N-CSRS 1 tm247931d2_ncsrs.htm N-CSRS

 

 

  

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-07043

 

Name of Registrant: Vanguard Admiral Funds
Address of Registrant: P.O. Box 2600

Valley Forge, PA 19482

 

Name and address of agent for service: Anne E. Robinson, Esquire

P.O. Box 876

Valley Forge, PA 19482

 

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

 

Date of fiscal year end: August 31

 

Date of reporting period: September 1, 2023—February 29, 2024

 

 

  

 

 

 

Item 1: Reports to Shareholders

 

 

 

Semiannual Report   |   February 29, 2024
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
33

 

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

 

Six Months Ended February 29, 2024      
  Beginning
Account Value
8/31/2023 		Ending
Account Value
2/29/2024 		Expenses
Paid During
Period
Based on Actual Fund Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,026.70 $0.50
Federal Money Market Fund $1,000.00 $1,026.70 $0.55
Treasury Money Market Fund $1,000.00 $1,026.70 $0.45
Based on Hypothetical 5% Yearly Return      
Cash Reserves Federal Money Market Fund $1,000.00 $1,024.37 $0.50
Federal Money Market Fund $1,000.00 $1,024.32 $0.55
Treasury Money Market Fund $1,000.00 $1,024.42 $0.45
The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are 0.10% for the Cash Reserves Federal Money Market Fund, 0.11% for the Federal Money Market Fund, and 0.09% for the Treasury Money Market Fund. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2

 

Cash Reserves Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 29, 2024
1 - 7 Days 57.5%
8 - 30 Days 19.1
31 - 60 Days 10.1
61 - 90 Days 1.1
91 - 180 Days 11.4
Over 180 Days 0.8
3

 

Cash Reserves Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (69.3%)
2 Fannie Mae Discount Notes        5.404%   3/6/24     42,252      42,221
2 Fannie Mae Discount Notes        4.902%   3/8/24     48,570      48,520
3 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        5.350%   3/1/24     52,000      52,000
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        5.350%   3/1/24     45,115      45,118
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.360%   3/1/24     21,571      21,573
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.080%        5.390%   3/1/24      5,768       5,769
3 Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield - 0.040%        5.286%   3/1/24     68,891      68,891
  Federal Farm Credit Discount Notes        5.079%  3/15/24     82,955      82,784
  Federal Home Loan Banks        5.510%   3/8/24    440,037     440,037
  Federal Home Loan Banks Discount Notes 5.346%–5.396%   3/1/24    676,645     676,645
  Federal Home Loan Banks Discount Notes        5.444%   3/5/24    190,714     190,602
  Federal Home Loan Banks Discount Notes 5.404%–5.405%   3/6/24    101,428     101,354
  Federal Home Loan Banks Discount Notes 4.112%–5.401%   3/7/24     83,120      83,046
  Federal Home Loan Banks Discount Notes 5.346%–5.405%   3/8/24    239,399     239,154
  Federal Home Loan Banks Discount Notes 5.405%–5.448%  3/11/24    669,450     668,473
  Federal Home Loan Banks Discount Notes 5.271%–5.395%  3/13/24  1,695,273   1,692,307
  Federal Home Loan Banks Discount Notes 5.283%–5.438%  3/15/24  1,500,834   1,497,764
  Federal Home Loan Banks Discount Notes 5.277%–5.454%  3/18/24  1,098,110   1,095,382
  Federal Home Loan Banks Discount Notes 5.192%–5.412%  3/19/24  1,188,175   1,185,059
  Federal Home Loan Banks Discount Notes 5.395%–5.431%  3/20/24     12,243      12,209
  Federal Home Loan Banks Discount Notes 5.210%–5.427%  3/22/24    581,515     579,731
  Federal Home Loan Banks Discount Notes        5.378%  3/27/24    442,108     440,430
  Federal Home Loan Banks Discount Notes 5.382%–5.413%   4/1/24    746,525     743,140
  Federal Home Loan Banks Discount Notes 5.300%–5.389%   4/3/24    327,758     326,173
  Federal Home Loan Banks Discount Notes 5.391%–5.403%   4/5/24     72,939      72,566
  Federal Home Loan Banks Discount Notes 5.331%–5.395%  4/10/24    588,723     585,296
  Federal Home Loan Banks Discount Notes 5.303%–5.394%  4/12/24    545,942     542,588
  Federal Home Loan Banks Discount Notes 5.303%–5.398%  4/17/24    538,630     534,929
  Federal Home Loan Banks Discount Notes 5.303%–5.398%  4/19/24    513,880     510,187
  Federal Home Loan Banks Discount Notes        5.303%  4/24/24     72,740      72,164
  Federal Home Loan Banks Discount Notes 5.303%–5.401%  4/26/24    240,367     238,393
  Federal Home Loan Banks Discount Notes 5.319%–5.405%   5/3/24    310,857     307,992
  Federal Home Loan Banks Discount Notes        5.334%   5/8/24    136,428     135,075
  Federal Home Loan Banks Discount Notes        5.341%  5/10/24    121,961     120,715
  Federal Home Loan Banks Discount Notes        5.379%  5/17/24    214,762     212,360
  Federal Home Loan Banks Discount Notes 5.346%–5.415%  5/22/24    122,529     121,060
  Federal Home Loan Banks Discount Notes        5.351%  5/24/24    249,546     246,480
  Federal Home Loan Banks Discount Notes 5.351%–5.410%  5/29/24    215,201     212,400
4

 

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

($000)
  Federal Home Loan Banks Discount Notes        5.351%  5/31/24     24,134      23,813
  Federal Home Loan Banks Discount Notes        5.304%   6/5/24     14,352      14,154
  Federal Home Loan Banks Discount Notes        5.406%  6/26/24      4,939       4,855
  Federal Home Loan Banks Discount Notes        5.395%   7/1/24     64,400      63,260
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    575,100     575,100
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    574,200     574,200
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    385,445     385,445
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    360,100     360,100
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    336,985     336,979
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    316,410     316,410
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    287,600     287,600
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    287,400     287,400
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    287,400     287,400
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    287,270     287,270
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    286,700     286,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    286,700     286,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    216,500     216,500
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    216,000     216,000
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    215,500     215,500
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    215,200     215,200
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    189,845     189,845
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    186,400     186,400
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    186,400     186,400
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    143,775     143,775
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    143,775     143,775
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    143,700     143,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    114,900     114,900
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    100,700     100,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24     86,100      86,100
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    574,200     574,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    431,465     431,465
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    431,300     431,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    387,100     387,100
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    287,700     287,700
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    287,600     287,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    286,700     286,700
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    244,300     244,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    243,600     243,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    219,000     219,000
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    215,600     215,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    215,600     215,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    183,300     183,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    143,800     143,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    143,300     143,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    114,800     114,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     85,000      85,000
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     71,800      71,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     71,700      71,700
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     60,900      60,900
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     60,600      60,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24     48,500      48,500
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    503,240     503,240
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    401,500     401,500
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    287,600     287,600
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    287,565     287,565
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    287,000     287,000
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    157,135     157,135
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    143,740     143,740
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     71,850      71,850
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     60,900      60,900
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     48,700      48,700
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     24,300      24,300
5

 

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

($000)
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     21,575      21,575
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    288,100     288,100
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    288,100     288,100
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    287,100     287,100
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    133,990     133,990
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    121,600     121,600
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    116,400     116,400
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24     60,900      60,900
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    243,600     243,600
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    188,800     188,800
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    100,780     100,780
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24     60,900      60,900
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    100,600     100,600
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    100,500     100,500
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24     71,800      71,800
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24     71,800      71,800
3 Federal Home Loan Banks, SOFR + 0.030%        5.340%   3/1/24     71,600      71,600
3 Federal Home Loan Banks, SOFR + 0.035%        5.345%   3/1/24    216,225     216,225
3 Federal Home Loan Banks, SOFR + 0.035%        5.345%   3/1/24     69,225      69,225
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    291,760     291,760
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    291,555     291,555
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    116,830     116,830
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24     87,515      87,515
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24     73,000      73,000
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24     69,225      69,225
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24     50,700      50,700
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    511,015     511,015
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    438,700     438,700
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    365,090     365,090
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    337,800     337,800
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    295,640     295,640
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    187,000     187,000
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    116,825     116,825
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24     58,290      58,290
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  1,094,255   1,094,255
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    652,760     652,762
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    591,680     591,680
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    583,915     583,915
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    438,000     438,000
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    295,195     295,195
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    291,600     291,600
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    291,500     291,500
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    222,000     222,000
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    105,000     105,000
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24     72,900      72,900
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24     43,600      43,600
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    532,000     532,000
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    291,795     291,795
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    291,795     291,795
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    143,600     143,615
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24     72,800      72,800
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24    598,000     598,000
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24    437,445     437,445
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24     52,500      52,500
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    598,300     598,300
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    423,100     423,100
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    291,800     291,800
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    102,100     102,100
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    102,085     102,085
3 Federal Home Loan Banks, SOFR + 0.070%        5.380%   3/1/24    121,385     121,404
3 Federal Home Loan Banks, SOFR + 0.085%        5.395%   3/1/24    157,500     157,500
3 Federal Home Loan Banks, SOFR + 0.120%        5.430%   3/1/24     10,815      10,815
6

 

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

($000)
2 Freddie Mac Discount Notes        5.402%   4/1/24      1,916       1,907
2 Freddie Mac Discount Notes        5.415%  5/20/24        923         912
2 Freddie Mac Discount Notes        5.355%  5/30/24     15,220      15,019
  United States Treasury Bill        4.960%   3/5/24  1,159,000   1,158,319
  United States Treasury Bill 5.142%–5.222%   3/7/24  2,485,247   2,483,072
  United States Treasury Bill 4.951%–5.192%  3/12/24  1,434,874   1,432,557
  United States Treasury Bill 5.142%–5.232%  3/14/24  2,785,412   2,780,119
  United States Treasury Bill 4.951%–5.162%  3/19/24  2,383,662   2,377,398
  United States Treasury Bill        5.232%  3/21/24  1,129,000   1,125,701
  United States Treasury Bill 4.951%–5.175%  3/26/24  2,259,779   2,251,523
  United States Treasury Bill        5.289%  3/28/24    183,546     182,822
  United States Treasury Bill        5.147%   4/2/24  2,243,442   2,232,993
  United States Treasury Bill 5.142%–5.147%   4/9/24  2,259,000   2,246,178
  United States Treasury Bill 5.151%–5.207%  4/11/24  3,885,733   3,862,432
  United States Treasury Bill 5.227%–5.369%  5/30/24  3,136,670   3,095,504
  United States Treasury Bill 5.160%–5.307%   6/4/24  2,586,451   2,551,070
  United States Treasury Bill 5.087%–5.317%  6/11/24  2,531,062   2,493,876
  United States Treasury Bill        5.122%  6/18/24  1,372,763   1,351,088
  United States Treasury Bill        5.122%  6/25/24  2,244,784   2,207,063
  United States Treasury Bill        5.132%   7/2/24  1,806,380   1,775,181
  United States Treasury Bill        5.253%  8/29/24    998,980     973,214
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        5.251%   3/1/24     72,960      72,951
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        5.363%   3/1/24    900,000     900,000
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.125%        5.451%   3/1/24    123,164     123,014
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.169%        5.495%   3/1/24     55,403      55,377
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.170%        5.496%   3/1/24     85,770      85,665
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.200%        5.526%   3/1/24    541,500     542,177
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.245%        5.571%   3/1/24    389,476     389,476
Total U.S. Government and Agency Obligations (Cost $81,448,772) 81,448,772
Repurchase Agreements (32.6%)
  Bank of Montreal
(Dated 2/2/24, Repurchase Value $129,534,000, collateralized by U.S. Treasury Bill 0.000%, 3/19/24–8/8/24, with a value of $131,580,000) 		       5.320%   3/1/24    129,000     129,000
  BNP Paribas Securities Corp.
(Dated 2/29/24, Repurchase Value $861,547,000, collateralized by U.S. Treasury Bill 0.000%, 4/2/24–7/18/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 10/15/25–2/15/52, and U.S. Treasury Note/Bond 0.250%–6.125%, 4/30/24–8/15/53, with a value of $875,160,000) 		       5.315%  3/28/24    858,000     858,000
7

 

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

($000)
  BNP Paribas Securities Corp.
(Dated 2/8/24, Repurchase Value $144,270,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.500%, 7/15/31–2/15/53, and U.S. Treasury Note/Bond 1.875%–2.875%, 7/31/27–2/15/51, with a value of $145,860,000) 		       5.330%   4/8/24    143,000     143,000
  Canadian Imperial Bank of Commerce
(Dated 2/1/24, Repurchase Value $1,034,451,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 10/15/25–2/15/51, and U.S. Treasury Note/Bond 0.375%–4.125%, 7/31/24–8/15/53, with a value of $1,047,540,000) 		       5.330%  3/21/24  1,027,000   1,027,000
  Canadian Imperial Bank of Commerce
(Dated 2/2/24, Repurchase Value $195,376,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.375%, 7/15/26–7/15/27, and U.S. Treasury Note/Bond 0.500%–4.375%, 2/15/26–8/15/53, with a value of $197,880,000) 		       5.320%  3/21/24    194,000     194,000
  Canadian Imperial Bank of Commerce
(Dated 1/18/24, Repurchase Value $144,333,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.375%, 7/15/25–2/15/51, and U.S. Treasury Note/Bond 1.125%–4.125%, 6/15/25–8/15/53, with a value of $145,860,000) 		       5.325%  3/21/24    143,000     143,000
  Canadian Imperial Bank of Commerce
(Dated 1/29/24, Repurchase Value $288,451,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.625%, 4/15/27–2/15/51, and U.S. Treasury Note/Bond 0.875%–4.125%, 7/31/24–5/15/52, with a value of $291,720,000) 		       5.320%  3/27/24    286,000     286,000
  Citigroup Global Markets Inc.
(Dated 2/28/24, Repurchase Value $1,432,480,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.375%, 7/15/25, and U.S. Treasury Note/Bond 0.250%–6.875%, 7/31/25–9/30/25, with a value of $1,459,980,000) 		       5.320%   3/6/24  1,431,000   1,431,000
  Credit Agricole Securities
(Dated 2/29/24, Repurchase Value $328,048,000, collateralized by U.S. Treasury Note/Bond 0.500%–2.750%, 10/31/27–5/15/29, with a value of $334,560,000) 		       5.305%   3/1/24    328,000     328,000
  Federal Reserve Bank of New York
(Dated 2/29/24, Repurchase Value $17,120,520,000, collateralized by U.S. Treasury Note/Bond 0.625%–4.375%, 2/15/29–5/15/41, with a value of $17,120,520,000) 		       5.300%   3/1/24 17,118,000  17,118,000
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $5,152,760,000, collateralized by U.S. Treasury Note/Bond 1.750%–4.000%, 4/30/29–12/31/29, with a value of $5,280,800,000) 		       5.310%   3/1/24  5,152,000   5,152,000
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $4,293,633,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%, 10/15/24–4/15/26, and U.S. Treasury Note/Bond 0.500%–3.500%, 9/15/25–8/15/46, with a value of $4,378,860,000) 		       5.310%   3/1/24  4,293,000   4,293,000
8

 

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

($000)
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $1,431,211,000, collateralized by U.S. Treasury Note/Bond 1.250%–4.375%, 12/15/26–12/31/26, with a value of $1,459,620,000) 		       5.310%   3/1/24  1,431,000   1,431,000
  Goldman Sachs & Co.
(Dated 2/29/24, Repurchase Value $142,021,000, collateralized by U.S. Treasury Note/Bond 4.375%, 11/15/39, with a value of $144,840,000) 		       5.310%   3/1/24    142,000     142,000
  Goldman Sachs & Co.
(Dated 2/26/24, Repurchase Value $142,147,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 3.875%, 4/15/29, with a value of $144,840,000) 		       5.310%   3/4/24    142,000     142,000
  JP Morgan Securities LLC
(Dated 2/29/24, Repurchase Value $428,063,000, collateralized by U.S. Treasury Note/Bond 0.500%, 3/31/25, with a value of $436,560,000) 		       5.310%   3/1/24    428,000     428,000
  Natixis SA
(Dated 2/29/24, Repurchase Value $142,021,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 1/15/28–2/15/54, and U.S. Treasury Note/Bond 0.375%–5.000%, 8/31/24–2/15/49, with a value of $144,840,000) 		       5.310%   3/1/24    142,000     142,000
  Nomura International plc
(Dated 2/29/24, Repurchase Value $142,021,000, collateralized by U.S. Treasury Note/Bond 3.875%–4.250%, 2/28/31–8/15/33, with a value of $144,840,000) 		       5.310%   3/1/24    142,000     142,000
  RBC Capital Markets LLC
(Dated 2/27/24, Repurchase Value $71,073,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–1.750%, 7/15/24–2/15/50, and U.S. Treasury Note/Bond 0.500%–3.875%, 10/15/24–2/15/52, with a value of $72,420,000) 		       5.305%   3/5/24     71,000      71,000
  RBC Capital Markets LLC
(Dated 2/28/24, Repurchase Value $428,442,000, collateralized by U.S. Treasury Bill 0.000%, 4/16/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 7/15/25–2/15/50, and U.S. Treasury Note/Bond 0.500%–5.000%, 12/15/24–5/15/52, with a value of $436,560,000) 		       5.310%   3/6/24    428,000     428,000
  Royal Bank of Canada
(Dated 2/1/24, Repurchase Value $1,591,462,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.625%, 7/15/24–7/15/30, and U.S. Treasury Note/Bond 0.250%–4.625%, 3/15/24–2/15/33, with a value of $1,611,600,000) 		       5.330%  3/21/24  1,580,000   1,580,000
  Royal Bank of Canada
(Dated 1/31/24, Repurchase Value $647,760,000, collateralized by U.S. Treasury Note/Bond 0.875%–4.375%, 4/15/26–5/15/32, with a value of $655,860,000) 		       5.330%  3/21/24    643,000     643,000
9

 

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

($000)
  Standard Chartered Bank
(Dated 2/29/24, Repurchase Value $715,105,000, collateralized by U.S. Treasury Bill 0.000%, 3/5/24–3/14/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.625%, 1/15/28–2/15/52, and U.S. Treasury Note/Bond 0.375%–5.000%, 5/31/24–11/15/53, with a value of $729,408,000) 		       5.310%   3/1/24    715,000     715,000
  Sumitomo Mitsui Banking Corp.
(Dated 2/29/24, Repurchase Value $1,087,160,000, collateralized by U.S. Treasury Note/Bond 0.500%–4.875%, 5/31/24–8/15/49, with a value of $1,110,603,000) 		       5.310%   3/1/24  1,087,000   1,087,000
  TD Securities (USA) LLC
(Dated 2/29/24, Repurchase Value $228,034,000, collateralized by U.S. Treasury Note/Bond 0.375%–2.000%, 2/15/25–8/15/31, with a value of $232,560,000) 		       5.320%   3/1/24    228,000     228,000
Total Repurchase Agreements (Cost $38,281,000) 38,281,000
Total Investments (101.9%) (Cost $119,729,772) 119,729,772
Other Assets and Liabilities—Net (-1.9%) (2,199,356)
Net Assets (100%) 117,530,416
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 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.
3 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
  3M—3-month.
  EFFR—Effective Federal Funds Rate.
  SOFR—Secured Overnight Financing Rate.
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Cash Reserves Federal Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $81,448,772) 81,448,772
Repurchase Agreements (Cost $38,281,000) 38,281,000
Total Investments in Securities 119,729,772
Investment in Vanguard 3,677
Cash 2
Receivables for Accrued Income 212,885
Receivables for Capital Shares Issued 181,401
Total Assets 120,127,737
Liabilities  
Payables for Investment Securities Purchased 2,396,360
Payables for Capital Shares Redeemed 162,771
Payables for Distributions 33,710
Payables to Vanguard 4,480
Total Liabilities 2,597,321
Net Assets 117,530,416
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 117,530,378
Total Distributable Earnings (Loss) 38
Net Assets 117,530,416
 
Net Assets  
Applicable to 117,517,095,490 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		117,530,416
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Cash Reserves Federal Money Market Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest 3,046,807
Total Income 3,046,807
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 327
Management and Administrative 52,231
Marketing and Distribution 3,109
Custodian Fees 195
Shareholders’ Reports 441
Trustees’ Fees and Expenses 41
Other Expenses 7
Total Expenses 56,351
Expenses Paid Indirectly (57)
Net Expenses 56,294
Net Investment Income 2,990,513
Realized Net Gain (Loss) on Investment Securities Sold 77
Net Increase (Decrease) in Net Assets Resulting from Operations 2,990,590
  
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

Cash Reserves Federal Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 2,990,513   4,284,018
Realized Net Gain (Loss) 77   728
Net Increase (Decrease) in Net Assets Resulting from Operations 2,990,590   4,284,746
Distributions      
Total Distributions (2,991,224)   (4,284,220)
Capital Share Transactions (at $1.00 per share)      
Issued 31,117,180   61,590,228
Issued in Lieu of Cash Distributions 2,761,445   3,952,800
Redeemed (25,346,980)   (45,093,879)
Net Increase (Decrease) from Capital Share Transactions 8,531,645   20,449,149
Total Increase (Decrease) 8,531,011   20,449,675
Net Assets      
Beginning of Period 108,999,405   88,549,730
End of Period 117,530,416   108,999,405
  
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

Cash Reserves Federal Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Six Months
Ended
February 29,
2024 		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 $1.00
Investment Operations            
Net Investment Income1 .0264 .0435 .0047 .0002 .012 .024
Net Realized and Unrealized Gain (Loss) on Investments — (.0006) .0002 — — —
Total from Investment Operations .0264 .0429 .0049 .0002 .012 .024
Distributions            
Dividends from Net Investment Income (.0264) (.0429) (.0048) (.0002) (.012) (.024)
Distributions from Realized Capital Gains (.0000)2 (.0000)2 (.0001) — — —
Total Distributions (.0264) (.0429) (.0049) (.0002) (.012) (.024)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return3 2.67% 4.38% 0.49% 0.02% 1.21% 2.42%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $117,530 $108,999 $88,550 $94,883 $25,704 $18,923
Ratio of Total Expenses to Average Net Assets4 0.10%5 0.10%5 0.08% 0.07% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 5.31% 4.35% 0.47% 0.02% 1.20% 2.39%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distribution was less than $0.0001 per share.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.10% for the year ended August 31, 2022 and 0.10% for the year ended August 31, 2021. For the six months ended February 29, 2024, and 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.
14

 

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
15

 

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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $3,677,000, representing less than 0.01% of the fund’s net assets and 1.47% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $57,000 (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.).
16

 

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 February 29, 2024, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E. As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 119,729,772
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
F. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
17

 

Federal Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 29, 2024
1 - 7 Days 60.9%
8 - 30 Days 16.2
31 - 60 Days 9.8
61 - 90 Days 1.1
91 - 180 Days 11.2
Over 180 Days 0.8
18

 

Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (65.0%)
2 Fannie Mae Discount Notes        5.404%   3/6/24    103,644     103,568
2 Fannie Mae Discount Notes        4.902%   3/8/24    120,517     120,393
3 Federal Farm Credit Banks Funding Corp., EFFR + 0.020%        5.350%   3/1/24    123,000     123,000
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.040%        5.350%   3/1/24    111,979     111,986
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.050%        5.360%   3/1/24     53,202      53,208
3 Federal Farm Credit Banks Funding Corp., SOFR + 0.080%        5.390%   3/1/24     14,232      14,235
3 Federal Farm Credit Banks Funding Corp., United States Treasury 3M Bill Money Market Yield - 0.040%        5.286%   3/1/24    165,344     165,343
  Federal Farm Credit Discount Notes        5.394%  3/12/24        772         771
  Federal Farm Credit Discount Notes        5.079%  3/15/24    206,034     205,608
  Federal Home Loan Banks        5.510%   3/8/24  1,026,925   1,026,925
  Federal Home Loan Banks Discount Notes 5.346%–5.398%   3/1/24  1,690,473   1,690,473
  Federal Home Loan Banks Discount Notes 5.404%–5.405%   3/6/24    248,762     248,580
  Federal Home Loan Banks Discount Notes        4.112%   3/7/24    195,994     195,820
  Federal Home Loan Banks Discount Notes 5.346%–5.405%   3/8/24    588,001     587,400
  Federal Home Loan Banks Discount Notes        5.336%  3/13/24     59,665      59,561
  Federal Home Loan Banks Discount Notes 5.433%–5.438%  3/15/24    303,894     303,272
  Federal Home Loan Banks Discount Notes        5.412%  3/19/24  1,412,363   1,408,659
  Federal Home Loan Banks Discount Notes 5.392%–5.431%  3/20/24     19,084      19,031
  Federal Home Loan Banks Discount Notes 5.400%–5.402%  3/21/24      1,531       1,526
  Federal Home Loan Banks Discount Notes 5.210%–5.427%  3/22/24    682,975     680,874
  Federal Home Loan Banks Discount Notes        5.378%  3/27/24  1,078,161   1,074,068
  Federal Home Loan Banks Discount Notes 5.382%–5.413%   4/1/24    262,413     261,224
  Federal Home Loan Banks Discount Notes 5.300%–5.389%   4/3/24    810,393     806,475
  Federal Home Loan Banks Discount Notes 5.391%–5.403%   4/5/24    134,046     133,362
  Federal Home Loan Banks Discount Notes 5.331%–5.395%  4/10/24    391,608     389,325
  Federal Home Loan Banks Discount Notes 5.303%–5.394%  4/12/24  1,351,020   1,342,719
  Federal Home Loan Banks Discount Notes 5.303%–5.398%  4/17/24    838,390     832,611
  Federal Home Loan Banks Discount Notes 5.303%–5.398%  4/19/24  1,277,037   1,267,859
  Federal Home Loan Banks Discount Notes        5.303%  4/24/24    180,601     179,171
  Federal Home Loan Banks Discount Notes 5.303%–5.401%  4/26/24    557,669     553,089
  Federal Home Loan Banks Discount Notes 5.319%–5.405%   5/3/24    768,981     761,893
  Federal Home Loan Banks Discount Notes        5.334%   5/8/24    337,174     333,831
  Federal Home Loan Banks Discount Notes        5.341%  5/10/24    301,779     298,695
  Federal Home Loan Banks Discount Notes        5.379%  5/17/24    531,021     525,081
  Federal Home Loan Banks Discount Notes 5.346%–5.410%  5/22/24    253,128     250,094
  Federal Home Loan Banks Discount Notes        5.351%  5/24/24    620,258     612,638
  Federal Home Loan Banks Discount Notes 5.351%–5.410%  5/29/24    534,315     527,360
  Federal Home Loan Banks Discount Notes        5.351%  5/31/24     60,050      59,251
19

 

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

($000)
  Federal Home Loan Banks Discount Notes        5.304%   6/5/24     35,499      35,008
  Federal Home Loan Banks Discount Notes        5.406%  6/26/24     12,292      12,083
  Federal Home Loan Banks Discount Notes        5.395%   7/1/24    159,900     157,069
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24  1,419,800   1,419,800
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24  1,418,900   1,418,900
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    950,540     950,540
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    886,100     886,100
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    834,570     834,555
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    783,590     783,590
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    710,300     710,300
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    710,300     710,300
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    709,705     709,705
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    709,600     709,600
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    709,600     709,600
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    709,400     709,400
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    532,500     532,500
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    532,200     532,200
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    532,000     532,000
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    531,600     531,600
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    468,175     468,175
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    461,700     461,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    461,700     461,700
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    354,800     354,800
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    354,715     354,715
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    354,715     354,715
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    283,900     283,900
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    248,200     248,200
3 Federal Home Loan Banks, SOFR + 0.000%        5.310%   3/1/24    213,000     213,000
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24  1,419,800   1,419,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24  1,064,200   1,064,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24  1,064,035   1,064,035
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    958,800     958,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    710,300     710,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    709,400     709,400
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    709,300     709,300
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    603,200     603,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    603,200     603,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    542,500     542,500
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    532,200     532,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    532,200     532,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    452,900     452,900
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    355,200     355,200
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    354,800     354,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    284,000     284,000
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    210,800     210,800
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    177,500     177,500
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    177,400     177,400
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    151,000     151,000
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    150,600     150,600
3 Federal Home Loan Banks, SOFR + 0.005%        5.315%   3/1/24    120,200     120,200
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24  1,241,545   1,241,545
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24  1,094,000   1,094,000
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    710,000     710,000
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    709,435     709,435
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    709,400     709,400
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    392,865     392,865
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    354,750     354,750
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    177,395     177,395
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    151,000     151,000
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24    120,800     120,800
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     60,100      60,100
3 Federal Home Loan Banks, SOFR + 0.010%        5.320%   3/1/24     53,200      53,200
20

 

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

($000)
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    709,900     709,900
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    708,900     708,900
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    708,900     708,900
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    332,510     332,510
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    301,900     301,900
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    289,100     289,100
3 Federal Home Loan Banks, SOFR + 0.015%        5.325%   3/1/24    151,000     151,000
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    603,100     603,100
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    467,400     467,400
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    249,220     249,220
3 Federal Home Loan Banks, SOFR + 0.020%        5.330%   3/1/24    151,000     151,000
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    249,500     249,500
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    248,300     248,300
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    177,400     177,400
3 Federal Home Loan Banks, SOFR + 0.025%        5.335%   3/1/24    177,400     177,400
3 Federal Home Loan Banks, SOFR + 0.030%        5.340%   3/1/24    178,400     178,400
3 Federal Home Loan Banks, SOFR + 0.035%        5.345%   3/1/24    531,440     531,440
3 Federal Home Loan Banks, SOFR + 0.035%        5.345%   3/1/24    170,020     170,020
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    705,220     705,220
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    704,995     704,995
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    281,870     281,870
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    211,510     211,510
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    176,200     176,200
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    170,020     170,020
3 Federal Home Loan Banks, SOFR + 0.040%        5.350%   3/1/24    123,700     123,700
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24  1,233,320   1,233,320
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24  1,056,400   1,056,400
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    880,845     880,845
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    812,200     812,200
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    704,360     704,360
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    373,000     373,000
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    281,875     281,875
3 Federal Home Loan Banks, SOFR + 0.045%        5.355%   3/1/24    141,070     141,070
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  2,643,585   2,643,585
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  1,579,035   1,579,041
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  1,409,630   1,409,630
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  1,408,320   1,408,320
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24  1,057,200   1,057,200
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    705,300     705,300
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    705,200     705,200
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    704,805     704,805
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    528,000     528,000
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    245,000     245,000
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    176,300     176,300
3 Federal Home Loan Banks, SOFR + 0.050%        5.360%   3/1/24    105,900     105,900
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    994,000     994,000
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    704,950     704,950
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    704,950     704,950
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    354,900     354,936
3 Federal Home Loan Banks, SOFR + 0.055%        5.365%   3/1/24    176,400     176,400
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24  1,395,000   1,395,000
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24  1,057,700   1,057,700
3 Federal Home Loan Banks, SOFR + 0.060%        5.370%   3/1/24    126,915     126,915
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24  1,394,400   1,394,400
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24  1,022,200   1,022,200
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    705,000     705,000
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    246,800     246,800
3 Federal Home Loan Banks, SOFR + 0.065%        5.375%   3/1/24    246,780     246,780
3 Federal Home Loan Banks, SOFR + 0.070%        5.380%   3/1/24    300,520     300,567
3 Federal Home Loan Banks, SOFR + 0.085%        5.395%   3/1/24    380,800     380,800
3 Federal Home Loan Banks, SOFR + 0.120%        5.430%   3/1/24     25,285      25,285
2 Freddie Mac Discount Notes        5.355%  5/30/24     37,874      37,375
21

 

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

($000)
  United States Treasury Bill        4.960%   3/5/24  2,870,000   2,868,315
  United States Treasury Bill 5.142%–5.222%   3/7/24  6,095,090   6,089,757
  United States Treasury Bill 4.951%–5.406%  3/12/24  6,316,256   6,306,062
  United States Treasury Bill 5.142%–5.338%  3/14/24  7,650,347   7,635,811
  United States Treasury Bill 4.951%–5.417%  3/19/24  6,997,918   6,979,531
  United States Treasury Bill        5.232%  3/21/24  3,734,000   3,723,088
  United States Treasury Bill 4.951%–5.175%  3/26/24  5,498,256   5,478,169
  United States Treasury Bill        5.289%  3/28/24    455,868     454,070
  United States Treasury Bill        5.147%   4/2/24  5,471,130   5,445,647
  United States Treasury Bill 5.142%–5.232%   4/9/24  7,048,000   7,007,993
  United States Treasury Bill 5.151%–5.207%  4/11/24  9,620,271   9,562,580
  United States Treasury Bill        5.157%  4/16/24  1,000,000     993,292
  United States Treasury Bill 5.227%–5.369%  5/30/24  7,738,142   7,636,585
  United States Treasury Bill 5.160%–5.307%   6/4/24  6,395,561   6,308,076
  United States Treasury Bill 5.087%–5.317%  6/11/24  6,254,122   6,162,237
  United States Treasury Bill        5.122%  6/18/24  3,397,325   3,343,682
  United States Treasury Bill        5.122%  6/25/24  5,563,439   5,469,951
  United States Treasury Bill        5.132%   7/2/24  4,485,836   4,408,359
  United States Treasury Bill        5.253%  8/29/24  2,479,962   2,415,997
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield - 0.075%        5.251%   3/1/24    171,553     171,532
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.037%        5.363%   3/1/24  2,200,000   2,200,000
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.125%        5.451%   3/1/24    304,950     304,580
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.169%        5.495%   3/1/24    137,278     137,212
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.170%        5.496%   3/1/24    212,304     212,044
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.200%        5.526%   3/1/24  1,302,500   1,304,128
3 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.245%        5.571%   3/1/24    962,786     962,785
Total U.S. Government and Agency Obligations (Cost $190,058,556) 190,058,556
Repurchase Agreements (36.8%)
  Bank of Montreal
(Dated 2/2/24, Repurchase Value $370,527,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 7/15/24–1/15/33, and U.S. Treasury Note/Bond 0.250%–5.000%, 3/31/24–8/15/33, with a value of $376,380,000) 		       5.320%   3/1/24    369,000     369,000
  BNP Paribas Securities Corp.
(Dated 2/29/24, Repurchase Value $2,141,818,000, collateralized by U.S. Treasury Bill 0.000%, 3/26/24–1/23/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.375%, 4/15/28–2/15/54, and U.S. Treasury Note/Bond 0.250%–7.625%, 3/15/24–11/15/52, with a value of $2,175,660,000) 		       5.315%  3/28/24  2,133,000   2,133,000
22

 

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

($000)
  BNP Paribas Securities Corp.
(Dated 2/8/24, Repurchase Value $358,154,000, collateralized by U.S. Treasury Bill 0.000%, 5/23/24–2/20/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/24–2/15/40, and U.S. Treasury Note/Bond 0.250%–6.750%, 3/15/24–2/15/51, with a value of $362,100,000) 		       5.330%   4/8/24    355,000     355,000
  Canadian Imperial Bank of Commerce
(Dated 2/1/24, Repurchase Value $2,555,405,000, collateralized by U.S. Treasury Bill 0.000%, 2/20/25, U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 10/15/24–2/15/53, and U.S. Treasury Note/Bond 0.375%–5.000%, 7/31/24–8/15/53, with a value of $2,587,740,000) 		       5.330%  3/21/24  2,537,000   2,537,000
  Canadian Imperial Bank of Commerce
(Dated 2/2/24, Repurchase Value $556,923,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.500%, 4/15/26–2/15/52, and U.S. Treasury Note/Bond 0.375%–4.375%, 7/31/24–8/15/53, with a value of $564,060,000) 		       5.320%  3/21/24    553,000     553,000
  Canadian Imperial Bank of Commerce
(Dated 1/18/24, Repurchase Value $358,308,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 1/15/27–2/15/51, and U.S. Treasury Note/Bond 0.375%–5.000%, 7/31/24–11/15/52, with a value of $362,100,000) 		       5.325%  3/21/24    355,000     355,000
  Canadian Imperial Bank of Commerce
(Dated 1/29/24, Repurchase Value $717,094,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.625%, 10/15/24–7/15/29, and U.S. Treasury Note/Bond 0.375%–4.375%, 7/31/24–2/15/51, with a value of $725,220,000) 		       5.320%  3/27/24    711,000     711,000
  Citigroup Global Markets Inc.
(Dated 2/28/24, Repurchase Value $3,557,676,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.375%, 4/15/25–7/15/25, and U.S. Treasury Note/Bond 0.250%–7.625%, 2/15/25–7/31/25, with a value of $3,625,080,000) 		       5.320%   3/6/24  3,554,000   3,554,000
  Credit Agricole Securities
(Dated 2/29/24, Repurchase Value $818,121,000, collateralized by U.S. Treasury Note/Bond 0.500%–4.625%, 2/28/25–5/15/32, with a value of $834,360,000) 		       5.305%   3/1/24    818,000     818,000
  Federal Reserve Bank of New York
(Dated 2/29/24, Repurchase Value $54,858,075,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 3.875%, 4/15/29, and U.S. Treasury Note/Bond 0.625%–4.750%, 8/15/27–11/15/46, with a value of $54,858,075,000) 		       5.300%   3/1/24 54,850,000  54,850,000
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $12,795,887,000, collateralized by U.S. Treasury Note/Bond 0.625%–4.625%, 12/31/29–11/15/32, with a value of $13,113,850,000) 		       5.310%   3/1/24 12,794,000  12,794,000
23

 

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

($000)
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $10,663,573,000, collateralized by U.S. Treasury Bill 0.000%, 6/18/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%, 4/15/25, and U.S. Treasury Note/Bond 0.250%–6.125%, 9/30/24–11/15/51, with a value of $10,875,240,000) 		       5.310%   3/1/24 10,662,000  10,662,000
  Fixed Income Clearing Corp.
(Dated 2/29/24, Repurchase Value $3,554,524,000, collateralized by U.S. Treasury Note/Bond 0.625%–4.625%, 7/15/26–12/15/26, with a value of $3,625,080,000) 		       5.310%   3/1/24  3,554,000   3,554,000
  Goldman Sachs & Co.
(Dated 2/29/24, Repurchase Value $356,053,000, collateralized by U.S. Treasury Bill 0.000%, 4/9/24–7/25/24, U.S. Treasury Inflation Indexed Note/Bond 0.375%, 1/15/27, and U.S. Treasury Note/Bond 0.375%–4.625%, 5/15/24–11/15/48, with a value of $363,120,000) 		       5.310%   3/1/24    356,000     356,000
  Goldman Sachs & Co.
(Dated 2/26/24, Repurchase Value $356,368,000, collateralized by U.S. Treasury Bill 0.000%, 4/30/24, and U.S. Treasury Note/Bond 1.750%–2.625%, 12/31/26–2/15/50, with a value of $363,120,000) 		       5.310%   3/4/24    356,000     356,000
  JP Morgan Securities LLC
(Dated 2/29/24, Repurchase Value $1,067,157,000, collateralized by U.S. Treasury Note/Bond 0.500%–3.750%, 4/15/26–10/31/27, with a value of $1,088,340,000) 		       5.310%   3/1/24  1,067,000   1,067,000
  Natixis SA
(Dated 2/29/24, Repurchase Value $356,053,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.625%–2.125%, 7/15/32–2/15/54, and U.S. Treasury Note/Bond 0.250%–6.125%, 3/15/24–11/15/52, with a value of $363,120,000) 		       5.310%   3/1/24    356,000     356,000
  Nomura International plc
(Dated 2/29/24, Repurchase Value $356,053,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.000%, 10/15/24–1/15/29, and U.S. Treasury Note/Bond 1.250%–4.875%, 12/31/26–11/15/43, with a value of $363,120,000) 		       5.310%   3/1/24    356,000     356,000
  RBC Capital Markets LLC
(Dated 2/27/24, Repurchase Value $178,184,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–3.875%, 7/15/25–2/15/52, and U.S. Treasury Note/Bond 1.375%–4.375%, 12/31/28–5/15/52, with a value of $181,560,000) 		       5.305%   3/5/24    178,000     178,000
  RBC Capital Markets LLC
(Dated 2/28/24, Repurchase Value $1,068,102,000, collateralized by U.S. Treasury Bill 0.000%, 4/16/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.125%, 4/15/25–2/15/49, and U.S. Treasury Note/Bond 0.625%–5.000%, 6/30/24–8/15/52, with a value of $1,088,340,000) 		       5.310%   3/6/24  1,067,000   1,067,000
24

 

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

($000)
  Royal Bank of Canada
(Dated 2/1/24, Repurchase Value $3,931,315,000, collateralized by U.S. Treasury Bill 0.000%, 3/28/24–5/28/24, U.S. Treasury Inflation Indexed Note/Bond 0.125%–0.375%, 4/15/25–1/15/27, and U.S. Treasury Note/Bond 0.250%–4.875%, 3/15/24–2/15/54, with a value of $3,981,060,000) 		       5.330%  3/21/24  3,903,000   3,903,000
  Royal Bank of Canada
(Dated 1/31/24, Repurchase Value $1,861,680,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.125%–2.375%, 4/15/24–2/15/52, and U.S. Treasury Note/Bond 0.250%–7.500%, 3/31/24–11/15/53, with a value of $1,884,960,000) 		       5.330%  3/21/24  1,848,000   1,848,000
  Standard Chartered Bank
(Dated 2/29/24, Repurchase Value $1,777,262,000, collateralized by U.S. Treasury Note/Bond 0.250%–5.000%, 3/15/24–8/15/53, with a value of $1,812,807,000) 		       5.310%   3/1/24  1,777,000   1,777,000
  Sumitomo Mitsui Banking Corp.
(Dated 2/29/24, Repurchase Value $2,701,398,000, collateralized by U.S. Treasury Note/Bond 0.250%–4.875%, 5/31/24–2/15/51, with a value of $2,766,642,000) 		       5.310%   3/1/24  2,701,000   2,701,000
  TD Securities (USA) LLC
(Dated 2/29/24, Repurchase Value $569,084,000, collateralized by U.S. Treasury Note/Bond 2.250%–4.750%, 11/15/24–2/15/52, with a value of $580,380,000) 		       5.320%   3/1/24    569,000     569,000
Total Repurchase Agreements (Cost $107,779,000) 107,779,000
Total Investments (101.8%) (Cost $297,837,556) 297,837,556
Other Assets and Liabilities—Net (-1.8%) (5,403,770)
Net Assets (100%) 292,433,786
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 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.
3 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
  3M—3-month.
  EFFR—Effective Federal Funds Rate.
  SOFR—Secured Overnight Financing Rate.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Federal Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $190,058,556) 190,058,556
Repurchase Agreements (Cost $107,779,000) 107,779,000
Total Investments in Securities 297,837,556
Investment in Vanguard 9,080
Cash 3
Receivables for Accrued Income 518,462
Receivables for Capital Shares Issued 314,081
Other Assets 10,500
Total Assets 298,689,682
Liabilities  
Payables for Investment Securities Purchased 5,951,915
Payables for Capital Shares Redeemed 240,397
Payables for Distributions 51,361
Payables to Vanguard 12,223
Total Liabilities 6,255,896
Net Assets 292,433,786
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 292,434,156
Total Distributable Earnings (Loss) (370)
Net Assets 292,433,786
 
Net Assets  
Applicable to 292,433,646,040 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		292,433,786
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Federal Money Market Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest 7,439,216
Total Income 7,439,216
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 801
Management and Administrative 134,938
Marketing and Distribution 11,343
Custodian Fees 475
Shareholders’ Reports 3,682
Trustees’ Fees and Expenses 105
Other Expenses 7
Total Expenses 151,351
Expenses Paid Indirectly (116)
Net Expenses 151,235
Net Investment Income 7,287,981
Realized Net Gain (Loss) on Investment Securities Sold 99
Net Increase (Decrease) in Net Assets Resulting from Operations 7,288,080
  
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

Federal Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 7,287,981   10,078,797
Realized Net Gain (Loss) 99   860
Net Increase (Decrease) in Net Assets Resulting from Operations 7,288,080   10,079,657
Distributions      
Total Distributions (7,287,983)   (10,078,914)
Capital Share Transactions (at $1.00 per share)      
Issued 78,080,155   127,209,761
Issued in Lieu of Cash Distributions 6,949,508   9,550,042
Redeemed (52,584,629)   (93,313,186)
Net Increase (Decrease) from Capital Share Transactions 32,445,034   43,446,617
Total Increase (Decrease) 32,445,131   43,447,360
Net Assets      
Beginning of Period 259,988,655   216,541,295
End of Period 292,433,786   259,988,655
  
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

Federal Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Six Months
Ended
February 29,
2024 		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 $1.00
Investment Operations            
Net Investment Income1 .0264 .0432 .0050 .0002 .010 .022
Net Realized and Unrealized Gain (Loss) on Investments — (.0005) (.0002) — — —
Total from Investment Operations .0264 .0427 .0048 .0002 .010 .022
Distributions            
Dividends from Net Investment Income (.0264) (.0427) (.0048) (.0002) (.010) (.022)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.0264) (.0427) (.0048) (.0002) (.010) (.022)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 2.67% 4.36% 0.48% 0.02% 1.03% 2.26%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $292,434 $259,989 $216,541 $194,385 $197,525 $132,966
Ratio of Total Expenses to Average Net Assets3 0.11%4 0.11%4 0.09% 0.09% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets 5.30% 4.32% 0.50% 0.02% 0.93% 2.24%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for the year ended August 31, 2022 and 0.11% for the year ended August 31, 2021. For the six months ended February 29, 2024, and 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.
29

 

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
30

 

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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $9,080,000, representing less than 0.01% of the fund’s net assets and 3.63% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $116,000 (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.).
31

 

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 February 29, 2024, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E. As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 297,837,556
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $467,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
32

 

Treasury Money Market Fund
Distribution by Effective Maturity (% of investments)
As of February 29, 2024
1 - 7 Days 14.9%
8 - 30 Days 35.7
31 - 60 Days 25.9
61 - 90 Days 3.5
91 - 180 Days 18.6
Over 180 Days 1.4
33

 

Treasury Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (106.1%)
  United States Treasury Bill 4.561%–5.387%   3/5/24 6,795,112  6,791,124
  United States Treasury Bill 5.142%–5.378%   3/7/24 3,256,283  3,253,425
  United States Treasury Bill 4.561%–5.393%  3/12/24 5,531,422  5,522,505
  United States Treasury Bill 5.142%–5.232%  3/14/24 4,666,562  4,657,679
  United States Treasury Bill 3.953%–5.373%  3/19/24 5,016,726  5,004,016
  United States Treasury Bill        5.142%  3/21/24 2,955,000  2,946,332
  United States Treasury Bill 4.951%–5.175%  3/26/24 6,862,000  6,836,892
  United States Treasury Bill        5.289%  3/28/24 1,500,000  1,494,083
  United States Treasury Bill 4.941%–5.385%   4/2/24 5,707,899  5,683,221
  United States Treasury Bill 5.142%–5.391%   4/4/24 4,852,961  4,828,760
  United States Treasury Bill 4.946%–5.147%   4/9/24 2,941,000  2,924,251
  United States Treasury Bill        4.946%  4/16/24   632,890    628,628
  United States Treasury Bill 4.951%–5.406%  4/23/24 5,177,672  5,137,417
  United States Treasury Bill        5.202%  5/16/24 2,600,000  2,571,293
  United States Treasury Bill 5.227%–5.369%  5/30/24 2,312,000  2,281,638
  United States Treasury Bill 5.160%–5.307%   6/4/24 1,491,141  1,470,744
  United States Treasury Bill 5.087%–5.317%  6/11/24 4,451,163  4,385,813
  United States Treasury Bill        5.122%  6/18/24 3,500,000  3,444,735
  United States Treasury Bill        5.122%  6/25/24 2,300,062  2,261,412
  United States Treasury Bill        5.253%  8/29/24 1,037,000  1,010,253
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.125%        5.451%   3/1/24    70,593     70,507
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.140%        5.466%   3/1/24   200,000    200,144
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.169%        5.495%   3/1/24   281,739    281,908
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.170%        5.496%   3/1/24    49,022     48,962
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.200%        5.526%   3/1/24   214,000    214,268
34

 

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

($000)
2 United States Treasury Floating Rate Note, United States Treasury 3M Bill Money Market Yield + 0.245%        5.571%   3/1/24   224,091    224,091
Total U.S. Government and Agency Obligations (Cost $74,174,101) 74,174,101
Total Investments (106.1%) (Cost $74,174,101) 74,174,101
Other Assets and Liabilities—Net (-6.1%) (4,266,552)
Net Assets (100%) 69,907,549
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.
35

 

Treasury Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Unaffiliated Issuers (Cost $74,174,101) 74,174,101
Investment in Vanguard 2,117
Cash 1
Receivables for Accrued Income 4,750
Receivables for Capital Shares Issued 292,453
Other Assets 3,298
Total Assets 74,476,720
Liabilities  
Payables for Investment Securities Purchased 4,391,691
Payables for Capital Shares Redeemed 146,511
Payables for Distributions 28,597
Payables to Vanguard 2,372
Total Liabilities 4,569,171
Net Assets 69,907,549
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 69,907,846
Total Distributable Earnings (Loss) (297)
Net Assets 69,907,549
 
Net Assets  
Applicable to 69,904,806,241 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		69,907,549
Net Asset Value Per Share $1.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Treasury Money Market Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest 1,687,973
Total Income 1,687,973
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 184
Management and Administrative 25,098
Marketing and Distribution 2,601
Custodian Fees 135
Shareholders’ Reports 134
Trustees’ Fees and Expenses 24
Other Expenses 7
Total Expenses 28,183
Expenses Paid Indirectly (7)
Net Expenses 28,176
Net Investment Income 1,659,797
Realized Net Gain (Loss) on Investment Securities Sold 158
Net Increase (Decrease) in Net Assets Resulting from Operations 1,659,955
  
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

Treasury Money Market Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 1,659,797   1,952,733
Realized Net Gain (Loss) 158   321
Net Increase (Decrease) in Net Assets Resulting from Operations 1,659,955   1,953,054
Distributions      
Total Distributions (1,659,798)   (1,952,743)
Capital Share Transactions (at $1.00 per share)      
Issued 35,400,700   63,059,684
Issued in Lieu of Cash Distributions 1,480,713   1,755,170
Redeemed (25,311,713)   (40,832,284)
Net Increase (Decrease) from Capital Share Transactions 11,569,700   23,982,570
Total Increase (Decrease) 11,569,857   23,982,881
Net Assets      
Beginning of Period 58,337,692   34,354,811
End of Period 69,907,549   58,337,692
  
See accompanying Notes, which are an integral part of the Financial Statements.
38

 

Treasury Money Market Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period   		Six Months
Ended
February 29,
2024 		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 $1.00
Investment Operations            
Net Investment Income1 .0264 .0437 .0045 .0003 .010 .022
Net Realized and Unrealized Gain (Loss) on Investments — (.0015) — — — —
Total from Investment Operations .0264 .0422 .0045 .0003 .010 .022
Distributions            
Dividends from Net Investment Income (.0264) (.0422) (.0045) (.0003) (.010) (.022)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.0264) (.0422) (.0045) (.0003) (.010) (.022)
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Total Return2 2.67% 4.31% 0.45% 0.03% 1.05% 2.25%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $69,908 $58,338 $34,355 $35,744 $38,547 $28,428
Ratio of Total Expenses to Average Net Assets3 0.09%4 0.09%4 0.08% 0.08% 0.09% 0.09%
Ratio of Net Investment Income to Average Net Assets 5.30% 4.37% 0.45% 0.03% 0.95% 2.23%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for the year ended August 31, 2022 and 0.09% for the year ended August 31, 2021. For the six months ended February 29, 2024, and 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.
39

 

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
40

 

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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $2,117,000, representing less than 0.01% of the fund’s net assets and 0.85% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $7,000 (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.).
41

 

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 February 29, 2024, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
E. As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 74,174,101
Gross Unrealized Appreciation —
Gross Unrealized Depreciation —
Net Unrealized Appreciation (Depreciation) —
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $454,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
42

 

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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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q302 042024
Semiannual Report  |  February 29, 2024
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.

 

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

 

Six Months Ended February 29, 2024      
  Beginning
Account Value
8/31/2023 		Ending
Account Value
2/29/2024 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,101.20 $0.52
Institutional Shares 1,000.00 1,101.30 0.42
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,057.50 $0.77
Institutional Shares 1,000.00 1,057.60 0.41
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,143.50 $0.80
Institutional Shares 1,000.00 1,143.70 0.43
Based on Hypothetical 5% Yearly Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 0.40
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
Institutional Shares 1,000.00 1,024.47 0.40
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
Institutional Shares 1,000.00 1,024.47 0.40
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2

 

S&P Mid-Cap 400 Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 1.5%
Consumer Discretionary 15.9
Consumer Staples 4.8
Energy 5.0
Financials 15.7
Health Care 7.6
Industrials 21.4
Information Technology 10.8
Materials 6.9
Real Estate 7.3
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.
3

 

S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (1.5%)
   New York Times Co. Class A   204,166     9,040
   Nexstar Media Group Inc. Class A    40,221     6,684
 * Frontier Communications Parent Inc.   275,983     6,535
   TKO Group Holdings Inc. Class A    74,867     6,269
 * ZoomInfo Technologies Inc. Class A   369,631     6,195
   Iridium Communications Inc.   154,537     4,474
 * Ziff Davis Inc.    57,378     3,945
   TEGNA Inc.   245,768     3,443
   Cable One Inc.     5,676     2,588
                        49,173
Consumer Discretionary (15.8%)
 * Deckers Outdoor Corp.    32,106    28,754
   Williams-Sonoma Inc.    80,039    18,852
 * Burlington Stores Inc.    80,959    16,605
 * Floor & Decor Holdings Inc. Class A   132,974    16,106
 * TopBuild Corp.    39,648    15,954
   Toll Brothers Inc.   134,109    15,374
 * Five Below Inc.    69,482    13,944
   Dick's Sporting Goods Inc.    76,680    13,641
   Service Corp. International   184,352    13,493
   Wingstop Inc.    36,704    12,885
   Texas Roadhouse Inc. Class A    83,331    12,447
   Tempur Sealy International Inc.   214,958    11,709
 * Light & Wonder Inc.   112,358    11,293
   Vail Resorts Inc.    47,526    10,946
   Autoliv Inc.    93,449    10,843
   Gentex Corp.   291,044    10,632
   Churchill Downs Inc.    84,698    10,322
   PVH Corp.    75,397    10,304
 * Skechers USA Inc. Class A   166,696    10,303
   Lithia Motors Inc. Class A    34,337    10,269
          Shares Market
Value•

($000)
   Murphy USA Inc.    24,158    10,074
   Lear Corp.    72,694     9,984
   Aramark   325,730     9,879
 * Crocs Inc.    75,573     9,239
   H&R Block Inc.   179,592     8,791
 * Mattel Inc.   440,750     8,683
   Thor Industries Inc.    66,480     8,521
   Hyatt Hotels Corp. Class A    55,178     8,475
   Wyndham Hotels & Resorts Inc.   103,519     7,924
 * Taylor Morrison Home Corp. Class A   134,072     7,590
   Brunswick Corp.    85,862     7,504
 * Valvoline Inc.   173,019     7,378
 * Capri Holdings Ltd.   145,015     6,690
 * Planet Fitness Inc. Class A   106,606     6,615
   KB Home    95,531     6,346
 * Ollie's Bargain Outlet Holdings Inc.    76,993     6,172
   Polaris Inc.    66,235     6,141
   Macy's Inc.   341,430     5,955
   Harley-Davidson Inc.   158,136     5,736
   Boyd Gaming Corp.    86,699     5,733
 * RH    19,284     5,291
   Gap Inc.   267,683     5,070
 * Grand Canyon Education Inc.    36,880     4,971
 * AutoNation Inc.    32,362     4,848
*,1 GameStop Corp. Class A   335,164     4,783
 * YETI Holdings Inc.   108,371     4,448
 * Goodyear Tire & Rubber Co.   353,803     4,203
   Travel + Leisure Co.    90,364     4,038
 * Hilton Grand Vacations Inc.    88,928     3,991
 * Adient plc   116,864     3,966
 * Visteon Corp.    34,703     3,926
   Marriott Vacations Worldwide Corp.    41,217     3,841
   Wendy's Co.   208,463     3,775
   Penske Automotive Group Inc.    24,320     3,733
   Carter's Inc.    45,948     3,719
4

 

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

($000)
 * Helen of Troy Ltd.    29,627     3,703
   Columbia Sportswear Co.    43,036     3,559
   Choice Hotels International Inc.    31,067     3,478
 * Penn Entertainment Inc.   189,361     3,465
   Leggett & Platt Inc.   166,351     3,397
   Graham Holdings Co. Class B     4,468     3,138
 * Fox Factory Holding Corp.    52,880     2,675
   Nordstrom Inc.   121,041     2,538
 * Under Armour Inc. Class A   235,558     2,111
 * Under Armour Inc. Class C   241,353     2,061
                       522,834
Consumer Staples (4.8%)
 * Celsius Holdings Inc.   185,008    15,100
 * Performance Food Group Co.   194,155    14,905
 * elf Beauty Inc.    68,875    14,363
 * US Foods Holding Corp.   282,224    14,334
   Casey's General Stores Inc.    46,502    14,159
 * BJ's Wholesale Club Holdings Inc.   166,865    12,188
   Ingredion Inc.    81,343     9,568
 * BellRing Brands Inc.   164,015     9,341
 * Darling Ingredients Inc.   199,058     8,422
 * Sprouts Farmers Market Inc.   126,723     7,913
 * Post Holdings Inc.    63,402     6,604
 * Coty Inc. Class A   467,290     5,869
   Flowers Foods Inc.   239,721     5,375
   Lancaster Colony Corp.    25,407     5,257
   Coca-Cola Consolidated Inc.     5,846     4,915
 * Boston Beer Co. Inc. Class A    11,743     3,619
 * Grocery Outlet Holding Corp.   123,865     3,195
 * Pilgrim's Pride Corp.    50,228     1,599
                       156,726
Energy (5.0%)
   Ovintiv Inc.   316,680    15,647
   Chesapeake Energy Corp.   139,016    11,508
   HF Sinclair Corp.   195,342    10,841
 * Southwestern Energy Co. 1,374,367     9,579
   Range Resources Corp.   301,091     9,521
 * Weatherford International plc    89,989     9,234
 * Antero Resources Corp.   352,509     9,059
   Matador Resources Co.   138,246     8,730
   Chord Energy Corp.    51,507     8,367
   NOV Inc.   491,530     8,307
   Permian Resources Corp. Class A   518,677     8,071
   ChampionX Corp.   243,066     7,550
   Civitas Resources Inc.   106,476     7,313
          Shares Market
Value•

($000)
   Murphy Oil Corp.   183,109     7,264
   DT Midstream Inc.   120,911     6,968
   PBF Energy Inc. Class A   135,706     6,337
   Equitrans Midstream Corp.   540,609     5,779
   Antero Midstream Corp.   424,984     5,695
 * Valaris Ltd.    78,224     4,932
 * CNX Resources Corp.   198,211     4,153
                       164,855
Financials (15.7%)
   Fidelity National Financial Inc.   322,610    16,318
   RenaissanceRe Holdings Ltd.    65,501    14,726
   Reinsurance Group of America Inc.    82,235    14,543
   Interactive Brokers Group Inc. Class A   133,532    14,518
   Kinsale Capital Group Inc.    27,467    14,178
   Equitable Holdings Inc.   397,010    13,594
   East West Bancorp Inc.   175,849    12,812
   Erie Indemnity Co. Class A    31,124    12,664
   Ally Financial Inc.   338,729    12,530
   Carlyle Group Inc.   270,114    12,385
   Annaly Capital Management Inc.   623,993    11,912
 * WEX Inc.    53,327    11,717
   Unum Group   228,769    11,313
   Primerica Inc.    43,714    10,721
   American Financial Group Inc.    81,539    10,410
   Webster Financial Corp.   214,660    10,226
   First Horizon Corp.   697,214     9,831
   Morningstar Inc.    32,499     9,704
   Stifel Financial Corp.   127,268     9,655
   Old Republic International Corp.   325,358     9,422
   Voya Financial Inc.   130,353     8,911
   Jefferies Financial Group Inc.   210,052     8,784
   Cullen/Frost Bankers Inc.    79,917     8,672
   SEI Investments Co.   124,784     8,392
   Houlihan Lokey Inc. Class A    64,401     8,286
   Evercore Inc. Class A    43,248     8,091
   SouthState Corp.    94,910     7,976
   Pinnacle Financial Partners Inc.    95,796     7,924
   Selective Insurance Group Inc.    75,600     7,899
   Commerce Bancshares Inc.   148,185     7,711
   Starwood Property Trust Inc.   371,291     7,571
   First American Financial Corp.   128,747     7,520
   Wintrust Financial Corp.    76,406     7,362
   RLI Corp.    50,100     7,337
 
5

 

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

($000)
   Prosperity Bancshares Inc.   116,936     7,298
   Essent Group Ltd.   133,210     7,136
   Synovus Financial Corp.   182,477     6,923
   MGIC Investment Corp.   346,019     6,882
   Affiliated Managers Group Inc.    42,185     6,594
   Cadence Bank   227,924     6,309
   Western Union Co.   454,636     6,097
   Old National Bancorp   365,122     5,999
 * Euronet Worldwide Inc.    54,673     5,983
   FNB Corp.   447,733     5,973
   SLM Corp.   282,333     5,881
   Hanover Insurance Group Inc.    44,624     5,867
   United Bankshares Inc.   168,364     5,840
   Bank OZK   131,285     5,750
   Home BancShares Inc.   234,138     5,493
   FirstCash Holdings Inc.    46,151     5,284
   Glacier Bancorp Inc.   138,350     5,177
   Janus Henderson Group plc   165,360     5,153
   First Financial Bankshares Inc.   160,259     4,958
   Columbia Banking System Inc.   260,254     4,711
   Hancock Whitney Corp.   107,496     4,687
   UMB Financial Corp.    54,498     4,448
   Valley National Bancorp   532,116     4,358
   New York Community Bancorp Inc.   901,494     4,318
   Kemper Corp.    75,169     4,309
   Associated Banc-Corp   185,433     3,864
   Federated Hermes Inc. Class B   107,614     3,791
   CNO Financial Group Inc.   139,962     3,736
 * Brighthouse Financial Inc.    80,114     3,729
 * Texas Capital Bancshares Inc.    59,919     3,514
   International Bancshares Corp.    66,594     3,456
                       519,133
Health Care (7.6%)
 * Neurocrine Biosciences Inc.   122,596    15,987
 * United Therapeutics Corp.    58,562    13,214
 * Repligen Corp.    64,790    12,569
 * Shockwave Medical Inc.    46,037    12,010
 * Tenet Healthcare Corp.   126,711    11,784
   Chemed Corp.    18,793    11,767
 * Medpace Holdings Inc.    29,095    11,566
 * Penumbra Inc.    48,160    11,314
   Bruker Corp.   115,712    10,014
 * Acadia Healthcare Co. Inc.   115,062     9,602
 * Jazz Pharmaceuticals plc    78,557     9,340
   Encompass Health Corp.   125,063     9,305
 * HealthEquity Inc.   106,845     8,826
          Shares Market
Value•

($000)
 * Exelixis Inc.   388,023     8,498
 * Globus Medical Inc. Class A   143,947     7,772
 * Option Care Health Inc.   221,020     7,132
 * Masimo Corp.    55,384     7,119
 * Halozyme Therapeutics Inc.   164,827     6,562
 * Lantheus Holdings Inc.    85,459     5,587
 * Arrowhead Pharmaceuticals Inc.   153,453     4,926
 * Azenta Inc.    75,059     4,890
 * Haemonetics Corp.    63,315     4,621
   Perrigo Co. plc   169,081     4,440
 * Envista Holdings Corp.   213,868     4,416
 * Neogen Corp.   245,613     4,222
 * Doximity Inc. Class A   147,437     4,162
 * Progyny Inc.   104,036     3,799
 * Amedisys Inc.    40,717     3,787
 * Enovis Corp.    61,990     3,708
 * LivaNova plc    67,233     3,685
 * R1 RCM Inc.   245,697     3,452
 * Integra LifeSciences Holdings Corp.    84,866     3,132
 * Inari Medical Inc.    63,861     2,945
 * QuidelOrtho Corp.    61,698     2,813
 * Sotera Health Co.   123,421     1,853
                       250,819
Industrials (21.3%)
   Carlisle Cos. Inc.    60,744    21,260
   Graco Inc.   210,606    19,220
 * Saia Inc.    33,127    19,061
   Lennox International Inc.    39,912    18,807
   EMCOR Group Inc.    58,700    18,404
   Lincoln Electric Holdings Inc.    71,370    18,314
 * XPO Inc.   144,707    17,411
   Watsco Inc.    42,256    16,654
   Owens Corning   110,895    16,610
   AECOM   173,099    15,376
   Regal Rexnord Corp.    82,787    14,197
   Advanced Drainage Systems Inc.    85,546    13,965
   nVent Electric plc   207,018    13,936
   Comfort Systems USA Inc.    44,566    13,625
   ITT Inc.   102,442    12,922
   Fortune Brands Innovations Inc.   157,338    12,798
 * Trex Co. Inc.   135,502    12,434
   Toro Co.   129,572    11,961
   Tetra Tech Inc.    66,440    11,781
   BWX Technologies Inc.   114,128    11,508
 * Clean Harbors Inc.    62,836    11,442
   Knight-Swift Transportation Holdings Inc. Class A   201,258    11,339
   Curtiss-Wright Corp.    47,714    11,273
   Simpson Manufacturing Co. Inc.    53,247    11,112
 
6

 

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

($000)
   Donaldson Co. Inc.   150,589    10,785
   Woodward Inc.    75,388    10,667
 * CACI International Inc. Class A    27,800    10,421
 * Middleby Corp.    66,885    10,177
   KBR Inc.   168,452    10,112
 * Core & Main Inc. Class A   209,619    10,005
 * RBC Bearings Inc.    36,293     9,902
   Acuity Brands Inc.    38,616     9,702
   Science Applications International Corp.    66,049     9,244
 * FTI Consulting Inc.    44,307     9,166
 * Paylocity Holding Corp.    53,973     9,100
   Oshkosh Corp.    81,623     9,049
   UFP Industries Inc.    77,128     8,841
   Landstar System Inc.    44,853     8,531
   AGCO Corp.    77,548     8,507
   MSA Safety Inc.    46,106     8,490
   WESCO International Inc.    54,810     8,194
 * Fluor Corp.   212,590     7,823
   Hexcel Corp.   104,949     7,815
 * GXO Logistics Inc.   148,426     7,683
 * Chart Industries Inc.    52,392     7,485
   Crane Co.    60,949     7,409
   Genpact Ltd.   208,251     7,081
   Esab Corp.    70,691     7,007
   Watts Water Technologies Inc. Class A    34,148     6,965
   Flowserve Corp.   163,716     6,928
   Timken Co.    80,988     6,802
   Sensata Technologies Holding plc   188,854     6,500
 * Kirby Corp.    73,743     6,469
 * ExlService Holdings Inc.   205,784     6,404
   Maximus Inc.    75,844     6,345
   Ryder System Inc.    55,304     6,310
 * Stericycle Inc.   115,448     6,279
 * ASGN Inc.    58,894     5,849
   MSC Industrial Direct Co. Inc. Class A    57,851     5,839
 * MasTec Inc.    75,422     5,691
   GATX Corp.    44,294     5,618
   Valmont Industries Inc.    26,069     5,525
   MDU Resources Group Inc.   254,091     5,509
   Exponent Inc.    63,166     5,110
   Terex Corp.    83,975     4,816
   Brink's Co.    56,211     4,656
   EnerSys    50,408     4,632
   Insperity Inc.    44,191     4,498
   ManpowerGroup Inc.    60,901     4,395
   Concentrix Corp.    59,002     4,275
 * Sunrun Inc.   270,992     3,263
   Werner Enterprises Inc.    79,102     3,175
          Shares Market
Value•

($000)
 1 Avis Budget Group Inc.    23,051     2,490
 * Hertz Global Holdings Inc.   165,152     1,296
                       704,245
Information Technology (10.8%)
 * Super Micro Computer Inc.    57,874    50,126
 * GoDaddy Inc. Class A   175,718    20,058
 * Manhattan Associates Inc.    76,820    19,461
 * Pure Storage Inc. Class A   365,894    19,264
 * Dynatrace Inc.   297,541    14,743
 * Lattice Semiconductor Corp.   172,225    13,194
 * Onto Innovation Inc.    61,240    11,278
 * Ciena Corp.   184,473    10,511
 * Coherent Corp.   164,443     9,781
   MKS Instruments Inc.    78,442     9,630
   Universal Display Corp.    54,363     9,482
   Cognex Corp.   214,793     8,474
   Vontier Corp.   192,567     8,280
 * Rambus Inc.   134,147     7,947
 * Arrow Electronics Inc.    67,577     7,940
 * Qualys Inc.    45,898     7,888
 * Novanta Inc.    44,684     7,728
 * Dropbox Inc. Class A   319,654     7,656
   TD SYNNEX Corp.    71,869     7,467
   Littelfuse Inc.    31,057     7,399
 * Aspen Technology Inc.    34,973     6,781
 * Kyndryl Holdings Inc.   286,315     6,290
 * Cirrus Logic Inc.    67,252     6,175
   Dolby Laboratories Inc. Class A    74,310     6,019
 * MACOM Technology Solutions Holdings Inc.    67,526     5,965
 * Silicon Laboratories Inc.    39,654     5,454
   Avnet Inc.   112,903     5,260
 * CommVault Systems Inc.    54,644     5,230
   Power Integrations Inc.    70,944     5,070
 * Synaptics Inc.    48,912     4,896
 * Teradata Corp.   122,033     4,591
   Belden Inc.    52,010     4,430
 * Lumentum Holdings Inc.    83,601     4,052
   Amkor Technology Inc.   128,796     3,995
 * Blackbaud Inc.    53,757     3,719
   Crane NXT Co.    60,239     3,519
   Vishay Intertechnology Inc.   157,518     3,426
 * IPG Photonics Corp.    36,885     3,185
 * Wolfspeed Inc.   114,376     2,976
 * Allegro MicroSystems Inc.    88,860     2,798
 * Calix Inc.    73,148     2,551
                       354,689
Materials (6.9%)
   Reliance Inc.    71,712    23,035
   RPM International Inc.   160,748    18,542
   United States Steel Corp.   278,302    13,175
 * Cleveland-Cliffs Inc.   629,948    13,103
   Crown Holdings Inc.   150,539    11,534
 
7

 

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

($000)
   AptarGroup Inc.    82,080    11,529
   Eagle Materials Inc.    43,531    11,037
   Graphic Packaging Holding Co.   381,881     9,910
 * Axalta Coating Systems Ltd.   274,610     8,988
   Berry Global Group Inc.   147,362     8,578
   Royal Gold Inc.    81,969     8,412
   Olin Corp.   152,914     8,227
   Commercial Metals Co.   145,871     7,877
 * Arcadium Lithium plc 1,281,767     7,037
   Sonoco Products Co.   122,227     6,928
   Alcoa Corp.   222,693     6,059
   Ashland Inc.    63,937     5,987
   Louisiana-Pacific Corp.    80,077     5,923
   Cabot Corp.    68,931     5,856
   Westlake Corp.    39,973     5,545
   NewMarket Corp.     8,615     5,528
 * Knife River Corp.    70,581     5,229
   Avient Corp.   113,749     4,605
   Silgan Holdings Inc.   100,992     4,435
   Chemours Co.   185,215     3,643
   Scotts Miracle-Gro Co.    51,852     3,407
 * MP Materials Corp.   179,716     2,733
   Greif Inc. Class A    31,786     2,049
                       228,911
Real Estate (7.3%)
   Equity LifeStyle Properties Inc.   232,573    15,657
   WP Carey Inc.   272,851    15,370
   Gaming & Leisure Properties Inc.   333,172    15,153
   American Homes 4 Rent Class A   396,846    14,687
   Rexford Industrial Realty Inc.   263,400    13,402
   CubeSmart   280,574    12,236
   Lamar Advertising Co. Class A   109,277    12,081
 * Jones Lang LaSalle Inc.    59,359    11,292
   EastGroup Properties Inc.    57,807    10,156
   Omega Healthcare Investors Inc.   305,695     9,513
   NNN REIT Inc.   227,641     9,263
   First Industrial Realty Trust Inc.   165,047     8,747
   Brixmor Property Group Inc.   375,072     8,480
   STAG Industrial Inc.   226,559     8,414
   Agree Realty Corp.   125,427     6,892
   Healthcare Realty Trust Inc. Class A   475,242     6,549
   Rayonier Inc.   170,231     5,861
   Kite Realty Group Trust   273,744     5,861
   Apartment Income REIT Corp. Class A   183,412     5,561
          Shares Market
Value•

($000)
   Vornado Realty Trust   199,482     5,246
   Kilroy Realty Corp.   133,121     5,044
   PotlatchDeltic Corp.    99,028     4,477
   Park Hotels & Resorts Inc.   262,011     4,349
   Cousins Properties Inc.   189,379     4,320
   Independence Realty Trust Inc.   280,387     4,105
   Sabra Health Care REIT Inc.   288,509     4,005
   EPR Properties    93,993     3,861
   National Storage Affiliates Trust    96,406     3,452
   COPT Defense Properties   140,433     3,403
 1 Medical Properties Trust Inc.   747,412     3,147
                       240,584
Utilities (3.1%)
   Vistra Corp.   419,374    22,873
   Essential Utilities Inc.   313,581    10,906
   OGE Energy Corp.   249,912     8,224
   UGI Corp.   261,382     6,399
   National Fuel Gas Co.   114,568     5,584
   IDACORP Inc.    63,157     5,565
   Southwest Gas Holdings Inc.    74,962     5,109
   Portland General Electric Co.   126,179     5,069
   New Jersey Resources Corp.   121,733     5,065
   Black Hills Corp.    84,840     4,414
   Ormat Technologies Inc.    67,024     4,367
   ONE Gas Inc.    69,193     4,124
   ALLETE Inc.    71,719     4,062
   PNM Resources Inc.   107,103     3,910
   Spire Inc.    65,636     3,893
   Northwestern Energy Group Inc.    76,414     3,662
                       103,226
Total Common Stocks
(Cost $2,530,634) 		3,295,195
 
8

 

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

($000)
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
2,3 Vanguard Market Liquidity Fund, 5.400%
(Cost $19,421) 		  194,246          19,423
Total Investments (100.4%)
(Cost $2,550,055) 		  3,314,618
Other Assets and Liabilities—Net (-0.4%)   (13,862)
Net Assets (100%)   3,300,756
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,665,000.
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 $6,226,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2024 16 4,628 191
    
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Wolfspeed Inc. 8/30/24 BANA 1,367 (5.326) — (280)
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.
9

 

S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $2,530,634) 3,295,195
Affiliated Issuers (Cost $19,421) 19,423
Total Investments in Securities 3,314,618
Investment in Vanguard 101
Cash Collateral Pledged—Futures Contracts 840
Cash Collateral Pledged—Over-the-Counter Swap Contracts 510
Receivables for Investment Securities Sold 4,362
Receivables for Accrued Income 2,567
Receivables for Capital Shares Issued 332
Variation Margin Receivable—Futures Contracts 117
Total Assets 3,323,447
Liabilities  
Due to Custodian 999
Payables for Investment Securities Purchased 14,729
Collateral for Securities on Loan 6,226
Payables for Capital Shares Redeemed 343
Payables to Vanguard 114
Unrealized Depreciation—Over-the-Counter Swap Contracts 280
Total Liabilities 22,691
Net Assets 3,300,756
1 Includes $5,665,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 2,877,435
Total Distributable Earnings (Loss) 423,321
Net Assets 3,300,756
 
ETF Shares—Net Assets  
Applicable to 19,417,315 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,898,953
Net Asset Value Per Share—ETF Shares $97.80
 
Institutional Shares—Net Assets  
Applicable to 3,593,195 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,401,803
Net Asset Value Per Share—Institutional Shares $390.13
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

S&P Mid-Cap 400 Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends 22,985
Interest1 199
Securities Lending—Net 72
Total Income 23,256
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 33
Management and Administrative—ETF Shares 719
Management and Administrative—Institutional Shares 505
Marketing and Distribution—ETF Shares 44
Marketing and Distribution—Institutional Shares 22
Custodian Fees 24
Shareholders’ Reports—ETF Shares 34
Shareholders’ Reports—Institutional Shares 8
Trustees’ Fees and Expenses 1
Other Expenses 9
Total Expenses 1,399
Net Investment Income 21,857
Realized Net Gain (Loss)  
Investment Securities Sold1,2 7,646
Futures Contracts 601
Swap Contracts (762)
Realized Net Gain (Loss) 7,485
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 284,096
Futures Contracts (78)
Swap Contracts (281)
Change in Unrealized Appreciation (Depreciation) 283,737
Net Increase (Decrease) in Net Assets Resulting from Operations 313,079
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 $191,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $85,790,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 21,857   43,472
Realized Net Gain (Loss) 7,485   33,896
Change in Unrealized Appreciation (Depreciation) 283,737   217,655
Net Increase (Decrease) in Net Assets Resulting from Operations 313,079   295,023
Distributions      
ETF Shares (13,115)   (23,449)
Institutional Shares (11,353)   (21,631)
Total Distributions (24,468)   (45,080)
Capital Share Transactions      
ETF Shares 88,008   110,037
Institutional Shares (214,099)   42,807
Net Increase (Decrease) from Capital Share Transactions (126,091)   152,844
Total Increase (Decrease) 162,520   402,787
Net Assets      
Beginning of Period 3,138,236   2,735,449
End of Period 3,300,756   3,138,236
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $89.50 $82.25 $93.08 $65.16 $63.59 $69.01
Investment Operations            
Net Investment Income2 .618 1.267 1.247 .998 .980 .940
Net Realized and Unrealized Gain (Loss) on Investments 8.376 7.301 (10.928) 27.898 1.607 (5.437)
Total from Investment Operations 8.994 8.568 (9.681) 28.896 2.587 (4.497)
Distributions            
Dividends from Net Investment Income (.694) (1.318) (1.149) (.976) (1.017) (.923)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.694) (1.318) (1.149) (.976) (1.017) (.923)
Net Asset Value, End of Period $97.80 $89.50 $82.25 $93.08 $65.16 $63.59
Total Return 10.12% 10.60% -10.47% 44.65% 4.11% -6.50%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,899 $1,647 $1,411 $1,476 $890 $919
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%3 0.10%3 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.46% 1.50% 1.41% 1.21% 1.57% 1.47%
Portfolio Turnover Rate4 11% 14% 11% 16% 17% 10%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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.
13

 

S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $357.01 $328.11 $371.30 $259.90 $253.60 $275.26
Investment Operations            
Net Investment Income1 2.541 5.108 5.037 4.038 3.959 3.786
Net Realized and Unrealized Gain (Loss) on Investments 33.376 29.113 (43.574) 111.307 6.384 (21.653)
Total from Investment Operations 35.917 34.221 (38.537) 115.345 10.343 (17.867)
Distributions            
Dividends from Net Investment Income (2.797) (5.321) (4.653) (3.945) (4.043) (3.793)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (2.797) (5.321) (4.653) (3.945) (4.043) (3.793)
Net Asset Value, End of Period $390.13 $357.01 $328.11 $371.30 $259.90 $253.60
Total Return 10.13% 10.64% -10.43% 44.69% 4.14% -6.49%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,402 $1,491 $1,325 $1,396 $1,164 $1,202
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08%2 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.51% 1.51% 1.43% 1.24% 1.59% 1.49%
Portfolio Turnover Rate3 11% 14% 11% 16% 17% 10%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

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.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, 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
15

 

S&P Mid-Cap 400 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 six months ended February 29, 2024, 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.
16

 

S&P Mid-Cap 400 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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
17

 

S&P Mid-Cap 400 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 February 29, 2024, the fund had contributed to Vanguard capital in the amount of $101,000, 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.  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.
18

 

S&P Mid-Cap 400 Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 3,295,195 — — 3,295,195
Temporary Cash Investments 19,423 — — 19,423
Total 3,314,618 — — 3,314,618
Derivative Financial Instruments        
Assets        
Futures Contracts1 191 — — 191
Liabilities        
Swap Contracts — 280 — 280
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 2,554,155
Gross Unrealized Appreciation 958,152
Gross Unrealized Depreciation (197,778)
Net Unrealized Appreciation (Depreciation) 760,374
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $342,705,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $327,967,000 of investment securities and sold $506,967,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $238,226,000 and $168,740,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $77,669,000 and sales were $71,582,000, resulting in net realized loss of $30,431,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
19

 

S&P Mid-Cap 400 Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 258,727 2,920   469,310 5,675
Issued in Lieu of Cash Distributions — —   — —
Redeemed (170,719) (1,905)   (359,273) (4,425)
Net Increase (Decrease)—ETF Shares 88,008 1,015   110,037 1,250
Institutional Shares          
Issued 46,278 130   218,125 652
Issued in Lieu of Cash Distributions 10,464 29   20,276 64
Redeemed (270,841) (743)   (195,594) (576)
Net Increase (Decrease)—Institutional Shares (214,099) (584)   42,807 140
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
20

 

S&P Mid-Cap 400 Value Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 2.2%
Consumer Discretionary 12.5
Consumer Staples 5.6
Energy 4.0
Financials 23.9
Health Care 6.1
Industrials 15.5
Information Technology 6.8
Materials 8.3
Real Estate 10.3
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.
21

 

S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (2.2%)
   Nexstar Media Group Inc. Class A  25,313   4,206
 * Frontier Communications Parent Inc. 173,695   4,113
 * ZoomInfo Technologies Inc. Class A 155,861   2,612
 * Ziff Davis Inc.  36,109   2,483
   TKO Group Holdings Inc. Class A  26,857   2,249
   TEGNA Inc. 154,677   2,167
   Cable One Inc.   3,571   1,628
   Iridium Communications Inc.  48,630   1,408
                    20,866
Consumer Discretionary (12.4%)
   PVH Corp.  47,453   6,485
   Lear Corp.  45,754   6,284
   Aramark 205,004   6,218
   Thor Industries Inc.  41,841   5,363
 * Taylor Morrison Home Corp. Class A  84,386   4,777
   Lithia Motors Inc. Class A  15,114   4,520
 * Burlington Stores Inc.  20,380   4,180
   Service Corp. International  56,849   4,161
   Dick's Sporting Goods Inc.  22,678   4,034
   Polaris Inc.  41,686   3,865
   Macy's Inc. 214,888   3,748
   Harley-Davidson Inc.  99,529   3,610
   Gap Inc. 168,475   3,191
 * Mattel Inc. 155,341   3,060
 * AutoNation Inc.  20,367   3,051
*,1 GameStop Corp. Class A 210,945   3,010
   Autoliv Inc.  23,525   2,730
 * Goodyear Tire & Rubber Co. 222,668   2,645
 * Adient plc  73,548   2,496
   Marriott Vacations Worldwide Corp.  25,937   2,417
   Gentex Corp.  65,945   2,409
   Penske Automotive Group Inc.  15,306   2,350
   Vail Resorts Inc.  10,169   2,342
          Shares Market
Value•

($000)
   Carter's Inc.  28,919   2,341
 * Helen of Troy Ltd.  18,644   2,331
 * Capri Holdings Ltd.  47,461   2,189
 * Penn Entertainment Inc. 119,178   2,181
   Leggett & Platt Inc. 104,696   2,138
   KB Home  30,064   1,997
   Graham Holdings Co. Class B   2,811   1,974
   Brunswick Corp.  21,077   1,842
 * RH   6,676   1,832
   Wyndham Hotels & Resorts Inc.  22,153   1,696
   Nordstrom Inc.  76,176   1,597
 * Visteon Corp.  12,009   1,359
 * Under Armour Inc. Class A 146,912   1,316
 * Under Armour Inc. Class C 153,347   1,310
   Columbia Sportswear Co.  14,082   1,164
   Choice Hotels International Inc.   9,973   1,116
   Wendy's Co.  60,350   1,093
 * Fox Factory Holding Corp.  20,635   1,044
 * YETI Holdings Inc.  24,555   1,008
 * Hilton Grand Vacations Inc.  21,256     954
   Travel + Leisure Co.  17,096     764
                   120,192
Consumer Staples (5.6%)
 * Performance Food Group Co. 122,193   9,381
 * US Foods Holding Corp. 177,623   9,022
 * BJ's Wholesale Club Holdings Inc. 105,016   7,670
 * Darling Ingredients Inc. 125,284   5,301
 * Post Holdings Inc.  39,901   4,156
   Ingredion Inc.  32,761   3,854
   Flowers Foods Inc. 150,868   3,382
 * Sprouts Farmers Market Inc.  47,056   2,938
 * BellRing Brands Inc.  48,520   2,763
 * Grocery Outlet Holding Corp.  77,953   2,010
   Lancaster Colony Corp.   8,316   1,721
 * Boston Beer Co. Inc. Class A   3,990   1,230
 * Pilgrim's Pride Corp.  31,609   1,006
                    54,434
22

 

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

($000)
Energy (4.0%)
   Chesapeake Energy Corp.  87,492   7,243
   HF Sinclair Corp. 122,940   6,823
 * Antero Resources Corp. 221,858   5,702
   NOV Inc. 309,353   5,228
   PBF Energy Inc. Class A  85,406   3,988
   Murphy Oil Corp.  65,687   2,606
   Equitrans Midstream Corp. 200,740   2,146
   DT Midstream Inc.  28,155   1,623
   ChampionX Corp.  50,481   1,568
   Antero Midstream Corp. 112,339   1,505
                    38,432
Financials (23.8%)
   Fidelity National Financial Inc. 203,038  10,269
   Reinsurance Group of America Inc.  51,755   9,153
   Ally Financial Inc. 213,188   7,886
   Annaly Capital Management Inc. 392,726   7,497
   Unum Group 143,982   7,120
   American Financial Group Inc.  51,320   6,552
   Webster Financial Corp. 135,098   6,436
   First Horizon Corp. 438,806   6,187
   Stifel Financial Corp.  80,098   6,076
   Old Republic International Corp. 204,778   5,930
   Jefferies Financial Group Inc. 132,203   5,529
   SouthState Corp.  59,737   5,020
   Starwood Property Trust Inc. 233,679   4,765
   First American Financial Corp.  81,033   4,733
   Wintrust Financial Corp.  48,090   4,634
   Prosperity Bancshares Inc.  73,594   4,593
   Essent Group Ltd.  83,843   4,491
   Synovus Financial Corp. 114,844   4,357
   RenaissanceRe Holdings Ltd.  18,551   4,171
   Affiliated Managers Group Inc.  26,549   4,150
   Carlyle Group Inc.  88,400   4,053
   Equitable Holdings Inc. 117,438   4,021
   Cadence Bank 143,447   3,971
   Western Union Co. 286,135   3,837
   Old National Bancorp 229,799   3,776
   FNB Corp. 281,800   3,759
   Interactive Brokers Group Inc. Class A  34,460   3,747
   East West Bancorp Inc.  50,910   3,709
   Hanover Insurance Group Inc.  28,084   3,692
   United Bankshares Inc. 105,963   3,676
   Home BancShares Inc. 147,362   3,457
   Voya Financial Inc.  49,224   3,365
   Erie Indemnity Co. Class A   8,228   3,348
          Shares Market
Value•

($000)
   Glacier Bancorp Inc.  87,071   3,258
   Janus Henderson Group plc 104,075   3,243
   Cullen/Frost Bankers Inc.  29,171   3,165
   Columbia Banking System Inc. 163,792   2,965
   Pinnacle Financial Partners Inc.  35,568   2,942
   Commerce Bancshares Inc.  55,024   2,863
   UMB Financial Corp.  34,299   2,799
   Valley National Bancorp 334,899   2,743
   New York Community Bancorp Inc. 567,378   2,718
   Kemper Corp.  47,306   2,712
   MGIC Investment Corp. 135,021   2,686
   SEI Investments Co.  39,269   2,641
   Associated Banc-Corp 116,705   2,432
   Federated Hermes Inc. Class B  67,729   2,386
   CNO Financial Group Inc.  88,085   2,351
 * Brighthouse Financial Inc.  50,419   2,347
   Selective Insurance Group Inc.  21,410   2,237
   SLM Corp. 106,613   2,221
 * Texas Capital Bancshares Inc.  37,709   2,212
   First Financial Bankshares Inc.  60,515   1,872
   Bank OZK  39,662   1,737
 * Euronet Worldwide Inc.  15,826   1,732
   RLI Corp.  11,037   1,616
   Evercore Inc. Class A   8,437   1,578
   Hancock Whitney Corp.  32,473   1,416
   International Bancshares Corp.  23,891   1,240
                   230,072
Health Care (6.1%)
 * Tenet Healthcare Corp.  79,747   7,416
 * Globus Medical Inc. Class A  90,597   4,891
 * United Therapeutics Corp.  20,270   4,574
 * Jazz Pharmaceuticals plc  28,675   3,409
   Encompass Health Corp.  43,290   3,221
   Chemed Corp.   4,729   2,961
   Perrigo Co. plc 106,413   2,794
 * Envista Holdings Corp. 134,601   2,779
 * HealthEquity Inc.  32,950   2,722
 * Neogen Corp. 154,581   2,657
   Bruker Corp.  29,131   2,521
 * Enovis Corp.  39,017   2,334
 * R1 RCM Inc. 154,633   2,173
 * Option Care Health Inc.  62,596   2,020
 * Integra LifeSciences Holdings Corp.  53,408   1,971
 * QuidelOrtho Corp.  38,829   1,771
 * Masimo Corp.  13,247   1,703
 * LivaNova plc  26,659   1,461
 * Amedisys Inc.  14,867   1,383
 
23

 

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

($000)
 * Doximity Inc. Class A  46,396   1,310
 * Haemonetics Corp.  15,937   1,163
 * Azenta Inc.  17,000   1,108
 * Inari Medical Inc.  17,283     797
                    59,139
Industrials (15.5%)
   Regal Rexnord Corp.  52,104   8,935
   Knight-Swift Transportation Holdings Inc. Class A 126,665   7,136
 * XPO Inc.  48,269   5,808
   Oshkosh Corp.  51,372   5,695
   AGCO Corp.  48,806   5,354
   AECOM  58,829   5,226
   WESCO International Inc.  34,498   5,157
 * Fluor Corp. 133,797   4,924
   Fortune Brands Innovations Inc.  59,414   4,833
   Genpact Ltd. 131,067   4,456
 * CACI International Inc. Class A  11,024   4,132
   Sensata Technologies Holding plc 118,859   4,091
   Ryder System Inc.  34,806   3,971
 * Stericycle Inc.  72,660   3,952
   Toro Co.  42,407   3,915
   Science Applications International Corp.  27,020   3,782
 * ASGN Inc.  37,066   3,681
 * MasTec Inc.  47,469   3,582
   Valmont Industries Inc.  16,404   3,477
   MDU Resources Group Inc. 159,914   3,467
   KBR Inc.  57,250   3,437
 * Middleby Corp.  21,049   3,203
   Acuity Brands Inc.  11,907   2,992
   Donaldson Co. Inc.  40,756   2,919
   ManpowerGroup Inc.  38,328   2,766
 * Core & Main Inc. Class A  56,730   2,708
   Concentrix Corp.  37,133   2,690
   Timken Co.  31,089   2,611
   Hexcel Corp.  33,686   2,508
   Curtiss-Wright Corp.  10,512   2,484
   Flowserve Corp.  56,671   2,398
 * Kirby Corp.  26,920   2,361
   GATX Corp.  17,562   2,228
 * Sunrun Inc. 170,549   2,053
   Werner Enterprises Inc.  49,785   1,998
 * GXO Logistics Inc.  34,564   1,789
 * ExlService Holdings Inc.  55,689   1,733
   Landstar System Inc.   9,033   1,718
   MSC Industrial Direct Co. Inc. Class A  16,750   1,691
   EnerSys  18,082   1,661
   Exponent Inc.  19,480   1,576
   Insperity Inc.  13,907   1,416
   Terex Corp.  23,257   1,334
          Shares Market
Value•

($000)
   Maximus Inc.  12,888   1,078
 * Hertz Global Holdings Inc. 103,945     816
                   149,742
Information Technology (6.8%)
 * Coherent Corp. 103,495   6,156
 * Arrow Electronics Inc.  42,531   4,997
   TD SYNNEX Corp.  45,223   4,699
 * Kyndryl Holdings Inc. 180,200   3,959
 * Ciena Corp.  68,487   3,902
   Avnet Inc.  71,057   3,311
   MKS Instruments Inc.  25,178   3,091
   Cognex Corp.  75,698   2,986
   Belden Inc.  32,729   2,788
 * Lumentum Holdings Inc.  52,611   2,550
   Amkor Technology Inc.  81,061   2,515
   Crane NXT Co.  37,912   2,215
   Vishay Intertechnology Inc.  99,127   2,156
 * Aspen Technology Inc.  11,007   2,134
 * Novanta Inc.  11,810   2,043
 * Synaptics Inc.  18,160   1,818
 * Cirrus Logic Inc.  18,199   1,671
   Dolby Laboratories Inc. Class A  20,110   1,629
   Power Integrations Inc.  22,326   1,595
   Littelfuse Inc.   5,861   1,396
 * MACOM Technology Solutions Holdings Inc.  15,724   1,389
 * Wolfspeed Inc.  52,160   1,357
 * CommVault Systems Inc.  13,756   1,317
 * Allegro MicroSystems Inc.  36,339   1,144
 * IPG Photonics Corp.  12,775   1,103
 * Blackbaud Inc.  12,855     889
 * Calix Inc.  23,573     822
                    65,632
Materials (8.2%)
   United States Steel Corp. 175,159   8,292
 * Cleveland-Cliffs Inc. 396,474   8,247
   Graphic Packaging Holding Co. 240,346   6,237
   Berry Global Group Inc.  92,748   5,399
   RPM International Inc.  46,538   5,368
   Commercial Metals Co.  91,808   4,958
   Sonoco Products Co.  76,924   4,360
   Crown Holdings Inc.  50,217   3,848
   Alcoa Corp. 140,154   3,814
   Ashland Inc.  40,241   3,768
   Olin Corp.  56,779   3,055
   AptarGroup Inc.  21,181   2,975
   Avient Corp.  71,589   2,898
   Silgan Holdings Inc.  63,560   2,791
   Royal Gold Inc.  24,762   2,541
   Chemours Co. 116,568   2,293
 * Arcadium Lithium plc 314,613   1,727
   Scotts Miracle-Gro Co.  20,234   1,329
   Louisiana-Pacific Corp.  17,637   1,305
 
24

 

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

($000)
   Greif Inc. Class A  20,006   1,289
   Cabot Corp.  14,319   1,216
 * MP Materials Corp.  67,849   1,032
 * Knife River Corp.  12,882     954
                    79,696
Real Estate (10.3%)
   WP Carey Inc. 171,728   9,673
 * Jones Lang LaSalle Inc.  37,361   7,107
   Gaming & Leisure Properties Inc. 119,521   5,436
   Rexford Industrial Realty Inc. 101,117   5,145
   Agree Realty Corp.  78,940   4,338
   Healthcare Realty Trust Inc. Class A 299,106   4,122
   American Homes 4 Rent Class A 100,084   3,704
   Kite Realty Group Trust 172,286   3,689
   NNN REIT Inc.  90,261   3,673
   Equity LifeStyle Properties Inc.  52,695   3,547
   Omega Healthcare Investors Inc. 113,517   3,533
   Apartment Income REIT Corp. Class A 115,433   3,500
   CubeSmart  79,463   3,465
   Vornado Realty Trust 125,546   3,302
   Lamar Advertising Co. Class A  28,889   3,194
   Kilroy Realty Corp.  83,785   3,175
   Brixmor Property Group Inc. 132,193   2,989
   First Industrial Realty Trust Inc.  54,013   2,863
   PotlatchDeltic Corp.  62,323   2,818
   Cousins Properties Inc. 119,206   2,719
   STAG Industrial Inc.  71,292   2,648
   Independence Realty Trust Inc. 176,460   2,583
   Sabra Health Care REIT Inc. 181,574   2,520
   EastGroup Properties Inc.  13,827   2,429
   Rayonier Inc.  66,430   2,287
 1 Medical Properties Trust Inc. 470,395   1,980
   COPT Defense Properties  53,920   1,306
   National Storage Affiliates Trust  30,942   1,108
   EPR Properties  22,477     923
                    99,776
          Shares Market
Value•

($000)
Utilities (4.8%)
   OGE Energy Corp. 157,291   5,176
   UGI Corp. 164,507   4,027
   Essential Utilities Inc. 102,625   3,569
   National Fuel Gas Co.  72,108   3,515
   Southwest Gas Holdings Inc.  47,177   3,215
   Portland General Electric Co.  79,415   3,190
   New Jersey Resources Corp.  76,618   3,188
   Black Hills Corp.  53,392   2,778
   Ormat Technologies Inc.  42,181   2,748
   ONE Gas Inc.  43,549   2,596
   ALLETE Inc.  45,141   2,557
   PNM Resources Inc.  67,406   2,461
   Spire Inc.  41,310   2,451
   Northwestern Energy Group Inc.  48,094   2,305
   IDACORP Inc.  24,246   2,136
                    45,912
Total Common Stocks
(Cost $913,191) 		963,893
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
2,3 Vanguard Market Liquidity Fund, 5.400%
(Cost $6,279) 		 62,804        6,280
Total Investments (100.3%)
(Cost $919,470) 		  970,173
Other Assets and Liabilities—Net (-0.3%)   (3,149)
Net Assets (100%)   967,024
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 $2,511,000.
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 $2,760,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
25

 

S&P Mid-Cap 400 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2024 4 1,157 37
    
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 1/31/25 CITNA 1,917 (5.327) 19 —
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.
26

 

S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $913,191) 963,893
Affiliated Issuers (Cost $6,279) 6,280
Total Investments in Securities 970,173
Investment in Vanguard 30
Cash Collateral Pledged—Futures Contracts 130
Receivables for Investment Securities Sold 2,499
Receivables for Accrued Income 1,070
Receivables for Capital Shares Issued 10
Variation Margin Receivable—Futures Contracts 17
Unrealized Appreciation—Over-the-Counter Swap Contracts 19
Total Assets 973,948
Liabilities  
Due to Custodian 390
Payables for Investment Securities Purchased 3,718
Collateral for Securities on Loan 2,760
Payables for Capital Shares Redeemed 4
Payables to Vanguard 52
Total Liabilities 6,924
Net Assets 967,024
1 Includes $2,511,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 1,120,534
Total Distributable Earnings (Loss) (153,510)
Net Assets 967,024
 
ETF Shares—Net Assets  
Applicable to 9,885,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		851,126
Net Asset Value Per Share—ETF Shares $86.10
 
Institutional Shares—Net Assets  
Applicable to 335,567 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		115,898
Net Asset Value Per Share—Institutional Shares $345.38
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

S&P Mid-Cap 400 Value Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends 8,007
Interest1 111
Securities Lending—Net 41
Total Income 8,159
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 10
Management and Administrative—ETF Shares 530
Management and Administrative—Institutional Shares 35
Marketing and Distribution—ETF Shares 21
Marketing and Distribution—Institutional Shares 2
Custodian Fees 10
Shareholders’ Reports—ETF Shares 21
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 9
Total Expenses 638
Net Investment Income 7,521
Realized Net Gain (Loss)  
Investment Securities Sold1,2 35,742
Futures Contracts 77
Swap Contracts (1,438)
Realized Net Gain (Loss) 34,381
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 14,249
Futures Contracts 24
Swap Contracts 149
Change in Unrealized Appreciation (Depreciation) 14,422
Net Increase (Decrease) in Net Assets Resulting from Operations 56,324
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 $109,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $70,920,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 7,521   15,431
Realized Net Gain (Loss) 34,381   21,258
Change in Unrealized Appreciation (Depreciation) 14,422   31,192
Net Increase (Decrease) in Net Assets Resulting from Operations 56,324   67,881
Distributions      
ETF Shares (13,008)   (14,943)
Institutional Shares (1,689)   (1,578)
Total Distributions (14,697)   (16,521)
Capital Share Transactions      
ETF Shares 1,370   (39,235)
Institutional Shares 12,967   13,348
Net Increase (Decrease) from Capital Share Transactions 14,337   (25,887)
Total Increase (Decrease) 55,964   25,473
Net Assets      
Beginning of Period 911,060   885,587
End of Period 967,024   911,060
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $82.68 $76.82 $82.65 $54.80 $58.77 $65.03
Investment Operations            
Net Investment Income2 .676 1.383 1.442 1.244 1.212 1.031
Net Realized and Unrealized Gain (Loss) on Investments 4.073 5.987 (5.769) 28.198 (4.044) (6.310)
Total from Investment Operations 4.749 7.370 (4.327) 29.442 (2.832) (5.279)
Distributions            
Dividends from Net Investment Income (1.329) (1.510) (1.503) (1.592) (1.138) (.981)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.329) (1.510) (1.503) (1.592) (1.138) (.981)
Net Asset Value, End of Period $86.10 $82.68 $76.82 $82.65 $54.80 $58.77
Total Return 5.75% 9.79% -5.34% 54.51% -5.10% -8.04%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $851 $812 $807 $822 $501 $685
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.81% 1.75% 1.79% 1.72% 2.13% 1.72%
Portfolio Turnover Rate3 36% 43% 33% 36% 51% 38%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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.
30

 

S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $331.78 $308.23 $331.49 $219.78 $235.62 $260.90
Investment Operations            
Net Investment Income1 2.739 5.762 6.147 5.090 5.011 4.332
Net Realized and Unrealized Gain (Loss) on Investments 16.438 24.063 (23.292) 113.153 (16.157) (25.380)
Total from Investment Operations 19.177 29.825 (17.145) 118.243 (11.146) (21.048)
Distributions            
Dividends from Net Investment Income (5.577) (6.275) (6.115) (6.533) (4.694) (4.232)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (5.577) (6.275) (6.115) (6.533) (4.694) (4.232)
Net Asset Value, End of Period $345.38 $331.78 $308.23 $331.49 $219.78 $235.62
Total Return 5.76% 9.88% -5.23% 54.62% -5.01% -7.99%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $116 $99 $79 $162 $160 $186
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.82% 1.81% 1.90% 1.79% 2.21% 1.79%
Portfolio Turnover Rate2 36% 43% 33% 36% 51% 38%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

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.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, 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
32

 

S&P Mid-Cap 400 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 six months ended February 29, 2024, 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.
33

 

S&P Mid-Cap 400 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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
34

 

S&P Mid-Cap 400 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 February 29, 2024, the fund had contributed to Vanguard capital in the amount of $30,000, 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.
35

 

S&P Mid-Cap 400 Value Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 963,893 — — 963,893
Temporary Cash Investments 6,280 — — 6,280
Total 970,173 — — 970,173
Derivative Financial Instruments        
Assets        
Futures Contracts1 37 — — 37
Swap Contracts — 19 — 19
Total 37 19 — 56
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 921,734
Gross Unrealized Appreciation 120,819
Gross Unrealized Depreciation (72,324)
Net Unrealized Appreciation (Depreciation) 48,495
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $237,498,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $326,128,000 of investment securities and sold $320,347,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $228,353,000 and $225,179,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $245,500,000 and sales were $143,068,000, resulting in net realized loss of $11,111,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
36

 

S&P Mid-Cap 400 Value Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 228,375 2,685   329,721 4,150
Issued in Lieu of Cash Distributions — —   — —
Redeemed (227,005) (2,625)   (368,956) (4,825)
Net Increase (Decrease)—ETF Shares 1,370 60   (39,235) (675)
Institutional Shares          
Issued 17,535 54   28,150 88
Issued in Lieu of Cash Distributions 1,530 4   1,399 5
Redeemed (6,098) (19)   (16,201) (52)
Net Increase (Decrease)—Institutional Shares 12,967 39   13,348 41
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
37

 

S&P Mid-Cap 400 Growth Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 0.9%
Consumer Discretionary 18.7
Consumer Staples 4.0
Energy 5.9
Financials 8.7
Health Care 8.9
Industrials 26.5
Information Technology 14.3
Materials 5.8
Real Estate 4.6
Utilities 1.7
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
38

 

S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (0.9%)
   New York Times Co. Class A 128,652     5,697
   TKO Group Holdings Inc. Class A  20,285     1,698
   Iridium Communications Inc.  48,690     1,410
 * ZoomInfo Technologies Inc. Class A  76,864     1,288
                      10,093
Consumer Discretionary (18.6%)
 * Deckers Outdoor Corp.  20,231    18,119
   Williams-Sonoma Inc.  50,434    11,879
 * Floor & Decor Holdings Inc. Class A  83,791    10,149
 * TopBuild Corp.  24,982    10,052
   Toll Brothers Inc.  84,506     9,688
 * Five Below Inc.  43,783     8,786
   Wingstop Inc.  23,128     8,119
   Texas Roadhouse Inc. Class A  52,508     7,843
   Tempur Sealy International Inc. 135,452     7,378
 * Light & Wonder Inc.  70,800     7,116
   Churchill Downs Inc.  53,372     6,504
 * Skechers USA Inc. Class A 105,040     6,493
   Murphy USA Inc.  15,223     6,348
 * Burlington Stores Inc.  30,609     6,278
 * Crocs Inc.  47,621     5,822
   H&R Block Inc. 113,166     5,540
   Hyatt Hotels Corp. Class A  34,769     5,340
 * Valvoline Inc. 109,025     4,649
   Dick's Sporting Goods Inc.  25,608     4,555
   Vail Resorts Inc.  19,766     4,552
   Service Corp. International  59,245     4,336
   Gentex Corp. 117,376     4,288
 * Planet Fitness Inc. Class A  67,177     4,168
   Autoliv Inc.  35,331     4,099
 * Ollie's Bargain Outlet Holdings Inc.  48,515     3,889
   Boyd Gaming Corp.  54,631     3,613
   Wyndham Hotels & Resorts Inc.  43,051     3,296
          Shares Market
Value•

($000)
 * Grand Canyon Education Inc.  23,240     3,133
   Brunswick Corp.  33,004     2,885
 * Mattel Inc. 122,202     2,407
 * Capri Holdings Ltd.  43,862     2,023
   KB Home  30,099     2,000
 * YETI Holdings Inc.  43,705     1,794
   Travel + Leisure Co.  39,859     1,781
 * Hilton Grand Vacations Inc.  34,743     1,559
 * RH   5,469     1,501
   Wendy's Co.  70,934     1,285
 * Visteon Corp.   9,841     1,113
   Columbia Sportswear Co.  13,017     1,076
   Choice Hotels International Inc.   9,593     1,074
 * Fox Factory Holding Corp.  12,651       640
                     207,170
Consumer Staples (4.0%)
 * Celsius Holdings Inc. 116,579     9,515
 * elf Beauty Inc.  43,400     9,050
   Casey's General Stores Inc.  29,301     8,922
 * Coty Inc. Class A 294,457     3,698
 * BellRing Brands Inc.  54,775     3,120
   Coca-Cola Consolidated Inc.   3,685     3,098
   Ingredion Inc.  18,452     2,171
 * Sprouts Farmers Market Inc.  32,739     2,044
   Lancaster Colony Corp.   7,685     1,590
 * Boston Beer Co. Inc. Class A   3,404     1,049
                      44,257
Energy (5.9%)
   Ovintiv Inc. 199,551     9,860
 * Southwestern Energy Co. 866,032     6,036
   Range Resources Corp. 189,728     5,999
 * Weatherford International plc  56,704     5,819
   Matador Resources Co.  87,114     5,501
   Chord Energy Corp.  32,455     5,272
   Permian Resources Corp. Class A 326,833     5,086
   Civitas Resources Inc.  67,095     4,608
   ChampionX Corp. 102,620     3,187
 * Valaris Ltd.  49,291     3,108
   DT Midstream Inc.  47,999     2,766
39

 

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

($000)
 * CNX Resources Corp. 124,899     2,617
   Antero Midstream Corp. 155,318     2,081
   Murphy Oil Corp.  49,615     1,968
   Equitrans Midstream Corp. 139,665     1,493
                      65,401
Financials (8.7%)
   Kinsale Capital Group Inc.  17,309     8,935
 * WEX Inc.  33,602     7,383
   Primerica Inc.  27,545     6,756
   Morningstar Inc.  20,480     6,115
   Interactive Brokers Group Inc. Class A  49,643     5,397
   Houlihan Lokey Inc. Class A  40,582     5,221
   RenaissanceRe Holdings Ltd.  22,701     5,104
   Erie Indemnity Co. Class A  11,374     4,628
   Equitable Holdings Inc. 132,589     4,540
   East West Bancorp Inc.  59,836     4,360
   Carlyle Group Inc.  81,700     3,746
   Evercore Inc. Class A  18,803     3,518
   FirstCash Holdings Inc.  29,082     3,330
   RLI Corp.  20,519     3,005
   Selective Insurance Group Inc.  26,200     2,737
   SEI Investments Co.  39,316     2,644
   Cullen/Frost Bankers Inc.  21,150     2,295
   Voya Financial Inc.  32,855     2,246
   Pinnacle Financial Partners Inc.  24,749     2,047
 * Euronet Worldwide Inc.  18,603     2,036
   Commerce Bancshares Inc.  38,284     1,992
   Bank OZK  43,019     1,884
   MGIC Investment Corp.  82,851     1,648
   Hancock Whitney Corp.  35,225     1,536
   SLM Corp.  71,163     1,482
   First Financial Bankshares Inc.  40,396     1,250
   International Bancshares Corp.  18,044       936
                      96,771
Health Care (8.9%)
 * Neurocrine Biosciences Inc.  77,251    10,074
 * Repligen Corp.  40,825     7,920
 * Shockwave Medical Inc.  29,010     7,568
 * Medpace Holdings Inc.  18,335     7,289
 * Penumbra Inc.  30,346     7,129
 * Acadia Healthcare Co. Inc.  72,505     6,052
 * Exelixis Inc. 244,503     5,355
   Chemed Corp.   7,106     4,449
 * Halozyme Therapeutics Inc. 103,863     4,135
   Bruker Corp.  43,748     3,786
 * United Therapeutics Corp.  16,606     3,747
 * Lantheus Holdings Inc.  53,850     3,521
 * Arrowhead Pharmaceuticals Inc.  96,696     3,104
          Shares Market
Value•

($000)
 * HealthEquity Inc.  34,336     2,836
 * Masimo Corp.  21,638     2,781
   Encompass Health Corp.  35,463     2,638
 * Jazz Pharmaceuticals plc  20,790     2,472
 * Option Care Health Inc.  76,599     2,472
 * Progyny Inc.  65,556     2,394
 * Azenta Inc.  30,270     1,972
 * Haemonetics Corp.  23,938     1,747
 * Doximity Inc. Class A  46,453     1,311
 * Sotera Health Co.  77,775     1,167
 * Inari Medical Inc.  22,937     1,058
 * Amedisys Inc.  10,776     1,002
 * LivaNova plc  15,675       859
                      98,838
Industrials (26.4%)
   Carlisle Cos. Inc.  38,277    13,397
   Graco Inc. 132,710    12,111
 * Saia Inc.  20,873    12,010
   Lennox International Inc.  25,149    11,851
   EMCOR Group Inc.  36,988    11,597
   Lincoln Electric Holdings Inc.  44,974    11,540
   Watsco Inc.  26,627    10,494
   Owens Corning  69,878    10,466
   Advanced Drainage Systems Inc.  53,905     8,799
   nVent Electric plc 130,450     8,782
   Comfort Systems USA Inc.  28,081     8,585
   ITT Inc.  64,551     8,143
 * Trex Co. Inc.  85,383     7,835
   Tetra Tech Inc.  41,865     7,424
   BWX Technologies Inc.  71,915     7,251
 * Clean Harbors Inc.  39,596     7,210
   Simpson Manufacturing Co. Inc.  33,552     7,002
   Woodward Inc.  47,504     6,721
 * RBC Bearings Inc.  22,868     6,239
 * FTI Consulting Inc.  27,920     5,776
 * Paylocity Holding Corp.  34,011     5,735
   UFP Industries Inc.  48,601     5,571
   MSA Safety Inc.  29,054     5,350
 * XPO Inc.  42,856     5,156
 * Chart Industries Inc.  33,014     4,716
   Crane Co.  38,406     4,669
   Curtiss-Wright Corp.  19,543     4,617
   AECOM  50,175     4,457
   Esab Corp.  44,545     4,415
   Watts Water Technologies Inc. Class A  21,518     4,389
   Donaldson Co. Inc.  54,087     3,874
   Landstar System Inc.  19,219     3,655
   Toro Co.  39,191     3,618
 * Core & Main Inc. Class A  75,289     3,594
   Fortune Brands Innovations Inc.  39,657     3,226
 * Middleby Corp.  21,073     3,207
   Acuity Brands Inc.  12,410     3,118
 
40

 

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

($000)
 * GXO Logistics Inc.  58,925     3,050
   Brink's Co.  35,422     2,934
   KBR Inc.  48,828     2,931
   Maximus Inc.  34,888     2,919
 * CACI International Inc. Class A   6,481     2,429
   Hexcel Corp.  32,405     2,413
 * ExlService Holdings Inc.  73,913     2,300
   Science Applications International Corp.  14,567     2,039
   MSC Industrial Direct Co. Inc. Class A  19,686     1,987
   Flowserve Corp.  46,424     1,965
 * Kirby Corp.  19,516     1,712
   Terex Corp.  29,633     1,699
   Timken Co.  19,904     1,672
   Exponent Inc.  20,299     1,642
 1 Avis Budget Group Inc.  14,524     1,569
   Insperity Inc.  13,924     1,417
   GATX Corp.  10,328     1,310
   EnerSys  13,659     1,255
                     293,843
Information Technology (14.3%)
 * Super Micro Computer Inc.  36,469    31,586
 * GoDaddy Inc. Class A 110,724    12,639
 * Manhattan Associates Inc.  48,406    12,263
 * Pure Storage Inc. Class A 230,561    12,139
 * Dynatrace Inc. 187,490     9,290
 * Lattice Semiconductor Corp. 108,528     8,314
 * Onto Innovation Inc.  38,591     7,107
   Universal Display Corp.  34,258     5,975
   Vontier Corp. 121,343     5,218
 * Rambus Inc.  84,532     5,008
 * Qualys Inc.  28,922     4,971
 * Dropbox Inc. Class A 201,424     4,824
 * Silicon Laboratories Inc.  24,988     3,437
   Littelfuse Inc.  13,701     3,264
   MKS Instruments Inc.  24,223     2,974
 * Teradata Corp.  76,897     2,893
 * Novanta Inc.  16,331     2,824
 * Ciena Corp.  47,659     2,716
 * MACOM Technology Solutions Holdings Inc.  26,810     2,368
   Cognex Corp.  59,556     2,349
 * Cirrus Logic Inc.  24,158     2,218
   Dolby Laboratories Inc. Class A  26,691     2,162
 * Aspen Technology Inc.  11,019     2,136
 * CommVault Systems Inc.  20,659     1,977
   Power Integrations Inc.  22,357     1,598
 * Blackbaud Inc.  21,002     1,453
 * Synaptics Inc.  12,631     1,264
 * Wolfspeed Inc.  46,315     1,205
 * IPG Photonics Corp.  10,460       903
          Shares Market
Value•

($000)
 * Calix Inc.  22,586       788
 * Allegro MicroSystems Inc.  19,519       615
                     158,478
Materials (5.8%)
   Reliance Inc.  45,187    14,515
   Eagle Materials Inc.  27,430     6,955
   RPM International Inc.  54,698     6,309
 * Axalta Coating Systems Ltd. 173,043     5,664
   AptarGroup Inc.  30,515     4,286
   Westlake Corp.  25,188     3,494
   NewMarket Corp.   5,429     3,484
   Crown Holdings Inc.  44,584     3,416
   Royal Gold Inc.  26,859     2,756
 * Arcadium Lithium plc 492,694     2,705
   Cabot Corp.  29,103     2,472
   Louisiana-Pacific Corp.  32,798     2,426
 * Knife River Corp.  31,578     2,340
   Olin Corp.  39,507     2,125
   Scotts Miracle-Gro Co.  12,416       816
 * MP Materials Corp.  45,259       688
                      64,451
Real Estate (4.6%)
   Equity LifeStyle Properties Inc.  93,793     6,314
   American Homes 4 Rent Class A 150,762     5,580
   Lamar Advertising Co. Class A  39,938     4,415
   CubeSmart  97,239     4,241
   Gaming & Leisure Properties Inc.  90,275     4,106
   EastGroup Properties Inc.  22,585     3,968
   Rexford Industrial Realty Inc.  64,731     3,293
   Park Hotels & Resorts Inc. 165,101     2,741
   STAG Industrial Inc.  71,380     2,651
   First Industrial Realty Trust Inc.  49,921     2,646
   Omega Healthcare Investors Inc.  78,976     2,458
   Brixmor Property Group Inc. 103,991     2,351
   NNN REIT Inc.  53,074     2,160
   EPR Properties  36,721     1,508
   Rayonier Inc.  40,763     1,403
   National Storage Affiliates Trust  29,768     1,066
   COPT Defense Properties  34,513       836
                      51,737
Utilities (1.7%)
   Vistra Corp. 264,259    14,413
   Essential Utilities Inc.  94,848     3,299
   IDACORP Inc.  15,520     1,367
                      19,079
Total Common Stocks
(Cost $837,825) 		1,110,118
 
41

 

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

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 5.400%
(Cost $1,835) 		 18,355          1,835
Total Investments (100.0%)
(Cost $839,660) 		  1,111,953
Other Assets and Liabilities—Net (0.0%)   (93)
Net Assets (100%)   1,111,860
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 $270,000.
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 $278,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2024 6 1,736 59
  
See accompanying Notes, which are an integral part of the Financial Statements.
42

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $837,825) 1,110,118
Affiliated Issuers (Cost $1,835) 1,835
Total Investments in Securities 1,111,953
Investment in Vanguard 31
Cash 4
Cash Collateral Pledged—Futures Contracts 110
Receivables for Investment Securities Sold 5,332
Receivables for Accrued Income 525
Receivables for Capital Shares Issued 10
Variation Margin Receivable—Futures Contracts 15
Total Assets 1,117,980
Liabilities  
Payables for Investment Securities Purchased 5,587
Collateral for Securities on Loan 278
Payables for Capital Shares Redeemed 199
Payables to Vanguard 56
Total Liabilities 6,120
Net Assets 1,111,860
1 Includes $270,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 1,167,213
Total Distributable Earnings (Loss) (55,353)
Net Assets 1,111,860
 
ETF Shares—Net Assets  
Applicable to 8,520,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		913,930
Net Asset Value Per Share—ETF Shares $107.27
 
Institutional Shares—Net Assets  
Applicable to 462,943 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		197,930
Net Asset Value Per Share—Institutional Shares $427.55
See accompanying Notes, which are an integral part of the Financial Statements.
43

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends 5,922
Interest1 20
Securities Lending—Net 3
Total Income 5,945
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 11
Management and Administrative—ETF Shares 524
Management and Administrative—Institutional Shares 61
Marketing and Distribution—ETF Shares 17
Marketing and Distribution—Institutional Shares 3
Custodian Fees 12
Shareholders’ Reports—ETF Shares 20
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 9
Total Expenses 657
Net Investment Income 5,288
Realized Net Gain (Loss)  
Investment Securities Sold1,2 7,502
Futures Contracts (2)
Realized Net Gain (Loss) 7,500
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 125,453
Futures Contracts 58
Change in Unrealized Appreciation (Depreciation) 125,511
Net Increase (Decrease) in Net Assets Resulting from Operations 138,299
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 $18,000, less than $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $11,793,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
44

 

S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 5,288   9,927
Realized Net Gain (Loss) 7,500   (60,206)
Change in Unrealized Appreciation (Depreciation) 125,511   145,247
Net Increase (Decrease) in Net Assets Resulting from Operations 138,299   94,968
Distributions      
ETF Shares (9,419)   (7,505)
Institutional Shares (2,206)   (1,358)
Total Distributions (11,625)   (8,863)
Capital Share Transactions      
ETF Shares 24,680   (11,158)
Institutional Shares (2,104)   37,423
Net Increase (Decrease) from Capital Share Transactions 22,576   26,265
Total Increase (Decrease) 149,250   112,370
Net Assets      
Beginning of Period 962,610   850,240
End of Period 1,111,860   962,610
See accompanying Notes, which are an integral part of the Financial Statements.
45

 

S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $94.90 $86.30 $102.72 $76.26 $68.85 $73.23
Investment Operations            
Net Investment Income2 .514 .988 .809 .526 .680 .760
Net Realized and Unrealized Gain (Loss) on Investments 12.983 8.500 (16.729) 26.594 7.591 (4.542)
Total from Investment Operations 13.497 9.488 (15.920) 27.120 8.271 (3.782)
Distributions            
Dividends from Net Investment Income (1.127) (.888) (.500) (.660) (.861) (.598)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.127) (.888) (.500) (.660) (.861) (.598)
Net Asset Value, End of Period $107.27 $94.90 $86.30 $102.72 $76.26 $68.85
Total Return 14.35% 11.12% -15.57% 35.70% 12.08% -5.08%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $914 $785 $725 $925 $774 $737
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.08% 1.12% 0.85% 0.57% 0.98% 1.13%
Portfolio Turnover Rate3 41% 48% 44% 40% 49% 40%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $378.38 $344.11 $409.55 $303.97 $274.38 $292.07
Investment Operations            
Net Investment Income1 2.176 4.208 3.533 2.347 2.925 3.242
Net Realized and Unrealized Gain (Loss) on Investments 51.745 33.855 (66.731) 106.033 30.247 (18.167)
Total from Investment Operations 53.921 38.063 (63.198) 108.380 33.172 (14.925)
Distributions            
Dividends from Net Investment Income (4.751) (3.793) (2.242) (2.800) (3.582) (2.765)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (4.751) (3.793) (2.242) (2.800) (3.582) (2.765)
Net Asset Value, End of Period $427.55 $378.38 $344.11 $409.55 $303.97 $274.38
Total Return 14.37% 11.21% -15.50% 35.80% 12.17% -5.02%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $198 $177 $125 $151 $213 $205
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.15% 1.19% 0.94% 0.65% 1.06% 1.20%
Portfolio Turnover Rate2 41% 48% 44% 40% 49% 40%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
47

 

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.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations,
48

 

S&P Mid-Cap 400 Growth Index Fund
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 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
49

 

S&P Mid-Cap 400 Growth Index Fund
borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, 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.
At February 29, 2024, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
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S&P Mid-Cap 400 Growth Index Fund
D.  As of February 29, 2024, 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 840,517
Gross Unrealized Appreciation 296,405
Gross Unrealized Depreciation (24,910)
Net Unrealized Appreciation (Depreciation) 271,495
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $333,098,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $397,802,000 of investment securities and sold $405,210,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $60,159,000 and $35,397,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $145,684,000 and sales were $261,401,000, resulting in net realized loss of $2,181,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 62,151 645   109,722 1,275
Issued in Lieu of Cash Distributions — —   — —
Redeemed (37,471) (400)   (120,880) (1,400)
Net Increase (Decrease)—ETF Shares 24,680 245   (11,158) (125)
Institutional Shares          
Issued 4,856 12   52,131 146
Issued in Lieu of Cash Distributions 2,206 6   1,358 4
Redeemed (9,166) (24)   (16,066) (45)
Net Increase (Decrease)—Institutional Shares (2,104) (6)   37,423 105
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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S&P Mid-Cap 400 Growth Index Fund
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
52

 

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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All rights reserved.
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Q18422 042024
Semiannual Report  |  February 29, 2024
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.

 

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

 

Six Months Ended February 29, 2024      
  Beginning
Account Value
8/31/2023 		Ending
Account Value
2/29/2024 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,119.40 $0.53
Institutional Shares 1,000.00 1,119.50 0.42
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,155.70 $0.54
Institutional Shares 1,000.00 1,155.80 0.43
Based on Hypothetical 5% Yearly Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 0.40
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 0.40
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P 500 Value Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2

 

S&P 500 Value Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 4.6%
Consumer Discretionary 5.8
Consumer Staples 10.0
Energy 6.3
Financials 22.6
Health Care 18.9
Industrials 11.3
Information Technology 8.2
Materials 3.5
Real Estate 4.2
Utilities 4.6
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
3

 

S&P 500 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (4.6%)
   Walt Disney Co.   434,619    48,495
   Comcast Corp. Class A   953,757    40,869
   Verizon Communications Inc.   998,686    39,967
   AT&T Inc. 1,698,472    28,755
   T-Mobile US Inc.   120,881    19,740
 * Warner Bros Discovery Inc.   526,768     4,630
   Electronic Arts Inc.    32,607     4,548
   Omnicom Group Inc.    46,931     4,148
 * Charter Communications Inc. Class A    12,927     3,800
   Interpublic Group of Cos. Inc.    90,835     2,852
 * Take-Two Interactive Software Inc.    18,721     2,751
   News Corp. Class A    98,895     2,658
 * Match Group Inc.    64,465     2,323
   Fox Corp. Class A    58,328     1,738
   Paramount Global Class B   114,413     1,263
   Fox Corp. Class B    32,416       888
   News Corp. Class B    18,906       529
                       209,954
Consumer Discretionary (5.8%)
   Home Depot Inc.   149,641    56,955
   Lowe's Cos. Inc.   137,072    32,989
   McDonald's Corp.    96,458    28,193
   NIKE Inc. Class B   165,653    17,216
   General Motors Co.   325,421    13,336
   Ford Motor Co.   934,659    11,627
   Starbucks Corp.   111,177    10,551
   TJX Cos. Inc.    95,051     9,423
 * Airbnb Inc. Class A    51,611     8,127
   eBay Inc.   123,616     5,845
 * Aptiv plc    67,106     5,334
   Yum! Brands Inc.    36,005     4,984
   Genuine Parts Co.    33,313     4,972
 * O'Reilly Automotive Inc.     3,811     4,144
   Lennar Corp. Class A    25,910     4,107
          Shares Market
Value•

($000)
 * AutoZone Inc.     1,296     3,896
   Tractor Supply Co.    14,889     3,787
   Best Buy Co. Inc.    45,938     3,715
   LKQ Corp.    63,457     3,318
 * CarMax Inc.    37,642     2,974
   Tapestry Inc.    54,345     2,583
   Bath & Body Works Inc.    53,923     2,464
   Darden Restaurants Inc.    13,783     2,353
   Garmin Ltd.    16,818     2,310
   Domino's Pizza Inc.     4,973     2,230
 * Ulta Beauty Inc.     3,961     2,173
   Las Vegas Sands Corp.    34,365     1,874
   BorgWarner Inc.    55,751     1,735
   Pool Corp.     3,952     1,573
   Hasbro Inc.    30,915     1,555
 * Mohawk Industries Inc.    12,540     1,487
   Whirlpool Corp.    12,995     1,396
   VF Corp.    78,380     1,281
 * Etsy Inc.    15,891     1,139
 * Carnival Corp.    68,986     1,094
 * Caesars Entertainment Inc.    21,615       940
 * MGM Resorts International    20,990       908
   Ralph Lauren Corp. Class A     4,266       793
   Lennar Corp. Class B       360        53
                       265,434
Consumer Staples (9.9%)
   Walmart Inc. 1,016,421    59,572
   Procter & Gamble Co.   341,519    54,281
   Costco Wholesale Corp.    60,987    45,368
   PepsiCo Inc.   209,015    34,559
   Coca-Cola Co.   563,836    33,842
   Philip Morris International Inc.   232,416    20,908
   Altria Group Inc.   419,888    17,178
   Target Corp.   109,704    16,776
   Mondelez International Inc. Class A   187,511    13,701
   Colgate-Palmolive Co.   119,193    10,313
   Kimberly-Clark Corp.    80,196     9,717
   Sysco Corp.   119,934     9,711
   Constellation Brands Inc. Class A    38,376     9,537
4

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   General Mills Inc.   138,005     8,857
   Estee Lauder Cos. Inc. Class A    55,126     8,191
   Kroger Co.   157,149     7,796
   Kenvue Inc.   409,323     7,777
   Dollar General Corp.    52,116     7,573
 * Dollar Tree Inc.    49,650     7,283
   Keurig Dr Pepper Inc.   239,064     7,150
   Archer-Daniels-Midland Co.   126,743     6,731
   Kraft Heinz Co.   189,401     6,682
   Clorox Co.    29,495     4,522
   Hershey Co.    22,094     4,152
 * Monster Beverage Corp.    70,106     4,143
   McCormick & Co. Inc. (Non-Voting)    59,776     4,116
   Tyson Foods Inc. Class A    67,641     3,669
   Walgreens Boots Alliance Inc.   170,047     3,615
   Kellanova    62,771     3,462
   Bunge Global SA    34,405     3,247
   Conagra Brands Inc.   113,347     3,183
   Church & Dwight Co. Inc.    31,692     3,173
   J M Smucker Co.    25,174     3,025
   Molson Coors Beverage Co. Class B    43,933     2,742
   Brown-Forman Corp. Class B    43,662     2,630
   Hormel Foods Corp.    69,217     2,445
   Campbell Soup Co.    46,442     1,980
   Lamb Weston Holdings Inc.    11,626     1,188
                       454,795
Energy (6.3%)
   Exxon Mobil Corp.   951,366    99,437
   Chevron Corp.   416,952    63,381
   Schlumberger NV   339,216    16,394
   Phillips 66   104,564    14,901
   Valero Energy Corp.    80,802    11,430
   ConocoPhillips    87,360     9,832
   Occidental Petroleum Corp.   156,712     9,498
   Kinder Morgan Inc.   459,200     7,986
   Halliburton Co.   212,640     7,457
   Baker Hughes Co. Class A   239,453     7,085
   Marathon Petroleum Corp.    40,544     6,861
   Devon Energy Corp.   152,196     6,706
   Pioneer Natural Resources Co.    27,687     6,512
   Williams Cos. Inc.   176,667     6,349
   EOG Resources Inc.    47,058     5,386
   ONEOK Inc.    52,564     3,949
   EQT Corp.    97,646     3,628
   Marathon Oil Corp.    65,898     1,598
   Coterra Energy Inc.    61,259     1,579
                       289,969
          Shares Market
Value•

($000)
Financials (22.5%)
 * Berkshire Hathaway Inc. Class B   432,153   176,923
   JPMorgan Chase & Co.   686,676   127,763
   Bank of America Corp. 1,635,210    56,447
   Wells Fargo & Co.   862,523    47,948
   Visa Inc. Class A   128,689    36,373
   Goldman Sachs Group Inc.    77,466    30,138
   BlackRock Inc.    33,211    26,945
   Mastercard Inc. Class A    55,072    26,146
   Morgan Stanley   300,212    25,830
   Citigroup Inc.   454,607    25,226
   Chubb Ltd.    96,912    24,390
   Charles Schwab Corp.   353,542    23,610
   Intercontinental Exchange Inc.   135,893    18,810
   S&P Global Inc.    43,115    18,470
   US Bancorp   369,705    15,513
 * PayPal Holdings Inc.   256,280    15,464
   PNC Financial Services Group Inc.    94,593    13,924
   Progressive Corp.    69,423    13,160
   Capital One Financial Corp.    90,475    12,450
   American International Group Inc.   166,844    12,161
   CME Group Inc.    54,683    12,049
   Travelers Cos. Inc.    54,283    11,994
   Marsh & McLennan Cos. Inc.    56,169    11,361
   Truist Financial Corp.   316,951    11,087
   MetLife Inc.   147,593    10,293
   Bank of New York Mellon Corp.   182,526    10,238
 * Fiserv Inc.    68,394    10,209
   Aflac Inc.   126,405    10,206
   Allstate Corp.    62,202     9,922
   Fidelity National Information Services Inc.   140,636     9,731
   Prudential Financial Inc.    85,853     9,357
   American Express Co.    40,999     8,996
   Global Payments Inc.    61,942     8,034
   Moody's Corp.    19,796     7,511
   Aon plc Class A    23,303     7,364
   Hartford Financial Services Group Inc.    71,439     6,847
   Willis Towers Watson plc    24,561     6,696
   Arthur J Gallagher & Co.    25,162     6,138
   Blackstone Inc.    47,180     6,031
   T. Rowe Price Group Inc.    53,007     6,008
   Fifth Third Bancorp   162,180     5,569
   M&T Bank Corp.    39,506     5,521
   State Street Corp.    73,183     5,396
   Raymond James Financial Inc.    44,607     5,367
   Ameriprise Financial Inc.    11,295     4,601
   Nasdaq Inc.    80,855     4,544
 
5

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   MSCI Inc. Class A     8,083     4,534
   Huntington Bancshares Inc.   344,439     4,491
   Cincinnati Financial Corp.    37,199     4,241
   Principal Financial Group Inc.    52,158     4,217
   Regions Financial Corp.   220,580     4,109
   Synchrony Financial    98,139     4,053
   W R Berkley Corp.    48,408     4,047
   Northern Trust Corp.    49,099     4,033
   Everest Group Ltd.    10,336     3,813
   Citizens Financial Group Inc.   110,586     3,471
   Discover Financial Services    27,274     3,292
   Loews Corp.    43,413     3,262
   KeyCorp   222,031     3,168
   Jack Henry & Associates Inc.    17,317     3,009
   Globe Life Inc.    20,408     2,590
   Assurant Inc.    12,480     2,265
   FactSet Research Systems Inc.     4,794     2,218
   MarketAxess Holdings Inc.     8,988     1,918
   Franklin Resources Inc.    66,843     1,835
   Cboe Global Markets Inc.     9,029     1,734
   Invesco Ltd.   106,609     1,643
   Comerica Inc.    31,289     1,545
   Zions Bancorp NA    35,120     1,385
   Brown & Brown Inc.    12,390     1,043
                     1,030,677
Health Care (18.9%)
   Johnson & Johnson   571,825    92,281
   UnitedHealth Group Inc.   136,211    67,234
   Abbott Laboratories   412,315    48,917
   AbbVie Inc.   264,214    46,515
   Merck & Co. Inc.   361,168    45,923
   Danaher Corp.   156,212    39,544
   Pfizer Inc. 1,341,316    35,625
   Amgen Inc.   127,123    34,810
   Thermo Fisher Scientific Inc.    56,904    32,446
   Elevance Health Inc.    55,810    27,975
   Medtronic plc   316,200    26,358
   Bristol-Myers Squibb Co.   483,373    24,531
   Cigna Group    69,517    23,367
   CVS Health Corp.   305,124    22,692
   Gilead Sciences Inc.   295,990    21,341
   McKesson Corp.    31,601    16,477
   Becton Dickinson & Co.    68,867    16,222
 * Intuitive Surgical Inc.    28,423    10,960
 * Boston Scientific Corp.   156,634    10,371
   Humana Inc.    29,273    10,255
   Stryker Corp.    28,889    10,084
 * Centene Corp.   126,808     9,946
 * Regeneron Pharmaceuticals Inc.    10,184     9,839
          Shares Market
Value•

($000)
   Zoetis Inc. Class A    49,037     9,726
   Agilent Technologies Inc.    69,497     9,546
   Cencora Inc.    39,583     9,326
 * Vertex Pharmaceuticals Inc.    22,021     9,265
   GE HealthCare Technologies Inc.    96,158     8,777
 * Edwards Lifesciences Corp.    90,753     7,702
   HCA Healthcare Inc.    24,479     7,630
 * Biogen Inc.    34,421     7,469
 * Moderna Inc.    78,730     7,262
 * IQVIA Holdings Inc.    26,995     6,672
   Cardinal Health Inc.    58,447     6,545
   Zimmer Biomet Holdings Inc.    49,742     6,186
   ResMed Inc.    34,921     6,066
 * Illumina Inc.    37,672     5,268
 * IDEXX Laboratories Inc.     8,672     4,988
   Baxter International Inc.   120,310     4,923
   Laboratory Corp. of America Holdings    20,133     4,345
 * Hologic Inc.    58,102     4,288
 * Dexcom Inc.    35,771     4,116
 * Mettler-Toledo International Inc.     3,200     3,991
   Viatris Inc.   284,494     3,519
   Quest Diagnostics Inc.    26,741     3,340
   Revvity Inc.    29,282     3,209
 * Charles River Laboratories International Inc.    12,188     3,098
 * Waters Corp.     8,851     2,987
   Bio-Techne Corp.    37,434     2,754
 * Incyte Corp.    44,222     2,581
   Cooper Cos. Inc.    27,270     2,552
   Teleflex Inc.    11,166     2,488
 * Catalent Inc.    42,745     2,451
   Universal Health Services Inc. Class B    14,481     2,419
   STERIS plc    10,288     2,396
 * Henry Schein Inc.    30,953     2,367
 * Align Technology Inc.     7,633     2,308
 * Molina Healthcare Inc.     5,682     2,238
 * Insulet Corp.    10,230     1,678
   DENTSPLY SIRONA Inc.    50,263     1,643
 * Bio-Rad Laboratories Inc. Class A     4,978     1,622
 * DaVita Inc.     5,760       731
                       864,185
Industrials (11.3%)
   Honeywell International Inc.   156,574    31,116
   RTX Corp.   341,495    30,622
   United Parcel Service Inc. Class B   171,832    25,476
   General Electric Co.   147,411    23,127
 
6

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Lockheed Martin Corp.    52,460    22,465
   Union Pacific Corp.    79,677    20,213
   Caterpillar Inc.    50,873    16,990
   Northrop Grumman Corp.    33,663    15,519
 * Boeing Co.    75,616    15,405
   Automatic Data Processing Inc.    59,565    14,958
   General Dynamics Corp.    53,791    14,698
   FedEx Corp.    54,959    13,683
   Norfolk Southern Corp.    53,726    13,613
   3M Co.   131,104    12,077
   Emerson Electric Co.    99,347    10,615
   Eaton Corp. plc    36,035    10,414
   Deere & Co.    27,338     9,980
   L3Harris Technologies Inc.    44,996     9,524
   Waste Management Inc.    46,123     9,485
   Illinois Tool Works Inc.    35,125     9,208
 1 Cummins Inc.    33,711     9,055
   CSX Corp.   234,402     8,893
   Xylem Inc.    57,368     7,289
   Johnson Controls International plc   112,724     6,681
   Westinghouse Air Brake Technologies Corp.    42,641     6,025
   Cintas Corp.     9,246     5,812
   Carrier Global Corp.   103,716     5,765
   Otis Worldwide Corp.    59,300     5,651
   Paychex Inc.    45,822     5,619
   Dover Corp.    33,155     5,483
   AMETEK Inc.    28,460     5,128
   Fastenal Co.    67,753     4,947
   Equifax Inc.    17,901     4,898
   Southwest Airlines Co.   141,372     4,845
   Trane Technologies plc    16,850     4,751
   Veralto Corp.    52,021     4,496
   Jacobs Solutions Inc.    29,849     4,377
   IDEX Corp.    17,982     4,242
   Leidos Holdings Inc.    32,706     4,182
   Textron Inc.    46,485     4,140
   Rockwell Automation Inc.    14,184     4,044
   JB Hunt Transport Services Inc.    19,323     3,987
   Republic Services Inc. Class A    20,870     3,832
   Verisk Analytics Inc. Class A    15,508     3,751
   PACCAR Inc.    33,641     3,730
   Parker-Hannifin Corp.     6,720     3,598
 * United Airlines Holdings Inc.    77,793     3,539
   Nordson Corp.    12,834     3,409
   Stanley Black & Decker Inc.    36,345     3,245
   Delta Air Lines Inc.    67,475     2,852
   Huntington Ingalls Industries Inc.     9,423     2,748
          Shares Market
Value•

($000)
   Hubbell Inc. Class B     6,908     2,630
   Expeditors International of Washington Inc.    21,814     2,609
   Howmet Aerospace Inc.    39,188     2,608
   Quanta Services Inc.    10,730     2,591
   WW Grainger Inc.     2,610     2,541
   Broadridge Financial Solutions Inc.    11,992     2,441
 * American Airlines Group Inc.   154,994     2,430
   CH Robinson Worldwide Inc.    27,579     2,043
   Robert Half Inc.    25,126     2,020
   Ingersoll Rand Inc.    22,059     2,015
   Snap-on Inc.     6,909     1,905
   Masco Corp.    24,437     1,876
   Rollins Inc.    38,316     1,689
   Allegion plc    12,934     1,654
   Paycom Software Inc.     6,703     1,223
 * Dayforce Inc.    16,756     1,169
   Pentair plc    11,884       924
   A O Smith Corp.    10,860       900
 * Generac Holdings Inc.     5,707       642
                       516,112
Information Technology (8.2%)
   Cisco Systems Inc.   962,035    46,534
   Intel Corp. 1,001,279    43,105
   International Business Machines Corp.   216,877    40,129
   Accenture plc Class A    68,586    25,705
   Micron Technology Inc.   260,901    23,640
   Texas Instruments Inc.   135,958    22,750
   QUALCOMM Inc.   126,833    20,013
   Cognizant Technology Solutions Corp. Class A   119,229     9,421
   Analog Devices Inc.    48,535     9,310
   Roper Technologies Inc.    14,480     7,888
   Amphenol Corp. Class A    62,588     6,837
 * Keysight Technologies Inc.    42,212     6,513
   TE Connectivity Ltd.    45,086     6,473
 * Autodesk Inc.    24,323     6,279
   Corning Inc.   182,496     5,884
   HP Inc.   206,243     5,843
   Motorola Solutions Inc.    16,554     5,469
 * Teledyne Technologies Inc.    11,209     4,789
   Hewlett Packard Enterprise Co.   304,248     4,634
 * Western Digital Corp.    76,899     4,573
   CDW Corp.    18,466     4,546
 * ON Semiconductor Corp.    57,294     4,522
   Microchip Technology Inc.    52,703     4,434
   Skyworks Solutions Inc.    37,811     3,967
 * First Solar Inc.    25,380     3,906
   NXP Semiconductors NV    15,332     3,829
   Teradyne Inc.    36,373     3,768
 * Trimble Inc.    58,999     3,610
 
7

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
 * Zebra Technologies Corp. Class A    12,202     3,410
 * ANSYS Inc.     8,885     2,969
   Gen Digital Inc.   134,426     2,889
   Juniper Networks Inc.    75,640     2,801
   NetApp Inc.    31,321     2,791
 * F5 Inc.    14,142     2,648
 * Qorvo Inc.    23,095     2,646
 * Enphase Energy Inc.    20,483     2,602
   Seagate Technology Holdings plc    27,336     2,544
 * EPAM Systems Inc.     8,201     2,496
 * VeriSign Inc.    10,939     2,136
 * Akamai Technologies Inc.    19,044     2,112
 * PTC Inc.    11,233     2,056
   Jabil Inc.    14,041     2,023
                       374,494
Materials (3.4%)
   Linde plc    55,278    24,810
   Air Products and Chemicals Inc.    52,824    12,363
   Dow Inc.   166,534     9,306
   Sherwin-Williams Co.    27,955     9,282
   Corteva Inc.   167,295     8,954
   Newmont Corp.   273,566     8,549
   PPG Industries Inc.    55,984     7,927
   DuPont de Nemours Inc.   102,086     7,063
   Ecolab Inc.    29,562     6,647
   Freeport-McMoRan Inc.   170,294     6,439
   LyondellBasell Industries NV Class A    61,009     6,118
   Ball Corp.    74,837     4,791
   International Flavors & Fragrances Inc.    60,803     4,591
   Nucor Corp.    21,573     4,148
   Avery Dennison Corp.    19,096     4,135
   Packaging Corp. of America    21,250     3,850
   Albemarle Corp.    27,883     3,844
   Amcor plc   342,786     3,106
   Vulcan Materials Co.    11,366     3,022
   International Paper Co.    82,072     2,902
   Martin Marietta Materials Inc.     4,980     2,877
   Westrock Co.    60,825     2,755
   Eastman Chemical Co.    28,133     2,468
   Mosaic Co.    77,743     2,422
   Steel Dynamics Inc.    13,480     1,804
   CF Industries Holdings Inc.    21,042     1,698
   FMC Corp.    29,865     1,684
                       157,555
Real Estate (4.2%)
   Prologis Inc.   219,484    29,251
   American Tower Corp.    65,352    12,996
   Welltower Inc.   131,498    12,119
          Shares Market
Value•

($000)
   Crown Castle Inc.   103,232    11,349
   Equinix Inc.    11,812    10,499
   Realty Income Corp.   197,497    10,291
   VICI Properties Inc. Class A   245,837     7,358
   Simon Property Group Inc.    48,809     7,230
   Extra Space Storage Inc.    50,174     7,073
 * CBRE Group Inc. Class A    72,539     6,665
   Digital Realty Trust Inc.    42,455     6,233
   Public Storage    21,826     6,196
   AvalonBay Communities Inc.    33,693     5,965
   Weyerhaeuser Co.   173,286     5,957
   Equity Residential    81,960     4,935
 * CoStar Group Inc.    55,256     4,809
   Alexandria Real Estate Equities Inc.    37,272     4,649
   Invitation Homes Inc.   136,409     4,647
   Ventas Inc.    95,442     4,036
   Essex Property Trust Inc.    15,303     3,541
   Mid-America Apartment Communities Inc.    27,664     3,477
   SBA Communications Corp. Class A    15,353     3,212
   Kimco Realty Corp.   158,587     3,134
   Healthpeak Properties Inc.   168,103     2,816
   Iron Mountain Inc.    33,884     2,665
   UDR Inc.    71,768     2,548
   Regency Centers Corp.    38,964     2,414
   Camden Property Trust    25,324     2,393
   Boston Properties Inc.    34,224     2,215
   Federal Realty Investment Trust    17,414     1,756
   Host Hotels & Resorts Inc.    67,378     1,397
                       193,826
Utilities (4.6%)
   NextEra Energy Inc.   487,321    26,895
   Southern Co.   259,211    17,432
   Duke Energy Corp.   182,965    16,802
   American Electric Power Co. Inc.   124,781    10,630
   Sempra   149,597    10,562
   Dominion Energy Inc.   198,615     9,500
   PG&E Corp.   507,340     8,468
   Exelon Corp.   236,247     8,467
   Public Service Enterprise Group Inc.   118,563     7,398
   Consolidated Edison Inc.    82,161     7,165
   Constellation Energy Corp.    41,763     7,035
   Xcel Energy Inc.   130,994     6,902
   Edison International    90,892     6,182
   WEC Energy Group Inc.    74,934     5,882
   American Water Works Co. Inc.    46,188     5,475
   DTE Energy Co.    48,988     5,308
   Entergy Corp.    50,146     5,093
 
8

 

S&P 500 Value Index Fund
          Shares Market
Value•

($000)
   Eversource Energy    83,107     4,878
   PPL Corp.   175,312     4,623
   FirstEnergy Corp.   122,473     4,484
   Ameren Corp.    62,352     4,439
   CenterPoint Energy Inc.   149,704     4,117
   Atmos Energy Corp.    35,291     3,985
   CMS Energy Corp.    69,197     3,970
   NRG Energy Inc.    53,866     2,980
   Alliant Energy Corp.    60,499     2,889
   Evergy Inc.    54,711     2,710
   NiSource Inc.    98,011     2,554
   AES Corp.   159,679     2,427
   Pinnacle West Capital Corp.    26,886     1,837
                       211,089
Total Common Stocks
(Cost $4,130,477) 		4,568,090
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3 Vanguard Market Liquidity Fund, 5.400%
(Cost $4,031) 		   40,316          4,031
Total Investments (99.8%)
(Cost $4,134,508) 		  4,572,121
Other Assets and Liabilities—Net (0.2%)   10,055
Net Assets (100%)   4,582,176
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,128,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $1,159,000 was received for securities on loan.
9

 

S&P 500 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index March 2024 28 7,145 89
    
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 3,302 (5.326) 549 —
Johnson Controls Inc. 8/30/24 BANA 2,582 (5.326) 312 —
          861 —
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.
At February 29, 2024, the counterparties had deposited in segregated accounts securities with a value of $546,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

S&P 500 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,130,477) 4,568,090
Affiliated Issuers (Cost $4,031) 4,031
Total Investments in Securities 4,572,121
Investment in Vanguard 138
Cash 18
Cash Collateral Pledged—Futures Contracts 290
Receivables for Accrued Income 10,728
Receivables for Capital Shares Issued 2
Variation Margin Receivable—Futures Contracts 28
Unrealized Appreciation—Over-the-Counter Swap Contracts 861
Total Assets 4,584,186
Liabilities  
Payables for Investment Securities Purchased 678
Collateral for Securities on Loan 1,159
Payables to Vanguard 173
Total Liabilities 2,010
Net Assets 4,582,176
1 Includes $1,128,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 4,046,099
Total Distributable Earnings (Loss) 536,077
Net Assets 4,582,176
 
ETF Shares—Net Assets  
Applicable to 25,250,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		4,382,310
Net Asset Value Per Share—ETF Shares $173.56
 
Institutional Shares—Net Assets  
Applicable to 525,057 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		199,866
Net Asset Value Per Share—Institutional Shares $380.66
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

S&P 500 Value Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 43,462
Interest2 256
Securities Lending—Net —
Total Income 43,718
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 46
Management and Administrative—ETF Shares 1,676
Management and Administrative—Institutional Shares 66
Marketing and Distribution—ETF Shares 103
Marketing and Distribution—Institutional Shares 3
Custodian Fees 25
Shareholders’ Reports—ETF Shares 54
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 1
Other Expenses 9
Total Expenses 1,983
Net Investment Income 41,735
Realized Net Gain (Loss)  
Investment Securities Sold2,3 333,476
Futures Contracts 1,089
Swap Contracts (609)
Realized Net Gain (Loss) 333,956
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 107,442
Futures Contracts (61)
Swap Contracts 861
Change in Unrealized Appreciation (Depreciation) 108,242
Net Increase (Decrease) in Net Assets Resulting from Operations 483,933
1 Dividends are net of foreign withholding taxes of $7,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $245,000, ($2,000), less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $443,646,000 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 500 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 41,735   68,345
Realized Net Gain (Loss) 333,956   132,065
Change in Unrealized Appreciation (Depreciation) 108,242   298,885
Net Increase (Decrease) in Net Assets Resulting from Operations 483,933   499,295
Distributions      
ETF Shares (37,604)   (64,844)
Institutional Shares (1,851)   (3,620)
Total Distributions (39,455)   (68,464)
Capital Share Transactions      
ETF Shares 398,501   350,557
Institutional Shares 1,536   (12,596)
Net Increase (Decrease) from Capital Share Transactions 400,037   337,961
Total Increase (Decrease) 844,515   768,792
Net Assets      
Beginning of Period 3,737,661   2,968,869
End of Period 4,582,176   3,737,661
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

S&P 500 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $156.61 $136.61 $146.23 $112.29 $111.46 $111.93
Investment Operations            
Net Investment Income1 1.655 2.984 3.029 2.897 2.984 2.694
Net Realized and Unrealized Gain (Loss) on Investments 16.882 20.032 (9.703) 33.786 .683 (.511)
Total from Investment Operations 18.537 23.016 (6.674) 36.683 3.667 2.183
Distributions            
Dividends from Net Investment Income (1.587) (3.016) (2.946) (2.743) (2.837) (2.653)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.587) (3.016) (2.946) (2.743) (2.837) (2.653)
Net Asset Value, End of Period $173.56 $156.61 $136.61 $146.23 $112.29 $111.46
Total Return 11.94% 17.15% -4.63% 33.10% 3.33% 2.05%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,382 $3,559 $2,801 $2,351 $1,244 $984
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%2 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.06% 2.05% 2.10% 2.19% 2.66% 2.48%
Portfolio Turnover Rate3 31% 27% 16% 18% 31% 28%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

S&P 500 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $343.49 $299.63 $320.71 $246.27 $244.40 $245.49
Investment Operations            
Net Investment Income1 3.636 6.624 6.731 6.402 6.596 5.950
Net Realized and Unrealized Gain (Loss) on Investments 37.048 43.912 (21.295) 74.102 1.491 (1.115)
Total from Investment Operations 40.684 50.536 (14.564) 80.504 8.087 4.835
Distributions            
Dividends from Net Investment Income (3.514) (6.676) (6.516) (6.064) (6.217) (5.925)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (3.514) (6.676) (6.516) (6.064) (6.217) (5.925)
Net Asset Value, End of Period $380.66 $343.49 $299.63 $320.71 $246.27 $244.40
Total Return 11.95% 17.19% -4.60% 33.14% 3.39% 2.07%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $200 $179 $168 $175 $102 $94
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.06% 2.08% 2.12% 2.22% 2.68% 2.50%
Portfolio Turnover Rate3 31% 27% 16% 18% 31% 28%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, 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
16

 

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 six months ended February 29, 2024, 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.
17

 

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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
18

 

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 February 29, 2024, the fund had contributed to Vanguard capital in the amount of $138,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
19

 

S&P 500 Value Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 4,568,090 — — 4,568,090
Temporary Cash Investments 4,031 — — 4,031
Total 4,572,121 — — 4,572,121
Derivative Financial Instruments        
Assets        
Futures Contracts1 89 — — 89
Swap Contracts — 861 — 861
Total 89 861 — 950
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 4,136,944
Gross Unrealized Appreciation 573,642
Gross Unrealized Depreciation (137,515)
Net Unrealized Appreciation (Depreciation) 436,127
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $248,433,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $1,262,777,000 of investment securities and sold $1,241,279,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $1,530,034,000 and $1,148,324,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $993,740,000 and sales were $570,560,000, resulting in net realized loss of $4,512,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
20

 

S&P 500 Value Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 1,560,256 9,500   1,346,221 9,325
Issued in Lieu of Cash Distributions — —   — —
Redeemed (1,161,755) (6,975)   (995,664) (7,100)
Net Increase (Decrease)—ETF Shares 398,501 2,525   350,557 2,225
Institutional Shares          
Issued 7,572 22   38,239 115
Issued in Lieu of Cash Distributions 1,685 5   3,360 11
Redeemed (7,721) (22)   (54,195) (168)
Net Increase (Decrease)—Institutional Shares 1,536 5   (12,596) (42)
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
21

 

S&P 500 Growth Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 12.4%
Consumer Discretionary 14.6
Consumer Staples 2.7
Energy 1.6
Financials 5.2
Health Care 7.3
Industrials 6.5
Information Technology 47.5
Materials 1.4
Real Estate 0.7
Utilities 0.1
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.
22

 

S&P 500 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (12.4%)
   Meta Platforms Inc. Class A   941,537    461,476
 * Alphabet Inc. Class A 2,510,255    347,570
 * Alphabet Inc. Class C 2,112,714    295,315
 * Netflix Inc.   185,503    111,844
   Electronic Arts Inc.    45,672      6,370
 * Live Nation Entertainment Inc.    60,137      5,832
 * Charter Communications Inc. Class A    19,628      5,769
 * Take-Two Interactive Software Inc.    33,514      4,924
                      1,239,100
Consumer Discretionary (14.5%)
 * Amazon.com Inc. 3,857,425    681,838
 * Tesla Inc. 1,173,144    236,834
   Home Depot Inc.   156,957     59,739
 * Booking Holdings Inc.    14,798     51,332
   McDonald's Corp.   135,398     39,574
 * Chipotle Mexican Grill Inc. Class A    11,647     31,316
   TJX Cos. Inc.   315,433     31,272
   Starbucks Corp.   286,015     27,143
   Marriott International Inc. Class A   104,714     26,165
   NIKE Inc. Class B   223,108     23,188
 * Lululemon Athletica Inc.    48,841     22,813
   Hilton Worldwide Holdings Inc.   108,902     22,251
   Ross Stores Inc.   143,531     21,380
 * O'Reilly Automotive Inc.    18,321     19,923
   DR Horton Inc.   128,031     19,133
 * AutoZone Inc.     5,156     15,499
 * Airbnb Inc. Class A    92,239     14,525
 * Royal Caribbean Cruises Ltd.    99,927     12,326
   PulteGroup Inc.    91,397      9,906
 * NVR Inc.     1,294      9,867
   Lennar Corp. Class A    59,404      9,416
 * Expedia Group Inc.    56,520      7,733
          Shares Market
Value•

($000)
   Yum! Brands Inc.    54,765      7,581
 * Ulta Beauty Inc.    13,767      7,552
   Las Vegas Sands Corp.    95,433      5,203
   Tractor Supply Co.    19,299      4,908
   Garmin Ltd.    35,034      4,812
 * Carnival Corp.   303,211      4,809
   Darden Restaurants Inc.    26,525      4,528
   Wynn Resorts Ltd.    40,675      4,279
   Pool Corp.     9,413      3,748
 * Norwegian Cruise Line Holdings Ltd.   180,318      3,496
 * MGM Resorts International    78,756      3,409
   Domino's Pizza Inc.     5,972      2,678
 * Caesars Entertainment Inc.    53,045      2,306
   Ralph Lauren Corp. Class A     9,297      1,728
 * Etsy Inc.    22,448      1,609
                      1,455,819
Consumer Staples (2.7%)
   Procter & Gamble Co.   389,887     61,969
   Costco Wholesale Corp.    78,860     58,663
   Coca-Cola Co.   643,606     38,629
   PepsiCo Inc.   209,950     34,713
   Philip Morris International Inc.   243,720     21,925
   Mondelez International Inc. Class A   242,404     17,712
   Colgate-Palmolive Co.   136,153     11,780
 * Monster Beverage Corp.   188,136     11,119
   Church & Dwight Co. Inc.    48,052      4,811
   Hershey Co.    24,121      4,533
   Lamb Weston Holdings Inc.    40,578      4,148
                        270,002
Energy (1.5%)
   ConocoPhillips   347,520     39,110
   EOG Resources Inc.   163,271     18,688
   Hess Corp.   117,265     17,091
   Marathon Petroleum Corp.    88,581     14,990
   Diamondback Energy Inc.    75,898     13,853
   Pioneer Natural Resources Co.    49,508     11,644
23

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   ONEOK Inc.   153,259     11,513
   Targa Resources Corp.    94,621      9,295
   Williams Cos. Inc.   201,217      7,232
   Coterra Energy Inc.   210,620      5,430
   APA Corp.   129,942      3,871
   Marathon Oil Corp.   131,664      3,193
                        155,910
Financials (5.2%)
   Visa Inc. Class A   446,238    126,125
   Mastercard Inc. Class A   252,883    120,059
   American Express Co.   170,947     37,509
   Blackstone Inc.   217,088     27,748
   S&P Global Inc.    60,411     25,879
   Progressive Corp.   124,063     23,518
   Marsh & McLennan Cos. Inc.   108,722     21,991
 * Fiserv Inc.   132,397     19,763
 * Arch Capital Group Ltd.   158,347     13,870
   Aon plc Class A    43,312     13,686
   CME Group Inc.    54,936     12,105
   Moody's Corp.    31,420     11,921
   Arthur J Gallagher & Co.    46,713     11,395
   MSCI Inc. Class A    19,103     10,716
   Ameriprise Financial Inc.    22,802      9,289
 * FleetCor Technologies Inc.    30,652      8,560
   Discover Financial Services    57,263      6,912
   Brown & Brown Inc.    78,354      6,598
   Cboe Global Markets Inc.    28,626      5,496
   FactSet Research Systems Inc.     7,593      3,512
                        516,652
Health Care (7.3%)
   Eli Lilly & Co.   338,275    254,951
   UnitedHealth Group Inc.   149,063     73,578
   Merck & Co. Inc.   429,938     54,667
   AbbVie Inc.   277,084     48,781
 * Intuitive Surgical Inc.    98,597     38,019
   Thermo Fisher Scientific Inc.    62,260     35,499
   Stryker Corp.    91,720     32,017
 * Vertex Pharmaceuticals Inc.    69,965     29,437
 * Regeneron Pharmaceuticals Inc.    27,244     26,320
 * Boston Scientific Corp.   341,774     22,629
   Zoetis Inc. Class A   107,020     21,225
   HCA Healthcare Inc.    40,328     12,570
 * Dexcom Inc.   100,018     11,509
 * IDEXX Laboratories Inc.    19,763     11,368
   West Pharmaceutical Services Inc.    31,375     11,244
 * Edwards Lifesciences Corp.    95,116      8,072
 * IQVIA Holdings Inc.    29,555      7,305
 * Molina Healthcare Inc.    14,612      5,756
          Shares Market
Value•

($000)
   STERIS plc    23,448      5,461
 * Align Technology Inc.    16,608      5,023
 * Mettler-Toledo International Inc.     3,489      4,352
   Cooper Cos. Inc.    35,205      3,295
 * Waters Corp.     9,313      3,142
 * Insulet Corp.    11,287      1,851
 * DaVita Inc.    12,589      1,598
                        729,669
Industrials (6.5%)
 * Uber Technologies Inc.   872,259     69,345
   Caterpillar Inc.   125,531     41,922
   General Electric Co.   198,376     31,123
   Eaton Corp. plc   104,941     30,328
   Union Pacific Corp.   116,420     29,535
   TransDigm Group Inc.    23,469     27,640
   Parker-Hannifin Corp.    42,445     22,727
 * Boeing Co.   106,086     21,612
   United Rentals Inc.    28,715     19,907
 * Copart Inc.   370,859     19,711
   Deere & Co.    51,791     18,906
   Trane Technologies plc    66,796     18,834
   PACCAR Inc.   161,849     17,947
   Automatic Data Processing Inc.    68,070     17,094
   Old Dominion Freight Line Inc.    37,992     16,811
   CSX Corp.   419,453     15,914
   Waste Management Inc.    73,069     15,027
   Illinois Tool Works Inc.    53,471     14,017
   WW Grainger Inc.    14,032     13,660
   Cintas Corp.    20,199     12,697
   Fortive Corp.   148,946     12,680
   Ingersoll Rand Inc.   132,104     12,065
   Quanta Services Inc.    42,527     10,271
 * Builders FirstSource Inc.    52,281     10,204
   Carrier Global Corp.   170,692      9,487
 * Axon Enterprise Inc.    29,904      9,192
   Republic Services Inc. Class A    49,461      9,081
   Fastenal Co.   121,275      8,854
   AMETEK Inc.    47,017      8,472
   Verisk Analytics Inc. Class A    33,820      8,181
   Paychex Inc.    54,612      6,697
   Rockwell Automation Inc.    23,332      6,651
   Delta Air Lines Inc.   152,764      6,457
   Otis Worldwide Corp.    67,676      6,450
   Howmet Aerospace Inc.    96,186      6,401
   Broadridge Financial Solutions Inc.    28,409      5,783
   Equifax Inc.    20,373      5,574
   Hubbell Inc. Class B    10,463      3,983
   Masco Corp.    51,678      3,967
   Pentair plc    49,032      3,814
   Snap-on Inc.    10,121      2,790
 
24

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
   Expeditors International of Washington Inc.    22,885      2,737
   A O Smith Corp.    32,822      2,721
 * Dayforce Inc.    36,376      2,538
   Rollins Inc.    51,172      2,255
   Allegion plc    14,114      1,805
 * Generac Holdings Inc.    15,915      1,791
   Paycom Software Inc.     8,893      1,622
                        647,280
Information Technology (47.4%)
   Microsoft Corp. 3,152,571  1,304,029
   Apple Inc. 6,201,214  1,120,869
   NVIDIA Corp. 1,047,703    828,859
   Broadcom Inc.   186,205    242,158
 * Advanced Micro Devices Inc.   685,333    131,947
 * Salesforce Inc.   412,404    127,359
 * Adobe Inc.   193,159    108,223
   Intuit Inc.   118,879     78,804
   Oracle Corp.   674,001     75,272
   Applied Materials Inc.   354,860     71,547
 * ServiceNow Inc.    86,963     67,078
   Accenture plc Class A   143,771     53,883
   Lam Research Corp.    55,884     52,433
 * Palo Alto Networks Inc.   131,856     40,948
   KLA Corp.    57,692     39,363
   QUALCOMM Inc.   245,493     38,736
 * Synopsys Inc.    64,553     37,036
 * Cadence Design Systems Inc.   115,426     35,133
 * Arista Networks Inc.   106,904     29,670
   Analog Devices Inc.   124,721     23,924
   Texas Instruments Inc.   142,477     23,841
   NXP Semiconductors NV    82,004     20,479
 * Fortinet Inc.   270,401     18,687
   Amphenol Corp. Class A   142,128     15,526
 * Gartner Inc.    33,089     15,405
   Monolithic Power Systems Inc.    20,318     14,630
   Motorola Solutions Inc.    40,798     13,479
 * Fair Isaac Corp.    10,470     13,296
 * Autodesk Inc.    47,160     12,175
   Microchip Technology Inc.   135,415     11,394
   Roper Technologies Inc.    19,491     10,617
 * Tyler Technologies Inc.    17,891      7,821
   TE Connectivity Ltd.    51,387      7,377
 * ANSYS Inc.    20,997      7,017
 * ON Semiconductor Corp.    80,404      6,345
   CDW Corp.    23,848      5,872
 * PTC Inc.    30,270      5,540
   Jabil Inc.    29,314      4,224
 * VeriSign Inc.    18,055      3,526
 * Akamai Technologies Inc.    30,047      3,333
   Seagate Technology Holdings plc    33,795      3,145
 * EPAM Systems Inc.     9,790      2,980
          Shares Market
Value•

($000)
   NetApp Inc.    32,769      2,920
 * Enphase Energy Inc.    21,446      2,724
                      4,739,624
Materials (1.4%)
   Linde plc   106,956     48,004
   Sherwin-Williams Co.    49,913     16,573
   Nucor Corp.    65,685     12,631
   Ecolab Inc.    54,866     12,336
   Freeport-McMoRan Inc.   304,258     11,504
   Martin Marietta Materials Inc.    17,266      9,975
   Vulcan Materials Co.    36,211      9,627
   Celanese Corp. Class A    42,425      6,447
   Steel Dynamics Inc.    40,641      5,438
   CF Industries Holdings Inc.    43,779      3,534
                        136,069
Real Estate (0.7%)
   Equinix Inc.    18,689     16,611
   American Tower Corp.    81,129     16,134
   Public Storage    28,218      8,010
   Digital Realty Trust Inc.    52,661      7,731
   Simon Property Group Inc.    51,186      7,583
 * CoStar Group Inc.    74,568      6,490
   Iron Mountain Inc.    63,452      4,990
   SBA Communications Corp. Class A    18,311      3,831
   Host Hotels & Resorts Inc.   179,424      3,721
                         75,101
Utilities (0.1%)
   Constellation Energy Corp.    60,945     10,266
Total Common Stocks
(Cost $6,422,551) 		9,975,492
Rights (0.0%)
*,1 ABIOMED Inc. CVR
(Cost $—) 		       56           —
 
25

 

S&P 500 Growth Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
 2 Vanguard Market Liquidity Fund, 5.400%
(Cost $20,708) 		  207,115           20,709
Total Investments (99.9%)
(Cost $6,443,259) 		  9,996,201
Other Assets and Liabilities—Net (0.1%)   6,881
Net Assets (100%)   10,003,082
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Security value determined using significant unobservable inputs.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  CVR—Contingent Value Rights.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini NASDAQ 100 Index March 2024 51 18,444 836
E-mini S&P 500 Index March 2024 16 4,083 156
        992
    
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 5,117 (5.326) — (373)
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.
26

 

S&P 500 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,422,551) 9,975,492
Affiliated Issuers (Cost $20,708) 20,709
Total Investments in Securities 9,996,201
Investment in Vanguard 287
Cash Collateral Pledged—Futures Contracts 1,100
Receivables for Accrued Income 6,130
Receivables for Capital Shares Issued 4
Variation Margin Receivable—Futures Contracts 189
Total Assets 10,003,911
Liabilities  
Payables for Investment Securities Purchased 81
Payables to Vanguard 375
Unrealized Depreciation—Over-the-Counter Swap Contracts 373
Total Liabilities 829
Net Assets 10,003,082
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 7,379,896
Total Distributable Earnings (Loss) 2,623,186
Net Assets 10,003,082
 
ETF Shares—Net Assets  
Applicable to 33,450,972 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		9,994,773
Net Asset Value Per Share—ETF Shares $298.79
 
Institutional Shares—Net Assets  
Applicable to 12,225 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		8,309
Net Asset Value Per Share—Institutional Shares $679.68
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

S&P 500 Growth Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 45,602
Interest2 378
Total Income 45,980
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 97
Management and Administrative—ETF Shares 3,822
Management and Administrative—Institutional Shares 3
Marketing and Distribution—ETF Shares 183
Marketing and Distribution—Institutional Shares —
Custodian Fees 1
Shareholders’ Reports—ETF Shares 122
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses 3
Other Expenses 9
Total Expenses 4,240
Net Investment Income 41,740
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (7,441)
Futures Contracts 636
Swap Contracts (321)
Realized Net Gain (Loss) (7,126)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 1,281,835
Futures Contracts 853
Swap Contracts (373)
Change in Unrealized Appreciation (Depreciation) 1,282,315
Net Increase (Decrease) in Net Assets Resulting from Operations 1,316,929
1 Dividends are net of foreign withholding taxes of $18,000.
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 $363,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $204,239,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
28

 

S&P 500 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 41,740   81,648
Realized Net Gain (Loss) (7,126)   (595,509)
Change in Unrealized Appreciation (Depreciation) 1,282,315   1,461,227
Net Increase (Decrease) in Net Assets Resulting from Operations 1,316,929   947,366
Distributions      
ETF Shares (52,894)   (75,029)
Institutional Shares (47)   (66)
Total Distributions (52,941)   (75,095)
Capital Share Transactions      
ETF Shares 562,209   458,971
Institutional Shares (8)   388
Net Increase (Decrease) from Capital Share Transactions 562,201   459,359
Total Increase (Decrease) 1,826,189   1,331,630
Net Assets      
Beginning of Period 8,176,893   6,845,263
End of Period 10,003,082   8,176,893
See accompanying Notes, which are an integral part of the Financial Statements.
29

 

S&P 500 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $260.21 $232.26 $283.53 $219.32 $161.81 $158.27
Investment Operations            
Net Investment Income1 1.298 2.678 1.923 1.751 2.111 2.156
Net Realized and Unrealized Gain (Loss) on Investments 38.945 27.743 (51.406) 64.190 57.589 3.437
Total from Investment Operations 40.243 30.421 (49.483) 65.941 59.700 5.593
Distributions            
Dividends from Net Investment Income (1.663) (2.471) (1.787) (1.731) (2.190) (2.053)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.663) (2.471) (1.787) (1.731) (2.190) (2.053)
Net Asset Value, End of Period $298.79 $260.21 $232.26 $283.53 $219.32 $161.81
Total Return 15.57% 13.26% -17.52% 30.26% 37.29% 3.60%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $9,995 $8,170 $6,839 $6,776 $4,485 $2,755
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%2 0.10%2 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 0.96% 1.16% 0.73% 0.73% 1.20% 1.41%
Portfolio Turnover Rate3 27% 33% 13% 12% 24% 23%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P 500 Growth Index Fund
Financial Highlights
Institutional Shares              
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		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 $591.92 $528.34 $644.91 $498.89 $368.04 $356.55 $343.28
Investment Operations              
Net Investment Income2 3.012 6.185 4.203 3.959 4.861 3.777 .856
Net Realized and Unrealized Gain (Loss) on Investments 88.584 63.118 (116.631) 146.133 131.012 7.713 (19.628)
Total from Investment Operations 91.596 69.303 (112.428) 150.092 135.873 11.490 (18.772)
Distributions              
Dividends from Net Investment Income (3.836) (5.723) (4.142) (4.072) (5.023) — (.938)
Distributions from Realized Capital Gains — — — — — — —
Total Distributions (3.836) (5.723) (4.142) (4.072) (5.023) — (.938)
Net Asset Value, End of Period $679.68 $591.92 $528.34 $644.91 $498.89 $368.04 $323.57
Total Return 15.58% 13.29% -17.50% 30.29% 37.35% 3.22% -5.47%
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $8 $7 $6 $28 $9 $7 —
Ratio of Total Expenses to Average Net Assets 0.08% 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 0.98% 1.18% 0.68% 0.71% 1.22% 2.52%4 1.64%4
Portfolio Turnover Rate5 27% 33% 13% 12% 24% 23%6 23%6
The expense ratio and net investment income ratio for the current period have been annualized.
1 The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations.
2 Calculated based on average shares outstanding.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
6 Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019.
See accompanying Notes, which are an integral part of the Financial Statements.
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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 six months ended February 29, 2024, 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
32

 

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 six months ended February 29, 2024, 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.
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S&P 500 Growth Index Fund
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 money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of
34

 

S&P 500 Growth Index Fund
$287,000, 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.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 9,975,492 — — 9,975,492
Rights — — — —
Temporary Cash Investments 20,709 — — 20,709
Total 9,996,201 — — 9,996,201
Derivative Financial Instruments        
Assets        
Futures Contracts1 992 — — 992
Liabilities        
Swap Contracts — 373 — 373
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 6,444,575
Gross Unrealized Appreciation 3,632,292
Gross Unrealized Depreciation (80,047)
Net Unrealized Appreciation (Depreciation) 3,552,245
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $928,157,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024;
35

 

S&P 500 Growth Index Fund
should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $2,314,925,000 of investment securities and sold $2,332,898,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $1,120,127,000 and $559,480,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $580,481,000 and sales were $992,906,000, resulting in net realized loss of $61,535,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares          
Issued 1,126,057 4,155   915,745 4,000
Issued in Lieu of Cash Distributions — —   — —
Redeemed (563,848) (2,100)   (456,774) (2,050)
Net Increase (Decrease)—ETF Shares 562,209 2,055   458,971 1,950
Institutional Shares          
Issued 67 —   509 —
Issued in Lieu of Cash Distributions 47 —   66 —
Redeemed (122) —   (187) —
Net Increase (Decrease)—Institutional Shares (8) —   388 —
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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.
36

 

S&P 500 Growth Index Fund
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
37

 

The S&P 500 Value Index and S&P 500 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund particularly or the ability of the S&P 500 Value Index and S&P 500 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Value Index and S&P 500 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Value Index and S&P 500 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund into consideration in determining, composing or calculating the S&P 500 Value Index and S&P 500 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. There is no assurance that investment products based on the S&P 500 Value Index and S&P 500 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P 500 VALUE INDEX FUND AND VANGUARD S&P 500 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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All rights reserved.
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Q18402 042024
Semiannual Report  |  February 29, 2024
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.

 

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

 

Six Months Ended February 29, 2024      
  Beginning
Account Value
8/31/2023 		Ending
Account Value
2/29/2024 		Expenses
Paid During
Period
Based on Actual Fund Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,073.90 $0.52
Institutional Shares 1,000.00 1,073.70 0.41
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,050.50 $0.76
Institutional Shares 1,000.00 1,050.70 0.41
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,094.80 $0.78
Based on Hypothetical 5% Yearly Return      
S&P Small-Cap 600 Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 0.40
S&P Small-Cap 600 Value Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
Institutional Shares 1,000.00 1,024.47 0.40
S&P Small-Cap 600 Growth Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Small-Cap 600 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.15% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
2

 

S&P Small-Cap 600 Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 2.7%
Consumer Discretionary 15.4
Consumer Staples 3.6
Energy 4.6
Financials 17.8
Health Care 10.6
Industrials 18.4
Information Technology 11.9
Materials 5.8
Real Estate 7.3
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.
3

 

S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (2.7%)
   Cogent Communications Holdings Inc.   174,426    14,113
 * Madison Square Garden Sports Corp.    67,258    12,657
 * TripAdvisor Inc.   435,786    11,688
 * Yelp Inc. Class A   276,000    10,609
 * Cargurus Inc. Class A   345,355     7,646
 * Cinemark Holdings Inc.   427,568     7,444
 * Lumen Technologies Inc. 4,066,623     6,588
 * EchoStar Corp. Class A   485,513     6,365
   Telephone & Data Systems Inc.   397,345     6,079
   John Wiley & Sons Inc. Class A   171,255     5,711
   Shutterstock Inc.    96,447     4,703
 * Cars.com Inc.   248,274     4,553
   Scholastic Corp.   110,052     4,341
   Shenandoah Telecommunications Co.   202,595     3,780
 * TechTarget Inc.   104,108     3,301
 * QuinStreet Inc.   209,002     3,058
 * Thryv Holdings Inc.   124,719     2,612
 * Gogo Inc.   249,276     2,034
 * AMC Networks Inc. Class A   122,764     1,589
   Marcus Corp.    99,180     1,455
   ATN International Inc.    42,407     1,422
 * Consolidated Communications Holdings Inc.   300,118     1,294
 * EW Scripps Co. Class A   238,870       963
                       124,005
Consumer Discretionary (15.3%)
 * Abercrombie & Fitch Co. Class A   202,977    25,932
   Meritage Homes Corp.   148,188    23,363
   Installed Building Products Inc.    95,042    22,708
   Academy Sports & Outdoors Inc.   300,433    22,448
          Shares Market
Value•

($000)
   Signet Jewelers Ltd.   180,925    18,411
   American Eagle Outfitters Inc.   748,248    17,771
 * Asbury Automotive Group Inc.    82,941    17,321
   Advance Auto Parts Inc.   239,710    16,190
 * Shake Shack Inc. Class A   151,130    16,068
   MDC Holdings Inc.   240,745    15,095
   Group 1 Automotive Inc.    55,717    15,080
 * M/I Homes Inc.   112,251    14,255
 * Tri Pointe Homes Inc.   391,188    13,840
   LCI Industries   102,078    12,860
   Kohl's Corp.   446,161    12,434
   Steven Madden Ltd.   282,698    12,105
   Kontoor Brands Inc.   201,547    11,913
 * Cavco Industries Inc.    31,207    11,627
   Newell Brands Inc. 1,535,978    11,520
   Foot Locker Inc.   330,193    11,369
 * Boot Barn Holdings Inc.   122,067    11,291
 * Dorman Products Inc.   114,230    10,763
 * Frontdoor Inc.   320,924    10,064
   Patrick Industries Inc.    83,863    10,059
   Century Communities Inc.   113,988     9,836
   Strategic Education Inc.    88,575     9,813
 * Sonos Inc.   516,977     9,802
 * Stride Inc.   160,210     9,573
   Bloomin' Brands Inc.   349,920     9,511
   Papa John's International Inc.   132,030     9,492
 * Urban Outfitters Inc.   228,111     9,478
 * LGI Homes Inc.    82,633     9,428
 * Victoria's Secret & Co.   311,475     8,896
   Winnebago Industries Inc.   120,539     8,646
 * Dave & Buster's Entertainment Inc.   138,479     8,550
 * Brinker International Inc.   178,086     8,252
 * Topgolf Callaway Brands Corp.   572,673     8,155
 * Adtalem Global Education Inc.   160,540     7,947
   Worthington Enterprises Inc.   122,852     7,632
4

 

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

($000)
 * Hanesbrands Inc. 1,411,022     7,620
 * ODP Corp.   134,092     7,574
 * Gentherm Inc.   132,194     7,517
 * National Vision Holdings Inc.   315,400     7,380
 * Six Flags Entertainment Corp.   289,576     7,338
 * Vista Outdoor Inc.   234,077     7,303
   Cheesecake Factory Inc.   188,278     6,661
   La-Z-Boy Inc.   173,535     6,593
   Dana Inc.   517,784     6,472
   Phinia Inc.   188,176     6,439
   Upbound Group Inc.   179,465     6,059
   Oxford Industries Inc.    59,191     6,001
 * Green Brick Partners Inc.   102,429     5,992
   Jack in the Box Inc.    81,049     5,917
   Cracker Barrel Old Country Store Inc.    89,312     5,906
 * Leslie's Inc.   741,691     5,859
 * Sally Beauty Holdings Inc.   434,408     5,487
 * G-III Apparel Group Ltd.   164,032     5,457
   Caleres Inc.   134,660     5,199
   Buckle Inc.   119,973     4,912
   Perdoceo Education Corp.   264,778     4,716
 * XPEL Inc.    85,754     4,509
   Monro Inc.   126,762     4,255
   Hibbett Inc.    49,960     4,094
 * Sabre Corp. 1,529,600     4,053
   Monarch Casino & Resort Inc.    53,802     3,785
 * BJ's Restaurants Inc.    93,664     3,280
 * American Axle & Manufacturing Holdings Inc.   471,868     3,265
   Wolverine World Wide Inc.   320,614     3,261
   Golden Entertainment Inc.    86,510     3,206
   Sonic Automotive Inc. Class A    59,912     3,145
   Sturm Ruger & Co. Inc.    71,441     3,095
   Ethan Allen Interiors Inc.    92,146     3,080
 * Mister Car Wash Inc.   367,131     3,044
   Dine Brands Global Inc.    62,684     3,041
   Guess? Inc.   110,167     2,796
 * MarineMax Inc.    80,371     2,668
   Standard Motor Products Inc.    75,324     2,392
   Shoe Carnival Inc.    72,715     2,383
 * Chuy's Holdings Inc.    69,951     2,366
   Designer Brands Inc. Class A   176,758     1,867
   Haverty Furniture Cos. Inc.    53,596     1,838
   Movado Group Inc.    62,865     1,805
 * America's Car-Mart Inc.    23,515     1,583
*,1 iRobot Corp.   112,293     1,281
                       701,992
          Shares Market
Value•

($000)
Consumer Staples (3.6%)
   WD-40 Co.    54,645    14,666
 * Simply Good Foods Co.   365,349    12,963
   Inter Parfums Inc.    72,188    10,591
   Cal-Maine Foods Inc.   163,845     9,419
   J & J Snack Foods Corp.    62,204     9,025
   PriceSmart Inc.   100,908     8,490
 * Central Garden & Pet Co. Class A   215,322     8,115
   Edgewell Personal Care Co.   204,814     7,822
   Energizer Holdings Inc.   267,974     7,651
 * TreeHouse Foods Inc.   202,845     7,260
   Andersons Inc.   127,886     7,070
   Vector Group Ltd.   534,255     5,962
 * Chefs' Warehouse Inc.   142,297     5,409
   MGP Ingredients Inc.    63,008     5,367
 * National Beverage Corp.    94,072     4,952
   Universal Corp.    98,991     4,753
   WK Kellogg Co.   265,775     3,891
 * United Natural Foods Inc.   239,470     3,738
   John B Sanfilippo & Son Inc.    36,172     3,703
   B&G Foods Inc.   316,924     3,660
 * Hain Celestial Group Inc.   361,611     3,616
   Fresh Del Monte Produce Inc.   135,781     3,249
   SpartanNash Co.   139,581     2,941
   Nu Skin Enterprises Inc. Class A   199,155     2,489
   Tootsie Roll Industries Inc.    69,639     2,265
 * USANA Health Sciences Inc.    44,727     2,159
   Calavo Growers Inc.    71,491     2,063
   Medifast Inc.    43,903     1,760
 * Central Garden & Pet Co.    38,597     1,693
                       166,742
Energy (4.6%)
   SM Energy Co.   468,822    20,520
   Helmerich & Payne Inc.   400,749    15,385
   Patterson-UTI Energy Inc. 1,295,050    14,984
   California Resources Corp.   259,989    13,564
   Liberty Energy Inc. Class A   618,426    13,222
   Northern Oil & Gas Inc.   368,650    13,172
   Peabody Energy Corp.   443,877    10,995
   Archrock Inc.   553,518    10,113
   CONSOL Energy Inc.   112,494     9,654
 * Par Pacific Holdings Inc.   224,351     8,104
 * Oceaneering International Inc.   405,975     8,022
 * Callon Petroleum Co.   224,000     6,980
 * Talos Energy Inc.   527,897     6,963
   World Kinect Corp.   242,656     5,911
 * Green Plains Inc.   258,939     5,515
 * Helix Energy Solutions Group Inc.   570,983     5,139
 
5

 

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

($000)
 * Vital Energy Inc.    99,885     5,027
   Dorian LPG Ltd.   137,491     4,970
   CVR Energy Inc.   117,510     3,899
 * US Silica Holdings Inc.   310,958     3,576
   Comstock Resources Inc.   370,342     3,166
 * Dril-Quip Inc.   137,744     3,113
   Core Laboratories Inc.   188,324     2,819
 * Nabors Industries Ltd.    35,860     2,810
 * REX American Resources Corp.    61,352     2,698
 * Bristow Group Inc. Class A    96,765     2,608
   RPC Inc.   342,875     2,534
 * ProPetro Holding Corp.   342,108     2,532
 * Oil States International Inc.   258,640     1,394
                       209,389
Financials (17.8%)
   Assured Guaranty Ltd.   219,101    20,070
 * Mr Cooper Group Inc.   265,463    18,922
   Lincoln National Corp.   683,870    18,834
   Radian Group Inc.   617,338    17,989
   Jackson Financial Inc. Class A   285,188    15,700
   Moelis & Co. Class A   268,708    14,521
 1 Blackstone Mortgage Trust Inc. Class A   694,477    14,147
 * American Equity Investment Life Holding Co.   251,636    13,976
   Walker & Dunlop Inc.   134,829    12,860
   ServisFirst Bancshares Inc.   197,475    12,478
   United Community Banks Inc.   479,581    12,474
   Ameris Bancorp   261,631    12,121
   Artisan Partners Asset Management Inc. Class A   276,015    11,888
   First Bancorp   695,522    11,810
   Cathay General Bancorp   292,830    11,435
   Piper Sandler Cos.    60,639    11,417
   Hannon Armstrong Sustainable Infrastructure Capital Inc.   448,085    11,278
 * Genworth Financial Inc. Class A 1,817,906    11,180
 * Axos Financial Inc.   207,106    10,794
   First Hawaiian Inc.   514,370    10,781
   WSFS Financial Corp.   244,798    10,377
   Fulton Financial Corp.   661,810    10,192
 1 Arbor Realty Trust Inc.   759,802    10,181
   Atlantic Union Bankshares Corp.   302,371    10,057
 * NMI Holdings Inc. Class A   326,821     9,831
   Community Bank System Inc.   215,188     9,748
   Simmons First National Corp. Class A   504,525     9,687
   Bank of Hawaii Corp.   160,226     9,658
 * Bancorp Inc.   216,277     9,655
          Shares Market
Value•

($000)
   EVERTEC Inc.   265,215     9,582
   PJT Partners Inc. Class A    89,890     9,474
   Independent Bank Corp.   176,761     9,222
   CVB Financial Corp.   533,557     9,081
   Pacific Premier Bancorp Inc.   386,552     8,837
   First Financial Bancorp   383,416     8,320
   Seacoast Banking Corp. of Florida   343,224     8,285
   BankUnited Inc.   299,937     8,044
   Banc of California Inc.   527,210     7,713
 * Enova International Inc.   120,410     7,616
   Bread Financial Holdings Inc.   198,850     7,612
 * Palomar Holdings Inc.    99,692     7,591
 * StoneX Group Inc.   108,130     7,489
 * Goosehead Insurance Inc. Class A    98,556     7,456
   WaFd Inc.   273,592     7,453
   Park National Corp.    57,816     7,430
   Renasant Corp.   226,299     7,153
   Stewart Information Services Corp.   110,294     6,946
   OFG Bancorp   189,688     6,871
   Trustmark Corp.   246,164     6,612
 * Triumph Financial Inc.    87,314     6,549
   Lakeland Financial Corp.   102,514     6,530
   NBT Bancorp Inc.   189,807     6,527
 * Donnelley Financial Solutions Inc.    99,703     6,437
   Independent Bank Group Inc.   144,772     6,331
   Virtus Investment Partners Inc.    27,223     6,324
 * Customers Bancorp Inc.   113,960     6,189
   Banner Corp.   138,451     6,070
   City Holding Co.    59,788     6,008
   Horace Mann Educators Corp.   164,615     5,957
   Apollo Commercial Real Estate Finance Inc.   524,197     5,876
   Northwest Bancshares Inc.   512,332     5,871
 * NCR Atleos Corp.   269,684     5,868
   Hilltop Holdings Inc.   186,503     5,759
   First Bancorp (XNGS)   165,636     5,652
   Ready Capital Corp.   638,263     5,636
 * PROG Holdings Inc.   180,282     5,565
   Navient Corp.   341,242     5,549
   Pathward Financial Inc.   105,544     5,366
   First Commonwealth Financial Corp.   411,608     5,363
   Hope Bancorp Inc.   484,136     5,311
   Mercury General Corp.   107,141     5,217
   National Bank Holdings Corp. Class A   152,213     5,151
   BancFirst Corp.    58,390     5,123
 * Payoneer Global Inc. 1,050,052     5,103
 
6

 

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

($000)
   FB Financial Corp.   141,618     5,047
   PennyMac Mortgage Investment Trust   349,694     4,941
   Two Harbors Investment Corp.   387,717     4,912
   Westamerica Bancorp   107,421     4,910
   Safety Insurance Group Inc.    59,632     4,899
   S&T Bancorp Inc.   154,129     4,807
   Employers Holdings Inc.   103,695     4,740
   Provident Financial Services Inc.   304,500     4,592
 * Encore Capital Group Inc.    94,855     4,553
   Stellar Bancorp Inc.   188,942     4,478
 * SiriusPoint Ltd.   364,777     4,476
   Veritex Holdings Inc.   218,964     4,298
   Franklin BSP Realty Trust Inc.   330,839     4,271
   AMERISAFE Inc.    77,338     4,080
 * PRA Group Inc.   158,196     4,044
 1 ARMOUR Residential REIT Inc.   197,491     3,910
*,1 Trupanion Inc.   144,016     3,852
   Berkshire Hills Bancorp Inc.   172,830     3,714
   Preferred Bank    50,375     3,619
   WisdomTree Inc.   445,130     3,588
   Ellington Financial Inc.   316,399     3,585
   Brookline Bancorp Inc.   358,223     3,500
   Southside Bancshares Inc.   115,641     3,314
 * Ambac Financial Group Inc.   182,183     2,981
   Brightsphere Investment Group Inc.   130,508     2,957
   Capitol Federal Financial Inc.   509,612     2,951
   Redwood Trust Inc.   478,221     2,932
   Eagle Bancorp Inc.   120,627     2,873
   Dime Community Bancshares Inc.   140,844     2,639
   New York Mortgage Trust Inc.   365,550     2,636
   Heritage Financial Corp.   140,695     2,582
   ProAssurance Corp.   205,398     2,533
   Tompkins Financial Corp.    50,331     2,424
   HCI Group Inc.    24,234     2,366
   KKR Real Estate Finance Trust Inc.   234,704     2,288
 * EZCORP Inc. Class A   209,404     2,197
   TrustCo Bank Corp.    76,699     2,093
   Central Pacific Financial Corp.   108,878     2,032
   United Fire Group Inc.    85,137     1,983
   Hanmi Financial Corp.   122,529     1,851
 * World Acceptance Corp.    13,633     1,633
   Northfield Bancorp Inc.   158,961     1,606
          Shares Market
Value•

($000)
 * Green Dot Corp. Class A   182,709     1,500
 1 B. Riley Financial Inc.    66,492     1,219
                       814,586
Health Care (10.6%)
 * Cytokinetics Inc.   395,229    28,551
   Ensign Group Inc.   227,549    28,426
 * Alkermes plc   672,646    19,971
   Organon & Co. 1,030,266    17,937
 * Merit Medical Systems Inc.   232,774    17,737
 * Glaukos Corp.   196,377    17,397
 * Integer Holdings Corp.   134,331    14,815
 * Prestige Consumer Healthcare Inc.   199,998    13,916
 * Fortrea Holdings Inc.   357,936    13,437
   Select Medical Holdings Corp.   423,791    11,540
   Premier Inc. Class A   482,386    10,063
   CONMED Corp.   123,952     9,956
   Patterson Cos. Inc.   343,016     9,292
 * Privia Health Group Inc.   414,038     9,241
 * RadNet Inc.   243,574     9,222
 * ICU Medical Inc.    81,733     8,928
 * CorVel Corp.    36,547     8,918
 * Vericel Corp.   192,367     8,787
 * Corcept Therapeutics Inc.   363,739     8,548
 * NeoGenomics Inc.   513,791     8,015
 * Astrana Health Inc.   167,482     7,543
 * Owens & Minor Inc.   308,367     7,503
 * Myriad Genetics Inc.   357,401     7,480
 * Certara Inc.   431,684     7,287
 * Catalyst Pharmaceuticals Inc.   446,528     7,158
 * Amphastar Pharmaceuticals Inc.   150,619     7,014
 * Tandem Diabetes Care Inc.   262,314     6,986
 * Dynavax Technologies Corp.   521,010     6,601
 * Supernus Pharmaceuticals Inc.   220,212     6,540
   US Physical Therapy Inc.    60,416     6,420
 * STAAR Surgical Co.   196,771     6,147
 * Addus HomeCare Corp.    65,367     6,032
 * AMN Healthcare Services Inc.   106,322     5,983
 * UFP Technologies Inc.    28,328     5,901
 * Xencor Inc.   245,370     5,631
 * Schrodinger Inc.   220,467     5,613
   LeMaitre Vascular Inc.    79,868     5,591
 * Pacira BioSciences Inc.   187,180     5,563
   National HealthCare Corp.    54,364     5,364
 * Ligand Pharmaceuticals Inc.    66,061     5,242
 * Ironwood Pharmaceuticals Inc. Class A   553,801     5,222
 
7

 

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

($000)
 * Collegium Pharmaceutical Inc.   131,447     4,825
 * Omnicell Inc.   183,276     4,809
 * Harmony Biosciences Holdings Inc.   132,212     4,244
 * Arcus Biosciences Inc.   217,246     4,156
 * ANI Pharmaceuticals Inc.    60,766     4,112
 * Vir Biotechnology Inc.   347,028     3,901
 * Avanos Medical Inc.   188,642     3,503
 * Innoviva Inc.   227,310     3,473
 * AdaptHealth Corp. Class A   329,881     3,375
   Embecta Corp.   230,981     3,298
 * Cytek Biosciences Inc.   398,861     3,071
 * Pediatrix Medical Group Inc.   333,905     3,055
 * Artivion Inc.   157,191     3,034
 * REGENXBIO Inc.   163,139     2,845
 * Varex Imaging Corp.   163,373     2,810
   Simulations Plus Inc.    64,298     2,668
   HealthStream Inc.    96,452     2,631
 * Cross Country Healthcare Inc.   133,203     2,434
 * BioLife Solutions Inc.   140,218     2,370
   Mesa Laboratories Inc.    20,606     2,250
 * OraSure Technologies Inc.   296,200     2,131
 * Fulgent Genetics Inc.    81,240     1,833
 * Enhabit Inc.   201,541     1,814
 * ModivCare Inc.    49,754     1,395
 * Agiliti Inc.   140,111     1,383
 * Veradigm Inc.   197,473     1,183
   Phibro Animal Health Corp. Class A    82,557     1,068
*,2 OmniAb Inc. 12.5 Earnout    27,888        —
*,2 OmniAb Inc. 15 Earnout    27,888        —
                       485,189
Industrials (18.4%)
   Applied Industrial Technologies Inc.   156,236    29,668
   Mueller Industries Inc.   457,602    23,512
   AAON Inc.   271,805    22,826
   Boise Cascade Co.   159,580    21,689
 * SPX Technologies Inc.   183,994    21,562
   Armstrong World Industries Inc.   178,078    21,478
   Federal Signal Corp.   245,588    20,116
 * Alaska Air Group Inc.   516,136    19,298
   Moog Inc. Class A   115,889    17,378
   Franklin Electric Co. Inc.   159,900    16,623
   Arcosa Inc.   196,541    16,313
   Matson Inc.   140,813    15,637
   Encore Wire Corp.    63,590    15,325
 * Dycom Industries Inc.   118,236    14,956
 * GMS Inc.   163,628    14,614
 * Verra Mobility Corp. Class A   670,391    14,494
   ArcBest Corp.    95,375    13,625
          Shares Market
Value•

($000)
   Korn Ferry   212,452    13,525
 * AeroVironment Inc.   105,969    13,436
   Hillenbrand Inc.   281,809    13,400
 * Resideo Technologies Inc.   588,494    13,141
   Enpro Inc.    84,272    13,131
   John Bean Technologies Corp.   128,335    13,023
   Rush Enterprises Inc. Class A   248,303    12,092
   Albany International Corp. Class A   125,739    11,803
   Griffon Corp.   165,071    11,786
 * MYR Group Inc.    67,356    10,943
   ABM Industries Inc.   264,149    10,912
 * Hub Group Inc. Class A   251,454    10,694
 * SkyWest Inc.   165,033    10,598
   ESCO Technologies Inc.   103,926    10,589
   Brady Corp. Class A   180,683    10,530
   UniFirst Corp.    60,886    10,273
 * RXO Inc.   471,604    10,149
   Vestis Corp.   526,923     9,885
 * PGT Innovations Inc.   229,955     9,605
 * Gibraltar Industries Inc.   122,681     9,502
   Granite Construction Inc.   177,087     9,125
   MillerKnoll Inc.   296,198     9,049
 * AAR Corp.   135,157     9,026
 * Masterbrand Inc.   510,955     8,845
 * JetBlue Airways Corp. 1,343,406     8,705
   Tennant Co.    75,295     8,523
   Alamo Group Inc.    41,639     8,423
   HNI Corp.   187,756     8,413
   Trinity Industries Inc.   330,001     8,375
   Standex International Corp.    47,967     8,298
   Kennametal Inc.   320,857     8,098
 * Hayward Holdings Inc.   508,212     7,516
   Enerpac Tool Group Corp. Class A   219,049     7,384
   AZZ Inc.   101,082     7,359
   Barnes Group Inc.   204,260     7,137
 * CoreCivic Inc.   457,921     6,974
   Powell Industries Inc.    36,814     6,819
 * OPENLANE Inc.   435,409     6,649
 * American Woodmark Corp.    66,191     6,635
   Greenbrier Cos. Inc.   125,364     6,488
 * Mercury Systems Inc.   210,263     6,281
   CSG Systems International Inc.   114,493     6,247
 * DNOW Inc.   428,644     6,065
 * GEO Group Inc.   491,915     6,036
   Lindsay Corp.    44,380     5,295
 * NV5 Global Inc.    51,264     5,214
   Kaman Corp.   113,753     5,211
   Apogee Enterprises Inc.    88,973     5,090
   Wabash National Corp.   185,768     5,068
   Quanex Building Products Corp.   132,970     4,598
 
8

 

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

($000)
   Allegiant Travel Co.    60,819     4,426
   Marten Transport Ltd.   232,704     4,386
 * Triumph Group Inc.   309,795     4,306
   Forward Air Corp.   103,439     3,841
 * Healthcare Services Group Inc.   297,702     3,799
 * Proto Labs Inc.   103,942     3,787
   Astec Industries Inc.    91,662     3,722
   Interface Inc. Class A   234,248     3,682
   Matthews International Corp. Class A   122,821     3,554
   Deluxe Corp.   176,129     3,419
 * Vicor Corp.    90,967     3,388
   Kelly Services Inc. Class A   128,821     3,160
 * Viad Corp.    84,331     3,140
   Insteel Industries Inc.    78,425     2,855
   Heidrick & Struggles International Inc.    81,129     2,758
 * Titan International Inc.   203,951     2,602
 * Enviri Corp.   321,445     2,527
   Pitney Bowes Inc.   618,432     2,492
   Heartland Express Inc.   184,770     2,361
 * Sun Country Airlines Holdings Inc.   157,111     2,357
 * 3D Systems Corp.   537,856     2,227
 * DXP Enterprises Inc.    53,172     1,889
   Resources Connection Inc.   129,751     1,794
   National Presto Industries Inc.    21,130     1,634
 * Liquidity Services Inc.    90,329     1,620
 * TrueBlue Inc.   124,776     1,466
   TTEC Holdings Inc.    76,480     1,335
*,1 SunPower Corp.   346,036     1,076
 * Forrester Research Inc.    46,152       931
                       841,611
Information Technology (11.9%)
 * Fabrinet   146,441    31,567
 * SPS Commerce Inc.   147,922    27,389
 * Insight Enterprises Inc.   111,613    20,983
   Badger Meter Inc.   118,291    18,772
 * DoubleVerify Holdings Inc.   561,848    17,355
 * DXC Technology Co.   780,542    17,063
 * Itron Inc.   183,370    16,995
 * SolarEdge Technologies Inc.   228,989    15,381
 * Alarm.com Holdings Inc.   201,497    15,251
   Advanced Energy Industries Inc.   150,271    15,207
 * Axcelis Technologies Inc.   131,995    14,872
 * Sanmina Corp.   230,668    14,578
 * ACI Worldwide Inc.   438,247    14,423
 * FormFactor Inc.   313,762    13,501
 * Diodes Inc.   185,163    12,587
   InterDigital Inc.   103,606    11,088
   Kulicke & Soffa Industries Inc.   227,628    10,840
          Shares Market
Value•

($000)
 * Plexus Corp.   110,771    10,457
 * Envestnet Inc.   200,483    10,331
   Progress Software Corp.   175,613     9,371
 * LiveRamp Holdings Inc.   264,077     9,237
 * Perficient Inc.   140,162     9,092
 * ePlus Inc.   108,559     8,944
 * Viavi Solutions Inc.   896,448     8,561
   Xerox Holdings Corp.   455,762     8,500
 * OSI Systems Inc.    62,998     8,264
 * Veeco Instruments Inc.   227,105     8,223
 * NCR Voyix Corp.   540,707     7,900
 * Ultra Clean Holdings Inc.   180,706     7,806
 * Rogers Corp.    67,538     7,569
 * Photronics Inc.   252,116     7,258
 * Extreme Networks Inc.   522,455     6,604
 * SiTime Corp.    69,696     6,447
 * Agilysys Inc.    81,821     6,366
 * NetScout Systems Inc.   286,185     6,196
 * Cohu Inc.   191,487     6,152
 * TTM Technologies Inc.   412,138     6,120
 * Knowles Corp.   363,811     5,945
 * Harmonic Inc.   452,222     5,938
 * Viasat Inc.   301,119     5,893
 * MaxLinear Inc. Class A   299,170     5,816
   CTS Corp.   125,597     5,597
 * Semtech Corp.   258,675     5,484
 * Ichor Holdings Ltd.   118,426     5,069
   Adeia Inc.   432,016     4,899
 * SMART Global Holdings Inc.   209,276     4,451
   Benchmark Electronics Inc.   143,835     4,417
 * ScanSource Inc.   100,643     4,351
 * Digi International Inc.   144,991     4,286
 * PDF Solutions Inc.   123,381     4,194
 * Arlo Technologies Inc.   381,443     3,971
 * N-able Inc.   280,239     3,775
   A10 Networks Inc.   280,961     3,740
   Methode Electronics Inc.   145,159     3,092
   PC Connection Inc.    45,540     3,023
 * Cerence Inc.   162,586     2,422
 * Corsair Gaming Inc.   174,335     2,258
 * CEVA Inc.    94,894     2,148
 * Alpha & Omega Semiconductor Ltd.    90,721     1,987
 * Xperi Inc.   174,529     1,913
   ADTRAN Holdings Inc.   284,884     1,621
 * Digital Turbine Inc.   366,200     1,161
 * Consensus Cloud Solutions Inc.    71,810     1,143
                       545,844
Materials (5.8%)
 * ATI Inc.   514,226    25,290
   Balchem Corp.   129,955    20,428
   Sealed Air Corp.   582,175    20,300
   Alpha Metallurgical Resources Inc.    47,654    17,977
 
9

 

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

($000)
   HB Fuller Co.   217,742    17,317
   Carpenter Technology Corp.   198,739    12,849
   Innospec Inc.   100,229    12,455
   Warrior Met Coal Inc.   209,675    11,945
   Sensient Technologies Corp.   170,298    11,390
   Quaker Chemical Corp.    55,819    11,192
   Materion Corp.    83,182    11,173
 * O-I Glass Inc.   625,011    10,575
   Minerals Technologies Inc.   131,177     9,492
   Sylvamo Corp.   142,370     8,601
   Stepan Co.    85,649     7,640
 * Ingevity Corp.   135,817     6,204
   Hawkins Inc.    76,252     5,357
   Koppers Holdings Inc.    83,935     4,752
   Kaiser Aluminum Corp.    64,548     4,681
 * Worthington Steel Inc.   122,795     3,888
   Mativ Holdings Inc.   218,484     3,795
   SunCoke Energy Inc.   337,609     3,616
 * Metallus Inc.   154,819     3,367
   Compass Minerals International Inc.   136,027     3,101
   Haynes International Inc.    51,321     3,050
   AdvanSix Inc.   108,650     3,040
   Myers Industries Inc.   148,385     2,853
   Olympic Steel Inc.    39,491     2,686
 * Clearwater Paper Corp.    66,773     2,624
 * Century Aluminum Co.   208,583     2,184
   Mercer International Inc.   177,003     1,625
                       265,447
Real Estate (7.3%)
   Phillips Edison & Co. Inc.   482,078    17,220
   Essential Properties Realty Trust Inc.   628,886    15,024
   Macerich Co.   868,412    14,251
   Apple Hospitality REIT Inc.   857,697    13,800
 1 SL Green Realty Corp.   259,648    12,588
   Tanger Inc.   424,654    12,234
   Innovative Industrial Properties Inc.   113,023    11,075
   CareTrust REIT Inc.   480,111    10,831
   Highwoods Properties Inc.   426,015    10,416
   LXP Industrial Trust 1,179,522    10,215
   SITE Centers Corp.   725,580     9,853
   Sunstone Hotel Investors Inc.   828,101     9,266
   Douglas Emmett Inc.   672,079     8,885
   Four Corners Property Trust Inc.   365,047     8,827
   Outfront Media Inc.   585,441     8,413
   Urban Edge Properties   474,181     8,066
   DiamondRock Hospitality Co.   844,968     7,943
   St. Joe Co.   143,524     7,732
   Pebblebrook Hotel Trust   485,721     7,694
          Shares Market
Value•

($000)
 * Cushman & Wakefield plc   677,836     6,772
   Retail Opportunity Investments Corp.   507,890     6,567
   Xenia Hotels & Resorts Inc.   427,481     6,558
   Acadia Realty Trust   384,296     6,299
   JBG SMITH Properties   351,027     5,820
   Global Net Lease Inc.   789,167     5,690
   Uniti Group Inc.   962,050     5,638
   LTC Properties Inc.   166,921     5,251
   Getty Realty Corp.   193,313     5,096
   Alexander & Baldwin Inc.   292,389     4,754
   Veris Residential Inc.   323,411     4,722
   Elme Communities   354,049     4,560
   Service Properties Trust   668,187     4,544
   Easterly Government Properties Inc. Class A   383,744     4,528
   American Assets Trust Inc.   195,824     4,224
   Kennedy-Wilson Holdings Inc.   477,561     4,193
 1 eXp World Holdings Inc.   309,966     4,061
   Safehold Inc.   180,464     3,631
   Marcus & Millichap Inc.    95,927     3,520
   Centerspace    60,680     3,373
   Hudson Pacific Properties Inc.   511,282     3,241
   Brandywine Realty Trust   693,711     2,983
 * Anywhere Real Estate Inc.   445,362     2,792
   Summit Hotel Properties Inc.   433,663     2,784
   Community Healthcare Trust Inc.   102,215     2,774
   Armada Hoffler Properties Inc.   271,699     2,766
   NexPoint Residential Trust Inc.    92,110     2,690
   Whitestone REIT   189,893     2,339
   Chatham Lodging Trust   196,765     2,007
   Universal Health Realty Income Trust    51,214     1,986
   Saul Centers Inc.    52,070     1,884
                       332,380
Utilities (1.8%)
   Otter Tail Corp.   168,125    15,209
   California Water Service Group   232,617    10,675
   American States Water Co.   149,058    10,644
   Avista Corp.   311,835    10,353
   Chesapeake Utilities Corp.    87,293     8,906
   Clearway Energy Inc. Class C   324,592     7,076
   SJW Group   117,130     6,449
   Northwest Natural Holding Co.   148,240     5,446
   Middlesex Water Co.    71,782     3,653
 
10

 

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

($000)
   Unitil Corp.    64,892     3,307
   Clearway Energy Inc. Class A   147,560     2,990
                        84,708
Total Common Stocks
(Cost $4,122,584) 		4,571,893
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
3,4 Vanguard Market Liquidity Fund, 5.400%
(Cost $27,843) 		  278,496          27,847
Total Investments (100.4%)
(Cost $4,150,427) 		  4,599,740
Other Assets and Liabilities—Net (-0.4%)   (19,415)
Net Assets (100%)   4,580,325
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 $26,259,000.
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 $27,245,000 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 March 2024 57 5,863 50
    
11

 

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. 1/31/25 CITNA 3,404 (5.327) — (830)
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.
12

 

S&P Small-Cap 600 Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,122,584) 4,571,893
Affiliated Issuers (Cost $27,843) 27,847
Total Investments in Securities 4,599,740
Investment in Vanguard 141
Cash Collateral Pledged—Futures Contracts 250
Cash Collateral Pledged—Over-the-Counter Swap Contracts 900
Receivables for Investment Securities Sold 4,649
Receivables for Accrued Income 5,171
Receivables for Capital Shares Issued 1,191
Variation Margin Receivable—Futures Contracts 28
Total Assets 4,612,070
Liabilities  
Due to Custodian 2,898
Payables for Investment Securities Purchased 358
Collateral for Securities on Loan 27,245
Payables for Capital Shares Redeemed 255
Payables to Vanguard 159
Unrealized Depreciation—Over-the-Counter Swap Contracts 830
Total Liabilities 31,745
Net Assets 4,580,325
1 Includes $26,259,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 4,646,144
Total Distributable Earnings (Loss) (65,819)
Net Assets 4,580,325
 
ETF Shares—Net Assets  
Applicable to 25,900,073 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,546,746
Net Asset Value Per Share—ETF Shares $98.33
 
Institutional Shares—Net Assets  
Applicable to 5,141,280 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,033,579
Net Asset Value Per Share—Institutional Shares $395.54
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

S&P Small-Cap 600 Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 33,884
Interest2 270
Securities Lending—Net 403
Total Income 34,557
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 45
Management and Administrative—ETF Shares 982
Management and Administrative—Institutional Shares 683
Marketing and Distribution—ETF Shares 61
Marketing and Distribution—Institutional Shares 36
Custodian Fees 39
Shareholders’ Reports—ETF Shares 48
Shareholders’ Reports—Institutional Shares 16
Trustees’ Fees and Expenses 2
Other Expenses 9
Total Expenses 1,921
Net Investment Income 32,636
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (40,074)
Futures Contracts (417)
Swap Contracts (2,956)
Realized Net Gain (Loss) (43,447)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 331,537
Futures Contracts 85
Swap Contracts 572
Change in Unrealized Appreciation (Depreciation) 332,194
Net Increase (Decrease) in Net Assets Resulting from Operations 321,383
1 Dividends are net of foreign withholding taxes of $37,000.
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 $257,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $132,084,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 32,636   68,583
Realized Net Gain (Loss) (43,447)   (63,884)
Change in Unrealized Appreciation (Depreciation) 332,194   198,590
Net Increase (Decrease) in Net Assets Resulting from Operations 321,383   203,289
Distributions      
ETF Shares (36,371)   (32,040)
Institutional Shares (31,964)   (27,853)
Total Distributions (68,335)   (59,893)
Capital Share Transactions      
ETF Shares 144,569   164,113
Institutional Shares (11,959)   (136,137)
Net Increase (Decrease) from Capital Share Transactions 132,610   27,976
Total Increase (Decrease) 385,658   171,372
Net Assets      
Beginning of Period 4,194,667   4,023,295
End of Period 4,580,325   4,194,667
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $92.94 $89.49 $103.20 $67.80 $69.05 $82.34
Investment Operations            
Net Investment Income2 .696 1.495 1.273 1.143 .973 .971
Net Realized and Unrealized Gain (Loss) on Investments 6.153 3.266 (13.765) 35.170 (1.180) (13.429)
Total from Investment Operations 6.849 4.761 (12.492) 36.313 (.207) (12.458)
Distributions            
Dividends from Net Investment Income (1.459) (1.311) (1.218) (.913) (1.043) (.832)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.459) (1.311) (1.218) (.913) (1.043) (.832)
Net Asset Value, End of Period $98.33 $92.94 $89.49 $103.20 $67.80 $69.05
Total Return 7.39% 5.44% -12.26% 53.88% -0.43% -15.09%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,547 $2,265 $2,027 $1,806 $987 $991
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10%3 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.63% 1.67% 1.31% 1.25% 1.46% 1.36%
Portfolio Turnover Rate4 15% 19% 12% 18% 15% 9%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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.
16

 

S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $373.91 $360.00 $415.16 $272.71 $277.68 $331.26
Investment Operations            
Net Investment Income1 2.876 6.087 5.226 4.566 3.951 3.941
Net Realized and Unrealized Gain (Loss) on Investments 24.693 13.135 (55.426) 141.589 (4.694) (54.011)
Total from Investment Operations 27.569 19.222 (50.200) 146.155 (.743) (50.070)
Distributions            
Dividends from Net Investment Income (5.939) (5.312) (4.960) (3.705) (4.227) (3.510)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (5.939) (5.312) (4.960) (3.705) (4.227) (3.510)
Net Asset Value, End of Period $395.54 $373.91 $360.00 $415.16 $272.71 $277.68
Total Return 7.37% 5.46% -12.21% 53.93% -0.41% -15.09%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,034 $1,929 $1,996 $1,852 $1,377 $1,186
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08%2 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.68% 1.69% 1.34% 1.26% 1.47% 1.38%
Portfolio Turnover Rate3 15% 19% 12% 18% 15% 9%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17

 

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.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, 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 Small-Cap 600 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 six months ended February 29, 2024, 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 Small-Cap 600 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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
20

 

S&P Small-Cap 600 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 February 29, 2024, the fund had contributed to Vanguard capital in the amount of $141,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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 Small-Cap 600 Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 4,571,893 — — 4,571,893
Temporary Cash Investments 27,847 — — 27,847
Total 4,599,740 — — 4,599,740
Derivative Financial Instruments        
Assets        
Futures Contracts1 50 — — 50
Liabilities        
Swap Contracts — 830 — 830
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 4,161,692
Gross Unrealized Appreciation 978,884
Gross Unrealized Depreciation (541,616)
Net Unrealized Appreciation (Depreciation) 437,268
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $465,754,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $641,317,000 of investment securities and sold $670,325,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $400,161,000 and $266,401,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $169,523,000 and sales were $63,581,000, resulting in net realized loss of $2,684,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
22

 

S&P Small-Cap 600 Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 418,132 4,500   944,464 10,550
Issued in Lieu of Cash Distributions — —   — —
Redeemed (273,563) (2,975)   (780,351) (8,825)
Net Increase (Decrease)—ETF Shares 144,569 1,525   164,113 1,725
Institutional Shares          
Issued 175,146 476   264,724 739
Issued in Lieu of Cash Distributions 28,051 71   24,779 72
Redeemed (215,156) (566)   (425,640) (1,196)
Net Increase (Decrease)—Institutional Shares (11,959) (19)   (136,137) (385)
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 February 29, 2024, that would require recognition or disclosure in these financial statements.
23

 

S&P Small-Cap 600 Value Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 1.9%
Consumer Discretionary 13.9
Consumer Staples 4.3
Energy 2.7
Financials 25.1
Health Care 9.9
Industrials 15.4
Information Technology 9.9
Materials 5.3
Real Estate 9.4
Utilities 2.2
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
24

 

S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (1.9%)
 * Lumen Technologies Inc. 2,564,806     4,155
 * EchoStar Corp. Class A   306,567     4,019
   John Wiley & Sons Inc. Class A   108,029     3,603
   Scholastic Corp.    69,330     2,734
 * QuinStreet Inc.   132,359     1,936
   Telephone & Data Systems Inc.   125,828     1,925
 * Thryv Holdings Inc.    78,991     1,654
   Shutterstock Inc.    29,936     1,460
 * AMC Networks Inc. Class A    77,781     1,007
   ATN International Inc.    26,777       898
 * TechTarget Inc.    27,687       878
 * Consolidated Communications Holdings Inc.   190,127       819
 * Gogo Inc.    83,587       682
 * EW Scripps Co. Class A   150,290       606
   Marcus Corp.    29,511       433
                        26,809
Consumer Discretionary (13.8%)
   Academy Sports & Outdoors Inc.   189,707    14,175
   Advance Auto Parts Inc.   151,323    10,220
   MDC Holdings Inc.   152,106     9,537
   Kohl's Corp.   281,593     7,848
   Newell Brands Inc.   969,351     7,270
   Foot Locker Inc.   208,428     7,176
 * Sonos Inc.   326,323     6,187
 * Victoria's Secret & Co.   196,600     5,615
 * Asbury Automotive Group Inc.    26,724     5,581
 * Topgolf Callaway Brands Corp.   361,501     5,148
 * Hanesbrands Inc.   889,837     4,805
 * ODP Corp.    84,648     4,781
 * National Vision Holdings Inc.   199,004     4,657
 * Vista Outdoor Inc.   147,764     4,610
          Shares Market
Value•

($000)
   Dana Inc.   326,854     4,086
   Phinia Inc.   118,687     4,061
   Cracker Barrel Old Country Store Inc.    56,366     3,727
 * Leslie's Inc.   467,643     3,694
   Strategic Education Inc.    32,941     3,649
 * Sally Beauty Holdings Inc.   273,924     3,460
 * G-III Apparel Group Ltd.   103,398     3,440
 * Tri Pointe Homes Inc.    96,215     3,404
   Caleres Inc.    84,801     3,274
   Papa John's International Inc.    44,134     3,173
   Bloomin' Brands Inc.   112,462     3,057
   Century Communities Inc.    35,217     3,039
 * Brinker International Inc.    65,055     3,015
   LCI Industries    23,793     2,997
   Monro Inc.    79,789     2,678
   Hibbett Inc.    31,633     2,592
 * Gentherm Inc.    44,919     2,554
   Winnebago Industries Inc.    33,376     2,394
 * LGI Homes Inc.    20,819     2,375
   Cheesecake Factory Inc.    64,392     2,278
 * Dorman Products Inc.    22,422     2,113
 * BJ's Restaurants Inc.    59,307     2,077
   Wolverine World Wide Inc.   203,023     2,065
 * American Axle & Manufacturing Holdings Inc.   296,961     2,055
   Sonic Automotive Inc. Class A    37,946     1,992
   Sturm Ruger & Co. Inc.    44,921     1,946
   La-Z-Boy Inc.    50,554     1,921
 * MarineMax Inc.    50,899     1,690
   Upbound Group Inc.    49,999     1,688
   Standard Motor Products Inc.    47,705     1,515
   Shoe Carnival Inc.    46,088     1,510
   Worthington Enterprises Inc.    24,124     1,499
   Perdoceo Education Corp.    73,792     1,314
 * Sabre Corp.   455,300     1,207
   Buckle Inc.    28,868     1,182
25

 

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

($000)
   Designer Brands Inc. Class A   111,935     1,182
   Haverty Furniture Cos. Inc.    34,052     1,168
   Ethan Allen Interiors Inc.    34,428     1,151
   Movado Group Inc.    39,984     1,148
   Dine Brands Global Inc.    22,630     1,098
 * Mister Car Wash Inc.   125,558     1,041
 * America's Car-Mart Inc.    14,834       999
   Golden Entertainment Inc.    21,363       792
 * Chuy's Holdings Inc.    19,045       644
*,1 iRobot Corp.    46,952       536
                       196,090
Consumer Staples (4.3%)
   PriceSmart Inc.    63,714     5,361
 * Central Garden & Pet Co. Class A   136,037     5,127
   Edgewell Personal Care Co.   129,336     4,939
 * TreeHouse Foods Inc.   128,011     4,582
 * Chefs' Warehouse Inc.    89,651     3,408
 * Simply Good Foods Co.    85,272     3,025
   Universal Corp.    62,453     2,998
   Energizer Holdings Inc.    91,212     2,604
   WK Kellogg Co.   168,314     2,464
 * United Natural Foods Inc.   151,647     2,367
   B&G Foods Inc.   200,702     2,318
 * Hain Celestial Group Inc.   227,601     2,276
   Andersons Inc.    38,068     2,104
   Vector Group Ltd.   186,095     2,077
   Fresh Del Monte Produce Inc.    85,418     2,044
   SpartanNash Co.    87,761     1,849
   Nu Skin Enterprises Inc. Class A   125,318     1,566
   MGP Ingredients Inc.    16,767     1,428
 * National Beverage Corp.    26,816     1,412
 * USANA Health Sciences Inc.    28,317     1,367
   Calavo Growers Inc.    45,345     1,309
   Medifast Inc.    27,800     1,115
   John B Sanfilippo & Son Inc.    10,761     1,102
 * Central Garden & Pet Co.    24,291     1,066
   Tootsie Roll Industries Inc.    17,192       559
                        60,467
Energy (2.7%)
   Helmerich & Payne Inc.   116,332     4,466
 * Talos Energy Inc.   333,044     4,393
   Patterson-UTI Energy Inc.   367,708     4,254
   Peabody Energy Corp.   154,062     3,816
   World Kinect Corp.   153,037     3,728
 * Green Plains Inc.   163,263     3,478
 * US Silica Holdings Inc.   195,601     2,249
 * Dril-Quip Inc.    86,573     1,957
 * Nabors Industries Ltd.    22,721     1,781
          Shares Market
Value•

($000)
 * Vital Energy Inc.    32,890     1,655
 * Bristow Group Inc. Class A    61,286     1,652
 * ProPetro Holding Corp.   216,685     1,603
   CVR Energy Inc.    33,486     1,111
   Core Laboratories Inc.    66,794     1,000
   Comstock Resources Inc.   114,924       983
 * Oil States International Inc.    83,181       448
                        38,574
Financials (25.1%)
 * Mr Cooper Group Inc.   167,746    11,957
   Lincoln National Corp.   431,869    11,894
   Jackson Financial Inc. Class A   180,189     9,919
 1 Blackstone Mortgage Trust Inc. Class A   438,685     8,936
   United Community Banks Inc.   302,755     7,875
   Ameris Bancorp   165,231     7,655
   Hannon Armstrong Sustainable Infrastructure Capital Inc.   282,803     7,118
 * Genworth Financial Inc. Class A 1,148,708     7,065
   First Hawaiian Inc.   324,860     6,809
   Fulton Financial Corp.   418,173     6,440
 1 Arbor Realty Trust Inc.   479,796     6,429
   Atlantic Union Bankshares Corp.   190,915     6,350
   Community Bank System Inc.   135,865     6,155
   Simmons First National Corp. Class A   318,639     6,118
   Independent Bank Corp.   111,613     5,823
   CVB Financial Corp.   336,815     5,733
   Pacific Premier Bancorp Inc.   243,998     5,578
   First Financial Bancorp   242,197     5,256
   Seacoast Banking Corp. of Florida   216,605     5,229
   Radian Group Inc.   175,449     5,113
   BankUnited Inc.   189,334     5,078
   Assured Guaranty Ltd.    55,328     5,068
   Banc of California Inc.   332,394     4,863
 * Enova International Inc.    75,992     4,806
   Bread Financial Holdings Inc.   125,457     4,802
 * StoneX Group Inc.    68,267     4,728
   WaFd Inc.   172,604     4,702
   Walker & Dunlop Inc.    48,509     4,627
   Renasant Corp.   142,874     4,516
   Stewart Information Services Corp.    69,614     4,384
   ServisFirst Bancshares Inc.    67,297     4,253
   Moelis & Co. Class A    78,018     4,216
   Trustmark Corp.   155,382     4,174
   NBT Bancorp Inc.   119,839     4,121
 
26

 

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

($000)
   Independent Bank Group Inc.    91,384     3,996
   Banner Corp.    87,400     3,832
   Cathay General Bancorp    97,965     3,826
   Horace Mann Educators Corp.   103,834     3,758
   Northwest Bancshares Inc.   323,296     3,705
 * NCR Atleos Corp.   170,156     3,703
   Piper Sandler Cos.    19,503     3,672
   Bank of Hawaii Corp.    60,669     3,657
   Hilltop Holdings Inc.   117,698     3,635
   WSFS Financial Corp.    84,953     3,601
   First Bancorp   104,496     3,565
   Ready Capital Corp.   402,846     3,557
   Navient Corp.   215,274     3,500
   Hope Bancorp Inc.   305,386     3,350
   Artisan Partners Asset Management Inc. Class A    76,581     3,298
   Mercury General Corp.    67,505     3,287
   National Bank Holdings Corp. Class A    95,986     3,248
   FB Financial Corp.    89,319     3,183
   PennyMac Mortgage Investment Trust   220,537     3,116
   Safety Insurance Group Inc.    37,586     3,088
 * American Equity Investment Life Holding Co.    53,933     2,995
   Employers Holdings Inc.    65,313     2,985
   Provident Financial Services Inc.   192,006     2,895
 * Encore Capital Group Inc.    59,784     2,870
   Stellar Bancorp Inc.   119,116     2,823
   Park National Corp.    21,492     2,762
   Veritex Holdings Inc.   138,030     2,710
   Franklin BSP Realty Trust Inc.   208,492     2,692
   PJT Partners Inc. Class A    24,475     2,580
 * PRA Group Inc.   100,181     2,561
 * Axos Financial Inc.    48,270     2,516
   Brookline Bancorp Inc.   225,512     2,203
   Lakeland Financial Corp.    34,401     2,191
 * NMI Holdings Inc. Class A    72,449     2,179
 * Payoneer Global Inc.   399,004     1,939
   Capitol Federal Financial Inc.   322,714     1,869
   First Commonwealth Financial Corp.   140,753     1,834
   Eagle Bancorp Inc.    76,394     1,820
   Dime Community Bancshares Inc.    88,617     1,661
   Heritage Financial Corp.    89,087     1,635
   ProAssurance Corp.   130,117     1,604
   Tompkins Financial Corp.    31,874     1,535
   City Holding Co.    15,142     1,521
          Shares Market
Value•

($000)
   Virtus Investment Partners Inc.     6,381     1,482
   AMERISAFE Inc.    27,915     1,473
   KKR Real Estate Finance Trust Inc.   148,649     1,449
   S&T Bancorp Inc.    45,876     1,431
   Apollo Commercial Real Estate Finance Inc.   126,178     1,414
 * EZCORP Inc. Class A   132,997     1,395
   TrustCo Bank Corp.    48,561     1,325
   Central Pacific Financial Corp.    69,028     1,288
   Southside Bancshares Inc.    44,677     1,280
 * Trupanion Inc.    47,419     1,268
   United Fire Group Inc.    54,179     1,262
   BancFirst Corp.    14,048     1,233
   Westamerica Bancorp    26,525     1,212
   Berkshire Hills Bancorp Inc.    55,818     1,200
   Hanmi Financial Corp.    77,583     1,172
   Northfield Bancorp Inc.   100,988     1,020
 * Green Dot Corp. Class A   115,143       945
 1 B. Riley Financial Inc.    42,131       772
   ARMOUR Residential REIT Inc.    38,672       766
   Brightsphere Investment Group Inc.    33,057       749
                       354,883
Health Care (9.9%)
   Organon & Co.   650,439    11,324
 * Cytokinetics Inc.   137,228     9,913
 * Fortrea Holdings Inc.   225,935     8,482
   Select Medical Holdings Corp.   267,558     7,286
   Premier Inc. Class A   304,516     6,352
   Patterson Cos. Inc.   216,565     5,867
 * ICU Medical Inc.    51,576     5,634
 * Owens & Minor Inc.   194,532     4,733
 * Merit Medical Systems Inc.    60,257     4,592
 * Prestige Consumer Healthcare Inc.    65,627     4,566
 * Alkermes plc   152,764     4,536
 * Pacira BioSciences Inc.   118,076     3,509
 * Ligand Pharmaceuticals Inc.    41,650     3,305
 * Omnicell Inc.   115,640     3,034
 * AMN Healthcare Services Inc.    44,188     2,487
 * Supernus Pharmaceuticals Inc.    83,174     2,470
 * Vir Biotechnology Inc.   219,779     2,470
 * Myriad Genetics Inc.   114,748     2,402
 * Tandem Diabetes Care Inc.    89,714     2,389
 * Avanos Medical Inc.   118,729     2,205
 * Addus HomeCare Corp.    23,861     2,202
 * AdaptHealth Corp. Class A   208,906     2,137
 
27

 

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

($000)
   Embecta Corp.   145,450     2,077
 * Cytek Biosciences Inc.   252,591     1,945
 * Certara Inc.   114,840     1,939
 * Pediatrix Medical Group Inc.   211,448     1,935
 * Corcept Therapeutics Inc.    80,626     1,895
   US Physical Therapy Inc.    17,213     1,829
   National HealthCare Corp.    18,100     1,786
 * Varex Imaging Corp.   102,757     1,767
 * Xencor Inc.    74,595     1,712
 * Schrodinger Inc.    61,438     1,564
 * Arcus Biosciences Inc.    81,175     1,553
 * Cross Country Healthcare Inc.    84,350     1,541
 * Harmony Biosciences Holdings Inc.    47,732     1,532
 * STAAR Surgical Co.    48,601     1,518
   Mesa Laboratories Inc.    13,075     1,428
 * Ironwood Pharmaceuticals Inc. Class A   150,825     1,422
 * Fulgent Genetics Inc.    51,430     1,160
 * Enhabit Inc.   127,967     1,152
 * Innoviva Inc.    71,982     1,100
 * REGENXBIO Inc.    58,895     1,027
 * Artivion Inc.    45,754       883
 * ModivCare Inc.    31,504       883
 * Agiliti Inc.    89,500       883
   HealthStream Inc.    28,638       781
 * Veradigm Inc.   124,453       746
   Simulations Plus Inc.    16,695       693
   Phibro Animal Health Corp. Class A    51,920       671
 * BioLife Solutions Inc.    35,516       600
                       139,917
Industrials (15.3%)
 * Alaska Air Group Inc.   326,135    12,194
 * Dycom Industries Inc.    74,692     9,448
   Hillenbrand Inc.   178,010     8,464
 * Resideo Technologies Inc.   371,726     8,301
   ABM Industries Inc.   166,837     6,892
 * Hub Group Inc. Class A   158,856     6,756
   MillerKnoll Inc.   187,024     5,714
 * Masterbrand Inc.   322,608     5,584
 * JetBlue Airways Corp.   847,903     5,494
   Kennametal Inc.   202,630     5,114
 * Hayward Holdings Inc.   320,720     4,743
   Enpro Inc.    29,266     4,560
   Barnes Group Inc.   128,907     4,504
 * CoreCivic Inc.   288,979     4,401
   Arcosa Inc.    50,863     4,222
 * OPENLANE Inc.   274,746     4,195
   Rush Enterprises Inc. Class A    85,422     4,160
   Greenbrier Cos. Inc.    79,077     4,092
 * Mercury Systems Inc.   132,703     3,964
          Shares Market
Value•

($000)
   Albany International Corp. Class A    41,244     3,872
   UniFirst Corp.    22,673     3,825
 * DNOW Inc.   269,970     3,820
 * GEO Group Inc.   310,244     3,807
   Korn Ferry    56,259     3,581
 * RXO Inc.   160,655     3,457
 * NV5 Global Inc.    32,336     3,289
   Kaman Corp.    71,728     3,286
   John Bean Technologies Corp.    32,375     3,285
   Wabash National Corp.   117,068     3,194
 * SkyWest Inc.    47,789     3,069
   Vestis Corp.   156,160     2,930
   Granite Construction Inc.    54,650     2,816
   Allegiant Travel Co.    38,336     2,790
 * Triumph Group Inc.   195,295     2,715
   Trinity Industries Inc.   103,925     2,638
   Forward Air Corp.    65,236     2,422
 * Healthcare Services Group Inc.   188,513     2,405
   Griffon Corp.    33,451     2,388
   Astec Industries Inc.    57,629     2,340
   Brady Corp. Class A    40,051     2,334
   Interface Inc. Class A   148,330     2,332
   Deluxe Corp.   110,819     2,151
   HNI Corp.    47,562     2,131
   CSG Systems International Inc.    36,971     2,017
   Kelly Services Inc. Class A    81,565     2,001
 * American Woodmark Corp.    18,441     1,849
   Apogee Enterprises Inc.    30,984     1,773
   Heidrick & Struggles International Inc.    51,363     1,746
   Lindsay Corp.    14,333     1,710
 * Titan International Inc.   129,151     1,648
 * Enviri Corp.   203,793     1,602
 * AAR Corp.    23,972     1,601
   Pitney Bowes Inc.   391,609     1,578
   Enerpac Tool Group Corp. Class A    45,783     1,543
   Marten Transport Ltd.    78,119     1,473
 * 3D Systems Corp.   340,628     1,410
 * DXP Enterprises Inc.    33,865     1,203
   Resources Connection Inc.    81,730     1,130
 * Vicor Corp.    27,075     1,008
 * TrueBlue Inc.    79,490       934
   Quanex Building Products Corp.    26,086       902
   TTEC Holdings Inc.    48,431       845
 * Proto Labs Inc.    23,024       839
 * Sun Country Airlines Holdings Inc.    54,686       820
   Matthews International Corp. Class A    28,009       811
*,1 SunPower Corp.   219,164       682
 
28

 

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

($000)
   Heartland Express Inc.    52,485       671
   Insteel Industries Inc.    18,373       669
 * Forrester Research Inc.    29,473       595
   National Presto Industries Inc.     7,488       579
                       217,318
Information Technology (9.8%)
 * DXC Technology Co.   492,876    10,774
 * Sanmina Corp.   145,689     9,208
 * SolarEdge Technologies Inc.    88,174     5,923
 * Itron Inc.    59,046     5,472
 * Viavi Solutions Inc.   566,061     5,406
   Xerox Holdings Corp.   287,758     5,367
 * NCR Voyix Corp.   338,238     4,942
 * Ultra Clean Holdings Inc.   114,055     4,927
 * Insight Enterprises Inc.    24,673     4,638
 * NetScout Systems Inc.   180,586     3,910
 * TTM Technologies Inc.   260,041     3,862
 * Envestnet Inc.    73,362     3,780
 * Viasat Inc.   190,033     3,719
 * Plexus Corp.    39,146     3,695
   Advanced Energy Industries Inc.    36,026     3,646
 * ACI Worldwide Inc.   102,225     3,364
 * Ichor Holdings Ltd.    74,606     3,193
 * Diodes Inc.    45,536     3,096
   Benchmark Electronics Inc.    91,084     2,797
 * ScanSource Inc.    63,368     2,739
 * Digi International Inc.    91,225     2,697
   Kulicke & Soffa Industries Inc.    53,070     2,527
 * Cohu Inc.    71,138     2,286
 * Perficient Inc.    34,425     2,233
 * Knowles Corp.   135,102     2,208
 * ePlus Inc.    26,635     2,194
   Methode Electronics Inc.    91,919     1,958
   PC Connection Inc.    28,834     1,914
 * Semtech Corp.    90,098     1,910
   Adeia Inc.   164,143     1,861
 * Harmonic Inc.   131,745     1,730
 * SiTime Corp.    18,535     1,714
 * Extreme Networks Inc.   132,350     1,673
 * SMART Global Holdings Inc.    78,196     1,663
 * Rogers Corp.    14,123     1,583
   CTS Corp.    34,990     1,559
 * Cerence Inc.   102,963     1,534
 * Corsair Gaming Inc.   110,394     1,430
 * MaxLinear Inc. Class A    71,998     1,400
 * Photronics Inc.    47,902     1,379
 * Alpha & Omega Semiconductor Ltd.    57,455     1,258
   A10 Networks Inc.    94,300     1,255
   ADTRAN Holdings Inc.   180,812     1,029
 * N-able Inc.    63,774       859
          Shares Market
Value•

($000)
 * CEVA Inc.    34,225       775
 * Digital Turbine Inc.   232,762       738
 * Consensus Cloud Solutions Inc.    45,465       724
 * Xperi Inc.    55,489       608
                       139,157
Materials (5.3%)
   Sealed Air Corp.   220,602     7,692
 * O-I Glass Inc.   394,711     6,679
   Balchem Corp.    36,108     5,676
   HB Fuller Co.    70,145     5,579
   Sylvamo Corp.    89,871     5,429
   Stepan Co.    54,086     4,825
   Sensient Technologies Corp.    61,246     4,096
 * Ingevity Corp.    85,667     3,913
   Quaker Chemical Corp.    16,895     3,387
   Minerals Technologies Inc.    41,316     2,990
   Kaiser Aluminum Corp.    40,648     2,948
   Innospec Inc.    23,372     2,904
   Mativ Holdings Inc.   138,362     2,403
   SunCoke Energy Inc.   212,458     2,275
   Compass Minerals International Inc.    86,143     1,964
   AdvanSix Inc.    68,805     1,925
 * Clearwater Paper Corp.    42,279     1,661
   Koppers Holdings Inc.    24,980     1,414
 * Century Aluminum Co.   132,106     1,383
   Mercer International Inc.   112,088     1,029
   Myers Industries Inc.    47,922       922
 * Metallus Inc.    42,153       917
   Olympic Steel Inc.    12,751       867
   Haynes International Inc.    14,302       850
 * Worthington Steel Inc.    24,114       764
                        74,492
Real Estate (9.4%)
   Macerich Co.   548,150     8,995
   SL Green Realty Corp.   163,869     7,944
   Highwoods Properties Inc.   268,869     6,574
   LXP Industrial Trust   745,123     6,453
   Douglas Emmett Inc.   424,163     5,607
   Phillips Edison & Co. Inc.   149,209     5,330
   Pebblebrook Hotel Trust   306,521     4,855
   Essential Properties Realty Trust Inc.   190,633     4,554
 * Cushman & Wakefield plc   427,423     4,270
   Retail Opportunity Investments Corp.   320,657     4,146
   Acadia Realty Trust   242,550     3,975
   JBG SMITH Properties   221,468     3,672
   Global Net Lease Inc.   498,036     3,591
   SITE Centers Corp.   242,544     3,294
   Innovative Industrial Properties Inc.    32,058     3,141
 
29

 

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

($000)
   Four Corners Property Trust Inc.   128,902     3,117
   Outfront Media Inc.   214,006     3,075
   Alexander & Baldwin Inc.   184,390     2,998
   Elme Communities   223,260     2,876
   Service Properties Trust   421,427     2,866
   Easterly Government Properties Inc. Class A   241,957     2,855
   American Assets Trust Inc.   123,406     2,662
   Kennedy-Wilson Holdings Inc.   301,187     2,644
   CareTrust REIT Inc.   112,511     2,538
   Safehold Inc.   113,593     2,285
   Centerspace    38,186     2,123
   Urban Edge Properties   123,140     2,095
   Hudson Pacific Properties Inc.   322,173     2,043
   LTC Properties Inc.    60,266     1,896
   Brandywine Realty Trust   439,325     1,889
   Getty Realty Corp.    69,786     1,840
   Veris Residential Inc.   122,884     1,794
 * Anywhere Real Estate Inc.   282,043     1,768
   Uniti Group Inc.   292,453     1,714
   NexPoint Residential Trust Inc.    58,334     1,704
   Xenia Hotels & Resorts Inc.   110,999     1,703
   Marcus & Millichap Inc.    35,845     1,315
   Chatham Lodging Trust   124,744     1,272
   Community Healthcare Trust Inc.    38,837     1,054
   Armada Hoffler Properties Inc.    98,096       999
   Summit Hotel Properties Inc.   134,520       864
   Whitestone REIT    61,176       754
   Universal Health Realty Income Trust    16,846       653
   Saul Centers Inc.    16,787       608
                       132,405
Utilities (2.2%)
   Avista Corp.   197,088     6,543
          Shares Market
Value•

($000)
   Clearway Energy Inc. Class C   246,531     5,375
   California Water Service Group    88,082     4,042
   Northwest Natural Holding Co.    93,521     3,436
   American States Water Co.    44,198     3,156
   Chesapeake Utilities Corp.    30,264     3,088
   SJW Group    42,064     2,316
   Middlesex Water Co.    24,545     1,249
   Unitil Corp.    22,607     1,152
   Clearway Energy Inc. Class A    48,282       978
                        31,335
Total Common Stocks
(Cost $1,428,566) 		1,411,447
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
2,3 Vanguard Market Liquidity Fund, 5.400%
(Cost $12,733) 		  127,349          12,734
Total Investments (100.6%)
(Cost $1,441,299) 		  1,424,181
Other Assets and Liabilities—Net (-0.6%)   (8,579)
Net Assets (100%)   1,415,602
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 $11,556,000.
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 $11,966,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
30

 

S&P Small-Cap 600 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index March 2024 40 4,115 59
  
See accompanying Notes, which are an integral part of the Financial Statements.
31

 

S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $1,428,566) 1,411,447
Affiliated Issuers (Cost $12,733) 12,734
Total Investments in Securities 1,424,181
Investment in Vanguard 44
Cash Collateral Pledged—Futures Contracts 230
Receivables for Investment Securities Sold 1,715
Receivables for Accrued Income 2,202
Receivables for Capital Shares Issued 84
Variation Margin Receivable—Futures Contracts 25
Total Assets 1,428,481
Liabilities  
Due to Custodian 619
Payables for Investment Securities Purchased 215
Collateral for Securities on Loan 11,966
Payables to Vanguard 79
Total Liabilities 12,879
Net Assets 1,415,602
1 Includes $11,556,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 1,667,883
Total Distributable Earnings (Loss) (252,281)
Net Assets 1,415,602
 
ETF Shares—Net Assets  
Applicable to 15,827,093 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		1,357,155
Net Asset Value Per Share—ETF Shares $85.75
 
Institutional Shares—Net Assets  
Applicable to 162,820 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		58,447
Net Asset Value Per Share—Institutional Shares $358.97
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

S&P Small-Cap 600 Value Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends 12,359
Interest1 31
Securities Lending—Net 216
Total Income 12,606
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 15
Management and Administrative—ETF Shares 836
Management and Administrative—Institutional Shares 19
Marketing and Distribution—ETF Shares 34
Marketing and Distribution—Institutional Shares 1
Custodian Fees 22
Shareholders’ Reports—ETF Shares 34
Shareholders’ Reports—Institutional Shares —
Trustees’ Fees and Expenses —
Other Expenses 9
Total Expenses 970
Net Investment Income 11,636
Realized Net Gain (Loss)  
Investment Securities Sold1,2 56,008
Futures Contracts 127
Realized Net Gain (Loss) 56,135
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 6,551
Futures Contracts 56
Change in Unrealized Appreciation (Depreciation) 6,607
Net Increase (Decrease) in Net Assets Resulting from Operations 74,378
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $27,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $137,538,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 11,636   24,782
Realized Net Gain (Loss) 56,135   (58,051)
Change in Unrealized Appreciation (Depreciation) 6,607   79,814
Net Increase (Decrease) in Net Assets Resulting from Operations 74,378   46,545
Distributions      
ETF Shares (17,209)   (23,212)
Institutional Shares (798)   (1,044)
Total Distributions (18,007)   (24,256)
Capital Share Transactions      
ETF Shares 25,039   7,972
Institutional Shares 3,230   (1,724)
Net Increase (Decrease) from Capital Share Transactions 28,269   6,248
Total Increase (Decrease) 84,640   28,537
Net Assets      
Beginning of Period 1,330,962   1,302,425
End of Period 1,415,602   1,330,962
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $82.73 $80.11 $88.82 $56.26 $61.62 $74.53
Investment Operations            
Net Investment Income2 .707 1.529 1.372 1.296 1.091 1.071
Net Realized and Unrealized Gain (Loss) on Investments 3.422 2.600 (8.648) 32.307 (5.393) (12.906)
Total from Investment Operations 4.129 4.129 (7.276) 33.603 (4.302) (11.835)
Distributions            
Dividends from Net Investment Income (1.109) (1.509) (1.434) (1.043) (1.058) (1.075)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (1.109) (1.509) (1.434) (1.043) (1.058) (1.075)
Net Asset Value, End of Period $85.75 $82.73 $80.11 $88.82 $56.26 $61.62
Total Return 5.05% 5.29% -8.28% 60.19% -7.08% -15.93%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,357 $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% 0.15%
Ratio of Net Investment Income to Average Net Assets 2.02% 1.89% 1.59% 1.61% 1.90% 1.66%
Portfolio Turnover Rate3 42% 45% 36% 30% 46% 39%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
2 Calculated based on average shares outstanding.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $346.33 $335.40 $371.84 $235.47 $257.69 $311.75
Investment Operations            
Net Investment Income1 3.112 6.654 5.824 5.457 4.805 4.609
Net Realized and Unrealized Gain (Loss) on Investments 14.282 10.833 (36.009) 135.457 (22.489) (53.914)
Total from Investment Operations 17.394 17.487 (30.185) 140.914 (17.684) (49.305)
Distributions            
Dividends from Net Investment Income (4.754) (6.557) (6.255) (4.544) (4.536) (4.755)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (4.754) (6.557) (6.255) (4.544) (4.536) (4.755)
Net Asset Value, End of Period $358.97 $346.33 $335.40 $371.84 $235.47 $257.69
Total Return 5.07% 5.39% -8.20% 60.32% -6.94% -15.87%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $58 $53 $53 $68 $42 $35
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.12% 1.96% 1.61% 1.67% 2.00% 1.73%
Portfolio Turnover Rate2 42% 45% 36% 30% 46% 39%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations,
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S&P Small-Cap 600 Value Index Fund
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 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
38

 

S&P Small-Cap 600 Value Index Fund
borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $44,000, 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 February 29, 2024, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
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S&P Small-Cap 600 Value Index Fund
D.  As of February 29, 2024, 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 1,442,434
Gross Unrealized Appreciation 138,428
Gross Unrealized Depreciation (156,622)
Net Unrealized Appreciation (Depreciation) (18,194)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $288,911,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $584,780,000 of investment securities and sold $554,390,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $445,500,000 and $452,304,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $254,285,000 and sales were $159,765,000, resulting in net realized gain of $399,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
ETF Shares1          
Issued 481,086 5,702   518,976 6,325
Issued in Lieu of Cash Distributions — —   — —
Redeemed (456,047) (5,325)   (511,004) (6,475)
Net Increase (Decrease)—ETF Shares 25,039 377   7,972 (150)
Institutional Shares          
Issued 8,340 26   7,943 23
Issued in Lieu of Cash Distributions 688 2   889 3
Redeemed (5,798) (17)   (10,556) (31)
Net Increase (Decrease)—Institutional Shares 3,230 11   (1,724) (5)
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
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S&P Small-Cap 600 Value Index Fund
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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.
At February 29, 2024, one shareholder was the record or beneficial owner of 31% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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S&P Small-Cap 600 Growth Index Fund
Fund Allocation
As of February 29, 2024
Communication Services 3.5%
Consumer Discretionary 16.7
Consumer Staples 3.0
Energy 6.3
Financials 10.8
Health Care 11.4
Industrials 21.3
Information Technology 13.9
Materials 6.3
Real Estate 5.3
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 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (3.5%)
   Cogent Communications Holdings Inc.  60,489   4,894
 * Madison Square Garden Sports Corp.  23,332   4,391
 * TripAdvisor Inc. 151,090   4,052
 * Yelp Inc. Class A  95,728   3,680
 * Cargurus Inc. Class A 119,762   2,652
 * Cinemark Holdings Inc. 148,220   2,581
 * Cars.com Inc.  85,982   1,577
   Shenandoah Telecommunications Co.  70,247   1,311
   Telephone & Data Systems Inc.  68,967   1,055
   Shutterstock Inc.  17,010     829
 * TechTarget Inc.  20,970     665
 * Gogo Inc.  40,615     331
   Marcus Corp.  18,077     265
                    28,283
Consumer Discretionary (16.7%)
 * Abercrombie & Fitch Co. Class A  70,351   8,988
   Meritage Homes Corp.  51,343   8,095
   Installed Building Products Inc.  32,963   7,876
   Signet Jewelers Ltd.  62,723   6,383
   American Eagle Outfitters Inc. 259,366   6,160
 * Shake Shack Inc. Class A  52,391   5,570
   Group 1 Automotive Inc.  19,307   5,225
 * M/I Homes Inc.  38,909   4,941
   Steven Madden Ltd.  98,000   4,196
   Kontoor Brands Inc.  69,859   4,129
 * Cavco Industries Inc.  10,820   4,031
 * Boot Barn Holdings Inc.  42,279   3,911
 * Frontdoor Inc. 111,261   3,489
   Patrick Industries Inc.  29,055   3,485
 * Stride Inc.  55,547   3,319
 * Urban Outfitters Inc.  79,089   3,286
 * Dave & Buster's Entertainment Inc.  48,031   2,965
          Shares Market
Value•

($000)
 * Asbury Automotive Group Inc.  14,074   2,939
 * Tri Pointe Homes Inc.  82,700   2,926
   LCI Industries  22,290   2,808
 * Adtalem Global Education Inc.  55,669   2,756
 * Dorman Products Inc.  27,343   2,576
 * Six Flags Entertainment Corp. 100,388   2,544
   Oxford Industries Inc.  20,492   2,078
 * Green Brick Partners Inc.  35,472   2,075
   Jack in the Box Inc.  28,084   2,050
 * LGI Homes Inc.  17,184   1,961
   Worthington Enterprises Inc.  29,388   1,826
   Century Communities Inc.  20,129   1,737
   Winnebago Industries Inc.  23,415   1,680
   Bloomin' Brands Inc.  59,442   1,616
 * XPEL Inc.  29,697   1,561
   Papa John's International Inc.  21,483   1,544
   Strategic Education Inc.  12,587   1,394
   Monarch Casino & Resort Inc.  18,621   1,310
   La-Z-Boy Inc.  32,526   1,236
 * Brinker International Inc.  25,896   1,200
 * Gentherm Inc.  21,096   1,199
   Upbound Group Inc.  34,767   1,174
   Cheesecake Factory Inc.  29,997   1,061
   Buckle Inc.  25,757   1,054
   Guess? Inc.  38,207     970
   Perdoceo Education Corp.  51,316     914
 * Sabre Corp. 281,347     746
   Golden Entertainment Inc.  18,257     677
 * Mister Car Wash Inc.  58,469     485
 * Chuy's Holdings Inc.  13,793     467
   Dine Brands Global Inc.   9,345     453
   Ethan Allen Interiors Inc.  13,174     440
 * iRobot Corp.  13,282     152
                   135,658
Consumer Staples (3.0%)
   WD-40 Co.  18,944   5,084
   Inter Parfums Inc.  24,998   3,668
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S&P Small-Cap 600 Growth Index Fund
          Shares Market
Value•

($000)
   Cal-Maine Foods Inc.  56,803   3,266
   J & J Snack Foods Corp.  21,556   3,127
 * Simply Good Foods Co.  79,808   2,832
   Andersons Inc.  23,432   1,295
   Energizer Holdings Inc.  42,750   1,220
   MGP Ingredients Inc.  12,679   1,080
 * National Beverage Corp.  17,924     944
   Vector Group Ltd.  83,255     929
   John B Sanfilippo & Son Inc.   6,653     681
   Tootsie Roll Industries Inc.  14,762     480
                    24,606
Energy (6.3%)
   SM Energy Co. 162,537   7,114
   California Resources Corp.  90,138   4,703
   Liberty Energy Inc. Class A 214,380   4,583
   Northern Oil & Gas Inc. 127,792   4,566
   Archrock Inc. 191,913   3,506
   CONSOL Energy Inc.  38,995   3,347
   Helmerich & Payne Inc.  75,036   2,881
   Patterson-UTI Energy Inc. 246,964   2,857
 * Par Pacific Holdings Inc.  77,754   2,808
 * Oceaneering International Inc. 140,729   2,781
 * Callon Petroleum Co.  77,710   2,421
 * Helix Energy Solutions Group Inc. 197,990   1,782
   Dorian LPG Ltd.  47,597   1,721
   Peabody Energy Corp.  69,219   1,715
 * REX American Resources Corp.  21,250     935
   RPC Inc. 118,829     878
 * Vital Energy Inc.  16,635     837
   CVR Energy Inc.  22,344     741
   Comstock Resources Inc.  65,700     562
   Core Laboratories Inc.  28,664     429
 * Oil States International Inc.  43,416     234
                    51,401
Financials (10.8%)
   Assured Guaranty Ltd.  45,553   4,173
   First Bancorp 241,096   4,094
   Radian Group Inc. 117,700   3,430
 * Bancorp Inc.  74,968   3,347
   EVERTEC Inc.  91,904   3,320
 * American Equity Investment Life Holding Co.  57,589   3,198
   Moelis & Co. Class A  50,241   2,715
 * Palomar Holdings Inc.  34,531   2,629
 * Goosehead Insurance Inc. Class A  34,203   2,587
   OFG Bancorp  65,711   2,380
 * Axos Financial Inc.  45,274   2,360
   Artisan Partners Asset Management Inc. Class A  53,608   2,309
 * Triumph Financial Inc.  30,256   2,269
          Shares Market
Value•

($000)
 * Donnelley Financial Solutions Inc.  34,602   2,234
 * NMI Holdings Inc. Class A  73,655   2,216
 * Customers Bancorp Inc.  39,531   2,147
   ServisFirst Bancshares Inc.  31,497   1,990
   Piper Sandler Cos.  10,302   1,940
 * PROG Holdings Inc.  62,482   1,929
   Walker & Dunlop Inc.  20,084   1,916
   PJT Partners Inc. Class A  17,766   1,873
   Cathay General Bancorp  47,678   1,862
   Pathward Financial Inc.  36,598   1,861
   Two Harbors Investment Corp. 134,401   1,703
   WSFS Financial Corp.  38,190   1,619
 * SiriusPoint Ltd. 126,487   1,552
   Virtus Investment Partners Inc.   5,963   1,385
   Bank of Hawaii Corp.  22,228   1,340
   Apollo Commercial Real Estate Finance Inc. 112,727   1,264
   Preferred Bank  17,441   1,253
   City Holding Co.  12,417   1,248
   WisdomTree Inc. 154,390   1,244
   Ellington Financial Inc. 109,642   1,242
   BancFirst Corp.  12,552   1,101
   Lakeland Financial Corp.  16,700   1,064
   Park National Corp.   8,220   1,056
   Westamerica Bancorp  22,706   1,038
 * Ambac Financial Group Inc.  63,064   1,032
   Redwood Trust Inc. 165,969   1,017
 1 ARMOUR Residential REIT Inc.  47,225     935
   New York Mortgage Trust Inc. 126,407     911
   S&T Bancorp Inc.  28,295     883
   First Commonwealth Financial Corp.  65,588     855
   HCI Group Inc.   8,411     821
 * Payoneer Global Inc. 144,978     705
 * Trupanion Inc.  23,935     640
   Berkshire Hills Bancorp Inc.  29,335     630
   Brightsphere Investment Group Inc.  27,066     613
   AMERISAFE Inc.  11,531     608
 * World Acceptance Corp.   4,769     571
   Southside Bancshares Inc.  15,640     448
                    87,557
Health Care (11.4%)
   Ensign Group Inc.  78,860   9,851
 * Glaukos Corp.  68,029   6,027
 * Integer Holdings Corp.  46,549   5,134
 * Cytokinetics Inc.  61,661   4,454
 * Alkermes plc 149,250   4,431
 * Merit Medical Systems Inc.  47,601   3,627
   CONMED Corp.  42,984   3,452
 * Privia Health Group Inc. 143,494   3,203
 
44

 

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

($000)
 * RadNet Inc.  84,423   3,196
 * CorVel Corp.  12,669   3,091
 * Vericel Corp.  66,773   3,050
 * NeoGenomics Inc. 178,120   2,779
 * Astrana Health Inc.  58,047   2,614
 * Catalyst Pharmaceuticals Inc. 154,771   2,481
 * Amphastar Pharmaceuticals Inc.  52,220   2,432
 * Prestige Consumer Healthcare Inc.  33,294   2,317
 * Dynavax Technologies Corp. 180,493   2,287
 * UFP Technologies Inc.   9,789   2,039
   LeMaitre Vascular Inc.  27,711   1,940
 * Corcept Therapeutics Inc.  81,977   1,926
 * Collegium Pharmaceutical Inc.  45,562   1,673
 * AMN Healthcare Services Inc.  28,535   1,606
 * Certara Inc.  86,720   1,464
 * ANI Pharmaceuticals Inc.  21,107   1,428
 * STAAR Surgical Co.  41,579   1,299
 * Myriad Genetics Inc.  60,768   1,272
   US Physical Therapy Inc.  11,527   1,225
 * Tandem Diabetes Care Inc.  41,851   1,114
 * Schrodinger Inc.  42,830   1,090
 * Ironwood Pharmaceuticals Inc. Class A 109,407   1,032
 * Xencor Inc.  44,241   1,015
 * Supernus Pharmaceuticals Inc.  30,534     907
 * Addus HomeCare Corp.   9,528     879
   National HealthCare Corp.   8,865     875
 * OraSure Technologies Inc. 102,663     739
 * Harmony Biosciences Holdings Inc.  19,665     631
 * Innoviva Inc.  39,550     604
 * Arcus Biosciences Inc.  30,789     589
 * Artivion Inc.  29,457     569
   Simulations Plus Inc.  13,121     545
 * BioLife Solutions Inc.  29,224     494
   HealthStream Inc.  17,718     483
 * REGENXBIO Inc.  24,181     422
*,2 OmniAb Inc. 12.5 Earnout   7,390      —
*,2 OmniAb Inc. 15 Earnout   7,390      —
                    92,286
Industrials (21.2%)
   Applied Industrial Technologies Inc.  54,169  10,286
   Mueller Industries Inc. 158,616   8,150
   AAON Inc.  94,233   7,914
   Boise Cascade Co.  55,321   7,519
 * SPX Technologies Inc.  63,794   7,476
   Armstrong World Industries Inc.  61,724   7,445
          Shares Market
Value•

($000)
   Federal Signal Corp.  85,126   6,973
   Moog Inc. Class A  40,175   6,024
   Franklin Electric Co. Inc.  55,418   5,761
   Matson Inc.  48,791   5,418
   Encore Wire Corp.  22,032   5,310
 * GMS Inc.  56,730   5,067
 * Verra Mobility Corp. Class A 232,398   5,024
   ArcBest Corp.  33,069   4,724
 * AeroVironment Inc.  36,738   4,658
 * MYR Group Inc.  23,356   3,794
   ESCO Technologies Inc.  36,019   3,670
   Arcosa Inc.  40,197   3,336
 * PGT Innovations Inc.  79,704   3,329
 * Gibraltar Industries Inc.  42,548   3,295
   Tennant Co.  26,082   2,952
   Alamo Group Inc.  14,430   2,919
   Standex International Corp.  16,627   2,876
   Griffon Corp.  38,909   2,778
   Korn Ferry  42,726   2,720
   John Bean Technologies Corp.  26,702   2,710
   AZZ Inc.  35,021   2,550
   Brady Corp. Class A  40,698   2,372
   Powell Industries Inc.  12,726   2,357
 * AAR Corp.  33,745   2,253
   Enpro Inc.  13,134   2,047
 * SkyWest Inc.  30,882   1,983
   Albany International Corp. Class A  20,908   1,963
   Rush Enterprises Inc. Class A  37,804   1,841
   Vestis Corp.  96,825   1,816
   HNI Corp.  39,055   1,750
   Enerpac Tool Group Corp. Class A  50,831   1,714
 * RXO Inc.  75,228   1,619
   Granite Construction Inc.  31,296   1,613
   UniFirst Corp.   8,643   1,458
   Trinity Industries Inc.  57,200   1,452
 * American Woodmark Corp.  12,889   1,292
   Quanex Building Products Corp.  31,739   1,098
 * Viad Corp.  29,210   1,087
   CSG Systems International Inc.  19,450   1,061
   Lindsay Corp.   7,528     898
 * Proto Labs Inc.  23,415     853
   Apogee Enterprises Inc.  13,862     793
   Matthews International Corp. Class A  27,196     787
   Marten Transport Ltd.  37,833     713
   Insteel Industries Inc.  17,181     626
 * Vicor Corp.  16,651     620
 * Liquidity Services Inc.  31,437     564
   Heartland Express Inc.  35,197     450
 
45

 

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

($000)
 * Sun Country Airlines Holdings Inc.  24,642     370
   National Presto Industries Inc.   3,224     249
                   172,377
Information Technology (13.9%)
 * Fabrinet  50,784  10,948
 * SPS Commerce Inc.  51,274   9,493
   Badger Meter Inc.  40,993   6,505
 * DoubleVerify Holdings Inc. 194,742   6,016
 * Alarm.com Holdings Inc.  69,842   5,286
 * Axcelis Technologies Inc.  45,745   5,154
 * Insight Enterprises Inc.  25,167   4,731
 * FormFactor Inc. 108,762   4,680
   InterDigital Inc.  35,921   3,844
   Advanced Energy Industries Inc.  32,307   3,269
   Progress Software Corp.  60,879   3,248
 * LiveRamp Holdings Inc.  91,617   3,205
 * ACI Worldwide Inc.  95,728   3,150
 * Itron Inc.  31,161   2,888
 * OSI Systems Inc.  21,856   2,867
 * Veeco Instruments Inc.  78,677   2,849
 * Diodes Inc.  39,180   2,663
   Kulicke & Soffa Industries Inc.  49,717   2,368
 * Agilysys Inc.  28,324   2,204
 * SolarEdge Technologies Inc.  30,856   2,073
 * Perficient Inc.  29,692   1,926
 * ePlus Inc.  22,980   1,893
 * Photronics Inc.  61,176   1,761
 * Rogers Corp.  15,686   1,758
 * Plexus Corp.  16,875   1,593
 * Envestnet Inc.  29,202   1,505
 * PDF Solutions Inc.  42,720   1,452
 * Arlo Technologies Inc. 132,230   1,377
 * Extreme Networks Inc. 108,693   1,374
 * SiTime Corp.  14,037   1,298
 * MaxLinear Inc. Class A  64,291   1,250
 * Harmonic Inc.  84,439   1,109
   CTS Corp.  24,399   1,087
 * Cohu Inc.  27,194     874
 * Semtech Corp.  40,371     856
 * Knowles Corp.  51,695     845
 * N-able Inc.  62,049     836
   Adeia Inc.  59,908     679
 * SMART Global Holdings Inc.  29,785     634
   A10 Networks Inc.  45,585     607
 * Xperi Inc.  30,152     330
 * CEVA Inc.  14,169     321
                   112,806
Materials (6.3%)
 * ATI Inc. 178,268   8,767
   Alpha Metallurgical Resources Inc.  16,501   6,225
          Shares Market
Value•

($000)
   Carpenter Technology Corp.  68,908   4,455
   Warrior Met Coal Inc.  72,721   4,143
   Balchem Corp.  25,231   3,966
   Materion Corp.  28,868   3,877
   HB Fuller Co.  36,996   2,942
   Sealed Air Corp.  80,692   2,814
   Innospec Inc.  21,888   2,720
   Quaker Chemical Corp.  10,066   2,018
   Hawkins Inc.  26,393   1,854
   Sensient Technologies Corp.  25,361   1,696
   Minerals Technologies Inc.  22,717   1,644
 * Worthington Steel Inc.  29,427     932
   Koppers Holdings Inc.  15,438     874
 * Metallus Inc.  30,468     663
   Haynes International Inc.   9,950     591
   Myers Industries Inc.  25,313     487
   Olympic Steel Inc.   6,744     459
                    51,127
Real Estate (5.2%)
   Apple Hospitality REIT Inc. 297,327   4,784
   Tanger Inc. 147,183   4,240
   Sunstone Hotel Investors Inc. 287,055   3,212
   Phillips Edison & Co. Inc.  85,255   3,045
   DiamondRock Hospitality Co. 292,923   2,754
   Essential Properties Realty Trust Inc. 113,365   2,708
   St. Joe Co.  49,738   2,680
   CareTrust REIT Inc. 104,846   2,365
   Innovative Industrial Properties Inc.  21,545   2,111
   Urban Edge Properties  97,060   1,651
   SITE Centers Corp. 118,192   1,605
   eXp World Holdings Inc. 107,499   1,408
   Four Corners Property Trust Inc.  55,697   1,347
   Xenia Hotels & Resorts Inc.  87,228   1,338
   Outfront Media Inc.  85,062   1,222
   Uniti Group Inc. 173,169   1,015
   LTC Properties Inc.  24,879     783
   Getty Realty Corp.  28,835     760
   Veris Residential Inc.  44,870     655
   Marcus & Millichap Inc.  13,604     499
   Summit Hotel Properties Inc.  76,814     493
   Armada Hoffler Properties Inc.  40,535     413
   Whitestone REIT  32,425     400
   Community Healthcare Trust Inc.  14,186     385
   Universal Health Realty Income Trust   8,542     331
   Saul Centers Inc.   8,846     320
                    42,524
Utilities (1.5%)
   Otter Tail Corp.  58,304   5,274
 
46

 

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

($000)
   American States Water Co.  27,410   1,957
   California Water Service Group  32,274   1,481
   Chesapeake Utilities Corp.  13,631   1,391
   SJW Group  17,453     961
   Middlesex Water Co.  11,445     583
   Unitil Corp.  10,067     513
                    12,160
Total Common Stocks
(Cost $708,526) 		810,785
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
3,4 Vanguard Market Liquidity Fund, 5.400%
(Cost $1,380) 		 13,807        1,380
Total Investments (100.0%)
(Cost $709,906) 		  812,165
Other Assets and Liabilities—Net (0.0%)   349
Net Assets (100%)   812,514
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 $283,000.
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 $286,000 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 March 2024 16 1,646 45
  
See accompanying Notes, which are an integral part of the Financial Statements.
47

 

S&P Small-Cap 600 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $708,526) 810,785
Affiliated Issuers (Cost $1,380) 1,380
Total Investments in Securities 812,165
Investment in Vanguard 22
Cash Collateral Pledged—Futures Contracts 110
Receivables for Accrued Income 548
Receivables for Capital Shares Issued 5
Variation Margin Receivable—Futures Contracts 11
Total Assets 812,861
Liabilities  
Due to Custodian 12
Payables for Investment Securities Purchased 5
Collateral for Securities on Loan 286
Payables to Vanguard 44
Total Liabilities 347
Net Assets 812,514
1 Includes $283,000 of securities on loan.  
 
At February 29, 2024, net assets consisted of:

   
Paid-in Capital 886,295
Total Distributable Earnings (Loss) (73,781)
Net Assets 812,514
   
ETF Shares—Net Assets  
Applicable to 7,440,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		812,514
Net Asset Value Per Share—ETF Shares $109.21
See accompanying Notes, which are an integral part of the Financial Statements.
48

 

S&P Small-Cap 600 Growth Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 4,012
Interest2 25
Securities Lending—Net 10
Total Income 4,047
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 7
Management and Administrative 396
Marketing and Distribution 16
Custodian Fees 9
Shareholders’ Reports 24
Trustees’ Fees and Expenses —
Other Expenses 9
Total Expenses 461
Net Investment Income 3,586
Realized Net Gain (Loss)  
Investment Securities Sold2,3 5,642
Futures Contracts (12)
Realized Net Gain (Loss) 5,630
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 52,082
Futures Contracts 44
Change in Unrealized Appreciation (Depreciation) 52,126
Net Increase (Decrease) in Net Assets Resulting from Operations 61,342
1 Dividends are net of foreign withholding taxes of $11,000.
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 $23,000, 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 $20,727,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
49

 

S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024 		  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 3,586   7,009
Realized Net Gain (Loss) 5,630   (58,246)
Change in Unrealized Appreciation (Depreciation) 52,126   78,713
Net Increase (Decrease) in Net Assets Resulting from Operations 61,342   27,476
Distributions      
Total Distributions (4,368)   (6,513)
Capital Share Transactions      
Issued 221,014   129,942
Issued in Lieu of Cash Distributions —   —
Redeemed (58,240)   (51,267)
Net Increase (Decrease) from Capital Share Transactions 162,774   78,675
Total Increase (Decrease) 219,748   99,638
Net Assets      
Beginning of Period 592,766   493,128
End of Period 812,514   592,766
See accompanying Notes, which are an integral part of the Financial Statements.
50

 

S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
February 29,
2024 		Year Ended August 31,
20231 20221 20211 20201 20191
Net Asset Value, Beginning of Period $100.47 $96.69 $116.59 $79.48 $76.17 $89.71
Investment Operations            
Net Investment Income2 .582 1.292 .927 .813 .732 .738
Net Realized and Unrealized Gain (Loss) on Investments 8.884 3.709 (19.803) 36.946 3.323 (13.572)
Total from Investment Operations 9.466 5.001 (18.876) 37.759 4.055 (12.834)
Distributions            
Dividends from Net Investment Income (.726) (1.221) (1.024) (.649) (.745) (.706)
Distributions from Realized Capital Gains — — — — — —
Total Distributions (.726) (1.221) (1.024) (.649) (.745) (.706)
Net Asset Value, End of Period $109.21 $100.47 $96.69 $116.59 $79.48 $76.17
Total Return 9.48% 5.28% -16.27% 47.68% 5.37% -14.32%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $813 $593 $493 $565 $326 $392
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets 1.12% 1.35% 0.87% 0.79% 0.97% 0.94%
Portfolio Turnover Rate3 42% 45% 42% 35% 57% 47%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Adjusted to reflect a 2-for-1 share split effective March 13, 2023.
2 Calculated based on average shares outstanding.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Small-Cap 600 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. Since inception, the fund has not issued any Institutional Shares and in March 2024, the board of trustees approved the closure of the Vanguard S&P Small-Cap 600 Growth Institutional Share Class effective March 21, 2024.
A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 29, 2024, 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 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 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 six months ended February 29, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2024, the fund had contributed to Vanguard capital in the amount of $22,000, 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.
54

 

S&P Small-Cap 600 Growth Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 810,785 — — 810,785
Temporary Cash Investments 1,380 — — 1,380
Total 812,165 — — 812,165
Derivative Financial Instruments        
Assets        
Futures Contracts1 45 — — 45
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D.  As of February 29, 2024, 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 710,589
Gross Unrealized Appreciation 129,269
Gross Unrealized Depreciation (27,648)
Net Unrealized Appreciation (Depreciation) 101,621
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2023, the fund had available capital losses totaling $181,750,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E.  During the six months ended February 29, 2024, the fund purchased $270,192,000 of investment securities and sold $264,653,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $211,324,000 and $55,376,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2024, such purchases were $154,687,000 and sales were $203,571,000, resulting in net realized loss of $12,883,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
55

 

S&P Small-Cap 600 Growth Index Fund
F.  Capital shares issued and redeemed were:
  Six Months Ended
February 29, 2024 		  Year Ended
August 31, 2023
  Shares
(000) 		  Shares
(000)
ETF Shares1      
Issued 2,110   1,350
Issued in Lieu of Cash Distributions —   —
Redeemed (570)   (550)
Net Increase (Decrease) in Shares Outstanding—ETF Shares 1,540   800
1 2023 shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, 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 other events or transactions occurred, except as disclosed in the organizational note, subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
56

 

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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Q18452 042024

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

 

 

 

Item 6: Investments.

 

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

 

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

 

Not applicable.

 

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

 

Not applicable.

 

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

 

Not applicable.

 

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

 

Not applicable.

 

Item 11: Controls and Procedures.

 

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

 

(b) Internal Control Over Financial Reporting. In February 2024, a third-party service provider began performing security pricing services for the Registrant. There were no other changes in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

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

 

Not applicable.

 

Item 13: Exhibits.

 

(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: April 25, 2024

 

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

 

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

 

Date: April 25, 2024

 

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

Date: April 25, 2024

 

* 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.