N-CSR 1 tm2324749d2_ncsr.htm N-CSR

 

 

 

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—August 31, 2023

 

 

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

 

 

Annual Report   |   August 31, 2023
Vanguard Money Market Funds
Vanguard Cash Reserves Federal Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund’s Expenses
1
Cash Reserves Federal Money Market Fund
3
Federal Money Market Fund
18
Treasury Money Market Fund
32
Trustees Approve Advisory Arrangements
45

 

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 August 31, 2023      
  Beginning
Account Value
2/28/2023 		Ending
Account Value
8/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,025.30 $0.51
Federal Money Market Fund $1,000.00 $1,025.30 $0.56
Treasury Money Market Fund $1,000.00 $1,025.00 $0.46
Based on Hypothetical 5% Yearly Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,024.70 $0.51
Federal Money Market Fund $1,000.00 $1,024.65 $0.56
Treasury Money Market Fund $1,000.00 $1,024.75 $0.46
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 (184/365).
2

 

Cash Reserves Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of August 31, 2023
1 - 7 Days 59.3%
8 - 30 Days 8.4
31 - 60 Days 11.8
61 - 90 Days 6.7
91 - 180 Days 11.1
Over 180 Days 2.7
3

 

Cash Reserves Federal Money Market Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (64.5%)
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        5.350%   9/1/23     52,000      51,999
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.030%        5.360%   9/1/23     71,000      70,998
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.025%        5.325%   9/1/23     79,938      79,937
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        5.340%   9/1/23    263,175     263,170
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        5.340%   9/1/23     65,648      65,648
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.045%        5.345%   9/1/23     57,000      57,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.350%   9/1/23     91,000      91,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.350%   9/1/23     27,839      27,838
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        5.355%   9/1/23    175,000     175,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        5.355%   9/1/23     65,000      65,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.080%        5.380%   9/1/23    130,709     130,707
  Federal Farm Credit Discount Notes        5.322% 11/24/23      3,554       3,510
  Federal Home Loan Banks        5.020% 12/14/23    447,000     446,995
  Federal Home Loan Banks        5.510%   4/1/24    478,190     478,190
  Federal Home Loan Banks        5.500%   4/1/24    224,500     224,500
  Federal Home Loan Banks        5.350%  5/30/24    297,760     297,760
  Federal Home Loan Banks Discount Notes        5.389%   9/6/23      2,009       2,008
  Federal Home Loan Banks Discount Notes 5.158%–5.164%  9/13/23    158,792     158,525
  Federal Home Loan Banks Discount Notes        5.205%  9/15/23     29,766      29,707
  Federal Home Loan Banks Discount Notes        5.399%  9/19/23      3,462       3,453
  Federal Home Loan Banks Discount Notes        5.315%  9/20/23    181,560     181,062
  Federal Home Loan Banks Discount Notes        5.366%  9/22/23    445,140     443,790
  Federal Home Loan Banks Discount Notes        5.369%  9/26/23    148,865     148,327
  Federal Home Loan Banks Discount Notes 5.301%–5.392% 10/11/23    684,760     680,749
  Federal Home Loan Banks Discount Notes 5.303%–5.398% 10/13/23    270,932     269,267
  Federal Home Loan Banks Discount Notes        5.314% 10/16/23    169,000     167,893
  Federal Home Loan Banks Discount Notes 5.307%–5.332% 10/18/23    925,217     918,860
  Federal Home Loan Banks Discount Notes 5.313%–5.418% 10/20/23    350,264     347,752
  Federal Home Loan Banks Discount Notes 5.356%–5.445% 10/25/23    625,740     620,794
  Federal Home Loan Banks Discount Notes 5.308%–5.428% 10/27/23    204,423     202,742
  Federal Home Loan Banks Discount Notes 5.374%–5.435%  11/1/23     72,656      72,005
  Federal Home Loan Banks Discount Notes        5.372%  11/3/23    497,245     492,646
  Federal Home Loan Banks Discount Notes        5.372%  11/8/23     45,308      44,856
4

 

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

($000)
  Federal Home Loan Banks Discount Notes 5.359%–5.453% 11/10/23    351,597     347,992
  Federal Home Loan Banks Discount Notes        5.466% 11/14/23      6,000       5,934
  Federal Home Loan Banks Discount Notes        5.441% 11/15/23     44,387      43,897
  Federal Home Loan Banks Discount Notes        5.393% 11/17/23     82,943      82,008
  Federal Home Loan Banks Discount Notes        5.396% 11/24/23    451,676     446,082
  Federal Home Loan Banks Discount Notes        5.505% 12/13/23     40,234      39,619
  Federal Home Loan Banks Discount Notes        5.506% 12/15/23     29,521      29,061
  Federal Home Loan Banks Discount Notes        5.511% 12/20/23     29,521      29,039
  Federal Home Loan Banks Discount Notes        5.466% 12/22/23    297,568     292,624
  Federal Home Loan Banks Discount Notes        5.078%   2/8/24    297,982     291,652
  Federal Home Loan Banks Discount Notes        5.065%   2/9/24    893,658     874,554
2 Federal Home Loan Banks, SOFR + 0.020%        5.320%   9/1/23    448,600     448,600
2 Federal Home Loan Banks, SOFR + 0.020%        5.320% 11/27/23     29,500      29,500
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    549,000     549,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    482,100     482,100
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    216,720     216,720
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    159,400     159,400
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    118,900     118,900
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/15/23    236,800     236,800
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/21/23    296,105     296,105
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/21/23    147,975     147,975
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/22/23    471,000     471,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/26/23     29,600      29,600
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    710,305     710,305
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    600,000     600,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    477,200     477,200
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    397,300     397,300
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    336,400     336,400
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    310,300     310,300
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    242,975     242,975
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    241,665     241,665
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    239,000     239,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    239,000     239,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    141,875     141,875
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23     84,210      84,210
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  9/25/23    298,000     298,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330% 11/20/23    147,525     147,525
2 Federal Home Loan Banks, SOFR + 0.030%        5.330% 12/11/23    148,090     148,090
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  1/24/24    732,670     732,670
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  1/29/24    330,830     330,830
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    722,225     722,225
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    483,400     483,400
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    429,515     429,515
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    141,875     141,875
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    118,900     118,900
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    108,000     108,000
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23    708,300     708,300
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23    109,955     109,955
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23     82,355      82,355
2 Federal Home Loan Banks, SOFR + 0.040%        5.340% 10/19/23    149,000     149,000
2 Federal Home Loan Banks, SOFR + 0.040%        5.340% 10/20/23    149,005     149,005
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   1/9/24    444,215     444,215
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  1/17/24    500,000     500,000
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/20/24    214,640     214,640
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/26/24     59,105      59,105
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/27/24  1,062,360   1,062,360
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/28/24    443,755     443,755
2 Federal Home Loan Banks, SOFR + 0.045%        5.345% 10/24/23    298,065     298,065
2 Federal Home Loan Banks, SOFR + 0.045%        5.345%   3/4/24    187,000     187,000
2 Federal Home Loan Banks, SOFR + 0.045%        5.345%   3/8/24    295,640     295,640
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%   9/1/23    238,600     238,600
2 Federal Home Loan Banks, SOFR + 0.050%        5.350% 11/28/23    298,000     298,000
5

 

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

($000)
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/22/24    295,195     295,195
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/28/24    222,000     222,000
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/28/24    105,000     105,000
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%   4/5/24    591,680     591,680
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%   9/1/23    532,000     532,000
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%   9/1/23    238,600     238,600
2 Federal Home Loan Banks, SOFR + 0.055%        5.355% 11/24/23    595,600     595,600
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%  2/16/24     44,335      44,337
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    598,000     598,000
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    446,200     446,200
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    174,000     174,000
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    121,000     121,000
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    119,625     119,625
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23    598,300     598,300
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23    482,300     482,300
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23    235,000     235,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    447,400     447,400
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    273,000     273,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    202,000     202,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    166,000     166,000
2 Federal Home Loan Banks, SOFR + 0.075%        5.375%   9/1/23    297,800     297,800
2 Federal Home Loan Banks, SOFR + 0.080%        5.380%   9/1/23  1,000,000   1,000,000
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23    806,050     806,050
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23    298,000     298,000
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23    297,100     297,100
2 Federal Home Loan Banks, SOFR + 0.095%        5.395%   9/1/23    994,215     994,216
2 Federal Home Loan Banks, SOFR + 0.100%        5.400%   9/1/23  1,000,000   1,000,000
2 Federal Home Loan Banks, SOFR + 0.120%        5.420%   9/1/23     10,815      10,818
3 Federal Home Loan Mortgage Corp.        0.125% 10/16/23    177,920     176,792
  United States Treasury Bill        4.965%   9/1/23  2,119,128   2,101,690
  United States Treasury Bill 4.561%–4.960%   9/1/23  1,856,435   1,848,811
  United States Treasury Bill 4.557%–4.880%   9/5/23  2,000,000   1,998,844
  United States Treasury Bill 5.137%–5.152%   9/7/23  1,111,000   1,110,023
  United States Treasury Bill 4.561%–5.007%  9/19/23    805,900     803,783
  United States Treasury Bill 4.565%–5.185%  9/26/23  2,365,647   2,356,966
  United States Treasury Bill 4.829%–5.163%  9/28/23  1,422,333   1,416,742
  United States Treasury Bill 5.014%–5.142%  10/5/23  1,250,897   1,244,719
  United States Treasury Bill        4.955% 10/10/23    456,200     453,632
  United States Treasury Bill 4.946%–5.284% 10/12/23  1,676,680   1,666,654
  United States Treasury Bill 4.955%–5.074% 10/17/23    531,517     527,976
  United States Treasury Bill 4.980%–5.232% 10/19/23  1,589,736   1,578,603
  United States Treasury Bill 4.965%–5.108% 10/24/23  2,165,184   2,148,321
  United States Treasury Bill        4.949% 10/26/23  1,940,000   1,924,378
  United States Treasury Bill        5.012%  11/2/23  1,760,599   1,744,588
  United States Treasury Bill        5.157%  11/7/23  1,014,000   1,004,092
  United States Treasury Bill        5.001%  11/9/23  1,047,000   1,036,284
  United States Treasury Bill        5.268% 11/16/23    451,248     446,204
  United States Treasury Bill        5.275% 11/24/23    887,501     876,526
  United States Treasury Bill 5.313%–5.451% 11/30/23  2,552,463   2,518,459
  United States Treasury Bill        5.212% 12/19/23    645,372     635,006
  United States Treasury Bill        5.222% 12/26/23  1,625,000   1,597,170
  United States Treasury Bill        5.237%   1/2/24  1,085,000   1,065,884
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        5.338%   9/1/23     72,960      72,924
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        5.450%   9/1/23    900,000     900,000
Total U.S. Government and Agency Obligations (Cost $70,349,397) 70,349,397
6

 

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

($000)
Repurchase Agreements (40.5%)
  Bank of Montreal
(Dated 7/24/23, Repurchase Value $147,953,000, collateralized by United States Treasury Bill 0.000%, 10/26/23–2/22/24, with a value of $149,940,000) 		       5.305%   9/6/23    147,000     147,000
  Bank of Montreal
(Dated 7/27/23, Repurchase Value $148,214,000, collateralized by United States Treasury Note/Bond 4.000%–4.625%, 2/28/25–7/31/30, with a value of $149,940,000) 		       5.310%  9/21/23    147,000     147,000
  Bank of Montreal
(Dated 8/23/23, Repurchase Value $73,312,000, collateralized by United States Treasury Bill 0.000%, 10/19/23, with a value of $74,460,000) 		       5.305%  9/21/23     73,000      73,000
  Canadian Imperial Bank of Commerce
(Dated 7/27/23, Repurchase Value $1,468,027,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–1.000%, 7/15/24–2/15/50, and United States Treasury Note/Bond 0.500%–4.250%, 7/31/24–11/15/52, with a value of $1,485,120,000) 		       5.310%  9/21/23  1,456,000   1,456,000
  Canadian Imperial Bank of Commerce
(Dated 8/29/23, Repurchase Value $43,146,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.250%, 2/15/50–2/15/52, and United States Treasury Note/Bond 0.500%–4.125%, 12/31/25–2/15/49, with a value of $43,860,000) 		       5.310%  9/21/23     43,000      43,000
  Credit Agricole Securities
(Dated 8/31/23, Repurchase Value $489,072,000, collateralized by United States Treasury Note/Bond 0.250%–1.750%, 3/15/25–10/31/25, with a value of $498,780,000) 		       5.300%   9/1/23    489,000     489,000
  Credit Agricole Securities
(Dated 8/31/23, Repurchase Value $279,041,000, collateralized by United States Treasury Note/Bond 0.375%–2.375%, 4/30/25–3/31/29, with a value of $284,580,000) 		       5.310%   9/1/23    279,000     279,000
  Federal Reserve Bank of New York
(Dated 8/31/23, Repurchase Value $34,006,006,000, collateralized by United States Treasury Note/Bond 0.250%–3.875%, 5/15/24–5/15/52, with a value of $34,006,006,000) 		       5.300%   9/1/23 34,001,000  34,001,000
  Fixed Income Clearing Corp.
(Dated 8/31/23, Repurchase Value $2,098,309,000, collateralized by United States Treasury Note/Bond 5.300%, 9/1/23, with a value of $2,150,450,000) 		       5.300%   9/1/23  2,098,000   2,098,000
  Fixed Income Clearing Corp.
(Dated 8/31/23, Repurchase Value $1,958,288,000, collateralized by United States Treasury Note/Bond 1.375%–4.250%, 11/15/31–11/15/52, with a value of $1,997,160,000) 		       5.300%   9/1/23  1,958,000   1,958,000
7

 

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

($000)
  MUFG Securities America Inc.
(Dated 8/31/23, Repurchase Value $139,020,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.375%, 10/15/24–1/15/32, and United States Treasury Note/Bond 0.750%–3.000%, 12/31/23–11/30/28, with a value of $141,780,000) 		       5.300%   9/1/23    139,000     139,000
  Nomura International plc
(Dated 8/31/23, Repurchase Value $139,020,000, collateralized by United States Treasury Bill 0.000%, 12/19/23–12/26/23, United States Treasury Inflation Indexed Note/Bond 0.250%–0.750%, 1/15/25–2/15/42, and United States Treasury Note/Bond 0.375%–2.750%, 10/15/24–8/15/51, with a value of $141,780,000) 		       5.300%   9/1/23    139,000     139,000
  RBC Capital Markets LLC
(Dated 7/27/23, Repurchase Value $446,659,000, collateralized by United States Treasury Bill 0.000%, 10/5/23–11/14/23, United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/25–2/15/45, and United States Treasury Note/Bond 0.375%–4.250%, 2/15/24–11/15/51, with a value of $451,860,000) 		       5.310%  9/21/23    443,000     443,000
  Royal Bank of Canada
(Dated 7/27/23, Repurchase Value $1,639,431,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/24–7/15/32, and United States Treasury Note/Bond 0.125%–6.000%, 9/30/23–5/15/52, with a value of $1,658,520,000) 		       5.310%  9/21/23  1,626,000   1,626,000
  Standard Chartered Bank
(Dated 8/31/23, Repurchase Value $559,082,000, collateralized by United States Treasury Bill 0.000%, 11/16/23, and United States Treasury Note/Bond 0.250%–4.500%, 5/15/24–5/15/51, with a value of $570,264,000) 		       5.300%   9/1/23    559,000     559,000
  Sumitomo Mitsui Banking Corp.
(Dated 8/31/23, Repurchase Value $419,062,000, collateralized by United States Treasury Note/Bond 1.250%–4.250%, 3/31/24–12/31/28, with a value of $427,380,000) 		       5.300%   9/1/23    419,000     419,000
8

 

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

($000)
  TD Securities (USA) LLC
(Dated 8/31/23, Repurchase Value $83,012,000, collateralized by United States Treasury Note/Bond 2.500%–3.125%, 4/30/24–8/15/25, with a value of $84,660,000) 		       5.310%   9/1/23     83,000      83,000
Total Repurchase Agreements (Cost $44,099,000) 44,099,000
Total Investments (105.0%) (Cost $114,448,397) 114,448,397
Other Assets and Liabilities—Net (-5.0%) (5,448,992)
Net Assets (100%) 108,999,405
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.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
  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.
9

 

Cash Reserves Federal Money Market Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $70,349,397) 70,349,397
Repurchase Agreements (Cost $44,099,000) 44,099,000
Total Investments in Securities 114,448,397
Investment in Vanguard 3,532
Receivables for Accrued Income 214,667
Receivables for Capital Shares Issued 187,144
Total Assets 114,853,740
Liabilities  
Due to Custodian 1,422
Payables for Investment Securities Purchased 5,638,238
Payables for Capital Shares Redeemed 175,924
Payables for Distributions 34,003
Payables to Vanguard 4,748
Total Liabilities 5,854,335
Net Assets 108,999,405
At August 31, 2023, net assets consisted of:  
   
Paid-in Capital 108,998,733
Total Distributable Earnings (Loss) 672
Net Assets 108,999,405
 
Net Assets  
Applicable to 108,985,451,403 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		108,999,405
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Cash Reserves Federal Money Market Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Interest 4,382,615
Total Income 4,382,615
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 410
Management and Administrative 91,752
Marketing and Distribution 5,507
Custodian Fees 199
Auditing Fees 31
Shareholders’ Reports 689
Trustees’ Fees and Expenses 50
Other Expenses 14
Total Expenses 98,652
Expenses Paid Indirectly (55)
Net Expenses 98,597
Net Investment Income 4,284,018
Realized Net Gain (Loss) on Investment Securities Sold 728
Net Increase (Decrease) in Net Assets Resulting from Operations 4,284,746
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Cash Reserves Federal Money Market Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 4,284,018 422,281
Realized Net Gain (Loss) 728 62
Net Increase (Decrease) in Net Assets Resulting from Operations 4,284,746 422,343
Distributions    
Total Distributions (4,284,220) (430,686)
Capital Share Transactions (at $1.00 per share)    
Issued 61,590,228 32,229,346
Issued in Lieu of Cash Distributions 3,952,800 400,798
Redeemed (45,093,879) (38,955,502)
Net Increase (Decrease) from Capital Share Transactions 20,449,149 (6,325,358)
Total Increase (Decrease) 20,449,675 (6,333,701)
Net Assets    
Beginning of Period 88,549,730 94,883,431
End of Period 108,999,405 88,549,730
  
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

Cash Reserves Federal Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations          
Net Investment Income1 .0435 .0047 .0002 .012 .024
Net Realized and Unrealized Gain (Loss) on Investments (.0006) .0002 — — —
Total from Investment Operations .0429 .0049 .0002 .012 .024
Distributions          
Dividends from Net Investment Income (.0429) (.0048) (.0002) (.012) (.024)
Distributions from Realized Capital Gains (.0000)2 (.0001) — — —
Total Distributions (.0429) (.0049) (.0002) (.012) (.024)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
Total Return3 4.38% 0.49% 0.02% 1.21% 2.42%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $108,999 $88,550 $94,883 $25,704 $18,923
Ratio of Total Expenses to Average Net Assets4 0.10%5 0.08% 0.07% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 4.35% 0.47% 0.02% 1.20% 2.39%
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 years ended August 31, 2023, 2020 and 2019, there were no expense reductions.
5 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
  
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

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.
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
14

 

Cash Reserves Federal Money Market Fund
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 year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $3,532,000, representing less than 0.01% of the fund’s net assets and 1.41% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $55,000 (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.).
15

 

Cash Reserves Federal Money Market Fund
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 August 31, 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. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the timing of payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows: 
  Amount
($000)
Undistributed Ordinary Income 34,667
Undistributed Long-Term Gains 8
Net Unrealized Gains (Losses) —
Capital Loss Carryforwards —
Qualified Late-Year Losses —
Other Temporary Differences (34,003)
Total 672
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 4,284,219 430,686
Long-Term Capital Gains 1 —
Total 4,284,220 430,686
* Includes short-term capital gains, if any.
16

 

Cash Reserves Federal Money Market Fund
As of August 31, 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 114,448,397
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
F. 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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
G. Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
17

 

Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of August 31, 2023
1 - 7 Days 60.4%
8 - 30 Days 8.2
31 - 60 Days 12.0
61 - 90 Days 6.3
91 - 180 Days 10.4
Over 180 Days 2.7
18

 

Federal Money Market Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (61.7%)
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        5.350%   9/1/23    123,000     122,997
2 Federal Farm Credit Banks Funding Corp., EFFR + 0.030%        5.360%   9/1/23    154,000     153,996
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.025%        5.325%   9/1/23    186,901     186,899
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        5.340%   9/1/23    149,548     149,548
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.045%        5.345%   9/1/23    127,000     127,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.350%   9/1/23    199,000     199,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.350%   9/1/23     66,068      66,066
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        5.355%   9/1/23    350,000     350,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.055%        5.355%   9/1/23    146,000     146,000
2 Federal Farm Credit Banks Funding Corp., SOFR + 0.080%        5.380%   9/1/23    307,715     307,710
  Federal Farm Credit Discount Notes        5.322% 11/24/23      8,446       8,342
  Federal Home Loan Banks        5.020% 12/14/23  1,047,500   1,047,489
  Federal Home Loan Banks        5.510%   4/1/24  1,115,965   1,115,965
  Federal Home Loan Banks        5.500%   4/1/24    523,000     523,000
  Federal Home Loan Banks        5.350%  5/30/24    698,665     698,665
  Federal Home Loan Banks Discount Notes        5.386%   9/1/23        532         532
  Federal Home Loan Banks Discount Notes        5.390%   9/5/23        169         169
  Federal Home Loan Banks Discount Notes        5.389%   9/6/23      1,092       1,091
  Federal Home Loan Banks Discount Notes        5.386%   9/8/23        211         211
  Federal Home Loan Banks Discount Notes 5.158%–5.164%  9/13/23    372,300     371,674
  Federal Home Loan Banks Discount Notes        5.205%  9/15/23     70,798      70,658
  Federal Home Loan Banks Discount Notes        5.315%  9/20/23    426,284     425,115
  Federal Home Loan Banks Discount Notes        5.366%  9/22/23  1,044,649   1,041,480
  Federal Home Loan Banks Discount Notes        5.369%  9/26/23    349,371     348,109
  Federal Home Loan Banks Discount Notes 5.301%–5.392% 10/11/23  1,628,607   1,619,067
  Federal Home Loan Banks Discount Notes 5.303%–5.398% 10/13/23    645,561     641,594
  Federal Home Loan Banks Discount Notes        5.314% 10/16/23    402,000     399,367
  Federal Home Loan Banks Discount Notes 5.307%–5.332% 10/18/23  2,202,029   2,186,900
  Federal Home Loan Banks Discount Notes 5.313%–5.418% 10/20/23    800,004     794,265
  Federal Home Loan Banks Discount Notes 5.356%–5.445% 10/25/23  1,421,618   1,410,381
  Federal Home Loan Banks Discount Notes 5.308%–5.428% 10/27/23    475,534     471,625
  Federal Home Loan Banks Discount Notes 5.374%–5.435%  11/1/23    173,079     171,528
  Federal Home Loan Banks Discount Notes        5.372%  11/3/23  1,184,755   1,173,798
  Federal Home Loan Banks Discount Notes        5.372%  11/8/23    107,692     106,617
19

 

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

($000)
  Federal Home Loan Banks Discount Notes        5.441% 11/15/23    105,613     104,448
  Federal Home Loan Banks Discount Notes        5.393% 11/17/23    197,128     194,906
  Federal Home Loan Banks Discount Notes        5.396% 11/24/23  1,078,324   1,064,969
  Federal Home Loan Banks Discount Notes        5.505% 12/13/23     96,061      94,593
  Federal Home Loan Banks Discount Notes        5.506% 12/15/23     70,479      69,381
  Federal Home Loan Banks Discount Notes        5.511% 12/20/23     70,479      69,329
  Federal Home Loan Banks Discount Notes        5.466% 12/22/23    710,432     698,629
  Federal Home Loan Banks Discount Notes        5.078%   2/8/24    698,347     683,511
  Federal Home Loan Banks Discount Notes        5.065%   2/9/24  2,095,308   2,050,516
2 Federal Home Loan Banks, SOFR + 0.020%        5.320%   9/1/23  1,046,000   1,046,000
2 Federal Home Loan Banks, SOFR + 0.020%        5.320% 11/27/23     70,000      70,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23  1,290,000   1,290,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23  1,130,000   1,130,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    508,010     508,010
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    374,500     374,500
2 Federal Home Loan Banks, SOFR + 0.025%        5.325%   9/1/23    277,800     277,800
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/15/23    563,200     563,200
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/21/23    703,895     703,895
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/21/23    352,025     352,025
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/22/23  1,119,000   1,119,000
2 Federal Home Loan Banks, SOFR + 0.025%        5.325% 12/26/23     70,400      70,400
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23  1,662,185   1,662,185
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23  1,403,900   1,403,900
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23  1,115,600   1,115,600
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    931,400     931,400
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    909,500     909,500
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    727,900     727,900
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    566,965     566,965
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    564,720     564,720
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    560,000     560,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    560,000     560,000
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    347,555     347,555
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%   9/1/23    333,990     333,990
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  9/25/23    698,400     698,400
2 Federal Home Loan Banks, SOFR + 0.030%        5.330% 11/20/23    350,760     350,760
2 Federal Home Loan Banks, SOFR + 0.030%        5.330% 12/11/23    351,910     351,910
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  1/24/24  1,747,330   1,747,330
2 Federal Home Loan Banks, SOFR + 0.030%        5.330%  1/29/24    789,170     789,170
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23  1,693,150   1,693,150
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23  1,204,240   1,204,240
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23  1,133,900   1,133,900
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    333,995     333,995
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    277,800     277,800
2 Federal Home Loan Banks, SOFR + 0.035%        5.335%   9/1/23    253,300     253,300
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23  1,664,600   1,664,600
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23    258,845     258,845
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   9/1/23    193,570     193,570
2 Federal Home Loan Banks, SOFR + 0.040%        5.340% 10/19/23    349,200     349,200
2 Federal Home Loan Banks, SOFR + 0.040%        5.340% 10/20/23    349,235     349,235
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%   1/9/24  1,055,785   1,055,785
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/20/24    510,360     510,360
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/26/24    140,895     140,895
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/27/24  2,537,640   2,537,640
2 Federal Home Loan Banks, SOFR + 0.040%        5.340%  2/28/24  1,056,245   1,056,245
2 Federal Home Loan Banks, SOFR + 0.045%        5.345% 10/24/23    698,380     698,380
2 Federal Home Loan Banks, SOFR + 0.045%        5.345%   3/4/24    373,000     373,000
2 Federal Home Loan Banks, SOFR + 0.045%        5.345%   3/8/24    704,360     704,360
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%   9/1/23    559,200     559,200
2 Federal Home Loan Banks, SOFR + 0.050%        5.350% 11/28/23    698,400     698,400
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/22/24    704,805     704,805
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/28/24    528,000     528,000
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%  3/28/24    245,000     245,000
20

 

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

($000)
2 Federal Home Loan Banks, SOFR + 0.050%        5.350%   4/5/24  1,408,320   1,408,320
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%   9/1/23    994,000     994,000
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%   9/1/23    559,200     559,200
2 Federal Home Loan Banks, SOFR + 0.055%        5.355% 11/24/23  1,397,300   1,397,300
2 Federal Home Loan Banks, SOFR + 0.055%        5.355%  2/16/24    105,665     105,671
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23  1,395,000   1,395,000
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23  1,053,800   1,053,800
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    415,000     415,000
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    286,100     286,100
2 Federal Home Loan Banks, SOFR + 0.060%        5.360%   9/1/23    283,130     283,130
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23  1,394,400   1,394,400
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23  1,138,000   1,138,000
2 Federal Home Loan Banks, SOFR + 0.065%        5.365%   9/1/23    553,700     553,700
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23  1,047,000   1,047,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    643,000     643,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    475,000     475,000
2 Federal Home Loan Banks, SOFR + 0.070%        5.370%   9/1/23    391,400     391,400
2 Federal Home Loan Banks, SOFR + 0.075%        5.375%   9/1/23    698,500     698,500
2 Federal Home Loan Banks, SOFR + 0.080%        5.380%   9/1/23  1,250,000   1,250,000
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23  1,880,010   1,880,010
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23    702,900     702,900
2 Federal Home Loan Banks, SOFR + 0.090%        5.390%   9/1/23    698,400     698,400
2 Federal Home Loan Banks, SOFR + 0.095%        5.395%   9/1/23  2,329,985   2,329,987
2 Federal Home Loan Banks, SOFR + 0.120%        5.420%   9/1/23     25,285      25,293
3 Federal Home Loan Mortgage Corp.        0.125% 10/16/23    419,991     417,329
  United States Treasury Bill        4.965%   9/1/23  5,054,100   5,012,510
  United States Treasury Bill 4.561%–4.960%   9/1/23  4,428,068   4,409,883
  United States Treasury Bill 4.557%–4.880%   9/5/23  5,000,000   4,997,111
  United States Treasury Bill 5.137%–5.152%   9/7/23  2,505,800   2,503,595
  United States Treasury Bill 4.561%–5.007%  9/19/23  2,014,750   2,009,456
  United States Treasury Bill 4.565%–5.185%  9/26/23  5,063,378   5,044,797
  United States Treasury Bill 4.829%–5.163%  9/28/23  3,284,022   3,271,117
  United States Treasury Bill 5.014%–5.142%  10/5/23  3,096,180   3,080,889
  United States Treasury Bill        4.955% 10/10/23  1,140,200   1,133,780
  United States Treasury Bill 4.946%–5.284% 10/12/23  4,061,451   4,037,165
  United States Treasury Bill 4.955%–5.074% 10/17/23  1,257,431   1,249,054
  United States Treasury Bill 4.980%–5.232% 10/19/23  3,937,354   3,909,781
  United States Treasury Bill 4.965%–5.108% 10/24/23  5,173,045   5,132,755
  United States Treasury Bill        4.949% 10/26/23  4,868,000   4,828,801
  United States Treasury Bill        5.012%  11/2/23  4,028,610   3,991,973
  United States Treasury Bill        5.157%  11/7/23  2,509,500   2,484,980
  United States Treasury Bill        5.001%  11/9/23  2,441,000   2,416,016
  United States Treasury Bill        5.268% 11/16/23    975,229     964,327
  United States Treasury Bill        5.275% 11/24/23  2,109,970   2,083,877
  United States Treasury Bill 5.313%–5.451% 11/30/23  6,055,478   5,974,804
  United States Treasury Bill        5.212% 12/19/23  1,395,678   1,373,260
  United States Treasury Bill        5.222% 12/26/23  3,870,000   3,803,722
  United States Treasury Bill        5.237%   1/2/24  2,581,000   2,535,526
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        5.338%   9/1/23    171,553     171,468
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        5.450%   9/1/23  2,200,000   2,200,000
Total U.S. Government and Agency Obligations (Cost $160,280,247) 160,280,247
Repurchase Agreements (43.3%)
  Bank of Montreal
(Dated 7/24/23, Repurchase Value $353,276,000, collateralized by United States Treasury Note/Bond 0.250%–3.000%, 4/30/24–11/15/29, with a value of $358,020,000) 		       5.305%   9/6/23    351,000     351,000
21

 

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

($000)
  Bank of Montreal
(Dated 7/27/23, Repurchase Value $353,899,000, collateralized by United States Treasury Note/Bond 4.375%, 8/31/28, with a value of $358,020,000) 		       5.310%  9/21/23    351,000     351,000
  Bank of Montreal
(Dated 8/23/23, Repurchase Value $176,752,000, collateralized by United States Treasury Note/Bond 0.250%–2.375%, 2/29/24–5/15/24, with a value of $179,520,000) 		       5.305%  9/21/23    176,000     176,000
  Canadian Imperial Bank of Commerce
(Dated 7/27/23, Repurchase Value $3,480,514,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 10/15/24–2/15/53, and United States Treasury Note/Bond 0.375%–5.553%, 2/29/24–11/15/51, with a value of $3,521,040,000) 		       5.310%  9/21/23  3,452,000   3,452,000
  Canadian Imperial Bank of Commerce
(Dated 8/29/23, Repurchase Value $106,360,000, collateralized by United States Treasury Note/Bond 0.875%–4.125%, 6/15/26–8/15/45, with a value of $108,120,000) 		       5.310%  9/21/23    106,000     106,000
  Credit Agricole Securities
(Dated 8/31/23, Repurchase Value $1,255,185,000, collateralized by United States Treasury Note/Bond 0.250%–4.625%, 9/30/23–2/15/32, with a value of $1,280,100,000) 		       5.300%   9/1/23  1,255,000   1,255,000
  Credit Agricole Securities
(Dated 8/31/23, Repurchase Value $717,106,000, collateralized by United States Treasury Note/Bond 0.625%–4.125%, 10/15/24–10/31/27, with a value of $731,340,000) 		       5.310%   9/1/23    717,000     717,000
  Federal Reserve Bank of New York
(Dated 8/31/23, Repurchase Value $87,481,877,000, collateralized by United States Treasury Note/Bond 1.125%–6.125%, 11/15/27–5/15/52, with a value of $87,481,877,000) 		       5.300%   9/1/23 87,469,000  87,469,000
  Fixed Income Clearing Corp.
(Dated 8/31/23, Repurchase Value $5,377,792,000, collateralized by United States Treasury Note/Bond 5.300%, 9/1/23, with a value of $5,511,425,000) 		       5.300%   9/1/23  5,377,000   5,377,000
  Fixed Income Clearing Corp.
(Dated 8/31/23, Repurchase Value $5,019,739,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.375%–0.625%, 1/15/26–1/15/27, and United States Treasury Note/Bond 0.250%–2.125%, 5/15/25–11/15/41, with a value of $5,119,380,000) 		       5.300%   9/1/23  5,019,000   5,019,000
  MUFG Securities America Inc.
(Dated 8/31/23, Repurchase Value $359,053,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/30–7/15/32, and United States Treasury Note/Bond 0.750%–3.000%, 5/31/26–2/15/47, with a value of $366,180,000) 		       5.300%   9/1/23    359,000     359,000
22

 

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

($000)
  Nomura International plc
(Dated 8/31/23, Repurchase Value $359,053,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 7/15/24–2/15/41, and United States Treasury Note/Bond 0.375%–4.250%, 1/31/24–8/15/33, with a value of $366,180,000) 		       5.300%   9/1/23    359,000     359,000
  RBC Capital Markets LLC
(Dated 7/27/23, Repurchase Value $1,059,681,000, collateralized by United States Treasury Bill 0.000%, 9/7/23–2/22/24, United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 10/15/24–2/15/53, and United States Treasury Note/Bond 0.125%–4.500%, 1/15/24–2/15/51, with a value of $1,072,020,000) 		       5.310%  9/21/23  1,051,000   1,051,000
  Royal Bank of Canada
(Dated 7/27/23, Repurchase Value $3,886,842,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 4/15/24–2/15/51, and United States Treasury Note/Bond 0.125%–7.625%, 9/15/23–11/15/52, with a value of $3,932,100,000) 		       5.310%  9/21/23  3,855,000   3,855,000
  Standard Chartered Bank
(Dated 8/31/23, Repurchase Value $1,434,211,000, collateralized by United States Treasury Inflation Indexed Note/Bond 1.375%, 2/15/44, and United States Treasury Note/Bond 0.375%–4.250%, 12/31/23–11/15/52, with a value of $1,462,895,000) 		       5.300%   9/1/23  1,434,000   1,434,000
  Sumitomo Mitsui Banking Corp.
(Dated 8/31/23, Repurchase Value $1,076,158,000, collateralized by United States Treasury Note/Bond 2.000%–4.750%, 5/31/25–2/15/50, with a value of $1,097,520,000) 		       5.300%   9/1/23  1,076,000   1,076,000
  TD Securities (USA) LLC
(Dated 8/31/23, Repurchase Value $216,032,000, collateralized by United States Treasury Note/Bond 2.500%–4.000%, 5/15/24–12/15/25, with a value of $220,320,000) 		       5.310%   9/1/23    216,000     216,000
Total Repurchase Agreements (Cost $112,623,000) 112,623,000
Total Investments (105.0%) (Cost $272,903,247) 272,903,247
Other Assets and Liabilities—Net (-5.0%) (12,914,592)
Net Assets (100%) 259,988,655
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.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
  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.
23

 

Federal Money Market Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $160,280,247) 160,280,247
Repurchase Agreements (Cost $112,623,000) 112,623,000
Total Investments in Securities 272,903,247
Investment in Vanguard 8,390
Receivables for Accrued Income 470,976
Receivables for Capital Shares Issued 296,917
Other Assets 10,500
Total Assets 273,690,030
Liabilities  
Due to Custodian 698
Payables for Investment Securities Purchased 13,438,178
Payables for Capital Shares Redeemed 198,692
Payables for Distributions 51,374
Payables to Vanguard 12,433
Total Liabilities 13,701,375
Net Assets 259,988,655
At August 31, 2023, net assets consisted of:  
   
Paid-in Capital 259,989,122
Total Distributable Earnings (Loss) (467)
Net Assets 259,988,655
 
Net Assets  
Applicable to 259,988,611,836 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		259,988,655
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Federal Money Market Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Interest 10,335,512
Total Income 10,335,512
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 966
Management and Administrative 232,642
Marketing and Distribution 18,043
Custodian Fees 446
Auditing Fees 30
Shareholders’ Reports 4,649
Trustees’ Fees and Expenses 122
Other Expenses 14
Total Expenses 256,912
Expenses Paid Indirectly (197)
Net Expenses 256,715
Net Investment Income 10,078,797
Realized Net Gain (Loss) on Investment Securities Sold 860
Net Increase (Decrease) in Net Assets Resulting from Operations 10,079,657
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Federal Money Market Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 10,078,797 1,032,737
Realized Net Gain (Loss) 860 350
Net Increase (Decrease) in Net Assets Resulting from Operations 10,079,657 1,033,087
Distributions    
Total Distributions (10,078,914) (1,032,754)
Capital Share Transactions (at $1.00 per share)    
Issued 127,209,761 103,314,268
Issued in Lieu of Cash Distributions 9,550,042 979,612
Redeemed (93,313,186) (82,138,377)
Net Increase (Decrease) from Capital Share Transactions 43,446,617 22,155,503
Total Increase (Decrease) 43,447,360 22,155,836
Net Assets    
Beginning of Period 216,541,295 194,385,459
End of Period 259,988,655 216,541,295
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Federal Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations          
Net Investment Income1 .0432 .0050 .0002 .010 .022
Net Realized and Unrealized Gain (Loss) on Investments (.0005) (.0002) — — —
Total from Investment Operations .0427 .0048 .0002 .010 .022
Distributions          
Dividends from Net Investment Income (.0427) (.0048) (.0002) (.010) (.022)
Distributions from Realized Capital Gains — — — — —
Total Distributions (.0427) (.0048) (.0002) (.010) (.022)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 4.36% 0.48% 0.02% 1.03% 2.26%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $259,989 $216,541 $194,385 $197,525 $132,966
Ratio of Total Expenses to Average Net Assets3 0.11%4 0.09% 0.09% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets 4.32% 0.50% 0.02% 0.93% 2.24%
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 years ended August 31, 2023, 2020, and 2019, there were no expense reductions.
4 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.11%.
  
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

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.
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
28

 

Federal Money Market Fund
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 year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $8,390,000, representing less than 0.01% of the fund’s net assets and 3.36% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $197,000 (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.).
29

 

Federal Money Market Fund
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 August 31, 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. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; and the timing of payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows: 
  Amount
($000)
Undistributed Ordinary Income 51,374
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) —
Capital Loss Carryforwards (467)
Qualified Late-Year Losses —
Other Temporary Differences (51,374)
Total (467)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 10,078,914 1,032,754
Long-Term Capital Gains — —
Total 10,078,914 1,032,754
* Includes short-term capital gains, if any.
30

 

Federal Money Market Fund
As of August 31, 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 272,903,247
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
F. 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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
G. Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
31

 

Treasury Money Market Fund
Distribution by Effective Maturity (% of investments)
As of August 31, 2023
1 - 7 Days 22.1%
8 - 30 Days 33.1
31 - 60 Days 39.2
61 - 90 Days 5.6
32

 

Treasury Money Market Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (103.0%)
  United States Treasury Bill 4.561%–4.960%   9/1/23 2,625,000  2,613,437
  United States Treasury Bill        4.965%   9/1/23 2,600,000  2,578,605
  United States Treasury Bill 4.557%–4.880%   9/5/23 1,825,000  1,823,935
  United States Treasury Bill 5.137%–5.152%   9/7/23 3,201,397  3,198,581
  United States Treasury Bill 4.561%–4.908%  9/12/23 3,060,000  3,055,072
  United States Treasury Bill        5.142%  9/14/23 3,200,000  3,193,899
  United States Treasury Bill 4.561%–5.007%  9/19/23 3,749,798  3,740,123
  United States Treasury Bill 4.927%–5.137%  9/21/23 3,500,000  3,490,127
  United States Treasury Bill 4.565%–5.185%  9/26/23 2,200,000  2,191,927
  United States Treasury Bill 4.829%–5.163%  9/28/23 4,971,682  4,952,621
  United States Treasury Bill 5.014%–5.142%  10/5/23 4,600,000  4,577,653
  United States Treasury Bill        4.955% 10/10/23 2,500,000  2,485,700
  United States Treasury Bill 4.946%–5.284% 10/12/23 4,737,066  4,709,226
  United States Treasury Bill 4.955%–5.074% 10/17/23 3,314,271  3,291,932
  United States Treasury Bill 4.980%–5.232% 10/19/23 3,853,077  3,827,211
  United States Treasury Bill 4.965%–5.108% 10/24/23 3,549,521  3,521,948
  United States Treasury Bill        4.949% 10/26/23 2,000,000  1,985,211
  United States Treasury Bill        5.012%  11/2/23 1,500,000  1,487,342
  United States Treasury Bill        5.157%  11/7/23   512,000    506,997
  United States Treasury Bill        5.001%  11/9/23 1,500,000  1,485,941
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.035%        5.448%   9/1/23 1,350,000  1,349,959
Total U.S. Government and Agency Obligations (Cost $60,067,447) 60,067,447
33

 

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

($000)
Repurchase Agreement (3.7%)
  Federal Reserve Bank of New York
(Dated 8/31/23, Repurchase Value $2,159,318,000, collateralized by United States Treasury Inflation Indexed Note/Bond 0.125%–0.250%, 7/15/24–1/15/25, and United States Treasury Note/Bond 0.250%–3.875%, 5/15/24–5/15/47, with a value of $2,159,318,000) (Cost $2,159,000) 		       5.300%   9/1/23 2,159,000           2,159,000
Total Investments (106.7%) (Cost $62,226,447) 62,226,447
Other Assets and Liabilities—Net (-6.7%) (3,888,755)
Net Assets (100%) 58,337,692
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.
34

 

Treasury Money Market Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Unaffiliated Issuers (Cost $62,226,447) 62,226,447
Investment in Vanguard 1,877
Cash 1
Receivables for Accrued Income 6,800
Receivables for Capital Shares Issued 200,497
Other Assets 3,298
Total Assets 62,438,920
Liabilities  
Payables for Investment Securities Purchased 3,873,266
Payables for Capital Shares Redeemed 200,489
Payables for Distributions 25,191
Payables to Vanguard 2,282
Total Liabilities 4,101,228
Net Assets 58,337,692
At August 31, 2023, net assets consisted of:  
   
Paid-in Capital 58,338,146
Total Distributable Earnings (Loss) (454)
Net Assets 58,337,692
 
Net Assets  
Applicable to 58,335,105,734 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		58,337,692
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
35

 

Treasury Money Market Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Interest 1,992,932
Total Income 1,992,932
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 190
Management and Administrative 36,061
Marketing and Distribution 3,531
Custodian Fees 154
Auditing Fees 26
Shareholders’ Reports 202
Trustees’ Fees and Expenses 24
Other Expenses 14
Total Expenses 40,202
Expenses Paid Indirectly (3)
Net Expenses 40,199
Net Investment Income 1,952,733
Realized Net Gain (Loss) on Investment Securities Sold 321
Net Increase (Decrease) in Net Assets Resulting from Operations 1,953,054
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Treasury Money Market Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
     
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 1,952,733 155,618
Realized Net Gain (Loss) 321 (657)
Net Increase (Decrease) in Net Assets Resulting from Operations 1,953,054 154,961
Distributions    
Total Distributions (1,952,743) (155,642)
Capital Share Transactions (at $1.00 per share)    
Issued 63,059,684 21,601,161
Issued in Lieu of Cash Distributions 1,755,170 144,000
Redeemed (40,832,284) (23,133,582)
Net Increase (Decrease) from Capital Share Transactions 23,982,570 (1,388,421)
Total Increase (Decrease) 23,982,881 (1,389,102)
Net Assets    
Beginning of Period 34,354,811 35,743,913
End of Period 58,337,692 34,354,811
  
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

Treasury Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
Investment Operations          
Net Investment Income1 .0437 .0045 .0003 .010 .022
Net Realized and Unrealized Gain (Loss) on Investments (.0015) — — — —
Total from Investment Operations .0422 .0045 .0003 .010 .022
Distributions          
Dividends from Net Investment Income (.0422) (.0045) (.0003) (.010) (.022)
Distributions from Realized Capital Gains — — — — —
Total Distributions (.0422) (.0045) (.0003) (.010) (.022)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 4.31% 0.45% 0.03% 1.05% 2.25%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $58,338 $34,355 $35,744 $38,547 $28,428
Ratio of Total Expenses to Average Net Assets3 0.09%4 0.08% 0.08% 0.09% 0.09%
Ratio of Net Investment Income to Average Net Assets 4.37% 0.45% 0.03% 0.95% 2.23%
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 years ended August 31, 2023, 2020 and 2019, there were no expense reductions.
4 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.09%.
  
See accompanying Notes, which are an integral part of the Financial Statements.
38

 

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.
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
39

 

Treasury Money Market Fund
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 year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,877,000, representing less than 0.01% of the fund’s net assets and 0.75% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 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. 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.).
40

 

Treasury Money Market Fund
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 August 31, 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. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; and the timing of payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows: 
  Amount
($000)
Undistributed Ordinary Income 25,190
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) —
Capital Loss Carryforwards (454)
Qualified Late-Year Losses —
Other Temporary Differences (25,190)
Total (454)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 1,952,743 155,642
Long-Term Capital Gains — —
Total 1,952,743 155,642
* Includes short-term capital gains, if any.
41

 

Treasury Money Market Fund
As of August 31, 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 62,226,447
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
F. 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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
G. Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
42

 

Report of Independent Registered Public Accounting Firm
To the Boards of Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and Shareholders of Vanguard Cash Reserves Federal Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Treasury Money Market Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard Cash Reserves Federal Money Market Fund and Vanguard Federal Money Market Fund (constituting Vanguard Money Market Reserves) and Vanguard Treasury Money Market Fund (one of the funds constituting Vanguard Admiral Funds) (hereafter collectively referred to as the "Funds") as of August 31, 2023, the related statements of operations for the year ended August 31, 2023, the statements of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2023 and each of the financial highlights for each of the five years in the period ended August 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2023
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
43

 

Tax information (unaudited)
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax.
Fund ($000)
Cash Reserves Federal Money Market Fund 1,884,751
Federal Money Market Fund 4,229,983
Treasury Money Market Fund 1,441,474
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the funds for the fiscal year are qualified short-term capital gains.
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, are hereby designated as ordinary income dividends eligible to be treated as interest income for purposes of section 163(j) and the regulations thereunder for the fiscal year.
Fund Percentage
Cash Reserves Federal Money Market Fund 100.0%
Federal Money Market Fund 100.0
Treasury Money Market Fund 100.0
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, are hereby designated as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident alien shareholders.
Fund Percentage
Cash Reserves Federal Money Market Fund 100.0%
Federal Money Market Fund 100.0
Treasury Money Market Fund 100.0
44

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Cash Reserves Federal Money Market Fund (formerly known as Vanguard Prime Money Market Fund) and Vanguard Federal Money Market Fund, and the board of trustees of Vanguard Treasury Money Market Fund have renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. Each board determined that continuing the respective fund’s internalized management structure was in the best interests of the fund and its shareholders.
Each board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
Each board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, each board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees of each board were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove each board’s decision.
Nature, extent, and quality of services
Each board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. Each board considered that Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
Each board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
Each board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with its peer group. The applicable board concluded that the performance was such that each advisory arrangement should continue.
45

 

Cost
Each board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also below the peer-group average.
Neither board conducts a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
Each board concluded that its respective fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
Each board will consider whether to renew the advisory arrangements again after a one-year period.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them. 
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 205 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester. 
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial
 
1  Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. (investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment Committee, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Director of DuPont. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law, Duke Law School (2021–present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global Financial Markets Center, Duke Law School (2020–2022); and Senior Fellow, Duke Center on Risk
(2020–present). Partner of Kaya Partners (climate policy advisory services). Member of the board of directors of Arcadia (energy solution technology).
Grant Reid
Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.
David Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company. Trustee of Common Fund.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.

 

Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) and deputy chief compliance officer (2017–2019) of State Street.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Jodi Miller
Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director (2022–present) of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
Chris D. Mclsaac Lauren Valente

 

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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.
© 2023 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q300 102023
Annual Report  |  August 31, 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
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

Your Fund’s Performance at a Glance
•  For the 12 months ended August 31, 2023, returns for the three Vanguard S&P Mid-Cap 400 Index Funds ranged from 9.79% for ETF Shares of Vanguard S&P Mid-Cap 400 Value Index Fund to 11.21% for Institutional Shares of Vanguard S&P Mid-Cap 400 Growth Index Fund. (Returns for ETF Shares are based on net asset value.)
•  Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected.
•  Equities rallied during the 12 months, led by large-capitalization stocks (the S&P 500 Index returned 15.94%). Relative performance between growth and value investment styles were mixed, depending on the methodology of the index provider used.
•  Sector performance was mixed. Industrials, the largest sector by weight at the end of the period and a top performer in each index, contributed most across all three funds; information technology and consumer discretionary were the other top contributors. These sectors’ performance more than offset declines in other sectors, including utilities and real estate.
Market Barometer
  Average Annual Total Returns
Periods Ended August 31, 2023
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 15.40% 9.93% 10.77%
Russell 2000 Index (Small-caps) 4.65 8.12 3.14
Russell 3000 Index (Broad U.S. market) 14.76 9.81 10.25
FTSE All-World ex US Index (International) 12.02 4.49 3.74
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) 		-1.05% -4.40% 0.55%
Bloomberg Municipal Bond Index
(Broad tax-exempt market) 		1.70 -1.32 1.52
FTSE Three-Month U.S. Treasury Bill Index 4.44 1.63 1.68
CPI      
Consumer Price Index 3.67% 5.71% 4.02%
1

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
2

 

Six Months Ended August 31, 2023      
  Beginning
Account Value
2/28/2023 		Ending
Account Value
8/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,025.70 $0.51
Institutional Shares 1,000.00 1,025.80 0.41
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $994.60 $0.75
Institutional Shares 1,000.00 995.00 0.40
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,055.70 $0.78
Institutional Shares 1,000.00 1,056.10 0.41
Based on Hypothetical 5% Yearly Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Institutional Shares 1,000.00 1,024.80 0.41
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.77
Institutional Shares 1,000.00 1,024.80 0.41
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.77
Institutional Shares 1,000.00 1,024.80 0.41
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 (184/365).
3

 

S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value 10.60% 6.87% 9.96% $25,855
  S&P Mid-Cap 400 Index Fund ETF Shares Market Price 10.60 6.87 9.97 25,862
S&P MidCap 400 Index 10.71 6.97 10.09 26,152
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $5,000,000
Investment
S&P Mid-Cap 400 Index Fund Institutional Shares 10.64% 6.91% 10.02% $12,996,085
S&P MidCap 400 Index 10.71 6.97 10.09 13,076,203
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 15,730,560
    
See Financial Highlights for dividend and capital gains information.
4

 

S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Mid-Cap 400 Index Fund ETF Shares Market Price 10.60% 39.41% 158.62%
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value 10.60 39.43 158.55
S&P MidCap 400 Index 10.71 40.09 161.52
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5

 

S&P Mid-Cap 400 Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 1.9%
Consumer Discretionary 14.9
Consumer Staples 4.4
Energy 4.9
Financials 14.1
Health Care 9.1
Industrials 22.6
Information Technology 10.5
Materials 7.4
Real Estate 7.2
Utilities 3.0
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.
6

 

S&P Mid-Cap 400 Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (1.9%)
   New York Times Co. Class A   221,440     9,803
   Iridium Communications Inc.   170,181     8,330
   Nexstar Media Group Inc. Class A    48,461     7,890
 * ZoomInfo Technologies Inc. Class A   364,210     6,563
   World Wrestling Entertainment Inc. Class A    58,656     5,663
   TEGNA Inc.   304,138     5,027
 * Frontier Communications Parent Inc.   301,853     4,836
 * Ziff Davis Inc.    63,918     4,260
   Cable One Inc.     6,371     4,145
 * TripAdvisor Inc.   143,323     2,166
                        58,683
Consumer Discretionary (14.8%)
 * Deckers Outdoor Corp.    35,623    18,848
   Aramark   352,215    13,095
 * Five Below Inc.    75,233    12,937
   Service Corp. International   204,292    12,893
   Williams-Sonoma Inc.    88,753    12,532
 * TopBuild Corp.    42,909    12,447
   Lear Corp.    79,767    11,494
   Lithia Motors Inc. Class A    37,204    11,460
   Toll Brothers Inc.   139,181    11,403
   Churchill Downs Inc.    89,044    11,155
   Tempur Sealy International Inc.   232,550    10,865
 * Mattel Inc.   478,389    10,601
   Gentex Corp.   315,812    10,314
   Autoliv Inc.   104,393    10,189
   Dick's Sporting Goods Inc.    83,106     9,669
 * Light & Wonder Inc.   123,158     9,443
   Texas Roadhouse Inc. Class A    90,554     9,427
 * Skechers USA Inc. Class A   181,498     9,131
 * Capri Holdings Ltd.   169,932     8,920
          Shares Market
Value•

($000)
 * RH    24,138     8,815
   Wyndham Hotels & Resorts Inc.   116,013     8,746
   Murphy USA Inc.    27,089     8,605
   H&R Block Inc.   205,805     8,228
 * Crocs Inc.    83,832     8,160
   Polaris Inc.    72,298     8,104
   Thor Industries Inc.    72,287     7,577
   Brunswick Corp.    95,582     7,562
   PVH Corp.    84,794     7,089
 * Taylor Morrison Home Corp. Class A   147,346     6,984
 * Planet Fitness Inc. Class A   114,729     6,976
   Boyd Gaming Corp.   103,787     6,940
 * AutoNation Inc.    42,538     6,682
   Wingstop Inc.    40,465     6,500
   Valvoline Inc.   187,702     6,464
 * Fox Factory Holding Corp.    57,172     6,335
*,1 GameStop Corp. Class A   341,504     6,335
 * Ollie's Bargain Outlet Holdings Inc.    77,816     5,998
   Harley-Davidson Inc.   177,044     5,975
 * YETI Holdings Inc.   117,117     5,850
   KB Home   108,510     5,512
   Marriott Vacations Worldwide Corp.    49,757     5,408
   Penske Automotive Group Inc.    32,643     5,363
 * Visteon Corp.    38,318     5,337
   Leggett & Platt Inc.   179,942     5,074
 * Adient plc   128,001     5,014
 * Goodyear Tire & Rubber Co.   383,087     4,946
 * Penn Entertainment Inc.   208,500     4,939
 * Grand Canyon Education Inc.    41,521     4,868
   Choice Hotels International Inc.    35,839     4,548
 * Hilton Grand Vacations Inc.   103,916     4,543
   Wendy's Co.   227,880     4,510
   Macy's Inc.   368,193     4,503
   Travel + Leisure Co.   103,157     4,147
7

 

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

($000)
 * Helen of Troy Ltd.    32,494     3,994
   Kohl's Corp.   149,560     3,984
   Carter's Inc.    50,975     3,648
   Columbia Sportswear Co.    47,821     3,507
   Gap Inc.   287,835     3,333
 * Topgolf Callaway Brands Corp.   187,988     3,279
   Papa John's International Inc.    40,144     3,039
   Graham Holdings Co. Class B     5,106     2,994
   Nordstrom Inc.   152,400     2,472
   Foot Locker Inc.   107,172     2,103
 * Under Armour Inc. Class A   254,153     1,942
 * Under Armour Inc. Class C   255,329     1,759
                       465,514
Consumer Staples (4.3%)
 * Darling Ingredients Inc.   215,651    13,319
 * Performance Food Group Co.   211,043    13,112
 * US Foods Holding Corp.   306,314    12,384
   Casey's General Stores Inc.    50,362    12,309
 * BJ's Wholesale Club Holdings Inc.   181,636    12,240
 * Celsius Holdings Inc.    55,003    10,783
   Ingredion Inc.    89,213     9,181
 * BellRing Brands Inc.   179,480     7,448
 * Post Holdings Inc.    72,375     6,493
   Flowers Foods Inc.   260,569     6,139
 * Coty Inc. Class A   495,653     5,730
 * Sprouts Farmers Market Inc.   139,293     5,682
 * Boston Beer Co. Inc. Class A    12,689     4,637
   Lancaster Colony Corp.    26,784     4,424
   Coca-Cola Consolidated Inc.     6,223     4,349
 * Grocery Outlet Holding Corp.   120,692     3,723
   Energizer Holdings Inc.    89,683     3,081
 * Pilgrim's Pride Corp.    60,556     1,524
                       136,558
Energy (4.9%)
   Ovintiv Inc.   330,458    15,518
   Chesapeake Energy Corp.   145,190    12,807
   NOV Inc.   532,097    11,243
   Range Resources Corp.   326,082    10,559
 * Antero Resources Corp.   373,178    10,326
 * Southwestern Energy Co. 1,488,250    10,090
   Matador Resources Co.   153,005     9,716
   ChampionX Corp.   267,538     9,656
   HF Sinclair Corp.   174,120     9,592
   Chord Energy Corp.    56,151     9,068
   Murphy Oil Corp.   198,305     9,003
   PBF Energy Inc. Class A   148,253     6,952
          Shares Market
Value•

($000)
   DT Midstream Inc.   130,931     6,846
 * Valaris Ltd.    81,285     6,122
   Equitrans Midstream Corp.   585,591     5,622
   Antero Midstream Corp.   453,715     5,499
 * CNX Resources Corp.   223,745     5,001
                       153,620
Financials (14.0%)
   Annaly Capital Management Inc.   667,489    13,530
   RenaissanceRe Holdings Ltd.    67,882    12,754
   Interactive Brokers Group Inc. Class A   139,185    12,677
   Reinsurance Group of America Inc.    89,924    12,465
   Unum Group   250,337    12,314
   New York Community Bancorp Inc.   975,906    11,984
   Kinsale Capital Group Inc.    29,415    11,726
 * WEX Inc.    57,900    11,359
   American Financial Group Inc.    94,384    10,941
   East West Bancorp Inc.   191,181    10,580
   Old Republic International Corp.   367,911    10,062
   Webster Financial Corp.   236,169    10,016
   Primerica Inc.    48,954     9,838
   Erie Indemnity Co. Class A    33,717     9,398
   Stifel Financial Corp.   143,443     9,327
   Voya Financial Inc.   132,805     9,254
   First Horizon Corp.   726,817     9,122
   Jefferies Financial Group Inc.   252,286     9,004
   Starwood Property Trust Inc.   421,794     8,617
   First American Financial Corp.   139,472     8,603
   SEI Investments Co.   136,895     8,496
   Cullen/Frost Bankers Inc.    87,033     8,227
   Selective Insurance Group Inc.    81,745     8,110
   Commerce Bancshares Inc.   153,341     7,528
   SouthState Corp.   102,601     7,418
   Essent Group Ltd.   145,092     7,287
   Prosperity Bancshares Inc.   127,410     7,238
   RLI Corp.    54,790     7,206
   Pinnacle Financial Partners Inc.   103,635     6,898
   MGIC Investment Corp.   386,973     6,803
   Evercore Inc. Class A    47,684     6,678
   Affiliated Managers Group Inc.    48,767     6,535
   Wintrust Financial Corp.    82,700     6,418
   Western Union Co.   506,068     6,250
   Synovus Financial Corp.   197,730     6,122
   Old National Bancorp   395,432     6,034
 
8

 

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

($000)
   Bank OZK   145,693     5,853
   Columbia Banking System Inc.   281,754     5,770
   FNB Corp.   488,114     5,677
   Cadence Bank   246,978     5,651
   Home BancShares Inc.   254,623     5,648
 * Euronet Worldwide Inc.    63,715     5,566
   United Bankshares Inc.   181,895     5,471
   Valley National Bancorp   569,775     5,231
   Hanover Insurance Group Inc.    48,282     5,153
   First Financial Bankshares Inc.   175,539     5,041
   Janus Henderson Group plc   179,125     4,921
   Hancock Whitney Corp.   116,347     4,799
   SLM Corp.   327,644     4,666
   Glacier Bancorp Inc.   149,860     4,527
 * Brighthouse Financial Inc.    90,384     4,488
   FirstCash Holdings Inc.    49,773     4,446
   Kemper Corp.    86,490     4,062
 * Texas Capital Bancshares Inc.    64,703     4,040
   Federated Hermes Inc. Class B   114,935     3,995
   UMB Financial Corp.    59,012     3,730
   CNO Financial Group Inc.   154,842     3,623
   Associated Banc-Corp   203,941     3,534
   Cathay General Bancorp    97,955     3,490
   International Bancshares Corp.    71,344     3,195
                       439,396
Health Care (9.0%)
 * Neurocrine Biosciences Inc.   131,873    14,360
 * United Therapeutics Corp.    63,312    14,205
 * Penumbra Inc.    51,698    13,674
 * Jazz Pharmaceuticals plc    86,499    12,401
 * Repligen Corp.    69,980    12,170
 * Shockwave Medical Inc.    49,502    10,910
 * Tenet Healthcare Corp.   137,768    10,685
   Chemed Corp.    20,296    10,380
 * Exelixis Inc.   440,085     9,854
   Encompass Health Corp.   135,468     9,624
 * Acadia Healthcare Co. Inc.   124,390     9,590
 * Medpace Holdings Inc.    33,382     9,022
   Bruker Corp.   134,819     8,844
 * Globus Medical Inc. Class A   160,996     8,710
 * HealthEquity Inc.   115,429     7,797
 * Option Care Health Inc.   223,427     7,782
 * Halozyme Therapeutics Inc.   177,961     7,574
 * Masimo Corp.    65,626     7,500
 * Envista Holdings Corp.   221,248     7,084
 * Neogen Corp.   292,231     6,756
   Perrigo Co. plc   182,897     6,401
          Shares Market
Value•

($000)
 * Lantheus Holdings Inc.    92,243     6,313
 * Haemonetics Corp.    68,263     6,125
 * QuidelOrtho Corp.    72,947     6,008
 * Syneos Health Inc.   140,077     5,986
 * Azenta Inc.    88,071     4,970
 * Inari Medical Inc.    69,543     4,633
 * Amedisys Inc.    44,044     4,129
 * Integra LifeSciences Holdings Corp.    96,316     4,097
 * LivaNova plc    72,674     4,037
 * Arrowhead Pharmaceuticals Inc.   144,473     3,993
 * ICU Medical Inc.    27,320     3,962
 * Progyny Inc.   103,368     3,860
 * Doximity Inc. Class A   160,442     3,825
 * Enovis Corp.    64,797     3,631
   Patterson Cos. Inc.   117,543     3,531
 * Omnicell Inc.    60,844     3,460
 * R1 RCM Inc.   186,468     3,215
 * Sotera Health Co.   134,063     2,164
                       283,262
Industrials (22.5%)
 * Builders FirstSource Inc.   173,210    25,122
   Hubbell Inc. Class B    64,419    21,004
   Carlisle Cos. Inc.    68,880    18,117
   Graco Inc.   227,502    17,959
   Owens Corning   121,774    17,524
   Watsco Inc.    45,171    16,467
   Lennox International Inc.    43,661    16,452
 * Saia Inc.    35,858    15,283
   Lincoln Electric Holdings Inc.    77,805    14,974
   Regal Rexnord Corp.    89,572    14,528
   Toro Co.   140,933    14,420
   EMCOR Group Inc.    64,252    14,408
   AECOM   159,832    14,025
   nVent Electric plc   223,881    12,658
   Knight-Swift Transportation Holdings Inc. Class A   217,654    11,932
   Fortune Brands Innovations Inc.   171,242    11,819
 * XPO Inc.   156,582    11,686
 * Clean Harbors Inc.    67,996    11,514
   ITT Inc.   111,367    11,391
   Tetra Tech Inc.    71,931    11,318
   KBR Inc.   183,416    11,284
 * Paylocity Holding Corp.    55,822    11,192
   AGCO Corp.    83,977    10,878
   Advanced Drainage Systems Inc.    84,532    10,834
   Curtiss-Wright Corp.    51,819    10,778
 * Middleby Corp.    72,327    10,530
   Woodward Inc.    81,137    10,497
 * Trex Co. Inc.   147,049    10,495
   Donaldson Co. Inc.   163,889    10,468
 * GXO Logistics Inc.   160,744    10,283
 
9

 

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

($000)
 * Chart Industries Inc.    56,717    10,242
 * CACI International Inc. Class A    30,800    10,103
   WESCO International Inc.    60,980     9,870
   Landstar System Inc.    48,541     9,214
   Simpson Manufacturing Co. Inc.    57,656     9,211
   Oshkosh Corp.    88,274     9,165
   BWX Technologies Inc.   123,586     9,116
   MSA Safety Inc.    49,879     9,112
   UFP Industries Inc.    83,917     8,757
   Science Applications International Corp.    72,909     8,578
   Genpact Ltd.   228,957     8,547
 * FTI Consulting Inc.    45,920     8,533
   Hexcel Corp.   114,028     8,358
 * MasTec Inc.    80,628     8,022
   Valmont Industries Inc.    28,459     7,214
   Flowserve Corp.   177,117     7,008
   Watts Water Technologies Inc. Class A    37,039     6,992
   Acuity Brands Inc.    42,971     6,930
 * Avis Budget Group Inc.    32,245     6,881
   Timken Co.    88,985     6,800
 * Fluor Corp.   193,588     6,774
 * Kirby Corp.    81,085     6,716
   Maximus Inc.    82,140     6,639
 * ExlService Holdings Inc.   224,665     6,567
   MSC Industrial Direct Co. Inc. Class A    63,864     6,518
   Ryder System Inc.    62,842     6,328
   Exponent Inc.    68,779     6,180
   Crane Co.    65,168     5,938
   EnerSys    55,204     5,795
   GATX Corp.    47,709     5,636
   MDU Resources Group Inc.   275,398     5,607
   Terex Corp.    91,638     5,554
 * Stericycle Inc.   125,060     5,529
 * ASGN Inc.    66,635     5,475
   ManpowerGroup Inc.    68,151     5,375
   Esab Corp.    70,000     5,052
   Insperity Inc.    48,545     4,919
   Brink's Co.    62,743     4,757
   Concentrix Corp.    57,698     4,606
 * Sunrun Inc.   291,424     4,555
 * Hertz Global Holdings Inc.   212,861     3,608
   Werner Enterprises Inc.    79,605     3,312
 * JetBlue Airways Corp.   442,068     2,617
 * Vicor Corp.    30,321     2,055
                       704,605
Information Technology (10.4%)
   Jabil Inc.   179,320    20,518
 * Lattice Semiconductor Corp.   186,040    18,094
 * Manhattan Associates Inc.    83,830    16,986
          Shares Market
Value•

($000)
 * Super Micro Computer Inc.    61,714    16,976
 * Dynatrace Inc.   292,995    14,122
   Cognex Corp.   233,269    10,982
   National Instruments Corp.   177,703    10,591
 * Dropbox Inc. Class A   367,570    10,215
 * Arrow Electronics Inc.    76,338    10,186
 * Ciena Corp.   201,613    10,077
   Universal Display Corp.    58,858     9,568
   Littelfuse Inc.    33,561     8,963
 * Novanta Inc.    48,391     8,080
   MKS Instruments Inc.    77,607     7,779
 * Aspen Technology Inc.    39,509     7,665
 * Coherent Corp.   188,295     7,086
 * Qualys Inc.    45,380     7,063
   Dolby Laboratories Inc. Class A    80,390     6,791
   Vontier Corp.   210,315     6,606
   Power Integrations Inc.    77,465     6,509
 * Teradata Corp.   136,641     6,322
   Avnet Inc.   123,515     6,268
 * Cirrus Logic Inc.    74,591     6,119
 * Wolfspeed Inc.   126,233     6,036
 * MACOM Technology Solutions Holdings Inc.    69,947     5,915
 * NCR Corp.   189,874     5,840
 * Silicon Laboratories Inc.    43,208     5,827
   TD SYNNEX Corp.    56,112     5,709
   Belden Inc.    57,513     5,400
 * Lumentum Holdings Inc.    92,860     5,026
   Vishay Intertechnology Inc.   172,417     4,731
 * Synaptics Inc.    53,435     4,678
 * Kyndryl Holdings Inc.   276,751     4,672
 * Blackbaud Inc.    61,057     4,647
 * IPG Photonics Corp.    42,199     4,573
 * CommVault Systems Inc.    59,436     4,060
 * Envestnet Inc.    73,458     4,013
   Crane NXT Co.    65,279     3,875
   Amkor Technology Inc.   136,142     3,807
 * Calix Inc.    77,708     3,614
 * ACI Worldwide Inc.   146,167     3,549
 * Allegro MicroSystems Inc.    88,121     3,371
   Xerox Holdings Corp.   152,967     2,431
                       325,340
Materials (7.3%)
   Reliance Steel & Aluminum Co.    79,453    22,641
   RPM International Inc.   174,217    17,376
   Crown Holdings Inc.   162,314    15,040
   AptarGroup Inc.    88,548    11,738
 * Cleveland-Cliffs Inc.   696,144    10,644
   Berry Global Group Inc.   161,102    10,526
   Royal Gold Inc.    88,759     9,949
   United States Steel Corp.   306,064     9,516
   Olin Corp.   162,493     9,428
   Graphic Packaging Holding Co.   415,105     9,232
 
10

 

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

($000)
   Eagle Materials Inc.    48,730     9,226
   Commercial Metals Co.   158,285     8,910
 * Axalta Coating Systems Ltd.   299,419     8,474
   Sonoco Products Co.   132,392     7,606
   Alcoa Corp.   241,150     7,254
   Chemours Co.   201,388     6,851
   Westlake Corp.    46,581     6,101
   Louisiana-Pacific Corp.    97,376     6,084
   Ashland Inc.    65,658     5,688
   Cabot Corp.    75,895     5,499
   Silgan Holdings Inc.   113,252     5,111
   Avient Corp.   115,735     4,642
   NewMarket Corp.     8,978     4,217
 * Knife River Corp.    68,671     3,534
   Sensient Technologies Corp.    57,048     3,515
   Scotts Miracle-Gro Co.    55,264     3,131
   Worthington Industries Inc.    41,031     3,088
 * MP Materials Corp.   124,602     2,609
   Greif Inc. Class A    35,009     2,541
                       230,171
Real Estate (7.2%)
   Equity LifeStyle Properties Inc.   236,543    15,839
   Rexford Industrial Realty Inc.   271,585    14,522
   CubeSmart   303,633    12,665
 * Jones Lang LaSalle Inc.    64,554    11,155
   Lamar Advertising Co. Class A   118,231    10,785
   EastGroup Properties Inc.    60,019    10,781
   Omega Healthcare Investors Inc.   316,707    10,078
   NNN REIT Inc.   246,052     9,692
   First Industrial Realty Trust Inc.   178,713     9,282
   Healthcare Realty Trust Inc. Class A   514,666     9,017
   Brixmor Property Group Inc.   406,165     8,927
   STAG Industrial Inc.   242,416     8,855
   Agree Realty Corp.   125,943     7,786
   Spirit Realty Capital Inc.   190,842     7,368
   Apartment Income REIT Corp. Class A   201,628     6,867
   Kite Realty Group Trust   296,437     6,691
   Rayonier Inc.   200,304     5,989
 1 Medical Properties Trust Inc.   808,400     5,837
   Kilroy Realty Corp.   142,490     5,265
   Vornado Realty Trust   217,882     5,233
   PotlatchDeltic Corp.   108,006     5,104
   Independence Realty Trust Inc.   303,248     5,104
   Cousins Properties Inc.   205,072     4,819
          Shares Market
Value•

($000)
   EPR Properties   101,749     4,556
   Physicians Realty Trust   322,334     4,484
   Corporate Office Properties Trust   152,075     3,936
   Sabra Health Care REIT Inc.   312,364     3,914
   Park Hotels & Resorts Inc.   291,495     3,740
   National Storage Affiliates Trust   111,009     3,730
   Highwoods Properties Inc.   142,333     3,392
                       225,413
Utilities (3.0%)
   Essential Utilities Inc.   325,101    11,996
   OGE Energy Corp.   270,592     9,214
   UGI Corp.   282,968     7,125
   National Fuel Gas Co.   123,951     6,661
   IDACORP Inc.    68,359     6,552
   Portland General Electric Co.   130,732     5,734
   New Jersey Resources Corp.   131,020     5,525
   Southwest Gas Holdings Inc.    88,706     5,494
   ONE Gas Inc.    74,865     5,426
   Ormat Technologies Inc.    70,995     5,391
   PNM Resources Inc.   115,958     5,138
   Black Hills Corp.    90,077     4,954
   ALLETE Inc.    77,446     4,252
   Spire Inc.    71,105     4,153
   NorthWestern Corp.    80,797     4,072
 1 Hawaiian Electric Industries Inc.   148,596     2,083
                        93,770
Total Common Stocks
(Cost $2,635,867) 		3,116,332
 
11

 

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

($000)
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
2,3 Vanguard Market Liquidity Fund, 5.384%
(Cost $29,328) 		  293,331          29,330
Total Investments (100.2%)
(Cost $2,665,195) 		  3,145,662
Other Assets and Liabilities—Net (-0.2%)   (7,426)
Net Assets (100%)   3,138,236
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 $7,653,000.
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 $7,937,000 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 September 2023 57 15,098 269
    
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)
AECOM 1/31/24 CITNA 2,446 (5.326) 1 —
Hubbell Inc. Class B 1/31/24 CITNA 2,608 (5.331) — —
Wolfspeed Inc. 8/30/24 BANA 2,008 (5.331) — —
          1 —
1 Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  CITNA—Citibank, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $2,635,867) 3,116,332
Affiliated Issuers (Cost $29,328) 29,330
Total Investments in Securities 3,145,662
Investment in Vanguard 106
Cash Collateral Pledged—Futures Contracts 900
Cash Collateral Pledged—Over-the-Counter Swap Contracts 550
Receivables for Investment Securities Sold 186
Receivables for Accrued Income 2,926
Receivables for Capital Shares Issued 60
Unrealized Appreciation—Over-the-Counter Swap Contracts 1
Total Assets 3,150,391
Liabilities  
Due to Custodian 183
Payables for Investment Securities Purchased 3,700
Collateral for Securities on Loan 7,937
Payables for Capital Shares Redeemed 210
Payables to Vanguard 122
Variation Margin Payable—Futures Contracts 3
Total Liabilities 12,155
Net Assets 3,138,236
1 Includes $7,653,000 of securities on loan.  
13

 

S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities (continued)
 
At August 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 3,003,526
Total Distributable Earnings (Loss) 134,710
Net Assets 3,138,236
 
ETF Shares—Net Assets2  
Applicable to 18,402,315 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,646,934
Net Asset Value Per Share—ETF Shares $89.50
 
Institutional Shares—Net Assets  
Applicable to 4,177,196 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,491,302
Net Asset Value Per Share—Institutional Shares $357.01
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.
14

 

S&P Mid-Cap 400 Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends 44,641
Interest1 644
Securities Lending—Net 798
Total Income 46,083
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 66
Management and Administrative—ETF Shares 1,279
Management and Administrative—Institutional Shares 980
Marketing and Distribution—ETF Shares 86
Marketing and Distribution—Institutional Shares 41
Custodian Fees 40
Auditing Fees 29
Shareholders’ Reports—ETF Shares 59
Shareholders’ Reports—Institutional Shares 14
Trustees’ Fees and Expenses 1
Other Expenses 17
Total Expenses 2,612
Expenses Paid Indirectly (1)
Net Expenses 2,611
Net Investment Income 43,472
Realized Net Gain (Loss)  
Investment Securities Sold1,2 36,197
Futures Contracts 586
Swap Contracts (2,887)
Realized Net Gain (Loss) 33,896
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 217,519
Futures Contracts 135
Swap Contracts 1
Change in Unrealized Appreciation (Depreciation) 217,655
Net Increase (Decrease) in Net Assets Resulting from Operations 295,023
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 $614,000, $2,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $136,071,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 43,472 40,787
Realized Net Gain (Loss) 33,896 142,855
Change in Unrealized Appreciation (Depreciation) 217,655 (502,988)
Net Increase (Decrease) in Net Assets Resulting from Operations 295,023 (319,346)
Distributions    
ETF Shares (23,449) (19,007)
Institutional Shares (21,631) (18,307)
Total Distributions (45,080) (37,314)
Capital Share Transactions    
ETF Shares 110,037 119,621
Institutional Shares 42,807 100,708
Net Increase (Decrease) from Capital Share Transactions 152,844 220,329
Total Increase (Decrease) 402,787 (136,331)
Net Assets    
Beginning of Period 2,735,449 2,871,780
End of Period 3,138,236 2,735,449
See accompanying Notes, which are an integral part of the Financial Statements.
16

 

S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $82.25 $93.08 $65.16 $63.59 $69.01
Investment Operations          
Net Investment Income2 1.267 1.247 .998 .980 .940
Net Realized and Unrealized Gain (Loss) on Investments 7.301 (10.928) 27.898 1.607 (5.437)
Total from Investment Operations 8.568 (9.681) 28.896 2.587 (4.497)
Distributions          
Dividends from Net Investment Income (1.318) (1.149) (.976) (1.017) (.923)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.318) (1.149) (.976) (1.017) (.923)
Net Asset Value, End of Period $89.50 $82.25 $93.08 $65.16 $63.59
Total Return 10.60% -10.47% 44.65% 4.11% -6.50%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,647 $1,411 $1,476 $890 $919
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.50% 1.41% 1.21% 1.57% 1.47%
Portfolio Turnover Rate4 14% 11% 16% 17% 10%
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.
17

 

S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $328.11 $371.30 $259.90 $253.60 $275.26
Investment Operations          
Net Investment Income1 5.108 5.037 4.038 3.959 3.786
Net Realized and Unrealized Gain (Loss) on Investments 29.113 (43.574) 111.307 6.384 (21.653)
Total from Investment Operations 34.221 (38.537) 115.345 10.343 (17.867)
Distributions          
Dividends from Net Investment Income (5.321) (4.653) (3.945) (4.043) (3.793)
Distributions from Realized Capital Gains — — — — —
Total Distributions (5.321) (4.653) (3.945) (4.043) (3.793)
Net Asset Value, End of Period $357.01 $328.11 $371.30 $259.90 $253.60
Total Return 10.64% -10.43% 44.69% 4.14% -6.49%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,491 $1,325 $1,396 $1,164 $1,202
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08%2 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.51% 1.43% 1.24% 1.59% 1.49%
Portfolio Turnover Rate3 14% 11% 16% 17% 10%
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.
18

 

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.
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 year ended August 31, 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.
19

 

S&P Mid-Cap 400 Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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 year ended August 31, 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.
20

 

S&P Mid-Cap 400 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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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.
21

 

S&P Mid-Cap 400 Index Fund
For the year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $106,000, 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 year ended August 31, 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.).
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.
22

 

S&P Mid-Cap 400 Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 3,116,332 — — 3,116,332
Temporary Cash Investments 29,330 — — 29,330
Total 3,145,662 — — 3,145,662
Derivative Financial Instruments        
Assets        
Futures Contracts1 269 — — 269
Swap Contracts — 1 — 1
Total 269 1 — 270
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 135,964
Total Distributable Earnings (Loss) (135,964)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 6,502
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 470,913
Capital Loss Carryforwards (342,705)
Qualified Late-Year Losses —
Other Temporary Differences —
Total 134,710
23

 

S&P Mid-Cap 400 Index Fund
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 45,080 37,314
Long-Term Capital Gains — —
Total 45,080 37,314
* Includes short-term capital gains, if any.
As of August 31, 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 2,674,749
Gross Unrealized Appreciation 719,630
Gross Unrealized Depreciation (248,717)
Net Unrealized Appreciation (Depreciation) 470,913
F.  During the year ended August 31, 2023, the fund purchased $910,011,000 of investment securities and sold $761,243,000 of investment securities, other than temporary cash investments. Purchases and sales include $369,700,000 and $358,236,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $93,700,000 and sales were $133,281,000, resulting in net realized loss of $75,678,000; 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:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 469,310 5,675   520,086 5,850
Issued in Lieu of Cash Distributions — —   — —
Redeemed (359,273) (4,425)   (400,465) (4,550)
Net Increase (Decrease)—ETF Shares 110,037 1,250   119,621 1,300
24

 

S&P Mid-Cap 400 Index Fund
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued 218,125 652   239,857 682
Issued in Lieu of Cash Distributions 20,276 64   17,388 51
Redeemed (195,594) (576)   (156,537) (456)
Net Increase (Decrease)—Institutional Shares 42,807 140   100,708 277
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
H.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
25

 

S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value 9.79% 6.98% 9.62% $25,048
  S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price 9.80 6.97 9.61 25,037
S&P MidCap 400 Value Index 9.93 7.12 9.79 25,441
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $5,000,000
Investment
S&P Mid-Cap 400 Value Index Fund Institutional Shares 9.88% 7.07% 9.73% $12,651,391
S&P MidCap 400 Value Index 9.93 7.12 9.79 12,720,421
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 15,730,560
    
See Financial Highlights for dividend and capital gains information.
26

 

S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Mid-Cap 400 Value Index Fund ETF Shares Market Price 9.80% 40.08% 150.37%
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value 9.79 40.14 150.48
S&P MidCap 400 Value Index 9.93 41.05 154.41
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
27

 

S&P Mid-Cap 400 Value Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 1.9%
Consumer Discretionary 17.1
Consumer Staples 4.4
Energy 1.8
Financials 17.5
Health Care 7.1
Industrials 19.5
Information Technology 11.2
Materials 5.9
Real Estate 10.6
Utilities 3.0
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.
28

 

S&P Mid-Cap 400 Value Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (99.5%)
Communication Services (1.9%)
   TEGNA Inc. 183,052   3,026
   New York Times Co. Class A  66,644   2,950
 * Frontier Communications Parent Inc. 181,624   2,910
 * Ziff Davis Inc.  38,463   2,563
   Cable One Inc.   3,836   2,496
 * ZoomInfo Technologies Inc. Class A 105,253   1,897
 * TripAdvisor Inc.  86,255   1,303
                    17,145
Consumer Discretionary (17.0%)
   Lear Corp.  48,013   6,918
   Toll Brothers Inc.  83,772   6,863
 * Mattel Inc. 287,931   6,381
 * Skechers USA Inc. Class A 109,225   5,495
 * Capri Holdings Ltd. 102,260   5,368
 * RH  14,526   5,305
   Lithia Motors Inc. Class A  15,893   4,895
   Aramark 125,078   4,650
   Thor Industries Inc.  43,536   4,563
   PVH Corp.  51,076   4,270
 * Taylor Morrison Home Corp. Class A  88,759   4,207
   Autoliv Inc.  42,730   4,170
   Williams-Sonoma Inc.  27,776   3,922
*,1 GameStop Corp. Class A 205,737   3,816
 * TopBuild Corp.  12,139   3,521
   Gentex Corp. 102,659   3,353
   KB Home  65,302   3,317
   Marriott Vacations Worldwide Corp.  29,943   3,254
   Penske Automotive Group Inc.  19,645   3,228
 * Light & Wonder Inc.  40,025   3,069
   Leggett & Platt Inc. 108,282   3,054
 * Adient plc  77,037   3,018
 * Goodyear Tire & Rubber Co. 230,558   2,976
 * Penn Entertainment Inc. 125,367   2,970
   Dick's Sporting Goods Inc.  25,010   2,910
          Shares Market
Value•

($000)
   Macy's Inc. 221,528   2,709
   Wyndham Hotels & Resorts Inc.  33,527   2,528
   Travel + Leisure Co.  62,070   2,495
 * Five Below Inc.  14,037   2,414
 * Helen of Troy Ltd.  19,555   2,404
   Kohl's Corp.  90,087   2,400
   Polaris Inc.  20,887   2,341
   Carter's Inc.  30,658   2,194
 * AutoNation Inc.  13,824   2,172
   Columbia Sportswear Co.  28,766   2,110
   Valvoline Inc.  60,994   2,101
   Gap Inc. 173,545   2,010
 * Topgolf Callaway Brands Corp. 113,236   1,975
   Brunswick Corp.  23,584   1,866
 * Ollie's Bargain Outlet Holdings Inc.  23,881   1,841
   Graham Holdings Co. Class B   3,074   1,802
   Boyd Gaming Corp.  25,608   1,712
 * YETI Holdings Inc.  31,719   1,584
   Nordstrom Inc.  91,919   1,491
 * Planet Fitness Inc. Class A  22,115   1,345
 * Hilton Grand Vacations Inc.  30,640   1,340
   Harley-Davidson Inc.  39,375   1,329
   Foot Locker Inc.  64,601   1,267
 * Under Armour Inc. Class A 153,504   1,173
   Choice Hotels International Inc.   8,844   1,122
 * Under Armour Inc. Class C 154,211   1,063
   Papa John's International Inc.  13,296   1,006
                   155,287
Consumer Staples (4.4%)
   Ingredion Inc.  53,702   5,526
 * US Foods Holding Corp. 132,735   5,367
 * Performance Food Group Co.  69,860   4,340
 * Post Holdings Inc.  43,554   3,907
 * Coty Inc. Class A 298,299   3,448
 * BJ's Wholesale Club Holdings Inc.  47,007   3,168
29

 

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

($000)
 * BellRing Brands Inc.  63,738   2,645
   Coca-Cola Consolidated Inc.   3,744   2,617
 * Grocery Outlet Holding Corp.  72,756   2,245
   Energizer Holdings Inc.  54,074   1,857
 * Sprouts Farmers Market Inc.  38,560   1,573
   Flowers Foods Inc.  58,018   1,367
 * Pilgrim's Pride Corp.  36,589     921
 * Boston Beer Co. Inc. Class A   2,367     865
                    39,846
Energy (1.8%)
   Chesapeake Energy Corp.  87,118   7,685
   HF Sinclair Corp.  58,694   3,233
   Ovintiv Inc.  45,750   2,148
   Equitrans Midstream Corp. 190,284   1,827
   Chord Energy Corp.   8,112   1,310
                    16,203
Financials (17.4%)
   Reinsurance Group of America Inc.  54,129   7,503
   Unum Group 150,690   7,412
   Old Republic International Corp. 221,487   6,058
   Webster Financial Corp. 142,149   6,029
   Stifel Financial Corp.  86,334   5,613
   Voya Financial Inc.  79,939   5,570
   New York Community Bancorp Inc. 442,423   5,433
   Starwood Property Trust Inc. 253,874   5,187
   First American Financial Corp.  83,962   5,179
   Essent Group Ltd.  87,251   4,382
   Prosperity Bancshares Inc.  76,693   4,357
   Pinnacle Financial Partners Inc.  62,428   4,155
   MGIC Investment Corp. 233,153   4,099
   Wintrust Financial Corp.  49,778   3,863
   Western Union Co. 304,616   3,762
   Synovus Financial Corp. 118,861   3,680
   Old National Bancorp 238,018   3,632
   American Financial Group Inc.  31,250   3,623
   Bank OZK  87,686   3,522
   FNB Corp. 293,714   3,416
   Home BancShares Inc. 153,422   3,403
   Cadence Bank 148,620   3,400
   RenaissanceRe Holdings Ltd.  17,979   3,378
   Interactive Brokers Group Inc. Class A  36,864   3,358
   Valley National Bancorp 342,904   3,148
   East West Bancorp Inc.  56,386   3,120
   Janus Henderson Group plc 107,805   2,961
 * Brighthouse Financial Inc.  54,389   2,701
   Kemper Corp.  52,054   2,445
 * Texas Capital Bancshares Inc.  38,940   2,431
   UMB Financial Corp.  35,514   2,245
          Shares Market
Value•

($000)
   CNO Financial Group Inc.  93,185   2,181
   Associated Banc-Corp 122,744   2,127
   Evercore Inc. Class A  14,349   2,010
   SouthState Corp.  26,557   1,920
   First Horizon Corp. 148,746   1,867
   Primerica Inc.   9,135   1,836
   United Bankshares Inc.  56,930   1,713
 * Euronet Worldwide Inc.  19,559   1,709
   Columbia Banking System Inc.  81,395   1,667
   Cullen/Frost Bankers Inc.  17,287   1,634
   Hancock Whitney Corp.  35,710   1,473
   Commerce Bancshares Inc.  29,543   1,450
   First Financial Bankshares Inc.  49,659   1,426
   Affiliated Managers Group Inc.   9,985   1,338
   Hanover Insurance Group Inc.  11,915   1,272
   Glacier Bancorp Inc.  41,487   1,253
   Cathay General Bancorp  28,913   1,030
   International Bancshares Corp.  16,750     750
   Federated Hermes Inc. Class B  21,443     745
                   158,466
Health Care (7.1%)
 * Tenet Healthcare Corp.  82,920   6,431
 * Envista Holdings Corp. 133,166   4,264
 * Neogen Corp. 175,888   4,067
   Perrigo Co. plc 110,083   3,853
 * Syneos Health Inc.  84,323   3,603
   Encompass Health Corp.  44,031   3,128
 * Penumbra Inc.  11,513   3,045
 * Azenta Inc.  53,011   2,991
 * Amedisys Inc.  26,507   2,485
 * Integra LifeSciences Holdings Corp.  57,965   2,466
 * LivaNova plc  43,738   2,430
 * Acadia Healthcare Co. Inc.  31,444   2,424
 * ICU Medical Inc.  16,443   2,385
 * Enovis Corp.  39,011   2,186
   Bruker Corp.  33,277   2,183
   Patterson Cos. Inc.  70,739   2,125
 * Omnicell Inc.  36,672   2,085
   Chemed Corp.   3,910   2,000
 * R1 RCM Inc. 112,264   1,936
 * Masimo Corp.  14,615   1,670
 * QuidelOrtho Corp.  19,757   1,627
 * Progyny Inc.  39,189   1,463
 * Sotera Health Co.  80,436   1,298
 * Arrowhead Pharmaceuticals Inc.  45,219   1,250
 * Doximity Inc. Class A  39,590     944
 * STAAR Surgical Co.      69       3
                    64,342
 
30

 

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

($000)
Industrials (19.4%)
   Regal Rexnord Corp.  53,916   8,744
   Fortune Brands Innovations Inc. 103,074   7,114
 * XPO Inc.  94,245   7,034
   Woodward Inc.  48,836   6,318
 * GXO Logistics Inc.  96,744   6,189
   Oshkosh Corp.  53,131   5,517
   Hexcel Corp.  68,634   5,031
   Owens Corning  33,718   4,852
 * MasTec Inc.  48,532   4,828
   AECOM  52,012   4,564
   Flowserve Corp. 106,685   4,222
 * Fluor Corp. 116,518   4,077
 * Kirby Corp.  48,808   4,043
   Maximus Inc.  49,446   3,996
 * Saia Inc.   9,281   3,956
   Ryder System Inc.  37,820   3,808
   Graco Inc.  47,928   3,783
   Lennox International Inc.   9,987   3,763
   ITT Inc.  36,196   3,702
   Knight-Swift Transportation Holdings Inc. Class A  65,496   3,591
   EnerSys  33,231   3,489
 * Chart Industries Inc.  18,776   3,391
   MDU Resources Group Inc. 165,652   3,373
   Terex Corp.  55,153   3,343
 * Stericycle Inc.  75,201   3,325
 * Middleby Corp.  22,637   3,296
 * ASGN Inc.  40,104   3,295
   WESCO International Inc.  20,187   3,267
   ManpowerGroup Inc.  41,020   3,235
   AGCO Corp.  24,262   3,143
   Esab Corp.  42,130   3,041
 * Trex Co. Inc.  41,599   2,969
   Tetra Tech Inc.  18,619   2,930
 * Sunrun Inc. 175,392   2,741
   MSA Safety Inc.  13,512   2,468
   Donaldson Co. Inc.  35,515   2,268
   Genpact Ltd.  59,261   2,212
 * CACI International Inc. Class A   6,675   2,189
 * Hertz Global Holdings Inc. 128,218   2,173
   Timken Co.  27,331   2,089
   Acuity Brands Inc.  12,933   2,086
   Watts Water Technologies Inc. Class A  10,702   2,020
   Werner Enterprises Inc.  47,946   1,995
   MSC Industrial Direct Co. Inc. Class A  19,221   1,962
   Crane Co.  19,613   1,787
   Science Applications International Corp.  14,494   1,705
   GATX Corp.  13,783   1,628
 * JetBlue Airways Corp. 266,735   1,579
   Brink's Co.  20,015   1,517
          Shares Market
Value•

($000)
   Advanced Drainage Systems Inc.  11,703   1,500
   Exponent Inc.  12,819   1,152
 * Vicor Corp.  10,389     704
                   177,004
Information Technology (11.1%)
   Jabil Inc. 107,934  12,350
 * Arrow Electronics Inc.  45,951   6,131
 * Ciena Corp. 121,336   6,064
   MKS Instruments Inc.  46,709   4,682
 * Aspen Technology Inc.  23,746   4,607
 * Manhattan Associates Inc.  21,192   4,294
 * Coherent Corp. 113,379   4,266
   Vontier Corp. 126,590   3,976
   Avnet Inc.  74,350   3,773
 * NCR Corp. 114,210   3,513
   TD SYNNEX Corp.  33,773   3,436
   Cognex Corp.  67,394   3,173
 * Lumentum Holdings Inc.  55,885   3,025
   Vishay Intertechnology Inc. 103,786   2,848
 * Synaptics Inc.  32,151   2,815
 * Kyndryl Holdings Inc. 166,560   2,812
 * IPG Photonics Corp.  25,398   2,752
   National Instruments Corp.  44,927   2,678
 * Wolfspeed Inc.  55,690   2,663
 * ACI Worldwide Inc.  88,116   2,139
   Universal Display Corp.  13,107   2,131
   Dolby Laboratories Inc. Class A  24,365   2,058
 * Teradata Corp.  44,410   2,055
   Littelfuse Inc.   7,676   2,050
 * Super Micro Computer Inc.   7,429   2,044
 * Silicon Laboratories Inc.  12,233   1,650
 * Blackbaud Inc.  19,875   1,513
   Xerox Holdings Corp.  91,929   1,461
 * Allegro MicroSystems Inc.  32,351   1,237
 * Envestnet Inc.  22,570   1,233
   Crane NXT Co.  19,613   1,164
 * CommVault Systems Inc.  11,805     806
                   101,399
Materials (5.9%)
 * Cleveland-Cliffs Inc. 418,998   6,406
   United States Steel Corp. 184,213   5,727
   Crown Holdings Inc.  59,595   5,522
   Alcoa Corp. 145,123   4,365
   AptarGroup Inc.  28,248   3,745
   Berry Global Group Inc.  54,300   3,548
 * Axalta Coating Systems Ltd.  99,115   2,805
   Avient Corp.  69,639   2,793
   Commercial Metals Co.  41,919   2,360
   Sonoco Products Co.  39,045   2,243
 * Knife River Corp.  41,413   2,131
   Sensient Technologies Corp.  34,364   2,117
   Scotts Miracle-Gro Co.  33,297   1,887
   Chemours Co.  52,173   1,775
 
31

 

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

($000)
   Graphic Packaging Holding Co.  72,456   1,611
   Greif Inc. Class A  21,099   1,532
   NewMarket Corp.   2,485   1,167
   Ashland Inc.  13,040   1,130
   Worthington Industries Inc.  12,591     948
                    53,812
Real Estate (10.6%)
   Equity LifeStyle Properties Inc. 142,386   9,534
 * Jones Lang LaSalle Inc.  38,855   6,714
   Healthcare Realty Trust Inc. Class A 309,781   5,427
   Spirit Realty Capital Inc. 114,940   4,438
   Apartment Income REIT Corp. Class A 121,369   4,134
   Kite Realty Group Trust 178,414   4,027
   Rexford Industrial Realty Inc.  70,291   3,758
   Medical Properties Trust Inc. 486,695   3,514
   CubeSmart  84,073   3,507
   Kilroy Realty Corp.  85,746   3,168
   Vornado Realty Trust 131,114   3,149
   Omega Healthcare Investors Inc.  97,225   3,094
   Independence Realty Trust Inc. 182,472   3,071
   STAG Industrial Inc.  80,254   2,932
   EastGroup Properties Inc.  16,257   2,920
   Cousins Properties Inc. 123,397   2,900
   Lamar Advertising Co. Class A  31,314   2,856
   EPR Properties  61,237   2,742
   NNN REIT Inc.  69,617   2,742
   Brixmor Property Group Inc. 124,687   2,741
   First Industrial Realty Trust Inc.  52,712   2,738
   Physicians Realty Trust 193,929   2,698
   Sabra Health Care REIT Inc. 188,069   2,357
   Park Hotels & Resorts Inc. 175,407   2,250
   Highwoods Properties Inc.  85,786   2,044
   Rayonier Inc.  54,258   1,622
   Agree Realty Corp.  23,502   1,453
   PotlatchDeltic Corp.  27,954   1,321
   National Storage Affiliates Trust  35,406   1,190
   Corporate Office Properties Trust  43,932   1,137
                    96,178
          Shares Market
Value•

($000)
Utilities (2.9%)
   UGI Corp. 170,281   4,288
   Portland General Electric Co.  78,598   3,447
   Southwest Gas Holdings Inc.  53,387   3,306
   ALLETE Inc.  46,624   2,560
   NorthWestern Corp.  48,641   2,451
   IDACORP Inc.  19,349   1,854
   Black Hills Corp.  26,028   1,431
   Ormat Technologies Inc.  17,524   1,331
   Spire Inc.  21,821   1,275
 1 Hawaiian Electric Industries Inc.  89,133   1,250
   National Fuel Gas Co.  22,404   1,204
   PNM Resources Inc.  26,533   1,176
   New Jersey Resources Corp.  27,607   1,164
                    26,737
Total Common Stocks
(Cost $869,966) 		906,419
Temporary Cash Investments (0.8%)
Money Market Fund (0.8%)
2,3 Vanguard Market Liquidity Fund, 5.384%
(Cost $7,727) 		 77,281        7,728
Total Investments (100.3%)
(Cost $877,693) 		  914,147
Other Assets and Liabilities—Net (-0.3%)   (3,087)
Net Assets (100%)   911,060
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 $3,948,000.
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 $4,035,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
32

 

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 September 2023 3 795 13
    
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)
Lithia Motors Inc. Class A 1/31/24 CITNA 1,974 (5.326) 23 —
New York Community Bancorp Inc. 1/31/24 CITNA 1,950 (5.326) — (153)
          23 (153)
1 Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  CITNA—Citibank, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $869,966) 906,419
Affiliated Issuers (Cost $7,727) 7,728
Total Investments in Securities 914,147
Investment in Vanguard 31
Cash Collateral Pledged—Futures Contracts 30
Cash Collateral Pledged—Over-the-Counter Swap Contracts 260
Receivables for Investment Securities Sold 116
Receivables for Accrued Income 919
Receivables for Capital Shares Issued 3
Unrealized Appreciation—Over-the-Counter Swap Contracts 23
Total Assets 915,529
Liabilities  
Due to Custodian 115
Payables for Investment Securities Purchased 24
Collateral for Securities on Loan 4,035
Payables for Capital Shares Redeemed 86
Payables to Vanguard 56
Variation Margin Payable—Futures Contracts —
Unrealized Depreciation—Over-the-Counter Swap Contracts 153
Total Liabilities 4,469
Net Assets 911,060
1 Includes $3,948,000 of securities on loan.  
34

 

S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities (continued)
 
At August 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 1,106,197
Total Distributable Earnings (Loss) (195,137)
Net Assets 911,060
 
ETF Shares—Net Assets2  
Applicable to 9,825,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		812,377
Net Asset Value Per Share—ETF Shares $82.68
 
Institutional Shares—Net Assets  
Applicable to 297,437 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		98,683
Net Asset Value Per Share—Institutional Shares $331.78
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.
35

 

S&P Mid-Cap 400 Value Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends 16,313
Interest1 70
Securities Lending—Net 308
Total Income 16,691
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 21
Management and Administrative—ETF Shares 1,019
Management and Administrative—Institutional Shares 53
Marketing and Distribution—ETF Shares 46
Marketing and Distribution—Institutional Shares 3
Custodian Fees 30
Auditing Fees 29
Shareholders’ Reports—ETF Shares 42
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 17
Total Expenses 1,260
Net Investment Income 15,431
Realized Net Gain (Loss)  
Investment Securities Sold1,2 20,941
Futures Contracts (247)
Swap Contracts 564
Realized Net Gain (Loss) 21,258
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 31,263
Futures Contracts 59
Swap Contracts (130)
Change in Unrealized Appreciation (Depreciation) 31,192
Net Increase (Decrease) in Net Assets Resulting from Operations 67,881
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $67,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $80,621,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 15,431 16,431
Realized Net Gain (Loss) 21,258 104,438
Change in Unrealized Appreciation (Depreciation) 31,192 (172,682)
Net Increase (Decrease) in Net Assets Resulting from Operations 67,881 (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 (39,235) 46,955
Institutional Shares 13,348 (76,811)
Net Increase (Decrease) from Capital Share Transactions (25,887) (29,856)
Total Increase (Decrease) 25,473 (98,470)
Net Assets    
Beginning of Period 885,587 984,057
End of Period 911,060 885,587
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $76.82 $82.65 $54.80 $58.77 $65.03
Investment Operations          
Net Investment Income2 1.383 1.442 1.244 1.212 1.031
Net Realized and Unrealized Gain (Loss) on Investments 5.987 (5.769) 28.198 (4.044) (6.310)
Total from Investment Operations 7.370 (4.327) 29.442 (2.832) (5.279)
Distributions          
Dividends from Net Investment Income (1.510) (1.503) (1.592) (1.138) (.981)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.510) (1.503) (1.592) (1.138) (.981)
Net Asset Value, End of Period $82.68 $76.82 $82.65 $54.80 $58.77
Total Return 9.79% -5.34% 54.51% -5.10% -8.04%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $812 $807 $822 $501 $685
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.75% 1.79% 1.72% 2.13% 1.72%
Portfolio Turnover Rate3 43% 33% 36% 51% 38%
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.
38

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $308.23 $331.49 $219.78 $235.62 $260.90
Investment Operations          
Net Investment Income1 5.762 6.147 5.090 5.011 4.332
Net Realized and Unrealized Gain (Loss) on Investments 24.063 (23.292) 113.153 (16.157) (25.380)
Total from Investment Operations 29.825 (17.145) 118.243 (11.146) (21.048)
Distributions          
Dividends from Net Investment Income (6.275) (6.115) (6.533) (4.694) (4.232)
Distributions from Realized Capital Gains — — — — —
Total Distributions (6.275) (6.115) (6.533) (4.694) (4.232)
Net Asset Value, End of Period $331.78 $308.23 $331.49 $219.78 $235.62
Total Return 9.88% -5.23% 54.62% -5.01% -7.99%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $99 $79 $162 $160 $186
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.81% 1.90% 1.79% 2.21% 1.79%
Portfolio Turnover Rate2 43% 33% 36% 51% 38%
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.
39

 

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.
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 year ended August 31, 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.
40

 

S&P Mid-Cap 400 Value Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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 year ended August 31, 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.
41

 

S&P Mid-Cap 400 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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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.
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S&P Mid-Cap 400 Value Index Fund
For the year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $31,000, 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.
43

 

S&P Mid-Cap 400 Value Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 906,419 — — 906,419
Temporary Cash Investments 7,728 — — 7,728
Total 914,147 — — 914,147
Derivative Financial Instruments        
Assets        
Futures Contracts1 13 — — 13
Swap Contracts — 23 — 23
Total 13 23 — 36
Liabilities        
Swap Contracts — 153 — 153
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 80,475
Total Distributable Earnings (Loss) (80,475)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of
44

 

S&P Mid-Cap 400 Value Index Fund
period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 8,190
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 34,171
Capital Loss Carryforwards (237,498)
Qualified Late-Year Losses —
Other Temporary Differences —
Total (195,137)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 16,521 16,801
Long-Term Capital Gains — —
Total 16,521 16,801
* Includes short-term capital gains, if any.
As of August 31, 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 879,976
Gross Unrealized Appreciation 124,207
Gross Unrealized Depreciation (90,036)
Net Unrealized Appreciation (Depreciation) 34,171
E.  During the year ended August 31, 2023, the fund purchased $718,049,000 of investment securities and sold $742,639,000 of investment securities, other than temporary cash investments. Purchases and sales include $314,776,000 and $368,456,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $253,867,000 and sales were $194,716,000, resulting in net realized loss of $34,638,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
45

 

S&P Mid-Cap 400 Value Index Fund
F.  Capital share transactions for each class of shares were:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 329,721 4,150   392,670 4,750
Issued in Lieu of Cash Distributions — —   — —
Redeemed (368,956) (4,825)   (345,715) (4,200)
Net Increase (Decrease)—ETF Shares (39,235) (675)   46,955 550
Institutional Shares          
Issued 28,150 88   12,349 37
Issued in Lieu of Cash Distributions 1,399 5   1,318 4
Redeemed (16,201) (52)   (90,478) (273)
Net Increase (Decrease)—Institutional Shares 13,348 41   (76,811) (232)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
46

 

S&P Mid-Cap 400 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value 11.12% 6.25% 9.86% $25,615
  S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price 11.21 6.28 9.87 25,633
S&P MidCap 400 Growth Index 11.27 6.41 10.04 26,037
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $5,000,000
Investment
S&P Mid-Cap 400 Growth Index Fund Institutional Shares 11.21% 6.34% 9.97% $12,933,498
S&P MidCap 400 Growth Index 11.27 6.41 10.04 13,018,480
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 15,730,560
    
See Financial Highlights for dividend and capital gains information.
47

 

S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Mid-Cap 400 Growth Index Fund ETF Shares Market Price 11.21% 35.59% 156.33%
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value 11.12 35.43 156.15
S&P MidCap 400 Growth Index 11.27 36.44 160.37
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
48

 

S&P Mid-Cap 400 Growth Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 1.9%
Consumer Discretionary 12.7
Consumer Staples 4.4
Energy 7.9
Financials 10.7
Health Care 10.9
Industrials 25.8
Information Technology 9.8
Materials 8.7
Real Estate 4.1
Utilities 3.1
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.
49

 

S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (1.9%)
  Iridium Communications Inc. 101,444   4,966
  Nexstar Media Group Inc. Class A  28,886   4,702
  World Wrestling Entertainment Inc. Class A  34,963   3,376
  New York Times Co. Class A  65,998   2,922
* ZoomInfo Technologies Inc. Class A 112,930   2,035
                   18,001
Consumer Discretionary (12.7%)
* Deckers Outdoor Corp.  21,234  11,235
  Service Corp. International 121,779   7,685
  Churchill Downs Inc.  53,075   6,649
  Tempur Sealy International Inc. 138,617   6,476
  Texas Roadhouse Inc. Class A  53,974   5,619
* Five Below Inc.  30,942   5,321
  Murphy USA Inc.  16,144   5,128
  H&R Block Inc. 122,677   4,905
* Crocs Inc.  49,967   4,864
* TopBuild Corp.  13,556   3,932
  Wingstop Inc.  24,143   3,878
* Fox Factory Holding Corp.  34,080   3,776
  Williams-Sonoma Inc.  25,392   3,585
  Aramark  86,077   3,200
* Visteon Corp.  22,840   3,181
* Grand Canyon Education Inc.  24,753   2,902
  Dick's Sporting Goods Inc.  24,769   2,882
* Planet Fitness Inc. Class A  46,542   2,830
  Gentex Corp.  86,606   2,829
  Wyndham Hotels & Resorts Inc.  35,971   2,712
  Wendy's Co. 135,812   2,688
  Brunswick Corp.  33,614   2,660
* Light & Wonder Inc.  33,768   2,589
  Polaris Inc.  22,410   2,512
  Boyd Gaming Corp.  36,495   2,440
  Harley-Davidson Inc.  66,400   2,241
  Autoliv Inc.  19,909   1,943
* YETI Holdings Inc.  38,379   1,917
          Shares Market
Value•

($000)
* AutoNation Inc.  11,659   1,832
  Valvoline Inc.  51,431   1,771
* Ollie's Bargain Outlet Holdings Inc.  22,709   1,750
  Choice Hotels International Inc.  12,594   1,598
* Hilton Grand Vacations Inc.  31,544   1,379
  Papa John's International Inc.  10,799     818
                  121,727
Consumer Staples (4.4%)
* Darling Ingredients Inc. 128,543   7,939
  Casey's General Stores Inc.  30,018   7,337
* Celsius Holdings Inc.  32,786   6,427
* BJ's Wholesale Club Holdings Inc.  61,711   4,159
* Performance Food Group Co.  56,608   3,517
  Lancaster Colony Corp.  15,964   2,637
  Flowers Foods Inc.  97,836   2,305
* US Foods Holding Corp.  51,116   2,066
* Boston Beer Co. Inc. Class A   5,217   1,906
* Sprouts Farmers Market Inc.  44,810   1,828
* BellRing Brands Inc.  43,848   1,820
                   41,941
Energy (7.8%)
  Ovintiv Inc. 151,679   7,123
  NOV Inc. 317,180   6,702
  Range Resources Corp. 194,376   6,294
* Antero Resources Corp. 222,444   6,155
* Southwestern Energy Co. 887,149   6,015
  Matador Resources Co.  91,214   5,792
  ChampionX Corp. 159,483   5,756
  Murphy Oil Corp. 118,208   5,367
  PBF Energy Inc. Class A  88,373   4,144
  Chord Energy Corp.  25,439   4,108
  DT Midstream Inc.  78,054   4,081
* Valaris Ltd.  48,453   3,649
  Antero Midstream Corp. 270,486   3,278
* CNX Resources Corp. 133,381   2,981
  HF Sinclair Corp.  45,669   2,516
  Equitrans Midstream Corp. 160,386   1,540
                   75,501
50

 

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

($000)
Financials (10.7%)
  Annaly Capital Management Inc. 397,875   8,065
  Kinsale Capital Group Inc.  17,534   6,990
* WEX Inc.  34,514   6,771
  Erie Indemnity Co. Class A  20,093   5,600
  Jefferies Financial Group Inc. 150,432   5,369
  SEI Investments Co.  81,618   5,065
  Selective Insurance Group Inc.  48,732   4,835
  RLI Corp.  32,661   4,296
  RenaissanceRe Holdings Ltd.  22,661   4,258
  Interactive Brokers Group Inc. Class A  46,462   4,232
  Primerica Inc.  20,136   4,047
  First Horizon Corp. 285,980   3,589
  Cullen/Frost Bankers Inc.  34,767   3,286
  East West Bancorp Inc.  58,134   3,217
  Commerce Bancshares Inc.  62,197   3,053
  American Financial Group Inc.  25,322   2,935
  SLM Corp. 195,291   2,781
  FirstCash Holdings Inc.  29,670   2,650
  Affiliated Managers Group Inc.  19,196   2,572
  SouthState Corp.  34,883   2,522
  Evercore Inc. Class A  14,213   1,991
  Hanover Insurance Group Inc.  16,974   1,811
  Columbia Banking System Inc.  87,288   1,788
  Federated Hermes Inc. Class B  47,235   1,642
* Euronet Worldwide Inc.  18,597   1,625
  First Financial Bankshares Inc.  55,413   1,591
  United Bankshares Inc.  51,999   1,564
  Glacier Bancorp Inc.  48,179   1,455
  Hancock Whitney Corp.  33,937   1,400
  International Bancshares Corp.  25,896   1,160
  Cathay General Bancorp  29,873   1,064
                  103,224
Health Care (10.9%)
* Neurocrine Biosciences Inc.  78,606   8,559
* United Therapeutics Corp.  37,740   8,467
* Jazz Pharmaceuticals plc  51,562   7,392
* Repligen Corp.  41,715   7,255
* Shockwave Medical Inc.  29,505   6,503
* Exelixis Inc. 262,338   5,874
* Medpace Holdings Inc.  19,901   5,379
* Globus Medical Inc. Class A  96,061   5,197
* Penumbra Inc.  19,414   5,135
* HealthEquity Inc.  68,853   4,651
* Option Care Health Inc. 133,229   4,640
* Halozyme Therapeutics Inc. 106,082   4,515
  Chemed Corp.   8,227   4,208
* Lantheus Holdings Inc.  55,049   3,768
* Haemonetics Corp.  40,640   3,647
* Acadia Healthcare Co. Inc.  43,002   3,315
  Bruker Corp.  47,422   3,111
* Masimo Corp.  24,645   2,816
* Inari Medical Inc.  41,452   2,761
          Shares Market
Value•

($000)
  Encompass Health Corp.  37,142   2,639
* QuidelOrtho Corp.  23,911   1,969
* Doximity Inc. Class A  56,344   1,343
* Arrowhead Pharmaceuticals Inc.  41,248   1,140
* Progyny Inc.  22,846     853
                  105,137
Industrials (25.7%)
* Builders FirstSource Inc. 103,249  14,975
  Hubbell Inc. Class B  43,171  14,076
  Carlisle Cos. Inc.  41,058  10,799
  Watsco Inc.  26,924   9,815
  Lincoln Electric Holdings Inc.  46,379   8,926
  Toro Co.  84,009   8,596
  EMCOR Group Inc.  38,301   8,589
  nVent Electric plc 133,462   7,546
  Graco Inc.  88,149   6,959
* Clean Harbors Inc.  40,534   6,864
  KBR Inc. 109,334   6,726
* Paylocity Holding Corp.  33,274   6,671
  Curtiss-Wright Corp.  30,888   6,424
  Lennox International Inc.  16,136   6,080
  Owens Corning  39,197   5,641
  Landstar System Inc.  28,946   5,494
  Simpson Manufacturing Co. Inc.  34,374   5,492
  BWX Technologies Inc.  73,669   5,434
  AECOM  60,466   5,306
  UFP Industries Inc.  50,023   5,220
* Saia Inc.  12,184   5,193
* FTI Consulting Inc.  27,373   5,086
  Advanced Drainage Systems Inc.  38,800   4,973
  Valmont Industries Inc.  16,963   4,300
* Avis Budget Group Inc.  19,219   4,101
  Donaldson Co. Inc.  62,525   3,994
* ExlService Holdings Inc. 133,919   3,914
* CACI International Inc. Class A  11,751   3,854
  Tetra Tech Inc.  24,442   3,846
  Knight-Swift Transportation Holdings Inc. Class A  64,866   3,556
  Science Applications International Corp.  29,140   3,429
  AGCO Corp.  26,030   3,372
* Trex Co. Inc.  46,457   3,316
  ITT Inc.  30,538   3,123
* Middleby Corp.  20,695   3,013
  MSA Safety Inc.  16,354   2,988
  Insperity Inc.  28,939   2,932
  Genpact Ltd.  77,796   2,904
* Chart Industries Inc.  15,214   2,747
  Concentrix Corp.  34,393   2,746
  WESCO International Inc.  16,358   2,648
  Exponent Inc.  28,258   2,539
  Watts Water Technologies Inc. Class A  11,482   2,167
 
51

 

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

($000)
  Acuity Brands Inc.  12,810   2,066
  Timken Co.  26,001   1,987
  MSC Industrial Direct Co. Inc. Class A  19,035   1,943
  Crane Co.  19,414   1,769
  GATX Corp.  14,781   1,746
  Brink's Co.  17,553   1,331
* Vicor Corp.   7,728     524
                  247,740
Information Technology (9.8%)
* Lattice Semiconductor Corp. 110,889  10,785
* Dynatrace Inc. 174,643   8,418
* Super Micro Computer Inc.  29,429   8,095
* Dropbox Inc. Class A 219,087   6,088
* Manhattan Associates Inc.  28,981   5,872
* Novanta Inc.  28,845   4,817
* Qualys Inc.  27,049   4,210
  Power Integrations Inc.  46,204   3,882
  National Instruments Corp.  61,435   3,661
* Cirrus Logic Inc.  44,515   3,652
  Universal Display Corp.  22,101   3,593
* MACOM Technology Solutions Holdings Inc.  41,686   3,525
  Cognex Corp.  72,304   3,404
  Littelfuse Inc.  12,402   3,312
  Belden Inc.  34,278   3,219
  Amkor Technology Inc.  81,137   2,269
* Calix Inc.  46,430   2,159
* Wolfspeed Inc.  45,125   2,158
  Dolby Laboratories Inc. Class A  23,465   1,982
* Silicon Laboratories Inc.  13,656   1,842
* Teradata Corp.  37,446   1,733
* CommVault Systems Inc.  23,718   1,620
* Blackbaud Inc.  16,739   1,274
* Envestnet Inc.  21,526   1,176
  Crane NXT Co.  19,468   1,156
* Allegro MicroSystems Inc.  20,446     782
                   94,684
Materials (8.7%)
  Reliance Steel & Aluminum Co.  47,361  13,496
  RPM International Inc. 103,849  10,358
  Royal Gold Inc.  52,909   5,931
  Olin Corp.  96,854   5,619
  Eagle Materials Inc.  29,042   5,498
  Graphic Packaging Holding Co. 175,673   3,907
  Westlake Corp.  27,764   3,637
  Louisiana-Pacific Corp.  58,040   3,626
  Crown Holdings Inc.  37,733   3,496
  AptarGroup Inc.  24,807   3,288
  Cabot Corp.  45,235   3,278
  Silgan Holdings Inc.  67,502   3,046
  Commercial Metals Co.  52,833   2,974
  Berry Global Group Inc.  42,253   2,761
  Chemours Co.  68,497   2,330
          Shares Market
Value•

($000)
  Sonoco Products Co.  40,246   2,312
* Axalta Coating Systems Ltd.  80,320   2,273
  Ashland Inc.  26,221   2,272
* MP Materials Corp.  74,335   1,557
  NewMarket Corp.   2,885   1,355
  Worthington Industries Inc.  12,009     904
                   83,918
Real Estate (4.1%)
  Rexford Industrial Realty Inc.  92,277   4,934
  CubeSmart  97,739   4,077
  Lamar Advertising Co. Class A  39,469   3,600
  EastGroup Properties Inc.  19,678   3,535
  Agree Realty Corp.  51,802   3,202
  NNN REIT Inc.  77,741   3,062
  Omega Healthcare Investors Inc.  92,508   2,944
  First Industrial Realty Trust Inc.  54,334   2,822
  Brixmor Property Group Inc. 118,644   2,608
  STAG Industrial Inc.  65,030   2,376
  Rayonier Inc.  65,660   1,963
  PotlatchDeltic Corp.  36,679   1,733
  Corporate Office Properties Trust  47,242   1,223
  National Storage Affiliates Trust  31,039   1,043
                   39,122
Utilities (3.1%)
  Essential Utilities Inc. 193,819   7,152
  OGE Energy Corp. 161,374   5,495
  ONE Gas Inc.  44,628   3,234
  National Fuel Gas Co.  51,776   2,782
  New Jersey Resources Corp.  50,784   2,142
  IDACORP Inc.  21,607   2,071
  PNM Resources Inc.  42,862   1,899
  Ormat Technologies Inc.  24,977   1,897
  Black Hills Corp.  27,901   1,534
  Spire Inc.  20,727   1,211
                   29,417
Total Common Stocks
(Cost $813,572) 		960,412
 
52

 

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

($000)
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 5.384%
(Cost $5) 		     52        5
Total Investments (99.8%)
(Cost $813,577) 		  960,417
Other Assets and Liabilities—Net (0.2%)   2,193
Net Assets (100%)   962,610
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.
  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 September 2023 8 2,119 1
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $813,572) 960,412
Affiliated Issuers (Cost $5) 5
Total Investments in Securities 960,417
Investment in Vanguard 32
Receivables for Investment Securities Sold 3,498
Receivables for Accrued Income 824
Receivables for Capital Shares Issued 28
Total Assets 964,799
Liabilities  
Due to Custodian 393
Payables for Investment Securities Purchased 1,715
Payables for Capital Shares Redeemed 24
Payables to Vanguard 57
Total Liabilities 2,189
Net Assets 962,610
 
At August 31, 2023, net assets consisted of:

   
Paid-in Capital 1,144,637
Total Distributable Earnings (Loss) (182,027)
Net Assets 962,610
 
ETF Shares—Net Assets1  
Applicable to 8,275,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		785,332
Net Asset Value Per Share—ETF Shares $94.90
 
Institutional Shares—Net Assets  
Applicable to 468,516 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		177,278
Net Asset Value Per Share—Institutional Shares $378.38
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.
54

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends 10,862
Interest1 27
Securities Lending—Net 259
Total Income 11,148
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 21
Management and Administrative—ETF Shares 958
Management and Administrative—Institutional Shares 92
Marketing and Distribution—ETF Shares 42
Marketing and Distribution—Institutional Shares 5
Custodian Fees 20
Auditing Fees 29
Shareholders’ Reports—ETF Shares 37
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 17
Total Expenses 1,221
Net Investment Income 9,927
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (60,170)
Futures Contracts (36)
Realized Net Gain (Loss) (60,206)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 145,189
Futures Contracts 58
Change in Unrealized Appreciation (Depreciation) 145,247
Net Increase (Decrease) in Net Assets Resulting from Operations 94,968
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 $25,000, less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $36,958,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 9,927 8,246
Realized Net Gain (Loss) (60,206) 74,072
Change in Unrealized Appreciation (Depreciation) 145,247 (246,971)
Net Increase (Decrease) in Net Assets Resulting from Operations 94,968 (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 (11,158) (53,845)
Institutional Shares 37,423 (1,657)
Net Increase (Decrease) from Capital Share Transactions 26,265 (55,502)
Total Increase (Decrease) 112,370 (225,500)
Net Assets    
Beginning of Period 850,240 1,075,740
End of Period 962,610 850,240
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $86.30 $102.72 $76.26 $68.85 $73.23
Investment Operations          
Net Investment Income2 .988 .809 .526 .680 .760
Net Realized and Unrealized Gain (Loss) on Investments 8.500 (16.729) 26.594 7.591 (4.542)
Total from Investment Operations 9.488 (15.920) 27.120 8.271 (3.782)
Distributions          
Dividends from Net Investment Income (.888) (.500) (.660) (.861) (.598)
Distributions from Realized Capital Gains — — — — —
Total Distributions (.888) (.500) (.660) (.861) (.598)
Net Asset Value, End of Period $94.90 $86.30 $102.72 $76.26 $68.85
Total Return 11.12% -15.57% 35.70% 12.08% -5.08%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $785 $725 $925 $774 $737
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.12% 0.85% 0.57% 0.98% 1.13%
Portfolio Turnover Rate3 48% 44% 40% 49% 40%
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 Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $344.11 $409.55 $303.97 $274.38 $292.07
Investment Operations          
Net Investment Income1 4.208 3.533 2.347 2.925 3.242
Net Realized and Unrealized Gain (Loss) on Investments 33.855 (66.731) 106.033 30.247 (18.167)
Total from Investment Operations 38.063 (63.198) 108.380 33.172 (14.925)
Distributions          
Dividends from Net Investment Income (3.793) (2.242) (2.800) (3.582) (2.765)
Distributions from Realized Capital Gains — — — — —
Total Distributions (3.793) (2.242) (2.800) (3.582) (2.765)
Net Asset Value, End of Period $378.38 $344.11 $409.55 $303.97 $274.38
Total Return 11.21% -15.50% 35.80% 12.17% -5.02%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $177 $125 $151 $213 $205
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.19% 0.94% 0.65% 1.06% 1.20%
Portfolio Turnover Rate2 48% 44% 40% 49% 40%
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 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.
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 year ended August 31, 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.
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S&P Mid-Cap 400 Growth Index Fund
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
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S&P Mid-Cap 400 Growth 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 year ended August 31, 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 August 31, 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.).
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 August 31, 2023, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
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D.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 36,999
Total Distributable Earnings (Loss) (36,999)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 6,430
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 144,641
Capital Loss Carryforwards (333,098)
Qualified Late-Year Losses —
Other Temporary Differences —
Total (182,027)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 8,863 5,345
Long-Term Capital Gains — —
Total 8,863 5,345
* Includes short-term capital gains, if any.
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S&P Mid-Cap 400 Growth Index Fund
As of August 31, 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 815,776
Gross Unrealized Appreciation 187,407
Gross Unrealized Depreciation (42,766)
Net Unrealized Appreciation (Depreciation) 144,641
E.  During the year ended August 31, 2023, the fund purchased $568,379,000 of investment securities and sold $541,468,000 of investment securities, other than temporary cash investments. Purchases and sales include $109,489,000 and $115,630,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $182,436,000 and sales were $265,402,000, resulting in net realized loss of $76,095,000; 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:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 109,722 1,275   321,229 3,200
Issued in Lieu of Cash Distributions — —   — —
Redeemed (120,880) (1,400)   (375,074) (3,800)
Net Increase (Decrease)—ETF Shares (11,158) (125)   (53,845) (600)
Institutional Shares          
Issued 52,131 146   42,038 115
Issued in Lieu of Cash Distributions 1,358 4   821 2
Redeemed (16,066) (45)   (44,516) (122)
Net Increase (Decrease)—Institutional Shares 37,423 105   (1,657) (5)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  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.
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S&P Mid-Cap 400 Growth Index Fund
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders 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
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, 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 (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the "Funds") as of August 31, 2023, the related statements of operations for the year ended August 31, 2023, the statements of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2023 and each of the financial highlights for each of the five years in the period ended August 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP‎
Philadelphia, Pennsylvania‎
October 18, 2023
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Tax information (unaudited)
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received deduction for corporate shareholders.
Fund Percentage
S&P Mid-Cap 400 Index Fund 85.8%
S&P Mid-Cap 400 Value Index Fund 77.5
S&P Mid-Cap 400 Growth Index Fund 90.0
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
Fund ($000)
S&P Mid-Cap 400 Index Fund 37,314
S&P Mid-Cap 400 Value Index Fund 13,813
S&P Mid-Cap 400 Growth Index Fund 7,663
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax. 
Fund ($000)
S&P Mid-Cap 400 Index Fund 195
S&P Mid-Cap 400 Value Index Fund 21
S&P Mid-Cap 400 Growth Index Fund 8
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
Fund ($000)
S&P Mid-Cap 400 Index Fund 5,444
S&P Mid-Cap 400 Value Index Fund 2,475
S&P Mid-Cap 400 Growth Index Fund 898
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Trustees Approve Advisory Arrangements
The board of trustees 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 has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short-and long-term performance of each fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also below the peer-group average.
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The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Admiral Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for 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, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022 through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
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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.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 205 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief ‎operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and ‎Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
 
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer ‎‎(retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. ‎‎(investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment ‎Committee, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Director of DuPont. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–‎‎2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of ‎financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law, Duke Law School (2021–‎present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global Financial Markets Center, Duke Law School ‎‎(2020–2022); and Senior Fellow, Duke Center on Risk (2020–present). Partner of Kaya Partners (climate policy advisory services). ‎Member of the board of directors of Arcadia (energy solution technology).
Grant Reid
Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.
David Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company. Trustee of Common Fund.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.

 

Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer ‎‎(November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) ‎and deputy chief compliance officer (2017–2019) of State Street.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the ‎investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at ‎Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Jodi Miller
Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director (2022–present) of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
Chris D. McIsaac Lauren Valente

 

Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, 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.
Vanguard Marketing Corporation, Distributor.
Q18420 102023
Annual Report  |  August 31, 2023
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

Your Fund’s Performance at a Glance
• For the 12 months ended August 31, 2023, Vanguard S&P 500 Value Index Fund returned 17.15% for ETF Shares and 17.19% for Institutional Shares. Vanguard S&P 500 Growth Index Fund returned 13.26% for ETF Shares and 13.29% for Institutional Shares. Both funds tracked their target indexes. (Returns for ETF Shares are based on net asset value.)
• Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected.
• Large-capitalization stocks outperformed their small- and mid-cap counterparts for the period. Value and growth stocks both posted positive returns, but growth significantly outperformed value.
• Multiple sectors across both funds posted positive results for the 12 months. Information technology, financial, and communication services stocks contributed most to the performance of the Growth Index Fund, as did information technology, consumer discretionary, and communication services for the Value Index Fund.
Market Barometer
  Average Annual Total Returns
Periods Ended August 31, 2023
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 15.40% 9.93% 10.77%
Russell 2000 Index (Small-caps) 4.65 8.12 3.14
Russell 3000 Index (Broad U.S. market) 14.76 9.81 10.25
FTSE All-World ex US Index (International) 12.02 4.49 3.74
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) 		-1.05% -4.40% 0.55%
Bloomberg Municipal Bond Index
(Broad tax-exempt market) 		1.70 -1.32 1.52
FTSE Three-Month U.S. Treasury Bill Index 4.44 1.63 1.68
CPI      
Consumer Price Index 3.67% 5.71% 4.02%
1

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
2

 

Six Months Ended August 31, 2023      
  Beginning
Account Value
2/28/2023 		Ending
Account Value
8/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,086.10 $0.53
Institutional Shares 1,000.00 1,086.30 0.42
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,198.10 $0.55
Institutional Shares 1,000.00 1,198.20 0.44
Based on Hypothetical 5% Yearly Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Institutional Shares 1,000.00 1,024.80 0.41
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Institutional Shares 1,000.00 1,024.80 0.41
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 (184/365).
3

 

S&P 500 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P 500 Value Index Fund ETF Shares Net Asset Value 17.15% 9.41% 10.29% $26,636
  S&P 500 Value Index Fund ETF Shares Market Price 17.18 9.42 10.30 26,651
S&P 500 Value Index 17.28 9.53 10.43 26,968
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Since
Inception
(3/3/2015) 		Final Value
of a $5,000,000
Investment
S&P 500 Value Index Fund Institutional Shares 17.19% 9.45% 9.15% $10,515,932
S&P 500 Value Index 17.28 9.53 9.22 10,576,229
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 10.73 11,886,634
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standard(s).
See Financial Highlights for dividend and capital gains information.
4

 

S&P 500 Value Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P 500 Value Index Fund ETF Shares Market Price 17.18% 56.85% 166.51%
S&P 500 Value Index Fund ETF Shares Net Asset Value 17.15 56.81 166.36
S&P 500 Value Index 17.28 57.65 169.68
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5

 

S&P 500 Value Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 9.9%
Consumer Discretionary 11.1
Consumer Staples 6.8
Energy 1.6
Financials 19.2
Health Care 8.6
Industrials 12.3
Information Technology 18.2
Materials 3.1
Real Estate 4.4
Utilities 4.8
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.
6

 

S&P 500 Value Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (99.6%)
Communication Services (9.9%)
* Meta Platforms Inc. Class A   484,378   143,323
  Comcast Corp. Class A   910,792    42,589
* Netflix Inc.    97,341    42,215
* Walt Disney Co.   400,148    33,484
  Verizon Communications Inc.   920,593    32,202
  AT&T Inc. 1,565,537    23,154
* Charter Communications Inc. Class A    22,756     9,970
* Warner Bros Discovery Inc.   485,518     6,380
  Activision Blizzard Inc.    64,231     5,909
* T-Mobile US Inc.    40,355     5,498
* Take-Two Interactive Software Inc.    34,726     4,938
  Omnicom Group Inc.    43,723     3,542
* Match Group Inc.    61,203     2,868
  Interpublic Group of Cos. Inc.    84,304     2,749
* Live Nation Entertainment Inc.    31,429     2,657
  Electronic Arts Inc.    18,211     2,185
  Fox Corp. Class A    59,217     1,958
  News Corp. Class A    89,946     1,933
  Paramount Global Class B   110,679     1,670
  Fox Corp. Class B    29,729       907
  News Corp. Class B    18,906       416
                      370,547
Consumer Discretionary (11.0%)
* Amazon.com Inc. 1,055,475   145,666
  Home Depot Inc.   104,218    34,423
  NIKE Inc. Class B   269,803    27,442
* Booking Holdings Inc.     8,086    25,107
  McDonald's Corp.    60,740    17,077
  Starbucks Corp.   123,001    11,985
  Ford Motor Co.   860,637    10,440
  General Motors Co.   304,403    10,201
  Lowe's Cos. Inc.    40,486     9,331
  Ross Stores Inc.    74,909     9,125
  TJX Cos. Inc.    90,770     8,394
  Lennar Corp. Class A    55,262     6,581
          Shares Market
Value•

($000)
* Aptiv plc    59,241     6,010
  Marriott International Inc. Class A    27,669     5,631
  eBay Inc.   117,106     5,244
* Royal Caribbean Cruises Ltd.    48,178     4,767
  Hilton Worldwide Holdings Inc.    30,146     4,481
* NVR Inc.       666     4,247
  Darden Restaurants Inc.    26,487     4,119
  DR Horton Inc.    33,985     4,045
  PulteGroup Inc.    48,959     4,018
  Las Vegas Sands Corp.    71,966     3,948
  Garmin Ltd.    33,510     3,553
* Carnival Corp.   220,420     3,487
* Expedia Group Inc.    31,238     3,386
  Best Buy Co. Inc.    42,634     3,259
  LKQ Corp.    55,689     2,925
  MGM Resorts International    66,348     2,918
  Yum! Brands Inc.    22,013     2,848
* CarMax Inc.    34,770     2,840
* Caesars Entertainment Inc.    46,996     2,597
  Wynn Resorts Ltd.    22,632     2,295
  BorgWarner Inc.    51,245     2,088
  Hasbro Inc.    28,448     2,048
  Bath & Body Works Inc.    50,004     1,844
  Tapestry Inc.    50,841     1,694
  Whirlpool Corp.    11,959     1,674
  Domino's Pizza Inc.     4,164     1,613
* Norwegian Cruise Line Holdings Ltd.    92,650     1,535
  VF Corp.    72,127     1,425
  Genuine Parts Co.     8,592     1,321
* Mohawk Industries Inc.    11,590     1,175
  Pool Corp.     3,150     1,152
  Ralph Lauren Corp. Class A     8,938     1,043
  Newell Brands Inc.    82,175       869
* Etsy Inc.    11,313       832
  Lennar Corp. Class B       360        38
                      412,741
Consumer Staples (6.8%)
  Walmart Inc.   307,097    49,937
  Procter & Gamble Co.   232,204    35,838
7

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
  Costco Wholesale Corp.    33,016    18,135
  Coca-Cola Co.   298,153    17,839
  Philip Morris International Inc.   156,347    15,019
  Target Corp.   101,081    12,792
  Mondelez International Inc. Class A   137,192     9,776
  Altria Group Inc.   187,651     8,298
  Estee Lauder Cos. Inc. Class A    50,780     8,152
  Sysco Corp.   110,982     7,730
  Kroger Co.   143,012     6,634
  Colgate-Palmolive Co.    81,754     6,006
  Kraft Heinz Co.   174,720     5,781
  Church & Dwight Co. Inc.    53,497     5,177
  Kimberly-Clark Corp.    38,420     4,950
  Archer-Daniels-Midland Co.    60,837     4,824
  Constellation Brands Inc. Class A    15,537     4,048
  Walgreens Boots Alliance Inc.   156,878     3,971
  J M Smucker Co.    23,390     3,390
  Tyson Foods Inc. Class A    62,570     3,333
  Conagra Brands Inc.   104,592     3,125
  Keurig Dr Pepper Inc.    92,493     3,112
  General Mills Inc.    41,038     2,777
  Molson Coors Beverage Co. Class B    41,227     2,618
  Clorox Co.    14,903     2,332
  Bunge Ltd.    19,389     2,217
  McCormick & Co. Inc. (Non-Voting)    26,860     2,205
  Kellogg Co.    25,275     1,542
  Brown-Forman Corp. Class B    17,908     1,184
  Campbell Soup Co.    17,922       747
  Hormel Foods Corp.    17,701       683
                      254,172
Energy (1.6%)
  Phillips 66   100,467    11,469
  Valero Energy Corp.    79,158    10,283
  Schlumberger NV   146,679     8,648
  Baker Hughes Co. Class A   221,669     8,022
  Halliburton Co.   197,577     7,631
  Kinder Morgan Inc.   431,826     7,436
  Marathon Petroleum Corp.    48,307     6,897
                       60,386
Financials (19.1%)
* Berkshire Hathaway Inc. Class B   390,462   140,644
  JPMorgan Chase & Co.   639,862    93,631
  Bank of America Corp. 1,518,073    43,523
  Wells Fargo & Co.   821,575    33,923
  S&P Global Inc.    71,822    28,072
  Morgan Stanley   285,253    24,289
  Goldman Sachs Group Inc.    72,795    23,856
  BlackRock Inc.    32,793    22,973
          Shares Market
Value•

($000)
  Citigroup Inc.   426,236    17,599
  CME Group Inc.    78,767    15,965
* PayPal Holdings Inc.   244,323    15,273
  Intercontinental Exchange Inc.   122,601    14,466
  US Bancorp   305,474    11,159
  PNC Financial Services Group Inc.    87,396    10,551
  American Express Co.    66,401    10,491
  American International Group Inc.   158,500     9,276
  Aflac Inc.   120,394     8,978
  MetLife Inc.   140,882     8,924
  Truist Financial Corp.   291,666     8,910
  Capital One Financial Corp.    83,605     8,560
  Charles Schwab Corp.   133,426     7,892
  Chubb Ltd.    39,001     7,834
  Marsh & McLennan Cos. Inc.    39,002     7,605
  Prudential Financial Inc.    79,945     7,568
  Global Payments Inc.    57,369     7,268
  Fidelity National Information Services Inc.   129,771     7,249
  Bank of New York Mellon Corp.   157,259     7,056
  Allstate Corp.    57,573     6,207
  Moody's Corp.    18,318     6,170
  T. Rowe Price Group Inc.    49,188     5,520
* Fiserv Inc.    41,916     5,088
  Aon plc Class A    15,210     5,071
  State Street Corp.    73,210     5,033
  Hartford Financial Services Group Inc.    67,966     4,881
  Willis Towers Watson plc    23,307     4,819
  M&T Bank Corp.    36,339     4,544
  MSCI Inc. Class A     7,542     4,100
  Fifth Third Bancorp   149,108     3,959
  Arthur J Gallagher & Co.    16,897     3,895
  Regions Financial Corp.   205,563     3,770
  Travelers Cos. Inc.    23,279     3,753
  Cincinnati Financial Corp.    34,485     3,648
  Huntington Bancshares Inc.   316,800     3,513
  Northern Trust Corp.    45,657     3,473
  Synchrony Financial    93,900     3,031
  Citizens Financial Group Inc.   106,311     2,991
  Loews Corp.    41,476     2,575
  KeyCorp   204,182     2,313
  Discover Financial Services    23,370     2,105
* FleetCor Technologies Inc.     7,576     2,059
  Franklin Resources Inc.    62,318     1,666
  Assurant Inc.    11,600     1,616
  Invesco Ltd.   100,004     1,592
  Brown & Brown Inc.    21,013     1,557
  Principal Financial Group Inc.    19,207     1,493
  FactSet Research Systems Inc.     3,356     1,465
  Everest Group Ltd.     3,929     1,417
 
8

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
  Nasdaq Inc.    26,662     1,399
  Comerica Inc.    28,686     1,380
  Zions Bancorp NA    32,332     1,148
  Cboe Global Markets Inc.     7,581     1,135
  MarketAxess Holdings Inc.     4,184     1,008
  Lincoln National Corp.    33,523       860
  Globe Life Inc.     5,818       649
                      714,438
Health Care (8.6%)
  Johnson & Johnson   200,357    32,394
  Medtronic plc   291,311    23,742
  Stryker Corp.    73,975    20,976
  Zoetis Inc. Class A   101,186    19,277
  Abbott Laboratories   182,762    18,806
  CVS Health Corp.   280,737    18,296
  Becton Dickinson & Co.    62,188    17,378
* Intuitive Surgical Inc.    39,131    12,235
* Edwards Lifesciences Corp.   132,751    10,151
  Cigna Group    33,045     9,129
* Boston Scientific Corp.   147,953     7,981
* Centene Corp.   119,582     7,372
  West Pharmaceutical Services Inc.    16,258     6,615
  McKesson Corp.    16,036     6,612
  Cencora Inc.    35,472     6,242
  GE HealthCare Technologies Inc.    85,626     6,032
* Align Technology Inc.    15,582     5,768
  HCA Healthcare Inc.    20,786     5,764
* Illumina Inc.    34,624     5,721
  Zimmer Biomet Holdings Inc.    45,676     5,441
  STERIS plc    21,743     4,992
  Cardinal Health Inc.    55,766     4,870
* IDEXX Laboratories Inc.     9,272     4,742
* IQVIA Holdings Inc.    21,137     4,706
  Humana Inc.     9,851     4,547
  Baxter International Inc.   110,800     4,498
* Biogen Inc.    16,798     4,491
  Laboratory Corp. of America Holdings    19,407     4,039
  Cooper Cos. Inc.    10,838     4,010
  Revvity Inc.    27,491     3,217
  Agilent Technologies Inc.    25,964     3,143
  Viatris Inc.   263,265     2,830
  ResMed Inc.    14,808     2,363
* Charles River Laboratories International Inc.    11,182     2,313
* Henry Schein Inc.    28,609     2,190
  Teleflex Inc.    10,294     2,190
* Mettler-Toledo International Inc.     1,685     2,045
* Catalent Inc.    39,304     1,964
* Bio-Rad Laboratories Inc. Class A     4,666     1,867
          Shares Market
Value•

($000)
  Universal Health Services Inc. Class B    13,752     1,852
  DENTSPLY SIRONA Inc.    46,362     1,720
  Bio-Techne Corp.    17,911     1,404
* DaVita Inc.    12,085     1,238
  Organon & Co.    55,837     1,226
  Quest Diagnostics Inc.     8,331     1,096
* Fortrea Holdings Inc.        20         1
                      319,486
Industrials (12.2%)
* Boeing Co.   123,820    27,739
  RTX Corp.   319,901    27,524
  Honeywell International Inc.   145,701    27,383
  General Electric Co.   238,437    27,292
  United Parcel Service Inc. Class B   158,709    26,885
  Eaton Corp. plc    87,287    20,108
  Union Pacific Corp.    66,751    14,723
  FedEx Corp.    50,638    13,218
  3M Co.   120,815    12,887
  Caterpillar Inc.    45,135    12,689
  Parker-Hannifin Corp.    28,095    11,713
  Carrier Global Corp.   182,829    10,504
  Trane Technologies plc    49,940    10,251
  Norfolk Southern Corp.    49,849    10,220
  PACCAR Inc.   114,413     9,415
  Emerson Electric Co.    89,144     8,758
  Rockwell Automation Inc.    25,160     7,852
  Otis Worldwide Corp.    90,499     7,742
  Illinois Tool Works Inc.    29,666     7,338
  United Rentals Inc.    15,053     7,173
  CSX Corp.   231,529     6,992
  Lockheed Martin Corp.    14,300     6,411
  Ingersoll Rand Inc.    88,589     6,167
  Fortive Corp.    77,412     6,104
  Delta Air Lines Inc.   140,777     6,037
  Johnson Controls International plc   101,251     5,980
* TransDigm Group Inc.     6,054     5,472
  Xylem Inc.    52,395     5,425
  General Dynamics Corp.    23,122     5,240
  Waste Management Inc.    33,217     5,208
  Dover Corp.    30,629     4,542
  Westinghouse Air Brake Technologies Corp.    39,385     4,432
  Verisk Analytics Inc. Class A    17,118     4,146
  Southwest Airlines Co.   130,350     4,119
  AMETEK Inc.    25,251     4,028
  Howmet Aerospace Inc.    80,522     3,983
  Cintas Corp.     7,772     3,918
  Northrop Grumman Corp.     8,767     3,797
  Jacobs Solutions Inc.    27,810     3,749
  Paychex Inc.    30,266     3,699
  L3Harris Technologies Inc.    20,738     3,693
  Fastenal Co.    63,775     3,672
* United Airlines Holdings Inc.    71,838     3,578
 
9

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
  Cummins Inc.    15,190     3,494
  Textron Inc.    44,243     3,438
  Stanley Black & Decker Inc.    33,635     3,175
  Republic Services Inc. Class A    20,306     2,927
  Nordson Corp.    11,821     2,886
  Equifax Inc.    13,697     2,831
  Pentair plc    36,006     2,530
  Broadridge Financial Solutions Inc.    13,392     2,494
* Ceridian HCM Holding Inc.    34,092     2,472
  Allegion plc    19,209     2,186
* American Airlines Group Inc.   143,155     2,109
  A O Smith Corp.    27,196     1,972
  Huntington Ingalls Industries Inc.     8,773     1,933
  Robert Half Inc.    23,555     1,742
* Generac Holdings Inc.    13,572     1,613
  IDEX Corp.     7,083     1,604
  Snap-on Inc.     4,967     1,334
* Alaska Air Group Inc.    27,845     1,169
  CH Robinson Worldwide Inc.    11,689     1,057
  Leidos Holdings Inc.    10,437     1,018
  Masco Corp.    14,201       838
                      456,628
Information Technology (18.1%)
  Microsoft Corp.   683,804   224,125
  Cisco Systems Inc.   896,842    51,434
* Salesforce Inc.   214,373    47,475
  Broadcom Inc.    36,515    33,699
  Intel Corp.   913,301    32,093
* Adobe Inc.    53,234    29,776
  International Business Machines Corp.   198,816    29,192
  Accenture plc Class A    70,519    22,832
* Advanced Micro Devices Inc.   162,209    17,149
  Micron Technology Inc.   239,638    16,760
  Oracle Corp.   138,154    16,632
  Intuit Inc.    28,873    15,644
  Texas Instruments Inc.    73,530    12,357
  Roper Technologies Inc.    23,341    11,649
  Analog Devices Inc.    58,706    10,672
  TE Connectivity Ltd.    68,986     9,133
  Cognizant Technology Solutions Corp. Class A   111,117     7,957
* ANSYS Inc.    18,981     6,053
  HP Inc.   189,712     5,636
  Corning Inc.   167,527     5,498
  Microchip Technology Inc.    61,187     5,008
  Hewlett Packard Enterprise Co.   283,611     4,819
  NXP Semiconductors NV    23,325     4,798
  Motorola Solutions Inc.    16,532     4,688
* Autodesk Inc.    21,110     4,685
* Teledyne Technologies Inc.    10,302     4,309
  Skyworks Solutions Inc.    34,862     3,791
          Shares Market
Value•

($000)
  NetApp Inc.    46,929     3,599
* Akamai Technologies Inc.    33,381     3,508
* Western Digital Corp.    70,062     3,153
* Zebra Technologies Corp. Class A    11,266     3,098
  Seagate Technology Holdings plc    42,308     2,995
* Trimble Inc.    54,424     2,982
* Keysight Technologies Inc.    17,945     2,392
* Qorvo Inc.    21,820     2,343
  CDW Corp.    10,940     2,310
* F5 Inc.    13,202     2,161
* VeriSign Inc.    10,114     2,102
  Juniper Networks Inc.    70,279     2,047
* Tyler Technologies Inc.     4,848     1,932
  Teradyne Inc.    17,246     1,860
  Gen Digital Inc.    58,384     1,182
* EPAM Systems Inc.     4,048     1,048
* DXC Technology Co.    49,737     1,032
                      677,608
Materials (3.1%)
  Linde plc    41,801    16,179
  Sherwin-Williams Co.    51,385    13,962
  Ecolab Inc.    54,232     9,968
  Dow Inc.   154,860     8,449
  DuPont de Nemours Inc.   100,499     7,727
  PPG Industries Inc.    51,547     7,307
  Newmont Corp.   174,002     6,859
  Martin Marietta Materials Inc.    13,570     6,058
  LyondellBasell Industries NV Class A    55,545     5,486
  International Flavors & Fragrances Inc.    55,871     3,936
  Ball Corp.    68,860     3,750
  Avery Dennison Corp.    17,676     3,330
  Amcor plc   322,070     3,137
  Packaging Corp. of America    19,753     2,945
  Celanese Corp. Class A    21,930     2,771
  International Paper Co.    76,281     2,664
  Vulcan Materials Co.    11,946     2,607
  Corteva Inc.    48,261     2,438
  Eastman Chemical Co.    26,192     2,227
  Westrock Co.    55,915     1,829
  Sealed Air Corp.    31,524     1,168
                      114,797
Real Estate (4.4%)
  Prologis Inc.   202,214    25,115
  Equinix Inc.    20,481    16,003
  Crown Castle Inc.    94,986     9,546
  Welltower Inc.   108,838     9,020
  American Tower Corp.    47,972     8,698
  Digital Realty Trust Inc.    63,805     8,404
  Realty Income Corp.   147,483     8,265
  Simon Property Group Inc.    71,614     8,127
 
10

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
* CBRE Group Inc. Class A    68,077     5,790
  AvalonBay Communities Inc.    31,109     5,718
  Equity Residential    74,713     4,844
  Invitation Homes Inc.   127,367     4,342
  Alexandria Real Estate Equities Inc.    34,490     4,013
  Ventas Inc.    87,614     3,827
  Mid-America Apartment Communities Inc.    25,577     3,715
  Public Storage    13,171     3,640
  Essex Property Trust Inc.    14,080     3,356
  Extra Space Storage Inc.    23,140     2,978
  VICI Properties Inc. Class A    94,291     2,908
  UDR Inc.    67,896     2,709
  Kimco Realty Corp.   135,379     2,564
  Camden Property Trust    23,311     2,509
  Healthpeak Properties Inc.   120,026     2,470
  Host Hotels & Resorts Inc.   155,274     2,452
  SBA Communications Corp. Class A    10,410     2,337
  Weyerhaeuser Co.    68,729     2,251
  Regency Centers Corp.    36,054     2,243
  Boston Properties Inc.    31,164     2,081
  Federal Realty Investment Trust    15,995     1,567
  Iron Mountain Inc.    23,602     1,500
                      162,992
Utilities (4.8%)
  NextEra Energy Inc.   443,056    29,596
  Southern Co.   238,743    16,170
  Duke Energy Corp.   168,720    14,982
  Dominion Energy Inc.   183,052     8,885
  American Electric Power Co. Inc.   112,753     8,840
  Exelon Corp.   217,746     8,736
  Constellation Energy Corp.    71,039     7,399
  Xcel Energy Inc.   120,566     6,888
  Consolidated Edison Inc.    75,849     6,747
  Public Service Enterprise Group Inc.   109,197     6,670
  American Water Works Co. Inc.    42,631     5,915
          Shares Market
Value•

($000)
  Edison International    83,879     5,775
  Eversource Energy    76,433     4,878
  DTE Energy Co.    45,138     4,666
  Ameren Corp.    57,514     4,559
  Entergy Corp.    46,322     4,412
  FirstEnergy Corp.   119,210     4,300
  PPL Corp.   161,383     4,022
  Sempra    55,221     3,878
  CenterPoint Energy Inc.   138,222     3,855
  CMS Energy Corp.    63,926     3,592
  WEC Energy Group Inc.    33,071     2,782
  Alliant Energy Corp.    55,186     2,769
  Evergy Inc.    50,167     2,758
  NiSource Inc.    90,668     2,426
  Pinnacle West Capital Corp.    24,729     1,911
  Atmos Energy Corp.    12,305     1,427
  AES Corp.    59,713     1,071
  NRG Energy Inc.    26,558       997
                      180,906
Total Common Stocks
(Cost $3,394,531) 		3,724,701
Temporary Cash Investments (0.7%)
Money Market Fund (0.7%)
1 Vanguard Market Liquidity Fund, 5.384%
(Cost $25,685) 		  256,885          25,686
Total Investments (100.3%)
(Cost $3,420,216) 		  3,750,387
Other Assets and Liabilities—Net (-0.3%)   (12,726)
Net Assets (100%)   3,737,661
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.
 
11

 

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 September 2023 28 6,322 150
    
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)
Emerson Electric Co. 8/30/24 BANA 3,537 (5.331) — —
Johnson Controls Inc. 8/30/24 BANA 2,894 (5.331) — —
          — —
1 Based on USD Overnight Bank Funding Rate as of the most recent reset 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.
12

 

S&P 500 Value Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,394,531) 3,724,701
Affiliated Issuers (Cost $25,685) 25,686
Total Investments in Securities 3,750,387
Investment in Vanguard 125
Cash Collateral Pledged—Futures Contracts 270
Receivables for Accrued Income 7,257
Receivables for Capital Shares Issued 138
Unrealized Appreciation—Over-the-Counter Swap Contracts —
Total Assets 3,758,177
Liabilities  
Due to Custodian 2
Payables for Investment Securities Purchased 20,344
Payables for Capital Shares Redeemed 1
Payables to Vanguard 159
Variation Margin Payable—Futures Contracts 10
Total Liabilities 20,516
Net Assets 3,737,661
 
At August 31, 2023, net assets consisted of:

   
Paid-in Capital 3,646,062
Total Distributable Earnings (Loss) 91,599
Net Assets 3,737,661
 
ETF Shares—Net Assets  
Applicable to 22,725,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,559,012
Net Asset Value Per Share—ETF Shares $156.61
 
Institutional Shares—Net Assets  
Applicable to 520,100 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		178,649
Net Asset Value Per Share—Institutional Shares $343.49
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

S&P 500 Value Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends1 71,350
Interest2 267
Securities Lending—Net 24
Total Income 71,641
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 79
Management and Administrative—ETF Shares 2,717
Management and Administrative—Institutional Shares 121
Marketing and Distribution—ETF Shares 179
Marketing and Distribution—Institutional Shares 6
Custodian Fees 44
Auditing Fees 29
Shareholders’ Reports—ETF Shares 105
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 2
Other Expenses 17
Total Expenses 3,299
Expenses Paid Indirectly (3)
Net Expenses 3,296
Net Investment Income 68,345
Realized Net Gain (Loss)  
Investment Securities Sold2,3 132,774
Futures Contracts (680)
Swap Contracts (29)
Realized Net Gain (Loss) 132,065
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 298,326
Futures Contracts 310
Swap Contracts 249
Change in Unrealized Appreciation (Depreciation) 298,885
Net Increase (Decrease) in Net Assets Resulting from Operations 499,295
1 Dividends are net of foreign withholding taxes of $11,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $258,000, $3,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $242,765,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

S&P 500 Value Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 68,345 60,832
Realized Net Gain (Loss) 132,065 167,428
Change in Unrealized Appreciation (Depreciation) 298,885 (390,988)
Net Increase (Decrease) in Net Assets Resulting from Operations 499,295 (162,728)
Distributions    
ETF Shares (64,844) (54,037)
Institutional Shares (3,620) (3,520)
Total Distributions (68,464) (57,557)
Capital Share Transactions    
ETF Shares 350,557 658,546
Institutional Shares (12,596) 4,677
Net Increase (Decrease) from Capital Share Transactions 337,961 663,223
Total Increase (Decrease) 768,792 442,938
Net Assets    
Beginning of Period 2,968,869 2,525,931
End of Period 3,737,661 2,968,869
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P 500 Value Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $136.61 $146.23 $112.29 $111.46 $111.93
Investment Operations          
Net Investment Income1 2.984 3.029 2.897 2.984 2.694
Net Realized and Unrealized Gain (Loss) on Investments 20.032 (9.703) 33.786 .683 (.511)
Total from Investment Operations 23.016 (6.674) 36.683 3.667 2.183
Distributions          
Dividends from Net Investment Income (3.016) (2.946) (2.743) (2.837) (2.653)
Distributions from Realized Capital Gains — — — — —
Total Distributions (3.016) (2.946) (2.743) (2.837) (2.653)
Net Asset Value, End of Period $156.61 $136.61 $146.23 $112.29 $111.46
Total Return 17.15% -4.63% 33.10% 3.33% 2.05%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,559 $2,801 $2,351 $1,244 $984
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.05% 2.10% 2.19% 2.66% 2.48%
Portfolio Turnover Rate3 27% 16% 18% 31% 28%
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.
16

 

S&P 500 Value Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $299.63 $320.71 $246.27 $244.40 $245.49
Investment Operations          
Net Investment Income1 6.624 6.731 6.402 6.596 5.950
Net Realized and Unrealized Gain (Loss) on Investments 43.912 (21.295) 74.102 1.491 (1.115)
Total from Investment Operations 50.536 (14.564) 80.504 8.087 4.835
Distributions          
Dividends from Net Investment Income (6.676) (6.516) (6.064) (6.217) (5.925)
Distributions from Realized Capital Gains — — — — —
Total Distributions (6.676) (6.516) (6.064) (6.217) (5.925)
Net Asset Value, End of Period $343.49 $299.63 $320.71 $246.27 $244.40
Total Return 17.19% -4.60% 33.14% 3.39% 2.07%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $179 $168 $175 $102 $94
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.08% 2.12% 2.22% 2.68% 2.50%
Portfolio Turnover Rate3 27% 16% 18% 31% 28%
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.
17

 

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.
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 year ended August 31, 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 or indexes 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
18

 

S&P 500 Value Index Fund
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 year ended August 31, 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.
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.
19

 

S&P 500 Value Index Fund
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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 year ended August 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
20

 

S&P 500 Value Index Fund
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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $125,000, 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 year ended August 31, 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.
21

 

S&P 500 Value Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 3,723,519 1,182 — 3,724,701
Temporary Cash Investments 25,686 — — 25,686
Total 3,749,205 1,182 — 3,750,387
Derivative Financial Instruments        
Assets        
Futures Contracts1 150 — — 150
Swap Contracts — — — —
Total 150 — — 150
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 242,448
Total Distributable Earnings (Loss) (242,448)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 13,864
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 326,168
Capital Loss Carryforwards (248,433)
Qualified Late-Year Losses —
Other Temporary Differences —
Total 91,599
22

 

S&P 500 Value Index Fund
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 68,464 57,557
Long-Term Capital Gains — —
Total 68,464 57,557
* Includes short-term capital gains, if any.
As of August 31, 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 3,424,219
Gross Unrealized Appreciation 592,594
Gross Unrealized Depreciation (266,426)
Net Unrealized Appreciation (Depreciation) 326,168
F.  During the year ended August 31, 2023, the fund purchased $2,227,607,000 of investment securities and sold $1,894,047,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,326,059,000 and $992,607,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $739,159,000 and sales were $664,462,000, resulting in net realized loss of $60,956,000; 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:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 1,346,221 9,325   1,264,192 8,600
Issued in Lieu of Cash Distributions — —   — —
Redeemed (995,664) (7,100)   (605,646) (4,175)
Net Increase (Decrease)—ETF Shares 350,557 2,225   658,546 4,425
23

 

S&P 500 Value Index Fund
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued 38,239 115   50,529 158
Issued in Lieu of Cash Distributions 3,360 11   3,266 11
Redeemed (54,195) (168)   (49,118) (154)
Net Increase (Decrease)—Institutional Shares (12,596) (42)   4,677 15
H.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
24

 

S&P 500 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P 500 Growth Index Fund ETF Shares Net Asset Value 13.26% 11.60% 14.31% $38,079
  S&P 500 Growth Index Fund ETF Shares Market Price 13.31 11.60 14.31 38,093
S&P 500 Growth Index 13.38 11.71 14.45 38,572
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Since
Inception
(4/5/2019) 1 		Final Value
of a $5,000,000
Investment
S&P 500 Growth Index Fund Institutional Shares 13.29% 13.20% $8,632,455
S&P 500 Growth Index 13.38 13.29 8,662,215
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 11.58 8,101,903
1 Institutional Shares commenced operations on October 17, 2018, and on December 13, 2018, all outstanding shares were redeemed; the return for this period was -5.47%. On April 5, 2019, the class recommenced operations. The total returns shown for both the fund and its comparative standards are based on the period beginning April 5, 2019.
    
See Financial Highlights for dividend and capital gains information.
25

 

S&P 500 Growth Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P 500 Growth Index Fund ETF Shares Market Price 13.31% 73.11% 280.93%
S&P 500 Growth Index Fund ETF Shares Net Asset Value 13.26 73.08 280.79
S&P 500 Growth Index 13.38 73.98 285.72
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
26

 

S&P 500 Growth Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 7.9%
Consumer Discretionary 10.2
Consumer Staples 6.4
Energy 6.7
Financials 6.9
Health Care 17.0
Industrials 5.1
Information Technology 36.5
Materials 2.0
Real Estate 0.9
Utilities 0.4
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.
27

 

S&P 500 Growth Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (7.9%)
 * Alphabet Inc. Class A 2,352,392   320,325
 * Alphabet Inc. Class C 2,023,534   277,932
 * T-Mobile US Inc.   155,093    21,132
   Activision Blizzard Inc.   167,140    15,375
   Electronic Arts Inc.    70,155     8,417
                       643,181
Consumer Discretionary (10.2%)
 * Tesla Inc. 1,066,757   275,309
 * Amazon.com Inc. 1,625,875   224,387
   Home Depot Inc.   212,510    70,192
   McDonald's Corp.   179,235    50,392
   Lowe's Cos. Inc.   162,936    37,554
   TJX Cos. Inc.   291,781    26,984
 * O'Reilly Automotive Inc.    24,101    22,648
   Starbucks Corp.   231,494    22,557
 * Chipotle Mexican Grill Inc. Class A    10,931    21,060
 * AutoZone Inc.     7,289    18,451
   Marriott International Inc. Class A    52,062    10,595
   Tractor Supply Co.    43,398     9,482
   Yum! Brands Inc.    70,988     9,184
 * Ulta Beauty Inc.    19,839     8,234
   Hilton Worldwide Holdings Inc.    50,300     7,477
   DR Horton Inc.    61,453     7,314
   Genuine Parts Co.    40,073     6,160
   Pool Corp.     9,742     3,562
   Domino's Pizza Inc.     6,428     2,490
 * Etsy Inc.    28,411     2,090
                       836,122
Consumer Staples (6.3%)
   PepsiCo Inc.   545,515    97,058
   Procter & Gamble Co.   513,296    79,222
   Costco Wholesale Corp.   115,887    63,654
   Coca-Cola Co. 1,001,730    59,934
   Philip Morris International Inc.   331,883    31,881
          Shares Market
Value•

($000)
   Mondelez International Inc. Class A   291,170    20,749
 * Monster Beverage Corp.   302,565    17,370
   Altria Group Inc.   367,578    16,254
   Kenvue Inc.   682,395    15,729
   Colgate-Palmolive Co.   180,701    13,276
   Hershey Co.    58,307    12,528
   Dollar General Corp.    86,762    12,017
   General Mills Inc.   158,144    10,700
 * Dollar Tree Inc.    82,344    10,076
   Constellation Brands Inc. Class A    35,753     9,316
   Archer-Daniels-Midland Co.   105,674     8,380
   Kimberly-Clark Corp.    64,121     8,261
   Lamb Weston Holdings Inc.    57,690     5,620
   Keurig Dr Pepper Inc.   166,607     5,606
   McCormick & Co. Inc. (Non-Voting)    50,652     4,158
   Clorox Co.    22,009     3,443
   Kellogg Co.    55,872     3,409
   Hormel Foods Corp.    82,665     3,190
   Bunge Ltd.    24,504     2,801
   Brown-Forman Corp. Class B    39,862     2,636
   Campbell Soup Co.    46,937     1,957
                       519,225
Energy (6.7%)
   Exxon Mobil Corp. 1,600,847   177,998
   Chevron Corp.   704,600   113,511
   ConocoPhillips   479,137    57,032
   EOG Resources Inc.   231,575    29,785
   Pioneer Natural Resources Co.    92,561    22,023
   Occidental Petroleum Corp.   284,511    17,864
   Schlumberger NV   299,107    17,635
   Hess Corp.   109,416    16,905
   Williams Cos. Inc.   482,361    16,656
   Devon Energy Corp.   254,113    12,983
   ONEOK Inc.   177,181    11,552
   Marathon Petroleum Corp.    80,635    11,512
28

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   Diamondback Energy Inc.    71,712    10,885
   Coterra Energy Inc.   299,930     8,455
   Targa Resources Corp.    89,496     7,719
   Marathon Oil Corp.   244,315     6,438
   EQT Corp.   143,110     6,185
   APA Corp.   122,508     5,371
                       550,509
Financials (6.9%)
   Visa Inc. Class A   640,756   157,421
   Mastercard Inc. Class A   331,331   136,720
   Progressive Corp.   231,790    30,937
   Marsh & McLennan Cos. Inc.   125,368    24,445
   Charles Schwab Corp.   347,199    20,537
 * Fiserv Inc.   168,671    20,475
   Chubb Ltd.    93,473    18,776
   American Express Co.   115,378    18,229
   Aon plc Class A    53,385    17,798
   Ameriprise Financial Inc.    41,260    13,929
   Arthur J Gallagher & Co.    54,276    12,510
 * Arch Capital Group Ltd.   147,449    11,333
   Moody's Corp.    29,366     9,890
   MSCI Inc. Class A    18,065     9,820
   Travelers Cos. Inc.    49,388     7,963
   Raymond James Financial Inc.    75,525     7,899
   Discover Financial Services    58,334     5,254
   W R Berkley Corp.    79,394     4,911
   Jack Henry & Associates Inc.    28,815     4,518
   Nasdaq Inc.    85,804     4,503
   Principal Financial Group Inc.    54,414     4,229
 * FleetCor Technologies Inc.    15,468     4,203
   Cboe Global Markets Inc.    27,933     4,182
   Brown & Brown Inc.    55,145     4,086
   FactSet Research Systems Inc.     9,091     3,967
   Everest Group Ltd.     9,859     3,556
   Globe Life Inc.    24,708     2,757
   MarketAxess Holdings Inc.     7,322     1,764
                       566,612
Health Care (16.9%)
   UnitedHealth Group Inc.   368,658   175,695
   Eli Lilly & Co.   311,982   172,900
   Merck & Co. Inc. 1,004,713   109,494
   AbbVie Inc.   698,585   102,664
   Johnson & Johnson   591,160    95,579
   Thermo Fisher Scientific Inc.   152,737    85,090
   Pfizer Inc. 2,235,349    79,087
   Danaher Corp.   262,956    69,683
   Amgen Inc.   211,584    54,237
   Bristol-Myers Squibb Co.   831,872    51,285
   Elevance Health Inc.    93,870    41,492
          Shares Market
Value•

($000)
   Gilead Sciences Inc.   493,897    37,773
   Abbott Laboratories   358,041    36,842
 * Vertex Pharmaceuticals Inc.   101,975    35,522
 * Regeneron Pharmaceuticals Inc.    42,720    35,308
 * Intuitive Surgical Inc.    67,981    21,256
 * Boston Scientific Corp.   301,699    16,274
   Cigna Group    57,412    15,861
 * Dexcom Inc.   153,484    15,499
 * Moderna Inc.   129,806    14,677
   Humana Inc.    31,659    14,615
   HCA Healthcare Inc.    44,109    12,231
   McKesson Corp.    24,704    10,186
   Agilent Technologies Inc.    70,233     8,503
 * IDEXX Laboratories Inc.    16,109     8,238
 * IQVIA Holdings Inc.    35,261     7,850
 * Hologic Inc.    97,465     7,285
 * Biogen Inc.    26,926     7,199
 * Molina Healthcare Inc.    23,108     7,166
 * Mettler-Toledo International Inc.     5,677     6,889
 * Waters Corp.    23,371     6,563
 * Insulet Corp.    27,599     5,291
   ResMed Inc.    31,418     5,014
 * Incyte Corp.    73,326     4,732
   Quest Diagnostics Inc.    29,220     3,842
   Bio-Techne Corp.    30,039     2,355
                     1,384,177
Industrials (5.1%)
   Automatic Data Processing Inc.   163,583    41,650
   Deere & Co.    93,773    38,535
   Caterpillar Inc.   122,450    34,424
   Lockheed Martin Corp.    63,357    28,406
   Union Pacific Corp.   120,714    26,626
   Northrop Grumman Corp.    40,690    17,622
 * Copart Inc.   339,678    15,228
   Old Dominion Freight Line Inc.    35,599    15,214
   Illinois Tool Works Inc.    55,841    13,812
   Waste Management Inc.    86,495    13,561
   WW Grainger Inc.    17,680    12,626
   Quanta Services Inc.    57,497    12,067
   CSX Corp.   386,495    11,672
   General Dynamics Corp.    47,212    10,700
   Cintas Corp.    20,196    10,182
   Paychex Inc.    72,446     8,855
 * TransDigm Group Inc.     9,718     8,784
   AMETEK Inc.    45,606     7,275
   Expeditors International of Washington Inc.    60,493     7,060
   L3Harris Technologies Inc.    37,518     6,682
   Cummins Inc.    28,588     6,576
   Republic Services Inc. Class A    44,734     6,447
 
29

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   Verisk Analytics Inc. Class A    26,360     6,385
   Fastenal Co.   110,709     6,375
   JB Hunt Transport Services Inc.    32,779     6,158
 * Axon Enterprise Inc.    27,767     5,912
   Paycom Software Inc.    19,231     5,670
   Equifax Inc.    23,804     4,920
   Broadridge Financial Solutions Inc.    22,438     4,178
   IDEX Corp.    17,105     3,873
   Masco Corp.    63,238     3,732
   Rollins Inc.    91,856     3,635
   Leidos Holdings Inc.    35,234     3,436
   Snap-on Inc.    11,952     3,210
   CH Robinson Worldwide Inc.    24,971     2,258
                       413,746
Information Technology (36.5%)
   Apple Inc. 5,854,268 1,099,841
   Microsoft Corp. 1,707,612   559,687
   NVIDIA Corp.   979,260   483,314
   Broadcom Inc.    99,052    91,414
   Applied Materials Inc.   334,639    51,119
   QUALCOMM Inc.   441,095    50,519
 * Adobe Inc.    85,366    47,749
 * ServiceNow Inc.    80,669    47,500
   Oracle Corp.   359,503    43,281
   Accenture plc Class A   122,549    39,678
   Texas Instruments Inc.   226,405    38,050
   Lam Research Corp.    53,185    37,357
 * Advanced Micro Devices Inc.   344,323    36,402
   Intuit Inc.    58,880    31,902
 * Palo Alto Networks Inc.   119,814    29,151
 * Synopsys Inc.    60,306    27,674
   KLA Corp.    54,319    27,261
 * Cadence Design Systems Inc.   107,975    25,961
   Amphenol Corp. Class A   235,782    20,838
 * Arista Networks Inc.    98,881    19,304
   Analog Devices Inc.    94,139    17,113
 * ON Semiconductor Corp.   171,003    16,837
 * Fortinet Inc.   258,075    15,539
   NXP Semiconductors NV    60,675    12,482
 * Gartner Inc.    31,306    10,947
   Motorola Solutions Inc.    36,521    10,356
 * Autodesk Inc.    46,642    10,352
   Monolithic Power Systems Inc.    17,835     9,296
 * Fair Isaac Corp.     9,899     8,954
   Microchip Technology Inc.   106,292     8,699
 * First Solar Inc.    39,333     7,439
   CDW Corp.    33,612     7,097
 * Enphase Energy Inc.    54,260     6,865
 * PTC Inc.    42,190     6,209
          Shares Market
Value•

($000)
 * Keysight Technologies Inc.    38,077     5,076
 * EPAM Systems Inc.    15,545     4,026
 * VeriSign Inc.    17,540     3,645
 * SolarEdge Technologies Inc.    22,300     3,625
   Teradyne Inc.    30,160     3,253
 * Tyler Technologies Inc.     7,779     3,099
   Gen Digital Inc.   119,490     2,420
                     2,981,331
Materials (2.0%)
   Linde plc   118,256    45,770
   Air Products and Chemicals Inc.    87,958    25,991
   Freeport-McMoRan Inc.   567,547    22,651
   Nucor Corp.    99,476    17,120
   Corteva Inc.   194,275     9,813
   Albemarle Corp.    46,466     9,233
   Steel Dynamics Inc.    63,593     6,778
   Vulcan Materials Co.    31,052     6,777
   CF Industries Holdings Inc.    77,109     5,943
   Mosaic Co.   131,325     5,102
   FMC Corp.    49,455     4,264
                       159,442
Real Estate (0.9%)
   American Tower Corp.    97,813    17,736
 * CoStar Group Inc.   161,778    13,264
   Public Storage    38,850    10,737
   VICI Properties Inc. Class A   226,739     6,993
   Weyerhaeuser Co.   165,511     5,421
   SBA Communications Corp. Class A    24,003     5,389
   Extra Space Storage Inc.    41,777     5,376
   Iron Mountain Inc.    72,810     4,626
                        69,542
Utilities (0.4%)
   Sempra   149,588    10,504
 * PG&E Corp.   640,180    10,435
   WEC Energy Group Inc.    65,019     5,469
   Atmos Energy Corp.    34,826     4,038
   AES Corp.   156,324     2,803
   NRG Energy Inc.    42,629     1,601
                        34,850
Total Common Stocks
(Cost $5,887,631) 		8,158,737
Rights (0.0%)
*,1 ABIOMED Inc. CVR
(Cost $—) 		       56          —
 
30

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
 2 Vanguard Market Liquidity Fund, 5.384%
(Cost $6,980) 		   69,823          6,981
Total Investments (99.9%)
(Cost $5,894,611) 		  8,165,718
Other Assets and Liabilities—Net (0.1%)   11,175
Net Assets (100%)   8,176,893
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 September 2023 10 3,108 55
E-mini S&P 500 Index September 2023 43 9,709 84
        139
    
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)
Deere & Co. 8/30/24 BANA 5,342 (5.331) — —
1 Based on USD Overnight Bank Funding Rate as of the most recent reset 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.
31

 

S&P 500 Growth Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $5,887,631) 8,158,737
Affiliated Issuers (Cost $6,980) 6,981
Total Investments in Securities 8,165,718
Investment in Vanguard 270
Cash 5
Cash Collateral Pledged—Futures Contracts 590
Cash Collateral Pledged—Over-the-Counter Swap Contracts 510
Receivables for Accrued Income 10,327
Receivables for Capital Shares Issued 137
Unrealized Appreciation—Over-the-Counter Swap Contracts —
Total Assets 8,177,557
Liabilities  
Payables for Investment Securities Purchased 307
Payables to Vanguard 348
Variation Margin Payable—Futures Contracts 9
Total Liabilities 664
Net Assets 8,176,893
 
At August 31, 2023, net assets consisted of:

   
Paid-in Capital 6,817,695
Total Distributable Earnings (Loss) 1,359,198
Net Assets 8,176,893
 
ETF Shares—Net Assets  
Applicable to 31,395,972 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		8,169,651
Net Asset Value Per Share—ETF Shares $260.21
 
Institutional Shares—Net Assets  
Applicable to 12,235 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,242
Net Asset Value Per Share—Institutional Shares $591.92
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

S&P 500 Growth Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends1 88,287
Interest2 380
Securities Lending—Net 4
Total Income 88,671
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 167
Management and Administrative—ETF Shares 6,202
Management and Administrative—Institutional Shares 4
Marketing and Distribution—ETF Shares 359
Marketing and Distribution—Institutional Shares —
Custodian Fees 9
Auditing Fees 32
Shareholders’ Reports—ETF Shares 238
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 4
Other Expenses 17
Total Expenses 7,032
Expenses Paid Indirectly (9)
Net Expenses 7,023
Net Investment Income 81,648
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (595,073)
Futures Contracts (1,404)
Swap Contracts 968
Realized Net Gain (Loss) (595,509)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 1,459,888
Futures Contracts 564
Swap Contracts 775
Change in Unrealized Appreciation (Depreciation) 1,461,227
Net Increase (Decrease) in Net Assets Resulting from Operations 947,366
1 Dividends are net of foreign withholding taxes of $36,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $364,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $153,353,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

S&P 500 Growth Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 81,648 52,438
Realized Net Gain (Loss) (595,509) 530,788
Change in Unrealized Appreciation (Depreciation) 1,461,227 (2,018,303)
Net Increase (Decrease) in Net Assets Resulting from Operations 947,366 (1,435,077)
Distributions    
ETF Shares (75,029) (48,040)
Institutional Shares (66) (108)
Total Distributions (75,095) (48,148)
Capital Share Transactions    
ETF Shares 458,971 1,542,386
Institutional Shares 388 (18,702)
Net Increase (Decrease) from Capital Share Transactions 459,359 1,523,684
Total Increase (Decrease) 1,331,630 40,459
Net Assets    
Beginning of Period 6,845,263 6,804,804
End of Period 8,176,893 6,845,263
See accompanying Notes, which are an integral part of the Financial Statements.
34

 

S&P 500 Growth Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $232.26 $283.53 $219.32 $161.81 $158.27
Investment Operations          
Net Investment Income1 2.678 1.923 1.751 2.111 2.156
Net Realized and Unrealized Gain (Loss) on Investments 27.743 (51.406) 64.190 57.589 3.437
Total from Investment Operations 30.421 (49.483) 65.941 59.700 5.593
Distributions          
Dividends from Net Investment Income (2.471) (1.787) (1.731) (2.190) (2.053)
Distributions from Realized Capital Gains — — — — —
Total Distributions (2.471) (1.787) (1.731) (2.190) (2.053)
Net Asset Value, End of Period $260.21 $232.26 $283.53 $219.32 $161.81
Total Return 13.26% -17.52% 30.26% 37.29% 3.60%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $8,170 $6,839 $6,776 $4,485 $2,755
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10%2 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.16% 0.73% 0.73% 1.20% 1.41%
Portfolio Turnover Rate3 33% 13% 12% 24% 23%
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.
35

 

S&P 500 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Year Ended August 31, April 5,
20191 to
August 31,
2019 		October 17,
20181 to
December 13,
2018
2023 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 6.185 4.203 3.959 4.861 3.777 .856
Net Realized and Unrealized Gain (Loss) on Investments 63.118 (116.631) 146.133 131.012 7.713 (19.628)
Total from Investment Operations 69.303 (112.428) 150.092 135.873 11.490 (18.772)
Distributions            
Dividends from Net Investment Income (5.723) (4.142) (4.072) (5.023) — (.938)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (5.723) (4.142) (4.072) (5.023) — (.938)
Net Asset Value, End of Period $591.92 $528.34 $644.91 $498.89 $368.04 $323.57
Total Return 13.29% -17.50% 30.29% 37.35% 3.22% -5.47%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7 $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 1.18% 0.68% 0.71% 1.22% 2.52%4 1.64%4
Portfolio Turnover Rate5 33% 13% 12% 24% 23%6 23%6
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.
36

 

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.
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 year ended August 31, 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 or indexes 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
37

 

S&P 500 Growth Index Fund
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 year ended August 31, 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.
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.
38

 

S&P 500 Growth Index Fund
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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 year ended August 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
39

 

S&P 500 Growth Index Fund
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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $270,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 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.
40

 

S&P 500 Growth Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 8,156,317 2,420 — 8,158,737
Rights — — — —
Temporary Cash Investments 6,981 — — 6,981
Total 8,163,298 2,420 — 8,165,718
Derivative Financial Instruments        
Assets        
Futures Contracts1 139 — — 139
Swap Contracts — — — —
Total 139 — — 139
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 153,323
Total Distributable Earnings (Loss) (153,323)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of
41

 

S&P 500 Growth Index Fund
period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 19,183
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 2,268,172
Capital Loss Carryforwards (928,157)
Qualified Late-Year Losses —
Other Temporary Differences —
Total 1,359,198
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 75,095 48,148
Long-Term Capital Gains — —
Total 75,095 48,148
* Includes short-term capital gains, if any.
As of August 31, 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 5,897,546
Gross Unrealized Appreciation 2,504,582
Gross Unrealized Depreciation (236,410)
Net Unrealized Appreciation (Depreciation) 2,268,172
F.  During the year ended August 31, 2023, the fund purchased $3,219,291,000 of investment securities and sold $2,753,541,000 of investment securities, other than temporary cash investments. Purchases and sales include $893,320,000 and $452,272,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $999,966,000 and sales were $1,371,473,000, resulting in net realized loss of $379,766,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
42

 

S&P 500 Growth Index Fund
G.  Capital share transactions for each class of shares were:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 915,745 4,000   2,939,972 10,746
Issued in Lieu of Cash Distributions — —   — —
Redeemed (456,774) (2,050)   (1,397,586) (5,200)
Net Increase (Decrease)—ETF Shares 458,971 1,950   1,542,386 5,546
Institutional Shares          
Issued 509 —   554 1
Issued in Lieu of Cash Distributions 66 —   87 —
Redeemed (187) —   (19,343) (33)
Net Increase (Decrease)—Institutional Shares 388 —   (18,702) (32)
H.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
43

 

Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (two of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the "Funds") as of August 31, 2023, the related statements of operations for the year ended August 31, 2023, the statements of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 18, 2023
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
44

 

Tax information (unaudited)
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received deduction for corporate shareholders.
Fund Percentage
S&P 500 Value Index Fund 92.9%
S&P 500 Growth Index Fund 100.0
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
Fund ($000)
S&P 500 Value Index Fund 66,795
S&P 500 Growth Index Fund 75,095
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax.
Fund ($000)
S&P 500 Value Index Fund 83
S&P 500 Growth Index Fund 113
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
Fund ($000)
S&P 500 Value Index Fund 1,669
S&P 500 Growth Index Fund —
45

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also below the peer-group average.
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The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
The board concluded that each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
47

 

Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Admiral Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
48

 

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.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 205 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief ‎operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and ‎Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
 
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer ‎‎(retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. ‎‎(investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment ‎Committee, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Director of DuPont. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–‎‎2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of ‎financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law, Duke Law School (2021–‎present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global Financial Markets Center, Duke Law School ‎‎(2020–2022); and Senior Fellow, Duke Center on Risk (2020–present). Partner of Kaya Partners (climate policy advisory services). ‎Member of the board of directors of Arcadia (energy solution technology).
Grant Reid
Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.
David Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company. Trustee of Common Fund.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.

 

Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer ‎‎(November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) ‎and deputy chief compliance officer (2017–2019) of State Street.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the ‎investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at ‎Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Jodi Miller
Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director (2022–present) of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
Chris D. McIsaac Lauren Valente

 

Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
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Institutional Investor Services > 800-523-1036
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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.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, 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.
Vanguard Marketing Corporation, Distributor.
Q18400 102023
Annual Report  |  August 31, 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
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

Your Fund’s Performance at a Glance
• For the 12 months ended August 31, 2023, returns for the three Vanguard S&P Small-Cap 600 Index Funds ranged from 5.28% for ETF Shares (based on net asset value) of Vanguard S&P Small-Cap 600 Growth Index Fund to 5.46% for Institutional Shares of Vanguard S&P Small-Cap 600 Index Fund.
• Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks including the Federal Reserve fanned fears of recession, the economy proved more resilient than expected.
• Equities rallied during the 12 months, led by large-capitalization stocks. (The Standard & Poor’s 500 Index returned 15.94%.) Relative performance between growth and value investment styles were mixed, depending on the methodology of the index provider.
• Performance among sectors in the benchmark indexes were mixed. Double-digit positive returns in sectors such as industrials, information technology, and consumer discretionary more than offset declines in other sectors, such as financials and health care.
Market Barometer
  Average Annual Total Returns
Periods Ended August 31, 2023
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 15.40% 9.93% 10.77%
Russell 2000 Index (Small-caps) 4.65 8.12 3.14
Russell 3000 Index (Broad U.S. market) 14.76 9.81 10.25
FTSE All-World ex US Index (International) 12.02 4.49 3.74
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) 		-1.05% -4.40% 0.55%
Bloomberg Municipal Bond Index
(Broad tax-exempt market) 		1.70 -1.32 1.52
FTSE Three-Month U.S. Treasury Bill Index 4.44 1.63 1.68
CPI      
Consumer Price Index 3.67% 5.71% 4.02%
1

 

About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
2

 

Six Months Ended August 31, 2023      
  Beginning
Account Value
2/28/2023 		Ending
Account Value
8/31/2023 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $991.30 $0.50
Institutional Shares 1,000.00 991.40 0.40
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $961.30 $0.74
Institutional Shares 1,000.00 961.70 0.40
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,020.40 $0.76
Based on Hypothetical 5% Yearly Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Institutional Shares 1,000.00 1,024.80 0.41
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.77
Institutional Shares 1,000.00 1,024.80 0.41
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.77
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 (184/365).
3

 

S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value 5.44% 3.78% 9.41% $24,574
  S&P Small-Cap 600 Index Fund ETF Shares Market Price 5.39 3.78 9.40 24,566
S&P SmallCap 600 Index 5.53 3.82 9.48 24,734
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $5,000,000
Investment
S&P Small-Cap 600 Index Fund Institutional Shares 5.46% 3.80% 9.46% $12,344,957
S&P SmallCap 600 Index 5.53 3.82 9.48 12,366,838
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 15,730,560
    
See Financial Highlights for dividend and capital gains information.
4

 

S&P Small-Cap 600 Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Small-Cap 600 Index Fund ETF Shares Market Price 5.39% 20.37% 145.66%
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value 5.44 20.36 145.74
S&P SmallCap 600 Index 5.53 20.62 147.34
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5

 

S&P Small-Cap 600 Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 2.8%
Consumer Discretionary 14.0
Consumer Staples 5.0
Energy 5.4
Financials 17.3
Health Care 10.1
Industrials 17.2
Information Technology 13.6
Materials 5.1
Real Estate 7.6
Utilities 1.9
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.
6

 

S&P Small-Cap 600 Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (2.8%)
   Madison Square Garden Sports Corp.    74,518    13,264
   Cogent Communications Holdings Inc.   179,862    12,695
 * Yelp Inc. Class A   287,979    12,340
   Telephone & Data Systems Inc.   413,983     8,897
 * Cinemark Holdings Inc.   452,293     7,363
 * Cargurus Inc. Class A   373,400     6,762
   John Wiley & Sons Inc. Class A   178,576     6,636
 * DISH Network Corp. Class A 1,059,554     6,357
 * Lumen Technologies Inc. 3,859,985     6,137
   Scholastic Corp.   122,300     5,314
 * Cars.com Inc.   259,946     4,859
   Shenandoah Telecommunications Co.   210,493     4,787
   Shutterstock Inc.   101,182     4,261
 * Gogo Inc.   274,719     3,118
 * TechTarget Inc.   108,186     3,110
 * Thryv Holdings Inc.   129,833     2,647
 * QuinStreet Inc.   213,108     2,110
 * EW Scripps Co. Class A   245,600     1,876
   ATN International Inc.    44,834     1,608
 1 Marcus Corp.   103,032     1,565
 * AMC Networks Inc. Class A   119,378     1,390
 * Consolidated Communications Holdings Inc.   312,718     1,235
                       118,331
Consumer Discretionary (13.9%)
   Meritage Homes Corp.   153,828    21,388
 * Asbury Automotive Group Inc.    90,102    20,723
   Academy Sports & Outdoors Inc.   322,553    17,602
   Advance Auto Parts Inc.   248,684    17,114
   Group 1 Automotive Inc.    59,166    15,645
          Shares Market
Value•

($000)
   Signet Jewelers Ltd.   188,781    14,159
   Installed Building Products Inc.    97,432    14,101
   LCI Industries   105,865    13,263
 * Tri Pointe Homes Inc.   418,756    13,023
   American Eagle Outfitters Inc.   767,782    13,022
   MDC Holdings Inc.   244,690    11,611
 * M/I Homes Inc.   116,577    11,446
 * Boot Barn Holdings Inc.   124,721    11,443
 * Abercrombie & Fitch Co. Class A   209,278    11,249
 * Frontdoor Inc.   341,903    11,221
 * Shake Shack Inc. Class A   156,603    10,962
 * LGI Homes Inc.    86,611    10,662
   Steven Madden Ltd.   298,862    10,311
   Bloomin' Brands Inc.   365,159    10,246
 * Dorman Products Inc.   118,427     9,771
   Kontoor Brands Inc.   208,713     9,557
 * Cavco Industries Inc.    33,821     9,454
   Century Communities Inc.   119,204     8,851
   Dana Inc.   537,381     8,657
 * Urban Outfitters Inc.   252,071     8,371
 * Gentherm Inc.   138,500     8,339
   Winnebago Industries Inc.   127,753     8,285
 * Adtalem Global Education Inc.   182,714     8,012
   Hanesbrands Inc. 1,461,364     7,672
   Cracker Barrel Old Country Store Inc.    92,619     7,635
   Patrick Industries Inc.    88,711     7,420
 * Sonos Inc.   536,378     7,391
   Strategic Education Inc.    93,777     7,268
 * Stride Inc.   170,869     7,260
 * Six Flags Entertainment Corp.   309,945     7,116
 * ODP Corp.   142,285     7,017
 * Vista Outdoor Inc.   238,589     6,979
 * Sabre Corp. 1,391,005     6,955
   Jack in the Box Inc.    86,296     6,936
 * XPEL Inc.    82,146     6,843
7

 

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

($000)
 * Dave & Buster's Entertainment Inc.   167,748     6,587
   Upbound Group Inc.   210,894     6,458
   Cheesecake Factory Inc.   200,077     6,372
 * Victoria's Secret & Co.   328,093     6,293
   Oxford Industries Inc.    62,143     6,276
 * Brinker International Inc.   185,561     6,073
 * National Vision Holdings Inc.   326,265     5,974
   La-Z-Boy Inc.   180,726     5,575
 * Green Brick Partners Inc.   112,504     5,564
 * Phinia Inc.   196,287     5,457
   Perdoceo Education Corp.   282,680     4,684
 * Sally Beauty Holdings Inc.   450,572     4,578
   Buckle Inc.   124,707     4,557
 * iRobot Corp.   114,069     4,436
   Caleres Inc.   152,062     4,360
   Monro Inc.   131,614     4,309
 * Leslie's Inc.   623,812     3,905
   Sturm Ruger & Co. Inc.    74,179     3,826
   Monarch Casino & Resort Inc.    56,111     3,782
 * American Axle & Manufacturing Holdings Inc.   490,214     3,701
   Dine Brands Global Inc.    65,633     3,595
   Sonic Automotive Inc. Class A    66,629     3,553
 * G-III Apparel Group Ltd.   171,891     3,412
   Golden Entertainment Inc.    93,019     3,387
 * MarineMax Inc.    91,554     3,046
   Guess? Inc.   125,402     3,017
   Ethan Allen Interiors Inc.    95,597     3,000
   Standard Motor Products Inc.    78,983     2,925
 * BJ's Restaurants Inc.    98,618     2,900
 * Chuy's Holdings Inc.    75,909     2,892
 * America's Car-Mart Inc.    24,288     2,703
   Wolverine World Wide Inc.   332,753     2,689
 * Chico's FAS Inc.   517,102     2,653
   Hibbett Inc.    53,402     2,473
 * Mister Car Wash Inc.   336,031     2,433
 * Sleep Number Corp.    92,932     2,377
   Designer Brands Inc. Class A   211,387     2,222
   Movado Group Inc.    65,417     1,789
   Haverty Furniture Cos. Inc.    55,854     1,748
   Shoe Carnival Inc.    71,014     1,643
   Aaron's Co. Inc.   129,481     1,563
                       583,767
Consumer Staples (5.0%)
 * elf Beauty Inc.   211,860    29,387
 * Hostess Brands Inc. Class A   555,896    15,832
 * Simply Good Foods Co.   353,789    12,765
   WD-40 Co.    56,780    12,200
          Shares Market
Value•

($000)
   Inter Parfums Inc.    75,099    10,494
   J & J Snack Foods Corp.    62,913    10,200
 * TreeHouse Foods Inc.   211,930     9,859
   PriceSmart Inc.   104,990     8,345
   Edgewell Personal Care Co.   213,916     8,249
   MGP Ingredients Inc.    64,405     7,722
   Cal-Maine Foods Inc.   159,193     7,608
 * Central Garden & Pet Co. Class A   172,554     7,040
   Andersons Inc.   131,835     6,771
   Vector Group Ltd.   553,846     5,932
 * National Beverage Corp.    97,766     5,016
 * United Natural Foods Inc.   248,822     5,009
   Nu Skin Enterprises Inc. Class A   209,274     5,000
   Universal Corp.   102,461     4,879
 * Chefs' Warehouse Inc.   147,423     4,207
 * Hain Celestial Group Inc.   374,703     3,968
   B&G Foods Inc.   302,497     3,869
   Medifast Inc.    45,604     3,846
   John B Sanfilippo & Son Inc.    37,528     3,766
   Fresh Del Monte Produce Inc.   128,698     3,288
   SpartanNash Co.   147,126     3,201
 * USANA Health Sciences Inc.    46,889     3,015
   Calavo Growers Inc.    74,324     2,450
   Tootsie Roll Industries Inc.    75,336     2,422
 * Central Garden & Pet Co.    40,358     1,781
                       208,121
Energy (5.4%)
   SM Energy Co.   504,257    21,335
   Helmerich & Payne Inc.   429,131    17,161
   Civitas Resources Inc.   205,273    16,878
   California Resources Corp.   295,225    16,485
   Northern Oil & Gas Inc.   338,817    14,173
   Patterson-UTI Energy Inc.   869,131    12,289
   CONSOL Energy Inc.   133,374    11,475
 * Oceaneering International Inc.   421,349     9,602
 * Callon Petroleum Co.   214,785     8,426
 * Par Pacific Holdings Inc.   235,250     8,081
 * Talos Energy Inc.   452,250     7,788
 * Green Plains Inc.   249,249     7,737
   Archrock Inc.   563,139     7,203
 * NexTier Oilfield Solutions Inc.   627,279     6,655
 * Helix Energy Solutions Group Inc.   596,579     6,049
   World Kinect Corp.   259,489     5,683
 1 Comstock Resources Inc.   383,651     4,704
   Core Laboratories Inc.   195,483     4,699
 * Vital Energy Inc.    77,903     4,697
 * Nabors Industries Ltd.    37,960     4,202
 
8

 

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

($000)
   CVR Energy Inc.   122,130     3,994
 * US Silica Holdings Inc.   322,838     3,981
 * Dril-Quip Inc.   143,158     3,948
 * ProPetro Holding Corp.   405,485     3,909
   Dorian LPG Ltd.   133,536     3,445
   RPC Inc.   347,627     2,777
 * Bristow Group Inc. Class A    98,558     2,730
 * REX American Resources Corp.    64,109     2,532
 * Oil States International Inc.   269,171     2,110
                       224,748
Financials (17.2%)
   Radian Group Inc.   654,351    17,720
 * Mr Cooper Group Inc.   284,750    16,134
   Assured Guaranty Ltd.   248,048    14,595
   American Equity Investment Life Holding Co.   264,388    14,192
   Moelis & Co. Class A   278,543    13,206
   United Community Banks Inc.   481,648    13,004
 1 Arbor Realty Trust Inc.   757,792    12,094
 * Genworth Financial Inc. Class A 1,999,258    11,576
   ServisFirst Bancshares Inc.   204,360    11,452
   Ameris Bancorp   272,659    11,111
   Walker & Dunlop Inc.   129,654    11,065
   Artisan Partners Asset Management Inc. Class A   286,372    11,002
   EVERTEC Inc.   272,223    10,772
   Community Bank System Inc.   224,730    10,686
   First Bancorp   751,948    10,422
   WSFS Financial Corp.   256,982    10,099
   First Hawaiian Inc.   533,671    10,092
   Independent Bank Corp.   184,530     9,968
 * NMI Holdings Inc. Class A   348,268     9,967
   CVB Financial Corp.   548,352     9,574
 * Axos Financial Inc.   220,314     9,493
   Simmons First National Corp. Class A   532,351     9,486
   Atlantic Union Bankshares Corp.   313,578     9,310
   Fulton Financial Corp.   692,063     9,225
   Pacific Premier Bancorp Inc.   400,344     9,216
   Piper Sandler Cos.    61,709     9,193
   Bank of Hawaii Corp.   166,013     8,922
   Jackson Financial Inc. Class A   233,603     8,783
 * Bancorp Inc.   229,080     8,410
   Seacoast Banking Corp. of Florida   350,189     8,268
   First Financial Bancorp   397,838     8,267
   BankUnited Inc.   311,603     8,180
   Bread Financial Holdings Inc.   209,889     7,888
          Shares Market
Value•

($000)
   Washington Federal Inc.   275,634     7,492
   Ready Capital Corp.   674,394     7,364
   Navient Corp.   412,077     7,273
   BancFirst Corp.    73,052     6,982
 * StoneX Group Inc.    73,696     6,919
 * Goosehead Insurance Inc. Class A    97,943     6,842
   NBT Bancorp Inc.   197,503     6,798
 * PROG Holdings Inc.   195,817     6,716
 * Enova International Inc.   130,495     6,583
   Renasant Corp.   234,439     6,529
   Independent Bank Group Inc.   148,293     6,258
   Banner Corp.   143,499     6,249
   Park National Corp.    60,121     6,118
   OFG Bancorp   199,106     6,005
   Virtus Investment Partners Inc.    28,700     5,944
   Apollo Commercial Real Estate Finance Inc.   543,228     5,932
 * Triumph Financial Inc.    92,027     5,911
   Hilltop Holdings Inc.   193,405     5,878
   Trustmark Corp.   255,120     5,878
   Northwest Bancshares Inc.   531,142     5,843
   City Holding Co.    63,131     5,768
   First Commonwealth Financial Corp.   431,026     5,633
   Two Harbors Investment Corp.   405,156     5,579
   Pathward Financial Inc.   112,744     5,555
   Lakeland Financial Corp.   106,540     5,554
 * Payoneer Global Inc.   859,137     5,318
 * Palomar Holdings Inc.   104,133     5,312
   Stewart Information Services Corp.   114,148     5,287
 * Donnelley Financial Solutions Inc.   106,019     5,224
   Provident Financial Services Inc.   315,220     5,195
   First Bancorp (XNGS)   171,736     5,090
   National Bank Holdings Corp. Class A   157,977     4,983
   Westamerica Bancorp   111,631     4,915
   PennyMac Mortgage Investment Trust   366,086     4,909
   Horace Mann Educators Corp.   171,103     4,904
   Franklin BSP Realty Trust Inc.   344,695     4,874
   Hope Bancorp Inc.   502,402     4,858
   S&T Bancorp Inc.   163,242     4,625
 * Encore Capital Group Inc.    98,372     4,610
   FB Financial Corp.   146,983     4,465
   Employers Holdings Inc.   112,596     4,417
 * Trupanion Inc.   148,522     4,416
 * Customers Bancorp Inc.   123,055     4,324
 
9

 

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

($000)
   Safety Insurance Group Inc.    62,279     4,289
   Veritex Holdings Inc.   227,252     4,275
   AMERISAFE Inc.    80,236     4,156
   Stellar Bancorp Inc.   189,800     4,037
 1 ARMOUR Residential REIT Inc.   819,025     4,021
   ProAssurance Corp.   226,331     4,002
 * SiriusPoint Ltd.   359,284     3,974
   PacWest Bancorp   494,464     3,931
   Berkshire Hills Bancorp Inc.   185,480     3,877
   Redwood Trust Inc.   477,650     3,826
   Southside Bancshares Inc.   123,089     3,705
   New York Mortgage Trust Inc.   381,972     3,636
   Ellington Financial Inc.   267,284     3,574
   Brookline Bancorp Inc.   367,729     3,519
   WisdomTree Inc.   475,232     3,469
   Preferred Bank    55,334     3,437
 * Avantax Inc.   161,651     3,382
 1 B. Riley Financial Inc.    66,005     3,380
 * PRA Group Inc.   164,086     3,196
   Mercury General Corp.   111,338     3,185
   Eagle Bancorp Inc.   128,678     3,096
   KKR Real Estate Finance Trust Inc.   243,137     3,042
   Capitol Federal Financial Inc.   530,462     3,008
   Dime Community Bancshares Inc.   136,565     2,910
 * Green Dot Corp. Class A   194,022     2,879
   Banc of California Inc.   224,383     2,811
   Brightsphere Investment Group Inc.   135,482     2,806
   Tompkins Financial Corp.    52,912     2,748
   Heritage Financial Corp.   146,883     2,529
 * Ambac Financial Group Inc.   189,875     2,446
   James River Group Holdings Ltd.   157,593     2,295
   TrustCo Bank Corp.    79,693     2,269
   Hanmi Financial Corp.   127,963     2,216
   Invesco Mortgage Capital Inc.   174,456     1,963
   Central Pacific Financial Corp.   113,132     1,920
 * World Acceptance Corp.    14,016     1,889
 * EZCORP Inc. Class A   219,712     1,848
   Northfield Bancorp Inc.   171,534     1,808
   United Fire Group Inc.    90,924     1,798
   HCI Group Inc.    28,452     1,516
   Universal Insurance Holdings Inc.   114,765     1,453
                       722,822
Health Care (10.1%)
   Ensign Group Inc.   234,296    23,481
          Shares Market
Value•

($000)
 * Merit Medical Systems Inc.   240,600    15,706
 * Glaukos Corp.   201,711    15,157
   CONMED Corp.   127,914    14,257
 * Cytokinetics Inc.   400,051    13,978
   Select Medical Holdings Corp.   436,137    12,740
 * Corcept Therapeutics Inc.   378,220    12,379
 * Prestige Consumer Healthcare Inc.   207,915    12,128
 * Integer Holdings Corp.   139,365    11,889
 * AMN Healthcare Services Inc.   119,897    10,597
 * Privia Health Group Inc.   391,898    10,287
 * Fortrea Holdings Inc.   370,760    10,214
 * STAAR Surgical Co.   202,001     8,759
 * Amphastar Pharmaceuticals Inc.   157,423     8,392
 * Schrodinger Inc.   224,633     8,287
 * CorVel Corp.    38,101     8,247
 * NeoGenomics Inc.   533,348     8,016
 * RadNet Inc.   239,892     8,015
 * Tandem Diabetes Care Inc.   270,563     7,403
 * Supernus Pharmaceuticals Inc.   227,650     7,248
 * Dynavax Technologies Corp.   500,577     7,188
 * Certara Inc.   441,877     7,141
 * Pacira BioSciences Inc.   192,173     6,784
 * Vericel Corp.   199,238     6,541
 * Apollo Medical Holdings Inc.   168,750     6,389
   US Physical Therapy Inc.    61,525     6,204
 * Veradigm Inc.   457,563     6,122
 * Myriad Genetics Inc.   340,805     6,083
 * Addus HomeCare Corp.    67,672     5,935
 * Catalyst Pharmaceuticals Inc.   408,427     5,734
 * Xencor Inc.   252,215     5,544
 * Owens & Minor Inc.   318,279     5,379
 * UFP Technologies Inc.    29,024     5,100
 * Ironwood Pharmaceuticals Inc. Class A   566,389     4,984
 * Pediatrix Medical Group Inc.   345,888     4,887
   LeMaitre Vascular Inc.    81,677     4,722
 * Harmony Biosciences Holdings Inc.   125,579     4,552
 * Ligand Pharmaceuticals Inc.    68,738     4,521
 * Arcus Biosciences Inc.   220,498     4,520
   Embecta Corp.   240,026     4,400
 * Avanos Medical Inc.   194,721     4,097
 * NextGen Healthcare Inc.   224,027     4,080
 * Vir Biotechnology Inc.   319,030     4,039
 * AdaptHealth Corp. Class A   320,373     3,822
 
10

 

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

($000)
 * ANI Pharmaceuticals Inc.    58,323     3,755
 * Cross Country Healthcare Inc.   143,006     3,684
 * Collegium Pharmaceutical Inc.   144,924     3,394
 * Varex Imaging Corp.   169,239     3,329
 * Innoviva Inc.   246,961     3,149
 * Avid Bioservices Inc.   262,013     3,092
 * Orthofix Medical Inc.   145,432     3,077
   Mesa Laboratories Inc.    21,054     3,018
   Simulations Plus Inc.    66,178     2,944
 * Artivion Inc.   171,227     2,897
 * REGENXBIO Inc.   158,400     2,804
 * Fulgent Genetics Inc.    83,359     2,731
 * Enhabit Inc.   209,877     2,688
 * Cytek Biosciences Inc.   335,317     2,548
   HealthStream Inc.   101,559     2,136
 * OraSure Technologies Inc.   306,905     1,983
 * BioLife Solutions Inc.   145,631     1,924
 * Community Health Systems Inc.   532,742     1,801
 * ModivCare Inc.    53,415     1,715
 * uniQure NV   175,408     1,528
 * Coherus Biosciences Inc.   281,072     1,498
 * Agiliti Inc.   140,815     1,359
 * AngioDynamics Inc.   164,358     1,320
 * Vanda Pharmaceuticals Inc.   240,608     1,249
 * iTeos Therapeutics Inc.   103,381     1,247
 * Enanta Pharmaceuticals Inc.    82,900     1,231
   Phibro Animal Health Corp. Class A    85,190     1,188
 * Anika Therapeutics Inc.    61,812     1,103
 * Computer Programs & Systems Inc.    59,462       967
*,1 Zynex Inc.    89,064       686
*,2 OmniAb Inc. 12.5 Earnout    27,888        —
*,2 OmniAb Inc. 15 Earnout    27,888        —
                       421,993
Industrials (17.2%)
   Comfort Systems USA Inc.   149,687    27,628
   Applied Industrial Technologies Inc.   161,765    24,972
   Mueller Industries Inc.   238,546    18,406
   Boise Cascade Co.   165,666    18,119
   AAON Inc.   269,026    16,965
   Arcosa Inc.   202,698    15,855
   Franklin Electric Co. Inc.   162,355    15,701
   Federal Signal Corp.   254,782    15,529
 * SPX Technologies Inc.   190,343    15,041
   John Bean Technologies Corp.   133,157    14,635
   Hillenbrand Inc.   291,128    14,102
   Moog Inc. Class A   120,149    13,956
   Matson Inc.   150,171    13,197
   ABM Industries Inc.   276,554    12,561
          Shares Market
Value•

($000)
   Encore Wire Corp.    75,171    12,389
 * Dycom Industries Inc.   122,805    12,272
   Albany International Corp. Class A   130,370    12,088
 * GMS Inc.   172,799    11,982
   EnPro Industries Inc.    87,353    11,914
   ESCO Technologies Inc.   107,748    11,530
   Korn Ferry   219,240    11,177
   UniFirst Corp.    63,163    11,125
 * Hub Group Inc. Class A   137,117    10,701
   ArcBest Corp.   100,318    10,593
 * Verra Mobility Corp. Class A   584,967    10,407
 * Resideo Technologies Inc.   615,438    10,376
 * AeroVironment Inc.   105,683    10,254
 * MYR Group Inc.    69,865     9,926
   Brady Corp. Class A   193,236     9,747
 * Mercury Systems Inc.   243,408     9,554
   Veritiv Corp.    56,752     9,553
 * Gibraltar Industries Inc.   127,174     9,542
   Kennametal Inc.   335,761     8,888
 * RXO Inc.   489,008     8,841
   Trinity Industries Inc.   339,288     8,506
 * AAR Corp.   137,857     8,492
 * SkyWest Inc.   186,118     8,394
   Griffon Corp.   198,890     8,328
   Barnes Group Inc.   211,824     8,325
   Forward Air Corp.   108,580     7,690
   Standex International Corp.    49,791     7,649
   Granite Construction Inc.   183,871     7,592
   Alamo Group Inc.    43,157     7,408
 * OPENLANE Inc.   456,553     7,127
 * PGT Innovations Inc.   245,392     6,918
   CSG Systems International Inc.   126,998     6,897
 * Masterbrand Inc.   538,371     6,897
   Tennant Co.    77,565     6,394
   HNI Corp.   193,940     6,353
   Enerpac Tool Group Corp. Class A   239,640     6,279
   MillerKnoll Inc.   316,817     6,051
   Allegiant Travel Co.    65,470     5,816
   Lindsay Corp.    45,983     5,706
   Greenbrier Cos. Inc.   133,726     5,691
 * American Woodmark Corp.    69,688     5,413
   Matthews International Corp. Class A   127,575     5,381
 * NV5 Global Inc.    52,677     5,361
   Astec Industries Inc.    95,159     5,217
   AZZ Inc.   104,359     5,124
 * CoreCivic Inc.   476,131     5,123
   Marten Transport Ltd.   241,617     5,074
 * NOW Inc.   448,121     5,006
 * CIRCOR International Inc.    85,423     4,757
   Apogee Enterprises Inc.    93,356     4,711
   Wabash National Corp.   198,904     4,485
 
11

 

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

($000)
 * GEO Group Inc.   527,937     3,822
   Quanex Building Products Corp.   139,258     3,757
   Deluxe Corp.   182,063     3,681
   Healthcare Services Group Inc.   310,818     3,590
 * 3D Systems Corp.   547,065     3,452
 * Proto Labs Inc.   109,766     3,238
   Powell Industries Inc.    38,256     3,212
   Heartland Express Inc.   195,236     2,946
   Insteel Industries Inc.    81,439     2,830
 * Titan International Inc.   214,203     2,697
   Kaman Corp.   118,034     2,647
*,1 SunPower Corp.   359,142     2,571
 * Triumph Group Inc.   272,348     2,563
   Kelly Services Inc. Class A   137,219     2,537
   Interface Inc. Class A   243,019     2,510
 * Enviri Corp.   334,031     2,489
 * Viad Corp.    87,276     2,478
   TTEC Holdings Inc.    79,178     2,356
 * Sun Country Airlines Holdings Inc.   153,157     2,280
   Pitney Bowes Inc.   684,217     2,251
   Heidrick & Struggles International Inc.    83,904     2,223
 * DXP Enterprises Inc.    61,091     2,173
   Resources Connection Inc.   133,835     2,076
 * TrueBlue Inc.   129,959     1,966
 * Hawaiian Holdings Inc.   215,923     1,853
 * Liquidity Services Inc.    97,671     1,782
   National Presto Industries Inc.    21,347     1,598
 * Forrester Research Inc.    47,450     1,453
                       720,722
Information Technology (13.5%)
 * Onto Innovation Inc.   204,900    28,477
 * SPS Commerce Inc.   152,892    28,458
 * Axcelis Technologies Inc.   136,934    26,312
 * Rambus Inc.   455,624    25,729
 * Fabrinet   151,916    24,424
   Badger Meter Inc.   122,708    20,379
 * Insight Enterprises Inc.   121,091    19,385
   Advanced Energy Industries Inc.   157,114    18,550
 * Diodes Inc.   191,372    15,664
 * Extreme Networks Inc.   539,783    14,817
 * DoubleVerify Holdings Inc.   424,453    14,351
 * Sanmina Corp.   244,184    13,601
 * Itron Inc.   189,999    12,998
   Kulicke & Soffa Industries Inc.   236,713    12,245
 * Alarm.com Holdings Inc.   208,485    12,211
 * Plexus Corp.   115,613    11,741
 * FormFactor Inc.   322,578    11,393
 * Rogers Corp.    77,835    11,248
   Progress Software Corp.   181,153    11,021
          Shares Market
Value•

($000)
 * Viavi Solutions Inc.   931,943     9,739
   InterDigital Inc.   111,822     9,696
 * Perficient Inc.   145,705     9,295
 * SiTime Corp.    68,857     9,137
 * OSI Systems Inc.    65,178     8,887
 * Viasat Inc.   319,340     8,859
 * LiveRamp Holdings Inc.   270,697     8,754
 * NetScout Systems Inc.   282,445     8,086
 * ePlus Inc.   112,481     7,467
 * Cohu Inc.   198,664     7,428
 * MaxLinear Inc. Class A   307,567     7,228
 * Semtech Corp.   267,199     6,987
 * Ultra Clean Holdings Inc.   186,780     6,567
 * TTM Technologies Inc.   428,690     6,388
 * Veeco Instruments Inc.   216,566     6,322
 * Photronics Inc.   260,999     6,201
 * Knowles Corp.   381,712     6,119
   CTS Corp.   132,187     5,902
 * Agilysys Inc.    83,424     5,885
 * SMART Global Holdings Inc.   205,565     5,310
 * Digi International Inc.   150,273     5,016
 * Harmonic Inc.   465,410     4,971
   Methode Electronics Inc.   150,212     4,844
 * PDF Solutions Inc.   125,272     4,552
   Adeia Inc.   445,460     4,481
 * Ichor Holdings Ltd.   121,723     4,459
 * Cerence Inc.   168,859     4,407
   A10 Networks Inc.   269,587     4,014
   Benchmark Electronics Inc.   149,232     3,841
 * N-able Inc.   282,159     3,772
 * Arlo Technologies Inc.   384,735     3,759
 * Avid Technology Inc.   139,793     3,727
 * ScanSource Inc.   104,312     3,419
 * Digital Turbine Inc.   378,145     3,369
 * Alpha & Omega Semiconductor Ltd.    93,276     2,943
 * Corsair Gaming Inc.   171,015     2,688
   ADTRAN Holdings Inc.   299,842     2,564
   PC Connection Inc.    47,334     2,514
 * Consensus Cloud Solutions Inc.    73,301     2,341
 * CEVA Inc.    98,096     2,278
 * Xperi Inc.   178,105     2,102
 * Clearfield Inc.    53,053     1,865
 * OneSpan Inc.   148,946     1,825
   Ebix Inc.    98,382     1,643
 * NETGEAR Inc.   121,723     1,604
 * 8x8 Inc.   473,576     1,539
                       567,798
Materials (5.1%)
 * ATI Inc.   537,876    24,382
   Balchem Corp.   134,900    18,953
   HB Fuller Co.   225,273    16,339
 * O-I Glass Inc.   649,733    12,904
 
12

 

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

($000)
   Carpenter Technology Corp.   203,080    12,719
 * Livent Corp.   551,928    11,850
   Innospec Inc.   104,014    11,173
   Quaker Chemical Corp.    57,170    10,147
   Materion Corp.    86,188     9,376
   Warrior Met Coal Inc.   217,770     8,615
   Minerals Technologies Inc.   136,085     8,315
   Stepan Co.    88,699     7,741
 * Ingevity Corp.   142,718     7,691
   Sylvamo Corp.   133,729     5,586
   Kaiser Aluminum Corp.    66,950     5,083
   Hawkins Inc.    79,370     4,936
   Compass Minerals International Inc.   143,168     4,317
   AdvanSix Inc.   115,472     3,820
   Mativ Holdings Inc.   229,743     3,768
 * TimkenSteel Corp.   163,583     3,584
   Koppers Holdings Inc.    87,257     3,341
   SunCoke Energy Inc.   350,724     3,262
   Myers Industries Inc.   153,923     2,895
 * Clearwater Paper Corp.    70,865     2,713
   Haynes International Inc.    53,334     2,603
   Olympic Steel Inc.    40,106     2,146
 * Century Aluminum Co.   216,593     1,611
   American Vanguard Corp.   115,827     1,601
   Trinseo plc   147,225     1,550
   Mercer International Inc.   169,756     1,543
   FutureFuel Corp.   108,167       766
                       215,330
Real Estate (7.6%)
   Phillips Edison & Co. Inc.   490,797    16,618
   Essential Properties Realty Trust Inc.   622,656    14,956
   LXP Industrial Trust 1,223,647    12,016
 1 SL Green Realty Corp.   269,605    10,585
   Macerich Co.   900,758    10,530
   Tanger Factory Outlet Centers Inc.   440,588    10,244
   Innovative Industrial Properties Inc.   117,241    10,233
   SITE Centers Corp.   761,274    10,163
   Douglas Emmett Inc.   710,058     9,706
   Four Corners Property Trust Inc.   364,149     9,162
   St. Joe Co.   141,812     8,755
   CareTrust REIT Inc.   416,124     8,385
   Urban Edge Properties   491,492     8,041
   Kennedy-Wilson Holdings Inc.   495,265     7,909
   Sunstone Hotel Investors Inc.   865,670     7,774
   Pebblebrook Hotel Trust   515,738     7,463
   Retail Opportunity Investments Corp.   527,979     7,107
          Shares Market
Value•

($000)
   DiamondRock Hospitality Co.   877,086     7,069
   Outfront Media Inc.   613,814     6,967
   JBG SMITH Properties   405,147     6,353
 * Cushman & Wakefield plc   684,858     6,294
 * Veris Residential Inc.   334,143     6,218
 1 eXp World Holdings Inc.   308,542     5,930
   Acadia Realty Trust   397,686     5,921
   Service Properties Trust   693,090     5,725
   LTC Properties Inc.   173,121     5,689
   Elme Communities   367,545     5,653
   Getty Realty Corp.   188,223     5,650
   Alexander & Baldwin Inc.   304,142     5,478
   Xenia Hotels & Resorts Inc.   458,649     5,412
   Uniti Group Inc.   999,401     5,367
   Easterly Government Properties Inc. Class A   391,326     5,232
   Global Net Lease Inc.   433,478     4,920
   American Assets Trust Inc.   218,746     4,683
   RPT Realty   363,140     4,118
   Centerspace    62,670     4,057
   Hudson Pacific Properties Inc.   537,110     3,658
   Brandywine Realty Trust   720,181     3,601
   NexPoint Residential Trust Inc.    95,659     3,592
   Safehold Inc.   168,750     3,591
   Community Healthcare Trust Inc.   102,476     3,401
   Marcus & Millichap Inc.   101,560     3,382
   Armada Hoffler Properties Inc.   284,604     3,242
 * Anywhere Real Estate Inc.   462,343     3,033
   Summit Hotel Properties Inc.   450,208     2,616
   Universal Health Realty Income Trust    53,206     2,481
   Saul Centers Inc.    54,125     2,033
   Chatham Lodging Trust   204,666     2,002
   Whitestone REIT   194,625     1,946
   Office Properties Income Trust   203,435     1,505
   Orion Office REIT Inc.   237,360     1,384
   RE/MAX Holdings Inc. Class A    75,921     1,230
                       319,080
Utilities (1.9%)
   Otter Tail Corp.   174,473    14,371
   American States Water Co.   154,651    13,023
   California Water Service Group   234,161    11,767
   Avista Corp.   317,152    10,558
   Chesapeake Utilities Corp.    74,363     8,187
   SJW Group   115,859     7,619
   Northwest Natural Holding Co.   150,706     5,920
 
13

 

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

($000)
   Middlesex Water Co.    74,077     5,575
   Unitil Corp.    67,406     3,291
                        80,311
Total Common Stocks
(Cost $4,065,250) 		4,183,023
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
3,4 Vanguard Market Liquidity Fund, 5.384%
(Cost $22,388) 		  223,931          22,391
Total Investments (100.3%)
(Cost $4,087,638) 		  4,205,414
Other Assets and Liabilities—Net (-0.3%)   (10,747)
Net Assets (100%)   4,194,667
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 $20,264,000.
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 $21,323,000 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 Russell 2000 Index September 2023 36 3,423 (35)
    
14

 

S&P Small-Cap 600 Index Fund
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)
AMN Healthcare Services Inc. 1/31/24 CITNA 4,886 (5.327) — (841)
Livent Corp. 1/31/24 CITNA 4,834 (5.327) — (561)
          — (1,402)
1 Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  CITNA—Citibank, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P Small-Cap 600 Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,065,250) 4,183,023
Affiliated Issuers (Cost $22,388) 22,391
Total Investments in Securities 4,205,414
Investment in Vanguard 142
Cash Collateral Pledged—Futures Contracts 230
Cash Collateral Pledged—Over-the-Counter Swap Contracts 1,470
Receivables for Investment Securities Sold 16,347
Receivables for Accrued Income 4,766
Receivables for Capital Shares Issued 7,660
Total Assets 4,236,029
Liabilities  
Due to Custodian 2,058
Payables for Investment Securities Purchased 15,683
Collateral for Securities on Loan 21,323
Payables for Capital Shares Redeemed 724
Payables to Vanguard 163
Variation Margin Payable—Futures Contracts 9
Unrealized Depreciation—Over-the-Counter Swap Contracts 1,402
Total Liabilities 41,362
Net Assets 4,194,667
1 Includes $20,264,000 of securities on loan.  
16

 

S&P Small-Cap 600 Index Fund
Statement of Assets and Liabilities (continued)
 
At August 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 4,513,534
Total Distributable Earnings (Loss) (318,867)
Net Assets 4,194,667
 
ETF Shares—Net Assets2  
Applicable to 24,375,073 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,265,405
Net Asset Value Per Share—ETF Shares $92.94
 
Institutional Shares—Net Assets  
Applicable to 5,159,683 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,929,262
Net Asset Value Per Share—Institutional Shares $373.91
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.
17

 

S&P Small-Cap 600 Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends1 71,577
Interest2 129
Securities Lending—Net 581
Total Income 72,287
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 93
Management and Administrative—ETF Shares 1,792
Management and Administrative—Institutional Shares 1,296
Marketing and Distribution—ETF Shares 124
Marketing and Distribution—Institutional Shares 74
Custodian Fees 157
Auditing Fees 29
Shareholders’ Reports—ETF Shares 84
Shareholders’ Reports—Institutional Shares 36
Trustees’ Fees and Expenses 2
Other Expenses 17
Total Expenses 3,704
Net Investment Income 68,583
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (63,275)
Futures Contracts (609)
Swap Contracts —
Realized Net Gain (Loss) (63,884)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 199,786
Futures Contracts 206
Swap Contracts (1,402)
Change in Unrealized Appreciation (Depreciation) 198,590
Net Increase (Decrease) in Net Assets Resulting from Operations 203,289
1 Dividends are net of foreign withholding taxes of $63,000.
2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $117,000, $4,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $226,690,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
18

 

S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 68,583 51,655
Realized Net Gain (Loss) (63,884) 269,098
Change in Unrealized Appreciation (Depreciation) 198,590 (812,390)
Net Increase (Decrease) in Net Assets Resulting from Operations 203,289 (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 164,113 476,073
Institutional Shares (136,137) 426,601
Net Increase (Decrease) from Capital Share Transactions 27,976 902,674
Total Increase (Decrease) 171,372 365,693
Net Assets    
Beginning of Period 4,023,295 3,657,602
End of Period 4,194,667 4,023,295
See accompanying Notes, which are an integral part of the Financial Statements.
19

 

S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $89.49 $103.20 $67.80 $69.05 $82.34
Investment Operations          
Net Investment Income2 1.495 1.273 1.143 .973 .971
Net Realized and Unrealized Gain (Loss) on Investments 3.266 (13.765) 35.170 (1.180) (13.429)
Total from Investment Operations 4.761 (12.492) 36.313 (.207) (12.458)
Distributions          
Dividends from Net Investment Income (1.311) (1.218) (.913) (1.043) (.832)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.311) (1.218) (.913) (1.043) (.832)
Net Asset Value, End of Period $92.94 $89.49 $103.20 $67.80 $69.05
Total Return 5.44% -12.26% 53.88% -0.43% -15.09%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,265 $2,027 $1,806 $987 $991
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.67% 1.31% 1.25% 1.46% 1.36%
Portfolio Turnover Rate4 19% 12% 18% 15% 9%
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.
20

 

S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $360.00 $415.16 $272.71 $277.68 $331.26
Investment Operations          
Net Investment Income1 6.087 5.226 4.566 3.951 3.941
Net Realized and Unrealized Gain (Loss) on Investments 13.135 (55.426) 141.589 (4.694) (54.011)
Total from Investment Operations 19.222 (50.200) 146.155 (.743) (50.070)
Distributions          
Dividends from Net Investment Income (5.312) (4.960) (3.705) (4.227) (3.510)
Distributions from Realized Capital Gains — — — — —
Total Distributions (5.312) (4.960) (3.705) (4.227) (3.510)
Net Asset Value, End of Period $373.91 $360.00 $415.16 $272.71 $277.68
Total Return 5.46% -12.21% 53.93% -0.41% -15.09%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,929 $1,996 $1,852 $1,377 $1,186
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.69% 1.34% 1.26% 1.47% 1.38%
Portfolio Turnover Rate3 19% 12% 18% 15% 9%
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.
21

 

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.
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 year ended August 31, 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.
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S&P Small-Cap 600 Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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 year ended August 31, 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.
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S&P Small-Cap 600 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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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.
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S&P Small-Cap 600 Index Fund
For the year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $142,000, 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.
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S&P Small-Cap 600 Index Fund
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. 
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 4,183,023 — — 4,183,023
Temporary Cash Investments 22,391 — — 22,391
Total 4,205,414 — — 4,205,414
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 35 — — 35
Swap Contracts — 1,402 — 1,402
Total 35 1,402 — 1,437
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 226,553
Total Distributable Earnings (Loss) (226,553)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of
26

 

S&P Small-Cap 600 Index Fund
period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 38,781
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 108,106
Capital Loss Carryforwards (465,754)
Qualified Late-Year Losses —
Other Temporary Differences —
Total (318,867)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 59,893 45,344
Long-Term Capital Gains — —
Total 59,893 45,344
* Includes short-term capital gains, if any.
As of August 31, 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 4,097,308
Gross Unrealized Appreciation 747,670
Gross Unrealized Depreciation (639,564)
Net Unrealized Appreciation (Depreciation) 108,106
E.  During the year ended August 31, 2023, the fund purchased $1,564,129,000 of investment securities and sold $1,524,357,000 of investment securities, other than temporary cash investments. Purchases and sales include $633,752,000 and $760,149,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $128,777,000 and sales were $78,817,000, resulting in net realized loss of $24,973,000; 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 Index Fund
F.  Capital share transactions for each class of shares were:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 944,464 10,550   1,313,147 13,800
Issued in Lieu of Cash Distributions — —   — —
Redeemed (780,351) (8,825)   (837,074) (8,650)
Net Increase (Decrease)—ETF Shares 164,113 1,725   476,073 5,150
Institutional Shares          
Issued 264,724 739   614,744 1,573
Issued in Lieu of Cash Distributions 24,779 72   20,984 53
Redeemed (425,640) (1,196)   (209,127) (541)
Net Increase (Decrease)—Institutional Shares (136,137) (385)   426,601 1,085
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
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S&P Small-Cap 600 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value 5.29% 3.86% 8.83% $23,317
  S&P Small-Cap 600 Value Index Fund ETF Shares Market Price 5.25 3.86 8.83 23,311
S&P SmallCap 600 Value Index 5.45 3.94 8.96 23,596
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
       
    One
Year 		Five
Years 		Since
Inception
(11/19/2014) 		Final Value
of a $5,000,000
Investment
S&P Small-Cap 600 Value Index Fund Institutional Shares 5.39% 3.96% 7.94% $9,777,684
S&P SmallCap 600 Value Index 5.45 3.94 7.93 9,772,169
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 10.87 12,376,822
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standard(s).
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on November 19, 2014. The total returns shown are based on the period beginning November 19, 2014.
See Financial Highlights for dividend and capital gains information.
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S&P Small-Cap 600 Value Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price 5.25% 20.86% 133.11%
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value 5.29 20.85 133.17
S&P SmallCap 600 Value Index 5.45 21.34 135.96
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
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S&P Small-Cap 600 Value Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 3.7%
Consumer Discretionary 19.9
Consumer Staples 3.5
Energy 4.3
Financials 19.2
Health Care 7.5
Industrials 16.3
Information Technology 8.2
Materials 4.2
Real Estate 11.7
Utilities 1.5
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.
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S&P Small-Cap 600 Value Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (3.7%)
   Telephone & Data Systems Inc.   266,268     5,722
 * Cinemark Holdings Inc.   291,710     4,749
   John Wiley & Sons Inc. Class A   115,177     4,280
 * DISH Network Corp. Class A   680,165     4,081
 * Lumen Technologies Inc. 2,492,235     3,963
   Scholastic Corp.    78,479     3,410
   Cogent Communications Holdings Inc.    47,396     3,345
 * Yelp Inc. Class A    77,983     3,342
   Shenandoah Telecommunications Co.   135,052     3,071
 * Cargurus Inc. Class A   120,107     2,175
   Madison Square Garden Sports Corp.    11,513     2,049
 * Thryv Holdings Inc.    83,704     1,707
   Shutterstock Inc.    33,911     1,428
 * EW Scripps Co. Class A   158,201     1,209
 1 Marcus Corp.    65,994     1,002
 * AMC Networks Inc. Class A    76,455       890
 * Consolidated Communications Holdings Inc.   200,051       790
 * Gogo Inc.    61,611       699
 * QuinStreet Inc.    65,854       652
                        48,564
Consumer Discretionary (19.9%)
   Meritage Homes Corp.    98,994    13,764
   Advance Auto Parts Inc.   160,095    11,018
   Group 1 Automotive Inc.    38,088    10,071
   Signet Jewelers Ltd.   121,540     9,115
   American Eagle Outfitters Inc.   494,353     8,384
 * Tri Pointe Homes Inc.   269,550     8,383
   MDC Holdings Inc.   157,538     7,475
 * M/I Homes Inc.    74,968     7,360
          Shares Market
Value•

($000)
 * Asbury Automotive Group Inc.    31,902     7,337
 * Abercrombie & Fitch Co. Class A   134,815     7,246
 * LGI Homes Inc.    55,785     6,867
   Steven Madden Ltd.   192,487     6,641
   Kontoor Brands Inc.   134,454     6,157
   Academy Sports & Outdoors Inc.   110,104     6,008
   Century Communities Inc.    76,813     5,703
   Dana Inc.   346,130     5,576
 * Urban Outfitters Inc.   162,180     5,386
   Hanesbrands Inc.   942,044     4,946
   Cracker Barrel Old Country Store Inc.    59,703     4,921
   Patrick Industries Inc.    57,152     4,780
 * Sonos Inc.   345,906     4,767
 * ODP Corp.    91,567     4,516
   LCI Industries    34,100     4,272
   Upbound Group Inc.   135,758     4,157
   Cheesecake Factory Inc.   128,785     4,102
 * Victoria's Secret & Co.   211,299     4,053
 * Brinker International Inc.   119,493     3,911
   La-Z-Boy Inc.   116,414     3,591
 * Phinia Inc.   126,003     3,503
 * Frontdoor Inc.   105,840     3,474
 * Shake Shack Inc. Class A    47,292     3,310
   Installed Building Products Inc.    21,291     3,081
 * Sally Beauty Holdings Inc.   289,128     2,938
   Winnebago Industries Inc.    44,361     2,877
 * Boot Barn Holdings Inc.    31,255     2,868
 * iRobot Corp.    73,175     2,846
   Caleres Inc.    97,578     2,798
 * Sabre Corp.   553,719     2,769
   Bloomin' Brands Inc.    98,565     2,766
   Monro Inc.    84,381     2,763
 * Six Flags Entertainment Corp.   113,580     2,608
 * Vista Outdoor Inc.    84,384     2,468
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S&P Small-Cap 600 Value Index Fund
          Shares Market
Value•

($000)
 * American Axle & Manufacturing Holdings Inc.   314,515     2,375
   Sonic Automotive Inc. Class A    42,872     2,286
 * G-III Apparel Group Ltd.   110,611     2,196
 * Gentherm Inc.    34,837     2,098
   Strategic Education Inc.    25,945     2,011
 * MarineMax Inc.    58,929     1,961
   Guess? Inc.    80,355     1,933
   Standard Motor Products Inc.    50,861     1,883
 * Dave & Buster's Entertainment Inc.    47,543     1,867
 * BJ's Restaurants Inc.    63,496     1,867
 * America's Car-Mart Inc.    15,581     1,734
   Wolverine World Wide Inc.   213,794     1,727
 * Chico's FAS Inc.   333,033     1,708
 * National Vision Holdings Inc.    88,614     1,623
 * Sleep Number Corp.    59,862     1,531
   Designer Brands Inc. Class A   135,503     1,424
   Oxford Industries Inc.    11,942     1,206
   Movado Group Inc.    41,924     1,147
   Perdoceo Education Corp.    67,081     1,112
   Shoe Carnival Inc.    45,496     1,052
   Aaron's Co. Inc.    83,004     1,002
   Sturm Ruger & Co. Inc.    18,525       955
   Dine Brands Global Inc.    16,813       921
   Buckle Inc.    24,725       903
 * Leslie's Inc.   139,985       876
 * Chuy's Holdings Inc.    22,358       852
   Golden Entertainment Inc.    23,238       846
 * Mister Car Wash Inc.   105,468       764
   Hibbett Inc.    16,159       748
   Haverty Furniture Cos. Inc.    17,621       552
                       264,736
Consumer Staples (3.5%)
   PriceSmart Inc.    67,680     5,379
 * TreeHouse Foods Inc.    72,463     3,371
 * United Natural Foods Inc.   159,677     3,214
   Nu Skin Enterprises Inc. Class A   134,102     3,204
   Universal Corp.    66,262     3,156
   Edgewell Personal Care Co.    71,815     2,769
   WD-40 Co.    12,765     2,743
 * Hain Celestial Group Inc.   240,374     2,546
   B&G Foods Inc.   194,065     2,482
   Andersons Inc.    47,503     2,440
 * Central Garden & Pet Co. Class A    57,456     2,344
   Vector Group Ltd.   199,560     2,137
   Fresh Del Monte Produce Inc.    82,830     2,116
          Shares Market
Value•

($000)
   SpartanNash Co.    94,783     2,063
 * USANA Health Sciences Inc.    30,176     1,940
   Calavo Growers Inc.    47,804     1,576
 * National Beverage Corp.    20,039     1,028
 * Chefs' Warehouse Inc.    35,924     1,025
   John B Sanfilippo & Son Inc.     9,368       940
 * Central Garden & Pet Co.    13,687       604
                        47,077
Energy (4.3%)
   California Resources Corp.   134,926     7,534
 * Par Pacific Holdings Inc.   151,371     5,200
 * Green Plains Inc.   160,404     4,979
   Archrock Inc.   363,225     4,646
   Helmerich & Payne Inc.   116,122     4,644
 * Helix Energy Solutions Group Inc.   384,002     3,894
   World Kinect Corp.   167,029     3,658
 * Callon Petroleum Co.    69,201     2,715
 * ProPetro Holding Corp.   260,698     2,513
 * NexTier Oilfield Solutions Inc.   221,876     2,354
 * Talos Energy Inc.   134,028     2,308
 * Bristow Group Inc. Class A    63,462     1,758
 * Oceaneering International Inc.    75,809     1,728
   Core Laboratories Inc.    65,433     1,573
   Patterson-UTI Energy Inc.   109,091     1,542
 * Oil States International Inc.   172,619     1,353
 * Dril-Quip Inc.    43,214     1,192
   CVR Energy Inc.    35,212     1,151
 * US Silica Holdings Inc.    86,882     1,071
 * Nabors Industries Ltd.     7,829       866
                        56,679
Financials (19.2%)
   Radian Group Inc.   421,008    11,401
 1 Arbor Realty Trust Inc.   488,057     7,789
 * Genworth Financial Inc. Class A 1,287,252     7,453
   Walker & Dunlop Inc.    83,550     7,130
   WSFS Financial Corp.   165,611     6,509
   Simmons First National Corp. Class A   343,177     6,115
   Pacific Premier Bancorp Inc.   258,366     5,948
   BankUnited Inc.   200,556     5,265
   Bread Financial Holdings Inc.   135,137     5,079
   Ready Capital Corp.   435,129     4,752
   Navient Corp.   266,021     4,695
   Assured Guaranty Ltd.    78,341     4,610
   American Equity Investment Life Holding Co.    81,719     4,387
   Moelis & Co. Class A    91,542     4,340
 
33

 

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

($000)
 * PROG Holdings Inc.   126,070     4,324
 * Enova International Inc.    83,949     4,235
   Renasant Corp.   151,272     4,213
   Independent Bank Group Inc.    95,752     4,041
   Apollo Commercial Real Estate Finance Inc.   349,607     3,818
   Hilltop Holdings Inc.   124,110     3,772
   Atlantic Union Bankshares Corp.   123,443     3,665
   Two Harbors Investment Corp.   259,847     3,578
   Artisan Partners Asset Management Inc. Class A    92,018     3,535
   Stewart Information Services Corp.    73,239     3,392
   Provident Financial Services Inc.   202,953     3,345
   Horace Mann Educators Corp.   110,231     3,159
   PennyMac Mortgage Investment Trust   235,386     3,157
 * NMI Holdings Inc. Class A   109,718     3,140
   Franklin BSP Realty Trust Inc.   221,192     3,128
   First Hawaiian Inc.   165,365     3,127
   Hope Bancorp Inc.   322,471     3,118
   Independent Bank Corp.    57,181     3,089
   Fulton Financial Corp.   226,951     3,025
 * Encore Capital Group Inc.    63,132     2,958
   Community Bank System Inc.    62,105     2,953
   United Community Banks Inc.   108,358     2,926
   Bank of Hawaii Corp.    52,330     2,812
 * Axos Financial Inc.    65,074     2,804
   Ameris Bancorp    68,526     2,792
   Jackson Financial Inc. Class A    73,726     2,772
   ProAssurance Corp.   145,586     2,574
 * SiriusPoint Ltd.   231,091     2,556
   PacWest Bancorp   317,279     2,522
   Redwood Trust Inc.   307,205     2,461
   Seacoast Banking Corp. of Florida   103,999     2,455
   EVERTEC Inc.    61,396     2,429
   First Financial Bancorp   115,496     2,400
   New York Mortgage Trust Inc.   246,018     2,342
 1 Ellington Financial Inc.   172,192     2,302
   Washington Federal Inc.    83,411     2,267
   Brookline Bancorp Inc.   236,580     2,264
 * PRA Group Inc.   105,764     2,060
   Mercury General Corp.    71,706     2,052
   Eagle Bancorp Inc.    82,586     1,987
   KKR Real Estate Finance Trust Inc.   156,617     1,959
          Shares Market
Value•

($000)
 * Payoneer Global Inc.   315,525     1,953
   Capitol Federal Financial Inc.   341,700     1,937
 * Goosehead Insurance Inc. Class A    27,191     1,900
   Virtus Investment Partners Inc.     9,055     1,875
 * Green Dot Corp. Class A   125,075     1,856
   Banc of California Inc.   144,390     1,809
   Northwest Bancshares Inc.   164,408     1,809
 * Donnelley Financial Solutions Inc.    33,976     1,674
   First Commonwealth Financial Corp.   124,846     1,632
 * Ambac Financial Group Inc.   122,238     1,574
   James River Group Holdings Ltd.   101,672     1,480
 * Triumph Financial Inc.    23,033     1,479
   FB Financial Corp.    47,163     1,433
   Veritex Holdings Inc.    74,396     1,399
   Employers Holdings Inc.    35,372     1,388
 * Customers Bancorp Inc.    39,444     1,386
   First Bancorp    44,017     1,305
   Central Pacific Financial Corp.    72,523     1,231
 * World Acceptance Corp.     8,985     1,211
   AMERISAFE Inc.    23,136     1,198
 * EZCORP Inc. Class A   140,802     1,184
   Safety Insurance Group Inc.    17,170     1,183
   Trustmark Corp.    50,821     1,171
   United Fire Group Inc.    58,295     1,153
 1 B. Riley Financial Inc.    21,562     1,104
   National Bank Holdings Corp. Class A    34,408     1,085
   Berkshire Hills Bancorp Inc.    49,914     1,043
   Pathward Financial Inc.    20,214       996
   Southside Bancshares Inc.    33,082       996
   WisdomTree Inc.   133,909       978
 1 HCI Group Inc.    18,239       972
   Universal Insurance Holdings Inc.    73,559       931
   S&T Bancorp Inc.    32,399       918
   Brightsphere Investment Group Inc.    41,630       862
   Invesco Mortgage Capital Inc.    61,391       691
   Tompkins Financial Corp.    12,264       637
   Northfield Bancorp Inc.    50,784       535
   TrustCo Bank Corp.    17,444       497
                       255,446
Health Care (7.5%)
   Select Medical Holdings Corp.   280,822     8,203
 * Integer Holdings Corp.    89,648     7,648
 * Fortrea Holdings Inc.   238,665     6,575
 
34

 

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

($000)
 * NeoGenomics Inc.   343,845     5,168
 * RadNet Inc.   154,554     5,164
   CONMED Corp.    42,037     4,685
 * Apollo Medical Holdings Inc.   108,626     4,112
 * Myriad Genetics Inc.   219,943     3,926
 * Owens & Minor Inc.   204,835     3,462
 * Glaukos Corp.    42,762     3,213
 * Pediatrix Medical Group Inc.   221,914     3,136
 * Schrodinger Inc.    80,775     2,980
 * Avanos Medical Inc.   125,408     2,639
 * Prestige Consumer Healthcare Inc.    40,041     2,336
 * Varex Imaging Corp.   108,565     2,135
 * Orthofix Medical Inc.    93,645     1,981
 * Certara Inc.   119,546     1,932
 * Tandem Diabetes Care Inc.    69,669     1,906
 * Artivion Inc.   110,266     1,866
 * CorVel Corp.     8,578     1,857
 * Vericel Corp.    55,228     1,813
 * STAAR Surgical Co.    41,740     1,810
 * Enhabit Inc.   135,142     1,731
   US Physical Therapy Inc.    15,512     1,564
   Embecta Corp.    82,055     1,504
 * Ligand Pharmaceuticals Inc.    20,372     1,340
 * OraSure Technologies Inc.   196,601     1,270
 * Ironwood Pharmaceuticals Inc. Class A   135,015     1,188
 * ANI Pharmaceuticals Inc.    17,945     1,155
 * Community Health Systems Inc.   341,391     1,154
 * ModivCare Inc.    34,440     1,105
 * Fulgent Genetics Inc.    29,385       963
   LeMaitre Vascular Inc.    16,228       938
 * Cytek Biosciences Inc.   120,286       914
 * AngioDynamics Inc.   105,347       846
 * Vanda Pharmaceuticals Inc.   154,202       800
   Phibro Animal Health Corp. Class A    54,761       764
   Mesa Laboratories Inc.     5,149       738
   Simulations Plus Inc.    14,057       625
 * Avid Bioservices Inc.    51,927       613
   HealthStream Inc.    23,535       495
 * Enanta Pharmaceuticals Inc.    32,567       484
 * Agiliti Inc.    49,553       478
 * Coherus Biosciences Inc.    87,965       469
 * Anika Therapeutics Inc.    19,108       341
 * Computer Programs & Systems Inc.    17,993       293
                       100,319
          Shares Market
Value•

($000)
Industrials (16.2%)
   John Bean Technologies Corp.    85,715     9,421
   ABM Industries Inc.   178,081     8,088
 * GMS Inc.   111,260     7,715
   ArcBest Corp.    64,529     6,814
 * Resideo Technologies Inc.   396,344     6,682
 * Gibraltar Industries Inc.    81,947     6,148
   Veritiv Corp.    36,499     6,144
   Kennametal Inc.   216,354     5,727
 * RXO Inc.   315,028     5,696
 * AAR Corp.    88,851     5,473
 * SkyWest Inc.   119,768     5,402
   Barnes Group Inc.   136,414     5,361
   Granite Construction Inc.   118,306     4,885
 * OPENLANE Inc.   294,390     4,595
 * Masterbrand Inc.   346,554     4,439
   Tennant Co.    49,933     4,116
   HNI Corp.   125,186     4,101
   MillerKnoll Inc.   204,018     3,897
 * Hub Group Inc. Class A    48,637     3,796
   Korn Ferry    73,512     3,748
   Allegiant Travel Co.    42,113     3,741
 * SPX Technologies Inc.    46,491     3,674
   Greenbrier Cos. Inc.    85,830     3,653
   Moog Inc. Class A    30,107     3,497
   Arcosa Inc.    44,450     3,477
 * American Woodmark Corp.    44,733     3,474
   Matthews International Corp. Class A    82,181     3,466
   Astec Industries Inc.    61,322     3,362
   AZZ Inc.    67,003     3,290
 * CoreCivic Inc.   305,529     3,288
 * NOW Inc.   287,632     3,213
 * MYR Group Inc.    22,463     3,191
 * CIRCOR International Inc.    54,824     3,053
   UniFirst Corp.    16,644     2,932
 * Mercury Systems Inc.    65,698     2,579
 * Dycom Industries Inc.    25,258     2,524
 * GEO Group Inc.   339,911     2,461
   ESCO Technologies Inc.    22,226     2,378
   Deluxe Corp.   117,062     2,367
   Healthcare Services Group Inc.   199,458     2,304
   Trinity Industries Inc.    89,702     2,249
 * 3D Systems Corp.   352,624     2,225
   Brady Corp. Class A    43,526     2,195
 * Proto Labs Inc.    70,432     2,078
   Powell Industries Inc.    24,662     2,071
   Kaman Corp.    76,050     1,706
 * Triumph Group Inc.   175,685     1,653
   Kelly Services Inc. Class A    88,304     1,633
   Interface Inc. Class A   155,965     1,611
 * Enviri Corp.   215,456     1,605
 * Viad Corp.    55,945     1,588
   Standex International Corp.    10,304     1,583
 
35

 

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

($000)
   Pitney Bowes Inc.   438,543     1,443
   Heidrick & Struggles International Inc.    53,834     1,426
 * DXP Enterprises Inc.    39,133     1,392
   Enerpac Tool Group Corp. Class A    52,163     1,367
   Resources Connection Inc.    85,782     1,330
   Apogee Enterprises Inc.    25,951     1,310
   Alamo Group Inc.     7,474     1,283
 * TrueBlue Inc.    83,306     1,260
   Wabash National Corp.    53,527     1,207
 * Hawaiian Holdings Inc.   138,711     1,190
   Quanex Building Products Corp.    38,331     1,034
   National Presto Industries Inc.    13,673     1,023
   Insteel Industries Inc.    28,150       978
 * Forrester Research Inc.    30,384       931
   TTEC Holdings Inc.    25,338       754
 * SunPower Corp.   100,957       723
   Heartland Express Inc.    43,679       659
 * Liquidity Services Inc.    28,292       516
                       216,195
Information Technology (8.2%)
 * Insight Enterprises Inc.    77,942    12,478
 * Itron Inc.   122,378     8,372
 * FormFactor Inc.   207,820     7,340
 * Rogers Corp.    50,140     7,246
 * Viasat Inc.   205,788     5,709
 * Sanmina Corp.    84,962     4,732
 * Semtech Corp.   172,491     4,511
 * TTM Technologies Inc.   276,687     4,123
 * Knowles Corp.   246,441     3,950
 * SMART Global Holdings Inc.   131,977     3,409
 * Viavi Solutions Inc.   287,023     2,999
   Adeia Inc.   285,885     2,876
 * Ichor Holdings Ltd.    78,164     2,863
 * Cerence Inc.   108,346     2,828
 * OSI Systems Inc.    20,493     2,794
 * SiTime Corp.    20,365     2,702
 * Perficient Inc.    40,296     2,570
 * LiveRamp Holdings Inc.    78,516     2,539
 * ePlus Inc.    37,702     2,503
   Benchmark Electronics Inc.    95,766     2,465
 * ScanSource Inc.    67,165     2,202
 * Ultra Clean Holdings Inc.    54,278     1,908
 * Cohu Inc.    43,628     1,631
   PC Connection Inc.    30,336     1,611
   Methode Electronics Inc.    46,382     1,496
 * Xperi Inc.   114,763     1,354
 * Arlo Technologies Inc.   123,287     1,205
   Ebix Inc.    63,623     1,063
 * NETGEAR Inc.    78,011     1,028
 * Avid Technology Inc.    36,703       979
 * Digital Turbine Inc.    87,065       776
          Shares Market
Value•

($000)
 * N-able Inc.    57,776       772
 * Corsair Gaming Inc.    48,165       757
 * OneSpan Inc.    48,571       595
 * CEVA Inc.    24,633       572
 * 8x8 Inc.   163,472       531
   ADTRAN Holdings Inc.    59,846       512
 * Consensus Cloud Solutions Inc.    15,101       482
                       108,483
Materials (4.2%)
   Carpenter Technology Corp.   130,775     8,190
 * ATI Inc.   131,619     5,966
   Minerals Technologies Inc.    87,702     5,359
 * O-I Glass Inc.   226,098     4,490
   HB Fuller Co.    52,091     3,778
   Compass Minerals International Inc.    91,790     2,768
   Materion Corp.    23,824     2,592
   AdvanSix Inc.    74,112     2,452
   Warrior Met Coal Inc.    61,690     2,440
   Mativ Holdings Inc.   147,785     2,424
   Koppers Holdings Inc.    56,111     2,149
   SunCoke Energy Inc.   225,558     2,098
 * Clearwater Paper Corp.    45,746     1,752
   Stepan Co.    20,045     1,749
   Sylvamo Corp.    36,821     1,538
   Olympic Steel Inc.    25,715     1,376
 * TimkenSteel Corp.    59,791     1,310
 * Century Aluminum Co.   138,874     1,033
   Trinseo plc    94,401       994
   Mercer International Inc.    62,289       566
   Haynes International Inc.    11,326       553
   FutureFuel Corp.    29,941       212
                        55,789
Real Estate (11.7%)
   Essential Properties Realty Trust Inc.   400,920     9,630
   LXP Industrial Trust   787,997     7,738
 1 SL Green Realty Corp.   173,415     6,808
   Macerich Co.   579,384     6,773
   SITE Centers Corp.   490,470     6,548
   Douglas Emmett Inc.   457,502     6,254
   Phillips Edison & Co. Inc.   180,162     6,100
   Sunstone Hotel Investors Inc.   558,264     5,013
   Pebblebrook Hotel Trust   331,886     4,802
   Retail Opportunity Investments Corp.   339,800     4,574
   DiamondRock Hospitality Co.   565,683     4,559
   Outfront Media Inc.   395,866     4,493
   JBG SMITH Properties   261,470     4,100
 * Cushman & Wakefield plc   440,869     4,052
   Acadia Realty Trust   256,851     3,825
 
36

 

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

($000)
   Service Properties Trust   444,791     3,674
   Elme Communities   236,654     3,640
   Alexander & Baldwin Inc.   195,904     3,528
   Xenia Hotels & Resorts Inc.   294,354     3,473
   Easterly Government Properties Inc. Class A   252,038     3,370
   Kennedy-Wilson Holdings Inc.   204,608     3,268
   Global Net Lease Inc.   279,169     3,169
   American Assets Trust Inc.   140,377     3,005
   Tanger Factory Outlet Centers Inc.   127,272     2,959
 1 eXp World Holdings Inc.   144,526     2,778
   RPT Realty   233,131     2,644
   Centerspace    40,217     2,604
   Urban Edge Properties   155,318     2,541
   Hudson Pacific Properties Inc.   344,622     2,347
   Brandywine Realty Trust   463,543     2,318
   Safehold Inc.   108,289     2,304
   CareTrust REIT Inc.   101,948     2,054
 * Anywhere Real Estate Inc.   297,687     1,953
   Four Corners Property Trust Inc.    77,476     1,949
   Uniti Group Inc.   353,531     1,898
 * Veris Residential Inc.    94,594     1,760
   Summit Hotel Properties Inc.   290,071     1,685
   Getty Realty Corp.    43,496     1,306
   Chatham Lodging Trust   131,221     1,283
   LTC Properties Inc.    38,890     1,278
   Whitestone REIT   124,777     1,248
   NexPoint Residential Trust Inc.    28,851     1,083
   Office Properties Income Trust   130,344       965
   Orion Office REIT Inc.   152,071       887
   Community Healthcare Trust Inc.    26,279       872
   RE/MAX Holdings Inc. Class A    48,620       788
   Armada Hoffler Properties Inc.    63,696       725
          Shares Market
Value•

($000)
   Saul Centers Inc.    14,981       563
   Universal Health Realty Income Trust    11,982       559
                       155,747
Utilities (1.5%)
   Avista Corp.   204,139     6,796
   Otter Tail Corp.    43,887     3,615
   California Water Service Group    57,178     2,873
   American States Water Co.    30,805     2,594
   Chesapeake Utilities Corp.    15,840     1,744
   Northwest Natural Holding Co.    34,770     1,366
   Middlesex Water Co.    17,084     1,286
                        20,274
Total Common Stocks
(Cost $1,352,979) 		1,329,309
Temporary Cash Investments (0.7%)
Money Market Fund (0.7%)
2,3 Vanguard Market Liquidity Fund, 5.384%
(Cost $10,245) 		  102,464          10,246
Total Investments (100.6%)
(Cost $1,363,224) 		  1,339,555
Other Assets and Liabilities—Net (-0.6%)   (8,593)
Net Assets (100%)   1,330,962
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 $9,545,000.
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 $10,027,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
37

 

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 September 2023 17 1,616 3
  
See accompanying Notes, which are an integral part of the Financial Statements.
38

 

S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $1,352,979) 1,329,309
Affiliated Issuers (Cost $10,245) 10,246
Total Investments in Securities 1,339,555
Investment in Vanguard 46
Cash Collateral Pledged—Futures Contracts 110
Receivables for Investment Securities Sold 8,484
Receivables for Accrued Income 1,808
Receivables for Capital Shares Issued 6
Total Assets 1,350,009
Liabilities  
Due to Custodian 1,887
Payables for Investment Securities Purchased 7,044
Collateral for Securities on Loan 10,027
Payables to Vanguard 85
Variation Margin Payable—Futures Contracts 4
Total Liabilities 19,047
Net Assets 1,330,962
1 Includes $9,545,000 of securities on loan.  
39

 

S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities (continued)
 
At August 31, 2023, net assets consisted of:

($000s, except shares, footnotes, and per-share amounts) Amount
Paid-in Capital 1,639,614
Total Distributable Earnings (Loss) (308,652)
Net Assets 1,330,962
 
ETF Shares—Net Assets2  
Applicable to 15,450,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,278,192
Net Asset Value Per Share—ETF Shares $82.73
 
Institutional Shares—Net Assets  
Applicable to 152,368 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		52,770
Net Asset Value Per Share—Institutional Shares $346.33
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.
40

 

S&P Small-Cap 600 Value Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends1 26,376
Interest2 45
Securities Lending—Net 289
Total Income 26,710
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 31
Management and Administrative—ETF Shares 1,619
Management and Administrative—Institutional Shares 35
Marketing and Distribution—ETF Shares 72
Marketing and Distribution—Institutional Shares 2
Custodian Fees 55
Auditing Fees 29
Shareholders’ Reports—ETF Shares 67
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 1
Other Expenses 17
Total Expenses 1,928
Net Investment Income 24,782
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (57,609)
Futures Contracts (442)
Realized Net Gain (Loss) (58,051)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 79,716
Futures Contracts 98
Change in Unrealized Appreciation (Depreciation) 79,814
Net Increase (Decrease) in Net Assets Resulting from Operations 46,545
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 $41,000, $2,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $93,518,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
41

 

S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 24,782 21,479
Realized Net Gain (Loss) (58,051) 135,539
Change in Unrealized Appreciation (Depreciation) 79,814 (276,947)
Net Increase (Decrease) in Net Assets Resulting from Operations 46,545 (119,929)
Distributions    
ETF Shares (23,212) (20,966)
Institutional Shares (1,044) (1,129)
Total Distributions (24,256) (22,095)
Capital Share Transactions    
ETF Shares 7,972 56,993
Institutional Shares (1,724) (8,610)
Net Increase (Decrease) from Capital Share Transactions 6,248 48,383
Total Increase (Decrease) 28,537 (93,641)
Net Assets    
Beginning of Period 1,302,425 1,396,066
End of Period 1,330,962 1,302,425
See accompanying Notes, which are an integral part of the Financial Statements.
42

 

S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $80.11 $88.82 $56.26 $61.62 $74.53
Investment Operations          
Net Investment Income2 1.529 1.372 1.296 1.091 1.071
Net Realized and Unrealized Gain (Loss) on Investments 2.600 (8.648) 32.307 (5.393) (12.906)
Total from Investment Operations 4.129 (7.276) 33.603 (4.302) (11.835)
Distributions          
Dividends from Net Investment Income (1.509) (1.434) (1.043) (1.058) (1.075)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.509) (1.434) (1.043) (1.058) (1.075)
Net Asset Value, End of Period $82.73 $80.11 $88.82 $56.26 $61.62
Total Return 5.29% -8.28% 60.19% -7.08% -15.93%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,278 $1,250 $1,328 $501 $373
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.89% 1.59% 1.61% 1.90% 1.66%
Portfolio Turnover Rate3 45% 36% 30% 46% 39%
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.
43

 

S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares          
For a Share Outstanding
Throughout Each Period 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $335.40 $371.84 $235.47 $257.69 $311.75
Investment Operations          
Net Investment Income1 6.654 5.824 5.457 4.805 4.609
Net Realized and Unrealized Gain (Loss) on Investments 10.833 (36.009) 135.457 (22.489) (53.914)
Total from Investment Operations 17.487 (30.185) 140.914 (17.684) (49.305)
Distributions          
Dividends from Net Investment Income (6.557) (6.255) (4.544) (4.536) (4.755)
Distributions from Realized Capital Gains — — — — —
Total Distributions (6.557) (6.255) (4.544) (4.536) (4.755)
Net Asset Value, End of Period $346.33 $335.40 $371.84 $235.47 $257.69
Total Return 5.39% -8.20% 60.32% -6.94% -15.87%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $53 $53 $68 $42 $35
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.96% 1.61% 1.67% 2.00% 1.73%
Portfolio Turnover Rate2 45% 36% 30% 46% 39%
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.
44

 

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.
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 year ended August 31, 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.
45

 

S&P Small-Cap 600 Value Index Fund
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
46

 

S&P Small-Cap 600 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 year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $46,000, 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.).
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 August 31, 2023, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
47

 

S&P Small-Cap 600 Value Index Fund
D.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 93,317
Total Distributable Earnings (Loss) (93,317)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 5,834
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) (25,575)
Capital Loss Carryforwards (288,911)
Qualified Late-Year Losses —
Other Temporary Differences —
Total (308,652)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 24,256 22,095
Long-Term Capital Gains — —
Total 24,256 22,095
* Includes short-term capital gains, if any.
48

 

S&P Small-Cap 600 Value Index Fund
As of August 31, 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 1,365,130
Gross Unrealized Appreciation 161,440
Gross Unrealized Depreciation (187,015)
Net Unrealized Appreciation (Depreciation) (25,575)
E.  During the year ended August 31, 2023, the fund purchased $1,102,616,000 of investment securities and sold $1,092,988,000 of investment securities, other than temporary cash investments. Purchases and sales include $475,302,000 and $507,598,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $233,266,000 and sales were $183,377,000, resulting in net realized loss of $24,196,000; 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:
  Year Ended August 31,
  2023   2022
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 518,976 6,325   649,403 7,450
Issued in Lieu of Cash Distributions — —   — —
Redeemed (511,004) (6,475)   (592,410) (6,800)
Net Increase (Decrease)—ETF Shares 7,972 (150)   56,993 650
Institutional Shares          
Issued 7,943 23   30,070 83
Issued in Lieu of Cash Distributions 889 3   979 3
Redeemed (10,556) (31)   (39,659) (113)
Net Increase (Decrease)—Institutional Shares (1,724) (5)   (8,610) (27)
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  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.
49

 

S&P Small-Cap 600 Value Index Fund
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
50

 

S&P Small-Cap 600 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
    Average Annual Total Returns
Periods Ended August 31, 2023 		 
    One
Year 		Five
Years 		Ten
Years 		Final Value
of a $10,000
Investment
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value 5.28% 3.28% 9.64% $25,109
  S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price 5.25 3.28 9.64 25,102
S&P SmallCap 600 Growth Index 5.43 3.42 9.82 25,515
Dow Jones U.S. Total Stock Market Float Adjusted Index 14.75 10.12 12.14 31,461
See Financial Highlights for dividend and capital gains information.
51

 

S&P Small-Cap 600 Growth Index Fund
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year 		Five
Years 		Ten
Years
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price 5.25% 17.52% 151.02%
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value 5.28 17.52 151.09
S&P SmallCap 600 Growth Index 5.43 18.31 155.15
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
52

 

S&P Small-Cap 600 Growth Index Fund
Fund Allocation
As of August 31, 2023
Communication Services 2.0%
Consumer Discretionary 8.1
Consumer Staples 6.4
Energy 6.4
Financials 15.3
Health Care 12.7
Industrials 18.1
Information Technology 18.8
Materials 6.3
Real Estate 3.6
Utilities 2.3
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.
53

 

S&P Small-Cap 600 Growth Index Fund
Financial Statements
Schedule of Investments
As of August 31, 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 (2.0%)
   Madison Square Garden Sports Corp.  15,782   2,809
   Cogent Communications Holdings Inc.  29,543   2,085
 * Yelp Inc. Class A  46,462   1,991
 * Cars.com Inc.  72,394   1,353
 * Cargurus Inc. Class A  52,093     944
 * TechTarget Inc.  30,134     866
   Shutterstock Inc.  13,536     570
 * Gogo Inc.  49,754     565
   ATN International Inc.  12,489     448
 * QuinStreet Inc.  30,882     306
                    11,937
Consumer Discretionary (8.1%)
 * Dorman Products Inc.  33,013   2,724
 * Cavco Industries Inc.   9,417   2,632
 * Asbury Automotive Group Inc.  11,290   2,597
   Installed Building Products Inc.  17,904   2,591
   Academy Sports & Outdoors Inc.  42,217   2,304
 * Adtalem Global Education Inc.  50,778   2,227
 * Stride Inc.  47,592   2,022
 * Boot Barn Holdings Inc.  21,174   1,943
   Jack in the Box Inc.  23,979   1,927
 * XPEL Inc.  22,834   1,902
   LCI Industries  14,717   1,844
   Bloomin' Brands Inc.  58,887   1,652
 * Frontdoor Inc.  49,600   1,628
 * Shake Shack Inc. Class A  23,158   1,621
 * Green Brick Partners Inc.  31,335   1,550
 * Gentherm Inc.  23,503   1,415
   Oxford Industries Inc.  12,068   1,219
   Strategic Education Inc.  14,886   1,154
   Winnebago Industries Inc.  16,405   1,064
   Monarch Casino & Resort Inc.  15,551   1,048
          Shares Market
Value•

($000)
 * Dave & Buster's Entertainment Inc.  26,169   1,028
 * National Vision Holdings Inc.  52,859     968
 * Vista Outdoor Inc.  29,994     877
   Buckle Inc.  23,973     876
 * Six Flags Entertainment Corp.  37,208     854
   Ethan Allen Interiors Inc.  26,655     836
   Perdoceo Education Corp.  49,615     822
 * Sabre Corp. 147,275     736
 * Leslie's Inc. 112,974     707
   Sturm Ruger & Co. Inc.  12,611     650
   Dine Brands Global Inc.  10,973     601
   Golden Entertainment Inc.  15,806     576
 * Chuy's Holdings Inc.  11,426     435
   Hibbett Inc.   7,890     365
 * Mister Car Wash Inc.  47,747     346
   Haverty Furniture Cos. Inc.   7,939     249
                    47,990
Consumer Staples (6.3%)
 * elf Beauty Inc.  59,000   8,184
 * Hostess Brands Inc. Class A 154,875   4,411
 * Simply Good Foods Co.  98,562   3,556
   Inter Parfums Inc.  20,893   2,920
   J & J Snack Foods Corp.  17,506   2,838
   WD-40 Co.  10,275   2,208
   MGP Ingredients Inc.  17,942   2,151
   Cal-Maine Foods Inc.  44,242   2,114
 * TreeHouse Foods Inc.  27,800   1,293
   Edgewell Personal Care Co.  28,666   1,105
   Medifast Inc.  12,694   1,071
 * National Beverage Corp.  18,524     951
 * Central Garden & Pet Co. Class A  22,997     938
   Andersons Inc.  16,164     830
   Vector Group Ltd.  68,087     729
 * Chefs' Warehouse Inc.  25,475     727
   Tootsie Roll Industries Inc.  20,986     675
   John B Sanfilippo & Son Inc.   6,376     640
 * Central Garden & Pet Co.   5,418     239
                    37,580
54

 

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

($000)
Energy (6.4%)
   SM Energy Co. 140,429   5,942
   Civitas Resources Inc.  57,177   4,701
   Northern Oil & Gas Inc.  94,381   3,948
   CONSOL Energy Inc.  37,161   3,197
   Helmerich & Payne Inc.  69,314   2,772
   Patterson-UTI Energy Inc. 194,888   2,756
 * Oceaneering International Inc.  84,426   1,924
   California Resources Corp.  23,788   1,328
   Comstock Resources Inc. 106,892   1,311
 * Vital Energy Inc.  21,621   1,304
 * Callon Petroleum Co.  29,980   1,176
 * Talos Energy Inc.  67,764   1,167
   Dorian LPG Ltd.  37,188     959
 * NexTier Oilfield Solutions Inc.  78,691     835
 * Nabors Industries Ltd.   7,197     797
   RPC Inc.  96,869     774
 * REX American Resources Corp.  17,860     705
 * US Silica Holdings Inc.  52,127     643
   Core Laboratories Inc.  26,141     628
   CVR Energy Inc.  18,719     612
 * Dril-Quip Inc.  21,140     583
                    38,062
Financials (15.3%)
 * Mr Cooper Group Inc.  79,308   4,494
   ServisFirst Bancshares Inc.  56,924   3,190
   First Bancorp 209,564   2,905
   CVB Financial Corp. 152,584   2,664
   Piper Sandler Cos.  17,192   2,561
   United Community Banks Inc.  87,201   2,354
 * Bancorp Inc.  63,703   2,339
   Assured Guaranty Ltd.  35,208   2,072
   American Equity Investment Life Holding Co.  38,212   2,051
   EVERTEC Inc.  49,235   1,948
   BancFirst Corp.  20,298   1,940
 * StoneX Group Inc.  20,532   1,928
   NBT Bancorp Inc.  55,089   1,896
   Ameris Bancorp  46,293   1,886
   Moelis & Co. Class A  37,941   1,799
   Banner Corp.  39,947   1,740
   Park National Corp.  16,755   1,705
   Community Bank System Inc.  35,700   1,698
   OFG Bancorp  55,283   1,667
   City Holding Co.  17,525   1,601
   Lakeland Financial Corp.  29,584   1,542
   Artisan Partners Asset Management Inc. Class A  39,939   1,534
 * Palomar Holdings Inc.  29,015   1,480
   First Hawaiian Inc.  77,347   1,463
   Independent Bank Corp.  26,752   1,445
          Shares Market
Value•

($000)
 * Axos Financial Inc.  33,139   1,428
 * NMI Holdings Inc. Class A  49,592   1,419
   Westamerica Bancorp  30,983   1,364
   First Financial Bancorp  61,077   1,269
   Bank of Hawaii Corp.  23,498   1,263
   Fulton Financial Corp.  94,636   1,261
   Jackson Financial Inc. Class A  33,353   1,254
   Seacoast Banking Corp. of Florida  52,786   1,246
 * Trupanion Inc.  41,382   1,230
   Trustmark Corp.  48,948   1,128
   Stellar Bancorp Inc.  52,821   1,123
   ARMOUR Residential REIT Inc. 227,648   1,118
   Pathward Financial Inc.  22,612   1,114
   Washington Federal Inc.  40,686   1,106
 * Goosehead Insurance Inc. Class A  15,661   1,094
   Atlantic Union Bankshares Corp.  34,138   1,014
 * Triumph Financial Inc.  15,641   1,005
   Preferred Bank  15,419     958
 * Avantax Inc.  44,998     941
   National Bank Holdings Corp. Class A  29,053     916
   S&T Bancorp Inc.  31,384     889
   First Commonwealth Financial Corp.  66,050     863
   First Bancorp (XNGS)  28,695     850
   Northwest Bancshares Inc.  77,128     848
   Virtus Investment Partners Inc.   4,067     842
   Dime Community Bancshares Inc.  37,802     806
 * Donnelley Financial Solutions Inc.  14,771     728
   Heritage Financial Corp.  40,921     705
   Safety Insurance Group Inc.   9,888     681
   AMERISAFE Inc.  12,291     637
 * Payoneer Global Inc. 102,305     633
   Employers Holdings Inc.  15,996     628
   Berkshire Hills Bancorp Inc.  29,977     626
   FB Financial Corp.  20,473     622
   Hanmi Financial Corp.  35,654     618
 * Customers Bancorp Inc.  17,141     602
   Southside Bancshares Inc.  19,892     599
   Veritex Holdings Inc.  31,023     584
   WisdomTree Inc.  73,942     540
   Tompkins Financial Corp.   9,433     490
 1 B. Riley Financial Inc.   9,008     461
   TrustCo Bank Corp.  14,652     417
   Brightsphere Investment Group Inc.  19,636     407
 
55

 

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

($000)
   Northfield Bancorp Inc.  25,812     272
   Invesco Mortgage Capital Inc.  21,871     246
                    90,747
Health Care (12.7%)
   Ensign Group Inc.  65,247   6,539
 * Merit Medical Systems Inc.  67,000   4,374
 * AMN Healthcare Services Inc.  46,197   4,083
 * Cytokinetics Inc. 111,405   3,893
 * Corcept Therapeutics Inc. 105,355   3,448
 * Privia Health Group Inc. 109,132   2,865
 * Glaukos Corp.  37,628   2,827
 * Prestige Consumer Healthcare Inc.  40,555   2,366
 * Amphastar Pharmaceuticals Inc.  43,875   2,339
 * Supernus Pharmaceuticals Inc.  63,408   2,019
 * Dynavax Technologies Corp. 139,104   1,998
   CONMED Corp.  17,442   1,944
 * Pacira BioSciences Inc.  53,542   1,890
 * Veradigm Inc. 127,094   1,701
 * STAAR Surgical Co.  38,267   1,659
 * Addus HomeCare Corp.  18,860   1,654
 * Catalyst Pharmaceuticals Inc. 113,432   1,593
 * Xencor Inc.  70,223   1,544
 * CorVel Corp.   6,899   1,493
 * UFP Technologies Inc.   8,073   1,419
 * Harmony Biosciences Holdings Inc.  34,983   1,268
 * Arcus Biosciences Inc.  61,419   1,259
 * Tandem Diabetes Care Inc.  45,226   1,237
 * Certara Inc.  71,372   1,153
 * NextGen Healthcare Inc.  62,440   1,137
 * Vir Biotechnology Inc.  89,116   1,128
 * AdaptHealth Corp. Class A  89,211   1,064
   US Physical Therapy Inc.  10,486   1,057
 * Vericel Corp.  31,628   1,038
 * Cross Country Healthcare Inc.  39,845   1,026
 * Schrodinger Inc.  27,495   1,014
 * Collegium Pharmaceutical Inc.  40,379     946
   LeMaitre Vascular Inc.  15,704     908
 * Innoviva Inc.  68,810     877
 * Ironwood Pharmaceuticals Inc. Class A  99,341     874
 * REGENXBIO Inc.  44,137     781
 * Ligand Pharmaceuticals Inc.  10,337     680
 * Avid Bioservices Inc.  50,378     594
   Embecta Corp.  31,430     576
   Simulations Plus Inc.  12,358     550
 * ANI Pharmaceuticals Inc.   8,451     544
          Shares Market
Value•

($000)
 * BioLife Solutions Inc.  40,576     536
   Mesa Laboratories Inc.   3,632     521
 * uniQure NV  48,870     426
   HealthStream Inc.  18,106     381
 * iTeos Therapeutics Inc.  28,805     348
 * Fulgent Genetics Inc.  10,458     343
 * Cytek Biosciences Inc.  41,105     312
 * Coherus Biosciences Inc.  39,853     212
*,1 Zynex Inc.  24,817     191
 * Agiliti Inc.  17,652     170
 * Anika Therapeutics Inc.   8,943     160
 * Computer Programs & Systems Inc.   8,778     143
 * Enanta Pharmaceuticals Inc.   9,004     134
*,2 OmniAb Inc. 12.5 Earnout   7,390      —
*,2 OmniAb Inc. 15 Earnout   7,390      —
                    75,236
Industrials (18.1%)
   Comfort Systems USA Inc.  41,686   7,694
   Applied Industrial Technologies Inc.  45,054   6,955
   Mueller Industries Inc.  66,428   5,126
   Boise Cascade Co.  46,141   5,047
   AAON Inc.  74,925   4,725
   Franklin Electric Co. Inc.  45,232   4,374
   Federal Signal Corp.  70,979   4,326
   Hillenbrand Inc.  81,062   3,927
   Matson Inc.  41,786   3,672
   Encore Wire Corp.  20,935   3,450
   Albany International Corp. Class A  36,336   3,369
   EnPro Industries Inc.  24,328   3,318
   Arcosa Inc.  37,261   2,915
 * Verra Mobility Corp. Class A 163,033   2,900
 * AeroVironment Inc.  29,435   2,856
 * SPX Technologies Inc.  32,868   2,597
   Moog Inc. Class A  20,404   2,370
 * Dycom Industries Inc.  23,250   2,323
   Griffon Corp.  55,308   2,316
   ESCO Technologies Inc.  20,400   2,183
   Forward Air Corp.  30,216   2,140
 * PGT Innovations Inc.  68,333   1,926
   CSG Systems International Inc.  35,377   1,921
   UniFirst Corp.  10,370   1,827
   Brady Corp. Class A  34,876   1,759
   Lindsay Corp.  12,803   1,589
 * Mercury Systems Inc.  39,313   1,543
   Alamo Group Inc.   8,784   1,508
   Korn Ferry  29,253   1,491
 * NV5 Global Inc.  14,611   1,487
   Standex International Corp.   9,448   1,452
   Marten Transport Ltd.  67,061   1,408
   Trinity Industries Inc.  55,660   1,396
 * MYR Group Inc.   9,716   1,380
 * Hub Group Inc. Class A  17,200   1,342
 
56

 

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

($000)
   Enerpac Tool Group Corp. Class A  44,053   1,154
 * Titan International Inc.  59,678     751
   Apogee Enterprises Inc.  14,824     748
   Wabash National Corp.  32,142     725
 * Sun Country Airlines Holdings Inc.  42,590     634
   Quanex Building Products Corp.  22,111     597
   Heartland Express Inc.  35,364     534
 * SunPower Corp.  56,038     401
   Insteel Industries Inc.  10,433     363
   TTEC Holdings Inc.  11,030     328
 * Liquidity Services Inc.  14,970     273
                   107,120
Information Technology (18.8%)
 * Onto Innovation Inc.  57,028   7,926
 * SPS Commerce Inc.  42,566   7,923
 * Axcelis Technologies Inc.  38,114   7,324
 * Rambus Inc. 126,836   7,162
 * Fabrinet  42,297   6,800
   Badger Meter Inc.  34,163   5,674
   Advanced Energy Industries Inc.  43,732   5,163
 * Diodes Inc.  53,268   4,360
 * Extreme Networks Inc. 150,310   4,126
 * DoubleVerify Holdings Inc. 118,168   3,995
   Kulicke & Soffa Industries Inc.  65,937   3,411
 * Alarm.com Holdings Inc.  58,064   3,401
 * Plexus Corp.  32,234   3,273
   Progress Software Corp.  50,464   3,070
   InterDigital Inc.  31,162   2,702
 * NetScout Systems Inc.  78,532   2,248
 * MaxLinear Inc. Class A  85,659   2,013
 * Veeco Instruments Inc.  60,145   1,756
 * Sanmina Corp.  31,228   1,739
 * Photronics Inc.  72,894   1,732
 * Agilysys Inc.  23,244   1,640
   CTS Corp.  36,692   1,638
 * Perficient Inc.  23,178   1,479
 * Viavi Solutions Inc. 134,435   1,405
 * Digi International Inc.  41,832   1,396
 * Harmonic Inc. 129,831   1,387
 * SiTime Corp.  10,376   1,377
 * Cohu Inc.  36,598   1,368
 * LiveRamp Holdings Inc.  41,382   1,338
 * PDF Solutions Inc.  34,866   1,267
 * OSI Systems Inc.   9,258   1,262
   A10 Networks Inc.  75,104   1,118
 * Ultra Clean Holdings Inc.  28,682   1,009
 * ePlus Inc.  15,072   1,001
 * Alpha & Omega Semiconductor Ltd.  25,991     820
 * N-able Inc.  53,460     715
   Methode Electronics Inc.  21,840     704
          Shares Market
Value•

($000)
 * Avid Technology Inc.  22,980     613
 * Digital Turbine Inc.  67,424     601
 * Arlo Technologies Inc.  53,593     524
 * Clearfield Inc.  14,777     519
   ADTRAN Holdings Inc.  57,649     493
 * Consensus Cloud Solutions Inc.  13,885     443
 * Corsair Gaming Inc.  26,686     420
 * CEVA Inc.  16,671     387
 * OneSpan Inc.  20,338     249
 * 8x8 Inc.  60,698     197
                   111,168
Materials (6.2%)
   Balchem Corp.  37,565   5,278
 * Livent Corp. 209,359   4,495
 * ATI Inc.  92,865   4,210
   Innospec Inc.  28,994   3,114
   HB Fuller Co.  40,151   2,912
   Quaker Chemical Corp.  15,918   2,825
 * Ingevity Corp.  39,758   2,142
 * O-I Glass Inc.  83,327   1,655
   Materion Corp.  13,703   1,491
   Kaiser Aluminum Corp.  18,573   1,410
   Stepan Co.  16,041   1,400
   Hawkins Inc.  22,039   1,371
   Warrior Met Coal Inc.  33,981   1,344
   Sylvamo Corp.  21,222     886
   Myers Industries Inc.  42,890     807
   Haynes International Inc.   9,952     486
   American Vanguard Corp.  32,281     446
 * TimkenSteel Corp.  19,606     429
   Mercer International Inc.  20,344     185
   FutureFuel Corp.  17,177     122
                    37,008
Real Estate (3.6%)
   Innovative Industrial Properties Inc.  32,661   2,851
   St. Joe Co.  39,434   2,435
   Phillips Edison & Co. Inc.  58,713   1,988
   Four Corners Property Trust Inc.  67,826   1,706
   Tanger Factory Outlet Centers Inc.  67,298   1,565
   CareTrust REIT Inc.  71,699   1,445
   Urban Edge Properties  69,823   1,142
   LTC Properties Inc.  31,403   1,032
   Getty Realty Corp.  33,640   1,010
 * Veris Residential Inc.  52,144     970
   Marcus & Millichap Inc.  28,292     942
   Kennedy-Wilson Holdings Inc.  49,773     795
   Uniti Group Inc. 125,302     673
   Armada Hoffler Properties Inc.  51,550     587
 
57

 

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

($000)
   Community Healthcare Trust Inc.  17,132     569
   NexPoint Residential Trust Inc.  14,123     530
   Universal Health Realty Income Trust   9,634     449
   eXp World Holdings Inc.  23,211     446
   Saul Centers Inc.   8,601     323
                    21,458
Utilities (2.3%)
   American States Water Co.  29,732   2,504
   Otter Tail Corp.  29,653   2,442
   SJW Group  32,202   2,118
   California Water Service Group  40,424   2,031
   Chesapeake Utilities Corp.  13,910   1,531
   Northwest Natural Holding Co.  26,830   1,054
   Middlesex Water Co.  13,205     994
   Unitil Corp.  18,778     917
                    13,591
Total Common Stocks
(Cost $541,720) 		591,897
          Shares Market
Value•

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
3,4 Vanguard Market Liquidity Fund, 5.384%
(Cost $934) 		  9,342        934
Total Investments (100.0%)
(Cost $542,654) 		  592,831
Other Assets and Liabilities—Net (0.0%)   (65)
Net Assets (100%)   592,766
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 $411,000.
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 $426,000 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 Russell 2000 Index September 2023 10 951 1
  
See accompanying Notes, which are an integral part of the Financial Statements.
58

 

S&P Small-Cap 600 Growth Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $541,720) 591,897
Affiliated Issuers (Cost $934) 934
Total Investments in Securities 592,831
Investment in Vanguard 20
Cash 26
Cash Collateral Pledged—Futures Contracts 70
Receivables for Accrued Income 547
Receivables for Capital Shares Issued 2,515
Total Assets 596,009
Liabilities  
Payables for Investment Securities Purchased 2,774
Collateral for Securities on Loan 426
Payables for Capital Shares Redeemed 2
Payables to Vanguard 38
Variation Margin Payable—Futures Contracts 3
Total Liabilities 3,243
Net Assets 592,766
1 Includes $411,000 of securities on loan.  
 
At August 31, 2023, net assets consisted of:

   
Paid-in Capital 723,521
Total Distributable Earnings (Loss) (130,755)
Net Assets 592,766
   
ETF Shares—Net Assets2  
Applicable to 5,900,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		592,766
Net Asset Value Per Share—ETF Shares $100.47
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.
59

 

S&P Small-Cap 600 Growth Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends1 7,722
Interest2 24
Securities Lending—Net 43
Total Income 7,789
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 12
Management and Administrative 626
Marketing and Distribution 30
Custodian Fees 24
Auditing Fees 29
Shareholders’ Reports 42
Trustees’ Fees and Expenses —
Other Expenses 17
Total Expenses 780
Net Investment Income 7,009
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (58,215)
Futures Contracts (31)
Realized Net Gain (Loss) (58,246)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 78,703
Futures Contracts 10
Change in Unrealized Appreciation (Depreciation) 78,713
Net Increase (Decrease) in Net Assets Resulting from Operations 27,476
1 Dividends are net of foreign withholding taxes of $15,000.
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 $22,000, 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 $12,617,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
60

 

S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000) 		2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 7,009 4,673
Realized Net Gain (Loss) (58,246) 19,847
Change in Unrealized Appreciation (Depreciation) 78,713 (121,602)
Net Increase (Decrease) in Net Assets Resulting from Operations 27,476 (97,082)
Distributions    
Total Distributions (6,513) (5,133)
Capital Share Transactions    
Issued 129,942 232,231
Issued in Lieu of Cash Distributions — —
Redeemed (51,267) (202,342)
Net Increase (Decrease) from Capital Share Transactions 78,675 29,889
Total Increase (Decrease) 99,638 (72,326)
Net Assets    
Beginning of Period 493,128 565,454
End of Period 592,766 493,128
See accompanying Notes, which are an integral part of the Financial Statements.
61

 

S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period1 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $96.69 $116.59 $79.48 $76.17 $89.71
Investment Operations          
Net Investment Income2 1.292 .927 .813 .732 .738
Net Realized and Unrealized Gain (Loss) on Investments 3.709 (19.803) 36.946 3.323 (13.572)
Total from Investment Operations 5.001 (18.876) 37.759 4.055 (12.834)
Distributions          
Dividends from Net Investment Income (1.221) (1.024) (.649) (.745) (.706)
Distributions from Realized Capital Gains — — — — —
Total Distributions (1.221) (1.024) (.649) (.745) (.706)
Net Asset Value, End of Period $100.47 $96.69 $116.59 $79.48 $76.17
Total Return 5.28% -16.27% 47.68% 5.37% -14.32%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $593 $493 $565 $326 $392
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets 1.35% 0.87% 0.79% 0.97% 0.94%
Portfolio Turnover Rate3 45% 42% 35% 57% 47%
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.
62

 

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 August 31, 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.
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 year ended August 31, 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.
63

 

S&P Small-Cap 600 Growth Index Fund
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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes 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
64

 

S&P Small-Cap 600 Growth 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 year ended August 31, 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 August 31, 2023, the fund had contributed to Vanguard capital in the amount of $20,000, 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.
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S&P Small-Cap 600 Growth Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 591,897 — — 591,897
Temporary Cash Investments 934 — — 934
Total 592,831 — — 592,831
Derivative Financial Instruments        
Assets        
Futures Contracts1 1 — — 1
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.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions were reclassified between the following accounts:
  Amount
($000)
Paid-in Capital 12,610
Total Distributable Earnings (Loss) (12,610)
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
  Amount
($000)
Undistributed Ordinary Income 1,487
Undistributed Long-Term Gains —
Net Unrealized Gains (Losses) 49,508
Capital Loss Carryforwards (181,750)
Qualified Late-Year Losses —
Other Temporary Differences —
Total (130,755)
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S&P Small-Cap 600 Growth Index Fund
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000) 		2022
Amount
($000)
Ordinary Income* 6,513 5,133
Long-Term Capital Gains — —
Total 6,513 5,133
* Includes short-term capital gains, if any.
As of August 31, 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 543,323
Gross Unrealized Appreciation 105,293
Gross Unrealized Depreciation (55,785)
Net Unrealized Appreciation (Depreciation) 49,508
E.  During the year ended August 31, 2023, the fund purchased $361,063,000 of investment securities and sold $281,867,000 of investment securities, other than temporary cash investments. Purchases and sales include $122,401,000 and $46,977,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $131,265,000 and sales were $149,808,000, resulting in net realized loss of $54,985,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital shares issued and redeemed were:
  Year Ended August 31,  
  2023
Shares
(000) 		  2022
Shares
(000)
     
ETF Shares1      
Issued 1,350   2,100
Issued in Lieu of Cash Distributions —   —
Redeemed (550)   (1,850)
Net Increase (Decrease) in Shares Outstanding—ETF Shares 800   250
1 Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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S&P Small-Cap 600 Growth Index Fund
G.  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.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund's use of derivative(s) and the specific risks associated is described under significant accounting policies.
H.  Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Admiral Funds and Shareholders of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund (three of the funds constituting Vanguard Admiral Funds, hereafter collectively referred to as the "Funds") as of August 31, 2023, the related statements of operations for the year ended August 31, 2023, the statements of changes in net assets for each of the two years in the period ended August 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2023 and each of the financial highlights for each of the five years in the period ended August 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers  LLP
Philadelphia, Pennsylvania
October 18, 2023
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Tax information (unaudited)
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received deduction for corporate shareholders.
Fund Percentage
S&P Small-Cap 600 Index Fund 77.5%
S&P Small-Cap 600 Value Index Fund 69.5
S&P Small-Cap 600 Growth Index Fund 90.2
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
Fund ($000)
S&P Small-Cap 600 Index Fund 45,602
S&P Small-Cap 600 Value Index Fund 17,924
S&P Small-Cap 600 Growth Index Fund 6,039
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax. 
Fund ($000)
S&P Small-Cap 600 Index Fund 38
S&P Small-Cap 600 Value Index Fund 13
S&P Small-Cap 600 Growth Index Fund 7
The following amounts, or if subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
Fund ($000)
S&P Small-Cap 600 Index Fund 7,247
S&P Small-Cap 600 Value Index Fund 4,167
S&P Small-Cap 600 Growth Index Fund 425
70

 

Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year through advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received periodic reports throughout the year, which included information about each fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.
Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also below the peer-group average.
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The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees. 
The benefit of economies of scale
The board concluded that each fund’s arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Admiral Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2022, through December 31, 2022 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
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The S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 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 Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 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 Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund particularly or the ability of the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 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 SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund into consideration in determining, composing or calculating the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 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 Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 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 Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small- Cap 600 Growth Index Fund. There is no assurance that investment products based on the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 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 SMALL-CAP 600 INDEX FUND, VANGUARD S&P SMALL-CAP 600 VALUE INDEX FUND, AND VANGUARD S&P SMALL-CAP 600 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.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 205 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief ‎operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and ‎Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
 
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer ‎‎(retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. ‎‎(investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment ‎Committee, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Director of DuPont. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–‎‎2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of ‎financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law, Duke Law School (2021–‎present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global Financial Markets Center, Duke Law School ‎‎(2020–2022); and Senior Fellow, Duke Center on Risk (2020–present). Partner of Kaya Partners (climate policy advisory services). ‎Member of the board of directors of Arcadia (energy solution technology).
Grant Reid
Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.
David Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company. Trustee of Common Fund.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.

 

Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer ‎‎(November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) ‎and deputy chief compliance officer (2017–2019) of State Street.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the ‎investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at ‎Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Jodi Miller
Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director (2022–present) of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
Chris D. McIsaac Lauren Valente

 

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Q18450 102023

 

Item 2: Code of Ethics.

 

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

 

Item 3: Audit Committee Financial Expert.

 

All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

 

Item 4: Principal Accountant Fees and Services.

 

(a)            Audit Fees.

 

Audit Fees of the Registrant.

 

Fiscal Year Ended August 31, 2023: $261,000
Fiscal Year Ended August 31, 2022: $254,000

 

 

 

 

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

 

Fiscal Year Ended August 31, 2023: $9,326,156
Fiscal Year Ended August 31, 2022: $10,494,508

 

Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(b)            Audit-Related Fees.

 

Fiscal Year Ended August 31, 2023: $3,295,934
Fiscal Year Ended August 31, 2022: $2,757,764

 

Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(c)            Tax Fees.

 

Fiscal Year Ended August 31, 2023: $1,678,928
Fiscal Year Ended August 31, 2022: $5,202,689

 

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(d)            All Other Fees.

 

Fiscal Year Ended August 31, 2023: $25,000
Fiscal Year Ended August 31, 2022: $298,000

 

Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(e)            (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

 

 

 

 

In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

 

The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

 

(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f)             For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.

 

(g)            Aggregate Non-Audit Fees.

 

Fiscal Year Ended August 31, 2023: $1,703,928
Fiscal Year Ended August 31, 2022: $5,500,689

 

Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

 

(h)            For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

 

Item 5: Audit Committee of Listed Registrants.

 

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

 

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) Code of Ethics filed herewith.
(a)(2) Certifications filed herewith.
(a)(2) 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: October 19, 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: October 19, 2023

 

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

 

Date: October 19, 2023

 

* By: /s/ Anne E. Robinson  

 

Anne E. Robinson, pursuant to a Power of Attorney filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.