0001104659-23-052371.txt : 20230428 0001104659-23-052371.hdr.sgml : 20230428 20230428114040 ACCESSION NUMBER: 0001104659-23-052371 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20230228 FILED AS OF DATE: 20230428 DATE AS OF CHANGE: 20230428 EFFECTIVENESS DATE: 20230428 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD ADMIRAL FUNDS CENTRAL INDEX KEY: 0000891190 IRS NUMBER: 232696041 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07043 FILM NUMBER: 23862112 BUSINESS ADDRESS: STREET 1: P.O. BOX 2600, V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: P.O. BOX 2600 V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD ADMIRAL FUNDS INC DATE OF NAME CHANGE: 19920908 0000891190 S000002233 Vanguard Treasury Money Market Fund C000005732 Investor Shares VUSXX 0000891190 S000030012 Vanguard S&P 500 Growth Index Fund C000092034 ETF Shares VOOG C000092035 Institutional Shares VSPGX 0000891190 S000030013 Vanguard S&P 500 Value Index Fund C000092036 ETF Shares VOOV C000092037 Institutional Shares VSPVX 0000891190 S000030014 Vanguard S&P Mid-Cap 400 Index Fund C000092038 ETF Shares IVOO C000092039 Institutional Shares VSPMX 0000891190 S000030015 Vanguard S&P Mid-Cap 400 Value Index Fund C000092040 ETF Shares IVOV C000092041 Institutional Shares VMFVX 0000891190 S000030016 Vanguard S&P Mid-Cap 400 Growth Index Fund C000092042 Institutional Shares VMFGX C000092043 ETF Shares IVOG 0000891190 S000030017 Vanguard S&P Small-Cap 600 Index Fund C000092044 ETF Shares VIOO C000092045 Institutional Shares VSMSX 0000891190 S000030018 Vanguard S&P Small-Cap 600 Growth Index Fund C000092046 ETF Shares VIOG C000092047 Institutional Shares VSGNX 0000891190 S000030019 Vanguard S&P Small-Cap 600 Value Index Fund C000092048 ETF Shares VIOV C000092049 Institutional Shares VSMVX N-CSRS 1 tm237369d2_ncsrs.htm N-CSRS

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-07043

 

Name of Registrant:Vanguard Admiral Funds
Address of Registrant:P.O. Box 2600
 Valley Forge, PA 19482

 

Name and address of agent for service:Anne E. Robinson, Esquire
 P.O. Box 876
 Valley Forge, PA 19482

 

Registrant’s telephone number, including area code: (610) 669-1000

 

Date of fiscal year end: August 31

 

Date of reporting period: September 1, 2022—February 28, 2023

 

 

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

Semiannual Report   |   February 28, 2023
Vanguard Money Market Funds
Vanguard Cash Reserves Federal Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund

 

Contents
About Your Fund’s Expenses
1
Cash Reserves Federal Money Market Fund
3
Federal Money Market Fund
15
Treasury Money Market Fund
28

 

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.
1

 

Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022 		Ending
Account Value
2/28/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,018.00 $0.50
Federal Money Market Fund $1,000.00 $1,017.80 $0.55
Treasury Money Market Fund $1,000.00 $1,017.60 $0.45
Based on Hypothetical 5% Yearly Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,024.30 $0.50
Federal Money Market Fund $1,000.00 $1,024.25 $0.55
Treasury Money Market Fund $1,000.00 $1,024.35 $0.45
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are 0.10% for the Cash Reserves Federal Money Market Fund, 0.11% for the Federal Money Market Fund, and 0.09% for the Treasury Money Market Fund. 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).
2

 

Cash Reserves Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 28, 2023
1 - 7 Days 68.0%
8 - 30 Days 7.2
31 - 60 Days 6.8
61 - 90 Days 5.8
91 - 180 Days 8.8
Over 180 Days 3.4
3

 

Cash Reserves Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (43.3%)
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.010%        4.560%   3/1/23    106,000    105,999
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.010%        4.560%   3/1/23     46,000     46,000
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.020%        4.550%   3/1/23     30,000     29,999
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        4.590%   3/1/23     52,000     51,997
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.030%        4.600%   3/1/23     71,000     70,995
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.013%        4.563%   3/1/23     63,000     62,999
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.025%        4.575%   3/1/23     88,000     87,999
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.035%        4.585%   3/1/23    247,000    247,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        4.590%   3/1/23     80,000     79,998
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        4.590%   3/1/23     38,000     38,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.045%        4.595%   3/1/23     57,000     57,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        4.600%   3/1/23     91,000     91,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        4.605%   3/1/23    175,000    175,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        4.605%   3/1/23     65,000     65,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.120%        4.670%   3/1/23     57,207     57,207
  Federal Home Loan Banks        4.250%  4/14/23    506,190    506,186
  Federal Home Loan Banks        4.600%  7/24/23     59,190     59,187
  Federal Home Loan Banks        4.625%  11/6/23    297,800    297,800
  Federal Home Loan Banks        5.020% 12/14/23    447,000    446,987
  Federal Home Loan Banks Discount Notes        4.625%   3/3/23      1,070      1,070
  Federal Home Loan Banks Discount Notes        4.631%   3/7/23      4,997      4,993
  Federal Home Loan Banks Discount Notes 4.474%–4.491%   3/8/23  1,142,041  1,141,055
  Federal Home Loan Banks Discount Notes        4.482%  3/10/23    196,000    195,781
  Federal Home Loan Banks Discount Notes        4.473%  3/13/23     74,780     74,672
  Federal Home Loan Banks Discount Notes 4.498%–4.514%  3/15/23    472,000    471,177
  Federal Home Loan Banks Discount Notes 4.473%–4.485%  3/17/23  1,239,989  1,237,560
  Federal Home Loan Banks Discount Notes        4.534%  3/22/23    341,000    340,101
  Federal Home Loan Banks Discount Notes        4.550%  3/24/23     59,798     59,629
  Federal Home Loan Banks Discount Notes        4.549%  3/29/23    148,700    148,181
4

 

Cash Reserves Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Federal Home Loan Banks Discount Notes 4.686%–4.741%  4/10/23     78,000     77,600
  Federal Home Loan Banks Discount Notes 4.243%–4.678%  4/12/23    599,000    595,813
  Federal Home Loan Banks Discount Notes 4.647%–4.708%  4/14/23    576,000    572,775
  Federal Home Loan Banks Discount Notes        4.626%  4/18/23    149,577    148,678
  Federal Home Loan Banks Discount Notes 4.667%–4.740%  4/19/23    773,762    768,914
  Federal Home Loan Banks Discount Notes        4.683%  4/21/23    487,000    483,816
  Federal Home Loan Banks Discount Notes        4.702%  4/26/23    832,000    826,003
  Federal Home Loan Banks Discount Notes 4.707%–4.713%  4/28/23    514,310    510,484
  Federal Home Loan Banks Discount Notes 4.768%–4.769%   5/2/23    536,478    532,186
  Federal Home Loan Banks Discount Notes 4.734%–4.786%   5/3/23    402,333    399,048
  Federal Home Loan Banks Discount Notes        4.739%  5/15/23    149,640    148,215
  Federal Home Loan Banks Discount Notes 4.712%–4.739%  5/16/23    778,153    770,646
  Federal Home Loan Banks Discount Notes        4.806%  5/19/23    340,292    336,756
  Federal Home Loan Banks Discount Notes        4.774%  5/22/23    149,495    147,929
  Federal Home Loan Banks Discount Notes        4.877%  5/31/23     62,500     61,741
  Federal Home Loan Banks Discount Notes        4.806%   6/5/23    224,500    221,704
  Federal Home Loan Banks Discount Notes 4.942%–4.986%  6/20/23    448,008    441,322
  Federal Home Loan Banks Discount Notes        4.844%  6/28/23    127,300    125,326
  Federal Home Loan Banks Discount Notes        4.851%   7/5/23    117,000    115,077
  Federal Home Loan Banks Discount Notes        4.971%   8/9/23    106,000    103,720
  Federal Home Loan Banks Discount Notes        5.078%   2/8/24    297,982    284,371
  Federal Home Loan Banks Discount Notes        5.065%   2/9/24    893,658    852,721
2 Federal Home Loan Banks, SOFR + 0.010%        4.560%  3/23/23    592,900    592,900
2 Federal Home Loan Banks, SOFR + 0.015%        4.565%   3/1/23    889,000    889,000
2 Federal Home Loan Banks, SOFR + 0.015%        4.565%   3/1/23     17,280     17,280
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%   3/1/23     43,500     43,498
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  3/24/23    267,300    267,300
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23    296,400    296,400
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23    287,600    287,600
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23     34,100     34,100
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/25/23    297,700    297,700
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   3/1/23    249,940    249,940
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   3/1/23    231,900    231,900
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  4/14/23    148,700    148,700
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  4/24/23    490,300    490,300
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   5/1/23    252,500    252,500
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   5/4/23    893,300    893,300
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/22/23    296,400    296,400
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/26/23    446,000    446,000
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/26/23    185,800    185,800
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   6/2/23    446,600    446,600
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   6/5/23    446,200    446,200
2 Federal Home Loan Banks, SOFR + 0.035%        4.585%   3/1/23     68,000     67,998
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   3/1/23    463,100    463,100
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%  5/22/23    445,600    445,600
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/1/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/2/23    389,000    389,000
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/5/23    504,300    504,300
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%  6/28/23    446,600    446,600
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23    289,815    289,815
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23    289,515    289,515
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23    289,515    289,515
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23    274,900    274,900
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23    217,135    217,135
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23    289,400    289,400
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23    289,300    289,300
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23    145,000    145,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23    144,100    144,100
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  6/27/23    222,700    222,700
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  6/30/23    600,000    600,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/3/23    445,400    445,400
5

 

Cash Reserves Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/5/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/6/23    295,600    295,600
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/10/23    296,500    296,500
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/10/23    148,000    148,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/13/23    111,100    111,100
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/17/23  1,530,100  1,530,100
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/24/23    309,700    309,696
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    296,300    296,300
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    295,500    295,500
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,400    289,400
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,300    289,300
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    250,400    250,400
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    217,000    217,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    159,900    159,900
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23    144,600    144,600
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%   3/1/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%  8/25/23    296,400    296,400
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%  8/28/23    296,400    296,400
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%   9/5/23    446,200    446,200
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23    289,330    289,330
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23    289,000    289,000
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23    144,800    144,800
2 Federal Home Loan Banks, SOFR + 0.070%        4.620%   3/1/23    144,800    144,800
2 Federal Home Loan Banks, SOFR + 0.070%        4.620%  10/3/23    447,400    447,400
2 Federal Home Loan Banks, SOFR + 0.075%        4.625%   3/1/23    297,000    297,000
2 Federal Home Loan Banks, SOFR + 0.090%        4.640% 12/27/23    297,100    297,100
  United States Treasury Bill        4.185%  3/14/23  2,021,990  2,018,730
  United States Treasury Bill        4.126%  4/13/23    182,603    181,724
  United States Treasury Bill        4.360%  4/18/23    249,834    248,285
  United States Treasury Bill        1.922%  4/20/23    250,000    249,351
  United States Treasury Bill        3.141%  6/15/23    450,000    445,998
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        4.733%   3/1/23    144,960    144,833
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034%        4.842%   3/1/23    537,000    537,001
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        4.845%   3/1/23    900,000    900,000
Total U.S. Government and Agency Obligations (Cost $42,639,961) 42,639,961
Repurchase Agreements (56.5%)
  Bank of Montreal
(Dated 2/1/23, Repurchase Value $74,468,000, collateralized by U.S. Treasury Note/Bond 1.125%–2.750%, 5/31/24–8/31/28, with a value of $75,480,000) 		       4.555%  3/23/23     74,000     74,000
  Canadian Imperial Bank of Commerce
(Dated 2/2/23, Repurchase Value $396,443,000, collateralized by U.S. Treasury Bill 0.000%, 5/16/23, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 4/15/26–2/15/48, and U.S. Treasury Note/Bond 0.375%–4.500%, 2/29/24–11/15/50, with a value of $401,880,000) 		       4.555%  3/23/23    394,000    394,000
6

 

Cash Reserves Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Federal Reserve Bank of New York
(Dated 2/28/23, Repurchase Value $54,346,868,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.500%, 5/15/23–8/15/39, with a value of $54,346,868,000) 		       4.550%   3/1/23 54,340,000 54,340,000
  Royal Bank of Canada
(Dated 2/27/23, Repurchase Value $603,459,000, collateralized by U.S. Treasury Note/Bond 0.125%–4.125%, 8/15/23–10/31/29, with a value of $610,236,000) 		       4.730%   5/4/23    598,271    598,271
  Royal Bank of Canada
(Dated 2/28/23, Repurchase Value $226,588,000, collateralized by U.S. Treasury Note/Bond 0.250%, 9/30/25–10/31/25, with a value of $229,160,000) 		       4.735%   5/4/23    224,667    224,667
Total Repurchase Agreements (Cost $55,630,938) 55,630,938
Total Investments (99.8%) (Cost $98,270,899) 98,270,899
Other Assets and Liabilities—Net (0.2%) 166,251
Net Assets (100%) 98,437,150
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
  3M—3-month.
  EFFR—Effective Federal Funds Rate.
  SOFR—Secured Overnight Financing Rate.
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Cash Reserves Federal Money Market Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $42,639,961) 42,639,961
Repurchase Agreements (Cost $55,630,938) 55,630,938
Total Investments in Securities 98,270,899
Investment in Vanguard 3,441
Cash 2,192
Receivables for Accrued Income 171,619
Receivables for Capital Shares Issued 209,081
Total Assets 98,657,232
Liabilities  
Payables for Investment Securities Purchased 61,741
Payables for Capital Shares Redeemed 132,411
Payables for Distributions 22,446
Payables to Vanguard 3,484
Total Liabilities 220,082
Net Assets 98,437,150
At February 28, 2023, net assets consisted of:  
   
Paid-in Capital 98,436,100
Total Distributable Earnings (Loss) 1,050
Net Assets 98,437,150
 
Admiral Shares—Net Assets  
Applicable to 98,422,817,292 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		98,437,150
Net Asset Value Per Share—Admiral Shares $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Cash Reserves Federal Money Market Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Interest 1,711,616
Total Income 1,711,616
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 158
Management and Administrative—Admiral Shares 42,933
Marketing and Distribution—Admiral Shares 2,489
Custodian Fees 90
Shareholders’ Reports—Admiral Shares 313
Trustees’ Fees and Expenses 20
Other Expenses 6
Total Expenses 46,009
Expenses Paid Indirectly (21)
Net Expenses 45,988
Net Investment Income 1,665,628
Realized Net Gain (Loss) on Investment Securities Sold 1,072
Net Increase (Decrease) in Net Assets Resulting from Operations 1,666,700
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Cash Reserves Federal Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 1,665,628   422,281
Realized Net Gain (Loss) 1,072   62
Net Increase (Decrease) in Net Assets Resulting from Operations 1,666,700   422,343
Distributions      
Total Distributions (1,665,796)   (430,686)
Capital Share Transactions (at $1.00 per share)      
Issued 29,731,632   32,229,346
Issued in Lieu of Cash Distributions 1,545,365   400,798
Redeemed (21,390,481)   (38,955,502)
Net Increase (Decrease) from Capital Share Transactions 9,886,516   (6,325,358)
Total Increase (Decrease) 9,887,420   (6,333,701)
Net Assets      
Beginning of Period 88,549,730   94,883,431
End of Period 98,437,150   88,549,730
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Cash Reserves Federal Money Market Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations            
Net Investment Income1 .0180 .0047 .0002 .012 .024 .016
Net Realized and Unrealized Gain (Loss) on Investments (.0001) .0002 — — — —
Total from Investment Operations .0179 .0049 .0002 .012 .024 .016
Distributions            
Dividends from Net Investment Income (.0179) (.0048) (.0002) (.012) (.024) (.016)
Distributions from Realized Capital Gains (.0000)2 (.0001) — — — —
Total Distributions (.0179) (.0049) (.0002) (.012) (.024) (.016)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return3 1.80% 0.49% 0.02% 1.21% 2.42% 1.66%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $98,437 $88,550 $94,883 $25,704 $18,923 $16,118
Ratio of Total Expenses to Average Net Assets4 0.10% 0.08% 0.07% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 3.62% 0.47% 0.02% 1.20% 2.39% 1.65%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distribution was less than $0.0001 per share.
3 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.
4 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.  The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.10% for 2022 and 0.10% for 2021. For the six months ended February 28, 2023, and the years ended August 31, 2020, 2019, and 2018, there were no expense reductions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Cash Reserves Federal Money Market Fund
Notes to Financial Statements
Vanguard Cash Reserves Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
12

 

Cash Reserves Federal Money Market Fund
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $3,441,000, representing less than 0.01% of the fund’s net assets and 1.38% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the six months ended February 28, 2023, Vanguard's expenses were reduced by $0 (an annual effective rate of 0.00% of the fund's average net assets); the fund is not obligated to repay this amount to Vanguard.
13

 

Cash Reserves Federal Money Market Fund
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $21,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2023, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E. As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 98,270,899
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
F. Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
14

 

Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 28, 2023
1 - 7 Days 68.0%
8 - 30 Days 6.9
31 - 60 Days 6.9
61 - 90 Days 5.8
91 - 180 Days 8.9
Over 180 Days 3.5
15

 

Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (43.2%)
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.010%        4.560%   3/1/23     249,000     248,997
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.010%        4.560%   3/1/23     104,000     103,999
2 Federal Farm Credit Banks Funding Corp., EFFR - 0.020%        4.550%   3/1/23      70,000      69,999
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        4.590%   3/1/23     123,000     122,993
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.030%        4.600%   3/1/23     154,000     153,989
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.013%        4.563%   3/1/23     140,600     140,598
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.025%        4.575%   3/1/23     204,000     203,999
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.035%        4.585%   3/1/23     550,000     550,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        4.590%   3/1/23     170,000     169,995
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        4.590%   3/1/23      84,000      84,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.045%        4.595%   3/1/23     127,000     127,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        4.600%   3/1/23     199,000     199,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        4.605%   3/1/23     350,000     350,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        4.605%   3/1/23     146,000     146,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.120%        4.670%   3/1/23     134,032     134,032
2 Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield + 0.035%        4.843%   3/1/23      40,000      40,000
  Federal Home Loan Banks        4.250%  4/14/23   1,236,875   1,236,865
  Federal Home Loan Banks        4.600%  7/24/23     138,880     138,872
  Federal Home Loan Banks        4.625%  11/6/23     698,500     698,500
  Federal Home Loan Banks        5.020% 12/14/23   1,047,500   1,047,469
  Federal Home Loan Banks Discount Notes 4.473%–4.491%   3/8/23   2,706,652   2,704,316
  Federal Home Loan Banks Discount Notes 4.481%–4.481%  3/10/23     464,000     463,482
  Federal Home Loan Banks Discount Notes 4.472%–4.472%  3/13/23     174,230     173,977
  Federal Home Loan Banks Discount Notes 4.498%–4.514%  3/15/23   1,118,000   1,116,050
  Federal Home Loan Banks Discount Notes 4.472%–4.484%  3/17/23   2,910,059   2,904,358
  Federal Home Loan Banks Discount Notes 4.534%–4.534%  3/22/23     798,000     795,896
  Federal Home Loan Banks Discount Notes 4.549%–4.549%  3/24/23     310,412     309,522
16

 

Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Federal Home Loan Banks Discount Notes 4.549%–4.549%  3/29/23     351,300     350,075
  Federal Home Loan Banks Discount Notes 4.685%–4.741%  4/10/23     173,000     172,112
  Federal Home Loan Banks Discount Notes 4.242%–4.677%  4/12/23   1,422,955   1,415,385
  Federal Home Loan Banks Discount Notes 4.647%–4.708%  4/14/23   1,443,000   1,434,921
  Federal Home Loan Banks Discount Notes 4.626%–4.626%  4/18/23     348,446     346,351
  Federal Home Loan Banks Discount Notes 4.667%–4.739%  4/19/23   1,646,188   1,635,872
  Federal Home Loan Banks Discount Notes 4.682%–4.682%  4/21/23   1,148,000   1,140,495
  Federal Home Loan Banks Discount Notes 4.702%–4.702%  4/26/23   1,952,000   1,937,929
  Federal Home Loan Banks Discount Notes 4.706%–4.712%  4/28/23   1,201,769   1,192,829
  Federal Home Loan Banks Discount Notes 4.768%–4.768%   5/2/23   1,256,782   1,246,728
  Federal Home Loan Banks Discount Notes 4.734%–4.786%   5/3/23     941,848     934,159
  Federal Home Loan Banks Discount Notes 4.738%–4.738%  5/15/23     348,382     345,065
  Federal Home Loan Banks Discount Notes 4.711%–4.739%  5/16/23   1,811,517   1,794,040
  Federal Home Loan Banks Discount Notes 4.806%–4.806%  5/19/23     796,557     788,280
  Federal Home Loan Banks Discount Notes 4.774%–4.774%  5/22/23     348,529     344,877
  Federal Home Loan Banks Discount Notes 4.877%–4.877%  5/31/23     125,000     123,482
  Federal Home Loan Banks Discount Notes 4.805%–4.805%   6/5/23     522,500     515,993
  Federal Home Loan Banks Discount Notes 4.942%–4.985%  6/20/23   1,046,572   1,030,954
  Federal Home Loan Banks Discount Notes 4.844%–4.844%  6/28/23     299,700     295,054
  Federal Home Loan Banks Discount Notes 4.851%–4.851%   7/5/23     278,000     273,430
  Federal Home Loan Banks Discount Notes 4.971%–4.971%   8/9/23     248,000     242,665
  Federal Home Loan Banks Discount Notes 5.077%–5.077%   2/8/24     698,347     666,450
  Federal Home Loan Banks Discount Notes 5.064%–5.064%   2/9/24   2,095,308   1,999,325
2 Federal Home Loan Banks, SOFR + 0.010%        4.560%  3/23/23   1,399,400   1,399,400
2 Federal Home Loan Banks, SOFR + 0.015%        4.565%   3/1/23      42,485      42,484
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%   3/1/23     106,000     105,996
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  3/24/23     629,200     629,200
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23     699,700     699,700
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23     678,700     678,700
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/21/23      80,500      80,500
2 Federal Home Loan Banks, SOFR + 0.020%        4.570%  4/25/23     702,300     702,300
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   3/1/23     611,670     611,670
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   3/1/23     565,000     565,000
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  4/14/23     349,300     349,300
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  4/24/23   1,153,300   1,153,300
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   5/1/23     594,200     594,200
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   5/4/23   2,106,700   2,106,700
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/22/23     699,700     699,700
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/26/23   1,054,000   1,054,000
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%  5/26/23     314,200     314,200
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   6/2/23   1,053,400   1,053,400
2 Federal Home Loan Banks, SOFR + 0.030%        4.580%   6/5/23   1,053,800   1,053,800
2 Federal Home Loan Banks, SOFR + 0.035%        4.585%   3/1/23     148,000     147,997
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   3/1/23   1,130,600   1,130,600
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   3/1/23     707,000     707,000
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%  5/22/23   1,048,600   1,048,600
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/1/23     699,100     699,100
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/2/23     911,000     911,000
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%   6/5/23   1,195,700   1,195,700
2 Federal Home Loan Banks, SOFR + 0.040%        4.590%  6/28/23   1,053,400   1,053,400
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23     706,545     706,545
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23     706,545     706,545
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23     706,250     706,250
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23     671,300     671,300
2 Federal Home Loan Banks, SOFR + 0.045%        4.595%   3/1/23     529,915     529,915
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23     706,700     706,700
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23     706,600     706,600
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23     353,900     353,900
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   3/1/23     353,000     353,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  6/27/23     524,400     524,400
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  6/30/23   1,400,000   1,400,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/3/23   1,048,700   1,048,700
17

 

Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/5/23     703,000     703,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%   7/6/23     704,400     704,400
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/10/23     703,500     703,500
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/10/23     352,000     352,000
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/13/23     263,900     263,900
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/17/23   3,625,700   3,625,700
2 Federal Home Loan Banks, SOFR + 0.050%        4.600%  7/24/23     731,390     731,380
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     708,000     708,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     707,000     707,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     707,000     707,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     707,000     707,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     706,700     706,700
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     706,600     706,600
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     700,500     700,500
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     699,700     699,700
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     699,000     699,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     530,000     530,000
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     496,100     496,100
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     392,900     392,900
2 Federal Home Loan Banks, SOFR + 0.055%        4.605%   3/1/23     353,400     353,400
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%   3/1/23     699,000     699,000
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%  8/25/23     699,700     699,700
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%  8/28/23     699,700     699,700
2 Federal Home Loan Banks, SOFR + 0.060%        4.610%   9/5/23   1,053,800   1,053,800
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23     707,000     707,000
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23     706,670     706,670
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23     699,000     699,000
2 Federal Home Loan Banks, SOFR + 0.065%        4.615%   3/1/23     353,200     353,200
2 Federal Home Loan Banks, SOFR + 0.070%        4.620%   3/1/23     353,200     353,200
2 Federal Home Loan Banks, SOFR + 0.070%        4.620%  10/3/23   1,047,000   1,047,000
2 Federal Home Loan Banks, SOFR + 0.075%        4.625%   3/1/23     699,000     699,000
2 Federal Home Loan Banks, SOFR + 0.090%        4.640% 12/27/23     702,900     702,900
  United States Treasury Bill 4.407%–4.407%   3/2/23         927         927
  United States Treasury Bill 3.902%–4.218%  3/14/23   4,052,000   4,045,467
  United States Treasury Bill 4.125%–4.528%  4/13/23     448,063     445,906
  United States Treasury Bill 4.359%–4.359%  4/18/23     586,064     582,431
  United States Treasury Bill 1.922%–4.576%  4/20/23     600,000     598,442
  United States Treasury Bill 3.141%–4.728%  6/15/23   1,050,000   1,040,663
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        4.733%   3/1/23     344,553     344,251
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034%        4.842%   3/1/23   2,441,000   2,441,006
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        4.845%   3/1/23   2,200,000   2,199,999
Total U.S. Government and Agency Obligations (Cost $99,178,223) 99,178,223
Repurchase Agreements (56.6%)
  Bank of Montreal
(Dated 2/1/23, Repurchase Value $176,107,000, collateralized by U.S. Treasury Note/Bond 0.125%–2.875%, 7/31/23–2/15/32, with a value of $178,500,000) 		       4.555%  3/23/23     175,000     175,000
  Bank of Nova Scotia
(Dated 2/28/23, Repurchase Value $964,121,000, collateralized by U.S. Treasury Note/Bond 1.875%–4.625%, 2/28/25–5/31/27, with a value of $983,280,000) 		       4.530%   3/1/23     964,000     964,000
18

 

Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Canadian Imperial Bank of Commerce
(Dated 2/2/23, Repurchase Value $931,741,000, collateralized by U.S. Treasury Bill 0.000%, 5/16/23, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/23–2/15/43, and U.S. Treasury Note/Bond 0.375%-4.500%, 10/31/23–8/15/51, with a value of $944,520,000) 		       4.555%  3/23/23     926,000     926,000
  Federal Reserve Bank of New York
(Dated 2/28/23, Repurchase Value $118,303,950,000, collateralized by U.S. Treasury Note/Bond 1.125%–4.625%, 2/15/39–5/15/52, with a value of $118,303,950,000) 		       4.550%   3/1/23 118,289,000 118,289,000
  Fixed Income Clearing Corp.
(Dated 2/28/23, Repurchase Value $2,959,374,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.625%, 7/15/23–7/15/31, and U.S. Treasury Note/Bond 0.250%–3.000%, 8/15/23–11/15/40, with a value of $3,018,180,000) 		       4.550%   3/1/23   2,959,000   2,959,000
  MUFG Securities America Inc.
(Dated 2/28/23, Repurchase Value $466,059,000, collateralized by U.S. Treasury Bill 0.000%, 3/2/23–6/6/23, with a value of $475,320,000) 		       4.540%   3/1/23     466,000     466,000
  Nomura International plc
(Dated 2/28/23, Repurchase Value $466,059,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 7/15/24–1/15/29, with a value of $475,320,000) 		       4.550%   3/1/23     466,000     466,000
  RBC Capital Markets LLC
(Dated 2/28/23, Repurchase Value $68,009,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 7/15/24–2/15/46, and U.S. Treasury Note/Bond 1.250%–6.125%, 9/30/24–11/15/52, with a value of $69,360,000) 		       4.550%   3/1/23      68,000      68,000
  Royal Bank of Canada
(Dated 2/27/23, Repurchase Value $1,403,431,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 10/15/24–2/15/49, and U.S. Treasury Note/Bond 0.125%–5.250%, 5/31/23–2/15/53, with a value of $1,419,193,000) 		       4.730%   5/4/23   1,391,366   1,391,366
  Royal Bank of Canada
(Dated 2/28/23, Repurchase Value $527,073,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.000%, 6/30/25–2/28/30, with a value of $533,057,000) 		       4.735%   5/4/23     522,605     522,605
  Standard Chartered Bank
(Dated 2/28/23, Repurchase Value $1,462,185,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.375%, 7/15/23–2/15/44, and U.S. Treasury Note/Bond 0.125%–4.500%, 8/15/23–5/15/52, with a value of $1,491,428,000) 		       4.550%   3/1/23   1,462,000   1,462,000
  Sumitomo Mitsui Banking Corp.
(Dated 2/28/23, Repurchase Value $1,960,248,000, collateralized by U.S. Treasury Note/Bond 0.500%–4.375%, 3/15/23–5/15/41, with a value of $1,999,200,000) 		       4.550%   3/1/23   1,960,000   1,960,000
19

 

Federal Money Market Fund
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  TD Securities (USA) LLC
(Dated 2/28/23, Repurchase Value $118,015,000, collateralized by U.S. Treasury Note/Bond 1.125%–4.125%, 6/30/23–11/15/31, with a value of $120,360,000) 		       4.560%   3/1/23     118,000     118,000
Total Repurchase Agreements (Cost $129,766,971) 129,766,971
Total Investments (99.8%) (Cost $228,945,194) 228,945,194
Other Assets and Liabilities—Net (0.2%) 359,126
Net Assets (100%) 229,304,320
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
  3M—3-month.
  EFFR—Effective Federal Funds Rate.
  SOFR—Secured Overnight Financing Rate.
  
See accompanying Notes, which are an integral part of the Financial Statements.
20

 

Federal Money Market Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $99,178,223) 99,178,223
Repurchase Agreements (Cost $129,766,971) 129,766,971
Total Investments in Securities 228,945,194
Investment in Vanguard 8,065
Cash 873
Receivables for Accrued Income 393,767
Receivables for Capital Shares Issued 353,847
Other Assets 10,500
Total Assets 229,712,246
Liabilities  
Payables for Investment Securities Purchased 123,482
Payables for Capital Shares Redeemed 234,688
Payables for Distributions 40,807
Payables to Vanguard 8,949
Total Liabilities 407,926
Net Assets 229,304,320
At February 28, 2023, net assets consisted of:  
   
Paid-in Capital 229,303,949
Total Distributable Earnings (Loss) 371
Net Assets 229,304,320
 
Net Assets  
Applicable to 229,303,438,586 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		229,304,320
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Federal Money Market Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Interest 4,037,115
Total Income 4,037,115
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 373
Management and Administrative 110,090
Marketing and Distribution 8,037
Custodian Fees 192
Shareholders’ Reports 1,499
Trustees’ Fees and Expenses 49
Other Expenses 6
Total Expenses 120,246
Expenses Paid Indirectly (38)
Net Expenses 120,208
Net Investment Income 3,916,907
Realized Net Gain (Loss) on Investment Securities Sold 1,657
Net Increase (Decrease) in Net Assets Resulting from Operations 3,918,564
  
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

Federal Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 3,916,907   1,032,737
Realized Net Gain (Loss) 1,657   350
Net Increase (Decrease) in Net Assets Resulting from Operations 3,918,564   1,033,087
Distributions      
Total Distributions (3,916,983)   (1,032,754)
Capital Share Transactions (at $1.00 per share)      
Issued 54,940,802   103,314,268
Issued in Lieu of Cash Distributions 3,704,777   979,612
Redeemed (45,884,135)   (82,138,377)
Net Increase (Decrease) from Capital Share Transactions 12,761,444   22,155,503
Total Increase (Decrease) 12,763,025   22,155,836
Net Assets      
Beginning of Period 216,541,295   194,385,459
End of Period 229,304,320   216,541,295
  
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Federal Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2023 		Year Ended August 31,
  2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations            
Net Investment Income1 .0178 .0050 .0002 .010 .022 .014
Net Realized and Unrealized Gain (Loss) on Investments (.0001) (.0002) — — — —
Total from Investment Operations .0177 .0048 .0002 .010 .022 .014
Distributions            
Dividends from Net Investment Income (.0177) (.0048) (.0002) (.010) (.022) (.014)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.0177) (.0048) (.0002) (.010) (.022) (.014)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 1.78% 0.48% 0.02% 1.03% 2.26% 1.42%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $229,304 $216,541 $194,385 $197,525 $132,966 $100,287
Ratio of Total Expenses to Average Net Assets3 0.11% 0.09% 0.09% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets 3.58% 0.50% 0.02% 0.93% 2.24% 1.43%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.  The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2022 and 0.11% for 2021. For the six months ended February 28, 2023, and the years ended August 31, 2020, 2019, and 2018, there were no expense reductions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
25

 

Federal Money Market Fund
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $8,065,000, representing less than 0.01% of the fund’s net assets and 3.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the six months ended ended February 28, 2023, Vanguard's expenses were reduced by $0 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
26

 

Federal Money Market Fund
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $38,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2023, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E. As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 228,945,194
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $1,210,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
27

 

Treasury Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 28, 2023
1 - 7 Days 31.3%
8 - 30 Days 22.7
31 - 60 Days 31.5
61 - 90 Days 11.1
91 - 180 Days 3.4
28

 

Treasury Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
    Yield1 Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (75.4%)
  United States Treasury Bill        4.408%   3/2/23       939        939
  United States Treasury Bill        3.876%   3/7/23 1,200,000  1,199,102
  United States Treasury Bill        4.143%   3/9/23 2,800,000  2,797,184
  United States Treasury Bill 3.902%–4.218%  3/14/23 5,009,000  5,000,864
  United States Treasury Bill        4.237%  3/21/23 1,500,000  1,496,233
  United States Treasury Bill        4.223%   4/4/23 2,800,000  2,788,087
  United States Treasury Bill        4.312%  4/11/23 2,700,000  2,685,855
  United States Treasury Bill 4.126%–4.528%  4/13/23 2,117,612  2,106,153
  United States Treasury Bill        4.360%  4/18/23 2,500,000  2,484,500
  United States Treasury Bill 1.922%–4.577%  4/20/23   575,000    571,639
  United States Treasury Bill 4.335%–4.369%  4/25/23 2,300,000  2,283,733
  United States Treasury Bill        4.459%   5/2/23   600,000    595,298
  United States Treasury Bill        4.479%   5/9/23   500,000    495,620
  United States Treasury Bill        4.558%  5/11/23 1,500,000  1,486,421
  United States Treasury Bill        4.649%  5/18/23 2,000,000  1,979,720
  United States Treasury Bill 3.141%–4.729%  6/15/23   550,000    542,976
  United States Treasury Bill        4.723%  6/29/23   850,000    836,967
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        4.733%   3/1/23 1,138,700  1,137,728
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.034%        4.842%   3/1/23   550,000    550,001
Total U.S. Government and Agency Obligations (Cost $31,039,020) 31,039,020
Repurchase Agreement (24.2%)
  Federal Reserve Bank of New York
(Dated 2/28/23, Repurchase Value $9,956,258,000, collateralized by U.S. Treasury Note/Bond 0.125%–1.125%, 7/31/23–2/15/31, with a value of $9,956,258,000) (Cost $9,955,000) 		       4.550%   3/1/23 9,955,000           9,955,000
Total Investments (99.6%) (Cost $40,994,020) 40,994,020
Other Assets and Liabilities—Net (0.4%) 184,462
Net Assets (100%) 41,178,482
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
  3M—3-month.
  
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

Treasury Money Market Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $31,039,020) 31,039,020
Repurchase Agreements (Cost $9,955,000) 9,955,000
Total Investments in Securities 40,994,020
Investment in Vanguard 1,391
Cash 14
Receivables for Accrued Income 7,602
Receivables for Capital Shares Issued 260,278
Other Assets 3,298
Total Assets 41,266,603
Liabilities  
Payables for Capital Shares Redeemed 74,823
Payables for Distributions 11,999
Payables to Vanguard 1,299
Total Liabilities 88,121
Net Assets 41,178,482
At February 28, 2023, net assets consisted of:  
   
Paid-in Capital 41,178,610
Total Distributable Earnings (Loss) (128)
Net Assets 41,178,482
 
Net Assets  
Applicable to 41,175,570,096 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		41,178,482
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
30

 

Treasury Money Market Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Interest 662,242
Total Income 662,242
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 63
Management and Administrative 14,732
Marketing and Distribution 1,345
Custodian Fees 79
Shareholders’ Reports 94
Trustees’ Fees and Expenses 8
Other Expenses 6
Total Expenses 16,327
Net Investment Income 645,915
Realized Net Gain (Loss) on Investment Securities Sold 645
Net Increase (Decrease) in Net Assets Resulting from Operations 646,560
  
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

Treasury Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 645,915   155,618
Realized Net Gain (Loss) 645   (657)
Net Increase (Decrease) in Net Assets Resulting from Operations 646,560   154,961
Distributions      
Total Distributions (645,923)   (155,642)
Capital Share Transactions (at $1.00 per share)      
Issued 22,236,361   21,601,161
Issued in Lieu of Cash Distributions 590,177   144,000
Redeemed (16,003,504)   (23,133,582)
Net Increase (Decrease) from Capital Share Transactions 6,823,034   (1,388,421)
Total Increase (Decrease) 6,823,671   (1,389,102)
Net Assets      
Beginning of Period 34,354,811   35,743,913
End of Period 41,178,482   34,354,811
  
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

Treasury Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
February 28,
2023 		Year Ended August 31,
  2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations            
Net Investment Income1 .0177 .0045 .0003 .010 .022 .014
Net Realized and Unrealized Gain (Loss) on Investments (.0002) — — — — —
Total from Investment Operations .0175 .0045 .0003 .010 .022 .014
Distributions            
Dividends from Net Investment Income (.0175) (.0045) (.0003) (.010) (.022) (.014)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.0175) (.0045) (.0003) (.010) (.022) (.014)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 1.76% 0.45% 0.03% 1.05% 2.25% 1.43%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $41,178 $34,355 $35,744 $38,547 $28,428 $18,911
Ratio of Total Expenses to Average Net Assets3 0.09% 0.08% 0.08% 0.09% 0.09% 0.09%
Ratio of Net Investment Income to Average Net Assets 3.56% 0.45% 0.03% 0.95% 2.23% 1.43%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2022 and 0.09% for 2021. For the six months ended February 28, 2023, and the years ended August 31, 2020, 2019, and 2018, there were no expense reductions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

Treasury Money Market Fund
Notes to Financial Statements
Vanguard Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
34

 

Treasury Money Market Fund
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $1,391,000, representing less than 0.01% of the fund’s net assets and 0.56% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the six months ended February 28, 2023, Vanguard's expenses were reduced by $0 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
35

 

Treasury Money Market Fund
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). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2023, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. As of February 28, 2023, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 40,994,020
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $765,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
36

 

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You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
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All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q302 042023
Semiannual Report  |  February 28, 2023
Vanguard S&P Mid-Cap 400 Index Funds
Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 Growth Index Fund

 

 

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.
1

 

Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022 		Ending
Account Value
2/28/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,078.30 $0.52
Institutional Shares 1,000.00 1,078.60 0.41
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,103.90 $0.78
Institutional Shares 1,000.00 1,104.30 0.42
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,052.60 $0.76
Institutional Shares 1,000.00 1,053.00 0.41
Based on Hypothetical 5% Yearly Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.15% for ETF Shares and 0.08% for Institutional 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).
2

 

S&P Mid-Cap 400 Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 2.1%
Consumer Discretionary 14.4
Consumer Staples 3.8
Energy 3.5
Financials 15.3
Health Care 9.2
Industrials 20.6
Information Technology 12.6
Materials 6.8
Real Estate 8.0
Utilities 3.7
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.3%)
Communication Services (2.1%)
 * Iridium Communications Inc.   169,364    10,394
   Nexstar Media Group Inc. Class A    50,829     9,449
   New York Times Co. Class A   221,929     8,544
   Frontier Communications Parent Inc.   300,546     8,223
   TEGNA Inc.   300,741     5,233
 * Ziff Davis Inc.    63,613     5,024
   World Wrestling Entertainment Inc. Class A    58,365     4,903
   Cable One Inc.     6,501     4,490
 * TripAdvisor Inc.   141,251     3,047
   John Wiley & Sons Inc. Class A    57,791     2,571
                        61,878
Consumer Discretionary (14.3%)
 * Five Below Inc.    74,821    15,286
 * Deckers Outdoor Corp.    35,677    14,854
   Service Corp. International   207,315    14,000
   Williams-Sonoma Inc.    89,923    11,233
   Lear Corp.    79,672    11,126
   Churchill Downs Inc.    44,367    10,904
 * Crocs Inc.    83,230    10,130
   Tempur Sealy International Inc.   230,474     9,850
   Dick's Sporting Goods Inc.    74,950     9,641
   Lithia Motors Inc. Class A    36,852     9,404
   Wyndham Hotels & Resorts Inc.   119,051     9,169
   Texas Roadhouse Inc. Class A    90,195     9,158
   Gentex Corp.   316,188     9,027
 * TopBuild Corp.    43,097     8,946
 * Capri Holdings Ltd.   173,616     8,606
 * Mattel Inc.   477,709     8,594
   Brunswick Corp.    97,736     8,544
   Harley-Davidson Inc.   179,317     8,527
          Shares Market
Value•

($000)
   Toll Brothers Inc.   142,059     8,515
   Polaris Inc.    73,438     8,354
 * Skechers USA Inc. Class A   180,921     8,053
 * Light & Wonder Inc.   126,271     7,906
   Marriott Vacations Worldwide Corp.    51,654     7,903
 * RH    25,904     7,746
   H&R Block Inc.   209,553     7,712
   Macy's Inc.   365,286     7,474
   Murphy USA Inc.    28,013     7,146
   PVH Corp.    87,923     7,055
   Boyd Gaming Corp.   106,922     6,964
   Wingstop Inc.    40,326     6,870
 * Fox Factory Holding Corp.    56,974     6,694
   Thor Industries Inc.    72,362     6,584
*,1 GameStop Corp. Class A   340,712     6,552
 * Penn Entertainment Inc.   209,099     6,384
 * Visteon Corp.    37,936     6,337
 * AutoNation Inc.    46,104     6,294
   Leggett & Platt Inc.   178,701     6,163
 * Adient plc   127,813     5,460
 * Taylor Morrison Home Corp. Class A   146,047     5,233
   Wendy's Co.   229,702     5,044
 * Grand Canyon Education Inc.    41,342     4,684
   Foot Locker Inc.   106,905     4,674
   Travel + Leisure Co.   109,568     4,596
 * YETI Holdings Inc.   116,265     4,532
 * Ollie's Bargain Outlet Holdings Inc.    78,465     4,515
   Choice Hotels International Inc.    37,356     4,421
   Kohl's Corp.   157,231     4,409
 * Victoria's Secret & Co.   109,519     4,341
 * Goodyear Tire & Rubber Co.   381,319     4,332
 * Topgolf Callaway Brands Corp.   186,884     4,332
   Columbia Sportswear Co.    47,736     4,163
   KB Home   111,966     3,949
   Carter's Inc.    51,449     3,879
4

 

S&P Mid-Cap 400 Index Fund
          Shares Market
Value•

($000)
   Gap Inc.   284,357     3,699
 * Helen of Troy Ltd.    32,339     3,644
   Papa John's International Inc.    43,335     3,638
   Cracker Barrel Old Country Store Inc.    29,882     3,256
   Graham Holdings Co. Class B     5,175     3,243
   Nordstrom Inc.   150,161     2,925
   Dana Inc.   172,013     2,725
   Hanesbrands Inc.   469,974     2,669
 * Under Armour Inc. Class A   254,599     2,528
 * Under Armour Inc. Class C   264,770     2,330
                       426,926
Consumer Staples (3.8%)
 * Darling Ingredients Inc.   216,042    13,669
 * BJ's Wholesale Club Holdings Inc.   182,065    13,072
 * Performance Food Group Co.   209,840    11,875
   Casey's General Stores Inc.    50,216    10,443
   Ingredion Inc.    88,374     8,784
   Flowers Foods Inc.   259,014     7,221
 * Post Holdings Inc.    73,308     6,595
 * BellRing Brands Inc.   182,574     5,638
 * Coty Inc. Class A   492,775     5,568
   Lancaster Colony Corp.    26,744     5,134
 * Celsius Holdings Inc.    54,459     4,945
 * Sprouts Farmers Market Inc.   142,690     4,322
 * Boston Beer Co. Inc. Class A    12,707     4,115
   Coca-Cola Consolidated Inc.     6,204     3,455
   Energizer Holdings Inc.    89,339     3,237
 * Grocery Outlet Holding Corp.   119,335     3,228
 * Pilgrim's Pride Corp.    60,084     1,405
                       112,706
Energy (3.5%)
   NOV Inc.   529,485    11,585
 * Antero Resources Corp.   372,200     9,752
   HF Sinclair Corp.   181,277     9,013
   Range Resources Corp.   325,712     8,775
   PDC Energy Inc.   124,205     8,335
   ChampionX Corp.   268,727     8,215
   Matador Resources Co.   151,312     8,139
 * Southwestern Energy Co. 1,487,560     7,884
   Murphy Oil Corp.   196,973     7,686
   PBF Energy Inc. Class A   154,059     6,734
   DT Midstream Inc.   130,408     6,547
   Antero Midstream Corp.   451,459     4,758
          Shares Market
Value•

($000)
 * CNX Resources Corp.   243,283     3,734
   Equitrans Midstream Corp.   583,435     3,518
                       104,675
Financials (15.2%)
   First Horizon Corp.   723,255    17,915
   East West Bancorp Inc.   189,990    14,479
   Annaly Capital Management Inc.   630,656    13,042
   Reinsurance Group of America Inc.    90,087    13,015
   RenaissanceRe Holdings Ltd.    58,907    12,659
   American Financial Group Inc.    94,106    12,621
   Webster Financial Corp.   234,553    12,459
   Interactive Brokers Group Inc. Class A   138,662    11,940
   Cullen/Frost Bankers Inc.    86,667    11,424
   Unum Group   252,059    11,229
   Commerce Bancshares Inc.   153,707    10,168
   Old Republic International Corp.   381,458    10,059
   Voya Financial Inc.   130,987     9,757
   Stifel Financial Corp.   143,265     9,574
   Primerica Inc.    49,737     9,547
   Jefferies Financial Group Inc.   246,937     9,332
   Kinsale Capital Group Inc.    29,047     9,257
   Prosperity Bancshares Inc.   123,067     9,044
   SEI Investments Co.   138,120     8,322
   Selective Insurance Group Inc.    81,244     8,249
   Synovus Financial Corp.   196,075     8,198
   New York Community Bancorp Inc.   917,009     8,143
   Affiliated Managers Group Inc.    50,775     8,094
   First American Financial Corp.   139,575     7,925
   Pinnacle Financial Partners Inc.   103,061     7,636
   Wintrust Financial Corp.    81,903     7,546
   RLI Corp.    54,437     7,507
   United Bankshares Inc.   181,502     7,400
   Glacier Bancorp Inc.   149,308     7,074
   Old National Bancorp   394,772     6,976
   Bank OZK   149,214     6,868
   FNB Corp.   472,798     6,747
   Hanover Insurance Group Inc.    47,935     6,686
   Valley National Bancorp   566,522     6,560
   Cadence Bank   245,923     6,532
   First Financial Bankshares Inc.   174,970     6,418
   Evercore Inc. Class A    48,164     6,318
   Essent Group Ltd.   145,182     6,236
 
5

 

S&P Mid-Cap 400 Index Fund
          Shares Market
Value•

($000)
   Home BancShares Inc.   255,687     6,162
   Hancock Whitney Corp.   115,507     5,674
   MGIC Investment Corp.   400,386     5,509
 * Brighthouse Financial Inc.    93,195     5,389
   UMB Financial Corp.    58,614     5,314
   Kemper Corp.    86,119     5,305
   Umpqua Holdings Corp.   292,584     5,167
   Janus Henderson Group plc   178,658     4,906
   SLM Corp.   337,279     4,850
   Associated Banc-Corp   202,687     4,692
   Federated Hermes Inc. Class B   113,956     4,484
   FirstCash Holdings Inc.    50,572     4,463
 * Texas Capital Bancshares Inc.    67,267     4,455
   PacWest Bancorp   158,835     4,408
   Cathay General Bancorp   100,322     4,306
   Bank of Hawaii Corp.    53,939     4,038
   CNO Financial Group Inc.   154,226     3,951
   Fulton Financial Corp.   225,788     3,884
   International Bancshares Corp.    71,171     3,454
   Columbia Banking System Inc.   105,702     3,143
   Washington Federal Inc.    88,065     3,088
   Navient Corp.   142,408     2,570
                       452,168
Health Care (9.2%)
 * United Therapeutics Corp.    61,434    15,115
 * Neurocrine Biosciences Inc.   129,582    13,360
 * Penumbra Inc.    51,194    13,310
 * Repligen Corp.    69,604    12,137
 * Jazz Pharmaceuticals plc    84,874    11,916
 * Masimo Corp.    65,187    10,907
   Chemed Corp.    20,043    10,454
   Bruker Corp.   134,814     9,291
 * Shockwave Medical Inc.    48,717     9,268
 * Acadia Healthcare Co. Inc.   122,630     8,892
 * Halozyme Therapeutics Inc.   182,257     8,747
 * Tenet Healthcare Corp.   145,747     8,531
 * Envista Holdings Corp.   219,774     8,497
   Encompass Health Corp.   134,505     7,602
 * Exelixis Inc.   434,796     7,426
 * HealthEquity Inc.   113,943     7,426
 * Lantheus Holdings Inc.    92,781     6,862
   Perrigo Co. plc   181,486     6,840
 * Medpace Holdings Inc.    33,954     6,583
 * Option Care Health Inc.   208,415     6,392
 * QuidelOrtho Corp.    72,110     6,269
 * Globus Medical Inc. Class A   104,347     6,088
 * Syneos Health Inc.   138,711     5,579
          Shares Market
Value•

($000)
 * Integra LifeSciences Holdings Corp.    97,941     5,448
 * Haemonetics Corp.    68,214     5,305
 * Neogen Corp.   291,313     5,153
 * ICU Medical Inc.    27,154     4,634
 * Arrowhead Pharmaceuticals Inc.   142,688     4,609
 * Azenta Inc.   101,126     4,438
 * Amedisys Inc.    43,800     4,027
 * Progyny Inc.   101,420     3,809
 * Enovis Corp.    64,234     3,701
 * Inari Medical Inc.    65,092     3,662
 * STAAR Surgical Co.    64,981     3,599
 * LivaNova plc    72,151     3,414
 * Omnicell Inc.    60,191     3,277
 * Tandem Diabetes Care Inc.    86,675     3,108
   Patterson Cos. Inc.   116,781     3,097
 * R1 RCM Inc.   185,236     2,630
 * Sotera Health Co.   133,102     2,222
                       273,625
Industrials (20.4%)
 * Axon Enterprise Inc.    91,131    18,255
   Hubbell Inc. Class B    72,398    18,211
   Carlisle Cos. Inc.    69,708    18,000
 * Builders FirstSource Inc.   198,383    16,819
   AECOM   188,240    16,256
   Graco Inc.   227,170    15,797
   Toro Co.   140,458    15,512
   Regal Rexnord Corp.    89,174    14,057
   Watsco Inc.    44,836    13,662
   Lincoln Electric Holdings Inc.    77,825    13,069
   Owens Corning   125,973    12,319
   Knight-Swift Transportation Holdings Inc. Class A   216,607    12,312
   AGCO Corp.    83,461    11,752
 * Middleby Corp.    72,637    11,294
   Lennox International Inc.    43,469    11,077
   EMCOR Group Inc.    64,235    10,741
   Fortune Brands Innovations Inc.   172,866    10,709
   Donaldson Co. Inc.   165,067    10,441
   nVent Electric plc   224,582    10,295
   KBR Inc.   184,932    10,192
   ITT Inc.   111,484    10,133
   Tetra Tech Inc.    71,417     9,776
 * Saia Inc.    35,671     9,662
 * CACI International Inc. Class A    31,672     9,280
   Valmont Industries Inc.    28,757     9,126
   Curtiss-Wright Corp.    51,636     9,026
 * Clean Harbors Inc.    67,785     8,952
   Landstar System Inc.    48,423     8,754
   MDU Resources Group Inc.   274,106     8,730
 * FTI Consulting Inc.    46,400     8,524
 
6

 

S&P Mid-Cap 400 Index Fund
          Shares Market
Value•

($000)
   Acuity Brands Inc.    43,353     8,409
   Hexcel Corp.   113,463     8,277
   Woodward Inc.    81,101     8,029
 * GXO Logistics Inc.   159,926     7,928
   Science Applications International Corp.    74,306     7,924
   Oshkosh Corp.    88,153     7,862
 * MasTec Inc.    79,481     7,767
   Crane Holdings Co.    64,329     7,705
 * Univar Solutions Inc.   219,940     7,643
   Timken Co.    89,234     7,625
 * Trex Co. Inc.   147,925     7,563
 * Chart Industries Inc.    56,341     7,522
 * IAA Inc.   180,305     7,376
 * Avis Budget Group Inc.    33,537     7,367
   UFP Industries Inc.    83,010     7,100
 * Fluor Corp.   191,531     7,023
 * Sunrun Inc.   287,266     6,906
   MSA Safety Inc.    49,669     6,673
   Ryder System Inc.    67,734     6,632
   Watts Water Technologies Inc. Class A    36,780     6,445
   Simpson Manufacturing Co. Inc.    57,422     6,194
   Flowserve Corp.   176,183     6,112
 * ASGN Inc.    67,268     5,973
   Insperity Inc.    48,064     5,964
 * Stericycle Inc.   124,263     5,925
 * Kirby Corp.    80,738     5,856
   ManpowerGroup Inc.    68,150     5,785
   Terex Corp.    90,997     5,388
   MSC Industrial Direct Co. Inc. Class A    63,647     5,379
 * XPO Inc.   155,240     5,179
   GATX Corp.    47,451     5,176
   EnerSys    55,057     4,993
 * Mercury Systems Inc.    78,164     4,091
   Brink's Co.    62,615     4,086
   Esab Corp.    69,649     4,085
   Werner Enterprises Inc.    79,233     3,680
 * JetBlue Airways Corp.   436,630     3,624
 * Dycom Industries Inc.    39,709     3,344
   Kennametal Inc.   108,613     3,077
 * SunPower Corp.   114,357     1,718
 * Vicor Corp.    29,932     1,407
                       609,545
Information Technology (12.5%)
 * Fair Isaac Corp.    33,666    22,805
 * Lattice Semiconductor Corp.   184,752    15,696
   Jabil Inc.   181,485    15,069
 * Dynatrace Inc.   291,007    12,376
 * Manhattan Associates Inc.    84,108    12,090
 * WEX Inc.    58,761    11,330
   Cognex Corp.   233,105    11,054
   Genpact Ltd.   227,244    10,846
          Shares Market
Value•

($000)
 * Paylocity Holding Corp.    55,533    10,696
 * Arrow Electronics Inc.    82,908     9,782
 * Ciena Corp.   199,694     9,629
 * Wolfspeed Inc.   125,435     9,280
   National Instruments Corp.   176,002     8,890
   Littelfuse Inc.    33,370     8,634
 * Aspen Technology Inc.    39,204     8,312
 * Coherent Corp.   186,955     8,063
 * Silicon Laboratories Inc.    44,864     8,010
   Universal Display Corp.    58,582     7,958
   Concentrix Corp.    57,111     7,815
 * Cirrus Logic Inc.    74,221     7,626
 * Novanta Inc.    48,109     7,549
   MKS Instruments Inc.    77,099     7,473
 * ExlService Holdings Inc.    44,569     7,332
 * Euronet Worldwide Inc.    63,508     6,913
   Western Union Co.   520,507     6,746
   Maximus Inc.    81,617     6,699
   Power Integrations Inc.    77,102     6,342
 * Synaptics Inc.    53,751     6,322
 * Super Micro Computer Inc.    62,066     6,081
 * Teradata Corp.   137,220     5,593
   Vontier Corp.   212,984     5,574
   Avnet Inc.   123,364     5,516
 * Qualys Inc.    46,597     5,505
   TD SYNNEX Corp.    56,673     5,470
 * IPG Photonics Corp.    43,339     5,341
 * Lumentum Holdings Inc.    91,936     4,947
   Belden Inc.    57,702     4,869
 * NCR Corp.   185,212     4,728
 * MACOM Technology Solutions Holdings Inc.    68,880     4,721
 * Envestnet Inc.    74,574     4,662
 * Kyndryl Holdings Inc.   275,137     4,317
 * Calix Inc.    76,748     3,926
 * ACI Worldwide Inc.   151,474     3,916
 * Allegro MicroSystems Inc.    87,682     3,830
   Vishay Intertechnology Inc.   174,670     3,708
 * CommVault Systems Inc.    60,024     3,534
   Amkor Technology Inc.   135,393     3,488
 * Blackbaud Inc.    60,120     3,348
 * Viasat Inc.   101,896     3,236
 * SiTime Corp.    21,651     2,688
   Xerox Holdings Corp.   150,760     2,486
                       372,821
Materials (6.7%)
   Reliance Steel & Aluminum Co.    79,116    19,608
   RPM International Inc.   174,018    15,423
 * Cleveland-Cliffs Inc.   694,630    14,817
   Alcoa Corp.   238,520    11,673
   Royal Gold Inc.    88,495    10,512
   AptarGroup Inc.    88,004    10,272
   Olin Corp.   171,692     9,915
   United States Steel Corp.   315,811     9,673
 
7

 

S&P Mid-Cap 400 Index Fund
          Shares Market
Value•

($000)
   Valvoline Inc.   238,609     8,399
   Commercial Metals Co.   158,192     8,187
   Sonoco Products Co.   131,450     7,764
   Eagle Materials Inc.    49,670     6,970
   Chemours Co.   203,435     6,953
   Ashland Inc.    67,136     6,833
   Cabot Corp.    75,826     6,031
   Silgan Holdings Inc.   112,777     6,022
   Louisiana-Pacific Corp.    96,642     5,655
   Westlake Corp.    46,419     5,530
   Avient Corp.   115,248     5,028
   Scotts Miracle-Gro Co.    54,525     4,498
 * MP Materials Corp.   124,468     4,356
   Sensient Technologies Corp.    56,671     4,273
 * Ingevity Corp.    47,356     3,910
   NewMarket Corp.     9,182     3,154
   Worthington Industries Inc.    40,719     2,461
   Greif Inc. Class A    34,458     2,448
                       200,365
Real Estate (8.0%)
   Rexford Industrial Realty Inc.   247,338    14,954
   CubeSmart   302,713    14,224
   Life Storage Inc.   114,573    13,808
   Lamar Advertising Co. Class A   117,625    12,299
 * Jones Lang LaSalle Inc.    63,979    11,162
   National Retail Properties Inc.   240,896    10,917
   Healthcare Realty Trust Inc. Class A   512,988    10,003
   EastGroup Properties Inc.    58,736     9,590
   First Industrial Realty Trust Inc.   178,106     9,395
   Brixmor Property Group Inc.   404,268     9,153
   Omega Healthcare Investors Inc.   315,662     8,457
   Agree Realty Corp.   119,378     8,450
 1 Medical Properties Trust Inc.   806,082     8,303
   Spirit Realty Capital Inc.   188,252     7,752
   Apartment Income REIT Corp. Class A   202,091     7,639
   Rayonier Inc.   197,375     6,628
   Kite Realty Group Trust   295,346     6,415
   Independence Realty Trust Inc.   301,764     5,459
   Kilroy Realty Corp.   141,800     5,108
   PotlatchDeltic Corp.   108,892     5,026
   Cousins Properties Inc.   204,163     5,000
   National Storage Affiliates Trust   113,925     4,819
   Physicians Realty Trust   307,698     4,563
   Vornado Realty Trust   217,166     4,296
          Shares Market
Value•

($000)
   Park Hotels & Resorts Inc.   303,111     4,168
   EPR Properties   101,138     4,130
   Corporate Office Properties Trust   151,553     3,854
   Highwoods Properties Inc.   141,839     3,759
   Sabra Health Care REIT Inc.   311,371     3,708
   Macerich Co.   289,566     3,460
   Douglas Emmett Inc.   237,004     3,349
   SL Green Realty Corp.    86,717     2,953
   Pebblebrook Hotel Trust   177,115     2,527
   JBG SMITH Properties   133,164     2,297
                       237,625
Utilities (3.6%)
   Essential Utilities Inc.   321,724    13,763
   UGI Corp.   282,237    10,508
   OGE Energy Corp.   269,857     9,639
   National Fuel Gas Co.   123,306     7,063
   IDACORP Inc.    68,157     7,048
   New Jersey Resources Corp.   129,706     6,619
   Hawaiian Electric Industries Inc.   147,566     5,969
   ONE Gas Inc.    72,980     5,850
   Portland General Electric Co.   120,337     5,752
   PNM Resources Inc.   115,676     5,668
   Ormat Technologies Inc.    65,733     5,556
   Black Hills Corp.    87,718     5,387
   Southwest Gas Holdings Inc.    83,170     5,241
   Spire Inc.    70,766     4,982
   ALLETE Inc.    77,060     4,715
   NorthWestern Corp.    77,885     4,500
                       108,260
Total Common Stocks
(Cost $2,563,207) 		2,960,594
 
8

 

S&P Mid-Cap 400 Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
2,3 Vanguard Market Liquidity Fund, 4.640%
(Cost $30,155) 		  301,603          30,157
Total Investments (100.3%)
(Cost $2,593,362) 		  2,990,751
Other Assets and Liabilities—Net (-0.3%)   (7,612)
Net Assets (100%)   2,983,139
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,920,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $8,304,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2023 74 19,264 464
    
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Wolfspeed Inc. 8/31/23 BANA 3,234 (4.569) — (138)
1 Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $2,563,207) 2,960,594
Affiliated Issuers (Cost $30,155) 30,157
Total Investments in Securities 2,990,751
Investment in Vanguard 107
Cash 18
Cash Collateral Pledged—Futures Contracts 1,110
Receivables for Accrued Income 2,378
Receivables for Capital Shares Issued 927
Total Assets 2,995,291
Liabilities  
Payables for Investment Securities Purchased 3,213
Collateral for Securities on Loan 8,304
Payables for Capital Shares Redeemed 357
Payables to Vanguard 98
Variation Margin Payable—Futures Contracts 42
Unrealized Depreciation—Over-the-Counter Swap Contracts 138
Total Liabilities 12,152
Net Assets 2,983,139
1 Includes $7,920,000 of securities on loan.  
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 2,777,977
Total Distributable Earnings (Loss) 205,162
Net Assets 2,983,139
 
ETF Shares—Net Assets2  
Applicable to 17,902,316 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,571,044
Net Asset Value Per Share—ETF Shares $87.76
 
Institutional Shares—Net Assets  
Applicable to 4,033,773 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,412,095
Net Asset Value Per Share—Institutional Shares $350.07
2 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

S&P Mid-Cap 400 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends 18,522
Interest1 250
Securities Lending—Net 515
Total Income 19,287
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 33
Management and Administrative—ETF Shares 617
Management and Administrative—Institutional Shares 478
Marketing and Distribution—ETF Shares 42
Marketing and Distribution—Institutional Shares 19
Custodian Fees 21
Shareholders’ Reports—ETF Shares 29
Shareholders’ Reports—Institutional Shares 8
Trustees’ Fees and Expenses 1
Other Expenses 6
Total Expenses 1,254
Expenses Paid Indirectly (1)
Net Expenses 1,253
Net Investment Income 18,034
Realized Net Gain (Loss)  
Investment Securities Sold1,2 60,431
Futures Contracts (125)
Swap Contracts (326)
Realized Net Gain (Loss) 59,980
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 134,441
Futures Contracts 330
Swap Contracts (138)
Change in Unrealized Appreciation (Depreciation) 134,633
Net Increase (Decrease) in Net Assets Resulting from Operations 212,647
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $234,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $91,194,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 18,034   40,787
Realized Net Gain (Loss) 59,980   142,855
Change in Unrealized Appreciation (Depreciation) 134,633   (502,988)
Net Increase (Decrease) in Net Assets Resulting from Operations 212,647   (319,346)
Distributions      
ETF Shares (14,691)   (19,007)
Institutional Shares (13,525)   (18,307)
Total Distributions (28,216)   (37,314)
Capital Share Transactions      
ETF Shares 65,869   119,621
Institutional Shares (2,610)   100,708
Net Increase (Decrease) from Capital Share Transactions 63,259   220,329
Total Increase (Decrease) 247,690   (136,331)
Net Assets      
Beginning of Period 2,735,449   2,871,780
End of Period 2,983,139   2,735,449
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $82.25 $93.08 $65.16 $63.59 $69.01 $58.37
Investment Operations            
Net Investment Income2 .535 1.247 .998 .980 .940 .889
Net Realized and Unrealized Gain (Loss) on Investments 5.811 (10.928) 27.898 1.607 (5.437) 10.605
Total from Investment Operations 6.346 (9.681) 28.896 2.587 (4.497) 11.494
Distributions            
Dividends from Net Investment Income (.836) (1.149) (.976) (1.017) (.923) (.854)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.836) (1.149) (.976) (1.017) (.923) (.854)
Net Asset Value, End of Period $87.76 $82.25 $93.08 $65.16 $63.59 $69.01
Total Return 7.83% -10.47% 44.65% 4.11% -6.50% 19.82%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,571 $1,411 $1,476 $890 $919 $973
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.43% 1.41% 1.21% 1.57% 1.47% 1.38%
Portfolio Turnover Rate4 5% 11% 16% 17% 10% 12%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $328.11 $371.30 $259.90 $253.60 $275.26 $232.82
Investment Operations            
Net Investment Income1 2.160 5.037 4.038 3.959 3.786 3.711
Net Realized and Unrealized Gain (Loss) on Investments 23.165 (43.574) 111.307 6.384 (21.653) 42.301
Total from Investment Operations 25.325 (38.537) 115.345 10.343 (17.867) 46.012
Distributions            
Dividends from Net Investment Income (3.365) (4.653) (3.945) (4.043) (3.793) (3.572)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (3.365) (4.653) (3.945) (4.043) (3.793) (3.572)
Net Asset Value, End of Period $350.07 $328.11 $371.30 $259.90 $253.60 $275.26
Total Return 7.86% -10.43% 44.69% 4.14% -6.49% 19.92%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,412 $1,325 $1,396 $1,164 $1,202 $1,420
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.45% 1.43% 1.24% 1.59% 1.49% 1.45%
Portfolio Turnover Rate3 5% 11% 16% 17% 10% 12%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
15

 

S&P Mid-Cap 400 Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. 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 short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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's 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 Schedule of Investments. 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.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. 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 Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2023, 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.
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S&P Mid-Cap 400 Index Fund
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow
17

 

S&P Mid-Cap 400 Index Fund
money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $107,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets).
D.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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S&P Mid-Cap 400 Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 2,960,594 — — 2,960,594
Temporary Cash Investments 30,157 — — 30,157
Total 2,990,751 — — 2,990,751
Derivative Financial Instruments        
Assets        
Futures Contracts1 464 — — 464
Liabilities        
Swap Contracts — 138 — 138
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 2,599,579
Gross Unrealized Appreciation 629,044
Gross Unrealized Depreciation (237,546)
Net Unrealized Appreciation (Depreciation) 391,498
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $243,921,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 28, 2023, the fund purchased $447,046,000 of investment securities and sold $396,441,000 of investment securities, other than temporary cash investments. Purchases and sales include $239,186,000 and $252,999,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $52,955,000 and sales were $31,927,000,
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S&P Mid-Cap 400 Index Fund
resulting in net realized loss of $20,202,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 319,140 3,900   520,086 5,850
Issued in Lieu of Cash Distributions — —   — —
Redeemed (253,271) (3,150)   (400,465) (4,550)
Net Increase (Decrease)—ETF Shares 65,869 750   119,621 1,300
Institutional Shares          
Issued 90,087 271   239,857 682
Issued in Lieu of Cash Distributions 12,709 41   17,388 51
Redeemed (105,406) (315)   (156,537) (456)
Net Increase (Decrease)—Institutional Shares (2,610) (3)   100,708 277
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
H.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
20

 

S&P Mid-Cap 400 Value Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 2.2%
Consumer Discretionary 16.7
Consumer Staples 3.6
Energy 0.5
Financials 19.3
Health Care 7.2
Industrials 18.1
Information Technology 12.2
Materials 5.3
Real Estate 11.2
Utilities 3.7
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.8%)
Communication Services (2.2%)
   Frontier Communications Parent Inc. 193,091   5,283
   TEGNA Inc. 193,234   3,362
 * Ziff Davis Inc.  40,871   3,228
   Cable One Inc.   4,176   2,884
   New York Times Co. Class A  71,293   2,745
 * TripAdvisor Inc.  90,749   1,958
   John Wiley & Sons Inc. Class A  37,185   1,654
                    21,114
Consumer Discretionary (16.6%)
   Lear Corp.  51,190   7,149
   Lithia Motors Inc. Class A  23,676   6,042
 * Capri Holdings Ltd. 111,544   5,529
 * Mattel Inc. 306,943   5,522
   Toll Brothers Inc.  91,278   5,471
 * Skechers USA Inc. Class A 116,238   5,174
   Marriott Vacations Worldwide Corp.  33,185   5,077
 * RH  16,644   4,977
   Macy's Inc. 234,687   4,802
   PVH Corp.  56,486   4,532
   Thor Industries Inc.  46,493   4,230
*,1 GameStop Corp. Class A 218,909   4,210
 * Penn Entertainment Inc. 134,336   4,101
   Leggett & Platt Inc. 114,819   3,960
   Williams-Sonoma Inc.  30,042   3,753
 * Adient plc  82,113   3,508
 * Taylor Morrison Home Corp. Class A  93,871   3,363
   Gentex Corp. 109,710   3,132
   Dick's Sporting Goods Inc.  24,077   3,097
 * Five Below Inc.  14,912   3,047
   Foot Locker Inc.  68,683   3,003
   Travel + Leisure Co.  70,447   2,955
   Kohl's Corp. 101,064   2,834
   Wyndham Hotels & Resorts Inc.  36,711   2,827
 * Victoria's Secret & Co.  70,363   2,789
          Shares Market
Value•

($000)
 * Goodyear Tire & Rubber Co. 244,973   2,783
 * Topgolf Callaway Brands Corp. 120,057   2,783
 * Light & Wonder Inc.  43,849   2,745
 * TopBuild Corp.  13,014   2,702
   Columbia Sportswear Co.  30,663   2,674
   Polaris Inc.  22,649   2,576
   KB Home  71,929   2,537
   Carter's Inc.  33,051   2,492
   Gap Inc. 182,686   2,377
 * Helen of Troy Ltd.  20,777   2,341
   Brunswick Corp.  25,746   2,251
 * AutoNation Inc.  15,996   2,184
   Cracker Barrel Old Country Store Inc.  19,197   2,092
   Graham Holdings Co. Class B   3,324   2,083
   Harley-Davidson Inc.  42,628   2,027
   Nordstrom Inc.  96,467   1,879
   Boyd Gaming Corp.  28,159   1,834
   Dana Inc. 110,488   1,750
   Hanesbrands Inc. 302,217   1,717
 * Under Armour Inc. Class A 164,487   1,633
 * Under Armour Inc. Class C 169,353   1,490
 * Ollie's Bargain Outlet Holdings Inc.  25,707   1,479
 * YETI Holdings Inc.  33,611   1,310
   Papa John's International Inc.  15,311   1,285
   Choice Hotels International Inc.   9,839   1,165
                   157,273
Consumer Staples (3.6%)
   Ingredion Inc.  56,773   5,643
 * Post Holdings Inc.  47,095   4,237
 * Performance Food Group Co.  74,149   4,196
 * BJ's Wholesale Club Holdings Inc.  50,310   3,612
 * Coty Inc. Class A 316,584   3,578
   Coca-Cola Consolidated Inc.   3,994   2,224
 * BellRing Brands Inc.  69,209   2,137
   Energizer Holdings Inc.  57,385   2,079
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S&P Mid-Cap 400 Value Index Fund
          Shares Market
Value•

($000)
 * Grocery Outlet Holding Corp.  76,664   2,074
   Flowers Foods Inc.  61,560   1,716
 * Sprouts Farmers Market Inc.  42,165   1,277
 * Pilgrim's Pride Corp.  38,906     910
 * Boston Beer Co. Inc. Class A   2,530     819
                    34,502
Energy (0.5%)
   HF Sinclair Corp.  65,227   3,243
   Equitrans Midstream Corp. 202,390   1,220
                     4,463
Financials (19.3%)
   Reinsurance Group of America Inc.  57,885   8,363
   Webster Financial Corp. 150,705   8,005
   Unum Group 161,960   7,215
   Old Republic International Corp. 245,099   6,463
   Voya Financial Inc.  84,158   6,269
   Stifel Financial Corp.  92,045   6,151
   Prosperity Bancshares Inc.  79,082   5,812
   Synovus Financial Corp. 125,975   5,267
   New York Community Bancorp Inc. 589,192   5,232
   First American Financial Corp.  89,673   5,092
   Pinnacle Financial Partners Inc.  66,215   4,906
   Wintrust Financial Corp.  52,627   4,849
   East West Bancorp Inc.  59,813   4,558
   Old National Bancorp 253,669   4,482
   American Financial Group Inc.  33,256   4,460
   Bank OZK  95,869   4,413
   FNB Corp. 303,808   4,335
   Valley National Bancorp 363,984   4,215
   Cadence Bank 158,010   4,197
   Essent Group Ltd.  93,282   4,007
   Home BancShares Inc. 164,284   3,959
   First Horizon Corp. 158,024   3,914
   RenaissanceRe Holdings Ltd.  16,662   3,581
   MGIC Investment Corp. 257,246   3,540
 * Brighthouse Financial Inc.  59,868   3,462
   UMB Financial Corp.  37,656   3,414
   Kemper Corp.  55,328   3,408
   Interactive Brokers Group Inc. Class A  39,201   3,376
   Janus Henderson Group plc 114,828   3,153
   Associated Banc-Corp 130,220   3,015
 * Texas Capital Bancshares Inc.  43,254   2,865
   PacWest Bancorp 102,023   2,831
   Columbia Banking System Inc.  86,527   2,572
   CNO Financial Group Inc.  99,073   2,538
   United Bankshares Inc.  60,644   2,472
   Cullen/Frost Bankers Inc.  18,377   2,422
          Shares Market
Value•

($000)
   Commerce Bancshares Inc.  31,605   2,091
   Glacier Bancorp Inc.  44,127   2,091
   Evercore Inc. Class A  15,471   2,030
   First Financial Bankshares Inc.  52,835   1,938
   Primerica Inc.   9,905   1,901
   Hancock Whitney Corp.  37,848   1,859
   Affiliated Managers Group Inc.  11,091   1,768
   Hanover Insurance Group Inc.  12,627   1,761
   Navient Corp.  91,608   1,654
   Cathay General Bancorp  31,574   1,355
   Fulton Financial Corp.  73,977   1,272
   Bank of Hawaii Corp.  16,979   1,271
   Washington Federal Inc.  26,591     933
   Federated Hermes Inc. Class B  22,693     893
   International Bancshares Corp.  17,830     865
                   182,495
Health Care (7.2%)
 * Tenet Healthcare Corp.  93,642   5,481
 * Envista Holdings Corp. 141,209   5,459
   Perrigo Co. plc 116,610   4,395
 * Syneos Health Inc.  89,122   3,584
 * Integra LifeSciences Holdings Corp.  62,940   3,501
 * Neogen Corp. 187,163   3,311
 * Penumbra Inc.  12,174   3,165
 * ICU Medical Inc.  17,446   2,977
 * Azenta Inc.  64,973   2,852
   Encompass Health Corp.  46,667   2,638
 * Masimo Corp.  15,496   2,593
 * Amedisys Inc.  28,140   2,587
   Bruker Corp.  35,514   2,448
 * Acadia Healthcare Co. Inc.  33,092   2,399
 * Enovis Corp.  41,267   2,378
 * LivaNova plc  46,354   2,193
   Chemed Corp.   4,121   2,149
 * Omnicell Inc.  38,669   2,105
   Patterson Cos. Inc.  75,023   1,990
 * QuidelOrtho Corp.  20,849   1,813
 * R1 RCM Inc. 119,038   1,690
 * Progyny Inc.  41,048   1,542
 * Arrowhead Pharmaceuticals Inc.  47,668   1,540
 * Sotera Health Co.  85,514   1,427
 * Tandem Diabetes Care Inc.  22,274     799
 * STAAR Surgical Co.  13,359     740
                    67,756
Industrials (18.0%)
   Regal Rexnord Corp.  57,292   9,031
   Fortune Brands Innovations Inc. 111,067   6,881
   MDU Resources Group Inc. 176,120   5,609
 
23

 

S&P Mid-Cap 400 Value Index Fund
          Shares Market
Value•

($000)
   Hexcel Corp.  72,896   5,318
   Woodward Inc.  52,106   5,158
 * GXO Logistics Inc. 102,749   5,093
   Oshkosh Corp.  56,635   5,051
 * MasTec Inc.  51,065   4,990
 * Univar Solutions Inc. 141,313   4,911
   AECOM  55,635   4,805
 * Fluor Corp. 123,058   4,513
 * Sunrun Inc. 184,564   4,437
   Ryder System Inc.  43,517   4,261
   Knight-Swift Transportation Holdings Inc. Class A  69,587   3,955
   Flowserve Corp. 113,189   3,927
 * ASGN Inc.  43,216   3,838
 * Stericycle Inc.  79,836   3,807
 * Middleby Corp.  24,269   3,774
 * Kirby Corp.  51,882   3,763
   ManpowerGroup Inc.  43,788   3,717
   Owens Corning  37,231   3,641
   AGCO Corp.  25,739   3,624
   Graco Inc.  51,077   3,552
   ITT Inc.  38,676   3,515
   Terex Corp.  58,506   3,464
 * XPO Inc.  99,747   3,328
   EnerSys  35,361   3,207
   Lennox International Inc.  10,613   2,704
   Tetra Tech Inc.  19,745   2,703
   Acuity Brands Inc.  13,926   2,701
 * Saia Inc.   9,854   2,669
 * Chart Industries Inc.  19,910   2,658
   Esab Corp.  44,745   2,624
   Timken Co.  29,236   2,498
   Crane Holdings Co.  20,664   2,475
   Donaldson Co. Inc.  38,176   2,415
   Werner Enterprises Inc.  50,904   2,364
 * JetBlue Airways Corp. 280,473   2,328
 * Trex Co. Inc.  44,668   2,284
 * CACI International Inc. Class A   7,326   2,147
   Watts Water Technologies Inc. Class A  11,341   1,987
   Kennametal Inc.  69,776   1,977
   MSA Safety Inc.  14,359   1,929
   MSC Industrial Direct Co. Inc. Class A  20,447   1,728
 * IAA Inc.  41,704   1,706
   Science Applications International Corp.  15,755   1,680
   GATX Corp.  14,632   1,596
   Brink's Co.  21,319   1,391
 * Mercury Systems Inc.  21,090   1,104
 * Dycom Industries Inc.   8,163     687
 * Vicor Corp.  11,003     517
 * SunPower Corp.  32,522     488
                   170,530
          Shares Market
Value•

($000)
Information Technology (12.2%)
   Jabil Inc. 116,606   9,681
 * Arrow Electronics Inc.  53,270   6,285
 * Ciena Corp. 128,302   6,187
 * Aspen Technology Inc.  25,154   5,333
 * Coherent Corp. 120,115   5,181
   MKS Instruments Inc.  49,536   4,801
 * Wolfspeed Inc.  59,168   4,377
   Western Union Co. 334,452   4,334
   Maximus Inc.  52,441   4,304
 * Synaptics Inc.  34,531   4,061
   Vontier Corp. 136,912   3,583
   Avnet Inc.  79,259   3,544
   TD SYNNEX Corp.  36,410   3,514
 * IPG Photonics Corp.  27,845   3,432
   Cognex Corp.  71,888   3,409
 * Manhattan Associates Inc.  22,696   3,263
 * Lumentum Holdings Inc.  59,066   3,178
 * NCR Corp. 118,997   3,038
   Genpact Ltd.  62,781   2,996
 * Kyndryl Holdings Inc. 176,774   2,774
 * ACI Worldwide Inc.  97,324   2,516
 * Silicon Laboratories Inc.  13,548   2,419
   National Instruments Corp.  47,493   2,399
   Vishay Intertechnology Inc. 112,208   2,382
 * Euronet Worldwide Inc.  20,809   2,265
   Littelfuse Inc.   8,147   2,108
 * Viasat Inc.  65,463   2,079
 * Teradata Corp.  47,609   1,941
   Universal Display Corp.  13,926   1,892
   Xerox Holdings Corp.  97,027   1,600
 * Envestnet Inc.  24,437   1,528
 * Allegro MicroSystems Inc.  34,362   1,501
 * Blackbaud Inc.  20,858   1,162
 * SiTime Corp.   6,405     795
 * Super Micro Computer Inc.   7,975     781
 * CommVault Systems Inc.  12,727     749
                   115,392
Materials (5.3%)
 * Cleveland-Cliffs Inc. 446,291   9,519
   Alcoa Corp. 153,240   7,500
   United States Steel Corp. 202,894   6,215
   AptarGroup Inc.  29,965   3,497
   Avient Corp.  74,088   3,232
   Valvoline Inc.  82,780   2,914
   Scotts Miracle-Gro Co.  35,028   2,890
   Sensient Technologies Corp.  36,448   2,748
   Sonoco Products Co.  41,379   2,444
   Commercial Metals Co.  44,714   2,314
   Chemours Co.  56,196   1,921
   Greif Inc. Class A  22,174   1,575
   Ashland Inc.  14,232   1,449
   NewMarket Corp.   2,713     932
   Worthington Industries Inc.  13,392     809
                    49,959
 
24

 

S&P Mid-Cap 400 Value Index Fund
          Shares Market
Value•

($000)
Real Estate (11.2%)
 * Jones Lang LaSalle Inc.  41,106   7,171
   Healthcare Realty Trust Inc. Class A 329,604   6,427
 1 Medical Properties Trust Inc. 517,916   5,335
   Spirit Realty Capital Inc. 120,954   4,981
   Apartment Income REIT Corp. Class A 129,846   4,908
   CubeSmart  89,467   4,204
   Rexford Industrial Realty Inc.  68,332   4,131
   Kite Realty Group Trust 189,750   4,121
   Independence Realty Trust Inc. 193,838   3,507
   Lamar Advertising Co. Class A  33,263   3,478
   Life Storage Inc.  28,709   3,460
   National Retail Properties Inc.  72,753   3,297
   Kilroy Realty Corp.  91,101   3,282
   Cousins Properties Inc. 131,165   3,212
   Brixmor Property Group Inc. 132,461   2,999
   First Industrial Realty Trust Inc.  56,070   2,958
   Physicians Realty Trust 197,707   2,932
   EastGroup Properties Inc.  16,996   2,775
   Omega Healthcare Investors Inc. 103,438   2,771
   Vornado Realty Trust 139,515   2,760
   Park Hotels & Resorts Inc. 194,723   2,677
   EPR Properties  64,971   2,653
   Highwoods Properties Inc.  91,102   2,414
   Sabra Health Care REIT Inc. 200,039   2,383
   Macerich Co. 186,009   2,223
   Douglas Emmett Inc. 152,240   2,151
   Rayonier Inc.  57,062   1,916
   SL Green Realty Corp.  55,701   1,897
   Agree Realty Corp.  23,781   1,683
   National Storage Affiliates Trust  38,785   1,641
   Pebblebrook Hotel Trust 113,858   1,625
   JBG SMITH Properties  85,731   1,479
   PotlatchDeltic Corp.  30,078   1,388
   Corporate Office Properties Trust  46,729   1,188
                   106,027
          Shares Market
Value•

($000)
Utilities (3.7%)
   UGI Corp. 181,336   6,751
   Hawaiian Electric Industries Inc.  94,808   3,835
   Portland General Electric Co.  77,319   3,696
   Southwest Gas Holdings Inc.  53,457   3,369
   ALLETE Inc.  49,506   3,029
   NorthWestern Corp.  50,040   2,891
   IDACORP Inc.  20,581   2,128
   Black Hills Corp.  27,053   1,661
   Spire Inc.  23,182   1,632
   New Jersey Resources Corp.  29,164   1,488
   Ormat Technologies Inc.  17,314   1,464
   PNM Resources Inc.  28,254   1,385
   National Fuel Gas Co.  23,765   1,361
                    34,690
Total Common Stocks
(Cost $900,769) 		944,201
Temporary Cash Investments (0.8%)
Money Market Fund (0.8%)
2,3 Vanguard Market Liquidity Fund, 4.640%
(Cost $7,601) 		 76,018        7,601
Total Investments (100.6%)
(Cost $908,370) 		  951,802
Other Assets and Liabilities—Net (-0.6%)   (5,662)
Net Assets (100%)   946,140
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,864,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $7,215,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
25

 

S&P Mid-Cap 400 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2023 7 1,822 (25)
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $900,769) 944,201
Affiliated Issuers (Cost $7,601) 7,601
Total Investments in Securities 951,802
Investment in Vanguard 34
Cash Collateral Pledged—Futures Contracts 60
Receivables for Investment Securities Sold 3,319
Receivables for Accrued Income 804
Receivables for Capital Shares Issued 1
Total Assets 956,020
Liabilities  
Payables for Investment Securities Purchased 2,576
Collateral for Securities on Loan 7,215
Payables for Capital Shares Redeemed 37
Payables to Vanguard 50
Variation Margin Payable—Futures Contracts 2
Total Liabilities 9,880
Net Assets 946,140
1 Includes $6,864,000 of securities on loan.  
27

 

S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 1,053,121
Total Distributable Earnings (Loss) (106,981)
Net Assets 946,140
 
ETF Shares—Net Assets2  
Applicable to 10,350,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		860,373
Net Asset Value Per Share—ETF Shares $83.13
 
Institutional Shares—Net Assets  
Applicable to 257,221 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		85,767
Net Asset Value Per Share—Institutional Shares $333.44
2 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

S&P Mid-Cap 400 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends 7,114
Interest1 39
Securities Lending—Net 112
Total Income 7,265
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 11
Management and Administrative—ETF Shares 516
Management and Administrative—Institutional Shares 27
Marketing and Distribution—ETF Shares 23
Marketing and Distribution—Institutional Shares 1
Custodian Fees 19
Shareholders’ Reports—ETF Shares 22
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 6
Total Expenses 625
Net Investment Income 6,640
Realized Net Gain (Loss)  
Investment Securities Sold1,2 30,172
Futures Contracts (124)
Swap Contracts 612
Realized Net Gain (Loss) 30,660
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 38,241
Futures Contracts 21
Swap Contracts —
Change in Unrealized Appreciation (Depreciation) 38,262
Net Increase (Decrease) in Net Assets Resulting from Operations 75,562
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $33,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $74,017,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 6,640   16,431
Realized Net Gain (Loss) 30,660   104,438
Change in Unrealized Appreciation (Depreciation) 38,262   (172,682)
Net Increase (Decrease) in Net Assets Resulting from Operations 75,562   (51,813)
Distributions      
ETF Shares (14,943)   (15,176)
Institutional Shares (1,578)   (1,625)
Total Distributions (16,521)   (16,801)
Capital Share Transactions      
ETF Shares 1,210   46,955
Institutional Shares 302   (76,811)
Net Increase (Decrease) from Capital Share Transactions 1,512   (29,856)
Total Increase (Decrease) 60,553   (98,470)
Net Assets      
Beginning of Period 885,587   984,057
End of Period 946,140   885,587
See accompanying Notes, which are an integral part of the Financial Statements.
30

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $76.82 $82.65 $54.80 $58.77 $65.03 $56.16
Investment Operations            
Net Investment Income2 .591 1.442 1.244 1.212 1.031 1.045
Net Realized and Unrealized Gain (Loss) on Investments 7.229 (5.769) 28.198 (4.044) (6.310) 8.769
Total from Investment Operations 7.820 (4.327) 29.442 (2.832) (5.279) 9.814
Distributions            
Dividends from Net Investment Income (1.510) (1.503) (1.592) (1.138) (.981) (.944)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.510) (1.503) (1.592) (1.138) (.981) (.944)
Net Asset Value, End of Period $83.13 $76.82 $82.65 $54.80 $58.77 $65.03
Total Return 10.39% -5.34% 54.51% -5.10% -8.04% 17.60%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $860 $807 $822 $501 $685 $735
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.71% 1.79% 1.72% 2.13% 1.72% 1.72%
Portfolio Turnover Rate3 34% 33% 36% 51% 38% 36%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $308.23 $331.49 $219.78 $235.62 $260.90 $225.05
Investment Operations            
Net Investment Income1 2.468 6.147 5.090 5.011 4.332 4.454
Net Realized and Unrealized Gain (Loss) on Investments 29.017 (23.292) 113.153 (16.157) (25.380) 35.198
Total from Investment Operations 31.485 (17.145) 118.243 (11.146) (21.048) 39.652
Distributions            
Dividends from Net Investment Income (6.275) (6.115) (6.533) (4.694) (4.232) (3.802)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (6.275) (6.115) (6.533) (4.694) (4.232) (3.802)
Net Asset Value, End of Period $333.44 $308.23 $331.49 $219.78 $235.62 $260.90
Total Return 10.43% -5.23% 54.62% -5.01% -7.99% 17.75%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $86 $79 $162 $160 $186 $235
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.78% 1.90% 1.79% 2.21% 1.79% 1.84%
Portfolio Turnover Rate2 34% 33% 36% 51% 38% 36%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Value Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
33

 

S&P Mid-Cap 400 Value Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. 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 short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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's 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 Schedule of Investments. 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.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. 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 Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2023, 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. The fund had no open swap contracts at February 28, 2023.
34

 

S&P Mid-Cap 400 Value Index Fund
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow
35

 

S&P Mid-Cap 400 Value Index Fund
money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $34,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2023, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
36

 

S&P Mid-Cap 400 Value Index Fund
D.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 911,056
Gross Unrealized Appreciation 105,683
Gross Unrealized Depreciation (64,962)
Net Unrealized Appreciation (Depreciation) 40,721
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $177,949,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 28, 2023, the fund purchased $603,853,000 of investment securities and sold $606,927,000 of investment securities, other than temporary cash investments. Purchases and sales include $298,840,000 and $312,083,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $242,760,000 and sales were $159,113,000, resulting in net realized loss of $19,708,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 313,773 3,950   392,670 4,750
Issued in Lieu of Cash Distributions — —   — —
Redeemed (312,563) (4,100)   (345,715) (4,200)
Net Increase (Decrease)—ETF Shares 1,210 (150)   46,955 550
Institutional Shares          
Issued 8,099 26   12,349 37
Issued in Lieu of Cash Distributions 1,399 5   1,318 4
Redeemed (9,196) (30)   (90,478) (273)
Net Increase (Decrease)—Institutional Shares 302 1   (76,811) (232)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
37

 

S&P Mid-Cap 400 Value Index Fund
G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
38

 

S&P Mid-Cap 400 Growth Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 1.9%
Consumer Discretionary 12.2
Consumer Staples 4.0
Energy 6.5
Financials 11.3
Health Care 11.3
Industrials 23.0
Information Technology 13.1
Materials 8.2
Real Estate 4.9
Utilities 3.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
39

 

S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (100.0%)
Communication Services (1.9%)
* Iridium Communications Inc. 101,132   6,206
  Nexstar Media Group Inc. Class A  30,359   5,644
  World Wrestling Entertainment Inc. Class A  34,800   2,923
  New York Times Co. Class A  66,329   2,554
                   17,327
Consumer Discretionary (12.2%)
* Deckers Outdoor Corp.  21,299   8,868
  Service Corp. International 123,777   8,359
  Churchill Downs Inc.  26,489   6,510
* Five Below Inc.  30,835   6,300
* Crocs Inc.  49,705   6,050
  Tempur Sealy International Inc. 137,642   5,883
  Texas Roadhouse Inc. Class A  53,838   5,467
  H&R Block Inc. 125,068   4,602
  Murphy USA Inc.  16,720   4,265
  Wingstop Inc.  24,083   4,102
* Fox Factory Holding Corp.  34,038   3,999
* Visteon Corp.  22,652   3,784
  Williams-Sonoma Inc.  25,807   3,224
  Harley-Davidson Inc.  67,479   3,209
  Wendy's Co. 137,060   3,010
  Brunswick Corp.  34,198   2,990
  Dick's Sporting Goods Inc.  22,388   2,880
  Wyndham Hotels & Resorts Inc.  36,983   2,848
* TopBuild Corp.  13,661   2,836
* Grand Canyon Education Inc.  24,674   2,795
  Polaris Inc.  22,890   2,604
  Gentex Corp.  86,857   2,480
  Boyd Gaming Corp.  37,670   2,453
* Light & Wonder Inc.  34,710   2,173
* AutoNation Inc.  12,643   1,726
  Choice Hotels International Inc.  13,154   1,557
* YETI Holdings Inc.  37,923   1,478
          Shares Market
Value•

($000)
* Ollie's Bargain Outlet Holdings Inc.  22,927   1,319
  Papa John's International Inc.  11,639     977
                  108,748
Consumer Staples (4.0%)
* Darling Ingredients Inc. 129,022   8,163
  Casey's General Stores Inc.  29,975   6,233
* BJ's Wholesale Club Holdings Inc.  61,956   4,449
* Performance Food Group Co.  56,402   3,192
  Lancaster Colony Corp.  15,957   3,063
* Celsius Holdings Inc.  32,527   2,954
  Flowers Foods Inc.  97,318   2,713
* Boston Beer Co. Inc. Class A   5,242   1,697
* Sprouts Farmers Market Inc.  45,951   1,392
* BellRing Brands Inc.  44,649   1,379
                   35,235
Energy (6.5%)
  NOV Inc. 316,097   6,916
* Antero Resources Corp. 222,260   5,823
  Range Resources Corp. 194,528   5,240
  PDC Energy Inc.  74,164   4,977
  ChampionX Corp. 160,406   4,904
  Matador Resources Co.  90,366   4,861
* Southwestern Energy Co. 888,296   4,708
  Murphy Oil Corp. 117,622   4,590
  PBF Energy Inc. Class A  91,933   4,018
  DT Midstream Inc.  77,827   3,907
  Antero Midstream Corp. 269,450   2,840
  HF Sinclair Corp.  47,544   2,364
* CNX Resources Corp. 145,306   2,230
  Equitrans Midstream Corp. 160,473     968
                   58,346
Financials (11.3%)
  Annaly Capital Management Inc. 376,750   7,791
  First Horizon Corp. 284,813   7,055
  Jefferies Financial Group Inc. 147,433   5,572
  Kinsale Capital Group Inc.  17,347   5,528
  SEI Investments Co.  82,536   4,973
  Selective Insurance Group Inc.  48,502   4,924
40

 

S&P Mid-Cap 400 Growth Index Fund
          Shares Market
Value•

($000)
  Cullen/Frost Bankers Inc.  34,698   4,574
  RLI Corp.  32,482   4,480
  East West Bancorp Inc.  57,469   4,380
  RenaissanceRe Holdings Ltd.  19,693   4,232
  Commerce Bancshares Inc.  62,480   4,133
  Interactive Brokers Group Inc. Class A  46,366   3,993
  Primerica Inc.  20,490   3,933
  American Financial Group Inc.  25,288   3,391
  Affiliated Managers Group Inc.  20,018   3,191
  SLM Corp. 201,628   2,899
  FirstCash Holdings Inc.  30,182   2,664
  Columbia Banking System Inc.  86,971   2,586
  Hanover Insurance Group Inc.  16,886   2,355
  Glacier Bancorp Inc.  48,290   2,288
  United Bankshares Inc.  52,002   2,120
  First Financial Bankshares Inc.  55,003   2,018
  Evercore Inc. Class A  14,418   1,891
  Federated Hermes Inc. Class B  46,946   1,847
  Hancock Whitney Corp.  33,888   1,665
  Cathay General Bancorp  30,764   1,320
  International Bancshares Corp.  25,936   1,259
  Bank of Hawaii Corp.  16,473   1,233
  Fulton Financial Corp.  66,132   1,137
  Washington Federal Inc.  27,863     977
                  100,409
Health Care (11.3%)
* United Therapeutics Corp.  36,676   9,024
* Neurocrine Biosciences Inc.  77,394   7,979
* Repligen Corp.  41,595   7,253
* Jazz Pharmaceuticals plc  50,699   7,118
* Shockwave Medical Inc.  29,103   5,537
* Halozyme Therapeutics Inc. 108,841   5,223
* Penumbra Inc.  19,272   5,010
* Exelixis Inc. 259,882   4,439
* HealthEquity Inc.  68,048   4,435
  Chemed Corp.   8,139   4,245
* Lantheus Holdings Inc.  55,438   4,100
* Masimo Corp.  24,356   4,075
* Medpace Holdings Inc.  20,302   3,936
* Option Care Health Inc. 124,537   3,820
* Globus Medical Inc. Class A  62,410   3,641
  Bruker Corp.  47,173   3,251
* Haemonetics Corp.  40,753   3,169
* Acadia Healthcare Co. Inc.  42,481   3,080
* Inari Medical Inc.  38,973   2,193
  Encompass Health Corp.  36,976   2,090
* QuidelOrtho Corp.  23,523   2,045
* STAAR Surgical Co.  26,206   1,452
* Arrowhead Pharmaceuticals Inc.  40,622   1,312
* Tandem Diabetes Care Inc.  30,845   1,106
* Progyny Inc.  22,256     836
                  100,369
          Shares Market
Value•

($000)
Industrials (23.0%)
* Axon Enterprise Inc.  54,412  10,899
  Hubbell Inc. Class B  43,224  10,873
  Carlisle Cos. Inc.  41,628  10,749
* Builders FirstSource Inc. 118,477  10,045
  Toro Co.  83,837   9,259
  Watsco Inc.  26,781   8,160
  Lincoln Electric Holdings Inc.  46,445   7,800
  EMCOR Group Inc.  38,335   6,410
  nVent Electric plc 134,095   6,147
  Graco Inc.  88,234   6,136
  KBR Inc. 110,452   6,087
  Valmont Industries Inc.  17,159   5,445
  Curtiss-Wright Corp.  30,812   5,386
* Clean Harbors Inc.  40,474   5,345
  AECOM  60,682   5,241
  Landstar System Inc.  28,908   5,226
* FTI Consulting Inc.  27,703   5,089
* Avis Budget Group Inc.  20,031   4,400
  UFP Industries Inc.  49,482   4,232
  Lennox International Inc.  16,113   4,106
  Donaldson Co. Inc.  63,003   3,985
  Owens Corning  40,653   3,975
  Simpson Manufacturing Co. Inc.  34,339   3,704
  Knight-Swift Transportation Holdings Inc. Class A  64,672   3,676
  AGCO Corp.  25,922   3,650
  Insperity Inc.  28,701   3,562
* CACI International Inc. Class A  12,104   3,546
  Tetra Tech Inc.  24,333   3,331
* Saia Inc.  12,155   3,292
* Middleby Corp.  20,854   3,243
  Science Applications International Corp.  29,699   3,167
* IAA Inc.  68,913   2,819
  ITT Inc.  30,676   2,788
  Acuity Brands Inc.  12,959   2,514
* Trex Co. Inc.  46,500   2,378
  Crane Holdings Co.  19,216   2,302
  Timken Co.  26,100   2,230
  MSA Safety Inc.  16,321   2,193
* Chart Industries Inc.  15,140   2,021
  Watts Water Technologies Inc. Class A  11,429   2,003
  GATX Corp.  14,732   1,607
  MSC Industrial Direct Co. Inc. Class A  18,961   1,603
* Mercury Systems Inc.  27,065   1,417
* Dycom Industries Inc.  16,129   1,358
  Brink's Co.  17,553   1,145
* SunPower Corp.  38,645     580
* Vicor Corp.   7,660     360
                  205,484
Information Technology (13.1%)
* Fair Isaac Corp.  20,099  13,615
 
41

 

S&P Mid-Cap 400 Growth Index Fund
          Shares Market
Value•

($000)
* Lattice Semiconductor Corp. 110,367   9,377
* Dynatrace Inc. 173,843   7,394
* WEX Inc.  35,099   6,767
* Paylocity Holding Corp.  33,185   6,392
  Concentrix Corp.  34,129   4,670
* Cirrus Logic Inc.  44,333   4,555
* Novanta Inc.  28,753   4,512
* ExlService Holdings Inc.  26,615   4,378
* Manhattan Associates Inc.  29,165   4,192
  Power Integrations Inc.  46,093   3,791
  Genpact Ltd.  77,308   3,690
  Cognex Corp.  71,892   3,409
* Wolfspeed Inc.  45,044   3,332
* Qualys Inc.  27,859   3,292
  Littelfuse Inc.  12,374   3,202
  National Instruments Corp.  60,976   3,080
  Universal Display Corp.  21,891   2,974
  Belden Inc.  34,452   2,907
* Super Micro Computer Inc.  29,641   2,904
* MACOM Technology Solutions Holdings Inc.  41,175   2,822
* Silicon Laboratories Inc.  14,214   2,538
* Calix Inc.  45,848   2,345
  Amkor Technology Inc.  80,807   2,082
* Euronet Worldwide Inc.  18,611   2,026
* Teradata Corp.  37,770   1,539
* CommVault Systems Inc.  23,994   1,413
* Envestnet Inc.  21,835   1,365
* Blackbaud Inc.  16,489     918
* Allegro MicroSystems Inc.  20,455     893
* SiTime Corp.   6,944     862
                  117,236
Materials (8.2%)
  Reliance Steel & Aluminum Co.  47,222  11,704
  RPM International Inc. 103,896   9,208
  Royal Gold Inc.  52,834   6,276
  Olin Corp. 102,514   5,920
  Eagle Materials Inc.  29,668   4,163
  Cabot Corp.  45,308   3,603
  Silgan Holdings Inc.  67,269   3,592
  Louisiana-Pacific Corp.  57,760   3,380
  Westlake Corp.  27,726   3,303
  AptarGroup Inc.  24,720   2,885
  Commercial Metals Co.  52,829   2,734
  Ashland Inc.  26,849   2,733
* MP Materials Corp.  74,385   2,604
  Chemours Co.  69,258   2,367
  Sonoco Products Co.  40,010   2,363
* Ingevity Corp.  28,261   2,333
  Valvoline Inc.  65,503   2,306
  NewMarket Corp.   2,955   1,015
  Worthington Industries Inc.  11,996     725
                   73,214
          Shares Market
Value•

($000)
Real Estate (4.9%)
  Rexford Industrial Realty Inc.  83,618   5,056
  Life Storage Inc.  41,453   4,996
  CubeSmart  97,778   4,595
  Lamar Advertising Co. Class A  39,415   4,121
  Agree Realty Corp.  49,224   3,484
  National Retail Properties Inc.  76,322   3,459
  EastGroup Properties Inc.  19,161   3,128
  First Industrial Realty Trust Inc.  54,549   2,877
  Brixmor Property Group Inc. 118,855   2,691
  Omega Healthcare Investors Inc.  92,501   2,478
  Rayonier Inc.  64,998   2,183
  PotlatchDeltic Corp.  37,220   1,718
  National Storage Affiliates Trust  31,754   1,343
  Corporate Office Properties Trust  47,392   1,205
                   43,334
Utilities (3.6%)
  Essential Utilities Inc. 192,313   8,227
  OGE Energy Corp. 161,175   5,757
  ONE Gas Inc.  43,618   3,497
  National Fuel Gas Co.  51,587   2,955
  New Jersey Resources Corp.  50,272   2,565
  IDACORP Inc.  21,606   2,234
  PNM Resources Inc.  42,682   2,091
  Ormat Technologies Inc.  23,161   1,958
  Black Hills Corp.  27,267   1,675
  Spire Inc.  20,684   1,456
                   32,415
Total Common Stocks
(Cost $776,732) 		892,117
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 4.640%
(Cost $192) 		  1,919        192
Total Investments (100.0%)
(Cost $776,924) 		  892,309
Other Assets and Liabilities—Net (0.0%)   86
Net Assets (100%)   892,395
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
 
42

 

S&P Mid-Cap 400 Growth Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2023 1 260 (1)
  
See accompanying Notes, which are an integral part of the Financial Statements.
43

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $776,732) 892,117
Affiliated Issuers (Cost $192) 192
Total Investments in Securities 892,309
Investment in Vanguard 32
Cash Collateral Pledged—Futures Contracts 20
Receivables for Investment Securities Sold 1,995
Receivables for Accrued Income 633
Receivables for Capital Shares Issued 44
Total Assets 895,033
Liabilities  
Payables for Investment Securities Purchased 2,587
Payables for Capital Shares Redeemed 5
Payables to Vanguard 45
Variation Margin Payable—Futures Contracts 1
Total Liabilities 2,638
Net Assets 892,395
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 1,086,974
Total Distributable Earnings (Loss) (194,579)
Net Assets 892,395
 
ETF Shares—Net Assets1  
Applicable to 8,350,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		750,601
Net Asset Value Per Share—ETF Shares $89.89
 
Institutional Shares—Net Assets  
Applicable to 395,770 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		141,794
Net Asset Value Per Share—Institutional Shares $358.27
1 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
44

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends 4,386
Interest1 9
Securities Lending—Net 258
Total Income 4,653
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 10
Management and Administrative—ETF Shares 481
Management and Administrative—Institutional Shares 45
Marketing and Distribution—ETF Shares 21
Marketing and Distribution—Institutional Shares 2
Custodian Fees 11
Shareholders’ Reports—ETF Shares 18
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 6
Total Expenses 594
Net Investment Income 4,059
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (72,393)
Futures Contracts (39)
Realized Net Gain (Loss) (72,432)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 113,734
Futures Contracts 56
Change in Unrealized Appreciation (Depreciation) 113,790
Net Increase (Decrease) in Net Assets Resulting from Operations 45,417
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, $2,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $14,777,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
45

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 4,059   8,246
Realized Net Gain (Loss) (72,432)   74,072
Change in Unrealized Appreciation (Depreciation) 113,790   (246,971)
Net Increase (Decrease) in Net Assets Resulting from Operations 45,417   (164,653)
Distributions      
ETF Shares (7,505)   (4,524)
Institutional Shares (1,358)   (821)
Total Distributions (8,863)   (5,345)
Capital Share Transactions      
ETF Shares (4,957)   (53,845)
Institutional Shares 10,558   (1,657)
Net Increase (Decrease) from Capital Share Transactions 5,601   (55,502)
Total Increase (Decrease) 42,155   (225,500)
Net Assets      
Beginning of Period 850,240   1,075,740
End of Period 892,395   850,240
See accompanying Notes, which are an integral part of the Financial Statements.
46

 

S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $86.30 $102.72 $76.26 $68.85 $73.23 $60.67
Investment Operations            
Net Investment Income2 .405 .809 .526 .680 .760 .634
Net Realized and Unrealized Gain (Loss) on Investments 4.073 (16.729) 26.594 7.591 (4.542) 12.544
Total from Investment Operations 4.478 (15.920) 27.120 8.271 (3.782) 13.178
Distributions            
Dividends from Net Investment Income (.888) (.500) (.660) (.861) (.598) (.618)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.888) (.500) (.660) (.861) (.598) (.618)
Net Asset Value, End of Period $89.89 $86.30 $102.72 $76.26 $68.85 $73.23
Total Return 5.26% -15.57% 35.70% 12.08% -5.08% 21.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $751 $725 $925 $774 $737 $831
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.01% 0.85% 0.57% 0.98% 1.13% 0.94%
Portfolio Turnover Rate3 39% 44% 40% 49% 40% 43%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
47

 

S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $344.11 $409.55 $303.97 $274.38 $292.07 $241.68
Investment Operations            
Net Investment Income1 1.707 3.533 2.347 2.925 3.242 2.894
Net Realized and Unrealized Gain (Loss) on Investments 16.246 (66.731) 106.033 30.247 (18.167) 49.971
Total from Investment Operations 17.953 (63.198) 108.380 33.172 (14.925) 52.865
Distributions            
Dividends from Net Investment Income (3.793) (2.242) (2.800) (3.582) (2.765) (2.475)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (3.793) (2.242) (2.800) (3.582) (2.765) (2.475)
Net Asset Value, End of Period $358.27 $344.11 $409.55 $303.97 $274.38 $292.07
Total Return 5.30% -15.50% 35.80% 12.17% -5.02% 21.97%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $142 $125 $151 $213 $205 $271
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.07% 0.94% 0.65% 1.06% 1.20% 1.06%
Portfolio Turnover Rate2 39% 44% 40% 49% 40% 43%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
48

 

S&P Mid-Cap 400 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
49

 

S&P Mid-Cap 400 Growth Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the
50

 

S&P Mid-Cap 400 Growth Index Fund
higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $32,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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S&P Mid-Cap 400 Growth Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 28, 2023, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
D.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 778,530
Gross Unrealized Appreciation 144,661
Gross Unrealized Depreciation (30,883)
Net Unrealized Appreciation (Depreciation) 113,778
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $233,995,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 28, 2023, the fund purchased $394,543,000 of investment securities and sold $392,246,000 of investment securities, other than temporary cash investments. Purchases and sales include $50,125,000 and $52,525,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $169,186,000 and sales were $236,618,000, resulting in net realized loss of $70,945,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 50,350 600   321,229 3,200
Issued in Lieu of Cash Distributions — —   — —
Redeemed (55,307) (650)   (375,074) (3,800)
Net Increase (Decrease)—ETF Shares (4,957) (50)   (53,845) (600)
52

 

S&P Mid-Cap 400 Growth Index Fund
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued 17,032 51   42,038 115
Issued in Lieu of Cash Distributions 1,358 4   821 2
Redeemed (7,832) (23)   (44,516) (122)
Net Increase (Decrease)—Institutional Shares 10,558 32   (1,657) (5)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
53

 

The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund particularly or the ability of the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund into consideration in determining, composing or calculating the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S& P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. There is no assurance that investment products based on the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P MID-CAP 400 INDEX FUND, VANGUARD S&P MID-CAP 400 VALUE INDEX FUND, AND VANGUARD S&P MID-CAP 400 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
54

 

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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.
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, www.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 www.sec.gov.
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© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18422 042023
Semiannual Report  |  February 28, 2023
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund

 

 

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.
1

 

Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022 		Ending
Account Value
2/28/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,078.60 $0.52
Institutional Shares 1,000.00 1,078.90 0.41
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $945.40 $0.48
Institutional Shares 1,000.00 945.50 0.39
Based on Hypothetical 5% Yearly Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P 500 Value Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.10% for ETF Shares and 0.08% for Institutional 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).
2

 

S&P 500 Value Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 8.8%
Consumer Discretionary 10.8
Consumer Staples 6.7
Energy 1.7
Financials 20.5
Health Care 9.1
Industrials 12.3
Information Technology 16.9
Materials 3.2
Real Estate 4.7
Utilities 5.3
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

S&P 500 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.7%)
Communication Services (8.8%)
 * Meta Platforms Inc. Class A   472,330    82,629
 * Walt Disney Co.   382,897    38,140
   Verizon Communications Inc.   882,134    34,236
   Comcast Corp. Class A   906,080    33,679
 * Netflix Inc.    93,472    30,110
   AT&T Inc. 1,301,991    24,621
 * Charter Communications Inc. Class A    22,582     8,301
 * Warner Bros Discovery Inc.   464,577     7,257
 * T-Mobile US Inc.    40,161     5,710
   Activision Blizzard Inc.    61,387     4,681
   Omnicom Group Inc.    42,811     3,877
 * Take-Two Interactive Software Inc.    33,166     3,633
   Interpublic Group of Cos. Inc.    81,581     2,899
 * Match Group Inc.    58,654     2,430
 1 Paramount Global Class B   106,039     2,271
   Fox Corp. Class A    63,491     2,224
 * Live Nation Entertainment Inc.    30,090     2,168
   Electronic Arts Inc.    17,641     1,957
   News Corp. Class A    87,592     1,502
   Fox Corp. Class B    29,286       945
   Lumen Technologies Inc.   199,846       680
 * DISH Network Corp. Class A    52,777       602
   News Corp. Class B    17,496       302
                       294,854
Consumer Discretionary (10.8%)
 * Amazon.com Inc. 1,006,710    94,862
   NIKE Inc. Class B   264,590    31,431
   Home Depot Inc.   101,073    29,972
 * Booking Holdings Inc.     8,147    20,563
   Target Corp.    96,673    16,289
   McDonald's Corp.    58,472    15,431
   Starbucks Corp.   118,173    12,064
   General Motors Co.   298,544    11,566
          Shares Market
Value•

($000)
   Ford Motor Co.   828,879    10,005
   Lowe's Cos. Inc.    40,394     8,311
   Ross Stores Inc.    72,863     8,054
   TJX Cos. Inc.    87,800     6,726
 * Aptiv plc    56,898     6,616
   eBay Inc.   114,023     5,234
   Lennar Corp. Class A    53,243     5,151
   Marriott International Inc. Class A    27,704     4,689
   Hilton Worldwide Holdings Inc.    29,555     4,271
 * Las Vegas Sands Corp.    68,989     3,965
   Darden Restaurants Inc.    25,707     3,676
   Best Buy Co. Inc.    42,068     3,496
 * Expedia Group Inc.    31,617     3,445
 * Royal Caribbean Cruises Ltd.    46,074     3,255
 * NVR Inc.       629     3,254
   Garmin Ltd.    32,241     3,164
   LKQ Corp.    53,351     3,057
   DR Horton Inc.    32,844     3,037
   MGM Resorts International    66,944     2,879
   Yum! Brands Inc.    21,364     2,717
   PulteGroup Inc.    47,846     2,616
   BorgWarner Inc.    49,169     2,472
 * Wynn Resorts Ltd.    21,649     2,346
 * CarMax Inc.    33,203     2,292
 * Caesars Entertainment Inc.    45,158     2,292
 * Carnival Corp.   210,224     2,233
   Tapestry Inc.    50,619     2,202
   Bath & Body Works Inc.    48,025     1,963
   Advance Auto Parts Inc.    12,678     1,838
   VF Corp.    69,349     1,721
   Whirlpool Corp.    11,435     1,578
   Hasbro Inc.    27,260     1,500
   Genuine Parts Co.     8,283     1,465
 * Etsy Inc.    11,105     1,348
 * Norwegian Cruise Line Holdings Ltd.    88,476     1,311
   Domino's Pizza Inc.     3,991     1,173
   Newell Brands Inc.    78,587     1,155
 * Mohawk Industries Inc.    11,076     1,139
4

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Pool Corp.     3,049     1,088
   Ralph Lauren Corp. Class A     8,632     1,020
   Lennar Corp. Class B       360        29
                       361,961
Consumer Staples (6.7%)
   Walmart Inc.   296,478    42,138
   Procter & Gamble Co.   223,968    30,809
   Coca-Cola Co.   286,134    17,028
   Costco Wholesale Corp.    31,603    15,302
   Philip Morris International Inc.   149,785    14,574
   Estee Lauder Cos. Inc. Class A    48,594    11,811
   Mondelez International Inc. Class A   131,940     8,600
   Altria Group Inc.   180,602     8,385
   Sysco Corp.   106,404     7,935
   Kraft Heinz Co.   167,282     6,514
   Kroger Co.   136,860     5,904
   Colgate-Palmolive Co.    78,994     5,790
   Walgreens Boots Alliance Inc.   150,832     5,359
   Archer-Daniels-Midland Co.    58,910     4,689
   Kimberly-Clark Corp.    36,908     4,615
   Church & Dwight Co. Inc.    51,210     4,290
   Conagra Brands Inc.   100,689     3,666
   Tyson Foods Inc. Class A    60,820     3,603
   Constellation Brands Inc. Class A    15,029     3,362
   J M Smucker Co.    22,365     3,308
   General Mills Inc.    39,761     3,161
   Keurig Dr Pepper Inc.    89,256     3,084
   Clorox Co.    14,260     2,217
   Molson Coors Beverage Co. Class B    39,475     2,100
   McCormick & Co. Inc. (Non-Voting)    25,876     1,923
   Kellogg Co.    24,233     1,598
   Brown-Forman Corp. Class B    17,262     1,120
   Campbell Soup Co.    17,276       907
   Hormel Foods Corp.    17,055       757
                       224,549
Energy (1.6%)
   Valero Energy Corp.    80,918    10,659
   Phillips 66    99,211    10,175
   Schlumberger Ltd.   140,025     7,451
   Kinder Morgan Inc.   415,752     7,093
   Halliburton Co.   190,761     6,911
   Baker Hughes Co. Class A   210,306     6,435
   Marathon Petroleum Corp.    51,220     6,331
                        55,055
Financials (20.5%)
 * Berkshire Hathaway Inc. Class B   378,457   115,498
          Shares Market
Value•

($000)
   JPMorgan Chase & Co.   616,140    88,324
   Bank of America Corp. 1,466,052    50,286
   Wells Fargo & Co.   800,394    37,434
   Morgan Stanley   276,903    26,721
   Goldman Sachs Group Inc.    71,130    25,013
   S&P Global Inc.    69,935    23,862
   BlackRock Inc.    31,544    21,747
   Citigroup Inc.   406,870    20,624
   CME Group Inc.    75,575    14,009
   US Bancorp   284,079    13,559
   PNC Financial Services Group Inc.    84,693    13,375
   Truist Financial Corp.   278,774    13,088
   Intercontinental Exchange Inc.   117,381    11,949
   American Express Co.    63,989    11,133
   Charles Schwab Corp.   131,263    10,228
   MetLife Inc.   138,538     9,937
   American International Group Inc.   155,931     9,529
   Capital One Financial Corp.    80,182     8,746
   Aflac Inc.   118,801     8,095
   Chubb Ltd.    37,481     7,909
   Bank of New York Mellon Corp.   154,459     7,859
   Prudential Financial Inc.    77,259     7,726
   Allstate Corp.    55,691     7,172
   State Street Corp.    77,068     6,834
   Marsh & McLennan Cos. Inc.    37,531     6,085
   M&T Bank Corp.    36,239     5,628
   Willis Towers Watson plc    22,754     5,333
   T. Rowe Price Group Inc.    46,974     5,274
   Fifth Third Bancorp   144,071     5,230
   Hartford Financial Services Group Inc.    66,817     5,230
   Moody's Corp.    17,552     5,093
   First Republic Bank    38,480     4,733
   Huntington Bancshares Inc.   303,101     4,644
   Regions Financial Corp.   196,513     4,583
   Aon plc Class A    14,789     4,497
   Citizens Financial Group Inc.   103,390     4,318
   Travelers Cos. Inc.    22,666     4,196
   Northern Trust Corp.    43,755     4,169
   Cincinnati Financial Corp.    33,046     3,989
   MSCI Inc. Class A     7,225     3,773
   KeyCorp   195,882     3,583
 * SVB Financial Group    12,408     3,575
   Synchrony Financial    94,766     3,384
   Arthur J Gallagher & Co.    15,943     2,987
   Discover Financial Services    24,119     2,701
   Loews Corp.    41,380     2,528
   Comerica Inc.    27,602     1,935
   Franklin Resources Inc.    59,926     1,766
 
5

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Invesco Ltd.    95,489     1,686
   Principal Financial Group Inc.    18,650     1,670
   Zions Bancorp NA    31,255     1,582
   Signature Bank    13,238     1,523
   Nasdaq Inc.    25,517     1,430
   Assurant Inc.    11,096     1,414
   MarketAxess Holdings Inc.     4,028     1,375
   Everest Re Group Ltd.     3,457     1,327
   FactSet Research Systems Inc.     3,195     1,325
   Brown & Brown Inc.    20,188     1,132
   Lincoln National Corp.    32,329     1,025
   Cboe Global Markets Inc.     7,372       930
   Globe Life Inc.     5,695       693
                       687,003
Health Care (9.1%)
   Johnson & Johnson   208,682    31,983
   Medtronic plc   279,176    23,116
   CVS Health Corp.   276,003    23,057
   Stryker Corp.    70,738    18,596
   Abbott Laboratories   175,784    17,881
   Zoetis Inc. Class A    97,878    16,346
   Becton Dickinson & Co.    59,898    14,049
 * Edwards Lifesciences Corp.   129,760    10,438
   Cigna Group    32,730     9,560
 * Intuitive Surgical Inc.    37,830     8,678
 * Centene Corp.   118,904     8,133
 * Boston Scientific Corp.   141,407     6,606
 * Illumina Inc.    33,045     6,583
 * GE HealthCare Technologies Inc.    76,541     5,817
   McKesson Corp.    16,091     5,629
   Zimmer Biomet Holdings Inc.    44,105     5,463
   AmerisourceBergen Corp.    34,025     5,293
   HCA Healthcare Inc.    20,502     4,991
   West Pharmaceutical Services Inc.    15,560     4,933
   Humana Inc.     9,580     4,742
 * Align Technology Inc.    15,251     4,720
   Laboratory Corp. of America Holdings    18,628     4,459
 * Biogen Inc.    16,048     4,331
   Baxter International Inc.   106,037     4,236
 * IQVIA Holdings Inc.    20,303     4,233
 * IDEXX Laboratories Inc.     8,880     4,202
   Cardinal Health Inc.    55,086     4,170
   STERIS plc    20,995     3,948
   Agilent Technologies Inc.    24,864     3,530
   Cooper Cos. Inc.    10,359     3,387
   PerkinElmer Inc.    26,558     3,308
   ResMed Inc.    14,117     3,007
   Viatris Inc.   254,608     2,902
 * Catalent Inc.    37,848     2,582
          Shares Market
Value•

($000)
 * Charles River Laboratories International Inc.    10,702     2,347
   Teleflex Inc.     9,846     2,346
 * Mettler-Toledo International Inc.     1,634     2,343
 * Henry Schein Inc.    28,457     2,228
 * Bio-Rad Laboratories Inc. Class A     4,532     2,166
   Universal Health Services Inc. Class B    13,475     1,800
   DENTSPLY SIRONA Inc.    45,120     1,718
   Organon & Co.    53,403     1,308
   Bio-Techne Corp.    17,167     1,247
   Quest Diagnostics Inc.     8,083     1,118
 * DaVita Inc.    11,543       949
                       304,479
Industrials (12.2%)
   Raytheon Technologies Corp.   308,767    30,287
   United Parcel Service Inc. Class B   153,262    27,969
   Honeywell International Inc.   141,184    27,034
 * Boeing Co.   117,670    23,716
   General Electric Co.   229,467    19,438
   Eaton Corp. plc    83,542    14,614
   Union Pacific Corp.    64,584    13,387
   3M Co.   116,130    12,512
   Norfolk Southern Corp.    48,657    10,939
   Caterpillar Inc.    43,753    10,481
   Emerson Electric Co.   124,097    10,264
   FedEx Corp.    50,311    10,224
   Parker-Hannifin Corp.    26,955     9,484
   Johnson Controls International plc   144,572     9,068
   Trane Technologies plc    48,352     8,944
   PACCAR Inc.   109,551     7,910
   Carrier Global Corp.   175,592     7,907
   Otis Worldwide Corp.    87,522     7,406
   Rockwell Automation Inc.    24,121     7,114
   CSX Corp.   229,625     7,001
   United Rentals Inc.    14,556     6,820
   Lockheed Martin Corp.    14,210     6,739
   Illinois Tool Works Inc.    28,798     6,715
 * Delta Air Lines Inc.   134,568     5,159
   General Dynamics Corp.    22,256     5,072
   Fortive Corp.    74,293     4,952
   Ingersoll Rand Inc.    85,010     4,937
   Waste Management Inc.    32,107     4,808
   Dover Corp.    29,500     4,422
   TransDigm Group Inc.     5,750     4,277
   L3Harris Technologies Inc.    20,028     4,230
   Southwest Airlines Co.   124,777     4,190
   Westinghouse Air Brake Technologies Corp.    38,182     3,984
   Northrop Grumman Corp.     8,522     3,955
 
6

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Xylem Inc.    37,912     3,892
 * United Airlines Holdings Inc.    68,639     3,566
   Cummins Inc.    14,530     3,532
   AMETEK Inc.    24,127     3,415
   Howmet Aerospace Inc.    77,306     3,261
   Cintas Corp.     7,414     3,251
   Jacobs Solutions Inc.    26,840     3,207
   Textron Inc.    43,848     3,180
   Fastenal Co.    61,340     3,163
   Verisk Analytics Inc. Class A    17,706     3,030
   Stanley Black & Decker Inc.    31,066     2,660
   Equifax Inc.    13,123     2,658
   Republic Services Inc. Class A    19,462     2,509
   Nordson Corp.    11,314     2,485
 * American Airlines Group Inc.   136,453     2,180
   Allegion plc    18,447     2,079
   Pentair plc    34,615     1,936
   Robert Half International Inc.    22,839     1,841
   Huntington Ingalls Industries Inc.     8,377     1,803
   A O Smith Corp.    26,758     1,756
 * Generac Holdings Inc.    13,332     1,600
   IDEX Corp.     6,839     1,539
 * Alaska Air Group Inc.    26,637     1,274
   Snap-on Inc.     4,797     1,193
   CH Robinson Worldwide Inc.    11,350     1,135
   Leidos Holdings Inc.    10,063       977
   Masco Corp.    13,852       726
                       409,807
Information Technology (16.8%)
   Microsoft Corp.   657,641   164,029
   Cisco Systems Inc.   862,327    41,754
 * Salesforce Inc.   210,023    34,362
   International Business Machines Corp.   189,915    24,556
   Intel Corp.   866,771    21,609
   Broadcom Inc.    34,022    20,219
   Accenture plc Class A    67,484    17,920
 * PayPal Holdings Inc.   239,429    17,622
 * Adobe Inc.    51,740    16,761
   Micron Technology Inc.   228,373    13,205
 * Advanced Micro Devices Inc.   155,819    12,244
   Texas Instruments Inc.    70,573    12,100
   Oracle Corp.   132,414    11,573
   Intuit Inc.    27,838    11,335
   Analog Devices Inc.    57,229    10,500
   Roper Technologies Inc.    22,264     9,578
   TE Connectivity Ltd.    66,817     8,507
          Shares Market
Value•

($000)
   Fidelity National Information Services Inc.   124,563     7,894
   Cognizant Technology Solutions Corp. Class A   107,956     6,761
   Global Payments Inc.    56,780     6,371
 * ANSYS Inc.    18,310     5,559
   HP Inc.   186,157     5,495
   Corning Inc.   159,816     5,426
   Microchip Technology Inc.    58,898     4,773
 * Fiserv Inc.    41,377     4,762
 * Teledyne Technologies Inc.     9,839     4,231
   Hewlett Packard Enterprise Co.   270,235     4,218
   Motorola Solutions Inc.    15,835     4,162
 * Autodesk Inc.    20,438     4,061
   NXP Semiconductors NV    22,290     3,978
   Skyworks Solutions Inc.    33,732     3,763
 * Zebra Technologies Corp. Class A    10,851     3,258
   Paychex Inc.    28,990     3,201
   NetApp Inc.    45,724     2,951
 * Keysight Technologies Inc.    17,311     2,769
 * Trimble Inc.    51,848     2,699
   Seagate Technology Holdings plc    40,341     2,604
 * Western Digital Corp.    66,680     2,566
 * Akamai Technologies Inc.    33,116     2,404
 * Ceridian HCM Holding Inc.    32,332     2,358
 * Qorvo Inc.    21,347     2,154
   CDW Corp.    10,524     2,130
   Juniper Networks Inc.    68,139     2,097
 * VeriSign Inc.     9,885     1,946
   Broadridge Financial Solutions Inc.    12,853     1,809
 * F5 Inc.    12,624     1,805
   Teradyne Inc.    16,715     1,691
 * FleetCor Technologies Inc.     7,279     1,563
 * Tyler Technologies Inc.     4,617     1,483
 * DXC Technology Co.    48,293     1,340
 * EPAM Systems Inc.     3,870     1,191
   Gen Digital Inc.    57,176     1,116
                       564,463
Materials (3.2%)
   Linde plc    40,511    14,113
   Sherwin-Williams Co.    49,566    10,971
   Dow Inc.   147,764     8,452
   Ecolab Inc.    52,034     8,293
   DuPont de Nemours Inc.   104,331     7,619
   Newmont Corp.   166,720     7,271
   PPG Industries Inc.    49,380     6,521
   LyondellBasell Industries NV Class A    53,307     5,117
   International Flavors & Fragrances Inc.    53,526     4,989
   Martin Marietta Materials Inc.    13,046     4,695
 
7

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Ball Corp.    65,904     3,704
   Amcor plc   312,804     3,485
   Avery Dennison Corp.    17,037     3,104
   Corteva Inc.    46,572     2,901
   International Paper Co.    74,690     2,718
   Packaging Corp. of America    19,431     2,657
   Celanese Corp. Class A    20,989     2,439
   Eastman Chemical Co.    25,199     2,147
   Vulcan Materials Co.    11,475     2,076
   Westrock Co.    53,390     1,676
   Sealed Air Corp.    30,535     1,485
                       106,433
Real Estate (4.7%)
   Prologis Inc.   193,896    23,927
   Equinix Inc.    19,438    13,379
   Crown Castle Inc.    90,991    11,897
   American Tower Corp.    45,932     9,095
   Realty Income Corp.   131,684     8,421
   Simon Property Group Inc.    68,627     8,379
   Welltower Inc.    99,259     7,357
   Digital Realty Trust Inc.    60,394     6,295
 * CBRE Group Inc. Class A    66,371     5,651
   AvalonBay Communities Inc.    29,415     5,075
   Alexandria Real Estate Equities Inc.    31,344     4,695
   Equity Residential    71,402     4,464
   Ventas Inc.    83,904     4,082
   Mid-America Apartment Communities Inc.    24,284     3,888
   Invitation Homes Inc.   122,158     3,819
   Public Storage    12,626     3,774
   Essex Property Trust Inc.    13,625     3,107
   VICI Properties Inc. Class A    87,120     2,921
   UDR Inc.    64,378     2,758
   Healthpeak Properties Inc.   112,865     2,715
   Kimco Realty Corp.   129,857     2,676
   SBA Communications Corp. Class A     9,980     2,588
   Camden Property Trust    22,418     2,573
   Host Hotels & Resorts Inc.   150,127     2,522
   Extra Space Storage Inc.    14,079     2,318
   Weyerhaeuser Co.    66,181     2,068
   Regency Centers Corp.    32,335     2,034
   Boston Properties Inc.    29,948     1,961
   Federal Realty Investment Trust    15,280     1,632
   Iron Mountain Inc.    22,596     1,192
                       157,263
Utilities (5.3%)
   NextEra Energy Inc.   417,377    29,646
   Duke Energy Corp.   161,812    15,252
   Southern Co.   228,721    14,423
          Shares Market
Value•

($000)
   Dominion Energy Inc.   174,883     9,727
   American Electric Power Co. Inc.   107,848     9,487
   Exelon Corp.   208,611     8,426
   Xcel Energy Inc.   114,933     7,421
   Consolidated Edison Inc.    74,528     6,659
   Public Service Enterprise Group Inc.   104,806     6,333
   Eversource Energy    73,229     5,519
   American Water Works Co. Inc.    38,185     5,360
   Edison International    80,253     5,314
   Constellation Energy Corp.    68,713     5,146
   FirstEnergy Corp.   114,098     4,512
   Ameren Corp.    54,296     4,491
   DTE Energy Co.    40,687     4,464
   Entergy Corp.    42,744     4,397
   PPL Corp.   154,658     4,187
   Sempra Energy    26,447     3,966
   CenterPoint Energy Inc.   132,175     3,677
   CMS Energy Corp.    60,934     3,593
   Evergy Inc.    48,188     2,834
   WEC Energy Group Inc.    31,887     2,827
   Alliant Energy Corp.    52,707     2,702
   NiSource Inc.    85,270     2,339
   Pinnacle West Capital Corp.    23,759     1,751
   AES Corp.    57,571     1,421
   Atmos Energy Corp.    11,483     1,295
   NRG Energy Inc.    25,861       848
                       178,017
Total Common Stocks
(Cost $3,279,773) 		3,343,884
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
2,3 Vanguard Market Liquidity Fund, 4.640%
(Cost $8,695) 		   86,958          8,695
Total Investments (100.0%)
(Cost $3,288,468) 		  3,352,579
Other Assets and Liabilities—Net (0.0%)   (493)
Net Assets (100%)   3,352,086
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,377,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $1,479,000 was received for securities on loan.
 
8

 

S&P 500 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index March 2023 24 4,771 (162)
    
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
AT&T Inc. 8/31/23 BANA 3,972 (4.569) — (244)
1 Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

S&P 500 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $3,279,773) 3,343,884
Affiliated Issuers (Cost $8,695) 8,695
Total Investments in Securities 3,352,579
Investment in Vanguard 123
Cash Collateral Pledged—Futures Contracts 260
Receivables for Investment Securities Sold 44
Receivables for Accrued Income 6,650
Receivables for Capital Shares Issued 14
Total Assets 3,359,670
Liabilities  
Due to Custodian 45
Payables for Investment Securities Purchased 5,033
Collateral for Securities on Loan 1,479
Payables for Capital Shares Redeemed 647
Payables to Vanguard 121
Variation Margin Payable—Futures Contracts 15
Unrealized Depreciation—Over-the-Counter Swap Contracts 244
Total Liabilities 7,584
Net Assets 3,352,086
1 Includes $1,377,000 of securities on loan.  
10

 

S&P 500 Value Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 3,276,263
Total Distributable Earnings (Loss) 75,823
Net Assets 3,352,086
 
ETF Shares—Net Assets  
Applicable to 21,825,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,173,673
Net Asset Value Per Share—ETF Shares $145.41
 
Institutional Shares—Net Assets  
Applicable to 559,409 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		178,413
Net Asset Value Per Share—Institutional Shares $318.93
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

S&P 500 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends1 35,278
Interest2 90
Securities Lending—Net 23
Total Income 35,391
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 38
Management and Administrative—ETF Shares 1,280
Management and Administrative—Institutional Shares 62
Marketing and Distribution—ETF Shares 84
Marketing and Distribution—Institutional Shares 3
Custodian Fees 27
Shareholders’ Reports—ETF Shares 55
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 1
Other Expenses 6
Total Expenses 1,556
Expenses Paid Indirectly (3)
Net Expenses 1,553
Net Investment Income 33,838
Realized Net Gain (Loss)  
Investment Securities Sold2,3 146,533
Futures Contracts (779)
Swap Contracts 305
Realized Net Gain (Loss) 146,059
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 32,266
Futures Contracts (2)
Swap Contracts 5
Change in Unrealized Appreciation (Depreciation) 32,269
Net Increase (Decrease) in Net Assets Resulting from Operations 212,166
1 Dividends are net of foreign withholding taxes of $4,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $86,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $235,263,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

S&P 500 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 33,838   60,832
Realized Net Gain (Loss) 146,059   167,428
Change in Unrealized Appreciation (Depreciation) 32,269   (390,988)
Net Increase (Decrease) in Net Assets Resulting from Operations 212,166   (162,728)
Distributions      
ETF Shares (37,362)   (54,037)
Institutional Shares (2,197)   (3,520)
Total Distributions (39,559)   (57,557)
Capital Share Transactions      
ETF Shares 211,228   658,546
Institutional Shares (618)   4,677
Net Increase (Decrease) from Capital Share Transactions 210,610   663,223
Total Increase (Decrease) 383,217   442,938
Net Assets      
Beginning of Period 2,968,869   2,525,931
End of Period 3,352,086   2,968,869
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

S&P 500 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $136.61 $146.23 $112.29 $111.46 $111.93 $101.33
Investment Operations            
Net Investment Income1 1.496 3.029 2.897 2.984 2.694 2.558
Net Realized and Unrealized Gain (Loss) on Investments 9.073 (9.703) 33.786 .683 (.511) 10.535
Total from Investment Operations 10.569 (6.674) 36.683 3.667 2.183 13.093
Distributions            
Dividends from Net Investment Income (1.769) (2.946) (2.743) (2.837) (2.653) (2.493)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.769) (2.946) (2.743) (2.837) (2.653) (2.493)
Net Asset Value, End of Period $145.41 $136.61 $146.23 $112.29 $111.46 $111.93
Total Return 7.86% -4.63% 33.10% 3.33% 2.05% 13.08%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,174 $2,801 $2,351 $1,244 $984 $873
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10% 0.10% 0.10% 0.10% 0.15%
Ratio of Net Investment Income to Average Net Assets 2.13% 2.10% 2.19% 2.66% 2.48% 2.38%
Portfolio Turnover Rate3 26% 16% 18% 31% 28% 20%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

S&P 500 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $299.63 $320.71 $246.27 $244.40 $245.49 $222.23
Investment Operations            
Net Investment Income1 3.321 6.731 6.402 6.596 5.950 6.077
Net Realized and Unrealized Gain (Loss) on Investments 19.888 (21.295) 74.102 1.491 (1.115) 22.813
Total from Investment Operations 23.209 (14.564) 80.504 8.087 4.835 28.890
Distributions            
Dividends from Net Investment Income (3.909) (6.516) (6.064) (6.217) (5.925) (5.630)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (3.909) (6.516) (6.064) (6.217) (5.925) (5.630)
Net Asset Value, End of Period $318.93 $299.63 $320.71 $246.27 $244.40 $245.49
Total Return 7.89% -4.60% 33.14% 3.39% 2.07% 13.18%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $178 $168 $175 $102 $94 $89
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.15% 2.12% 2.22% 2.68% 2.50% 2.45%
Portfolio Turnover Rate3 26% 16% 18% 31% 28% 20%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
16

 

S&P 500 Value Index Fund
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 short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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's 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 Schedule of Investments. 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.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. 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 Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2023, 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 virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
17

 

S&P 500 Value Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
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 before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
18

 

S&P 500 Value Index Fund
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $123,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets).
D.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
19

 

S&P 500 Value Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 3,343,884 — — 3,343,884
Temporary Cash Investments 8,695 — — 8,695
Total 3,352,579 — — 3,352,579
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 162 — — 162
Swap Contracts — 244 — 244
Total 162 244 — 406
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 3,292,879
Gross Unrealized Appreciation 287,611
Gross Unrealized Depreciation (228,317)
Net Unrealized Appreciation (Depreciation) 59,294
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $137,050,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 28, 2023, the fund purchased $1,991,007,000 of investment securities and sold $1,785,998,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,157,772,000 and $956,570,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $727,694,000 and sales were $659,836,000, resulting in net realized loss of $57,282,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
20

 

S&P 500 Value Index Fund
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 1,170,800 8,175   1,264,192 8,600
Issued in Lieu of Cash Distributions — —   — —
Redeemed (959,572) (6,850)   (605,646) (4,175)
Net Increase (Decrease)—ETF Shares 211,228 1,325   658,546 4,425
Institutional Shares          
Issued 8,216 26   50,529 158
Issued in Lieu of Cash Distributions 2,045 7   3,266 11
Redeemed (10,879) (36)   (49,118) (154)
Net Increase (Decrease)—Institutional Shares (618) (3)   4,677 15
H.  Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
21

 

S&P 500 Growth Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 6.5%
Consumer Discretionary 10.5
Consumer Staples 6.7
Energy 7.7
Financials 3.7
Health Care 19.2
Industrials 5.1
Information Technology 36.8
Materials 2.4
Real Estate 0.9
Utilities 0.5
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
22

 

S&P 500 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.7%)
Communication Services (6.5%)
 * Alphabet Inc. Class A 2,306,373   207,712
 * Alphabet Inc. Class C 2,044,410   184,610
 * T-Mobile US Inc.   156,808    22,295
   Activision Blizzard Inc.   162,247    12,372
   Electronic Arts Inc.    68,864     7,640
 * Netflix Inc.         1        —
                       434,629
Consumer Discretionary (10.5%)
 * Tesla Inc. 1,036,393   213,196
 * Amazon.com Inc. 1,576,421   148,546
   Home Depot Inc.   209,502    62,126
   McDonald's Corp.   175,338    46,273
   Lowe's Cos. Inc.   165,372    34,025
   Starbucks Corp.   226,047    23,077
   TJX Cos. Inc.   286,917    21,978
 * O'Reilly Automotive Inc.    24,166    20,060
   Dollar General Corp.    87,096    18,839
 * AutoZone Inc.     7,329    18,224
 * Chipotle Mexican Grill Inc. Class A    10,707    15,965
 * Dollar Tree Inc.    81,273    11,807
 * Ulta Beauty Inc.    19,776    10,260
   Tractor Supply Co.    42,655     9,950
   Marriott International Inc. Class A    52,983     8,967
   Yum! Brands Inc.    69,615     8,852
   Hilton Worldwide Holdings Inc.    50,123     7,243
   Genuine Parts Co.    39,185     6,930
   DR Horton Inc.    60,364     5,583
 * Etsy Inc.    28,194     3,423
   Pool Corp.     9,518     3,397
   Domino's Pizza Inc.     6,288     1,849
                       700,570
Consumer Staples (6.7%)
   PepsiCo Inc.   531,962    92,311
   Procter & Gamble Co.   503,259    69,228
   Coca-Cola Co.   976,821    58,131
   Costco Wholesale Corp.   112,793    54,612
          Shares Market
Value•

($000)
   Philip Morris International Inc.   323,234    31,451
   Mondelez International Inc. Class A   284,748    18,560
   Altria Group Inc.   359,849    16,708
 * Monster Beverage Corp.   147,064    14,965
   Hershey Co.    56,745    13,523
   Colgate-Palmolive Co.   177,394    13,003
   General Mills Inc.   155,839    12,391
   Archer-Daniels-Midland Co.   103,936     8,273
   Constellation Brands Inc. Class A    35,105     7,853
   Kimberly-Clark Corp.    62,562     7,823
   Keurig Dr Pepper Inc.   163,923     5,664
   Lamb Weston Holdings Inc.    55,532     5,589
   McCormick & Co. Inc. (Non-Voting)    49,315     3,665
   Kellogg Co.    54,308     3,581
   Hormel Foods Corp.    80,398     3,568
   Clorox Co.    21,394     3,325
   Brown-Forman Corp. Class B    38,966     2,528
   Campbell Soup Co.    45,901     2,411
                       449,163
Energy (7.7%)
   Exxon Mobil Corp. 1,590,188   174,778
   Chevron Corp.   686,900   110,433
   ConocoPhillips   481,148    49,727
   EOG Resources Inc.   226,809    25,634
   Pioneer Natural Resources Co.    91,746    18,387
   Occidental Petroleum Corp.   280,762    16,441
   Schlumberger Ltd.   290,196    15,441
   Hess Corp.   107,141    14,432
   Williams Cos. Inc.   470,328    14,157
   Devon Energy Corp.   252,413    13,610
   ONEOK Inc.   172,600    11,297
   Marathon Petroleum Corp.    86,869    10,737
   Diamondback Energy Inc.    67,961     9,554
   Coterra Energy Inc.   304,456     7,602
23

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   Targa Resources Corp.    87,375     6,474
   Marathon Oil Corp.   245,235     6,168
   APA Corp.   124,011     4,759
   EQT Corp.   141,732     4,703
                       514,334
Financials (3.6%)
   Progressive Corp.   225,913    32,423
   Charles Schwab Corp.   347,496    27,077
   Marsh & McLennan Cos. Inc.   122,585    19,876
   American Express Co.   113,090    19,677
   Chubb Ltd.    91,365    19,280
   Aon plc Class A    52,719    16,029
   Ameriprise Financial Inc.    41,100    14,092
 * Arch Capital Group Ltd.   142,833     9,998
   Arthur J Gallagher & Co.    52,116     9,764
   MSCI Inc. Class A    17,585     9,182
   Travelers Cos. Inc.    48,872     9,047
   Moody's Corp.    28,582     8,293
   Raymond James Financial Inc.    74,756     8,108
   Discover Financial Services    61,275     6,863
   W R Berkley Corp.    78,940     5,225
   Principal Financial Group Inc.    53,589     4,800
   Nasdaq Inc.    83,643     4,689
   FactSet Research Systems Inc.     8,839     3,664
   Cboe Global Markets Inc.    27,463     3,465
   Everest Re Group Ltd.     8,748     3,359
   Brown & Brown Inc.    53,617     3,006
   Globe Life Inc.    24,393     2,968
   MarketAxess Holdings Inc.     7,107     2,427
                       243,312
Health Care (19.1%)
   UnitedHealth Group Inc.   360,771   171,705
   AbbVie Inc.   682,857   105,092
   Merck & Co. Inc.   978,981   104,007
   Johnson & Johnson   625,905    95,926
   Eli Lilly & Co.   304,518    94,772
   Pfizer Inc. 2,167,451    87,933
   Thermo Fisher Scientific Inc.   151,443    82,046
   Danaher Corp.   252,974    62,619
   Bristol-Myers Squibb Co.   820,966    56,614
   Amgen Inc.   206,029    47,729
   Elevance Health Inc.    92,213    43,310
   Gilead Sciences Inc.   484,301    39,001
   Abbott Laboratories   350,097    35,612
 * Regeneron Pharmaceuticals Inc.    41,352    31,445
 * Vertex Pharmaceuticals Inc.    99,118    28,773
 * Moderna Inc.   127,573    17,708
   Cigna Group    57,841    16,895
          Shares Market
Value•

($000)
 * Dexcom Inc.   149,149    16,557
   Humana Inc.    31,291    15,490
 * Intuitive Surgical Inc.    66,869    15,339
 * Boston Scientific Corp.   293,139    13,695
   HCA Healthcare Inc.    44,210    10,763
   Agilent Technologies Inc.    68,589     9,738
   McKesson Corp.    25,189     8,811
 * Mettler-Toledo International Inc.     5,602     8,032
 * Hologic Inc.    96,411     7,678
 * IDEXX Laboratories Inc.    15,661     7,411
 * IQVIA Holdings Inc.    34,405     7,172
 * Waters Corp.    22,944     7,133
 * Biogen Inc.    26,131     7,052
   ResMed Inc.    30,532     6,503
 * Molina Healthcare Inc.    22,544     6,207
 * Incyte Corp.    71,221     5,483
   Quest Diagnostics Inc.    29,071     4,022
   Bio-Techne Corp.    29,140     2,117
*,1 ABIOMED Inc. CVR        56        —
                     1,280,390
Industrials (5.1%)
   Deere & Co.   106,058    44,464
   Lockheed Martin Corp.    63,943    30,326
   Caterpillar Inc.   120,563    28,881
   Union Pacific Corp.   118,701    24,604
   Northrop Grumman Corp.    40,226    18,669
   Illinois Tool Works Inc.    55,064    12,839
   Waste Management Inc.    85,103    12,745
   CSX Corp.   389,698    11,882
   Old Dominion Freight Line Inc.    34,989    11,870
 * Copart Inc.   165,492    11,661
   WW Grainger Inc.    17,367    11,609
 * CoStar Group Inc.   157,039    11,096
   General Dynamics Corp.    46,092    10,505
   Quanta Services Inc.    55,187     8,907
   Cintas Corp.    19,667     8,623
   L3Harris Technologies Inc.    36,748     7,761
   TransDigm Group Inc.     9,369     6,969
   Cummins Inc.    27,782     6,753
   Expeditors International of Washington Inc.    61,423     6,422
   AMETEK Inc.    44,354     6,279
   JB Hunt Transport Services Inc.    31,957     5,778
   Republic Services Inc. Class A    43,591     5,620
   Fastenal Co.   108,230     5,580
   Verisk Analytics Inc. Class A    27,746     4,748
   Equifax Inc.    23,196     4,698
   IDEX Corp.    16,623     3,740
   Leidos Holdings Inc.    34,267     3,326
   Masco Corp.    61,805     3,240
   Rollins Inc.    89,339     3,145
 
24

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   Snap-on Inc.    11,672     2,903
   CH Robinson Worldwide Inc.    24,624     2,461
                       338,104
Information Technology (36.7%)
   Apple Inc. 5,773,968   851,141
   Microsoft Corp. 1,669,446   416,393
   NVIDIA Corp.   961,454   223,211
   Visa Inc. Class A   631,325   138,854
   Mastercard Inc. Class A   327,776   116,455
   Broadcom Inc.    93,836    55,766
   QUALCOMM Inc.   432,847    53,470
   Applied Materials Inc.   332,189    38,584
   Texas Instruments Inc.   220,771    37,851
   Automatic Data Processing Inc.   160,181    35,211
 * ServiceNow Inc.    78,002    33,710
   Accenture plc Class A   119,212    31,657
   Oracle Corp.   350,113    30,600
 * Adobe Inc.    84,372    27,332
 * Advanced Micro Devices Inc.   336,186    26,417
   Lam Research Corp.    52,660    25,593
   Intuit Inc.    57,683    23,487
 * Synopsys Inc.    59,041    21,477
   KLA Corp.    54,726    20,762
 * Cadence Design Systems Inc.   105,920    20,436
 * Fiserv Inc.   169,195    19,473
   Amphenol Corp. Class A   229,820    17,816
   Analog Devices Inc.    93,340    17,125
 * Arista Networks Inc.    95,573    13,256
 * ON Semiconductor Corp.   166,966    12,925
 * Enphase Energy Inc.    52,485    11,050
 * Fortinet Inc.   180,372    10,721
   NXP Semiconductors NV    59,034    10,536
 * Gartner Inc.    30,516    10,003
   Motorola Solutions Inc.    35,511     9,333
 * Autodesk Inc.    45,838     9,107
   Microchip Technology Inc.   104,064     8,432
   Monolithic Power Systems Inc.    17,213     8,336
   Paychex Inc.    70,609     7,795
 * SolarEdge Technologies Inc.    21,587     6,863
   CDW Corp.    32,920     6,664
 * First Solar Inc.    38,278     6,474
 * Keysight Technologies Inc.    37,248     5,958
 * Paycom Software Inc.    18,760     5,423
 * PTC Inc.    40,876     5,123
 * EPAM Systems Inc.    15,075     4,638
   Jack Henry & Associates Inc.    28,170     4,627
 * VeriSign Inc.    17,471     3,439
 * FleetCor Technologies Inc.    15,050     3,233
          Shares Market
Value•

($000)
   Broadridge Financial Solutions Inc.    21,814     3,071
   Teradyne Inc.    29,510     2,985
 * Tyler Technologies Inc.     7,556     2,427
   Gen Digital Inc.   118,283     2,308
                     2,457,548
Materials (2.4%)
   Linde plc   116,447    40,566
   Air Products and Chemicals Inc.    85,646    24,493
   Freeport-McMoRan Inc.   551,904    22,611
   Nucor Corp.    99,063    16,587
   Corteva Inc.   190,363    11,858
   Albemarle Corp.    45,238    11,504
   Steel Dynamics Inc.    64,196     8,096
   Mosaic Co.   131,468     6,993
   CF Industries Holdings Inc.    75,757     6,507
   FMC Corp.    48,649     6,283
   Vulcan Materials Co.    30,251     5,473
                       160,971
Real Estate (0.9%)
   American Tower Corp.    95,288    18,868
   Public Storage    37,845    11,314
   VICI Properties Inc. Class A   211,963     7,107
   SBA Communications Corp. Class A    23,338     6,053
   Weyerhaeuser Co.   161,803     5,056
   Extra Space Storage Inc.    25,886     4,262
   Iron Mountain Inc.    70,844     3,737
                        56,397
Utilities (0.5%)
   Sempra Energy    72,827    10,921
 * PG&E Corp.   621,703     9,711
   WEC Energy Group Inc.    63,376     5,619
   AES Corp.   152,101     3,755
   Atmos Energy Corp.    32,920     3,713
   NRG Energy Inc.    41,684     1,367
                        35,086
Total Common Stocks
(Cost $5,628,748) 		6,670,504
 
25

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
 2 Vanguard Market Liquidity Fund, 4.640%
(Cost $9,390) 		   93,912          9,391
Total Investments (99.9%)
(Cost $5,638,138) 		  6,679,895
Other Assets and Liabilities—Net (0.1%)   9,740
Net Assets (100%)   6,689,635
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Security value determined using significant unobservable inputs.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  CVR—Contingent Value Rights.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini NASDAQ 100 Index March 2023 3 724 (30)
E-mini S&P 500 Index March 2023 66 13,119 (340)
        (370)
    
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Fortinet Inc. 8/31/23 BANA 3,664 (4.569) 484 —
1 Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
At February 28, 2023, the counterparties had deposited in segregated accounts securities with a value of $521,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

S&P 500 Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $5,628,748) 6,670,504
Affiliated Issuers (Cost $9,390) 9,391
Total Investments in Securities 6,679,895
Investment in Vanguard 242
Cash 22
Cash Collateral Pledged—Futures Contracts 750
Receivables for Accrued Income 8,552
Unrealized Appreciation—Over-the-Counter Swap Contracts 484
Total Assets 6,689,945
Liabilities  
Payables for Investment Securities Purchased 26
Payables to Vanguard 242
Variation Margin Payable—Futures Contracts 42
Total Liabilities 310
Net Assets 6,689,635
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 6,467,246
Total Distributable Earnings (Loss) 222,389
Net Assets 6,689,635
 
ETF Shares—Net Assets  
Applicable to 30,595,971 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		6,683,915
Net Asset Value Per Share—ETF Shares $218.46
 
Institutional Shares—Net Assets  
Applicable to 11,511 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,720
Net Asset Value Per Share—Institutional Shares $496.94
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

S&P 500 Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends1 37,654
Interest2 121
Securities Lending—Net 4
Total Income 37,779
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 80
Management and Administrative—ETF Shares 2,884
Management and Administrative—Institutional Shares 2
Marketing and Distribution—ETF Shares 170
Marketing and Distribution—Institutional Shares —
Custodian Fees 9
Shareholders’ Reports—ETF Shares 119
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 1
Other Expenses 6
Total Expenses 3,271
Expenses Paid Indirectly (9)
Net Expenses 3,262
Net Investment Income 34,517
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (649,467)
Futures Contracts (1,685)
Swap Contracts (574)
Realized Net Gain (Loss) (651,726)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 230,538
Futures Contracts 55
Swap Contracts 1,259
Change in Unrealized Appreciation (Depreciation) 231,852
Net Increase (Decrease) in Net Assets Resulting from Operations (385,357)
1 Dividends are net of foreign withholding taxes of $18,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $116,000, $3,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $93,706,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

S&P 500 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 34,517   52,438
Realized Net Gain (Loss) (651,726)   530,788
Change in Unrealized Appreciation (Depreciation) 231,852   (2,018,303)
Net Increase (Decrease) in Net Assets Resulting from Operations (385,357)   (1,435,077)
Distributions      
ETF Shares (32,475)   (48,040)
Institutional Shares (29)   (108)
Total Distributions (32,504)   (48,148)
Capital Share Transactions      
ETF Shares 262,266   1,542,386
Institutional Shares (33)   (18,702)
Net Increase (Decrease) from Capital Share Transactions 262,233   1,523,684
Total Increase (Decrease) (155,628)   40,459
Net Assets      
Beginning of Period 6,845,263   6,804,804
End of Period 6,689,635   6,845,263
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

S&P 500 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $232.26 $283.53 $219.32 $161.81 $158.27 $127.78
Investment Operations            
Net Investment Income1 1.149 1.923 1.751 2.111 2.156 1.833
Net Realized and Unrealized Gain (Loss) on Investments (13.861) (51.406) 64.190 57.589 3.437 30.442
Total from Investment Operations (12.712) (49.483) 65.941 59.700 5.593 32.275
Distributions            
Dividends from Net Investment Income (1.088) (1.787) (1.731) (2.190) (2.053) (1.785)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.088) (1.787) (1.731) (2.190) (2.053) (1.785)
Net Asset Value, End of Period $218.46 $232.26 $283.53 $219.32 $161.81 $158.27
Total Return -5.46% -17.52% 30.26% 37.29% 3.60% 25.48%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,684 $6,839 $6,776 $4,485 $2,755 $2,327
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10%2 0.10% 0.10% 0.10% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.07% 0.73% 0.73% 1.20% 1.41% 1.29%
Portfolio Turnover Rate3 34% 13% 12% 24% 23% 18%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
30

 

S&P 500 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31, April 5,
20191 to
August 31,
2019 		October 17,
20181 to
December 13,
2018
2022 2021 2020
Net Asset Value, Beginning of Period $528.34 $644.91 $498.89 $368.04 $356.55 $343.28
Investment Operations            
Net Investment Income2 2.662 4.203 3.959 4.861 3.777 .856
Net Realized and Unrealized Gain (Loss) on Investments (31.538) (116.631) 146.133 131.012 7.713 (19.628)
Total from Investment Operations (28.876) (112.428) 150.092 135.873 11.490 (18.772)
Distributions            
Dividends from Net Investment Income (2.524) (4.142) (4.072) (5.023) — (.938)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.524) (4.142) (4.072) (5.023) — (.938)
Net Asset Value, End of Period $496.94 $528.34 $644.91 $498.89 $368.04 $323.57
Total Return -5.45% -17.50% 30.29% 37.35% 3.22% -5.47%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6 $6 $28 $9 $7 —
Ratio of Total Expenses to Average Net Assets 0.08%3 0.08%3 0.08% 0.08% 0.08%4 0.08%4
Ratio of Net Investment Income to Average Net Assets 1.09% 0.68% 0.71% 1.22% 2.52%4 1.64%4
Portfolio Turnover Rate5 34% 13% 12% 24% 23%6 23%6
The expense ratio and net investment income ratio for the current period have been annualized.
1 The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
6 Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019.
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
32

 

S&P 500 Growth Index Fund
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 short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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's 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 Schedule of Investments. 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.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. 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 Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the six months ended February 28, 2023, 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 virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
33

 

S&P 500 Growth Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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.
34

 

S&P 500 Growth Index Fund
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $242,000, representing less than 0.01% of the fund’s net assets and 0.10% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $9,000 (an annual rate of less than 0.01% of average net assets).
D.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 6,670,504 — — 6,670,504
Temporary Cash Investments 9,391 — — 9,391
Total 6,679,895 — — 6,679,895
Derivative Financial Instruments        
Assets        
Swap Contracts — 484 — 484
Liabilities        
Futures Contracts1 370 — — 370
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
35

 

S&P 500 Growth Index Fund
E.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 5,641,593
Gross Unrealized Appreciation 1,300,832
Gross Unrealized Depreciation (262,416)
Net Unrealized Appreciation (Depreciation) 1,038,416
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $179,151,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 28, 2023, the fund purchased $2,803,576,000 of investment securities and sold $2,542,339,000 of investment securities, other than temporary cash investments. Purchases and sales include $591,082,000 and $325,274,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $988,344,000 and sales were $1,365,691,000, resulting in net realized loss of $379,566,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 591,148 2,675   2,939,972 10,746
Issued in Lieu of Cash Distributions — —   — —
Redeemed (328,882) (1,525)   (1,397,586) (5,200)
Net Increase (Decrease)—ETF Shares 262,266 1,150   1,542,386 5,546
Institutional Shares          
Issued 30 —   554 1
Issued in Lieu of Cash Distributions 29 —   87 —
Redeemed (92) —   (19,343) (33)
Net Increase (Decrease)—Institutional Shares (33) —   (18,702) (32)
36

 

S&P 500 Growth Index Fund
H.  Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
37

 

The S&P 500 Value Index and S&P 500 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund particularly or the ability of the S&P 500 Value Index and S&P 500 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Value Index and S&P 500 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Value Index and S&P 500 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund into consideration in determining, composing or calculating the S&P 500 Value Index and S&P 500 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. There is no assurance that investment products based on the S&P 500 Value Index and S&P 500 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P 500 VALUE INDEX FUND AND VANGUARD S&P 500 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
38

 

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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, www.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 www.sec.gov.
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© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18402 042023
Semiannual Report  |  February 28, 2023
Vanguard S&P Small-Cap 600 Index Funds
Vanguard S&P Small-Cap 600 Index Fund
Vanguard S&P Small-Cap 600 Value Index Fund
Vanguard S&P Small-Cap 600 Growth Index Fund

 

 

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.
1

 

Six Months Ended February 28, 2023      
  Beginning
Account Value
8/31/2022 		Ending
Account Value
2/28/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,063.60 $0.51
Institutional Shares 1,000.00 1,063.80 0.41
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,095.30 $0.78
Institutional Shares 1,000.00 1,095.90 0.42
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,031.70 $0.76
Based on Hypothetical 5% Yearly Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Small-Cap 600 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.15% for ETF 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).
2

 

S&P Small-Cap 600 Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 2.1%
Consumer Discretionary 13.6
Consumer Staples 5.2
Energy 4.7
Financials 17.6
Health Care 10.6
Industrials 17.5
Information Technology 13.6
Materials 6.0
Real Estate 6.9
Utilities 2.2
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.9%)
Communication Services (2.1%)
   Cogent Communications Holdings Inc.   199,394    12,909
 * Yelp Inc. Class A   325,258     9,764
   Shutterstock Inc.   112,038     8,428
 * Cinemark Holdings Inc.   499,055     6,792
   Scholastic Corp.   138,412     6,313
   Telephone & Data Systems Inc.   464,638     5,896
 * Cars.com Inc.   288,867     5,546
 * Gogo Inc.   302,569     4,980
 * TechTarget Inc.   125,616     4,740
   Shenandoah Telecommunications Co.   233,770     4,563
 * QuinStreet Inc.   234,769     3,984
 * Thryv Holdings Inc.   143,233     3,415
 * EW Scripps Co. Class A   269,909     3,406
 * AMC Networks Inc. Class A   131,276     2,935
   ATN International Inc.    50,039     2,104
 * Gannett Co. Inc.   676,976     2,051
 1 Marcus Corp.   113,917     1,833
 * Consolidated Communications Holdings Inc.   345,371     1,047
                        90,706
Consumer Discretionary (13.6%)
 * Asbury Automotive Group Inc.   103,227    23,443
   Academy Sports & Outdoors Inc.   371,975    22,002
 * Meritage Homes Corp.   170,534    18,627
   Signet Jewelers Ltd.   215,731    15,451
   Group 1 Automotive Inc.    68,015    15,036
 * National Vision Holdings Inc.   368,186    13,755
   LCI Industries   118,624    13,382
   Installed Building Products Inc.   109,430    12,626
   Steven Madden Ltd.   341,649    12,402
 * Dorman Products Inc.   131,929    12,273
          Shares Market
Value•

($000)
   Kontoor Brands Inc.   230,408    12,016
   American Eagle Outfitters Inc.   812,828    11,680
 * Sonos Inc.   593,876    11,539
 * Tri Pointe Homes Inc.   471,009    11,229
 * Cavco Industries Inc.    38,656    11,017
 * Boot Barn Holdings Inc.   139,110    10,774
 * Frontdoor Inc.   380,329    10,744
   Bloomin' Brands Inc.   409,792    10,696
 * LGI Homes Inc.    95,637     9,976
   MDC Holdings Inc.   266,102     9,846
 * Gentherm Inc.   154,912     9,838
 * Shake Shack Inc. Class A   174,186     9,718
 * Six Flags Entertainment Corp.   345,431     9,119
   Winnebago Industries Inc.   142,346     9,048
   Strategic Education Inc.   103,891     8,857
 * Leslie's Inc.   692,116     8,728
 * ODP Corp.   188,202     8,522
   Cheesecake Factory Inc.   222,714     8,338
 * Adtalem Global Education Inc.   211,477     8,273
   Oxford Industries Inc.    69,689     8,196
 * Stride Inc.   190,383     8,086
 * Sally Beauty Holdings Inc.   498,440     8,020
   Century Communities Inc.   131,690     7,876
 * Dave & Buster's Entertainment Inc.   195,444     7,822
 * Brinker International Inc.   205,064     7,792
   Jack in the Box Inc.    98,062     7,688
 * Vista Outdoor Inc.   263,448     7,524
 * Urban Outfitters Inc.   279,034     7,520
   Monro Inc.   146,516     7,390
 * M/I Homes Inc.   127,756     7,389
   Patrick Industries Inc.   100,270     7,305
 * Abercrombie & Fitch Co. Class A   230,315     6,774
   La-Z-Boy Inc.   200,416     6,490
   Upbound Group Inc.   233,357     6,266
   Wolverine World Wide Inc.   366,770     6,143
 * XPEL Inc.    91,316     6,101
   Buckle Inc.   137,702     5,617
4

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   Dine Brands Global Inc.    73,020     5,598
 * iRobot Corp.   126,855     5,213
   Sturm Ruger & Co. Inc.    82,259     4,793
 * American Axle & Manufacturing Holdings Inc.   534,284     4,702
   Monarch Casino & Resort Inc.    61,887     4,556
   Caleres Inc.   170,200     4,444
   Sonic Automotive Inc. Class A    77,832     4,428
 * Perdoceo Education Corp.   312,797     4,312
   Hibbett Inc.    59,644     4,290
 * Golden Entertainment Inc.   102,240     4,203
 * Sleep Number Corp.   102,460     4,084
 * Green Brick Partners Inc.   126,515     3,947
 * BJ's Restaurants Inc.   108,936     3,486
 * Mister Car Wash Inc.   370,029     3,415
   Standard Motor Products Inc.    87,388     3,406
 * MarineMax Inc.   100,298     3,368
 * Chico's FAS Inc.   582,555     3,350
 * G-III Apparel Group Ltd.   199,033     3,307
   Ethan Allen Interiors Inc.   106,285     3,141
   Guess? Inc.   142,682     3,002
 * Chuy's Holdings Inc.    83,835     2,997
   Ruth's Hospitality Group Inc.   141,336     2,636
 * Genesco Inc.    57,824     2,600
   Movado Group Inc.    74,048     2,564
 * Children's Place Inc.    60,690     2,541
   Haverty Furniture Cos. Inc.    61,735     2,330
   Designer Brands Inc. Class A   236,785     2,318
 * America's Car-Mart Inc.    27,013     2,295
   Shoe Carnival Inc.    79,628     2,098
   Aaron's Co. Inc.   144,384     2,072
   Big Lots Inc.   135,581     1,946
   PetMed Express Inc.    98,414     1,848
 * Zumiez Inc.    72,532     1,687
 * Motorcar Parts of America Inc.    90,225     1,181
   El Pollo Loco Holdings Inc.    91,087     1,090
 * WW International Inc.   250,385       916
 * Universal Electronics Inc.    56,570       720
*,1 Bed Bath & Beyond Inc.   354,891       500
                       594,338
Consumer Staples (5.2%)
 * elf Beauty Inc.   234,600    17,536
 * Hostess Brands Inc. Class A   624,651    15,429
 * Simply Good Foods Co.   392,562    15,031
 * TreeHouse Foods Inc.   235,546    11,492
 * United Natural Foods Inc.   272,110    11,083
   WD-40 Co.    63,371    10,990
          Shares Market
Value•

($000)
   Edgewell Personal Care Co.   241,880    10,328
   Cal-Maine Foods Inc.   176,769    10,040
   Inter Parfums Inc.    83,137    10,011
   J & J Snack Foods Corp.    69,725     9,846
   Nu Skin Enterprises Inc. Class A   230,638     9,189
   Vector Group Ltd.   614,508     8,155
   PriceSmart Inc.   116,896     8,150
 * Central Garden & Pet Co. Class A   193,932     7,453
 * Hain Celestial Group Inc.   415,931     7,416
   MGP Ingredients Inc.    71,692     7,272
   Andersons Inc.   145,014     6,617
   Universal Corp.   114,354     5,785
   Medifast Inc.    50,896     5,707
 * Chefs' Warehouse Inc.   158,619     5,163
 * National Beverage Corp.   108,863     5,078
   Fresh Del Monte Produce Inc.   143,089     4,476
   SpartanNash Co.   164,376     4,399
   B&G Foods Inc.   334,369     4,236
   John B Sanfilippo & Son Inc.    41,596     3,734
   Tootsie Roll Industries Inc.    82,958     3,653
 * USANA Health Sciences Inc.    51,940     3,157
   Calavo Growers Inc.    82,568     2,664
 * Central Garden & Pet Co.    44,975     1,822
 * Seneca Foods Corp. Class A    24,812     1,380
                       227,292
Energy (4.7%)
   Helmerich & Payne Inc.   491,096    20,665
   Civitas Resources Inc.   242,212    16,996
   SM Energy Co.   572,626    16,898
   Patterson-UTI Energy Inc. 1,011,462    13,857
   Northern Oil & Gas Inc.   316,188     9,815
 * Oceaneering International Inc.   467,964     9,776
 * Green Plains Inc.   276,764     9,595
 * Callon Petroleum Co.   238,693     9,252
   CONSOL Energy Inc.   152,672     8,356
   World Fuel Services Corp.   288,402     7,917
 * Par Pacific Holdings Inc.   258,465     7,180
   Archrock Inc.   623,442     6,902
 * Nabors Industries Ltd.    41,662     6,262
 * Helix Energy Solutions Group Inc.   665,333     5,509
 * Dril-Quip Inc.   158,193     5,418
 * Talos Energy Inc.   303,833     5,411
   Core Laboratories NV   216,093     5,158
   Comstock Resources Inc.   424,698     5,156
 * US Silica Holdings Inc.   353,465     4,291
 * Vital Energy Inc.    78,301     4,024
 * ProPetro Holding Corp.   448,050     3,947
 
5

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   Ranger Oil Corp.    89,042     3,695
   RPC Inc.   389,162     3,413
   Dorian LPG Ltd.   148,962     3,270
 * Bristow Group Inc. Class A   109,965     2,995
 * Oil States International Inc.   298,091     2,722
 * REX American Resources Corp.    72,422     2,391
 * DMC Global Inc.    86,420     2,313
                       203,184
Financials (17.6%)
   Assured Guaranty Ltd.   279,693    17,456
   Independent Bank Corp.   212,916    16,965
   ServisFirst Bancshares Inc.   228,068    16,866
   United Community Banks Inc.   495,350    16,401
   First Hawaiian Inc.   595,566    16,289
   Community Bank System Inc.   250,679    15,304
 * Mr Cooper Group Inc.   329,120    15,281
   CVB Financial Corp.   613,131    14,672
   Ameris Bancorp   304,138    14,559
 * Genworth Financial Inc. Class A 2,316,024    14,429
   Pacific Premier Bancorp Inc.   443,361    14,374
   WSFS Financial Corp.   287,281    14,338
   American Equity Investment Life Holding Co.   323,789    13,486
   Simmons First National Corp. Class A   592,351    13,168
   BankUnited Inc.   360,487    12,768
   First Bancorp   861,447    12,500
   Walker & Dunlop Inc.   143,223    12,493
 * Axos Financial Inc.   249,144    11,807
   Seacoast Banking Corp. of Florida   385,544    11,763
   First Financial Bancorp   442,644    10,907
   Banner Corp.   159,631    10,054
   Piper Sandler Cos.    65,963     9,960
 * Trupanion Inc.   164,125     9,746
   Independent Bank Group Inc.   165,360     9,733
   Bread Financial Holdings Inc.   232,676     9,556
   Renasant Corp.   261,209     9,398
 * NMI Holdings Inc. Class A   390,202     9,107
 * Bancorp Inc.   261,354     9,040
   Park National Corp.    67,417     8,614
   Lakeland Financial Corp.   118,068     8,456
   Trustmark Corp.   283,897     8,347
   Provident Financial Services Inc.   351,432     8,206
   Northwest Bancshares Inc.   592,987     8,195
   NBT Bancorp Inc.   199,529     8,099
 * StoneX Group Inc.    80,208     8,087
          Shares Market
Value•

($000)
 * PRA Group Inc.   182,012     7,746
   Two Harbors Investment Corp.   450,140     7,459
   BancFirst Corp.    81,141     7,323
 * Enova International Inc.   146,920     7,162
   Hope Bancorp Inc.   556,458     7,128
   National Bank Holdings Corp. Class A   175,494     7,106
   Hilltop Holdings Inc.   213,580     7,084
 * Palomar Holdings Inc.   117,508     7,050
   Horace Mann Educators Corp.   190,473     7,040
   First Commonwealth Financial Corp.   434,883     6,962
   Apollo Commercial Real Estate Finance Inc.   604,138     6,942
   Westamerica Bancorp   125,316     6,907
   First Bancorp (XNGS)   166,315     6,900
   Pathward Financial Inc.   134,063     6,839
   City Holding Co.    69,195     6,795
   S&T Bancorp Inc.   181,690     6,770
   OFG Bancorp   221,581     6,740
   Veritex Holdings Inc.   251,487     6,705
   Virtus Investment Partners Inc.    31,652     6,660
   Eagle Bancorp Inc.   148,637     6,512
 * Triumph Financial Inc.   105,695     6,432
   FB Financial Corp.   163,934     6,179
   Berkshire Hills Bancorp Inc.   209,675     6,093
   Stellar Bancorp Inc.   207,020     6,055
 * PROG Holdings Inc.   233,131     5,763
   Employers Holdings Inc.   126,755     5,629
 * Encore Capital Group Inc.   108,886     5,627
   Safety Insurance Group Inc.    68,665     5,541
   Southside Bancshares Inc.   142,138     5,428
   PennyMac Mortgage Investment Trust   415,565     5,415
   Franklin BSP Realty Trust Inc.   384,218     5,383
   Stewart Information Services Corp.   126,315     5,367
*,1 Avantax Inc.   186,725     5,338
   Brookline Bancorp Inc.   410,559     5,321
   Ready Capital Corp.   459,622     5,175
   Capitol Federal Financial Inc.   601,201     5,044
   ProAssurance Corp.   251,285     4,998
 * Donnelley Financial Solutions Inc.   116,609     4,934
   AMERISAFE Inc.    89,219     4,866
   Dime Community Bancshares Inc.   151,237     4,634
   New York Mortgage Trust Inc. 1,728,967     4,616
   Banc of California Inc.   260,949     4,580
 
6

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   Heritage Financial Corp.   163,476     4,556
   Tompkins Financial Corp.    59,109     4,421
 * Customers Bancorp Inc.   142,309     4,383
   Preferred Bank    61,516     4,331
   Mercury General Corp.   123,746     4,214
   James River Group Holdings Ltd.   174,433     4,204
 * Green Dot Corp. Class A   217,794     4,123
   Redwood Trust Inc.   527,594     4,015
   KKR Real Estate Finance Trust Inc.   267,097     3,873
   Brightsphere Investment Group Inc.   150,937     3,784
 * Ambac Financial Group Inc.   209,448     3,466
   Ellington Financial Inc.   267,072     3,437
   Hanmi Financial Corp.   141,995     3,354
   ARMOUR Residential REIT Inc.   615,322     3,341
   TrustCo Bank Corp.    88,709     3,323
   WisdomTree Inc.   518,469     3,095
 1 B. Riley Financial Inc.    74,628     2,969
   United Fire Group Inc.   101,328     2,892
   Northfield Bancorp Inc.   195,845     2,881
   Central Pacific Financial Corp.   126,813     2,844
 * SiriusPoint Ltd.   397,564     2,823
   Universal Insurance Holdings Inc.   128,382     2,482
 * EZCORP Inc. Class A   251,011     2,214
   HomeStreet Inc.    82,969     2,093
   Invesco Mortgage Capital Inc.   165,006     2,067
   HCI Group Inc.    32,418     1,702
 * LendingTree Inc.    50,733     1,671
   Granite Point Mortgage Trust Inc.   244,959     1,467
 * World Acceptance Corp.    15,484     1,446
                       770,143
Health Care (10.6%)
   Ensign Group Inc.   258,819    23,159
 * Cytokinetics Inc.   441,493    19,143
 * Merit Medical Systems Inc.   265,484    18,738
 * AMN Healthcare Services Inc.   202,126    18,193
 * Prestige Consumer Healthcare Inc.   231,082    13,923
   CONMED Corp.   142,207    13,679
   Select Medical Holdings Corp.   485,860    13,210
 * Integer Holdings Corp.   154,550    11,588
 * NuVasive Inc.   244,155    10,555
 * Glaukos Corp.   222,567    10,512
 * NeoGenomics Inc.   588,199     9,911
 * Supernus Pharmaceuticals Inc.   252,322     9,485
 * Corcept Therapeutics Inc.   447,107     9,313
          Shares Market
Value•

($000)
 * Pacira BioSciences Inc.   214,174     9,117
 * Xencor Inc.   279,759     8,989
   Embecta Corp.   270,076     8,629
 * Veradigm Inc.   510,018     8,471
 * Addus HomeCare Corp.    75,017     8,150
 * Vir Biotechnology Inc.   354,186     8,075
 * CorVel Corp.    42,735     7,704
 * Myriad Genetics Inc.   377,369     7,140
 * Ironwood Pharmaceuticals Inc. Class A   621,329     7,002
 * Catalyst Pharmaceuticals Inc.   445,888     6,804
 * Vericel Corp.   219,915     6,688
 * Apollo Medical Holdings Inc.   184,905     6,453
   US Physical Therapy Inc.    60,541     6,135
 * Harmony Biosciences Holdings Inc.   138,106     6,081
 * Avanos Medical Inc.   216,406     6,074
 * Pediatrix Medical Group Inc.   381,465     6,004
 * ModivCare Inc.    59,259     5,819
 * AdaptHealth Corp. Class A   357,645     5,719
 * Dynavax Technologies Corp.   552,518     5,691
 * Amphastar Pharmaceuticals Inc.   175,667     5,597
 * Owens & Minor Inc.   355,992     5,457
 * Ligand Pharmaceuticals Inc.    74,822     5,398
 * RadNet Inc.   227,020     5,354
 * Avid Bioservices Inc.   289,463     4,765
 * NextGen Healthcare Inc.   254,893     4,616
   LeMaitre Vascular Inc.    90,093     4,515
 * Arcus Biosciences Inc.   243,054     4,426
 * Enanta Pharmaceuticals Inc.    90,879     4,408
 * Cross Country Healthcare Inc.   165,267     4,371
 * Collegium Pharmaceutical Inc.   156,679     4,157
   Mesa Laboratories Inc.    23,361     4,124
 * uniQure NV   191,823     4,021
 * REGENXBIO Inc.   176,032     3,917
 * Heska Corp.    47,492     3,867
 * Cardiovascular Systems Inc.   195,235     3,848
 * BioLife Solutions Inc.   159,482     3,710
 * Enhabit Inc.   231,043     3,546
 * Community Health Systems Inc.   583,353     3,535
 * Innoviva Inc.   292,351     3,529
 * Varex Imaging Corp.   185,646     3,284
 * Orthofix Medical Inc.   156,908     3,232
 * Fulgent Genetics Inc.    91,819     3,011
 * Agiliti Inc.   156,112     2,975
 
7

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
 * HealthStream Inc.   112,283     2,880
   Simulations Plus Inc.    74,877     2,848
 * Cutera Inc.    83,133     2,696
 * Emergent BioSolutions Inc.   206,697     2,559
 * Artivion Inc.   188,078     2,490
 * ANI Pharmaceuticals Inc.    56,987     2,384
 * AngioDynamics Inc.   182,194     2,256
 * Anika Therapeutics Inc.    68,175     2,161
 * Cara Therapeutics Inc.   210,409     2,138
 * OraSure Technologies Inc.   338,436     2,135
 * iTeos Therapeutics Inc.   114,674     2,031
 * Coherus Biosciences Inc.   299,676     2,029
 * Computer Programs & Systems Inc.    66,506     1,996
 * Pennant Group Inc.   131,873     1,981
 * Vanda Pharmaceuticals Inc.   263,795     1,699
 * Inogen Inc.   106,714     1,672
   Phibro Animal Health Corp. Class A    95,237     1,496
 * OptimizeRx Corp.    80,502     1,437
 * Surmodics Inc.    65,508     1,431
 * Eagle Pharmaceuticals Inc.    48,776     1,366
*,1 Zynex Inc.   100,382     1,297
 * Nektar Therapeutics Class A   879,068     1,213
 * Zimvie Inc.    96,641     1,100
 * Organogenesis Holdings Inc. Class A   326,306       799
*,2 Lantheus Holdings Inc. CVR   276,566        —
*,2 OmniAb Inc. 12.5 Earnout    27,888        —
*,2 OmniAb Inc. 15 Earnout    27,888        —
                       461,911
Industrials (17.5%)
   Applied Industrial Technologies Inc.   179,891    25,699
   Exponent Inc.   236,155    24,300
   Comfort Systems USA Inc.   166,810    24,261
 * Aerojet Rocketdyne Holdings Inc.   353,057    19,891
   Mueller Industries Inc.   265,184    19,616
   AAON Inc.   196,014    17,829
   Franklin Electric Co. Inc.   181,482    17,344
   Encore Wire Corp.    85,565    16,515
   John Bean Technologies Corp.   148,618    16,480
   Hillenbrand Inc.   324,009    15,274
   ABM Industries Inc.   308,576    14,938
   Federal Signal Corp.   282,951    14,931
 * SPX Technologies Inc.   210,881    14,854
   Albany International Corp. Class A   145,084    14,642
 * Hub Group Inc. Class A   152,305    13,971
   Korn Ferry   249,001    13,917
   UniFirst Corp.    70,335    13,795
   Arcosa Inc.   225,590    13,671
          Shares Market
Value•

($000)
   Moog Inc. Class A   135,134    13,327
   Forward Air Corp.   124,032    12,801
   Boise Cascade Co.   184,022    12,718
 * Resideo Technologies Inc.   680,310    12,477
 * Atlas Air Worldwide Holdings Inc.   120,279    12,125
 * GMS Inc.   197,887    12,014
   Brady Corp. Class A   216,455    11,940
   Matson Inc.   176,290    11,725
   ESCO Technologies Inc.   120,665    11,245
 * RXO Inc.   537,146    11,049
   ArcBest Corp.   113,938    10,961
   Trinity Industries Inc.   379,918    10,603
   EnPro Industries Inc.    97,077    10,436
 * AeroVironment Inc.   116,637    10,000
   Barnes Group Inc.   235,994     9,945
   Veritiv Corp.    62,791     9,509
 * MYR Group Inc.    77,321     9,326
   Granite Construction Inc.   204,181     8,821
   Alamo Group Inc.    47,924     8,741
 * AAR Corp.   155,229     8,443
   MillerKnoll Inc.   352,824     8,422
   Griffon Corp.   221,105     8,064
   Lindsay Corp.    51,277     7,717
 * Gibraltar Industries Inc.   144,213     7,702
 * Allegiant Travel Co.    73,041     7,490
 * KAR Auction Services Inc.   507,194     7,248
   Enerpac Tool Group Corp. Class A   264,871     7,133
 * NOW Inc.   514,361     6,609
   Standex International Corp.    55,821     6,457
   Tennant Co.    86,607     6,133
   Wabash National Corp.   223,267     6,117
 * NV5 Global Inc.    57,970     6,100
   HNI Corp.   192,643     6,020
 * 3D Systems Corp.   610,765     5,979
   Marten Transport Ltd.   268,188     5,919
 * PGT Innovations Inc.   279,336     5,908
 * Masterbrand Inc.   606,240     5,905
   Matthews International Corp. Class A   142,662     5,444
 * CoreCivic Inc.   535,484     5,200
 * GEO Group Inc.   578,171     5,065
   Greenbrier Cos. Inc.   152,653     4,902
   Astec Industries Inc.   105,958     4,771
   Apogee Enterprises Inc.   103,360     4,730
   AZZ Inc.   115,960     4,714
   Healthcare Services Group Inc.   345,695     4,587
 * SkyWest Inc.   235,921     4,499
   Quanex Building Products Corp.   154,179     4,001
 * Proto Labs Inc.   126,243     3,969
 * American Woodmark Corp.    77,370     3,944
 * Triumph Group Inc.   302,683     3,820
   Deluxe Corp.   200,851     3,704
 
8

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   Heartland Express Inc.   216,981     3,500
   Kaman Corp.   130,996     3,406
   Pitney Bowes Inc.   753,573     3,270
   Heidrick & Struggles International Inc.    92,859     3,188
 * Harsco Corp.   370,048     3,131
 * Sun Country Airlines Holdings Inc.   151,961     3,047
 * Titan International Inc.   237,065     2,942
 * TrueBlue Inc.   152,067     2,844
 * CIRCOR International Inc.    95,161     2,785
   Insteel Industries Inc.    90,991     2,707
   Kelly Services Inc. Class A   161,430     2,701
   Resources Connection Inc.   149,026     2,691
 * Hawaiian Holdings Inc.   239,473     2,682
 * Viad Corp.    96,765     2,488
   Interface Inc. Class A   270,907     2,389
 * DXP Enterprises Inc.    73,217     2,117
   Powell Industries Inc.    42,429     1,882
 * Forrester Research Inc.    52,391     1,723
   National Presto Industries Inc.    23,776     1,632
 * Liquidity Services Inc.   126,525     1,602
   Park Aerospace Corp.    90,268     1,482
                       762,616
Information Technology (13.6%)
 * SPS Commerce Inc.   168,149    25,330
 * Rambus Inc.   501,237    22,170
 * Fabrinet   170,677    20,800
 * Axcelis Technologies Inc.   153,223    19,695
 * Diodes Inc.   211,981    19,437
 * Onto Innovation Inc.   230,906    19,043
 * Insight Enterprises Inc.   141,308    18,924
   Badger Meter Inc.   136,541    16,606
   Advanced Energy Industries Inc.   174,415    16,235
 * Sanmina Corp.   267,903    16,197
   Kulicke & Soffa Industries Inc.   270,791    14,433
 * Rogers Corp.    87,750    12,917
 * Plexus Corp.   129,132    12,382
 * Alarm.com Holdings Inc.   232,871    11,837
 * Itron Inc.   210,829    11,758
 * Viavi Solutions Inc. 1,056,349    11,556
 * MaxLinear Inc. Class A   337,123    11,533
   Progress Software Corp.   200,652    11,525
 * Extreme Networks Inc.   613,023    11,476
 * Perficient Inc.   161,550    11,438
 * Verra Mobility Corp. Class A   651,803    11,231
   EVERTEC Inc.   304,278    11,200
 * FormFactor Inc.   359,413    10,818
   InterDigital Inc.   125,576     9,166
 * Semtech Corp.   297,492     9,166
 * NetScout Systems Inc.   320,342     9,111
 * DoubleVerify Holdings Inc.   345,505     9,076
          Shares Market
Value•

($000)
   Methode Electronics Inc.   170,775     8,322
 * Cohu Inc.   222,356     8,272
   CSG Systems International Inc.   141,172     7,934
 * Sabre Corp. 1,532,220     7,753
 * Agilysys Inc.    92,215     7,369
 * LiveRamp Holdings Inc.   309,538     7,314
 * Knowles Corp.   424,595     7,210
 * ePlus Inc.   125,298     6,787
 * Ultra Clean Holdings Inc.   212,406     6,767
 * OSI Systems Inc.    72,994     6,756
 * Harmonic Inc.   490,996     6,476
   CTS Corp.   148,457     6,430
 * TTM Technologies Inc.   475,961     6,326
   ADTRAN Holdings Inc.   329,053     5,742
 * Digi International Inc.   164,347     5,484
 * Payoneer Global Inc.   931,820     5,405
 * PDF Solutions Inc.   137,680     5,155
 * Veeco Instruments Inc.   239,230     5,088
 * Photronics Inc.   287,140     5,059
 * Cerence Inc.   183,675     5,029
   Adeia Inc.   494,623     4,877
   A10 Networks Inc.   298,067     4,537
 * Digital Turbine Inc.   419,576     4,506
 * Avid Technology Inc.   154,865     4,500
 * Ichor Holdings Ltd.   134,282     4,425
   Benchmark Electronics Inc.   163,790     3,897
 * SMART Global Holdings Inc.   226,213     3,778
 * ScanSource Inc.   117,565     3,666
   TTEC Holdings Inc.    87,956     3,541
 * CEVA Inc.   107,893     3,405
 * Consensus Cloud Solutions Inc.    82,310     3,378
 * Clearfield Inc.    53,248     3,338
 * LivePerson Inc.   326,247     3,302
 * Corsair Gaming Inc.   178,772     3,128
 * 8x8 Inc.   519,995     2,766
 * Alpha & Omega Semiconductor Ltd.   103,343     2,760
 * NETGEAR Inc.   134,680     2,438
 * FARO Technologies Inc.    87,611     2,383
   PC Connection Inc.    52,677     2,307
 * OneSpan Inc.   164,130     2,219
 * Xperi Inc.   189,611     2,217
   Comtech Telecommunications Corp.   129,290     2,067
   Ebix Inc.   109,635     1,905
 * Unisys Corp.   315,082     1,569
 * Arlo Technologies Inc.   411,821     1,565
                       594,212
Materials (5.9%)
 * ATI Inc.   603,655    24,539
 * Livent Corp.   836,642    19,619
   Balchem Corp.   149,858    19,481
 
9

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   HB Fuller Co.   248,643    17,345
 * O-I Glass Inc.   723,574    16,078
   Innospec Inc.   115,535    12,646
 * Arconic Corp.   473,557    12,521
   Quaker Chemical Corp.    63,582    12,448
   Carpenter Technology Corp.   226,047    10,925
   Materion Corp.    95,591    10,676
   Stepan Co.    98,536    10,257
   Warrior Met Coal Inc.   241,132     9,228
   Minerals Technologies Inc.   151,467     9,202
   Sylvamo Corp.   154,030     7,598
   Mativ Holdings Inc.   255,852     6,629
   Compass Minerals International Inc.   158,450     6,105
   Kaiser Aluminum Corp.    74,228     5,888
   AdvanSix Inc.   128,429     5,285
   Myers Industries Inc.   170,541     4,407
   Trinseo plc   162,836     3,774
   SunCoke Energy Inc.   388,128     3,691
   Hawkins Inc.    88,082     3,582
   Koppers Holdings Inc.    97,398     3,496
 * TimkenSteel Corp.   184,261     3,370
   Haynes International Inc.    58,152     3,181
 * Clearwater Paper Corp.    77,967     3,009
 * Century Aluminum Co.   239,168     2,887
   American Vanguard Corp.   129,475     2,702
 * Rayonier Advanced Materials Inc.   298,682     2,449
   Olympic Steel Inc.    44,800     2,352
   Mercer International Inc.   188,562     2,033
   Tredegar Corp.   116,865     1,358
   FutureFuel Corp.   119,338     1,044
                       259,805
Real Estate (6.9%)
   Essential Properties Realty Trust Inc.   664,049    17,106
   LXP Industrial Trust 1,286,046    13,413
   Outfront Media Inc.   681,512    11,892
   Innovative Industrial Properties Inc.   130,525    11,540
   SITE Centers Corp.   862,645    11,534
   Four Corners Property Trust Inc.   391,544    10,630
   Sunstone Hotel Investors Inc.   981,965    10,379
 * Cushman & Wakefield plc   761,283     9,851
   Tanger Factory Outlet Centers Inc.   486,007     9,181
   CareTrust REIT Inc.   453,031     8,911
   DiamondRock Hospitality Co.   975,138     8,503
   Service Properties Trust   770,584     8,461
   Urban Edge Properties   548,323     8,444
   Retail Opportunity Investments Corp.   581,480     8,275
          Shares Market
Value•

($000)
   Elme Communities   407,613     7,586
   Xenia Hotels & Resorts Inc.   530,228     7,444
   Global Net Lease Inc.   483,440     6,826
   Getty Realty Corp.   198,112     6,801
   LTC Properties Inc.   189,257     6,779
   St. Joe Co.   157,467     6,744
   Acadia Realty Trust   442,198     6,443
   Easterly Government Properties Inc. Class A   422,634     6,382
   Alexander & Baldwin Inc.   337,954     6,310
   American Assets Trust Inc.   242,456     6,117
   Uniti Group Inc. 1,104,565     6,064
 * Veris Residential Inc.   369,022     5,956
   Hudson Pacific Properties Inc.   597,078     5,511
   NexPoint Residential Trust Inc.   105,975     5,132
   Brandywine Realty Trust   798,667     4,704
   Centerspace    70,162     4,393
   RPT Realty   397,057     4,256
   Community Healthcare Trust Inc.   109,748     4,252
   Armada Hoffler Properties Inc.   315,593     4,046
   Marcus & Millichap Inc.   115,299     3,963
   Office Properties Income Trust   226,941     3,731
   Summit Hotel Properties Inc.   499,333     3,695
   Safehold Inc.   112,942     3,375
   Universal Health Realty Income Trust    59,435     3,151
   iStar Inc.   403,635     3,108
 * Anywhere Real Estate Inc.   509,399     2,949
   Chatham Lodging Trust   227,746     2,781
   Urstadt Biddle Properties Inc. Class A   139,167     2,408
   Saul Centers Inc.    60,238     2,369
   Orion Office REIT Inc.   264,645     2,265
   Whitestone REIT   216,623     2,047
   RE/MAX Holdings Inc. Class A    85,289     1,577
   Douglas Elliman Inc.   314,392     1,327
   Hersha Hospitality Trust Class A   154,557     1,292
   Industrial Logistics Properties Trust   307,243     1,260
   Franklin Street Properties Corp.   432,196     1,046
                       302,210
Utilities (2.2%)
   American States Water Co.   172,258    15,383
   California Water Service Group   255,510    14,625
   Avista Corp.   344,074    14,148
   Otter Tail Corp.   193,539    13,720
 
10

 

S&P Small-Cap 600 Index Fund
          Shares Market
Value•

($000)
   Chesapeake Utilities Corp.    82,809    10,607
   SJW Group   124,942     9,551
   Northwest Natural Holding Co.   163,452     7,901
   Middlesex Water Co.    82,295     6,296
   Unitil Corp.    74,686     4,057
                        96,288
Total Common Stocks
(Cost $4,225,928) 		4,362,705
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
3,4 Vanguard Market Liquidity Fund, 4.640%
(Cost $6,377) 		   63,790          6,379
Total Investments (100.0%)
(Cost $4,232,305) 		  4,369,084
Other Assets and Liabilities—Net (0.0%)   (1,907)
Net Assets (100%)   4,367,177
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,947,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $6,366,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index March 2023 39 3,703 (70)
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

S&P Small-Cap 600 Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,225,928) 4,362,705
Affiliated Issuers (Cost $6,377) 6,379
Total Investments in Securities 4,369,084
Investment in Vanguard 155
Cash 2,027
Cash Collateral Pledged—Futures Contracts 230
Receivables for Investment Securities Sold 11,945
Receivables for Accrued Income 3,195
Receivables for Capital Shares Issued 1,267
Variation Margin Receivable—Futures Contracts —
Total Assets 4,387,903
Liabilities  
Payables for Investment Securities Purchased 14,114
Collateral for Securities on Loan 6,366
Payables for Capital Shares Redeemed 103
Payables to Vanguard 143
Total Liabilities 20,726
Net Assets 4,367,177
1 Includes $5,947,000 of securities on loan.  
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 4,404,500
Total Distributable Earnings (Loss) (37,323)
Net Assets 4,367,177
 
ETF Shares—Net Assets2  
Applicable to 25,250,074 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,367,265
Net Asset Value Per Share—ETF Shares $93.75
 
Institutional Shares—Net Assets  
Applicable to 5,302,765 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,999,912
Net Asset Value Per Share—Institutional Shares $377.15
2 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

S&P Small-Cap 600 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends1 30,794
Interest2 33
Securities Lending—Net 223
Total Income 31,050
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 48
Management and Administrative—ETF Shares 887
Management and Administrative—Institutional Shares 652
Marketing and Distribution—ETF Shares 63
Marketing and Distribution—Institutional Shares 36
Custodian Fees 87
Shareholders’ Reports—ETF Shares 41
Shareholders’ Reports—Institutional Shares 19
Trustees’ Fees and Expenses 1
Other Expenses 6
Total Expenses 1,840
Net Investment Income 29,210
Realized Net Gain (Loss)  
Investment Securities Sold2,3 10,252
Futures Contracts (142)
Realized Net Gain (Loss) 10,110
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 218,789
Futures Contracts 171
Change in Unrealized Appreciation (Depreciation) 218,960
Net Increase (Decrease) in Net Assets Resulting from Operations 258,280
1 Dividends are net of foreign withholding taxes of $32,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $94,986,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 29,210   51,655
Realized Net Gain (Loss) 10,110   269,098
Change in Unrealized Appreciation (Depreciation) 218,960   (812,390)
Net Increase (Decrease) in Net Assets Resulting from Operations 258,280   (491,637)
Distributions      
ETF Shares (32,040)   (22,040)
Institutional Shares (27,853)   (23,304)
Total Distributions (59,893)   (45,344)
Capital Share Transactions      
ETF Shares 231,898   476,073
Institutional Shares (86,403)   426,601
Net Increase (Decrease) from Capital Share Transactions 145,495   902,674
Total Increase (Decrease) 343,882   365,693
Net Assets      
Beginning of Period 4,023,295   3,657,602
End of Period 4,367,177   4,023,295
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $89.49 $103.20 $67.80 $69.05 $82.34 $62.92
Investment Operations            
Net Investment Income2 .631 1.273 1.143 .973 .971 .892
Net Realized and Unrealized Gain (Loss) on Investments 4.940 (13.765) 35.170 (1.180) (13.429) 19.299
Total from Investment Operations 5.571 (12.492) 36.313 (.207) (12.458) 20.191
Distributions            
Dividends from Net Investment Income (1.311) (1.218) (.913) (1.043) (.832) (.771)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.311) (1.218) (.913) (1.043) (.832) (.771)
Net Asset Value, End of Period $93.75 $89.49 $103.20 $67.80 $69.05 $82.34
Total Return 6.36% -12.26% 53.88% -0.43% -15.09% 32.32%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,367 $2,027 $1,806 $987 $991 $1,107
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3 0.10% 0.10% 0.10% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.49% 1.31% 1.25% 1.46% 1.36% 1.23%
Portfolio Turnover Rate4 8% 12% 18% 15% 9% 13%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from was 0.10%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $360.00 $415.16 $272.71 $277.68 $331.26 $252.98
Investment Operations            
Net Investment Income1 2.606 5.226 4.566 3.951 3.941 3.769
Net Realized and Unrealized Gain (Loss) on Investments 19.856 (55.426) 141.589 (4.694) (54.011) 77.632
Total from Investment Operations 22.462 (50.200) 146.155 (.743) (50.070) 81.401
Distributions            
Dividends from Net Investment Income (5.312) (4.960) (3.705) (4.227) (3.510) (3.121)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (5.312) (4.960) (3.705) (4.227) (3.510) (3.121)
Net Asset Value, End of Period $377.15 $360.00 $415.16 $272.71 $277.68 $331.26
Total Return 6.38% -12.21% 53.93% -0.41% -15.09% 32.39%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,000 $1,996 $1,852 $1,377 $1,186 $1,019
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.53% 1.34% 1.26% 1.47% 1.38% 1.30%
Portfolio Turnover Rate3 8% 12% 18% 15% 9% 13%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from was 0.08%.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
16

 

S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
17

 

S&P Small-Cap 600 Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the
18

 

S&P Small-Cap 600 Index Fund
higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $155,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
19

 

S&P Small-Cap 600 Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 4,362,705 — — 4,362,705
Temporary Cash Investments 6,379 — — 6,379
Total 4,369,084 — — 4,369,084
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 70 — — 70
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 4,245,442
Gross Unrealized Appreciation 707,072
Gross Unrealized Depreciation (583,500)
Net Unrealized Appreciation (Depreciation) 123,572
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $156,818,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 28, 2023, the fund purchased $722,534,000 of investment securities and sold $596,029,000 of investment securities, other than temporary cash investments. Purchases and sales include $369,549,000 and $277,435,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $33,680,000 and sales were $34,047,000, resulting in net realized loss of $5,323,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
20

 

S&P Small-Cap 600 Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 524,269 5,850   1,313,147 13,800
Issued in Lieu of Cash Distributions — —   — —
Redeemed (292,371) (3,250)   (837,074) (8,650)
Net Increase (Decrease)—ETF Shares 231,898 2,600   476,073 5,150
Institutional Shares          
Issued 96,210 266   614,744 1,573
Issued in Lieu of Cash Distributions 24,779 72   20,984 53
Redeemed (207,392) (580)   (209,127) (541)
Net Increase (Decrease)—Institutional Shares (86,403) (242)   426,601 1,085
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
21

 

S&P Small-Cap 600 Value Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 2.6%
Consumer Discretionary 18.6
Consumer Staples 4.5
Energy 3.8
Financials 19.1
Health Care 8.3
Industrials 16.5
Information Technology 8.6
Materials 5.5
Real Estate 10.7
Utilities 1.8
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
22

 

S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.9%)
Communication Services (2.6%)
 * Cinemark Holdings Inc.   336,313     4,577
   Scholastic Corp.    92,986     4,241
   Telephone & Data Systems Inc.   313,382     3,977
   Cogent Communications Holdings Inc.    55,004     3,561
   Shenandoah Telecommunications Co.   157,015     3,065
   Shutterstock Inc.    39,133     2,944
 * Yelp Inc. Class A    91,544     2,748
 * Thryv Holdings Inc.    96,395     2,298
 * EW Scripps Co. Class A   181,620     2,292
 * AMC Networks Inc. Class A    88,115     1,970
 * Gannett Co. Inc.   458,588     1,389
 * QuinStreet Inc.    75,679     1,284
 1 Marcus Corp.    76,880     1,237
 * Gogo Inc.    70,945     1,168
 * Consolidated Communications Holdings Inc.   232,919       706
                        37,457
Consumer Discretionary (18.6%)
 * Meritage Homes Corp.   114,608    12,519
   Signet Jewelers Ltd.   144,933    10,380
   Group 1 Automotive Inc.    45,691    10,101
 * Asbury Automotive Group Inc.    38,146     8,663
   Steven Madden Ltd.   229,464     8,330
   Kontoor Brands Inc.   154,698     8,067
   American Eagle Outfitters Inc.   546,026     7,846
   Academy Sports & Outdoors Inc.   132,432     7,833
 * Sonos Inc.   398,848     7,750
 * Tri Pointe Homes Inc.   316,284     7,540
 * LGI Homes Inc.    64,248     6,702
   MDC Holdings Inc.   178,726     6,613
 * ODP Corp.   126,327     5,720
   Cheesecake Factory Inc.   149,853     5,610
          Shares Market
Value•

($000)
 * Sally Beauty Holdings Inc.   335,418     5,397
   Century Communities Inc.    88,631     5,301
 * Brinker International Inc.   137,983     5,243
 * Urban Outfitters Inc.   187,803     5,061
 * M/I Homes Inc.    85,973     4,973
   Monro Inc.    98,603     4,973
   Patrick Industries Inc.    67,519     4,919
 * Abercrombie & Fitch Co. Class A   155,143     4,563
   LCI Industries    39,889     4,500
   La-Z-Boy Inc.   134,661     4,360
   Upbound Group Inc.   157,204     4,221
   Wolverine World Wide Inc.   247,223     4,141
 * National Vision Holdings Inc.   104,030     3,887
 * iRobot Corp.    85,223     3,502
 * Six Flags Entertainment Corp.   132,445     3,497
 * Frontdoor Inc.   122,746     3,468
   Winnebago Industries Inc.    51,527     3,275
 * American Axle & Manufacturing Holdings Inc.   359,572     3,164
 * Shake Shack Inc. Class A    55,043     3,071
   Bloomin' Brands Inc.   115,805     3,022
   Caleres Inc.   114,542     2,991
   Sonic Automotive Inc. Class A    52,427     2,983
   Installed Building Products Inc.    25,010     2,886
 * Boot Barn Holdings Inc.    36,411     2,820
 * Vista Outdoor Inc.    97,575     2,787
 * Sleep Number Corp.    68,756     2,741
 * Gentherm Inc.    40,596     2,578
   Strategic Education Inc.    29,996     2,557
 * BJ's Restaurants Inc.    73,120     2,340
 * Dave & Buster's Entertainment Inc.    57,733     2,310
   Standard Motor Products Inc.    58,634     2,285
 * MarineMax Inc.    67,529     2,268
 * Chico's FAS Inc.   390,982     2,248
 * G-III Apparel Group Ltd.   133,612     2,220
23

 

S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
 * Leslie's Inc.   162,199     2,045
   Guess? Inc.    95,408     2,007
 * Genesco Inc.    38,975     1,753
   Movado Group Inc.    49,613     1,718
 * Children's Place Inc.    40,676     1,703
   Oxford Industries Inc.    14,020     1,649
   Designer Brands Inc. Class A   158,912     1,556
 * America's Car-Mart Inc.    18,231     1,549
   Dine Brands Global Inc.    19,577     1,501
   Shoe Carnival Inc.    53,451     1,408
   Aaron's Co. Inc.    96,853     1,390
   Hibbett Inc.    18,790     1,352
   Big Lots Inc.    90,301     1,296
   Sturm Ruger & Co. Inc.    21,518     1,254
   PetMed Express Inc.    66,424     1,247
   Buckle Inc.    28,609     1,167
 * Zumiez Inc.    49,076     1,141
 * Mister Car Wash Inc.   120,969     1,117
 * Golden Entertainment Inc.    26,929     1,107
 * Perdoceo Education Corp.    77,648     1,070
 * Chuy's Holdings Inc.    25,873       925
   Ruth's Hospitality Group Inc.    45,392       847
 * Motorcar Parts of America Inc.    61,036       799
   Haverty Furniture Cos. Inc.    20,171       761
   El Pollo Loco Holdings Inc.    61,829       740
 * WW International Inc.   168,391       616
 * Universal Electronics Inc.    37,916       482
*,1 Bed Bath & Beyond Inc.   147,811       208
                       268,634
Consumer Staples (4.5%)
 * United Natural Foods Inc.   182,781     7,445
   Nu Skin Enterprises Inc. Class A   154,880     6,170
   PriceSmart Inc.    78,475     5,471
 * Hain Celestial Group Inc.   280,016     4,993
 * TreeHouse Foods Inc.    83,699     4,084
   Universal Corp.    77,086     3,900
   Edgewell Personal Care Co.    84,446     3,606
   Vector Group Ltd.   230,862     3,063
   Fresh Del Monte Produce Inc.    95,950     3,001
   SpartanNash Co.   110,360     2,953
   B&G Foods Inc.   225,110     2,852
 * Central Garden & Pet Co. Class A    67,906     2,610
   WD-40 Co.    14,869     2,579
   Andersons Inc.    54,511     2,487
 * USANA Health Sciences Inc.    34,887     2,120
   Calavo Growers Inc.    55,428     1,789
 * Chefs' Warehouse Inc.    40,493     1,318
 * National Beverage Corp.    23,303     1,087
          Shares Market
Value•

($000)
   John B Sanfilippo & Son Inc.    10,890       978
 * Seneca Foods Corp. Class A    16,708       929
 * Central Garden & Pet Co.    15,699       636
                        64,071
Energy (3.8%)
 * Green Plains Inc.   185,837     6,443
   Helmerich & Payne Inc.   138,563     5,831
   World Fuel Services Corp.   194,031     5,326
 * Par Pacific Holdings Inc.   173,966     4,833
   Archrock Inc.   419,520     4,644
 * Helix Energy Solutions Group Inc.   446,495     3,697
 * Callon Petroleum Co.    80,028     3,102
   Patterson-UTI Energy Inc.   218,011     2,987
 * ProPetro Holding Corp.   301,063     2,652
 * Bristow Group Inc. Class A    73,597     2,005
 * Oceaneering International Inc.    87,881     1,836
 * Oil States International Inc.   200,851     1,834
   Core Laboratories NV    75,889     1,812
 * Dril-Quip Inc.    49,873     1,708
 * Talos Energy Inc.    93,898     1,672
 * DMC Global Inc.    58,175     1,557
 * Nabors Industries Ltd.     8,962     1,347
 * US Silica Holdings Inc.    99,457     1,207
                        54,493
Financials (19.0%)
 * Genworth Financial Inc. Class A 1,555,250     9,689
   Pacific Premier Bancorp Inc.   297,864     9,657
   WSFS Financial Corp.   193,021     9,634
   Simmons First National Corp. Class A   398,023     8,848
   BankUnited Inc.   242,195     8,579
   Walker & Dunlop Inc.    96,251     8,396
   Independent Bank Group Inc.   111,066     6,537
   Bread Financial Holdings Inc.   156,254     6,417
   Renasant Corp.   175,350     6,309
   Assured Guaranty Ltd.    92,078     5,747
   Provident Financial Services Inc.   235,931     5,509
   Independent Bank Corp.    68,682     5,473
   First Hawaiian Inc.   192,098     5,254
 * PRA Group Inc.   122,170     5,200
   Two Harbors Investment Corp.   301,147     4,990
 * Enova International Inc.    98,656     4,809
   Hope Bancorp Inc.   374,601     4,799
   Hilltop Holdings Inc.   143,823     4,771
   Horace Mann Educators Corp.   128,279     4,741
 
24

 

S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
   Apollo Commercial Real Estate Finance Inc.   405,215     4,656
   Community Bank System Inc.    72,506     4,427
   Eagle Bancorp Inc.   100,068     4,384
   American Equity Investment Life Holding Co.   104,511     4,353
 * PROG Holdings Inc.   156,891     3,878
   United Community Banks Inc.   116,678     3,863
   Ameris Bancorp    79,825     3,821
 * Encore Capital Group Inc.    73,166     3,781
 * Axos Financial Inc.    76,890     3,644
   Seacoast Banking Corp. of Florida   119,318     3,640
   PennyMac Mortgage Investment Trust   279,059     3,636
   Stewart Information Services Corp.    85,183     3,619
   Franklin BSP Realty Trust Inc.   258,143     3,617
   Brookline Bancorp Inc.   275,898     3,576
   Ready Capital Corp.   307,562     3,463
   Capitol Federal Financial Inc.   404,886     3,397
   ProAssurance Corp.   169,248     3,366
   First Financial Bancorp   133,541     3,290
   New York Mortgage Trust Inc. 1,165,096     3,111
   Banc of California Inc.   175,221     3,075
 * NMI Holdings Inc. Class A   128,128     2,991
   Mercury General Corp.    83,385     2,839
   James River Group Holdings Ltd.   117,138     2,823
 * Green Dot Corp. Class A   147,026     2,783
   Redwood Trust Inc.   355,459     2,705
   Northwest Bancshares Inc.   190,891     2,638
   KKR Real Estate Finance Trust Inc.   179,273     2,599
 * Ambac Financial Group Inc.   140,713     2,329
   Ellington Financial Inc.   179,111     2,305
   Veritex Holdings Inc.    86,434     2,304
   Virtus Investment Partners Inc.    10,467     2,203
   First Commonwealth Financial Corp.   131,337     2,103
   FB Financial Corp.    55,065     2,075
   United Fire Group Inc.    67,713     1,933
   Central Pacific Financial Corp.    85,293     1,913
 * SiriusPoint Ltd.   265,215     1,883
   First Bancorp    44,715     1,855
   Employers Holdings Inc.    41,701     1,852
   Trustmark Corp.    59,057     1,736
   Berkshire Hills Bancorp Inc.    59,157     1,719
          Shares Market
Value•

($000)
 * Triumph Financial Inc.    27,579     1,678
   Universal Insurance Holdings Inc.    86,118     1,665
 * Donnelley Financial Solutions Inc.    39,072     1,653
   National Bank Holdings Corp. Class A    40,018     1,620
   Safety Insurance Group Inc.    19,788     1,597
   Southside Bancshares Inc.    40,286     1,539
 * EZCORP Inc. Class A   167,486     1,477
 * Customers Bancorp Inc.    47,714     1,470
   AMERISAFE Inc.    26,934     1,469
   S&T Bancorp Inc.    37,779     1,408
   HomeStreet Inc.    55,538     1,401
   Pathward Financial Inc.    25,173     1,284
   Brightsphere Investment Group Inc.    48,432     1,214
 1 HCI Group Inc.    21,602     1,134
 * LendingTree Inc.    33,966     1,119
   Tompkins Financial Corp.    14,176     1,060
 1 B. Riley Financial Inc.    25,486     1,014
   Granite Point Mortgage Trust Inc.   164,663       986
 * World Acceptance Corp.    10,326       964
   WisdomTree Inc.   154,184       920
   Northfield Bancorp Inc.    61,009       897
   Invesco Mortgage Capital Inc.    60,546       759
   TrustCo Bank Corp.    20,214       757
   Columbia Banking System Inc.       355        11
                       274,640
Health Care (8.3%)
   Select Medical Holdings Corp.   326,356     8,874
 * Integer Holdings Corp.   103,848     7,786
 * NuVasive Inc.   163,436     7,065
 * NeoGenomics Inc.   395,859     6,670
 * Myriad Genetics Inc.   254,121     4,808
   CONMED Corp.    48,760     4,690
 * Apollo Medical Holdings Inc.   124,567     4,347
 * Avanos Medical Inc.   145,934     4,096
 * Pediatrix Medical Group Inc.   256,265     4,034
 * ModivCare Inc.    39,792     3,907
 * Owens & Minor Inc.   239,006     3,664
 * RadNet Inc.   152,649     3,600
   Embecta Corp.    95,858     3,063
 * Prestige Consumer Healthcare Inc.    46,509     2,802
 * Heska Corp.    31,916     2,599
 * Cardiovascular Systems Inc.   131,345     2,589
 * Community Health Systems Inc.   393,491     2,384
 
25

 

S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
 * Enhabit Inc.   155,121     2,381
 * Glaukos Corp.    49,246     2,326
 * Varex Imaging Corp.   125,149     2,214
 * Orthofix Medical Inc.   105,613     2,176
 * Vericel Corp.    63,398     1,928
 * CorVel Corp.    10,078     1,817
 * Enanta Pharmaceuticals Inc.    37,320     1,810
 * Ironwood Pharmaceuticals Inc. Class A   155,233     1,749
 * Emergent BioSolutions Inc.   138,639     1,716
 * Artivion Inc.   125,954     1,668
 * Ligand Pharmaceuticals Inc.    23,048     1,663
   US Physical Therapy Inc.    15,854     1,606
 * AngioDynamics Inc.   122,105     1,512
 * OraSure Technologies Inc.   228,464     1,442
 * Pennant Group Inc.    88,422     1,328
 * Vanda Pharmaceuticals Inc.   177,437     1,143
 * Inogen Inc.    71,539     1,121
 * Fulgent Genetics Inc.    33,874     1,111
 * Agiliti Inc.    57,248     1,091
   Mesa Laboratories Inc.     5,932     1,047
   Phibro Animal Health Corp. Class A    64,012     1,006
 * Avid Bioservices Inc.    60,176       990
   LeMaitre Vascular Inc.    18,736       939
 * ANI Pharmaceuticals Inc.    18,457       772
 * Zimvie Inc.    65,549       746
 * HealthStream Inc.    27,482       705
 * Anika Therapeutics Inc.    22,120       701
 * Coherus Biosciences Inc.    98,762       669
   Simulations Plus Inc.    16,707       635
 * Computer Programs & Systems Inc.    20,779       624
 * Organogenesis Holdings Inc. Class A   220,725       541
 * Cutera Inc.    16,058       521
 * Surmodics Inc.    20,679       452
 * Nektar Therapeutics Class A   303,255       418
 * OptimizeRx Corp.    22,501       402
 * Eagle Pharmaceuticals Inc.    10,865       304
*,2 Lantheus Holdings Inc. CVR    75,410        —
                       120,252
Industrials (16.5%)
   John Bean Technologies Corp.    99,854    11,073
   ABM Industries Inc.   207,302    10,035
 * Resideo Technologies Inc.   457,184     8,385
 * GMS Inc.   132,893     8,068
 * RXO Inc.   360,758     7,421
   ArcBest Corp.    76,528     7,362
   Barnes Group Inc.   158,478     6,678
          Shares Market
Value•

($000)
   Veritiv Corp.    42,257     6,399
   Granite Construction Inc.   137,030     5,920
 * AAR Corp.   104,456     5,681
   MillerKnoll Inc.   236,844     5,653
 * Gibraltar Industries Inc.    97,096     5,186
 * Hub Group Inc. Class A    56,283     5,163
   Exponent Inc.    49,226     5,065
 * Allegiant Travel Co.    49,044     5,029
 * KAR Auction Services Inc.   341,468     4,880
   Korn Ferry    87,051     4,865
 * Atlas Air Worldwide Holdings Inc.    44,469     4,483
 * NOW Inc.   346,353     4,451
   Tennant Co.    58,360     4,133
   HNI Corp.   129,425     4,045
 * 3D Systems Corp.   411,228     4,026
 * Masterbrand Inc.   404,609     3,941
 * SPX Technologies Inc.    53,898     3,797
   UniFirst Corp.    19,344     3,794
   Matthews International Corp. Class A    95,805     3,656
 * CoreCivic Inc.   359,775     3,493
   Moog Inc. Class A    35,330     3,484
 * GEO Group Inc.   389,791     3,415
   Greenbrier Cos. Inc.   102,641     3,296
   Astec Industries Inc.    71,121     3,203
   AZZ Inc.    77,770     3,161
 * MYR Group Inc.    26,019     3,138
   Arcosa Inc.    51,472     3,119
   Healthcare Services Group Inc.   232,268     3,082
 * SkyWest Inc.   158,385     3,020
   Trinity Industries Inc.   104,619     2,920
   Brady Corp. Class A    51,002     2,813
 * Proto Labs Inc.    85,184     2,678
 * American Woodmark Corp.    52,050     2,654
 * Triumph Group Inc.   203,782     2,572
   Deluxe Corp.   134,855     2,487
   ESCO Technologies Inc.    25,873     2,411
   Kaman Corp.    87,588     2,277
   Pitney Bowes Inc.   505,950     2,196
   Heidrick & Struggles International Inc.    62,492     2,145
 * Harsco Corp.   249,853     2,114
 * TrueBlue Inc.   102,495     1,917
 * CIRCOR International Inc.    63,574     1,861
   Resources Connection Inc.   100,227     1,810
   Kelly Services Inc. Class A   108,130     1,809
 * Hawaiian Holdings Inc.   160,802     1,801
   Wabash National Corp.    62,948     1,725
 * Viad Corp.    64,762     1,665
   Enerpac Tool Group Corp. Class A    60,445     1,628
   Interface Inc. Class A   182,796     1,612
   Alamo Group Inc.     8,685     1,584
 * DXP Enterprises Inc.    49,602     1,434
 
26

 

S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
   Standex International Corp.    11,983     1,386
   Apogee Enterprises Inc.    29,843     1,366
   Powell Industries Inc.    28,537     1,266
   Quanex Building Products Corp.    44,549     1,156
 * Forrester Research Inc.    35,093     1,154
   National Presto Industries Inc.    16,011     1,099
   Insteel Industries Inc.    32,845       977
   Heartland Express Inc.    51,013       823
 * Liquidity Services Inc.    37,999       481
   Park Aerospace Corp.    28,818       473
                       237,894
Information Technology (8.6%)
 * Insight Enterprises Inc.    94,954    12,716
 * Rogers Corp.    58,960     8,679
 * Itron Inc.   141,586     7,896
 * FormFactor Inc.   241,419     7,267
 * Semtech Corp.   199,121     6,135
 * Sanmina Corp.    97,168     5,875
 * Knowles Corp.   285,169     4,842
 * TTM Technologies Inc.   320,524     4,260
 * Viavi Solutions Inc.   339,887     3,718
 * Cerence Inc.   123,288     3,376
 * Perficient Inc.    46,684     3,305
   Adeia Inc.   328,006     3,234
 * Sabre Corp.   638,872     3,233
 * Ichor Holdings Ltd.    90,178     2,971
   Methode Electronics Inc.    54,892     2,675
   EVERTEC Inc.    71,411     2,629
   Benchmark Electronics Inc.   110,254     2,623
 * SMART Global Holdings Inc.   152,282     2,543
 * ScanSource Inc.    79,383     2,475
 * ePlus Inc.    43,988     2,383
 * OSI Systems Inc.    24,015     2,223
 * LiveRamp Holdings Inc.    93,916     2,219
 * Payoneer Global Inc.   357,186     2,072
 * Ultra Clean Holdings Inc.    64,272     2,048
 * Cohu Inc.    50,617     1,883
 * NETGEAR Inc.    90,364     1,636
 * FARO Technologies Inc.    58,990     1,604
   PC Connection Inc.    35,308     1,546
 * Xperi Inc.   132,043     1,544
   Comtech Telecommunications Corp.    87,028     1,392
   Ebix Inc.    73,274     1,273
 * Avid Technology Inc.    42,686     1,240
   ADTRAN Holdings Inc.    68,396     1,193
   TTEC Holdings Inc.    29,488     1,187
 * Digital Turbine Inc.   101,280     1,088
 * LivePerson Inc.   105,296     1,066
 * Unisys Corp.   212,702     1,059
 * 8x8 Inc.   188,310     1,002
 * Corsair Gaming Inc.    53,322       933
          Shares Market
Value•

($000)
 * CEVA Inc.    28,239       891
 * OneSpan Inc.    56,625       766
 * Consensus Cloud Solutions Inc.    17,663       725
 * Arlo Technologies Inc.   139,093       528
 * BM Technologies Inc.     1,309         4
                       123,957
Materials (5.5%)
 * Arconic Corp.   317,990     8,408
   Carpenter Technology Corp.   151,772     7,335
 * ATI Inc.   154,042     6,262
   Minerals Technologies Inc.   101,687     6,178
 * O-I Glass Inc.   262,473     5,832
   Mativ Holdings Inc.   172,359     4,466
   HB Fuller Co.    60,251     4,203
   Compass Minerals International Inc.   106,773     4,114
   AdvanSix Inc.    86,274     3,550
   Materion Corp.    27,617     3,084
   Warrior Met Coal Inc.    71,428     2,734
   Trinseo plc   109,896     2,547
   SunCoke Energy Inc.   260,578     2,478
   Stepan Co.    23,110     2,406
   Koppers Holdings Inc.    65,335     2,345
   Sylvamo Corp.    44,588     2,200
 * Clearwater Paper Corp.    52,352     2,020
 * Century Aluminum Co.   160,188     1,933
 * Rayonier Advanced Materials Inc.   199,808     1,638
   Olympic Steel Inc.    30,052     1,578
 * TimkenSteel Corp.    70,525     1,290
   Tredegar Corp.    79,373       922
   Mercer International Inc.    71,812       774
   Haynes International Inc.    12,981       710
   FutureFuel Corp.    35,540       311
                        79,318
Real Estate (10.7%)
   Essential Properties Realty Trust Inc.   446,094    11,491
   LXP Industrial Trust   864,032     9,012
   Outfront Media Inc.   457,890     7,990
   SITE Centers Corp.   579,362     7,746
   Sunstone Hotel Investors Inc.   659,323     6,969
 * Cushman & Wakefield plc   509,720     6,596
   DiamondRock Hospitality Co.   656,134     5,721
   Service Properties Trust   518,769     5,696
   Retail Opportunity Investments Corp.   390,309     5,554
   Elme Communities   274,407     5,107
   Xenia Hotels & Resorts Inc.   356,886     5,011
   Global Net Lease Inc.   325,490     4,596
   Acadia Realty Trust   297,020     4,328
 
27

 

S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
   Easterly Government Properties Inc. Class A   284,830     4,301
   Alexander & Baldwin Inc.   227,657     4,250
   American Assets Trust Inc.   163,353     4,121
   Hudson Pacific Properties Inc.   401,096     3,702
   Brandywine Realty Trust   536,480     3,160
   Centerspace    47,248     2,958
   RPT Realty   267,207     2,864
   Tanger Factory Outlet Centers Inc.   147,126     2,779
   Urban Edge Properties   179,987     2,772
   Office Properties Income Trust   151,823     2,496
   Summit Hotel Properties Inc.   334,147     2,473
   Four Corners Property Trust Inc.    86,735     2,355
   Safehold Inc.    76,078     2,273
   CareTrust REIT Inc.   115,345     2,269
   Uniti Group Inc.   407,812     2,239
   iStar Inc.   271,587     2,091
 * Anywhere Real Estate Inc.   342,116     1,981
   Chatham Lodging Trust   152,556     1,863
 * Veris Residential Inc.   108,987     1,759
   Getty Realty Corp.    47,982     1,647
   NexPoint Residential Trust Inc.    33,367     1,616
   LTC Properties Inc.    44,382     1,590
   Orion Office REIT Inc.   176,848     1,514
   Whitestone REIT   144,796     1,368
   Community Healthcare Trust Inc.    29,624     1,148
   RE/MAX Holdings Inc. Class A    56,813     1,050
   Armada Hoffler Properties Inc.    74,732       958
   Douglas Elliman Inc.   210,557       889
   Hersha Hospitality Trust Class A   103,926       869
   Industrial Logistics Properties Trust   205,697       843
   Universal Health Realty Income Trust    14,028       744
   Franklin Street Properties Corp.   290,434       703
          Shares Market
Value•

($000)
   Urstadt Biddle Properties Inc. Class A    40,572       702
   Saul Centers Inc.    17,445       686
   Agree Realty Corp.       257        18
                       154,868
Utilities (1.8%)
   Avista Corp.   231,215     9,508
   California Water Service Group    65,184     3,731
   Otter Tail Corp.    50,889     3,608
   American States Water Co.    35,872     3,203
   Chesapeake Utilities Corp.    18,320     2,347
   Northwest Natural Holding Co.    39,474     1,908
   Middlesex Water Co.    20,004     1,530
                        25,835
Total Common Stocks
(Cost $1,451,539) 		1,441,419
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
3,4 Vanguard Market Liquidity Fund, 4.640%
(Cost $3,399) 		   33,993          3,399
Total Investments (100.1%)
(Cost $1,454,938) 		  1,444,818
Other Assets and Liabilities—Net (-0.1%)   (1,239)
Net Assets (100%)   1,443,579
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,825,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $1,947,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
 
28

 

S&P Small-Cap 600 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index March 2023 25 2,374 25
  
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $1,451,539) 1,441,419
Affiliated Issuers (Cost $3,399) 3,399
Total Investments in Securities 1,444,818
Investment in Vanguard 50
Cash 950
Cash Collateral Pledged—Futures Contracts 150
Receivables for Investment Securities Sold 3,500
Receivables for Accrued Income 1,053
Receivables for Capital Shares Issued 14
Variation Margin Receivable—Futures Contracts —
Total Assets 1,450,535
Liabilities  
Payables for Investment Securities Purchased 4,933
Collateral for Securities on Loan 1,947
Payables to Vanguard 76
Total Liabilities 6,956
Net Assets 1,443,579
1 Includes $1,825,000 of securities on loan.  
30

 

S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities (continued)
 
At February 28, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 1,590,816
Total Distributable Earnings (Loss) (147,237)
Net Assets 1,443,579
 
ETF Shares—Net Assets2  
Applicable to 16,000,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,386,178
Net Asset Value Per Share—ETF Shares $86.64
 
Institutional Shares—Net Assets  
Applicable to 158,264 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		57,401
Net Asset Value Per Share—Institutional Shares $362.69
2 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

S&P Small-Cap 600 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends1 10,414
Interest2 13
Securities Lending—Net 129
Total Income 10,556
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 16
Management and Administrative—ETF Shares 811
Management and Administrative—Institutional Shares 18
Marketing and Distribution—ETF Shares 36
Marketing and Distribution—Institutional Shares 1
Custodian Fees 29
Shareholders’ Reports—ETF Shares 33
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 6
Total Expenses 950
Net Investment Income 9,606
Realized Net Gain (Loss)  
Investment Securities Sold2,3 2,976
Futures Contracts (68)
Realized Net Gain (Loss) 2,908
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 93,265
Futures Contracts 120
Change in Unrealized Appreciation (Depreciation) 93,385
Net Increase (Decrease) in Net Assets Resulting from Operations 105,899
1 Dividends are net of foreign withholding taxes of $2,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $11,000, $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $80,520,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 9,606   21,479
Realized Net Gain (Loss) 2,908   135,539
Change in Unrealized Appreciation (Depreciation) 93,385   (276,947)
Net Increase (Decrease) in Net Assets Resulting from Operations 105,899   (119,929)
Distributions      
ETF Shares (14,840)   (20,966)
Institutional Shares (672)   (1,129)
Total Distributions (15,512)   (22,095)
Capital Share Transactions      
ETF Shares 50,434   56,993
Institutional Shares 333   (8,610)
Net Increase (Decrease) from Capital Share Transactions 50,767   48,383
Total Increase (Decrease) 141,154   (93,641)
Net Assets      
Beginning of Period 1,302,425   1,396,066
End of Period 1,443,579   1,302,425
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $80.11 $88.82 $56.26 $61.62 $74.53 $59.12
Investment Operations            
Net Investment Income2 .596 1.372 1.296 1.091 1.071 1.044
Net Realized and Unrealized Gain (Loss) on Investments 6.907 (8.648) 32.307 (5.393) (12.906) 15.296
Total from Investment Operations 7.503 (7.276) 33.603 (4.302) (11.835) 16.340
Distributions            
Dividends from Net Investment Income (.973) (1.434) (1.043) (1.058) (1.075) (.930)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.973) (1.434) (1.043) (1.058) (1.075) (.930)
Net Asset Value, End of Period $86.64 $80.11 $88.82 $56.26 $61.62 $74.53
Total Return 9.53% -8.28% 60.19% -7.08% -15.93% 27.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,386 $1,250 $1,328 $501 $373 $410
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.63% 1.59% 1.61% 1.90% 1.66% 1.54%
Portfolio Turnover Rate3 30% 36% 30% 46% 39% 34%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $335.40 $371.84 $235.47 $257.69 $311.75 $247.26
Investment Operations            
Net Investment Income1 2.662 5.824 5.457 4.805 4.609 4.630
Net Realized and Unrealized Gain (Loss) on Investments 28.819 (36.009) 135.457 (22.489) (53.914) 64.065
Total from Investment Operations 31.481 (30.185) 140.914 (17.684) (49.305) 68.695
Distributions            
Dividends from Net Investment Income (4.191) (6.255) (4.544) (4.536) (4.755) (4.205)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (4.191) (6.255) (4.544) (4.536) (4.755) (4.205)
Net Asset Value, End of Period $362.69 $335.40 $371.84 $235.47 $257.69 $311.75
Total Return 9.59% -8.20% 60.32% -6.94% -15.87% 28.01%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $57 $53 $68 $42 $35 $32
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.73% 1.61% 1.67% 2.00% 1.73% 1.66%
Portfolio Turnover Rate2 30% 36% 30% 46% 39% 34%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
36

 

S&P Small-Cap 600 Value Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the
37

 

S&P Small-Cap 600 Value Index Fund
higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 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 and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $50,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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S&P Small-Cap 600 Value Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 1,441,419 — — 1,441,419
Temporary Cash Investments 3,399 — — 3,399
Total 1,444,818 — — 1,444,818
Derivative Financial Instruments        
Assets        
Futures Contracts1 25 — — 25
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 1,458,938
Gross Unrealized Appreciation 143,525
Gross Unrealized Depreciation (157,620)
Net Unrealized Appreciation (Depreciation) (14,095)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $135,975,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 28, 2023, the fund purchased $847,626,000 of investment securities and sold $800,304,000 of investment securities, other than temporary cash investments. Purchases and sales include $444,826,000 and $406,637,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $178,112,000 and sales were $157,815,000, resulting in net realized loss of $15,721,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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S&P Small-Cap 600 Value Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 460,155 5,600   649,403 7,450
Issued in Lieu of Cash Distributions — —   — —
Redeemed (409,721) (5,200)   (592,410) (6,800)
Net Increase (Decrease)—ETF Shares 50,434 400   56,993 650
Institutional Shares          
Issued 6,402 19   30,070 83
Issued in Lieu of Cash Distributions 572 2   979 3
Redeemed (6,641) (20)   (39,659) (113)
Net Increase (Decrease)—Institutional Shares 333 1   (8,610) (27)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
40

 

S&P Small-Cap 600 Growth Index Fund
Fund Allocation
As of February 28, 2023
Communication Services 1.6%
Consumer Discretionary 8.8
Consumer Staples 5.9
Energy 5.5
Financials 16.3
Health Care 12.8
Industrials 18.4
Information Technology 18.5
Materials 6.4
Real Estate 3.2
Utilities 2.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
41

 

S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value•

($000)
Common Stocks (99.9%)
Communication Services (1.6%)
   Cogent Communications Holdings Inc.  28,305   1,832
 * Yelp Inc. Class A  45,402   1,363
 * Cars.com Inc.  69,569   1,336
 * TechTarget Inc.  30,294   1,143
   Shutterstock Inc.  12,935     973
 * Gogo Inc.  47,374     780
   ATN International Inc.  12,087     508
 * QuinStreet Inc.  29,361     498
                     8,433
Consumer Discretionary (8.8%)
 * Dorman Products Inc.  31,759   2,955
 * Cavco Industries Inc.   9,306   2,652
 * Asbury Automotive Group Inc.  11,188   2,541
   Academy Sports & Outdoors Inc.  42,098   2,490
   Installed Building Products Inc.  17,387   2,006
 * Adtalem Global Education Inc.  50,997   1,995
 * Stride Inc.  45,915   1,950
 * National Vision Holdings Inc.  51,406   1,921
   Jack in the Box Inc.  23,650   1,854
   LCI Industries  14,281   1,611
 * Boot Barn Holdings Inc.  20,425   1,582
   Bloomin' Brands Inc.  57,192   1,493
 * XPEL Inc.  22,022   1,471
 * Gentherm Inc.  22,742   1,444
   Oxford Industries Inc.  11,764   1,384
 * Leslie's Inc. 108,232   1,365
 * Frontdoor Inc.  47,591   1,344
 * Shake Shack Inc. Class A  22,208   1,239
   Strategic Education Inc.  14,246   1,215
   Monarch Casino & Resort Inc.  14,905   1,097
 * Dave & Buster's Entertainment Inc.  26,393   1,056
   Winnebago Industries Inc.  15,752   1,001
 * Green Brick Partners Inc.  30,515     952
          Shares Market
Value•

($000)
 * Six Flags Entertainment Corp.  35,737     943
   Buckle Inc.  22,916     935
 * Vista Outdoor Inc.  28,592     817
   Dine Brands Global Inc.  10,564     810
   Ethan Allen Interiors Inc.  25,627     757
   Sturm Ruger & Co. Inc.  12,115     706
 * Perdoceo Education Corp.  47,567     656
 * Golden Entertainment Inc.  15,084     620
   Hibbett Inc.   7,590     546
*,1 Mister Car Wash Inc.  45,220     417
 * Chuy's Holdings Inc.  10,908     390
   Ruth's Hospitality Group Inc.  17,737     331
   Haverty Furniture Cos. Inc.   7,617     287
*,1 Bed Bath & Beyond Inc.  33,096      47
                    46,880
Consumer Staples (5.9%)
 * elf Beauty Inc.  56,489   4,222
 * Hostess Brands Inc. Class A 150,365   3,714
 * Simply Good Foods Co.  94,503   3,618
   Cal-Maine Foods Inc.  42,633   2,422
   Inter Parfums Inc.  20,050   2,414
   J & J Snack Foods Corp.  16,811   2,374
   MGP Ingredients Inc.  17,291   1,754
   WD-40 Co.   9,912   1,719
   Medifast Inc.  12,273   1,376
 * TreeHouse Foods Inc.  26,640   1,300
   Edgewell Personal Care Co.  27,940   1,193
   Tootsie Roll Industries Inc.  19,904     876
   Vector Group Ltd.  65,016     863
 * Central Garden & Pet Co. Class A  22,266     856
 * National Beverage Corp.  17,819     831
 * Chefs' Warehouse Inc.  23,713     772
   Andersons Inc.  15,422     704
   John B Sanfilippo & Son Inc.   6,146     552
 * Central Garden & Pet Co.   5,310     215
                    31,775
Energy (5.5%)
   Civitas Resources Inc.  58,303   4,091
   SM Energy Co. 137,911   4,070
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S&P Small-Cap 600 Growth Index Fund
          Shares Market
Value•

($000)
   Helmerich & Payne Inc.  68,564   2,885
   Northern Oil & Gas Inc.  76,088   2,362
   Patterson-UTI Energy Inc. 165,533   2,268
   CONSOL Energy Inc.  36,815   2,015
 * Oceaneering International Inc.  81,038   1,693
   Comstock Resources Inc. 102,387   1,243
 * Callon Petroleum Co.  28,711   1,113
 * Nabors Industries Ltd.   6,826   1,026
 * Vital Energy Inc.  18,882     970
   Ranger Oil Corp.  21,466     891
   RPC Inc.  93,362     819
   Dorian LPG Ltd.  35,791     786
 * Talos Energy Inc.  39,611     705
 * Dril-Quip Inc.  20,251     693
 * US Silica Holdings Inc.  49,513     601
   Core Laboratories NV  25,100     599
 * REX American Resources Corp.  17,508     578
                    29,408
Financials (16.3%)
   ServisFirst Bancshares Inc.  54,914   4,061
 * Mr Cooper Group Inc.  79,264   3,680
   CVB Financial Corp. 147,624   3,533
   First Bancorp 207,369   3,009
   United Community Banks Inc.  77,513   2,566
   Banner Corp.  38,407   2,419
   Piper Sandler Cos.  15,872   2,397
*,1 Trupanion Inc.  39,487   2,345
 * Bancorp Inc.  62,878   2,175
   Assured Guaranty Ltd.  34,342   2,143
   Ameris Bancorp  44,672   2,138
   Independent Bank Corp.  26,660   2,124
   Community Bank System Inc.  34,399   2,100
   Park National Corp.  16,258   2,077
   First Hawaiian Inc.  74,579   2,040
   Lakeland Financial Corp.  28,472   2,039
   NBT Bancorp Inc.  48,120   1,953
 * StoneX Group Inc.  19,345   1,951
   BancFirst Corp.  19,568   1,766
 * Palomar Holdings Inc.  28,339   1,700
   American Equity Investment Life Holding Co.  40,551   1,689
   Westamerica Bancorp  30,231   1,666
   City Holding Co.  16,689   1,639
   OFG Bancorp  53,436   1,626
 * Axos Financial Inc.  32,385   1,535
   Seacoast Banking Corp. of Florida  50,097   1,528
   Stellar Bancorp Inc.  49,920   1,460
   First Financial Bancorp  58,596   1,444
   Trustmark Corp.  47,239   1,389
 * Avantax Inc.  44,800   1,281
   Pathward Financial Inc.  23,280   1,187
          Shares Market
Value•

($000)
   National Bank Holdings Corp. Class A  27,939   1,131
   S&T Bancorp Inc.  30,233   1,126
 * NMI Holdings Inc. Class A  47,886   1,118
   Dime Community Bancshares Inc.  36,395   1,115
   Heritage Financial Corp.  39,432   1,099
   Preferred Bank  14,840   1,045
   Northwest Bancshares Inc.  74,172   1,025
   First Bancorp (XNGS)  24,066     998
 * Triumph Financial Inc.  15,498     943
   First Commonwealth Financial Corp.  57,683     923
   Berkshire Hills Bancorp Inc.  29,329     852
   Virtus Investment Partners Inc.   3,893     819
   Hanmi Financial Corp.  34,245     809
   ARMOUR Residential REIT Inc. 148,373     806
   Veritex Holdings Inc.  29,715     792
   Safety Insurance Group Inc.   9,431     761
   Southside Bancshares Inc.  19,867     759
   FB Financial Corp.  19,760     745
   Employers Holdings Inc.  15,601     693
   Tompkins Financial Corp.   9,066     678
   AMERISAFE Inc.  11,857     647
 * Donnelley Financial Solutions Inc.  14,096     596
   TrustCo Bank Corp.  14,066     527
 * Customers Bancorp Inc.  17,082     526
   Brightsphere Investment Group Inc.  18,817     472
   WisdomTree Inc.  69,937     418
   Northfield Bancorp Inc.  25,488     375
 1 B. Riley Financial Inc.   8,797     350
   Invesco Mortgage Capital Inc.  18,009     226
                    87,034
Health Care (12.7%)
   Ensign Group Inc.  62,318   5,576
 * Cytokinetics Inc. 106,283   4,608
 * Merit Medical Systems Inc.  63,927   4,512
 * AMN Healthcare Services Inc.  48,674   4,381
 * Prestige Consumer Healthcare Inc.  38,931   2,346
 * Supernus Pharmaceuticals Inc.  60,707   2,282
 * Corcept Therapeutics Inc. 107,596   2,241
 * Pacira BioSciences Inc.  51,523   2,193
 * Xencor Inc.  67,295   2,162
 * Veradigm Inc. 122,703   2,038
 * Addus HomeCare Corp.  18,093   1,966
 * Vir Biotechnology Inc.  85,222   1,943
 * Glaukos Corp.  35,891   1,695
 
43

 

S&P Small-Cap 600 Growth Index Fund
          Shares Market
Value•

($000)
 * Catalyst Pharmaceuticals Inc. 107,537   1,641
   CONMED Corp.  16,770   1,613
 * Harmony Biosciences Holdings Inc.  33,309   1,467
 * AdaptHealth Corp. Class A  86,251   1,379
 * Dynavax Technologies Corp. 133,262   1,373
 * Amphastar Pharmaceuticals Inc.  42,332   1,349
 * CorVel Corp.   6,678   1,204
 * NextGen Healthcare Inc.  61,487   1,113
 * Arcus Biosciences Inc.  58,543   1,066
 * Ironwood Pharmaceuticals Inc. Class A  94,411   1,064
 * Cross Country Healthcare Inc.  39,794   1,053
 * Collegium Pharmaceutical Inc.  37,698   1,000
   Embecta Corp.  30,528     975
 * uniQure NV  46,257     969
 * REGENXBIO Inc.  42,289     941
 * Vericel Corp.  30,224     919
   US Physical Therapy Inc.   8,905     902
 * BioLife Solutions Inc.  38,420     894
 * Innoviva Inc.  70,529     851
 * Avid Bioservices Inc.  48,170     793
   LeMaitre Vascular Inc.  15,009     752
 * Ligand Pharmaceuticals Inc.   9,746     703
   Mesa Laboratories Inc.   3,499     618
 * Cara Therapeutics Inc.  50,920     517
 * iTeos Therapeutics Inc.  27,435     486
 * Cutera Inc.  14,177     460
   Simulations Plus Inc.  12,019     457
 * HealthStream Inc.  17,332     445
 * Enanta Pharmaceuticals Inc.   8,514     413
 * Fulgent Genetics Inc.   9,993     328
 * Agiliti Inc.  16,889     322
*,1 Zynex Inc.  24,459     316
 * ANI Pharmaceuticals Inc.   7,163     300
 * Anika Therapeutics Inc.   8,578     272
 * Computer Programs & Systems Inc.   8,518     256
 * Coherus Biosciences Inc.  37,162     252
 * Eagle Pharmaceuticals Inc.   7,897     221
 * OptimizeRx Corp.  11,313     202
 * Surmodics Inc.   8,437     184
 * Nektar Therapeutics Class A 101,708     140
*,2 Lantheus Holdings Inc. CVR  35,713      —
*,2 OmniAb Inc. 12.5 Earnout   7,390      —
*,2 OmniAb Inc. 15 Earnout   7,390      —
                    68,153
Industrials (18.4%)
   Applied Industrial Technologies Inc.  43,325   6,189
   Comfort Systems USA Inc.  40,168   5,842
          Shares Market
Value•

($000)
 * Aerojet Rocketdyne Holdings Inc.  85,036   4,791
   Mueller Industries Inc.  63,873   4,725
   AAON Inc.  47,207   4,294
   Franklin Electric Co. Inc.  43,699   4,176
   Exponent Inc.  39,244   4,038
   Encore Wire Corp.  20,604   3,977
   Hillenbrand Inc.  78,011   3,677
   Federal Signal Corp.  68,109   3,594
   Albany International Corp. Class A  34,931   3,525
   Forward Air Corp.  29,863   3,082
   Boise Cascade Co.  44,312   3,062
   Matson Inc.  42,437   2,822
   EnPro Industries Inc.  23,364   2,512
 * AeroVironment Inc.  28,066   2,406
 * SPX Technologies Inc.  31,466   2,216
   Arcosa Inc.  35,841   2,172
   UniFirst Corp.   9,991   1,960
   Moog Inc. Class A  19,843   1,957
   Griffon Corp.  53,199   1,940
   Brady Corp. Class A  33,861   1,868
   Lindsay Corp.  12,332   1,856
   ESCO Technologies Inc.  19,745   1,840
   Korn Ferry  28,778   1,608
   Alamo Group Inc.   8,437   1,539
 * Hub Group Inc. Class A  16,502   1,514
   Trinity Industries Inc.  53,936   1,505
 * NV5 Global Inc.  13,980   1,471
   Marten Transport Ltd.  64,651   1,427
 * PGT Innovations Inc.  67,388   1,425
 * Atlas Air Worldwide Holdings Inc.  13,030   1,314
   Enerpac Tool Group Corp. Class A  42,156   1,135
 * MYR Group Inc.   9,321   1,124
   Standex International Corp.   9,152   1,059
   Wabash National Corp.  31,235     856
 * Sun Country Airlines Holdings Inc.  36,602     734
 * Titan International Inc.  57,176     710
   Apogee Enterprises Inc.  14,247     652
   Heartland Express Inc.  34,132     551
   Quanex Building Products Corp.  21,102     548
   Insteel Industries Inc.  10,102     301
 * Liquidity Services Inc.  16,868     214
   Park Aerospace Corp.  11,406     187
                    98,395
Information Technology (18.5%)
 * SPS Commerce Inc.  40,481   6,098
 * Rambus Inc. 120,733   5,340
 * Fabrinet  41,094   5,008
 * Axcelis Technologies Inc.  36,898   4,743
 * Diodes Inc.  51,076   4,683
 * Onto Innovation Inc.  55,619   4,587
 
44

 

S&P Small-Cap 600 Growth Index Fund
          Shares Market
Value•

($000)
   Badger Meter Inc.  32,873   3,998
   Advanced Energy Industries Inc.  41,986   3,908
   Kulicke & Soffa Industries Inc.  65,225   3,477
 * Plexus Corp.  31,088   2,981
 * Alarm.com Holdings Inc.  56,054   2,849
 * MaxLinear Inc. Class A  81,185   2,777
   Progress Software Corp.  48,296   2,774
 * Extreme Networks Inc. 147,528   2,762
 * Verra Mobility Corp. Class A 157,042   2,706
 1 InterDigital Inc.  30,238   2,207
 * NetScout Systems Inc.  77,084   2,192
 * DoubleVerify Holdings Inc.  83,329   2,189
   CSG Systems International Inc.  34,044   1,913
 * Sanmina Corp.  29,674   1,794
 * Agilysys Inc.  22,240   1,777
   EVERTEC Inc.  47,603   1,752
 * Perficient Inc.  22,166   1,569
 * Harmonic Inc. 118,422   1,562
   CTS Corp.  35,804   1,551
 * Viavi Solutions Inc. 132,175   1,446
 * Digi International Inc.  39,639   1,323
 * Cohu Inc.  35,313   1,314
 * PDF Solutions Inc.  33,171   1,242
 * Veeco Instruments Inc.  57,770   1,229
 * Photronics Inc.  69,298   1,221
   A10 Networks Inc.  71,764   1,092
   Methode Electronics Inc.  21,356   1,041
 * LiveRamp Holdings Inc.  41,050     970
   ADTRAN Holdings Inc.  54,751     955
 * Ultra Clean Holdings Inc.  28,104     895
 * OSI Systems Inc.   8,977     831
 * Clearfield Inc.  12,846     805
 * ePlus Inc.  14,502     786
 * Sabre Corp. 140,140     709
 * Digital Turbine Inc.  64,753     696
 * Alpha & Omega Semiconductor Ltd.  24,941     666
 * Avid Technology Inc.  22,027     640
 * Payoneer Global Inc.  96,806     562
 * Consensus Cloud Solutions Inc.  13,476     553
 * CEVA Inc.  15,809     499
   TTEC Holdings Inc.  10,555     425
 * Corsair Gaming Inc.  24,128     422
 * LivePerson Inc.  41,031     415
 * 8x8 Inc.  57,799     308
 * OneSpan Inc.  19,533     264
 * Arlo Technologies Inc.  50,239     191
                    98,697
Materials (6.4%)
 * Livent Corp. 201,473   4,724
   Balchem Corp.  36,093   4,692
 * ATI Inc.  90,130   3,664
          Shares Market
Value•

($000)
   Innospec Inc.  27,817   3,045
   Quaker Chemical Corp.  15,307   2,997
   HB Fuller Co.  38,325   2,673
 * O-I Glass Inc.  80,161   1,781
   Stepan Co.  15,417   1,605
   Materion Corp.  13,143   1,468
   Kaiser Aluminum Corp.  17,904   1,420
   Warrior Met Coal Inc.  32,497   1,244
   Myers Industries Inc.  40,989   1,059
   Sylvamo Corp.  21,175   1,045
   Hawkins Inc.  21,244     864
   American Vanguard Corp.  31,278     653
   Haynes International Inc.   9,335     511
 * TimkenSteel Corp.  19,125     350
   Mercer International Inc.  19,692     212
   FutureFuel Corp.  16,286     142
                    34,149
Real Estate (3.2%)
   Innovative Industrial Properties Inc.  31,417   2,778
   Four Corners Property Trust Inc.  63,121   1,714
   St. Joe Co.  37,996   1,627
   CareTrust REIT Inc.  67,557   1,329
   Tanger Factory Outlet Centers Inc.  64,452   1,218
   LTC Properties Inc.  29,568   1,059
   Getty Realty Corp.  30,570   1,049
   Urban Edge Properties  67,232   1,035
   Marcus & Millichap Inc.  27,847     957
 * Veris Residential Inc.  49,809     804
   Uniti Group Inc. 119,947     659
   NexPoint Residential Trust Inc.  13,559     657
   Armada Hoffler Properties Inc.  49,553     635
   Community Healthcare Trust Inc.  15,879     615
   Universal Health Realty Income Trust   9,227     489
   Urstadt Biddle Properties Inc. Class A  19,130     331
   Saul Centers Inc.   8,269     325
                    17,281
Utilities (2.6%)
   American States Water Co.  28,644   2,558
   SJW Group  29,969   2,291
   California Water Service Group  38,175   2,185
   Otter Tail Corp.  28,525   2,022
   Chesapeake Utilities Corp.  13,349   1,710
   Northwest Natural Holding Co.  25,225   1,219
 
45

 

S&P Small-Cap 600 Growth Index Fund
          Shares Market
Value•

($000)
   Unitil Corp.  18,014     979
   Middlesex Water Co.  12,676     970
                    13,934
Total Common Stocks
(Cost $494,048) 		534,139
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
3,4 Vanguard Market Liquidity Fund, 4.640%
(Cost $5,037) 		 50,378        5,038
Total Investments (100.9%)
(Cost $499,085) 		  539,177
Other Assets and Liabilities—Net (-0.9%)   (4,642)
Net Assets (100%)   534,535
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,929,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $4,004,000 was received for securities on loan.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index March 2023 4 380 (3)
  
See accompanying Notes, which are an integral part of the Financial Statements.
46

 

S&P Small-Cap 600 Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $494,048) 534,139
Affiliated Issuers (Cost $5,037) 5,038
Total Investments in Securities 539,177
Investment in Vanguard 19
Cash Collateral Pledged—Futures Contracts 80
Receivables for Investment Securities Sold 2,078
Receivables for Accrued Income 380
Receivables for Capital Shares Issued 3
Total Assets 541,737
Liabilities  
Due to Custodian 460
Payables for Investment Securities Purchased 2,709
Collateral for Securities on Loan 4,004
Payables to Vanguard 29
Variation Margin Payable—Futures Contracts —
Total Liabilities 7,202
Net Assets 534,535
1 Includes $3,929,000 of securities on loan.  
 
At February 28, 2023, net assets consisted of:

   
Paid-in Capital 661,620
Total Distributable Earnings (Loss) (127,085)
Net Assets 534,535
   
ETF Shares—Net Assets2  
Applicable to 5,400,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		534,535
Net Asset Value Per Share—ETF Shares $98.99
2 Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
See accompanying Notes, which are an integral part of the Financial Statements.
47

 

S&P Small-Cap 600 Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2023
  ($000)
Investment Income  
Income  
Dividends1 3,463
Interest2 10
Securities Lending—Net 14
Total Income 3,487
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 6
Management and Administrative 311
Marketing and Distribution 14
Custodian Fees 13
Shareholders’ Reports 21
Trustees’ Fees and Expenses —
Other Expenses 6
Total Expenses 371
Net Investment Income 3,116
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (56,097)
Futures Contracts 54
Realized Net Gain (Loss) (56,043)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 68,618
Futures Contracts 6
Change in Unrealized Appreciation (Depreciation) 68,624
Net Increase (Decrease) in Net Assets Resulting from Operations 15,697
1 Dividends are net of foreign withholding taxes of $7,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $10,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $8,948,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
48

 

S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2023 		  Year Ended
August 31,
2022
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 3,116   4,673
Realized Net Gain (Loss) (56,043)   19,847
Change in Unrealized Appreciation (Depreciation) 68,624   (121,602)
Net Increase (Decrease) in Net Assets Resulting from Operations 15,697   (97,082)
Distributions      
Total Distributions (3,674)   (5,133)
Capital Share Transactions      
Issued 66,079   232,231
Issued in Lieu of Cash Distributions —   —
Redeemed (36,695)   (202,342)
Net Increase (Decrease) from Capital Share Transactions 29,384   29,889
Total Increase (Decrease) 41,407   (72,326)
Net Assets      
Beginning of Period 493,128   565,454
End of Period 534,535   493,128
See accompanying Notes, which are an integral part of the Financial Statements.
49

 

S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding Throughout Each Period1 Six Months
Ended
February 28,
2023 		Year Ended August 31,
2022 2021 2020 2019 2018
Net Asset Value, Beginning of Period $96.69 $116.59 $79.48 $76.17 $89.71 $66.05
Investment Operations            
Net Investment Income2 .596 .927 .813 .732 .738 .611
Net Realized and Unrealized Gain (Loss) on Investments 2.411 (19.803) 36.946 3.323 (13.572) 23.644
Total from Investment Operations 3.007 (18.876) 37.759 4.055 (12.834) 24.255
Distributions            
Dividends from Net Investment Income (.707) (1.024) (.649) (.745) (.706) (.595)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.707) (1.024) (.649) (.745) (.706) (.595)
Net Asset Value, End of Period $98.99 $96.69 $116.59 $79.48 $76.17 $89.71
Total Return 3.17% -16.27% 47.68% 5.37% -14.32% 36.92%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $535 $493 $565 $326 $392 $547
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.25% 0.87% 0.79% 0.97% 0.94% 0.80%
Portfolio Turnover Rate3 38% 42% 35% 57% 47% 37%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2 Calculated based on average shares outstanding.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
50

 

S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. The fund has not issued any Institutional Shares as of February 28, 2023. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.
Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia's invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund's investments and fund performance.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in
51

 

S&P Small-Cap 600 Growth Index Fund
the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the
52

 

S&P Small-Cap 600 Growth Index Fund
higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $19,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
53

 

S&P Small-Cap 600 Growth Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 534,139 — — 534,139
Temporary Cash Investments 5,038 — — 5,038
Total 539,177 — — 539,177
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 3 — — 3
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 28, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 499,888
Gross Unrealized Appreciation 71,092
Gross Unrealized Depreciation (31,806)
Net Unrealized Appreciation (Depreciation) 39,286
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $109,083,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 28, 2023, the fund purchased $257,666,000 of investment securities and sold $228,294,000 of investment securities, other than temporary cash investments. Purchases and sales include $66,031,000 and $32,436,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $128,463,000 and sales were $142,385,000, resulting in net realized loss of $55,280,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
54

 

S&P Small-Cap 600 Growth Index Fund
F.  Capital shares issued and redeemed were:
  Six Months Ended
February 28, 2023 		  Year Ended
August 31, 2022
  Shares
(000) 		  Shares
(000)
ETF Shares1      
Issued 700   2,100
Issued in Lieu of Cash Distributions —   —
Redeemed (400)   (1,850)
Net Increase (Decrease) in Shares Outstanding—ETF Shares 300   250
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.
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Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
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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.
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, www.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 www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent No. 6,879,964.
Vanguard Marketing Corporation, Distributor.
Q18452 042023

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

 

 

 

Item 6: Investments.

 

Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 10: Submission of Matters to a Vote of Security Holders.

 

Not applicable.

 

Item 11: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13: Exhibits.

 

(a)(1)Not applicable.
(a)(2)Certifications filed herewith.
(b)Certifications filed herewith.

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

VANGUARD ADMIRAL FUNDS 
   
BY:/s/ MORTIMER J. BUCKLEY* 
 MORTIMER J. BUCKLEY 
 CHIEF EXECUTIVE OFFICER 

 

Date: April 20, 2023

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

VANGUARD ADMIRAL FUNDS 
   
BY:/s/ MORTIMER J. BUCKLEY* 
 MORTIMER J. BUCKLEY 
 CHIEF EXECUTIVE OFFICER 

 

Date: April 20, 2023

 

VANGUARD ADMIRAL FUNDS 
   
BY:/s/ CHRISTINE BUCHANAN* 
 CHRISTINE BUCHANAN 
 CHIEF FINANCIAL OFFICER 

 

Date: April 20, 2023

 

* By:/s/ Anne E. Robinson 

 

Anne E. Robinson, pursuant to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.

 

 

 

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Exhibit 99.CERT

 

CERTIFICATIONS

 

I, Mortimer J. Buckley, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Admiral Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: April 20, 2023

 

 /s/ Mortimer J. Buckley
 Mortimer J. Buckley
 Chief Executive Officer

 

 

 

 

CERTIFICATIONS

 

I, Christine Buchanan, certify that:

 

1. I have reviewed this report on Form N-CSR of Vanguard Admiral Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: April 20, 2023

 

 /s/ Christine Buchanan
 Christine Buchanan
 Chief Financial Officer

 

 

 

 EX-99.906 CERT 11 tm237369d2_ex99-906cert.htm EXHIBIT 99.906 CERT

Exhibit 99.906CERT

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Name of Issuer: Vanguard Admiral Funds

 

In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:

 

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date:April 20, 2023/s/ Mortimer J. Buckley
   Mortimer J. Buckley
  Chief Executive Officer

 

 

 

 

Certification Pursuant to 18 U.S.C. Section 1350,

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

 

Name of Issuer: Vanguard Admiral Funds

 

In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to her knowledge, that:

 

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer.

 

 

Date:April 20, 2023/s/ Christine Buchanan
   Christine Buchanan
  Chief Financial Officer