer Co. Inc. Class A Callaway Golf Co. Pilgrim's Pride Corp. Seaboard Corp. Cavco Industries Inc. Cal-Maine Foods Inc. Schweitzer-Mauduit International Inc. Winnebago Industries Inc. Steelcase Inc. Class A Calavo Growers Inc. National Beverage Corp. Coca-Cola Bottling Co. Consolidated Standard Motor Products Inc. Briggs & Stratton Corp. G-III Apparel Group Ltd. Universal Electronics Inc. Oxford Industries Inc. Knoll Inc. Andersons Inc. Fitbit Inc. Class A Ethan Allen Interiors Inc. Modine Manufacturing Co. Central Garden & Pet Co. Class A M/I Homes Inc. USANA Health Sciences Inc. GoPro Inc. Class A Phibro Animal Health Corp. Class A LGI Homes Inc. Camping World Holdings Inc. Class A Tootsie Roll Industries Inc. Kimball International Inc. Class B William Lyon Homes Class A Nautilus Inc. MGP Ingredients Inc. Inter Parfums Inc. Crocs Inc.

5


Shares

Market Value ($000)

124,477 483,876 403,990 1,056,503 444,600 273,691 183,219 560,169 830,934 350,325 1,035,266 412,542 256,945 528,156 448,305 390,353 369,781 594,358 168,058 217,085 1,292,959 470,213 494,694 214,231 243,286 257,556 762,707 798,529 565,323 169,048 352,120 287,000 267,351 2,186,427 121,155 672,715 284,405 2,208,392 661,983 513,844 150,784 206,693 2,465,453 96,105 179,445 492,491 210,121 863,477 185,281 215,360 1,885,251 254,554 114,453 206,432 258,826 129,662 403,894 406,195 74,291 152,127 183,158 208,222 324,287 426,400

13,755 13,166 12,843 12,689 12,555 12,308 11,563 11,511 11,400 10,790 10,715 10,672 10,573 10,479 10,064 9,681 9,337 9,159 9,094 9,002 8,934 8,417 8,212 8,130 7,907 7,791 7,352 7,267 7,180 7,041 6,884 6,782 6,336 6,122 5,841 5,819 5,535 5,521 5,157 5,025 4,682 4,467 4,241 4,037 4,011 3,969 3,541 3,445 3,363 3,362 3,299 3,296 3,191 2,993 2,969 2,876 2,686 2,661 2,630 2,501 2,463 2,445 2,238 2,187

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National Presto Industries Inc. e.l.f. Beauty, Inc. Central Garden & Pet Co. Titan International Inc. Motorcar Parts of America Inc. Lennar Corp. Class B John B Sanfilippo & Son Inc. Superior Industries International Inc. Beazer Homes USA Inc. Unifi Inc. Fossil Group Inc. Malibu Boats Inc. Class A Hooker Furniture Corp. Acushnet Holdings Corp. Tower International Inc. Century Communities Inc. Movado Group Inc. Stoneridge Inc. Flexsteel Industries Inc. Medifast Inc. Iconix Brand Group Inc. Omega Protein Corp. Freshpet Inc. Bassett Furniture Industries Inc. Culp Inc. Farmer Brothers Co. Amplify Snack Brands Inc. Eastman Kodak Co. Primo Water Corp. Nutraceutical International Corp. MCBC Holdings Inc. Limoneira Co. Revlon Inc. Class A Hovnanian Enterprises Inc. Class A Johnson Outdoors Inc. Class A ZAGG Inc. Perry Ellis International Inc. Glu Mobile Inc. Jamba Inc. Vera Bradley Inc. Seneca Foods Corp. Class A Core Molding Technologies Inc. Castle Brands Inc. Oil-Dri Corp. of America Superior Uniform Group Inc. Libbey Inc. Craft Brew Alliance Inc. Sequential Brands Group Inc. Lifetime Brands Inc. Marine Products Corp. 22nd Century Group Inc. Orchids Paper Products Co. Weyco Group Inc. Lakeland Industries Inc. New Home Co. Inc. Delta Apparel Inc. Black Diamond Inc. Vuzix Corp. Strattec Security Corp. A-Mark Precious Metals Inc. Rocky Brands Inc. Shiloh Industries Inc. Crown Crafts Inc. New Age Beverages Corp.

6


Shares

Market Value ($000)

154,008 232,819 132,319 87,197 139,843 145,056 474,433 422,197 59,433 157,509 368,446 143,089 45,429 55,565 421,727 280,522 276,235 218,789 97,315 274,141 98,227 101,469 292,060 141,200 93,919 114,891 130,802 33,986 349,661 56,933 168,431 144,348 298,592 149,701 498,087 188,620 151,209 215,341 19,103 204,049 5,846 23,496 14,046 31,820 13,575 19,300 60,050 80,833 6,400 12,072 22,862 153

2,041 2,035 2,030 2,015 2,014 1,900 1,898 1,820 1,700 1,499 1,481 1,431 1,422 1,386 1,362 1,262 1,196 1,171 1,148 1,138 917 873 862 850 836 798 583 540 528 461 413 319 314 266 234 213 212 198 117 96 89 85 82 64 56 54 49 47 35 23 22 ___________2

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Nature's Sunshine Products Inc. Akoustis Technologies Inc. Turning Point Brands Inc. PolarityTE Inc. Alliance One International Inc. Escalade Inc. JAKKS Pacific Inc. Inventure Foods Inc. Acme United Corp. Unique Fabricating Inc. Lipocine Inc. Natural Alternatives International Inc. Alico Inc. Kewaunee Scientific Corp. US Auto Parts Network Inc. Dixie Group Inc. Lifevantage Corp. Virco Manufacturing Corp. Rocky Mountain Chocolate Factory Inc. S&W Seed Co. Lifeway Foods Inc. LS Starrett Co. Class A Alpha Pro Tech Ltd. Skyline Corp. Tandy Leather Factory Inc. Cherokee Inc. Coffee Holding Co. Inc. Mannatech Inc. Nova Lifestyle Inc. Willamette Valley Vineyards Inc. Reed's Inc. Zedge Inc. Class B Female Health Co. Summer Infant Inc. Vince Holding Corp. Stanley Furniture Co. Inc. Emerson Radio Corp. Charles & Colvard Ltd. P&F Industries Inc. Class A Fenix Parts Inc. CompX International Inc. Cyanotech Corp. CTI Industries Corp. Differential Brands Group Inc. Ocean Bio-Chem Inc. Hovnanian Enterprises Inc. Class B Crystal Rock Holdings Inc. JRjr33 Inc. Long Island Iced Tea Corp. Koss Corp. RiceBran Technologies Bridgford Foods Corp.

55,832,853 Consumer Services (13.0%) * Amazon.com Inc. Comcast Corp. Class A Home Depot Inc. Walt Disney Co. McDonald's Corp. Wal-Mart Stores Inc. * Priceline Group Inc. CVS Health Corp. Starbucks Corp. Time Warner Inc.

9,355,374 108,903,675 27,528,391 34,173,760 18,761,824 34,917,465 1,129,489 23,456,997 31,683,157 16,920,837

7

9,056,002 4,238,531 4,222,855 3,630,962 2,873,561 2,642,554 2,112,732 1,887,350 1,847,445 1,699,021


Shares

Market Value ($000)

21,148,426 10,103,315 4,614,719 19,720,478 9,424,638 14,062,974 23,752,461 15,137,077 4,857,103 12,704,027 6,600,207 12,656,048 22,759,371 7,961,381 9,149,493 8,640,768 7,254,428 11,131,050 8,279,842 9,042,513 10,322,917 21,399,905 6,114,872 2,096,002 6,308,982 5,404,374 3,957,522 2,840,904 1,355,181 655,699 11,881,601 5,147,468 3,766,741 6,020,603 8,202,213 4,965,146 7,328,997 5,573,671 4,852,419 10,597,703 8,306,712 658,690 4,284,370 2,850,974 2,716,139 2,831,513 1,882,188 2,400,370 5,733,878 1,102,818 9,323,742 9,043,901 3,660,774 922,849 1,600,035 32,746,965 7,745,474 1,778,200 2,998,556 6,985,892 488,784 3,973,333 11,180,298 909,375

1,656,133 1,615,823 1,554,468 1,528,929 1,408,135 1,014,925 829,436 813,467 799,188 789,428 662,067 661,785 645,001 587,231 584,561 566,575 565,265 560,226 528,088 522,024 519,449 499,046 460,144 458,479 454,815 448,023 432,280 423,153 389,398 374,050 371,775 359,911 356,070 345,161 317,098 311,613 308,624 300,365 300,122 295,358 278,856 274,081 270,172 257,842 254,964 254,157 252,439 241,021 234,974 233,279 228,805 222,480 198,743 187,181 186,548 179,126 176,829 164,146 162,552 162,352 153,791 153,649 153,170 151,120

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Walgreens Boots Alliance Inc. Costco Wholesale Corp. Charter Communications Inc. Class A Lowe's Cos. Inc. Netflix Inc. TJX Cos. Inc. eBay Inc. Delta Air Lines Inc. McKesson Corp. Southwest Airlines Co. Marriott International Inc. Class A Target Corp. Twenty-First Century Fox Inc. Class A Yum! Brands Inc. Las Vegas Sands Corp. Carnival Corp. Cardinal Health Inc. Sysco Corp. CBS Corp. Class B Ross Stores Inc. American Airlines Group Inc. Kroger Co. United Continental Holdings Inc. O'Reilly Automotive Inc. Dollar General Corp. Omnicom Group Inc. Royal Caribbean Cruises Ltd. Expedia Inc. Ulta Beauty Inc. AutoZone Inc. MGM Resorts International Dollar Tree Inc. AmerisourceBergen Corp. Class A Best Buy Co. Inc. Nielsen Holdings plc DISH Network Corp. Class A Whole Foods Market Inc. L Brands Inc. Hilton Worldwide Holdings Inc. Twenty-First Century Fox Inc. Viacom Inc. Class B Chipotle Mexican Grill Inc. Class A CarMax Inc. Darden Restaurants Inc. Tiffany & Co. Alaska Air Group Inc. Wynn Resorts Ltd. Wyndham Worldwide Corp. Aramark Domino's Pizza Inc. Liberty Interactive Corp. QVC Group Class A Interpublic Group of Cos. Inc. Norwegian Cruise Line Holdings Ltd. Vail Resorts Inc. Advance Auto Parts Inc. Sirius XM Holdings Inc. JetBlue Airways Corp. VCA Inc. Tractor Supply Co. Macy's Inc. Panera Bread Co. Class A Kohl's Corp. News Corp. Class A FactSet Research Systems Inc.

8


Shares

Market Value ($000)

14,942,494 3,590,367 3,031,380 1,614,018 4,754,224 4,508,043 4,128,774 3,161,954 1,936,584 2,702,851 4,927,516 3,367,024 3,108,761 5,469,020 2,100,962 3,097,644 1,755,039 1,593,914 3,257,919 2,530,580 2,551,743 907,817 4,431,729 2,225,900 555,252 2,274,858 1,177,420 3,507,586 837,682 1,793,845 1,103,252 1,983,445 436,744 1,594,665 4,216,988 1,916,758 106,251 1,257,294 1,455,993 1,352,974 350,474 24,200,769 4,939,806 718,908 1,294,277 1,692,629 1,625,675 2,475,827 4,383,723 2,983,193 1,377,835 3,268,011 11,642,212 968,452 1,313,616 1,645,114 104,623 1,255,093 1,013,360 799,396 495,695 1,592,777 1,744,313 1,213,702

150,471 149,718 149,386 148,474 146,953 143,311 138,107 132,707 132,288 129,277 124,223 123,300 121,832 120,264 115,805 107,953 104,618 100,799 99,041 98,313 97,477 97,236 96,479 93,443 92,866 92,609 90,909 90,601 90,595 87,001 86,506 86,478 85,995 82,364 81,641 76,344 75,534 74,708 74,183 72,262 71,682 71,392 71,183 70,812 69,917 69,008 68,538 68,060 67,992 67,629 67,514 66,177 65,662 64,412 64,315 63,995 62,737 61,964 60,599 59,243 58,368 57,436 57,388 56,983

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Staples Inc. Liberty Media Corp-Liberty SiriusXM Class C Shares Foot Locker Inc. Burlington Stores Inc. H&R Block Inc. Copart Inc. Service Corp. International KAR Auction Services Inc. Scripps Networks Interactive Inc. Class A Nordstrom Inc. Discovery Communications Inc. Liberty Media Corp-Liberty Formula One ServiceMaster Global Holdings Inc. Gap Inc. Dunkin' Brands Group Inc. Live Nation Entertainment Inc. Six Flags Entertainment Corp. Signet Jewelers Ltd. Bed Bath & Beyond Inc. Cinemark Holdings Inc. TripAdvisor Inc. Casey's General Stores Inc. Sabre Corp. Liberty Media Corp-Liberty SiriusXM Class A Shares Cracker Barrel Old Country Store Inc. Rollins Inc. Bright Horizons Family Solutions Inc. Discovery Communications Inc. Class A Dun & Bradstreet Corp. Williams-Sonoma Inc. Grand Canyon Education Inc. GrubHub Inc. Madison Square Garden Co. Class A Spirit Airlines Inc. Extended Stay America Inc. Dick's Sporting Goods Inc. Cable One Inc. Cabela's Inc. Texas Roadhouse Inc. Class A AMC Networks Inc. Class A Chemed Corp. Rite Aid Corp. TEGNA Inc. Jack in the Box Inc. Liberty Expedia Holdings Inc. Class A Tribune Media Co. Class A AutoNation Inc. ILG Inc. Wendy's Co. Sprouts Farmers Market Inc. Beacon Roofing Supply Inc. Sally Beauty Holdings Inc. Office Depot Inc. Dave & Buster's Entertainment Inc. Dolby Laboratories Inc. Class A Aaron's Inc. Graham Holdings Co. Class B Five Below Inc. Nexstar Media Group Inc. Class A Murphy USA Inc. Marriott Vacations Worldwide Corp. Hilton Grand Vacations Inc. Sinclair Broadcast Group Inc. Class A Hawaiian Holdings Inc.

9


Shares

Market Value ($000)

2,163,433 363,965 1,065,968 1,027,670 297,352 905,679 2,604,145 828,616 2,970,668 594,256 1,733,998 1,897,329 141,061 1,022,915 2,772,838 860,693 2,334,847 394,465 2,596,249 1,012,175 516,981 1,277,086 1,763,421 2,259,238 1,327,620 1,111,020 2,016,528 5,211,134 3,814,490 1,418,418 699,383 627,440 1,813,118 1,683,324 1,715,593 1,166,040 774,069 704,948 1,153,601 304,254 768,790 388,927 1,845,902 1,125,124 9,487,200 1,279,276 1,513,633 747,196 2,318,306 788,274 1,856,370 1,034,461 416,392 453,941 1,418,581 1,215,152 621,842 2,530,502 6,580,414 821,489 727,087 1,509,819 2,068,867 463,850

56,855 56,369 56,230 55,155 54,505 53,843 53,281 53,239 52,581 52,057 52,055 51,987 51,637 51,453 51,353 50,480 50,456 49,979 49,459 48,888 48,715 48,465 48,088 47,964 47,927 47,329 47,066 46,483 45,965 45,815 45,124 45,025 44,983 44,827 44,571 44,426 43,510 43,178 42,337 41,257 40,023 39,709 39,502 39,492 36,431 36,101 35,646 35,492 34,775 34,613 34,417 34,199 32,620 32,607 31,847 31,715 31,160 31,125 30,599 30,543 30,356 30,091 29,688 29,371

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Lions Gate Entertainment Corp. Class B Stamps.com Inc. John Wiley & Sons Inc. Class A Sotheby's Churchill Downs Inc. Meredith Corp. Regal Entertainment Group Class A Choice Hotels International Inc. New York Times Co. Class A PriceSmart Inc. Yelp Inc. Class A Performance Food Group Co. AMERCO Cheesecake Factory Inc. Michaels Cos. Inc. WebMD Health Corp. GameStop Corp. Class A Buffalo Wild Wings Inc. Caesars Acquisition Co. Class A Big Lots Inc. Lithia Motors Inc. Class A Adtalem Global Education Inc. Avis Budget Group Inc. Bloomin' Brands Inc. Hillenbrand Inc. Ollie's Bargain Outlet Holdings Inc. Planet Fitness Inc. Class A Pandora Media Inc. American Eagle Outfitters Inc. Altice USA Inc. Class A RH Papa John's International Inc. Boyd Gaming Corp. Cars.com Inc. Acxiom Corp. Brinker International Inc. Hyatt Hotels Corp. Class A Matthews International Corp. Class A United Natural Foods Inc. Allegiant Travel Co. Class A SiteOne Landscape Supply Inc. Children's Place Inc. Penn National Gaming Inc. SkyWest Inc. Groupon Inc. Class A Lions Gate Entertainment Corp. Class A Red Rock Resorts Inc. Class A Shutterfly Inc. Etsy Inc. Penske Automotive Group Inc. Urban Outfitters Inc. Core-Mark Holding Co. Inc. Morningstar Inc. Bob Evans Farms Inc. MSG Networks Inc. Scientific Games Corp. Class A Trade Desk Inc. Class A Houghton Mifflin Harcourt Co. JC Penney Co. Inc. Rush Enterprises Inc. Class A Monro Muffler Brake Inc. TrueCar Inc. Time Inc. Group 1 Automotive Inc.

10


Shares

Market Value ($000)

3,018,220 1,895,681 1,532,039 1,996,795 950,982 1,136,904 1,565,950 442,982 2,794,952 1,222,158 907,804 750,020 548,733 1,335,404 674,725 270,468 608,776 1,119,836 240,199 566,999 6,680,984 656,021 824,755 1,724,063 1,681,625 1,522,534 359,343 314,954 644,951 819,275 1,677,476 1,617,140 1,618,948 1,410,809 414,821 446,639 1,372,539 468,538 829,610 1,236,921 1,377,136 484,068 642,961 770,023 1,051,381 710,950 1,330,653 1,293,490 426,167 1,544,675 464,600 787,561 274,860 760,224 939,614 1,565,589 428,022 1,154,768 252,042 1,227,921 618,835 739,911 555,462 574,840

28,432 27,999 27,117 26,557 26,418 25,865 25,478 25,051 24,372 24,150 24,048 23,926 23,919 23,784 23,636 23,152 22,860 22,397 22,391 22,294 21,980 21,924 21,411 21,189 20,919 20,859 20,730 20,551 19,929 19,638 19,459 19,034 18,618 18,482 18,273 18,134 17,541 17,453 16,899 16,674 16,526 16,410 16,113 15,901 15,560 15,463 15,302 15,160 14,865 14,829 14,194 14,113 13,911 13,327 13,314 13,198 12,926 12,887 12,279 12,156 12,098 11,580 11,526 11,181

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Chico's FAS Inc. La Quinta Holdings Inc. DSW Inc. Class A Belmond Ltd. Class A Caleres Inc. AMC Entertainment Holdings Inc. Class A SeaWorld Entertainment Inc. Asbury Automotive Group Inc. Gannett Co. Inc. Pinnacle Entertainment Inc. Sonic Corp. HSN Inc. Scholastic Corp. EW Scripps Co. Class A Liberty Media Corp-Liberty Formula One Class A Capella Education Co. International Speedway Corp. Class A Eldorado Resorts Inc. Strayer Education Inc. Herc Holdings Inc. SUPERVALU Inc. Weight Watchers International Inc. SpartanNash Co. Chegg Inc. Abercrombie & Fitch Co. Gray Television Inc. Dillard's Inc. Class A Red Robin Gourmet Burgers Inc. Wingstop Inc. Liberty Media Corp-Liberty Braves Liberty TripAdvisor Holdings Inc. Class A Denny's Corp. Quotient Technology Inc. ClubCorp Holdings Inc. DineEquity Inc. PetMed Express Inc. Guess? Inc. BJ's Restaurants Inc. World Wrestling Entertainment Inc. Class A New Media Investment Group Inc. Caesars Entertainment Corp. Genesco Inc. Lumber Liquidators Holdings Inc. Tile Shop Holdings Inc. Diplomat Pharmacy Inc. Ruth's Hospitality Group Inc. Hertz Global Holdings Inc. Rent-A-Center Inc. Shake Shack Inc. Class A Career Education Corp. SP Plus Corp. K12 Inc. Providence Service Corp. Laureate Education Inc. Class A Finish Line Inc. Class A GNC Holdings Inc. Class A Marcus Corp. Tailored Brands Inc. Weis Markets Inc. MDC Partners Inc. Class A MarineMax Inc. Party City Holdco Inc. Hibbett Sports Inc. Sonic Automotive Inc. Class A

11


Shares

Market Value ($000)

1,500,682 327,035 787,683 614,493 606,942 833,126 1,621,087 1,395,349 1,564,858 937,876 495,034 821,607 397,190 24,869 774,604 1,908,219 558,022 4,536,143 422,129 398,018 338,557 547,340 819,116 839,845 358,602 377,442 269,732 877,031 340,162 518,924 543,866 784,554 2,969,936 564,652 186,739 296,559 391,431 594,688 521,762 416,423 336,307 493,357 383,536 48,421 679,964 300,962 293,185 565,324 275,562 645,999 466,456 285,230 234,379 191,872 506,469 427,743 445,783 214,085 977,163 272,858 331,392 409,167 222,276 176,551

11,135 10,890 10,831 10,827 10,804 10,706 10,699 10,605 10,563 10,260 10,222 10,065 9,969 9,941 9,907 9,904 9,816 9,753 9,447 9,314 9,127 8,812 8,707 8,625 8,481 8,266 8,159 8,095 8,075 7,836 7,696 7,649 7,544 7,278 7,264 7,070 7,038 6,839 6,809 6,767 6,423 6,414 6,252 6,244 6,188 6,161 6,122 5,851 5,847 5,724 5,714 5,705 5,459 5,344 5,318 5,283 5,193 5,114 5,023 4,969 4,891 4,873 4,603 4,576

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National CineMedia Inc. Ingles Markets Inc. Class A Del Taco Restaurants Inc. XO Group Inc. Buckle Inc. Bankrate Inc. Entravision Communications Corp. Class A Barnes & Noble Inc. Express Inc. Francesca's Holdings Corp. Fiesta Restaurant Group Inc. Carrols Restaurant Group Inc. Haverty Furniture Cos. Inc. Biglari Holdings Inc. Angie's List Inc. Pier 1 Imports Inc. Cato Corp. Class A Ascena Retail Group Inc. Trupanion Inc. Chuy's Holdings Inc. Carriage Services Inc. Class A Del Frisco's Restaurant Group Inc. Barnes & Noble Education Inc. Regis Corp. American Public Education Inc. Emerald Expositions Events Inc. Monarch Casino & Resort Inc. Fred's Inc. Class A Intrawest Resorts Holdings Inc. Care.com Inc. News Corp. Class B 1-800-Flowers.com Inc. Class A Clean Energy Fuels Corp. tronc Inc. America's Car-Mart Inc. RCI Hospitality Holdings Inc. Titan Machinery Inc. Potbelly Corp. Big 5 Sporting Goods Corp. Bojangles' Inc. Conn's Inc. Chefs' Warehouse Inc. Overstock.com Inc. Winmark Corp. Smart & Final Stores Inc. Carvana Co. Shoe Carnival Inc. Entercom Communications Corp. Class A Citi Trends Inc. Sears Holdings Corp. J Alexander's Holdings Inc. FTD Cos. Inc. At Home Group Inc. Natural Health Trends Corp. Lindblad Expeditions Holdings Inc. Zumiez Inc. Vitamin Shoppe Inc. Liberty Media Corp-Liberty Braves Rubicon Project Inc. Duluth Holdings Inc. Bridgepoint Education Inc. Zoe's Kitchen Inc. Golden Entertainment Inc. Village Super Market Inc. Class A

12


Shares

Market Value ($000)

275,292 242,771 21,340 154,313 743,514 825,901 61,089 297,630 241,130 1,047,406 198,139 350,275 339,649 262,951 71,295 214,399 304,451 997,810 594,385 224,316 123,872 199,032 246,659 396,483 942,426 242,959 425,774 1,270,968 588,314 186,218 419,625 377,018 1,110,959 280,083 145,596 418,968 985,841 217,020 378,981 173,867 186,039 152,382 213,369 82,067 219,126 354,698 353,521 576,476 571,863 248,408 171,361 119,549 581,485 1,180,565 122,966 647,639 277,204 77,519 227,535 302,362 313,955 230,267 152,775 153,644

4,440 4,435 4,402 4,037 4,015 4,006 3,849 3,825 3,810 3,729 3,715 3,660 3,492 3,316 3,262 3,195 3,157 3,143 3,126 3,118 3,078 3,057 2,923 2,922 2,808 2,721 2,704 2,555 2,453 2,421 2,308 2,232 2,111 2,059 2,016 1,969 1,873 1,795 1,781 1,780 1,738 1,669 1,664 1,588 1,551 1,536 1,449 1,355 1,287 1,259 1,217 1,213 1,209 1,181 1,148 1,095 1,081 1,004 994 850 703 645 565 545

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Reading International Inc. Class A Speedway Motorsports Inc. Daily Journal Corp. CSS Industries Inc. Sportsman's Warehouse Holdings Inc. Clear Channel Outdoor Holdings Inc. Class A Nathan's Famous Inc. West Marine Inc. Habit Restaurants Inc. Class A Global Eagle Entertainment Inc. PCM Inc. Build-A-Bear Workshop Inc. Kirkland's Inc. Autobytel Inc. Saga Communications Inc. Class A Lands' End Inc. TechTarget Inc. Drive Shack Inc. Avid Technology Inc. Fogo De Chao Inc. Collectors Universe Inc. Ascent Capital Group Inc. Class A Hemisphere Media Group Inc. Class A Century Casinos Inc. Marchex Inc. Class B Gaia Inc. Class A Liquidity Services Inc. Ruby Tuesday Inc. QuinStreet Inc. Inspired Entertainment Inc. AH Belo Corp. Class A Container Store Group Inc. Lee Enterprises Inc. Red Lion Hotels Corp. El Pollo Loco Holdings Inc. YuMe Inc. Tuesday Morning Corp. Natural Grocers by Vitamin Cottage Inc. Town Sports International Holdings Inc. Townsquare Media Inc. Class A Blue Apron Holdings Inc. Class A Travelzoo Leaf Group Ltd. Wayside Technology Group Inc. Boot Barn Holdings Inc. RealNetworks Inc. Peak Resorts Inc. Destination XL Group Inc. Urban One Inc. Cambium Learning Group Inc. Salem Media Group Inc. Class A Tilly's Inc. Class A Stage Stores Inc. EVINE Live Inc. McClatchy Co. Class A Stein Mart Inc. Noodles & Co. Class A Liberty Tax Inc. Papa Murphy's Holdings Inc. Luby's Inc. Nevada Gold & Casinos Inc. Remark Holdings Inc. Kona Grill Inc. Good Times Restaurants Inc.

13


Shares

Market Value ($000)

167,111 21,210 373,504 111,686 206,195 353,189 430,786 171,618 165,077 128,798 298,523 109,373 86,205 355,603 27,874 6,949 263,550 242,762 100,927 9,438 5,174 23,972 12,522 257,942 41,720 225,465 87,240 64,564 34,555 1,375 4,842 49,473 16,045 19,446 1,610 5,600 300 1,162 42,843 1,430 2,782 950

541 517 515 514 503 459 444 434 358 334 331 315 315 295 295 253 253 250 204 173 150 142 133 116 108 99 91 85 65 34 33 32 28 20 16 15 11 9 7 5 3 ___________2

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Destination Maternity Corp. Ark Restaurants Corp. New York & Co. Inc. Bravo Brio Restaurant Group Inc. Full House Resorts Inc. Profire Energy Inc. Digital Turbine Inc. National American University Holdings Inc. ONE Group Hospitality Inc. CafePress Inc. Dover Downs Gaming & Entertainment Inc. Emmis Communications Corp. Class A Famous Dave's of America Inc. TheStreet Inc. Live Ventures Inc. Rush Enterprises Inc. Class B Spark Networks Inc. Harte-Hanks Inc. Rave Restaurant Group Inc. Value Line Inc. Flanigan's Enterprises Inc. bebe stores inc Educational Development Corp. Cumulus Media Inc. Class A Diversified Restaurant Holdings Inc. Bon-Ton Stores Inc. Insignia Systems Inc. Christopher & Banks Corp. VistaGen Therapeutics Inc. Haverty Furniture Cos. Inc. Class A NTN Buzztime Inc. Net Element Inc. WeCast Network Inc. SPAR Group Inc. Beasley Broadcast Group Inc. Class A Sears Hometown and Outlet Stores Inc. Viacom Inc. Class A MaxPoint Interactive Inc. Universal Travel Group Genius Brands International Inc. Social Reality Inc. Urban One Inc. Class A

75,334,894 Financials (20.4%) JPMorgan Chase & Co. * Berkshire Hathaway Inc. Class B Wells Fargo & Co. Bank of America Corp. Citigroup Inc. Visa Inc. Class A Mastercard Inc. Class A US Bancorp Goldman Sachs Group Inc. Chubb Ltd. American Express Co. Morgan Stanley PNC Financial Services Group Inc. American International Group Inc. American Tower Corporation Charles Schwab Corp. Bank of New York Mellon Corp. Simon Property Group Inc. BlackRock Inc. MetLife Inc.

81,849,498 43,189,943 103,615,142 229,168,479 63,394,487 42,493,554 21,900,088 36,988,281 8,152,102 10,219,631 17,604,110 32,131,571 11,174,563 21,184,034 9,794,579 27,711,528 22,969,347 7,210,593 2,730,248 19,871,441

14

7,481,044 7,315,081 5,741,315 5,559,627 4,239,823 3,985,045 2,659,766 1,920,432 1,808,951 1,485,730 1,482,970 1,431,783 1,395,368 1,324,426 1,296,019 1,190,487 1,171,896 1,166,386 1,153,284 1,091,737


Shares

Market Value ($000)

9,858,176 7,437,686 11,863,444 11,046,306 13,681,364 5,953,585 18,683,428 8,432,801 6,416,789 6,040,294 1,794,539 8,322,725 8,378,015 9,267,437 12,189,324 3,406,445 11,268,393 8,429,838 3,177,828 13,377,687 17,291,827 8,169,475 8,435,767 18,602,064 8,827,119 3,204,145 5,019,672 25,207,067 3,746,244 8,655,686 17,325,685 3,525,572 3,537,734 2,981,473 6,626,854 11,736,521 3,677,465 28,190,263 5,307,205 1,513,948 2,759,982 2,789,595 3,908,373 3,632,278 7,979,191 7,789,995 5,141,056 6,275,196 10,763,687 24,964,685 14,190,793 9,326,467 16,972,939 6,618,379 306,828 4,053,778 23,566,899 2,616,107 5,960,296 6,078,758 2,839,243 6,076,954 3,590,760 2,905,205

1,066,063 931,496 924,874 912,646 901,876 869,164 848,414 844,798 811,916 803,057 770,144 746,798 740,952 719,894 714,782 710,346 639,143 630,973 610,683 589,822 579,276 567,615 555,327 554,714 548,959 518,911 487,962 472,380 455,843 455,029 449,775 448,770 435,212 433,685 424,583 418,759 415,370 412,705 393,848 389,493 379,277 376,316 366,996 363,591 351,404 348,914 347,433 346,265 344,007 337,523 334,335 328,198 310,096 309,806 299,421 296,899 283,981 275,685 267,200 266,250 264,873 261,248 260,151 252,027

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Prudential Financial Inc. CME Group Inc. Marsh & McLennan Cos. Inc. Capital One Financial Corp. Intercontinental Exchange Inc. S&P Global Inc. BB&T Corp. Crown Castle International Corp. Travelers Cos. Inc. Aon plc Equinix Inc. State Street Corp. Allstate Corp. Aflac Inc. Prologis Inc. Public Storage SunTrust Banks Inc. Welltower Inc. AvalonBay Communities Inc. Progressive Corp. Weyerhaeuser Co. Ventas Inc. Equity Residential Synchrony Financial Discover Financial Services M&T Bank Corp. Northern Trust Corp. KeyCorp Moody's Corp. Hartford Financial Services Group Inc. Fifth Third Bancorp Ameriprise Financial Inc. Boston Properties Inc. Willis Towers Watson plc Principal Financial Group Inc. Citizens Financial Group Inc. Digital Realty Trust Inc. Regions Financial Corp. T. Rowe Price Group Inc. Essex Property Trust Inc. Equifax Inc. SBA Communications Corp. Class A Vornado Realty Trust First Republic Bank IHS Markit Ltd. Franklin Resources Inc. Lincoln National Corp. Realty Income Corp. HCP Inc. Huntington Bancshares Inc. GGP Inc. Invesco Ltd. Host Hotels & Resorts Inc. Loews Corp. Markel Corp. Comerica Inc. Annaly Capital Management Inc. Mid-America Apartment Communities Inc. FNF Group XL Group Ltd. Arch Capital Group Ltd. TD Ameritrade Holding Corp. Cincinnati Financial Corp. Liberty Broadband Corp.

15


Shares

Market Value ($000)

2,089,966 981 2,325,257 5,219,542 6,173,354 6,307,844 6,569,152 2,972,700 4,101,548 8,167,936 10,764,381 2,094,771 1,299,180 2,343,848 2,744,445 1,204,888 11,011,601 1,654,331 3,322,221 341,588 4,615,603 5,778,670 2,560,164 3,319,562 3,288,474 2,661,058 1,480,120 22,588,056 706,089 3,292,577 8,163,775 2,016,344 1,191,528 12,075,082 9,270,508 2,252,386 824,607 2,464,050 3,336,516 4,350,026 1,855,064 1,596,541 4,109,548 3,596,179 4,482,124 2,110,893 3,086,552 1,628,332 1,911,652 10,635,157 7,899,124 2,989,252 3,359,301 4,373,274 5,558,070 5,971,609 3,411,961 1,271,716 2,795,470 940,363 2,009,418 1,033,919 2,757,172 3,349,451

251,778 249,861 246,012 243,387 240,576 239,887 239,117 238,470 234,814 228,294 224,976 215,740 215,482 214,228 214,067 211,807 209,771 209,091 208,104 203,177 202,671 198,555 195,853 194,460 190,929 190,239 190,033 183,867 179,763 177,075 173,807 172,418 171,020 170,138 170,114 169,267 165,828 162,652 162,488 160,472 160,166 158,648 154,807 154,528 148,000 146,010 145,994 142,788 140,640 139,640 139,499 138,492 136,757 136,053 134,339 133,704 133,408 131,864 131,024 130,757 129,929 129,240 128,760 127,983

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Alexandria Real Estate Equities Inc. Berkshire Hathaway Inc. Class A SL Green Realty Corp. Unum Group UDR Inc. E*TRADE Financial Corp. CBRE Group Inc. Class A Raymond James Financial Inc. Arthur J Gallagher & Co. Duke Realty Corp. Ally Financial Inc. MSCI Inc. Class A Affiliated Managers Group Inc. CBOE Holdings Inc. Extra Space Storage Inc. SVB Financial Group Western Union Co. Federal Realty Investment Trust Regency Centers Corp. Alleghany Corp. Zions Bancorporation Iron Mountain Inc. Torchmark Corp. East West Bancorp Inc. Macerich Co. Nasdaq Inc. Reinsurance Group of America Inc. Class A VEREIT Inc. Everest Re Group Ltd. SEI Investments Co. AGNC Investment Corp. Camden Property Trust Signature Bank Colony NorthStar Inc. Class A Kimco Realty Corp. Kilroy Realty Corp. MarketAxess Holdings Inc. WP Carey Inc. CIT Group Inc. Voya Financial Inc. Equity LifeStyle Properties Inc. American Financial Group Inc. Gaming and Leisure Properties Inc. Apartment Investment & Management Co. Omega Healthcare Investors Inc. WR Berkley Corp. American Campus Communities Inc. Sun Communities Inc. Lamar Advertising Co. Class A New York Community Bancorp Inc. People's United Financial Inc. Lazard Ltd. Class A Liberty Property Trust Healthcare Trust of America Inc. Class A Forest City Realty Trust Inc. Class A Starwood Property Trust Inc. National Retail Properties Inc. Assurant Inc. Bank of the Ozarks RenaissanceRe Holdings Ltd. Axis Capital Holdings Ltd. Jones Lang LaSalle Inc. PacWest Bancorp Douglas Emmett Inc.

16


Shares

Market Value ($000)

3,829,969 1,328,464 2,983,347 6,957,977 2,497,666 2,151,057 3,569,613 2,358,164 2,387,808 1,645,597 2,498,739 2,670,548 6,924,732 5,039,395 2,535,712 2,630,275 2,115,171 5,478,986 5,713,709 1,800,470 2,106,118 3,763,996 6,974,093 2,194,810 1,906,158 8,252,028 1,683,809 3,246,134 7,284,755 3,466,723 2,437,814 826,091 1,911,988 4,114,949 2,863,157 1,528,809 3,835,550 1,174,627 1,818,387 8,478,140 1,933,233 1,230,544 5,089,764 5,276,360 2,688,520 4,882,858 6,832,353 1,749,216 2,875,849 2,295,381 3,493,237 3,913,787 1,133,342 3,212,663 965,152 2,964,170 2,883,174 9,632,716 2,775,016 1,003,357 4,089,026 1,934,360 3,931,947 11,057,041

126,810 124,756 124,525 124,409 122,411 122,245 122,045 119,582 118,459 118,269 118,240 118,145 115,297 113,739 113,321 113,286 113,035 111,990 111,589 110,117 109,981 109,720 108,517 107,985 106,268 106,204 105,743 105,337 103,152 102,996 101,681 101,477 101,144 98,923 98,235 98,211 96,426 95,732 95,083 94,955 94,728 94,063 93,448 91,914 91,813 91,358 91,280 90,907 90,877 89,979 88,030 87,865 87,721 86,613 85,541 85,279 85,255 84,672 83,528 83,249 82,353 82,133 82,099 81,933

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Janus Henderson Group plc Cullen/Frost Bankers Inc. Assured Guaranty Ltd. Brixmor Property Group Inc. Zillow Group Inc. Commerce Bancshares Inc. Hudson Pacific Properties Inc. Highwoods Properties Inc. Athene Holding Ltd. Class A EPR Properties Eaton Vance Corp. Synovus Financial Corp. Navient Corp. American Homes 4 Rent Class A First American Financial Corp. Brown & Brown Inc. DCT Industrial Trust Inc. Senior Housing Properties Trust Old Republic International Corp. DuPont Fabros Technology Inc. Webster Financial Corp. Hospitality Properties Trust New Residential Investment Corp. Western Alliance Bancorp CyrusOne Inc. Medical Properties Trust Inc. Pinnacle Financial Partners Inc. Realogy Holdings Corp. FNB Corp. Gramercy Property Trust Popular Inc. Howard Hughes Corp. Allied World Assurance Co. Holdings AG CubeSmart Colony Starwood Homes Prosperity Bancshares Inc. Uniti Group Inc. IBERIABANK Corp. Liberty Ventures Class A MGIC Investment Corp. Hancock Holding Co. Wintrust Financial Corp. Umpqua Holdings Corp. First Horizon National Corp. Healthcare Realty Trust Inc. Apple Hospitality REIT Inc. Investors Bancorp Inc. Validus Holdings Ltd. Equity Commonwealth United Bankshares Inc. Associated Banc-Corp STORE Capital Corp. Texas Capital Bancshares Inc. Park Hotels & Resorts Inc. Hanover Insurance Group Inc. Rayonier Inc. GEO Group Inc. Cousins Properties Inc. Weingarten Realty Investors Bank of Hawaii Corp. Physicians Realty Trust LPL Financial Holdings Inc. CNO Financial Group Inc. Spirit Realty Capital Inc.

17


Shares

Market Value ($000)

785,447 2,408,313 1,835,855 5,010,959 4,931,796 8,061,019 1,044,468 1,630,893 2,251,415 1,063,695 1,049,866 1,307,144 2,009,994 2,569,233 2,674,963 4,099,848 3,995,550 8,959,983 2,712,100 3,594,540 85,878 1,224,115 3,170,070 2,935,159 576,122 3,386,963 4,416,702 890,645 1,401,802 3,967,083 5,793,146 2,931,240 1,470,254 262,098 1,332,726 1,997,015 1,742,215 5,372,508 7,167,095 1,673,918 1,762,222 2,037,878 5,092,311 1,455,164 994,988 2,831,662 1,080,681 1,684,607 1,098,402 728,462 2,095,170 446,870 5,139,518 1,926,323 157,614 2,158,501 3,509,793 652,683 1,271,223 2,968,535 1,354,596 1,097,255 1,980,641 1,458,499

81,317 81,184 80,851 80,777 80,635 79,885 79,118 78,952 78,867 78,820 78,593 77,840 76,701 76,563 76,557 76,380 75,915 75,174 74,800 74,659 74,596 74,426 73,292 73,085 72,056 71,397 70,667 70,539 69,880 69,543 68,417 68,151 67,602 67,396 66,703 66,301 66,117 65,598 65,006 64,864 64,515 64,397 64,367 64,318 63,689 63,373 63,004 62,566 61,258 61,045 59,189 59,161 59,104 58,753 58,743 56,078 55,946 55,935 55,425 55,363 55,281 54,676 54,666 54,577

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CoreSite Realty Corp. BankUnited Inc. MB Financial Inc. Sunstone Hotel Investors Inc. Radian Group Inc. Two Harbors Investment Corp. Primerica Inc. Chemical Financial Corp. Corporate Office Properties Trust Life Storage Inc. UMB Financial Corp. Taubman Centers Inc. Legg Mason Inc. LaSalle Hotel Properties First Industrial Realty Trust Inc. Chimera Investment Corp. Fulton Financial Corp. MFA Financial Inc. CoreCivic Inc. Empire State Realty Trust Inc. White Mountains Insurance Group Ltd. ProAssurance Corp. Outfront Media Inc. Home BancShares Inc. Erie Indemnity Co. Class A Piedmont Office Realty Trust Inc. Class A Paramount Group Inc. National Health Investors Inc. Aspen Insurance Holdings Ltd. Brandywine Realty Trust Valley National Bancorp Sterling Bancorp Stifel Financial Corp. Credit Acceptance Corp. Selective Insurance Group Inc. Washington Federal Inc. Cathay General Bancorp Retail Properties of America Inc. DDR Corp. Education Realty Trust Inc. Glacier Bancorp Inc. Blackstone Mortgage Trust Inc. Class A BGC Partners Inc. Class A First Financial Bankshares Inc. Ryman Hospitality Properties Inc. Columbia Property Trust Inc. FirstCash Inc. Essent Group Ltd. Community Bank System Inc. EastGroup Properties Inc. Federated Investors Inc. Class B PS Business Parks Inc. SLM Corp. BancorpSouth Inc. First Citizens BancShares Inc. Class A Tanger Factory Outlet Centers Inc. TCF Financial Corp. South State Corp. Blackhawk Network Holdings Inc. Hope Bancorp Inc. Great Western Bancorp Inc. HealthEquity Inc. STAG Industrial Inc. Interactive Brokers Group Inc.

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Shares

Market Value ($000)

1,709,204 1,102,287 3,118,876 1,349,961 2,385,439 2,676,832 1,910,493 745,616 2,205,325 954,996 1,614,324 1,890,598 1,856,486 2,146,451 1,901,801 4,490,364 2,741,610 923,991 2,517,445 1,490,941 1,296,028 406,361 2,187,260 2,430,522 915,617 8,385,111 1,318,133 548,957 1,744,444 720,900 2,415,542 977,469 2,645,586 2,371,081 11,637,882 1,060,223 1,549,066 980,501 749,404 4,236,962 2,077,840 1,511,415 2,156,423 1,321,262 2,862,412 1,053,263 2,213,435 1,064,730 831,553 822,664 199,413 2,161,791 592,246 646,656 1,054,920 964,838 974,183 2,022,499 1,365,071 1,013,925 1,480,039 3,826,696 973,708 4,360,782

54,524 53,836 53,801 53,796 53,505 53,189 53,112 52,566 52,332 52,162 52,046 50,479 50,385 50,034 49,979 49,169 48,554 48,352 48,310 47,949 47,435 47,337 47,310 47,079 47,054 46,202 46,201 46,184 45,722 45,633 45,050 44,670 44,208 43,984 43,875 43,872 43,064 42,887 42,349 41,988 41,868 41,473 41,080 40,695 40,675 40,582 40,528 40,353 39,707 39,652 39,613 39,582 39,473 39,187 38,916 38,729 38,519 38,286 37,812 37,465 37,164 37,157 37,127 36,500

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Washington REIT Zillow Group Inc. Class A Old National Bancorp Columbia Banking System Inc. CVB Financial Corp. RLJ Lodging Trust Acadia Realty Trust Evercore Partners Inc. Class A Urban Edge Properties RLI Corp. Pebblebrook Hotel Trust Care Capital Properties Inc. Mack-Cali Realty Corp. First Midwest Bancorp Inc. American Equity Investment Life Holding Co. DiamondRock Hospitality Co. HRG Group Inc. QTS Realty Trust Inc. Class A Retail Opportunity Investments Corp. Trustmark Corp. Financial Engines Inc. American National Insurance Co. Invitation Homes Inc. Xenia Hotels & Resorts Inc. LTC Properties Inc. LendingClub Corp. International Bancshares Corp. BOK Financial Corp. Hilltop Holdings Inc. Eagle Bancorp Inc. Summit Hotel Properties Inc. Potlatch Corp. Invesco Mortgage Capital Inc. Apollo Commercial Real Estate Finance Inc. Genworth Financial Inc. Class A Alexander & Baldwin Inc. United Community Banks Inc. Renasant Corp. Banner Corp. Lexington Realty Trust Astoria Financial Corp. Rexford Industrial Realty Inc. Kennedy-Wilson Holdings Inc. Towne Bank Capitol Federal Financial Inc. Green Dot Corp. Class A Government Properties Income Trust PRA Group Inc. FCB Financial Holdings Inc. Class A Ameris Bancorp Enstar Group Ltd. Quality Care Properties Inc. Independent Bank Corp. Argo Group International Holdings Ltd. ServisFirst Bancshares Inc. First Merchants Corp. WesBanco Inc. Kite Realty Group Trust First Financial Bancorp NBT Bancorp Inc. Four Corners Property Trust Inc. Monogram Residential Trust Inc. LegacyTexas Financial Group Inc. Washington Prime Group Inc.

19


Shares

Market Value ($000)

1,191,903 1,077,735 1,875,549 897,713 909,292 1,455,218 645,091 1,371,457 657,126 4,118,979 913,118 1,014,911 2,184,473 1,392,434 1,500,794 1,363,860 2,610,818 725,071 1,070,573 3,751,158 311,160 575,842 1,308,855 1,718,779 3,753,872 574,343 895,988 644,303 1,303,783 179,376 858,439 1,739,462 1,474,948 3,091,178 688,115 363,827 782,322 803,104 617,145 1,125,936 1,822,731 1,843,286 2,667,208 1,474,973 654,137 2,409,696 2,072,615 332,739 552,944 1,112,747 550,330 1,418,584 1,658,217 1,636,282 644,427 1,137,337 2,298,852 1,635,916 948,397 1,557,415 1,489,338 605,282 411,192 1,095,136

36,496 36,277 35,410 35,361 35,099 34,969 34,835 34,808 34,762 34,723 34,516 34,405 34,100 33,558 33,378 33,374 33,314 32,882 32,867 32,410 32,274 32,270 32,185 31,866 31,570 31,531 31,494 31,461 30,926 30,889 29,848 29,640 29,410 29,150 29,107 28,939 28,868 28,799 28,308 27,991 27,979 27,373 27,125 26,977 26,787 26,699 26,281 26,193 26,044 25,449 25,249 24,967 24,873 24,626 24,553 24,453 23,977 23,884 23,710 23,579 23,532 23,515 23,417 23,107

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First Hawaiian Inc. Terreno Realty Corp. Waddell & Reed Financial Inc. Class A American Assets Trust Inc. Kemper Corp. Select Income REIT Mercury General Corp. Provident Financial Services Inc. Simmons First National Corp. Class A CBL & Associates Properties Inc. Horace Mann Educators Corp. Union Bankshares Corp. Northwest Bancshares Inc. Sabra Health Care REIT Inc. Global Net Lease Inc. Chesapeake Lodging Trust Santander Consumer USA Holdings Inc. WSFS Financial Corp. Artisan Partners Asset Management Inc. Class A New York REIT Inc. Park National Corp. Westamerica Bancorporation OneMain Holdings Inc. Class A CareTrust REIT Inc. CYS Investments Inc. Navigators Group Inc. Berkshire Hills Bancorp Inc. Walker & Dunlop Inc. BofI Holding Inc. LendingTree Inc. HFF Inc. Class A Redwood Trust Inc. KCG Holdings Inc. Class A MBIA Inc. Employers Holdings Inc. Universal Health Realty Income Trust Pacific Premier Bancorp Inc. S&T Bancorp Inc. Agree Realty Corp. CenterState Banks Inc. Boston Private Financial Holdings Inc. Kearny Financial Corp. WisdomTree Investments Inc. PennyMac Mortgage Investment Trust Black Knight Financial Services Inc. Class A Franklin Street Properties Corp. First Commonwealth Financial Corp. Tompkins Financial Corp. Heartland Financial USA Inc. Hannon Armstrong Sustainable Infrastructure Capital Inc. Lakeland Financial Corp. NRG Yield Inc. Beneficial Bancorp Inc. Monmouth Real Estate Investment Corp. Capital Bank Financial Corp. Banc of California Inc. Capstead Mortgage Corp. Brookline Bancorp Inc. ARMOUR Residential REIT Inc. AmTrust Financial Services Inc. FNFV Group Moelis & Co. Class A AMERISAFE Inc. National General Holdings Corp.

20


Shares

Market Value ($000)

508,503 1,783,318 3,968,135 991,946 1,222,015 242,865 1,470,692 564,561 608,860 833,925 3,117,816 981,644 642,681 328,655 764,759 399,651 339,501 532,930 889,806 678,102 358,577 451,182 623,011 48,932 465,287 1,696,536 1,078,675 499,386 1,453,068 503,558 1,060,220 1,079,210 699,599 324,723 1,146,810 455,493 1,142,148 756,011 488,034 1,676,876 1,399,375 3,002,255 191,946 549,472 872,782 1,641,822 203,072 719,659 596,799 630,394 207,597 664,586 623,520 948,706 1,568,122 641,293 862,138 154,023 615,757 993,069 414,084 291,364 390,146 51,798

23,076 23,005 22,975 22,924 22,913 22,829 22,752 22,667 22,650 22,616 22,479 22,470 22,455 22,447 22,423 22,400 22,363 21,669 21,444 21,340 21,335 21,210 20,628 20,623 20,501 20,426 20,279 20,245 20,198 20,006 19,985 19,944 19,904 19,467 19,381 19,108 19,062 19,051 18,985 18,982 18,766 18,644 18,542 18,413 18,285 18,224 18,073 18,063 17,874 17,828 17,810 17,612 17,577 17,561 17,422 17,392 17,320 17,089 17,041 17,031 16,895 16,893 16,581 16,556

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Stewart Information Services Corp. Ramco-Gershenson Properties Trust First BanCorp National Storage Affiliates Trust St. Joe Co. Infinity Property & Casualty Corp. TFS Financial Corp. Encore Capital Group Inc. First Interstate BancSystem Inc. Class A State Bank Financial Corp. FelCor Lodging Trust Inc. Parkway Inc. Southside Bancshares Inc. Safety Insurance Group Inc. First Busey Corp. RE/MAX Holdings Inc. Class A City Holding Co. Sandy Spring Bancorp Inc. Seacoast Banking Corp. of Florida Central Pacific Financial Corp. Independent Bank Group Inc. Nelnet Inc. Class A National Bank Holdings Corp. Class A Alexander's Inc. United Fire Group Inc. iStar Inc. MTGE Investment Corp. Cohen & Steers Inc. Third Point Reinsurance Ltd. James River Group Holdings Ltd. Lakeland Bancorp Inc. Tier REIT Inc. Hanmi Financial Corp. Piper Jaffray Cos. Meridian Bancorp Inc. Seritage Growth Properties Class A United Financial Bancorp Inc. Universal Insurance Holdings Inc. Stock Yards Bancorp Inc. Pennsylvania REIT Ladder Capital Corp. Class A Investors Real Estate Trust BancFirst Corp. MainSource Financial Group Inc. Easterly Government Properties Inc. Maiden Holdings Ltd. Meta Financial Group Inc. Getty Realty Corp. Univest Corp. of Pennsylvania Customers Bancorp Inc. Liberty Broadband Corp. Class A Heritage Financial Corp. Flushing Financial Corp. Hersha Hospitality Trust Class A First Potomac Realty Trust OceanFirst Financial Corp. Chatham Lodging Trust Virtus Investment Partners Inc. HomeStreet Inc. Northfield Bancorp Inc. Enterprise Financial Services Corp. Saul Centers Inc. Bryn Mawr Bank Corp. National Western Life Group Inc. Class A

21


Shares

Market Value ($000)

319,763 466,459 469,410 2,100,422 843,656 516,734 431,656 939,384 1,590,630 2,557,237 388,883 574,827 357,293 692,102 291,443 894,239 500,771 1,561,924 445,139 883,937 712,652 350,137 75,041 1,306,701 714,527 519,341 240,114 2,402,741 798,916 820,481 300,033 258,874 1,162,978 414,171 1,063,778 701,155 288,271 517,691 358,904 373,210 722,990 776,666 998,346 590,939 510,129 502,211 922,989 2,091,670 394,715 530,877 671,785 616,330 1,073,044 470,108 361,168 721,243 274,705 492,944 591,206 233,216 323,833 533,846 340,026 1,143,684

16,484 16,396 16,382 16,278 16,156 16,153 16,105 16,016 15,986 15,906 15,641 15,635 15,632 15,607 15,583 15,560 15,434 15,416 15,175 15,160 15,137 15,024 14,963 14,962 14,934 14,853 14,767 14,440 14,293 13,997 13,856 13,850 13,816 13,792 13,765 13,743 13,664 13,641 13,552 13,492 13,289 13,242 12,929 12,877 12,855 12,831 12,719 12,717 12,682 12,438 12,294 12,203 12,200 11,377 11,370 11,360 11,332 11,269 11,144 11,031 10,878 10,730 10,639 10,579

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Washington Trust Bancorp Inc. TriCo Bancshares Houlihan Lokey Inc. Class A TrustCo Bank Corp. NY InfraREIT Inc. First Bancorp Kinsale Capital Group Inc. Oritani Financial Corp. New Senior Investment Group Inc. New York Mortgage Trust Inc. PJT Partners Inc. Guaranty Bancorp Community Trust Bancorp Inc. ConnectOne Bancorp Inc. Preferred Bank CoBiz Financial Inc. Flagstar Bancorp Inc. Independence Realty Trust Inc. German American Bancorp Inc. Forestar Group Inc. Investment Technology Group Inc. Camden National Corp. Diamond Hill Investment Group Inc. NMI Holdings Inc. Class A Greenlight Capital Re Ltd. Class A First of Long Island Corp. FBL Financial Group Inc. Class A Anworth Mortgage Asset Corp. Nationstar Mortgage Holdings Inc. NRG Yield Inc. Class A Stonegate Bank Great Southern Bancorp Inc. Park Sterling Corp. Bridge Bancorp Inc. Altisource Residential Corp. Dime Community Bancshares Inc. QCR Holdings Inc. Horizon Bancorp INTL. FCStone Inc. CU Bancorp State National Cos. Inc. UMH Properties Inc. Armada Hoffler Properties Inc. Gladstone Commercial Corp. TriState Capital Holdings Inc. Pacific Continental Corp. Heritage Commerce Corp. Ashford Hospitality Trust Inc. Peoples Bancorp Inc. One Liberty Properties Inc. AG Mortgage Investment Trust Inc. Urstadt Biddle Properties Inc. Class A CatchMark Timber Trust Inc. Class A Live Oak Bancshares Inc. Mercantile Bank Corp. Preferred Apartment Communities Inc. Class A Franklin Financial Network Inc. Fidelity Southern Corp. Waterstone Financial Inc. First Financial Corp. CorEnergy Infrastructure Trust Inc. Greenhill & Co. Inc. Peapack Gladstone Financial Corp. Republic First Bancorp Inc.

22


Shares

Market Value ($000)

599,207 200,600 1,046,533 420,244 480,432 272,793 307,657 401,998 388,802 259,060 593,533 991,945 617,171 676,707 392,183 154,969 176,429 615,453 399,040 544,982 2,005,227 500,347 312,582 787,349 323,192 127,898 306,499 383,198 1,114,582 505,691 284,889 994,266 713,540 284,232 190,162 1,150,290 507,938 527,368 254,465 492,175 332,968 1,025,478 217,960 176,233 614,393 502,176 440,076 311,117 630,495 1,073,489 306,375 629,538 164,185 144,542 598,302 760,304 126,680 535,270 412,496 431,321 287,169 280,081 316,906 294,683

10,576 10,568 10,465 10,460 10,449 10,448 10,313 10,271 10,249 10,246 10,238 10,217 10,140 10,049 10,036 10,026 10,002 10,001 9,796 9,755 9,725 9,707 9,706 9,645 9,631 9,581 9,446 9,350 9,296 9,219 9,208 9,098 9,005 8,996 8,934 8,857 8,813 8,717 8,624 8,613 8,567 8,522 8,450 8,449 8,399 8,386 8,361 8,251 8,209 8,137 8,067 7,995 7,988 7,908 7,832 7,824 7,797 7,761 7,755 7,712 7,696 7,660 7,596 7,559

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Virtu Financial Inc. Class A First Defiance Financial Corp. OFG Bancorp NexPoint Residential Trust Inc. Independent Bank Corp. Allegiance Bancshares Inc. Midland States Bancorp Inc. Southwest Bancorp Inc. Marcus & Millichap Inc. National Commerce Corp. MoneyGram International Inc. Western Asset Mortgage Capital Corp. First Foundation Inc. Enova International Inc. Community Healthcare Trust Inc. Federal Agricultural Mortgage Corp. Westwood Holdings Group Inc. Cowen Inc. Class A Triumph Bancorp Inc. Blue Hills Bancorp Inc. Cedar Realty Trust Inc. Green Bancorp Inc. Fidelity & Guaranty Life Whitestone REIT Financial Institutions Inc. World Acceptance Corp. Bar Harbor Bankshares HomeTrust Bancshares Inc. Arbor Realty Trust Inc. OneBeacon Insurance Group Ltd. Class A Carolina Financial Corp. Bank Mutual Corp. MedEquities Realty Trust Inc. Arrow Financial Corp. HCI Group Inc. EZCORP Inc. Class A Ambac Financial Group Inc. Clifton Bancorp Inc. MidWestOne Financial Group Inc. PICO Holdings Inc. State Auto Financial Corp. United Community Financial Corp. Global Indemnity Ltd. 1st Source Corp. Arlington Asset Investment Corp. Class A PennyMac Financial Services Inc. Class A Atlantic Capital Bancshares Inc. Access National Corp. Heritage Insurance Holdings Inc. Bancorp Inc. Veritex Holdings Inc. City Office REIT Inc. RMR Group Inc. Class A Nicolet Bankshares Inc. Ares Commercial Real Estate Corp. Ashford Hospitality Prime Inc. Bank of Marin Bancorp Farmers National Banc Corp. eHealth Inc. NI Holdings Inc. People's Utah Bancorp First Community Bancshares Inc. CNB Financial Corp. First Connecticut Bancorp Inc.

23


Shares

Market Value ($000)

311,400 741,274 197,303 1,022,411 809,018 555,038 967,030 342,493 298,686 447,288 314,580 380,269 342,804 270,330 767,710 189,931 279,045 351,292 233,457 186,872 139,782 262,042 273,011 353,203 206,345 428,504 175,126 205,571 161,993 357,922 197,590 389,689 2,158,610 4,644,600 256,265 157,637 243,221 570,737 536,046 220,225 123,373 247,041 29,578 129,542 92,793 139,001 186,215 207,148 181,094 235,876 148,081 305,032 493,489 475,565 431,741 242,287 442,890 170,726 406,125 773,941 210,135 302,712 266,340 459,472

7,536 7,309 7,290 7,259 7,233 7,154 7,137 7,069 7,064 7,036 6,921 6,845 6,842 6,831 6,756 6,750 6,594 6,488 6,485 6,453 6,451 6,433 6,416 6,414 6,409 6,363 6,338 6,290 6,245 6,106 6,054 5,865 5,807 5,806 5,679 5,628 5,570 5,536 5,452 5,395 5,395 5,390 5,381 5,285 5,285 5,150 5,140 5,106 5,103 5,071 5,070 5,018 5,009 4,993 4,987 4,947 4,894 4,849 4,833 4,822 4,802 4,774 4,688 4,668

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Opus Bank Orchid Island Capital Inc. American National Bankshares Inc. Dynex Capital Inc. Farmland Partners Inc. Bluerock Residential Growth REIT Inc. Class A Citizens Inc. Class A Tejon Ranch Co. West Bancorporation Inc. United Insurance Holdings Corp. Jernigan Capital Inc. Charter Financial Corp. HarborOne Bancorp Inc. Timberland Bancorp Inc. Pacific Mercantile Bancorp Enterprise Bancorp Inc. Regional Management Corp. Cherry Hill Mortgage Investment Corp. EMC Insurance Group Inc. WashingtonFirst Bankshares Inc. FRP Holdings Inc. Sierra Bancorp Health Insurance Innovations Inc. Class A Prudential Bancorp Inc. Xenith Bankshares Inc. Sutherland Asset Management Corp. FB Financial Corp. Ames National Corp. Farmers Capital Bank Corp. PCSB Financial Corp. Equity Bancshares Inc. Class A CardConnect Corp. Ocwen Financial Corp. WMIH Corp. Central Valley Community Bancorp Republic Bancorp Inc. Class A Investar Holding Corp. MBT Financial Corp. Resource Capital Corp. Baldwin & Lyons Inc. Peoples Financial Services Corp. Altisource Portfolio Solutions SA Hingham Institution for Savings National Bankshares Inc. Consolidated-Tomoka Land Co. Southern First Bancshares Inc. First Bancshares Inc. Sun Bancorp Inc. Old Line Bancshares Inc. KKR Real Estate Finance Trust Inc. First Mid-Illinois Bancshares Inc. Shore Bancshares Inc. Western New England Bancorp Inc. NewStar Financial Inc. Old Second Bancorp Inc. Capital City Bank Group Inc. Bank of Commerce Holdings Codorus Valley Bancorp Inc. Safeguard Scientifics Inc. GAIN Capital Holdings Inc. Orrstown Financial Services Inc. First Northwest Bancorp Southern National Bancorp of Virginia Inc. Pzena Investment Management Inc. Class A

24


Shares

Market Value ($000)

487,657 199,597 222,171 287,862 355,182 562,609 144,147 303,091 164,196 220,625 626,694 191,192 1,808,010 428,959 1,990,130 171,356 253,158 22,132 103,519 475,739 299,485 142,314 279,782 148,164 201,639 185,335 121,688 92,296 133,849 256,659 46,144 312,673 162,298 119,083 383,531 238,376 266,496 174,732 237,784 116,478 199,004 139,194 282,688 705,079 144,122 201,997 262,100 202,960 193,000 207,138 464,390 59,358 89,830 73,238 82,894 267,715 45,204 401,380 183,355 116,688 126,095 568,330 133,738 140,062

4,652 4,643 4,639 4,606 4,582 4,510 4,496 4,443 4,443 4,424 4,418 4,413 4,412 4,380 4,358 4,310 4,294 4,281 4,263 4,253 4,187 4,184 4,174 4,156 4,033 3,938 3,926 3,924 3,915 3,778 3,745 3,674 3,635 3,632 3,628 3,607 3,584 3,547 3,543 3,541 3,423 3,324 3,293 3,286 3,279 3,258 3,234 3,227 3,192 3,169 3,149 3,114 3,054 2,994 2,959 2,931 2,875 2,854 2,805 2,795 2,774 2,773 2,756 2,696

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Macatawa Bank Corp. Citizens & Northern Corp. Civista Bancshares Inc. Federated National Holding Co. First Community Financial Partners Inc. Winthrop Realty Trust Territorial Bancorp Inc. Ellington Residential Mortgage REIT First Bancorp Inc. AV Homes Inc. Tiptree Inc. First Business Financial Services Inc. Ladenburg Thalmann Financial Services Inc. Wheeler REIT Inc. RAIT Financial Trust Marlin Business Services Corp. Owens Realty Mortgage Inc. Investors Title Co. Penns Woods Bancorp Inc. Global Medical REIT Inc. Great Ajax Corp. Stratus Properties Inc. BankFinancial Corp. First Internet Bancorp LCNB Corp. Reis Inc. Southern Missouri Bancorp Inc. Home Bancorp Inc. BSB Bancorp Inc. ESSA Bancorp Inc. Canadian Imperial Bank of Commerce MidSouth Bancorp Inc. Parke Bancorp Inc. ACNB Corp. Bear State Financial Inc. Impac Mortgage Holdings Inc. Silvercrest Asset Management Group Inc. Class A Maui Land & Pineapple Co. Inc. Atlas Financial Holdings Inc. Northrim BanCorp Inc. Unity Bancorp Inc. SmartFinancial Inc. First Bank On Deck Capital Inc. Entegra Financial Corp. First Financial Northwest Inc. Clipper Realty Inc. Donegal Group Inc. Class A First South Bancorp Inc. Kingstone Cos. Inc. Sotherly Hotels Inc. Paragon Commercial Corp. Associated Capital Group Inc. Class A Chemung Financial Corp. MutualFirst Financial Inc. UCP Inc. Century Bancorp Inc. Class A Trinity Place Holdings Inc. BCB Bancorp Inc. Malvern Bancorp Inc. Summit Financial Group Inc. Five Oaks Investment Corp. Premier Financial Bancorp Inc. Provident Financial Holdings Inc.

25


Shares

Market Value ($000)

111,952 84,857 89,101 225,120 55,655 134,000 157,047 56,177 121,498 139,627 145,140 194,803 161,415 355,500 38,986 113,368 139,482 92,456 124,717 190,242 67,490 61,338 108,741 436,157 246,134 159,453 70,724 130,024 46,053 234,997 359,366 70,873 126,542 37,401 34,526 57,415 83,523 75,189 29,095 510,300 69,946 63,594 50,921 60,594 13,265 578,945 84,902 102,757 121,713 64,362 170,798 261,840 95,484 169,279 151,600 35,152 63,352 51,939 13,900 103,597 44,083 91,546 34,356 46,256

2,672 2,650 2,637 2,627 2,610 2,566 2,528 2,507 2,485 2,450 2,431 2,386 2,374 2,361 2,320 2,307 2,287 2,219 2,214 2,144 2,133 2,104 1,990 1,985 1,967 1,949 1,927 1,887 1,840 1,798 1,786 1,754 1,645 1,644 1,640 1,562 1,553 1,531 1,458 1,454 1,441 1,431 1,329 1,291 1,211 1,210 1,187 1,153 1,123 1,110 1,110 1,087 1,012 1,007 970 888 887 882 761 741 736 732 732 702

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Commerce Union Bancshares Inc. Bankwell Financial Group Inc. GAMCO Investors Inc. Class A Gladstone Land Corp. C&F Financial Corp. Safety Income and Growth Inc. SI Financial Group Inc. FS Bancorp Inc. Independence Holding Co. MSB Financial Corp. Innovative Industrial Properties Inc. United Bancorp Inc. HopFed Bancorp Inc. Riverview Bancorp Inc. Federal Agricultural Mortgage Corp. Class A Northeast Bancorp Oppenheimer Holdings Inc. Class A County Bancorp Inc. 1st Constitution Bancorp Hallmark Financial Services Inc. Peoples Bancorp of North Carolina Inc. DNB Financial Corp. Blue Capital Reinsurance Holdings Ltd. Consumer Portfolio Services Inc. Atlantic Coast Financial Corp. Select Bancorp Inc. First Guaranty Bancshares Inc. American River Bankshares Evans Bancorp Inc. Bay Bancorp Inc. Global Self Storage Inc. Sussex Bancorp Summit State Bank ASB Bancorp Inc. Union Bankshares Inc. Greene County Bancorp Inc. Two River Bancorp Westbury Bancorp Inc. Ashford Inc. CPI Card Group Inc. Coastway Bancorp Inc. Provident Bancorp Inc. CB Financial Services Inc. Sunshine Bancorp Inc. Altisource Asset Management Corp. Performant Financial Corp. Citizens Community Bancorp Inc. First US Bancshares Inc. Nicholas Financial Inc. Urstadt Biddle Properties Inc. Medley Management Inc. Class A AmeriServ Financial Inc. PB Bancorp Inc. Manhattan Bridge Capital Inc. Security National Financial Corp. Class A Anchor Bancorp Inc. Mackinac Financial Corp. SB Financial Group Inc. First Savings Financial Group Inc. Conifer Holdings Inc. Bancorp of New Jersey Inc. 1347 Property Insurance Holdings Inc. Plumas Bancorp Hennessy Advisors Inc.

26


Shares

Market Value ($000)

32,078 130,346 23,100 16,455 29,198 30,373 551,462 27,475 281,104 30,870 188,652 17,572 93,836 136,461 9,433 189,620 11,313 6,301 26,562 62,902 12,550 26,140 3,546 5,438 85,239 20,974 11,266 20,555 131,451 112,292 92,151 2,954 11,780 4,500 1,300 8,967 10,380 1,132 1,700 225 263 100 100 100 22

643 632 621 584 550 539 522 497 320 293 289 277 261 261 260 245 182 164 150 147 118 111 108 104 101 99 92 89 81 74 53 49 44 36 19 18 12 12 7 5 3 2 2 1 — ___________

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Byline Bancorp Inc. Fifth Street Asset Management Inc. Transcontinental Realty Investors Inc. JW Mays Inc. California First National Bancorp Capstar Financial Holdings Inc. Walter Investment Management Corp. Eagle Bancorp Montana Inc. First Acceptance Corp. Stewardship Financial Corp. US Global Investors Inc. Class A Pathfinder Bancorp Inc. National Holdings Corp. IZEA Inc. Wellesley Bank Jason Industries Inc. WVS Financial Corp. InterGroup Corp. Oxbridge Re Holdings Ltd. ZAIS Group Holdings Inc. Income Opportunity Realty Investors Inc. Royal Bancshares of Pennsylvania Inc. Sound Financial Bancorp Inc. Poage Bankshares Inc. Institutional Financial Markets Inc. Intersections Inc. Asta Funding Inc. Manning & Napier Inc. Connecture Inc. RMG Networks Holding Corp. National Holdings Corp. Warrants Exp. 01/18/2022 Randolph Bancorp Inc. Atlantic American Corp. Elevate Credit Inc. HV Bancorp Inc. Global Brokerage Inc. ITUS Corp. Porter Bancorp Inc. LM Funding America Inc. Baldwin & Lyons Inc. Class A Shares Equitable Financial Corp. Elmira Savings Bank Southwest Georgia Financial Corp. GWG Holdings Inc. NorthStar Realty Europe Corp.

118,292,961 Health Care (13.1%) Johnson & Johnson Pfizer Inc. UnitedHealth Group Inc. Merck & Co. Inc. Amgen Inc. Medtronic plc AbbVie Inc. * Celgene Corp. Gilead Sciences Inc. Bristol-Myers Squibb Co. Abbott Laboratories Eli Lilly & Co. Allergan plc Thermo Fisher Scientific Inc. * Biogen Inc. Aetna Inc. Anthem Inc.

62,059,387 137,428,989 22,193,256 62,996,595 16,927,358 31,568,346 36,634,667 17,968,099 30,072,798 37,936,672 39,971,491 22,866,736 7,732,756 9,028,704 4,891,271 7,674,024 6,092,345

27

8,209,836 4,616,240 4,115,074 4,037,452 2,915,399 2,801,691 2,656,380 2,333,517 2,128,553 2,113,831 1,943,014 1,881,932 1,879,756 1,575,238 1,327,295 1,165,147 1,146,153


Shares

Market Value ($000)

5,204,627 5,894,262 6,894,741 1,801,569 31,553,760 13,674,358 3,342,472 858,659 5,730,320 11,302,484 11,258,475 4,910,278 4,634,651 6,785,378 3,363,828 4,860,965 1,664,557 4,004,883 11,703,262 2,363,736 4,004,576 3,147,062 5,305,313 1,823,494 2,023,639 1,754,979 3,759,806 3,284,237 6,440,687 1,127,375 3,258,380 2,053,884 1,664,508 3,131,515 3,618,162 2,129,940 1,032,633 3,512,057 1,309,147 1,020,772 2,697,151 6,719,048 1,698,570 1,953,350 1,886,133 2,487,662 1,982,758 2,844,307 951,131 1,028,968 2,148,036 866,397 1,507,070 1,102,517 2,129,469 1,082,748 1,029,510 476,795 2,343,026 1,162,641 855,215 1,994,163 1,063,460 2,739,952

1,015,475 986,641 956,852 884,823 874,670 872,971 804,266 803,164 738,466 705,049 681,588 597,434 595,089 591,685 583,691 574,761 526,183 504,255 454,321 364,346 363,696 349,827 343,997 333,736 326,656 322,635 300,333 293,939 292,278 269,916 253,730 250,738 249,876 236,492 234,312 219,789 214,540 203,594 203,572 183,290 169,030 165,490 160,549 159,198 150,438 149,683 145,039 144,690 136,297 133,488 129,677 121,174 119,978 114,298 110,179 109,520 108,150 107,903 104,991 101,045 100,488 100,087 96,966 96,172

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

* * *

* *

*

* * *

* * * *

* * * * * *

*

* *

* * * * *

* * * * * * * *

*,^ * * * * * *

* * *

Becton Dickinson and Co. Cigna Corp. Stryker Corp. Regeneron Pharmaceuticals Inc. Boston Scientific Corp. Express Scripts Holding Co. Humana Inc. Intuitive Surgical Inc. Vertex Pharmaceuticals Inc. Zoetis Inc. Baxter International Inc. Alexion Pharmaceuticals Inc. Zimmer Biomet Holdings Inc. HCA Healthcare Inc. Illumina Inc. Edwards Lifesciences Corp. CR Bard Inc. Incyte Corp. Mylan NV Laboratory Corp. of America Holdings BioMarin Pharmaceutical Inc. Quest Diagnostics Inc. Dentsply Sirona Inc. Henry Schein Inc. IDEXX Laboratories Inc. Waters Corp. Centene Corp. Quintiles IMS Holdings Inc. Hologic Inc. Cooper Cos. Inc. ResMed Inc. Universal Health Services Inc. Class B Align Technology Inc. Perrigo Co. plc DaVita Inc. Varian Medical Systems Inc. Teleflex Inc. Alkermes plc Jazz Pharmaceuticals plc WellCare Health Plans Inc. Envision Healthcare Corp. Exelixis Inc. West Pharmaceutical Services Inc. STERIS plc Alnylam Pharmaceuticals Inc. Bioverativ Inc. DexCom Inc. Ionis Pharmaceuticals Inc. ABIOMED Inc. United Therapeutics Corp. MEDNAX Inc. TESARO Inc. Hill-Rom Holdings Inc. Kite Pharma Inc. Seattle Genetics Inc. Charles River Laboratories International Inc. Bluebird Bio Inc. Bio-Rad Laboratories Inc. Class A Mallinckrodt plc PAREXEL International Corp. Bio-Techne Corp. Alere Inc. Masimo Corp. Catalent Inc.

28


Shares

Market Value ($000)

2,716,750 2,072,680 996,580 1,916,145 1,903,449 1,804,121 1,156,864 1,379,948 1,589,481 1,304,399 1,238,213 929,924 3,567,770 2,412,575 1,342,214 2,030,763 976,848 2,378,908 1,225,066 1,956,464 729,666 2,254,536 4,269,537 926,316 780,406 771,121 3,139,608 1,541,764 844,489 916,788 1,878,898 459,090 616,562 311,736 1,566,628 4,609,883 7,772,310 935,947 395,171 1,096,216 1,192,331 1,375,647 1,379,158 3,709,594 1,273,474 1,088,419 570,980 1,639,641 935,082 789,620 869,121 1,083,219 504,562 544,052 990,824 2,478,650 603,800 1,502,872 2,505,750 1,916,893 384,438 916,922 1,934,818 432,499

96,091 95,343 93,310 92,741 89,367 89,088 88,986 75,221 74,435 73,268 72,435 69,754 69,750 69,579 68,869 68,112 67,578 65,396 64,696 64,583 63,773 62,879 62,805 62,202 62,152 60,078 59,276 58,602 58,363 56,942 56,160 55,734 54,103 53,774 51,934 51,492 51,142 48,154 47,843 47,247 47,085 44,433 44,395 44,033 42,929 42,753 42,498 42,368 42,294 41,495 41,457 41,325 40,461 39,661 38,048 38,047 37,925 37,677 37,511 37,073 36,683 36,530 35,794 35,534

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

*,^ * *

*,^ * *

* * * *

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

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

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

Exact Sciences Corp. Neurocrine Biosciences Inc. Clovis Oncology Inc. HealthSouth Corp. Patterson Cos. Inc. Acadia Healthcare Co. Inc. NuVasive Inc. Integra LifeSciences Holdings Corp. Healthcare Services Group Inc. Portola Pharmaceuticals Inc. INC Research Holdings Inc. Class A PRA Health Sciences Inc. Nektar Therapeutics Class A Bruker Corp. Insulet Corp. Akorn Inc. Molina Healthcare Inc. Wright Medical Group NV Prestige Brands Holdings Inc. VWR Corp. Puma Biotechnology Inc. ACADIA Pharmaceuticals Inc. Brookdale Senior Living Inc. LifePoint Health Inc. Sage Therapeutics Inc. Cantel Medical Corp. Ironwood Pharmaceuticals Inc. Class A Medicines Co. Neogen Corp. Ultragenyx Pharmaceutical Inc. Juno Therapeutics Inc. Ligand Pharmaceuticals Inc. Penumbra Inc. ICU Medical Inc. Globus Medical Inc. Endo International plc OPKO Health Inc. Agios Pharmaceuticals Inc. Intercept Pharmaceuticals Inc. Supernus Pharmaceuticals Inc. Haemonetics Corp. FibroGen Inc. Owens & Minor Inc. Horizon Pharma plc Sarepta Therapeutics Inc. Halyard Health Inc. Nevro Corp. Myriad Genetics Inc. Radius Health Inc. Aerie Pharmaceuticals Inc. Pacira Pharmaceuticals Inc. Merit Medical Systems Inc. Loxo Oncology Inc. Magellan Health Inc. Spectranetics Corp. Select Medical Holdings Corp. Amedisys Inc. NxStage Medical Inc. MiMedx Group Inc. Tenet Healthcare Corp. Inogen Inc. Theravance Biopharma Inc. HMS Holdings Corp. Avexis Inc.

29


Shares

Market Value ($000)

849,053 694,112 2,717,336 3,455,463 794,413 564,616 1,367,682 3,887,954 805,367 873,542 574,226 853,888 847,248 1,772,406 1,648,031 724,782 2,675,536 1,526,608 491,835 1,458,382 2,109,321 1,936,268 1,135,257 353,597 2,044,071 779,847 846,836 1,164,634 701,789 754,744 278,391 1,249,716 4,821,363 291,636 509,465 2,359,716 615,665 31,920 822,768 935,836 3,712,990 1,162,838 954,328 691,984 892,632 620,352 706,366 391,151 744,556 925,806 386,431 2,874,609 1,089,275 622,184 275,413 918,881 1,882,862 1,191,562 603,265 796,103 747,253 327,326 266,647 1,013,210

35,185 35,171 34,836 34,797 34,239 33,730 32,947 32,542 32,094 30,312 29,251 28,861 28,730 28,536 27,852 27,034 26,648 26,410 26,077 25,026 24,890 24,784 24,715 24,006 23,813 23,700 23,161 22,943 22,619 21,993 21,962 21,570 21,455 21,187 21,128 20,836 20,594 20,534 20,043 19,756 19,567 19,129 18,996 18,926 18,852 18,679 18,542 18,181 18,056 17,951 17,884 17,880 17,755 17,390 16,979 16,843 16,569 16,503 16,373 16,241 16,238 16,150 16,106 15,958

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

* * * * * * *,^

* * *

*

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

* *,^ *

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

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

Repligen Corp. Blueprint Medicines Corp. Halozyme Therapeutics Inc. Amicus Therapeutics Inc. Omnicell Inc. Spark Therapeutics Inc. Intrexon Corp. Array BioPharma Inc. Tivity Health Inc. Teladoc Inc. CONMED Corp. Varex Imaging Corp. Emergent BioSolutions Inc. Impax Laboratories Inc. Momenta Pharmaceuticals Inc. Natus Medical Inc. Community Health Systems Inc. Novocure Ltd. Abaxis Inc. Insmed Inc. Corcept Therapeutics Inc. Innoviva Inc. Ensign Group Inc. LHC Group Inc. Kindred Healthcare Inc. Acceleron Pharma Inc. Global Blood Therapeutics Inc. Acorda Therapeutics Inc. Cardiovascular Systems Inc. Dermira Inc. Eagle Pharmaceuticals Inc. OraSure Technologies Inc. Synergy Pharmaceuticals Inc. Analogic Corp. Glaukos Corp. Immunomedics Inc. BioTelemetry Inc. Atrion Corp. K2M Group Holdings Inc. Xencor Inc. TherapeuticsMD Inc. Lexicon Pharmaceuticals Inc. Omeros Corp. Accelerate Diagnostics Inc. Luminex Corp. Five Prime Therapeutics Inc. PharMerica Corp. Orthofix International NV AtriCure Inc. Retrophin Inc. Esperion Therapeutics Inc. ZIOPHARM Oncology Inc. Vanda Pharmaceuticals Inc. Intersect ENT Inc. Almost Family Inc. PTC Therapeutics Inc. Sangamo Therapeutics Inc. Heron Therapeutics Inc. Quidel Corp. Lannett Co. Inc. Achaogen Inc. Anika Therapeutics Inc. US Physical Therapy Inc. Meridian Bioscience Inc.

30


Shares

Market Value ($000)

1,035,042 592,324 2,188,806 837,344 1,419,297 700,296 453,889 208,647 813,544 1,620,460 1,973,966 139,222 466,728 696,051 383,691 1,165,229 664,652 1,676,562 1,084,752 1,758,156 494,709 803,506 324,933 730,516 1,072,493 451,371 1,105,703 684,542 492,886 2,585,040 590,212 568,245 672,971 672,912 658,993 488,346 723,880 1,091,056 755,705 1,046,227 614,922 1,579,374 1,927,066 225,577 3,853,324 740,643 340,624 1,091,232 247,534 943,216 3,231,525 698,554 1,080,767 2,027,599 205,095 1,304,215 718,874 533,506 858,104 724,519 1,855,326 569,016 1,099,664 935,540

15,629 15,590 15,562 15,407 15,243 15,196 14,774 14,635 14,530 14,519 14,272 14,210 13,895 13,886 13,805 13,785 13,665 13,144 13,126 13,098 13,060 13,025 12,916 12,791 12,280 12,241 12,163 12,082 11,879 11,865 11,657 11,490 11,292 11,271 11,117 11,110 11,010 10,965 10,844 10,828 10,730 10,724 10,715 10,704 10,674 10,643 10,634 10,530 10,518 10,413 10,406 10,374 9,889 9,854 9,598 9,586 9,489 9,022 9,010 8,999 8,813 8,757 8,720 8,467

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

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

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

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

Epizyme Inc. HealthStream Inc. ImmunoGen Inc. AMAG Pharmaceuticals Inc. Depomed Inc. Albany Molecular Research Inc. Genomic Health Inc. National HealthCare Corp. Amphastar Pharmaceuticals Inc. NeoGenomics Inc. Keryx Biopharmaceuticals Inc. Heska Corp. La Jolla Pharmaceutical Co. CryoLife Inc. Enanta Pharmaceuticals Inc. GenMark Diagnostics Inc. Aimmune Therapeutics Inc. Inovio Pharmaceuticals Inc. Cytokinetics Inc. Spectrum Pharmaceuticals Inc. Revance Therapeutics Inc. AngioDynamics Inc. Foundation Medicine Inc. MacroGenics Inc. Alder Biopharmaceuticals Inc. Aclaris Therapeutics Inc. SciClone Pharmaceuticals Inc. Lantheus Holdings Inc. Paratek Pharmaceuticals Inc. Achillion Pharmaceuticals Inc. REGENXBIO Inc. Flexion Therapeutics Inc. Editas Medicine Inc. AxoGen Inc. Arena Pharmaceuticals Inc. Surgery Partners Inc. Capital Senior Living Corp. TG Therapeutics Inc. Coherus Biosciences Inc. Ignyta Inc. Versartis Inc. Progenics Pharmaceuticals Inc. BioCryst Pharmaceuticals Inc. CorVel Corp. Geron Corp. Akebia Therapeutics Inc. LeMaitre Vascular Inc. Dynavax Technologies Corp. iRhythm Technologies Inc. Enzo Biochem Inc. Antares Pharma Inc. Calithera Biosciences Inc. Teligent Inc. Endologix Inc. ANI Pharmaceuticals Inc. Iovance Biotherapeutics Inc. Invacare Corp. Triple-S Management Corp. Class B Sucampo Pharmaceuticals Inc. Class A Intra-Cellular Therapies Inc. Class A Accuray Inc. Cara Therapeutics Inc. Rockwell Medical Inc. Karyopharm Therapeutics Inc.

31


Shares

Market Value ($000)

3,408,957 298,673 3,027,777 432,061 640,836 6,981,275 278,281 480,206 662,668 2,165,758 664,789 283,417 409,355 747,294 660,693 2,883,907 370,105 340,741 644,003 440,279 1,706,696 175,918 2,603,081 888,856 435,963 669,957 448,187 1,665,809 2,364,691 2,258,257 939,099 1,322,449 680,465 202,002 339,271 932,395 987,728 410,872 192,637 425,933 493,606 341,841 75,324 757,981 1,705,571 1,943,084 1,370,016 949,007 101,642 641,343 2,866,803 289,603 2,595,657 140,005 516,823 255,418 147,300 277,187 834,220 483,814 354,279 530,956 507,936 573,582

8,420 8,408 8,266 8,144 8,107 8,028 7,953 7,943 7,740 7,710 7,579 7,341 7,160 7,144 7,136 7,123 7,080 7,036 6,994 6,824 6,673 6,544 6,534 6,426 6,321 6,271 6,252 6,247 6,219 6,131 6,095 6,083 6,022 6,020 5,937 5,874 5,778 5,752 5,586 5,580 5,509 5,469 5,453 5,404 5,373 5,363 5,329 5,049 5,032 4,970 4,931 4,915 4,906 4,834 4,755 4,738 4,661 4,590 4,547 4,485 4,432 4,423 4,368 4,354

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

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

PDL BioPharma Inc. Surmodics Inc. Rigel Pharmaceuticals Inc. Otonomy Inc. Insys Therapeutics Inc. Novavax Inc. Tactile Systems Technology Inc. NanoString Technologies Inc. Bellicum Pharmaceuticals Inc. Pacific Biosciences of California Inc. Aduro Biotech Inc. Cutera Inc. Adamas Pharmaceuticals Inc. Invitae Corp. STAAR Surgical Co. Celldex Therapeutics Inc. Audentes Therapeutics Inc. Assembly Biosciences Inc. Natera Inc. CytomX Therapeutics Inc. Agenus Inc. Addus HomeCare Corp. Cerus Corp. Aratana Therapeutics Inc. Zogenix Inc. ChemoCentryx Inc. Concert Pharmaceuticals Inc. R1 RCM Inc. Organovo Holdings Inc. BioScrip Inc. Advaxis Inc. Cempra Inc. Minerva Neurosciences Inc. Exactech Inc. Civitas Solutions Inc. Corbus Pharmaceuticals Holdings Inc. RTI Surgical Inc. Atara Biotherapeutics Inc. Medpace Holdings Inc. MyoKardia Inc. GlycoMimetics Inc. Intellia Therapeutics Inc. Utah Medical Products Inc. Tetraphase Pharmaceuticals Inc. BioTime Inc. Catalyst Pharmaceuticals Inc. Kadmon Holdings Inc. Anavex Life Sciences Corp. BioSpecifics Technologies Corp. RadNet Inc. Idera Pharmaceuticals Inc. Zynerba Pharmaceuticals Inc. Curis Inc. Pulse Biosciences Inc. Stemline Therapeutics Inc. American Renal Associates Holdings Inc. Reata Pharmaceuticals Inc. Class A Entellus Medical Inc. Chimerix Inc. Ocular Therapeutix Inc. Collegium Pharmaceutical Inc. Veracyte Inc. Kindred Biosciences Inc. NantKwest Inc.

32


Shares

Market Value ($000)

155,532 1,929,341 375,673 568,204 300,163 2,640,742 777,237 2,031,679 408,954 862,943 578,165 220,331 188,339 665,692 471,429 598,314 471,833 925,491 517,554 276,800 342,481 129,134 309,990 132,423 538,078 2,030,769 546,768 1,070,556 289,611 823,228 296,342 376,363 646,980 215,063 545,754 194,848 264,893 2,075,043 764,888 1,323,139 893,842 249,167 1,736,918 1,969,959 1,426,600 3,924,637 1,012,433 886,650 432,953 1,423,794 193,639 632,504 1,691,004 104,566 1,254,955 143,945 471,253 268,201 275,417 541,528 403,954 162,532 2,969,873 290,680

4,316 4,283 4,245 4,239 4,193 4,120 3,964 3,779 3,726 3,702 3,700 3,545 3,529 3,502 3,465 3,446 3,444 3,438 3,349 3,330 3,329 3,222 3,181 3,169 3,099 3,066 2,843 2,741 2,693 2,667 2,655 2,646 2,620 2,602 2,592 2,592 2,583 2,532 2,524 2,514 2,503 2,464 2,449 2,443 2,411 2,386 2,329 2,261 2,260 2,235 2,190 2,106 2,097 2,077 2,033 2,020 1,956 1,926 1,909 1,901 1,899 1,872 1,862 1,759

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

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

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

FONAR Corp. AVEO Pharmaceuticals Inc. Seres Therapeutics Inc. Corium International Inc. Syndax Pharmaceuticals Inc. Durect Corp. Ardelyx Inc. Corindus Vascular Robotics Inc. Clearside Biomedical Inc. ConforMIS Inc. Abeona Therapeutics Inc. Syros Pharmaceuticals Inc. Ra Pharmaceuticals Inc. MediciNova Inc. NewLink Genetics Corp. Cymabay Therapeutics Inc. Neos Therapeutics Inc. Cascadian Therapeutics Inc. ViewRay Inc. Tocagen Inc. Sientra Inc. Psychemedics Corp. Edge Therapeutics Inc. AnaptysBio Inc. Conatus Pharmaceuticals Inc. Athersys Inc. Adamis Pharmaceuticals Corp. Ophthotech Corp. Kura Oncology Inc. Fate Therapeutics Inc. Voyager Therapeutics Inc. Recro Pharma Inc. Digirad Corp. Corvus Pharmaceuticals Inc. Fortress Biotech Inc. Alliance HealthCare Services Inc. Immune Design Corp. VIVUS Inc. Vericel Corp. Nobilis Health Corp. BioDelivery Sciences International Inc. IRIDEX Corp. MannKind Corp. Merrimack Pharmaceuticals Inc. Matinas BioPharma Holdings Inc. Peregrine Pharmaceuticals Inc. Trevena Inc. Harvard Bioscience Inc. Genocea Biosciences Inc. Infinity Pharmaceuticals Inc. Protagonist Therapeutics Inc. OncoMed Pharmaceuticals Inc. ArQule Inc. Selecta Biosciences Inc. Arrowhead Pharmaceuticals Inc. Jounce Therapeutics Inc. Quorum Health Corp. Viveve Medical Inc. AAC Holdings Inc. Zafgen Inc. XBiotech Inc. SeaSpine Holdings Corp. CytRx Corp. Chembio Diagnostics Inc.

33


Shares

Market Value ($000)

407,231 2,898,531 819,527 381,547 714,237 1,263,287 212,352 514,211 661,665 220,000 274,717 502,208 2,619,773 616,508 398,572 833,465 219,816 906,323 175,338 311,842 491,996 520,926 482,839 320,856 153,196 240,564 155,181 276,071 776,374 405,029 376,574 184,193 617,051 215,504 310,234 242,627 259,322 239,974 297,625 715,583 363,268 504,917 510,570 512,550 2,103,374 1,503,114 362,438 122,367 566,441 410,439 165,581 95,336 817,069 691,250 228,558 140,590 524,937 397,542 212,711 534,255 523,497 737,776 40,150 504,581

1,694 1,639 1,639 1,614 1,571 1,541 1,540 1,471 1,442 1,406 1,401 1,356 1,336 1,326 1,319 1,300 1,273 1,260 1,240 1,232 1,215 1,209 1,188 1,171 1,149 1,131 1,117 1,110 1,095 1,094 1,092 1,083 1,055 1,009 996 973 972 962 952 952 930 929 919 917 904 872 859 855 850 850 836 820 805 802 789 773 761 755 755 721 717 716 700 691

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

BrainStorm Cell Therapeutics Inc. Synthetic Biologics Inc. Sorrento Therapeutics Inc. NantHealth Inc. Sophiris Bio Inc. Actinium Pharmaceuticals Inc. Invuity Inc. Rexahn Pharmaceuticals Inc. Verastem Inc. Fulgent Genetics Inc. Applied Genetic Technologies Corp. InVivo Therapeutics Holdings Corp. Navidea Biopharmaceuticals Inc. AcelRx Pharmaceuticals Inc. CTI BioPharma Corp. OvaScience Inc. Neuralstem Inc. Alimera Sciences Inc. Cumberland Pharmaceuticals Inc. Cancer Genetics Inc. Bovie Medical Corp. Ekso Bionics Holdings Inc. Galectin Therapeutics Inc. Mirati Therapeutics Inc. Cidara Therapeutics Inc. Aldeyra Therapeutics Inc. KalVista Pharmaceuticals Inc. Pernix Therapeutics Holdings Inc. Zosano Pharma Corp. Sunesis Pharmaceuticals Inc. Vital Therapies Inc. Savara Inc. pSivida Corp. Proteostasis Therapeutics Inc. T2 Biosystems Inc. Pfenex Inc. Agile Therapeutics Inc. Fibrocell Science Inc. Imprimis Pharmaceuticals Inc. Aevi Genomic Medicine Inc. Evoke Pharma Inc. Vermillion Inc. Senseonics Holdings Inc. SCYNEXIS Inc. Palatin Technologies Inc. ContraVir Pharmaceuticals Inc. Egalet Corp. XOMA Corp. Endocyte Inc. Aptevo Therapeutics Inc. Juniper Pharmaceuticals Inc. iRadimed Corp. Regulus Therapeutics Inc. Ocera Therapeutics Inc. aTyr Pharma Inc. Axsome Therapeutics Inc. ContraFect Corp. Titan Pharmaceuticals Inc. Asterias Biotherapeutics Inc. NanoViricides Inc. Marinus Pharmaceuticals Inc. Biolase Inc. G1 Therapeutics Inc. Biocept Inc.

34


Shares

Market Value ($000)

160,279 513,579 70,038 372,833 834,805 66,929 1,637,827 158,591 218,691 151,314 483,599 118,785 1,229,840 1,429,184 40,125 223,796 291,813 33,606 846,170 164,199 48,150 865,858 743,674 168,111 204,625 121,807 35,351 647,032 412,750 109,406 121,213 245,860 114,043 288,011 105,566 26,883 111,265 91,301 42,483 46,649 48,259 194,693 112,567 57,002 199,004 293,906 615,870 174,611 185,867 205,902 189,253 236,521 88,726 192,659 275,848 238,433 662,332 586,535 47,653 106,182 101,655 245,092 34,844 508,186

689 688 676 671 668 663 636 634 634 611 609 590 589 562 561 560 554 546 529 525 505 503 498 496 493 491 479 478 475 474 467 460 438 438 435 430 427 425 399 396 381 350 350 348 346 323 321 304 301 292 284 281 281 279 279 265 256 251 248 247 243 235 231 228

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

* * *,^

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

CytoSorbents Corp. Bellerophon Therapeutics Inc. Misonix Inc. InfuSystem Holdings Inc. Tandem Diabetes Care Inc. Obalon Therapeutics Inc. Bio-Path Holdings Inc. KemPharm Inc. Orexigen Therapeutics Inc. Fluidigm Corp. Second Sight Medical Products Inc. vTv Therapeutics Inc. Class A BioPharmX Corp. Threshold Pharmaceuticals Inc. Mersana Therapeutics Inc. Adverum Biotechnologies Inc. Inotek Pharmaceuticals Corp. Madrigal Pharmaceuticals Inc. IsoRay Inc. Altimmune Inc. Ovid therapeutics Inc. Galena Biopharma Inc. Aviragen Therapeutics Inc. Cleveland BioLabs Inc. Nivalis Therapeutics Inc. Novan Inc. Spring Bank Pharmaceuticals Inc. Tenax Therapeutics Inc. CAS Medical Systems Inc. Tonix Pharmaceuticals Holding Corp. Flex Pharma Inc. Moleculin Biotech Inc. ADMA Biologics Inc. Wright Medical Group Inc. CVR Pain Therapeutics Inc. Athenex Inc. Aeglea BioTherapeutics Inc. Caladrius Biosciences Inc. Diversicare Healthcare Services Inc. MGC Diagnostics Corp. Eiger BioPharmaceuticals Inc. Histogenics Corp. Immune Pharmaceuticals Inc. Daxor Corp. Genesis Healthcare Inc. Cytori Therapeutics Inc. Ampio Pharmaceuticals Inc. Cogentix Medical Inc. Anthera Pharmaceuticals Inc. Catabasis Pharmaceuticals Inc. Five Star Senior Living Inc. OncoSec Medical Inc. Dicerna Pharmaceuticals Inc. Dimension Therapeutics Inc. Oncobiologics Inc. CareDx Inc. iBio Inc. CorMedix Inc. Oncocyte Corp. Diffusion Pharmaceuticals Inc. MEI Pharma Inc. AdCare Health Systems Inc. Sonoma Pharmaceuticals Inc. Avinger Inc.

35


Shares

Market Value ($000)

31,066 17,544 40,675 177,960 50,377 340,818 459,309 346,319 9,400 149,069 152,899 73,493 180,700 185,474 29,261 44,149 96,853 103,545 233,497 61,156 128,703 348,844 364,736 257,067 76,296 45,286 198,641 66,988 18,345 45,464 39,123 56,094 228,587 36,188 186,095 50,300 67,478 5,426 36,833 20,062 12,440 48,322 6,000 10,400 58,353 52,036 11,072 3,645 4,800 28,081 5,200 30,615 3,896 1,242 1,200 2,600 992 394 157,500

227 226 225 224 219 218 211 211 210 204 196 196 195 195 171 168 164 161 150 147 145 144 132 114 108 108 99 97 97 93 89 88 82 77 71 68 64 61 55 54 49 40 37 27 26 26 25 24 18 15 14 11 8 5 5 4 4 1 — ___________

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ImmuCell Corp. Gemphire Therapeutics Inc. Electromed Inc. Trovagene Inc. VBI Vaccines Inc. Ohr Pharmaceutical Inc. Repros Therapeutics Inc. Heat Biologics Inc. Dova Pharmaceuticals Inc. EyeGate Pharmaceuticals Inc. Retractable Technologies Inc. HTG Molecular Diagnostics Inc. Viking Therapeutics Inc. CASI Pharmaceuticals Inc. Novus Therapeutics Inc. Joint Corp. Mirna Therapeutics Inc. Proteon Therapeutics Inc. OpGen Inc. Tracon Pharmaceuticals Inc. Apricus Biosciences Inc. Biostage Inc. Argos Therapeutics Inc. Cerulean Pharma Inc. Microbot Medical Inc. BioLife Solutions Inc. Hemispherx Biopharma Inc. Chiasma Inc. GTx Inc. Celsion Corp. Presbia plc Eleven Biotherapeutics Inc. OncoGenex Pharmaceuticals Inc. Aethlon Medical Inc. Amedica Corp. Aradigm Corp. PhaseRx Inc. Aileron Therapeutics Inc. Milestone Scientific Inc. Vical Inc. Micron Solutions Inc. Capricor Therapeutics Inc. Pro-Dex Inc. Champions Oncology Inc. Arcadia Biosciences Inc. Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 CEL-SCI Corp. Leap Therapeutics Inc. Cyclacel Pharmaceuticals Inc. Neothetics Inc. Biomerica Inc. Alliqua BioMedical Inc. Onconova Therapeutics Inc. AzurRx BioPharma Inc. TapImmune Inc. TearLab Corp. Class A American Shared Hospital Services Alphatec Holdings Inc. Galena Biopharma Inc Warrants Exp. 03/18/2020

76,002,805 Industrials (13.0%) General Electric Co. 3M Co. Boeing Co.

200,001,087 13,773,479 13,214,972

36

5,402,029 2,867,501 2,613,261


Shares

Market Value ($000)

17,574,727 16,623,150 18,602,489 14,302,720 15,865,175 5,674,337 13,555,874 26,314,331 14,383,505 5,535,686 5,923,978 20,191,317 6,723,039 4,027,579 9,794,305 21,612,512 6,390,794 7,324,227 14,838,153 6,670,018 10,315,137 10,131,428 1,929,717 7,559,877 8,166,603 3,862,376 4,948,540 2,349,288 5,948,088 8,080,978 7,101,490 3,049,715 2,963,840 7,173,995 7,409,614 7,410,274 3,734,632 6,070,547 3,042,257 5,504,075 594,847 8,044,869 5,770,348 1,458,665 5,301,286 1,232,855 3,490,413 2,112,985 3,598,114 1,083,225 6,636,093 1,713,278 3,563,152 7,340,472 5,554,172 2,450,129 3,761,147 1,935,703 2,159,313 3,692,935 4,139,821 3,537,966 4,119,383 3,261,235

2,342,535 2,029,853 2,025,997 1,768,960 1,754,530 1,575,253 1,456,714 1,412,290 1,213,824 1,203,071 1,173,540 1,101,638 1,085,636 1,033,920 1,003,525 937,119 915,481 905,201 884,651 811,741 802,827 743,140 677,253 645,614 642,548 626,555 605,404 543,931 543,596 533,668 524,232 487,405 480,024 454,473 439,464 421,941 392,435 391,065 385,393 350,775 350,091 339,574 326,948 324,670 321,099 316,462 315,254 304,714 303,573 291,247 288,869 286,254 285,836 280,479 261,602 256,406 250,267 243,976 240,526 233,911 233,817 230,817 228,337 223,982

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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Honeywell International Inc. United Technologies Corp. Union Pacific Corp. Accenture plc Class A United Parcel Service Inc. Class B Lockheed Martin Corp. Caterpillar Inc. PayPal Holdings Inc. Danaher Corp. FedEx Corp. General Dynamics Corp. CSX Corp. Raytheon Co. Northrop Grumman Corp. Automatic Data Processing Inc. Johnson Controls International plc Illinois Tool Works Inc. Deere & Co. Emerson Electric Co. Norfolk Southern Corp. Eaton Corp. plc Waste Management Inc. Sherwin-Williams Co. Fidelity National Information Services Inc. TE Connectivity Ltd. Cummins Inc. Fiserv Inc. Roper Technologies Inc. Ingersoll-Rand plc PACCAR Inc. Amphenol Corp. Class A Parker-Hannifin Corp. Rockwell Automation Inc. Fortive Corp. Agilent Technologies Inc. Paychex Inc. Rockwell Collins Inc. Waste Connections Inc. Vulcan Materials Co. Republic Services Inc. Class A Mettler-Toledo International Inc. Ball Corp. WestRock Co. Martin Marietta Materials Inc. AMETEK Inc. Alliance Data Systems Corp. Global Payments Inc. FleetCor Technologies Inc. Verisk Analytics Inc. Class A TransDigm Group Inc. Fastenal Co. L3 Technologies Inc. Dover Corp. Masco Corp. Textron Inc. Kansas City Southern Pentair plc Cintas Corp. Packaging Corp. of America Vantiv Inc. Class A Expeditors International of Washington Inc. Fortune Brands Home & Security Inc. Xylem Inc. CH Robinson Worldwide Inc.

37


Shares

Market Value ($000)

3,787,184 1,935,619 1,156,446 5,805,023 2,728,342 1,012,136 763,419 4,475,429 1,755,390 1,056,037 3,232,374 3,406,809 1,806,790 2,046,722 1,980,571 2,193,084 1,549,621 2,584,962 2,523,817 935,460 2,965,208 3,929,818 2,562,299 4,220,021 2,366,415 2,787,152 2,051,880 1,889,387 2,810,081 1,952,333 3,207,142 8,043,294 1,519,963 1,272,374 4,619,634 4,922,416 1,479,692 1,796,461 1,283,641 2,990,222 3,034,998 1,118,960 2,767,526 1,340,072 3,448,324 566,028 1,448,923 864,859 1,362,349 2,889,465 1,188,846 4,513,182 2,292,378 1,708,469 3,577,300 2,964,999 3,763,924 2,079,452 3,322,665 3,127,961 2,681,516 694,406 973,756 3,266,999

220,603 218,164 208,773 207,065 206,154 205,747 201,237 200,320 198,377 196,592 192,843 191,906 187,671 187,029 181,222 177,903 173,015 172,986 171,973 171,788 169,047 167,882 165,601 164,285 163,969 161,488 160,908 160,409 152,840 149,002 146,823 146,388 144,761 143,995 141,499 141,421 141,163 140,843 140,276 138,836 138,214 135,752 132,648 131,809 129,347 127,351 125,853 125,491 125,459 125,143 119,503 118,245 117,874 117,679 115,654 115,279 109,869 109,774 109,382 108,415 107,851 107,077 106,383 106,308

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Total System Services Inc. United Rentals Inc. WW Grainger Inc. Trimble Inc. Broadridge Financial Solutions Inc. Acuity Brands Inc. CoStar Group Inc. Sealed Air Corp. IDEX Corp. Huntington Ingalls Industries Inc. Crown Holdings Inc. AO Smith Corp. Jack Henry & Associates Inc. JB Hunt Transport Services Inc. Wabtec Corp. Allegion plc ManpowerGroup Inc. Owens Corning PerkinElmer Inc. Lennox International Inc. Berry Global Group Inc. Sensata Technologies Holding NV XPO Logistics Inc. Keysight Technologies Inc. Toro Co. Spirit AeroSystems Holdings Inc. Class A Arrow Electronics Inc. Cognex Corp. Jacobs Engineering Group Inc. Stericycle Inc. Fluor Corp. First Data Corp. Class A Old Dominion Freight Line Inc. Hubbell Inc. Class B HD Supply Holdings Inc. Xerox Corp. Carlisle Cos. Inc. Macquarie Infrastructure Corp. Graco Inc. Flowserve Corp. Donaldson Co. Inc. Nordson Corp. Robert Half International Inc. Orbital ATK Inc. Allison Transmission Holdings Inc. Coherent Inc. AptarGroup Inc. IPG Photonics Corp. Lincoln Electric Holdings Inc. TransUnion Zebra Technologies Corp. MDU Resources Group Inc. Sonoco Products Co. Oshkosh Corp. AECOM Avnet Inc. Jabil Inc. Hexcel Corp. Quanta Services Inc. FLIR Systems Inc. National Instruments Corp. Watsco Inc. Universal Display Corp. Booz Allen Hamilton Holding Corp. Class A

38


Shares

Market Value ($000)

1,569,482 2,157,989 1,142,513 2,129,017 7,118,680 3,487,588 1,054,627 1,409,169 919,123 1,479,238 725,256 1,160,704 1,382,364 3,218,340 3,729,055 1,031,681 1,225,936 1,983,012 519,325 1,266,453 1,370,902 914,090 2,241,040 1,022,657 965,414 1,219,154 2,170,141 2,024,599 3,296,202 1,114,838 515,113 987,741 1,589,155 1,007,765 1,085,378 1,834,579 4,519,411 724,028 2,408,666 1,530,344 1,835,479 1,161,427 1,188,954 687,356 1,703,945 1,104,260 777,825 2,155,451 1,153,081 1,596,796 1,646,710 906,652 1,313,646 886,052 1,195,491 922,220 1,022,546 1,783,621 2,353,002 564,569 519,834 1,461,823 733,928 1,264,625

105,767 105,202 99,821 98,467 98,095 97,757 97,469 96,373 95,837 92,645 92,579 92,137 90,379 89,566 89,199 88,683 88,243 86,023 85,689 85,587 85,064 83,895 83,725 83,398 82,639 81,500 81,380 81,348 79,471 77,169 77,061 74,505 73,498 73,013 72,720 72,227 72,039 70,955 69,538 69,095 68,684 67,978 66,379 65,161 64,920 63,274 63,136 62,551 62,439 61,397 61,011 60,927 60,099 60,030 59,775 59,271 57,027 56,683 54,707 53,369 52,898 52,816 52,637 52,507

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AGCO Corp. BWX Technologies Inc. Euronet Worldwide Inc. Bemis Co. Inc. Graphic Packaging Holding Co. Trinity Industries Inc. Eagle Materials Inc. Genesee & Wyoming Inc. Class A WEX Inc. MAXIMUS Inc. Teledyne Technologies Inc. Crane Co. EMCOR Group Inc. Genpact Ltd. Owens-Illinois Inc. MSC Industrial Direct Co. Inc. Class A Ryder System Inc. CoreLogic Inc. Littelfuse Inc. Woodward Inc. HEICO Corp. Class A Curtiss-Wright Corp. Air Lease Corp. Class A Regal Beloit Corp. Landstar System Inc. Kirby Corp. Terex Corp. ITT Inc. Louisiana-Pacific Corp. Deluxe Corp. Valmont Industries Inc. Belden Inc. Timken Co. EnerSys Brink's Co. Colfax Corp. Conduent Inc. John Bean Technologies Corp. Summit Materials Inc. Class A MasTec Inc. Kennametal Inc. Barnes Group Inc. Clean Harbors Inc. Esterline Technologies Corp. Sanmina Corp. WESCO International Inc. MSA Safety Inc. USG Corp. On Assignment Inc. World Fuel Services Corp. Knight Transportation Inc. WageWorks Inc. Tetra Tech Inc. Itron Inc. KLX Inc. GATX Corp. MACOM Technology Solutions Holdings Inc. Silgan Holdings Inc. Rexnord Corp. Cimpress NV RBC Bearings Inc. Generac Holdings Inc. Moog Inc. Class A ABM Industries Inc.

39


Shares

Market Value ($000)

688,496 654,833 3,048,159 356,074 2,104,345 3,251,721 837,429 1,810,102 926,889 1,418,441 865,975 949,852 674,011 2,308,988 411,770 1,293,419 962,162 3,680,036 1,279,740 1,084,138 1,202,428 737,048 647,740 772,321 727,546 928,448 1,324,776 453,870 578,118 908,961 656,568 692,530 1,138,563 2,759,080 2,089,289 907,998 672,299 1,120,977 1,040,040 725,936 492,423 821,262 948,365 2,057,684 976,193 710,117 1,034,025 1,012,343 916,237 602,350 557,696 2,150,603 791,654 557,280 1,950,400 870,344 1,300,844 423,850 1,447,507 1,517,909 1,431,724 968,860 1,186,683 945,527

51,981 51,208 50,599 50,100 50,041 49,491 49,450 47,968 47,735 47,234 45,957 45,821 45,604 45,556 44,726 44,364 44,259 42,983 42,679 42,336 41,520 40,965 40,937 40,601 40,583 40,582 40,339 39,627 38,878 37,631 37,319 36,898 36,776 36,420 36,270 35,957 35,901 35,423 35,257 35,244 35,144 35,035 34,976 34,816 34,128 33,979 33,978 33,853 33,763 33,611 33,267 32,947 32,616 32,489 32,396 32,290 32,001 31,852 31,628 31,573 31,469 31,449 31,127 30,957

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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Masonite International Corp. Anixter International Inc. Vishay Intertechnology Inc. UniFirst Corp. Convergys Corp. KBR Inc. Applied Industrial Technologies Inc. Swift Transportation Co. Advisory Board Co. DigitalGlobe Inc. TopBuild Corp. Granite Construction Inc. Trex Co. Inc. Chicago Bridge & Iron Co. NV Rogers Corp. II-VI Inc. Armstrong World Industries Inc. Mueller Water Products Inc. Class A NeuStar Inc. Class A AMN Healthcare Services Inc. Korn/Ferry International ExlService Holdings Inc. Watts Water Technologies Inc. Class A Plexus Corp. Greif Inc. Class A Simpson Manufacturing Co. Inc. Mueller Industries Inc. Universal Forest Products Inc. Proto Labs Inc. Franklin Electric Co. Inc. Apogee Enterprises Inc. Forward Air Corp. Benchmark Electronics Inc. Covanta Holding Corp. TTM Technologies Inc. Otter Tail Corp. Albany International Corp. Triumph Group Inc. Brady Corp. Class A Ambarella Inc. EnPro Industries Inc. Fabrinet SPX FLOW Inc. Knowles Corp. FTI Consulting Inc. Imperva Inc. Cardtronics plc Class A Triton International Ltd. AAON Inc. AZZ Inc. ESCO Technologies Inc. Builders FirstSource Inc. Methode Electronics Inc. Exponent Inc. Meritor Inc. Comfort Systems USA Inc. Actuant Corp. Class A OSI Systems Inc. BMC Stock Holdings Inc. Aerojet Rocketdyne Holdings Inc. Wabash National Corp. JELD-WEN Holding Inc. Navistar International Corp. TriNet Group Inc.

40


Shares

Market Value ($000)

715,520 612,168 1,038,699 1,020,529 411,400 317,216 1,882,308 580,837 583,386 886,604 1,067,325 988,629 1,148,773 405,095 1,133,738 1,316,666 1,285,676 846,341 609,167 614,068 722,405 889,073 749,725 340,095 1,218,108 290,649 470,727 560,715 314,568 735,898 640,435 708,193 503,431 959,207 342,854 868,514 467,574 398,115 593,271 1,418,064 1,386,091 964,768 949,357 634,966 1,123,586 389,594 532,790 537,616 575,213 312,228 470,930 1,060,873 793,770 1,080,611 907,351 1,683,531 1,173,140 904,952 230,395 224,304 906,270 327,748 459,604 1,490,282

30,946 30,529 30,486 30,463 30,361 30,310 30,305 30,291 29,928 29,728 29,725 29,698 28,880 28,762 28,740 28,637 28,491 28,183 28,174 27,744 27,704 27,028 26,728 26,714 26,530 26,362 26,130 25,961 25,669 25,580 25,521 25,495 25,423 25,419 24,977 24,970 24,758 24,743 24,550 24,533 24,063 24,061 23,886 23,583 23,393 23,134 23,017 22,940 22,893 22,430 22,251 22,119 21,591 21,353 21,141 21,111 20,636 20,570 20,563 20,369 20,273 19,665 19,625 19,597

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Integer Holdings Corp. Kaman Corp. Werner Enterprises Inc. Mobile Mini Inc. Tennant Co. American Woodmark Corp. Harsco Corp. Atlas Air Worldwide Holdings Inc. Saia Inc. Sykes Enterprises Inc. Veeco Instruments Inc. Matson Inc. Axon Enterprise Inc. Insperity Inc. Evolent Health Inc. Class A Aircastle Ltd. American Outdoor Brands Corp. Raven Industries Inc. Greenbrier Cos. Inc. Paylocity Holding Corp. Hub Group Inc. Class A Boise Cascade Co. Gibraltar Industries Inc. US Concrete Inc. Air Transport Services Group Inc. Standex International Corp. Astec Industries Inc. Cubic Corp. Multi-Color Corp. AAR Corp. Badger Meter Inc. Novanta Inc. US Ecology Inc. TrueBlue Inc. Patrick Industries Inc. Tutor Perini Corp. Installed Building Products Inc. Sturm Ruger & Co. Inc. ManTech International Corp. Class A EVERTEC Inc. Federal Signal Corp. Primoris Services Corp. SPX Corp. Cotiviti Holdings Inc. Heartland Express Inc. CIRCOR International Inc. Huron Consulting Group Inc. Sun Hydraulics Corp. Altra Industrial Motion Corp. HEICO Corp. Viad Corp. TriMas Corp. MINDBODY Inc. Class A Navigant Consulting Inc. Continental Building Products Inc. RR Donnelley & Sons Co. Milacron Holdings Corp. Advanced Disposal Services Inc. Lindsay Corp. Alamo Group Inc. Schneider National Inc. Class B Argan Inc. Encore Wire Corp. Inovalon Holdings Inc. Class A

41


Shares

Market Value ($000)

414,787 376,295 1,188,985 1,636,279 371,629 1,170,983 498,645 547,902 873,129 655,802 3,051,867 908,166 485,810 239,558 797,400 1,157,079 752,462 1,241,625 779,365 739,064 790,740 1,197,821 403,386 593,335 646,009 721,136 690,829 711,003 742,745 481,113 506,662 712,837 407,258 752,725 1,284,469 543,266 1,359,546 676,633 752,230 871,809 1,113,340 425,219 700,998 202,709 896,920 406,526 1,081,354 358,671 431,092 173,737 791,092 704,281 298,829 595,527 887,626 547,893 573,612 623,718 612,992 1,504,058 206,849 74,384 418,324 378,923

19,536 19,492 19,440 19,423 19,213 19,134 19,048 18,974 18,868 18,428 18,342 18,254 18,169 18,015 17,503 17,356 17,277 17,097 17,053 16,939 16,724 16,710 16,458 16,287 16,279 16,262 16,200 15,962 15,895 15,829 15,479 15,397 15,394 15,363 15,105 14,886 14,751 14,663 14,420 14,306 14,251 14,019 13,950 13,306 13,301 12,610 12,544 12,374 12,243 12,205 12,159 11,762 11,732 11,375 11,362 11,287 11,243 11,196 11,065 10,950 10,818 10,660 10,634 10,489

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ICF International Inc. MTS Systems Corp. General Cable Corp. Kratos Defense & Security Solutions Inc. Lydall Inc. AVX Corp. Aerovironment Inc. McGrath RentCorp Gardner Denver Holdings Inc. GMS Inc. Manitowoc Co. Inc. Advanced Drainage Systems Inc. Materion Corp. Kadant Inc. Griffon Corp. CBIZ Inc. Donnelley Financial Solutions Inc. PHH Corp. Aegion Corp. Class A Quad/Graphics Inc. Quanex Building Products Corp. RPX Corp. TeleTech Holdings Inc. NN Inc. Schnitzer Steel Industries Inc. Atkore International Group Inc. Team Inc. Kelly Services Inc. Class A LSC Communications Inc. Douglas Dynamics Inc. Global Brass & Copper Holdings Inc. CTS Corp. FARO Technologies Inc. H&E Equipment Services Inc. Babcock & Wilcox Enterprises Inc. Marten Transport Ltd. Wesco Aircraft Holdings Inc. International Seaways Inc. Thermon Group Holdings Inc. Casella Waste Systems Inc. Class A PGT Innovations Inc. Insteel Industries Inc. Echo Global Logistics Inc. Cass Information Systems Inc. Essendant Inc. MYR Group Inc. InnerWorkings Inc. DXP Enterprises Inc. Engility Holdings Inc. Hyster-Yale Materials Handling Inc. TimkenSteel Corp. NCI Building Systems Inc. Floor & Decor Holdings Inc. Class A Ennis Inc. KEMET Corp. ArcBest Corp. Kforce Inc. Myers Industries Inc. Kimball Electronics Inc. Everi Holdings Inc. Landauer Inc. Mesa Laboratories Inc. Columbus McKinnon Corp. REV Group Inc.

42


Shares

Market Value ($000)

759,314 339,466 763,836 386,122 545,065 490,284 504,217 1,879,237 371,560 384,065 157,371 406,319 405,839 484,454 111,058 222,753 568,982 182,910 840,269 189,564 713,562 250,256 413,894 199,091 524,917 573,740 829,338 844,718 263,508 1,459,416 185,332 793,998 201,892 396,106 662,861 82,600 1,309,801 181,336 483,761 626,377 1,354,998 297,596 289,796 311,699 617,843 615,629 1,781,341 156,839 516,199 710,958 186,587 624,814 238,388 488,559 229,480 201,033 736,414 584,402 339,079 449,343 1,033,241 155,341 1,023,078 87,271

10,403 10,344 9,861 9,835 9,795 9,614 9,353 9,302 9,233 9,064 9,016 8,927 8,827 8,696 8,551 8,531 8,449 8,227 8,092 8,056 7,935 7,903 7,624 7,585 7,538 7,499 7,340 7,003 6,957 6,903 6,731 6,709 6,459 6,441 6,085 5,852 5,632 5,540 5,370 5,293 5,257 5,217 5,187 5,127 5,091 4,771 4,738 4,713 4,672 4,621 4,609 4,542 4,529 4,475 4,429 4,421 4,411 4,365 4,255 4,251 4,247 4,228 4,195 4,155

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Resources Connection Inc. Astronics Corp. Cross Country Healthcare Inc. Gorman-Rupp Co. Armstrong Flooring Inc. Control4 Corp. B. Riley Financial Inc. Bazaarvoice Inc. Miller Industries Inc. CAI International Inc. Barrett Business Services Inc. Mistras Group Inc. Heidrick & Struggles International Inc. Ply Gem Holdings Inc. NVE Corp. American Railcar Industries Inc. Landec Corp. VSE Corp. Daktronics Inc. NV5 Global Inc. YRC Worldwide Inc. Ducommun Inc. Park Electrochemical Corp. Park-Ohio Holdings Corp. Horizon Global Corp. Sterling Construction Co. Inc. Spartan Motors Inc. Energy Recovery Inc. GP Strategies Corp. Eagle Bulk Shipping Inc. CRA International Inc. Hudson Technologies Inc. Powell Industries Inc. Energous Corp. CECO Environmental Corp. NACCO Industries Inc. Class A Great Lakes Dredge & Dock Corp. Willdan Group Inc. Intevac Inc. Commercial Vehicle Group Inc. ServiceSource International Inc. Covenant Transportation Group Inc. Class A Vicor Corp. Supreme Industries Inc. Class A Electro Scientific Industries Inc. EnerNOC Inc. Overseas Shipholding Group Inc. Class A Eastern Co. LSI Industries Inc. PRGX Global Inc. Bel Fuse Inc. Class B Roadrunner Transportation Systems Inc. Neff Corp. Class A Advanced Emissions Solutions Inc. Franklin Covey Co. Sparton Corp. Maxwell Technologies Inc. Orion Group Holdings Inc. Aqua Metals Inc. Era Group Inc. Information Services Group Inc. Allied Motion Technologies Inc. Acacia Research Corp. National Research Corp. Class B

43


Shares

Market Value ($000)

767,888 236,893 256,426 60,205 183,800 175,883 187,416 201,491 444,288 104,859 127,473 222,915 203,010 1,222,391 667,343 210,221 126,849 111,356 195,688 1,575,583 123,166 254,551 364,910 182,809 559,823 491,878 306,658 241,218 313,468 402,964 191,525 169,936 275,603 195,784 32,488 475,973 217,359 282,603 720,688 636,010 96,392 304,218 158,877 504,508 541,573 338,852 543,920 340,177 395,534 364,310 191,069 217,863 394,399 222,466 548,487 232,067 358,366 127,278 193,856 433,960 188,302 532,688 183,281 47,900

4,131 4,120 4,077 3,877 3,795 3,773 3,685 3,657 3,657 3,644 3,607 3,598 3,528 3,484 3,470 3,418 3,412 3,405 3,385 3,340 3,292 3,162 3,120 3,108 3,079 3,059 3,036 2,953 2,915 2,825 2,798 2,753 2,591 2,565 2,549 2,499 2,489 2,484 2,378 2,258 2,135 2,123 2,110 2,099 2,080 2,023 2,007 1,990 1,946 1,836 1,823 1,800 1,755 1,731 1,728 1,555 1,516 1,417 1,396 1,389 1,371 1,358 1,318 1,296

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

*

*

*

* *,^

* *

* * *

* * *,^ *

*,^ * * ^ *

*,^ * * *

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

^ * * * * * * * * ^

Radiant Logistics Inc. FreightCar America Inc. Heritage-Crystal Clean Inc. Omega Flex Inc. CyberOptics Corp. LB Foster Co. Class A Graham Corp. IES Holdings Inc. Forterra Inc. Hurco Cos. Inc. UFP Technologies Inc. Twin Disc Inc. BG Staffing Inc. DHI Group Inc. Hill International Inc. Northwest Pipe Co. National Research Corp. Class A Astronics Corp. Class B Vishay Precision Group Inc. MicroVision Inc. Willis Lease Finance Corp. Hardinge Inc. Black Box Corp. Blue Bird Corp. Goldfield Corp. Iteris Inc. Global Water Resources Inc. StarTek Inc. Crawford & Co. Class B Huttig Building Products Inc. Asure Software Inc. Gencor Industries Inc. Napco Security Technologies Inc. DMC Global Inc. United States Lime & Minerals Inc. Houston Wire & Cable Co. ExOne Co. Layne Christensen Co. Planet Payment Inc. Arotech Corp. Lawson Products Inc. Manitex International Inc. Nuvectra Corp. ARC Document Solutions Inc. CUI Global Inc. Richardson Electronics Ltd. Workhorse Group Inc. CDI Corp. CryoPort Inc. Broadwind Energy Inc. Frequency Electronics Inc. PFSweb Inc. Aspen Aerogels Inc. Crawford & Co. Class A Celadon Group Inc. Ballantyne Strong Inc. Sharps Compliance Corp. Daseke Inc. Ultralife Corp. ALJ Regional Holdings Inc. Perceptron Inc. Mattersight Corp. Xerium Technologies Inc. EnviroStar Inc.

44


Shares

Market Value ($000)

104,670 732,678 65,444 130,743 85,325 411,197 136,141 117,929 206,201 67,427 271,137 328,800 1,196,178 116,833 165,242 186,827 274,872 188,566 192,084 107,920 5,948 71,297 297,601 390,406 128,314 437,710 540,865 280,341 320,612 11,186 19,270 98,808 67,770 26,754 93,030 23,992 185,057 54,012 41,838 215,127 50,884 74,588 21,480 70,427 356,386 346,903 602,688 104,630 10,580 3,467 141,293 30,547 106,118 60,491 15,958 8,941 29,696 173,732 18,209 150,256 87,241 18,805 65,060 6,242

1,272 1,253 1,240 1,229 1,173 1,110 1,089 1,021 907 901 841 806 801 770 763 738 723 698 692 657 626 549 524 500 488 468 459 423 414 410 409 356 350 344 336 322 296 287 284 280 274 272 272 251 249 236 223 222 221 209 206 205 196 191 174 171 155 146 146 144 144 124 117 112

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

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

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

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

* *,^

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

Transcat Inc. ModusLink Global Solutions Inc. PAM Transportation Services Inc. CPI Aerostructures Inc. Key Technology Inc. LightPath Technologies Inc. Class A Perma-Pipe International Holdings Inc. USA Truck Inc. Innovative Solutions & Support Inc. Taylor Devices Inc. Lincoln Educational Services Corp. eMagin Corp. Synthesis Energy Systems Inc. Revolution Lighting Technologies Inc. American Superconductor Corp. Volt Information Sciences Inc. Energy Focus Inc. Perma-Fix Environmental Services IEC Electronics Corp. Cenveo Inc. AMCON Distributing Co. Ameresco Inc. Class A Applied DNA Sciences Inc. Orion Energy Systems Inc. ClearSign Combustion Corp. Vertex Energy Inc. UQM Technologies Inc. Luna Innovations Inc. Research Frontiers Inc. Chicago Rivet & Machine Co. Air T Inc. Cemtrex Inc. GEE Group Inc. Foundation Building Materials Inc. Odyssey Marine Exploration Inc. Sevcon Inc. Wireless Telecom Group Inc. Polar Power Inc. AMREP Corp. ENGlobal Corp. DLH Holdings Corp. Image Sensing Systems Inc. Ecology and Environment Inc. Universal Technical Institute Inc. Turtle Beach Corp. Capstone Turbine Corp. EnSync Inc. Patriot National Inc. Bel Fuse Inc. Class A Greif Inc. Class B Versar Inc. Pioneer Power Solutions Inc. RF Industries Ltd. Digital Ally Inc. BlueLinx Holdings Inc. Continental Materials Corp. Echelon Corp. Fuel Tech Inc. IntriCon Corp. Astrotech Corp. Sypris Solutions Inc. SigmaTron International Inc. American Electric Technologies Inc. Patriot Transportation Holding Inc.

45


Shares

Market Value ($000)

16,533 37,894 55,088 202,682 15,885 3,872 38,549 4,914 2,931 7,669 1,680 2,409 1,700 4,400 1,565 4,297 1,291 462 185 100,659 3,000

110 93 82 79 50 48 47 46 44 23 22 22 20 16 15 14 5 4 2 — — ___________

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

*

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

SIFCO Industries Inc. Quest Resource Holding Corp. Industrial Services of America Inc. Rand Logistics Inc. Command Security Corp. AeroCentury Corp. Payment Data Systems Inc. Servotronics Inc. Universal Logistics Holdings Inc. Art's-Way Manufacturing Co. Inc. Issuer Direct Corp. root9B Holdings Inc. Limbach Holdings Inc. Nortech Systems Inc. Rubicon Technology Inc. Tel-Instrument Electronics Corp. Electro-Sensors Inc. Interlink Electronics Inc. Jewett-Cameron Trading Co. Ltd. CTPartners Executive Search Inc. LGL Group Inc. Warrants Exp. 06/08/2018

75,308,862 Oil & Gas (5.5%) Exxon Mobil Corp. Chevron Corp. Schlumberger Ltd. ConocoPhillips EOG Resources Inc. Occidental Petroleum Corp. Kinder Morgan Inc. Phillips 66 Halliburton Co. Valero Energy Corp. Marathon Petroleum Corp. Pioneer Natural Resources Co. Anadarko Petroleum Corp. Williams Cos. Inc. Baker Hughes Inc. Apache Corp. * Concho Resources Inc. Devon Energy Corp. Tesoro Corp. Hess Corp. National Oilwell Varco Inc. Noble Energy Inc. Cabot Oil & Gas Corp. EQT Corp. Marathon Oil Corp. * Cheniere Energy Inc. Targa Resources Corp. Cimarex Energy Co. * Diamondback Energy Inc. OGE Energy Corp. * Parsley Energy Inc. Class A Range Resources Corp. * Newfield Exploration Co. Helmerich & Payne Inc. HollyFrontier Corp. * Energen Corp. *,^ Antero Resources Corp. *,^ Chesapeake Energy Corp. Core Laboratories NV * Rice Energy Inc. * RSP Permian Inc.

97,608,070 43,636,886 32,006,897 28,473,897 13,288,681 17,585,715 43,634,364 10,097,991 18,981,205 10,342,707 12,091,864 3,911,248 12,886,521 19,010,066 9,808,362 8,741,813 3,412,430 11,484,035 3,496,518 6,927,537 8,736,016 10,062,533 10,706,372 3,982,785 19,483,483 4,647,202 4,934,457 2,178,650 2,252,227 4,616,105 5,366,699 5,671,610 4,551,542 2,232,248 4,058,494 2,222,621 5,055,190 20,857,255 1,013,064 3,761,418 3,083,614

46

7,879,900 4,552,636 2,107,334 1,251,713 1,202,891 1,052,857 836,034 835,003 810,687 697,719 632,767 624,157 584,275 575,625 534,654 418,995 414,713 367,145 327,274 303,911 287,764 284,770 268,516 233,351 230,879 226,365 223,037 204,815 200,020 160,594 148,926 131,411 129,537 121,300 111,487 109,731 109,243 103,661 102,593 100,167 99,508


Shares

Market Value ($000)

4,833,316 3,740,060 9,101,062 22,619,614 1,836,701 8,845,728 11,542,955 2,151,285 1,503,632 2,508,796 5,504,901 3,751,555 2,258,438 6,158,511 4,580,916 4,574,202 6,476,216 8,355,988 1,313,638 5,405,409 1,986,215 2,563,551 868,321 1,509,974 2,502,131 1,630,734 2,428,591 3,595,503 7,041,927 3,477,888 2,124,432 2,568,332 1,205,041 1,184,941 1,779,935 3,016,208 1,504,624 4,515,925 719,024 1,543,891 1,196,268 5,909,525 741,236 3,348,309 1,537,649 849,814 1,540,794 628,544 1,893,973 9,985,600 450,324 1,887,490 462,100 1,057,809 749,856 1,438,630 772,474 135,277 811,913 362,606 2,597,540 1,166,401 865,273 1,601,665

97,585 95,858 87,916 87,538 73,248 72,800 70,181 69,551 64,822 55,846 55,600 55,335 51,583 50,130 49,703 48,532 46,434 46,042 45,018 43,514 42,445 42,376 42,374 40,769 40,234 38,877 38,420 37,825 36,336 36,274 35,096 34,544 32,717 31,330 31,006 30,886 30,408 30,392 24,972 24,085 22,406 21,393 19,791 18,884 17,529 17,464 16,687 15,651 15,436 15,278 14,280 13,873 13,757 13,752 13,527 13,437 13,294 13,062 12,991 12,437 11,793 11,699 11,525 11,500

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

* *

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* * *,^ *

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

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

*,^

Patterson-UTI Energy Inc. Murphy Oil Corp. WPX Energy Inc. Weatherford International plc First Solar Inc. Transocean Ltd. Southwestern Energy Co. Continental Resources Inc. PDC Energy Inc. PBF Energy Inc. Class A QEP Resources Inc. Gulfport Energy Corp. Oceaneering International Inc. Nabors Industries Ltd. Ultra Petroleum Corp. Callon Petroleum Co. McDermott International Inc. Whiting Petroleum Corp. C&J Energy Services Inc. Oasis Petroleum Inc. Matador Resources Co. SM Energy Co. Dril-Quip Inc. SemGroup Corp. Class A NOW Inc. Pattern Energy Group Inc. Class A Centennial Resource Development Inc. Class A Laredo Petroleum Inc. Ensco plc Class A Superior Energy Services Inc. MRC Global Inc. Extraction Oil & Gas Inc. Oil States International Inc. Delek US Holdings Inc. Carrizo Oil & Gas Inc. Rowan Cos. plc Class A RPC Inc. SRC Energy Inc. Chart Industries Inc. Forum Energy Technologies Inc. Unit Corp. Noble Corp. plc Exterran Corp. Helix Energy Solutions Group Inc. Archrock Inc. Green Plains Inc. Diamond Offshore Drilling Inc. Basic Energy Services Inc. Atwood Oceanics Inc. Denbury Resources Inc. Bonanza Creek Energy Inc. Newpark Resources Inc. Resolute Energy Corp. Ring Energy Inc. Par Pacific Holdings Inc. SunPower Corp. Class A SandRidge Energy Inc. REX American Resources Corp. Keane Group Inc. SEACOR Holdings Inc. Halcon Resources Corp. Tellurian Inc. Alon USA Energy Inc. Sanchez Energy Corp.

47


Shares

Market Value ($000)

1,227,367 785,100 808,395 814,699 5,093,795 476,469 491,787 369,229 324,486 922,969 405,088 363,263 171,149 970,891 2,131,988 3,663,161 617,869 438,484 480,548 675,579 435,206 1,629,419 265,289 624,015 1,635,106 1,048,313 234,875 237,368 487,221 3,161,078 302,590 340,764 4,236,643 1,059,267 1,875,237 368,973 1,088,545 521,409 489,512 271,965 285,748 924,718 112,697 757,652 241,047 413,320 67,133 448,831 885,042 1,017,657 17,021 1,203,811 1,208,449 380,256 570,574 140,475 745,993 412,841 1,087,138 234,787 103,445 187,263 816,705 238,647

10,973 10,960 10,792 10,550 10,391 10,368 9,133 8,529 8,064 7,891 7,446 7,396 6,290 6,068 5,948 5,934 5,777 5,556 5,502 5,472 5,384 5,002 4,903 4,774 4,676 4,665 4,519 4,415 4,341 4,267 4,185 3,953 3,923 3,877 3,844 3,693 3,668 3,462 3,353 3,304 3,215 3,172 2,948 2,947 2,941 2,922 2,758 2,199 2,186 1,995 1,947 1,685 1,499 1,491 1,409 1,371 1,238 1,168 940 934 863 805 764 759

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

Flotek Industries Inc. ProPetro Holding Corp. Jagged Peak Energy Inc. Renewable Energy Group Inc. Plug Power Inc. CVR Energy Inc. Energy XXI Gulf Coast Inc. Panhandle Oil and Gas Inc. Class A Natural Gas Services Group Inc. California Resources Corp. Stone Energy Corp. SEACOR Marine Holdings Inc. Penn Virginia Corp. Pacific Ethanol Inc. TETRA Technologies Inc. Abraxas Petroleum Corp. Matrix Service Co. Midstates Petroleum Co. Inc. Green Brick Partners Inc. Evolution Petroleum Corp. WildHorse Resource Development Corp. Bill Barrett Corp. TPI Composites Inc. Bristow Group Inc. Eclipse Resources Corp. Tesco Corp. Key Energy Services Inc. Mammoth Energy Services Inc. Smart Sand Inc. Parker Drilling Co. Geospace Technologies Corp. Gulf Island Fabrication Inc. Gastar Exploration Inc. EP Energy Corp. Class A Pioneer Energy Services Corp. Earthstone Energy Inc. Class A Approach Resources Inc. Contango Oil & Gas Co. CARBO Ceramics Inc. Select Energy Services Inc. Class A Trecora Resources Zion Oil & Gas Inc. SilverBow Resources Inc. Independence Contract Drilling Inc. Goodrich Petroleum Corp. Comstock Resources Inc. Adams Resources & Energy Inc. Lilis Energy Inc. Willbros Group Inc. W&T Offshore Inc. Isramco Inc. Northern Oil and Gas Inc. FuelCell Energy Inc. Dawson Geophysical Co. Cobalt International Energy Inc. PHI Inc. NV Torchlight Energy Resources Inc. Hornbeck Offshore Services Inc. Enphase Energy Inc. Mitcham Industries Inc. Rosehill Resources Inc. Lonestar Resources US Inc. Class A VAALCO Energy Inc. Amyris Inc.

48


Shares

Market Value ($000)

460,954 339,980 214,639 219,492 352,961 40,344 1,691,956 206,467 116,107 109,340 549,204 238,533 37,409 118,650 113,740 51,451 33,839 25,100 4,640 51,829

738 673 620 582 441 412 395 277 240 230 172 164 163 110 72 63 47 18 14 — ___________

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

Jones Energy Inc. Class A PetroQuest Energy Inc. Rex Energy Corp. EXCO Resources Inc. Eco-Stim Energy Solutions Inc. PHI Inc. TerraVia Holdings Inc. Aemetis Inc. Stone Energy Corp. Warrants Exp. 02/28/2021 Ideal Power Inc. Enservco Corp. Gevo Inc. ION Geophysical Corp. Yuma Energy Inc. Superior Drilling Products Inc. MagneGas Corp. Bonanza Creek Energy Inc. Warrants Exp. 04/28/2020 Tidewater Inc. Basic Energy Services Inc. Warrants Exp. 12/23/2023 Harvest Natural Resources Inc.

32,220,848 Other (0.0%)2 * Dyax Corp CVR Exp. 12/31/2019 * NCS Multistage Holdings Inc. *,^ Tobira Therapeutics Inc. CVR * Media General Inc. CVR * Adolor Corp. Rights Exp. 07/01/2019 * Chelsea Therapeutics International Ltd. CVR * Ambit Biosciences Corp. CVR * Omthera Pharmaceuticals Inc. CVR * Alexza Pharmaceuticals Inc. CVR * Seventy Seven Energy Inc Escrow Line * Clinical Data CVR * Gerber Scientific Inc. CVR *,^ Biosante Pharmaceutical Inc. CVR * NuPathe Inc. CVR * Seventy Seven Energy Inc Warrants Exp. 08/01/2023 * Seventy Seven Energy Inc Warrants Exp. 08/01/2021

2,750,063 208,579 201,001 2,351,934 592,629 1,157,305 201,330 121,311 327,391 7,222 216,285 388,581 253,823 158,681 361 401

5,500 5,252 2,762 699 308 127 121 73 12 1 — — — — — — ___________ 14,855

Technology (17.3%) Apple Inc. Microsoft Corp. * Facebook Inc. Class A * Alphabet Inc. Class A * Alphabet Inc. Class C Intel Corp. Cisco Systems Inc. Oracle Corp. International Business Machines Corp. Broadcom Ltd. NVIDIA Corp. QUALCOMM Inc. Texas Instruments Inc. * Adobe Systems Inc. * salesforce.com Inc. Applied Materials Inc. Cognizant Technology Solutions Corp. Class A Intuit Inc. * Micron Technology Inc. HP Inc. Analog Devices Inc. Corning Inc. Hewlett Packard Enterprise Co. Western Digital Corp.

108,093,912 177,774,267 54,439,512 6,900,772 6,740,405 108,442,405 115,073,238 70,998,449 20,536,688 9,246,345 13,019,830 34,018,732 22,968,668 11,369,884 15,549,243 24,861,967 13,607,565 5,583,632 24,191,234 38,883,769 8,392,625 21,338,637 38,095,629 6,694,864

49

15,567,685 12,253,980 8,219,278 6,415,510 6,125,208 3,658,847 3,601,792 3,559,862 3,159,159 2,154,861 1,882,147 1,878,514 1,766,980 1,608,156 1,346,564 1,027,048 903,542 741,562 722,350 679,688 652,946 641,226 632,006 593,165


Shares

Market Value ($000)

3,738,173 6,508,615 4,850,053 6,828,047 3,893,266 4,246,590 14,199,264 4,097,826 4,962,764 5,706,185 3,598,437 3,766,387 2,861,729 4,921,513 6,501,353 3,004,771 3,385,026 2,007,508 6,807,907 3,480,710 6,294,651 7,267,605 19,573,188 8,716,139 1,961,924 13,432,375 1,970,061 3,674,024 6,406,681 3,356,351 2,087,748 3,806,891 1,483,232 2,922,097 3,152,525 3,445,392 1,701,538 4,439,486 1,075,415 3,999,776 2,657,624 8,723,212 792,500 4,595,101 2,233,268 9,631,949 640,385 1,232,337 911,665 3,399,842 1,426,529 2,647,344 9,596,631 4,262,545 3,725,466 5,007,869 6,682,917 1,690,668 2,842,137 2,170,033 737,114 1,263,831 7,160,282 1,755,959

528,690 499,341 488,982 453,860 412,686 407,460 401,129 392,367 383,026 367,022 329,293 326,696 312,157 300,754 291,911 291,463 269,380 268,625 263,806 253,848 252,101 250,514 244,273 243,006 242,317 240,037 239,717 229,737 214,560 208,295 194,077 189,621 188,459 185,027 179,347 178,092 175,667 168,834 161,086 153,631 146,488 144,107 139,218 137,991 136,922 135,233 134,519 128,779 128,135 127,290 124,721 123,896 121,014 119,437 118,284 117,485 116,350 116,166 116,073 110,737 102,761 98,832 97,738 97,034

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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*

*

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* *,^ *

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* * *,^

*

*

* * *,^

* * *,^ *

*

* * * * ^

*

*

Lam Research Corp. DXC Technology Co. Autodesk Inc. Cerner Corp. ServiceNow Inc. Skyworks Solutions Inc. Symantec Corp. Red Hat Inc. Microchip Technology Inc. Xilinx Inc. KLA-Tencor Corp. Motorola Solutions Inc. Harris Corp. Dell Technologies Inc. Class V Maxim Integrated Products Inc. Workday Inc. Class A Citrix Systems Inc. Palo Alto Networks Inc. Seagate Technology plc Synopsys Inc. NetApp Inc. CA Inc. Advanced Micro Devices Inc. Juniper Networks Inc. Gartner Inc. Twitter Inc. ANSYS Inc. CDW Corp. Cadence Design Systems Inc. CDK Global Inc. VeriSign Inc. Akamai Technologies Inc. F5 Networks Inc. Qorvo Inc. Splunk Inc. Leidos Holdings Inc. IAC/InterActiveCorp CommScope Holding Co. Inc. Arista Networks Inc. SS&C Technologies Holdings Inc. PTC Inc. Marvell Technology Group Ltd. Tyler Technologies Inc. Teradyne Inc. Veeva Systems Inc. Class A ON Semiconductor Corp. Ultimate Software Group Inc. LogMeIn Inc. athenahealth Inc. Fortinet Inc. VMware Inc. Class A Microsemi Corp. Brocade Communications Systems Inc. ARRIS International plc CSRA Inc. Square Inc. Nuance Communications Inc. Guidewire Software Inc. NCR Corp. Garmin Ltd. Fair Isaac Corp. Medidata Solutions Inc. Cypress Semiconductor Corp. Aspen Technology Inc.

50


Shares

Market Value ($000)

5,459,111 1,115,846 1,116,774 1,091,340 1,467,048 1,474,387 1,459,584 2,973,594 862,871 1,266,921 1,358,314 1,232,114 690,417 852,355 943,749 736,504 3,224,868 1,886,613 1,621,084 1,331,486 2,884,052 1,077,047 3,244,499 563,308 2,016,115 2,542,868 4,294,848 911,202 681,810 2,724,234 784,735 2,128,242 1,450,831 908,939 804,911 3,660,666 2,253,081 5,271,440 1,504,342 4,206,643 925,643 2,712,097 1,062,588 754,072 650,631 1,010,373 2,524,844 1,294,763 790,200 2,544,942 1,258,666 1,619,121 725,710 1,042,688 1,226,595 224,881 828,486 1,186,070 575,151 1,011,709 764,829 1,336,025 3,496,086 1,329,776

97,008 94,947 93,910 93,582 92,013 91,604 90,056 87,691 87,150 83,870 83,224 82,921 82,822 82,167 81,946 80,949 80,686 80,030 77,909 75,961 74,380 73,681 71,217 70,442 69,354 66,064 64,852 62,281 61,036 60,941 60,660 59,123 59,049 58,799 55,877 55,679 55,538 55,508 53,780 53,677 52,253 50,581 50,345 49,580 47,431 47,407 47,215 46,547 46,108 46,063 46,004 45,335 44,051 43,887 43,851 43,103 42,841 42,699 42,463 40,064 40,008 38,892 37,303 37,087

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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* *,^ *

* * *

*,^ * * * * *

* *

*,^ *,^ *

* * ^ * * * * *,^ *

*

*,^ * *

Snap Inc. j2 Global Inc. EPAM Systems Inc. Blackbaud Inc. Cirrus Logic Inc. Cavium Inc. DST Systems Inc. Teradata Corp. Tech Data Corp. ViaSat Inc. Tableau Software Inc. Class A MKS Instruments Inc. SYNNEX Corp. Monolithic Power Systems Inc. Proofpoint Inc. Ellie Mae Inc. Ciena Corp. GoDaddy Inc. Class A Manhattan Associates Inc. Lumentum Holdings Inc. Integrated Device Technology Inc. Paycom Software Inc. Entegris Inc. CACI International Inc. Class A NetScout Systems Inc. Finisar Corp. Pitney Bowes Inc. Silicon Laboratories Inc. Dycom Industries Inc. ACI Worldwide Inc. InterDigital Inc. Zendesk Inc. Verint Systems Inc. Advanced Energy Industries Inc. Science Applications International Corp. FireEye Inc. Cree Inc. Viavi Solutions Inc. Semtech Corp. Allscripts Healthcare Solutions Inc. CommVault Systems Inc. TiVo Corp. Electronics For Imaging Inc. HubSpot Inc. Power Integrations Inc. 2U Inc. 3D Systems Corp. RealPage Inc. Pegasystems Inc. VeriFone Systems Inc. RingCentral Inc. Class A Diebold Nixdorf Inc. EchoStar Corp. Class A Mercury Systems Inc. Cornerstone OnDemand Inc. MicroStrategy Inc. Class A Synaptics Inc. Premier Inc. Class A Cabot Microelectronics Corp. Envestnet Inc. Plantronics Inc. Twilio Inc. Class A Infinera Corp. MaxLinear Inc.

51


Shares

Market Value ($000)

924,427 834,478 1,460,244 1,146,470 3,631,067 823,399 1,510,437 1,059,398 730,024 721,443 1,641,233 2,582,720 858,740 566,693 1,164,041 747,695 724,332 531,524 1,491,092 759,305 667,010 1,162,808 420,385 2,016,733 413,541 1,165,253 592,424 822,772 2,510,793 888,723 1,102,995 500,271 304,606 907,393 1,231,189 473,684 1,654,012 695,970 841,479 932,152 1,111,370 824,614 1,937,121 375,640 2,733,421 968,676 951,290 829,859 445,815 610,578 1,008,225 397,575 701,727 766,933 414,547 579,200 816,243 1,575,614 1,130,237 686,781 848,189 1,229,664 539,436 373,855

37,070 35,891 35,338 34,165 33,914 32,928 32,761 32,725 31,428 31,094 29,936 29,520 29,455 29,451 29,450 29,422 29,393 28,649 28,256 28,056 27,214 27,117 26,804 25,834 25,553 25,076 23,875 23,844 23,150 22,831 22,777 22,737 22,571 22,367 21,189 20,880 20,510 20,462 20,221 19,762 19,316 19,016 18,926 18,275 18,205 17,727 17,504 16,871 16,776 16,724 16,585 16,487 16,034 15,454 15,421 15,302 15,215 14,811 14,467 14,388 14,385 14,178 13,642 13,590

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

*,^ * *,^

Cogent Communications Holdings Inc. New Relic Inc. Callidus Software Inc. Xperi Corp. Oclaro Inc. Insight Enterprises Inc. Brooks Automation Inc. Progress Software Corp. BroadSoft Inc. NETGEAR Inc. Box Inc. Rambus Inc. Inphi Corp. Ubiquiti Networks Inc. Web.com Group Inc. Gigamon Inc. CSG Systems International Inc. Ebix Inc. NIC Inc. Q2 Holdings Inc. Qualys Inc. West Corp. SPS Commerce Inc. Pure Storage Inc. Class A Applied Optoelectronics Inc. Five9 Inc. ScanSource Inc. Coupa Software Inc. Extreme Networks Inc. Bottomline Technologies de Inc. ADTRAN Inc. CEVA Inc. ePlus Inc. Super Micro Computer Inc. Quality Systems Inc. Shutterstock Inc. FormFactor Inc. Virtusa Corp. Diodes Inc. Blucora Inc. Match Group Inc. Barracuda Networks Inc. Amkor Technology Inc. Impinj Inc. Lattice Semiconductor Corp. Monotype Imaging Holdings Inc. Cray Inc. CalAmp Corp. Alarm.com Holdings Inc. PROS Holdings Inc. Synchronoss Technologies Inc. Acacia Communications Inc. Rudolph Technologies Inc. Nutanix Inc. Varonis Systems Inc. Vocera Communications Inc. Perficient Inc. Photronics Inc. Unisys Corp. Axcelis Technologies Inc. Syntel Inc. Gogo Inc. Nanometrics Inc. Benefitfocus Inc.

52


Shares

Market Value ($000)

718,662 312,040 1,167,332 358,971 830,474 690,848 549,411 1,222,687 838,879 385,644 867,471 1,835,087 548,350 720,280 914,578 539,424 416,795 613,546 303,769 599,457 1,051,152 242,212 613,554 1,144,014 237,897 1,077,295 1,213,956 1,706,566 543,070 422,589 1,584,129 1,030,545 241,715 285,364 308,892 460,208 233,714 432,717 562,667 421,585 1,216,874 395,080 1,864,749 293,841 625,493 425,251 1,084,103 709,566 553,328 198,357 923,957 749,662 610,021 354,591 301,894 699,069 273,639 866,393 538,100 1,461,514 350,905 670,754 362,051 292,297

13,475 12,965 12,841 12,830 12,424 12,048 11,977 11,946 11,786 11,376 11,173 10,644 10,446 10,336 10,316 10,233 10,153 10,093 9,964 9,861 9,828 9,725 9,657 9,553 9,314 9,092 9,032 8,959 8,418 8,029 8,000 7,956 7,812 7,722 7,704 7,672 7,619 7,508 7,483 7,095 6,924 6,874 6,844 6,700 6,661 6,655 6,559 6,443 6,391 6,357 6,329 6,297 6,277 5,681 5,676 5,662 5,517 5,502 5,462 5,422 5,351 5,239 5,181 5,092

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

* * ^ * *,^ *,^

*

* * *

* * *,^ *

* * * * * * * * * *

* * * *

* *

*,^

* * * * * *,^ * * *

Ultra Clean Holdings Inc. Loral Space & Communications Inc. LivePerson Inc. Blackline Inc. Boingo Wireless Inc. CommerceHub Inc. Carbonite Inc. Xcerra Corp. Actua Corp. Instructure Inc. Hortonworks Inc. ShoreTel Inc. Workiva Inc. VASCO Data Security International Inc. Silver Spring Networks Inc. Comtech Telecommunications Corp. Everbridge Inc. PDF Solutions Inc. Computer Programs & Systems Inc. IXYS Corp. KeyW Holding Corp. Digimarc Corp. Cohu Inc. Endurance International Group Holdings Inc. Forrester Research Inc. A10 Networks Inc. Sonus Networks Inc. Harmonic Inc. Hackett Group Inc. Quantenna Communications Inc. Meet Group Inc. NeoPhotonics Corp. Vectrus Inc. PC Connection Inc. MuleSoft Inc. Class A Alpha & Omega Semiconductor Ltd. Appfolio Inc. Apptio Inc. Class A Model N Inc. Rapid7 Inc. Zix Corp. WideOpenWest Inc. Internap Corp. Okta Inc. EMCORE Corp. Xactly Corp. MobileIron Inc. Immersion Corp. ChannelAdvisor Corp. QAD Inc. Class A Calix Inc. Mitek Systems Inc. American Software Inc. Class A Cloudera Inc. Systemax Inc. Telenav Inc. Ichor Holdings Ltd. AXT Inc. Digi International Inc. Kopin Corp. Ominto Inc. Quantum Corp. Presidio Inc. CommerceHub Inc. Class A

53


Shares

Market Value ($000)

434,380 811,616 228,331 355,577 441,087 292,541 1,111,310 1,002,861 1,565,019 793,653 492,421 467,647 282,274 473,112 517,495 383,652 277,611 2,487,550 169,742 286,767 587,441 518,568 717,621 168,465 241,306 340,081 825,027 231,449 300,463 540,202 231,390 349,647 394,160 548,825 188,048 141,000 264,099 227,052 315,335 262,390 146,500 403,542 44,113 278,498 727,253 99,502 346,199 280,893 217,895 195,129 525,638 234,282 184,738 391,907 562,379 254,655 141,648 257,001 304,119 210,131 523,547 340,536 125,429 110,562

5,039 5,032 5,021 4,907 4,755 4,695 4,612 4,563 4,523 4,127 4,038 4,008 3,763 3,719 3,648 3,645 3,637 3,632 3,582 3,542 3,437 3,428 3,294 3,288 3,185 3,159 3,102 3,078 3,041 3,020 2,811 2,797 2,791 2,744 2,667 2,559 2,456 2,411 2,233 2,215 2,205 2,078 2,048 2,014 2,000 1,988 1,939 1,918 1,852 1,828 1,787 1,579 1,576 1,470 1,400 1,347 1,339 1,298 1,293 1,288 1,283 1,243 1,235 1,224

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

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

*,^ *

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

*

*,^ *

* *,^ * * * * * * *

* *,^ *,^ * *

*,^

* * *

^ *

* * * * *,^

DSP Group Inc. Brightcove Inc. Upland Software Inc. Exa Corp. Rosetta Stone Inc. RigNet Inc. Castlight Health Inc. Class B VirnetX Holding Corp. Limelight Networks Inc. USA Technologies Inc. VOXX International Corp. Class A Amber Road Inc. Yext Inc. GSI Technology Inc. ARI Network Services Inc. KVH Industries Inc. AstroNova Inc. QuickLogic Corp. NCI Inc. Class A Simulations Plus Inc. Sigma Designs Inc. Guidance Software Inc. Pixelworks Inc. Alteryx Inc. Class A Clearfield Inc. SecureWorks Corp. Class A Radisys Corp. TESSCO Technologies Inc. Agilysys Inc. Computer Task Group Inc. Park City Group Inc. Ooma Inc. PC-Tel Inc. Aerohive Networks Inc. Airgain Inc. Appian Corp. Datawatch Corp. Rightside Group Ltd. Key Tronic Corp. Amtech Systems Inc. Tabula Rasa HealthCare Inc. Aware Inc. Preformed Line Products Co. Pendrell Corp. Rocket Fuel Inc. Everspin Technologies Inc. BSQUARE Corp. Edgewater Technology Inc. TransAct Technologies Inc. Neurotrope Inc. Great Elm Capital Group Inc. Concurrent Computer Corp. PAR Technology Corp. Aehr Test Systems Tremor Video Inc. GlobalSCAPE Inc. ClearOne Inc. RCM Technologies Inc. Network-1 Technologies Inc. ID Systems Inc. Covisint Corp. Synacor Inc. MRV Communications Inc. CVD Equipment Corp.

54


Shares

Market Value ($000)

874,224 473,810 291,495 38,958 587,032 947,442 215,867 215,339 825,186 108,812 49,028 275,429 509,481 893,571 115,472 227,144 326,371 80,300 291,547 169,342 82,255 410,026 1,102,888 128,863 86,477 95,690 68,570 162,376 401,809 113,564 342,961 30,760 73,139 181,082 72,826 107,637 63,634 694,509 158,937 42,276 32,302 26,258 34,623 93,835 42,701 17,328 31,359 17,147 29,519 31,890 17,103 401,000 6,400 6,400 3,680 2,673 1,383 800

1,154 1,109 1,081 1,046 992 966 930 902 891 865 853 813 637 634 606 604 584 584 569 555 551 533 507 490 445 435 411 396 374 355 350 331 324 317 315 314 288 180 170 164 159 153 152 137 81 67 52 50 48 46 45 26 26 25 24 11 5 ___________1

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

* * *,^

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

* * * * * * *

*,^ *,^

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

* *

iPass Inc. Support.com Inc. SITO Mobile Ltd. QAD Inc. Class B LRAD Corp. Netlist Inc. Atomera Inc. Icad Inc. Neonode Inc. Data I/O Corp. Aviat Networks Inc. GSE Systems Inc. Inseego Corp. TransEnterix Inc. Identiv Inc. Seachange International Inc. ParkerVision Inc. Tintri Inc. Xplore Technologies Corp. Finjan Holdings Inc. inTEST Corp. Marin Software Inc. WidePoint Corp. RELM Wireless Corp. Evolving Systems Inc. Adesto Technologies Corp. DASAN Zhone Solutions Inc. Lantronix Inc. Intermolecular Inc. Westell Technologies Inc. Class A Inuvo Inc. CSP Inc. Resonant Inc. Sunworks Inc. Communications Systems Inc. Qumu Corp. SharpSpring Inc. FalconStor Software Inc. Streamline Health Solutions Inc. Intellicheck Inc. Numerex Corp. Class A Sajan Inc. BroadVision Inc. Smith Micro Software Inc. NXT-ID Inc. Sonic Foundry Inc. FORM Holdings Corp. ARC Group Worldwide Inc. ADDvantage Technologies Group Inc. Fusion Telecommunications International Inc. Determine Inc. Ciber Inc. Socket Mobile Inc. NetSol Technologies Inc. Mastech Digital Inc. GlassBridge Enterprises Inc. Intelligent Systems Corp. Cinedigm Corp. Class A

100,374,987 Telecommunications (2.0%) AT&T Inc. Verizon Communications Inc. * T-Mobile US Inc. * Level 3 Communications Inc.

141,546,385 93,920,728 6,675,745 6,618,207

55

5,340,545 4,194,500 404,684 392,460


Shares

Market Value ($000)

12,527,249 13,730,229 3,639,403 2,178,359 1,085,208 28,340,499 4,524,515 2,030,242 153,742 1,158,880 2,019,070 10,284,009 657,896 567,903 995,236 1,707,130 265,217 4,595,190 350,459 625,224 534,063 463,911 288,954 254,420 411,410 805,102 1,187,621 527,613 8,730 2,000

299,151 112,725 112,457 60,449 33,316 32,875 29,590 29,540 27,620 24,881 22,311 21,905 20,822 20,808 19,457 19,291 18,151 17,829 13,430 9,785 9,544 8,211 7,221 5,928 5,912 4,734 2,613 1,614 67 ___________2

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

*,^ *

^ * * *

*,^ *,^ * *

*

* * *

* *

* * *,^ * *,^

CenturyLink Inc. Sprint Corp. Zayo Group Holdings Inc. Telephone & Data Systems Inc. Shenandoah Telecommunications Co. Frontier Communications Corp. Vonage Holdings Corp. 8x8 Inc. Straight Path Communications Inc. Class B Consolidated Communications Holdings Inc. Iridium Communications Inc. Globalstar Inc. GTT Communications Inc. General Communication Inc. Class A Cincinnati Bell Inc. ORBCOMM Inc. ATN International Inc. Windstream Holdings Inc. United States Cellular Corp. FairPoint Communications Inc. Lumos Networks Corp. Spok Holdings Inc. Hawaiian Telcom Holdco Inc. pdvWireless Inc. IDT Corp. Class B HC2 Holdings Inc. Alaska Communications Systems Group Inc. Intelsat SA Otelco Inc. Class A CPS Technologies Corp.

11,324,428 Utilities (3.1%) NextEra Energy Inc. Duke Energy Corp. Dominion Energy Inc. Southern Co. American Electric Power Co. Inc. PG&E Corp. Exelon Corp. Sempra Energy PPL Corp. Edison International Consolidated Edison Inc. Xcel Energy Inc. Public Service Enterprise Group Inc. WEC Energy Group Inc. Eversource Energy DTE Energy Co. American Water Works Co. Inc. Entergy Corp. Ameren Corp. FirstEnergy Corp. CMS Energy Corp. CenterPoint Energy Inc. ONEOK Inc. Pinnacle West Capital Corp. Alliant Energy Corp. Atmos Energy Corp. SCANA Corp. UGI Corp. NiSource Inc. Westar Energy Inc. Class A AES Corp. Great Plains Energy Inc.

10,800,289 16,122,704 14,506,917 22,897,103 11,341,572 11,768,829 21,298,117 5,766,360 15,658,189 7,493,875 7,030,824 11,714,865 11,643,766 7,273,114 7,286,855 4,146,640 4,097,384 4,113,541 5,550,884 10,192,503 6,409,367 9,406,961 4,830,107 2,535,578 5,224,835 2,424,185 2,942,196 3,945,730 7,395,405 3,269,005 14,971,667 4,816,151

56

1,513,444 1,347,697 1,111,665 1,096,313 787,899 781,097 768,223 650,157 605,346 585,946 568,231 537,478 500,798 446,424 442,385 438,673 319,391 315,797 303,467 297,213 296,433 257,563 251,938 215,930 209,882 201,086 197,157 191,013 187,547 173,323 166,335 141,017


Shares

Market Value ($000)

4,065,477 7,189,531 6,722,972 8,306,438 1,911,785 1,853,933 1,157,451 1,182,387 2,046,771 1,212,583 1,155,538 1,223,987 2,490,861 1,974,181 1,026,407 1,014,139 1,809,691 1,523,046 1,095,976 1,518,802 1,822,483 960,514 853,326 933,904 1,144,391 653,763 821,502 350,336 2,100,809 2,791,194 411,798 378,503 331,515 378,375 1,901,437 388,158 226,947 536,196 191,597 2,383,931 272,392 346,811 254,674 483,835 367,730 379,871 181,914

135,380 123,804 112,879 112,386 111,725 103,524 98,788 98,647 93,517 84,650 82,829 82,582 80,654 78,375 74,989 70,736 69,221 67,242 66,876 64,488 62,274 56,363 54,912 48,283 42,114 39,128 38,947 26,258 25,210 23,083 19,894 18,615 18,402 14,984 13,538 13,527 8,542 7,239 5,838 5,721 5,121 4,474 3,879 3,750 2,802 1,744 1,064 ___________

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

* *

* *

*,^

*,^

* ^

*,^ *

* *,^

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

18,285,866 __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Total Common Stocks (Cost $383,575,329)

577,792,891

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

57


Coupon

Shares

Market Value ($000)

63,822,793

6,383,556

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Temporary Cash Investments (1.1%)1 Money Market Fund (1.1%) 3,4 Vanguard Market Liquidity Fund

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

1.181%

Maturity Date

Face Amount ($000)

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

U.S. Government and Agency Obligations (0.0%) United States Treasury Bill 5 United States Treasury Bill 5 United States Treasury Bill

0.602% 0.918% 0.978%-0.980%

7/13/17 9/14/17 10/5/17

500 52,000 113,100

500 51,899 112,799 ___________ 165,198

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Total Temporary Cash Investments (Cost $6,548,067)

6,548,754

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Total Investments (100.6%) (Cost $390,123,396)

584,341,645

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Other Assets and Liabilities—Net (-0.6%)

(3,313,515)

4,6

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

Net Assets (100%)

581,028,130

__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________ __________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________

* ^ 1

2 3 4 5 6

Non-income-producing security. Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,692,354,000. The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.6%, respectively, of net assets. “Other” represents securities that are not classified by the fund’s benchmark index. Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. Includes $2,869,824,000 of collateral received for securities on loan, of which $4,245,000 is held in cash. Securities with a value of $115,846,000 have been segregated as initial margin for open futures contracts. Cash with a value of $520,000 has been segregated as collateral for open over-the-counter swap contracts. CVR—Contingent Value Rights. REIT—Real Estate Investment Trust.

58

© 2017 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. SNA852 082017

Vanguard Total Stock Market Index Fund

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