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: 811-02652
Name of Registrant: | Vanguard Index 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: December 31
Date of reporting period: January 1, 2023—June 30, 2023
Item 1: Reports to Shareholders
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 27 |
Liquidity Risk Management | 29 |
• | 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. |
• | 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. |
Six Months Ended June 30, 2023 | |||
Beginning Account Value 12/31/2022 | Ending Account Value 6/30/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
500 Index Fund | |||
Investor Shares | $1,000.00 | $1,168.10 | $0.75 |
ETF Shares | 1,000.00 | 1,168.70 | 0.16 |
Admiral™ Shares | 1,000.00 | 1,168.70 | 0.22 |
Institutional Select Shares | 1,000.00 | 1,168.90 | 0.05 |
Based on Hypothetical 5% Yearly Return | |||
500 Index Fund | |||
Investor Shares | $1,000.00 | $1,024.10 | $0.70 |
ETF Shares | 1,000.00 | 1,024.65 | 0.15 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Select Shares | 1,000.00 | 1,024.75 | 0.05 |
Communication Services | 8.4% |
Consumer Discretionary | 10.6 |
Consumer Staples | 6.7 |
Energy | 4.1 |
Financials | 12.4 |
Health Care | 13.4 |
Industrials | 8.5 |
Information Technology | 28.3 |
Materials | 2.5 |
Real Estate | 2.5 |
Utilities | 2.6 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 10,010 | 2,246,369 | 57,839 |
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) |
Bank of New York Mellon Corp. | 8/31/23 | BANA | 17,808 | (5.522) | — | (74) |
Global Payments Inc. | 8/31/23 | BANA | 59,112 | (5.618) | — | (60) |
Global Payments Inc. | 8/31/23 | BANA | 29,556 | (5.617) | — | (15) |
Global Payments Inc. | 8/31/23 | BANA | 13,793 | (5.522) | — | (28) |
Global Payments Inc. | 8/31/23 | BANA | 13,793 | (5.522) | — | (28) |
Global Payments Inc. | 8/31/23 | BANA | 9,852 | (5.522) | — | (20) |
Global Payments Inc. | 8/31/23 | BANA | 7,389 | (5.522) | — | (15) |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 154,819 | (5.672) | 465 | — |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 55,154 | (5.672) | 166 | — |
Kroger Co. | 1/31/24 | GSI | 45,940 | (5.066) | 963 | — |
Netflix Inc. | 8/31/23 | BANA | 44,049 | (5.072) | — | (167) |
VICI Properties Inc. Class A | 8/31/23 | BANA | 83,290 | (5.622) | 650 | — |
Visa Inc. Class A | 8/31/23 | BANA | 59,370 | (4.972) | — | (116) |
2,244 | (523) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $544,648,036) | 884,236,400 |
Affiliated Issuers (Cost $3,422,757) | 3,423,378 |
Total Investments in Securities | 887,659,778 |
Investment in Vanguard | 29,151 |
Cash Collateral Pledged—Futures Contracts | 113,379 |
Receivables for Investment Securities Sold | 12,154 |
Receivables for Accrued Income | 660,562 |
Receivables for Capital Shares Issued | 420,346 |
Variation Margin Receivable—Futures Contracts | 26,566 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,244 |
Total Assets | 888,924,180 |
Liabilities | |
Due to Custodian | 78,084 |
Payables for Investment Securities Purchased | 118,301 |
Collateral for Securities on Loan | 57,079 |
Payables for Capital Shares Redeemed | 393,679 |
Payables for Distributions | 1,249,142 |
Payables to Vanguard | 11,500 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 523 |
Total Liabilities | 1,908,308 |
Net Assets | 887,015,872 |
1 Includes $53,419,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 555,960,925 |
Total Distributable Earnings (Loss) | 331,054,947 |
Net Assets | 887,015,872 |
Investor Shares—Net Assets | |
Applicable to 7,669,553 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,149,379 |
Net Asset Value Per Share—Investor Shares | $410.63 |
ETF Shares—Net Assets | |
Applicable to 800,034,668 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 325,949,536 |
Net Asset Value Per Share—ETF Shares | $407.42 |
Admiral Shares—Net Assets | |
Applicable to 1,035,493,734 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 425,129,392 |
Net Asset Value Per Share—Admiral Shares | $410.56 |
Institutional Select Shares—Net Assets | |
Applicable to 610,248,539 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 132,787,565 |
Net Asset Value Per Share—Institutional Select Shares | $217.60 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 6,612,907 |
Interest2 | 57,777 |
Securities Lending—Net | 438 |
Total Income | 6,671,122 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 9,011 |
Management and Administrative—Investor Shares | 2,068 |
Management and Administrative—ETF Shares | 29,431 |
Management and Administrative—Admiral Shares | 63,056 |
Management and Administrative—Institutional Select Shares | 4,296 |
Marketing and Distribution—Investor Shares | 71 |
Marketing and Distribution—ETF Shares | 7,429 |
Marketing and Distribution—Admiral Shares | 8,808 |
Marketing and Distribution—Institutional Select Shares | 126 |
Custodian Fees | 1,426 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 1,818 |
Shareholders’ Reports—Admiral Shares | 900 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 209 |
Other Expenses | 13 |
Total Expenses | 128,663 |
Expenses Paid Indirectly | (111) |
Net Expenses | 128,552 |
Net Investment Income | 6,542,570 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 4,465,416 |
Futures Contracts | 152,413 |
Swap Contracts | 3,298 |
Realized Net Gain (Loss) | 4,621,127 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 115,221,713 |
Futures Contracts | 117,764 |
Swap Contracts | (1,385) |
Change in Unrealized Appreciation (Depreciation) | 115,338,092 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 126,501,789 |
1 | Dividends are net of foreign withholding taxes of $1,844,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $54,938,000, $55,000, and ($323,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $7,325,439,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 6,542,570 | 12,276,461 | |
Realized Net Gain (Loss) | 4,621,127 | 27,249,293 | |
Change in Unrealized Appreciation (Depreciation) | 115,338,092 | (197,719,707) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 126,501,789 | (158,193,953) | |
Distributions | |||
Investor Shares | (23,477) | (51,118) | |
ETF Shares | (2,375,716) | (4,305,991) | |
Admiral Shares | (3,167,500) | (6,152,722) | |
Institutional Select Shares | (992,736) | (1,760,089) | |
Total Distributions | (6,559,429) | (12,269,920) | |
Capital Share Transactions | |||
Investor Shares | (411,083) | (599,158) | |
ETF Shares | 20,839,421 | 39,905,931 | |
Admiral Shares | (820,390) | 2,645,315 | |
Institutional Select Shares | 2,695,841 | 17,199,992 | |
Net Increase (Decrease) from Capital Share Transactions | 22,303,789 | 59,152,080 | |
Total Increase (Decrease) | 142,246,149 | (111,311,793) | |
Net Assets | |||
Beginning of Period | 744,769,723 | 856,081,516 | |
End of Period | 887,015,872 | 744,769,723 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $354.17 | $439.86 | $346.60 | $298.16 | $231.44 | $246.82 |
Investment Operations | ||||||
Net Investment Income1 | 2.881 | 5.605 | 4.910 | 5.128 | 4.801 | 4.896 |
Net Realized and Unrealized Gain (Loss) on Investments | 56.444 | (85.733) | 93.389 | 48.323 | 67.211 | (15.776) |
Total from Investment Operations | 59.325 | (80.128) | 98.299 | 53.451 | 72.012 | (10.880) |
Distributions | ||||||
Dividends from Net Investment Income | (2.865) | (5.562) | (5.039) | (5.011) | (5.292) | (4.500) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.865) | (5.562) | (5.039) | (5.011) | (5.292) | (4.500) |
Net Asset Value, End of Period | $410.63 | $354.17 | $439.86 | $346.60 | $298.16 | $231.44 |
Total Return2 | 16.81% | -18.23% | 28.53% | 18.25% | 31.33% | -4.52% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,149 | $3,093 | $4,512 | $4,504 | $4,723 | $23,162 |
Ratio of Total Expenses to Average Net Assets | 0.14%3 | 0.14%3 | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 1.51% | 1.47% | 1.25% | 1.73% | 1.82% | 1.95% |
Portfolio Turnover Rate4 | 1% | 2% | 2% | 4% | 4% | 4% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.14%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $351.41 | $436.47 | $343.93 | $295.87 | $229.68 | $244.94 |
Investment Operations | ||||||
Net Investment Income1 | 3.066 | 6.012 | 5.353 | 5.413 | 5.298 | 5.196 |
Net Realized and Unrealized Gain (Loss) on Investments | 56.008 | (85.125) | 92.624 | 47.950 | 66.463 | (15.719) |
Total from Investment Operations | 59.074 | (79.113) | 97.977 | 53.363 | 71.761 | (10.523) |
Distributions | ||||||
Dividends from Net Investment Income | (3.064) | (5.947) | (5.437) | (5.303) | (5.571) | (4.737) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.064) | (5.947) | (5.437) | (5.303) | (5.571) | (4.737) |
Net Asset Value, End of Period | $407.42 | $351.41 | $436.47 | $343.93 | $295.87 | $229.68 |
Total Return2 | 16.87% | -18.15% | 28.66% | 18.35% | 31.46% | -4.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $325,950 | $262,211 | $279,850 | $177,991 | $130,728 | $90,639 |
Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% | 0.03% |
Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.60% | 1.36% | 1.83% | 1.98% | 2.06% |
Portfolio Turnover Rate4 | 1% | 2% | 2% | 4% | 4% | 4% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $354.11 | $439.83 | $346.57 | $298.14 | $231.44 | $246.82 |
Investment Operations | ||||||
Net Investment Income1 | 3.070 | 6.000 | 5.326 | 5.427 | 5.319 | 5.181 |
Net Realized and Unrealized Gain (Loss) on Investments | 56.447 | (85.767) | 93.371 | 48.314 | 66.962 | (15.808) |
Total from Investment Operations | 59.517 | (79.767) | 98.697 | 53.741 | 72.281 | (10.627) |
Distributions | ||||||
Dividends from Net Investment Income | (3.067) | (5.953) | (5.437) | (5.311) | (5.581) | (4.753) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.067) | (5.953) | (5.437) | (5.311) | (5.581) | (4.753) |
Net Asset Value, End of Period | $410.56 | $354.11 | $439.83 | $346.57 | $298.14 | $231.44 |
Total Return2 | 16.87% | -18.15% | 28.66% | 18.37% | 31.46% | -4.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $425,129 | $367,498 | $453,239 | $359,553 | $319,624 | $230,375 |
Ratio of Total Expenses to Average Net Assets | 0.04%3 | 0.04%3 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.58% | 1.35% | 1.83% | 1.97% | 2.05% |
Portfolio Turnover Rate4 | 1% | 2% | 2% | 4% | 4% | 4% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Institutional Select Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $187.66 | $233.06 | $183.64 | $157.98 | $122.64 | $130.79 |
Investment Operations | ||||||
Net Investment Income1 | 1.658 | 3.249 | 2.885 | 2.924 | 2.857 | 2.808 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.918 | (45.458) | 49.478 | 25.597 | 35.484 | (8.400) |
Total from Investment Operations | 31.576 | (42.209) | 52.363 | 28.521 | 38.341 | (5.592) |
Distributions | ||||||
Dividends from Net Investment Income | (1.636) | (3.191) | (2.943) | (2.861) | (3.001) | (2.558) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.636) | (3.191) | (2.943) | (2.861) | (3.001) | (2.558) |
Net Asset Value, End of Period | $217.60 | $187.66 | $233.06 | $183.64 | $157.98 | $122.64 |
Total Return | 16.89% | -18.13% | 28.70% | 18.40% | 31.49% | -4.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $132,788 | $111,968 | $118,481 | $94,870 | $81,230 | $56,531 |
Ratio of Total Expenses to Average Net Assets | 0.01%2 | 0.01%2 | 0.01% | 0.01% | 0.01% | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 1.64% | 1.62% | 1.38% | 1.86% | 2.00% | 2.08% |
Portfolio Turnover Rate3 | 1% | 2% | 2% | 4% | 4% | 4% |
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 0.01%. |
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. |
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. |
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. |
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 June 30, 2023, custodian fee offset arrangements reduced the fund’s expenses by $111,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 884,236,400 | — | — | 884,236,400 |
Temporary Cash Investments | 3,423,378 | — | — | 3,423,378 |
Total | 887,659,778 | — | — | 887,659,778 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 57,839 | — | — | 57,839 |
Swap Contracts | — | 2,244 | — | 2,244 |
Total | 57,839 | 2,244 | — | 60,083 |
Liabilities | ||||
Swap Contracts | — | 523 | — | 523 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | As of June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 548,426,838 |
Gross Unrealized Appreciation | 359,162,330 |
Gross Unrealized Depreciation | (19,871,551) |
Net Unrealized Appreciation (Depreciation) | 339,290,779 |
F. | During the six months ended June 30, 2023, the fund purchased $37,507,609,000 of investment securities and sold $14,838,977,000 of investment securities, other than temporary cash investments. Purchases and sales include $29,510,907,000 and $9,900,948,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 72,112 | 190 | 156,806 | 409 | |
Issued in Lieu of Cash Distributions | 23,474 | 61 | 51,111 | 142 | |
Redeemed | (506,669) | (1,314) | (807,075) | (2,076) | |
Net Increase (Decrease)—Investor Shares | (411,083) | (1,063) | (599,158) | (1,525) | |
ETF Shares | |||||
Issued | 27,666,236 | 71,983 | 85,049,475 | 222,763 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (6,826,815) | (18,125) | (45,143,544) | (117,750) | |
Net Increase (Decrease)—ETF Shares | 20,839,421 | 53,858 | 39,905,931 | 105,013 | |
Admiral Shares | |||||
Issued | 16,044,848 | 42,333 | 39,120,573 | 102,648 | |
Issued in Lieu of Cash Distributions | 2,758,815 | 7,194 | 5,367,387 | 14,913 | |
Redeemed | (19,624,053) | (51,837) | (41,842,645) | (110,248) | |
Net Increase (Decrease)—Admiral Shares | (820,390) | (2,310) | 2,645,315 | 7,313 | |
Institutional Select Shares | |||||
Issued | 7,799,662 | 38,963 | 19,836,476 | 100,749 | |
Issued in Lieu of Cash Distributions | 992,737 | 4,884 | 1,760,089 | 9,243 | |
Redeemed | (6,096,558) | (30,245) | (4,396,573) | (21,716) | |
Net Increase (Decrease)—Institutional Select Shares | 2,695,841 | 13,602 | 17,199,992 | 88,276 |
H. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
I. | Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements. |
Vanguard Small-Cap Index Fund |
Vanguard Small-Cap Growth Index Fund |
Vanguard Small-Cap Value Index Fund |
• | 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. |
• | 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. |
Six Months Ended June 30, 2023 | |||
Beginning Account Value 12/31/2022 | Ending Account Value 6/30/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,091.90 | $0.88 |
ETF Shares | 1,000.00 | 1,092.60 | 0.26 |
Admiral™ Shares | 1,000.00 | 1,092.60 | 0.26 |
Institutional Shares | 1,000.00 | 1,092.70 | 0.21 |
Institutional Plus Shares | 1,000.00 | 1,092.70 | 0.16 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,148.50 | $1.01 |
ETF Shares | 1,000.00 | 1,149.10 | 0.37 |
Admiral Shares | 1,000.00 | 1,149.00 | 0.37 |
Institutional Shares | 1,000.00 | 1,149.20 | 0.32 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,052.50 | $0.97 |
ETF Shares | 1,000.00 | 1,053.20 | 0.36 |
Admiral Shares | 1,000.00 | 1,053.10 | 0.36 |
Institutional Shares | 1,000.00 | 1,053.10 | 0.31 |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,024.65 | 0.15 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Basic Materials | 4.0% |
Consumer Discretionary | 15.6 |
Consumer Staples | 3.4 |
Energy | 5.2 |
Financials | 12.9 |
Health Care | 11.9 |
Industrials | 22.2 |
Real Estate | 7.5 |
Technology | 12.7 |
Telecommunications | 1.3 |
Utilities | 3.3 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2023 | 3,169 | 301,641 | 1,833 |
E-mini S&P 500 Index | September 2023 | 160 | 35,906 | 1,112 |
E-mini S&P Mid-Cap 400 Index | September 2023 | 1,539 | 406,927 | 9,040 |
11,985 |
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) |
Arbor Realty Trust Inc. | 1/31/24 | GSI | 7,095 | (5.076) | 301 | — |
Ollie's Bargain Outlet Holdings Inc. | 1/31/24 | GSI | 18,372 | (5.076) | — | (1,029) |
301 | (1,029) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $98,357,044) | 122,570,550 |
Affiliated Issuers (Cost $2,779,381) | 2,779,790 |
Total Investments in Securities | 125,350,340 |
Investment in Vanguard | 4,001 |
Cash | 115,244 |
Cash Collateral Pledged—Futures Contracts | 43,609 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 840 |
Receivables for Investment Securities Sold | 202 |
Receivables for Accrued Income | 127,913 |
Receivables for Capital Shares Issued | 57,974 |
Variation Margin Receivable—Futures Contracts | 3,847 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 301 |
Total Assets | 125,704,271 |
Liabilities | |
Payables for Investment Securities Purchased | 142,642 |
Collateral for Securities on Loan | 2,147,389 |
Payables for Capital Shares Redeemed | 81,209 |
Payables to Vanguard | 2,342 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,029 |
Total Liabilities | 2,374,611 |
Net Assets | 123,329,660 |
1 Includes $2,029,287,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 108,370,504 |
Total Distributable Earnings (Loss) | 14,959,156 |
Net Assets | 123,329,660 |
Investor Shares—Net Assets | |
Applicable to 4,151,102 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 395,618 |
Net Asset Value Per Share—Investor Shares | $95.30 |
ETF Shares—Net Assets | |
Applicable to 226,868,402 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 45,125,225 |
Net Asset Value Per Share—ETF Shares | $198.90 |
Admiral Shares—Net Assets | |
Applicable to 508,712,464 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 48,485,917 |
Net Asset Value Per Share—Admiral Shares | $95.31 |
Institutional Shares—Net Assets | |
Applicable to 202,714,475 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,320,119 |
Net Asset Value Per Share—Institutional Shares | $95.31 |
Institutional Plus Shares—Net Assets | |
Applicable to 36,361,894 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,002,781 |
Net Asset Value Per Share—Institutional Plus Shares | $275.09 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 822,133 |
Interest2 | 17,719 |
Securities Lending—Net | 95,750 |
Total Income | 935,602 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,316 |
Management and Administrative—Investor Shares | 328 |
Management and Administrative—ETF Shares | 8,124 |
Management and Administrative—Admiral Shares | 9,400 |
Management and Administrative—Institutional Shares | 2,954 |
Management and Administrative—Institutional Plus Shares | 1,081 |
Marketing and Distribution—Investor Shares | 11 |
Marketing and Distribution—ETF Shares | 1,267 |
Marketing and Distribution—Admiral Shares | 1,236 |
Marketing and Distribution—Institutional Shares | 307 |
Marketing and Distribution—Institutional Plus Shares | 172 |
Custodian Fees | 298 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 665 |
Shareholders’ Reports—Admiral Shares | 309 |
Shareholders’ Reports—Institutional Shares | 109 |
Shareholders’ Reports—Institutional Plus Shares | 38 |
Trustees’ Fees and Expenses | 30 |
Other Expenses | 13 |
Total Expenses | 27,659 |
Net Investment Income | 907,943 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (510,963) |
Futures Contracts | 3,318 |
Swap Contracts | 4,439 |
Realized Net Gain (Loss) | (503,206) |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 9,920,760 |
Futures Contracts | 22,202 |
Swap Contracts | 706 |
Change in Unrealized Appreciation (Depreciation) | 9,943,668 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,348,405 |
1 | Dividends are net of foreign withholding taxes of $3,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,664,000, ($30,000), and ($173,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $2,105,983,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 907,943 | 1,779,640 | |
Realized Net Gain (Loss) | (503,206) | 3,670,352 | |
Change in Unrealized Appreciation (Depreciation) | 9,943,668 | (30,136,638) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,348,405 | (24,686,646) | |
Distributions | |||
Investor Shares | (2,915) | (6,214) | |
ETF Shares | (340,175) | (624,299) | |
Admiral Shares | (366,368) | (686,977) | |
Institutional Shares | (145,105) | (267,947) | |
Institutional Plus Shares | (76,322) | (147,092) | |
Total Distributions | (930,885) | (1,732,529) | |
Capital Share Transactions | |||
Investor Shares | (61,506) | (85,166) | |
ETF Shares | 1,165,834 | 14,486 | |
Admiral Shares | (224,521) | 58,508 | |
Institutional Shares | 470,794 | (448,033) | |
Institutional Plus Shares | 91,242 | (1,200,734) | |
Net Increase (Decrease) from Capital Share Transactions | 1,441,843 | (1,660,939) | |
Total Increase (Decrease) | 10,859,363 | (28,080,114) | |
Net Assets | |||
Beginning of Period | 112,470,297 | 140,550,411 | |
End of Period | 123,329,660 | 112,470,297 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $87.93 | $108.35 | $93.20 | $79.35 | $63.21 | $70.76 |
Investment Operations | ||||||
Net Investment Income1 | .648 | 1.256 | 1.230 | .928 | .832 | .967 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.387 | (20.439) | 15.130 | 13.897 | 16.319 | (7.552) |
Total from Investment Operations | 8.035 | (19.183) | 16.360 | 14.825 | 17.151 | (6.585) |
Distributions | ||||||
Dividends from Net Investment Income | (.665) | (1.237) | (1.210) | (.975) | (1.011) | (.965) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.665) | (1.237) | (1.210) | (.975) | (1.011) | (.965) |
Net Asset Value, End of Period | $95.30 | $87.93 | $108.35 | $93.20 | $79.35 | $63.21 |
Total Return2 | 9.19% | -17.71% | 17.59% | 18.96% | 27.22% | -9.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $396 | $424 | $619 | $709 | $754 | $3,332 |
Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17%3 | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 1.53% | 1.34% | 1.17% | 1.26% | 1.14% | 1.34% |
Portfolio Turnover Rate4 | 5% | 14% | 17% | 22% | 16% | 15% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $183.52 | $226.15 | $194.54 | $165.64 | $131.94 | $147.71 |
Investment Operations | ||||||
Net Investment Income1 | 1.473 | 2.891 | 2.769 | 2.262 | 2.298 | 2.239 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.412 | (42.700) | 31.637 | 28.863 | 33.707 | (15.808) |
Total from Investment Operations | 16.885 | (39.809) | 34.406 | 31.125 | 36.005 | (13.569) |
Distributions | ||||||
Dividends from Net Investment Income | (1.505) | (2.821) | (2.796) | (2.225) | (2.305) | (2.201) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.505) | (2.821) | (2.796) | (2.225) | (2.305) | (2.201) |
Net Asset Value, End of Period | $198.90 | $183.52 | $226.15 | $194.54 | $165.64 | $131.94 |
Total Return | 9.26% | -17.60% | 17.72% | 19.08% | 27.37% | -9.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $45,125 | $40,593 | $50,187 | $37,492 | $27,442 | $20,914 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.49% | 1.25% | 1.47% | 1.49% | 1.46% |
Portfolio Turnover Rate3 | 5% | 14% | 17% | 22% | 16% | 15% |
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 0.05%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $87.94 | $108.37 | $93.22 | $79.37 | $63.23 | $70.78 |
Investment Operations | ||||||
Net Investment Income1 | .703 | 1.383 | 1.358 | 1.029 | 1.108 | 1.067 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.388 | (20.461) | 15.131 | 13.887 | 16.136 | (7.563) |
Total from Investment Operations | 8.091 | (19.078) | 16.489 | 14.916 | 17.244 | (6.496) |
Distributions | ||||||
Dividends from Net Investment Income | (.721) | (1.352) | (1.339) | (1.066) | (1.104) | (1.054) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.721) | (1.352) | (1.339) | (1.066) | (1.104) | (1.054) |
Net Asset Value, End of Period | $95.31 | $87.94 | $108.37 | $93.22 | $79.37 | $63.23 |
Total Return2 | 9.26% | -17.61% | 17.73% | 19.11% | 27.37% | -9.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $48,486 | $44,944 | $55,266 | $47,313 | $42,386 | $31,382 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.65% | 1.48% | 1.29% | 1.40% | 1.50% | 1.46% |
Portfolio Turnover Rate4 | 5% | 14% | 17% | 22% | 16% | 15% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $87.93 | $108.36 | $93.22 | $79.37 | $63.22 | $70.78 |
Investment Operations | ||||||
Net Investment Income1 | .708 | 1.392 | 1.367 | 1.034 | 1.101 | 1.076 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.398 | (20.461) | 15.123 | 13.889 | 16.161 | (7.575) |
Total from Investment Operations | 8.106 | (19.069) | 16.490 | 14.923 | 17.262 | (6.499) |
Distributions | ||||||
Dividends from Net Investment Income | (.726) | (1.361) | (1.350) | (1.073) | (1.112) | (1.061) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.726) | (1.361) | (1.350) | (1.073) | (1.112) | (1.061) |
Net Asset Value, End of Period | $95.31 | $87.93 | $108.36 | $93.22 | $79.37 | $63.22 |
Total Return | 9.27% | -17.60% | 17.73% | 19.12% | 27.40% | -9.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $19,320 | $17,363 | $21,841 | $18,957 | $17,337 | $14,454 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.49% | 1.29% | 1.41% | 1.49% | 1.47% |
Portfolio Turnover Rate3 | 5% | 14% | 17% | 22% | 16% | 15% |
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 0.04%. |
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. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $253.81 | $312.78 | $269.07 | $229.09 | $182.49 | $204.30 |
Investment Operations | ||||||
Net Investment Income1 | 2.055 | 3.998 | 4.029 | 2.988 | 3.186 | 3.102 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.332 | (59.013) | 43.607 | 40.111 | 46.645 | (21.825) |
Total from Investment Operations | 23.387 | (55.015) | 47.636 | 43.099 | 49.831 | (18.723) |
Distributions | ||||||
Dividends from Net Investment Income | (2.107) | (3.955) | (3.926) | (3.119) | (3.231) | (3.087) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.107) | (3.955) | (3.926) | (3.119) | (3.231) | (3.087) |
Net Asset Value, End of Period | $275.09 | $253.81 | $312.78 | $269.07 | $229.09 | $182.49 |
Total Return | 9.27% | -17.60% | 17.75% | 19.13% | 27.40% | -9.30% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,003 | $9,146 | $12,638 | $10,172 | $8,846 | $7,866 |
Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03%2 | 0.03% | 0.03% | 0.03% | 0.03% |
Ratio of Net Investment Income to Average Net Assets | 1.68% | 1.48% | 1.32% | 1.41% | 1.49% | 1.48% |
Portfolio Turnover Rate3 | 5% | 14% | 17% | 22% | 16% | 15% |
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 0.03%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 122,570,550 | — | — | 122,570,550 |
Temporary Cash Investments | 2,779,790 | — | — | 2,779,790 |
Total | 125,350,340 | — | — | 125,350,340 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 11,985 | — | — | 11,985 |
Swap Contracts | — | 301 | — | 301 |
Total | 11,985 | 301 | — | 12,286 |
Liabilities | ||||
Swap Contracts | — | 1,029 | — | 1,029 |
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. |
Amount ($000) | |
Tax Cost | 101,512,403 |
Gross Unrealized Appreciation | 39,460,290 |
Gross Unrealized Depreciation | (15,611,096) |
Net Unrealized Appreciation (Depreciation) | 23,849,194 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 14,677 | 159 | 35,984 | 380 | |
Issued in Lieu of Cash Distributions | 2,915 | 33 | 6,214 | 70 | |
Redeemed | (79,098) | (862) | (127,364) | (1,341) | |
Net Increase (Decrease)—Investor Shares | (61,506) | (670) | (85,166) | (891) | |
ETF Shares | |||||
Issued | 4,661,142 | 24,247 | 12,638,116 | 65,853 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (3,495,308) | (18,575) | (12,623,630) | (66,575) | |
Net Increase (Decrease)—ETF Shares | 1,165,834 | 5,672 | 14,486 | (722) | |
Admiral Shares | |||||
Issued | 2,647,389 | 28,830 | 5,970,913 | 63,999 | |
Issued in Lieu of Cash Distributions | 326,416 | 3,650 | 610,188 | 6,862 | |
Redeemed | (3,198,326) | (34,866) | (6,522,593) | (69,746) | |
Net Increase (Decrease)—Admiral Shares | (224,521) | (2,386) | 58,508 | 1,115 | |
Institutional Shares | |||||
Issued | 1,597,710 | 17,448 | 2,809,736 | 30,018 | |
Issued in Lieu of Cash Distributions | 136,787 | 1,529 | 252,294 | 2,838 | |
Redeemed | (1,263,703) | (13,717) | (3,510,063) | (36,950) | |
Net Increase (Decrease)—Institutional Shares | 470,794 | 5,260 | (448,033) | (4,094) | |
Institutional Plus Shares | |||||
Issued | 407,992 | 1,518 | 1,096,807 | 4,082 | |
Issued in Lieu of Cash Distributions | 76,244 | 295 | 147,006 | 572 | |
Redeemed | (392,994) | (1,487) | (2,444,547) | (9,024) | |
Net Increase (Decrease)—Institutional Plus Shares | 91,242 | 326 | (1,200,734) | (4,370) |
Basic Materials | 2.1% |
Consumer Discretionary | 15.3 |
Consumer Staples | 3.3 |
Energy | 6.1 |
Financials | 3.8 |
Health Care | 19.4 |
Industrials | 19.8 |
Real Estate | 5.7 |
Technology | 21.2 |
Telecommunications | 1.9 |
Utilities | 1.4 |
Shares | Market Value• ($000) | |||||
* | Casella Waste Systems Inc. Class A | 831,622 | 75,220 | |||
Vistra Corp. | 2,756,701 | 72,363 | ||||
Ormat Technologies Inc. | 750,342 | 60,373 | ||||
* | Sunrun Inc. | 3,028,546 | 54,090 | |||
*,1 | Sunnova Energy International Inc. | 1,461,526 | 26,761 | |||
California Water Service Group | 413,932 | 21,371 | ||||
*,1 | NuScale Power Corp. | 390,285 | 2,654 | |||
431,065 | ||||||
Total Common Stocks (Cost $26,131,912) | 30,441,914 | |||||
Temporary Cash Investments (2.6%) | ||||||
Money Market Fund (2.6%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 5.150% (Cost $802,673) | 8,029,422 | 802,781 | |||
Total Investments (102.5%) (Cost $26,934,585) | 31,244,695 | |||||
Other Assets and Liabilities—Net (-2.5%) | (769,688) | |||||
Net Assets (100%) | 30,475,007 |
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 $729,107,000. |
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 $771,498,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2023 | 166 | 15,801 | 109 |
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) |
Elastic NV | 8/31/23 | BANA | 2,913 | (5.073) | — | (360) |
Fisker Inc. Class A | 1/31/24 | GSI | 4,816 | (5.076) | — | (313) |
Middleby Corp. | 8/31/23 | BANA | 3,696 | (5.073) | 428 | — |
Novocure Ltd. | 8/31/23 | BANA | 12,926 | (5.073) | — | (5,509) |
Wolfspeed Inc. | 8/31/23 | BANA | 4,804 | (5.073) | 736 | — |
1,164 | (6,182) |
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. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $26,131,912) | 30,441,914 |
Affiliated Issuers (Cost $802,673) | 802,781 |
Total Investments in Securities | 31,244,695 |
Investment in Vanguard | 1,001 |
Cash Collateral Pledged—Futures Contracts | 530 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 5,310 |
Receivables for Investment Securities Sold | 17,838 |
Receivables for Accrued Income | 14,539 |
Receivables for Capital Shares Issued | 8,171 |
Variation Margin Receivable—Futures Contracts | 26 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,164 |
Total Assets | 31,293,274 |
Liabilities | |
Due to Custodian | 18,509 |
Payables for Investment Securities Purchased | 10,343 |
Collateral for Securities on Loan | 771,498 |
Payables for Capital Shares Redeemed | 10,885 |
Payables to Vanguard | 850 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 6,182 |
Total Liabilities | 818,267 |
Net Assets | 30,475,007 |
1 Includes $729,107,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 31,193,584 |
Total Distributable Earnings (Loss) | (718,577) |
Net Assets | 30,475,007 |
Investor Shares—Net Assets | |
Applicable to 1,385,411 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 89,467 |
Net Asset Value Per Share—Investor Shares | $64.58 |
ETF Shares—Net Assets | |
Applicable to 61,781,268 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,189,161 |
Net Asset Value Per Share—ETF Shares | $229.67 |
Admiral Shares—Net Assets | |
Applicable to 159,510,323 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,880,680 |
Net Asset Value Per Share—Admiral Shares | $80.75 |
Institutional Shares—Net Assets | |
Applicable to 51,272,835 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,315,699 |
Net Asset Value Per Share—Institutional Shares | $64.67 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 58,818 |
Interest1 | 1,038 |
Securities Lending—Net | 27,540 |
Total Income | 87,396 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 324 |
Management and Administrative—Investor Shares | 76 |
Management and Administrative—ETF Shares | 3,682 |
Management and Administrative—Admiral Shares | 3,643 |
Management and Administrative—Institutional Shares | 775 |
Marketing and Distribution—Investor Shares | 3 |
Marketing and Distribution—ETF Shares | 405 |
Marketing and Distribution—Admiral Shares | 333 |
Marketing and Distribution—Institutional Shares | 54 |
Custodian Fees | 132 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 260 |
Shareholders’ Reports—Admiral Shares | 84 |
Shareholders’ Reports—Institutional Shares | 55 |
Trustees’ Fees and Expenses | 7 |
Other Expenses | 13 |
Total Expenses | 9,846 |
Net Investment Income | 77,550 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | (554,930) |
Futures Contracts | 789 |
Swap Contracts | (6,099) |
Realized Net Gain (Loss) | (560,240) |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 4,416,068 |
Futures Contracts | (35) |
Swap Contracts | (1,740) |
Change in Unrealized Appreciation (Depreciation) | 4,414,293 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,931,603 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $998,000, ($37,000), and ($64,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $571,522,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 77,550 | 211,970 | |
Realized Net Gain (Loss) | (560,240) | (631,355) | |
Change in Unrealized Appreciation (Depreciation) | 4,414,293 | (10,014,591) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,931,603 | (10,433,976) | |
Distributions | |||
Investor Shares | (225) | (378) | |
ETF Shares | (42,950) | (65,152) | |
Admiral Shares | (39,571) | (62,927) | |
Institutional Shares | (10,357) | (16,002) | |
Total Distributions | (93,103) | (144,459) | |
Capital Share Transactions | |||
Investor Shares | (2,254) | (30,485) | |
ETF Shares | 401,673 | 383,979 | |
Admiral Shares | (250,963) | (400,974) | |
Institutional Shares | (44,930) | 230,883 | |
Net Increase (Decrease) from Capital Share Transactions | 103,526 | 183,403 | |
Total Increase (Decrease) | 3,942,026 | (10,395,032) | |
Net Assets | |||
Beginning of Period | 26,532,981 | 36,928,013 | |
End of Period | 30,475,007 | 26,532,981 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $56.38 | $79.21 | $75.20 | $55.89 | $42.36 | $45.24 |
Investment Operations | ||||||
Net Investment Income1 | .125 | .371 | .257 | .241 | .178 | .274 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.236 | (22.943) | 3.938 | 19.331 | 13.617 | (2.879) |
Total from Investment Operations | 8.361 | (22.572) | 4.195 | 19.572 | 13.795 | (2.605) |
Distributions | ||||||
Dividends from Net Investment Income | (.161) | (.258) | (.185) | (.262) | (.265) | (.275) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.161) | (.258) | (.185) | (.262) | (.265) | (.275) |
Net Asset Value, End of Period | $64.58 | $56.38 | $79.21 | $75.20 | $55.89 | $42.36 |
Total Return2 | 14.85% | -28.49% | 5.58% | 35.12% | 32.60% | -5.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $89 | $80 | $149 | $209 | $171 | $1,461 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19%3 | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 0.56% | 0.60% | 0.32% | 0.42% | 0.35% | 0.58% |
Portfolio Turnover Rate4 | 9% | 24% | 29% | 24% | 18% | 22% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.19%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $200.53 | $281.61 | $267.36 | $198.68 | $150.57 | $160.81 |
Investment Operations | ||||||
Net Investment Income1 | .587 | 1.623 | 1.291 | 1.129 | 1.175 | 1.214 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.256 | (81.603) | 13.975 | 68.729 | 48.077 | (10.263) |
Total from Investment Operations | 29.843 | (79.980) | 15.266 | 69.858 | 49.252 | (9.049) |
Distributions | ||||||
Dividends from Net Investment Income | (.703) | (1.100) | (1.016) | (1.178) | (1.142) | (1.191) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.703) | (1.100) | (1.016) | (1.178) | (1.142) | (1.191) |
Net Asset Value, End of Period | $229.67 | $200.53 | $281.61 | $267.36 | $198.68 | $150.57 |
Total Return | 14.91% | -28.40% | 5.71% | 35.29% | 32.75% | -5.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,189 | $12,036 | $16,379 | $14,436 | $9,833 | $7,286 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%2 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.70% | 0.74% | 0.45% | 0.55% | 0.64% | 0.70% |
Portfolio Turnover Rate3 | 9% | 24% | 29% | 24% | 18% | 22% |
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 0.07%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $70.51 | $99.01 | $94.02 | $69.87 | $52.95 | $56.55 |
Investment Operations | ||||||
Net Investment Income1 | .205 | .568 | .448 | .392 | .419 | .423 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.282 | (28.682) | 4.899 | 24.172 | 16.902 | (3.605) |
Total from Investment Operations | 10.487 | (28.114) | 5.347 | 24.564 | 17.321 | (3.182) |
Distributions | ||||||
Dividends from Net Investment Income | (.247) | (.386) | (.357) | (.414) | (.401) | (.418) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.247) | (.386) | (.357) | (.414) | (.401) | (.418) |
Net Asset Value, End of Period | $80.75 | $70.51 | $99.01 | $94.02 | $69.87 | $52.95 |
Total Return2 | 14.90% | -28.39% | 5.69% | 35.30% | 32.76% | -5.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,881 | $11,482 | $16,594 | $16,149 | $12,717 | $8,560 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.69% | 0.73% | 0.45% | 0.54% | 0.65% | 0.70% |
Portfolio Turnover Rate4 | 9% | 24% | 29% | 24% | 18% | 22% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $56.46 | $79.29 | $75.29 | $55.95 | $42.40 | $45.29 |
Investment Operations | ||||||
Net Investment Income1 | .167 | .465 | .367 | .319 | .327 | .335 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.244 | (22.979) | 3.927 | 19.358 | 13.550 | (2.886) |
Total from Investment Operations | 8.411 | (22.514) | 4.294 | 19.677 | 13.877 | (2.551) |
Distributions | ||||||
Dividends from Net Investment Income | (.201) | (.316) | (.294) | (.337) | (.327) | (.339) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.201) | (.316) | (.294) | (.337) | (.327) | (.339) |
Net Asset Value, End of Period | $64.67 | $56.46 | $79.29 | $75.29 | $55.95 | $42.40 |
Total Return | 14.92% | -28.39% | 5.70% | 35.31% | 32.77% | -5.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,316 | $2,935 | $3,805 | $3,676 | $3,218 | $2,858 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%2 | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 0.70% | 0.75% | 0.46% | 0.55% | 0.64% | 0.71% |
Portfolio Turnover Rate3 | 9% | 24% | 29% | 24% | 18% | 22% |
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 0.06%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 30,441,914 | — | — | 30,441,914 |
Temporary Cash Investments | 802,781 | — | — | 802,781 |
Total | 31,244,695 | — | — | 31,244,695 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 109 | — | — | 109 |
Swap Contracts | — | 1,164 | — | 1,164 |
Total | 109 | 1,164 | — | 1,273 |
Liabilities | ||||
Swap Contracts | — | 6,182 | — | 6,182 |
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. |
Amount ($000) | |
Tax Cost | 27,065,619 |
Gross Unrealized Appreciation | 8,555,675 |
Gross Unrealized Depreciation | (4,381,508) |
Net Unrealized Appreciation (Depreciation) | 4,174,167 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 6,569 | 107 | 11,003 | 172 | |
Issued in Lieu of Cash Distributions | 225 | 3 | 378 | 7 | |
Redeemed | (9,048) | (148) | (41,866) | (639) | |
Net Increase (Decrease)—Investor Shares | (2,254) | (38) | (30,485) | (460) | |
ETF Shares | |||||
Issued | 1,868,265 | 8,559 | 4,457,870 | 20,609 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,466,592) | (6,800) | (4,073,891) | (18,750) | |
Net Increase (Decrease)—ETF Shares | 401,673 | 1,759 | 383,979 | 1,859 | |
Admiral Shares | |||||
Issued | 675,925 | 8,842 | 1,685,175 | 21,680 | |
Issued in Lieu of Cash Distributions | 35,251 | 467 | 56,168 | 800 | |
Redeemed | (962,139) | (12,650) | (2,142,317) | (27,226) | |
Net Increase (Decrease)—Admiral Shares | (250,963) | (3,341) | (400,974) | (4,746) | |
Institutional Shares | |||||
Issued | 282,003 | 4,623 | 652,486 | 10,669 | |
Issued in Lieu of Cash Distributions | 9,663 | 160 | 14,928 | 265 | |
Redeemed | (336,596) | (5,491) | (436,531) | (6,944) | |
Net Increase (Decrease)—Institutional Shares | (44,930) | (708) | 230,883 | 3,990 |
Basic Materials | 5.5% |
Consumer Discretionary | 15.8 |
Consumer Staples | 3.4 |
Energy | 4.5 |
Financials | 19.9 |
Health Care | 6.2 |
Industrials | 24.0 |
Real Estate | 8.9 |
Technology | 6.3 |
Telecommunications | 0.8 |
Utilities | 4.7 |
Shares | Market Value• ($000) | |||||
Avista Corp. | 1,355,469 | 53,229 | ||||
MGE Energy Inc. | 647,159 | 51,197 | ||||
Clearway Energy Inc. Class C | 1,475,571 | 42,142 | ||||
Northwest Natural Holding Co. | 627,950 | 27,033 | ||||
California Water Service Group | 500,856 | 25,859 | ||||
Clearway Energy Inc. Class A | 617,547 | 16,674 | ||||
* | Enviri Corp. | 1,426,561 | 14,080 | |||
Excelerate Energy Inc. Class A | 328,789 | 6,684 | ||||
*,1 | NuScale Power Corp. | 472,545 | 3,213 | |||
2,255,180 | ||||||
Total Common Stocks (Cost $40,135,876) | 47,980,297 | |||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
3,4 | Vanguard Market Liquidity Fund, 5.150% (Cost $645,188) | 6,453,605 | 645,231 | |||
Total Investments (101.1%) (Cost $40,781,064) | 48,625,528 | |||||
Other Assets and Liabilities—Net (-1.1%) | (541,628) | |||||
Net Assets (100%) | 48,083,900 |
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 $583,708,000. |
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 $620,707,000 was received for securities on loan. |
REIT—Real Estate Investment Trust. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2023 | 501 | 47,688 | 182 |
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) |
Atmos Energy Corp. | 1/31/24 | CITNA | 21,673 | (5.073) | 250 | — |
Bridgebio Pharma Inc. | 8/31/23 | BANA | 4,116 | (5.073) | 1,027 | — |
Williams-Sonoma Inc. | 1/31/24 | CITNA | 25,540 | (5.073) | 2,512 | — |
3,789 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
CITNA—Citibank, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $40,135,876) | 47,980,297 |
Affiliated Issuers (Cost $645,188) | 645,231 |
Total Investments in Securities | 48,625,528 |
Investment in Vanguard | 1,565 |
Cash Collateral Pledged—Futures Contracts | 2,740 |
Receivables for Investment Securities Sold | 6,950 |
Receivables for Accrued Income | 69,512 |
Receivables for Capital Shares Issued | 20,264 |
Variation Margin Receivable—Futures Contracts | 125 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 3,789 |
Total Assets | 48,730,473 |
Liabilities | |
Due to Custodian | 6,204 |
Payables for Investment Securities Purchased | 438 |
Collateral for Securities on Loan | 620,707 |
Payables for Capital Shares Redeemed | 17,881 |
Payables to Vanguard | 1,343 |
Total Liabilities | 646,573 |
Net Assets | 48,083,900 |
1 Includes $583,708,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 44,072,116 |
Total Distributable Earnings (Loss) | 4,011,784 |
Net Assets | 48,083,900 |
Investor Shares—Net Assets | |
Applicable to 3,061,768 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 121,430 |
Net Asset Value Per Share—Investor Shares | $39.66 |
ETF Shares—Net Assets | |
Applicable to 149,851,127 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 24,781,863 |
Net Asset Value Per Share—ETF Shares | $165.38 |
Admiral Shares—Net Assets | |
Applicable to 253,374,883 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 18,004,912 |
Net Asset Value Per Share—Admiral Shares | $71.06 |
Institutional Shares—Net Assets | |
Applicable to 130,307,412 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,175,695 |
Net Asset Value Per Share—Institutional Shares | $39.72 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 496,116 |
Interest2 | 1,254 |
Securities Lending—Net | 33,710 |
Total Income | 531,080 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 534 |
Management and Administrative—Investor Shares | 120 |
Management and Administrative—ETF Shares | 6,888 |
Management and Administrative—Admiral Shares | 5,223 |
Management and Administrative—Institutional Shares | 1,247 |
Marketing and Distribution—Investor Shares | 4 |
Marketing and Distribution—ETF Shares | 698 |
Marketing and Distribution—Admiral Shares | 516 |
Marketing and Distribution—Institutional Shares | 94 |
Custodian Fees | 252 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 461 |
Shareholders’ Reports—Admiral Shares | 118 |
Shareholders’ Reports—Institutional Shares | 57 |
Trustees’ Fees and Expenses | 12 |
Other Expenses | 13 |
Total Expenses | 16,237 |
Net Investment Income | 514,843 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 411,629 |
Futures Contracts | (3,284) |
Swap Contracts | (6,218) |
Realized Net Gain (Loss) | 402,127 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 1,424,503 |
Futures Contracts | (459) |
Swap Contracts | 5,816 |
Change in Unrealized Appreciation (Depreciation) | 1,429,860 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,346,830 |
1 | Dividends are net of foreign withholding taxes of $4,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,174,000, $3,000, and ($38,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $1,349,390,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 514,843 | 937,395 | |
Realized Net Gain (Loss) | 402,127 | 2,870,695 | |
Change in Unrealized Appreciation (Depreciation) | 1,429,860 | (8,621,190) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,346,830 | (4,813,100) | |
Distributions | |||
Investor Shares | (1,377) | (2,947) | |
ETF Shares | (268,313) | (477,621) | |
Admiral Shares | (193,821) | (352,210) | |
Institutional Shares | (55,474) | (91,664) | |
Total Distributions | (518,985) | (924,442) | |
Capital Share Transactions | |||
Investor Shares | (32,531) | (38,171) | |
ETF Shares | 80,725 | (34,278) | |
Admiral Shares | (201,309) | 363,608 | |
Institutional Shares | 172,836 | 581,216 | |
Net Increase (Decrease) from Capital Share Transactions | 19,721 | 872,375 | |
Total Increase (Decrease) | 1,847,566 | (4,865,167) | |
Net Assets | |||
Beginning of Period | 46,236,334 | 51,101,501 | |
End of Period | 48,083,900 | 46,236,334 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $38.09 | $42.87 | $34.08 | $32.86 | $27.35 | $31.82 |
Investment Operations | ||||||
Net Investment Income1 | .400 | .722 | .724 | .550 | .543 | .603 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.572 | (4.777) | 8.767 | 1.208 | 5.608 | (4.471) |
Total from Investment Operations | 1.972 | (4.055) | 9.491 | 1.758 | 6.151 | (3.868) |
Distributions | ||||||
Dividends from Net Investment Income | (.402) | (.725) | (.701) | (.538) | (.641) | (.602) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.402) | (.725) | (.701) | (.538) | (.641) | (.602) |
Net Asset Value, End of Period | $39.66 | $38.09 | $42.87 | $34.08 | $32.86 | $27.35 |
Total Return2 | 5.25% | -9.43% | 27.96% | 5.72% | 22.61% | -12.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $121 | $149 | $208 | $234 | $255 | $1,501 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19%3 | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 2.19% | 1.83% | 1.78% | 1.98% | 1.76% | 1.92% |
Portfolio Turnover Rate4 | 7% | 13% | 16% | 26% | 19% | 18% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.19%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $158.84 | $178.77 | $142.13 | $137.05 | $114.05 | $132.71 |
Investment Operations | ||||||
Net Investment Income1 | 1.763 | 3.273 | 3.131 | 2.584 | 2.840 | 2.720 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.556 | (19.975) | 36.640 | 4.884 | 22.984 | (18.702) |
Total from Investment Operations | 8.319 | (16.702) | 39.771 | 7.468 | 25.824 | (15.982) |
Distributions | ||||||
Dividends from Net Investment Income | (1.779) | (3.228) | (3.131) | (2.388) | (2.824) | (2.678) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.779) | (3.228) | (3.131) | (2.388) | (2.824) | (2.678) |
Net Asset Value, End of Period | $165.38 | $158.84 | $178.77 | $142.13 | $137.05 | $114.05 |
Total Return | 5.32% | -9.29% | 28.07% | 5.82% | 22.76% | -12.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,782 | $23,786 | $26,854 | $17,837 | $14,808 | $11,560 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%2 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.31% | 1.99% | 1.84% | 2.23% | 2.19% | 2.04% |
Portfolio Turnover Rate3 | 7% | 13% | 16% | 26% | 19% | 18% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $68.25 | $76.81 | $61.07 | $58.89 | $49.01 | $57.02 |
Investment Operations | ||||||
Net Investment Income1 | .754 | 1.403 | 1.381 | 1.058 | 1.230 | 1.165 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.820 | (8.576) | 15.704 | 2.148 | 9.863 | (8.024) |
Total from Investment Operations | 3.574 | (7.173) | 17.085 | 3.206 | 11.093 | (6.859) |
Distributions | ||||||
Dividends from Net Investment Income | (.764) | (1.387) | (1.345) | (1.026) | (1.213) | (1.151) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.764) | (1.387) | (1.345) | (1.026) | (1.213) | (1.151) |
Net Asset Value, End of Period | $71.06 | $68.25 | $76.81 | $61.07 | $58.89 | $49.01 |
Total Return2 | 5.31% | -9.31% | 28.09% | 5.85% | 22.76% | -12.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $18,005 | $17,505 | $19,307 | $14,314 | $13,907 | $10,167 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.30% | 1.99% | 1.89% | 2.13% | 2.21% | 2.04% |
Portfolio Turnover Rate4 | 7% | 13% | 16% | 26% | 19% | 18% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $38.15 | $42.94 | $34.14 | $32.92 | $27.39 | $31.87 |
Investment Operations | ||||||
Net Investment Income1 | .423 | .796 | .781 | .597 | .684 | .651 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.576 | (4.806) | 8.775 | 1.199 | 5.527 | (4.485) |
Total from Investment Operations | 1.999 | (4.010) | 9.556 | 1.796 | 6.211 | (3.834) |
Distributions | ||||||
Dividends from Net Investment Income | (.429) | (.780) | (.756) | (.576) | (.681) | (.646) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.429) | (.780) | (.756) | (.576) | (.681) | (.646) |
Net Asset Value, End of Period | $39.72 | $38.15 | $42.94 | $34.14 | $32.92 | $27.39 |
Total Return | 5.31% | -9.31% | 28.11% | 5.86% | 22.81% | -12.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,176 | $4,797 | $4,733 | $3,774 | $3,632 | $3,077 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%2 | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 2.31% | 2.02% | 1.91% | 2.14% | 2.20% | 2.05% |
Portfolio Turnover Rate3 | 7% | 13% | 16% | 26% | 19% | 18% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.06%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 47,980,297 | — | — | 47,980,297 |
Temporary Cash Investments | 645,231 | — | — | 645,231 |
Total | 48,625,528 | — | — | 48,625,528 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 182 | — | — | 182 |
Swap Contracts | — | 3,789 | — | 3,789 |
Total | 182 | 3,789 | — | 3,971 |
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. |
Amount ($000) | |
Tax Cost | 40,852,273 |
Gross Unrealized Appreciation | 12,326,555 |
Gross Unrealized Depreciation | (4,549,329) |
Net Unrealized Appreciation (Depreciation) | 7,777,226 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 5,668 | 146 | 14,773 | 371 | |
Issued in Lieu of Cash Distributions | 1,377 | 37 | 2,947 | 78 | |
Redeemed | (39,576) | (1,026) | (55,891) | (1,394) | |
Net Increase (Decrease)—Investor Shares | (32,531) | (843) | (38,171) | (945) | |
ETF Shares | |||||
Issued | 2,756,495 | 17,109 | 8,743,606 | 53,827 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,675,770) | (17,000) | (8,777,884) | (54,300) | |
Net Increase (Decrease)—ETF Shares | 80,725 | 109 | (34,278) | (473) | |
Admiral Shares | |||||
Issued | 1,326,227 | 19,017 | 2,968,180 | 42,013 | |
Issued in Lieu of Cash Distributions | 169,843 | 2,537 | 309,221 | 4,569 | |
Redeemed | (1,697,379) | (24,653) | (2,913,793) | (41,449) | |
Net Increase (Decrease)—Admiral Shares | (201,309) | (3,099) | 363,608 | 5,133 | |
Institutional Shares | |||||
Issued | 504,518 | 13,055 | 1,285,688 | 33,018 | |
Issued in Lieu of Cash Distributions | 52,989 | 1,415 | 87,334 | 2,308 | |
Redeemed | (384,671) | (9,894) | (791,806) | (19,834) | |
Net Increase (Decrease)—Institutional Shares | 172,836 | 4,576 | 581,216 | 15,492 |
Vanguard Extended Market Index Fund |
Vanguard Mid-Cap Index Fund |
Vanguard Mid-Cap Growth Index Fund |
Vanguard Mid-Cap Value Index Fund |
About Your Fund's Expenses | 1 |
Extended Market Index Fund | 3 |
Mid-Cap Index Fund | 45 |
Mid-Cap Growth Index Fund | 63 |
Mid-Cap Value Index Fund | 76 |
Trustees Approve Advisory Arrangements | 91 |
Liquidity Risk Management | 92 |
• | 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. |
• | 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. |
Six Months Ended June 30, 2023 | |||
Beginning Account Value 12/31/2022 | Ending Account Value 6/30/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,126.10 | $1.00 |
ETF Shares | 1,000.00 | 1,126.70 | 0.32 |
Admiral™ Shares | 1,000.00 | 1,126.70 | 0.32 |
Institutional Shares | 1,000.00 | 1,126.90 | 0.26 |
Institutional Plus Shares | 1,000.00 | 1,126.90 | 0.21 |
Institutional Select Shares | 1,000.00 | 1,127.10 | 0.11 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,087.60 | $0.88 |
ETF Shares | 1,000.00 | 1,088.20 | 0.21 |
Admiral Shares | 1,000.00 | 1,088.10 | 0.26 |
Institutional Shares | 1,000.00 | 1,088.20 | 0.21 |
Institutional Plus Shares | 1,000.00 | 1,088.20 | 0.16 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,148.70 | $1.01 |
ETF Shares | 1,000.00 | 1,149.40 | 0.37 |
Admiral Shares | 1,000.00 | 1,149.30 | 0.37 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,033.80 | $0.96 |
ETF Shares | 1,000.00 | 1,034.60 | 0.35 |
Admiral Shares | 1,000.00 | 1,034.50 | 0.35 |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.50 | 0.30 |
Admiral Shares | 1,000.00 | 1,024.50 | 0.30 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Plus Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Select Shares | 1,000.00 | 1,024.70 | 0.10 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.60 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,024.65 | 0.15 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
ETF Shares | 1,000.00 | 1,024.45 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Communication Services | 4.0% |
Consumer Discretionary | 12.0 |
Consumer Staples | 2.7 |
Energy | 4.3 |
Financials | 15.8 |
Health Care | 13.1 |
Industrials | 18.2 |
Information Technology | 17.7 |
Materials | 4.2 |
Real Estate | 6.1 |
Utilities | 1.9 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini NASDAQ 100 Index | September 2023 | 407 | 124,843 | 4,871 |
E-mini Russell 2000 Index | September 2023 | 6,063 | 577,107 | 5,131 |
10,002 |
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) |
Airbnb Inc. Class A | 8/31/23 | BANA | 25,247 | (5.073) | 4,127 | — |
BILL Holdings Inc. | 8/31/23 | BANA | 8,804 | (5.073) | 1,092 | — |
Chewy Inc. Class A | 1/31/24 | GSI | 12,561 | (5.073) | — | (350) |
Datadog Inc. Class A | 8/31/23 | BANA | 12,338 | (5.073) | 401 | — |
Lucid Group Inc. | 1/31/24 | GSI | 12,126 | (5.073) | 528 | — |
Sirius XM Holdings Inc. | 1/31/24 | GSI | 15,320 | (5.073) | 2,770 | — |
Snowflake Inc. Class A | 8/31/23 | BANA | 26,127 | (5.073) | 1,571 | — |
Wayfair Inc. Class A | 8/31/23 | BANA | 5,242 | (5.073) | 3,188 | — |
13,677 | (350) |
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. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $77,236,306) | 86,814,885 |
Affiliated Issuers (Cost $2,650,935) | 2,651,333 |
Total Investments in Securities | 89,466,218 |
Investment in Vanguard | 2,869 |
Cash | 51,807 |
Cash Collateral Pledged—Futures Contracts | 44,432 |
Receivables for Investment Securities Sold | 67,494 |
Receivables for Accrued Income | 79,491 |
Receivables for Capital Shares Issued | 36,551 |
Variation Margin Receivable—Futures Contracts | 3,625 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 13,677 |
Total Assets | 89,766,164 |
Liabilities | |
Payables for Investment Securities Purchased | 63,374 |
Collateral for Securities on Loan | 1,926,439 |
Payables for Capital Shares Redeemed | 77,204 |
Payables for Distributions | 51,445 |
Payables to Vanguard | 1,593 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 350 |
Total Liabilities | 2,120,405 |
Net Assets | 87,645,759 |
1 Includes $1,733,298,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 81,323,751 |
Total Distributable Earnings (Loss) | 6,322,008 |
Net Assets | 87,645,759 |
Investor Shares—Net Assets | |
Applicable to 1,911,741 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 215,989 |
Net Asset Value Per Share—Investor Shares | $112.98 |
ETF Shares—Net Assets | |
Applicable to 103,483,161 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,396,529 |
Net Asset Value Per Share—ETF Shares | $148.78 |
Admiral Shares—Net Assets | |
Applicable to 195,013,741 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 22,013,851 |
Net Asset Value Per Share—Admiral Shares | $112.88 |
Institutional Shares—Net Assets | |
Applicable to 124,076,514 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,005,166 |
Net Asset Value Per Share—Institutional Shares | $112.88 |
Institutional Plus Shares—Net Assets | |
Applicable to 40,733,890 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,346,542 |
Net Asset Value Per Share—Institutional Plus Shares | $278.55 |
Institutional Select Shares—Net Assets | |
Applicable to 135,988,272 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 24,667,682 |
Net Asset Value Per Share—Institutional Select Shares | $181.40 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 484,892 |
Interest2 | 17,798 |
Securities Lending—Net | 77,965 |
Total Income | 580,655 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 922 |
Management and Administrative—Investor Shares | 205 |
Management and Administrative—ETF Shares | 3,347 |
Management and Administrative—Admiral Shares | 5,375 |
Management and Administrative—Institutional Shares | 2,834 |
Management and Administrative—Institutional Plus Shares | 1,718 |
Management and Administrative—Institutional Select Shares | 1,988 |
Marketing and Distribution—Investor Shares | 6 |
Marketing and Distribution—ETF Shares | 435 |
Marketing and Distribution—Admiral Shares | 484 |
Marketing and Distribution—Institutional Shares | 233 |
Marketing and Distribution—Institutional Plus Shares | 195 |
Marketing and Distribution—Institutional Select Shares | 24 |
Custodian Fees | 302 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 205 |
Shareholders’ Reports—Admiral Shares | 85 |
Shareholders’ Reports—Institutional Shares | 106 |
Shareholders’ Reports—Institutional Plus Shares | 78 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 21 |
Other Expenses | 14 |
Total Expenses | 18,577 |
Expenses Paid Indirectly | (5) |
Net Expenses | 18,572 |
Net Investment Income | 562,083 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 1,489,806 |
Futures Contracts | 23,386 |
Swap Contracts | 347 |
Realized Net Gain (Loss) | 1,513,539 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 7,804,167 |
Futures Contracts | 23,942 |
Swap Contracts | 19,886 |
Change in Unrealized Appreciation (Depreciation) | 7,847,995 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,923,617 |
1 | Dividends are net of foreign withholding taxes of $11,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,951,000, ($10,000), and ($189,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $2,053,949,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 562,083 | 1,141,328 | |
Realized Net Gain (Loss) | 1,513,539 | 2,411,429 | |
Change in Unrealized Appreciation (Depreciation) | 7,847,995 | (32,279,720) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,923,617 | (28,726,963) | |
Distributions | |||
Investor Shares | (1,308) | (2,370) | |
ETF Shares | (94,839) | (148,188) | |
Admiral Shares | (138,263) | (232,052) | |
Institutional Shares | (89,655) | (154,028) | |
Institutional Plus Shares | (72,411) | (131,076) | |
Institutional Select Shares | (158,790) | (248,096) | |
Total Distributions | (555,266) | (915,810) | |
Capital Share Transactions | |||
Investor Shares | (38,243) | (72,334) | |
ETF Shares | 707,728 | 344,966 | |
Admiral Shares | (366,237) | (1,252,838) | |
Institutional Shares | (505,637) | (1,209,959) | |
Institutional Plus Shares | (335,686) | (1,175,993) | |
Institutional Select Shares | (180,872) | 3,290,411 | |
Net Increase (Decrease) from Capital Share Transactions | (718,947) | (75,747) | |
Total Increase (Decrease) | 8,649,404 | (29,718,520) | |
Net Assets | |||
Beginning of Period | 78,996,355 | 108,714,875 | |
End of Period | 87,645,759 | 78,996,355 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $100.93 | $138.80 | $124.83 | $95.66 | $75.74 | $84.80 |
Investment Operations | ||||||
Net Investment Income1 | .643 | 1.280 | 1.216 | .983 | .962 | 1.193 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.040 | (38.141) | 14.134 | 29.401 | 20.089 | (9.104) |
Total from Investment Operations | 12.683 | (36.861) | 15.350 | 30.384 | 21.051 | (7.911) |
Distributions | ||||||
Dividends from Net Investment Income | (.633) | (1.009) | (1.380) | (1.214) | (1.131) | (1.149) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.633) | (1.009) | (1.380) | (1.214) | (1.131) | (1.149) |
Net Asset Value, End of Period | $112.98 | $100.93 | $138.80 | $124.83 | $95.66 | $75.74 |
Total Return2 | 12.61% | -26.56% | 12.31% | 32.04% | 27.87% | -9.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $216 | $229 | $399 | $454 | $455 | $1,139 |
Ratio of Total Expenses to Average Net Assets | 0.19%3 | 0.19%3 | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.14% | 0.87% | 1.04% | 1.09% | 1.38% |
Portfolio Turnover Rate4 | 4% | 11% | 19% | 19% | 13% | 10% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.19%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $132.92 | $182.81 | $164.43 | $126.02 | $99.77 | $111.72 |
Investment Operations | ||||||
Net Investment Income1 | .943 | 1.914 | 1.867 | 1.509 | 1.636 | 1.742 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.848 | (50.278) | 18.576 | 38.668 | 26.255 | (12.036) |
Total from Investment Operations | 16.791 | (48.364) | 20.443 | 40.177 | 27.891 | (10.294) |
Distributions | ||||||
Dividends from Net Investment Income | (.931) | (1.526) | (2.063) | (1.767) | (1.641) | (1.656) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.931) | (1.526) | (2.063) | (1.767) | (1.641) | (1.656) |
Net Asset Value, End of Period | $148.78 | $132.92 | $182.81 | $164.43 | $126.02 | $99.77 |
Total Return | 12.67% | -26.46% | 12.44% | 32.20% | 28.04% | -9.37% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,397 | $13,089 | $17,593 | $13,761 | $8,119 | $6,095 |
Ratio of Total Expenses to Average Net Assets | 0.06%2 | 0.06%2 | 0.06% | 0.06% | 0.06% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.45% | 1.31% | 1.02% | 1.20% | 1.40% | 1.50% |
Portfolio Turnover Rate3 | 4% | 11% | 19% | 19% | 13% | 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 0.06%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $100.85 | $138.70 | $124.75 | $95.61 | $75.70 | $84.76 |
Investment Operations | ||||||
Net Investment Income1 | .709 | 1.437 | 1.408 | 1.112 | 1.236 | 1.307 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.027 | (38.129) | 14.106 | 29.367 | 19.918 | (9.111) |
Total from Investment Operations | 12.736 | (36.692) | 15.514 | 30.479 | 21.154 | (7.804) |
Distributions | ||||||
Dividends from Net Investment Income | (.706) | (1.158) | (1.564) | (1.339) | (1.244) | (1.256) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.706) | (1.158) | (1.564) | (1.339) | (1.244) | (1.256) |
Net Asset Value, End of Period | $112.88 | $100.85 | $138.70 | $124.75 | $95.61 | $75.70 |
Total Return2 | 12.67% | -26.47% | 12.45% | 32.21% | 28.03% | -9.36% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $22,014 | $20,012 | $29,054 | $26,784 | $22,391 | $17,644 |
Ratio of Total Expenses to Average Net Assets | 0.06%3 | 0.06%3 | 0.06% | 0.06% | 0.06% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.29% | 1.01% | 1.18% | 1.39% | 1.50% |
Portfolio Turnover Rate4 | 4% | 11% | 19% | 19% | 13% | 10% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.06%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $100.84 | $138.69 | $124.74 | $95.60 | $75.69 | $84.75 |
Investment Operations | ||||||
Net Investment Income1 | .712 | 1.439 | 1.413 | 1.125 | 1.239 | 1.319 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.040 | (38.120) | 14.115 | 29.364 | 19.925 | (9.113) |
Total from Investment Operations | 12.752 | (36.681) | 15.528 | 30.489 | 21.164 | (7.794) |
Distributions | ||||||
Dividends from Net Investment Income | (.712) | (1.169) | (1.578) | (1.349) | (1.254) | (1.266) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.712) | (1.169) | (1.578) | (1.349) | (1.254) | (1.266) |
Net Asset Value, End of Period | $112.88 | $100.84 | $138.69 | $124.74 | $95.60 | $75.69 |
Total Return | 12.69% | -26.46% | 12.47% | 32.23% | 28.05% | -9.35% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,005 | $12,983 | $19,456 | $18,659 | $14,927 | $12,443 |
Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.06% |
Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.29% | 1.01% | 1.19% | 1.40% | 1.51% |
Portfolio Turnover Rate3 | 4% | 11% | 19% | 19% | 13% | 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 0.05%. |
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. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $248.85 | $342.27 | $307.85 | $235.94 | $186.80 | $209.16 |
Investment Operations | ||||||
Net Investment Income1 | 1.780 | 3.597 | 3.595 | 2.798 | 3.078 | 3.208 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.690 | (94.104) | 34.757 | 72.466 | 49.178 | (22.426) |
Total from Investment Operations | 31.470 | (90.507) | 38.352 | 75.264 | 52.256 | (19.218) |
Distributions | ||||||
Dividends from Net Investment Income | (1.770) | (2.913) | (3.932) | (3.354) | (3.116) | (3.142) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.770) | (2.913) | (3.932) | (3.354) | (3.116) | (3.142) |
Net Asset Value, End of Period | $278.55 | $248.85 | $342.27 | $307.85 | $235.94 | $186.80 |
Total Return | 12.69% | -26.45% | 12.48% | 32.24% | 28.07% | -9.35% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,347 | $10,446 | $15,973 | $11,665 | $9,486 | $7,559 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.46% | 1.31% | 1.04% | 1.20% | 1.41% | 1.52% |
Portfolio Turnover Rate3 | 4% | 11% | 19% | 19% | 13% | 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 0.04%. |
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. |
Institutional Select Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $162.04 | $222.86 | $200.45 | $153.63 | $121.63 | $136.19 |
Investment Operations | ||||||
Net Investment Income1 | 1.173 | 2.421 | 2.352 | 1.855 | 2.059 | 2.184 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.348 | (61.319) | 22.661 | 47.179 | 31.999 | (14.655) |
Total from Investment Operations | 20.521 | (58.898) | 25.013 | 49.034 | 34.058 | (12.471) |
Distributions | ||||||
Dividends from Net Investment Income | (1.161) | (1.922) | (2.603) | (2.214) | (2.058) | (2.089) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.161) | (1.922) | (2.603) | (2.214) | (2.058) | (2.089) |
Net Asset Value, End of Period | $181.40 | $162.04 | $222.86 | $200.45 | $153.63 | $121.63 |
Total Return | 12.71% | -26.44% | 12.50% | 32.27% | 28.09% | -9.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,668 | $22,239 | $26,240 | $24,472 | $19,166 | $13,390 |
Ratio of Total Expenses to Average Net Assets | 0.02%2 | 0.02%2 | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.48% | 1.36% | 1.05% | 1.22% | 1.44% | 1.55% |
Portfolio Turnover Rate3 | 4% | 11% | 19% | 19% | 13% | 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 0.02%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 86,807,219 | 4,954 | 2,575 | 86,814,748 |
Preferred Stocks | 137 | — | — | 137 |
Temporary Cash Investments | 2,651,333 | — | — | 2,651,333 |
Total | 89,458,689 | 4,954 | 2,575 | 89,466,218 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 10,002 | — | — | 10,002 |
Swap Contracts | — | 13,677 | — | 13,677 |
Total | 10,002 | 13,677 | — | 23,679 |
Liabilities | ||||
Swap Contracts | — | 350 | — | 350 |
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. |
Amount ($000) | |
Tax Cost | 80,396,599 |
Gross Unrealized Appreciation | 28,002,404 |
Gross Unrealized Depreciation | (18,909,456) |
Net Unrealized Appreciation (Depreciation) | 9,092,948 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 2,572 | 24 | 10,368 | 92 | |
Issued in Lieu of Cash Distributions | 1,308 | 13 | 2,370 | 23 | |
Redeemed | (42,123) | (391) | (85,072) | (721) | |
Net Increase (Decrease)—Investor Shares | (38,243) | (354) | (72,334) | (606) | |
ETF Shares | |||||
Issued | 2,743,179 | 19,360 | 7,785,642 | 54,535 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (2,035,451) | (14,350) | (7,440,676) | (52,300) | |
Net Increase (Decrease)—ETF Shares | 707,728 | 5,010 | 344,966 | 2,235 | |
Admiral Shares | |||||
Issued | 801,348 | 7,474 | 2,057,224 | 18,437 | |
Issued in Lieu of Cash Distributions | 115,081 | 1,083 | 193,334 | 1,884 | |
Redeemed | (1,282,666) | (11,984) | (3,503,396) | (31,355) | |
Net Increase (Decrease)—Admiral Shares | (366,237) | (3,427) | (1,252,838) | (11,034) | |
Institutional Shares | |||||
Issued | 1,000,875 | 9,404 | 2,414,097 | 21,403 | |
Issued in Lieu of Cash Distributions | 83,368 | 785 | 143,746 | 1,400 | |
Redeemed | (1,589,880) | (14,862) | (3,767,802) | (34,333) | |
Net Increase (Decrease)—Institutional Shares | (505,637) | (4,673) | (1,209,959) | (11,530) | |
Institutional Plus Shares | |||||
Issued | 587,096 | 2,236 | 3,581,013 | 13,375 | |
Issued in Lieu of Cash Distributions | 69,007 | 263 | 125,346 | 495 | |
Redeemed | (991,789) | (3,740) | (4,882,352) | (18,563) | |
Net Increase (Decrease)—Institutional Plus Shares | (335,686) | (1,241) | (1,175,993) | (4,693) | |
Institutional Select Shares | |||||
Issued | 1,528,300 | 8,881 | 4,415,226 | 25,617 | |
Issued in Lieu of Cash Distributions | 158,790 | 930 | 248,096 | 1,506 | |
Redeemed | (1,867,962) | (11,062) | (1,372,911) | (7,624) | |
Net Increase (Decrease)—Institutional Select Shares | (180,872) | (1,251) | 3,290,411 | 19,499 |
Basic Materials | 3.8% |
Consumer Discretionary | 14.1 |
Consumer Staples | 5.0 |
Energy | 5.1 |
Financials | 11.8 |
Health Care | 11.1 |
Industrials | 17.5 |
Real Estate | 8.5 |
Technology | 14.1 |
Telecommunications | 1.7 |
Utilities | 7.3 |
Shares | Market Value• ($000) | |||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
2,3 | Vanguard Market Liquidity Fund, 5.150% (Cost $708,041) | 7,083,872 | 708,245 | |||
Total Investments (100.0%) (Cost $103,050,476) | 147,280,749 | |||||
Other Assets and Liabilities—Net (0.0%) | 18,889 | |||||
Net Assets (100%) | 147,299,638 |
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 $376,855,000. |
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 $401,913,000 was received for securities on loan. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2023 | 612 | 58,253 | 331 |
E-mini S&P 500 Index | September 2023 | 617 | 138,463 | 2,878 |
E-mini S&P Mid-Cap 400 Index | September 2023 | 464 | 122,686 | 2,698 |
5,907 |
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) |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 7,955 | (5.073) | 179 | — |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 7,955 | (5.073) | 179 | — |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 7,955 | (5.073) | 179 | — |
Ameren Corp. | 1/31/24 | GSI | 1,260 | (5.076) | — | (27) |
Coinbase Global Inc. Class A | 1/31/24 | GSI | 21,700 | (5.076) | 6,877 | — |
CRSP US Mid Cap TR Index | 8/31/23 | BANA | 99,921 | (5.473) | 7,359 | — |
Global Payments Inc. | 8/31/23 | BANA | 61,146 | (5.620) | — | (2,094) |
Global Payments Inc. | 8/31/23 | BANA | 50,435 | (5.619) | — | (1,215) |
Global Payments Inc. | 8/31/23 | BANA | 9,769 | (5.523) | 65 | — |
Global Payments Inc. | 8/31/23 | BANA | 9,769 | (5.523) | 65 | — |
Hormel Foods Corp. | 1/31/24 | GSI | 18,585 | (5.076) | — | (523) |
ONEOK Inc. | 8/31/23 | BANA | 12,918 | (5.073) | 1,101 | — |
ONEOK Inc. | 8/31/23 | BANA | 12,918 | (5.073) | 1,101 | — |
Palantir Technologies Inc. Class A | 8/31/23 | BANA | 3,942 | (5.073) | 150 | — |
Sirius XM Holdings Inc. | 1/31/24 | GSI | 9,479 | (5.076) | 1,714 | — |
Over-the-Counter Total Return Swaps (continued) | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
VICI Properties Inc. Class A | 8/31/23 | BANA | 81,965 | (5.623) | 1,987 | — |
Warner Bros Discovery Inc. | 8/31/23 | BANA | 14,326 | (5.073) | 1,542 | — |
22,498 | (3,859) |
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. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $102,342,435) | 146,572,504 |
Affiliated Issuers (Cost $708,041) | 708,245 |
Total Investments in Securities | 147,280,749 |
Investment in Vanguard | 4,814 |
Cash | 38,390 |
Cash Collateral Pledged—Futures Contracts | 17,395 |
Due from Broker | 238,924 |
Receivables for Accrued Income | 169,792 |
Receivables for Capital Shares Issued | 56,746 |
Variation Margin Receivable—Futures Contracts | 2,547 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 22,498 |
Total Assets | 147,831,855 |
Liabilities | |
Payables for Investment Securities Purchased | 24,640 |
Collateral for Securities on Loan | 401,913 |
Payables for Capital Shares Redeemed | 99,248 |
Payables to Vanguard | 2,557 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 3,859 |
Total Liabilities | 532,217 |
Net Assets | 147,299,638 |
1 Includes $376,855,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 118,285,720 |
Total Distributable Earnings (Loss) | 29,013,918 |
Net Assets | 147,299,638 |
Investor Shares—Net Assets | |
Applicable to 7,238,703 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 435,164 |
Net Asset Value Per Share—Investor Shares | $60.12 |
ETF Shares—Net Assets | |
Applicable to 247,506,850 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 54,485,345 |
Net Asset Value Per Share—ETF Shares | $220.14 |
Admiral Shares—Net Assets | |
Applicable to 201,759,452 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 55,011,793 |
Net Asset Value Per Share—Admiral Shares | $272.66 |
Institutional Shares—Net Assets | |
Applicable to 355,156,997 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 21,391,755 |
Net Asset Value Per Share—Institutional Shares | $60.23 |
Institutional Plus Shares—Net Assets | |
Applicable to 53,780,783 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,975,581 |
Net Asset Value Per Share—Institutional Plus Shares | $297.05 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,076,656 |
Interest2 | 18,897 |
Securities Lending—Net | 15,387 |
Total Income | 1,110,940 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,576 |
Management and Administrative—Investor Shares | 362 |
Management and Administrative—ETF Shares | 7,347 |
Management and Administrative—Admiral Shares | 10,860 |
Management and Administrative—Institutional Shares | 3,435 |
Management and Administrative—Institutional Plus Shares | 1,814 |
Marketing and Distribution—Investor Shares | 12 |
Marketing and Distribution—ETF Shares | 1,587 |
Marketing and Distribution—Admiral Shares | 1,355 |
Marketing and Distribution—Institutional Shares | 341 |
Marketing and Distribution—Institutional Plus Shares | 236 |
Custodian Fees | 100 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 697 |
Shareholders’ Reports—Admiral Shares | 307 |
Shareholders’ Reports—Institutional Shares | 90 |
Shareholders’ Reports—Institutional Plus Shares | 47 |
Trustees’ Fees and Expenses | 36 |
Other Expenses | 13 |
Total Expenses | 30,216 |
Expenses Paid Indirectly | (8) |
Net Expenses | 30,208 |
Net Investment Income | 1,080,732 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 90,698 |
Futures Contracts | 32,661 |
Swap Contracts | (33,582) |
Realized Net Gain (Loss) | 89,777 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 10,759,125 |
Futures Contracts | 22,638 |
Swap Contracts | 32,499 |
Change in Unrealized Appreciation (Depreciation) | 10,814,262 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,984,771 |
1 | Dividends are net of foreign withholding taxes of $458,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $18,056,000, $130,000, and ($176,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $3,316,030,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,080,732 | 2,185,524 | |
Realized Net Gain (Loss) | 89,777 | 2,853,546 | |
Change in Unrealized Appreciation (Depreciation) | 10,814,262 | (36,662,503) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,984,771 | (31,623,433) | |
Distributions | |||
Investor Shares | (2,993) | (7,365) | |
ETF Shares | (388,153) | (779,343) | |
Admiral Shares | (391,217) | (818,365) | |
Institutional Shares | (153,550) | (331,945) | |
Institutional Plus Shares | (114,849) | (235,283) | |
Total Distributions | (1,050,762) | (2,172,301) | |
Capital Share Transactions | |||
Investor Shares | (76,016) | (126,905) | |
ETF Shares | 627,406 | 3,900,034 | |
Admiral Shares | (432,317) | (830,405) | |
Institutional Shares | (444,847) | (1,758,614) | |
Institutional Plus Shares | (73,378) | 710,097 | |
Net Increase (Decrease) from Capital Share Transactions | (399,152) | 1,894,207 | |
Total Increase (Decrease) | 10,534,857 | (31,901,527) | |
Net Assets | |||
Beginning of Period | 136,764,781 | 168,666,308 | |
End of Period | 147,299,638 | 136,764,781 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $55.66 | $69.54 | $56.52 | $48.64 | $37.71 | $42.23 |
Investment Operations | ||||||
Net Investment Income1 | .402 | .807 | .652 | .698 | .577 | .640 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.449 | (13.875) | 13.065 | 7.937 | 11.018 | (4.528) |
Total from Investment Operations | 4.851 | (13.068) | 13.717 | 8.635 | 11.595 | (3.888) |
Distributions | ||||||
Dividends from Net Investment Income | (.391) | (.812) | (.697) | (.755) | (.665) | (.632) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.391) | (.812) | (.697) | (.755) | (.665) | (.632) |
Net Asset Value, End of Period | $60.12 | $55.66 | $69.54 | $56.52 | $48.64 | $37.71 |
Total Return2 | 8.76% | -18.80% | 24.36% | 18.10% | 30.86% | -9.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $435 | $476 | $740 | $834 | $877 | $3,043 |
Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 1.47% | 1.36% | 1.02% | 1.49% | 1.31% | 1.49% |
Portfolio Turnover Rate4 | 4% | 12% | 16% | 26% | 15% | 16% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $203.84 | $254.69 | $207.00 | $178.14 | $138.08 | $154.65 |
Investment Operations | ||||||
Net Investment Income1 | 1.623 | 3.302 | 2.741 | 2.772 | 2.663 | 2.535 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.251 | (50.886) | 47.811 | 29.084 | 40.043 | (16.584) |
Total from Investment Operations | 17.874 | (47.584) | 50.552 | 31.856 | 42.706 | (14.049) |
Distributions | ||||||
Dividends from Net Investment Income | (1.574) | (3.266) | (2.862) | (2.996) | (2.646) | (2.521) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.574) | (3.266) | (2.862) | (2.996) | (2.646) | (2.521) |
Net Asset Value, End of Period | $220.14 | $203.84 | $254.69 | $207.00 | $178.14 | $138.08 |
Total Return | 8.82% | -18.68% | 24.52% | 18.22% | 31.04% | -9.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $54,485 | $49,861 | $57,774 | $41,587 | $29,014 | $21,261 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.53% | 1.16% | 1.61% | 1.62% | 1.62% |
Portfolio Turnover Rate3 | 4% | 12% | 16% | 26% | 15% | 16% |
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 0.04%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $252.47 | $315.46 | $256.40 | $220.66 | $171.04 | $191.55 |
Investment Operations | ||||||
Net Investment Income1 | 1.986 | 4.028 | 3.333 | 3.418 | 3.296 | 3.135 |
Net Realized and Unrealized Gain (Loss) on Investments | 20.140 | (63.000) | 59.242 | 36.010 | 49.578 | (20.539) |
Total from Investment Operations | 22.126 | (58.972) | 62.575 | 39.428 | 52.874 | (17.404) |
Distributions | ||||||
Dividends from Net Investment Income | (1.936) | (4.018) | (3.515) | (3.688) | (3.254) | (3.106) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.936) | (4.018) | (3.515) | (3.688) | (3.254) | (3.106) |
Net Asset Value, End of Period | $272.66 | $252.47 | $315.46 | $256.40 | $220.66 | $171.04 |
Total Return2 | 8.81% | -18.71% | 24.51% | 18.24% | 31.03% | -9.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $55,012 | $51,352 | $65,118 | $53,301 | $47,640 | $34,754 |
Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.51% | 1.14% | 1.61% | 1.62% | 1.61% |
Portfolio Turnover Rate4 | 4% | 12% | 16% | 26% | 15% | 16% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $55.77 | $69.69 | $56.64 | $48.74 | $37.78 | $42.32 |
Investment Operations | ||||||
Net Investment Income1 | .441 | .893 | .743 | .759 | .727 | .697 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.450 | (13.919) | 13.090 | 7.961 | 10.957 | (4.547) |
Total from Investment Operations | 4.891 | (13.026) | 13.833 | 8.720 | 11.684 | (3.850) |
Distributions | ||||||
Dividends from Net Investment Income | (.431) | (.894) | (.783) | (.820) | (.724) | (.690) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.431) | (.894) | (.783) | (.820) | (.724) | (.690) |
Net Asset Value, End of Period | $60.23 | $55.77 | $69.69 | $56.64 | $48.74 | $37.78 |
Total Return | 8.82% | -18.70% | 24.53% | 18.26% | 31.04% | -9.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $21,392 | $20,231 | $27,312 | $22,291 | $20,425 | $16,524 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.51% | 1.15% | 1.62% | 1.62% | 1.62% |
Portfolio Turnover Rate3 | 4% | 12% | 16% | 26% | 15% | 16% |
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 0.04%. |
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. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $275.06 | $343.68 | $279.34 | $240.40 | $186.34 | $208.69 |
Investment Operations | ||||||
Net Investment Income1 | 2.191 | 4.458 | 3.688 | 3.774 | 3.598 | 3.464 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.937 | (68.641) | 64.544 | 39.230 | 54.052 | (22.388) |
Total from Investment Operations | 24.128 | (64.183) | 68.232 | 43.004 | 57.650 | (18.924) |
Distributions | ||||||
Dividends from Net Investment Income | (2.138) | (4.437) | (3.892) | (4.064) | (3.590) | (3.426) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (2.138) | (4.437) | (3.892) | (4.064) | (3.590) | (3.426) |
Net Asset Value, End of Period | $297.05 | $275.06 | $343.68 | $279.34 | $240.40 | $186.34 |
Total Return | 8.82% | -18.69% | 24.53% | 18.27% | 31.06% | -9.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,976 | $14,846 | $17,723 | $14,937 | $13,612 | $11,426 |
Ratio of Total Expenses to Average Net Assets | 0.03%2 | 0.03%2 | 0.03% | 0.03% | 0.03% | 0.03% |
Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.53% | 1.16% | 1.63% | 1.62% | 1.63% |
Portfolio Turnover Rate3 | 4% | 12% | 16% | 26% | 15% | 16% |
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 0.03%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 146,572,504 | — | — | 146,572,504 |
Temporary Cash Investments | 708,245 | — | — | 708,245 |
Total | 147,280,749 | — | — | 147,280,749 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 5,907 | — | — | 5,907 |
Swap Contracts | — | 22,498 | — | 22,498 |
Total | 5,907 | 22,498 | — | 28,405 |
Liabilities | ||||
Swap Contracts | — | 3,859 | — | 3,859 |
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. |
Amount ($000) | |
Tax Cost | 103,138,941 |
Gross Unrealized Appreciation | 51,446,365 |
Gross Unrealized Depreciation | (7,280,011) |
Net Unrealized Appreciation (Depreciation) | 44,166,354 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 14,104 | 244 | 38,431 | 646 | |
Issued in Lieu of Cash Distributions | 2,993 | 53 | 7,365 | 130 | |
Redeemed | (93,113) | (1,605) | (172,701) | (2,864) | |
Net Increase (Decrease)—Investor Shares | (76,016) | (1,308) | (126,905) | (2,088) | |
ETF Shares | |||||
Issued | 7,056,692 | 33,548 | 22,366,377 | 104,145 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (6,429,286) | (30,650) | (18,466,343) | (86,375) | |
Net Increase (Decrease)—ETF Shares | 627,406 | 2,898 | 3,900,034 | 17,770 | |
Admiral Shares | |||||
Issued | 2,663,267 | 10,162 | 6,210,546 | 23,079 | |
Issued in Lieu of Cash Distributions | 345,174 | 1,344 | 713,328 | 2,783 | |
Redeemed | (3,440,758) | (13,144) | (7,754,279) | (28,889) | |
Net Increase (Decrease)—Admiral Shares | (432,317) | (1,638) | (830,405) | (3,027) | |
Institutional Shares | |||||
Issued | 1,421,262 | 24,710 | 3,105,126 | 52,367 | |
Issued in Lieu of Cash Distributions | 142,207 | 2,506 | 306,818 | 5,408 | |
Redeemed | (2,008,316) | (34,801) | (5,170,558) | (86,962) | |
Net Increase (Decrease)—Institutional Shares | (444,847) | (7,585) | (1,758,614) | (29,187) | |
Institutional Plus Shares | |||||
Issued | 888,628 | 3,130 | 2,083,499 | 7,084 | |
Issued in Lieu of Cash Distributions | 114,108 | 408 | 233,744 | 837 | |
Redeemed | (1,076,114) | (3,730) | (1,607,146) | (5,516) | |
Net Increase (Decrease)—Institutional Plus Shares | (73,378) | (192) | 710,097 | 2,405 |
Basic Materials | 2.3% |
Consumer Discretionary | 14.1 |
Consumer Staples | 1.8 |
Energy | 7.5 |
Financials | 6.1 |
Health Care | 14.1 |
Industrials | 19.1 |
Real Estate | 7.0 |
Technology | 23.5 |
Telecommunications | 3.3 |
Utilities | 1.2 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 58 | 13,016 | 287 |
E-mini S&P Mid-Cap 400 Index | September 2023 | 49 | 12,956 | 315 |
602 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $16,168,325) | 21,395,933 |
Affiliated Issuers (Cost $111,268) | 111,282 |
Total Investments in Securities | 21,507,215 |
Investment in Vanguard | 695 |
Cash | 2,485 |
Cash Collateral Pledged—Futures Contracts | 1,360 |
Receivables for Investment Securities Sold | 11,834 |
Receivables for Accrued Income | 6,286 |
Receivables for Capital Shares Issued | 5,040 |
Variation Margin Receivable—Futures Contracts | 233 |
Total Assets | 21,535,148 |
Liabilities | |
Payables for Investment Securities Purchased | 5,667 |
Collateral for Securities on Loan | 91,538 |
Payables for Capital Shares Redeemed | 17,795 |
Payables to Vanguard | 605 |
Total Liabilities | 115,605 |
Net Assets | 21,419,543 |
1 Includes $87,900,000 of securities on loan. | |
At June 30, 2023, net assets consisted of: | |
Paid-in Capital | 19,677,469 |
Total Distributable Earnings (Loss) | 1,742,074 |
Net Assets | 21,419,543 |
Investor Shares—Net Assets | |
Applicable to 572,904 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 46,377 |
Net Asset Value Per Share—Investor Shares | $80.95 |
ETF Shares—Net Assets | |
Applicable to 53,256,868 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,962,022 |
Net Asset Value Per Share—ETF Shares | $205.83 |
Admiral Shares—Net Assets | |
Applicable to 117,502,814 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,411,144 |
Net Asset Value Per Share—Admiral Shares | $88.60 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 75,831 |
Interest2 | 222 |
Securities Lending—Net | 1,659 |
Total Income | 77,712 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 225 |
Management and Administrative—Investor Shares | 40 |
Management and Administrative—ETF Shares | 2,844 |
Management and Administrative—Admiral Shares | 2,902 |
Marketing and Distribution—Investor Shares | 2 |
Marketing and Distribution—ETF Shares | 307 |
Marketing and Distribution—Admiral Shares | 295 |
Custodian Fees | 13 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 198 |
Shareholders’ Reports—Admiral Shares | 75 |
Trustees’ Fees and Expenses | 5 |
Other Expenses | 13 |
Total Expenses | 6,919 |
Net Investment Income | 70,793 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | (138,691) |
Futures Contracts | 434 |
Realized Net Gain (Loss) | (138,257) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 2,830,514 |
Futures Contracts | 841 |
Change in Unrealized Appreciation (Depreciation) | 2,831,355 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,763,891 |
1 | Dividends are net of foreign withholding taxes of $134,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $206,000, $3,000, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $485,517,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 70,793 | 143,006 | |
Realized Net Gain (Loss) | (138,257) | (287,627) | |
Change in Unrealized Appreciation (Depreciation) | 2,831,355 | (7,290,573) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,763,891 | (7,435,194) | |
Distributions | |||
Investor Shares | (138) | (306) | |
ETF Shares | (36,467) | (71,823) | |
Admiral Shares | (35,344) | (70,682) | |
Total Distributions | (71,949) | (142,811) | |
Capital Share Transactions | |||
Investor Shares | (6,165) | (17,561) | |
ETF Shares | 283,695 | 298,485 | |
Admiral Shares | (33,579) | 99,556 | |
Net Increase (Decrease) from Capital Share Transactions | 243,951 | 380,480 | |
Total Increase (Decrease) | 2,935,893 | (7,197,525) | |
Net Assets | |||
Beginning of Period | 18,483,650 | 25,681,175 | |
End of Period | 21,419,543 | 18,483,650 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $70.68 | $100.07 | $83.37 | $62.43 | $47.02 | $50.21 |
Investment Operations | ||||||
Net Investment Income1 | .218 | .444 | .229 | .340 | .345 | .333 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.278 | (29.381) | 16.697 | 20.984 | 15.485 | (3.193) |
Total from Investment Operations | 10.496 | (28.937) | 16.926 | 21.324 | 15.830 | (2.860) |
Distributions | ||||||
Dividends from Net Investment Income | (.226) | (.453) | (.226) | (.384) | (.420) | (.330) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.226) | (.453) | (.226) | (.384) | (.420) | (.330) |
Net Asset Value, End of Period | $80.95 | $70.68 | $100.07 | $83.37 | $62.43 | $47.02 |
Total Return2 | 14.87% | -28.93% | 20.32% | 34.32% | 33.72% | -5.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $46 | $46 | $86 | $81 | $63 | $405 |
Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19%3 | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 0.61% | 0.57% | 0.25% | 0.51% | 0.62% | 0.64% |
Portfolio Turnover Rate4 | 5% | 22% | 25% | 22% | 18% | 25% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.19%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $179.73 | $254.49 | $212.00 | $158.76 | $119.58 | $127.67 |
Investment Operations | ||||||
Net Investment Income1 | .690 | 1.405 | .870 | 1.074 | 1.386 | 1.016 |
Net Realized and Unrealized Gain (Loss) on Investments | 26.106 | (74.767) | 42.479 | 53.347 | 39.040 | (8.101) |
Total from Investment Operations | 26.796 | (73.362) | 43.349 | 54.421 | 40.426 | (7.085) |
Distributions | ||||||
Dividends from Net Investment Income | (.696) | (1.398) | (.859) | (1.181) | (1.246) | (1.005) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.696) | (1.398) | (.859) | (1.181) | (1.246) | (1.005) |
Net Asset Value, End of Period | $205.83 | $179.73 | $254.49 | $212.00 | $158.76 | $119.58 |
Total Return | 14.94% | -28.84% | 20.47% | 34.46% | 33.86% | -5.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,962 | $9,313 | $12,798 | $10,164 | $6,995 | $4,956 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%2 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.75% | 0.72% | 0.37% | 0.63% | 0.95% | 0.76% |
Portfolio Turnover Rate3 | 5% | 22% | 25% | 22% | 18% | 25% |
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 0.07%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $77.37 | $109.55 | $91.26 | $68.34 | $51.48 | $54.96 |
Investment Operations | ||||||
Net Investment Income1 | .294 | .602 | .373 | .461 | .603 | .437 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.236 | (32.180) | 18.287 | 22.967 | 16.793 | (3.485) |
Total from Investment Operations | 11.530 | (31.578) | 18.660 | 23.428 | 17.396 | (3.048) |
Distributions | ||||||
Dividends from Net Investment Income | (.300) | (.602) | (.370) | (.508) | (.536) | (.432) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.300) | (.602) | (.370) | (.508) | (.536) | (.432) |
Net Asset Value, End of Period | $88.60 | $77.37 | $109.55 | $91.26 | $68.34 | $51.48 |
Total Return2 | 14.93% | -28.84% | 20.48% | 34.48% | 33.86% | -5.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,411 | $9,124 | $12,797 | $10,712 | $8,173 | $5,544 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%3 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 0.75% | 0.71% | 0.37% | 0.63% | 0.96% | 0.76% |
Portfolio Turnover Rate4 | 5% | 22% | 25% | 22% | 18% | 25% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
Amount ($000) | |
Tax Cost | 16,293,551 |
Gross Unrealized Appreciation | 6,628,375 |
Gross Unrealized Depreciation | (1,414,109) |
Net Unrealized Appreciation (Depreciation) | 5,214,266 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 3,363 | 45 | 7,152 | 91 | |
Issued in Lieu of Cash Distributions | 138 | 2 | 306 | 4 | |
Redeemed | (9,666) | (126) | (25,019) | (303) | |
Net Increase (Decrease)—Investor Shares | (6,165) | (79) | (17,561) | (208) | |
ETF Shares | |||||
Issued | 1,264,828 | 6,514 | 4,309,536 | 22,204 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (981,133) | (5,075) | (4,011,051) | (20,674) | |
Net Increase (Decrease)—ETF Shares | 283,695 | 1,439 | 298,485 | 1,530 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Admiral Shares | |||||
Issued | 802,635 | 9,670 | 1,795,061 | 20,960 | |
Issued in Lieu of Cash Distributions | 31,669 | 384 | 63,404 | 794 | |
Redeemed | (867,883) | (10,490) | (1,758,909) | (20,629) | |
Net Increase (Decrease)—Admiral Shares | (33,579) | (436) | 99,556 | 1,125 |
Basic Materials | 5.2% |
Consumer Discretionary | 14.1 |
Consumer Staples | 8.0 |
Energy | 2.8 |
Financials | 17.2 |
Health Care | 8.2 |
Industrials | 16.1 |
Real Estate | 10.1 |
Technology | 5.1 |
Telecommunications | 0.2 |
Utilities | 13.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 30 | 6,732 | 148 |
E-mini S&P Mid-Cap 400 Index | September 2023 | 102 | 26,970 | 720 |
868 |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $22,072,611) | 28,007,368 |
Affiliated Issuers (Cost $75,145) | 75,161 |
Total Investments in Securities | 28,082,529 |
Investment in Vanguard | 923 |
Cash | 1,213 |
Cash Collateral Pledged—Futures Contracts | 1,810 |
Receivables for Investment Securities Sold | 2,619 |
Receivables for Accrued Income | 55,505 |
Receivables for Capital Shares Issued | 7,742 |
Variation Margin Receivable—Futures Contracts | 247 |
Total Assets | 28,152,588 |
Liabilities | |
Due to Custodian | 6,605 |
Payables for Investment Securities Purchased | 21,504 |
Collateral for Securities on Loan | 76,368 |
Payables for Capital Shares Redeemed | 9,627 |
Payables to Vanguard | 799 |
Total Liabilities | 114,903 |
Net Assets | 28,037,685 |
1 Includes $68,254,000 of securities on loan. | |
At June 30, 2023, net assets consisted of: | |
Paid-in Capital | 26,028,760 |
Total Distributable Earnings (Loss) | 2,008,925 |
Net Assets | 28,037,685 |
Investor Shares—Net Assets | |
Applicable to 755,756 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 41,190 |
Net Asset Value Per Share—Investor Shares | $54.50 |
ETF Shares—Net Assets | |
Applicable to 116,904,245 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,180,945 |
Net Asset Value Per Share—ETF Shares | $138.41 |
Admiral Shares—Net Assets | |
Applicable to 164,785,513 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,815,550 |
Net Asset Value Per Share—Admiral Shares | $71.70 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 313,293 |
Interest1 | 224 |
Securities Lending—Net | 3,585 |
Total Income | 317,102 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 316 |
Management and Administrative—Investor Shares | 36 |
Management and Administrative—ETF Shares | 4,449 |
Management and Administrative—Admiral Shares | 3,436 |
Marketing and Distribution—Investor Shares | 1 |
Marketing and Distribution—ETF Shares | 449 |
Marketing and Distribution—Admiral Shares | 363 |
Custodian Fees | 148 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 396 |
Shareholders’ Reports—Admiral Shares | 88 |
Trustees’ Fees and Expenses | 7 |
Other Expenses | 13 |
Total Expenses | 9,703 |
Expenses Paid Indirectly | (8) |
Net Expenses | 9,695 |
Net Investment Income | 307,407 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 8,514 |
Futures Contracts | 1,580 |
Swap Contracts | 1,729 |
Realized Net Gain (Loss) | 11,823 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 602,154 |
Futures Contracts | 1,258 |
Swap Contracts | 1,443 |
Change in Unrealized Appreciation (Depreciation) | 604,855 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 924,085 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $187,000, $1,000, and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $676,105,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 307,407 | 625,353 | |
Realized Net Gain (Loss) | 11,823 | 1,031,827 | |
Change in Unrealized Appreciation (Depreciation) | 604,855 | (4,126,567) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 924,085 | (2,469,387) | |
Distributions | |||
Investor Shares | (428) | (970) | |
ETF Shares | (171,472) | (356,532) | |
Admiral Shares | (125,159) | (267,459) | |
Total Distributions | (297,059) | (624,961) | |
Capital Share Transactions | |||
Investor Shares | (4,245) | (7,678) | |
ETF Shares | (174,297) | 1,666,234 | |
Admiral Shares | (189,925) | (147,140) | |
Net Increase (Decrease) from Capital Share Transactions | (368,467) | 1,511,416 | |
Total Increase (Decrease) | 258,559 | (1,582,932) | |
Net Assets | |||
Beginning of Period | 27,779,126 | 29,362,058 | |
End of Period | 28,037,685 | 27,779,126 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $53.27 | $59.16 | $46.83 | $46.96 | $37.50 | $43.89 |
Investment Operations | ||||||
Net Investment Income1 | .558 | 1.129 | 1.006 | 1.0482 | .808 | 1.0013 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.213 | (5.876) | 12.311 | (.122) | 9.566 | (6.415) |
Total from Investment Operations | 1.771 | (4.747) | 13.317 | .926 | 10.374 | (5.414) |
Distributions | ||||||
Dividends from Net Investment Income | (.541) | (1.143) | (.987) | (1.056) | (.914) | (.976) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.541) | (1.143) | (.987) | (1.056) | (.914) | (.976) |
Net Asset Value, End of Period | $54.50 | $53.27 | $59.16 | $46.83 | $46.96 | $37.50 |
Total Return4 | 3.38% | -8.00% | 28.59% | 2.43% | 27.82% | -12.53% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $41 | $45 | $57 | $43 | $52 | $508 |
Ratio of Total Expenses to Average Net Assets | 0.19%5 | 0.19%5 | 0.19% | 0.19% | 0.19% | 0.19% |
Ratio of Net Investment Income to Average Net Assets | 2.18% | 2.05% | 1.83% | 2.58%2 | 1.90% | 2.29%3 |
Portfolio Turnover Rate6 | 9% | 18% | 17% | 39% | 17% | 17% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.142 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.111 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | 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. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.19%. |
6 | 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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $135.28 | $150.26 | $118.93 | $119.27 | $95.22 | $111.47 |
Investment Operations | ||||||
Net Investment Income1 | 1.503 | 3.091 | 2.744 | 2.7812 | 2.497 | 2.6453 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.085 | (14.996) | 31.258 | (.310) | 23.996 | (16.278) |
Total from Investment Operations | 4.588 | (11.905) | 34.002 | 2.471 | 26.493 | (13.633) |
Distributions | ||||||
Dividends from Net Investment Income | (1.458) | (3.075) | (2.672) | (2.811) | (2.443) | (2.617) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.458) | (3.075) | (2.672) | (2.811) | (2.443) | (2.617) |
Net Asset Value, End of Period | $138.41 | $135.28 | $150.26 | $118.93 | $119.27 | $95.22 |
Total Return | 3.46% | -7.88% | 28.74% | 2.50% | 27.98% | -12.41% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $16,181 | $15,995 | $16,086 | $11,061 | $10,339 | $7,898 |
Ratio of Total Expenses to Average Net Assets | 0.07%4 | 0.07%4 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.31% | 2.22% | 1.96% | 2.69%2 | 2.26% | 2.41%3 |
Portfolio Turnover Rate5 | 9% | 18% | 17% | 39% | 17% | 17% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.362 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.282 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $70.08 | $77.84 | $61.61 | $61.79 | $49.33 | $57.74 |
Investment Operations | ||||||
Net Investment Income1 | .776 | 1.586 | 1.413 | 1.4382 | 1.303 | 1.3853 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.599 | (7.753) | 16.201 | (.162) | 12.422 | (8.439) |
Total from Investment Operations | 2.375 | (6.167) | 17.614 | 1.276 | 13.725 | (7.054) |
Distributions | ||||||
Dividends from Net Investment Income | (.755) | (1.593) | (1.384) | (1.456) | (1.265) | (1.356) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.755) | (1.593) | (1.384) | (1.456) | (1.265) | (1.356) |
Net Asset Value, End of Period | $71.70 | $70.08 | $77.84 | $61.61 | $61.79 | $49.33 |
Total Return4 | 3.45% | -7.90% | 28.76% | 2.54% | 27.99% | -12.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,816 | $11,740 | $13,218 | $10,092 | $11,148 | $7,738 |
Ratio of Total Expenses to Average Net Assets | 0.07%5 | 0.07%5 | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to Average Net Assets | 2.30% | 2.19% | 1.95% | 2.69%2 | 2.28% | 2.41%3 |
Portfolio Turnover Rate6 | 9% | 18% | 17% | 39% | 17% | 17% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Net investment income per share and the ratio of net investment income to average net assets include $.187 and 0.35%, respectively, resulting from a special dividend from NortonLifeLock Inc. in February 2020. |
3 | Net investment income per share and the ratio of net investment income to average net assets include $.146 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
4 | 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. |
5 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%. |
6 | 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. |
Amount ($000) | |
Tax Cost | 22,181,076 |
Gross Unrealized Appreciation | 6,999,426 |
Gross Unrealized Depreciation | (1,097,105) |
Net Unrealized Appreciation (Depreciation) | 5,902,321 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 2,669 | 50 | 9,543 | 172 | |
Issued in Lieu of Cash Distributions | 428 | 8 | 970 | 18 | |
Redeemed | (7,342) | (137) | (18,191) | (326) | |
Net Increase (Decrease)—Investor Shares | (4,245) | (79) | (7,678) | (136) | |
ETF Shares | |||||
Issued | 1,737,026 | 12,995 | 6,026,513 | 43,603 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (1,911,323) | (14,325) | (4,360,279) | (32,425) | |
Net Increase (Decrease)—ETF Shares | (174,297) | (1,330) | 1,666,234 | 11,178 | |
Admiral Shares | |||||
Issued | 901,759 | 12,775 | 2,265,008 | 31,170 | |
Issued in Lieu of Cash Distributions | 111,189 | 1,636 | 237,416 | 3,400 | |
Redeemed | (1,202,873) | (17,143) | (2,649,564) | (36,866) | |
Net Increase (Decrease)—Admiral Shares | (189,925) | (2,732) | (147,140) | (2,296) |
Vanguard Growth Index Fund |
Vanguard Value Index Fund |
Vanguard Large-Cap Index Fund |
About Your Fund’s Expenses | 1 |
Growth Index Fund | 3 |
Value Index Fund | 23 |
Large-Cap Index Fund | 46 |
Trustees Approve Advisory Arrangements | 69 |
Liquidity Risk Management | 71 |
• | 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. |
• | 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. |
Six Months Ended June 30, 2023 | |||
Beginning Account Value 12/31/2022 | Ending Account Value 6/30/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,331.30 | $0.98 |
ETF Shares | 1,000.00 | 1,332.10 | 0.23 |
Admiral™ Shares | 1,000.00 | 1,332.00 | 0.29 |
Institutional Shares | 1,000.00 | 1,332.10 | 0.23 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,024.90 | $0.85 |
ETF Shares | 1,000.00 | 1,025.50 | 0.20 |
Admiral Shares | 1,000.00 | 1,025.30 | 0.25 |
Institutional Shares | 1,000.00 | 1,025.40 | 0.20 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,171.90 | $0.92 |
ETF Shares | 1,000.00 | 1,172.80 | 0.22 |
Admiral Shares | 1,000.00 | 1,172.70 | 0.27 |
Institutional Shares | 1,000.00 | 1,172.80 | 0.22 |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.60 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.60 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
ETF Shares | 1,000.00 | 1,024.60 | 0.20 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
Basic Materials | 1.4% |
Consumer Discretionary | 21.2 |
Consumer Staples | 0.8 |
Energy | 1.4 |
Financials | 2.3 |
Health Care | 8.4 |
Industrials | 9.3 |
Real Estate | 2.0 |
Technology | 52.0 |
Telecommunications | 1.0 |
Utilities | 0.2 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market Liquidity Fund, 5.150% (Cost $364,111) | 3,642,167 | 364,144 |
Total Investments (100.0%) (Cost $88,197,728) | 178,626,860 | ||
Other Assets and Liabilities—Net (0.0%) | (8,110) | ||
Net Assets (100%) | 178,618,750 | ||
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 $77,383,000. |
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 $80,497,000 was received for securities on loan. |
CVR—Contingent Value Rights. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 881 | 197,707 | 4,108 |
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) |
Netflix Inc. | 8/31/23 | BANA | 44,049 | (5.072) | — | (167) |
Visa Inc. Class A | 8/31/23 | BANA | 105,679 | (4.972) | — | (207) |
— | (374) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $87,833,617) | 178,262,716 |
Affiliated Issuers (Cost $364,111) | 364,144 |
Total Investments in Securities | 178,626,860 |
Investment in Vanguard | 5,904 |
Cash | 5,999 |
Cash Collateral Pledged—Futures Contracts | 9,875 |
Receivables for Investment Securities Sold | 12,104 |
Receivables for Accrued Income | 32,357 |
Receivables for Capital Shares Issued | 89,708 |
Variation Margin Receivable—Futures Contracts | 2,313 |
Total Assets | 178,785,120 |
Liabilities | |
Payables for Investment Securities Purchased | 1,512 |
Collateral for Securities on Loan | 80,497 |
Payables for Capital Shares Redeemed | 80,829 |
Payables to Vanguard | 3,158 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 374 |
Total Liabilities | 166,370 |
Net Assets | 178,618,750 |
1 Includes $77,383,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 93,781,172 |
Total Distributable Earnings (Loss) | 84,837,578 |
Net Assets | 178,618,750 |
Investor Shares—Net Assets | |
Applicable to 2,691,838 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 392,310 |
Net Asset Value Per Share—Investor Shares | $145.74 |
ETF Shares—Net Assets | |
Applicable to 327,482,382 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 92,678,229 |
Net Asset Value Per Share—ETF Shares | $283.00 |
Admiral Shares—Net Assets | |
Applicable to 417,387,306 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 60,803,347 |
Net Asset Value Per Share—Admiral Shares | $145.68 |
Institutional Shares—Net Assets | |
Applicable to 169,853,846 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 24,744,864 |
Net Asset Value Per Share—Institutional Shares | $145.68 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 534,203 |
Interest2 | 6,812 |
Securities Lending—Net | 1,947 |
Total Income | 542,962 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,782 |
Management and Administrative—Investor Shares | 279 |
Management and Administrative—ETF Shares | 11,961 |
Management and Administrative—Admiral Shares | 10,641 |
Management and Administrative—Institutional Shares | 3,589 |
Marketing and Distribution—Investor Shares | 10 |
Marketing and Distribution—ETF Shares | 1,919 |
Marketing and Distribution—Admiral Shares | 1,424 |
Marketing and Distribution—Institutional Shares | 316 |
Custodian Fees | 421 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 832 |
Shareholders’ Reports—Admiral Shares | 235 |
Shareholders’ Reports—Institutional Shares | 49 |
Trustees’ Fees and Expenses | 40 |
Other Expenses | 13 |
Total Expenses | 33,511 |
Expenses Paid Indirectly | (13) |
Net Expenses | 33,498 |
Net Investment Income | 509,464 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 1,944,581 |
Futures Contracts | 11,614 |
Swap Contracts | 25,261 |
Foreign Currencies | 2 |
Realized Net Gain (Loss) | 1,981,458 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 41,860,542 |
Futures Contracts | 4,908 |
Swap Contracts | (152) |
Change in Unrealized Appreciation (Depreciation) | 41,865,298 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 44,356,220 |
1 | Dividends are net of foreign withholding taxes of $167,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,605,000, $29,000, and ($28,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $3,571,288,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 509,464 | 943,411 | |
Realized Net Gain (Loss) | 1,981,458 | 875,348 | |
Change in Unrealized Appreciation (Depreciation) | 41,865,298 | (64,902,246) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 44,356,220 | (63,083,487) | |
Distributions | |||
Investor Shares | (1,004) | (2,025) | |
ETF Shares | (275,215) | (458,691) | |
Admiral Shares | (177,339) | (312,198) | |
Institutional Shares | (73,423) | (128,919) | |
Total Distributions | (526,981) | (901,833) | |
Capital Share Transactions | |||
Investor Shares | (56,716) | (141,965) | |
ETF Shares | 1,737,584 | 9,337,505 | |
Admiral Shares | 601,725 | (199,354) | |
Institutional Shares | 202,997 | 35,988 | |
Net Increase (Decrease) from Capital Share Transactions | 2,485,590 | 9,032,174 | |
Total Increase (Decrease) | 46,314,829 | (54,953,146) | |
Net Assets | |||
Beginning of Period | 132,303,921 | 187,257,067 | |
End of Period | 178,618,750 | 132,303,921 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $109.76 | $165.20 | $130.50 | $93.87 | $69.10 | $72.36 |
Investment Operations | ||||||
Net Investment Income1 | .340 | .638 | .565 | .728 | .746 | .823 |
Net Realized and Unrealized Gain (Loss) on Investments | 35.991 | (55.480) | 34.731 | 36.631 | 24.802 | (3.271) |
Total from Investment Operations | 36.331 | (54.842) | 35.296 | 37.359 | 25.548 | (2.448) |
Distributions | ||||||
Dividends from Net Investment Income | (.351) | (.598) | (.596) | (.729) | (.778) | (.812) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.351) | (.598) | (.596) | (.729) | (.778) | (.812) |
Net Asset Value, End of Period | $145.74 | $109.76 | $165.20 | $130.50 | $93.87 | $69.10 |
Total Return2 | 33.13% | -33.22% | 27.10% | 40.01% | 37.08% | -3.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $392 | $345 | $692 | $750 | $572 | $2,654 |
Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 0.55% | 0.50% | 0.39% | 0.69% | 0.92% | 1.08% |
Portfolio Turnover Rate4 | 3% | 5% | 8% | 6% | 11% | 11% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $213.14 | $320.83 | $253.44 | $182.31 | $134.21 | $140.55 |
Investment Operations | ||||||
Net Investment Income1 | .816 | 1.584 | 1.483 | 1.683 | 1.773 | 1.807 |
Net Realized and Unrealized Gain (Loss) on Investments | 69.885 | (107.775) | 67.447 | 71.131 | 48.065 | (6.373) |
Total from Investment Operations | 70.701 | (106.191) | 68.930 | 72.814 | 49.838 | (4.566) |
Distributions | ||||||
Dividends from Net Investment Income | (.841) | (1.499) | (1.540) | (1.684) | (1.738) | (1.774) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.841) | (1.499) | (1.540) | (1.684) | (1.738) | (1.774) |
Net Asset Value, End of Period | $283.00 | $213.14 | $320.83 | $253.44 | $182.31 | $134.21 |
Total Return | 33.21% | -33.13% | 27.26% | 40.16% | 37.26% | -3.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $92,678 | $68,198 | $90,506 | $68,474 | $46,481 | $32,489 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 0.68% | 0.64% | 0.52% | 0.81% | 1.09% | 1.21% |
Portfolio Turnover Rate3 | 3% | 5% | 8% | 6% | 11% | 11% |
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 0.04%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $109.72 | $165.15 | $130.46 | $93.84 | $69.09 | $72.35 |
Investment Operations | ||||||
Net Investment Income1 | .414 | .799 | .748 | .855 | .907 | .921 |
Net Realized and Unrealized Gain (Loss) on Investments | 35.973 | (55.471) | 34.720 | 36.621 | 24.728 | (3.274) |
Total from Investment Operations | 36.387 | (54.672) | 35.468 | 37.476 | 25.635 | (2.353) |
Distributions | ||||||
Dividends from Net Investment Income | (.427) | (.758) | (.778) | (.856) | (.885) | (.907) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.427) | (.758) | (.778) | (.856) | (.885) | (.907) |
Net Asset Value, End of Period | $145.68 | $109.72 | $165.15 | $130.46 | $93.84 | $69.09 |
Total Return2 | 33.20% | -33.14% | 27.26% | 40.19% | 37.23% | -3.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $60,803 | $45,295 | $68,372 | $53,928 | $38,103 | $25,609 |
Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 0.67% | 0.63% | 0.51% | 0.80% | 1.08% | 1.20% |
Portfolio Turnover Rate4 | 3% | 5% | 8% | 6% | 11% | 11% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $109.72 | $165.16 | $130.47 | $93.85 | $69.09 | $72.35 |
Investment Operations | ||||||
Net Investment Income1 | .420 | .812 | .762 | .867 | .912 | .928 |
Net Realized and Unrealized Gain (Loss) on Investments | 35.973 | (55.481) | 34.721 | 36.620 | 24.742 | (3.274) |
Total from Investment Operations | 36.393 | (54.669) | 35.483 | 37.487 | 25.654 | (2.346) |
Distributions | ||||||
Dividends from Net Investment Income | (.433) | (.771) | (.793) | (.867) | (.894) | (.914) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.433) | (.771) | (.793) | (.867) | (.894) | (.914) |
Net Asset Value, End of Period | $145.68 | $109.72 | $165.16 | $130.47 | $93.85 | $69.09 |
Total Return | 33.21% | -33.14% | 27.27% | 40.20% | 37.26% | -3.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,745 | $18,465 | $27,688 | $22,582 | $16,426 | $12,400 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 0.68% | 0.64% | 0.52% | 0.82% | 1.09% | 1.21% |
Portfolio Turnover Rate3 | 3% | 5% | 8% | 6% | 11% | 11% |
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 0.04%. |
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. |
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. |
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. |
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 June 30, 2023, custodian fee offset arrangements reduced the fund’s expenses by $13,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 178,262,716 | — | — | 178,262,716 |
Temporary Cash Investments | 364,144 | — | — | 364,144 |
Total | 178,626,860 | — | — | 178,626,860 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 4,108 | — | — | 4,108 |
Liabilities | ||||
Swap Contracts | — | 374 | — | 374 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | As of June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 88,249,772 |
Gross Unrealized Appreciation | 95,064,829 |
Gross Unrealized Depreciation | (4,683,633) |
Net Unrealized Appreciation (Depreciation) | 90,381,196 |
F. | During the six months ended June 30, 2023, the fund purchased $12,539,928,000 of investment securities and sold $10,121,713,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,888,842,000 and $5,260,078,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 27,538 | 213 | 44,312 | 343 | |
Issued in Lieu of Cash Distributions | 1,003 | 8 | 2,025 | 17 | |
Redeemed | (85,257) | (670) | (188,302) | (1,408) | |
Net Increase (Decrease)—Investor Shares | (56,716) | (449) | (141,965) | (1,048) | |
ETF Shares | |||||
Issued | 7,082,673 | 28,316 | 17,007,616 | 69,617 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (5,345,089) | (20,800) | (7,670,111) | (31,750) | |
Net Increase (Decrease)—ETF Shares | 1,737,584 | 7,516 | 9,337,505 | 37,867 | |
Admiral Shares | |||||
Issued | 3,999,781 | 31,374 | 8,117,723 | 63,614 | |
Issued in Lieu of Cash Distributions | 158,523 | 1,201 | 277,829 | 2,333 | |
Redeemed | (3,556,579) | (28,032) | (8,594,906) | (67,109) | |
Net Increase (Decrease)—Admiral Shares | 601,725 | 4,543 | (199,354) | (1,162) | |
Institutional Shares | |||||
Issued | 1,498,528 | 11,741 | 2,976,818 | 23,224 | |
Issued in Lieu of Cash Distributions | 70,648 | 535 | 124,124 | 1,042 | |
Redeemed | (1,366,179) | (10,717) | (3,064,954) | (23,618) | |
Net Increase (Decrease)—Institutional Shares | 202,997 | 1,559 | 35,988 | 648 |
H. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
I. | Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements. |
Basic Materials | 2.2% |
Consumer Discretionary | 5.9 |
Consumer Staples | 11.1 |
Energy | 7.6 |
Financials | 18.8 |
Health Care | 18.3 |
Industrials | 15.0 |
Real Estate | 3.1 |
Technology | 8.1 |
Telecommunications | 3.8 |
Utilities | 6.1 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 5.150% (Cost $165,856) | 1,659,037 | 165,879 |
Total Investments (99.8%) (Cost $120,176,486) | 146,993,995 | ||
Other Assets and Liabilities—Net (0.2%) | 238,020 | ||
Net Assets (100%) | 147,232,015 | ||
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 $76,059,000. |
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 $83,297,000 was received for securities on loan, of which $83,280,000 is held in Vanguard Market Liquidity Fund and $17,000 is held in cash. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 1,058 | 237,428 | 2,849 |
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) |
Bank of New York Mellon Corp. | 8/31/23 | BANA | 7,346 | (5.522) | — | (30) |
Conagra Brands Inc. | 8/31/23 | BANA | 9,273 | (5.072) | — | (40) |
Ferguson plc | 8/31/23 | BANA | 10,697 | (5.072) | 9 | — |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 59,670 | (5.672) | 179 | — |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 20,965 | (5.672) | 63 | — |
Johnson Controls International plc | 8/31/23 | BANA | 11,107 | (5.072) | 19 | — |
Kroger Co. | 1/31/24 | GSI | 45,940 | (5.066) | 963 | — |
1,233 | (70) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $120,010,630) | 146,828,116 |
Affiliated Issuers (Cost $165,856) | 165,879 |
Total Investments in Securities | 146,993,995 |
Investment in Vanguard | 4,966 |
Cash | 13,677 |
Cash Collateral Pledged—Futures Contracts | 11,850 |
Receivables for Investment Securities Sold | 601,688 |
Receivables for Accrued Income | 183,164 |
Receivables for Capital Shares Issued | 777,563 |
Variation Margin Receivable—Futures Contracts | 2,777 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,233 |
Total Assets | 148,590,913 |
Liabilities | |
Payables for Investment Securities Purchased | 1,442 |
Collateral for Securities on Loan | 83,297 |
Payables for Capital Shares Redeemed | 1,271,537 |
Payables to Vanguard | 2,552 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 70 |
Total Liabilities | 1,358,898 |
Net Assets | 147,232,015 |
1 Includes $76,059,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 121,370,350 |
Total Distributable Earnings (Loss) | 25,861,665 |
Net Assets | 147,232,015 |
Investor Shares—Net Assets | |
Applicable to 2,776,308 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 153,990 |
Net Asset Value Per Share—Investor Shares | $55.47 |
ETF Shares—Net Assets | |
Applicable to 700,272,773 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 99,523,095 |
Net Asset Value Per Share—ETF Shares | $142.12 |
Admiral Shares—Net Assets | |
Applicable to 581,643,245 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 32,248,135 |
Net Asset Value Per Share—Admiral Shares | $55.44 |
Institutional Shares—Net Assets | |
Applicable to 276,093,372 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,306,795 |
Net Asset Value Per Share—Institutional Shares | $55.44 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,932,153 |
Interest1 | 4,355 |
Securities Lending—Net | 3,584 |
Total Income | 1,940,092 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,709 |
Management and Administrative—Investor Shares | 153 |
Management and Administrative—ETF Shares | 14,740 |
Management and Administrative—Admiral Shares | 6,360 |
Management and Administrative—Institutional Shares | 2,682 |
Marketing and Distribution—Investor Shares | 6 |
Marketing and Distribution—ETF Shares | 2,539 |
Marketing and Distribution—Admiral Shares | 922 |
Marketing and Distribution—Institutional Shares | 262 |
Custodian Fees | 501 |
Shareholders’ Reports—Investor Shares | 1 |
Shareholders’ Reports—ETF Shares | 1,133 |
Shareholders’ Reports—Admiral Shares | 163 |
Shareholders’ Reports—Institutional Shares | 65 |
Trustees’ Fees and Expenses | 38 |
Other Expenses | 13 |
Total Expenses | 31,287 |
Expenses Paid Indirectly | (3) |
Net Expenses | 31,284 |
Net Investment Income | 1,908,808 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 4,035,712 |
Futures Contracts | 19,093 |
Swap Contracts | (3,256) |
Realized Net Gain (Loss) | 4,051,549 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | (2,505,934) |
Futures Contracts | 2,908 |
Swap Contracts | (201) |
Change in Unrealized Appreciation (Depreciation) | (2,503,227) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,457,130 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,104,000, $61,000, and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $5,370,639,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,908,808 | 3,671,256 | |
Realized Net Gain (Loss) | 4,051,549 | 6,671,995 | |
Change in Unrealized Appreciation (Depreciation) | (2,503,227) | (13,304,884) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,457,130 | (2,961,633) | |
Distributions | |||
Investor Shares | (2,184) | (5,847) | |
ETF Shares | (1,243,842) | (2,511,165) | |
Admiral Shares | (394,058) | (791,346) | |
Institutional Shares | (199,709) | (393,370) | |
Total Distributions | (1,839,793) | (3,701,728) | |
Capital Share Transactions | |||
Investor Shares | (79,952) | (19,293) | |
ETF Shares | (983,393) | 11,181,843 | |
Admiral Shares | (220,624) | 1,778,634 | |
Institutional Shares | (1,316,207) | 1,710,922 | |
Net Increase (Decrease) from Capital Share Transactions | (2,600,176) | 14,652,106 | |
Total Increase (Decrease) | (982,839) | 7,988,745 | |
Net Assets | |||
Beginning of Period | 148,214,854 | 140,226,109 | |
End of Period | 147,232,015 | 148,214,854 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $54.78 | $57.39 | $46.43 | $46.78 | $38.18 | $41.42 |
Investment Operations | ||||||
Net Investment Income1 | .651 | 1.301 | 1.177 | 1.142 | 1.093 | 1.009 |
Net Realized and Unrealized Gain (Loss) on Investments | .682 | (2.604) | 10.945 | (.362) | 8.623 | (3.261) |
Total from Investment Operations | 1.333 | (1.303) | 12.122 | .780 | 9.716 | (2.252) |
Distributions | ||||||
Dividends from Net Investment Income | (.643) | (1.307) | (1.162) | (1.130) | (1.116) | (.988) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.643) | (1.307) | (1.162) | (1.130) | (1.116) | (.988) |
Net Asset Value, End of Period | $55.47 | $54.78 | $57.39 | $46.43 | $46.78 | $38.18 |
Total Return2 | 2.49% | -2.18% | 26.31% | 2.18% | 25.67% | -5.55% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $154 | $233 | $264 | $273 | $328 | $1,381 |
Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 2.39% | 2.38% | 2.22% | 2.75% | 2.58% | 2.43% |
Portfolio Turnover Rate4 | 3% | 5% | 9% | 10% | 12% | 8% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $140.37 | $147.08 | $118.98 | $119.90 | $97.84 | $106.14 |
Investment Operations | ||||||
Net Investment Income1 | 1.791 | 3.529 | 3.212 | 3.055 | 3.046 | 2.722 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.702 | (6.707) | 28.045 | (.935) | 22.014 | (8.352) |
Total from Investment Operations | 3.493 | (3.178) | 31.257 | 2.120 | 25.060 | (5.630) |
Distributions | ||||||
Dividends from Net Investment Income | (1.743) | (3.532) | (3.157) | (3.040) | (3.000) | (2.670) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.743) | (3.532) | (3.157) | (3.040) | (3.000) | (2.670) |
Net Asset Value, End of Period | $142.12 | $140.37 | $147.08 | $118.98 | $119.90 | $97.84 |
Total Return | 2.55% | -2.05% | 26.47% | 2.23% | 25.85% | -5.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $99,523 | $99,459 | $92,776 | $61,580 | $55,909 | $41,510 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 2.57% | 2.52% | 2.35% | 2.87% | 2.76% | 2.56% |
Portfolio Turnover Rate3 | 3% | 5% | 9% | 10% | 12% | 8% |
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 0.04%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $54.76 | $57.38 | $46.41 | $46.77 | $38.17 | $41.41 |
Investment Operations | ||||||
Net Investment Income1 | .695 | 1.370 | 1.245 | 1.188 | 1.185 | 1.059 |
Net Realized and Unrealized Gain (Loss) on Investments | .662 | (2.618) | 10.951 | (.367) | 8.581 | (3.261) |
Total from Investment Operations | 1.357 | (1.248) | 12.196 | .821 | 9.766 | (2.202) |
Distributions | ||||||
Dividends from Net Investment Income | (.677) | (1.372) | (1.226) | (1.181) | (1.166) | (1.038) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.677) | (1.372) | (1.226) | (1.181) | (1.166) | (1.038) |
Net Asset Value, End of Period | $55.44 | $54.76 | $57.38 | $46.41 | $46.77 | $38.17 |
Total Return2 | 2.53% | -2.08% | 26.49% | 2.29% | 25.82% | -5.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $32,248 | $32,071 | $31,741 | $22,486 | $22,414 | $16,522 |
Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 2.55% | 2.51% | 2.34% | 2.86% | 2.75% | 2.55% |
Portfolio Turnover Rate4 | 3% | 5% | 9% | 10% | 12% | 8% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $54.76 | $57.37 | $46.41 | $46.77 | $38.17 | $41.41 |
Investment Operations | ||||||
Net Investment Income1 | .697 | 1.377 | 1.250 | 1.193 | 1.189 | 1.063 |
Net Realized and Unrealized Gain (Loss) on Investments | .663 | (2.609) | 10.941 | (.368) | 8.581 | (3.260) |
Total from Investment Operations | 1.360 | (1.232) | 12.191 | .825 | 9.770 | (2.197) |
Distributions | ||||||
Dividends from Net Investment Income | (.680) | (1.378) | (1.231) | (1.185) | (1.170) | (1.043) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.680) | (1.378) | (1.231) | (1.185) | (1.170) | (1.043) |
Net Asset Value, End of Period | $55.44 | $54.76 | $57.37 | $46.41 | $46.77 | $38.17 |
Total Return | 2.54% | -2.05% | 26.48% | 2.30% | 25.83% | -5.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,307 | $16,452 | $15,446 | $12,579 | $12,481 | $9,789 |
Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 2.56% | 2.52% | 2.35% | 2.87% | 2.76% | 2.56% |
Portfolio Turnover Rate3 | 3% | 5% | 9% | 10% | 12% | 8% |
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 0.04%. |
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. |
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. |
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. |
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 June 30, 2023, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets). |
D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 146,828,116 | — | — | 146,828,116 |
Temporary Cash Investments | 165,879 | — | — | 165,879 |
Total | 146,993,995 | — | — | 146,993,995 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,849 | — | — | 2,849 |
Swap Contracts | — | 1,233 | — | 1,233 |
Total | 2,849 | 1,233 | — | 4,082 |
Liabilities | ||||
Swap Contracts | — | 70 | — | 70 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
E. | As of June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 120,257,319 |
Gross Unrealized Appreciation | 32,021,258 |
Gross Unrealized Depreciation | (5,281,733) |
Net Unrealized Appreciation (Depreciation) | 26,739,525 |
F. | During the six months ended June 30, 2023, the fund purchased $14,746,867,000 of investment securities and sold $17,290,614,000 of investment securities, other than temporary cash investments. Purchases and sales include $10,046,827,000 and $12,089,002,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 9,816 | 180 | 52,300 | 945 | |
Issued in Lieu of Cash Distributions | 2,184 | 41 | 5,847 | 110 | |
Redeemed | (91,952) | (1,697) | (77,440) | (1,404) | |
Net Increase (Decrease)—Investor Shares | (79,952) | (1,476) | (19,293) | (349) | |
ETF Shares | |||||
Issued | 10,669,809 | 75,930 | 28,097,278 | 198,864 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (11,653,202) | (84,200) | (16,915,435) | (121,125) | |
Net Increase (Decrease)—ETF Shares | (983,393) | (8,270) | 11,181,843 | 77,739 | |
Admiral Shares | |||||
Issued | 2,154,485 | 39,467 | 6,740,145 | 122,919 | |
Issued in Lieu of Cash Distributions | 343,898 | 6,465 | 691,593 | 13,000 | |
Redeemed | (2,719,007) | (49,939) | (5,653,104) | (103,475) | |
Net Increase (Decrease)—Admiral Shares | (220,624) | (4,007) | 1,778,634 | 32,444 | |
Institutional Shares | |||||
Issued | 1,581,901 | 28,832 | 3,365,017 | 61,474 | |
Issued in Lieu of Cash Distributions | 193,875 | 3,647 | 379,225 | 7,126 | |
Redeemed | (3,091,983) | (56,836) | (2,033,320) | (37,361) | |
Net Increase (Decrease)—Institutional Shares | (1,316,207) | (24,357) | 1,710,922 | 31,239 |
H. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
I. | Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements. |
Basic Materials | 1.8% |
Consumer Discretionary | 14.4 |
Consumer Staples | 5.4 |
Energy | 4.2 |
Financials | 9.7 |
Health Care | 12.9 |
Industrials | 11.8 |
Real Estate | 2.5 |
Technology | 32.3 |
Telecommunications | 2.2 |
Utilities | 2.8 |
Shares | Market Value• ($000) | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
3,4 | Vanguard Market Liquidity Fund, 5.150% (Cost $112,635) | 1,126,614 | 112,639 |
Total Investments (100.0%) (Cost $23,194,418) | 41,562,335 | ||
Other Assets and Liabilities—Net (0.0%) | 7,294 | ||
Net Assets (100%) | 41,569,629 | ||
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 $23,696,000. |
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 $25,894,000 was received for securities on loan. |
CVR—Contingent Value Rights. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2023 | 372 | 83,481 | 2,081 |
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) |
Visa Inc. Class A | 8/31/23 | BANA | 35,622 | (4.970) | — | (113) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $23,081,783) | 41,449,696 |
Affiliated Issuers (Cost $112,635) | 112,639 |
Total Investments in Securities | 41,562,335 |
Investment in Vanguard | 1,388 |
Cash Collateral Pledged—Futures Contracts | 4,227 |
Receivables for Investment Securities Sold | 4,602 |
Receivables for Accrued Income | 27,420 |
Receivables for Capital Shares Issued | 6,490 |
Variation Margin Receivable—Futures Contracts | 989 |
Total Assets | 41,607,451 |
Liabilities | |
Due to Custodian | 2,430 |
Payables for Investment Securities Purchased | 613 |
Collateral for Securities on Loan | 25,894 |
Payables for Capital Shares Redeemed | 8,050 |
Payables to Vanguard | 722 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 113 |
Total Liabilities | 37,822 |
Net Assets | 41,569,629 |
1 Includes $23,696,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 24,047,987 |
Total Distributable Earnings (Loss) | 17,521,642 |
Net Assets | 41,569,629 |
Investor Shares—Net Assets | |
Applicable to 253,200 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,738 |
Net Asset Value Per Share—Investor Shares | $81.90 |
ETF Shares—Net Assets | |
Applicable to 138,586,012 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 28,099,359 |
Net Asset Value Per Share—ETF Shares | $202.76 |
Admiral Shares—Net Assets | |
Applicable to 108,030,800 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,061,806 |
Net Asset Value Per Share—Admiral Shares | $102.39 |
Institutional Shares—Net Assets | |
Applicable to 5,665,690 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,387,726 |
Net Asset Value Per Share—Institutional Shares | $421.44 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 307,357 |
Interest2 | 1,836 |
Securities Lending—Net | 691 |
Total Income | 309,884 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 444 |
Management and Administrative—Investor Shares | 14 |
Management and Administrative—ETF Shares | 4,000 |
Management and Administrative—Admiral Shares | 2,065 |
Management and Administrative—Institutional Shares | 358 |
Marketing and Distribution—Investor Shares | 1 |
Marketing and Distribution—ETF Shares | 491 |
Marketing and Distribution—Admiral Shares | 261 |
Marketing and Distribution—Institutional Shares | 36 |
Custodian Fees | 173 |
Shareholders’ Reports—Investor Shares | — |
Shareholders’ Reports—ETF Shares | 209 |
Shareholders’ Reports—Admiral Shares | 37 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 10 |
Other Expenses | 13 |
Total Expenses | 8,114 |
Net Investment Income | 301,770 |
Realized Net Gain (Loss) | |
Investment Securities Sold2,3 | 298,875 |
Futures Contracts | 9,506 |
Swap Contracts | 1,607 |
Foreign Currencies | — |
Realized Net Gain (Loss) | 309,988 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities2 | 5,545,801 |
Futures Contracts | 3,402 |
Swap Contracts | (113) |
Change in Unrealized Appreciation (Depreciation) | 5,549,090 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,160,848 |
1 | Dividends are net of foreign withholding taxes of $21,000. |
2 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,718,000, $10,000, and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes. |
3 | Includes $459,305,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 301,770 | 582,807 | |
Realized Net Gain (Loss) | 309,988 | 581,223 | |
Change in Unrealized Appreciation (Depreciation) | 5,549,090 | (9,661,685) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,160,848 | (8,497,655) | |
Distributions | |||
Investor Shares | (134) | (330) | |
ETF Shares | (201,503) | (393,544) | |
Admiral Shares | (78,327) | (156,189) | |
Institutional Shares | (16,707) | (34,496) | |
Total Distributions | (296,671) | (584,559) | |
Capital Share Transactions | |||
Investor Shares | 1,002 | (11,365) | |
ETF Shares | (1,039) | 1,959,159 | |
Admiral Shares | (81,681) | 215,566 | |
Institutional Shares | (20,721) | 77,917 | |
Net Increase (Decrease) from Capital Share Transactions | (102,439) | 2,241,277 | |
Total Increase (Decrease) | 5,761,738 | (6,840,937) | |
Net Assets | |||
Beginning of Period | 35,807,891 | 42,648,828 | |
End of Period | 41,569,629 | 35,807,891 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $70.38 | $89.03 | $71.00 | $59.72 | $46.36 | $49.48 |
Investment Operations | ||||||
Net Investment Income1 | .545 | 1.058 | .956 | .969 | .918 | .966 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.513 | (18.646) | 18.025 | 11.268 | 13.466 | (3.184) |
Total from Investment Operations | 12.058 | (17.588) | 18.981 | 12.237 | 14.384 | (2.218) |
Distributions | ||||||
Dividends from Net Investment Income | (.538) | (1.062) | (.951) | (.957) | (1.024) | (.902) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.538) | (1.062) | (.951) | (.957) | (1.024) | (.902) |
Net Asset Value, End of Period | $81.90 | $70.38 | $89.03 | $71.00 | $59.72 | $46.36 |
Total Return2 | 17.19% | -19.78% | 26.87% | 20.89% | 31.23% | -4.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $21 | $17 | $36 | $37 | $30 | $344 |
Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17%3 | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to Average Net Assets | 1.46% | 1.38% | 1.19% | 1.61% | 1.75% | 1.91% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 3% | 5% | 4% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $174.22 | $220.44 | $175.80 | $147.88 | $114.77 | $122.49 |
Investment Operations | ||||||
Net Investment Income1 | 1.474 | 2.905 | 2.646 | 2.594 | 2.581 | 2.572 |
Net Realized and Unrealized Gain (Loss) on Investments | 28.515 | (46.233) | 44.617 | 27.890 | 33.204 | (7.896) |
Total from Investment Operations | 29.989 | (43.328) | 47.263 | 30.484 | 35.785 | (5.324) |
Distributions | ||||||
Dividends from Net Investment Income | (1.449) | (2.892) | (2.623) | (2.564) | (2.675) | (2.396) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.449) | (2.892) | (2.623) | (2.564) | (2.675) | (2.396) |
Net Asset Value, End of Period | $202.76 | $174.22 | $220.44 | $175.80 | $147.88 | $114.77 |
Total Return | 17.28% | -19.68% | 27.02% | 20.99% | 31.39% | -4.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $28,099 | $24,137 | $28,242 | $21,540 | $16,270 | $12,358 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.55% | 1.33% | 1.74% | 1.93% | 2.04% |
Portfolio Turnover Rate3 | 1% | 3% | 4% | 3% | 5% | 4% |
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 0.04%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $87.98 | $111.33 | $88.79 | $74.69 | $57.96 | $61.86 |
Investment Operations | ||||||
Net Investment Income1 | .739 | 1.456 | 1.325 | 1.303 | 1.299 | 1.288 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.398 | (23.348) | 22.530 | 14.084 | 16.774 | (3.983) |
Total from Investment Operations | 15.137 | (21.892) | 23.855 | 15.387 | 18.073 | (2.695) |
Distributions | ||||||
Dividends from Net Investment Income | (.727) | (1.458) | (1.315) | (1.287) | (1.343) | (1.205) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.727) | (1.458) | (1.315) | (1.287) | (1.343) | (1.205) |
Net Asset Value, End of Period | $102.39 | $87.98 | $111.33 | $88.79 | $74.69 | $57.96 |
Total Return2 | 17.27% | -19.70% | 27.01% | 21.03% | 31.39% | -4.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,062 | $9,583 | $11,847 | $9,338 | $7,546 | $5,306 |
Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05%3 | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to Average Net Assets | 1.58% | 1.54% | 1.32% | 1.73% | 1.92% | 2.03% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 3% | 5% | 4% |
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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $362.12 | $458.22 | $365.43 | $307.39 | $238.57 | $254.60 |
Investment Operations | ||||||
Net Investment Income1 | 3.064 | 6.032 | 5.477 | 5.389 | 5.363 | 5.345 |
Net Realized and Unrealized Gain (Loss) on Investments | 59.268 | (96.092) | 92.764 | 57.981 | 69.016 | (16.390) |
Total from Investment Operations | 62.332 | (90.060) | 98.241 | 63.370 | 74.379 | (11.045) |
Distributions | ||||||
Dividends from Net Investment Income | (3.012) | (6.040) | (5.451) | (5.330) | (5.559) | (4.985) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (3.012) | (6.040) | (5.451) | (5.330) | (5.559) | (4.985) |
Net Asset Value, End of Period | $421.44 | $362.12 | $458.22 | $365.43 | $307.39 | $238.57 |
Total Return | 17.28% | -19.69% | 27.03% | 21.05% | 31.39% | -4.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,388 | $2,071 | $2,524 | $2,149 | $1,796 | $1,178 |
Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04%2 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.55% | 1.32% | 1.74% | 1.92% | 2.04% |
Portfolio Turnover Rate3 | 1% | 3% | 4% | 3% | 5% | 4% |
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 0.04%. |
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. |
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. |
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. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 41,449,696 | — | — | 41,449,696 |
Temporary Cash Investments | 112,639 | — | — | 112,639 |
Total | 41,562,335 | — | — | 41,562,335 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,081 | — | — | 2,081 |
Liabilities | ||||
Swap Contracts | — | 113 | — | 113 |
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 June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 23,245,468 |
Gross Unrealized Appreciation | 19,185,204 |
Gross Unrealized Depreciation | (866,256) |
Net Unrealized Appreciation (Depreciation) | 18,318,948 |
E. | During the six months ended June 30, 2023, the fund purchased $857,848,000 of investment securities and sold $991,305,000 of investment securities, other than temporary cash investments. Purchases and sales include $480,177,000 and $653,392,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 1,745 | 23 | 5,411 | 68 | |
Issued in Lieu of Cash Distributions | 134 | 2 | 330 | 4 | |
Redeemed | (877) | (12) | (17,106) | (231) | |
Net Increase (Decrease)—Investor Shares | 1,002 | 13 | (11,365) | (159) | |
ETF Shares | |||||
Issued | 673,698 | 3,619 | 3,667,813 | 19,749 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (674,737) | (3,575) | (1,708,654) | (9,325) | |
Net Increase (Decrease)—ETF Shares | (1,039) | 44 | 1,959,159 | 10,424 | |
Admiral Shares | |||||
Issued | 577,189 | 6,106 | 1,800,154 | 19,196 | |
Issued in Lieu of Cash Distributions | 63,639 | 667 | 126,959 | 1,400 | |
Redeemed | (722,509) | (7,659) | (1,711,547) | (18,094) | |
Net Increase (Decrease)—Admiral Shares | (81,681) | (886) | 215,566 | 2,502 | |
Institutional Shares | |||||
Issued | 238,959 | 622 | 424,874 | 1,093 | |
Issued in Lieu of Cash Distributions | 14,550 | 37 | 30,324 | 81 | |
Redeemed | (274,230) | (712) | (377,281) | (963) | |
Net Increase (Decrease)—Institutional Shares | (20,721) | (53) | 77,917 | 211 |
G. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
H. | Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements. |
• | 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. |
• | 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. |
Six Months Ended June 30, 2023 | |||
Beginning Account Value 12/31/2022 | Ending Account Value 6/30/2023 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Total Stock Market Index Fund | |||
Investor Shares | $1,000.00 | $1,161.20 | $0.75 |
ETF Shares | 1,000.00 | 1,161.80 | 0.16 |
Admiral™ Shares | 1,000.00 | 1,161.70 | 0.21 |
Institutional Shares | 1,000.00 | 1,161.80 | 0.16 |
Institutional Plus Shares | 1,000.00 | 1,161.80 | 0.11 |
Institutional Select Shares | 1,000.00 | 1,161.90 | 0.05 |
Based on Hypothetical 5% Yearly Return | |||
Total Stock Market Index Fund | |||
Investor Shares | $1,000.00 | $1,024.10 | $0.70 |
ETF Shares | 1,000.00 | 1,024.65 | 0.15 |
Admiral Shares | 1,000.00 | 1,024.60 | 0.20 |
Institutional Shares | 1,000.00 | 1,024.65 | 0.15 |
Institutional Plus Shares | 1,000.00 | 1,024.70 | 0.10 |
Institutional Select Shares | 1,000.00 | 1,024.75 | 0.05 |
Basic Materials | 2.0% |
Consumer Discretionary | 14.5 |
Consumer Staples | 5.2 |
Energy | 4.3 |
Financials | 10.2 |
Health Care | 12.9 |
Industrials | 13.0 |
Real Estate | 3.0 |
Technology | 29.9 |
Telecommunications | 2.1 |
Utilities | 2.9 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2023 | 4,453 | 423,859 | 3,768 |
E-mini S&P 500 Index | September 2023 | 6,851 | 1,537,450 | 30,048 |
E-mini S&P Mid-Cap 400 Index | September 2023 | 240 | 63,458 | 1,829 |
35,645 |
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) |
Arbor Realty Trust Inc. | 1/31/24 | GSI | 7,095 | (5.076) | 301 | — |
Bank of New York Mellon Corp. | 8/31/23 | BANA | 16,080 | (5.523) | 1,657 | — |
Global Payments Inc. | 8/31/23 | BANA | 61,146 | (5.620) | — | (2,094) |
Global Payments Inc. | 8/31/23 | BANA | 50,435 | (5.619) | — | (1,215) |
Global Payments Inc. | 8/31/23 | BANA | 14,267 | (5.620) | — | (489) |
Global Payments Inc. | 8/31/23 | BANA | 13,677 | (5.523) | 90 | — |
Global Payments Inc. | 8/31/23 | BANA | 13,677 | (5.523) | 90 | — |
Global Payments Inc. | 8/31/23 | BANA | 9,769 | (5.523) | 65 | — |
Global Payments Inc. | 8/31/23 | BANA | 9,769 | (5.523) | 65 | — |
Global Payments Inc. | 8/31/23 | BANA | 8,792 | (5.523) | 58 | — |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 204,057 | (5.673) | — | (215) |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 55,387 | (5.673) | — | (58) |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 16,195 | (5.673) | — | (17) |
Paycor HCM Inc. | 1/31/24 | CITNA | 4,398 | (5.073) | 318 | — |
VICI Properties Inc. Class A | 8/31/23 | BANA | 146,918 | (5.623) | 3,562 | — |
Visa Inc. Class A | 8/31/23 | BANA | 49,732 | (4.973) | 3,603 | — |
9,809 | (4,088) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
CITNA—Citibank, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value1 | |
Unaffiliated Issuers (Cost $677,905,463) | 1,348,479,721 |
Affiliated Issuers (Cost $6,856,020) | 6,855,822 |
Total Investments in Securities | 1,355,335,543 |
Investment in Vanguard | 44,940 |
Cash | 2,396 |
Cash Collateral Pledged—Futures Contracts | 170,620 |
Receivables for Investment Securities Sold | 151,964 |
Receivables for Accrued Income | 930,637 |
Receivables for Capital Shares Issued | 1,471,335 |
Variation Margin Receivable—Futures Contracts | 35,123 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 9,809 |
Total Assets | 1,358,152,367 |
Liabilities | |
Due to Custodian | 87,244 |
Payables for Investment Securities Purchased | 339,801 |
Collateral for Securities on Loan | 4,832,001 |
Payables for Capital Shares Redeemed | 1,701,386 |
Payables to Vanguard | 15,876 |
Unrealized Depreciation—Over-the-Counter Swap Contracts | 4,088 |
Total Liabilities | 6,980,396 |
Net Assets | 1,351,171,971 |
1 Includes $4,376,408,000 of securities on loan. |
Statement of Assets and Liabilities (continued) | |
At June 30, 2023, net assets consisted of: | |
($000s, except shares, footnotes, and per-share amounts) | Amount |
Paid-in Capital | 698,504,956 |
Total Distributable Earnings (Loss) | 652,667,015 |
Net Assets | 1,351,171,971 |
Investor Shares—Net Assets | |
Applicable to 191,836,838 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,585,092 |
Net Asset Value Per Share—Investor Shares | $107.31 |
ETF Shares—Net Assets | |
Applicable to 1,405,309,167 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 309,815,167 |
Net Asset Value Per Share—ETF Shares | $220.46 |
Admiral Shares—Net Assets | |
Applicable to 2,951,549,011 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 316,757,414 |
Net Asset Value Per Share—Admiral Shares | $107.32 |
Institutional Shares—Net Assets | |
Applicable to 713,194,169 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 76,550,802 |
Net Asset Value Per Share—Institutional Shares | $107.34 |
Institutional Plus Shares—Net Assets | |
Applicable to 2,862,617,704 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 576,278,457 |
Net Asset Value Per Share—Institutional Plus Shares | $201.31 |
Institutional Select Shares—Net Assets | |
Applicable to 242,285,036 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 51,185,039 |
Net Asset Value Per Share—Institutional Select Shares | $211.26 |
Six Months Ended June 30, 2023 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers1 | 9,776,855 |
Dividends—Affiliated Issuers | — |
Interest—Unaffiliated Issuers | 8,705 |
Interest—Affiliated Issuers | 158,554 |
Securities Lending—Net | 171,759 |
Total Income | 10,115,873 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 16,456 |
Management and Administrative—Investor Shares | 12,401 |
Management and Administrative—ETF Shares | 30,600 |
Management and Administrative—Admiral Shares | 47,336 |
Management and Administrative—Institutional Shares | 8,409 |
Management and Administrative—Institutional Plus Shares | 35,463 |
Management and Administrative—Institutional Select Shares | 1,698 |
Marketing and Distribution—Investor Shares | 538 |
Marketing and Distribution—ETF Shares | 6,320 |
Marketing and Distribution—Admiral Shares | 6,774 |
Marketing and Distribution—Institutional Shares | 1,326 |
Marketing and Distribution—Institutional Plus Shares | 7,303 |
Marketing and Distribution—Institutional Select Shares | 47 |
Custodian Fees | 806 |
Shareholders’ Reports—Investor Shares | 110 |
Shareholders’ Reports—ETF Shares | 1,542 |
Shareholders’ Reports—Admiral Shares | 617 |
Shareholders’ Reports—Institutional Shares | 31 |
Shareholders’ Reports—Institutional Plus Shares | 1,207 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 323 |
Other Expenses | 57 |
Total Expenses | 179,364 |
Expenses Paid Indirectly | (5) |
Net Expenses | 179,359 |
Net Investment Income | 9,936,514 |
Realized Net Gain (Loss) | |
Investment Securities Sold—Unaffiliated Issuers2 | 7,569,047 |
Investment Securities Sold—Affiliated Issuers3 | 946 |
Statement of Operations (continued) | |
Six Months Ended June 30, 2023 | |
($000) | |
Futures Contracts | 637,722 |
Swap Contracts | (68,983) |
Realized Net Gain (Loss) | 8,138,732 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | 169,928,266 |
Investment Securities—Affiliated Issuers | (2,554) |
Futures Contracts | 223,288 |
Swap Contracts | 55,924 |
Change in Unrealized Appreciation (Depreciation) | 170,204,924 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 188,280,170 |
1 | Dividends are net of foreign withholding taxes of $908,000. |
2 | Includes $9,503,302,000 of net gain (loss) resulting from in-kind redemptions. |
3 | Includes less than $1,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 9,936,514 | 18,662,820 | |
Realized Net Gain (Loss) | 8,138,732 | 5,664,235 | |
Change in Unrealized Appreciation (Depreciation) | 170,204,924 | (294,464,966) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 188,280,170 | (270,137,911) | |
Distributions | |||
Investor Shares | (141,790) | (284,794) | |
ETF Shares | (2,242,983) | (4,187,918) | |
Admiral Shares | (2,297,861) | (4,513,747) | |
Institutional Shares | (560,907) | (1,107,318) | |
Institutional Plus Shares | (4,202,141) | (7,915,118) | |
Institutional Select Shares | (372,794) | (713,492) | |
Total Distributions | (9,818,476) | (18,722,387) | |
Capital Share Transactions | |||
Investor Shares | (606,377) | (104,300,286) | |
ETF Shares | 8,235,684 | 25,952,138 | |
Admiral Shares | 308,314 | 4,099,576 | |
Institutional Shares | (392,924) | (155,304,571) | |
Institutional Plus Shares | 11,934,282 | 295,703,507 | |
Institutional Select Shares | 304,815 | 2,223,565 | |
Net Increase (Decrease) from Capital Share Transactions | 19,783,794 | 68,373,929 | |
Total Increase (Decrease) | 198,245,488 | (220,486,369) | |
Net Assets | |||
Beginning of Period | 1,152,926,483 | 1,373,412,852 | |
End of Period | 1,351,171,971 | 1,152,926,483 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $93.09 | $117.53 | $94.71 | $79.66 | $62.08 | $66.70 |
Investment Operations | ||||||
Net Investment Income1 | .738 | 1.335 | 1.284 | 1.284 | 1.279 | 1.275 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 14.213 | (24.344) | 22.837 | 15.026 | 17.634 | (4.703) |
Total from Investment Operations | 14.951 | (23.009) | 24.121 | 16.310 | 18.913 | (3.428) |
Distributions | ||||||
Dividends from Net Investment Income | (.731) | (1.431) | (1.301) | (1.260) | (1.333) | (1.192) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.731) | (1.431) | (1.301) | (1.260) | (1.333) | (1.192) |
Net Asset Value, End of Period | $107.31 | $93.09 | $117.53 | $94.71 | $79.66 | $62.08 |
Total Return3 | 16.12% | -19.60% | 25.59% | 20.87% | 30.65% | -5.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $20,585 | $18,409 | $133,977 | $153,845 | $139,686 | $121,266 |
Ratio of Total Expenses to Average Net Assets | 0.14%4 | 0.14%4 | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.28% | 1.20% | 1.62% | 1.78% | 1.86% |
Portfolio Turnover Rate5 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.14%. |
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. |
ETF Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $191.25 | $241.49 | $194.61 | $163.70 | $127.56 | $137.06 |
Investment Operations | ||||||
Net Investment Income1 | 1.630 | 3.191 | 2.912 | 2.831 | 2.809 | 2.781 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 29.193 | (50.248) | 46.898 | 30.848 | 36.236 | (9.676) |
Total from Investment Operations | 30.823 | (47.057) | 49.810 | 33.679 | 39.045 | (6.895) |
Distributions | ||||||
Dividends from Net Investment Income | (1.613) | (3.183) | (2.930) | (2.769) | (2.905) | (2.605) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.613) | (3.183) | (2.930) | (2.769) | (2.905) | (2.605) |
Net Asset Value, End of Period | $220.46 | $191.25 | $241.49 | $194.61 | $163.70 | $127.56 |
Total Return | 16.18% | -19.50% | 25.72% | 20.95% | 30.80% | -5.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $309,815 | $261,084 | $299,088 | $202,075 | $138,067 | $94,809 |
Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% | 0.03% |
Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.55% | 1.31% | 1.73% | 1.89% | 1.97% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%. |
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. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $93.10 | $117.56 | $94.74 | $79.69 | $62.09 | $66.72 |
Investment Operations | ||||||
Net Investment Income1 | .787 | 1.540 | 1.402 | 1.364 | 1.360 | 1.344 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 14.213 | (24.460) | 22.833 | 15.025 | 17.646 | (4.711) |
Total from Investment Operations | 15.000 | (22.920) | 24.235 | 16.389 | 19.006 | (3.367) |
Distributions | ||||||
Dividends from Net Investment Income | (.780) | (1.540) | (1.415) | (1.339) | (1.406) | (1.263) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.780) | (1.540) | (1.415) | (1.339) | (1.406) | (1.263) |
Net Asset Value, End of Period | $107.32 | $93.10 | $117.56 | $94.74 | $79.69 | $62.09 |
Total Return3 | 16.17% | -19.53% | 25.71% | 20.99% | 30.80% | -5.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $316,757 | $274,489 | $341,733 | $273,622 | $252,536 | $185,102 |
Ratio of Total Expenses to Average Net Assets | 0.04%4 | 0.04%4 | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.54% | 1.30% | 1.72% | 1.88% | 1.96% |
Portfolio Turnover Rate5 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 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 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%. |
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. |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $93.12 | $117.58 | $94.75 | $79.70 | $62.10 | $66.73 |
Investment Operations | ||||||
Net Investment Income1 | .792 | 1.497 | 1.416 | 1.374 | 1.365 | 1.354 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 14.213 | (24.407) | 22.841 | 15.024 | 17.649 | (4.715) |
Total from Investment Operations | 15.005 | (22.910) | 24.257 | 16.398 | 19.014 | (3.361) |
Distributions | ||||||
Dividends from Net Investment Income | (.785) | (1.550) | (1.427) | (1.348) | (1.414) | (1.269) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.785) | (1.550) | (1.427) | (1.348) | (1.414) | (1.269) |
Net Asset Value, End of Period | $107.34 | $93.12 | $117.58 | $94.75 | $79.70 | $62.10 |
Total Return | 16.18% | -19.51% | 25.73% | 21.00% | 30.81% | -5.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $76,551 | $66,751 | $249,282 | $180,586 | $152,716 | $115,115 |
Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% | 0.03% |
Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.46% | 1.31% | 1.73% | 1.89% | 1.97% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%. |
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. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $174.63 | $220.49 | $177.69 | $149.47 | $116.46 | $125.14 |
Investment Operations | ||||||
Net Investment Income1 | 1.496 | 2.960 | 2.672 | 2.591 | 2.575 | 2.555 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 26.657 | (45.906) | 42.823 | 28.172 | 33.100 | (8.842) |
Total from Investment Operations | 28.153 | (42.946) | 45.495 | 30.763 | 35.675 | (6.287) |
Distributions | ||||||
Dividends from Net Investment Income | (1.473) | (2.914) | (2.695) | (2.543) | (2.665) | (2.393) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.473) | (2.914) | (2.695) | (2.543) | (2.665) | (2.393) |
Net Asset Value, End of Period | $201.31 | $174.63 | $220.49 | $177.69 | $149.47 | $116.46 |
Total Return | 16.18% | -19.51% | 25.74% | 21.02% | 30.82% | -5.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $576,278 | $488,093 | $296,554 | $226,288 | $188,188 | $135,641 |
Ratio of Total Expenses to Average Net Assets | 0.02%3 | 0.02%3 | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.64% | 1.59% | 1.32% | 1.74% | 1.90% | 1.98% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.02%. |
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. |
Institutional Select Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2023 | Year Ended December 31, | ||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $183.25 | $231.36 | $186.45 | $156.83 | $122.20 | $131.31 |
Investment Operations | ||||||
Net Investment Income1 | 1.576 | 3.093 | 2.821 | 2.772 | 2.709 | 2.704 |
Capital Gain Distributions Received | — | .0001,2 | .0001,2 | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | 27.979 | (48.139) | 44.937 | 29.532 | 34.731 | (9.290) |
Total from Investment Operations | 29.555 | (45.046) | 47.758 | 32.304 | 37.440 | (6.586) |
Distributions | ||||||
Dividends from Net Investment Income | (1.545) | (3.064) | (2.848) | (2.684) | (2.810) | (2.524) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.545) | (3.064) | (2.848) | (2.684) | (2.810) | (2.524) |
Net Asset Value, End of Period | $211.26 | $183.25 | $231.36 | $186.45 | $156.83 | $122.20 |
Total Return | 16.19% | -19.50% | 25.75% | 21.03% | 30.84% | -5.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $51,185 | $44,101 | $52,780 | $44,296 | $26,431 | $20,262 |
Ratio of Total Expenses to Average Net Assets | 0.01%3 | 0.01%3 | 0.01% | 0.01% | 0.01% | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 1.64% | 1.57% | 1.33% | 1.76% | 1.91% | 1.99% |
Portfolio Turnover Rate4 | 1% | 3% | 4% | 8% | 4% | 3% |
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 $.001 per share. |
3 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.01%. |
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. |
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,348,471,984 | 12,199 | 4,456 | 1,348,488,639 |
Preferred Stock | 37 | — | — | 37 |
Temporary Cash Investments | 6,846,867 | — | — | 6,846,867 |
Total | 1,355,318,888 | 12,199 | 4,456 | 1,355,335,543 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 35,645 | — | — | 35,645 |
Swap Contracts | — | 9,809 | — | 9,809 |
Total | 35,645 | 9,809 | — | 45,454 |
Liabilities | ||||
Swap Contracts | — | 4,088 | — | 4,088 |
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. |
Amount ($000) | |
Tax Cost | 687,532,069 |
Gross Unrealized Appreciation | 722,139,787 |
Gross Unrealized Depreciation | (54,294,947) |
Net Unrealized Appreciation (Depreciation) | 667,844,840 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 191,144 | 1,933 | 3,914,517 | 36,574 | |
Issued in Lieu of Cash Distributions | 141,790 | 1,416 | 284,794 | 2,978 | |
Redeemed | (939,311) | (9,269) | (108,499,597) | (981,740) | |
Net Increase (Decrease)—Investor Shares | (606,377) | (5,920) | (104,300,286) | (942,188) | |
ETF Shares | |||||
Issued | 17,930,607 | 87,200 | 50,798,717 | 249,707 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (9,694,923) | (47,000) | (24,846,579) | (123,100) | |
Net Increase (Decrease)—ETF Shares | 8,235,684 | 40,200 | 25,952,138 | 126,607 | |
Admiral Shares | |||||
Issued | 13,005,639 | 131,033 | 31,898,755 | 317,329 | |
Issued in Lieu of Cash Distributions | 1,915,887 | 19,129 | 3,762,619 | 39,309 | |
Redeemed | (14,613,212) | (146,876) | (31,561,798) | (315,336) | |
Net Increase (Decrease)—Admiral Shares | 308,314 | 3,286 | 4,099,576 | 41,302 | |
Institutional Shares | |||||
Issued | 3,356,089 | 33,836 | 9,249,702 | 92,024 | |
Issued in Lieu of Cash Distributions | 453,182 | 4,525 | 903,770 | 9,433 | |
Redeemed | (4,202,195) | (42,027) | (165,458,043) | (1,504,789) | |
Net Increase (Decrease)—Institutional Shares | (392,924) | (3,666) | (155,304,571) | (1,403,332) | |
Institutional Plus Shares | |||||
Issued | 24,504,524 | 133,889 | 320,489,415 | 1,582,401 | |
Issued in Lieu of Cash Distributions | 4,167,818 | 22,180 | 7,850,659 | 43,753 | |
Redeemed | (16,738,060) | (88,393) | (32,636,567) | (176,178) | |
Net Increase (Decrease)—Institutional Plus Shares | 11,934,282 | 67,676 | 295,703,507 | 1,449,976 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Select Shares | |||||
Issued | 2,795,341 | 14,271 | 6,711,633 | 34,640 | |
Issued in Lieu of Cash Distributions | 372,794 | 1,892 | 713,492 | 3,786 | |
Redeemed | (2,863,320) | (14,531) | (5,201,560) | (25,901) | |
Net Increase (Decrease)—Institutional Select Shares | 304,815 | 1,632 | 2,223,565 | 12,525 |
Current Period Transactions | ||||||||
Dec. 31, 2022 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Jun. 30, 2023 Market Value ($000) | |
1895 Bancorp of Wisconsin Inc. | NA1 | 74 | 25 | (12) | (840) | — | — | 2,480 |
Franklin Financial Services Corp. | NA1 | 6,573 | — | — | (98) | — | — | 6,475 |
Vanguard Market Liquidity Fund | 10,588,790 | NA2 | NA2 | 958 | (1,616) | 158,554 | — | 6,846,867 |
Total | 10,588,790 | 6,647 | 25 | 946 | (2,554) | 158,554 | — | 6,855,822 |
1 | Not applicable—at December 31, 2022, the issuer was not an affiliated company of the fund. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD INDEX FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: August 17, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD INDEX FUNDS | ||
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: August 17, 2023
VANGUARD INDEX FUNDS | ||
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: August 17, 2023
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Index Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 17, 2023 | /s/ Mortimer J. Buckley |
Mortimer J. Buckley | |
Chief Executive Officer |
CERTIFICATIONS
I, Christine Buchanan, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Index Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 17, 2023 | /s/ Christine Buchanan |
Christine Buchanan | |
Chief Financial Officer |
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Index Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 17, 2023 | /s/ Mortimer J. Buckley |
Mortimer J. Buckley | |
Chief Executive Officer |
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Index Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to her knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 17, 2023 | /s/ Christine Buchanan |
Christine Buchanan | |
Chief Financial Officer |
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